Filed On 3/22/06 11:00am ET · SEC File 811-07572 · Accession Number 898745-6-34
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3/22/06 Principal Investors Fund Inc N-Q 1/31/06 2:660
Quarterly Schedule of Portfolio Holdings of a Management Investment Company · Form N-Q
Filing Table of Contents
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1: N-Q Pif Form N-Q for 01/31/2006 658± 3,504K
2: EX-99.CERT Pif Certification for 01/31/2006 2 10K
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, DC 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
Investment Company Act file number 811-07572
--------------------------
Principal Investors Fund, Inc.
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(Exact name of registrant as specified in charter)
711 High Street, Des Moines, IA 50392-2080
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(Address of principal executive offices)
Princor Financial Services Corporation, Des Moines, IA 50392-2080
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(Name and address of agent for service)
Registrant's telephone number, including area code: 515-247-6783
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Date of fiscal year end: October 31, 2006
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Date of reporting period: January 31, 2006
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ITEM 1 - SCHEDULE OF INVESTMENTS
· Enlarge/Download Table
Schedule of Investments
January 31, 2006 (unaudited)
Bond & Mortgage Securities Fund
Principal
Amount Value
----------------------------------------------------
BONDS (69.95%)
Advertising Agencies (0.05%)
Interpublic Group of Cos Inc
7.25%, 8/15/2011 $ 500,000 $ 470,000
6.25%, 11/15/2014 400,000 347,000
-------------------
817,000
-------------------
Advertising Services (0.04%)
Advanstar Communications Inc
10.75%, 8/15/2010 500,000 546,875
-------------------
Aerospace & Defense (0.06%)
Lockheed Martin Corp
7.65%, 5/ 1/2016 250,000 293,951
Northrop Grumman Corp
7.00%, 3/ 1/2006 520,000 520,896
7.75%, 2/15/2031 100,000 125,744
-------------------
940,591
-------------------
Aerospace & Defense Equipment (0.08%)
GenCorp Inc
9.50%, 8/15/2013 228,000 246,810
Sequa Corp
9.00%, 8/ 1/2009 600,000 651,000
TransDigm Inc
8.38%, 7/15/2011 350,000 367,500
-------------------
1,265,310
-------------------
Agricultural Operations (0.33%)
Bunge Ltd Finance Corp
4.38%, 12/15/2008 3,614,000 3,541,677
5.88%, 5/15/2013 540,000 548,821
5.10%, 7/15/2015 1,000,000 954,059
-------------------
5,044,557
-------------------
Airlines (0.07%)
Northwest Airlines Corp
7.58%, 9/ 1/2020 227,834 228,437
Southwest Airlines Co
5.10%, 5/ 1/2006 180,943 181,022
5.50%, 11/ 1/2006 650,000 651,663
-------------------
1,061,122
-------------------
Apparel Manufacturers (0.04%)
Phillips-Van Heusen
8.13%, 5/ 1/2013 125,000 131,875
7.75%, 11/15/2023 475,000 497,562
-------------------
629,437
-------------------
Asset Backed Securities (7.26%)
AAA Trust
4.81%, 2/27/2035 (a)(b) 1,500,000 1,502,680
Ameriquest Mortgage Securities Inc
4.83%, 3/25/2035 (a) 1,412,794 1,414,003
4.76%, 7/25/2035 (a) 1,750,000 1,751,480
Asset Backed Funding Certificates
4.71%, 6/25/2035 (a) 5,500,000 5,500,611
4.77%, 7/25/2035 (a) 3,575,000 3,577,524
Bear Stearns Asset Backed Securities Inc
4.80%, 9/25/2035 (a) 8,075,000 8,076,211
Carrington Mortgage Loan Trust
4.79%, 1/25/2035 (a) 1,575,000 1,576,476
4.68%, 9/25/2035 (a) 3,062,812 3,062,962
4.81%, 12/25/2035 (a) 6,172,000 6,177,999
Chase Funding Mortgage Loan Asset-Backed
4.82%, 9/25/2033 (a) 835,414 836,849
5.03%, 9/25/2033 (a) 1,215,000 1,217,249
4.76%, 12/25/2033 (a) 319,036 319,336
Citigroup Mortgage Loan Trust Inc
4.63%, 7/25/2035 (a) 2,261,135 2,261,264
CNH Wholesale Master Note Trust
4.87%, 6/15/2011 (a) 650,000 649,969
Countrywide Asset-Backed Certificates
4.90%, 10/25/2032 (a) 983,431 984,962
4.81%, 9/25/2033 (a) 1,829,968 1,831,509
5.05%, 6/25/2035 (a) 2,800,000 2,813,762
5.19%, 12/25/2035 (a) 2,600,000 2,607,972
Countrywide Home Equity Loan Trust
4.70%, 12/15/2035 (a)(c) 3,829,044 3,829,044
GMAC Mortgage Corp Loan Trust
4.59%, 8/25/2035 (a) 4,800,000 4,801,402
4.71%, 8/25/2035 (a) 2,225,000 2,223,227
Long Beach Mortgage Loan Trust
5.06%, 6/25/2034 (a) 450,000 450,936
5.03%, 2/25/2035 (a) 3,000,000 3,016,146
4.71%, 4/25/2035 (a) 4,300,000 4,301,320
4.64%, 7/25/2035 (a) 2,835,771 2,836,236
Merrill Lynch Mortgage Investors Inc
5.09%, 1/25/2035 (a) 1,800,000 1,805,801
4.71%, 4/25/2036 (a) 3,500,000 3,500,613
4.76%, 7/25/2036 (a) 4,700,962 4,700,807
Morgan Stanley ABS Capital I
4.79%, 7/25/2035 (a) 1,800,000 1,802,198
MSDWCC Heloc Trust
4.72%, 7/25/2017 (a) 1,847,584 1,847,720
Nomura Asset Acceptance Corp
4.76%, 6/25/2035 (a) 1,680,566 1,680,657
Ownit Mortgage Loan Asset Backed Certificates
4.83%, 8/25/2036 (a) 3,747,054 3,746,930
Popular ABS Mortgage Pass-Through Trust
4.79%, 11/25/2035 (a) 3,355,000 3,356,775
Residential Asset Mortgage Products Inc
4.76%, 12/25/2034 (a) 1,525,000 1,526,606
4.80%, 7/25/2035 (a) 3,000,000 3,004,002
Residential Asset Securities Corp
3.28%, 8/25/2029 477,903 474,960
SACO I Inc
4.80%, 4/25/2035 (a) 2,288,885 2,288,985
Saxon Asset Securities Trust
4.87%, 12/26/2034 (a) 4,600,000 4,607,838
4.75%, 3/25/2035 (a) 2,825,000 2,826,989
5.05%, 3/25/2035 (a) 2,500,000 2,500,568
Securitized Asset Backed Receivables LLC
4.76%, 3/25/2035 (a) 2,135,000 2,135,726
-------------------
109,428,304
-------------------
Auto - Car & Light Trucks (0.47%)
DaimlerChrysler NA Holding Corp
5.30%, 8/ 8/2006 (a) 1,900,000 1,907,448
4.70%, 3/ 7/2007 (a) 2,000,000 2,000,516
4.96%, 9/10/2007 (a) 1,200,000 1,203,390
4.75%, 1/15/2008 75,000 74,196
4.88%, 6/15/2010 2,000,000 1,948,150
-------------------
7,133,700
-------------------
Auto - Medium & Heavy Duty Trucks (0.16%)
Navistar International Corp
9.38%, 6/ 1/2006 1,925,000 1,944,250
7.50%, 6/15/2011 150,000 148,500
6.25%, 3/ 1/2012 400,000 374,000
-------------------
2,466,750
-------------------
Auto/Truck Parts & Equipment - Original (0.14%)
ArvinMeritor Inc
8.75%, 3/ 1/2012 375,000 371,250
Stanadyne Corp
10.00%, 8/15/2014 375,000 360,000
Tenneco Inc
10.25%, 7/15/2013 500,000 560,000
TRW Automotive Inc
9.38%, 2/15/2013 300,000 326,250
United Components Inc
9.38%, 6/15/2013 500,000 498,750
-------------------
2,116,250
-------------------
Automobile Sequential (0.32%)
Capital Auto Receivables Asset Trust
3.92%, 11/16/2009 2,000,000 1,951,908
4.84%, 6/15/2010 (a) 1,070,000 1,075,464
M&I Auto Loan Trust
3.04%, 10/20/2008 148,446 147,601
WFS Financial Owner Trust
4.50%, 5/17/2013 1,600,000 1,571,872
-------------------
4,746,845
-------------------
Beverages - Non-alcoholic (0.05%)
Bottling Group LLC
4.63%, 11/15/2012 110,000 107,189
Coca-Cola HBC Finance BV
5.13%, 9/17/2013 345,000 342,298
Cott Beverages USA Inc
8.00%, 12/15/2011 350,000 357,875
-------------------
807,362
-------------------
Beverages - Wine & Spirits (0.12%)
Diageo Capital PLC
4.69%, 4/20/2007 (a) 1,800,000 1,801,159
-------------------
Brewery (0.34%)
Cia Brasileira de Bebidas
10.50%, 12/15/2011 1,175,000 1,445,250
8.75%, 9/15/2013 685,000 798,025
Coors Brewing Co
6.38%, 5/15/2012 650,000 683,021
FBG Finance Ltd
5.13%, 6/15/2015 (b) 2,250,000 2,164,995
-------------------
5,091,291
-------------------
Broadcasting Services & Programming (0.02%)
Grupo Televisa SA
8.50%, 3/11/2032 260,000 311,803
-------------------
Building - Residential & Commercial (0.08%)
Beazer Homes USA Inc
8.38%, 4/15/2012 800,000 836,000
KB Home
7.75%, 2/ 1/2010 340,000 353,228
-------------------
1,189,228
-------------------
Building & Construction - Miscellaneous (0.03%)
Dycom Industries Inc
8.13%, 10/15/2015 (b) 400,000 414,000
-------------------
Building & Construction Products - Miscellaneous (0.46%)
CRH America Inc
6.95%, 3/15/2012 1,525,000 1,643,041
5.30%, 10/15/2013 135,000 133,229
6.40%, 10/15/2033 345,000 364,939
Interline Brands Inc
11.50%, 5/15/2011 600,000 666,000
Macmillan Bloedel Ltd
6.75%, 2/15/2006 2,735,000 2,736,425
Masco Corp
4.71%, 3/ 9/2007 (a)(b) 1,400,000 1,403,339
-------------------
6,946,973
-------------------
Building Products - Air & Heating (0.02%)
York International Corp
6.63%, 8/15/2006 235,000 236,526
-------------------
Building Products - Wood (0.03%)
Ainsworth Lumber Co Ltd
7.25%, 10/ 1/2012 300,000 273,000
6.75%, 3/15/2014 175,000 151,812
-------------------
424,812
-------------------
Cable TV (0.51%)
Cablevision Systems Corp
8.72%, 4/ 1/2009 (a) 200,000 204,250
Charter Communications Operating LLC/Charter
Communication
8.38%, 4/30/2014 (b) 650,000 649,188
Comcast Cable Communications
8.38%, 5/ 1/2007 500,000 519,696
Comcast Corp
7.05%, 3/15/2033 500,000 530,413
COX Communications Inc
4.63%, 1/15/2010 805,000 777,409
6.75%, 3/15/2011 305,000 317,034
7.13%, 10/ 1/2012 450,000 478,935
5.50%, 10/ 1/2015 165,000 159,237
CSC Holdings Inc
7.25%, 7/15/2008 350,000 350,875
10.50%, 5/15/2016 1,325,000 1,409,469
Echostar DBS Corp
9.13%, 1/15/2009 504,000 527,310
6.63%, 10/ 1/2014 1,050,000 1,018,500
Kabel Deutschland GmbH
10.63%, 7/ 1/2014 (b) 650,000 682,500
-------------------
7,624,816
-------------------
Casino Hotels (0.37%)
Harrah's Operating Co Inc
5.50%, 7/ 1/2010 1,060,000 1,059,533
5.63%, 6/ 1/2015 860,000 840,732
5.75%, 10/ 1/2017 1,290,000 1,247,369
Mandalay Resort Group
6.45%, 2/ 1/2006 1,525,000 1,525,000
MGM Mirage
6.63%, 7/15/2015 500,000 502,500
Turning Stone Casino Resort Enterprise
9.13%, 12/15/2010 (b) 400,000 416,000
-------------------
5,591,134
-------------------
Cellular Telecommunications (0.77%)
America Movil SA de CV
5.26%, 4/27/2007 (a) 1,700,000 1,703,400
5.50%, 3/ 1/2014 1,520,000 1,483,199
6.38%, 3/ 1/2035 1,025,000 986,324
Dobson Cellular Systems
9.00%, 11/ 1/2011 (a) 400,000 416,000
New Cingular Wireless Services Inc
8.13%, 5/ 1/2012 1,545,000 1,776,135
8.75%, 3/ 1/2031 525,000 687,969
Nextel Communications Inc
5.95%, 3/15/2014 2,875,000 2,895,401
Rural Cellular Corp
8.25%, 3/15/2012 275,000 289,781
Verizon Wireless Capital LLC
5.38%, 12/15/2006 1,395,000 1,398,965
-------------------
11,637,174
-------------------
Chemicals - Diversified (0.32%)
Chevron Phillips Chemical Co LLC
5.38%, 6/15/2007 240,000 240,142
7.00%, 3/15/2011 920,000 983,081
Equistar Chemicals LP/Equistar Funding
10.63%, 5/ 1/2011 750,000 825,000
ICI Wilmington Inc
5.63%, 12/ 1/2013 875,000 863,775
Lyondell Chemical Co
9.50%, 12/15/2008 451,000 472,986
Nova Chemicals Corp
7.56%, 11/15/2013 (a)(b) 275,000 278,437
Westlake Chemical Corp
8.75%, 7/15/2011 452,000 493,810
6.63%, 1/15/2016 700,000 700,875
-------------------
4,858,106
-------------------
Chemicals - Specialty (0.11%)
Hercules Inc
6.75%, 10/15/2029 400,000 385,000
Nalco Co
8.88%, 11/15/2013 425,000 444,125
OM Group Inc
9.25%, 12/15/2011 400,000 400,000
Rhodia SA
7.63%, 6/ 1/2010 475,000 477,375
-------------------
1,706,500
-------------------
Coal (0.08%)
Alpha Natural Resources LLC/Alpha Natural Resources
Capital
10.00%, 6/ 1/2012 710,000 781,000
Massey Energy Co
6.88%, 12/15/2013 (b) 450,000 453,937
-------------------
1,234,937
-------------------
Coatings & Paint (0.06%)
Resolution Performance Products LLC/RPP
8.00%, 12/15/2009 400,000 408,500
Valspar Corp
6.00%, 5/ 1/2007 465,000 467,918
-------------------
876,418
-------------------
Commercial Banks (0.72%)
American Express Centurion Bank
4.57%, 7/19/2007 (a) 2,000,000 2,002,682
BOI Capital Funding No 2 LP
5.57%, 8/ 1/2099 (a)(b) 1,345,000 1,335,780
HSBC Holdings PLC
5.25%, 12/12/2012 100,000 100,009
KeyBank NA
4.32%, 8/ 8/2007 (a) 750,000 750,481
4.41%, 11/ 3/2009 (a) 2,000,000 2,003,230
Royal Bank of Scotland Group PLC
5.00%, 10/ 1/2014 220,000 216,297
Union Planters Bank NA
5.13%, 6/15/2007 310,000 309,689
United Overseas Bank Ltd
4.50%, 7/ 2/2013 (b) 325,000 306,758
US Bank NA
6.38%, 8/ 1/2011 275,000 291,022
VTB Capital SA for Vneshtorgbank
5.25%, 9/21/2007 (a)(b) 1,410,000 1,412,115
Wachovia Bank NA
4.88%, 2/ 1/2015 1,805,000 1,741,910
Wachovia Bank NA/Charlotte
7.80%, 8/18/2010 385,000 426,613
-------------------
10,896,586
-------------------
Commercial Services (0.19%)
Coinmach Corp
9.00%, 2/ 1/2010 1,000,000 1,045,000
Iron Mountain Inc
8.25%, 7/ 1/2011 1,175,000 1,192,625
6.63%, 1/ 1/2016 325,000 305,500
Quintiles Transnational Corp
10.00%, 10/ 1/2013 250,000 277,500
-------------------
2,820,625
-------------------
Commercial Services - Finance (0.04%)
Cardtronics Inc
9.25%, 8/15/2013 (b) 600,000 601,500
-------------------
Computer Services (0.03%)
Sungard Data Systems Inc
9.13%, 8/15/2013 (b) 425,000 442,000
-------------------
Computers - Integrated Systems (0.01%)
NCR Corp
7.13%, 6/15/2009 100,000 104,193
-------------------
Consumer Products - Miscellaneous (0.15%)
Fortune Brands Inc
5.13%, 1/15/2011 630,000 626,310
Fortune Brands Inc (continued)
5.38%, 1/15/2016 1,450,000 1,424,222
5.88%, 1/15/2036 175,000 169,370
-------------------
2,219,902
-------------------
Containers - Metal & Glass (0.17%)
Crown Americas LLC and Crown Americas Capital Corp
7.63%, 11/15/2013 (b) 250,000 258,750
Owens Brockway Glass Container Inc
8.88%, 2/15/2009 1,500,000 1,565,625
8.75%, 11/15/2012 750,000 806,250
-------------------
2,630,625
-------------------
Containers - Paper & Plastic (0.08%)
Intertape Polymer US Inc
8.50%, 8/ 1/2014 500,000 492,500
Jefferson Smurfit Corp US
7.50%, 6/ 1/2013 400,000 363,000
Plastipak Holdings Inc
8.50%, 12/15/2015 (b) 375,000 384,375
-------------------
1,239,875
-------------------
Credit Card Asset Backed Securities (2.35%)
American Express Credit Account Master
4.72%, 9/15/2011 (a) 600,000 602,150
Bank One Issuance Trust
3.59%, 5/17/2010 1,000,000 979,381
4.79%, 3/15/2012 (a) 3,550,000 3,568,130
Capital One Multi-Asset Execution Trust
4.69%, 12/15/2009 (a) 1,690,000 1,691,835
Chase Credit Card Master Trust
4.67%, 5/15/2009 (a) 2,250,000 2,249,899
4.82%, 10/15/2010 (a) 1,550,000 1,557,558
4.80%, 1/17/2011 (a) 3,100,000 3,114,992
4.82%, 2/15/2011 (a) 2,500,000 2,516,452
Citibank Credit Card Issuance Trust
4.85%, 6/25/2009 (a) 3,250,000 3,258,434
4.71%, 5/20/2011 (a) 2,300,000 2,304,855
Citibank Credit Card Master Trust I
4.77%, 3/10/2011 (a) 1,875,000 1,883,822
Discover Card Master Trust I
5.75%, 12/15/2008 1,000,000 1,002,977
First USA Credit Card Master Trust
4.84%, 4/18/2011 (a) 3,650,000 3,672,875
GE Capital Credit Card Master Note Trust
4.77%, 6/15/2010 (a) 2,000,000 2,004,452
MBNA Credit Card Master Note Trust
4.85%, 10/15/2009 (a) 1,600,000 1,605,176
Providian Master Note Trust
5.10%, 11/15/2012 (b) 3,350,000 3,347,644
-------------------
35,360,632
-------------------
Cruise Lines (0.23%)
Royal Caribbean Cruises Ltd
7.00%, 10/15/2007 1,500,000 1,538,861
8.75%, 2/ 2/2011 1,672,000 1,885,733
-------------------
3,424,594
-------------------
Data Processing & Management (0.02%)
Certegy Inc
4.75%, 9/15/2008 325,000 324,279
-------------------
Dialysis Centers (0.03%)
DaVita Inc
7.25%, 3/15/2015 400,000 402,500
-------------------
Diversified Financial Services (0.08%)
General Electric Capital Corp
4.63%, 9/15/2009 285,000 281,273
4.25%, 12/ 1/2010 735,000 709,895
6.75%, 3/15/2032 125,000 145,164
-------------------
1,136,332
-------------------
Diversified Manufacturing Operations (0.30%)
General Electric Co
5.00%, 2/ 1/2013 840,000 833,187
Invensys PLC
9.88%, 3/15/2011 (b) 500,000 512,500
Jacuzzi Brands Inc
9.63%, 7/ 1/2010 400,000 425,000
JB Poindexter & Co Inc
8.75%, 3/15/2014 400,000 331,000
Tyco International Group SA
6.38%, 2/15/2006 665,000 665,299
6.38%, 10/15/2011 1,140,000 1,193,336
6.88%, 1/15/2029 500,000 549,476
-------------------
4,509,798
-------------------
Diversified Minerals (0.13%)
Vale Overseas Ltd
6.25%, 1/11/2016 2,000,000 2,000,000
-------------------
Diversified Operations (0.08%)
Noble Group Ltd
6.63%, 3/17/2015 (b) 1,285,000 1,182,957
-------------------
Diversified Operations & Commercial Services (0.02%)
Chemed Corp
8.75%, 2/24/2011 350,000 372,313
-------------------
E-Commerce - Products (0.02%)
FTD Inc
7.75%, 2/15/2014 225,000 224,437
-------------------
Electric - Distribution (0.08%)
Detroit Edison Co
5.70%, 10/ 1/2037 1,300,000 1,258,107
-------------------
Electric - Generation (0.12%)
CE Casecnan Water & Energy
11.95%, 11/15/2010 460,650 497,502
Korea East-West Power Co Ltd
4.88%, 4/21/2011 (b) 280,000 273,632
Tenaska Oklahoma
6.53%, 12/30/2014 (b) 475,076 466,050
Tenaska Virginia Partners LP
6.12%, 3/30/2024 (b) 503,576 509,870
-------------------
1,747,054
-------------------
Electric - Integrated (3.70%)
Alabama Power Co
4.58%, 8/25/2009 (a) 1,000,000 1,002,332
AmerenUE
5.40%, 2/ 1/2016 1,605,000 1,601,440
5.10%, 10/ 1/2019 1,560,000 1,484,805
Appalachian Power Co
4.85%, 6/29/2007 (a) 2,500,000 2,507,300
Arizona Public Service Co
6.50%, 3/ 1/2012 2,640,000 2,758,203
5.80%, 6/30/2014 555,000 560,885
Carolina Power & Light Co
6.65%, 4/ 1/2008 200,000 205,517
6.50%, 7/15/2012 200,000 212,076
5.25%, 12/15/2015 935,000 924,387
Centerpoint Energy Inc
5.88%, 6/ 1/2008 355,000 359,330
Cincinnati Gas & Electric
5.40%, 6/15/2033 145,000 132,712
Consumers Energy Co
4.25%, 4/15/2008 140,000 137,123
Dayton Power & Light Co/The
5.12%, 10/ 1/2013 (a) 600,000 593,080
Dominion Resources Inc/VA
4.64%, 5/15/2006 (a) 2,345,000 2,346,848
4.82%, 9/28/2007 (a) 1,440,000 1,440,570
8.13%, 6/15/2010 725,000 800,752
Duquesne Light Holdings Inc
5.50%, 8/15/2015 1,500,000 1,464,256
Entergy Gulf States Inc
3.60%, 6/ 1/2008 345,000 331,637
5.21%, 12/ 8/2008 (a)(b) 1,465,000 1,464,953
Entergy Louisiana Inc
5.83%, 11/ 1/2010 350,000 349,817
Exelon Corp
4.45%, 6/15/2010 575,000 556,266
6.75%, 5/ 1/2011 355,000 376,365
FirstEnergy Corp
5.50%, 11/15/2006 400,000 401,094
6.45%, 11/15/2011 1,705,000 1,792,397
Florida Power & Light Co
5.40%, 9/ 1/2035 1,370,000 1,314,146
FPL Group Capital Inc
3.25%, 4/11/2006 560,000 558,295
Georgia Power Co
4.53%, 2/17/2009 (a) 2,650,000 2,656,225
Indianapolis Power & Light
7.38%, 8/ 1/2007 620,000 637,103
Midamerican Energy Holdings Co
4.63%, 10/ 1/2007 380,000 376,374
3.50%, 5/15/2008 975,000 938,515
Nisource Finance Corp
3.20%, 11/ 1/2006 565,000 557,226
Northeast Utilities
3.30%, 6/ 1/2008 460,000 440,203
Northern States Power-Minnesota
5.25%, 7/15/2035 770,000 725,397
Ohio Power Co
4.85%, 1/15/2014 510,000 490,169
Pepco Holdings Inc
3.75%, 2/15/2006 1,070,000 1,069,550
Pinnacle West Capital Corp
6.40%, 4/ 1/2006 2,375,000 2,382,139
Power Contract Financing LLC
5.20%, 2/ 1/2006 (b) 89,434 89,434
PPL Energy Supply LLC
6.40%, 11/ 1/2011 50,000 52,527
5.40%, 8/15/2014 735,000 724,678
Progress Energy Inc
6.75%, 3/ 1/2006 534,000 534,781
PSEG Power LLC
6.88%, 4/15/2006 900,000 903,380
3.75%, 4/ 1/2009 2,750,000 2,632,132
6.95%, 6/ 1/2012 1,685,000 1,815,867
PSI Energy Inc
5.00%, 9/15/2013 325,000 316,377
6.12%, 10/15/2035 1,200,000 1,203,798
Puget Energy Inc
3.36%, 6/ 1/2008 350,000 336,600
Southern California Edison Co
5.00%, 1/15/2014 500,000 491,341
5.00%, 1/15/2016 980,000 956,798
5.35%, 7/15/2035 1,680,000 1,592,830
TXU Electric Delivery Co
6.38%, 5/ 1/2012 3,175,000 3,318,281
7.25%, 1/15/2033 115,000 132,787
TXU Energy Co LLC
6.13%, 3/15/2008 2,805,000 2,843,395
Virginia Electric and Power Co
5.75%, 3/31/2006 225,000 225,238
4.50%, 12/15/2010 325,000 314,442
-------------------
55,821,502
-------------------
Electronic Components - Miscellaneous (0.10%)
Celestica Inc
7.88%, 7/ 1/2011 350,000 352,625
7.63%, 7/ 1/2013 100,000 97,750
Communications & Power Industries Inc
8.00%, 2/ 1/2012 500,000 510,000
Flextronics International Ltd
6.25%, 11/15/2014 500,000 487,500
-------------------
1,447,875
-------------------
Electronic Components - Semiconductors (0.06%)
Amkor Technology Inc
9.25%, 2/15/2008 350,000 343,000
Avago Technologies Finance Pte/Avago Technologies
US/Avago
10.13%, 12/ 1/2013 (b) 150,000 153,749
STATS ChipPAC Ltd
6.75%, 11/15/2011 375,000 366,563
-------------------
863,312
-------------------
Electronic Connectors (0.09%)
Thomas & Betts Corp
6.63%, 5/ 7/2008 1,330,000 1,360,009
-------------------
Electronics - Military (0.03%)
L-3 Communications Corp
5.88%, 1/15/2015 400,000 386,000
-------------------
Export & Import Bank (0.05%)
Export-Import Bank Of Korea
4.50%, 8/12/2009 740,000 726,437
-------------------
Federal & Federally Sponsored Credit (0.01%)
Federal Farm Credit Bank
7.25%, 6/12/2007 180,000 185,665
-------------------
Filtration & Separation Products (0.02%)
Polypore Inc
8.75%, 5/15/2012 250,000 227,500
-------------------
Finance - Auto Loans (0.42%)
American Honda Finance Corp
4.58%, 3/ 8/2007 (a)(b) 3,000,000 3,004,368
Ford Motor Credit Co
6.88%, 2/ 1/2006 160,000 160,000
6.50%, 1/25/2007 905,000 895,265
6.63%, 6/16/2008 175,000 164,672
5.63%, 10/ 1/2008 175,000 159,100
General Motors Acceptance Corp
6.88%, 9/15/2011 800,000 763,785
Nissan Motor Acceptance Corp
4.63%, 3/ 8/2010 (b) 1,150,000 1,119,300
-------------------
6,266,490
-------------------
Finance - Commercial (0.58%)
Caterpillar Financial Services Corp
4.65%, 7/27/2007 (a) 3,000,000 3,002,292
5.05%, 12/ 1/2010 1,375,000 1,374,137
CIT Group Inc
4.54%, 2/15/2007 (a) 875,000 876,780
Textron Financial Corp
4.55%, 8/29/2006 (a) 1,500,000 1,501,321
4.89%, 10/ 6/2006 (a) 2,000,000 2,005,100
-------------------
8,759,630
-------------------
Finance - Consumer Loans (0.90%)
HSBC Finance Capital Trust IX
5.91%, 11/30/2035 650,000 651,472
HSBC Finance Corp
5.75%, 1/30/2007 700,000 704,695
4.63%, 1/15/2008 100,000 99,312
4.13%, 12/15/2008 900,000 876,912
4.13%, 11/16/2009 1,750,000 1,685,451
4.62%, 11/16/2009 (a) 3,275,000 3,283,188
6.38%, 10/15/2011 110,000 115,836
7.00%, 5/15/2012 2,095,000 2,273,029
4.75%, 7/15/2013 430,000 411,813
SLM Corp
4.76%, 7/27/2009 (a) 3,500,000 3,491,674
-------------------
13,593,382
-------------------
Finance - Credit Card (0.77%)
Capital One Bank
6.88%, 2/ 1/2006 2,935,000 2,935,000
5.00%, 6/15/2009 2,165,000 2,148,308
5.13%, 2/15/2014 425,000 415,753
Capital One Financial Corp
4.80%, 2/21/2012 735,000 710,388
MBNA Corp
4.72%, 5/ 5/2008 (a) 1,875,000 1,889,914
MBNA Europe Funding Plc
4.55%, 9/ 7/2007 (a)(b) 3,500,000 3,501,246
-------------------
11,600,609
-------------------
-------------------
Finance - Investment Banker & Broker (3.22%)
Bear Stearns Cos Inc/The
3.00%, 3/30/2006 780,000 777,827
5.30%, 10/30/2015 790,000 782,390
Citigroup Inc
4.52%, 5/18/2010 (a) 5,550,000 5,556,549
5.00%, 9/15/2014 415,000 405,483
5.30%, 1/ 7/2016 1,400,000 1,398,314
6.63%, 6/15/2032 470,000 524,747
5.88%, 2/22/2033 230,000 234,230
Credit Suisse First Boston USA Inc
4.84%, 1/15/2010 (a) 1,500,000 1,504,110
E*Trade Financial Corp
8.00%, 6/15/2011 500,000 520,000
Goldman Sachs Group Inc
3.88%, 1/15/2009 790,000 764,578
6.65%, 5/15/2009 75,000 78,450
4.94%, 7/23/2009 (a) 2,000,000 2,011,870
4.62%, 3/ 2/2010 (a) 1,500,000 1,500,105
6.60%, 1/15/2012 1,275,000 1,359,567
5.25%, 4/ 1/2013 735,000 728,246
5.25%, 10/15/2013 175,000 173,169
5.15%, 1/15/2014 305,000 299,846
5.13%, 1/15/2015 2,540,000 2,484,054
Jefferies Group Inc
6.25%, 1/15/2036 1,120,000 1,100,668
JPMorgan Chase & Co
4.64%, 3/ 9/2009 (a) 2,000,000 2,005,642
4.75%, 3/ 1/2015 2,135,000 2,054,017
5.25%, 5/ 1/2015 3,665,000 3,608,742
Lehman Brothers Holdings E-Capital Trust I
5.15%, 8/19/2065 (a)(b) 305,000 305,821
Lehman Brothers Holdings Inc
4.56%, 11/10/2009 (a) 3,000,000 3,012,819
5.00%, 1/14/2011 1,680,000 1,669,834
Merrill Lynch & Co Inc
4.54%, 2/ 6/2009 (a) 2,275,000 2,281,850
4.51%, 2/ 5/2010 (a) 1,500,000 1,501,572
5.45%, 7/15/2014 450,000 452,709
Morgan Stanley
4.71%, 1/12/2007 (a) 1,100,000 1,101,120
4.88%, 1/15/2010 (a) 3,925,000 3,937,211
6.75%, 4/15/2011 640,000 685,431
5.30%, 3/ 1/2013 455,000 453,495
4.75%, 4/ 1/2014 3,465,000 3,297,214
-------------------
48,571,680
-------------------
Finance - Leasing Company (0.15%)
Boeing Capital Corp
5.65%, 5/15/2006 200,000 200,678
International Lease Finance Corp
5.00%, 1/15/2010 (a) 2,000,000 2,010,466
-------------------
2,211,144
-------------------
Finance - Mortgage Loan/Banker (4.04%)
Countrywide Financial Corp
4.77%, 12/19/2008 (a) 1,665,000 1,664,690
Countrywide Home Loans Inc
4.90%, 6/ 2/2006 (a) 775,000 775,968
5.50%, 2/ 1/2007 255,000 255,855
4.59%, 11/16/2007 (a) 750,000 751,454
Countrywide Home Loans Inc (continued)
4.25%, 12/19/2007 240,000 236,313
Fannie Mae
2.30%, 3/28/2006 675,000 672,489
3.70%, 11/ 1/2007 1,870,000 1,835,914
2.88%, 5/19/2008 825,000 791,187
3.88%, 11/17/2008 1,275,000 1,241,697
5.25%, 1/15/2009 350,000 354,564
7.25%, 1/15/2010 250,000 271,438
6.00%, 5/15/2011 75,000 79,077
4.75%, 2/21/2013 1,350,000 1,329,935
4.83%, 2/25/2018 (a) 1,431,641 1,435,389
4.78%, 11/25/2022 (a) 1,697,404 1,702,805
4.73%, 1/25/2023 (a) 2,159,707 2,163,366
6.25%, 5/15/2029 1,000,000 1,164,446
7.25%, 5/15/2030 4,400,000 5,723,296
4.83%, 2/25/2032 (a) 3,485,113 3,490,383
4.78%, 3/25/2035 (a) 1,407,551 1,406,331
Fannie Mae Whole Loan
4.73%, 5/25/2035 (a) 3,034,260 3,048,855
Freddie Mac
2.65%, 5/30/2008 2,025,000 1,930,718
4.75%, 5/ 6/2013 1,150,000 1,108,455
4.63%, 5/28/2013 925,000 885,245
4.50%, 7/15/2013 7,500,000 7,330,575
4.77%, 6/15/2018 (a) 1,736,836 1,741,606
4.92%, 6/15/2023 (a) 2,010,764 2,028,853
4.82%, 2/15/2030 (a) 1,398,441 1,403,223
4.82%, 5/15/2030 (a) 1,118,978 1,120,042
6.75%, 3/15/2031 1,303,000 1,618,387
6.25%, 7/15/2032 7,550,000 8,851,975
Residential Capital Corp
5.90%, 6/29/2007 (a) 2,025,000 2,038,887
Thornburg Mortgage Inc
8.00%, 5/15/2013 475,000 467,875
-------------------
60,921,293
-------------------
Finance - Other Services (0.16%)
American Real Estate Partners LP/American Real Estate
Financ
7.13%, 2/15/2013 250,000 253,125
Athena Neurosciences Finance LLC
7.25%, 2/21/2008 425,000 418,625
PCCW HKT Capital Ltd
5.25%, 7/20/2015 (b) 1,750,000 1,667,263
-------------------
2,339,013
-------------------
Food - Miscellaneous/Diversified (0.17%)
Corn Products International Inc
8.45%, 8/15/2009 470,000 515,270
HJ Heinz Co
6.43%, 12/ 1/2008 (a)(b) 500,000 514,585
Kraft Foods Inc
4.63%, 11/ 1/2006 1,525,000 1,520,982
-------------------
2,550,837
-------------------
Food - Retail (0.16%)
Delhaize America Inc
7.38%, 4/15/2006 685,000 687,701
Safeway Inc
7.00%, 9/15/2007 440,000 451,286
Safeway Inc (continued)
5.80%, 8/15/2012 1,200,000 1,198,039
-------------------
2,337,026
-------------------
Food - Wholesale & Distribution (0.01%)
Sysco International Co
6.10%, 6/ 1/2012 100,000 104,554
-------------------
Gas - Distribution (0.04%)
Sempra Energy
4.75%, 5/15/2009 675,000 665,150
-------------------
Home Equity - Other (8.35%)
ACE Securities Corp
4.76%, 3/25/2035 (a) 1,050,000 1,050,894
4.74%, 5/25/2035 (a) 1,115,000 1,116,393
4.64%, 7/25/2035 (a) 4,140,533 4,140,715
4.74%, 8/25/2035 (a) 6,050,000 6,049,794
4.74%, 9/25/2035 (a) 4,875,000 4,874,834
4.73%, 10/25/2035 (a) 5,100,000 5,099,827
Asset Backed Funding Certificates
4.79%, 2/25/2035 (a) 1,418,539 1,418,884
Bear Stearns Asset Backed Securities Inc
5.13%, 3/25/2034 (a) 1,515,000 1,514,944
4.77%, 2/25/2035 (a) 3,125,000 3,126,784
CDC Mortgage Capital Trust
5.10%, 6/25/2034 (a) 700,000 703,072
Countrywide Asset-Backed Certificates
4.85%, 8/25/2032 (a) 3,572,701 3,575,941
First NLC Trust
4.76%, 5/25/2035 (a) 6,347,803 6,347,587
4.86%, 5/25/2035 (a) 1,622,442 1,619,684
4.76%, 12/25/2035 (a) 6,600,000 6,599,776
First-Citizens Home Equity Loan LLC
4.68%, 9/15/2022 (a)(b) 2,311,531 2,317,941
Indymac Residential Asset Backed Trust
4.77%, 8/25/2035 (a) 3,500,000 3,503,640
IXIS Real Estate Capital Trust
4.77%, 12/25/2035 (a) 2,375,000 2,376,681
JP Morgan Mortgage Acquisition Corp
4.79%, 7/25/2035 (a) 6,200,000 6,208,934
Master Asset Backed Securities Trust
4.76%, 12/25/2034 (a) 2,691,952 2,693,907
Merrill Lynch Mortgage Investors Inc
4.73%, 2/25/2036 (a) 2,700,000 2,700,829
Morgan Stanley ABS Capital I
4.75%, 12/25/2034 (a) 5,262,506 5,267,558
5.40%, 12/25/2034 (a) 1,500,000 1,499,460
4.63%, 7/25/2035 (a) 1,986,651 1,986,755
4.78%, 9/25/2035 (a) 5,500,000 5,504,235
Morgan Stanley Home Equity Loans
4.64%, 8/25/2035 (a) 4,162,530 4,162,755
New Century Home Equity Loan Trust
5.25%, 1/25/2034 (a) 1,500,000 1,512,342
4.82%, 3/25/2035 (a) 2,206,586 2,208,300
Nomura Home Equity Loan Inc
4.65%, 5/25/2035 (a) 3,654,741 3,655,406
4.75%, 5/25/2035 (a) 2,000,000 2,002,998
Option One Mortgage Loan Trust
5.06%, 5/25/2034 (a) 1,250,000 1,254,964
Option One Mortgage Loan Trust (continued)
5.58%, 5/25/2034 (a) 1,250,000 1,249,954
4.83%, 11/25/2034 (a) 396,744 397,141
4.77%, 2/25/2035 (a) 2,237,905 2,240,071
5.53%, 2/25/2035 (a) 600,000 603,629
4.75%, 5/25/2035 (a) 3,000,000 3,002,328
Residential Asset Securities Corp
6.33%, 4/25/2032 (a) 208,360 208,539
4.97%, 10/25/2033 (a) 1,095,802 1,098,014
5.12%, 12/25/2033 (a) 2,000,000 2,010,868
5.68%, 3/25/2035 (a) 1,050,000 1,046,919
4.73%, 5/25/2035 (a) 2,475,000 2,475,849
4.73%, 6/25/2035 (a) 3,750,000 3,756,375
4.69%, 7/25/2035 (a) 5,928,000 5,928,889
Saxon Asset Securities Trust
5.66%, 3/25/2035 (a) 1,800,000 1,812,118
Structured Asset Securities Corp
4.75%, 3/25/2035 (a) 2,725,000 2,725,940
Wells Fargo Home Equity Trust
5.03%, 4/25/2034 (a) 1,140,000 1,139,976
-------------------
125,792,444
-------------------
Home Equity - Sequential (0.16%)
Ameriquest Mortgage Securities Inc
4.37%, 10/25/2033 913,287 909,991
Residential Asset Securities Corp
4.70%, 10/25/2031 1,500,000 1,493,997
-------------------
2,403,988
-------------------
Hotels & Motels (0.08%)
HMH Properties Inc
7.88%, 8/ 1/2008 1,140,000 1,151,400
-------------------
Independent Power Producer (0.08%)
NRG Energy Inc
7.25%, 2/ 1/2014 (d) 775,000 785,656
Reliant Energy Inc
9.50%, 7/15/2013 250,000 247,500
6.75%, 12/15/2014 200,000 172,000
-------------------
1,205,156
-------------------
Industrial Automation & Robots (0.03%)
Intermec Inc
7.00%, 3/15/2008 450,000 454,500
-------------------
Industrial Gases (0.02%)
Praxair Inc
6.50%, 3/ 1/2008 235,000 242,000
-------------------
Insurance Brokers (0.08%)
Marsh & McLennan Cos Inc
4.72%, 7/13/2007 (a) 1,275,000 1,272,959
-------------------
Investment Companies (0.11%)
Canadian Oil Sands Ltd
4.80%, 8/10/2009 (b) 1,700,000 1,669,597
-------------------
Investment Management & Advisory Services (0.12%)
Ameriprise Financial Inc
5.35%, 11/15/2010 1,860,000 1,868,973
-------------------
Life & Health Insurance (0.64%)
Hartford Life Global Funding Trusts
4.66%, 9/15/2009 (a) 3,475,000 3,481,655
Pacific Life Global Funding
4.73%, 6/22/2011 (a)(b) 2,500,000 2,500,342
Sun Life Financial Global Funding LP
4.78%, 7/ 6/2010 (a)(b) 1,750,000 1,752,154
Torchmark Corp
6.25%, 12/15/2006 500,000 503,137
UnumProvident Finance Co PLC
6.85%, 11/15/2015 (b) 1,300,000 1,356,381
-------------------
9,593,669
-------------------
Linen Supply & Related Items (0.01%)
Cintas Corp No. 2
5.13%, 6/ 1/2007 175,000 174,994
-------------------
Machinery - Construction & Mining (0.04%)
Terex Corp
9.25%, 7/15/2011 600,000 640,500
-------------------
Machinery - Farm (0.03%)
Case New Holland Inc
9.25%, 8/ 1/2011 475,000 508,250
-------------------
Machinery - Material Handling (0.03%)
Columbus McKinnon Corp/NY
10.00%, 8/ 1/2010 347,000 383,435
-------------------
Machinery Tools & Related Products (0.11%)
Kennametal Inc
7.20%, 6/15/2012 1,525,000 1,648,848
-------------------
Medical - Outpatient & Home Medical Care (0.02%)
Select Medical Corp
7.63%, 2/ 1/2015 350,000 311,500
-------------------
Medical - Drugs (0.11%)
Biovail Corp
7.88%, 4/ 1/2010 500,000 516,875
Teva Pharmaceutical Finance LLC
5.55%, 2/ 1/2016 375,000 374,174
6.15%, 2/ 1/2036 750,000 753,481
-------------------
1,644,530
-------------------
Medical - HMO (0.38%)
Coventry Health Care Inc
5.88%, 1/15/2012 2,892,000 2,906,460
WellPoint Inc
5.00%, 1/15/2011 350,000 347,415
5.25%, 1/15/2016 1,450,000 1,431,163
5.85%, 1/15/2036 1,100,000 1,095,312
-------------------
5,780,350
-------------------
Medical - Hospitals (0.26%)
HCA Inc
7.13%, 6/ 1/2006 435,000 437,566
5.25%, 11/ 6/2008 1,190,000 1,179,771
6.95%, 5/ 1/2012 1,340,000 1,378,725
9.00%, 12/15/2014 200,000 229,934
8.36%, 4/15/2024 150,000 162,106
United Surgical Partners International
10.00%, 12/15/2011 550,000 589,875
-------------------
3,977,977
-------------------
Medical - Wholesale Drug Distribution (0.13%)
AmerisourceBergen Corp
5.63%, 9/15/2012 (b) 1,950,000 1,954,875
-------------------
Medical Instruments (0.18%)
Boston Scientific Corp
5.50%, 11/15/2015 750,000 761,846
Medtronic Inc
4.75%, 9/15/2015 (b) 2,065,000 1,987,699
-------------------
2,749,545
-------------------
Medical Laboratory & Testing Service (0.08%)
Quest Diagnostics Inc
5.45%, 11/ 1/2015 (b) 1,200,000 1,196,304
-------------------
Metal - Diversified (0.14%)
Earle M Jorgensen Co
9.75%, 6/ 1/2012 450,000 488,250
Falconbridge Ltd
7.35%, 6/ 5/2012 500,000 542,522
5.38%, 6/ 1/2015 640,000 614,817
Freeport-McMoRan Copper & Gold Inc
6.88%, 2/ 1/2014 500,000 506,875
-------------------
2,152,464
-------------------
Metal Processors & Fabrication (0.02%)
Trimas Corp
9.88%, 6/15/2012 300,000 256,500
-------------------
Miscellaneous Manufacturers (0.03%)
Samsonite Corp
8.88%, 6/ 1/2011 450,000 474,750
-------------------
Mortgage Backed Securities (13.07%)
ACT Depositor Corp
4.81%, 9/22/2041 (a)(b)(c) 6,250,000 6,250,000
Adjustable Rate Mortgage Trust
5.10%, 2/25/2035 (a) 2,000,000 2,008,808
5.13%, 11/25/2035 1,600,000 1,578,141
Banc of America Commercial Mortgage Inc
0.14%, 11/10/2038 (a)(b) 9,780,646 183,426
0.05%, 7/10/2043 (a)(b) 161,020,417 1,897,304
4.67%, 7/10/2043 3,000,000 2,869,224
4.86%, 7/10/2043 3,000,000 2,909,631
Bear Stearns Adjustable Rate Mortgage Trust
3.51%, 6/25/2034 (a) 855,000 824,088
5.17%, 8/25/2035 3,349,106 3,337,257
Bear Stearns Alt-A Trust
4.81%, 7/25/2035 (a) 1,107,372 1,108,138
Bear Stearns Commercial Mortgage Securities Inc
4.79%, 6/15/2017 (a)(b) 2,750,000 2,751,298
0.58%, 5/11/2039 (a)(b) 7,367,618 162,655
Bella Vista Mortgage Trust
4.81%, 1/22/2045 (a) 2,269,542 2,268,680
4.74%, 5/20/2045 (a) 2,728,185 2,741,780
Chase Commercial Mortgage Securities Corp
7.03%, 1/15/2032 85,023 85,855
Chase Manhattan Bank-First Union National
7.13%, 8/15/2031 216,347 218,862
Countrywide Alternative Loan Trust
5.00%, 10/25/2018 1,910,807 1,871,674
4.78%, 5/25/2034 (a) 2,250,000 2,249,613
4.75%, 5/25/2035 (a) 85,837 86,401
4.79%, 7/20/2035 (a)(c) 2,961,505 2,966,139
Countrywide Asset-Backed Certificates
4.66%, 11/25/2035 (a) 3,701,118 3,701,166
4.81%, 11/25/2035 (a) 2,325,000 2,325,314
4.80%, 1/25/2036 (a) 6,000,000 6,004,608
Countrywide Home Loan Mortgage Pass Through
4.50%, 1/25/2033 56,445 55,852
4.59%, 12/19/2033 (a) 1,000,000 958,500
CS First Boston Mortgage Securities Corp
1.43%, 3/15/2036 (a)(b) 12,887,351 463,622
0.52%, 5/15/2036 (a)(b) 14,059,757 228,288
0.64%, 7/15/2036 (a)(b) 13,902,617 355,017
0.07%, 11/15/2037 (a)(b) 23,257,055 488,794
7.64%, 9/15/2041 (a) 470,000 508,509
First Union National Bank Commercial Mortgage
8.09%, 5/17/2032 700,000 772,180
6.14%, 2/12/2034 150,000 156,828
Ge Capital Commercial Mortgage Corp
0.64%, 3/10/2040 (a)(b) 22,862,854 533,345
4.98%, 5/10/2043 (a) 5,780,000 5,657,869
GMAC Commercial Mortgage Securities Inc
0.89%, 3/10/2038 (a)(b) 10,907,952 351,803
Greenpoint Mortgage Funding Trust
4.80%, 6/25/2045 (a) 1,980,884 1,985,438
4.83%, 6/25/2045 (a) 1,932,889 1,936,173
Greenwich Capital Commercial Funding Co
0.36%, 6/10/2036 (a)(b) 112,578,632 1,535,910
HSI Asset Securitization Corp Trust
4.66%, 7/25/2035 (a) 5,438,728 5,440,006
4.71%, 8/25/2035 (a) 5,025,000 5,024,829
Impac CMB Trust
5.00%, 10/25/2033 (a) 1,062,862 1,063,034
5.03%, 10/25/2033 (a) 1,024,016 1,024,435
4.91%, 1/25/2035 (a) 2,117,106 2,123,462
4.84%, 4/25/2035 (a) 1,778,122 1,779,114
4.96%, 4/25/2035 (a) 1,148,671 1,150,395
4.83%, 8/25/2035 (a) 1,854,603 1,855,190
5.04%, 8/25/2035 (a) 4,973,797 4,987,415
Impac Secured Assets CMN Owner Trust
4.80%, 12/25/2031 (a) 5,450,000 5,449,896
Indymac Index Mortgage Loan Trust
4.83%, 4/25/2034 (a) 3,367,018 3,372,509
4.76%, 4/25/2035 (a) 1,810,722 1,811,443
4.86%, 4/25/2035 (a) 1,308,401 1,311,728
4.83%, 8/25/2035 (a) 2,387,405 2,391,253
JP Morgan Chase Commercial Mortgage Securities
1.16%, 1/12/2039 (a)(b) 11,344,212 458,000
0.04%, 1/15/2042 (a)(b) 25,714,282 465,351
JP Morgan Mortgage Trust
4.97%, 11/25/2035 (a) 5,850,000 5,730,327
5.41%, 1/25/2036 (a)(c) 2,125,000 2,125,000
LB-UBS Commercial Mortgage Trust
4.90%, 6/15/2026 490,000 488,819
6.37%, 12/15/2028 400,000 421,135
0.62%, 3/15/2034 (a)(b) 4,313,333 64,144
0.19%, 3/15/2036 (a)(b) 7,271,631 209,619
1.20%, 3/15/2036 (a)(b) 6,719,663 259,285
0.72%, 8/15/2036 (a)(b) 10,827,407 283,754
0.15%, 7/15/2040 (b) 74,630,893 1,613,371
Lehman XS Trust
4.48%, 11/25/2035 (a)(c) 6,897,999 6,897,999
Merrill Lynch Mortgage Investors Inc
4.65%, 8/25/2035 (a) 3,227,441 3,226,715
Merrill Lynch Mortgage Trust
0.54%, 2/12/2042 (a) 28,419,473 522,918
Morgan Stanley Capital I
7.11%, 4/15/2033 100,000 105,944
1.05%, 1/13/2041 (a)(b) 7,193,254 299,995
4.60%, 5/24/2043 (a)(b)(c) 4,600,000 4,600,000
Morgan Stanley Dean Witter Capital I
6.54%, 2/15/2031 36,762 37,905
6.20%, 7/15/2033 380,059 387,898
0.76%, 4/15/2034 (a)(b) 2,908,626 67,201
Nationslink Funding Corp
7.23%, 6/20/2031 115,000 119,981
Nomura Asset Acceptance Corp
4.88%, 2/25/2035 (a) 1,937,309 1,942,563
Sequoia Mortgage Trust
4.72%, 2/20/2035 (a) 2,135,705 2,134,684
Specialty Underwriting & Residential Finance
5.04%, 2/25/2035 (a) 1,135,000 1,139,560
4.76%, 12/25/2035 (a) 2,500,000 2,500,670
4.76%, 3/25/2036 (a) 2,700,000 2,702,759
4.64%, 6/25/2036 (a) 2,561,415 2,561,705
Structured Adjustable Rate Mortgage Loan Trust
4.70%, 7/25/2034 (a) 1,300,000 1,275,466
5.23%, 8/25/2034 (a) 2,416,007 2,420,104
4.78%, 3/25/2035 (a) 2,525,000 2,525,717
Structured Asset Mortgage Investments Inc
4.83%, 5/25/2045 (a) 1,968,503 1,975,349
4.84%, 9/25/2045 (a) 2,787,325 2,797,853
Thornburg Mortgage Securities Trust
4.79%, 10/25/2035 (a) 4,298,198 4,301,938
Wachovia Bank Commercial Mortgage Trust
0.13%, 11/15/2035 (b) 68,079,178 815,180
0.47%, 10/15/2041 (a)(b) 59,585,413 1,201,421
0.30%, 3/15/2042 (a)(b) 103,910,753 1,438,956
4.94%, 4/15/2042 5,535,000 5,396,110
Washington Mutual Inc
3.97%, 3/25/2033 701,823 686,905
3.80%, 6/25/2034 (a) 1,345,000 1,290,478
4.68%, 5/25/2035 (a)(c) 945,000 924,299
4.86%, 7/25/2044 (a) 1,944,188 1,953,781
4.84%, 1/25/2045 (a) 1,630,374 1,635,045
4.93%, 1/25/2045 (a) 2,775,000 2,781,399
Washington Mutual Inc (continued)
5.06%, 1/25/2045 (a) 2,471,141 2,490,132
4.76%, 4/25/2045 (a) 1,302,596 1,300,776
4.80%, 4/25/2045 (a) 1,302,596 1,301,891
4.82%, 7/25/2045 (a) 2,927,438 2,929,672
4.78%, 11/25/2045 (a) 6,392,847 6,402,858
Wells Fargo Mortgage Backed Securities
4.98%, 10/25/2035 (c) 2,594,154 2,570,442
-------------------
196,955,973
-------------------
Multi-line Insurance (0.72%)
ACE Ltd
6.00%, 4/ 1/2007 1,450,000 1,462,567
CNA Financial Corp
5.85%, 12/15/2014 2,490,000 2,486,669
ING Groep NV
5.78%, 12/ 8/2035 1,335,000 1,341,516
Metlife Inc
5.25%, 12/ 1/2006 1,500,000 1,501,695
Metropolitan Life Global Funding I
4.65%, 3/17/2009 (a)(b) 1,625,000 1,624,912
XL Capital Ltd
5.25%, 9/15/2014 2,560,000 2,492,431
-------------------
10,909,790
-------------------
Multimedia (0.65%)
News America Inc
6.63%, 1/ 9/2008 1,875,000 1,927,406
4.75%, 3/15/2010 160,000 156,907
5.30%, 12/15/2014 1,115,000 1,095,733
6.20%, 12/15/2034 1,125,000 1,098,333
Quebecor Media Inc
7.75%, 3/15/2016 (b) 300,000 306,000
Time Warner Entertainment Co LP
8.38%, 3/15/2023 1,755,000 2,032,641
Time Warner Inc
6.13%, 4/15/2006 1,910,000 1,913,877
6.15%, 5/ 1/2007 705,000 712,833
Walt Disney Co
5.38%, 6/ 1/2007 520,000 522,409
-------------------
9,766,139
-------------------
Music (0.04%)
Warner Music Group
7.38%, 4/15/2014 600,000 598,500
-------------------
Mutual Insurance (0.06%)
Liberty Mutual Group Inc
7.00%, 3/15/2034 (b) 880,000 914,276
-------------------
Non-hazardous Waste Disposal (0.12%)
Allied Waste North America
8.50%, 12/ 1/2008 400,000 420,500
Casella Waste Systems Inc
9.75%, 2/ 1/2013 375,000 393,750
Waste Management Inc
5.00%, 3/15/2014 385,000 372,998
7.00%, 7/15/2028 545,000 605,232
-------------------
1,792,480
-------------------
Oil - Field Services (0.19%)
Halliburton Co
6.00%, 8/ 1/2006 525,000 527,022
5.50%, 10/15/2010 1,655,000 1,682,912
Hanover Equipment Trust
8.50%, 9/ 1/2008 (a) 698,000 722,430
-------------------
2,932,364
-------------------
Oil Company - Exploration & Production (0.94%)
Alberta Energy Co Ltd
7.38%, 11/ 1/2031 650,000 784,325
Callon Petroleum Co
9.75%, 12/ 8/2010 500,000 523,750
Chesapeake Energy Corp
6.63%, 1/15/2016 550,000 555,500
Compton Petroleum Finance Corp
7.63%, 12/ 1/2013 (b) 250,000 255,000
Devon Financing Corp ULC
7.88%, 9/30/2031 1,415,000 1,777,522
EnCana Corp
6.30%, 11/ 1/2011 175,000 185,344
7.20%, 11/ 1/2031 125,000 147,931
Energy Partners Ltd
8.75%, 8/ 1/2010 400,000 413,000
Nexen Inc
5.05%, 11/20/2013 3,460,000 3,382,188
7.88%, 3/15/2032 225,000 274,232
Pemex Project Funding Master Trust
8.00%, 11/15/2011 1,170,000 1,308,060
7.38%, 12/15/2014 150,000 165,600
Plains Exploration & Production Co
8.75%, 7/ 1/2012 375,000 404,062
Pogo Producing Co
6.88%, 10/ 1/2017 (b) 375,000 375,000
Swift Energy Co
9.38%, 5/ 1/2012 600,000 646,500
Talisman Energy Inc
5.13%, 5/15/2015 985,000 964,009
Vintage Petroleum Inc
7.88%, 5/15/2011 1,500,000 1,567,500
Woodside Finance Ltd
6.70%, 8/ 1/2011 (b) 150,000 162,909
XTO Energy Inc
6.25%, 4/15/2013 235,000 247,622
-------------------
14,140,054
-------------------
Oil Company - Integrated (0.43%)
Amerada Hess Corp
7.30%, 8/15/2031 1,770,000 2,058,370
ConocoPhillips Holding Co
6.95%, 4/15/2029 100,000 118,570
Husky Energy Inc
6.25%, 6/15/2012 500,000 523,725
6.15%, 6/15/2019 700,000 720,604
Occidental Petroleum Corp
4.00%, 11/30/2007 460,000 451,938
Petrobras International Finance Co
9.13%, 2/ 1/2007 325,000 337,188
9.75%, 7/ 6/2011 180,000 214,200
8.38%, 12/10/2018 600,000 684,000
Petro-Canada
5.95%, 5/15/2035 730,000 731,333
Petronas Capital Ltd
7.88%, 5/22/2022 (b) 545,000 669,966
-------------------
6,509,894
-------------------
Oil Field Machinery & Equipment (0.06%)
Cooper Cameron Corp
2.65%, 4/15/2007 940,000 908,786
-------------------
Oil Refining & Marketing (0.51%)
Enterprise Products Operating LP
4.00%, 10/15/2007 1,095,000 1,071,910
6.38%, 2/ 1/2013 775,000 808,454
5.75%, 3/ 1/2035 945,000 868,984
Premcor Refining Group Inc/The
9.25%, 2/ 1/2010 1,150,000 1,239,172
6.75%, 2/ 1/2011 1,675,000 1,778,825
Tesoro Corp
6.25%, 11/ 1/2012 (b) 1,350,000 1,360,125
Valero Energy Corp
7.38%, 3/15/2006 600,000 600,936
-------------------
7,728,406
-------------------
Paper & Related Products (0.24%)
Abitibi-Consolidated Co of Canada
8.38%, 4/ 1/2015 500,000 470,000
Celulosa Arauco y Constitucion SA
5.13%, 7/ 9/2013 205,000 196,863
Georgia-Pacific Corp
7.50%, 5/15/2006 1,800,000 1,804,500
Neenah Paper Inc
7.38%, 11/15/2014 550,000 517,000
Plum Creek Timberlands LP
5.88%, 11/15/2015 620,000 621,992
-------------------
3,610,355
-------------------
Pharmacy Services (0.23%)
Medco Health Solutions Inc
7.25%, 8/15/2013 2,085,000 2,276,643
Omnicare Inc
6.75%, 12/15/2013 250,000 250,000
6.88%, 12/15/2015 950,000 951,187
-------------------
3,477,830
-------------------
Physician Practice Management (0.05%)
US Oncology Inc
9.00%, 8/15/2012 600,000 637,500
10.75%, 8/15/2014 150,000 165,750
-------------------
803,250
-------------------
Pipelines (0.21%)
Boardwalk Pipelines LLC
5.50%, 2/ 1/2017 540,000 534,301
Buckeye Partners LP
4.63%, 7/15/2013 1,185,000 1,122,977
Consolidated Natural Gas Co
5.00%, 3/ 1/2014 250,000 241,782
Enbridge Energy Partners LP
4.00%, 1/15/2009 388,000 374,033
National Fuel Gas Co
5.25%, 3/ 1/2013 350,000 346,306
Texas Eastern Transmission LP
5.25%, 7/15/2007 335,000 334,873
Williams Cos Inc
6.38%, 10/ 1/2010 (b) 200,000 201,000
-------------------
3,155,272
-------------------
Poultry (0.04%)
Pilgrim's Pride Corp
9.63%, 9/15/2011 500,000 530,000
-------------------
Printing - Commercial (0.08%)
Cadmus Communications Corp
8.38%, 6/15/2014 500,000 505,000
Sheridan Group Inc/The
10.25%, 8/15/2011 650,000 668,688
-------------------
1,173,688
-------------------
Private Corrections (0.03%)
Corrections Corp of America
6.75%, 1/31/2014 500,000 504,375
-------------------
Property & Casualty Insurance (0.75%)
Arch Capital Group Ltd
7.35%, 5/ 1/2034 3,055,000 3,415,911
Markel Corp
6.80%, 2/15/2013 3,280,000 3,423,136
St Paul Travelers Cos Inc/The
5.75%, 3/15/2007 1,125,000 1,127,833
WR Berkley Corp
5.13%, 9/30/2010 2,880,000 2,850,345
5.88%, 2/15/2013 430,000 430,458
-------------------
11,247,683
-------------------
Publishing - Books (0.18%)
Reed Elsevier Capital Inc
6.13%, 8/ 1/2006 150,000 150,807
4.82%, 6/15/2010 (a) 2,560,000 2,567,657
-------------------
2,718,464
-------------------
Publishing - Newspapers (0.02%)
Block Communications Inc
8.25%, 12/15/2015 (b) 350,000 346,938
-------------------
Publishing - Periodicals (0.08%)
American Media Operations Inc
10.25%, 5/ 1/2009 625,000 573,437
Dex Media West LLC/Dex Media Finance Co
9.88%, 8/15/2013 600,000 662,250
-------------------
1,235,687
-------------------
Quarrying (0.03%)
Compass Minerals International Inc
0.00%, 6/ 1/2013 (a) 450,000 405,000
-------------------
Recreational Centers (0.04%)
AMF Bowling Worldwide Inc
10.00%, 3/ 1/2010 625,000 639,062
-------------------
Regional Banks (0.79%)
Fifth Third Bancorp
3.38%, 8/15/2008 350,000 336,848
Keycorp
4.81%, 7/23/2007 (a) 1,750,000 1,754,209
PNC Funding Corp
5.75%, 8/ 1/2006 1,180,000 1,184,495
5.25%, 11/15/2015 775,000 766,890
Wachovia Capital Trust III
5.80%, 3/15/2011 (d) 2,255,000 2,259,569
Wachovia Corp
5.63%, 12/15/2008 865,000 881,317
6.38%, 2/ 1/2009 365,000 377,669
5.25%, 8/ 1/2014 2,095,000 2,076,616
Wells Fargo & Co
5.13%, 2/15/2007 610,000 610,185
4.58%, 9/28/2007 (a) 1,160,000 1,161,243
3.12%, 8/15/2008 475,000 454,766
-------------------
11,863,807
-------------------
Reinsurance (0.37%)
Berkshire Hathaway Finance Corp
4.75%, 5/15/2012 880,000 859,792
4.63%, 10/15/2013 400,000 386,414
Platinum Underwriters Finance Inc
7.50%, 6/ 1/2017 2,200,000 2,245,078
Transatlantic Holdings Inc
5.75%, 12/14/2015 2,135,000 2,154,021
-------------------
5,645,305
-------------------
REITS - Apartments (0.03%)
United Dominion Realty Trust Inc
6.50%, 6/15/2009 395,000 411,233
-------------------
REITS - Diversified (0.31%)
iStar Financial Inc
5.73%, 3/12/2007 (a) 2,050,000 2,069,783
4.83%, 3/ 3/2008 (a) 1,475,000 1,475,839
5.15%, 3/ 1/2012 1,180,000 1,143,527
-------------------
4,689,149
-------------------
REITS - Hotels (0.12%)
Hospitality Properties Trust
5.13%, 2/15/2015 825,000 783,869
MeriStar Hospitality Operating Partners
10.50%, 6/15/2009 1,000,000 1,050,000
-------------------
1,833,869
-------------------
REITS - Office Property (0.11%)
Brandywine Operating Partnership Lp /pa
5.63%, 12/15/2010 1,600,000 1,600,002
-------------------
REITS - Regional Malls (0.02%)
Simon Property Group LP
4.60%, 6/15/2010 375,000 365,510
-------------------
Rental - Auto & Equipment (0.07%)
Hertz Corp
8.88%, 1/ 1/2014 (b) 250,000 258,125
NationsRent Cos Inc
9.50%, 5/ 1/2015 350,000 372,750
United Rentals North America Inc
6.50%, 2/15/2012 475,000 467,875
-------------------
1,098,750
-------------------
Resorts & Theme Parks (0.03%)
Intrawest Corp
7.50%, 10/15/2013 390,000 399,750
-------------------
Retail - Apparel & Shoe (0.05%)
Foot Locker Inc
8.50%, 1/15/2022 675,000 711,450
-------------------
Retail - Auto Parts (0.14%)
CSK Auto Inc
7.00%, 1/15/2014 400,000 365,000
PEP Boys-Manny Moe & Jack
6.92%, 7/ 7/2006 1,500,000 1,500,750
7.50%, 12/15/2014 275,000 243,375
-------------------
2,109,125
-------------------
Retail - Automobile (0.07%)
Asbury Automotive Group Inc
9.00%, 6/15/2012 500,000 507,500
Group 1 Automotive Inc
8.25%, 8/15/2013 500,000 485,000
-------------------
992,500
-------------------
Retail - Discount (0.03%)
Target Corp
5.38%, 6/15/2009 80,000 80,903
5.88%, 3/ 1/2012 280,000 292,060
-------------------
372,963
-------------------
Retail - Propane Distribution (0.09%)
Amerigas Partners LP
7.25%, 5/20/2015 300,000 300,750
AmeriGas Partners LP/AmeriGas Eagle Finance Corp
7.13%, 5/20/2016 250,000 248,125
Inergy LP/Inergy Finance Corp
6.88%, 12/15/2014 500,000 471,250
Suburban Propane Partners LP/Suburban Energy Finance Corp
6.88%, 12/15/2013 400,000 381,000
-------------------
1,401,125
-------------------
Retail - Restaurants (0.37%)
Landry's Restaurants Inc
7.50%, 12/15/2014 225,000 212,625
Yum! Brands Inc
8.50%, 4/15/2006 1,500,000 1,510,227
7.70%, 7/ 1/2012 3,450,000 3,825,250
-------------------
5,548,102
-------------------
Satellite Telecommunications (0.05%)
Intelsat Ltd
5.25%, 11/ 1/2008 625,000 571,875
7.63%, 4/15/2012 175,000 141,750
-------------------
713,625
-------------------
Savings & Loans - Thrifts (0.29%)
Washington Mutual Bank
5.50%, 1/15/2013 630,000 630,746
Washington Mutual Inc
4.90%, 1/15/2010 (a) 3,750,000 3,753,559
-------------------
4,384,305
-------------------
Schools (0.03%)
Knowledge Learning Corp Inc
7.75%, 2/ 1/2015 (b) 500,000 477,500
-------------------
Semiconductor Equipment (0.03%)
MagnaChip Semiconductor SA/MagnaChip Semiconductor Financ
6.88%, 12/15/2011 500,000 490,000
-------------------
Sovereign (0.47%)
Chile Government International Bond
5.06%, 1/28/2008 (a) 1,000,000 1,004,500
Colombia Government International Bond
8.25%, 12/22/2014 750,000 853,875
Mexico Government International Bond
5.28%, 1/13/2009 (a) 1,135,000 1,152,025
8.38%, 1/14/2011 1,750,000 1,986,250
8.00%, 9/24/2022 205,000 250,100
8.30%, 8/15/2031 750,000 945,000
South Africa Government International Bond
6.50%, 6/ 2/2014 765,000 822,375
-------------------
7,014,125
-------------------
Special Purpose Banks (0.05%)
Korea Development Bank
4.25%, 11/13/2007 25,000 24,651
5.00%, 10/20/2009 (a) 760,000 765,238
-------------------
789,889
-------------------
Special Purpose Entity (1.29%)
Borden US Finance Corp/Nova Scotia Finance ULC
9.35%, 7/15/2010 (a)(b) 250,000 253,125
Crystal US Holdings 3 LLC/Crystal US Sub 3 Corp
0.00%, 10/ 1/2014 (a)(e) 170,000 126,650
10.50%, 10/ 1/2014 (a) 280,000 207,200
Farmers Exchange Capital
7.05%, 7/15/2028 (b) 725,000 754,636
Fondo LatinoAmericano De Reservas
3.00%, 8/ 1/2006 (b) 2,620,000 2,594,518
Interactive Health LLC
7.25%, 4/ 1/2011 (b) 450,000 351,000
John Hancock Global Funding II
4.70%, 4/ 3/2009 (a)(b) 2,550,000 2,554,937
MBIA Global Funding LLC
4.49%, 2/20/2007 (a)(b) 3,000,000 2,999,559
Premium Asset Trust/GEFA
4.50%, 8/12/2007 (a)(b) 2,175,000 2,175,663
Pricoa Global Funding I
4.68%, 12/22/2006 (a)(b) 3,750,000 3,756,701
Rio Tinto Finance USA Ltd
5.75%, 7/ 3/2006 550,000 552,065
Tyco International Group S.A. Participation Certification
4.44%, 6/15/2007 (b) 2,500,000 2,469,015
Visant Corp
7.63%, 10/ 1/2012 620,000 618,450
-------------------
19,413,519
-------------------
Specified Purpose Acquisition (0.05%)
Basell AF SCA
8.38%, 8/15/2015 (b) 700,000 699,125
-------------------
Supranational Bank (0.16%)
Corp Andina de Fomento
4.98%, 1/26/2007 (a) 1,165,000 1,165,592
6.88%, 3/15/2012 1,220,000 1,315,942
-------------------
2,481,534
-------------------
Telecommunication Equipment - Fiber Optics (0.07%)
Corning Inc
8.30%, 4/ 4/2025 1,050,000 1,090,193
-------------------
Telecommunication Services (0.38%)
Insight Midwest LP/Insight Capital Inc
10.50%, 11/ 1/2010 1,575,000 1,659,656
TELUS Corp
7.50%, 6/ 1/2007 1,860,000 1,914,537
8.00%, 6/ 1/2011 1,000,000 1,117,211
Verizon Global Funding Corp
5.85%, 9/15/2035 1,070,000 1,008,933
-------------------
5,700,337
-------------------
Telephone - Integrated (1.92%)
AT&T Corp
9.05%, 11/15/2011 (a) 1,850,000 2,038,706
AT&T Inc
4.39%, 6/ 5/2006 (b) 1,750,000 1,746,360
BellSouth Corp
6.88%, 10/15/2031 620,000 666,176
British Telecommunications PLC
8.38%, 12/15/2010 4,395,000 4,980,915
France Telecom SA
7.75%, 3/ 1/2011 (a) 3,240,000 3,594,624
KT Corp
4.88%, 7/15/2015 (b) 700,000 667,128
MCI Inc
6.91%, 5/ 1/2007 (a) 1,005,000 1,015,050
7.69%, 5/ 1/2009 (a) 3,875,000 3,996,094
Mountain States Tel & Tel
6.00%, 8/ 1/2007 350,000 350,000
Northwestern Bell Telephone
6.25%, 1/ 1/2007 250,000 248,750
Pacific Bell
6.88%, 8/15/2006 205,000 206,909
Sprint Capital Corp
6.90%, 5/ 1/2019 1,455,000 1,595,841
Telecom Italia Capital SA
4.00%, 1/15/2010 3,320,000 3,153,837
4.73%, 2/ 1/2011 (a) 1,420,000 1,428,723
4.95%, 9/30/2014 590,000 557,769
5.25%, 10/ 1/2015 1,375,000 1,318,665
Telefonica Europe BV
7.75%, 9/15/2010 615,000 670,846
Telefonos de Mexico SA de CV
4.50%, 11/19/2008 765,000 747,886
-------------------
28,984,279
-------------------
Television (0.14%)
BSKYB Finance UK PLC
5.63%, 10/15/2015 (b) 2,145,000 2,109,603
-------------------
Textile - Home Furnishings (0.03%)
Mohawk Industries Inc
6.50%, 4/15/2007 455,000 460,828
-------------------
Tobacco (0.03%)
RJ Reynolds Tobacco Holdings Inc
6.50%, 7/15/2010 (b) 500,000 500,000
-------------------
Transport - Equipment & Leasing (0.02%)
Greenbrier Cos Inc
8.38%, 5/15/2015 300,000 312,750
-------------------
Transport - Rail (0.26%)
CSX Corp
4.56%, 8/ 3/2006 (a) 2,000,000 2,002,844
4.88%, 11/ 1/2009 1,425,000 1,409,316
Progress Rail Services Corp/Progress Metal Reclamation Co
7.75%, 4/ 1/2012 (b) 225,000 229,500
Union Pacific Corp
4.70%, 1/ 2/2024 188,452 179,502
6.63%, 2/ 1/2029 45,000 49,866
-------------------
3,871,028
-------------------
Transport - Services (0.05%)
CHC Helicopter Corp
7.38%, 5/ 1/2014 500,000 507,500
FedEx Corp
3.50%, 4/ 1/2009 260,000 247,912
-------------------
755,412
-------------------
Venture Capital (0.02%)
Arch Western Finance LLC
6.75%, 7/ 1/2013 350,000 353,500
-------------------
Vitamins & Nutrition Products (0.05%)
NBTY Inc
7.13%, 10/ 1/2015 (b) 350,000 328,125
WH Holdings Ltd/WH Capital Corp
9.50%, 4/ 1/2011 370,000 398,675
-------------------
726,800
-------------------
Wire & Cable Products (0.03%)
Superior Essex Communications LLC/Essex Group Inc
9.00%, 4/15/2012 450,000 450,000
-------------------
BONDS (69.95%)
Electric - Integrated (3.70%)
Virginia Electric & Power
5.40%, 1/15/2016 1,400,000 1,387,329
-------------------
TOTAL BONDS $ 1,054,121,163
-------------------
U.S. GOVERNMENT & GOVERNMENT AGENCY OBLIGATIONS (49.24%)
Mortgage Corporation (FHLMC) (12.65%)
4.50%, 2/ 1/2021 (f) 23,250,000 22,545,246
5.50%, 2/ 1/2021 (f) 2,700,000 2,714,342
5.00%, 2/ 1/2036 (f) 46,725,000 45,104,203
5.50%, 2/ 1/2036 (f) 63,250,000 62,597,766
5.50%, 4/ 1/2009 39,135 39,316
5.50%, 8/ 1/2009 107,192 107,688
4.50%, 12/ 1/2009 977,444 961,799
4.50%, 2/ 1/2010 502,452 493,960
4.00%, 9/ 1/2010 3,125,728 3,028,874
4.50%, 4/ 1/2011 3,567,511 3,504,437
4.50%, 5/ 1/2011 1,580,572 1,552,628
7.00%, 8/ 1/2016 73,247 75,690
6.00%, 12/ 1/2016 29,104 29,662
5.50%, 2/ 1/2017 941,119 947,242
6.00%, 2/ 1/2017 81,136 82,692
6.00%, 3/ 1/2017 73,327 74,733
6.00%, 4/ 1/2017 156,337 159,340
5.50%, 5/ 1/2017 970,851 976,873
6.50%, 6/ 1/2017 804,136 825,133
5.50%, 9/ 1/2017 102,512 103,162
5.00%, 12/ 1/2017 480,594 475,881
5.00%, 1/ 1/2018 2,745,150 2,718,231
5.50%, 3/ 1/2018 552,030 555,320
5.50%, 4/ 1/2018 3,304,552 3,324,878
5.00%, 5/ 1/2018 1,493,666 1,478,765
4.50%, 7/ 1/2018 632,782 615,638
5.00%, 10/ 1/2018 2,827,468 2,798,173
4.50%, 11/ 1/2018 1,974,123 1,920,638
5.00%, 12/ 1/2018 4,563,662 4,516,378
5.50%, 12/ 1/2018 11,531 11,546
6.00%, 3/ 1/2022 740,307 753,382
6.00%, 7/ 1/2023 2,398,119 2,438,841
5.50%, 6/ 1/2024 3,889,226 3,882,583
6.00%, 6/ 1/2028 49,815 50,485
6.00%, 1/ 1/2029 18,662 18,913
6.50%, 3/ 1/2029 96,599 99,350
6.50%, 5/ 1/2029 126,983 130,552
7.00%, 12/ 1/2029 78,888 81,917
7.00%, 6/ 1/2030 59,401 61,655
7.50%, 9/ 1/2030 39,067 40,974
8.00%, 9/ 1/2030 132,630 141,498
8.00%, 11/ 1/2030 2,513 2,682
7.00%, 12/ 1/2030 71,566 74,281
7.50%, 12/ 1/2030 4,258 4,466
7.50%, 1/ 1/2031 95,840 100,519
6.00%, 3/ 1/2031 125,162 126,679
7.50%, 3/ 1/2031 30,599 32,093
6.00%, 4/ 1/2031 31,130 31,507
6.50%, 4/ 1/2031 75,186 77,170
6.50%, 6/ 1/2031 5,069 5,203
7.00%, 6/ 1/2031 2,327 2,415
6.50%, 9/ 1/2031 71,702 73,593
7.00%, 9/ 1/2031 19,245 19,975
6.00%, 12/ 1/2031 716,292 724,974
6.00%, 2/ 1/2032 15,734 15,924
6.50%, 2/ 1/2032 100,412 103,048
7.50%, 2/ 1/2032 45,015 47,206
7.00%, 4/ 1/2032 234,122 243,003
6.50%, 5/ 1/2032 162,557 166,806
6.50%, 9/ 1/2032 455,327 467,229
6.00%, 12/ 1/2032 675,049 682,998
6.00%, 2/ 1/2033 851,076 860,513
5.50%, 4/ 1/2033 1,096,559 1,087,808
5.50%, 5/ 1/2033 1,315,728 1,305,229
5.50%, 10/ 1/2033 1,221,006 1,211,262
5.50%, 12/ 1/2033 5,242,090 5,200,258
6.00%, 12/ 1/2033 1,253,126 1,267,021
5.50%, 9/ 1/2034 4,024,549 3,987,535
6.50%, 10/ 1/2035 703,747 720,917
-------------------
190,682,698
-------------------
Federal National Mortgage Association (FNMA) (14.58%)
4.50%, 2/ 1/2021 (f) 8,200,000 7,956,558
5.00%, 2/ 1/2021 (f) 34,600,000 34,167,500
5.50%, 2/ 1/2021 (f) 11,325,000 11,392,248
5.00%, 2/ 1/2036 (f) 51,875,000 50,108,034
5.50%, 2/ 1/2036 (f) 28,000,000 27,693,736
6.00%, 2/ 1/2036 (f) 41,150,000 41,548,661
6.50%, 2/ 1/2036 (f) 13,150,000 13,478,750
6.00%, 5/ 1/2009 176,555 180,674
6.00%, 7/ 1/2009 402,410 411,798
5.00%, 3/ 1/2010 768,762 765,574
6.50%, 4/ 1/2010 26,805 27,598
6.50%, 1/ 1/2011 75,895 78,140
6.50%, 2/ 1/2011 160,899 165,660
6.50%, 3/ 1/2011 238,171 245,219
6.50%, 7/ 1/2016 38,661 39,729
6.50%, 2/ 1/2017 120,182 123,501
6.50%, 3/ 1/2017 43,216 44,408
6.50%, 4/ 1/2017 36,916 37,935
6.50%, 8/ 1/2017 919,619 945,000
5.00%, 9/ 1/2017 1,245,804 1,233,597
5.50%, 9/ 1/2017 258,700 260,492
5.50%, 10/ 1/2017 549,454 553,260
5.00%, 3/ 1/2018 1,919,365 1,899,463
4.50%, 6/ 1/2018 1,567,858 1,526,272
6.50%, 5/ 1/2022 53,092 54,798
5.50%, 2/ 1/2023 949,470 948,421
6.00%, 2/ 1/2023 307,691 313,039
5.50%, 6/ 1/2023 3,443,290 3,439,488
5.50%, 7/ 1/2023 57,828 57,764
7.00%, 8/ 1/2029 29,955 31,162
7.00%, 9/ 1/2031 48,383 50,303
6.50%, 12/ 1/2031 44,680 45,900
6.50%, 2/ 1/2032 130,208 133,748
7.00%, 2/ 1/2032 98,227 102,092
7.00%, 3/ 1/2032 295,375 307,097
6.50%, 4/ 1/2032 32,493 33,374
6.00%, 5/ 1/2032 88,521 89,543
6.50%, 6/ 1/2032 129,181 132,687
6.50%, 8/ 1/2032 201,458 206,925
7.50%, 8/ 1/2032 162,005 169,619
6.50%, 9/ 1/2032 433,569 445,334
6.00%, 3/ 1/2033 1,075,058 1,087,460
5.50%, 7/ 1/2033 1,989,574 1,972,527
5.50%, 9/ 1/2033 2,790,718 2,766,807
6.00%, 10/ 1/2033 553,361 559,375
6.00%, 11/ 1/2033 2,144,702 2,168,011
6.00%, 12/ 1/2033 2,105,595 2,128,479
6.00%, 2/ 1/2034 1,218,312 1,231,552
4.24%, 6/ 1/2034 (a) 1,320,092 1,299,302
4.38%, 7/ 1/2034 (a) 797,345 786,662
4.34%, 12/ 1/2034 (a) 2,024,812 1,996,507
4.62%, 3/ 1/2035 (a) 2,219,414 2,196,068
-------------------
219,637,851
-------------------
Government National Mortgage Association (GNMA) (2.45%)
5.00%, 2/ 1/2036 (f) 5,560,000 5,473,125
5.50%, 2/ 1/2036 (f) 20,045,000 20,126,423
7.00%, 4/15/2031 3,361 3,530
7.00%, 6/15/2031 108,522 114,001
7.00%, 7/15/2031 18,242 19,160
6.00%, 8/15/2031 133,044 136,528
6.00%, 1/15/2032 38,903 39,930
6.00%, 2/15/2032 582,895 598,278
7.00%, 6/15/2032 542,456 569,720
6.50%, 10/15/2032 190,783 199,647
6.50%, 12/15/2032 1,756,607 1,838,219
6.00%, 2/15/2033 293,241 300,959
6.00%, 12/15/2033 372,696 382,505
6.50%, 3/20/2028 71,761 74,660
6.00%, 7/20/2028 360,668 369,003
6.00%, 11/20/2028 336,851 344,636
6.00%, 1/20/2029 364,205 372,531
6.50%, 5/20/2029 56,466 58,712
6.00%, 7/20/2029 88,802 90,833
7.50%, 10/20/2030 6,697 6,999
8.00%, 1/20/2031 35,993 38,377
6.50%, 2/20/2032 32,923 34,185
6.00%, 11/20/2033 4,458,167 4,558,792
5.50%, 5/20/2035 1,173,840 1,175,386
-------------------
36,926,139
-------------------
U.S. Treasury (18.11%)
3.63%, 7/15/2009 32,250,000 31,358,094
3.50%, 2/15/2010 22,500,000 21,665,925
5.00%, 2/15/2011 15,250,000 15,597,883
4.88%, 2/15/2012 17,550,000 17,871,516
4.38%, 8/15/2012 19,750,000 19,577,958
3.88%, 2/15/2013 8,400,000 8,068,923
4.25%, 8/15/2013 11,100,000 10,895,338
4.00%, 2/15/2014 6,300,000 6,068,670
4.75%, 5/15/2014 7,500,000 7,603,710
4.25%, 11/15/2014 18,675,000 18,268,670
7.25%, 5/15/2016 8,000,000 9,716,248
7.50%, 11/15/2016 24,010,000 29,818,355
8.13%, 8/15/2019 9,350,000 12,520,968
8.00%, 11/15/2021 9,785,000 13,308,363
6.25%, 8/15/2023 6,660,000 7,840,072
6.00%, 2/15/2026 5,150,000 5,977,018
6.75%, 8/15/2026 3,000,000 3,781,875
6.13%, 8/15/2029 25,000 29,918
6.25%, 5/15/2030 27,055,000 32,993,356
-------------------
272,962,860
-------------------
U.S. Treasury Inflation-Indexed Obligations (1.45%)
3.88%, 1/15/2009 1,807,320 1,911,805
4.25%, 1/15/2010 2,466,408 2,690,022
3.50%, 1/15/2011 6,613,356 7,114,522
2.00%, 1/15/2014 10,132,660 10,146,511
-------------------
21,862,860
-------------------
TOTAL U.S. GOVERNMENT & GOVERNMENT AGENCY OBLIGATIONS $ 742,072,408
-------------------
SHORT TERM INVESTMENTS (3.00%)
Commercial Paper (3.00%)
COX Enterprises Inc
4.77%, 2/15/2006 (b) 3,000,000 3,000,000
Investment in Joint Trading Account; HSBC Funding
4.48%, 2/ 1/2006 42,249,096 42,249,096
-------------------
45,249,096
-------------------
TOTAL SHORT TERM INVESTMENTS $ 45,249,096
-------------------
Total Investments $ 1,841,442,667
Liabilities in Excess of Other Assets, Net - (22.19)% (334,461,787)
-------------------
TOTAL NET ASSETS - 100.00% $ 1,506,980,880
===================
-------------------
===================
<FN>
(a) Variable Rate
(b) Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. Unless otherwise
indicated, these securities are not considered illiquid. At the end of the
period, the value of these securities totaled $106,673,504 or 7.08% of net
assets.
(c) Market value is determined in accordance with procedures established in
good faith by the Board of Directors. At the end of the period, the value
of these securities totaled $30,162,923 or 2.00% of net assets.
(d) Security purchased on a when-issued basis.
(e) Non-Income Producing Security
(f) Security was purchased in a "to-be-announced" ("TBA") transaction. See
Notes to Financial Statements.
</FN>
Unrealized Appreciation (Depreciation)
Unrealized Appreciation $ 5,892,647
Unrealized Depreciation (15,628,981)
-------------------
Net Unrealized Appreciation (Depreciation) (9,736,334)
Cost for federal income tax purposes 1,851,179,001
· Enlarge/Download Table
SCHEDULE OF TOTAL RETURN SWAP AGREEMENTS
Unrealized
Notional Appreciation/
Description Amount (Depreciation)
----------------------------------------------------------------------------------------------------------------------------
Receive a monthly return equal to the Lehman ERISA Eligible CMBS Index and
pay monthly a floating rate $23,000,000 $ (89,728)
based on 1-month LIBOR less 1 basis point with Morgan Stanley. Expires
April 2006.
Receive a monthly return equal to the Lehman ERISA Eligible CMBS Index and
pay monthly a floating rate 16,500,000 (63,802)
based on 1-month LIBOR less 5 basis points with Morgan Stanley. Expires
February 2006.
Receive a monthly return equal to the Lehman ERISA Eligible CMBS Index and
pay monthly a floating rate 15,000,000 (58,001)
based on 1-month LIBOR less 5 basis points with Morgan Stanley. Expires May
2006.
Portfolio Summary (unaudited)
------------------------------------------------------------------------
Sector Percent
------------------------------------------------------------------------
Mortgage Securities 43.80%
Government 22.59%
Asset Backed Securities 18.67%
Financial 16.10%
Communications 5.10%
Utilities 4.03%
Consumer, Non-cyclical 3.39%
Consumer, Cyclical 2.53%
Energy 2.43%
Industrial 2.23%
Basic Materials 1.05%
Technology 0.15%
Diversified 0.12%
Liabilities in Excess of Other Assets, Net (-22.19%)
-------------------
TOTAL NET ASSETS 100.00%
===================
Other Assets Summary (unaudited)
------------------------------------------------------------------------
Asset Type Percent
------------------------------------------------------------------------
Total Return Swaps 0.01%
· Enlarge/Download Table
Schedule of Investments
January 31, 2006 (unaudited)
Disciplined LargeCap Blend Fund
Shares
Held Value
----------------------------------------------------
COMMON STOCKS (99.29%)
Advertising Agencies (0.45%)
Omnicom Group Inc 42,029 $ 3,437,552
-------------------
Aerospace & Defense (1.19%)
Boeing Co 22,898 1,564,162
General Dynamics Corp 29,361 3,416,446
Lockheed Martin Corp 61,270 4,144,916
-------------------
9,125,524
-------------------
Aerospace & Defense Equipment (0.75%)
United Technologies Corp 98,089 5,725,455
-------------------
Agricultural Operations (0.36%)
Archer-Daniels-Midland Co 86,430 2,722,545
-------------------
Apparel Manufacturers (0.64%)
Coach Inc (a) 96,253 3,460,295
Polo Ralph Lauren Corp 25,250 1,430,160
-------------------
4,890,455
-------------------
Applications Software (2.40%)
Citrix Systems Inc (a) 54,170 1,670,603
Compuware Corp (a) 113,580 935,899
Microsoft Corp 559,833 15,759,299
-------------------
18,365,801
-------------------
Athletic Footwear (0.51%)
Nike Inc 48,250 3,905,837
-------------------
Auto - Medium & Heavy Duty Trucks (0.16%)
Oshkosh Truck Corp 25,160 1,240,640
-------------------
Beverages - Non-alcoholic (2.19%)
Coca-Cola Co/The 187,537 7,760,281
PepsiCo Inc 158,380 9,056,168
-------------------
16,816,449
-------------------
Building - Residential & Commercial (0.25%)
Pulte Homes Inc 47,950 1,913,205
-------------------
Building & Construction Products - Miscellaneous (0.16%)
USG Corp (a)(b) 13,110 1,248,072
-------------------
Building Products - Air & Heating (0.16%)
American Standard Cos Inc 33,750 1,215,000
-------------------
Building Products - Cement & Aggregate (0.42%)
Florida Rock Industries Inc (b) 29,300 1,583,958
Martin Marietta Materials Inc 18,940 1,605,733
-------------------
3,189,691
-------------------
Cable TV (0.29%)
Comcast Corp (a) 79,104 2,200,673
-------------------
Chemicals - Diversified (0.86%)
Dow Chemical Co/The 99,306 4,200,644
Rohm & Haas Co 46,902 2,387,312
-------------------
6,587,956
-------------------
Chemicals - Specialty (0.39%)
Eastman Chemical Co 32,855 1,583,940
Sigma-Aldrich Corp (b) 21,900 1,420,872
-------------------
3,004,812
-------------------
Coatings & Paint (0.13%)
Valspar Corp 36,790 1,001,424
-------------------
Commercial Banks (0.75%)
AmSouth Bancorp 54,580 1,506,954
Marshall & Ilsley Corp 52,953 2,220,849
Zions Bancorporation 26,000 2,055,820
-------------------
5,783,623
-------------------
Commercial Services - Finance (0.18%)
Equifax Inc 35,520 1,361,126
-------------------
Computer Aided Design (0.30%)
Autodesk Inc 57,426 2,330,921
-------------------
Computer Services (0.13%)
DST Systems Inc (a) 17,240 976,818
-------------------
Computers (3.28%)
Apple Computer Inc (a) 95,604 7,219,058
Dell Inc (a) 105,694 3,097,891
Hewlett-Packard Co 252,743 7,880,527
International Business Machines Corp 85,782 6,974,077
-------------------
25,171,553
-------------------
Computers - Integrated Systems (0.34%)
NCR Corp (a) 70,743 2,628,102
-------------------
Computers -Memory Devices (0.82%)
EMC Corp/Massachusetts (a) 293,616 3,934,454
SanDisk Corp (a) 15,090 1,016,463
Seagate Technology 52,140 1,359,811
-------------------
6,310,728
-------------------
Consumer Products - Miscellaneous (0.56%)
Fortune Brands Inc 19,125 1,433,610
Kimberly-Clark Corp 49,425 2,823,156
-------------------
4,256,766
-------------------
Cosmetics & Toiletries (2.07%)
Colgate-Palmolive Co 27,230 1,494,655
Procter & Gamble Co 242,536 14,365,407
-------------------
15,860,062
-------------------
Data Processing & Management (0.55%)
Automatic Data Processing Inc 58,610 2,575,323
Global Payments Inc 32,562 1,658,383
-------------------
4,233,706
-------------------
Disposable Medical Products (0.34%)
CR Bard Inc 41,435 2,627,808
-------------------
Distribution & Wholesale (0.26%)
Genuine Parts Co 46,770 1,989,128
-------------------
Diversified Manufacturing Operations (4.83%)
3M Co 58,402 4,248,745
Eaton Corp 22,794 1,508,963
General Electric Co (c) 678,696 22,227,294
Honeywell International Inc 10,047 386,006
Ingersoll-Rand Co Ltd 83,470 3,277,867
ITT Industries Inc 22,395 2,295,487
Parker Hannifin Corp 19,240 1,457,815
Tyco International Ltd 62,393 1,625,338
-------------------
37,027,515
-------------------
Drug Delivery Systems (0.19%)
Hospira Inc (a) 31,970 1,430,657
-------------------
E-Commerce - Services (0.11%)
eBay Inc (a) 19,301 831,873
-------------------
Electric - Integrated (2.49%)
Allegheny Energy Inc (a) 81,990 2,852,432
Edison International 69,556 3,047,944
Exelon Corp 80,216 4,606,003
FirstEnergy Corp 74,590 3,736,959
TXU Corp 95,720 4,847,261
-------------------
19,090,599
-------------------
Electric Products - Miscellaneous (0.75%)
Ametek Inc 36,405 1,497,702
Emerson Electric Co 54,761 4,241,239
-------------------
5,738,941
-------------------
Electronic Components - Semiconductors (2.95%)
Broadcom Corp (a) 55,940 3,815,108
Freescale Semiconductor Inc - B Shares (a) 58,310 1,472,327
Intel Corp 366,643 7,798,497
National Semiconductor Corp 39,310 1,108,935
Nvidia Corp (a) 58,312 2,621,707
QLogic Corp (a) 52,070 2,065,617
Texas Instruments Inc 127,572 3,728,930
-------------------
22,611,121
-------------------
Electronic Connectors (0.17%)
Amphenol Corp (b) 26,116 1,327,476
-------------------
Electronic Forms (0.29%)
Adobe Systems Inc 56,536 2,245,610
-------------------
Engines - Internal Combustion (0.19%)
Cummins Inc 14,813 1,441,305
-------------------
Enterprise Software & Services (0.09%)
Computer Associates International Inc 40 1,092
Oracle Corp (a) 57,222 719,281
-------------------
720,373
-------------------
Finance - Commercial (0.27%)
CIT Group Inc 39,001 2,080,313
-------------------
Finance - Consumer Loans (0.36%)
SLM Corp 49,130 2,749,315
-------------------
Finance - Credit Card (0.81%)
American Express Co 117,893 6,183,488
-------------------
Finance - Investment Banker & Broker (6.01%)
Bear Stearns Cos Inc/The 24,860 3,143,796
Citigroup Inc 309,126 14,399,089
Goldman Sachs Group Inc 51,270 7,241,888
JPMorgan Chase & Co 174,541 6,938,005
Lehman Brothers Holdings Inc 45,971 6,456,627
Merrill Lynch & Co Inc 72,549 5,446,253
Morgan Stanley 38,983 2,395,505
-------------------
46,021,163
-------------------
Food - Confectionery (0.28%)
Hershey Co/The 41,140 2,106,368
-------------------
Food - Miscellaneous/Diversified (0.72%)
General Mills Inc 45,810 2,226,824
Kellogg Co 76,216 3,269,666
-------------------
5,496,490
-------------------
Food - Retail (0.25%)
Kroger Co/The (a) 105,250 1,936,600
-------------------
Gas - Distribution (0.43%)
Energen Corp 45,579 1,778,493
Sempra Energy 31,950 1,535,197
-------------------
3,313,690
-------------------
Hotels & Motels (0.42%)
Marriott International Inc 24,970 1,664,001
Starwood Hotels & Resorts Worldwide Inc 26,049 1,584,039
-------------------
3,248,040
-------------------
Human Resources (0.16%)
Robert Half International Inc 33,743 1,232,632
-------------------
Investment Companies (0.14%)
American Capital Strategies Ltd (b) 29,300 1,041,615
-------------------
Investment Management & Advisory Services (0.96%)
Ameriprise Financial Inc 26,525 1,079,302
Franklin Resources Inc 45,874 4,518,589
Nuveen Investments Inc 39,249 1,780,727
-------------------
7,378,618
-------------------
Life & Health Insurance (1.56%)
Cigna Corp 31,080 3,779,328
Lincoln National Corp 35,810 1,952,719
Prudential Financial Inc 82,577 6,221,351
-------------------
11,953,398
-------------------
Machinery - Construction & Mining (0.17%)
Caterpillar Inc 19,414 1,318,211
-------------------
Medical - Biomedical/Gene (1.43%)
Amgen Inc (a) 99,775 7,272,600
Genzyme Corp (a) 51,793 3,674,195
-------------------
10,946,795
-------------------
Medical - Drugs (3.92%)
Abbott Laboratories 106,486 4,594,871
Eli Lilly & Co 14,691 831,804
King Pharmaceuticals Inc (a) 56,270 1,055,062
Merck & Co Inc 93,677 3,231,856
Pfizer Inc 475,322 12,206,269
Schering-Plough Corp 51,190 980,289
Sepracor Inc (a) 20,720 1,179,175
Wyeth 128,930 5,963,013
-------------------
30,042,339
-------------------
Medical - Generic Drugs (0.21%)
Barr Pharmaceuticals Inc (a) 24,570 1,611,301
-------------------
Medical - HMO (2.35%)
Aetna Inc 44,811 4,337,705
Humana Inc (a) 31,970 1,782,967
UnitedHealth Group Inc 111,176 6,606,078
WellPoint Inc (a) 68,844 5,287,219
-------------------
18,013,969
-------------------
Medical - Wholesale Drug Distribution (0.20%)
AmerisourceBergen Corp 35,520 1,550,093
-------------------
Medical Instruments (0.11%)
Medtronic Inc 15,061 850,495
-------------------
Medical Products (2.05%)
Becton Dickinson & Co 43,804 2,838,499
Johnson & Johnson 223,431 12,856,220
-------------------
15,694,719
-------------------
Metal - Copper (0.42%)
Phelps Dodge Corp 19,830 3,182,715
-------------------
Metal - Diversified (0.26%)
Freeport-McMoRan Copper & Gold Inc 30,466 1,957,441
-------------------
Metal Processors & Fabrication (0.17%)
Precision Castparts Corp 26,634 1,330,368
-------------------
Multi-line Insurance (3.10%)
Allstate Corp/The 11,559 601,646
American International Group Inc 159,214 10,422,148
Assurant Inc 25,450 1,168,664
Genworth Financial Inc 58,010 1,900,408
Hartford Financial Services Group Inc 46,870 3,854,120
Metlife Inc (b) 115,136 5,775,222
-------------------
23,722,208
-------------------
Multimedia (1.60%)
McGraw-Hill Cos Inc/The 80,213 4,094,071
Meredith Corp 23,110 1,265,504
News Corp 99,450 1,567,332
Time Warner Inc 169,335 2,968,442
Viacom Inc (a) 28,502 1,182,263
Walt Disney Co 47,212 1,194,936
-------------------
12,272,548
-------------------
Networking Products (1.12%)
Cisco Systems Inc (a) 463,285 8,603,202
-------------------
Oil - Field Services (0.85%)
BJ Services Co 46,770 1,893,717
Halliburton Co 46,770 3,720,554
Schlumberger Ltd 7,080 902,346
-------------------
6,516,617
-------------------
Oil & Gas Drilling (0.73%)
ENSCO International Inc 33,450 1,709,964
Helmerich & Payne Inc 23,090 1,809,332
Rowan Cos Inc 46,100 2,066,663
-------------------
5,585,959
-------------------
Oil Company - Exploration & Production (1.44%)
Anadarko Petroleum Corp 7,455 803,798
Burlington Resources Inc 46,770 4,268,230
Devon Energy Corp 54,760 3,735,180
EOG Resources Inc 26,640 2,252,145
-------------------
11,059,353
-------------------
Oil Company - Integrated (6.06%)
Chevron Corp 127,453 7,568,159
ConocoPhillips 70,502 4,561,479
Exxon Mobil Corp 413,080 25,920,770
Marathon Oil Corp 47,650 3,662,856
Occidental Petroleum Corp 48,212 4,710,795
-------------------
46,424,059
-------------------
Oil Field Machinery & Equipment (0.40%)
Cooper Cameron Corp (a) 33,840 1,637,517
Grant Prideco Inc (a) 28,120 1,408,531
-------------------
3,046,048
-------------------
Oil Refining & Marketing (0.75%)
Valero Energy Corp 92,350 5,765,410
-------------------
Optical Supplies (0.43%)
Alcon Inc 10,652 1,362,604
Bausch & Lomb Inc 28,094 1,897,750
-------------------
3,260,354
-------------------
Pharmacy Services (0.76%)
Caremark Rx Inc (a) 63,044 3,108,069
Express Scripts Inc (a) 29,960 2,735,049
-------------------
5,843,118
-------------------
Pipelines (0.54%)
Equitable Resources Inc 41,138 1,517,992
Questar Corp 31,908 2,599,864
-------------------
4,117,856
-------------------
Printing - Commercial (0.16%)
RR Donnelley & Sons Co 38,478 1,254,383
-------------------
Property & Casualty Insurance (1.29%)
Chubb Corp 34,330 3,239,036
Safeco Corp 29,980 1,566,455
St Paul Travelers Cos Inc/The 111,295 5,050,567
-------------------
9,856,058
-------------------
Racetracks (0.14%)
Penn National Gaming Inc (a) 33,150 1,064,115
-------------------
Regional Banks (5.82%)
Bank of America Corp 280,948 12,426,330
Comerica Inc 51,210 2,840,619
Keycorp 116,908 4,137,374
PNC Financial Services Group Inc 58,902 3,820,384
SunTrust Banks Inc 40,550 2,897,297
US Bancorp 155,244 4,643,348
Wachovia Corp 144,795 7,939,110
Wells Fargo & Co 95,039 5,926,632
-------------------
44,631,094
-------------------
Retail - Apparel & Shoe (0.75%)
Abercrombie & Fitch Co (b) 24,620 1,634,522
Nordstrom Inc 99,158 4,136,872
-------------------
5,771,394
-------------------
Retail - Arts & Crafts (0.12%)
Michaels Stores Inc 27,147 912,954
-------------------
Retail - Building Products (1.67%)
Home Depot Inc 190,056 7,706,771
Lowe's Cos Inc 79,915 5,078,598
-------------------
12,785,369
-------------------
Retail - Consumer Electronics (0.23%)
Circuit City Stores Inc 68,670 1,731,171
-------------------
Retail - Discount (1.08%)
Target Corp 37,716 2,064,951
Wal-Mart Stores Inc 134,197 6,187,824
-------------------
8,252,775
-------------------
Retail - Drug Store (0.28%)
CVS Corp 12,360 343,113
Walgreen Co 41,442 1,793,610
-------------------
2,136,723
-------------------
Retail - Major Department Store (0.52%)
JC Penney Co Inc 71,930 4,013,694
-------------------
Retail - Office Supplies (0.38%)
Staples Inc 122,691 2,909,004
-------------------
Retail - Regional Department Store (0.37%)
Federated Department Stores Inc 42,922 2,859,893
-------------------
Retail - Restaurants (1.10%)
Darden Restaurants Inc 95,313 3,875,427
McDonald's Corp 130,997 4,586,205
-------------------
8,461,632
-------------------
Semiconductor Component - Integrated Circuits (0.19%)
Linear Technology Corp 39,960 1,486,912
-------------------
Semiconductor Equipment (0.18%)
Lam Research Corp (a) 30,190 1,401,722
-------------------
Steel - Producers (0.42%)
Nucor Corp 38,479 3,241,086
-------------------
Telecommunication Equipment (0.19%)
Harris Corp 31,379 1,456,927
-------------------
Telecommunication Equipment - Fiber Optics (0.54%)
Corning Inc (a) 169,010 4,115,394
-------------------
Telecommunication Services (0.20%)
Amdocs Ltd (a) 48,251 1,553,682
-------------------
Telephone - Integrated (2.98%)
AT&T Inc 343,048 8,902,096
BellSouth Corp 18,867 542,803
Qwest Communications International Inc (a)(b) 325,585 1,960,022
Sprint Nextel Corp 122,247 2,798,234
Verizon Communications Inc 272,785 8,636,373
-------------------
22,839,528
-------------------
Television (0.09%)
CBS Corp 25,942 677,864
-------------------
Therapeutics (0.74%)
Gilead Sciences Inc (a) 92,643 5,639,179
-------------------
Tobacco (1.84%)
Altria Group Inc 152,878 11,059,194
Reynolds American Inc 19,520 1,974,058
UST Inc 27,850 1,084,479
-------------------
14,117,731
-------------------
Tools - Hand Held (0.18%)
Black & Decker Corp 15,984 1,379,419
-------------------
Transport - Rail (0.83%)
Burlington Northern Santa Fe Corp 52,089 4,173,370
Norfolk Southern Corp 44,170 2,201,433
-------------------
6,374,803
-------------------
Transport - Services (1.07%)
FedEx Corp 6,860 693,889
United Parcel Service Inc 100,010 7,491,749
-------------------
8,185,638
-------------------
Web Portals (0.52%)
Google Inc (a) 4,480 1,940,960
Yahoo! Inc (a) 58,694 2,015,552
-------------------
3,956,512
-------------------
Wireless Equipment (1.02%)
Motorola Inc 263,729 5,989,286
Qualcomm Inc 37,888 1,817,108
-------------------
7,806,394
-------------------
TOTAL COMMON STOCKS $ 760,916,860
-------------------
Principal
Amount Value
----------------------------------------------------
SHORT TERM INVESTMENTS (5.43%)
Commercial Paper (5.43%)
Investment in Joint Trading Account;
Federal National Mortgage Association
4.38%, 2/ 1/2006 41,596,909 41,596,909
-------------------
TOTAL SHORT TERM INVESTMENTS $ 41,596,909
-------------------
REPURCHASE AGREEMENTS (1.68%)
Morgan Stanley; 4.39%; dated 1/31/2006 maturing
2/1/2006 (collateralized by 12,898,573 12,897,000
Federal Home Loan Bank ARM;
$13,187,831; 12/1/2035) (d)
-------------------
TOTAL REPURCHASE AGREEMENTS $ 12,897,000
-------------------
Total Investments $ 815,410,769
Liabilities in Excess of Other Assets, Net - (6.40)% (49,032,919)
-------------------
TOTAL NET ASSETS - 100.00% $ 766,377,850
===================
-------------------
===================
<FN>
(a) Non-Income Producing Security
(b) Security or a portion of the security was on loan at the end of the period.
(c) Security or a portion of the security was pledged to cover margin
requirements for futures contracts. At the end of the period, the value of
these securities totaled $9,914,899 or 1.29% of net assets.
(d) Security was purchased with the cash proceeds from securities loans.
</FN>
Unrealized Appreciation (Depreciation)
Unrealized Appreciation $ 73,942,722
Unrealized Depreciation (18,963,138)
-------------------
Net Unrealized Appreciation (Depreciation) 54,979,584
Cost for federal income tax purposes 760,431,185
· Enlarge/Download Table
SCHEDULE OF FUTURES CONTRACTS
Current Unrealized
Number of Original Market Appreciation/
Type Contracts Value Value (Depreciation)
-----------------------------------------------------------------------------------------------------------
Buy:
S&P 500; March 2006 18 $5,768,200 $5,776,200 $8,000
Portfolio Summary (unaudited)
-------------------------------------------------------------------------------------------------------
Sector Percent
-------------------------------------------------------------------------------------------------------
Financial 28.17%
Consumer, Non-cyclical 21.49%
Technology 11.55%
Industrial 11.04%
Energy 10.77%
Communications 9.10%
Consumer, Cyclical 8.88%
Utilities 2.92%
Basic Materials 2.48%
Liabilities in Excess of Other Assets, Net (-6.40%)
-------------------
TOTAL NET ASSETS 100.00%
===================
Other Assets Summary (unaudited)
-------------------------------------------------------------------------------------------------------
Asset Type Percent
-------------------------------------------------------------------------------------------------------
Futures 0.75%
· Enlarge/Download Table
Schedule of Investments
January 31, 2006 (unaudited)
Diversified International Fund
Shares
Held Value
----------------------------------------------------
COMMON STOCKS (98.26%)
Advertising Sales (0.02%)
SR Teleperformance 4,713 $ 156,638
-------------------
Advertising Services (0.07%)
Publicis Groupe 12,406 467,455
-------------------
Aerospace & Defense (0.80%)
BAE Systems PLC 406,982 3,018,151
Rolls-Royce Group PLC 261,201 2,014,809
-------------------
5,032,960
-------------------
Aerospace & Defense Equipment (0.23%)
Zodiac SA 22,658 1,452,718
-------------------
Agricultural Operations (0.05%)
Astra Agro Lestari Tbk PT 101,293 54,496
Astral Foods Ltd 19,703 268,035
Provimi SA 647 16,263
-------------------
338,794
-------------------
Apparel Manufacturers (0.09%)
Gerry Weber International AG 902 17,218
Gildan Activewear (a) 6,229 297,094
Sanei-International Co Ltd 1,247 58,694
Youngone Corp 55,480 221,425
-------------------
594,431
-------------------
Applications Software (0.36%)
Azure Dynamics Corp (a) 15,784 16,843
Sage Group PLC 471,824 2,232,744
-------------------
2,249,587
-------------------
Audio & Video Products (0.90%)
Advanced Digital Broadcast Holdings SA (a) 625 67,081
Canon Electronics Inc 4,474 173,128
D&M Holdings Inc 19,360 86,658
Matsushita Electric Industrial Co Ltd 146,000 3,180,285
ReignCom Ltd (a) 12,013 177,458
Sony Corp 40,100 1,952,505
-------------------
5,637,115
-------------------
Auto - Car & Light Trucks (1.25%)
Dongfeng Motor Group Co Ltd (a) 536,000 172,743
Ford Otomotiv Sanayi AS 37,076 341,895
Hyundai Motor Co 6,409 579,345
Tata Motors Ltd ADR 19,025 305,541
Toyota Motor Corp 124,052 6,442,884
-------------------
7,842,408
-------------------
Auto - Medium & Heavy Duty Trucks (0.08%)
Mahindra & Mahindra (a)(b) 35,238 441,532
Nissan Diesel Motor Co Ltd 11,709 73,816
-------------------
515,348
-------------------
Auto/Truck Parts & Equipment - Original (1.73%)
Aisin Seiki Co Ltd 51,200 1,898,159
Denso Corp 92,500 3,263,358
ElringKlinger AG 392 17,231
Futaba Industrial Co Ltd 5,266 125,054
Haldex AB 3,100 70,222
Keihin Corp 7,652 197,404
Koito Manufacturing Co Ltd 95,159 1,359,937
Mikuni Corp 4,740 29,477
Mitsuba Corp 3,000 33,879
NGK Spark Plug Co Ltd 142,000 3,554,094
Nippon Seiki Co Ltd 5,000 117,456
Nissin Kogyo Co Ltd 2,645 156,127
Tachi-S Co Ltd 1,747 19,400
Unipres Corp (a) 2,816 32,450
-------------------
10,874,248
-------------------
Beverages - Non-alcoholic (0.05%)
Asahi Soft Drinks Co Ltd 4,000 52,655
Coca-Cola Femsa SA de CV 81,497 244,687
-------------------
297,342
-------------------
Beverages - Wine & Spirits (0.89%)
C&C Group PLC 29,617 202,117
Davide Campari-Milano SpA 20,265 158,228
Diageo PLC 197,997 2,945,463
Mercian Corp 39,809 126,842
Pernod-Ricard SA 11,651 2,164,614
-------------------
5,597,264
-------------------
Brewery (0.71%)
Fomento Economico Mexicano SA de CV 30,357 238,171
InBev NV 57,346 2,699,758
Royal UNIBREW A/S 1,617 152,048
Wolverhampton & Dudley Brew PLC 60,945 1,344,248
-------------------
4,434,225
-------------------
Building - Heavy Construction (1.11%)
ACS Actividades Cons y Serv 118,705 4,129,709
Aker Kvaerner ASA (a) 33,048 2,268,543
CFE (CIE Francois D'enter) 18 18,634
NCC AB 5,733 120,455
Sambu Construction Co Ltd 1,160 27,658
Severfield-Rowen Plc 2,494 46,720
Veidekke ASA 2,117 60,417
YTL Corp Bhd 208,900 281,281
-------------------
6,953,417
-------------------
Building - Maintenance & Service (0.04%)
Babcock International Group 48,352 212,266
Programmed Maintenance Services Ltd 6,048 16,196
-------------------
228,462
-------------------
Building - Mobil Home & Manufactured Housing (0.00%)
Maisons France Confort 290 17,924
-------------------
Building - Residential & Commercial (0.13%)
Desarrolladora Homex SA de CV ADR (a) 11,482 398,540
Kaufman & Broad SA 1,437 134,274
Persimmon PLC 13,407 300,242
-------------------
833,056
-------------------
Building & Construction - Miscellaneous (1.42%)
Ando Corp 5,451 21,792
Aveng Ltd 131,360 443,510
Ballast Nedam 1,700 70,703
Boskalis Westminster 378 25,727
Bouygues 44,378 2,431,435
Eiffage 17,610 1,815,486
Galliford Try Plc 18,426 36,270
JM AB 8,154 417,064
Koninklijke BAM Groep NV 14,736 1,320,571
Leighton Holdings Ltd 17,497 268,022
Morgan Sindall PLC 8,558 165,185
Obayashi Corp 185,000 1,490,240
Orascom Construction Industries 4,233 213,092
Samwhan Corp 2,146 39,376
Sjaelso Gruppen 330 107,908
United Group Ltd 6,559 61,524
-------------------
8,927,905
-------------------
Building & Construction Products - Miscellaneous (0.15%)
CSR Ltd 69,915 224,243
K Wah International Holdings Ltd 171,278 43,939
Kingspan Group Plc 37,538 515,081
Okabe Co Ltd 12,729 49,039
Sika AG (a) 105 102,287
-------------------
934,589
-------------------
Building Products - Cement & Aggregate (1.33%)
Adelaide Brighton Ltd 174,053 287,025
Cementir SpA 7,259 45,131
Cemex SA de CV 156,016 1,026,562
Holcim Ltd 34,421 2,599,510
Italcementi SpA 13,776 262,465
Pretoria Portland Cement Co Ltd 3,219 176,643
Rinker Group Ltd 188,547 2,393,279
Taiheiyo Cement Corp 380,013 1,541,931
-------------------
8,332,546
-------------------
Cable TV (0.53%)
Rogers Communications - Class B 75,355 3,302,095
-------------------
Casino Hotels (0.03%)
Genting Bhd 35,930 219,383
-------------------
Cellular Telecommunications (1.50%)
America Movil SA de CV ADR 27,654 932,770
China Mobile Hong Kong Ltd 762,823 3,707,321
Digi.Com BHD (a) 76,907 161,996
Far EasTone Telecommunications Co Ltd 277,300 325,588
MobileOne Ltd 81,605 110,630
NTT DoCoMo Inc 1,044 1,694,443
SK Telecom Co Ltd 2,843 565,859
Telepark Corp 31 86,328
Turkcell Iletisim Hizmet AS 1 5
Virgin Mobile Holdings UK PLC 16,925 111,000
Vodafone Egypt Telecommunications SAE 2,738 48,428
Vodafone Group PLC 781,000 1,641,427
-------------------
9,385,795
-------------------
Ceramic Products (0.01%)
Krosaki Harima Corp 11,279 71,394
-------------------
Chemicals - Diversified (1.74%)
Bayer AG 53,643 2,236,211
Israel Chemicals Ltd 60,194 239,212
K+S AG 6,466 441,577
Koninklijke DSM NV 50,940 2,277,554
Mitsubishi Gas Chemical Co Inc 295,699 3,397,387
Nan Ya Plastics Corp 201,000 297,280
NOF Corp 24,696 164,549
Sumitomo Chemical Co Ltd 243,715 1,882,017
-------------------
10,935,787
-------------------
Chemicals - Plastics (0.05%)
Formosa Plastics Corp 163,000 264,013
Sekisui Jushi Corp 2,857 23,966
-------------------
287,979
-------------------
Chemicals - Specialty (0.10%)
Auriga Industries 4,240 131,058
Daicel Chemical Industries Ltd 41,301 335,517
Tokyo Ohka Kogyo Co Ltd 6,168 181,249
-------------------
647,824
-------------------
Circuit Boards (0.70%)
Ibiden Co Ltd 76,291 4,288,171
Simm Tech Co Ltd 7,910 87,329
-------------------
4,375,500
-------------------
Coal (0.04%)
Banpu Public Co Ltd (a) 66,100 236,041
-------------------
Coatings & Paint (0.01%)
Sakata INX Corp 4,090 21,068
Wattyl Ltd 14,683 38,319
-------------------
59,387
-------------------
Commercial Banks (15.34%)
ABN AMRO Holding NV 125,698 3,487,710
Akbank TAS 49,564 430,828
Amagerbanken A/S 795 186,887
Banca Intesa SpA 528,150 3,003,039
Banca Popolare di Milano SCRL 168,193 2,066,875
Banca Popolare di Verona e Novara Scrl 14,137 324,448
Banche Popolari Unite Scrl 13,223 309,894
Banco Bilbao Vizcaya Argentaria SA 285,084 5,753,468
Banco do Brasil SA 7,141 172,661
Banco Sabadell SA 19,476 545,599
Banco Santander Central Hispano SA 306,660 4,408,945
BanColombia SA ADR 9,457 308,014
Bank Hapoalim BM 61,282 281,367
Bank of Communications Co Ltd (a)(c) 790,000 458,284
Bank of Iwate Ltd/The 825 58,775
Bank of Nagoya Ltd/The 4,684 36,131
Bank of the Philippine Islands 207,870 235,174
BNP Paribas 71,064 6,333,905
Commercial International Bank 26,186 260,272
Commerzbank AG 102,426 3,478,792
Credito Emiliano SpA 10,197 126,175
Daegu Bank 29,967 470,637
Danske Bank A/S 106,884 3,751,521
DNB NOR ASA 284,412 3,182,656
Fortis 121,347 4,218,677
HBOS PLC 67,595 1,187,574
HSBC Holdings PLC 375,381 6,234,778
ICICI Bank Ltd ADR 9,891 310,775
Jeonbuk Bank 12,563 109,138
Jyske Bank (a) 33,139 1,660,481
Kagoshima Bank Ltd/The 6,692 54,878
KBC Groep NV 45,350 4,551,410
Keiyo Bank Ltd/The 25,052 200,519
Kookmin Bank 40,030 3,178,664
Mitsubishi UFJ Financial Group Inc 229 3,305,941
Mizuho Financial Group Inc 590 4,838,338
Natexis Banques Populaires 705 131,922
National Bank of Greece SA 75,483 3,448,211
Oita Bank Ltd/The 6,982 53,081
Pusan Bank 40,000 510,030
Raiffeisen International Bank Holding AS (a) 4,198 303,513
San-In Godo Bank Ltd/The 5,036 52,053
Sberbank RF 188 280,120
Shiga Bank Ltd/The 8,582 61,800
Siam Commercial Bank Public (a)(b) 135,500 207,123
Skandinaviska Enskilda Banken AB 112,616 2,506,653
Societe Generale 36,721 4,846,965
Spar Nord Bank A/S 190 29,921
Sparebanken Midt-Norge 4,435 50,795
Sparebanken Rogaland 900 29,470
State Bank of India Ltd 1,364 62,921
Sumitomo Mitsui Financial Group Inc 354 4,142,827
Sumitomo Trust & Banking Co Ltd/The 284,000 3,131,969
Taishin Financial Holdings Co Ltd 1 1
Tokyo Tomin Bank Ltd/The 1,870 80,509
Turkiye Garanti Bankasi AS (a) 79,118 364,792
Turkiye Is Bankasi 69,366 629,168
UniCredito Italiano SpA 385,016 2,746,708
Westpac Banking Corp 165,721 2,917,129
Yamaguchi Bank Ltd/The 6,276 92,855
-------------------
96,203,766
-------------------
Commercial Services (0.11%)
Aggreko Plc 25,529 124,778
ITE Group PLC 5,029 11,977
Nomura Co Ltd 5,004 32,358
SGS SA 302 282,646
So-net M3 Inc (a) 44 232,281
Spice Holdings PLC 6,526 29,809
-------------------
713,849
-------------------
Computer Services (0.44%)
Alten (a) 4,331 151,463
Computershare Ltd 484,826 2,526,893
HIQ International AB 3,980 23,571
Sopra Group SA 674 53,239
-------------------
2,755,166
-------------------
Computers (0.35%)
Acer Inc 234,260 534,723
High Tech Computer Corp 60,000 1,273,881
Wistron Corp (a) 285,000 378,741
-------------------
2,187,345
-------------------
Computers - Integrated Systems (0.38%)
Hitachi Systems & Services Ltd 4,912 132,173
Otsuka Corp 19,539 2,233,219
-------------------
2,365,392
-------------------
Computers -Memory Devices (0.06%)
Quanta Storage Inc 237,400 380,808
-------------------
Consulting Services (0.09%)
ASK Planning Center Inc 7,020 57,448
Intage Inc 1,454 39,373
KK DaVinci Advisors (a) 33 236,228
Savills PLC 13,127 244,509
-------------------
577,558
-------------------
Cosmetics & Toiletries (0.03%)
Oriflame Cosmetics SA 5,909 167,995
-------------------
Diagnostic Equipment (0.01%)
Draegerwerk AG 803 47,301
-------------------
Distribution & Wholesale (0.81%)
Alesco Corp Ltd 8,766 61,868
Buhrmann NV 20,452 319,376
Inabata & Co Ltd 5,757 56,604
Itochu-Shokuhin Co Ltd 684 31,493
Lotte Shopping Co (a)(b)(c) 30,587 632,233
Telewave Inc 37 314,484
Trusco Nakayama Corp 2,509 62,797
Univar NV 2,679 136,143
Wolseley PLC 141,844 3,416,014
Yuasa Trading Co Ltd (a) 24,995 59,570
-------------------
5,090,582
-------------------
Diversified Financial Services (0.95%)
Acta Holding ASA 63,752 181,942
Cathay Financial Holding Co Ltd 55,000 102,326
Chinatrust Financial Holding Co 354,000 283,368
Hana Financial Group Inc 4,894 239,969
Investec Ltd 5,628 279,710
Investec PLC 6,620 330,859
Sampo Oyj 138,813 2,703,712
Shin Kong Financial Holding Co Ltd 488,701 391,957
Shinhan Financial Group Co Ltd 17,814 758,062
SinoPac Financial Holdings Co Ltd 694,000 361,312
Woori Finance Holdings Co Ltd 15,280 300,959
-------------------
5,934,176
-------------------
Diversified Manufacturing Operations (0.71%)
Charter Plc (a) 229,758 2,525,688
NKT Holding A/S 3,080 154,328
Senior Plc 25,638 28,480
Smiths Group PLC 95,328 1,679,050
Ten Cate NV 875 93,660
-------------------
4,481,206
-------------------
Diversified Minerals (2.26%)
Anglo American PLC 70,411 2,704,361
Antofagasta PLC 21,837 789,818
BHP Billiton PLC 381,164 7,035,383
Birch Mountain Resources (a) 23,524 169,131
Eurozinc Mining Corp (a) 59,103 70,305
Inmet Mining Corp 9,318 281,993
Teck Cominco Ltd 48,498 3,116,547
-------------------
14,167,538
-------------------
Diversified Operations (0.77%)
Alfa SA de CV 62,237 352,821
Bergman & Beving AB 1,000 13,985
Brascan (a) 70,506 3,761,800
Haci Omer Sabanci Holding AS ADR 2 4
Haci Omer Sabanci Holding AS 48,044 370,407
Imperial Holdings Ltd 12,052 298,996
-------------------
4,798,013
-------------------
E-Commerce - Products (0.03%)
Submarino SA (a) 8,382 196,422
-------------------
E-Commerce - Services (0.01%)
QXL Ricardo PLC (a) 191 44,097
-------------------
Electric - Generation (0.33%)
British Energy Group PLC (a) 153,706 1,665,076
CEZ 5,512 191,622
Ratchaburi Electricity Generating Holding PLC (a)(b) 211,377 221,287
-------------------
2,077,985
-------------------
Electric - Integrated (2.47%)
E.ON AG 26,205 2,930,688
EDP - Energias do Brasil SA 18,004 272,245
Fortum Oyj 104,144 2,325,637
International Power PLC 845,098 4,077,991
Korea Electric Power Corp 14,560 626,383
Okinawa Electric Power Co Inc/The 1,565 97,056
RWE AG 41,007 3,381,066
Verbund - Oesterreichische Elektrizitaetswirtschafts AG 3,994 1,784,768
-------------------
15,495,834
-------------------
Electric Products - Miscellaneous (0.13%)
LG Electronics Inc 6,960 602,457
Nordisk Solar Co 154 12,977
Ultra Electronics Holdings 11,623 203,378
-------------------
818,812
-------------------
Electric-Transmission (0.06%)
Terna SpA 142,388 366,552
-------------------
Electronic Components - Miscellaneous (0.74%)
AddTech AB 924 10,587
Chemring Group Plc 6,552 112,550
HON HAI Precision Industry Co Ltd 170,995 1,149,555
Hoya Corp 70,200 2,818,434
Jurong Technologies Industrial Corp Ltd 146,973 158,493
Meiko Electronics Co 2,886 236,422
Star Micronics Co Ltd 5,746 95,076
U-Shin Ltd 5,113 53,329
-------------------
4,634,446
-------------------
Electronic Components - Semiconductors (1.92%)
Hynix Semiconductor Inc (a) 71,186 2,752,540
MediaTek Inc 26,400 263,744
Samsung Electronics Co Ltd 9,350 7,172,550
Shinko Electric Industries 1,917 151,965
SOITEC (a) 67,853 1,677,539
-------------------
12,018,338
-------------------
Electronic Measurement Instruments (0.03%)
ESPEC Corp 3,766 64,019
V Technology Co Ltd 10 148,635
-------------------
212,654
-------------------
Electronic Parts Distribution (0.01%)
Macnica Inc 943 30,611
Marubun Corp 2,989 47,261
-------------------
77,872
-------------------
Energy - Alternate Sources (0.06%)
Solarworld AG 1,861 395,422
-------------------
Engineering - Research & Development Services (0.18%)
ABB Ltd (a) 44,416 481,916
Arcadis NV 1,053 36,800
Bradken Ltd 14,550 51,400
Downer EDI Ltd 29,477 164,782
Keller Group PLC 2,996 21,898
Larsen & Toubro Ltd 7,828 384,392
WSP Group PLC 2,144 14,728
-------------------
1,155,916
-------------------
Enterprise Software & Services (0.00%)
Linedata Services 520 15,439
-------------------
Environmental Monitoring & Detection (0.01%)
Munters AB 2,109 60,929
-------------------
E-Services - Consulting (0.01%)
Transcom WorldWide SA (a) 5,798 57,104
-------------------
Feminine Health Care Products (0.07%)
Hengan International Group Co Ltd 362,340 432,069
-------------------
Finance - Consumer Loans (0.12%)
African Bank Investments Ltd 64,889 302,454
Jaccs Co Ltd 29,051 299,034
Sanyo Shinpan Finance Co Ltd 2,131 133,250
-------------------
734,738
-------------------
Finance - Credit Card (0.03%)
UFJ NICOS Co Ltd 19,040 202,330
-------------------
Finance - Investment Banker & Broker (3.08%)
Binck NV 6,249 77,475
Canaccord Capital Inc 4,128 67,157
Credit Suisse Group 84,738 4,937,703
Daewoo Securities Co Ltd (a) 15,070 279,638
Daiwa Securities Group Inc 169,000 1,987,896
Macquarie Bank Ltd 45,468 2,351,888
Nomura Holdings Inc 242,673 4,747,116
Takagi Securities Co Ltd 14,191 92,009
UBS AG 43,923 4,765,668
-------------------
19,306,550
-------------------
Finance - Leasing Company (0.80%)
Athlon Holding NV 1,129 30,668
Banca Italease (a) 11,285 388,765
Century Leasing System Inc 5,176 81,841
Fuyo General Lease Co Ltd 3,396 132,574
ORIX Corp 16,838 4,365,381
STB Leasing Co Ltd 948 18,342
-------------------
5,017,571
-------------------
Finance - Mortgage Loan/Banker (0.10%)
Paragon Group of Cos PLC 51,590 607,464
-------------------
Finance - Other Services (0.71%)
Australian Stock Exchange Ltd 6,228 164,562
Cabcharge Australia Ltd 3,510 16,780
Deutsche Boerse AG 28,157 3,567,151
Grupo Financiero Banorte SA de CV 108,616 258,768
NETeller PLC (a) 14,617 203,548
SFE Corp Ltd 24,538 257,081
-------------------
4,467,890
-------------------
Financial Guarantee Insurance (0.05%)
Euler Hermes SA 2,757 287,913
-------------------
Fisheries (0.23%)
Fjord Seafood ASA (a) 41,337 31,107
Nichiro Corp 38,207 98,239
Nippon Suisan Kaisha Ltd 270,000 1,102,464
PAN Fish ASA (a) 543,844 196,052
-------------------
1,427,862
-------------------
Food - Confectionery (0.04%)
Barry Callebaut AG (a) 224 83,054
Morinaga & Co Ltd 54,642 181,572
-------------------
264,626
-------------------
Food - Dairy Products (0.04%)
Binggrae Co Ltd 2,450 121,148
Maeil Dairy Industry Co Ltd 5,902 145,615
-------------------
266,763
-------------------
Food - Flour & Grain (0.00%)
Samyang Genex Co Ltd 262 18,768
-------------------
Food - Miscellaneous/Diversified (1.46%)
Daesang Corp (a) 35,026 530,119
J-Oil Mills Inc 5,906 32,188
Nestle SA 20,288 5,938,646
Nisshin Oillio Group Ltd/The 18,808 131,262
Orkla ASA 56,000 2,229,048
Pulmuone Co Ltd 1,031 49,057
Tiger Brands Ltd 9,460 248,524
-------------------
9,158,844
-------------------
Food - Retail (0.09%)
Migros Turk TAS 23,564 260,041
Spar Group Ltd/The 58,183 327,883
-------------------
587,924
-------------------
Food - Wholesale & Distribution (0.02%)
Kato Sangyo Co Ltd 1,618 29,923
Valor Co Ltd 2,221 89,929
-------------------
119,852
-------------------
Footwear & Related Apparel (0.08%)
Geox SpA 19,281 219,145
Grendene SA 17,877 180,808
Prime Success International Group 158,306 96,936
-------------------
496,889
-------------------
Gambling (Non-Hotel) (0.27%)
OPAP SA 45,417 1,706,336
-------------------
Gas - Distribution (0.01%)
Shizuoka Gas Co Ltd 12,442 84,707
-------------------
Gold Mining (0.07%)
Harmony Gold Mining Co Ltd (a) 23,477 427,184
Northgate Minerals Corp (a) 17,155 37,962
-------------------
465,146
-------------------
Hazardous Waste Disposal (0.01%)
Newalta Income Fund 3,724 92,017
-------------------
Home Furnishings (0.03%)
Lewis Group Ltd 20,685 181,003
-------------------
Human Resources (0.01%)
Brunel International 2,219 51,735
DIS Deutscher Industrie Service AG 187 12,955
-------------------
64,690
-------------------
Import & Export (1.56%)
Mitsubishi Corp 169,159 3,959,302
Mitsui & Co Ltd 248,000 3,573,878
Sumitomo Corp 165,000 2,262,204
-------------------
9,795,384
-------------------
Industrial Audio & Video Products (0.01%)
Intelligent Digital Integrated Security 3,820 63,954
-------------------
Instruments - Scientific (0.02%)
Lasertec Corp 1,337 99,591
-------------------
Insurance Brokers (0.01%)
April Group 1,171 54,745
-------------------
Interior Design/Architecture (0.00%)
GL Events 696 25,355
-------------------
Internet Brokers (0.03%)
kabu.com Securities Co Ltd 60 191,176
-------------------
Internet Content - Entertainment (0.01%)
Monstermob Group PLC (a) 9,187 63,395
-------------------
Internet Security (0.07%)
Check Point Software Technologies (a) 18,919 409,407
-------------------
Investment Management & Advisory Services (0.07%)
Aberdeen Asset Management PLC 128,484 375,080
Record Investments Ltd 10,438 67,588
-------------------
442,668
-------------------
Leisure & Recreation Products (0.02%)
CTS Eventim AG (a) 1,579 45,633
Rodriguez Group 887 52,939
-------------------
98,572
-------------------
Lighting Products & Systems (0.01%)
Kumho Electric Co Ltd 820 58,993
-------------------
Lottery Services (0.07%)
Intralot SA-Integrated Lottery Systems 11,998 263,410
Tattersall's Ltd (a) 74,852 166,469
-------------------
429,879
-------------------
Machinery - Construction & Mining (1.24%)
Aichi Corp 3,650 33,424
Atlas Copco AB 152,729 3,580,009
Komatsu Ltd 217,000 4,013,198
Takeuchi Manufacturing Co Ltd 935 73,960
Wajax Income Fund 2,377 66,010
-------------------
7,766,601
-------------------
Machinery - Farm (0.59%)
Kubota Corp 386,374 3,689,968
-------------------
Machinery - General Industry (0.84%)
Alstom RGPT (a) 21,124 1,604,462
Andritz AG 2,460 282,677
Furukawa Co Ltd 35,000 93,281
Makino Milling Machine Co Ltd 24,123 302,091
MAN AG 34,676 1,989,558
MMI Holding Ltd 231,764 112,826
Nabtesco Corp 16,582 213,038
Okuma Holdings Inc 16,222 209,799
Pinguely-Haulotte 10,575 254,128
Sintokogio Ltd 10,771 132,216
Toshiba Machine Co Ltd 9,696 97,569
-------------------
5,291,645
-------------------
Machinery - Material Handling (0.04%)
Daifuku Co Ltd 10,466 194,899
Fuji Machine Manufacturing Co Ltd 3,487 68,361
-------------------
263,260
-------------------
Machinery - Thermal Processing (0.05%)
Daihen Corp 45,272 247,891
Denyo Co Ltd 4,456 72,056
-------------------
319,947
-------------------
Medical - Biomedical/Gene (0.02%)
Basilea Pharmaceutica (a) 146 17,664
Fornix Biosciences NV 592 16,103
GPC Biotech AG (a) 2,961 44,944
Morphosys AG (a) 832 49,242
-------------------
127,953
-------------------
Medical - Drugs (4.65%)
Active Biotech AB (a) 1,210 12,712
ALK-Abello A/S (a) 777 92,149
AstraZeneca PLC 105,331 5,095,816
Chong Kun Dang Pharm Corp 750 25,706
Daewoong Pharmaceutical Co Ltd 652 28,016
Dr Reddy's Laboratories Ltd ADR 6,045 154,752
GlaxoSmithKline PLC 106,485 2,721,552
Hikma Pharmaceuticals PLC (a) 48,881 378,353
Labopharm Inc (a) 7,939 63,190
Merck KGaA 14,897 1,558,584
Novartis AG 103,041 5,646,302
Recordati SpA 17,358 124,359
Roche Holding AG 40,883 6,446,309
Rohto Pharmaceutical Co Ltd 124,882 1,514,820
Sanofi-Aventis 30,821 2,823,786
Santen Pharmaceutical Co Ltd 51,052 1,338,826
TopoTarget A/S (a) 3,939 14,739
Tsumura & Co 39,000 1,129,373
-------------------
29,169,344
-------------------
Medical - Generic Drugs (0.08%)
Teva Pharmaceutical Industries Ltd ADR 11,204 477,627
-------------------
Medical - Wholesale Drug Distribution (0.01%)
Meda AB 2,900 40,748
-------------------
Medical Instruments (0.10%)
Elekta AB 19,680 333,380
Nihon Kohden Corp 6,000 111,220
Topcon Corp 6,017 208,679
-------------------
653,279
-------------------
Medical Laboratory & Testing Service (0.03%)
CML Healthcare Income Fund 8,429 111,178
Eurofins Scientific (a) 908 55,901
-------------------
167,079
-------------------
Medical Products (0.38%)
Phonak Holding AG 46,746 2,309,751
Ypsomed Holding AG (a) 488 75,803
-------------------
2,385,554
-------------------
Metal - Aluminum (0.01%)
Hindalco Industries Ltd (c) 19,080 70,596
-------------------
Metal - Diversified (1.47%)
AUR Resources Inc 17,179 229,594
JSC MMC Norilsk Nickel - ADR (a)(b) 5,474 169,694
MMC Norilsk Nickel ADR 4,194 376,412
Rio Tinto PLC 117,648 5,999,078
Vedanta Resources PLC 17,721 305,040
Zinifex Ltd 356,638 2,117,771
-------------------
9,197,589
-------------------
Metal - Iron (0.05%)
Novolipetsk Steel (a)(b) 17,197 312,126
-------------------
Metal Processors & Fabrication (0.10%)
Ahresty Corp 3,826 89,387
Catcher Technology Co Ltd 42,440 313,181
Neturen Co Ltd 5,355 64,407
Ryobi Ltd 11,314 82,247
Tocalo Co Ltd 2,735 107,237
-------------------
656,459
-------------------
Metal Products - Distribution (0.04%)
Daiichi Jitsugyo Co Ltd 5,726 33,994
Furusato Industries Ltd 2,279 50,032
Metka SA (a) 6,775 84,737
Onoken Co Ltd 886 15,591
Sato Shoji Corp 2,558 36,142
-------------------
220,496
-------------------
Mining Services (0.01%)
Major Drilling Group International (a) 2,961 57,521
-------------------
Miscellaneous Manufacturers (0.07%)
Balda AG 14,108 188,788
Fenner Plc 10,183 33,030
Mecalux SA (a) 3,444 101,498
RHI AG (a) 4,107 115,452
-------------------
438,768
-------------------
Motion Pictures & Services (0.01%)
Toei Animation Co Ltd 1,113 89,941
-------------------
Multi-line Insurance (3.58%)
Allianz AG 30,710 4,939,957
Alm. Brand Skadesforsikring A/S (a) 1,582 73,607
AXA SA 150,956 5,114,232
Baloise Holding AG 4,434 280,348
Fondiaria-Sai SpA 95,684 3,543,766
ING Groep NV 7.20% 131,082 4,674,906
Porto Seguro SA (a) 21,449 290,539
Zurich Financial Services AG 16,051 3,508,141
-------------------
22,425,496
-------------------
Multimedia (0.19%)
Vivendi Universal SA 38,210 1,196,150
-------------------
Non-Ferrous Metals (0.08%)
Grupo Mexico SA de CV 153,566 430,507
Korea Zinc Co Ltd 1,120 67,572
-------------------
498,079
-------------------
Office Automation & Equipment (0.80%)
Canon Inc 57,163 3,457,174
Neopost SA 15,406 1,548,045
-------------------
5,005,219
-------------------
Oil - Field Services (0.67%)
Bourbon SA 1,996 213,653
CCS Income Trust 1,893 63,001
Fugro NV 49,096 1,847,539
Peak Energy Services Trust 4,239 47,087
Trican Well Service Ltd (a) 39,056 2,057,161
-------------------
4,228,441
-------------------
Oil & Gas Drilling (0.29%)
Ensign Energy Services Inc (a) 40,242 1,689,861
Sinvest ASA (a) 10,473 151,018
-------------------
1,840,879
-------------------
Oil Company - Exploration & Production (0.98%)
ARC Energy Ltd (a) 33,976 44,720
Burren Energy PLC 16,489 316,510
Canadian Natural Resources (a) 19,387 1,197,168
CNOOC Ltd 531,743 448,991
Daylight Energy Trust 9,805 102,484
DET Norske Oljeselskap 1 6
EnCana 35,798 1,776,906
Find Energy Ltd (a) 7,887 69,674
Focus Energy Trust 5,542 121,233
JKX Oil & Gas Plc 9,790 61,335
NovaTek OAO (b) 10,551 305,873
OAO Gazprom ADR 8,413 720,153
Oil Search Ltd 60,925 176,974
Open Range Energy Corp (a) 1 3
PTT Public (b) 34,424 231,704
Real Resources Inc (a) 5,414 130,982
Total Gabon 31 25,899
Tullow Oil Plc 70,021 390,464
-------------------
6,121,079
-------------------
Oil Company - Integrated (7.28%)
BG Group PLC 281,033 3,171,761
BP PLC 557,315 6,700,974
China Petroleum & Chemical Corp 652,768 397,608
ENI SpA 202,424 6,115,588
Husky Energy Inc 37,220 2,327,674
LUKOIL ADR 23,855 1,828,486
Mol Magyar Olaj- es Gazipari Rt 3,639 378,016
OMV AG 55,126 3,892,531
PetroChina Co Ltd 773,587 752,924
Petroleo Brasileiro SA ADR 13,348 1,261,386
Royal Dutch Shell PLC - A Shares 61,900 2,106,127
Royal Dutch Shell PLC - B Shares 130,900 4,685,635
Sasol Ltd 11,067 452,750
Statoil ASA 133,011 3,656,152
Total SA 28,615 7,894,560
-------------------
45,622,172
-------------------
Oil Field Machinery & Equipment (0.03%)
Total Energy Services Trust 5,388 86,242
Western Lakota Energy Services Inc (a) 7,806 131,090
-------------------
217,332
-------------------
Oil Refining & Marketing (0.47%)
ERG SpA 77,290 1,991,565
Polski Koncern Naftowy Orlen 23,934 484,774
SK Corp 4,370 269,543
Thai Oil Public (a)(b) 110,519 190,232
-------------------
2,936,114
-------------------
Optical Supplies (0.05%)
Cie Generale d'Optique Essilor Internat 3,529 307,896
-------------------
Pastoral & Agricultural (0.04%)
Charoen Pokphand Foods PCL (a)(b) 1,719,185 253,958
-------------------
Petrochemicals (0.07%)
Honam Petrochemical Corp 7,914 462,706
-------------------
Platinum (0.16%)
Impala Platinum Holdings Ltd 3,808 656,924
Lonmin Plc 8,642 321,326
-------------------
978,250
-------------------
Power Converter & Supply Equipment (0.52%)
Bharat Heavy Electricals (a) 10,661 440,341
Chloride Group 9,865 17,928
Schneider Electric SA 26,978 2,817,306
-------------------
3,275,575
-------------------
Printing - Commercial (0.03%)
Nissha Printing Co Ltd 5,092 164,419
-------------------
Property & Casualty Insurance (0.51%)
Amlin PLC 268,619 1,151,790
Atrium Underwriting Plc 6,007 20,312
Chaucer Holdings Plc 50,709 59,484
Dongbu Insurance Co Ltd 8,269 174,012
Meritz Fire & Marine Insurance Co Ltd 3,203 183,949
Sompo Japan Insurance Inc 112,000 1,595,831
-------------------
3,185,378
-------------------
Property Trust (0.05%)
Galileo Shopping America Trust 145,480 127,106
Macquarie ProLogis Trust 194,163 173,313
-------------------
300,419
-------------------
Publishing - Books (0.00%)
Bloomsbury Publishing Plc 5,264 30,079
-------------------
Publishing - Periodicals (0.49%)
Emap PLC 26,870 404,502
Eniro AB 188,755 2,453,907
Woongjin Thinkbig Co Ltd 17,410 216,576
-------------------
3,074,985
-------------------
Real Estate Magagement & Services (0.13%)
Castellum AB 5,733 222,090
DTZ Holdings PLC 11,680 106,910
Erinaceous Group PLC 16,328 105,053
Immobiliare Grande Distribuzione 6,974 17,890
IVG Immobilien AG 6,102 176,201
Ryowa Life Create Co Ltd 2,021 19,215
Zephyr Co Ltd 58 195,208
-------------------
842,567
-------------------
Real Estate Operator & Developer (1.43%)
Agile Property Holdings Ltd (a) 458,000 271,593
Capital & Regional PLC 10,540 175,436
CapitaLand Ltd 855,000 2,086,394
China Overseas Land & Investment Ltd 470,694 244,230
China Resources Land Ltd 364,364 200,801
Chinese Estates Holdings Ltd 38,341 39,541
Fadesa Inmobiliaria SA 16,320 646,046
Hammerson Plc 13,614 252,371
Hopewell Holdings 24,103 60,590
Inmobiliaria Urbis SA 7,159 144,741
IRSA Inversiones y Representaciones SA (a) 14,705 161,755
Joint Corp 7,054 218,733
Kerry Properties Ltd 824 2,677
Leopalace21 Corp 7,834 285,749
Metrovacesa SA 3,411 234,022
Mitsui Fudosan Co Ltd 157,000 3,312,604
Risanamento SpA 8,304 45,250
United Overseas Land Ltd 33,858 58,002
Urban Corp 2,800 261,188
Vivacon AG 4,430 194,947
Wheelock Properties S Ltd 5,673 14,543
Wing Tai Holdings Ltd 40,442 36,136
-------------------
8,947,349
-------------------
Recycling (0.04%)
Asahi Pretec Corp 8,212 244,820
-------------------
REITS - Diversified (0.31%)
Gecina SA 711 83,747
Rodamco Europe NV 3,580 309,085
Unibail 10,619 1,565,410
-------------------
1,958,242
-------------------
REITS - Shopping Centers (0.20%)
Link REIT/The (a) 650,130 1,257,148
-------------------
Rental - Auto & Equipment (0.33%)
Ashtead Group Plc 479,923 1,654,789
Boom Logistics Ltd 12,082 32,902
Localiza Rent A CAR 15,551 248,633
Ramirent Oyj 2,096 61,975
Sixt AG 2,011 55,555
-------------------
2,053,854
-------------------
Retail - Apparel & Shoe (1.07%)
Etam Developpement SA (a) 464 22,182
Honeys Co Ltd 2,552 199,687
Inditex SA 50,665 1,739,241
Lindex AB (a) 8,380 93,538
Lojas Renner SA 18,675 792,618
Next PLC 74,250 2,288,310
Pal Co Ltd 809 64,094
Point Inc 3,378 272,687
Shimamura Co Ltd 9,700 1,232,956
-------------------
6,705,313
-------------------
Retail - Automobile (0.02%)
Lookers Plc 2,210 23,076
Pendragon Plc 12,891 117,766
-------------------
140,842
-------------------
Retail - Bookstore (0.03%)
Culture Convenience Club Co Ltd 5,322 185,030
-------------------
Retail - Building Products (0.03%)
Homac Corp 5,129 98,361
Keiyo Co Ltd 11,974 84,794
-------------------
183,155
-------------------
Retail - Catalog Shopping (0.01%)
N Brown Group PLC 18,466 63,261
-------------------
Retail - Consumer Electronics (0.68%)
Carphone Warehouse Group PLC 120,176 533,983
Yamada Denki Co Ltd 28,800 3,719,779
-------------------
4,253,762
-------------------
Retail - Discount (0.49%)
Shinsegae Co Ltd 5,819 3,076,442
-------------------
Retail - Drug Store (0.29%)
Sundrug Co Ltd 27,974 1,801,768
-------------------
Retail - Home Furnishings (0.07%)
Ellerine Holdings Ltd 32,737 414,151
-------------------
Retail - Hypermarkets (0.04%)
Controladora Comercial Mexicana SA de CV 128,527 228,731
-------------------
Retail - Jewelry (0.63%)
Compagnie Financiere Richemont AG 76,901 3,490,589
Swatch Group AG 2,817 455,610
-------------------
3,946,199
-------------------
Retail - Major Department Store (0.36%)
Marks & Spencer Group PLC 264,104 2,283,638
-------------------
Retail - Miscellaneous/Diversified (0.49%)
Aeon Co Ltd 99,200 2,618,443
Foschini Ltd 35,604 339,278
Hyundai Department Store H&S Co Ltd 784 59,735
Izumi Co Ltd 1,003 37,870
-------------------
3,055,326
-------------------
Retail - Pubs (0.61%)
Punch Taverns PLC 246,796 3,798,616
-------------------
Retail - Regional Department Store (0.00%)
Gruppo Coin SpA (a) 3,228 12,190
-------------------
Retail - Restaurants (0.01%)
Caffe Nero Group PLC (a) 13,515 60,052
-------------------
Retail - Toy Store (0.00%)
JUMBO SA 1,438 17,986
-------------------
Rubber - Tires (0.64%)
Continental AG 41,421 4,027,321
-------------------
Rubber & Plastic Products (0.04%)
Ansell Ltd 10,691 86,210
Bando Chemical Industries Ltd (a) 3,799 18,011
Mitsuboshi Belting Co Ltd 5,231 43,969
Shin-Etsu Polymer Co Ltd 6,549 99,747
-------------------
247,937
-------------------
Security Services (0.00%)
Garda World Security Corp (a) 1,633 21,425
-------------------
Semiconductor Component - Integrated Circuits (1.24%)
Chipbond Technology Corp 133,000 191,301
CSR PLC (a) 166,080 3,304,538
Novatek Microelectronics Corp Ltd 125,983 770,135
Siliconware Precision Industries Co 239,000 335,920
Taiwan Semiconductor Manufacturing Co Ltd 806,049 1,600,454
Wolfson Microelectronics PLC (a) 214,456 1,542,746
-------------------
7,745,094
-------------------
Semiconductor Equipment (0.29%)
Tokyo Electron Ltd 23,473 1,802,608
-------------------
Shipbuilding (0.02%)
Aker Yards AS 2,614 128,392
-------------------
Silver Mining (0.01%)
Silver Wheaton Corp (a) 6,036 46,829
-------------------
Soap & Cleaning Products (0.41%)
Henkel KGaA 5,867 656,647
Reckitt Benckiser PLC 57,354 1,883,801
-------------------
2,540,448
-------------------
Steel - Producers (1.30%)
Angang New Steel Co Ltd 518,000 380,627
Boehler-Uddeholm AG 7,716 1,490,693
Evraz Group SA (b)(c) 18,021 369,430
IPSCO 6,194 572,917
Mittal Steel South Africa Ltd 29,858 347,805
OneSteel Ltd 73,418 208,820
Osaka Steel Co Ltd 4,070 78,921
POSCO ADR 3,607 207,006
Salzgitter AG 29,371 2,022,216
Sumitomo Metal Industries Ltd 614,000 2,496,596
-------------------
8,175,031
-------------------
Steel - Specialty (0.30%)
Hitachi Metals Ltd 148,241 1,739,915
Nippon Metal Industry Co Ltd 47,020 112,464
-------------------
1,852,379
-------------------
Steel Pipe & Tube (0.47%)
Vallourec 4,229 2,963,053
-------------------
Storage & Warehousing (0.00%)
Big Yellow Group Plc 4,409 27,956
-------------------
Sugar (0.08%)
Cosan SA Industria e Comercio (a) 11,680 470,681
-------------------
Telecommunication Equipment (0.14%)
Foxconn International Holdings Ltd (a) 264,968 469,668
INTOPS Co Ltd 1,810 69,049
Option NV (a) 3,531 314,717
-------------------
853,434
-------------------
Telecommunication Services (0.42%)
Starhub Ltd 1,722,095 2,302,777
Telekomunikacja Polska SA 43,162 316,531
-------------------
2,619,308
-------------------
Telephone - Integrated (1.81%)
China Netcom Group Corp Hong Kong Ltd 347,311 584,284
Hellenic Telecommunications Organization SA (a) 125,503 2,901,663
KDDI Corp 583 3,087,686
Royal KPN NV 216,530 2,090,312
Telefonos de Mexico SA de CV ADR 20,973 497,899
Telekom Austria AG 64,310 1,555,585
Telkom SA Ltd 24,696 604,563
-------------------
11,321,992
-------------------
Television (0.60%)
Carrere Group (a) 880 19,608
Gestevision Telecinco SA 18,982 467,912
Modern Times Group AB (a) 66,940 3,252,459
-------------------
3,739,979
-------------------
Textile - Apparel (0.02%)
Descente Ltd 14,838 98,358
-------------------
Tobacco (1.33%)
British American Tobacco PLC 157,380 3,546,812
Imperial Tobacco Group PLC 80,973 2,407,718
KT&G Corp 49,700 2,406,044
-------------------
8,360,574
-------------------
Tools - Hand Held (0.11%)
Hitachi Koki Co Ltd 15,190 271,192
Makita Corp 14,582 424,761
-------------------
695,953
-------------------
Toys (0.01%)
Mega Bloks Inc (a) 2,606 60,061
-------------------
Transport - Marine (0.15%)
Berlian Laju Tanker Tbk PT 2,230,014 270,837
Brostrom AB 2,852 58,238
Clarkson PLC 691 10,544
Cosco Corp Singapore Ltd 97,090 67,606
D/S Torm A/S 4,472 219,711
Labroy Marine Ltd 189,970 120,575
Pacific Basin Shipping Ltd 190,727 88,514
Shinwa Kaiun Kaisha Ltd 12,462 40,665
Smit Internationale NV 875 67,045
Wan Hai Lines Ltd 1 1
-------------------
943,736
-------------------
Transport - Rail (0.86%)
Canadian National Railway 39,900 3,594,595
Construcciones y Auxiliar de Ferrocarriles SA 157 18,197
East Japan Railway Co 259 1,803,143
-------------------
5,415,935
-------------------
Transport - Services (0.06%)
Grindrod Ltd 69,509 159,882
Hanjin Transportation Co Ltd (a) 3,830 111,964
SMRT Corp Ltd 95,982 68,609
TransForce Income Fund 1,755 29,012
-------------------
369,467
-------------------
Transport - Truck (0.08%)
DSV A/S 3,673 510,297
-------------------
Travel Services (0.30%)
First Choice Holidays Plc 428,795 1,870,986
-------------------
Venture Capital (0.31%)
3i Group PLC 119,074 1,940,688
-------------------
Water (0.08%)
EYDAP Athens Water Supply & Sewage Co S 4,989 47,859
Kelda Group Plc 34,714 482,790
-------------------
530,649
-------------------
Web Portals (0.03%)
Dacom Corp 10,450 172,786
-------------------
Wire & Cable Products (0.07%)
Daetwyler Holding AG 5 17,021
LS Cable Ltd 9,068 314,910
Taihan Electric Wire Co Ltd 4,400 96,698
-------------------
428,629
-------------------
Wireless Equipment (0.11%)
Nokia OYJ 38,628 705,935
-------------------
TOTAL COMMON STOCKS $ 616,202,695
-------------------
PREFERRED STOCKS (0.76%)
Airlines (0.07%)
Tam SA 17,700 423,569
-------------------
Commercial Banks (0.17%)
Banco Bradesco SA 26,446 1,038,854
-------------------
Dialysis Centers (0.05%)
Fresenius AG 2,104 327,920
-------------------
Diversified Minerals (0.23%)
Cia Vale do Rio Doce 32,072 1,416,251
-------------------
Electric - Integrated (0.06%)
Cia Energetica de Minas Gerais 8,383,101 403,494
-------------------
Food - Meat Products (0.05%)
Perdigao SA 6,546 286,697
-------------------
Investment Companies (0.00%)
Lereko Mobility Pty Ltd 1,240 8,679
-------------------
Machinery - Material Handling (0.00%)
Jungheinrich AG 434 11,768
-------------------
Steel - Producers (0.07%)
Gerdau SA 20,569 445,789
-------------------
Telephone - Integrated (0.05%)
Telecomunicacoes de Sao Paulo SA 14,215 336,962
-------------------
Web Portals (0.01%)
Universo Online SA (a) 6,505 42,882
-------------------
TOTAL PREFERRED STOCKS $ 4,742,865
-------------------
Principal
Amount Value
----------------------------------------------------
SHORT TERM INVESTMENTS (0.95%)
Commercial Paper (0.95%)
Investment in Joint Trading Account; HSBC Funding
4.48%, 2/ 1/2006 5,963,734 5,963,734
-------------------
TOTAL SHORT TERM INVESTMENTS $ 5,963,734
-------------------
Total Investments $ 626,909,294
Other Assets in Excess of Liabilities, Net - 0.03% 197,587
-------------------
TOTAL NET ASSETS - 100.00% $ 627,106,881
===================
-------------------
===================
<FN>
(a) Non-Income Producing Security
(b) Market value is determined in accordance with procedures established in
good faith by the Board of Directors. At the end of the period, the value
of these securities totaled $3,335,192 or 0.53% of net assets.
(c) Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. Unless otherwise
indicated, these securities are not considered illiquid. At the end of the
period, the value of these securities totaled $1,530,543 or 0.24% of net
assets.
</FN>
Unrealized Appreciation (Depreciation)
Unrealized Appreciation $ 138,315,893
Unrealized Depreciation (2,225,579)
-------------------
Net Unrealized Appreciation (Depreciation) 136,090,314
Cost for federal income tax purposes 490,796,914
Portfolio Summary (unaudited)
-------------------------------------------------------------------
Country Percent
-------------------------------------------------------------------
Japan 21.04%
United Kingdom 16.50%
France 8.10%
Switzerland 6.62%
Germany 5.23%
Korea, Republic Of 4.51%
Canada 4.12%
Netherlands 3.78%
Italy 3.49%
Spain 2.90%
Australia 2.36%
Sweden 2.12%
Norway 1.94%
Belgium 1.88%
Austria 1.50%
Taiwan, Province Of China 1.47%
Greece 1.35%
Brazil 1.32%
Denmark 1.13%
Hong Kong 1.12%
United States 0.95%
South Africa 0.95%
Finland 0.92%
Singapore 0.82%
Mexico 0.74%
Russian Federation 0.70%
China 0.49%
Turkey 0.38%
India 0.35%
Israel 0.22%
Thailand 0.21%
Poland 0.13%
Ireland 0.11%
Malaysia 0.11%
Egypt 0.08%
Hungary 0.06%
Indonesia 0.05%
Colombia 0.05%
Philippines 0.04%
Luxembourg 0.04%
Czech Republic 0.03%
Papua New Guinea 0.03%
Argentina 0.03%
Other Assets in Excess of Liabilities, Net 0.03%
-------------------
TOTAL NET ASSETS 100.00%
===================
· Enlarge/Download Table
Schedule of Investments
January 31, 2006 (unaudited)
Equity Income Fund
Shares
Held Value
----------------------------------------------------
COMMON STOCKS (81.15%)
Aerospace & Defense Equipment (0.46%)
United Technologies Corp 8,300 $ 484,471
-------------------
Apparel Manufacturers (0.47%)
VF Corp 9,000 499,320
-------------------
Applications Software (0.62%)
Microsoft Corp 23,500 661,525
-------------------
Auto - Car & Light Trucks (0.50%)
DaimlerChrysler AG 9,260 531,523
-------------------
Auto - Medium & Heavy Duty Trucks (0.37%)
Volvo AB 8,160 398,619
-------------------
Auto/Truck Parts & Equipment - Original (0.28%)
GKN PLC 56,000 295,606
-------------------
Beverages - Non-alcoholic (0.65%)
Coca-Cola Co/The 12,000 496,560
PepsiCo Inc 3,400 194,412
-------------------
690,972
-------------------
Beverages - Wine & Spirits (0.22%)
Diageo PLC 16,000 238,021
-------------------
Building - Residential & Commercial (0.41%)
KB Home 5,700 434,340
-------------------
Building & Construction - Miscellaneous (0.13%)
AM NV 11,000 135,710
-------------------
Building & Construction Products - Miscellaneous (0.39%)
CSR Ltd 77,300 247,929
Fletcher Building Ltd 31,900 164,553
-------------------
412,482
-------------------
Cellular Telecommunications (0.14%)
Vodafone Group PLC 71,900 151,112
-------------------
Chemicals - Diversified (1.20%)
Dow Chemical Co/The 10,100 427,230
Lyondell Chemical Co 14,000 336,140
PPG Industries Inc 8,648 514,556
-------------------
1,277,926
-------------------
Chemicals - Specialty (0.37%)
Lubrizol Corp 8,500 388,790
-------------------
Circuit Boards (0.14%)
Elec & Eltek International ADR (a) 55,000 146,850
-------------------
Coal (0.11%)
Fording Canadian Coal Trust 2,800 113,489
-------------------
Commercial Banks (5.09%)
Australia & New Zealand Banking Group Ltd 12,100 227,912
Banco Santander Central Hispano SA 35,500 510,394
Bank of Hawaii Corp 6,000 313,260
BNP Paribas 4,130 368,105
City National Corp/Beverly Hills CA 3,500 262,395
Colonial BancGroup Inc/The 13,700 341,130
Commonwealth Bank of Australia 14,500 489,746
Danske Bank A/S 15,320 537,717
Deutsche Bank AG 730 78,317
DNB NOR ASA 16,300 182,402
Fortis 6,200 215,545
HSBC Holdings PLC 14,978 250,431
Lloyds TSB Group PLC 5,900 53,454
Sanpaolo IMI SpA 17,600 286,167
Societe Generale 3,400 448,781
Sparebanken Rogaland 2,920 95,615
Suncorp-Metway Ltd 11,500 192,252
UnionBanCal Corp 8,500 570,265
-------------------
5,423,888
-------------------
Computers (0.86%)
Hewlett-Packard Co 29,500 919,810
-------------------
Consumer Products - Miscellaneous (0.08%)
Pacific Brands Ltd 51,900 86,372
-------------------
Distribution & Wholesale (0.42%)
Genuine Parts Co 10,600 450,818
-------------------
Diversified Financial Services (0.25%)
Acta Holding ASA 92,000 262,559
-------------------
Diversified Manufacturing Operations (1.86%)
Eaton Corp 7,220 477,964
General Electric Co 29,100 953,025
Honeywell International Inc 14,400 553,248
-------------------
1,984,237
-------------------
Electric - Integrated (4.57%)
E.ON AG 2,270 253,870
Edison International 16,600 727,412
Enel SpA 20,300 171,689
Exelon Corp 18,900 1,085,238
FirstEnergy Corp 15,100 756,510
PPL Corp 21,400 644,782
Scottish & Southern Energy PLC 25,200 479,241
TXU Corp 14,800 749,472
-------------------
4,868,214
-------------------
Electric Products - Miscellaneous (0.44%)
Emerson Electric Co 6,100 472,445
-------------------
Finance - Investment Banker & Broker (2.90%)
Citigroup Inc 30,686 1,429,354
Credit Suisse Group 9,100 530,259
D Carnegie AB 3,500 58,141
Goldman Sachs Group Inc 2,600 367,250
JPMorgan Chase & Co 17,560 698,010
-------------------
3,083,014
-------------------
Finance - Mortgage Loan/Banker (0.82%)
CharterMac 15,100 332,955
Thornburg Mortgage Inc 21,200 543,356
-------------------
876,311
-------------------
Food - Miscellaneous/Diversified (0.22%)
Kellogg Co 5,500 235,950
-------------------
Gambling (Non-Hotel) (0.54%)
OPAP SA 15,200 571,071
-------------------
Hotels & Motels (0.47%)
Starwood Hotels & Resorts Worldwide Inc 8,200 498,642
-------------------
Investment Companies (0.51%)
American Capital Strategies Ltd 15,300 543,915
-------------------
Investment Management & Advisory Services (0.79%)
Nuveen Investments Inc 18,600 843,882
-------------------
Life & Health Insurance (0.42%)
Old Mutual PLC 36,600 125,222
Protective Life Corp 7,100 319,145
-------------------
444,367
-------------------
Machinery - General Industry (0.18%)
MAN AG 3,300 189,340
-------------------
Medical - Drugs (2.02%)
Abbott Laboratories 8,400 362,460
AstraZeneca PLC 1,380 66,763
Merck & Co Inc 11,200 386,400
Pfizer Inc 31,000 796,080
Wyeth 11,600 536,500
-------------------
2,148,203
-------------------
Medical - Hospitals (0.48%)
Parkway Holdings Ltd 349,800 506,550
-------------------
Medical Products (0.37%)
Johnson & Johnson 6,900 397,026
-------------------
Metal - Aluminum (0.25%)
Aluminum of Greece S.A.I.C. 6,000 267,535
-------------------
Metal - Diversified (0.59%)
Freeport-McMoRan Copper & Gold Inc 9,700 623,225
-------------------
Mortgage Banks (0.34%)
Bradford & Bingley PLC 23,200 171,019
Sparebanken Nord-Norge 8,750 190,573
-------------------
361,592
-------------------
Multi-line Insurance (1.53%)
Assurances Generales de France 3,530 365,208
Aviva PLC 29,500 378,292
ING Groep NV 7.20% 19,800 706,147
Milano Assicurazioni SPA 24,600 182,815
-------------------
1,632,462
-------------------
Multimedia (0.34%)
McGraw-Hill Cos Inc/The 7,000 357,280
-------------------
Oil & Gas Drilling (0.57%)
Diamond Offshore Drilling Inc 7,100 602,577
-------------------
Oil Company - Exploration & Production (0.60%)
NAL Oil & Gas Trust 17,000 280,880
Total Gabon 430 359,238
-------------------
640,118
-------------------
Oil Company - Integrated (6.60%)
Chevron Corp 25,400 1,508,252
ConocoPhillips 14,500 938,150
ENI SpA 18,400 555,897
Exxon Mobil Corp 39,540 2,481,135
Marathon Oil Corp 6,900 530,403
Occidental Petroleum Corp 10,400 1,016,184
-------------------
7,030,021
-------------------
Pipelines (0.96%)
Equitable Resources Inc 13,200 487,080
Questar Corp 6,500 529,620
-------------------
1,016,700
-------------------
Printing - Commercial (0.35%)
RR Donnelley & Sons Co 11,300 368,380
-------------------
Property & Casualty Insurance (0.99%)
Chaucer Holdings Plc 80,000 93,843
Chubb Corp 3,726 351,548
QBE Insurance Group Ltd 5,800 84,897
St Paul Travelers Cos Inc/The 11,500 521,870
-------------------
1,052,158
-------------------
Property Trust (0.36%)
Centro Properties Group 24,800 115,749
ING Industrial Fund 29,800 50,269
ING Office Fund 78,000 80,835
Macquarie ProLogis Trust 91,100 81,317
Stockland 12,100 59,404
-------------------
387,574
-------------------
Publicly Traded Investment Fund (0.47%)
iShares Cohen & Steers Realty Majors Index Fund 6,169 496,419
-------------------
Real Estate Operator & Developer (0.12%)
FKP Property Group 31,100 123,980
-------------------
Regional Banks (6.57%)
Bank of America Corp 46,000 2,034,580
Comerica Inc 9,000 499,230
Keycorp 22,600 799,814
PNC Financial Services Group Inc 5,600 363,216
SunTrust Banks Inc 8,600 614,470
US Bancorp 29,600 885,336
Wachovia Corp 21,442 1,175,665
Wells Fargo & Co 9,900 617,364
-------------------
6,989,675
-------------------
REITS - Apartments (3.50%)
Archstone-Smith Trust 20,000 937,200
AvalonBay Communities Inc 8,400 835,632
Equity Residential 30,000 1,272,300
United Dominion Realty Trust Inc 27,000 686,070
-------------------
3,731,202
-------------------
REITS - Diversified (1.34%)
Dundee Real Estate Investment Trust 11,200 259,502
Summit Real Estate Investment Trust 14,700 332,881
Vornado Realty Trust 9,500 839,230
-------------------
1,431,613
-------------------
REITS - Healthcare (0.66%)
Ventas Inc 22,900 700,740
-------------------
REITS - Hotels (1.63%)
Equity Inns Inc 25,500 402,900
Host Marriott Corp 34,700 692,265
Sunstone Hotel Investors Inc 21,600 637,200
-------------------
1,732,365
-------------------
REITS - Mortgage (2.53%)
Arbor Realty Trust Inc 27,600 725,052
Gramercy Capital Corp/New York 41,500 1,093,110
Newcastle Investment Corp 32,300 878,560
-------------------
2,696,722
-------------------
REITS - Office Property (3.13%)
BioMed Realty Trust Inc 24,822 665,974
Boston Properties Inc 12,200 954,772
Equity Office Properties Trust 13,000 413,660
Kilroy Realty Corp 13,000 878,670
SL Green Realty Corp 5,000 420,200
-------------------
3,333,276
-------------------
REITS - Regional Malls (2.27%)
CBL & Associates Properties Inc 23,300 986,056
Simon Property Group Inc 17,300 1,433,132
-------------------
2,419,188
-------------------
REITS - Shopping Centers (2.42%)
Developers Diversified Realty Corp 15,800 778,308
Kimco Realty Corp 26,100 915,849
Tanger Factory Outlet Centers Inc 10,800 340,308
Weingarten Realty Investors 13,500 547,155
-------------------
2,581,620
-------------------
REITS - Warehouse & Industrial (0.99%)
AMB Property Corp 13,000 678,600
EastGroup Properties Inc 8,000 377,760
-------------------
1,056,360
-------------------
Retail - Building Products (0.19%)
Home Depot Inc 5,100 206,805
-------------------
Retail - Major Department Store (0.52%)
JC Penney Co Inc 9,900 552,420
-------------------
Retail - Restaurants (0.48%)
McDonald's Corp 14,745 516,222
-------------------
Steel - Producers (0.65%)
Rautaruukki OYJ 12,600 380,362
Russel Metals 10,300 224,505
Smorgon Steel Group Ltd 69,900 84,073
-------------------
688,940
-------------------
Telecommunication Services (0.14%)
Telecom Plus Plc 55,000 148,830
-------------------
Telephone - Integrated (4.82%)
AT&T Inc 99,273 2,576,134
BT Group PLC 35,600 130,026
Citizens Communications Co 51,900 636,813
Royal KPN NV 44,100 425,728
TDC A/S 8,160 517,725
Verizon Communications Inc 26,814 848,931
-------------------
5,135,357
-------------------
Tobacco (3.27%)
Altria Group Inc 22,383 1,619,186
British American Tobacco PLC 16,900 380,869
Loews Corp - Carolina Group 6,200 285,944
Reynolds American Inc 11,800 1,193,334
-------------------
3,479,333
-------------------
Tools - Hand Held (0.59%)
Black & Decker Corp 4,500 388,350
Stanley Works/The 4,800 235,392
-------------------
623,742
-------------------
Transport - Marine (0.86%)
General Maritime Corp 7,100 266,534
Neptune Orient Lines Ltd 61,900 94,978
Pacific Basin Shipping Ltd 633,000 293,766
Smit Internationale NV 3,400 260,516
-------------------
915,794
-------------------
Transport - Rail (0.29%)
Burlington Northern Santa Fe Corp 3,900 312,468
-------------------
Water (0.48%)
AWG PLC 16,300 324,760
Kelda Group Plc 13,700 190,535
-------------------
515,295
-------------------
TOTAL COMMON STOCKS $ 86,395,358
-------------------
PREFERRED STOCKS (14.97%)
Cellular Telecommunications (0.33%)
US Cellular Corp 13,700 351,405
-------------------
Commercial Banks (1.92%)
Cobank ACB (b) 35,300 1,780,250
Royal Bank of Scotland Group PLC - Series N 10,500 267,540
-------------------
2,047,790
-------------------
Diversified Financial Services (0.48%)
Citigroup Capital VIII 20,300 515,214
-------------------
Electric - Integrated (1.40%)
Consolidated Edison Co of New York 7,556 191,469
Dte Energy Trust I 9,140 232,156
Energy East Capital Trust I 2,185 55,280
Entergy Louisiana Inc 39,580 1,012,061
-------------------
1,490,966
-------------------
Finance - Consumer Loans (0.26%)
HSBC Finance Corp 6.36% 10,500 273,525
-------------------
Finance - Investment Banker & Broker (0.36%)
JP Morgan Chase Capital X 5,000 128,050
Merrill Lynch Preferred Capital Trust I 700 17,934
Merrill Lynch Preferred Capital Trust III 2,700 69,336
Merrill Lynch Preferred Capital Trust IV 4,100 105,821
St Paul Capital Trust I 2,300 58,443
-------------------
379,584
-------------------
Finance - Other Services (0.95%)
ABN AMRO Capital Funding Trust V 2,300 56,028
ABN AMRO Capital Funding Trust VII 14,500 358,585
National Rural Utilities Cooperative Finance Corp 5.95% 24,900 593,616
-------------------
1,008,229
-------------------
Financial Guarantee Insurance (0.54%)
Financial Security Assurance Holdings Ltd 6.250% 23,000 573,850
-------------------
Gas - Distribution (0.60%)
AGL Capital Trust II 25,385 639,702
-------------------
Life & Health Insurance (0.09%)
PLC Capital Trust IV 2,000 51,200
PLC Capital Trust V 1,700 41,378
-------------------
92,578
-------------------
Money Center Banks (0.19%)
JPMChase Capital XVI 8,000 201,680
-------------------
Mortgage Banks (0.05%)
Abbey National PLC 7.250% 2,100 52,752
-------------------
Multi-line Insurance (1.74%)
Aegon NV 36,000 909,000
Hartford Capital III 7,100 180,269
Metlife Inc 6.500% 10,500 275,625
XL Capital Ltd 19,000 491,150
-------------------
1,856,044
-------------------
Pipelines (0.81%)
TransCanada Pipelines Ltd 33,457 858,841
-------------------
Property & Casualty Insurance (0.18%)
Berkley W R Capital Trust 8,100 196,830
-------------------
Regional Banks (0.40%)
USB Capital V 1,500 38,295
USB Capital VII 6,000 143,340
Wells Fargo Capital IV 9,400 239,512
-------------------
421,147
-------------------
Reinsurance (0.15%)
PartnerRe Ltd - Series D 6,500 155,740
-------------------
REITS - Diversified (1.08%)
Duke Realty Corp - Series L 41,547 1,019,979
Vornado Realty Trust - Series H 5,500 134,365
-------------------
