semiannual report 30 june 2010 - hsbc · 2011. 5. 6. · semiannual report 30 june 2010 allianz...

Allianz Global Investors Hong Kong Limited21st Floor, Cheung Kong Center2 Queen‘s Road CentralHong Kongwww.allianzglobalinvestors.com.hk

Semiannual Report

30 June 2010




An open-ended investment company with variable capital and segregated liability between Funds incorporated with limited liability under theCompanies Acts, 1963 to 2009 with registered number 276928 and authorised by the Irish Financial Services Regulatory Authority as anundertaking for collective investment in transferable securities pursuant to the European Communities (Undertakings for Collective Investment in Transferable Securities) Regulations, 1989, as amended and subject to the European Communities (Undertakings for Collective Investment in Transferable Securities) Regulations 2003.

PIMCO Funds:Global InvestorsSeries plc

Annual Report31 December 2010

PIMCO Funds: Global Investors Series plc Annual Report 31 December 2010

GENERAL CHARACTERISTICS

Fund Type:UCITS IIINumber of Funds offered in Company:38 FundsClasses of Shares offered in Company:Institutional ClassInstitutional AUD (Hedged) ClassInstitutional CHF (Hedged) ClassInstitutional CHF (Unhedged) ClassInstitutional EUR (Hedged) ClassInstitutional EUR (Unhedged) ClassInstitutional GBP (Hedged) ClassInstitutional GBP (Unhedged) ClassInstitutional ILS (Hedged) ClassInstitutional NOK (Hedged) ClassInstitutional NZD (Hedged) ClassInstitutional SEK (Hedged) ClassInstitutional SGD (Hedged) ClassInstitutional USD (Hedged) ClassInstitutional USD (Unhedged) ClassInvestor ClassInvestor CHF (Hedged) ClassInvestor EUR (Hedged) ClassInvestor EUR (Unhedged) ClassInvestor GBP (Hedged) ClassInvestor GBP (Unhedged) ClassInvestor ILS (Hedged) ClassInvestor NOK (Hedged) ClassInvestor SEK (Hedged) ClassInvestor USD (Hedged) ClassInvestor USD (Unhedged) ClassAdministrative ClassAdministrative CHF (Hedged) ClassAdministrative EUR (Hedged) ClassAdministrative EUR (Unhedged) ClassAdministrative GBP (Hedged) ClassAdministrative GBP (Unhedged) ClassAdministrative ILS (Hedged) ClassAdministrative SEK (Hedged)Administrative USD (Hedged)Administrative USD (Unhedged)Class H InstitutionalClass H Institutional EUR (Hedged)Class H Institutional USD (Unhedged)Class EClass E CHF (Hedged)Class E EUR (Hedged)Class E EUR (Unhedged)Class E GBP (Hedged)Class E ILS (Hedged) ClassClass E SEK (Hedged)Class E SGD (Hedged)Class E USD (Hedged)Class E USD (Unhedged)Class G RetailClass G Retail (EUR) HedgedClass G Retail (EUR) UnhedgedClass M RetailClass M Retail (HKD) UnhedgedClass ZClass Z EUR (Hedged)Class Z GBP (Hedged)Class Z USD (Unhedged)

Types of Shares:Within each Class, the Company may issue either or both IncomeShares (Shares which distribute income) or Accumulation Shares(Shares which accumulate income) except for the US GovernmentMoney Market Fund, which will only have Income Shares.

Net Assets (Amounts in thousands):€48,796,306 (USD65,462,197).

Minimum Holding:The Administrative, Institutional, Investor, and Class H InstitutionalShare Classes require a minimum holding of USD500,000 or itsequivalent in the relevant Share Class currency in aggregate, witha minimum of USD100,000 or its equivalent in the relevant ShareClass currency per Fund. Class E, Class G and Class M Sharesrequire a minimum holding of USD5,000 or its equivalent in therelevant Share Class currency in aggregate per Fund. PacificInvestment Management Company LLC, at its sole discretion, isauthorised to waive the minimum initial subscription, minimumadditional subscription, and minimum holding requirements as setforth in the current Prospectus.

Dealing Day:All Funds deal on any day on which banks are open for business inDublin, Ireland or such other days as may be specified by theCompany, with the approval of the Custodian.

Funds’ Functional Currency:USD ($), except the UK Corporate Bond, UK Long Term CorporateBond Fund, UK Sterling Inflation-Linked, UK Sterling Long AverageDuration, UK Sterling Low Average Duration and UK Total ReturnBond Funds which are denominated in UK Sterling (£), and thePIMCO EqS Pathfinder Europe™, EuriborPLUS, Euro Bond, EuroCredit, Euro Liquidity, Euro Long Average Duration, Euro RealReturn, Euro Ultra-Long Duration, and FX Strategies Funds whichare denominated in Euro (€).

Hong Kong AuthorisationThe following Funds are not authorised in Hong Kong, and are notavailable to Hong Kong residents:

Emerging Markets and Infrastructure Bond FundPIMCO EqS Pathfinder FundTM

PIMCO EqS Pathfinder Europe FundTM

Euro Credit FundEuro Liquidity FundEuro Long Average Duration FundEuro Real Return FundEuro Ultra-Long Duration FundFX Strategies FundGlobal Advantage FundGlobal Bond Ex-US FundGlobal Multi-Asset FundMortgage-Backed Securities FundSocially Responsible Emerging Markets Bond FundStocksPLUSTM FundUK Corporate Bond FundUK Long Term Corporate Bond FundUK Sterling Inflation-Linked FundUK Sterling Long Average Duration FundUK Sterling Low Average Duration FundUK Total Return Bond FundUnconstrained Bond FundUS Government Money Market Fund

Reuters Page:PAFPPLC

TM Registered trademark or trademark of Pacific Investment Management Company LLC in the United States and/or other countries.

Table of Contents

Page

Chairman’s Letter 2Important Information About the Funds 3Benchmark Descriptions 43Statements of Assets and Liabilities 48Statements of Operations 64Statements of Changes in Net Assets 80Portfolio of Investments and Assets & Significant

Changes in Portfolio Composition 84Notes to Financial Statements 414Directors’ Report 477Independent Auditors’ Report 480Custodian’s Report 481Reference Information 482Glossary 484General Information 485

F U N DFund

Summary

Portfolio ofInvestmentsand Assets

CommoditiesPLUSTM Strategy Fund 4 84Developing Local Markets Fund 5 92Diversified Income Fund 6 101Emerging Asia Bond Fund 7 117Emerging Local Bond Fund 8 122Emerging Markets and Infrastucture Bond Fund 9 131Emerging Markets Bond Fund 10 137PIMCO EqS Pathfinder FundTM 11 147PIMCO EqS Pathfinder Europe FundTM 12 152EuriborPLUS Fund 13 157Euro Bond Fund 14 164Euro Credit Fund 15 173Euro Liquidity Fund 16 180Euro Long Average Duration Fund 17 183Euro Real Return Fund 18 191Euro Ultra-Long Duration Fund 19 196FX Strategies Fund 20 203Global Advantage Fund 21 208Global Bond Fund 22 218Global Bond Ex-US Fund 24 237Global High Yield Bond Fund 25 248Global Investment Grade Credit Fund 26 259Global Multi-Asset Fund 27 277Global Real Return Fund 28 291High Yield Bond Fund 29 301Low Average Duration Fund 30 311Mortgage-Backed Securities Fund 31 322Socially Responsible Emerging Markets Bond Fund 32 327StocksPLUSTM Fund 33 333Total Return Bond Fund 34 342UK Corporate Bond Fund 35 358UK Long Term Corporate Bond Fund 36 366UK Sterling Inflation-Linked Fund 37 374UK Sterling Long Average Duration Fund 38 380UK Sterling Low Average Duration Fund 39 386UK Total Return Bond Fund 40 393Unconstrained Bond Fund 41 399US Government Money Market Fund 42 412

Chairman’s Letter

Dear Shareholder:

It is our pleasure to present to you the Annual Report for the PIMCO Funds: Global Investors Series plc covering the twelve-monthreporting period ended 31 December 2010. On the following pages, please find specific details as to each Fund’s total returninvestment performance and a discussion of those factors that affected performance during the reporting period.

As an update, in the financial markets over the reporting period:

� Financial markets were volatile stemming from uncertainty regarding the efficacy of government fiscal and quantitativeeasing policies orchestrated to help stabilize financial markets due to the Great Recession of 2009. In addition, the sovereigndebt crisis in Europe was an ongoing destabilizing force for financial markets worldwide, and governments across Europefocused on austerity measures to address growing national deficits. As a result, sovereign bond yields generally increasedtowards the latter part of the reporting period even though central banks kept key short-term interest rates at historic lowlevels. Investors embraced risk assets in the last quarter of the reporting period on expectations for an improved economicoutlook and announcements of expanded quantitative easing programs.

� Diversified commodity index returns posted positive results, as measured by the Dow Jones-UBS Commodity Index TotalReturn, which returned 16.83% for the reporting period. These positive returns were supported by futures price gains in thesofts sector (such as cotton, coffee and sugar), the grains sector, and the precious and industrial metals sector. The energysector, on the other hand, saw overall negative returns for the year as natural gas futures prices declined as a result of risingrig count and building inventories. However, downside in the energy sector was limited by higher crude oil futures prices,which gained on expectations for stronger economic growth.

� Global inflation-linked bonds posted positive returns, as represented by the Barclays Capital World Government Inflation-Linked Bond USD Hedged Index, which gained 5.43%. While inflation generally remained muted in most of the developedworld, signs of inflationary pressures arose later in the period with increases in energy and food prices.

� Emerging market (“EM”) debt instruments, both local currency and US dollar denominated, outperformed US Treasurysecurities during the reporting period. Spreads on EM external debt and yields in EM Local debt instruments tightened asmost EM economies posted strong economic growth rates.

� Equity markets worldwide were volatile during the reporting period but staged an impressive rally in the last quarter of thereporting period, making up from losses posted over the summer months of 2010. International equities, as represented by theMSCI World Index, returned 11.76%. US equities, as measured by the S&P 500 Index, returned 15.06% and UK equities, asrepresented by the FTSE 100 Index, returned 12.81%. However, Eurozone equities, as measured by the Dow Jones EuroSTOXX 50® Total Return Index, declined 2.81% due primarily to ongoing concerns stemming from sovereign debt worries inthe region.

If you have questions regarding the PIMCO Funds: Global Investors Series plc, please contact the London office on+44 (0)20 7408 8955 or, for fund-operation questions, the Administrator on +353 1 241 7100.

Thank you again for the trust you have placed in us. We value your trust and will continue to work diligently to meet your broadinvestment needs.

Sincerely,

Joseph V. McDevittChairman20 January 2011

2 PIMCO Funds: Global Investors Series plc

Important Information About the Funds

This material is authorised for use only when preceded or accompanied by the current PIMCO Funds: Global Investors Seriesplc Prospectus. Investors should consider the investment objectives, risks, charges and expenses of these Funds carefullybefore investing. This and other information is contained in the Prospectus. Please read the Prospectus carefully before youinvest or send money.

We believe that bond funds have an important role to play in a well diversified investment portfolio. It is important to note, however, that in anenvironment where interest rates may trend upward, rising rates will negatively impact the performance of most bond funds, and fixed-incomesecurities held by a fund are likely to decrease in value. The price volatility of fixed-income securities can also increase during periods of risinginterest rates, resulting in increased losses to a fund. Bond funds and individual bonds with a longer duration (a measure of the expected life ofa security) tend to be more sensitive to changes in interest rates, usually making them more volatile than securities or funds with shorterdurations. The longer-term performance of most bond funds has benefited from capital gains in part resulting from an extended period ofdeclining interest rates. In the event interest rates increase, these capital gains should not be expected to recur.

The Funds may be subject to various risks in addition to those described above. Some of these risks may include, but are not limited to, thefollowing: real rate risk, derivative risk, small company risk, foreign security risk, high-yield security risk and specific sector investment risks.The Funds may use derivative instruments for hedging purposes or as part of an investment strategy. Use of these instruments may involvecertain costs and risks such as liquidity risk, interest rate risk, market risk, credit risk, management risk and the risk that a fund could not closeout a position when it would be most advantageous to do so. Funds investing in derivatives could lose more than the principal amount investedin these instruments. Investing in foreign securities may entail risk due to foreign economic and political developments; this risk may beenhanced when investing in emerging markets. High-yield bonds typically have a lower credit rating than other bonds. Lower rated bondsgenerally involve a greater risk to principal than higher rated bonds. Smaller companies may be more volatile than larger companies and mayentail more risk. Concentrating investments in individual sectors may add additional risk and volatility compared to a diversified fund.

Past performance is no guarantee of future results. On each individual fund summary page in this Report, the Total Return InvestmentPerformance table measures performance assuming that all dividend and capital gain distributions were reinvested. Investment return andprincipal value will fluctuate so that Fund shares, when redeemed, may be worth more or less than their original cost. Returns do not reflect thededuction of taxes that a shareholder would pay (i) on Fund distributions or (ii) the redemption of Fund shares. Current performance may belower or higher than the performance data quoted. All Fund returns are net of fees and expenses.

An investment in a Fund is not a deposit in a bank and is not guaranteed or insured by any government agency. The value of and income fromShares in the Fund may go up or down and you may not get back the amount you have invested in the Funds.

PIMCO Funds: Global Investors Series plc is distributed by PIMCO Europe Ltd, 103 Wigmore Street, London W1U 1QS, England; PIMCO Asia PteLtd, 501 Orchard Road #08-03, Wheelock Place, Singapore 238880 and PIMCO Australia Pty Ltd, Level 19, 363 George Street, Sydney, NewSouth Wales 2000 Australia; www.pimco.com.

Annual Report 31 December 2010 3

CommoditiesPLUSTM Strategy Fund

Total Return Net of Fees and Expenses for the Period Ended 31 December 20101

1 Year FundInception

Classes denominated in USD

Institutional Class Accumulation Shares (Inception 31 Aug 2006) 20.96% 3.01%

Class E Accumulation Shares (Inception 21 Sep 2007) 19.74% 1.11%

Class E Income Shares (Inception 31 Oct 2006) 19.73% 2.60%

Class Z Income Shares (Inception 18 Nov 2008) 21.65% 24.85%

Dow Jones-UBS Commodity Index Total Return 16.83% 0.67%

Classes denominated in EUR

Institutional EUR (Hedged) Class Accumulation Shares (Inception 08 Jun 2010) — 33.70%

Dow Jones-UBS Commodity Index Total Return (EUR Hedged) — —

1 Annualised performance for periods of at least one year, otherwise cumulative.

Portfolio Insights

» The CommoditiesPLUS™ Strategy Fundseeks to achieve its investment objective byinvesting under normal circumstances incommodity index-linked derivativeinstruments backed by a portfolio of activelymanaged global Fixed Income Securities (asdefined in the Prospectus).

» The Fund seeks to outperform the DowJones-UBS Commodity Index Total Returnby actively managing its commodityexposure and the cash collateral portfoliothat backs it.

» Above-index US nominal duration added toperformance as the ten-year US Treasuryyield declined.

» Above-index Canadian nominal durationduring the majority of the year benefitedperformance as the ten-year Canadiannominal yield decreased.

» Holdings of select Asian currencies, such asthe Chinese yuan and the Singapore dollar,added to performance as these currenciesappreciated versus the US dollar.

» Above-index UK nominal duration in thelatter part of the year detracted fromperformance as the ten-year UK yieldincreased during that period.

» Above-index European nominal duration inthe second half of the year detracted fromperformance as the ten-year European yieldincreased during that period.


Developing Local Markets Fund




Institutional Class Accumulation Shares (Inception 29 Sep 2006) 7.32% 7.01%


Class E Accumulation Shares (Inception 19 Nov 2008) 6.33% 12.35%

Class Z Income Shares (Inception 18 Nov 2010) — -0.58%

JPMorgan Emerging Local Markets Index Plus (Unhedged) 5.68% 8.32%

JPMorgan Emerging Local Markets Index Plus +Bid (Unhedged) 5.57% 8.03%


Institutional EUR (Unhedged) Class Accumulation Shares (Inception 20 Jan 2010)2 — 12.50%

Class E EUR (Unhedged) Accumulation Shares (Inception 02 Jul 2009) 14.56% 12.18%

JPMorgan Emerging Local Markets Index Plus (EUR Unhedged) 13.90% —

1 Annualised performance for periods of at least one year, otherwise cumulative.2 Institutional EUR (Unhedged) Class Accumulation Shares opened initially on 13 June 2008, closed on 21 April 2009 and re-opened

20 January 2010.

Portfolio Insights

» The Developing Local Markets Fund seeksto achieve its investment objective byinvesting under normal circumstancesprimarily in a portfolio of currencies or FixedIncome Instruments (as defined in theProspectus) denominated in currencies ofnon-US countries, excluding those countriesthat have been classified by the World Bankas high-income Organization For EconomicCo-Operation and Development economiesfor the past five consecutive years.

» An underweight to Hungary contributed toperformance as the Hungarian sub indexunderperformed the JPMorgan EmergingLocal Markets Index Plus (Unhedged) (“theFund’s benchmark index”) for the period.

» An overweight to Mexico benefited returnsas the Mexico sub index outperformed theFund’s benchmark index for the period.

» An off-benchmark exposure to globalfinancials benefited performance asfinancials outperformed the Fund’sbenchmark index for the period.

» An underweight to South Africa detractedfrom returns as the South Africa sub indexoutperformed the Fund’s benchmark indexfor the period.

» An overweight to China detracted fromreturns as the Chinese sub indexunderperformed the Fund’s benchmark indexfor the period.

» An overweight to Poland detracted toperformance as the Poland sub indexunderperformed the Fund’s benchmark indexfor the period.


Diversified Income Fund




Institutional Class Accumulation Shares (Inception 30 Jun 2005) 13.23% 7.94%

Institutional Class Income Shares (Inception 08 Sep 2008) 13.16% 11.91%

Class M Retail Income Shares (Inception 30 Nov 2010) — 0.40%


Class E Income Shares (Inception 31 Jul 2006) 12.22% 7.75%

1/3 each-Barclays Capital Global Aggregate Credit Component, BofA Merrill Lynch Global HighYield BB-B Rated Constrained, JPMorgan EMBI Global; All USD Hdgd 11.04% 7.00%


Institutional EUR (Hedged) Class Accumulation Shares (Inception 14 Feb 2007) 13.15% 8.08%

Institutional EUR (Hedged) Class Income Shares (Inception 17 Oct 2007) 13.13% 9.04%

Investor EUR (Hedged) Class Accumulation Shares (Inception 05 Jul 2007) 12.66% 8.89%

Administrative EUR (Hedged) Class Accumulation Shares (Inception 20 Jul 2007) 12.51% 8.80%

Class E EUR (Hedged) Accumulation Shares (Inception 03 Jul 2007) 12.05% 8.42%

Class E EUR (Hedged) Income Shares (Inception 16 Oct 2009) 12.05% 11.57%

1/3 each-Barclays Capital Global Aggregate Credit Component, BofA Merrill Lynch Global HighYield, BB-B Rated Constrained, JPMorgan EMBI Global; All EUR Hdgd 10.55% —

Classes denominated in GBP

Institutional GBP (Hedged) Class Accumulation Shares (Inception 16 May 2006) 13.15% 9.02%

Institutional GBP (Hedged) Class Income Shares (Inception 14 Feb 2006) 13.15% 8.61%

1/3 each-Barclays Capital Global Aggregate Credit Component, BofA Merrill Lynch Global HighYield BB-B Rated Constrained, JPMorgan EMBI Global; All GBP Hdgd 10.90% —

Classes denominated in SEK

Institutional SEK (Hedged) Class Accumulation Shares (Inception 31 Mar 2006) 13.31% 7.62%

1/3 each-Barclays Capital Global Aggregate Credit Component, BofA Merrill Lynch Global HighYield BB-B Rated Constrained, JPMorgan EMBI Global; All SEK Hdgd 10.75% —


Portfolio Insights

» The Diversified Income Fund seeks toachieve its investment objective byinvesting under normal circumstances atleast 65% of its total assets in a diversifiedportfolio of Fixed Income Instruments(as defined in the Prospectus) ofvarying maturities.

» An overall overweight to emerging market(“EM”) debt enhanced relative performance.EM debt, as represented by the JPMorganEmerging Markets Bond Index Global(“EMBIG”), returned 12.04% during theperiod, outperforming the Fund’sbenchmark index.

» Within in the Fund’s EM holdings, anunderweight allocation to Argentina debtdetracted from relative performance asArgentina debt, represented by theJPMorgan EMBIG Argentina sub index,returned 35.40% during the period,outperforming the Fund’s benchmark index.

» Within in the Fund’s EM holdings, anunderweight allocation to Venezuela debtdetracted from relative performance asVenezuela sovereign bonds, represented bythe JPMorgan EMBIG Venezuela sub index,returned 16.05% for the period,outperforming the Fund’s blended index.

» Within the Fund’s EM holdings, anoverweight allocation to Colombia debtenhanced relative performance as Colombiabonds, represented by the JPMorgan EMBIGColombia sub index, returned 11.40% duringthe period, outperforming the Fund’sbenchmark index.

» Within in the Fund’s corporate holdings, anoverweight allocation to high grade bankingcredits detracted from relative performanceas banking debt, represented by the bankingcomponent of the Barclays Capital GlobalAggregate Bond Index, underperformed theFund’s benchmark index with a return of6.07% for the period.

» Within the Fund’s credit holdings, anunderweight to supranationals enhancedrelative performance as these issues,represented by the supranationalcomponent of the Barclays Capital GlobalAggregate Bond Index, returned 5.02%during the period, underperforming theFund’s benchmark index.

» Tactical exposure to commercial mortgage-backed securities (“CMBS”) benefitedperformance as CMBS, represented by theBarclays Capital CMBS Index, returned20.81% during the period, outperformingthe Fund’s benchmark index.

» An overall underweight allocation to globalhigh yield bonds detracted from relativeperformance as this segment of the creditmarket, represented by the BofA MerrillLynch Global High Yield BB-B Rated 2%Constrained Index, returned 14.23%,outperforming the Fund’s benchmark index.


Emerging Asia Bond Fund


FundInception


Class E Income Shares (Inception 01 Jun 2010) 18.37%

[90% JPMorgan Asia credit Index (JACI) + 10% 1 month USD Libor] * [JPMorgan Emerging Local MarketsIndex (ELMI+)] / [3 month USD Libor] 15.22%


Institutional EUR (Unhedged) Class Accumulation Shares (Inception 01 Oct 2010) 4.10%

[90% JPMorgan Asia credit Index (JACI) + 10% 1 month USD Libor] * [JPMorgan Emerging Local MarketsIndex (ELMI+)] / [3 month USD Libor]. (Euro Unhedged) —


Portfolio Insights

» The Emerging Asia Bond Fund seeks tomaximise total return, consistent withprudent investment management. The Fundinvests in a combination of Fixed IncomeInstruments (as defined in the Prospectus)of issuers that are economically tied to Asiaex-Japan countries with emerging securitiesmarkets, related derivatives (as defined inthe Prospectus) on such securities andemerging market currencies. Fixed IncomeSecurities purchased by the Fund will berated at least Caa by Moody’s or CCC byS&P (or if unrated, determined by theInvestment Adviser to be of comparablequality).

» An overweight to China’s external debtcontributed to performance as the China subindex of the JPMorgan Asia Credit Index(“JACI”) outperformed the overall JPMorganJACI for the period.

» An overweight to Indonesia’s external debtcontributed to performance as the Indonesiasub index of the JPMorgan Asia CreditIndex (“JACI”) outperformed the overallJPMorgan JACI for the period.

» On the currency front, an underweight to theHungarian forint detracted fromperformance as the Hungarian sub index ofthe JPMorgan Emerging Local MarketsIndex Plus (“ELMI+”) outperformed theoverall JPMorgan ELMI+ for the period.

» An underweight to the South African randdetracted from performance as the SouthAfrica sub index of the JPMorgan ELMI+outperformed the overall JPMorgan ELMI+for the period.


Emerging Local Bond Fund




Institutional Class Accumulation Shares (Inception 11 Dec 2007) 14.74% 9.19%

Institutional Class Income Shares (Inception 18 Apr 2008) 14.78% 8.93%

Investor Class Accumulation Shares (Inception 18 Aug 2010) — 2.80%

Class E Accumulation Shares (Inception 19 Nov 2008) 13.64% 25.39%

Class E Income Shares (Inception 08 Jul 2010) — 7.36%


JPMorgan Government Bond Index-Emerging Markets Global Diversified Index (Unhedged) 15.68% 9.55%


Institutional EUR (Unhedged) Class Accumulation Shares (Inception 16 Apr 2010)2 — 8.70%

Institutional EUR (Unhedged) Class Income Shares (Inception 23 Jun 2010) — 0.77%

Administrative EUR (Unhedged) Class Accumulation Shares (Inception 30 Sep 2010) — 1.60%

Class G Class EUR (Unhedged) Income Shares (Inception 14 Dec 2010) — 1.20%

Class E EUR (Unhedged) Accumulation Shares (Inception 02 Jul 2009) 22.45% 21.02%

JPMorgan Government Bond Index-Emerging Markets Global Diversified Index (EUR Unhedged) 23.72% —


Institutional GBP (Unhedged) Class Accumulation Shares (Inception 27 Jun 2008) 19.42% 22.91%

Institutional GBP (Unhedged) Class Income Shares (Inception 14 Aug 2008) 19.44% 20.06%

JPMorgan Government Bond Index-Emerging Markets Global Diversified Index (GBP Unhedged) 19.31% —

1 Annualised performance for periods of at least one year, otherwise cumulative.2 Institutional EUR (Unhedged) Class Shares opened initially on 13 June 2008, closed on 21 April 2009 and re-opened 16 April 2010.

Portfolio Insights

» The Emerging Local Bond Fund seeks tomaximise total return, consistent withprudent investment management. The Fundwill normally invest at least 80% of itsassets in Fixed Income Instruments (asdefined in the Prospectus) denominated incurrencies of countries with emergingsecurities markets, which may berepresented by forwards or derivatives suchas options, futures contracts, orswap agreements.

» An overweight to Brazil contributed toperformance as the Brazilian sub indexoutperformed the JPMorgan GovernmentBond Index-Emerging Markets GlobalDiversified (Unhedged) (“the Fund’sbenchmark index”) for the period.

» An underweight to Hungary contributed toperformance as the Hungary sub indexunderperformed the Fund’s benchmark indexfor the period.

» An underweight to Russia contributed toperformance as the Russia sub indexunderperformed the Fund’s benchmark indexfor the period.

» An underweight to South Africa detractedfrom performance as the South Africa subindex outperformed the Fund’s benchmarkindex for the period.

» An overweight to Poland detracted fromrelative performance as the Poland subindex underperformed the Fund’s benchmarkindex for the period.

» An underweight to Colombia detracted fromrelative performance as the Colombia subindex outperformed the Fund’s benchmarkindex for the period.


Emerging Markets and Infrastructure Bond Fund




Institutional Class Accumulation Shares (Inception 12 Nov 2009) 12.34% 12.07%

Class Z Income Shares (Inception 03 Dec 2009) 13.82% 13.30%

JPMorgan Corporate Emerging Markets Bond Index Diversified (CEMBI) 13.50% 12.35%


Institutional EUR (Hedged) Class Accumulation Shares (Inception 19 Feb 2010) — 10.40%

Class E EUR (Hedged) Accumulation Shares (Inception 02 Mar 2010) — 7.90%

JPMorgan Corporate Emerging Markets Bond Diversified Index (EUR Hedged) — —


Portfolio Insights

» The Emerging Markets and InfrastructureBond Fund seeks to achieve its investmentobjective by investing at least 80% of itsassets in an actively managed diversifiedportfolio consisting of Fixed IncomeInstruments (as defined in the Prospectus)that are economically tied to emergingmarket countries and Fixed IncomeInstruments that are issued by infrastructureentities, or other entities which provideexposure to infrastructure projectsor assets.

» An overweight to Indonesia contributed toperformance. The Indonesia sub indexoutperformed the JPMorgan CorporateEmerging Markets Bond Index Diversified(“CEMBI”) (“the Fund’s benchmark index”)for the period.

» An overweight to Russia contributed toperformance as the Russia sub indexoutperformed the Fund’s benchmark indexfor the period.

» An underweight to Mexico contributed toperformance as the Mexico sub indexunderperformed the Fund’s benchmark indexfor the period.

» An overweight to Brazil detracted fromperformance as the Brazil sub indexunderperformed the Fund’s benchmark indexfor the period.

» An underweight to China detracted fromperformance as the China sub indexoutperformed the Fund’s benchmark indexfor the period.


Emerging Markets Bond Fund




Institutional Class Accumulation Shares (Inception 31 Jul 2001) 12.37% 13.00%

Institutional Class Income Shares (Inception 13 Dec 2001) 12.42% 11.70%

Investor Class Accumulation Shares (Inception 25 Apr 2002) 12.01% 10.59%

Investor Class Income Shares (Inception 18 Apr 2002) 12.04% 10.51%

Administrative Class Accumulation Shares (Inception 29 May 2003) 11.79% 8.63%

Class H Institutional Accumulation Shares (Inception 17 Oct 2002) 12.19% 12.91%

Class M Retail Income Shares (Inception 30 Nov 2010) — -0.40%

Class E Accumulation Shares (Inception 31 Mar 2006) 11.33% 7.12%



JPMorgan Emerging Markets Bond Index (EMBI) Global 12.04% 10.92%


Institutional EUR (Hedged) Class Accumulation Shares (Inception 17 Dec 2002) 12.26% 10.94%

Institutional EUR (Hedged) Class Income Shares (Inception 20 Dec 2010) — 0.60%

Investor EUR (Hedged) Class Accumulation Shares (Inception 04 Aug 2009) 11.85% 14.00%

Class E EUR (Hedged) Accumulation Shares (Inception 31 Mar 2006) 11.24% 6.11%

JPMorgan EMBI Global (Euro Hedged) 11.39% —


Institutional GBP (Hedged) Class Accumulation Shares (Inception 05 Feb 2004) 12.27% 9.65%

Institutional GBP (Hedged) Class Income Shares (Inception 30 Dec 2005) 12.33% 7.88%

JPMorgan EMBI Global (GBP Hedged) 11.84% —

Classes denominated in CHF

Institutional CHF (Hedged) Class Income Shares (Inception 16 Dec 2005) 11.58% 5.83%

JPMorgan EMBI Global (CHF Hedged) 11.16% —

Classes denominated in SGD

Class E SGD (Hedged) Accumulation Shares (Inception 15 Feb 2007) 11.24% 4.94%

JPMorgan EMBI Global (SGD Hedged) 11.79% —


Portfolio Insights

» The Emerging Markets Bond Fund seeks toachieve its investment objective byinvesting at least 80% of its assets in FixedIncome Securities (as defined in theProspectus) of issuers that economicallyare tied to countries with emergingsecurities markets.

» An out-of-benchmark exposure to Russiancorporate credits and quasi-sovereigncredits benefited relative performance asthe Russian corporate and quasi sovereignsub indexes of the JPMorgan CorporateEmerging Markets Bond Index (“CEMBI”)outperformed the JPMorgan EmergingMarkets Bond Index Global (“the Fund’sbenchmark index”) during the period.

» An underweight to Hungary contributed torelative performance as the Hungarian subindex underperformed the Fund’s benchmarkindex during the period.

» An underweight to China contributed torelative performance as the Chinese subindex underperformed the Fund’s benchmarkindex during the period.

» An underweight to Argentina detracted fromrelative performance as the Argentineansub index outperformed the Fund’sbenchmark index during the period.

» An underweight to Ukraine detracted fromrelative performance as the Ukrainian subindex outperformed the Fund’s benchmarkindex during the period.

» An underweight to Venezuela detractedfrom relative performance as theVenezuelan sub index outperformed theFund’s benchmark index during the period.


PIMCO EqS Pathfinder FundTM


FundInception


Institutional Class Accumulation Shares (Inception 20 May 2010) 10.70%

Institutional Class Income Shares (Inception 20 May 2010) 10.73%

Investor Class Accumulation Shares (Inception 08 Jul 2010) 8.20%

Class E Accumulation Shares (Inception 28 May 2010) 9.70%

Class E Income Shares (Inception 28 May 2010) 9.72%

MSCI World Index 21.62%


Institutional EUR (Hedged) Class Accumulation Shares (Inception 26 Jul 2010) 6.50%

Class E EUR (Hedged) Accumulation Shares (Inception 10 Nov 2010) 0.80%

MSCI World (Euro Hedged) Index —


Portfolio Insights

» The PIMCO EqS Pathfinder Fund™ seeks toachieve its investment objective primarily byinvesting, under normal circumstances, inEquity Securities (as defined in theProspectus), including common andpreferred stock, of issuers which theInvestment Adviser is of the view areundervalued and that are economically tiedto at least three countries (one of whichmay be the United States).

» The Fund commenced operations on20 May 2010.

» During the reporting period, the Fund’sInstitutional class shares returned 10.70%after fees and the Fund’s benchmark index,the MSCI World Index, returned 21.62%.The Fund’s performance, although positive,underperformed its benchmark index by10.92%.

» Stock selection in the energy sector,particularly exposure to offshore oil drillerssuch as Seadrill Ltd. and Pride InternationalInc., contributed to performance as thesesecurities appreciated in value during thereporting period.

» British American Tobacco PLC and Link RealEstate Investment Trust were notablecontributors to performance as prices onthese investments appreciated, as wasthe Fund’s exposure to mergerarbitrage investments.

» In a market which was largely positive,there were few negative contributors.However financials Bank of America andCBOE (the Chicago Board Option Exchange)both underperformed during the period.

» Given the sharp recovery in the equitymarkets over the time period under review,the Fund’s market risk hedging strategiescontributed negatively to performanceduring this reporting period as these marketrisk hedging strategies declined in value asthe markets appreciated.

» At the end of the period, the Fund heldapproximately 67% in equities we believeare undervalued, about 3% (on the long sideonly) in merger arbitrage investments,approximately 26% in cash equivalents, andheld the balance of the portfolio in currencyand market risk hedges.




FundInception


Institutional Class Accumulation Shares (Inception 20 May 2010) 9.50%

Institutional Class Income Shares (Inception 28 May 2010) 9.18%

Class E Accumulation Shares (Inception 09 Jun 2010) 9.50%

Class E Income Shares (Inception 09 Jun 2010) 9.45%

MSCI Europe Index 16.59%


Portfolio Insights

» The PIMCO EqS Pathfinder Europe Fund™

seeks to achieve its investment objectiveprimarily by investing, under normalcircumstances, in Equity Securities (asdefined in the Prospectus), includingcommon and preferred stock, of issuerswhich the Investment Adviser is of the vieware undervalued and that are economicallytied to European countries.

» The Fund commenced operations on20 May 2010.

» During the reporting period, the Fund’sInstitutional class shares returned 9.50%after fees and the Fund’s benchmark index,the MSCI Europe Index, returned 16.59%.The Fund’s performance, although positive,underperformed its benchmark index by7.09%.

» Stock selection in the energy sector,particularly exposure to an offshore oildriller such as Seadrill Ltd. contributed toperformance as this security appreciated invalue during the reporting period.

» British American Tobacco PLC and PhilipMorris International were also notablecontributors to performance as prices onthese investments appreciated.

» In a market which was largely positive therewere few negative contributors, howeverexposure to integrated-utility company E.ONwas a notable detractor from performanceas the security underperformed duringthe period.

» Given the sharp recovery in the equitymarkets over the time period under review,the Fund’s market risk hedging strategiescontributed negatively to performanceduring this reporting period as these marketrisk hedging strategies declined in value asthe markets appreciated.

» At the end of the period, the Fund heldapproximately 72% in equities we believeare undervalued, about 2% (on the long sideonly) in merger arbitrage investments,approximately 22% in cash equivalents, andheld the balance of the portfolio in currencyand market risk hedges.


EuriborPLUS Fund




Institutional Class Accumulation Shares (Inception 31 Jan 2006) 2.41% 2.87%

Investor Class Accumulation Shares (Inception 31 Mar 2006) 2.08% 2.56%


1 Month Euribor Rate Index 0.55% 2.59%


Portfolio Insights

» The EuriborPLUS Fund seeks to achieve itsinvestment objective by investing at leasttwo-thirds of its assets in a diversifiedportfolio of euro-denominated Fixed IncomeSecurities (as defined in the Prospectus)with varying maturities although theaverage portfolio duration is not expected toexceed one and a half years.

» Exposure to duration in the EuropeanMonetary Union was positive for returns asEuro sovereign yields decreased duringthe period.

» Exposure to emerging market bonds addedmodestly to performance as spreads overUS Treasuries fell during the period.

» Exposure to Asian emerging marketcurrencies added to returns as thesecurrencies appreciated versus the euroduring the period.

» Exposure to asset-backed securities waspositive for returns as sector spreadstightened during the period.


Euro Bond Fund





Institutional Class Income Shares (Inception 07 Jan 2003) 6.49% 3.81%

Investor Class Accumulation Shares (Inception 08 May 2002)2 6.10% 4.12%

Investor Class Income Shares (Inception 29 Apr 2002) 6.09% 4.07%

Administrative Class Accumulation Shares (Inception 07 Jun 2001) 5.96% 3.98%



Citigroup Euro Broad Investment-Grade Index 2.05% 4.48%


Institutional CHF (Hedged) Class Accumulation Shares (Inception 30 Jun 2006) 5.84% 1.59%

Citigroup Euro Broad Investment-Grade (CHF Hedged) Index 1.59% —

1 Annualised performance for periods of at least one year, otherwise cumulative.2 Investor Class Accumulation Shares opened initially on 18 January 2001, closed on 26 July 2001 and re-opened 8 May 2002.

Portfolio Insights

» The Euro Bond Fund seeks to achieve itsinvestment objective by investing at leasttwo-thirds of its assets in a diversifiedportfolio of euro-denominated Fixed IncomeSecurities (as defined in the Prospectus) ofvarying maturities.

» The broad euro bond market returned2.05% year to date; government bondsunderperformed the broad marketreturning 1.52%, while European corporatesoutperformed returning 4.43% as of31 December 2010.

» An overweight to interest rates in the UKand an underweight to interest rates in theEurozone during the fourth quarter benefitedperformance as yields declined in the UKduring 2010, while rising in the Eurozoneduring the fourth quarter.

» Eurozone country selection, namely anunderweight to European peripherals,contributed to returns as spreads widenedon sovereign risk concerns.

» A curve steepening position in the Eurozonedetracted from returns as longer datedbonds outperformed shorter maturities.

» Exposure to select high quality non-Agencymortgage-backed securities (“MBS”) andasset-backed securities (“ABS”) added toreturns as these securities outperformed thebroad euro bond market during the period.

» Exposure to emerging market currenciesadded to returns as these currenciesappreciated versus the US dollar duringthe period.


Euro Credit Fund





Class E Accumulation Shares (Inception 25 May 2010) — 2.40%

Barclays Capital Euro-Aggregate Credit Index 4.78% 4.93%


Portfolio Insights

» The Euro Credit Fund seeks to maximisetotal return, consistent with preservation ofcapital and prudent investmentmanagement. The Fund invests at leasttwo-thirds of its assets in a diversifiedportfolio of Euro-denominated Fixed IncomeInstruments (as defined in the Prospectus)of varying maturities, which may berepresented by direct or indirect holdings incredit-related Fixed Income Securities orderivative instruments such as options,futures swaps or credit default swaps.

» An overweight to banks detracted fromreturns as the banking sectorunderperformed the credit market duringthe period.

» An underweight to the insurance sector wasnegative for performance as insurance debtoutperformed the credit index duringthe period.

» An underweight to supranational debtadded to portfolio returns as supranationaldebt underperformed their corporatecounterparts during the period.

» An underweight to utilities contributed toperformance as the utilities sector laggedthe credit market during the period.

» Above-index duration in the Eurozone waspositive for relative returns as yields fellover the period.

» A yield curve steepening strategy in Europedetracted from performance as the yieldcurve flattened in Europe over the period.


Euro Liquidity Fund





Institutional Class Income Shares (Inception 13 May 2008) 0.29% 1.33%

Class E Accumulation Shares (Inception 01 Jul 2008) 0.00% 0.83%

Eonia® - Euro OverNight Index Average 0.44% 1.37%


Portfolio Insights

» The Euro Liquidity Fund seeks to achieve itsinvestment objective by investing solely inEuro-denominated instruments withmaturities of fewer than 397 days andmaintains a weighted average maturity of60 days or less.

» Exposure to longer maturities added toreturns as the money market yield curveremained positively sloped during theperiod.

» Covered bond exposure added yield to theportfolio during the period.

» Selected Treasury bill exposure in Germany,France and the Netherlands provided ahigh-quality focus for the portfolio.


Euro Long Average Duration Fund




Institutional Class Accumulation Shares (Inception 21 Apr 2006) 9.45% 5.10%


Citigroup Euro Broad Investment-Grade (EuroBIG) Bond > 15 Years Index 3.09% 3.81%


Portfolio Insights

» The Euro Long Average Duration Fund seeksto achieve its investment objective byinvesting at least two-thirds of its assets ina diversified portfolio of euro-denominatedFixed Income Securities (as defined in theProspectus) of varying maturities.

» An overweight to US duration benefitedperformance as US Treasury yields declinedover the period.

» An average underweight to Euro corecountry duration detracted fromperformance as yields on German Bundsdeclined over the period.

» An overweight to UK duration benefitedperformance as UK yields declined overthe period.

» A German Bund yield curve steepeningposition detracted from performance in thefirst half of the period as the German Bundyield curve flattened. However, during thesecond half of the period, a German Bundyield curve steepening position benefitedperformance as the German Bund yieldcurve steepened.

» A long position in the Australian dollarversus the Euro benefited performance asthe Euro underperformed the Australiandollar over the period.

» Portfolio allocation to corporate bondsadded to absolute performance as corporatebonds performed well over the period.

» Active Eurozone country selection positions,in which the Fund was underweightperipherals and overweight core countries,benefited performance as peripheralsovereign spreads widened over the period.


Euro Real Return Fund






Barclays Capital Euro Inflation-Linked Bond Index 1.06% 2.86%


Portfolio Insights

» The Euro Real Return Fund seeks to achieveits investment objective by investing atleast two-thirds of its assets in a diversifiedportfolio of euro-denominated inflation-linked Fixed Income Securities (as defined inthe Prospectus) of varying maturities issuedby governments, their agencies orinstrumentalities and corporations.

» Above-index European nominal durationbenefited performance as the ten-yearEuropean yield decreased.

» Exposure to US nominal duration added toperformance as the ten-year US Treasuryyield declined.

» Holdings in UK nominal duration benefitedperformance as the ten-year UKyield decreased.

» Holdings of select Asian currencies, such asthe Chinese yuan, the Indian rupee and theSingapore dollar, added to performance asthese currencies appreciated versus theUS dollar.

» Below-index European real duration duringthe majority of the year detracted fromperformance as the ten-year European realyield declined.

» Below-index UK real duration detractedfrom performance as the ten-year UK realyield declined.


Euro Ultra-Long Duration Fund





1/3 each Barclays Capital 25 Yr, 30 Yr, and 35 Yr Zero Coupon Nominal Swap Index(Euro Unhedged) 17.68% 11.26%


Portfolio Insights

» The Euro Ultra-Long Duration Fund seeks tomaximise total return, consistent with thestated duration targets and prudentinvestment management. The Fund investsat least two-thirds of its assets in adiversified portfolio of euro-denominatedFixed Income Instruments (as defined inthe Prospectus).

» A modest average overweight to USduration benefited performance as yieldsdeclined over the period.

» An overweight to Canadian durationbenefited performance as Canadian yieldsrallied over the period.

» An underweight to Eurozone swap spreadduration benefited performance asspreads widened.

» Exposure to long positions in Asianemerging market currencies versus the Eurobenefited performance as the Eurounderperformed relative to these currencies.

» Front-end yield curve positions initiallydetracted from portfolio performance in thefirst half of the period as the Eurozone yieldcurve flattened. However, during the lasthalf of the year the Eurozone yield curvesteepened, which benefited performance.

» Portfolio allocation to corporate bondsadded to absolute performance as corporatebonds performed well for the period.


FX Strategies Fund





Class E Accumulation Shares (Inception 19 Nov 2008) -0.09% 2.56%

Class Z Income Shares (Inception 12 Nov 2010) — 0.52%

1 Month Euribor Rate Index 0.55% 2.39%


Portfolio Insights

» The FX Strategies Fund seeks to maximisetotal return, consistent with prudentinvestment management. The Fund willseek to identify and exploit inefficienciesand opportunities present in globalcurrency markets.

» An overweight to the Australian dollarbenefited performance as the Australiandollar appreciated versus the euro.

» An overweight to the Swedish kronabenefited performance as the Swedishkrona appreciated relative to the euro.

» An overweight to the New Zealand dollarbenefited performance as the New Zealanddollar appreciated relative to the euro.

» An underweight to the Swiss francdetracted from performance as the Swissfranc appreciated relative to the euro.

» An underweight to the US dollar detractedfrom performance as the US dollarappreciated relative to the euro.


Global Advantage Fund





Investor Class Accumulation Shares (Inception 18 Feb 2010) — 7.60%

Class E Accumulation Shares (Inception 10 Dec 2010) — 1.80%

Class E Income Shares (Inception 10 Dec 2010) — 1.80%

PIMCO Global Advantage Bond Index (GLADI) (London Close) 6.14% 9.90%


Institutional EUR (Hedged) Class Accumulation Shares (Inception 24 May 2010) — 3.10%

Class E EUR (Hedged) Accumulation Shares (Inception 06 May 2010) — 2.70%

PIMCO Global Advantage Bond Index (GLADI) (EUR, Partially Hedged) (London Close) — —


Portfolio Insights

» The Global Advantage Fund seeks toachieve maximum long-term return,consistent with the preservation of capitaland prudent investment management, byinvesting 80% of its assets in a diversifiedportfolio of Fixed Income Instruments (asdefined in the Prospectus) that areeconomically tied to at least three countries(one of which may be the United States).

» An overweight to US and Euro durationduring the first half of the reporting periodcontributed to overall performance as yieldsdeclined during the period.

» An underweight position on US TreasuryInflation-Protected Securities (“TIPS”)duration during the first half of the reportingperiod contributed to performance asbreakeven rates declined during the period.An overweight position on US TIPS durationduring the fourth quarter also contributed toperformance as breakeven rates rose duringthat period.

» An overweight exposure to high-grade UScorporate bond holdings (particularlyfinancials) contributed positively toperformance as credit spreads narrowedsharply during the latter half of thereporting period.

» Overweight positions on a basket ofappreciating Asian currencies, notably theSingapore dollar and the Chinese yuan andunderweight positions on the euro andEastern European currencies (especially theRussian ruble) contributed positively tooverall performance.

» Underweight exposure to emerging marketexternal bonds in January 2010 and May2010 contributed to performance as spreadswidened during those periods.


Global Bond Fund




Institutional Class Accumulation Shares (Inception 12 Mar 1998) 9.28% 6.04%



Investor Class Income Shares (Inception 23 Jan 2001) 8.84% 5.28%

Administrative Class Accumulation Shares (Inception 14 Jun 2004)2 8.74% 5.18%




Barclays Capital Global Aggregate (USD Hedged) Index / JPGH Hedged3 4.61% 5.69%

Classes denominated in USD (Unhedged)

Institutional USD (Unhedged) Class Accumulation Shares (Inception 13 Dec 2002) 10.07% 6.97%

Institutional USD (Unhedged) Class Income Shares (Inception 23 Mar 2006) 10.09% 7.60%

Investor USD (Unhedged) Class Accumulation Shares (Inception 31 Mar 2005) 9.69% 5.42%

Class E USD (Unhedged) Accumulation Shares (Inception 19 May 2010) — 8.00%

Class E USD (Unhedged) Income Shares (Inception 19 May 2010) — 7.95%

Class Z USD (Unhedged) Income Shares (Inception 18 Nov 2008) 10.62% 18.34%

Barclays Capital Global Aggregate (USD Unhedged) Index 5.54% —


Institutional EUR (Hedged) Class Accumulation Shares (Inception 04 Apr 2003) 9.33% 4.75%

Institutional EUR (Hedged) Class Income Shares (Inception 12 Apr 2005) 9.38% 4.78%

Investor EUR (Hedged) Class Accumulation Shares (Inception 02 Feb 2005) 8.98% 4.36%


Barclays Capital Global Aggregate (Euro Hedged) Index 4.70% —


Institutional GBP (Hedged) Class Accumulation Shares (Inception 16 Apr 2003) 9.46% 6.14%

Institutional GBP (Hedged) Class Income Shares (Inception 01 Jun 2004) 9.47% 6.45%

Investor GBP (Hedged) Class Accumulation Shares (Inception 14 Apr 2005) 9.09% 5.51%

Administrative GBP (Hedged) Class Income Shares (Inception 02 Feb 2007) 8.93% 6.38%

Class E GBP (Hedged) Income Shares (Inception 23 Nov 2009) 8.44% 7.89%

Barclays Capital Global Aggregate (GBP Hedged) Index 4.82% —


Institutional SEK (Hedged) Class Accumulation Shares (Inception 08 Nov 2004) 9.94% 4.71%

Barclays Capital Global Aggregate (SEK Hedged) Index 4.93% —


Institutional CHF (Hedged) Class Accumulation Shares (Inception 08 May 2003) 8.79% 3.09%

Institutional CHF (Hedged) Class Income Shares (Inception 10 Apr 2003) 8.76% 3.19%

Barclays Capital Global Aggregate (CHF Hedged) Index 4.18% —

Classes denominated in ILS

Institutional ILS (Hedged) Class Accumulation Shares (Inception 13 May 2010) — 3.70%

Barclays Capital Global Aggregate (ILS Hedged) Index — —

Classes denominated in NOK

Institutional NOK (Hedged) Class Accumulation Shares (Inception 30 Jun 2005) 11.35% 5.52%

Investor NOK (Hedged) Class Accumulation Shares (Inception 26 Jul 2006) 10.95% 6.72%

Barclays Capital Global Aggregate (NOK Hedged) Index 6.60% —

Classes denominated in NZD

Institutional NZD (Hedged) Class Income Shares (Inception 01 Nov 2004) 12.26% 8.87%

Barclays Capital Global Aggregate (NZD Hedged) Index 7.60% —

Portfolio Insights

» The Global Bond Fund seeks to achieve itinvestment objective by investing at leasttwo-thirds of its assets in a diversifiedportfolio of Fixed Income Securities (asdefined in the Prospectus) denominated inmajor world currencies.

» Overweight positions to non-Agencymortgage-backed securities (“MBS”)contributed to performance as priceson these securities appreciated duringthe period.

» Overweight exposure to the debt of selectmajor financial institutions contributedpositively to performance as spreadsdecreased during the fourth quarter.

» An overweight to core European countriesversus peripheral European countriescontributed to performance as peripheralsovereign spreads widened relative tocore countries.

» Overweight exposure to a basket ofemerging and commodity-linked currenciescontributed to performance as theAustralian dollar, Canadian dollar andChinese yuan appreciated relative to theUS dollar.

» An overweight to US, Australia and UKduration during the latter part of the perioddetracted from performance as ten-yeargovernment rates in these countries sold-off.

» An underweight to Japanese durationdetracted from performance as interestrates declined.


Global Bond Fund (Cont.)

Total Return Net of Fees and Expenses for the Period Ended 31 December 20101 (Cont.)



Institutional SGD (Hedged) Class Accumulation Shares (Inception 07 Aug 2009) 9.32% 11.25%

Barclays Capital Global Aggregate (SGD Hedged) Index 4.71% —

1 Annualised performance for periods of at least one year, otherwise cumulative.2 Administrative Class Accumulation Shares opened initially on 19 April 2002, closed on 17 July 2002 and re-opened on 14 June 2004.3 The blended performance reflects the performance of the JPMorgan Global Index (Hedged) from 1 April 1998 through 30 November

2000, after which time the performance reflects the Barclays Capital Global Aggregate (USD Hedged) Index.


Global Bond Ex-US Fund




Institutional Class Accumulation Shares (Inception 31 Mar 2003) 8.93% 4.82%

Institutional Class Income Shares (Inception 09 Nov 2005) 8.96% 5.25%

Investor Class Accumulation Shares (Inception 28 Feb 2006) 8.59% 4.79%

Administrative Class Accumulation Shares (Inception 14 Sep 2004) 8.47% 4.87%

Class E Income Shares (Inception 30 Apr 2008) 8.06% 5.43%

Citigroup World Government Bond Ex-U.S. Index (USD Hedged) 2.48% 4.14%



Institutional EUR (Hedged) Class Income Shares (Inception 08 Apr 2008) 8.95% 6.66%

Citigroup World Government Bond Ex-U.S. Index (Euro Hedged) 2.56% —


Portfolio Insights

» The Global Bond Ex-US Fund seeks toachieve its investment objective byinvesting at least 70% of its assets in adiversified portfolio of Fixed IncomeSecurities (as defined in the Prospectus) ofissuers, having their registered office orpredominant operations outside theUS, representing at least threenon-US countries.

» Overweight positions on non-Agencymortgage-backed securities (“MBS”)contributed to performance as priceson these securities appreciated duringthe period.

» Overweight exposure to the debt of selectmajor financial institutions contributedpositively to performance as spreadsdecreased during the fourth quarter.

» An overweight to core European countriesversus peripheral European countriescontributed to performance as peripheralsovereign spreads widened relative tocore countries.

» Overweight exposure to a basket ofemerging and commodity-linked currenciescontributed to performance as theAustralian dollar, Canadian dollar andChinese yuan appreciated relative to theUS dollar.


Global High Yield Bond Fund






Administrative Class Accumulation Shares (Inception 27 Jun 2008) 14.10% 9.58%

Class H Institutional Accumulation Shares (Inception 29 Aug 2008) 14.50% 11.03%

Class M Retail Income Shares (Inception 30 Nov 2010) — 1.90%



BofA Merrill Lynch Global High Yield, BB-B Rated, Constrained Index 14.23% 7.60%


Institutional EUR (Hedged) Class Accumulation Shares (Inception 02 May 2008) 14.46% 8.12%

Institutional EUR (Hedged) Class Income Shares (Inception 30 Dec 2005) 14.58% 7.24%

Administrative EUR (Hedged) Class Income Shares (Inception 04 Aug 2010) — 5.02%


BofA Merrill Lynch Global High Yield, BB-B Rated, Constrained (Euro Hedged) Index 13.45% —



Administrative GBP (Hedged) Class Income Shares (Inception 21 Jul 2010) — 6.89%

Class E GBP (Hedged) Income Shares (Inception 15 Jun 2009) 13.70% 21.55%

BofA Merrill Lynch Global High Yield, BB-B Rated, Constrained (GBP Hedged) Index 13.91% —


Institutional CHF (Hedged) Class Accumulation Shares (Inception 16 Feb 2010) — 13.50%

BofA Merrill Lynch Global High Yield, BB-B Rated, Constrained (CHF Hedged) Index — —

Classes denominated in NOK

Institutional NOK (Hedged) Class Accumulation Shares (Inception 22 Feb 2007) 16.39% 8.01%

BofA Merrill Lynch Global High Yield, BB-B Rated, Constrained (NOK Hedged) Index 15.32% —


Portfolio Insights

» The Global High Yield Bond Fund seeks toachieve its investment objective byinvesting at least two-thirds of its assets ina diversified portfolio of high-yield FixedIncome Securities (as defined in theProspectus) that are denominated in majorworld currencies and are rated lower thanBaa by Moody’s or BBB by S&P (or, ifunrated, determined by the InvestmentAdviser to be of a comparable quality).

» An allocation to investment-grade bondsdetracted from returns as investment gradefixed income underperformed high yieldfixed income.

» An overweight to financials benefitedperformance as banking and insuranceissues were among the top performers forthe year.

» Security selection within the finance sectordetracted from performance as high-gradebanks and insurance issuersunderperformed the broader highyield sector.

» An underweight to the consumernon-cyclical sector benefited performanceas the consumer non-cyclical sectorunderperformed the broader highyield index.

» Security selection in the media sectordetracted from performance as broadcastingbonds outperformed cable issuers.

» An overweight to the chemicals sectoradded to performance as this sectoroutperformed the overall high yield index.


Global Investment Grade Credit Fund




Institutional Class Accumulation Shares (Inception 18 Apr 2008)2 9.63% 8.46%

Institutional Class Income Shares (Inception 23 Jul 2003) 9.66% 6.28%

Investor Class Accumulation Shares (Inception 15 Feb 2005) 9.26% 5.60%


Administrative Class Accumulation Shares (Inception 21 Jan 2009) 9.08% 14.48%

Administrative Class Income Shares (Inception 21 Jan 2009) 9.15% 14.53%


Class E Income Shares (Inception 30 Apr 2008) 8.66% 7.25%

Class E Accumulation Shares (Inception 10 Dec 2008) 8.70% 14.96%


Barclays Capital Global Aggregate Credit Index (USD Hedged) 6.83% 4.72%


Institutional EUR (Hedged) Class Accumulation Shares (Inception 15 Sep 2003) 9.64% 5.91%

Institutional EUR (Hedged) Class Income Shares (Inception 15 Sep 2008) 9.73% 10.98%

Investor EUR (Hedged) Class Accumulation Shares (Inception 08 May 2006) 9.27% 6.34%

Investor EUR (Hedged) Class Income Shares (Inception 22 Jan 2009) 9.31% 14.84%

Administrative EUR (Hedged) Class Accumulation Shares (Inception 17 Feb 2009) 9.12% 14.12%

Administrative EUR (Hedged) Class Income Shares (Inception 17 Feb 2009) 9.14% 14.08%


Class E EUR (Hedged) Income Shares (Inception 09 Sep 2010) — 0.18%

Barclays Capital Global Aggregate Credit Index (EUR Hedged) 6.77% —


Institutional GBP (Hedged) Class Accumulation Shares (Inception 02 Sep 2005) 9.89% 6.36%

Institutional GBP (Hedged) Class Income Shares (Inception 11 Jul 2008) 9.87% 10.35%

Investor GBP (Hedged) Class Income Shares (Inception 22 Jan 2009) 9.47% 14.83%

Administrative GBP (Hedged) Class Income Shares (Inception 30 Jan 2009) 9.22% 14.51%

Class E GBP (Hedged) Income Shares (Inception 31 Mar 2009) 8.85% 16.04%

Barclays Capital Global Aggregate Credit Index (GBP Hedged) 6.93% —


Institutional SEK (Hedged) Class Accumulation Shares (Inception 04 Dec 2009) 10.07% 9.65%

Barclays Capital Global Aggregate Credit Index (SEK Hedged) 7.01% —


Institutional CHF (Hedged) Class Accumulation Shares (Inception 10 Dec 2009) 9.05% 8.45%

Investor CHF (Hedged) Class Income Shares (Inception 22 Jan 2009) 8.64% 14.07%

Barclays Capital Global Aggregate Credit Index (CHF Hedged) 6.24% —



Barclays Capital Global Aggregate Credit Index (ILS Hedged) — —

1 Annualised performance for periods of at least one year, otherwise cumulative.2 Institutional Class Accumulation Shares opened initially on 2 January 2004, closed on 15 March 2004 and re-opened on

18 April 2008.

Portfolio Insights

» The Global Investment Grade Credit Fundseeks to achieve its investment objective byinvesting at least two-thirds of its assets ina diversified portfolio of investment-gradecorporate Fixed Income Securities (asdefined in the Prospectus) of issuers, havingtheir registered office or predominantoperations in at least three countries, one ofwhich may be the US.

» An overweight to banking debt detractedfrom returns as the banking sectorunderperformed the broader credit index.

» An underweight to the insurance sectordetracted from performance as insurancedebt outperformed the broadercredit market.

» An overweight to the pipeline sector addedto returns as the pipeline sectoroutperformed other corporate sectors.

» An underweight to the utilities sector waspositive for performance as the utilitiessector lagged the broader credit market.

» An underweight to supranational debtadded to portfolio returns as thesupranational sector underperformed theircorporate counterparts.

» The positive effect from an overweightduration exposure in the US and Europe wasoffset by below-index duration exposure inthe UK as yields fell in all regions overthe period.

» A yield curve steepening strategy in the USbenefited portfolio returns as the yield curvesteepened in the US.


Global Multi-Asset Fund





Institutional Class Income Shares (Inception 19 Mar 2010) — 9.97%

Investor Class Accumulation Shares (Inception 24 Sep 2010) — 3.80%

Investor Class Income Shares (Inception 24 Sep 2010) — 3.83%

Class E Accumulation Shares (Inception 22 Jun 2009) 10.65% 16.69%

Class Z Income Shares (Inception 27 Jan 2010) — 14.02%

60% MSCI World Index/40% USD Hedged Barclays Capital Global Aggregate Index 9.41% 19.38%



Institutional EUR (Hedged) Class Income Shares (Inception 26 Jul 2010) — 8.74%

Investor EUR (Hedged) Class Accumulation Shares (Inception 10 Jul 2009) 10.74% 17.22%

Class E EUR (Hedged) Accumulation Shares (Inception 22 Jun 2009) 9.86% 15.83%

60% MSCI World Index/40% USD Hedged Barclays Capital Global Aggregate Index;All EUR Hedged 9.45% —


Institutional GBP (Hedged) Class Income Shares (Inception 07 Apr 2010) — 7.82%

Class E GBP (Hedged) Income Shares (Inception 23 Sep 2009) 10.16% 9.77%

60% MSCI World Index/40% USD Hedged Barclays Capital Global Aggregate Index;All GBP Hedged 9.63% —


Portfolio Insights

» The Global Multi-Asset Fund seeks tomaximise total return, consistent withpreservation of capital and prudentinvestment management, by takingexposure to a wide range of asset classes,including equities, fixed income,commodities and property (as described inthe Prospectus).

» Exposure to large market-capitalisation USequities contributed to absoluteperformance as the S&P 500 Index postedpositive returns for the period.

» An allocation to diversified commoditiescontributed to relative performance as theDow Jones-UBS Commodity Index TotalReturn outperformed the Portfolio’sbenchmark index over the period.

» Exposure to gold contributed to performanceas gold rallied substantially over the period.

» An underweight to global developed marketequities detracted from relativeperformance as global developed marketequities posted gains over the period.

» An overweight to emerging market equitiescontributed to absolute performance asemerging market equities outperformeddeveloped market equities over the period.


Global Real Return Fund







Investor Class Income Shares (Inception 24 Feb 2009) 6.27% 11.52%

Administrative Class Accumulation Shares (Inception 17 Dec 2004) 6.16% 4.42%

Class H Institutional Accumulation Shares (Inception 21 May 2004) 6.50% 5.38%




Barclays Capital World Government Inflation-Linked Bond USD Hedged Index 5.43% 5.35%



Institutional EUR (Hedged) Class Accumulation Shares (Inception 30 Sep 2003) 6.80% 5.06%

Investor EUR (Hedged) Class Accumulation Shares (Inception 07 Apr 2004) 6.40% 4.51%

Investor EUR (Hedged) Class Income Shares (Inception 24 Feb 2009) 6.33% 11.49%


Barclays Capital World Government Inflation-Linked Bond Euro Hedged Index 5.45% —


Institutional GBP (Hedged) Class Accumulation Shares (Inception 05 Feb 2004) 6.75% 6.44%

Institutional GBP (Hedged) Class Income Shares (Inception 27 Apr 2005) 6.79% 5.50%

Investor GBP (Hedged) Class Accumulation Shares (Inception 02 Feb 2007) 6.44% 6.63%

Investor GBP (Hedged) Class Income Shares (Inception 24 Feb 2009) 6.47% 11.62%

Class E GBP (Hedged) Income Shares (Inception 15 Jun 2009) 5.94% 9.50%

Barclays Capital World Government Inflation-Linked Bond GBP Hedged Index 5.58% —


Institutional CHF (Hedged) Class Accumulation Shares (Inception 16 May 2008) 6.15% 3.87%

Investor CHF (Hedged) Class Income Shares (Inception 24 Feb 2009) 5.72% 10.82%

Barclays Capital World Government Inflation-Linked Bond CHF Hedged Index 4.85% —


Institutional SGD (Hedged) Class Accumulation Shares (Inception 29 Feb 2008) 6.71% 3.32%

Barclays Capital World Government Inflation-Linked Bond SGD Hedged Index 5.43% —


Portfolio Insights

» The Global Real Return Fund seeks toachieve its investment objective byinvesting at least two-thirds of its assets ina diversified portfolio of inflation-indexedFixed Income Securities (as defined in theProspectus) of varying maturities issued bygovernments, their agencies, orinstrumentalities and corporations.

» Above-index US nominal duration added toperformance as the ten-year US Treasuryyield declined.

» An overweight to European nominalduration benefited performance as theten-year European yield decreased.

» An overweight to UK nominal durationbenefited performance as the ten-year UKyield decreased.

» Above-index Australian real durationcontributed to performance as the ten-yearAustralian real yield declined.

» Holdings of emerging market currencies,such as the Chinese yuan, the Brazilian realand the South Korean won, added toperformance as these currenciesappreciated versus the US dollar.



High Yield Bond Fund




Institutional Class Accumulation Shares (Inception 28 May 1998) 15.04% 6.05%







BofA Merrill Lynch U.S. High Yield, BB-B Rated, Constrained Index 14.26% 6.13%




Investor EUR (Hedged) Class Accumulation Shares (Inception 12 Feb 2003) 14.53% 7.32%


BofA Merrill Lynch US High Yield, BB-B Rated, Constrained (Euro Hedged) Index 13.53% —


Institutional GBP (Hedged) Class Accumulation Shares (Inception 30 Sep 2003) 15.10% 7.64%

BofA Merrill Lynch US High Yield, BB-B Rated, Constrained (GBP Hedged) Index 13.96% —


Portfolio Insights

» The High Yield Bond Fund seeks to achieveits investment objective by investing at leasttwo-thirds of its assets in a diversifiedportfolio of high-yield Fixed IncomeSecurities (as defined in the Prospectus) thatare rated lower than Baa by Moody’s orlower than BBB by S&P. The Fund may investup to 20% of its total net assets in high yieldFixed Income Securities that are rated Caaor lower by Moody’s or CCC or lower by S&P(or, if unrated, determined by the InvestmentAdviser to be of comparable quality).

» An allocation to investment-grade bondsdetracted from returns as investment gradefixed income underperformed high yieldfixed income issues.

» Security selection in the consumer cyclicalsector, where automotive bondsoutperformed the broader category,benefited relative returns.

» An overweight to financials benefitedperformance as banking and insurancenames were among the top performers forthe year.

» Security selection within the financesector detracted from performance ashigh-grade banks and insurance issuersunderperformed high-yield names.

» An underweight to the consumernon-cyclical sector benefited performanceas the consumer non-cyclical sector fellshort of the broader high yield index returns.

» Security selection in the media sectordetracted from performance as broadcastingbonds outperformed cable issuers.


Low Average Duration Fund






Investor Class Accumulation Shares (Inception 13 May 2004) 3.74% 4.04%

Investor Class Income Shares (Inception 03 Jul 2003) 3.70% 3.48%

Administrative Class Accumulation Shares (Inception 08 Sep 2004) 3.53% 3.85%

Class H Institutional Accumulation Shares (Inception 04 Nov 2009) 4.08% 3.97%




BofA Merrill Lynch 1-3 Year U.S. Treasury Index 2.35% 3.23%



Class E EUR (Hedged) Accumulation Shares (Inception 24 Jul 2009) 3.05% 4.33%

BofA Merrill Lynch 1-3 Year U.S. Treasury Index (Euro Hedged) 2.42% —


Institutional GBP (Hedged) Class Income Shares (Inception 01 Mar 2010) — 2.94%

BofA Merrill Lynch 1-3 Year U.S. Treasury Index (GBP Hedged) — —



BofA Merrill Lynch 1-3 Year U.S. Treasury Index (ILS Hedged) — —


Portfolio Insights

» The Low Average Duration Fund seeks toachieve its investment objective byinvesting, under normal circumstances, atleast 65% of its total assets in a diversifiedportfolio of Fixed Income Securities (asdefined in the Prospectus) of varyingmaturities.

» Holdings of Agency mortgage pass-throughsecurities added to returns as these high-quality assets outperformed like-durationUS Treasuries.

» Allocations to investment-grade corporatesecurities added to returns as the sectoroutperformed like-duration US Treasuries.

» Exposure to the high-yield sector added toreturns as high-yield securitiesoutperformed like-duration US Treasuriesduring the period.

» Exposure to a basket of emerging marketcurrencies, including the Singapore dollar,the Mexican peso and the Brazilian real,benefited performance as these currenciesoutperformed the US dollar.

» Exposure to core European duration duringthe latter half of the period detracted fromreturns as the three-year Bund yield roseduring the period.


Mortgage-Backed Securities Fund





Class E Accumulation Shares (Inception 01 Apr 2009) 9.33% 10.71%


Barclays Capital U.S. MBS Fixed Rate Index 5.50% 6.70%


Portfolio Insights

» The Mortgage-Backed Securities Fund seeksto maximise total return, consistent with thepreservation of capital and prudentinvestment management. The Fund seeks toachieve its investment objective by normallyinvesting at least 80% of its assets in adiversified portfolio of mortgage-relatedfixed income instruments (such as mortgagepass-through securities, collateralizedmortgage obligations, commercialmortgage-backed securities and mortgagedollar rolls) of varying maturities.

» An overweight to 4.00% coupon mortgagesand an underweight to 5.50% couponmortgages added to returns as 4.00%coupon mortgages outperformed during theperiod and 5.50% coupon mortgagesunderperformed the broader mortgageindex.

» An overweight to mortgage spread durationdetracted from returns as mortgage spreadswidened over the first three quarters ofthe period.

» Duration positioning below that of theFund’s benchmark index during the secondquarter of the period detracted from returnsas the ten-year US Treasury yield decreasedduring that period.

» Exposure to student loan and auto asset-backed securities detracted fromperformance as they underperformed fixed-rate mortgage-backed securities (“MBS”)over the period.

» Exposure to non-Agency MBS andcommercial MBS added to returns asthey outperformed fixed-rate MBS overthe period.


Socially Responsible Emerging Markets Bond Fund


FundInception


Institutional Class Accumulation Shares (Inception 16 Apr 2010) 5.70%

JPMorgan Emerging Markets Bond Index (EMBI) Global adjusted for Socially ResponsibleInvestment (SRI) filter 6.61%


Portfolio Insights

» The Socially Responsible Emerging MarketsBond Fund seeks to maximise total return,consistent with the preservation of capitaland prudent investment management. TheFund seeks to achieve its objective byinvesting at least 80% of its assets in anactively managed diversified portfolio ofFixed Income Instruments (as defined in theProspectus) of issuers that are economicallytied to countries with emerging securitiesmarkets. Exposure to such issuers may beachieved through direct investment in FixedIncome Securities or through the use offinancial derivative instruments (as definedin the Prospectus).

» An underweight to Hungary contributed torelative performance as the Hungarian subindex underperformed the JPMorganEmerging Markets Bond Index (EMBI) Globaladjusted for Socially ResponsibleInvestment (SRI) filter (“the Fund’sbenchmark index”) during the period.

» An underweight to China contributed torelative performance as the Chinese subindex underperformed the Fund’s benchmarkindex during the period.

» An overweight to Gabon added to relativeperformance as the Gabonese sub indexoutperformed the Fund’s benchmark indexduring the period.

» An underweight to Argentina detracted fromrelative performance as the Argentineansub index outperformed the Fund’sbenchmark index during the period.

» An underweight to Turkey detracted fromrelative performance as the Turkish subindex outperformed the Fund’s benchmarkindex during the period.

» An underweight to the Philippines detractedfrom relative performance as the Philippinesub index outperformed the Fund’sbenchmark index during the period.


StocksPLUSTM Fund






Investor Class Accumulation Shares (Inception 07 Jan 1999) 16.51% 1.31%



S&P 500 Index 15.06% 1.99%



S&P 500 (Euro Hedged) Index 15.05% —


Portfolio Insights

» The StocksPLUS™ Fund seeks to exceed thetotal return performance of the S&P 500Composite Price Index by employing aproprietary portfolio management strategy,which combines an actively managedportfolio of Fixed Income Securities (asdefined in the Prospectus) with an exposureto the S&P 500 Composite Price Index.

» The Fund’s exposure to US equity marketsthrough equity index derivatives enhancedabsolute performance as the S&P 500Composite Price Index rose over the period.

» Within the fixed income portfolio backingthe equity derivatives, a positive durationadded to returns due to a decrease in yieldsacross the US Treasury yield curve.

» Exposure to non-Agency mortgage-backedsecurities (“MBS”) benefited performanceas these holdings provided a source ofincremental income for the portfolio.

» An allocation to Agency MBS, whichoutperformed US Treasuries, added toreturns over the period.

» Holdings of investment grade corporatebonds enhanced performance as thesesecurities outperformed like-durationUS Treasuries.


Total Return Bond Fund

Total Return Net of Fees and Expenses for the Period Ended 31, December 20101





Investor Class Accumulation Shares (Inception 28 Jan 1999) 7.08% 6.22%

Investor Class Income Shares (Inception 23 Oct 2000) 7.09% 6.54%

Administrative Class Accumulation Shares (Inception 16 May 2003) 6.88% 5.39%





Barclays Capital U.S. Aggregate Index 6.54% 5.89%


Institutional EUR (Unhedged) Class Accumulation Shares (Inception 13 Jun 2002) 14.92% 2.10%


Institutional EUR (Hedged) Class Accumulation Shares (Inception 30 Dec 2003) 7.55% 5.90%

Investor EUR (Hedged) Class Accumulation Shares (Inception 30 Dec 2004) 7.20% 5.69%

Administrative EUR (Hedged) Class Accumulation Shares (Inception 14 Oct 2009) 6.96% 6.22%


Barclays Capital U.S. Aggregate (Euro Hedged) Index 6.65% —



Institutional GBP (Hedged) Class Accumulation Shares (Inception 26 Mar 2010) — 4.90%

Barclays Capital U.S. Aggregate (GBP Hedged) Index 6.71% —



Barclays Capital U.S. Aggregate (ILS Hedged) Index — —


Class E SGD (Hedged) Accumulation Shares (Inception 15 Feb 2007) 6.52% 6.34%

Barclays Capital U.S. Aggregate (SGD Hedged) Index 6.64% —


Portfolio Insights

» The Total Return Bond Fund seeks toachieve its investment objective byinvesting under normal circumstancesat least 65% of its total assets in adiversified portfolio of Fixed IncomeSecurities (as defined in the Prospectus) ofvarying maturities.

» An underweight to US duration for most ofthe year detracted from performance as theten-year US Treasury yield fell duringthe period.

» Interest rate exposure in Europe added toperformance as the ten-year Bund yield fellduring the period.

» A near-index exposure to the investmentgrade corporate sector, with an allocation tocredit default swaps on a basket of creditentities, was neutral for performance.However, a focus on financials, a subsectorwithin the investment grade corporatesector, was positive for performance asfinancials outperformed the overallinvestment grade corporate market.

» Modest exposure to high-yield bonds addedto performance as the Barclays Capital USCorporate High Yield Index outperformedlike-duration US Treasuries duringthe period.

» Modest exposure to emerging local rates inBrazil, implemented via Brazilian zerocoupon swaps, added to returns as rates fellin this country during the year.

» Exposure to a variety of currencies, with anemphasis on the Brazilian real and a basketof Asian currencies, added to returns asthese currencies appreciated relative to theUS dollar.

» Modest exposure to Build America Bondsdetracted from returns as the BarclaysCapital Build America Bond Indexunderperformed the Barclays Capital USLong Credit Index during the period.


UK Corporate Bond Fund





BofA Merrill Lynch Sterling Non-Gilts Index 8.41% 5.48%


Portfolio Insights

» The UK Corporate Bond Fund seeks tomaximise total return, consistent withprudent investment management. The Fundwill invest at least two-thirds of itsassets in a diversified portfolio ofGBP-denominated Fixed Income Instruments(as defined in the Prospectus) of varyingmaturities, which may be represented bydirect holdings in Fixed Income Securities orderivative instruments including but notlimited to options, futures, swaps or creditdefault swaps.

» An overweight to banking debt detractedfrom returns as the banking industryunderperformed the broader credit market.

» An underweight to the insurance sectordetracted from relative returns as insurancedebt outperformed the non-gilts index.

» An overweight to the media sectorcontributed to relative returns as the mediasector outperformed the non-gilts index.


» Duration positioning detracted from returns;the positive impact from above-indexduration in the US was offset by anunderweight duration position in the UK asyields fell in the US and the UK overthe period.

» Yield curve strategies were neutral toperformance as the positive effect of acurve steepening bias in the US, where theyield curve steepened, was offset by thePortfolio’s curve steepening bias in theEurozone and the UK, where the yieldcurves flattened over the period in theseregions.


UK Long Term Corporate Bond Fund





Institutional Class Income Shares (Inception 14 Aug 2008) 11.59% 10.73%

Markit iBoxx Sterling Non-Gilts 10+ Index 9.78% 3.34%


Portfolio Insights

» The UK Long Term Corporate Bond Fundseeks to maximise total return, consistentwith preservation of capital and prudentinvestment management. The Fund investsat least two-thirds of its assets in adiversified portfolio of investmentgrade GBP-denominated Fixed IncomeSecurities (as defined in the Prospectus) ofvarying maturities.

» An overweight to banking debt detractedfrom returns as the banking industryunderperformed the broader credit market.

» An underweight to the insurance sectordetracted from relative returns as insurancedebt outperformed the non-gilts index.

» An overweight to the media sectorcontributed to relative returns as the mediasector outperformed the credit market.


» An underweight to the healthcare sectorwas positive for performance as thehealthcare sector lagged the broadercredit market.

» Duration positioning was neutral to returnsoverall; above-index duration in theEurozone was positive while anunderweight duration in the UK wasnegative as yields fell over the period inboth regions.

» A yield curve steepening strategy in theEurozone and the UK detracted fromportfolio returns as the yield curvesflattened over the year in these regions.


UK Sterling Inflation-Linked Fund




Institutional Class Accumulation Shares (Inception 20 Aug 2003) 12.27% 5.66%




FTSE Actuaries Government Securities UK Index Linked Gilts > 5 Years 9.05% 6.83%


Portfolio Insights

» The UK Sterling Inflation-Linked Fund seeksto meet its investment objective byinvesting at least two-thirds of its assets ina diversified portfolio of inflation-linkedFixed Income Securities (as defined in theProspectus) of varying maturities issued bygovernments, their agencies orinstrumentalities and corporations.

» Above-index UK nominal durationbenefited performance as the ten-yearUK yield decreased.

» Exposure to European nominal durationbenefited performance as the ten-yearEuropean yield decreased.

» Holdings in US real duration added toperformance as the ten-year US realyield declined.

» Holdings in Australian real durationcontributed to performance as the ten-yearAustralian real yield declined.

» Holdings of emerging market currencies,such as the Brazilian real and the SouthKorean won, added to performance as thesecurrencies appreciated versus the US dollar.



UK Sterling Long Average Duration Fund







FTSE Actuaries Government Securities UK Gilts All Stocks > 15 Years 8.78% 5.43%


Portfolio Insights

» The UK Sterling Long Average DurationFund seeks to maximise total return,consistent with preservation of capital andprudent investment management. The Fundinvests at least two-thirds of its assets in adiversified portfolio of global Fixed IncomeSecurities (as defined in the Prospectus) ofvarying maturities.

» An overweight to US duration benefitedperformance as yields declined duringthe period.

» An overweight to Euro core country durationadded to performance as yields on GermanBunds declined over the period.

» An average portfolio underweight to UKduration detracted from performance as UKrates declined over the period.

» A UK yield curve steepening positionbenefited performance as the UK yield curvesteepened over the period.

» Long positions in Asian currencies versusthe Euro benefited performance as the Eurounderperformed these currencies overthe period.

» A modest portfolio allocation to corporatesand high-yield bonds added to absoluteperformance as corporates and high-yieldbonds performed well during the period.


UK Sterling Low Average Duration Fund





BofA Merrill Lynch UK Gilt 1-5 Year Index 4.13% 5.87%


Portfolio Insights

» The UK Sterling Low Average Duration Fundseeks to achieve its investment objective byinvesting at least two-thirds of its assets ina diversified portfolio of GBP-denominatedFixed Income Securities (as defined in theProspectus).

» Overweight duration exposure in theEurozone was positive for relativeperformance as Eurozone yields fell duringthe period.

» An overweight position to select highquality corporates and financialscontributed to relative performance duringthe period.

» Overweight duration exposure in the USwas positive for relative performance as USyields fell during the period.


UK Total Return Bond Fund





Class E Income Shares (Inception 04 Aug 2009) 8.36% 9.41%

BofA Merrill Lynch Sterling Broad Market Index 7.94% 9.49%


Portfolio Insights

» The UK Total Return Bond Fund seeks tomaximise total return, consistent with thepreservation of capital and prudentinvestment management, by investing atleast two-thirds of its assets in a diversifiedportfolio of GBP-denominated Fixed IncomeInstruments (as defined in the Prospectus)of varying maturities.

» Overweight duration exposure in EUR waspositive for relative performance as EURyields fell during the period.

» The Fund’s overweight to emerging marketcurrencies contributed to performanceas these currencies appreciated overthe period.

» Overweight duration exposure in the USwas positive for relative performance as USTreasury yields fell during the period.


Unconstrained Bond Fund





Institutional Class Income Shares (Inception 22 Feb 2010) — 4.53%

Investor Class Accumulation Shares (Inception 24 Sep 2010) — -0.80%

Investor Class Income Shares (Inception 24 Sep 2010) — -0.85%

Administrative Class Accumulation Shares (Inception 21 Jan 2010) — 4.00%

Class E Accumulation Shares (Inception 11 May 2010) — 1.70%

Class E Income Shares (Inception 11 May 2010) — 1.76%

Class Z Income Shares (Inception 25 May 2010) — 3.19%

1 Month USD LIBOR Index 0.27% 0.33%


Institutional EUR (Hedged) Class Accumulation Shares (Inception 21 May 2009) 5.93% 7.63%


Administrative EUR (Hedged) Class Accumulation Shares (Inception 21 Jan 2010) — 4.19%

Class G EUR (Hedged) Income Shares (Inception 14 Dec 2010) — 0.40%

Class E EUR (Hedged) Accumulation Shares (Inception 20 Nov 2009) 4.99% 4.30%

1 Month Euribor Rate Index 0.55% —


Institutional GBP (Hedged) Class Accumulation Shares (Inception 15 Dec 2009) 5.92% 5.36%

Class E GBP (Hedged) Accumulation Shares (Inception 18 Mar 2010) — 2.90%

1 Month GBP LIBOR Index 0.56% —


Institutional CHF (Hedged) Class Accumulation Shares (Inception 08 Sep 2010) — -0.30%

1 Month CHF LIBOR Index — —


Portfolio Insights

» The Unconstrained Bond Fund is an absolutereturn-oriented, investment-grade bondstrategy that is not tethered to benchmark-specific guidelines or significant sectorconstraints. The Fund utilizes PIMCO’sglobal secular forecast and an integratedinvestment process across multiple sectorswith a duration that may range from -3 to+8 years.

» A positive exposure to duration in the USwas positive for returns as US sovereignyields decreased during the period.

» Exposure to the front-end of the yield curvein the US was negative for returns as short-term yields fell less than long-term yieldsduring the period.

» A positive exposure to duration in theEuropean Monetary Union (“EMU”) waspositive for returns as EMU sovereign yieldsdecreased during the period.

» Exposure to Asian emerging marketcurrencies added to returns as thesecurrencies appreciated versus the US dollar.

» Exposure to emerging markets wasmodestly positive for returns as sectorspreads tightened during the period.


US Government Money Market Fund






Citigroup 3-Month Treasury Bill Index 0.13% 2.92%

Lipper Money Market Fund Index 0.01% 2.79%


Portfolio Insights

» The US Government Money Market Fund(formerly named the US Dollar LiquidityFund) seeks to achieve its investmentobjective by investing at least 95% of itstotal assets in a diversified portfolio ofmoney market securities that are in thehighest rating category for short-termobligations.

» The Fund focused its investments in highquality, short maturity assets and ended theperiod with a high average quality.

» The Fund’s weighted average maturity wasmoved lower over the first half of the periodto help reduce interest rate risk beforemoving higher later in the period.

» The Fund’s exposure to high quality Agencysecurities benefited performance as theyprovided a yield advantage over USTreasury bills.

» An allocation to longer maturity securitieshelped provide a yield advantage overthree-month US Treasury bills.


Benchmark Descriptions

Legal Benchmark Name Index Description

[90% JPMorgan Asia credit Index (JACI) +10% 1 month USD Libor] * [JPMorganEmerging Local Markets Index (ELMI+)] /[3 month USD Libor]

90% JPMorgan Asia Credit Index (JACI). The JPMorgan Asia Credit Index (JACI) measures the performance of Asia exJapan USD denominated bond market. Index provides a benchmark for investment opportunities in fixed and floatingrate US dollar-denominated bonds issued by Asia sovereigns, quasi-sovereigns, banks, and corporates plus 10% 1month USD Libor. The benchmark is then hedged to JPMorgan Emerging Local Markets Index (ELMI+) which tracks totalreturn for local currency denominated money market instruments in the emerging markets, divided by the 3 month USDLibor.

1 Month CHF LIBOR Index 1 Month CHF LIBOR (London Intrabank Offered Rate) Index is an average interest rate, determined by the British BankersAssociation, that banks charge one another for the use of short-term money (3 months) in England’s Eurodollar market.It is not possible to invest directly in an unmanaged index.

1 Month Euribor Rate Index Euribor(Euro Interbank Offered Rate) is the benchmark rate of the large euro money market. It is sponsored by theEuropean Banking Federation, which represents 2,800 banks in the fifteen Member States of the European Union andthe EMU division of ACI, the financial Markets Association. A representative sample of prime banks will provide dailyquotes - for thirteen maturities from one week to one year - at which interbank term deposits denominated in euro arebeing offered within the euro zone between prime banks. The average rate is calculated after elimination of thehighest/lowest quotations (15% each side). Euribor is quoted for spot value (T+2) and on an actual/360 day-countconvention, and are displayed from 4 January 1999 to three decimals. It will be disseminated at 11:00 a.m., Brusselstime.

1 Month GBP LIBOR Index 1 Month GBP LIBOR (London Intrabank Offered Rate) Index is an average interest rate, determined by the BritishBankers Association, that banks charge one another for the use of short-term money (3 months) in England’s Eurodollarmarket. It is not possible to invest directly in an unmanaged index.

1 Month USD LIBOR Index 1 Month USD LIBOR (London Intrabank Offered Rate) Index is an average interest rate, determined by the BritishBankers Association, that banks charge one another for the use of short-term money (3 months) in England’s Eurodollarmarket. It is not possible to invest directly in an unmanaged index.

1/3 each Barclays Capital 25 Yr, 30 Yr, and35 Yr Zero Coupon Nominal Swap Index(Euro Unhedged)

1/3 each Barclays Capital 25 Yr, 30 Yr, and 35 Yr Zero Coupon Nominal Swap Index (Euro Unhedged) is an unmanagedindex comprised of zero coupon bonds priced off the swap curve. The replicating portfolio consists of a cash investmentat LIBOR combined with a zero coupon swap, in which periodic LIBOR payments are exchanged for a single fixed cashflow at maturity. At inception time, the size of the cash investment is chosen to offset the floating leg of the zerocoupon swap and is equal to the present value of the fixed payment at a zero coupon swap rate of the appropriatematurity. It is not possible to invest directly in an unmanaged index.

1/3 each-Barclays Capital GlobalAggregate Credit Component, BofAMerrill Lynch Global High Yield BB-BRated Constrained, JPMorgan EMBIGlobal; All USD Hdgd

1/3 each-Barclays Capital Global Aggregate Credit Component, BofA Merrill Lynch Global High Yield BB-B RatedConstrained, JPMorgan EMBI Global; All USD Hdgd: The benchmark is an equally weighted blend of the following threeindices: Barclays Capital Global Aggregate-Credit Component Hedged USD, BofA Merrill Lynch Global High Yield, BB-BRated, Constrained Index, JPMorgan EMBI Global. The Barclays Capital Global Aggregate Index-Credit ComponentHedged USD provides a broad-based measure of the global investment-grade fixed income markets. The index does notreflect deduction for fees, expenses or taxes. The BofA Merrill Lynch Global High Yield BB-B Rated Constrained Indextracks the performance of below investment grade bonds of corporate issuers domiciled in countries having aninvestment grade foreign currency long term debt rating (based on a composite of Moody’s, S&P, and Fitch). The Indexincludes bonds denominated in U.S. Dollars, Canadian dollars, sterling, euro (or euro legacy currency), but excludes allmulti-currency denominated bonds. Bonds must be rated below investment grade but at least B3 based on a compositeof Moody’s, S&P, and Fitch. Qualifying bonds are capitalization-weighted provided the total allocation to an individualissuer (defined by Bloomberg tickers) does not exceed 2%. Issuers that exceed the limit are reduced to 2% and the facevalue of each of their bonds is adjusted on a pro-rata basis. Similarly, the face value of bonds of all other issuers thatfall below the 2% cap are increased on a pro-rata basis. The index is re-balanced on the last calendar day of the month.Prior to September 25th, 2009, the BofA Merrill Lynch Indices were known as the Merrill Lynch Indices. JPMorgan EMBIGlobal tracks total returns for U.S. dollar denominated debt instruments issued by emerging market sovereign andquasi-sovereign entities. Brady bonds, loans, Eurobonds and local market instruments. This index only tracks theparticular region or country. It is not possible to invest directly in an unmanaged index.

60% MSCI World Index/40% USD HedgedBarclays Capital Global Aggregate Index

The benchmark is a blend of 60% MSCI World Index and 40% USD Hedged Barclays Capital Global Aggregate Index.The MSCI World Index is a free float-adjusted market capitalization weighted index that is designed to measure theequity market performance of developed markets. As of June 2007 the MSCI World Index consisted of the following 23developed market country indices: Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Greece,Hong Kong, Ireland, Italy, Japan, Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland,the United Kingdom, and the United States. It is not possible to invest directly in an unmanaged index.

Barclays Capital Global Aggregate Index provides a broad-based measure of the global investment-grade fixed incomemarkets. The three major components of this index are the U.S. Aggregate, the Pan-European Aggregate, and the Asian-Pacific Aggregate Indices. The index also includes Eurodollar and Euro-Yen corporate bonds, Canadian Governmentsecurities, and USD investment grade 144A securities. It is not possible to invest directly in an unmanaged index. Priorto November 1st, 2008, this index was published by Lehman Brothers.


Benchmark Descriptions (Cont.)


Barclays Capital Euro Inflation-LinkedBond Index

The Barclays Capital Euro Inflation-Linked Bond Index has been designed as a benchmark for the growing eurozoneinflation-linked bond markets. The Euro Inflation-Linked Bond Index currently includes government bonds from France,Italy and Greece and nongovernment bonds issued by CADES, RESFER and ISPA. It is not possible to invest directly in anunmanaged index.

Barclays Capital Euro-Aggregate CreditIndex

The Barclays Capital Euro-Aggregate Credit Index is the Credit component of the Barclays Capital Euro-Aggregate Index. The Barclays Capital Euro-Aggregate Index consists of bonds issued in the euro or the legacy currencies of the 12sovereign countries participating in the European Monetary Union (EMU). All issues must be investment grade rated,fixed-rate securities with at least one year remaining to maturity. The Euro-Aggregate Index excludes convertiblesecurities, floating rate notes, perpetual notes, warrants, linked bonds, and structured products. German Schuldscheine(quasi-loan securities) are also excluded because of their trading restrictions and unlisted status, which results inilliquidity. The country of issue is not an index criterion, and securities of issuers from outside the Eurozone are includedif they meet the index criteria. It is not possible to invest directly in an unmanaged index.

Barclays Capital Global Aggregate (USDHedged) Index

Barclays Capital Global Aggregate (USD Hedged) Index provides a broad-based measure of the global investment-gradefixed income markets. The three major components of this index are the U.S. Aggregate, the Pan-European Aggregate,and the Asian-Pacific Aggregate Indices. The index also includes Eurodollar and Euro-Yen corporate bonds, CanadianGovernment securities, and USD investment grade 144A securities. It is not possible to invest directly in an unmanagedindex.

Barclays Capital Global Aggregate CreditIndex (USD Hedged)

Barclays Capital Global Aggregate Credit Index (USD Hedged) is an unmanaged Index that provides a broad- basedmeasure of the global investment- grade fixed income markets. The three major components of this index are the U. S.Aggregate, the Pan- European Aggregate, and the Asian- Pacific Aggregate Indices. This index excludes Governmentand Securitized Securities. The index also includes Eurodollar and Euro- Yen corporate bonds, Canadian securities, andUSD investment grade 144A securities. It is not possible to invest directly in an unmanaged index.

Barclays Capital U.S. Aggregate Index Barclays Capital U.S. Aggregate Index represents securities that are SEC-registered, taxable, and dollar denominated.The index covers the U.S. investment grade fixed rate bond market, with index components for government andcorporate securities, mortgage pass-through securities, and asset-backed securities. These major sectors are subdividedinto more specific indices that are calculated and reported on a regular basis. It is not possible to invest directly in anunmanaged index.

Barclays Capital U.S. MBS Fixed RateIndex

Barclays Capital U.S. MBS Fixed Rate Index covers the mortgage-backed pass-through securities of Ginnie Mae(GNMA), Fannie Mae (FNMA), and Freddie Mac (FHLMC). The MBS Index is formed by grouping the universe of over600,000 individual fixed rate MBS pools into approximately 3,500 generic aggregates. It is not possible to invest directlyin an unmanaged index.

Barclays Capital World GovernmentInflation-Linked Bond USD Hedged Index

Barclays Capital World Government Inflation-Linked Bond USD Hedged index that measures the performance of themajor government inflation-linked bond markets. The Index includes inflation-linked debt issued by the followingcountries: Australia, Canada, France, Sweden, UK, & the United States. It is not possible to invest directly in anunmanaged index.

BofA Merrill Lynch 1-3 Year U.S. TreasuryIndex

The BofA Merrill Lynch 1-3 Year US Treasury Index is an unmanaged index comprised of U.S. Treasury securities, otherthan inflation-protection securities and STRIPS, with at least $1 billion in outstanding face value and a remaining termto final maturity of at least one year and less than three years. It is not possible to invest directly in an unmanagedindex.

BofA Merrill Lynch Global High Yield,BB-B Rated, Constrained Index

BofA Merrill Lynch Global High Yield BB-B Rated Constrained Index tracks the performance of below investment gradebonds of corporate issuers domiciled in countries having an investment grade foreign currency long term debt rating(based on a composite of Moody’s, S&P, and Fitch). The Index includes bonds denominated in U.S. dollars, Canadiandollars, sterling, euro (or euro legacy currency), but excludes all multicurrency denominated bonds. Bonds must be ratedbelow investment grade but at least B3 based on a composite of Moody’s, S&P, and Fitch. Qualifying bonds arecapitalization-weighted provided the total allocation to an individual issuer (defined by Bloomberg tickers) does notexceed 2%. Issuers that exceed the limit are reduced to 2% and the face value of each of their bonds is adjusted on apro-rata basis. Similarly, the face value of bonds of all other issuers that fall below the 2% cap are increased on a pro-rata basis. It is not possible to invest directly in an unmanaged index. Prior to September 25th, 2009, the BofA MerrillLynch Indices were known as the Merrill Lynch Indices.

BofA Merrill Lynch Sterling Broad MarketIndex

BofA Merrill Lynch Sterling Broad Market Index tracks the performance of GBP denominated investment grade debtpublicly issued in the eurobond or UK domestic market, including Gilts, quasi-government, corporate, securitized andcollateralized securities. Qualifying securities must have an investment grade rating (based on an average of Moody’s,S&P and Fitch) and an investment grade rated country of risk (based on an average of Moody’s, S&P and Fitch foreigncurrency long term sovereign debt ratings). It is not possible to invest directly in an unmanaged index.

BofA Merrill Lynch Sterling Non-GiltsIndex

BofA Merrill Lynch Sterling Non-Gilts Index tracks the performance of sterling-denominated investment grade publicdebt of Corporate, quasi-Government and non-UK sovereign issuers. It is not possible to invest directly in an unmanagedindex.



BofA Merrill Lynch U.S. Dollar 3 MonthLIBOR Index

BofA Merrill Lynch U.S. Dollar 3 Month LIBOR (London Intrabank Offered Rate) Index is an average interest rate,determined by the British Bankers Association, that banks charge one another for the use of short-term money (3months) in England’s Eurodollar market. It is not possible to invest directly in an unmanaged index.

BofA Merrill Lynch U.S. High Yield, BB-BRated, Constrained Index

BofA Merrill Lynch U.S. High Yield, BB-B Rated, Constrained Index tracks the performance of BB-B Rated U.S. Dollar-denominated corporate bonds publicly issued in the U.S. domestic market. Qualifying bonds are capitalization-weightedprovided the total allocation to an individual issuer (defined by Bloomberg tickers) does not exceed 2%. Issuers thatexceed the limit are reduced to 2% and the face value of each of their bonds is adjusted on a pro-rata basis. Similarly,the face value of bonds of all other issuers that fall below the 2% cap are increased on a pro-rata basis. It is notpossible to invest directly in an unmanaged index.

BofA Merrill Lynch UK Gilt 1-5 Year Index BofA Merrill Lynch UK Gilt 1-5 Year Index tracks the performance of all outstanding UK Gilts having less than a five yearremaining term to maturity and a minimum amount oustanding of GBP 500 million. The index is re-balanced monthly -bonds are “purchased” into the index basket on the first re-balancing day following the day they fall below one year tomaturity. Securities in the UK Gilt 1-5 Year Index are priced daily as of the London close based on bid-side valuationsprovided by the BofA Merrill Lynch trading desks and external sources. It is not possible to invest directly in anunmanaged index.

Citigroup 3-Month Treasury Bill Index Citigroup 3-Month Treasury Bill Index is an unmanaged index representing monthly return equivalents of yield averagesof the last 3 month Treasury Bill issues. It is not possible to invest directly in an unmanaged index.

Citigroup Euro Broad Investment-Grade(EuroBIG) Bond > 15 Years Index

Citigroup Euro Broad Investment-Grade (EuroBIG) Bond > 15 Years Index is designed to provide a benchmark for euro-based fixed-income portfolios with maturities greater than 15 years. It covers all sectors of the investment-grade fixed-income market that are accessible to institutional investors and accurately measures their performance and riskcharacteristics. It is not possible to invest directly in an unmanaged index.

Citigroup Euro Broad Investment-GradeIndex

Citigroup Euro Broad Investment-Grade Index is an index of the Euro-based investment-grade fixed-income market thatare accessible to institutional investors (in Euro terms). It is not possible to invest directly in an unmanaged index.

Citigroup World Government Bond Ex-U.S.Index (USD Hedged)

Citigroup World Government Bond Ex-U.S. Index (USD Hedged) includes the 18 government bond markets of Australia,Austria, Belgium, Canada, Denmark, Finland, France, Germany, Greece, Ireland, Italy, Japan, the Netherlands, Portugal,Spain, Sweden, Switzerland, the United Kingdom, and excludes the United States. It is not possible to invest directly inan unmanaged index.

Dow Jones-UBS Commodity Index TotalReturn

Dow Jones-UBS Commodity Index Total Return is an unmanaged index composed of futures contracts on 19 physicalcommodities. The index is designed to be a highly liquid and diversified benchmark for commodities as an asset class. Itis not possible to invest directly in an unmanaged index.

Eonia® - Euro OverNight Index Average Eonia® - Euro OverNight Index Average is the effective overnight reference rate for the euro. It is computed as aweighted average of all overnight unsecured lending transactions undertaken in the interbank market, initiated withinthe euro area by the contributing banks.

FTSE Actuaries Government Securities UKGilts All Stocks > 15 Years

FTSE Actuaries Government Securities UK Gilts All Stocks > 15 Years Index is an unmanaged index of UK fixed incomegovernment obligations and includes all sterling UK government securities quoted on the London Stock Exchange, otherthan index-linked stocks. It is not possible to invest directly in an unmanaged index.

FTSE Actuaries Government Securities UKIndex Linked Gilts > 5 Years

FTSE Actuaries Government Securities UK Index Linked Gilts > 5 Years is an unmanaged index for British GovernmentSecurities and includes both UK Gilts and Index Linked Stocks over a range of sectors. It is not possible to invest directlyin an unmanaged index.

JPMorgan Corporate Emerging MarketsBond Index Diversified (CEMBI)

The JPMorgan Corporate Emerging Markets Bond Index Diversified (CEMBI) is a uniquely weighted version of theCEMBI index. It limits the weights of those index countries with larger corporate debt stocks by only including aspecified portion of these countries’ eligible current face amounts of debt outstanding. The CEMBI Diversified results inwell-distributed, more balanced weightings for countries included in the index. The countries covered in the CEMBIDiversified are identical to those covered by the CEMBI. It is not possible to invest directly in an unmanaged index.

JPMorgan Emerging Local Markets IndexPlus (Unhedged)

JPMorgan Emerging Local Markets Index Plus (Unhedged) tracks total returns for local-currency-denominated moneymarket instruments in 22 emerging markets countries with at least US$10 billion of external trade. It is not possible toinvest directly in an unmanaged index.

JPMorgan Emerging Local Markets IndexPlus +Bid (Unhedged)

JPMorgan Emerging Local Markets Index Plus +Bid (Unhedged) tracks total returns for local-currency-denominatedmoney market instruments in 22 emerging markets countries with at least US$10 billion of external trade. It is notpossible to invest directly in an unmanaged index. For periods prior to May 2010, the JPMorgan Emerging Local MarketsIndex Plus +Bid (Unhedged) contains back-tested index data which re-calculates the index return using bid-side FX Spot,Forwards, and LIBOR rates.

JPMorgan Emerging Markets Bond Index(EMBI) Global

JPMorgan Emerging Markets Bond Index (EMBI) Global tracks total returns for United States Dollar denominated debtinstruments issued by emerging market sovereign and quasi-sovereign entities: Brady bonds, loans, Eurobonds and localmarket instruments. It is not possible to invest directly in an unmanaged index.


Benchmark Descriptions (Cont.)


JPMorgan Emerging Markets Bond Index(EMBI) Global adjusted for SociallyResponsible Investment (SRI) filter

JPMorgan Emerging Markets Bond Index (EMBI) Global adjusted for Socially Responsible Investment (SRI) filer trackstotal returns for United States Dollar denominated debt instruments issued by emerging market sovereign and quasi-sovereign entities: Brady bonds, loans, Eurobonds and local market instruments -- excluding issuers not permitted bySRI Advisor. It is not possible to invest directly in an unmanaged index.

JPMorgan Government Bond Index-Emerging Markets Global DiversifiedIndex (Unhedged)

JPMorgan Government Bond Index-Emerging Markets Global Diversified Index (Unhedged) is a comprehensive globallocal emerging markets index, and consists of regularly traded, liquid fixed-rate, domestic currency government bonds towhich international investors can gain exposure. It is not possible to invest directly in an unmanaged index.

Lipper Money Market Fund Index Lipper Money Market Fund Index is an average of the 30 largest equal weighted Money Market Funds as compiled byLipper Analytical Inc. It does not reflect deductions for fees, expenses or taxes. It is not possible to invest directly in anunmanaged index.

Markit iBoxx Sterling Non-Gilts 10+ Index Markit iBoxx Sterling Non-Gilts 10+ Index is made up of investment grade Sterling-denominated bonds, excludingSterling-denominate bonds issued by the British government. All bonds in the iBoxx Index family must be ratedinvestment grade by at least one of the following rating agencies; Standard & Poor’s, Moody’s or Fitch. It is not possibleto invest directly in an unmanaged index.

MSCI Europe Index The MSCI Europe Index is a free float-adjusted market capitalization weighted index that is designed to measure theequity market performance of the developed markets in Europe. Since June 2007, the MSCI Europe Index consisted ofthe following 16 developed market country indices: Austria, Belgium, Denmark, Finland, France, Germany, Greece,Ireland, Italy, the Netherlands, Norway, Portugal, Spain, Sweden, Switzerland, and the United Kingdom. The indexrepresents the unhedged performance of the constituent stocks in euros. It is not possible to invest directly in anunmanaged index.

MSCI World Index The MSCI World Index is a free float-adjusted market capitalization weighted index that is designed to measure theequity market performance of developed markets. As of May 27, 2010 the MSCI World Index consisted of the following24 developed market country indices: Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Greece,Hong Kong, Ireland, Israel, Italy, Japan, Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden,Switzerland, the United Kingdom, and the United States. The index represents the unhedged performance of theconstituent stocks, in US dollars. It is not possible to invest directly in an unmanaged index.

PIMCO Global Advantage Bond Index(GLADI) (London Close)

The PIMCO Global Advantage Bond Index (GLADI) (London Close) is a diversified global index that covers a widespectrum of global fixed income opportunities and sectors, from developed to emerging markets, nominal to real asset,and cash to derivative instruments. Unlike traditional indices, which are frequently comprised of bonds weightedaccording to their market capitalization, GLADI uses GDP-weighting which puts an emphasis on faster-growing areas ofthe world and thus makes the index forward-looking in nature. It is not possible to invest directly in an unmanagedindex.

S&P 500 Index S&P 500 Index is an unmanaged market index generally considered representative of the stock market as a whole. TheIndex focuses on the large-cap segment of the U.S. equities market. It is not possible to invest directly in an unmanagedindex.


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Statements of Assets and Liabilities

CommoditiesPLUS™

Strategy Fund

Developing Local

Markets Fund

(Amounts in thousands) As at31-Dec-2010

As at31-Dec-2009

As at31-Dec-2010

As at31-Dec-2009

Current Assets:

Financial Assets at fair value through profit or loss:Transferable Securities $ 209,370 $ 52,628 $ 705,859 $ 132,923Deposits with credit institutions 198 0 9,976 0Financial derivative instruments 3,421 308 21,057 1,099

Cash 1,389 452 3,020 797Deposits with counterparty 190 0 11,083 670Income receivable 1,031 137 7,898 542Receivables for investments sold 305,440 72,869 30,261 30,603Receivables for Fund shares sold 2,320 791 6,182 1,954Receivables for futures margin 0 0 954 0Receivables from management company 2 1 0 0Other assets 388 14 0 0

Total Current Assets 523,749 127,200 796,290 168,588

Current Liabilities:

Financial Liabilities at fair value through profit or loss:Financial derivative instruments (1,905) (428) (17,042) (1,801)Fair value of securities sold short (46,941) (3,178) 0 0

Payable for investments purchased (259,748) (69,935) (31,933) (30,700)Payable for Fund shares redeemed (79) (33) (751) 0Payable for management fee (149) (32) (770) (125)Expenses payable (12) (22) (12) (30)Dividend payable 0 0 (2) 0Payable for futures margin 0 0 0 0Deposits from counterparty (14,950) (2,190) (11,520) (860)Other liabilities (1,087) 0 0 0

Total Current Liabilities excluding Net AssetsAttributable to Redeemable Participating Shareholders (324,871) (75,818) (62,030) (33,516)

Net Assets Attributable to RedeemableParticipating Shareholders (for financial statement purposes) $ 198,878 $ 51,382 $ 734,260 $ 135,072

Adjustment to Revalue Assets on Bid Basis to Dealing NAV $ 0 $ 0 $ 0 $ 0

Net Assets Attributable to RedeemableParticipating Shareholders (for shareholder dealing purposes) $ 198,878 $ 51,382 $ 734,260 $ 135,072

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

(1) The Emerging Asia Bond Fund launched on 1 June 2010.

On behalf of the Board of Directors

Director: David M. Kennedy

Director: Michael J. Meagher


Diversified

Income Fund

Emerging Asia

Bond Fund(1)

Emerging Local

Bond Fund

As at31-Dec-2010

As at31-Dec-2009

As at31-Dec-2010

As at31-Dec-2010

As at31-Dec-2009

$ 2,154,827 $ 699,555 $ 13,286 $ 2,726,770 $ 226,4840 0 0 19,952 0

40,316 10,692 2,507 39,520 4,61912,519 4,091 166 18,127 2,3126,052 17,130 1,290 14,024 340

33,256 9,515 208 50,404 4,08014,669 66,540 0 5,085 19,47412,857 7,777 0 19,029 322

0 0 0 2,076 00 0 56 0 0

34,021 72 0 0 0

2,308,517 815,372 17,513 2,894,987 257,631

(8,849) (1,593) (2,450) (40,706) (2,203)(36,297) 0 0 0 (9,522)

(107,593) (123,631) 0 (11,202) (12,346)(13,262) (1,051) 0 (6,263) (27)(1,827) (406) (48) (2,556) (195)

(93) (125) (59) (64) (56)0 0 (6) (1,188) 0

(1,530) (2,752) 0 0 0(31,910) (7,130) 0 (7,620) (3,100)(17,888) (13,782) 0 (1) 0

(219,249) (150,470) (2,563) (69,600) (27,449)

$ 2,089,268 $ 664,902 $ 14,950 $ 2,825,387 $ 230,182

$ 0 $ 0 $ 0 $ 0 $ 0

$ 2,089,268 $ 664,902 $ 14,950 $ 2,825,387 $ 230,182

See Accompanying Notes Annual Report 31 December 2010 49

Statements of Assets and Liabilities (Cont.)

Emerging Markets and

Infrastructure Bond Fund

Emerging Markets

Bond Fund


As at31-Dec-2009

As at31-Dec-2010

As at31-Dec-2009

Current Assets:

Financial Assets at fair value through profit or loss:Transferable Securities $ 459,707 $ 41,884 $ 3,437,795 $ 3,096,811Deposits with credit institutions 0 0 9,976 0Financial derivative instruments 2,252 4 65,241 36,849

Cash 2,202 370 4,381 6,200Deposits with counterparty 12,331 107 174 30,401Income receivable 8,163 652 58,359 52,215Receivables for investments sold 38,568 2,955 35,387 121,383Receivables for Fund shares sold 790 0 41,275 4,882Receivables for futures margin 108 17 5,710 0Receivables from management company 14 1 0 0Other assets 1,968 48 45,233 147

Total Current Assets 526,103 46,038 3,703,531 3,348,888


Financial Liabilities at fair value through profit or loss:Financial derivative instruments (1,808) (88) (19,099) (8,287)Fair value of securities sold short 0 0 0 (33,487)

Payable for investments purchased (40,734) (2,822) (90,794) (62,239)Payable for Fund shares redeemed 0 0 (44,585) (22,490)Payable for management fee (809) (33) (2,984) (2,245)Payable for reverse repurchase agreements 0 0 0 0Expenses payable (50) (50) (59) (254)Dividend payable 0 0 (3,845) 0Payable for futures margin 0 0 0 (15,377)Deposits from counterparty (880) 0 (67,240) (6,920)Other liabilities (4,762) 0 (2,070) (39,937)


Net Assets Attributable to RedeemableParticipating Shareholders (for financial statement purposes) $ 477,060 $ 43,045 $ 3,472,855 $ 3,157,652


Net Assets Attributable to RedeemableParticipating Shareholders (for shareholder dealing purposes) $ 477,060 $ 43,045 $ 3,472,855 $ 3,157,652


(2) The PIMCO EqS Pathfinder Fund™ launched on 20 May 2010.

(3) The PIMCO EqS Pathfinder Europe Fund™ launched on 20 May 2010.





PIMCO EqS

Pathfinder FundTM(2)

PIMCO EqS

Pathfinder Europe FundTM(3) EuriborPLUS Fund

Euro

Bond Fund

As at31-Dec-2010

As at31-Dec-2010

As at31-Dec-2010

As at31-Dec-2009

As at31-Dec-2010

As at31-Dec-2009

$ 222,490 € 262,662 € 484,962 € 161,348 € 1,102,799 € 1,089,2840 0 0 0 0 0

2,503 840 2,682 563 18,838 7,600634 922 5,008 2,469 2,244 7,022

2,546 372 3,742 182 14,847 2,538505 1,507 7,547 2,634 20,558 19,537

21,117 34 5,013 28 150,484 44,4105,466 1,315 8,250 11,448 8,097 1,256

0 0 0 0 396 019 15 0 0 0 0

1,144 0 0 0 1,042 200

256,424 267,667 517,204 178,672 1,319,305 1,171,847

(1,253) (1,082) (5,162) (770) (30,028) (6,741)0 0 0 0 0 0

(24,408) (279) (24,941) (27,192) (325,315) (114,184)(14) (7) (583) (29) (1,249) (2,113)

(220) (533) (282) (48) (466) (389)0 0 (405) 0 0 0

(63) (49) (29) (53) (161) (327)0 0 0 0 (303) 0

(2) 0 0 (19) 0 (160)(600) 0 (474) (21) (1,302) (6,288)

(1,718) 0 0 0 (66) 0

(28,278) (1,950) (31,876) (28,132) (358,890) (130,202)

$ 228,146 € 265,717 € 485,328 € 150,540 € 960,415 € 1,041,645

$ 0 € 0 € 0 € 0 € 0 € 0

$ 228,146 € 265,717 € 485,328 € 150,540 € 960,415 € 1,041,645



Euro

Credit Fund

Euro

Liquidity Fund


As at31-Dec-2009

As at31-Dec-2010

As at31-Dec-2009

Current Assets:

Financial Assets at fair value through profit or loss:Transferable Securities € 258,304 € 89,759 € 43,670 € 30,375Deposits with credit institutions 0 0 0 7,000Financial derivative instruments 1,131 632 0 0

Cash 3,038 3,123 138 50Deposits with counterparty 1,722 400 0 0Income receivable 4,584 1,966 1,121 257Receivables for investments sold 2,461 520 3,620 6,300Receivables for Fund shares sold 2,461 22 2,582 1,557Receivables for futures margin 171 0 0 0Receivables from management company 0 50 0 8Other assets 0 0 12 0



Financial Liabilities at fair value through profit or loss:Financial derivative instruments (2,213) (1,005) 0 0Fair value of securities sold short 0 0 0 0

Payable for investments purchased (7,707) (210) (4,450) (11,797)Payable for Fund shares redeemed (2) 0 (916) (1,403)Payable for management fee (125) (43) (15) (9)Expenses payable (5) (23) (12) (21)Dividend payable 0 0 (6) (3)Payable for futures margin 0 (119) 0 0Deposits from counterparty (196) (427) 0 0Other liabilities 0 0 0 0


Net Assets Attributable to RedeemableParticipating Shareholders (for financial statement purposes) € 263,624 € 94,645 € 45,744 € 32,314

Adjustment to Revalue Assets on Bid Basis to Dealing NAV € 0 € 0 € 0 € 0

Net Assets Attributable to RedeemableParticipating Shareholders (for shareholder dealing purposes) € 263,624 € 94,645 € 45,744 € 32,314






Euro Long Average

Duration Fund

Euro Real

Return Fund

Euro Ultra-Long

Duration Fund

As at 31-Dec-2010 As at31-Dec-2009

As at31-Dec-2010

As at31-Dec-2009

As at31-Dec-2010

As at31-Dec-2009

€ 589,048 € 507,702 € 175,563 € 157,234 € 124,014 € 76,2530 0 0 0 0 0

10,023 2,591 442 1,041 22,016 4,1432,661 2,522 1,176 3,308 885 1097,205 3,391 218 301 318 211

10,989 10,243 2,037 1,717 1,324 1,15470,577 17,716 26,691 88 10,025 6,536

0 0 0 0 0 01,119 419 0 17 138 0

0 0 0 0 0 10 0 0 0 0 3

691,622 544,584 206,127 163,706 158,720 88,410

(15,974) (6,362) (1,315) (896) (2,270) (931)0 0 0 0 (1,800) 0

(201,619) (75,751) (54,300) (30,741) (10,597) (4,965)0 0 0 0 0 0

(259) (143) (58) (47) (58) (12)(22) (104) (8) (33) (6) (21)

0 0 0 0 0 00 0 0 (2) 0 (64)

(1,205) (1,168) 0 (797) (19,801) (5,776)0 0 0 (1) 0 0

(219,079) (83,528) (55,681) (32,517) (34,532) (11,769)

€ 472,543 € 461,056 € 150,446 € 131,189 € 124,188 € 76,641

€ 0 € 0 € 0 € 0 € 0 € 0

€ 472,543 € 461,056 € 150,446 € 131,189 € 124,188 € 76,641



FX Strategies

Fund

Global Advantage

Fund


As at31-Dec-2009

As at31-Dec-2010

As at31-Dec-2009

Current Assets:

Financial Assets at fair value through profit or loss:Transferable Securities € 64,549 € 66,093 $ 212,587 $ 20,533Deposits with credit institutions 0 0 1,198 0Financial derivative instruments 3,603 387 3,756 85

Cash 2,010 927 2,346 294Deposits with counterparty 900 227 1,359 0Income receivable 413 840 2,040 106Receivables for investments sold 631 0 58,489 3,234Receivables for Fund shares sold 170 8 28,848 16,954Receivables for futures margin 0 17 75 0Receivables from management company 2 0 2 0Other assets 0 7 430 10



Financial Liabilities at fair value through profit or loss:Financial derivative instruments (3,005) (350) (1,991) (124)Fair value of securities sold short 0 0 0 0

Payable for investments purchased (4,157) (7,138) (77,671) (13,641)Payable for Fund shares redeemed (2) 0 0 0Payable for management fee (27) (25) (206) (5)Expenses payable (6) (20) 0 0Payable for futures margin (20) 0 0 (14)Deposits from counterparty (1,423) (524) (490) 0Other liabilities 0 0 (2,175) 0


Net Assets Attributable to RedeemableParticipating Shareholders (for financial statement purposes) € 63,638 € 60,449 $ 228,597 $ 27,432

Adjustment to Revalue Assets on Bid Basis to Dealing NAV € 0 € 0 $ 0 $ 0

Net Assets Attributable to RedeemableParticipating Shareholders (for shareholder dealing purposes) € 63,638 € 60,449 $ 228,597 $ 27,432






Global Bond

Fund

Global Bond

Ex-US Fund

Global High

Yield Bond Fund

As at31- Dec-2010

As at31- Dec-2009

As at31-Dec-2010

As at31-Dec-2009

As at31-Dec-2010

As at31-Dec-2009

$ 5,774,748 $ 4,159,182 $ 489,005 $ 626,258 $ 2,205,702 $ 997,19412,700 0 0 0 0 058,500 63,044 10,290 10,978 9,383 12,33116,648 7,174 3,183 2,129 1,990 3,81321,580 74,794 5,510 1,082 2,270 14,40354,412 52,306 6,267 8,498 40,021 18,036

993,042 25,358 14,729 32,073 592 29,98714,366 13,441 67 499 14,642 9,917

159 0 366 107 0 00 0 0 0 0 0

148,683 1,362 556 0 28,195 215

7,094,838 4,396,661 529,973 681,624 2,302,795 1,085,896

(130,524) (43,548) (18,300) (5,580) (12,003) (3,870)(8,758) 0 0 0 0 0

(1,319,580) (43,047) (16,742) (59,125) (18,399) (38,198)(19,535) (8,561) 0 (836) (10,238) (8,473)(2,509) (1,908) (226) (240) (1,364) (556)

(684) (823) (142) (148) (75) (95)0 (119) 0 0 0 (2,645)

(52,180) (18,016) (2,357) (7,543) (7,950) (9,880)(32,606) (62,768) (160) (569) (9,914) (11,770)

(1,566,376) (178,790) (37,927) (74,041) (59,943) (75,487)

$ 5,528,462 $ 4,217,871 $ 492,046 $ 607,583 $ 2,242,852 $ 1,010,409

$ 0 $ 0 $ 0 $ 0 $ 0 $ 0

$ 5,528,462 $ 4,217,871 $ 492,046 $ 607,583 $ 2,242,852 $ 1,010,409



Global Investment Grade

Credit Fund Global Multi-Asset Fund


As at31-Dec-2009

As at31-Dec-2010

As at31-Dec-2009

Current Assets:

Financial Assets at fair value through profit or loss:Transferable Securities $ 9,286,806 $ 5,344,937 $ 2,095,660 $ 378,247Deposits with credit institutions 71,293 0 948 0Financial derivative instruments 90,470 125,107 49,500 1,457

Cash 79,903 51,128 6,052 2,394Deposits with counterparty 13,743 105,278 4,925 11,437Income receivable 129,107 82,805 16,644 284Receivables for investments sold 194,095 377,881 560,645 34,040Receivables for Fund shares sold 43,498 45,792 20,669 10,333Receivables for futures margin 7,777 3,081 0 0Receivables from management company 0 0 0 0Other assets 213,305 1,060 13,611 416

Total Current Assets 10,129,997 6,137,069 2,768,654 438,608


Financial Liabilities at fair value through profit or loss:Financial derivative instruments (55,509) (24,610) (21,690) (1,738)Fair value of securities sold short 0 (150,925) 0 0

Payable for investments purchased (174,736) (277,206) (580,132) (38,158)Payable for Fund shares redeemed (28,935) (21,117) (584) (470)Payable for management fee (5,007) (2,751) (1,697) (492)Payable for reverse repurchase agreements 0 0 (1,430) 0Expenses payable (637) (785) 0 0Dividend payable 0 0 (1,829) 0Payable for futures margin 0 0 (13,259) (798)Deposits from counterparty (87,592) (102,905) (31,980) (860)Other liabilities (70,315) (103,346) (1,562) (14,178)


Net Assets Attributable to RedeemableParticipating Shareholders (for financial statement purposes) $ 9,707,266 $ 5,453,424 $ 2,114,491 $ 381,914


Net Assets Attributable to RedeemableParticipating Shareholders (for shareholder dealing purposes) $ 9,707,266 $ 5,453,424 $ 2,114,491 $ 381,914






Global Real

Return Fund

High Yield

Bond Fund

Low Average

Duration Fund

As at31-Dec-2010

As at31-Dec-2009

As at31-Dec-2010

As at31-Dec-2009

As at31-Dec-2010

As at31-Dec-2009

$ 2,333,275 $ 1,144,832 $ 2,576,100 $ 1,074,171 $ 2,875,698 $ 1,622,5382,600 2,598 0 0 18,839 9,324

23,539 18,828 19,753 14,431 16,408 4,4588,190 6,503 9,206 7,536 9,958 23,569

21,260 19,483 2,500 6,862 3,810 8,54017,243 8,093 44,393 18,529 15,847 5,997

106,873 223,273 27,362 13,086 1,585,154 506,54318,365 9,432 4,712 6,299 9,283 54,982

0 0 0 0 9,176 3860 15 0 0 0 0

59,979 1,142 13,054 860 32,406 65

2,591,324 1,434,199 2,697,080 1,141,774 4,576,579 2,236,402

(37,405) (7,100) (3,995) (6,194) (21,346) (3,802)0 0 0 0 (197,943) (118,617)

(366,410) (228,044) (59,648) (13,154) (1,193,708) (494,033)(1,780) (15,805) (3,607) (13,062) (20,220) (12,279)(1,391) (637) (1,338) (542) (1,968) (712)

0 0 0 0 0 0(201) (250) (236) (198) (269) (230)

0 0 0 0 0 0(184) (811) (5,852) (7,711) 0 0

(30,380) (18,460) (16,950) (3,938) (12,880) (3,240)(15,713) (16,918) (3,790) (5,501) (9,812) (8,515)

(453,464) (288,025) (95,416) (50,300) (1,458,146) (641,428)

$ 2,137,860 $ 1,146,174 $ 2,601,664 $ 1,091,474 $ 3,118,433 $ 1,594,974

$ 0 $ 0 $ 0 $ 0 $ 0 $ 0

$ 2,137,860 $ 1,146,174 $ 2,601,664 $ 1,091,474 $ 3,118,433 $ 1,594,974



Mortgage-Backed

Securities Fund

Socially Responsible

Emerging Markets

Bond Fund(4)


As at31-Dec-2009

As at31-Dec-2010

Current Assets:

Financial Assets at fair value through profit or loss:Transferable Securities $ 91,969 $ 141,528 $ 136,224Deposits with credit institutions 0 0 0Financial derivative instruments 187 1,626 600

Cash 557 592 765Deposits with counterparty 270 0 46Income receivable 178 402 2,489Receivables for investments sold 26,934 29,125 2,500Receivables for Fund shares sold 0 0 0Receivables for futures margin 0 0 134Receivables from management company 3 0 19Other assets 0 13 0

Total Current Assets 120,098 173,286 142,777


Financial Liabilities at fair value through profit or loss:Financial derivative instruments (39) (71) (620)Fair value of securities sold short (8,147) (8,021) 0

Payable for investments purchased (48,162) (44,450) (2,711)Payable for Fund shares redeemed (868) (8) 0Payable for management fee (25) (15) (105)Payable for reverse repurchase agreements (1,000) 0 0Expenses payable (12) (43) (60)Bank overdraft 0 0 0Payable for futures margin 0 0 0Deposits from counterparty (790) (2,326) (270)Other liabilities 0 (86) 0

Total Current Liabilities excluding Net AssetsAttributable to Redeemable Participating Shareholders (59,043) (55,020) (3,766)

Net Assets Attributable to RedeemableParticipating Shareholders (for financial statement purposes) $ 61,055 $ 118,266 $ 139,011

Adjustment to Revalue Assets on Bid Basis to Dealing NAV $ 0 $ 0 $ 0

Net Assets Attributable to RedeemableParticipating Shareholders (for shareholder dealing purposes) $ 61,055 $ 118,266 $ 139,011


(4) The Socially Responsible Emerging Markets Bond Fund launched on 16 April 2010.





StocksPLUSTM Fund

Total Return

Bond Fund

UK Corporate

Bond Fund

As at31-Dec-2010

As at31-Dec-2009

As at31-Dec-2010

As at31-Dec-2009

As at31-Dec-2010

As at31-Dec-2009

$ 251,632 $ 177,420 $ 26,815,415 $ 10,057,581 £ 381,075 £ 372,0736,100 600 64,100 0 0 09,940 2,991 131,840 54,618 2,596 1,4951,495 628 0 27,215 1,526 2,066

130 953 138,840 79,278 3,523 3,412721 304 157,132 52,161 7,495 8,309

42,068 45,977 6,677,788 2,666,732 5,773 5,2272,157 1,724 259,534 174,161 0 0

0 0 29,288 0 346 00 6 0 2 0 0

3,986 17 301,557 572 20 0

318,229 230,620 34,575,494 13,112,320 402,354 392,582

(1,356) (170) (118,410) (43,974) (3,709) (3,678)(3,027) (3,168) (955) (330,648) 0 0

(50,055) (47,106) (12,957,301) (2,761,358) (6,782) (7,555)(194) 0 (171,980) (40,004) 0 0(93) (44) (15,749) (6,026) (155) (101)

0 0 0 0 0 0(1) (21) (2,492) (1,444) 0 (19)0 0 (7,467) 0 0 0

(8,659) (3,722) 0 (15,614) 0 (327)(420) (310) (138,000) (13,477) (2,306) (632)

(1,416) (2,453) (95,073) (76,920) 0 0

(65,221) (56,994) (13,507,427) (3,289,465) (12,952) (12,312)

$ 253,008 $ 173,626 $ 21,068,067 $ 9,822,855 £ 389,402 £ 380,270

$ 0 $ 0 $ 0 $ 0 £ 2,276 £ 2,596

$ 253,008 $ 173,626 $ 21,068,067 $ 9,822,855 £ 391,678 £ 382,866



UK Long

Term Corporate Bond

Fund

UK Sterling

Inflation-Linked

Fund


As at31-Dec-2009

As at31-Dec-2010

As at31-Dec-2009

Current Assets:

Financial Assets at fair value through profit or loss:Transferable Securities £ 821,675 £ 999,692 £ 125,463 £ 133,261Financial derivative instruments 6,211 8,754 1,130 1,160

Cash 6,426 12,060 1,305 1,014Deposits with counterparty 9,917 18,033 492 656Income receivable 18,074 25,253 617 790Receivables for investments sold 7,960 19,730 10,269 3,438Receivables for Fund shares sold 0 0 0 207Receivables for futures margin 455 0 64 125Receivables from management company 0 0 0 1Other assets 0 0 0 0

Total Current Assets 870,718 1,083,522 139,340 140,652


Financial Liabilities at fair value through profit or loss:Financial derivative instruments (10,255) (17,272) (1,237) (1,247)Fair value of securities sold short 0 0 0 0

Payable for investments purchased (13,958) (20,778) (37,728) (26,406)Payable for Fund shares redeemed (52) 0 0 (3)Payable for management fee (305) (307) (39) (34)Expenses payable (31) (221) (12) (32)Payable for futures margin 0 (1,284) 0 0Deposits from counterparty (4,069) (6,334) (479) (1,425)Other liabilities 0 0 0 0


Net Assets Attributable to RedeemableParticipating Shareholders (for financial statement purposes) £ 842,048 £ 1,037,326 £ 99,845 £ 111,505

Adjustment to Revalue Assets on Bid Basis to Dealing NAV £ 5,171 £ 8,562 £ 0 £ 556

Net Assets Attributable to RedeemableParticipating Shareholders (for shareholder dealing purposes) £ 847,219 £ 1,045,888 £ 99,845 £ 112,061






UK Sterling

Long Average

Duration Fund

UK Sterling

Low Average

Duration Fund

UK Total Return

Bond Fund

As at31-Dec-2010

As at31-Dec-2009

As at31-Dec-2010

As at31-Dec-2009

As at31-Dec-2010

As at31-Dec-2009

£ 254,179 £ 272,350 £ 137,697 £ 197,669 £ 19,053 £ 14,4202,134 3,222 2,075 3,133 168 2024,885 3,378 1,343 6,139 1,064 1,2801,686 2,832 1,265 759 72 322,953 2,919 1,835 2,111 341 222

43,462 17,318 22,209 2,404 2,046 1,3150 2 0 0 15 0

596 1,179 52 98 38 00 0 0 0 2 10 0 0 4 1 6

309,895 303,200 166,476 212,317 22,800 17,478

(2,713) (3,695) (2,609) (1,574) (252) (142)0 0 0 0 0 (654)

(108,503) (44,211) (46,791) (5,700) (4,119) (661)(15) (1,287) 0 0 0 0(87) (53) (43) (60) (9) (6)(41) (112) (46) (85) 0 (3)

0 0 0 0 0 (25)(964) (3,281) (1,201) (1,715) 0 0

(1) (1) 0 0 0 0

(112,324) (52,640) (50,690) (9,134) (4,380) (1,491)

£ 197,571 £ 250,560 £ 115,786 £ 203,183 £ 18,420 £ 15,987

£ 0 £ 0 £ 0 £ 0 £ 0 £ 0

£ 197,571 £ 250,560 £ 115,786 £ 203,183 £ 18,420 £ 15,987



Unconstrained

Bond Fund

US Government Money

Market Fund


As at31-Dec-2009

As at31-Dec-2010

As at31-Dec-2009

Current Assets:

Financial Assets at fair value through profit or loss:Transferable Securities $ 4,199,454 $ 242,398 $ 46,578 $ 43,620Deposits with credit institutions 0 1,799 0 0Financial derivative instruments 63,010 1,719 0 0

Cash 3,393 1,871 258 9Deposits with counterparty 28,520 2,896 0 0Income receivable 28,190 1,760 16 32Receivables for investments sold 1,488,496 139,486 23,600 18,600Receivables for Fund shares sold 34,196 25,124 14 0Receivables from management company 0 0 0 8Other assets 98,673 270 8 12

Total Current Assets 5,943,932 417,323 70,474 62,281


Financial Liabilities at fair value through profit or loss:Financial derivative instruments (34,100) (1,011) 0 0Fair value of securities sold short (1,096,262) (88,456) 0 0

Payable for investments purchased (1,268,056) (68,185) (23,600) (18,400)Payable for Fund shares redeemed (22,580) 0 0 0Payable for management fee (3,427) (150) (7) (7)Expenses payable (108) (29) (4) (15)Dividend payable 0 0 (2) (1)Payable for futures margin (2,405) (552) 0 0Deposits from counterparty (78,180) (850) 0 0Other liabilities (27,657) (3,391) 0 (1)

Total Current Liabilities excluding Net AssetsAttributable to Redeemable Participating Shareholders (2,532,775) (162,624) (23,613) (18,424)

Net Assets Attributable to RedeemableParticipating Shareholders (for financial statement purposes) $ 3,411,157 $ 254,699 $ 46,861 $ 43,857


Net Assets Attributable to RedeemableParticipating Shareholders (for shareholder dealing purposes) $ 3,411,157 $ 254,699 $ 46,861 $ 43,857



Director: David M. Kannedy



Company Total


As at31-Dec-2009

Current Assets:

Financial Assets at fair value through profit or loss:Transferable Securities $ 72,066,446 $ 36,409,182Deposits with credit institutions 217,880 24,364Financial derivative instruments 766,326 418,585

Cash 236,550 219,006Deposits with counterparty 358,338 425,959Income receivable 790,738 435,429Receivables for investments sold 12,758,089 4,647,508Receivables for Fund shares sold 568,981 405,226Receivables for futures margin 60,698 6,481Receivables from management company 141 121Other assets 998,644 6,612

Total Current Assets 88,822,831 42,998,473


Financial Liabilities at fair value through profit or loss:Financial derivative instruments (664,826) (225,245)Fair value of securities sold short (1,400,745) (747,078)

Payable for investments purchased (19,914,135) (4,985,923)Payable for Fund shares redeemed (349,281) (151,385)Payable for management fee (47,920) (19,054)Payable for reverse repurchase agreements (2,973) 0Expenses payable (5,937) (6,244)Bank overdraft (7,467) 0Dividend payable (7,287) (5)Payable for futures margin (31,918) (53,279)Deposits from counterparty (641,994) (245,146)Other liabilities (297,810) (360,138)

Total Current Liabilities excluding Net AssetsAttributable to Redeemable Participating Shareholders (23,372,293) (6,793,497)

Net Assets Attributable to RedeemableParticipating Shareholders (for financial statement purposes) $ 65,450,538 $ 36,204,976

Adjustment to Revalue Assets on Bid Basis to Dealing NAV $ 11,659 $ 18,916

Net Assets Attributable to RedeemableParticipating Shareholders (for shareholder dealing purposes) $ 65,462,197 $ 36,223,892






Statements of Operations

CommoditiesPLUS™

Strategy Fund

Developing Local

Markets Fund

(Amounts in thousands) Year Ended31-Dec-2010

Year Ended31-Dec-2009



Income

Interest and dividend income $ 2,435 $ 889 $ 10,394 $ 1,472Bank interest 5 4 16 3Other income 0 0 0 8Net realised gain/(loss) on transferable securities and deposits with credit institutions 1,112 212 3,370 (1,105)Net realised gain on financial derivative instruments 27,810 6,785 487 257Net realised gain/(loss) on foreign currency 2,940 (491) 11,440 813Net change in unrealised appreciation/(depreciation) on transferable securities and deposits with

credit institutions 2,270 1,579 1,897 4,468Net change in unrealised appreciation/(depreciation) on financial derivative instruments 1,685 (480) (466) 14Net change in unrealised appreciation/(depreciation) on foreign currency (793) 398 5,029 2,032

Total Investment Income 37,464 8,896 32,167 7,962

Operating Expenses

Advisory fee 0 (174) 0 (363)Management fee (937) (65) (5,720) (225)Service fee 0 0 0 0Trail fee 0 0 0 0Administrative fee 0 (66) 0 (94)Custody fee 0 (78) 0 (116)Audit and Tax fees 0 (3) 0 (7)Legal fee 0 0 0 0Printing expenses 0 0 0 0Registration expenses 0 0 0 0Other expenses (15) (18) (8) (12)

Total Expenses (952) (404) (5,728) (817)Reimbursement by Investment Adviser 9 122 0 89Net Operating Expenses (943) (282) (5,728) (728)

Net Investment Income 36,521 8,614 26,439 7,234

Finance Costs

Interest expense (6) (4) (16) (28)Distributions to redeemable participating shareholders (120) (102) (67) (53)Net equalisation credits and charges 178 0 1,275 0

Total Finance Costs 52 (106) 1,192 (81)

Profit for the Period before Tax 36,573 8,508 27,631 7,153

Withholding taxes on dividends and other investment income (9) 3 (319) (17)Profit for the Period after Tax 36,564 8,511 27,312 7,136


Increase in Assets Attributable toRedeemable Participating Shareholders $ 36,564 $ 8,511 $ 27,312 $ 7,136






Diversified

Income Fund

Emerging Asia

Bond Fund

Emerging Local

Bond Fund



Period from1-Jun-2010 to31-Dec-2010



$ 64,581 $ 30,738 $ 200 $ 88,905 $ 10,56325 40 0 43 633 75 0 0 31

15,034 (2,380) 324 1,752 (1,784)24,483 2,496 6 2,716 748

(49,386) 41,499 344 9,942 4,618

22,088 73,643 (237) 83,744 14,110(473) 18,039 (34) (6,910) 1,304

35,215 (7,115) 97 1,929 2,588111,600 157,035 700 182,121 32,184

0 (1,870) 0 0 (782)(11,440) (824) (52) (14,944) (330)

(61) (32) 0 (31) 0(9) (3) 0 (30) 00 (434) 0 0 (132)0 (133) 0 0 (187)0 (37) 0 0 (19)0 (18) 0 0 (21)0 (10) 0 0 (2)0 (57) 0 0 (16)

(3) (38) (60) (3) (17)(11,513) (3,456) (112) (15,008) (1,506)

0 1 60 0 46(11,513) (3,455) (52) (15,008) (1,460)

100,087 153,580 648 167,113 30,724

(47) (81) 0 (113) (45)(41,975) (11,756) (148) (10,338) (6,341)27,449 0 73 39,823 0

(14,573) (11,837) (75) 29,372 (6,386)

85,514 141,743 573 196,485 24,338

(295) 76 (5) (4,036) (435)85,219 141,819 568 192,449 23,903

$ 0 $ 0 $ 0 $ 0 $ 0

$ 85,219 $ 141,819 $ 568 $ 192,449 $ 23,903


Statements of Operations (Cont.)



Emerging Markets

Bond Fund


Period from12-Nov-2009 to

31-Dec-2009



IncomeInterest and dividend income $ 16,713 $ 298 $ 180,881 $ 141,005Bank interest 6 0 75 48Other income 0 0 0 272Net realised gain/(loss) on transferable securities and deposits with credit institutions 8,713 (97) 103,263 (62,511)Net realised gain/(loss) on financial derivative instruments 1,947 (15) 44,281 23,485Net realised gain/(loss) on foreign currency 5,649 0 (176,392) 118,524Net change in unrealised appreciation on transferable securities and deposits with

credit institutions 2,873 275 28,752 406,968Net change in unrealised appreciation/(depreciation) on financial derivative instruments 649 (27) (10,042) 27,543Net change in unrealised appreciation/(depreciation) on foreign currency (3,102) (6) 87,033 (110,231)

Total Investment Income 33,448 428 257,851 545,103

Operating ExpensesAdvisory fee 0 0 0 (11,391)Management fee (4,429) (47) (28,908) (4,483)Service fee 0 0 (784) (205)Trail fee 0 0 (105) (16)Administrative fee 0 0 0 (1,469)Custody fee 0 0 0 (389)Audit and Tax fees 0 0 0 (135)Legal fee 0 0 0 (80)Printing expenses 0 0 0 (19)Registration expenses 0 0 0 (110)Other expenses (49) (1) (5) (144)

Total Expenses (4,478) (48) (29,802) (18,441)Reimbursement by Investment Adviser 35 1 0 0Net Operating Expenses (4,443) (47) (29,802) (18,441)

Net Investment Income 29,005 381 228,049 526,662

Finance Costs

Interest expense (8) 0 (162) (47)

Distributions to Redeemable Participating Shareholders (801) 0 (17,250) (13,345)

Net Equalisation Credits and Charges 3,954 0 10,731 0Total Finance Costs 3,145 0 (6,681) (13,392)

Profit for the Period before Tax 32,150 381 221,368 513,270

Withholding taxes on dividends and other investment income (191) (37) 353 (605)Profit for the Period after Tax 31,959 344 221,721 512,665


Increase in Assets Attributable toRedeemable Participating Shareholders $ 31,959 $ 344 $ 221,721 $ 512,665






PIMCO EqS

Pathfinder FundTM

PIMCO EqS

Pathfinder

Europe FundTM EuriborPLUS Fund

Period from20-May-2010 to

31-Dec-2010


31-Dec-2010



$ 1,310 € 1,658 € 7,410 € 4,7812 1 4 700 0 0 0

433 275 617 (2,869)(106) (24) 1,145 38(914) (436) (907) 3,652

9,545 11,783 1,383 11,7927 (31) (432) 1,515

678 (308) (19) (6,643)10,955 12,918 9,201 12,336

0 0 0 (651)(646) (1,199) (2,873) (170)

(7) 0 (29) (2)0 0 0 00 0 0 (139)0 0 0 (59)0 0 0 (17)0 0 0 (6)0 0 0 (2)0 0 0 (24)

(61) (49) 0 (35)(714) (1,248) (2,902) (1,105)

57 45 0 0(657) (1,203) (2,902) (1,105)

10,298 11,715 6,299 11,231

(1) 0 (5) (3)

(93) (16) 0 0

228 458 1,449 0134 442 1,444 (3)

10,432 12,157 7,743 11,228

(135) (109) (118) (23)10,297 12,048 7,625 11,205

$ 0 € 0 € 0 € 0

$ 10,297 € 12,048 € 7,625 € 11,205



Euro

Bond Fund

Euro

Credit Fund





Income

Interest and dividend income € 35,923 € 43,336 € 5,367 € 3,868Bank interest 16 279 2 9Other income 2 0 0 0Net realised gain/(loss) on transferable securities and deposits with credit institutions 8,994 (331,302) 5,365 (1,937)Net realised gain/(loss) on financial derivative instruments 22,233 72,569 1,026 1,235Net realised gain/(loss) on foreign currency 2,634 83,889 (91) 2,255Net change in unrealised appreciation/(depreciation) on transferable securities and deposits with credit

institutions 5,799 417,588 (4,595) 12,750Net change in unrealised appreciation/(depreciation) on financial derivative instruments (6,440) (27,860) 0 (450)Net change in unrealised appreciation/(depreciation) on foreign currency (1,033) (147,995) (273) (3,412)


Operating Expenses

Advisory fee 0 (3,452) 0 (166)Management fee (5,427) (949) (690) (72)Service fee (575) (486) 0 0Trail fee (99) (176) 0 0Administrative fee 0 (825) 0 (74)Custody fee 0 (272) 0 (139)Audit and Tax fees 0 (86) 0 (5)Legal fee 0 (48) 0 (2)Printing expenses 0 0 0 (1)Registration expenses 0 (96) 0 (7)Other expenses (1) (151) (1) (6)

Total Expenses (6,102) (6,541) (691) (472)Reimbursement by Investment Adviser 0 0 0 125Net Operating Expenses (6,102) (6,541) (691) (347)


Finance Costs

Interest expense (29) (59) (5) (21)Distributions to Redeemable Participating Shareholders (3,114) (8,751) 0 (105)Net Equalisation Credits and Charges 17 0 3,362 0

Total Finance Costs (3,126) (8,810) 3,357 (126)


Withholding taxes on dividends and other investment income 143 675 (24) 17Profit for the Period after Tax 59,043 95,828 9,443 13,862


Increase in Assets Attributable toRedeemable Participating Shareholders € 59,043 € 95,828 € 9,443 € 13,862






Euro

Liquidity Fund

Euro Long Average

Duration Fund

Euro Real

Return Fund







€ 195 € 392 € 21,005 € 18,120 € 4,460 € 3,4730 3 8 35 2 23

11 0 3 4 0 03 3 38,195 (12,376) 3,453 2,9520 0 9,408 13,431 1,312 (222)0 0 (2,052) 18,771 (12) 1,568

0 0 (26,629) 20,307 (3,054) 10,4790 0 (2,887) (4,735) (953) 4,1340 0 649 (21,467) 196 (3,731)

209 398 37,700 32,090 5,404 18,676

0 (76) 0 (952) 0 (286)(141) (19) (2,239) (363) (663) (104)

0 0 0 0 0 00 0 0 0 0 00 (31) 0 (263) 0 (84)0 (25) 0 (178) 0 (76)0 (8) 0 (25) 0 (8)0 (16) 0 (18) 0 (3)0 (1) 0 (5) 0 (2)0 (4) 0 (49) 0 (11)0 (74) (1) (20) 0 (2)

(141) (254) (2,240) (1,873) (663) (576)0 132 0 0 0 0

(141) (122) (2,240) (1,873) (663) (576)

68 276 35,460 30,217 4,741 18,100

(2) (14) (26) (81) (2) (9)(35) (145) (147) (77) (82) (107)

0 0 253 0 153 0(37) (159) 80 (158) 69 (116)

31 117 35,540 30,059 4,810 17,984

0 0 151 16 11 6531 117 35,691 30,075 4,821 18,049

€ 0 € 0 € 0 € 0 € 0 € 0

€ 31 € 117 € 35,691 € 30,075 € 4,821 € 18,049



Euro Ultra-Long

Duration Fund

FX Strategies

Fund





Income

Interest and dividend income € 1,892 € 1,247 € 838 € 901Bank interest 2 10 4 8Other income 0 1 0 1Net realised gain/(loss) on transferable securities and deposits with credit institutions 2,310 688 290 (280)Net realised gain/(loss) on financial derivative instruments 5,146 992 3,660 3,564Net realised gain/(loss) on foreign currency (2,084) (392) (5,202) (984)Net change in unrealised appreciation on transferable securities and deposits with

credit institutions 256 1,934 457 271Net change in unrealised appreciation/(depreciation) on financial derivative instruments 2,787 (4,911) 92 19Net change in unrealised appreciation/(depreciation) on foreign currency 304 (933) 406 336

Total Investment Income/(Loss) 10,613 (1,364) 545 3,836

Operating Expenses

Advisory fee 0 (121) 0 (201)Management fee (464) (61) (539) (66)Service fee 0 0 0 0Trail fee 0 0 0 0Administrative fee 0 (42) 0 (40)Custody fee 0 (47) 0 (62)Audit and Tax fees 0 (2) 0 (1)Legal fee 0 (2) 0 0Printing expenses 0 0 0 (1)Registration expenses 0 (5) 0 (3)Other expenses (3) (11) (8) (13)

Total Expenses (467) (291) (547) (387)Reimbursement by Investment Adviser 0 9 4 21Net Operating Expenses (467) (282) (543) (366)

Net Investment Income/(Loss) 10,146 (1,646) 2 3,470

Finance Costs

Interest expense (51) (5) (1) (49)Distributions to Redeemable Participating Shareholders 0 0 0 (4)Net Equalisation Credits and Charges 382 0 (79) 0

Total Finance Costs 331 (5) (80) (53)

Profit/(Loss) for the Period before Tax 10,477 (1,651) 78 3,417

Withholding taxes on dividends and other investment income (25) 3 1 3Profit/(Loss) for the Period after Tax 10,452 (1,648) (77) 3,420


Increase/(Decrease) in Assets Attributable toRedeemable Participating Shareholders € 10,452 € (1,648) € (77) € 3,420






Global

Advantage Fund

Global

Bond Fund

Global Bond

Ex-US Fund







$ 3,110 $ 192 $ 162,832 $ 183,487 $ 20,800 $ 26,6821 0 174 49 25 400 0 8 42 0 0

1,400 185 43,276 75,810 (3,935) 34,595656 40 86,558 (3,308) 8,853 1,924

6,832 71 15,581 166,076 24,989 (48,634)

2,206 320 132,969 300,758 16,742 27,205(394) 1 3,887 79,784 103 13,370(115) (30) 78,704 30,147 (12,759) 36,036

13,696 779 523,989 832,845 54,818 91,218

0 (17) 0 (10,827) 0 (1,651)(1,271) (10) (26,354) (3,827) (3,073) (504)

(25) 0 (1,099) (591) (27) (14)0 0 (352) (1,376) (121) (115)0 (7) 0 (2,461) 0 (481)0 (7) 0 (481) 0 (282)0 (3) 0 (268) 0 (47)0 0 0 (131) 0 (16)0 0 0 (49) 0 (5)0 0 0 (305) 0 0(9) (7) (16) (263) (99) (23)

(1,305) (51) (27,821) (20,579) (3,320) (3,138)3 15 0 0 0 0

(1,302) (36) (27,821) (20,579) (3,320) (3,138)

12,394 743 496,168 812,266 51,498 88,080

(4) 0 (186) (687) (34) (16)(92) (21) (22,245) (34,122) (1,911) (1,986)809 0 13,223 0 (3,962) 0713 (21) (9,208) (34,809) (5,907) (2,002)

13,107 722 486,960 777,457 45,591 86,078

(1) 0 367 1,054 19 13913,106 722 487,327 778,511 45,610 86,217

$ 0 $ 0 $ 0 $ 0 $ 0 $ 0

$ 13,106 $ 722 $ 487,327 $ 778,511 $ 45,610 $ 86,217



Global High Yield

Bond Fund

Global Investment

Grade Credit Fund





Income

Interest and dividend income $ 111,701 $ 58,354 $ 353,465 $ 224,776Bank interest 31 20 555 1,371Other income 1 75 31 23Net realised gain/(loss) on transferable securities and deposits with credit institutions 36,230 3,527 156,313 139,243Net realised gain/(loss) on financial derivative instruments 11,043 1,947 109,920 25,443Net realised gain/(loss) on foreign currency (74,881) 44,685 (410,474) 380,262Net change in unrealised appreciation/(depreciation) on transferable securities and deposits with credit

institutions 33,873 132,502 (19,636) 387,257Net change in unrealised appreciation/(depreciation) on financial derivative instruments 758 8,593 (10,253) 78,166Net change in unrealised appreciation/(depreciation) on foreign currency 16,897 (22,329) 381,552 (263,606)


Operating Expenses

Advisory fee 0 (2,419) 0 (11,901)Management fee (10,102) (1,074) (45,008) (5,465)Service fee 0 0 (4,695) (1,525)Trail fee (244) (12) (983) (309)Administrative fee 0 (531) 0 (2,604)Custody fee 0 (147) 0 (383)Audit and Tax fees 0 (42) 0 (151)Legal fee 0 (20) 0 (141)Printing expenses 0 (8) 0 (42)Registration expenses 0 (61) 0 (373)Other expenses (7) (48) (10) (211)

Total Expenses (10,353) (4,362) (50,696) (23,105)Reimbursement by Investment Adviser 0 1 0 0Net Operating Expenses (10,353) (4,361) (50,696) (23,105)


Finance CostsInterest expense (24) (17) (298) (110)

Distributions to Redeemable Participating Shareholders (20,970) (11,531) (101,117) (51,433)Net Equalisation Credits and Charges 33,275 0 59,898 0

Total Finance Costs 12,281 (11,548) (41,517) (51,543)


Withholding taxes on dividends and other investment income 135 (167) (588) 58Profit for the Period after Tax 137,716 211,298 468,672 898,345









Global Real

Return Fund

High Yield

Bond Fund


Period from15-Apr-2009 to31-Dec-2009





$ 33,076 $ 1,543 $ 44,963 $ 26,732 $ 128,017 $ 75,64853 2 60 68 25 340 0 1 2 0 246

49,051 443 78,797 71,837 25,624 (50,382)91,006 4,773 5,092 5,875 21,209 (9,917)(76,608) 7,044 (56,903) 12,076 (30,231) 30,382

30,180 6,414 (34,568) 64,428 76,678 252,58612,573 971 3,485 6,286 1,662 33,87227,991 (15,279) 32,753 (20,497) 18,273 (11,536)

167,322 5,911 73,680 166,807 241,257 320,933

0 (439) 0 (3,479) 0 (3,153)(13,067) (871) (11,757) (1,325) (10,923) (1,167)

(2) 0 (526) (540) (422) (207)0 0 (479) (151) 0 00 (39) 0 (792) 0 (676)0 (9) 0 (239) 0 (60)0 (4) 0 (65) 0 (57)0 (2) 0 (19) 0 00 0 0 (18) 0 00 (4) 0 (68) 0 (65)

(6) (10) (3) (32) (28) (95)(13,075) (1,378) (12,765) (6,728) (11,373) (5,480)

0 6 0 0 0 0(13,075) (1,372) (12,765) (6,728) (11,373) (5,480)

154,247 4,539 60,915 160,079 229,884 315,453

(80) (1) (97) (81) (20) (107)(21,185) 0 (5,610) (4,084) (14,025) (9,531)29,590 0 9,510 0 45,727 08,325 (1) 3,803 (4,165) 31,682 (9,638)

162,572 4,538 64,718 155,914 261,566 305,815

(253) 0 (104) (16) (123) (92)162,319 4,538 64,614 155,898 261,443 305,723

$ 0 $ 0 $ 0 $ 0 $ 0 $ 0

$ 162,319 $ 4,538 $ 64,614 $ 155,898 $ 261,443 $ 305,723



Low Average

Duration Fund

Mortgage-Backed

Securities Fund


Year Ended31-Dec-

2009



Income

Interest and dividend income $ 49,536 $ 28,473 $ 2,924 $ 6,194Bank interest 33 22 0 4Other income 0 0 0 0Net realised gain on transferable securities and deposits with credit institutions 23,094 5,556 61 9,548Net realised gain/(loss) on financial derivative instruments 14,786 13,319 (89) (1,541)Net realised gain/(loss) on foreign currency (34,313) 6,540 (321) (29)Net change in unrealised appreciation on transferable securities and deposits

with credit institutions 14,836 34,273 5,579 1,202Net change in unrealised appreciation/(depreciation) on financial derivative instruments (6,591) (2,389) 38 3,065Net change in unrealised appreciation/(depreciation) on foreign currency 33,615 (7,477) 89 193


Operating Expenses

Advisory fee 0 (2,839) 0 (410)Management fee (16,794) (1,374) (350) (100)Service fee (378) (153) 0 0Trail fee (497) (108) 0 0Administrative fee 0 (600) 0 (122)Custody fee 0 (104) 0 (71)Audit and Tax fees 0 (43) 0 (16)Legal fee 0 (18) 0 (4)Printing expenses 0 (5) 0 (2)Registration expenses 0 (63) 0 (13)Other expenses (6) (74) (14) (27)

Total Expenses (17,675) (5,381) (364) (765)Reimbursement by Investment Adviser 0 0 10 34Net Operating Expenses (17,675) (5,381) (354) (731)


Finance Costs

Interest expense (47) (53) (5) (34)

Distributions to Redeemable Participating Shareholders (6,329) (5,550) 0 (2)

Net Equalisation Credits and Charges 4,777 0 (509) 0Total Finance Costs (1,599) (5,603) (514) (36)


Withholding taxes on dividends and other investment income 68 (118) 0 0Profit for the Period after Tax 75,790 67,215 7,413 17,869









Emerging Markets

Bond Fund StocksPLUSTM Fund

Total Return

Bond Fund






$ 5,410 $ 3,411 $ 1,916 $ 444,991 $ 252,5540 4 5 336 00 0 2 9 0

1,252 460 569 191,514 179,36226 28,351 20,514 300,907 58,971

(934) (7,905) 1,621 (391,471) 166,553

2,622 1,389 3,689 62,584 194,58179 5,820 4,515 (31,540) 32,486(78) 5,314 (1,788) 321,586 (123,100)

8,377 36,844 31,043 898,916 761,407

0 0 (296) 0 (28,247)(858) (928) (113) (133,799) (12,137)

0 (2) (8) (8,287) (2,375)0 0 0 (3,523) (1,167)0 0 (112) 0 (3,904)0 0 (68) 0 (213)0 0 (1) 0 (284)0 0 0 0 (185)0 0 0 0 (73)0 0 0 0 (483)

(60) (2) (2) (41) (403)(918) (932) (600) (145,650) (49,471)

56 0 49 0 0(862) (932) (551) (145,650) (49,471)

7,515 35,912 30,492 753,266 711,936

(1) (5) (3) (384) (867)

0 (2,569) (1,199) (47,763) (36,188)

0 84 0 78,434 0(1) (2,490) (1,202) 30,287 (37,055)

7,514 33,422 29,290 783,553 674,881

(27) 7 (7) 461 (930)7,487 33,429 29,283 784,014 673,951

$ 0 $ 0 $ 0 $ 0 $ 0

$ 7,487 $ 33,429 $ 29,283 $ 784,014 $ 673,951



UK Corporate

Bond Fund

UK Long Term

Corporate Bond

Fund





Income

Interest and dividend income £ 20,560 £ 12,115 £ 59,436 £ 55,473Bank interest 7 31 20 71Other income 0 0 4 0Net realised gain on transferable securities and deposits with credit institutions 12,622 11,662 65,993 13,892Net realised gain/(loss) on financial derivative instruments 2,881 7,512 19,891 17,366Net realised gain/(loss) on foreign currency 2,307 (1,336) 4,364 (9,219)Net change in unrealised appreciation/(depreciation) on transferable securities and deposits

with credit institutions 1,089 4,945 (17,557) 53,081Net change in unrealised appreciation/(depreciation) on financial derivative instruments 592 (7,191) (2,966) (18,573)Net change in unrealised appreciation/(depreciation) on foreign currency 873 6,754 561 32,254


Operating Expenses

Advisory fee 0 (432) 0 (2,096)Management fee (1,790) (269) (4,951) (811)Administrative fee 0 (148) 0 (560)Custody fee 0 (163) 0 (296)Audit and Tax fees 0 (11) 0 (47)Legal fee 0 (14) 0 (34)Printing expenses 0 (2) 0 (17)Registration expenses 0 (20) 0 (111)Other expenses (1) (17) (2) (73)

Total Expenses (1,791) (1,076) (4,953) (4,045)Reimbursement by Investment Adviser 0 0 0 0Net Operating Expenses (1,791) (1,076) (4,953) (4,045)


Finance Costs

Interest expense (7) (5) (19) (23)Distributions to Redeemable Participating Shareholders 0 0 (10,505) (2,513)Net Equalisation Credits and Charges (377) 0 (12,637) 0

Total Finance Costs (384) (5) (23,161) (2,536)


Withholding taxes on dividends and other investment income 87 (48) 225 118Profit for the Period after Tax 38,843 33,363 101,857 137,882

Adjustment to Revalue Assets on Bid Basis to Dealing NAV £ (320) £ 2,596 £ (3,391) £ 8,562

Increase in Assets Attributable toRedeemable Participating Shareholders £ 38,523 £ 35,959 £ 98,466 £ 146,444






UK Sterling

Inflation-Linked Fund

UK Sterling

Long Average Duration Fund

UK Sterling








£ 3,473 £ 3,552 £ 9,306 £ 18,184 £ 4,313 £ 4,1912 33 4 71 5 240 4 1 0 1 0

4,693 25,791 11,841 51,670 2,575 3,3581,351 (3,344) 3,104 46,236 3,986 6,144

176 (9,072) 3,419 (32,185) 3,496 1,023

3,104 (26,224) 1,174 (103,615) (1,623) (1,334)290 6,982 2,173 (30,061) 485 (3,411)

(315) 14,994 (1,691) 58,815 (860) 3,92612,774 12,716 29,331 9,115 12,378 13,921

0 (323) 0 (1,078) 0 (434)(489) (91) (1,059) (232) (939) (156)

0 (107) 0 (290) 0 (126)0 (196) 0 (251) 0 (105)0 (13) 0 (29) 0 (10)0 (1) 0 (21) 0 (7)0 0 0 (9) 0 (1)0 0 0 (67) 0 (21)0 (1) (2) (72) (5) (52)

(489) (732) (1,061) (2,049) (944) (912)0 65 0 0 0 0

(489) (667) (1,061) (2,049) (944) (912)

12,285 12,049 28,270 7,066 11,434 13,009

(2) (17) (5) (28) (8) (8)(776) (536) (3,625) (3,149) 0 (7)(92) 0 (1,547) 0 (1,510) 0

(870) (553) (5,177) (3,177) (1,518) (15)

11,415 11,496 23,093 3,889 9,916 12,994

0 54 4 181 2 1011,415 11,550 23,097 4,070 9,918 13,004

£ (556) £ 556 £ 0 £ 0 £ 0 £ 0

£ 10,859 £ 12,106 £ 23,097 £ 4,070 £ 9,918 £ 13,004



UK Total Return

Bond Fund

Unconstrained

Bond Fund





Income

Interest and dividend income £ 629 £ 217 $ 43,986 $ 1,698Bank interest 0 0 42 1Other income 0 0 33 0Net realised gain on transferable securities and deposits with credit institutions 279 87 7,850 1,116Net realised gain/(loss) on financial derivative instruments 394 116 (3,313) (92)Net realised gain/(loss) on foreign currency 274 (127) (76,962) 3,143Net change in unrealised appreciation/(depreciation) on transferable securities and deposits with

credit institutions 103 148 (24,037) 513Net change in unrealised appreciation/(depreciation) on financial derivative instruments (94) 22 24,998 355Net change in unrealised appreciation/(depreciation) on foreign currency (58) 53 72,835 (2,737)

Total Investment Income 1,527 516 45,432 3,997

Operating Expenses

Advisory fee 0 (9) 0 (196)Management fee (87) (12) (15,522) (246)Service fee 0 0 0 0Trail fee 0 0 (422) 0Administrative fee 0 (5) 0 (29)Custody fee 0 (3) 0 (19)Audit and Tax fees 0 (2) 0 (6)Legal fee 0 0 0 (2)Printing expenses 0 0 0 (1)Registration expenses 0 (1) 0 (5)Other expenses (6) (5) (9) (19)

Total Expenses (93) (37) (15,953) (523)Reimbursement by Investment Adviser 5 6 0 27Net Operating Expenses (88) (31) (15,953) (496)

Net Investment Income 1,439 485 29,479 3,501

Finance Costs

Interest expense 0 0 (78) 0Distributions to Redeemable Participating Shareholders (34) 0 (3,572) 0Net Equalisation Credits and Charges 10 0 27,972 0

Total Finance Costs (24) 0 24,322 0

Profit/(Loss) for the Period before Tax 1,415 485 53,801 3,501

Withholding taxes on dividends and other investment income 0 (1) (27) (3)Profit/(Loss) for the Period after Tax 1,415 484 53,774 3,498

Adjustment to Revalue Assets on Bid Basis to Dealing NAV £ 0 £ 0 $ 0 $ 0

Increase/(Decrease) in Assets Attributable toRedeemable Participating Shareholders £ 1,415 £ 484 $ 53,774 $ 3,498






US Government

Money Market Fund Company Total





$ 110 $ 149 $ 2,029,269 $ 1,329,6250 0 1,622 2,7150 12 146 8052 10 975,419 81,3820 0 883,732 399,6220 0 (1,299,092) 1,003,492

0 0 413,690 2,449,4930 0 (20,649) 177,5420 0 1,100,337 (581,134)

112 179 4,084,474 4,863,542

0 (60) 0 (95,899)(85) (13) (390,250) (39,178)

0 0 (17,569) (6,331)0 0 (6,474) (3,503)0 (36) 0 (18,768)0 (45) 0 (6,204)0 (3) 0 (1,615)0 0 0 (911)0 0 0 (296)0 (3) 0 (2,250)

(3) (90) (626) (2,390)(88) (250) (414,919) (177,345)

0 16 303 1,435(88) (142) (414,616) (175,910)

24 37 3,669,858 4,687,632

0 0 (1,840) (2,714)(24) (37) (345,800) (209,875)

0 0 365,523 0(24) (37) 17,883 (212,589)

0 0 3,687,741 4,475,043

0 0 (4,171) 4880 0 3,683,570 4,475,531

$ 0 $ 0 $ (6,597) $ 18,356

$ 0 $ 0 $ 3,676,973 $ 4,493,887


Statements of Changes in Net Assets

CommoditiesPLUSTM

Strategy Fund

Developing Local

Markets Fund

Diversified

Income Fund







Net Assets at the Beginning of the Period $ 51,382 $ 14,999 $ 135,072 $ 64,995 $ 664,902 $ 402,387

Proceeds from shares issued and offsets 179,722 41,346 714,558 117,711 1,873,787 368,147

Proceeds from reinvestment of distributions 120 94 45 24 9,999 7,031

Payments on shares redeemed (68,910) (13,568) (142,727) (54,794) (544,639) (254,482)

Notional exchange rate adjustment 0 0 0 0 0 0

Increase in net assets attributable toredeemable participating shareholders 36,564 8,511 27,312 7,136 85,219 141,819

Closing Value at the End of the Period $ 198,878 $ 51,382 $ 734,260 $ 135,072 $ 2,089,268 $ 664,902

PIMCO EqS

Pathfinder FundTM

PIMCO EqS

Pathfinder

Europe FundTM EuriborPLUS Fund

Euro

Bond Fund


31-Dec-2010


31-Dec-2010





Net Assets at the Beginning of the Period $ 0 € 0 € 150,540 € 202,764 € 1,041,645 € 1,534,032

Proceeds from shares issued and offsets 225,151 265,657 648,976 88,468 345,467 383,235

Proceeds from reinvestment of distributions 93 15 0 0 462 654




Closing Value at the End of the Period $ 228,146 € 265,717 € 485,328 € 150,540 € 960,415 € 1,041,645

Euro Ultra-Long

Duration Fund

FX Strategies

Fund

Global Advantage

Fund






Period from9-June-2009 to

31-Dec-2009

Net Assets at the Beginning of the Period € 76,641 € 31,282 € 60,449 € 46,227 $ 27,432 $ 0

Proceeds from shares issued and offsets 55,015 49,708 44,515 24,771 226,451 27,125

Proceeds from reinvestment of distributions 0 0 0 4 90 20

Payments on shares redeemed (17,920) (2,701) (41,249) (13,973) (38,482) (435)


Increase/(Decrease) in net assets attributable toredeemable participating shareholders 10,452 (1,648) (77) 3,420 13,106 722

Closing Value at the End of the Period € 124,188 € 76,641 € 63,638 € 60,449 $ 228,597 $ 27,432



Emerging Asia

Bond Fund

Emerging Local

Bond Fund



Emerging Markets

Bond Fund





Period from12-Nov-2009 to

31-Dec-2009



$ 0 $ 230,182 $ 133,860 $ 43,045 $ 0 $ 3,157,652 $ 1,536,574

14,408 3,170,390 103,437 423,130 42,701 2,727,526 2,137,537

124 7,528 6,051 801 0 2,364 1,331

(150) (775,162) (37,069) (21,875) 0 (2,636,408) (1,030,455)

0 0 0 0 0 0 0

568 192,449 23,903 31,959 344 221,721 512,665

$ 14,950 $ 2,825,387 $ 230,182 $ 477,060 $ 43,045 $ 3,472,855 $ 3,157,652

Euro

Credit Fund

Euro

Liquidity Fund

Euro Long Average

Duration Fund

Euro Real

Return Fund









€ 94,645 € 47,222 € 32,314 € 50,107 € 461,056 € 376,491 € 131,189 € 109,438

191,326 64,204 140,192 73,302 177,322 58,818 31,720 15,716

0 105 33 212 147 77 81 108

(31,790) (30,748) (126,826) (91,424) (201,673) (4,405) (17,365) (12,122)

0 0 0 0 0 0 0 0

9,443 13,862 31 117 35,691 30,075 4,821 18,049

€ 263,624 € 94,645 € 45,744 € 32,314 € 472,543 € 461,056 € 150,446 € 131,189

Global

Bond Fund

Global Bond

Ex-US Fund

Global High Yield

Bond Fund

Global Investment Grade

Credit Fund









$ 4,217,871 $ 3,550,297 $ 607,583 $ 580,168 $ 1,010,409 $ 403,627 $ 5,453,424 $ 1,590,120

2,695,790 1,492,941 153,320 161,215 2,365,515 891,176 6,597,083 5,118,925

16,071 17,305 1,791 1,848 5,445 4,742 21,964 17,836

(1,888,597) (1,621,183) (316,258) (221,865) (1,276,233) (500,434) (2,833,877) (2,171,802)

0 0 0 0 0 0 0 0

487,327 778,511 45,610 86,217 137,716 211,298 468,672 898,345

$ 5,528,462 $ 4,217,871 $ 492,046 $ 607,583 $ 2,242,852 $ 1,010,409 $ 9,707,266 $ 5,453,424


Statements of Changes in Net Assets (Cont.)


Global Real

Return Fund

High Yield

Bond Fund







Net Assets at the Beginning of the Period $ 381,914 $ 0 $ 1,146,174 $ 727,477 $ 1,091,474 $ 542,380

Proceeds from shares issued and offsets 1,672,160 391,934 1,568,394 864,335 2,126,023 667,629

Proceeds from reinvestment of distributions 18,239 0 1,694 844 5,306 2,078




Closing Value at the End of the Period $ 2,114,491 $ 381,914 $ 2,137,860 $ 1,146,174 $ 2,601,664 $ 1,091,474

Total Return

Bond Fund

UK Corporate

Bond Fund

UK Long Term

Corporate Bond Fund







Net Assets at the Beginning of the Period $ 9,822,855 $ 3,844,104 £ 382,866 £ 131,791 £ 1,045,888 £ 779,850

Proceeds from shares issued and offsets 18,332,617 8,054,483 8,722 266,316 26,718 324,047

Proceeds from reinvestment of distributions 20,473 19,003 0 0 920 297

Payments on shares redeemed (7,891,892) (2,768,686) (38,433) (51,200) (324,773) (204,750)



Closing Value at the End of the Period $ 21,068,067 $ 9,822,855 £ 391,678 £ 382,866 £ 847,219 £ 1,045,888

Unconstrained

Bond Fund

US Government

Money Market Fund Company Total







Net Assets at the Beginning of the Period $ 254,699 $ 3,027 $ 43,857 $ 45,300 $ 36,223,892 $ 19,891,847

Proceeds from shares issued and offsets 3,716,003 286,949 49,144 51,627 50,244,882 24,814,542

Proceeds from reinvestment of distributions 1,759 0 19 61 126,447 90,503

Payments on shares redeemed (615,078) (38,775) (46,159) (53,131) (24,713,759) (13,453,118)

Notional exchange rate adjustment 0 0 0 0 (96,238) 386,231

Increase in net assets attributable toredeemable participating shareholders 53,774 3,498 0 0 3,676,973 4,493,887

Closing Value at the End of the Period $ 3,411,157 $ 254,699 $ 46,861 $ 43,857 $ 65,462,197 $ 36,223,892



Low Average

Duration Fund

Mortgage-Backed

Securities Fund


Emerging Markets

Bond Fund StocksPLUSTM Fund








$ 1,594,974 $ 305,799 $ 118,266 $ 110,766 $ 0 $ 173,626 $ 59,738

2,557,427 1,559,754 17,736 87,750 131,524 166,686 157,188

3,289 4,211 0 1 0 1,398 1,038

(1,113,047) (342,005) (82,360) (98,120) 0 (122,131) (73,621)

0 0 0 0 0 0 0

75,790 67,215 7,413 17,869 7,487 33,429 29,283

$ 3,118,433 $ 1,594,974 $ 61,055 $ 118,266 $ 139,011 $ 253,008 $ 173,626

UK Sterling

Inflation-Linked Fund

UK Sterling

Long Average

Duration Fund

UK Sterling

Low Average

Duration Fund

UK Total Return

Bond Fund









£ 112,061 £ 193,673 £ 250,560 £ 538,482 £ 203,183 £ 63,723 £ 15,987 £ 0

10,807 41,287 15,377 27,433 41,342 142,882 3,828 16,403

108 127 3,394 2,969 0 0 13 0

(33,990) (135,132) (94,857) (322,394) (138,657) (16,426) (2,823) (900)

0 0 0 0 0 0 0 0

10,859 12,106 23,097 4,070 9,918 13,004 1,415 484

£ 99,845 £ 112,061 £ 197,571 £ 250,560 £ 115,786 £ 203,183 £ 18,420 £ 15,987


Portfolio of Investments and Assets CommoditiesPLUSTM Strategy Fund

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

TRANSFERABLE SECURITIES & MONEY MARKETINSTRUMENTS - OFFICIAL STOCK EXCHANGE/REGULATED MARKET

BERMUDA

Qtel International Finance Ltd.5.000% due 10/19/2025 $ 500 $ 455 0.23

BRAZIL

Banco do Brasil S.A.6.000% due 01/22/2020 300 326 0.16Brazil Notas do Tesouro Nacional Series F10.000% due 01/01/2017 BRL 3,400 1,878 0.95CSN Resources S.A.6.500% due 07/21/2020 $ 100 106 0.05

2,310 1.16

CANADA

Canadian Imperial Bank of Commerce2.000% due 02/04/2013 500 509 0.26Column Canada Issuer Corp.5.147% due 05/12/2034 CAD 24 24 0.01Glacier Credit Card Trust5.027% due 02/20/2013 100 106 0.05Kinder Morgan Finance Co. ULC5.350% due 01/05/2011 $ 100 100 0.055.700% due 01/05/2016 2,500 2,544 1.28

3,283 1.65

CAYMAN ISLANDS

American Money Management Corp.0.539% due 08/08/2017 700 662 0.33Atrium CDO Corp.0.718% due 06/27/2015 423 402 0.20Hutchison Whampoa International Ltd.6.500% due 02/13/2013 300 328 0.17IPIC GMTN Ltd.5.000% due 11/15/2020 600 591 0.30Landmark CDO Ltd.0.596% due 06/01/2017 493 462 0.23

2,445 1.23

CHILE

Banco Santander Chile3.750% due 09/22/2015 200 200 0.10

FRANCE

BNP Paribas5.186% due 06/29/2049 50 46 0.02BNP Paribas Home Loan Covered Bonds S.A.4.750% due 05/28/2013 € 100 143 0.07Dexia Credit Local S.A.0.768% due 04/29/2014 $ 800 797 0.40Vivendi S.A.5.750% due 04/04/2013 100 108 0.06

1,094 0.55

GERMANY

Hella KGaA Hueck & Co.7.250% due 10/20/2014 € 700 1,025 0.51Republic of Germany4.250% due 07/04/2018 400 594 0.30

1,619 0.81

IRELAND

Depfa ACS Bank3.250% due 02/15/2012 1,100 1,465 0.74

SHARES

PIMCO US Dollar Short-TermFloating NAV Fund (a) 551 5 0.00

1,470 0.74

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

ITALY

Asset-Backed European SecuritisationTransaction Srl

1.711% due 09/21/2020 € 619 $ 831 0.42Intesa Sanpaolo SpA0.789% due 01/19/2012 $ 200 198 0.10

1,029 0.52

JAPAN

Japan Treasury Bills0.120% due 01/20/2011 JPY 100,000 1,233 0.620.121% due 01/12/2011 650,000 8,014 4.03

9,247 4.65

LUXEMBOURG

Volkswagen Car Lease1.491% due 06/21/2016 € 713 955 0.48

MEXICO

America Movil SAB de C.V.3.625% due 03/30/2015 $ 200 207 0.11Banco Mercantil del Norte S.A.4.375% due 07/19/2015 300 306 0.15

513 0.26

NETHERLANDS

Cooperatieve Centrale Raiffeisen-Boerenleenbank BA6.875% due 03/19/2020 € 200 255 0.13Deutsche Telekom International Finance BV5.375% due 03/23/2011 $ 200 202 0.10

457 0.23

NORWAY

Kommunalbanken AS0.433% due 03/04/2013 1,500 1,506 0.76Norway Government Bond6.500% due 05/15/2013 NOK 3,123 586 0.29

2,092 1.05

QATAR

Qatar Government International Bond4.000% due 01/20/2015 $ 1,100 1,144 0.585.250% due 01/20/2020 300 318 0.16Qatari Diar Finance QSC5.000% due 07/21/2020 800 798 0.40

2,260 1.14

RUSSIA

Gazprom Via Gaz Capital S.A.7.343% due 04/11/2013 100 109 0.058.125% due 07/31/2014 1,000 1,129 0.57

1,238 0.62

SOUTH KOREA

Export-Import Bank of Korea5.125% due 06/29/2020 200 207 0.10

SPAIN

Santander U.S. Debt S.A. Unipersonal1.103% due 03/30/2012 400 395 0.20

SWITZERLAND

UBS AG0.439% due 04/18/2016 500 492 0.255.875% due 12/20/2017 2,800 3,084 1.55

3,576 1.80

UNITED ARAB EMIRATES

Abu Dhabi Government International Bond6.750% due 04/08/2019 200 233 0.12

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

UNITED KINGDOM

Barclays Bank PLC10.179% due 06/12/2021 $ 80 $ 100 0.05BP Capital Markets PLC0.442% due 04/11/2011 100 100 0.05FCE Bank PLC7.875% due 02/15/2011 £ 600 946 0.48HBOS PLC6.750% due 05/21/2018 $ 100 94 0.05LBG Capital No.1 PLC8.000% due 12/29/2049 200 176 0.09LBG Capital No.2 PLC9.125% due 07/15/2020 £ 700 1,014 0.51Lloyds TSB Bank PLC12.000% due 12/29/2049 $ 100 109 0.05Standard Chartered PLC3.625% due 12/15/2015 € 300 409 0.20

2,948 1.48

UNITED STATES

ASSET-BACKED SECURITIES

Accredited Mortgage Loan Trust0.311% due 02/25/2037 $ 2 1 0.00Amortizing Residential Collateral Trust0.961% due 10/25/2031 87 78 0.04Asset-Backed Funding Certificates0.611% due 06/25/2034 74 61 0.03Bear Stearns Asset-Backed Securities Trust0.311% due 11/25/2036 285 274 0.14Carrington Mortgage Loan Trust0.311% due 12/25/2036 30 27 0.010.361% due 05/25/2036 157 151 0.08Citigroup Mortgage Loan Trust, Inc.0.321% due 05/25/2037 25 24 0.010.321% due 07/25/2045 41 34 0.02Countrywide Asset-Backed Certificates0.311% due 07/25/2037 133 129 0.060.341% due 10/25/2047 152 150 0.080.371% due 10/25/2046 66 65 0.030.741% due 12/25/2031 106 56 0.03Denver Arena Trust6.940% due 11/15/2019 200 188 0.09First Franklin Mortgage Loan

Asset-Backed Certificates0.311% due 11/25/2036 7 6 0.00First NLC Trust0.331% due 08/25/2037 314 215 0.11Fremont Home Loan Trust0.371% due 02/25/2036 13 13 0.01HSI Asset Securitization Corp. Trust0.311% due 10/25/2036 12 9 0.000.311% due 12/25/2036 17 16 0.010.321% due 05/25/2037 14 14 0.01JPMorgan Mortgage Acquisition Corp.0.321% due 03/25/2047 30 24 0.01Mid-State Trust5.787% due 10/15/2040 268 253 0.13Morgan Stanley ABS Capital I0.311% due 07/25/2036 8 3 0.000.321% due 05/25/2037 237 206 0.110.371% due 10/25/2036 100 86 0.04Morgan Stanley Mortgage Loan Trust0.331% due 01/25/2047 11 10 0.01Nationstar Home Equity Loan Trust0.321% due 06/25/2037 99 97 0.05Renaissance Home Equity Loan Trust0.861% due 11/25/2034 507 427 0.21Securitized Asset-Backed Receivables LLC Trust0.391% due 05/25/2037 32 25 0.01SLM Student Loan Trust0.368% due 04/26/2021 168 168 0.08Structured Asset Securities Corp.0.311% due 10/25/2036 72 71 0.04

2,881 1.45


31 December 2010

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

CORPORATE BONDS & NOTES

American Express Bank FSB0.391% due 05/29/2012 $ 100 $ 100 0.05American Express Credit Corp.0.381% due 02/24/2012 100 100 0.05American International Group, Inc.8.000% due 05/22/2038 € 200 260 0.138.175% due 05/15/2058 $ 100 107 0.05Cellco Partnership2.884% due 05/20/2011 100 101 0.053.750% due 05/20/2011 200 202 0.10CIT Group, Inc.7.000% due 05/01/2013 500 511 0.267.000% due 05/01/2014 100 101 0.05Citigroup Capital XXI8.300% due 12/21/2057 200 209 0.11Citigroup, Inc.2.286% due 08/13/2013 400 407 0.218.500% due 05/22/2019 1,200 1,492 0.75Continental Airlines, Inc.6.750% due 09/15/2015 100 103 0.05DR Horton, Inc.5.625% due 09/15/2014 2,700 2,767 1.39El Paso Pipeline Partners Operating Co. LLC6.500% due 04/01/2020 100 105 0.05Ford Motor Credit Co. LLC8.000% due 06/01/2014 100 110 0.058.700% due 10/01/2014 400 451 0.23General Electric Capital Corp.1.184% due 05/22/2013 100 100 0.05Goldman Sachs Group, Inc.1.393% due 01/30/2017 € 500 616 0.313.700% due 08/01/2015 $ 300 306 0.155.150% due 01/15/2014 100 108 0.06HCA, Inc.9.625% due 11/15/2016 (b) 1,200 1,288 0.65Hewlett-Packard Co.1.342% due 05/27/2011 100 100 0.05HSBC Finance Corp.6.676% due 01/15/2021 300 304 0.15International Lease Finance Corp.5.450% due 03/24/2011 400 403 0.205.550% due 09/05/2012 900 915 0.466.750% due 09/01/2016 300 322 0.167.125% due 09/01/2018 200 213 0.11Ipalco Enterprises, Inc.8.625% due 11/14/2011 800 834 0.42Lehman Brothers Holdings, Inc. (c)5.625% due 01/24/2013 100 25 0.017.875% due 05/08/2018 £ 100 38 0.02Limited Brands, Inc.6.900% due 07/15/2017 $ 800 854 0.43SLM Corp.0.518% due 10/25/2011 100 99 0.05Sprint Capital Corp.7.625% due 01/30/2011 800 803 0.40Starwood Hotels & Resorts Worldwide, Inc.7.875% due 05/01/2012 1,000 1,070 0.54Tennessee Gas Pipeline Co.8.000% due 02/01/2016 500 583 0.29Viacom, Inc.6.250% due 04/30/2016 500 570 0.29Wachovia Corp.0.659% due 10/15/2016 1,200 1,124 0.57Whirlpool Corp.6.500% due 06/15/2016 500 552 0.28

18,353 9.23

MORTGAGE-BACKED SECURITIES

American Home Mortgage Assets0.451% due 05/25/2046 45 26 0.010.471% due 10/25/2046 60 33 0.011.028% due 02/25/2047 68 34 0.021.248% due 11/25/2046 67 34 0.02

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

American Home Mortgage Investment Trust1.957% due 09/25/2045 $ 35 $ 31 0.012.264% due 10/25/2034 58 51 0.03Banc of America Commercial Mortgage, Inc.5.414% due 09/10/2047 300 314 0.16Banc of America Funding Corp.4.945% due 09/20/2034 595 602 0.30Banc of America Large Loan, Inc.5.768% due 12/24/2049 700 741 0.37Banc of America Mortgage Securities, Inc.5.356% due 02/25/2036 46 37 0.02Bear Stearns Adjustable Rate Mortgage Trust2.730% due 03/25/2035 773 738 0.373.098% due 09/25/2034 617 527 0.263.200% due 02/25/2034 111 99 0.053.609% due 11/25/2034 93 92 0.054.944% due 01/25/2035 39 36 0.025.326% due 05/25/2047 69 53 0.03Bear Stearns Alternative-A Trust2.786% due 10/25/2033 165 138 0.072.956% due 11/25/2035 41 24 0.016.046% due 08/25/2036 55 36 0.02Bear Stearns Mortgage Funding Trust0.331% due 02/25/2037 12 12 0.01Chase Mortgage Finance Corp.5.373% due 03/25/2037 51 43 0.02Citigroup Commercial Mortgage Trust5.251% due 04/15/2040 81 85 0.04Citigroup Mortgage Loan Trust, Inc.2.210% due 08/25/2035 47 45 0.02Countrywide Alternative Loan Trust0.451% due 09/25/2046 74 45 0.020.456% due 12/20/2046 68 36 0.020.471% due 05/25/2035 400 267 0.130.471% due 05/20/2046 1,722 970 0.490.471% due 07/20/2046 60 28 0.010.471% due 07/25/2046 50 30 0.020.541% due 02/25/2037 124 73 0.040.591% due 11/20/2035 47 29 0.021.328% due 12/25/2035 30 20 0.015.724% due 02/25/2037 62 46 0.02Countrywide Home Loan Mortgage

Pass-Through Trust0.491% due 05/25/2035 467 319 0.160.551% due 04/25/2035 445 304 0.150.581% due 03/25/2035 487 312 0.160.641% due 09/25/2034 10 6 0.002.984% due 08/25/2034 781 611 0.315.837% due 09/25/2047 64 48 0.027.500% due 06/25/2035 991 784 0.40Deutsche Alternative-A Securities, Inc.0.351% due 08/25/2037 3 3 0.00First Horizon Asset Securities, Inc.2.924% due 08/25/2035 252 206 0.10First Republic Mortgage Loan Trust0.610% due 11/15/2031 16 15 0.01GMAC Mortgage Corp. Loan Trust4.422% due 06/25/2034 39 37 0.02Greenpoint Mortgage Funding Trust0.481% due 06/25/2045 405 273 0.14GS Mortgage Securities Corp. II6.751% due 08/15/2018 700 710 0.36GSR Mortgage Loan Trust2.825% due 09/25/2035 44 42 0.02Harborview Mortgage Loan Trust0.481% due 05/19/2035 428 281 0.14JPMorgan Chase Commercial Mortgage

Securities Corp.5.161% due 10/12/2037 100 105 0.05Mellon Residential Funding Corp.0.700% due 12/15/2030 12 11 0.01Morgan Stanley Reremic Trust5.807% due 08/12/2045 800 857 0.43Nomura Asset Acceptance Corp.2.730% due 10/25/2035 393 301 0.15Regal Trust IV3.163% due 09/29/2031 596 565 0.28

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Residential Accredit Loans, Inc.0.441% due 06/25/2046 $ 115 $ 48 0.02RiverView HECM Trust0.321% due 07/25/2047 1,533 1,453 0.73Sequoia Mortgage Trust0.611% due 10/19/2026 64 56 0.032.823% due 04/20/2035 574 539 0.27Structured Asset Mortgage Investments, Inc.0.471% due 04/25/2036 38 22 0.010.471% due 05/25/2046 26 15 0.010.491% due 05/25/2045 26 17 0.010.591% due 10/19/2034 65 60 0.030.611% due 03/19/2034 75 68 0.030.841% due 07/19/2034 19 17 0.01Structured Asset Securities Corp.2.308% due 07/25/2032 41 31 0.01WaMu Mortgage Pass-Through Certificates0.521% due 11/25/2045 760 644 0.320.571% due 01/25/2045 116 100 0.050.581% due 08/25/2045 1,552 1,324 0.671.328% due 08/25/2046 51 34 0.021.728% due 06/25/2042 10 8 0.00Wells Fargo Mortgage-Backed Securities Trust2.848% due 03/25/2035 498 461 0.232.856% due 12/25/2034 62 60 0.036.000% due 07/25/2037 617 577 0.29

16,699 8.38

MUNICIPAL BONDS & NOTES

California, General Obligation Bonds, Series 20097.300% due 10/01/2039 500 504 0.267.500% due 04/01/2034 100 104 0.05Irvine, California, Irvine Ranch Water District Joint

Powers Agency Revenue Bonds, Series 20102.605% due 03/15/2014 800 815 0.41South Carolina Student Loan Corp. Education Revenue

Bonds, Series 20100.000% due 01/25/2021 700 699 0.35

2,122 1.07

REPURCHASE AGREEMENTS

Credit Suisse First Boston0.230% due 01/03/2011

(Dated 12/31/2010.Collateralised by US TreasuryNotes 1.000% due09/30/2011 valued at$20,045. Repurchaseproceeds are $19,600.) 19,600 19,600 9.86

Deutsche Bank Securities, Inc.0.200% due 01/03/2011

(Dated 12/31/2010.Collateralised by US TreasuryBonds 6.750% due08/15/2026 valued at$20,056. Repurchaseproceeds are $19,600.) 19,600 19,600 9.85

JPMorgan Chase & Co.0.200% due 01/03/2011


50,100 25.19

US GOVERNMENT AGENCIES

Fannie Mae0.461% due 10/27/2037 1,500 1,498 0.750.741% due 11/25/2040 3,819 3,823 1.920.761% due 07/25/2034 66 65 0.030.831% due 09/25/2036 215 217 0.113.500% due 01/01/2041 26,000 24,838 12.494.000% due 07/01/2040 -

01/01/2041 17,000 16,935 8.524.500% due 11/01/2039 6,643 6,828 3.43


Portfolio of Investments and Assets CommoditiesPLUSTM Strategy Fund (Cont.)

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

5.000% due 01/25/2017 -03/25/2017 $ 106 $ 107 0.06

6.000% due 02/25/2044 26 29 0.016.500% due 06/25/2028 49 55 0.03Freddie Mac0.541% due 09/25/2031 57 54 0.030.710% due 12/15/2031 8 8 0.000.760% due 04/15/2028 65 65 0.030.910% due 03/15/2032 792 798 0.400.913% due 03/15/2024 58 58 0.032.533% due 01/01/2034 16 17 0.014.500% due 10/15/2019 196 198 0.105.000% due 01/15/2018 -

08/01/2035 2,180 2,284 1.166.000% due 04/15/2036 26 29 0.01

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Ginnie Mae0.511% due 02/20/2035 $ 355 $ 356 0.180.751% due 02/20/2038 343 346 0.180.803% due 03/20/2060 99 96 0.056.000% due 12/16/2029 -

09/15/2039 596 665 0.33Small Business Administration5.902% due 02/10/2018 227 253 0.13

59,622 29.99

US TREASURY OBLIGATIONS

Treasury Inflation Protected Securities (d)2.375% due 04/15/2011 331 334 0.173.375% due 01/15/2012 246 257 0.13

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

US Treasury Bills0.190% due 06/16/2011 $ 17,200 $ 17,187 8.64US Treasury Notes2.750% due 02/15/2019 700 691 0.353.125% due 05/15/2019 1,400 1,415 0.713.625% due 08/15/2019 1,800 1,881 0.94

21,765 10.94

Total United States 171,542 86.25

Total Transferable Securities &Money Market Instruments -Official Stock Exchange/RegulatedMarket $ 209,568 105.37

FINANCIAL DERIVATIVE INSTRUMENTS DEALT IN ON A REGULATED MARKET (amounts in thousands*, except number of contracts)* A zero balance may reflect actual amounts rounding to less than one thousand.

WRITTEN OPTIONS

DescriptionExercise

PriceExpirationDate

# ofContracts Premiums

FairValue

% ofNet Assets

Call - CBOT US Treasury 10-Year Note February Futures $ 123.000 01/21/2011 64 $ (18) $ (10) 0.00Put - CBOT US Treasury 10-Year Note February Futures 118.000 01/21/2011 64 (38) (16) (0.01)

$ (56) $ (26) (0.01)Total Financial Derivative Instruments Dealt in on a Regulated Market $ (26) (0.01)

OTC FINANCIAL DERIVATIVE INSTRUMENTS (amounts in thousands*)* A zero balance may reflect actual amounts rounding to less than one thousand.

WRITTEN OPTIONS

Description Counterparty Floating Rate IndexPay/ReceiveFloating Rate

ExerciseRate

ExpirationDate

NotionalAmount Premiums

FairValue

% ofNet Assets

INTEREST RATE SWAPTIONS

Put - OTC 2-Year Interest Rate Swap RBS 3-Month USD-LIBOR Pay 2.250% 09/24/2012 $ 9,500 $ (65) $ (129) (0.06)

CREDIT DEFAULT SWAPS ON CORPORATE, SOVEREIGN AND US MUNICIPAL ISSUES - BUY PROTECTION(1)

Reference EntityFixed Deal(Pay) Rate Maturity Date Counterparty

NotionalAmount(3)

FairValue

UpfrontPremiums

Paid/(Received)

UnrealisedAppreciation/(Depreciation)

% ofNet Assets

DR Horton, Inc. (1.000%) 09/20/2014 DUB $ 2,700 $ 97 $ 149 $ (52) 0.05International Lease Finance Corp. (5.000%) 09/20/2012 BCLY 900 (52) 73 (125) (0.03)Kinder Morgan Finance Co. ULC (1.000%) 03/20/2016 DUB 2,500 92 76 16 0.05Limited Brands, Inc. (1.000%) 09/20/2017 DUB 800 34 42 (8) 0.02Starwood Hotels & Resorts Worldwide, Inc. (1.000%) 06/20/2012 DUB 1,100 (9) (1) (8) (0.01)UBS AG (1.000%) 12/20/2017 DUB 2,300 7 11 (4) 0.00UBS AG (1.000%) 12/20/2017 GSC 500 2 4 (2) 0.00Viacom, Inc. (1.340%) 06/20/2016 DUB 500 (17) 0 (17) (0.01)Wells Fargo & Co. (0.255%) 12/20/2016 BOA 1,200 74 87 (13) 0.04Whirlpool Corp. (1.090%) 06/20/2016 MSC 500 15 0 15 0.01

$ 243 $ 441 $ (198) 0.12

CREDIT DEFAULT SWAPS ON CORPORATE, SOVEREIGN AND US MUNICIPAL ISSUES - SELL PROTECTION(2)

Reference EntityFixed Deal

Receive Rate Maturity Date CounterpartyNotionalAmount(3)

FairValue

UpfrontPremiums

Paid/(Received)


% ofNet Assets

Australia Government Bond 1.000% 03/20/2015 DUB $ 100 $ 2 $ 1 $ 1 0.00BP Capital Markets America, Inc. 5.000% 06/20/2015 GSC 100 18 (3) 21 0.01Export-Import Bank of Korea 1.000% 09/20/2011 HSBC 1,100 3 1 2 0.00Japan Government International Bond 1.000% 03/20/2016 BOA 100 2 2 0 0.00Japan Government International Bond 1.000% 03/20/2015 GSC 200 4 2 2 0.00Royal Bank of Scotland PLC 1.650% 03/20/2013 BCLY € 100 0 0 0 0.00

$ 29 $ 3 $ 26 0.01

CREDIT DEFAULT SWAPS ON CREDIT INDICES - BUY PROTECTION(1)

Index/TranchesFixed Deal(Pay) Rate Maturity Date Counterparty

NotionalAmount(3)

FairValue

UpfrontPremiums

Paid/(Received)


% ofNet Assets

Dow Jones CDX N.A. IG9 Index (0.800%) 12/20/2017 DUB $ 97 $ 2 $ 3 $ (1) 0.00Dow Jones CDX N.A. IG9 Index (0.600%) 12/20/2012 MSC 290 1 (1) 2 0.00Dow Jones CDX N.A. IG10 Index (1.550%) 06/20/2013 GSC 290 (6) (6) 0 0.00


31 December 2010


NotionalAmount(3)

FairValue

UpfrontPremiums

Paid/(Received)


% ofNet Assets

Dow Jones CDX N.A. IG10 Index (1.500%) 06/20/2018 GSC $ 97 $ (2) $ (3) $ 1 0.00Dow Jones CDX N.A. IG10 Index (1.550%) 06/20/2013 MSC 290 (5) (5) 0 0.00Dow Jones CDX N.A. IG10 Index (1.500%) 06/20/2018 MSC 678 (14) (10) (4) (0.01)Dow Jones CDX N.A. IG13 Index (1.000%) 12/20/2014 DUB 1,000 (12) (2) (10) (0.01)Dow Jones CDX N.A. IG14 Index (1.000%) 06/20/2015 BOA 200 (2) (1) (1) 0.00Dow Jones CDX N.A. IG14 Index (1.000%) 06/20/2015 CSFB 1,700 (16) (7) (9) (0.01)Dow Jones CDX N.A. IG14 Index (1.000%) 06/20/2015 MSC 4,100 (39) (18) (21) (0.02)

$ (93) $ (50) $ (43) (0.05)

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

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

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

INTEREST RATE SWAPS

Pay/ReceiveFloatingRate Floating Rate Index Fixed Rate Maturity Date Counterparty

NotionalAmount

FairValue

UpfrontPremiums

Paid/(Received)


% ofNet Assets

Receive 3-Month USD-LIBOR 4.000% 06/16/2015 MSC $ 8,800 $ (794) $ (362) $ (432) (0.40)Receive 3-Month USD-LIBOR 1.450% 11/02/2015 MSC 600 17 0 17 0.01Receive 3-Month USD-LIBOR 5.000% 12/17/2018 MSC 1,500 (216) (19) (197) (0.11)Receive 3-Month USD-LIBOR 4.000% 06/17/2019 RBS 100 (7) 2 (9) 0.00Receive 3-Month USD-LIBOR 2.750% 12/15/2020 BCLY 4,000 214 8 206 0.11Receive 3-Month USD-LIBOR 3.000% 06/17/2029 BCLY 700 92 23 69 0.04Receive 3-Month USD-LIBOR 3.000% 06/17/2029 CITI 200 26 6 20 0.01Pay BRL-CDI-Compounded 11.360% 01/02/2012 HSBC BRL 5,000 40 20 20 0.02

$ (628) $ (322) $ (306) (0.32)

TOTAL RETURN SWAPS ON COMMODITIES

Pay/ReceiveCommodity Exchange Reference Entity (Pay)/Receive Fixed Price Per Unit Maturity Date Counterparty

# ofUnits

FairValue

UpfrontPremiums

Paid/(Received)Unrealised

Appreciation% of

Net Assets

Receive Dow Jones - UBS Commodity IndexTotal Return Index

3-Month US Treasury Bills rate plusa specified spread 01/27/2011 BCLY 46,680 $ 512 $ 0 $ 512 0.26


3-Month US Treasury Bills rate plusa specified spread 01/27/2011 CSFB 16,300 176 0 176 0.09


3-Month US Treasury Bills rate plusa specified spread 01/27/2011 DUB 19,870 215 0 215 0.11


3-Month US Treasury Bills rate plusa specified spread 01/27/2011 GSC 13,930 151 0 151 0.08


3-Month US Treasury Bills rate plusa specified spread 01/27/2011 JPM 22,220 244 0 244 0.12


3-Month US Treasury Bills rate plusa specified spread 01/27/2011 MSC 56,310 608 0 608 0.31


3-Month US Treasury Bills rate plusa specified spread 01/27/2011 UBS 21,270 230 0 230 0.11

$ 2,136 $ 0 $ 2,136 1.08

FOREIGN CURRENCY CONTRACTS

Type Currency

Principal AmountCovered by

Contract CounterpartySettlement

MonthUnrealised

AppreciationUnrealised

(Depreciation)

Net UnrealisedAppreciation/(Depreciation)

% ofNet Assets

Buy AUD 70 CITI 01/2011 $ 4 $ 0 $ 4 0.00Buy 769 RBS 01/2011 54 0 54 0.03Buy BRL 139 JPM 02/2011 3 0 3 0.00Sell 1,179 RBC 02/2011 0 (21) (21) (0.01)Sell 2,438 CITI 03/2011 0 (21) (21) (0.01)Buy 170 HSBC 03/2011 1 0 1 0.00Sell CAD 142 DUB 02/2011 0 (2) (2) 0.00Buy CNY 7,987 MSC 09/2011 32 0 32 0.01Sell 7,980 RBS 09/2011 0 (31) (31) (0.02)Buy 4,824 DUB 01/2015 0 (5) (5) 0.00Buy 2,488 DUB 06/2015 13 0 13 0.01Buy 7,680 RBS 09/2015 79 0 79 0.04Sell € 5,674 CITI 01/2011 154 0 154 0.08Sell 1,062 CSFB 01/2011 66 0 66 0.03Sell 2,410 MSC 01/2011 22 (55) (33) (0.02)Sell 200 RBC 01/2011 13 0 13 0.01Buy 109 RBS 01/2011 0 (1) (1) 0.00Sell 516 BCLY 03/2011 0 (3) (3) 0.00


Portfolio of Investments and Assets CommoditiesPLUSTM Strategy Fund (Cont.)

Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Sell £ 516 DUB 03/2011 $ 0 $ (3) $ (3) 0.00Sell 344 RBS 03/2011 0 0 0 0.00Buy IDR 2,730,900 BCLY 01/2011 4 0 4 0.00Buy 1,192,100 HSBC 01/2011 3 0 3 0.00Buy 1,192,100 MSC 01/2011 3 0 3 0.00Sell 5,115,100 RBS 01/2011 0 (6) (6) 0.00Buy 2,278,887 JPM 07/2011 1 0 1 0.00Buy 5,115,100 RBS 10/2011 5 0 5 0.01Buy INR 21,864 BCLY 03/2011 1 0 1 0.00Buy 6,975 JPM 03/2011 5 0 5 0.00Buy 9,000 RBS 03/2011 0 (1) (1) 0.00Sell JPY 90,946 BNP 01/2011 0 (36) (36) (0.02)Sell 23,000 CITI 01/2011 0 (9) (9) 0.00Sell 650,000 DUB 01/2011 0 (260) (260) (0.13)Sell 40,702 GSC 01/2011 0 (18) (18) (0.01)Sell 100,000 JPM 01/2011 0 (36) (36) (0.02)Sell 24,228 RBC 01/2011 0 (11) (11) (0.01)Sell 48,455 RBS 01/2011 0 (21) (21) (0.01)Buy MYR 240 BCLY 02/2011 1 0 1 0.00Buy 410 CITI 02/2011 3 0 3 0.00Buy 930 DUB 02/2011 4 0 4 0.01Buy 200 RBS 02/2011 1 0 1 0.00Buy 745 DUB 05/2011 2 0 2 0.00Buy NOK 2,500 CITI 02/2011 20 0 20 0.01Buy 520 RBC 02/2011 1 0 1 0.00Buy 13,500 RBS 02/2011 0 (19) (19) (0.01)Buy SGD 460 BOA 03/2011 17 0 17 0.01Buy 277 CITI 03/2011 6 0 6 0.00Buy 110 DUB 03/2011 4 0 4 0.00Buy 90 JPM 03/2011 3 0 3 0.00Buy 110 RBS 03/2011 4 0 4 0.00Buy 1,062 DUB 06/2011 14 0 14 0.01

$ 543 $ (559) $ (16) (0.01)

Total OTC Financial Derivative Instruments $ 1,542 0.77

SECURITIES SOLD SHORT

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS


Fannie Mae (f)3.500% due 01/01/2041 $ (25,000) $ (23,883) (12.01)4.000% due 01/01/2041 (17,000) (16,915) (8.50)4.500% due 02/01/2041 (6,000) (6,143) (3.09)

(46,941) (23.60)

Total Securities Sold Short $ (46,941) (23.60)

Total Investments $ 164,143 82.53

OVERNIGHT TIME DEPOSITS

BNP Paribas Bank0.080% due 01/03/2011 € 21 $ 28 0.01Brown Brothers Harriman & Co.0.010% due 01/03/2011 SGD 20 16 0.010.150% due 01/04/2011 CAD 2 2 0.000.550% due 01/03/2011 NOK 1 0 0.002.100% due 01/05/2011 NZD 12 10 0.01Nordea Bank AB0.030% due 01/03/2011 $ 119 119 0.06Total Overnight Time Deposits $ 175 0.09Other Current Assets & Liabilities $ 34,560 17.36Net Assets $ 198,878 100.00

NOTES TO PORTFOLIO OF INVESTMENTS AND ASSETS (amounts in thousands):

(a) The CommoditiesPLUSTM Strategy Fund is investing in Class Z Income Shares of an affiliated Fund.

(b) Payment in-kind bond security.

(c) Security is in default.

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

(e) Cash of $190 has been pledged as collateral for swap, swaption and foreign currency contracts as at 31 December 2010 as governed by International Swaps and Derivative Association, Inc.Master Agreements.


31 December 2010

(f) Securities sold short as at 31 December 2010 are covered by long portfolio investments in transferable securities and money market instruments.

(g) Fair Value Measurements1

The following is a summary of the fair valuations according to the inputs used as at 31 December 2010 in valuing the Fund’s assets and liabilities:2

Category3

Quoted Pricesin Active Markets

for Identical Investments(Level 1)

Significant OtherObservable Inputs

(Level 2)

SignificantUnobservable Inputs

(Level 3)Fair Value at31-Dec-2010

Transferable Securities $ 5 $ 206,290 $ 3,075 $ 209,370Deposits with Credit Institutions 0 198 0 198Financial Derivative Instruments4 (26) 1,542 0 1,516Short Sales 0 (46,941) 0 (46,941)Totals $ (21) $ 161,089 $ 3,075 $ 164,143

The following is a summary of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the year ended 31 December 2010:

Category3

StartingBalance

at 31-Dec-2009Net

Purchases5Net

Sales5

AccruedDiscounts/(Premiums)

RealisedGains/

(Losses)

Net Change inUnrealised

Appreciation/(Depreciation)

NetTransfersIn/(Out) of

Level 3

EndingBalance

at 31-Dec-2010


Appreciation/(Depreciation)on Investments

held at 31-Dec-20106

Transferable Securities $ 98 $ 3,235 $ (103) $ 13 $ 4 $ (63) $ (109) $ 3,075 $ (74)


Category3




(Level 2)



Transferable Securities $ 0 $ 52,530 $ 98 $ 52,628Financial Derivative Instruments4 (9) (111) 0 (120)Short Sales 0 (3,178) 0 (3,178)Totals $ (9) $ 49,241 $ 98 $ 49,330

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ending 31 December 2009:

Category3

StartingBalance

at 31-Dec-2008Net

Purchases5Net

Sales5


RealisedGains/

(Losses)




Level 3

EndingBalance

at 31-Dec-2009




Transferable Securities $ 0 $ 100 $ 0 $ 0 $ 0 $ (2) $ 0 $ 98 $ (2)Financial Derivative Instruments4 19 0 (11) 0 11 (19) 0 0 0Total $ 19 $ 100 $ (11) $ 0 $ 11 $ (21) $ 0 $ 98 $ (2)

1 See note 2(c) in the Notes to Financial Statements for additional information.2 There were no significant transfers into and out of level 1 and 2 during the period ended 31 December 2010 or 31 December 2009.3 Refer to the Portfolio of Investments and Assets for additional information.4 Financial Derivative Instruments may include open futures contracts, swap agreements, written options, purchased options and foreign currency contracts.5 Net Purchases and Sales for Financial Derivative Instruments may include payments made or received upon entering into swap agreements to compensate for differences between the stated terms

of the swap agreement and prevailing market conditions.6 Any difference between Net Change in Unrealised Appreciation/(Depreciation) and Net Change in Unrealised Appreciation/(Depreciation) on Investments held at period end may be due to an

investment no longer held or categorised as level 3 at period end.

As at 31 December 2010, the Institutional EUR (Hedged) Class had the following foreign currency contracts outstanding:

Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Buy € 34,319 BCLY 01/2011 $ 65 $ (628) $ (563) (0.28)Sell 82 BNP 01/2011 0 (2) (2) 0.00Sell 46 BOA 01/2011 0 (1) (1) 0.00Buy 1,267 DUB 01/2011 17 0 17 0.01Buy 10,985 MSC 01/2011 136 (223) (87) (0.04)Sell 6,985 MSC 01/2011 0 (136) (136) (0.07)Buy 1,432 RBC 01/2011 0 (66) (66) (0.03)Sell 273 RBC 01/2011 0 (9) (9) (0.01)Buy 726 RBS 01/2011 10 (22) (12) (0.01)Sell 143 RBS 01/2011 6 0 6 0.00Buy 6,985 UBS 01/2011 154 0 154 0.08

$ 388 $ (1,087) $ (699) (0.35)


Significant Changes in Portfolio Composition CommoditiesPLUS™ Strategy Fund

DESCRIPTIONPAR

(000S)COST(000S)

PURCHASES THROUGH 31 DECEMBER 2010

Fannie Mae3.500% due 11/01/2040 $ 24,498 $ 23,531US Treasury Bills0.190% due 06/16/2011 17,200 17,183US Treasury Notes0.375% due 10/31/2012 13,900 13,893

SHARES

PIMCO US Dollar Short-Term Floating NAVFund (a) 1,202,207 12,016

PAR(000S)

US Treasury Bills0.000% due 10/28/2010 $ 10,000 9,998US Treasury Notes3.625% due 08/15/2019 8,600 8,894US Treasury Notes3.500% due 05/15/2020 7,700 8,280Japan Treasury Bills0.121% due 01/12/2011 JPY 650,000 7,738Fannie Mae4.500% due 11/01/2039 $ 7,000 7,331US Treasury Bills0.033% due 07/01/2010 7,000 7,000Fannie Mae4.000% due 07/01/2040 6,000 5,980United Kingdom Gilt2.750% due 01/22/2015 £ 3,500 5,750US Treasury Notes2.625% due 08/15/2020 $ 5,600 5,641US Treasury Notes3.375% due 11/15/2019 4,600 4,715Fannie Mae0.741% due 11/25/2040 4,000 3,999Fannie Mae4.000% due 01/01/2041 4,000 3,987US Treasury Notes2.625% due 11/15/2020 3,500 3,286US Treasury Bills0.215% due 08/26/2010 2,940 2,937UBS AG5.875% due 12/20/2017 2,800 2,894US Treasury Bills0.000% due 04/29/2010 2,800 2,799DR Horton, Inc.5.625% due 09/15/2014 2,700 2,744US Treasury Bills0.055% due 07/08/2010 2,700 2,700Kinder Morgan Finance Co. ULC5.700% due 01/05/2016 2,500 2,572Canada Government Bond2.500% due 06/01/2015 CAD 2,300 2,216US Treasury Notes3.625% due 02/15/2020 $ 2,100 2,214Canada Government Bond0.500% due 03/01/2012 CAD 2,300 2,199US Treasury Bills0.000% due 10/21/2010 $ 2,100 2,100US Treasury Bills0.210% due 12/02/2010 2,100 2,099US Treasury Notes3.125% due 05/15/2019 2,000 2,002US Treasury Bills0.000% due 09/16/2010 2,000 2,000Canada Government Bond4.500% due 06/01/2015 CAD 1,900 1,977Fannie Mae4.000% due 11/01/2040 $ 1,875 1,869Resona Bank Ltd.5.850% due 09/29/2049 2,000 1,820Brazil Notas do Tesouro Nacional Series F10.000% due 01/01/2017 BRL 3,400 1,757Freddie Mac5.000% due 01/15/2035 $ 1,700 1,704

DESCRIPTIONPAR

(000S)COST(000S)

Fannie Mae4.000% due 12/01/2040 $ 1,636 $ 1,630US Treasury Notes2.125% due 11/30/2014 1,600 1,568RiverView HECM Trust0.321% due 07/25/2047 1,590 1,559Depfa ACS Bank3.250% due 02/15/2012 € 1,100 1,539Kommunalbanken AS0.433% due 03/04/2013 $ 1,500 1,500US Treasury Bills0.000% due 05/27/2010 1,500 1,500US Treasury Bills0.000% due 06/24/2010 1,500 1,499Fannie Mae0.547% due 10/27/2037 1,500 1,492Citigroup, Inc.8.500% due 05/22/2019 1,200 1,484US Treasury Bills0.000% due 05/06/2010 1,400 1,400

PROCEEDS(000S)

SALES OR MATURITIES THROUGH 31 DECEMBER 2010

Fannie Mae3.500% due 11/01/2040 $ 24,498 $ 23,235US Treasury Notes0.375% due 10/31/2012 13,900 13,871

SHARES


PAR(000S)

US Treasury Bills0.165% due 04/22/2010 $ 10,900 10,900US Treasury Bills0.000% due 10/28/2010 10,000 9,999US Treasury Notes3.500% due 05/15/2020 7,700 8,307US Treasury Notes3.625% due 08/15/2019 7,000 7,552US Treasury Bills0.033% due 07/01/2010 7,000 7,000United Kingdom Gilt2.750% due 01/22/2015 £ 3,500 5,686US Treasury Notes2.625% due 08/15/2020 $ 5,600 5,641US Treasury Notes3.375% due 11/15/2019 4,600 4,903US Treasury Notes2.625% due 11/15/2020 3,500 3,287US Treasury Bills0.215% due 08/26/2010 2,940 2,940US Treasury Bills0.157% due 04/15/2010 2,800 2,800US Treasury Bills0.000% due 04/29/2010 2,800 2,800US Treasury Bills0.055% due 07/08/2010 2,700 2,700US Treasury Notes2.125% due 11/30/2014 2,400 2,361Canada Government Bond2.500% due 06/01/2015 CAD 2,300 2,318US Treasury Notes2.375% due 08/31/2014 $ 2,200 2,222US Treasury Notes3.625% due 02/15/2020 2,100 2,217Canada Government Bond0.500% due 03/01/2012 CAD 2,300 2,171US Treasury Bills0.000% due 10/21/2010 $ 2,100 2,100US Treasury Bills0.210% due 02/12/2010 2,100 2,100Canada Government Bond4.500% due 06/01/2015 CAD 1,900 2,089


(Unaudited)31 December 2010

DESCRIPTIONPAR

(000S)PROCEEDS

(000S)


US Treasury Bills0.000% due 09/16/2010 $ 2,000 $ 1,999Resona Bank Ltd.5.850% due 09/29/2049 2,000 1,830US Treasury Bills0.000% due 05/27/2010 1,500 1,500US Treasury Bills0.000% due 06/24/2010 1,500 1,500US Treasury Bills0.000% due 05/06/2010 1,400 1,400Canada Government Bond2.000% due 01/12/2014 CAD 1,300 1,293US Treasury Bills0.000% due 10/07/2010 $ 1,000 1,000Fannie Mae4.000% due 11/01/2040 971 979Fannie Mae3.500% due 12/01/2040 1,000 948US Treasury Notes2.500% due 04/30/2015 900 918

(a) The CommoditiesPLUS™ Strategy Fund is investing in Class Z Income Shares of anaffiliated Fund.

Significant portfolio changes are defined as the value of purchases exceeding 1% of totalcost of purchases, and sales or maturities exceeding 1% of total proceeds. At a minimumthe twenty largest purchases and twenty largest sales or maturities must be shown.Should there have been less than that amount of transactions, all such transactions havebeen disclosed.

Overnight investments of uninvested Fund cash which usually mature the next businessday have been excluded from the Significant Changes in Portfolio Composition.


Portfolio of Investments and Assets Developing Local Markets Fund

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS


BRAZIL

Banco do Brasil S.A.4.500% due 01/22/2015 $ 910 $ 955 0.13Banco Santander Brazil S.A.0.000% due 12/28/2011 800 797 0.112.596% due 12/29/2011 2,100 2,047 0.28Brazil Notas do Tesouro Nacional Series F10.000% due 01/01/2012 BRL 5,398 3,172 0.4310.000% due 01/01/2017 23,942 13,162 1.79Itau Unibanco S.A.1.700% due 09/12/2011 $ 10,000 9,976 1.36

30,109 4.10

BRITISH VIRGIN ISLANDS

PCCW-HKT Capital Ltd.8.000% due 11/15/2011 2,000 2,098 0.29

CANADA

Devon Financing Corp. ULC6.875% due 09/30/2011 500 523 0.07Kinder Morgan Finance Co. ULC5.350% due 01/05/2011 400 400 0.06TELUS Corp.8.000% due 06/01/2011 165 170 0.02

1,093 0.15

CAYMAN ISLANDS

Hyundai Capital Auto Funding Ltd.1.261% due 09/20/2016 900 890 0.12

CHILE

Banco Santander Chile1.539% due 04/20/2012 300 300 0.04Corp. Nacional del Cobre de Chile - CODELCO6.375% due 11/30/2012 500 544 0.08

844 0.12

CHINA

Export-Import Bank of China4.875% due 07/21/2015 1,500 1,617 0.225.250% due 07/29/2014 1,630 1,765 0.24

3,382 0.46

COLOMBIA

Colombia Government International Bond2.092% due 11/16/2015 5,630 5,700 0.783.858% due 03/17/2013 2,660 2,727 0.378.250% due 12/22/2014 1,730 2,050 0.289.850% due 06/28/2027 COP 497,000 358 0.0510.000% due 01/23/2012 $ 1,000 1,085 0.1510.750% due 01/15/2013 4,020 4,713 0.64

16,633 2.27

EGYPT

Egypt Treasury Bills9.520% due 04/19/2011 EGP 1,800 302 0.049.990% due 03/29/2011 13,875 2,336 0.32Petroleum Export II Ltd.6.340% due 06/20/2011 $ 124 124 0.02Petroleum Export III Ltd.3.319% due 12/07/2012 1,700 1,695 0.23Petroleum Export Ltd.5.265% due 06/15/2011 2,329 2,325 0.31

6,782 0.92

EL SALVADOR

El Salvador Government International Bond8.500% due 07/25/2011 9,076 9,439 1.29

9,439 1.29

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

FRANCE

Dexia Credit Local S.A.0.539% due 01/12/2012 $ 2,200 $ 2,192 0.30

GUATEMALA

Guatemala Government Bond9.250% due 08/01/2013 890 1,039 0.1410.250% due

11/08/2011 2,560 2,759 0.383,798 0.52

HUNGARY

Hungary Government Bond5.500% due 02/12/2014 HUF 7,200 32 0.00

INDIA

ICICI Bank Ltd.5.750% due 01/12/2012 $ 2,300 2,389 0.32Indian Oil Corp. Ltd.4.750% due 01/22/2015 1,150 1,185 0.16State Bank of India4.500% due 07/27/2015 2,700 2,757 0.38

6,331 0.86

INDONESIA

Majapahit Holding BV7.250% due 10/17/2011 8,400 8,756 1.19

8,756 1.19

IRELAND


DanFin Funding Ltd.0.989% due 07/16/2013 5,000 4,998 0.68

SHARES

MUTUAL FUNDS (a)

PIMCO US DollarShort-Term FloatingNAV Fund 7,243,511 72,449 9.87

Total Ireland 77,447 10.55

PAR(000S)

ISRAEL

Israel Treasury Bill - Makam2.026% due 03/02/2011 ILS 7,000 1,969 0.27

JAPAN

Japan Treasury Bills0.107% due 01/31/2011 JPY 1,920,000 23,487 3.20

KAZAKHSTAN

Intergas Finance BV6.875% due 11/04/2011 $ 2,100 2,189 0.30Kazakhstan Temir Zholy Finance BV6.500% due 05/11/2011 5,550 5,647 0.77KazMunayGas National Co.8.375% due 07/02/2013 8,400 9,303 1.27Tengizchevroil Finance Co. SARL6.124% due 11/15/2014 6,176 6,499 0.88

23,638 3.22

LUXEMBOURG

Fiat Finance & Trade S.A.9.000% due 07/30/2012 € 700 1,002 0.13Sberbank Via SB Capital S.A.5.930% due 11/14/2011 $ 3,000 3,116 0.426.480% due 05/15/2013 4,500 4,815 0.66Telecom Italia Capital S.A.0.767% due 02/01/2011 200 200 0.03

9,133 1.24

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

MALAYSIA

Petronas Capital Ltd.7.000% due

05/22/2012 $ 10,095 $ 10,844 1.48Petronas Global Sukuk Ltd.4.250% due

08/12/2014 2,000 2,083 0.2812,927 1.76

MEXICO

BBVA Bancomer S.A.7.250% due

04/22/2020 100 106 0.02Mexico Cetes4.540% due

03/24/2011 MXN 611,200 4,884 0.664.564% due

04/07/2011 1,030,000 8,215 1.12Mexico Government International Bond7.500% due

06/21/2012 80,000 6,712 0.92Pemex Project Funding Master Trust0.903% due

12/03/2012 $ 7,600 7,589 1.03Telefonos de Mexico SAB de C.V.8.750% due

01/31/2016 MXN 1,100 91 0.0127,597 3.76

PANAMA

Panama Government International Bond7.250% due

03/15/2015 $ 7,040 8,184 1.119.625% due

02/08/2011 1,050 1,067 0.159,251 1.26

PERU

Peru Government International Bond9.125% due

02/21/2012 5,000 5,463 0.7412.250% due

08/10/2011 PEN 570 215 0.035,678 0.77

PHILIPPINES

National Power Corp.4.534% due

08/23/2011 $ 7,000 7,136 0.97

POLAND

Poland Government Bond0.000% due

07/25/2012 PLN 7,000 2,194 0.300.000% due

10/25/2012 5,000 1,548 0.210.000% due

01/25/2013 33,000 10,083 1.374.250% due

05/24/2011 75,000 25,125 3.424.750% due

04/25/2012 700 235 0.035.250% due

10/25/2017 200 65 0.015.750% due

04/25/2014 1,200 410 0.065.750% due

09/23/2022 800 261 0.036.250% due

07/03/2012 $ 4,900 5,255 0.72Poland Treasury Bill3.610% due

01/26/2011 PLN 28,000 9,365 1.2854,541 7.43


31 December 2010

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

QATAR

Qatar Petroleum5.579% due 05/30/2011 $ 133 $ 136 0.02Ras Laffan Liquefied Natural Gas Co. Ltd.8.294% due 03/15/2014 910 1,002 0.14Ras Laffan Liquefied Natural Gas Co. Ltd. III4.500% due 09/30/2012 13,600 14,341 1.955.500% due 09/30/2014 500 535 0.07

16,014 2.18

RUSSIA


AK Transneft OJSC Via TransCapitalInvest Ltd.5.381% due 06/27/2012 € 200 276 0.045.670% due 03/05/2014 $ 2,090 2,213 0.306.103% due 06/27/2012 19,250 20,258 2.76Gazprom OAO Via Gazstream S.A.5.625% due 07/22/2013 5,999 6,222 0.85Gazprom OAO Via Morgan Stanley Bank AG9.625% due 03/01/2013 14,100 16,010 2.18Gazprom Via Gaz Capital S.A.7.343% due 04/11/2013 300 327 0.04JPMorgan Chase Bank N.A.3.136% due 02/11/2011 (f) 1,750 1,675 0.23Russian Agricultural Bank OJSC Via RSHB Capital

S.A.7.125% due 01/14/2014 3,000 3,207 0.447.175% due 05/16/2013 5,120 5,477 0.759.000% due 06/11/2014 1,260 1,424 0.19Sberbank Via SB Capital S.A.6.468% due 07/02/2013 2,110 2,263 0.31TNK-BP Finance S.A.6.125% due 03/20/2012 5,750 6,034 0.826.875% due 07/18/2011 9,800 10,097 1.387.500% due 03/13/2013 1,450 1,569 0.21VTB Capital S.A.6.609% due 10/31/2012 7,150 7,628 1.048.250% due 06/30/2011 € 1,000 1,368 0.18

86,048 11.72

Total Russia 86,048 11.72

SOUTH AFRICA

South Africa Government International Bond5.250% due 05/16/2013 460 646 0.096.500% due 06/02/2014 $ 2,300 2,591 0.357.375% due 04/25/2012 17,000 18,296 2.4913.500% due 09/15/2015 ZAR 600 112 0.02

21,645 2.95

SOUTH KOREA

Export-Import Bank of Korea1.352% due 03/13/2012 $ 4,200 4,199 0.575.875% due 01/14/2015 400 433 0.068.125% due 01/21/2014 8,800 10,080 1.37Industrial Bank of Korea0.558% due 04/27/2011 3,000 2,974 0.41Korea Development Bank0.502% due 09/12/2011 300 300 0.040.564% due 11/22/2012 300 293 0.041.242% due 11/21/2011 10,000 9,941 1.351.246% due 04/03/2014 € 200 254 0.045.300% due 01/17/2013 $ 2,000 2,122 0.295.750% due 05/13/2012 700 737 0.108.000% due 01/23/2014 2,400 2,735 0.37Korea East-West Power Co. Ltd.4.875% due 04/21/2011 2,500 2,459 0.33Korea Electric Power Corp.3.000% due 10/05/2015 1,000 968 0.13Korea Hydro & Nuclear Power Co. Ltd.6.250% due 06/17/2014 2,100 2,293 0.31Korea Land & Housing Corp.0.534% due 11/22/2011 3,000 2,983 0.41Shinhan Bank1.584% due 11/16/2012 12,900 12,814 1.751.838% due 06/04/2011 2,000 2,002 0.27

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Woori Bank0.662% due 09/14/2011 $ 300 $ 296 0.04

57,883 7.88

TUNISIA

Banque Centrale de Tunisie S.A.4.750% due 04/07/2011 € 200 269 0.046.250% due 02/20/2013 2,100 2,984 0.417.375% due 04/25/2012 $ 22,140 23,801 3.24

27,054 3.69

TURKEY

Turkey Government International Bond0.000% due 05/11/2011 TRY 22,000 13,858 1.899.000% due 06/30/2011 $ 1,650 1,715 0.2311.500% due 01/23/2012 3,500 3,872 0.5314.000% due 01/19/2011 TRY 200 129 0.024.000% due

04/29/2015 (b) 3,869 2,761 0.37Turkey Treasury Bill6.901% due 07/20/2011 13,000 8,084 1.10

30,419 4.14


Abu Dhabi Government International Bond5.500% due 08/02/2012 $ 2,300 2,452 0.33

2,452 0.33

UNITED KINGDOM

Barclays Bank PLC10.179% due 06/12/2021 200 248 0.03Royal Bank of Scotland Group PLC0.554% due 03/30/2012 1,300 1,300 0.171.188% due 04/23/2012 2,600 2,627 0.36Vodafone Group PLC5.350% due 02/27/2012 200 209 0.03

4,384 0.59

UNITED STATES


Asset-Backed Funding Certificates0.321% due 01/25/2037 4 4 0.00Bear Stearns Asset-Backed Securities Trust0.311% due 11/25/2036 9 9 0.001.261% due 10/25/2037 68 45 0.01Carrington Mortgage Loan Trust0.361% due 06/25/2037 45 41 0.010.581% due 10/25/2035 19 18 0.00Citigroup Mortgage Loan Trust, Inc.0.321% due 05/25/2037 25 24 0.000.321% due 07/25/2045 41 34 0.01Countrywide Asset-Backed Certificates0.331% due 06/25/2047 8 8 0.000.341% due 10/25/2047 17 17 0.000.361% due 09/25/2047 22 21 0.01Credit-Based Asset Servicing & Securitization LLC0.321% due 11/25/2036 10 9 0.00Home Equity Asset Trust0.861% due 11/25/2032 4 3 0.00HSBC Asset Loan Obligation0.321% due 12/25/2036 16 14 0.00HSI Asset Securitization Corp. Trust0.311% due 12/25/2036 17 16 0.00JPMorgan Mortgage Acquisition Corp.0.321% due 03/25/2047 30 24 0.010.341% due 03/25/2037 21 20 0.00Merrill Lynch First Franklin Mortgage Loan Trust0.321% due 07/25/2037 10 9 0.00Morgan Stanley ABS Capital I0.321% due 05/25/2037 24 21 0.00New Century Home Equity Loan Trust0.441% due 05/25/2036 62 43 0.01Residential Asset Mortgage Products, Inc.0.331% due 02/25/2037 4 4 0.00

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Residential Asset Securities Corp.0.321% due 01/25/2037 $ 1 $ 1 0.000.371% due 04/25/2037 11 11 0.00Securitized Asset-Backed Receivables LLC Trust0.301% due 01/25/2037 13 12 0.00SLM Student Loan Trust0.278% due 10/25/2018 16 16 0.00Soundview Home Equity Loan Trust0.341% due 06/25/2037 28 25 0.00Structured Asset Securities Corp.0.341% due 01/25/2037 12 12 0.00WaMu Asset-Backed Certificates0.311% due 01/25/2037 9 9 0.00Washington Mutual Asset-Backed Certificates0.321% due 10/25/2036 21 14 0.00

484 0.06


Ally Financial, Inc.0.304% due 12/19/2012 2,000 2,002 0.287.250% due 03/02/2011 4,600 4,642 0.63Bear Stearns Cos., LLC6.950% due 08/10/2012 100 109 0.02Caterpillar Financial Services Corp.1.053% due 06/24/2011 800 803 0.11Citibank N.A.0.304% due 09/21/2012 2,100 2,101 0.29Citigroup Funding, Inc.0.618% due 04/30/2012 1,000 1,005 0.14CVS Caremark Corp.5.750% due 08/15/2011 100 103 0.01Daimler Finance N.A. LLC5.750% due 09/08/2011 200 207 0.037.750% due 01/18/2011 100 100 0.01DISH DBS Corp.6.375% due 10/01/2011 1,100 1,136 0.16Dow Chemical Co.2.536% due 08/08/2011 200 202 0.034.850% due 08/15/2012 100 106 0.01Duke Energy Carolinas LLC5.625% due 11/30/2012 200 217 0.036.250% due 01/15/2012 100 105 0.01El Paso Performance-Linked Trust7.750% due 07/15/2011 200 206 0.03General Electric Capital Corp.0.304% due 12/21/2012 2,000 2,002 0.270.356% due 08/15/2011 200 200 0.030.737% due 02/01/2011 200 200 0.03Georgia Power Co.0.622% due 03/15/2013 1,700 1,709 0.23HCP, Inc.6.450% due 06/25/2012 1,325 1,398 0.19Hewlett-Packard Co.1.342% due 05/27/2011 500 502 0.07IBM Corp.0.868% due 07/28/2011 600 602 0.08International Lease Finance Corp.4.950% due 02/01/2011 900 904 0.125.750% due 06/15/2011 200 202 0.035.875% due 05/01/2013 1,000 1,015 0.14John Deere Capital Corp.1.052% due 06/10/2011 200 201 0.03JPMorgan Chase & Co.0.428% due 06/25/2012 400 400 0.050.553% due 12/26/2012 1,000 1,006 0.141.264% due 09/26/2013 € 300 389 0.05Kraft Foods, Inc.5.625% due 11/01/2011 $ 65 68 0.01Lehman Brothers Holdings, Inc. (c)0.000% due 05/25/2010 50 12 0.000.000% due 11/24/2024 100 24 0.010.000% due 12/23/2024 300 70 0.012.881% due 10/22/2008 100 23 0.00NextEra Energy Capital Holdings, Inc.1.182% due 06/17/2011 300 301 0.04


Portfolio of Investments and Assets Developing Local Markets Fund (Cont.)

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Pemex Project Funding Master Trust0.903% due 12/03/2012 $ 2,000 $ 1,997 0.27PNC Funding Corp.0.503% due 04/01/2012 2,000 2,007 0.27Roche Holdings, Inc.2.288% due 02/25/2011 290 291 0.04Sprint Capital Corp.7.625% due 01/30/2011 350 351 0.05Teva Pharmaceutical Finance III LLC0.704% due 12/19/2011 200 201 0.03UnitedHealth Group, Inc.1.586% due 02/07/2011 200 200 0.03Wachovia Corp.0.418% due 04/23/2012 100 100 0.01Weyerhaeuser Co.6.750% due 03/15/2012 750 792 0.11Wm. Wrigley Jr. Co.1.678% due 06/28/2011 1,700 1,701 0.23

31,912 4.36


American Home Mortgage Investment Trust1.957% due 09/25/2045 9 8 0.00Banc of America Mortgage Securities, Inc.2.767% due 07/25/2034 9 8 0.00Bear Stearns Adjustable Rate Mortgage Trust5.326% due 05/25/2047 69 53 0.01Bear Stearns Structured Products, Inc.5.339% due 12/26/2046 66 47 0.01Citigroup Mortgage Loan Trust, Inc.0.331% due 01/25/2037 14 8 0.005.873% due 09/25/2037 70 51 0.01Countrywide Home Loan Mortgage Pass-Through Trust3.070% due 04/20/2035 41 39 0.01

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

First Horizon Asset Securities, Inc.2.924% due 08/25/2035 $ 42 $ 34 0.00Greenpoint Mortgage Pass-Through Certificates3.117% due 10/25/2033 18 15 0.00GS Mortgage Securities Corp. II0.356% due 03/06/2020 30 30 0.00GSR Mortgage Loan Trust2.964% due 01/25/2036 13 10 0.00Indymac Index Mortgage Loan Trust2.690% due 12/25/2034 25 19 0.00Morgan Stanley Capital I0.321% due 10/15/2020 32 31 0.00Structured Adjustable Rate Mortgage Loan Trust2.633% due 01/25/2035 26 21 0.00TBW Mortgage-Backed Pass-Through Certificates0.371% due 01/25/2037 (c) 1 1 0.00Wachovia Bank Commercial Mortgage Trust0.351% due 09/15/2021 102 99 0.01WaMu Mortgage Pass-Through Certificates5.000% due 02/25/2037 50 39 0.01Wells Fargo Mortgage-Backed Securities Trust5.402% due 07/25/2036 15 12 0.00

525 0.06


Barclays Capital, Inc.0.170% due 12/31/2010

(Dated 12/30/2010.Collateralised by USTreasury Notes 3.625% due08/15/2019 valued at$28,835. Repurchaseproceeds are $28,200.) 28,200 28,200 3.84

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

0.170% due 01/13/2011(Dated 12/23/2010.Collateralised by USTreasury Bonds 1.625%due 01/15/2015 valued at$12,221. Repurchaseproceeds are $12,001.) $ 12,000 $ 12,000 1.63

40,200 5.47


Fannie Mae0.461% due 10/27/2037 300 299 0.041.542% due 06/01/2043 -

07/01/2044 24 24 0.002.403% due 11/01/2035 13 14 0.005.000% due 02/25/2017 6 6 0.005.166% due 08/01/2035 243 259 0.04Freddie Mac5.000% due 01/30/2014 -

07/15/2014 2,600 2,902 0.403,504 0.48


US Treasury Bills0.190% due 06/16/2011 (d) 32,400 32,376 4.41US Treasury Notes0.375% due 10/31/2012 (d) 13,000 12,949 1.771.125% due 06/30/2011 11 11 0.002.375% due 08/31/2014 (d) 2,700 2,792 0.38

48,128 6.56


Total Transferable Securities &Money Market Instruments -Official Stock Exchange/Regulated Market $ 715,835 97.49

FINANCIAL DERIVATIVE INSTRUMENTS DEALT IN ON A REGULATED MARKET (amounts in thousands*, except number of contracts)

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

FUTURES

Description TypeExpiration

Month# of

ContractsUnrealised

(Depreciation)% of

Net Assets

US Treasury 10-Year Note March Futures Long 03/2011 199 $ (764) (0.10)

WRITTEN OPTIONS

DescriptionExercise

PriceExpiration

Date# of

Contracts PremiumsFair

Value% of

Net Assets


$ (61) $ (269) (0.04)

Total Financial Derivative Instruments Dealt in on a Regulated Market $ (1,033) (0.14)

OTC FINANCIAL DERIVATIVE INSTRUMENTS (amounts in thousands*)



Reference EntityFixed Deal(Pay) Rate

MaturityDate Counterparty

NotionalAmount(3)

FairValue

UpfrontPremiums


(Depreciation)% of

Net Assets

UBS AG (2.350%) 03/20/2014 BCLY € 100 $ (7) $ 0 $ (7) 0.00UBS AG (2.080%) 03/20/2014 DUB 200 (11) 0 (11) 0.00UBS AG (2.200%) 03/20/2014 DUB 100 (6) 0 (6) 0.00

$ (24) $ 0 $ (24) 0.00


31 December 2010



Receive RateMaturity

Date CounterpartyNotionalAmount(3)

FairValue

UpfrontPremiums


Appreciation% of

Net Assets

America Movil SAB de C.V. 1.000% 09/20/2011 DUB $ 1,600 $ 5 $ 0 $ 5 0.00Russian Agricultural Bank OJSC Via RSHB Capital S.A. 1.000% 03/20/2011 BCLY 1,900 1 0 1 0.00

$ 6 $ 0 $ 6 0.00




INTEREST RATE SWAPS

Pay/ReceiveFloatingRate Floating Rate Index

FixedRate Maturity Date Counterparty

NotionalAmount

FairValue

UpfrontPremiums

Paid/(Received)


% ofNet Assets

Pay 6-Month HUF-BIBOR 6.150% 09/15/2015 BCLY HUF 13,000 $ (2) $ 0 $ (2) 0.00Pay 6-Month HUF-BIBOR 6.150% 09/15/2015 HSBC 26,000 (4) 0 (4) 0.00Pay BRL-CDI-Compounded 11.140% 01/02/2012 HSBC BRL 46,700 433 87 346 0.06Pay BRL-CDI-Compounded 11.360% 01/02/2012 GSC 6,000 48 (11) 59 0.01Pay BRL-CDI-Compounded 11.530% 01/02/2012 HSBC 100,000 (136) 4 (140) (0.02)Pay BRL-CDI-Compounded 11.570% 01/02/2012 JPM 5,700 47 0 47 0.01Pay BRL-CDI-Compounded 11.650% 01/02/2012 BCLY 2,000 31 (3) 34 0.00Pay BRL-CDI-Compounded 11.650% 01/02/2012 GSC 18,800 292 130 162 0.04Pay BRL-CDI-Compounded 11.970% 01/02/2012 HSBC 52,500 8 10 (2) 0.00

$ 717 $ 217 $ 500 0.10


Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Buy BRL 5,175 HSBC 02/2011 $ 89 $ 0 $ 89 0.01Sell 1,818 RBS 02/2011 0 (17) (17) 0.00Sell 3,357 UBS 02/2011 0 (29) (29) 0.00Sell 5,663 CITI 03/2011 0 (42) (42) (0.01)Buy 3,357 UBS 04/2011 29 0 29 0.00Buy CLP 1,292,500 BCLY 01/2011 261 0 261 0.03Buy 306,375 CITI 01/2011 84 0 84 0.01Buy 3,828,761 HSBC 01/2011 499 0 499 0.07Buy 1,597,167 JPM 01/2011 164 0 164 0.02Sell 7,618,028 JPM 01/2011 0 (611) (611) (0.08)Buy 593,225 MSC 01/2011 47 0 47 0.01Buy 7,618,028 JPM 06/2011 585 0 585 0.08Buy CNY 19,994 BCLY 01/2011 28 0 28 0.00Sell 13,454 BCLY 01/2011 0 (38) (38) 0.00Buy 1,992 BOA 01/2011 2 0 2 0.00Buy 6,636 CITI 01/2011 5 0 5 0.00Buy 6,632 DUB 01/2011 4 0 4 0.00Sell 97,639 DUB 01/2011 0 (119) (119) (0.02)Buy 26,425 HSBC 01/2011 12 (10) 2 0.00Buy 45,829 JPM 01/2011 90 0 90 0.01Buy 3,585 MSC 01/2011 3 0 3 0.00Buy 20,361 CITI 06/2011 117 0 117 0.02Buy 6,600 DUB 06/2011 10 0 10 0.00Buy 1,984 JPM 06/2011 4 0 4 0.00Buy 123 BCLY 11/2011 0 0 0 0.00Buy 10,203 CITI 11/2011 31 (2) 29 0.00Buy 3,437 HSBC 11/2011 0 (4) (4) 0.00Buy 20,111 JPM 11/2011 51 (15) 36 0.01Buy 1,943 UBS 11/2011 0 0 0 0.00Buy 16,881 BCLY 02/2012 0 (18) (18) 0.00Buy 109,272 DUB 02/2012 134 0 134 0.02Buy 6,473 DUB 08/2013 35 0 35 0.00Buy 12,780 JPM 09/2015 128 0 128 0.02Buy COP 1,874,000 CITI 04/2011 0 (13) (13) 0.00Buy 10,689,021 DUB 04/2011 19 (291) (272) (0.04)Buy 1,283,750 JPM 04/2011 26 0 26 0.01Buy 1,896,825 RBS 04/2011 0 (50) (50) (0.01)Buy CZK 54,333 CITI 02/2011 0 (134) (134) (0.02)Buy 827,272 DUB 02/2011 0 (3,657) (3,657) (0.50)Buy 18,470 HSBC 02/2011 0 (26) (26) 0.00Buy 66,456 JPM 02/2011 22 (16) 6 0.00Buy € 6,098 BCLY 01/2011 55 (5) 50 0.01Sell 2,127 BCLY 01/2011 37 (9) 28 0.00



Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Sell € 200 BNP 01/2011 $ 0 $ (3) $ (3) 0.00Buy 500 BOA 01/2011 6 0 6 0.00Sell 500 BOA 01/2011 5 0 5 0.00Buy 20,068 CITI 01/2011 0 (990) (990) (0.13)Sell 10,809 CITI 01/2011 474 (27) 447 0.06Buy 4,142 CSFB 01/2011 0 (146) (146) (0.02)Sell 4,582 CSFB 01/2011 122 0 122 0.02Sell 2,336 DUB 01/2011 135 0 135 0.02Sell 2,882 JPM 01/2011 22 0 22 0.00Sell 15,149 MSC 01/2011 957 0 957 0.13Buy 5,782 RBS 01/2011 4 (460) (456) (0.06)Sell 2,117 RBS 01/2011 22 0 22 0.00Sell 2,563 UBS 01/2011 0 (43) (43) (0.01)Sell £ 51 BCLY 03/2011 1 0 1 0.00Sell 50 DUB 03/2011 1 0 1 0.00Sell 34 RBS 03/2011 1 0 1 0.00Buy HKD 113,692 BCLY 01/2011 0 (45) (45) (0.01)Buy 89,952 CITI 01/2011 0 (36) (36) 0.00Buy 294,890 DUB 01/2011 0 (114) (114) (0.02)Sell 328,287 DUB 01/2011 43 0 43 0.01Sell 178,000 HSBC 01/2011 15 0 15 0.00Buy 7,753 JPM 01/2011 0 (3) (3) 0.00Buy 328,287 DUB 04/2011 0 (42) (42) (0.01)Buy 178,000 HSBC 04/2011 0 (14) (14) 0.00Buy HUF 1,590,983 CITI 01/2011 244 0 244 0.03Buy 296,220 HSBC 01/2011 0 (96) (96) (0.01)Sell IDR 43,248,000 BCLY 01/2011 1 0 1 0.00Buy 16,429,500 HSBC 01/2011 123 0 123 0.02Buy 12,344,000 JPM 01/2011 70 0 70 0.01Buy 14,474,500 RBS 01/2011 12 0 12 0.00Buy 27,228,000 JPM 03/2011 26 0 26 0.01Buy 8,794,990 BCLY 04/2011 55 0 55 0.01Buy 42,048,358 CITI 04/2011 152 0 152 0.02Buy 4,690,000 DUB 04/2011 19 0 19 0.00Buy 9,080,000 MSC 04/2011 6 0 6 0.00Buy 32,275,000 CITI 07/2011 8 0 8 0.00Buy 9,195,000 DUB 07/2011 9 0 9 0.00Buy 1,651,800 HSBC 07/2011 3 0 3 0.00Buy 20,322,000 JPM 07/2011 21 0 21 0.00Buy 9,250,000 CITI 10/2011 0 0 0 0.00Buy 4,852,000 DUB 10/2011 1 0 1 0.00Buy 10,243,500 RBS 10/2011 2 (5) (3) 0.00Sell 14,474,500 RBS 10/2011 0 (21) (21) 0.00Buy ILS 7,350 HSBC 05/2011 70 0 70 0.01Buy 81,953 MSC 05/2011 570 0 570 0.08Buy INR 140,452 BCLY 03/2011 30 0 30 0.00Sell 231,000 BCLY 03/2011 0 (101) (101) (0.01)Buy 23,005 BOA 03/2011 8 0 8 0.00Sell 13,304 BOA 03/2011 0 (9) (9) 0.00Buy 539,310 CITI 03/2011 137 (10) 127 0.02Sell 68,300 CITI 03/2011 0 (67) (67) (0.01)Buy 113,730 DUB 03/2011 12 0 12 0.00Buy 23,895 HSBC 03/2011 13 0 13 0.00Buy 208,837 JPM 03/2011 77 0 77 0.01Buy 326,344 RBS 03/2011 0 (33) (33) (0.01)Buy 120,324 UBS 03/2011 49 0 49 0.01Sell JPY 1,920,000 CITI 01/2011 133 0 133 0.02Sell 80,086 GSC 01/2011 0 (28) (28) 0.00Sell 47,671 RBC 01/2011 0 (17) (17) 0.00Sell 95,341 RBS 01/2011 0 (32) (32) (0.01)Buy KRW 2,694,410 JPM 01/2011 80 0 80 0.01Sell 3,495,630 JPM 01/2011 0 (60) (60) (0.01)Buy 801,220 UBS 01/2011 8 0 8 0.00Buy 994,500 BCLY 05/2011 0 (10) (10) 0.00Buy 3,152,200 CITI 05/2011 0 (24) (24) (0.01)Buy 801,446 GSC 05/2011 0 (1) (1) 0.00Buy 3,158,000 HSBC 05/2011 69 (8) 61 0.01Buy 5,358,830 JPM 05/2011 59 (2) 57 0.01Buy 6,631,095 MSC 05/2011 139 0 139 0.02Buy 1,620,000 RBS 05/2011 0 (6) (6) 0.00Buy MXN 769,845 CITI 02/2011 3,679 0 3,679 0.50Sell 22,499 CITI 02/2011 0 (16) (16) 0.00Buy 29,868 DUB 02/2011 101 0 101 0.01Buy 63,287 HSBC 02/2011 93 0 93 0.01Buy 114,752 JPM 02/2011 164 0 164 0.02Sell 138,255 MSC 02/2011 0 (41) (41) 0.00Buy 49,572 RBS 02/2011 0 (11) (11) 0.00Buy MYR 24,572 BCLY 02/2011 66 0 66 0.01Buy 14,604 CITI 02/2011 61 0 61 0.01Buy 12,280 DUB 02/2011 31 0 31 0.00Buy 5,761 JPM 02/2011 15 0 15 0.00


31 December 2010

Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Buy MYR 6,520 RBS 02/2011 $ 12 $ 0 $ 12 0.00Buy PEN 11,172 CITI 03/2011 0 (30) (30) 0.00Buy 34,929 DUB 03/2011 0 (106) (106) (0.02)Buy PHP 78,444 BCLY 02/2011 0 (4) (4) 0.00Buy 88,110 BCLY 06/2011 23 0 23 0.00Buy 33,000 BOA 06/2011 0 (8) (8) 0.00Buy 525,060 CITI 06/2011 50 (34) 16 0.00Buy 119,828 DUB 06/2011 19 0 19 0.00Buy 90,023 HSBC 06/2011 10 0 10 0.00Buy 229,130 JPM 06/2011 52 0 52 0.01Buy 78,656 RBS 06/2011 0 (24) (24) 0.00Buy 14,907 UBS 11/2011 42 0 42 0.01Buy PLN 178,849 BCLY 02/2011 0 (2,231) (2,231) (0.30)Buy 8,735 CITI 02/2011 0 (84) (84) (0.01)Sell 106,446 CITI 02/2011 2,292 (293) 1,999 0.27Buy 8,638 DUB 02/2011 0 (116) (116) (0.02)Buy 24,677 GSC 02/2011 238 0 238 0.03Buy 8,572 HSBC 02/2011 0 (138) (138) (0.02)Buy 3,320 MSC 02/2011 38 0 38 0.01Buy 5,644 UBS 02/2011 0 (116) (116) (0.02)Sell 9,265 UBS 02/2011 0 (93) (93) (0.01)Buy RON 67,526 DUB 02/2011 0 (1,031) (1,031) (0.14)Sell RUB 6,661 BCLY 04/2011 2 0 2 0.00Buy 38,738 CITI 04/2011 0 (23) (23) 0.00Buy 14,554 DUB 04/2011 0 (8) (8) 0.00Buy 15,148 MSC 04/2011 0 (8) (8) 0.00Buy 31,150 UBS 04/2011 11 0 11 0.00Buy SGD 47,110 BOA 03/2011 1,534 0 1,534 0.21Buy 10,467 CITI 03/2011 124 0 124 0.02Sell 1,345 CITI 03/2011 0 (44) (44) (0.01)Buy 11,639 DUB 03/2011 327 0 327 0.05Buy 11,721 HSBC 03/2011 98 0 98 0.01Buy 11,084 JPM 03/2011 354 0 354 0.05Buy 11,710 RBS 03/2011 395 0 395 0.05Buy 6,652 DUB 06/2011 59 0 59 0.01Buy 3,858 JPM 06/2011 0 (6) (6) 0.00Buy THB 172,547 HSBC 02/2011 164 (12) 152 0.02Buy 150,150 JPM 02/2011 0 (24) (24) 0.00Sell 59,890 JPM 02/2011 15 0 15 0.00Buy 44,700 RBS 02/2011 66 0 66 0.01Buy TRY 58,155 BCLY 01/2011 0 (2,799) (2,799) (0.38)Sell 4,224 BCLY 01/2011 240 0 240 0.03Buy 1,137 CITI 01/2011 0 (20) (20) 0.00Sell 9,730 DUB 01/2011 238 0 238 0.03Buy 12,430 HSBC 01/2011 6 (526) (520) (0.07)Sell 1,938 HSBC 01/2011 83 0 83 0.01Buy 5,308 JPM 01/2011 0 (92) (92) (0.01)Sell 12,476 JPM 01/2011 298 0 298 0.04Sell 9,735 MSC 01/2011 238 0 238 0.03Buy TWD 46,375 BCLY 01/2011 87 0 87 0.01Buy 77,653 CITI 01/2011 157 0 157 0.02Buy 69,011 DUB 01/2011 121 0 121 0.02Sell 428,179 DUB 01/2011 0 (346) (346) (0.05)Buy 116,549 HSBC 01/2011 187 0 187 0.03Buy 69,702 JPM 01/2011 139 0 139 0.02Buy 21,668 MSC 01/2011 52 0 52 0.01Buy 27,222 UBS 01/2011 61 0 61 0.01Buy 6,075 BOA 04/2011 11 0 11 0.00Buy 432,379 DUB 04/2011 467 0 467 0.06Buy 6,235 JPM 04/2011 10 0 10 0.00Buy ZAR 28,545 BCLY 01/2011 266 0 266 0.04Buy 109,776 HSBC 01/2011 753 0 753 0.10Buy 13,797 JPM 01/2011 58 0 58 0.01

$ 20,192 $ (15,843) $ 4,349 0.59



DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS


BNP Paribas Bank0.088% due 12/31/2010 € 315 $ 419 0.06Brown Brothers Harriman & Co.0.005% due 01/04/2011 JPY 207 3 0.00JPMorgan Chase & Co.3.750% due 12/31/2010 ZAR 167 25 0.00



DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Nordea Bank AB0.030% due 12/31/2010 $ 3,021 $ 3,021 0.41Total Overnight Time Deposits $ 3,468 0.47Other Current Assets & Liabilities $ 10,942 1.49Net Assets $ 734,260 100.00


(a) The Developing Local Markets Fund is investing in Class Z Income Shares of an affiliated Fund.

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


(d) Securities with an aggregate market value of $770 and cash of $3 have been segregated with the Custodian to cover margin requirements for the open futures contracts as at 31 December 2010.

(e) Cash of $11,080 has been pledged as collateral for swap and foreign currency contracts as at 31 December 2010 as governed by International Swaps and Derivative Association, Inc.Master Agreements.

(f) Restricted Securities

Issuer Description CouponMaturity

DateAcquisition

Date CostFair

Value% of

Net Assets

JPMorgan Chase Bank N.A. 3.136% 02/11/2011 02/17/2010 $ 1,750 $ 1,675 0.23



Category3




(Level 2)



Transferable Securities $ 72,449 $ 606,135 $ 27,275 $ 705,859Deposits with Credit Institutions 0 9,976 0 9,976Financial Derivative Instruments4 (1,033) 5,048 0 4,015Totals $ 71,416 $ 621,159 $ 27,275 $ 719,850


Category3

StartingBalance at

31-Dec-2009Net

Purchases5Net

Sales5


RealisedGains/

(Losses)




Level 3

EndingBalance at

31-Dec-2010




Transferable Securities $ 282 $ 27,479 $ 0 $ 0 $ 0 $ (186) $ (300) $ 27,275 $ (203)

(h) Fair Value Measurements1


Category3




(Level 2)



Transferable Securities $ 0 $ 132,641 $ 282 $ 132,923Financial Derivative Instruments4 0 (702) 0 (702)Totals $ 0 $ 131,939 $ 282 $ 132,221


Category3

StartingBalance at

31-Dec-2008Net

Purchases5Net

Sales5


RealisedGains/

(Losses)




Level 3

EndingBalance at

31-Dec-2009




Transferable Securities $ 177 $ 0 $ (34) $ 1 $ 0 $ 26 $ 112 $ 282 $ 27





Significant Changes in Portfolio Composition Developing Local Markets Fund (Unaudited)31 December 2010

DESCRIPTIONPAR

(000S)COST(000S)


Mexico Cetes4.540% due 03/24/2011 MXN 611,200 $ 483,829

SHARES

PIMCO US Dollar Short-Term FloatingNAV Fund (a) 12,853,477 128,488

PAR(000S)

US Treasury Bills0.190% due 06/16/2011 $ 32,400 32,369Poland Government Bond4.250% due 05/24/2011 PLN 75,000 27,358Banque Centrale de Tunisie S.A.7.375% due 04/25/2012 $ 21,440 23,325Japan Treasury Bills0.107% due 01/31/2011 JPY 1,920,000 23,717Japan Treasury Bills0.000% due 10/25/2010 1,930,000 22,132Poland Government Bond6.000% due 11/24/10 PLN 65,600 20,277US Treasury Bills0.000% due 10/28/2010 $ 19,800 19,796AK Transneft OJSC Via TransCapitalInvest Ltd.6.103% due 06/27/2012 17,950 18,947Federal Home Loan Bank0.000% due 04/14/2010 18,800 18,798South Africa Government International Bond7.375% due 04/25/2012 17,000 18,530US Treasury Bills0.033% due 07/01/2010 17,000 17,000Gazprom OAO Via Morgan Stanley Bank AG9.625% due 03/01/2013 14,100 15,846Turkey Government International Bond0.000% due 05/11/2011 TRY 22,000 14,356Ras Laffan Liquefied Natural Gas Co. Ltd. III4.500% due 09/30/2012 $ 13,380 14,029US Treasury Notes0.375% due 10/31/2012 13,000 12,994Shinhan Bank1.584% due 11/16/2012 12,900 12,900Petronas Capital Ltd.7.000% due 05/22/2012 9,695 10,706Export-Import Bank of Korea8.125% due 01/21/2014 8,800 10,169Pemex Project Funding Master Trust1.554% due 06/15/2010 10,000 10,010Korea Development Bank1.242% due 11/21/2011 10,000 10,000US Treasury Bills0.000% due 04/29/2010 9,800 9,798Brazil Notas do Tesouro Nacional Series F10.000% due 01/01/2017 BRL 19,322 9,737Poland Government Bond0.000% due 01/25/2013 PLN 33,000 9,696KazMunayGas National Co.8.375% due 07/02/2013 $ 8,400 9,300TNK-BP Finance S.A.6.875% due 07/18/2011 8,600 8,936Federal Home Loan Bank0.000% due 03/05/2010 8,900 8,899US Treasury Bills0.215% due 08/26/2010 8,700 8,692Poland Treasury Bills3.610% due 01/26/2011 PLN 28,000 8,526Turkey Treasury Bills6.901% due 07/20/2011 TRY 13,000 8,347Mexico Cetes4.564% due 04/07/2011 MXN 1,030,000 8,132Panama Government International Bond7.250% due 03/15/2015 $ 7,040 8,098US Treasury Bills0.200% due 09/12/2010 8,000 7,992Federal Home Loan Bank0.000% due 03/10/2010 7,800 7,799

DESCRIPTIONPAR

(000S)COST(000S)

Pemex Project Funding Master Trust1.136% due 12/03/2012 $ 7,600 $ 7,555

PROCEEDS(000S)


Poland Government Bond6.000% due 11/24/2010 PLN 196,800 $ 66,615

SHARES


PAR(000S)

Japan Treasury Bills0.000% due 10/25/2010 JPY 1,930,000 23,947US Treasury Bills0.000% due 10/28/2010 $ 19,800 19,798Federal Home Loan Bank0.000% due 04/14/2010 18,800 18,800US Treasury Bills0.033% due 07/01/2010 17,000 17,000Poland Government Bond5.750% due 03/24/2010 PLN 45,000 15,438Pemex Project Funding Master Trust1.554% due 06/15/2010 $ 12,491 12,491US Treasury Notes1.000% due 10/31/2011 9,300 9,370Federal Home Loan Bank0.000% due 03/05/2010 8,900 8,900US Treasury Bills0.215% due 08/26/2010 8,700 8,699Federal Home Loan Bank0.047% due 01/08/2010 8,100 8,100US Treasury Bills0.200% due 12/09/2010 8,000 7,998Federal Home Loan Bank0.000% due 03/10/2010 7,800 7,800US Treasury Bills0.063% due 08/05/2010 7,300 7,298Venezuela Government International Bond5.375% due 08/07/2010 7,080 7,080US Treasury Bills0.000% due 09/16/2010 7,000 6,998US Treasury Bills0.000% due 05/06/2010 6,300 6,300Russian Agricultural Bank OJSC Via RSHB Capital S.A.6.875% due 11/29/2010 6,115 6,115US Treasury Bills0.000% due 05/27/2010 5,900 5,900US Treasury Bills0.000% due 06/24/2010 5,900 5,898US Treasury Bills0.055% due 07/08/2010 5,600 5,599Federal Home Loan Bank0.000% due 03/19/2010 4,800 4,800Federal Home Loan Bank0.000% due 03/24/2010 4,800 4,800Freddie Mac0.065% due 02/19/2010 4,700 4,700Fannie Mae0.000% due 04/07/2010 4,300 4,300Federal Home Loan Bank0.000% due 03/10/2010 4,300 4,300Federal Home Loan Bank0.000% due 03/17/2010 4,300 4,300Venezuela Government International Bond5.375% due 08/07/2010 4,000 4,000Federal Home Loan Bank0.080% due 02/17/2010 4,000 4,000Freddie Mac0.250% due 10/13/2010 4,000 4,000Federal Home Loan Bank0.120% due 01/04/2010 3,800 3,800Federal Home Loan Bank0.000% due 02/17/2010 3,200 3,200


Significant Changes in Portfolio Composition Developing Local Markets Fund (Cont.)

DESCRIPTIONPAR

(000S)PROCEEDS

(000S)


Bank of America Corp.3.125% due 06/15/2012 $ 3,000 $ 3,131Fannie Mae0.000% due 09/08/2010 3,000 3,000US Treasury Bills0.157% due 04/15/2010 2,900 2,900Freddie Mac0.000% due 07/08/2010 2,900 2,900Hungary Treasury Bills0.000% due 04/14/2010 HUF 550,000 2,855Fannie Mae0.000% due 04/05/2010 $ 2,800 2,800US Treasury Bills0.000% due 08/12/2010 2,800 2,800US Treasury Bills0.000% due 05/13/2010 2,800 2,800Federal Home Loan Bank0.000% due 04/06/2010 2,800 2,800Israel Treasury Bills0.000% due 06/02/2010 ILS 10,720 2,779Ford Motor Credit Co. LLC9.750% due 09/15/2010 $ 2,500 2,500Ras Laffan Liquefied Natural Gas Co. Ltd. III4.500% due 09/30/2012 2,380 2,480

(a) The Developing Local Markets Fund is investing in Class Z Income Shares of an affiliatedFund.




Portfolio of Investments and Assets Diversified Income Fund31 December 2010

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS


AUSTRALIA

BHP Billiton Finance USA Ltd.6.500% due 04/01/2019 $ 1,000 $ 1,191 0.06Hanson Australia Funding Ltd.5.250% due 03/15/2013 800 820 0.04National Australia Bank Ltd.3.625% due 11/08/2017 £ 1,500 2,267 0.11Optus Finance Pty Ltd.3.500% due 09/15/2020 € 100 128 0.01Sydney Airport Finance Co. Pty Ltd.5.125% due 02/22/2021 $ 1,400 1,351 0.06Telstra Corp. Ltd.3.625% due 03/15/2021 € 1,600 2,037 0.10Westpac Banking Corp.4.875% due 11/19/2019 $ 700 737 0.03

8,531 0.41

BAHRAIN

Bahrain Government International Bond5.500% due 03/31/2020 1,900 1,942 0.09

BARBADOS

Barrick International Bank Corp.5.750% due 10/15/2016 100 110 0.00Columbus International, Inc.11.500% due 11/20/2014 5,400 6,021 0.29

6,131 0.29

BERMUDA

Intelsat Subsidiary Holding Co. S.A.8.500% due 01/15/2013 5,100 5,132 0.258.875% due 01/15/2015 800 822 0.04Noble Group Ltd.4.875% due 08/05/2015 5,300 5,465 0.266.625% due 08/05/2020 2,000 2,102 0.106.750% due 01/29/2020 5,800 6,446 0.31Qtel International Finance Ltd.3.375% due 10/14/2016 200 191 0.014.750% due 02/16/2021 3,400 3,257 0.155.000% due 10/19/2025 2,000 1,819 0.09

25,234 1.21

BRAZIL

Banco do Brasil S.A.4.500% due 01/22/2015 8,100 8,465 0.406.000% due 01/22/2020 1,500 1,627 0.08Banco Nacional de Desenvolvimento Economico e

Social4.125% due 09/15/2017 € 2,100 2,761 0.13Banco Santander Brasil S.A.4.500% due 04/06/2015 $ 300 308 0.02BM&FBovespa S.A.5.500% due 07/16/2020 1,500 1,534 0.07Brazil Government International Bond4.875% due 01/22/2021 7,000 7,175 0.345.875% due 01/15/2019 1,100 1,227 0.067.875% due 03/07/2015 5,200 6,240 0.308.875% due 10/14/2019 6,241 8,269 0.408.875% due 04/15/2024 650 900 0.04Brazil Notas do Tesouro Nacional Series F10.000% due 01/01/2012 BRL 6,287 3,720 0.1810.000% due 01/01/2017 7,838 4,330 0.2010.000% due 01/01/2021 2,307 1,225 0.06Centrais Eletricas Brasileiras S.A.6.875% due 07/30/2019 $ 5,900 6,697 0.32CSN Islands IX Corp.10.500% due 01/15/2015 2,400 2,970 0.14CSN Islands XI Corp.6.875% due 09/21/2019 6,500 7,052 0.34

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

CSN Resources S.A.6.500% due 07/21/2020 $ 2,000 $ 2,120 0.10Fibria Overseas Finance Ltd.7.500% due 05/04/2020 2,300 2,426 0.12Gerdau Holdings, Inc.7.000% due 01/20/2020 5,000 5,525 0.27GTL Trade Finance, Inc.7.250% due 10/20/2017 2,500 2,762 0.13Petrobras International Finance Co.7.875% due 03/15/2019 6,800 8,073 0.39Vale Overseas Ltd.5.625% due 09/15/2019 500 535 0.036.250% due 01/23/2017 400 447 0.026.875% due 11/21/2036 1,800 1,985 0.098.250% due 01/17/2034 2,450 3,059 0.15

91,432 4.38


Gerdau Trade, Inc.5.750% due 01/30/2021 5,500 5,541 0.27Gold Fields Orogen Holding BVI Ltd.4.875% due 10/07/2020 3,600 3,451 0.16

8,992 0.43

CANADA

Anadarko Finance Co.7.500% due 05/01/2031 1,700 1,885 0.09Canada Government Bond2.500% due 06/01/2015 CAD 16,600 16,851 0.81Harvest Operations Corp.6.875% due 10/01/2017 $ 500 517 0.02Kinder Morgan Finance Co. ULC5.700% due 01/05/2016 100 102 0.01Novelis, Inc.5.000% due 12/14/2016 1,000 1,014 0.058.750% due 12/15/2020 5,100 5,317 0.25Quebecor Media, Inc.7.750% due 03/15/2016 900 934 0.04Rogers Communications, Inc.6.750% due 03/15/2015 1,900 2,208 0.11Sino-Forest Corp.6.250% due 10/21/2017 1,400 1,419 0.07Teck Resources Ltd.3.850% due 08/15/2017 1,400 1,422 0.076.000% due 08/15/2040 700 743 0.049.750% due 05/15/2014 1,400 1,753 0.0810.250% due 05/15/2016 4,900 6,070 0.2910.750% due 05/15/2019 1,100 1,432 0.07Telesat Canada, Inc.11.000% due 11/01/2015 3,400 3,834 0.18Trinidad Drilling Ltd.7.875% due 01/15/2019 300 309 0.01

45,810 2.19

CAYMAN ISLANDS

Caelus Re Ltd.6.544% due 06/07/2011 4,300 4,322 0.21Hutchison Whampoa Finance CI Ltd.7.450% due 08/01/2017 4,100 4,825 0.23Hutchison Whampoa International Ltd.5.750% due 09/11/2019 9,050 9,725 0.467.625% due 04/09/2019 800 963 0.05IPIC GMTN Ltd.3.125% due 11/15/2015 3,500 3,436 0.175.000% due 11/15/2020 12,350 12,159 0.58MUFG Capital Finance 1 Ltd.6.346% due 07/29/2049 200 202 0.01MUFG Capital Finance 2 Ltd.4.850% due 07/29/2049 € 100 124 0.01MUFG Capital Finance 5 Ltd.6.299% due 01/29/2049 £ 1,100 1,610 0.08Noble Holding International Ltd.6.200% due 08/01/2040 $ 300 322 0.01

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Odebrecht Drilling Norbe VIII & IX Ltd.6.350% due 06/30/2021 $ 3,800 $ 3,971 0.19Olympic CLO Ltd.0.716% due 05/15/2016 151 148 0.01Peru Enhanced Pass-Through Finance Ltd.0.000% due 05/31/2018 1,937 1,592 0.08Petrobras International Finance Co.6.125% due 10/06/2016 3,500 3,868 0.18Punch Taverns Finance B Ltd.1.858% due 06/30/2035 £ 500 199 0.015.943% due 12/30/2024 100 120 0.016.962% due 06/30/2028 400 285 0.017.369% due 06/30/2022 900 1,240 0.06QNB Finance Ltd.3.125% due 11/16/2015 $ 15,000 14,700 0.70Residential Reinsurance 2008 Ltd.7.046% due 06/06/2011 250 254 0.01SMFG Preferred Capital GBP 2 Ltd.10.231% due 07/29/2049 £ 800 1,440 0.07Trafford Centre Finance Ltd.6.500% due 07/28/2033 600 1,081 0.058.280% due 10/28/2022 100 167 0.01Transocean, Inc.1.500% due 12/15/2037 $ 3,200 3,163 0.154.950% due 11/15/2015 2,200 2,276 0.115.250% due 03/15/2013 700 738 0.03UPCB Finance Ltd.7.625% due 01/15/2020 € 900 1,274 0.06Usiminas Commercial Ltd.7.250% due 01/18/2018 $ 500 554 0.03Whitney CLO Ltd.0.586% due 03/01/2017 950 920 0.04Yorkshire Water Services Odsal Finance Ltd.6.588% due 02/21/2023 £ 300 543 0.03

76,221 3.65

CHILE

Banco del Estado de Chile4.125% due 10/07/2020 $ 1,100 1,049 0.05Banco Santander Chile1.539% due 04/20/2012 5,000 5,000 0.243.750% due 09/22/2015 900 902 0.04Celulosa Arauco y Constitucion S.A.5.000% due 01/21/2021 1,800 1,776 0.087.250% due 07/29/2019 1,100 1,268 0.06E.CL S.A.5.625% due 01/15/2021 1,800 1,791 0.09

11,786 0.56

COLOMBIA

Colombia Government International Bond2.092% due 11/16/2015 3,900 3,949 0.197.375% due 01/27/2017 5,200 6,162 0.298.250% due 12/22/2014 6,000 7,065 0.34Ecopetrol S.A.7.625% due 07/23/2019 5,210 6,043 0.29

23,219 1.11

EGYPT

Egypt Treasury Bills0.000% due 04/19/2011 EGP 42,700 7,170 0.34Petroleum Export II Ltd.6.340% due 06/20/2011 $ 83 82 0.00Petroleum Export III Ltd.3.319% due 12/07/2012 1,800 1,795 0.09Petroleum Export Ltd.5.265% due 06/15/2011 139 139 0.01

9,186 0.44

EL SALVADOR

AES El Salvador Trust6.750% due 02/01/2016 600 583 0.03


Portfolio of Investments and Assets Diversified Income Fund (Cont.)

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

FINLAND

Nokia OYJ5.375% due 05/15/2019 $ 2,000 $ 2,114 0.10

FRANCE

Banque PSA Finance8.500% due 05/04/2012 € 2,000 2,885 0.14BNP Paribas0.463% due 04/27/2017 $ 1,500 1,460 0.076.117% due 10/30/2017 € 6,850 7,168 0.34BPCE S.A.2.375% due 10/04/2013 $ 2,400 2,394 0.11Cie Generale de Geophysique-Veritas7.750% due 05/15/2017 625 644 0.039.500% due 05/15/2016 200 219 0.01Credit Agricole S.A.7.375% due 12/18/2023 £ 200 328 0.027.589% due 01/29/2049 800 1,134 0.058.375% due 10/29/2049 $ 200 206 0.01Crown European Holdings S.A.7.125% due 08/15/2018 € 1,200 1,686 0.08EDF S.A.5.125% due 09/22/2050 £ 1,600 2,445 0.126.875% due 12/12/2022 800 1,481 0.07GDF Suez6.125% due 02/11/2021 1,300 2,281 0.11Pernod-Ricard S.A.7.000% due 01/15/2015 € 2,900 4,297 0.21RCI Banque S.A.3.375% due 01/23/2013 800 1,084 0.05Rhodia S.A.3.735% due 10/15/2013 1,413 1,895 0.096.875% due 09/15/2020 $ 2,000 2,037 0.10Societe Generale2.200% due 09/14/2013 500 498 0.037.756% due 05/29/2049 € 500 661 0.03

34,803 1.67

GERMANY

Franz Haniel & Cie GmbH6.750% due 10/23/2014 3,200 4,625 0.22Hapag-Lloyd AG9.000% due 10/15/2015 200 288 0.01Kabel Deutschland4.500% due 12/20/2016 3,000 4,050 0.19Republic of Germany4.250% due 07/04/2018 5,900 8,763 0.42Unitymedia Hessen GmbH & Co. KG8.125% due 12/01/2017 1,400 1,998 0.10

19,724 0.94

HONG KONG

Sinochem Overseas Capital Co. Ltd.4.500% due 11/12/2020 $ 2,200 2,177 0.10

INDIA

Indian Oil Corp. Ltd.4.750% due 01/22/2015 900 927 0.05Reliance Holdings USA, Inc.4.500% due 10/19/2020 500 478 0.02State Bank of India4.500% due 07/27/2015 3,500 3,582 0.17

4,987 0.24

INDONESIA

Indonesia Government International Bond5.875% due 03/13/2020 2,200 2,425 0.126.750% due 03/10/2014 900 1,009 0.056.875% due 03/09/2017 600 694 0.036.875% due 01/17/2018 600 699 0.039.500% due 07/15/2031 IDR 42,000,000 4,745 0.2310.000% due

02/15/2028 42,000,000 5,003 0.24

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

10.500% due08/15/2030 IDR 21,000,000 $ 2,588 0.12

11.625% due03/04/2019 $ 2,300 3,421 0.16

Listrindo Capital BV9.250% due

01/29/2015 200 226 0.01Majapahit Holding BV7.250% due

06/28/2017 1,200 1,367 0.077.750% due

01/20/2020 2,600 3,009 0.147.875% due

06/29/2037 100 116 0.018.000% due

08/07/2019 2,200 2,582 0.1227,884 1.33

IRELAND

Aquilae CLO PLC1.341% due

01/17/2023 € 1,893 2,253 0.11Ardagh Packaging Finance PLC7.375% due

10/15/2017 3,100 4,200 0.20GE Capital UK Funding6.250% due

05/05/2038 £ 1,400 2,338 0.118.000% due

01/14/2039 1,500 3,042 0.15LeasePlan Finance NV3.750% due

03/18/2013 € 400 544 0.02SHARES

PIMCO US Dollar Short-Term Floating NAVFund (a) 1,668,217 16,686 0.80

PAR(000S)

RZD Capital Ltd.5.739% due

04/03/2017 $ 2,800 2,920 0.14Smurfit Kappa Acquisitions7.750% due

11/15/2019 € 3,200 4,551 0.22Smurfit Kappa Funding PLC7.750% due

04/01/2015 $ 1,400 1,442 0.0737,976 1.82

ITALY

Lottomatica SpA8.250% due

03/31/2066 € 500 656 0.03

JAPAN

Resona Bank Ltd.5.850% due

09/29/2049 $ 200 200 0.01

JERSEY, CHANNEL ISLANDS

BAA Funding Ltd.5.225% due

02/15/2023 £ 1,000 1,482 0.07Bank of Scotland Capital Funding LP6.059% due

03/29/2049 200 255 0.01HBOS Capital Funding LP6.461% due

11/29/2049 6,360 7,667 0.37HSBC Bank Funding Sterling LP5.862% due

04/29/2049 600 864 0.04HSBC Capital Funding LP4.610% due

12/29/2049 $ 1,700 1,611 0.0811,879 0.57

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

JORDAN

Jordan Government International Bond3.875% due 11/12/2015 $ 1,900 $ 1,817 0.09

KAZAKHSTAN

Intergas Finance BV6.875% due 11/04/2011 147 153 0.01KazMunayGas National Co.6.375% due 04/09/2021 8,000 7,920 0.387.000% due 05/05/2020 2,000 2,090 0.108.375% due 07/02/2013 2,300 2,547 0.1211.750% due 01/23/2015 7,800 9,731 0.47Tengizchevroil Finance Co. SARL6.124% due 11/15/2014 686 720 0.03

23,161 1.11

LUXEMBOURG

ArcelorMittal7.000% due 10/15/2039 1,800 1,874 0.099.850% due 06/01/2019 700 886 0.04Fiat Finance & Trade S.A.6.625% due 02/15/2013 € 2,000 2,804 0.137.625% due 09/15/2014 3,900 5,587 0.279.000% due 07/30/2012 700 1,012 0.05Intelsat Jackson Holdings S.A.5.250% due 04/03/2018 $ 5,000 5,055 0.247.250% due 10/15/2020 1,500 1,523 0.079.500% due 06/15/2016 700 742 0.04OXEA Finance9.625% due 07/15/2017 € 600 898 0.05Telenet Finance Luxembourg SCA6.375% due 11/15/2020 500 677 0.03Wind Acquisition Finance S.A.7.250% due 02/15/2018 $ 6,500 6,630 0.3211.750% due 07/15/2017 € 2,400 3,590 0.17

31,278 1.50

MEXICO

America Movil SAB de C.V.5.000% due 03/30/2020 $ 1,400 1,462 0.075.750% due 06/28/2030 £ 1,800 2,898 0.146.375% due 03/01/2035 $ 300 330 0.028.460% due 12/18/2036 MXN 15,000 1,127 0.05Banco Mercantil del Norte S.A.4.375% due 07/19/2015 $ 500 510 0.02BBVA Bancomer S.A.7.250% due 04/22/2020 700 742 0.04C8 Capital SPV Ltd.6.640% due 12/29/2049 1,700 1,203 0.06Cemex Finance LLC9.500% due 12/14/2016 3,000 3,109 0.15Corp. GEO SAB de C.V.8.875% due 09/25/2014 800 902 0.049.250% due 06/30/2020 3,600 4,095 0.20Desarrolladora Homex SAB de C.V.7.500% due 09/28/2015 2,600 2,698 0.139.500% due 12/11/2019 450 517 0.02Hipotecaria Su Casita S.A. de C.V.8.500% due 10/04/2016 550 234 0.01Mexico Government International Bond5.625% due 01/15/2017 4,740 5,266 0.255.750% due 10/12/2110 1,000 892 0.045.950% due 03/19/2019 10,000 11,200 0.546.050% due 01/11/2040 4,000 4,110 0.206.750% due 09/27/2034 1,020 1,153 0.057.250% due 12/15/2016 MXN 12,400 1,046 0.058.125% due 12/30/2019 $ 3,100 3,960 0.19Pemex Project Funding Master Trust5.500% due 02/24/2025 € 1,000 1,313 0.065.750% due 03/01/2018 $ 1,940 2,084 0.10Petroleos Mexicanos4.875% due 03/15/2015 4,440 4,696 0.225.500% due 01/21/2021 3,500 3,561 0.178.000% due 05/03/2019 8,220 9,946 0.48


31 December 2010

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Telefonos de Mexico SAB de C.V.8.750% due 01/31/2016 MXN 18,000 $ 1,498 0.07Urbi Desarrollos Urbanos SAB de C.V.9.500% due 01/21/2020 $ 700 803 0.04

71,355 3.41

NETHERLANDS

Conti-Gummi Finance BV8.500% due 07/15/2015 € 4,800 7,035 0.34Cooperatieve Centrale Raiffeisen-Boerenleenbank BA6.875% due 03/19/2020 10,050 12,810 0.6111.000% due 06/29/2049 $ 3,500 4,537 0.2211.000% due 12/29/2049 3,100 4,013 0.19Corio NV4.625% due 01/22/2018 € 600 807 0.04Deutsche Telekom International Finance BV6.500% due 04/08/2022 £ 2,100 3,592 0.17EMF-NL1.787% due 04/17/2041 € 100 106 0.01Eurosail PLC1.737% due 10/17/2040 1,567 1,943 0.09HeidelbergCement Finance BV6.750% due 12/15/2015 600 849 0.047.500% due 10/31/2014 3,300 4,770 0.238.000% due 01/31/2017 500 718 0.03ING Groep NV5.140% due 03/29/2049 £ 4,200 5,113 0.24Kazakhstan Temir Zholy Finance BV6.375% due 10/06/2020 $ 1,500 1,573 0.08Koninklijke KPN NV5.750% due 03/18/2016 £ 1,200 2,034 0.10NXP BV3.039% due 10/15/2013 $ 4,500 4,449 0.219.750% due 08/01/2018 300 339 0.02OI European Group BV6.750% due 09/15/2020 € 700 949 0.046.875% due 03/31/2017 140 196 0.01SABIC Capital I BV3.000% due 11/02/2015 $ 15,700 15,550 0.74Scotland International Finance No. 2 BV4.250% due 05/23/2013 400 396 0.02UPC Holding BV8.375% due 08/15/2020 € 7,100 9,888 0.489.875% due 04/15/2018 $ 1,000 1,100 0.05Volkswagen International Finance NV4.000% due 08/12/2020 1,200 1,183 0.06Waha Aerospace BV3.925% due 07/28/2020 3,000 3,031 0.15Ziggo Bond Co. BV8.000% due 05/15/2018 € 4,100 5,693 0.27Ziggo Finance BV6.125% due 11/15/2017 1,300 1,735 0.08

94,409 4.52

NORWAY

DnB NORBank ASA6.012% due 03/29/2049 £ 500 753 0.04

PANAMA

Panama Government International Bond7.250% due 03/15/2015 $ 4,700 5,452 0.26

PERU

Continental Senior Trustees Cayman Ltd.5.500% due 11/18/2020 1,100 1,075 0.05Peru Government International Bond8.375% due 05/03/2016 1,700 2,108 0.109.875% due 02/06/2015 4,500 5,704 0.28

8,887 0.43

PHILIPPINES

Philippine Government International Bond6.500% due 01/20/2020 5,000 5,800 0.28

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

QATAR

Nakilat, Inc.6.067% due 12/31/2033 $ 1,600 $ 1,692 0.08Qatar Government International Bond4.000% due 01/20/2015 400 416 0.025.250% due 01/20/2020 1,900 2,014 0.106.400% due 01/20/2040 3,100 3,379 0.166.550% due 04/09/2019 2,300 2,645 0.13Qatari Diar Finance QSC3.500% due 07/21/2015 2,900 2,904 0.145.000% due 07/21/2020 9,300 9,274 0.44Ras Laffan Liquefied Natural Gas Co. Ltd. III6.332% due 09/30/2027 3,500 3,704 0.186.750% due 09/30/2019 3,500 4,056 0.19

30,084 1.44

ROMANIA

Romania Government International Bond5.000% due 03/18/2015 € 2,100 2,782 0.13

RUSSIA

AK Transneft OJSC Via TransCapitalInvest Ltd.5.670% due 03/05/2014 $ 1,200 1,273 0.066.103% due 06/27/2012 3,700 3,894 0.197.700% due 08/07/2013 3,800 4,226 0.208.700% due 08/07/2018 4,300 5,316 0.25ALROSA Finance S.A.7.750% due 11/03/2020 4,400 4,639 0.22Gazprom OAO Via Gazstream S.A.5.625% due 07/22/2013 346 358 0.02Gazprom OAO Via Morgan Stanley Bank AG9.625% due 03/01/2013 8,780 9,976 0.48Gazprom Via Gaz Capital S.A.5.092% due 11/29/2015 900 927 0.046.212% due 11/22/2016 1,200 1,269 0.066.510% due 03/07/2022 750 769 0.048.146% due 04/11/2018 1,500 1,737 0.089.250% due 04/23/2019 8,550 10,549 0.51Gazprom Via Gazprom International S.A.7.201% due 02/01/2020 290 309 0.01Gazprom Via White Nights Finance BV10.500% due 03/08/2014 1,000 1,197 0.0610.500% due 03/25/2014 4,600 5,504 0.26Russia Government International Bond7.500% due 03/31/2030 28,282 32,780 1.57Russian Agricultural Bank OJSC Via RSHB Capital

S.A.6.299% due 05/15/2017 1,790 1,815 0.097.125% due 01/14/2014 11,200 11,971 0.577.175% due 05/16/2013 2,200 2,353 0.117.750% due 05/29/2018 300 326 0.029.000% due 06/11/2014 6,000 6,780 0.32Sberbank Via SB Capital S.A.5.499% due 07/07/2015 3,700 3,797 0.18TNK-BP Finance S.A.6.125% due 03/20/2012 100 105 0.006.625% due 03/20/2017 2,400 2,556 0.127.500% due 03/13/2013 4,200 4,548 0.227.500% due 07/18/2016 7,250 8,048 0.397.875% due 03/13/2018 4,700 5,352 0.26Vnesheconombank Via VEB Finance Ltd.5.450% due 11/22/2017 1,500 1,504 0.076.800% due 11/22/2025 1,300 1,329 0.07VTB Capital S.A.6.609% due 10/31/2012 2,350 2,516 0.126.875% due 05/29/2018 1,100 1,167 0.06

138,890 6.65

SINGAPORE

Temasek Financial I Ltd.4.300% due 10/25/2019 250 256 0.015.375% due 11/23/2039 1,000 1,039 0.05

1,295 0.06

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

SOUTH AFRICA

AngloGold Ashanti Holdings PLC5.375% due 04/15/2020 $ 700 $ 729 0.04South Africa Government International Bond5.875% due 05/30/2022 160 173 0.016.500% due 06/02/2014 750 847 0.046.875% due 05/27/2019 3,800 4,470 0.21

6,219 0.30

SOUTH KOREA

Export-Import Bank of Korea1.352% due 03/13/2012 1,900 1,899 0.094.000% due 01/29/2021 1,000 938 0.054.125% due 09/09/2015 700 713 0.035.125% due 06/29/2020 9,400 9,670 0.465.875% due 01/14/2015 2,200 2,387 0.12Korea Development Bank8.000% due 01/23/2014 1,500 1,713 0.08Korea Electric Power Corp.3.000% due 10/05/2015 14,600 14,207 0.68Korea Exchange Bank4.875% due 01/14/2016 1,000 1,030 0.05Korea Housing Finance Corp.4.125% due 12/15/2015 500 505 0.02Korea Hydro & Nuclear Power Co. Ltd.3.125% due 09/16/2015 1,300 1,264 0.066.250% due 06/17/2014 3,800 4,176 0.20Korea Midland Power Co. Ltd.5.375% due 02/11/2013 500 528 0.03Republic of Korea4.250% due 06/01/2013 200 210 0.014.875% due 09/22/2014 100 107 0.00

39,347 1.88

SPAIN

Santander Issuances S.A. Unipersonal5.375% due 05/19/2016 £ 200 305 0.026.533% due 10/24/2017 300 459 0.02Santander US Debt S.A. Unipersonal0.689% due 10/21/2011 $ 400 397 0.021.103% due 03/30/2012 700 692 0.03Telefonica Emisiones SAU0.616% due 02/04/2013 400 393 0.025.855% due 02/04/2013 900 962 0.04

3,208 0.15

SWITZERLAND

UBS AG4.875% due 08/04/2020 1,300 1,325 0.075.250% due 06/21/2021 £ 300 471 0.025.750% due 04/25/2018 $ 2,100 2,285 0.115.875% due 12/20/2017 3,400 3,745 0.186.375% due 07/20/2016 £ 400 686 0.036.375% due 11/19/2024 500 822 0.04

9,334 0.45

TRINIDAD AND TOBAGO

Petroleum Co. of Trinidad & Tobago Ltd.6.000% due 05/08/2022 $ 728 734 0.049.750% due 08/14/2019 1,800 2,169 0.10

2,903 0.14

TURKEY

Turkey Government International Bond5.625% due 03/30/2021 12,200 12,749 0.616.750% due 04/03/2018 1,600 1,832 0.096.750% due 05/30/2040 3,200 3,504 0.176.875% due 03/17/2036 1,600 1,792 0.087.000% due 03/11/2019 500 580 0.037.250% due 03/05/2038 900 1,052 0.057.375% due 02/05/2025 700 833 0.04

22,342 1.07



DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS


DP World Ltd.6.850% due 07/02/2037 $ 500 $ 461 0.02

UNITED KINGDOM

Abbey National Treasury Services PLC3.375% due 10/20/2015 € 1,200 1,528 0.07Anglian Water Services Financing PLC5.837% due 07/30/2022 £ 200 333 0.02Anglo American Capital PLC9.375% due 04/08/2014 $ 1,100 1,325 0.06Arran Residential Mortgages Funding PLC2.203% due 05/16/2047 € 1,000 1,341 0.06AWG PLC6.875% due 08/21/2023 £ 200 363 0.02BAA SH PLC7.125% due 03/01/2017 200 313 0.01Bank of Scotland PLC7.281% due 05/29/2049 700 855 0.049.375% due 05/15/2021 300 519 0.03Barclays Bank PLC4.750% due 03/29/2049 € 100 89 0.015.000% due 09/22/2016 $ 2,500 2,649 0.135.200% due 07/10/2014 6,200 6,702 0.325.750% due 08/17/2021 £ 1,600 2,540 0.125.926% due 09/29/2049 $ 1,400 1,260 0.066.000% due 06/29/2049 £ 4,550 5,770 0.276.369% due 06/29/2049 1,200 1,625 0.086.750% due 05/22/2019 $ 200 226 0.016.750% due 01/16/2023 £ 500 813 0.047.434% due 09/29/2049 $ 5,000 4,938 0.2310.000% due 05/21/2021 £ 2,700 5,158 0.2510.179% due 06/12/2021 $ 1,520 1,896 0.0914.000% due 11/29/2049 £ 300 566 0.03BAT International Finance PLC6.000% due 06/29/2022 1,000 1,674 0.087.250% due 03/12/2024 200 369 0.02BP Capital Markets PLC2.750% due 02/27/2012 $ 1,040 1,053 0.053.625% due 05/08/2014 200 206 0.013.750% due 06/17/2013 1,800 1,862 0.094.750% due 03/10/2019 180 186 0.015.250% due 11/07/2013 1,700 1,842 0.09British Telecommunications PLC8.750% due 12/07/2016 £ 300 561 0.029.875% due 12/15/2030 $ 900 1,203 0.06Broadgate Financing PLC4.821% due 07/05/2033 £ 500 738 0.034.851% due 04/05/2031 500 745 0.044.999% due 10/05/2031 200 292 0.01Canary Wharf Finance II PLC5.952% due 01/22/2035 100 170 0.016.800% due 04/22/2030 84 144 0.01Eastern Power Networks PLC5.750% due 03/08/2024 800 1,293 0.06Enterprise Inns PLC6.500% due 12/06/2018 2,100 2,861 0.146.875% due 02/15/2021 400 522 0.03ENW Finance PLC6.125% due 07/21/2021 800 1,382 0.07FCE Bank PLC7.125% due 01/16/2012 € 400 553 0.03Granite Master Issuer PLC0.401% due 12/20/2054 $ 220 205 0.010.692% due 12/17/2054 £ 110 160 0.000.702% due 12/20/2054 110 160 0.01Greene King Finance PLC1.579% due 03/15/2036 100 104 0.015.106% due 03/15/2034 200 282 0.01HSBC Bank PLC4.750% due 03/24/2046 1,000 1,275 0.065.000% due 03/20/2023 100 152 0.005.375% due 11/04/2030 400 579 0.035.375% due 08/22/2033 3,200 4,589 0.22HSBC Holdings PLC5.750% due 12/20/2027 100 150 0.01

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

6.000% due 03/29/2040 £ 800 $ 1,237 0.066.375% due 10/18/2022 1,500 2,498 0.126.500% due 05/02/2036 $ 650 681 0.03Imperial Tobacco Finance PLC9.000% due 02/17/2022 £ 2,200 4,436 0.21Ineos Finance PLC9.000% due 05/15/2015 $ 300 321 0.029.250% due 05/15/2015 € 1,200 1,718 0.08Ineos Group Holdings PLC7.875% due 02/15/2016 200 241 0.018.500% due 02/15/2016 $ 4,950 4,740 0.23John Lewis PLC6.125% due 01/21/2025 £ 1,500 2,387 0.11Land Securities Capital Markets PLC5.376% due 09/30/2029 800 1,261 0.065.391% due 03/31/2027 200 318 0.01LBG Capital No.1 PLC6.439% due 05/23/2020 € 900 978 0.057.375% due 03/12/2020 100 117 0.017.588% due 05/12/2020 £ 2,100 2,844 0.147.625% due 10/14/2020 € 100 117 0.007.869% due 08/25/2020 £ 1,200 1,653 0.088.500% due 12/29/2049 $ 2,850 2,521 0.1211.040% due 03/19/2020 £ 700 1,118 0.05LBG Capital No.2 PLC11.250% due 09/14/2023 2,950 4,780 0.2315.000% due 12/21/2019 100 200 0.01Lloyds TSB Bank PLC5.750% due 07/09/2025 200 282 0.025.800% due 01/13/2020 $ 3,000 2,967 0.146.500% due 09/17/2040 £ 800 1,162 0.057.500% due 04/15/2024 200 331 0.027.625% due 04/22/2025 1,400 2,123 0.1012.000% due 12/29/2049 $ 3,100 3,384 0.16Marstons Issuer PLC5.641% due 07/15/2035 £ 100 139 0.01Mitchells & Butlers Finance PLC6.469% due 09/15/2030 600 883 0.04Mound Financing PLC0.859% due 02/08/2042 100 153 0.01National Grid Electricity Transmission PLC5.875% due 02/02/2024 700 1,185 0.06National Westminster Bank PLC6.500% due 09/07/2021 200 289 0.017.875% due 09/09/2015 100 165 0.01Newgate Funding PLC1.349% due 12/15/2050 231 350 0.021.626% due 12/15/2050 € 1,000 1,128 0.05Northumbrian Water Finance PLC6.875% due 02/06/2023 £ 1,200 2,201 0.10Pearson Dollar Finance Two PLC5.500% due 05/06/2013 $ 700 755 0.04Punch Taverns Finance PLC5.883% due 10/15/2026 £ 89 101 0.00Royal Bank of Scotland Group PLC5.000% due 10/01/2014 $ 2,000 1,926 0.096.400% due 10/21/2019 500 504 0.026.990% due 10/29/2049 1,300 1,008 0.057.648% due 08/29/2049 1,100 925 0.05Royal Bank of Scotland PLC0.489% due 04/11/2016 1,100 909 0.040.569% due 10/14/2016 300 248 0.012.704% due 08/23/2013 1,700 1,727 0.093.400% due 08/23/2013 2,500 2,527 0.124.625% due 09/22/2021 € 400 441 0.025.625% due 08/24/2020 $ 3,800 3,785 0.186.625% due 09/17/2018 £ 700 1,138 0.066.875% due 05/17/2025 500 760 0.047.500% due 04/29/2024 900 1,464 0.07Santander UK PLC6.984% due 08/29/2049 200 265 0.01Scottish & Southern Energy PLC5.875% due 09/22/2022 100 170 0.01Segro PLC5.625% due 12/07/2020 300 463 0.025.750% due 06/20/2035 500 736 0.046.750% due 02/23/2024 400 673 0.03

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Severn Trent Utilities Finance PLC6.125% due 02/26/2024 £ 100 $ 171 0.01Southern Gas Networks PLC4.875% due 03/21/2029 400 594 0.03Spirit Issuer PLC1.836% due 12/28/2011 300 319 0.015.472% due 12/28/2028 100 119 0.016.582% due 12/28/2018 1,100 1,455 0.07Tesco Property Finance 2 PLC6.052% due 10/13/2039 3,071 5,213 0.25Tesco Property Finance 3 PLC5.744% due 04/13/2040 2,600 4,217 0.20Unique Pub Finance Co. PLC5.659% due 06/30/2027 600 725 0.03Virgin Media Secured Finance PLC6.500% due 01/15/2018 $ 900 952 0.057.000% due 01/15/2018 £ 5,600 9,304 0.44Yorkshire Water Services Finance Ltd.5.500% due 05/28/2037 100 164 0.01

160,787 7.70

UNITED STATES


ACE Securities Corp.0.311% due 12/25/2036 $ 71 68 0.000.351% due 06/25/2037 290 283 0.01Bayview Financial Asset Trust0.861% due 12/25/2039 154 109 0.01Bear Stearns Asset-Backed Securities Trust0.341% due 10/25/2036 85 80 0.000.351% due 06/25/2047 603 580 0.030.811% due 09/25/2034 4,406 4,205 0.201.261% due 10/25/2037 678 450 0.02Countrywide Asset-Backed Certificates0.441% due 09/25/2036 1,785 1,514 0.076.017% due 09/25/2046 (b) 963 778 0.04Endurance CLO I Ltd.0.736% due 02/15/2014 1,015 985 0.05First Franklin Mortgage Loan Asset-Backed

Certificates0.311% due 11/25/2036 125 124 0.010.371% due 11/25/2036 3,800 3,551 0.17HSI Asset Securitization Corp. Trust0.311% due 12/25/2036 71 70 0.000.371% due 12/25/2036 1,000 473 0.02Indymac Residential Asset-Backed Trust0.341% due 07/25/2037 16 16 0.00JPMorgan Mortgage Acquisition Corp.0.311% due 10/25/2036 213 207 0.010.341% due 03/25/2037 147 138 0.01Lehman ABS Mortgage Loan Trust0.351% due 06/25/2037 262 109 0.01Lehman XS Trust0.381% due 06/25/2036 102 96 0.010.491% due 06/25/2046 (b) 356 36 0.000.501% due 09/25/2046 553 88 0.00Long Beach Mortgage Loan Trust0.591% due 01/25/2046 23 13 0.00Merrill Lynch First Franklin Mortgage Loan Trust0.321% due 07/25/2037 287 285 0.01Morgan Stanley ABS Capital I0.301% due 10/25/2036 10 10 0.000.361% due 09/25/2036 18 16 0.00Morgan Stanley Mortgage Loan Trust5.750% due 11/25/2036 377 192 0.01Residential Asset Securities Corp.0.371% due 04/25/2037 217 212 0.01Soundview Home Equity Loan Trust0.321% due 11/25/2036 59 22 0.000.341% due 06/25/2037 166 149 0.01

14,859 0.71

BANK LOAN OBLIGATIONS

AGFS Funding Co.7.250% due 04/21/2015 9,000 9,138 0.44


31 December 2010

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Biomet, Inc.3.261% due 03/25/2015 $ 576 $ 575 0.033.303% due 03/25/2015 1,912 1,909 0.09Charter Communications Operating, LLC3.560% due 09/06/2016 2,992 2,960 0.14CIT Group, Inc.6.250% due 08/11/2015 2,000 2,043 0.10Community Health Systems, Inc.2.549% due 07/25/2014 1,427 1,393 0.072.549% due 01/25/2017 73 72 0.00CSC Holdings LLC2.011% due 01/29/2016 1,396 1,399 0.07Ford Motor Co.3.020% due 12/15/2013 15,726 15,685 0.753.290% due 12/15/2013 1,000 997 0.05Graham Packaging Co. LP6.000% due 09/23/2016 1,995 2,021 0.10HCA, Inc.1.553% due 11/17/2012 4,000 3,947 0.192.553% due 11/17/2013 4,000 3,966 0.19International Lease Finance Corp.6.750% due 03/17/2015 1,800 1,834 0.097.000% due 03/17/2016 1,300 1,324 0.06Texas Competitive Electric Holdings Co. LLC3.764% due 10/10/2014 2,446 1,889 0.09United Components, Inc.6.250% due 09/13/2013 1,000 1,011 0.05

52,163 2.51

CONVERTIBLE BONDS & NOTES

Amgen, Inc.0.125% due 02/01/2011 100 100 0.00Boston Properties LP2.875% due 02/15/2037 800 816 0.04

916 0.04


AES Corp.8.000% due 10/15/2017 525 558 0.038.000% due 06/01/2020 200 213 0.01Air 2 US8.027% due 10/01/2019 208 211 0.01Alcoa, Inc.6.150% due 08/15/2020 1,000 1,029 0.056.750% due 07/15/2018 400 436 0.02Ally Financial, Inc.6.000% due 12/15/2011 100 102 0.016.250% due 12/01/2017 5,900 5,907 0.286.625% due 05/15/2012 3,100 3,223 0.156.875% due 09/15/2011 700 718 0.046.875% due 08/28/2012 400 418 0.027.000% due 02/01/2012 9,300 9,651 0.467.250% due 03/02/2011 2,000 2,013 0.107.500% due 12/31/2013 800 866 0.048.300% due 02/12/2015 1,500 1,654 0.08Altria Group, Inc.7.750% due 02/06/2014 100 115 0.019.250% due 08/06/2019 2,300 3,007 0.149.700% due 11/10/2018 1,100 1,453 0.079.950% due 11/10/2038 700 989 0.05American Airlines Pass-Through Trust 2009-1A10.375% due 07/02/2019 1,677 1,978 0.09American Express Bank FSB5.500% due 04/16/2013 2,100 2,265 0.11American Express Centurion Bank6.000% due 09/13/2017 1,300 1,451 0.07American Express Credit Corp.5.375% due 10/01/2014 £ 50 82 0.00American International Group, Inc.0.298% due 04/03/2012 JPY 90,000 1,089 0.050.399% due 10/18/2011 $ 200 198 0.011.179% due 04/26/2011 € 200 267 0.013.650% due 01/15/2014 $ 4,800 4,889 0.235.000% due 06/26/2017 € 100 127 0.015.000% due 04/26/2023 £ 1,300 1,714 0.08

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

5.050% due 10/01/2015 $ 900 $ 928 0.055.450% due 05/18/2017 100 101 0.015.600% due 10/18/2016 1,600 1,656 0.085.750% due 03/15/2067 £ 1,200 1,494 0.075.850% due 01/16/2018 $ 9,125 9,436 0.456.250% due 05/01/2036 1,900 1,835 0.098.000% due 05/22/2038 € 200 260 0.018.250% due 08/15/2018 $ 2,900 3,351 0.168.625% due 05/22/2038 £ 1,100 1,705 0.08American Stores Co.7.100% due 03/20/2028 $ 370 283 0.01AmeriGas Partners LP7.125% due 05/20/2016 525 546 0.037.250% due 05/20/2015 700 723 0.03Anadarko Petroleum Corp.5.950% due 09/15/2016 1,900 2,044 0.106.375% due 09/15/2017 7,700 8,399 0.40Anheuser-Busch InBev Worldwide, Inc.4.125% due 01/15/2015 6,400 6,747 0.325.375% due 01/15/2020 100 108 0.01ARAMARK Corp.3.787% due 02/01/2015 625 614 0.038.500% due 02/01/2015 470 494 0.02ArvinMeritor, Inc.8.125% due 09/15/2015 1,500 1,577 0.08BAC Capital Trust VII5.250% due 08/10/2035 £ 3,600 3,833 0.18BAE Systems Holdings, Inc.5.200% due 08/15/2015 $ 400 427 0.02Bank of America Corp.3.700% due 09/01/2015 500 496 0.025.250% due 12/01/2015 4,300 4,377 0.215.500% due 12/04/2019 £ 100 149 0.015.750% due 12/01/2017 $ 1,000 1,042 0.056.125% due 09/15/2021 £ 1,500 2,284 0.117.000% due 07/31/2028 2,700 4,221 0.207.375% due 05/15/2014 $ 1,300 1,446 0.07Bear Stearns Cos., LLC4.650% due 07/02/2018 500 514 0.026.400% due 10/02/2017 7,265 8,294 0.407.250% due 02/01/2018 2,250 2,670 0.13Berkshire Hathaway Finance Corp.5.400% due 05/15/2018 1,500 1,648 0.08Berry Petroleum Co.10.250% due 06/01/2014 200 230 0.01Berry Plastics Corp.5.039% due 02/15/2015 1,900 1,843 0.098.250% due 11/15/2015 2,000 2,130 0.109.750% due 01/15/2021 3,400 3,383 0.16Biomet, Inc.10.000% due 10/15/2017 1,150 1,262 0.0610.375% due 10/15/2017 (c) 900 988 0.0511.625% due 10/15/2017 1,940 2,153 0.10Boston Scientific Corp.6.000% due 01/15/2020 4,000 4,177 0.20Brocade Communications Systems, Inc.6.875% due 01/15/2020 1,400 1,498 0.07Calpine Corp.7.875% due 07/31/2020 6,700 6,817 0.33CBA Capital Trust II6.024% due 03/29/2049 200 196 0.01CDX N.A. High Yield7.125% due 12/29/2011 2,250 2,372 0.11CEDC Finance Corp. International, Inc.9.125% due 12/01/2016 400 427 0.02Celanese US Holdings LLC6.625% due 10/15/2018 900 931 0.04Chart Industries, Inc.9.125% due 10/15/2015 300 310 0.01Charter Communications Operating LLC8.000% due 04/30/2012 3,100 3,270 0.16Chesapeake Energy Corp.7.625% due 07/15/2013 400 436 0.029.500% due 02/15/2015 1,800 2,038 0.10CIT Group, Inc.7.000% due 05/01/2013 16,863 17,243 0.83

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

7.000% due 05/01/2014 $ 11,195 $ 11,335 0.547.000% due 05/01/2015 3,395 3,412 0.167.000% due 05/01/2016 159 160 0.017.000% due 05/01/2017 222 223 0.01Citigroup Capital XXI8.300% due 12/21/2057 1,525 1,594 0.08Citigroup, Inc.2.286% due 08/13/2013 4,300 4,376 0.214.750% due 05/19/2015 4,200 4,402 0.215.375% due 08/09/2020 2,700 2,810 0.135.500% due 04/11/2013 825 879 0.045.500% due 10/15/2014 2,000 2,157 0.105.850% due 08/02/2016 100 107 0.015.875% due 07/01/2024 £ 1,300 1,812 0.096.000% due 08/15/2017 $ 700 760 0.046.125% due 05/15/2018 5,400 5,925 0.286.393% due 03/06/2023 € 500 662 0.037.375% due 09/01/2039 £ 2,800 4,841 0.238.500% due 05/22/2019 $ 500 622 0.03Cleveland Electric Illuminating Co.5.650% due 12/15/2013 940 1,029 0.05CMS Energy Corp.6.250% due 02/01/2020 800 820 0.04Comcast Corp.5.900% due 03/15/2016 100 112 0.01Community Health Systems, Inc.8.875% due 07/15/2015 6,100 6,420 0.31Concho Resources, Inc.7.000% due 01/15/2021 500 514 0.02Consol Energy, Inc.8.000% due 04/01/2017 1,200 1,284 0.068.250% due 04/01/2020 3,750 4,069 0.20Continental Airlines 2009-1 Pass-Through Trust9.000% due 07/08/2016 960 1,099 0.05Continental Airlines 2009-2 Class A Pass-Through

Trust7.250% due 11/10/2019 1,653 1,843 0.09Continental Airlines 2010-1 Class A Pass-Through

Trust4.750% due 01/12/2021 1,800 1,800 0.09Continental Airlines 2010-1 Class B Pass-Through

Trust6.000% due 01/12/2019 900 900 0.04Continental Resources, Inc.7.125% due 04/01/2021 600 633 0.03Credit Suisse Group Finance US, Inc.7.000% due 10/05/2020 £ 200 343 0.02CSC Holdings LLC7.625% due 04/01/2011 $ 300 304 0.027.625% due 07/15/2018 800 872 0.047.875% due 02/15/2018 2,890 3,230 0.168.500% due 04/15/2014 2,900 3,201 0.158.625% due 02/15/2019 1,000 1,135 0.05CVS Pass-Through Trust7.507% due 01/10/2032 886 1,009 0.05DaVita, Inc.6.375% due 11/01/2018 3,300 3,292 0.16Delta Air Lines 2010-2 Class A Pass-Through Trust4.950% due 05/23/2019 3,000 3,011 0.14Digital Realty Trust LP5.875% due 02/01/2020 900 917 0.04DISH DBS Corp.6.375% due 10/01/2011 2,200 2,271 0.116.625% due 10/01/2014 700 728 0.037.000% due 10/01/2013 300 322 0.027.125% due 02/01/2016 3,675 3,813 0.187.875% due 09/01/2019 2,400 2,520 0.12Dynegy Holdings, Inc.7.125% due 05/15/2018 100 64 0.007.750% due 06/01/2019 800 538 0.03El Paso Corp.7.250% due 06/01/2018 200 215 0.017.875% due 06/15/2012 2,150 2,276 0.118.250% due 02/15/2016 2,200 2,563 0.12El Paso Natural Gas Co.5.950% due 04/15/2017 800 862 0.04



DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

El Paso Performance-Linked Trust7.750% due 07/15/2011 $ 4,000 $ 4,115 0.20Embarq Corp.7.082% due 06/01/2016 1,125 1,246 0.06Energy Future Intermediate Holding Co. LLC10.000% due 12/01/2020 6,800 7,047 0.34Energy Transfer Partners LP6.000% due 07/01/2013 1,200 1,307 0.06Entergy Corp.3.625% due 09/15/2015 1,700 1,683 0.08Entergy Louisiana LLC6.500% due 09/01/2018 1,400 1,606 0.08Enterprise Products Operating LLC7.034% due 01/15/2068 400 416 0.02Ford Motor Credit Co. LLC3.039% due 01/13/2012 1,000 1,010 0.055.625% due 09/15/2015 3,000 3,110 0.157.500% due 08/01/2012 4,750 5,052 0.247.800% due 06/01/2012 5,050 5,370 0.268.000% due 12/15/2016 300 336 0.018.700% due 10/01/2014 2,400 2,705 0.13Freeport-McMoRan Copper & Gold, Inc.8.375% due 04/01/2017 5,725 6,341 0.30Fresenius Medical Care Capital Trust IV7.875% due 06/15/2011 600 613 0.03Frontier Communications Corp.6.625% due 03/15/2015 700 735 0.038.250% due 05/01/2014 1,250 1,391 0.07General Electric Capital Corp.0.382% due 05/29/2012 1,800 1,777 0.080.490% due 01/08/2016 1,900 1,798 0.095.250% due 12/07/2028 £ 800 1,195 0.065.375% due 12/18/2040 300 444 0.025.900% due 05/13/2014 $ 700 775 0.046.000% due 08/07/2019 1,115 1,243 0.06Genworth Financial, Inc.7.200% due 02/15/2021 1,200 1,231 0.06Georgia-Pacific LLC5.400% due 11/01/2020 1,400 1,387 0.077.000% due 01/15/2015 349 364 0.027.125% due 01/15/2017 6,750 7,222 0.348.250% due 05/01/2016 1,500 1,701 0.088.875% due 05/15/2031 2,300 2,840 0.14Goldman Sachs Group, Inc.0.789% due 01/12/2015 1,500 1,451 0.076.000% due 05/01/2014 700 772 0.046.150% due 04/01/2018 7,005 7,725 0.376.250% due 09/01/2017 300 332 0.026.750% due 10/01/2037 3,025 3,102 0.157.250% due 04/10/2028 £ 1,400 2,365 0.117.500% due 02/15/2019 $ 1,300 1,518 0.07Graham Packaging Co. LP8.250% due 10/01/2018 1,950 2,057 0.10HCA, Inc.6.250% due 02/15/2013 85 87 0.006.750% due 07/15/2013 500 516 0.027.190% due 11/15/2015 150 147 0.017.250% due 09/15/2020 475 499 0.027.875% due 02/15/2020 1,750 1,881 0.098.500% due 04/15/2019 900 990 0.059.000% due 12/15/2014 600 630 0.039.250% due 11/15/2016 4,050 4,331 0.219.625% due 11/15/2016 (c) 2,294 2,463 0.129.875% due 02/15/2017 900 995 0.05Health Care REIT, Inc.4.700% due 09/15/2017 1,200 1,197 0.06Health Management Associates, Inc.6.125% due 04/15/2016 300 304 0.01Hexion US Finance Corp.8.875% due 02/01/2018 500 537 0.03Homer City Funding LLC8.734% due 10/01/2026 280 259 0.01Hospitality Properties Trust7.875% due 08/15/2014 1,900 2,103 0.10HSBC Finance Capital Trust IX5.911% due 11/30/2035 200 186 0.01

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

HSBC Finance Corp.0.539% due 01/15/2014 $ 5,500 $ 5,282 0.250.726% due 06/01/2016 9,473 8,731 0.42Insight Communications Co., Inc.9.375% due 07/15/2018 500 535 0.03International Lease Finance Corp.5.250% due 01/10/2013 800 804 0.045.400% due 02/15/2012 600 609 0.035.750% due 06/15/2011 1,000 1,010 0.055.875% due 05/01/2013 1,000 1,016 0.056.500% due 09/01/2014 7,200 7,668 0.366.625% due 11/15/2013 1,000 1,026 0.056.750% due 09/01/2016 1,000 1,073 0.05Ipalco Enterprises, Inc.8.625% due 11/14/2011 600 625 0.03Jarden Corp.6.125% due 11/15/2022 1,200 1,150 0.05JPMorgan Chase & Co.4.250% due 10/15/2020 2,800 2,740 0.134.650% due 06/01/2014 195 208 0.015.125% due 09/15/2014 2,000 2,130 0.10JPMorgan Chase Bank N.A.0.632% due 06/13/2016 1,900 1,793 0.09JPMorgan Chase Capital XVIII6.950% due 08/17/2036 1,600 1,610 0.08Kinder Morgan Energy Partners LP5.125% due 11/15/2014 700 760 0.045.300% due 09/15/2020 1,700 1,769 0.085.950% due 02/15/2018 1,000 1,103 0.05Kinder Morgan Finance Co. LLC6.000% due 01/15/2018 7,300 7,209 0.34Lehman Brothers Holdings, Inc. (b)0.000% due 11/24/2008 600 140 0.010.000% due 12/23/2008 800 187 0.010.000% due 01/23/2009 200 47 0.000.000% due 05/25/2010 200 47 0.006.200% due 09/26/2014 200 47 0.00LifePoint Hospitals, Inc.6.625% due 10/01/2020 200 199 0.01Lorillard Tobacco Co.6.875% due 05/01/2020 300 310 0.01Lyondell Chemical Co.8.000% due 11/01/2017 4,940 5,477 0.2611.000% due 05/01/2018 3,900 4,436 0.21MBNA Capital B1.087% due 02/01/2027 100 70 0.00Merrill Lynch & Co., Inc.5.000% due 02/03/2014 3,200 3,314 0.166.050% due 08/15/2012 2,600 2,754 0.136.400% due 08/28/2017 1,100 1,165 0.066.875% due 04/25/2018 11,200 12,275 0.597.750% due 05/14/2038 450 468 0.02Midcontinent Express Pipeline LLC5.450% due 09/15/2014 1,500 1,603 0.086.700% due 09/15/2019 700 753 0.03Morgan Stanley0.769% due 10/15/2015 1,000 939 0.052.786% due 05/14/2013 2,900 3,007 0.145.625% due 09/23/2019 1,300 1,328 0.065.950% due 12/28/2017 600 636 0.036.000% due 05/13/2014 850 919 0.056.000% due 04/28/2015 3,700 4,011 0.196.625% due 04/01/2018 4,600 4,997 0.247.300% due 05/13/2019 3,100 3,495 0.17Mylan, Inc.6.000% due 11/15/2018 6,800 6,698 0.327.625% due 07/15/2017 400 428 0.027.875% due 07/15/2020 900 974 0.05Nalco Co.6.625% due 01/15/2019 1,000 1,028 0.058.875% due 11/15/2013 160 163 0.01Nevada Power Co.6.500% due 05/15/2018 275 317 0.017.125% due 03/15/2019 1,000 1,180 0.06Newfield Exploration Co.6.875% due 02/01/2020 1,600 1,692 0.087.125% due 05/15/2018 500 529 0.03

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

NGPL PipeCo LLC6.514% due 12/15/2012 $ 400 $ 432 0.02Nissan Motor Acceptance Corp.3.250% due 01/30/2013 600 613 0.03NRG Energy, Inc.7.250% due 02/01/2014 3,450 3,528 0.177.375% due 02/01/2016 4,855 4,988 0.247.375% due 01/15/2017 1,500 1,549 0.078.250% due 09/01/2020 100 103 0.01NV Energy, Inc.6.250% due 11/15/2020 100 101 0.00OMX Timber Finance Investments I LLC5.420% due 01/29/2020 5,000 5,220 0.25Oshkosh Corp.8.250% due 03/01/2017 300 328 0.028.500% due 03/01/2020 200 220 0.01Pacific Gas & Electric Co.4.800% due 03/01/2014 1,200 1,291 0.06Peabody Energy Corp.6.500% due 09/15/2020 1,600 1,716 0.08Pfizer, Inc.6.500% due 06/03/2038 £ 2,300 4,304 0.207.200% due 03/15/2039 $ 300 389 0.02Pride International, Inc.6.875% due 08/15/2020 1,200 1,251 0.067.875% due 08/15/2040 700 761 0.048.500% due 06/15/2019 7,900 9,026 0.43PSEG Power LLC5.320% due 09/15/2016 1,031 1,130 0.05Public Service Co. of Colorado5.500% due 04/01/2014 700 776 0.04Puget Energy, Inc.6.500% due 12/15/2020 2,000 1,970 0.09Qwest Corp.3.552% due 06/15/2013 2,600 2,730 0.136.500% due 06/01/2017 2,500 2,725 0.137.500% due 06/15/2023 200 199 0.017.625% due 06/15/2015 2,850 3,228 0.168.875% due 03/15/2012 4,300 4,660 0.22Rain CII Carbon LLC & CII Carbon Corp.8.000% due 12/01/2018 500 515 0.02RBS Capital Trust I4.709% due 12/29/2049 400 265 0.01Regions Financial Corp.4.875% due 04/26/2013 1,750 1,707 0.08Reynolds American, Inc.7.250% due 06/01/2013 800 891 0.047.750% due 06/01/2018 100 117 0.01Reynolds Group Issuer, Inc.7.125% due 04/15/2019 1,900 1,943 0.097.750% due 10/15/2016 6,400 6,800 0.338.500% due 05/15/2018 600 606 0.03Rockies Express Pipeline LLC5.625% due 04/15/2020 2,600 2,518 0.12Sierra Pacific Power Co.5.450% due 09/01/2013 400 436 0.026.000% due 05/15/2016 100 114 0.01Simon Property Group LP10.350% due 04/01/2019 3,000 4,108 0.20SLM Corp.0.518% due 10/25/2011 500 493 0.021.300% due 11/15/2011 € 1,300 1,682 0.083.125% due 09/17/2012 1,600 2,095 0.105.000% due 10/01/2013 $ 2,000 2,006 0.105.375% due 05/15/2014 2,000 2,011 0.108.000% due 03/25/2020 3,000 3,047 0.158.450% due 06/15/2018 7,700 8,014 0.38Spectrum Brands Holdings, Inc.9.500% due 06/15/2018 6,000 6,600 0.32Sprint Capital Corp.8.375% due 03/15/2012 2,250 2,391 0.11Sprint Nextel Corp.6.000% due 12/01/2016 8,700 8,450 0.418.375% due 08/15/2017 4,900 5,280 0.25Steel Dynamics, Inc.6.750% due 04/01/2015 100 102 0.007.375% due 11/01/2012 3,300 3,498 0.17


31 December 2010

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

SteelRiver Transmission Co. LLC4.710% due 06/30/2017 $ 800 $ 788 0.04SunGard Data Systems, Inc.10.625% due 05/15/2015 300 332 0.02SUPERVALU, Inc.8.000% due 05/01/2016 2,200 2,117 0.10Tampa Electric Co.6.375% due 08/15/2012 400 435 0.02Teco Finance, Inc.6.750% due 05/01/2015 750 848 0.04Tenneco, Inc.8.625% due 11/15/2014 300 310 0.01Time Warner Cable, Inc.5.850% due 05/01/2017 1,500 1,676 0.086.750% due 07/01/2018 335 391 0.028.250% due 04/01/2019 1,500 1,866 0.098.750% due 02/14/2019 240 306 0.01TRW Automotive, Inc.7.250% due 03/15/2017 400 433 0.02TW Telecom Holdings, Inc.8.000% due 03/01/2018 5,400 5,764 0.28UAL 2007-1 Pass-Through Trust7.336% due 07/02/2019 419 398 0.02UAL 2009-1 Pass-Through Trust10.400% due 11/01/2016 2,314 2,672 0.13UAL 2009-2A Pass-Through Trust9.750% due 01/15/2017 476 547 0.03UBS Preferred Funding Trust II7.247% due 06/29/2049 1,400 1,387 0.07US Bank N.A.4.375% due 02/28/2017 € 700 928 0.04Valeant Pharmaceuticals International6.875% due 12/01/2018 $ 7,250 7,232 0.357.000% due 10/01/2020 300 297 0.01Valor Telecommunications Enterprises Finance Corp.7.750% due 02/15/2015 7,800 8,048 0.39Ventas Realty LP6.750% due 04/01/2017 200 210 0.01Wachovia Bank N.A.6.600% due 01/15/2038 1,000 1,105 0.05Wachovia Corp.0.572% due 06/15/2017 2,750 2,528 0.125.250% due 08/01/2014 4,300 4,590 0.225.500% due 05/01/2013 600 653 0.035.750% due 06/15/2017 200 222 0.015.750% due 02/01/2018 1,000 1,112 0.06WEA Finance LLC7.125% due 04/15/2018 1,800 2,074 0.10Wells Fargo & Co.4.625% due 11/02/2035 £ 1,100 1,471 0.074.875% due 11/29/2035 1,500 1,846 0.095.625% due 12/11/2017 $ 2,200 2,439 0.12Wells Fargo Bank N.A.5.250% due 08/01/2023 £ 100 143 0.01Wells Fargo Capital XIII7.700% due 12/29/2049 $ 6,100 6,336 0.30Weyerhaeuser Co.7.375% due 10/01/2019 5,000 5,471 0.26Windstream Corp.7.875% due 11/01/2017 400 423 0.028.125% due 08/01/2013 1,852 2,046 0.108.625% due 08/01/2016 1,500 1,586 0.07WM Wrigley Jr. Co.3.700% due 06/30/2014 2,600 2,680 0.13

681,743 32.64


Adjustable Rate Mortgage Trust2.908% due 01/25/2035 1,012 1,002 0.05American General Mortgage Loan Trust5.150% due 03/25/2058 1,643 1,712 0.08American Home Mortgage Investment Trust1.957% due 09/25/2045 140 123 0.01Banc of America Commercial Mortgage, Inc.5.492% due 02/10/2051 220 231 0.015.742% due 02/10/2051 600 640 0.03

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Banc of America Funding Corp.0.761% due 06/26/2035 $ 3,000 $ 2,744 0.133.142% due 09/20/2035 1,238 998 0.05Banc of America Mortgage Securities, Inc.3.056% due 01/25/2035 646 554 0.035.356% due 02/25/2036 34 27 0.00Bear Stearns Adjustable Rate Mortgage Trust2.730% due 03/25/2035 1,431 1,366 0.072.871% due 10/25/2035 434 433 0.024.944% due 01/25/2035 29 27 0.005.326% due 05/25/2047 347 263 0.015.691% due 02/25/2036 381 272 0.01Bear Stearns Alternative-A Trust2.955% due 09/25/2035 398 305 0.01Bear Stearns Commercial Mortgage Securities4.674% due 06/11/2041 2,000 2,100 0.10Bear Stearns Structured Products, Inc.2.360% due 01/26/2036 644 423 0.02Chase Mortgage Finance Corp.5.373% due 03/25/2037 102 85 0.00Citigroup Mortgage Loan Trust, Inc.3.059% due 03/25/2034 34 34 0.003.349% due 02/25/2034 788 762 0.045.549% due 07/25/2046 102 72 0.005.873% due 09/25/2037 774 563 0.03Countrywide Alternative Loan Trust0.441% due 02/20/2047 477 279 0.010.456% due 12/20/2046 1,007 530 0.020.471% due 07/20/2046 437 205 0.010.591% due 11/20/2035 188 116 0.011.328% due 12/25/2035 197 127 0.015.250% due 06/25/2035 829 710 0.03Countrywide Home Loan Mortgage Pass-Through

Trust3.070% due 04/20/2035 185 177 0.015.837% due 09/25/2047 48 36 0.006.000% due 05/25/2036 1,264 1,146 0.066.250% due 09/25/2036 4,281 3,653 0.17Credit Suisse First Boston Mortgage Securities Corp.2.585% due 06/25/2033 158 151 0.016.000% due 01/25/2036 1,529 920 0.04First Horizon Alternative Mortgage Securities6.250% due 08/25/2037 329 242 0.01First Horizon Asset Securities, Inc.5.449% due 09/25/2035 7,184 6,786 0.32Greenpoint Mortgage Funding Trust0.341% due 10/25/2046 82 76 0.000.341% due 01/25/2047 327 313 0.010.461% due 10/25/2046 (b) 585 152 0.010.531% due 04/25/2036 546 118 0.01Greenwich Capital Commercial Funding Corp.5.444% due 03/10/2039 100 106 0.00GSR Mortgage Loan Trust2.864% due 09/25/2035 1,538 1,523 0.072.876% due 11/25/2035 2,252 2,018 0.102.964% due 01/25/2036 158 124 0.015.750% due 03/25/2036 721 641 0.035.750% due 01/25/2037 1,000 910 0.046.000% due 02/25/2036 2,331 2,173 0.106.500% due 09/25/2036 1,406 1,237 0.06Harborview Mortgage Loan Trust0.451% due 01/19/2038 246 165 0.012.986% due 07/19/2035 1,007 851 0.045.518% due 08/19/2036 43 35 0.00Indymac Index Mortgage Loan Trust0.461% due 06/25/2047 2,971 1,666 0.080.501% due 07/25/2035 34 22 0.00JPMorgan Chase Commercial Mortgage Securities

Corp.5.440% due 06/12/2047 210 220 0.01JPMorgan Mortgage Trust4.784% due 07/25/2035 177 167 0.015.352% due 08/25/2035 600 562 0.035.885% due 06/25/2037 3,249 2,888 0.14JPMorgan Reremic0.755% due 06/26/2036 698 654 0.03

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Merrill Lynch Countrywide Commercial MortgageTrust

5.700% due 09/12/2049 $ 400 $ 418 0.02Merrill Lynch Mortgage Investors, Inc.0.511% due 08/25/2036 2,858 2,290 0.11Merrill Lynch Mortgage-Backed Securities Trust5.406% due 04/25/2037 100 74 0.00MLCC Mortgage Investors, Inc.1.707% due 10/25/2035 915 835 0.04Morgan Stanley Capital I5.332% due 12/15/2043 2,300 2,440 0.125.879% due 06/11/2049 400 429 0.02Morgan Stanley Mortgage Loan Trust4.569% due 06/25/2036 39 37 0.006.000% due 10/25/2037 933 704 0.03Provident Funding Mortgage Loan Trust2.773% due 08/25/2033 142 135 0.01RBSSP Resecuritization Trust0.535% due 05/26/2037 726 674 0.030.575% due 03/26/2037 773 679 0.040.755% due 03/26/2036 1,360 1,291 0.06Residential Accredit Loans, Inc.3.401% due 02/25/2035 370 271 0.01Residential Asset Securitization Trust5.500% due 07/25/2035 181 146 0.015.500% due 09/25/2035 638 541 0.025.500% due 12/25/2035 882 753 0.04Sequoia Mortgage Trust2.604% due 01/20/2047 34 28 0.00Structured Adjustable Rate Mortgage Loan Trust2.829% due 09/25/2035 1,302 1,046 0.055.278% due 11/25/2035 347 239 0.016.000% due 10/25/2037 (b) 364 178 0.01Structured Asset Mortgage Investments, Inc.0.561% due 08/25/2036 800 131 0.010.591% due 10/19/2034 201 184 0.01Structured Asset Securities Corp.2.497% due 06/25/2033 176 158 0.01Thornburg Mortgage Securities Trust0.361% due 03/25/2037 1,115 1,089 0.050.371% due 11/25/2046 229 226 0.010.373% due 07/25/2036 103 102 0.01Wachovia Bank Commercial Mortgage Trust5.572% due 10/15/2048 400 419 0.02Wachovia Mortgage Loan Trust LLC5.936% due 03/20/2037 1,462 1,267 0.06WaMu Mortgage Pass-Through Certificates0.481% due 07/25/2046 438 90 0.000.551% due 10/25/2045 166 141 0.011.028% due 02/25/2047 279 172 0.011.138% due 12/25/2046 304 220 0.011.528% due 11/25/2042 22 20 0.002.721% due 10/25/2035 524 503 0.023.163% due 10/25/2046 120 92 0.014.991% due 03/25/2037 1,139 932 0.055.000% due 02/25/2037 479 380 0.025.141% due 01/25/2037 85 64 0.005.299% due 04/25/2037 58 43 0.005.302% due 12/25/2036 167 128 0.015.415% due 12/25/2036 52 41 0.005.530% due 05/25/2037 118 96 0.015.628% due 07/25/2037 3,142 2,169 0.105.854% due 09/25/2036 73 57 0.00Wells Fargo Mortgage-Backed Securities Trust2.888% due 10/25/2035 1,240 1,153 0.052.893% due 10/25/2035 400 388 0.022.904% due 04/25/2036 4,120 3,613 0.172.913% due 04/25/2035 618 587 0.035.046% due 07/25/2036 4,552 3,623 0.175.402% due 07/25/2036 182 147 0.015.471% due 04/25/2036 2,864 2,395 0.115.507% due 05/25/2036 2,204 1,829 0.096.134% due 11/25/2037 1,937 1,572 0.08

83,674 3.99



DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS


Alameda County, California, Joint Powers AuthorityLease Revenue Bonds, Series 2010

7.046% due 12/01/2044 $ 2,200 $ 2,150 0.10Buckeye, Ohio, Tobacco Settlement Financing

Authority Revenue Bonds, Series 20075.875% due 06/01/2047 5,725 3,775 0.186.000% due 06/01/2042 1,300 889 0.046.500% due 06/01/2047 3,700 2,684 0.13California, General Obligation Bonds, (AMBAC

Insured), Series 20074.500% due 08/01/2028 300 260 0.01California, General Obligation Bonds, Series 20107.600% due 11/01/2040 8,000 8,339 0.407.700% due 11/01/2030 1,400 1,411 0.07California, Regents of the University of California

Limited Project Revenue Bonds, Series 20105.946% due 05/15/2045 600 549 0.026.296% due 05/15/2050 400 370 0.026.398% due 05/15/2031 500 494 0.026.548% due 05/15/2048 800 781 0.04Chicago, Illinois, O’Hare International Airport

Revenue Bonds, (FGIC Insured), Series 20055.000% due 01/01/2033 300 274 0.01Chicago, Illinois, Water Revenue Bonds, Series 20106.642% due 11/01/2029 150 144 0.016.742% due 11/01/2040 200 195 0.01Chino Valley, California, Unified School District

General Obligation Bonds, Series 20060.000% due 08/01/2023 100 47 0.00Clovis, California, Unified School District General

Obligation Bonds, Series 20020.000% due 08/01/2020 100 61 0.00Dallas, Texas, Tollway Authority Revenue Bonds,

Series 20096.718% due 01/01/2049 1,200 1,176 0.06Dallas, Texas, Tollway Authority Revenue Bonds,

Series 20108.910% due 02/01/2030 600 615 0.03Golden State, California, Tobacco Securitization Corp.

Revenue Bonds, Series 20075.000% due 06/01/2033 100 68 0.015.125% due 06/01/2047 100 61 0.005.750% due 06/01/2047 370 250 0.01Indianapolis, Indiana, State Finance Authority

Revenue Bonds, Series 20096.596% due 02/01/2039 1,400 1,431 0.07Irvine, California, Ranch Water District Revenue

Bonds, Series 20106.622% due 05/01/2040 500 502 0.02Las Vegas, Nevada, Las Vegas Valley Water District

General Obligation Bonds, Series 20085.000% due 02/01/2034 200 198 0.01Los Angeles, California, Los Angeles County

Metropolitan Transportation Authority Sales TaxRevenue Bonds, Series 2010

5.735% due 06/01/2039 1,800 1,714 0.08Los Angeles, California, Los Angeles County Public

Works Financing Authority Lease Revenue Bonds,Series 2010

7.488% due 08/01/2033 800 786 0.047.618% due 08/01/2040 1,500 1,473 0.07Los Angeles, California, Unified School District

General Obligation Bonds, (FSA Insured),Series 2007

4.500% due 07/01/2022 100 98 0.014.500% due 07/01/2023 100 95 0.00Los Angeles, California, Unified School District

General Obligation Bonds, (MBIA Insured),Series 2007

4.500% due 07/01/2025 100 93 0.00Los Angeles, California, Waste Water Systems

Revenue Bonds, Series 20105.713% due 06/01/2039 1,000 934 0.055.813% due 06/01/2040 1,000 929 0.04

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Los Angeles, California, Water System RevenueBonds, Series 2010

6.603% due 07/01/2050 $ 9,000 $ 9,283 0.44Nashville & Davidson, Tennessee, Water & Sewer

Revenue Bonds, Series 20106.568% due 07/01/2037 600 612 0.03New Jersey State Turnpike Authority Revenue Bonds,

Series 20107.102% due 01/01/2041 800 868 0.04New Jersey StateTransportation Trust Fund Authority

Transportation System Revenue Bonds, Series 20096.875% due 12/15/2039 1,000 972 0.05New Jersey, Tobacco Settlement Financing Corp.

Revenue Bonds, Series 20075.000% due 06/01/2029 100 74 0.00New York State Urban Development Corp. Income Tax

Revenue Bonds, Series 20095.770% due 03/15/2039 2,900 2,871 0.14New York, New York, Metropolitan Transportation

Authority Revenue Bonds, Series 20106.089% due 11/15/2040 350 342 0.02New York, New York, Municipal Water Finance

Authority Revenue Bonds, Series 20105.882% due 06/15/2044 600 600 0.036.282% due 06/15/2042 500 498 0.02New York, New York, Port Authority of New York &

New Jersey Revenue Bonds, Series 20105.647% due 11/01/2040 9,900 9,574 0.46New York, New York, Transitional Finance Authority

Revenue Bonds, Series 20085.000% due 01/15/2025 300 310 0.01New York, New York, Transitional Finance Authority

Revenue Bonds, Series 20105.508% due 08/01/2037 300 289 0.015.572% due 11/01/2038 150 145 0.015.808% due 08/01/2030 540 524 0.03New York, Triborough Bridge & Tunnel Authority

Revenue Bonds, Series 20105.550% due 11/15/2040 1,400 1,265 0.06Northern, Alaska, Tobacco Securitization Corp.

Revenue Bonds, Series 20065.000% due 06/01/2046 200 120 0.01Oakland, California, Bay Area Toll Authority Toll

Bridge Revenue Bonds, Series 20106.907% due 10/01/2050 4,600 4,616 0.226.918% due 04/01/2040 200 202 0.01Ohio, American Municipal Power Revenue Bonds,

Series 20105.939% due 02/15/2047 400 364 0.028.084% due 02/15/2050 5,100 5,435 0.26Orange County, California, Local Transportation

Authority Sales Tax Revenue Bonds, Series 20106.908% due 02/15/2041 1,700 1,772 0.08Riverside, California, Electric Revenue Bonds,

Series 20107.605% due 10/01/2040 2,200 2,204 0.11Riverside, California, Riverside Community College

District General Obligation Bonds, Series 20106.971% due 08/01/2035 200 197 0.017.021% due 08/01/2040 300 294 0.01Sacramento, California, Build America General

Obligation Bonds, Series 20097.300% due 10/01/2039 1,800 1,815 0.09San Antonio, Texas, Electric & Gas Revenue Bonds,

Series 20105.718% due 02/01/2041 4,000 4,081 0.20San Diego, California, Redevelopment Agency Tax

Allocation Bonds, Series 20107.625% due 09/01/2030 500 472 0.027.750% due 09/01/2040 100 92 0.01San Diego, California, Regional Airport Authority

Revenue Bonds, Series 20106.628% due 07/01/2040 900 862 0.04

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

San Diego, California, Tobacco SecuritizationAuthority Revenue Bonds, Series 2006

5.000% due 06/01/2037 $ 600 $ 420 0.02San Francisco, California, Bay Area Toll Bridge

Authority Revenue Bonds, Series 20107.043% due 04/01/2050 2,800 2,834 0.14Tennessee, State School Bond Authority General

Obligation Bond, Series 20104.848% due 09/15/2027 700 653 0.03West Virginia, Tobacco Settlement Finance Authority

Revenue Bonds, Series 20077.467% due 06/01/2047 15,580 10,824 0.52

98,330 4.71


Morgan Stanley0.290% due 01/03/2011

(Dated 12/31/2010.Collateralised by USTreasury Notes 0.375%due 09/30/2012 valuedat $1,126. Repurchaseproceeds are $1,100.) 1,100 1,100 0.05


Fannie Mae1.542% due 07/01/2044 61 62 0.005.000% due 03/01/2037 15 15 0.00Freddie Mac1.542% due 02/25/2045 182 179 0.013.750% due 03/27/2019 (d) 2,054 2,130 0.105.000% due 07/15/2014 2,100 2,356 0.11

4,742 0.22


Treasury Inflation Protected Securities1.250% due

07/15/2020 (d)(e) 34,900 35,783 1.71US Treasury Bills0.143% due 01/13/2011 -

06/09/2011 (d)(f) 1,077 1,077 0.05US Treasury Bonds4.375% due 11/15/2039 36,100 36,297 1.74US Treasury Notes2.625% due 08/15/2020 26,800 25,412 1.22

98,569 4.72

Total United States 1,036,096 49.59

URUGUAY

Uruguay Government International Bond6.875% due 09/28/2025 5,500 6,297 0.30

VENEZUELA

Petroleos de Venezuela S.A.5.000% due 10/28/2015 700 403 0.02Total Transferable Securities &Money Market Instruments -Official Stock Exchange/Regulated Market $ 2,154,827 103.14


31 December 2010



FUTURES


Month# of

Contracts


% ofNet Assets

90-Day Eurodollar March Futures Long 03/2012 448 $ 84 0.0090-Day Eurodollar September Futures Long 09/2011 515 1,272 0.0690-Day Eurodollar September Futures Long 09/2012 820 1,179 0.06Euro-Bobl 5-Year Note March Futures Long 03/2011 83 (31) 0.00Euro-Bund 10-Year Bond March Futures Long 03/2011 246 (130) (0.01)US Treasury 10-Year Note March Futures Long 03/2011 150 (508) (0.02)

$ 1,866 0.09

WRITTEN OPTIONS

DescriptionExercise

PriceExpiration

Date# of


Value% of

Net Assets


$ (113) $ (455) (0.02)

Total Financial Derivative Instruments Dealt in on a Regulated Market $ 1,411 0.07



WRITTEN OPTIONS

Description CounterpartyBuy/SellProtection

ExerciseRate

ExpirationDate


FairValue

% ofNet Assets

CREDIT DEFAULT SWAPTIONS

Put - OTC Dow Jones iTraxx Europe Series 14 5-Year Credit Rate Swap BNP Buy 1.300% 01/19/2011 € 4,000 $ (15) $ (3) 0.00Put - OTC Dow Jones iTraxx Europe Series 14 5-Year Credit Rate Swap MSC Buy 1.800% 03/16/2011 6,600 (48) (6) 0.00Put - OTC Dow Jones iTraxx Europe Series 14 5-Year Credit Rate Swap UBS Buy 1.300% 01/19/2011 8,200 (29) (6) 0.00Call - OTC Dow Jones CDX N.A. IG15 Index 5-Year Credit Rate Swap BNP Sell 0.800% 03/16/2011 $ 6,800 (15) (14) 0.00Put - OTC Dow Jones CDX N.A. IG15 Index 5-Year Credit Rate Swap BNP Buy 1.300% 03/16/2011 6,800 (18) (7) 0.00Call - OTC Dow Jones CDX N.A. IG15 Index 5-Year Credit Rate Swap MSC Sell 0.800% 01/19/2011 14,200 (22) (10) 0.00Call - OTC Dow Jones CDX N.A. IG15 Index 5-Year Credit Rate Swap MSC Sell 0.800% 03/16/2011 6,200 (12) (12) 0.00Put - OTC Dow Jones CDX N.A. IG15 Index 5-Year Credit Rate Swap MSC Buy 1.300% 03/16/2011 6,200 (22) (6) 0.00Put - OTC Dow Jones CDX N.A. IG15 Index 5-Year Credit Rate Swap MSC Buy 1.700% 03/16/2011 6,600 (31) (2) 0.00Call - OTC Dow Jones CDX N.A. IG15 Index 5-Year Credit Rate Swap MSC Sell 0.800% 05/18/2011 6,200 (15) (18) (0.01)Put - OTC Dow Jones CDX N.A. IG15 Index 5-Year Credit Rate Swap MSC Buy 1.500% 05/18/2011 6,200 (34) (11) 0.00

$ (261) $ (95) (0.01)


ExerciseRate

ExpirationDate


FairValue

% ofNet Assets


Put - OTC 2-Year Interest Rate Swap BOA 3-Month USD-LIBOR Pay 2.250% 09/24/2012 $ 2,200 $ (15) $ (30) 0.00Put - OTC 2-Year Interest Rate Swap CITI 3-Month USD-LIBOR Pay 2.250% 09/24/2012 2,200 (15) (30) 0.00Put - OTC 3-Year Interest Rate Swap DUB 3-Month USD-LIBOR Pay 2.750% 06/18/2012 10,100 (105) (152) (0.01)Put - OTC 2-Year Interest Rate Swap MSC 3-Month USD-LIBOR Pay 2.250% 09/24/2012 3,100 (20) (42) 0.00Put - OTC 3-Year Interest Rate Swap RBS 3-Month USD-LIBOR Pay 2.750% 06/18/2012 9,900 (97) (149) (0.01)Put - OTC 2-Year Interest Rate Swap RBS 3-Month USD-LIBOR Pay 2.250% 09/24/2012 98,800 (787) (1,339) (0.06)

$ (1,039) $ (1,742) (0.08)

Description CounterpartyExercisePrice(1)

ExpirationDate


FairValue

% ofNet Assets

STRADDLE OPTIONS

Call & Put 1-Year vs. 1-Year Forward Volatility Agreement GSC 0.000 10/11/2011 $ 11,000 $ (58) $ (89) 0.00Call & Put 1-Year vs. 2-Year Forward Volatility Agreement MSC 0.000 10/11/2011 35,700 (399) (601) (0.03)Call & Put 1-Year vs. 2-Year Forward Volatility Agreement MSC 0.000 11/14/2011 24,500 (267) (411) (0.02)

$ (724) $ (1,101) (0.05)

(1) Exercise price determined on a future date, based upon implied volatility parameters.




FairValue

UpfrontPremiums

Paid/(Received)


% ofNet Assets

Abu Dhabi Government International Bond 1.000% 03/20/2011 GSC $ 1,200 $ 2 $ 1 $ 1 0.00Ally Financial, Inc. 5.000% 12/20/2011 DUB 8,700 342 195 147 0.02America Movil SAB de C.V. 1.000% 09/20/2011 DUB 1,700 5 0 5 0.00America Movil SAB de C.V. 1.000% 03/20/2012 DUB 2,000 7 (5) 12 0.00America Movil SAB de C.V. 1.000% 12/20/2012 HSBC 16,600 49 63 (14) 0.00American International Group, Inc. 5.000% 09/20/2012 UBS 500 37 (60) 97 0.00American International Group, Inc. 5.000% 09/20/2014 UBS 200 25 (28) 53 0.00





FairValue

UpfrontPremiums

Paid/(Received)


% ofNet Assets

BP Capital Markets America, Inc. 1.000% 09/20/2011 BCLY $ 100 $ 1 $ (7) $ 8 0.00BP Capital Markets America, Inc. 1.000% 09/20/2011 BNP 100 1 (7) 8 0.00BP Capital Markets America, Inc. 5.000% 09/20/2011 DUB 400 15 (8) 23 0.00BP Capital Markets America, Inc. 1.000% 06/20/2015 GSC 3,000 24 11 13 0.00BP Capital Markets America, Inc. 5.000% 09/20/2015 GSC 200 38 4 34 0.00Brazil Government International Bond 1.000% 03/20/2015 BCLY 10,000 2 (119) 121 0.00Brazil Government International Bond 1.000% 12/20/2020 BCLY 2,000 (69) (68) (1) 0.00Brazil Government International Bond 1.000% 12/20/2012 MSC 16,500 82 99 (17) 0.01California, General Obligation Bonds, Series 2003 3.050% 12/20/2020 CITI 5,000 29 1 28 0.00California, General Obligation Bonds, Series 2003 1.580% 09/20/2011 GSC 3,000 1 0 1 0.00Chesapeake Energy Corp. 1.710% 09/20/2012 CSFB 550 4 0 4 0.00Chesapeake Energy Corp. 5.000% 09/20/2014 JPM 1,200 101 (90) 191 0.01China Government International Bond 1.000% 06/20/2011 BCLY 4,400 17 24 (7) 0.00China Government International Bond 1.000% 09/20/2015 BCLY 1,700 29 16 13 0.00China Government International Bond 1.000% 09/20/2015 BNP 800 14 8 6 0.00China Government International Bond 1.000% 09/20/2015 CITI 400 7 4 3 0.00China Government International Bond 1.000% 09/20/2015 HSBC 500 8 4 4 0.00China Government International Bond 1.000% 09/20/2015 MSC 1,100 19 9 10 0.00China Government International Bond 1.000% 09/20/2015 RBS 2,200 37 20 17 0.00Citigroup, Inc. 0.160% 06/20/2011 MLP 900 (3) 0 (3) 0.00Citigroup, Inc. 0.163% 06/20/2011 MSC 800 (3) 0 (3) 0.00Continental Resources, Inc. 5.000% 12/20/2013 BCLY € 200 21 9 12 0.00Continental Resources, Inc. 5.000% 12/20/2013 UBS 300 32 15 17 0.00Corporacion Nacional del Cobre de Chile 1.000% 12/20/2011 BCLY $ 3,200 20 5 15 0.00El Paso Corp. 5.000% 09/20/2014 CSFB 1,500 165 (113) 278 0.01France Telecom S.A. 0.330% 09/20/2011 UBS € 300 0 0 0 0.00France Telecom S.A. 0.325% 09/20/2011 WAC 300 0 0 0 0.00Gazprom Via Gazprom International 1.000% 12/20/2012 MSC $ 14,600 (132) (170) 38 0.00General Electric Capital Corp. 3.950% 03/20/2017 CITI 1,400 201 0 201 0.01General Electric Capital Corp. 1.070% 12/20/2012 DUB 2,290 9 0 9 0.00Indonesia Government International Bond 1.270% 12/20/2011 RBS 4,000 35 0 35 0.00ING Verzekeringen NV 1.400% 06/20/2011 DUB € 6,800 (7) 0 (7) 0.00Mexico Government International Bond 1.000% 12/20/2020 BCLY $ 300 (10) (10) 0 0.00Mexico Government International Bond 1.000% 03/20/2011 GSC 100 0 0 0 0.00Mexico Government International Bond 1.000% 03/20/2011 MLP 100 0 0 0 0.00Mexico Government International Bond 1.000% 03/20/2011 RBS 300 0 0 0 0.00Mexico Government International Bond 1.000% 03/20/2015 UBS 3,000 (1) (49) 48 0.00Morgan Stanley 1.000% 09/20/2011 CITI 4,200 8 (48) 56 0.00New York, General Obligations Bonds, Series 2005 1.950% 12/20/2020 MSC 5,000 (65) 0 (65) 0.00NRG Energy, Inc. 5.000% 06/20/2015 CSFB 100 4 (2) 6 0.00NRG Energy, Inc. 5.000% 06/20/2015 UBS 200 8 (4) 12 0.00Panama Government International Bond 1.000% 03/20/2015 BOA 3,000 16 (50) 66 0.00Pemex Project Funding Master Trust 1.000% 12/20/2012 HSBC 18,100 14 70 (56) 0.00Peru Government International Bond 1.000% 03/20/2015 BOA 3,000 0 (37) 37 0.00Petrobras International Finance Co. 1.000% 09/20/2011 CITI 3,800 6 (16) 22 0.00Petrobras International Finance Co. 1.000% 09/20/2011 DUB 700 1 (3) 4 0.00Petrobras International Finance Co. 1.000% 09/20/2012 DUB 4,300 (11) (54) 43 0.00Petrobras International Finance Co. 1.000% 12/20/2012 MSC 1,700 (6) (9) 3 0.00Petrobras International Finance Co. 1.000% 09/20/2015 MSC 1,300 (30) (45) 15 0.00Philippine Government International Bond 1.000% 09/20/2015 BNP 6,700 (48) (152) 104 0.00Philippine Government International Bond 1.000% 09/20/2015 CITI 15,900 (114) (356) 242 0.00Philippine Government International Bond 1.770% 12/20/2017 CITI 1,300 27 0 27 0.00Philippine Government International Bond 2.500% 09/20/2017 DUB 500 33 0 33 0.00Philippine Government International Bond 2.910% 09/20/2018 JPM 3,000 285 0 285 0.01Philippine Government International Bond 2.440% 09/20/2017 MSC 100 6 0 6 0.00Philippine Government International Bond 2.260% 03/20/2013 UBS 1,900 72 0 72 0.00Poland Government International Bond 1.000% 12/20/2015 DUB 3,030 (58) (30) (28) 0.00RRI Energy, Inc. 5.000% 09/20/2014 GSC 600 (1) (98) 97 0.00Russian Agricultural Bank OJSC Via RSHB Capital S.A. 1.870% 10/20/2012 CSFB 300 2 0 2 0.00Russian Agricultural Bank OJSC Via RSHB Capital S.A. 2.000% 10/20/2012 MSC 800 8 0 8 0.00SLM Corp. 0.820% 06/20/2012 BOA 600 (3) 0 (3) 0.00SLM Corp. 5.000% 09/20/2014 BOA 700 58 (79) 137 0.00Sungard Data Systems, Inc. 5.000% 09/20/2014 BCLY 100 6 (10) 16 0.00Sungard Data Systems, Inc. 5.000% 09/20/2014 CITI 300 19 (34) 53 0.00Sungard Data Systems, Inc. 5.000% 09/20/2014 CSFB 500 32 (56) 88 0.00Telecom Italia SpA 0.520% 09/20/2011 UBS € 300 (1) 0 (1) 0.00Telecom Italia SpA 0.525% 09/20/2011 WAC 300 (1) 0 (1) 0.00TNK-BP Finance SA 1.000% 12/20/2012 HSBC $ 14,100 (513) (440) (73) (0.02)United Kingdom Gilt 1.000% 06/20/2015 CITI 3,000 44 25 19 0.00United Kingdom Gilt 1.000% 09/20/2015 CSFB 1,000 14 10 4 0.00Wells Fargo & Co. 1.000% 03/20/2013 CITI 300 3 (7 ) 10 0.00Wells Fargo & Co. 1.000% 03/20/2013 MSC 100 1 (2 ) 3 0.00

$ 970 $ (1,673) $ 2,643 0.05


31 December 2010

CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION(1)

Index/TranchesFixed Deal


FairValue

UpfrontPremiums

Paid/(Received)


% ofNet Assets

Dow Jones CDX N.A. EM12 Index 5.000% 12/20/2014 BOA $ 9,200 $ 1,089 $ 975 $ 114 0.05Dow Jones CDX N.A. EM13 Index 5.000% 06/20/2015 BCLY 2,400 307 298 9 0.02Dow Jones CDX N.A. EM13 Index 5.000% 06/20/2015 GSC 1,300 166 162 4 0.01Dow Jones CDX N.A. EM13 Index 5.000% 06/20/2015 MSC 2,100 269 248 21 0.01Dow Jones CDX N.A. EM13 Index 5.000% 06/20/2015 UBS 19,500 2,497 2,392 105 0.12Dow Jones CDX N.A. EM14 Index 5.000% 12/20/2015 BCLY 15,500 2,141 2,109 32 0.10Dow Jones CDX N.A. EM14 Index 5.000% 12/20/2015 BOA 13,700 1,892 1,677 215 0.09Dow Jones CDX N.A. EM14 Index 5.000% 12/20/2015 CITI 20,700 2,859 2,847 12 0.14Dow Jones CDX N.A. EM14 Index 5.000% 12/20/2015 CSFB 8,600 1,188 1,213 (25) 0.06Dow Jones CDX N.A. EM14 Index 5.000% 12/20/2015 DUB 12,200 1,685 1,705 (20) 0.08Dow Jones CDX N.A. EM14 Index 5.000% 12/20/2015 HSBC 14,300 1,975 1,874 101 0.10Dow Jones CDX N.A. EM14 Index 5.000% 12/20/2015 MSC 18,200 2,514 2,565 (51) 0.12Dow Jones CDX N.A. EM14 Index 5.000% 12/20/2015 RBS 8,600 1,188 1,213 (25) 0.06Dow Jones CDX N.A. EM14 Index 5.000% 12/20/2015 UBS 3,500 483 493 (10) 0.02Dow Jones CDX N.A. HY9 Index 3.750% 12/20/2012 BOA 1,935 80 (214) 294 0.00Dow Jones CDX N.A. HY9 Index 3.750% 12/20/2012 MLP 8,686 359 (919) 1,278 0.02Dow Jones CDX N.A. HY15 Index 5.000% 12/20/2015 CITI 29,900 930 (145) 1,075 0.04Dow Jones CDX N.A. HY15 Index 5.000% 12/20/2015 CSFB 12,400 386 (62) 448 0.02Dow Jones CDX N.A. HY15 Index 5.000% 12/20/2015 MSC 5,900 184 (25) 209 0.01Dow Jones CDX N.A. IG6 Index 0.400% 06/20/2011 DUB 9,560 3 (8) 11 0.00Dow Jones CDX N.A. IG15 Index 1.000% 12/20/2015 BNP 62,100 453 51 402 0.02Dow Jones CDX N.A. IG15 Index 1.000% 12/20/2015 BOA 8,100 59 (34) 93 0.00Dow Jones CDX N.A. IG15 Index 1.000% 12/20/2015 CITI 12,500 91 (52) 143 0.00Dow Jones iTraxx Europe Series 5 Crossover 2.900% 06/20/2011 DUB € 573 7 10 (3) 0.00Dow Jones iTraxx Europe Series 5 Crossover 2.900% 06/20/2011 JPM 573 7 11 (4) 0.00Markit MCDX N.A. 15 Index 1.000% 12/20/2015 GSC $ 21,100 (827) (955) 128 (0.04)Markit MCDX N.A. 15 Index 1.000% 12/20/2015 MSC 4,000 (157) (178) 21 (0.01)

$ 21,828 $ 17,251 $ 4,577 1.04



INTEREST RATE SWAPS


NotionalAmount

FairValue

UpfrontPremiums

Paid/(Received)


% ofNet Assets

Pay 1-Month EUR-FRCPXTOB Index 1.970% 12/15/2011 JPM € 4,100 $ 139 $ (1) $ 140 0.01Pay 3-Month USD-LIBOR 2.100% 12/15/2015 CITI $ 6,500 (11) 0 (11) 0.00Pay 3-Month USD-LIBOR 2.100% 12/15/2015 JPM 6,600 (11) 0 (11) 0.00Pay 6-Month EUR-LIBOR 4.000% 06/15/2017 DUB € 5,800 683 4 679 0.03Pay 6-Month EUR-LIBOR 4.000% 09/19/2017 BCLY 2,700 288 (204) 492 0.01Pay 6-Month EUR-LIBOR 4.000% 03/17/2020 DUB 3,000 356 62 294 0.02Pay BRL-CDI-Compounded 11.140% 01/02/2012 HSBC BRL 14,800 138 19 119 0.01Pay BRL-CDI-Compounded 11.650% 01/02/2012 MLP 14,700 229 45 184 0.01Pay BRL-CDI-Compounded 11.880% 01/02/2013 BNP 126,200 487 466 21 0.02Pay BRL-CDI-Compounded 11.900% 01/02/2013 MLP 40,200 147 0 147 0.01Pay BRL-CDI-Compounded 11.980% 01/02/2013 MSC 40,200 211 50 161 0.01Pay BRL-CDI-Compounded 12.480% 01/02/2013 CSFB 76,000 573 602 (29) 0.03Pay IBMEXID 7.330% 01/28/2015 HSBC MXN 4,500 15 0 15 0.00Pay IBMEXID 7.340% 01/28/2015 BCLY 8,500 28 0 28 0.00Pay IBMEXID 7.780% 04/09/2019 JPM 7,000 22 7 15 0.00

$ 3,294 $ 1,050 $ 2,244 0.16


Type Currency



MonthUnrealised


(Depreciation)

NetUnrealised


% ofNet Assets

Buy AUD 16,851 RBS 01/2011 $ 1,176 $ 0 $1,176 0.06Sell BRL 9,994 CITI 02/2011 0 (205) (205 (0.01)Sell 12,361 RBS 02/2011 0 (279) (279) (0.01)Buy 22,355 UBS 02/2011 224 0 224 0.01Buy 5,455 CITI 03/2011 46 0 46 0.00Sell 22,355 UBS 04/2011 0 (228) (228) (0.01)Buy CAD 3,924 DUB 02/2011 49 0 49 0.00Buy CNY 27,286 BCLY 01/2011 36 0 36 0.00Buy 126,322 BNP 01/2011 150 0 150 0.01Buy 9,894 BOA 01/2011 10 0 10 0.00Buy 38,405 CITI 01/2011 46 0 46 0.00Buy 28,862 DUB 01/2011 79 0 79 0.00Sell 72,000 DUB 01/2011 0 (98 ) (98) 0.00Sell 200,344 JPM 01/2011 0 (343) (343) (0.02)



Type Currency



MonthUnrealised


(Depreciation)

NetUnrealised


% ofNet Assets

Buy CNY 41,576 MSC 01/2011 $ 53 $ 0 $ 53 0.00Buy 99,718 HSBC 06/2011 0 (11) (11) 0.00Buy 89,412 BCLY 09/2011 191 0 191 0.01Buy 72,000 DUB 02/2012 98 0 98 0.01Buy 200,344 JPM 02/2012 433 0 433 0.02Buy € 827 BCLY 01/2011 24 0 24 0.00Sell 1,127 BCLY 01/2011 0 (21) (21) 0.00Buy 5,850 CITI 01/2011 0 (225) (225) (0.01)Sell 132,908 CITI 01/2011 3,149 (57) 3,092 0.15Buy 2,285 CSFB 01/2011 13 0 13 0.00Sell 1,343 CSFB 01/2011 53 (6) 47 0.00Buy 382 DUB 01/2011 0 (19) (19) 0.00Sell 1,298 DUB 01/2011 62 (2) 60 0.00Buy 370 HSBC 01/2011 10 0 10 0.00Buy 6,744 MSC 01/2011 52 (185) (133) (0.01)Sell 23,532 RBC 01/2011 0 (122) (122) 0.00Buy 14,259 RBS 01/2011 28 (71) (43) 0.00Sell 3,995 RBS 01/2011 77 0 77 0.00Sell £ 43,507 BCLY 03/2011 0 (230) (230) (0.01)Sell 43,506 DUB 03/2011 0 (217) (217) (0.01)Sell 10 RBC 03/2011 0 0 0 0.00Sell 29,004 RBS 03/2011 0 (42) (42) 0.00Buy IDR 14,529,000 DUB 01/2011 118 0 118 0.01Sell 14,529,000 RBS 01/2011 0 (17) (17) 0.00Sell 131,400,000 CITI 03/2011 55 0 55 0.00Buy 14,529,000 RBS 10/2011 15 0 15 0.00Buy INR 154,500 CITI 03/2011 9 0 9 0.00Buy 201,036 HSBC 03/2011 55 0 55 0.00Buy 260,109 RBS 03/2011 0 (7) (7) 0.00Buy 322,350 HSBC 05/2011 68 0 68 0.01Buy JPY 1,399,597 BOA 01/2011 26 0 26 0.00Sell 1,400,000 CITI 01/2011 0 (38) (38) 0.00Sell 29,971 GSC 01/2011 0 (14) (14) 0.00Sell 17,840 RBC 01/2011 0 (8) (8) 0.00Sell 35,680 RBS 01/2011 0 (15) (15) 0.00Buy KRW 1,034,080 BNP 01/2011 1 0 1 0.00Sell 1,034,080 JPM 01/2011 0 (23) (23) 0.00Buy 6,940,820 BCLY 05/2011 0 (14) (14) 0.00Buy 8,994,230 CITI 05/2011 20 (15) 5 0.00Buy 390,091 GSC 05/2011 2 0 2 0.00Buy 12,385,000 HSBC 05/2011 172 (4 ) 168 0.01Buy 3,140,280 JPM 05/2011 32 0 32 0.00Buy 11,944,070 RBS 05/2011 71 0 71 0.00Buy MXN 163,298 BCLY 02/2011 853 0 853 0.04Buy 21,715 BNP 02/2011 40 0 40 0.00Buy 99,328 CITI 02/2011 26 0 26 0.00Buy 4,469 DUB 02/2011 14 0 14 0.00Buy 112,316 MSC 02/2011 176 0 176 0.01Buy MYR 6,286 HSBC 02/2011 54 0 54 0.00Buy 18,591 JPM 02/2011 73 0 73 0.01Buy NOK 75,641 RBC 02/2011 231 0 231 0.01Buy 41,103 UBS 02/2011 59 0 59 0.00Buy PHP 837,907 CITI 02/2011 172 0 172 0.01Sell 1,181,018 CITI 02/2011 0 (64) (64) 0.00Buy 89,723 BNP 06/2011 34 0 34 0.00Buy 14,920 CITI 06/2011 4 0 4 0.00Buy 7,248 DUB 06/2011 2 0 2 0.00Buy 246,077 HSBC 06/2011 10 0 10 0.00Buy 7,446 JPM 06/2011 2 0 2 0.00Buy SGD 4,530 BOA 03/2011 168 0 168 0.01Buy 8,958 DUB 03/2011 153 0 153 0.01Buy 940 JPM 03/2011 36 0 36 0.00Buy 40,018 RBS 03/2011 701 0 701 0.03Buy THB 46,823 HSBC 02/2011 68 0 68 0.00Buy 18,590 RBS 02/2011 27 0 27 0.00Buy TRY 3,293 CITI 01/2011 0 (125) (125) (0.01)Buy ZAR 94 HSBC 01/2011 1 0 1 0.00

$ 9,607 $ (2,705) $ 6,902 0.33


31 December 2010



DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS


US Treasury Bonds4.375% due 11/15/2039 (h) $ (36,100) $ (36,297) (1.74)


Total Investments $ 2,149,997 102.91


Bank of Nova Scotia0.080% due 01/03/2011 € 2,715 $ 3,642 0.18Brown Brothers Harriman & Co.4.524% due 01/03/2011 ZAR 7 1 0.00HSBC Bank0.068% due 01/04/2011 £ 312 489 0.02Nordea Bank AB0.030% due 01/03/2011 $ 8,941 8,941 0.43Total Overnight Time Deposits $ 13,073 0.63Other Current Assets & Liabilities $ (73,802) (3.54)Net Assets $ 2,089,268 100.00


(a) The Diversified Income Fund is investing in Class Z Income Shares of an affiliated Fund.

(b) Security is in default.

(c) Payment in-kind bond security.

(d) Securities with an aggregate market value of $3,144 and cash of $152 have been segregated with the Custodian to cover margin requirements for the open futures contracts as at31 December 2010.

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

(f) Securities with an aggregate market value of $360 have been pledged as collateral for delayed delivery securities as at 31 December 2010.

(g) Cash of $5,900 has been pledged as collateral for swap, swaption and foreign currency contracts as at 31 December 2010 as governed by International Swaps and Derivative Association, Inc.Master Agreements.

(h) Securities sold short as at 31 December 2010 are covered by long portfolio investments in transferable securities and money market instruments.

(i) Fair Value Measurements1


Category3




(Level 2)



Transferable Securities $ 22,456 $ 2,121,988 $ 10,383 $ 2,154,827Financial Derivative Instruments4 1,411 31,670 (1,614) 31,467Short Sales 0 (36,297) 0 (36,297)Totals $ 23,867 $ 2,117,361 $ 8,769 $ 2,149,997


Category3

StartingBalance at

31-Dec-2009Net

Purchases5 Net Sales5


RealisedGains/

(Losses)




Level 3

EndingBalance at

31-Dec-2010




Transferable Securities $ 7,305 $ 6,752 $ (830) $ (9) $ (692) $ 1,347 $ (3,490) $ 10,383 $ 412Financial Derivative Instruments4 0 12,936 (14,100) 0 0 (450) 0 (1,614) (450)Totals $ 7,305 $ 19,688 $ (14,930) $ (9) $ (692) $ 897 $ (3,490) $ 8,769 $ (38)




Category3

Quoted Pricesin Active Markets forIdentical Investments

(Level 1)


(Level 2)



Transferable Securities $ 151 $ 692,099 $ 7,305 $ 699,555Financial Derivative Instruments4 2,580 6,519 0 9,099Totals $ 2,731 $ 698,618 $ 7,305 $ 708,654


Category3

StartingBalance at

31-Dec-2008Net



RealisedGains/

(Losses)




Level 3

EndingBalance

at 31-Dec-2009




Transferable Securities $ 1,106 $ 6,253 $ (1,132) $ (11) $ 296 $ (1,535) $ 2,328 $ 7,305 $ (1,232)Financial Derivative Instruments4 545 0 (413) 0 412 (399) (145) 0 0Total $ 1,651 $ 6,253 $ (1,545) $ (11) $ 708 $ (1,934) $ 2,183 $ 7,305 $ (1,232)




As at 31 December 2010, the Institutional EUR (Hedged) Class, Investor EUR (Hedged) Class, Administrative EUR (Hedged) Class and Class E EUR (Hedged) had the followingforeign currency contracts outstanding:

Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Buy € 4,912 BCLY 01/2011 $ 114 $ 0 $ 114 0.01Sell 7,767 BCLY 01/2011 0 (185) (185) (0.01)Buy 7,729 CITI 01/2011 242 0 242 0.01Sell 208,666 CITI 01/2011 0 (2,526) (2,526) (0.12)Buy 5,119 CSFB 01/2011 68 0 68 0.00Buy 501 DUB 01/2011 19 0 19 0.00Sell 617 DUB 01/2011 0 (25) (25) 0.00Buy 27,681 JPM 01/2011 103 0 103 0.01Buy 1,074 MSC 01/2011 4 0 4 0.00Buy 665 RBC 01/2011 22 0 22 0.00Sell 1,180 RBC 01/2011 0 (6) (6) 0.00Buy 333,888 RBS 01/2011 11,146 0 11,146 0.53Sell 172,609 RBS 01/2011 0 (2,287) (2,287) (0.11)Buy 9,325 UBS 01/2011 198 0 198 0.01Buy 210,190 CITI 02/2011 2,569 0 2,569 0.12Sell 1,192 CITI 02/2011 0 (33 ) (33) 0.00Buy 166 DUB 02/2011 2 0 2 0.00Buy 172,609 RBS 02/2011 2,284 0 2,284 0.11

$ 16,771 $ (5,062) $ 11,709 0.56

As at 31 December 2010, the Institutional GBP (Hedged) Class had the following foreign currency contracts outstanding:

Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Buy £ 800 BCLY 01/2011 $ 20 $ 0 $ 20 0.00Sell 1,719 BCLY 01/2011 7 (9) (2) 0.00Sell 504,008 BNP 01/2011 0 (11,063) (11,063) (0.53)Sell 5,093 CITI 01/2011 0 (38) (38) 0.00Buy 6,139 CSFB 01/2011 0 (84) (84) 0.00Buy 2,893 DUB 01/2011 39 0 39 0.00Buy 186,195 RBC 01/2011 25 (752) (727) (0.04)Buy 316,260 RBS 01/2011 3,316 0 3,316 0.16Sell 667 UBS 01/2011 0 (6) (6) 0.00Buy 504,008 BNP 02/2011 11,041 0 11,041 0.53Sell 3,055 CITI 02/2011 0 (71) (71) 0.00

$ 14,448 $ (12,023) $ 2,425 0.12


31 December 2010

As at 31 December 2010, the Institutional SEK (Hedged) Class had the following foreign currency contracts outstanding:

Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Sell SEK 328,346 BCLY 01/2011 $ 0 $ (768) $ (768) (0.04)Sell 6,552 CITI 01/2011 0 (26) (26) 0.00Buy 453 DUB 01/2011 0 0 0 0.00Buy 334,898 RBS 01/2011 2,069 0 2,069 0.10Buy 326,895 BCLY 02/2011 755 0 755 0.04Buy 1,140 RBC 02/2011 4 0 4 0.00

$ 2,828 $ (794) $ 2,034 0.10


Significant Changes in Portfolio Composition Diversified Income Fund (Unaudited)31 December 2010

DESCRIPTION SHARESCOST(000S)


PIMCO US Dollar Short-Term Floating NAVFund (a) 74,103,158 $ 741,031

PAR(000S)

US Treasury Bills1.750% due 07/31/2015 $ 399,755 407,586US Treasury Bonds4.375% due 11/15/2039 300,998 321,229US Treasury Notes2.625% due 08/15/2020 223,900 220,648Treasury Inflation Protected Securities1.250% due 07/15/2020 (b) 173,801 181,621US Treasury Notes2.625% due 12/31/2014 48,100 51,175US Treasury Notes3.625% due 08/15/2019 36,600 38,109Citigroup, Inc.2.125% due 04/30/2012 30,000 30,684US Treasury Notes2.375% due 10/31/2014 30,800 30,666Russia Government International Bond7.500% due 03/31/2030 24,428 28,513US Treasury Notes2.375% due 09/30/2014 25,800 25,732Canada Government Bond2.500% due 06/01/2015 CAD 22,200 21,306US Treasury Notes4.125% due 05/15/2015 $ 17,400 18,661Volkswagen Car Lease1.460% due 06/21/2016 € 14,100 17,970Conti-Gummi Finance BV8.500% due 07/15/2015 11,900 17,910Japan Treasury Bills0.107% due 01/31/2011 JPY 1,400,000 17,294CIT Group, Inc.7.000% due 05/01/2013 $ 16,800 16,921Japan Treasury Bills0.000% due 10/25/2010 JPY 1,400,000 16,054QNB Finance Ltd.3.125% due 11/16/2015 $ 15,000 14,801Federal Home Loan Bank0.140% due 07/02/2010 14,300 14,298

DESCRIPTION SHARESPROCEEDS

(000S)



PAR(000S)

US Treasury Bills1.750% due 07/31/2015 $ 399,755 407,775US Treasury Bonds4.375% due 11/15/2039 264,898 284,939US Treasury Notes2.625% due 08/15/2020 197,100 193,868Treasury Inflation Protected Securities1.250% due 07/15/2020 (b) 138,908 144,042US Treasury Notes2.625% due 12/31/2014 48,100 51,203US Treasury Notes2.375% due 10/31/2014 46,300 46,137US Treasury Notes2.375% due 09/30/2014 38,800 38,731US Treasury Notes3.625% due 08/15/2019 36,600 38,305Citigroup, Inc.2.125% due 04/30/2012 35,000 35,823US Treasury Notes4.125% due 05/15/2015 26,100 28,022Volkswagen Car Lease1.460% due 06/21/2016 € 13,592 18,484Japan Treasury Bills0.000% due 10/25/2010 JPY 1,400,000 17,371Japan Treasury Bills0.107% due 01/31/2011 1,400,000 17,239US Treasury Bonds11.250% due 02/15/2015 $ 12,000 17,026US Treasury Notes1.000% due 09/30/2011 16,800 16,868Federal Home Loan Bank0.140% due 07/02/2010 14,300 14,300Indonesia Government International Bond5.875% due 03/13/2020 12,200 13,774US Treasury Notes2.625% due 11/15/2020 12,700 12,561United Kingdom Gilt4.250% due 12/07/2027 £ 7,500 11,889

(a) The Diversified Income Fund is investing in Class Z Income Shares of an affiliated Fund.





Portfolio of Investments and Assets Emerging Asia Bond Fund31 December 2010

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS


BERMUDA

Noble Group Ltd.6.750% due 01/29/2020 $ 100 $ 109 0.73


Star Energy Geothermal Wayang Windu Ltd.11.500% due 02/12/2015 700 798 5.34

CANADA

Sino-Forest Corp.10.250% due 07/28/2014 557 645 4.31

CAYMAN ISLANDS


Agile Property Holdings Ltd.10.000% due 11/14/2016 200 216 1.45CFG Investment SAC9.250% due 12/19/2013 100 105 0.70Country Garden Holdings Co.11.750% due 09/10/2014 100 110 0.74Hutchison Whampoa International Ltd.5.750% due 09/11/2019 100 107 0.727.625% due 04/09/2019 500 600 4.01Shimao Property Holdings Ltd.2.409% due 12/01/2011 400 392 2.62UOB Cayman Ltd.5.796% due 12/29/2049 300 307 2.05

1,837 12.29Total Cayman Islands 1,837 12.29

CHINA

Parkson Retail Group Ltd.7.875% due 11/14/2011 300 313 2.09

HONG KONG

Bank of China Hong Kong Ltd.5.550% due 02/11/2020 300 313 2.09China Resources Power Holdings Co. Ltd.3.750% due 08/03/2015 100 98 0.66Sinochem Overseas Capital Co. Ltd.4.500% due 11/12/2020 100 99 0.66Wing Hang Bank Ltd.6.000% due 04/29/2049 300 303 2.03

813 5.44

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

INDIA

Export-Import Bank of India4.400% due 04/21/2015 $ 300 $ 301 2.01Indian Oil Corp. Ltd.4.750% due 01/22/2015 100 103 0.69Reliance Holdings USA, Inc.4.500% due 10/19/2020 250 237 1.59

641 4.29

INDONESIA


Adaro Indonesia PT7.625% due 10/22/2019 200 219 1.46Indo Integrated Energy II BV9.750% due 11/05/2016 200 227 1.52Indosat Palapa Co. BV7.375% due 07/29/2020 400 442 2.96Listrindo Capital BV9.250% due 01/29/2015 100 113 0.76Majapahit Holding BV7.750% due 01/20/2020 300 347 2.32Sigma Capital Pte Ltd.9.000% due 04/30/2015 100 107 0.71

1,455 9.73

SOVEREIGN ISSUES

Indonesia Government International Bond5.875% due 03/13/2020 450 496 3.32

496 3.32Total Indonesia 1,951 13.05

SHARES

IRELAND

PIMCO US Dollar Short-TermFloating NAV Fund (a) 90,081 901 6.03

PAR(000S)

KOREA

Hyundai Motor Manufacturing Czech s.r.o.4.500% due 04/15/2015 $ 300 307 2.05

MALAYSIA

Axiata SPV1 Labuan Ltd.5.375% due 04/28/2020 400 409 2.74

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

NETHERLANDS

Kazakhstan Temir Zholy Finance BV6.375% due 10/06/2020 $ 200 $ 209 1.40

PHILIPPINES

Philippine Government International Bond4.950% due 01/15/2021 PHP 5,000 121 0.816.375% due 01/15/2032 $ 100 105 0.706.500% due 01/20/2020 250 290 1.94Power Sector Assets & Liabilities Management Corp.7.250% due 05/27/2019 155 181 1.217.390% due 12/02/2024 600 702 4.70

1,399 9.36

SINGAPORE

DBS Bank Ltd.2.375% due 09/14/2015 300 292 1.955.125% due 05/16/2017 100 103 0.69STATS ChipPAC Ltd.7.500% due 08/12/2015 700 760 5.08

1,155 7.72

SOUTH KOREA


Korea Electric Power Corp.3.000% due 10/05/2015 500 487 3.26Shinhan Bank5.663% due 03/02/2035 300 300 2.01

787 5.27

SOVEREIGN ISSUES

Export-Import Bank of Korea4.000% due 01/29/2021 300 280 1.87Korea Finance Corp.3.250% due 09/20/2016 500 480 3.21Korea Housing Finance Corp.4.125% due 12/15/2015 250 252 1.68

1,012 6.76

Total South Korea 1,799 12.03

Total Transferable Securities &Money Market Instruments - OfficialStock Exchange/Regulated Market $ 13,286 88.87



WRITTEN OPTIONS


ExerciseRate

ExpirationDate


FairValue

% ofNet Assets



INTEREST RATE SWAPS



NotionalAmount

FairValue

UpfrontPremiums


(Depreciation)% of

Net Assets

Pay 3-Month USD-LIBOR 1.700% 12/15/2015 CITI $ 1,000 $ (24) $ 0 $ (24) (0.16)


Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Buy BRL 472 CITI 03/2011 $ 4 $ 0 $ 4 0.03Buy CLP 87,474 CITI 01/2011 6 0 6 0.04Sell 106,042 DUB 01/2011 0 (9) (9) (0.06)


Portfolio of Investments and Assets Emerging Asia Bond Fund (Cont.)

Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Buy CLP 23,963 HSBC 01/2011 $ 6 $ 0 $ 6 0.04Sell 5,395 HSBC 01/2011 0 0 0 0.00Buy 106,042 DUB 06/2011 8 0 8 0.06Buy CNY 3,385 CITI 09/2011 2 0 2 0.01Buy 220 DUB 02/2012 1 0 1 0.01Buy 824 RBS 02/2012 5 0 5 0.03Sell COP 132,300 CITI 04/2011 0 0 0 0.00Buy 391,781 DUB 04/2011 0 (12) (12) (0.08)Buy CZK 20,782 DUB 02/2011 0 (92) (92) (0.62)Buy 1,989 JPM 02/2011 0 (5) (5) (0.03)Sell € 77 CITI 01/2011 2 0 2 0.01Sell HKD 913 BCLY 01/2011 0 0 0 0.00Buy 7,017 CITI 01/2011 0 (3) (3) (0.02)Sell 7,932 HSBC 01/2011 1 0 1 0.01Buy 1,828 JPM 01/2011 0 (1) (1) (0.01)Buy 7,932 HSBC 04/2011 0 0 0 0.00Buy HUF 111,253 BCLY 01/2011 0 (23) (23) (0.16)Buy 22,032 CITI 01/2011 4 0 4 0.03Buy IDR 327,290 BCLY 07/2011 0 0 0 0.00Buy 2,935,295 CITI 07/2011 2 0 2 0.01Sell 553,200 CITI 07/2011 0 (1) (1) (0.01)Buy 426,600 HSBC 07/2011 1 0 1 0.01Buy ILS 496 DUB 05/2011 4 0 4 0.03Buy 1,318 JPM 05/2011 11 0 11 0.07Sell INR 903 BCLY 03/2011 0 0 0 0.00Buy 21,250 CITI 03/2011 2 0 2 0.01Sell 5,896 CITI 03/2011 0 0 0 0.00Buy 3,465 RBS 03/2011 0 0 0 0.00Buy KRW 51,000 CITI 05/2011 0 (1) (1) 0.00Buy 27,000 HSBC 05/2011 0 0 0 0.00Buy 235,506 RBS 05/2011 0 (1) (1) (0.01)Buy MXN 6,004 BCLY 02/2011 16 0 16 0.11Buy 16,429 MSC 02/2011 22 0 22 0.15Buy MYR 40 BCLY 02/2011 0 0 0 0.00Sell 345 BCLY 02/2011 0 (2) (2) (0.01)Buy 983 CITI 02/2011 2 0 2 0.01Buy 151 DUB 02/2011 0 0 0 0.00Buy 288 JPM 02/2011 2 0 2 0.01Buy 30 RBS 02/2011 0 0 0 0.00Buy PEN 259 CITI 03/2011 0 0 0 0.00Buy 596 DUB 03/2011 0 (2) (2) (0.01)Buy PHP 4,000 BOA 06/2011 0 (1) (1) (0.01)Buy 38,073 CITI 06/2011 3 (8) (5) (0.03)Sell 122,761 CITI 06/2011 18 (33 ) (15 ) (0.10)Buy 7,912 DUB 06/2011 1 0 1 0.01Buy 5,944 HSBC 06/2011 1 0 1 0.01Buy 85,878 JPM 06/2011 1 (15) (14) (0.09)Buy 2,204,500 CITI 11/2011 626 0 626 4.19Sell 4,352,000 CITI 11/2011 753 (569) 184 1.23Buy 2,168,500 DUB 11/2011 0 (201) (201) (1.35)Buy 2,204,500 GSC 11/2011 626 0 626 4.19Sell 2,204,500 GSC 11/2011 0 (592) (592) (3.96)Buy 2,147,500 JPM 11/2011 0 (683) (683) (4.57)Sell 2,168,500 JPM 11/2011 282 0 282 1.88Buy PLN 5,218 BCLY 02/2011 0 (67) (67) (0.45)Buy RON 1,519 DUB 02/2011 0 (23) (23) (0.15)Buy SGD 340 BOA 03/2011 11 0 11 0.08Buy 1,578 CITI 03/2011 24 0 24 0.16Buy 89 DUB 03/2011 2 0 2 0.01Buy 70 JPM 03/2011 2 0 2 0.01Buy 80 RBS 03/2011 3 0 3 0.02Buy THB 6,923 CITI 02/2011 0 0 0 0.00Buy 970 HSBC 02/2011 1 0 1 0.00Buy 390 RBS 02/2011 1 0 1 0.01Buy TRY 491 CITI 01/2011 0 (21) (21) (0.14)Buy 1,164 DUB 01/2011 0 (43) (43) (0.29)Buy TWD 419 DUB 01/2011 1 0 1 0.01Sell 2,389 DUB 01/2011 0 (2) (2) (0.01)Buy 1,970 RBS 01/2011 5 0 5 0.03Buy 5,656 CITI 04/2011 11 0 11 0.07Buy 2,389 DUB 04/2011 3 0 3 0.02Buy 772 JPM 04/2011 1 0 1 0.01Buy ZAR 3,011 DUB 01/2011 24 0 24 0.16Buy 910 HSBC 01/2011 6 0 6 0.04

$ 2,507 $ (2,410) $ 97 0.65

Total OTC Financial Derivative Instruments $ 57 0.38



31 December 2010

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS


Toronto Dominion Bank0.030% due 12/31/2010 $ 484 $ 484 3.24Other Current Assets & Liabilities $ 1,123 7.51Net Assets $ 14,950 100.00


(a) The Emerging Asia Bond Fund is investing in Class Z Income Shares of an affiliated Fund.

(b) Cash of $1,290 has been pledged as collateral for swap, swaption and foreign currency contracts as at 31 December 2010 as governed by International Swaps and Derivative Association, Inc.Master Agreements.

(c) Fair Value Measurements1


Category3




(Level 2)



Transferable Securities $ 901 $ 12,385 $ 0 $ 13,286Financial Derivative Instruments4 0 57 0 57Totals $ 901 $ 12,442 $ 0 $ 13,343

1 See note 2(c) in the Notes to Financial Statements for additional information.

2 There were no significant transfers into and out of level 1 and 2 during the period ended 31 December 2010.

3 Refer to the Portfolio of Investments and Assets for additional information.

4 Financial Derivative Instruments may include open futures contracts, swap agreements, written options, purchased options and foreign currency contracts.


Significant Changes in Portfolio Composition Emerging Asia Bond Fund



PIMCO US Dollar Short-Term Floating NAV Fund (a) 620,043 $ 6,201PAR

(000S)

US Treasury Bills0.000% due 10/21/2010 $ 3,500 3,500Sino-Forest Corp.10.250% due 07/28/2014 2,614 2,958STATS ChipPAC Ltd.7.500% due 08/12/2015 2,400 2,614UOB Cayman Ltd.5.796% due 12/31/2049 2,400 2,409Philippine Government International Bond6.500% due 01/20/2020 1,750 1,996Noble Group Ltd.6.750% due 01/29/2020 1,500 1,625Star Energy Geothermal Wayang Windu Ltd.11.500% due 02/12/2015 1,400 1,601Indo Integrated Energy II BV9.750% due 11/05/2016 1,400 1,555Hutchison Whampoa International 09 Ltd.7.625% due 04/04/2019 1,000 1,250Indonesia Government International Bond5.875% due 03/13/2020 1,050 1,207Philippine Government International Bond6.375% due 01/15/2032 800 936Indosat Palapa Co. BV7.375% due 07/29/2020 800 904Axiata SPV1 Labuan Ltd.5.375% due 04/28/2020 800 866Indo Integrated Energy B8.500% due 06/01/2012 800 851Export-Import Bank of India4.400% due 04/21/2015 800 803Shimao Property Holding Ltd.2.409% due 12/01/2011 800 785Noble Group Ltd.8.500% due 05/30/2013 670 748Power Sector Assets & Liabilities Management Corp.7.390% due 12/02/2024 600 742Majapahit Holding BV7.750% due 01/20/2020 600 734Country Garden Holding Co.10.500% due 08/11/2015 500 527Indonesia Government International Bond5.875% due 03/13/2020 500 520Korea Hydro & Nuclear Power Co. Ltd.3.125% due 09/16/2015 500 501Korea Finance Corp.3.250% due 09/20/2016 500 501Korea Electric Power Corp.3.000% due 10/05/2015 500 501Shinhan Bank5.663% due 03/02/2035 500 497Reliance Holdings USA, Inc.4.500% due 10/19/2020 500 494KT Corporation5.875% due 06/24/2014 440 486Citic Resources Finance Ltd.6.750% due 05/15/2014 450 474Qatar Government International Bond5.250% due 01/20/2020 400 440Hutchison Whampoa International Ltd.5.750% due 09/11/2019 400 427DBS Bank Ltd.5.125% due 05/16/2017 400 415Sigma Capital Pte Ltd.9.000% due 04/30/2015 400 400Power Sector Assets & Liabilities Management Corp.7.250% due 05/27/2019 300 361Listrindo Capital BV9.250% due 01/29/2015 300 326Standard Chartered Bank5.875% due 06/24/2020 300 325

DESCRIPTIONPAR

(000S)COST(000S)

Bank of China Hong Kong Ltd.5.550% due 02/11/2020 $ 300 $ 317Hyundai Motor Manufacturing Czech s.r.o.4.500% due 04/15/2015 300 317Parkson Retail Group Ltd.7.875% due 11/14/2011 300 315UOB Cayman Ltd.5.796% due 12/31/2049 300 311Wing Hang Bank Ltd.6.000% due 12/31/2049 300 303DBS Bank Ltd.2.375% due 09/14/2015 300 299Export-Import Bank of Korea4.000% due 01/29/2021 300 298Road King Infrastructure Finance 2007 Ltd.7.625% due 05/14/2014 300 286Korea Housing Finance Corp.4.125% due 12/15/2015 250 250

SHARESPROCEEDS

(000S)


PIMCO US Dollar Short-Term Floating NAV Fund (a) 529,962 $ 5,301PAR

(000S)

US Treasury Bills0.000% due 10/21/2010 $ 3,500 3,500UOB Cayman Ltd.5.796% due 12/31/2049 2,400 2,426Sino-Forest Corp.10.250% due 07/28/2014 2,057 2,323STATS ChipPAC Ltd.7.500% due 08/12/2015 1,700 1,869Philippine Government International Bond6.500% due 01/20/2020 1,500 1,735Noble Group Ltd.6.750% due 01/29/2020 1,400 1,528Indo Integrated Energy II BV9.750% due 11/05/2016 1,200 1,339Indonesia Government International Bond5.875% due 03/13/2020 850 979Indo Integrated Energy B8.500% due 06/01/2012 800 853Philippine Government International Bond6.375% due 01/15/2032 700 817Star Energy Geothermal Wayang Windu Ltd.11.500% due 02/12/2015 700 809Noble Group Ltd.8.500% due 05/30/2013 670 752Hutchison Whampoa International 09 Ltd.7.625% due 04/09/2019 500 632Indosat Palapa Co. BV7.375% due 07/29/2020 500 571Country Garden Holding Co.10.500% due 08/11/2015 500 528Korea Hydro & Nuclear Power Co. Ltd.3.125% due 09/16/2015 500 507Export-Import Bank of India4.400% due 04/21/2015 500 501KT Corporation5.875% due 06/24/2014 440 488Citic Resources Finance Ltd.6.750% due 05/15/2014 450 475Qatar Government International Bond5.250% due 01/20/2020 400 444Axiata SPV1 Labuan Ltd.5.375% due 04/28/2020 400 439Shimao Property Holding Ltd.2.409% due 12/01/2011 400 393Majapahit Holding BV7.750% due 01/20/2020 300 372Standard Chartered Bank5.875% due 06/24/2020 300 329



DESCRIPTIONPAR

(000S)PROCEEDS

(000S)


Hutchison Whampoa International Ltd.5.750% due 09/11/2019 $ 300 $ 328DBS Bank Ltd.5.125% due 05/16/2017 300 312Sigma Capital Pte Ltd.9.000% due 04/30/2015 300 301Road King Infrastructure Finance 2007 Ltd.7.625% due 05/14/2014 300 287Indonesia Government International Bond5.875% due 03/13/2020 250 264Reliance Holdings USA, Inc.4.500% due 10/19/2020 250 246Majapahit Holding BV7.750% due 10/17/2016 200 224Listrindo Capital BV9.250% due 01/29/2015 200 224Woori Bank4.750% due 01/20/2016 200 215Kazakhstan Temir Zholy Finance BV6.375% due 10/06/2020 200 207US Treasury Bills0.000% due 11/26/2010 200 200SABIC Capital I BV3.000% due 11/02/2015 200 200Shinhan Bank5.663% due 03/02/2035 200 200DBS Bank Ltd.0.656% due 05/16/2017 200 196Power Sector Assets & Liabilities Management Corp.7.250% due 05/27/2019 145 180

(a) The Emerging Asia Bond Fund is investing in Class Z Shares of an affiliated Fund.




Portfolio of Investments and Assets Emerging Local Bond Fund

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS


AUSTRALIA

Westpac Banking Corp.0.492% due

12/14/2012 $ 4,000 $ 4,004 0.14

BRAZIL

Banco do Brasil S.A.4.500% due

01/22/2015 130 136 0.01Banco Santander Brazil S.A.0.000% due

12/28/2011 3,300 3,289 0.122.596% due

12/29/2011 8,000 7,797 0.27Brazil Notas do Tesouro Nacional Series F10.000% due

01/01/2012 BRL 67,203 39,492 1.4010.000% due

01/01/2013 10,548 6,077 0.2210.000% due

01/01/2017 294,627 161,968 5.7310.000% due

01/01/2021 60,400 31,974 1.13Cia Energetica de Sao Paulo9.750% due

01/15/2015 (a) 800 580 0.02251,313 8.90


PCCW-HKT Capital Ltd.8.000% due

11/15/2011 $ 1,000 1,049 0.04

CANADA

Canadian Natural Resources Ltd.5.450% due

10/01/2012 100 107 0.00Kinder Morgan Finance Co. ULC5.350% due

01/05/2011 800 801 0.03908 0.03

CAYMAN ISLANDS

Hyundai Capital Auto Funding Ltd.1.261% due

09/20/2016 3,600 3,560 0.13

CHILE

Banco Santander Chile1.539% due

04/20/2012 500 500 0.02Bonos de la Tesoreria de la Republica4.500% due

10/15/2023 (a) CLP 107,281 264 0.01Bonos del Banco Central de Chile en UF (a)3.000% due

05/01/2017 85,825 184 0.003.000% due

07/01/2018 85,825 185 0.011,133 0.04

CHINA

Bank of China2.900% due

09/30/2013 CNY 10 2 0.00

COLOMBIA

Colombia Government International Bond2.092% due

11/16/2015 $ 7,010 7,097 0.257.750% due

04/14/2021 COP 21,157,000 13,134 0.46

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

8.250% due12/22/2014 $ 250 $ 296 0.01

9.850% due06/28/2027 COP 53,676,000 38,666 1.37

10.000% due01/23/2012 $ 2,000 2,170 0.08

12.000% due10/22/2015 COP 6,288,000 4,377 0.16

65,740 2.33

EGYPT

Egypt Government International Bond8.750% due

07/11/2011 $ 658 689 0.028.750% due

07/18/2012 EGP 1,500 258 0.01Egypt Treasury Bills9.520% due

04/19/2011 15,200 2,553 0.099.990% due

03/29/2011 81,350 13,695 0.49Petroleum Export II Ltd.6.340% due

06/20/2011 $ 149 148 0.01Petroleum Export III Ltd.3.319% due

12/07/2012 6,900 6,880 0.24Petroleum Export Ltd.5.265% due

06/15/2011 3,470 3,464 0.1227,687 0.98

EL SALVADOR

El Salvador Government International Bond8.500% due

07/25/2011 700 728 0.03

GUATEMALA

Guatemala Government Bond9.250% due

08/01/2013 130 152 0.0010.250% due

11/08/2011 2,800 3,017 0.113,169 0.11

HUNGARY

Hungary Government Bond5.500% due

02/12/2014 HUF 157,520 704 0.025.500% due

02/12/2016 149,800 642 0.026.500% due

06/24/2019 307,200 1,323 0.056.750% due

04/22/2011 310,000 1,474 0.056.750% due

02/24/2017 2,000,000 8,987 0.327.500% due

11/12/2020 658,500 3,036 0.118.000% due

02/12/2015 190,000 909 0.0317,075 0.60

INDIA

ICICI Bank Ltd.5.750% due

01/12/2012 $ 4,000 4,155 0.15Indian Oil Corp. Ltd.4.750% due

01/22/2015 1,150 1,186 0.04State Bank of India4.500% due

07/27/2015 2,700 2,757 0.108,098 0.29

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

INDONESIA

Indonesia Government International Bond9.500% due

07/15/2031 IDR 517,880,000 $ 58,602 2.0710.000% due

07/15/2017 19,000,000 2,416 0.0810.000% due

02/15/2028 346,769,000 41,375 1.4610.500% due

08/15/2030 352,187,000 43,470 1.5410.500% due

07/15/2038 130,472,000 15,703 0.5611.000% due

11/15/2020 386,754,000 52,429 1.8611.500% due

09/15/2019 6,192,000 857 0.0312.800% due

06/15/2021 48,644,000 7,282 0.2612.900% due

06/15/2022 7,520,000 1,127 0.04Indonesia Treasury Bills5.000% due

02/10/2011 15,140,000 1,674 0.065.000% due

05/05/2011 16,054,000 1,753 0.065.383% due

04/07/2011 15,688,000 1,723 0.06Majapahit Holding BV7.250% due

10/17/2011 $ 6,655 6,941 0.25235,352 8.33

IRELAND

DanFin Funding Ltd.0.989% due

07/16/2013 2,000 1,999 0.07SHARES

PIMCO US DollarShort-Term FloatingNAV Fund (b) 18,965,995 189,698 6.72

191,697 6.79

PAR(000S)

JAPAN

Japan Treasury Bills0.107% due

01/31/2011 JPY 6,010,000 73,518 2.60

KAZAKHSTAN

Intergas Finance BV6.875% due

11/04/2011 $ 5,810 6,057 0.21Kazakhstan Temir Zholy Finance BV6.500% due

05/11/2011 5,600 5,698 0.20KazMunayGas National Co.8.375% due

07/02/2013 17,500 19,381 0.69Tengizchevroil Finance Co. SARL6.124% due

11/15/2014 11,642 12,225 0.4343,361 1.53

LUXEMBOURG

Fiat Finance & Trade S.A.9.000% due

07/30/2012 € 2,400 3,434 0.12Gazprom Via Gaz Capital S.A.7.510% due

07/31/2013 $ 1,500 1,656 0.06Sberbank Via SB Capital S.A.5.930% due

11/14/2011 3,000 3,116 0.11


31 December 2010

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Telecom Italia Capital S.A.0.767% due 02/01/2011 $ 400 $ 400 0.01

8,606 0.30

MALAYSIA

Bank Negara2.836% due

06/02/2011 MYR 1,398 453 0.022.907% due

04/05/2011 4,547 1,464 0.05Malaysia Government International Bond3.741% due

02/27/2015 102,900 33,891 1.203.835% due

08/12/2015 334,067 110,202 3.904.240% due

02/07/2018 19,100 6,377 0.234.378% due

11/29/2019 44,125 14,745 0.52Petronas Capital Ltd.7.000% due

05/22/2012 $ 6,500 6,983 0.25Petronas Global Sukuk Ltd.4.250% due

08/12/2014 1,000 1,041 0.03175,156 6.20

MEXICO


BBVA Bancomer S.A.7.250% due

04/22/2020 200 212 0.01Hipotecaria Su Casita S.A. de C.V.6.290% due

06/25/2012 MXN 27,000 659 0.026.540% due

03/26/2012 23,410 712 0.03Pemex Finance Ltd.9.030% due

02/15/2011 $ 70 71 0.00Pemex Project Funding Master Trust0.903% due

12/03/2012 9,000 8,986 0.325.500% due

02/24/2025 € 700 910 0.0311,550 0.41

SOVEREIGN ISSUES

Mexico Government International Bond7.000% due

06/19/2014 MXN 240,700 20,211 0.717.250% due

12/15/2016 343,930 28,854 1.027.500% due

06/21/2012 161,800 13,576 0.487.750% due

12/14/2017 373,950 32,118 1.148.000% due

12/17/2015 716,900 61,832 2.198.000% due

06/11/2020 205,700 17,862 0.638.500% due

12/13/2018 1,125,226 100,526 3.569.000% due

12/20/2012 189,058 16,382 0.589.500% due

12/18/2014 848,998 76,834 2.72368,195 13.03

Total Mexico 379,745 13.44

PANAMA

Panama Government International Bond7.250% due 03/15/2015 1,080 1,256 0.049.625% due

02/08/2011 500 508 0.021,764 0.06

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

PERU

Peru Government International Bond6.850% due 02/12/2042 PEN 9,500 $ 3,404 0.126.900% due 08/12/2037 24,120 8,798 0.317.840% due 08/12/2020 42,000 17,066 0.619.125% due 02/21/2012 $ 5,000 5,462 0.199.910% due 05/05/2015 PEN 8,030 3,471 0.12

38,201 1.35

PHILIPPINES

National Power Corp.4.534% due 08/23/2011 $ 3,500 3,568 0.13Philippine Government International Bond4.950% due 01/15/2021 PHP 450,000 10,856 0.38

14,424 0.51

POLAND

SOVEREIGN ISSUES

Poland Government Bond0.000% due 07/25/2012 PLN 100,000 31,337 1.110.000% due 10/25/2012 108,600 33,617 1.190.000% due 01/25/2013 50,600 15,460 0.554.250% due 05/24/2011 900 302 0.015.000% due 04/25/2016 22,400 7,375 0.265.250% due 04/25/2013 33,300 11,309 0.405.250% due 10/25/2017 50,140 16,413 0.585.250% due 10/25/2020 17,400 5,528 0.205.500% due 04/25/2015 670,300 226,186 8.015.500% due 10/25/2019 23,100 7,525 0.275.750% due 04/25/2014 145,880 49,865 1.765.750% due 09/23/2022 4,670 1,525 0.05

406,442 14.39

Total Poland 406,442 14.39

QATAR

Qatar Petroleum5.579% due 05/30/2011 $ 315 321 0.01Ras Laffan Liquefied Natural Gas Co. Ltd.8.294% due 03/15/2014 770 848 0.03Ras Laffan Liquefied Natural Gas Co. Ltd. III4.500% due 09/30/2012 11,300 11,915 0.425.500% due 09/30/2014 1,200 1,285 0.055.832% due 09/30/2016 892 963 0.03

15,332 0.54

RUSSIA

AK Transneft OJSC Via TransCapitalInvest Ltd.5.381% due 06/27/2012 € 400 553 0.025.670% due 03/05/2014 $ 310 328 0.016.103% due 06/27/2012 19,326 20,339 0.727.700% due 08/07/2013 2,100 2,336 0.09Gazprom OAO Via Gazstream S.A.5.625% due 07/22/2013 8,673 8,995 0.32Gazprom OAO Via Morgan Stanley Bank AG9.625% due 03/01/2013 27,440 31,158 1.10Gazprom Via Gaz Capital S.A.7.343% due 04/11/2013 600 653 0.028.125% due 07/31/2014 2,100 2,379 0.09Gazprom Via Gazprom International S.A.7.201% due 02/01/2020 58 62 0.00JPMorgan Chase Bank N.A.3.136% due

02/11/2011 (e) 1,800 1,723 0.06Russian Agricultural Bank OJSC Via RSHB Capital S.A.7.125% due 01/14/2014 7,775 8,318 0.307.175% due 05/16/2013 5,560 5,948 0.219.000% due 06/11/2014 1,330 1,503 0.05Sberbank Via SB Capital S.A.6.468% due 07/02/2013 2,530 2,713 0.106.480% due 05/15/2013 2,000 2,140 0.07TNK-BP Finance S.A.6.125% due 03/20/2012 8,900 9,340 0.336.875% due 07/18/2011 14,200 14,637 0.527.500% due 03/13/2013 2,200 2,382 0.08

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

VTB Capital S.A.6.609% due 10/31/2012 $ 4,020 $ 4,289 0.15

119,796 4.24

SOUTH AFRICA

South Africa Government International Bond5.250% due 05/16/2013 € 70 98 0.006.500% due 06/02/2014 $ 6,110 6,881 0.246.750% due 03/31/2021 ZAR 441,100 59,921 2.127.250% due 01/15/2020 554,300 78,618 2.787.375% due 04/25/2012 $ 11,700 12,592 0.457.500% due 01/15/2014 ZAR 33,626 5,215 0.198.250% due 09/15/2017 181,500 27,723 0.988.750% due 12/21/2014 16,600 2,628 0.0913.500% due

09/15/2015 149,600 27,872 0.99221,548 7.84

SOUTH KOREA

Export-Import Bank of Korea1.290% due 02/14/2013 € 1,600 2,025 0.071.352% due 03/13/2012 $ 9,100 9,097 0.325.125% due 02/14/2011 3,100 3,111 0.115.500% due 10/17/2012 1,000 1,061 0.045.875% due 01/14/2015 800 867 0.038.125% due 01/21/2014 1,790 2,050 0.08Korea Development Bank0.502% due 09/12/2011 600 599 0.020.564% due 11/22/2012 1,100 1,076 0.041.242% due 11/21/2011 20,000 19,883 0.701.246% due 04/03/2014 € 1,200 1,524 0.065.300% due 01/17/2013 $ 3,100 3,289 0.125.750% due 05/13/2012 300 316 0.018.000% due 01/23/2014 530 604 0.02Korea East-West Power Co. Ltd.4.875% due 04/21/2011 2,500 2,459 0.09Korea Electric Power Corp.3.000% due 10/05/2015 1,000 968 0.03Korea Land & Housing Corp.0.534% due 11/22/2011 8,000 7,955 0.28Shinhan Bank1.584% due 11/16/2012 17,400 17,285 0.61Woori Bank0.662% due 09/14/2011 400 394 0.01

74,563 2.64

THAILAND

Bank of Thailand2.030% due 07/07/2011 THB 62,000 2,035 0.07Thailand Government Bond3.625% due 05/22/2015 3,529,450 119,108 4.223.875% due 06/13/2019 813,752 27,793 0.985.125% due 03/13/2018 196,640 7,180 0.255.625% due 01/12/2019 11,000 416 0.026.150% due 07/07/2026 14,500 595 0.02

157,127 5.56

TUNISIA

Banque Centrale de Tunisie S.A.4.750% due 04/07/2011 € 1,200 1,612 0.066.250% due 02/20/2013 460 653 0.027.375% due 04/25/2012 $ 11,490 12,352 0.44

14,617 0.52

TURKEY

Turkey Government International Bond0.000% due 05/11/2011 TRY 26,760 16,856 0.600.000% due 11/16/2011 18,260 11,126 0.390.000% due 01/25/2012 55,000 33,160 1.170.000% due 04/25/2012 27,300 16,129 0.574.000% due

04/29/2015 (a) 6,449 4,601 0.169.000% due 06/30/2011 $ 2,800 2,911 0.1010.500% due

01/15/2020 TRY 25,700 18,525 0.66


Portfolio of Investments and Assets Emerging Local Bond Fund (Cont.)

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

11.000% due 08/06/2014 TRY 1,100 $ 780 0.0311.500% due 01/23/2012 $ 3,000 3,319 0.1214.000% due 01/19/2011 TRY 19,802 12,804 0.4516.000% due 03/07/2012 7,965 5,665 0.20Turkey Treasury Bills6.901% due 07/20/2011 9,000 5,597 0.20

131,473 4.65


Abu Dhabi Government International Bond5.500% due 08/02/2012 $ 4,000 4,267 0.15

UNITED KINGDOM

Barclays Bank PLC10.179% due 06/12/2021 360 447 0.02Royal Bank of Scotland PLC0.554% due 03/30/2012 2,800 2,799 0.101.188% due 04/23/2012 2,300 2,324 0.08

5,570 0.20

UNITED STATES

Ally Financial, Inc.7.250% due 03/02/2011 5,200 5,241 0.19American Home Mortgage Investment Trust1.957% due 09/25/2045 44 38 0.00American International Group, Inc.6.250% due 05/01/2036 200 189 0.01Banc of America Mortgage Securities, Inc.5.356% due 02/25/2036 11 9 0.00

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Bear Stearns Adjustable Rate Mortgage Trust4.944% due 01/25/2035 $ 10 $ 9 0.005.326% due 05/25/2047 139 106 0.00Citigroup Mortgage Loan Trust, Inc.3.059% due 03/25/2034 17 17 0.005.873% due 09/25/2037 281 205 0.01DISH DBS Corp.6.375% due 10/01/2011 1,400 1,446 0.05Dow Chemical Co.2.536% due 08/08/2011 500 505 0.02Fannie Mae5.158% due 07/01/2035 227 242 0.01Georgia Power Co.0.622% due 03/15/2013 1,700 1,710 0.06Georgia-Pacific LLC2.289% due 12/21/2012 26 26 0.002.302% due 12/21/2012 907 908 0.03GSR Mortgage Loan Trust2.964% due 01/25/2036 53 42 0.00Hewlett-Packard Co.1.342% due 05/27/2011 1,000 1,004 0.04International Lease Finance Corp.4.950% due 02/01/2011 1,200 1,206 0.046.750% due 09/01/2016 1,000 1,070 0.04Itau Unibanco S.A.1.700% due 09/12/2011 20,000 19,952 0.71Morgan Stanley Mortgage Loan Trust4.569% due 06/25/2036 13 13 0.00

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

NextEra Energy Capital Holdings, Inc.1.182% due 06/17/2011 $ 600 $ 602 0.02Pemex Project Funding Master Trust0.903% due 12/03/2012 4,500 4,493 0.16Shinhan Bank1.838% due 06/04/2011 4,000 4,003 0.14Sprint Capital Corp.7.625% due 01/30/2011 1,350 1,355 0.05US Treasury Bills0.145% due 01/13/2011 -

06/09/2011 (c) 836 836 0.03US Treasury Notes2.375% due 08/31/2014 (c) 100 103 0.00WaMu Mortgage Pass-Through Certificates5.000% due 02/25/2037 165 131 0.00Wells Fargo Mortgage-Backed Securities Trust5.402% due 07/25/2036 61 49 0.00Weyerhaeuser Co.6.750% due 03/15/2012 1,500 1,585 0.06WM Wrigley Jr. Co.1.678% due 06/28/2011 2,600 2,602 0.09

49,697 1.76Total Transferable Securities &Money Market Instruments -Official Stock Exchange/RegulatedMarket $ 2,746,722 97.22



FUTURES


Month# of

ContractsUnrealised

(Depreciation)% of

Net Assets

US Treasury 10-Year Note March Futures Long 03/2011 439 $ (1,658) (0.06)

WRITTEN OPTIONS

DescriptionExercise

PriceExpiration

Date# of


Value% of

Net Assets


$ (50) $ (216) (0.01)




WRITTEN OPTIONS


ExerciseRate

ExpirationDate


FairValue

% ofNet Assets


Call - OTC 5-Year Interest Rate Swap GSC 3-Month USD-LIBOR Receive 1.250% 02/14/2011 $ 8,400 $ (17) $ 0 0.00Put - OTC 5-Year Interest Rate Swap GSC 3-Month USD-LIBOR Pay 1.800% 02/14/2011 8,400 (38) (223) (0.01)Call - OTC 5-Year Interest Rate Swap UBS 3-Month USD-LIBOR Receive 1.250% 02/14/2011 21,200 (44) 0 0.00Put - OTC 5-Year Interest Rate Swap UBS 3-Month USD-LIBOR Pay 1.800% 02/14/2011 21,200 (104) (561) (0.02)

$ (203) $ (784) (0.03)


31 December 2010




FairValue

UpfrontPremiums


Appreciation% of

Net Assets

America Movil SAB de C.V. 1.000% 09/20/2011 DUB $ 4,700 $ 15 $ 0 $ 15 0.00Russian Agricultural Bank OJSC Via RSHB Capital S.A. 1.000% 03/20/2011 BCLY 4,700 2 0 2 0.00

$ 17 $ 0 $ 17 0.00



INTEREST RATE SWAPS



NotionalAmount

FairValue

UpfrontPremiums

Paid/(Received)


% ofNet Assets

Pay 3-Month MYR-KLIBOR 2.880% 12/24/2013 BCLY MYR 3,000 $ (17) $ 0 $ (17) 0.00Pay 3-Month MYR-KLIBOR 2.880% 12/26/2013 BCLY 2,000 (11) 0 (11) 0.00Pay 3-Month MYR-KLIBOR 2.860% 01/02/2014 CITI 4,500 (26) 0 (26) 0.00Pay 3-Month MYR-KLIBOR 2.825% 01/06/2014 DUB 9,500 (59) 0 (59) 0.00Pay 3-Month MYR-KLIBOR 3.720% 06/11/2015 JPM 13,000 (10) 0 (10) 0.00Pay 3-Month MYR-KLIBOR 3.720% 06/14/2015 BCLY 17,000 (13) 0 (13) 0.00Pay 3-Month MYR-KLIBOR 3.580% 08/19/2015 DUB 21,000 (64) (1) (63) 0.00Pay 3-Month MYR-KLIBOR 4.160% 07/22/2020 BOA 40,200 (338) 0 (338) (0.01)Pay 3-Month MYR-KLIBOR 4.170% 07/27/2020 BOA 25,100 (208) (2) (206) (0.01)Pay 3-Month MYR-KLIBOR 4.020% 09/20/2020 DUB 46,900 (627) 0 (627) (0.02)Pay 3-Month MYR-KLIBOR 4.260% 11/02/2020 JPM 12,400 (87) 0 (87) 0.00Pay 3-Month PLN-WIBOR 5.000% 08/16/2012 CITI PLN 144,000 (21) (17) (4) 0.00Pay 3-Month ZAR-SAJIBOR 7.545% 09/17/2020 BCLY ZAR 83,000 (157) (5) (152) (0.01)Pay 6-Month HUF-BIBOR 6.000% 09/15/2015 JPM HUF 819,700 (143) 0 (143) (0.01)Pay 6-Month HUF-BIBOR 6.150% 09/15/2015 BCLY 979,900 (141) 21 (162) 0.00Pay 6-Month HUF-BIBOR 6.150% 09/15/2015 HSBC 1,541,000 (222) (2) (220) (0.01)Pay 6-Month HUF-BIBOR 6.150% 09/15/2015 JPM 1,200,000 (173) (31) (142) (0.01)Pay 6-Month HUF-BIBOR 6.180% 08/24/2020 MSC 2,950,000 (964) 0 (964) (0.03)Pay 6-Month Thailand Fixing Rate 3.170% 04/20/2014 HSBC THB 21,850 8 (8) 16 0.00Pay 6-Month Thailand Fixing Rate 3.160% 04/21/2014 BCLY 13,500 5 0 5 0.00Pay 6-Month Thailand Fixing Rate 3.200% 04/22/2014 BCLY 15,500 6 0 6 0.00Pay 6-Month Thailand Fixing Rate 3.140% 04/23/2014 BCLY 18,500 6 0 6 0.00Pay 6-Month Thailand Fixing Rate 3.030% 04/24/2014 BCLY 5,700 1 0 1 0.00Pay 6-Month Thailand Fixing Rate 3.390% 01/29/2015 CITI 317,000 186 27 159 0.01Pay 6-Month Thailand Fixing Rate 2.860% 07/05/2015 JPM 150,200 (35) 0 (35) 0.00Pay 6-Month Thailand Fixing Rate 2.920% 07/08/2015 UBS 175,700 (27) 0 (27) 0.00Pay 6-Month Thailand Fixing Rate 3.320% 07/27/2020 BOA 417,700 (548) 0 (548) (0.02)Pay 6-Month Thailand Fixing Rate 3.320% 07/29/2020 JPM 131,800 (176) 0 (176) (0.01)Pay BRL-CDI-Compounded 10.610% 01/02/2012 HSBC BRL 88,500 197 250 (53) 0.01Pay BRL-CDI-Compounded 11.140% 01/02/2012 BCLY 88,600 822 473 349 0.03Pay BRL-CDI-Compounded 11.140% 01/02/2012 HSBC 289,300 2,682 574 2,108 0.09Pay BRL-CDI-Compounded 11.260% 01/02/2012 CITI 105,000 (301) 0 (301) (0.01)Pay BRL-CDI-Compounded 11.290% 01/02/2012 MSC 290,000 (741) (892) 151 (0.03)Pay BRL-CDI-Compounded 11.330% 01/02/2012 MLP 550,000 (1,263) (13) (1,250) (0.04)Pay BRL-CDI-Compounded 11.360% 01/02/2012 GSC 3,600 29 (6) 35 0.00Pay BRL-CDI-Compounded 11.570% 01/02/2012 GSC 11,000 90 5 85 0.00Pay BRL-CDI-Compounded 11.570% 01/02/2012 JPM 5,700 47 0 47 0.00Pay BRL-CDI-Compounded 11.630% 01/02/2012 MSC 100,000 332 605 (273) 0.01Pay BRL-CDI-Compounded 11.650% 01/02/2012 BCLY 1,800 28 (2) 30 0.00Pay BRL-CDI-Compounded 11.650% 01/02/2012 GSC 36,900 573 239 334 0.02Pay BRL-CDI-Compounded 11.650% 01/02/2012 HSBC 5,000 78 31 47 0.00Pay BRL-CDI-Compounded 11.670% 01/02/2012 GSC 21,900 353 162 191 0.01Pay BRL-CDI-Compounded 11.940% 01/02/2012 GSC 14,000 145 0 145 0.01Pay BRL-CDI-Compounded 11.970% 01/02/2012 HSBC 246,100 36 29 7 0.00Pay BRL-CDI-Compounded 12.020% 01/02/2012 JPM 100,000 43 0 43 0.00Pay BRL-CDI-Compounded 12.140% 01/02/2012 RBC 172,000 966 23 943 0.03Pay BRL-CDI-Compounded 12.540% 01/02/2012 MSC 58,800 1,697 (392) 2,089 0.06Pay BRL-CDI-Compounded 13.845% 01/02/2012 UBS 19,500 927 (298) 1,225 0.03Pay BRL-CDI-Compounded 14.765% 01/02/2012 JPM 2,800 165 3 162 0.01Pay BRL-CDI-Compounded 11.450% 01/02/2013 CSFB 65,000 (385) 0 (385) (0.01)Pay BRL-CDI-Compounded 11.510% 01/02/2013 HSBC 270,000 (1,558) 0 (1,558) (0.06)Pay BRL-CDI-Compounded 11.900% 01/02/2013 MLP 49,500 175 163 12 0.01Pay BRL-CDI-Compounded 12.550% 01/02/2013 RBS 82,000 737 742 (5) 0.03Pay BRL-CDI-Compounded 11.860% 01/02/2014 MLP 43,000 (63) 69 (132) 0.00Pay IBMEXID 5.950% 09/09/2015 MSC MXN 797,000 (1,368) 237 (1,605) (0.05)Pay IBMEXID 8.170% 11/04/2016 CITI 31,170 178 (67) 245 0.01Pay IBMEXID 6.170% 09/15/2017 JPM 226,300 (770) (1) (769) (0.03)Pay IBMEXID 6.960% 07/27/2020 MSC 261,000 (545) (539) (6) (0.02)Pay IBMEXID 8.760% 09/03/2029 BCLY 4,000 24 0 24 0.00

$ (525) $ 1,377 $ (1,902) (0.02)




Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Buy BRL 26,068 HSBC 02/2011 $ 559 $ 0 $ 559 0.02Buy 8,645 JPM 02/2011 253 0 253 0.01Buy 20,840 RBS 02/2011 439 0 439 0.01Sell 55,553 UBS 02/2011 0 (481) (481) (0.02)Buy 7,014 BCLY 03/2011 164 0 164 0.01Buy 17,385 CITI 03/2011 322 0 322 0.01Sell 34,380 CITI 03/2011 0 (252) (252) (0.01)Buy 19,348 HSBC 03/2011 487 0 487 0.02Buy 5,100 MSC 03/2011 28 0 28 0.00Buy 5,283 HSBC 04/2011 115 0 115 0.00Buy 55,553 UBS 04/2011 480 0 480 0.02Buy CLP 2,991,000 BOA 01/2011 388 0 388 0.01Sell 1,049,535 DUB 01/2011 0 (218) (218) (0.01)Sell 367,262 HSBC 01/2011 0 (16) (16) 0.00Buy 1,099,006 JPM 01/2011 112 0 112 0.01Sell 2,673,209 JPM 01/2011 0 (214) (214) (0.01)Buy 2,673,209 JPM 06/2011 205 0 205 0.01Buy CNY 13,634 BOA 01/2011 15 0 15 0.00Sell 75,984 DUB 01/2011 0 (92) (92) 0.00Buy 56,905 JPM 01/2011 117 0 117 0.00Buy 5,445 MSC 01/2011 4 0 4 0.00Buy 1,974 CITI 06/2011 2 0 2 0.00Sell 20,310 CITI 06/2011 0 (109) (109) 0.00Buy 54,507 JPM 06/2011 154 (10) 144 0.00Buy 53,736 MSC 06/2011 226 0 226 0.01Buy 80,562 RBS 06/2011 333 0 333 0.01Buy 5,487 BCLY 11/2011 0 (21) (21) 0.00Buy 20,818 CITI 11/2011 50 (8) 42 0.00Buy 6,425 DUB 11/2011 0 (7) (7) 0.00Buy 15,657 JPM 11/2011 0 (37) (37) 0.00Buy 9,694 UBS 11/2011 0 (2) (2) 0.00Buy 34,319 BCLY 02/2012 0 (36) (36) 0.00Buy 96,660 CITI 02/2012 33 (18) 15 0.00Buy 122,514 DUB 02/2012 127 0 127 0.00Buy 26,484 UBS 02/2012 114 0 114 0.00Buy 38,838 DUB 08/2013 212 0 212 0.01Buy 23,040 DUB 08/2014 160 0 160 0.01Buy 6,390 JPM 09/2015 64 0 64 0.00Buy COP 25,691,000 CITI 04/2011 0 (465) (465) (0.02)Buy 72,903,429 DUB 04/2011 46 (2,154) (2,108) (0.07)Sell 18,533,500 DUB 04/2011 336 0 336 0.01Buy 3,160,000 JPM 04/2011 65 0 65 0.00Buy 16,879,000 MSC 04/2011 0 (107) (107) 0.00Buy 1,896,825 RBS 04/2011 0 (51) (51) 0.00Buy € 1,639 BCLY 01/2011 16 0 16 0.00Sell 6,143 BCLY 01/2011 116 (24) 92 0.00Buy 2,283 BNP 01/2011 17 0 17 0.00Buy 6,598 BOA 01/2011 0 (61) (61) 0.00Buy 15,940 CITI 01/2011 50 (446) (396) (0.01)Sell 23,280 CITI 01/2011 1,062 (31) 1,031 0.04Buy 2,000 CSFB 01/2011 0 (26) (26) 0.00Sell 10,730 CSFB 01/2011 407 0 407 0.01Buy 1,991 DUB 01/2011 0 (123) (123) (0.01)Buy 1,000 HSBC 01/2011 15 0 15 0.00Buy 2,273 MSC 01/2011 0 (108) (108) 0.00Sell 6,375 MSC 01/2011 385 0 385 0.01Buy 5,492 RBC 01/2011 39 (114) (75) 0.00Sell 2,700 RBC 01/2011 161 0 161 0.01Buy 9,675 RBS 01/2011 19 (408) (389) (0.01)Sell 6,359 RBS 01/2011 157 (27) 130 0.00Buy 1,000 UBS 01/2011 6 0 6 0.00Sell 3,421 UBS 01/2011 0 (44) (44) 0.00Sell £ 620 BCLY 03/2011 13 0 13 0.00Buy 800 BNP 03/2011 0 (9) (9) 0.00Sell 621 DUB 03/2011 13 0 13 0.00Sell 414 RBS 03/2011 11 0 11 0.00Buy HKD 10 DUB 01/2011 0 0 0 0.00Sell 10 HSBC 01/2011 0 0 0 0.00Buy 10 HSBC 04/2011 0 0 0 0.00Buy HUF 3,091 BCLY 01/2011 0 0 0 0.00Buy 619,603 CITI 01/2011 0 (43) (43) 0.00Sell 977,532 CITI 01/2011 126 0 126 0.01Buy 19,300 DUB 01/2011 3 0 3 0.00Buy 3,128,166 HSBC 01/2011 0 (1,075) (1,075) (0.04)Sell 1,453,830 HSBC 01/2011 110 0 110 0.00Buy 6,003,753 JPM 01/2011 0 (1,933) (1,933) (0.07)Sell 1,453,655 UBS 01/2011 111 0 111 0.00Buy IDR 62,860,000 BCLY 01/2011 0 (25) (25) 0.00Buy 39,798,500 CITI 01/2011 216 0 216 0.01Sell 4,895,618 CITI 01/2011 0 (15) (15) 0.00


31 December 2010

Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Buy IDR 19,160,000 DUB 01/2011 $ 126 $ 0 $ 126 0.01Sell 41,332,500 DUB 01/2011 0 (86) (86) 0.00Buy 52,800,000 HSBC 01/2011 359 0 359 0.01Buy 65,836,000 JPM 01/2011 205 0 205 0.01Sell 126,434,000 JPM 01/2011 0 (29) (29) 0.00Sell 67,792,382 RBS 01/2011 0 (56) (56) 0.00Buy 2,728,500 CITI 04/2011 2 0 2 0.00Buy 4,690,000 DUB 04/2011 19 0 19 0.00Sell 47,817,400 HSBC 04/2011 28 (65) (37) 0.00Buy 18,920,000 UBS 04/2011 96 0 96 0.00Buy 80,823,051 BCLY 07/2011 294 0 294 0.01Buy 22,415,900 CITI 07/2011 10 (1) 9 0.00Buy 6,649,800 HSBC 07/2011 11 0 11 0.00Buy 18,177,000 JPM 07/2011 13 0 13 0.00Buy 28,440,000 RBS 07/2011 113 0 113 0.00Buy 139,200,000 BCLY 10/2011 44 0 44 0.00Buy 46,650,000 CITI 10/2011 42 0 42 0.00Buy 17,388,000 DUB 10/2011 4 0 4 0.00Buy 104,500,382 RBS 10/2011 105 (15) 90 0.00Sell ILS 7,373 HSBC 05/2011 0 (77) (77) 0.00Buy 64,818 MSC 05/2011 451 0 451 0.01Buy INR 53,737 BCLY 03/2011 31 0 31 0.00Buy 136,719 BOA 03/2011 95 0 95 0.01Sell 1,323,270 BOA 03/2011 0 (223) (223) (0.01)Buy 855,325 CITI 03/2011 339 (4) 335 0.01Buy 287,265 DUB 03/2011 95 (1) 94 0.00Buy 25,820 HSBC 03/2011 14 0 14 0.00Sell 179,240 HSBC 03/2011 42 0 42 0.00Buy 837,741 JPM 03/2011 432 (9) 423 0.02Buy 648,770 RBS 03/2011 0 (58) (58) 0.00Buy 30,455 UBS 03/2011 15 0 15 0.00Sell JPY 6,010,000 CITI 01/2011 418 0 418 0.01Sell 257,610 GSC 01/2011 0 (91) (91) 0.00Sell 153,339 RBC 01/2011 0 (55) (55) 0.00Sell 306,678 RBS 01/2011 0 (104) (104) 0.00Buy KRW 4,720,000 BCLY 01/2011 318 0 318 0.01Buy 3,426,000 CITI 01/2011 26 0 26 0.00Sell 4,432,000 CITI 01/2011 85 0 85 0.00Buy 3,467,100 GSC 01/2011 63 0 63 0.00Buy 2,011,290 JPM 01/2011 77 0 77 0.00Sell 9,192,390 JPM 01/2011 0 (158) (158) 0.00Buy 1,922,000 BCLY 05/2011 0 (19) (19) 0.00Buy 18,741,600 CITI 05/2011 0 (167) (167) 0.00Buy 12,708,778 GSC 05/2011 0 (175) (175) (0.01)Buy 3,627,000 HSBC 05/2011 0 (37) (37) 0.00Buy 20,914,190 JPM 05/2011 158 (55) 103 0.00Buy 7,272,000 RBS 05/2011 0 (25) (25) 0.00Sell MXN 558,193 BCLY 02/2011 0 (1,939) (1,939) (0.07)Buy 65,410 BOA 02/2011 264 0 264 0.01Buy 692,197 CITI 02/2011 1,020 (87) 933 0.03Sell 366,475 CITI 02/2011 0 (13) (13) 0.00Buy 10,172 DUB 02/2011 28 0 28 0.00Buy 336,590 HSBC 02/2011 129 (41) 88 0.01Sell 442,967 HSBC 02/2011 0 (211) (211) (0.01)Sell 295,050 JPM 02/2011 67 (444) (377) (0.01)Buy 149,914 MSC 02/2011 65 0 65 0.00Buy 6,550 RBS 02/2011 3 0 3 0.00Buy MYR 180,482 BCLY 02/2011 586 0 586 0.02Buy 76,429 CITI 02/2011 344 0 344 0.01Buy 99,162 DUB 02/2011 286 0 286 0.01Buy 15,838 HSBC 02/2011 143 0 143 0.01Sell 12,366 HSBC 02/2011 0 (16) (16) 0.00Buy 36,528 JPM 02/2011 92 0 92 0.00Buy 19,199 MSC 02/2011 45 0 45 0.00Buy 51,590 RBS 02/2011 97 0 97 0.01Buy 12,444 JPM 05/2011 26 0 26 0.00Buy PEN 13,965 CITI 03/2011 0 (38) (38) 0.00Buy 19,635 HSBC 03/2011 0 (23) (23) 0.00Sell 39,662 JPM 03/2011 0 (93) (93) 0.00Buy 125,535 MSC 03/2011 0 (388) (388) (0.02)Buy PHP 275,600 BOA 06/2011 0 (111) (111) 0.00Buy 987,840 CITI 06/2011 95 (65) 30 0.00Buy 225,438 DUB 06/2011 35 0 35 0.00Buy 169,365 HSBC 06/2011 19 0 19 0.00Buy 231,590 JPM 06/2011 35 0 35 0.00Buy 147,961 RBS 06/2011 0 (46) (46) 0.00Buy 217,500 BCLY 11/2011 0 (5) (5) 0.00Buy 220,250 CITI 11/2011 58 0 58 0.00Buy PLN 21,141 BCLY 02/2011 0 (326) (326) (0.01)Sell 201,232 BCLY 02/2011 2,569 0 2,569 0.09Buy 71,852 HSBC 02/2011 0 (1,012) (1,012) (0.04)Sell 103,939 HSBC 02/2011 1,022 0 1,022 0.04



Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Buy PLN 5,660 JPM 02/2011 $ 0 $ (110) $ (110) 0.00Buy 28,425 MSC 02/2011 0 (510) (510) (0.02)Sell 45,087 MSC 02/2011 0 (52) (52) 0.00Sell RON 8,078 BNP 02/2011 0 (4) (4) 0.00Buy 8,069 DUB 02/2011 0 (123) (123) 0.00Buy RUB 1,497,459 CITI 04/2011 343 (288) 55 0.00Buy 339,314 DUB 04/2011 49 (98) (49) 0.00Buy 76,350 HSBC 04/2011 0 (22) (22) 0.00Buy 176,438 JPM 04/2011 26 0 26 0.00Buy 116,030 MSC 04/2011 0 (65) (65) 0.00Buy 155,750 UBS 04/2011 54 0 54 0.00Buy SGD 9,082 DUB 02/2011 149 0 149 0.00Sell 5,132 DUB 02/2011 16 0 16 0.00Buy 36,036 BOA 03/2011 930 0 930 0.03Buy 10,471 CITI 03/2011 127 0 127 0.00Sell 7,875 CITI 03/2011 0 (113) (113) 0.00Buy 9,921 DUB 03/2011 222 0 222 0.01Sell 2,018 DUB 03/2011 0 (66) (66) 0.00Buy 6,904 JPM 03/2011 211 0 211 0.01Buy 6,690 RBS 03/2011 226 0 226 0.01Buy 10,603 DUB 06/2011 95 0 95 0.00Buy THB 593,695 BCLY 02/2011 0 (142) (142) (0.01)Buy 277,410 CITI 02/2011 202 (8) 194 0.01Sell 219,450 DUB 02/2011 0 (273) (273) (0.01)Buy 9,043 GSC 02/2011 14 0 14 0.00Buy 1,356,020 HSBC 02/2011 1,278 (238) 1,040 0.04Buy 454,710 JPM 02/2011 107 (37) 70 0.00Buy 349,600 RBS 02/2011 514 0 514 0.02Buy TRY 98,360 BCLY 01/2011 0 (4,749) (4,749) (0.17)Sell 7,039 BCLY 01/2011 401 0 401 0.01Buy 3,980 CITI 01/2011 0 (68) (68) 0.00Buy 13,191 CSFB 01/2011 0 (531) (531) (0.02)Sell 7,784 DUB 01/2011 190 0 190 0.00Buy 31,810 HSBC 01/2011 0 (1,578) (1,578) (0.06)Sell 4,845 HSBC 01/2011 208 0 208 0.01Buy 22,996 JPM 01/2011 0 (637) (637) (0.02)Sell 8,637 JPM 01/2011 207 0 207 0.01Sell 7,788 MSC 01/2011 190 0 190 0.01Buy 12,028 UBS 01/2011 0 (278) (278) (0.01)Buy TWD 69,569 DUB 01/2011 69 0 69 0.01Sell 95,570 DUB 01/2011 0 (265) (265) (0.01)Buy 4,682 HSBC 01/2011 10 0 10 0.00Buy 21,609 JPM 01/2011 39 0 39 0.00Sell 86 JPM 01/2011 0 0 0 0.00Sell 132 MSC 01/2011 0 0 0 0.00Sell 72 UBS 01/2011 0 0 0 0.00Buy 23,384 BOA 04/2011 44 0 44 0.00Buy 16,300 DUB 04/2011 35 0 35 0.00Sell 54,294 DUB 04/2011 0 (61) (61) 0.00Buy 23,996 JPM 04/2011 40 0 40 0.00Buy ZAR 42,568 CITI 01/2011 361 0 361 0.01Sell 34,418 CITI 01/2011 0 (143) (143) 0.00Buy 19,890 DUB 01/2011 120 0 120 0.00Sell 22,888 DUB 01/2011 0 (154) (154) 0.00Buy 279,190 HSBC 01/2011 1,927 0 1,927 0.07Sell 51,640 HSBC 01/2011 0 (217) (217) (0.01)Buy 82,985 JPM 01/2011 401 0 401 0.01Sell 92,499 MSC 01/2011 0 (979) (979) (0.03)Buy 55,816 UBS 01/2011 341 0 341 0.01

$ 28,967 $ (26,987) $ 1,980 0.07



DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS


BNP Paribas Bank0.088% due 12/31/2010 € 2,392 $ 3,177 0.11Brown Brothers Harriman & Co.0.005% due 12/31/2010 HKD 94 12 0.00HSBC Bank0.070% due 12/31/2010 £ 158 242 0.01JPMorgan Chase & Co.3.750% due 12/31/2010 ZAR 1,064 160 0.01


31 December 2010

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Nordea Bank AB0.030% due 12/31/2010 $ 7,893 $ 7,893 0.28Total Overnight Time Deposits $ 11,484 0.41Other Current Assets & Liabilities $ 68,367 2.42Net Assets $ 2,825,387 100.00


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

(b) The Emerging Local Bond Fund is investing in Class Z Income Shares of an affiliated Fund.

(c) Securities with an aggregate market value of $939 and cash of $124 have been segregated with the Custodian to cover margin requirements for the open futures contracts as at 31 December 2010.

(d) Cash of $13,900 has been pledged as collateral for swap, swaption and foreign currency contracts as at 31 December 2010 as governed by International Swaps and Derivative Association, Inc.Master Agreements.

(e) Restricted Securities


DateAcquisition

Date CostFair

Value% of

Net Assets

JPMorgan Chase Bank N.A. 3.136% 02/11/2011 02/17/2010 $ 1,800 $ 1,723 0.06

(f) Fair Value Measurements1


Category3




(Level 2)



Transferable Securities $ 189,698 $ 2,486,515 $ 50,557 $ 2,726,770Deposits with Credit Institutions 0 19,952 0 19,952Financial Derivative Instruments4 (1,874) 688 0 (1,186)Totals $ 187,824 $ 2,507,155 $ 50,557 $ 2,745,536


Category3

StartingBalance

at 31-Dec-2009Net

Purchases5Net

Sales5


RealisedGains/

(Losses)



NetTransfersIn/(Out)

of Level 3

EndingBalance

at 31-Dec-2010




Transferable Securities $ 551 $ 50,217 $ 0 $ 4 $ 0 $ (215) $ 0 $ 50,557 $ (215)


Category3




(Level 2)



Transferable Securities $ 0 $ 225,933 $ 551 $ 226,484Financial Derivative Instruments4 0 2,416 0 2,416Short Sales 0 (9,522) 0 (9,522)Totals $ 0 $ 218,827 $ 551 $ 219,378


Category2

StartingBalance

at 31-Dec-2008Net

Purchases5Net

Sales5


RealisedGains/

(Losses)




of Level 3

EndingBalance

at 31-Dec-2009




Transferable Securities $ 0 $ 500 $ 0 $ (4) $ 0 $ 55 $ 0 $ 551 $ 55





Significant Changes in Portfolio Composition Emerging Local Bond Fund (Unaudited)31 December 2010



PIMCO US Dollar Short-TermFloating NAV Fund (a) 93,734,232 $ 937,361

PAR(000S)

Poland Government Bond5.500% due 04/25/2015 PLN 670,300 223,072Brazil Notas do Tesouro Nacional Series F10.000% due 01/01/2017 BRL 281,257 144,930Thailand Government Bond3.625% due 05/22/2015 THB 3,424,000 111,514Malaysia Government International Bond3.835% due 08/12/2015 MYR 334,067 108,213Mexico Government International Bond8.500% due 12/13/2018 MXN 977,715 83,286Mexico Government International Bond9.500% due 12/18/2014 848,998 76,902Japan Treasury Bills0.107% due 01/31/2011 JPY 6,010,000 74,240South Africa Government International Bond7.250% due 01/15/2020 ZAR 554,300 70,082Japan Treasury Bills0.000% due 10/25/2010 JPY 6,030,000 69,148Indonesia Government International Bond9.500% due 07/15/2031 IDR 517,880,000 62,305Mexico Government International Bond8.000% due 12/17/2015 MXN 716,900 58,066South Africa Government International Bond6.750% due 03/31/2021 ZAR 441,100 53,725Indonesia Government International Bond10.500% due 08/15/2030 IDR 352,187,000 42,068Poland Government Bond5.750% due 04/25/2014 PLN 124,580 41,863Indonesia Government International Bond11.000% due 11/15/2020 IDR 347,974,000 41,591Indonesia Government International Bond10.000% due 02/15/2028 323,999,000 37,882Mexico Government International Bond7.750% due 12/14/2017 MXN 389,000 33,643US Treasury Bills0.200% due 12/09/2010 $ 32,000 31,967Turkey Government International Bond0.000% due 01/25/2012 TRY 55,000 31,498Gazprom OAO Via Morgan Stanley Bank AG9.625% due 03/01/2013 $ 27,440 31,201Brazil Notas do Tesouro Nacional Series F10.000% due 01/01/2021 BRL 60,400 30,717Poland Government Bond0.000% due 07/25/2012 PLN 100,000 30,410Malaysia Government International Bond3.741% due 02/27/2015 MYR 98,800 29,284Poland Government Bond0.000% due 10/25/2012 PLN 108,600 29,205Mexico Government International Bond7.250% due 12/15/2016 MXN 340,000 28,728Colombia Government International Bond9.850% due 06/28/2027 COP 44,413,000 28,131Thailand Government Bond3.875% due 06/13/2019 THB 788,252 24,881Brazil Notas do Tesouro Nacional Series F10.000% due 01/01/2012 BRL 45,182 24,354Mexico Government International Bond7.000% due 06/19/2014 MXN 240,700 20,223Korea Development Bank1.242% due 11/21/2011 $ 20,000 20,000South Africa Government International Bond13.500% due 09/15/2015 ZAR 125,000 19,819KazMunayGas National Co.8.375% due 07/02/2013 $ 17,500 19,369AK Transneft OJSC Via TransCapitalInvest Ltd.6.103% due 06/27/2012 18,426 19,345Turkey Government International Bond10.500% due 01/15/2020 TRY 25,700 18,770


Mexico Government International Bond8.000% due 06/11/2020 MXN 205,700 $ 18,174Shinhan Bank1.584% due 11/16/2012 $ 17,400 17,400Turkey Government International Bond0.000% due 05/11/2011 TRY 26,760 17,334

PROCEEDS(000S)


PIMCO US Dollar Short-TermFloating NAV Fund (a) 74,768,523 $ 747,743

PAR(000S)

Japan Treasury Bills0.000% due 10/25/2010 JPY 6,030,000 74,819US Treasury Bills0.200% due 12/09/2010 $ 32,000 31,976US Treasury Bills0.133% due 02/03/2011 16,600 16,597Hungary Government Bond5.500% due 02/12/2014 HUF 3,032,300 14,254Mexico Government International Bond7.750% due 12/14/2017 MXN 158,850 13,231Pemex Project Funding Master Trust1.554% due 06/15/2010 $ 12,150 12,150Israel Treasury Bills0.000% due 02/06/2010 ILS 44,180 11,452Freddie Mac0.250% due 10/13/2010 $ 11,000 10,994Poland Government Bond6.000% due 11/24/2010 PLN 28,080 9,505Hungary Government Bond6.750% due 02/12/2013 HUF 1,244,300 6,271Woori Bank Bond0.000% due 12/08/2010 € 4,212 5,566Federal Home Loan Bank0.000% due 03/10/2010 $ 5,400 5,400Turkey Treasury Bills7.131% due 07/28/2010 TRY 8,000 5,290US Treasury Bills0.154% due 07/22/2010 $ 4,000 4,000Ford Motor Credit Co. LLC1.854% due 01/15/2010 3,200 3,200Hungary Government Bond6.750% due 04/12/2010 HUF 504,000 2,588Korea Development Bank0.391% due 04/06/2010 $ 2,200 2,200Royal Bank of Scotland Group PLC1.183% due 04/23/2012 2,000 2,031Russian Agricultural Bank OJSC Via RSHB Capital S.A.6.875% due 11/29/2010 2,000 2,000

(a) The Emerging Local Bond Fund is investing in Class Z Income Shares of an affiliated Fund.




Portfolio of Investments and Assets Emerging Markets and Infrastructure Bond Fund31 December 2010

DESCRIPTION SHARES

FAIRVALUE(000S)

% OFNET

ASSETS


MUTUAL FUNDS (a)

PIMCO US DollarShort-Term FloatingNAV Fund 1,520,467 $ 15,208 3.19

PAR

(000S)


Petroleum Export III Ltd.3.319% due

12/07/2012 $ 1,100 1,097 0.23


BANKING & FINANCE

Agile Property Holdings Ltd.8.875% due

04/28/2017 1,000 1,028 0.2210.000% due

11/14/2016 3,000 3,255 0.68AK Transneft OJSC Via TransCapitalInvest Ltd.8.700% due

08/07/2018 4,300 5,316 1.11Banco do Brasil S.A.8.500% due

10/29/2049 9,700 11,215 2.35Banco Mercantil del Norte S.A.4.375% due

07/19/2015 2,100 2,142 0.45Banco Santander Brasil S.A.4.500% due

04/06/2015 2,500 2,563 0.54Banco Votorantim S.A.7.375% due

01/21/2020 5,600 5,929 1.24BanColombia S.A.6.125% due

07/26/2020 3,400 3,498 0.73Bank of China Hong Kong Ltd.5.550% due

02/11/2020 4,100 4,291 0.90Bank of India4.750% due

09/30/2015 2,000 2,038 0.43BBVA Bancomer S.A.7.250% due

04/22/2020 5,300 5,620 1.18BR Properties S.A.9.000% due

10/29/2049 4,900 4,951 1.04CCL Finance Ltd.9.500% due

08/15/2014 3,000 3,457 0.72Columbus International, Inc.11.500% due

11/20/2014 6,200 6,913 1.45Continental Senior Trustees Cayman Ltd.5.500% due

11/18/2020 1,000 975 0.20Corp. Andina de Fomento8.125% due

06/04/2019 1,950 2,303 0.48Dar Al-Arkan International Sukuk Co.10.750% due

02/18/2015 1,000 990 0.21Gazprom Via White Nights Finance BV10.500% due

03/25/2014 2,000 2,393 0.50Hipotecaria Su Casita S.A. de C.V.6.290% due

06/25/2012 MXN 32,780 804 0.176.540% due

03/26/2012 30,565 936 0.19

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Interoceanica IV Finance Ltd.0.000% due 11/30/2018 $ 2,538 $ 2,002 0.420.000% due 11/30/2025 452 243 0.05Interoceanica V Finance Ltd.0.000% due 05/15/2030 700 212 0.04IPIC GMTN Ltd.5.000% due 11/15/2020 1,200 1,182 0.25JPMorgan Chase Bank N.A.3.136% due 02/11/2011 (e) 350 335 0.07Nile Finance Ltd.5.250% due 08/05/2015 1,900 1,962 0.41Odebrecht Drilling Norbe VIII/IX Ltd.6.350% due 06/30/2021 4,600 4,807 1.01Peru Enhanced Pass-Through Finance Ltd.0.000% due 05/31/2018 3,550 2,909 0.61Petroleum Export Ltd.5.265% due 06/15/2011 660 658 0.14QNB Finance Ltd.3.125% due 11/16/2015 4,500 4,410 0.92Russian Agricultural Bank OJSC Via RSHB Capital S.A.7.125% due 01/14/2014 6,800 7,267 1.539.000% due 06/11/2014 900 1,017 0.21RZD Capital Ltd.5.739% due 04/03/2017 3,600 3,755 0.79Sberbank Via SB Capital S.A.5.400% due 03/24/2017 6,600 6,619 1.39Sigma Capital Pte Ltd.9.000% due 04/30/2015 3,300 3,514 0.74TNK-BP Finance S.A.7.500% due 07/18/2016 900 999 0.217.875% due 03/13/2018 10,600 12,071 2.53UOB Cayman Ltd.5.796% due 12/29/2049 2,700 2,798 0.59Vnesheconombank Via VEB Finance Ltd.5.450% due 11/22/2017 4,600 4,629 0.976.800% due 11/22/2025 4,600 4,702 0.99VTB Capital S.A.6.875% due 05/29/2018 7,150 7,588 1.59

144,296 30.25

INDUSTRIALS

Adaro Indonesia PT7.625% due 10/22/2019 4,600 5,049 1.06ALROSA Finance S.A.8.875% due 11/17/2014 11,500 12,866 2.70America Movil SAB de C.V.6.125% due 03/30/2040 3,100 3,303 0.69Braskem Finance Ltd.7.000% due 05/07/2020 1,500 1,556 0.33CFG Investment SAC9.250% due 12/19/2013 5,200 5,473 1.15Corp. GEO SAB de C.V.8.875% due 09/25/2014 1,850 2,086 0.449.250% due 06/30/2020 1,000 1,137 0.24SN Resources S.A.6.500% due 07/21/2020 8,400 8,904 1.87Desarrolladora Homex SAB de C.V.7.500% due 09/28/2015 3,000 3,112 0.659.500% due 12/11/2019 2,750 3,163 0.66Digicel Ltd.8.250% due 09/01/2017 6,400 6,592 1.38Dolphin Energy Ltd.5.888% due 06/15/2019 3,876 4,160 0.87DP World Ltd.6.850% due 07/02/2037 1,350 1,245 0.26DP World Sukuk Ltd.6.250% due 07/02/2017 7,700 7,719 1.62Ecopetrol S.A.7.625% due 07/23/2019 2,850 3,306 0.69Embraer Overseas Ltd.6.375% due 01/15/2020 2,600 2,756 0.58Fibria Overseas Finance Ltd.7.500% due 05/04/2020 2,938 3,100 0.65

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Gerdau Holdings, Inc.7.000% due 01/20/2020 $ 5,500 $ 6,078 1.27Gerdau Trade, Inc.5.750% due 01/30/2021 5,200 5,239 1.10Gold Fields Orogen Holding BVI Ltd.4.875% due 10/07/2020 2,700 2,588 0.54Harvest Operations Corp.6.875% due 10/01/2017 200 207 0.04Hutchison Whampoa International Ltd.7.625% due 04/09/2019 6,100 7,340 1.54Indo Integrated Energy II BV9.750% due 11/05/2016 4,370 4,955 1.04Indosat Palapa Co. BV7.375% due 07/29/2020 3,400 3,774 0.79Kazakhstan Temir Zholy Finance BV6.375% due 10/06/2020 3,100 3,251 0.686.500% due 05/11/2011 5,700 5,800 1.22KazMunayGas National Co.7.000% due 05/05/2020 2,400 2,508 0.528.375% due 07/02/2013 3,100 3,430 0.72Lukoil International Finance BV6.125% due 11/09/2020 4,900 4,912 1.03Marfrig Overseas Ltd.9.500% due 05/04/2020 500 520 0.11Noble Group Ltd.6.750% due 01/29/2020 7,400 8,211 1.72Odebrecht Finance Ltd.7.000% due 04/21/2020 1,100 1,188 0.257.500% due 10/18/2017 4,800 5,207 1.09Parkson Retail Group Ltd.7.875% due 11/14/2011 3,870 4,037 0.85Petrobras International Finance Co.6.875% due 01/20/2040 3,700 3,905 0.828.375% due 12/10/2018 200 244 0.05Petroleum Co. of Trinidad & Tobago Ltd.6.000% due 05/08/2022 1,054 1,062 0.229.750% due 08/14/2019 6,450 7,772 1.63Severstal OAO Via Steel Capital S.A.6.700% due 10/25/2017 6,000 5,933 1.24Sinochem Overseas Capital Co. Ltd.4.500% due 11/12/2020 1,400 1,385 0.29Sino-Forest Corp.9.125% due 08/17/2011 2,000 2,085 0.4410.250% due 07/28/2014 6,300 7,308 1.53STATS ChipPAC Ltd.7.500% due 08/12/2015 3,300 3,572 0.75TGI International Ltd.9.500% due 10/03/2017 5,000 5,638 1.18Trinidad Drilling Ltd.7.875% due 01/15/2019 200 206 0.04Urbi Desarrollos Urbanos SAB de C.V.9.500% due 01/21/2020 3,200 3,672 0.77Vale Overseas Ltd.6.875% due 11/21/2036 4,100 4,520 0.95

192,074 40.26

UTILITIES

AES Andres Dominicana9.500% due 11/12/2020 7,100 7,420 1.55AES El Salvador Trust6.750% due 02/01/2016 5,300 5,154 1.08China Resources Power Holdings Co. Ltd.3.750% due 08/03/2015 800 784 0.16Cia de Saneamento Basico do Estado de Sao Paulo6.250% due 12/16/2020 1,000 1,014 0.21Colbun S.A.6.000% due 01/21/2020 4,300 4,486 0.94Compania Energetica de Sao Paulo9.750% due 01/15/2015 (b) BRL 3,460 2,515 0.53E.CL S.A.5.625% due 01/15/2021 $ 2,300 2,290 0.48EGE Haina Finance Co.9.500% due 04/26/2017 3,400 3,561 0.75


Portfolio of Investments and Assets Emerging Markets and Infrastructure Bond Fund (Cont.)

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Gazprom Via Gaz Capital S.A.6.510% due 03/07/2022 $ 3,200 $ 3,272 0.689.250% due 04/23/2019 6,535 8,063 1.69Israel Electric Corp. Ltd.7.250% due 01/15/2019 8,700 9,589 2.01Listrindo Capital BV9.250% due 01/29/2015 14,100 15,917 3.34Majapahit Holding BV7.750% due 01/20/2020 3,000 3,472 0.738.000% due 08/07/2019 700 822 0.17Nakilat, Inc.6.067% due 12/31/2033 5,500 5,816 1.22Qtel International Finance Ltd.4.750% due 02/16/2021 5,100 4,885 1.037.875% due 06/10/2019 2,600 3,116 0.65

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Star Energy Geothermal Wayang Windu Ltd.11.500% due 02/12/2015 $ 6,890 $ 7,872 1.65Tata Power Co. Ltd.8.500% due 08/19/2017 350 389 0.08Telemar Norte Leste S.A.5.500% due 10/23/2020 2,460 2,380 0.50Vimpel Communications OJSC Via UBS Luxembourg S.A.8.250% due 05/23/2016 4,600 5,043 1.06

97,860 20.51

Total Corporate Bonds & Notes 434,230 91.02


US Treasury Bills1.750% due 07/31/2015 (c) 9,100 9,072 1.90

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS



(Dated 12/31/2010.Collateralised byUS Treasury Bonds4.625% due 02/15/2040valued at $104. Repurchaseproceeds are $100.) $ 100 $ 100 0.02

Total TransferableSecurities & Money MarketInstruments - Official StockExchange/Regulated Market $ 459,707 96.36



FUTURES


Month# of

Contracts

UnrealisedAppreciation/

(Depreciation)% of

Net Assets

90-Day Eurodollar March Futures Long 03/2011 77 $ 216 0.04US Treasury 5-Year Note March Futures Long 03/2011 160 (304) (0.06)

$ (88) (0.02)

WRITTEN OPTIONS

DescriptionExercise

PriceExpiration

Date# of


Value% of

Net Assets

Put - CBOT US Treasury 5-Year Note February Futures $ 115.500 01/21/2011 290 $ (69) $ (27) 0.00Total Financial Derivative Instruments Dealt in on a Regulated Market $ (115) (0.02)



WRITTEN OPTIONS


ExerciseRate

ExpirationDate


FairValue

% ofNet Assets






FairValue

UpfrontPremiums

Paid/(received)

UnrealisedAppreciation/

(Depreciation)% of

Net Assets

Abu Dhabi Government International Bond 1.000% 03/20/2011 CSFB $ 400 $ 1 $ 0 $ 1 0.00Abu Dhabi Government International Bond 1.000% 06/20/2015 CSFB 1,800 11 (4) 15 0.00America Movil SAB de C.V. 1.000% 09/20/2011 DUB 3,000 8 0 8 0.00America Movil SAB de C.V. 1.000% 03/20/2012 DUB 2,700 9 (7) 16 0.00Brazil Government International Bond 1.000% 03/20/2011 GSC 100 0 0 0 0.00Brazil Government International Bond 1.000% 03/20/2011 UBS 400 1 2 (1) 0.00Corporacion Nacional del Cobre de Chile 1.000% 12/20/2011 BCLY 3,200 20 5 15 0.01Mexico Government International Bond 1.000% 03/20/2011 GSC 500 1 1 0 0.00National Bank of Abu Dhabi 1.000% 12/20/2012 HSBC 3,700 11 0 11 0.00Petrobras International Finance Co. 1.000% 09/20/2011 DUB 3,500 6 (15) 21 0.00Petrobras International Finance Co. 1.000% 09/20/2015 HSBC 500 (12) (16) 4 0.00Petrobras International Finance Co. 1.000% 09/20/2012 MSC 400 (1) (3) 2 0.00Petrobras International Finance Co. 1.000% 09/20/2015 MSC 3,600 (83) (124) 41 (0.02)Republic of Korea 1.000% 06/20/2015 CITI 1,800 9 19 (10) 0.00Republic of Korea 1.000% 03/20/2011 GSC 100 0 0 0 0.00Russian Agricultural Bank OJSC Via RSHB Capital S.A. 1.000% 03/20/2011 BCLY 2,200 1 0 1 0.00South Africa Government International Bond 1.000% 06/20/2015 BCLY 3,600 (21) (43) 22 0.00TNK-BP Finance S.A. 1.000% 12/20/2012 HSBC 2,700 (98) (84) (14) (0.02)

$ (137) $ (269) $ 132 (0.03)




31 December 2010

INTEREST RATE SWAPS


NotionalAmount

FairValue

UpfrontPremiums

Paid/(Received)


% ofNet Assets

Pay 3-Month USD-LIBOR 1.950% 12/15/2015 BOA $ 16,000 $ (143) $ 0 $ (143) (0.03)Pay BRL-CDI-Compounded 11.360% 01/02/2012 HSBC BRL 13,200 106 42 64 0.02Pay BRL-CDI-Compounded 11.570% 01/02/2012 JPM 11,800 97 21 76 0.02Pay BRL-CDI-Compounded 11.670% 01/02/2012 BCLY 35,500 575 331 244 0.12Pay BRL-CDI-Compounded 11.670% 01/02/2012 GSC 31,700 514 315 199 0.11Pay BRL-CDI-Compounded 11.970% 01/02/2012 HSBC 60,200 10 (1) 11 0.00Pay BRL-CDI-Compounded 12.550% 01/02/2013 RBS 25,700 235 1 234 0.05

$ 1,394 $ 709 $ 685 0.29


Type Currency



MonthUnrealised


(Depreciation)

Net UnrealisedAppreciation/

(Depreciation)% of

Net Assets

Sell BRL 7,100 CITI 03/2011 $ 0 $ (60) $ (60) (0.01)Sell CNY 2,333 DUB 01/2011 0 (3) (3) 0.00Buy 2,333 RBS 01/2011 4 0 4 0.00Buy 23,752 JPM 06/2011 33 0 33 0.01Buy 158 BCLY 11/2011 0 0 0 0.00Buy 952 CITI 11/2011 1 0 1 0.00Buy 388 JPM 11/2011 0 0 0 0.00Buy 6,231 MSC 11/2011 5 0 5 0.00Buy 2,333 DUB 02/2012 3 0 3 0.00Buy € 8,419 BCLY 01/2011 196 0 196 0.04Sell 8,419 BCLY 01/2011 0 (196) (196) (0.04)Buy 1,200 BOA 01/2011 0 (12) (12) 0.00Buy 371 CITI 01/2011 0 (4) (4) 0.00Sell 4,372 CITI 01/2011 24 (90) (66) (0.02)Sell 200 HSBC 01/2011 0 (6) (6) 0.00Sell 100 MSC 01/2011 0 (3) (3) 0.00Buy 1,498 RBS 01/2011 0 (17) (17) 0.00Sell 8,419 RBS 01/2011 0 (214) (214) (0.05)Buy INR 438,345 BCLY 05/2011 61 0 61 0.01Buy KRW 5,487,440 MSC 05/2011 85 0 85 0.02Sell MXN 45,292 BCLY 02/2011 0 (132) (132) (0.03)Buy 20,330 HSBC 02/2011 0 (1) (1) 0.00Buy 930 JPM 02/2011 0 0 0 0.00Buy 88,847 MSC 02/2011 9 0 9 0.00

$ 421 $ (738) $ (317) (0.07)



DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS


BNP Paribas Bank0.080% due 01/03/2011 € 36 $ 49 0.01Deutsche Bank AG0.150% due 01/04/2011 CAD 61 61 0.01Nordea Bank AB0.030% due 01/03/2011 $ 1,299 1,299 0.27Total Overnight Time Deposits $ 1,409 0.29Other Current Assets & Liabilities $ 15,500 3.26Net Assets $ 477,060 100.00


(a) The Emerging Markets and Infrastructure Bond Fund is investing in Class Z Income Shares of an affiliated Fund.


(c) Securities with an aggregate market value of $349 and cash of $111 have been segregated with the Custodian to cover margin requirements for the open futures contracts as at 31 December 2010.

(d) Cash of $12,220 has been pledged as collateral for swap, swaption and foreign currency contracts as at 31 December 2010 as governed by International Swaps and Derivative Association, Inc.Master Agreements.



Portfolio of Investments and Assets Emerging Markets and Infrastructure Bond Fund (Cont.)


DateAcquisition

Date CostFair

Value% of

Net Assets

JPMorgan Chase Bank N.A. 3.136% 02/11/2011 02/17/2010 $ 350 $ 335 0.07



Category3




(Level 2)



Transferable Securities $ 15,208 $ 436,615 $ 7,884 $ 459,707Financial Derivative Instruments4 (115) 657 (98) 444Totals $ 15,093 $ 437,272 $ 7,786 $ 460,151


Category3

StartingBalance

at 31-Dec-2009Net

Purchases5Net

Sales5


RealisedGains/

(Losses)




Level 3

EndingBalance

at 31-Dec-2010




Transferable Securities $ 722 $ 7,414 $ (400) $ 7 $ 85 $ 56 $ 0 $ 7,884 $ 79Financial Derivative Instruments4 0 (84) 0 0 0 (14) 0 (98) (14)Totals $ 722 $ 7,330 $ (400) $ 7 $ 85 $ 42 $ 0 $ 7,786 $ 65


Category3




(Level 2)



Transferable Securities $ 0 $ 41,162 $ 722 $ 41,884Financial Derivative Instruments4 (79) (5) 0 (84)Totals $ (79) $ 41,157 $ 722 $ 41,800


Category3

StartingBalance at

12-Nov-2009Net

Purchases5Net

Sales5


RealisedGains/

(Losses)




of Level 3

EndingBalance at

31-Dec-2009




Transferable Securities $ 0 $ 746 $ (31) $ 3 $ 8 $ (4) $ 0 $ 722 $ (4)




As at 31 December 2010, the Institutional EUR (Hedged) Class and Class E EUR (Hedged) had the following foreign currency contracts outstanding:

Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Buy € 24,616 BCLY 01/2011 $ 573 $ 0 $ 573 0.12Sell 20,418 BCLY 01/2011 0 (476) (476) (0.10)Buy 253,151 CITI 01/2011 50 (2,872) (2,822) (0.59)Sell 3,128 CITI 01/2011 19 (70) (51) (0.01)Buy 24,668 CSFB 01/2011 0 (1,258) (1,258) (0.26)Buy 16,000 DUB 01/2011 639 0 639 0.13Sell 2,467 MSC 01/2011 35 (40) (5) 0.00Buy 1,114 RBC 01/2011 12 (34) (22) (0.01)Sell 2,000 RBC 01/2011 0 (10) (10) 0.00Buy 19,939 RBS 01/2011 621 0 621 0.13Buy 862 UBS 01/2011 2 0 2 0.00Sell 129 UBS 01/2011 0 (2) (2) 0.00Buy 589 CITI 02/2011 16 0 16 0.00

$ 1,967 $ (4,762) $ (2,795) (0.59)


Significant Changes in Portfolio Composition Emerging Markets and Infrastructure Bond Fund (Unaudited)31 December 2010



PIMCO US Dollar Short-Term Floating 21,624,947 $ 216,247NAV Fund (a)

PAR(000S)

US Treasury Notes3.625% due 08/15/2019 $ 68,600 72,285US Treasury Bills1.750% due 07/31/2015 52,476 53,801CFG Investment SAC9.250% due 12/19/2013 16,100 16,951ALROSA Finance S.A.8.875% due 11/17/2014 13,800 15,051Gazprom Via White Nights Finance BV10.500% due 03/25/2014 12,700 14,980VTB Capital S.A.6.875% due 05/29/2018 13,750 14,499TNK-BP Finance S.A.7.875% due 03/13/2018 12,600 13,777Hutchison Whampoa International 09 Ltd.7.625% due 04/09/2019 11,600 13,646Listrindo Capital BV9.250% due 01/29/2015 12,300 13,383Majapahit Holding BV7.250% due 10/17/2011 12,200 12,931VTB Capital S.A.6.609% due 10/31/2012 12,100 12,635Banco do Brasil S.A.8.500% due 10/29/2049 9,700 11,346Banco do Brasil S.A.4.500% due 01/22/2015 10,600 10,673Intergas Finance BV6.875% due 11/04/2011 10,000 10,502Columbus International, Inc.11.500% due 11/20/2014 9,000 9,913Israel Electric Corp. Ltd.7.250% due 01/15/2019 8,700 9,732TGI International Ltd.9.500% due 10/03/2017 8,700 9,703Kazakhstan Temir Zholy Finance BV6.500% due 05/11/2011 9,400 9,536Sino-Forest Corp.10.250% due 07/28/2014 8,500 9,366CSN Resources S.A.6.500% due 07/21/2020 8,400 9,025Nakilat, Inc.6.067% due 12/31/2033 9,600 8,988Petrobras International Finance Co.7.875% due 03/15/2019 7,700 8,950Petroleum Co. of Trinidad & Tobago Ltd.9.750% due 08/14/2019 7,700 8,944AES Andres Dominicana9.500% due 11/12/2020 8,100 8,100Gazprom Via Gaz Capital S.A.9.250% due 04/23/2019 6,535 8,069Star Energy Geothermal Wayang Windu Ltd.11.500% due 02/12/2015 6,890 7,847Urbi Desarrollos Urbanos SAB de C.V.9.500% due 01/21/2020 7,300 7,832Russian Agricultural Bank OJSC Via RSHB Capital S.A.7.125% due 01/14/2014 7,150 7,678Aes Dominicana Energia Finance S.A.11.000% due 12/13/2015 7,300 7,654DP World Sukuk Ltd.6.250% due 07/02/2017 7,700 7,511US Treasury Bills0.033% due 07/01/2010 7,340 7,339Adaro Indonesia PT7.625% due 10/22/2019 6,800 7,079Noble Group Ltd.6.750% due 01/29/2020 6,800 7,039Axtel SAB de C.V.9.000% due 09/22/2019 6,800 6,966

DESCRIPTIONPAR

(000S)COST(000S)

Fibria Overseas Finance Ltd.9.250% due 10/30/2019 $ 6,100 $ 6,962DP World Ltd.6.850% due 07/02/2037 8,400 6,909Gerdau Trade, Inc.5.750% due 01/30/2021 6,700 6,719US Treasury Notes2.375% due 02/28/2015 6,700 6,686Digicel Group Ltd.8.250% due 09/01/2017 6,400 6,643Majapahit Holding BV7.750% due 01/20/2020 5,800 6,633Sberbank Via SB Capital S.A.5.400% due 03/24/2017 6,600 6,592Corp. GEO SAB de C.V.8.875% due 09/25/2014 5,800 6,165US Treasury Bonds4.375% due 05/15/2040 5,400 6,066Banco Votorantim S.A.7.375% due 01/21/2020 5,600 6,033ICICI Bank Ltd.5.750% due 01/12/2012 5,800 6,019Severstal OAO Via Steel Capital S.A.6.700% due 10/25/2017 6,000 5,990Korea Development Bank8.000% due 01/23/2014 5,200 5,931CSN Islands XI Corp.6.875% due 09/21/2019 5,700 5,880Odebrecht Finance Ltd.7.500% due 10/18/2017 5,400 5,847Gerdau Holdings, Inc.7.000% due 01/20/2020 5,200 5,751

PROCEEDS(000S)



PAR(000S)

US Treasury Notes3.625% due 08/15/2019 $ 68,600 74,223US Treasury Bills1.750% due 07/31/2015 43,376 44,420Gazprom Via White Nights Finance BV10.500% due 03/25/2014 12,300 14,322VTB Capital S.A.6.609% due 10/31/2012 13,450 14,140Majapahit Holding BV7.250% due 10/17/2011 12,200 12,819CFG Investment SAC9.250% due 12/19/2013 11,500 12,043Intergas Finance BV6.875% due 11/04/2011 11,000 11,556Petrobras International Finance Co.7.875% due 03/15/2019 7,700 9,532Aes Dominicana Energia Finance S.A.11.000% due 12/13/2015 7,900 8,360Hutchison Whampoa International 09 Ltd.7.625% due 04/09/2019 6,800 8,063Axtel SAB de C.V.9.000% due 09/22/2019 8,500 7,589Banco do Brasil S.A.4.500% due 01/22/2015 7,200 7,566US Treasury Bills0.033% due 07/01/2010 7,340 7,340DP World Ltd.6.850% due 07/02/2037 7,800 7,060VTB Capital S.A.6.875% due 05/29/2018 6,600 6,927US Treasury Notes2.375% due 02/28/2015 6,700 6,685Centrais Eletricas Brasileiras S.A.6.875% due 07/30/2019 5,700 6,416Korea Development Bank8.000% due 01/23/2014 5,200 6,121


Significant Changes in Portfolio Composition Emerging Markets and Infrastructure Bond Fund (Cont.)

DESCRIPTIONPAR

(000S)PROCEEDS

(000S)


ICICI Bank Ltd.5.750% due 01/12/2012 $ 5,800 $ 6,047US Treasury Bonds4.375% due 05/15/2040 5,400 5,976Gerdau Holdings, Inc.7.000% due 01/20/2020 5,400 5,706Urbi Desarrollos Urbanos SAB de C.V.8.500% due 04/19/2016 5,300 5,536US Treasury Bills0.215% due 08/26/2010 5,499 5,497Corp. GEO SAB de C.V.8.875% due 09/25/2014 5,000 5,328Fibria Overseas Finance Ltd.7.500% due 05/04/2020 5,101 5,325Banco do Brasil S.A.4.500% due 01/22/2015 5,200 5,256TGI International Ltd.9.500% due 10/03/2017 4,800 5,221Nakilat, Inc.6.067% due 12/31/2033 5,200 5,144CSN Islands XI Corp.6.875% due 09/21/2019 4,700 5,014Korea Hydro & Nuclear Power Co. Ltd.6.250% due 06/17/2014 4,250 4,663ICICI Bank Ltd.6.625% due 10/03/2012 4,200 4,407Korea Exchange Bank4.875% due 01/14/2016 4,000 4,317Urbi Desarrollos Urbanos SAB de C.V.9.500% due 01/21/2020 4,100 4,307Columbus International, Inc.11.500% due 11/20/2014 3,800 4,177AK Transneft OJSC Via TransCapitalInvest Ltd.5.670% due 03/05/2014 3,920 4,138US Treasury Bills0.154% due 07/22/2010 4,000 4,000AK Transneft OJSC Via TransCapitalInvest Ltd.7.700% due 08/07/2013 3,500 3,881ALROSA Finance S.A.8.875% due 11/17/2014 3,700 3,794Kazakhstan Temir Zholy Finance BV6.500% due 05/11/2011 3,700 3,772Ras Laffan Liquefied Natural Gas Co. Ltd. III6.750% due 09/30/2019 3,300 3,767TNK-BP Finance S.A.7.875% due 03/13/2018 3,500 3,754

(a) The Emerging Markets and Infrastructure Bond Fund is investing in Class Z IncomeShares of an affiliated Fund.




Portfolio of Investments and Assets Emerging Markets Bond Fund31 December 2010

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS


BAHRAIN

Bahrain Government International Bond5.500% due 03/31/2020 $ 13,400 $ 13,663 0.39

BARBADOS

Columbus International, Inc.11.500% due 11/20/2014 15,810 17,628 0.51

BERMUDA

Noble Group Ltd.6.750% due 01/29/2020 30,600 33,279 0.96Qtel International Finance Ltd.3.375% due 10/14/2016 400 383 0.014.750% due 02/16/2021 6,550 6,246 0.187.875% due 06/10/2019 1,900 2,285 0.07

42,193 1.22

BRAZIL


Banco do Brasil S.A.4.500% due 01/22/2015 24,250 25,432 0.736.000% due 01/22/2015 14,130 15,296 0.44BM&FBovespa S.A.5.500% due 07/16/2020 5,700 5,843 0.17Centrais Eletricas Brasileiras S.A.6.875% due 07/30/2019 17,970 20,441 0.597.750% due 11/30/2015 2,700 3,167 0.09CSN Islands VIII Corp.9.750% due 12/16/2013 1,200 1,397 0.04CSN Islands XI Corp.6.875% due 09/21/2019 30,390 32,943 0.95CSN Resources S.A.6.500% due 07/21/2020 15,700 16,524 0.48Fibria Overseas Finance Ltd.7.500% due 05/04/2020 12,100 12,765 0.37Gerdau Holdings, Inc.7.000% due 01/20/2020 20,650 22,818 0.66GTL Trade Finance, Inc.7.250% due 10/20/2017 3,400 3,757 0.11Petrobras International Finance Co.5.750% due 01/20/2020 2,000 2,080 0.066.875% due 01/20/2040 11,200 11,748 0.347.875% due 03/15/2019 14,465 17,155 0.49Telemar Norte Leste S.A.5.500% due 10/23/2020 1,700 1,658 0.05Vale Overseas Ltd.4.625% due 09/15/2020 9,000 8,978 0.266.250% due 01/23/2017 200 223 0.00

202,225 5.83

SOVEREIGN ISSUES

Banco Nacional de Desenvolvimento Economicoe Social

4.125% due 09/15/2017 € 24,400 31,760 0.916.369% due 06/16/2018 $ 5,770 6,303 0.186.500% due 06/10/2019 12,680 13,869 0.40Brazil Government International Bond5.625% due 01/07/2041 4,500 4,489 0.135.875% due 01/15/2019 350 389 0.018.000% due 01/15/2018 4,200 4,945 0.148.250% due 01/20/2034 8,790 11,757 0.348.750% due 02/04/2025 10,070 13,720 0.398.875% due 10/14/2019 33,155 44,080 1.278.875% due 04/15/2024 26,750 37,049 1.0710.125% due 05/15/2027 1,430 2,191 0.0611.000% due 08/17/2040 400 539 0.02Brazil Notas do Tesouro Nacional Series F10.000% due 01/01/2012 BRL 6,176 3,629 0.1010.000% due 01/01/2017 101,671 55,893 1.61

230,613 6.63

Total Brazil 432,838 12.46

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS


Gerdau Trade, Inc.5.750% due 01/30/2021 $ 3,900 $ 3,902 0.11Gold Fields Orogen Holding BVI Ltd.4.875% due 10/07/2020 12,700 12,073 0.35

15,975 0.46

CAYMAN ISLANDS

Dar Al-Arkan International Sukuk Co.10.750% due 02/18/2015 2,500 2,472 0.07Hutchison Whampoa International Ltd.5.750% due 09/11/2019 3,700 3,950 0.117.625% due 04/09/2019 2,800 3,359 0.10Interoceanica IV Finance Ltd.0.000% due 11/30/2018 9,607 7,562 0.22Interoceanica V Finance Ltd.0.000% due 05/15/2030 13,300 3,981 0.11IPIC GMTN Ltd.3.125% due 11/15/2015 4,000 3,924 0.115.000% due 11/15/2020 8,550 8,384 0.24Odebrecht Drilling Norbe VIII/IX Ltd.6.350% due 06/30/2021 19,100 19,959 0.58Pemex Finance Ltd.10.610% due 08/15/2017 5,750 6,988 0.20Peru Enhanced Pass-Through Finance Ltd.0.000% due 05/31/2018 3,607 2,944 0.09Petrobras International Finance Co.6.125% due 10/06/2016 150 167 0.01Petroleum Export III Ltd.3.802% due 04/08/2013 14,234 14,193 0.41QNB Finance Ltd.3.125% due 11/16/2015 40,900 40,082 1.15Usiminas Commercial Ltd.7.250% due 01/18/2018 1,000 1,107 0.03

119,072 3.43

CHILE

Banco Santander Chile1.539% due 04/20/2012 17,000 16,999 0.493.750% due 09/22/2015 14,300 14,221 0.415.375% due 12/09/2014 750 784 0.02Celulosa Arauco y Constitucion S.A.5.000% due 01/21/2021 800 785 0.027.250% due 07/29/2019 13,350 15,252 0.44Corp. Nacional del Cobre de Chile4.750% due 10/15/2014 260 277 0.016.150% due 10/24/2036 1,400 1,520 0.04E.CL S.A.5.625% due 01/15/2021 8,900 8,861 0.26

58,699 1.69

COLOMBIA

Colombia Government International Bond6.125% due 01/18/2041 1,000 1,030 0.037.375% due 01/27/2017 30,775 36,238 1.047.375% due 03/18/2019 16,360 19,714 0.577.375% due 09/18/2037 16,310 19,409 0.568.125% due 05/21/2024 6,700 8,492 0.248.660% due 10/07/2016 2,305 2,756 0.0811.750% due 02/25/2020 1,729 2,602 0.08Ecopetrol S.A.7.625% due 07/23/2019 42,870 49,622 1.43

139,863 4.03

DOMINICAN REPUBLIC

AES Andres Dominicana9.500% due 11/12/2020 400 418 0.01

EGYPT

Nile Finance Ltd.5.250% due 08/05/2015 2,700 2,788 0.08Petroleum Export III Ltd.3.319% due 12/07/2012 8,600 8,575 0.25

11,363 0.33

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

EL SALVADOR

AES El Salvador Trust6.750% due 02/01/2016 $ 10,750 $ 10,437 0.30El Salvador Government International Bond8.500% due 07/25/2011 3,625 3,770 0.11

14,207 0.41

GABON

Gabon Government International Bond8.200% due 12/12/2017 45,190 53,121 1.53

GUATEMALA

Guatemala Government Bond8.125% due 10/06/2034 500 624 0.02

HONG KONG

China Resources Power Holdings Co. Ltd.3.750% due 08/03/2015 750 735 0.02Sinochem Overseas Capital Co. Ltd.4.500% due 11/12/2020 9,500 9,395 0.27

10,130 0.29

INDIA

Bank of India4.750% due 09/30/2015 5,200 5,333 0.15Indian Oil Corp. Ltd.4.750% due 01/22/2015 7,500 7,733 0.22NTPC Ltd.5.875% due 03/02/2016 800 873 0.03State Bank of India4.500% due 07/27/2015 20,600 21,051 0.61

34,990 1.01

INDONESIA

Adaro Indonesia PT7.625% due 10/22/2019 23,670 25,919 0.75Indonesia Government International Bond5.875% due 03/13/2020 5,240 5,777 0.176.625% due 02/17/2037 9,580 10,574 0.306.875% due 03/09/2017 5,650 6,582 0.196.875% due 01/17/2018 15,620 18,198 0.527.750% due 01/17/2038 4,070 4,996 0.148.500% due 10/12/2035 9,490 12,598 0.3610.375% due 05/04/2014 200 249 0.0111.625% due 03/04/2019 53,370 79,388 2.29Indosat Palapa Co. BV7.375% due 07/29/2020 23,420 25,879 0.74Listrindo Capital BV9.250% due 01/29/2015 900 1,014 0.03Majapahit Holding BV7.250% due 10/17/2011 1,200 1,250 0.047.250% due 06/28/2017 13,900 15,849 0.467.750% due 10/17/2016 1,250 1,455 0.047.750% due 01/20/2020 17,820 20,627 0.597.875% due 06/29/2037 5,910 6,693 0.198.000% due 08/07/2019 5,200 6,110 0.18

243,158 7.00

SHARES

IRELAND

PIMCO US DollarShort-Term FloatingNAV Fund (a) 8,501,627 85,033 2.45

PAR(000S)

RZD Capital Ltd.5.739% due 04/03/2017 $ 27,150 28,303 0.81

113,336 3.26

ISRAEL

Israel Electric Corp. Ltd.7.250% due 01/15/2019 3,700 4,067 0.12


Portfolio of Investments and Assets Emerging Markets Bond Fund (Cont.)

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

JORDAN

Jordan Government International Bond3.875% due 11/12/2015 $ 11,000 $ 10,519 0.30

KAZAKHSTAN

Intergas Finance BV6.375% due 05/14/2017 4,620 4,850 0.146.875% due 11/04/2011 451 470 0.01Kazakhstan Temir Zholy Finance BV6.500% due 05/11/2011 2,850 2,900 0.087.000% due 05/11/2016 1,000 1,105 0.03KazMunayGas National Co.6.375% due 04/09/2021 6,600 6,534 0.197.000% due 05/05/2020 20,950 21,819 0.638.375% due 07/02/2013 24,850 27,521 0.799.125% due 07/02/2018 24,406 28,677 0.8311.750% due 01/23/2015 42,100 52,520 1.51Tengizchevroil Finance Co. SARL6.124% due 11/15/2014 858 901 0.03

147,297 4.24

MALAYSIA

Axiata SPV1 Labuan Ltd.5.375% due 04/28/2020 6,900 7,050 0.20Petronas Capital Ltd.5.250% due 08/12/2019 400 427 0.017.875% due 05/22/2022 7,450 9,558 0.28

17,035 0.49

MEXICO

America Movil SAB de CV5.000% due 10/16/2019 3,980 4,160 0.12Banco Mercantil del Norte S.A.4.375% due 07/19/2015 3,500 3,562 0.10BBVA Bancomer S.A.7.250% due 04/22/2020 8,000 8,502 0.25C10 Capital SPV Ltd.6.722% due 12/29/2049 7,745 5,267 0.15Cemex Finance LLC9.500% due 12/14/2016 10,050 10,414 0.30Corp. GEO SAB de C.V.8.875% due 09/25/2014 18,290 20,622 0.609.250% due 06/30/2020 4,300 4,891 0.14Desarrolladora Homex SAB de C.V.9.500% due 12/11/2019 16,680 19,140 0.55Hipotecaria Su Casita S.A. de C.V.8.500% due 10/04/2016 750 319 0.01Mexico Government International Bond4.250% due 07/14/2017 € 5,000 6,641 0.195.500% due 02/17/2020 7,670 10,926 0.315.625% due 01/15/2017 $ 550 609 0.025.750% due 10/12/2110 6,200 5,487 0.165.950% due 03/19/2019 7,995 8,938 0.266.050% due 01/11/2040 15,130 15,470 0.446.750% due 09/27/2034 12,683 14,332 0.417.500% due 04/08/2033 11,500 14,088 0.418.125% due 12/30/2019 18,840 23,974 0.698.300% due 08/15/2031 1,590 2,115 0.06Pemex Project Funding Master Trust5.500% due 02/24/2025 € 4,800 6,238 0.185.750% due 03/01/2018 $ 24,090 25,777 0.746.625% due 06/15/2035 24,180 24,463 0.716.625% due 06/15/2038 2,870 2,897 0.08Petroleos Mexicanos4.875% due 03/15/2015 12,172 12,872 0.375.500% due 01/21/2021 10,000 10,175 0.296.000% due 03/05/2020 2,410 2,567 0.088.000% due 05/03/2019 28,860 34,848 1.00Telefonos de Mexico SAB de C.V.8.750% due 01/31/2016 MXN 31,800 2,636 0.08Urbi Desarrollos Urbanos SAB de C.V.8.500% due 04/19/2016 $ 900 950 0.039.500% due 01/21/2020 13,500 15,491 0.44

318,371 9.17

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

MOROCCO

Kingdom of Morocco4.500% due 10/05/2020 € 11,500 $ 14,652 0.42

NETHERLANDS

Kazakhstan Temir Zholy Finance BV6.375% due 10/06/2020 $ 8,300 8,674 0.25SABIC Capital I BV3.000% due 11/02/2015 8,700 8,594 0.25Waha Aerospace BV3.925% due 07/28/2020 30,350 30,272 0.87

47,540 1.37

PANAMA

Panama Government International Bond6.700% due 01/26/2036 200 224 0.017.125% due 01/29/2026 15,320 18,499 0.537.250% due 03/15/2015 5,200 6,045 0.188.875% due 09/30/2027 9,100 12,512 0.369.375% due 01/16/2023 5,260 7,272 0.219.375% due 04/01/2029 11,658 16,409 0.47

60,961 1.76

PERU

Continental Senior Trustees Cayman Ltd.5.500% due 11/18/2020 9,700 9,470 0.27Peru Government International Bond6.550% due 03/14/2037 18,605 20,465 0.597.125% due 03/30/2019 300 360 0.017.350% due 07/21/2025 7,800 9,528 0.278.750% due 11/21/2033 8,442 11,629 0.34

51,452 1.48

PHILIPPINES

Philippine Government International Bond6.375% due 01/15/2032 31,490 33,222 0.966.375% due 10/23/2034 46,840 50,119 1.446.500% due 01/20/2020 6,230 7,227 0.217.750% due 01/14/2031 19,250 23,822 0.688.375% due 06/17/2019 11,484 14,814 0.439.500% due 02/02/2030 2,870 4,147 0.12Power Sector Assets & Liabilities Management Corp.7.250% due 05/27/2019 9,150 10,702 0.317.390% due 12/02/2024 5,000 5,846 0.17

149,899 4.32

POLAND

Poland Government International Bond3.875% due 07/16/2015 100 102 0.006.375% due 07/15/2019 3,110 3,495 0.10

3,597 0.10

QATAR

Nakilat, Inc.6.067% due 12/31/2033 3,600 3,800 0.11Qatar Government International Bond4.000% due 01/20/2015 3,740 3,905 0.115.250% due 01/20/2020 13,700 14,590 0.426.400% due 01/20/2040 270 291 0.01Qatari Diar Finance QSC5.000% due 07/21/2020 10,000 10,011 0.29Ras Laffan Liquefied Natural Gas Co. Ltd.8.294% due 03/15/2014 140 154 0.00Ras Laffan Liquefied Natural Gas Co. Ltd. II5.298% due 09/30/2020 11,007 11,667 0.34Ras Laffan Liquefied Natural Gas Co. Ltd. III5.500% due 09/30/2014 1,200 1,285 0.045.838% due 09/30/2027 3,750 3,870 0.116.332% due 09/30/2027 3,650 3,842 0.116.750% due 09/30/2019 250 292 0.01

53,707 1.55

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

RUSSIA


AK Transneft OJSC Via TransCapitalInvest Ltd.5.670% due 03/05/2014 $ 30,345 $ 32,166 0.936.103% due 06/27/2012 250 263 0.017.700% due 08/07/2013 7,050 7,842 0.228.700% due 08/07/2018 21,905 27,031 0.78ALROSA Finance S.A.7.750% due 11/03/2020 11,100 11,700 0.34Gazprom OAO Via Morgan Stanley Bank AG9.625% due 03/01/2013 5,600 6,359 0.18Gazprom Via Gaz Capital S.A.5.092% due 11/29/2015 6,000 6,183 0.186.212% due 11/22/2016 11,370 12,028 0.346.510% due 03/07/2022 9,780 10,000 0.297.288% due 08/16/2037 12,550 13,074 0.387.510% due 07/31/2013 245 270 0.018.125% due 07/31/2014 4,900 5,539 0.168.146% due 04/11/2018 4,900 5,691 0.168.625% due 04/28/2034 23,220 27,857 0.809.250% due 04/23/2019 2,000 2,470 0.07Gazprom Via Gazprom International S.A.7.201% due 02/01/2020 7,493 7,993 0.23Gazprom Via White Nights Finance BV10.500% due 03/08/2014 4,800 5,735 0.1710.500% due 03/25/2014 26,280 31,418 0.90Russian Agricultural Bank OJSC Via RSHB Capital

S.A.6.299% due 05/15/2017 15,120 15,328 0.447.125% due 01/14/2014 7,250 7,749 0.227.175% due 05/16/2013 550 588 0.027.750% due 05/29/2018 3,950 4,291 0.129.000% due 06/11/2014 22,560 25,493 0.74Sberbank Via SB Capital S.A.5.400% due 03/24/2017 6,600 6,619 0.195.499% due 07/07/2015 15,700 16,112 0.476.468% due 07/02/2013 100 107 0.00SCF Capital LTD5.375% due 10/27/2017 5,000 4,944 0.14TNK-BP Finance S.A.6.125% due 03/20/2012 400 420 0.016.625% due 03/20/2017 47,502 50,567 1.467.250% due 02/02/2020 4,700 5,117 0.157.500% due 03/13/2013 1,335 1,448 0.047.500% due 07/18/2016 16,760 18,604 0.547.875% due 03/13/2018 6,500 7,377 0.21Vnesheconombank Via VEB Finance Ltd.5.450% due 11/22/2017 10,000 10,060 0.296.800% due 11/22/2025 8,200 8,383 0.24VTB Capital S.A.6.609% due 10/31/2012 2,250 2,401 0.076.875% due 05/29/2018 4,150 4,400 0.13

403,627 11.63

SOVEREIGN ISSUES

Russia Government International Bond3.625% due 04/29/2015 29,000 29,116 0.847.500% due 03/31/2030 144,943 167,627 4.82

196,743 5.66Total Russia 600,370 17.29

SINGAPORE

STATS ChipPAC Ltd.7.500% due 08/12/2015 27,140 29,447 0.85

29,447 0.85

SOUTH AFRICA

AngloGold Ashanti Holdings PLC5.375% due 04/15/2020 8,300 8,581 0.256.500% due 04/15/2040 200 202 0.00South Africa Government International Bond5.875% due 05/30/2022 11,060 11,917 0.346.875% due 05/27/2019 2,030 2,383 0.07

23,083 0.66


31 December 2010

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

SOUTH KOREA

Export-Import Bank of Korea1.352% due 03/13/2012 $ 14,200 $ 14,196 0.415.125% due 03/16/2015 1,300 1,371 0.045.125% due 06/29/2020 17,780 18,424 0.535.500% due 10/17/2012 150 159 0.005.875% due 01/14/2015 4,240 4,594 0.138.125% due 01/21/2014 200 229 0.01Korea Development Bank1.242% due 11/21/2011 24,000 23,859 0.698.000% due 01/23/2014 700 798 0.02Korea Electric Power Corp.3.000% due 10/05/2015 8,000 7,786 0.22Korea Exchange Bank4.875% due 01/14/2016 3,100 3,212 0.09Korea Housing Finance Corp.4.125% due 12/15/2015 12,500 12,575 0.36Korea Hydro & Nuclear Power Co. Ltd.3.125% due 09/16/2015 8,000 7,808 0.236.250% due 06/17/2014 2,850 3,113 0.09Shinhan Bank1.584% due 11/16/2012 30,700 30,496 0.88

128,620 3.70

TRINIDAD AND TOBAGO

Petroleum Co. of Trinidad & Tobago Ltd.6.000% due 05/08/2022 13,618 13,720 0.409.750% due 08/14/2019 5,510 6,653 0.19

20,373 0.59

TUNISIA

Banque Centrale de Tunisie S.A.7.375% due 04/25/2012 1,100 1,182 0.038.250% due 09/19/2027 500 614 0.02

1,796 0.05

TURKEY

Turkey Government International Bond5.125% due 05/18/2020 € 17,600 24,480 0.705.625% due 03/30/2021 $ 30,900 32,522 0.946.750% due 04/03/2018 2,509 2,879 0.086.750% due 05/30/2040 7,400 8,186 0.246.875% due 03/17/2036 9,370 10,541 0.307.000% due 09/26/2016 450 521 0.027.000% due 03/11/2019 7,980 9,287 0.277.000% due 06/05/2020 3,000 3,503 0.107.250% due 03/15/2015 300 344 0.017.250% due 03/05/2038 4,800 5,634 0.167.375% due 02/05/2025 6,239 7,440 0.217.500% due 11/07/2019 13,390 16,101 0.468.000% due 02/14/2034 2,915 3,688 0.119.000% due 06/30/2011 1,100 1,144 0.039.500% due 01/15/2014 2,870 3,430 0.10

129,700 3.73


Dolphin Energy Ltd.5.888% due 06/15/2019 3,415 3,664 0.11DP World Ltd.6.850% due 07/02/2037 11,910 10,773 0.31

14,437 0.42

UNITED KINGDOM

Barclays Bank PLC10.179% due 06/12/2021 4,480 5,565 0.16

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

HBOS PLC6.750% due 05/21/2018 $ 4,600 $ 4,297 0.12

9,862 0.28

UNITED STATES

American Home Mortgage Investment Trust1.957% due 09/25/2045 254 223 0.01American International Group, Inc.6.250% due 05/01/2036 9,600 9,092 0.26Banc of America Commercial Mortgage, Inc.5.451% due 01/15/2049 1,190 1,238 0.035.658% due 06/10/2049 2,400 2,457 0.075.742% due 02/10/2051 3,800 4,047 0.12Banc of America Mortgage Securities, Inc.5.356% due 02/25/2036 80 64 0.00Bear Stearns Adjustable Rate Mortgage Trust4.944% due 01/25/2035 68 64 0.005.326% due 05/25/2047 1,040 791 0.02CEDC Finance Corp. International, Inc.9.125% due 12/01/2016 6,350 6,779 0.20Citigroup Capital XXI8.300% due 12/21/2057 9,380 9,802 0.28Citigroup Mortgage Loan Trust, Inc.3.059% due 03/25/2034 68 68 0.005.873% due 09/25/2037 1,900 1,384 0.04Commercial Mortgage Pass-Through Certificates5.815% due 12/10/2049 930 999 0.03Countrywide Alternative Loan Trust0.531% due 05/25/2036 390 80 0.001.031% due 11/25/2035 633 375 0.01Countrywide Home Loan Mortgage

Pass-Through Trust5.613% due 05/20/2036 626 456 0.01DaimlerChrysler Auto Trust1.745% due 09/10/2012 675 677 0.02DISH DBS Corp.6.375% due 10/01/2011 2,500 2,581 0.07Fannie Mae5.222% due 12/01/2035 324 346 0.015.500% due 02/01/2038 59 63 0.005.529% due 01/01/2036 253 269 0.015.573% due 03/01/2036 203 216 0.01Federal Home Loan Bank4.125% due 12/13/2019 (b) 5,600 5,840 0.17Ford Credit Auto Owner Trust1.680% due 06/15/2012 1,679 1,684 0.05GSR Mortgage Loan Trust2.964% due 01/25/2036 343 270 0.01Harborview Mortgage Loan Trust0.511% due 09/19/2046 433 82 0.00Itau Unibanco S.A.1.700% due 09/12/2011 10,000 9,976 0.29JPMorgan Chase Commercial Mortgage

Securities Corp.5.440% due 06/12/2047 420 439 0.01LB-UBS Commercial Mortgage Trust5.424% due 02/15/2040 1,700 1,781 0.05Merrill Lynch Countrywide Commercial

Mortgage Trust5.700% due 09/12/2049 700 728 0.02

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Morgan Stanley Capital I5.879% due 06/11/2049 $ 200 $ 213 0.01Morgan Stanley Mortgage Loan Trust0.491% due 02/25/2037 584 271 0.014.569% due 06/25/2036 78 75 0.00Sino-Forest Corp.6.250% due 10/21/2017 7,700 7,806 0.22US Treasury Bills (b)0.163% due 05/26/2011 30 30 0.000.195% due 06/02/2011 28 28 0.00US Treasury Notes0.375% due 10/31/2012 70,000 69,727 2.01Wachovia Bank Commercial Mortgage Trust5.572% due 10/15/2048 900 940 0.03WaMu Mortgage Pass-Through Certificates5.000% due 02/25/2037 1,157 919 0.03Wells Fargo Mortgage-Backed Securities Trust0.761% due 07/25/2037 310 257 0.015.402% due 07/25/2036 379 306 0.01


Morgan Stanley0.170% due 12/31/2010(Dated 12/30/2010.Collateralised by USTreasury Bonds3.500% due05/15/2020 valued at$716. Repurchaseproceeds are $700.) 700 700 0.02

144,143 4.15

URUGUAY

Uruguay Government International Bond5.000% due

09/14/2018 (c) UYU 47,968 2,761 0.087.500% due 03/15/2015 $ 1,500 1,762 0.057.625% due 03/21/2036 25,020 29,836 0.867.875% due

01/15/2033 (d) 8,270 10,007 0.298.000% due 11/18/2022 10,040 12,474 0.36

56,840 1.64

VENEZUELA

Corp. Andina de Fomento8.125% due 06/04/2019 400 481 0.01Petroleos de Venezuela S.A.5.000% due 10/28/2015 9,800 5,586 0.165.500% due 04/12/2037 2,800 1,281 0.04Venezuela Government International Bond5.750% due 02/26/2016 1,600 1,136 0.036.000% due 12/09/2020 4,000 2,320 0.077.000% due 12/01/2018 5,000 3,325 0.097.000% due 03/31/2038 16,500 9,323 0.277.650% due 04/21/2025 20,025 12,365 0.367.750% due 10/13/2019 11,500 7,763 0.228.250% due 10/13/2024 24,000 15,360 0.449.000% due 05/07/2023 21,100 14,453 0.429.250% due 05/07/2028 18,325 12,461 0.3612.750% due

08/23/2022 3,300 2,871 0.0888,725 2.55

Total Transferable Securities &Money Market Instruments -Official Stock Exchange/RegulatedMarket $ 3,447,771 99.28





FUTURES


Month# of

ContractsUnrealised

(Depreciation)% of

Net Assets

90-Day Eurodollar March Futures Long 03/2012 210 $ (26) 0.0090-Day Eurodollar March Futures Long 03/2013 450 (748) (0.02)US Treasury 10-Year Note March Futures Long 03/2011 989 (3,751) (0.11)

$ (4,525) (0.13)Total Financial Derivative Instruments Dealt in on a Regulated Market $ (4,525) (0.13)



WRITTEN OPTIONS


ExerciseRate

ExpirationDate


FairValue

% ofNet Assets


Call - OTC 5-Year Interest Rate Swap GSC 3-Month USD-LIBOR Receive 1.250% 02/14/2011 $ 9,200 $ (18) $ 0 0.00Put - OTC 5-Year Interest Rate Swap GSC 3-Month USD-LIBOR Pay 1.800% 02/14/2011 9,200 (42) (244) (0.01)Call - OTC 5-Year Interest Rate Swap UBS 3-Month USD-LIBOR Receive 1.250% 02/14/2011 23,600 (49) 0 0.00Put - OTC 5-Year Interest Rate Swap UBS 3-Month USD-LIBOR Pay 1.800% 02/14/2011 23,600 (116) (625) (0.02)

$ (225) $ (869) (0.03)




FairValue

UpfrontPremiums

Paid/(Received)


% ofNet Assets

Abu Dhabi Government International Bond 1.000% 12/20/2014 BCLY $ 2,200 $ 19 $ (91) $ 110 0.00Abu Dhabi Government International Bond 1.000% 12/20/2014 CITI 3,700 32 (142) 174 0.00Abu Dhabi Government International Bond 1.000% 12/20/2014 CSFB 1,600 14 (41) 55 0.00Abu Dhabi Government International Bond 1.000% 12/20/2014 GSC 6,100 53 (239) 292 0.00Abu Dhabi Government International Bond 1.000% 12/20/2014 UBS 600 5 (20) 25 0.00America Movil SAB de C.V. 1.000% 09/20/2011 DUB 9,100 28 0 28 0.00America Movil SAB de C.V. 1.000% 03/20/2012 DUB 14,300 49 (37) 86 0.00Banque Centrale de Tunisie 0.700% 09/20/2011 BCLY 5,700 8 0 8 0.00Brazil Government International Bond 1.000% 09/20/2015 CSFB 22,000 (61) (352) 291 0.00Brazil Government International Bond 1.000% 06/20/2015 HSBC 1,000 (2) (5) 3 0.00Brazil Government International Bond 1.000% 03/20/2015 MSC 16,000 (4) (201) 197 0.00Brazil Government International Bond 2.100% 08/20/2016 MSC 4,500 257 0 257 0.01Brazil Government International Bond 1.000% 03/20/2015 UBS 6,000 (2) (64) 62 0.00Colombia Government International Bond 1.850% 07/20/2011 MSC 2,000 32 0 32 0.00Colombia Government International Bond 1.000% 09/20/2015 UBS 2,000 (7) (46) 39 0.00Corporacion Nacional del Cobre de Chile 1.000% 12/20/2011 BCLY 6,300 36 10 26 0.00Indonesia Government International Bond 1.580% 12/20/2011 CITI 500 6 0 6 0.00Indonesia Government International Bond 1.000% 03/20/2015 CITI 3,500 (9) (161) 152 0.00Indonesia Government International Bond 1.000% 03/20/2015 GSC 7,000 (19) (291) 272 0.00Indonesia Government International Bond 1.000% 03/20/2015 MSC 19,550 (53) (764) 711 0.00Indonesia Government International Bond 1.270% 12/20/2011 RBS 7,200 63 0 63 0.00Indonesia Government International Bond 1.525% 12/20/2011 RBS 8,000 91 0 91 0.00Indonesia Government International Bond 2.360% 09/20/2016 RBS 2,300 126 0 126 0.00Indonesia Government International Bond 2.385% 09/20/2016 RBS 1,600 90 0 90 0.00Indonesia Government International Bond 2.480% 09/20/2016 RBS 4,500 275 0 275 0.01JSC VTB Bank 1.000% 12/20/2012 DUB 31,000 (656) (996) 340 (0.02)Kazakhstan Government International Bond 1.000% 09/20/2011 MSC 10,000 29 23 6 0.00Mexico Government International Bond 1.000% 12/20/2014 BCLY 1,100 1 (37) 38 0.00Mexico Government International Bond 1.000% 03/20/2015 BCLY 8,600 0 (121) 121 0.00Mexico Government International Bond 1.000% 09/20/2015 BOA 24,700 (72) (429) 357 0.00Mexico Government International Bond 1.000% 09/20/2015 CSFB 13,000 (38) (251) 213 0.00Mexico Government International Bond 1.000% 03/20/2015 DUB 8,000 0 (91) 91 0.00Mexico Government International Bond 1.000% 03/20/2011 HSBC 2,000 3 7 (4) 0.00Mexico Government International Bond 1.000% 06/20/2015 HSBC 1,000 (1) 1 (2) 0.00Mexico Government International Bond 1.000% 03/20/2011 MLP 1,200 2 4 (2) 0.00Mexico Government International Bond 1.000% 03/20/2011 RBS 2,100 3 4 (1) 0.00Mexico Government International Bond 1.000% 03/20/2015 UBS 3,600 0 (60) 60 0.00Peru Government International Bond 1.000% 06/20/2015 HSBC 1,000 (2) (3) 1 0.00Peru Government International Bond 1.220% 10/20/2011 MSC 3,400 27 0 27 0.00Petrobras International Finance Co. 1.000% 09/20/2011 DUB 25,900 47 (114) 161 0.00Petrobras International Finance Co. 1.000% 09/20/2012 DUB 4,600 (10) (42) 32 0.00Petrobras International Finance Co. 1.000% 09/20/2015 HSBC 10,300 (226) (335) 109 (0.01)Petrobras International Finance Co. 1.000% 09/20/2012 MSC 8,800 (18) (55) 37 0.00Petrobras International Finance Co. 1.000% 09/20/2015 MSC 13,500 (296) (454) 158 (0.01)Petroleos Mexicanos 0.790% 07/20/2011 CITI 1,600 6 0 6 0.00Philippine Government International Bond 1.000% 03/20/2015 BOA 7,600 (8) (218) 210 0.00Philippine Government International Bond 1.940% 12/20/2017 CITI 10,500 345 0 345 0.01Philippine Government International Bond 2.830% 06/20/2018 CITI 4,500 409 0 409 0.01Philippine Government International Bond 2.440% 09/20/2017 MSC 3,400 216 0 216 0.01Philippine Government International Bond 1.000% 03/20/2015 UBS 51,560 (57) (1,555) 1,498 0.00


31 December 2010



FairValue

UpfrontPremiums

Paid/(Received)


% ofNet Assets

Poland Government International Bond 1.000% 12/20/2020 BCLY $ 5,000 $ (247) $ (141) $ (106) (0.01)Poland Government International Bond 1.000% 03/20/2011 CITI 14,500 10 58 (48) 0.00Poland Government International Bond 0.840% 09/20/2011 DUB 6,300 16 0 16 0.00Poland Government International Bond 1.000% 12/20/2015 DUB 5,100 (102) (42) (60) 0.00Poland Government International Bond 1.000% 12/20/2020 DUB 3,860 (191) (113) (78) 0.00Poland Government International Bond 0.850% 09/20/2011 HSBC 3,800 10 0 10 0.00Qatar Government International Bond 1.000% 12/20/2014 UBS 2,400 22 (34) 56 0.00Republic of Korea 1.000% 03/20/2011 BCLY 1,400 2 8 (6) 0.00Republic of Korea 1.000% 03/20/2011 CITI 1,700 2 10 (8) 0.00Republic of Korea 1.000% 03/20/2011 GSC 3,600 5 17 (12) 0.00Republic of Korea 1.000% 12/20/2015 RBS 1,000 2 1 1 0.00Russia Government International Bond 1.000% 03/20/2015 BCLY 10,000 (125) (385) 260 0.00Russian Agricultural Bank OJSC Via RSHB Capital S.A. 1.000% 03/20/2011 BCLY 17,200 8 0 8 0.00Russian Agricultural Bank OJSC Via RSHB Capital S.A. 1.650% 07/20/2011 BCLY 5,000 58 0 58 0.00Russian Agricultural Bank OJSC Via RSHB Capital S.A. 1.870% 10/20/2012 CSFB 3,800 23 0 23 0.00Russian Agricultural Bank OJSC Via RSHB Capital S.A. 2.000% 10/20/2012 MSC 8,400 72 0 72 0.00Russian Railways 1.000% 09/20/2015 MSC 2,000 (109) (121) 12 0.00South Africa Government International Bond 1.000% 12/20/2020 CSFB 11,700 (497) (402) (95) (0.01)South Africa Government International Bond 1.000% 12/20/2015 DUB 7,363 (77) (62) (15) 0.00South Africa Government International Bond 0.850% 09/20/2011 HSBC 9,600 61 0 61 0.00South Africa Government International Bond 1.000% 12/20/2020 MSC 1,740 (74) (57) (17) 0.00Turkey Government International Bond 1.000% 03/20/2015 UBS 20,200 (208) (708) 500 (0.01)

$ (608) $ (9,137) $ 8,529 (0.02)




FairValue

UpfrontPremiums

Paid/(Received)


% ofNet Assets

Dow Jones CDX N.A. EM12 Index 5.000% 12/20/2014 CITI $ 1,900 $ 222 $ 218 $ 4 0.00Dow Jones CDX N.A. EM12 Index 5.000% 12/20/2014 DUB 20,000 2,337 2,095 242 0.07Dow Jones CDX N.A. EM12 Index 5.000% 12/20/2014 GSC 6,600 771 653 118 0.02Dow Jones CDX N.A. EM12 Index 5.000% 12/20/2014 MSC 9,000 1,051 1,053 (2) 0.03Dow Jones CDX N.A. EM14 Index 5.000% 12/20/2015 BCLY 53,000 7,323 7,155 168 0.21Dow Jones CDX N.A. EM14 Index 5.000% 12/20/2015 BOA 25,000 3,454 3,225 229 0.10Dow Jones CDX N.A. EM14 Index 5.000% 12/20/2015 CITI 10,500 1,451 1,423 28 0.04Dow Jones CDX N.A. EM14 Index 5.000% 12/20/2015 CSFB 5,000 691 695 (4) 0.02Dow Jones CDX N.A. EM14 Index 5.000% 12/20/2015 DUB 26,900 3,717 3,762 (45) 0.11Dow Jones CDX N.A. EM14 Index 5.000% 12/20/2015 HSBC 20,000 2,764 2,940 (176) 0.08Dow Jones CDX N.A. EM14 Index 5.000% 12/20/2015 MSC 103,000 14,232 14,218 14 0.41

$ 38,013 $ 37,437 $ 576 1.09



INTEREST RATE SWAPS


NotionalAmount

FairValue

UpfrontPremiums

Paid/(Received)


% ofNet Assets

Pay 6-Month EUR-LIBOR 3.000% 09/16/2014 GSC € 9,900 $ 471 $ 17 $ 454 0.01Pay BRL-CDI-Compounded 11.140% 01/02/2012 BCLY BRL 139,600 1,294 163 1,131 0.04Pay BRL-CDI-Compounded 11.140% 01/02/2012 GSC 79,000 732 170 562 0.02Pay BRL-CDI-Compounded 11.140% 01/02/2012 HSBC 15,000 139 19 120 0.00Pay BRL-CDI-Compounded 11.140% 01/02/2012 MLP 11,600 108 16 92 0.00Pay BRL-CDI-Compounded 11.245% 01/02/2012 RBS 522,600 (1,530) (797) (733) (0.04)Pay BRL-CDI-Compounded 11.290% 01/02/2012 MSC 57,600 (147) (72) (75) 0.00Pay BRL-CDI-Compounded 11.330% 01/02/2012 MLP 400,000 (918) (390) (528) (0.03)Pay BRL-CDI-Compounded 11.570% 01/02/2012 GSC 110,000 900 55 845 0.03Pay BRL-CDI-Compounded 11.650% 01/02/2012 BCLY 100,000 1,552 427 1,125 0.05Pay BRL-CDI-Compounded 11.650% 01/02/2012 JPM 108,000 1,676 506 1,170 0.05Pay BRL-CDI-Compounded 11.650% 01/02/2012 MLP 74,400 1,155 373 782 0.03Pay BRL-CDI-Compounded 11.880% 01/02/2013 BNP 35,200 132 (13) 145 0.00Pay BRL-CDI-Compounded 11.890% 01/02/2013 HSBC 44,400 186 1 185 0.01Pay BRL-CDI-Compounded 11.930% 01/02/2013 GSC 343,000 1,509 57 1,452 0.04Pay IBMEXID 8.720% 08/24/2016 MLP MXN 50,000 390 0 390 0.01Pay IBMEXID 8.950% 02/19/2019 JPM 203,700 1,908 0 1,908 0.06Pay IBMEXID 7.780% 04/09/2019 RBS 41,700 130 (81) 211 0.00

$ 9,687 $ 451 $ 9,236 0.28




Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Buy BRL 15,686 HSBC 02/2011 $ 463 $ 0 $ 463 0.01Sell 53,116 MSC 02/2011 0 (544) (544) (0.02)Sell 11,551 RBC 02/2011 0 (146) (146) 0.00Sell 68,338 CITI 03/2011 0 (502) (502) (0.01)Sell CHF 150 RBC 02/2011 0 (9) (9) 0.00Buy CLP 860,150 JPM 01/2011 88 0 88 0.00Sell 860,150 JPM 01/2011 0 (69) (69) 0.00Buy 860,150 JPM 06/2011 66 0 66 0.00Buy CNY 38,183 BOA 01/2011 32 0 32 0.00Sell 28,000 DUB 01/2011 0 (33) (33) 0.00Sell 78,374 JPM 01/2011 0 (121) (121) 0.00Buy 68,191 MSC 01/2011 56 0 56 0.00Buy 132,565 BCLY 04/2011 232 0 232 0.01Buy 71,425 CITI 04/2011 215 0 215 0.01Buy 66,189 HSBC 04/2011 77 0 77 0.00Buy 77,288 JPM 04/2011 89 0 89 0.00Buy 38,508 RBS 04/2011 101 0 101 0.00Buy 8,867 BCLY 11/2011 4 (2) 2 0.00Buy 7,906 JPM 11/2011 0 (9) (9) 0.00Buy 6,020 RBS 11/2011 0 0 0 0.00Buy 28,000 DUB 02/2012 28 0 28 0.00Buy 78,374 JPM 02/2012 141 0 141 0.00Buy COP 506,245 DUB 04/2011 0 (16) (16) 0.00Buy EGP 9,621 CSFB 03/2011 0 (10) (10) 0.00Buy 55,427 DUB 03/2011 0 (63) (63) 0.00Buy 56,753 HSBC 03/2011 0 (112) (112) (0.01)Buy 48,938 JPM 03/2011 0 (54) (54) 0.00Buy € 206 BCLY 01/2011 2 0 2 0.00Sell 1,215 BCLY 01/2011 0 (8) (8) 0.00Sell 500 BNP 01/2011 0 (8) (8) 0.00Buy 1,423 BOA 01/2011 0 (13) (13) 0.00Buy 12,037 CITI 01/2011 0 (623) (623) (0.02)Sell 94,667 CITI 01/2011 5,163 (164) 4,999 0.15Buy 2,658 CSFB 01/2011 0 (94) (94) 0.00Buy 9,224 DUB 01/2011 0 (571) (571) (0.02)Buy 1,000 HSBC 01/2011 15 0 15 0.00Sell 11,556 JPM 01/2011 122 (7) 115 0.00Buy 1,542 MSC 01/2011 0 (79) (79) 0.00Buy 790 RBC 01/2011 0 (18) (18) 0.00Sell 500 RBC 01/2011 0 (10) (10) 0.00Buy 7,407 RBS 01/2011 4 (261) (257) (0.01)Sell 23,101 RBS 01/2011 505 0 505 0.02Buy 1,000 UBS 01/2011 6 0 6 0.00Sell £ 1,460 BCLY 03/2011 31 0 31 0.00Sell 1,459 DUB 03/2011 32 0 32 0.00Sell 973 RBS 03/2011 24 0 24 0.00Buy HKD 232 BCLY 01/2011 0 0 0 0.00Sell 232 HSBC 01/2011 0 0 0 0.00Buy 232 HSBC 04/2011 0 0 0 0.00Sell HUF 1,261,211 JPM 01/2011 406 0 406 0.01Sell IDR 646,534 BCLY 07/2011 0 (1) (1) 0.00Sell 662,700 CITI 07/2011 0 (1) (1) 0.00Buy 9,290,000 GSC 07/2011 17 0 17 0.00Sell 842,400 HSBC 07/2011 0 (1) (1) 0.00Buy INR 168,199 BCLY 03/2011 164 0 164 0.00Buy 486,300 CITI 03/2011 0 (7) (7) 0.00Buy 554,648 DUB 03/2011 0 (41) (41) 0.00Buy 931,121 RBS 03/2011 0 (90) (90) 0.00Buy JPY 3,807,000 BNP 01/2011 1,152 0 1,152 0.04Sell 1,726,459 GSC 01/2011 0 (611) (611) (0.02)Sell 1,027,654 RBC 01/2011 0 (368) (368) (0.01)Sell 2,055,308 RBS 01/2011 0 (693) (693) (0.02)Buy KRW 2,844,700 BCLY 05/2011 0 (28) (28) 0.00Buy 27,743,000 CITI 05/2011 0 (247) (247) (0.01)Buy 2,292,376 GSC 05/2011 0 (2) (2) 0.00Buy 5,368,000 HSBC 05/2011 0 (55) (55) 0.00Buy 12,381,200 JPM 05/2011 0 (16) (16) 0.00Buy 10,764,000 RBS 05/2011 0 (37) (37) 0.00Buy MXN 323,092 BCLY 02/2011 1,580 0 1,580 0.05Sell 31,966 BCLY 02/2011 0 (163) (163) (0.01)Sell 137,740 CITI 02/2011 0 (697) (697) (0.02)Buy 1,696 DUB 02/2011 9 0 9 0.00Buy 2,330 JPM 02/2011 0 (1) (1) 0.00Sell 17,824 MSC 02/2011 0 (85) (85) 0.00Buy MYR 31,546 BCLY 02/2011 79 0 79 0.00Buy 5,440 CITI 02/2011 12 0 12 0.00Buy 9,570 DUB 02/2011 24 0 24 0.00Buy 41,834 JPM 02/2011 83 0 83 0.01Buy 6,219 MSC 02/2011 20 0 20 0.00Buy 5,070 RBS 02/2011 9 0 9 0.00


31 December 2010

Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Buy PHP 51,000 BOA 06/2011 $ 0 $ (12) $ (12) 0.00Buy 803,440 CITI 06/2011 77 (52) 25 0.00Buy 183,372 DUB 06/2011 29 0 29 0.00Buy 137,762 HSBC 06/2011 15 0 15 0.00Buy 188,376 JPM 06/2011 28 0 28 0.00Buy 119,821 RBS 06/2011 0 (37) (37) 0.00Buy PLN 19,782 BCLY 02/2011 0 (253) (253) (0.01)Buy SGD 6,039 CITI 01/2011 82 0 82 0.00Sell 146 DUB 01/2011 0 (1) (1) 0.00Buy 64 HSBC 01/2011 1 0 1 0.00Buy 516 MSC 01/2011 3 0 3 0.00Sell 3,200 MSC 01/2011 0 (49) (49) 0.00Sell 3,355 RBS 01/2011 0 (55) (55) 0.00Buy 4,162 BCLY 03/2011 61 0 61 0.00Sell 9,565 BCLY 03/2011 0 (311) (311) (0.01)Buy 10,340 BOA 03/2011 337 0 337 0.01Buy 2,552 DUB 03/2011 71 0 71 0.00Buy 17,384 JPM 03/2011 295 0 295 0.01Sell 2,910 MSC 03/2011 0 (54) (54) 0.00Buy 2,570 RBS 03/2011 87 0 87 0.01Buy 749 DUB 06/2011 7 0 7 0.00Buy 3,355 RBS 06/2011 55 0 55 0.00Buy TRY 8,957 CITI 01/2011 0 (395) (395) (0.01)Sell 8,591 HSBC 01/2011 184 0 184 0.00Buy 2,292 JPM 01/2011 0 (28) (28) 0.00Sell ZAR 322 HSBC 01/2011 0 (2) (2) 0.00

$ 12,383 $ (7,939) $ 4,444 0.13



DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS


BNP Paribas Bank0.088% due 12/31/2010 € 182 $ 241 0.01Brown Brothers Harriman & Co.3.950% due 12/31/2010 AUD 1 1 0.00HSBC Bank0.010% due 12/31/2010 SGD 542 421 0.010.070% due 12/31/2010 £ 74 114 0.00Nordea Bank AB0.030% due 12/31/2010 $ 11,154 11,154 0.32Total Overnight Time Deposits $ 11,931 0.34Other Current Assets & Liabilities $ (32,989) (0.94)Net Assets $ 3,472,855 100.00


(a) The Emerging Markets Bond Fund is investing in Class Z Income Shares of an affiliated Fund.

(b) Securities with an aggregate market value of $2,185 and cash of $44 have been segregated with the Custodian to cover margin requirements for the open futures contracts as at31 December 2010.



(e) Cash of $130 has been pledged as collateral for swap, swaption and foreign currency contracts as at 31 December 2010 as governed by International Swaps and Derivative Association, Inc. MasterAgreements.



Category3



Significant OtherObservable

Inputs (Level 2)



Transferable Securities $ 85,033 $ 3,286,125 $ 66,637 $ 3,437,795Deposits with Credit Institutions 0 9,976 0 9,976Financial Derivative Instruments4 (4,525) 50,776 (109) 46,142Totals $ 80,508 $ 3,346,877 $ 66,528 $ 3,493,913




Category3

StartingBalance

at 31-Dec-2009Net



RealisedGains/

(Losses)




Level 3

EndingBalance at

31-Dec-2010




Transferable Securities $ 27,523 $ 60,798 $ (5,817) $ 625 $ 53 $ (147) $ (16,398) $ 66,637 $ 127Financial Derivative Instruments4 0 (121) 0 0 0 12 0 (109) 12Totals $ 27,523 $ 60,677 $ (5,817) $ 625 $ 53 $ (135) $ (16,398) $ 66,528 $ 139


Category3




(Level 2)



Transferable Securities $ 0 $ 3,069,288 $ 27,523 $ 3,096,811Financial Derivative Instruments4 15,819 12,743 0 28,562Short Sales 0 (33,487) 0 (33,487)Totals $ 15,819 $ 3,048,544 $ 27,523 $ 3,091,886


Category3

StartingBalance

at 31-Dec-2008Net

Purchases5Net

Sales5


RealisedGains/

(Losses)




Level 3

EndingBalance at

31-Dec-2009




Transferable Securities $ 8,147 $ 27,888 $ (1,960) $ 119 $ 275 $ 886 $ (7,832) $ 27,523 $ (315)




As at 31 December 2010, the Class E SGD (Hedged) had the following foreign currency contracts outstanding:

Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Buy SGD 13,044 BCLY 01/2011 $ 92 $ 0 $ 92 0.00Sell 45 BCLY 01/2011 0 (1) (1) 0.00Sell 39 CITI 01/2011 0 (1) (1) 0.00Buy 3,726 DUB 01/2011 23 0 23 0.00Sell 2,127 DUB 01/2011 0 (29) (29) 0.00Buy 29 HSBC 01/2011 0 0 0 0.00Sell 12,001 JPM 01/2011 0 (178) (178) (0.01)Sell 826 MSC 01/2011 0 (6) (6) 0.00Buy 2,268 RBS 01/2011 16 0 16 0.00Sell 2,859 RBS 01/2011 0 (35) (35) 0.00Buy 385 UBS 01/2011 2 0 2 0.00Sell 1,666 UBS 01/2011 0 (28) (28) 0.00Buy 146 DUB 02/2011 1 0 1 0.00Sell 64 HSBC 02/2011 0 (1) (1) 0.00Buy 401 UBS 02/2011 7 0 7 0.00Sell 91 UBS 02/2011 0 (1) (1) 0.00Buy 45 BCLY 03/2011 1 0 1 0.00Buy 12,001 JPM 03/2011 178 0 178 0.01

$ 320 $ (280) $ 40 0.00


31 December 2010

As at 31 December 2010, the Institutional CHF (Hedged) Class had the following foreign currency contracts outstanding:

Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Sell CHF 1,866 BCLY 01/2011 $ 0 $ (104) $ (104) 0.00Buy 10,000 CITI 01/2011 308 0 308 0.01Sell 4,178 CITI 01/2011 0 (248) (248) (0.01)Buy 847 RBC 01/2011 22 0 22 0.00Buy 197,309 UBS 01/2011 13,240 0 13,240 0.38Sell 197 UBS 01/2011 0 (7) (7) 0.00Sell 2,076 CITI 02/2011 0 (31) (31) 0.00

$ 13,570 $ (390) $ 13,180 0.38

As at 31 December 2010, the Institutional EUR (Hedged) Class, Investor EUR (Hedged) Class and Class E EUR (Hedged) had the following foreign currency contractsoutstanding:

Type Currency



MonthUnrealised


(Depreciation)

NetUnrealised


% ofNet Assets

Buy € 226,910 BCLY 01/2011 $ 4,649 $ 0 $ 4,649 0.13Sell 23,090 BCLY 01/2011 12 (292) (280) (0.01)Buy 5,497 BNP 01/2011 91 0 91 0.00Buy 60,648 CITI 01/2011 956 0 956 0.03Sell 8,132 CITI 01/2011 0 (91) (91) 0.00Buy 2,889 CSFB 01/2011 18 0 18 0.00Sell 3,076 CSFB 01/2011 0 (19) (19) 0.00Buy 3,352 DUB 01/2011 89 0 89 0.00Buy 110,127 HSBC 01/2011 3,318 0 3,318 0.10Buy 288,685 JPM 01/2011 7,877 (47) 7,830 0.23Sell 4,874 JPM 01/2011 48 0 48 0.00Sell 18,000 RBC 01/2011 150 0 150 0.01Buy 692,739 RBS 01/2011 13,915 0 13,915 0.40Sell 9,853 RBS 01/2011 2 0 2 0.00Buy 146 UBS 01/2011 3 0 3 0.00Sell 3,694 UBS 01/2011 39 0 39 0.00Buy 9,851 CITI 02/2011 142 0 142 0.00

$ 31,309 $ (449) $ 30,860 0.89


Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Sell £ 498 BCLY 01/2011 $ 16 $ 0 $ 16 0.00Sell 1,047 CITI 01/2011 20 0 20 0.00Buy 311 RBC 01/2011 0 (2) (2) 0.00Buy 47,773 RBS 01/2011 0 (768) (768) (0.02)Buy 10,021 UBS 01/2011 0 (177) (177) (0.01)

$ 36 $ (947) $ (911) (0.03)


Significant Changes in Portfolio Composition Emerging Markets Bond Fund (Unaudited)31 December 2010



PIMCO US Dollar Short-Term Floating 132,692,254 $ 1,326,631NAV Fund (a)

PAR(000S)

Federal Home Loan Bank0.140% due 07/02/2010 $ 93,700 93,690US Treasury Notes0.375% due 10/31/2012 70,000 69,965Desarrolladora Homex SAB de C.V.9.500% due 12/11/2019 62,900 68,791Federal Home Loan Bank0.000% due 03/12/2010 58,900 58,896KazMunayGas National Co.11.750% due 01/23/2015 42,100 53,035Cemex Finance LLC9.500% due 12/14/2016 40,000 40,845QNB Finance Ltd.3.125% due 11/16/2015 40,900 40,498Fibria Overseas Finance Ltd.9.250% due 10/30/2019 34,200 39,010Mexico Government International Bond8.125% due 12/30/2019 30,450 37,437Turkey Government International Bond6.750% due 05/30/2040 36,900 36,217Russia Government International Bond3.625% due 04/29/2015 35,000 35,179Banco do Brasil S.A.4.500% due 01/22/2015 33,400 33,628Turkey Government International Bond5.625% due 03/30/2021 30,900 32,264Noble Group Ltd.6.750% due 01/29/2020 30,600 31,742Banco Nacional de Desenvolvimento Economico e Social4.125% due 09/15/2017 € 24,400 30,863Shinhan Bank1.584% due 11/16/2012 $ 30,700 30,700Waha Aerospace BV3.925% due 07/28/2020 30,250 30,375Export-Import Bank of Korea5.125% due 06/29/2020 29,580 29,564KazMunayGas National Co.9.125% due 07/02/2018 24,406 29,087Russian Railways5.739% due 04/03/2017 27,750 28,320AK Transneft OJSC Via TransCapitalInvest Ltd.8.700% due 08/07/2018 23,330 27,800KazMunayGas National Co.8.375% due 07/02/2013 24,850 27,484Gerdau Holdings, Inc.7.000% due 01/20/2020 25,150 26,476Indosat Palapa Co. BV7.375% due 07/29/2020 23,420 26,432Turkey Government International Bond5.125% due 05/18/2020 € 17,600 26,103STATS ChipPAC Ltd.7.500% due 08/12/2015 $ 23,540 25,452Centrais Eletricas Brasileiras S.A.6.875% due 07/30/2019 22,800 25,078Gazprom Via Gaz Capital S.A.6.510% due 03/07/2022 23,556 24,135Korea Development Bank1.242% due 11/21/2011 24,000 24,000Ecopetrol S.A.7.625% due 07/23/2019 18,360 21,473Romania Government International Bond5.000% due 03/18/2015 € 15,200 20,629Adaro Indonesia PT7.625% due 10/22/2019 $ 18,300 20,612Brazil Notas do Tesouro Nacional Series F10.000% due 01/01/2017 BRL 41,600 20,217Bahrain Government International Bond5.500% due 03/31/2020 $ 20,500 20,055KazMunayGas National Co.7.000% due 05/05/2020 19,700 19,354Majapahit Holding BV7.750% due 01/20/2020 17,820 19,353


(000S)


PIMCO US Dollar Short-Term Floating 124,190,628 $1,241,790NAV Fund (a)

PAR(000S)

Russia Government International Bond7.500% due 03/31/2030 $ 143,050 160,607Federal Home Loan Bank0.140% due 07/02/2010 93,700 93,698Petroleos Mexicanos8.000% due 05/03/2019 60,270 69,801Federal Home Loan Bank0.120% due 01/04/2010 65,000 65,000Mexico Government International Bond5.950% due 03/19/2019 57,060 61,711Desarrolladora Homex SAB de C.V.9.500% due 12/11/2019 55,330 61,180Federal Home Loan Bank0.000% due 03/12/2010 58,900 58,900Brazil Government International Bond6.000% due 01/17/2017 44,488 49,455Gazprom OAO Via Morgan Stanley Bank AG9.625% due 03/01/2013 43,900 48,085Cemex Finance LLC9.500% due 12/14/2016 45,650 46,972Brazil Government International Bond8.000% due 01/15/2018 37,200 43,088Pemex Project Funding Master Trust1.554% due 06/15/2010 42,350 42,393Fibria Overseas Finance Ltd.7.500% due 05/04/2020 33,251 34,473Fibria Overseas Finance Ltd.9.250% due 10/30/2019 28,100 32,034Tengizchevroil Finance Co. SARL6.124% due 11/15/2014 30,020 30,754Turkey Government International Bond6.750% due 05/30/2040 29,500 30,663Celulosa Arauco y Constitucion S.A.7.250% due 07/29/2019 26,650 30,364Banque Centrale de Tunisie S.A.7.375% due 04/25/2012 27,504 30,150Brazil Government International Bond8.875% due 10/14/2019 22,270 29,170Gazprom Via Gaz Capital S.A.6.510% due 03/07/2022 23,776 24,445Poland Government International Bond6.375% due 07/15/2019 20,340 23,635Centrais Eletricas Brasileiras S.A.6.875% due 07/30/2019 21,300 23,424South Africa Government International Bond6.875% due 05/27/2019 18,470 22,463Philippine Government International Bond8.000% due 01/15/2016 18,500 22,354Brazil Notas do Tesouro Nacional Series F10.000% due 01/01/2012 BRL 40,063 22,303Noble Group Ltd.6.750% due 01/29/2020 $ 20,300 21,006Panama Government International Bond6.700% due 01/26/2036 19,062 20,736Romania Government International Bond5.000% due 03/18/2015 € 15,200 20,310Philippine Government International Bond8.375% due 06/17/2019 $ 15,840 19,456Ecopetrol S.A.7.625% due 07/23/2019 17,030 19,152Vale Overseas Ltd.8.250% due 01/17/2034 15,965 18,258

(a) The Emerging Markets Bond Fund is investing in Class Z Income Shares of an affiliatedFund.

Significant portfolio changes are defined as the value of purchases exceeding 1% of totalcost of purchases, and sales or maturities exceeding 1% of total proceeds. At a minimumthe twenty largest purchases and twenty largest sales or maturities must be shown.Should there have been less than that amount of transactions, allsuch transactions havebeen disclosed.



Portfolio of Investments and Assets PIMCO EqS Pathfinder Fund™31 December 2010

DESCRIPTION SHARES

FAIRVALUE(000S)

% OFNET

ASSETS

TRANSFERABLE SECURITIES & MONEY MARKETINSTRUMENTS - OFFICIAL STOCK EXCHANGE/REGULATED MARKETS

COMMON STOCKS

BERMUDA

Hiscox Ltd. 324,541 $ 1,941 0.85

Lancashire Holdings Ltd. 401,881 3,494 1.53

Seadrill Ltd. 73,167 2,506 1.107,941 3.48

DENMARK

Carlsberg 44,037 4,439 1.95

Jyske Bank 21,114 989 0.435,428 2.38

FAEROE ISLAND

Bakkafrost P/F 156,715 1,336 0.59

BankNordik P/F 54,139 1,404 0.612,740 1.20

FRANCE

BNP Paribas 17,236 1,102 0.48

Bourbon S.A. 28,594 1,333 0.59

Danone 101,531 6,409 2.81

Eutelsat Communications 80,038 2,943 1.29

JCDecaux S.A. 49,580 1,533 0.67

L’Oreal S.A. 10,546 1,177 0.52

Pernod-Ricard S.A. 44,837 4,237 1.86

Teleperformance 55,384 1,877 0.82

Total S.A. 37,243 1,991 0.8722,602 9.91

GERMANY

Deutsche Boerse AG 53,355 3,701 1.62

E.ON AG 39,977 1,226 0.54

Kloeckner & Co. SE 39,351 1,107 0.48

Rhoen Klinikum AG 64,036 1,415 0.627,449 3.26

GUERNSEY

Resolution Ltd. 773,879 2,843 1.25

HONG KONG

AIA Group Ltd. 1,563,800 4,396 1.93

First Pacific Co. Ltd. 1,278,691 1,151 0.50

Jardine MathesonHoldings Ltd. 12,331 542 0.24

Jardine StrategicHoldings Ltd. 15,371 425 0.19

6,514 2.86

ITALY

Intesa Sanpaolo SpA 358,948 859 0.38

JAPAN

Nintendo Co. Ltd. 10,477 3,062 1.34

NETHERLANDS

CSM 114,483 4,026 1.76

Dockwise Ltd. 11,877 321 0.14

Gemalto NV 30,408 1,300 0.57

ING Groep NV 170,620 1,671 0.73

Koninklijke KPN NV 290,567 4,261 1.87

Royal Dutch Shell PLC 49,535 1,661 0.7313,240 5.80

DESCRIPTION SHARES

FAIRVALUE(000S)

% OFNET

ASSETS

NORWAY

Marine Harvest ASA 2,203,454 $ 2,349 1.03

Orkla ASA 152,342 1,492 0.653,841 1.68

SINGAPORE

Keppel Corp. Ltd. 228,248 2,018 0.88

SWEDEN

Loomis AB 90,466 1,363 0.60

SWITZERLAND

Alcon, Inc. 13,163 2,151 0.94

Nestle S.A. 50,783 2,984 1.31

Schindler Holding AG 11,667 1,401 0.61

Sika AG 564 1,242 0.55

UBS AG 126,728 2,087 0.92

Zurich FinancialServices AG 7,327 1,903 0.83

11,768 5.16

UNITED KINGDOM

CONSUMER DISCRETIONARY

British Sky BroadcastingGroup PLC 40,377 465 0.20

CONSUMER STAPLES

British AmericanTobacco PLC 157,697 6,092 2.67

Imperial TobaccoGroup PLC 224,577 6,932 3.04

Reckitt BenckiserGroup PLC 31,947 1,765 0.77

14,789 6.48

ENERGY

BP PLC 509,976 3,775 1.65

FINANCIALS

Barclays PLC 574,435 2,384 1.05

HSBC Holdings PLC 99,085 1,017 0.45

Lloyds Banking Group PLC 981,087 1,017 0.45

Man Group PLC 340,182 1,584 0.696,002 2.64

Total United Kingdom 25,031 10.97

UNITED STATES

CONSUMER STAPLES

Altria Group, Inc. 83,762 2,062 0.90

CVS Caremark Corp. 75,822 2,636 1.16

Lorillard, Inc. 45,516 3,735 1.64

Philip MorrisInternational, Inc. 37,551 2,198 0.96

Reynolds American, Inc. 60,238 1,965 0.86

Wal-Mart Stores, Inc. 18,054 974 0.4313,570 5.95

ENERGY

Pride International, Inc. 70,725 2,334 1.02

FINANCIALS

Alleghany Corp. 7,419 2,273 1.00

Berkshire Hathaway, Inc. 40,934 3,279 1.44

Capitol FederalFinancial, Inc. 34,885 415 0.18

DESCRIPTION SHARES

FAIRVALUE(000S)

% OFNET

ASSETS

CBOE Holdings, Inc. 94,581 $ 2,162 0.95

NorthwestBancshares, Inc. 144,100 1,695 0.74

People’s UnitedFinancial, Inc. 113,507 1,590 0.70

WashingtonFederal, Inc. 48,923 828 0.36

White MountainsInsurance Group Ltd. 8,813 2,958 1.30

15,200 6.67

HEALTHCARE

Genzyme Corp. 18,635 1,327 0.58

Pfizer, Inc. 55,882 978 0.432,305 1.01

INDUSTRIALS

3M Co. 8,596 742 0.32

INFORMATION TECHNOLOGY

CommScope, Inc. 23,271 727 0.32

Dell, Inc. 113,381 1,536 0.67

Microsoft Corp. 129,262 3,609 1.585,872 2.57


Total Common Stocks 156,722 68.69

EXCHANGE-TRADED FUNDS

Source PhysicalMarkets Gold P-ETC 58,327 8,202 3.60

MUTUAL FUNDS(a)


PAR(000S)



(Dated 12/31/2010.Collateralised by USTreasury Notes 6.750%due 08/15/2026 valuedat $22,819. Repurchaseproceeds are $22,300.) $ 22,300 22,300 9.77


US Treasury Bills0.190% due

06/16/2011 (b) 12,861 12,852 5.63



Portfolio of Investments and Assets PIMCO EqS Pathfinder Fund™ (Cont.)



FUTURES


Month# of

ContractsUnrealised

Appreciation

% ofNet

Assets

Euro STOXX 50 March Futures Short 03/2011 7 $ 5 0.00

PURCHASED OPTIONS

DescriptionExercise

PriceExpiration

Date# of

Contracts CostFair

Value% of

Net Assets

Put - E.ON AG € 22.000 01/21/2011 195 $ 16 $ 3 0.00Put - Novartis AG $ 60.000 04/16/2011 55 29 27 0.01

$ 45 $ 30 0.01

WRITTEN OPTIONS

DescriptionExercise

PriceExpiration

Date# of


Value

% ofNet

Assets

Call - Nestle S.A. CHF 60.000 01/21/2011 157 $ (2) $ 0 0.00Total Financial Derivative Instruments Dealt in on a Regulated Market $ 35 0.01



TOTAL RETURN SWAPS ON INDICES AND SECURITIES

Pay/Receive Security# of Shares

or Units Floating Rate(1)NotionalAmount Maturity Date Counterparty

FairValue

UpfrontPremiums

Paid/(Received)


% ofNet Assets

Pay SunPower Corp. 27 1-Month USD-LIBOR rateplus a specified spread $ 358 03/31/2011 GSC $ 13 $ 0 $ 13 0.01

Receive SunPower Corp. 27 1-Month USD-LIBOR rateplus a specified spread 346 03/31/2011 GSC (12) 0 (12) (0.01)

Receive Marshall & Ilsley Corp. 156 1-Month USD-LIBOR rateplus a specified spread 1,068 12/19/2011 GSC 14 0 14 0.01

Pay Bank of Montreal 20 1-Month USD-LIBOR rateplus a specified spread 1,130 12/19/2011 GSC (1) 0 (1) 0.00

$ 14 $ 0 $ 14 0.01

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


Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Buy AUD 7,995 BCLY 01/2011 $ 494 $ 0 $ 494 0.22Buy CAD 8,501 DUB 02/2011 107 0 107 0.05Sell CHF 110 BCLY 02/2011 0 (5) (5) 0.00Buy 1,858 BNP 02/2011 57 0 57 0.02Sell 377 BNP 02/2011 0 (25) (25) (0.01)Sell 2,020 CITI 02/2011 0 (114) (114) (0.05)Sell 243 HSBC 02/2011 0 (9) (9) 0.00Sell 5,977 RBC 02/2011 0 (393) (393) (0.17)Buy DKK 15,083 BCLY 02/2011 8 (107) (99) (0.04)Buy 4,000 BNP 02/2011 10 0 10 0.00Sell 78 BNP 02/2011 1 0 1 0.00Sell 6,243 CITI 02/2011 23 0 23 0.01Sell 5,929 GSC 02/2011 8 0 8 0.00Sell 1,536 HSBC 02/2011 0 (6) (6) 0.00Sell 37,477 RBC 02/2011 228 (1) 227 0.10Sell 2,922 UBS 02/2011 0 (12) (12) 0.00Buy € 2,559 BCLY 01/2011 48 0 48 0.02Sell 1,673 BCLY 01/2011 91 (5) 86 0.04Buy 4,901 BNP 01/2011 145 0 145 0.06Sell 194 BNP 01/2011 13 0 13 0.00Buy 4,753 CITI 01/2011 0 (245) (245) (0.11)Sell 21,686 CITI 01/2011 503 (41) 462 0.20Sell 486 CSFB 01/2011 0 (3) (3) 0.00Sell 551 DUB 01/2011 0 (7) (7) 0.00Sell 239 HSBC 01/2011 0 0 0 0.00Sell 537 MSC 01/2011 0 (8) (8) 0.00Sell 1,550 RBC 01/2011 71 0 71 0.03Sell 2,043 RBS 01/2011 39 0 39 0.02Sell 686 UBS 01/2011 0 (20) (20) (0.01)


31 December 2010

Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Sell £ 2,986 BCLY 03/2011 $ 0 $ (16) $ (16) (0.01)Sell 2,985 DUB 03/2011 0 (15) (15) (0.01)Sell 433 HSBC 03/2011 0 (11) (11) 0.00Sell 771 MSC 03/2011 0 (21) (21) (0.01)Sell 268 RBC 03/2011 0 (6) (6) 0.00Sell 1,991 RBS 03/2011 0 (3) (3) 0.00Buy HKD 9,233 BCLY 01/2011 0 (4) (4) 0.00Sell 1,108 BCLY 01/2011 0 0 0 0.00Sell 4,593 BNP 01/2011 2 0 2 0.00Sell 1,141 CITI 01/2011 1 0 1 0.00Sell 9,529 DUB 01/2011 0 (1) (1) 0.00Buy JPY 216,429 BCLY 01/2011 70 0 70 0.03Buy 323,207 GSC 01/2011 146 0 146 0.07Buy 192,388 RBC 01/2011 87 0 87 0.04Buy 384,780 RBS 01/2011 167 0 167 0.07Sell NOK 3,084 BCLY 02/2011 0 (26) (26) (0.01)Sell 21,582 CITI 02/2011 0 (58) (58) (0.03)Buy 2,000 GSC 02/2011 11 0 11 0.00Sell 153 GSC 02/2011 0 (1) (1) 0.00Sell 2,292 RBC 02/2011 0 (5) (5) 0.00Sell 100 UBS 02/2011 0 0 0 0.00Buy SEK 15,393 BCLY 02/2011 89 0 89 0.04Buy 2,000 BNP 02/2011 8 0 8 0.00Sell 406 BNP 02/2011 0 (2) (2) 0.00Sell 2,941 GSC 02/2011 0 (14) (14) (0.01)Sell 6,692 RBS 02/2011 0 (24) (24) (0.01)Buy SGD 804 BCLY 01/2011 14 0 14 0.00Sell 1,343 BCLY 01/2011 0 (31) (31) (0.01)Sell 136 RBS 01/2011 0 (1) (1) 0.00

$ 2,441 $ (1,240) $ 1,201 0.53



DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS


Brown Brothers Harriman & Co.0.010% due 01/03/2011 SGD 1 $ 1 0.000.080% due 01/03/2011 € 10 14 0.01JPMorgan Chase & Co.0.030% due 01/03/2011 $ 530 530 0.230.550% due 01/03/2011 NOK 454 78 0.03Total Overnight Time Deposits $ 623 0.27Other Current Assets & Liabilities $ 3,783 1.66Net Assets $ 228,146 100.00


(a) The PIMCO EqS Pathfinder Fund TM is investing in Class Z Income Shares of an affiliated Fund.

(b) Securities with an aggregate market value of $91 and cash of $91 have been segregated with the Custodian to cover margin requirements for the open futures contracts as at 31 December 2010.

(c) Cash with an aggregate value of $255 has been pledged as collateral for written options as at 31 December 2010.

(d) Cash of $2,200 has been pledged as collateral for swap and foreign currency contracts as at 31 December 2010 as governed by International Swaps and Derivative Association, Inc. MasterAgreements.

(e) Fair Value Measurements1


Category3


(Level 1)


(Level 2)



Transferable Securities $ 79,376 $ 143,114 $ 0 $ 222,490Financial Derivative Instruments4 35 1,215 0 1,250Totals $ 79,411 $ 144,329 $ 0 $ 223,740

1 See note 2(c) in the Notes to Financial Statements for additional information.2 There were no significant transfers into and out of level 1 and 2 during the period ended 31 December 2010.3 Refer to the Portfolio of Investments and Assets for additional information.4 Financial Derivative Instruments may include open futures contracts, swap agreements, written options, purchased options and foreign currency contracts.


Portfolio of Investments and Assets PIMCO EqS Pathfinder Fund™ (Cont.)


Type Currency



MonthUnrealised


(Depreciation)


00% ofNet Assets

Buy € 8,756 BCLY 01/2011 $ 210 $ 0 $ 210 0.09Sell 7,970 BCLY 01/2011 0 (184) (184) (0.08)Buy 58,847 CITI 01/2011 108 (1,197) (1,089) (0.48)Sell 1,533 CITI 01/2011 0 (48) (48) (0.02)Buy 1,104 CSFB 01/2011 19 0 19 0.01Buy 40,136 DUB 01/2011 702 (67) 635 0.28Sell 494 DUB 01/2011 15 (8) 7 0.00Buy 9,939 GSC 01/2011 0 (195) (195) (0.08)Sell 642 GSC 01/2011 6 0 6 0.00Buy 386 JPM 01/2011 3 0 3 0.00Sell 576 JPM 01/2011 0 (3) (3) 0.00Buy 956 RBS 01/2011 9 (16) (7) 0.00Buy 1,514 UBS 01/2011 24 0 24 0.01Buy 1,879 CITI 02/2011 52 0 52 0.02Buy 551 DUB 02/2011 7 0 7 0.00

$ 1,155 $ (1,718) $ (563) (0.25)


Significant Changes in Portfolio Composition EqS Pathfinder Fund™ (Unaudited)31 December 2010

DESCRIPTION SHARES COST (000S)


PIMCO US Dollar Short-Term Floating NAV Fund (a) 3,411,192 $ 34,118PAR

(000S)

US Treasury Bills0.190% due 06/16/2011 $ 12,770 12,758

SHARES

Source Physical Markets Gold P-ETC 60,820 7,658Imperial Tobacco Group PLC 224,577 6,783Danone 101,531 6,092British American Tobacco PLC 161,962 5,899Koninklijke KPN NV 290,567 4,361Carlsberg 44,037 4,278AIA Group Ltd. 1,563,800 4,197Pernod-Ricard S.A. 44,837 3,737Lorillard, Inc. 45,516 3,681Deutsche Boerse AG 53,355 3,629Lancashire Holdings Ltd. 401,881 3,491CSM 114,483 3,458BP PLC 523,976 3,454Microsoft Corp. 129,262 3,358Berkshire Hathaway, Inc. 40,934 3,282Eutelsat Communications 80,038 2,966CBOE Holdings, Inc. 122,981 2,925White Mountains Insurance Group Ltd. 9,066 2,904Nintendo Co. Ltd. 10,677 2,852Barclays PLC 574,435 2,748Nestle S.A. 50,783 2,652Resolution Ltd. 619,741 2,424CVS Caremark Corp. 75,822 2,325Potash Corp. of Saskatchewan 16,005 2,311Alleghany Corp. 7,419 2,229Alcon, Inc. 13,163 2,152UBS AG 126,728 2,138Philip Morris International, Inc. 37,551 2,072Altria Group, Inc. 83,762 1,959Pride International, Inc. 70,725 1,946Total S.A. 37,243 1,943Marine Harvest ASA 2,203,454 1,905Hiscox Ltd. 324,541 1,828Reynolds American, Inc. 36,304 1,827ING Groep NV 170,620 1,745Link REIT 660,217 1,731Zurich Financial Services AG 7,327 1,727Seadrill Ltd. 73,167 1,724Reckitt Benckiser Group PLC 31,947 1,707Northwest Bancshares, Inc. 144,100 1,633Keppel Corp. Ltd. 228,248 1,616Dell, Inc. 115,785 1,582People’s United Financial, Inc. 117,259 1,553Teleperformance 55,384 1,544Lloyds Banking Group PLC 1,364,981 1,489Royal Dutch Shell PLC 49,535 1,485Rhoen Klinikum AG 64,036 1,449Jyske Bank 38,158 1,422BankNordik 54,139 1,395JCDecaux S.A. 49,580 1,346Orkla ASA 152,342 1,345BNP Paribas 19,158 1,337Airgas, Inc. 19,968 1,325Genzyme Corp. 18,635 1,313Gemalto NV 30,408 1,274Man Group PLC 340,182 1,249Bourbon S.A. 28,594 1,239E.ON AG 39,977 1,209Loomis AB 90,466 1,208L’Oreal S.A. 10,546 1,163Schindler Holding AG 11,667 1,158HSBC Holdings PLC 102,521 1,076Sika AG 564 1,075


(000S)


PIMCO US Dollar Short-Term Floating NAV Fund (a) 1,170,228 $ 11,704Potash Corp. of Saskatchewan 16,005 2,268Link REIT 660,217 2,080Airgas, Inc. 19,968 1,281Jyske Bank 17,044 767CBOE Holdings, Inc. 28,400 653

PAR(000S)

US Treasury Bills0.143% due 01/20/2011 $ 470 470

SHARES

Lloyds Banking Group PLC 383,894 461Bank of America Corp. 38,349 440

PAR(000S)

US Treasury Bills0.205% due 06/02/2011 $ 420 420

SHARES

Guoco Group Ltd. 30,958 381Source Physical Markets Gold P-ETC 2,493 304Jardine Matheson Holdings Ltd. 6,000 285

PAR(000S)

City of Whiting5.750% due 06/30/2010 $ 270 270City of Whiting5.735% due 06/29/2010 270 270

SHARES

SPDR Gold Trust 2,031 245Pandora A/S 4,738 220

PAR(000S)

Federal Home Loan Bank0.000% due 08/20/2010 $ 200 200City of Whiting5.375% due 06/28/2010 175 175City of Whiting0.220% due 06/25/2010 175 175

SHARES

Dockwise Ltd. 6,477 166British American Tobacco PLC 4,265 164Kloeckner & Co. SE 6,684 140BNP Paribas 1,922 133

(a) The PIMCO EqS Pathfinder FundTM is investing in Class Z Shares of an affiliated Fund.




Portfolio of Investments and Assets EqS Pathfinder Europe FundTM

DESCRIPTION SHARES

FAIRVALUE(000S)

% OFNET

ASSETS

TRANSFERABLE SECURITIES & MONEY MARKETINSTRUMENTS - OFFICIAL STOCK EXCHANGE/REGULATED MARKETS

COMMON STOCKS

BERMUDA

Hiscox Ltd. 935,871 € 4,174 1.57Lancashire Holdings Ltd. 769,622 4,987 1.88Seadrill Ltd. 117,067 2,988 1.12

12,149 4.57

DENMARK

Carlsberg 85,422 6,418 2.41Jyske Bank 51,630 1,804 0.68

8,222 3.09

FAEROE ISLAND

Bakkafrost P/F 489,625 3,112 1.17BankNordik P/F 161,120 3,113 1.17

6,225 2.34

FRANCE


Eutelsat Communications 194,716 5,336 2.01JCDecaux S.A. 130,377 3,004 1.13

8,340 3.14

CONSUMER STAPLES

Danone 158,089 7,439 2.80L’Oreal S.A. 27,646 2,300 0.87Pernod-Ricard S.A. 97,490 6,867 2.58

16,606 6.25

ENERGY

Bourbon S.A. 90,915 3,160 1.19Total S.A. 110,770 4,415 1.66

7,575 2.85

FINANCIALS

BNP Paribas 61,893 2,950 1.11

INDUSTRIALS

Teleperformance 157,638 3,983 1.50Total France 39,454 14.85

GERMANY

Deutsche Boerse AG 109,222 5,647 2.13E.ON AG 143,731 3,285 1.24Kloeckner & Co. SE 105,527 2,213 0.83Rhoen Klinikum AG 240,973 3,969 1.49

15,114 5.69

GUERNSEY

Resolution Ltd. 1,191,809 3,264 1.23

HONG KONG

AIA Group Ltd. 2,487,600 5,212 1.96

ITALY

Intesa Sanpaolo SpA 1,537,804 2,745 1.03

DESCRIPTION SHARES

FAIRVALUE(000S)

% OFNET

ASSETS

NETHERLANDS

CSM 200,753 € 5,262 1.98Dockwise Ltd. 20,029 403 0.15Gemalto NV 77,505 2,471 0.93ING Groep NV 284,858 2,080 0.79Koninklijke KPN NV 532,316 5,818 2.19Royal Dutch Shell PLC 152,320 3,807 1.43

19,841 7.47

NORWAY

Marine Harvest ASA 7,579,224 6,024 2.27Orkla ASA 460,453 3,361 1.26

9,385 3.53

POLAND

Bank Zachodni WBK S.A. 24,122 1,309 0.49

SWEDEN

Loomis AB 311,484 3,497 1.32

SWITZERLAND

Alcon, Inc. 21,408 2,608 0.98Nestle S.A. 118,309 5,183 1.95Schindler Holding AG 45,113 4,037 1.52Sika AG 1,625 2,667 1.01UBS AG 344,176 4,225 1.59Zurich Financial

Services AG 21,559 4,175 1.5722,895 8.62

UNITED KINGDOM


British Sky BroadcastingGroup PLC 155,893 1,339 0.50

CONSUMER STAPLES

British AmericanTobacco PLC 272,937 7,859 2.96

Imperial TobaccoGroup PLC 379,739 8,738 3.29

Reckitt BenckiserGroup PLC 93,178 3,837 1.44

20,434 7.69

ENERGY

BP PLC 1,070,863 5,908 2.22

FINANCIALS

Barclays PLC 1,541,274 4,768 1.80HSBC Holdings PLC 317,461 2,429 0.92Lloyds Banking

Group PLC 2,244,208 1,734 0.65Man Group PLC 842,400 2,924 1.10

11,855 4.47


UNITED STATES

CBOE Holdings, Inc. 121,310 2,067 0.78Philip Morris

International, Inc. 121,799 5,314 2.007,381 2.78

Total Common Stocks 196,229 73.85

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS


BNP Paribas Home Loan Covered Bonds S.A.4.125% due 01/24/2011 € 5,000 € 5,008 1.89Cie de Financement Foncier3.875% due 02/11/2011 5,000 5,014 1.89Dexia Municipal Agency S.A.4.000% due 01/26/2011 5,000 5,008 1.88Eurohypo AG3.750% due 04/11/2011 5,000 5,034 1.89Nykredit Realkredit A/S1.000% due 01/01/2011 5,000 5,000 1.88Total Corporate

Bonds & Notes 25,064 9.43

SHARES


Source Physical MarketsGold P-ETC 101,512 10,640 4.01

MUTUAL FUNDS (a)

PIMCO US DollarShort-Term FloatingNAV Fund 359,928 2,683 1.01

PAR(000S)


BNP Paribas Bank0.350% due 01/04/2011

(Dated 12/30/2010.Collateralised byRepublic of Germany4.750% due07/04/2040 valued at€18,107. Repurchaseproceeds are €18,051.) € 18,050 18,050 6.79

SOVEREIGN ISSUES

France Treasury Bills0.544% due 01/20/2011 5,000 4,999 1.88France Treasury Bills0.523% due 02/24/2011 5,000 4,997 1.88Total Sovereign Issues 9,996 3.76

Total TransferableSecurities & Money MarketInstruments - Official StockExchange/ RegulatedMarket € 262,662 98.85


31 December 2010



PURCHASED OPTIONS

DescriptionExercise

PriceExpiration

Date# of

Contracts CostFair

Value% of

Net Assets

Put - E.ON AG € 22.000 01/21/2011 703 € 41 € 8 0.01Put - Norvartis AG $ 60.000 04/16/2011 90 36 33 0.01

€ 77 € 41 0.02

WRITTEN OPTIONS

DescriptionExercise

PriceExpiration

Date# of


Value% of

Net Assets

Call - Nestle S.A. CHF 60.000 01/21/2011 389 € (4) € 0 0.00

Total Financial Derivative Instruments Dealt in on a Regulated Market € 41 0.02




Type Currency

Principal AmountCovered byContract Counterparty

SettlementMonth

UnrealisedAppreciation

Unrealised(Depreciation)


% ofNet Assets

Sell £ 1,940 BCLY 02/2011 € 51 € 0 € 51 0.02Buy 16,031 CITI 02/2011 0 (475) (475) (0.18)Buy 9,970 MSC 02/2011 0 (48) (48) (0.02)Sell HKD 7,530 BCLY 02/2011 13 0 13 0.00Buy $ 14,480 BCLY 01/2011 0 (156) (156) (0.06)Buy 280 CITI 01/2011 0 (1) (1) 0.00Sell 350 CITI 01/2011 6 0 6 0.00Sell 5,270 CSFB 01/2011 71 0 71 0.03Sell 880 GSC 01/2011 4 0 4 0.00Sell 600 MSC 01/2011 7 0 7 0.00Buy 3,023 BCLY 02/2011 0 (61) (61) (0.02)Sell 24,872 CITI 02/2011 637 0 637 0.24Buy 8,540 MSC 02/2011 0 (168) (168) (0.06)Sell 16,401 MSC 02/2011 10 (173) (163) (0.06)

€ 799 € (1,082) € (283) (0.11)

Total OTC Financial Derivative Instruments € (283) (0.11)

Total Investments € 262,420 98.75

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OF NETASSETS


BNP Paribas Bank0.080% due 01/03/2011 € 1,499 € 1,499 0.57Brown Brothers Harriman & Co.0.005% due 01/03/2011 CHF 1 1 0.000.005% due 01/03/2011 HKD 9 1 0.000.030% due 01/03/2011 $ 10 7 0.000.068% due 01/04/2011 £ 1 1 0.00JPMorgan Chase & Co.0.550% due 01/03/2011 NOK 782 100 0.04Total Overnight Time Deposits € 1,609 0.61Other Current Assets & Liabilities € 1,688 0.64Net Assets € 265,717 100.00


(a) The PIMCO EqS Pathfinder Europe FundTM is investing in Class Z Income Shares of an affiliated Fund.

(b) Cash of €29 has been pledged as collateral for written options as at 31 December 2010.

(c) Cash of €343 has been pledged as collateral for swap and foreign currency contracts as at 31 December 2010 as governed by International Swaps and Derivative Association, Inc. MasterAgreements.



Portfolio of Investments and Assets EqS Pathfinder Europe FundTM (Cont.)


Category3




(Level 2)



Transferable Securities € 33,379 € 229,283 € 0 € 262,662Financial Derivative Instruments4 41 (283) 0 (242)Totals € 33,420 € 229,000 € 0 € 262,420



Significant Changes in Portfolio Composition EqS Pathfinder Europe FundTM (Unaudited)31 December 2010

DESCRIPTIONPAR

(000S)COST(000S)


Republic of Germany4.750% due 07/04/2034 € 26,300 € 33,467

SHARES

Source Physical Markets Gold P-ETC 105,521 10,022PAR

(000S)

Dutch Treasury Certificate € 9,000 8,995Republic of Germany5.000% due 01/04/2012 8,200 8,626

SHARES

Imperial Tobacco Group PLC 379,739 8,525British American Tobacco PLC 281,436 7,680Danone 158,089 7,093

PAR(000S)

Republic of Germany3.500% due 01/04/2016 € 6,100 6,730

SHARES

Carlsberg A/S 85,929 6,429PAR

(000S)


SHARES

Pernod-Ricard S.A. 97,490 6,174Koninklijke KPN NV 532,316 5,990

PAR(000S)

Bundesschatzanweisungen1.250% due 12/16/2011 € 5,900 5,959

SHARES

Deutsche Boerse AG 109,222 5,564Eutelsat Communications 194,716 5,406BP PLC 1,095,863 5,367Barclays PLC 1,541,274 5,182Marine Harvest ASA 7,579,224 5,050

PAR(000S)

Eurohypo AG3.750% due 04/11/2011 € 5,000 5,046Bundesschatzanweisungen2.250% due 12/10/2010 5,000 5,026Cie de Financement Foncier3.875% due 02/11/2011 5,000 5,026

SHARES

Philip Morris International, Inc. 121,799 5,022PAR

(000S)

BNP Paribas Home Loan Covered Bonds S.A.4.125% due 01/24/2011 € 5,000 5,020Dexia Municipal Agency S.A.4.000% due 01/26/2011 5,000 5,019Nykredit Realkredit A/S1.000% due 01/01/2011 5,000 5,001France Treasury Bills0.000% due 01/20/2011 5,000 4,998France Treasury Bills0.544% due 01/20/2011 5,000 4,997France Treasury Bills0.523% due 02/24/2011 5,000 4,994

SHARES

Lancashire Holdings Ltd. 769,622 4,984

AIA Group Ltd. 2,487,600 4,685

Nestle S.A. 118,825 4,661PAR

(000S)



CSM 200,753 € 4,426

UBS AG 345,966 4,399

Total S.A. 110,770 4,264

Rhoen Klinikum AG 240,973 4,150

Hiscox Ltd. 935,871 3,803

Zurich Financial Services AG 21,559 3,795

Reckitt Benckiser Group PLC 93,178 3,662

Schindler Holding AG 45,401 3,504

Teleperformance 157,638 3,408

Royal Dutch Shell PLC 152,320 3,386

Resolution Ltd. 1,147,020 3,272

E.ON AG 143,731 3,226

BankNordik P/F 161,120 3,175

BNP Paribas 61,893 3,161

Orkla ASA 460,453 3,073

Loomis AB 311,484 3,067

Bourbon S.A. 90,915 2,953

Intesa Sanpaolo SpA 1,537,804 2,929

PIMCO US Dollar Short-Term Floating NAV Fund (a) 359,928 2,701

JC Decaux S.A. 130,377 2,690

Alcon, Inc. 21,408 2,632

Bakkafrost P/F 489,625 2,618

HSBC Holdings PLC 317,461 2,429

Gemalto NV 77,505 2,402

Man Group PLC 842,400 2,357

Sika AG 1,625 2,329

L’Oreal S.A. 27,646 2,324

Lloyds Banking Group PLC 2,889,863 2,273

ING Groep NV 284,858 2,141

Seadrill Ltd. 117,067 2,115

CBOE Holdings, Inc. 121,310 2,076

Jyske Bank 73,156 2,037PAR

(000S)PROCEEDS

(000S)


Republic of Germany4.750% due 07/04/2034 € 26,300 € 33,464Dutch Treasury Certificate0.000% due 10/29/2010 9,000 8,999Republic of Germany5.000% due 01/04/2012 8,200 8,623Republic of Germany3.500% due 01/04/2016 6,100 6,729Republic of Germany4.000% due 01/04/2037 5,000 6,237Bundesschatzanweisungen1.250% due 12/16/2011 5,900 5,959Bundesschatzanweisungen2.250% due 10/12/2010 5,000 5,000France Treasury Bills0.000% due 10/21/2010 5,000 4,998Republic of Germany4.250% due 07/04/2014 4,100 4,570

SHARES

Jyske Bank 21,526 709

Lloyds Banking Group PLC 645,655 578

Dockwise Ltd. 22,784 432PAR

(000S)

Germany Treasury Bills0.000% due 10/13/2010 € 400 400

SHARES

Source Physical Markets Gold P-ETC 4,009 388


Significant Changes in Portfolio Composition EqS Pathfinder Europe FundTM (cont.)

DESCRIPTIONPAR

(000S)PROCEEDS

(000S)


Republic of Germany5.250% due 07/04/2010 € 300 € 300

SHARES

Pandora A/S 7,777 260PAR

(000S)

Bundesschatzanweisungen4.000% due 10/09/2010 € 250 251

SHARES

British American Tobacco PLC 8,499 240

Kloeckner & Co. SE 15,082 230PAR

(000S)

Netherlands Government Bond5.500% due 07/15/2010 € 200 200

(a) The Eqs Pathfinder Europe FundTM is investing in Class Z Shares of an affiliated Fund.




Portfolio of Investments and Assets EuriborPLUS Fund31 December 2010

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS



BANKING & FINANCE

3i Group PLC1.228% due 06/08/2012 € 1,100 € 1,087 0.22Abbey National Treasury Services PLC2.500% due 03/18/2013 3,100 3,102 0.64AK Transneft OJSC Via TransCapitalInvest Ltd.5.381% due 06/27/2012 2,000 2,081 0.436.103% due 06/27/2012 $ 2,700 2,137 0.44Ally Credit Canada Ltd.6.000% due 05/23/2012 € 2,700 2,734 0.56Ally Financial, Inc.5.375% due 06/06/2011 1,201 1,219 0.25American Honda Finance Corp.5.125% due 10/03/2012 3,700 3,904 0.80American International Group, Inc.1.168% due 07/19/2013 1,750 1,639 0.341.179% due 04/26/2011 8,400 8,346 1.724.000% due 09/20/2011 5,000 5,004 1.038.000% due 05/22/2038 650 631 0.13BA Covered Bond Issuer4.125% due 04/05/2012 13,550 13,878 2.86Banco Bilbao Vizcaya Argentaria S.A.3.875% due 05/31/2012 4,000 4,031 0.83Banco Santander S.A.3.250% due 02/07/2012 3,600 3,607 0.74Bank of America Corp.1.179% due 09/12/2013 2,250 2,139 0.44Bank of Scotland PLC3.250% due 01/25/2013 2,000 2,025 0.423.500% due 11/21/2011 3,900 3,979 0.824.500% due 10/23/2013 2,400 2,498 0.515.000% due 11/21/2011 $ 1,500 1,163 0.24Banque Centrale de Tunisie S.A.4.750% due 04/07/2011 € 5,800 5,865 1.21Banque PSA Finance3.250% due 11/26/2012 800 806 0.173.750% due 03/11/2011 200 200 0.043.875% due 01/18/2013 200 203 0.044.000% due 07/19/2013 2,200 2,225 0.468.500% due 05/04/2012 1,200 1,291 0.26Barclays Bank PLC4.250% due 10/27/2011 4,000 4,103 0.85BNP Paribas0.463% due 04/27/2017 $ 2,650 1,942 0.40Caisse Centrale du Credit Immobilier de France1.924% due 03/18/2013 € 4,000 3,985 0.82Carlsberg Finance A/S6.625% due 12/12/2011 £ 3,000 3,570 0.74Caterpillar International Finance Ltd.5.125% due 06/04/2012 € 2,400 2,510 0.52Citigroup, Inc.0.572% due 06/09/2016 $ 7,300 4,911 1.016.400% due 03/27/2013 € 800 855 0.18Cooperatieve Centrale Raiffeisen-Boerenleenbank BA6.875% due 03/19/2020 1,400 1,330 0.27Depfa ACS Bank3.250% due 02/15/2012 10,550 10,472 2.163.500% due 03/16/2011 5,500 5,515 1.13Deutsche Pfandbriefbank AG3.250% due 03/16/2012 2,000 2,056 0.42Dexia Credit Local S.A.3.125% due 10/28/2011 4,000 4,065 0.84DnB NORBank ASA0.526% due 09/01/2016 $ 1,400 1,031 0.21Eurohypo AG3.000% due 01/18/2012 € 2,500 2,542 0.523.500% due 09/30/2011 2,600 2,642 0.55FCE Bank PLC7.125% due 01/16/2012 2,500 2,575 0.537.125% due 01/15/2013 900 943 0.197.875% due 02/15/2011 £ 2,600 3,035 0.63

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Fiat Finance & Trade S.A.9.000% due 07/30/2012 € 1,400 € 1,508 0.31Fortis Bank Nederland NV1.750% due 05/07/2014 1,800 1,820 0.38Goldman Sachs Group, Inc.1.347% due 02/04/2013 3,300 3,210 0.663.500% due 12/08/2011 4,000 4,086 0.845.125% due 04/24/2013 800 839 0.185.375% due 02/15/2013 600 630 0.13HBOS PLC0.503% due 09/30/2016 $ 3,050 1,885 0.390.503% due 09/06/2017 1,600 990 0.20HSBC Bank PLC3.875% due 11/09/2011 € 4,400 4,489 0.93Hypo Real Estate Bank International AG3.000% due 10/12/2012 2,350 2,398 0.49Imperial Tobacco Finance PLC5.000% due 06/25/2012 4,200 4,385 0.90ING Bank NV0.459% due 05/23/2016 $ 850 572 0.120.484% due 11/21/2016 4,100 2,706 0.560.503% due 07/03/2017 450 296 0.06Korea Development Bank1.246% due 04/03/2014 € 4,550 4,350 0.90Landeskreditbank Baden-Wuerttemberg Foerderbank1.058% due 01/21/2014 1,900 1,896 0.39LBG Capital No.1 PLC7.375% due 03/12/2020 150 130 0.037.625% due 10/14/2020 1,500 1,320 0.27LeasePlan Corp. NV4.250% due 10/07/2011 1,250 1,263 0.26LFA Foerderbank Bayern0.927% due 01/17/2011 450 449 0.09Merrill Lynch & Co., Inc.1.466% due 07/22/2014 550 517 0.111.764% due 09/27/2012 350 340 0.076.750% due 05/21/2013 1,200 1,272 0.26Morgan Stanley1.331% due 11/29/2013 400 382 0.081.357% due 03/01/2013 3,900 3,733 0.773.750% due 03/01/2013 850 859 0.18National Australia Bank Ltd.0.533% due 06/29/2016 $ 2,100 1,563 0.32Nationwide Building Society4.125% due 02/27/2012 € 6,700 6,861 1.41Nordea Bank AB0.502% due 06/09/2016 $ 2,200 1,637 0.34Nordea Hypotek AB3.750% due 10/25/2011 € 3,100 3,157 0.65Northern Rock Asset Management PLC3.875% due 10/18/2011 5,000 5,046 1.04NRW.BANK1.028% due 02/17/2014 2,800 2,777 0.571.037% due 07/18/2012 2,000 1,998 0.411.050% due 08/15/2011 1,500 1,500 0.311.088% due 08/22/2012 2,000 1,996 0.41Nykredit Realkredit A/S1.000% due 01/01/2012 12,000 11,985 2.47RCI Banque S.A.2.750% due 09/10/2012 1,100 1,106 0.232.875% due 07/23/2012 700 703 0.154.000% due 07/11/2013 3,050 3,127 0.64Royal Bank of Scotland Group PLC5.000% due 11/12/2013 $ 5,900 4,383 0.90Royal Bank of Scotland PLC3.750% due 11/14/2011 € 3,000 3,068 0.63Sampo Housing Loan Bank PLC3.750% due 09/23/2011 2,700 2,744 0.57Sparebanken 1 Boligkreditt2.375% due 12/03/2012 2,500 2,524 0.524.000% due 06/15/2011 3,500 3,539 0.73Swedbank AB1.593% due 04/30/2012 2,300 2,318 0.48Swedish Covered Bond Corp.3.875% due 10/31/2011 1,705 1,738 0.36

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

TNK-BP Finance S.A.6.125% due 03/20/2012 $ 5,200 € 4,109 0.856.875% due 07/18/2011 400 310 0.06Toyota Motor Credit Corp.5.250% due 02/03/2012 € 3,400 3,536 0.73UBS Preferred Funding Trust II7.247% due 06/29/2049 $ 2,700 2,013 0.42US Bank N.A.4.375% due 02/28/2017 € 1,200 1,186 0.24Valhalla I S.A.1.364% due 03/26/2013 5,400 5,402 1.11Valhalla II S.A.1.404% due 06/28/2013 2,500 2,505 0.52VTB Capital S.A.6.609% due 10/31/2012 $ 1,800 1,445 0.308.250% due 06/30/2011 € 2,500 2,575 0.53VW Credit Canada, Inc.5.000% due 02/03/2011 1,679 1,683 0.35Wells Fargo & Co.0.827% due 01/25/2012 £ 4,000 4,584 0.94WM Covered Bond Program3.875% due 09/27/2011 € 13,293 13,511 2.78Xstrata Finance Canada Ltd.4.875% due 06/14/2012 2,400 2,515 0.52Yorkshire Building Society2.250% due 10/26/2012 4,000 4,045 0.834.000% due 11/07/2011 1,550 1,570 0.33

294,960 60.78

INDUSTRIALS

Allied Domecq Financial Services Ltd.6.625% due 04/18/2011 £ 3,720 4,368 0.90Anheuser-Busch InBev NV7.375% due 01/30/2013 € 5,300 5,848 1.20BAA Funding Ltd.3.975% due 02/15/2012 4,650 4,729 0.97BHP Billiton Finance Ltd.4.750% due 04/04/2012 2,000 2,081 0.43BMW US Capital LLC6.375% due 07/23/2012 4,200 4,496 0.93Cie de St-Gobain1.215% due 04/11/2012 1,600 1,590 0.334.250% due 05/31/2011 2,200 2,219 0.466.000% due 05/20/2013 1,050 1,134 0.23Daimler Finance N.A. LLC4.250% due 10/04/2011 600 612 0.13Daimler International Finance BV5.875% due 09/08/2011 2,000 2,058 0.427.750% due 03/26/2012 1,400 1,500 0.319.000% due 01/30/2012 300 323 0.07Dow Chemical Co.4.625% due 05/27/2011 4,400 4,436 0.91Hanson Australia Funding Ltd.5.250% due 03/15/2013 $ 2,000 1,543 0.32Kraft Foods, Inc.5.750% due 03/20/2012 € 4,800 5,026 1.03Marks & Spencer PLC5.875% due 05/29/2012 £ 2,000 2,416 0.50Merck Financial Services GmbH4.875% due 09/27/2013 € 450 481 0.10PERI GmbH5.625% due 12/15/2011 900 918 0.19Philip Morris International, Inc.5.625% due 09/06/2011 3,700 3,801 0.78Rexam PLC4.375% due 03/15/2013 3,000 3,116 0.64Rhodia S.A.3.735% due 10/15/2013 3,167 3,168 0.65Suedzucker International Finance BV5.750% due 02/27/2012 2,100 2,192 0.45Vivendi S.A.3.875% due 02/15/2012 2,200 2,275 0.477.750% due 01/23/2014 2,500 2,849 0.59


Portfolio of Investments and Assets EuriborPLUS Fund (Cont.)

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Volkswagen International Finance NV1.494% due 11/19/2012 € 1,100 € 1,102 0.235.625% due 02/09/2012 1,900 1,990 0.41Xstrata Canada Financial Corp.5.875% due 05/27/2011 600 613 0.13

6 6,884 13.78

UTILITIES

BP Capital Markets PLC2.375% due 12/14/2011 $ 1,100 836 0.172.750% due 06/14/2011 CHF 2,900 2,349 0.492.750% due 02/27/2012 $ 200 152 0.033.125% due 03/10/2012 200 154 0.033.625% due 05/27/2011 850 648 0.13Cellco Partnership7.625% due 12/19/2011 € 3,400 3,596 0.74Deutsche Telekom International Finance BV7.125% due 07/11/2011 3,150 3,240 0.678.125% due 05/29/2012 1,150 1,259 0.26DONG Energy A/S4.625% due 06/21/2011 2,400 2,434 0.50Gazprom Via Gaz Capital S.A.4.560% due 12/09/2012 3,800 3,971 0.82Koninklijke KPN NV5.000% due 11/13/2012 3,750 3,972 0.82Nippon Telegraph & Telephone Corp.4.125% due 06/09/2011 3,100 3,134 0.65Qwest Corp.8.875% due 03/15/2012 $ 4,100 3,346 0.69Singapore Telecommunications Ltd.6.000% due 11/21/2011 € 3,630 3,757 0.77TDC A/S6.500% due 04/19/2012 1,800 1,899 0.39Telstra Corp. Ltd.6.000% due 04/08/2013 2,000 2,179 0.456.375% due 06/29/2011 1,600 1,641 0.34Vodafone Group PLC1.377% due 06/06/2014 1,200 1,188 0.241.527% due 09/05/2013 2,750 2,716 0.56

42,471 8.75Total Corporate Bonds & Notes 404,315 83.31


US Treasury Notes2.375% due 08/31/2014 $ 100 78 0.01


Arena BV1.238% due 02/17/2037 € 142 140 0.032.213% due 11/17/2041 300 301 0.06

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Argo Mortgage Srl1.537% due 10/28/2036 € 14 € 14 0.00Arkle Master Issuer PLC2.298% due 05/17/2060 1,500 1,487 0.312.548% due 05/17/2060 2,300 2,300 0.47Arran Residential Mortgages Funding PLC2.203% due 05/16/2047 3,100 3,098 0.64Delphinus BV1.285% due 06/25/2066 1,346 1,339 0.27Dutch MBS BV1.175% due 11/02/2037 606 587 0.121.882% due 03/02/2042 1,346 1,341 0.28Dutch Mortgage Portfolio Loans BV1.191% due 11/20/2052 180 179 0.041.291% due 11/20/2035 345 335 0.071.291% due 05/20/2036 188 184 0.041.934% due 07/25/2047 2,800 2,790 0.57Fosse Master Issuer PLC2.378% due 10/18/2054 1,500 1,498 0.31Granite Master Issuer PLC0.913% due 12/17/2054 1,158 1,076 0.220.913% due 12/20/2054 716 664 0.140.923% due 12/20/2054 440 409 0.080.993% due 12/20/2054 408 379 0.081.013% due 12/20/2054 798 741 0.151.093% due 12/20/2054 187 174 0.04Granite Mortgages PLC1.164% due 09/20/2044 339 319 0.071.380% due 01/20/2044 9 8 0.00Holmes Master Issuer PLC2.353% due 10/15/2054 4,300 4,303 0.89Mantegna Finance Srl1.499% due 11/05/2037 11 10 0.00Storm BV1.922% due 09/22/2052 1,311 1,308 0.27

24,984 5.15


Asset-Backed European Securitisation TransactionSrl

1.126% due 10/01/2015 44 44 0.01AUTO ABS Srl1.135% due 07/25/2017 904 899 0.19Bavarian Sky S.A.1.669% due 01/15/2018 500 500 0.10Chester Asset Receivables Dealings0.920% due 09/15/2013 £ 3,000 3,461 0.71F-E Green Srl1.235% due 10/30/2018 € 4 3 0.00

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Globaldrive BV1.813% due 02/20/2016 € 1,220 € 1,221 0.252.413% due 04/20/2018 1,370 1,380 0.283.000% due 07/20/2015 1,389 1,393 0.294.000% due 10/20/2016 152 155 0.03Locat Securitisation Vehicle Srl1.179% due 12/12/2026 45 43 0.01Magnolia Funding Ltd.3.000% due 04/20/2017 1,593 1,587 0.33Split Srl1.165% due 10/25/2018 71 69 0.01Volkswagen Car Lease1.911% due 08/21/2015 558 560 0.12

11,315 2.33

SOVEREIGN ISSUES

Erste Abwicklungsanstalt1.097% due 09/04/2012 3,000 2,979 0.611.209% due 12/30/2015 2,800 2,759 0.57Export-Import Bank of Korea5.750% due 05/22/2013 800 849 0.18Land Nordrhein-Westfalen1.073% due 08/24/2012 1,000 997 0.21Republic of Italy6.000% due 02/22/2011 $ 6,800 5,151 1.06State of Berlin1.265% due 06/25/2012 € 5,000 5,021 1.03State of Brandenburg0.969% due 04/08/2013 3,000 3,002 0.62State of Bremen0.959% due 07/08/2013 5,000 4,993 1.031.483% due 04/27/2011 4,000 4,003 0.82State of Lower Saxony1.122% due 10/10/2011 3,000 2,998 0.62State of North Rhine-Westphalia1.056% due 07/29/2015 5,000 4,958 1.02

37,710 7.77


Royal Bank of Scotland0.420% due 01/03/2011

(Dated 12/30/2010.Collateralised by GermanyTreasury Bills 0.000% due05/18/2011 valued at€6,563.Repurchaseproceeds are €6,560.) 6,560 6,560 1.35

Total Transferable Securities &Money Market Instruments -Official Stock Exchange/Regulated Market € 484,962 99.92



WRITTEN OPTIONS

Description Counterparty Buy/Sell ProtectionExercise

RateExpiration

DateNotionalAmount Premiums

FairValue

% ofNet Assets


Call - OTC Dow Jones iTraxx Europe Series 14 Index BNP Sell 0.900% 03/16/2011 € 25,500 € (55) € (44) (0.01)Put - OTC Dow Jones iTraxx Europe Series 14 Index BNP Buy 1.600% 03/16/2011 25,500 (55) (37) (0.01)

€ (110) € (81) (0.02)


ExerciseRate

ExpirationDate


FairValue

% ofNet Assets


Put - OTC 2-Year Interest Rate Swap BOA 6-Month EUR-LIBOR Pay 2.500% 09/19/2012 € 30,600 € (181) € (338) (0.07)Put - OTC 2-Year Interest Rate Swap JPM 6-Month EUR-LIBOR Pay 2.500% 09/19/2012 26,000 (151) (287) (0.06)Put - OTC 2-Year Interest Rate Swap RBS 6-Month EUR-LIBOR Pay 2.500% 09/19/2012 15,400 (92) (170) (0.04)Put - OTC 2-Year Interest Rate Swap BOA 3-Month USD-LIBOR Pay 2.250% 09/24/2012 $ 12,500 (52) (133) (0.03)Put - OTC 2-Year Interest Rate Swap CITI 3-Month USD-LIBOR Pay 2.250% 09/24/2012 800 (4) (9) 0.00Put - OTC 2-Year Interest Rate Swap RBS 3-Month USD-LIBOR Pay 2.250% 09/24/2012 38,300 (224) (408) (0.08)

€ (704) € (1,345) (0.28)


31 December 2010

Description CounterpartyStikeIndex Exercise Index

ExpirationDate


FairValue

% ofNet Assets

INFLATION FLOOR

Floor - OTC CPURNSA Index CITI 216.687 Maximum of [1-(Index Final/Index Initial) or $0] 04/07/2020 $ 3,400 € (22) € (26) 0.00Floor - OTC CPURNSA Index DUB 215.949 Maximum of [(((Index Final/Index Initial)-1)- 2.500%) or $0] 03/10/2020 3,400 (18) (26) (0.01)Floor - OTC CPURNSA Index DUB 218.011 Maximum of [-(Final Index / Initial Index -1), 0] 10/13/2020 1,600 (12) (13) 0.00

€ (52) € (65) (0.01)


ExpirationDate


FairValue

% ofNet Assets

STRADDLE OPTIONS

Call & Put 1-Year vs. 1-Year Forward Volatility Agreement GSC 0.000 10/11/2011 $ 6,500 € (25) € (40) (0.01)Call & Put 1-Year vs. 1-Year Forward Volatility Agreement JPM 0.000 10/11/2011 3,800 (14) (23) (0.01)Call & Put 1-Year vs. 2-Year Forward Volatility Agreement MSC 0.000 10/11/2011 9,500 (74) (119) (0.02)Call & Put 1-Year vs. 2-Year Forward Volatility Agreement MSC 0.000 11/14/2011 13,000 (101) (161) (0.03)

€ (214) € (343) (0.07)




NotionalAmount(3)

FairValue

UpfrontPremiums


(Depreciation)% of

Net Assets

3i Group PLC (1.000%) 06/20/2012 CSFB € 1,100 € 12 € 15 € (3) 0.00FCE Bank PLC (5.000%) 03/20/2012 BCLY 2,500 (120) (53) (67) (0.02)Hanson Ltd. (1.000%) 03/20/2013 BCLY $ 2,000 7 20 (13) 0.00Qwest Corp. (1.000%) 03/20/2012 BOA 2,500 (14) 44 (58) 0.00

€ (115) € 26 € (141) (0.02)




FairValue

UpfrontPremiums

Paid/(Received)


% ofNet Assets

Australia Government Bond 1.000% 06/20/2015 UBS $ 6,800 € 121 € 109 € 12 0.02BP Capital Markets America, Inc. 5.000% 09/20/2011 DUB 200 6 (4) 10 0.00BP Capital Markets America, Inc. 1.000% 09/20/2011 HSBC 200 1 (12) 13 0.00Brazil Government International Bond 1.000% 03/20/2011 GSC 600 1 2 (1) 0.00Brazil Government International Bond 1.150% 08/20/2012 MLP 700 6 0 6 0.00Egypt Government International Bond 1.000% 06/20/2015 CITI 1,800 (72) (95) 23 (0.01)Emirate of Abu Dhabi 1.000% 12/20/2014 BCLY 300 2 (8) 10 0.00Emirate of Abu Dhabi 1.000% 03/20/2011 GSC 1,100 1 0 1 0.00Emirate of Abu Dhabi 1.000% 12/20/2014 GSC 300 2 (8) 10 0.00France Government Bond 0.250% 06/20/2015 BOA 3,100 (73) (50) (23) (0.01)France Government Bond 0.250% 06/20/2015 CITI 400 (9) (7) (2) 0.00France Government Bond 0.250% 06/20/2015 UBS 7,800 (185) (168) (17) (0.04)France Government Bond 0.250% 12/20/2015 DUB 19,400 (543) (579) 36 (0.11)ING Verzekeringen NV 1.400% 06/20/2011 DUB € 900 0 0 0 0.00Mexico Government International Bond 1.000% 03/20/2011 BCLY $ 1,700 2 3 (1) 0.00Mexico Government International Bond 1.000% 03/20/2011 GSC 1,000 1 1 0 0.00Netherlands Government Bond 0.250% 12/20/2015 BOA 5,000 (65) (69) 4 (0.01)Netherlands Government Bond 0.250% 12/20/2015 DUB 5,100 (66) (70) 4 (0.01)Republic of Germany 0.250% 06/20/2015 BCLY 900 (8) (11) 3 0.00Republic of Germany 0.250% 06/20/2015 BOA 2,000 (18) (14) (4) 0.00Republic of Germany 0.250% 06/20/2015 MSC 350 (3) (4) 1 0.00Republic of Germany 0.250% 06/20/2015 UBS 3,850 (35) (40) 5 (0.01)Republic of Italy 1.000% 06/20/2011 UBS 24,000 (36) (302) 266 (0.01)Republic of Korea 1.000% 03/20/2011 DUB 2,000 2 6 (4) 0.00Republic of Korea 1.000% 06/20/2015 GSC 1,000 3 5 (2) 0.00Republic of Korea 1.000% 06/20/2015 MSC 4,000 13 (76) 89 0.00Republic of Korea 1.000% 12/20/2015 MSC 12,700 24 (87) 111 0.00Republic of Korea 1.000% 06/20/2015 RBS 2,000 7 (31) 38 0.00Rolls-Royce PLC 1.000% 12/20/2015 CITI € 2,500 34 18 16 0.01United Kingdom Gilt 1.000% 03/20/2015 BNP $ 3,600 41 39 2 0.01United Kingdom Gilt 1.000% 06/20/2015 DUB 4,400 49 29 20 0.01United Kingdom Gilt 1.000% 03/20/2015 GSC 3,600 41 29 12 0.01

€ (756) € (1,394) € 638 (0.15)


Portfolio of Investments and Assets EuriborPLUS Fund (Cont.)




FairValue

UpfrontPremiums

Paid/(Received)


% ofNet Assets

Dow Jones CDX N.A. IG15 Index 1.000% 12/20/2015 BOA $ 28,300 € 157 € 140 € 17 0.03




INTEREST RATE SWAPS


NotionalAmount

FairValue

UpfrontPremiums

Paid/(Received)


% ofNet Assets

Pay 3-Month USD-LIBOR 2.100% 12/15/2015 CITI $ 24,500 € (84) € 0 € (84) (0.02)Pay 3-Month USD-LIBOR 2.100% 12/15/2015 JPM 8,000 (27) 0 (27) 0.00Pay BRL-CDI-Compounded 11.530% 01/02/2014 HSBC BRL 21,200 (101) 0 (101) (0.02)Pay BRL-CDI-Compounded 11.890% 01/02/2014 MSC 24,500 (3) 0 (3) 0.00Pay BRL-CDI-Compounded 12.240% 01/02/2014 UBS 25,000 166 0 166 0.03

€ (49) € 0 € (49) (0.01)


Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Sell CHF 2,930 CITI 02/2011 € 0 € (166) € (166) (0.03)Sell DKK 104,900 BCLY 01/2011 0 (34) (34) (0.01)Sell 25,000 BNP 01/2011 0 (5) (5) 0.00Buy 34,320 CSFB 01/2011 0 0 0 0.00Buy 125,080 GSC 01/2011 13 0 13 0.00Sell 29,500 GSC 01/2011 0 (7) (7) 0.00Sell £ 3,970 GSC 02/2011 62 0 62 0.01Sell 19,480 RBS 02/2011 418 0 418 0.09Buy 5,240 UBS 02/2011 0 (125) (125) (0.03)Sell 740 UBS 02/2011 11 0 11 0.00Buy KRW 7,793,561 BCLY 01/2011 100 0 100 0.02Buy 7,439,368 JPM 01/2011 93 0 93 0.02Buy 5,835,375 RBS 05/2011 119 0 119 0.02Buy MXN 83,119 CITI 02/2011 235 0 235 0.05Buy SGD 10,162 BCLY 03/2011 360 0 360 0.07Buy 14,170 CITI 03/2011 412 0 412 0.09Sell $ 6,661 BCLY 01/2011 69 0 69 0.02Sell 6,361 JPM 01/2011 67 0 67 0.01Buy 9,541 CITI 02/2011 0 (35) (35) (0.01)Sell 8,722 CITI 02/2011 9 (164) (155) (0.03)Sell 59,072 CSFB 02/2011 0 (1,108) (1,108) (0.23)Buy 970 JPM 02/2011 0 (8) (8) 0.00Sell 2,180 JPM 02/2011 15 (10) 5 0.00Sell 5,250 RBS 05/2011 0 (204) (204) (0.04)

€ 1,983 € (1,866) € 117 0.02

Total OTC Financial Derivative Instruments € (2,480) (0.51)


DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS


BNP Paribas Bank0.088% due 12/31/2010 € 9,908 € 9,908 2.04Brown Brothers Harriman & Co.0.005% due 12/31/2010 CHF 9 7 0.000.005% due 01/04/2011 JPY 346 3 0.000.050% due 01/03/2011 DKK 60 8 0.000.054% due 12/31/2010 CAD 7 5 0.000.172% due 01/03/2011 SEK 88 10 0.013.950% due 12/31/2010 AUD 1 1 0.00JPMorgan Chase & Co.0.070% due 12/31/2010 £ 205 237 0.05


31 December 2010

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Nordea Bank AB0.030% due 12/31/2010 $ 380 € 287 0.06Total Overnight Time Deposits € 10,466 2.16Other Current Assets & Liabilities € (7,620) (1.57)Net Assets € 485,328 100.00


(a) Cash of €3,742 has been pledged as collateral for swap, swaption and foreign currency contracts as at 31 December 2010 as governed by International Swaps and Derivative Association, Inc.Master Agreements.

(b) Fair Value Measurements1


Category3


(Level 1)


(Level 2)



Transferable Securities € 0 € 482,457 € 2,505 € 484,962Financial Derivative Instruments4 0 (2,072) (408) (2,480)Totals € 0 € 480,385 € 2,097 € 482,482


Category3

StartingBalance

at 31-Dec-2009Net

Purchases5Net

Sales5


RealisedGains/

(Losses)




Level 3

EndingBalance at

31-Dec-2010




Transferable Securities € 0 € 2,500 € 0 € 0 € 0 € 5 € 0 € 2,505 € 5Financial Derivative Instruments4 0 (266) 0 0 0 (142) 0 (408) (142)Totals € 0 € 2,234 € 0 € 0 € 0 € (137) € 0 € 2,097 € (137)


Category3


(Level 1)


(Level 2)



Transferable Securities € 0 € 161,348 € 0 € 161,348Financial Derivative Instruments4 (2) (205) 0 (207)Totals € (2) € 161,143 € 0 € 161,141


Category3

StartingBalance

at 31-Dec-2008Net

Purchases5Net

Sales5

AccruedDiscounts/

(Premiums)

RealisedGains/

(Losses)




of Level 3

EndingBalance

at 31-Dec-2009




Transferable Securities € 471 € 0 € (480) € 0 € (49) € 58 € 0 € 0 € 0





Significant Changes in Portfolio Composition EuriborPLUS Fund

DESCRIPTIONPAR

(000S)COST(000S)


Republic of Germany1.000% due 03/16/2012 € 574,300 € 575,085Republic of Germany5.000% due 01/04/2012 464,950 498,306Republic of Germany3.500% due 07/04/2019 113,050 117,256Republic of Germany4.250% due 07/04/2018 91,360 100,177Republic of Germany6.000% due 06/20/16 75,200 92,399Bundesschatzanweisungen4.000% due 09/10/2010 87,000 87,913Republic of Germany5.625% due 01/04/2028 66,980 83,474Germany Treasury Bills6.250% due 01/04/2024 60,700 80,456Republic of Germany4.750% due 07/04/2034 58,000 65,207Bundesobligation2.500% due 10/08/2010 64,540 64,959Republic of Germany4.000% due 01/04/2037 60,810 62,423Republic of Germany5.000% due 07/04/2012 56,250 61,280Republic of Germany4.250% due 01/04/2014 36,000 39,295Bundesobligation4.000% due 10/11/2013 34,600 37,484Republic of Germany4.250% due 07/04/2039 32,000 34,435Bundesobligation2.250% due 11/04/2014 32,600 33,816Republic of Germany4.750% due 07/04/2040 25,500 29,439Republic of Germany3.750% due 01/04/2019 27,600 29,084Bundesobligation2.500% due 02/27/2015 28,300 28,975Republic of Germany5.250% due 07/04/2010 23,600 23,850Republic of Germany4.750% due 07/04/2028 20,200 23,052Republic of Germany4.000% due 01/04/2018 19,900 21,750Italy Treasury Bills4.000% due 04/15/2012 21,000 21,716Germany Treasury Bills0.000% due 01/26/2011 21,280 21,222Germany Treasury Bills0.000% due 12/08/2010 21,050 21,033Germany Treasury Bills0.000% due 06/30/2010 20,690 20,690Germany Treasury Bills0.000% due 09/15/2010 20,400 20,394Bundesschatzanweisungen2.250% due 12/10/2010 20,000 20,053Bundesschatzanweisungen1.250% due 03/11/2011 18,900 19,037Bundesschatzanweisungen1.250% due 12/16/2011 18,900 19,023Germany Treasury Bills0.320% due 03/30/2011 18,900 18,820Republic of Germany3.250% due 07/04/2015 17,740 18,625France Treasury Bills0.000% due 07/01/2010 18,400 18,378

DESCRIPTIONPAR

(000S)PROCEEDS

(000S)


Republic of Germany1.000% due 03/16/2012 € 589,300 € 590,269Republic of Germany5.000% due 01/04/2012 467,250 500,858Republic of Germany4.250% due 07/04/2018 91,360 100,162Republic of Germany6.000% due 06/20/2016 75,200 92,379Bundesschatzanweisungen4.000% due 09/10/2010 87,000 87,841Republic of Germany5.625% due 01/04/2028 66,980 83,456Germany Treasury Bills6.250% due 01/04/2024 60,700 80,445Republic of Germany4.750% due 07/04/2034 58,000 65,200Bundesobligation2.500% due 10/08/2010 64,540 64,947Republic of Germany4.000% due 01/04/2037 60,810 62,417Republic of Germany5.000% due 07/04/2012 50,750 55,321Republic of Germany3.500% due 07/04/2019 47,050 48,923Republic of Germany4.250% due 01/04/2014 36,000 39,206Bundesobligation4.000% due 10/11/2013 34,600 37,477Republic of Germany4.250% due 07/04/2039 32,000 34,432Bundesobligation2.250% due 04/11/2014 32,600 33,814Republic of Germany4.750% due 07/04/2040 25,500 29,436Republic of Germany3.750% due 01/04/2019 27,600 29,078Bundesobligation2.500% due 02/27/2015 28,300 28,973Republic of Germany5.250% due 07/04/2010 23,600 23,832Republic of Germany4.750% due 07/04/2028 20,200 23,049Republic of Germany4.000% due 01/04/2018 19,900 21,742Italy Treasury Bills4.000% due 04/15/2012 21,000 21,693Germany Treasury Bills0.000% due 01/26/2011 21,280 21,222France Treasury Notes1.500% due 09/12/2011 20,550 20,738Germany Treasury Bills0.000% due 09/15/2010 20,400 20,394Bundesschatzanweisungen2.250% due 12/10/2010 20,000 20,050Germany Treasury Bills0.000% due 06/30/2010 19,100 19,100Bundesschatzanweisungen1.250% due 03/11/2011 18,900 19,036Bundesschatzanweisungen1.250% due 12/16/2011 18,900 19,021Germany Treasury Bills0.320% due 03/30/2011 18,900 18,825Republic of Germany3.250% due 07/04/2015 17,740 18,623France Treasury Bills0.000% due 01/07/2010 18,400 18,381Germany Treasury Bills0.000% due 12/08/2010 17,390 17,379Institut Credito Oficial2.875% due 11/15/2013 17,400 17,039Germany Treasury Bills0.000% due 05/12/2010 17,000 16,985



DESCRIPTIONPAR

(000S)PROCEEDS

(000S)


Republic of Germany3.250% due 01/04/2020 € 16,600 € 16,953Kreditanstalt fuer Wiederaufbau1.250% due 06/17/2013 15,850 15,904France Treasury Bills0.000% due 09/16/2010 15,800 15,797




Portfolio of Investments and Assets Euro Bond Fund

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS



Pages Jaunes Group S.A.2.572% due 11/22/2013 € 6,200 € 5,316 0.55


BANKING & FINANCE

Aareal Bank AG2.625% due 03/26/2012 1,500 1,527 0.16Abbey National Treasury Services PLC2.500% due 03/18/2013 12,000 12,008 1.253.625% due 10/05/2017 3,600 3,501 0.36ABN Amro Bank NV2.750% due 10/29/2013 11,600 11,641 1.213.625% due 06/22/2020 3,400 3,342 0.354.250% due 03/01/2017 17,700 18,676 1.94AK Transneft OJSC Via TransCapitalInvest Ltd.6.103% due 06/27/2012 $ 5,000 3,957 0.41American General Finance Corp.4.125% due 11/29/2013 € 100 84 0.01American International Group, Inc.5.000% due 06/26/2017 1,000 945 0.105.000% due 04/26/2023 £ 1,500 1,454 0.155.750% due 03/15/2067 4,350 4,008 0.428.000% due 05/22/2038 € 4,700 4,559 0.47Arkle Master Issuer PLC3.986% due 08/17/2017 £ 500 563 0.06BA Covered Bond Issuer4.125% due 04/05/2012 € 1,650 1,690 0.184.250% due 04/05/2017 13,465 13,694 1.42Bank Nederlandse Gemeenten5.375% due 06/05/2013 8,900 9,677 1.01Bank of America Corp.1.246% due 05/18/2016 3,350 3,032 0.317.000% due 06/15/2016 5,200 5,649 0.59Bank of Scotland PLC3.375% due 12/05/2011 3,000 3,068 0.323.500% due 11/21/2011 4,100 4,183 0.443.875% due 01/15/2014 10,700 10,951 1.144.375% due 07/13/2016 1,400 1,436 0.154.500% due 10/23/2013 100 104 0.014.750% due 01/26/2015 16,850 17,677 1.84Barclays Bank PLC3.125% due 01/14/2015 2,500 2,528 0.266.000% due 01/14/2021 850 826 0.09BNP Paribas Home Loan Covered Bonds S.A.2.500% due 06/09/2015 400 396 0.04Cie de Financement Foncier3.875% due 04/25/2055 7,300 6,196 0.64Citibank Credit Card Issuance Trust5.375% due 04/11/2011 480 484 0.05Citigroup, Inc.5.150% due 05/21/2026 £ 700 719 0.075.500% due 10/15/2014 $ 650 527 0.056.500% due 08/16/2030 £ 9,100 10,421 1.09CL Capital Trust 17.047% due 04/29/2049 € 500 493 0.05Cooperatieve Centrale Raiffeisen-Boerenleenbank BA11.000% due 06/29/2049 $ 7,000 6,832 0.71Credit Agricole S.A.7.589% due 01/29/2049 £ 2,800 2,936 0.31Credit Mutuel Arkea Covered Bonds2.500% due 06/16/2015 € 3,200 3,139 0.33Danske Bank A/S3.750% due 06/23/2022 3,400 3,326 0.35Depfa ACS Bank4.875% due 05/21/2019 8,000 7,143 0.74DLR Kredit A/S4.000% due 01/01/2012 6,350 6,534 0.68DnB NORBank ASA7.250% due 06/23/2020 £ 200 260 0.03European Investment Bank3.500% due 04/15/2016 € 6,400 6,702 0.70

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

4.000% due 10/15/2037 € 1,250 € 1,252 0.134.375% due 04/15/2013 600 641 0.064.750% due 10/15/2017 7,800 8,647 0.90Export-Import Bank of Korea5.125% due 06/29/2020 $ 14,400 11,250 1.17FCE Bank PLC5.125% due 11/16/2015 £ 2,300 2,592 0.277.875% due 02/15/2011 7,900 9,223 0.96Fortis Bank Nederland NV1.509% due 06/10/2011 € 2,100 2,102 0.22Gazprom Via White Nights Finance BV10.500% due 03/25/2014 $ 5,400 4,860 0.51General Electric Capital Corp.4.000% due 06/15/2012 € 1,550 1,608 0.17German Postal Pensions Securitisation PLC2.750% due 01/18/2011 4,000 4,001 0.42GMAC International Finance BV7.500% due 04/21/2015 4,900 5,096 0.53Goldman Sachs Group, Inc.1.347% due 02/04/2013 100 97 0.011.393% due 01/30/2017 2,900 2,666 0.28HBOS Euro Finance LP7.627% due 12/29/2049 500 438 0.05HBOS PLC1.327% due 09/01/2016 6,866 5,808 0.607.627% due 12/09/2011 1,200 1,050 0.11HSBC Finance Corp.6.676% due 01/15/2021 $ 21,600 16,375 1.70HSBC Holdings PLC6.500% due 05/20/2024 £ 800 1,015 0.11ICICI Bank Ltd.5.000% due 01/15/2016 $ 3,500 2,676 0.28ING Bank NV2.250% due 08/31/2015 € 13,200 12,889 1.343.375% due 03/03/2014 8,800 9,185 0.963.375% due 03/23/2017 1,400 1,407 0.154.750% due 05/27/2019 7,700 8,317 0.86JPMorgan Chase & Co.4.250% due 10/15/2020 $ 3,100 2,271 0.24Kreditanstalt fuer Wiederaufbau1.875% due 11/16/2015 € 27,000 26,378 2.753.375% due 01/16/2012 200 205 0.023.875% due 01/21/2019 10,300 10,821 1.134.250% due 07/04/2014 3,500 3,790 0.39LBG Capital No.1 PLC6.439% due 05/23/2020 3,750 3,038 0.327.625% due 10/14/2020 1,200 1,056 0.117.867% due 12/17/2019 $ 4,000 4,056 0.427.869% due 08/25/2020 100 102 0.0111.040% due 03/19/2020 150 177 0.02LBG Capital No.2 PLC6.385% due 05/12/2020 € 2,400 1,956 0.219.334% due 02/07/2020 £ 1,500 1,660 0.17LeasePlan Corp. NV3.125% due 02/10/2012 € 15,500 15,821 1.653.250% due 05/22/2014 10,600 10,999 1.14Lloyds TSB Bank PLC1.179% due 06/09/2011 5,600 5,604 0.586.500% due 03/24/2020 3,700 3,410 0.36Merrill Lynch & Co., Inc.1.328% due 05/30/2014 2,500 2,347 0.241.466% due 07/22/2014 3,700 3,478 0.366.400% due 08/28/2017 $ 4,200 3,337 0.356.875% due 04/25/2018 1,400 1,151 0.12Morgan Stanley1.377% due 04/13/2016 € 4,150 3,732 0.391.407% due 01/16/2017 2,800 2,485 0.265.375% due 08/10/2020 200 193 0.02Nationwide Building Society2.875% due 09/14/2015 4,400 4,316 0.453.750% due 01/20/2015 950 934 0.103.875% due 12/05/2013 1,200 1,236 0.134.625% due 09/13/2012 1,700 1,763 0.18Nordea Kredit Realkreditaktieselskab2.000% due 01/01/2011 DKK 56,200 7,539 0.78

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Nykredit Realkredit A/S4.000% due 01/01/2012 € 6,000 € 6,141 0.644.000% due 01/01/2012 DKK 89,300 12,282 1.28OP Mortgage Bank3.125% due 11/19/2014 € 5,730 5,878 0.61PCCW-HKT Capital No. 2 Ltd.6.000% due 07/15/2013 $ 6,500 5,273 0.55Realkredit Danmark A/S2.000% due 01/01/2011 DKK 234,600 31,470 3.272.000% due 01/01/2012 51,900 7,012 0.735.000% due 10/01/2041 607 82 0.01Royal Bank of Scotland NV1.002% due 03/09/2015 $ 7,800 4,868 0.51Royal Bank of Scotland PLC3.000% due 09/08/2015 € 21,400 21,047 2.193.750% due 11/14/2011 3,350 3,425 0.363.875% due 10/19/2020 9,500 8,969 0.93SNS Bank NV3.500% due 03/10/2014 9,700 10,182 1.06Societe Generale5.922% due 04/29/2049 $ 100 66 0.019.375% due 09/29/2049 € 1,400 1,478 0.15Sparebanken 1 Boligkreditt3.250% due 03/17/2017 4,600 4,620 0.48Stadshypotek AB3.000% due 10/01/2014 9,100 9,308 0.97State Bank of India4.500% due 11/30/2015 3,200 3,215 0.33Swedbank AB1.593% due 04/30/2012 12,800 12,899 1.343.125% due 02/02/2012 600 613 0.073.375% due 05/27/2014 13,000 13,563 1.41Swedbank Hypotek AB2.500% due 06/15/2015 2,300 2,274 0.243.625% due 10/05/2016 2,400 2,460 0.25Swedish Covered Bond Corp.3.250% due 03/30/2017 15,400 15,453 1.61UBS AG6.375% due 07/20/2016 £ 2,100 2,665 0.28UPCB Finance Ltd.7.625% due 01/15/2020 € 3,000 3,165 0.33Wells Fargo Bank N.A.6.000% due 05/23/2013 5,300 5,733 0.60WM Covered Bond Program3.875% due 09/27/2011 4,300 4,371 0.464.000% due 09/27/2016 6,500 6,619 0.694.375% due 05/19/2014 19,800 20,690 2.15Yorkshire Building Society4.000% due 11/07/2011 6,800 6,891 0.72

666,650 69.41

INDUSTRIALS

CSN Resources S.A.6.500% due 07/21/2020 $ 300 238 0.03Daimler International Finance BV9.000% due 01/30/2012 € 5,000 5,384 0.56Hanson Australia Funding Ltd.5.250% due 03/15/2013 $ 7,500 5,788 0.60HeidelbergCement Finance BV7.625% due 01/25/2012 € 1,500 1,582 0.16Limited Brands, Inc.6.900% due 07/15/2017 $ 7,000 5,626 0.59Pemex Project Funding Master Trust5.500% due 02/24/2025 € 350 342 0.04Peugeot S.A.5.625% due 06/29/2015 1,000 1,031 0.11Rhodia S.A.3.735% due 10/15/2013 984 984 0.10Ryland Group, Inc.6.625% due 05/01/2020 $ 5,000 3,746 0.39SAP AG1.750% due 02/06/2012 € 12,500 12,518 1.30Sinochem Overseas Capital Co. Ltd.4.500% due 11/12/2020 $ 800 596 0.06


31 December 2010

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Tate & Lyle International Finance PLC5.000% due 11/15/2014 $ 4,600 € 3,591 0.37Volkswagen International Finance NV5.625% due 02/09/2012 € 11,000 11,521 1.20

52,947 5.51

UTILITIES

BP Capital Markets PLC3.830% due 10/06/2017 2,000 2,003 0.21EDF S.A.6.250% due 01/25/2021 100 118 0.01Gazprom OAO Via Morgan Stanley Bank AG9.625% due 03/01/2013 $ 6,700 5,728 0.60Gazprom Via Gaz Capital S.A.8.125% due 07/31/2014 1,800 1,539 0.16Ras Laffan Liquefied Natural Gas Co. Ltd. III5.832% due 09/30/2016 3,480 2,824 0.30TDC A/S6.500% due 04/19/2012 € 3,200 3,376 0.35

15,588 1.63



Buckeye, Ohio, Tobacco Settlement FinancingAuthority Revenue Bonds, Series 2007

6.000% due 06/01/2042 $ 2,800 1,441 0.15


Fannie Mae0.321% due 07/25/2037 101 75 0.011.984% due 01/01/2035 362 279 0.032.073% due 01/01/2035 337 261 0.034.000% due 09/01/2040 -

02/01/2041 31,239 23,271 2.424.350% due 11/25/2034 1,000 770 0.084.500% due 01/01/2041 4,000 3,077 0.325.000% due 04/25/2035 666 509 0.05

28,242 2.94


US Treasury Bills0.132% due 01/13/2011 (a) 250 188 0.02US Treasury Notes1.000% due 07/31/2011 5,728 4,333 0.451.125% due 06/30/2011 (b) 989 748 0.08

5,269 0.55


American Home Mortgage Investment Trust1.957% due 09/25/2045 206 136 0.01Arena BV1.147% due 10/17/2051 € 490 481 0.05Arkle Master Issuer PLC1.434% due 05/17/2060 $ 8,300 6,214 0.652.548% due 05/17/2060 € 2,500 2,500 0.26Arran Residential Mortgages Funding PLC2.203% due 05/16/2047 10,400 10,394 1.082.403% due 05/16/2047 5,900 5,882 0.62Atomium Mortgage Finance BV1.000% due 07/01/2034 130 125 0.01Bear Stearns Adjustable Rate Mortgage Trust2.330% due 08/25/2035 $ 23 17 0.002.560% due 10/25/2035 497 337 0.042.711% due 07/25/2033 106 79 0.012.730% due 03/25/2035 29 21 0.003.108% due 07/25/2036 2,688 1,487 0.15Bear Stearns Structured Products, Inc.5.339% due 12/26/2046 329 175 0.02Beluga Master Issuer BV1.167% due 04/28/2099 € 100 98 0.01Citigroup Mortgage Loan Trust, Inc.3.059% due 03/25/2034 $ 17 13 0.00Countrywide Alternative Loan Trust0.591% due 11/20/2035 319 148 0.02

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

1.328% due 12/25/2035 $ 30 € 15 0.006.000% due 10/25/2017 301 225 0.026.000% due 03/25/2036 996 614 0.06Countrywide Home Loan Mortgage Pass-Through Trust0.581% due 03/25/2035 1,018 482 0.053.431% due 04/25/2035 471 240 0.03DECO Series1.292% due 07/27/2014 € 44 44 0.00Delphinus BV1.135% due 09/25/2096 100 99 0.01Dutch Mortgage Portfolio Loans BV1.291% due 11/20/2035 3,278 3,187 0.33EMF-NL1.737% due 04/17/2041 721 699 0.07FCC Proudreed Properties1.276% due 08/18/2017 490 443 0.05First Horizon Alternative Mortgage Securities2.604% due 03/25/2035 $ 167 89 0.01Fosse Master Issuer PLC2.369% due 10/18/2054 £ 8,500 9,882 1.03Granite Master Issuer PLC0.913% due 12/17/2054 € 165 153 0.010.913% due 12/20/2054 9,895 9,186 0.960.923% due 12/20/2054 2,753 2,558 0.27Granite Mortgages PLC1.380% due 01/20/2044 59 56 0.01Great Hall Mortgages PLC1.154% due 03/18/2039 1,586 1,357 0.14GSR Mortgage Loan Trust2.825% due 09/25/2035 $ 654 473 0.052.964% due 01/25/2036 53 31 0.00Holmes Master Issuer PLC2.353% due 10/15/2054 € 4,700 4,703 0.49Mansard Mortgages PLC1.399% due 12/15/2049 £ 2,105 2,076 0.22Mound Financing PLC1.170% due 02/08/2042 € 6,100 5,953 0.62Newgate Funding PLC1.626% due 12/15/2050 5,600 4,710 0.49Opera Finance PLC1.226% due 01/22/2015 4,295 4,069 0.42Permanent Master Issuer PLC0.399% due 07/15/2033 $ 5,900 4,329 0.450.840% due 10/15/2033 £ 700 786 0.091.075% due 10/15/2033 € 700 689 0.072.685% due 07/15/2042 6,500 6,536 0.68Real Estate Capital PLC0.987% due 10/20/2014 £ 400 442 0.05Residential Accredit Loans, Inc.0.441% due 06/25/2046 $ 58 18 0.00Silverstone Master Issuer PLC2.187% due 01/21/2055 £ 3,200 3,707 0.39Stichting Eleven Cities2.441% due 05/20/2080 € 4,026 4,001 0.42Storm BV1.172% due 06/22/2046 3,028 3,012 0.31Structured Asset Mortgage Investments, Inc.0.511% due 07/19/2035 $ 48 32 0.00WaMu Mortgage Pass-Through Certificates0.000% due 12/25/2027 (c) 1,108 46 0.000.801% due 12/25/2027 1,090 729 0.081.728% due 06/25/2042 18 11 0.00

103,789 10.81


Asset-Backed European Securitisation Transaction Srl1.711% due 09/21/2020 € 9,197 9,202 0.96Bumper 2 S.A.2.524% due 06/20/2022 1,664 1,668 0.17Business Mortgage Finance PLC0.928% due 02/15/2039 £ 1,257 1,255 0.13Conseco Finance Securitizations Corp.7.970% due 05/01/2032 $ 538 312 0.03

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Globaldrive BV3.000% due 07/20/2015 € 3,070 € 3,079 0.324.000% due 10/20/2016 1,525 1,546 0.16Magnolia Funding Ltd.3.000% due 04/20/2017 4,892 4,875 0.51MBNA Credit Card Master Note Trust5.600% due 07/17/2014 380 392 0.04Renaissance Home Equity Loan Trust0.761% due 12/25/2033 $ 110 71 0.01

22,400 2.33

SOVEREIGN ISSUES

Banco Nacional de Desenvolvimento Economico eSocial

4.125% due 09/15/2017 € 3,000 2,940 0.31Belgium Government Bond2.750% due 03/28/2016 10,900 10,581 1.103.750% due 09/28/2020 13,350 13,103 1.374.250% due 03/28/2041 13,300 12,894 1.34Brazil Notas do Tesouro Nacional Series F10.000% due

01/01/2021 BRL 112,500 44,838 4.67Gemeinsame Deutsche Bundeslaender2.000% due 06/02/2015 € 2,900 2,867 0.30Italy Buoni Poliennali Del Tesoro3.000% due 06/15/2015 43,200 41,959 4.375.000% due 03/01/2025 2,200 2,196 0.23Kingdom of Morocco4.500% due 10/05/2020 6,300 6,043 0.63Province of Ontario Canada4.000% due 12/03/2019 14,500 15,125 1.57Province of Quebec Canada3.625% due 02/10/2015 800 835 0.095.000% due 04/29/2019 6,800 7,640 0.79Republic of Germany3.250% due 07/04/2015 15,800 16,794 1.754.750% due 07/04/2040 2,950 3,655 0.38

181,470 18.90



(Dated 12/30/2010.Collateralised by USTreasury Notes1.000% due03/31/2012 valued at$11,350. Repurchaseproceeds are$11,100.) $ 11,100 8,357 0.87

Royal Bank of Scotland PLC0.420% due 01/03/2011

(Dated 12/30/2010.Collateralised byGermany TreasuryBills 0.000% due05/18/2011 valued at€11,335. Repurchaseproceeds are€11,331.) € 11,330 11,330 1.18

19,687 2.05

Total Transferable Securities &Money Market Instruments -Official Stock Exchange/Regulated Market € 1,102,799 114.83


Portfolio of Investments and Assets Euro Bond Fund (Cont.)


FUTURES


Month# of

ContractsUnrealised

(Depreciation)% of

Net Assets

3-Month Euribor Interest Rate September Futures Long 09/2012 324 € (299) (0.03)

Total Financial Derivative Instruments Dealt in on a Regulated Market € (299) (0.03)


WRITTEN OPTIONS


ExerciseRate

ExpirationDate


FairValue

% ofNet Assets


Put - OTC 2-Year Interest Rate Swap BOA 6-Month EUR-LIBOR Pay 2.500% 09/19/2012 € 59,700 € (352) € (659) (0.07)Put - OTC 2-Year Interest Rate Swap JPM 6-Month EUR-LIBOR Pay 2.500% 09/19/2012 54,900 (299) (606) (0.06)Put - OTC 2-Year Interest Rate Swap RBS 6-Month EUR-LIBOR Pay 2.500% 09/19/2012 27,300 (162) (301) (0.03)Call - OTC 1-Year Interest Rate Swap BOA 3-Month GBP-LIBOR Receive 1.250% 06/15/2011 £ 65,700 (144) (217) (0.02)Call - OTC 1-Year Interest Rate Swap CITI 3-Month GBP-LIBOR Receive 1.250% 06/15/2011 32,600 (73) (108) (0.01)Put - OTC 5-Year Interest Rate Swap DUB 6-Month GBP-LIBOR Pay 2.600% 03/29/2011 9,200 (62) (175) (0.02)Put - OTC 5-Year Interest Rate Swap GSC 6-Month GBP-LIBOR Pay 2.600% 03/29/2011 8,200 (56) (156) (0.02)Put - OTC 5-Year Interest Rate Swap JPM 6-Month GBP-LIBOR Pay 2.600% 03/28/2011 23,200 (170) (440) (0.05)Put - OTC 2-Year Interest Rate Swap BOA 3-Month USD-LIBOR Pay 2.250% 09/24/2012 $ 22,200 (92) (237) (0.03)Put - OTC 2-Year Interest Rate Swap CITI 3-Month USD-LIBOR Pay 2.250% 09/24/2012 1,400 (7) (15) 0.00Put - OTC 10-Year Interest Rate Swap DUB 3-Month USD-LIBOR Pay 10.000% 07/10/2012 11,500 (52) (6) 0.00Put - OTC 2-Year Interest Rate Swap RBS 3-Month USD-LIBOR Pay 2.250% 09/24/2012 81,100 (484) (865) (0.09)Call - OTC 10-Year Interest Rate Swap SOG 3-Month USD-LIBOR Receive 3.250% 01/24/2011 12,500 (56) (32) 0.00

€ (2,009) € (3,817) (0.40)


ExpirationDate


FairValue

% ofNet Assets

STRADDLE OPTIONS

Call & Put 1-Year vs. 1-Year Forward Volatility Agreement GSC 0.000 10/11/2011 $ 16,500 € (62) € (101) (0.01)Call & Put 1-Year vs. 1-Year Forward Volatility Agreement JPM 0.000 10/11/2011 7,700 (28) (47) 0.00Call & Put 1-Year vs. 2-Year Forward Volatility Agreement MSC 0.000 10/11/2011 27,000 (214) (340) (0.04)Call & Put 1-Year vs. 2-Year Forward Volatility Agreement MSC 0.000 11/14/2011 18,700 (145) (231) (0.02)

€ (449) € (719) (0.07)




NotionalAmount(3)

FairValue

UpfrontPremiums

Paid/(Received)


% ofNet Assets

Ally Financial, Inc. (5.000%) 06/20/2015 BOA € 800 € (84) € (61) € (23) (0.01)Ally Financial, Inc. (5.000%) 06/20/2015 GSC 4,100 (431) (322) (109) (0.04)FCE Bank PLC (5.000%) 03/20/2011 SOG £ 5,000 (60) (145) 85 (0.01)Hanson Ltd. (1.000%) 03/20/2013 BCLY $ 2,500 8 0 8 0.00Hanson Ltd. (1.000%) 03/20/2013 DUB 5,000 17 (11) 28 0.00Limited Brands, Inc. (1.000%) 09/20/2017 BOA 7,700 248 452 (204) 0.03Morgan Stanley (1.000%) 06/20/2016 DUB € 3,650 127 79 48 0.01PCCW-HKT Capital No. 2 Ltd. (0.595%) 06/20/2013 BNP $ 6,500 13 0 13 0.00Ryland Group, Inc. (5.000%) 06/20/2020 BNP 4,500 (602) (659) 57 (0.06)Tate & Lyle International Finance PLC (0.450%) 09/20/2014 DUB 4,600 40 0 40 0.00TDS A/S (1.000%) 06/20/2012 HSBC € 3,200 (31) (18) (13) 0.00

€ (755) € (685) € (70) (0.08)




FairValue

UpfrontPremiums

Paid/(Received)


% ofNet Assets

Abu Dhabi Government International Bond 1.000% 12/20/2014 BCLY $ 3,700 € 24 € (103) €127 0.00Abu Dhabi Government International Bond 1.000% 12/20/2014 CITI 2,200 14 (50) 64 0.00Abu Dhabi Government International Bond 1.000% 12/20/2014 GSC 1,900 12 (49) 61 0.00Abu Dhabi Government International Bond 1.000% 12/20/2014 MSC 5,300 35 (116) 151 0.00Abu Dhabi Government International Bond 1.000% 12/20/2014 UBS 600 4 (16) 20 0.00Australia Government Bond 1.000% 12/20/2014 CITI 8,400 141 172 (31) 0.01Australia Government Bond 1.000% 12/20/2015 DUB 10,700 199 193 6 0.02Australia Government Bond 1.000% 12/20/2015 MSC 2,800 52 47 5 0.01BP Capital Markets America, Inc. 5.000% 06/20/2015 DUB 400 55 12 43 0.01BP Capital Markets America, Inc. 5.000% 09/20/2015 GSC 1,100 156 14 142 0.02China Government International Bond 1.000% 06/20/2015 BNP 3,500 45 31 14 0.00China Government International Bond 1.000% 06/20/2015 RBS 6,000 77 66 11 0.01


31 December 2010



FairValue

UpfrontPremiums

Paid/(Received)


% ofNet Assets

France Government Bond 0.250% 06/20/2015 BOA $ 6,600 € (156) € (127) € (29) (0.02)France Government Bond 0.250% 12/20/2015 BOA 23,700 (663) (443) (220) (0.07)France Government Bond 0.250% 06/20/2015 CITI 8,700 (206) (124) (82) (0.02)France Government Bond 0.250% 12/20/2015 CITI 10,050 (281) (174) (107) (0.03)France Government Bond 0.250% 06/20/2015 DUB 6,300 (149) (188) 39 (0.02)France Government Bond 0.250% 12/20/2015 GSC 10,500 (294) (302) 8 (0.03)France Government Bond 0.250% 12/20/2015 RBS 12,800 (358) (177) (181) (0.04)General Electric Capital Corp. 5.000% 09/20/2014 DUB 2,800 293 123 170 0.03ING Verzekeringen NV 1.400% 06/20/2011 DUB € 6,200 0 0 0 0.00Japan Government International Bond 1.000% 06/20/2015 GSC $ 7,100 86 93 (7) 0.01Japan Government International Bond 1.000% 03/20/2016 GSC 2,500 26 28 (2) 0.00Japan Government International Bond 1.000% 03/20/2016 RBS 6,400 68 70 (2) 0.01Netherlands Government Bond 0.250% 12/20/2015 SOG 11,100 (139) (141) 2 (0.01)Republic of Germany 0.250% 06/20/2015 CITI 5,600 (50) (69) 19 0.00Republic of Germany 0.250% 06/20/2015 MSC 2,900 (26) (31) 5 0.00Republic of Germany 0.250% 06/20/2015 UBS 11,500 (103) (133) 30 (0.01)Republic of Korea 1.000% 03/20/2011 CITI 700 1 3 (2) 0.00Republic of Korea 1.000% 06/20/2015 UBS 3,900 13 (104) 117 0.00Swedbank AB 3.000% 12/20/2014 DUB € 2,300 158 48 110 0.02Tesco PLC 1.000% 12/20/2015 BCLY 3,200 41 22 19 0.00Tesco PLC 1.000% 12/20/2015 BOA 1,200 15 7 8 0.00United Kingdom Gilt 1.000% 06/20/2015 BNP $ 6,200 69 23 46 0.01United Kingdom Gilt 1.000% 06/20/2015 BOA 2,700 30 20 10 0.00United Kingdom Gilt 1.000% 12/20/2015 BOA 17,100 181 280 (99) 0.02United Kingdom Gilt 1.000% 03/20/2015 DUB 8,100 93 58 35 0.01United Kingdom Gilt 1.000% 12/20/2014 GSC 7,000 81 45 36 0.01United Kingdom Gilt 1.000% 06/20/2015 GSC 3,600 40 33 7 0.00United Kingdom Gilt 1.000% 12/20/2015 GSC 25,300 267 379 (112) 0.03United Kingdom Gilt 1.000% 06/20/2015 UBS 6,300 70 34 36 0.01US Treasury Notes 0.250% 12/20/2014 BNP € 7,000 (20) (27) 7 0.00

€ (99) € (573) € 474 (0.01)




FairValue

UpfrontPremiums


Appreciation% of

Net Assets

Dow Jones CDX N.A. IG15 Index 1.000% 12/20/2015 DUB $ 19,100 € 106 € 69 € 37 0.01




INTEREST RATE SWAPS



NotionalAmount

FairValue

UpfrontPremiums

Paid/(Received)


% ofNet Assets

Pay 6-Month EUR-LIBOR 2.000% 03/16/2016 BCLY € 111,500 € (3,208) € (1,295) € (1,913) (0.33)Pay 6-Month EUR-LIBOR 2.000% 03/16/2016 DUB 20,000 (576) (488) (88) (0.06)Pay 6-Month EUR-LIBOR 3.000% 03/16/2021 MSC 22,000 (712) (334) (378) (0.07)Pay 6-Month JPY-LIBOR 1.500% 06/15/2021 CSFB JPY 160,000 36 22 14 0.00Pay 6-Month JPY-LIBOR 1.500% 06/15/2021 RBS 50,000 11 6 5 0.00Pay BRL-CDI-Compounded 11.390% 01/02/2012 BNP BRL 6,300 14 6 8 0.00

€ (4,435) € (2,083) € (2,352) (0.46)


Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Buy AUD 8,521 BCLY 01/2011 € 126 € 0 € 126 0.01Buy 21,624 BOA 01/2011 485 0 485 0.05Sell 17,042 RBS 02/2011 0 (308) (308) (0.03)Buy BRL 7,899 MSC 02/2011 172 0 172 0.02Sell 37,853 RBS 02/2011 0 (1,432) (1,432) (0.15)Sell 77,579 CITI 03/2011 0 (2,072) (2,072) (0.21)Buy 6,289 JPM 04/2011 33 0 33 0.00Buy CAD 18,235 MSC 02/2011 66 0 66 0.01Sell CHF 741 CITI 02/2011 0 (42) (42) 0.00Buy 1,000 CSFB 02/2011 33 0 33 0.00Sell 97 RBC 02/2011 0 (8) (8) 0.00Buy CNY 98,035 BCLY 01/2011 1,257 0 1,257 0.13



Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Sell CNY 107,661 BCLY 01/2011 € 0 € (83) € (83) (0.01)Buy 13,679 BOA 01/2011 118 0 118 0.01Buy 12,366 CITI 01/2011 0 (18) (18) 0.00Buy 28,306 DUB 01/2011 0 (123) (123) (0.01)Sell 11,000 DUB 01/2011 0 (14) (14) 0.00Buy 10,896 JPM 01/2011 140 0 140 0.01Sell 30,016 JPM 01/2011 5 (5) 0 0.00Buy 24,368 MSC 01/2011 210 0 210 0.02Sell 38,975 RBS 01/2011 0 (172) (172) (0.02)Sell 38,326 BCLY 04/2011 248 0 248 0.03Sell 2,213 JPM 04/2011 14 0 14 0.00Buy 11,000 DUB 02/2012 49 0 49 0.01Buy 30,016 JPM 02/2012 93 0 93 0.01Sell DKK 401,700 BCLY 01/2011 0 (145) (145) (0.02)Buy 302,200 JPM 01/2011 0 (12) (12) 0.00Sell 61,972 RBC 02/2011 0 (8) (8) 0.00Buy 509 RBS 02/2011 0 0 0 0.00Sell 141,200 JPM 01/2012 0 (3) (3) 0.00Buy £ 2,100 GSC 02/2011 0 (75) (75) (0.01)Sell 2,210 GSC 02/2011 47 0 47 0.01Sell 53,933 RBS 02/2011 1,420 0 1,420 0.15Buy KRW 1,606,800 BCLY 05/2011 28 0 28 0.00Buy 15,666,900 CITI 05/2011 409 0 409 0.04Buy 1,294,878 GSC 05/2011 26 0 26 0.00Buy 3,032,000 HSBC 05/2011 64 0 64 0.01Buy 6,992,300 JPM 05/2011 167 0 167 0.02Sell 8,799,280 JPM 05/2011 0 (56) (56) (0.01)Buy 6,079,000 RBS 05/2011 170 0 170 0.02Buy MXN 120,836 JPM 02/2011 21 0 21 0.00Buy MYR 7,760 BCLY 02/2011 73 0 73 0.01Buy 2,720 CITI 02/2011 24 0 24 0.00Buy 4,790 DUB 02/2011 55 0 55 0.01Buy 24,048 JPM 02/2011 126 0 126 0.01Buy 2,540 RBS 02/2011 20 0 20 0.00Sell 41,781 RBS 02/2011 0 (551) (551) (0.06)Buy PHP 72,300 CITI 06/2011 56 0 56 0.01Sell 79,260 CITI 06/2011 0 (62) (62) (0.01)Sell SGD 16,544 BNP 03/2011 0 (88) (88) (0.01)Buy 13,220 BOA 03/2011 29 0 29 0.00Buy 3,262 DUB 03/2011 20 0 20 0.00Buy 2,740 JPM 03/2011 5 0 5 0.00Buy 3,290 RBS 03/2011 0 0 0 0.00Buy 21,201 DUB 06/2011 716 0 716 0.08Sell TWD 219,205 DUB 01/2011 0 (175) (175) (0.02)Buy 219,205 RBS 01/2011 490 0 490 0.05Buy 219,205 DUB 04/2011 261 0 261 0.03Buy 631,701 JPM 04/2011 1,678 0 1,678 0.17Sell 371,070 JPM 04/2011 0 (128) (128) (0.01)Buy 271,489 RBS 04/2011 721 0 721 0.08Buy $ 37,572 BCLY 01/2011 196 (72) 124 0.01Sell 23,150 BCLY 01/2011 61 (1,222) (1,161) (0.12)Buy 10,000 BNP 01/2011 0 (11) (11) 0.00Sell 22,646 BOA 01/2011 442 (109) 333 0.03Buy 20,321 CITI 01/2011 0 (112) (112) (0.01)Sell 363,285 CITI 01/2011 65 (5,159) (5,094) (0.53)Buy 2,570 CSFB 01/2011 0 (12) (12) 0.00Sell 9,610 CSFB 01/2011 55 0 55 0.01Buy 8,975 DUB 01/2011 38 0 38 0.00Sell 10,214 DUB 01/2011 178 (21) 157 0.02Sell 11,210 GSC 01/2011 98 0 98 0.01Buy 4,499 JPM 01/2011 0 (36) (36) 0.00Sell 11,646 JPM 01/2011 103 (137) (34) 0.00Sell 3,670 MSC 01/2011 0 (195) (195) (0.02)Sell 2,982 RBC 01/2011 0 (96) (96) (0.01)Buy 31,110 RBS 01/2011 669 0 669 0.07Sell 11,000 RBS 01/2011 0 (202) (202) (0.02)Sell 2,500 BCLY 02/2011 0 (58) (58) (0.01)Buy 770 CITI 02/2011 26 0 26 0.00Sell 877 CITI 02/2011 0 (19) (19) 0.00Sell 1,543 DUB 02/2011 0 (47) (47) (0.01)Buy 4,100 GSC 02/2011 0 (21) (21) 0.00Sell 17,433 JPM 02/2011 0 (73) (73) (0.01)Sell 22,676 MSC 02/2011 69 (114) (45) (0.01)Buy 11,631 RBC 02/2011 383 0 383 0.04Buy 137,248 RBS 02/2011 1,553 (61) 1,492 0.16Sell 911 RBS 02/2011 0 (17) (17) 0.00Buy 12,600 BNP 03/2011 0 (93) (93) (0.01)Sell 9,831 BOA 03/2011 295 0 295 0.03Buy 45,490 CITI 03/2011 1,670 0 1,670 0.17Sell 2,440 DUB 03/2011 49 0 49 0.00Sell 2,033 JPM 03/2011 66 0 66 0.01


31 December 2010

Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Sell $ 2,443 RBS 03/2011 € 84 € 0 € 84 0.01Buy 5,710 BCLY 04/2011 0 (345) (345) (0.04)Sell 7,379 DUB 04/2011 0 (82) (82) (0.01)Buy 12,930 JPM 04/2011 0 (112) (112) (0.01)Sell 24,346 JPM 04/2011 46 (773) (727) (0.08)Sell 8,900 RBS 04/2011 0 (320) (320) (0.03)Sell 1,430 BCLY 05/2011 0 (40) (40) 0.00Sell 13,934 CITI 05/2011 0 (515) (515) (0.05)Sell 1,141 GSC 05/2011 0 (27) (27) 0.00Sell 2,701 HSBC 05/2011 0 (87) (87) (0.01)Buy 7,600 JPM 05/2011 0 (55) (55) (0.01)Sell 6,166 JPM 05/2011 0 (174) (174) (0.02)Sell 5,373 RBS 05/2011 0 (186) (186) (0.02)Buy 1,805 CITI 06/2011 51 0 51 0.00Sell 1,644 CITI 06/2011 0 (44) (44) 0.00Sell 16,295 DUB 06/2011 0 (594) (594) (0.06)Buy 16,404 CITI 08/2011 0 (132) (132) (0.01)Sell 1,698 DUB 02/2012 0 (40) (40) 0.00Sell 4,608 JPM 02/2012 0 (51) (51) (0.01)

€ 15,872 € (17,044) € (1,172) (0.12)


Total Investments € 1,091,609 113.67

DESCRIPTION PAR (000S)

FAIRVALUE(000S)

% OFNET

ASSETS


BNP Paribas Bank0.088% due 12/31/2010 € 12,331 € 12,331 1.28Brown Brothers Harriman & Co.0.050% due 01/03/2011 DKK 2 0 0.000.667% due 12/31/2010 NOK 3 0 0.00Credit Suisse AG0.005% due 12/31/2010 CHF 67 54 0.01HSBC Bank0.005% due 01/04/2011 JPY 2,224 21 0.00JPMorgan Chase & Co.0.070% due 12/31/2010 £ 19 22 0.00Nordea Bank AB0.030% due 12/31/2010 $ 2,033 1,531 0.16Total Overnight Time Deposits € 13,959 1.45Other Current Assets & Liabilities € (145,153) (15.12)Net Assets € 960,415 100.00


(a) Securities with an aggregate market value of €188 and cash of €14,358 have been pledged as collateral for swap, swaption and foreign currency contracts as governed by International Swaps andDerivatives Association, Inc. Master Agreements as at 31 December 2010.

(b) Securities with an aggregate market value of €381 have been segregated with the Custodian to cover margin requirements for the open futures contracts as at 31 December 2010.

(c) Interest only security.

(d) Cash with an aggregate value of €489 has been pledged as collateral for delayed-delivery securities as governed by Master Securities Forward Transaction Agreements as at 31 December 2010.



Category3




(Level 2)



Transferable Securities € 0 € 1,102,753 € 46 € 1,102,799Financial Derivative Instruments4 (299) (10,172) (719) (11,190)Totals € (299) € 1,092,581 € (673) € 1,091,609




Category3

StartingBalance

at 31-Dec-2009Net

Purchases5Net

Sales5


RealisedGains/

(Losses)




Level 3

EndingBalance

at 31-Dec-2010




Transferable Securities € 0 € 0 € 0 € 0 € 0 € 46 € 0 € 46 € 46Financial DerivativeInstruments4 328 (448) 0 0 0 (599) 0 (719) (269)Totals € 328 € (448) € 0 € 0 € 0 € (553) € 0 € (673) € (223)


Category3




(Level 2)



Transferable Securities € 0 € 1,089,284 € 0 € 1,089,284Financial Derivative Instruments4 (892) 1,423 328 859Totals € (892) € 1,090,707 € 328 € 1,090,143


Category3

StartingBalance

at 31-Dec-2008Net

Purchases5Net

Sales5


RealisedGains/

(Losses)




Level 3

EndingBalance

at 31-Dec-2009




Transferable Securities € 1,450 € 0 € 0 € 37 € 0 € 956 € (2,443) € 0 € 0Financial Derivative Instruments4 563 0 0 0 0 (235) 0 328 (235)Total € 2,013 € 0 € 0 € 37 € 0 € 721 € (2,443) € 328 € (235)





Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Sell CHF 22,538 CITI 01/2011 € 0 € (65) € (65) (0.01)Buy 23,678 JPM 01/2011 980 0 980 0.10Sell 300 BCLY 02/2011 0 (1) (1) 0.00Buy 22,524 CITI 02/2011 61 0 61 0.01

€ 1,041 € (66) € 975 0.10


Significant Changes in Portfolio Composition Euro Bond Fund (Unaudited)31 December 2010

DESCRIPTIONPAR

(000S)COST(000S)


Republic of Germany3.250% due 01/04/2020 € 483,000 € 487,728Republic of Germany3.750% due 01/04/2019 370,400 398,182Republic of Germany3.750% due 01/04/2015 311,680 333,319Italy Buoni Poliennali Del Tesoro4.250% due 02/01/2015 301,700 321,480Republic of Germany4.000% due 01/04/2018 159,500 175,333Bundesobligation2.500% due 02/27/2015 157,660 161,703Italy Buoni Poliennali Del Tesoro5.000% due 03/01/2025 113,700 120,087Republic of Germany3.500% due 07/04/2019 108,400 115,864Belgium Government Bond2.750% due 03/28/2016 102,700 103,775United Kingdom Gilt4.750% due 09/07/2015 £ 74,400 100,593Italy Buoni Poliennali Del Tesoro3.000% due 06/15/2015 € 96,600 98,063Republic of Germany4.250% due 07/04/2018 85,900 94,430Republic of Germany3.250% due 07/04/2015 83,450 89,067Bundesobligation4.250% due 10/12/2012 69,800 75,762Republic of Austria4.300% due 09/15/2017 65,700 72,566Republic of Germany6.500% due 07/04/2027 50,218 65,976Netherlands Government Bond4.000% due 07/15/2018 58,200 64,062Republic of Germany3.500% due 01/04/2016 55,250 59,537Republic of Germany5.625% due 01/04/2028 47,597 58,870Italy Buoni Poliennali Del Tesoro3.500% due 06/01/2014 54,700 56,915Republic of Germany3.000% due 07/04/2020 51,000 53,551Kreditanstalt fuer Wiederaufbau1.875% due 11/16/2015 54,000 52,431Republic of Germany5.500% due 01/04/2031 42,391 51,093France Government Bond4.000% due 04/25/2060 46,900 50,554Republic of Germany3.750% due 01/04/2019 44,700 49,337Brazil Notas do Tesouro Nacional Series F10.000% due 01/01/2021 BRL 118,000 47,929Ireland Government Bond5.400% due 03/13/2025 € 47,600 47,831Republic of Germany4.000% due 01/04/2037 46,100 47,322Belgium Government Bond3.750% due 09/28/2020 39,950 42,130Italy Buoni Poliennali Del Tesoro5.000% due 09/01/2040 40,300 41,581Republic of Germany4.750% due 07/04/2034 32,900 40,394Brazil Notas do Tesouro Nacional Series F10.000% due 01/01/2017 BRL 104,000 40,170Republic of Germany4.250% due 07/04/2017 € 36,700 40,119Republic of Germany3.750% due 07/04/2013 35,100 37,862Republic of Germany5.250% due 07/04/2010 36,900 37,187Bundesobligation3.500% due 04/08/2011 36,200 37,040

DESCRIPTIONPAR

(000S)COST(000S)

Germany Treasury Bills0.000% due 02/23/2011 € 35,000 € 34,955Belgium Government Bond4.250% due 03/28/2041 26,600 29,551Spanish Government Bond4.100% due 07/30/2018 28,300 28,956US Treasury Notes1.000% due 07/31/2011 $ 37,267 28,832Bundesschatzanweisungen4.000% due 09/10/2010 € 27,555 28,001

PROCEEDS(000S)


Republic of Germany3.250% due 01/04/2020 € 499,800 505,019Republic of Germany3.750% due 01/04/2019 370,400 399,946Republic of Germany3.750% due 01/04/2015 311,680 334,084Italy Buoni Poliennali Del Tesoro4.250% due 02/01/2015 301,700 319,639Republic of Germany4.000% due 01/04/2018 159,500 175,295Bundesobligation2.500% due 02/27/2015 157,660 161,636Italy Buoni Poliennali Del Tesoro5.000% due 03/01/2025 111,500 117,737Republic of Germany3.500% due 07/04/2019 108,400 114,098Republic of Germany4.250% due 07/04/2018 98,200 108,309United Kingdom Gilt4.750% due 09/07/2015 £ 74,400 99,033Belgium Government Bond2.750% due 03/28/2016 € 91,800 91,893Netherlands Government Bond4.000% due 07/15/2018 73,500 80,705Bundesobligation4.250% due 10/12/2012 69,800 75,755Republic of Germany5.250% due 07/04/2010 73,800 73,800Republic of Austria4.300% due 09/15/2017 65,700 73,095Republic of Germany3.250% due 07/04/2015 67,650 72,040Italy Buoni Poliennali Del Tesoro5.000% due 08/01/2039 64,000 66,311Republic of Germany6.500% due 07/04/2027 50,218 65,964Republic of Germany5.625% due 01/04/2028 47,597 60,131Republic of Germany3.500% due 01/04/2016 55,250 59,222Italy Buoni Poliennali Del Tesoro3.500% due 06/01/2014 54,700 56,963Ireland Government Bond5.400% due 03/13/2025 55,900 56,700Italy Buoni Poliennali Del Tesoro5.000% due 09/01/2040 54,400 56,129Italy Buoni Poliennali Del Tesoro3.000% due 06/15/2015 53,400 54,080Republic of Germany3.000% due 07/04/2020 51,000 52,898France Government Bond4.000% due 04/25/2060 46,900 51,727Republic of Germany5.500% due 01/04/2031 42,391 51,086Republic of Germany3.750% due 01/04/2019 44,700 49,779Republic of Germany4.000% due 01/04/2037 46,100 48,246Irish Life & Permanent3.750% due 09/28/2010 46,800 46,800


Significant Changes in Portfolio Composition Euro Bond Fund (Cont.)

DESCRIPTIONPAR

(000S)PROCEEDS

(000S)


Brazil Notas do Tesouro Nacional Series F10.000% due 01/01/2017 BRL 104,000 € 43,499European Investment Bank4.750% due 10/15/2017 € 38,700 42,651Republic of Germany4.750% due 07/04/2034 32,900 40,792Republic of Germany4.250% due 07/04/2017 36,700 40,338Hellenic Republic Government Bond5.500% due 08/20/2014 41,200 40,311Republic of Germany3.750% due 07/04/2013 35,100 37,854Bundesobligation3.500% due 04/08/2011 36,200 37,033Germany Treasury Bills0.000% due 02/23/2011 35,000 34,955Nykredit Realkredit A/S1.000% due 01/01/2011 30,300 30,300Spanish Government Bond4.100% due 07/30/2018 28,300 29,277US Treasury Notes1.000% due 07/31/2011 $ 37,267 28,839Bundesschatzanweisungen4.000% due 09/10/2010 € 27,555 27,998Belgium Government Bond3.750% due 09/28/2020 26,600 27,850




Portfolio of Investments and Assets Euro Credit Fund31 December 2010

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS



Kabel Deutschland4.500% due 12/20/2016 € 1,000 € 1,005 0.38


BANKING & FINANCE

Abbey National Treasury Services PLC3.625% due 10/06/2017 2,300 2,237 0.85ABN Amro Bank NV3.625% due 10/06/2017 900 864 0.33AK Transneft OJSC Via TransCapitalInvest Ltd.7.700% due 08/07/2013 $ 800 670 0.25Ally Financial, Inc.5.375% due 06/06/2011 € 550 558 0.21American General Finance Corp.3.250% due 01/16/2013 100 88 0.034.125% due 11/29/2013 100 84 0.03American International Group, Inc.1.179% due 04/26/2011 500 497 0.194.000% due 09/20/2011 200 200 0.085.000% due 06/26/2017 150 142 0.058.000% due 05/22/2038 150 145 0.058.625% due 05/22/2038 £ 500 574 0.22Banco Santander Brazil S.A.4.500% due 04/06/2015 $ 500 383 0.14Bank of America Corp.4.625% due 08/07/2017 € 300 286 0.114.750% due 04/03/2017 1,350 1,298 0.497.000% due 06/15/2016 150 163 0.06Bank of Scotland PLC5.625% due 05/23/2013 1,825 1,933 0.737.281% due 05/29/2049 £ 200 181 0.07Banque PSA Finance3.250% due 11/26/2012 € 600 604 0.233.625% due 10/14/2011 350 354 0.134.000% due 07/19/2013 950 961 0.37Barclays Bank PLC4.000% due 10/07/2019 1,400 1,407 0.535.750% due 03/08/2011 250 252 0.106.000% due 01/14/2021 1,300 1,263 0.4810.000% due 05/21/2021 £ 300 422 0.16BNP Paribas0.463% due 04/27/2017 $ 650 476 0.184.730% due 04/29/2049 € 850 748 0.285.019% due 04/29/2049 500 433 0.166.117% due 10/30/2017 1,550 1,209 0.467.781% due 06/29/2049 3,100 3,255 1.24BPCE S.A.2.875% due 09/22/2015 400 390 0.153.750% due 07/21/2017 1,000 984 0.376.117% due 10/29/2049 450 351 0.139.000% due 03/29/2049 200 198 0.089.250% due 10/29/2049 600 591 0.2312.500% due 08/29/2049 $ 100 86 0.03Caisse Centrale du Credit Immobilier de France1.924% due 03/18/2013 € 1,800 1,793 0.684.000% due 01/12/2018 600 576 0.22Carlsberg Finance A/S6.625% due 12/12/2011 £ 600 714 0.27Citigroup, Inc.4.000% due 11/26/2015 € 4,500 4,445 1.685.000% due 08/02/2019 350 343 0.137.375% due 06/16/2014 950 1,052 0.40Cooperatieve Centrale Raiffeisen-Boerenleenbank BA4.125% due 01/14/2020 5,100 5,150 1.956.875% due 03/19/2020 1,400 1,330 0.51Corio NV4.625% due 01/22/2018 900 902 0.34Credit Agricole S.A.7.589% due 01/29/2049 £ 1,300 1,363 0.528.375% due 04/29/2049 $ 200 156 0.068.375% due 10/29/2049 100 78 0.03

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Credit Suisse2.875% due 09/24/2015 € 1,600 € 1,576 0.604.750% due 08/05/2019 2,800 2,877 1.09DnB NOR Bank ASA1.228% due 05/30/2017 200 196 0.083.875% due 06/29/2020 500 495 0.196.012% due 03/29/2049 £ 300 334 0.137.729% due 06/29/2049 $ 500 380 0.14European Investment Bank4.250% due 10/15/2014 7,300 7,889 2.994.750% due 10/15/2017 1,300 1,441 0.55Export-Import Bank of Korea5.125% due 06/29/2020 500 385 0.15FCE Bank PLC7.125% due 01/16/2012 € 500 515 0.207.125% due 01/15/2013 100 105 0.049.375% due 01/17/2014 600 669 0.25Fortis Bank Nederland NV4.000% due 02/03/2015 950 971 0.37Gazprom Via White Nights Finance BV10.500% due 03/08/2014 $ 1,600 1,439 0.55GE Capital European Funding1.273% due 05/17/2021 € 1,500 1,297 0.49General Electric Capital Corp.4.625% due 09/15/2066 155 129 0.055.500% due 09/15/2067 700 609 0.23GMAC International Finance BV7.500% due 04/21/2015 1,300 1,352 0.51Goldman Sachs Group, Inc.1.393% due 01/30/2017 1,150 1,057 0.401.548% due 08/12/2015(c) 100 93 0.044.375% due 03/16/2017 350 341 0.135.125% due 10/23/2019 1,000 980 0.375.375% due 02/15/2013 700 735 0.28Hammerson PLC4.875% due 06/19/2015 850 881 0.33HBOS PLC1.189% due 03/29/2016 300 260 0.101.223% due 03/21/2017 600 500 0.191.327% due 09/01/2016 1,000 846 0.324.375% due 10/30/2019 500 454 0.17HSBC Bank PLC3.125% due 11/15/2017 1,000 965 0.374.000% due 01/15/2021 1,700 1,663 0.63HSBC Finance Corp.1.256% due 04/05/2013 1,250 1,218 0.466.676% due 01/15/2021 $ 1,600 1,213 0.46Hutchison Whampoa Finance Ltd.4.750% due 11/14/2016 € 1,350 1,408 0.53ING Bank NV4.625% due 03/15/2019 500 501 0.196.125% due 05/29/2023 1,200 1,212 0.466.875% due 05/29/2023 £ 250 293 0.11ING Groep NV4.750% due 05/31/2017 € 400 413 0.16International Lease Finance Corp.5.250% due 01/10/2013 $ 700 529 0.20Investor AB4.875% due 11/18/2021 € 1,250 1,324 0.50JPMorgan Chase & Co.1.264% due 09/26/2013 3,500 3,421 1.303.875% due 09/23/2020 500 476 0.186.300% due 04/23/2019 $ 359 307 0.11Korea Exchange Bank4.875% due 01/14/2016 500 390 0.15LBG Capital No.1 PLC6.439% due 05/23/2020 € 1,530 1,239 0.47LeasePlan Corp. NV4.250% due 10/07/2011 150 152 0.06Lloyds TSB Bank PLC6.375% due 06/17/2016 900 969 0.37Merrill Lynch & Co., Inc.1.328% due 05/30/2014 350 329 0.121.466% due 07/22/2014 1,900 1,786 0.681.578% due 09/14/2018 2,950 2,312 0.88Morgan Stanley1.357% due 03/01/2013 700 670 0.25

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

1.377% due 04/13/2016 € 110 € 99 0.041.407% due 01/16/2017 1,800 1,597 0.611.445% due 05/02/2014 300 284 0.115.375% due 08/10/2020 1,400 1,351 0.51Motability Operations Group PLC3.750% due 11/29/2017 1,700 1,687 0.64MUFG Capital Finance 2 Ltd.4.850% due 07/29/2049 200 184 0.07MUFG Capital Finance 5 Ltd.6.299% due 01/29/2049 £ 550 596 0.23National Australia Bank Ltd.6.750% due 06/26/2023 € 750 832 0.31Nationwide Building Society2.875% due 09/14/2015 650 638 0.243.500% due 12/07/2015 1,400 1,409 0.54Optus Finance Pty Ltd.3.500% due 09/15/2020 800 762 0.29Qatari Diar Finance QSC5.000% due 07/21/2020 $ 600 452 0.17RCI Banque S.A.1.222% due 03/22/2011 € 500 499 0.194.000% due 07/11/2013 400 410 0.15Royal Bank of Scotland Group PLC5.375% due 09/30/2019 1,700 1,623 0.62Royal Bank of Scotland NV1.778% due 06/08/2015 600 474 0.18Royal Bank of Scotland PLC0.489% due 04/11/2016 $ 2,000 1,244 0.473.625% due 05/17/2013 € 325 324 0.124.625% due 09/22/2021 1,000 821 0.314.875% due 01/20/2017 350 337 0.135.250% due 05/15/2013 800 834 0.32RZD Capital Ltd.5.739% due 04/03/2017 $ 500 392 0.15Santander Issuances S.A. Unipersonal1.400% due 07/25/2017 € 400 362 0.14Scotland International Finance No. 2 BV4.250% due 05/23/2013 $ 1,200 894 0.34SLM Corp.1.300% due 11/15/2011 € 50 48 0.02Societe Generale9.375% due 09/29/2049 1,900 2,005 0.76Standard Chartered Bank7.750% due 04/03/2018 £ 1,500 2,012 0.76Standard Chartered PLC3.625% due 12/15/2015 € 400 406 0.15Stone Street Trust5.902% due 12/15/2015 $ 900 700 0.26Swedbank AB7.375% due 06/26/2018 € 2,350 2,573 0.98TNK-BP Finance S.A.7.875% due 03/13/2018 $ 2,000 1,709 0.65UBS AG0.439% due 04/18/2016 1,700 1,258 0.483.500% due 07/15/2015 € 700 705 0.275.625% due 05/19/2014 300 326 0.126.375% due 11/19/2024 £ 200 242 0.09UPCB Finance Ltd.7.625% due 01/15/2020 € 900 949 0.36Virgin Media Secured Finance PLC7.000% due 01/15/2018 £ 800 984 0.37Wells Fargo & Co.4.875% due 11/29/2035 200 181 0.07Ziggo Bond Co. BV8.000% due 05/15/2018 € 500 517 0.20Ziggo Finance BV6.125% due 11/15/2017 200 199 0.07

126,704 48.06

INDUSTRIALS

America Movil SAB de CV4.750% due 06/28/2022 500 502 0.19AP Moller-Maersk4.375% due 11/24/2017 500 500 0.19Autoroutes du Sud de la France5.625% due 07/04/2022 900 990 0.38


Portfolio of Investments and Assets Euro Credit Fund (Cont.)

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

BAA Funding Ltd.3.975% due 02/15/2012 € 1,000 € 1,017 0.39BAT International Finance PLC4.875% due 02/24/2021 600 630 0.24BG Energy Capital PLC3.625% due 07/16/2019 1,100 1,076 0.41Casino Guichard Perrachon S.A.4.379% due 02/08/2017 300 306 0.12Celesio Finance BV4.500% due 04/26/2017 850 842 0.32Conti-Gummi Finance BV6.500% due 01/15/2016 1,100 1,129 0.43CSN Islands VIII Corp.9.750% due 12/16/2013 $ 500 437 0.17CSN Islands XI Corp.6.875% due 09/21/2019 400 327 0.12CSN Resources S.A.6.500% due 07/21/2020 500 396 0.15Franz Haniel & Cie GmbH6.750% due 10/23/2014 € 1,450 1,562 0.59Gerdau Holdings, Inc.7.000% due 01/20/2020 $ 300 250 0.10Gerdau Trade, Inc.5.750% due 01/30/2021 400 301 0.11Gold Fields Orogen Holding

BVI Ltd.4.875% due 10/07/2020 600 430 0.16GTL Trade Finance, Inc.7.250% due 10/20/2017 700 582 0.22Hanson Australia Funding Ltd.5.250% due 03/15/2013 700 540 0.21HeidelbergCement Finance BV6.750% due 12/15/2015 € 300 316 0.127.500% due 10/31/2014 450 485 0.18Heineken NV7.125% due 04/07/2014 1,000 1,123 0.427.250% due 03/10/2015 £ 400 523 0.20Hutchison Whampoa Finance Ltd.5.875% due 07/08/2013 € 250 269 0.10Hutchison Whampoa International Ltd.7.625% due 04/09/2019 $ 700 632 0.24Imperial Tobacco Finance PLC8.375% due 02/17/2016 € 1,200 1,467 0.56Ladbrokes Group Finance PLC7.125% due 07/11/2012 £ 350 428 0.16Luxottica Group SpA4.000% due 11/10/2015 € 500 504 0.19Marks & Spencer PLC5.875% due 05/29/2012 £ 500 604 0.23Mondi Finance PLC5.750% due 04/03/2017 € 700 718 0.27Pernod-Ricard S.A.4.875% due 03/18/2016 1,700 1,718 0.657.000% due 01/15/2015 400 442 0.17Petrobras International Finance Co.7.875% due 03/15/2019 $ 100 89 0.03Reliance Holdings USA, Inc.4.500% due 10/19/2020 500 358 0.14Reynolds Group Issuer, Inc.7.750% due 10/15/2016 € 500 525 0.20Rhodia S.A.3.735% due 10/15/2013 171 171 0.077.000% due 05/15/2018 600 633 0.24Safran S.A.4.000% due 11/26/2014 800 815 0.31SAP AG3.500% due 04/10/2017 300 297 0.11Sinochem Overseas Capital Co. Ltd.4.500% due 11/12/2020 $ 500 372 0.14Swedish Match AB3.875% due 11/24/2017 € 500 497 0.19Tesco PLC5.125% due 04/10/2047 500 502 0.19

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Vivendi S.A.4.250% due 12/01/2016 € 100 € 102 0.047.750% due 01/23/2014 1,400 1,596 0.60Xstrata Canada

Financial Corp.6.250% due 05/27/2015 1,000 1,112 0.42

28,115 10.67

UTILITIES

BP Capital Markets PLC3.830% due 10/06/2017 800 801 0.30CEZ AS4.500% due 06/29/2020 700 715 0.274.500% due 06/29/2020 700 696 0.26Deutsche Telekom

International Finance BV3.107% due 01/20/2017 1,800 2,038 0.774.250% due 07/13/2022 1,550 1,516 0.58E.ON International

Finance BV5.750% due 05/07/2020 700 808 0.31Eurogrid GmbH3.875% due 10/22/2020 700 681 0.26Eutelsat S.A.4.125% due 03/27/2017 450 451 0.17France Telecom S.A.3.875% due 01/14/2021 1,800 1,755 0.67Gazprom Via Gaz

Capital S.A.6.510% due 03/07/2022 $ 400 308 0.128.125% due 07/31/2014 600 511 0.19Koninklijke KPN NV3.750% due 09/21/2020 € 550 523 0.205.625% due 09/30/2024 1,000 1,065 0.407.500% due 02/04/2019 400 489 0.19Majapahit Holding BV7.750% due 01/20/2020 $ 100 87 0.038.000% due 08/07/2019 200 177 0.07Qtel International

Finance Ltd.5.000% due 10/19/2025 200 137 0.05Ras Laffan Liquefied Natural

Gas Co. Ltd. III5.500% due 09/30/2014 500 405 0.15RTE EDF Transport S.A.3.875% due 06/28/2022 € 450 436 0.17Severn Trent Utilities

Finance PLC5.250% due 03/11/2016 450 490 0.19Suez Environnement Co.4.820% due 09/29/2049 250 243 0.094.875% due 04/08/2014 800 860 0.33Telenet Finance

Luxembourg S.C.A.6.375% due 11/15/2020 1,700 1,717 0.65Telstra Corp. Ltd.3.625% due 03/15/2021 1,500 1,423 0.544.250% due 03/23/2020 300 303 0.11Vattenfall AB5.375% due 04/29/2024 1,000 1,126 0.436.750% due 01/31/2019 300 360 0.13Vodafone Group PLC1.377% due 06/06/2014 1,500 1,485 0.565.375% due 06/06/2022 500 545 0.21

22,151 8 .40Total Corporate Bonds & Notes 176,970 67.13


US Treasury Bills0.136% due 02/17/2011 (a) $ 74 56 0.02US Treasury Notes (a)0.375% due 08/31/2012 377 283 0.111.125% due 06/30/2011 72 54 0.022.375% due 08/31/2014 100 78 0.03

471 0.18

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS


Arena BV2.213% due 11/17/2041 $ 500 € 502 0.19Arkle Master Issuer PLC2.298% due 05/17/2060 200 198 0.08Arran Residential Mortgages Funding PLC2.203% due 05/16/2047 600 600 0.23Dutch Mortgage Portfolio Loans BV1.174% due 12/28/2051 500 481 0.18Eurosail PLC1.149% due 03/13/2045 464 434 0.16Fosse Master Issuer PLC2.187% due 10/18/2054 1,200 1,188 0.45Granite Master Issuer PLC0.913% due 12/20/2054 1,431 1,329 0.50Holland Euro-Denominated Mortgage-Backed Series1.146% due 05/18/2039 488 470 0.18Holmes Master Issuer PLC2.353% due 10/15/2054 1,100 1,101 0.42Newgate Funding PLC1.349% due 12/15/2050 £ 185 207 0.081.626% due 12/15/2050 € 450 379 0.14Residential Mortgage Securities3.250% due 12/16/2050 £ 300 336 0.13Saecure BV1.965% due 09/23/2092 € 278 277 0.11Stichting Eleven Cities2.524% due 06/20/2045 480 480 0.18Storm BV1.822% due 03/22/2052 187 185 0.07

8,167 3.10


Asset-Backed European Securitisation Transaction Srl1.711% due 09/21/2020 442 442 0.17AUTO ABS Srl1.135% due 07/25/2017 181 180 0.07Bumper 2 S.A.2.524% due 06/20/2022 316 316 0.12Globaldrive BV4.000% due 10/20/2016 457 464 0.17Magnolia Funding Ltd.3.000% due 04/20/2017 607 605 0.23Volkswagen Car Lease1.491% due 06/21/2016 178 178 0.07

2,185 0.83

SOVEREIGN ISSUES

Banco Nacional de Desenvolvimento Economico eSocial

4.125% due 09/15/2017 1,000 980 0.37Bundesobligation1.750% due 10/09/2015 16,500 16,425 6.232.250% due 04/10/2015 8,600 8,799 3.342.500% due 02/27/2015 14,000 14,479 5.49Korea Finance Corp.3.250% due 09/20/2016 $ 200 144 0.05Mexico Government International Bond4.250% due 07/14/2017 € 1,600 1,600 0 .61Republic of Germany3.000% due 07/04/2020 200 201 0 .083.250% due 07/04/2015 16,100 17,113 6 .493.750% due 01/04/2015 1,300 1,407 0 .534.000% due 01/04/2018 200 219 0 .08Russia Government International Bond7.500% due 03/31/2030 $ 716 624 0 .24

61,991 23 .51

SHARES

PREFERRED SECURITIES

Barclays Bank PLC4.750% due 03/29/2049 3,500 228 0.09


31 December 2010

DESCRIPTION SHARES

FAIRVALUE(000S)

% OFNET

ASSETS

6.000% due 06/29/2049 4,000 € 375 0.14Royal Bank of Scotland Group PLC7.640% due 03/29/2049 4,000 202 0.07

805 0.30

PAR(000S)



(Dated 12/30/2010.Collateralised by US TreasuryNotes 3.625% due 02/15/2020valued at $1,018. Repurchaseproceeds are $1,000.) $ 1,000 753 0.29

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS


(Dated 12/30/2010.Collateralised by USTreasury Notes 1.125% due12/15/2012 valued at$2,451. Repurchaseproceeds are $2,400.) $ 2,400 € 1,807 0.69


(Dated 12/30/2010.Collateralised by GermanyTreasury Bills 0.000% due05/18/2011 valued at€4,152. Repurchaseproceeds are €4,150.) € 4,150 4,150 1.57

6,710 2.55Total Transferable Securities &Money Market Instruments -Official Stock Exchange/Regulated Market € 258,304 97.98



FUTURES


Month# of

Contracts


% ofNet Assets

90-Day Eurodollar December Futures Long 12/2012 54 € (51) (0.02)90-Day Eurodollar March Futures Long 03/2012 35 1 0.00Euro-Bobl 5-Year Note March Futures Long 03/2011 90 0 0.00

€ (50) (0.02)

WRITTEN OPTIONS

DescriptionExercisePrice

ExpirationDate


FairValue

% ofNet Assets

Call - Euro-Bund 10-Year Bond March Futures €131.000 02/28/2011 7 € (4) € (1) 0.00Call - Euro-Bund 10-Year Bond March Futures 133.000 02/28/2011 63 (21) (4) 0.00Put - Euro-Bund 10-Year Bond March Futures 124.000 02/28/2011 7 (7) (6) 0.00Put - Euro-Bund 10-Year Bond March Futures 125.000 02/28/2011 23 (23) (30) (0.01)Put - Euro-Bund 10-Year Bond March Futures 126.000 02/28/2011 40 (42) (73) (0.03)

€ (97) € (114) (0.04)Total Financial Derivative Instruments Dealt in on a Regulated Market € (164) (0.06)



WRITTEN OPTIONS


ExerciseRate

ExpirationDate


FairValue

% ofNet Assets


Call - OTC Dow Jones iTraxx Europe Series 14 5-Year Credit Rate Swap BNP Sell 0.900% 03/16/2011 € 15,300 € (33) € (27) (0.01)Put - OTC Dow Jones iTraxx Europe Series 14 5-Year Credit Rate Swap BNP Buy 1.600% 03/16/2011 15,300 (33) (22) (0.01)

€ (66) € (49) (0.02)


ExerciseRate

ExpirationDate


FairValue

% ofNet Assets


Put - OTC 2-Year Interest Rate Swap BCLY 6-Month EUR-LIBOR Pay 2.500% 09/19/2012 € 25,400 € (137) € (280) (0.11)Put - OTC 2-Year Interest Rate Swap RBS 6-Month EUR-LIBOR Pay 2.500% 09/19/2012 14,300 (77) (158) (0.06)Call - OTC 1-Year Interest Rate Swap BOA 3-Month GBP-LIBOR Receive 1.250% 06/15/2011 £ 7,300 (16) (24) (0.01)Call - OTC 1-Year Interest Rate Swap CITI 3-Month GBP-LIBOR Receive 1.250% 06/15/2011 3,600 (8) (12) 0.00Put - OTC 2-Year Interest Rate Swap BOA 3-Month USD-LIBOR Pay 2.250% 09/24/2012 $ 3,900 (16) (42) (0.01)Put - OTC 2-Year Interest Rate Swap CITI 3-Month USD-LIBOR Pay 2.250% 09/24/2012 200 (1) (2) 0.00Put - OTC 2-Year Interest Rate Swap RBS 3-Month USD-LIBOR Pay 2.250% 09/24/2012 12,100 (71) (129) (0.05)

€ (326) € (647) (0.24)




ExpirationDate


FairValue

% ofNet Assets

STRADDLE OPTIONS


€ (84) € (133) (0.05)




NotionalAmount(3)

FairValue

UpfrontPremiums

Paid/(Received)


% ofNet Assets

Ally Financial, Inc. (5.000%) 06/20/2015 GSC € 800 € (84) € (63) € (21) (0.03)FCE Bank PLC (5.000%) 03/20/2012 BCLY 500 (24) (11) (13) (0.01)Hanson Ltd. (1.000%) 03/20/2013 BCLY $ 400 1 0 1 0 .00Hanson Ltd. (1.000%) 03/20/2013 GSC 300 1 (1) 2 0 .00International Lease Finance Corp. (5.000%) 03/20/2013 BCLY 700 (36) (11) (25) (0.01)Ladbrokes Group Finance PLC (3.150%) 09/20/2012 BCLY £ 350 (13) 0 (13) (0.01)Royal Bank of Scotland PLC (3.000%) 06/20/2016 DUB $ 650 40 1 39 0 .01Royal Bank of Scotland PLC (1.000%) 06/20/2016 UBS 950 124 58 66 0 .05Scotland International Finance No. 2 BV (3.000%) 06/20/2013 UBS 1,200 23 (7) 30 0 .01

€ 32 € (34) € 66 0 .01




FairValue

UpfrontPremiums

Paid/(Received)


% ofNet Assets

Anglo American Capital PLC 1.000% 12/20/2015 HSBC € 1,000 € (6) € (18) € 12 0.00Anheuser-Busch Inbev NV 1.000% 12/20/2015 BCLY 1,300 0 (10) 10 0.00Australia & New Zealand Banking Group Ltd. 1.000% 12/20/2012 MSC 400 3 5 (2) 0.00BP Capital Markets America, Inc. 1.000% 12/20/2015 CSFB 1,000 6 2 4 0.00BP Capital Markets America, Inc. 1.000% 12/20/2015 MSC 700 4 (10) 14 0.00EDF S.A. 1.000% 06/20/2015 BCLY 500 6 3 3 0.00ING Verzekeringen NV 1.400% 06/20/2011 DUB 600 0 0 0 0.00Metlife, Inc. 1.000% 06/20/2013 BOA $ 700 1 (31) 32 0.00Petrobras International Finance Co. 1.000% 09/20/2012 DUB 200 0 (2) 2 0.00Petrobras International Finance Co. 1.000% 09/20/2015 HSBC 400 (7) (10) 3 0.00Petrobras International Finance Co. 1.000% 09/20/2012 MSC 400 (1) (2) 1 0.00Petrobras International Finance Co. 1.000% 09/20/2015 MSC 300 (5) (7) 2 0.00Republic of Italy 1.000% 06/20/2011 BOA 500 (1) (4) 3 0.00Republic of Italy 1.000% 06/20/2011 CITI 800 (1) (7) 6 0.00Shell International Finance BV 1.000% 12/20/2015 BOA € 600 13 9 4 0.00Shell International Finance BV 1.000% 12/20/2015 SOG 700 15 11 4 0.01Tesco PLC 1.000% 12/20/2015 BOA 1,400 18 8 10 0.01United Kingdom Gilt 1.000% 06/20/2015 CITI $ 1,350 15 12 3 0.00Veolia Environnement S.A. 1.000% 12/20/2015 BCLY 400 2 1 1 0.00

€ 62 € (50) € 112 0.02




FairValue

UpfrontPremiums

Paid/(Received)


% ofNet Assets

Dow Jones CDX N.A. EM14 Index 5.000% 12/20/2015 CITI $ 400 € 42 € 41 € 1 0.02Dow Jones CDX N.A. EM14 Index 5.000% 12/20/2015 DUB 300 31 30 1 0.01

€ 73 € 71 € 2 0.03




INTEREST RATE SWAPS


NotionalAmount

FairValue

UpfrontPremiums

Paid/(Received)


% ofNet Assets

Pay 6-Month EUR-LIBOR 2.000% 06/16/2011 HSBC € 25,500 € 217 € (109) € 326 0.08Pay BRL-CDI-Compounded 11.245% 01/02/2012 RBS BRL 4,700 (10) (5) (5) 0.00Pay BRL-CDI-Compounded 11.890% 01/02/2013 GSC 13,000 41 17 24 0.01

€ 248 € (97) € 345 0.09


31 December 2010


Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Buy BRL 2,472 CITI 03/2011 € 36 € 0 € 36 0.01Buy CNY 598 BOA 01/2011 5 0 5 0.00Buy 2,954 CITI 01/2011 7 0 7 0.00Buy 993 DUB 01/2011 0 0 0 0.00Sell 6,971 DUB 01/2011 0 (12) (12) 0.00Buy 1,430 JPM 01/2011 2 0 2 0.00Buy 996 MSC 01/2011 9 0 9 0.01Buy 333 BCLY 11/2011 3 0 3 0.00Buy 2,000 CITI 11/2011 16 0 16 0.01Buy 817 JPM 11/2011 8 0 8 0.00Buy 6,971 DUB 02/2012 34 0 34 0.01Buy DKK 102 JPM 02/2011 0 0 0 0.00Sell £ 11,169 RBS 02/2011 294 0 294 0.11Buy KRW 40,900 BCLY 05/2011 1 0 1 0.00Buy 399,700 CITI 05/2011 10 0 10 0.01Buy 32,982 GSC 05/2011 1 0 1 0.00Buy 77,000 HSBC 05/2011 2 0 2 0.00Buy 178,300 JPM 05/2011 4 0 4 0.00Buy 155,000 RBS 05/2011 4 0 4 0.00Buy PHP 4,290 CITI 06/2011 3 0 3 0.00Sell 16,997 CITI 06/2011 1 0 1 0.00Buy 10,545 DUB 06/2011 8 0 8 0.01Buy 2,162 JPM 06/2011 2 0 2 0.00Buy SGD 300 BOA 03/2011 1 0 1 0.00Buy 75 DUB 03/2011 0 0 0 0.00Buy 60 JPM 03/2011 0 0 0 0.00Buy 70 RBS 03/2011 0 0 0 0.00Sell $ 2,140 BNP 01/2011 8 0 8 0.00Sell 90 BOA 01/2011 0 (5) (5) 0.00Buy 2,820 CITI 01/2011 1 0 1 0.00Sell 29,942 CITI 01/2011 0 (560) (560) (0.21)Buy 3,868 DUB 01/2011 9 0 9 0.00Sell 10,432 DUB 01/2011 36 (278) (242) (0.09)Buy 320 GSC 01/2011 0 (1) (1) 0.00Sell 714 JPM 01/2011 6 0 6 0.00Sell 2,220 MSC 01/2011 5 (8) (3) 0.00Sell 2,000 RBS 01/2011 0 (39) (39) (0.01)Sell 19 JPM 02/2011 0 (1) (1) 0.00Buy 100 MSC 02/2011 0 0 0 0.00Buy 17,562 RBS 02/2011 0 (13) (13) (0.01)Sell 223 BOA 03/2011 7 0 7 0.00Sell 1,449 CITI 03/2011 0 (23) (23) (0.01)Sell 56 DUB 03/2011 1 0 1 0.00Sell 45 JPM 03/2011 1 0 1 0.00Sell 52 RBS 03/2011 2 0 2 0.00Sell 36 BCLY 05/2011 0 (1) (1) 0.00Sell 355 CITI 05/2011 0 (13) (13) (0.01)Sell 29 GSC 05/2011 0 (1) (1) 0.00Sell 69 HSBC 05/2011 0 (2) (2) 0.00Sell 157 JPM 05/2011 0 (4) (4) 0.00Sell 137 RBS 05/2011 0 (5) (5) 0.00Buy 391 CITI 06/2011 0 (1) (1) 0.00Sell 98 CITI 06/2011 0 (2) (2) 0.00Sell 240 DUB 06/2011 0 (6) (6) 0 .00Sell 49 JPM 06/2011 0 (1) (1) 0 .00Sell 52 BCLY 11/2011 0 (3) (3) 0 .00Sell 308 CITI 11/2011 0 (15) (15) (0.01)Sell 127 JPM 11/2011 0 (8) (8) 0 .00Sell 1,076 DUB 02/2012 0 (29) (29) (0.01)

€ 527 € (1,031) € (504) (0.19)



DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS


ANZ National Bank3.950% due 12/31/2010 AUD 26 € 20 0 .01Brown Brothers Harriman & Co.0.050% due 01/03/2011 DKK 1 0 0 .00Deutsche Bank AG0.054% due 12/31/2010 CAD 34 25 0 .01JPMorgan Chase & Co.0.070% due 12/31/2010 £ 183 212 0 .08



DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Nordea Bank AB0.030% due 12/31/2010 $ 221 € 166 0 .06Rabobank0.088% due 12/31/2010 € 774 774 0 .29Total Overnight Time Deposits € 1,197 0 .45Other Current Assets & Liabilities € 5,205 1 .98Net Assets € 263,624 100.00


(a) Securities with an aggregate market value of €471 and cash of €13 have been segregated with the Custodian to cover margin requirements for the open futures contracts as at 31 December 2010.

(b) Cash of €1,709 has been pledged as collateral for swap, swaption and foreign currency contracts as at 31 December 2010 as governed by International Swaps and Derivative Association, Inc.Master Agreements.

(c) Restricted securities

Issuer Description Coupon Maturity DateAcquisition

Date CostFair

Value

% ofNet

Assets

Goldman Sachs Group, Inc. 1.548% 08/12/2015 12/01/2009 € 92 € 93 0.04

(d) Fair Value Measurements1


Category3


(Level 1)


(Level 2)



Transferable Securities € 375 € 257,929 € 0 € 258,304Financial Derivative Instruments4 (164 ) (785 ) (133 ) (1,082 )Totals € 211 € 257,144 € (133 ) € 257,222


Category3

StartingBalance at

31-Dec-2009Net

Purchases5Net

Sales5


RealisedGains/

(Losses)




Level 3

EndingBalance at

31-Dec-2010




Transferable Securities € 414 € 0 € (440) € 0 € (38) € 64 € 0 € 0 € 0Financial Derivative Instruments4 0 (83) 0 0 0 (50) 0 (133) (50)Totals € 414 € (83) € (440) € 0 € (38) € 14 € 0 € (133) € (50)


Category3


for IdenticalInvestments

(Level 1)


(Level 2)



Transferable Securities € 0 € 89,345 € 414 € 89,759Financial Derivative Instruments4 82 (455) 0 (373)Totals € 82 € 88,890 € 414 € 89,386


Category3

StartingBalance at

31-Dec-2008Net

Purchases5Net

Sales5


RealisedGains/

(Losses)




Level 3

EndingBalance

at 31-Dec-2009




Transferable Securities € 0 € 0 € 0 € 0 € 0 € 0 € 414 € 414 € 51





Significant Changes in Portfolio Composition Euro Credit Fund (Unaudited)31 December 2010

DESCRIPTIONPAR

(000S)COST(000S)


Bundesobligation2.250% due 04/10/2015 € 100,500 € 104,652Republic of Germany3.250% due 07/04/2015 40,050 42,804Bundesobligation2.500% due 02/27/2015 30,310 31,603Republic of Germany6.250% due 01/04/2024 21,000 29,456Bundesobligation1.750% due 09/10/2015 22,000 22,133Republic of Germany4.250% due 07/04/2014 19,780 22,022Bundesschatzanweisungen0.500% due 06/15/2012 20,400 20,335Republic of Germany4.750% due 07/04/2034 14,600 18,719Republic of Germany3.750% due 01/04/2015 14,950 16,569Republic of Germany4.250% due 07/04/2018 11,200 12,887Republic of Germany5.000% due 01/04/2012 11,800 12,414Republic of Germany3.250% due 01/04/2020 9,300 9,412Republic of Germany3.250% due 07/04/2042 8,300 9,002European Investment Bank4.250% due 10/15/2014 7,300 8,030Bundesschatzanweisungen1.250% due 03/11/2011 6,800 6,831Bundesschatzanweisungen1.000% due 03/16/2012 6,400 6,423Republic of Germany4.750% due 07/04/2028 5,000 6,030Kreditanstalt Fuer Wiederaufbau3.500% due 07/04/2015 4,700 4,913Cooperatieve Centrale Raiffeisen-Boerenleenbank BA4.125% due 01/14/2020 4,500 4,794Citigroup, Inc.4.000% due 11/26/2015 4,500 4,476Citigroup, Inc.7.375% due 06/16/2014 3,900 4,419France Goverment Bond4.250% due 10/25/2017 3,700 3,942JPMorgan Chase & Co.0.956% due 09/26/2013 3,500 3,430BNP Paribas7.781% due 06/29/2049 3,100 3,293

DESCRIPTIONPAR

(000S)PROCEEDS

(000S)


Bundesobligation2.250% due 04/10/2015 € 91,900 € 95,570Republic of Germany6.250% due 01/04/2024 21,000 29,440Republic of Germany3.250% due 07/04/2015 23,950 25,688Republic of Germany4.250% due 07/04/2014 19,780 22,003Bundesschatzanweisungen0.500% due 06/15/2012 20,400 20,363Republic of Germany4.750% due 07/04/2034 14,600 18,717Bundesobligation2.500% due 02/27/2015 16,310 17,131Republic of Germany3.750% due 01/04/2015 13,650 15,102Republic of Germany5.000% due 01/04/2012 12,550 13,215Republic of Germany4.250% due 07/04/2018 11,200 12,884Republic of Germany3.250% due 01/04/2020 9,300 9,998Republic of Germany3.250% due 07/04/2042 8,300 8,996Bundesschatzanweisungen1.250% due 03/11/2011 6,800 6,828Bundesschatzanweisungen1.000% due 03/16/2012 6,400 6,446Republic of Germany4.750% due 07/04/2028 5,000 6,026Bundesobligation1.750% due 10/09/2015 5,500 5,500Kreditanstalt Fuer Wiederaufbau3.500% due 07/04/2015 4,700 4,909France Goverment Bond4.250% due 10/25/2017 3,700 4,177Citigroup, Inc.7.375% due 06/16/2014 3,500 3,924Republic of Germany4.250% due 01/04/2014 3,100 3,410NIBC Bank NV3.125% due 02/17/2012 2,800 2,884Germany Treasury Bills0.320% due 03/30/2011 2,700 2,691Republic of Germany3.500% due 07/04/2019 2,500 2,551




Portfolio of Investments and Assets Euro Liquidity Fund

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS



BANKING & FINANCE

BNP Paribas Home Loan Covered Bonds S.A.4.125% due 01/24/2011 € 2,100 € 2,104 4.60Cie de Financement Foncier3.875% due 02/11/2011 2,000 2,007 4.39Deutsche Pfandbriefbank AG3.125% due 01/13/2011 400 400 0.873.250% due 03/01/2011 500 502 1.10Dexia Kommunalbank Deutschland AG2.375% due 01/03/2011 100 100 0.22Dexia Municipal Agency S.A.4.000% due 01/26/2011 1,200 1,202 2.63DZ Bank AG Deutsche Zentral-Genossenschaftsbank1.455% due 06/17/2011 100 100 0.22German Postal Pensions Securitisation PLC2.750% due 01/18/2011 2,200 2,202 4.81HSBC Bank PLC3.875% due 11/09/2011 180 184 0.40Hypo Real Estate Bank International AG3.750% due 05/12/2011 900 908 1.98IKB Deutsche Industriebank AG2.250% due 04/29/2011 1,200 1,205 2.63JPMorgan Chase & Co.4.625% due 01/31/2011 300 301 0.66KA Finanz AG2.375% due 05/12/2011 800 804 1.76Kreditanstalt fuer Wiederaufbau2.250% due 01/31/2011 2,250 2,253 4.93

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Nederlandse Waterschapsbank NV2.750% due 02/21/2011 € 2,000 € 2,005 4.38Nordea Hypotek AB4.250% due 04/20/2011 800 808 1.77Nordea Kredit Realkreditaktieselskab1.000% due 01/01/2011 300 300 0.66NRW.BANK4.000% due 01/17/2011 1,000 1,001 2.19Nykredit Realkredit A/S1.000% due 01/01/2011 1,300 1,300 2.84Realkredit Danmark A/S5.000% due 01/01/2011 1,900 1,900 4.15Schleswig-Holsteinische Landschaft

Hypothekenbank AG5.500% due 01/17/2011 2,000 2,004 4.38Westfaelische Landschaft Bodenkreditbank AG4.000% due 06/01/2011 900 911 1.99Total Corporate Bonds & Notes 24,501 53.56

SOVEREIGN ISSUES

Bundesschatzanweisungen1.250% due 03/11/2011 3,250 3,254 7.12Erste Abwicklungsanstalt5.250% due 04/04/2011 1,300 1,313 2.87Free State of Bavaria3.875% due 01/14/2011 2,400 2,403 5.25State of Hesse1.137% due 01/28/2011 200 200 0.445.750% due 01/04/2011 2,200 2,201 4.81State of North Rhine-Westphalia3.750% due 02/15/2011 400 401 0.88

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

State of Saxony-Anhalt5.250% due 02/22/2011 € 1,500 € 1,510 3.30

11,282 24.67

COMMERCIAL PAPER

KA Finanz AG1.040% due 01/19/2011 500 500 1.09


Morgan Stanley0.457% due 12/31/2010 (a)

(Dated 12/15/2010.Collateralised by Italy BuoniPoliennali Del Tesoro3.000% due06/15/2015 valued at€2,918. Repurchaseproceeds are €2,938.) 2,937 2,937 6.42


(Dated 12/30/2010.Collateralised by GermanyTreasury Bills 0.000% due05/18/2011 valued at€4,452. Repurchaseproceeds are €4,450.) 4,450 4,450 9.73



DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS


Rabobank0.088% due 12/31/2010 € 143 € 143 0.31Other Current Assets & Liabilities € 1,931 4.22Net Assets € 45,744 100.00


(a) Security matures on demand. Interest rates reset daily. Interest rate shown is rate in effect on December 30, 2010.



Category3




(Level 2)



Transferable Securities € 0 € 43,670 € 0 € 43,670


Category3




(Level 2)



Transferable Securities € 0 € 30,375 € 0 € 30,375Deposits with Credit Institutions 0 7,000 0 7,000Totals € 0 € 37,375 € 0 € 37,375

1 See note 2(c) in the Notes to Financial Statements for additional information.2 There were no significant transfers into and out of level 1 and 2 during the period ended 31 December 2010 or 31 December 2009.3 Refer to the Portfolio of Investments and Assets for additional information.


Significant Changes in Portfolio Composition Euro Liquidity Fund (Unaudited)31 December 2010

DESCRIPTIONPAR

(000S)COST(000S)


Bundesobligation2.500% due 10/08/2010 € 27,000 € 27,153Bundesschatzanweisungen4.000% due 09/10/2010 17,400 17,497Germany Treasury Bills0.000% due 06/30/2010 16,500 16,499Bundesschatzanweisungen2.250% due 12/10/2010 16,200 16,226Germany Treasury Bills0.000% due 09/29/2010 11,000 11,000France Government Bond5.500% due 10/25/2010 10,000 10,025Germany Treasury Bills0.000% due 01/26/2011 9,550 9,541France Treasury Bills0.000% due 08/12/2010 6,900 6,900France Treasury Bills0.000% due 08/19/2010 6,500 6,500Germany Treasury Bills0.000% due 05/18/2011 6,030 6,026Bundesschatzanweisungen4.750% due 06/11/2010 5,710 5,725Germany Treasury Bills0.000% due 02/23/2011 5,110 5,096France Treasury Bills0.000% due 07/29/2010 4,400 4,399Germany Treasury Bills0.000% due 08/25/2010 3,850 3,849Netherlands Government Bond5.500% due 07/15/2010 3,800 3,807Germany Treasury Bills0.500% due 06/16/2010 3,800 3,800Dutch Treasury Bills0.000% due 07/30/2010 3,500 3,500Germany Treasury Bills0.000% due 04/20/2011 3,500 3,490Germany Treasury Bills0.000% due 08/11/2010 3,400 3,399Germany Treasury Bills0.000% due 11/24/2010 3,350 3,347Dutch Treasury Bills0.000% due 08/31/2010 3,300 3,299Bundesschatzanweisungen1.250% due 03/11/2011 3,250 3,256ING Bank NV0.250% due 01/05/2010 3,000 3,000France Treasury Bills0.000% due 07/22/2010 3,000 3,000France Treasury Bills0.000% due 03/25/2010 3,000 2,999Germany Treasury Bills0.000% due 05/18/2011 2,850 2,842Rabobank Nederland NV0.230% due 01/19/2010 2,800 2,800Societe Generale0.230% due 01/19/2010 2,700 2,700Germany Treasury Bills0.000% due 11/10/2010 2,650 2,647ING Bank NV0.230% due 02/16/2010 2,600 2,600Germany Treasury Bills0.000% due 12/08/2010 2,600 2,598European Investment Bank3.750% due 11/24/2010 2,500 2,504Free State of Bavaria3.875% due 01/14/2011 2,400 2,414State of Baden-Wurttemberg3.500% due 11/19/2010 2,400 2,403Germany Treasury Bills0.000% due 10/13/2010 2,350 2,347Kreditanstalt fuer Wiederaufbau2.250% due 01/31/2011 2,250 2,256State of Hesse5.750% due 01/04/2011 2,200 2,219

DESCRIPTIONPAR

(000S)COST(000S)

German Postal Pensions Securitisation PLC2.750% due 01/18/2011 € 2,200 € 2,209Rabobank Nederland NV0.240% due 02/16/2010 2,200 2,200BNP Paribas Home Loan Covered Bonds S.A.4.125% due 01/24/2011 2,100 2,113Bank of Scotland PLC3.875% due 11/05/2010 2,100 2,109Societe Financement de l’Economie Francaise3.000% due 12/10/2010 2,100 2,107Nordea Hypotek AB4.250% due 11/23/2010 2,050 2,062Schleswig-Holsteinische Landschaft

Hypothekenbank AG5.500% due 01/17/2011 2,000 2,015

PROCEEDS(000S)


Bundesobligation2.500% due 10/08/2010 € 27,000 € 27,144Bundesschatzanweisungen4.000% due 09/10/2010 17,400 17,461Germany Treasury Bills0.000% due 06/30/2010 16,500 16,499Bundesschatzanweisungen2.250% due 12/10/2010 16,200 16,210Germany Treasury Bills0.000% due 09/29/2010 11,000 11,000France Government Bond5.500% due 10/25/2010 10,000 10,000Germany Treasury Bills0.000% due 01/26/2011 9,550 9,541France Treasury Bills0.000% due 08/12/2010 6,900 6,900France Treasury Bills0.000% due 08/19/2010 6,500 6,500Germany Treasury Bills0.000% due 05/18/2011 6,030 6,026ING Bank NV0.250% due 01/05/2010 6,000 6,000Bundesschatzanweisungen4.750% due 06/11/2010 5,710 5,724Germany Treasury Bills0.000% due 02/23/2011 5,110 5,096Germany Treasury Bills0.000% due 08/25/2010 3,850 3,849Dutch Treasury Certificate0.352% due 03/15/2010 3,800 3,800Dutch Treasury Certificate0.352% due 12/31/2009 3,800 3,800German Treasury Bills0.500% due 06/16/2010 3,800 3,800Netherlands Government Bond5.500% due 07/15/2010 3,800 3,800Dutch Treasury Bills0.000% due 07/30/2010 3,500 3,500Germany Treasury Bills0.000% due 04/20/2011 3,500 3,490Germany Treasury Bills0.000% due 08/11/2010 3,400 3,399Germany Treasury Bills0.000% due 11/24/2010 3,350 3,347Germany Treasury Bills0.000% due 10/13/2010 3,350 3,347Dutch Treasury Bills0.000% due 08/31/2010 3,300 3,300France Treasury Bills0.000% due 07/22/2010 3,000 3,000France Treasury Bills0.000% due 03/25/2010 3,000 2,999Germany Treasury Bills0.000% due 05/18/2011 2,850 2,842Rabobank Nederland NV0.230% due 01/19/2010 2,800 2,800


Significant Changes in Portfolio Composition Euro Liquidity Fund (Cont.)

DESCRIPTIONPAR

(000S)PROCEEDS

(000S)


Societe Generale0.230% due 01/19/2010 € 2,700 € 2,700ING Bank NV0.230% due 02/16/2010 2,600 2,600Germany Treasury Bills0.000% due 12/08/2010 2,600 2,598Dekabank5.750% due 05/12/2010 2,500 2,500European Investment Bank3.750% due 11/24/2010 2,500 2,500France Treasury Bills0.230% due 01/07/2010 2,500 2,500State of Baden-Wurttemberg3.500% due 11/19/2010 2,400 2,400Germany Treasury Bills0.000% due 11/10/2010 2,250 2,247Cedulas TDA3.250% due 06/19/2010 2,200 2,200France Treasury Bills0.000% due 07/29/2010 2,200 2,200Rabobank Nederland NV0.240% due 02/16/2010 2,200 2,200Bank of Scotland PLC3.875% due 11/05/2010 2,100 2,100Societe Financement de l’Economie Francaise3.000% due 12/10/2010 2,100 2,100Nordea Hypotek AB4.250% due 11/23/2010 2,050 2,050Republic of Germany5.250% due 07/04/2010 2,000 2,000Italy Buoni Poliennali Del Tesoro4.500% due 08/01/2010 2,000 2,000Cie de Financement Foncier3.875% due 02/11/2011 2,000 2,013Nederlandse Waterschapsbank NV2.750% due 02/21/2011 2,000 2,009Italy Buoni Poliennali Del Tesoro5.500% due 11/01/2010 2,000 2,002France Treasury Bills0.000% due 07/15/2010 2,000 2,000Dutch Treasury Bills0.000% due 09/30/2010 2,000 1,999Germany Treasury Bills0.000% due 02/17/2010 2,000 1,999Dutch Treasury Bills0.000% due 02/26/2010 2,000 1,999Realkredit Danmark A/S5.000% due 01/01/2011 1,900 1,923WestLB AG4.250% due 11/15/2010 1,828 1,835Bundesschatzanweisungen1.000% due 03/16/2012 1,800 1,815Dutch Treasury Bills0.000% due 09/30/2010 2,000 2,000France Treasury Bills0.386% due 03/04/2010 2,000 2,000France Treasury Bills0.000% due 07/15/2010 2,000 1,900Italy Buoni Poliennali Del Tesoro5.500% due 11/01/2010 2,000 1,815




Portfolio of Investments and Assets Euro Long Average Duration Fund31 December 2010

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS



Ford Motor Co.3.290% due 12/15/2013 $ 1,000 € 751 0.16Intelsat Jackson Holdings S.A.5.250% due 04/03/2018 6,000 4,566 0.96

5,317 1.12


BANKING & FINANCE

ABN Amro Bank NV2.750% due 10/29/2013 € 6,200 6,222 1.323.625% due 06/22/2020 2,000 1,966 0.413.750% due 07/15/2014 2,400 2,503 0.53AK Transneft OJSC Via TransCapitalInvest Ltd.6.103% due 06/27/2012 $ 2,200 1,739 0.378.700% due 08/07/2018 1,100 1,024 0.22Ally Financial, Inc.1.750% due 10/30/2012 3,000 2,298 0.49American Express Credit Corp.6.625% due 09/24/2012 £ 1,900 2,339 0.50American International Group, Inc.5.000% due 06/26/2017 € 250 236 0.055.000% due 04/26/2023 £ 600 581 0.125.050% due 10/01/2015 $ 500 386 0.085.600% due 10/18/2016 200 155 0.035.750% due 03/15/2067 £ 250 230 0.058.625% due 05/22/2038 800 918 0.20BA Covered Bond Issuer4.250% due 04/05/2017 € 5,000 5,085 1.08Banco Santander Brazil S.A.4.500% due 04/06/2015 $ 1,200 919 0.19Bank of Scotland PLC3.250% due 01/25/2013 € 1,700 1,722 0.363.875% due 01/15/2014 700 716 0.154.375% due 07/13/2016 10,500 10,774 2.284.750% due 01/26/2015 200 210 0.05Barclays Bank PLC4.250% due 03/02/2022 1,300 1,309 0.286.750% due 01/16/2023 £ 250 300 0.0610.000% due 05/21/2021 1,500 2,110 0.4510.179% due 06/12/2021 $ 1,080 1,010 0.21BNP Paribas Home Loan Covered Bonds S.A.2.500% due 06/09/2015 € 4,650 4,599 0.97Citigroup, Inc.4.000% due 11/26/2015 1,800 1,778 0.374.587% due 12/15/2015 $ 100 79 0.025.000% due 08/02/2019 € 1,500 1,469 0.31CL Capital Trust 17.047% due 04/29/2049 700 689 0.15Cooperatieve Centrale Raiffeisen-Boerenleenbank BA11.000% due 06/29/2049 $ 2,200 2,147 0.45Credit Mutuel Arkea Covered Bonds2.500% due 06/16/2015 € 1,100 1,079 0.23Danske Bank A/S3.750% due 06/23/2022 1,200 1,174 0.25Dexia Credit Local S.A.0.539% due 01/12/2012 $ 2,400 1,800 0.38DnB NORBank ASA7.250% due 06/23/2020 £ 450 585 0.12European Investment Bank4.000% due 10/15/2037 € 11,600 11,617 2.464.500% due 10/15/2025 1,300 1,399 0.29Export-Import Bank of Korea5.125% due 06/29/2020 $ 3,000 2,344 0.50FCE Bank PLC7.875% due 02/15/2011 £ 4,700 5,487 1.16Gazprom Via White Nights Finance BV10.500% due 03/25/2014 $ 1,800 1,620 0.34GMAC International Finance BV7.500% due 04/21/2015 € 1,900 1,976 0.42HBOS PLC1.327% due 09/01/2016 5,100 4,314 0.91

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

HSBC Finance Corp.6.676% due 01/15/2021 $ 6,600 € 5,004 1.06ING Bank NV4.750% due 05/27/2019 € 5,700 6,157 1.30Kreditanstalt fuer Wiederaufbau3.875% due 01/21/2019 2,200 2,311 0.49LBG Capital No.1 PLC6.439% due 05/23/2020 700 567 0.12LBG Capital No.2 PLC9.334% due 02/07/2020 £ 300 332 0.07LeasePlan Corp. NV4.250% due 10/07/2011 € 800 809 0.17Lloyds TSB Bank PLC3.375% due 03/17/2015 5,500 5,506 1.17Merrill Lynch & Co., Inc.1.328% due 05/30/2014 8,600 8,076 1.711.466% due 07/22/2014 1,300 1,222 0.266.875% due 04/25/2018 $ 400 329 0.07Morgan Stanley1.377% due 04/13/2016 € 1,800 1,619 0.341.407% due 01/16/2017 1,300 1,153 0.25Motability Operations Group PLC3.750% due 11/29/2017 5,300 5,261 1.11Nationwide Building Society2.875% due 09/14/2015 3,200 3,139 0.665.625% due 09/09/2019 £ 150 172 0.04RBS Capital Trust A6.467% due 12/29/2049 € 1,000 670 0.14Realkredit Danmark A/S2.000% due 01/01/2011 DKK 900 121 0.03Royal Bank of Scotland PLC0.489% due 04/11/2016 $ 4,700 2,923 0.623.000% due 09/08/2015 € 500 492 0.103.875% due 10/19/2020 5,700 5,381 1.14Scotland International Finance No. 2 BV4.250% due 05/23/2013 $ 2,300 1,713 0.36SNS Bank NV3.500% due 03/10/2014 € 3,200 3,359 0.71Societe Generale9.375% due 09/29/2049 200 211 0.05Stadshypotek AB3.000% due 10/01/2014 5,000 5,115 1.08Standard Chartered Bank7.750% due 04/03/2018 £ 7,200 9,658 2.04State Bank of India4.500% due 07/27/2015 $ 2,200 1,690 0.364.500% due 11/30/2015 € 1,600 1,608 0.34WM Covered Bond Program4.000% due 09/27/2016 800 815 0.174.375% due 05/19/2014 9,900 10,345 2.19

174,666 36.96

INDUSTRIALS

Akzo Nobel Sweden Finance AB7.750% due 01/31/2014 1,300 1,488 0.32Hanson Australia Funding Ltd.5.250% due 03/15/2013 $ 1,100 849 0.18Rhodia S.A.3.735% due 10/15/2013 € 471 471 0.10Sinochem Overseas Capital Co. Ltd.6.300% due 11/12/2040 $ 400 306 0.06Vivendi S.A.7.750% due 01/23/2014 € 350 399 0.08

3,513 0.74

UTILITIES

BP Capital Markets PLC3.830% due 10/06/2017 1,300 1,302 0.28Deutsche Telekom International Finance BV4.250% due 07/13/2022 1,400 1,369 0.29EDF S.A.5.125% due 09/22/2050 £ 300 336 0.076.250% due 01/25/2021 € 100 118 0.03France Telecom S.A.8.125% due 01/28/2033 1,200 1,645 0.35

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Gazprom OAO Via Morgan Stanley Bank AG9.625% due 03/01/2013 $ 1,400 € 1,197 0.25Gazprom Via Gaz Capital S.A.6.510% due 03/07/2022 500 385 0.088.125% due 07/31/2014 2,600 2,223 0.478.146% due 04/11/2018 600 523 0.11GDF Suez3.500% due 10/18/2022 € 5,700 5,351 1.13Qwest Corp.8.875% due 03/15/2012 $ 5,000 4,080 0.86Ras Laffan Liquefied Natural Gas Co. Ltd. III5.500% due 09/30/2014 1,300 1,048 0.225.832% due 09/30/2016 535 434 0.10Total Capital S.A.4.450% due 06/24/2020 6,200 4,823 1.02

24,834 5.26



Fannie Mae2.682% due 08/01/2036 26 21 0.004.500% due 01/01/2041 6,000 4,615 0.98

4,636 0.98


US Treasury Bills0.185% due 01/13/2011 -

06/02/2011 (a) 2,609 1,963 0.42US Treasury Notes1.000% due 08/31/2011 157 119 0.02

2,082 0.44


Arkle Master Issuer PLC1.434% due 05/17/2060 4,100 3,070 0.652.548% due 05/17/2060 € 1,600 1,600 0.34Arran Residential Mortgages Funding PLC2.203% due 05/16/2047 5,500 5,497 1.162.403% due 05/16/2047 5,500 5,483 1.16Atomium Mortgage Finance BV1.000% due 07/01/2034 1,042 999 0.21Countrywide Alternative Loan Trust0.441% due 02/20/2047 $ 409 180 0.040.441% due 05/25/2047 403 177 0.040.451% due 11/25/2046 265 120 0.02DECO Series1.192% due 04/27/2018 € 668 578 0.121.192% due 10/27/2020 558 476 0.101.292% due 07/27/2014 19 18 0.01EMF-NL1.737% due 04/17/2041 249 241 0.05Fosse Master Issuer PLC2.369% due 10/18/2054 £ 3,900 4,534 0.962.387% due 10/18/2054 € 2,100 2,098 0.44German Residential Asset Note Distributor PLC1.240% due 07/20/2016 1,524 1,342 0.28Gracechurch Mortgage Financing PLC0.364% due 11/20/2056 $ 1,960 1,453 0.310.384% due 11/20/2056 800 589 0.12Granite Master Issuer PLC0.913% due 12/17/2054 2,422 2,251 0.480.913% due 12/20/2054 3,138 2,912 0.61Granite Mortgages PLC1.344% due 03/20/2044 429 402 0.09Great Hall Mortgages PLC1.154% due 03/18/2039 529 452 0.10Greenpoint Mortgage Funding Trust0.341% due 10/25/2046 98 69 0.01Holland Euro-Denominated Mortgage-Backed Series1.146% due 05/18/2039 € 1,221 1,175 0.25Holland Homes MBS BV1.274% due 12/28/2080 1,082 1,048 0.22


Portfolio of Investments and Assets Euro Long Average Duration Fund (Cont.)

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Holmes Master Issuer PLC2.353% due 10/15/2054 € 400 € 400 0.09Immeo Residential Finance PLC1.186% due 12/15/2016 356 322 0.07Mansard Mortgages PLC1.399% due 12/15/2049 £ 4,453 4,392 0.93MESDAG BV1.199% due 10/25/2019 € 347 282 0.06MLCC Mortgage Investors, Inc.0.511% due 11/25/2035 $ 30 19 0.011.254% due 10/25/2035 22 15 0.00Monastery BV1.188% due 11/17/2044 € 1,482 1,188 0.25Mound Financing PLC1.170% due 02/08/2042 1,100 1,073 0.23Newgate Funding PLC1.349% due 12/15/2050 £ 1,481 1,659 0.35Opera Finance PLC1.226% due 01/22/2015 € 184 174 0.04Paragon Mortgages PLC1.470% due 05/15/2034 199 173 0.04Permanent Financing PLC1.139% due 06/10/2033 1,100 1,089 0.23Permanent Master Issuer PLC0.399% due 07/15/2033 $ 2,800 2,054 0.430.840% due 10/15/2033 £ 400 449 0.091.095% due 07/15/2033 € 700 693 0.152.685% due 07/15/2042 2,050 2,061 0.44Real Estate Capital PLC0.987% due 10/20/2014 £ 200 221 0.05Residential Accredit Loans, Inc.0.561% due 08/25/2035 $ 134 68 0.01Saecure BV1.135% due 05/25/2042 € 580 569 0.12Storm BV1.158% due 10/21/2046 1,584 1,570 0.331.172% due 06/22/2046 1,211 1,205 0.26Structured Asset Mortgage Investments, Inc.0.511% due 07/19/2035 $ 24 16 0.00

56,456 11.95


Asset-Backed European Securitisation Transaction Srl1.711% due 09/21/2020 € 4,864 4,866 1.03Bumper 2 S.A.2.524% due 06/20/2022 574 575 0.12Citigroup Mortgage Loan Trust, Inc.0.321% due 05/25/2037 $ 25 18 0.000.321% due 07/25/2045 41 26 0.01

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Countrywide Asset-Backed Certificates0.341% due 10/25/2047 $ 17 € 12 0.000.441% due 09/25/2036 47 30 0.01Globaldrive BV3.000% due 07/20/2015 € 1,243 1,246 0.274.000% due 10/20/2016 661 670 0.14JPMorgan Mortgage Acquisition Corp.0.311% due 10/25/2036 $ 11 8 0.00Long Beach Mortgage Loan Trust0.541% due 10/25/2034 28 17 0.00Magnolia Funding Ltd.3.000% due 04/20/2017 € 2,199 2,192 0.47MASTR Asset-Backed Securities Trust0.341% due 05/25/2037 $ 17 12 0.00Merrill Lynch First Franklin Mortgage Loan Trust0.321% due 07/25/2037 10 7 0.00SLM Student Loan Trust0.438% due 01/25/2017 3 3 0.00Wells Fargo Home Equity Trust0.491% due 10/25/2035 21 16 0.00

9,698 2.05

SOVEREIGN ISSUES


4.125% due 09/15/2017 € 2,000 1,960 0.41Belgium Government Bond2.750% due 03/28/2016 14,700 14,270 3.024.250% due 03/28/2041 9,400 9,113 1.93Brazil Notas do Tesouro Nacional Series F10.000% due 01/01/2021 BRL 61,000 24,312 5.15Finland Government Bond4.250% due 07/04/2015 € 570 626 0.13France Government Bond4.000% due 10/25/2038 400 408 0.094.000% due 04/25/2055 130 132 0.034.000% due 04/25/2060 37,160 37,724 7.984.500% due 04/25/2041 943 1,043 0.224.750% due 04/25/2035 13,767 15,611 3.305.750% due 10/25/2032 800 1,021 0.22France Treasury Bills0.523% due 02/24/2011 1,900 1,899 0.40Germany Treasury Bills0.320% due 03/30/2011 700 699 0.15Italy Buoni Poliennali Del Tesoro5.000% due 08/01/2039 68,100 64,247 13.605.000% due 09/01/2040 22,100 20,815 4.40Kingdom of Morocco4.500% due 10/05/2020 5,700 5,468 1.16

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Netherlands Government Bond3.750% due 01/15/2023 € 1,600 € 1,664 0.355.500% due 01/15/2028 600 749 0.16Province of Ontario Canada4.000% due 12/03/2019 6,200 6,467 1.37Province of Quebec Canada3.625% due 02/10/2015 3,500 3,654 0.775.000% due 04/29/2019 1,800 2,022 0.43Republic of Germany3.250% due 07/04/2042 2,000 1,934 0.413.500% due 07/04/2019 20 21 0.004.000% due 07/04/2016 24 26 0.014.000% due 01/04/2037 18,700 20,243 4.284.250% due 07/04/2039 205 234 0.054.750% due 07/04/2028 13,600 15,814 3.354.750% due 07/04/2034 4,926 5,896 1.254.750% due 07/04/2040 19,470 24,120 5.105.500% due 01/04/2031 500 638 0.135.625% due 01/04/2028 994 1,264 0.27State of Hesse2.000% due 06/16/2015 5,300 5,245 1.11

289,339 61.23



(Dated 12/30/2010.Collateralised by USTreasury Notes 3.625%due 08/15/2019 valuedat $6,922. Collateralisedby US Treasury Notes3.625% due 02/15/2020valued at $732.Repurchase proceeds are$7,500) $ 7,500 5,647 1.20


(Dated 12/30/2010.Collateralised byGermany Treasury Bills0.000% due 05/18/2011valued at €12,840.Repurchase proceeds are€12,861.) € 12,860 12,860 2.72

18,507 3.92



FUTURES


Month# of

ContractsUnrealised

(Depreciation)% of

Net Assets

Euro-Buxl 30-Year Bond March Futures Long 03/2011 443 € (192) (0.04)United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures Long 12/2011 345 (25) (0.00)United Kingdom Treasury 10-Year Gilt March Futures Long 03/2011 27 (34) (0.01)US Treasury 5-Year Note March Futures Long 03/2011 203 (349) (0.07)

€ (600) (0.12)



31 December 2010


WRITTEN OPTIONS


ExerciseRate

ExpirationDate

NotionalAmount Premiums Fair Value

% ofNet Assets


Put - OTC 2-Year Interest Rate Swap BOA 6-Month EUR-LIBOR Pay 2.500% 09/19/2012 € 33,700 € (199) € (372) (0.08)Put - OTC 2-Year Interest Rate Swap JPM 6-Month EUR-LIBOR Pay 2.500% 09/19/2012 29,800 (162) (329) (0.07)Put - OTC 2-Year Interest Rate Swap RBS 6-Month EUR-LIBOR Pay 2.500% 09/19/2012 15,300 (91) (169) (0.04)Call - OTC 1-Year Interest Rate Swap BOA 3-Month GBP-LIBOR Receive 1.250% 06/15/2011 £ 31,900 (70) (105) (0.02)Call - OTC 1-Year Interest Rate Swap CITI 3-Month GBP-LIBOR Receive 1.250% 06/15/2011 15,800 (35) (52) (0.01)Put - OTC 5-Year Interest Rate Swap DUB 6-Month GBP-LIBOR Pay 2.600% 03/29/2011 4,900 (33) (93) (0.02)Put - OTC 5-Year Interest Rate Swap GSC 6-Month GBP-LIBOR Pay 2.600% 03/29/2011 4,900 (34) (93) (0.02)Put - OTC 5-Year Interest Rate Swap JPM 6-Month GBP-LIBOR Pay 2.600% 03/28/2011 12,600 (92) (239) (0.05)Put - OTC 2-Year Interest Rate Swap BOA 3-Month USD-LIBOR Pay 2.250% 09/24/2012 $ 11,900 (49) (127) (0.03)Put - OTC 2-Year Interest Rate Swap CITI 3-Month USD-LIBOR Pay 2.250% 09/24/2012 700 (4) (7) 0.00Put - OTC 10-Year Interest Rate Swap DUB 3-Month USD-LIBOR Pay 10.000% 07/10/2012 4,700 (21) (3) 0.00Put - OTC 2-Year Interest Rate Swap RBS 3-Month USD-LIBOR Pay 2.250% 09/24/2012 43,100 (257) (460) (0.10)Call - OTC 10-Year Interest Rate Swap SOG 3-Month USD-LIBOR Receive 3.250% 01/24/2011 5,700 (25) (15) 0.00Put - OTC 10-Year Interest Rate Swap SOG 3-Month USD-LIBOR Pay 5.000% 01/24/2011 5,700 (35) 0 0.00

€ (1,107) € (2,064) (0.44)


ExpirationDate


FairValue

% ofNet Assets

STRADDLE OPTIONS


€ (246) € (392) (0.08)




NotionalAmount(3)

FairValue

UpfrontPremiums

Paid/(Received)


% ofNet Assets

Ally Financial, Inc. (5.000%) 06/20/2015 GSC € 1,900 € (200) € (150) € (50) (0.04)FCE Bank PLC (5.000%) 03/20/2011 BCLY £ 4,700 (56) (72) 16 (0.01)Hanson Ltd. (1.000%) 03/20/2013 DUB $ 1,100 4 (2) 6 0.00Qwest Corp. (1.000%) 03/20/2012 CSFB 5,000 (28) 71 (99) (0.01)

€ (280) € (153) € (127) (0.06)



Receive Rate Maturity Date CounterpartyNotional

Amount(3)Fair

Value

UpfrontPremiums

Paid/(Received)


% ofNet Assets

Abu Dhabi Government International Bond 1.000% 12/20/2014 BCLY $ 1,200 € 8 € (33) € 41 0.00Abu Dhabi Government International Bond 1.000% 12/20/2014 GSC 4,000 26 (97) 123 0.01Australia Government Bond 1.000% 12/20/2014 CITI 3,700 62 75 (13) 0.01Australia Government Bond 1.000% 12/20/2015 DUB 5,300 99 96 3 0.02Australia Government Bond 1.000% 12/20/2015 MSC 1,800 33 30 3 0.01BP Capital Markets America, Inc. 5.000% 06/20/2015 GSC 500 68 (15) 83 0.01China Government International Bond 1.000% 06/20/2015 BNP 1,800 23 16 7 0.00China Government International Bond 1.000% 06/20/2015 RBS 2,800 36 31 5 0.01Egypt Government International Bond 1.000% 06/20/2015 CITI 600 (24) (32) 8 0.00Egypt Government International Bond 1.000% 06/20/2015 DUB 200 (8) (10) 2 0.00France Government Bond 0.250% 12/20/2015 BCLY 14,900 (417) (261) (156) (0.09)France Government Bond 0.250% 06/20/2015 CITI 7,400 (175) (115) (60) (0.04)France Government Bond 0.250% 06/20/2015 DUB 700 (17) (21) 4 0.00France Government Bond 0.250% 12/20/2015 GSC 17,700 (496) (331) (165) (0.10)General Electric Capital Corp. 5.000% 09/20/2014 DUB 1,100 115 48 67 0.02ING Verzekeringen NV 1.400% 06/20/2011 DUB € 2,900 0 0 0 0.00Japan Government International Bond 1.000% 06/20/2015 GSC $ 3,000 37 40 (3) 0.01Japan Government International Bond 1.000% 03/20/2016 RBS 3,300 35 37 (2) 0.01Netherlands Government Bond 0.250% 12/20/2015 BCLY 1,100 (14) (14) 0 0.00Netherlands Government Bond 0.250% 12/20/2015 SOG 4,400 (57) (56) (1) (0.01)Republic of Germany 0.250% 06/20/2015 CITI 3,100 (28) (38) 10 (0.01)Republic of Germany 0.250% 06/20/2015 MSC 5,800 (52) (62) 10 (0.01)Republic of Korea 1.000% 03/20/2011 CITI 600 1 3 (2) 0.00Republic of Korea 1.000% 03/20/2011 GSC 100 0 0 0 0.00Republic of Korea 1.000% 06/20/2015 UBS 2,100 7 (56) 63 0.00Tesco PLC 1.000% 12/20/2015 BCLY € 1,700 22 12 10 0.00Tesco PLC 1.000% 12/20/2015 BOA 600 8 4 4 0.00United Kingdom Gilt 1.000% 06/20/2015 BNP $ 3,300 37 12 25 0.01United Kingdom Gilt 1.000% 06/20/2015 BOA 5,300 59 39 20 0.01United Kingdom Gilt 1.000% 12/20/2015 BOA 10,500 111 172 (61) 0.02





Amount(3)Fair

Value

UpfrontPremiums

Paid/(Received)


% ofNet Assets

United Kingdom Gilt 1.000% 03/20/2015 DUB $ 3,400 € 39 € 24 € 15 0.01United Kingdom Gilt 1.000% 12/20/2014 GSC 3,200 37 21 16 0.01United Kingdom Gilt 1.000% 06/20/2015 GSC 2,000 22 18 4 0.00United Kingdom Gilt 1.000% 12/20/2015 GSC 9,800 103 165 (62) 0.02US Treasury Notes 0.250% 12/20/2014 BNP € 3,300 (9) (12) 3 0.00

€ (309) € (310) € 1 (0.06)





FairValue

UpfrontPremiums


Appreciation% of

Net Assets

Dow Jones CDX N.A. IG15 1.000% 12/20/2015 DUB $ 101,000 € 560 € 434 € 126 0.12




INTEREST RATE SWAPS



NotionalAmount

FairValue

UpfrontPremiums


(Depreciation)% of

Net Assets

Pay 6-Month EUR-LIBOR 2.000% 03/16/2016 BCLY € 57,400 € (1,652) € (667) € (985) (0.35)Pay 6-Month EUR-LIBOR 3.000% 03/16/2021 MSC 22,000 (712) (314) (398) (0.15)

€ (2,364) € (981) € (1,383) (0.50)


Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Buy AUD 4,849 BCLY 01/2011 € 71 € 0 € 71 0.02Buy 6,106 CITI 01/2011 64 0 64 0.01Buy 11,308 RBS 01/2011 254 0 254 0.06Sell 9,698 RBS 02/2011 0 (175) (175) (0.04)Buy BRL 5,213 MSC 02/2011 114 0 114 0.03Sell 20,111 RBS 02/2011 0 (761) (761) (0.16)Sell 45,388 CITI 03/2011 0 (1,212) (1,212) (0.26)Buy 12,337 BNP 04/2011 65 0 65 0.01Buy CAD 3,761 BNP 02/2011 1 0 1 0.00Buy 8,700 MSC 02/2011 32 0 32 0.01Buy CNY 43,718 BCLY 01/2011 561 0 561 0.12Sell 70,214 BCLY 01/2011 0 (54) (54) (0.01)Buy 6,375 BOA 01/2011 55 0 55 0.01Buy 25,650 DUB 01/2011 45 0 45 0.01Buy 2,043 JPM 01/2011 26 0 26 0.00Buy 11,288 MSC 01/2011 98 0 98 0.02Sell 18,861 RBS 01/2011 0 (83) (83) (0.02)Buy 9,974 BCLY 04/2011 42 (2) 40 0.01Buy 3,781 CITI 04/2011 0 (3) (3) 0.00Buy 23,821 HSBC 04/2011 120 0 120 0.02Buy 6,618 JPM 04/2011 33 0 33 0.01Sell 20,658 JPM 04/2011 135 0 135 0.03Buy 2,039 RBS 04/2011 0 (6) (6) 0.00Sell 25,650 DUB 02/2012 0 (46) (46) (0.01)Sell DKK 22,100 BCLY 01/2011 0 (6) (6) 0.00Sell 68,600 GSC 01/2011 0 (21) (21) (0.01)Buy 60,000 MSC 01/2011 0 (1) (1) 0.00Buy 3,895 RBC 02/2011 0 0 0 0.00Buy 25,641 RBS 02/2011 0 (1) (1) 0.00Sell £ 5,161 RBS 01/2011 127 0 127 0.03Sell 2,760 CITI 02/2011 44 0 44 0.01Sell 370 CSFB 02/2011 8 0 8 0.00Sell 31,012 RBS 02/2011 817 0 817 0.17Buy 8,080 UBS 02/2011 0 (266) (266) (0.06)Buy KRW 784,900 BCLY 05/2011 14 0 14 0.00Buy 7,654,000 CITI 05/2011 200 0 200 0.04Buy 632,533 GSC 05/2011 13 0 13 0.00Buy 1,481,000 HSBC 05/2011 31 0 31 0.01Buy 3,415,900 JPM 05/2011 81 0 81 0.02Sell 16,912,350 JPM 05/2011 0 (236) (236) (0.05)Buy 2,970,000 RBS 05/2011 83 0 83 0.02


31 December 2010

Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Buy MYR 4,350 BCLY 02/2011 € 41 € 0 € 41 0.01Buy 1,530 CITI 02/2011 13 0 13 0.00Buy 2,690 DUB 02/2011 31 0 31 0.01Buy 12,936 JPM 02/2011 68 0 68 0.01Buy 1,420 RBS 02/2011 11 0 11 0.00Sell 22,875 RBS 02/2011 0 (301) (301) (0.06)Buy PHP 34,470 CITI 06/2011 27 0 27 0.01Sell 36,246 CITI 06/2011 0 (29) (29) (0.01)Buy SGD 6,260 BOA 03/2011 14 0 14 0.00Buy 1,546 DUB 03/2011 10 0 10 0.00Buy 1,300 JPM 03/2011 2 0 2 0.00Buy 1,560 RBS 03/2011 0 0 0 0.00Sell 20,526 RBS 03/2011 0 (271) (271) (0.06)Buy 1,033 CSFB 06/2011 32 0 32 0.01Buy 8,976 DUB 06/2011 303 0 303 0.07Sell TWD 117,431 DUB 01/2011 0 (94) (94) (0.02)Buy 117,431 RBS 01/2011 262 0 262 0.05Buy 117,431 DUB 04/2011 140 0 140 0.03Sell 268,200 DUB 04/2011 0 (295) (295) (0.06)Buy 241,482 JPM 04/2011 641 0 641 0.14Sell 193,830 JPM 04/2011 0 (217) (217) (0.05)Buy 103,783 RBS 04/2011 276 0 276 0.06Buy $ 20,201 BCLY 01/2011 84 (47) 37 0.01Sell 11,351 BCLY 01/2011 35 (545) (510) (0.11)Sell 4,560 BNP 01/2011 37 0 37 0.01Sell 960 BOA 01/2011 0 (51) (51) (0.01)Buy 8,251 CITI 01/2011 129 (11) 118 0.02Sell 153,436 CITI 01/2011 58 (2,032) (1,974) (0.42)Sell 9,580 CSFB 01/2011 70 0 70 0.01Buy 3,923 DUB 01/2011 18 0 18 0.00Sell 3,857 DUB 01/2011 0 (24) (24) (0.01)Sell 13,309 JPM 01/2011 118 (26) 92 0.02Buy 6,710 MSC 01/2011 0 (51) (51) (0.01)Sell 1,700 MSC 01/2011 0 (90) (90) (0.02)Buy 11,860 RBS 01/2011 109 (84) 25 0.01Sell 14,514 RBS 01/2011 232 (56) 176 0.04Sell 1,401 BCLY 02/2011 0 (32) (32) (0.01)Sell 3,719 BNP 02/2011 29 0 29 0.01Buy 8,391 CITI 02/2011 0 (24) (24) (0.01)Sell 494 CITI 02/2011 0 (11) (11) 0.00Sell 867 DUB 02/2011 0 (26) (26) (0.01)Sell 4,154 JPM 02/2011 0 (33) (33) (0.01)Sell 11,666 MSC 02/2011 33 (75) (42) (0.01)Sell 725 RBC 02/2011 0 (23) (23) 0.00Buy 77,482 RBS 02/2011 833 (35) 798 0.17Sell 5,010 RBS 02/2011 13 (10) 3 0.00Buy 1,040 UBS 02/2011 2 0 2 0.00Sell 4,655 BOA 03/2011 140 0 140 0.03Buy 26,614 CITI 03/2011 977 0 977 0.21Sell 1,157 DUB 03/2011 23 0 23 0.00Sell 965 JPM 03/2011 31 0 31 0.01Buy 15,700 RBS 03/2011 95 0 95 0.02Sell 1,158 RBS 03/2011 40 0 40 0.01Sell 1,503 BCLY 04/2011 7 (35) (28) (0.01)Sell 7,060 BNP 04/2011 92 0 92 0.02Sell 564 CITI 04/2011 12 0 12 0.00Buy 9,000 DUB 04/2011 56 0 56 0.01Sell 3,953 DUB 04/2011 0 (44) (44) (0.01)Sell 3,600 HSBC 04/2011 0 (98) (98) (0.02)Buy 9,580 JPM 04/2011 40 (186) (146) (0.03)Sell 8,930 JPM 04/2011 0 (323) (323) (0.07)Sell 3,707 RBS 04/2011 10 (122) (112) (0.02)Sell 699 BCLY 05/2011 0 (20) (20) 0.00Sell 6,807 CITI 05/2011 0 (252) (252) (0.05)Sell 557 GSC 05/2011 0 (13) (13) 0.00Sell 1,319 HSBC 05/2011 0 (43) (43) (0.01)Buy 14,700 JPM 05/2011 93 0 93 0.02Sell 3,012 JPM 05/2011 0 (85) (85) (0.02)Sell 2,625 RBS 05/2011 0 (91) (91) (0.02)Buy 825 CITI 06/2011 23 0 23 0.00Sell 784 CITI 06/2011 0 (21) (21) 0.00Sell 789 CSFB 06/2011 0 (22) (22) 0.00Sell 6,899 DUB 06/2011 0 (252) (252) (0.05)Buy 3,960 DUB 02/2012 27 0 27 0.01

€ 8,471 € (8,973) € (502) (0.11)





DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS


BNP Paribas Bank0.088% due 12/31/2010 € 1,006 € 1,006 0.21Brown Brothers Harriman & Co.0.054% due 12/31/2010 CAD 8 6 0.000.667% due 12/31/2010 NOK 1 0 0.00HSBC Bank0.070% due 12/31/2010 £ 521 603 0.13Nordea Bank AB0.030% due 12/31/2010 $ 233 176 0.04Total Overnight Time Deposits € 1,791 0.38Other Current Assets & Liabilities € (112,345) (23.76)Net Assets € 472,543 100.00


(a) Securities with an aggregate market value of €1,963 have been segregated with the Custodian to cover margin requirements for the open futures contracts as at 31 December 2010.

(b) Cash of €7,205 has been pledged as collateral for swap, swaption and foreign currency contracts as at 31 December 2010 as governed by International Swaps and Derivative Association, Inc.Master Agreements.



Category3




(Level 2)



Transferable Securities € 0 € 589,048 € 0 € 589,048Financial Derivative Instruments4 (600) (4,959) (392) (5,951)Totals € (600) € 584,089 € (392) € 583,097


Category3

StartingBalance

at 31-Dec-2009Net

Purchases5Net

Sales5


RealisedGains/

(Losses)




Level 3

EndingBalance

at 31-Dec-2010




Financial Derivative Instruments4 € 0 € (245) € 0 € 0 € 0 € (147) € 0 € (392) € (147)


Category3




(Level 2)



Transferable Securities € 0 € 507,702 € 0 € 507,702Financial Derivative Instruments4 (974) (2,797) 0 (3,771)Totals € (974) € 504,905 € 0 € 503,931


Category3

StartingBalance

at 31-Dec-2008Net

Purchases5Net

Sales5


RealisedGains/

(Losses)




Level 3

EndingBalance

at 31-Dec-2009




Transferable Securities € 748 € 0 € (719) € 0 € 50 € (79) € 0 € 0 € 0





Significant Changes in Portfolio Composition Euro Long Average Duration Fund (Unaudited)31 December 2010

DESCRIPTIONPAR

(000S)COST(000S)


Republic of Germany4.000% due 01/04/2037 € 382,000 € 408,122Republic of Germany1.000% due 03/16/2012 225,700 227,744Republic of Germany4.750% due 07/04/2028 149,000 175,749Republic of Germany3.250% due 01/04/2020 156,500 158,929France Government Bond4.750% due 04/25/2035 132,000 147,165France Government Bond4.000% due 04/25/2060 128,360 139,161Republic of Austria4.300% due 09/15/2017 118,000 130,474Republic of Germany3.750% due 01/04/2019 111,750 120,681Republic of Germany4.250% due 07/04/2018 90,300 101,088United Kingdom Gilt4.750% due 09/07/2015 £ 66,900 90,153Bundesschatzanweisungen1.000% due 03/16/2012 € 74,700 74,854Republic of Germany3.000% due 07/04/2020 68,860 72,313Republic of Germany4.750% due 07/04/2040 51,920 65,067Italy Buoni Poliennali Del Tesoro5.000% due 08/01/2039 61,200 63,269Italy Buoni Poliennali Del Tesoro5.000% due 09/01/2040 53,700 55,896Spain Government Bond4.700% due 07/30/2041 60,300 55,118Italy Buoni Poliennali Del Tesoro4.250% due 02/01/2019 45,400 47,420Republic of Germany3.500% due 07/04/2019 43,900 47,050Netherlands Government Bond4.000% due 07/15/2018 41,900 45,736Bundesschatzanweisungen4.000% due 09/10/2010 45,000 45,511Republic of Germany5.500% due 01/04/2031 34,200 45,113Bundesobligation2.250% due 04/11/2014 32,590 34,144Germany Treasury Bills0.000% due 04/20/2011 32,900 32,759Republic of Germany5.250% due 01/04/2011 28,400 29,422Belgium Government Bond2.750% due 03/28/2016 29,400 29,350Republic of Germany4.750% due 07/04/2034 21,000 27,040Republic of Germany4.000% due 01/04/2018 24,590 26,794Bundesobligation2.500% due 02/27/2015 25,900 26,387Spain Government Bond4.200% due 01/31/2037 29,200 26,236Brazil Notas do Tesouro Nacional Series F10.000% due 01/01/2021 BRL 61,000 24,703Republic of Germany3.750% due 01/04/2015 € 22,380 24,135US Treasury Notes3.125% due 05/15/2019 $ 29,200 23,829Italy Buoni Poliennali Del Tesoro3.750% due 08/01/2015 € 22,200 23,044Brazil Notas do Tesouro Nacional Series F10.000% due 01/01/2017 BRL 58,300 22,326Italy Buoni Poliennali Del Tesoro4.250% due 09/01/2019 € 19,100 19,702Republic of Germany5.000% due 01/04/2012 17,200 18,281Germany Treasury Bills0.000% due 08/11/2010 18,000 17,975

DESCRIPTIONPAR

(000S)PROCEEDS

(000S)


Republic of Germany4.000% due 01/04/2037 € 364,793 € 395,146Republic of Germany4.750% due 07/04/2028 199,000 234,145Republic of Germany1.000% due 03/16/2012 225,700 227,791France Government Bond4.750% due 04/25/2035 165,300 187,088Republic of Germany3.250% due 01/04/2020 156,500 158,940Republic of Austria4.300% due 09/15/2017 118,000 131,062Republic of Germany3.750% due 01/04/2019 111,750 121,146France Government Bond4.000% due 04/25/2060 97,400 108,054Republic of Germany4.250% due 07/04/2018 90,300 100,844United Kingdom Gilt4.750% due 09/07/2015 £ 66,900 89,232Bundesschatzanweisungen1.000% due 03/16/2012 € 74,700 74,880Republic of Germany3.000% due 07/04/2020 68,860 71,831Italy Buoni Poliennali Del Tesoro5.000% due 08/01/2039 68,100 70,376Spain Government Bond4.700% due 07/30/2041 63,000 57,906Italy Buoni Poliennali Del Tesoro4.250% due 02/01/2019 45,400 46,767Republic of Germany3.500% due 07/04/2019 43,880 46,227Republic of Germany5.500% due 01/04/2031 34,700 46,213Netherlands Government Bond4.000% due 07/15/2018 41,900 46,181Italy Buoni Poliennali Del Tesoro5.000% due 09/01/2040 44,300 45,646Bundesschatzanweisungen4.000% due 09/10/2010 45,000 45,454Republic of Germany4.750% due 07/04/2040 32,450 39,721Bundesobligation2.250% due 04/11/2014 32,590 34,141Spain Government Bond4.900% due 07/30/2040 32,500 33,905Germany Treasury Bills0.000% due 04/20/2011 32,900 32,760Republic of Germany5.250% due 01/04/2011 28,400 29,403Republic of Germany4.750% due 07/04/2034 22,400 28,358Republic of Germany4.000% due 01/04/2018 24,590 26,854Bundesobligation2.500% due 02/27/2015 25,900 26,375Spain Government Bond4.200% due 01/31/2037 29,200 26,215Brazil Notas do Tesouro Nacional Series F10.000% due 01/01/2017 BRL 58,300 24,274Republic of Germany3.750% due 01/04/2015 € 22,380 24,163US Treasury Notes3.125% due 05/15/2019 $ 29,200 23,660Italy Buoni Poliennali Del Tesoro3.750% due 08/01/2015 € 22,200 23,041Italy Buoni Poliennali Del Tesoro4.250% due 09/01/2019 19,100 19,695Italy Buoni Poliennali Del Tesoro5.750% due 02/01/2033 16,600 18,603Republic of Germany5.000% due 01/04/2012 17,200 18,272


Significant Changes in Portfolio Composition Euro Long Average Duration Fund (Cont.)

DESCRIPTIONPAR

(000S)PROCEEDS

(000S)


Italy Buoni Poliennali Del Tesoro6.500% due 01/11/2027 € 14,700 € 18,070Germany Treasury Bills0.000% due 08/11/2010 18,000 17,975




Portfolio of Investments and Assets Euro Real Return Fund31 December 2010

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS



Kabel Deutschland4.500% due 12/20/2016 € 1,000 € 1,006 0.67


BANKING & FINANCE

AK Transneft OJSC Via TransCapitalInvest Ltd.7.700% due 08/07/2013 $ 1,500 1,256 0.84American International Group, Inc.4.875% due 03/15/2067 € 1,150 908 0.60ANZ Capital Trust III1.686% due 12/15/2053 300 235 0.16Bank Nederlandse Gemeenten3.000% due 03/30/2017 2,500 2,499 1.66Bank of Scotland PLC4.625% due 06/08/2017 600 620 0.41Banque Centrale de Tunisie S.A.4.750% due 04/07/2011 800 809 0.54Banque PSA Finance3.250% due 11/26/2012 700 705 0.47CIT Group, Inc.7.000% due 05/01/2013 $ 140 107 0.077.000% due 05/01/2014 209 159 0.11Cooperatieve Centrale Raiffeisen-Boerenleenbank BA6.875% due 03/19/2020 € 1,100 1,045 0.69Erste Group Bank AG3.000% due 01/23/2012 2,000 2,036 1.35FCE Bank PLC7.125% due 01/16/2012 700 721 0.48Fortis Bank Nederland NV1.750% due 05/07/2014 700 708 0.47Gazprom Via White Nights Finance BV10.500% due 03/25/2014 $ 1,100 990 0.66HSBC Finance Corp.3.690% due 09/15/2013 (a) 500 381 0.25IKB Deutsche Industriebank AG2.625% due 03/13/2012 € 1,500 1,529 1.02Imperial Tobacco Finance PLC5.000% due 06/25/2012 400 418 0.28ING Bank NV5.250% due 06/05/2018 900 1,000 0.66Landeskreditbank Baden-Wuerttemberg Foerderbank1.098% due 11/17/2014 3,000 2,986 1.99Lloyds TSB Bank PLC6.500% due 03/24/2020 700 645 0.43Nationwide Building Society4.125% due 02/27/2012 3,000 3,072 2.04NRW.Bank1.028% due 02/17/2014 3,000 2,975 1.98Royal Bank of Scotland PLC3.000% due 09/08/2015 3,300 3,246 2.163.875% due 10/19/2020 1,000 944 0.63SLM Corp. (a)2.794% due 09/15/2012 $ 50 36 0.033.269% due 11/21/2013 200 139 0.093.292% due 01/31/2014 50 35 0.02SNS Bank NV2.875% due 01/30/2012 € 2,000 2,038 1.35State Bank of India4.500% due 11/30/2015 200 201 0.13Swedbank AB1.593% due 04/30/2012 900 907 0.60

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

USB Capital IX6.189% due 10/29/2049 $ 700 € 412 0.27Valhalla I S.A.1.364% due 03/26/2013 € 1,200 1,201 0.80

34,963 23.24

INDUSTRIALS

BAA Funding Ltd.3.975% due 02/15/2012 1,500 1,525 1.01Gerdau Trade, Inc.5.750% due 01/30/2021 $ 500 377 0.25HeidelbergCement Finance BV7.625% due 01/25/2012 € 1,300 1,371 0.91Pemex Project Funding Master Trust6.375% due 08/05/2016 350 385 0.26Volkswagen International Finance NV5.625% due 02/09/2012 500 524 0.35

4,182 2.78

UTILITIES

Centrais Eletricas Brasileiras S.A.6.875% due 07/30/2019 $ 250 214 0.14France Telecom S.A.3.000% due 07/25/2018 (a) € 1,626 1,784 1.19Koninklijke KPN NV5.000% due 11/13/2012 350 371 0.25Qtel International Finance Ltd.3.375% due 10/14/2016 $ 500 361 0.24

2,730 1.82



Fannie Mae0.391% due 03/25/2036 47 33 0.02


US Treasury Notes0.875% due 04/30/2011 34 26 0.02


Arena BV1.238% due 02/17/2037 € 71 70 0.05Arkle Master Issuer PLC2.548% due 05/17/2060 400 400 0.27Bancaja Fondo de Titulizacion de Activos1.165% due 12/26/2043 223 182 0.12Beluga Master Issuer BV1.167% due 04/28/2099 500 490 0.321.217% due 04/28/2099 200 193 0.13Delphinus BV1.135% due 09/25/2096 600 594 0.39Dutch MBS BV1.130% due 07/02/2037 698 680 0.451.175% due 11/02/2037 303 293 0.20Dutch Mortgage Portfolio Loans BV1.934% due 07/25/2047 1,200 1,196 0.80Fosse Master Issuer PLC2.378% due 10/18/2054 1,200 1,198 0.80German Residential Asset Note Distributor PLC1.240% due 07/20/2016 805 708 0.47Granite Master Issuer PLC0.913% due 12/20/2054 606 562 0.370.923% due 12/20/2054 606 563 0.38Holland Euro-Denominated Mortgage-Backed Series1.146% due 05/18/2039 611 587 0.39

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

IntesaBci Sec 2 Srl1.311% due 08/28/2023 € 62 € 62 0.04Permanent Financing PLC1.139% due 06/10/2033 1,000 990 0.66Realkredit Danmark A/S1.000% due 04/01/2011 5,500 5,498 3.65Rivoli Pan Europe PLC1.226% due 08/03/2018 845 699 0.46Saecure BV1.135% due 05/25/2042 512 502 0.331.275% due 11/25/2051 179 178 0.12

15,645 10.40


Asset-Backed European Securitisation Transaction Srl1.711% due 09/21/2020 1,150 1,150 0.76AUTO ABS Srl1.135% due 07/25/2017 362 359 0.24Bavarian Sky S.A.0.899% due 08/15/2015 82 82 0.06Countrywide Asset-Backed Certificates0.421% due 02/25/2036 $ 1 1 0.00Globaldrive BV1.813% due 02/20/2016 € 152 153 0.103.000% due 07/20/2015 439 440 0.294.000% due 10/20/2016 371 376 0.25SC Germany Auto0.892% due 08/11/2015 16 16 0.01

2,577 1.71

SOVEREIGN ISSUES

Caisse d’Amortissement de la Dette Sociale1.850% due 07/25/2017 (a) 1,058 1,116 0.74France Government Bond (a)1.000% due 07/25/2017 4,211 4,307 2.861.100% due 07/25/2022 17,630 16,800 11.171.300% due 07/25/2019 5,791 5,901 3.921.800% due 07/25/2040 5,057 5,244 3.493.150% due 07/25/2032 2,555 3,233 2.153.400% due 07/25/2029 4,295 5,569 3.70Italy Buoni Poliennali Del Tesoro (a)2.100% due 09/15/2017 2,730 2,666 1.772.100% due 09/15/2021 14,555 13,440 8.942.150% due 09/15/2014 8,026 8,099 5.382.550% due 09/15/2041 2,756 2,426 1.612.600% due 09/15/2023 16,732 15,869 10.55Kingdom of Morocco4.500% due 10/05/2020 500 480 0.32Republic of Germany3.750% due 01/04/2017 25 27 0.024.000% due 01/04/2018 25 27 0.014.250% due 07/04/2017 25 28 0.02Republic of Germany Inflation Linked (a)1.500% due 04/15/2016 6,551 6,952 4.621.750% due 04/15/2020 16,158 17,182 11.42Republic of Italy6.000% due 02/22/2011 $ 1,800 1,363 0.91State of Baden-Wurttemberg3.500% due 01/14/2015 € 3,500 3,672 2.44

114,401 76.04



Portfolio of Investments and Assets Euro Real Return Fund (Cont.)


WRITTEN OPTIONS


ExerciseRate

ExpirationDate


FairValue

% ofNet Assets


Put - OTC 2-Year Interest Rate Swap BOA 6-Month EUR-LIBOR Pay 2.500% 09/19/2012 € 8,700 € (52) € (96) (0.06)Put - OTC 2-Year Interest Rate Swap JPM 6-Month EUR-LIBOR Pay 2.500% 09/19/2012 6,400 (37) (71) (0.05)Put - OTC 2-Year Interest Rate Swap RBS 6-Month EUR-LIBOR Pay 2.500% 09/19/2012 4,300 (26) (47) (0.03)Put - OTC 2-Year Interest Rate Swap BOA 3-Month USD-LIBOR Pay 2.250% 09/24/2012 $ 3,700 (15) (39) (0.03)Put - OTC 2-Year Interest Rate Swap CITI 3-Month USD-LIBOR Pay 2.250% 09/24/2012 200 (1) (2) 0.00Put - OTC 2-Year Interest Rate Swap RBS 3-Month USD-LIBOR Pay 2.250% 09/24/2012 11,300 (66) (121) (0.08)

€ (197) € (376) (0.25)

Description CounterpartyStrikeIndex Exercise Index

ExpirationDate


FairValue

% ofNet Assets

INFLATION CAP

Cap - OTC CPTFEMU Index JPM 108.610 Maximum of {[(Index Final/Index Initial) - (1 + 2.000%)] or $0} 03/03/2011 € 4,000 € (13) € 0 0.00

Description CounterpartyStikeIndex Exercise Index

ExpirationDate


FairValue

% ofNet Assets

INFLATION FLOOR

Floor - OTC CPURNSA Index DUB 215.949 Maximum of [(((Index Final/Index Initial)-1)-2.500%) or $0] 03/10/2020 $ 2,000 € (12) € (16) (0.01)Floor - OTC CPURNSA Index DUB 218.011 Maximum of [-(Final Index/Initial Index -1), 0] 10/13/2020 2,000 (14) (16) (0.01)

€ (26) € (32) (0.02)


ExpirationDate


FairValue

% ofNet Assets

STRADDLE OPTIONS

Call & Put 1-Year vs. 1-Year Forward Volatility Agreement GSC 0.000 10/11/2011 4,300 € (16) € (26) (0.02)Call & Put 1-Year vs. 2-Year Forward Volatility Agreement MSC 0.000 11/14/2011 5,500 (42) (68) (0.04)

€ (58) € (94) (0.06)




NotionalAmount(3)

FairValue

UpfrontPremiums


Appreciation% of

Net Assets

HeidelbergCement Finance BV (5.000%) 03/20/2012 GSC € 1,300 € (71) € (75) € 4 (0.05)




Amount(3)Fair

Value

UpfrontPremiums

Paid/(Received)


% ofNet Assets

Brazil Government International Bond 1.000% 06/20/2015 CSFB $ 1,000 € (1) € (8) € 7 0.00France Government Bond 0.250% 12/20/2015 BOA 4,000 (112) (106) (6) (0.07)Goldman Sachs Group, Inc. 1.000% 06/20/2012 RBS € 1,100 5 3 2 0.00Mexico Government International Bond 1.000% 06/20/2015 CSFB $ 1,000 (1) (5) 4 0.00Qatar Government International Bond 1.000% 06/20/2015 BCLY 1,000 6 5 1 0.01Qatar Government International Bond 1.000% 12/20/2015 MSC 600 3 3 0 0.00Republic of Germany 0.250% 06/20/2015 CITI 900 (8) (5) (3) 0.00Republic of Germany 0.250% 12/20/2015 CITI 6,200 (71) (31) (40) (0.05)Republic of Germany 0.250% 12/20/2015 RBS 900 (10) (8) (2) (0.01)Republic of Italy 1.000% 06/20/2015 DUB 1,800 (71) (35) (36) (0.05)Republic of Italy 1.000% 06/20/2012 UBS 1,800 (13) (9) (4) (0.01)United Kingdom Gilt 1.000% 12/20/2015 BOA 2,500 27 31 (4) 0.02United Kingdom Gilt 1.000% 06/20/2015 CITI 900 10 9 1 0.01United Kingdom Gilt 1.000% 12/20/2015 CITI 600 6 8 (2) 0.00US Treasury Notes 0.250% 12/20/2015 DUB € 1,500 (11) (16) 5 (0.01)Volkswagen International Finance NV 1.000% 09/20/2012 MSC 400 4 (3) 7 0.00

€ (237) € (167) € (70) (0.16)





31 December 2010

INTEREST RATE SWAPS



NotionalAmount

FairValue

UpfrontPremiums


(Depreciation)% of

Net Assets

Pay BRL-CDI-Compounded 11.210% 01/02/2013 MLP BRL 10,000 € (62) € 5 € (67) (0.04)Pay United Kingdom Retail Price Index 3.450% 09/15/2012 DUB £ 2,000 (14) 0 (14) (0.01)

€ (76) € 5 € (81) (0.05)


Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Buy BRL 1,851 CITI 03/2011 € 27 € 0 € 27 0.02Buy CNY 3,304 CITI 06/2011 17 0 17 0.01Buy 3,510 CITI 11/2011 23 0 23 0.02Sell DKK 27,700 BCLY 01/2011 0 (8) (8) 0.00Buy 9,000 BNP 01/2011 0 0 0 0.00Sell 180 BNP 01/2011 0 0 0 0.00Buy 15,180 CITI 01/2011 0 0 0 0.00Buy 3,700 JPM 01/2011 0 0 0 0.00Buy £ 140 JPM 02/2011 0 (3) (3) 0.00Sell 238 RBS 02/2011 5 0 5 0.00Buy IDR 9,500,000 CITI 04/2011 9 0 9 0.01Buy INR 45,560 BCLY 03/2011 25 0 25 0.02Sell JPY 173,896 UBS 02/2011 0 (61) (61) (0.04)Buy KRW 1,209,075 CITI 01/2011 25 0 25 0.02Buy 1,124,250 CITI 05/2011 23 0 23 0.01Buy MXN 6,200 BCLY 02/2011 0 (7) (7) (0.01)Buy 6,841 CITI 02/2011 10 0 10 0.01Sell 6,200 CITI 02/2011 0 (22) (22) (0.01)Buy 6,200 UBS 02/2011 22 0 22 0.01Buy NOK 12,223 CITI 02/2011 66 0 66 0.04Buy PHP 46,590 BCLY 06/2011 31 0 31 0.02Buy SGD 1,380 CITI 03/2011 4 0 4 0.00Sell TRY 1,006 BNP 01/2011 6 0 6 0.00Buy 1,006 UBS 01/2011 0 (14) (14) (0.01)Sell $ 1,050 CITI 01/2011 0 (12) (12) (0.01)Sell 483 BCLY 02/2011 19 0 19 0.01Buy 200 BNP 02/2011 1 0 1 0.00Buy 489 CITI 02/2011 15 0 15 0.01Sell 740 CITI 02/2011 0 (5) (5) 0.00Sell 4,662 CSFB 02/2011 0 (88) (88) (0.06)Sell 1,012 BCLY 03/2011 0 (30) (30) (0.02)Sell 1,085 CITI 03/2011 0 (17) (17) (0.01)Sell 1,035 CITI 04/2011 3 0 3 0.00Sell 990 CITI 05/2011 0 (23) (23) (0.01)Sell 1,083 BCLY 06/2011 0 (41) (41) (0.03)Sell 500 CITI 06/2011 0 (12) (12) (0.01)Sell 544 CITI 11/2011 0 (24) (24) (0.01)Sell ZAR 4,905 BCLY 01/2011 0 (1) (1) 0.00Buy 4,905 GSC 01/2011 50 0 50 0.03

€ 381 € (368) € 13 0.01



DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS


BNP Paribas Bank0.088% due 12/31/2010 € 781 € 781 0.52Brown Brothers Harriman & Co.0.005% due 12/31/2010 CHF 1 1 0.000.054% due 12/31/2010 CAD 10 7 0.010.070% due 12/31/2010 £ 6 7 0.012.150% due 12/31/2010 NZD 22 13 0.013.950% due 12/31/2010 AUD 3 2 0.00HSBC Bank0.005% due 01/04/2011 JPY 1,848 17 0.01JPMorgan Chase & Co.0.050% due 01/03/2011 DKK 122 16 0.01Nordea Bank AB0.030% due 12/31/2010 $ 183 138 0.09Total Overnight Time Deposits € 982 0.66Other Current Assets & Liabilities € (25,226) (16.78)Net Assets € 150,446 100.00


Portfolio of Investments and Assets Euro Real Return Fund (Cont.)



(b) Cash of €218 has been pledged as collateral for swap, swaption and foreign currency contracts as of 31 December 2010 as governed by International Swaps and Derivative Association, Inc. MasterAgreements.



Category3




(Level 2)



Transferable Securities € 0 € 175,563 € 0 € 175,563Financial Derivative Instruments4 0 (747) (126) (873)Totals € 0 € 174,816 € (126) € 174,690


Category3

StartingBalance

at 31-Dec-2009Net

Purchases5Net

Sales5


RealisedGains/

(Losses)




Level 3

EndingBalance

at 31-Dec-2010




Financial Derivative Instruments4 € (10) € (96) € 0 € 0 € 11 € (31) € 0 € (126) € (30)


Category3




(Level 2)



Transferable Securities € 0 € 157,234 € 0 € 157,234Financial Derivative Instruments4 (74) 229 (10) 145Totals € (74) € 157,463 € (10) € 157,379


Category3

StartingBalance

at 31-Dec-2008Net

Purchases5Net

Sales5


RealisedGains/

(Losses)




Level 3

EndingBalance

at 31-Dec-2009




Financial Derivative Instruments4 € (2,848) € (12) € 2,431 € 0 € (2,320) € 2,723 € 16 € (10) € 1





Significant Changes in Portfolio Composition Euro Real Return Fund (Unaudited)31 December 2010

DESCRIPTIONPAR

(000S)COST(000S)


Republic of Germany Inflation Linked1.500% due 04/15/2016 (a) € 161,602 € 170,599France Government Bond1.100% due 07/25/2022 70,012 68,619Republic of Germany Inflation Linked1.750% due 04/15/2020 (a) 60,776 64,771Bundesobligation Inflation Linked2.250% due 04/15/2013 (a) 53,684 57,138Italy Buoni Poliennali Del Tesoro2.600% due 09/15/2023 37,031 37,882France Government Bond2.100% due 07/25/2023 25,544 27,397Italy Buoni Poliennali Del Tesoro2.100% due 09/15/2017 25,032 25,482France Government Bond3.400% due 07/25/2029 12,433 16,514France Government Bond1.800% due 07/25/2040 14,843 16,402Italy Buoni Poliennali Del Tesoro2.100% due 09/15/2021 15,398 15,176Italy Buoni Poliennali Del Tesoro2.150% due 09/15/2014 11,018 11,501France Government Bond1.300% due 07/25/2019 9,631 9,920France Government Bond1.100% due 07/25/2022 8,909 8,828Italy Buoni Poliennali Del Tesoro2.550% due 09/15/2041 8,996 8,812Germany Treasury Bills0.000% due 02/23/2011 8,550 8,522France Government Bond1.000% due 07/25/2017 7,668 7,690France Government Bond3.150% due 07/25/2032 5,525 7,167Realkredit Danmark A/S5.000% due 01/01/2011 6,500 6,605Bundesobligation4.250% due 10/12/2012 5,780 6,268France Government Bond2.500% due 07/25/2013 5,498 5,978Republic of Germany4.000% due 01/04/2037 4,700 5,863Germany Treasury Bills0.000% due 01/26/2011 5,862 5,850Germany Treasury Bills0.000% due 09/29/2010 5,800 5,800Italy Buoni Poliennali Del Tesoro2.350% due 09/15/2019 5,534 5,635Realkredit Danmark A/S1.000% due 04/01/2011 5,500 5,498Germany Treasury Bills0.000% due 09/15/2010 5,150 5,148Bundesobligation2.250% due 04/11/2010 4,500 4,636Republic of Germany1.000% due 03/16/2012 4,170 4,208France Government Bond1.800% due 07/25/2040 3,820 3,980State of Baden-Wurttemberg3.500% due 01/14/2015 3,500 3,743Republic of Germany4.000% due 01/04/2018 3,200 3,574

DESCRIPTIONPAR

(000S)PROCEEDS

(000S)


Republic of Germany Inflation Linked1.500% due 04/15/2016 (a) € 156,686 €165,877Bundesobligation Inflation Linked2.250% due 04/15/2013 (a) 71,037 75,829Republic of Germany Inflation Linked1.750% due 04/15/2020 (a) 49,711 53,173France Government Bond1.100% due 07/25/2022 52,375 51,273France Government Bond2.100% due 07/25/2023 30,501 33,191Italy Buoni Poliennali Del Tesoro2.600% due 09/15/2023 28,413 28,966Italy Buoni Poliennali Del Tesoro2.100% due 09/15/2017 28,520 28,940Italy Buoni Poliennali Del Tesoro2.350% due 09/15/2019 17,340 17,843France Government Bond1.800% due 07/25/2040 13,103 14,404France Government Bond3.400% due 07/25/2029 10,290 13,697France Government Bond2.500% due 07/25/2013 12,268 13,321France Government Bond3.150% due 07/25/2032 9,693 13,151France Government Bond1.600% due 07/25/2015 11,815 12,366France Government Bond1.000% due 07/25/2017 11,793 11,959Italy Buoni Poliennali Del Tesoro2.550% due 09/15/2041 10,504 10,436France Government Bond1.100% due 07/25/2022 8,931 9,000Germany Treasury Bills0.000% due 02/23/2011 8,550 8,522Caisse d’Amortissement de la Dette Sociale3.150% due 07/25/2013 7,779 8,510Realkredit Danmark A/S5.000% due 01/01/2011 6,500 6,580Bundesobligation4.250% due 10/12/2012 5,780 6,266Republic of Germany4.000% due 01/04/2037 4,700 5,863Germany Treasury Bills0.000% due 01/26/2011 5,862 5,850Germany Treasury Bills0.000% due 09/29/2010 5,800 5,800Germany Treasury Bills0.000% due 09/15/2010 5,150 5,149Hellenic Republic Government Bond2.300% due 07/25/2030 6,971 5,065Bundesobligation2.250% due 04/11/2014 4,500 4,635Republic of Germany1.000% due 03/16/2012 4,170 4,207France Government Bond1.800% due 07/25/2040 4,130 4,129Nykredit Realkredit A/S4.000% due 01/01/2010 DKK 29,800 4,005France Government Bond1.300% due 07/25/2019 € 3,842 3,970Republic of Germany4.000% due 01/04/2018 3,200 3,573Realkredit Danmark A/S2.000% due 01/01/2011 DKK 26,000 3,513Nykredit Realkredit A/S1.000% due 04/01/2011 € 3,400 3,399(a) Principal amount of security is adjusted for inflation.




Portfolio of Investments and Assets Euro Ultra-Long Duration Fund

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS



BANKING & FINANCE

Ally Financial, Inc.8.000% due 11/01/2031 $ 150 € 118 0.10American Express Credit Corp.6.625% due 09/24/2012 £ 100 123 0.10American International Group, Inc.4.000% due 09/20/2011 € 200 200 0.165.000% due 06/26/2017 50 47 0.045.750% due 03/15/2067 £ 400 369 0.298.000% due 05/22/2038 € 100 97 0.08Bank of America Corp.4.750% due 05/23/2017 100 91 0.07Bank of Montreal2.850% due 06/09/2015 $ 700 535 0.43Bank of Nova Scotia1.650% due 10/29/2015 1,100 790 0.64Bank of Scotland PLC3.375% due 12/05/2011 € 1,800 1,841 1.48Barclays Bank PLC1.837% due 01/28/2013 400 401 0.32BPCE S.A.2.375% due 10/04/2013 $ 900 675 0.556.117% due 10/29/2049 € 50 39 0.03Canadian Imperial Bank of Commerce2.000% due 02/04/2013 $ 1,200 919 0.742.600% due 07/02/2015 500 378 0.31Citigroup, Inc.5.125% due 12/12/2018 £ 100 106 0.086.000% due 12/13/2013 $ 200 165 0.136.250% due 09/02/2019 £ 100 119 0.10Commerzbank AG2.750% due 01/13/2012 € 1,800 1,830 1.47Cooperatieve Centrale Raiffeisen-Boerenleenbank BA6.875% due 03/19/2020 400 380 0.31Credit Agricole S.A.6.637% due 05/29/2049 $ 100 65 0.05Depfa ACS Bank3.250% due 02/15/2012 € 500 496 0.40European Investment Bank5.375% due 10/15/2012 1,600 1,720 1.39Export-Import Bank of Korea5.125% due 06/29/2020 $ 100 78 0.06General Electric Capital Corp.5.500% due 09/15/2067 € 100 87 0.07Goldman Sachs Group, Inc.1.393% due 01/30/2017 200 184 0.155.375% due 02/15/2013 350 368 0.30HSBC Capital Funding LP5.369% due 10/29/2049 400 376 0.30HSBC Finance Corp.6.676% due 01/15/2021 $ 700 531 0.43HSBC Holdings PLC6.000% due 03/29/2040 £ 350 397 0.32JPMorgan Chase & Co.1.372% due 10/12/2015 € 300 278 0.22Kreditanstalt fuer Wiederaufbau4.625% due 10/12/2012 900 954 0.775.250% due 07/04/2012 2,500 2,657 2.14Landwirtschaftliche Rentenbank3.250% due 03/12/2014 1,000 1,044 0.84LBG Capital No.1 PLC7.869% due 08/25/2020 £ 100 102 0.08LBG Capital No.2 PLC6.385% due 05/12/2020 € 300 245 0.20LeasePlan Corp. NV3.000% due 05/07/2012 $ 200 155 0.123.125% due 02/10/2012 € 1,300 1,327 1.07Lloyds TSB Bank PLC3.750% due 11/17/2011 700 717 0.587.625% due 04/22/2025 £ 300 335 0.2712.000% due 12/29/2049 $ 200 164 0.13

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Merrill Lynch & Co., Inc.1.328% due 05/30/2014 € 800 € 751 0.61Morgan Stanley6.000% due 04/28/2015 $ 100 81 0.07Nationwide Building Society2.875% due 09/14/2015 € 100 98 0.083.750% due 01/20/2015 100 98 0.08Nederlandse Waterschapsbank NV3.125% due 01/20/2012 2,000 2,039 1.64NIBC Bank NV3.125% due 02/17/2012 200 204 0.163.625% due 12/19/2011 1,600 1,638 1.32Nordea Kredit Realkreditaktieselskab2.000% due 01/01/2011 DKK 14,900 1,999 1.612.000% due 01/01/2012 3,700 499 0.40NRW.Bank4.625% due 09/09/2011 € 500 512 0.41Nykredit Realkredit A/S1.000% due 01/01/2011 4,800 4,800 3.871.000% due 04/01/2011 500 500 0.401.000% due 01/01/2012 5,500 5,493 4.424.000% due 04/01/2011 DKK 10,800 1,457 1.17RBS Capital Trust A6.467% due 12/29/2049 € 170 114 0.09Realkredit Danmark A/S2.000% due 01/01/2012 DKK 67,600 9,133 7.355.000% due 01/01/2011 € 1,200 1,200 0.975.000% due 01/01/2012 500 518 0.42Royal Bank of Scotland PLC0.489% due 04/11/2016 $ 100 62 0.050.569% due 10/14/2016 200 125 0.101.293% due 01/30/2017 € 100 83 0.073.750% due 11/14/2011 4,800 4,908 3.95SNS Bank NV2.875% due 01/30/2012 1,500 1,529 1.23Sparebanken 1 Boligkreditt2.375% due 12/03/2012 1,500 1,514 1.22Swedbank AB3.625% due 12/02/2011 1,800 1,837 1.48

62,695 50.49

UTILITIES

EDF S.A.4.500% due 11/12/2040 600 554 0.444.625% due 04/26/2030 500 484 0.39Gazprom OAO Via Morgan Stanley Bank AG9.625% due 03/01/2013 $ 300 256 0.21GDF Suez3.500% due 10/18/2022 € 700 657 0.53

1,951 1.57



US Treasury Bills0.198% due 01/13/2011 (a) 188 142 0.11US Treasury Notes2.625% due 08/15/2020 $ 700 497 0.403.625% due 08/15/2019 2,300 1,800 1.45

2,439 1.96


Arkle Master Issuer PLC0.839% due 02/17/2052 £ 600 683 0.55Atomium Mortgage Finance BV1.000% due 07/01/2034 € 65 62 0.05Dutch Mortgage Portfolio Loans BV1.291% due 05/20/2036 376 367 0.301.934% due 07/25/2047 400 399 0.32German Residential Asset Note Distributor PLC1.240% due 07/20/2016 85 75 0.06Granite Master Issuer PLC0.913% due 12/20/2054 275 255 0.200.973% due 12/17/2054 200 159 0.13Granite Mortgages PLC1.344% due 03/20/2044 687 643 0.52

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Newgate Funding PLC1.349% due 12/15/2050 £ 139 € 155 0.121.626% due 12/15/2050 € 600 505 0.41Permanent Master Issuer PLC2.685% due 07/15/2042 700 704 0.57

4,007 3.23


Globaldrive BV4.000% due 10/20/2016 152 155 0.12

SOVEREIGN ISSUES

Bundesschatzanweisungen1.250% due 03/11/2011 4,900 4,908 3.95Caisse d’Amortissement de la Dette Sociale2.625% due 04/25/2012 2,500 2,552 2.06Canada Government Bond1.500% due 12/01/2012 CAD 1,700 1,276 1.03Dutch Treasury Certificate0.000% due 12/31/2010 € 8,000 8,000 6.44France Treasury Bills0.523% due 02/24/2011 7,000 6,996 5.630.544% due 01/20/2011 8,000 7,998 6.44Japan Treasury Bills0.126% due 03/14/2011 JPY 630,000 5,801 4.67Province of Ontario Canada4.650% due 06/02/2041 CAD 300 237 0.19Province of Quebec Canada5.000% due 04/29/2019 € 2,300 2,584 2.08Societe Financement de l’Economie Francaise2.375% due 03/10/2012 2,000 2,036 1.64State of Berlin4.000% due 01/27/2012 1,000 1,030 0.83State of Saxony-Anhalt5.375% due 03/28/2012 1,000 1,050 0.85

44,468 35.81



(Dated 12/30/2010.Collateralised by USTreasury Notes 3.625%due 02/15/2020valued at $717.Repurchase proceedsare $700.) $ 700 527 0.42


(Dated 12/30/2010.Collateralised by USTreasury Bonds4.500% due08/15/2039 valued at$2,564. Repurchaseproceeds are $2,500.) 2,500 1,882 1.52


(Dated 12/30/2010.Collateralised byGermany TreasuryBills 0.000% due05/18/2011 valued at€5,892. Repurchaseproceeds are €5,890.) € 5,890 5,890 4.74



31 December 2010


FUTURES


Month# of

Contracts


% ofNet Assets

3-Month Euribor Interest Rate December Futures Long 12/2011 41 € 11 0.013-Month Euribor Interest Rate June Futures Long 06/2011 49 21 0.0290-Day Eurodollar June Futures Long 06/2011 28 46 0.0490-Day Eurodollar March Futures Long 03/2011 20 1 0.00US Treasury 10-Year Note March Futures Long 03/2011 51 (153) (0.13)

€ (74) (0.06)

WRITTEN OPTIONS

DescriptionExercise

PriceExpiration

Date# of


Value% of

Net Assets

Call - CBOT US Treasury 10-Year Note February Futures $ 129.000 01/21/2011 10 € (3) € 0 0.00Put - CBOT US Treasury 10-Year Note February Futures 124.000 01/21/2011 10 (3) (31) (0.02)

€ (6) € (31) (0.02)



WRITTEN OPTIONS

Description CounterpartyBuy/Sell

ProtectionExercise

RateExpiration


FairValue

% ofNet Assets


Put - OTC Dow Jones iTraxx Europe Series 14 BOA Buy 1.600% 03/16/2011 € 15,800 € (32) € (23) (0.02)


ExerciseRate

ExpirationDate


FairValue

% ofNet Assets


Put - OTC 2-Year Interest Rate Swap MLP 3-Month Canadian Bank Bill Pay 1.750% 01/18/2011 CAD 18,300 € (19) € (40) (0.03)Put - OTC 2-Year Interest Rate Swap BOA 6-Month EUR-LIBOR Pay 2.500% 09/19/2012 € 4,000 (23) (44) (0.04)Put - OTC 2-Year Interest Rate Swap JPM 6-Month EUR-LIBOR Pay 2.500% 09/19/2012 8,400 (47) (93) (0.08)Put - OTC 2-Year Interest Rate Swap RBS 6-Month EUR-LIBOR Pay 2.500% 09/19/2012 2,000 (12) (22) (0.02)Put - OTC 5-Year Interest Rate Swap DUB 6-Month GBP-LIBOR Pay 2.600% 03/29/2011 £ 1,600 (11) (30) (0.02)Put - OTC 5-Year Interest Rate Swap GSC 6-Month GBP-LIBOR Pay 2.600% 03/29/2011 1,600 (11) (30) (0.02)Put - OTC 5-Year Interest Rate Swap JPM 6-Month GBP-LIBOR Pay 2.600% 03/28/2011 3,500 (26) (66) (0.05)Call - OTC 10-Year Interest Rate Swap BCLY 3-Month USD-LIBOR Receive 3.250% 01/24/2011 $ 4,200 (18) (11) (0.01)Put - OTC 10-Year Interest Rate Swap BCLY 3-Month USD-LIBOR Pay 5.000% 01/24/2011 4,200 (31) 0 0.00Put - OTC 2-Year Interest Rate Swap BOA 3-Month USD-LIBOR Pay 2.250% 09/24/2012 2,300 (9) (25) (0.02)Call - OTC 10-Year Interest Rate Swap RBS 3-Month USD-LIBOR Receive 3.250% 01/24/2011 5,000 (21) (13) (0.01)Put - OTC 2-Year Interest Rate Swap RBS 3-Month USD-LIBOR Pay 2.250% 09/24/2012 8,700 (52) (93) (0.08)Call - OTC 10-Year Interest Rate Swap SOG 3-Month USD-LIBOR Receive 3.250% 01/24/2011 1,100 (5) (3) 0.00Put - OTC 10-Year Interest Rate Swap SOG 3-Month USD-LIBOR Pay 5.000% 01/24/2011 1,100 (7) 0 0.00

€ (292) € (470) (0.38)


ExpirationDate


FairValue

% ofNet Assets

STRADDLE OPTIONS

Call & Put 1-Year vs. 1-Year Forward Volatility Agreement JPM 0.000 10/11/2011 $ 800 € (3) € (5) 0.00Call & Put 1-Year vs. 2-Year Forward Volatility Agreement MSC 0.000 10/11/2011 2,000 (15) (25) (0.02)Call & Put 1-Year vs. 2-Year Forward Volatility Agreement MSC 0.000 11/14/2011 2,800 (22) (35) (0.03)

€ (40) € (65) (0.05)





FairValue

UpfrontPremiums

Paid/(Received)


% ofNet Assets

Abu Dhabi Government International Bond 1.000% 12/20/2014 DUB $ 100 € 1 € (2) € 3 0.00Abu Dhabi Government International Bond 1.000% 12/20/2014 GSC 100 1 (2) 3 0.00France Government Bond 0.250% 12/20/2015 BOA 2,500 (70) (41) (29) (0.06)France Government Bond 0.250% 06/20/2015 GSC 800 (19) (22) 3 (0.02)ING Verzekeringen NV 1.400% 06/20/2011 DUB € 400 0 0 0 0.00Japan Government International Bond 1.000% 12/20/2015 DUB $ 3,900 43 63 (20) 0.03Tesco PLC 1.000% 12/20/2015 BCLY € 500 6 3 3 0.01


Portfolio of Investments and Assets Euro Ultra-Long Duration Fund (Cont.)



FairValue

UpfrontPremiums

Paid/(Received)


% ofNet Assets

United Kingdom Gilt 1.000% 06/20/2015 BOA $ 500 € 6 € 4 € 2 0.01United Kingdom Gilt 1.000% 06/20/2015 DUB 900 10 6 4 0.01United Kingdom Gilt 1.000% 12/20/2015 DUB 5,300 56 82 (26) 0.05United Kingdom Gilt 1.000% 06/20/2015 SOG 1,000 11 9 2 0.01Volkswagen International Finance 1.000% 12/20/2015 BOA € 600 4 4 0 0.00

€ 49 € 104 € (55) 0.04



INTEREST RATE SWAPS



NotionalAmount

FairValue

UpfrontPremiums

Paid/(Received)


% ofNet Assets

Pay 3-Month Australian Bank Bill 5.250% 06/15/2012 CITI AUD 15,900 € (21) € (8) € (13) (0.02)Pay 3-Month USD-LIBOR 1.950% 12/15/2015 BOA $ 1,200 (11) 0 (11) (0.01)Pay 3-Month USD-LIBOR 2.100% 12/15/2015 MSC 1,900 (6) 0 (6) (0.01)Receive 3-Month USD-LIBOR 4.000% 12/15/2040 DUB 300 7 (24) 31 0.01Pay 6-Month EUR-LIBOR 4.443% 09/15/2035 BCLY € 40,000 2,720 0 2,720 2.19Pay 6-Month EUR-LIBOR 4.443% 09/15/2035 BNP 17,400 1,183 0 1,183 0.95Pay 6-Month EUR-LIBOR 4.443% 09/15/2035 HSBC 15,400 1,047 126 921 0.84Pay 6-Month EUR-LIBOR 4.220% 09/15/2040 BCLY 13,300 964 1,850 (886) 0.78Pay 6-Month EUR-LIBOR 4.220% 09/15/2040 BNP 21,000 1,523 1,959 (436) 1.23Pay 6-Month EUR-LIBOR 4.220% 09/15/2040 DUB 4,200 305 137 168 0.25Pay 6-Month EUR-LIBOR 4.220% 09/15/2040 GSC 26,150 1,896 146 1,750 1.53Pay 6-Month EUR-LIBOR 4.220% 09/15/2040 MSC 30,000 2,175 0 2,175 1.75Pay 6-Month EUR-LIBOR 3.730% 03/16/2041 BOA 12,500 281 670 (389) 0.23Pay 6-Month EUR-LIBOR 4.110% 03/16/2041 CITI 17,400 997 2,434 (1,437) 0.80Pay 6-Month EUR-LIBOR 4.110% 03/16/2041 MSC 17,700 1,014 1,660 (646) 0.82Pay 6-Month EUR-LIBOR 4.000% 09/15/2045 BCLY 9,800 668 1,385 (717) 0.54Pay 6-Month EUR-LIBOR 4.000% 09/15/2045 CITI 5,200 355 715 (360) 0.29Pay 6-Month EUR-LIBOR 4.000% 09/15/2045 HSBC 40,100 2,735 139 2,596 2.20Pay 6-Month EUR-LIBOR 4.000% 09/15/2045 MSC 4,200 286 449 (163) 0.23Pay 6-Month EUR-LIBOR 4.000% 09/15/2045 RBS 25,000 1,705 0 1,705 1.37Pay 6-Month EUR-LIBOR 3.190% 09/21/2046 DUB 12,700 (241) 148 (389) (0.19)Pay 6-Month EUR-LIBOR 3.500% 09/21/2046 BCLY 29,800 414 2,200 (1,786) 0.33Receive 6-Month GBP-LIBOR 4.500% 09/16/2020 DUB £ 1,300 (131) (182) 51 (0.11)Receive 6-Month GBP-LIBOR 3.250% 03/16/2021 JPM 800 36 1 35 0.03Receive 6-Month GBP-LIBOR 4.000% 09/21/2041 BCLY 200 4 (9) 13 0.00Pay BRL-CDI-Compounded 11.880% 01/02/2013 HSBC BRL 7,600 15 20 (5) 0.01Pay BRL-CDI-Compounded 12.070% 01/02/2013 JPM 6,800 11 9 2 0.01Pay BRL-CDI-Compounded 11.820% 01/02/2014 JPM 4,000 (6) 3 (9) (0.01)

€ 19,925 € 13,828 € 6,097 16.04


Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Buy BRL 2,442 CITI 03/2011 € 35 € 0 € 35 0.03Sell CAD 2,293 RBS 02/2011 0 (17) (17) (0.01)Sell CNY 9,657 CITI 01/2011 0 (54) (54) (0.04)Sell 4,000 DUB 01/2011 0 (5) (5) 0.00Buy 26,301 JPM 01/2011 204 0 204 0.16Sell 13,074 JPM 01/2011 2 (2) 0 0.00Buy 3,604 MSC 01/2011 42 0 42 0.03Buy 4,000 DUB 02/2012 18 0 18 0.02Buy 13,074 JPM 02/2012 40 0 40 0.03Buy DKK 3,700 BCLY 01/2011 0 0 0 0.00Sell 37,661 CITI 01/2011 3 0 3 0.00Buy 52,000 JPM 01/2011 0 (3) (3) 0.00Buy 3,500 RBS 01/2011 0 0 0 0.00Sell 33,748 UBS 01/2011 0 0 0 0.00Sell 306 CITI 02/2011 0 0 0 0.00Sell 15,885 RBC 02/2011 0 (2) (2) 0.00Sell 70 RBS 02/2011 0 0 0 0.00Sell 11,055 JPM 04/2011 0 (2) (2) 0.00Sell 3,700 BCLY 01/2012 0 0 0 0.00Sell 52,000 JPM 01/2012 0 (1) (1) 0.00Sell 3,500 RBS 01/2012 0 0 0 0.00Buy £ 320 CSFB 02/2011 0 (5) (5) (0.01)Sell 2,290 RBS 02/2011 61 0 61 0.05Sell JPY 630,000 CITI 03/2011 0 (30) (30) (0.03)Sell KRW 300,958 JPM 01/2011 0 (2) (2) 0.00Buy 300,958 MSC 01/2011 15 0 15 0.01


31 December 2010

Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Buy KRW 1,421,174 BCLY 05/2011 € 32 € 0 € 32 0.03Buy 300,958 JPM 05/2011 1 0 1 0.00Buy MXN 3,320 BCLY 02/2011 0 (4) (4) 0.00Buy 2,579 CITI 02/2011 5 0 5 0.00Buy PHP 3,090 CITI 06/2011 2 0 2 0.00Buy 9,000 JPM 06/2011 7 0 7 0.01Buy SGD 210 BOA 03/2011 1 0 1 0.00Buy 54 DUB 03/2011 0 0 0 0.00Buy 50 JPM 03/2011 0 0 0 0.00Buy 50 RBS 03/2011 0 0 0 0.00Sell $ 14,470 BNP 01/2011 105 0 105 0.08Sell 2,703 BOA 01/2011 0 (35) (35) (0.03)Buy 34,817 CITI 01/2011 664 (8) 656 0.53Buy 1,070 CSFB 01/2011 3 0 3 0.00Buy 601 DUB 01/2011 2 0 2 0.00Sell 5,000 DUB 01/2011 0 (124) (124) (0.10)Buy 340 GSC 01/2011 0 (1) (1) 0.00Sell 1,650 GSC 01/2011 6 0 6 0.00Buy 1,844 HSBC 01/2011 62 0 62 0.05Sell 2,949 HSBC 01/2011 0 (105) (105) (0.08)Buy 2,221 JPM 01/2011 0 (17) (17) (0.01)Sell 7,944 JPM 01/2011 25 (207) (182) (0.15)Buy 2,560 MSC 01/2011 0 (20) (20) (0.02)Sell 804 MSC 01/2011 0 (52) (52) (0.04)Buy 1,912 RBC 01/2011 0 (31) (31) (0.02)Sell 4,000 RBS 01/2011 0 (78) (78) (0.06)Sell 2,580 UBS 01/2011 0 (3) (3) 0.00Sell 259 BCLY 02/2011 10 0 10 0.01Buy 54 CITI 02/2011 0 (1) (1) 0.00Sell 209 CITI 02/2011 0 (6) (6) 0.00Buy 2,956 RBC 02/2011 97 0 97 0.08Buy 5,893 RBS 02/2011 6 (3) 3 0.00Sell 156 BOA 03/2011 5 0 5 0.00Buy 7,549 CITI 03/2011 0 (94) (94) (0.08)Sell 1,432 CITI 03/2011 0 (22) (22) (0.02)Sell 40 DUB 03/2011 1 0 1 0.00Sell 37 JPM 03/2011 1 0 1 0.00Sell 37 RBS 03/2011 1 0 1 0.00Sell 1,268 BCLY 05/2011 0 (44) (44) (0.04)Sell 261 JPM 05/2011 2 0 2 0.00Sell 70 CITI 06/2011 0 (2) (2) 0.00Sell 205 JPM 06/2011 0 (6) (6) 0.00Sell 617 DUB 02/2012 0 (15) (15) (0.01)Sell 2,007 JPM 02/2012 0 (22) (22) (0.02)

€ 1,458 € (1,023) € 435 0.35

Total OTC Financial Derivative Instruments € 19,851 15.98


DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS


US Treasury Notes3.625% due 08/15/2019 (c) $ (2,300) € (1,800) (1.45)

Total Securities Sold Short € (1,800) (1.45)



BNP Paribas Bank0.088% due 12/31/2010 € 371 € 371 0.30Brown Brothers Harriman & Co.0.005% due 01/04/2011 JPY 821 8 0.010.050% due 01/03/2011 DKK 6 1 0.000.070% due 12/31/2010 £ 2 2 0.00Deutsche Bank AG0.054% due 12/31/2010 CAD 387 292 0.24Nordea Bank AB0.030% due 12/31/2010 $ 290 218 0.18Total Overnight Time Deposits € 892 0.73Other Current Assets & Liabilities € (18,664) (15.04)Net Assets € 124,188 100.00


Portfolio of Investments and Assets Euro Ultra-Long Duration Fund (Cont.)



(b) Cash of €271 has been pledged as collateral for swap, swaption and foreign currency contracts as at 31 December 2010 as governed by International Swaps and Derivative Association, Inc.Master Agreements.

(c) Securities sold short as at 31 December 2010 are covered by long portfolio investments in transferable securities and money market instruments.



Category3




(Level 2)



Transferable Securities € 0 € 124,014 € 0 € 124,014Financial Derivative Instruments4 (105) 19,916 (65) 19,746Short Sales 0 (1,800) 0 (1,800)Totals € (105) € 142,130 € (65) € 141,960


Category3

StartingBalance

at 31-Dec-2009Net

Purchases5Net

Sales5


RealisedGains/

(Losses)




Level 3

EndingBalance

at 31-Dec-2010




Transferable Securities € 138 € 0 € 0 € 0 € 0 € 27 € (165) € 0 € 0Financial Derivative Instruments4 0 (41) 0 0 0 (24) 0 (65) (24)Totals € 138 € (41) € 0 € 0 € 0 € 3 € (165) € (65) € (24)


Category3


(Level 1)


(Level 2)



Transferable Securities € 0 € 76,115 € 138 € 76,253Financial Derivative Instruments4 66 3,146 0 3,212Totals € 66 € 79,261 € 138 € 79,465


Category3

StartingBalance

at 31-Dec-2008Net

Purchases5Net

Sales5


RealisedGains/

(Losses)




Level 3

EndingBalance

at 31-Dec-2009




Transferable Securities € 0 € 137 € 0 € 0 € 0 € 1 € 0 € 138 € 1





Significant Changes in Portfolio Composition Euro Ultra-Long Duration Fund (Unaudited)31 December 2010

DESCRIPTIONPAR

(000S)COST(000S)


Republic of Germany4.000% due 01/04/2037 € 63,905 € 69,689Italy Buoni Poliennali Del Tesoro4.250% due 09/01/2019 49,000 50,530Republic of Germany3.500% due 07/04/2019 44,140 46,327Republic of Germany4.750% due 07/04/2034 35,300 45,675France Treasury Bills0.000% due 10/11/2010 34,500 34,497Republic of Germany3.500% due 01/04/2016 29,600 31,948Republic of Germany4.750% due 07/04/2040 27,000 31,837Germany Treasury Bills0.000% due 05/18/2011 30,880 30,770Italy Buoni Poliennali Del Tesoro2.250% due 11/01/2013 27,180 27,111Republic of Germany1.000% due 03/16/2012 24,097 24,169Republic of Germany5.000% due 07/04/2012 22,170 23,630Italy Certificati di Credito del Tesoro0.000% due 09/30/2010 22,700 22,673Republic of Germany3.250% due 01/04/2020 20,400 21,595Republic of Germany4.250% due 07/04/2018 17,700 20,247Italy Buoni Poliennali Del Tesoro5.000% due 08/01/2039 19,300 19,943Bundesobligation2.500% due 10/10/2014 18,900 19,261Republic of Italy9.000% due 11/01/2023 13,000 19,111Republic of Germany5.250% due 07/04/2010 16,700 16,802Republic of Germany4.000% due 07/04/2016 14,790 16,399Republic of Italy5.250% due11/01/2029 15,200 16,290Bundesobligation2.500% due 10/10/2014 15,600 16,039Dutch Treasury Certificate0.000% due 09/30/2010 16,000 15,995Bundesschatzanweisungen1.250% due 12/16/2011 15,300 15,412Republic of Germany Inflation Linked1.750% due 04/15/2020 (a) 13,491 14,910US Treasury Notes3.625% due 08/15/2019 $ 17,400 14,010Italy Buoni Poliennali Del Tesoro5.750% due 02/01/2033 € 11,800 13,444Italy Buoni Poliennali Del Tesoro3.000% due 06/15/2015 13,100 13,261Republic of Germany1.250% due 09/16/2011 13,000 13,097Bundesobligation2.500% due 02/27/2015 12,300 12,850Republic of Germany5.500% due 01/04/2031 9,100 12,826Italy Buoni Poliennali Del Tesoro6.000% due 05/01/2031 10,900 12,690Bundesobligation2.500% due 10/08/2010 11,900 11,936Republic of Germany3.750% due 01/04/2015 11,100 11,910Germany Treasury Bills0.000% due 01/26/2011 11,600 11,574Republic of Germany5.625% due 01/04/2028 8,600 11,310France Treasury Bills0.000% due 07/22/2010 11,000 10,999Bundesschatzanweisungen0.500% due 06/15/2012 10,700 10,689

DESCRIPTIONPAR

(000S)COST(000S)

Italy Buoni Poliennali Del Tesoro3.750% due 08/01/2015 € 10,100 € 10,484Germany Treasury Bills0.000% due 01/12/2011 10,400 10,400Republic of Germany4.000% due 01/04/2018 9,600 10,385France Treasury Bills0.000% due 12/23/2010 10,000 10,000France Treasury Bills0.000% due 10/07/2010 10,000 10,000France Treasury Bills0.000% due 09/16/2010 10,000 9,999Republic of Germany4.250% due 07/04/2014 9,000 9,940France Treasury Bills5.500% due 10/25/2010 9,800 9,904Nykredit Realkredit A/S1.000% due 01/01/2011 9,600 9,602Italy Buoni Poliennali Del Tesoro4.250% due 08/01/2014 9,200 9,573Bundesschatzanweisungen1.250% due 03/11/2011 9,500 9,520France Treasury Bills0.000% due 05/27/2010 9,500 9,499Realkredit Danmark A/S2.000% due 01/01/2012 DKK 67,600 9,128Realkredit Danmark A/S2.000% due 01/01/2011 67,600 9,101Italy Buoni Poliennali Del Tesoro3.000% due 04/15/2015 € 8,880 8,969Bundesobligation2.250% due 04/10/2015 8,900 8,957Italy Buoni Poliennali Del Tesoro5.000% due 09/01/2040 8,700 8,947Republic of Germany6.500% due 07/04/2027 6,300 8,675Bundesschatzanweisungen4.750% due 06/11/2010 8,500 8,532Republic of Germany2.250% due 09/04/2020 8,400 8,450Republic of Italy7.250% due 11/01/2026 6,300 8,138Republic of Germany3.750% due 07/04/2013 7,400 8,018Dutch Treasury Certificate0.000% due 03/31/2010 8,000 8,000Dutch Treasury Certificate0.000% due 12/31/2010 8,000 7,998France Treasury Bills0.544% due 01/20/2011 8,000 7,996Republic of Germany3.750% due 01/04/2019 7,500 7,928Italy Buoni Poliennali Del Tesoro4.250% due 02/01/2015 7,200 7,733Bundesobligation4.000% due 10/11/2013 6,900 7,566Italy Buoni Poliennali Del Tesoro2.350% due 09/15/2019 7,411 7,563Italy Buoni Poliennali Del Tesoro4.250% due 09/01/2011 7,100 7,357Republic of Germany5.000% due 01/04/2012 7,010 7,340France Treasury Bills0.523% due 02/24/2011 7,000 6,996Italy Buoni Poliennali Del Tesoro3.000% due 03/01/2012 6,800 6,953Italy Buoni Poliennali Del Tesoro4.500% due 03/01/2026 6,720 6,779German Treasury Bills0.000% due 06/30/2010 6,700 6,700Italy Certificati di Credito del Tesoro0.000% due 08/31/2012 6,740 6,496Italy Buoni Poliennali Del Tesoro0.950% due 09/15/2010 6,476 6,474


Significant Changes in Portfolio Composition Euro Ultra-Long Duration Fund (Cont.)

DESCRIPTIONPAR

(000S)PROCEEDS

(000S)


Republic of Germany4.000% due 01/04/2037 € 63,905 € 69,677Italy Buoni Poliennali Del Tesoro4.250% due 09/01/2019 49,000 50,520Republic of Germany3.500% due 07/04/2019 44,140 46,463Republic of Germany4.750% due 07/04/2034 35,300 45,669France Treasury Bills0.000% due 10/11/2010 34,500 34,499Republic of Germany3.500% due 01/04/2016 29,600 31,945Republic of Germany4.750% due 07/04/2040 27,000 31,826Germany Treasury Bills0.000% due 05/18/2011 30,880 30,771Italy Buoni Poliennali Del Tesoro2.250% due 11/01/2013 27,180 27,109Republic of Germany1.000% due 03/16/2012 24,097 24,169Republic of Germany5.000% due 07/04/2012 22,170 23,626Italy Certificati di Credito del Tesoro0.000% due 09/30/2010 22,700 22,674France Treasury Notes1.500% due 09/12/2011 21,800 22,048Republic of Germany3.250% due 01/04/2020 20,400 21,588Republic of Germany4.250% due 07/04/2018 17,700 20,244Italy Buoni Poliennali Del Tesoro5.000% due 08/01/2039 19,300 19,938Bundesobligation2.500% due 10/10/2014 18,900 19,258Republic of Italy9.000% due 11/01/2023 13,000 19,108Republic of Germany5.250% due 07/04/2010 16,700 16,717Republic of Germany4.000% due 07/04/2016 14,790 16,394Republic of Italy5.250% due 11/01/2029 15,200 16,286Bundesobligation2.500% due 10/10/2014 15,600 16,036Dutch Treasury Certificate0.000% due 09/30/2010 16,000 16,000Bundesschatzanweisungen1.250% due 12/16/2011 15,300 15,411Republic of Germany Inflation Linked1.750% due 04/15/2020 (a) 13,492 14,909Canada Housing Trust No. 13.750% due 03/15/2010 CAD 19,600 14,052US Treasury Notes3.625% due 08/15/2019 $ 17,400 13,931Italy Buoni Poliennali Del Tesoro5.750% due 02/01/2033 € 11,800 13,441Italy Buoni Poliennali Del Tesoro3.000% due 06/15/2015 13,100 13,260Republic of Germany1.250% due 09/16/2011 13,000 13,102Bundesobligation2.500% due 02/27/2015 12,300 12,846Republic of Germany5.500% due 01/04/2031 9,100 12,821Italy Buoni Poliennali Del Tesoro6.000% due 05/01/2031 10,900 12,688Bundesobligation2.500% due 10/08/2010 11,900 11,935Republic of Germany3.750% due 01/04/2015 11,100 11,909Germany Treasury Bills0.000% due 01/26/2011 11,600 11,575Republic of Germany5.625% due 01/04/2028 8,600 11,309France Treasury Bills0.000% due 07/22/2010 11,000 11,000

DESCRIPTIONPAR

(000S)PROCEEDS

(000S)

Bundesschatzanweisungen0.500% due 06/15/2012 € 10,700 € 10,689Italy Buoni Poliennali Del Tesoro3.750% due 08/01/2015 10,100 10,483Germany Treasury Bills0.000% due 01/12/2011 10,400 10,400Republic of Germany4.000% due 01/04/2018 9,600 10,383France Treasury Bills0.000% due 10/07/2010 10,000 10,000France Treasury Bills0.000% due 12/23/2010 10,000 10,000France Treasury Bills0.000% due 09/16/2010 10,000 10,000Republic of Germany4.250% due 07/04/2014 9,000 9,931France Treasury Bills5.500% due 10/25/2010 9,800 9,816Italy Buoni Poliennali Del Tesoro4.250% due 08/01/2014 9,200 9,572France Treasury Bills0.000% due 05/27/2010 9,500 9,499Realkredit Danmark A/S2.000% due 01/01/2011 DKK 67,600 9,077Italy Buoni Poliennali Del Tesoro3.000% due 04/15/2015 € 8,880 8,968Bundesobligation2.250% due 04/10/2015 8,900 8,955Italy Buoni Poliennali Del Tesoro5.000% due 09/01/2040 8,700 8,943Republic of Germany6.500% due 07/04/2027 6,300 8,672Bundesschatzanweisungen4.750% due 06/11/2010 8,500 8,500Republic of Germany2.250% due 09/04/2020 8,400 8,449Republic of Italy7.250% due 11/01/2026 6,300 8,136Republic of Germany3.750% due 07/04/2013 7,400 8,017Dutch Treasury Certificate0.000% due 03/31/2010 8,000 8,000Republic of Germany3.750% due 01/04/2019 7,500 7,926Italy Buoni Poliennali Del Tesoro4.250% due 02/01/2015 7,200 7,730Bundesobligation4.000% due 11/10/2013 6,900 7,564Italy Buoni Poliennali Del Tesoro2.350% due 09/15/2019 7,410 7,562Italy Buoni Poliennali Del Tesoro4.250% due 09/01/2011 7,100 7,356Republic of Germany5.000% due 01/04/2012 7,010 7,339Realkredit Danmark A/S4.000% due 01/01/2010 DKK 54,200 7,284Italy Buoni Poliennali Del Tesoro3.000% due 03/01/2012 € 6,800 6,952Italy Buoni Poliennali Del Tesoro4.500% due 03/01/2026 6,720 6,778Germany Treasury Bills0.000% due 06/30/2010 6,700 6,700Italy Certificati di Credito del Tesoro0.000% due 08/31/2012 6,740 6,497Italy Buoni Poliennali Del Tesoro0.950% due 09/15/2010 6,476 6,474





Portfolio of Investments and Assets FX Strategies Fund31 December 2010

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS



BANKING & FINANCE

African Development Bank0.616% due 08/04/2014 $ 600 € 456 0.72Bayerische Landesbank3.750% due 05/23/2011 € 350 354 0.56Berlin-Hannoversche Hypothekenbank AG3.250% due 04/13/2011 1,000 1,006 1.58Caisse Refinancement de l’Habitat5.000% due 10/25/2013 200 215 0.34Deutsche Pfandbriefbank AG3.250% due 03/16/2012 900 925 1.45DLR Kredit A/S1.000% due 01/01/2011 900 900 1.412.000% due 01/01/2011 DKK 9,900 1,328 2.09Fortis Bank Nederland NV1.509% due 06/10/2011 € 200 200 0.31General Electric Capital Corp.0.583% due 03/05/2012 JPY 100,000 920 1.45Goldman Sachs Group, Inc.1.393% due 01/30/2017 € 300 276 0.43ING Bank NV1.086% due 02/09/2012 $ 500 376 0.59JPMorgan Chase & Co.3.625% due 12/12/2011 € 1,000 1,024 1.61Kreditanstalt fuer Wiederaufbau0.426% due 08/05/2014 $ 1,000 755 1.190.977% due 03/04/2013 € 700 701 1.10Landeskreditbank Baden-Wuerttemberg Foerderbank1.008% due 01/21/2013 2,000 2,000 3.141.058% due 01/21/2014 600 599 0.941.100% due 08/06/2012 2,300 2,302 3.621.196% due 08/05/2013 500 497 0.78Lloyds TSB Bank PLC1.179% due 06/09/2011 500 500 0.79Morgan Stanley0.654% due 06/20/2012 $ 1,000 757 1.19Nationwide Building Society4.625% due 09/13/2012 € 600 622 0.98NRW.Bank0.684% due 08/24/2012 $ 400 302 0.480.926% due 04/07/2011 € 200 200 0.311.088% due 08/23/2012 600 600 0.941.296% due 11/18/2011 1,500 1,502 2.36Nykredit Realkredit A/S4.000% due 04/01/2011 DKK 28,000 3,779 5.944.000% due 10/01/2011 12,100 1,655 2.604.000% due 01/01/2012 1,500 206 0.32

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Realkredit Danmark A/S2.000% due 01/01/2011 DKK 26,000 € 3,487 5.482.000% due 01/01/2012 29,300 3,959 6.22Sparebanken 1 Boligkreditt2.375% due 12/03/2012 € 100 101 0.164.000% due 06/15/2011 450 455 0.71Swedbank AB1.593% due 04/30/2012 400 403 0.63Valhalla I S.A.1.364% due 03/26/2013 1,300 1,301 2.05

34,663 54.47

INDUSTRIALS

AP Moller - Maersk4.375% due 11/24/2017 600 600 0.94

UTILITIES

Deutsche Telekom International Finance BV8.125% due 05/29/2012 500 547 0.86



US Treasury Notes0.875% due

04/30/2011 (a) $ 40 30 0.05


Arena BV1.238% due 02/17/2037 € 142 140 0.22Arran Residential Mortgages Funding PLC1.084% due 09/20/2056 196 194 0.31Delphinus BV1.285% due 06/25/2066 35 34 0.05Dutch MBS BV1.175% due 11/02/2037 404 391 0.61EMF-NL1.887% due 10/17/2039 156 153 0.24Marble Arch Residential Securitisation No. 3 Ltd.1.154% due 06/20/2037 73 64 0.10Orio Finance PLC1.570% due 08/15/2040 51 50 0.08Tricolore Funding Srl1.195% due 07/15/2020 83 82 0.13

1,108 1.74


Chapel BV1.708% due 11/17/2064 185 171 0.27

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

F-E Green Srl1.235% due 10/30/2018 € 42 € 42 0.06Globaldrive BV1.813% due 02/20/2016 33 33 0.05Lombarda Lease Finance Srl1.195% due 01/30/2022 116 113 0.18

359 0.56

SOVEREIGN ISSUES

Land Schleswig-Holstein1.000% due 11/08/2013 800 798 1.25State of Baden-Wurttemberg0.935% due 02/25/2013 1,000 1,002 1.571.006% due 01/04/2013 2,115 2,113 3.32State of Berlin0.948% due 01/21/2011 500 500 0.790.966% due 03/03/2011 1,000 1,000 1.570.977% due 03/05/2012 1,000 1,000 1.571.265% due 06/25/2012 1,000 1,004 1.58State of Brandenburg0.940% due 01/15/2013 1,000 1,003 1.580.955% due 01/25/2012 500 500 0.780.969% due 04/08/2013 4,800 4,803 7.55State of Bremen1.483% due 04/27/2011 700 701 1.10State of Hesse0.969% due 02/11/2013 1,000 1,002 1.571.520% due 05/04/2012 1,400 1,406 2.21State of Lower Saxony1.075% due 10/23/2012 1,300 1,301 2.041.122% due 10/10/2011 500 500 0.791.325% due 10/26/2015 1,000 1,003 1.58State of North Rhine-Westphalia0.604% due 01/16/2013 2,000 1,998 3.140.975% due 01/23/2013 1,000 1,003 1.580.978% due 03/08/2011 900 900 1.410.979% due 03/19/2012 800 799 1.26State of Rhineland-Palatinate0.935% due 01/15/2012 1,000 999 1.571.281% due 05/29/2012 1,400 1,406 2.211.337% due 03/16/2011 500 501 0.79

27,242 42.81




FUTURES


Month# of

ContractsUnrealised

Appreciation% of

Net Assets

Euro-Schatz 2-Year Note March Futures Short 03/2011 79 € 5 0.01

Total Financial Derivative Instruments Dealt in on a Regulated Market € 5 0.01



PURCHASED OPTIONS

Description CounterpartyExercise

PriceExpiration

DateNotionalAmount Cost

FairValue

% ofNet Assets

FOREIGN CURRENCY OPTIONS

Put - OTC Australian dollar versus US dollar RBS $ 0.953 01/10/2011 AUD 64,600 € 316 € 1 0.00Call - OTC Eurodollar versus US dollar CSFB 1.361 01/10/2011 € 47,500 265 60 0.10


Portfolio of Investments and Assets FX Strategies Fund (Cont.)


PriceExpiration


FairValue

% ofNet Assets

Put - OTC New Zealand dollar versus US dollar CSFB $ 0.735 01/10/2011 NZD 20,900 € 82 € 2 0.00Call - OTC US dollar versus Japanese yen CSFB JPY 84.700 01/10/2011 $ 47,600 167 4 0.01Call - OTC US dollar versus Norwegian krone CSFB NOK 6.259 01/10/2011 15,900 88 0 0.00Call - OTC US dollar versus Swedish krona CSFB SEK 7.144 01/10/2011 15,900 89 1 0.00Put - OTC US dollar versus Swiss franc RBS CHF 0.962 01/10/2011 47,600 186 1,039 1.63

€ 1,193 € 1,107 1.74

WRITTEN OPTIONS


PriceExpiration


FairValue

% ofNet Assets


Call - OTC Australian dollar versus US dollar RBS $ 1.007 01/10/2011 AUD 64,600 € (275) € (616) (0.97)Put - OTC Eurodollar versus US dollar CSFB 1.288 01/10/2011 € 47,500 (321) (34) (0.05)Call - OTC New Zealand dollar versus US dollar CSFB 0.777 01/10/2011 NZD 20,900 (67) (55) (0.09)Call - OTC US dollar versus Swiss franc RBS CHF 1.008 01/10/2011 $ 47,600 (184) 0 0.00Put - OTC US dollar versus Japanese yen CSFB JPY 81.100 01/10/2011 47,600 (176) (144) (0.23)Put - OTC US dollar versus Norwegian krone CSFB NOK 5.871 01/10/2011 15,900 (79) (86) (0.13)Put - OTC US dollar versus Swedish krona CSFB SEK 6.699 01/10/2011 15,900 (80) (61) (0.10)

€ (1,182) € (996) (1.57)


Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Buy AUD 44,000 CITI 01/2011 € 727 € 0 € 727 1.14Buy 17,297 RBS 01/2011 286 0 286 0.45Buy 3,303 UBS 01/2011 54 0 54 0.09Sell CHF 17,758 BCLY 01/2011 0 (727) (727) (1.14)Buy 376 CITI 01/2011 16 0 16 0.03Sell 18,526 RBS 01/2011 0 (738) (738) (1.16)Sell 10,649 UBS 01/2011 0 (436) (436) (0.69)Buy DKK 33,860 BCLY 01/2011 0 0 0 0.00Sell 60,400 BCLY 01/2011 0 (17) (17) (0.03)Sell 2,200 JPM 01/2011 0 0 0 0.00Sell 30,800 BCLY 02/2011 0 0 0 0.00Buy 8,200 JPM 02/2011 0 (1) (1) 0.00Sell 14,428 JPM 02/2011 1 0 1 0.00Buy 6,000 BCLY 10/2011 0 0 0 0.00Sell 18,100 BCLY 10/2011 3 0 3 0.01Sell JPY 97,650 CITI 01/2011 0 (23) (23) (0.04)Buy 3,941,963 CSFB 01/2011 408 0 408 0.64Sell 61,874 UBS 02/2011 0 (7) (7) (0.01)Buy NOK 5,274 CITI 01/2011 11 0 11 0.02Buy 48,020 CSFB 01/2011 124 0 124 0.20Buy 47,963 UBS 01/2011 124 0 124 0.19Buy NZD 10,450 CSFB 01/2011 51 0 51 0.08Buy 10,450 UBS 01/2011 51 0 51 0.08Buy SEK 28,604 CSFB 01/2011 40 0 40 0.06Buy 80,784 DUB 01/2011 112 0 112 0.18Buy $ 18,000 BCLY 01/2011 4 0 4 0.01Buy 33,241 CITI 01/2011 4 (5) (1) 0.00Sell 44,646 CITI 01/2011 148 0 148 0.23Buy 32,765 CSFB 01/2011 0 (48) (48) (0.08)Sell 67,610 CSFB 01/2011 139 0 139 0.22Sell 11,750 DUB 01/2011 29 0 29 0.05Buy 18,806 RBS 01/2011 5 0 5 0.01Sell 16,980 RBS 01/2011 97 0 97 0.15Buy 10,794 UBS 01/2011 3 0 3 0.00Sell 19,126 UBS 01/2011 49 0 49 0.08Sell 6,358 BNP 02/2011 0 (7) (7) (0.01)Sell 480 CITI 02/2011 2 0 2 0.00Buy 290 CSFB 02/2011 3 0 3 0.00

€ 2,491 € (2,009) € 482 0.76

Total OTC Financial Derivative Instruments € 593 0.93


DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS


BNP Paribas Bank0.088% due 12/31/2010 € 1,113 €1,113 1.75Brown Brothers Harriman & Co.0.050% due 01/03/2011 DKK 101 13 0.02


31 December 2010

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

0.054% due 12/31/2010 CAD 6 € 4 0.010.070% due 12/31/2010 £ 4 5 0.01Nordea Bank AB0.030% due 12/31/2010 $ 2,193 1,651 2.59Total Overnight Time Deposits € 2,786 4.38Other Current Assets & Liabilities € (4,295) (6.75)Net Assets € 63,638 100.00



(b) Cash of €851 has been pledged as collateral for foreign currency contracts as of 31 December 2010 as governed by International Swaps and Derivative Association, Inc. Master Agreements.



Category3




(Level 2)



Transferable Securities € 0 € 64,549 € 0 € 64,549Financial Derivative Instruments4 5 593 0 598Totals € 5 € 65,142 € 0 € 65,147


Category3

StartingBalance

at 31-Dec-2009Net

Purchases5Net

Sales5


RealisedGains/

(Losses)




Level 3

EndingBalance

at 31-Dec-2010


Appreciation/(Depreciation)on investments


Transferable Securities € 222 € 0 € (82) € 1 € 5 € 7 € (153) € 0 € 0


Category3




(Level 2)



Transferable Securities € 0 € 65,871 € 222 € 66,093Financial Derivative Instruments4 12 25 0 37Totals € 12 € 65,896 € 222 € 66,130


Category3

StartingBalance

at 31-Dec-2008Net

Purchases5Net

Sales5


RealisedGains/

(Losses)




Level 3

EndingBalance

at 31-Dec-2009




Transferable Securities € 0 € 223 € 0 € 0 € 0 € (1) € 0 € 222 € (1)





Significant Changes in Portfolio Composition FX Strategies Fund

DESCRIPTIONPAR

(000S)COST(000S)


France Treasury Bills0.000% due 08/26/2010 € 7,260 € 7,250Dutch Treasury Certificate0.000% due 12/31/2010 6,500 6,476France Treasury Notes1.500% due 09/12/2011 6,000 6,041Nykredit Realkredit4.000% due 04/01/2011 DKK 40,800 5,618Republic of Germany4.750% due 07/04/2034 € 4,300 5,472State of Brandenburg0.969% due 04/08/2013 4,800 4,802Japan Treasury Bills0.000% due 09/13/2010 JPY 500,000 4,474Bundesobligation2.500% due 10/08/2010 € 4,370 4,404Realkredit Danmark A/S2.000% due 01/01/2012 DKK 29,300 3,951Nykredit Realkredit A/S4.000% due 01/01/2011 25,000 3,437France Treasury Notes0.000% due 10/28/2010 € 3,300 3,298Bundesschatzanweisungen4.750% due 06/11/2010 3,150 3,157Nykredit Realkredit4.000% due 10/01/2011 DKK 18,100 2,495Germany Treasury Bills0.000% due 06/30/2010 € 2,180 2,180State of Baden-Wuerttemberg1.006% due 01/04/2013 2,115 2,116Landeskreditbank Baden-Wuerttemberg Foerderbank1.008% due 01/21/2013 2,000 2,000Italy Certificati di Credito del Tesoro0.000% due 03/01/2014 2,000 1,997State of North Rhine-Westphalia0.604% due 01/16/2013 2,000 1,996Bundesschatzanweisungen4.000% due 09/10/2010 1,830 1,849Hellenic Republic Government Bond0.000% due 07/16/2010 1,800 1,787Dutch Treasury Certificate0.000% due 10/29/2010 1,600 1,599Dutch Treasury Certificate0.000% due 12/31/2010 1,500 1,488Bundesobligation4.000% due 10/11/2013 1,280 1,401Landeskreditbank Baden-Wuerttemberg Foerderbank0.769% due 08/06/2012 1,300 1,302Valhalla I S.A.1.864% due 03/26/2013 1,300 1,300Realkredit Danmark A/S2.000% due 01/01/2011 DKK 9,300 1,256CIF Euromortgage3.625% due 07/16/2010 € 1,000 1,007CM-CIC Covered Bonds5.250% due 06/09/2010 1,000 1,007State of Lower Saxony1.325% due 10/26/2015 1,000 1,004State of Rheinland-Palatinate0.935% due 01/15/2012 1,000 1,000France Treasury Bills0.000% due 07/01/2010 1,000 1,000State of Berlin0.977% due 03/05/2012 1,000 999Germany Treasury Bills0.000% due 09/15/2010 1,000 999BNP Paribas0.000% due 04/12/2013 1,000 999State of Hesse0.969% due 02/11/2013 1,000 999Germany Treasury Bills0.000% due 10/13/2010 1,000 999Deutsche Pfandbriefbank AG3.250% due 03/16/2012 900 928

DESCRIPTIONPAR

(000S)COST(000S)

State of North Rhine-Westphalia0.979% due 03/19/2012 € 800 € 800Land Schleswig-Holstein1.000% due 08/11/2013 800 799Kreditanstalt fuer Wiederaufbau0.977% due 03/04/2013 700 700Germany Treasury Bills0.000% due 08/25/2010 670 670Nationwide Building Society4.625% due 09/13/2012 600 634BA Covered Bond Issuer4.625% due 07/06/2010 600 606CIF Euromortgage3.625% due 07/16/2010 600 605NRW.Bank1.088% due 08/23/2012 600 602Landeskreditbank Baden-Wurttemberg Foerderbank1.058% due 01/21/2014 600 600AP Moller-Maersk A/S4.375% due 11/24/2017 600 598Deutsche Telekom International Finance BV8.125% due 05/29/2012 500 559

PAR(000S)

PROCEEDS(000S)


Dutch Treasury Certificate0.000% due 12/31/2010 € 8,000 € 7,996France Treasury Bills0.000% due 08/26/2010 7,260 7,258France Treasury Notes1.500% due 09/12/2011 6,000 6,058Republic of Germany4.750% due 07/04/2034 4,300 5,471Japan Treasury Bills0.000% due 09/13/2010 JPY 500,000 4,637Bundesobligation2.500% due 10/08/2010 € 4,370 4,404Nykredit Realkredit A/S4.000% due 01/01/2011 DKK 31,400 4,297France Treasury Bills0.384% due 06/03/2010 € 3,500 3,496France Treasury Bills0.000% due 10/28/2010 3,300 3,300Bundesschatzanweisungen4.750% due 06/11/2010 3,150 3,157Nordea Kredit Realkreditaktieselskab4.000% due 01/01/2010 DKK 18,000 2,419Nykredit Realkredit A/S4.000% due 01/01/2010 17,400 2,338Italy Certificati di Credito del Tesoro0.900% due 03/01/2012 € 2,000 2,002Italy Certificati di Credito del Tesoro0.000% due 03/01/2014 2,000 1,991Spain Government Bond0.628% due 10/29/2012 2,000 1,987DLR Kredit A/S4.000% due 01/01/2010 DKK 14,000 1,881Bundesschatzanweisungen4.000% due 09/10/2010 € 1,830 1,849Nordea Kredit Realkreditaktieselskab5.000% due 01/01/2010 1,800 1,800Hellenic Republic Government Bond0.000% due 07/16/2010 1,800 1,779Nykredit Realkredit4.000% due 04/01/2011 DKK 12,800 1,736Dutch Treasury Certificate0.000% due 12/31/2010 € 1,600 1,600DLR Kredit A/S5.000% due 01/01/2010 1,500 1,500Bundesobligation4.000% due 10/11/2013 1,280 1,401Nykredit Realkredit A/S1.000% due 01/01/2011 1,250 1,250



DESCRIPTIONPAR

(000S)PROCEEDS

(000S)


Germany Treasury Bills0.000% due 06/30/2010 € 1,090 € 1,090BNP Paribas Home Loan Covered Bonds S.A.4.125% due 01/24/2011 1,000 1,027European Investment Bank0.940% due 01/09/2015 1,000 1,010BNP Paribas0.000% due 04/12/2013 1,000 1,000CM-CIC Covered Bonds4.375% due 11/02/2010 1,000 1,000DnB NOR Boligkreditt4.375% due 11/15/2010 1,000 1,000NRW.Bank5.250% due 02/19/2010 1,000 1,000Nykredit Realkredit A/S5.000% due 01/01/2010 1,000 1,000France Treasury Bills0.417% due 02/04/2010 1,000 1,000CM-CIC Covered Bonds5.250% due 06/09/2010 1,000 1,000Realkredit Danmark A/S5.000% due 01/01/2010 1,000 1,000CIF Euromortgage3.625% due 07/16/2010 1,000 1,000

DESCRIPTIONPAR

(000S)PROCEEDS

(000S)


Germany Treasury Bills0.000% due 09/15/2010 € 1,000 € 1,000Germany Treasury Bills0.000% due 10/13/2010 1,000 1,000France Treasury Bills0.000% due 07/01/2010 1,000 1,000Realkredit Danmark A/S4.000% due 01/01/2010 DKK 7,000 941Nykredit Realkredit4.000% due 10/01/2011 6,000 822Societe Financement de l’Economie Francaise3.000% due 12/10/2010 € 750 750Germany Treasury Bills0.000% due 08/25/2010 670 670General Electric Capital Corp.1.187% due 12/09/2011 $ 800 617CIF Euromortgage3.625% due 07/16/2010 € 600 600




Portfolio of Investments and Assets Global Advantage Fund

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS


AUSTRALIA

Commonwealth Bank of Australia3.625% due 06/25/2014 $ 180 $ 191 0.08Westpac Banking Corp.2.900% due 09/10/2014 170 176 0.08

367 0.16

BAHRAIN

Bahrain Government International Bond5.500% due 03/31/2020 200 204 0.09

BERMUDA

Noble Group Ltd.6.625% due 08/05/2020 400 420 0.196.750% due 01/29/2020 600 665 0.29Qtel International Finance Ltd.3.375% due 10/14/2016 200 191 0.08

1,276 0.56

BRAZIL

Banco do Brasil S.A.4.500% due 01/22/2015 100 105 0.05Banco Santander Brazil S.A.0.000% due 12/28/2011 1,400 1,395 0.612.596% due 12/29/2011 500 488 0.21BM&F Bovespa S.A.5.500% due 07/16/2020 800 818 0.36Brazil Notas do Tesouro Nacional Series F10.000% due 01/01/2012 BRL 503 298 0.1310.000% due 01/01/2017 345 190 0.08CSN Islands XI Corp.6.875% due 09/21/2019 $ 800 868 0.38CSN Resources S.A.6.500% due 07/21/2020 700 742 0.33Fibria Overseas Finance Ltd.7.500% due 05/04/2020 519 548 0.24Gerdau Holdings, Inc.7.000% due 01/20/2020 600 663 0.29GTL Trade Finance, Inc.7.250% due 10/20/2017 600 663 0.29Itau Unibanco S.A.1.300% due 03/14/2011 500 500 0.221.450% due 06/13/2011 400 399 0.171.700% due 09/12/2011 300 299 0.13Petrobras International Finance Co.7.875% due 03/15/2019 820 973 0.43Vale Overseas Ltd.6.875% due 11/21/2036 400 441 0.19

9,390 4.11


Gerdau Trade, Inc.5.750% due 01/30/2021 200 201 0.09

CANADA

Bank of Nova Scotia1.650% due 10/29/2015 600 574 0.25Canada Government Bond1.500% due 06/01/2012 CAD 900 905 0.394.250% due 06/01/2018 200 220 0.103.000% due 12/01/2036 (a) 684 977 0.43Canadian Imperial Bank of Commerce2.000% due 02/04/2013 $ 400 407 0.18Province of Ontario Canada4.100% due 06/16/2014 100 108 0.056.200% due 06/02/2031 CAD 96 122 0.05

3,313 1.45

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

CAYMAN ISLANDS

Hyundai Capital Auto Funding Ltd.1.261% due 09/20/2016 $ 600 $ 593 0.26IPIC GMTN Ltd.3.125% due 11/15/2015 250 245 0.105.000% due 11/15/2020 250 246 0.11Odebrecht Drilling Norbe VIII & IX Ltd.6.350% due 06/30/2021 500 523 0.23

1,607 0.70

COLOMBIA

Ecopetrol S.A.7.625% due 07/23/2019 100 116 0.05

DENMARK

BRFkredit A/S2.050% due 04/15/2013 400 407 0.18Danske Bank A/S4.500% due 07/01/2016 € 700 1,010 0.44

1,417 0.62

EGYPT

Petroleum Export III Ltd.3.319% due 12/07/2012 $ 700 698 0.31

FRANCE

BNP Paribas1.071% due 03/24/2011 € 200 268 0.125.186% due 06/29/2049 $ 200 184 0.08BNP Paribas Home Loan Covered Bonds S.A.4.500% due 05/30/2014 € 50 72 0.03CIF Euromortgage4.125% due 12/19/2014 100 142 0.06CM-CIC Covered Bonds4.750% due 07/17/2012 50 70 0.03France Government Bond1.600% due 07/25/2015 (a) 79 111 0.052.250% due 07/25/2020 (a) 57 83 0.044.000% due 04/25/2018 86 124 0.05Societe Financement de l’Economie Francaise3.000% due 04/07/2014 50 69 0.033.375% due 05/05/2014 $ 150 158 0.07

1,281 0.56

GERMANY

Bundesobligation2.250% due 04/10/2015 € 500 686 0.30Landesbank Hessen-Thueringen Girozentrale2.875% due 04/21/2017 200 269 0.12Republic of Germany3.000% due 07/04/2020 900 1,214 0.533.250% due 01/04/2020 2,090 2,885 1.263.500% due 07/04/2019 2,300 3,241 1.423.750% due 01/04/2015 1,970 2,860 1.253.750% due 01/04/2019 600 862 0.384.250% due 07/04/2017 500 745 0.334.250% due 07/04/2018 1,900 2,822 1.235.500% due 01/04/2031 30 52 0.02Republic of Germany Inflation Linked1.750% due 04/15/2020 (a) 103 147 0.06

15,783 6.90

HONG KONG

Sinochem Overseas Capital Co. Ltd.4.500% due 11/12/2020 $ 400 396 0.17

INDIA

Indian Oil Corp. Ltd.4.750% due 01/22/2015 600 618 0.27State Bank of India & London4.500% due 07/27/2015 600 614 0.27

1,232 0.54

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

INDONESIA

Majapahit Holding BV7.250% due

10/17/2011 $ 600 $ 625 0.27

IRELAND


RZD Capital Ltd.5.739% due

04/03/2017 400 417 0.18

SHARES

MUTUAL FUNDS (b)

PIMCO US Dollar Short-Term FloatingNAV Fund 2,253,883 22,544 9.86Total Ireland 22,961 10.04

PAR(000S)

JAPAN

Japan Government CPI Linked Bond1.400% due

06/10/2018 (a) JPY 98,710 1,227 0.54Japan Government International Bond1.300% due

12/20/2019 90,000 1,139 0.501.500% due

09/20/2018 67,000 869 0.383,235 1.42

LUXEMBOURG

Intelsat Jackson Holdings S.A.5.250% due

04/03/2018 $ 1,000 1,011 0.44Telecom Italia Capital S.A.6.999% due

06/04/2018 100 106 0.051,117 0.49

MEXICO

America Movil SAB de C.V.6.125% due

03/30/2040 200 213 0.096.375% due

03/01/2035 100 110 0.05BBVA Bancomer S.A.7.250% due

04/22/2020 1,000 1,060 0.46Mexico Government International Bond7.250% due

12/15/2016 MXN 24,000 2,025 0.897.500% due

06/21/2012 20,833 1,756 0.777.750% due

12/14/2017 9,370 809 0.358.500% due

12/13/2018 5,700 511 0.229.000% due

12/20/2012 2,160 188 0.089.500% due

12/18/2014 26,550 2,413 1.06Pemex Project Funding Master Trust6.625% due

06/15/2035 $ 40 41 0.02Petroleos Mexicanos8.000% due

05/03/2019 790 956 0.4210,082 4.41

NETHERLANDS

ABN Amro Bank NV3.250% due

09/21/2015 € 800 1,094 0.483.750% due

07/15/2014 50 70 0.03


31 December 2010

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Achmea Hypotheekbank NV3.200% due 11/03/2014 $ 200 $ 208 0.09Deutsche Telekom International Finance BV8.750% due 06/15/2030 30 41 0.02Fortis Bank Nederland NV3.375% due 05/19/2014 € 25 35 0.02GMAC International Finance BV7.500% due 04/21/2015 150 209 0.09ING Bank NV3.375% due 03/23/2017 400 539 0.243.900% due 03/19/2014 $ 300 323 0.145.250% due 06/05/2018 € 300 447 0.19ING Groep NV5.775% due 12/29/2049 $ 300 260 0.11LeasePlan Corp. NV3.250% due 05/22/2014 € 125 174 0.08Saecure BV1.965% due 09/23/2092 93 124 0.05SNS Bank NV3.500% due 03/10/2014 125 176 0.08Waha Aerospace BV3.925% due 07/28/2020 $ 600 606 0.26

4,306 1.88

NORWAY

DnB NOR Boligkreditt2.100% due 10/14/2015 900 857 0.383.375% due 01/20/2017 € 400 546 0.244.125% due 02/01/2013 50 70 0.03Sparebanken 1 Boligkreditt3.250% due 03/17/2017 550 741 0.32

2,214 0.97

POLAND

Poland Government Bond4.250% due 05/24/2011 PLN 180 61 0.025.500% due 10/25/2019 50 16 0.01

77 0.03

QATAR

Qatari Diar Finance QSC5.000% due 07/21/2020 $ 500 499 0.22Ras Laffan Liquefied Natural Gas Co. Ltd. II5.298% due 09/30/2020 481 509 0.22Ras Laffan Liquefied Natural Gas Co. Ltd. III5.832% due 09/30/2016 446 481 0.21

1,489 0.65

ROMANIA

Romania Government International Bond5.000% due 03/18/2015 € 200 265 0.12

RUSSIA

AK Transneft OJSC Via TransCapitalInvest Ltd.5.670% due 03/05/2014 $ 1,250 1,326 0.58Gazprom OAO Via Morgan Stanley Bank AG9.625% due 03/01/2013 600 682 0.30Gazprom Via White Nights Finance BV10.500% due 03/08/2014 200 239 0.1110.500% due 03/25/2014 600 718 0.31Russia Government International Bond7.500% due 03/31/2030 2,014 2,334 1.02Russian Agricultural Bank OJSC Via RSHB

Capital S.A.7.125% due 01/14/2014 600 641 0.289.000% due 06/11/2014 240 271 0.12TNK-BP Finance S.A.7.500% due 03/13/2013 400 433 0.197.500% due 07/18/2016 900 999 0.43VEB Finance Ltd. for Vnesheconombank6.902% due 07/09/2020 1,650 1,735 0.76

9,378 4.10

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

SOUTH KOREA

Export-Import Bank of Korea1.352% due 03/13/2012 $ 300 $ 300 0.135.125% due 06/29/2020 300 310 0.148.125% due 01/21/2014 600 687 0.30Korea Development Bank8.000% due 01/23/2014 200 228 0.10Korea Housing Finance Corp.4.125% due 12/15/2015 400 404 0.18Shinhan Bank1.584% due 11/16/2012 1,800 1,788 0.78

3,717 1.63

SPAIN

Santander US Debt S.A. Unipersonal1.103% due 03/30/2012 200 198 0.09Telefonica Emisiones SAU4.949% due 01/15/2015 500 518 0.22

716 0.31

SWEDEN

Nordea Hypotek AB3.500% due 01/18/2017 € 350 479 0.214.250% due 02/06/2014 50 71 0.03Swedbank Hypotek AB4.125% due 06/09/2014 250 355 0.16

905 0.40

UNITED KINGDOM

Abbey National Treasury Services PLC2.500% due 03/18/2013 1,100 1,477 0.65Arran Residential Mortgages Funding PLC2.403% due 05/16/2047 500 668 0.29Bank of Scotland PLC3.250% due 01/25/2013 500 679 0.304.750% due 01/26/2015 500 704 0.31Barclays Bank PLC5.125% due 01/08/2020 $ 1,050 1,074 0.475.926% due 09/29/2049 200 180 0.08BP Capital Markets PLC4.750% due 03/10/2019 200 207 0.09British Sky Broadcasting Group PLC9.500% due 11/15/2018 500 656 0.29Lloyds TSB Bank PLC4.375% due 01/12/2015 500 500 0.226.375% due 06/17/2016 € 300 433 0.19Nationwide Building Society3.875% due 12/05/2013 800 1,106 0.48Royal Bank of Scotland PLC3.000% due 09/08/2015 1,100 1,452 0.633.875% due 10/19/2020 1,100 1,393 0.614.625% due 09/22/2021 100 110 0.054.875% due 08/25/2014 $ 1,000 1,025 0.45United Kingdom Gilt4.000% due 09/07/2016 £ 800 1,351 0.594.750% due 09/07/2015 2,300 4,009 1.754.750% due 03/07/2020 1,400 2,425 1.06Vodafone Group PLC6.250% due 01/15/2016 € 50 76 0.03

19,525 8.54

UNITED STATES


Alcoa, Inc.6.750% due 07/15/2018 500 546 0.24Ally Financial, Inc.1.750% due 10/30/2012 900 916 0.408.300% due 02/12/2015 200 221 0.10Altria Group, Inc.9.250% due 08/06/2019 1,000 1,307 0.57American General Finance Corp.5.200% due 12/15/2011 300 293 0.135.625% due 08/17/2011 200 198 0.095.900% due 09/15/2012 100 95 0.04

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

American International Group, Inc.5.050% due 10/01/2015 € 500 $ 515 0.228.250% due 08/15/2018 750 867 0.38Anadarko Petroleum Corp.6.950% due 06/15/2019 45 51 0.02Aviation Capital Group7.125% due 10/15/2020 900 918 0.40BA Covered Bond Issuer4.250% due 04/05/2017 550 750 0.33Bank of America Corp.5.650% due 05/01/2018 $ 300 307 0.147.000% due 06/15/2016 € 50 73 0.03Bear Stearns Cos., LLC7.250% due 02/01/2018 $ 430 510 0.22CenturyLink, Inc.6.150% due 09/15/2019 20 20 0.01CIT Group, Inc.7.000% due 05/01/2014 350 354 0.15Citigroup Funding, Inc.1.875% due 10/22/2012 900 918 0.40Citigroup, Inc.6.125% due 05/15/2018 300 329 0.146.375% due 08/12/2014 600 664 0.298.500% due 05/22/2019 400 497 0.22Dow Chemical Co.2.536% due 08/08/2011 150 152 0.07El Paso Pipeline Partners Operating Co. LLC6.500% due 04/01/2020 200 211 0.09Ford Motor Credit Co. LLC8.000% due 06/01/2014 500 551 0.248.700% due 10/01/2014 400 451 0.20General Electric Capital Corp.2.625% due 12/28/2012 900 934 0.415.875% due 01/14/2038 10 10 0.00Goldman Sachs Group, Inc.0.688% due 07/22/2015 1,600 1,535 0.670.753% due 03/22/2016 45 42 0.025.950% due 01/18/2018 100 109 0.056.150% due 04/01/2018 1,000 1,103 0.48HSBC Finance Corp.0.496% due 08/09/2011 150 150 0.07International Lease Finance Corp.5.875% due 05/01/2013 200 203 0.096.375% due 03/25/2013 500 515 0.236.625% due 11/15/2013 300 308 0.136.750% due 09/01/2016 900 965 0.42JPMorgan Chase & Co.1.551% due 09/01/2015 2,400 2,397 1.054.950% due 03/25/2020 300 308 0.13Kinder Morgan Energy Partners LP5.625% due 02/15/2015 100 110 0.059.000% due 02/01/2019 1,000 1,261 0.55Lorillard Tobacco Co.8.125% due 06/23/2019 50 56 0.02Merrill Lynch & Co., Inc.5.700% due 05/02/2017 300 302 0.136.875% due 04/25/2018 750 822 0.366.875% due 11/15/2018 500 539 0.24Morgan Stanley0.739% due 10/18/2016 1,600 1,480 0.654.100% due 01/26/2015 500 507 0.225.500% due 01/26/2020 400 404 0.18NGPL PipeCo LLC7.119% due 12/15/2017 75 82 0.04Reed Elsevier Capital, Inc.8.625% due 01/15/2019 500 637 0.28SLM Corp.5.375% due 01/15/2013 200 204 0.095.400% due 10/25/2011 300 306 0.138.450% due 06/15/2018 350 364 0.16UIL Holdings Corp.4.625% due 10/01/2020 300 285 0.12Weyerhaeuser Co.6.750% due 03/15/2012 150 158 0.07


Portfolio of Investments and Assets Global Advantage Fund (Cont.)

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

WM Covered Bond Program4.375% due 05/19/2014 € 500 $ 701 0.31

28,511 12.47


Banc of America Large Loan, Inc.5.641% due 02/17/2051 $ 200 213 0.09Merrill Lynch Floating Rate Trust0.802% due 07/09/2021 100 97 0.04

310 0.13


California, Metropolitan Water District of SouthernCalifornia Revenue Bonds, Series 2010

6.947% due 07/01/2040 200 207 0.09California, Regents of the University of California

Limited Project Revenue Bonds, Series 20105.946% due 05/15/2045 800 732 0.32Los Angeles, California, Community College District

General Obligation Bonds, Series 20106.600% due 08/01/2042 900 913 0.406.750% due 08/01/2049 800 826 0.36Los Angeles, California, Unified School District

General Obligation Bonds, Series 20106.758% due 07/01/2034 100 104 0.05New Jersey, Turnpike Authority Revenue Bonds,

Series 20107.102% due 01/01/2041 200 217 0.09New York, Dormitory Authority Revenue Bonds,

Series 20105.051% due 09/15/2027 600 559 0.24New York, New York, General Obligation Bonds,

Series 20106.646% due 12/01/2031 600 606 0.27

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

New York, New York, Municipal Water FinanceAuthority Revenue Bonds, Series 2010

5.440% due 06/15/2043 $ 300 $ 283 0.12New York, New York, Transitional Finance Authority

Revenue Bonds, Series 20105.572% due 11/01/2038 500 485 0.21Ohio, American Municipal Power-Ohio, Inc. Revenue

Bonds, Series 20107.334% due 02/15/2028 600 612 0.27

5,544 2.42

SHARES


UBS Preferred Funding Trust V6.243% due 05/29/2049 2,000 194 0.08

PAR(000S)



(Dated 12/31/2010.Collateralised by USTreasury Bonds 6.750%due 08/15/2026 valued at$21,181. Repurchaseproceeds are $20,700.) $ 20,700 20,700 9.06

US CASH MANAGEMENT BILLS

US Cash Management Bills0.100% due 02/10/2011 (c) 1,660 1,660 0.73

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS


Fannie Mae4.000% due 09/01/2040 -

01/01/2041 $ 3,285 $ 3,270 1.434.500% due 01/01/2041 1,000 1,027 0.455.000% due 01/01/2041 3,000 3,154 1.385.500% due 07/01/2037 -

04/01/2039 8,956 9,591 4.20Tennessee Valley Authority5.250% due 09/15/2039 25 27 0.01

17,069 7.47


Treasury Inflation Protected Securities (a)1.250% due 07/15/2020 1,003 1,028 0.452.375% due 01/15/2025 (d) 3,179 3,546 1.553.625% due 04/15/2028 (d) 27 35 0.023.875% due 04/15/2029 798 1,073 0.47US Treasury Bills0.177% due 01/20/2011 -

06/02/2011 (c) 640 640 0.28US Treasury Notes0.500% due

11/30/2012 (d) 15,600 15,582 6.8221,904 9.59





FUTURES


Month# of

Contracts


% ofNet Assets

3-Month Euribor Interest Rate June Futures Long 06/2011 20 $ (3) 0.003-Month Euribor Interest Rate March Futures Long 03/2011 44 (7) 0.0090-Day Eurodollar March Futures Long 03/2011 86 14 0.00Canada Government 10-Year Bond March Futures Long 03/2011 54 26 0.01Euro-Bobl 5-Year Note March Futures Long 03/2011 2 0 0.00Euro-Bund 10-Year Bond March Futures Long 03/2011 21 15 0.01United Kingdom Treasury 10-Year Gilt March Futures Long 03/2011 31 (4) 0.00

$ 41 0.02

WRITTEN OPTIONS

DescriptionExercise

PriceExpiration

Date# of


Value% of

Net Assets

Call - CBOT US Treasury 10-Year Note February Futures $ 129.000 01/21/2011 18 $ (7) $ (1) 0.00Call - IMM 90-Day Eurodollar September Futures 99.375 09/19/2011 17 (8) (10) (0.01)Put - CBOT US Treasury 10-Year Note February Futures 124.000 01/21/2011 18 (9) (65) (0.03)Put - IMM 90-Day Eurodollar September Futures 99.375 09/19/2011 17 (10) (7) 0.00

$ (34) $ (83) (0.04)

Total Financial Derivative Instruments Dealt in on a Regulated Market $ (42) (0.02)



WRITTEN OPTIONS


ProtectionExercise

RateExpiration


FairValue

% ofNet Assets


Put - OTC Dow Jones iTraxx Europe Series 14 BNP Buy 1.600% 03/16/2011 € 100 $ (1) $ 0 0.00


31 December 2010


ExerciseRate

ExpirationDate


FairValue

% ofNet Assets


Put - OTC 2-Year Interest Rate Swap BOA 3-Month USD-LIBOR Pay 2.250% 09/24/2012 $ 1,100 $ (7) $ (15) (0.01)Put - OTC 2-Year Interest Rate Swap CITI 3-Month USD-LIBOR Pay 2.250% 09/24/2012 300 (2) (4) 0.00Put - OTC 3-Year Interest Rate Swap DUB 3-Month USD-LIBOR Pay 2.750% 06/18/2012 2,400 (25) (36) (0.02)Put - OTC 2-Year Interest Rate Swap GSC 3-Month USD-LIBOR Pay 2.250% 09/24/2012 900 (5) (12) 0.00Put - OTC 2-Year Interest Rate Swap MSC 3-Month USD-LIBOR Pay 2.250% 09/24/2012 1,100 (7) (15) (0.01)Put - OTC 3-Year Interest Rate Swap RBS 3-Month USD-LIBOR Pay 2.750% 06/18/2012 2,300 (22) (35) (0.02)Put - OTC 2-Year Interest Rate Swap RBS 3-Month USD-LIBOR Pay 2.250% 09/24/2012 10,900 (84) (148) (0.06)Put - OTC 2-Year Interest Rate Swap UBS 3-Month USD-LIBOR Pay 2.250% 09/24/2012 500 (3) (7) 0.00

$ (155) $ (272) (0.12)


ExpirationDate


FairValue

% ofNet Assets

INFLATION FLOOR

Floor - OTC CPURNSA Index CITI 216.687 Maximum of [1 - (Index Final/Index Initial) or $0] 04/07/2020 $ 500 $ (4) $ (5) 0.00Floor - OTC CPURNSA Index DUB 218.011 Maximum of [-(Final Index/Initial Index - 1), $0] 10/13/2020 400 (4) (4) 0.00

$ (8) $ (9) 0.00



NotionalAmount(3)

FairValue

UpfrontPremiums


Appreciation% of

Net Assets

CenturyLink, Inc. (1.000%) 09/20/2019 MSC $ 20 $ 1 $ 0 $ 1 0.00




Amount(3)Fair

Value

UpfrontPremiums


Appreciation% of

Net Assets

Abu Dhabi Government International Bond 1.000% 03/20/2011 CSFB $ 100 $ 0 $ 0 $ 0 0.00America Movil SAB de C.V. 1.000% 03/20/2012 DUB 300 1 (1) 2 0.00BP Capital Markets PLC 5.000% 09/20/2011 DUB 400 15 (6) 21 0.01Brazil Government International Bond 1.000% 12/20/2015 BCLY 3,500 (13) (17) 4 (0.01)Brazil Government International Bond 1.000% 03/20/2011 GSC 300 0 0 0 0.00Egypt Government International Bond 1.000% 06/20/2015 CITI 100 (5) (6) 1 0.00General Electric Capital Corp. 1.000% 12/20/2015 UBS 1,300 (19) (45) 26 (0.01)ING Verzekeringen NV 1.400% 06/20/2011 DUB € 100 0 0 0 0.00Mexico Government International Bond 1.000% 03/20/2011 GSC 300 0 0 0 0.00Petrobras International Finance Co. 1.000% 09/20/2011 DUB $ 1,400 2 (6) 8 0.00

$ (19) $ (81) $ 62 (0.01)




FairValue

UpfrontPremiums

Paid/(Received)


% ofNet Assets

Dow Jones CDX N.A. EM12 Index 5.000% 12/20/2014 DUB $ 900 $ 107 $ 76 $ 31 0.05Dow Jones CDX N.A. EM13 Index 5.000% 06/20/2015 BCLY 100 13 13 0 0.01Dow Jones CDX N.A. EM13 Index 5.000% 06/20/2015 GSC 100 13 13 0 0.00Dow Jones CDX N.A. EM14 Index 5.000% 12/20/2015 BCLY 1,200 166 165 1 0.07Dow Jones CDX N.A. EM14 Index 5.000% 12/20/2015 CITI 1,800 249 244 5 0.11Dow Jones CDX N.A. EM14 Index 5.000% 12/20/2015 RBS 1,400 193 201 (8) 0.08Dow Jones CDX N.A. IG13 Index 1.000% 12/20/2019 MSC 1,000 0 (12) 12 0.00Dow Jones CDX N.A. IG15 Index 1.000% 12/20/2015 BOA 2,400 17 11 6 0.01Dow Jones CDX N.A. IG15 Index 1.000% 12/20/2015 CITI 400 3 (2) 5 0.00

$ 761 $ 709 $ 52 0.33






CROSS-CURRENCY SWAPS

Receive PayMaturityDate(4) Counterparty

NotionalAmount ofCurrencyReceived

NotionalAmount ofCurrencyDelivered

FairValue

UpfrontPremiums


Appreciation% of

Net Assets

Floating rate equal to 3-MonthEUR-LIBOR less 0.299% basedon the notional amount ofcurrency delivered

Floating rate equal to 3-MonthUSD-LIBOR based on thenotional amount of currencyreceived 03/24/2011 JPM $ 275 € 200 $ 6 $ 0 $ 6 0.00

(4) At the maturity date, the notional amount of the currency received will be exchanged back for the notional amount of the currency delivered.

INTEREST RATE SWAPS


NotionalAmount

FairValue

UpfrontPremiums

Paid/(Received)


% ofNet Assets

Pay BRL-CDI-Compounded 10.610% 01/02/2012 HSBC BRL 13,100 $ 30 $ 11 $ 19 0.01Pay BRL-CDI-Compounded 11.140% 01/02/2012 GSC 500 5 2 3 0.00Pay BRL-CDI-Compounded 11.140% 01/02/2012 HSBC 14,000 130 61 69 0.06Pay BRL-CDI-Compounded 11.650% 01/02/2012 GSC 100 2 1 1 0.00Pay BRL-CDI-Compounded 11.670% 01/02/2012 GSC 1,600 26 13 13 0.01Pay BRL-CDI-Compounded 11.760% 01/02/2012 CSFB 600 5 3 2 0.00Pay BRL-CDI-Compounded 11.940% 01/02/2012 GSC 2,500 26 2 24 0.01Pay BRL-CDI-Compounded 11.970% 01/02/2012 HSBC 57,900 10 6 4 0.01Pay BRL-CDI-Compounded 11.910% 01/02/2013 BCLY 4,500 16 21 (5) 0.01Pay BRL-CDI-Compounded 12.285% 01/02/2013 BCLY 2,000 19 6 13 0.01Pay BRL-CDI-Compounded 12.590% 01/02/2013 MSC 4,500 40 6 34 0.02Pay IBMEXID 6.960% 07/27/2020 BCLY MXN 116,000 (242) 325 (567) (0.11)

$ 67 $ 457 $ (390) 0.03


Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Buy AUD 101 BCLY 01/2011 $ 4 $ 0 $ 4 0.00Buy 610 CSFB 01/2011 16 0 16 0.01Buy 2,231 RBS 01/2011 156 0 156 0.07Buy BRL 881 HSBC 02/2011 27 0 27 0.01Buy 878 JPM 02/2011 25 0 25 0.01Buy 671 MSC 02/2011 8 0 8 0.00Sell 2,430 UBS 02/2011 0 (25) (25) (0.01)Buy 4,461 CITI 03/2011 38 0 38 0.02Buy 2,430 UBS 04/2011 25 0 25 0.01Buy CAD 1,300 CITI 01/2011 8 0 8 0.00Buy 202 CSFB 01/2011 3 0 3 0.00Sell 1,300 MSC 01/2011 0 (10) (10) 0.00Buy 7,689 DUB 02/2011 97 0 97 0.04Buy 1,300 MSC 02/2011 9 0 9 0.01Buy CHF 380 CITI 01/2011 8 0 8 0.00Buy 199 BCLY 02/2011 10 0 10 0.01Buy 98 CSFB 02/2011 5 0 5 0.00Buy 2,575 RBC 02/2011 169 0 169 0.07Sell 99 RBS 02/2011 0 (7) (7) 0.00Buy CNY 8,037 BCLY 01/2011 28 0 28 0.01Buy 66 BOA 01/2011 0 0 0 0.00Sell 678 CITI 01/2011 0 (3) (3) 0.00Buy 3,553 DUB 01/2011 14 0 14 0.01Sell 19,443 DUB 01/2011 13 (6) 7 0.00Buy 10,197 HSBC 01/2011 21 0 21 0.01Buy 1,357 JPM 01/2011 6 0 6 0.00Sell 6,590 JPM 01/2011 5 (5) 0 0.00Buy 133 MSC 01/2011 0 0 0 0.00Buy 3,367 RBS 01/2011 10 0 10 0.01Buy 6,739 BOA 04/2011 29 0 29 0.01Buy 2,015 DUB 04/2011 7 0 7 0.00Buy 7,291 JPM 04/2011 12 0 12 0.01Buy 175 BCLY 06/2011 0 0 0 0.00Buy 679 BOA 06/2011 4 0 4 0.00Buy 894 DUB 06/2011 0 (2) (2) 0.00Buy 7,844 HSBC 06/2011 3 0 3 0.00Buy 3,053 JPM 06/2011 5 0 5 0.00Buy 162 RBS 06/2011 0 0 0 0.00Buy 1,994 BOA 09/2011 7 0 7 0.00Buy 2,656 CITI 09/2011 10 0 10 0.00Buy 4,641 UBS 09/2011 16 0 16 0.01Buy 152 BCLY 11/2011 0 0 0 0.00Buy 917 CITI 11/2011 1 0 1 0.00Buy 4,635 DUB 11/2011 18 0 18 0.01Buy 12,326 HSBC 11/2011 9 0 9 0.00Buy 2,118 JPM 11/2011 0 (1) (1) 0.00


31 December 2010

Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Buy CNY 3,891 BCLY 02/2012 $ 0 $ (3) $ (3) 0.00Buy 844 DUB 02/2012 1 0 1 0.00Buy 17,250 DUB 09/2015 61 0 61 0.03Buy 4,250 JPM 09/2015 16 0 16 0.01Buy COP 1,638,900 CITI 04/2011 0 (38) (38) (0.02)Buy € 3,946 BCLY 01/2011 10 (188) (178) (0.08)Sell 1,129 BCLY 01/2011 0 (16) (16) (0.01)Buy 738 BOA 01/2011 3 0 3 0.00Buy 9,496 CITI 01/2011 151 (48) 103 0.05Sell 3,952 CITI 01/2011 197 0 197 0.09Buy 4,656 CSFB 01/2011 7 (148) (141) (0.06)Sell 754 CSFB 01/2011 0 (15) (15) (0.01)Sell 1,151 DUB 01/2011 0 (24) (24) (0.01)Buy 2,605 MSC 01/2011 0 (99) (99) (0.04)Buy 779 RBC 01/2011 26 0 26 0.01Buy 1,344 RBS 01/2011 0 (23) (23) (0.01)Sell 590 RBS 01/2011 0 (19) (19) (0.01)Sell 10,000 CITI 02/2011 0 (278) (278) (0.12)Buy £ 843 CITI 01/2011 19 0 19 0.01Sell 827 MSC 01/2011 0 (22) (22) (0.01)Buy 827 MSC 03/2011 22 0 22 0.01Sell 46 UBS 03/2011 0 0 0 0.00Buy INR 2,464 BCLY 03/2011 2 0 2 0.00Sell 23,266 BCLY 03/2011 0 (34) (34) (0.01)Buy 24,376 BNP 03/2011 0 0 0 0.00Buy 38,266 BOA 03/2011 29 0 29 0.01Buy 22,200 CITI 03/2011 1 0 1 0.00Buy 5,964 DUB 03/2011 7 0 7 0.00Buy 37,554 HSBC 03/2011 7 0 7 0.00Sell 3,066 HSBC 03/2011 0 (1) (1) 0.00Buy 5,993 JPM 03/2011 6 0 6 0.00Buy 78,029 RBS 03/2011 0 (1) (1) 0.00Buy 26,836 UBS 03/2011 15 0 15 0.01Buy JPY 8,264 BCLY 01/2011 3 0 3 0.00Buy 377,774 CITI 01/2011 101 0 101 0.05Buy 178,356 GSC 01/2011 80 0 80 0.04Buy 285,380 JPM 01/2011 121 0 121 0.05Buy 214,633 MSC 01/2011 21 0 21 0.01Sell 214,633 MSC 01/2011 0 (21) (21) (0.01)Buy 68,859 RBC 01/2011 31 0 31 0.01Buy 431,824 RBS 01/2011 185 0 185 0.08Buy KRW 603,990 GSC 01/2011 0 (2) (2) 0.00Buy 441,500 HSBC 01/2011 0 (7) (7) 0.00Sell 1,045,490 JPM 01/2011 0 (26) (26) (0.01)Buy 301,400 BCLY 05/2011 0 (1) (1) 0.00Buy 2,936,400 CITI 05/2011 1 (9) (8) 0.00Buy 242,896 GSC 05/2011 1 0 1 0.00Buy 568,000 HSBC 05/2011 0 (2) (2) 0.00Buy 2,356,190 JPM 05/2011 31 0 31 0.01Buy 1,606,500 MSC 05/2011 24 0 24 0.01Buy 1,140,000 RBS 05/2011 3 0 3 0.00Sell MXN 39,120 BCLY 02/2011 0 (124) (124) (0.05)Buy 36,566 CITI 02/2011 55 0 55 0.03Sell 3,736 HSBC 02/2011 0 (4) (4) 0.00Buy 10,013 JPM 02/2011 9 0 9 0.00Buy 8,700 MSC 02/2011 3 0 3 0.00Sell 6,748 RBS 02/2011 0 (18) (18) (0.01)Buy MYR 4,097 BCLY 02/2011 16 0 16 0.01Buy 1,384 CITI 02/2011 10 0 10 0.00Buy 622 JPM 02/2011 3 0 3 0.00Buy 410 RBS 02/2011 2 0 2 0.00Buy PHP 21,929 CITI 02/2011 0 0 0 0.00Buy 6,267 DUB 02/2011 0 0 0 0.00Buy 4,050 UBS 02/2011 0 0 0 0.00Buy 6,000 BOA 06/2011 0 (1) (1) 0.00Buy 64,172 CITI 06/2011 9 (11) (2) 0.00Buy 13,678 DUB 06/2011 4 0 4 0.00Buy 10,276 HSBC 06/2011 2 0 2 0.00Buy 14,051 JPM 06/2011 4 0 4 0.00Buy PLN 5,604 BCLY 02/2011 0 (51) (51) (0.02)Buy 902 DUB 02/2011 5 0 5 0.00Sell 2,849 HSBC 02/2011 38 0 38 0.02Buy 1,151 RBS 02/2011 0 (11) (11) (0.01)Buy SEK 1,369 CITI 01/2011 3 0 3 0.00Sell 1,369 MSC 01/2011 0 (1) (1) 0.00Buy 1,345 BCLY 02/2011 0 (2) (2) 0.00Sell 1,304 CITI 02/2011 1 0 1 0.00Buy 664 CSFB 02/2011 0 (1) (1) 0.00Buy 1,369 MSC 02/2011 1 0 1 0.00Buy 11,686 RBC 02/2011 0 (2) (2) 0.00Buy SGD 921 DUB 02/2011 19 0 19 0.01Sell 3,993 JPM 02/2011 0 (18) (18) (0.01)



Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Buy SGD 2,100 BOA 03/2011 $ 78 $ 0 $ 78 0.03Buy 1,299 DUB 03/2011 23 0 23 0.01Buy 775 HSBC 03/2011 5 0 5 0.00Buy 440 JPM 03/2011 17 0 17 0.01Buy 520 RBS 03/2011 20 0 20 0.01Buy 1,296 JPM 06/2011 17 0 17 0.01Buy TWD 6,356 BCLY 01/2011 18 0 18 0.01Buy 5,056 DUB 01/2011 5 0 5 0.00Sell 33,250 DUB 01/2011 2 (6) (4) 0.00Buy 18,394 HSBC 01/2011 13 0 13 0.01Buy 1,021 JPM 01/2011 2 0 2 0.00Buy 1,572 MSC 01/2011 2 0 2 0.00Buy 852 UBS 01/2011 2 0 2 0.00Buy 14,108 BOA 04/2011 30 0 30 0.01Buy 43,150 DUB 04/2011 70 0 70 0.03Buy 14,477 JPM 04/2011 29 0 29 0.01Buy ZAR 3,340 BCLY 01/2011 3 0 3 0.00Buy 9,883 HSBC 01/2011 78 0 78 0.04

$ 2,606 $ (1,334) $ 1,272 0.56



DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS


BNP Paribas Bank0.080% due 01/03/2011 € 957 $ 1,284 0.56Brown Brothers Harriman & Co.3.890% due 01/04/2011 AUD 1 1 0.00Deutsche Bank AG0.150% due 01/04/2011 CAD 144 145 0.06HSBC Bank0.068% due 01/04/2011 £ 94 148 0.07Nordea Bank AB0.030% due 01/03/2011 $ 680 680 0.30Total Overnight Time Deposits $ 2,258 0.99Other Current Assets & Liabilities $ 10,789 4.72Net Assets $ 228,597 100.00



(b) The Global Advantage Fund is investing in Class Z Income Shares of an affiliated Fund.

(c) Securities with an aggregate market value of $1,880 and cash of $1,320 have been pledged as collateral for swap, swaption and foreign currency contracts as governed by International Swaps andDerivatives Association, Inc. Master Agreements as at 31 December 2010.

(d) Securities with an aggregate market value of $499 and cash of $39 have been segregated with the Custodian to cover margin requirements for the open futures contracts as at 31 December 2010.



Category3




(Level 2)



Transferable Securities $ 22,544 $ 186,372 $ 3,671 $ 212,587Deposits with Credit Institutions 0 1,198 0 1,198Financial Derivative Instruments4 (42) 1,816 (9) 1,765Totals $ 22,502 $ 189,386 $ 3,662 $ 215,550


Category3

StartingBalance

at 31-Dec-2009Net

Purchases5Net

Sales5


RealisedGains/

(Losses)




Level 3

EndingBalance at

31-Dec-2010




Transferable Securities $ 0 $ 3,653 $ 0 $ 0 $ 0 $ 18 $ 0 $ 3,671 $ 18Financial Derivative Instruments4 0 (8) 0 0 0 (1) 0 (9) (1)Totals $ 0 $ 3,645 $ 0 $ 0 $ 0 $ 17 $ 0 $ 3,662 $ 17


31 December 2010


Category3




(Level 2)



Transferable Securities $ 0 $ 20,533 $ 0 $ 20,533Financial Derivative Instruments4 (10) (29) 0 (39)Totals $ (10) $ 20,504 $ 0 $ 20,494

1 See note 2(c) in the Notes to Financial Statements for additional information.2 There were no significant transfers into and out of level 1 and 2 during the period ended 31 December 2010 and 31 December 2009.3 Refer to the Portfolio of Investments and Assets for additional information.4 Financial Derivative Instruments may include open futures contracts, swap agreements, written options, purchased options and foreign currency contracts.5 Net Purchases and Sales for Financial Derivative Instruments may include payments made or received upon entering into swap agreements to compensate for differences between the stated terms




Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Sell AUD 1,564 RBS 01/2011 $ 0 $ (109) $ (109) (0.05)Sell 193 CITI 02/2011 0 (2) (2) 0.00Sell CAD 536 MSC 01/2011 0 (4) (4) 0.00Buy 536 RBS 01/2011 15 0 15 0.01Sell 678 CITI 02/2011 0 (4) (4) 0.00Sell 6,534 DUB 02/2011 0 (82) (82) (0.04)Buy 536 MSC 02/2011 4 0 4 0.00Sell CHF 199 BCLY 02/2011 0 (10) (10) 0.00Sell 184 CITI 02/2011 0 (4) (4) 0.00Sell 1,372 RBC 02/2011 0 (87) (87) (0.04)Sell DKK 3,100 RBC 02/2011 19 0 19 0.01Buy € 6,504 BCLY 01/2011 0 (396) (396) (0.17)Buy 52,564 CITI 01/2011 0 (625) (625) (0.27)Sell 33 CITI 01/2011 0 0 0 0.00Buy 1,345 CSFB 01/2011 26 0 26 0.01Buy 3,048 RBC 01/2011 5 (91) (86) (0.04)Sell 428 RBC 01/2011 27 0 27 0.01Sell 2,383 RBS 01/2011 0 (79) (79) (0.04)Buy 8,033 CITI 02/2011 223 0 223 0.10Sell 2,422 CITI 02/2011 0 (67) (67) (0.03)Buy 563 RBC 02/2011 17 0 17 0.01Buy 28 RBS 02/2011 0 0 0 0.00Buy £ 3,884 BNP 01/2011 85 0 85 0.04Sell 4,165 CITI 01/2011 0 (37) (37) (0.02)Buy 281 RBS 01/2011 3 0 3 0.00Sell 3,884 BNP 02/2011 0 (85) (85) (0.04)Sell 334 CITI 02/2011 0 (8) (8) 0.00Sell JPY 381,122 GSC 01/2011 0 (172) (172) (0.07)Sell 226,859 RBC 01/2011 0 (103) (103) (0.04)Sell 453,718 RBS 01/2011 0 (197) (197) (0.09)Sell 92,640 CITI 02/2011 0 (13) (13) (0.01)Sell SEK 1,339 BCLY 02/2011 2 0 2 0.00Sell 819 CITI 02/2011 0 (2) (2) 0.00Sell 7,541 RBC 02/2011 1 0 1 0.00Sell 664 RBS 02/2011 2 0 2 0.00

$ 429 $ (2,177) $ (1,748) (0.76)


Significant Changes in Portfolio Composition Global Advantage Fund



PIMCO US Dollar Short-Term FloatingNAV Fund (a) 3,956,728 $ 39,551

PAR(000S)

Republic of Germany3.250% due 01/04/2020 € 25,750 35,915US Treasury Notes0.375% due 10/31/2012 $ 18,000 17,980US Treasury Notes0.500% due 11/30/2012 15,600 15,593US Treasury Notes3.125% due 05/15/2019 13,400 13,393Republic of Germany6.500% due 07/04/2027 € 6,876 12,836US Treasury Notes2.625% due 12/31/2014 $ 11,400 11,504Fannie Mae5.500% due 07/01/2037 8,719 9,343US Cash Management Bills0.135% due 02/10/2011 9,300 9,298US Treasury Notes3.625% due 08/15/2019 8,200 8,617Republic of Germany3.750% due 01/04/2015 € 4,965 7,422Fannie Mae0.240% due 11/08/2010 $ 5,000 4,995United Kingdom Gilt4.750% due 09/07/2015 £ 2,300 4,171US Treasury Bills0.033% due 07/01/2010 $ 4,000 4,000Freddie Mac0.000% due 09/01/2010 4,000 3,998US Treasury Bills0.200% due 12/09/2010 4,000 3,996US Treasury Notes3.375% due 11/15/2019 3,900 3,951Treasury Inflation Protected Securities2.375% due 01/15/2025 (b) 3,122 3,564Bundesschatzanweisungen2.250% due 12/10/2010 € 2,260 3,325Republic of Germany5.500% due 01/04/2031 1,932 3,312Bundesschatzanweisungen4.000% due 09/10/2010 2,217 3,281Republic of Germany3.500% due 07/04/2019 2,300 3,246US Treasury Notes3.500% due 05/15/2020 $ 3,100 3,219Fannie Mae5.000% due 04/01/2038 3,000 3,170Treasury Inflation Protected Securities1.250% due 07/15/2020 (b) 2,851 3,025US Treasury Bills0.210% due 12/02/2010 3,000 2,997Republic of Germany4.250% due 07/04/2018 € 1,900 2,934Canada Government Bond4.500% due 06/01/2015 CAD 2,750 2,858Brazil Government International Bond5.875% due 01/15/2019 $ 2,300 2,682Mexico Government International Bond9.500% due 12/18/2014 MXN 26,550 2,394JPMorgan Chase & Co.1.551% due 09/01/2015 $ 2,400 2,393United Kingdom Gilt4.750% due 03/07/2020 £ 1,400 2,353Russia Government International Bond7.500% due 03/31/2030 $ 2,034 2,283Federal Home Loan Bank0.000% due 03/10/2010 2,000 2,000

DESCRIPTIONPAR

(000S)PROCEEDS

(000S)


Republic of Germany3.250% due 01/04/2020 € 23,660 $ 33,272US Treasury Notes0.375% due 10/31/2012 $ 18,000 17,962

SHARES


PAR(000S)

US Treasury Notes3.125% due 05/15/2019 $ 13,400 13,997Republic of Germany6.500% due 07/04/2027 € 6,876 12,833US Treasury Notes2.625% due 12/31/2014 $ 11,400 11,602US Treasury Notes3.625% due 08/15/2019 8,200 8,521US Cash Management Bills0.135% due 02/10/2011 7,640 7,639Fannie Mae0.240% due 11/08/2010 5,000 4,999Republic of Germany3.750% due 01/04/2015 € 2,995 4,243Freddie Mac0.000% due 09/01/2010 $ 4,000 4,000US Treasury Bills0.033% due 07/01/2010 4,000 4,000US Treasury Bills0.200% due 12/09/2010 4,000 3,999US Treasury Notes3.375% due 11/15/2019 3,900 3,998US Treasury Notes3.500% due 05/15/2020 3,100 3,348Bundesschatzanweisungen2.250% due 12/10/2010 € 2,260 3,324Republic of Germany5.500% due 01/04/2031 1,932 3,311Bundesschatzanweisungen4.000% due 09/10/2010 2,217 3,280Fannie Mae5.000% due 04/01/2038 $ 3,000 3,210Canada Government Bond4.500% due 06/01/2015 CAD 2,750 3,046US Treasury Bills0.210% due 12/02/2010 $ 3,000 2,999Brazil Government International Bond5.875% due 01/15/2019 2,300 2,605Federal Home Loan Bank0.000% due 03/10/2010 2,000 2,000Treasury Inflation Protected Securities1.250% due 07/15/2020 (b) 1,850 1,988Republic of Germany4.750% due 07/04/2040 € 1,000 1,794US Treasury Notes3.250% due 12/31/2016 $ 1,600 1,604US Treasury Bills0.000% due 04/29/2010 1,600 1,600US Treasury Bills0.163% due 05/26/2011 1,420 1,419Canada Government Bond4.250% due 06/01/2018 CAD 1,200 1,307Treasury Inflation Protected Securities2.000% due 01/15/2026 (b) $ 1,099 1,258US Treasury Bills1.750% due 07/31/2015 1,200 1,222Federal Home Loan Bank0.000% due 04/14/2010 1,200 1,200Federal Home Loan Bank0.000% due 04/07/2010 1,200 1,200Federal Home Loan Bank0.000% due 03/05/2010 1,200 1,200US Treasury Notes2.625% due 11/15/2020 1,200 1,187



DESCRIPTIONPAR

(000S)PROCEEDS

(000S)


American Express Co.6.150% due 08/28/2017 $ 1,000 $ 1,128

(a) The Global Advantage Fund is investing in Class Z Income Shares of an affiliated Fund.





Portfolio of Investments and Assets Global Bond Fund

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS


AUSTRALIA

Bank of Queensland Ltd.5.420% due 10/22/2012 AUD 15,200 $ 15,680 0.285.500% due 10/22/2012 5,080 5,190 0.10Citigroup Pty Ltd.5.430% due 08/20/2012 6,100 6,251 0.115.500% due 08/20/2012 10,100 10,341 0.19Commonwealth Bank of Australia0.709% due 07/12/2013 $ 7,700 7,720 0.140.803% due 06/25/2014 6,400 6,435 0.122.500% due 12/10/2012 700 722 0.012.900% due 09/17/2014 9,800 10,245 0.194.500% due 02/20/2014 AUD 12,800 12,700 0.235.750% due 12/17/2013 2,800 2,847 0.05Crusade Global Trust1.184% due 11/19/2037 € 666 862 0.02Harvey Trust4.980% due 07/11/2038 AUD 418 415 0.01ING Bank Australia Ltd.5.432% due 08/28/2013 3,100 3,173 0.065.500% due 10/08/2012 8,500 8,690 0.165.617% due 06/24/2014 6,000 6,186 0.115.750% due 08/28/2013 11,500 11,827 0.215.750% due 03/03/2015 19,000 19,424 0.35Interstar Millennium Trust4.980% due 03/27/2038 153 147 0.00Macquarie Bank Ltd.2.600% due 01/20/2012 $ 3,000 3,058 0.063.300% due 07/17/2014 200 212 0.004.100% due 12/17/2013 20,000 21,533 0.39Medallion Trust0.418% due 05/25/2035 5,739 5,620 0.10Members Equity Bank Pty Ltd.5.500% due 08/20/2012 AUD 11,100 11,359 0.205.750% due 08/20/2012 2,100 2,151 0.04National Australia Bank Ltd.0.790% due 07/08/2014 $ 16,400 16,594 0.305.350% due 06/12/2013 900 975 0.02National Capital Instruments Euro LLC 21.964% due 12/29/2049 € 500 493 0.01Puma Finance Ltd.0.354% due 02/21/2038 $ 4,549 4,367 0.084.970% due 08/22/2037 AUD 3,411 3,343 0.065.350% due 07/12/2036 2,002 2,000 0.04SMG H5 Pty Ltd.7.160% due 02/07/2013 8,218 8,069 0.157.355% due 02/07/2013 1,929 1,894 0.03Suncorp Group Ltd.1.789% due 07/16/2012 $ 10,819 11,024 0.205.460% due 09/11/2013 AUD 2,200 2,258 0.045.750% due 04/15/2012 800 820 0.01Superannuation Members Home Loans Global Fund0.582% due 03/09/2036 $ 5,323 5,280 0.10Swan0.366% due 05/12/2037 1,667 1,627 0.030.372% due 06/12/2038 5,392 5,236 0.09Sydney Airport Finance Co. Pty Ltd.5.125% due 02/22/2021 400 386 0.01Torrens Trust5.230% due 10/19/2038 AUD 4,562 4,569 0.08Westpac Banking Corp.2.700% due 12/09/2014 $ 4,200 4,238 0.082.900% due 09/10/2014 2,200 2,275 0.044.000% due 03/19/2012 AUD 800 808 0.01

249,044 4.51

BERMUDA

Tyco International Ltd.7.000% due 12/15/2019 $ 14,000 16,681 0.30

BRAZIL

Banco Santander Brazil S.A.4.500% due 04/06/2015 6,000 6,151 0.11

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Brazil Government International Bond10.250% due 01/10/2028 BRL 3,750 $ 2,357 0.04Brazil Notas do Tesouro Nacional Series F10.000% due 01/01/2012 590 349 0.0110.000% due 01/01/2017 11,900 6,573 0.12CSN Resources S.A.6.500% due 07/21/2020 $ 10,850 11,501 0.21Gerdau Holdings, Inc.7.000% due 01/20/2020 2,000 2,210 0.04

29,141 0.53


Gold Fields Orogen Holding BVI Ltd.4.875% due 10/07/2020 4,700 4,505 0.08

CANADA

Agrium, Inc.6.750% due 01/15/2019 5,000 5,723 0.10Bank of Nova Scotia1.650% due 10/29/2015 15,900 15,216 0.28Broadway Credit Card Trust5.234% due 06/17/2011 CAD 35,100 35,899 0.65Canada Government Bond2.000% due 12/01/2014 4,000 3,998 0.072.500% due 09/01/2013 28,000 28,635 0.52Ford Auto Securitization Trust4.817% due 10/15/2012 6,000 6,167 0.11Honda Canada Finance, Inc.1.479% due 03/26/2012 1,000 1,002 0.02HSBC Financial Corp. Ltd.1.496% due 05/03/2012 59 59 0.00Novelis, Inc.5.000% due 12/14/2016 $ 1,500 1,522 0.03Province of Ontario Canada4.000% due 10/07/2019 11,300 11,630 0.21Rio Tinto Alcan, Inc.5.000% due 06/01/2015 54 59 0.006.450% due 03/15/2011 62 63 0.00TransCanada PipeLines Ltd.6.350% due 05/15/2067 2,800 2,768 0.05Xstrata Canada Corp.7.250% due 07/15/2012 2,000 2,148 0.04

114,889 2.08

CAYMAN ISLANDS

Green Valley Ltd.4.572% due 01/10/2011 € 5,000 6,697 0.12IPIC GMTN Ltd.3.125% due 11/15/2015 $ 1,000 981 0.02MUFG Capital Finance 5 Ltd.6.299% due 01/29/2049 £ 700 1,025 0.02Mystic Re Ltd.10.294% due 06/07/2011 $ 2,700 2,746 0.05Odebrecht Drilling Norbe VIII & IX Ltd.6.350% due 06/30/2021 19,400 20,273 0.37Punch Taverns Finance B Ltd.1.858% due 06/30/2035 £ 1,600 639 0.01QNB Finance Ltd.3.125% due 11/16/2015 $ 29,200 28,616 0.52Seagate Technology HDD Holdings6.375% due 10/01/2011 2,000 2,062 0.04Transocean, Inc.4.950% due 11/15/2015 27,000 27,933 0.50

90,972 1.65

CHILE

Banco del Estado de Chile4.125% due 10/07/2020 4,700 4,482 0.08

DENMARK

Denmark Government Bond4.500% due 11/15/2039 DKK 200 43 0.005.000% due 11/15/2013 1,070 212 0.01

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Kingdom of Denmark1.750% due 10/05/2015 € 15,700 $ 20,658 0.37Kommunekredit1.250% due 09/03/2013 $ 3,200 3,185 0.06Nordea Kredit Realkreditaktieselskab6.000% due 07/01/2029 DKK 16 3 0.00Nykredit Realkredit A/S6.000% due 10/01/2029 278 55 0.00Realkredit Danmark A/S2.000% due 01/01/2011 126,900 22,845 0.412.373% due 01/01/2038 274 47 0.00

47,048 0.85

FRANCE

BNP Paribas Home Loan Covered Bonds S.A.2.250% due 10/01/2012 € 6,400 8,671 0.163.750% due 12/13/2011 7,400 10,148 0.193.750% due 04/20/2020 19,400 26,086 0.474.500% due 05/30/2014 900 1,289 0.024.750% due 05/28/2013 7,000 9,989 0.18BPCE S.A.6.117% due 10/29/2049 13,000 13,603 0.25Cie de Financement Foncier1.625% due 07/23/2012 $ 20,100 20,202 0.372.000% due 02/17/2012 € 3,200 4,320 0.082.125% due 04/22/2013 $ 29,000 29,263 0.532.250% due 01/25/2013 € 26,400 35,667 0.643.625% due 01/16/2012 4,700 6,449 0.124.000% due 07/21/2011 200 272 0.004.500% due 01/09/2013 1,100 1,553 0.03CIF Euromortgage4.125% due 12/19/2014 600 852 0.02CM-CIC Covered Bonds3.125% due 01/21/2015 10,100 13,778 0.25Credit Agricole Covered Bonds3.500% due 07/21/2014 100 139 0.00Dexia Credit Local2.000% due 03/05/2013 $ 7,450 7,496 0.14Dexia Credit Local S.A.1.039% due 01/14/2013 £ 24,700 38,567 0.702.625% due 01/21/2014 € 4,350 5,904 0.112.750% due 01/10/2014 $ 2,500 2,540 0.04Dexia Municipal Agency S.A.2.750% due 01/25/2016 € 59,000 77,371 1.404.500% due 04/27/2015 600 856 0.014.750% due 06/06/2011 6,800 9,254 0.17GCE Covered Bonds2.000% due 09/30/2013 64,800 86,422 1.562.125% due 06/03/2014 10,700 14,245 0.26Lafarge S.A.6.500% due 07/15/2016 $ 7,000 7,465 0.13Societe Financement de l’Economie Francaise2.125% due 05/20/2012 € 7,790 10,605 0.193.000% due 04/07/2014 50 69 0.003.375% due 05/05/2014 $ 5,200 5,515 0.10Veolia Environnement S.A.6.000% due 06/01/2018 8,000 8,973 0.16Vivendi S.A.5.750% due 04/04/2013 18,100 19,534 0.356.625% due 04/04/2018 6,400 7,137 0.13

484,234 8.76

GERMANY

Duesseldorfer Hypothekenbank AG1.000% due 08/04/2011 € 25,900 34,738 0.63IKB Deutsche Industriebank AG2.125% due 09/10/2012 15,200 20,665 0.37Kreditanstalt fuer Wiederaufbau1.250% due 06/17/2013 36,450 48,740 0.883.250% due 02/15/2011 $ 340 341 0.014.375% due 10/11/2013 € 800 1,152 0.025.500% due 06/05/2014 AUD 10,000 10,138 0.18NRW.Bank0.684% due 08/24/2012 $ 10,000 10,032 0.18Republic of Germany4.250% due 07/04/2018 € 105,525 156,744 2.84


31 December 2010

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

State of North Rhine-Westphalia1.250% due

09/13/2013 € 23,700 $ 31,457 0.57Unitymedia Hessen GmbH & Co. KG8.125% due

12/01/2017 2,000 2,854 0.05316,861 5.73

HONG KONG

Sinochem Overseas Capital Co. Ltd.4.500% due

11/12/2020 $ 9,100 9,005 0.16

INDIA

State Bank of India4.500% due

11/30/2015 € 12,600 17,054 0.31

INDONESIA

Indonesia Government International Bond5.875% due

03/13/2020 $ 700 772 0.016.875% due

01/17/2018 1,300 1,515 0.037.250% due

04/20/2015 750 869 0.027.750% due

01/17/2038 500 612 0.013,768 0.07

IRELAND

Celtic Residential Irish Mortgage Securitisation1.215% due

04/10/2048 € 2,250 1,083 0.02Cloverie PLC for Zurich Insurance Co. Ltd.12.000% due

07/29/2049 6,400 9,973 0.18DECO Series1.202% due

10/27/2019 77 96 0.00Dryden Leveraged Loan CDO 2002-II1.368% due

08/08/2022 4,200 5,068 0.09German Residential Asset Note Distributor PLC1.240% due

07/20/2016 169 201 0.01Immeo Residential Finance PLC1.186% due

12/15/2016 143 173 0.00SHARES


PAR(000S)

Rivoli Pan Europe PLC1.226% due

08/03/2018 € 2,535 2,814 0.05173,680 3.14

ITALY


1.711% due09/21/2020 1,503 2,018 0.04

F-E Green Srl1.235% due

10/30/2018 106 140 0.002,158 0.04

JAPAN

Japan Treasury Discount Bill0.105% due

01/24/2011 JPY 16,080,000 198,248 3.58

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

0.108% due01/12/2011 JPY 3,000,000 $ 36,988 0.67

JLOC Ltd.0.421% due

01/15/2015 1,033,444 11,101 0.200.456% due

02/16/2016 162,464 1,637 0.03247,974 4.48


HBOS Euro Finance LP7.627% due

12/29/2049 € 8,371 9,770 0.17Magnolia Funding Ltd.3.000% due

04/20/2017 8,800 11,538 0.2121,308 0.38

LUXEMBOURG

Intelsat Jackson Holdings S.A.5.250% due

04/03/2018 $ 2,900 2,932 0.05Sunrise Communications International S.A.7.000% due

12/31/2017 € 2,000 2,811 0.05Telenet Finance Luxembourg S.C.A.6.375% due

11/15/2020 2,000 2,710 0.05Volkswagen Car Lease1.911% due

08/21/2015 3,348 4,503 0.0812,956 0.23

MEXICO

Mexico Government International Bond9.500% due

12/18/2014 MXN 14,940 1,358 0.0310.000% due

12/05/2024 60,840 6,161 0.117,519 0.14

MOROCCO

Kingdom of Morocco4.500% due

10/05/2020 € 9,700 12,483 0.23

NETHERLANDS

ABN Amro Bank NV3.250% due

01/18/2013 17,400 23,965 0.443.750% due

01/12/2012 2,500 3,433 0.06Achmea Hypotheekbank NV3.200% due

11/03/2014 $ 41,005 42,701 0.77Arena BV1.147% due

10/17/2051 € 6,867 9,029 0.161.238% due

02/17/2037 850 1,129 0.02Atomium Mortgage Finance BV1.000% due

07/01/2034 782 1,005 0.02Cooperatieve Centrale

Raiffeisen-Boerenleenbank BA6.875% due

03/19/2020 20,400 26,002 0.4711.000% due

06/29/2049 $ 1,684 2,183 0.04Delphinus BV1.285% due

06/25/2066 € 431 576 0.011.321% due

11/28/2031 520 692 0.01

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Dutch MBS BV1.130% due 07/02/2037 € 1,024 $ 1,338 0.02Dutch Mortgage Portfolio Loans BV1.291% due 11/20/2035 2,415 3,152 0.061.934% due 07/25/2047 5,400 7,217 0.13Fortis Bank Nederland NV3.000% due 04/17/2012 5,600 7,683 0.143.375% due 05/19/2014 26,308 36,823 0.67Globaldrive BV1.813% due 02/20/2016 1,132 1,520 0.033.000% due 07/20/2015 9,869 13,279 0.24Harbourmaster CLO Ltd.1.286% due 06/15/2020 1,971 2,485 0.05Holland Euro-Denominated

Mortgage-Backed Series1.154% due 09/18/2039 980 1,255 0.02ING Bank NV2.250% due 08/31/2015 31,300 41,003 0.743.900% due 03/19/2014 $ 11,600 12,458 0.23LeasePlan Corp. NV3.000% due 05/07/2012 13,700 14,079 0.253.250% due 05/22/2014 € 3,389 4,718 0.09Netherlands Government Bond4.000% due 07/15/2018 27,800 40,259 0.734.500% due 07/15/2017 7,800 11,654 0.21NIBC Bank NV0.680% due 12/02/2014 $ 5,000 5,004 0.092.800% due 12/02/2014 37,200 38,379 0.693.125% due 02/17/2012 € 1,000 1,370 0.023.500% due 04/07/2014 5,800 8,144 0.153.625% due 12/19/2011 238 327 0.01Royal Bank of Scotland NV1.002% due 03/09/2015 $ 268 222 0.00Saecure BV1.185% due 05/25/2036 € 144 191 0.00SMILE Securitisation Co. BV1.174% due 12/20/2053 175 205 0.00SNS Bank NV3.500% due 03/10/2014 50 70 0.00Ziggo Finance BV6.125% due 11/15/2017 2,800 3,738 0.07

367,288 6.64

NEW ZEALAND

ANZ National International Ltd.6.200% due 07/19/2013 $ 7,000 7,711 0.14BNZ International Funding Ltd.2.625% due 06/05/2012 10,600 10,893 0.203.125% due 11/23/2017 € 10,500 13,763 0.25Westpac Securities NZ Ltd.2.500% due 05/25/2012 $ 193 198 0.003.450% due 07/28/2014 10,300 10,987 0.20

43,552 0.79

NORWAY

DnB NOR Boligkreditt2.100% due 10/14/2015 28,100 26,759 0.482.375% due 07/20/2015 € 18,600 24,134 0.444.500% due 05/16/2011 1,400 1,899 0.044.625% due 07/03/2012 9,900 13,875 0.25DnB NORBank ASA6.012% due 03/29/2049 £ 2,000 3,011 0.05Sparebanken 1 Boligkreditt2.375% due 12/03/2012 € 260 352 0.01

70,030 1.27

QATAR

Qatar Government International Bond4.000% due 01/20/2015 $ 2,200 2,288 0.045.250% due 01/20/2020 1,400 1,484 0.03

3,772 0.07

RUSSIA

Gazprom Via Gaz Capital S.A.2.890% due 11/15/2012 JPY 100,000 1,200 0.02


Portfolio of Investments and Assets Global Bond Fund (Cont.)

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Gazprom Via White Nights Finance BV10.500% due 03/25/2014 $ 5,200 $ 6,221 0.11TNK-BP Finance S.A.6.625% due 03/20/2017 5,200 5,538 0.10

12,959 0.23

SOUTH KOREA

Export-Import Bank of Korea1.352% due 03/13/2012 6,900 6,898 0.135.750% due 05/22/2013 € 8,989 12,804 0.23Korea Development Bank0.564% due 11/22/2012 $ 3,600 3,522 0.061.242% due 11/21/2011 2,700 2,683 0.055.300% due 01/17/2013 4,900 5,197 0.10Korea Expressway Corp.5.125% due 05/20/2015 1,000 1,051 0.02Korea Land & Housing Corp.4.875% due 09/10/2014 750 778 0.01Korea National Oil Corp.5.375% due 07/30/2014 800 851 0.01Shinhan Bank1.584% due 11/16/2012 14,400 14,300 0.26

48,084 0.87

SUPRANATIONAL

European Investment Bank3.625% due 10/15/2011 € 3,900 5,347 0.09European Union3.625% due 04/06/2016 297 417 0.01

5,764 0.10

SWEDEN

Swedbank Hypotek AB4.625% due 05/23/2011 5,200 7,061 0.13

SWITZERLAND

Transocean, Inc.6.500% due 11/15/2020 $ 400 425 0.01

UNITED KINGDOM


Bumper 2 S.A.2.524% due 06/20/2022 € 2,180 2,932 0.05


Abbey National Treasury Services PLC2.500% due 03/18/2013 1,700 2,282 0.043.625% due 10/05/2017 3,500 4,567 0.08Bank of Scotland PLC3.250% due 01/25/2013 1,000 1,359 0.024.500% due 10/23/2013 1,800 2,514 0.055.250% due 07/24/2012 AUD 1,800 1,833 0.035.487% due 07/24/2012 17,000 17,480 0.325.625% due 05/23/2013 € 20 28 0.00Barclays Bank PLC2.700% due 03/05/2012 $ 500 510 0.016.000% due 01/14/2021 € 1,700 2,216 0.046.050% due 12/04/2017 $ 15,188 15,602 0.2810.000% due 05/21/2021 £ 3,896 7,443 0.1310.179% due 06/12/2021 $ 7,840 9,762 0.18BG Energy Capital PLC5.125% due 12/01/2025 £ 15,500 24,261 0.44BP Capital Markets PLC0.442% due 04/11/2011 $ 4,700 4,702 0.093.100% due 10/07/2014 € 7,100 9,646 0.173.125% due 10/01/2015 $ 18,000 18,007 0.333.830% due 10/06/2017 € 4,200 5,642 0.104.500% due 10/01/2020 $ 5,400 5,397 0.10FCE Bank PLC5.125% due 11/16/2015 £ 23,300 35,477 0.64Hanson Ltd.6.125% due 08/15/2016 $ 5,000 5,125 0.09HBOS PLC6.750% due 05/21/2018 14,700 13,784 0.25

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

LBG Capital No.1 PLC6.439% due 05/23/2020 € 8,299 $ 9,018 0.167.375% due 03/12/2020 900 1,050 0.027.625% due 10/14/2020 1,200 1,409 0.037.867% due 12/17/2019 £ 2,600 3,562 0.067.869% due 08/25/2020 1,000 1,378 0.027.875% due 11/01/2020 $ 2,140 1,958 0.048.500% due 12/29/2049 9,418 8,330 0.1511.040% due 03/19/2020 £ 4,891 7,811 0.14LBG Capital No.2 PLC6.385% due 05/12/2020 € 23,000 25,147 0.469.334% due 02/07/2020 £ 100 150 0.0015.000% due 12/21/2019 1,726 3,445 0.0615.000% due 12/21/2019 € 467 818 0.01Lloyds TSB Bank PLC1.179% due 06/09/2011 400 537 0.013.789% due 04/17/2014 $ 540 550 0.014.000% due 09/29/2020 € 19,800 25,256 0.464.375% due 01/12/2015 $ 3,300 3,302 0.065.800% due 01/13/2020 2,850 2,819 0.056.250% due 04/15/2014 € 484 697 0.0112.000% due 12/29/2049 $ 900 982 0.02National Grid PLC4.980% due

06/22/2011 (i) CAD 6,700 6,840 0.135.000% due 07/02/2018 € 2,000 2,923 0.05Nationwide Building Society2.875% due 09/14/2015 26,400 34,746 0.633.875% due 12/05/2013 4,750 6,565 0.124.125% due 02/27/2012 10,800 14,836 0.27Pearson Dollar Finance PLC5.700% due 06/01/2014 $ 5,000 5,424 0.10Pearson Dollar Finance Two PLC5.500% due 05/06/2013 10,000 10,790 0.206.250% due 05/06/2018 13,000 14,469 0.26Rexam PLC6.750% due 06/01/2013 13,000 14,183 0.26Royal Bank of Scotland Group PLC6.666% due 04/29/2049 CAD 2,100 1,592 0.036.990% due 10/29/2049 $ 11,019 8,540 0.15Royal Bank of Scotland PLC1.450% due 10/20/2011 59,800 60,148 1.092.625% due 05/11/2012 900 921 0.022.750% due 06/18/2013 € 19,200 25,862 0.473.000% due 09/08/2015 15,900 20,979 0.383.625% due 05/17/2013 800 1,071 0.023.875% due 10/19/2020 22,400 28,371 0.514.125% due 11/14/2011 £ 11,200 18,013 0.324.375% due 03/27/2012 AUD 150 152 0.00Tate & Lyle International Finance PLC5.000% due 11/15/2014 $ 2,000 2,077 0.04Yorkshire Building Society2.000% due 03/30/2012 £ 13,900 21,931 0.403.250% due 09/22/2015 € 3,100 4,074 0.084.000% due 11/07/2011 6,600 8,972 0.16

599,335 10.85


Granite Master Issuer PLC0.913% due 12/20/2054 165 206 0.00Holmes Master Issuer PLC2.353% due 10/15/2054 47,300 63,414 1.15Newgate Funding PLC1.999% due 12/15/2050 £ 5,000 4,028 0.072.276% due 12/15/2050 € 5,000 3,429 0.062.526% due 12/15/2050 7,300 3,646 0.07Windermere CMBS PLC0.987% due 04/24/2017 £ 4,988 6,639 0.12

81,362 1.47

SHARES


Royal Bank of Scotland Group PLC9.118% due 03/29/2049 5,000 495 0.01

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

SOVEREIGN ISSUES

United Kingdom Gilt2.750% due 01/22/2015 £ 154,900 $ 248,655 4.504.000% due 09/07/2016 67,100 112,892 2.044.500% due 03/07/2019 65,350 111,237 2.014.500% due 09/07/2034 3,500 5,665 0.104.750% due 09/07/2015 11,400 19,812 0.36

498,261 9.01

Total United Kingdom 1,182,385 21.39

UNITED STATES


ABSC Manufactured Housing Contract5.019% due 04/16/2030 $ 104 103 0.00Access Group, Inc.1.588% due 10/27/2025 3,363 3,440 0.06ACE Securities Corp.0.321% due 10/25/2036 13 5 0.00AFC Home Equity Loan Trust0.971% due 12/22/2027 6 3 0.00Amortizing Residential Collateral Trust0.531% due 06/25/2032 66 57 0.000.841% due 07/25/2032 68 62 0.000.961% due 10/25/2031 82 74 0.00Amresco Residential Securities Mortgage

Loan Trust1.201% due 06/25/2029 52 45 0.00Asset-Backed Funding Certificates0.611% due 06/25/2034 748 613 0.01Bear Stearns Asset-Backed Securities Trust0.311% due 11/25/2036 76 73 0.000.591% due 01/25/2036 4 4 0.000.901% due 12/25/2034 63 51 0.000.921% due 10/25/2032 38 34 0.001.261% due 10/25/2037 9,020 5,981 0.111.261% due 11/25/2042 70 63 0.00BNC Mortgage Loan Trust0.361% due 05/25/2037 1,693 1,580 0.03Carrington Mortgage Loan Trust0.311% due 12/25/2036 7 7 0.000.311% due 01/25/2037 32 31 0.00CIT Group Home Equity Loan Trust0.551% due 03/25/2033 11 11 0.00Citigroup Mortgage Loan Trust, Inc.0.321% due 07/25/2045 124 103 0.000.361% due 10/25/2036 92 92 0.005.764% due 01/25/2037 373 186 0.00Conseco Finance Securitizations Corp.6.030% due 03/01/2033 609 635 0.016.681% due 12/01/2033 416 438 0.01Countrywide Asset-Backed Certificates0.311% due 05/25/2037 117 117 0.000.311% due 05/25/2047 177 176 0.000.311% due 06/25/2047 120 118 0.000.341% due 06/25/2037 16 16 0.000.371% due 10/25/2046 144 143 0.000.441% due 09/25/2036 2,395 2,033 0.040.601% due 12/25/2036 596 271 0.010.741% due 12/25/2031 38 20 0.00Credit Suisse First Boston Mortgage

Securities Corp.0.881% due 01/25/2032 59 49 0.005.949% due 12/18/2049 5,400 5,803 0.11Credit-Based Asset Servicing &

Securitization LLC0.321% due 11/25/2036 98 86 0.00CSAB Mortgage-Backed Trust6.172% due 06/25/2036 649 418 0.01EMC Mortgage Loan Trust0.631% due 05/25/2040 69 56 0.00First Alliance Mortgage Loan Trust0.491% due 12/20/2027 19 13 0.00Ford Credit Auto Owner Trust1.680% due 06/15/2012 80 80 0.00Fremont Home Loan Trust0.371% due 02/25/2036 259 257 0.01


31 December 2010

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

GSAA Trust0.561% due 03/25/2037 $ 952 $ 535 0.010.561% due 05/25/2047 700 443 0.01GSAMP Trust0.361% due 01/25/2047 38 38 0.00Home Equity Asset Trust0.321% due 05/25/2037 398 386 0.011.181% due 02/25/2033 2 1 0.00Home Equity Mortgage Trust5.500% due 01/25/2037 645 117 0.00HSI Asset Securitization Corp. Trust0.311% due 12/25/2036 170 162 0.000.321% due 05/25/2037 234 230 0.01Indymac Residential Asset-Backed Trust0.341% due 07/25/2037 8 8 0.00JPMorgan Mortgage Acquisition Corp.0.371% due 08/25/2036 10,679 5,069 0.09Lehman ABS Mortgage Loan Trust0.351% due 06/25/2037 262 109 0.00Lehman XS Trust0.411% due 04/25/2037 1,091 776 0.020.491% due 08/25/2046 (b) 826 73 0.000.501% due 09/25/2046 1,328 213 0.00Long Beach Mortgage Loan Trust0.541% due 10/25/2034 535 443 0.01MASTR Asset-Backed Securities Trust0.321% due 11/25/2036 4 5 0.000.341% due 05/25/2037 83 80 0.00MBNA Credit Card Master Note Trust5.600% due 07/17/2014 € 1,060 1,467 0.03Merrill Lynch First Franklin Mortgage Loan Trust0.321% due 07/25/2037 $ 163 162 0.00Merrill Lynch Mortgage Investors, Inc.0.331% due 07/25/2037 29 29 0.000.341% due 09/25/2037 29 8 0.00Morgan Stanley ABS Capital I0.321% due 05/25/2037 1,091 947 0.02Morgan Stanley IXIS Real Estate Capital Trust0.311% due 11/25/2036 6 6 0.00Morgan Stanley Mortgage Loan Trust0.331% due 01/25/2047 45 41 0.000.491% due 02/25/2037 584 271 0.000.621% due 04/25/2037 802 399 0.015.750% due 04/25/2037 683 508 0.016.000% due 07/25/2047 763 589 0.01Nationstar Home Equity Loan Trust0.321% due 06/25/2037 178 175 0.00Nelnet Student Loan Trust0.818% due 04/27/2015 1 1 0.00Plymouth Rock CLO Ltd.1.920% due 02/16/2019 1,100 1,096 0.02Popular ABS Mortgage Pass-Through Trust0.351% due 06/25/2047 1,885 1,717 0.03RAAC Series0.661% due 06/25/2047 600 273 0.01Renaissance Home Equity Loan Trust0.761% due 12/25/2033 565 484 0.010.961% due 08/25/2032 1 1 0.00Residential Asset Mortgage Products, Inc.0.331% due 02/25/2037 76 75 0.000.821% due 06/25/2032 94 78 0.00Residential Asset Securities Corp.0.761% due 07/25/2032 (b) 181 99 0.00SACO I, Inc.0.321% due 05/25/2036 86 78 0.00Saxon Asset Securities Trust0.781% due 08/25/2032 5 5 0.00Securitized Asset-Backed Receivables LLC Trust0.321% due 12/25/2036 129 49 0.000.391% due 05/25/2037 605 483 0.01SLM Student Loan Trust0.288% due 04/25/2017 19 18 0.000.502% due 12/17/2018 22 21 0.001.576% due 12/15/2033 € 700 874 0.021.788% due 04/25/2023 $ 24,607 25,432 0.46

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

South Carolina Student Loan Corp.0.846% due 03/01/2018 $ 3,717 $ 3,655 0.07Structured Asset Securities Corp.0.311% due 10/25/2036 93 93 0.000.551% due 01/25/2033 98 89 0.000.661% due 05/25/2034 148 136 0.011.753% due 04/25/2035 99 75 0.00Terwin Mortgage Trust2.563% due 08/25/2037 338 51 0.00Washington Mutual Asset-Backed Certificates0.321% due 10/25/2036 268 183 0.00Wells Fargo Home Equity Trust0.491% due 10/25/2035 149 149 0.00

71,852 1.29


CIT Group, Inc.6.250% due 08/11/2015 2,000 2,043 0.04Community Health Systems, Inc.2.549% due 07/25/2014 1,000 977 0.02Ford Motor Co.3.020% due 12/15/2013 7,823 8,800 0.16Graham Packing Co. LP6.000% due 09/23/2016 2,195 2,223 0.04

14,043 0.26


Ally Financial, Inc.5.375% due 06/06/2011 € 12,000 16,340 0.306.000% due 12/15/2011 3,139 3,228 0.066.625% due 05/15/2012 $ 10,687 11,141 0.206.875% due 08/28/2012 12,368 12,986 0.23American International Group, Inc.1.179% due 04/26/2011 € 5,000 6,665 0.124.875% due 03/15/2067 5,900 6,253 0.115.000% due 06/26/2017 100 127 0.005.750% due 03/15/2067 £ 300 373 0.018.000% due 05/22/2038 € 2,400 3,123 0.068.625% due 05/22/2038 £ 22,300 34,565 0.63Autozone, Inc.5.500% due 11/15/2015 $ 4,000 4,355 0.085.875% due 10/15/2012 2,550 2,743 0.056.500% due 01/15/2014 5,000 5,557 0.10Aviation Capital Group7.125% due 10/15/2020 19,850 20,253 0.37BA Covered Bond Issuer4.125% due 04/05/2012 € 5,100 7,007 0.13Bank of America Corp.4.000% due 03/28/2018 1,650 2,027 0.044.750% due 04/03/2017 17,000 21,924 0.404.750% due 05/23/2017 16,200 19,664 0.365.650% due 05/01/2018 $ 9,200 9,414 0.175.750% due 12/01/2017 5,525 5,758 0.106.500% due 08/01/2016 11,000 11,950 0.227.375% due 05/15/2014 50 56 0.007.625% due 06/01/2019 200 231 0.00Bear Stearns Cos., LLC6.400% due 10/02/2017 189 216 0.007.250% due 02/01/2018 2,800 3,323 0.06BMW US Capital LLC1.118% due 07/25/2011 1,400 1,401 0.03Brunswick Corp.11.750% due 08/15/2013 3,000 3,562 0.07Burlington Northern Santa Fe LLC5.750% due 03/15/2018 149 168 0.00Citigroup Capital XVIII6.829% due 06/28/2067 £ 2,500 2,857 0.05Citigroup, Inc.0.572% due 06/09/2016 $ 13,800 12,330 0.220.829% due 01/16/2012 £ 2,100 3,233 0.060.839% due 08/10/2011 3,000 4,640 0.081.167% due 03/05/2014 € 1,900 2,388 0.041.250% due 02/09/2016 1,700 2,113 0.043.625% due 11/30/2017 2,949 3,633 0.075.500% due 04/11/2013 $ 1,200 1,279 0.025.500% due 10/15/2014 800 863 0.016.000% due 08/15/2017 11,000 11,948 0.22

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

6.125% due 11/21/2017 $ 312 $ 342 0.016.125% due 05/15/2018 14,247 15,631 0.286.400% due 03/27/2013 € 6,500 9,324 0.176.500% due 08/19/2013 $ 320 352 0.016.625% due 06/15/2032 1,200 1,204 0.02Cleveland Electric Illuminating Co.5.700% due 04/01/2017 74 79 0.00CNA Financial Corp.5.850% due 12/15/2014 4,500 4,752 0.096.000% due 08/15/2011 3,000 3,080 0.05Computer Sciences Corp.5.500% due 03/15/2013 149 159 0.006.500% due 03/15/2018 5,300 5,779 0.11COX Communications, Inc.6.750% due 03/15/2011 2,475 2,505 0.05CSX Corp.6.300% due 03/15/2012 89 94 0.00El Paso Performance-Linked Trust7.750% due 07/15/2011 65 67 0.00Embarq Corp.7.082% due 06/01/2016 5,100 5,647 0.10ERAC USA Finance LLC5.800% due 10/15/2012 149 160 0.00GATX Financial Corp.5.500% due 02/15/2012 83 86 0.00General Electric Capital Corp.0.304% due 09/20/2013 2,600 2,511 0.05Genworth Financial, Inc.6.515% due 05/22/2018 9,000 9,160 0.17HCP, Inc.5.950% due 09/15/2011 1,000 1,032 0.02Health Care REIT, Inc.5.875% due 05/15/2015 2,230 2,433 0.04HSBC Finance Corp.6.676% due 01/15/2021 11,100 11,234 0.20International Lease Finance Corp.5.300% due 05/01/2012 3,000 3,049 0.055.750% due 06/15/2011 5,000 5,050 0.096.500% due 09/01/2014 14,500 15,442 0.286.625% due 11/15/2013 14,000 14,367 0.266.750% due 09/01/2016 12,300 13,192 0.24Intuit, Inc.5.750% due 03/15/2017 9,164 10,004 0.18JPMorgan Chase & Co.3.625% due 12/12/2011 € 19,800 27,185 0.494.250% due 10/15/2020 $ 17,400 17,027 0.315.125% due 09/15/2014 120 128 0.016.000% due 01/15/2018 5,500 6,151 0.116.300% due 04/23/2019 3,000 3,421 0.06JPMorgan Chase Bank N.A.6.000% due 10/01/2017 1,100 1,221 0.02JPMorgan Chase Capital XVIII6.950% due 08/17/2036 2,800 2,818 0.05JPMorgan Chase Capital XXII6.450% due 02/02/2037 7,289 7,283 0.13Lehman Brothers Holdings, Inc. (b)0.000% due 05/25/2010 8,800 2,057 0.045.625% due 01/24/2013 23,600 5,900 0.116.200% due 09/26/2014 9,800 2,315 0.047.875% due 05/08/2018 £ 14,000 5,261 0.09Lennar Corp.5.950% due 10/17/2011 $ 1,289 1,321 0.02Limited Brands, Inc.6.900% due 07/15/2017 83 89 0.00Loews Corp.5.250% due 03/15/2016 1,700 1,846 0.03Macy’s Retail Holdings, Inc.5.875% due 01/15/2013 4,000 4,260 0.085.900% due 12/01/2016 4,000 4,290 0.087.450% due 07/15/2017 5,000 5,525 0.10Marsh & McLennan Cos., Inc.5.750% due 09/15/2015 80 86 0.00Masco Corp.5.875% due 07/15/2012 1,200 1,259 0.026.125% due 10/03/2016 59 60 0.00



DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Maytag Corp.5.000% due 05/15/2015 $ 3,700 $ 3,831 0.07Merrill Lynch & Co., Inc.1.303% due 01/31/2014 € 2,900 3,666 0.071.325% due 08/09/2013 1,300 1,663 0.031.328% due 05/30/2014 8,700 10,961 0.201.335% due 08/25/2014 3,500 4,352 0.081.466% due 07/22/2014 2,000 2,522 0.041.578% due 09/14/2018 700 736 0.011.764% due 09/27/2012 3,800 4,945 0.095.450% due 02/05/2013 $ 80 84 0.005.450% due 07/15/2014 30 32 0.006.000% due 02/11/2013 € 5,000 7,000 0.136.750% due 05/21/2013 17,700 25,174 0.456.875% due 04/25/2018 $ 6,445 7,063 0.13Morgan Stanley0.739% due 10/18/2016 3,400 3,145 0.061.331% due 11/29/2013 € 7,300 9,346 0.171.357% due 03/01/2013 7,900 10,145 0.181.377% due 04/13/2016 5,546 6,692 0.126.625% due 04/01/2018 $ 1,000 1,086 0.02Motorola, Inc.6.000% due 11/15/2017 4,400 4,671 0.09Nabors Industries, Inc.6.150% due 02/15/2018 19,100 20,416 0.37Norfolk Southern Corp.5.257% due 09/17/2014 80 88 0.00Ohio Power Co.6.600% due 02/15/2033 100 112 0.00Pride International, Inc.6.875% due 08/15/2020 4,800 5,004 0.098.500% due 06/15/2019 7,510 8,580 0.16Progress Energy, Inc.7.100% due 03/01/2011 812 820 0.02Puget Energy, Inc.6.500% due 12/15/2020 13,500 13,301 0.24RBS Capital Trust I4.709% due 12/29/2049 1,440 954 0.02Reed Elsevier Capital, Inc.4.625% due 06/15/2012 1,200 1,248 0.02Regions Financial Corp.7.750% due 11/10/2014 6,700 6,974 0.13Reynolds American, Inc.7.250% due 06/01/2013 5,000 5,566 0.10Ryder System, Inc.5.850% due 03/01/2014 5,300 5,673 0.106.000% due 03/01/2013 6,000 6,453 0.12Sabre Holdings Corp.7.350% due 08/01/2011 3,300 3,382 0.06Sealed Air Corp.5.625% due 07/15/2013 3,900 4,123 0.08SLM Corp.5.375% due 05/15/2014 3,700 3,721 0.075.450% due 04/25/2011 700 706 0.018.450% due 06/15/2018 5,600 5,828 0.11Southwest Airlines Co.5.125% due 03/01/2017 80 80 0.00Spectra Energy Capital LLC6.200% due 04/15/2018 7,000 7,786 0.14Sprint Nextel Corp.6.000% due 12/01/2016 3,459 3,360 0.06State Street Capital Trust III8.250% due 01/29/2049 59 60 0.00Time Warner Cable, Inc.4.125% due 02/15/2021 26,400 25,172 0.455.875% due 11/15/2040 24,300 24,125 0.44Union Pacific Corp.7.000% due 02/01/2016 1,500 1,768 0.03UST LLC6.625% due 07/15/2012 12,000 12,879 0.23Verizon New York, Inc.7.375% due 04/01/2032 100 113 0.00Wal-Mart Stores, Inc.5.000% due 10/25/2040 7,600 7,410 0.146.200% due 04/15/2038 2,500 2,856 0.05

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Wells Fargo Bank N.A.4.750% due 02/09/2015 $ 250 $ 265 0.01Whirlpool Corp.6.500% due 06/15/2016 5,000 5,520 0.10WM Covered Bond Program3.875% due 09/27/2011 € 3,600 4,909 0.094.375% due 05/19/2014 1,700 2,383 0.04

794,681 14.39


Adjustable Rate Mortgage Trust2.996% due 09/25/2035 $ 745 568 0.01American Home Mortgage Assets0.451% due 05/25/2046 1,292 765 0.010.451% due 09/25/2046 3,509 1,942 0.040.491% due 09/25/2046 936 132 0.001.248% due 11/25/2046 4,639 2,305 0.04American Home Mortgage Investment Trust2.159% due 09/25/2035 3,800 3,624 0.062.261% due 02/25/2045 23 21 0.002.264% due 10/25/2034 1,145 1,016 0.02Banc of America Funding Corp.2.799% due 02/20/2036 5,787 5,429 0.105.319% due 11/20/2035 721 523 0.015.500% due 08/25/2035 17,855 17,864 0.325.893% due 01/20/2047 1,327 964 0.025.941% due 10/20/2046 911 623 0.01Banc of America Large Loan, Inc.2.010% due 11/15/2015 13,660 12,198 0.22BCAP LLC Trust0.431% due 01/25/2037 8,788 5,031 0.09Bear Stearns Adjustable Rate Mortgage Trust2.430% due 08/25/2035 2,866 2,717 0.052.560% due 10/25/2035 249 224 0.002.685% due 08/25/2033 76 76 0.002.730% due 03/25/2035 5,355 5,112 0.092.778% due 08/25/2033 1,230 1,237 0.022.921% due 10/25/2033 628 636 0.012.934% due 03/25/2035 2,180 2,091 0.043.048% due 05/25/2034 930 868 0.023.200% due 02/25/2034 135 121 0.004.530% due 05/25/2034 629 622 0.015.137% due 08/25/2035 800 789 0.025.326% due 05/25/2047 1,179 893 0.02Bear Stearns Alternative-A Trust0.421% due 02/25/2034 367 293 0.002.875% due 05/25/2035 10 8 0.002.891% due 03/25/2034 3 3 0.002.955% due 09/25/2035 9,376 7,187 0.132.956% due 11/25/2035 3,636 2,159 0.042.992% due 08/25/2036 (b) 41 21 0.004.179% due 02/25/2036 9,542 4,888 0.095.091% due 11/25/2036 2,455 1,714 0.035.208% due 11/25/2036 7,825 4,891 0.095.305% due 11/25/2036 8,432 5,282 0.106.046% due 08/25/2036 4,852 3,209 0.06Bear Stearns Commercial Mortgage Securities0.370% due 03/15/2019 1,532 1,507 0.03Bear Stearns Structured Products, Inc.5.339% due 12/26/2046 8,029 5,654 0.10CC Mortgage Funding Corp.0.391% due 05/25/2048 291 133 0.00Chase Mortgage Finance Corp.5.373% due 03/25/2037 6,005 5,030 0.09Citicorp Mortgage Securities, Inc.5.500% due 12/25/2022 1,569 1,497 0.036.000% due 04/25/2037 14,276 14,099 0.25Citigroup Mortgage Loan Trust, Inc.2.560% due 08/25/2035 4,660 4,201 0.082.630% due 10/25/2035 9,925 8,764 0.162.930% due 08/25/2035 1,864 1,770 0.03Countrywide Alternative Loan Trust0.421% due 02/25/2047 757 495 0.010.441% due 05/25/2047 1,141 665 0.010.451% due 11/25/2046 1,219 735 0.010.456% due 12/20/2046 3,891 2,049 0.040.461% due 05/25/2036 1,329 753 0.010.471% due 05/25/2035 178 119 0.00

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

0.471% due 03/20/2046 $ 4,784 $ 2,770 0.050.471% due 07/20/2046 1,746 820 0.020.471% due 07/25/2046 298 168 0.000.491% due 08/25/2046 362 67 0.000.541% due 02/25/2037 4,405 2,607 0.050.541% due 09/20/2046 1,900 415 0.010.581% due 11/20/2035 3,186 1,912 0.030.601% due 10/25/2046 1,100 98 0.000.611% due 05/25/2037 2,782 1,517 0.030.611% due 06/25/2037 877 171 0.001.031% due 11/25/2035 1,267 749 0.011.828% due 11/25/2035 1,962 1,226 0.022.368% due 11/25/2035 1,517 948 0.025.250% due 06/25/2035 1,326 1,135 0.025.305% due 10/25/2035 520 438 0.015.750% due 03/25/2037 1,100 815 0.025.859% due 08/25/2036 4,264 4,254 0.086.000% due 10/25/2032 49 49 0.006.000% due 02/25/2037 728 541 0.016.000% due 04/25/2037 2,366 1,667 0.036.250% due 11/25/2036 839 573 0.016.250% due 08/25/2037 2,026 1,463 0.03Countrywide Home Loan Mortgage Pass-

Through Trust0.491% due 05/25/2035 2,101 1,436 0.030.551% due 04/25/2035 233 157 0.000.581% due 03/25/2035 6,388 3,963 0.070.591% due 02/25/2035 550 423 0.010.601% due 02/25/2035 350 268 0.010.611% due 02/25/2036 876 258 0.000.641% due 09/25/2034 59 35 0.002.949% due 08/25/2034 345 288 0.012.984% due 08/25/2034 325 239 0.003.017% due 02/20/2036 242 194 0.003.121% due 11/25/2034 1,502 1,220 0.023.431% due 04/25/2035 695 469 0.014.186% due 11/19/2033 45 44 0.004.680% due 01/19/2034 713 709 0.015.388% due 02/20/2036 561 432 0.015.500% due 11/25/2035 592 511 0.016.000% due 03/25/2035 624 620 0.01Credit Suisse Mortgage Capital Certificates5.311% due 12/15/2039 400 417 0.015.579% due 04/25/2037 140 74 0.00CS First Boston Mortgage Securities Corp.0.882% due 03/25/2032 150 129 0.002.028% due 05/25/2032 18 18 0.002.528% due 07/25/2033 133 125 0.002.705% due 08/25/2033 1,328 1,318 0.036.500% due 04/25/2033 77 77 0.00Deutsche Alternative-A Securities, Inc.0.351% due 08/25/2037 141 140 0.000.361% due 10/25/2036 54 19 0.005.299% due 10/25/2035 1,230 944 0.02First Horizon Alternative Mortgage Securities6.250% due 08/25/2037 878 646 0.01First Horizon Asset Securities, Inc.2.706% due 12/25/2033 650 641 0.012.924% due 08/25/2035 797 652 0.01First Republic Mortgage Loan Trust0.610% due 11/15/2031 591 541 0.01GMAC Mortgage Corp. Loan Trust3.155% due 06/25/2034 134 117 0.00Greenpoint Mortgage Funding Trust0.341% due 10/25/2046 705 654 0.010.341% due 01/25/2047 157 150 0.000.441% due 01/25/2037 2,048 1,298 0.020.471% due 04/25/2036 1,638 999 0.020.481% due 06/25/2045 81 54 0.000.531% due 04/25/2036 1,256 271 0.010.531% due 11/25/2045 378 254 0.010.581% due 09/25/2046 1,300 53 0.000.601% due 10/25/2046 1,697 264 0.00Greenpoint Mortgage Pass-Through Certificates3.117% due 10/25/2033 159 137 0.00GS Mortgage Securities Corp. II0.356% due 03/06/2020 5,828 5,688 0.10GSR Mortgage Loan Trust2.050% due 03/25/2033 621 616 0.012.574% due 06/25/2034 257 236 0.00


31 December 2010

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

2.825% due 09/25/2035 $ 78 $ 75 0.002.901% due 09/25/2035 18,610 15,214 0.282.964% due 01/25/2036 528 414 0.01Harborview Mortgage Loan Trust0.451% due 09/19/2037 2,471 1,508 0.030.451% due 01/19/2038 2,088 1,403 0.030.461% due 09/19/2046 3,300 2,064 0.040.481% due 05/19/2035 1,031 678 0.010.501% due 03/19/2036 675 418 0.010.511% due 01/19/2036 1,352 877 0.020.511% due 09/19/2046 721 136 0.000.611% due 01/19/2035 764 507 0.010.631% due 02/19/2034 159 145 0.001.178% due 12/19/2036 1,317 721 0.012.960% due 07/19/2035 326 260 0.003.072% due 05/19/2033 1,208 1,208 0.025.518% due 08/19/2036 2,191 1,793 0.03Homebanc Mortgage Trust0.441% due 12/25/2036 137 103 0.00Impac CMB Trust1.261% due 07/25/2033 108 97 0.00Indymac Index Mortgage Loan Trust0.461% due 06/25/2047 4,892 2,742 0.050.501% due 06/25/2037 762 481 0.012.690% due 12/25/2034 452 334 0.005.000% due 08/25/2035 620 414 0.015.047% due 09/25/2035 564 83 0.005.104% due 01/25/2036 627 496 0.015.153% due 10/25/2035 613 471 0.015.334% due 06/25/2036 1,166 896 0.02JPMorgan Alternative Loan Trust5.500% due 11/25/2036 2,228 2,059 0.045.550% due 10/25/2036 99 93 0.00JPMorgan Chase Commercial Mortgage

Securities Corp.2.749% due 11/15/2043 12,784 12,652 0.23JPMorgan Mortgage Trust2.190% due 11/25/2033 814 813 0.012.992% due 08/25/2034 3,022 2,833 0.053.112% due 07/25/2035 1,807 1,563 0.033.430% due 12/25/2034 3,846 3,859 0.074.199% due 02/25/2036 3,600 2,800 0.054.500% due 09/25/2034 15 15 0.005.410% due 02/25/2036 1,015 945 0.02Luminent Mortgage Trust0.441% due 12/25/2036 3,113 1,945 0.040.461% due 10/25/2046 2,433 1,622 0.03MASTR Adjustable Rate Mortgages Trust2.899% due 11/21/2034 1,000 938 0.02MASTR Alternative Loans Trust0.661% due 03/25/2036 (b) 1,205 485 0.01MASTR Asset Securitization Trust4.500% due 03/25/2018 5 5 0.00Mellon Residential Funding Corp.0.610% due 11/15/2031 1,050 1,001 0.020.700% due 12/15/2030 623 590 0.012.610% due 10/20/2029 242 224 0.00Merrill Lynch Countrywide Commercial

Mortgage Trust5.172% due 12/12/2049 297 308 0.015.965% due 08/12/2049 13,349 14,388 0.26Merrill Lynch Floating Rate Trust0.802% due 07/09/2021 100 97 0.00Merrill Lynch Mortgage Investors, Inc.0.511% due 08/25/2036 624 499 0.012.349% due 02/25/2033 567 535 0.01Merrill Lynch Mortgage-Backed

Securities Trust5.406% due 04/25/2037 5,507 4,077 0.07MLCC Mortgage Investors, Inc.0.921% due 06/25/2028 222 215 0.011.707% due 10/25/2035 2,052 1,873 0.032.329% due 12/25/2034 2,253 2,160 0.04Nomura Asset Acceptance Corp.2.730% due 10/25/2035 196 151 0.00Residential Accredit Loans, Inc.0.411% due 02/25/2047 1,346 704 0.010.441% due 06/25/2046 8,538 3,567 0.07

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

0.471% due 04/25/2046 $ 7,632 $ 3,345 0.060.511% due 08/25/2037 3,815 2,366 0.040.566% due 09/25/2046 3,618 294 0.013.449% due 08/25/2035 74 29 0.00Residential Asset Securitization Trust0.661% due 01/25/2046 (b) 35 16 0.000.711% due 12/25/2036 (b) 1,111 474 0.010.761% due 03/25/2035 3,010 2,339 0.045.750% due 02/25/2036 2,227 1,604 0.036.250% due 10/25/2036 (b) 1,580 1,070 0.026.500% due 08/25/2036 (b) 2,243 1,366 0.02Residential Funding Mortgage Securities I3.274% due 09/25/2035 946 692 0.016.500% due 03/25/2032 72 74 0.00Sequoia Mortgage Trust0.611% due 10/19/2026 507 440 0.010.611% due 07/20/2033 1,596 1,514 0.032.604% due 01/20/2047 2,301 1,876 0.03Structured Adjustable Rate Mortgage Loan Trust0.481% due 05/25/2037 60 36 0.002.714% due 08/25/2035 340 276 0.002.765% due 04/25/2034 1,794 1,592 0.032.770% due 02/25/2034 680 649 0.015.210% due 09/25/2034 3,402 3,172 0.065.278% due 11/25/2035 695 477 0.01Structured Asset Mortgage Investments, Inc.0.451% due 06/25/2036 510 335 0.010.471% due 05/25/2046 1,130 641 0.010.481% due 05/25/2036 11,043 6,576 0.120.481% due 05/25/2046 5,720 3,057 0.050.481% due 09/25/2047 89 37 0.000.511% due 07/19/2035 14,761 13,813 0.250.511% due 09/25/2047 1,235 235 0.000.521% due 05/25/2046 675 148 0.000.541% due 02/25/2036 1,039 631 0.010.611% due 03/19/2034 52 47 0.000.841% due 07/19/2034 269 244 0.000.921% due 09/19/2032 371 331 0.011.828% due 08/25/2047 5,009 3,075 0.06TBW Mortgage-Backed Pass-Through

Certificates (b)0.371% due 01/25/2037 8 8 0.005.630% due 01/25/2037 88 49 0.00Thornburg Mortgage Securities Trust0.361% due 03/25/2037 53 52 0.000.371% due 11/25/2046 763 753 0.020.381% due 10/25/2046 1,754 1,739 0.03Wachovia Bank Commercial Mortgage Trust0.351% due 09/15/2021 8,974 8,747 0.16WaMu Mortgage Pass-Through Certificates0.000% due 12/25/2027 (c) 2,016 111 0.000.491% due 04/25/2045 1,711 1,443 0.030.521% due 11/25/2045 1,969 1,667 0.030.531% due 12/25/2045 1,031 882 0.020.551% due 10/25/2045 662 563 0.010.571% due 01/25/2045 1,559 1,343 0.020.581% due 01/25/2045 252 213 0.000.671% due 11/25/2045 1,500 912 0.020.671% due 12/25/2045 1,381 798 0.010.801% due 12/25/2027 3,653 3,243 0.061.028% due 03/25/2047 2,433 1,513 0.031.068% due 01/25/2047 11,367 6,966 0.131.078% due 06/25/2047 762 214 0.001.138% due 12/25/2046 122 88 0.001.328% due 02/25/2046 1,542 1,193 0.021.328% due 08/25/2046 8,504 5,605 0.101.528% due 11/25/2042 193 172 0.001.538% due 05/25/2041 86 83 0.001.728% due 08/25/2042 3 3 0.002.370% due 03/25/2033 75 72 0.002.594% due 12/25/2035 1,800 1,461 0.032.700% due 06/25/2033 479 460 0.012.785% due 03/25/2034 69 65 0.002.904% due 02/27/2034 896 917 0.022.913% due 01/25/2047 1,890 1,409 0.033.154% due 05/25/2046 619 451 0.013.163% due 07/25/2046 10,896 8,005 0.143.163% due 10/25/2046 60 46 0.004.991% due 03/25/2037 475 388 0.015.141% due 01/25/2037 4,517 3,440 0.06

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

5.415% due 12/25/2036 $ 2,804 $ 2,164 0.045.503% due 08/25/2035 2,474 2,310 0.045.530% due 05/25/2037 8,088 6,585 0.125.767% due 03/25/2037 6,820 6,338 0.115.854% due 09/25/2036 4,747 3,727 0.07Washington Mutual Alternative Mortgage

Pass-Through Certificates0.511% due 07/25/2046 242 44 0.001.088% due 04/25/2047 1,028 223 0.001.268% due 07/25/2046 1,911 905 0.02Washington Mutual MSC Mortgage

Pass-Through Certificates2.581% due 06/25/2033 44 43 0.00Wells Fargo Mortgage-Backed Securities Trust2.774% due 03/25/2036 650 481 0.012.831% due 07/25/2035 143 142 0.002.845% due 04/25/2036 1,050 992 0.023.040% due 06/25/2035 439 439 0.013.425% due 03/25/2036 9,189 8,172 0.154.682% due 12/25/2033 46 48 0.005.402% due 07/25/2036 801 646 0.015.645% due 04/25/2036 1,737 659 0.01

436,135 7.86



5.875% due 06/01/2030 30 22 0.005.875% due 06/01/2047 12,720 8,387 0.15California, General Obligation Bonds,

Series 20105.700% due 11/01/2021 14,100 13,613 0.247.600% due 11/01/2040 15,200 15,844 0.297.700% due 11/01/2030 5,300 5,343 0.10California, Statewide Tobacco Settlement

Financing Authority Revenue Bonds,Series 2002

5.625% due 05/01/2029 160 149 0.00Chicago, Illinois, Transit Authority Revenue

Bonds, Series 20086.300% due 12/01/2021 165 176 0.00Dallas, Texas, Area Rapid Transit Sales Tax

Revenue Bonds, Series 20105.022% due 12/01/2048 12,100 10,712 0.19Iowa, Tobacco Settlement Authority Revenue

Bonds, Series 20056.500% due 06/01/2023 1,790 1,647 0.03Los Angeles, California, Unified School District


4.500% due 07/01/2024 13,700 12,734 0.23Louisiana, Tobacco Settlement Financing Corp.

Revenue Bonds, Series 20015.875% due 05/15/2039 400 383 0.01New York, New York, General Obligation

Bonds, Series 20105.487% due 12/01/2022 600 603 0.015.687% due 12/01/2023 1,400 1,407 0.036.646% due 12/01/2031 13,600 13,732 0.25New York, Triborough Bridge & Tunnel

Authority Revenue Bonds, Series 20105.550% due 11/15/2040 6,700 6,052 0.11Northside, Texas Independent School District

Build America General Obligation Bonds,Series 2010

5.741% due 08/15/2035 5,500 5,098 0.095.891% due 08/15/2040 10,800 10,020 0.18Oakland, California, Bay Area Toll Authority Toll

Bridge Revenue Bonds, Series 20106.907% due 10/01/2050 8,600 8,630 0.16Palomar, California, Community College District


7.194% due 08/01/2045 300 288 0.01Puerto Rico, Sales Tax Financing Revenue

Bonds, (AMBAC Insured), Series 20070.000% due 08/01/2054 3,530 178 0.00



DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Rhode Island, Tobacco Settlement FinancingCorp. Revenue Bonds, Series 2002

6.000% due 06/01/2023 $ 190 $ 194 0.00Sacramento, California, Build America General

Obligation Bonds, Series 20097.300% due 10/01/2039 4,220 4,254 0.08San Diego, California, Regional Airport Authority

Revenue Bonds, Series 20106.628% due 07/01/2040 7,300 6,994 0.13San Diego, California, Tobacco Securitization

Authority Revenue Bonds, Series 20065.000% due 06/01/2037 180 126 0.005.125% due 06/01/2046 1,000 622 0.01San Francisco, California, Bay Area Toll Bridge

Authority Revenue Bonds, Series 20107.043% due 04/01/2050 1,800 1,822 0.03Texas, General Obligation Bonds, Series 20084.750% due 04/01/2037 40 39 0.00Texas, Revenue Bonds, (AMBAC Insured),

Series 20020.000% due 08/15/2024 210 91 0.00Washington D.C., Metropolitan Airport Authority

Dulles Toll Road Revenue Bonds, Series 20097.462% due 10/01/2046 6,000 5,841 0.11Will, Illinois, Community Unified School District

General Obligation Bonds, (FGIC Insured),Series 2004

0.000% due 11/01/2021 460 261 0.01135,262 2.45

SHARES


Citigroup Capital XIII7.875% due 10/30/2040 125,000 3,364 0.06SLM Corp. (d)3.143% due 03/15/2017 13,200 250 0.003.193% due 01/16/2018 11,700 217 0.00

3,831 0.06

PAR(000S)


Fannie Mae0.321% due 12/25/2036 $ 2,859 2,823 0.050.381% due 03/25/2034 924 916 0.020.411% due 08/25/2034 283 272 0.010.611% due 09/25/2042 -

03/25/2044 329 327 0.01

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

0.661% due 06/25/2029 -09/25/2032 $ 69 $ 69 0.00

0.691% due 11/25/2040 26,648 26,644 0.480.711% due 11/25/2040 26,606 26,575 0.480.761% due 10/25/2040 -

12/25/2040 52,538 52,587 0.960.911% due 09/25/2023 87 89 0.001.542% due 07/01/2044 -

10/01/2044 439 439 0.012.147% due 12/01/2034 614 633 0.012.465% due 10/01/2034 138 144 0.002.520% due 06/01/2035 139 146 0.002.631% due 05/25/2035 13 13 0.002.670% due 08/01/2035 869 907 0.022.710% due 11/01/2034 3,752 3,931 0.072.743% due 08/01/2033 168 175 0.002.758% due 06/01/2030 -

12/01/2030 24 25 0.003.490% due 12/01/2020 100,565 102,495 1.864.000% due 04/25/2020 -

02/01/2041 289,037 287,188 5.194.500% due 02/25/2017 -

07/01/2020 967 989 0.025.000% due 08/01/2020 75 81 0.005.110% due 06/01/2018 2,644 2,829 0.055.500% due 06/01/2027 -

03/01/2037 1,855 1,999 0.035.549% due 09/01/2037 63 67 0.005.720% due 07/01/2018 5,263 5,790 0.116.000% due 04/01/2039 -

07/25/2044 4,204 4,652 0.086.500% due 06/01/2036 -

08/01/2037 743 831 0.017.000% due 11/01/2036 202 228 0.01Freddie Mac0.500% due 05/15/2036 110 110 0.000.521% due 08/25/2031 3 3 0.000.541% due 09/25/2031 306 290 0.010.610% due 12/15/2030 -

06/15/2031 395 395 0.010.710% due 12/15/2031 5 5 0.000.740% due 10/15/2040 18,643 18,644 0.341.542% due 10/25/2044 -

02/25/2045 6,444 6,316 0.121.742% due 07/25/2044 169 165 0.002.912% due 08/01/2035 766 801 0.013.004% due 09/01/2035 292 306 0.014.500% due 01/15/2016 -

02/15/2020 358 372 0.015.000% due 03/15/2017 -

08/15/2035 1,616 1,601 0.02

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

5.158% due 05/01/2035 $ 688 $ 727 0.016.000% due 04/15/2036 -

03/01/2038 16,121 17,685 0.326.500% due 01/01/2038 105 117 0.00Ginnie Mae2.625% due 09/20/2023 -

09/20/2026 68 70 0.003.125% due 11/20/2026 -

12/20/2026 6 6 0.003.250% due 01/20/2030 6 6 0.003.375% due 01/20/2025 -

05/20/2030 146 149 0.005.500% due 08/20/2035 670 691 0.02Small Business Administration4.754% due 08/10/2014 369 390 0.014.760% due 09/01/2025 148 157 0.004.840% due 05/01/2025 259 275 0.014.941% due 09/10/2015 1,334 1,438 0.035.090% due 10/01/2025 242 259 0.005.902% due 02/10/2018 756 844 0.026.343% due 03/10/2012 670 704 0.016.640% due 02/01/2011 44 44 0.007.060% due 11/01/2019 91 101 0.007.220% due 11/01/2020 1,038 1,151 0.02

577,686 10.46


Treasury Inflation Protected Securities (d)1.250% due

07/15/2020 (e) 27,980 28,688 0.521.750% due 01/15/2028 15,138 15,448 0.282.000% due 01/15/2026 13,003 13,839 0.252.375% due 01/15/2025 13,459 15,011 0.272.500% due

01/15/2029 (e) 30,764 35,004 0.633.625% due 04/15/2028 8,384 10,849 0.203.875% due

04/15/2029 (e) 20,484 27,537 0.50US Treasury Bills0.122% due

01/13/2011 (f) 500 500 0.01146,876 2.66


Total Transferable Securities &Money Market Instruments -Official Stock Exchange/Regulated Market $ 5,787,448 104.68



FUTURES


Month# of

Contracts


% ofNet Assets

Euro-Bobl 5-Year Note March Futures Long 03/2011 236 $ 369 0.01Euro-Bund 10-Year Bond March Futures Long 03/2011 425 (106) 0.00United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures Long 12/2011 522 55 0.00United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures Long 09/2011 485 66 0.00United Kingdom Treasury 10-Year Gilt March Futures Long 03/2011 440 269 0.00US Treasury 10-Year Note March Futures Long 03/2011 1,043 469 0.01

$ 1,122 0.02

WRITTEN OPTIONS

DescriptionExercise

PriceExpiration

Date# of


Value% of

Net Assets

Call - IMM Eurodollar September Futures $ 99.375 09/19/2011 1,335 $ (566) $ (784) (0.01)Call - US Treasury 10-Year Note February Futures 122.000 01/21/2011 657 (502) (236) (0.01)Put - IMM Eurodollar September Futures 99.375 09/19/2011 1,335 (827) (551) (0.01)

$ (1,895) $ (1,571) (0.03)



31 December 2010



WRITTEN OPTIONS


ExerciseRate

ExpirationDate


FairValue

% ofNet Assets


Put - OTC Dow Jones iTraxx Europe Series 14 BNP Buy 1.300% 01/19/2011 € 8,700 $ (33) $ (6) 0.00Put - OTC Dow Jones iTraxx Europe Series 14 BNP Buy 1.200% 03/16/2011 33,500 (202) (181) 0.00Put - OTC Dow Jones iTraxx Europe Series 14 BNP Buy 1.600% 03/16/2011 23,200 (115) (40) 0.00Call - OTC Dow Jones iTraxx Europe Series 14 MSC Sell 0.900% 03/16/2011 4,500 (13) (11) 0.00Put - OTC Dow Jones iTraxx Europe Series 14 MSC Buy 1.300% 03/16/2011 36,600 (198) (147) 0.00Put - OTC Dow Jones iTraxx Europe Series 14 MSC Buy 1.500% 03/16/2011 83,800 (444) (195) 0.00Put - OTC Dow Jones iTraxx Europe Series 14 MSC Buy 1.600% 03/16/2011 147,400 (733) (258) (0.01)Put - OTC Dow Jones iTraxx Europe Series 14 UBS Buy 1.300% 01/19/2011 21,300 (75) (15) 0.00Put - OTC Dow Jones iTraxx Europe Series 14 UBS Buy 1.200% 03/16/2011 50,500 (305) (273) (0.01)Put - OTC Dow Jones CDX N.A. IG15 Index CSFB Buy 1.500% 03/16/2011 $ 107,400 (317) (65) 0.00Put - OTC Dow Jones CDX N.A. IG15 Index MSC Buy 1.500% 03/16/2011 116,900 (426) (71) 0.00

$ (2,861) $ (1,262) (0.02)

Description CounterpartyExercisePrice

ExpirationDate


FairValue

% ofNet Assets


Put - OTC Australian dollar versus US dollar GSC $ 0.953 01/31/2011 AUD 41,200 $ (419) $ (55) 0.00Call - OTC Eurodollar versus US dollar BOA 1.333 01/31/2011 € 16,640 (304) (387) (0.01)Call - OTC US dollar versus South Korean won BOA KRW 1,227.000 03/17/2011 $ 36,800 (486) (303) 0.00

$ (1,209) $ (745) (0.01)


ExerciseRate

ExpirationDate


FairValue

% ofNet Assets


Put - OTC 3-Year Interest Rate Swap BCLY 3-Month USD-LIBOR Pay 3.000% 06/18/2012 $ 31,200 $ (279) $ (394) (0.01)Put - OTC 3-Year Interest Rate Swap BOA 3-Month USD-LIBOR Pay 3.000% 06/18/2012 65,000 (659) (821) (0.02)Put - OTC 2-Year Interest Rate Swap BOA 3-Month USD-LIBOR Pay 2.250% 09/24/2012 164,600 (1,451) (2,230) (0.04)Put - OTC 3-Year Interest Rate Swap CITI 3-Month USD-LIBOR Pay 3.000% 06/18/2012 49,100 (533) (620) (0.01)Call - OTC 1-Year Interest Rate Swap DUB 3-Month USD-LIBOR Receive 0.500% 02/14/2011 241,200 (169) (206) (0.01)Put - OTC 1-Year Interest Rate Swap DUB 3-Month USD-LIBOR Pay 0.500% 02/14/2011 241,200 (335) (175) 0.00Put - OTC 3-Year Interest Rate Swap DUB 3-Month USD-LIBOR Pay 2.750% 06/18/2012 39,200 (407) (592) (0.01)Put - OTC 3-Year Interest Rate Swap DUB 3-Month USD-LIBOR Pay 3.000% 06/18/2012 39,700 (431) (501) (0.01)Put - OTC 2-Year Interest Rate Swap GSC 3-Month USD-LIBOR Pay 2.250% 09/24/2012 32,600 (194) (442) (0.01)Put - OTC 3-Year Interest Rate Swap JPM 3-Month USD-LIBOR Pay 3.000% 06/18/2012 47,700 (454) (602) (0.01)Put - OTC 10-Year Interest Rate Swap MSC 3-Month USD-LIBOR Pay 10.000% 07/10/2012 43,900 (263) (30) 0.00Put - OTC 3-Year Interest Rate Swap RBS 3-Month USD-LIBOR Pay 2.750% 06/18/2012 45,900 (450) (693) (0.01)Put - OTC 3-Year Interest Rate Swap RBS 3-Month USD-LIBOR Pay 3.000% 06/18/2012 46,800 (519) (591) (0.01)Put - OTC 2-Year Interest Rate Swap RBS 3-Month USD-LIBOR Pay 2.250% 09/24/2012 294,700 (2,326) (3,993) (0.07)

$ (8,470) $ (11,890) (0.22)


ExpirationDate


FairValue

% ofNet Assets

INFLATION FLOOR

Floor - OTC CPURNSA Index CITI 217.965 Maximum of [1-(Final Index/Initial Index), 0] 09/29/2020 $ 10,700 $ (138) $ (109) 0.00Floor - OTC CPURNSA Index DUB 218.011 Maximum of [-(Final Index/Initial Index - 1), 0] 10/13/2020 12,500 (122) (131) (0.01)

$ (260) $ (240) (0.01)


ExpirationDate


FairValue

% ofNet Assets

STRADDLE OPTIONS

Call & Put 1-Year vs. 1-Year Forward Volatility Agreement GSC 0.000 10/11/2011 $ 32,500 $ (171) $ (263) 0.00Call & Put 1-Year vs. 1-Year Forward Volatility Agreement JPM 0.000 10/11/2011 16,900 (86) (137) 0.00Call & Put 1-Year vs. 2-Year Forward Volatility Agreement MSC 0.000 11/14/2011 82,200 (894) (1,380) (0.03)

$ (1,151) $ (1,780) (0.03)




NotionalAmount(3)

FairValue

UpfrontPremiums

Paid/(Received)


% ofNet Assets

Agrium, Inc. (1.250%) 03/20/2019 MLP $ 5,000 $ (54) $ 0 $ (54) 0.00Autozone, Inc. (1.140%) 12/20/2015 BCLY 4,000 (94) 0 (94) 0.00Autozone, Inc. (1.070%) 03/20/2014 BOA 5,000 (103) 0 (103) 0.00Autozone, Inc. (0.680%) 12/20/2012 CITI 2,550 (19) 0 (19) 0.00Brunswick Corp. (4.100%) 09/20/2013 BOA 3,000 (208) 0 (208) 0.00Burlington Northern Santa Fe LLC (0.510%) 03/20/2018 RBS 149 (1) (1) 0 0.00Cleveland Electric Illuminating Co. (0.940%) 06/20/2017 RBS 74 5 (2) 7 0.00CNA Financial Corp. (1.390%) 12/20/2014 BCLY 4,500 91 0 91 0.00CNA Financial Corp. (0.440%) 09/20/2011 JPM 3,000 12 0 12 0.00




NotionalAmount(3)

FairValue

UpfrontPremiums

Paid/(Received)


% ofNet Assets

Computer Sciences Corp. (1.060%) 03/20/2018 BOA $ 5,300 $ 193 $ 0 $ 193 0.00Computer Sciences Corp. (0.620%) 03/20/2013 MSC 149 (1) (2) 1 0.00COX Communications, Inc. (0.200%) 03/20/2011 MSC 2,475 (1) 0 (1) 0.00CSX Corp. (1.000%) 03/20/2012 BOA 89 (1) (1) 0 0.00Embarq Corp. (1.370%) 03/20/2014 BOA 1,900 (38) 0 (38) 0.00Embarq Corp. (1.425%) 03/20/2014 DUB 3,200 (70) 0 (70) 0.00GATX Financial Corp. (0.605%) 03/20/2012 RBS 83 0 2 (2) 0.00Genworth Financial, Inc. (0.960%) 06/20/2018 BCLY 4,000 441 0 441 0.01Genworth Financial, Inc. (0.900%) 06/20/2018 MSC 5,000 569 0 569 0.01Hanson Ltd. (1.000%) 09/20/2016 BCLY 5,000 257 0 257 0.00HCP, Inc. (0.610%) 09/20/2011 JPM 1,000 (1) 0 (1) 0.00Health Care REIT, Inc. (2.930%) 06/20/2015 BCLY 2,230 (182) 0 (182) 0.00International Lease Finance Corp. (1.360%) 06/20/2011 MSC 5,000 (12) 98 (110) 0.00International Lease Finance Corp. (1.620%) 06/20/2012 MSC 3,000 (5) 238 (243) 0.00Intuit, Inc. (1.000%) 03/20/2017 BOA 164 (5) (4) (1) 0.00Intuit, Inc. (1.380%) 03/20/2017 BOA 9,000 (456) 0 (456) (0.01)Lafarge S.A. (1.470%) 09/20/2016 CITI 7,000 294 0 294 0.00Lennar Corp. (5.000%) 12/20/2012 BOA 89 (5) (5) 0 0.00Lennar Corp. (5.750%) 12/20/2012 MLP 1,200 (86) 0 (86) 0.00Limited Brands, Inc. (1.000%) 09/20/2017 GSC 83 4 9 (5) 0.00Loews Corp. (0.330%) 03/20/2016 JPM 1,700 60 0 60 0.00Macy’s Retail Holdings, Inc. (2.430%) 03/20/2013 BOA 4,000 (154) 0 (154) 0.00Macy’s Retail Holdings, Inc. (2.530%) 12/20/2016 DUB 4,000 (208) 0 (208) 0.00Macy’s Retail Holdings, Inc. (2.920%) 09/20/2017 JPM 5,000 (371) 0 (371) (0.01)Marsh & McLennan Cos., Inc. (1.000%) 09/20/2015 BOA 80 1 (2) 3 0.00Masco Corp. (1.000%) 12/20/2016 CSFB 59 5 4 1 0.00Masco Corp. (0.580%) 09/20/2012 MSC 1,200 12 0 12 0.00Maytag Corp. (0.460%) 06/20/2015 JPM 3,700 9 0 9 0.00Motorola, Inc. (0.725%) 12/20/2017 MSC 4,400 258 0 258 0.00Nabors Industries, Inc. (0.780%) 03/20/2018 CITI 8,700 359 0 359 0.01Nabors Industries, Inc. (0.820%) 03/20/2018 CITI 1,000 39 0 39 0.00Nabors Industries, Inc. (1.020%) 03/20/2018 GSC 9,400 244 0 244 0.00National Grid PLC (0.208%) 06/20/2011 BCLY 7,000 (2) 0 (2) 0.00Norfolk Southern Corp. (1.000%) 09/20/2014 BCLY 80 (2) (2) 0 0.00Pearson Dollar Finance PLC (0.730%) 06/20/2014 UBS 5,000 (44) 0 (44) 0.00Pearson Dollar Finance Two PLC (0.610%) 06/20/2013 BCLY 10,000 (60) 0 (60) 0.00Pearson Dollar Finance Two PLC (0.720%) 06/20/2018 DUB 13,000 38 0 38 0.00Reed Elsevier Capital, Inc. (0.280%) 06/20/2012 MSC 1,200 (1) 0 (1) 0.00Rexam PLC (1.450%) 06/20/2013 CITI 13,000 (293) 0 (293) (0.01)Reynolds American, Inc. (1.200%) 06/20/2013 BCLY 5,000 (82) 0 (82) 0.00Rio Tinto Alcan, Inc. (1.000%) 06/20/2015 BCLY 54 (2) (2) 0 0.00Rio Tinto Alcan, Inc. (1.000%) 03/20/2011 BOA 62 0 (1) 1 0.00Ryder System, Inc. (0.560%) 03/20/2014 BOA 5,300 36 0 36 0.00Ryder System, Inc. (1.160%) 03/20/2013 CITI 6,000 (75) 0 (75) 0.00Sabre Holdings Corp. (0.930%) 09/20/2011 JPM 3,300 0 0 0 0.00Seagate Technology HDD Holdings (2.350%) 12/20/2011 JPM 2,000 (38) 0 (38) 0.00Sealed Air Corp. (0.500%) 09/20/2013 CSFB 3,900 37 0 37 0.00Southwest Airlines Co. (1.000%) 03/20/2017 BOA 80 1 4 (3) 0.00Spectra Energy Capital LLC (0.860%) 06/20/2018 BOA 7,000 7 0 7 0.00Sprint Nextel Corp. (1.065%) 12/20/2016 JPM 3,400 487 0 487 0.01Tate & Lyle International Finance PLC (0.510%) 12/20/2014 DUB 1,900 22 0 22 0.00Tyco International Ltd. (1.120%) 12/20/2019 BOA 14,000 (509) 0 (509) (0.01)Union Pacific Corp. (0.600%) 03/20/2016 BCLY 1,300 (17) 0 (17) 0.00Union Pacific Corp. (1.000%) 03/20/2016 BOA 200 (7) (4) (3) 0.00UST LLC (0.340%) 09/20/2012 BOA 12,000 (40) 0 (40) 0.00Veolia Environnement S.A. (0.700%) 06/20/2018 DUB 8,000 169 (1) 170 0.00Vivendi S.A. (1.743%) 06/20/2013 BNP 5,100 (148) 0 (148) 0.00Vivendi S.A. (1.780%) 06/20/2013 BNP 5,900 (176) 0 (176) 0.00Vivendi S.A. (1.800%) 06/20/2013 BNP 3,400 (103) 0 (103) 0.00Vivendi S.A. (1.000%) 06/20/2013 DUB 1,000 (10) (8) (2) 0.00Vivendi S.A. (1.500%) 06/20/2018 DUB 6,400 (152) 0 (152) 0.00Whirlpool Corp. (1.060%) 06/20/2016 GSC 5,000 157 0 157 0.00Xstrata Canada Corp. (0.890%) 09/20/2012 BOA 2,000 (17) 0 (17) 0.00

$ (46) $ 320 $ (366) 0.00




FairValue

UpfrontPremiums

Paid/(Received)


% ofNet Assets

Australia Government Bond 1.000% 06/20/2015 BNP $ 400 $ 9 $ 6 $ 3 0.00Australia Government Bond 1.000% 06/20/2015 BOA 14,100 332 242 90 0.01Australia Government Bond 1.000% 06/20/2015 DUB 200 5 4 1 0.00Australia Government Bond 1.000% 06/20/2015 UBS 16,300 385 312 73 0.01BP Capital Markets America, Inc. 1.000% 12/20/2015 BCLY 800 4 (14) 18 0.00BP Capital Markets America, Inc. 1.000% 12/20/2015 MSC 12,400 66 (284) 350 0.00Brazil Government International Bond 1.000% 12/20/2011 BCLY 800 4 4 0 0.00Brazil Government International Bond 1.000% 12/20/2011 BOA 13,800 62 58 4 0.00Brazil Government International Bond 1.000% 12/20/2011 DUB 1,400 6 6 0 0.00Brazil Government International Bond 1.000% 12/20/2011 RBS 21,600 98 98 0 0.00


31 December 2010


Receive Rate Maturity Date CounterpartyNotionalAmount(3) Fair Value

UpfrontPremiums

Paid/(Received)


% ofNet Assets

China Government International Bond 1.000% 12/20/2015 BCLY $ 25,000 $ 415 $ 485 $ (70) 0.01China Government International Bond 1.000% 12/20/2015 BNP 2,000 33 39 (6) 0.00China Government International Bond 1.000% 12/20/2015 DUB 4,400 73 96 (23) 0.00China Government International Bond 1.000% 12/20/2015 GSC 2,000 33 44 (11) 0.00France Government Bond 0.250% 12/20/2015 BOA 31,200 (1,186) (767) (419) (0.02)France Government Bond 0.250% 12/20/2015 DUB 2,700 (103) (63) (40) 0.00France Government Bond 0.250% 12/20/2015 HSBC 23,250 (884) (497) (387) (0.02)France Government Bond 0.250% 12/20/2015 MSC 10,200 (388) (218) (170) (0.01)France Government Bond 0.250% 12/20/2015 UBS 65,900 (2,506) (1,640) (866) (0.04)General Electric Capital Corp. 1.000% 12/20/2012 BNP 22,500 64 (96) 160 0.00General Electric Capital Corp. 1.000% 12/20/2012 BOA 30,750 87 (144) 231 0.00General Electric Capital Corp. 1.000% 12/20/2012 CITI 23,350 66 (40) 106 0.00General Electric Capital Corp. 1.000% 12/20/2012 GSC 8,500 24 (36) 60 0.00ING Verzekeringen NV 1.400% 06/20/2011 DUB € 10,900 (12) 0 (12) 0.00Mexico Government International Bond 1.000% 12/20/2011 BCLY $ 20,600 85 82 3 0.00Mexico Government International Bond 1.000% 12/20/2011 BOA 11,600 48 48 0 0.00Republic of Korea 1.000% 12/20/2015 BCLY 10,000 35 109 (74) 0.00Republic of Korea 1.000% 12/20/2015 DUB 700 2 6 (4) 0.00Republic of Korea 1.000% 12/20/2015 GSC 5,400 19 59 (40) 0.00Russia Government International Bond 1.000% 12/20/2011 BCLY 17,050 80 61 19 0.00Russia Government International Bond 1.000% 12/20/2011 MLP 21,900 102 79 23 0.00Russia Government International Bond 1.000% 12/20/2011 MSC 1,100 5 4 1 0.00United Kingdom Gilt 1.000% 06/20/2015 BOA 21,000 309 200 109 0.01United Kingdom Gilt 1.000% 06/20/2015 CITI 15,500 229 117 112 0.01United Kingdom Gilt 1.000% 06/20/2015 DUB 8,900 131 67 64 0.00United Kingdom Gilt 1.000% 12/20/2015 DUB 1,550 22 34 (12) 0.00United Kingdom Gilt 1.000% 06/20/2015 GSC 47,600 701 227 474 0.01United Kingdom Gilt 1.000% 12/20/2015 GSC 33,700 468 758 (290) 0.01United Kingdom Gilt 1.000% 06/20/2015 MSC 22,100 325 105 220 0.01US Treasury Notes 0.250% 12/20/2015 DUB € 5,600 (54) (79) 25 0.00US Treasury Notes 0.250% 12/20/2015 SOG 42,300 (405) (596) 191 (0.01)

$ (1,211) $ (1,124) $ (87) (0.02)




FairValue

UpfrontPremiums


Appreciation% of

Net Assets

Dow Jones CDX N.A. IG15 Index 1.000% 12/20/2015 BNP $ 84,200 $ 614 $ 103 $ 511 0.01

INTEREST RATE SWAPS


NotionalAmount

FairValue

UpfrontPremiums

Paid/(Received)


% ofNet Assets

Pay 1-Month EUR-FRCPXTOB Index 1.948% 03/15/2012 JPM € 17,500 $ 527 $ 9 $ 518 0.01Pay 1-Month EUR-FRCPXTOB Index 1.950% 03/30/2012 RBS 2,300 71 0 71 0.00Pay 1-Month EUR-FRCPXTOB Index 1.960% 03/30/2012 GSC 1,300 40 0 40 0.00Pay 3-Month Canadian Bank Bill 2.500% 06/18/2013 RBS CAD 103,400 180 48 132 0.00Pay 3-Month USD-LIBOR 4.000% 12/16/2020 BCLY $ 78,500 (2,624) (707) (1,917) (0.05)Pay 3-Month USD-LIBOR 4.000% 12/16/2020 BOA 83,400 (2,787) (268) (2,519) (0.05)Pay BRL-CDI-Compounded 11.245% 01/02/2012 RBS BRL 46,100 (134) 0 (134) 0.00Pay BRL-CDI-Compounded 11.250% 01/02/2012 JPM 73,000 (210) 0 (210) 0.00Pay BRL-CDI-Compounded 11.280% 01/02/2012 CSFB 4,300 (11) 0 (11) 0.00Pay BRL-CDI-Compounded 11.290% 01/02/2012 MSC 199,700 (506) 0 (506) (0.01)Pay BRL-CDI-Compounded 11.315% 01/02/2012 BCLY 11,900 (28) 0 (28) 0.00Pay BRL-CDI-Compounded 11.330% 01/02/2012 MLP 10,900 (25) 0 (25) 0.00Pay BRL-CDI-Compounded 11.360% 01/02/2012 HSBC 43,400 349 431 (82) 0.01Pay BRL-CDI-Compounded 11.530% 01/02/2012 HSBC 266,600 (356) 195 (551) (0.01)

$ (5,514) $ (292) $ (5,222) (0.10)








FairValue

UpfrontPremiums


(Depreciation)% of

Net Assets

Floating rate equal to 3-MonthEUR-LIBOR less 0.193%based on the notional amountof the currency delivered

Floating rate equal to 3-MonthUSD-LIBOR based on thenotional amount of thecurrency received 12/10/2012 DUB $ 26,542 € 17,600 $ 2,802 $ (12) $ 2,814 0.05





Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Buy AUD 559 BCLY 01/2011 $ 14 $ 0 $ 14 0.00Sell 400 BCLY 01/2011 0 (4) (4) 0.00Sell 1,255 BNP 01/2011 0 (49) (49) 0.00Sell 732 BOA 01/2011 0 (29) (29) 0.00Buy 127 CITI 01/2011 5 0 5 0.00Sell 83 CITI 01/2011 0 (4) (4) 0.00Sell 60,126 HSBC 01/2011 0 (1,762) (1,762) (0.03)Buy 675 JPM 01/2011 27 0 27 0.00Sell 50,193 RBS 01/2011 0 (3,314) (3,314) (0.06)Buy 424 CITI 02/2011 3 0 3 0.00Sell 200 RBS 02/2011 0 (2) (2) 0.00Sell BRL 11,656 CITI 03/2011 0 (99) (99) 0.00Buy CAD 6,748 BNP 02/2011 164 0 164 0.00Sell 94,494 DUB 02/2011 0 (1,191) (1,191) (0.02)Sell 150 HSBC 02/2011 0 (2) (2) 0.00Buy 4,556 RBC 02/2011 111 0 111 0.00Buy 29,371 UBS 02/2011 385 0 385 0.01Buy CHF 1,164 BCLY 02/2011 66 0 66 0.00Sell 17 BNP 02/2011 0 (1) (1) 0.00Buy CLP 47,097 DUB 01/2011 4 0 4 0.00Sell 47,097 JPM 01/2011 0 (5) (5) 0.00Sell 47,097 DUB 06/2011 0 (3) (3) 0.00Sell CNY 86,504 BCLY 01/2011 0 (287) (287) 0.00Buy 78,873 BOA 01/2011 122 0 122 0.00Sell 194,519 CITI 01/2011 0 (690) (690) (0.01)Buy 222,615 HSBC 01/2011 394 0 394 0.01Buy 80,584 JPM 01/2011 127 0 127 0.00Sell 189,065 JPM 01/2011 0 (684) (684) (0.01)Buy 88,015 MSC 01/2011 113 0 113 0.00Buy 31,013 BCLY 04/2011 46 0 46 0.00Sell 135,825 CITI 04/2011 6 (31) (25) 0.00Buy 16,005 CSFB 04/2011 23 0 23 0.00Buy 9,475 HSBC 04/2011 13 0 13 0.00Buy 13,137 JPM 04/2011 18 0 18 0.00Buy 66,195 MSC 04/2011 97 0 97 0.00Buy 101,387 BCLY 06/2011 373 0 373 0.01Buy 83,697 DUB 06/2011 115 (34) 81 0.00Buy 64,556 HSBC 06/2011 280 0 280 0.01Buy 100,598 JPM 06/2011 124 0 124 0.00Buy 215,994 RBS 06/2011 885 0 885 0.02Buy 38,395 BOA 09/2011 144 0 144 0.00Buy 37,795 CITI 09/2011 137 0 137 0.00Buy 118,062 HSBC 09/2011 451 0 451 0.01Buy 222,647 JPM 09/2011 898 0 898 0.02Buy 12,948 BCLY 11/2011 9 (2) 7 0.00Buy 7,612 JPM 11/2011 0 (6) (6) 0.00Buy 8,788 RBS 11/2011 3 0 3 0.00Buy 56,121 BCLY 09/2015 147 0 147 0.00Buy 31,744 BOA 09/2015 117 0 117 0.00Buy 188,837 CITI 09/2015 250 0 250 0.00Buy 22,365 JPM 09/2015 24 0 24 0.00Buy 30,578 MSC 09/2015 123 0 123 0.00Sell DKK 107,267 BCLY 01/2011 0 (345) (345) (0.01)Sell 22,200 GSC 01/2011 424 0 424 0.01Buy 107,267 BCLY 02/2011 343 0 343 0.01Sell 447 BNP 02/2011 0 (2) (2) 0.00Sell 1,617 BOA 02/2011 0 (5) (5) 0.00Sell 3,371 RBC 02/2011 21 0 21 0.00Buy € 62,169 BCLY 01/2011 987 0 987 0.02Sell 8,000 BCLY 01/2011 0 (255) (255) 0.00Buy 62,641 BNP 01/2011 1,423 0 1,423 0.03Buy 44,544 BOA 01/2011 1,168 0 1,168 0.02Buy 821,130 CITI 01/2011 8,372 (5,205) 3,167 0.06Sell 98,746 CITI 01/2011 2,283 (230) 2,053 0.04Buy 95,205 CSFB 01/2011 1,452 0 1,452 0.03Buy 27,850 DUB 01/2011 366 0 366 0.01Sell 624 DUB 01/2011 0 (8) (8) 0.00Buy 106,466 HSBC 01/2011 453 (10) 443 0.01Sell 1,014 JPM 01/2011 20 0 20 0.00Buy 86,889 MSC 01/2011 0 (1,995) (1,995) (0.04)Sell 43,444 MSC 01/2011 1,996 0 1,996 0.04Sell 20,640 RBC 01/2011 0 (289) (289) (0.01)Buy 595,342 RBS 01/2011 8,105 (257) 7,848 0.14Sell 1,699,986 RBS 01/2011 666 (55,305) (54,639) (0.99)Buy 88,527 UBS 01/2011 0 (903) (903) (0.02)Sell 6,090 UBS 01/2011 0 (48) (48) 0.00Sell 57,318 BCLY 02/2011 0 (873) (873) (0.02)Sell 693,375 CITI 02/2011 0 (8,338) (8,338) (0.15)Sell 95,205 CSFB 02/2011 0 (1,450) (1,450) (0.03)


31 December 2010

Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Sell € 27,850 DUB 02/2011 $ 0 $ (367) $ (367) (0.01)Sell 576,560 RBS 02/2011 0 (7,628) (7,628) (0.14)Sell £ 240,962 BNP 01/2011 3,335 0 3,335 0.06Sell 222,426 DUB 01/2011 3,146 0 3,146 0.06Sell 20,692 BNP 03/2011 0 (314) (314) (0.01)Buy IDR 54,959,380 CITI 07/2011 43 (14) 29 0.00Buy 50,673,770 HSBC 07/2011 124 0 124 0.00Buy 15,962,000 JPM 07/2011 2 0 2 0.00Buy 30,954,000 DUB 10/2011 0 (4) (4) 0.00Buy 65,347,240 RBS 10/2011 0 (43) (43) 0.00Buy ILS 4,619 DUB 05/2011 37 0 37 0.00Sell INR 1,302 BCLY 03/2011 0 (1) (1) 0.00Buy 280,300 CITI 03/2011 16 0 16 0.00Sell 617 HSBC 03/2011 0 0 0 0.00Sell 639 JPM 03/2011 0 0 0 0.00Buy 471,846 RBS 03/2011 0 (12) (12) 0.00Sell 728 UBS 03/2011 0 (1) (1) 0.00Buy JPY 82,096 BCLY 01/2011 10 0 10 0.00Sell 82,096 BCLY 01/2011 0 (10) (10) 0.00Buy 15,000 CITI 01/2011 7 0 7 0.00Sell 10,720,000 DUB 01/2011 0 (1,114) (1,114) (0.02)Buy 231,748 GSC 01/2011 104 0 104 0.00Sell 2,640,677 HSBC 01/2011 0 (843) (843) (0.01)Sell 10,360,000 JPM 01/2011 0 (1,006) (1,006) (0.02)Buy 323,890 RBC 01/2011 115 0 115 0.00Sell 121,094 RBC 01/2011 0 (28) (28) 0.00Buy 275,890 RBS 01/2011 120 0 120 0.00Buy 47,709 UBS 01/2011 12 0 12 0.00Sell 82,096 UBS 01/2011 0 (12) (12) 0.00Buy KRW 8,376,138 BCLY 01/2011 138 0 138 0.00Buy 2,291,900 HSBC 01/2011 0 (8) (8) 0.00Buy 11,606,791 JPM 01/2011 52 (16) 36 0.00Sell 54,304,936 JPM 01/2011 0 (1,373) (1,373) (0.02)Buy 32,030,108 MSC 01/2011 0 (28) (28) 0.00Buy 11,703,790 BCLY 05/2011 0 (23) (23) 0.00Buy 24,687,188 CITI 05/2011 34 (29) 5 0.00Buy 660,210 GSC 05/2011 4 0 4 0.00Buy 1,546,000 HSBC 05/2011 0 (6) (6) 0.00Buy 57,871,136 JPM 05/2011 1,304 0 1,304 0.02Buy 3,101,000 RBS 05/2011 8 0 8 0.00Buy MXN 87,126 BCLY 02/2011 297 0 297 0.01Buy 15,442 CITI 02/2011 7 (1) 6 0.00Buy 15,301 JPM 02/2011 45 0 45 0.00Buy 357,753 MSC 02/2011 662 0 662 0.01Buy MYR 80 BCLY 02/2011 0 0 0 0.00Buy 80 CITI 02/2011 0 0 0 0.00Buy 325 DUB 02/2011 2 0 2 0.00Buy 70 RBS 02/2011 0 0 0 0.00Sell NOK 3,352 BCLY 02/2011 0 (18) (18) 0.00Buy 66,701 CITI 02/2011 161 0 161 0.00Sell 200 CITI 02/2011 0 (2) (2) 0.00Sell 59 CSFB 02/2011 0 0 0 0.00Buy 30,810 RBC 02/2011 70 0 70 0.00Buy 4,000 RBS 02/2011 43 0 43 0.00Sell NZD 1,680 BCLY 01/2011 0 (37) (37) 0.00Sell 675 DUB 01/2011 0 (27) (27) 0.00Buy PHP 66,000 BOA 06/2011 0 (9) (9) 0.00Buy 1,053,690 CITI 06/2011 189 (49) 140 0.00Buy 240,446 DUB 06/2011 62 0 62 0.00Buy 180,640 HSBC 06/2011 38 0 38 0.00Buy 247,008 JPM 06/2011 63 0 63 0.00Buy 622,927 MSC 06/2011 212 0 212 0.01Buy 157,890 RBS 06/2011 0 (32) (32) 0.00Sell SEK 3,335 BCLY 02/2011 0 (12) (12) 0.00Sell 68 MSC 02/2011 0 0 0 0.00Sell 8,686 RBC 02/2011 2 0 2 0.00Buy 7,137 BCLY 04/2011 0 (10) (10) 0.00Sell SGD 97 BOA 03/2011 0 0 0 0.00Buy 1,397 CITI 03/2011 6 0 6 0.00Sell 1,644 CITI 03/2011 0 (58) (58) 0.00Buy 1,590 GSC 03/2011 42 0 42 0.00Buy 9,078 HSBC 03/2011 146 0 146 0.00Buy TWD 1,725 DUB 01/2011 0 0 0 0.00Sell 562 DUB 01/2011 0 (1) (1) 0.00Sell 345 JPM 01/2011 0 (1) (1) 0.00Sell 531 MSC 01/2011 0 (1) (1) 0.00Sell 287 UBS 01/2011 0 0 0 0.00Sell 2,048 DUB 04/2011 0 (3) (3) 0.00

$ 44,555 $ (96,858) $ (52,303) (0.95)

Total OTC Financial Derivative Instruments $ (71,575) (1.30)




DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS


Treasury Inflation Protected Securities3.875% due 04/15/2029 (h) $ (6,515) $ (8,758) (0.16)




ANZ National Bank3.890% due 01/04/2011 AUD 322 $ 330 0.01Bank of Nova Scotia0.080% due 01/03/2011 € 962 1,290 0.02BNP Paribas Bank0.080% due 01/03/2011 194 260 0.00Brown Brothers Harriman & Co.0.150% due 01/04/2011 CAD 5 5 0.00Citibank N.A.0.010% due 01/03/2011 SGD 1,233 962 0.02Credit Suisse AG0.005% due 01/03/2011 CHF 166 179 0.00JPMorgan Chase & Co.0.068% due 01/04/2011 £ 2,662 4,168 0.080.550% due 01/03/2011 NOK 506 87 0.002.100% due 01/05/2011 NZD 655 512 0.01Nordea Bank AB0.030% due 01/03/2011 $ 263 263 0.01Total Overnight Time Deposits $ 8,056 0.15Other Current Assets & Liabilities $ (186,260) (3.36)Net Assets $ 5,528,462 100.00


(a) The Global Bond Fund is investing in Class Z Income Shares of an affiliated Fund.


(c) Interest only security.


(e) Securities with an aggregate market value of $7,963 have been segregated with the Custodian to cover margin requirements for the open futures contracts as at 31 December 2010.

(f) Securities with an aggregate market value of $500 and cash of $15,780 have been pledged as collateral for swap, swaption and foreign currency contracts as governed by International Swaps andDerivatives Association, Inc. Master Agreements as at 31 December 2010.

(g) Cash with an aggregate value of $5,800 has been pledged as collateral for delayed-delivery securities as at 31 December 2010.


(i) Restricted Securities


DateAcquisition

Date CostFair

Value% of

Net Assets

National Grid PLC 4.980% 06/22/2011 11/03/2006 $ 5,940 $ 6,840 0.12

(j) Fair Value Measurements1


Category3




(Level 2)



Transferable Securities $ 158,103 $ 5,566,866 $ 49,779 $ 5,774,748Deposits with Credit Institutions 0 12,700 0 12,700Financial Derivative Instruments4 (449) (69,555) (2,020) (72,024)Short Sales 0 (8,758) 0 (8,758)Totals $ 157,654 $ 5,501,253 $ 47,759 $ 5,706,666


31 December 2010


Category3

StartingBalance

at 31-Dec-2009Net

Purchases5Net

Sales5


RealisedGains/

(Losses)




Level 3

EndingBalance

at 31-Dec-2010




Transferable Securities $ 15,988 $ 34,545 $ 0 $ (93) $ 0 $ 1,324 $ (1,985) $ 49,779 $ 1,246Financial Derivative Instruments4 0 (1,412) 0 0 0 (608) 0 (2,020) (608)Totals $ 15,988 $ 33,133 $ 0 $ (93) $ 0 $ 716 $ (1,985) $ 47,759 $ 638


Category3




(Level 2)



Transferable Securities $ 365 $ 4,142,829 $ 15,988 $ 4,159,182Financial Derivative Instruments4 (5,745) 25,241 0 19,496Totals $ (5,380) $ 4,168,070 $ 15,988 $ 4,178,678


Category3

StartingBalance

at 31-Dec-2008Net

Purchases5Net

Sales5


RealisedGains/

(Losses)




Level 3

EndingBalance

at 31-Dec-2009




Transferable Securities $ 33,557 $ 17,103 $ (26,175) $ 83 $ (260) $ 4,097 $ (12,417) $ 15,988 $ (884)Financial Derivative

Instruments4 1,584 0 (625) 0 576 (514) (1,021) 0 0Total $ 35,141 $ 17,103 $ (26,800) $ 83 $ 316 $ 3,583 $ (13,438) $ 15,988 $ (884)





Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Buy CHF 1,544 BCLY 01/2011 $ 117 $ 0 $ 117 0.00Sell 1,000 BCLY 01/2011 0 (76) (76) 0.00Sell 4,882 CITI 01/2011 0 (297) (297) (0.01)Buy 8,470 DUB 01/2011 584 0 584 0.01Sell 3,025 DUB 01/2011 0 (16) (16) 0.00Buy 950 JPM 01/2011 31 0 31 0.00Buy 379,614 UBS 01/2011 27,510 0 27,510 0.50Sell 384,696 UBS 01/2011 0 (2,815) (2,815) (0.05)Buy 804 RBC 02/2011 17 0 17 0.00Buy 384,696 UBS 02/2011 2,799 0 2,799 0.05

$ 31,058 $ (3,204) $ 27,854 0.50

As at 31 December 2010, the Institutional EUR (Hedged) Class, Investor EUR (Hedged) Class and Class E EUR (Hedged) had the following foreign currency contracts outstanding:

Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Buy € 11,015 BCLY 01/2011 $ 268 $ 0 $ 268 0.01Sell 14,121 BCLY 01/2011 0 (295) (295) (0.01)Buy 8,076 CITI 01/2011 266 0 266 0.00Sell 365,842 CITI 01/2011 0 (4,903) (4,903) (0.09)Buy 13,046 CSFB 01/2011 254 0 254 0.00Sell 2,164 CSFB 01/2011 0 (24) (24) 0.00Buy 3,635 DUB 01/2011 145 0 145 0.00Sell 5,113 DUB 01/2011 0 (204) (204) 0.00Buy 3,120 JPM 01/2011 11 0 11 0.00Sell 4,048 JPM 01/2011 0 (35) (35) 0.00Sell 4,665 MSC 01/2011 0 (15) (15) 0.00Sell 323 RBC 01/2011 0 (11) (11) 0.00Buy 647,586 RBS 01/2011 21,652 0 21,652 0.39Sell 292,042 RBS 01/2011 0 (3,869) (3,869) (0.07)



Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Buy € 6,949 UBS 01/2011 $ 139 $ 0 $ 139 0.00Sell 6,466 UBS 01/2011 0 (164) (164) 0.00Buy 347,416 CITI 02/2011 4,300 0 4,300 0.08Buy 624 DUB 02/2011 8 0 8 0.00Buy 282,451 RBS 02/2011 3,737 0 3,737 0.07

$ 30,780 $ (9,520) $ 21,260 0.38

As at 31 December 2010, the Institutional GBP (Hedged) Class, Investor GBP (Hedged) Class, Administrative GBP (Hedged) Class and Class E GBP (Hedged) had the followingforeign currency contracts outstanding:

Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Buy £ 681 BCLY 01/2011 $ 8 $ 0 $ 8 0.00Sell 188,014 BNP 01/2011 0 (4,127) (4,127) (0.07)Buy 875 CITI 01/2011 3 (5) (2) 0.00Sell 1,683 CITI 01/2011 0 (14) (14) 0.00Sell 1,405 CSFB 01/2011 19 0 19 0.00Sell 5,073 DUB 01/2011 0 (44) (44) 0.00Buy 231 JPM 01/2011 0 (1) (1) 0.00Sell 614 JPM 01/2011 0 (2) (2) 0.00Sell 250 MSC 01/2011 3 0 3 0.00Buy 196,152 RBS 01/2011 2,056 0 2,056 0.04Sell 980 RBS 01/2011 0 (22) (22) 0.00Sell 900 UBS 01/2011 10 (7) 3 0.00Buy 188,014 BNP 02/2011 4,119 0 4,119 0.07Buy 258 CITI 02/2011 6 0 6 0.00Sell 1,710 DUB 02/2011 0 (45) (45) 0.00

$ 6,224 $ (4,267) $ 1,957 0.04

As at 31 December 2010, the Institutional ILS (Hedged) Class had the following foreign currency contracts outstanding:

Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Buy ILS 89,312 BCLY 05/2011 $ 288 $ 0 $ 288 0.01Sell 1,768 BCLY 05/2011 0 (1) (1) 0.00Buy 8,099 BNP 05/2011 69 0 69 0.00Sell 5,334 BNP 05/2011 0 (35) (35) 0.00Sell 5,865 CITI 05/2011 0 (18) (18) 0.00Buy 2,780 HSBC 05/2011 21 0 21 0.00Sell 5,199 HSBC 05/2011 0 (32) (32) 0.00Buy 86,221 RBS 05/2011 545 0 545 0.01

$ 923 $ (86) $ 837 0.02

As at 31 December 2010, the Institutional NOK (Hedged) Class and Investor NOK (Hedged) Class had the following foreign currency contracts outstanding:

Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Sell NOK 1,542,295 BCLY 01/2011 $ 0 $ (5,405) $ (5,405) (0.10)Buy 1,409 CITI 01/2011 10 0 10 0.00Sell 12,228 CITI 01/2011 0 (98) (98) 0.00Sell 6,882 DUB 01/2011 0 (22) (22) 0.00Buy 1,405 JPM 01/2011 7 0 7 0.00Sell 9,985 JPM 01/2011 0 (35) (35) 0.00Buy 1,557,272 RBS 01/2011 16,670 0 16,670 0.30Buy 8,503 UBS 01/2011 92 0 92 0.00Sell 3,350 UBS 01/2011 0 (13) (13) 0.00Buy 1,491,120 BCLY 02/2011 5,118 0 5,118 0.10

$ 21,897 $ (5,573) $ 16,324 0.30

As at 31 December 2010, the Institutional NZD (Hedged) Class had the following foreign currency contracts outstanding:

Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Buy NZD 2,983 BCLY 01/2011 $ 66 $ 0 $ 66 0.00Buy 678 CITI 01/2011 27 0 27 0.00Sell 23,131 CITI 01/2011 0 (948) (948) (0.02)Sell 12,000 CSFB 01/2011 0 (404) (404) (0.01)Sell 5,969 DUB 01/2011 0 (79) (79) 0.00Buy 556,682 HSBC 01/2011 20,716 0 20,716 0.38Buy 30,509 MSC 01/2011 402 0 402 0.01Buy 961 RBS 01/2011 21 0 21 0.00Sell 936 CITI 02/2011 0 (16) (16) 0.00


31 December 2010

Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Sell NZD 30,509 MSC 02/2011 $ 0 $ (403) $ (403) (0.01)Buy 1,251 RBC 02/2011 32 0 32 0.00

$ 21,264 $ (1,850) $ 19,414 0.35


Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Sell SEK 1,231,139 BCLY 01/2011 $ 0 $ (2,861) $ (2,861) (0.05)Sell 24,008 CITI 01/2011 0 (83) (83) 0.00Sell 6,158 DUB 01/2011 0 (5) (5) 0.00Buy 1,255,147 RBS 01/2011 7,755 0 7,755 0.14Buy 1,231,139 BCLY 02/2011 2,844 0 2,844 0.05

$ 10,599 $ (2,949) $ 7,650 0.14

As at 31 December 2010, the Institutional SGD (Hedged) Class had the following foreign currency contracts outstanding:

Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Sell SGD 4,195 UBS 01/2011 $ 0 $ (95) $ (95) 0.00Sell 2,472 UBS 02/2011 0 (30) (30) 0.00Buy 92,270 BOA 03/2011 3,409 0 3,409 0.06Buy 23,853 DUB 03/2011 775 0 775 0.01Buy 24,000 RBS 03/2011 917 0 917 0.02Buy 43,121 BCLY 06/2011 565 0 565 0.01Buy 78,130 DUB 06/2011 1,103 0 1,103 0.02

$ 6,769 $ (125) $ 6,644 0.12

As at 31 December 2010, the Institutional USD (Unhedged) Class, Investor USD (Unhedged) Class, Class Z USD (Unhedged) and Class E USD (Unhedged) had the followingforeign currency contracts outstanding:

Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Buy AUD 8,022 HSBC 01/2011 $ 530 $ 0 $ 530 0.01Sell CAD 18,267 MSC 01/2011 0 (134) (134) 0.00Buy 18,267 RBS 01/2011 512 0 512 0.01Buy 18,267 MSC 02/2011 132 0 132 0.00Buy CHF 4,970 UBS 01/2011 360 0 360 0.01Sell 4,970 UBS 01/2011 0 (36) (36) 0.00Buy 4,970 UBS 02/2011 36 0 36 0.00Sell DKK 12,109 BCLY 01/2011 0 (39) (39) 0.00Buy 12,109 RBS 01/2011 52 0 52 0.00Buy 12,109 BCLY 02/2011 39 0 39 0.00Sell € 91,408 CITI 01/2011 0 (1,108) (1,108) (0.02)Buy 166,917 RBS 01/2011 5,581 0 5,581 0.10Sell 75,509 RBS 01/2011 0 (1,000) (1,000) (0.02)Buy 90,808 CITI 02/2011 1,092 0 1,092 0.02Buy 75,509 RBS 02/2011 999 0 999 0.02Sell £ 25,413 BNP 01/2011 0 (558) (558) (0.01)Buy 25,413 RBS 01/2011 266 0 266 0.01Buy 25,413 BNP 02/2011 557 0 557 0.01Buy JPY 13,714,196 MSC 01/2011 6,410 0 6,410 0.12Sell 13,714,196 UBS 01/2011 0 (2,049) (2,049) (0.04)Buy 13,714,196 UBS 02/2011 2,058 0 2,058 0.04Buy KRW 163,900 BCLY 05/2011 0 (1) (1) 0.00Buy 1,599,300 CITI 05/2011 1 (5) (4) 0.00Buy 132,152 GSC 05/2011 1 0 1 0.00Buy 309,000 HSBC 05/2011 0 (1) (1) 0.00Buy 713,900 JPM 05/2011 3 0 3 0.00Buy 621,000 RBS 05/2011 2 0 2 0.00Buy MXN 4,624 BCLY 02/2011 13 0 13 0.00Buy MYR 400 BCLY 02/2011 2 0 2 0.00Buy 360 CITI 02/2011 2 0 2 0.00Buy 1,573 DUB 02/2011 7 0 7 0.00Buy 340 RBS 02/2011 1 0 1 0.00Sell NOK 3,570 BCLY 01/2011 0 (12) (12) 0.00Buy 3,570 RBS 01/2011 38 0 38 0.00Buy 3,570 BCLY 02/2011 12 0 12 0.00Buy NZD 555 HSBC 01/2011 21 0 21 0.00Buy PLN 2,514 BCLY 02/2011 0 (23) (23) 0.00Sell SEK 23,911 BCLY 01/2011 0 (56) (56) 0.00Buy 23,911 RBS 01/2011 148 0 148 0.00Buy 23,911 BCLY 02/2011 55 0 55 0.00Buy SGD 620 BOA 03/2011 23 0 23 0.00



Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Buy SGD 155 DUB 03/2011 $ 5 $ 0 $ 5 0.00Buy 130 JPM 03/2011 5 0 5 0.00Buy 150 RBS 03/2011 6 0 6 0.00Buy TWD 13,281 DUB 01/2011 15 0 15 0.00Sell 40,706 DUB 01/2011 3 0 3 0.00Buy 8,131 JPM 01/2011 13 0 13 0.00Buy 12,516 MSC 01/2011 19 0 19 0.00Buy 6,778 UBS 01/2011 12 0 12 0.00Buy 2,787 BOA 04/2011 6 0 6 0.00Buy 42,606 DUB 04/2011 60 0 60 0.00Buy 2,859 JPM 04/2011 6 0 6 0.00Buy ZAR 8,446 HSBC 01/2011 67 0 67 0.00

$ 19,170 $ (5,022) $ 14,148 0.26


Significant Changes in Portfolio Composition Global Bond Fund (Unaudited)31 December 2010

DESCRIPTIONPAR

(000S)COST(000S)


Bundesobligation4.250% due 10/12/2012 € 2,041,200 $ 2,201,326

SHARES

PIMCO US Dollar Short-Term FloatingNAV Fund (a) 208,921,871 2,089,006

PAR(000S)

US Treasury Notes2.500% due 06/30/2017 $ 1,480,300 1,536,066Netherlands Government Bond5.000% due 07/15/2011 € 345,900 472,931Republic of Germany4.750% due 07/04/2034 303,239 458,702Republic of Germany4.250% due 07/04/2018 306,925 451,824Canada Government Bond4.250% due 06/01/2018 CAD 324,604 345,515Japan Treasury Bills0.200% due 02/15/2012 JPY 28,350,000 312,236US Treasury Notes3.250% due 12/31/2016 $ 280,300 305,070Republic of Germany4.250% due 07/04/2039 € 195,300 282,515Bundesobligation3.250% due 04/09/2010 206,500 279,894United Kingdom Gilt2.750% due 01/22/2015 £ 163,900 263,459Japan Treasury Discount Bills0.105% due 01/24/2011 JPY 21,080,000 257,629US Treasury Bonds5.500% due 08/15/2028 $ 196,970 246,008Japan Treasury Bills0.000% due 10/18/2010 JPY 21,080,000 238,221Republic of Germany3.750% due 01/04/2019 € 217,160 234,396Netherlands Government Bond4.000% due 07/15/2018 159,950 231,350Republic of Germany4.000% due 01/04/2018 151,920 222,183Germany Treasury Bills0.000% due 02/23/2011 168,400 212,278US Treasury Notes2.125% due 11/30/2014 $ 180,780 185,418Republic of Germany6.500% due 07/04/2027 € 87,409 180,827Republic of Germany3.250% due 01/04/2020 125,720 172,532Bundesschatzanweisungen2.250% due 12/10/2010 125,583 169,670US Treasury Notes2.750% due 05/31/2017 $ 154,800 162,379Republic of Germany4.750% due 07/04/2040 € 99,800 153,926Republic of Germany5.250% due 01/04/2011 108,000 152,692US Treasury Bonds4.500% due 08/15/2039 $ 142,196 152,039Bundesobligation2.500% due 02/27/2015 € 107,240 145,338Republic of Germany5.625% due 01/04/2028 85,700 144,206Bundesschatzanweisungen4.000% due 09/10/2010 104,864 139,583Treasury Inflation Protected Securities2.500% due 01/15/2029 (b) $ 107,089 128,504Republic of Germany4.250% due 07/04/2017 € 82,425 125,135Treasury Inflation Protected Securities1.250% due 07/15/2020 (b) $ 118,143 124,337United Kingdom Gilt4.500% due 03/07/2019 £ 65,350 115,234United Kingdom Gilt4.000% due 09/07/2016 67,100 115,046

DESCRIPTIONPAR

(000S)COST(000S)

Bundesobligation2.250% due 04/10/2015 € 76,800 $ 100,983Fannie Mae3.490% due 12/01/2020 $ 100,565 100,659Republic of Germany3.500% due 07/04/2019 € 71,670 98,591Canada Government Bond4.000% due 06/01/2041 CAD 91,337 95,347

PROCEEDS(000S)


Bundesobligation4.250% due 01/12/2012 € 2,041,200 $ 2,201,887

SHARES

PIMCO US Dollar Short-Term FloatingNAV Fund (a) 193,497,707 1,934,956

PAR(000S)

US Treasury Notes2.500% due 06/30/2017 $ 1,480,300 1,541,113Republic of Germany4.750% due 07/04/2034 € 333,939 515,585Netherlands Government Bond5.000% due 07/15/2011 345,900 485,356Canada Government Bond4.250% due 06/01/2018 CAD 324,604 348,835Japan Treasury Bills0.200% due 02/15/2012 JPY 28,350,000 309,568Netherlands Government Bond4.000% due 07/15/2018 € 206,850 302,164Republic of Germany4.250% due 07/04/2039 204,000 297,273Republic of Germany4.250% due 07/04/2018 201,400 293,534US Treasury Notes3.250% due 12/31/2016 $ 261,826 284,290Bundesobligation3.250% due 04/09/2010 206,500 279,849Republic of Germany3.750% due 01/04/2019 253,560 273,661Republic of Germany4.000% due 01/04/2018 178,720 266,616Japan Treasury Bills0.000% due 10/18/2010 JPY 21,080,000 259,654US Treasury Bonds5.500% due 08/15/2028 $ 199,770 248,725Germany Treasury Bills0.000% due 02/23/2011 168,400 212,280Republic of Germany4.750% due 07/04/2040 122,200 191,443Japan Government International Bond0.700% due 09/20/2014 JPY 17,150,000 190,477US Treasury Notes2.125% due 11/30/2014 $ 180,780 186,813Republic of Germany6.500% due 04/07/2027 € 87,409 180,792Bundesschatzanweisungen2.250% due 12/10/2010 125,583 172,863Republic of Germany3.250% due 01/04/2020 125,720 171,871US Treasury Notes2.750% due 05/31/2017 $ 149,000 156,441US Treasury Bonds4.500% due 08/15/2039 142,196 152,603Republic of Germany5.250% due 01/04/2011 € 108,000 152,015Bundesobligation2.500% due 02/27/2015 107,240 145,340Republic of Germany4.250% due 07/04/2017 97,960 145,134Republic of Germany5.625% due 01/04/2028 85,700 144,172Bundesschatzanweisungen4.000% due 09/10/2010 104,864 139,529


Significant Changes in Portfolio Composition Global Bond Fund (Cont.)

DESCRIPTIONPAR

(000S)PROCEEDS

(000S)


Nykredit Realkredit A/S5.000% due 01/01/2010 € 81,900 $ 117,506Italy Buoni Poliennali Del Tesoro4.250% due 10/15/2012 73,100 109,405Bundesobligation2.250% due 04/10/2015 76,800 101,880Republic of Germany3.500% due 07/04/2019 71,670 98,534Canada Government Bond4.000% due 06/01/2041 CAD 91,337 95,242Treasury Inflation Protected Securities1.250% due 07/15/2020 (b) $ 90,172 94,206Treasury Inflation Protected Securities2.500% due 01/15/2029 (b) 76,340 90,306Japan Government International Bond1.700% due 03/20/2017 JPY 7,360,000 89,196Federal Home Loan Bank0.000% due 03/12/2010 $ 89,000 89,000Republic of Germany6.250% due 01/04/2030 € 50,300 88,923Netherlands Government Bond4.500% due 07/15/2017 57,400 88,780

(a) The Global Bond Fund is investing in Class Z Income Shares of an affiliated Fund.





Portfolio of Investments and Assets Global Bond Ex-US Fund31 December 2010

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS


AUSTRALIA

Bank of Queensland Ltd.5.500% due 10/22/2012 AUD 2,100 $ 2,146 0.44Citigroup Pty Ltd.5.500% due 08/20/2012 2,300 2,355 0.48Crusade Global Trust5.218% due 08/14/2037 1,865 1,848 0.38Members Equity Bank Pty Ltd.5.500% due 08/20/2012 1,600 1,637 0.33Puma Finance Ltd.4.970% due 08/22/2037 910 891 0.18Swan5.200% due 05/12/2037 1,079 1,079 0.22Torrens Trust5.230% due 10/19/2038 1,130 1,132 0.23Westpac Banking Corp.4.750% due 03/05/2014 9,900 9,866 2.00

20,954 4.26

CANADA

Broadway Credit Card Trust5.234% due 06/17/2011 CAD 3,700 3,784 0.77Ford Auto Securitization Trust4.817% due 10/15/2012 1,000 1,028 0.21HSBC Financial Corp. Ltd.1.496% due 05/03/2012 900 904 0.18Rio Tinto Alcan, Inc.6.450% due 03/15/2011 $ 800 809 0.17

6,525 1.33

CAYMAN ISLANDS

MUFG Capital Finance 5 Ltd.6.299% due 01/29/2049 £ 600 879 0.18Mystic Re Ltd.10.294% due 06/07/2011 $ 600 610 0.12Odebrecht Drilling Norbe VIII & IX Ltd.6.350% due 06/30/2021 2,000 2,090 0.43Punch Taverns Finance B Ltd.1.858% due 06/30/2035 £ 180 72 0.01QNB Finance Ltd.3.125% due 11/16/2015 $ 3,100 3,038 0.62Transocean, Inc.4.950% due 11/15/2015 2,400 2,483 0.506.000% due 03/15/2018 1,200 1,262 0.26

10,434 2.12

DENMARK

Realkredit Danmark A/S2.000% due 01/01/2011 DKK 5,900 1,062 0.21

FRANCE


BNP Paribas Home Loan Covered Bonds S.A.3.750% due 04/20/2020 € 3,000 4,034 0.824.750% due 05/28/2013 1,000 1,427 0.29BPCE S.A.6.117% due 10/29/2049 1,000 1,046 0.21Cie de Financement Foncier2.250% due 01/25/2013 2,100 2,837 0.584.500% due 01/09/2013 900 1,270 0.26CM-CIC Covered Bonds3.125% due 01/21/2015 1,300 1,774 0.36Dexia Credit Local S.A.1.039% due 01/14/2013 £ 3,600 5,621 1.14Dexia Municipal Agency S.A.2.750% due 01/25/2016 € 4,800 6,295 1.28GCE Covered Bonds2.000% due 09/30/2013 7,200 9,602 1.952.125% due 06/03/2014 3,800 5,059 1.03

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Vivendi S.A.5.750% due 04/04/2013 $ 2,000 $ 2,159 0.44

41,124 8.36

SOVEREIGN ISSUES

Societe Financement de l’Economie Francaise2.125% due 05/20/2012 € 1,300 1,770 0.363.250% due 01/16/2014 4,900 6,837 1.39

8,607 1.75

Total France 49,731 10.11

GERMANY

Eurohypo AG4.250% due 11/20/2012 1,800 2,530 0.51Kreditanstalt fuer Wiederaufbau1.250% due 06/17/2013 5,200 6,953 1.41Landwirtschaftliche Rentenbank3.750% due 02/11/2016 4,600 6,539 1.33NRW.Bank0.684% due 08/24/2012 $ 2,900 2,909 0.59Republic of Germany5.500% due 01/04/2031 € 700 1,199 0.256.250% due 01/04/2030 8,100 14,972 3.046.500% due 07/04/2027 3,400 6,288 1.28State of North Rhine-Westphalia1.250% due 09/13/2013 2,600 3,451 0.70

44,841 9.11

IRELAND

Cloverie PLC for Zurich Insurance Co. Ltd.12.000% due 07/29/2049 700 1,091 0.22Dryden Leveraged Loan CDO 2002-II1.368% due 08/08/2022 700 845 0.17German Postal Pensions Securitisation PLC2.750% due 01/18/2011 200 268 0.05Immeo Residential Finance PLC1.186% due 12/15/2016 926 1,127 0.23

SHARES


PAR(000S)

SC Germany Auto0.892% due 08/11/2015 € 111 149 0.03

32,248 6.55

ITALY


1.711% due 09/21/2020 973 1,306 0.27F-E Green Srl1.235% due 10/30/2018 49 65 0.01

1,371 0.28

JAPAN

Japan Treasury Bills0.120% due 03/28/2011 JPY 10,000 123 0.02


Magnolia Funding Ltd.3.000% due 04/20/2017 € 1,231 1,618 0.33

LIBERIA

Royal Caribbean Cruises Ltd.7.250% due 03/15/2018 $ 2,400 2,556 0.52

NETHERLANDS

ABN Amro Bank NV3.750% due 01/12/2012 € 2,000 2,746 0.56

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Arena BV1.147% due 10/17/2051 € 736 $ 968 0.20Atomium Mortgage Finance BV1.000% due 07/01/2034 130 168 0.03Cooperatieve Centrale Raiffeisen-Boerenleenbank BA6.875% due 03/19/2020 2,800 3,569 0.7311.000% due 06/29/2049 $ 275 356 0.07Delphinus BV1.321% due 11/28/2031 € 312 415 0.08Dutch MBS BV1.130% due 07/02/2037 744 973 0.20Fortis Bank Nederland NV3.375% due 05/19/2014 3,800 5,319 1.08ING Bank NV3.375% due 03/03/2014 2,300 3,220 0.65LeasePlan Corp. NV3.250% due 05/22/2014 1,100 1,531 0.31NIBC Bank NV3.500% due 04/07/2014 2,400 3,370 0.69Saecure BV1.185% due 05/25/2036 144 191 0.04Scotland International Finance No. 2 BV4.250% due 05/23/2013 $ 650 644 0.13

23,470 4.77

NEW ZEALAND

BNZ International Funding Ltd.3.125% due 11/23/2017 € 1,800 2,359 0.48

NORWAY

DnB NOR Boligkreditt4.625% due 07/03/2012 1,300 1,822 0.37

SOUTH KOREA

Export-Import Bank of Korea5.750% due 05/22/2013 1,100 1,567 0.32

UNITED KINGDOM


Bumper 2 S.A.2.524% due 06/20/2022 631 849 0.17


Bank of Scotland PLC4.500% due 10/23/2013 100 140 0.03Barclays Bank PLC2.700% due 03/05/2012 $ 100 102 0.026.050% due 12/04/2017 1,600 1,643 0.33BP Capital Markets PLC0.442% due 04/11/2011 200 200 0.043.125% due 10/01/2015 2,100 2,101 0.43FCE Bank PLC5.125% due 11/16/2015 £ 2,600 3,959 0.80LBG Capital No.1 PLC6.439% due 05/23/2020 € 3,100 3,369 0.688.500% due 12/29/2049 $ 1,600 1,415 0.29LBG Capital No.2 PLC15.000% due 12/21/2019 £ 1,100 2,196 0.45Lloyds TSB Bank PLC6.350% due 10/29/2049 € 200 244 0.0512.000% due 12/29/2049 $ 2,200 2,402 0.49Nationwide Building Society2.875% due 09/14/2015 € 3,700 4,870 0.994.625% due 09/13/2012 1,100 1,530 0.31Rexam PLC6.750% due 06/01/2013 $ 3,000 3,273 0.67Royal Bank of Scotland Group PLC6.666% due 04/29/2049 CAD 3,200 2,427 0.49Royal Bank of Scotland PLC3.875% due 10/19/2020 € 2,800 3,546 0.72Tate & Lyle International Finance PLC6.125% due 06/15/2011 $ 800 816 0.17XL Capital Finance Europe PLC6.500% due 01/15/2012 800 826 0.17


Portfolio of Investments and Assets Global Bond Ex-US Fund (Cont.)

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Yorkshire Building Society2.000% due 03/30/2012 £ 2,400 $ 3,787 0.773.250% due 09/22/2015 € 2,400 3,154 0.64

42,000 8.54


Holmes Master Issuer PLC2.353% due 10/15/2054 5,000 6,719 1.37Newgate Funding PLC1.626% due 12/15/2050 1,100 1,241 0.25

7,960 1.62

SOVEREIGN ISSUES

United Kingdom Gilt2.750% due 01/22/2015 £ 14,500 23,342 4.744.000% due 09/07/2016 2,800 4,729 0.964.250% due 06/07/2032 200 317 0.074.250% due 03/07/2036 400 632 0.134.250% due 09/07/2039 500 792 0.164.500% due 03/07/2019 3,800 6,501 1.324.500% due 09/07/2034 700 1,144 0.234.750% due 09/07/2015 5,000 8,715 1.774.750% due 12/07/2038 5,310 9,099 1.85

55,271 11.23


UNITED STATES


ABSC Manufactured Housing Contract5.019% due 04/16/2030 $ 182 181 0.04Amortizing Residential Collateral Trust0.841% due 07/25/2032 6 6 0.000.961% due 10/25/2031 7 6 0.00Asset-Backed Funding Certificates0.321% due 01/25/2037 20 19 0.010.611% due 06/25/2034 365 299 0.06Bear Stearns Asset-Backed Securities Trust0.371% due 11/25/2036 186 126 0.021.261% due 10/25/2037 949 630 0.13Carrington Mortgage Loan Trust0.311% due 12/25/2036 1,251 1,136 0.23Countrywide Asset-Backed Certificates0.311% due 05/25/2037 95 94 0.020.311% due 08/25/2037 328 317 0.070.311% due 05/25/2047 112 112 0.020.371% due 10/25/2046 50 50 0.010.441% due 09/25/2036 892 757 0.150.601% due 12/25/2036 50 23 0.01Credit Suisse First Boston Mortgage Securities Corp.0.881% due 01/25/2032 7 6 0.00First Franklin Mortgage Loan Asset-Backed

Certificates0.311% due 11/25/2036 49 49 0.01Ford Credit Auto Owner Trust1.680% due 06/15/2012 436 438 0.09Franklin Auto Trust1.841% due 06/20/2012 394 394 0.08Home Equity Mortgage Trust5.500% due 01/25/2037 347 63 0.01Indymac Residential Asset Backed Trust0.711% due 08/25/2035 1,100 865 0.18JPMorgan Mortgage Acquisition Corp.0.311% due 10/25/2036 362 351 0.07Lehman XS Trust0.491% due 06/25/2046 (b) 356 35 0.000.501% due 11/25/2046 574 134 0.03Massachusetts Educational Financing Authority1.238% due 04/25/2038 1,389 1,396 0.28Merrill Lynch Mortgage Investors, Inc.0.331% due 07/25/2037 10 10 0.000.341% due 09/25/2037 10 3 0.00Nelnet Student Loan Trust0.818% due 04/27/2015 6 6 0.00Renaissance Home Equity Loan Trust0.761% due 12/25/2033 47 40 0.01

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Residential Asset Mortgage Products, Inc.0.821% due 06/25/2032 $ 7 $ 5 0.00SACO I, Inc.0.321% due 05/25/2036 91 83 0.02Securitized Asset-Backed Receivables LLC Trust0.321% due 12/25/2036 21 8 0.00Structured Asset Securities Corp.0.311% due 10/25/2036 89 89 0.021.753% due 04/25/2035 461 351 0.07Wells Fargo Home Equity Trust0.491% due 10/25/2035 164 163 0.03

8,245 1.67


Ford Motor Co.3.020% due 12/15/2013 530 529 0.113.040% due 12/15/2013 213 212 0.04

741 0.15


Ally Financial, Inc.6.875% due 09/15/2011 2,200 2,266 0.46Altria Group, Inc.9.250% due 08/06/2019 3,000 3,921 0.80American International Group, Inc.1.179% due 04/26/2011 € 3,000 3,999 0.814.875% due 03/15/2067 1,900 2,014 0.418.000% due 05/22/2038 550 716 0.148.625% due 05/22/2038 £ 1,100 1,705 0.35Autozone, Inc.5.875% due 10/15/2012 $ 600 645 0.13BA Covered Bond Issuer4.250% due 04/05/2017 € 100 136 0.03Brunswick Corp.11.750% due 08/15/2013 $ 2,000 2,375 0.48Citigroup Capital XVIII6.829% due 06/28/2067 £ 500 571 0.12Citigroup, Inc.0.572% due 06/09/2016 $ 2,300 2,055 0.421.167% due 03/05/2014 € 3,200 4,022 0.825.500% due 10/15/2014 $ 700 755 0.156.000% due 08/15/2017 1,100 1,195 0.246.125% due 05/15/2018 1,400 1,536 0.31CNA Financial Corp.6.000% due 08/15/2011 1,200 1,232 0.25Computer Sciences Corp.6.500% due 03/15/2018 1,200 1,308 0.27CSX Corp.6.300% due 03/15/2012 800 849 0.17D.R. Horton, Inc.6.000% due 04/15/2011 700 711 0.14General Electric Capital Corp.0.304% due 09/20/2013 3,300 3,186 0.65International Lease Finance Corp.5.350% due 03/01/2012 1,300 1,318 0.276.500% due 09/01/2014 1,700 1,811 0.376.750% due 09/01/2016 1,400 1,501 0.30iStar Financial, Inc.5.150% due 03/01/2012 900 860 0.18JPMorgan Chase & Co.3.625% due 12/12/2011 € 3,000 4,119 0.846.300% due 04/23/2019 $ 600 684 0.14Kerr-McGee Corp.6.875% due 09/15/2011 800 831 0.17Lehman Brothers Holdings, Inc. (b)0.000% due 11/16/2009 700 164 0.035.625% due 01/24/2013 600 150 0.036.200% due 09/26/2014 1,400 331 0.077.875% due 05/08/2018 £ 1,800 676 0.14Lennar Corp.5.950% due 10/17/2011 $ 900 923 0.19Limited Brands, Inc.6.900% due 07/15/2017 2,000 2,135 0.43Loews Corp.5.250% due 03/15/2016 300 326 0.07

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Macy’s Retail Holdings, Inc.8.375% due 07/15/2015 $ 3,300 $ 3,878 0.79Marsh & McLennan Cos., Inc.5.375% due 07/15/2014 2,400 2,555 0.52Merrill Lynch & Co., Inc.1.243% due 10/31/2011 € 400 527 0.111.466% due 07/22/2014 2,200 2,774 0.576.750% due 05/21/2013 1,500 2,133 0.436.875% due 04/25/2018 $ 1,600 1,754 0.367.750% due 04/30/2018 £ 500 855 0.17Morgan Stanley1.331% due 11/29/2013 € 400 512 0.101.377% due 04/13/2016 3,500 4,223 0.86Ryder System, Inc.6.000% due 03/01/2013 $ 2,000 2,151 0.44SLM Corp.5.375% due 05/15/2014 800 805 0.16UST LLC5.750% due 03/01/2018 1,500 1,604 0.336.625% due 07/15/2012 3,000 3,220 0.65Viacom, Inc.6.125% due 10/05/2017 2,500 2,824 0.57WM Covered Bond Program3.875% due 09/27/2011 € 3,800 5,181 1.05

86,022 17.49


Adjustable Rate Mortgage Trust2.996% due 09/25/2035 $ 166 126 0.03American General Mortgage Loan Trust5.150% due 03/25/2058 2,546 2,653 0.54American Home Mortgage Assets0.451% due 05/25/2046 980 581 0.120.471% due 10/25/2046 3,466 1,903 0.381.248% due 11/25/2046 672 334 0.07Banc of America Funding Corp.5.893% due 01/20/2047 446 324 0.075.941% due 10/20/2046 716 490 0.10Banc of America Large Loan, Inc.0.771% due 08/15/2029 672 594 0.122.010% due 11/15/2015 1,396 1,246 0.25Banc of America Mortgage Securities, Inc.6.500% due 10/25/2031 16 16 0.00Bear Stearns Adjustable Rate Mortgage Trust2.430% due 08/25/2035 1,821 1,727 0.352.685% due 08/25/2033 77 77 0.022.730% due 03/25/2035 1,317 1,257 0.252.921% due 10/25/2033 143 145 0.032.934% due 03/25/2035 106 101 0.024.530% due 05/25/2034 99 99 0.025.326% due 05/25/2047 1,556 1,179 0.24Bear Stearns Alternative-A Trust2.955% due 09/25/2035 1,113 853 0.172.956% due 11/25/2035 735 437 0.095.208% due 11/25/2036 1,047 655 0.135.305% due 11/25/2036 1,159 726 0.15Bear Stearns Structured Products, Inc.5.339% due 12/26/2046 1,974 1,390 0.28Citigroup Mortgage Loan Trust, Inc.2.560% due 08/25/2035 661 596 0.125.873% due 09/25/2037 2,604 1,892 0.39Countrywide Alternative Loan Trust0.451% due 11/25/2046 583 351 0.070.456% due 12/20/2046 1,160 611 0.120.461% due 05/25/2036 208 118 0.020.471% due 07/20/2046 1,282 602 0.120.511% due 10/25/2046 582 215 0.040.531% due 05/25/2036 557 115 0.020.611% due 05/25/2037 348 190 0.040.771% due 11/20/2035 1,500 273 0.061.031% due 11/25/2035 633 374 0.081.828% due 11/25/2035 143 89 0.022.368% due 11/25/2035 143 89 0.025.250% due 06/25/2035 159 137 0.035.724% due 02/25/2037 937 692 0.146.000% due 10/25/2032 6 6 0.006.000% due 04/25/2037 338 238 0.05


31 December 2010

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

6.250% due 08/25/2037 $ 229 $ 166 0.036.500% due 06/25/2036 657 431 0.09Countrywide Home Loan Mortgage

Pass-Through Trust0.491% due 05/25/2035 117 80 0.020.581% due 03/25/2035 670 424 0.090.591% due 02/25/2035 292 225 0.040.601% due 06/25/2035 1,262 1,090 0.220.641% due 09/25/2034 49 29 0.012.949% due 08/25/2034 172 144 0.032.984% due 08/25/2034 72 53 0.013.121% due 11/25/2034 52 42 0.014.186% due 11/19/2033 164 163 0.03Deutsche Alternative-A Securities, Inc.0.361% due 10/25/2036 18 6 0.00Downey Savings & Loan Association Mortgage

Loan Trust0.521% due 08/19/2045 392 273 0.060.581% due 07/19/2045 296 75 0.01First Horizon Asset Securities, Inc.2.706% due 12/25/2033 143 141 0.032.924% due 08/25/2035 210 172 0.03Greenpoint Mortgage Funding Trust0.531% due 11/25/2045 53 36 0.01GSR Mortgage Loan Trust2.050% due 03/25/2033 125 125 0.03Harborview Mortgage Loan Trust0.451% due 01/19/2038 368 247 0.050.511% due 09/19/2046 240 45 0.011.178% due 12/19/2036 529 290 0.063.072% due 05/19/2033 259 259 0.05Impac CMB Trust1.261% due 07/25/2033 18 16 0.00Indymac Index Mortgage Loan Trust2.690% due 12/25/2034 75 56 0.01JPMorgan Alternative Loan Trust5.500% due 11/25/2036 348 321 0.065.550% due 10/25/2036 298 280 0.06JPMorgan Mortgage Trust2.190% due 11/25/2033 73 72 0.025.410% due 02/25/2036 956 890 0.185.540% due 07/27/2037 1,402 1,203 0.24MASTR Alternative Loans Trust0.661% due 03/25/2036 (b) 156 63 0.01Mellon Residential Funding Corp.0.700% due 12/15/2030 163 155 0.03Merrill Lynch Mortgage Investors, Inc.0.511% due 08/25/2036 104 83 0.02MLCC Mortgage Investors, Inc.1.707% due 10/25/2035 915 835 0.17NCUA Guaranteed Notes0.735% due 11/05/2020 11,945 11,870 2.410.825% due 12/08/2020 3,100 3,091 0.63Residential Accredit Loans, Inc.0.411% due 02/25/2047 547 286 0.06

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

0.441% due 06/25/2046 $ 1,846 $ 771 0.160.661% due 10/25/2045 383 216 0.04Residential Asset Securitization Trust5.750% due 02/25/2036 265 191 0.04Residential Funding Mortgage Securities I3.274% due 09/25/2035 169 123 0.036.500% due 03/25/2032 1 1 0.00Sequoia Mortgage Trust0.611% due 07/20/2033 155 147 0.03Structured Adjustable Rate Mortgage Loan Trust2.765% due 04/25/2034 362 322 0.072.770% due 02/25/2034 151 144 0.035.210% due 09/25/2034 27 25 0.00Structured Asset Mortgage Investments, Inc.0.451% due 07/25/2046 1,468 927 0.190.471% due 05/25/2046 473 268 0.050.481% due 05/25/2036 2,083 1,240 0.250.521% due 05/25/2046 263 79 0.020.611% due 03/19/2034 30 27 0.010.841% due 07/19/2034 69 63 0.01Thornburg Mortgage Securities Trust0.391% due 06/25/2037 1,593 1,549 0.32Wachovia Bank Commercial Mortgage Trust0.351% due 09/15/2021 1,785 1,739 0.35WaMu Mortgage Pass-Through Certificates0.000% due 12/25/2027 532 29 0.010.491% due 04/25/2045 827 698 0.140.521% due 11/25/2045 190 161 0.030.571% due 01/25/2045 166 143 0.030.801% due 12/25/2027 523 464 0.101.028% due 02/25/2047 1,383 855 0.171.068% due 01/25/2047 496 304 0.061.308% due 06/25/2046 1,538 1,175 0.241.328% due 02/25/2046 1,148 888 0.182.785% due 03/25/2034 20 19 0.002.904% due 02/27/2034 85 87 0.02Washington Mutual Alternative Mortgage Pass-

Through Certificates1.268% due 07/25/2046 332 157 0.03Wells Fargo Mortgage-Backed Securities Trust2.884% due 09/25/2034 242 246 0.053.425% due 03/25/2036 1,847 1,643 0.33

61,939 12.58


California, General Obligation Bonds, Series 20107.600% due 11/01/2040 2,200 2,293 0.47Puerto Rico, Sales Tax Financing Revenue Bonds,

(AMBAC Insured), Series 20070.000% due 08/01/2054 500 25 0.01Sacramento, California, Build America General

Obligation Bonds, Series 20097.300% due 10/01/2039 600 605 0.12

2,923 0.60

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

US CASH MANAGEMENT BILLS

US Cash Management Bills0.135% due 02/10/2011 (c) $ 75 $ 75 0.02


Fannie Mae0.361% due 01/25/2021 94 94 0.020.381% due 03/25/2034 89 88 0.020.391% due 03/25/2036 95 88 0.020.411% due 08/25/2034 87 83 0.020.691% due 11/25/2040 2,950 2,949 0.600.711% due 11/25/2040 2,945 2,942 0.600.761% due 10/25/2040 -

12/25/2040 4,186 4,189 0.851.542% due 09/01/2044 402 403 0.082.147% due 12/01/2034 158 163 0.032.465% due 10/01/2034 62 64 0.012.710% due 11/01/2034 761 797 0.165.500% due 03/25/2028 421 427 0.095.529% due 01/01/2036 325 346 0.076.000% due 04/25/2043 -

07/25/2044 562 621 0.127.000% due 08/01/2037 550 621 0.13Freddie Mac0.610% due 12/15/2030 59 59 0.010.860% due 07/15/2040 1,426 1,432 0.291.158% due 10/15/2040 309 306 0.061.261% due 05/25/2043 71 72 0.021.542% due 10/25/2044 -

02/25/2045 1,256 1,233 0.253.004% due 09/01/2035 42 44 0.015.000% due 02/15/2020 1,108 1,152 0.23Ginnie Mae3.125% due 11/20/2022 17 18 0.00Small Business Administration6.640% due 02/01/2011 34 34 0.01

18,225 3.70


Treasury Inflation Protected Securities1.250% due 07/15/2020 (c)(d) 2,808 2,879 0.59US Treasury Bills0.173% due 01/13/2011 -

06/02/2011 (c) 1,195 1,195 0.244,074 0.83





FUTURES


Month# of

Contracts


% ofNet Assets

Euro-Bobl 5-Year Note March Futures Long 03/2011 63 $ 68 0.02Euro-Bund 10-Year Bond March Futures Long 03/2011 345 (378) (0.08)United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures Long 12/2011 42 4 0.00United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures Long 09/2011 42 6 0.00United Kingdom Treasury 10-Year Gilt March Futures Long 03/2011 20 53 0.01

$ (247) (0.05)



WRITTEN OPTIONS

DescriptionExercise

PriceExpiration

Date# of


Value% of

Net Assets

Call - 90-Day Eurodollar September Futures $ 99.375 09/19/2011 127 $ (53) $ (75) (0.02)Call - US Treasury 10-Year Note January Futures 122.000 01/21/2011 56 (43) (20) 0.00Put - 90-Day Eurodollar September Futures 99.375 09/19/2011 127 (79) (52) (0.01)

$ (175) $ (147) (0.03)




WRITTEN OPTIONS


ExerciseRate

ExpirationDate


FairValue

% ofNet Assets


Put - OTC Dow Jones iTraxx Europe Series 14 BNP Buy 1.300% 01/19/2011 € 1,400 $ (5) $ (1) 0.00Put - OTC Dow Jones iTraxx Europe Series 14 BNP Buy 1.200% 03/16/2011 2,500 (15) (13) 0.00Put - OTC Dow Jones iTraxx Europe Series 14 BNP Buy 1.600% 03/16/2011 1,200 (6) (2) 0.00Put - OTC Dow Jones iTraxx Europe Series 14 MSC Buy 1.300% 03/16/2011 3,900 (21) (16) 0.00Put - OTC Dow Jones iTraxx Europe Series 14 MSC Buy 1.500% 03/16/2011 9,000 (48) (21) (0.01)Put - OTC Dow Jones iTraxx Europe Series 14 MSC Buy 1.600% 03/16/2011 3,300 (11) (6) 0.00Put - OTC Dow Jones iTraxx Europe Series 14 UBS Buy 1.300% 01/19/2011 2,300 (8) (1) 0.00Put - OTC Dow Jones iTraxx Europe Series 14 UBS Buy 1.200% 03/16/2011 5,800 (35) (31) (0.01)Put - OTC Dow Jones CDX N.A. IG15 Index CSFB Buy 1.500% 03/16/2011 $ 9,600 (28) (6) 0.00Put - OTC Dow Jones CDX N.A. IG15 Index MSC Buy 1.500% 03/16/2011 14,500 (52) (9) 0.00Put - OTC Dow Jones CDX N.A. IG15 Index MSC Buy 1.200% 06/15/2011 4,900 (25) (18) 0.00

$ (254) $ (124) (0.02)


PriceExpiration


FairValue

% ofNet Assets


Put - OTC Australian dollar versus US dollar GST $ 0.953 01/31/2011 AUD 2,400 $ (24) $ (3) 0.00Call - OTC Eurodollar versus US dollar BOA 1.333 01/31/2011 € 1,400 (26) (32) (0.01)Call - OTC US dollar versus South Korean won BOA KRW 1,227.000 03/17/2011 $ 2,400 (32) (20) 0.00

$ (82) $ (55) (0.01)


ExerciseRate

ExpirationDate


FairValue

% ofNet Assets


Put - OTC 3-Year Interest Rate Swap BCLY 3-Month USD-LIBOR Pay 3.000% 06/18/2012 $ 3,900 $ (35) $ (49) (0.01)Put - OTC 3-Year Interest Rate Swap BOA 3-Month USD-LIBOR Pay 3.000% 06/18/2012 8,200 (84) (103) (0.02)Put - OTC 2-Year Interest Rate Swap BOA 3-Month USD-LIBOR Pay 2.250% 09/24/2012 19,700 (174) (267) (0.05)Put - OTC 3-Year Interest Rate Swap CITI 3-Month USD-LIBOR Pay 3.000% 06/18/2012 6,400 (70) (81) (0.02)Call - OTC 1-Year Interest Rate Swap DUB 3-Month USD-LIBOR Receive 0.500% 02/14/2011 24,300 (17) (21) 0.00Put - OTC 1-Year Interest Rate Swap DUB 3-Month USD-LIBOR Pay 0.500% 02/14/2011 24,300 (34) (18) 0.00Put - OTC 3-Year Interest Rate Swap DUB 3-Month USD-LIBOR Pay 2.750% 06/18/2012 5,200 (54) (79) (0.02)Put - OTC 3-Year Interest Rate Swap DUB 3-Month USD-LIBOR Pay 3.000% 06/18/2012 5,100 (55) (64) (0.01)Put - OTC 2-Year Interest Rate Swap GSC 3-Month USD-LIBOR Pay 2.250% 09/24/2012 500 (3) (7) 0.00Put - OTC 3-Year Interest Rate Swap JPM 3-Month USD-LIBOR Pay 3.000% 06/18/2012 6,000 (57) (76) (0.02)Put - OTC 10-Year Interest Rate Swap MSC 3-Month USD-LIBOR Pay 10.000% 07/10/2012 5,700 (34) (4) 0.00Put - OTC 3-Year Interest Rate Swap RBS 3-Month USD-LIBOR Pay 2.750% 06/18/2012 5,000 (49) (75) (0.01)Put - OTC 3-Year Interest Rate Swap RBS 3-Month USD-LIBOR Pay 3.000% 06/18/2012 6,000 (66) (76) (0.02)Put - OTC 2-Year Interest Rate Swap RBS 3-Month USD-LIBOR Pay 2.250% 09/24/2012 34,700 (274) (470) (0.10)

$ (1,006) $ (1,390) (0.28)

INFLATION FLOOR


ExpirationDate


FairValue

% ofNet Assets

Floor - OTC CPURNSA Index CITI 217.965 Maximum of [1 -(Final Index /Initial Index), 0] 09/29/2020 $ 1,300 $ (17) $ (13) 0.00Floor - OTC CPURNSA Index DUB 218.011 Maximum of [-(Final Index /Initial Index -1), 0] 10/13/2020 1,400 (14) (15) (0.01)

$ (31) $ (28) (0.01)


ExpirationDate


FairValue

% ofNet Assets

STRADDLE OPTIONS

Call & Put 1-Year vs. 1-Year Forward Volatility Agreement GSC 0.000 10/11/2011 $ 3,100 $ (16) $ (25) (0.01)Call & Put 1-Year vs. 1-Year Forward Volatility Agreement JPM 0.000 10/11/2011 1,900 (10) (16) 0.00Call & Put 1-Year vs. 2-Year Forward Volatility Agreement MSC 0.000 11/14/2011 9,000 (98) (151) (0.03)

$ (124) $ (192) (0.04)



31 December 2010



NotionalAmount(3)

FairValue

UpfrontPremiums

Paid/(Received)


% ofNet

Assets

Autozone, Inc. (0.680%) 12/20/2012 CITI $ 600 $ (4) $ 0 $ (4) 0.00Brunswick Corp. (4.100%) 09/20/2013 BOA 2,000 (139) 0 (139) (0.03)CNA Financial Corp. (0.440%) 09/20/2011 JPM 1,200 5 0 5 0.00Computer Sciences Corp. (1.180%) 03/20/2018 GSC 1,200 35 0 35 0.01CSX Corp. (0.230%) 03/20/2012 MLP 800 (1) 0 (1) 0.00D.R. Horton, Inc. (4.030%) 06/20/2011 BNP 700 (12) 0 (12) 0.00International Lease Finance Corp. (0.130%) 03/20/2012 MLP 1,300 19 0 19 0.00iStar Financial, Inc. (0.450%) 03/20/2012 CSFB 900 74 0 74 0.01Kerr-McGee Corp. (0.200%) 09/20/2011 DUB 800 0 0 0 0.00Lennar Corp. (5.950%) 12/20/2011 CITI 900 (43) 0 (43) (0.01)Limited Brands, Inc. (3.145%) 09/20/2017 JPM 2,000 (166) 0 (166) (0.03)Loews Corp. (0.330%) 03/20/2016 JPM 300 11 0 11 0.00Macys Retail Holdings, Inc. (2.470%) 09/20/2015 MSC 3,300 (168) 0 (168) (0.03)Marsh & McLennan Cos., Inc. (1.160%) 09/20/2014 BCLY 2,400 (2) 0 (2) 0.00Rexam PLC (4.550%) 06/20/2013 CITI 3,000 (300) 0 (300) (0.06)Rio Tinto Alcan, Inc. (0.290%) 03/20/2011 BOA 800 (1) 0 (1) 0.00Royal Caribbean Cruises Ltd. (3.190%) 03/20/2018 BOA 2,400 (70) 0 (70) (0.02)Ryder System, Inc. (0.850%) 03/20/2013 BOA 2,000 (11) 0 (11) 0.00Tate & Lyle International Finance PLC (1.760%) 06/20/2011 BNP 800 (6) 0 (6) 0.00UST LLC (0.340%) 09/20/2012 BOA 3,000 (10) 19 (29) 0.00UST LLC (0.720%) 03/20/2018 GSC 1,500 (42) 0 (42) (0.01)Viacom, Inc. (1.110%) 12/20/2017 BOA 2,500 (48) 0 (48) (0.01)Vivendi S.A. (1.743%) 06/20/2013 BNP 700 (20) 0 (20) 0.00Vivendi S.A. (1.780%) 06/20/2013 BNP 700 (21) 0 (21) (0.01)Vivendi S.A. (1.820%) 06/20/2013 BNP 600 (19) 0 (19) 0.00XL Capital Finance Europe PLC (0.310%) 03/20/2012 BCLY 800 3 0 3 0.00

$ (936) $ 19 $ (955) (0.19)




Amount(3)Fair

Value

UpfrontPremiums

Paid/(Received)


% ofNet Assets

Australia Government Bond 1.000% 06/20/2015 DUB $ 4,000 $ 94 $ 76 $ 18 0.02BP Capital Markets America, Inc. 5.000% 09/20/2011 DUB 700 26 (4) 30 0.01BP Capital Markets America, Inc. 1.000% 12/20/2015 MSC 3,100 17 (70) 87 0.00Brazil Government International Bond 1.000% 12/20/2011 BCLY 400 2 2 0 0.00Brazil Government International Bond 1.000% 12/20/2011 DUB 1,800 8 8 0 0.00California, General Obligation Bonds, Series 2003 2.950% 12/20/2020 CITI 1,000 0 0 0 0.00California, General Obligation Bonds, Series 2003 2.910% 12/20/2020 GSC 500 (1) 0 (1) 0.00California, General Obligation Bonds, Series 2003 2.900% 12/20/2020 MSC 1,500 (5) 0 (5) 0.00China Government International Bond 1.000% 12/20/2015 UBS 3,500 58 77 (19) 0.01France Government Bond 0.250% 12/20/2015 DUB 8,100 (308) (200) (108) (0.06)France Government Bond 0.250% 12/20/2015 GSC 3,500 (133) (86) (47) (0.03)France Government Bond 0.250% 12/20/2015 UBS 700 (27) (15) (12) 0.00Mexico Government International Bond 1.000% 12/20/2011 BCLY 4,600 19 17 2 0.00Republic of Korea 1.000% 12/20/2015 DUB 1,700 6 17 (11) 0.00Russia Government International Bond 1.000% 12/20/2011 MLP 2,400 11 9 2 0.00Russia Government International Bond 1.000% 12/20/2011 MSC 3,700 17 13 4 0.00United Kingdom Gilt 1.000% 06/20/2015 BOA 600 9 6 3 0.00United Kingdom Gilt 1.000% 06/20/2015 CITI 3,100 46 26 20 0.01United Kingdom Gilt 1.000% 06/20/2015 DUB 1,900 28 16 12 0.01United Kingdom Gilt 1.000% 12/20/2015 DUB 2,200 30 48 (18) 0.01United Kingdom Gilt 1.000% 06/20/2015 MSC 9,200 135 43 92 0.03

$ 32 $ (17) $ 49 0.01










FairValue

UpfrontPremiums


Appreciation% of

Net Assets

Floating rate equal to 3-MonthEUR-LIBOR less 0.193% based onthe notional amount of thecurrency delivered

Floating rate equal to 3-MonthUSD-LIBOR based on thenotional amount of thecurrency received 12/10/2012 DUB $ 3,770 € 2,500 $ 398 $ (2) $ 400 0.08


INTEREST RATE SWAPS


NotionalAmount

FairValue

UpfrontPremiums

Paid/(Received)


% ofNet Assets

Pay 3-Month Canadian Bank Bill 5.800% 12/19/2023 JPM CAD 5,700 $ 164 $ (22) $ 186 0.03Pay 3-Month USD-LIBOR 4.000% 12/16/2020 BCLY $ 10,500 (351) (95) (256) (0.07)Pay 3-Month USD-LIBOR 4.000% 12/16/2020 BOA 7,600 (254) (24) (230) (0.05)Pay 6-Month JPY-LIBOR 1.500% 06/15/2021 CSFB JPY 2,240,000 675 405 270 0.14Pay 6-Month JPY-LIBOR 1.500% 06/15/2021 RBS 580,000 175 100 75 0.03Pay 6-Month JPY-LIBOR 2.150% 06/16/2035 BOA 780,000 547 (30) 577 0.11Pay 6-Month JPY-LIBOR 2.150% 06/16/2035 UBS 120,000 84 (5) 89 0.02Pay BRL-CDI-Compounded 11.245% 01/02/2012 RBS BRL 4,200 (12) 0 (12) 0.00Pay BRL-CDI-Compounded 11.250% 01/02/2012 JPM 6,900 (20) 0 (20) 0.00Pay BRL-CDI-Compounded 11.315% 01/02/2012 BCLY 32,500 (77) 0 (77) (0.02)Pay BRL-CDI-Compounded 11.360% 01/02/2012 HSBC 13,100 105 130 (25) 0.02Pay BRL-CDI-Compounded 11.530% 01/02/2012 HSBC 28,100 (38) 20 (58) (0.01)

$ 998 $ 479 $ 519 0.20


Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Sell AUD 109 BNP 01/2011 $ 0 $ (5) $ (5) 0.00Sell 7,189 HSBC 01/2011 0 (211) (211) (0.04)Buy 8,084 RBC 01/2011 243 0 243 0.05Sell 15,393 RBS 01/2011 0 (1,065) (1,065) (0.22)Buy BRL 426 CITI 03/2011 4 0 4 0.00Buy CAD 908 BNP 02/2011 22 0 22 0.01Sell 6,264 DUB 02/2011 0 (79) (79) (0.02)Sell CNY 8,356 BCLY 01/2011 0 (34) (34) (0.01)Buy 11,243 BOA 01/2011 17 0 17 0.00Sell 27,901 CITI 01/2011 0 (114) (114) (0.02)Buy 28,857 HSBC 01/2011 51 0 51 0.01Buy 11,685 JPM 01/2011 19 0 19 0.01Sell 28,654 JPM 01/2011 0 (117) (117) (0.02)Buy 13,126 MSC 01/2011 17 0 17 0.00Buy 4,105 BCLY 04/2011 6 0 6 0.00Sell 24,048 CITI 04/2011 1 (4) (3) 0.00Buy 2,118 CSFB 04/2011 3 0 3 0.00Buy 1,323 HSBC 04/2011 2 0 2 0.00Buy 1,607 JPM 04/2011 2 0 2 0.00Buy 14,894 MSC 04/2011 22 0 22 0.01Buy 12,178 BCLY 06/2011 43 0 43 0.01Buy 8,785 DUB 06/2011 12 (4) 8 0.00Buy 5,396 HSBC 06/2011 23 0 23 0.01Buy 12,821 JPM 06/2011 16 0 16 0.00Buy 21,619 RBS 06/2011 86 0 86 0.02Buy 4,372 BOA 09/2011 16 0 16 0.00Buy 4,303 CITI 09/2011 16 0 16 0.00Buy 14,087 HSBC 09/2011 54 0 54 0.01Buy 28,254 JPM 09/2011 114 0 114 0.02Buy 991 BCLY 11/2011 0 (1) (1) 0.00Buy 5,963 CITI 11/2011 5 0 5 0.00Buy 2,435 JPM 11/2011 0 (2) (2) 0.00Buy 1,477 BCLY 09/2015 3 0 3 0.00Buy 553 BOA 09/2015 2 0 2 0.00Buy 24,448 CITI 09/2015 25 0 25 0.01Buy 492 MSC 09/2015 2 0 2 0.00Buy DKK 6,285 BCLY 02/2011 20 0 20 0.00Buy € 310 BNP 01/2011 9 0 9 0.00Sell 599 BNP 01/2011 0 (13) (13) 0.00Buy 6,652 BOA 01/2011 174 0 174 0.03Buy 164,019 CITI 01/2011 3,279 (208) 3,071 0.62Sell 14,143 CITI 01/2011 319 (28) 291 0.06Buy 4,903 HSBC 01/2011 0 (1) (1) 0.00Buy 18,516 MSC 01/2011 0 (633) (633) (0.13)Sell 5,000 MSC 01/2011 230 0 230 0.05Buy 5,706 RBC 01/2011 47 (102) (55) (0.01)Sell 1,256 RBC 01/2011 0 (6) (6) 0.00


31 December 2010

Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Buy € 80,793 RBS 01/2011 € 1,054 $ (28) $ 1,026 0.21Sell 240,407 RBS 01/2011 8 (7,982) (7,974) (1.62)Buy 13,422 UBS 01/2011 0 (211) (211) (0.04)Sell 1,202 UBS 01/2011 0 (9) (9) 0.00Sell 95,677 CITI 02/2011 0 (1,150) (1,150) (0.23)Sell 79,559 RBS 02/2011 0 (1,053) (1,053) (0.22)Sell £ 25,011 BNP 01/2011 346 0 346 0.07Sell 1,174 CSFB 01/2011 16 0 16 0.00Sell 23,088 DUB 01/2011 327 0 327 0.07Sell 706 BNP 03/2011 0 (11) (11) 0.00Buy IDR 3,600,610 CITI 07/2011 7 0 7 0.00Buy 7,487,440 HSBC 07/2011 18 0 18 0.01Buy 14,738,370 JPM 07/2011 2 0 2 0.00Buy INR 53,110 BCLY 03/2011 2 0 2 0.00Buy 29,000 RBS 03/2011 0 (2) (2) 0.00Buy JPY 23,320 BCLY 01/2011 8 0 8 0.00Sell 759,798 CSFB 01/2011 0 (347) (347) (0.07)Buy 181,086 GSC 01/2011 82 0 82 0.02Sell 235,004 HSBC 01/2011 0 (75) (75) (0.02)Buy 131,293 RBC 01/2011 54 0 54 0.01Buy 215,590 RBS 01/2011 93 0 93 0.02Buy 99,393 UBS 01/2011 26 0 26 0.01Sell 10,000 BNP 03/2011 0 (4) (4) 0.00Buy KRW 1,061,168 BCLY 01/2011 18 0 18 0.00Buy 181,116 HSBC 01/2011 0 (1) (1) 0.00Buy 841,627 JPM 01/2011 5 0 5 0.00Sell 5,714,704 JPM 01/2011 0 (142) (142) (0.03)Buy 3,630,793 MSC 01/2011 0 (3) (3) 0.00Buy 1,360,350 BCLY 05/2011 0 (3) (3) 0.00Buy 2,683,530 CITI 05/2011 4 (3) 1 0.00Buy 76,317 GSC 05/2011 1 0 1 0.00Buy 179,000 HSBC 05/2011 0 (1) (1) 0.00Buy 6,127,604 JPM 05/2011 135 0 135 0.03Buy 359,000 RBS 05/2011 1 0 1 0.00Buy MXN 6,176 BCLY 02/2011 21 0 21 0.00Buy 18,562 JPM 02/2011 54 0 54 0.01Buy 39,539 MSC 02/2011 71 0 71 0.02Buy MYR 10 BCLY 02/2011 0 0 0 0.00Buy 10 CITI 02/2011 0 0 0 0.00Buy 58 DUB 02/2011 0 0 0 0.00Buy 10 RBS 02/2011 0 0 0 0.00Buy NOK 10,480 CITI 02/2011 25 0 25 0.00Buy PHP 13,000 BOA 06/2011 0 (2) (2) 0.00Buy 110,030 CITI 06/2011 19 (10) 9 0.00Buy 29,248 DUB 06/2011 8 0 8 0.00Buy 21,973 HSBC 06/2011 5 0 5 0.00Buy 30,046 JPM 06/2011 8 0 8 0.00Buy 49,302 MSC 06/2011 17 0 17 0.01Buy 32,354 RBS 06/2011 0 (7) (7) 0.00Sell SEK 607 RBC 02/2011 0 0 0 0.00Sell SGD 168 CITI 03/2011 0 (6) (6) 0.00Buy 261 GSC 03/2011 7 0 7 0.00Buy 767 HSBC 03/2011 12 0 12 0.00Buy TWD 75 DUB 01/2011 0 0 0 0.00Sell 75 DUB 01/2011 0 0 0 0.00Buy 88 DUB 04/2011 0 0 0 0.00

$ 7,358 $ (13,677) $ (6,319) (1.28)



DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS


ANZ National Bank3.890% due 01/04/2011 AUD 131 $ 134 0.03BNP Paribas Bank0.080% due 01/03/2011 € 1,634 2,192 0.45Brown Brothers Harriman & Co.0.005% due 01/03/2011 HKD 1 0 0.002.100% due 01/05/2011 NZD 1 1 0.00Deutsche Bank AG0.150% due 01/04/2011 CAD 105 106 0.02



DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

JPMorgan Chase & Co.0.068% due 01/04/2011 £ 250 $ 392 0.08Nordea Bank AB0.030% due 01/03/2011 $ 173 173 0.03Total Overnight Time Deposits $ 2,998 0.61Other Current Assets & Liabilities $ 8,053 1.63Net Assets $ 492,046 100.00


(a) The Global Bond Ex-US Fund is investing in Class Z Income Shares of an affiliated Fund.


(c) Securities with an aggregate market value of $1,511 have been segregated with the Custodian to cover margin requirements for the open futures contracts as at 31 December 2010.


(e) Cash with an aggregate value of $290 has been pledged as collateral for delayed-delivery securities as at 31 December 2010.

(f) Cash of $5,220 has been pledged as collateral for swap, swaption and foreign currency contracts as at 31 December 2010 as governed by International Swaps and Derivative Association, Inc.Master Agreements.



Category3




(Level 2)



Transferable Securities $ 28,768 $ 441,833 $ 18,404 $ 489,005Financial Derivative Instruments4 (394) (7,396) (220) (8,010)Totals $ 28,374 $ 434,437 $ 18,184 $ 480,995


Category3

StartingBalance

at 31-Dec-2009Net

Purchases5Net

Sales5


RealisedGains/

(Losses)




Level 3

EndingBalance at

31-Dec-2010




Transferable Securities $ 5,063 $ 16,257 $ (348) $ (4) $ 0 $ 431 $ (2,995) $ 18,404 $ 184Financial Derivative Instruments4 0 (155) 0 0 0 (65) 0 (220) (65)Totals $ 5,063 $ 16,102 $ (348) $ (4) $ 0 $ 366 $ (2,995) $ 18,184 $ 119


Category3




(Level 2)



Transferable Securities $ 0 $ 621,195 $ 5,063 $ 626,258Financial Derivative Instruments4 (908) 6,306 0 5,398Totals $ (908) $ 627,501 $ 5,063 $ 631,656


Category3

StartingBalance at

31-Dec-2008Net

Purchases5Net

Sales5


RealisedGains/

(Losses)




Level 3

EndingBalance at

31-Dec-2009




Transferable Securities $ 7,150 $ 4,572 $ (5,033) $ 11 $ 658 $ (212) $ (2,083) $ 5,063 $ (189)Financial Derivative Instruments4 417 0 (129) 0 109 (236) (161) 0 0Total $ 7,567 $ 4,572 $ (5,162) $ 11 $ 767 $ (448) $ (2,244) $ 5,063 $ (189)





31 December 2010


Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Sell € 233 BCLY 01/2011 $ 0 $ (5) $ (5) 0.00Sell 6,555 CITI 01/2011 0 (80) (80) (0.02)Buy 62 CSFB 01/2011 1 0 1 0.00Sell 28 RBC 01/2011 0 (1) (1) 0.00Buy 12,141 RBS 01/2011 406 0 406 0.08Sell 5,387 RBS 01/2011 0 (71) (71) (0.01)Sell 28 UBS 01/2011 0 0 0 0.00Buy 6,479 CITI 02/2011 78 0 78 0.02Buy 5,387 RBS 02/2011 71 0 71 0.01

$ 556 $ (157) $ 399 0.08


Significant Changes in Portfolio Composition Global Bond Ex-US Fund

DESCRIPTIONPAR

(000S)COST(000S)


Bundesobligation4.250% due 10/12/2012 € 339,400 $ 484,641

SHARES


PAR(000S)

Japan Government International Bond1.500% due 12/20/2017 JPY 6,900,000 78,205Bundesobligation3.250% due 04/09/2010 € 53,400 72,381Republic of Germany3.250% due 01/04/2020 43,800 58,989Bundesobligation5.250% due 07/04/2010 39,500 52,147Republic of Germany5.250% due 01/04/2011 29,750 42,217Republic of Germany5.625% due 01/04/2028 22,200 37,356Republic of Germany4.250% due 07/04/2017 22,800 34,854Bundesschatzanweisungen4.750% due 06/11/2010 26,700 34,155Republic of Germany4.250% due 07/04/2018 21,800 31,887Bundesobligation2.500% due 02/27/2015 18,940 25,968Bundesobligation3.500% due 04/08/2011 18,800 24,891Bundesschatzanweisungen4.000% due 09/10/2010 18,200 23,848Republic of Germany6.500% due 07/04/2027 13,000 23,444United Kingdom Gilt2.750% due 01/22/2015 £ 14,500 23,111France Government Bond3.500% due 04/25/2020 € 16,400 22,417Republic of Germany3.750% due 01/04/2019 15,400 21,728Bundesschatzanweisungen1.250% due 03/11/2011 14,900 20,064Japan Government International Bond0.200% due 02/15/2012 JPY 1,820,000 20,045Bundesschatzanweisungen2.250% due 10/12/2010 € 16,200 19,881Republic of Germany4.000% due 01/04/2037 13,800 19,023Germany Treasury Bills0.000% due 04/14/2010 13,700 18,699Germany Treasury Bills0.320% due 03/30/2011 14,000 18,158Bundesschatzanweisungen1.500% due 06/10/2011 13,400 17,869Germany Treasury Bills0.000% due 02/23/2011 14,300 17,599Republic of Germany1.250% due 09/16/2011 13,750 17,106Canada Government Bond2.500% due 09/01/2013 CAD 16,900 16,878Republic of Germany4.000% due 01/04/2018 € 10,400 15,212Republic of Germany3.750% due 01/04/2015 9,400 14,486US Treasury Notes2.500% due 06/30/2017 $ 13,997 14,287Republic of Germany5.000% due 07/04/2012 € 9,100 13,467France Treasury Notes3.000% due 01/12/2011 9,300 13,196Republic of Germany5.500% due 01/04/2031 7,400 12,495France Government Bond4.000% due 04/25/2018 8,200 12,385

DESCRIPTIONPAR

(000S)COST(000S)

NCUA Guaranteed Notes0.735% due 05/11/2020 $ 12,000 $ 12,000Treasury Inflation Protected Securities1.250% due 07/15/2020 (b) 9,455 9,942

PROCEEDS(000S)


Bundesobligation4.250% due 10/12/2012 € 339,400 $ 482,671

SHARES


PAR(000S)

Japan Government International Bond1.500% due 12/20/2017 JPY 8,050,000 92,418Bundesobligation3.250% due 04/09/2010 € 53,400 72,369Republic of Germany3.250% due 01/04/2020 43,800 58,922Bundesobligation5.250% due 07/04/2010 39,500 52,133Republic of Germany5.250% due 01/04/2011 29,750 41,667Republic of Germany5.625% due 01/04/2028 22,200 37,347Bundesschatzanweisungen4.750% due 06/11/2010 26,700 34,151Republic of Germany4.250% due 07/04/2017 22,800 33,768Republic of Germany4.250% due 07/04/2018 21,800 33,206Netherlands Government Bond4.500% due 07/15/2017 18,300 28,530Bundesobligation2.500% due 02/27/2015 18,940 25,974Republic of Germany4.000% due 01/04/2037 18,000 25,525Bundesobligation3.500% due 04/08/2011 18,800 24,989Republic of Germany3.750% due 01/04/2019 17,400 24,557Bundesschatzanweisungen4.000% due 09/10/2010 18,200 23,491France Government Bond3.500% due 04/25/2020 16,400 21,817Bundesschatzanweisungen2.250% due 12/10/2010 16,200 21,328Italy Buoni Poliennali Del Tesoro4.250% due 10/15/2012 13,600 20,500Japan Government International Bond0.200% due 02/15/2012 JPY 1,820,000 20,064Bundesschatzanweisungen1.250% due 03/11/2011 € 14900 19,978Germany Treasury Bills0.000% due 04/14/2010 13,700 18,699Republic of Germany5.500% due 01/04/2031 10,800 18,689Germany Treasury Bills0.320% due 03/30/2011 14,000 18,159Bundesschatzanweisungen1.500% due 06/10/2011 13400 17,865Germany Treasury Bills0.000% due 02/23/2011 14300 17,599Republic of Germany6.500% due 07/04/2027 9600 17,231Republic of Germany1.250% due 09/16/2011 13,750 17,106Canada Government Bond2.500% due 09/01/2013 CAD 16,900 16,712Republic of Germany4.000% due 04/01/2018 € 10,400 16,148France Government Bond3.750% due 10/25/2019 11,300 15,677



DESCRIPTIONPAR

(000S)PROCEEDS

(000S)


US Treasury Notes2.500% due 06/30/2017 $ 13,997 $ 14,485Republic of Germany3.750% due 01/04/2015 € 9,400 14,174France Government Bond3.500% due 04/25/2015 9,600 13,796Republic of Germany5.000% due 07/04/2012 9,100 13,113France Treasury Notes3.000% due 01/12/2011 9,300 12,432France Government Bond4.000% due 04/25/2018 8,200 11,698Japan Government International Bond1.700% due 03/20/2017 JPY 990,000 11,348United Kingdom Gilt4.750% due 12/07/2038 £ 6,100 10,421

(a) The Global Bond Ex-US Fund is investing in Class Z Income Shares of an affiliated Fund.





Portfolio of Investments and Assets Global High Yield Bond Fund

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS


AUSTRALIA

FMG Resources August 2006 Pty Ltd.6.875% due 02/01/2018 $ 3,500 $ 3,500 0.167.000% due 11/01/2015 1,600 1,648 0.07

5,148 0.23

BARBADOS

Columbus International, Inc.11.500% due 11/20/2014 3,000 3,345 0.15

BERMUDA

Digicel Group Ltd.10.500% due 04/15/2018 2,900 3,204 0.14Digicel Ltd.8.250% due 09/01/2017 9,500 9,785 0.44

12,989 0.58

BRAZIL

Brazil Notas do Tesouro Nacional Series F10.000% due 01/01/2017 BRL 15,700 8,672 0.39Fibria Overseas Finance Ltd.7.500% due 05/04/2020 $ 3,470 3,661 0.16

12,333 0.55

CANADA

Bombardier, Inc.6.125% due 05/15/2021 € 2,900 3,783 0.177.500% due 03/15/2018 $ 2,900 3,125 0.14Gateway Casinos & Entertainment Ltd.8.875% due 11/15/2017 CAD 2,250 2,341 0.10Harvest Operations Corp.6.875% due 10/01/2017 $ 2,000 2,070 0.09Kinder Morgan Finance Co. ULC5.700% due 01/05/2016 4,150 4,223 0.19Novelis, Inc.8.375% due 12/15/2017 9,000 9,360 0.428.750% due 12/15/2020 10,500 10,946 0.49Precision Drilling Corp.6.625% due 11/15/2020 1,500 1,530 0.07Quebecor Media, Inc.7.750% due 03/15/2016 7,000 7,263 0.32Teck Resources Ltd.10.750% due 05/15/2019 7,000 9,113 0.41Telesat Canada, Inc.11.000% due 11/01/2015 4,500 5,074 0.2312.500% due 11/01/2017 100 118 0.00Trinidad Drilling Ltd.7.875% due 01/15/2019 1,200 1,237 0.06Videotron Ltee6.875% due 01/15/2014 1,000 1,017 0.049.125% due 04/15/2018 2,590 2,901 0.13

64,101 2.86

CAYMAN ISLANDS

MCE Finance Ltd.10.250% due 05/15/2018 4,000 4,605 0.21Seagate HDD Cayman6.875% due 05/01/2020 3,500 3,360 0.157.750% due 12/15/2018 1,000 1,017 0.04Transocean, Inc.1.500% due 12/15/2037 3,500 3,404 0.15UPCB Finance Ltd.7.625% due 01/15/2020 € 6,000 8,492 0.38

20,878 0.93

DENMARK

ISS Holdings8.875% due 05/15/2016 3,000 4,186 0.19

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

EGYPT

Petroleum Export II Ltd.6.340% due 06/20/2011 $ 93 $ 93 0.00

FRANCE

BPCE S.A.9.000% due 03/29/2049 € 3,500 4,648 0.21Cie Generale de Geophysique-Veritas7.500% due 05/15/2015 $ 2,575 2,633 0.127.750% due 05/15/2017 1,000 1,030 0.049.500% due 05/15/2016 975 1,068 0.05Credit Agricole S.A.7.589% due 01/29/2049 £ 1,000 1,417 0.068.375% due 10/29/2049 $ 3,500 3,614 0.169.750% due 06/29/2049 550 581 0.03Crown European Holdings S.A.7.125% due 08/15/2018 € 1,275 1,792 0.08Novasep Holding SAS9.625% due 12/15/2016 2,000 1,905 0.08Picard Bondco S.A.9.000% due 10/01/2018 2,000 2,857 0.13Rexel S.A.8.250% due 12/15/2016 2,700 3,985 0.18Rhodia S.A.3.735% due 10/15/2013 49 66 0.007.000% due 05/15/2018 4,975 7,041 0.31SPCM S.A.8.250% due 06/15/2017 2,500 3,555 0.16

36,192 1.61

GERMANY

Grohe Holding GmbH3.860% due 01/15/2014 5,250 6,850 0.30Hapag-Lloyd AG9.000% due 10/15/2015 2,300 3,309 0.15HeidelbergCement Finance BV7.500% due 04/03/2020 8,000 11,135 0.50

21,294 0.95

IRELAND

Ardagh Packaging Finance PLC7.375% due 10/15/2017 $ 1,500 1,554 0.077.375% due 10/15/2017 € 3,025 4,099 0.189.125% due 10/15/2020 $ 875 914 0.049.250% due 10/15/2020 € 2,250 3,109 0.14Cloverie PLC for Zurich Insurance Co. Ltd.12.000% due

07/29/2049 7,900 12,311 0.55Nara Cable Funding Ltd.8.875% due 12/01/2018 2,500 3,194 0.14

SHARES

PIMCO US Dollar Short-Term Floating NAVFund (a) 14,472,773 144,757 6.45

PAR(000S)

Smurfit Kappa Acquisitions7.250% due 11/15/2017 € 1,000 1,409 0.06Smurfit Kappa Funding PLC7.750% due 04/01/2015 $ 100 103 0.017.750% due 04/01/2015 € 500 684 0.03Smurfit Kappa Treasury Funding Ltd.7.500% due 11/20/2025 $ 350 325 0.02Warner Chilcott Co. LLC7.750% due 09/15/2018 7,000 7,105 0.32

179,564 8.01

ITALY

Intesa Sanpaolo SpA8.047% due 06/29/2049 € 2,000 2,522 0.11Lottomatica SpA8.250% due 03/31/2066 1,500 1,967 0.09

4,489 0.20

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

LUXEMBOURG

Boardriders S.A.8.875% due 12/15/2017 € 2,750 $ 3,874 0.17Cirsa Funding Luxembourg S.A.8.750% due 05/15/2018 1,500 2,073 0.09Codere Finance Luxembourg S.A.8.250% due 06/15/2015 3,750 5,031 0.23Expro Finance Luxembourg S.C.A.8.500% due 12/15/2016 $ 3,500 3,360 0.15Intelsat Jackson Holdings S.A.7.250% due 10/15/2020 9,000 9,135 0.418.500% due 11/01/2019 3,150 3,441 0.159.500% due 06/15/2016 6,000 6,360 0.2811.250% due 06/15/2016 750 812 0.04Intelsat Luxembourg S.A.11.250% due 02/04/2017 2,000 2,190 0.1011.500% due 02/04/2017 (b) 6,160 6,838 0.30OXEA Finance9.625% due 07/15/2017 € 4,500 6,731 0.30Sunrise Communications Holdings S.A.8.500% due 12/31/2018 3,950 5,577 0.25Sunrise Communications International S.A.7.000% due 12/31/2017 475 668 0.037.000% due 12/31/2017 CHF 1,400 1,573 0.07Telenet Finance Luxembourg S.C.A.6.375% due 11/15/2020 € 6,250 8,468 0.38Wind Acquisition Finance S.A.7.250% due 02/15/2018 $ 5,950 6,069 0.277.375% due 02/15/2018 € 1,000 1,352 0.0611.750% due 07/15/2017 8,500 12,714 0.57

86,266 3.85

NETHERLANDS

Carlson Wagonlit BV6.795% due 05/01/2015 1,500 1,942 0.09Conti-Gummi Finance BV6.500% due 01/15/2016 1,675 2,307 0.107.125% due 10/15/2018 7,000 9,637 0.437.500% due 09/15/2017 4,000 5,590 0.258.500% due 07/15/2015 700 1,026 0.05Cooperatieve Centrale Raiffeisen-Boerenleenbank BA11.000% due 06/29/2049 $ 6,000 7,778 0.35EMF-NL1.987% due 07/17/2041 € 2,683 3,068 0.14EN Germany Holdings BV10.750% due 11/15/2015 1,650 2,278 0.10GMAC International Finance BV7.500% due 04/21/2015 7,000 9,766 0.44Hertz Holdings Netherlands BV8.500% due 07/31/2015 1,250 1,819 0.08Impress Holdings BV4.110% due 09/15/2013 500 669 0.039.250% due 09/15/2014 3,400 4,789 0.21ING Groep NV5.775% due 12/29/2049 $ 3,000 2,595 0.12ING Verzekeringen NV6.375% due 05/07/2027 € 2,500 3,052 0.14Intergen NV8.500% due 06/30/2017 250 358 0.019.000% due 06/30/2017 $ 5,225 5,565 0.25NXP BV3.735% due 10/15/2013 € 2,250 2,928 0.138.625% due 10/15/2015 2,000 2,777 0.12OI European Group BV6.750% due 09/15/2020 4,000 5,420 0.246.875% due 03/31/2017 325 456 0.02Sensata Technologies BV8.000% due 05/01/2014 $ 1,882 1,985 0.099.000% due 05/01/2016 € 730 1,014 0.04UPC Holding BV8.000% due 11/01/2016 2,750 3,855 0.178.375% due 08/15/2020 6,500 9,053 0.409.750% due 04/15/2018 4,425 6,426 0.29Ziggo Bond Co. BV8.000% due 05/15/2018 8,400 11,663 0.52


31 December 2010

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Ziggo Finance BV6.125% due 11/15/2017 € 3,950 $ 5,273 0.23

113,089 5.04

SPAIN

Inaer Aviation Finance Ltd.9.500% due 08/01/2017 3,500 4,508 0.20

SWITZERLAND

Transocean, Inc.6.500% due 11/15/2020 $ 1,500 1,596 0.07UBS AG7.152% due 12/29/2049 € 2,050 2,750 0.12

4,346 0.19

UNITED KINGDOM

Barclays Bank PLC7.434% due 09/29/2049 $ 2,900 2,864 0.1314.000% due 11/29/2049 £ 4,000 7,546 0.33FCE Bank PLC5.125% due 11/16/2015 3,000 4,568 0.207.125% due 01/15/2013 € 4,000 5,621 0.259.375% due 01/17/2014 4,000 5,990 0.27HBOS PLC1.189% due 03/29/2016 200 233 0.011.327% due 09/01/2016 1,000 1,135 0.056.750% due 05/21/2018 $ 1,500 1,406 0.06Ineos Finance PLC9.000% due 05/15/2015 3,800 4,061 0.189.250% due 05/15/2015 € 1,300 1,862 0.08Ineos Group Holdings PLC7.875% due 02/15/2016 5,500 6,641 0.308.500% due 02/15/2016 $ 1,925 1,843 0.08ISS Financing PLC11.000% due 06/15/2014 € 2,750 4,067 0.18Kerling PLC10.625% due 02/01/2017 1,250 1,820 0.08LBG Capital No.1 PLC6.439% due 05/23/2020 1,350 1,467 0.077.625% due 10/14/2020 400 470 0.027.869% due 08/25/2020 £ 725 999 0.057.875% due 11/01/2020 $ 1,050 961 0.048.500% due 12/29/2049 1,125 995 0.0411.040% due 03/19/2020 £ 575 918 0.04LBG Capital No.2 PLC6.385% due 05/12/2020 € 300 328 0.019.125% due 07/15/2020 £ 1,000 1,448 0.0715.000% due 12/21/2019 2,000 3,992 0.18Lloyds TSB Bank PLC6.350% due 10/29/2049 € 5,000 6,104 0.27Rexam PLC6.750% due 06/29/2067 2,000 2,616 0.12Royal Bank of Scotland Group PLC5.000% due 10/01/2014 $ 5,350 5,151 0.236.990% due 10/29/2049 1,175 911 0.047.640% due 03/29/2049 900 603 0.037.648% due 08/29/2049 1,250 1,052 0.059.118% due 03/29/2049 750 742 0.03Virgin Media Finance PLC9.500% due 08/15/2016 3,000 3,405 0.159.500% due 08/15/2016 € 500 768 0.04Virgin Media Secured Finance PLC6.500% due 01/15/2018 $ 3,000 3,172 0.14

85,759 3.82

UNITED STATES


Argent Securities, Inc.1.311% due 12/25/2033 75 62 0.00Credit-Based Asset Servicing & Securitization LLC5.369% due 01/25/2037 400 190 0.01MASTR Asset-Backed Securities Trust0.471% due 11/25/2036 99 45 0.00Merrill Lynch First Franklin Mortgage Loan Trust0.381% due 07/25/2037 900 556 0.02

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Morgan Stanley ABS Capital I0.401% due 05/25/2037 $ 100 $ 40 0.00Structured Asset Securities Corp.0.411% due 05/25/2037 210 192 0.010.561% due 06/25/2035 581 409 0.02

1,494 0.06


AGFS Funding7.250% due 04/21/2015 4,000 4,061 0.18Community Health Systems, Inc.2.549% due 07/25/2014 2,000 1,954 0.09DaVita, Inc.4.500% due 10/20/2016 4,000 4,043 0.18Dex Media West LLC7.000% due 10/24/2014 299 273 0.01First Data Corp.3.011% due 09/24/2014 3,415 3,159 0.14Goodman Global Group, Inc.5.750% due 10/28/2016 1,496 1,506 0.07HCA, Inc.2.553% due 11/17/2013 2,000 1,983 0.09Intelsat Corp.5.250% due 04/03/2018 2,500 2,528 0.11Newsday LLC10.500% due 08/01/2013 1,000 1,071 0.05Novelis, Inc.5.000% due 12/14/2016 1,000 1,014 0.05Texas Competitive Electric Holdings Co. LLC3.764% due 10/10/2014 14,356 11,090 0.49Univision Communications, Inc.2.511% due 09/29/2014 3,573 3,420 0.15Visant Corp.7.000% due 12/22/2016 998 1,010 0.04

37,112 1.65

SHARES

COMMON STOCKS

Dex One Corp. 16,060 120 0.00Hawaiian Telcom Holdco,

Inc. 1,378 10 0.00SemGroup Corp., Class A 3,635 99 0.00SemGroup Corp., Warrants 3,826 30 0.00

259 0.00

PAR(000S)


Chesapeake Energy Corp.2.250% due 12/15/2038 $ 4,750 3,723 0.17


Actuant Corp.6.875% due 06/15/2017 435 447 0.02Advanced Micro Devices, Inc.7.750% due 08/01/2020 4,500 4,691 0.21AES Corp.7.750% due 10/15/2015 3,750 4,022 0.188.000% due 10/15/2017 11,000 11,687 0.528.000% due 06/01/2020 3,000 3,195 0.14AES Ironwood LLC8.857% due 11/30/2025 1,914 1,914 0.09AES Red Oak LLC8.540% due 11/30/2019 1,871 1,871 0.089.200% due 11/30/2029 400 393 0.02Affinion Group, Inc.7.875% due 12/15/2018 5,000 4,900 0.22Alcoa, Inc.5.950% due 02/01/2037 2,000 1,880 0.08Alere, Inc.8.625% due 10/01/2018 4,000 4,070 0.18Allison Transmission, Inc.11.000% due 11/01/2015 1,160 1,270 0.06

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Ally Financial, Inc.6.250% due 12/01/2017 $ 5,000 $ 5,006 0.226.625% due 05/15/2012 1,250 1,289 0.066.750% due 12/01/2014 500 525 0.026.875% due 09/15/2011 900 929 0.046.875% due 08/28/2012 300 313 0.017.500% due 12/31/2013 4,000 4,330 0.197.500% due 09/15/2020 3,500 3,688 0.178.000% due 03/15/2020 3,000 3,285 0.158.000% due 11/01/2031 5,450 5,845 0.268.300% due 02/12/2015 6,500 7,166 0.32American Achievement Corp.10.875% due 04/15/2016 1,200 1,233 0.06American Airlines Pass-Through Trust 2001-026.978% due 04/01/2011 31 31 0.00American General Finance Corp.4.875% due 07/15/2012 3,000 2,839 0.13American International Group, Inc.1.168% due 07/19/2013 € 1,350 1,697 0.085.600% due 10/18/2016 $ 2,875 2,976 0.135.850% due 01/16/2018 4,150 4,292 0.198.000% due 05/22/2038 € 1,000 1,301 0.068.250% due 08/15/2018 $ 7,000 8,088 0.368.625% due 05/22/2038 £ 6,250 9,687 0.43American Renal Holdings8.375% due 05/15/2018 $ 1,125 1,159 0.05American Stores Co.7.100% due 03/20/2028 100 77 0.007.900% due 05/01/2017 750 709 0.038.000% due 06/01/2026 1,790 1,539 0.07AmeriGas Partners LP7.125% due 05/20/2016 4,335 4,508 0.20AMGH Merger Sub, Inc.9.250% due 11/01/2018 5,000 5,275 0.24Amsted Industries, Inc.8.125% due 03/15/2018 1,000 1,066 0.05Anadarko Petroleum Corp.6.200% due 03/15/2040 500 490 0.026.450% due 09/15/2036 4,250 4,252 0.19Antero Resources Finance Corp.9.375% due 12/01/2017 2,250 2,365 0.11ARAMARK Corp.3.787% due 02/01/2015 2,630 2,584 0.118.500% due 02/01/2015 1,000 1,050 0.05Arch Coal, Inc.7.250% due 10/01/2020 1,000 1,060 0.05Associated Materials LLC9.125% due 11/01/2017 5,000 5,237 0.23Aviation Capital Group7.125% due 10/15/2020 4,000 4,081 0.18BAC Capital Trust VI5.625% due 03/08/2035 900 764 0.03BAC Capital Trust VII5.250% due 08/10/2035 £ 5,250 5,589 0.25BAC Capital Trust XI6.625% due 05/23/2036 $ 4,000 3,851 0.17BankAmerica Institutional Capital B7.700% due 12/31/2026 600 604 0.03Bausch & Lomb, Inc.9.875% due 11/01/2015 4,000 4,300 0.19BE Aerospace, Inc.6.875% due 10/01/2020 3,500 3,631 0.16Berry Petroleum Co.6.750% due 11/01/2020 3,075 3,098 0.1410.250% due 06/01/2014 1,300 1,498 0.06Berry Plastics Corp.5.039% due 02/15/2015 3,500 3,395 0.159.500% due 05/15/2018 1,500 1,511 0.079.750% due 01/15/2021 5,000 4,975 0.22Biomet, Inc.10.000% due 10/15/2017 4,500 4,939 0.2210.375% due 10/15/2017 (b) 4,500 4,938 0.2211.625% due 10/15/2017 14,000 15,540 0.69Brickman Group Holdings, Inc.9.125% due 11/01/2018 2,100 2,137 0.10Briggs & Stratton Corp.6.875% due 12/15/2020 2,500 2,562 0.11


Portfolio of Investments and Assets Global High Yield Bond Fund (Cont.)

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Brocade Communications Systems, Inc.6.625% due 01/15/2018 $ 2,000 $ 2,115 0.096.875% due 01/15/2020 3,750 4,012 0.18Buccaneer Merger Sub, Inc.9.125% due 01/15/2019 3,000 3,094 0.14Buffalo Thunder Development Authority9.375% due 12/15/2014 (c) 200 58 0.00Building Materials Corp. of America6.875% due 08/15/2018 2,000 1,990 0.097.500% due 03/15/2020 2,500 2,556 0.11Bumble Bee Acquisition Corp.9.000% due 12/15/2017 4,500 4,703 0.21Cablevision Systems Corp.7.750% due 04/15/2018 1,325 1,395 0.068.000% due 04/15/2020 2,500 2,687 0.12Caesars Entertainment Operating Co., Inc.10.000% due 12/15/2018 6,250 5,734 0.2611.250% due 06/01/2017 5,000 5,650 0.25Calpine Corp.7.500% due 02/15/2021 6,250 6,188 0.287.875% due 07/31/2020 5,500 5,596 0.25Capella Healthcare, Inc.9.250% due 07/01/2017 2,250 2,391 0.11Capital One Capital V10.250% due 08/15/2039 3,300 3,552 0.16Capital One Capital VI8.875% due 05/15/2040 3,000 3,146 0.14Case New Holland, Inc.7.875% due 12/01/2017 3,750 4,116 0.18Catalent Pharma Solutions, Inc.9.750% due 04/15/2017 € 4,000 5,366 0.24CCO Holdings LLC7.875% due 04/30/2018 $ 2,125 2,210 0.108.125% due 04/30/2020 2,625 2,776 0.12Celanese US Holdings LLC6.625% due 10/15/2018 2,000 2,070 0.09CF Industries, Inc.6.875% due 05/01/2018 2,750 2,949 0.137.125% due 05/01/2020 1,350 1,482 0.07Chart Industries, Inc.9.125% due 10/15/2015 1,115 1,154 0.05Charter Communications Operating LLC8.000% due 04/30/2012 1,800 1,899 0.0810.875% due 09/15/2014 2,000 2,245 0.10Chemtura Corp.7.875% due 09/01/2018 2,250 2,396 0.11Chesapeake Energy Corp.6.250% due 01/15/2017 € 1,650 2,238 0.106.500% due 08/15/2017 $ 250 253 0.016.625% due 08/15/2020 1,500 1,485 0.077.250% due 12/15/2018 4,000 4,160 0.189.500% due 02/15/2015 6,875 7,786 0.35CIT Group, Inc.7.000% due 05/01/2013 3,000 3,068 0.147.000% due 05/01/2014 6,883 6,969 0.317.000% due 05/01/2015 11,583 11,640 0.527.000% due 05/01/2016 18,538 18,654 0.837.000% due 05/01/2017 5,293 5,319 0.24Citadel Broadcasting Corp.7.750% due 12/15/2018 1,250 1,300 0.06Citigroup Capital XXI8.300% due 12/21/2057 1,350 1,411 0.06Citigroup, Inc.0.572% due 06/09/2016 1,000 894 0.04Clear Channel Worldwide Holdings, Inc.9.250% due 12/15/2017 11,250 12,337 0.55Clearwater Paper Corp.7.125% due 11/01/2018 900 934 0.04CMS Energy Corp.6.250% due 02/01/2020 500 513 0.028.750% due 06/15/2019 475 561 0.03Community Health Systems, Inc.8.875% due 07/15/2015 14,250 14,998 0.67Concho Resources, Inc.7.000% due 01/15/2021 2,000 2,055 0.09

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Consol Energy, Inc.8.000% due 04/01/2017 $ 6,000 $ 6,420 0.298.250% due 04/01/2020 2,975 3,228 0.14Constellation Brands, Inc.7.250% due 09/01/2016 3,750 3,994 0.187.250% due 05/15/2017 1,000 1,063 0.05Continental Airlines 2001-1 Class B

Pass-Through Trust7.373% due 12/15/2015 730 729 0.03Continental Airlines 2005-ERJ1 Pass-Through Trust9.798% due 04/01/2021 59 60 0.00Continental Airlines 2009-1 Class A

Pass-Through Trust9.000% due 07/08/2016 2,879 3,296 0.15Continental Resources, Inc.7.125% due 04/01/2021 1,500 1,582 0.077.375% due 10/01/2020 1,500 1,598 0.078.250% due 10/01/2019 1,500 1,673 0.08Cooper-Standard Automotive, Inc.8.500% due 05/01/2018 5,000 5,325 0.24Corrections Corp. of America7.750% due 06/01/2017 1,750 1,866 0.08Cott Beverages, Inc.8.125% due 09/01/2018 2,000 2,165 0.10Countrywide Capital III8.050% due 06/15/2027 3,050 3,199 0.14Covanta Holding Corp.7.250% due 12/01/2020 1,500 1,528 0.07Crown Americas LLC7.625% due 05/15/2017 2,850 3,064 0.147.750% due 11/15/2015 225 235 0.01Crown Castle International Corp.7.125% due 11/01/2019 3,000 3,187 0.149.000% due 01/15/2015 2,350 2,603 0.12CSC Holdings LLC7.625% due 07/15/2018 5,000 5,450 0.247.875% due 02/15/2018 6,000 6,705 0.308.500% due 04/15/2014 500 552 0.038.500% due 06/15/2015 1,625 1,771 0.088.625% due 02/15/2019 7,175 8,144 0.36Darling International, Inc.8.500% due 12/15/2018 1,750 1,833 0.08DaVita, Inc.6.375% due 11/01/2018 4,000 3,990 0.186.625% due 11/01/2020 4,000 3,970 0.18Delta Air Lines 2001-1 Class B Pass-Through Trust7.711% due 09/18/2011 150 154 0.01Delta Air Lines, Inc.9.500% due 09/15/2014 1,342 1,468 0.07Denbury Resources, Inc.8.250% due 02/15/2020 3,750 4,087 0.189.750% due 03/01/2016 250 280 0.01Dex One Corp.12.000% due 01/29/2017 (b) 229 157 0.01DISH DBS Corp.6.625% due 10/01/2014 2,525 2,626 0.127.000% due 10/01/2013 1,000 1,073 0.057.125% due 02/01/2016 11,315 11,739 0.527.750% due 05/31/2015 3,750 4,003 0.187.875% due 09/01/2019 8,000 8,400 0.37Diversey, Inc.8.250% due 11/15/2019 2,500 2,725 0.12DJO Finance LLC9.750% due 10/15/2017 3,600 3,726 0.17Dole Food Co., Inc.8.000% due 10/01/2016 2,000 2,120 0.0913.875% due 03/15/2014 (e) 2,000 2,455 0.11Dynegy Holdings, Inc.7.125% due 05/15/2018 300 192 0.01Dynegy Roseton7.670% due 11/08/2016 1,050 987 0.04El Paso Corp.6.500% due 09/15/2020 75 76 0.006.950% due 06/01/2028 2,050 1,904 0.097.000% due 06/15/2017 800 848 0.047.250% due 06/01/2018 1,425 1,533 0.077.750% due 01/15/2032 4,397 4,396 0.207.800% due 08/01/2031 1,000 1,000 0.048.050% due 10/15/2030 3,990 4,068 0.18

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

El Paso Pipeline Partners Operating Co. LLC6.500% due 04/01/2020 $ 1,400 $ 1,476 0.07Endo Pharmaceuticals Holdings, Inc.7.000% due 12/15/2020 1,900 1,947 0.09Energy Future Intermediate Holding Co. LLC9.750% due 10/15/2019 2,212 2,242 0.1010.000% due 12/01/2020 8,750 9,067 0.40Energy Transfer Equity LP7.500% due 10/15/2020 3,625 3,752 0.17Enterprise Products Operating LLC7.034% due 01/15/2068 150 156 0.018.375% due 08/01/2066 5,000 5,375 0.24Entravision Communications Corp.8.750% due 08/01/2017 3,950 4,187 0.19Exterran Holdings, Inc.7.250% due 12/01/2018 4,200 4,190 0.19Ferro Corp.7.875% due 08/15/2018 1,400 1,484 0.07Fidelity National Information Services, Inc.7.625% due 07/15/2017 1,750 1,851 0.08First Data Corp.8.250% due 01/15/2021 3,062 2,955 0.139.875% due 09/24/2015 126 121 0.0112.625% due 01/15/2021 562 539 0.02Ford Motor Co.6.375% due 02/01/2029 200 191 0.017.500% due 08/01/2026 1,375 1,396 0.06Ford Motor Credit Co. LLC3.039% due 01/13/2012 2,000 2,020 0.095.625% due 09/15/2015 1,500 1,555 0.076.625% due 08/15/2017 6,000 6,314 0.287.000% due 10/01/2013 7,500 8,046 0.367.000% due 04/15/2015 2,000 2,151 0.107.800% due 06/01/2012 4,610 4,903 0.228.000% due 06/01/2014 500 551 0.028.000% due 12/15/2016 10,675 11,943 0.538.125% due 01/15/2020 3,750 4,370 0.208.700% due 10/01/2014 5,000 5,635 0.259.875% due 08/10/2011 1,400 1,458 0.0712.000% due 05/15/2015 2,400 3,022 0.13Forest Oil Corp.7.250% due 06/15/2019 2,500 2,550 0.128.500% due 02/15/2014 3,300 3,622 0.16Frac Tech Services LLC7.125% due 11/15/2018 1,275 1,297 0.06Freeport-McMoRan Copper & Gold, Inc.8.375% due 04/01/2017 2,600 2,880 0.13Fresenius Medical Care Capital Trust IV7.875% due 06/15/2011 300 307 0.01Fresenius U.S. Finance II, Inc.9.000% due 07/15/2015 4,500 5,175 0.23Frontier Communications Corp.6.625% due 03/15/2015 775 814 0.047.000% due 11/01/2025 930 869 0.047.125% due 03/15/2019 2,500 2,581 0.117.450% due 07/01/2035 200 178 0.017.875% due 04/15/2015 725 796 0.038.125% due 10/01/2018 2,000 2,205 0.108.250% due 05/01/2014 1,025 1,140 0.058.250% due 04/15/2017 3,500 3,859 0.178.500% due 04/15/2020 1,000 1,097 0.059.000% due 08/15/2031 5,375 5,550 0.25General Nutrition Centers, Inc.5.750% due 03/15/2014 (b) 3,750 3,731 0.17GenOn Energy, Inc.7.875% due 06/15/2017 1,000 975 0.04Georgia-Pacific LLC5.400% due 11/01/2020 4,000 3,962 0.187.125% due 01/15/2017 975 1,043 0.057.250% due 06/01/2028 535 582 0.037.375% due 12/01/2025 500 542 0.027.700% due 06/15/2015 3,927 4,516 0.208.000% due 01/15/2024 7,706 8,843 0.398.250% due 05/01/2016 3,875 4,393 0.208.875% due 05/15/2031 2,100 2,594 0.11Goodyear Tire & Rubber Co.8.250% due 08/15/2020 3,000 3,120 0.1410.500% due 05/15/2016 1,725 1,975 0.09


31 December 2010

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Graham Packaging Co. LP8.250% due 01/01/2017 $ 3,000 $ 3,135 0.148.250% due 10/01/2018 500 528 0.02Graphic Packaging International, Inc.7.875% due 10/01/2018 3,000 3,157 0.149.500% due 06/15/2017 3,000 3,289 0.15HCA Holdings, Inc.7.750% due 05/15/2021 5,000 5,013 0.22HCA, Inc.7.250% due 09/15/2020 5,925 6,221 0.287.875% due 02/15/2020 6,150 6,611 0.298.500% due 04/15/2019 4,450 4,895 0.229.125% due 11/15/2014 4,000 4,205 0.199.250% due 11/15/2016 12,500 13,367 0.599.625% due 11/15/2016 (b) 14,271 15,324 0.689.875% due 02/15/2017 150 166 0.01Hertz Corp.7.375% due 01/15/2021 6,500 6,597 0.297.500% due 10/15/2018 1,000 1,043 0.05Hexion US Finance Corp.8.875% due 02/01/2018 6,500 6,979 0.319.000% due 11/15/2020 7,000 7,420 0.33Homer City Funding LLC8.137% due 10/01/2019 315 299 0.01Host Hotels & Resorts, Inc.6.000% due 11/01/2020 4,575 4,529 0.20HSBC Finance Capital Trust IX5.911% due 11/30/2035 3,400 3,162 0.14Huntsman International LLC5.500% due 06/30/2016 1,000 972 0.048.625% due 03/15/2020 3,175 3,469 0.158.625% due 03/15/2021 3,000 3,255 0.15ILFC E-Capital Trust II6.250% due 12/21/2065 2,000 1,570 0.07Inergy LP7.000% due 10/01/2018 1,475 1,493 0.07ING Capital Funding Trust III3.903% due 12/29/2049 5,000 4,638 0.21Insight Communications Co., Inc.9.375% due 07/15/2018 5,000 5,350 0.24Intelsat Corp.9.250% due 08/15/2014 1,750 1,811 0.089.250% due 06/15/2016 3,060 3,320 0.15Interactive Data Corp.10.250% due 08/01/2018 3,250 3,575 0.16Interline Brands, Inc.7.000% due 11/15/2018 825 841 0.04International Lease Finance Corp.4.950% due 02/01/2011 600 603 0.035.450% due 03/24/2011 2,000 2,015 0.095.550% due 09/05/2012 4,500 4,573 0.205.875% due 05/01/2013 500 508 0.026.750% due 09/01/2016 2,400 2,574 0.127.125% due 09/01/2018 3,750 4,003 0.188.250% due 12/15/2020 3,500 3,609 0.168.625% due 09/15/2015 7,000 7,543 0.348.750% due 03/15/2017 6,500 6,988 0.31inVentiv Health, Inc.10.000% due 08/15/2018 2,000 2,010 0.09Ipalco Enterprises, Inc.7.250% due 04/01/2016 650 697 0.03Jarden Corp.6.125% due 11/15/2022 1,500 1,438 0.067.500% due 05/01/2017 3,500 3,706 0.177.500% due 01/15/2020 € 2,000 2,763 0.12JC Penney Corp., Inc.7.125% due 11/15/2023 $ 275 285 0.017.950% due 04/01/2017 3,250 3,559 0.16Kansas City Southern Railway8.000% due 06/01/2015 425 459 0.02KCS Energy, Inc.7.125% due 04/01/2012 2,000 2,010 0.09Kinder Morgan Finance Co. LLC6.000% due 01/15/2018 3,500 3,456 0.15Lamar Media Corp.7.875% due 04/15/2018 2,500 2,669 0.12

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Lear Corp.7.875% due 03/15/2018 $ 1,225 $ 1,317 0.06Lehman Brothers Holdings, Inc. (c)0.000% due 03/23/2009 8,400 1,964 0.090.000% due 05/25/2010 14,200 3,319 0.156.750% due 12/28/2024 375 0 0.007.500% due 12/28/2024 775 0 0.00Lender Processing Services, Inc.8.125% due 07/01/2016 2,850 2,936 0.13Levi Strauss & Co.7.625% due 05/15/2020 2,000 2,075 0.097.750% due 05/15/2018 € 750 1,029 0.05LifePoint Hospitals, Inc.6.625% due 10/01/2020 $ 4,000 3,990 0.18LIN Television Corp.6.500% due 05/15/2013 1,250 1,256 0.058.375% due 04/15/2018 2,500 2,663 0.12Linn Energy LLC7.750% due 02/01/2021 2,500 2,575 0.128.625% due 04/15/2020 4,000 4,330 0.19Live Nation Entertainment, Inc.8.125% due 05/15/2018 1,750 1,781 0.08Lyondell Chemical Co.8.000% due 11/01/2017 7,199 7,982 0.3611.000% due 05/01/2018 10,925 12,427 0.55Manitowoc Co., Inc.8.500% due 11/01/2020 4,000 4,270 0.19Mantech International Corp.7.250% due 04/15/2018 2,325 2,441 0.11Marina District Finance Co., Inc.9.500% due 10/15/2015 600 593 0.039.875% due 08/15/2018 1,250 1,237 0.05MarkWest Energy Partners LP6.750% due 11/01/2020 1,200 1,206 0.05McJunkin Red Man Corp.9.500% due 12/15/2016 2,000 1,900 0.08MedAssets, Inc.8.000% due 11/15/2018 2,700 2,727 0.12MetroPCS Wireless, Inc.6.625% due 11/15/2020 5,000 4,775 0.21MGM Resorts International6.625% due 07/15/2015 500 461 0.026.875% due 04/01/2016 300 269 0.017.500% due 06/01/2016 3,000 2,820 0.139.000% due 03/15/2020 1,500 1,657 0.0710.000% due 11/01/2016 3,000 3,090 0.1410.375% due 05/15/2014 2,000 2,255 0.1011.125% due 11/15/2017 2,025 2,339 0.1113.000% due 11/15/2013 1,950 2,316 0.10Michael Foods, Inc.9.750% due 07/15/2018 5,000 5,488 0.24Michaels Stores, Inc.7.750% due 11/01/2018 6,000 6,015 0.27Midwest Generation LLC8.560% due 01/02/2016 4,096 4,137 0.18Momentive Performance Materials, Inc.9.000% due 01/15/2021 1,400 1,480 0.07Mueller Water Products, Inc.8.750% due 09/01/2020 1,350 1,498 0.07Mylan, Inc.6.000% due 11/15/2018 2,000 1,970 0.097.625% due 07/15/2017 2,000 2,138 0.097.875% due 07/15/2020 3,250 3,518 0.16Nalco Co.6.625% due 01/15/2019 1,000 1,028 0.056.875% due 01/15/2019 € 1,500 2,085 0.09NB Capital Trust IV8.250% due 04/15/2027 $ 1,675 1,708 0.08NBTY, Inc.9.000% due 10/01/2018 4,300 4,612 0.21New Albertsons, Inc.7.450% due 08/01/2029 3,425 2,586 0.127.500% due 02/15/2011 11 11 0.00Newfield Exploration Co.6.625% due 04/15/2016 1,000 1,032 0.056.875% due 02/01/2020 3,300 3,490 0.157.125% due 05/15/2018 2,700 2,855 0.13

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

NFR Energy LLC9.750% due 02/15/2017 $ 4,500 $ 4,466 0.20Nielsen Finance LLC7.750% due 10/15/2018 7,500 7,800 0.3511.500% due 05/01/2016 4,000 4,640 0.2111.625% due 02/01/2014 1,000 1,163 0.05NPC International, Inc.9.500% due 05/01/2014 955 981 0.04NRG Energy, Inc.7.250% due 02/01/2014 2,250 2,301 0.107.375% due 02/01/2016 5,000 5,138 0.237.375% due 01/15/2017 6,000 6,195 0.278.250% due 09/01/2020 8,500 8,755 0.398.500% due 06/15/2019 1,000 1,037 0.05NSG Holdings LLC7.750% due 12/15/2025 4,600 4,301 0.19Oshkosh Corp.8.250% due 03/01/2017 375 410 0.028.500% due 03/01/2020 475 523 0.02Owens-Brockway Glass Container, Inc.6.750% due 12/01/2014 € 900 1,241 0.06Pacific Life Insurance Co.9.250% due 06/15/2039 $ 4,000 5,260 0.23Parker Drilling Co.9.125% due 04/01/2018 2,750 2,888 0.13Peabody Energy Corp.6.500% due 09/15/2020 825 885 0.047.875% due 11/01/2026 2,300 2,507 0.11Petco Animal Supplies, Inc.9.250% due 12/01/2018 3,225 3,414 0.15Petrohawk Energy Corp.7.250% due 08/15/2018 4,000 4,060 0.18PHH Corp.9.250% due 03/01/2016 1,250 1,325 0.06Phillips-Van Heusen Corp.7.375% due 05/15/2020 3,250 3,469 0.15Pilgrim’s Pride Corp.7.875% due 12/15/2018 5,500 5,500 0.25Pinafore LLC9.000% due 10/01/2018 7,000 7,595 0.34Pinnacle Entertainment, Inc.8.750% due 05/15/2020 2,500 2,600 0.12Pinnacle Foods Finance LLC8.250% due 09/01/2017 10,000 10,275 0.46Pioneer Natural Resources Co.7.500% due 01/15/2020 2,000 2,206 0.10Plains Exploration & Production Co.7.000% due 03/15/2017 1,500 1,549 0.077.625% due 06/01/2018 500 529 0.027.625% due 04/01/2020 4,000 4,235 0.19Polypore International, Inc.7.500% due 11/15/2017 1,500 1,538 0.07Pregis Corp.5.985% due 04/15/2013 € 3,500 4,296 0.19Prestige Brands, Inc.8.250% due 04/01/2018 $ 2,350 2,444 0.11Puget Energy, Inc.6.500% due 12/15/2020 5,000 4,926 0.22QEP Resources, Inc.6.875% due 03/01/2021 1,250 1,319 0.06Quicksilver Resources, Inc.9.125% due 08/15/2019 3,610 3,980 0.1811.750% due 01/01/2016 1,500 1,755 0.08Quintiles Transnational Corp.9.500% due 12/30/2014 (b) 2,900 2,980 0.13QVC, Inc.7.125% due 04/15/2017 1,500 1,579 0.077.375% due 10/15/2020 2,000 2,105 0.097.500% due 10/01/2019 1,000 1,057 0.05Qwest Capital Funding, Inc.7.625% due 08/03/2021 200 199 0.01Qwest Communications International, Inc.7.125% due 04/01/2018 2,500 2,600 0.127.500% due 02/15/2014 3,597 3,660 0.168.000% due 10/01/2015 800 864 0.04



DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Qwest Corp.7.250% due 09/15/2025 $ 500 $ 528 0.02Radiation Therapy Services, Inc.9.875% due 04/15/2017 2,000 2,005 0.09Rain CII Carbon LLC & CII Carbon Corp.8.000% due 12/01/2018 2,250 2,317 0.10Range Resources Corp.6.750% due 08/01/2020 3,000 3,109 0.147.250% due 05/01/2018 800 848 0.047.500% due 05/15/2016 500 521 0.027.500% due 10/01/2017 350 371 0.02RBS Global, Inc.8.500% due 05/01/2018 14,000 14,945 0.67Regency Energy Partners LP6.875% due 12/01/2018 2,975 3,027 0.14Regions Financial Corp.7.375% due 12/10/2037 8,250 7,796 0.35Reliant Energy Mid-Atlantic Power Holdings LLC9.237% due 07/02/2017 272 294 0.019.681% due 07/02/2026 350 373 0.02Rent-A-Center, Inc.6.625% due 11/15/2020 2,800 2,800 0.12Reynolds Group Issuer, Inc.7.125% due 04/15/2019 7,000 7,158 0.327.750% due 10/15/2016 1,000 1,062 0.057.750% due 10/15/2016 € 2,750 3,874 0.178.000% due 12/15/2016 2,000 2,700 0.128.500% due 05/15/2018 $ 4,500 4,545 0.209.000% due 04/15/2019 7,500 7,809 0.359.500% due 06/15/2017 € 2,500 3,438 0.15Roadhouse Financing, Inc.10.750% due 10/15/2017 $ 3,000 3,255 0.15Rockwood Specialties Group, Inc.7.500% due 11/15/2014 1,245 1,282 0.067.625% due 11/15/2014 € 800 1,100 0.05Roofing Supply Group LLC8.625% due 12/01/2017 $ 1,750 1,811 0.08Ryland Group, Inc.6.625% due 05/01/2020 1,000 990 0.04SandRidge Energy, Inc.3.928% due 04/01/2014 450 419 0.028.000% due 06/01/2018 1,400 1,428 0.068.625% due 04/01/2015 (b) 5,000 5,144 0.238.750% due 01/15/2020 3,500 3,614 0.16Scientific Games Corp.8.125% due 09/15/2018 1,500 1,519 0.07Scientific Games International, Inc.9.250% due 06/15/2019 1,000 1,038 0.05Scotts Miracle-Gro Co.6.625% due 12/15/2020 1,250 1,256 0.067.250% due 01/15/2018 500 528 0.02Seminole Indian Tribe of Florida7.750% due 10/01/2017 875 908 0.04Seneca Gaming Corp.8.250% due 12/01/2018 2,350 2,368 0.11Simmons Foods, Inc.10.500% due 11/01/2017 1,750 1,877 0.08Sithe Independence Funding Corp.9.000% due 12/30/2013 606 629 0.03SLM Corp.5.050% due 11/14/2014 150 143 0.018.000% due 03/25/2020 2,000 2,031 0.098.450% due 06/15/2018 3,300 3,435 0.15Smithfield Foods, Inc.7.750% due 07/01/2017 7,000 7,315 0.33Solutia, Inc.7.875% due 03/15/2020 2,500 2,688 0.12Sonat, Inc.7.000% due 02/01/2018 400 421 0.027.625% due 07/15/2011 75 77 0.00Spectrum Brands Holdings, Inc.9.500% due 06/15/2018 7,000 7,700 0.34Sprint Capital Corp.6.900% due 05/01/2019 16,000 15,880 0.718.375% due 03/15/2012 700 744 0.038.750% due 03/15/2032 3,525 3,578 0.16

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Sprint Nextel Corp.6.000% due 12/01/2016 $ 10,000 $ 9,713 0.448.375% due 08/15/2017 11,500 12,391 0.55SPX Corp.6.875% due 09/01/2017 3,250 3,469 0.15Starwood Hotels & Resorts Worldwide, Inc.6.750% due 05/15/2018 1,275 1,402 0.06Steel Dynamics, Inc.6.750% due 04/01/2015 200 204 0.017.375% due 11/01/2012 250 265 0.017.625% due 03/15/2020 1,250 1,344 0.067.750% due 04/15/2016 1,050 1,110 0.05Suburban Propane Partners LP7.375% due 03/15/2020 625 670 0.03SunGard Data Systems, Inc.7.375% due 11/15/2018 4,000 4,040 0.187.625% due 11/15/2020 5,500 5,596 0.2510.625% due 05/15/2015 2,325 2,575 0.11SUPERVALU, Inc.7.500% due 11/15/2014 250 243 0.018.000% due 05/01/2016 125 120 0.01Targa Resources Partners LP7.875% due 10/15/2018 2,250 2,374 0.11Tenaska Alabama Partners LP7.000% due 06/30/2021 2,471 2,644 0.12Tenet Healthcare Corp.8.000% due 08/01/2020 3,750 3,816 0.178.875% due 07/01/2019 2,000 2,270 0.1010.000% due 05/01/2018 3,000 3,510 0.16Tenneco, Inc.6.875% due 12/15/2020 1,750 1,798 0.087.750% due 08/15/2018 1,250 1,331 0.06Texas Industries, Inc.9.250% due 08/15/2020 1,075 1,148 0.05Thermon Industries, Inc.9.500% due 05/01/2017 1,675 1,792 0.08Trans Union LLC11.375% due 06/15/2018 3,500 4,008 0.18TransDigm, Inc.7.750% due 12/15/2018 12,000 12,480 0.56Travelport LLC9.000% due 03/01/2016 1,000 974 0.049.875% due 09/01/2014 4,000 3,915 0.1811.875% due 09/01/2016 500 494 0.02TreeHouse Foods, Inc.7.750% due 03/01/2018 2,500 2,716 0.12Triumph Group, Inc.8.625% due 07/15/2018 2,750 3,018 0.13TRW Automotive, Inc.7.000% due 03/15/2014 2,690 2,892 0.137.250% due 03/15/2017 2,750 2,977 0.13UAL 2009-2A Pass-Through Trust9.750% due 01/15/2017 3,902 4,487 0.20UHS Escrow Corp.7.000% due 10/01/2018 1,875 1,931 0.09United Rentals North America, Inc.8.375% due 09/15/2020 6,000 6,135 0.27Universal City Development Partners Ltd.8.875% due 11/15/2015 2,485 2,653 0.1210.875% due 11/15/2016 1,000 1,097 0.05Univision Communications, Inc.7.875% due 11/01/2020 4,000 4,220 0.198.500% due 05/15/2021 3,000 3,053 0.14USG Corp.8.375% due 10/15/2018 2,225 2,192 0.10Valeant Pharmaceuticals International6.750% due 10/01/2017 1,250 1,247 0.066.875% due 12/01/2018 4,725 4,713 0.217.000% due 10/01/2020 4,750 4,703 0.21Vanguard Health Holding Co. II LLC8.000% due 02/01/2018 6,500 6,687 0.30Ventas Realty LP6.500% due 06/01/2016 115 120 0.01Vertellus Specialties, Inc.9.375% due 10/01/2015 1,750 1,859 0.08

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Viking Acquisition, Inc.9.250% due 11/01/2018 $ 1,500 $ 1,496 0.07Visant Corp.10.000% due 10/01/2017 3,500 3,728 0.17VWR Funding, Inc.10.250% due 07/15/2015 (b) 4,000 4,220 0.19Wachovia Capital Trust III5.800% due 03/29/2049 150 131 0.01Wells Fargo Capital XIII7.700% due 12/29/2049 975 1,013 0.05Wells Fargo Capital XV9.750% due 09/29/2049 3,450 3,855 0.17West Corp.8.625% due 10/01/2018 1,100 1,171 0.05Whiting Petroleum Corp.6.500% due 10/01/2018 2,500 2,538 0.11Windstream Corp.7.000% due 03/15/2019 325 322 0.017.750% due 10/15/2020 1,500 1,552 0.077.875% due 11/01/2017 5,000 5,281 0.248.125% due 08/01/2013 25 28 0.008.625% due 08/01/2016 6,000 6,345 0.28WMG Acquisition Corp.9.500% due 06/15/2016 2,500 2,694 0.12Wynn Las Vegas LLC7.750% due 08/15/2020 2,275 2,474 0.117.875% due 11/01/2017 3,500 3,789 0.17

1,466,723 65.47


Adjustable Rate Mortgage Trust3.021% due 10/25/2035 110 78 0.00American Home Mortgage Assets0.451% due 05/25/2046 134 79 0.000.451% due 09/25/2046 49 27 0.000.471% due 10/25/2046 179 98 0.011.028% due 02/25/2047 68 34 0.001.248% due 11/25/2046 605 301 0.016.250% due 06/25/2037 272 162 0.01American Home Mortgage Investment Trust1.957% due 09/25/2045 35 31 0.00Banc of America Alternative Loan Trust0.661% due 05/25/2035 45 34 0.00Bear Stearns Alternative-A Trust4.885% due 03/25/2036 205 109 0.00Chase Mortgage Finance Corp.5.373% due 03/25/2037 51 43 0.005.500% due 05/25/2036 520 481 0.02Citigroup Mortgage Loan Trust, Inc.3.059% due 03/25/2034 17 17 0.005.549% due 07/25/2046 51 36 0.00Countrywide Alternative Loan Trust0.451% due 09/25/2046 74 45 0.000.456% due 12/20/2046 341 180 0.010.471% due 03/20/2046 50 29 0.000.471% due 07/20/2046 120 56 0.000.591% due 11/20/2035 47 29 0.000.631% due 02/25/2037 824 283 0.011.328% due 12/25/2035 121 78 0.015.591% due 10/25/2035 53 37 0.005.724% due 02/25/2037 125 92 0.01Downey Savings & Loan Association Mortgage

Loan Trust0.511% due 03/19/2045 19 14 0.000.571% due 11/19/2037 1,000 53 0.00First Horizon Alternative Mortgage Securities6.000% due 05/25/2036 78 63 0.00GSR Mortgage Loan Trust2.876% due 11/25/2035 2,943 2,637 0.122.964% due 01/25/2036 53 42 0.00Harborview Mortgage Loan Trust0.391% due 04/19/2038 405 263 0.010.441% due 07/19/2046 125 77 0.000.461% due 09/19/2046 48 30 0.000.501% due 03/19/2036 320 198 0.011.178% due 12/19/2036 106 58 0.005.750% due 08/19/2036 197 127 0.01


31 December 2010

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Indymac IMSC Mortgage Loan Trust0.441% due 07/25/2047 $ 74 $ 38 0.00Indymac Index Mortgage Loan Trust0.451% due 09/25/2046 103 61 0.000.461% due 06/25/2047 46 26 0.002.636% due 08/25/2035 70 56 0.005.047% due 09/25/2035 51 43 0.005.214% due 11/25/2035 524 405 0.025.341% due 05/25/2036 7,426 6,219 0.28JPMorgan Alternative Loan Trust5.550% due 10/25/2036 66 62 0.00JPMorgan Mortgage Trust6.000% due 08/25/2037 133 120 0.01Luminent Mortgage Trust0.431% due 12/25/2036 66 43 0.000.441% due 12/25/2036 49 30 0.00MASTR Adjustable Rate Mortgages Trust0.471% due 04/25/2046 36 21 0.00Merrill Lynch Mortgage-Backed Securities Trust5.406% due 04/25/2037 57 42 0.00Residential Accredit Loans, Inc.0.421% due 01/25/2037 527 314 0.010.591% due 03/25/2037 375 149 0.013.265% due 03/25/2035 636 449 0.023.401% due 02/25/2035 928 680 0.035.500% due 02/25/2036 313 183 0.016.500% due 07/25/2037 (c) 706 466 0.02Residential Asset Securitization Trust0.661% due 01/25/2046 (c) 14,845 6,730 0.306.000% due 05/25/2037 58 49 0.00

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Residential Funding Mortgage Securities I5.050% due 02/25/2036 $ 685 $ 531 0.02Structured Adjustable Rate Mortgage Loan Trust2.829% due 09/25/2035 3,729 2,996 0.13Structured Asset Mortgage Investments, Inc.0.441% due 09/25/2047 150 96 0.010.451% due 07/25/2046 133 84 0.000.481% due 05/25/2046 56 30 0.000.481% due 09/25/2047 1,600 670 0.03Suntrust Alternative Loan Trust0.611% due 04/25/2036 253 87 0.00WaMu Mortgage Pass-Through Certificates1.028% due 02/25/2047 124 77 0.001.028% due 03/25/2047 130 81 0.011.088% due 04/25/2047 66 44 0.001.148% due 12/25/2046 548 357 0.025.141% due 01/25/2037 56 43 0.005.302% due 12/25/2036 67 51 0.005.691% due 10/25/2036 180 147 0.015.721% due 02/25/2037 59 46 0.005.854% due 09/25/2036 48 38 0.00Washington Mutual Alternative Mortgage

Pass-Through Certificates1.098% due 04/25/2047 738 196 0.011.168% due 05/25/2047 747 222 0.011.298% due 05/25/2046 315 178 0.01

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Wells Fargo Mortgage-Backed Securities Trust5.402% due 07/25/2036 $ 61 $ 49 0.00

28,130 1.21


Illinois, Finance Authority Sports Facility RevenueBonds, Series 2007

9.000% due03/01/2014 (c) 250 75 0.00

SHARES



PAR(000S)


US Treasury Bills1.750% due 07/31/2015 $ 9,100 9,072 0.40







Amount(2)Fair

Value

UpfrontPremiums


Appreciation% of

Net Assets

AES Corp. 5.000% 03/20/2014 CSFB $ 1,000 $ 93 $ (95) $ 188 0.00AES Corp. 5.000% 06/20/2014 CSFB 400 36 (24) 60 0.00AES Corp. 5.000% 06/20/2014 MSC 1,700 154 (102) 256 0.01Ally Financial, Inc. 5.000% 09/20/2013 MLP 800 64 (210) 274 0.00American International Group, Inc. 5.000% 09/20/2011 BOA 2,800 99 (656) 755 0.01Biomet, Inc. 8.000% 03/20/2014 JPM 1,000 172 0 172 0.01Community Health Systems, Inc. 5.000% 09/20/2014 CITI 200 12 (18) 30 0.00Community Health Systems, Inc. 5.000% 03/20/2014 GSC 1,700 115 (155) 270 0.01El Paso Corp. 5.000% 09/20/2014 GSC 6,450 709 (612) 1,321 0.03Georgia-Pacific LLC 5.000% 06/20/2014 BOA 350 48 (36) 84 0.00NRG Energy, Inc. 5.000% 06/20/2014 GSC 5,700 352 0 352 0.02RRI Energy, Inc. 5.000% 09/20/2014 CITI 3,000 (6) (330) 324 0.00RRI Energy, Inc. 5.000% 09/20/2014 DUB 400 (1) (58) 57 0.00RRI Energy, Inc. 5.000% 09/20/2014 GSC 800 (2) (148) 146 0.00SLM Corp. 5.000% 09/20/2011 BCLY 925 30 (67) 97 0.00SLM Corp. 5.000% 09/20/2014 BCLY 650 54 (79) 133 0.00SLM Corp. 5.000% 09/20/2011 BOA 1,200 39 (96) 135 0.00SLM Corp. 5.000% 06/20/2012 BOA 2,200 127 (187) 314 0.01SLM Corp. 5.000% 09/20/2014 BOA 300 25 (42) 67 0.00SLM Corp. 5.000% 06/20/2012 DUB 800 46 (104) 150 0.00SLM Corp. 5.000% 06/20/2013 DUB 250 20 (32) 52 0.00SLM Corp. 5.000% 09/20/2014 DUB 600 49 (68) 117 0.00

$ 2,235 $ (3,119) $ 5,354 0.10





Receive Rate Maturity Date CounterpartyNotionalAmount(2) Fair Value

UpfrontPremiums


Appreciation% of

Net Assets

Dow Jones CDX N.A. HY14 Index 5.000% 06/20/2015 MSC $ 10,700 $ 495 $ 90 $ 405 0.02Dow Jones CDX N.A. HY15 Index 5.000% 12/20/2015 BCLY 10,000 311 262 49 0.02Dow Jones CDX N.A. HY15 Index 5.000% 12/20/2015 BOA 5,000 156 4 152 0.01Dow Jones CDX N.A. HY15 Index 5.000% 12/20/2015 CITI 66,000 2,053 (34) 2,087 0.09Dow Jones CDX N.A. HY15 Index 5.000% 12/20/2015 MSC 9,300 289 156 133 0.01Home Equity Index AAA Rating 2007-1 0.090% 08/25/2037 CSFB 1,952 (1,090) (1,367) 277 (0.05)

$ 2,214 $ (889) $ 3,103 0.10



INTEREST RATE SWAPS

Pay/ReceiveFloatingRate Floating Rate Index Fixed Rate


NotionalAmount

FairValue

UpfrontPremiums

Paid/(Received)


% ofNet Assets

Pay BRL-CDI-Compounded 10.115% 01/02/2012 MSC BRL 7,600 $ (167) $ (24) $ (143) (0.01)Pay BRL-CDI-Compounded 10.150% 01/02/2012 GSC 1,000 (21) (7) (14) 0.00Pay BRL-CDI-Compounded 10.680% 01/02/2012 BCLY 5,400 (43) (6) (37) 0.00Pay BRL-CDI-Compounded 14.765% 01/02/2012 HSBC 500 30 4 26 0.00Pay BRL-CDI-Compounded 14.765% 01/02/2012 JPM 600 35 1 34 0.00Pay BRL-CDI-Compounded 14.765% 01/02/2012 MLP 500 30 4 26 0.00

$ (136) $ (28) $ (108) (0.01)


Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Buy BRL 17,514 HSBC 02/2011 $ 512 $ 0 $ 512 0.02Sell 17,514 UBS 02/2011 0 (176) (176) (0.01)Sell 29,202 CITI 03/2011 0 (248) (248) (0.01)Buy 17,514 UBS 04/2011 179 0 179 0.01Sell CAD 2,250 DUB 02/2011 0 (28) (28) 0.00Sell CHF 1,400 RBC 02/2011 0 (92) (92) 0.00Buy CNY 531 BOA 01/2011 0 0 0 0.00Buy 643 CITI 01/2011 2 0 2 0.00Buy 1,472 DUB 01/2011 4 0 4 0.00Sell 3,575 DUB 01/2011 0 (5) (5) 0.00Buy 930 MSC 01/2011 1 0 1 0.00Buy 437 BCLY 11/2011 0 0 0 0.00Buy 2,631 CITI 11/2011 2 0 2 0.00Buy 1,626 JPM 11/2011 0 (1) (1) 0.00Buy 3,575 DUB 02/2012 5 0 5 0.00Sell € 1,290 BCLY 01/2011 0 (24) (24) 0.00Sell 2,500 BOA 01/2011 0 (66) (66) 0.00Buy 124,278 CITI 01/2011 1,503 0 1,503 0.06Sell 5,972 CITI 01/2011 45 (98) (53) 0.00Sell 1,700 CSFB 01/2011 0 (33) (33) 0.00Buy 5,000 HSBC 01/2011 0 (1) (1) 0.00Sell 1,700 HSBC 01/2011 0 (47) (47) 0.00Buy 332 MSC 01/2011 0 (11) (11) 0.00Sell 1,500 MSC 01/2011 0 (50) (50) 0.00Sell 21,000 RBC 01/2011 100 (136) (36) 0.00Buy 103,080 RBS 01/2011 1,364 (2) 1,362 0.06Sell 198,052 RBS 01/2011 0 (6,622) (6,622) (0.30)Sell 2,212 UBS 01/2011 0 (45) (45) 0.00Buy 1,000 BCLY 02/2011 23 0 23 0.00Sell 123,778 CITI 02/2011 0 (1,488) (1,488) (0.07)Sell 700 MSC 02/2011 0 (11) (11) 0.00Sell 102,924 RBS 02/2011 0 (1,362) (1,362) (0.06)Sell £ 8,252 BCLY 03/2011 0 (44) (44) (0.01)Sell 900 BNP 03/2011 0 (14) (14) 0.00Sell 8,252 DUB 03/2011 0 (41) (41) 0.00Sell 700 MSC 03/2011 0 (20) (20) 0.00Sell 5,502 RBS 03/2011 0 (8) (8) 0.00

$3,740 $(10,673) $(6,933) (0.31)




31 December 2010

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS


BNP Paribas Bank0.080% due 01/03/2011 € 976 $ 1,310 0.06Credit Suisse First Boston0.005% due 01/03/2011 CHF 379 406 0.02HSBC Bank0.068% due 01/04/2011 £ 161 253 0.01JPMorgan Chase & Co.0.550% due 01/03/2011 NOK 1,624 279 0.01Nordea Bank AB0.030% due 01/03/2011 $ 941 941 0.04Total Overnight Time Deposits $ 3,189 0.14Other Current Assets & Liabilities $ 36,581 1.64Net Assets $2,242,852 100.00


(a) The Global High Yield Bond Fund is investing in Class Z Income Shares of an affiliated Fund.



(d) Cash of $2,270 has been pledged as collateral for swap and foreign currency contracts as at 31 December 2010 as governed by International Swaps and Derivative Association, Inc. MasterAgreements.



DateAcquisition

Date CostFair

Value% of

Net Assets

Dole Food Co., Inc. 13.875% 03/15/2014 03/25/2010 $ 2,335 $ 2,455 0.11



Category3




(Level 2)



Transferable Securities $144,976 $2,047,380 $13,346 $2,205,702Financial Derivative Instruments4 0 (2,620) 0 (2,620)Totals $144,976 $2,044,760 $13,346 $2,203,082


Category3

StartingBalance

at 31-Dec-2009Net

Purchases5Net

Sales5


RealisedGains/

(Losses)




Level 3

EndingBalance

at 31-Dec-2010




Transferable Securities $ 20,063 $ 2,001 $ (4,797) $ (117) $ (665) $ 28 $ (3,167) $ 13,346 $ (297)


Category3




(Level 2)



Transferable Securities $ 1,021 $ 976,110 $ 20,063 $ 997,194Financial Derivative Instruments4 2,430 6,031 0 8,461Totals $ 3,451 $ 982,141 $ 20,063 $ 1,005,655




Category3

StartingBalance

at 31-Dec-2008Net

Purchases5Net

Sales5


RealisedGains/

(Losses)




Level 3

EndingBalance

at 31-Dec-2009




Transferable Securities $ 3,615 $ 21,251 $ (579) $ 433 $ 0 $ (578) $ (4,079) $ 20,063 $ (1,199)Financial Derivative Instruments 4 (232) 0 0 0 0 225 7 0 0Total $ 3,383 $ 21,251 $ (579) $ 433 $ 0 $ (353) $ (4,072) $ 20,063 $ (1,199)





Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Buy CHF 354 BCLY 01/2011 $ 27 $ 0 $ 27 0.00Sell 542 BCLY 01/2011 0 (11) (11) 0.00Buy 34 CITI 01/2011 1 0 1 0.00Sell 49 CITI 01/2011 0 (2) (2) 0.00Buy 307 DUB 01/2011 2 0 2 0.00Buy 203 UBS 01/2011 6 0 6 0.00Buy 19,177 BCLY 02/2011 1,402 0 1,402 0.06Buy 99 CITI 02/2011 3 0 3 0.00Sell 487 CITI 02/2011 0 (32) (32) 0.00Buy 75 MSC 02/2011 3 0 3 0.00Buy 406 RBC 02/2011 9 0 9 0.00Buy 7,228 RBS 02/2011 539 0 539 0.03

$ 1,992 $ (45) $ 1,947 0.09

As at 31 December 2010, the Institutional EUR (Hedged) Class, Administrative EUR (Hedged) Class and Class E EUR (Hedged) had the following foreign currency contractsoutstanding:

Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Buy € 1,318 BCLY 01/2011 $ 46 $ 0 $ 46 0.00Sell 12,831 BCLY 01/2011 0 (391) (391) (0.02)Buy 1,000 BNP 01/2011 30 0 30 0.00Buy 6,433 CITI 01/2011 184 0 184 0.01Sell 252,855 CITI 01/2011 0 (3,257) (3,257) (0.14)Buy 1,296 CSFB 01/2011 18 0 18 0.00Buy 3,276 DUB 01/2011 44 0 44 0.00Sell 12,756 DUB 01/2011 0 (509) (509) (0.02)Buy 2,432 HSBC 01/2011 0 0 0 0.00Buy 4,774 MSC 01/2011 15 0 15 0.00Buy 754 RBC 01/2011 25 0 25 0.00Sell 1,000 RBC 01/2011 0 (5) (5) 0.00Buy 454,146 RBS 01/2011 15,184 0 15,184 0.68Sell 204,624 RBS 01/2011 0 (2,711) (2,711) (0.12)Buy 11,913 UBS 01/2011 187 0 187 0.01Buy 243,320 CITI 02/2011 2,945 0 2,945 0.13Sell 595 CITI 02/2011 0 (17) (17) 0.00Buy 1,297 RBC 02/2011 39 0 39 0.00Buy 201,321 RBS 02/2011 2,663 0 2,663 0.12

$ 21,380 $ (6,890) $ 14,490 0.65


31 December 2010

As at 31 December 2010, the Institutional GBP (Hedged) Class, Administrative GBP (Hedged) Class and Class E GBP (Hedged) had the following foreign currency contractsoutstanding:

Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Buy £ 6,715 BCLY 01/2011 $ 29 $ (7) $ 22 0.00Sell 121,759 BNP 01/2011 0 (2,673) (2,673) (0.12)Buy 11,645 CITI 01/2011 186 (1) 185 0.01Sell 1,211 CITI 01/2011 0 (9) (9) 0.00Buy 182 CSFB 01/2011 0 (2) (2) 0.00Sell 5,045 CSFB 01/2011 79 0 79 0.00Buy 1,650 DUB 01/2011 44 0 44 0.00Sell 4,413 DUB 01/2011 0 (38) (38) 0.00Buy 9,485 JPM 01/2011 36 0 36 0.00Buy 295 MSC 01/2011 0 (4) (4) 0.00Sell 287 RBC 01/2011 0 (6) (6) 0.00Buy 58,044 RBS 01/2011 609 0 609 0.03Buy 46,349 UBS 01/2011 325 (14) 311 0.01Buy 121,759 BNP 02/2011 2,667 0 2,667 0.12Sell 1,497 CITI 02/2011 0 (35) (35) 0.00Buy 1,072 DUB 02/2011 28 0 28 0.00

$ 4,003 $ (2,789) $ 1,214 0.05

As at 31 December 2010, the Institutional NOK (Hedged) Class had the following foreign currency contracts outstanding:

Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Buy NOK 283 BNP 01/2011 $ 1 $ 0 $ 1 0.00Sell 217 BNP 01/2011 0 (2) (2) 0.00Sell 993 CITI 01/2011 0 (8) (8) 0.00Buy 822 DUB 01/2011 2 0 2 0.00Sell 58,778 MSC 01/2011 0 (179) (179) (0.01)Buy 59,705 RBS 01/2011 639 0 639 0.03Buy 58,778 MSC 02/2011 178 0 178 0.01Buy 161 RBC 02/2011 1 0 1 0.00

$ 821 $ (189) $ 632 0.03


Significant Changes in Portfolio Composition Global High Yield Bond Fund (Unaudited)31 December 2010



PIMCO US Dollar Short-Term Floating NAV 45,196,073 $ 451,975Fund (a)

PAR(000S)

US Treasury Bills1.750% due 07/31/2015 $ 48,000 48,437US Treasury Bills0.200% due 12/09/2010 18,000 17,981CIT Group, Inc.7.000% due 05/01/2016 17,900 17,402FCE Bank PLC7.125% due 01/15/2013 € 12,200 16,402Community Health Systems, Inc.8.875% due 07/15/2015 $ 15,600 16,348HCA, Inc.9.625% due 11/15/2016 (b) 11,700 12,638Ally Financial, Inc.8.300% due 02/12/2015 12,500 12,529Federal Home Loan Bank0.140% due 02/07/2010 12,300 12,299Biomet, Inc.11.625% due 10/15/2017 10,870 12,152TransDigm, Inc.7.750% due 12/15/2018 12,000 12,127Lyondell Chemical Co.11.000% due 05/01/2018 10,925 11,979Intelsat Jackson Holdings Ltd.9.500% due 06/15/2016 10,725 11,404HeidelbergCement AG7.500% due 04/03/2020 € 8,000 10,914Ziggo Bond Co. BV8.000% due 05/15/2018 8,400 10,853Novelis, Inc.8.750% due 12/15/2020 $ 10,500 10,599Digicel Ltd.8.250% due 09/01/2017 10,500 10,489CIT Group, Inc.7.000% due 05/01/2015 10,500 10,303DISH DBS Corp.7.875% due 09/01/2019 9,275 9,801Conti-Gummi Finance BV7.125% due 10/15/2018 € 7,000 9,459


(000S)


PIMCO US Dollar Short-Term Floating NAV Fund (a) 30,723,299 $ 307,300

PAR(000S)

US Treasury Bills1.750% due 07/31/2015 $ 38,900 39,065Brazil Notas do Tesouro Nacional Series F10.000% due 01/01/2012 BRL 37,104 21,464Gazprom Via White Nights Finance BV10.500% due 03/08/2014 $ 17,000 19,736US Treasury Bills0.200% due 12/09/2010 18,000 17,985Capital One Capital VI8.875% due 05/15/2040 14,875 15,731Lehman Brothers Holdings, Inc.0.000% due 05/25/2010 (c) 14,200 14,200HCA, Inc.9.250% due 11/15/2016 12,330 12,922Federal Home Loan Bank0.140% due 07/02/2010 12,300 12,299Indymac Index Mortgage Loan Trust5.489% due 05/25/2036 14,699 11,686Credit Agricole S.A.8.375% due 10/29/2049 9,500 10,276FCE Bank PLC7.125% due 01/15/2013 € 8,200 10,076Regions Financial Corp.7.375% due 12/10/2037 $ 10,225 9,296Pacific Life Insurance Co.9.250% due 06/15/2039 7,350 9,261UAL 2009-1 Pass-Through Trust10.400% due 11/01/2016 8,283 9,099Biomet, Inc.10.375% due 10/15/2017 (b) 8,250 8,784Community Health Systems, Inc.8.875% due 07/15/2015 8,083 8,317Energy Future Holdings Corp.10.000% due 01/15/2020 7,750 7,998American International Group, Inc.4.000% due 09/20/2011 € 6,600 7,952Greenwich Capital Commercial Funding Corp.5.444% due 03/10/2039 $ 7,220 7,070Discover Bank8.700% due 11/18/2019 5,900 6,633Citigroup Mortgage Loan Trust, Inc.2.810% due 10/25/2035 7,915 6,510Ford Motor Credit Co. LLC3.277% due 01/13/2012 6,700 6,415Ally Financial, Inc.8.300% due 12/02/2015 6,000 5,973WaMu Mortgage Pass-Through Certificates5.314% due 03/25/2037 6,830 5,601Intelsat Jackson Holdings Ltd.9.500% due 06/15/2016 5,325 5,549Genworth Financial, Inc.8.625% due 12/15/2016 4,900 5,156Freddie Mac0.250% due 10/20/2010 5,000 4,996Oakland, California, Unified School District General Obligation Bonds,

Series 20099.500% due 08/01/2034 4,700 4,995El Paso Corp.7.750% due 01/15/2032 5,000 4,894Weyerhaeuser Co.7.375% due 03/15/2032 5,000 4,833CSC Holdings LLC7.625% due 07/15/2018 4,550 4,675Teck Resources Ltd.10.750% due 05/15/2019 3,825 4,608

(a) The Global High Yield Bond Fund is investing in Class Z Income Shares of an affiliated Fund.



Significant portfolio changes are defined as the value of purchases exceeding 1% of totalcost of purchases, and sales or maturities exceeding 1% of total proceeds. At a minimumthe twenty largest purchases and twenty largest sales or maturities must be shown. Shouldthere have been less than that amount of transactions, all such transactions have beendisclosed.

Overnight investments of uninvested Fund cash which usually mature the next business dayhave been excluded from the Significant Changes in Portfolio Composition.


Portfolio of Investments and Assets Global Investment Grade Credit Fund31 December 2010

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS


AUSTRALIA

Australia & New Zealand Banking Group Ltd.5.100% due 01/13/2020 $ 7,600 $ 7,920 0.08Barrick PD Australia Finance Pty Ltd.5.950% due 10/15/2039 3,000 3,188 0.03Caterpillar Financial Australia Ltd.6.267% due 06/29/2012 AUD 15,000 15,372 0.16Commonwealth Bank of Australia0.520% due 07/08/2016 $ 5,000 4,942 0.055.000% due 10/15/2019 10,400 10,905 0.11Goodman Funding Pty Ltd.6.375% due 11/12/2020 16,000 15,374 0.16Incitec Pivot Ltd.4.000% due 12/07/2015 10,300 10,050 0.10Macquarie Bank Ltd.5.500% due 09/19/2016 £ 1,500 2,323 0.03Macquarie Group Ltd.4.875% due 08/10/2017 $ 3,800 3,726 0.047.300% due 08/01/2014 5,700 6,229 0.06National Australia Bank Ltd.0.494% due 06/19/2017 12,000 11,743 0.12Sydney Airport Finance Co. Pty Ltd.5.125% due 02/22/2021 24,000 23,165 0.24Wesfarmers Ltd.6.998% due 04/10/2013 1,000 1,104 0.01Westpac Banking Corp.4.000% due 03/19/2012 AUD 36,900 37,251 0.39Westpac Securitisation Trust6.110% due 01/21/2041 6,376 6,544 0.07

159,836 1.65

BERMUDA

Noble Group Ltd.4.875% due 08/05/2015 $ 3,100 3,199 0.036.750% due 01/29/2020 12,500 13,892 0.14Qtel International Finance Ltd.4.750% due 02/16/2021 4,900 4,693 0.05

21,784 0.22

BRAZIL

Banco do Brasil S.A.6.000% due 01/22/2020 5,600 6,076 0.06Banco Nacional de Desenvolvimento Economico

e Social4.125% due 09/15/2017 € 14,800 19,458 0.20Banco Santander Brazil S.A.0.000% due 12/28/2011 $ 8,000 7,973 0.082.596% due 12/29/2011 8,000 7,797 0.084.500% due 04/06/2015 25,700 26,345 0.27BM&FBovespa S.A.5.500% due 07/16/2020 1,900 1,943 0.02Brazil Government International Bond10.250% due

01/10/2028 BRL 4,650 2,923 0.03Brazil Notas do Tesouro Nacional Series F10.000% due

01/01/2012 159 94 0.0010.000% due

01/01/2017 3,200 1,768 0.02Centrais Eletricas Brasileiras S.A.6.875% due 07/30/2019 $ 2,000 2,270 0.02CSN Islands XI Corp.6.875% due 09/21/2019 3,100 3,363 0.04CSN Resources S.A.6.500% due 07/21/2020 5,500 5,830 0.06Fibria Overseas Finance Ltd.7.500% due 05/04/2020 7,655 8,076 0.08Gerdau Holdings, Inc.7.000% due 01/20/2020 12,950 14,310 0.15GTL Trade Finance, Inc.7.250% due 10/20/2017 14,900 16,464 0.17

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Itau Unibanco S.A.1.700% due 09/12/2011 $ 14,500 $ 14,465 0.15Petrobras International Finance Co.5.750% due 01/20/2020 9,100 9,487 0.105.875% due 03/01/2018 13,650 14,603 0.156.875% due 01/20/2040 1,000 1,045 0.017.875% due 03/15/2019 41,360 49,101 0.518.375% due 12/10/2018 400 489 0.00Vale Overseas Ltd.4.625% due 09/15/2020 15,800 15,722 0.165.625% due 09/15/2019 3,550 3,799 0.046.250% due 01/23/2017 600 671 0.016.875% due 11/21/2036 10,000 11,025 0.116.875% due 11/10/2039 25,600 28,414 0.298.250% due 01/17/2034 2,000 2,497 0.03

276,008 2.84


Gerdau Trade, Inc.5.750% due 01/30/2021 17,750 17,883 0.18

CANADA

Canadian Natural Resources Ltd.5.700% due 05/15/2017 29 33 0.00Canadian Oil Sands Ltd.7.750% due 05/15/2019 52,500 62,152 0.64EnCana Corp.6.300% due 11/01/2011 4,600 4,809 0.057.200% due 11/01/2031 500 566 0.01EnCana Holdings Finance Corp.5.800% due 05/01/2014 3,000 3,343 0.03Harvest Operations Corp.6.875% due 10/01/2017 7,400 7,659 0.08Potash Corp. of Saskatchewan, Inc.5.250% due 05/15/2014 1,195 1,308 0.01Teck Resources Ltd.3.850% due 08/15/2017 5,000 5,079 0.054.500% due 01/15/2021 2,100 2,140 0.026.125% due 10/01/2035 5,341 5,769 0.067.000% due 09/15/2012 900 958 0.019.750% due 05/15/2014 10,100 12,648 0.13TransCanada PipeLines Ltd.4.875% due 01/15/2015 500 546 0.006.350% due 05/15/2067 1,600 1,582 0.027.125% due 01/15/2019 1,400 1,717 0.02Xstrata Canada Corp.7.250% due 07/15/2012 900 967 0.01Xstrata Finance Canada Ltd.5.800% due 11/15/2016 2,200 2,416 0.03

113,692 1.17

CAYMAN ISLANDS

Caelus Re Ltd.6.544% due 06/07/2011 500 503 0.00Green Valley Ltd.4.572% due 01/10/2011 € 750 1,005 0.01Hutchison Whampoa Finance Ltd.4.125% due 06/28/2015 400 548 0.015.875% due 07/08/2013 210 303 0.00Hutchison Whampoa International Ltd.4.625% due 09/11/2015 $ 2,100 2,209 0.02IPIC GMTN Ltd.5.000% due 11/15/2020 16,400 16,152 0.17Mizuho Financial Group Cayman Ltd.5.790% due 04/15/2014 500 550 0.01MUFG Capital Finance 1 Ltd.6.346% due 07/29/2049 7,475 7,541 0.08MUFG Capital Finance 2 Ltd.4.850% due 07/29/2049 € 1,700 2,104 0.02MUFG Capital Finance 5 Ltd.6.299% due 01/29/2049 £ 50 73 0.00Odebrecht Drilling Norbe VIII & IX Ltd.6.350% due 06/30/2021 $ 32,100 33,545 0.35Preferred Term Securities XIII Ltd.0.852% due 03/24/2034 904 551 0.01

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

QNB Finance Ltd.3.125% due 11/16/2015 $ 15,400 $ 15,092 0.16SMFG Preferred Capital GBP 2 Ltd.10.231% due 07/29/2049 £ 1,800 3,241 0.03Systems 2001 AT LLC7.156% due 12/15/2011 $ 341 354 0.00Transocean, Inc.1.500% due 12/15/2037 56,850 56,282 0.586.000% due 03/15/2018 445 468 0.00

140,521 1.45

CHILE

Banco Santander Chile1.539% due 04/20/2012 3,000 3,000 0.03

CZECH REPUBLIC

CEZ AS5.000% due 10/19/2021 € 1,500 2,051 0.02

DENMARK

Vestas Wind Systems4.625% due 03/23/2015 400 530 0.01

EGYPT

Nile Finance Ltd.5.250% due 08/05/2015 $ 16,250 16,778 0.17

FRANCE

Banque PSA Finance3.750% due 03/11/2011 € 800 1,076 0.01BNP Paribas0.463% due 04/27/2017 $ 31,300 30,461 0.316.117% due 10/30/2017 € 1,300 1,360 0.027.195% due 06/29/2049 $ 19,000 18,335 0.197.781% due 06/29/2049 € 22,150 31,201 0.32BPCE S.A.4.625% due 07/29/2049 870 904 0.015.250% due 07/29/2049 1,700 1,802 0.02Casino Guichard Perrachon S.A.4.379% due 02/08/2017 2,300 3,146 0.03Cie Generale de Geophysique-Veritas9.500% due 05/15/2016 $ 955 1,046 0.01CNP Assurances4.750% due 12/29/2049 € 850 912 0.01Credit Agricole S.A.8.125% due 10/29/2049 £ 900 1,323 0.01France Telecom S.A.5.000% due 05/12/2016 10,850 18,177 0.19HSBC France4.875% due 01/15/2014 € 4,300 6,158 0.06RCI Banque S.A.2.875% due 07/23/2012 7,800 10,508 0.113.125% due 07/08/2011 7,200 9,694 0.10Societe Generale8.750% due 10/29/2049 (f) $ 2,100 2,163 0.02Veolia Environnement S.A.5.250% due 04/24/2014 € 1,250 1,820 0.02Vivendi S.A.4.500% due 10/03/2013 350 493 0.016.625% due 04/04/2018 $ 60 67 0.00

140,646 1.45

GERMANY

BASF SE5.875% due 03/31/2017 £ 2,800 4,876 0.05Kabel Deutschland4.500% due 12/20/2016 € 1,000 1,350 0.01

6,226 0.06

INDIA

ICICI Bank Ltd.5.000% due 01/15/2016 $ 4,000 4,019 0.045.500% due 03/25/2015 2,500 2,604 0.03

6,623 0.07


Portfolio of Investments and Assets Global Investment Grade Credit Fund (Cont.)

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

INDONESIA

Majapahit Holding BV7.250% due

06/28/2017 $ 500 $ 570 0.01

IRELAND


AWAS Aviation Capital Ltd.7.000% due

10/15/2016 17,800 17,733 0.18RZD Capital Ltd.5.739% due

04/03/2017 54,400 56,737 0.5974,470 0.77

SHARES

MUTUAL FUNDS (a)

PIMCO US DollarShort-TermFloating NAV Fund 96,590,153 966,095 9.95

Total Ireland 1,040,565 10.72

PAR(000S)

ITALY

Intesa Sanpaolo SpA0.789% due

01/19/2012 $ 15,750 15,628 0.163.625% due

08/12/2015 1,600 1,548 0.018.375% due

10/29/2049 € 5,800 7,489 0.0824,665 0.25

JAPAN

Dai-ichi Mutual Life Insurance Co.5.730% due

03/17/2014 $ 500 517 0.00


Bank of Scotland Capital Funding LP7.754% due

03/29/2049 £ 260 334 0.00HBOS Capital Funding LP6.071% due

06/29/2049 $ 4,350 3,589 0.04HSBC Bank Funding Sterling LP5.844% due

11/29/2049 £ 1,533 2,088 0.02HSBC Capital Funding LP5.369% due

10/29/2049 € 390 492 0.016,503 0.07

LUXEMBOURG

AON Financial Services Luxembourg S.A.6.250% due

07/01/2014 3,300 4,707 0.05ArcelorMittal4.625% due

11/17/2017 23,100 31,070 0.327.000% due

10/15/2039 $ 5,250 5,466 0.06Telecom Italia Capital S.A.0.767% due

02/01/2011 10,500 10,497 0.110.899% due

07/18/2011 4,100 4,090 0.045.250% due

11/15/2013 7,400 7,715 0.086.175% due

06/18/2014 25,800 27,459 0.286.200% due

07/18/2011 2,800 2,874 0.036.999% due

06/04/2018 600 636 0.017.175% due

06/18/2019 1,100 1,179 0.01

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Tyco Electronics Group S.A.4.875% due 01/15/2021 $ 2,300 $ 2,330 0.026.550% due 10/01/2017 5,000 5,690 0.06

103,713 1.07

MEXICO

Cemex Finance LLC9.500% due 12/14/2016 2,500 2,591 0.03Corp. GEO SAB de C.V.8.875% due 09/25/2014 4,500 5,074 0.069.250% due 06/30/2020 1,850 2,104 0.02Desarrolladora Homex SAB de C.V.9.500% due 12/11/2019 3,600 4,140 0.04Petroleos Mexicanos4.875% due 03/15/2015 200 212 0.005.500% due 01/21/2021 16,250 16,534 0.17

30,655 0.32

NETHERLANDS

Cooperatieve Centrale Raiffeisen-Boerenleenbank BA6.875% due 03/19/2020 € 57,800 73,673 0.7611.000% due 06/29/2049 $ 19,912 25,812 0.2611.000% due 12/29/2049 8,275 10,711 0.11Deutsche Telekom International Finance BV5.250% due 07/22/2013 5,000 5,418 0.066.500% due 04/08/2022 £ 7,650 13,084 0.13Fortis Bank Nederland NV3.375% due 05/19/2014 € 525 735 0.01Globaldrive BV2.413% due 04/20/2018 3,744 5,062 0.054.000% due 10/20/2016 4,574 6,223 0.07Heineken NV7.250% due 03/10/2015 £ 5,600 9,921 0.10ING Bank NV5.500% due 01/04/2012 € 392 541 0.01NIBC Bank NV3.500% due 04/07/2014 750 1,053 0.01SABIC Capital I BV3.000% due 11/02/2015 $ 17,400 17,235 0.18Scotland International Finance No. 2 BV4.250% due 05/23/2013 4,785 4,740 0.05Shell International Finance BV3.100% due 06/28/2015 6,500 6,682 0.07SNS Bank NV3.500% due 03/10/2014 € 800 1,127 0.01TNT NV3.875% due 06/01/2015 4,650 6,350 0.06Waha Aerospace BV3.925% due 07/28/2020 $ 56,600 57,176 0.59

245,543 2.53

NEW ZEALAND

ANZ National International Ltd.3.125% due 08/10/2015 500 498 0.006.200% due 07/19/2013 800 881 0.01

1,379 0.01

NORWAY

DnB NORBank ASA6.012% due 03/29/2049 £ 17,599 26,499 0.27Statoil ASA6.700% due 01/15/2018 $ 8,760 10,476 0.11

36,975 0.38

PANAMA

Panama Government International Bond7.250% due 03/15/2015 400 464 0.00

QATAR

Nakilat, Inc.6.067% due 12/31/2033 2,500 2,633 0.03

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Qatar Government International Bond5.250% due 01/20/2020 $ 600 $ 636 0.016.550% due 04/09/2019 8,300 9,545 0.10Qatari Diar Finance QSC5.000% due 07/21/2020 16,900 16,881 0.17Ras Laffan Liquefied Natural Gas Co. Ltd. II5.298% due 09/30/2020 16,054 16,987 0.18Ras Laffan Liquefied Natural Gas Co. Ltd. III5.500% due 09/30/2014 1,000 1,078 0.016.332% due 09/30/2027 1,750 1,852 0.026.750% due 09/30/2019 16,300 18,891 0.19

68,503 0.71

RUSSIA

AK Transneft OJSC Via TransCapitalInvest Ltd.5.670% due 03/05/2014 15,500 16,430 0.176.103% due 06/27/2012 9,100 9,579 0.107.700% due 08/07/2013 13,300 14,789 0.158.700% due 08/07/2018 66,380 82,064 0.85Gazprom OAO Via Morgan Stanley Bank AG9.625% due 03/01/2013 2,600 2,954 0.03Gazprom Via Gaz Capital S.A.5.092% due 11/29/2015 30,400 31,312 0.326.510% due 03/07/2022 8,000 8,180 0.087.288% due 08/16/2037 3,200 3,327 0.048.125% due 07/31/2014 2,100 2,374 0.038.125% due 02/04/2015 € 11,500 17,680 0.188.146% due 04/11/2018 $ 400 463 0.018.625% due 04/28/2034 14,800 17,832 0.189.250% due 04/23/2019 36,150 44,602 0.46Gazprom Via Gazprom International S.A.7.201% due 02/01/2020 11,246 11,997 0.12Gazprom Via White Nights Finance BV10.500% due 03/08/2014 100 120 0.0010.500% due 03/25/2014 5,300 6,341 0.07Russian Agricultural Bank OJSC Via RSHB

Capital S.A.6.299% due 05/15/2017 800 811 0.017.750% due 05/29/2018 100 109 0.009.000% due 06/11/2014 7,350 8,305 0.09Sberbank Via SB Capital S.A.5.400% due 03/24/2017 7,000 7,020 0.075.499% due 07/07/2015 14,100 14,470 0.15TNK-BP Finance S.A.6.125% due 03/20/2012 9,700 10,179 0.106.250% due 02/02/2015 2,000 2,133 0.026.625% due 03/20/2017 29,300 31,205 0.327.250% due 02/02/2020 17,330 18,933 0.207.500% due 03/13/2013 11,100 12,027 0.127.500% due 07/18/2016 8,400 9,324 0.107.875% due 03/13/2018 39,275 44,726 0.46VTB Capital S.A.8.250% due 06/30/2011 € 300 414 0.00

429,700 4.43

SOUTH KOREA

Export-Import Bank of Korea4.000% due 01/29/2021 $ 11,600 10,881 0.115.125% due 06/29/2020 16,000 16,536 0.175.875% due 01/14/2015 25,400 27,556 0.288.125% due 01/21/2014 9,900 11,340 0.12Korea Housing Finance Corp.4.125% due 12/15/2015 19,300 19,499 0.20Korea Hydro & Nuclear Power Co. Ltd.6.250% due 06/17/2014 800 879 0.01Shinhan Bank1.584% due 11/16/2012 31,200 30,984 0.32

117,675 1.21

SPAIN

Santander Issuances S.A. Unipersonal7.300% due 07/27/2019 £ 7,000 10,580 0.11Santander US Debt S.A. Unipersonal1.103% due 03/30/2012 $ 60,000 59,325 0.61Telefonica Emisiones SAU0.616% due 02/04/2013 5,265 5,175 0.052.582% due 04/26/2013 2,000 2,003 0.02


31 December 2010

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

3.729% due 04/27/2015 $ 2,000 $ 1,986 0.024.949% due 01/15/2015 500 518 0.015.855% due 02/04/2013 10,730 11,462 0.125.984% due 06/20/2011 4,100 4,192 0.046.421% due 06/20/2016 9,200 10,067 0.10

105,308 1.08

SWEDEN

Nordea Bank AB0.502% due 06/09/2016 32,500 32,125 0.334.500% due 05/12/2014 € 7,550 10,760 0.11Swedbank AB3.125% due 03/04/2013 27,600 37,585 0.397.375% due 06/26/2018 5,034 7,395 0.07

87,865 0.90

SWITZERLAND

Credit Suisse4.375% due 08/05/2020 $ 300 295 0.004.750% due 08/05/2019 € 8,900 12,270 0.135.000% due 05/15/2013 $ 900 970 0.016.125% due 08/05/2013 € 4,450 6,528 0.076.750% due 01/16/2023 £ 2,690 4,574 0.05UBS AG0.966% due 11/02/2012 $ 14,100 14,100 0.151.384% due 02/23/2012 2,000 2,017 0.021.553% due 09/29/2011 17,600 17,737 0.182.250% due 08/12/2013 10,000 10,092 0.104.875% due 08/04/2020 44,850 45,715 0.475.750% due 04/25/2018 13,600 14,802 0.155.875% due 12/20/2017 16,310 17,964 0.196.375% due 07/20/2016 £ 2,100 3,601 0.047.152% due 12/29/2049 € 6,100 8,183 0.08

158,848 1.64

UNITED KINGDOM

Abbey National Treasury Services PLC3.375% due 10/20/2015 9,250 11,774 0.12Allied Domecq Financial Services Ltd.6.625% due 04/18/2011 £ 3,200 5,076 0.05Anglo American Capital PLC9.375% due 04/08/2014 $ 24,225 29,187 0.30Annington Finance No. 4 PLC1.709% due 01/10/2023 £ 404 597 0.01Bank of Scotland PLC4.125% due 02/06/2012 € 3,330 4,561 0.055.500% due 06/15/2012 $ 1,400 1,495 0.015.625% due 05/23/2013 € 6,400 9,093 0.09Barclays Bank PLC6.000% due 01/14/2021 8,600 11,210 0.116.050% due 12/04/2017 $ 24,200 24,859 0.266.369% due 06/29/2049 £ 1,046 1,417 0.026.698% due 08/13/2012 AUD 10,500 10,830 0.116.750% due 05/22/2019 $ 4,350 4,921 0.056.860% due 09/29/2049 12,509 11,946 0.127.434% due 09/29/2049 4,500 4,444 0.0510.000% due 05/21/2021 £ 2,600 4,967 0.0510.179% due 06/12/2021 $ 15,940 19,883 0.2014.000% due 11/29/2049 £ 13,150 24,809 0.26BAT International Finance PLC6.000% due 06/29/2022 2,300 3,850 0.04BP Capital Markets PLC2.750% due 06/14/2011 CHF 2,400 2,594 0.033.625% due 05/08/2014 $ 10,300 10,626 0.115.250% due 11/07/2013 2,900 3,143 0.03British Sky Broadcasting Group PLC6.100% due 02/15/2018 7,000 7,820 0.08British Telecommunications PLC5.150% due 01/15/2013 2,800 2,983 0.035.950% due 01/15/2018 9,900 10,851 0.116.625% due 06/23/2017 £ 2,700 4,629 0.05BSKYB Finance UK PLC5.750% due 10/20/2017 800 1,365 0.01Bumper 2 S.A.2.524% due 06/20/2022 € 4,131 5,555 0.06Enterprise Inns PLC6.500% due 12/06/2018 £ 582 793 0.01

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

FCE Bank PLC7.125% due 01/16/2012 € 5,900 $ 8,153 0.08Hammerson PLC4.875% due 06/19/2015 200 278 0.00HBOS PLC6.750% due 05/21/2018 $ 27,600 25,880 0.27HSBC Bank PLC4.125% due 08/12/2020 17,500 16,853 0.175.000% due 03/20/2023 £ 6,700 10,155 0.11HSBC Holdings PLC4.500% due 04/30/2014 € 5,739 8,148 0.086.500% due 05/02/2036 $ 1,400 1,467 0.016.500% due 09/15/2037 500 525 0.01Imperial Tobacco Finance PLC6.875% due 06/13/2012 £ 300 501 0.01LBG Capital No.1 PLC6.439% due 05/23/2020 € 24,900 27,058 0.287.375% due 03/12/2020 1,700 1,984 0.027.588% due 05/12/2020 £ 3,150 4,266 0.047.625% due 10/14/2020 € 2,838 3,331 0.037.867% due 12/17/2019 £ 7,497 10,270 0.117.869% due 08/25/2020 8,200 11,298 0.127.875% due 11/01/2020 $ 4,500 4,118 0.048.000% due 12/29/2049 2,000 1,760 0.02LBG Capital No.2 PLC6.385% due 05/12/2020 € 17,700 19,353 0 .207.625% due 12/09/2019 £ 4,415 5,910 0.069.000% due 12/15/2019 208 308 0.009.125% due 07/15/2020 2,380 3,447 0.049.334% due 02/07/2020 732 1,095 0.0115.000% due 12/21/2019 2,800 5,589 0.0615.000% due 12/21/2019 € 500 875 0.0115.000% due 01/22/2029 £ 221 456 0.01Lloyds TSB Bank PLC4.375% due 01/12/2015 $ 1,000 1,001 0.014.750% due 07/15/2011 8,900 9,118 0.095.800% due 01/13/2020 12,700 12,561 0.136.375% due 04/15/2014 £ 5,284 8,779 0.096.375% due 06/17/2016 € 11,850 17,121 0.1812.000% due 12/29/2049 $ 11,500 12,553 0.1313.000% due 01/29/2049 £ 1,779 3,217 0.03Mitchells & Butlers Finance PLC6.469% due 09/15/2030 550 809 0.01National Westminster Bank PLC3.156% due 10/29/2049 € 1,000 1,060 0.01Nationwide Building Society2.875% due 09/14/2015 13,300 17,505 0.183.750% due 01/20/2015 8,300 10,944 0.115.625% due 09/09/2019 £ 4,100 6,392 0.07Pearson Dollar Finance Two PLC6.250% due 05/06/2018 $ 3,000 3,339 0.03Pearson Funding Two PLC4.000% due 05/17/2016 4,250 4,321 0.05Pearson PLC7.000% due 10/27/2014 £ 620 1,093 0.01Prudential PLC5.750% due 12/19/2021 € 100 136 0.00Rolls-Royce PLC6.750% due 04/30/2019 £ 5,100 9,161 0.09Royal Bank of Scotland Group PLC5.375% due 09/30/2019 € 4,900 6,275 0.076.990% due 10/29/2049 $ 8,900 6,898 0.077.640% due 03/29/2049 2,400 1,608 0.027.648% due 08/29/2049 8,470 7,125 0.07Royal Bank of Scotland PLC1.043% due 09/29/2015 8,000 6,770 0.071.663% due 10/15/2012 27,100 27,100 0.283.950% due 09/21/2015 10,000 9,841 0.104.875% due 08/25/2014 6,800 6,970 0.074.875% due 03/16/2015 400 409 0.004.875% due 01/20/2017 € 13,500 17,434 0.185.125% due 07/29/2049 890 937 0.015.625% due 08/24/2020 $ 35,000 34,861 0.366.375% due 04/29/2014 £ 9,600 15,856 0.176.625% due 09/17/2018 11,500 18,694 0.19Spirit Issuer PLC1.836% due 12/28/2011 80 85 0.00

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

United Utilities Water PLC6.125% due 12/29/2015 £ 6,400 $ 11,156 0.12Vodafone Group PLC4.150% due 06/10/2014 $ 2,800 2,946 0.034.650% due 01/20/2022 € 1,100 1,497 0.025.350% due 02/27/2012 $ 5,600 5,873 0.06

709,801 7.32

UNITED STATES


Amortizing Residential Collateral Trust0.841% due 07/25/2032 4 3 0.00Asset-Backed Funding Certificates0.321% due 01/25/2037 27 27 0.00Bear Stearns Asset-Backed Securities Trust1.261% due 10/25/2037 136 90 0.00Capital Auto Receivables Asset Trust1.710% due 10/15/2012 199 200 0.00Chase Issuance Trust0.280% due 03/15/2013 8,800 8,799 0.09Citigroup Mortgage Loan Trust, Inc.0.321% due 07/25/2045 206 171 0.000.361% due 10/25/2036 8 8 0.00Countrywide Asset-Backed Certificates0.311% due 05/25/2037 5 5 0.00CS First Boston Mortgage Securities Corp.1.001% due 08/25/2032 143 107 0.00DaimlerChrysler Auto Trust1.745% due 09/10/2012 180 181 0.00Ford Credit Auto Owner Trust1.680% due 06/15/2012 1,141 1,145 0.015.150% due 02/15/2012 2,068 2,086 0.02Fremont Home Loan Trust0.371% due 02/25/2036 78 77 0.00Merrill Lynch First Franklin Mortgage Loan Trust0.321% due 07/25/2037 48 48 0.00New Century Home Equity Loan Trust0.711% due 03/25/2035 125 98 0.001.191% due 11/25/2034 376 288 0.01Park Place Securities, Inc.0.891% due 02/25/2035 500 440 0.01

13,773 0.14


AGFS Funding Co.7.250% due 04/21/2015 20,500 20,814 0.21Biomet, Inc.3.261% due 03/25/2015 689 685 0.013.303% due 03/25/2015 2,288 2,285 0.02Charter Communications Operating LLC2.270% due 03/06/2014 2,082 2,059 0.02Community Health Systems, Inc.2.544% due 07/25/2014 2,556 2,515 0.033.794% due 01/25/2017 1,222 1,202 0.01CSC Holdings, LLC2.011% due 01/29/2016 7,463 7,476 0.08Ford Motor Co.3.020% due 12/15/2013 6,130 6,107 0.063.040% due 12/15/2013 853 851 0.01Fresenius Medical Care Holdings, Inc.1.632% due 03/31/2013 477 473 0.001.678% due 03/31/2013 7,515 7,458 0.08Georgia-Pacific LLC3.552% due 12/23/2014 1,210 1,211 0.013.553% due 12/23/2014 774 775 0.01HCA, Inc.2.553% due 11/17/2013 1,000 991 0.013.553% due 03/17/2017 5,000 4,999 0.05Mylan, Inc.T3.563% due 10/02/2014 3,000 3,014 0.03NRG Energy, Inc.2.011% due 02/01/2013 341 339 0.002.053% due 02/01/2013 905 902 0.013.553% due 08/31/2013 13,851 13,791 0.14

77,947 0.79



DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS


ABN Amro North American Holding Preferred CapitalRepackage Trust I

6.523% due 12/29/2049 $ 12,600 $ 10,804 0.11AES Corp.8.000% due 06/01/2020 1,450 1,544 0.02Agilent Technologies, Inc.4.450% due 09/14/2012 19,300 20,169 0.21Alcoa, Inc.5.950% due 02/01/2037 5,700 5,359 0.056.000% due 07/15/2013 28,021 30,853 0.32Alliance One International, Inc.10.000% due 07/15/2016 565 582 0.01Allstate Life Global Funding Trusts5.375% due 04/30/2013 4,700 5,121 0.05Alltel Corp.6.500% due 11/01/2013 4,600 5,136 0.05Ally Financial, Inc.6.000% due 11/15/2013 479 469 0.006.250% due 12/01/2017 7,100 7,109 0.076.500% due 07/15/2012 478 474 0.006.625% due 05/15/2012 300 309 0.006.750% due 09/15/2012 1,491 1,480 0.026.875% due 08/28/2012 11,000 11,544 0.127.000% due 02/01/2012 600 619 0.017.000% due 11/15/2024 1,048 923 0.017.100% due 01/15/2013 837 839 0.017.250% due 03/02/2011 1,600 1,610 0.027.250% due 12/15/2012 1,637 1,649 0.027.375% due 11/15/2016 2,030 1,979 0.027.500% due 05/15/2016 694 679 0.017.500% due 12/15/2017 75 73 0.007.550% due 05/15/2016 765 749 0.017.875% due 11/15/2012 466 468 0.00Altria Group, Inc.4.125% due 09/11/2015 11,700 12,246 0.137.750% due 02/06/2014 23,800 27,380 0.289.250% due 08/06/2019 22,400 29,279 0.309.700% due 11/10/2018 23,933 31,619 0.33AMB Property LP4.000% due 01/15/2018 2,100 1,997 0.026.125% due 12/01/2016 10,160 11,066 0.126.625% due 12/01/2019 2,732 3,002 0.03Ameren Illinois Co.9.750% due 11/15/2018 8,800 11,304 0.12American Airlines Pass-Through Trust 2001-026.978% due 04/01/2011 4 5 0.007.858% due 10/01/2011 13,055 13,577 0.14American Airlines Pass-Through Trust 2009-1A10.375% due 07/02/2019 51,236 60,458 0.62American Airlines, Inc.10.500% due 10/15/2012 1,800 1,982 0.02American Express Bank FSB0.391% due 05/29/2012 100 100 0.005.500% due 04/16/2013 9,000 9,705 0.105.550% due 10/17/2012 1,600 1,712 0.02American Express Centurion Bank5.550% due 10/17/2012 11,610 12,424 0.13American Express Co.7.250% due 05/20/2014 23,000 26,222 0.27American Express Credit Corp.5.125% due 08/25/2014 3,350 3,615 0.045.875% due 05/02/2013 3,800 4,135 0.047.300% due 08/20/2013 7,400 8,344 0.09American General Finance Corp.4.875% due 07/15/2012 5,000 4,731 0.055.375% due 10/01/2012 200 190 0.005.625% due 08/17/2011 300 297 0.00American International Group, Inc.0.399% due 10/18/2011 7,300 7,244 0.070.404% due 03/20/2012 1,200 1,172 0.011.168% due 07/19/2013 € 900 1,131 0.014.000% due 09/20/2011 5,350 7,183 0.074.875% due 03/15/2067 2,300 2,438 0.034.950% due 03/20/2012 $ 5,050 5,222 0.055.050% due 10/01/2015 9,200 9,484 0.105.375% due 10/18/2011 9,200 9,506 0.105.600% due 10/18/2016 10,900 11,284 0.12

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

5.750% due 03/15/2067 £ 2,100 $ 2,614 0.035.850% due 01/16/2018 $ 12,000 12,409 0.136.250% due 05/01/2036 400 386 0.008.000% due 05/22/2038 € 700 911 0.018.175% due 05/15/2058 $ 1,500 1,608 0.028.250% due 08/15/2018 9,180 10,607 0.118.625% due 05/22/2038 £ 600 930 0.01American Renal Holdings8.375% due 05/15/2018 $ 675 695 0.01American Tower Corp.4.500% due 01/15/2018 10,000 9,928 0.105.050% due 09/01/2020 5,300 5,222 0.057.250% due 05/15/2019 5,000 5,675 0.06Anadarko Petroleum Corp.5.750% due 06/15/2014 4,195 4,494 0.055.950% due 09/15/2016 1,200 1,291 0.016.375% due 09/15/2017 7,600 8,290 0.086.450% due 09/15/2036 18,880 18,890 0.196.950% due 06/15/2019 600 674 0.017.625% due 03/15/2014 2,355 2,642 0.037.950% due 06/15/2039 5,808 6,729 0.07Appalachian Power Co.5.650% due 08/15/2012 2,100 2,240 0.02AT&T Corp.7.300% due 11/15/2011 900 951 0.018.000% due 11/15/2031 61 77 0.00Aviation Capital Group7.125% due 10/15/2020 21,500 21,936 0.23BA Covered Bond Issuer4.125% due 04/05/2012 € 200 275 0.004.250% due 04/05/2017 2,800 3,820 0.04Bank of America Corp.4.500% due 04/01/2015 $ 300 305 0.005.650% due 05/01/2018 32,400 33,155 0.345.750% due 12/01/2017 13,700 14,277 0.156.000% due 09/01/2017 3,000 3,148 0.036.500% due 08/01/2016 16,100 17,491 0.187.000% due 06/15/2016 € 10,200 14,866 0.167.375% due 05/15/2014 $ 25,410 28,266 0.29Bear Stearns Cos., LLC0.674% due 11/21/2016 2,000 1,889 0.025.700% due 11/15/2014 200 220 0.006.400% due 10/02/2017 11,139 12,716 0.137.250% due 02/01/2018 65,270 77,459 0.80Beckman Coulter, Inc.7.050% due 06/01/2026 75 82 0.00BioMed Realty LP6.125% due 04/15/2020 5,950 6,294 0.07BMW US Capital LLC1.118% due 07/25/2011 6,000 6,006 0.06Boston Properties LP4.125% due 05/15/2021 13,900 13,205 0.135.875% due 10/15/2019 200 217 0.006.250% due 01/15/2013 558 609 0.01Boston Scientific Corp.4.500% due 01/15/2015 7,900 8,074 0.096.000% due 01/15/2020 16,000 16,707 0.17Brambles USA, Inc.3.950% due 04/01/2015 72 73 0.00Bruce Mansfield Unit6.850% due 06/01/2034 883 939 0.01Bunge Ltd. Finance Corp.8.500% due 06/15/2019 3,606 4,235 0.04Calpine Corp.7.500% due 02/15/2021 8,000 7,920 0.08Cantor Fitzgerald LP7.875% due 10/15/2019 320 330 0.00Capital One Bank USA N.A.8.800% due 07/15/2019 2,650 3,265 0.03Capital One Capital V10.250% due 08/15/2039 10,200 10,978 0.11Capital One Capital VI8.875% due 05/15/2040 2,500 2,622 0.03Carolina Power & Light Co.6.500% due 07/15/2012 500 541 0.01CBA Capital Trust II6.024% due 03/29/2049 2,300 2,254 0.02

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

CC Holdings GS V LLC7.750% due 05/01/2017 $ 875 $ 960 0.01Chesapeake Energy Corp.7.625% due 07/15/2013 300 327 0.009.500% due 02/15/2015 1,800 2,038 0.02CIT Group, Inc.7.000% due 05/01/2013 41,745 42,685 0.447.000% due 05/01/2014 1,468 1,486 0.027.000% due 05/01/2015 6,868 6,902 0.077.000% due 05/01/2016 2,413 2,428 0.037.000% due 05/01/2017 3,266 3,283 0.03Citigroup Capital XXI8.300% due 12/21/2057 38,830 40,577 0.42Citigroup, Inc.0.829% due 01/16/2012 £ 1,520 2,340 0.024.587% due 12/15/2015 $ 7,300 7,619 0.084.750% due 05/19/2015 27,400 28,719 0.305.000% due 09/15/2014 5,300 5,487 0.065.300% due 10/17/2012 12,000 12,714 0.135.500% due 04/11/2013 36,810 39,217 0.405.625% due 08/27/2012 100 105 0.005.850% due 07/02/2013 10,000 10,799 0.116.000% due 08/15/2017 8,340 9,059 0.096.010% due 01/15/2015 20,900 22,948 0.246.125% due 11/21/2017 21,600 23,705 0.246.125% due 05/15/2018 30,890 33,891 0.356.400% due 03/27/2013 € 1,800 2,582 0.036.500% due 08/19/2013 $ 30,700 33,731 0.357.375% due 09/04/2019 € 5,168 7,756 0.088.125% due 07/15/2039 $ 1,140 1,455 0.018.500% due 05/22/2019 43,350 53,901 0.56Clear Channel Worldwide Holdings, Inc.9.250% due 12/15/2017 5,250 5,762 0.06Cliffs Natural Resources, Inc.5.900% due 03/15/2020 18,100 19,103 0.20CMS Energy Corp.4.250% due 09/30/2015 800 796 0.01Comcast Cable Communications Holdings, Inc.9.455% due 11/15/2022 7,000 9,704 0.10Comcast Cable Communications LLC6.750% due 01/30/2011 900 904 0.01Comcast Corp.5.875% due 02/15/2018 2,400 2,669 0.036.500% due 01/15/2017 10,350 11,946 0.12Concho Resources, Inc.7.000% due 01/15/2021 2,200 2,260 0.028.625% due 10/01/2017 7,800 8,541 0.09Constellation Energy Group, Inc.7.000% due 04/01/2012 300 323 0.00Consumers Energy Co.5.000% due 02/15/2012 1,050 1,095 0.016.700% due 09/15/2019 74 89 0.00Continental Airlines 2001-1 Class A-1

Pass-Through Trust6.703% due 06/15/2021 323 342 0.00Continental Airlines 2001-1 Class A-2

Pass-Through Trust6.503% due 06/15/2011 400 405 0.00Continental Airlines 2009-1 Pass-Through Trust9.000% due 07/08/2016 26,340 30,160 0.31Continental Airlines 2009-2 Class A

Pass-Through Trust7.250% due 11/10/2019 31,782 35,437 0.37Continental Airlines 2010-1 Class A

Pass-Through Trust4.750% due 01/12/2021 4,000 4,000 0.04Continental Airlines 2010-1 Class B

Pass-Through Trust6.000% due 01/12/2019 100 100 0.00Continental Airlines, Inc.6.750% due 09/15/2015 7,300 7,555 0.08Continental Resources, Inc.7.125% due 04/01/2021 1,800 1,899 0.027.375% due 10/01/2020 3,850 4,100 0.04Countrywide Capital III8.050% due 06/15/2027 1,800 1,888 0.02


31 December 2010

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Countrywide Financial Corp.5.125% due 02/17/2011 £ 5,800 $ 9,110 0.095.800% due 06/07/2012 $ 6,000 6,315 0.07Crown Castle Towers LLC3.214% due 08/15/2015 1,000 985 0.014.174% due 08/15/2017 30,900 30,038 0.314.523% due 01/15/2015 600 624 0.005.495% due 01/15/2017 23,900 25,005 0.266.113% due 01/15/2020 700 732 0.01CSC Holdings LLC7.625% due 07/15/2018 12,850 14,007 0.147.875% due 02/15/2018 7,500 8,381 0.098.625% due 02/15/2019 20,350 23,097 0.24CVS Pass-Through Trust7.507% due 01/10/2032 13,977 15,925 0.16Daimler Finance N.A. LLC5.750% due 09/08/2011 4,500 4,651 0.056.500% due 11/15/2013 2,500 2,832 0.037.300% due 01/15/2012 5,501 5,846 0.06Delta Air Lines 2001-1 Class A-1 Pass-Through Trust6.619% due 03/18/2011 343 346 0.00Delta Air Lines 2001-1 Class A-2 Pass-Through Trust7.111% due 09/18/2011 7,400 7,640 0.08Delta Air Lines 2002-1 Class G-2 Pass-Through Trust6.417% due 07/02/2012 16,710 17,295 0.18Delta Air Lines 2009-1 Class A Pass-Through Trust7.750% due 12/17/2019 9,284 10,282 0.11Delta Air Lines 2009-1 Series B Pass-Through Trust9.750% due 12/17/2016 902 987 0.01Delta Air Lines 2010-1 Class A Pass-Through Trust6.200% due 07/02/2018 8,200 8,712 0.09Delta Air Lines 2010-2 Class A Pass-Through Trust4.950% due 05/23/2019 10,700 10,740 0.11Devon Energy Corp.6.300% due 01/15/2019 17 20 0.00Digital Realty Trust LP5.875% due 02/01/2020 11,000 11,210 0.12Discovery Communications LLC5.625% due 08/15/2019 200 220 0.00DISH DBS Corp.7.125% due 02/01/2016 4,050 4,202 0.047.750% due 05/31/2015 325 347 0.007.875% due 09/01/2019 7,100 7,455 0.08Dominion Resources, Inc.7.500% due 06/30/2066 900 942 0.01Dow Chemical Co.7.600% due 05/15/2014 28,800 33,242 0.348.550% due 05/15/2019 9,920 12,452 0.13Duke Energy Carolinas LLC6.250% due 01/15/2012 250 264 0.00Duke Energy Ohio, Inc.5.700% due 09/15/2012 4,600 4,955 0.05Duke Realty LP7.375% due 02/15/2015 1,800 2,011 0.02Duquesne Light Holdings, Inc.6.400% due 09/15/2020 5,950 5,916 0.06El Paso Corp.7.420% due 02/15/2037 3,700 3,503 0.04El Paso Natural Gas Co.5.950% due 04/15/2017 2,800 3,018 0.038.375% due 06/15/2032 15,000 17,718 0.18El Paso Pipeline Partners Operating Co. LLC6.500% due 04/01/2020 13,100 13,810 0.14Enbridge Energy Partners LP6.500% due 04/15/2018 8,300 9,498 0.10Energy Transfer Equity LP7.500% due 10/15/2020 6,500 6,727 0.07Energy Transfer Partners LP5.650% due 08/01/2012 4,400 4,663 0.055.950% due 02/01/2015 6,800 7,466 0.086.000% due 07/01/2013 500 545 0.006.700% due 07/01/2018 18,400 20,905 0.218.500% due 04/15/2014 16,910 19,648 0.209.000% due 04/15/2019 28,300 35,508 0.379.700% due 03/15/2019 19,408 25,122 0.26

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Entergy Corp.3.625% due 09/15/2015 $ 10,650 $ 10,545 0.115.125% due 09/15/2020 20,000 19,768 0.20Entergy Gulf States Louisiana LLC5.590% due 10/01/2024 2,500 2,651 0.03Entergy Mississippi, Inc.6.640% due 07/01/2019 1,800 2,065 0.02Entergy New Orleans, Inc.5.100% due 12/01/2020 15,000 14,682 0.15Entergy Texas, Inc.7.125% due 02/01/2019 11,000 12,832 0.13Enterprise Products Operating LLC5.000% due 03/01/2015 600 648 0.016.300% due 09/15/2017 2,800 3,164 0.036.500% due 01/31/2019 5,500 6,255 0.067.625% due 02/15/2012 581 619 0.019.750% due 01/31/2014 9,148 11,058 0.11ERAC USA Finance Co.8.000% due 01/15/2011 90 90 0.00ERP Operating LP4.750% due 07/15/2020 19,300 19,489 0.20Federal Realty Investment Trust5.650% due 06/01/2016 3,250 3,499 0.035.900% due 04/01/2020 670 712 0.01Fidelity National Financial, Inc.6.600% due 05/15/2017 4,300 4,296 0.04First Union Capital I7.935% due 01/15/2027 1,800 1,856 0.02FirstEnergy Corp.6.450% due 11/15/2011 8,198 8,533 0.09FirstEnergy Solutions Corp.4.800% due 02/15/2015 900 946 0.016.050% due 08/15/2021 6,900 7,102 0.07Florida Gas Transmission Co. LLC4.000% due 07/15/2015 3,100 3,203 0.035.450% due 07/15/2020 7,000 7,304 0.077.000% due 07/17/2012 9,600 10,312 0.117.900% due 05/15/2019 3,750 4,541 0.05Ford Motor Co.9.980% due 02/15/2047 50 60 0.00Ford Motor Credit Co. LLC6.625% due 08/15/2017 11,400 11,997 0.127.500% due 08/01/2012 16,900 17,975 0.197.800% due 06/01/2012 11,020 11,720 0.128.000% due 06/01/2014 2,300 2,536 0.038.125% due 01/15/2020 500 583 0.018.700% due 10/01/2014 200 225 0.009.875% due 08/10/2011 125 130 0.00Forest Oil Corp.7.250% due 06/15/2019 5,500 5,610 0.06FPL Energy National Wind Portfolio LLC6.125% due 03/25/2019 651 619 0.01Freeport-McMoRan Copper & Gold, Inc.8.250% due 04/01/2015 10,400 10,969 0.118.375% due 04/01/2017 7,900 8,750 0.09Freeport-McMoRan Corp.9.500% due 06/01/2031 1,800 2,450 0.03GATX Corp.4.750% due 05/15/2015 7,500 7,859 0.08General Electric Capital Corp.0.422% due 06/12/2012 100 99 0.005.500% due 09/15/2066 £ 910 1,296 0.015.500% due 09/15/2067 € 3,100 3,618 0.046.500% due 09/15/2067 £ 200 291 0.00General Electric Co.5.250% due 12/06/2017 $ 50,280 54,386 0.56General Mills, Inc.5.650% due 09/10/2012 982 1,057 0.01Georgia-Pacific LLC5.400% due 11/01/2020 45,900 45,466 0.477.000% due 01/15/2015 4,974 5,185 0.057.250% due 06/01/2028 4,000 4,350 0.047.375% due 12/01/2025 2,500 2,713 0.037.750% due 11/15/2029 10,800 12,244 0.138.000% due 01/15/2024 1,700 1,951 0.028.875% due 05/15/2031 11,000 13,585 0.14

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

GG1C Funding Corp.5.129% due 01/15/2014 $ 396 $ 409 0.00Goldman Sachs Group, Inc.0.753% due 03/22/2016 17,950 16,974 0.171.347% due 02/04/2013 € 6,400 8,352 0.091.350% due 11/15/2014 1,600 2,014 0.021.390% due 05/23/2016 5,000 6,066 0.061.393% due 01/30/2017 1,500 1,850 0.024.375% due 03/16/2017 2,000 2,610 0.035.375% due 02/15/2013 500 705 0.015.375% due 03/15/2020 $ 13,800 14,286 0.155.950% due 01/18/2018 18,300 19,882 0.206.000% due 06/15/2020 24,800 26,849 0.286.150% due 04/01/2018 23,700 26,137 0.276.250% due 09/01/2017 10,000 11,051 0.116.750% due 10/01/2037 4,600 4,718 0.057.500% due 02/15/2019 32,300 37,720 0.39HCA, Inc.7.250% due 09/15/2020 3,200 3,360 0.038.500% due 04/15/2019 27,785 30,564 0.32Healthcare Realty Trust, Inc.5.750% due 01/15/2021 6,100 6,112 0.06Historic TW, Inc.9.125% due 01/15/2013 12,900 14,759 0.15Hospitality Properties Trust7.875% due 08/15/2014 6,263 6,933 0.07HSBC Bank USA N.A.4.875% due 08/24/2020 72,000 71,709 0.74HSBC Finance Corp.0.558% due 04/24/2012 2,400 2,389 0.020.639% due 07/19/2012 13,300 13,203 0.140.652% due 09/14/2012 200 197 0.006.676% due 01/15/2021 15,000 15,182 0.16International Lease Finance Corp.0.633% due 07/01/2011 400 394 0.014.750% due 01/13/2012 1,700 1,719 0.025.350% due 03/01/2012 300 304 0.005.550% due 09/05/2012 200 203 0.005.625% due 09/20/2013 1,800 1,818 0.025.750% due 06/15/2011 2,050 2,071 0.025.875% due 05/01/2013 1,050 1,067 0.016.750% due 09/01/2016 8,925 9,572 0.107.125% due 09/01/2018 20,800 22,204 0.23Jersey Central Power & Light Co.5.650% due 06/01/2017 2,100 2,298 0.027.350% due 02/01/2019 5,000 5,927 0.06JPMorgan Chase & Co.1.193% due 01/30/2014 € 3,200 4,178 0.041.372% due 10/12/2015 6,000 7,470 0.084.250% due 10/15/2020 $ 8,700 8,514 0.094.400% due 07/22/2020 6,400 6,311 0.066.000% due 01/15/2018 8,315 9,299 0.106.300% due 04/23/2019 75,752 86,367 0.89JPMorgan Chase Bank N.A.6.000% due 10/01/2017 400 444 0.00JPMorgan Chase Capital XVIII6.950% due 08/17/2036 300 302 0.00JPMorgan Chase Capital XX6.550% due 09/29/2036 2,150 2,170 0.02JPMorgan Chase Capital XXVII7.000% due 11/01/2039 400 420 0.00KB Home6.250% due 06/15/2015 2,500 2,487 0.03Kentucky Power Co.6.000% due 09/15/2017 1,100 1,202 0.01Kerr-McGee Corp.6.875% due 09/15/2011 3,500 3,634 0.04Kilroy Realty LP5.000% due 11/03/2015 11,500 11,429 0.12Kimco Realty Corp.6.875% due 10/01/2019 3,008 3,409 0.04Kinder Morgan Energy Partners LP5.625% due 02/15/2015 16,590 18,224 0.195.800% due 03/01/2021 5,900 6,332 0.075.850% due 09/15/2012 8,800 9,440 0.105.950% due 02/15/2018 20,800 22,941 0.246.000% due 02/01/2017 19,500 21,557 0.22



DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

6.750% due 03/15/2011 $ 2,254 $ 2,279 0.026.850% due 02/15/2020 10,000 11,478 0.127.125% due 03/15/2012 8,378 8,940 0.099.000% due 02/01/2019 16,460 20,759 0.21Kinder Morgan, Inc.6.500% due 09/01/2012 400 423 0.00Kraft Foods, Inc.2.625% due 05/08/2013 500 514 0.01Lazard Group LLC6.850% due 06/15/2017 10,860 11,376 0.12Lehman Brothers Holdings, Inc. (b)0.000% due 12/23/2010 900 210 0.000.000% due 06/12/2013 € 2,807 894 0.016.875% due 05/02/2018 $ 3,000 758 0.01LifePoint Hospitals, Inc.6.625% due 10/01/2020 1,150 1,147 0.01Linn Energy LLC7.750% due 02/01/2021 4,400 4,532 0.05Lyondell Chemical Co.8.000% due 11/01/2017 31,048 34,424 0.3611.000% due 05/01/2018 4,500 5,119 0.05Magellan Midstream Partners LP6.450% due 06/01/2014 9,200 10,340 0.116.550% due 07/15/2019 18,290 20,885 0.21Marsh & McLennan Cos., Inc.5.750% due 09/15/2015 1,800 1,939 0.029.250% due 04/15/2019 1,400 1,769 0.02MBNA Capital B1.087% due 02/01/2027 300 210 0.00McKesson Corp.7.500% due 02/15/2019 300 365 0.00Merrill Lynch & Co., Inc.0.920% due 02/21/2012 £ 700 1,073 0.011.062% due 09/15/2026 $ 6,000 4,283 0.041.325% due 08/09/2013 € 2,500 3,198 0.031.466% due 07/22/2014 5,500 6,936 0.071.578% due 09/14/2018 1,550 1,630 0.025.000% due 02/03/2014 $ 8,950 9,269 0.105.450% due 02/05/2013 3,800 4,010 0.045.700% due 05/02/2017 300 301 0.006.050% due 08/15/2012 2,800 2,966 0.036.150% due 04/25/2013 5,300 5,690 0.066.400% due 08/28/2017 11,775 12,466 0.136.750% due 05/21/2013 € 2,600 3,698 0.046.875% due 04/25/2018 $ 141,699 155,294 1.606.875% due 11/15/2018 10,450 11,272 0.127.750% due 04/30/2018 £ 5,000 8,547 0.09MetLife Capital Trust X9.250% due 04/08/2038 $ 700 826 0.01Metropolitan Edison Co.7.700% due 01/15/2019 2,300 2,744 0.03Midcontinent Express Pipeline LLC5.450% due 09/15/2014 5,000 5,343 0.066.700% due 09/15/2019 28,205 30,364 0.31Morgan Stanley0.570% due 04/19/2012 4,600 4,591 0.050.589% due 01/09/2014 800 772 0.010.739% due 10/18/2016 4,650 4,301 0.040.769% due 10/15/2015 16,976 15,935 0.161.357% due 03/01/2013 € 11,900 15,282 0.161.377% due 04/13/2016 14,382 17,353 0.181.445% due 05/02/2014 32,500 41,204 0.431.504% due 02/23/2012 CAD 4,000 3,967 0.042.786% due 05/14/2013 $ 4,600 4,770 0.053.450% due 11/02/2015 10,000 9,760 0.105.300% due 03/01/2013 100 107 0.005.370% due 03/01/2013 AUD 1,800 1,784 0.025.375% due 08/10/2020 € 11,450 14,828 0.155.500% due 10/02/2017 2,025 2,764 0.035.500% due 07/24/2020 $ 4,000 4,049 0.045.625% due 09/23/2019 8,900 9,091 0.096.000% due 04/28/2015 2,700 2,927 0.036.250% due 08/28/2017 13,900 14,993 0.156.625% due 04/01/2018 22,700 24,660 0.257.300% due 05/13/2019 16,000 18,039 0.19Mutual of Omaha Insurance Co.6.950% due 10/15/2040 32,700 31,523 0.33

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

National Capital Trust I5.620% due 09/29/2049 £ 70 $ 94 0.00National City Bank of Cleveland6.200% due 12/15/2011 $ 1,750 1,835 0.02National City Bank of Kentucky6.300% due 02/15/2011 750 754 0.01NBC Universal, Inc.3.650% due 04/30/2015 500 514 0.014.375% due 04/01/2021 14,000 13,616 0.14New York Life Global Funding4.375% due 01/19/2017 € 1,500 2,099 0.02Newfield Exploration Co.6.875% due 02/01/2020 $ 25,000 26,437 0.277.125% due 05/15/2018 12,103 12,799 0.13News America Holdings, Inc.9.250% due 02/01/2013 15,000 17,296 0.189.500% due 07/15/2024 4,000 5,429 0.05NGPL PipeCo LLC6.514% due 12/15/2012 37,991 41,023 0.427.119% due 12/15/2017 66,957 73,404 0.76Nissan Motor Acceptance Corp.4.500% due 01/30/2015 1,000 1,039 0.01Norfolk Southern Corp.5.750% due 04/01/2018 27 31 0.00Northwest Airlines 2001-1 Class A-1

Pass-Through Trust7.041% due 04/01/2022 484 511 0.01Northwest Airlines 2001-2 Class A

Pass-Through Trust0.766% due 08/06/2013 3,652 3,433 0.04Northwest Airlines 2002-1 Class G-1

Pass-Through Trust1.034% due 05/20/2014 6,208 5,866 0.06Northwest Pipeline GP5.950% due 04/15/2017 1,100 1,240 0.016.050% due 06/15/2018 77 87 0.00NRG Energy, Inc.8.250% due 09/01/2020 15,000 15,450 0.168.500% due 06/15/2019 6,200 6,433 0.07NV Energy, Inc.6.250% due 11/15/2020 800 808 0.01Ohio Power Co.6.000% due 06/01/2016 1,800 2,029 0.02OMX Timber Finance Investments I LLC5.420% due 01/29/2020 22,100 23,073 0.24Oncor Electric Delivery Co. LLC6.375% due 05/01/2012 4,000 4,260 0.04Pacific Life Insurance Co.9.250% due 06/15/2039 17,000 22,357 0.23Pemex Project Funding Master Trust0.903% due 12/03/2012 100 100 0.00Petrohawk Energy Corp.7.250% due 08/15/2018 500 507 0.017.875% due 06/01/2015 3,000 3,139 0.0310.500% due 08/01/2014 1,000 1,145 0.01PHH Corp.7.125% due 03/01/2013 1,400 1,403 0.019.250% due 03/01/2016 2,600 2,756 0.03Pioneer Natural Resources Co.6.650% due 03/15/2017 8,400 8,964 0.096.875% due 05/01/2018 10,000 10,681 0.117.200% due 01/15/2028 600 630 0.017.500% due 01/15/2020 45,120 49,768 0.51Plains Exploration & Production Co.7.000% due 03/15/2017 3,000 3,097 0.037.625% due 04/01/2020 5,000 5,294 0.058.625% due 10/15/2019 500 550 0.01PNC Funding Corp.4.375% due 08/11/2020 13,000 12,873 0.13Pricoa Global Funding I5.400% due 10/18/2012 900 964 0.01Pride International, Inc.6.875% due 08/15/2020 18,300 19,078 0.208.500% due 06/15/2019 69,543 79,453 0.82Principal Life Income Funding Trusts5.300% due 04/24/2013 1,500 1,624 0.02

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Progress Energy, Inc.7.050% due 03/15/2019 $ 4,800 $ 5,704 0.06Provident Funding Associates10.250% due 04/15/2017 3,000 3,127 0.03Prudential Financial, Inc.5.100% due 09/20/2014 700 753 0.01PSEG Power LLC5.320% due 09/15/2016 17,162 18,802 0.196.950% due 06/01/2012 900 971 0.01Public Service Co. of Oklahoma6.150% due 08/01/2016 900 1,010 0.01Pulte Homes, Inc.7.625% due 10/15/2017 1,400 1,421 0.01Qwest Communications International, Inc.7.500% due 02/15/2014 375 382 0.00Qwest Corp.3.552% due 06/15/2013 4,000 4,200 0.04Racers0.533% due 07/25/2017 5,283 5,181 0.05Range Resources Corp.6.750% due 08/01/2020 8,200 8,497 0.097.250% due 05/01/2018 500 530 0.00RBS Capital Trust I4.709% due 12/29/2049 600 397 0.00Regions Bank7.500% due 05/15/2018 4,475 4,616 0.05Regions Financial Corp.0.473% due 06/26/2012 15,510 14,682 0.157.750% due 11/10/2014 11,441 11,908 0.12Reynolds American, Inc.7.250% due 06/01/2013 1,400 1,559 0.02Reynolds Group Issuer, Inc.7.125% due 04/15/2019 38,150 39,008 0.40Rockies Express Pipeline LLC5.625% due 04/15/2020 35,000 33,892 0.356.250% due 07/15/2013 24,416 26,384 0.276.850% due 07/15/2018 24,900 26,591 0.27Rohm & Haas Co.6.000% due 09/15/2017 1,500 1,644 0.02SandRidge Energy, Inc.8.750% due 01/15/2020 2,500 2,581 0.03SBA Tower Trust5.101% due 04/15/2017 40,620 42,292 0.44SEMCO Energy, Inc.5.150% due 04/21/2020 17,000 17,533 0.18Sempra Energy6.500% due 06/01/2016 968 1,125 0.01Simon Property Group LP5.375% due 06/01/2011 1,000 1,011 0.015.450% due 03/15/2013 2,380 2,571 0.035.750% due 05/01/2012 9,200 9,588 0.1010.350% due 04/01/2019 4,500 6,162 0.06Sino-Forest Corp.6.250% due 10/21/2017 3,000 3,041 0.03SLM Corp.0.502% due 03/15/2011 9,225 9,192 0.090.518% due 10/25/2011 9,500 9,369 0.100.588% due 01/27/2014 1,000 902 0.011.356% due 06/17/2013 € 2,800 3,368 0.031.379% due 04/26/2011 5,030 6,732 0.073.125% due 09/17/2012 1,200 1,571 0.025.375% due 05/15/2014 $ 3,710 3,731 0.045.625% due 08/01/2033 8,000 6,295 0.068.000% due 03/25/2020 15,000 15,233 0.168.450% due 06/15/2018 6,100 6,349 0.07Sonat, Inc.7.625% due 07/15/2011 200 206 0.00Southeast Supply Header LLC4.850% due 08/15/2014 10,100 10,599 0.11State Street Capital Trust III8.250% due 01/29/2049 2,900 2,948 0.03SteelRiver Transmission Co. LLC4.710% due 06/30/2017 4,000 3,938 0.04Stone Street Trust5.902% due 12/15/2015 10,600 10,944 0.11


31 December 2010

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

SunTrust Bank1.134% due 12/20/2011 € 7,300 $ 9,516 0.10Symantec Corp.4.200% due 09/15/2020 $ 4,000 3,677 0.04Tanger Properties LP6.125% due 06/01/2020 5,000 5,377 0.06Tennessee Gas Pipeline Co.7.625% due 04/01/2037 900 1,007 0.018.000% due 02/01/2016 29,175 34,003 0.35Time Warner Cable, Inc.5.400% due 07/02/2012 9,430 10,015 0.106.200% due 07/01/2013 10,000 11,113 0.117.500% due 04/01/2014 6,900 7,918 0.088.750% due 02/14/2019 3,800 4,843 0.05Time Warner, Inc.6.875% due 05/01/2012 900 969 0.01Times Square Hotel Trust8.528% due 08/01/2026 960 1,061 0.01Toll Brothers Finance Corp.6.750% due 11/01/2019 2,300 2,421 0.03UAL 2009-1 Pass-Through Trust10.400% due 11/01/2016 31,549 36,439 0.38UAL 2009-2A Pass-Through Trust9.750% due 01/15/2017 37,108 42,674 0.44UST LLC6.625% due 07/15/2012 1,915 2,055 0.02Ventas Realty LP3.125% due 11/30/2015 5,000 4,823 0.056.500% due 06/01/2016 600 625 0.016.750% due 04/01/2017 50 52 0.00Verizon Global Funding Corp.6.875% due 06/15/2012 500 542 0.01Wachovia Bank N.A.0.632% due 03/15/2016 1,800 1,689 0.024.800% due 11/01/2014 1,500 1,596 0.01Wachovia Capital Trust III5.800% due 03/29/2049 800 697 0.01Wachovia Capital Trust V7.965% due 06/01/2027 1,000 987 0.01Wachovia Corp.0.572% due 06/15/2017 15,300 14,068 0.152.057% due 05/01/2013 9,815 10,098 0.105.500% due 05/01/2013 3,500 3,811 0.045.700% due 08/01/2013 100 110 0.005.750% due 02/01/2018 20,548 22,848 0.24WEA Finance LLC5.750% due 09/02/2015 10,000 10,844 0.116.750% due 09/02/2019 7,100 7,923 0.087.500% due 06/02/2014 11,300 12,835 0.14WellPoint, Inc.6.000% due 02/15/2014 1,800 2,002 0.02Wells Fargo & Co.0.488% due 10/28/2015 7,400 7,147 0.071.145% due 08/01/2011 € 1,800 2,398 0.034.375% due 01/31/2013 $ 4,200 4,447 0.055.125% due 09/15/2016 1,200 1,282 0.015.250% due 10/23/2012 9,750 10,457 0.11Wells Fargo Capital XIII7.700% due 12/29/2049 38,950 40,459 0.42Weyerhaeuser Co.6.750% due 03/15/2012 23,400 24,728 0.267.375% due 10/01/2019 15,900 17,399 0.187.375% due 03/15/2032 11,700 11,859 0.12Williams Cos., Inc.7.875% due 09/01/2021 11,333 13,402 0.14Williams Partners LP7.250% due 02/01/2017 6,600 7,682 0.08Xerox Corp.4.250% due 02/15/2015 32 34 0.00

4,787,759 49.33


Adjustable Rate Mortgage Trust0.491% due 08/25/2035 18 17 0.00

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Banc of America Commercial Mortgage, Inc.5.492% due 02/10/2051 $ 110 $ 115 0.00Banc of America Funding Corp.4.945% due 09/20/2034 63 63 0.00Banc of America Large Loan, Inc.0.770% due 08/15/2029 134 125 0.00Bear Stearns Adjustable Rate Mortgage Trust2.430% due 08/25/2035 149 141 0.002.560% due 10/25/2035 90 81 0.002.934% due 03/25/2035 88 85 0.003.200% due 02/25/2034 74 66 0.003.609% due 11/25/2034 23 23 0.004.565% due 04/25/2034 16 15 0.005.325% due 08/25/2035 536 474 0.01Citigroup & Deutsche Bank Commercial

Mortgage Trust5.617% due 10/15/2048 200 215 0.005.886% due 11/15/2044 100 107 0.00Citigroup Commercial Mortgage Trust5.431% due 10/15/2049 1,200 1,283 0.015.698% due 12/10/2049 91 98 0.00Citigroup Mortgage Loan Trust, Inc.2.510% due 08/25/2035 105 99 0.002.560% due 08/25/2035 88 79 0.002.680% due 12/25/2035 98 95 0.00Countrywide Alternative Loan Trust0.541% due 02/25/2037 186 110 0.00Countrywide Home Loan Mortgage

Pass-Through Trust0.491% due 05/25/2035 23 16 0.003.121% due 11/25/2034 52 42 0.005.500% due 07/25/2035 488 499 0.01Credit Suisse First Boston Mortgage Securities Corp.2.585% due 06/25/2033 63 61 0.002.857% due 09/25/2034 109 102 0.006.500% due 12/25/2033 127 128 0.00CS First Boston Mortgage Securities Corp.2.528% due 07/25/2033 66 63 0.006.500% due 04/25/2033 2 2 0.00First Horizon Asset Securities, Inc.2.706% due 12/25/2033 65 64 0.00GMAC Commercial Mortgage Securities, Inc.8.192% due 09/15/2035 500 498 0.01GMAC Mortgage Corp. Loan Trust3.155% due 06/25/2034 38 33 0.005.500% due 11/25/2033 441 462 0.01GSR Mortgage Loan Trust2.825% due 09/25/2035 44 42 0.002.944% due 05/25/2035 4,094 3,449 0.04Harborview Mortgage Loan Trust2.856% due 04/19/2034 60 59 0.00JPMorgan Chase Commercial Mortgage

Securities Corp.5.440% due 06/12/2047 3,640 3,820 0.04JPMorgan Mortgage Trust5.036% due 02/25/2035 30 30 0.00MASTR Adjustable Rate Mortgages Trust2.899% due 11/21/2034 100 94 0.00MASTR Alternative Loans Trust5.500% due 02/25/2034 168 169 0.00Merrill Lynch Countrywide Commercial

Mortgage Trust5.172% due 12/12/2049 1,800 1,866 0.025.700% due 09/12/2049 100 104 0.00Merrill Lynch Mortgage Investors, Inc.2.953% due 05/25/2033 37 36 0.00MLCC Mortgage Investors, Inc.0.511% due 11/25/2035 15 13 0.000.921% due 06/25/2028 9 9 0.001.254% due 10/25/2035 22 19 0.001.707% due 10/25/2035 398 363 0.01Morgan Stanley Capital I5.569% due 12/15/2044 1,000 1,028 0.015.809% due 12/12/2049 5,000 5,351 0.06OBP Depositor LLC Trust4.646% due 07/15/2045 3,100 3,170 0.03

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Sequoia Mortgage Trust0.611% due 10/19/2026 $ 46 $ 40 0.00Structured Adjustable Rate Mortgage Loan Trust2.765% due 04/25/2034 20 18 0.002.817% due 03/25/2034 61 59 0.00Structured Asset Mortgage Investments, Inc.0.361% due 09/25/2047 6 6 0.000.471% due 04/25/2036 1,023 605 0.010.471% due 05/25/2046 53 30 0.000.511% due 07/19/2035 34 28 0.000.541% due 02/25/2036 109 67 0.00Structured Asset Securities Corp.2.497% due 06/25/2033 70 63 0.002.856% due 10/25/2035 23 19 0.00Thornburg Mortgage Securities Trust6.196% due 09/25/2037 3,019 2,831 0.03Wachovia Bank Commercial Mortgage Trust5.418% due 01/15/2045 200 214 0.005.572% due 10/15/2048 100 105 0.00WaMu Mortgage Pass-Through Certificates0.000% due 12/25/2027 355 19 0.000.531% due 12/25/2045 39 34 0.000.801% due 12/25/2027 349 310 0.001.328% due 08/25/2046 51 34 0.001.538% due 05/25/2041 9 9 0.00Washington Mutual MSC Mortgage

Pass-Through Certificates2.581% due 06/25/2033 544 531 0.01Wells Fargo Mortgage-Backed Securities Trust4.560% due 12/25/2033 317 323 0.004.967% due 12/25/2034 59 58 0.00

30,286 0.31


Baton Rouge, Louisiana, Gas & Fuels Tax RevenueBonds, Series 2009

3.000% due 05/01/2043 3,000 3,030 0.03California, General Obligation Bonds, Series 20095.450% due 04/01/2015 6,400 6,690 0.077.500% due 04/01/2034 1,800 1,864 0.02California, Metropolitan Water District of Southern

California Revenue Bonds, Series 20095.906% due 07/01/2025 3,700 3,806 0.04Illinois, General Obligation Bonds, Series 20101.823% due 01/01/2011 14,100 14,100 0.15New York, Metropolitan Transportation Authority

Revenue Bonds, Series 2010E6.814% due 11/15/2040 12,500 12,879 0.13New York, New York, Transitional Finance Authority

Revenue Bonds, Series 20105.267% due 05/01/2027 2,200 2,111 0.02Rhode Island, Tobacco Settlement Financing Corp.

Revenue Bonds, Series 20026.125% due 06/01/2032 250 241 0.00Riverside, California, Sewer Revenue Bonds,

Series 20097.000% due 08/01/2029 1,400 1,433 0.02

46,154 0.48

SHARES


Citigroup Capital XIII7.875% due 10/30/2040 156,000 4,198 0.04Farm Credit Bank10.000% due 11/29/2049 (f) 4,000 4,321 0.05JPMorgan Chase & Co.7.900% due 04/29/2049 64,500 6,879 0.07SLM Corp.3.193% due 01/16/2018 (c) 3,600 67 0.00UBS Preferred Funding Trust V6.243% due 05/29/2049 48,000 4,656 0.05Wells Fargo & Co.7.980% due 03/29/2049 20,000 2,120 0.02

22,241 0.23



PAR(000S)

FAIRVALUE(000S)

% OFNET

ASSETS



(Dated 12/31/2010.Collateralised by USTreasury Notes 2.750%due 02/15/2019 valued at$56,469. Repurchaseproceeds are $54,708.) $ 54,700 $ 54,700 0.56

TD Bank0.260% due 01/03/2011

(Dated 12/31/2010.Collateralised by USTreasury Notes 0.750%due 11/30/2011 valued at$22,454. Repurchaseproceeds are $22,000.) 22,000 22,000 0.23

76,700 0.79


Fannie Mae1.161% due 04/25/2032 11 12 0.001.542% due 06/01/2043 -

10/01/2044 140 140 0.002.110% due 12/01/2034 254 263 0.00

PAR(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

2.681% due 03/01/2037 $ 209 $ 219 0.004.000% due 01/01/2041 2,000 1,990 0.024.500% due 07/01/2039 -

12/01/2039 106,417 109,383 1.145.500% due 05/25/2036 1,151 1,209 0.015.845% due 02/01/2037 5 5 0.005.887% due 01/01/2037 6 7 0.005.896% due 01/01/2037 7 8 0.005.910% due 04/01/2037 6 6 0.005.925% due 09/01/2037 27 29 0.005.940% due 03/01/2037 6 6 0.006.017% due 12/01/2036 4 4 0.006.045% due 10/01/2037 2 3 0.006.266% due 09/01/2037 29 31 0.006.338% due 10/01/2036 24 26 0.00Freddie Mac0.200% due 06/22/2011 22,400 22,364 0.234.500% due 01/01/2040 866 888 0.015.000% due 07/15/2014 3,400 3,814 0.045.580% due 10/01/2038 34 36 0.005.679% due 03/01/2036 38 41 0.005.691% due 03/01/2036 15 17 0.005.893% due 03/01/2037 96 103 0.005.948% due 01/01/2037 5 6 0.006.102% due 04/01/2037 2 2 0.006.134% due 06/01/2037 19 20 0.00

PAR(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Small Business Administration4.720% due 02/01/2024 $ 729 $ 773 0.015.240% due 08/01/2023 747 792 0.01

142,197 1.47



06/09/2011 (d) 17,468 17,462 0.18US Treasury Notes0.375% due

10/31/2012 (d) 64,500 64,313 0.661.375% due 11/30/2015 3,500 3,402 0.042.625% due 11/15/2020 1,100 1,038 0.01

86,215 0.89





FUTURES


Month# of

Contracts


% ofNet Assets

Australian Government 10-Year Bond March Futures Long 03/2011 1,739 $ 1,398 0.01Canada Government 10-Year Bond March Futures Long 03/2011 1,982 986 0.01Euro-Bobl 5-Year Note March Futures Long 03/2011 1,176 (413) 0.00Euro-Bund 10-Year Bond March Futures Long 03/2011 3,527 (3,786) (0.04)United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures Long 12/2011 19,706 3,067 0.03United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures Long 03/2011 314 436 0.00United Kingdom Treasury 10-Year Gilt March Futures Long 03/2011 399 (314) 0.00

$ 1,374 0.01

Total Financial Derivative Instruments Dealt in on a Regulated Market $ 1,374 0.01



WRITTEN OPTIONS


ExerciseRate

ExpirationDate


FairValue

% ofNet Assets


Call - OTC Dow Jones iTraxx Europe Series 14 MSC Sell 0.900% 03/16/2011 € 29,200 $ (86) $ (70) 0.00Put - OTC Dow Jones iTraxx Europe Series 14 MSC Buy 1.600% 03/16/2011 29,200 (222) (51) 0.00Put - OTC Dow Jones iTraxx Europe Series 14 UBS Buy 1.300% 01/19/2011 65,000 (247) (46) 0.00Call - OTC Dow Jones CDX N.A. IG15 Index BNP Sell 0.800% 03/16/2011 $ 56,400 (124) (115) 0.00Put - OTC Dow Jones CDX N.A. IG15 Index BNP Buy 1.300% 03/16/2011 56,400 (152) (56) 0.00Call - OTC Dow Jones CDX N.A. IG15 Index MSC Sell 0.800% 03/16/2011 6,500 (13) (13) 0.00Put - OTC Dow Jones CDX N.A. IG15 Index MSC Buy 1.300% 03/16/2011 6,500 (23) (6) 0.00Call - OTC Dow Jones CDX N.A. IG15 Index MSC Sell 0.800% 05/18/2011 23,300 (56) (67) 0.00Put - OTC Dow Jones CDX N.A. IG15 Index MSC Buy 1.500% 05/18/2011 23,300 (126) (42) 0.00

$ (1,049) $ (466) 0.00


ExerciseRate

ExpirationDate


FairValue

% ofNet Assets


Put - OTC 10-Year Interest Rate Swap BCLY 6-Month EUR-LIBOR Pay 10.000% 07/01/2014 € 33,700 $ (249) $ (23) 0.00Put - OTC 3-Year Interest Rate Swap BCLY 3-Month USD-LIBOR Pay 3.000% 06/18/2012 $ 77,200 (692) (975) (0.01)Put - OTC 3-Year Interest Rate Swap BOA 3-Month USD-LIBOR Pay 3.000% 06/18/2012 98,700 (867) (1,246) (0.01)Put - OTC 2-Year Interest Rate Swap BOA 3-Month USD-LIBOR Pay 2.250% 09/24/2012 94,000 (614) (1,274) (0.01)Put - OTC 3-Year Interest Rate Swap CITI 3-Month USD-LIBOR Pay 3.000% 06/18/2012 202,800 (2,245) (2,560) (0.03)Put - OTC 3-Year Interest Rate Swap DUB 3-Month USD-LIBOR Pay 2.750% 06/18/2012 18,400 (191) (278) 0.00Put - OTC 3-Year Interest Rate Swap JPM 3-Month USD-LIBOR Pay 3.000% 06/18/2012 97,700 (889) (1,234) (0.01)Put - OTC 2-Year Interest Rate Swap MSC 3-Month USD-LIBOR Pay 2.250% 09/24/2012 58,000 (371) (786) (0.01)Put - OTC 3-Year Interest Rate Swap RBS 3-Month USD-LIBOR Pay 2.750% 06/18/2012 37,500 (367) (566) (0.01)Put - OTC 3-Year Interest Rate Swap RBS 3-Month USD-LIBOR Pay 3.000% 06/18/2012 124,200 (1,376) (1,568) (0.02)Put - OTC 2-Year Interest Rate Swap RBS 3-Month USD-LIBOR Pay 2.250% 09/24/2012 505,200 (4,161) (6,845) (0.07)

$ (12,022) $ (17,355) (0.18)


31 December 2010


ExpirationDate


FairValue

% ofNet Assets

INFLATION FLOOR

Floor - OTC CPURNSA Index CITI 215.949 Maximum of [1-(Index Final/Index Initial) or $0] 03/12/2020 $ 36,100 $ (311) $ (354) (0.01)Floor - OTC CPURNSA Index CITI 217.965 Maximum of [1 - (Final Index/Initial Index), $0] 09/29/2020 29,200 (376) (297) 0.00Floor - OTC CPURNSA Index DUB 218.011 Maximum of [-(Final Index/Initial Index -1), $0] 10/13/2020 23,600 (232) (248) 0.00

$ (919) $ (899) (0.01)


ExpirationDate


FairValue

% ofNet Assets

STRADDLE OPTIONS

Call & Put 1-Year vs. 1-Year Forward Volatility Agreement GSC 0.000 10/11/2011 $ 58,700 $ (310) $ (476) (0.01)Call & Put 1-Year vs. 1-Year Forward Volatility Agreement JPM 0.000 10/11/2011 45,900 (233) (372) 0.00Call & Put 1-Year vs. 2-Year Forward Volatility Agreement MSC 0.000 10/11/2011 200,200 (2,240) (3,368) (0.04)Call & Put 1-Year vs. 2-Year Forward Volatility Agreement MSC 0.000 11/14/2011 140,600 (1,529) (2,360) (0.02)

$ (4,312) $ (6,576) (0.07)




NotionalAmount(3)

FairValue

UpfrontPremiums

Paid/(Received)


% ofNet Assets

AON Corp. (1.000%) 09/20/2014 CSFB € 3,600 $ 21 $ (83) $ 104 0.00British Telecommunications PLC (1.430%) 09/20/2017 JPM £ 2,700 (90) 0 (90) 0.00Centex Corp. (1.000%) 03/20/2013 DUB $ 10,000 135 (17) 152 0.00Centex Corp. (1.000%) 12/20/2017 DUB 1,500 137 (6 ) 143 0.00D.R. Horton, Inc. (1.000%) 03/20/2016 BNP 2,500 163 230 (67) 0.00Mc MoRan, Inc. (1.000%) 06/20/2016 BNP 4,500 311 389 (78) 0.00Freeport-McMoRan Corp. (3.990%) 12/20/2018 BOA 1,000 (260) 0 (260) 0.00Intesa Sanpaolo SpA (1.000%) 09/20/2015 BCLY 1,700 32 34 (2) 0.00KB Home (1.000%) 06/20/2015 BNP 2,500 267 232 35 0.00Marsh & McLennan Cos., Inc. (1.000%) 06/20/2019 CITI 1,600 52 (65) 117 0.00Marsh & McLennan Cos., Inc. (1.000%) 09/20/2015 DUB 2,000 21 (47) 68 0.00Pearson PLC (0.730%) 06/20/2018 BCLY 3,000 7 0 7 0.00Pearson PLC (0.670%) 09/20/2014 GSC £ 620 (6) 0 (6) 0.00Qwest Corp. (1.000%) 06/20/2013 MSC $ 4,000 (36) 232 (268) 0.00Rohm and Haas Co. (1.000%) 09/20/2017 BOA 1,500 (34) (17) (17) 0.00Ryland Group, Inc. (1.000%) 06/20/2017 RBS 1,050 80 77 3 0.00Santander Issuances S.A. Unipersonal (3.000%) 12/20/2015 BNP € 5,000 383 45 338 0.01

$ 1,183 $ 1,004 $ 179 0.01




FairValue

UpfrontPremiums

Paid/(Received)


% ofNet Assets

Abu Dhabi Government International Bond 1.000% 09/20/2015 BCLY $ 7,600 $ 40 $ (37) $ 77 0.00Abu Dhabi Government International Bond 1.000% 12/20/2015 CITI 5,000 21 (32) 53 0.00Abu Dhabi Government International Bond 1.000% 12/20/2015 CSFB 15,000 64 (89) 153 0.00Abu Dhabi Government International Bond 1.000% 09/20/2015 DUB 12,600 66 (73) 139 0.00Abu Dhabi Government International Bond 1.000% 09/20/2015 GSC 1,500 8 (6) 14 0.00Abu Dhabi Government International Bond 1.000% 09/20/2015 HSBC 2,400 13 (9) 22 0.00Abu Dhabi Government International Bond 1.000% 09/20/2015 MSC 13,000 68 (69) 137 0.00Alcoa, Inc. 1.000% 12/20/2015 BNP 9,050 (411) (437) 26 0.00Alcoa, Inc. 1.000% 12/20/2015 CSFB 2,800 (127) (141) 14 0.00Alcoa, Inc. 1.000% 03/20/2016 HSBC 5,900 (301) (303) 2 0.00Alcoa, Inc. 1.000% 03/20/2016 MSC 5,800 (296) (305) 9 0.00Ally Financial, Inc. 5.000% 09/20/2012 DUB 5,700 336 104 232 0.00America Movil SAB de C.V. 1.000% 12/20/2012 DUB 33,200 99 134 (35) 0.00America Movil SAB de C.V. 1.000% 12/20/2012 HSBC 50,000 149 213 (64) 0.00American International Group, Inc. 5.000% 09/20/2011 BOA 6,000 212 (300) 512 0.00American International Group, Inc. 0.890% 12/20/2012 DUB 500 0 0 0 0.00American International Group, Inc. 0.900% 12/20/2012 DUB 1,000 0 0 0 0.00Anheuser-Busch InBev Worldwide, Inc. 1.000% 12/20/2015 BCLY € 25,500 (20) (271) 251 0.00Anheuser-Busch InBev Worldwide, Inc. 1.000% 12/20/2015 BCLY $ 38,500 (23) (231) 208 0.00Anheuser-Busch InBev Worldwide, Inc. 1.000% 12/20/2015 CITI € 6,300 (5) (27) 22 0.00Anheuser-Busch InBev Worldwide, Inc. 1.000% 12/20/2015 CITI $ 5,400 (3) (31) 28 0.00Anheuser-Busch InBev Worldwide, Inc. 1.000% 12/20/2015 DUB € 4,600 (4) (46) 42 0.00Anheuser-Busch InBev Worldwide, Inc. 1.000% 12/20/2015 GSC 4,000 (3) (50) 47 0.00Arcelormittal 1.000% 12/20/2015 BCLY $ 8,900 (497) (685) 188 0.00Arcelormittal 1.000% 12/20/2015 BOA 4,600 (257) (309) 52 0.00Arcelormittal 1.000% 12/20/2015 CSFB 7,600 (424) (571) 147 0.00Arcelormittal 1.000% 12/20/2015 GSC 11,600 (647) (918) 271 (0.01)Arcelormittal 1.000% 12/20/2015 MSC 5,000 (279) (380) 101 0.00Australia Government Bond 1.000% 09/20/2015 UBS 8,300 200 211 (11) 0.00Berkshire Hathaway Finance Corp. 1.000% 09/20/2015 BOA 15,000 (146) (423) 277 0.00Berkshire Hathaway Finance Corp. 1.000% 03/20/2015 GSC 20,000 (110) (232) 122 0.00Berkshire Hathaway Finance Corp. 1.000% 09/20/2015 GSC 35,000 (341) (1,248) 907 0.00BHP Billiton Finance USA Ltd. 1.000% 09/20/2011 CSFB 5,800 29 6 23 0.00BHP Billiton Finance USA Ltd. 1.000% 09/20/2015 CSFB 8,100 107 (43) 150 0.00





FairValue

UpfrontPremiums

Paid/(Received)


% ofNet Assets

BHP Billiton Finance USA Ltd. 1.000% 12/20/2015 CSFB $ 5,900 $ 76 $ 40 $ 36 0.00BHP Billiton Finance USA Ltd. 1.000% 09/20/2015 DUB 31,900 422 (172) 594 0.01BHP Billiton Finance USA Ltd. 1.000% 09/20/2015 MSC 7,100 94 (38) 132 0.00BHP Billiton Finance USA Ltd. 1.000% 09/20/2015 RBS 5,500 73 (13) 86 0.00BMW US Capital LLC 1.000% 03/20/2016 BCLY € 15,000 173 162 11 0.00BMW US Capital LLC 1.000% 09/20/2015 BCLY $ 4,200 43 0 43 0.00BMW US Capital LLC 1.000% 09/20/2015 CITI 26,850 273 16 257 0.00BMW US Capital LLC 1.000% 03/20/2016 GSC € 10,600 122 131 (9) 0.00BMW US Capital LLC 1.000% 09/20/2015 GSC $ 13,400 136 32 104 0.00BP Capital Markets America, Inc. 1.000% 06/20/2015 BOA 5,000 41 35 6 0.00BP Capital Markets America, Inc. 1.000% 03/20/2016 BOA 5,000 20 20 0 0.00BP Capital Markets America, Inc. 1.000% 06/20/2015 CSFB 40,400 329 244 85 0.00BP Capital Markets America, Inc. 1.000% 06/20/2015 DUB 10,000 81 57 24 0.00BP Capital Markets America, Inc. 1.000% 03/20/2016 GSC 5,000 20 22 (2) 0.00BP Capital Markets America, Inc. 1.000% 03/20/2016 HSBC € 8,000 43 15 28 0.00BP Capital Markets America, Inc. 1.000% 03/20/2016 HSBC $ 5,400 21 13 8 0.00BP Capital Markets America, Inc. 1.000% 06/20/2015 MSC 5,000 41 31 10 0.00Brazil Government International Bond 1.000% 12/20/2015 BCLY 64,400 (237) (28) (209) 0.00Brazil Government International Bond 1.000% 12/20/2015 BOA 34,000 (125) 50 (175) 0.00Brazil Government International Bond 1.000% 06/20/2015 CITI 5,000 (6) (97) 91 0.00Brazil Government International Bond 1.000% 12/20/2015 DUB 12,850 (47) (67) 20 0.00Brazil Government International Bond 1.000% 06/20/2015 MSC 5,700 (6) (53) 47 0.00Brazil Government International Bond 1.000% 03/20/2016 MSC 800 (4) (6) 2 0.00Canadian Natural Resources Ltd. 1.000% 09/20/2015 BCLY 1,600 22 (8) 30 0.00Canadian Natural Resources Ltd. 1.000% 09/20/2014 BOA 10,000 151 (231) 382 0.00Canadian Natural Resources Ltd. 5.000% 06/20/2014 DUB 3,000 459 159 300 0.01Canadian Natural Resources Ltd. 1.000% 12/20/2015 GSC 2,100 28 7 21 0.00Canadian Natural Resources Ltd. 1.000% 09/20/2015 HSBC 4,300 59 (14) 73 0.00Canadian Natural Resources Ltd. 1.000% 12/20/2015 MSC 3,000 40 11 29 0.00Canadian Natural Resources Ltd. 1.000% 03/20/2016 MSC 4,000 51 52 (1) 0.00Canadian Natural Resources Ltd. 1.000% 09/20/2015 RBS 39,900 548 (176) 724 0.01Canadian Natural Resources Ltd. 1.000% 12/20/2015 SOG 700 9 3 6 0.00Charter Communications Operating, LLC 2.500% 09/20/2011 CITI 4,500 52 (20) 72 0.00Chesapeake Energy Corp. 5.000% 06/20/2015 CITI 1,100 85 (7) 92 0.00Chesapeake Energy Corp. 5.000% 06/20/2015 CSFB 3,000 233 (24) 257 0.00Chesapeake Energy Corp. 5.000% 03/20/2015 GSC 7,400 602 231 371 0.01China Government International Bond 0.770% 12/20/2014 BCLY 5,000 42 0 42 0.00China Government International Bond 1.000% 12/20/2015 BCLY 25,000 415 520 (105) 0.00China Government International Bond 0.820% 12/20/2014 BOA 13,400 140 0 140 0.00China Government International Bond 1.000% 12/20/2015 CITI 25,000 415 520 (105) 0.00China Government International Bond 1.000% 06/20/2015 MSC 900 16 16 0 0.00China Government International Bond 1.000% 12/20/2015 MSC 19,050 316 263 53 0.00China Government International Bond 0.750% 12/20/2014 RBS 900 7 0 7 0.00Citigroup, Inc. 1.000% 03/20/2011 BCLY 20,000 26 (99) 125 0.00Citigroup, Inc. 0.650% 12/20/2012 BOA 200 (1) 0 (1) 0.00Citigroup, Inc. 0.720% 12/20/2012 BOA 200 (1) 0 (1) 0.00Citigroup, Inc. 5.000% 09/20/2014 BOA 2,000 276 84 192 0.00Comcast Corp. 1.000% 12/20/2015 BNP 500 5 (1) 6 0.00Comcast Corp. 1.000% 12/20/2015 CITI 23,300 219 92 127 0.00Comcast Corp. 1.000% 12/20/2015 GSC 12,500 117 (12) 129 0.00Comcast Corp. 1.000% 12/20/2015 MSC 10,000 94 (24) 118 0.00Comcast Corp. 1.000% 12/20/2015 RBS 3,900 37 0 37 0.00Corp. Nacional del Cobre de Chile 1.000% 03/20/2012 BCLY 3,500 25 10 15 0.00Daimler Finance North America 1.000% 03/20/2016 BCLY 5,000 15 20 (5) 0.00Daimler Finance North America 1.000% 03/20/2016 BOA € 15,000 61 85 (24) 0.00Daimler Finance North America 1.000% 03/20/2016 CITI $ 11,000 33 31 2 0.00Daimler Finance North America 1.000% 12/20/2013 GSC 4,500 45 44 1 0.00Danone 1.000% 12/20/2015 CSFB € 17,900 391 352 39 0.00E.ON AG 1.000% 03/20/2016 CITI $ 2,000 17 14 3 0.00El Paso Corp. 5.000% 09/20/2014 DUB 2,500 275 (212) 487 0.00Forest Oil Corp. 5.000% 06/20/2015 CITI 2,500 250 62 188 0.00Forest Oil Corp. 5.000% 06/20/2015 DUB 5,000 501 157 344 0.01Forest Oil Corp. 5.000% 06/20/2015 GSC 1,500 150 0 150 0.00France Government Bond 0.250% 03/20/2016 BCLY 1,800 (74) (71) (3) 0.00France Government Bond 0.250% 06/20/2015 CITI 15,900 (510) (306) (204) 0.00France Government Bond 0.250% 03/20/2016 CITI 6,100 (250) (246) (4) 0.00France Government Bond 0.250% 03/20/2016 GSC 35,400 (1,448) (1,416) (32) (0.01)Freeport-McMoRan Copper & Gold, Inc. 1.000% 06/20/2012 CITI 1,000 10 0 10 0.00General Electric Capital Corp. 5.000% 06/20/2012 BCLY 2,000 128 51 77 0.00General Electric Capital Corp. 0.630% 12/20/2012 BCLY 300 (1) 0 (1) 0.00General Electric Capital Corp. 4.450% 12/20/2013 BCLY 3,000 298 0 298 0.00General Electric Capital Corp. 5.000% 06/20/2014 BCLY 12,500 1,646 (1,000) 2,646 0.02General Electric Capital Corp. 5.000% 09/20/2014 BCLY 5,250 730 166 564 0.01General Electric Capital Corp. 5.000% 06/20/2018 BCLY 2,700 636 209 427 0.01General Electric Capital Corp. 3.150% 03/20/2014 BNP 3,500 227 0 227 0.00General Electric Capital Corp. 4.300% 03/20/2014 BNP 4,100 416 0 416 0.00General Electric Capital Corp. 5.000% 09/20/2014 BOA 40,000 5,567 3,875 1,692 0.06General Electric Capital Corp. 6.950% 03/20/2013 CITI 1,000 134 0 134 0.00General Electric Capital Corp. 4.000% 03/20/2014 CITI 10,000 919 0 919 0.01General Electric Capital Corp. 5.000% 09/20/2014 DUB 9,500 1,322 346 976 0.01General Electric Capital Corp. 1.000% 06/20/2015 DUB 10,000 (108) (312) 204 0.00


31 December 2010



FairValue

UpfrontPremiums

Paid/(Received)


% ofNet Assets

General Electric Capital Corp. 1.000% 12/20/2011 GSC $ 11,400 $ 50 $ 3 $ 47 0.00General Electric Capital Corp. 1.000% 12/20/2011 MSC 15,000 65 34 31 0.00General Electric Capital Corp. 5.000% 06/20/2014 MSC 12,500 1,646 (1,000) 2,646 0.02General Electric Capital Corp. 5.000% 09/20/2014 MSC 5,000 696 466 230 0.01Goldman Sachs Group, Inc. 1.000% 09/20/2011 BNP 5,000 16 (54) 70 0.00Goldman Sachs Group, Inc. 1.000% 06/20/2011 BOA 22,400 50 13 37 0.00Goldman Sachs Group, Inc. 0.610% 09/20/2012 BOA 1,400 (4) 0 (4) 0.00Goldman Sachs Group, Inc. 1.000% 03/20/2013 DUB 10,000 43 (29) 72 0.00Indonesia Government International Bond 1.000% 09/20/2015 BOA 10,000 (95) (244) 149 0.00Indonesia Government International Bond 1.000% 03/20/2016 MSC 7,300 (109) (98) (11) 0.00Indonesia Government International Bond 1.000% 12/20/2015 UBS 9,900 (121) (142) 21 0.00ING Verzekeringen NV 1.400% 06/20/2011 DUB € 10,000 (11) 0 (11) 0.00Japan Government International Bond 1.000% 03/20/2015 GSC $ 25,000 428 533 (105) 0.01Japan Government International Bond 1.000% 09/20/2015 GSC 9,000 142 133 9 0.00Japan Government International Bond 1.000% 12/20/2015 GSC 1,600 24 36 (12) 0.00Japan Government International Bond 1.000% 03/20/2016 GSC 30,000 432 414 18 0.01Japan Government International Bond 1.000% 12/20/2015 RBS 8,000 121 181 (60) 0.00Kinder Morgan Energy Partners 1.000% 03/20/2015 CITI 20,000 (57) (220) 163 0.00Metlife, Inc. 5.000% 12/20/2014 BOA 10,000 1,388 1,201 187 0.01Metlife, Inc. 1.000% 03/20/2015 BOA 20,000 (347) (808) 461 0.00Metlife, Inc. 1.000% 03/20/2016 BOA 25,000 (773) (853) 80 (0.01)Metlife, Inc. 5.000% 06/20/2014 DUB 6,000 764 (60) 824 0.01Metlife, Inc. 5.000% 09/20/2014 DUB 20,000 2,664 1,850 814 0.03Metlife, Inc. 1.000% 12/20/2014 GSC 10,000 (144) (560) 416 0.00Metlife, Inc. 1.000% 09/20/2015 GSC 10,000 (243) (516) 273 0.00Metlife, Inc. 5.000% 06/20/2014 JPM 4,000 509 (24) 533 0.01Metlife, Inc. 1.000% 09/20/2015 SOG 7,400 (180) (596) 416 0.00Mexico Government International Bond 1.000% 12/20/2015 BCLY 38,850 (182) (291) 109 0.00Mexico Government International Bond 1.000% 12/20/2015 MSC 50,000 (235) (74) (161) 0.00Mexico Government International Bond 1.000% 03/20/2016 MSC 25,000 (152) (195) 43 0.00Mexico Government International Bond 1.000% 03/20/2011 RBS 6,000 8 11 (3) 0.00Mexico Government International Bond 1.000% 12/20/2014 UBS 2,700 2 (53) 55 0.00Morgan Stanley 1.000% 03/20/2011 BOA 5,500 4 (6) 10 0.00Morgan Stanley 0.615% 09/20/2012 BOA 4,400 (30) 0 (30) 0.00Morgan Stanley 4.100% 06/20/2012 GSC 1,400 66 0 66 0.00Pacific Gas & Electric Co. 3.650% 03/20/2014 BCLY 6,900 659 0 659 0.01Pacific Gas & Electric Co. 3.700% 03/20/2014 CITI 1,100 107 0 107 0.00Petrobras International Finance Co. 1.000% 12/20/2012 BCLY 25,000 (92) 10 (102) 0.00Petrobras International Finance Co. 1.000% 09/20/2012 DUB 1,200 (3) (10) 7 0.00Petrobras International Finance Co. 1.000% 09/20/2012 MSC 800 (2) (5) 3 0.00Petrobras International Finance Co. 1.000% 12/20/2012 MSC 7,000 (26) (39) 13 0.00Petrobras International Finance Co. 1.000% 09/20/2015 MSC 1,200 (28) (39) 11 0.00Potash Corp. of Saskatchewan, Inc. 1.000% 12/20/2015 BOA 5,850 85 (25) 110 0.00Potash Corp. of Saskatchewan, Inc. 1.000% 12/20/2015 CSFB 9,400 136 (69) 205 0.00Potash Corp. of Saskatchewan, Inc. 1.000% 12/20/2015 DUB 11,250 163 (24) 187 0.00Procter & Gamble Co. 1.270% 03/20/2014 DUB 4,000 131 0 131 0.00Prudential Financial, Inc. 1.000% 12/20/2011 CITI 11,400 65 0 65 0.00Prudential Financial, Inc. 1.000% 12/20/2012 HSBC 8,000 57 40 17 0.00Prudential Financial, Inc. 1.000% 12/20/2011 UBS 12,100 69 18 51 0.00Rabobank Nederland NV 1.000% 12/20/2014 DUB € 10,000 181 194 (13) 0.00Republic of Italy 1.000% 12/20/2015 BNP $ 2,300 (140) (82) (58) 0.00Republic of Italy 1.000% 12/20/2015 DUB 7,900 (479) (279) (200) 0.00Republic of Italy 1.000% 12/20/2015 GSC 1,600 (97) (54) (43) 0.00Republic of Korea 1.000% 09/20/2011 BCLY 2,600 10 9 1 0.00Republic of Korea 1.000% 09/20/2015 BCLY 5,600 24 (35) 59 0.00Republic of Korea 1.000% 12/20/2015 BCLY 16,200 56 186 (130) 0.00Republic of Korea 1.000% 12/20/2015 BOA 5,800 20 12 8 0.00Republic of Korea 1.000% 12/20/2015 CSFB 10,000 35 119 (84) 0.00Republic of Korea 1.000% 03/20/2011 DUB 1,000 1 4 (3) 0.00Republic of Korea 1.000% 12/20/2015 DUB 24,000 83 0 83 0.00Republic of Korea 1.000% 03/20/2011 HSBC 900 1 4 (3) 0.00Republic of Korea 1.000% 09/20/2015 HSBC 2,000 9 (3) 12 0.00Republic of Korea 1.000% 12/20/2015 MSC 15,400 53 129 (76) 0.00Republic of Korea 1.000% 09/20/2011 UBS 5,200 20 19 1 0.00Republic of Korea 1.000% 09/20/2015 UBS 13,600 59 (45) 104 0.00Republic of Korea 1.000% 12/20/2015 UBS 22,900 79 174 (95) 0.00Republic of Korea 1.000% 03/20/2016 CSFB 5,000 13 (3) 16 0.00Republic of Korea 1.000% 03/20/2016 MSC 19,500 51 57 (6 ) 0.00Rio Tinto Finance Usa Ltd. 1.000% 03/20/2016 MSC 3,000 21 21 0 0.00Rogers Communications, Inc. 1.000% 12/20/2015 DUB 20,000 231 49 182 0.00Russia Government International Bond 1.000% 12/20/2011 BCLY 23,900 112 125 (13) 0.00Russia Government International Bond 1.000% 06/20/2015 BCLY 3,000 (45) (37) (8) 0.00Russia Government International Bond 1.000% 12/20/2015 CITI 15,000 (300) (295) (5) 0.00Russia Government International Bond 1.000% 12/20/2014 CSFB 8,100 (87) (315) 228 0.00Russia Government International Bond 1.000% 12/20/2014 MSC 2,000 (21) (74) 53 0.00Santander Issuances S.A. Unipersonal 1.000% 12/20/2011 BOA 5,000 (42 ) (3) (39) 0.00Santander Issuances S.A. Unipersonal 1.000% 12/20/2011 DUB € 5,000 (57) (16) (41) 0.00Santander Issuances S.A. Unipersonal 1.000% 12/20/2011 GSC $ 10,000 (84) 3 (87) 0.00SLM Corp. 5.000% 06/20/2011 BOA 3,000 66 (142) 208 0.00SLM Corp. 5.000% 09/20/2011 BOA 22,300 734 (1,535) 2,269 0.01SLM Corp. 5.000% 09/20/2011 CITI 6,000 197 (270) 467 0.00





FairValue

UpfrontPremiums

Paid/(Received)


% ofNet Assets

SLM Corp. 5.000% 09/20/2011 MSC $ 2,000 $ 66 $ (120) $ 186 0.00Teck Resources Ltd. 1.000% 12/20/2015 BCLY 2,200 (12) (33) 21 0.00Telefonica, S.A 1.000% 09/20/2011 CITI 25,000 37 (79) 116 0.00Telefonica, S.A 1.000% 09/20/2011 DUB 20,000 30 (68) 98 0.00Telefonica, S.A 1.000% 12/20/2015 DUB 3,350 (121) (77) (44) 0.00Tesco Personal Finance PLC 1.000% 03/20/2016 CITI 3,000 37 36 1 0.00Time Warner Cable, Inc. 1.000% 12/20/2015 BCLY 4,500 8 (44) 52 0.00Time Warner Cable, Inc. 1.000% 12/20/2015 CITI 25,000 46 (244) 290 0.00Time Warner Cable, Inc. 1.000% 12/20/2015 CSFB 8,600 16 (88) 104 0.00Time Warner Cable, Inc. 1.000% 12/20/2015 GSC 8,500 16 (4) 20 0.00Time Warner Cable, Inc. 1.000% 12/20/2015 HSBC 200 0 (1) 1 0.00Toyota Motor Corp. 1.000% 03/20/2015 BCLY 1,600 34 9 25 0.00Toyota Motor Corp. 1.000% 03/20/2015 BOA 900 19 (1) 20 0.00Transocean, Inc. 5.000% 03/20/2012 CSFB 600 33 2 31 0.00Transocean, Inc. 5.000% 03/20/2012 DUB 7,500 411 30 381 0.00United Kingdom Gilt 1.000% 06/20/2015 DUB 25,200 371 304 67 0.00United Kingdom Gilt 1.000% 03/20/2016 DUB 28,500 384 364 20 0.00United Kingdom Gilt 1.000% 12/20/2015 GSC 8,000 111 186 (75) 0.00United Kingdom Gilt 1.000% 12/20/2014 MSC 8,200 124 61 63 0.00United Kingdom Gilt 1.000% 12/20/2015 UBS 9,500 132 178 (46) 0.00Vodafone Group PLC 1.000% 09/20/2015 BCLY 25,000 349 (144) 493 0.00Vodafone Group PLC 1.000% 09/20/2015 BNP 1,200 17 (8) 25 0.00Vodafone Group PLC 1.000% 09/20/2015 DUB 15,500 216 (112) 328 0.00Vodafone Group PLC 1.000% 09/20/2015 RBS 25,000 349 (180) 529 0.00Volkswagen International Finance 1.000% 09/20/2015 BCLY € 6,000 64 (14) 78 0.00Volkswagen International Finance 1.000% 03/20/2016 BCLY 15,000 119 94 25 0.00Volkswagen International Finance 1.000% 09/20/2015 BCLY $ 12,100 95 (168) 263 0.00Volkswagen International Finance 1.000% 09/20/2015 CITI 7,300 57 (27) 84 0.00Volkswagen International Finance 1.000% 03/20/2016 CITI 1,000 6 5 1 0.00Volkswagen International Finance 1.000% 09/20/2015 DUB 36,500 286 (506) 792 0.00Volkswagen International Finance 1.000% 09/20/2015 GSC € 1,900 20 (18) 38 0.00Volkswagen International Finance 1.000% 03/20/2016 GSC 13,900 111 115 (4) 0.00Wells Fargo & Co. 1.000% 09/20/2013 DUB $ 4,000 36 (101) 137 0.00Xstrata PLC 1.000% 03/20/2016 BCLY € 10,000 (245) (259) 14 0.00Xstrata PLC 1.000% 03/20/2016 BOA 10,000 (245) (211) (34) 0.00Xstrata PLC 1.000% 03/20/2016 GSC 11,800 (290) (235) (55) 0.00

$ 26,115 $ (7,535) $ 33,650 0.27



NotionalAmount(3)

FairValue

UpfrontPremiums


Appreciation% of

Net Assets

Dow Jones CDX N.A. HY3 Index(1.250%) 03/20/2015 CITI $ 3,867 $ 84 $ (32) $ 116 0.00




FairValue

UpfrontPremiums


Appreciation% of

Net Assets

Dow Jones CDX N.A. IG15 Index 1.000% 12/20/2015 GSC $ 50,200 $ 366 $ 221 $ 145 0.01Dow Jones iTraxx Europe Series 8 0.950% 12/20/2012 MLP € 11,250 162 0 162 0.00

$ 528 $ 221 $ 307 0.01




INTEREST RATE SWAPS


NotionalAmount

FairValue

UpfrontPremiums


Appreciation% of

Net Assets

Pay 3-Month USD-LIBOR 3.000% 12/16/2011 BCLY $ 21,900 $ 565 $ 509 $ 56 0.01Pay 6-Month Australian Bank Bill 6.000% 12/15/2020 BNP AUD 50,200 (270) (489) 219 0.00Pay 6-Month GBP-LIBOR 5.000% 03/18/2014 BCLY £ 26,000 4,223 253 3,970 0.04Pay 6-Month GBP-LIBOR 5.000% 03/18/2014 DUB 50,000 8,122 (985) 9,107 0.08Pay 6-Month GBP-LIBOR 5.000% 03/18/2014 GSC 39,100 6,351 495 5,856 0.07Pay BRL-CDI-Compounded 10.835% 01/02/2012 GSC BRL 50,000 272 78 194 0.00Pay BRL-CDI-Compounded 11.140% 01/02/2012 BCLY 75,000 700 400 300 0.01Pay BRL-CDI-Compounded 11.140% 01/02/2012 GSC 200,000 1,865 342 1,523 0.02


31 December 2010



NotionalAmount

FairValue

UpfrontPremiums


Appreciation% of

Net Assets

Pay BRL-CDI-Compounded 11.360% 01/02/2012 GSC BRL 25,000 $ 201 $ 105 $ 96 0.00Pay BRL-CDI-Compounded 11.600% 01/02/2012 MSC 125,900 1,923 1 1,922 0.02Pay BRL-CDI-Compounded 11.990% 01/02/2014 BCLY 3,800 17 0 17 0.00Pay IBMEXID 8.170% 11/04/2016 GSC MXN 36,900 212 54 158 0.00

$ 24,181 $ 763 $ 23,418 0.25


Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Sell AUD 2,262 BNP 01/2011 $ 0 $ (101) $ (101) 0.00Buy 25,747 CSFB 01/2011 1,314 0 1,314 0.01Buy 9,374 JPM 01/2011 368 0 368 0.00Sell 34,792 RBS 01/2011 0 (2,429) (2,429) (0.02)Buy BRL 16,591 CITI 03/2011 141 0 141 0.00Buy 8,424 CITI 04/2011 180 0 180 0.00Sell CAD 4,365 CITI 02/2011 0 (43) (43) 0.00Buy 87,704 DUB 02/2011 1,105 0 1,105 0.01Buy 1,200 MSC 02/2011 24 0 24 0.00Buy 1,500 RBS 02/2011 26 0 26 0.00Buy 527 UBS 02/2011 7 0 7 0.00Sell CHF 272 BCLY 02/2011 0 (19) (19) 0.00Sell 340 BNP 02/2011 0 (15) (15) 0.00Sell 100 BOA 02/2011 0 (7) (7) 0.00Sell 551 CITI 02/2011 0 (35) (35) 0.00Sell 931 CSFB 02/2011 0 (40) (40) 0.00Sell 445 HSBC 02/2011 0 (15) (15) 0.00Sell 267 MSC 02/2011 0 (4) (4) 0.00Sell 14,226 RBC 02/2011 0 (932) (932) (0.01)Sell 261 RBS 02/2011 0 (16) (16) 0.00Buy CNY 125,837 CITI 01/2011 77 0 77 0.00Sell 193,867 DUB 01/2011 0 (268) (268) 0.00Buy 68,030 UBS 01/2011 233 0 233 0.00Buy 63,096 CITI 06/2011 74 0 74 0.00Buy 24,144 BCLY 11/2011 18 (5) 13 0.00Buy 321,650 HSBC 11/2011 0 (195) (195) 0.00Buy 16,468 JPM 11/2011 0 (13) (13) 0.00Buy 16,387 RBS 11/2011 5 0 5 0.00Buy 5,070 BCLY 02/2012 0 (4) (4) 0.00Buy 193,867 DUB 02/2012 323 0 323 0.00Buy 319,500 UBS 02/2012 0 (253) (253) 0.00Buy 151,375 CITI 09/2015 213 0 213 0.00Buy 152,125 MSC 09/2015 337 0 337 0.01Buy € 6,874 BCLY 01/2011 34 (241) (207) 0.00Sell 44,658 BCLY 01/2011 0 (1,299) (1,299) (0.02)Buy 13,295 BOA 01/2011 120 0 120 0.00Sell 3,278 BOA 01/2011 32 0 32 0.00Buy 44,260 CITI 01/2011 78 (1,113) (1,035) (0.01)Sell 616,217 CITI 01/2011 8,235 (97) 8,138 0.08Buy 5,189 CSFB 01/2011 30 0 30 0.00Sell 4,090 CSFB 01/2011 0 (80) (80) 0.00Buy 1,770 DUB 01/2011 18 (22) (4) 0.00Sell 5,583 DUB 01/2011 0 (104) (104) 0.00Sell 13,751 GSC 01/2011 0 (47) (47) 0.00Sell 14,321 HSBC 01/2011 0 (112) (112) 0.00Buy 3,193 MSC 01/2011 34 (75) (41) 0.00Sell 30,624 MSC 01/2011 370 (674) (304) 0.00Buy 3,567 RBC 01/2011 0 (206) (206) 0.00Sell 6,358 RBC 01/2011 0 (126) (126) 0.00Buy 13,412 RBS 01/2011 131 (190) (59) 0.00Sell 64,381 RBS 01/2011 951 (165) 786 0.01Sell 29,365 UBS 01/2011 0 (424) (424) (0.01)Sell £ 1,508 BCLY 01/2011 0 (38) (38) 0.00Sell 482 DUB 01/2011 0 (13) (13) 0.00Sell 96,077 BCLY 03/2011 0 (508) (508) (0.01)Buy 4,391 CITI 03/2011 39 0 39 0.00Sell 96,077 DUB 03/2011 0 (479) (479) 0.00Sell 64,052 RBS 03/2011 0 (93) (93) 0.00Buy IDR 30,929,300 BCLY 07/2011 25 0 25 0.00Buy 31,710,600 CITI 07/2011 48 0 48 0.00Buy 40,304,200 HSBC 07/2011 51 0 51 0.00Buy 110,700,000 BOA 10/2011 0 (81) (81) 0.00Buy ILS 4,170 DUB 05/2011 33 0 33 0.00Buy INR 30,310 BCLY 03/2011 1 0 1 0.00Buy 2,232,726 CITI 03/2011 245 (92) 153 0.00Buy 17,000 RBS 03/2011 0 (1) (1) 0.00Sell JPY 650,521 GSC 01/2011 0 (293) (293) 0.00Sell 180,447 JPM 01/2011 0 (75) (75) 0.00Sell 387,215 RBC 01/2011 0 (176) (176) 0.00



Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Sell JPY 774,431 RBS 01/2011 $ 0 $ (336) $ (336) (0.01)Buy KRW 781,700 BCLY 05/2011 0 (3) (3) 0.00Buy 16,426,250 CITI 05/2011 121 (25) 96 0.00Buy 56,100,000 DUB 05/2011 0 (260) (260) 0.00Buy 629,945 GSC 05/2011 3 0 3 0.00Buy 1,475,000 HSBC 05/2011 0 (6) (6) 0.00Buy 3,401,500 JPM 05/2011 17 0 17 0.00Buy 56,090,000 MSC 05/2011 0 (268 ) (268) 0.00Buy 2,957,000 RBS 05/2011 8 0 8 0.00Buy MXN 348,280 BCLY 02/2011 1,818 0 1,818 0.02Buy 9,927 CITI 02/2011 53 0 53 0.00Buy 78,542 DUB 02/2011 57 0 57 0.00Buy 806,808 MSC 02/2011 346 0 346 0.00Buy NOK 435,846 CITI 02/2011 1,184 0 1,184 0.01Buy PHP 1,508,220 CITI 04/2011 0 (515) (515) 0.00Buy 1,481,850 JPM 04/2011 0 (562) (562) (0.01)Buy 9,350 CITI 06/2011 3 0 3 0.00Buy 4,567 DUB 06/2011 1 0 1 0.00Buy 18,319 HSBC 06/2011 4 0 4 0.00Buy 4,692 JPM 06/2011 1 0 1 0.00Sell SEK 12,317 RBC 02/2011 2 0 2 0.00Buy SGD 12,080 BOA 03/2011 447 0 447 0.01Buy 7,974 DUB 03/2011 179 0 179 0.00Buy 2,500 JPM 03/2011 97 0 97 0.00Buy 100,667 MSC 03/2011 584 0 584 0.01Buy 3,000 RBS 03/2011 115 0 115 0.00Buy ZAR 3,214 HSBC 01/2011 25 0 25 0.00

$ 19,985 $ (13,193) $ 6,792 0.07



DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS


ANZ National Bank3.890% due 01/04/2011 AUD 2,314 $ 2,372 0.02BNP Paribas Bank0.080% due 01/03/2011 € 9,208 12,353 0.13Brown Brothers Harriman & Co.0.550% due 01/03/2011 NOK 2 0 0.00Credit Suisse AG0.005% due 01/03/2011 CHF 132 142 0.00Deutsche Bank AG0.150% due 01/04/2011 CAD 6,752 6,795 0.07HSBC Bank0.068% due 01/04/2011 £ 20,171 31,581 0.33JPMorgan Chase & Co.0.068% due 01/04/2011 15,140 23,705 0.24Nordea Bank AB0.030% due 01/03/2011 $ 1,100 1,100 0.01Total Overnight Time Deposits $ 78,048 0.80Other Current Assets & Liabilities $ 236,158 2.44Net Assets $ 9,707,266 100.00


(a) The Global Investment Grade Credit Fund is investing in Class Z Income Shares of an affiliated Fund.


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

(d) Securities with an aggregate market value of $33,404 and cash of $13 have been segregated with the Custodian to cover margin requirements for the open futures contracts as at31 December 2010.

(e) Cash of $13,730 has been pledged as collateral for swap, swaption and foreign currency contracts as at 31 December 2010 as governed by International Swaps and Derivative Association, Inc.Master Agreements.



DateAcquisition

Date CostFair

Value% of

Net Assets

Societe Generale 8.750% 10/29/2049 01/19/2010 $ 2,156 $ 2,163 0.02Farm Credit Bank 10.000% 11/29/2049 12/03/2010 4,350 4,321 0.04

$ 6,506 $ 6,484 0.07%


31 December 2010



Category3




(Level 2)



Transferable Securities $ 974,681 $ 8,256,738 $ 55,387 $ 9,286,806Deposits with Credit Institutions 0 71,293 0 71,293Financial Derivative Instruments4 1,374 41,062 (7,475) 34,961Totals $ 976,055 $ 8,369,093 $ 47,912 $ 9,393,060


Category3

StartingBalance

at 31-Dec-2009Net

Purchases5Net

Sales5


RealisedGains/

(Losses)




Level 3

EndingBalance

at 31-Dec-2010




Transferable Securities $ 21,182 $ 55,561 $ (4,563) $ 196 $ 213 $ 2,446 $ (19,648) $ 55,387 $ 306Financial Derivative

Instruments4 0 (5,231) 0 0 0 (2,244) 0 (7,475) (2,244)Totals $ 21,182 $ 50,330 $ (4,563) $ 196 $ 213 $ 202 $ (19,648) $ 47,912 $ (1,938)


Category3




(Level 2)



Transferable Securities $ 317 $ 5,323,438 $ 21,182 $ 5,344,937Financial Derivative Instruments4 (6,088) 106,585 0 100,497Short Sales 0 (150,925) 0 (150,925)Totals $ (5,771) $ 5,279,098 $ 21,182 $ 5,294,509


Category3

StartingBalance

at 31-Dec-2008Net

Purchases5Net

Sales5


RealisedGains/

(Losses)




Level 3

EndingBalance

at 31-Dec-2010




Transferable Securities $ 2,162 $ 19,499 $ (1,304) $ (1) $ (13) $ (232) $ 1,071 $ 21,182 $ (93)




As at 31 December 2010, the Institutional CHF (Hedged) Class and Investor CHF (Hedged) Class had the following foreign currency contracts outstanding:

Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Buy CHF 522 BCLY 01/2011 $ 30 $ 0 $ 30 0.00Sell 1,613 BCLY 01/2011 0 (122) (122) 0.00Sell 4,155 CITI 01/2011 0 (254) (254) (0.01)Sell 1,200 DUB 01/2011 0 (6) (6) 0.00Sell 627 RBC 01/2011 0 (20) (20) 0.00Buy 251,894 UBS 01/2011 18,254 0 18,254 0.19Sell 246,021 UBS 01/2011 0 (1,800) (1,800) (0.02)Sell 640 CITI 02/2011 0 (13) (13) 0.00Buy 246,021 UBS 02/2011 1,790 0 1,790 0.02

$ 20,074 $ (2,215) $ 17,859 0.18




Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Buy € 520,603 BCLY 01/2011 $ 17,739 $ 0 $ 17,739 0.18Sell 38,021 BCLY 01/2011 0 (1,130) (1,130) (0.01)Buy 2,891 CITI 01/2011 69 0 69 0.00Sell 1,666,410 CITI 01/2011 0 (20,279) (20,279) (0.21)Buy 4,426 CSFB 01/2011 46 0 46 0.00Sell 30,008 CSFB 01/2011 0 (586) (586) (0.01)Buy 5,375 DUB 01/2011 215 0 215 0.00Sell 1,781 DUB 01/2011 0 (71) (71) 0.00Buy 263,417 HSBC 01/2011 11,269 (1) 11,268 0.12Buy 673,690 JPM 01/2011 27,478 0 27,478 0.28Sell 6,414 JPM 01/2011 0 (55) (55) 0.00Buy 2,180 MSC 01/2011 7 0 7 0.00Sell 7,413 MSC 01/2011 0 (24) (24) 0.00Sell 300 RBC 01/2011 0 (10) (10) 0.00Buy 1,630,458 RBS 01/2011 54,514 0 54,514 0.56Sell 1,372,632 RBS 01/2011 0 (18,188) (18,188) (0.19)Buy 24,962 UBS 01/2011 741 0 741 0.01Sell 9,842 UBS 01/2011 0 (214) (214) 0.00Buy 1,663,286 CITI 02/2011 20,198 0 20,198 0.21Sell 8,991 CITI 02/2011 0 (250) (250) 0.00Sell 1,318 DUB 02/2011 0 (18) (18) 0.00Buy 1,372,632 RBS 02/2011 18,161 0 18,161 0.19

$ 150,437 $ (40,826) $ 109,611 1.13

As at 31 December 2010, the Institutional GBP (Hedged) Class, Investor GBP (Hedged) Class, Administrative GBP (Hedged) Class and Class E GBP (Hedged) had the followingforeign currency contracts outstanding:

Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Buy £ 113,199 BCLY 01/2011 $ 679 $ (100) $ 579 0.01Sell 35,944 BCLY 01/2011 0 (229) (229) 0.00Sell 1,128,896 BNP 01/2011 0 (24,780) (24,780) (0.26)Buy 12,328 CITI 01/2011 148 (21) 127 0.00Sell 14,329 CITI 01/2011 0 (107) (107) 0.00Buy 7,489 CSFB 01/2011 0 (110) (110) 0.00Buy 7,711 DUB 01/2011 66 0 66 0.00Buy 8,133 JPM 01/2011 18 (19) (1) 0.00Sell 2,538 JPM 01/2011 0 (10) (10) 0.00Buy 3,341 MSC 01/2011 18 (34) (16) 0.00Sell 1,508 MSC 01/2011 0 (40) (40) 0.00Buy 3,001 RBC 01/2011 63 0 63 0.00Buy 1,036,209 RBS 01/2011 10,865 (6) 10,859 0.11Sell 5,436 RBS 01/2011 0 (122) (122 ) 0.00Buy 2,322 UBS 01/2011 0 (46) (46 ) 0.00Sell 10,518 UBS 01/2011 0 (76) (76 ) 0.00Buy 1,128,896 BNP 02/2011 24,729 0 24,729 0.25Sell 6,686 CITI 02/2011 0 (155) (155 ) 0.00Buy 482 DUB 02/2011 13 0 13 0.00Buy 1,508 MSC 02/2011 40 0 40 0.00Buy 3,151 RBC 02/2011 92 0 92 0.00

$ 36,731 $ (25,855 ) $ 10,876 0.11


Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Buy ILS 184,075 BCLY 05/2011 $ 594 $ 0 $ 594 0.00Sell 1,078 BCLY 05/2011 0 (1) (1) 0.00Buy 7,492 BNP 05/2011 62 0 62 0.00Sell 5,334 BNP 05/2011 0 (35) (35) 0.00Sell 5,865 CITI 05/2011 0 (18) (18) 0.00Buy 88,185 DUB 05/2011 697 0 697 0.01Buy 3,635 HSBC 05/2011 27 0 27 0.00Sell 6,673 HSBC 05/2011 0 (48) (48) 0.00Buy 3,713 RBS 05/2011 37 0 37 0.00

$ 1,417 $ (102) $ 1,315 0.01


31 December 2010


Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Buy SEK 2,026 BCLY 01/2011 $ 7 $ 0 $ 7 0.00Sell 539,764 BCLY 01/2011 0 (1,254) (1,254) (0.01)Sell 1,493 BNP 01/2011 0 (9) (9) 0.00Buy 11,405 CITI 01/2011 29 0 29 0.00Sell 11,569 CITI 01/2011 0 (49) (49) 0.00Sell 1,271 DUB 01/2011 0 (1) (1) 0.00Buy 539,395 RBS 01/2011 3,333 0 3,333 0.03Buy 539,764 BCLY 02/2011 1,247 0 1,247 0.01

$ 4,616 $ (1,313) $ 3,303 0.03


Significant Changes in Portfolio Composition Global Investment Grade Credit Fund (Unaudited)31 December 2010


PURCHASE THROUGH 31 DECEMBER 2010

PIMCO US Dollar short-Term Floating NAVFund (a) 373,991,628 $ 3,739,767

PAR(000S)

US Treasury Notes1.875% due 06/30/2015 $ 2,019,100 2,033,862US Treasury Notes3.500% due 05/15/2020 880,600 934,392US Treasury Notes1.750% due 07/31/2015 530,700 535,523US Treasury Bonds3.875% due 08/15/2040 421,700 421,087US Treasury Notes2.625% due 08/15/2020 267,100 270,609US Treasury Notes1.875% due 09/30/2017 268,100 269,043US Treasury Bonds4.375% due 05/15/2040 197,200 209,950Merrill Lynch & Co., Inc.6.875% due 04/25/2018 141,199 156,787US Treasury Notes3.375% due 11/15/2019 131,800 141,287Federal Home Loan Bank0.140% due 07/02/2010 115,800 115,787Federal Home Loan Bank0.000% due 03/12/2010 114,200 114,192US Treasury Bonds4.500% due 08/15/2039 100,100 105,506US Treasury Bonds4.625% due 02/15/2040 95,100 100,030US Treasury Bonds4.375% due 11/15/2039 84,500 87,829US Treasury Bills0.178% due 06/09/2011 87,600 87,523US Treasury Bonds4.250% due 05/15/2039 82,350 84,692HSBC Bank USA N.A.4.875% due 08/24/2020 82,000 83,517AK Transneft OJSC Via TransCapitalInvest Ltd.8.700% due 08/07/2018 66,250 82,450US Treasury Bonds4.250% due 11/15/2040 82,300 81,914Cooperatieve Centrale Raiffeisen-

Boerenleenbank BA6.875% due 03/19/2020 € 57,800 78,642


(000S)


PIMCO US Dollar Short-Term Floating 277,401,475 $ 2,773,959NAV Fund (a)

PAR(000S)

US Treasury Notes1.875% due 06/30/2015 $ 2,019,100 2,041,581US Treasury Notes3.500% due 05/15/2020 880,600 934,392US Treasury Notes1.750% due 07/31/2015 530,700 536,039US Treasury Bonds3.875% due 08/15/2040 421,700 413,016US Treasury Notes2.625% due 08/15/2020 267,100 270,609US Treasury Notes1.875% due 09/30/2017 268,100 269,855US Treasury Bonds4.375% due 05/15/2040 197,200 211,879US Treasury Notes3.375% due 11/15/2019 132,653 143,497Federal Home Loan Bank0.140% due 07/02/2010 115,800 115,796Federal Home Loan Bank0.000% due 03/12/2010 114,200 114,200US Treasury Bonds4.500% due 08/15/2039 100,100 108,721US Treasury Bonds4.625% due 02/15/2040 95,100 104,080Freddie Mac0.155% due 03/24/2010 98,600 98,600US Treasury Bonds4.375% due 11/15/2039 84,500 92,266US Treasury Bonds4.250% due 05/15/2039 82,350 86,343US Treasury Bonds4.250% due 11/15/2040 82,300 79,555US Treasury Bills0.178% due 06/09/2011 78,536 78,476Wind Acquisition Finance S.A.11.750% due 07/15/2017 € 42,800 63,056

(a) The Global Investment Grade Credit Fund is investing in Class Z Income Shares of anaffiliated Fund.




Portfolio of Investments and Assets Global Multi-Asset Fund31 December 2010

DESCRIPTION SHARES

FAIRVALUE(000S)

% OFNET

ASSETS


MUTUAL FUNDS (a)

PIMCO Emerging LocalBond Fund 7,481,205 $ 101,894 4.82

PIMCO EmergingMarkets andInfrastructure BondFund 1,944,720 20,925 0.99

PIMCO EmergingMarkets Bond Fund 3,259,739 39,899 1.89

PIMCO DevelopingLocal Markets Fund 2,057,245 20,408 0.96

PIMCO Global BondFund 3,975,868 39,997 1.89

PIMCO GlobalInvestment GradeCredit Fund 3,367,802 35,968 1.70

PIMCO InvestmentGrade CorporateBond Index Fund 172,617 16,916 0.80

PIMCO StocksPLUSFund 4,412,869 57,014 2.69

PIMCO Total ReturnBond Fund 17,499,248 151,544 7.17

PIMCO UnconstrainedBond 6,863,931 69,532 3.29


889,439 42.06

PAR(000S)


Intelsat Jackson Holdings S.A.5.250% due 04/03/2018 $ 1,000 1,011 0.05Petroleum Export III Ltd.3.319% due 12/07/2012 800 798 0.04

1,809 0.09


BANKING & FINANCE

Abbey National Treasury Services PLC2.500% due 03/18/2013 € 2,500 3,323 0.16ABN Amro Bank NV3.750% due 07/15/2014 1,700 2,355 0.11Achmea Hypotheekbank NV3.200% due 11/03/2014 $ 200 208 0.01Agile Property Holdings Ltd.8.875% due 04/28/2017 200 205 0.0110.000% due

11/14/2016 700 756 0.04AK Transneft OJSC Via TransCapitalInvest Ltd.5.670% due 03/05/2014 900 954 0.047.700% due 08/07/2013 300 334 0.028.700% due 08/07/2018 200 247 0.01Ally Financial, Inc.8.300% due 02/12/2015 100 110 0.01American Express Co.8.125% due 05/20/2019 680 844 0.04American General Finance Corp.5.200% due 12/15/2011 4,000 3,905 0.195.375% due 10/01/2012 20 19 0.005.625% due 08/17/2011 2,200 2,175 0.105.900% due 09/15/2012 900 855 0.04American International Group, Inc.8.250% due 08/15/2018 1,600 1,839 0.09BA Covered Bond Issuer4.250% due 04/05/2017 € 800 1,081 0.05BAC Capital Trust VII5.250% due 08/10/2035 £ 500 523 0.02Banco do Brasil S.A.8.500% due 10/29/2049 $ 2,100 2,425 0.11

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Banco Mercantil del Norte S.A.4.375% due 07/19/2015 $ 400 $ 407 0.02Banco Santander Brazil S.A.0.000% due 12/28/2011 1,300 1,296 0.062.596% due 12/29/2011 500 487 0.024.500% due 04/06/2015 500 509 0.03Banco Votorantim S.A.7.375% due 01/21/2020 1,000 1,065 0.05BanColombia S.A.6.125% due 07/26/2020 600 617 0.03Bank of China Hong Kong Ltd.5.550% due 02/11/2020 800 835 0.04Bank of India & London4.750% due 09/30/2015 400 410 0.02Bank of Nova Scotia1.650% due 10/29/2015 600 573 0.03Bank of Scotland PLC3.250% due 01/25/2013 € 500 672 0.034.750% due 01/26/2015 800 1,115 0.05Barclays Bank PLC5.926% due 09/29/2049 $ 500 450 0.026.750% due 05/22/2019 1,000 1,126 0.05BBVA Bancomer S.A.7.250% due 04/22/2020 1,100 1,169 0.06Bear Stearns Cos., LLC7.250% due 02/01/2018 700 828 0.04BM&F Bovespa S.A.5.500% due 07/16/2020 600 615 0.03BNP Paribas1.071% due 03/24/2011 € 500 664 0.035.186% due 06/29/2049 $ 500 451 0.02BR Properties S.A.9.000% due 10/29/2049 1,100 1,109 0.05BRFkredit A/S2.050% due 04/15/2013 900 915 0.04CCL Finance Ltd.9.500% due 08/15/2014 800 924 0.04CIT Group, Inc.7.000% due 05/01/2014 350 353 0.02Citigroup, Inc.6.010% due 01/15/2015 730 800 0.046.500% due 08/19/2013 600 658 0.038.500% due 05/22/2019 700 866 0.04Columbus International, Inc.11.500% due 11/20/2014 1,300 1,449 0.07Commonwealth Bank of Australia3.625% due 06/25/2014 13,270 14,064 0.66Continental Senior Trustees Cayman Ltd.5.500% due 11/18/2020 500 488 0.02Corp. Andina de Fomento8.125% due 06/04/2019 400 481 0.02Dar Al-Arkan International Sukuk Co.10.750% due 02/18/2015 200 198 0.01Dexia Credit Local2.000% due 03/05/2013 13,050 13,116 0.62DnB NOR Boligkreditt2.100% due 10/14/2015 800 759 0.04Export-Import Bank of Korea1.352% due 03/13/2012 3,900 3,899 0.185.125% due 06/29/2020 400 415 0.028.125% due 01/21/2014 500 573 0.03Ford Motor Credit Co. LLC8.000% due 06/01/2014 500 550 0.038.700% due 10/01/2014 400 450 0.02Gazprom Via White Nights Finance BV10.500% due 03/25/2014 400 478 0.02GMAC International Finance BV7.500% due 04/21/2015 € 225 311 0.01Goldman Sachs Group, Inc.0.688% due 07/22/2015 $ 400 384 0.025.950% due 01/18/2018 100 108 0.016.150% due 04/01/2018 1,000 1,099 0.05Hipotecaria Su Casita S.A. de C.V.6.540% due 03/26/2012 MXN 15,720 478 0.02

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

ICICI Bank Ltd.6.625% due 10/03/2012 $ 900 $ 962 0.05ING Bank NV2.250% due 08/31/2015 € 600 778 0.04International Lease Finance Corp.5.875% due 05/01/2013 $ 200 203 0.016.750% due 09/01/2016 900 963 0.04Interoceanica IV Finance Ltd.0.000% due 11/30/2018 743 585 0.030.000% due 11/30/2025 452 241 0.01IPIC GMTN Ltd.3.125% due 11/15/2015 500 490 0.035.000% due 11/15/2020 500 490 0.02JPMorgan Chase & Co.1.551% due 09/01/2015 600 599 0.03JPMorgan Chase Bank N.A.3.136% due 02/11/2011 (f) 200 191 0.01Kreditanstalt fuer Wiederaufbau4.625% due 12/14/2012 13,050 14,040 0.66Landesbank Hessen-Thueringen Girozentrale2.875% due 04/21/2017 € 600 800 0.04LeasePlan Finance NV3.750% due 03/18/2013 350 472 0.02Lloyds TSB Bank PLC5.375% due 09/03/2019 300 392 0.025.800% due 01/13/2020 $ 60 59 0.00Merrill Lynch & Co., Inc.6.400% due 08/28/2017 300 317 0.016.875% due 04/25/2018 700 764 0.046.875% due 11/15/2018 500 537 0.03Morgan Stanley0.739% due 10/18/2016 400 370 0.021.377% due 04/13/2016 € 150 179 0.011.407% due 01/16/2017 150 177 0.015.500% due 01/26/2020 $ 300 301 0.015.950% due 12/28/2017 500 528 0.02Nationwide Building Society4.125% due 02/27/2012 € 1,000 1,360 0.064.625% due 09/13/2012 600 827 0.04NIBC Bank NV2.800% due 12/02/2014 $ 13,050 13,432 0.64Nile Finance Ltd.5.250% due 08/05/2015 400 413 0.02Odebrecht Drilling Norbe VIII & IX Ltd.6.350% due 06/30/2021 5,100 5,330 0.25Peru Enhanced Pass-Through Finance Ltd.0.000% due 05/31/2018 726 593 0.03Petrobras International Finance Co.6.875% due 01/20/2040 800 839 0.048.375% due 12/10/2018 100 122 0.01Petroleum Export Ltd.5.265% due 06/15/2011 87 87 0.00Qatari Diar Finance QSC5.000% due 07/21/2020 5,000 5,006 0.24QNB Finance Ltd.3.125% due 11/16/2015 900 882 0.04Royal Bank of Scotland PLC3.000% due 12/09/2011 13,050 13,324 0.633.875% due 10/19/2020 € 1,000 1,254 0.064.625% due 09/22/2021 200 218 0.01Russian Agricultural Bank OJSC Via RSHB Capital S.A.7.125% due 01/14/2014 $ 2,100 2,244 0.11RZD Capital Ltd.5.739% due 04/03/2017 1,200 1,251 0.06Santander US Debt S.A. Unipersonal1.103% due 03/30/2012 500 494 0.02Sberbank Via SB Capital S.A.5.400% due 03/24/2017 1,200 1,203 0.06Shinhan Bank1.584% due 11/16/2012 1,600 1,589 0.08Sigma Capital Pte Ltd.9.000% due 04/30/2015 800 853 0.04SLM Corp.5.375% due 01/15/2013 400 408 0.028.450% due 06/15/2018 500 518 0.02


Portfolio of Investments and Assets Global Multi-Asset Fund (Cont.)

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

State Bank of India & London4.500% due 07/27/2015 $ 800 $ 817 0.04Swedbank Hypotek AB3.625% due 10/05/2016 € 500 681 0.03TNK-BP Finance S.A.7.500% due 03/13/2013 $ 600 649 0.037.500% due 07/18/2016 2,800 3,108 0.157.875% due 03/13/2018 2,400 2,724 0.13UBS AG5.875% due 12/20/2017 10,000 10,976 0.52UOB Cayman Ltd.5.796% due 12/29/2049 400 413 0.02Vnesheconombank Via VEB Finance Ltd.5.450% due 11/22/2017 900 906 0.046.800% due 11/22/2025 1,900 1,942 0.09VTB Capital S.A.6.875% due 05/29/2018 2,000 2,122 0.10Waha Aerospace BV3.925% due 07/28/2020 600 605 0.03WM Covered Bond Program4.000% due 09/27/2016 € 500 676 0.034.375% due 05/19/2014 800 1,111 0.05Woori Bank4.750% due 01/20/2016 $ 400 409 0.02

184,196 8.71

INDUSTRIALS

Adaro Indonesia PT7.625% due 10/22/2019 900 985 0.05ALROSA Finance S.A.7.750% due 11/03/2020 500 528 0.028.875% due 11/17/2014 2,200 2,461 0.12Altria Group, Inc.9.250% due 08/06/2019 280 364 0.02America Movil SAB de C.V.6.125% due 03/30/2040 1,100 1,171 0.06Aviation Capital Group7.125% due 10/15/2020 900 914 0.04Braskem Finance Ltd.7.000% due 05/07/2020 400 413 0.02CFG Investment SAC9.250% due 12/19/2013 800 844 0.04Continental Airlines 2009-2 Class A Pass-

Through Trust7.250% due 11/10/2019 486 542 0.03Corp. GEO SAB de C.V.8.875% due 09/25/2014 400 451 0.029.250% due 06/30/2020 200 228 0.01CSN Islands XI Corp.6.875% due 09/21/2019 700 759 0.04CSN Resources S.A.6.500% due 07/21/2020 2,000 2,105 0.10Desarrolladora Homex SAB de C.V.7.500% due 09/28/2015 300 312 0.029.500% due 12/11/2019 600 688 0.03Digicel Ltd.8.250% due 09/01/2017 1,200 1,236 0.06Dolphin Energy Ltd.5.888% due 06/15/2019 738 791 0.04Dow Chemical Co.8.550% due 05/15/2019 320 400 0.02DP World Ltd.6.850% due 07/02/2037 300 271 0.01DP World Sukuk Ltd.6.250% due 07/02/2017 1,700 1,704 0.08Ecopetrol S.A.7.625% due 07/23/2019 800 926 0.04El Paso Pipeline Partners Operating Co. LLC6.500% due 04/01/2020 600 630 0.03Embraer Overseas Ltd.6.375% due 01/15/2020 500 528 0.02Fibria Overseas Finance Ltd.7.500% due 05/04/2020 1,074 1,133 0.05Gerdau Holdings, Inc.7.000% due 01/20/2020 1,100 1,215 0.06

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Gerdau Trade, Inc.5.750% due 01/30/2021 $ 1,200 $ 1,200 0.06Gold Fields Orogen Holding BVI Ltd.4.875% due 10/07/2020 800 761 0.04GTL Trade Finance, Inc.7.250% due 10/20/2017 1,800 1,989 0.09Hutchison Whampoa International Ltd.7.625% due 04/09/2019 1,300 1,560 0.07Indian Oil Corp. Ltd.4.750% due 01/22/2015 600 619 0.03Indo Integrated Energy II BV9.750% due 11/05/2016 1,040 1,180 0.06Indosat Palapa Co. BV7.375% due 07/29/2020 1,000 1,105 0.05Jones Apparel Group, Inc.5.125% due 11/15/2014 1,800 1,832 0.09Kazakhstan Temir Zholy Finance BV6.375% due 10/06/2020 400 418 0.026.500% due 05/11/2011 1,300 1,323 0.06KazMunayGas National Co.7.000% due 05/05/2020 400 417 0.028.375% due 07/02/2013 300 330 0.02Limited Brands, Inc.5.250% due 11/01/2014 3,058 3,180 0.15Lukoil International Finance BV6.125% due 11/09/2020 1,500 1,504 0.07Macy’s Retail Holdings, Inc.5.875% due 01/15/2013 8,000 8,520 0.40Marfrig Overseas Ltd.9.500% due 05/04/2020 500 516 0.02New Albertsons, Inc.7.500% due 02/15/2011 1,100 1,107 0.05New York Times Co.5.000% due 03/15/2015 6,000 5,854 0.28Noble Group Ltd.6.625% due 08/05/2020 1,600 1,656 0.086.750% due 01/29/2020 2,300 2,500 0.12Odebrecht Finance Ltd.7.000% due 04/21/2020 200 218 0.017.500% due 10/18/2017 800 874 0.04Office Depot, Inc.6.250% due 08/15/2013 3,000 3,015 0.14Parkson Retail Group Ltd.7.875% due 11/14/2011 800 835 0.04Petroleos Mexicanos8.000% due 05/03/2019 90 109 0.00Petroleum Co. of Trinidad & Tobago Ltd.9.750% due 08/14/2019 1,300 1,570 0.07Seagate Technology HDD Holdings6.375% due 10/01/2011 1,000 1,031 0.05Severstal OAO Via Steel Capital S.A.6.700% due 10/25/2017 1,600 1,582 0.07Sinochem Overseas Capital Co. Ltd.4.500% due 11/12/2020 600 593 0.03Sino-Forest Corp.9.125% due 08/17/2011 500 519 0.0310.250% due 07/28/2014 1,150 1,331 0.06STATS ChipPAC Ltd.7.500% due 08/12/2015 600 651 0.03TGI International Ltd.9.500% due 10/03/2017 1,500 1,688 0.08Urbi Desarrollos Urbanos SAB de C.V.9.500% due 01/21/2020 700 803 0.04Vale Overseas Ltd.6.875% due 11/21/2036 900 976 0.056.875% due 11/10/2039 300 327 0.01

75,292 3.56

UTILITIES

AES Andres Dominicana9.500% due 11/12/2020 1,400 1,463 0.07AES El Salvador Trust6.750% due 02/01/2016 1,300 1,262 0.06BP Capital Markets PLC0.442% due 04/11/2011 2,200 2,201 0.10

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

3.625% due 05/08/2014 $ 575 $ 592 0.034.750% due 03/10/2019 200 206 0.01China Resources Power Holdings Co. Ltd.3.750% due 08/03/2015 200 196 0.01Cia de Saneamento Basico do Estado de Sao Paulo6.250% due 12/16/2020 200 202 0.01Cia Energetica de Sao Paulo9.750% due 01/15/2015 (b) BRL 650 471 0.02Colbun S.A.6.000% due 01/21/2020 $ 1,100 1,151 0.05E.CL S.A.5.625% due 01/15/2021 500 498 0.02EGE Haina Finance Co.9.500% due 04/26/2017 600 628 0.03Embarq Corp.7.082% due 06/01/2016 9,190 10,149 0.48Gazprom OAO Via Morgan Stanley Bank AG9.625% due 03/01/2013 500 568 0.03Gazprom Via Gaz Capital S.A.6.510% due 03/07/2022 1,000 1,022 0.059.250% due 04/23/2019 1,000 1,235 0.06Israel Electric Corp. Ltd.7.250% due 01/15/2019 1,900 2,088 0.10Kinder Morgan Energy Partners LP5.950% due 02/15/2018 280 308 0.01Listrindo Capital BV9.250% due 01/29/2015 3,200 3,605 0.17Majapahit Holding BV7.250% due 10/17/2011 600 625 0.037.750% due 01/20/2020 1,000 1,158 0.068.000% due 08/07/2019 400 470 0.02Nakilat, Inc.6.067% due 12/31/2033 1,500 1,586 0.08NGPL PipeCo LLC7.119% due 12/15/2017 290 318 0.02Qtel International Finance Ltd.3.375% due 10/14/2016 200 192 0.014.750% due 02/16/2021 700 667 0.037.875% due 06/10/2019 600 722 0.04Ras Laffan Liquefied Natural Gas Co. Ltd. II5.298% due 09/30/2020 481 508 0.02Ras Laffan Liquefied Natural Gas Co. Ltd. III5.832% due 09/30/2016 268 289 0.01Star Energy Geothermal Wayang Windu Ltd.11.500% due 02/12/2015 1,580 1,801 0.09Telemar Norte Leste S.A.5.500% due 10/23/2020 518 505 0.02UIL Holdings Corp.4.625% due 10/01/2020 300 283 0.01Vimpel Communications OJSC Via UBS

Luxembourg S.A.8.250% due 05/23/2016 1,000 1,097 0.05



California, Metropolitan Water District of SouthernCalifornia Revenue Bonds, Series 2010

6.947% due 07/01/2040 200 206 0.01California, Regents of the University of California

Limited Project Revenue Bonds, Series 20105.946% due 05/15/2045 795 721 0.03Los Angeles, California, Community College District

General Obligation Bonds, Series 20106.600% due 08/01/2042 900 905 0.046.750% due 08/01/2049 800 818 0.04Los Angeles, California, Unified School District

General Obligation Bonds, Series 20106.758% due 07/01/2034 100 103 0.01New Jersey State Turnpike Authority Revenue Bonds,

Series 20107.102% due 01/01/2041 200 215 0.01New York State Dormitory Authority Revenue Bonds,

Series 20105.051% due 09/15/2027 600 555 0.03


31 December 2010

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

New York, New York, General Obligation Bonds,Series 2010

6.646% due 12/01/2031 $ 500 $ 502 0.02New York, New York, Municipal Water Finance

Authority Revenue Bonds, Series 20105.440% due 06/15/2043 400 374 0.02New York, New York, Transitional Finance Authority

Revenue Bonds, Series 20105.572% due 11/01/2038 400 384 0.02Ohio, American Municipal Power-Ohio, Inc. Revenue

Bonds, Series 20107.334% due 02/15/2028 600 608 0.03

5,391 0.26


Fannie Mae4.000% due 08/01/2040-

02/01/2041 5,600 5,536 0.264.500% due 01/01/2041 2,000 2,043 0.105.000% due 01/01/2041 1,000 1,048 0.055.500% due 07/01/2037-

03/01/2038 8,326 8,903 0.426.000% due

08/01/2037 (c) 5 5 0.00Freddie Mac0.200% due 06/22/2011 20,000 19,967 0.94

37,502 1.77


Treasury Inflation Protected Securities (b)1.250% due 07/15/2020 10,129 10,328 0.491.750% due 01/15/2028 219 222 0.012.375% due

01/15/2025 (c) 3,249 3,594 0.172.500% due

01/15/2029 (c) 25,467 28,662 1.363.875% due

04/15/2029 (c) 665 885 0.04US Treasury Bills0.202% due 01/13/2011 -

06/16/2011 (c)(d) 30,105 30,088 1.42US Treasury Notes0.500% due 11/30/2012 -

10/15/2013 (c) 112,000 110,723 5.240.625% due 07/31/2012 8,300 8,317 0.39

192,819 9.12


Arran Residential Mortgages Funding PLC2.403% due 05/16/2047 € 600 795 0.04Banc of America Large Loan, Inc.5.641% due 02/17/2051 $ 200 212 0.01Merrill Lynch Floating Rate Trust0.802% due 07/09/2021 150 145 0.01Saecure BV1.965% due 09/23/2092 € 93 123 0.00

1,275 0.06


Hyundai Capital Auto Funding Ltd.1.261% due 09/20/2016 $ 500 494 0.02

SOVEREIGN ISSUES

Bahrain Government International Bond5.500% due 03/31/2020 500 510 0.02Brazil Notas do Tesouro Nacional Series F10.000% due

01/01/2017 BRL 68,000 37,382 1.77Bundesobligation2.250% due 04/10/2015 € 1,000 1,359 0.06Canada Government Bond1.500% due 06/01/2012 CAD 91,200 91,149 4.313.000% due

12/01/2036 (b) 570 806 0.04

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

4.250% due06/01/2018 CAD 2,100 $ 2,292 0.11

4.250% due12/01/2021 (b) 240 322 0.01

4.500% due06/01/2015 1,000 1,091 0.05

Japan Government CPI Linked Bond1.400% due

06/10/2018 (b) JPY 231,969 2,862 0.14Japan Government International Bond1.500% due

09/20/2018 60,000 772 0.031.700% due

03/20/2017 140,000 1,830 0.09Korea Housing Finance Corp.4.125% due

12/15/2015 $ 300 303 0.02Mexico Government International Bond8.500% due

12/13/2018 MXN 34,100 3,046 0.14Republic of Germany3.250% due

01/04/2020 € 600 820 0.043.750% due

01/04/2019 2,900 4,126 0.194.250% due

07/04/2017 1,300 1,918 0.095.500% due

01/04/2031 700 1,187 0.06Republic of Germany Inflation Linked1.750% due

04/15/2020 (b) 309 436 0.02Romania Government International Bond5.000% due

03/18/2015 400 525 0.03Russia Government International Bond7.500% due

03/31/2030 $ 1,405 1,625 0.08United Kingdom Gilt2.750% due

01/22/2015 £ 1,600 2,525 0.124.750% due

09/07/2015 2,100 3,587 0.17160,473 7.59

SHARES

COMMON STOCKS

3M Co. 7,269 629 0.03AIA Group Ltd. 1,262,400 3,594 0.17Alcon, Inc. 10,831 1,772 0.08Alleghany Corp. 6,052 1,863 0.09Altria Group, Inc. 72,465 1,783 0.08Bakkafrost 161,739 1,360 0.06BankNordik 47,942 1,230 0.06Barclays PLC 483,238 1,975 0.09Berkshire

Hathaway, Inc. 33,044 2,624 0.12BNP Paribas 13,809 889 0.04Bourbon S.A. 23,667 1,094 0.05BP PLC 443,242 3,235 0.15British American

Tobacco PLC 137,344 5,271 0.25British Sky

BroadcastingGroup PLC 39,082 443 0.02

Capitol FederalFinancial, Inc. 28,690 339 0.02

Carlsberg 35,549 3,536 0.17CBOE Holdings, Inc. 76,636 1,742 0.08CommScope, Inc. 21,610 675 0.03CSM 96,572 3,332 0.16CVS Caremark Corp. 63,337 2,217 0.10Danone 81,961 5,202 0.25Dell, Inc. 99,334 1,356 0.06

DESCRIPTION SHARES

FAIRVALUE(000S)

% OFNET

ASSETS

Deutsche Boerse AG 44,884 $ 3,083 0.15Dockwise Ltd. 10,670 284 0.01E.ON AG 40,110 1,217 0.06Eutelsat Communications 62,508 2,263 0.11First Pacific Co. Ltd. 1,218,000 1,097 0.05Gemalto NV 23,674 1,003 0.05Genzyme Corp. 17,198 1,228 0.06Great Eastern Holdings

Ltd. 13,620 165 0.01Hiscox Ltd. 277,650 1,615 0.08HSBC Holdings PLC 83,354 847 0.04Imperial Tobacco

Group PLC 181,290 5,554 0.26ING Groep NV 144,259 1,393 0.07Intesa Sanpaolo SpA 311,824 738 0.04Jardine Matheson

Holdings Ltd. 10,400 464 0.02Jardine Strategic

Holdings Ltd. 22,000 605 0.03JCDecaux S.A. 44,368 1,358 0.06Jyske Bank 19,520 901 0.04Keppel Corp. Ltd. 232,000 2,022 0.10Kloeckner & Co. SE 35,858 997 0.05Koninklijke KPN NV 241,154 3,525 0.17Lancashire Holdings Ltd. 339,290 2,892 0.14Lloyds Banking Group PLC 747,564 773 0.04Loomis AB 78,936 1,179 0.06L’Oreal S.A. 9,673 1,084 0.05Lorillard, Inc. 36,742 3,017 0.14Man Group PLC 359,959 1,669 0.08Marine Harvest ASA 2,168,976 2,273 0.11Microsoft Corp. 110,371 3,074 0.15Nestle S.A. 44,036 2,574 0.12Nintendo Co. Ltd. 8,200 2,385 0.11Northwest Bancshares,

Inc. 123,210 1,451 0.07Orkla ASA 136,357 1,313 0.06People’s United

Financial, Inc. 94,204 1,328 0.06Pernod-Ricard S.A. 35,924 3,401 0.16Pfizer, Inc. 49,349 863 0.04Philip Morris

International, Inc. 30,313 1,773 0.08Pride International, Inc. 75,581 2,491 0.12Reckitt Benckiser

Group PLC 25,597 1,409 0.07Resolution Ltd. 542,374 1,982 0.09Reynolds American, Inc. 48,627 1,589 0.08Rhoen Klinikum AG 50,025 1,094 0.05Royal Dutch Shell PLC 46,419 1,539 0.07Schindler Holding AG 11,123 1,329 0.06Seadrill Ltd. 112,875 3,785 0.18Sika AG 484 1,060 0.05Tele performance 55,830 1,863 0.09Total S.A. 30,775 1,642 0.08UBS AG 106,609 1,745 0.08Wal-Mart Stores, Inc. 16,354 884 0.04Washington Federal, Inc. 40,047 681 0.03White Mountains

Insurance Group Ltd. 7,437 2,507 0.12Zurich Financial

Services AG 6,321 1,634 0.08134,803 6.38





DESCRIPTION SHARES

FAIRVALUE(000S)

% OFNET

ASSETS


Gold Bullion Securities Ltd. 921 $126,158 5.97Source Physical Markets

Gold P-ETC 52 7,258 0.34133,416 6.31

PAR(000S)

CERTIFICATES OF DEPOSIT

Itau Unibanco S.A.1.300% due 03/14/2011 $ 300 300 0.011.450% due 06/13/2011 250 249 0.011.700% due 09/12/2011 400 399 0.02

948 0.04


Barclays Capital, Inc.0.170% due 12/31/2010 (Dated

12/30/2010. Collateralisedby US Treasury Bonds4.625% due 02/15/2040valued at $1,930.Collateralised by USTreasury Notes 2.500% due06/30/2017 valued at $302.Collateralised by USTreasury Notes 3.625% due08/15/2019 valued at$1,945. Collateralised by USTreasury Notes 3.625% due02/15/2010 valued at$6,819. Repurchaseproceeds are $10,800.) 10,800 10,800 0.51

0.170% due 01/10/2011 (Dated12/21/2010. Collateralisedby US Treasury Notes1.375% due 02/15/2013valued at $17,343.Repurchase proceeds are$17,002.) 17,000 17,000 0.81

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

0.170% due 01/13/2011 (Dated12/22/2010. Collateralisedby Treasury InflatedProtected Securities 1.625%due 01/15/2015 valued at$25,460. Repurchaseproceeds are $25,000.) $ 25,000 $ 25,000 1.18

0.180% due 12/31/2010 (Dated12/30/2010. Collateralisedby Collateralised by GinnieMae 4.000% due12/20/2040 valued at$6,726. Repurchaseproceeds are $6,500.) 6,500 6,500 0.31

BNP Paribas Bank0.160% due 12/31/2010 (Dated

12/30/2010. Collateralisedby Treasury InflatedProtected Securities 1.000%due 03/31/2012 valued at$1,943. Repurchaseproceeds are $1,900.) 1,900 1,900 0.09

Credit Suisse First Boston0.170% due 12/31/2010 (Dated

12/30/2010. Collateralisedby US Treasury Notes1.000% due 03/31/2012valued at $1,934.Collateralised by USTreasury Notes 4.500% due08/15/2039 valued at$42,361. Repurchaseproceeds are $43,200.) 43,200 43,200 2.04

Deutsche Bank Securities, Inc0.160% due 12/31/2010 (Dated

12/30/2010. Collateralisedby US Treasury Notes4.375% due 5/15/2040valued at $26,602.Repurchase proceeds are$26,000.) 26,000 26,000 1.23

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS


(Dated 12/30/2010.Collateralised by USTreasury Notes 1.125%due 12/15/2012 valuedat $13,786. Repurchaseproceeds are $13,500.) $ 13,500 $ 13,500 0.64

Merrill Lynch & Co., Inc.0.170% due 12/31/2010




240,200 11.36

Total Transferable Securities &Money Market Instruments -Official Stock Exchange/RegulatedMarket $ 2,096,608 99.15



FUTURES


Month# of

Contracts


% ofNet Assets

3-Month Euribor Interest Rate March Futures Long 03/2011 16 $ (4) 0.0090-Day Eurodollar June Futures Long 06/2012 32 36 0.0090-Day Eurodollar March Futures Long 03/2011 373 144 0.0190-Day Eurodollar March Futures Long 03/2012 1,251 254 0.01Canada Government 10-Year Bond March Futures Long 03/2011 19 3 0.00Euro-Bund 10-Year Bond March Futures Long 03/2011 31 (34) 0.00S&P 500 E-mini Index March Futures Long 03/2011 4,576 13,630 0.64United Kingdom Treasury 10-Year Gilt March Futures Long 03/2011 24 (38) 0.00US Treasury 5-Year Note March Futures Long 03/2011 19 (42) 0.00

$ 13,949 0.66

PURCHASED OPTIONS

DescriptionExercise

PriceExpiration

Date# of

Contracts CostFair

Value% of

Net Assets

Put - E.ON AG € 22.000 01/21/2011 196 $ 16 $ 3 0.00Put - Norvartis AG $ 60.000 04/16/2011 45 24 23 0.00Put - S&P 500 Index January Futures 1,000.000 01/22/2011 1,477 2,449 26 0.00

$ 2,489 $ 52 0.00

WRITTEN OPTIONS

DescriptionExercise

PriceExpiration

Date# of


Value% of

Net Assets

Call - CBOT US Treasury 10-Year Note February Futures $ 129.000 01/21/2011 24 $ (10) $ 0 0.00Call - IMM Eurodollar September Futures 99.375 09/19/2011 172 (73) (91) 0.00Call - Nestle S.A. CHF 60.000 01/21/2011 144 (2) 0 0.00Put - CBOT US Treasury 10-Year Note February Futures $ 124.000 01/21/2011 24 (12) (98) (0.01)


31 December 2010

DescriptionExercise

PriceExpiration

Date# of

Contracts Premiums Fair Value% of

Net Assets

Put - CBOT US Treasury 5-Year Note February Futures 115.500 01/21/2011 55 $ (13) $ (8) 0.00Put - IMM Eurodollar September Futures 99.375 09/19/2011 172 (106) (81) 0.00

$ (216) $ (278) (0.01)Total Financial Derivative Instruments Dealt in on a Regulated Market $ 13,723 0.65



PURCHASED OPTIONS

Description Counterparty Exercise PriceExpiration


FairValue

% ofNet Assets


Put - OTC Australian dollar versus US dollar RBS $ 0.953 01/10/2011 AUD 13,200 $ 86 $ 0 0.00Call - OTC Eurodollar versus US dollar CSFB 1.361 01/10/2011 € 9,700 72 16 0.00Put - OTC Eurodollar versus US dollar GSC 1.000 05/04/2011 44,200 316 5 0.00Put - OTC Eurodollar versus US dollar DUB 1.000 05/22/2015 102,100 4,984 2,589 0.12Put - OTC New Zealand dollar versus US dollar CSFB 0.735 01/10/2011 NZD 4,300 22 1 0.00Call - OTC US dollar versus Japanese yen CSFB JPY 84.700 01/10/2011 $ 9,800 46 1 0.00Call - OTC US dollar versus Norwegian krone CSFB NOK 6.259 01/10/2011 3,300 24 0 0.00Call - OTC US dollar versus Swedish krona CSFB SEK 7.144 01/10/2011 3,300 25 0 0.00Put - OTC US dollar versus Swiss franc RBS CHF 0.962 01/10/2011 9,800 51 284 0.02

$ 5,626 $ 2,896 0.14


ExerciseRate

ExpirationDate

NotionalAmount Cost

FairValue

% ofNet Assets


Put - OTC 5-Year Interest Rate Swap BCLY 3-Month USD-LIBOR Receive 7.500% 04/16/2015 $ 112,120 $ 1,267 $ 1,513 0.07Put - OTC 5-Year Interest Rate Swap DUB 3-Month USD-LIBOR Receive 7.500% 04/16/2015 9,000 110 122 0.01Put - OTC 10-Year Interest Rate Swap DUB 3-Month USD-LIBOR Receive 5.500% 11/16/2020 28,000 1,425 1,465 0.07Put - OTC 10-Year Interest Rate Swap GSC 3-Month USD-LIBOR Receive 5.500% 11/16/2020 37,100 1,881 1,941 0.09

$ 4,683 $ 5,041 0.24


RateExpiration

Date# of

Contracts CostFair

Value% of

Net AssetsOPTIONS ON COMMODITY FUTURES CONTRACTS

Call - OTC American Option on NCAL Bancorp MSC 88.000% 12/31/2011 4 $ 33 $ 36 0.00Call - OTC American Option on NCAL Bancorp MSC 109.000% 12/31/2011 12 55 26 0.00Put - OTC No. 2 Soft Red Winter Wheat March Futures DUB 730.000% 02/18/2011 19 49 15 0.00

$ 137 $ 77 0.00

WRITTEN OPTIONS


ExerciseRate

ExpirationDate


FairValue

% ofNet Assets


Put - OTC Dow Jones iTraxx Europe Series 14 BNP Buy 1.600% 03/16/2011 € 1,100 $ (6) $ (2) 0.00



FairValue

% ofNet Assets


Call - OTC Australian dollar versus US dollar RBS $ 1.007 01/10/2011 AUD 13,200 $ (75) $ (167) (0.01)Put - OTC Eurodollar versus US dollar CSFB 1.288 01/10/2011 € 9,700 (87) (9) 0.00Call - OTC New Zealand dollar versus US dollar CSFB 0.777 01/10/2011 NZD 4,300 (18) (15) 0.00Call - OTC US dollar versus Swiss franc RBS CHF 1.008 01/10/2011 $ 9,800 (50) 0 0.00Put - OTC US dollar versus Japanese yen CSFB JPY 81.100 01/10/2011 9,800 (48 ) (39) 0.00Put - OTC US dollar versus Norwegian krone CSFB NOK 5.871 01/10/2011 3,300 (22) (24) 0.00Put - OTC US dollar versus Swedish krona CSFB SEK 6.699 01/10/2011 3,300 (22) (17) 0.00

$ (322) $ (271) (0.01)


ExerciseRate

ExpirationDate


FairValue

% ofNet Assets


Put - OTC 3-Year Interest Rate Swap BCLY 3-Month USD-LIBOR Pay 3.000% 06/18/2012 $ 5,200 $ (46) $ (69) 0.00Put - OTC 3-Year Interest Rate Swap BOA 3-Month USD-LIBOR Pay 3.000% 06/18/2012 10,200 (98) (135) (0.01)Put - OTC 2-Year Interest Rate Swap BOA 3-Month USD-LIBOR Pay 2.250% 09/24/2012 4,800 (31) (68) 0.00Put - OTC 3-Year Interest Rate Swap CITI 3-Month USD-LIBOR Pay 3.000% 06/18/2012 1,000 (9) (13) 0.00Put - OTC 2-Year Interest Rate Swap CITI 3-Month USD-LIBOR Pay 2.250% 09/24/2012 1,800 (12) (25) 0.00Put - OTC 3-Year Interest Rate Swap DUB 3-Month USD-LIBOR Pay 2.750% 06/18/2012 13,400 (139) (212) (0.01)Put - OTC 3-Year Interest Rate Swap DUB 3-Month USD-LIBOR Pay 3.000% 06/18/2012 2,100 (20) (28) 0.00




ExerciseRate

ExpirationDate


% ofNet Assets

Put - OTC 2-Year Interest Rate Swap GSC 3-Month USD-LIBOR Pay 2.250% 09/24/2012 $ 9,900 $ (59) $ (140) (0.01)Put - OTC 3-Year Interest Rate Swap JPM 3-Month USD-LIBOR Pay 3.000% 06/18/2012 14,900 (140) (197) (0.01)Put - OTC 2-Year Interest Rate Swap MSC 3-Month USD-LIBOR Pay 2.250% 09/24/2012 8,100 (50) (115) (0.01)Put - OTC 3-Year Interest Rate Swap RBS 3-Month USD-LIBOR Pay 2.750% 06/18/2012 12,200 (120) (193) (0.01)Put - OTC 2-Year Interest Rate Swap RBS 3-Month USD-LIBOR Pay 2.250% 09/24/2012 93,200 (742) (1,320) (0.06)Put - OTC 2-Year Interest Rate Swap UBS 3-Month USD-LIBOR Pay 2.250% 09/24/2012 6,600 (36) (93) 0.00

$ (1,502) $ (2,608) (0.12)


RateExpiration

Date# of


Value% of

Net AssetsOPTIONS ON COMMODITY FUTURES CONTRACTS

Call - OTC American Option on NCAL Bancorp MSC 250.000% 12/31/2011 4 $ (33) $ (37) 0.00Call - OTC American Option on NCAL Bancorp MSC 300.000% 12/31/2011 12 (60) (37) (0.01)Call - OTC Hard Red Winter Wheat March Futures DUB 750.000% 02/18/2011 19 (48) (7) 0.00

$ (141) $ (81) (0.01)

Description Counterparty Strike Index Exercise IndexExpiration


FairValue

% ofNet Assets

INFLATION FLOOR

Floor - OTC CPURNSA Index CITI 216.687 Maximum of [1-(Index Final/Index Initial) or $0] 04/07/2020 $ 500 $ (4) $ (5) 0.00Floor - OTC CPURNSA Index DUB 215.949 Maximum of [((Index Final/Index Initial)-1)-2.500%) or $0] 03/10/2020 1,000 (8) (11) 0.00Floor - OTC CPURNSA Index DUB 218.011 Maximum of [-(Final Index / Initial Index -1), 0] 10/13/2020 300 (3) (3) 0.00

$ (15) $ (19) 0.00



NotionalAmount(3)

FairValue

UpfrontPremiums

Paid/(Received)


% ofNet Assets

Embarq Corp. (1.000%) 06/20/2016 GSC $ 10,000 $ 99 $ (11) $ 110 0.00Jones Apparel Group, Inc. (1.000%) 12/20/2014 DUB 1,800 43 57 (14) 0.00Limited Brands, Inc. (1.000%) 12/20/2014 BOA 4,250 29 183 (154) 0.00Macy’s Retail Holdings, Inc. (1.000%) 03/20/2013 CSFB 8,500 (50) 104 (154) 0.00New Albertsons, Inc. (1.000%) 03/20/2011 DUB 1,100 8 11 (3) 0.00New York Times Co. (5.000%) 03/20/2015 DUB 1,000 (130) (90) (40) (0.01)New York Times Co. (1.000%) 03/20/2015 GSC 5,000 154 235 (81) 0.01Office Depot, Inc. (5.000%) 09/20/2013 DUB 1,800 (94 ) 17 (111) 0.00Office Depot, Inc. (5.000%) 09/20/2013 GSC 1,200 (62) 8 (70) 0.00Seagate Technology HDD Holdings (1.000%) 12/20/2011 DUB 1,000 (5) 13 (18) 0.00UBS AG (1.000%) 12/20/2017 DUB 10,000 41 51 (10) 0.00

$ 33 $ 578 $ (545) 0.00




FairValue

UpfrontPremiums

Paid/(Received)


% ofNet

Assets

Abu Dhabi Dhabi Government International Bond 1.000% 06/20/2015 CSFB $ 600 $ 4 $ (2) $ 6 0.00Abu Dhabi Government International Bond 1.000% 03/20/2011 GSC 14,700 26 1 25 0.00America Movil SAB de C.V. 1.000% 09/20/2011 DUB 1,000 3 0 3 0.00America Movil SAB de C.V. 1.000% 03/20/2012 DUB 4,600 16 (12) 28 0.00BP Capital Markets America, Inc. 1.000% 09/20/2011 BCLY 300 2 (22) 24 0.00BP Capital Markets America, Inc. 1.000% 09/20/2011 BNP 300 2 (21) 23 0.00BP Capital Markets America, Inc. 5.000% 06/20/2015 CSFB 2,300 418 35 383 0.02BP Capital Markets America, Inc. 5.000% 09/20/2011 DUB 2,300 86 (36) 122 0.01BP Capital Markets America, Inc. 5.000% 06/20/2015 GSC 1,300 236 (46) 282 0.01BP Capital Markets America, Inc. 1.000% 09/20/2011 HSBC 500 3 (37) 40 0.00Brazil Government International Bond 1.000% 06/20/2011 BCLY 15,000 41 37 4 0.00Brazil Government International Bond 1.000% 12/20/2020 BCLY 1,500 (53) (52) (1) 0.00Brazil Government International Bond 1.000% 03/20/2011 GSC 900 1 2 (1) 0.00China Government International Bond 1.000% 06/20/2011 BCLY 7,100 28 39 (11) 0.00Corporacion Nacional del Cobre de Chile 1.000% 12/20/2011 BCLY 800 5 2 3 0.00Egypt Government International Bond 1.000% 06/20/2015 CITI 200 (11) (15) 4 0.00Gazprom Via Gazprom International S.A. 1.000% 03/20/2011 GSC 7,300 4 (65) 69 0.00General Electric Capital Corp. 1.000% 12/20/2015 UBS 1,300 (20) (45) 25 0.00ING Verzekeringen NV 1.400% 06/20/2011 DUB € 100 0 0 0 0.00Mexico Government International Bond 1.000% 12/20/2015 BCLY $ 1,800 (8) (9) 1 0.00Mexico Government International Bond 1.000% 03/20/2011 DUB 18,300 25 50 (25) 0.00Mexico Government International Bond 1.000% 03/20/2011 GSC 900 1 1 0 0.00National Bank of Abu Dhabi 1.000% 12/20/2012 HSBC 800 3 0 3 0.00Petrobras International Finance Co. 1.000% 09/20/2011 DUB 2,300 4 (10) 14 0.00


31 December 2010



FairValue

UpfrontPremiums

Paid/(Received)


% ofNet Assets

Petrobras International Finance Co. 1.000% 09/20/2012 DUB $ 200 $ 0 $ (1) $ 1 0.00Petrobras International Finance Co. 1.000% 09/20/2015 HSBC 100 (2) (3) 1 0.00Petrobras International Finance Co. 1.000% 09/20/2012 MSC 100 0 0 0 0.00Petrobras International Finance Co. 1.000% 09/20/2015 MSC 800 (17) (27) 10 0.00Republic of Korea 1.000% 06/20/2015 CITI 600 3 7 (4) 0.00Republic of Korea 1.000% 03/20/2011 DUB 14,700 19 56 (37) 0.00Russian Agricultural Bank OJSC Via RSHB Capital S.A. 1.000% 03/20/2011 BCLY 700 0 0 0 0.00South Africa Government International Bond 1.000% 06/20/2015 BCLY 1,200 (8) (15) 7 0.00TNK-BP Finance SA 1.000% 12/20/2012 HSBC 500 (18) (15) (3) 0.00

$ 793 $ (203) $ 996 0.04



NotionalAmount(3) Fair Value

UpfrontPremiums

Paid/(Received)


% ofNet Assets

CMBX N.A.AAA.3 Index (0.080%) 12/13/2049 CSFB $ 25,300 $ 1,022 $ 1,181 $ (159) 0.05CMBX N.A.AAA.4 Index (0.350%) 02/17/2051 BOA 7,100 295 355 (60) 0.01CMBX N.A.AAA.4 Index (0.350%) 02/17/2051 CSFB 7,100 295 328 (33) 0.02Dow Jones CDX N.A. IG9 Index (1.000%) 12/20/2017 BOA 147,660 (2,340) (1,071) (1,269) (0.11)Dow Jones CDX N.A. IG9 Index (1.000%) 12/20/2017 DUB 9,400 (149) (9) (140) (0.01)Dow Jones CDX N.A. IG9 Index (1.000%) 12/20/2017 GSC 11,940 (188) (256) 68 (0.01)

$ (1,065) $ 528 $ (1,593) (0.05)




FairValue

UpfrontPremiums

Paid/(Received)


% ofNet Assets

Dow Jones CDX N.A. EM12 Index 5.000% 12/20/2014 DUB $ 1,900 $ 222 $ 160 $ 62 0.01Dow Jones CDX N.A. EM13 Index 5.000% 06/20/2015 BCLY 500 64 63 1 0.00Dow Jones CDX N.A. EM14 Index 5.000% 12/20/2015 BCLY 1,200 166 157 9 0.01Dow Jones CDX N.A. EM14 Index 5.000% 12/20/2015 CITI 1,600 221 217 4 0.01Dow Jones CDX N.A. IG13 Index 1.000% 12/20/2019 MSC 1,900 0 (22) 22 0.00Dow Jones CDX N.A. IG15 Index 1.000% 12/20/2015 BOA 1,500 11 9 2 0.00

$ 684 $ 584 $ 100 0.03





Receive Pay Maturity Date(4) Counterparty



FairValue

UpfrontPremiums

Paid/(Received)

Unrealised(Depreciation)

% ofNet Assets

Floating rate equal to 3-MonthEUR-LIBOR less 0.299% basedon the notional amount ofcurrency delivered

Floating rate equal to 3-MonthUSD-LIBOR based on thenotional amount of currencyreceived 03/24/2011 JPM $ 687 € 500 $ 23 $ 0 $ 23 0.00


INTEREST RATE SWAPS

Pay/ReceiveFloating Rate Floating Rate Index

FixedRate


NotionalAmount

FairValue

UpfrontPremiums

Paid/(Received)


% ofNet Assets

Pay 3-Month USD-LIBOR 1.950% 12/15/2015 BOA $ 5,300 $ (62 ) $ 0 $ (62) 0.00Pay 3-Month USD-LIBOR 2.100% 12/15/2015 CITI 3,900 (18 ) 0 (18) 0.00Pay 3-Month USD-LIBOR 2.100% 12/15/2015 JPM 6,800 (31) 0 (31) 0.00Pay BRL-CDI-Compounded 10.610% 01/02/2012 HSBC BRL 8,100 18 7 11 0.00Pay BRL-CDI-Compounded 10.990% 01/02/2012 GSC 11,100 57 13 44 0.00Pay BRL-CDI-Compounded 11.360% 01/02/2012 HSBC 239,600 1,917 676 1,241 0.09Pay BRL-CDI-Compounded 11.650% 01/02/2012 HSBC 17,600 273 149 124 0.01Pay BRL-CDI-Compounded 11.670% 01/02/2012 BCLY 6,000 97 56 41 0.01Pay BRL-CDI-Compounded 11.760% 01/02/2012 CSFB 700 6 3 3 0.00Pay BRL-CDI-Compounded 11.970% 01/02/2012 HSBC 57,700 8 5 3 0.00Pay BRL-CDI-Compounded 11.910% 01/02/2013 BCLY 29,800 106 120 (14) 0.01Pay BRL-CDI-Compounded 12.285% 01/02/2013 BCLY 3,800 36 12 24 0.00Pay BRL-CDI-Compounded 12.550% 01/02/2013 RBS 7,300 66 0 66 0.00



Pay/ReceiveFloating Rate Floating Rate Index

FixedRate


NotionalAmount

FairValue

UpfrontPremiums

Paid/(Received)


% ofNet Assets

Pay BRL-CDI-Compounded 11.890% 01/02/2014 MSC BRL 45,400 $ (7) $ 35 $ (42) 0.00Pay BRL-CDI-Compounded 11.935% 01/02/2014 HSBC 27,100 (8) 17 (25) 0.00Pay BRL-CDI-Compounded 12.120% 01/02/2014 HSBC 1,200 8 3 5 0.00Pay BRL-CDI-Compounded 12.310% 01/02/2014 MLP 37,900 199 224 (25) 0.01Pay IBMEXID 7.330% 01/28/2015 HSBC MXN 2,314 8 0 8 0.00Pay IBMEXID 7.340% 01/28/2015 BCLY 5,541 18 0 18 0.00Pay IBMEXID 6.590% 12/08/2015 CITI 46,500 10 0 10 0.00Pay IBMEXID 7.780% 04/09/2019 BCLY 400 1 (1) 2 0.00

$ 2,702 $ 1,319 $ 1,383 0.13

TOTAL RETURN SWAPS ON COMMODITIES

Pay/ReceiveCommodityExchange Reference Entity

(Pay)/ReceiveFixed Price Per Unit Maturity Date Counterparty

# ofUnits

FairValue

UpfrontPremiums


(Depreciation)% of

Net Assets


3-Month US Treasury Bills rate plus aspecified spread 01/27/2011 BCLY 17,720 $ (106) $ 0 $ (106) (0.01)


3-Month US Treasury Bills rate plus aspecified spread 01/27/2011 CITI 8,620 (52) 0 (52) 0.00


3-Month US Treasury Bills rate plus aspecified spread 01/27/2011 GSC 25,220 (151) 0 (151) (0.01)


3-Month US Treasury Bills rate plus aspecified spread 01/27/2011 JPM 22,950 (124) 0 (124) (0.01)


3-Month US Treasury Bills rate plus aspecified spread 01/27/2011 MSC 74,410 (448) 0 (448) (0.02)

$ (881) $ 0 $ (881) (0.05)


Pay/Receive Security# of Shares

or Units Floating Rate(5)NotionalAmount Maturity Date Counterparty

FairValue

UpfrontPremiums

Paid/(Received)


% ofNet Assets

Receive iShares MSCI Emerging MarketsIndex 1,198

3-Month USD-LIBOR rate plus aspecified spread $ 55,247 01/31/2011 CSFB $ 1,413 $ 0 $ 1,413 0.07

Pay SunPower Corp.25

1-Month USD-LIBOR rate plus aspecified spread 327 03/31/2011 GSC 8 0 8 0.00

Receive SunPower Corp.25

1-Month USD-LIBOR rate plus aspecified spread 315 03/31/2011 GSC (8) 0 (8) 0.00

Receive Sberbank Via SB Capital S.A.1,451

3-Month USD-Libor rate plus aspecified spread 5,106 12/13/2011 GSC (164) 0 (164) (0.01)

Pay Bank of Montreal16


Receive Marshall & Ilsley Corp.128


Receive iShares MSCI Emerging EAFEIndex 1,019

3-Month USD-LIBOR rate plus aspecified spread 55,970 12/31/2010 JPM 2,975 0 2,975 0.14

Receive Blackrock Pennsylvania StrategicMunicipal Trust 1,375

3-Month USD-LIBOR rate plus aspecified spread 79,098 01/14/2011 JPM 429 (282) 711 0.02

Receive Vanguard3,342

3-Month USD-LIBOR rate plus aspecified spread 158,889 04/14/2011 JPM 885 (179) 1,064 0.04

$ 5,548 $ (461) $ 6,009 0.26

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

VARIANCE SWAPS

Pay/ReceiveFloating Rate Underlying Asset

StrikePrice Maturity Date Counterparty

NotionalAmount

FairValue

UpfrontPremiums


Appreciation% of

Net Assets

Pay S&P GSCI Crude Oil Official Close Index $ 0.111 05/17/2011 DUB $ 400 $ 17 $ 0 $ 17 0.00Pay S&P GSCI Natural Gas Official Close Index 0.114 05/17/2011 DUB 300 9 0 9 0.00Pay S&P GSCI Natural Grid Gas PLC 0.204 01/26/2011 SOG 200 3 0 3 0.00

$ 29 $ 0 $ 29 0.00


31 December 2010


Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Buy AUD 6,715 BCLY 01/2011 $ 330 $ 0 $ 330 0.02Buy 6,800 CITI 01/2011 386 0 386 0.02Buy 6,505 CSFB 01/2011 89 0 89 0.01Buy 45,672 RBS 01/2011 2,203 0 2,203 0.10Buy 2,116 UBS 01/2011 55 0 55 0.00Sell 6,800 UBS 01/2011 0 (167) (167) (0.01)Buy BRL 881 HSBC 02/2011 26 0 26 0.00Sell 881 UBS 02/2011 0 (8) (8) 0.00Buy 5,967 CITI 03/2011 48 0 48 0.00Sell 1,385 CITI 03/2011 0 (10) (10) 0.00Sell 142,823 HSBC 03/2011 0 (1,044) (1,044) (0.05)Buy 881 UBS 04/2011 8 0 8 0.00Buy CAD 200 CITI 01/2011 0 0 0 0.00Buy 101 CSFB 01/2011 1 0 1 0.00Buy 7,180 CSFB 02/2011 39 0 39 0.00Buy 940 DUB 02/2011 6 0 6 0.00Sell 27,060 DUB 02/2011 0 (177) (177) (0.01)Sell CHF 4,882 CITI 01/2011 0 (312) (312) (0.01)Sell 6,133 RBS 01/2011 0 (322) (322) (0.02)Buy 4,814 UBS 01/2011 239 0 239 0.01Sell 3,526 UBS 01/2011 0 (190) (190) (0.01)Buy 1,870 BNP 02/2011 48 0 48 0.00Buy 197 CITI 02/2011 9 0 9 0.00Sell 120 CITI 02/2011 0 (7) (7) 0.00Sell 271 HSBC 02/2011 0 (9) (9) 0.00Buy 27,113 RBC 02/2011 1,638 0 1,638 0.08Sell 7,065 RBC 02/2011 0 (424) (424) (0.02)Buy CNY 2,002 BCLY 01/2011 3 0 3 0.00Sell 137,133 CITI 01/2011 0 (537) (537) (0.02)Buy 137,740 DUB 01/2011 147 0 147 0.01Sell 14,058 DUB 01/2011 0 (15) (15) 0.00Buy 8,287 HSBC 01/2011 25 0 25 0.00Sell 20,700 HSBC 01/2011 17 0 17 0.00Buy 23,949 JPM 01/2011 27 0 27 0.00Buy 3,360 RBS 01/2011 9 0 9 0.00Buy 2,602 BCLY 04/2011 3 0 3 0.00Buy 2,184 DUB 04/2011 8 0 8 0.00Buy 2,408 HSBC 04/2011 3 0 3 0.00Buy 3,132 JPM 04/2011 4 0 4 0.00Buy 5,862 BCLY 06/2011 0 (3) (3) 0.00Buy 4,548 HSBC 06/2011 0 (4) (4) 0.00Buy 34,554 BOA 09/2011 120 0 120 0.01Buy 30,544 CITI 09/2011 102 0 102 0.01Sell 21,500 DUB 09/2011 25 0 25 0.00Buy 76,245 UBS 09/2011 238 0 238 0.01Buy 394 BCLY 11/2011 0 0 0 0.00Buy 2,372 CITI 11/2011 1 0 1 0.00Buy 72,842 DUB 11/2011 256 0 256 0.01Buy 1,946 HSBC 11/2011 1 0 1 0.00Buy 1,220 JPM 11/2011 0 (1) (1) 0.00Buy 14,058 DUB 02/2012 13 0 13 0.00Sell 137,133 DUB 02/2012 0 (131) (131) (0.01)Buy 21,500 DUB 09/2015 42 0 42 0.00Buy 20,700 HSBC 09/2015 79 0 79 0.00Buy COP 1,456,800 CITI 04/2011 0 (32) (32) 0.00Buy DKK 2,505 BCLY 02/2011 5 0 5 0.00Buy 447 BNP 02/2011 0 0 0 0.00Sell 336 CITI 02/2011 0 0 0 0.00Sell 379 HSBC 02/2011 0 (1) (1) 0.00Sell 30,778 RBC 02/2011 242 0 242 0.01Sell 621 UBS 02/2011 0 (1) (1) 0.00Buy € 3,570 BCLY 01/2011 36 0 36 0.00Sell 23,889 BCLY 01/2011 0 (148) (148) (0.01)Buy 11,144 BNP 01/2011 78 (449) (371) (0.02)Sell 493 BNP 01/2011 39 0 39 0.00Buy 282 BOA 01/2011 0 (3) (3) 0.00Buy 48,071 CITI 01/2011 23 (1,138) (1,115) (0.05)Sell 20,582 CITI 01/2011 207 (221) (14) 0.00Buy 9,885 CSFB 01/2011 0 (75) (75) 0.00Sell 5,652 CSFB 01/2011 2 (15) (13) 0.00Buy 1,625 DUB 01/2011 0 (102) (102) 0.00Sell 4,413 DUB 01/2011 0 (32) (32) 0.00Buy 1,500 HSBC 01/2011 22 0 22 0.00Sell 322 HSBC 01/2011 4 0 4 0.00Sell 27 JPM 01/2011 1 0 1 0.00Buy 2,303 MSC 01/2011 0 (111) (111) (0.01)Buy 1,300 RBC 01/2011 0 (41) (41) 0.00Sell 250 RBC 01/2011 2 0 2 0.00Buy 2,212 RBS 01/2011 0 (70) (70) 0.00Sell 1,663 RBS 01/2011 1 (19) (18 ) 0.00Buy 1,000 UBS 01/2011 6 0 6 0.00Sell 186 UBS 01/2011 0 (3) (3) 0.00



Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Buy £ 259 CITI 01/2011 $ 0 $ (1) $ (1) 0.00Buy 19,954 BCLY 03/2011 0 (424) (424) (0.02)Sell 2,531 BCLY 03/2011 54 0 54 0.00Buy 19,954 DUB 03/2011 0 (430) (430) (0.02)Sell 2,531 DUB 03/2011 55 0 55 0.00Sell 286 HSBC 03/2011 0 0 0 0.00Sell 340 MSC 03/2011 0 (1) (1) 0.00Buy 500 RBC 03/2011 1 0 1 0.00Buy 13,302 RBS 03/2011 0 (334) (334) (0.01)Sell 1,688 RBS 03/2011 42 0 42 0.00Sell 534 UBS 03/2011 12 0 12 0.00Buy HKD 14,000 BCLY 01/2011 0 (8) (8) 0.00Sell HUF 759,304 CITI 01/2011 0 (117) (117) (0.01)Sell IDR 57,000,000 BCLY 04/2011 0 (251) (251) (0.01)Buy INR 23,924 BNP 03/2011 0 (2) (2) 0.00Sell 577,408 BOA 03/2011 0 (401) (401) (0.02)Buy 39,700 CITI 03/2011 0 0 0 0.00Buy 13,635 HSBC 03/2011 1 0 1 0.00Buy 98,559 RBS 03/2011 0 (9) (9) 0.00Buy 83,997 BCLY 05/2011 3 0 3 0.00Buy JPY 969,960 BCLY 01/2011 317 0 317 0.01Sell 3,500 BCLY 01/2011 0 (1) (1) 0.00Buy 7,712,629 CITI 01/2011 2,156 0 2,156 0.10Sell 6,520,000 CITI 01/2011 453 0 453 0.02Buy 811,581 CSFB 01/2011 129 0 129 0.01Buy 1,055,618 GSC 01/2011 374 0 374 0.02Buy 1,228,121 JPM 01/2011 402 0 402 0.02Buy 467,937 RBC 01/2011 168 0 168 0.01Buy 2,201,180 RBS 01/2011 732 0 732 0.03Sell 407,290 UBS 01/2011 0 (83) (83) 0.00Sell KRW 14,328,320 CITI 01/2011 0 (986) (986) (0.05)Buy 592,805 GSC 01/2011 0 (6) (6) 0.00Buy 441,500 HSBC 01/2011 0 (10) (10) 0.00Buy 22,538,680 JPM 01/2011 392 0 392 0.02Sell 9,244,665 JPM 01/2011 0 (629) (629) (0.03)Buy 272,700 BCLY 05/2011 0 (3) (3) 0.00Buy 2,660,800 CITI 05/2011 0 (24) (24) 0.00Buy 219,833 GSC 05/2011 0 0 0 0.00Buy 515,000 HSBC 05/2011 0 (5) (5) 0.00Buy 2,221,705 JPM 05/2011 15 (1) 14 0.00Sell 22,538,680 JPM 05/2011 0 (385) (385) (0.02)Buy 1,388,930 MSC 05/2011 13 0 13 0.00Buy 1,033,000 RBS 05/2011 0 (4) (4) 0.00Buy MXN 274 BCLY 02/2011 1 0 1 0.00Sell 10,564 BCLY 02/2011 0 (27) (27) 0.00Sell 321,568 BOA 02/2011 0 (836) (836) (0.04)Buy 16,629 CITI 02/2011 25 0 25 0.00Buy 7,506 DUB 02/2011 4 0 4 0.00Buy 3,475 HSBC 02/2011 0 (1) (1) 0.00Buy 16,802 JPM 02/2011 42 0 42 0.00Buy 16,976 MSC 02/2011 0 (4) (4) 0.00Buy MYR 3,648 BCLY 02/2011 8 0 8 0.00Sell 6,570 BCLY 02/2011 0 (19) (19) 0.00Buy 1,629 CITI 02/2011 3 0 3 0.00Sell 5,990 CITI 02/2011 0 (13) (13) 0.00Sell 25,967 DUB 02/2011 0 (66) (66) 0.00Buy 543 JPM 02/2011 1 0 1 0.00Buy 370 RBS 02/2011 1 0 1 0.00Sell 5,590 RBS 02/2011 0 (10) (10) 0.00Buy NOK 10,573 CITI 01/2011 95 0 95 0.01Sell 10,174 CITI 01/2011 0 (27) (27) 0.00Buy 9,966 CSFB 01/2011 41 0 41 0.00Buy 9,955 UBS 01/2011 39 0 39 0.00Buy 476 BCLY 02/2011 4 0 4 0.00Sell 23,763 CITI 02/2011 0 (3) (3) 0.00Sell 1,585 RBC 02/2011 0 0 0 0.00Buy 1,500 RBS 02/2011 13 0 13 0.00Sell 160 UBS 02/2011 0 0 0 0.00Buy NZD 2,300 CITI 01/2011 59 0 59 0.00Sell 2,300 CITI 01/2011 0 (16) (16) 0.00Buy 2,150 CSFB 01/2011 23 0 23 0.00Buy 2,150 UBS 01/2011 20 0 20 0.00Buy PHP 21,668 CITI 02/2011 0 (2) (2) 0.00Buy 6,223 DUB 02/2011 0 (1) (1) 0.00Buy 4,007 UBS 02/2011 0 0 0 0.00Buy 6,000 BOA 06/2011 0 (1) (1) 0.00Buy 60,084 CITI 06/2011 5 (13) (8) 0.00Buy 12,906 DUB 06/2011 2 0 2 0.00Buy 9,696 HSBC 06/2011 1 0 1 0.00Buy 13,258 JPM 06/2011 2 0 2 0.00Buy PLN 5,688 BCLY 02/2011 0 (73) (73) 0.00Sell 55,437 BCLY 02/2011 708 0 708 0.03Buy 301 DUB 02/2011 1 0 1 0.00


31 December 2010

Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Sell PLN 2,564 HSBC 02/2011 $ 44 $ 0 $ 44 0.00Buy 829 UBS 02/2011 0 (23) (23) 0.00Buy SEK 12,660 CITI 01/2011 71 0 71 0.00Buy 11,373 CSFB 01/2011 31 0 31 0.00Buy 11,344 DUB 01/2011 27 0 27 0.00Sell 11,672 MSC 01/2011 0 (25) (25) 0.00Buy 16,507 BCLY 02/2011 81 0 81 0.01Sell 490 BNP 02/2011 0 (2) (2) 0.00Sell 3,400 GSC 02/2011 0 (13) (13) 0.00Buy 49,662 RBC 02/2011 0 (54) (54) 0.00Sell 3,598 RBS 02/2011 0 (10) (10) 0.00Buy SGD 346 BCLY 01/2011 5 0 5 0.00Sell 1,267 BCLY 01/2011 0 (24) (24) 0.00Sell 3,349 JPM 02/2011 0 0 0 0.00Buy 2,340 BOA 03/2011 76 0 76 0.01Buy 707 DUB 03/2011 17 0 17 0.00Buy 490 JPM 03/2011 17 0 17 0.00Buy 580 RBS 03/2011 19 0 19 0.00Buy 1,692 DUB 06/2011 13 0 13 0.00Sell TRY 16,372 BCLY 01/2011 791 0 791 0.04Buy TWD 496,758 DUB 01/2011 442 0 442 0.02Sell 178,724 DUB 01/2011 0 (316) (316) (0.01)Buy 12,126 HSBC 01/2011 15 0 15 0.00Buy 6,459 JPM 01/2011 16 0 16 0.00Sell 101,637 JPM 01/2011 0 (259) (259) (0.01)Buy 6,200 MSC 01/2011 15 0 15 0.00Sell 156,452 MSC 01/2011 0 (374) (374) (0.02)Sell 84,730 UBS 01/2011 0 (225) (225) (0.01)Buy 9,294 BOA 04/2011 17 0 17 0.00Buy 46,372 DUB 04/2011 57 0 57 0.00Sell 481,671 DUB 04/2011 0 (538) (538) (0.02)Buy 11,205 JPM 04/2011 19 0 19 0.00Buy 716 RBS 04/2011 1 0 1 0.00Buy ZAR 2,672 BCLY 01/2011 0 (1) (1) 0.00Buy 8,804 HSBC 01/2011 60 0 60 0.00Sell 157,798 HSBC 01/2011 0 (1,066) (1,066) (0.05)

$ 15,167 $ (13,979) $ 1,188 0.06



DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS


BNP Paribas Bank0.088% due 12/31/2010 € 587 $ 780 0.04DnB NORBank ASA0.030% due 12/31/2010 $ 749 749 0.03HSBC Bank0.070% due 12/31/2010 £ 448 689 0.03Total Overnight Time Deposits $ 2,218 0.10Other Current Assets & Liabilities $ (12,145) (0.56)Net Assets $ 2,114,491 100.00


(a) The Global Multi-Asset Fund is investing in Class Z Income Shares of affiliated Funds.


(c) Securities with an aggregate market value of $24,312 and cash of $83 have been segregated with the Custodian to cover margin requirements for the open futures contracts as at 31 December2010.

(d) Securities with an aggregate market value of $310 and cash of $4,520 have been pledged as collateral for swap, swaption and foreign currency contracts as governed by International Swaps andDerivatives Association, Inc. Master Agreements as at 31 December 2010.

(e) Cash with an aggregate value of $322 has been pledged as collateral for written options as at 31 December 2010.



DateAcquisition

Date CostFair

Value% of

Net Assets

JPMorgan Chase Bank N.A. 3.136% 02/11/2011 02/17/2010 $ 200 $ 191 0.01





Category3




(Level 2)



Transferable Securities $ 1,064,292 $ 1,025,915 $ 5,453 $ 2,095,660Deposits with Credit Institutions 0 948 0 948Financial Derivative Instruments4 13,723 14,128 (41) 27,810Totals $ 1,078,015 $ 1,040,991 $ 5,412 $ 2,124,418


Category3

StartingBalance

at 31-Dec-2009Net

Purchases5Net

Sales5


RealisedGains/

(Losses)




Level 3

EndingBalance

at 31-Dec-2010




Transferable Securities $ 0 $ 5,504 $ (116) $ 14 $ 28 $ 23 $ 0 $ 5,453 $ 24Financial Derivative Instruments4 0 (34) 0 0 0 (7) 0 (41) (7)Totals $ 0 $ 5,470 $ (116) $ 14 $ 28 $ 16 $ 0 $ 5,412 $ 17


Category3




(Level 2)



Transferable Securities $ 18,821 $ 359,426 $ 0 $ 378,247Financial Derivative Instruments4 1,102 (1,383) 0 (281)Totals $ 19,923 $ 358,043 $ 0 $ 377,966




As at 31 December 2010, the Institutional EUR (Hedged) Class, Investor EUR (Hedged), Class E EUR (Hedged) had the following foreign currency contracts outstanding:

Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Buy € 16,171 BCLY 01/2011 $ 238 $ 0 $ 238 0.01Sell 9,864 BCLY 01/2011 0 (178) (178) (0.01)Buy 15,258 CITI 01/2011 166 0 166 0.01Buy 3,022 CSFB 01/2011 10 (9) 1 0.00Buy 8,472 HSBC 01/2011 0 (114) (114) (0.01)Buy 5,669 JPM 01/2011 0 (43) (43) 0.00Buy 2,115 MSC 01/2011 0 (21) (21) 0.00Sell 2,421 RBC 01/2011 0 (48) (48) 0.00Buy 640,026 RBS 01/2011 12,763 (1) 12,762 0.60Buy 7,379 UBS 01/2011 58 (24) 34 0.00Buy 8,524 CITI 02/2011 123 0 123 0.01Buy 4,684 RBC 02/2011 78 0 78 0.00

$ 13,436 $ (438) $ 12,998 0.61

As at 31 December 2010, the Institutional GBP (Hedged) Class and Class E GBP (Hedged) had the following foreign currency contracts outstanding:

Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Buy £ 3,586 BCLY 01/2011 $ 0 $ (135) $ (135) (0.01)Sell 896 BCLY 01/2011 17 0 17 0.00Sell 37 CITI 01/2011 1 0 1 0.00Buy 5,202 CSFB 01/2011 0 (209) (209) (0.01)Sell 4,360 HSBC 01/2011 209 0 209 0.01Buy 359 JPM 01/2011 0 (10) (10) 0.00Sell 204 RBC 01/2011 1 0 1 0.00Buy 92,922 RBS 01/2011 0 (1,494) (1,494) (0.07)Buy 1,127 UBS 01/2011 0 (38) (38) 0.00Sell 981 CITI 02/2011 3 0 3 0.00Buy 1,059 RBC 02/2011 3 0 3 0.00

$ 234 $ (1,886) $ (1,652) (0.08)


Significant Changes in Portfolio Composition Global Multi-Asset Fund (Unaudited)31 December 2010




PAR(000S)

US Treasury Notes0.500% due 10/15/2013 $ 328,200 327,391

SHARES

PIMCO Total Return Bond Fund (a) 28,458,833 249,003PIMCO Emerging Local Bond Fund (a) 16,892,264 226,389Gold Bullion Securities Ltd. 1,326,010 155,032

PAR(000S)

US Treasury Bills0.000% due 05/13/2010 $ 154,760 154,726Canada Government Bond1.500% due 06/01/2012 CAD 91,200 88,766Japan Treasury Bills0.107% due 01/31/2011 JPY 6,520,000 80,540Japan Treasury Bills0.000% due 10/25/2010 6,530,000 74,882US Treasury Bills0.063% due 08/05/2010 $ 74,100 74,092US Treasury Bills0.200% due 12/09/2010 71,700 71,626

SHARES

PIMCO Unconstrained Bond Fund (a) 6,757,559 68,260PIMCO Global Bond Fund (a) 6,487,045 63,007PIMCO StocksPLUSTM Fund (a) 5,013,077 57,756PIMCO Emerging Markets Bond Fund (a) 4,177,755 52,413

PAR(000S)

Federal Home Loan Bank0.000% due 03/05/2010 $ 50,400 50,396

SHARES

PIMCO Global Investment Grade Credit Fund (a) 4,441,815 48,259PAR

(000S)

US Treasury Bills0.000% due 04/29/2010 $ 45,300 45,292Federal Home Loan Bank0.000% due 03/17/2010 42,800 42,798Fannie Mae0.000% due 04/07/2010 40,400 40,392Brazil Notas do Tesouro Nacional Series F10.000% due 01/01/2017 BRL 68,000 35,886Federal Home Loan Bank0.000% due 04/07/2010 $ 32,928 32,925US Treasury Bills0.000% due 05/27/2010 30,000 29,992Treasury Inflation Protected Securities2.125% due 02/15/2040 (b) 27,129 29,741Treasury Inflation Protected Securities2.500% due 01/15/2029 (b) 25,381 29,529US Treasury Notes3.625% due 08/15/2019 28,173 29,474US Treasury Notes0.375% due 10/31/2012 28,400 28,376US Treasury Bills0.033% due 07/01/2010 27,800 27,799Federal Home Loan Bank0.000% due 04/14/2010 26,100 26,097US Treasury Bills0.000% due 07/15/2010 25,000 24,998Freddie Mac0.250% due 10/13/2010 25,000 24,977US Treasury Bills0.000% due 05/06/2010 23,400 23,395US Treasury Bills0.133% due 02/03/2011 22,000 21,996US Treasury Bills0.190% due 06/16/2011 21,800 21,779


PIMCO Developing Local Markets Fund (a) 2,052,789 $ 20,500PAR

(000S)

Freddie Mac0.200% due 06/22/2011 $ 20,000 19,979DESCRIPTION SHARES PROCEEDS (000S)



PAR(000S)

US Treasury Notes0.500% due 10/15/2013 $ 228,800 228,232

SHARES

PIMCO Total Return Bond Fund (a) 17,874,355 158,754PAR

(000S)

US Treasury Bills0.000% due 05/13/2010 $ 154,760 154,752

SHARES

PIMCO Emerging Local Bond Fund (a) 10,732,849 149,785PAR

(000S)

Japan Treasury Bills0.000% due 10/25/2010 JPY 6,530,000 81,022Japan Treasury Bills0.107% due 01/31/2011 6,520,000 77,816US Treasury Bills0.063% due 08/05/2010 $ 74,100 74,093US Treasury Bills0.200% due 12/09/2010 71,700 71,676

SHARES

Gold Bullion Securities Ltd. 581,000 69,331PIMCO StocksPLUSTM Fund (a) 4,375,348 50,623

PAR(000S)

Federal Home Loan Bank0.000% due 03/05/2010 $ 50,400 50,400

SHARES

PIMCO Global Bond Fund (a) 4,584,594 43,870PAR

(000S)

US Treasury Bills0.000% due 04/29/2010 $ 43,800 43,798Federal Home Loan Bank0.000% due 03/17/2010 42,800 42,800Fannie Mae0.000% due 04/07/2010 40,400 40,400Federal Home Loan Bank0.000% due 04/07/2010 32,928 32,928

SHARES

PIMCO Global Investment Grade Credit Fund (a) 2,835,994 31,196PAR

(000S)

Treasury Inflation Protected Securities2.125% due 02/15/2040 (b) $ 27,128 30,408US Treasury Notes3.625% due 08/15/2019 28,173 30,062US Treasury Bills0.000% due 05/27/2010 30,000 30,000

SHARES

PIMCO Emerging Markets Bond Fund (a) 2,464,878 29,357PAR

(000S)

US Treasury Notes0.375% due 10/31/2012 $ 28,400 28,372US Treasury Bills0.033% due 07/01/2010 27,800 27,800Federal Home Loan Bank0.000% due 04/14/2010 26,100 26,100US Treasury Bills0.000% due 07/15/2010 25,000 25,000


Significant Changes in Portfolio Composition Global Multi-Asset Fund (Cont.)

DESCRIPTIONPAR

(000S)PROCEEDS

(000S)


Freddie Mac0.250% due 10/13/2010 $ 25,000 $ 24,997US Treasury Bills0.000% due 05/06/2010 23,400 23,400US Treasury Bills0.133% due 02/03/2011 22,000 21,999US Treasury Bills0.000% due 09/16/2010 19,080 19,076Federal Home Loan Bank0.000% due 03/10/2010 19,000 19,000US Treasury Bills0.215% due 08/26/2010 17,763 17,761Federal Home Loan Bank0.000% due 01/14/2010 17,200 17,200US Treasury Bonds4.375% due 05/15/2040 14,600 16,127US Treasury Bills0.060% due 03/04/2010 15,470 15,469US Treasury Bills0.000% due 10/28/2010 13,500 13,499Federal Home Loan Bank0.200% due 08/06/2010 13,400 13,400US Treasury Notes1.125% due 06/30/2011 13,228 13,318Federal Home Loan Bank0.050% due 01/22/2010 13,200 13,200US Treasury Notes0.875% due 02/29/2012 13,200 13,176Republic of Germany3.750% due 01/04/2015 € 8,800 12,922

(a) The Global Multi-Asset Fund is investing in Class Z Income and Class Z USD (Unhedged)Income shares of affiliated Funds.





Portfolio of Investments and Assets Global Real Return Fund31 December 2010

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS


AUSTRALIA

Australia Government Bond (a)2.500% due 09/20/2030 AUD 36,800 $ 36,432 1.703.000% due 09/20/2025 23,200 25,401 1.194.000% due 08/20/2020 13,600 22,569 1.06Citigroup Pty Ltd.5.430% due 08/20/2012 6,000 6,148 0.29Commonwealth Bank of Australia0.582% due 09/17/2014 $ 5,300 5,288 0.25FBG Finance Ltd.5.125% due 06/15/2015 2,500 2,656 0.12New South Wales Treasury Corp. (a)2.750% due 11/20/2025 AUD 19,100 19,839 0.933.750% due 11/20/2020 8,400 9,300 0.43Sydney Airport Finance Co. Pty Ltd.5.125% due 02/22/2021 $ 6,400 6,178 0.29Westpac Banking Corp.2.700% due 12/09/2014 8,100 8,174 0.38

141,985 6.64

BERMUDA

Noble Group Ltd.6.750% due 01/29/2020 2,500 2,778 0.13Qtel International Finance Ltd.4.750% due 02/16/2021 1,950 1,868 0.09

4,646 0.22

BRAZIL

Banco do Brasil S.A.4.500% due 01/22/2015 1,500 1,567 0.07CSN Islands VIII Corp.9.750% due 12/16/2013 2,500 2,906 0.14CSN Resources S.A.6.500% due 07/21/2020 6,050 6,413 0.30Gerdau Holdings, Inc.7.000% due 01/20/2020 1,000 1,105 0.05Petrobras International Finance Co.6.875% due 01/20/2040 500 528 0.03

12,519 0.59


Gold Fields Orogen Holding BVI Ltd.4.875% due 10/07/2020 3,500 3,355 0.16

CANADA

Canada Government Bond (a)1.500% due 12/01/2044 CAD 16,655 18,593 0.873.000% due 12/01/2036 26,719 38,147 1.784.250% due 12/01/2026 2,407 3,562 0.17

60,302 2.82

CAYMAN ISLANDS

AMMC CDO0.513% due 05/03/2018 $ 500 470 0.02Ares CLO Funds0.530% due 03/12/2018 1,484 1,398 0.07Babson CLO Ltd.0.536% due 11/10/2019 1,257 1,151 0.06Clearwater Funding CBO1.133% due 07/15/2013 509 487 0.02Hutchison Whampoa International Ltd.7.625% due 04/09/2019 3,000 3,610 0.17IPIC GMTN Ltd.3.125% due 11/15/2015 2,500 2,456 0.115.000% due 11/15/2020 3,000 2,955 0.14Landmark CDO Ltd.0.596% due 06/01/2017 1,972 1,849 0.09Mystic Re Ltd.10.294% due 06/07/2011 1,100 1,119 0.05

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Transocean, Inc.4.950% due 11/15/2015 $ 4,000 $ 4,138 0.19Vita Capital III Ltd.1.423% due 01/01/2012 500 497 0.02

20,130 0.94

FRANCE

Banque PSA Finance3.875% due 01/18/2013 € 7,700 10,499 0.49France Government Bond (a)1.000% due 07/25/2017 4,858 6,667 0.311.100% due 07/25/2022 4,076 5,211 0.241.300% due 07/25/2019 2,235 3,056 0.142.100% due 07/25/2023 3,558 5,168 0.242.250% due 07/25/2020 5,732 8,319 0.392.500% due 07/25/2013 10,029 14,516 0.683.150% due 07/25/2032 14,873 25,243 1.183.400% due 07/25/2029 6,574 11,434 0.54France Telecom S.A.3.000% due

07/25/2018 (a) 4,902 7,218 0.34Peugeot S.A.4.000% due 10/28/2013 3,000 4,095 0.19

101,426 4.74

GERMANY

Bundesobligation Inflation Linked2.250% due

04/15/2013 (a) 42,221 60,155 2.82Republic of Germany Inflation Linked1.750% due

04/15/2020 (a) 36,588 52,193 2.44SC Germany Auto1.872% due 08/12/2019 11,256 15,202 0.71

127,550 5.97

HONG KONG


INDONESIA

Majapahit Holding BV7.750% due 01/20/2020 2,000 2,315 0.118.000% due 08/07/2019 1,730 2,031 0.09

4,346 0.20

SHARES

IRELAND

PIMCO US Dollar Short-TermFloating NAV Fund (b) 1,820,397 18,208 0.85

PAR(000S)

ITALY

Asset-Backed European Securitisation Transaction Srl1.711% due 09/21/2020 € 7,163 9,614 0.45Italy Buoni Poliennali Del Tesoro2.100% due

09/15/2021 (a) 49,181 60,925 2.852.500% due 07/01/2012 9,400 12,613 0.592.550% due

09/15/2041 (a) 2,143 2,532 0.1285,684 4.01


Magnolia Funding Ltd.3.000% due 04/20/2017 758 1,014 0.05

LUXEMBOURG

Volkswagen Car Lease1.491% due 06/21/2016 13,987 18,744 0.88

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

MEXICO

Banco Mercantil del Norte S.A.4.375% due 07/19/2015 $ 100 $ 102 0.00Petroleos Mexicanos5.500% due 01/21/2021 1,200 1,221 0.06

1,323 0.06

NETHERLANDS

Daimler International Finance BV1.238% due 01/27/2012 11,600 11,603 0.54Dutch Mortgage Portfolio Loans BV1.934% due 07/25/2047 € 25,600 34,216 1.60Globaldrive BV2.413% due 04/20/2018 6,165 8,334 0.394.000% due 10/20/2016 2,033 2,765 0.13Holland Euro-Denominated Mortgage-Backed Series1.216% due 05/18/2038 384 499 0.02SABIC Capital I BV3.000% due 11/02/2015 $ 7,900 7,825 0.37Saecure BV1.965% due 09/23/2092 € 2,501 3,348 0.16Wood Street CLO BV1.388% due 03/29/2021 596 736 0.03

69,326 3.24

NORWAY

Kommunalbanken AS0.433% due 03/04/2013 $ 23,400 23,484 1.10

QATAR

Qatari Diar Finance QSC5.000% due 07/21/2020 2,000 1,994 0.09

RUSSIA

AK Transneft OJSC Via TransCapitalInvest Ltd.7.700% due 08/07/2013 1,600 1,779 0.088.700% due 08/07/2018 5,500 6,800 0.32Gazprom Via Gaz Capital S.A.6.510% due 03/07/2022 1,000 1,023 0.057.343% due 04/11/2013 300 327 0.018.146% due 04/11/2018 500 581 0.03Gazprom Via White Nights Finance BV10.500% due

03/25/2014 500 598 0.03Vnesheconombank Via VEB Finance Ltd.5.450% due 11/22/2017 9,800 9,824 0.46

20,932 0.98

SOUTH KOREA

Korea Housing Finance Corp.4.125% due 12/15/2015 2,000 2,018 0.10Shinhan Bank1.584% due 11/16/2012 5,900 5,859 0.27

7,877 0.37

SWEDEN

Sweden Government Bond (a)1.000% due 04/01/2012 SEK 75,000 12,321 0.583.500% due 12/01/2015 120,100 24,191 1.133.500% due 12/01/2028 116,000 27,413 1.284.000% due 12/01/2020 37,000 8,678 0.41

72,603 3.40

UNITED KINGDOM


Barclays Bank PLC1.402% due 12/16/2011 $ 2,600 2,600 0.12


BP Capital Markets PLC0.442% due 04/11/2011 200 200 0.01FCE Bank PLC7.125% due 01/16/2012 € 5,000 6,909 0.32


Portfolio of Investments and Assets Global Real Return Fund (Cont.)

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

LBG Capital No.1 PLC6.439% due 05/23/2020 € 7,700 $ 8,367 0.397.867% due 12/17/2019 £ 500 685 0.03LBG Capital No.2 PLC15.000% due 12/21/2019 € 600 1,198 0.0615.000% due 12/21/2019 900 1,575 0.07Lloyds TSB Bank PLC6.350% due 10/29/2049 900 1,099 0.05Network Rail Infrastructure Finance PLC (a)1.375% due 11/22/2037 £ 29,552 52,803 2.471.750% due 11/22/2027 8,912 15,917 0.75Royal Bank of Scotland PLC2.704% due 08/23/2013 $ 2,700 2,744 0.133.000% due 12/09/2011 1,500 1,532 0.07

93,029 4.35


Arkle Master Issuer PLC0.849% due 02/17/2052 £ 3,557 5,560 0.261.434% due 05/17/2060 $ 4,200 4,176 0.202.548% due 05/17/2060 € 16,500 22,135 1.04Arran Residential Mortgages Funding PLC2.203% due 05/16/2047 800 1,072 0.05Fosse Master Issuer PLC2.378% due 10/18/2054 17,200 23,038 1.08Gracechurch Mortgage Financing PLC0.384% due 11/20/2056 $ 1,800 1,760 0.08Granite Master Issuer PLC0.301% due 12/20/2054 1,268 1,181 0.060.351% due 12/20/2054 275 256 0.01Permanent Master Issuer PLC0.399% due 07/15/2033 12,600 12,279 0.57

71,457 3.35

SOVEREIGN ISSUES

United Kingdom Gilt2.000% due 01/22/2016 £ 22,200 34,101 1.592.750% due 01/22/2015 28,100 45,235 2.124.250% due 09/07/2039 4,400 6,967 0.324.500% due 03/07/2019 27,300 46,705 2.184.750% due 09/07/2015 30,000 52,291 2.45United Kingdom Gilt Inflation Linked (a)1.250% due 11/22/2017 38,988 66,414 3.111.250% due 11/22/2027 26,121 44,847 2.101.875% due 11/22/2022 47,431 85,236 3.992.500% due 08/23/2011 200 970 0.042.500% due 08/16/2013 200 874 0.042.500% due 07/26/2016 10,700 52,572 2.462.500% due 04/16/2020 7,625 38,183 1.782.500% due 07/17/2024 1,000 4,447 0.21

478,842 22.39Total United Kingdom 645,928 30.21

UNITED STATES


Capital Auto Receivables Asset Trust1.710% due 10/15/2012 $ 848 851 0.04Citibank Credit Card Issuance Trust1.134% due 05/24/2013 € 4,000 5,347 0.25DaimlerChrysler Auto Trust1.745% due 09/10/2012 $ 1,440 1,444 0.07Endurance CLO I Ltd.0.736% due 02/15/2014 507 492 0.02Equity One ABS, Inc.0.561% due 04/25/2034 47 36 0.00Illinois Student Assistance Commission0.767% due 04/25/2017 1,600 1,597 0.07Morgan Stanley Mortgage Loan Trust5.726% due 10/25/2036 464 267 0.01Residential Asset Mortgage Products, Inc.0.341% due 02/25/2037 89 89 0.00SLM Student Loan Trust2.180% due 08/15/2016 2,982 2,983 0.14Soundview Home Equity Loan Trust1.061% due 10/25/2037 1,201 1,195 0.06

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Truman Capital Mortgage Loan Trust0.601% due 01/25/2034 $ 2 $ 1 0.00

14,302 0.66


CIT Group, Inc.6.250% due 08/11/2015 1,000 1,021 0.05Ford Motor Co.3.020% due 12/15/2013 593 591 0.033.040% due 12/15/2013 238 238 0.01

1,850 0.09


Ally Financial, Inc.6.750% due 12/01/2014 1,000 1,049 0.056.875% due 09/15/2011 500 516 0.027.000% due 02/01/2012 5,500 5,747 0.277.500% due 09/15/2020 2,000 2,108 0.10American International Group, Inc.0.399% due 10/18/2011 1,100 1,091 0.055.850% due 01/16/2018 2,100 2,172 0.108.175% due 05/15/2058 1,600 1,716 0.088.250% due 08/15/2018 1,100 1,271 0.06Bank of America Corp.0.845% due 06/11/2012 £ 3,700 5,651 0.26Black & Decker Corp.8.950% due 04/15/2014 $ 2,000 2,380 0.11Citibank Credit Card Issuance Trust5.375% due 04/11/2011 € 4,000 5,410 0.25Citigroup, Inc.2.286% due 08/13/2013 $ 1,600 1,628 0.08DISH DBS Corp.6.625% due 10/01/2014 5,000 5,200 0.24Embarq Corp.6.738% due 06/01/2013 1,500 1,630 0.08Ford Motor Credit Co. LLC7.250% due 10/25/2011 1,300 1,344 0.067.500% due 08/01/2012 2,500 2,659 0.13International Lease Finance Corp.5.350% due 03/01/2012 4,700 4,765 0.226.375% due 03/25/2013 9,400 9,682 0.456.500% due 09/01/2014 1,000 1,065 0.056.625% due 11/15/2013 931 955 0.046.750% due 09/01/2016 900 965 0.057.125% due 09/01/2018 1,700 1,815 0.09Lehman Brothers Holdings, Inc. (c)0.000% due 03/05/2010 € 950 289 0.010.000% due 04/05/2011 10 3 0.00Limited Brands, Inc.6.900% due 07/15/2017 $ 1,000 1,068 0.05Marsh & McLennan Cos., Inc.5.750% due 09/15/2015 1,000 1,077 0.05Merrill Lynch & Co., Inc.0.920% due 02/21/2012 £ 1,900 2,911 0.14Morgan Stanley0.739% due 10/18/2016 $ 800 740 0.03National Capital Trust II5.486% due 12/29/2049 1,000 964 0.04New York Life Global Funding4.650% due 05/09/2013 2,000 2,152 0.10NGPL PipeCo LLC6.514% due 12/15/2012 900 972 0.05Office Depot, Inc.6.250% due 08/15/2013 2,500 2,513 0.12Pacific Life Global Funding5.150% due 04/15/2013 600 642 0.03Prudential Financial, Inc.3.090% due 06/10/2013 (a) 2,000 2,006 0.09SLM Corp.1.300% due 11/15/2011 € 1,500 1,941 0.09Sprint Capital Corp.7.625% due 01/30/2011 $ 6,000 6,022 0.28Wells Fargo Capital XIII7.700% due 12/29/2049 900 935 0.04

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Wm. Wrigley Jr. Co.1.678% due 06/28/2011 $ 1,400 $ 1,401 0.07

86,455 4.03


Banc of America Large Loan, Inc.0.770% due 08/15/2029 941 875 0.045.641% due 02/17/2051 700 747 0.04Banc of America Mortgage Securities, Inc.6.500% due 09/25/2033 37 39 0.00Bear Stearns Adjustable Rate Mortgage Trust2.330% due 08/25/2035 316 303 0.012.430% due 08/25/2035 387 367 0.022.730% due 03/25/2035 1,001 956 0.052.934% due 03/25/2035 317 304 0.01Citigroup & Deutsche Bank Commercial

Mortgage Trust5.205% due 12/11/2049 1,000 1,029 0.055.886% due 11/15/2044 400 427 0.02Citigroup Commercial Mortgage Trust5.698% due 12/10/2049 274 293 0.01Citigroup Mortgage Loan Trust, Inc.2.210% due 08/25/2035 47 44 0.002.510% due 08/25/2035 420 397 0.022.560% due 08/25/2035 308 278 0.012.820% due 12/25/2035 75 69 0.01Commercial Mortgage Pass-Through Certificates3.156% due 07/10/2046 1,697 1,703 0.08Countrywide Home Loan Mortgage

Pass-Through Trust0.551% due 04/25/2035 842 552 0.030.601% due 06/25/2035 386 333 0.013.070% due 04/20/2035 1,296 1,241 0.06Deutsche Alternative-A Securities, Inc.6.300% due 07/25/2036 1,377 848 0.04GSR Mortgage Loan Trust2.825% due 09/25/2035 873 837 0.04JPMorgan Chase Commercial Mortgage

Securities Corp.5.336% due 05/15/2047 680 707 0.035.429% due 12/12/2043 620 658 0.03JPMorgan Mortgage Trust5.290% due 07/25/2035 3,806 3,556 0.17LB-UBS Commercial Mortgage Trust5.866% due 09/15/2045 200 211 0.01Mellon Residential Funding Corp.0.690% due 08/15/2032 2,540 2,419 0.11Merrill Lynch Countrywide Commercial

Mortgage Trust5.700% due 09/12/2049 300 314 0.01Morgan Stanley Capital I5.879% due 06/11/2049 1,000 1,072 0.05NCUA Guaranteed Notes0.635% due 11/06/2017 12,964 12,960 0.61Residential Accredit Loans, Inc.0.441% due 06/25/2046 1,327 554 0.03Residential Asset Securitization Trust0.661% due 01/25/2046 (c) 1,393 632 0.03Sequoia Mortgage Trust0.611% due 10/19/2026 101 87 0.00UBS Commercial Mortgage Trust1.160% due 07/15/2024 1,652 1,556 0.07Wachovia Bank Commercial Mortgage Trust5.088% due 08/15/2041 1,000 1,061 0.055.418% due 01/15/2045 720 773 0.045.572% due 10/15/2048 500 524 0.02WaMu Mortgage Pass-Through Certificates0.521% due 11/25/2045 69 59 0.000.541% due 11/25/2045 3,800 2,939 0.140.551% due 10/25/2045 524 446 0.022.370% due 03/25/2033 324 310 0.02

42,480 1.99


31 December 2010

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS



5.875% due 06/01/2047 $ 500 $ 330 0.02New Jersey, Tobacco Settlement Financing Corp.

Revenue Bonds, Series 20075.000% due 06/01/2041 1,100 656 0.03Rhode Island, Tobacco Settlement Financing Corp.

Revenue Bonds, Series 20026.000% due 06/01/2023 415 423 0.02West Virginia, Tobacco Settlement Finance Authority

Revenue Bonds, Series 20077.467% due 06/01/2047 860 597 0.03

2,006 0.10


Fannie Mae1.542% due 09/01/2044 -

10/01/2044 149 147 0.01Freddie Mac0.490% due 02/15/2019 1,758 1,760 0.080.521% due 08/25/2031 25 25 0.000.541% due 09/25/2031 49 47 0.00

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

0.610% due 12/15/2030 $ 24 $ 24 0.001.542% due 10/25/2044 1,564 1,532 0.076.318% due 09/01/2036 457 481 0.036.537% due 10/01/2036 583 616 0.036.610% due 07/01/2036 528 555 0.03

5,187 0.25


Treasury Inflation Protected Securities (a)0.625% due 04/15/2013 4,553 4,694 0.221.250% due 07/15/2020 (d) 32,092 32,904 1.541.375% due 01/15/2020 (d) 70,191 73,043 3.421.750% due 01/15/2028 11,901 12,145 0.571.875% due 07/15/2013 -

07/15/2019 (d) 68,946 73,943 3.462.000% due 04/15/2012 -

01/15/2026 (d) 216,105 232,341 10.872.375% due 04/15/2011 -

01/15/2027 (d) 75,943 84,650 3.962.500% due 07/15/2016 -

01/15/2029 55,229 62,666 2.932.625% due 07/15/2017 33,452 38,112 1.783.000% due 07/15/2012 1,825 1,939 0.093.375% due 01/15/2012 -

04/15/2032 29,070 31,022 1.45

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

3.625% due 04/15/2028 $ 14,604 $ 18,898 0.883.875% due 04/15/2029 53,975 72,558 3.39US Treasury Bills0.185% due 06/09/2011 -

06/16/2011 (e) 810 809 0.04739,724 34.60

Total United States 892,004 41.72Total Transferable Securities &Money Market Instruments -Official Stock Exchange/Regulated Market $ 2,335,875 109.26



FUTURES


Month# of

Contracts


% ofNet Assets

3-Month Euribor Interest Rate December Futures Long 12/2011 319 $ 215 0.013-Month Euribor Interest Rate June Futures Long 06/2011 308 104 0.0190-Day Eurodollar June Futures Long 06/2011 249 16 0.0090-Day Eurodollar March Futures Long 03/2011 733 158 0.0190-Day Eurodollar March Futures Long 03/2012 118 (32) 0.00United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures Long 12/2011 546 63 0.00

$ 524 0.03

WRITTEN OPTIONS

DescriptionExercise

PriceExpiration

Date# of


Value% of

Net Assets

Call - CBOT US Treasury 10-Year Note February Futures $129.000 01/21/2011 68 $ (27) $ (1) 0.00Call - IMM Eurodollar September Futures 99.375 09/19/2011 534 (246) (314) (0.02)Put - CBOT US Treasury 10-Year Note February Futures 124.000 01/21/2011 68 (34) (246) (0.01)Put - IMM Eurodollar September Futures 99.375 09/19/2011 534 (339) (220) (0.01)

$ (646) $ (781) (0.04)Total Financial Derivative Instruments Dealt in on a Regulated Market $ (257) (0.01)



PURCHASED OPTIONS


ExerciseRate

ExpirationDate

NotionalAmount Cost

FairValue

% ofNet Assets


Put - OTC 1-Year Interest Rate Swap GSC 3-Month USD-LIBOR Receive 2.000% 11/19/2012 $ 27,900 $ 68 $ 181 0.01

WRITTEN OPTIONS


ProtectionExercise

RateExpiration


FairValue

% ofNet Assets


Put - OTC Dow Jones iTraxx Europe Series 14 BNP Buy 1.300% 01/19/2011 € 2,800 $ (11) $ (2) 0.00Put - OTC Dow Jones iTraxx Europe Series 14 BNP Buy 1.600% 03/16/2011 1,300 (6) (2) 0.00Call - OTC Dow Jones iTraxx Europe Series 14 MSC Sell 0.900% 03/16/2011 2,900 (9) (7) 0.00Put - OTC Dow Jones iTraxx Europe Series 14 MSC Buy 1.600% 03/16/2011 2,900 (22) (5) 0.00




ExerciseRate

ExpirationDate


FairValue

% ofNet Assets

Put - OTC Dow Jones iTraxx Europe Series 14 MSC Buy 1.800% 03/16/2011 € 1,300 $ (9) $ (1) 0.00Put - OTC Dow Jones iTraxx Europe Series 14 UBS Buy 1.300% 01/19/2011 5,600 (20) (4) 0.00Call - OTC Dow Jones CDX N.A. IG15 Index BNP Sell 0.800% 03/16/2011 $ 2,400 (5) (5) 0.00Put - OTC Dow Jones CDX N.A. IG15 Index BNP Buy 1.300% 03/16/2011 2,400 (7) (2) 0.00Call - OTC Dow Jones CDX N.A. IG15 Index MSC Sell 0.800% 01/19/2011 3,000 (5) (2) 0.00Call - OTC Dow Jones CDX N.A. IG15 Index MSC Sell 0.800% 03/16/2011 700 (1) (2) 0.00Put - OTC Dow Jones CDX N.A. IG15 Index MSC Buy 1.300% 03/16/2011 700 (2) (1) 0.00Put - OTC Dow Jones CDX N.A. IG15 Index MSC Buy 1.700% 03/16/2011 1,300 (6) 0 0.00Put - OTC Dow Jones CDX N.A. IG15 Index MSC Buy 1.200% 06/15/2011 1,900 (10) (7) 0.00

$ (113) $ (40) 0.00


ExerciseRate

ExpirationDate


FairValue

% ofNet Assets


Put - OTC 3-Year Interest Rate Swap BCLY 3-Month USD-LIBOR Pay 3.000% 06/18/2012 $ 3,000 $ (26) $ (38) 0.00Put - OTC 3-Year Interest Rate Swap BOA 3-Month USD-LIBOR Pay 3.000% 06/18/2012 20,100 (202) (254) (0.01)Put - OTC 2-Year Interest Rate Swap BOA 3-Month USD-LIBOR Pay 2.250% 09/24/2012 5,800 (40) (78) 0.00Put - OTC 3-Year Interest Rate Swap CITI 3-Month USD-LIBOR Pay 3.000% 06/18/2012 16,800 (191) (212) (0.01)Put - OTC 3-Year Interest Rate Swap DUB 3-Month USD-LIBOR Pay 3.000% 06/18/2012 10,000 (112) (126) (0.01)Put - OTC 1-Year Interest Rate Swap GSC 3-Month USD-LIBOR Pay 1.000% 11/19/2012 27,900 (159) (332) (0.02)Put - OTC 3-Year Interest Rate Swap JPM 3-Month USD-LIBOR Pay 3.000% 06/18/2012 12,500 (114) (158) (0.01)Put - OTC 10-Year Interest Rate Swap MSC 3-Month USD-LIBOR Pay 10.000% 07/10/2012 2,000 (13) (1) 0.00Put - OTC 2-Year Interest Rate Swap MSC 3-Month USD-LIBOR Pay 2.250% 09/24/2012 5,900 (38) (80) (0.01)Put - OTC 3-Year Interest Rate Swap RBS 3-Month USD-LIBOR Pay 3.000% 06/18/2012 19,700 (218) (249) (0.01)Put - OTC 10-Year Interest Rate Swap RBS 3-Month USD-LIBOR Pay 10.000% 07/10/2012 4,200 (29) (3) 0.00Put - OTC 2-Year Interest Rate Swap RBS 3-Month USD-LIBOR Pay 2.250% 09/24/2012 113,600 (913) (1,539) (0.07)

$ (2,055) $ (3,070) (0.15)


ExpirationDate


FairValue

% ofNet Assets

INFLATION CAP

Cap - OTC CPURNSA Index BNP 215.949 Maximum of: [(Index Final/Index Initial - 1) - 5.000% or $0] 03/04/2015 $ 2,700 $ (45) $ (27) 0.00


ExpirationDate


FairValue

% ofNet Assets

INFLATION FLOOR

Floor - OTC CPURNSA Index BNP 215.949 Maximum of: [-1.000% -(Index Final/Index Initial - 1) or $0] 03/04/2015 $ 2,700 $ (38) $ (28) 0.00Floor - OTC CPURNSA Index CITI 215.949 Maximum of: [1-(Index Final/Index Initial) or $0] 03/12/2020 7,700 (66) (75) (0.01)Floor - OTC CPURNSA Index CITI 216.687 Maximum of: [1-(Index Final/Index Initial) or $0] 04/07/2020 26,500 (236) (264) (0.01)Floor - OTC CPURNSA Index CITI 217.965 Maximum of: [1 - (Final Index / Initial Index), 0] 09/29/2020 3,000 (39) (31) 0.00Floor - OTC CPURNSA Index DUB 215.949 Maximum of: [(((Index Final/Index Initial)-1)-$ 2.500%) or $0] 03/10/2020 2,800 (21) (29) 0.00

$ (400) $ (427) (0.02)


ExpirationDate


FairValue

% ofNet Assets

STRADDLE OPTIONS

Call & Put 1-Year vs. 1-Year Forward Volatility Agreement GSC 0.000 10/11/2011 $ 14,900 $ (79) $ (121) (0.01)Call & Put 1-Year vs. 1-Year Forward Volatility Agreement JPM 0.000 10/11/2011 11,500 (58) (93) 0.00Call & Put 1-Year vs. 2-Year Forward Volatility Agreement MSC 0.000 10/11/2011 24,700 (274) (416) (0.02)Call & Put 1-Year vs. 2-Year Forward Volatility Agreement MSC 0.000 11/14/2011 28,600 (311) (480) (0.02)

$ (722) $ (1,110) (0.05)




NotionalAmount(3)

FairValue

UpfrontPremiums

Paid/(Received)


% ofNet Assets

Black & Decker Corp. (2.200%) 06/20/2014 CITI $ 2,000 $ (136) $ 0 $ (136) (0.01)Embarq Corp. (1.000%) 06/20/2013 DUB 1,630 (16) (12) (4) 0.00Foster’s Finance Corp. (1.600%) 06/20/2015 BCLY 2,500 (98) 0 (98) 0.00International Lease Finance Co. (5.000%) 03/20/2013 GSC 9,400 (658) (432) (226) (0.03)Limited Brands, Inc. (1.000%) 09/20/2017 DUB 1,000 43 52 (9) 0.00Marsh & McLennan Cos., Inc. (0.760%) 09/20/2015 BCLY 1,000 23 0 23 0.00Office Depot, Inc. (5.000%) 09/20/2013 DUB 2,500 (138) (81) (57) (0.01)

$ (980) $ (473) $ (507) (0.05)


31 December 2010




FairValue

UpfrontPremiums

Paid/(Received)


% ofNet Assets

American International Group, Inc. 5.000% 12/20/2013 BCLY $ 7,300 $ 792 $ (877) $ 1,669 0.04American International Group, Inc. 5.000% 12/20/2013 DUB 4,500 487 (462) 949 0.02BP Capital Markets America, Inc. 1.000% 09/20/2011 HSBC 1,000 6 (74) 80 0.00Brazil Government International Bond 1.000% 06/20/2015 BCLY 2,000 (2) (24) 22 0.00Brazil Government International Bond 1.000% 06/20/2020 DUB 4,300 (137) (143) 6 (0.01)Brazil Government International Bond 1.000% 06/20/2015 HSBC 1,000 (1) (14) 13 0.00Brazil Government International Bond 1.000% 06/20/2015 RBS 1,000 (1) (19) 18 0.00France Government Bond 0.250% 12/20/2015 BCLY 10,200 (388) (203) (185) (0.02)France Government Bond 0.250% 12/20/2015 BOA 1,400 (53) (28) (25) 0.00France Government Bond 0.250% 06/20/2015 CITI 2,100 (67) (50) (17) 0.00France Government Bond 0.250% 06/20/2015 DUB 1,700 (55) (56) 1 0.00Italy Government International Bond 1.000% 06/20/2011 BOA 400 (1) (5) 4 0.00Italy Government International Bond 1.000% 06/20/2015 DUB 500 (27) (12) (15) 0.00Italy Government International Bond 1.000% 06/20/2015 RBS 700 (38) (17) (21) 0.00Italy Government International Bond 1.000% 06/20/2011 UBS 6,800 (16) (105) 89 0.00Japan Government International Bond 1.000% 12/20/2015 BOA 8,200 124 187 (63) 0.00Japan Government International Bond 1.000% 12/20/2015 RBS 1,600 24 36 (12) 0.00Petrobras International Finance Co. 1.000% 09/20/2012 DUB 500 (1) (6) 5 0.00United Kingdom Gilt 1.000% 06/20/2015 CSFB 1,600 24 19 5 0.00United Kingdom Gilt 1.000% 06/20/2015 DUB 11,600 171 142 29 0.01

$ 841 $ (1,711) $ 2,552 0.04




FairValue

UpfrontPremiums

Paid/(Received)


% ofNet Assets

Dow Jones CDX N.A. EM14 Index 5.000% 12/20/2015 BCLY $ 7,100 $ 981 $ 987 $ (6) 0.05Dow Jones CDX N.A. EM14 Index 5.000% 12/20/2015 MSC 1,700 235 240 (5) 0.01Dow Jones CDX N.A. HY15 Index 5.000% 12/20/2015 BCLY 20,800 647 494 153 0.03Dow Jones CDX N.A. IG15 Index 1.000% 12/20/2015 BNP 95,900 699 197 502 0.03Dow Jones CDX N.A. IG15 Index 1.000% 12/20/2015 CITI 21,100 154 55 99 0.01Dow Jones CDX N.A. IG15 Index 1.000% 12/20/2015 DUB 62,500 456 206 250 0.02Dow Jones CDX N.A. IG15 Index 1.000% 12/20/2015 UBS 42,400 309 299 10 0.01

$ 3,481 $ 2,478 $ 1,003 0.16




INTEREST RATE SWAPS


NotionalAmount

FairValue

UpfrontPremiums

Paid/(Received)


% ofNet Assets

Pay BRL-CDI-Compounded 10.115% 01/02/2012 MSC BRL 1,000 $ (22) $ (18) $ (4) 0.00Pay BRL-CDI-Compounded 10.680% 01/02/2012 BCLY 6,500 (52) (114) 62 0.00Pay BRL-CDI-Compounded 11.140% 01/02/2012 HSBC 13,900 130 54 76 0.01Pay BRL-CDI-Compounded 11.250% 01/02/2012 JPM 6,000 (17) 0 (17) 0.00Pay BRL-CDI-Compounded 11.290% 01/02/2012 MSC 26,600 (67) (14) (53) 0.00Pay BRL-CDI-Compounded 11.360% 01/02/2012 HSBC 12,600 101 34 67 0.00Pay BRL-CDI-Compounded 11.600% 01/02/2012 MSC 9,600 147 65 82 0.01Pay BRL-CDI-Compounded 11.630% 01/02/2012 MSC 10,600 35 (1) 36 0.00Pay BRL-CDI-Compounded 11.670% 01/02/2012 GSC 11,700 189 104 85 0.01Pay BRL-CDI-Compounded 11.670% 01/02/2012 HSBC 6,500 105 52 53 0.00Pay BRL-CDI-Compounded 12.540% 01/02/2012 BCLY 4,000 116 (20) 136 0.01Pay BRL-CDI-Compounded 12.540% 01/02/2012 MLP 13,300 385 (40) 425 0.02Pay BRL-CDI-Compounded 14.765% 01/02/2012 HSBC 300 18 2 16 0.00Pay BRL-CDI-Compounded 14.765% 01/02/2012 MLP 1,500 89 3 86 0.00Pay BRL-CDI-Compounded 11.880% 01/02/2013 BNP 7,500 29 (35) 64 0.00Pay BRL-CDI-Compounded 11.890% 01/02/2013 GSC 24,700 107 13 94 0.00Pay BRL-CDI-Compounded 11.890% 01/02/2013 HSBC 5,300 23 7 16 0.00Pay BRL-CDI-Compounded 11.980% 01/02/2013 MSC 6,100 32 0 32 0.00Pay BRL-CDI-Compounded 12.070% 01/02/2013 UBS 11,600 77 (36) 113 0.00Pay BRL-CDI-Compounded 12.170% 01/02/2013 JPM 2,200 18 10 8 0.00Pay BRL-CDI-Compounded 12.285% 01/02/2013 BCLY 13,100 126 50 76 0.01Pay United Kingdom Retail Price Index 3.450% 09/15/2012 DUB £ 900 (9) 0 (9) 0.00

$ 1,560 $ 116 $ 1,444 0.07




Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Sell AUD 5,060 BCLY 01/2011 $ 0 $ (202) $ (202) (0.01)Buy 108 BNP 01/2011 5 0 5 0.00Buy 16,199 CITI 01/2011 451 0 451 0.02Buy 51,819 RBC 01/2011 1,445 0 1,445 0.07Buy 343 RBS 01/2011 15 0 15 0.00Sell 161,060 RBS 01/2011 0 (11,244) (11,244) (0.53)Buy BRL 13,421 CITI 03/2011 114 0 114 0.00Buy CAD 6,162 CITI 02/2011 61 0 61 0.01Sell 49,578 DUB 02/2011 0 (625) (625) (0.03)Buy 4,180 UBS 02/2011 55 0 55 0.00Buy CHF 700 BNP 02/2011 26 0 26 0.00Buy 115 CITI 02/2011 8 0 8 0.00Buy 900 CSFB 02/2011 56 0 56 0.01Buy 723 RBC 02/2011 47 0 47 0.00Sell 100 RBC 02/2011 0 (3) (3) 0.00Buy CNY 4,781 BOA 01/2011 5 0 5 0.00Buy 8,256 DUB 01/2011 19 0 19 0.00Sell 9,000 DUB 01/2011 0 (12) (12) 0.00Buy 11,930 JPM 01/2011 21 0 21 0.00Sell 24,533 JPM 01/2011 0 (42) (42) 0.00Buy 8,565 MSC 01/2011 8 0 8 0.00Buy 1,667 BCLY 11/2011 0 (1) (1) 0.00Buy 10,024 CITI 11/2011 9 0 9 0.00Buy 6,217 JPM 11/2011 0 (5) (5) 0.00Buy 9,000 DUB 02/2012 12 0 12 0.00Buy 24,533 JPM 02/2012 53 0 53 0.00Buy € 6,485 BCLY 01/2011 118 0 118 0.01Buy 3,636 BNP 01/2011 76 0 76 0.00Sell 16,800 BOA 01/2011 0 (441) (441) (0.02)Buy 190,906 CITI 01/2011 2,326 (80) 2,246 0.11Sell 67,454 CITI 01/2011 2,291 (126) 2,165 0.10Buy 14,174 CSFB 01/2011 265 0 265 0.01Sell 1,652 CSFB 01/2011 0 (32) (32) 0.00Sell 143 GSC 01/2011 0 (2) (2) 0.00Buy 968 HSBC 01/2011 27 0 27 0.00Buy 986 MSC 01/2011 33 0 33 0.00Buy 6,685 RBC 01/2011 49 0 49 0.00Sell 4,688 RBC 01/2011 0 (155) (155) (0.01)Buy 161,715 RBS 01/2011 2,146 (88) 2,058 0.10Sell 346,706 RBS 01/2011 48 (11,522) (11,474) (0.54)Sell 3,090 UBS 01/2011 0 (60) (60) 0.00Sell 179,517 CITI 02/2011 0 (2,159) (2,159) (0.10)Sell 149,274 RBS 02/2011 0 (1,975) (1,975) (0.09)Sell £ 176,197 BNP 01/2011 2,439 0 2,439 0.11Sell 162,643 DUB 01/2011 2,300 0 2,300 0.11Sell 21,746 RBC 03/2011 0 (457) (457) (0.02)Buy IDR 19,766,400 CITI 10/2011 0 (2) (2) 0.00Buy INR 60,830 BCLY 03/2011 0 (2) (2) 0.00Buy 9,471 BOA 03/2011 9 0 9 0.00Buy 207,046 CITI 03/2011 47 (4) 43 0.00Buy 226,114 DUB 03/2011 49 (4) 45 0.00Buy 119,608 JPM 03/2011 62 (1) 61 0.01Buy 26,268 RBS 03/2011 0 0 0 0.00Buy 10,197 UBS 03/2011 1 0 1 0.00Buy JPY 4,787 GSC 01/2011 2 0 2 0.00Buy 2,847 RBC 01/2011 1 0 1 0.00Buy 5,690 RBS 01/2011 3 0 3 0.00Buy KRW 2,702,609 CITI 01/2011 34 0 34 0.00Buy 4,113,567 DUB 01/2011 30 (5) 25 0.00Buy 665,262 GSC 01/2011 8 0 8 0.00Sell 8,881,916 JPM 01/2011 0 (220) (220) (0.01)Buy 1,400,478 UBS 01/2011 18 0 18 0.00Buy 3,817,030 BCLY 05/2011 0 (8) (8) 0.00Buy 6,348,730 CITI 05/2011 14 (8) 6 0.00Buy 2,798,780 DUB 05/2011 4 (3) 1 0.00Buy 214,359 GSC 05/2011 1 0 1 0.00Buy 502,000 HSBC 05/2011 0 (2) (2) 0.00Buy 10,040,216 JPM 05/2011 212 0 212 0.01Buy 1,007,000 RBS 05/2011 3 0 3 0.00Buy 227,640 UBS 05/2011 2 0 2 0.00Buy PHP 214,238 CITI 02/2011 39 0 39 0.00Buy 30,140 DUB 02/2011 1 0 1 0.00Buy 8,231 UBS 02/2011 0 0 0 0.00Buy 8,000 BOA 06/2011 0 (1) (1) 0.00Buy 232,802 CITI 06/2011 53 (14) 39 0.00Buy 29,222 DUB 06/2011 9 0 9 0.00Buy 13,324 HSBC 06/2011 3 0 3 0.00Buy 18,219 JPM 06/2011 5 0 5 0.00


31 December 2010

Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Buy SEK 152,581 BOA 02/2011 $ 449 $ 0 $ 449 0.02Sell 5,987 CSFB 02/2011 0 (24) (24) 0.00Sell 496,742 RBC 02/2011 87 0 87 0.01Buy 289,695 BCLY 04/2011 0 (389) (389) (0.02)Buy SGD 3,172 UBS 02/2011 46 0 46 0.00Buy 8,532 DUB 03/2011 180 0 180 0.01

$ 15,900 $ (29,918) $ (14,018) (0.66)



DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS


ANZ National Bank3.890% due 01/04/2011 AUD 595 $ 610 0.03BNP Paribas Bank0.080% due 01/03/2011 € 2,965 3,977 0.18Citibank N.A.0.068% due 01/04/2011 £ 1,067 1,670 0.08Credit Suisse First Boston0.005% due 01/03/2011 CHF 431 463 0.02Deutsche Bank AG0.150% due 01/04/2011 CAD 575 578 0.03Nordea Bank AB0.030% due 01/03/2011 $ 1,074 1,074 0.05Total Overnight Time Deposits $ 8,372 0.39Other Current Assets & Liabilities $ (192,521) (8.99)Net Assets $ 2,137,860 100.00



(b) The Global Real Return Fund is investing in Class Z Income Shares of an affiliated Fund.


(d) Securities with an aggregate market value of $3,006 have been segregated with the Custodian to cover margin requirements for the open futures contracts as at 31 December 2010.

(e) Securities with an aggregate market value of $809 and cash of $10,370 have been pledged as collateral for delayed delivery securities as at 31 December 2010.




Category3




(Level 2)



Transferable Securities $ 18,208 $ 2,289,361 $ 25,706 $ 2,333,275Deposits with Credit Institutions 0 2,600 0 2,600Financial Derivative Instruments4 (257) (12,045) (1,564) (13,866)Totals $ 17,951 $ 2,279,916 $ 24,142 $ 2,322,009


Category3

StartingBalance

at 31-Dec-2009Net

Purchases5Net

Sales5


RealisedGains/

(Losses)




Level 3

EndingBalance

at 31-Dec-2010



held at31-Dec-20106

Transferable Securities $ 0 $ 25,792 $ (352) $ 38 $ 4 $ (80) $ 304 $ 25,706 $ (61)Financial Derivative Instruments4 0 (1,168) 0 0 0 (396) 0 (1,564) (396)Totals $ 0 $ 24,624 $ (352) $ 38 $ 4 $ (476) $ 304 $ 24,142 $ (457)




Category3




(Level 2)



Transferable Securities $ 0 $ 1,144,832 $ 0 $ 1,144,832Deposits with Credit Institutions 0 2,598 0 2,598Financial Derivative Instruments4 721 11,007 0 11,728Totals $ 721 $ 1,158,437 $ 0 $ 1,159,158


Category3

StartingBalance

at 31-Dec-2008Net

Purchases5Net

Sales5


RealisedGains/

(Losses)




Level 3

EndingBalance

at 31-Dec-2009




Financial Derivative Instruments4 $ 3,504 $ 0 $ (2,368) $ 0 $ 2,356 $ (3,301) $ (191) $ 0 $ 0




As at 31 December 2010, the Institutional CHF (Hedged) Class and Investor CHF (Hedged) Class had the following foreign currency contracts outstanding:

Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Buy CHF 422 BCLY 01/2011 $ 32 $ 0 $ 32 0.00Sell 555 BCLY 01/2011 0 (42) (42) 0.00Sell 3,312 CITI 01/2011 0 (205) (205) (0.01)Sell 2,432 CSFB 01/2011 0 (132) (132) (0.01)Sell 1,000 DUB 01/2011 0 (5) (5) 0.00Sell 792 JPM 01/2011 0 (26) (26) 0.00Buy 179,151 UBS 01/2011 12,983 0 12,983 0.61Sell 172,482 UBS 01/2011 0 (1,262) (1,262) (0.06)Sell 796 CITI 02/2011 0 (16) (16) 0.00Buy 378 RBC 02/2011 8 0 8 0.00Buy 172,482 UBS 02/2011 1,255 0 1,255 0.06

$ 14,278 $ (1,688) $ 12,590 0.59

As at 31 December 2010, the Institutional EUR (Hedged) Class, Investor EUR (Hedged) Class and Class E EUR (Hedged) had the following foreign currency contracts outstanding

Type Currency



MonthUnrealised


(Depreciation)

NetUnrealised


% ofNet

Assets

Buy € 7,789 BCLY 01/2011 $ 155 $ 0 $ 155 0.01Sell 6,017 BCLY 01/2011 0 (182) (182) (0.01)Buy 32,470 CITI 01/2011 950 0 950 0.04Sell 491,574 CITI 01/2011 0 (5,943) (5,943) (0.28)Sell 1,900 CSFB 01/2011 0 0 0 0.00Buy 16,335 JPM 01/2011 62 0 62 0.00Sell 1,229 MSC 01/2011 0 (4) (4) 0.00Sell 4,234 RBC 01/2011 0 (41) (41) 0.00Buy 843,466 RBS 01/2011 28,165 0 28,165 1.32Sell 407,219 RBS 01/2011 0 (5,396) (5,396) (0.25)Buy 13,163 UBS 01/2011 407 0 407 0.02Sell 4,238 UBS 01/2011 0 (71) (71) 0.00Buy 522,808 CITI 02/2011 6,808 0 6,808 0.32Buy 407,219 RBS 02/2011 5,388 0 5,388 0.25

$ 41,935 $ (11,637) $ 30,298 1.42


31 December 2010

As at 31 December 2010, the Institutional GBP (Hedged) Class, Investor GBP (Hedged) Class and Class E GBP (Hedged) had the following foreign currencycontracts outstanding:

Type Currency



MonthUnrealised


(Depreciation)

NetUnrealised


% ofNet Assets

Buy £ 469 BCLY 01/2011 $ 4 $ 0 $ 4 0.00Sell 200 BCLY 01/2011 2 0 2 0.00Sell 64,088 BNP 01/2011 0 (1,407) (1,407) (0.07)Buy 1,360 CITI 01/2011 16 (3) 13 0.00Sell 1,934 CITI 01/2011 0 (20) (20) 0.00Sell 237 CSFB 01/2011 3 0 3 0.00Buy 465 DUB 01/2011 4 0 4 0.00Buy 77,684 RBS 01/2011 813 0 813 0.04Sell 15,415 RBS 01/2011 39 (12) 27 0.00Buy 1,366 UBS 01/2011 21 0 21 0.00Buy 64,088 BNP 02/2011 1,404 0 1,404 0.07Sell 147 CITI 02/2011 0 (4) (4) 0.00Buy 128 RBC 02/2011 4 0 4 0.00

$ 2,310 $ (1,446) $ 864 0.04

As at 31 December 2010, the Institutional SGD (Hedged) Class had the following foreign currency contracts outstanding:

Type Currency



MonthUnrealised


(Depreciation)

NetUnrealised


% ofNet Assets

Buy SGD 24,833 BCLY 01/2011 $ 274 $ 0 $ 274 0.01Buy 9,202 DUB 01/2011 165 0 165 0.01Sell 1,045 HSBC 01/2011 0 (20) (20) 0.00Sell 46,591 JPM 01/2011 0 (897) (897) (0.04)Buy 14,222 RBS 01/2011 115 0 115 0.00Buy 129 UBS 01/2011 1 0 1 0.00Sell 750 UBS 01/2011 0 (18) (18) 0.00Buy 387 UBS 02/2011 5 0 5 0.00Buy 46,591 JPM 03/2011 897 0 897 0.04

$ 1,457 $ (935) $ 522 0.02


Significant Changes in Portfolio Composition Global Real Return Fund (Unaudited)31 December 2010

DESCRIPTIONPAR

(000S)COST(000S)


Treasury Inflation Protected Securities1.375% due 01/15/2020 (a) $ 912,982 $ 935,196

SHARES

PIMCO US Dollar Short-Term FloatingNAV Fund (b) 86,385,297 863,766

PAR(000S)

Treasury Inflation Protected Securities2.000% due 01/15/2014 (a) $ 502,485 536,357US Treasury Notes3.500% due 05/15/2020 286,200 298,484Treasury Inflation Protected Securities2.000% due 01/15/2016 (a) 243,253 269,438Italy Buoni Poliennali Del Tesoro2.100% due 09/15/2021 (a) € 202,042 250,793Treasury Inflation Protected Securities1.875% due 07/15/2013 (a) $ 235,513 250,006Treasury Inflation Protected Securities2.500% due 01/15/2029 (a) 218,588 248,327Treasury Inflation Protected Securities2.375% due 01/15/2025 (a) 188,900 214,830Treasury Inflation Protected Securities3.875% due 04/15/2029 (a) 138,180 191,522Treasury Inflation Protected Securities1.250% due 07/15/2020 (a) 155,482 164,065US Treasury Bonds4.625% due 02/15/2040 106,200 113,403Treasury Inflation Protected Securities2.000% due 01/15/2026 (a) 100,540 107,691US Treasury Notes3.625% due 08/15/2019 87,700 92,898Republic of Germany Inflation Linked1.750% due 04/15/2020 (a) € 65,817 92,705Bundesobligation Inflation Linked2.250% due 04/15/2013 (a) 66,269 92,310Australia Government Bond4.000% due 08/20/2015 AUD 60,000 90,242United Kingdom Gilt Inflation Linked1.875% due 11/22/2022 (a) £ 47,181 84,711Treasury Inflation Protected Securities2.625% due 07/15/2017 (a) $ 49,107 56,083United Kingdom Gilt4.750% due 09/07/2015 £ 30,000 54,481United Kingdom Gilt Inflation Linked1.250% due 11/22/2017 (a) 33,114 54,308Italy Buoni Poliennali Del Tesoro2.600% due 09/15/2023 € 37,079 48,674United Kingdom Gilt Inflation Linked1.250% due 11/22/2027 (a) £ 27,823 47,981US Treasury Notes2.750% due 05/31/2017 $ 45,600 46,216United Kingdom Gilt2.750% due 01/22/2015 £ 28,100 45,495United Kingdom Gilt4.500% due 03/07/2019 27,300 43,938Sweden Government Bond3.500% due 12/01/2028 (a) SEK 190,900 43,913US Treasury Notes3.125% due 05/15/2019 $ 42,800 42,842Italy Buoni Poliennali Del Tesoro3.000% due 03/01/2012 € 34,000 42,633Italy Buoni Poliennali Del Tesoro2.350% due 09/15/2035 33,242 42,205Treasury Inflation Protected Securities2.375% due 01/15/2017 (a) $ 37,581 42,032France Government Bond2.500% due 07/25/2013 (a) € 26,282 38,929Dutch Mortgage Portfolio Loans BV1.975% due 07/25/2047 25,600 36,359Australia Government Bond2.500% due 09/20/2030 (a) AUD 36,800 34,441Canada Government Bond3.000% due 12/01/2036 (a) CAD 26,669 34,225

DESCRIPTIONPAR

(000S)PROCEEDS

(000S)


Treasury Inflation Protected Securities1.375% due 01/15/2020 (a) $ 843,122 $ 866,848

SHARES

PIMCO US Dollar Short-Term Floating NAVFund (b) 84,564,900 845,594

PAR(000S)

Treasury Inflation Protected Securities2.000% due 01/15/2014 (a) $ 499,647 534,495US Treasury Notes3.500% due 05/15/2020 286,200 300,280Treasury Inflation Protected Securities2.500% due 01/15/2029 (a) 208,221 237,755Treasury Inflation Protected Securities1.875% due 07/15/2013 (a) 195,920 208,007Italy Buoni Poliennali Del Tesoro2.100% due 09/15/2021 (a) € 153,360 184,524Treasury Inflation Protected Securities2.375% due 01/15/2025 (a) $ 159,010 181,258Treasury Inflation Protected Securities2.000% due 01/15/2016 (a) 156,982 174,338Treasury Inflation Protected Securities3.875% due 04/15/2029 (a) 108,000 150,840Treasury Inflation Protected Securities1.250% due 07/15/2020 (a) 123,491 129,116US Treasury Bonds4.625% due 02/15/2040 106,200 113,637Australia Government Bond4.000% due 08/20/2015 AUD 60,000 98,231Treasury Inflation Protected Securities2.000% due 01/15/2026 (a) $ 91,002 97,584US Treasury Notes3.625% due 08/15/2019 87,700 93,599France Government Bond2.500% due 07/25/2013 (a) € 58,359 79,293Italy Buoni Poliennali Del Tesoro2.600% due 09/15/2023 56,169 69,008United Kingdom Gilt2.500% due 08/16/2013 £ 15,504 66,640Republic of Germany Inflation Linked1.500% due 04/15/2016 (a) € 43,824 61,229Treasury Inflation Protected Securities2.375% due 01/15/2017 (a) $ 48,266 54,254France Government Bond3.000% due 07/25/2012 € 34,261 50,356US Treasury Notes2.750% due 05/31/2017 $ 45,600 46,518US Treasury Notes3.125% due 05/15/2019 42,800 43,299Italy Buoni Poliennali Del Tesoro2.350% due 09/15/2035 € 33,810 42,946Italy Buoni Poliennali Del Tesoro3.000% due 03/01/2012 34,000 42,630Italy Buoni Poliennali Del Tesoro2.350% due 09/15/2019 29,883 40,588Republic of Germany Inflation Linked1.750% due 04/15/2020 (a) 29,375 40,063United Kingdom Gilt Inflation Linked1.250% due 11/22/2032 (a) £ 23,173 39,812Italy Buoni Poliennali Del Tesoro2.550% due 09/15/2041 (a) € 26,259 33,298Bundesobligation Inflation Linked2.250% due 04/15/2013 (a) 24,470 32,608Republic of Germany3.000% due 07/04/2020 21,800 30,939Italy Buoni Poliennali Del Tesoro3.000% due 04/15/2015 23,000 28,442


(b) The Global Real Return Fund is investing in Class Z Income Shares of an affiliated Fund.




Portfolio of Investments and Assets High Yield Bond Fund31 December 2010

DESCRIPTION SHARES

FAIRVALUE(000S)

% OFNET

ASSETS


MUTUAL FUNDS (a)

PIMCO US DollarShort-TermFloating NAV Fund 22,277,143 $ 222,816 8.56

PAR(000S)


AGFS Funding Company7.250% due

04/21/2015 $ 4,250 4,315 0.17Allison Transmission, Inc.3.020% due

08/07/2014 388 380 0.013.040% due

08/07/2014 230 226 0.01Amadeus IT Group S.A.4.312% due

07/01/2013 € 616 817 0.03Community Health Systems, Inc.2.549% due

07/25/2014 $ 2,924 2,856 0.11DaVita, Inc.4.500% due

10/20/2016 5,000 5,054 0.19Dex Media West LLC7.000% due

10/24/2014 1,495 1,366 0.05First Data Corp.3.011% due

09/24/2014 946 874 0.03Goodman Global, Inc.5.750% due

10/28/2016 1,995 2,009 0.08Harrah’s Operating Co., Inc.3.288% due

01/28/2015 807 731 0.03HCA, Inc.2.553% due

11/17/2013 4,500 4,462 0.17Ineos US Finance LLC7.000% due

12/14/2012 130 134 0.01Intelsat Jackson Holdings S.A.5.250% due

04/03/2018 2,500 2,528 0.10Newsday LLC10.500% due

08/01/2013 2,000 2,141 0.08Novelis, Inc.5.000% due

12/14/2016 1,500 1,522 0.06Texas Competitive Electric Holdings Co. LLC3.764% due

10/10/2014 21,614 16,660 0.64Univision Communications, Inc.2.511% due

09/29/2014 4,466 4,275 0.17UPC Financing Partnership4.558% due

12/30/2016 € 1,915 2,459 0.094.808% due

12/31/2017 1,381 1,773 0.07Visant Corp.7.000% due

12/22/2016 $ 1,247 1,263 0.0555,845 2.15


BANKING & FINANCE

Ally Financial, Inc.2.496% due

12/01/2014 500 455 0.02

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

6.000% due 12/15/2011 $ 2,000 $ 2,060 0.086.625% due 05/15/2012 5,035 5,215 0.206.750% due 12/01/2014 4,500 4,719 0.187.500% due 12/31/2013 6,000 6,495 0.257.500% due 09/15/2020 5,000 5,269 0.208.000% due 03/15/2020 4,000 4,380 0.178.000% due 11/01/2031 5,400 5,791 0.228.300% due 02/12/2015 9,500 10,474 0.40American General Finance Corp.4.875% due 07/15/2012 3,500 3,312 0.135.850% due 06/01/2013 200 182 0.016.900% due 12/15/2017 1,100 894 0.03American International Group, Inc.1.168% due 07/19/2013 € 1,650 2,074 0.081.179% due 04/26/2011 100 133 0.004.375% due 04/26/2016 800 1,011 0.045.450% due 05/18/2017 $ 1,075 1,092 0.045.600% due 10/18/2016 6,650 6,885 0.265.850% due 01/16/2018 3,000 3,102 0.128.175% due 05/15/2058 3,325 3,565 0.148.250% due 08/15/2018 11,000 12,709 0.498.625% due 05/22/2038 3,000 4,650 0.18BAC Capital Trust VI5.625% due 03/08/2035 1,500 1,274 0.05BAC Capital Trust VII5.250% due 08/10/2035 £ 7,650 8,145 0.31BAC Capital Trust XI6.625% due 05/23/2036 $ 2,300 2,215 0.09BankAmerica Institutional Capital B7.700% due 12/31/2026 875 882 0.03Barclays Bank PLC7.434% due 09/29/2049 2,000 1,975 0.0814.000% due 11/29/2049 £ 2,410 4,547 0.17BNP Paribas5.186% due 06/29/2049 $ 2,050 1,881 0.07Capital One Capital V10.250% due 08/15/2039 6,525 7,023 0.27Capital One Capital VI8.875% due 05/15/2040 4,150 4,352 0.17CIT Group, Inc.7.000% due 05/01/2013 2,607 2,666 0.107.000% due 05/01/2014 7,135 7,225 0.287.000% due 05/01/2015 13,500 13,568 0.527.000% due 05/01/2016 20,000 20,125 0.787.000% due 05/01/2017 8,799 8,843 0.34Citigroup Capital XXI8.300% due 12/21/2057 2,600 2,717 0.10Citigroup, Inc.0.572% due 06/09/2016 1,000 893 0.03Cloverie PLC for Zurich Insurance Co. Ltd.12.000% due 07/29/2049 € 3,000 4,675 0.18Conti-Gummi Finance BV7.125% due 10/15/2018 7,000 9,637 0.377.500% due 09/15/2017 800 1,118 0.058.500% due 07/15/2015 925 1,356 0.05Cooperatieve Centrale Raiffeisen-Boerenleenbank BA11.000% due 06/29/2049 $ 11,000 14,259 0.55Countrywide Capital III8.050% due 06/15/2027 1,000 1,049 0.04Credit Agricole S.A.8.375% due 10/29/2049 200 206 0.019.750% due 06/29/2049 2,400 2,538 0.10FCE Bank PLC7.125% due 01/16/2012 € 2,000 2,763 0.117.125% due 01/15/2013 6,750 9,486 0.369.375% due 01/17/2014 1,500 2,246 0.09Ford Motor Credit Co. LLC5.625% due 09/15/2015 $ 2,500 2,591 0.106.625% due 08/15/2017 7,500 7,893 0.307.000% due 10/01/2013 10,110 10,846 0.427.000% due 04/15/2015 3,000 3,227 0.137.800% due 06/01/2012 10,300 10,954 0.428.000% due 06/01/2014 4,250 4,686 0.188.000% due 12/15/2016 7,750 8,671 0.338.125% due 01/15/2020 1,925 2,243 0.098.700% due 10/01/2014 1,000 1,127 0.0412.000% due 05/15/2015 1,500 1,888 0.07

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

GMAC International Finance BV7.500% due 04/21/2015 € 4,000 $ 5,581 0.21HBOS Capital Funding LP6.071% due 06/29/2049 $ 500 412 0.02HBOS PLC1.189% due 03/29/2016 € 500 581 0.021.327% due 09/01/2016 1,750 1,986 0.086.750% due 05/21/2018 $ 2,700 2,532 0.10Host Hotels & Resorts, Inc.6.000% due 11/01/2020 6,500 6,435 0.25HSBC Capital Funding LP4.610% due 12/29/2049 2,125 2,012 0.08HSBC Finance Capital Trust IX5.911% due 11/30/2035 700 651 0.02ILFC E-Capital Trust II6.250% due 12/21/2065 3,500 2,747 0.11Ineos Finance PLC9.000% due 05/15/2015 4,500 4,810 0.189.250% due 05/15/2015 € 1,225 1,754 0.07ING Groep NV5.775% due 12/29/2049 $ 1,500 1,297 0.05ING Verzekeringen NV6.375% due 05/07/2027 € 2,000 2,442 0.09International Lease Finance Corp.4.750% due 01/13/2012 $ 1,000 1,011 0.045.300% due 05/01/2012 1,875 1,905 0.075.400% due 02/15/2012 1,320 1,340 0.055.750% due 06/15/2011 6,171 6,233 0.245.875% due 05/01/2013 700 711 0.036.625% due 11/15/2013 1,450 1,488 0.066.750% due 09/01/2016 3,000 3,217 0.127.125% due 09/01/2018 4,750 5,071 0.198.250% due 12/15/2020 2,250 2,320 0.098.625% due 09/15/2015 5,000 5,388 0.218.750% due 03/15/2017 4,825 5,187 0.20Intesa Sanpaolo SpA8.047% due 06/29/2049 € 2,500 3,153 0.12JET Equipment Trust7.630% due 08/15/2012 (b) $ 55 1 0.00LBG Capital No.1 PLC6.439% due 05/23/2020 € 1,250 1,358 0.057.625% due 10/14/2020 200 235 0.017.867% due 12/17/2019 £ 2,000 2,740 0.117.869% due 08/25/2020 1,500 2,067 0.087.875% due 11/01/2020 $ 1,500 1,373 0.058.000% due 12/29/2049 500 440 0.028.500% due 12/29/2049 1,225 1,083 0.0411.040% due 03/19/2020 £ 1,300 2,076 0.08LBG Capital No.2 PLC6.385% due 05/12/2020 € 100 109 0.0115.000% due 12/21/2019 £ 2,000 3,993 0.15Lehman Brothers Holdings, Inc. (b)6.750% due 12/28/2017 $ 2,475 2 0.007.500% due 05/11/2038 2,250 1 0.00Lloyds TSB Bank PLC6.500% due 03/24/2020 € 500 618 0.02Marina District Finance Co., Inc.9.500% due 10/15/2015 $ 750 741 0.03MCE Finance Ltd.10.250% due 05/15/2018 4,000 4,605 0.18NB Capital Trust IV8.250% due 04/15/2027 2,175 2,218 0.09Pacific Life Insurance Co.9.250% due 06/15/2039 4,000 5,260 0.20Pinnacle Foods Finance LLC8.250% due 09/01/2017 11,500 11,816 0.45RBS Capital Trust A6.467% due 12/29/2049 € 1,200 1,111 0.04Regions Financial Corp.0.473% due 06/26/2012 $ 6,000 5,679 0.227.375% due 12/10/2037 11,275 10,655 0.41Reynolds Group Issuer, Inc.8.000% due 12/15/2016 € 5,000 6,750 0.26Royal Bank of Scotland Group PLC7.648% due 08/29/2049 $ 1,525 1,283 0.05


Portfolio of Investments and Assets High Yield Bond Fund (Cont.)

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

SLM Corp.0.588% due 01/27/2014 $ 2,500 $ 2,254 0.095.050% due 11/14/2014 500 478 0.025.125% due 08/27/2012 67 68 0.005.375% due 05/15/2014 1,100 1,106 0.048.000% due 03/25/2020 2,000 2,031 0.088.450% due 06/15/2018 6,000 6,245 0.24UBS AG7.152% due 12/29/2049 € 2,150 2,884 0.11UPCB Finance Ltd.7.625% due 01/15/2020 5,550 7,855 0.30Ventas Realty LP6.500% due 06/01/2016 $ 375 391 0.016.750% due 04/01/2017 2,385 2,502 0.10Virgin Media Secured Finance PLC6.500% due 01/15/2018 2,000 2,115 0.08Wells Fargo Capital XIII7.700% due 12/29/2049 1,650 1,714 0.07Wells Fargo Capital XV9.750% due 09/29/2049 4,000 4,470 0.17Wind Acquisition Finance S.A.7.250% due 02/15/2018 6,000 6,120 0.247.375% due 02/15/2018 € 2,000 2,703 0.10Ziggo Bond Co. BV8.000% due 05/15/2018 7,500 10,414 0.40Ziggo Finance BV6.125% due 11/15/2017 5,100 6,808 0.26

472,893 18.18

INDUSTRIALS

Actuant Corp.6.875% due 06/15/2017 $ 525 539 0.02Advanced Micro Devices, Inc.7.750% due 08/01/2020 5,425 5,656 0.22Affinion Group, Inc.7.875% due 12/15/2018 6,325 6,199 0.24Alcoa, Inc.5.950% due 02/01/2037 1,875 1,763 0.07Alere, Inc.8.625% due 10/01/2018 4,750 4,833 0.19Alliant Techsystems, Inc.6.875% due 09/15/2020 3,500 3,618 0.14Allison Transmission, Inc.11.000% due 11/01/2015 2,875 3,148 0.12American Airlines Pass-Through Trust 2001-026.978% due 04/01/2011 49 49 0.007.858% due 10/01/2011 100 104 0.01American Renal Holdings8.375% due 05/15/2018 1,100 1,133 0.04American Stores Co.7.100% due 03/20/2028 150 115 0.008.000% due 06/01/2026 3,770 3,242 0.13AmeriGas Partners LP7.125% due 05/20/2016 2,690 2,797 0.117.250% due 05/20/2015 4,635 4,786 0.18AMGH Merger Sub, Inc.9.250% due 11/01/2018 5,000 5,275 0.20Anadarko Petroleum Corp.6.200% due 03/15/2040 500 490 0.026.450% due 09/15/2036 6,000 6,003 0.23Antero Resources Finance Corp.9.375% due 12/01/2017 6,500 6,833 0.26ARAMARK Corp.8.500% due 02/01/2015 2,185 2,294 0.09Arch Coal, Inc.7.250% due 10/01/2020 1,500 1,590 0.06Ardagh Packaging Finance PLC7.375% due 10/15/2017 € 3,500 4,742 0.189.125% due 10/15/2020 $ 1,150 1,202 0.059.250% due 10/15/2020 € 1,550 2,142 0.08ArvinMeritor, Inc.8.125% due 09/15/2015 $ 4,000 4,205 0.1610.625% due 03/15/2018 1,500 1,695 0.07Associated Materials LLC9.125% due 11/01/2017 5,500 5,761 0.22

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

AutoNation, Inc.6.750% due 04/15/2018 $ 1,000 $ 1,038 0.04Aviation Capital Group7.125% due 10/15/2020 5,250 5,357 0.21Ball Corp.6.750% due 09/15/2020 1,400 1,477 0.06Bausch & Lomb, Inc.9.875% due 11/01/2015 3,000 3,225 0.12BE Aerospace, Inc.6.875% due 10/01/2020 4,000 4,150 0.16Berry Petroleum Co.6.750% due 11/01/2020 3,025 3,048 0.1210.250% due 06/01/2014 775 893 0.03Berry Plastics Corp.4.177% due 09/15/2014 1,350 1,242 0.055.039% due 02/15/2015 4,000 3,880 0.158.250% due 11/15/2015 2,000 2,130 0.089.500% due 05/15/2018 1,000 1,007 0.049.750% due 01/15/2021 5,000 4,975 0.19Biomet, Inc.10.000% due 10/15/2017 3,000 3,293 0.1310.375% due 10/15/2017 (c) 13,130 14,410 0.5511.625% due 10/15/2017 15,500 17,205 0.66Bombardier, Inc.6.125% due 05/15/2021 € 3,750 4,892 0.197.250% due 11/15/2016 1,275 1,813 0.077.500% due 03/15/2018 $ 3,000 3,233 0.12Brickman Group Holdings, Inc.9.125% due 11/01/2018 3,025 3,078 0.12Briggs & Stratton Corp.6.875% due 12/15/2020 3,000 3,075 0.12Brocade Communications Systems, Inc.6.625% due 01/15/2018 1,850 1,956 0.086.875% due 01/15/2020 3,000 3,210 0.12Browning-Ferris Industries, Inc.9.250% due 05/01/2021 2,045 2,576 0.10Buccaneer Merger Sub, Inc.9.125% due 01/15/2019 3,500 3,609 0.14Buffalo Thunder Development Authority9.375% due 12/15/2014 (b) 2,500 731 0.03Building Materials Corp. of America6.875% due 08/15/2018 2,000 1,990 0.077.500% due 03/15/2020 2,000 2,045 0.08Bumble Bee Acquisition Corp.9.000% due 12/15/2017 3,500 3,657 0.14C8 Capital SPV Ltd.6.640% due 12/29/2049 2,800 1,958 0.07Cablevision Systems Corp.7.750% due 04/15/2018 2,000 2,105 0.088.000% due 04/15/2020 475 511 0.02Caesars Entertainment Operating Co., Inc.10.000% due 12/15/2018 7,541 6,919 0.2711.250% due 06/01/2017 5,750 6,497 0.25Capella Healthcare, Inc.9.250% due 07/01/2017 3,000 3,187 0.12Case New Holland, Inc.7.875% due 12/01/2017 5,000 5,488 0.21Catalent Pharma Solutions, Inc.9.500% due 04/15/2015 (c) 2,542 2,580 0.109.750% due 04/15/2017 € 2,500 3,354 0.13CC Holdings GS V LLC7.750% due 05/01/2017 $ 1,825 2,003 0.08CCO Holdings LLC7.875% due 04/30/2018 2,075 2,158 0.088.125% due 04/30/2020 2,075 2,194 0.09CCO Holdings LLC7.250% due 10/30/2017 750 765 0.03Celanese US Holdings LLC6.625% due 10/15/2018 2,000 2,070 0.08Central Garden & Pet Co.8.250% due 03/01/2018 3,500 3,561 0.14CF Industries, Inc.6.875% due 05/01/2018 1,250 1,341 0.057.125% due 05/01/2020 3,500 3,841 0.15Chart Industries, Inc.9.125% due 10/15/2015 1,350 1,397 0.05

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Charter Communications Operating LLC10.875% due 09/15/2014 $ 2,000 $ 2,245 0.09Chemtura Corp.7.875% due 09/01/2018 3,000 3,195 0.12Chesapeake Energy Corp.6.250% due 01/15/2017 € 2,100 2,849 0.117.250% due 12/15/2018 $ 8,700 9,048 0.357.625% due 07/15/2013 75 82 0.009.500% due 02/15/2015 8,500 9,626 0.37Cie Generale de Geophysique-Veritas7.500% due 05/15/2015 3,625 3,707 0.147.750% due 05/15/2017 2,400 2,472 0.099.500% due 05/15/2016 1,825 1,998 0.08Clear Channel Worldwide Holdings, Inc.9.250% due 12/15/2017 15,250 16,728 0.64Clearwater Paper Corp.7.125% due 11/01/2018 1,250 1,297 0.05Coffeyville Resources LLC9.000% due 04/01/2015 1,170 1,258 0.05Cognis GmbH9.500% due 05/15/2014 € 1,000 1,397 0.05Community Health Systems, Inc.8.875% due 07/15/2015 $ 18,500 19,471 0.75Concho Resources, Inc.7.000% due 01/15/2021 2,500 2,569 0.10Consol Energy, Inc.8.000% due 04/01/2017 8,250 8,827 0.348.250% due 04/01/2020 4,000 4,340 0.17Constellation Brands, Inc.7.250% due 05/15/2017 4,000 4,255 0.16Conti-Gummi Finance BV6.500% due 01/15/2016 € 2,200 3,030 0.12Continental Airlines 2009-1 Class A

Pass-Through Trust9.000% due 07/08/2016 $ 9,620 11,015 0.42Continental Airlines, Inc.6.920% due 04/02/2013 (g) 1,244 1,238 0.05Continental Resources, Inc.7.125% due 04/01/2021 2,250 2,374 0.097.375% due 10/01/2020 2,000 2,130 0.088.250% due 10/01/2019 1,000 1,115 0.05Cooper-Standard Automotive, Inc.8.500% due 05/01/2018 5,000 5,325 0.20Cott Beverages, Inc.8.125% due 09/01/2018 4,000 4,330 0.17Crown Americas LLC7.625% due 05/15/2017 4,825 5,187 0.20Crown Castle International Corp.7.125% due 11/01/2019 2,250 2,391 0.099.000% due 01/15/2015 1,500 1,661 0.07Crown European Holdings S.A.7.125% due 08/15/2018 € 500 703 0.03CSC Holdings LLC7.625% due 07/15/2018 $ 8,050 8,775 0.347.875% due 02/15/2018 4,400 4,917 0.198.500% due 04/15/2014 3,425 3,780 0.148.500% due 06/15/2015 1,650 1,799 0.078.625% due 02/15/2019 7,425 8,427 0.32Darling International, Inc.8.500% due 12/15/2018 2,275 2,383 0.09DaVita, Inc.6.375% due 11/01/2018 3,500 3,491 0.136.625% due 11/01/2020 5,500 5,459 0.21Denbury Resources, Inc.8.250% due 02/15/2020 2,940 3,205 0.129.750% due 03/01/2016 50 56 0.00Digicel Group Ltd.10.500% due 04/15/2018 3,000 3,315 0.13Digicel Ltd.8.250% due 09/01/2017 9,250 9,528 0.37DISH DBS Corp.6.625% due 10/01/2014 3,000 3,120 0.127.125% due 02/01/2016 16,540 17,160 0.667.750% due 05/31/2015 5,500 5,871 0.237.875% due 09/01/2019 6,000 6,300 0.24


31 December 2010

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Diversey, Inc.8.250% due 11/15/2019 $ 6,250 $ 6,812 0.26DJO Finance LLC9.750% due 10/15/2017 6,000 6,210 0.24Dole Food Co., Inc.8.000% due 10/01/2016 3,000 3,180 0.1213.875% due

03/15/2014 (g) 2,000 2,455 0.10Dollar General Corp.10.625% due 07/15/2015 2,500 2,731 0.10Dynegy Roseton7.670% due 11/08/2016 2,150 2,021 0.08El Paso Pipeline Partners Operating Co. LLC6.500% due 04/01/2020 1,375 1,450 0.06Enterprise Products Operating LLC8.375% due 08/01/2066 10,815 11,626 0.45Equinix, Inc.8.125% due 03/01/2018 1,150 1,208 0.05Ferro Corp.7.875% due 08/15/2018 1,750 1,855 0.07Fidelity National Information Services, Inc.7.625% due 07/15/2017 3,000 3,172 0.12First Data Corp.8.250% due 01/15/2021 3,399 3,280 0.129.875% due 09/24/2015 202 193 0.0112.625% due 01/15/2021 1,399 1,343 0.05FMG Resources August 2006 Pty Ltd.6.875% due 02/01/2018 2,000 2,000 0.087.000% due 11/01/2015 1,850 1,906 0.07Ford Motor Co.6.375% due 02/01/2029 50 48 0.009.215% due 09/15/2021 1,275 1,440 0.06Forest Oil Corp.7.250% due 06/15/2019 5,000 5,100 0.208.500% due 02/15/2014 1,000 1,097 0.04Frac Tech Services LLC7.125% due 11/15/2018 1,650 1,679 0.06Fresenius U.S. Finance II, Inc.9.000% due 07/15/2015 5,840 6,716 0.26Gateway Casinos & Entertainment Ltd.8.875% due 11/15/2017 CAD 2,750 2,861 0.11General Nutrition Centers, Inc.5.750% due 03/15/2014 (c) $ 4,250 4,229 0.16Georgia-Pacific LLC5.400% due 11/01/2020 3,250 3,219 0.127.000% due 01/15/2015 1,209 1,261 0.057.125% due 01/15/2017 2,750 2,943 0.117.250% due 06/01/2028 4,450 4,839 0.197.375% due 12/01/2025 3,870 4,199 0.167.700% due 06/15/2015 1,500 1,725 0.078.000% due 01/15/2024 8,500 9,754 0.388.250% due 05/01/2016 3,950 4,478 0.17Goodyear Tire & Rubber Co.8.250% due 08/15/2020 3,600 3,744 0.1410.500% due 05/15/2016 2,875 3,292 0.13Graham Packaging Co. LP8.250% due 10/01/2018 2,500 2,637 0.10Graphic Packaging International, Inc.7.875% due 10/01/2018 4,500 4,736 0.189.500% due 08/15/2013 586 601 0.029.500% due 06/15/2017 1,500 1,644 0.07Grohe Holding GmbH3.860% due 01/15/2014 € 2,000 2,609 0.10Harvest Operations Corp.6.875% due 10/01/2017 $ 2,500 2,587 0.10HCA Holdings, Inc.7.750% due 05/15/2021 4,500 4,511 0.17HCA, Inc.7.190% due 11/15/2015 1,974 1,940 0.077.250% due 09/15/2020 7,600 7,980 0.317.875% due 02/15/2020 1,000 1,075 0.048.500% due 04/15/2019 4,000 4,400 0.179.125% due 11/15/2014 6,075 6,386 0.259.250% due 11/15/2016 22,450 24,008 0.929.625% due 11/15/2016 (c) 9,255 9,937 0.389.875% due 02/15/2017 1,400 1,547 0.06

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

HeidelbergCement Finance AG7.500% due 04/03/2020 € 3,500 $ 4,872 0.19Hertz Corp.7.375% due 01/15/2021 $ 4,500 4,567 0.187.500% due 10/15/2018 2,000 2,085 0.08Hexion US Finance Corp.8.875% due 02/01/2018 6,500 6,979 0.279.000% due 11/15/2020 5,000 5,300 0.20Huntsman International LLC8.625% due 03/15/2020 3,300 3,605 0.148.625% due 03/15/2021 4,000 4,340 0.16Ineos Group Holdings PLC7.875% due 02/15/2016 € 7,000 8,452 0.328.500% due 02/15/2016 $ 1,000 957 0.04Inergy LP7.000% due 10/01/2018 1,850 1,873 0.07Insight Communications Co., Inc.9.375% due 07/15/2018 7,000 7,490 0.29Intelsat Corp.9.250% due 08/15/2014 4,000 4,140 0.169.250% due 06/15/2016 2,025 2,197 0.08Intelsat Jackson Holdings S.A.7.250% due 10/15/2020 10,500 10,657 0.418.500% due 11/01/2019 3,000 3,278 0.139.500% due 06/15/2016 5,000 5,300 0.20Intelsat Luxembourg S.A.11.250% due 02/04/2017 1,000 1,095 0.0411.500% due 02/04/2017 (c) 8,480 9,413 0.36Intelsat Subsidiary Holding Co. S.A.8.875% due 01/15/2015 4,200 4,334 0.17Interactive Data Corp.10.250% due 08/01/2018 4,500 4,950 0.19Intergen NV9.000% due 06/30/2017 4,505 4,798 0.18Interline Brands, Inc.7.000% due 11/15/2018 1,000 1,020 0.04inVentiv Health, Inc.10.000% due 08/15/2018 1,500 1,508 0.06Jarden Corp.7.500% due 05/01/2017 4,500 4,764 0.187.500% due 01/15/2020 € 1,000 1,382 0.067.500% due 01/15/2020 $ 500 524 0.02JC Penney Corp., Inc.7.125% due 11/15/2023 375 389 0.027.950% due 04/01/2017 2,700 2,957 0.11Kerling PLC10.625% due 02/01/2017 € 1,500 2,183 0.08Lamar Media Corp.6.625% due 08/15/2015 $ 1,500 1,545 0.06Lear Corp.7.875% due 03/15/2018 1,200 1,290 0.05Legrand France S.A.8.500% due 02/15/2025 1,500 1,760 0.07Lender Processing Services, Inc.8.125% due 07/01/2016 1,800 1,854 0.07Levi Strauss & Co.7.625% due 05/15/2020 2,750 2,853 0.11LifePoint Hospitals, Inc.6.625% due 10/01/2020 5,000 4,988 0.19Linn Energy LLC7.750% due 02/01/2021 2,500 2,575 0.108.625% due 04/15/2020 4,500 4,871 0.19Lyondell Chemical Co.8.000% due 11/01/2017 6,749 7,483 0.2911.000% due 05/01/2018 14,750 16,778 0.64Manitowoc Co., Inc.8.500% due 11/01/2020 6,000 6,405 0.25Marina District Finance Co., Inc.9.875% due 08/15/2018 2,000 1,980 0.08McClatchy Co.11.500% due 02/15/2017 1,850 2,088 0.08McJunkin Red Man Corp.9.500% due 12/15/2016 2,500 2,375 0.09MedAssets, Inc.8.000% due 11/15/2018 3,450 3,485 0.13

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

MGM Resorts International6.625% due 07/15/2015 $ 2,000 $ 1,843 0.077.500% due 06/01/2016 2,500 2,350 0.099.000% due 03/15/2020 2,925 3,232 0.1210.000% due 11/01/2016 2,500 2,575 0.1010.375% due 05/15/2014 1,500 1,691 0.0711.125% due 11/15/2017 4,500 5,198 0.2013.000% due 11/15/2013 600 712 0.03Michael Foods, Inc.9.750% due 07/15/2018 5,500 6,036 0.23Michaels Stores, Inc.7.750% due 11/01/2018 6,000 6,015 0.23Momentive Performance Materials, Inc.9.000% due 01/15/2021 1,750 1,851 0.07Mueller Water Products, Inc.8.750% due 09/01/2020 1,675 1,859 0.07Multiplan, Inc.9.875% due 09/01/2018 2,750 2,929 0.11Mylan, Inc.7.625% due 07/15/2017 2,050 2,191 0.087.875% due 07/15/2020 4,500 4,871 0.19Nalco Co.6.625% due 01/15/2019 3,500 3,596 0.148.250% due 05/15/2017 1,000 1,089 0.048.875% due 11/15/2013 1,175 1,199 0.05Nara Cable Funding Ltd.8.875% due 12/01/2018 € 1,750 2,236 0.09Navios Maritime Holdings, Inc.8.875% due 11/01/2017 $ 3,000 3,263 0.13NBTY, Inc.9.000% due 10/01/2018 6,000 6,435 0.25New Albertsons, Inc.7.450% due 08/01/2029 3,775 2,850 0.117.750% due 06/15/2026 2,710 2,100 0.08Newfield Exploration Co.6.625% due 04/15/2016 1,000 1,033 0.046.875% due 02/01/2020 3,500 3,701 0.147.125% due 05/15/2018 3,425 3,622 0.14NFR Energy LLC9.750% due 02/15/2017 5,450 5,409 0.21Nielsen Finance LLC0.000% due 08/01/2016 (d) 1,050 1,108 0.047.750% due 10/15/2018 7,500 7,800 0.3011.500% due 05/01/2016 4,750 5,510 0.2111.625% due 02/01/2014 1,500 1,744 0.07Northwest Airlines 2001-1 Class B Pass-Through Trust7.691% due 04/01/2017 473 482 0.02Novelis, Inc.8.375% due 12/15/2017 10,250 10,660 0.418.750% due 12/15/2020 12,000 12,510 0.48NPC International, Inc.9.500% due 05/01/2014 1,980 2,034 0.08NXP BV3.039% due 10/15/2013 3,000 2,966 0.117.875% due 10/15/2014 2,000 2,090 0.089.750% due 08/01/2018 2,500 2,825 0.11OI European Group BV6.750% due 09/15/2020 € 1,000 1,355 0.056.875% due 03/31/2017 1,500 2,103 0.08OPTI Canada, Inc.7.875% due 12/15/2014 $ 1,300 925 0.048.250% due 12/15/2014 2,300 1,650 0.06Oshkosh Corp.8.250% due 03/01/2017 400 437 0.028.500% due 03/01/2020 500 551 0.02OSI Restaurant Partners, Inc.10.000% due 06/15/2015 3,000 3,135 0.12Owens-Brockway Glass Container, Inc.6.750% due 12/01/2014 1,750 1,789 0.07OXEA Finance9.500% due 07/15/2017 1,000 1,089 0.049.625% due 07/15/2017 € 4,750 7,105 0.27Parker Drilling Co.9.125% due 04/01/2018 $ 3,000 3,150 0.12Peabody Energy Corp.6.500% due 09/15/2020 1,000 1,073 0.047.875% due 11/01/2026 4,300 4,687 0.18



DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Penn Virginia Corp.10.375% due 06/15/2016 $ 1,500 $ 1,680 0.06Penn Virginia Resource Partners LP8.250% due 04/15/2018 1,650 1,708 0.07Petco Animal Supplies, Inc.9.250% due 12/01/2018 3,000 3,176 0.12Petrohawk Energy Corp.7.250% due 08/15/2018 6,500 6,598 0.25PHH Corp.9.250% due 03/01/2016 1,500 1,590 0.06Phillips-Van Heusen Corp.7.375% due 05/15/2020 4,000 4,270 0.16Picard Bondco S.A.9.000% due 10/01/2018 € 2,000 2,858 0.11Pilgrim’s Pride Corp.7.875% due 12/15/2018 $ 5,000 5,000 0.19Pinafore LLC9.000% due 10/01/2018 7,000 7,595 0.29Pinnacle Entertainment, Inc.8.625% due 08/01/2017 1,500 1,643 0.06Plains Exploration & Production Co.7.625% due 06/01/2018 500 529 0.027.625% due 04/01/2020 6,000 6,352 0.24Polypore International, Inc.7.500% due 11/15/2017 2,000 2,050 0.08Precision Drilling Corp.6.625% due 11/15/2020 1,750 1,785 0.07Pregis Corp.5.985% due 04/15/2013 € 2,250 2,762 0.11Prestige Brands, Inc.8.250% due 04/01/2018 $ 5,025 5,226 0.20QEP Resources, Inc.6.875% due 03/01/2021 1,500 1,583 0.06Quebecor Media, Inc.7.750% due 03/15/2016 10,614 11,012 0.42Quicksilver Resources, Inc.9.125% due 08/15/2019 2,000 2,205 0.0911.750% due 01/01/2016 3,800 4,446 0.17Quintiles Transnational Corp.9.500% due 12/30/2014 (c) 3,500 3,596 0.14QVC, Inc.7.125% due 04/15/2017 1,775 1,868 0.077.375% due 10/15/2020 1,075 1,131 0.057.500% due 10/01/2019 3,000 3,173 0.12Radiation Therapy Services, Inc.9.875% due 04/15/2017 3,000 3,008 0.12Rain CII Carbon LLC & CII Carbon Corp.8.000% due 12/01/2018 2,425 2,498 0.10Range Resources Corp.6.750% due 08/01/2020 3,000 3,109 0.127.250% due 05/01/2018 1,600 1,696 0.067.500% due 10/01/2017 660 699 0.03RBS Global, Inc.8.500% due 05/01/2018 15,500 16,546 0.64Regency Energy Partners LP6.875% due 12/01/2018 3,975 4,045 0.16Rent-A-Center, Inc.6.625% due 11/15/2020 3,750 3,750 0.14Reynolds Group Issuer, Inc.7.125% due 04/15/2019 8,550 8,742 0.347.750% due 10/15/2016 2,500 2,656 0.108.500% due 05/15/2018 7,000 7,070 0.279.000% due 04/15/2019 7,000 7,289 0.28Rhodia S.A.7.000% due 05/15/2018 € 6,200 8,775 0.34Roadhouse Financing, Inc.10.750% due 10/15/2017 $ 3,000 3,255 0.12Rockwood Specialties Group, Inc.7.625% due 11/15/2014 € 1,900 2,613 0.10Roofing Supply Group LLC8.625% due 12/01/2017 $ 2,000 2,070 0.08Ryland Group, Inc.6.625% due 05/01/2020 1,000 990 0.04

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Sally Holdings LLC9.250% due 11/15/2014 $ 1,750 $ 1,846 0.0710.500% due 11/15/2016 1,250 1,385 0.05SandRidge Energy, Inc.3.928% due 04/01/2014 1,500 1,398 0.058.625% due 04/01/2015 (c) 7,582 7,800 0.308.750% due 01/15/2020 3,000 3,097 0.129.875% due 05/15/2016 350 372 0.02Scientific Games Corp.8.125% due 09/15/2018 1,500 1,519 0.06Scientific Games International, Inc.9.250% due 06/15/2019 1,500 1,556 0.06Scotts Miracle-Gro Co.6.625% due 12/15/2020 1,500 1,507 0.067.250% due 01/15/2018 1,000 1,055 0.04Seagate HDD Cayman7.750% due 12/15/2018 1,250 1,272 0.05Seminole Indian Tribe of Florida7.750% due 10/01/2017 1,125 1,167 0.04Seneca Gaming Corp.8.250% due 12/01/2018 1,825 1,839 0.07Sensata Technologies BV8.000% due 05/01/2014 1,669 1,761 0.079.000% due 05/01/2016 € 1,300 1,805 0.07Simmons Foods, Inc.10.500% due 11/01/2017 $ 2,000 2,145 0.08Smithfield Foods, Inc.7.750% due 07/01/2017 8,000 8,360 0.32Smurfit Kappa Funding PLC7.750% due 04/01/2015 250 258 0.01Smurfit Kappa Treasury Funding Ltd.7.500% due 11/20/2025 500 464 0.02Solutia, Inc.7.875% due 03/15/2020 2,250 2,419 0.09Spectrum Brands Holdings, Inc.9.500% due 06/15/2018 7,250 7,975 0.31SPX Corp.6.875% due 09/01/2017 3,750 4,003 0.15Starwood Hotels & Resorts Worldwide, Inc.6.750% due 05/15/2018 2,375 2,612 0.10Steel Dynamics, Inc.6.750% due 04/01/2015 500 509 0.027.625% due 03/15/2020 1,500 1,612 0.067.750% due 04/15/2016 1,975 2,089 0.08Suburban Propane Partners LP7.375% due 03/15/2020 650 697 0.03SunGard Data Systems, Inc.7.375% due 11/15/2018 6,000 6,060 0.237.625% due 11/15/2020 4,000 4,070 0.1610.625% due 05/15/2015 2,500 2,769 0.11Sunrise Communications Holdings S.A.8.500% due 12/31/2018 € 2,000 2,824 0.11Sunrise Communications International S.A.7.000% due 12/31/2017 650 914 0.047.000% due 12/31/2017 CHF 1,900 2,135 0.08Targa Resources Partners LP7.875% due 10/15/2018 $ 2,500 2,637 0.10Teck Resources Ltd.9.750% due 05/15/2014 836 1,047 0.0410.750% due 05/15/2019 10,000 13,019 0.50Tenet Healthcare Corp.8.000% due 08/01/2020 5,000 5,087 0.1910.000% due 05/01/2018 4,000 4,680 0.18Tenneco, Inc.6.875% due 12/15/2020 2,000 2,055 0.087.750% due 08/15/2018 1,500 1,598 0.068.125% due 11/15/2015 635 676 0.03Texas Industries, Inc.9.250% due 08/15/2020 1,350 1,441 0.05Thermon Industries, Inc.9.500% due 05/01/2017 1,300 1,391 0.05Trans Union LLC11.375% due 06/15/2018 2,500 2,862 0.11TransDigm, Inc.7.750% due 12/15/2018 13,500 14,040 0.54

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Transocean, Inc.6.500% due 11/15/2020 $ 2,500 $ 2,659 0.10Travelport LLC9.000% due 03/01/2016 2,500 2,434 0.099.875% due 09/01/2014 3,535 3,460 0.1311.875% due 09/01/2016 1,000 988 0.04TreeHouse Foods, Inc.7.750% due 03/01/2018 2,700 2,933 0.11Trinidad Drilling Ltd.7.875% due 01/15/2019 1,500 1,546 0.06Triumph Group, Inc.8.625% due 07/15/2018 3,750 4,116 0.16TRW Automotive, Inc.7.000% due 03/15/2014 3,750 4,031 0.167.250% due 03/15/2017 2,960 3,204 0.12UAL 2009-1 Pass-Through Trust10.400% due 11/01/2016 944 1,091 0.04UAL 2009-2A Pass-Through Trust9.750% due 01/15/2017 4,759 5,472 0.21UHS Escrow Corp.7.000% due 10/01/2018 2,750 2,832 0.11United Rentals North America, Inc.8.375% due 09/15/2020 6,500 6,646 0.26Universal City Development Partners Ltd.8.875% due 11/15/2015 1,700 1,815 0.0710.875% due 11/15/2016 1,750 1,920 0.07Univision Communications, Inc.7.875% due 11/01/2020 3,500 3,693 0.148.500% due 05/15/2021 3,000 3,052 0.12UPC Holding BV8.000% due 11/01/2016 € 4,500 6,309 0.248.375% due 08/15/2020 5,000 6,963 0.279.750% due 04/15/2018 2,800 4,066 0.16USG Corp.8.375% due 10/15/2018 $ 2,850 2,807 0.11Valeant Pharmaceuticals International6.750% due 10/01/2017 2,219 2,213 0.087.000% due 10/01/2020 7,000 6,930 0.27Vanguard Health Holding Co. II LLC8.000% due 02/01/2018 8,500 8,747 0.34Vertellus Specialties, Inc.9.375% due 10/01/2015 2,500 2,656 0.10Videotron Ltee6.875% due 01/15/2014 1,000 1,017 0.049.125% due 04/15/2018 2,225 2,492 0.09Viking Acquisition, Inc.9.250% due 11/01/2018 2,000 1,995 0.08Visant Corp.10.000% due 10/01/2017 5,000 5,325 0.20VWR Funding, Inc.10.250% due 07/15/2015 (c) 5,000 5,275 0.20Warner Chilcott Co. LLC7.750% due 09/15/2018 11,500 11,672 0.45West Corp.8.625% due 10/01/2018 1,500 1,597 0.06Whiting Petroleum Corp.6.500% due 10/01/2018 2,500 2,538 0.10Wind Acquisition Finance S.A.11.750% due 07/15/2017 10,000 11,325 0.43Windstream Corp.7.000% due 03/15/2019 675 668 0.037.750% due 10/15/2020 2,000 2,070 0.087.875% due 11/01/2017 3,750 3,961 0.158.125% due 08/01/2013 675 746 0.038.125% due 09/01/2018 2,000 2,110 0.088.625% due 08/01/2016 9,450 9,993 0.38WMG Acquisition Corp.7.375% due 04/15/2014 1,500 1,447 0.069.500% due 06/15/2016 4,825 5,199 0.20Wynn Las Vegas LLC7.875% due 11/01/2017 7,000 7,578 0.29

1,449,919 55.73


31 December 2010

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

UTILITIES

AES Corp.7.750% due 03/01/2014 $ 790 $ 847 0.037.750% due 10/15/2015 2,135 2,290 0.098.000% due 10/15/2017 4,000 4,250 0.168.000% due 06/01/2020 6,000 6,390 0.259.750% due 04/15/2016 3,000 3,368 0.13AES Ironwood LLC8.857% due 11/30/2025 6,798 6,798 0.26AES Red Oak LLC8.540% due 11/30/2019 2,133 2,133 0.089.200% due 11/30/2029 1,150 1,130 0.05Calpine Corp.7.500% due 02/15/2021 7,500 7,425 0.297.875% due 07/31/2020 6,000 6,105 0.23CMS Energy Corp.8.750% due 06/15/2019 950 1,122 0.04Colorado Interstate Gas Co.6.850% due 06/15/2037 850 870 0.03Dynegy Holdings, Inc.7.625% due 10/15/2026 350 208 0.01El Paso Corp.6.950% due 06/01/2028 500 465 0.027.000% due 06/15/2017 970 1,028 0.047.250% due 06/01/2018 975 1,049 0.047.420% due 02/15/2037 4,400 4,166 0.167.750% due 01/15/2032 5,500 5,499 0.217.800% due 08/01/2031 3,150 3,149 0.128.050% due 10/15/2030 4,000 4,078 0.16El Paso Performance-Linked Trust7.750% due 07/15/2011 5,475 5,632 0.22Energy Future Holdings Corp.9.750% due 10/15/2019 2,673 2,709 0.10Energy Future Intermediate Holding Co. LLC9.750% due 10/15/2019 3,934 3,986 0.1510.000% due 12/01/2020 5,000 5,182 0.20Energy Transfer Equity LP7.500% due 10/15/2020 4,600 4,761 0.18Expro Finance Luxembourg SCA8.500% due 12/15/2016 3,500 3,360 0.13Frontier Communications Corp.6.625% due 03/15/2015 2,000 2,100 0.087.125% due 03/15/2019 7,445 7,687 0.307.450% due 07/01/2035 250 223 0.017.875% due 04/15/2015 2,700 2,963 0.128.250% due 05/01/2014 1,650 1,836 0.078.250% due 04/15/2017 1,000 1,103 0.048.500% due 04/15/2020 1,000 1,097 0.049.000% due 08/15/2031 3,855 3,980 0.15GenOn Energy, Inc.7.875% due 06/15/2017 775 756 0.03Intergen NV8.500% due 06/30/2017 € 1,750 2,506 0.10Ipalco Enterprises, Inc.7.250% due 04/01/2016 $ 650 697 0.03Kinder Morgan Finance Co. ULC5.700% due 01/05/2016 7,700 7,835 0.30Kinder Morgan, Inc.5.150% due 03/01/2015 1,900 1,924 0.07MarkWest Energy Partners LP6.750% due 11/01/2020 1,625 1,633 0.06MetroPCS Wireless, Inc.6.625% due 11/15/2020 2,500 2,387 0.09Midwest Generation LLC8.560% due 01/02/2016 5,241 5,293 0.20NRG Energy, Inc.7.250% due 02/01/2014 3,350 3,425 0.137.375% due 02/01/2016 6,500 6,679 0.267.375% due 01/15/2017 11,250 11,616 0.458.250% due 09/01/2020 11,500 11,845 0.458.500% due 06/15/2019 530 550 0.02NSG Holdings LLC7.750% due 12/15/2025 4,775 4,465 0.17Qwest Communications International, Inc.7.125% due 04/01/2018 2,750 2,860 0.117.500% due 02/15/2014 3,575 3,637 0.148.000% due 10/01/2015 550 594 0.02

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Qwest Corp.7.200% due 11/10/2026 $ 5,625 $ 5,512 0.217.250% due 09/15/2025 650 686 0.037.500% due 06/15/2023 3,200 3,192 0.12Reliant Energy Mid-Atlantic Power Holdings LLC9.237% due 07/02/2017 589 636 0.029.681% due 07/02/2026 600 641 0.03Sithe Independence Funding Corp.9.000% due 12/30/2013 83 86 0.00Sonat, Inc.7.625% due 07/15/2011 2,240 2,306 0.09Sprint Capital Corp.6.900% due 05/01/2019 22,000 21,835 0.848.375% due 03/15/2012 3,185 3,384 0.138.750% due 03/15/2032 5,160 5,237 0.20Sprint Nextel Corp.6.000% due 12/01/2016 10,000 9,712 0.388.375% due 08/15/2017 8,500 9,159 0.35Telenet Finance Luxembourg S.C.A.6.375% due 11/15/2020 € 4,000 5,420 0.21Telesat Canada, Inc.11.000% due 11/01/2015 $ 6,225 7,018 0.2712.500% due 11/01/2017 1,100 1,301 0.05Tenaska Alabama Partners LP7.000% due 06/30/2021 2,937 3,143 0.12TransCanada PipeLines Ltd.6.350% due 05/15/2067 3,355 3,317 0.13TW Telecom Holdings, Inc.8.000% due 03/01/2018 1,925 2,055 0.08Virgin Media Finance PLC9.500% due 08/15/2016 5,400 6,129 0.24

268,460 10.32Total Corporate Bonds & Notes 2,191,272 84.23


Chesapeake Energy Corp.2.250% due 12/15/2038 6,125 4,801 0.18


Illinois, Finance Authority Sports Facility RevenueBonds, Series 2007

9.000% due03/01/2014 (b) 550 165 0.01

Oakland, California, Unified School District GeneralObligation Bonds, Series 2009

9.500% due 08/01/2034 5,000 5,442 0.21Puerto Rico, Sales Tax Financing Revenue Bonds,

(AMBAC Insured), Series 20070.000% due 08/01/2054 1,200 61 0.00

5,668 0.22


US Treasury Notes1.750% due

07/31/2015 (e) 12,300 12,263 0.47


Adjustable Rate Mortgage Trust3.021% due 10/25/2035 439 313 0.01American Home Mortgage Assets0.451% due 05/25/2046 1,114 660 0.020.451% due 09/25/2046 443 246 0.010.471% due 10/25/2046 1,313 721 0.031.028% due 02/25/2047 478 239 0.011.248% due 11/25/2046 2,017 1,002 0.046.250% due 06/25/2037 1,158 687 0.03American Home Mortgage Investment Trust0.501% due 05/25/2047 539 81 0.00Banc of America Alternative Loan Trust0.661% due 05/25/2035 226 169 0.01Banc of America Funding Corp.3.738% due 02/20/2036 780 466 0.025.483% due 03/20/2036 1,397 1,056 0.04Bear Stearns Adjustable Rate Mortgage Trust2.871% due 10/25/2035 9,360 8,968 0.34

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Bear Stearns Alternative-A Trust2.801% due 01/25/2035 $ 13 $ 11 0.00Chase Mortgage Finance Corp.5.500% due 05/25/2036 720 666 0.03Countrywide Alternative Loan Trust0.471% due 03/20/2046 150 87 0.000.491% due 05/20/2046 333 152 0.010.521% due 07/25/2035 23 15 0.000.591% due 11/20/2035 517 319 0.010.631% due 02/25/2037 3,194 1,096 0.041.328% due 12/25/2035 242 156 0.015.591% due 10/25/2035 160 110 0.006.000% due 11/25/2036 317 223 0.016.000% due 01/25/2037 393 286 0.016.500% due 11/25/2037 143 113 0.01Countrywide Home Loan Mortgage

Pass-Through Trust0.581% due 03/25/2035 113 71 0.000.611% due 02/25/2036 365 108 0.01Credit Suisse Mortgage Capital Certificates5.863% due 02/25/2037 660 387 0.01Deutsche ALT-A Securities, Inc. Alternate Loan Trust5.500% due 12/25/2035 281 207 0.01Downey Savings & Loan Association Mortgage

Loan Trust0.511% due 03/19/2045 85 61 0.00EMF-NL1.987% due 07/17/2041 € 3,235 3,700 0.14First Horizon Alternative Mortgage Securities2.570% due 09/25/2035 $ 154 114 0.006.000% due 05/25/2036 233 188 0.01GSR Mortgage Loan Trust2.868% due 04/25/2035 16 15 0.002.876% due 11/25/2035 4,376 3,921 0.15Harborview Mortgage Loan Trust0.501% due 03/19/2036 1,600 991 0.040.601% due 06/20/2035 179 149 0.001.178% due 12/19/2036 423 232 0.015.750% due 08/19/2036 642 412 0.02Indymac IMSC Mortgage Loan Trust6.000% due 07/25/2037 (b) 1,263 890 0.03Indymac INDA Mortgage Loan Trust5.442% due 03/25/2037 5,415 4,159 0.16Indymac Index Mortgage Loan Trust2.636% due 08/25/2035 246 198 0.015.047% due 09/25/2035 205 172 0.005.214% due 11/25/2035 1,990 1,538 0.065.341% due 05/25/2036 1,230 1,030 0.04JPMorgan Alternative Loan Trust5.550% due 10/25/2036 265 249 0.01JPMorgan Mortgage Trust6.000% due 08/25/2037 400 359 0.01Morgan Stanley Mortgage Loan Trust0.571% due 01/25/2035 13 11 0.00MortgageIT Trust0.581% due 02/25/2035 548 412 0.02Residential Accredit Loans, Inc.0.421% due 01/25/2037 2,637 1,570 0.060.531% due 05/25/2046 500 93 0.000.591% due 03/25/2037 1,376 548 0.023.265% due 03/25/2035 59 42 0.003.401% due 02/25/2035 74 54 0.005.500% due 02/25/2036 1,063 623 0.036.500% due 07/25/2037 (b) 2,119 1,398 0.06Residential Asset Securitization Trust6.000% due 05/25/2037 348 293 0.01Structured Adjustable Rate Mortgage Loan Trust2.829% due 09/25/2035 3,993 3,208 0.12Structured Asset Mortgage Investments, Inc.0.441% due 09/25/2047 673 433 0.020.481% due 09/25/2047 5,900 2,471 0.100.571% due 09/25/2045 180 118 0.00Suntrust Alternative Loan Trust0.611% due 04/25/2036 975 337 0.01TBW Mortgage-Backed Pass-Through Certificates5.970% due 09/25/2036 (b) 679 194 0.01



DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Wachovia Mortgage Loan Trust LLC5.427% due 10/20/2035 $ 478 $ 458 0.02WaMu Mortgage Pass-Through Certificates5.415% due 12/25/2036 997 769 0.035.691% due 10/25/2036 494 405 0.015.724% due 10/25/2036 600 464 0.02Wells Fargo Mortgage-Backed Securities Trust3.426% due 03/25/2036 3,438 3,035 0.12

53,929 2.07


Argent Securities, Inc.1.311% due 12/25/2033 376 308 0.01Credit-Based Asset Servicing & Securitization LLC0.331% due 01/25/2037 134 54 0.005.369% due 01/25/2037 1,400 664 0.03GSAMP Trust0.331% due 12/25/2036 35 26 0.000.411% due 08/25/2036 100 51 0.00Lehman XS Trust0.481% due 04/25/2046 155 90 0.00MASTR Asset-Backed Securities Trust0.471% due 11/25/2036 1,591 727 0.03Merrill Lynch First Franklin Mortgage Loan Trust0.381% due 07/25/2037 2,700 1,669 0.07Mid-State Trust7.791% due 03/15/2038 27 26 0.00

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Morgan Stanley ABS Capital I0.401% due 05/25/2037 $ 200 $ 79 0.00Structured Asset Securities Corp.0.411% due 05/25/2037 762 697 0.030.561% due 06/25/2035 2,218 1,560 0.06

5,951 0.23

SOVEREIGN ISSUES

Brazil Notas do Tesouro Nacional Series F10.000% due 01/01/2017 BRL 26,000 14,361 0.55

SHARES

COMMON STOCKS

Dex One Corp. 27,717 207 0.01Hawaiian Telcom Holdco,

Inc., Warrants 18,028 126 0.00SemGroup Corp., Class A 17,724 481 0.02SemGroup Corp., Warrants 18,657 145 0.01

959 0.04

CONVERTIBLE PREFERRED SECURITIES

Lehman Brothers Holdings, Inc.8.160% due 05/30/2009 (b) 20,000 128 0.01Wells Fargo & Co.7.500% due 12/31/2049 3,200 3,202 0.12

3,330 0.13

DESCRIPTION SHARES

FAIRVALUE(000S)

% OFNET

ASSETS


Royal Bank of Scotland Group PLC7.640% due 03/29/2049 45,000 $ 3,015 0.12UBS Preferred Funding Trust V6.243% due 05/29/2049 13,300 1,290 0.05

4,305 0.17

PAR(000S)



(Dated 12/31/2010.Collateralised by USTreasury Notes 3.625%due 08/15/2019 valuedat $615. Repurchaseproceeds are $600.) $ 600 600 0.02




FUTURES


Month# of

ContractsUnrealised

Appreciation% of

Net Assets

90-Day Eurodollar March Futures Long 03/2011 885 $ 5,896 0.23Total Financial Derivative Instruments Dealt in on a Regulated Market $ 5,896 0.23






FairValue

UpfrontPremiums

Paid/(Received)


% ofNet Assets

AES Corp. 5.000% 06/20/2014 CSFB $ 500 $ 45 $ (30) $ 75 0.00AES Corp. 5.000% 06/20/2014 MSC 2,600 236 (156) 392 0.01Ally Financial, Inc. 6.560% 12/20/2012 MSC 2,500 237 0 237 0.01American International Group, Inc. 5.000% 09/20/2011 BOA 4,100 145 (961) 1,106 0.01Aramark Corp. 5.000% 03/20/2014 CITI 2,800 248 (77) 325 0.01Community Health Systems, Inc. 5.000% 09/20/2014 CITI 100 6 (9) 15 0.00Community Health Systems, Inc. 5.000% 03/20/2014 GSC 2,950 199 (269) 468 0.01El Paso Corp. 5.000% 09/20/2014 GSC 5,850 643 (556) 1,199 0.02Georgia-Pacific LLC 5.000% 06/20/2014 BOA 1,200 166 (123) 289 0.01HCA, Inc. 2.400% 06/20/2014 CITI 3,100 (9) 0 (9) 0.00HCA, Inc. 5.000% 06/20/2014 CSFB 2,800 225 (290) 515 0.01NRG Energy, Inc. 5.000% 06/20/2014 GSC 8,500 524 0 524 0.02RRI Energy, Inc. 5.000% 09/20/2014 CITI 1,500 (3) (165) 162 0.00RRI Energy, Inc. 5.000% 09/20/2014 DUB 400 (1) (58) 57 0.00RRI Energy, Inc. 5.000% 09/20/2014 GSC 1,150 (3) (213) 210 0.00RRI Energy, Inc. 5.000% 12/20/2014 MSC 700 23 (70) 93 0.00SLM Corp. 5.000% 09/20/2011 BCLY 1,125 37 (81) 118 0.00SLM Corp. 5.000% 09/20/2014 BCLY 1,700 140 (208) 348 0.01SLM Corp. 5.000% 09/20/2011 BOA 1,300 43 (104) 147 0.00SLM Corp. 5.000% 06/20/2012 BOA 2,900 168 (246) 414 0.01SLM Corp. 5.000% 09/20/2014 BOA 2,900 239 (406) 645 0.01SLM Corp. 5.000% 06/20/2012 DUB 1,300 75 (169) 244 0.00SLM Corp. 5.000% 06/20/2013 DUB 225 18 (28) 46 0.00SLM Corp. 5.000% 09/20/2014 DUB 800 66 (90) 156 0.00SunGard Data Systems, Inc. 5.000% 03/20/2014 CITI 1,350 100 (88) 188 0.00

$ 3,567 $ (4,397) $ 7,964 0.14


31 December 2010




FairValue

UpfrontPremiums


Appreciation% of

Net Assets

Dow Jones CDX N.A. HY15 Index 5.000% 12/20/2015 BCLY $ 600 $ 19 $ 18 $ 1 0.00Dow Jones CDX N.A. HY15 Index 5.000% 12/20/2015 BOA 2,500 78 2 76 0.00Dow Jones CDX N.A. HY15 Index 5.000% 12/20/2015 CITI 86,700 2,697 (447) 3,144 0.10Dow Jones CDX N.A. HY15 Index 5.000% 12/20/2015 CSFB 8,100 252 226 26 0.01Dow Jones CDX N.A. HY15 Index 5.000% 12/20/2015 GSC 3,750 116 105 11 0.01Dow Jones CDX N.A. HY15 Index 5.000% 12/20/2015 MSC 12,050 375 346 29 0.01Dow Jones CDX N.A. HY15 Index 5.000% 12/20/2015 UBS 400 12 11 1 0.00Home Equity Index AAA Rating 2007-1 0.090% 08/25/2037 CSFB 2,928 (1,635) (2,050) 415 (0.06)

$ 1,914 $ (1,789) $ 3,703 0.07



INTEREST RATE SWAPS


NotionalAmount Fair Value

UpfrontPremiums

Paid/(Received)


% ofNet Assets

Receive BRL-CDI-Compounded 10.115% 01/02/2012 MSC BRL 57,600 $ (1,264) $ 22 $ (1,286) (0.05)Receive BRL-CDI-Compounded 10.150% 01/02/2012 GSC 5,700 (121) (42) (79) 0.00Receive BRL-CDI-Compounded 14.765% 01/02/2012 JPM 1,700 101 6 95 0.00Receive BRL-CDI-Compounded 14.765% 01/02/2012 MLP 300 18 1 17 0.00

$ (1,266) $ (13) $ (1,253) (0.05)


Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Buy BRL 14,300 HSBC 02/2011 $ 418 $ 0 $ 418 0.02Sell 14,300 UBS 02/2011 0 (144) (144) (0.01)Sell 32,998 CITI 03/2011 0 (280) (280) (0.01)Buy 14,300 UBS 04/2011 146 0 146 0.01Sell CAD 2,750 DUB 02/2011 0 (35) (35) 0.00Sell CHF 1,901 RBC 02/2011 0 (125) (125) (0.01)Buy CNY 1,395 BOA 01/2011 1 0 1 0.00Buy 1,793 CITI 01/2011 5 0 5 0.00Buy 4,104 DUB 01/2011 11 0 11 0.00Sell 9,748 DUB 01/2011 0 (12) (12) 0.00Buy 2,457 MSC 01/2011 2 0 2 0.00Buy 1,191 BCLY 11/2011 0 (1) (1) 0.00Buy 7,164 CITI 11/2011 7 0 7 0.00Buy 4,438 JPM 11/2011 0 (3) (3) 0.00Buy 9,748 DUB 02/2012 13 0 13 0.00Buy € 4,000 BCLY 01/2011 93 0 93 0.00Sell 11 BCLY 01/2011 0 0 0 0.00Buy 2,335 BNP 01/2011 58 0 58 0.00Buy 1,412 CITI 01/2011 0 (61) (61) 0.00Sell 133,813 CITI 01/2011 4,496 0 4,496 0.17Buy 1,900 CSFB 01/2011 11 0 11 0.00Sell 20,606 CSFB 01/2011 1,013 (8) 1,005 0.04Buy 659 DUB 01/2011 0 (32) (32) 0.00Sell 6 DUB 01/2011 0 0 0 0.00Sell 1,252 HSBC 01/2011 0 (35) (35) 0.00Buy 137 MSC 01/2011 0 (5) (5) 0.00Sell 1,720 MSC 01/2011 0 (32) (32) 0.00Sell 4,500 RBC 01/2011 171 (27) 144 0.00Buy 5,038 RBS 01/2011 0 (71) (71) 0.00Sell 5,100 RBS 01/2011 161 (3) 158 0.01Sell £ 7,603 BCLY 03/2011 0 (40) (40) 0.00Sell 7,602 DUB 03/2011 0 (38) (38) 0.00Sell 5,068 RBS 03/2011 0 (7) (7) 0.00

$ 6,606 $ (959) $ 5,647 0.22





DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS


BNP Paribas Bank0.080% due 01/03/2011 € 1,031 $ 1,384 0.05Brown Brothers Harriman & Co.0.005% due 01/03/2011 CHF 1 1 0.00JPMorgan Chase & Co.0.068% due 01/04/2011 £ 605 948 0.04Nordea Bank AB0.030% due 01/03/2011 $ 5,084 5,084 0.19Total Overnight Time Deposits $ 7,417 0.28Other Current Assets & Liabilities $ 2,389 0.09Net Assets $ 2,601,664 100.00


(a) The High Yield Bond Fund is investing in Class Z Income Shares of an affiliated Fund.



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

(e) Securities with an aggregate market value of $809 have been segregated with the Custodian to cover margin requirements for the open futures contracts as at 31 December 2010.

(f) Cash of $2,500 has been pledged as collateral for swap and foreign currency contracts as at 31 December 2010 as governed by International Swaps and Derivative Association, Inc. MasterAgreements.

(g) Restricted securities as of December 31, 2010:


DateAcquisition

Date CostFair

Value% of

Net Assets

Continental Airlines, Inc. 6.920% 04/02/2013 10/29/2008 $ 1,179 $ 1,238 0.05Dole Food Co., Inc. 13.875% 03/15/2014 03/25/2010 2,335 2,455 0.09

$ 3,514 $ 3,693 0.14

(h) Fair Value Measurements1


Category3




(Level 2)



Transferable Securities $ 226,706 $ 2,341,998 $ 7,396 $ 2,576,100Financial Derivative Instruments4 5,896 9,862 0 15,758Totals $ 232,602 $ 2,351,860 $ 7,396 $ 2,591,858


Category3

StartingBalance

at 31-Dec-2009Net

Purchases5Net

Sales5


RealisedGains/

(Losses)




Level 3

EndingBalance

at 31-Dec-2010




Transferable Securities $ 7,715 $ 9,152 $ (2,378) $ 68 $ 102 $ (2,600) $ (4,663) $ 7,396 $ (3,027)


Category3


(Level 1)


(Level 2)



Transferable Securities $ 3,827 $ 1,062,629 $ 7,715 $ 1,074,171Financial Derivative Instruments4 7,190 1,047 0 8,237Totals $ 11,017 $ 1,063,676 $ 7,715 $ 1,082,408


31 December 2010


Category3

StartingBalance

at 31-Dec-2008Net



RealisedGains/

(Losses)




Level 3

EndingBalance

at 31-Dec-2009




Transferable Securities $ 8,451 $ 10,666 $ (5,304) $ 78 $ 55 $ (3,508) $ (2,723) $ 7,715 $ (6,285)Financial Derivative Instruments4 (64) 0 (1,055) 0 1,055 51 13 0 0Total $ 8,387 $ 10,666 $ (6,359) $ 78 $ 1,110 $ (3,457) $ (2,710) $ 7,715 $ (6,285)





Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Buy £ 31 BCLY 01/2011 $ 0 $ 0 $ 0 0.00Sell 23 BCLY 01/2011 0 0 0 0.00Sell 5,091 BNP 01/2011 0 (112) (112) 0.00Buy 149 CITI 01/2011 0 (1) (1) 0.00Sell 77 CITI 01/2011 0 (1) (1) 0.00Buy 50 DUB 01/2011 1 0 1 0.00Buy 5,011 RBS 01/2011 53 0 53 0.00Buy 5,091 BNP 02/2011 112 0 112 0.00Buy 16 RBC 02/2011 0 0 0 0.00

$ 166 $ (114) $ 52 0.00

As at 31 December 2010, the Investor EUR (Hedged) Class, Class E EUR (Hedged) and Institutional EUR (Hedged) Class had the following foreign currency contracts outstanding:

Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Buy € 2,946 BCLY 01/2011 $ 95 $ 0 $ 95 0.00Sell 2,834 BCLY 01/2011 0 (89) (89) 0.00Buy 500 BNP 01/2011 15 0 15 0.00Buy 514 CITI 01/2011 14 0 14 0.00Sell 150,628 CITI 01/2011 0 (1,833) (1,833) (0.07)Buy 1,830 DUB 01/2011 24 0 24 0.00Sell 533 DUB 01/2011 0 (21) (21) 0.00Buy 570 HSBC 01/2011 0 0 0 0.00Buy 898 RBC 01/2011 30 0 30 0.00Buy 275,941 RBS 01/2011 9,226 0 9,226 0.35Sell 128,107 RBS 01/2011 0 (1,697) (1,697) (0.06)Buy 733 UBS 01/2011 14 0 14 0.00Buy 149,339 CITI 02/2011 1,796 0 1,796 0.07Sell 1,222 CITI 02/2011 0 (34) (34) 0.00Buy 1,050 RBC 02/2011 31 0 31 0.00Buy 124,180 RBS 02/2011 1,643 0 1,643 0.06

$ 12,888 $ (3,674) $ 9,214 0.35


Significant Changes in Portfolio Composition High Yield Bond (Unaudited)31 December 2010




PAR(000S)

US Treasury Bills1.750% due 07/31/2015 $ 55,378 56,044Federal Home Loan Bank0.000% due 03/17/2010 25,600 25,599CIT Group, Inc.7.000% due 05/01/2016 19,608 18,784Community Health Systems, Inc.8.875% due 07/15/2015 16,525 17,136Lyondell Chemical Co.11.000% due 05/01/2018 14,750 16,411Federal Home Loan Bank0.140% due 02/07/2010 15,600 15,598CIT Group, Inc.7.000% due 05/01/2015 15,265 14,718TransDigm, Inc.7.750% due 12/15/2018 13,500 13,651Novelis, Inc.8.750% due 12/15/2020 12,000 12,124NRG Energy, Inc.8.250% due 09/01/2020 11,500 11,746Warner Chilcott Co. LLC7.750% due 09/15/2018 11,500 11,683Pinnacle Foods Finance LLC8.250% due 09/01/2017 11,500 11,532Intelsat Jackson Holdings S.A.7.250% due 10/15/2020 10,500 10,549Novelis, Inc.8.375% due 12/15/2017 10,250 10,280Ziggo Bond Co. BV8.000% due 05/15/2018 € 7,500 9,668Ally Financial, Inc.8.300% due 02/12/2015 $ 9,500 9,529Conti-Gummi Finance BV7.125% due 10/15/2018 € 7,000 9,463Digicel Ltd.8.250% due 09/01/2017 $ 9,250 9,208RBS Global, Inc.8.500% due 05/01/2018 9,000 8,948


(000S)



PAR(000S)

US Treasury Bills1.750% due 07/31/2015 $ 43,078 43,377Federal Home Loan Bank0.000% due 03/17/2010 25,600 25,600Gazprom Via White Nights Finance BV10.500% due 08/03/2014 14,400 17,037Federal Home Loan Bank0.140% due 02/07/2010 15,600 15,599Ford Motor Credit Co. LLC3.277% due 01/13/2012 14,100 14,144Citigroup, Inc.5.500% due 02/15/2017 9,375 9,121Discover Bank8.700% due 11/18/2019 7,575 9,017Brazil Notas do Tesouro Nacional Series F10.000% due 01/01/2012 BRL 14,014 8,267Freeport-McMoRan Copper & Gold, Inc.8.375% due 04/01/2017 $ 6,900 7,745Wells Fargo Capital XV9.750% due 09/29/2049 6,975 7,591Regions Financial Corp.7.375% due 12/10/2037 8,000 7,228Credit Agricole S.A.9.750% due 06/29/2049 6,500 7,088First Data Corp.9.875% due 09/24/2015 8,450 6,808International Lease Finance Corp.5.450% due 03/24/2011 6,500 6,510Goldman Sachs Group, Inc.6.750% due 10/01/2037 6,050 6,209Pacific Life Insurance Co.9.250% due 06/15/2039 4,675 6,206Brazil Government International Bond12.500% due 01/05/2022 BRL 9,800 6,198American International Group, Inc.4.000% due 09/20/2011 € 4,450 6,047US Treasury Bills0.000% due 10/07/2010 $ 5,802 5,802Weyerhaeuser Co.7.375% due 03/15/2032 4,800 4,640American International Group, Inc.4.250% due 05/15/2013 4,575 4,598Verso Paper Holdings LLC9.125% due 08/01/2014 4,400 4,308TNK-BP Finance S.A.6.625% due 03/20/2017 4,000 4,245MetLife Capital Trust X9.250% due 04/08/2038 3,600 4,212El Paso Natural Gas Co.8.375% due 06/15/2032 3,500 4,047MetLife Capital Trust IV7.875% due 12/15/2037 3,600 3,654Energy Future Holdings Corp.10.000% due 01/15/2020 3,500 3,631American International Group, Inc.4.950% due 03/20/2012 3,625 3,589Citigroup Capital XXI8.300% due 12/21/2057 3,700 3,580

(a) The High Yield Bond Fund is investing in Class Z Shares of an affiliated Fund




Portfolio of Investments and Assets Low Average Duration Fund31 December 2010

DESCRIPTION SHARES

FAIRVALUE(000S)

% OFNET

ASSETS


MUTUAL FUNDS (a)


PAR(000S)


AGFS Funding Co.7.250% due

04/21/2015 $ 3,500 3,553 0.11


BANKING & FINANCE

AIG SunAmerica Global Financing VI6.300% due

05/10/2011 300 306 0.01AK Transneft OJSC Via TransCapitalInvest Ltd.7.700% due

08/07/2013 3,500 3,892 0.12Allstate Life Global Funding Trusts5.375% due

04/30/2013 500 545 0.02Ally Financial, Inc.2.200% due

12/19/2012 1,500 1,544 0.055.375% due

06/06/2011 100 101 0.006.000% due

12/15/2011 725 743 0.036.000% due

05/23/2012 3,100 3,208 0.106.625% due

05/15/2012 5,705 5,883 0.196.750% due

12/01/2014 300 315 0.016.875% due

09/15/2011 2,900 2,994 0.106.875% due

08/28/2012 1,150 1,207 0.047.000% due

02/01/2012 100 103 0.007.250% due

03/02/2011 5,200 5,233 0.177.500% due

12/31/2013 5,250 5,683 0.188.000% due

11/01/2031 2,330 2,499 0.08American Express Bank FSB5.500% due

04/16/2013 5,600 6,039 0.19American Express Co.5.250% due

09/12/2011 615 634 0.02American Express Travel Related Services Co., Inc.0.461% due

06/01/2011 500 498 0.015.250% due

11/21/2011 2,300 2,374 0.08American International Group, Inc.0.399% due

10/18/2011 3,500 3,473 0.112.033% due

03/23/2012 SEK 39,000 5,471 0.184.250% due

05/15/2013 $ 1,200 1,245 0.044.950% due

03/20/2012 19,000 19,647 0.638.250% due

08/15/2018 5,800 6,701 0.21Banco do Brasil S.A.4.500% due

01/22/2015 1,300 1,359 0.04Banco Mercantil del Norte S.A.4.375% due

07/19/2015 2,900 2,958 0.09

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Banco Santander Chile2.875% due 11/13/2012 $ 5,800 $ 5,833 0.19Bank of America Corp.5.650% due 05/01/2018 3,400 3,479 0.11Bank of America N.A.0.582% due 06/15/2016 2,400 2,145 0.07Bank of Tokyo-Mitsubishi UFJ Ltd.3.850% due 01/22/2015 3,100 3,235 0.10Barclays Bank PLC5.000% due 09/22/2016 6,300 6,675 0.226.000% due 01/23/2018 € 3,500 4,761 0.15BNP Paribas5.186% due 06/29/2049 $ 8,000 7,360 0.24BPCE S.A.2.375% due 10/04/2013 800 798 0.039.000% due 03/29/2049 € 10,200 13,547 0.43Citibank N.A.1.750% due 12/28/2012 $ 2,900 2,960 0.10Citigroup, Inc.0.572% due 06/09/2016 3,125 2,792 0.095.500% due 04/11/2013 1,500 1,598 0.055.500% due 10/15/2014 6,400 6,902 0.225.625% due 08/27/2012 5,000 5,249 0.17Cloverie PLC for Zurich Insurance Co. Ltd.12.000% due 07/29/2049 € 5,500 8,571 0.27Commonwealth Bank of Australia0.522% due 12/15/2016 $ 3,100 3,059 0.100.709% due 07/12/2013 10,000 10,025 0.32Cooperatieve Centrale Raiffeisen-Boerenleenbank BA6.875% due 03/19/2020 € 6,200 7,903 0.25Countrywide Financial Corp.5.800% due 06/07/2012 $ 1,300 1,368 0.04Daimler International Finance BV1.238% due 01/27/2012 13,300 13,303 0.43DanFin Funding Ltd.0.989% due 07/16/2013 16,500 16,493 0.53Danske Bank2.500% due 05/10/2012 1,200 1,230 0.04Deutsche Telekom International Finance BV5.250% due 07/22/2013 10,500 11,379 0.37Dexia Credit Local0.703% due 03/05/2013 13,900 13,863 0.44Dexia Credit Local S.A.0.768% due 04/29/2014 6,500 6,481 0.210.953% due 09/23/2011 24,800 24,870 0.80Export-Import Bank of Korea8.125% due 01/21/2014 3,100 3,551 0.11FCE Bank PLC7.250% due 07/15/2013 € 8,400 11,945 0.38First Horizon National Corp.5.375% due 12/15/2015 $ 2,800 2,829 0.09Ford Motor Credit Co. LLC3.039% due 01/13/2012 900 909 0.037.000% due 10/01/2013 400 429 0.027.500% due 08/01/2012 100 107 0.00Fortis Bank Nederland NV3.000% due 04/17/2012 € 400 549 0.02General Electric Capital Corp.2.000% due 09/28/2012 $ 2,900 2,963 0.092.125% due 12/21/2012 2,900 2,981 0.105.450% due 01/15/2013 3,000 3,228 0.10Golden West Financial Corp.4.750% due 10/01/2012 14,300 15,136 0.49International Lease Finance Corp.5.000% due 09/15/2012 10,900 11,023 0.355.400% due 02/15/2012 1,700 1,725 0.066.375% due 03/25/2013 6,000 6,180 0.206.500% due 09/01/2014 20,300 21,620 0.69Jackson Natural Life Funding LLC0.561% due 08/06/2011 7,000 6,997 0.22JPMorgan Chase & Co.1.053% due 09/30/2013 800 803 0.031.264% due 09/26/2013 € 100 131 0.014.250% due 10/15/2020 $ 1,400 1,370 0.046.625% due 03/15/2012 4,200 4,466 0.14

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Kreditanstalt fuer Wiederaufbau4.125% due 10/15/2014 $ 2,650 $ 2,884 0.094.375% due 07/21/2015 4,500 4,940 0.16LBG Capital No.1 PLC6.439% due 05/23/2020 € 400 435 0.027.625% due 10/14/2020 300 352 0.017.867% due 12/17/2019 £ 500 685 0.02LBG Capital No.2 PLC6.385% due 05/12/2020 € 400 437 0.019.334% due 02/07/2020 £ 300 449 0.02Lehman Brothers Holdings, Inc. (b)0.000% due 04/03/2009 $ 900 210 0.010.000% due 01/26/2017 1,200 280 0.010.000% due 11/24/2024 800 187 0.000.000% due 08/21/2024 1,200 281 0.010.000% due 07/18/2024 500 117 0.00Lloyds TSB Bank PLC5.625% due 03/05/2018 € 1,700 2,212 0.076.350% due 10/29/2049 400 488 0.02Merrill Lynch & Co., Inc.0.533% due 06/05/2012 $ 300 297 0.010.836% due 05/02/2017 1,200 1,035 0.036.050% due 08/15/2012 8,400 8,898 0.29Metropolitan Life Global Funding I0.689% due 07/13/2011 9,900 9,913 0.32Morgan Stanley0.769% due 10/15/2015 5,500 5,163 0.171.357% due 03/01/2013 € 1,100 1,412 0.046.600% due 04/01/2012 $ 30 32 0.00PNC Preferred Funding Trust I6.517% due 03/29/2049 2,000 1,589 0.05Principal Life Income Funding Trusts5.300% due 04/24/2013 400 433 0.01Qatari Diar Finance QSC3.500% due 07/21/2015 7,600 7,596 0.24QNB Finance Ltd.3.125% due 11/16/2015 7,800 7,644 0.25Royal Bank of Scotland Group PLC6.375% due 02/01/2011 600 602 0.026.990% due 10/29/2049 7,700 5,967 0.19Royal Bank of Scotland PLC0.489% due 04/11/2016 5,000 4,131 0.130.569% due 10/14/2016 8,700 7,190 0.230.686% due 04/08/2011 5,200 5,203 0.171.450% due 10/20/2011 7,500 7,544 0.243.000% due 12/09/2011 1,000 1,021 0.033.875% due 10/19/2020 € 4,100 5,193 0.176.000% due 06/29/2049 £ 2,400 2,818 0.09Santander Finance Preferred S.A. Unipersonal10.500% due 03/29/2049 $ 10,000 10,878 0.35Santander US Debt S.A. Unipersonal1.103% due 03/30/2012 1,100 1,088 0.04SLM Corp.0.518% due 10/25/2011 1,500 1,479 0.050.588% due 01/27/2014 600 541 0.021.356% due 06/17/2013 € 300 361 0.015.375% due 05/15/2014 $ 1,100 1,106 0.03SunTrust Bank6.375% due 04/01/2011 3,000 3,038 0.10UBS AG1.384% due 02/23/2012 2,900 2,925 0.09Wachovia Corp.0.419% due 10/15/2011 1,800 1,802 0.06Waha Aerospace BV3.925% due 07/28/2020 9,700 9,799 0.31Wells Fargo & Co.5.625% due 12/11/2017 9,500 10,533 0.34Westpac Banking Corp.2.250% due 11/19/2012 8,700 8,906 0.29

519,570 16.66

INDUSTRIALS

Charter Communications Operating LLC8.000% due 04/30/2012 1,000 1,055 0.03Chesapeake Energy Corp.7.625% due 07/15/2013 200 218 0.00


Portfolio of Investments and Assets Low Average Duration Fund (Cont.)

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

9.500% due 02/15/2015 $ 500 $ 566 0.02Continental Airlines, Inc.6.750% due 09/15/2015 13,000 13,455 0.43CVS Caremark Corp.5.750% due 08/15/2011 5,300 5,465 0.17Daimler Finance N.A. LLC5.875% due 03/15/2011 3,100 3,132 0.107.300% due 01/15/2012 2,600 2,763 0.09DISH DBS Corp.6.625% due 10/01/2014 2,400 2,496 0.087.125% due 02/01/2016 5,000 5,188 0.177.750% due 05/31/2015 1,600 1,708 0.05Dow Chemical Co.6.000% due 10/01/2012 220 237 0.01Kraft Foods, Inc.2.625% due 05/08/2013 16,990 17,483 0.56MeadWestvaco Corp.6.850% due 04/01/2012 2,700 2,857 0.09PACCAR, Inc.6.875% due 02/15/2014 3,600 4,132 0.13Reynolds American, Inc.1.002% due 06/15/2011 3,600 3,605 0.12Roche Holdings, Inc.6.000% due 03/01/2019 5,100 5,940 0.19Shell International Finance BV3.100% due 06/28/2015 9,300 9,561 0.31Time Warner, Inc.3.150% due 07/15/2015 3,700 3,763 0.126.875% due 05/01/2012 1,600 1,722 0.06Vivendi S.A.5.750% due 04/04/2013 4,200 4,533 0.15Wal-Mart Stores, Inc.4.250% due 04/15/2013 700 752 0.02WM Wrigley Jr. Co.3.050% due 06/28/2013 1,200 1,226 0.04Wyeth5.500% due 03/15/2013 5,000 5,470 0.18

97,327 3.12

UTILITIES

BP Capital Markets PLC2.375% due 12/14/2011 5,600 5,653 0.182.750% due 06/14/2011 CHF 4,200 4,540 0.152.750% due 02/27/2012 $ 300 304 0.013.125% due 03/10/2012 3,100 3,171 0.10Cellco Partnership2.884% due 05/20/2011 800 808 0.025.250% due 02/01/2012 5,300 5,549 0.18Centrais Eletricas Brasileiras S.A.6.875% due 07/30/2019 1,200 1,362 0.04El Paso Performance-Linked Trust7.750% due 07/15/2011 1,600 1,646 0.05Embarq Corp.7.082% due 06/01/2016 7,500 8,304 0.27EOG Resources, Inc.1.034% due 02/03/2014 13,900 13,925 0.45Gazprom Via Gaz Capital S.A.7.510% due 07/31/2013 1,600 1,766 0.06Gazprom Via Gazprom International S.A.7.201% due 02/01/2020 754 804 0.03Kinder Morgan Energy Partners LP6.750% due 03/15/2011 200 202 0.01Kinder Morgan Finance Co. ULC5.350% due 01/05/2011 500 500 0.02Korea Hydro & Nuclear Power Co. Ltd.6.250% due 06/17/2014 1,850 2,033 0.07New Cingular Wireless Services, Inc.8.125% due 05/01/2012 6,700 7,321 0.23NRG Energy, Inc.7.375% due 02/01/2016 14,470 14,868 0.478.250% due 09/01/2020 6,900 7,107 0.23Qtel International Finance Ltd.3.375% due 10/14/2016 4,600 4,393 0.145.000% due 10/19/2025 4,300 3,912 0.13

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Qwest Corp.3.552% due 06/15/2013 $ 4,000 $ 4,200 0.13Telecom Italia Capital S.A.0.767% due 02/01/2011 1,400 1,400 0.040.899% due 07/18/2011 900 898 0.03TELUS Corp.8.000% due 06/01/2011 2,528 2,597 0.08Vodafone Group PLC5.350% due 02/27/2012 1,200 1,259 0.04



Amgen, Inc.0.125% due 02/01/2011 12,700 12,748 0.41Medtronic, Inc.1.500% due 04/15/2011 18,200 18,291 0.59National City Corp.4.000% due 02/01/2011 1,000 1,006 0.03Transocean, Inc.1.500% due 12/15/2037 15,800 15,642 0.50

47,687 1.53


Illinois, General Obligation Bonds, Series 20102.766% due 01/01/2012 9,800 9,834 0.31New Jersey, Economic Development Authority


15,046 0.48


Fannie Mae0.321% due 07/25/2037 361 357 0.010.375% due 12/28/2012 13,300 13,222 0.420.461% due 10/27/2037 3,100 3,095 0.100.500% due 10/30/2012 26,000 25,925 0.830.571% due 04/25/2037 1,631 1,635 0.050.611% due 07/25/2037-

03/25/2044 8,146 8,169 0.260.661% due 05/25/2031-

11/25/2032 840 843 0.030.750% due 12/18/2013 (c) 86,300 85,398 2.741.000% due 12/27/2012-

09/23/2013 88,800 89,237 2.861.001% due 03/25/2040 13,424 13,579 0.441.125% due 09/30/2013 (c) 15,300 15,343 0.491.542% due 06/01/2043 232 232 0.011.544% due 07/01/2042 128 128 0.001.592% due 09/01/2041 360 363 0.011.625% due 10/26/2015 2,100 2,049 0.071.750% due 02/22/2013 2,100 2,146 0.072.141% due 01/01/2035 99 103 0.002.500% due 05/15/2014 2,700 2,804 0.092.545% due 03/01/2035 49 51 0.002.560% due 12/01/2034 44 46 0.002.597% due 01/01/2035 437 454 0.022.725% due 12/01/2034 278 289 0.012.745% due 01/01/2035 74 77 0.002.750% due 02/05/2014-

03/13/2014 4,900 5,125 0.162.800% due 08/01/2035 1,461 1,527 0.052.840% due 07/01/2035 159 167 0.012.875% due 12/11/2013 4,300 4,523 0.153.000% due 09/16/2014 5,900 6,220 0.203.500% due 09/01/2040 -

01/01/2041 35,607 34,051 1.094.000% due 01/02/2024 -

01/01/2041 127,443 127,229 4.084.125% due 04/15/2014 21,500 23,467 0.754.375% due 03/15/2013 8,200 8,840 0.284.500% due 07/01/2022-

01/01/2041 91,084 94,742 3.044.625% due 10/15/2013 -

10/15/2014 7,200 7,957 0.265.000% due 03/25/2017 -

01/01/2041 67,982 71,480 2.29

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

5.500% due 05/01/2025 -01/01/2041 $ 86,546 $ 92,967 2.98

6.000% due 04/01/2035 -12/01/2038 23,195 25,260 0.81

6.500% due 12/01/2035 -10/01/2039 41,973 46,694 1.50

8.000% due 06/01/2011 -06/01/2012 5 6 0.00

Federal Home Loan Bank0.875% due 08/22/2012-

12/27/2013 23,700 23,799 0.76Federal Home Loan Mortgage Corp.1.750% due 09/10/2015 1,100 1,083 0.03Freddie Mac0.410% due 07/15/2019 -

08/15/2019 1,829 1,826 0.060.560% due 05/15/2036 333 334 0.010.610% due 12/15/2030 131 131 0.000.875% due 10/28/2013 3,400 3,385 0.111.000% due 08/28/2012 19,000 19,133 0.611.542% due 02/25/2045 454 448 0.022.500% due 01/07/2014 -

04/23/2014 7,000 7,269 0.232.810% due 07/01/2035 348 364 0.012.958% due 12/01/2034 26 27 0.002.995% due 01/01/2035 50 52 0.003.000% due 07/28/2014 3,300 3,477 0.113.015% due 01/01/2035 75 79 0.003.500% due 05/29/2013 6,700 7,121 0.234.000% due 12/01/2040 61,000 60,639 1.954.125% due 09/27/2013 4,800 5,205 0.174.500% due 01/15/2013 -

11/01/2040 53,838 56,028 1.804.875% due 11/15/2013 2,100 2,329 0.085.000% due 01/30/2014 1,200 1,336 0.045.128% due 02/01/2037 585 618 0.025.500% due 08/15/2030 -

07/01/2038 4,766 5,085 0.166.000% due 01/01/2023 -

06/01/2039 1,041 1,131 0.046.500% due 07/25/2043 321 370 0.018.000% due 11/01/2011 3 3 0.00Ginnie Mae6.000% due 01/01/2040 1,000 1,099 0.046.500% due 01/15/2037 -

08/15/2039 7,970 8,994 0.299.500% due 05/15/2022 848 990 0.03Small Business Administration3.080% due 09/25/2018 1,021 1,078 0.044.310% due 04/01/2029 1,625 1,691 0.05

1,030,924 33.06


US Treasury Notes0.500% due 10/15/2013 6,531 6,459 0.210.750% due 08/15/2013 -

09/15/2013 (c) 61,400 61,218 1.961.000% due 07/15/2013 (c) 34,400 34,575 1.111.125% due 06/15/2013 11,900 11,999 0.38

114,251 3.66


Adjustable Rate Mortgage Trust2.996% due 09/25/2035 332 253 0.01American Home Mortgage Investment Trust2.261% due 02/25/2045 264 237 0.012.264% due 10/25/2034 641 568 0.02Banc of America Funding Corp.2.861% due 05/25/2035 3,889 3,792 0.12Banc of America Mortgage Securities, Inc.2.767% due 07/25/2034 209 193 0.016.500% due 10/25/2031 37 38 0.00Bear Stearns Adjustable Rate Mortgage Trust2.926% due 01/25/2034 77 77 0.002.941% due 08/25/2035 855 624 0.022.960% due 07/25/2034 1,384 1,056 0.043.106% due 11/25/2034 503 428 0.013.609% due 11/25/2034 140 138 0.01


31 December 2010

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

4.995% due 01/25/2035 $ 127 $ 119 0.005.489% due 04/25/2033 7 7 0.00Bear Stearns Alternative-A Trust0.421% due 02/25/2034 326 260 0.012.649% due 12/25/2033 251 236 0.012.875% due 05/25/2035 427 334 0.012.955% due 09/25/2035 159 122 0.00Bear Stearns Commercial Mortgage Securities5.471% due 01/12/2045 700 748 0.02Bear Stearns Mortgage Funding Trust0.331% due 02/25/2037 12 12 0.00Citigroup Mortgage Loan Trust, Inc.2.680% due 12/25/2035 148 142 0.002.930% due 08/25/2035 492 262 0.01Commercial Mortgage Pass-Through Certificates5.306% due 12/10/2046 800 836 0.03Countrywide Alternative Loan Trust0.441% due 05/25/2047 403 235 0.011.328% due 02/25/2036 826 574 0.026.000% due 10/25/2033 65 65 0.00Countrywide Home Loan Mortgage Pass-

Through Trust2.920% due 02/20/2035 608 530 0.023.121% due 11/25/2034 335 272 0.015.250% due 02/20/2036 689 461 0.01Credit Suisse Mortgage Capital Certificates0.330% due 02/15/2022 6,952 6,587 0.21CS First Boston Mortgage Securities Corp.2.028% due 05/25/2032 1 1 0.00CW Capital Cobalt Ltd.5.334% due 04/15/2047 5,104 5,272 0.17FDIC Structured Sale Guaranteed Notes2.980% due 12/06/2020 11,200 11,194 0.36Fosse Master Issuer PLC2.259% due 10/18/2054 £ 7,700 12,086 0.392.369% due 10/18/2054 7,700 12,096 0.392.378% due 10/18/2054 € 15,400 20,627 0.66Granite Master Issuer PLC0.351% due 12/17/2054 $ 2,753 2,563 0.080.401% due 12/20/2054 13,818 12,864 0.41Greenpoint Mortgage Funding Trust0.341% due 10/25/2046 770 714 0.020.341% due 01/25/2047 164 157 0.01Greenpoint Mortgage Pass-Through Certificates3.117% due 10/25/2033 1,129 973 0.03Greenwich Capital Commercial Funding Corp.4.799% due 08/10/2042 100 106 0.005.444% due 03/10/2039 500 527 0.02GSR Mortgage Loan Trust2.825% due 09/25/2035 1,789 1,716 0.065.193% due 11/25/2035 6,785 6,624 0.21Harborview Mortgage Loan Trust0.481% due 05/19/2035 107 70 0.002.960% due 07/19/2035 285 228 0.01Indymac Index Mortgage Loan Trust0.501% due 04/25/2035 1,136 774 0.02JPMorgan Chase Commercial Mortgage

Securities Corp.4.879% due 01/12/2038 1,500 1,590 0.055.882% due 02/15/2051 400 424 0.01MASTR Adjustable Rate Mortgages Trust2.899% due 11/21/2034 12,150 11,398 0.37MASTR Asset Securitization Trust5.500% due 09/25/2033 139 143 0.00Mellon Residential Funding Corp.0.740% due 06/15/2030 283 276 0.01Merrill Lynch Countrywide Commercial

Mortgage Trust5.485% due 03/12/2051 400 409 0.01Merrill Lynch Mortgage Investors, Inc.0.471% due 02/25/2036 248 192 0.01MLCC Mortgage Investors, Inc.0.511% due 11/25/2035 59 51 0.00Morgan Stanley Capital I0.321% due 10/15/2020 1,603 1,542 0.055.809% due 12/12/2049 200 214 0.01

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Prime Mortgage Trust0.661% due 02/25/2019 $ 5 $ 5 0.000.661% due 02/25/2034 38 35 0.00Residential Accredit Loans, Inc.1.688% due 09/25/2045 1,305 816 0.03Residential Funding Mortgage Securities I3.274% due 09/25/2035 450 329 0.016.500% due 03/25/2032 32 33 0.00Salomon Brothers Mortgage Securities VII, Inc.4.000% due 12/25/2018 139 142 0.00Sequoia Mortgage Trust0.661% due 10/20/2027 34 32 0.00Storm BV1.822% due 03/22/2052 € 1,774 2,358 0.08Structured Adjustable Rate Mortgage Loan Trust2.633% due 01/25/2035 $ 3,154 2,546 0.08Structured Asset Mortgage Investments, Inc.0.391% due 03/25/2037 766 473 0.020.511% due 07/19/2035 108 78 0.00Thornburg Mortgage Securities Trust0.361% due 03/25/2037 849 830 0.020.371% due 11/25/2046 267 263 0.010.381% due 10/25/2046 2,798 2,774 0.090.941% due 04/25/2043 17 16 0.00Wachovia Bank Commercial Mortgage Trust0.351% due 09/15/2021 1,836 1,789 0.06WaMu Mortgage Pass-Through Certificates1.728% due 06/25/2042 54 46 0.001.728% due 08/25/2042 96 87 0.002.904% due 02/27/2034 181 186 0.013.163% due 09/25/2046 347 262 0.01Washington Mutual MSC Mortgage Pass-

Through Certificates2.766% due 02/25/2033 1 1 0.00Wells Fargo Mortgage-Backed Securities Trust2.844% due 06/25/2035 8,984 8,663 0.283.425% due 03/25/2036 667 593 0.023.426% due 03/25/2036 3,713 3,215 0.104.911% due 01/25/2035 352 355 0.014.967% due 12/25/2034 236 231 0.01

150,195 4.82


Access Group, Inc.1.588% due 10/27/2025 2,270 2,322 0.08ACE Securities Corp.0.321% due 10/25/2036 79 28 0.00Amortizing Residential Collateral Trust0.841% due 07/25/2032 20 19 0.00Asset-Backed Funding Certificates0.321% due 01/25/2037 24 23 0.00Bear Stearns Asset-Backed Securities Trust0.321% due 01/25/2037 411 374 0.011.261% due 10/25/2037 882 585 0.02Carrington Mortgage Loan Trust0.361% due 06/25/2037 359 325 0.01Citigroup Mortgage Loan Trust, Inc.0.301% due 12/25/2036 305 294 0.01Countrywide Asset-Backed Certificates0.341% due 06/25/2037 16 16 0.000.371% due 10/25/2046 11 10 0.000.521% due 05/25/2036 635 552 0.020.741% due 12/25/2031 41 22 0.00Credit Suisse First Boston Mortgage Securities Corp.0.881% due 01/25/2032 31 26 0.00DaimlerChrysler Auto Trust1.745% due 09/10/2012 135 135 0.00Ford Credit Auto Owner Trust1.210% due 01/15/2012 112 112 0.00Fremont Home Loan Trust0.321% due 01/25/2037 62 57 0.00GE-WMC Mortgage Securities LLC0.301% due 08/25/2036 9 4 0.00Globaldrive BV1.813% due 02/20/2016 € 2,243 3,012 0.09

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

2.413% due 04/20/2018 € 8,493 $ 11,482 0.374.000% due 10/20/2016 407 553 0.02GSAMP Trust0.331% due 12/25/2036 $ 158 116 0.00HSBC Asset Loan Obligation0.321% due 12/25/2036 235 215 0.01HSI Asset Securitization Corp. Trust0.311% due 12/25/2036 514 490 0.02Landmark CDO Ltd.0.759% due 01/15/2016 3,275 3,111 0.10Long Beach Mortgage Loan Trust0.541% due 10/25/2034 17 14 0.000.761% due 06/25/2035 669 666 0.02Magnolia Funding Ltd.3.000% due 04/20/2017 € 1,213 1,622 0.05Morgan Stanley ABS Capital I0.301% due 01/25/2037 $ 102 99 0.000.311% due 11/25/2036 18 19 0.00Nelnet Student Loan Trust0.353% due 06/22/2017 138 137 0.01Panhandle-Plains Higher Education Authority, Inc.1.490% due 10/01/2035 6,200 6,247 0.20Park Place Securities, Inc.0.573% due 10/25/2034 151 149 0.01SC Germany Auto1.872% due 08/12/2019 € 1,126 1,520 0.05Securitized Asset-Backed Receivables LLC Trust0.321% due 12/25/2036 $ 172 66 0.00SLM Student Loan Trust0.288% due 10/25/2016 126 126 0.010.538% due 07/25/2013 105 105 0.000.588% due 01/25/2015 78 78 0.000.788% due 10/25/2017 8,600 8,605 0.281.105% due 10/25/2023 € 9,900 12,357 0.401.910% due 12/15/2017 $ 6,320 6,323 0.20South Carolina Student Loan Corp.0.846% due 03/01/2018 1,394 1,371 0.051.046% due 03/02/2020 2,000 1,986 0.061.296% due 09/03/2024 1,000 991 0.03Specialty Underwriting & Residential Finance0.321% due 01/25/2038 324 305 0.01Truman Capital Mortgage Loan Trust0.601% due 01/25/2034 7 7 0.00

66,676 2.14

SOVEREIGN ISSUES

Brazil Government International Bond7.875% due 03/07/2015 100 120 0.01Brazil Notas do Tesouro Nacional Series F10.000% due 01/01/2012 BRL 54 32 0.0010.000% due 01/01/2017 1,100 608 0.02Canada Housing Trust No. 12.450% due 12/15/2015 CAD 42,200 42,018 1.35Korea Development Bank3.250% due 03/09/2016 $ 9,800 9,552 0.318.000% due 01/23/2014 2,000 2,285 0.07Korea Housing Finance Corp.4.125% due 12/15/2015 4,300 4,345 0.14Mexico Government International Bond4.250% due 07/14/2017 € 3,800 5,098 0.16Societe Financement de l’Economie Francaise0.489% due 07/16/2012 $ 1,000 1,003 0.032.125% due 05/20/2012 € 800 1,089 0.042.375% due 03/26/2012 $ 400 407 0.01

66,557 2.14

SHARES


Bank of America Corp.7.250% due 12/31/2049 1,685 1,612 0.05Wells Fargo & Co.7.500% due 12/31/2049 1,639 1,640 0.05

3,252 0.10



DESCRIPTION SHARES

FAIRVALUE(000S)

% OFNET

ASSETS


Citigroup, Inc.6.150% due 12/15/2012 345,000 $ 4,501 0.15

PAR(000S)


Bank of Nova Scotia0.589% due 10/18/2012 $ 9,400 9,400 0.30Intesa Sanpaolo2.375% due 12/21/2012 9,400 9,439 0.30

18,839 0.60



(Dated 12/28/2010.Collateralised by USTreasury Notes 3.625%due 08/15/2019 valued at$69,050. Repurchaseproceeds are $67,402.) 67,400 67,400 2.16

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

0.170% due 01/13/2011(Dated 12/22/2010.Collateralised by USTreasury Bonds 3.875%due 04/15/2029 valued at$82,906. Repurchaseproceeds are $81,008.) $ 81,000 $ 81,000 2.60

0.250% due 01/03/2011(Dated 12/31/2010.Collateralised by USTreasury Notes 3.625%due 02/15/2020 valued at$34,860. Repurchaseproceeds are $34,001.) 34,000 34,000 1.09


(Dated 12/17/2010.Collateralised by USTreasury Notes 5.000% due08/15/2011 valued at$11,767. Repurchaseproceeds are $11,301.) 11,300 11,300 0.36

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS


(Dated 12/31/2010.Collateralised by USTreasury Notes 1.250%due 10/31/2015 valuedat $157,335.Repurchase proceedsare $153,504.) $ 153,500 $ 153,500 4.92

347,200 11.13Total Transferable Securities &Money Market Instruments -Official Stock Exchange/RegulatedMarket $ 2,894,537 92.82



FUTURES


Month# of

Contracts


% ofNet Assets

90-Day Eurodollar December Futures Long 12/2011 139 $ (60) 0.0090-Day Eurodollar December Futures Long 12/2012 2,039 (3,965) (0.13)90-Day Eurodollar June Futures Long 06/2011 434 167 0.0190-Day Eurodollar June Futures Long 06/2012 290 (321) (0.01)90-Day Eurodollar June Futures Long 06/2013 3 (4) 0.0090-Day Eurodollar March Futures Long 03/2011 965 157 0.0190-Day Eurodollar March Futures Long 03/2012 614 (238) (0.01)90-Day Eurodollar March Futures Long 03/2013 1,752 (3,974) (0.13)90-Day Eurodollar September Futures Long 09/2011 182 80 0.0090-Day Eurodollar September Futures Long 09/2012 167 (242) (0.01)90-Day Eurodollar September Futures Long 09/2013 9 (14) 0.00United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures Long 12/2011 15 (8) 0.00United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures Long 06/2012 15 (15) 0.00United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures Long 03/2012 15 (11) 0.00United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures Long 09/2012 15 (19) 0.00

$ (8,467) (0.27)

WRITTEN OPTIONS

DescriptionExercise

PriceExpiration

Date# of


Value% of

Net Assets

Call - CBOT US Treasury 10-Year Note February Futures $ 129.000 01/21/2011 173 $ (70) $ (3) 0.00Call - IMM Eurodollar September Futures 99.375 09/19/2011 159 (61) (93) (0.01)Put - CBOT US Treasury 10-Year Note February Futures 124.000 01/21/2011 173 (86) (627) (0.02)Put - IMM Eurodollar September Futures 99.375 09/19/2011 159 (105) (66) 0.00

$ (322) $ (789) (0.03)Total Financial Derivative Instruments Dealt in on a Regulated Market $ (9,256) (0.30)



WRITTEN OPTIONS


ExerciseRate

ExpirationDate


FairValue

% ofNet Assets


Put - OTC Dow Jones iTraxx Europe Series 14 BNP Buy 1.300% 01/19/2011 € 6,600 $ (25) $ (5) 0.00Call - OTC Dow Jones iTraxx Europe Series 14 MSC Sell 0.900% 03/16/2011 6,800 (21) (16) 0.00Put - OTC Dow Jones iTraxx Europe Series 14 MSC Buy 1.600% 03/16/2011 6,800 (55) (12) 0.00Put - OTC Dow Jones iTraxx Europe Series 14 UBS Buy 1.300% 01/19/2011 9,800 (36) (7) 0.00Call - OTC Dow Jones CDX N.A. IG15 Index BNP Sell 0.800% 03/16/2011 $ 17,200 (38) (35) 0.00Put - OTC Dow Jones CDX N.A. IG15 Index BNP Buy 1.300% 03/16/2011 17,200 (46) (17) 0.00Call - OTC Dow Jones CDX N.A. IG15 Index MSC Sell 0.800% 01/19/2011 5,000 (8) (4) 0.00Call - OTC Dow Jones CDX N.A. IG15 Index MSC Sell 0.900% 03/16/2011 6,800 (15) (28) 0.00Put - OTC Dow Jones CDX N.A. IG15 Index MSC Buy 1.500% 03/16/2011 6,800 (37) (4) 0.00

$ (281) $ (128) 0.00


31 December 2010


ExerciseRate

ExpirationDate


FairValue

% ofNet Assets


Put - OTC 3-Year Interest Rate Swap BCLY 3-Month USD-LIBOR Pay 3.000% 06/18/2012 $ 9,500 $ (85) $ (120) 0.00Put - OTC 10-Year Interest Rate Swap BOA 3-Month USD-LIBOR Pay 4.000% 06/13/2011 6,900 (96) (105) 0.00Put - OTC 3-Year Interest Rate Swap BOA 3-Month USD-LIBOR Pay 3.000% 06/18/2012 45,800 (442) (578) (0.02)Put - OTC 2-Year Interest Rate Swap BOA 3-Month USD-LIBOR Pay 2.250% 09/24/2012 25,500 (220) (345) (0.01)Put - OTC 3-Year Interest Rate Swap CITI 3-Month USD-LIBOR Pay 3.000% 06/18/2012 27,400 (301) (346) (0.01)Put - OTC 5-Year Interest Rate Swap CITI 3-Month USD-LIBOR Pay 3.250% 07/16/2012 20,900 (517) (645) (0.02)Put - OTC 10-Year Interest Rate Swap DUB 3-Month USD-LIBOR Pay 4.000% 06/13/2011 3,400 (46) (52) 0.00Put - OTC 3-Year Interest Rate Swap DUB 3-Month USD-LIBOR Pay 2.750% 06/18/2012 38,600 (401) (583) (0.02)Put - OTC 3-Year Interest Rate Swap DUB 3-Month USD-LIBOR Pay 3.000% 06/18/2012 16,300 (177) (206) (0.01)Call - OTC 5-Year Interest Rate Swap GSC 3-Month USD-LIBOR Receive 1.250% 02/14/2011 12,900 (25) 0 0.00Put - OTC 5-Year Interest Rate Swap GSC 3-Month USD-LIBOR Pay 1.800% 02/14/2011 12,900 (59) (307) (0.01)Put - OTC 10-Year Interest Rate Swap GSC 3-Month USD-LIBOR Pay 4.000% 06/13/2011 3,500 (48) (53) 0.00Put - OTC 1-Year Interest Rate Swap GSC 3-Month USD-LIBOR Pay 0.650% 11/14/2011 39,500 (81) (189) (0.01)Put - OTC 3-Year Interest Rate Swap JPM 3-Month USD-LIBOR Pay 3.000% 06/18/2012 16,600 (158) (210) (0.01)Put - OTC 2-Year Interest Rate Swap MSC 3-Month USD-LIBOR Pay 2.250% 09/24/2012 1,200 (8) (16) 0.00Put - OTC 3-Year Interest Rate Swap RBS 3-Month USD-LIBOR Pay 2.750% 06/18/2012 30,400 (298) (459) (0.02)Put - OTC 3-Year Interest Rate Swap RBS 3-Month USD-LIBOR Pay 3.000% 06/18/2012 55,400 (450) (699) (0.02)Put - OTC 5-Year Interest Rate Swap RBS 3-Month USD-LIBOR Pay 3.250% 07/16/2012 6,900 (173) (213) (0.01)Put - OTC 2-Year Interest Rate Swap RBS 3-Month USD-LIBOR Pay 2.250% 09/24/2012 119,000 (1,030) (1,612) (0.05)Call - OTC 5-Year Interest Rate Swap UBS 3-Month USD-LIBOR Receive 1.250% 02/14/2011 40,300 (84) (1) 0.00Put - OTC 5-Year Interest Rate Swap UBS 3-Month USD-LIBOR Pay 1.800% 02/14/2011 40,300 (197) (958) (0.03)

$ (4,896) $ (7,697) (0.25)


ExpirationDate


FairValue

% ofNet Assets

STRADDLE OPTIONS

Call & Put - OTC 1-Year vs. 1-Year Forward Volatility Agreement GSC 0.000 10/11/2011 $ 19,900 $ (105) $ (161) (0.01)Call & Put - OTC 1-Year vs. 1-Year Forward Volatility Agreement JPM 0.000 10/11/2011 18,500 (94) (150) 0.00Call & Put - OTC 1-Year vs. 2-Year Forward Volatility Agreement MSC 0.000 10/11/2011 34,600 (382) (582) (0.02)Call & Put - OTC 1-Year vs. 2-Year Forward Volatility Agreement MSC 0.000 11/14/2011 18,200 (198) (306) (0.01)

$ (779) $ (1,199) (0.04)





FairValue

UpfrontPremiums

Paid/(Received)


% ofNet Assets

Abu Dhabi Government International Bond 1.000% 12/20/2015 MSC $ 5,200 $ 22 $ 2 $ 20 0.00Berkshire Hathaway Finance Corp. 1.000% 03/20/2016 BOA 2,300 (32) (30) (2) 0.00Brazil Government International Bond 1.000% 09/20/2015 CSFB 400 (1) (5) 4 0.00Citigroup, Inc. 1.000% 03/20/2011 BCLY 1,400 2 (6) 8 0.00Citigroup, Inc. 1.000% 09/20/2011 BCLY 400 1 (3) 4 0.00Citigroup, Inc. 1.000% 09/20/2011 GSC 600 2 (3) 5 0.00Citigroup, Inc. 1.000% 06/20/2011 MSC 17,500 44 (78) 122 0.00Citigroup, Inc. 1.000% 09/20/2011 UBS 100 0 (1) 1 0.00France Government Bond 0.250% 12/20/2015 CITI 5,200 (198) (136) (62) 0.00France Government Bond 0.250% 12/20/2015 GSC 10,300 (392) (276) (116) (0.01)Gazprom Via Gaz Capital S.A. 0.860% 11/20/2011 MSC 1,100 0 0 0 0.00General Electric Capital Corp. 0.780% 03/20/2011 BNP 200 0 0 0 0.00General Electric Capital Corp. 1.000% 12/20/2015 BOA 4,400 (66) (88) 22 0.00General Electric Capital Corp. 5.000% 06/20/2011 CITI 2,000 45 (98) 143 0.00General Electric Capital Corp. 1.000% 03/20/2011 DUB 1,100 2 (8) 10 0.00General Electric Capital Corp. 1.500% 09/20/2011 DUB 300 2 0 2 0.00General Electric Capital Corp. 8.000% 03/20/2011 GSC 600 11 0 11 0.00General Electric Capital Corp. 1.000% 09/20/2011 MSC 1,000 4 (15) 19 0.00Indonesia Government International Bond 1.000% 06/20/2011 CITI 2,520 8 1 7 0.00Indonesia Government International Bond 1.000% 06/20/2011 HSBC 840 3 1 2 0.00Indonesia Government International Bond 1.000% 06/20/2011 MSC 2,520 8 6 2 0.00Indonesia Government International Bond 1.000% 06/20/2011 RBS 2,520 8 4 4 0.00Japan Government International Bond 1.000% 03/20/2015 BCLY 4,900 84 48 36 0.00Japan Government International Bond 1.000% 06/20/2015 BCLY 3,700 61 58 3 0.00Japan Government International Bond 1.000% 12/20/2015 BCLY 2,700 41 48 (7) 0.00Japan Government International Bond 1.000% 03/20/2016 BCLY 1,100 16 15 1 0.00Japan Government International Bond 1.000% 12/20/2015 BOA 2,700 41 46 (5) 0.00Japan Government International Bond 1.000% 03/20/2016 BOA 8,400 121 116 5 0.01Japan Government International Bond 1.000% 03/20/2015 DUB 700 12 8 4 0.00Japan Government International Bond 1.000% 09/20/2015 DUB 16,000 252 264 (12) 0.01Japan Government International Bond 1.000% 03/20/2015 GSC 6,000 103 58 45 0.00Japan Government International Bond 1.000% 12/20/2015 MSC 2,800 42 47 (5) 0.00Japan Government International Bond 1.000% 12/20/2015 UBS 2,700 41 44 (3) 0.00Merrill Lynch & Co., Inc. 1.000% 09/20/2011 BNP 1,500 3 (3) 6 0.00Metlife, Inc. 1.000% 09/20/2013 SOG 3,600 (4) (165) 161 0.00Republic of Korea 1.000% 12/20/2015 HSBC 5,200 18 41 (23) 0.00Republic of Korea 1.000% 12/20/2015 MSC 5,500 19 (8) 27 0.00United Kingdom Gilt 1.000% 03/20/2015 CITI 3,100 47 21 26 0.00

$ 370 $ (95) $ 465 0.01






FairValue

UpfrontPremiums

Paid/(Received)


% ofNet Assets

Dow Jones CDX N.A. EM12 Index 5.000% 12/20/2014 BCLY $ 2,400 $ 284 $ 240 $ 44 0.01Dow Jones CDX N.A. EM12 Index 5.000% 12/20/2014 UBS 1,300 154 130 24 0.01Dow Jones CDX N.A. EM13 Index 5.000% 06/20/2015 BCLY 1,200 154 151 3 0.00Dow Jones CDX N.A. EM13 Index 5.000% 06/20/2015 GSC 500 64 62 2 0.00Dow Jones CDX N.A. EM13 Index 5.000% 06/20/2015 HSBC 7,600 973 839 134 0.03Dow Jones CDX N.A. EM13 Index 5.000% 06/20/2015 MSC 1,200 154 136 18 0.01Dow Jones CDX N.A. EM14 Index 5.000% 12/20/2015 BCLY 1,400 193 174 19 0.01Dow Jones CDX N.A. EM14 Index 5.000% 12/20/2015 BOA 100 14 13 1 0.00Dow Jones CDX N.A. EM14 Index 5.000% 12/20/2015 DUB 400 55 49 6 0.00Dow Jones CDX N.A. EM14 Index 5.000% 12/20/2015 HSBC 1,000 138 130 8 0.00Dow Jones CDX N.A. EM14 Index 5.000% 12/20/2015 MSC 500 69 65 4 0.00Dow Jones CDX N.A. HY15 Index 5.000% 12/20/2015 CITI 11,000 342 282 60 0.01Dow Jones CDX N.A. IG9 Index 0.708% 12/20/2012 DUB 1,833 23 1 22 0.00Dow Jones CDX N.A. IG15 Index 1.000% 12/20/2015 BOA 42,000 306 (107) 413 0.01Dow Jones CDX N.A. IG15 Index 1.000% 12/20/2015 CITI 3,500 26 (14) 40 0.00Dow Jones CDX N.A. IG15 Index 1.000% 12/20/2015 DUB 254,200 1,854 528 1,326 0.06Dow Jones CDX N.A. IG15 Index 1.000% 12/20/2015 GSC 2,200 16 (10) 26 0.00

$ 4,819 $ 2,669 $ 2,150 0.15



INTEREST RATE SWAPS



NotionalAmount

FairValue

UpfrontPremiums

Paid/(Received)


% ofNet Assets

Pay 6-Month Australian Bank Bill 6.000% 09/15/2012 UBS AUD 4,000 $ 53 $ 0 $ 53 0.00Pay BRL-CDI-Compounded 10.575% 01/02/2012 UBS BRL 1,700 (18) (31) 13 0.00Pay BRL-CDI-Compounded 10.990% 01/02/2012 GSC 3,600 19 7 12 0.00Pay BRL-CDI-Compounded 10.990% 01/02/2012 MLP 5,700 30 11 19 0.00Pay BRL-CDI-Compounded 11.140% 01/02/2012 HSBC 14,600 136 8 128 0.00Pay BRL-CDI-Compounded 11.140% 01/02/2012 MLP 15,900 148 7 141 0.01Pay BRL-CDI-Compounded 11.360% 01/02/2012 HSBC 4,100 33 18 15 0.00Pay BRL-CDI-Compounded 11.360% 01/02/2012 MLP 27,000 217 54 163 0.01Pay BRL-CDI-Compounded 11.390% 01/02/2012 BNP 5,500 16 0 16 0.00Pay BRL-CDI-Compounded 11.420% 01/02/2012 UBS 3,300 11 0 11 0.00Pay BRL-CDI-Compounded 11.630% 01/02/2012 MSC 3,600 12 (1) 13 0.00Pay BRL-CDI-Compounded 11.980% 01/02/2012 MLP 1,600 31 0 31 0.00Pay BRL-CDI-Compounded 12.080% 01/02/2012 RBS 1,000 6 2 4 0.00Pay BRL-CDI-Compounded 13.845% 01/02/2012 BCLY 18,600 887 (14) 901 0.03Pay BRL-CDI-Compounded 14.765% 01/02/2012 MLP 400 24 2 22 0.00Pay BRL-CDI-Compounded 11.880% 01/02/2013 BNP 2,400 9 0 9 0.00Pay BRL-CDI-Compounded 11.880% 01/02/2013 HSBC 2,800 8 (2) 10 0.00Pay BRL-CDI-Compounded 11.890% 01/02/2013 GSC 11,800 51 3 48 0.00Pay BRL-CDI-Compounded 11.890% 01/02/2013 HSBC 11,700 50 25 25 0.00Pay BRL-CDI-Compounded 11.900% 01/02/2013 MLP 18,000 66 41 25 0.00Pay BRL-CDI-Compounded 11.950% 01/02/2013 RBS 900 0 1 (1) 0.00Pay BRL-CDI-Compounded 11.955% 01/02/2013 RBC 1,000 0 1 (1) 0.00Pay BRL-CDI-Compounded 11.980% 01/02/2013 MSC 3,600 19 6 13 0.00Pay BRL-CDI-Compounded 12.070% 01/02/2013 JPM 16,500 39 7 32 0.00Pay BRL-CDI-Compounded 12.070% 01/02/2013 UBS 1,500 10 4 6 0.00Pay BRL-CDI-Compounded 12.170% 01/02/2013 JPM 1,500 12 6 6 0.00Pay BRL-CDI-Compounded 12.180% 01/02/2013 RBC 27,400 225 25 200 0.01Pay BRL-CDI-Compounded 12.300% 01/02/2013 HSBC 24,200 240 25 215 0.01Pay BRL-CDI-Compounded 12.480% 01/02/2013 CSFB 33,000 249 16 233 0.01Pay BRL-CDI-Compounded 12.590% 01/02/2013 MSC 39,000 344 2 342 0.01Pay BRL-CDI-Compounded 12.800% 01/02/2013 BNP 13,900 158 0 158 0.01Pay BRL-CDI-Compounded 12.830% 01/02/2013 HSBC 14,600 170 0 170 0.01Pay BRL-CDI-Compounded 11.890% 01/02/2014 MSC 15,200 7 0 7 0.00Pay BRL-CDI-Compounded 11.990% 01/02/2014 BCLY 1,000 5 5 0 0.00Pay BRL-CDI-Compounded 12.110% 01/02/2014 BNP 1,600 11 0 11 0.00Pay BRL-CDI-Compounded 12.200% 01/02/2014 JPM 3,500 30 (1) 31 0.00Pay BRL-CDI-Compounded 12.250% 01/02/2014 UBS 1,700 16 4 12 0.00Pay BRL-CDI-Compounded 12.540% 01/02/2014 HSBC 800 11 5 6 0.00Pay BRL-CDI-Compounded 12.560% 01/02/2014 BNP 25,700 265 0 265 0.01

$ 3,600 $ 236 $ 3,364 0.12


31 December 2010


Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Buy AUD 2,700 BNP 01/2011 $ 89 $ 0 $ 89 0.01Buy 5,524 RBS 01/2011 386 0 386 0.01Buy BRL 25,621 CITI 03/2011 217 0 217 0.01Buy 186 BOA 09/2011 6 0 6 0.00Buy CAD 503 BNP 02/2011 12 0 12 0.00Buy 3,713 BOA 02/2011 69 0 69 0.00Buy 38,654 DUB 02/2011 487 0 487 0.02Sell CHF 4,106 RBC 02/2011 0 (270) (270) (0.01)Buy CNY 21,651 BCLY 04/2011 32 0 32 0.00Buy 10,816 CSFB 04/2011 16 0 16 0.00Buy 22,165 DUB 04/2011 80 0 80 0.01Buy 7,205 HSBC 04/2011 10 0 10 0.00Buy 5,404 JPM 04/2011 7 0 7 0.00Buy 689 BCLY 11/2011 0 (1) (1) 0.00Buy 4,144 CITI 11/2011 4 0 4 0.00Buy 2,568 JPM 11/2011 0 (2) (2) 0.00Buy € 500 BCLY 01/2011 6 0 6 0.00Sell 688 BCLY 01/2011 0 (17) (17) 0.00Sell 200 BNP 01/2011 0 (4) (4) 0.00Buy 2,431 BOA 01/2011 10 0 10 0.00Buy 139 CITI 01/2011 0 (7) (7) 0.00Sell 83,964 CITI 01/2011 2,494 (96) 2,398 0.08Buy 264 CSFB 01/2011 0 (13) (13) 0.00Sell 11,009 CSFB 01/2011 0 (108) (108) (0.01)Buy 1,226 DUB 01/2011 16 0 16 0.00Sell 8,791 DUB 01/2011 418 (2) 416 0.01Buy 551 MSC 01/2011 0 (19) (19) 0.00Sell 300 MSC 01/2011 0 (5) (5) 0.00Sell 400 RBC 01/2011 25 0 25 0.00Buy 350 RBS 01/2011 0 (15) (15) 0.00Sell 767 RBS 01/2011 4 (20) (16) 0.00Sell 2,900 UBS 01/2011 0 (66) (66) 0.00Sell £ 7,211 BCLY 03/2011 0 (38) (38) 0.00Sell 7,211 DUB 03/2011 0 (36) (36) 0.00Sell 4,808 RBS 03/2011 0 (7) (7) 0.00Buy IDR 12,950,727 CITI 04/2011 0 0 0 0.00Buy 4,615,000 JPM 04/2011 9 0 9 0.00Buy 6,425,000 CITI 07/2011 0 (3) (3) 0.00Buy 1,567,400 HSBC 07/2011 2 0 2 0.00Buy 3,353,000 JPM 07/2011 1 0 1 0.00Buy 6,502,000 DUB 10/2011 0 (1) (1) 0.00Buy 13,725,700 RBS 10/2011 0 (9) (9) 0.00Buy ILS 4,076 DUB 05/2011 32 0 32 0.00Buy JPY 66,120 BCLY 01/2011 21 0 21 0.00Buy 176,225 CITI 01/2011 80 0 80 0.00Buy 405,827 CSFB 01/2011 185 0 185 0.01Sell 521,861 GSC 01/2011 0 (235) (235) (0.01)Buy 39,519 JPM 01/2011 9 0 9 0.00Buy 125,776 RBC 01/2011 50 0 50 0.00Sell 310,631 RBC 01/2011 0 (141) (141) 0.00Buy 10,008 RBS 01/2011 4 0 4 0.00Sell 621,263 RBS 01/2011 0 (269) (269) (0.01)Buy 256,774 UBS 01/2011 52 0 52 0.00Sell KRW 8,980,506 JPM 01/2011 0 (223) (223) (0.01)Buy 8,980,506 MSC 01/2011 107 (5) 102 0.00Buy 610,700 BCLY 05/2011 0 (4) (4) 0.00Buy 569,150 BOA 05/2011 4 0 4 0.00Buy 2,931,520 CITI 05/2011 1 (14) (13) 0.00Buy 578,979 GSC 05/2011 0 (3) (3) 0.00Buy 307,000 HSBC 05/2011 0 (1) (1) 0.00Buy 12,537,996 JPM 05/2011 249 (11) 238 0.01Buy 2,019,834 MSC 05/2011 0 (9) (9) 0.00Buy 616,000 RBS 05/2011 2 0 2 0.00Buy 1,858,400 UBS 05/2011 48 0 48 0.00Buy MXN 17,638 BCLY 02/2011 25 0 25 0.00Buy 55,777 BOA 02/2011 163 0 163 0.01Buy 54,691 CITI 02/2011 29 (10) 19 0.00Buy 5,094 DUB 02/2011 12 0 12 0.00Buy 12,497 JPM 02/2011 10 0 10 0.00Buy 143,930 MSC 02/2011 138 (7) 131 0.00Buy 5,093 UBS 02/2011 12 0 12 0.00Buy MYR 2,520 BCLY 02/2011 11 0 11 0.00Buy 890 CITI 02/2011 4 0 4 0.00Buy 1,560 DUB 02/2011 7 0 7 0.00Buy 726 JPM 02/2011 3 0 3 0.00Buy 830 RBS 02/2011 3 0 3 0.00Buy PHP 44,100 CITI 02/2011 14 0 14 0.00Buy 44,060 JPM 02/2011 13 0 13 0.00Buy 42,480 BCLY 04/2011 0 (21) (21) 0.00Buy 47,455 CITI 04/2011 3 (9) (6) 0.00



Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Buy PHP 47,483 JPM 04/2011 $ 4 $ (9) $ (5) 0.00Buy 44,514 BCLY 06/2011 26 0 26 0.00Buy 49,890 CITI 06/2011 1 (17) (16) 0.00Buy 30,247 DUB 06/2011 0 (2) (2) 0.00Buy 100,825 JPM 06/2011 33 (4) 29 0.00Buy 106,091 CITI 11/2011 1 (8) (7) 0.00Buy 28,633 DUB 11/2011 9 0 9 0.00Buy 43,100 JPM 11/2011 0 (7) (7) 0.00Buy SGD 4,332 JPM 01/2011 82 0 82 0.00Sell 4,332 RBS 01/2011 0 (90) (90) 0.00Buy 257 CITI 02/2011 1 0 1 0.00Buy 1,438 HSBC 02/2011 22 0 22 0.00Buy 913 MSC 02/2011 12 0 12 0.00Buy 529 CITI 03/2011 13 0 13 0.00Buy 514 GSC 03/2011 1 0 1 0.00Buy 2,099 HSBC 03/2011 39 0 39 0.00Buy 515 JPM 03/2011 2 0 2 0.00Buy 264 MSC 03/2011 6 0 6 0.00Buy 515 CITI 06/2011 2 0 2 0.00Buy 2,120 DUB 06/2011 28 0 28 0.00Buy 3,387 GSC 06/2011 44 0 44 0.00Buy 901 JPM 06/2011 3 0 3 0.00Buy 4,332 RBS 06/2011 91 0 91 0.01Buy TRY 1,181 BCLY 01/2011 0 (35) (35) 0.00Buy 1,370 CITI 01/2011 0 (12) (12) 0.00Buy 302 CSFB 01/2011 0 (4) (4) 0.00Buy 1,354 HSBC 01/2011 0 (22) (22) 0.00Buy 2,716 JPM 01/2011 0 (40) (40) 0.00Buy TWD 3,835 DUB 01/2011 4 0 4 0.00Sell 11,755 DUB 01/2011 1 0 1 0.00Buy 2,348 JPM 01/2011 4 0 4 0.00Buy 3,614 MSC 01/2011 5 0 5 0.00Buy 1,958 UBS 01/2011 4 0 4 0.00Buy 5,405 BOA 04/2011 12 0 12 0.00Buy 15,555 DUB 04/2011 25 0 25 0.00Buy 5,546 JPM 04/2011 11 0 11 0.00Buy ZAR 38,535 HSBC 01/2011 305 0 305 0.01Buy 760 BCLY 09/2011 11 0 11 0.00Buy 760 MSC 09/2011 11 0 11 0.00

$ 6,504 $ (1,951) $ 4,553 0.15



DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS


Fannie Mae (f)3.500% due 01/01/2041 $ (36,000) $ (34,391) (1.10)4.000% due 01/01/2041 (55,000) (54,725) (1.76)4.500% due 01/01/2041 (47,000) (48,256) (1.55)Freddie Mac4.000% due 01/01/2040(f) (61,000) (60,571) (1.94)

(197,943) (6.35)Total Securities Sold Short $ (197,943) (6.35)Total Investments $ 2,691,656 86.31

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS


BNP Paribas Bank0.080% due 01/03/2011 € 58 $ 78 0.00Brown Brothers Harriman & Co.3.890% due 01/04/2011 AUD 1 1 0.00Deutsche Bank AG0.150% due 01/04/2011 CAD 236 237 0.01JPMorgan Chase & Co.0.068% due 01/04/2011 £ 738 1,156 0.04Nordea Bank AB0.030% due 01/03/2011 $ 3,361 3,361 0.11Total Overnight Time Deposits $ 4,833 0.16Other Current Assets & Liabilities $ 421,944 13.53Net Assets $ 3,118,433 100.00


31 December 2010


(a) The Low Average Duration Fund is investing in Class Z Income Shares of an affiliated Fund.



(d) Cash with an aggregate value of $930 has been pledged as collateral for delayed-delivery securities as at 31 December 2010.

(e) Cash of $2,880 has been pledged as collateral for swap, swaption and foreign currency contracts as at 31 December 2010 as governed by International Swaps and Derivative Association, Inc.Master Agreements.




Category3




(Level 2)



Transferable Securities $ 313,689 $ 2,539,133 $ 22,876 $ 2,875,698Deposits with Credit Institutions 0 18,839 0 18,839Financial Derivative Instruments4 (9,256) 5,517 (1,199) (4,938)Short Sales 0 (197,943) 0 (197,943)Totals $ 304,433 $ 2,365,546 $ 21,677 $ 2,691,656


Category3

StartingBalance

at 31-Dec-2009Net

Purchases5Net

Sales5


RealisedGains/

(Losses)




Level 3

EndingBalance

at 31-Dec-2010




Transferable Securities $ 15,745 $ 11,186 $ (1,224) $ (35) $ 50 $ 249 $ (3,095) $ 22,876 $ 52Financial Derivative Instruments4 0 (779) 0 0 0 (420) 0 (1,199) (420)Totals $ 15,745 $ 10,407 $ (1,224) $ (35) $ 50 $ (171) $ (3,095) $ 21,677 $ (368)


Category3




(Level 2)



Transferable Securities $ 2,986 $ 1,583,407 $ 15,745 $ 1,602,138Deposits with Credit Institutions 0 9,324 0 9,324Financial Derivative Instruments4 (671) 1,327 0 656Short Sales 0 (118,617) 0 (118,617)Totals $ 2,315 $ 1,475,441 $ 15,745 $ 1,493,501


Category2

StartingBalance

at 31-Dec-2008Net

Purchases5Net

Sales5


RealisedGains/

(Losses)




Level 3

EndingBalance

at 31-Dec-2009




Transferable Securities $ 0 $ 12,700 $ 0 $ 5 $ 0 $ 95 $ 2,945 $ 15,745 $ 403Financial Derivative Instruments 4 134 0 (17) 0 11 (63) (65) 0 0Total $ 134 $ 12,700 $ (17) $ 5 $ 11 $ 32 $ 2,880 $ 15,745 $ 403







Type Currency



MonthUnrealised


(Depreciation)

NetUnrealised


% ofNet Assets

Buy € 7,999 BCLY 01/2011 $ 177 $ 0 $ 177 0.01Sell 16,301 BCLY 01/2011 0 (394) (394) (0.01)Buy 35,585 CITI 01/2011 1,104 0 1,104 0.04Sell 355,721 CITI 01/2011 0 (4,550) (4,550) (0.15)Buy 1,935 CSFB 01/2011 38 0 38 0.00Buy 1,120 DUB 01/2011 45 0 45 0.00Sell 3,896 JPM 01/2011 0 (29) (29) 0.00Buy 735 MSC 01/2011 2 0 2 0.00Sell 12,599 MSC 01/2011 0 (41) (41) 0.00Buy 642,715 RBS 01/2011 21,473 0 21,473 0.69Sell 283,773 RBS 01/2011 0 (3,760) (3,760) (0.12)Sell 17,929 UBS 01/2011 0 (278) (278) (0.01)Buy 344,502 CITI 02/2011 4,193 0 4,193 0.13Buy 290 DUB 02/2011 4 0 4 0.00Sell 1,226 DUB 02/2011 0 (16) (16) 0.00Buy 283,773 RBS 02/2011 3,755 0 3,755 0.12

$ 30,791 $ (9,068) $ 21,723 0.70


Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Buy £ 1,500 BCLY 01/2011 $ 39 $ 0 $ 39 0.00Sell 13,385 BCLY 01/2011 0 (259) (259) (0.01)Buy 10,112 BNP 01/2011 0 (140) (140) (0.01)Buy 1,700 CITI 01/2011 27 0 27 0.00Buy 7,100 CSFB 01/2011 0 (97) (97) 0.00Buy 10,612 DUB 01/2011 4 (143) (139) 0.00Buy 13,413 JPM 01/2011 64 (5) 59 0.00Buy 6,531 MSC 01/2011 35 0 35 0.00Buy 12,003 RBS 01/2011 60 0 60 0.00Sell 115 RBS 01/2011 0 (3) (3) 0.00Buy 1,175 UBS 01/2011 5 (8) (3) 0.00Sell 291 CITI 02/2011 0 (7) (7) 0.00Buy 13,385 BCLY 03/2011 259 0 259 0.01

$ 493 $ (662) $ (169) (0.01)


Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Sell ILS 1,207 BCLY 05/2011 $ 0 $ (1) $ (1) 0.00Buy 7,466 BNP 05/2011 62 0 62 0.00Sell 5,334 BNP 05/2011 0 (35) (35) 0.00Sell 6,800 CITI 05/2011 0 (22) (22) 0.00Buy 3,609 HSBC 05/2011 27 0 27 0.00Sell 4,320 HSBC 05/2011 0 (23) (23) 0.00Buy 171,916 RBS 05/2011 1,064 0 1,064 0.03

$ 1,153 $ (81) $ 1,072 0.03


Significant Changes in Portfolio Composition Low Average Duration Fund (Unaudited)31 December 2010

DESCRIPTIONPAR

(000S)COST(000S)


US Treasury Notes0.500% due 11/15/2013 $ 2,288,700 $ 2,271,332US Treasury Notes0.500% due 10/15/2013 1,981,069 1,977,731US Treasury Notes0.750% due 09/15/2013 1,900,500 1,912,457US Treasury Notes0.375% due 08/31/2012 1,550,600 1,548,649

SHARES


PAR(000S)

US Treasury Notes0.875% due 02/29/2012 $ 424,700 424,201US Treasury Notes1.000% due 07/15/2013 255,900 257,096US Treasury Notes0.750% due 05/31/2012 247,700 247,731US Treasury Notes0.625% due 07/31/2012 222,300 223,147US Treasury Bills0.000% due 10/28/2010 208,822 208,783US Treasury Notes0.375% due 09/30/2012 191,200 191,276US Treasury Notes3.125% due 04/30/2017 164,000 163,879US Treasury Bills0.875% due 01/31/2012 163,500 163,442US Treasury Notes1.375% due 05/15/2013 160,600 161,108US Treasury Bills0.200% due 12/09/2010 148,300 148,147US Treasury Bills0.055% due 07/08/2010 142,800 142,763US Treasury Notes0.750% due 08/15/2013 133,100 134,059Fannie Mae4.500% due 03/01/2040 115,718 121,103Fannie Mae0.240% due 11/08/2010 106,000 105,891Fannie Mae4.500% due 04/01/2040 92,113 96,447US Treasury Notes1.125% due 06/15/2013 90,500 90,748US Treasury Bills0.063% due 08/05/2010 88,400 88,367US Treasury Notes0.625% due 06/30/2012 87,800 87,896Fannie Mae0.750% due 12/18/2013 86,300 86,227US Treasury Bills0.000% due 10/21/2010 83,800 83,777US Treasury Bills1.000% due 12/31/2011 81,000 81,310US Treasury Notes1.875% due 08/31/2017 78,800 77,815

DESCRIPTIONPAR

(000S)PROCEEDS

(000S)


US Treasury Notes0.500% due 11/15/2013 $ 2,288,700 $ 2,269,024US Treasury Notes0.500% due 10/15/2013 1,980,938 1,975,632US Treasury Notes0.750% due 09/15/2013 1,843,200 1,854,556US Treasury Notes0.375% due 08/31/2012 1,550,600 1,549,178US Treasury Notes0.875% due 02/29/2012 424,700 423,989

SHARES

PIMCO US Dollar Short-Term Floating NAV Fund (a) 38,007,459 380,004PAR

(000S)

US Treasury Notes0.750% due 05/31/2012 $ 247,700 248,311US Treasury Notes0.625% due 07/31/2012 222,300 223,382US Treasury Bills0.000% due 10/28/2010 208,822 208,795US Treasury Notes0.375% due 09/30/2012 191,200 191,289US Treasury Notes1.000% due 08/31/2011 185,200 186,066US Treasury Notes3.125% due 04/30/2017 164,000 176,594US Treasury Notes1.375% due 05/15/2013 160,600 163,521US Treasury Bills0.875% due 01/31/2012 163,500 163,499US Treasury Bills0.200% due 12/09/2010 148,300 148,184US Treasury Bills0.055% due 07/08/2010 142,800 142,784US Treasury Notes0.750% due 08/15/2013 129,000 129,099US Treasury Notes1.000% due 07/15/2013 121,500 122,227Fannie Mae4.500% due 03/01/2040 114,541 118,848Fannie Mae0.240% due 11/08/2010 112,000 111,989Fannie Mae4.500% due 04/01/2040 91,158 95,031US Treasury Bills0.063% due 08/05/2010 88,400 88,374US Treasury Notes0.625% due 06/30/2012 87,800 88,019US Treasury Bills0.000% due 10/21/2010 83,800 83,780US Treasury Bills1.000% due 12/31/2011 81,000 81,356US Treasury Notes1.125% due 06/15/2013 78,600 79,209US Treasury Notes1.875% due 08/31/2017 78,800 77,618US Treasury Bills0.215% due 08/26/2010 75,360 75,348US Treasury Notes2.500% due 04/30/2015 67,900 70,889

(a) The Low Average Duration Fund is investing in Class Z Income Shares of an affiliatedFund.




Portfolio of Investments and Assets Mortgage-Backed Securities Fund

DESCRIPTION SHARES

FAIRVALUE(000S)

% OFNET

ASSETS


IRELAND

PIMCO US Dollar Short-TermFloating NAV Fund (a) 30,444 $ 304 0.50

PAR(000S)

UNITED STATES


Bank of America Credit Card Trust1.460% due 12/16/2013 $ 404 406 0.67Ford Credit Auto Owner Trust1.680% due 06/15/2012 671 673 1.10GSAA Trust0.561% due 03/25/2037 606 340 0.56Lehman XS Trust0.491% due 06/25/2046 (b) 71 7 0.010.581% due 11/25/2046 200 44 0.07Morgan Stanley Mortgage Loan Trust0.491% due 02/25/2037 167 78 0.130.621% due 04/25/2037 802 399 0.65RAAC Series0.661% due 06/25/2047 200 91 0.15SLM Student Loan Trust1.788% due 04/25/2023 1,484 1,534 2.51Structured Asset Securities Corp.0.311% due 10/25/2036 32 32 0.05

3,604 5.90


American Home Mortgage Investment Trust0.501% due 05/25/2047 192 29 0.05Bank of America Funding Corp.0.551% due 05/20/2035 181 109 0.18Bear Stearns Alternative-A Trust4.720% due 08/25/2036 (b) 568 181 0.30Citimortgage Alternative Loan Trust0.000% due 09/25/2036 (c) 127 71 0.12Countrywide Alternative Loan Trust0.461% due 07/20/2046 120 57 0.090.491% due 08/25/2046 107 23 0.040.511% due 09/25/2046 200 39 0.060.511% due 10/25/2046 116 43 0.070.521% due 07/25/2046 200 38 0.060.531% due 05/25/2036 111 23 0.040.541% due 09/20/2046 200 44 0.070.601% due 10/25/2046 200 18 0.030.611% due 06/25/2037 175 34 0.060.631% due 11/25/2035 40 10 0.020.681% due 12/25/2035 64 26 0.04Countrywide Home Loan Mortgage Pass-Through Trust0.561% due 04/25/2046 126 33 0.050.601% due 03/25/2036 71 23 0.04

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

0.611% due 02/25/2036 $ 73 $ 22 0.045.185% due 03/25/2037 333 205 0.33Credit Suisse Mortgage Capital Certificates0.330% due 02/15/2022 2,008 1,903 3.12Greenpoint Mortgage Funding Trust0.461% due 10/25/2046 (b) 195 51 0.080.461% due 12/25/2046 200 47 0.080.531% due 04/25/2036 109 23 0.040.581% due 09/25/2046 200 8 0.010.601% due 10/25/2046 200 31 0.05GSR Mortgage Loan Trust0.521% due 08/25/2046 142 30 0.05Harborview Mortgage Loan Trust0.511% due 09/19/2046 96 18 0.03Indymac INDB Mortgage Loan Trust0.561% due 11/25/2035 186 92 0.15Indymac Index Mortgage Loan Trust0.461% due 11/25/2046 (b) 196 49 0.080.511% due 02/25/2037 200 55 0.090.561% due 06/25/2037 (b) 350 139 0.23JPMorgan Chase Commercial Mortgage Securities Corp.0.635% due 07/15/2019 1,662 1,554 2.55MASTR Adjustable Rate Mortgages Trust0.561% due 05/25/2047 200 70 0.110.601% due 05/25/2047 200 29 0.05Merrill Lynch Floating Rate Trust0.802% due 07/09/2021 1,500 1,449 2.37MLCC Mortgage Investors, Inc.2.106% due 01/25/2029 91 88 0.14Mortgage Equity Conversion Asset Trust0.730% due 02/25/2042 220 210 0.340.750% due 01/25/2042 458 436 0.720.750% due 05/25/2042 1,978 1,905 3.120.770% due 10/25/2041 375 356 0.58Opteum Mortgage Acceptance Corp.0.521% due 07/25/2035 255 241 0.40Residential Accredit Loans, Inc.0.461% due 12/25/2046 200 47 0.080.491% due 05/25/2037 152 39 0.060.531% due 05/25/2046 200 37 0.063.449% due 08/25/2035 282 111 0.18Structured Asset Mortgage Investments, Inc.0.561% due 08/25/2036 200 33 0.05Thornburg Mortgage Securities Trust0.941% due 04/25/2043 476 448 0.73WaMu Mortgage Pass-Through Certificates0.481% due 07/25/2046 97 20 0.030.961% due 12/25/2045 170 21 0.041.138% due 07/25/2047 158 105 0.17Washington Mutual Alternative Mortgage

Pass-Through Certificates0.511% due 07/25/2046 48 9 0.021.098% due 04/25/2047 148 39 0.061.168% due 05/25/2047 149 44 0.07

10,765 17.63

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS


Fannie Mae0.500% due 12/18/2027 (d) $ 1,006 $ 17 0.030.761% due 09/25/2034 1,637 1,654 2.711.356% due 05/01/2033 658 670 1.101.542% due 10/01/2044 769 765 1.253.500% due 01/01/2026 2,000 2,014 3.304.000% due 03/01/2025 -

02/01/2041 4,578 4,637 7.594.500% due 08/01/2024 -

08/01/2040 6,784 7,010 11.495.000% due 03/01/2022 -

06/01/2040 7,988 8,437 13.825.500% due 05/01/2037 -

01/01/2040 6,722 7,237 11.846.000% due 12/01/2016 -

05/01/2039 4,779 5,218 8.546.500% due 05/01/2034 -

11/01/2037 4,547 5,142 8.438.000% due 08/01/2023 (d) 163 36 0.068.519% due 04/25/2027 (d) 1,848 439 0.72Freddie Mac0.501% due 07/25/2031 72 63 0.100.541% due 05/25/2030 937 841 1.380.561% due 01/25/2032 844 808 1.320.621% due 10/25/2029 831 812 1.334.000% due 01/01/2040 2,000 1,986 3.254.500% due 01/01/2039 -

05/01/2040 4,000 4,102 6.725.000% due 02/01/2038 -

01/01/2040 1,877 1,970 3.235.500% due 06/01/2035 -

01/01/2040 3,712 3,964 6.506.000% due 07/01/2034 -

09/01/2038 1,883 2,043 3.347.740% due 11/15/2031 (d) 723 135 0.22Ginnie Mae0.361% due 04/20/2036 1,210 1,205 1.970.711% due 10/16/2030 20 20 0.031.352% due 08/20/2058 4,709 4,688 7.684.000% due 02/01/2041 2,000 2,007 3.294.500% due 01/01/2040 3,000 3,115 5.105.000% due 01/01/2039 1,000 1,063 1.745.500% due 01/01/2039 2,000 2,162 3.546.000% due 01/01/2040 1,000 1,100 1.806.500% due 10/15/2033 30 34 0.06Small Business Administration6.220% due 12/01/2028 1,729 1,902 3.12

77,296 126.60





WRITTEN OPTIONS


ExerciseRate

ExpirationDate


FairValue

% ofNet Assets


Call - OTC 10-Year Interest Rate Swap CSFB 3-Month USD-LIBOR Receive 3.250% 01/24/2011 $ 1,100 $ (7) $ (6) (0.01)Put - OTC 10-Year Interest Rate Swap CSFB 3-Month USD-LIBOR Pay 5.000% 01/24/2011 1,100 (11) 0 0.00Call - OTC 10-Year Interest Rate Swap RBS 3-Month USD-LIBOR Receive 3.250% 01/24/2011 200 (1) (1) 0.00Put - OTC 10-Year Interest Rate Swap RBS 3-Month USD-LIBOR Pay 5.000% 01/24/2011 3,200 (32) 0 0.00

$ (51) $ (7) (0.01)


31 December 2010



NotionalAmount(2)

FairValue

UpfrontPremiums

Paid/(Received)


% ofNet Assets

CMBX N.A.AAA.4 Index (0.350%) 02/17/2051 CITI $ 1,000 $ 42 $ 40 $ 2 0.07CMBX N.A.AAA.4 Index (0.350%) 02/17/2051 MSC 3,500 145 381 (236) 0.24

$ 187 $ 421 $ (234) 0.31



INTEREST RATE SWAPS



NotionalAmount

FairValue

UpfrontPremiums


(Depreciation)% of

Net Assets

Pay 3-Month USD-LIBOR 2.750% 12/15/2020 MSC $ 600 $ (32) $ 6 $ (38) (0.05)


Type Currency



MonthUnrealised


(Depreciation)

NetUnrealised

Appreciation% of

Net Assets

Buy € 42 CITI 01/2011 $ 0 $ 0 $ 0 0.00



DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS


Fannie Mae (f)5.500% due 01/01/2041 $ (3,200) $ (3,424) (5.61)6.500% due 01/01/2040 (4,250) (4,723) (7.73)

(8,147) (13.34)




Nordea Bank AB0.030% due 01/03/2011 $ 193 $ 193 0.32Other Current Assets & Liabilities $ (23,108) (37.86)Net Assets $ 61,055 100.00


(a) The Mortgage-Backed Securities Fund is investing in Class Z Income Shares of an affiliated Fund.


(c) Principal only security.

(d) Interest only security.

(e) Cash with an aggregate value of $270 has been pledged as collateral for delayed-delivery securities as at 31 December 2010.




Category3




(Level 2)



Transferable Securities $ 304 $ 88,758 $ 2,907 $ 91,969Financial Derivative Instruments4 0 148 0 148Short Sales 0 (8,147) 0 (8,147)Totals $ 304 $ 80,759 $ 2,907 $ 83,970


Portfolio of Investments and Assets Mortgage-Backed Securities Fund (Cont.)


Category3

StartingBalance at

31-Dec-2009Net

Purchases5Net

Sales5


RealisedGains/

(Losses)




Level 3

EndingBalance at

31-Dec-2010




Transferable Securities $ 7,438 $ 0 $ (4,898) $ 13 $ 383 $ (29) $ 0 $ 2,907 $ 76


Category3




(Level 2)



Transferable Securities $ 0 $ 132,990 $ 7,438 $ 140,428Financial Derivative Instruments4 (5) 1,560 0 1,555Short Sales 0 (8,021) 0 (8,021)Totals $ (5) $ 126,529 $ 7,438 $ 133,962


Category3

StartingBalance

at 31-Dec-2008Net

Purchases5Net

Sales5


RealisedGains/

(Losses)




Level 3

EndingBalance

at 31-Dec-2009




Transferable Securities $ 0 $ 5,500 $ (1,070) $ 5 $ 37 $ 116 $ 2,850 $ 7,438 $ 413





Significant Changes in Portfolio Composition Mortgage-Backed Securities Fund (Unaudited)31 December 2010




PAR(000S)

GS Mortgage Securities Corp. II5.805% due 08/10/2045 $ 38,000 35,422Fannie Mae4.500% due 12/01/2039 8,000 8,032Fannie Mae6.000% due 03/11/2040 7,000 7,449Freddie Mac4.500% due 09/01/2040 6,000 6,215Fannie Mae4.500% due 01/01/2040 6,000 6,022Fannie Mae6.000% due 03/01/2038 5,386 5,738Freddie Mac5.500% due 09/01/2038 5,000 5,368Fannie Mae5.500% due 03/01/2039 4,903 5,175Freddie Mac4.500% due 07/01/2040 5,000 5,077Freddie Mac4.500% due 01/01/2040 5,000 4,977Fannie Mae6.000% due 03/01/2038 4,000 4,241Fannie Mae4.500% due 05/01/2040 4,000 3,982Fannie Mae6.000% due 04/01/2038 3,580 3,796Fannie Mae5.000% due 06/01/2040 3,341 3,444Freddie Mac6.000% due 10/01/2039 3,000 3,205Fannie Mae5.000% due 03/01/2040 3,000 3,112Freddie Mac4.500% due 07/01/2040 3,000 3,061Fannie Mae4.500% due 03/01/2040 3,000 3,019Fannie Mae4.500% due 12/01/2039 3,000 3,008Ginnie Mae4.000% due 07/15/2039 3,000 2,940Federal Home Loan Bank6.000% due 05/15/2036 2,566 2,875Fannie Mae5.000% due 07/01/2039 2,466 2,609US Treasury Notes3.500% due 05/15/2020 2,500 2,589Fannie Mae5.500% due 05/01/2037 2,266 2,382Fannie Mae6.000% due 11/01/2037 2,000 2,119Fannie Mae5.000% due 07/01/2039 2,000 2,113Fannie Mae6.000% due 02/01/2038 1,937 2,100Ginnie Mae4.500% due 01/15/2040 2,000 2,096Fannie Mae5.500% due 06/01/2040 2,000 2,094Fannie Mae4.500% due 04/01/2040 2,000 2,084Fannie Mae4.000% due 06/01/2025 2,000 2,060Ginnie Mae4.500% due 03/15/2040 2,000 2,060Fannie Mae4.500% due 01/06/2040 2,000 2,054Fannie Mae4.000% due 03/01/2025 2,000 2,036Fannie Mae5.500% due 04/01/2036 1,897 1,999

DESCRIPTIONPAR

(000S)COST(000S)

Fannie Mae0.847% due 09/25/2034 $ 1,994 $ 1,975Ginnie Mae4.000% due 03/15/2040 2,000 1,960Federal Home Loan Bank4.500% due 06/01/2039 1,858 1,934Fannie Mae5.000% due 11/01/2038 1,856 1,919Fannie Mae4.500% due 06/01/2040 1,909 1,900Fannie Mae5.000% due 03/01/2030 1,767 1,863Fannie Mae5.500% due 06/01/2038 1,734 1,824US Treasury Notes2.625% due 08/15/2020 1,800 1,800

PROCEEDS(000S)


GS Mortgage Securities Corp. II5.805% due 08/10/2045 53,000 50,177

SHARES


PAR(000S)

Fannie Mae4.500% due 12/01/2039 $ 12,916 12,920Freddie Mac4.500% due 09/01/2039 10,602 10,597Fannie Mae6.000% due 03/11/2040 5,845 6,279Freddie Mac4.500% due 09/01/2040 6,000 6,262Fannie Mae4.500% due 01/01/2040 5,914 5,908Fannie Mae6.000% due 03/01/2038 5,386 5,752Freddie Mac4.500% due 07/01/2040 5,000 5,188Freddie Mac4.500% due 01/01/2040 5,000 5,059Fannie Mae6.000% due 03/01/2038 4,000 4,248Fannie Mae4.500% due 05/01/2040 4,000 4,048Fannie Mae6.000% due 04/01/2038 3,580 3,814Freddie Mac4.000% due 11/01/2039 3,901 3,790Fannie Mae5.000% due 06/01/2040 3,341 3,434Freddie Mac6.000% due 10/01/2039 3,000 3,208Freddie Mac5.500% due 09/01/2038 3,000 3,207Freddie Mac4.500% due 07/01/2040 3,000 3,113Fannie Mae4.500% due 12/01/2039 3,096 3,112Fannie Mae5.000% due 03/01/2040 3,000 3,108Ginnie Mae4.000% due 07/15/2039 2,977 3,031Fannie Mae4.500% due 03/01/2040 2,994 3,024Fannie Mae4.500% due 12/01/2039 2,992 2,989Fannie Mae0.547% due 10/27/2037 3,000 2,963Fannie Mae4.500% due 01/01/2040 2,872 2,908Federal Home Loan Bank6.000% due 05/15/2036 2,566 2,894


Significant Changes in Portfolio Composition Mortgage-Backed Securities Fund (Cont.)

DESCRIPTIONPAR

(000S)PROCEEDS

(000S)


US Treasury Notes3.500% due 05/15/2020 $ 2,500 $ 2,654Fannie Mae5.000% due 07/01/2039 2,370 2,508US Treasury Notes3.000% due 09/30/2016 2,500 2,471Fannie Mae5.500% due 05/01/2037 2,266 2,392Fannie Mae6.000% due 11/01/2037 2,000 2,130Fannie Mae5.000% due 07/01/2039 2,000 2,129Ginnie Mae4.500% due 01/15/2040 2,000 2,119Fannie Mae5.500% due 06/01/2040 2,000 2,100Fannie Mae4.500% due 04/01/2040 2,000 2,099Ginnie Mae4.500% due 03/15/2040 2,000 2,074Fannie Mae4.500% due 01/06/2040 1,998 2,049Fannie Mae4.000% due 03/01/2025 1,966 2,025Citigroup Mortgage Loan Trust, Inc.1.031% due 08/25/2035 2,959 2,012Fannie Mae4.000% due 06/01/2025 1,912 2,003Fannie Mae5.500% due 04/01/2036 1,897 2,001Ginnie Mae4.000% due 03/15/2040 1,997 1,978Ginnie Mae4.500% due 04/15/2039 1,918 1,955Federal Home Loan Bank4.500% due 06/01/39 1,858 1,946US Treasury Notes3.375% due 11/15/2019 1,900 1,926

(a) The Mortgage-Backed Securities Fund is investing in Class Z Income Shares of anaffiliated Fund.




Portfolio of Investments and Assets Socially Responsible Emerging Markets Bond Fund31 December 2010

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS


BARBADOS

Columbus International, Inc.11.500% due 11/20/2014 $ 590 $ 658 0.47

BERMUDA

Noble Group Ltd.6.750% due 01/29/2020 1,100 1,196 0.86

BRAZIL


Banco do Brasil S.A.4.500% due 01/22/2015 550 577 0.426.000% due 01/22/2020 670 725 0.52BM & FBovespa S.A.5.500% due 07/16/2020 600 615 0.44Centrais Eletricas Brasileiras S.A.6.875% due 07/30/2019 200 228 0.16CSN Islands XI Corp.6.875% due 09/21/2019 1,960 2,125 1.53Fibria Overseas Finance Ltd.7.500% due 05/04/2020 500 527 0.38Petrobras International Finance Co.6.875% due 01/20/2040 600 629 0.457.875% due 03/15/2019 1,000 1,186 0.85Vale Overseas Ltd.4.625% due 09/15/2020 400 399 0.29

7,011 5.04

SOVEREIGN ISSUES


6.369% due 06/16/2018 250 273 0.206.500% due 06/10/2019 1,500 1,641 1.18Brazil Government International Bond5.875% due 01/15/2019 1,000 1,112 0.806.000% due 01/17/2017 910 1,037 0.758.250% due 01/20/2034 820 1,097 0.798.750% due 02/04/2025 430 586 0.428.875% due 10/14/2019 270 359 0.268.875% due 04/15/2024 1,150 1,593 1.14Brazil Notas do Tesouro Nacional Series F10.000% due 01/01/2012 BRL 503 296 0.2110.000% due 01/01/2017 10,000 5,497 3.96

13,491 9.71

Total Brazil 20,502 14.75


Gold Fields Orogen Holding BVI Ltd.4.875% due 10/07/2020 $ 600 570 0.41

CAYMAN ISLANDS

Hutchison Whampoa International 09 Ltd.7.625% due 04/09/2019 400 480 0.34Odebrecht Drilling Norbe VIII/IX Ltd.6.350% due 06/30/2021 700 731 0.53Pemex Finance Ltd.10.610% due 08/15/2017 250 304 0.22Peru Enhanced Pass-Through Finance Ltd.0.000% due 05/31/2018 202 165 0.12QNB FINANCE LTD3.125% due 11/16/2015 200 196 0.14

1,876 1.35

CHILE

Banco Santander Chile3.750% due 09/22/2015 800 796 0.57Celulosa Arauco y Constitucion S.A.7.250% due 07/29/2019 600 685 0.49E.CL S.A.5.625% due 01/15/2021 400 398 0.29

1,879 1.35

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

COLOMBIA

Colombia Government International Bond2.092% due 11/16/2015 $ 420 $ 425 0.307.375% due 01/27/2017 1,400 1,649 1.197.375% due 03/18/2019 1,140 1,374 0.997.375% due 09/18/2037 850 1,011 0.738.125% due 05/21/2024 300 380 0.27Ecopetrol S.A.7.625% due 07/23/2019 2,030 2,350 1.69

7,189 5.17

EGYPT

Nile Finance Ltd.5.250% due 08/05/2015 200 207 0.15Petroleum Export II Ltd.6.340% due 06/20/2011 136 136 0.10Petroleum Export III Ltd.3.319% due 12/07/2012 400 399 0.28Petroleum Export Ltd.5.265% due 06/15/2011 43 43 0.03

785 0.56

GABON

Gabon Government International Bond8.200% due 12/12/2017 2,210 2,598 1.87

GUATEMALA

Guatemala Government Bond9.250% due 08/01/2013 220 257 0.19

HONG KONG

Sinochem Overseas Capital Co. Ltd.4.500% due 11/12/2020 400 395 0.28

INDIA

Indian Oil Corp. Ltd.4.750% due 01/22/2015 200 206 0.15State Bank of India4.500% due 07/27/2015 1,000 1,021 0.73

1,227 0.88

INDONESIA

Adaro Indonesia PT7.625% due 10/22/2019 1,030 1,128 0.81Indonesia Government International Bond5.875% due 03/13/2020 460 507 0.366.625% due 02/17/2037 420 464 0.336.875% due 03/09/2017 340 396 0.296.875% due 01/17/2018 1,100 1,281 0.927.750% due 01/17/2038 180 221 0.168.500% due 10/12/2035 410 544 0.3911.625% due 03/04/2019 2,270 3,377 2.43Indosat Palapa Co. BV7.375% due 07/29/2020 700 774 0.56Majapahit Holding BV7.250% due 06/28/2017 1,220 1,391 1.007.750% due 10/17/2016 300 349 0.257.750% due 01/20/2020 100 116 0.087.875% due 06/29/2037 190 215 0.168.000% due 08/07/2019 200 235 0.17

10,998 7.91

IRELAND

RZD Capital Ltd.5.739% due 04/03/2017 700 730 0.53

JORDAN

Jordan Government International Bond3.875% due 11/12/2015 600 574 0.41

KAZAKHSTAN

Intergas Finance BV6.375% due 05/14/2017 130 137 0.10

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Kazakhstan Temir Zholy Finance BV6.500% due 05/11/2011 $ 250 $ 254 0.18KazMunayGas National Co.6.375% due 04/09/2021 2,100 2,079 1.497.000% due 05/05/2020 1,800 1,874 1.3511.750% due 01/23/2015 500 624 0.45Tengizchevroil Finance Co. SARL6.124% due 11/15/2014 898 943 0.68

5,911 4.25

MALAYSIA

Penerbangan Malaysia Bhd.5.625% due 03/15/2016 250 281 0.20Petronas Capital Ltd.7.875% due 05/22/2022 270 346 0.25

627 0.45

MEXICO


America Movil SAB de C.V.5.000% due 10/16/2019 170 178 0.13Banco Mercantil del Norte S.A.4.375% due 07/19/2015 200 204 0.15C10 Capital SPV Ltd.6.722% due 12/29/2049 330 224 0.16Cemex Finance LLC9.500% due 12/14/2016 650 674 0.49Corp. GEO SAB de C.V.8.875% due 09/25/2014 780 879 0.639.250% due 06/30/2020 200 228 0.17Desarrolladora Homex SAB de C.V.9.500% due 12/11/2019 570 654 0.47Pemex Project Funding Master Trust5.500% due 02/24/2025 € 200 260 0.195.750% due 03/01/2018 $ 1,230 1,316 0.956.625% due 06/15/2035 1,020 1,032 0.746.625% due 06/15/2038 130 131 0.09Petroleos Mexicanos4.875% due 03/15/2015 380 402 0.295.500% due 01/21/2021 1,200 1,221 0.888.000% due 05/03/2019 2,470 2,982 2.14Urbi Desarrollos Urbanos SAB de C.V.9.500% due 01/21/2020 500 574 0.41

10,959 7.89

SOVEREIGN ISSUES

Mexico Government International Bond5.500% due 02/17/2020 € 330 470 0.345.750% due 10/12/2110 $ 300 265 0.195.950% due 03/19/2019 2,610 2,918 2.106.050% due 01/11/2040 670 685 0.496.750% due 09/27/2034 760 859 0.627.500% due 04/08/2033 720 882 0.638.125% due 12/30/2019 810 1,031 0.74

7,110 5.11

Total Mexico 18,069 13.00

MOROCCO

Kingdom of Morocco4.500% due 10/05/2020 € 500 637 0.46

NETHERLANDS

Kazakhstan Temir Zholy Finance BV6.375% due 10/06/2020 $ 300 313 0.22SABIC Capital I BV3.000% due 11/02/2015 400 395 0.28Waha Aerospace BV3.925% due 07/28/2020 600 605 0.44

1,313 0.94

PANAMA

Panama Government International Bond7.125% due 01/29/2026 880 1,063 0.768.875% due 09/30/2027 400 550 0.40


Portfolio of Investments and Assets Socially Responsible Emerging Markets Bond Fund (Cont.)

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

9.375% due 01/16/2023 $ 180 $ 249 0.189.375% due 04/01/2029 200 281 0.20

2,143 1.54

PERU

Peru Government International Bond6.550% due 03/14/2037 590 649 0.477.350% due 07/21/2025 1,000 1,221 0.88

1,870 1.35

PHILIPPINES

Philippine Government International Bond6.375% due 10/23/2034 1,910 2,046 1.476.500% due 01/20/2020 270 313 0.227.750% due 01/14/2031 2,250 2,784 2.008.375% due 06/17/2019 840 1,084 0.789.500% due 02/02/2030 130 188 0.149.875% due 01/15/2019 800 1,110 0.80

7,525 5.41

POLAND

Poland Government International Bond6.375% due 07/15/2019 210 236 0.17

QATAR

Qatar Government International Bond4.000% due 01/20/2015 160 167 0.125.150% due 04/09/2014 400 430 0.31Qatari Diar Finance QSC5.000% due 07/21/2020 500 500 0.36Ras Laffan Liquefied Natural Gas Co. Ltd. II5.298% due 09/30/2020 769 814 0.59

1,911 1.38

RUSSIA


AK Transneft OJSC Via TransCapitalInvest Ltd.5.670% due 03/05/2014 1,600 1,694 1.22ALROSA Finance S.A.7.750% due 11/03/2020 600 632 0.45Gazprom Via Gaz Capital S.A.6.212% due 11/22/2016 2,130 2,253 1.626.510% due 03/07/2022 420 429 0.317.288% due 08/16/2037 550 573 0.418.125% due 07/31/2014 100 113 0.088.625% due 04/28/2034 1,000 1,200 0.869.250% due 04/23/2019 400 494 0.36Gazprom Via Gazprom International S.A.7.201% due 02/01/2020 435 464 0.33Gazprom Via White Nights Finance BV10.500% due 03/25/2014 500 598 0.43

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Russian Agricultural Bank OJSC Via RSHB Capital S.A.6.299% due 05/15/2017 $ 670 $ 679 0.497.175% due 05/16/2013 150 161 0.117.750% due 05/29/2018 190 206 0.159.000% due 06/11/2014 870 983 0.71Sberbank Via SB Capital S.A.5.499% due 07/07/2015 300 308 0.226.468% due 07/02/2013 530 568 0.41TNK-BP Finance S.A.6.625% due 03/20/2017 1,600 1,703 1.227.500% due 07/18/2016 1,000 1,110 0.807.875% due 03/13/2018 300 341 0.25

14,509 10.43

SOVEREIGN ISSUES

Russia Government International Bond7.500% due 03/31/2030 11,546 13,352 9.61Total Russia 27,861 20.04

SINGAPORE

STATS ChipPAC Ltd.7.500% due 08/12/2015 1,100 1,194 0.86Temasek Financial I Ltd.4.300% due 10/25/2019 250 254 0.18

1,448 1.04

SOUTH AFRICA

AngloGold Ashanti Holdings PLC5.375% due 04/15/2020 300 310 0.22South Africa Government International Bond6.875% due 05/27/2019 150 176 0.13

486 0.35

SOUTH KOREA

Export-Import Bank of Korea5.125% due 06/29/2020 1,400 1,453 1.05Korea Electric Power Corp.3.000% due 10/05/2015 300 290 0.21Korea Housing Finance Corp.4.125% due 12/15/2015 500 505 0.36Korea Hydro & Nuclear Power Co. Ltd.3.125% due 09/16/2015 500 488 0.35

2,736 1.97

TRINIDAD AND TOBAGO

Petroleum Co. of Trinidad & Tobago Ltd.6.000% due 05/08/2022 412 415 0.309.750% due 08/14/2019 300 362 0.26

777 0.56

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

TURKEY

Turkey Government International Bond5.125% due 05/18/2020 € 700 $ 973 0.705.625% due 03/30/2021 $ 1,100 1,158 0.836.875% due 03/17/2036 630 709 0.517.000% due 03/11/2019 820 954 0.697.250% due 03/05/2038 200 235 0.177.375% due 02/05/2025 270 322 0.237.500% due 11/07/2019 480 577 0.42

4,928 3.55


Dolphin Energy Ltd.5.888% due 06/15/2019 554 596 0.43DP World Ltd.6.850% due 07/02/2037 580 525 0.38

1,121 0.81

UNITED STATES

CEDC Finance Corp. International, Inc.9.125% due 12/01/2016 250 267 0.19US Treasury Bills0.186% due 01/13/2011-

02/03/2011 (a) 185 185 0.14



(Dated 12/30/2010.Collateralised by USTreasury Notes 4.500% due08/15/2039 valued at$2,154.Repurchaseproceeds are $2,100.) 2,100 2,100 1.51

2,552 1.84

URUGUAY

Uruguay Government International Bond7.625% due 03/21/2036 1,080 1,288 0.937.875% due 01/15/2033 (b) 230 279 0.208.000% due 11/18/2022 430 534 0.389.250% due 05/17/2017 160 207 0.15

2,308 1.66

VENEZUELA

Petroleos de Venezuela S.A.5.000% due 10/28/2015 500 285 0.215.500% due 04/12/2037 100 46 0.03

331 0.24

Total Transferable Securities &Money Market Instruments-Official Stock Exchange/Regulated Market $ 136,224 98.00



FUTURES


Month# of

ContractsUnrealised

(Depreciation)% of

Net Assets

90-Day Eurodollar March Futures Long 03/2012 11 $ (1) 0.00US Treasury 10-Year Note March Futures Long 03/2011 26 (103) (0.07)

$ (104) (0.07)

WRITTEN OPTIONS

DescriptionExercisePrice

ExpirationDate


FairValue

% ofNet Assets

Call - CBOT US Treasury 10-Year Note February Futures $ 129.000 01/21/2011 2 $ (1) $ 0 0.00Put - CBOT US Treasury 10-Year Note February Futures 124.000 01/21/2011 2 (1) (8) (0.01)

$ (2) $ (8) (0.01)



31 December 2010



WRITTEN OPTIONS


ExerciseRate

ExpirationDate


FairValue

% ofNet

AssetsINTEREST RATE SWAPTIONS

Call - OTC 5-Year Interest Rate Swap GSC 3-Month USD-LIBOR Receive 1.250% 02/14/2011 $ 400 $ (1) $ 0 0.00Put - OTC 5-Year Interest Rate Swap GSC 3-Month USD-LIBOR Pay 1.800% 02/14/2011 400 (2) (11) (0.01)Call - OTC 5-Year Interest Rate Swap UBS 3-Month USD-LIBOR Receive 1.250% 02/14/2011 1,000 (2) 0 0.00Put - OTC 5-Year Interest Rate Swap UBS 3-Month USD-LIBOR Pay 1.800% 02/14/2011 1,000 (5) (26) (0.02)

$ (10) $ (37) (0.03)




FairValue

UpfrontPremiums

Paid/(Received)


% ofNet Assets

America Movil SAB de C.V. 1.000% 03/20/2012 DUB $ 700 $ 2 $ (2) $ 4 0.00Brazil Government International Bond 1.000% 06/20/2015 HSBC 1,000 (1) (4) 3 0.00Corporacion Nacional del Cobre de Chile 1.000% 12/20/2011 BCLY 400 2 0 2 0.00JSC VTB Bank 1.000% 12/20/2012 DUB 2,000 (42) (64) 22 (0.03)Mexico Government International Bond 1.000% 06/20/2015 HSBC 1,000 (1) 1 (2) 0.00Peru Government International Bond 1.000% 06/20/2015 HSBC 1,000 (1) (2) 1 0.00Petrobras International Finance Co. 1.000% 09/20/2011 DUB 1,500 3 (6) 9 0.00Petrobras International Finance Co. 1.000% 09/20/2012 DUB 300 (1) (3) 2 0.00Petrobras International Finance Co. 1.000% 09/20/2015 HSBC 500 (11) (18) 7 (0.01)Poland Government International Bond 1.000% 12/20/2015 DUB 340 (7) (3) (4) (0.01)Poland Government International Bond 1.000% 12/20/2020 DUB 550 (27) (16) (11) (0.02)South Africa Government International Bond 1.000% 12/20/2020 CITI 400 (17) (13) (4) (0.01)South Africa Government International Bond 1.000% 12/20/2020 CSFB 700 (30) (24) (6) (0.02)South Africa Government International Bond 1.000% 12/20/2015 DUB 160 (2) (2) 0 0.00

$ (133) $ (156) $ 23 (0.10)




FairValue

UpfrontPremiums


Appreciation% of

Net Assets

Dow Jones CDX N.A. EM14 Index 5.000% 12/20/2015 DUB $ 600 $ 83 $ 83 $ 0 0.06



INTEREST RATE SWAPS



NotionalAmount

FairValue

UpfrontPremiums

Paid/(Received)


% ofNet Assets

Pay BRL-CDI-Compounded 11.360% 01/02/2012 HSBC BRL 30,000 $ 240 $ 60 $ 180 0.17Pay BRL-CDI-Compounded 11.530% 01/02/2012 HSBC 49,800 (68) 0 (68) (0.05)Pay IBMEXID 7.540% 04/07/2017 HSBC MXN 29,000 84 3 81 0.06

$ 256 $ 63 $ 193 0.18


Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Sell BRL 1,560 RBS 02/2011 $ 0 $ (14) $ (14) (0.01)Sell 9,778 CITI 03/2011 0 (72) (72) (0.05)Sell CNY 9,246 HSBC 04/2011 0 (38) (38) (0.03)Buy 18,574 RBS 04/2011 29 0 29 0.02Buy EGP 7,758 DUB 03/2011 0 (11) (11) (0.01)Sell € 767 GSC 01/2011 18 0 18 0.02Sell 151 JPM 01/2011 0 0 0 0.00Sell 1,382 RBS 01/2011 45 0 45 0.03Sell HUF 66,410 CITI 01/2011 0 (10) (10) (0.01)Buy INR 27,880 CITI 03/2011 8 0 8 0.01Buy 18,158 HSBC 03/2011 1 0 1 0.00Sell 9,095 HSBC 03/2011 0 (11) (11) (0.01)Buy 27,247 RBS 03/2011 0 (3) (3) 0.00Sell JPY 94,121 BCLY 01/2011 0 (33) (33) (0.02)Buy KRW 77,800 BCLY 05/2011 0 (1) (1) 0.00


Portfolio of Investments and Assets Socially Responsible Emerging Markets Bond Fund (Cont.)

Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Buy KRW 756,500 CITI 05/2011 $ 0 $ (7) $ (7) (0.00)Buy 62,756 GSC 05/2011 0 0 0 0.00Buy 146,000 HSBC 05/2011 0 (2) (2) 0.00Buy 337,700 JPM 05/2011 0 0 0 0.00Buy 294,000 RBS 05/2011 0 (1) (1) 0.00Buy MXN 7,718 BCLY 02/2011 20 0 20 0.02Sell 2,471 BCLY 02/2011 0 (13) (13) (0.01)Buy 2,108 DUB 02/2011 5 0 5 0.00Buy 650 JPM 02/2011 0 0 0 0.00Buy MYR 230 BCLY 02/2011 1 0 1 0.00Buy 2,069 CITI 02/2011 4 0 4 0.00Buy 916 DUB 02/2011 2 0 2 0.00Buy 2,332 JPM 02/2011 8 0 8 0.01Buy 200 RBS 02/2011 0 0 0 0.00Buy PHP 39,222 JPM 02/2011 0 (2) (2) 0.00Buy 3,330 CITI 06/2011 1 0 1 0.00Buy 13,445 HSBC 06/2011 9 0 9 0.01Buy 9,948 JPM 06/2011 1 0 1 0.00Buy PLN 1,792 BCLY 02/2011 0 (23) (23) (0.02)Sell SGD 78 BCLY 03/2011 0 (3) (3) 0.00Buy 270 BOA 03/2011 9 0 9 0.01Buy 58 DUB 03/2011 2 0 2 0.00Buy 654 HSBC 03/2011 8 0 8 0.00Buy 60 JPM 03/2011 2 0 2 0.00Buy 70 RBS 03/2011 2 0 2 0.00Buy 133 DUB 06/2011 1 0 1 0.00Buy TRY 385 CITI 01/2011 0 (17) (17) (0.01)Sell 452 HSBC 01/2011 10 0 10 0.00Buy 153 JPM 01/2011 0 (2) (2) 0.00

$ 186 $ (263) $ (77) (0.05)



DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS


Brown Brothers Harriman & Co.0.005% due 01/04/2011 JPY 1 $ 0 0.00Nordea Bank AB0.030% due 12/31/2010 $ 1,230 1,230 0.88Total Overnight Time Deposits $ 1,230 0.88Other Current Assets & Liabilities $ 1,577 1.14Net Assets $ 139,011 100.00


(a) Securities with an aggregate market value of $185 and cash of $36 have been segregated with the Custodian to cover margin requirements for the open futures contracts as at 31 December 2010.


(c) Cash of $10 has been pledged as collateral for swap, swaption and foreign currency contracts as at 31 December 2010 as governed by International Swaps and Derivative Association, Inc.Master Agreements.



Category3




(Level 2)



Transferable Securities $ 0 $ 136,224 $ 0 $ 136,224Financial Derivative Instruments4 (112) 92 0 (20)Totals $ (112) $ 136,316 $ 0 $ 136,204



Significant Changes in Portfolio Composition Socially Responsible Emerging Markets Bond Fund (Unaudited)31 December 2010

DESCRIPTIONPAR

(000S)COST(000S)


Russia Government International Bond7.500% due 03/31/2030 $ 12,880 $ 15,079Federal Home Loan Bank0.000% due 07/19/2010 6,900 6,897Brazil Notas do Tesouro Nacional Series F10.000% due 01/01/2017 BRL 10,000 5,208Indonesia Government International Bond11.625% due 03/04/2019 $ 2,270 3,314Brazil Government International Bond8.875% due 10/14/2019 2,270 2,985Petroleos Mexicanos8.000% due 05/03/2019 2,470 2,915Mexico Government International Bond5.950% due 03/19/2019 2,610 2,851Philippine Government International Bond7.750% due 01/14/2031 2,250 2,627Gabon Government International Bond8.200% due 12/12/2017 2,210 2,486Ecopetrol S.A.7.625% due 07/23/2019 2,030 2,284Gazprom Via Gaz Capital S.A.6.212% due 11/22/2016 2,130 2,277Gazprom OAO Via Morgan Stanley Bank AG9.625% due 03/01/2013 1,820 2,112KazMunayGas National Co.6.375% due 04/09/2021 2,100 2,061Brazil Government International Bond6.000% due 01/17/2017 1,810 2,006Philippine Government International Bond6.375% due 10/23/2034 1,910 1,949Philippine Government International Bond6.375% due 01/15/2032 1,860 1,926Celulosa Arauco y Constitucion S.A.7.250% due 07/29/2019 1,700 1,868Pemex Project Funding Master Trust1.554% due 06/15/2010 1,760 1,762CSN Islands XI Corp.6.875% due 09/21/2019 1,650 1,760TNK-BP Finance S.A.6.625% due 03/20/2017 1,600 1,712Colombia Government International Bond7.375% due 01/27/2017 1,400 1,631Brazil Government International Bond8.875% due 04/15/2024 1,150 1,547Turkey Government International Bond6.750% due 05/30/2040 1,520 1,520Fibria Overseas Finance Ltd.9.250% due 10/30/2019 1,300 1,508Export-Import Bank of Korea5.125% due 06/29/2020 1,400 1,394KazMunayGas National Co.7.000% due 05/05/2020 1,400 1,375AK Transneft OJSC Via TransCapitalInvest Ltd.5.670% due 03/05/2014 1,300 1,373Banco do Brasil S.A.4.500% due 01/22/2015 1,350 1,363Colombia Government International Bond7.375% due 03/18/2019 1,140 1,334Majapahit Holding BV7.250% due 06/28/2017 1,220 1,331Pemex Project Funding Master Trust5.750% due 03/01/2018 1,230 1,286Banque Centrale de Tunisie7.375% due 04/25/2012 1,140 1,261Indonesia Government International Bond6.875% due 01/17/2018 1,100 1,251Uruguay Government International Bond7.625% due 03/21/2036 1,080 1,234BM&FBovespa S.A.5.500% due 07/16/2020 1,200 1,230Gazprom Via Gaz Capital S.A.8.625% due 04/28/2034 1,000 1,218

DESCRIPTIONPAR

(000S)COST(000S)

Peru Government International Bond7.350% due 07/21/2025 $ 1,000 $ 1,190Petroleos Mexicanos5.500% due 01/21/2021 1,200 1,188Petrobras International Finance Co.7.875% due 03/15/2019 1,000 1,176Noble Group Ltd.6.750% due 01/29/2020 1,100 1,144Turkey Government International Bond5.625% due 03/30/2021 1,100 1,133TNK-BP Finance S.A.7.500% due 07/18/2016 1,000 1,108Brazil Government International Bond5.875% due 01/15/2019 1,000 1,098Banco Nacional de Desenvolvimento Economico e Social6.500% due 06/10/2019 1,000 1,080Philippine Government International Bond9.875% due 01/15/2019 800 1,063Brazil Government International Bond8.250% due 01/20/2034 820 1,063Philippine Government International Bond8.375% due 06/17/2019 840 1,044Turkey Government International Bond5.125% due 05/18/2020 € 700 1,038Tengizchevroil Finance Co. SARL6.124% due 11/15/2014 $ 986 1,030Poland Government International Bond6.375% due 07/15/2019 930 1,027Pemex Project Funding Master Trust6.625% due 06/15/2035 1,020 1,017Mexico Government International Bond8.125% due 12/30/2019 810 1,017State Bank of India & London4.500% due 07/27/2015 1,000 1,009Turkey Government International Bond7.000% due 03/11/2019 820 1,003Panama Government International Bond7.125% due 01/29/2026 880 1,001Brazil Government International Bond8.000% due 01/15/2018 844 994Panama Government International Bond9.375% due 04/01/2029 720 991South Africa Government International Bond6.875% due 05/27/2019 850 975Colombia Government International Bond7.375% due 09/18/2037 850 965Philippine Government International Bond8.000% due 01/15/2016 770 926Adaro Indonesia PT7.625% due 10/22/2019 800 902Panama Government International Bond6.700% due 01/26/2036 800 868

PAR(000S)

PROCEEDS(000S)


Federal Home Loan Bank0.000% due 07/19/2010 $ 6,900 $ 6,898Brazil Government International Bond8.875% due 10/14/2019 2,000 2,841Philippine Government International Bond6.375% due 01/15/2032 1,860 2,098Gazprom OAO Via Morgan Stanley Bank AG9.625% due 03/01/2013 1,820 2,075Turkey Government International Bond6.750% due 05/30/2040 1,520 1,780Pemex Project Funding Master Trust1.554% due 06/15/2010 1,760 1,760Celulosa Arauco y Constitucion S.A.7.250% due 07/29/2019 1,100 1,256Banque Centrale de Tunisie7.375% due 04/25/2012 1,140 1,247AK Transneft OJSC Via TransCapitalInvest Ltd.8.700% due 07/08/2018 1,000 1,232


Significant Changes in Portfolio Composition Socially Responsible Emerging Markets Bond Fund (Cont.)

DESCRIPTIONPAR

(000S)PROCEEDS

(000S)


Russia Government International Bond7.500% due 03/31/2030 $ 1,012 $ 1,155Fibria Overseas Finance Ltd.7.500% due 05/04/2020 1,056 1,104Brazil Government International Bond6.000% due 01/17/2017 900 1,039Philippine Government International Bond8.000% due 01/15/2016 770 949Brazil Government International Bond8.000% due 01/15/2018 792 944South Africa Government International Bond6.875% due 05/27/2019 700 881Poland Government International Bond6.375% due 07/15/2019 720 877Panama Government International Bond6.700% due 01/26/2036 800 877Banco do Brasil S.A.4.500% due 01/22/2015 800 843TNK-BP Finance S.A.6.875% due 07/18/2011 750 776Panama Government International Bond9.375% due 04/01/2029 520 719Socialist Republic of Vietnam6.875% due 01/15/2016 630 693Indonesia Government International Bond7.500% due 01/15/2016 520 635Panama Government International Bond7.250% due 03/15/2015 520 610Ras Laffan Liquefied Natural Gas Co. Ltd. III5.838% due 09/30/2027 500 523Colombia Government International Bond8.250% due 12/22/2014 410 508Abu Dhabi Government International Bond6.750% due 04/08/2019 390 474Brazil Government International Bond11.000% due 08/17/2040 320 444

DESCRIPTIONPAR

(000S)PROCEEDS

(000S)


AK Transneft OJSC Via TransCapitalInvest Ltd.6.103% due 06/27/2012 $ 410 $ 435El Salvador Government International Bond7.375% due 12/01/2019 380 425South Africa Government International Bond5.875% due 05/30/2022 350 412Colombia Government International Bond10.750% due 01/15/2013 330 395AK Transneft OJSC Via TransCapitalInvest Ltd.7.700% due 08/07/2013 300 336El Salvador Government International Bond8.500% due 07/25/2011 300 317South Africa Government International Bond7.375% due 04/25/2012 280 307Axtel SAB de C.V.9.000% due 09/22/2019 340 300US Treasury Bills0.000% due 10/07/2010 294 294Qatar Government International Bond6.400% due 01/20/2040 230 253Petronas Capital Ltd.7.000% due 05/22/2012 220 239Export-Import Bank of Korea8.125% due 01/21/2014 190 225KazMunayGas National Co.8.375% due 07/02/2013 200 221




Portfolio of Investments and Assets StocksPLUS™ Fund31 December 2010

DESCRIPTION SHARES

FAIRVALUE(000S)

% OFNET

ASSETS


MUTUAL FUNDS (a)


PAR(000S)



04/21/2015 $ 1,800 1,827 0.72Yell Holdings 2 Ltd.3.761% due

04/30/2014 129 63 0.031,890 0.75


BANKING & FINANCE

Ally Financial, Inc.2.200% due

12/19/2012 100 103 0.045.375% due

06/06/2011 1,000 1,011 0.407.500% due

12/31/2013 100 108 0.04American Express Co.4.875% due

07/15/2013 500 535 0.21American Express Credit Corp.7.300% due

08/20/2013 500 564 0.22American General Finance Corp.4.000% due

03/15/2011 100 100 0.04American International Group, Inc.2.875% due

06/20/2011 CHF 200 216 0.094.000% due

09/20/2011 € 600 805 0.324.250% due

05/15/2013 $ 500 519 0.20ASB Finance Ltd.1.100% due

02/13/2012 € 500 666 0.26Bank of Scotland PLC4.880% due

04/15/2011 $ 200 202 0.08Barclays Bank PLC0.478% due

03/23/2017 300 283 0.11BRFkredit AS0.539% due

04/15/2013 1,600 1,601 0.63CIT Group, Inc.7.000% due

05/01/2013 7 7 0.007.000% due

05/01/2014 11 11 0.017.000% due

05/01/2015 11 10 0.007.000% due

05/01/2016 18 18 0.017.000% due

05/01/2017 25 25 0.01Citibank N.A.1.750% due

12/28/2012 200 204 0.08Citigroup, Inc.0.572% due

06/09/2016 1,300 1,162 0.462.286% due

08/13/2013 3,300 3,358 1.33Cloverie PLC for Zurich Insurance Co. Ltd.12.000% due

07/29/2049 € 400 623 0.25

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Countrywide Financial Corp.5.800% due 06/07/2012 $ 100 $ 105 0.04Credit Agricole S.A.0.636% due 02/02/2012 1,200 1,196 0.47Credit Suisse0.976% due 05/29/2049 700 519 0.21Dexia Credit Local S.A.0.539% due 01/12/2012 1,800 1,793 0.710.953% due 09/23/2011 500 502 0.20DnB NORBank ASA0.526% due 09/01/2016 300 293 0.12Export-Import Bank of Korea0.523% due 10/04/2011 200 200 0.08FCE Bank PLC7.250% due 07/15/2013 € 100 142 0.06Fortis Bank Nederland NV3.000% due 04/17/2012 100 137 0.05General Electric Capital Corp.2.000% due 09/28/2012 $ 200 204 0.082.125% due 12/21/2012 200 206 0.08Genworth Financial Assurance Holdings, Inc.1.600% due 06/20/2011 JPY 110,000 1,340 0.53Goldman Sachs Group, Inc.1.393% due 01/30/2017 € 1,300 1,603 0.63HBOS Capital Funding LP6.071% due 06/29/2049 $ 60 50 0.02HSBC Finance Corp.0.726% due 06/01/2016 500 461 0.18ING Bank NV0.919% due 01/13/2012 3,800 3,799 1.501.103% due 03/30/2012 1,100 1,096 0.44International Lease Finance Corp.5.450% due 03/24/2011 2,000 2,015 0.796.375% due 03/25/2013 1,100 1,133 0.45JPMorgan Chase & Co.1.264% due 09/26/2013 € 200 262 0.10Korea Development Bank0.564% due 11/22/2012 $ 200 196 0.08LBG Capital No.1 PLC8.000% due 12/29/2049 1,900 1,672 0.66LeasePlan Corp. NV3.125% due 02/10/2012 € 100 137 0.05Lehman Brothers Holdings, Inc. (b)0.000% due 04/03/2009 $ 100 23 0.010.000% due 05/25/2010 1,100 257 0.100.000% due 12/23/2010 200 47 0.022.520% due 11/24/2008 300 70 0.022.820% due 11/16/2009 100 23 0.012.911% due 08/21/2009 200 47 0.023.005% due 07/18/2011 200 47 0.02Macquarie Bank Ltd.2.600% due 01/20/2012 1,700 1,733 0.69Merrill Lynch & Co., Inc.1.578% due 09/14/2018 € 2,400 2,524 1.00Morgan Stanley1.357% due 03/01/2013 100 128 0.05Royal Bank of Scotland PLC0.569% due 10/14/2016 $ 1,800 1,488 0.590.686% due 04/08/2011 200 200 0.082.625% due 05/11/2012 2,200 2,253 0.89SLM Corp.0.518% due 10/25/2011 1,000 986 0.391.356% due 06/17/2013 € 950 1,143 0.455.425% due 12/15/2011 AUD 500 493 0.208.000% due 03/25/2020 $ 200 203 0.08Sun Life Financial Global Funding LP0.472% due 07/06/2011 600 598 0.24UBS AG1.384% due 02/23/2012 300 303 0.12Wachovia Corp.0.419% due 10/15/2011 100 100 0.041.200% due 02/13/2014 € 200 259 0.10

44,117 17.44

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

INDUSTRIALS

BMW US Capital LLC1.118% due 07/25/2011 $ 1,000 $ 1,001 0.39Continental Airlines, Inc.6.750% due 09/15/2015 1,000 1,035 0.41Daimler Finance N.A. LLC5.750% due 09/08/2011 300 310 0.127.300% due 01/15/2012 200 213 0.08Daimler International Finance BV1.238% due 01/27/2012 1,500 1,500 0.59DISH DBS Corp.6.625% due 10/01/2014 1,000 1,040 0.417.750% due 05/31/2015 1,200 1,281 0.51Dow Chemical Co.2.536% due 08/08/2011 700 708 0.28Pemex Project Funding Master Trust0.903% due 12/03/2012 300 299 0.12Reynolds American, Inc.1.002% due 06/15/2011 700 701 0.28

8,088 3.19

UTILITIES

Cellco Partnership5.250% due 02/01/2012 600 628 0.25EOG Resources, Inc.1.034% due 02/03/2014 1,100 1,102 0.44Gazprom Via Gazprom International S.A.7.201% due 02/01/2020 174 185 0.07NRG Energy, Inc.8.250% due 09/01/2020 100 103 0.04Qwest Corp.3.552% due 06/15/2013 1,500 1,575 0.62Telecom Italia Capital S.A.0.767% due 02/01/2011 100 100 0.04



Illinois, General Obligation Bonds, Series 20101.823% due 01/01/2011 1,900 1,900 0.75New Jersey, Economic Development Authority


6,110 2.42


Fannie Mae0.375% due 12/28/2012 1,000 994 0.390.500% due 10/30/2012 1,100 1,098 0.430.511% due 05/25/2037 831 831 0.330.611% due 03/25/2037-

07/25/2037 1,078 1,082 0.430.621% due 03/25/2037 697 699 0.280.625% due 09/24/2012 300 300 0.120.641% due 07/25/2037 956 961 0.380.661% due 09/25/2035 599 598 0.240.671% due 09/25/2035 1,221 1,221 0.480.706% due 02/25/2037 1,324 1,325 0.520.750% due 12/18/2013 (c) 1,600 1,583 0.630.891% due 05/25/2040 1,741 1,754 0.690.961% due 10/25/2037 1,184 1,195 0.470.981% due 06/25/2037 445 450 0.180.991% due 06/25/2040 6,419 6,468 2.561.000% due 12/27/2012-

09/23/2013 (c) 3,800 3,821 1.511.001% due 03/25/2040 1,413 1,429 0.561.011% due 11/25/2039-

01/25/2040 7,522 7,609 3.011.081% due 12/25/2039 1,311 1,330 0.531.125% due 09/30/2013 (c) 500 501 0.201.161% due 07/25/2039 1,190 1,210 0.481.542% due 07/01/2044 25 25 0.012.305% due 11/01/2035 34 34 0.012.465% due 10/01/2034 21 22 0.012.701% due 09/01/2035 140 147 0.062.750% due 03/13/2014 200 209 0.08


Portfolio of Investments and Assets StocksPLUS™ Fund (Cont.)

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

2.814% due 07/01/2035 $ 176 $ 185 0.072.875% due 12/11/2013 100 105 0.043.000% due 09/16/2014 600 633 0.254.000% due 08/01/2024 -

12/01/2040 14,094 14,500 5.734.125% due 04/15/2014 200 218 0.094.375% due 03/15/2013 600 647 0.264.500% due 04/01/2024 -

09/01/2040 11,801 12,189 4.824.625% due 10/15/2013 100 110 0.046.000% due 12/01/2011 -

01/01/2039 2,078 2,265 0.896.500% due 10/01/2036 1,256 1,401 0.55Federal Home Loan Bank0.875% due 08/22/2012 -

12/27/2013 1,700 1,708 0.67Freddie Mac0.515% due 11/26/2012 200 199 0.080.560% due 02/15/2037 108 109 0.040.590% due 02/15/2037 242 243 0.100.600% due 02/15/2037 570 572 0.230.660% due 06/15/2018 -

03/15/2032 584 586 0.230.860% due 10/15/2037 531 535 0.210.875% due 10/28/2013 300 299 0.120.960% due 08/15/2037 2,906 2,932 1.160.970% due 10/15/2037 727 734 0.290.980% due 05/15/2037 -

09/15/2037 3,212 3,244 1.281.000% due 08/28/2012 1,400 1,410 0.561.110% due 11/15/2039 570 579 0.231.115% due 01/15/2038 1,124 1,139 0.451.542% due 02/25/2045 113 112 0.052.500% due 04/23/2014 400 415 0.172.626% due 06/01/2035 178 185 0.072.825% due 05/01/2031 1 1 0.003.000% due 07/28/2014 100 105 0.043.004% due 09/01/2035 104 109 0.043.500% due 05/29/2013 600 638 0.254.125% due 09/27/2013 100 108 0.044.500% due 01/15/2013 -

05/01/2040 (c) 3,008 3,141 1.245.000% due 07/15/2014 200 224 0.095.500% due 01/01/2041 2,000 2,131 0.846.000% due 09/01/2016 3 3 0.006.500% due 10/25/2043 49 57 0.02Ginnie Mae2.625% due 08/20/2024 -

07/20/2027 116 119 0.053.125% due 10/20/2029 77 79 0.033.375% due 04/20/2026 25 26 0.018.000% due 07/20/2030 20 23 0.01

90,914 35.93


US Treasury Notes0.500% due 10/15/2013 -

11/15/2013 (c) 9,200 9,091 3.590.750% due 08/15/2013 -

09/15/2013 (c) 9,300 9,276 3.671.000% due 07/15/2013 (c) 3,200 3,216 1.271.125% due 06/15/2013 900 908 0.36

22,491 8.89


Banc of America Funding Corp.2.861% due 05/25/2035 42 41 0.02Banc of America Mortgage Securities, Inc.2.957% due 05/25/2034 58 58 0.02Bear Stearns Adjustable Rate Mortgage Trust3.102% due 02/25/2033 2 1 0.003.113% due 01/25/2034 44 42 0.023.198% due 01/25/2034 2 2 0.00Bear Stearns Alternative-A Trust2.955% due 09/25/2035 40 31 0.01Bear Stearns Mortgage Funding Trust0.331% due 02/25/2037 4 4 0.00Bear Stearns Structured Products, Inc.5.339% due 12/26/2046 329 232 0.09

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Citigroup Mortgage Loan Trust, Inc.2.630% due 10/25/2035 $ 795 $ 702 0.282.820% due 12/25/2035 75 68 0.03Countrywide Alternative Loan Trust0.421% due 02/25/2047 408 266 0.100.441% due 05/25/2047 134 78 0.030.456% due 12/20/2046 273 144 0.06Credit Suisse Mortgage Capital Certificates0.330% due 02/15/2022 3,015 2,857 1.13CS First Boston Mortgage Securities Corp.0.882% due 03/25/2032 9 7 0.002.739% due 06/25/2032 2 2 0.00Fosse Master Issuer PLC2.259% due 10/18/2054 £ 700 1,099 0.432.369% due 10/18/2054 700 1,100 0.442.378% due 10/18/2054 € 1,200 1,607 0.64Greenpoint Mortgage Funding Trust0.341% due 10/25/2046 $ 49 45 0.020.341% due 01/25/2047 61 59 0.020.531% due 11/25/2045 35 24 0.01GS Mortgage Securities Corp. II0.396% due 03/06/2020 600 578 0.23GSR Mortgage Loan Trust0.611% due 01/25/2034 10 8 0.00Harborview Mortgage Loan Trust0.451% due 01/19/2038 368 248 0.100.481% due 05/19/2035 21 14 0.00Impac CMB Trust1.021% due 10/25/2033 5 4 0.00JPMorgan Chase Commercial Mortgage Securities Corp.0.380% due 02/15/2020 1,502 1,463 0.58JPMorgan Mortgage Trust5.157% due 09/25/2035 636 620 0.25Mellon Residential Funding Corp.0.740% due 06/15/2030 81 79 0.03Merrill Lynch Mortgage Investors, Inc.0.471% due 02/25/2036 55 43 0.021.946% due 12/25/2032 7 7 0.00MLCC Mortgage Investors, Inc.0.511% due 11/25/2035 49 44 0.02Morgan Stanley Capital I0.321% due 10/15/2020 64 62 0.03NCUA Guaranteed Notes0.715% due 10/07/2020 1,165 1,163 0.46Permanent Master Issuer PLC1.095% due 07/15/2033 € 5,000 6,636 2.62Prime Mortgage Trust0.661% due 02/25/2034 $ 10 9 0.00Structured Adjustable Rate Mortgage Loan Trust1.725% due 01/25/2035 95 56 0.022.737% due 08/25/2034 179 170 0.072.770% due 02/25/2034 136 129 0.05Structured Asset Mortgage Investments, Inc.0.511% due 07/19/2035 138 129 0.050.541% due 02/25/2036 55 33 0.01Structured Asset Securities Corp.2.856% due 10/25/2035 70 56 0.02Thornburg Mortgage Securities Trust0.371% due 11/25/2046 76 75 0.030.381% due 10/25/2046 251 249 0.10Wachovia Bank Commercial Mortgage Trust0.351% due 09/15/2021 765 746 0.30WaMu Mortgage Pass-Through Certificates0.531% due 12/25/2045 52 45 0.020.551% due 10/25/2045 28 24 0.011.328% due 02/25/2046 574 444 0.171.528% due 11/25/2042 16 14 0.011.538% due 05/25/2041 11 11 0.001.728% due 08/25/2042 26 24 0.012.785% due 03/25/2034 79 75 0.032.904% due 02/27/2034 45 46 0.02Washington Mutual MSC Mortgage Pass-

Through Certificates2.766% due 02/25/2033 4 4 0.00

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Wells Fargo Mortgage-Backed Securities Trust3.425% due 03/25/2036 $ 154 $ 137 0.05

21,914 8.66


Aames Mortgage Investment Trust1.836% due 01/25/2035 1,015 1,010 0.40ACE Securities Corp.0.321% due 10/25/2036 20 7 0.00American Money Management Corp.0.539% due 08/08/2017 1,200 1,135 0.45Asset-Backed Securities Corp. Home Equity0.536% due 09/25/2034 42 38 0.02Chase Funding Mortgage Loan Asset-

Backed Certificates1.001% due 10/25/2032 6 5 0.00Countrywide Asset-Backed Certificates0.371% due 10/25/2046 4 4 0.000.461% due 08/25/2034 646 603 0.24Credit Suisse First Boston Mortgage Securities Corp.0.881% due 01/25/2032 9 8 0.00Globaldrive BV1.813% due 02/20/2016 € 240 322 0.134.000% due 10/20/2016 813 1,106 0.43HFC Home Equity Loan Trust0.531% due 01/20/2035 $ 126 116 0.05HSI Asset Securitization Corp. Trust0.311% due 12/25/2036 5 5 0.00Illinois Student Assistance Commission0.767% due 04/25/2017 1,100 1,098 0.43Long Beach Mortgage Loan Trust0.541% due 10/25/2034 5 4 0.00MASTR Asset-Backed Securities Trust0.321% due 11/25/2036 1 1 0.00Morgan Stanley IXIS Real Estate Capital Trust0.311% due 11/25/2036 2 2 0.00Panhandle-Plains Higher Education Authority, Inc.1.490% due 10/01/2035 500 504 0.20SC Germany Auto1.872% due 08/12/2019 € 87 117 0.05South Carolina Student Loan Corp.0.846% due 03/01/2018 $ 372 365 0.141.046% due 03/02/2020 500 497 0.201.296% due 09/03/2024 200 198 0.08

7,145 2.82

SOVEREIGN ISSUES

Societe Financement de l’Economie Francaise2.375% due 03/26/2012 100 102 0.04


Royal Bank of Scotland PLC1.663% due 10/15/2012 6,100 6,100 2.41






19,800 7.83



31 December 2010



FUTURES


Month# of

Contracts


% ofNet Assets

90-Day Eurodollar December Futures Long 12/2011 7 $ (3) 0.0090-Day Eurodollar December Futures Long 12/2012 8 (17) (0.01)90-Day Eurodollar June Futures Long 06/2011 13 5 0.0090-Day Eurodollar June Futures Long 06/2012 18 (22) (0.01)90-Day Eurodollar June Futures Long 06/2013 1 (3) 0.0090-Day Eurodollar March Futures Long 03/2011 53 5 0.0090-Day Eurodollar March Futures Long 03/2012 26 (18) (0.01)90-Day Eurodollar March Futures Long 03/2013 5 (12) 0.0090-Day Eurodollar September Futures Long 09/2011 1 0 0.0090-Day Eurodollar September Futures Long 09/2012 17 (29) (0.01)90-Day Eurodollar September Futures Long 09/2013 3 (8) 0.00S&P 500 E-mini Index March Futures Long 03/2011 1,319 3,495 1.38S&P 500 Index March Futures Long 03/2011 451 4,803 1.90United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures Long 12/2011 1 0 0.00United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures Long 06/2012 1 (1) 0.00United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures Long 03/2012 1 (1) 0.00United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures Long 09/2012 1 (1) 0.00

$ 8,193 3.24

PURCHASED OPTIONS

DescriptionExercise

PriceExpiration

Date# of

Contracts CostFair

Value% of

Net Assets

Put - S&P 500 Index March Futures $ 450.000 03/18/2011 100 $ 3 $ 1 0.00Put - S&P 500 Index March Futures 550.000 03/18/2011 450 13 6 0.00

$ 16 $ 7 0.00

WRITTEN OPTIONS

DescriptionExercise

PriceExpiration

Date# of


Value% of

Net Assets

Call - 3-Month Eurodollar September Futures $ 99.375 09/19/2011 12 $ (5) $ (7) 0.00Call - S&P 500 Index January Futures 1275.000 01/21/2011 8 (15) (15) (0.01)Put - 3-Month Eurodollar September Futures 99.375 09/19/2011 12 (8) (5) 0.00Put - S&P 500 Index January Futures 1190.000 01/21/2011 8 (21) (9) 0.00

$ (49) $ (36) (0.01)Total Financial Derivative Instruments Dealt in on a Regulated Market $ 8,164 3.23



PURCHASED OPTIONS


PriceExpiration


FairValue

% ofNet Assets

OPTIONS ON SECURITIES

Put - OTC Fannie Mae 4.000% due 01/01/2026 DUB $ 95.000 01/12/2011 $ 14,000 $ 2 $ 0 0.00

WRITTEN OPTIONS


ExerciseRate

ExpirationDate


FairValue

% ofNet Assets


Put - OTC 10-Year Interest Rate Swap BCLY 6-Month EUR-LIBOR Pay 10.000% 07/01/2014 € 4,000 $ (28) $ (2) 0.00Put - OTC 1-Year Interest Rate Swap GSC 3-Month USD-LIBOR Pay 0.650% 11/14/2011 $ 3,100 (6) (15) (0.01)

$ (34) $ (17) (0.01)


ExpirationDate


FairValue

% ofNet Assets

STRADDLE OPTIONS

Call & Put 1-Year vs. 1-Year Forward Volatility Agreement JPM 0.000 10/11/2011 $ 1,500 $ (8) $ (12) 0.00Call & Put 1-Year vs. 2-Year Forward Volatility Agreement MSC 0.000 11/14/2011 1,400 (15) (24) (0.01)

$ (23) $ (36) (0.01)







FairValue

UpfrontPremiums

Paid/(Received)


% ofNet Assets

Bank of America Corp. 1.000% 12/20/2011 BCLY $ 400 $ 1 $ (1) $ 2 0.00Berkshire Hathaway Finance Corp. 1.000% 03/20/2013 BCLY 100 1 0 1 0.00Berkshire Hathaway Finance Corp. 0.850% 03/20/2013 CSFB 200 0 0 0 0.00Berkshire Hathaway Finance Corp. 0.930% 03/20/2013 DUB 200 1 0 1 0.00Brazil Government International Bond 0.980% 01/20/2012 DUB 500 4 0 4 0.00Brazil Government International Bond 1.000% 03/20/2011 HSBC 1,200 2 6 (4) 0.00Brazil Government International Bond 1.000% 03/20/2015 HSBC 2,000 0 (42) 42 0.00Brazil Government International Bond 1.000% 03/20/2015 UBS 1,300 0 (28) 28 0.00California, General Obligation Bonds, Series 2003 1.580% 09/20/2011 GSC 1,000 0 0 0 0.00France Government Bond 0.250% 12/20/2015 BOA 3,400 (129) (77) (52) (0.05)France Government Bond 0.250% 12/20/2015 CITI 8,900 (338) (207) (131) (0.13)France Government Bond 0.250% 12/20/2015 DUB 3,000 (114) (72) (42) (0.04)France Government Bond 0.250% 12/20/2015 RBS 9,000 (342) (210) (132) (0.14)Gazprom International S.A. for Gazprom 0.740% 01/20/2012 BCLY 200 0 0 0 0.00Gazprom International S.A. for Gazprom 1.000% 10/20/2011 DUB 400 1 0 1 0.00General Electric Capital Corp. 5.000% 06/20/2012 BCLY 400 26 9 17 0.01General Electric Capital Corp. 1.250% 03/20/2013 BNP 100 1 0 1 0.00General Electric Capital Corp. 1.400% 03/20/2013 BNP 100 1 0 1 0.00General Electric Capital Corp. 4.600% 12/20/2013 BNP 300 31 0 31 0.01General Electric Capital Corp. 4.700% 12/20/2013 BNP 100 11 0 11 0.00General Electric Capital Corp. 1.000% 12/20/2015 BNP 3,600 (54) (150) 96 (0.02)General Electric Capital Corp. 5.000% 06/20/2014 BOA 300 39 11 28 0.02General Electric Capital Corp. 5.000% 06/20/2014 DUB 400 53 17 36 0.02Japan Government International Bond 1.000% 12/20/2015 BCLY 1,400 21 34 (13) 0.01Japan Government International Bond 1.000% 12/20/2015 MSC 6,700 101 163 (62) 0.04Merrill Lynch & Co., Inc. 1.000% 09/20/2011 BNP 300 0 (1) 1 0.00Mexico Government International Bond 1.000% 03/20/2011 HSBC 1,000 1 3 (2) 0.00Mexico Government International Bond 1.000% 03/20/2011 MLP 1,000 1 3 (2) 0.00Mexico Government International Bond 1.000% 03/20/2011 RBS 1,000 1 1 0 0.00Petrobras International Finance Co. 1.000% 09/20/2012 DUB 700 (2) (9) 7 0.00Prudential Financial, Inc. 1.800% 03/20/2013 BCLY 200 5 0 5 0.00Prudential Financial, Inc. 1.830% 03/20/2013 DUB 100 3 0 3 0.00Prudential Financial, Inc. 1.850% 03/20/2013 JPM 200 5 0 5 0.00Prudential Financial, Inc. 2.350% 03/20/2013 JPM 500 19 0 19 0.01Prudential Financial, Inc. 2.350% 03/20/2013 RBS 100 4 0 4 0.00United Kingdom Gilt 1.000% 03/20/2015 GSC 1,100 17 6 11 0.01

$ (629) $ (544) $ (85) (0.25)




FairValue

UpfrontPremiums


Appreciation% of

Net Assets

Dow Jones CDX N.A. HY15 Index 5.000% 12/20/2015 BCLY $ 1,700 $ 53 $ 41 $ 12 0.02Dow Jones CDX N.A. HY15 Index 5.000% 12/20/2015 BOA 600 19 3 16 0.01Dow Jones CDX N.A. HY15 Index 5.000% 12/20/2015 CITI 400 12 9 3 0.00Dow Jones CDX N.A. HY15 Index 5.000% 12/20/2015 MSC 375 12 9 3 0.01Dow Jones CDX N.A. IG9 Index 0.708% 12/20/2012 DUB 579 7 0 7 0.00Dow Jones CDX N.A. IG9 Index 0.880% 12/20/2012 DUB 300 5 1 4 0.00Dow Jones CDX N.A. IG15 Index 1.000% 12/20/2015 BOA 1,000 7 5 2 0.00Dow Jones CDX N.A. IG15 Index 1.000% 12/20/2015 MSC 2,900 21 (8) 29 0.01

$ 136 $ 60 $ 76 0.05



INTEREST RATE SWAPS


NotionalAmount

FairValue

UpfrontPremiums

Paid/(Received)


% ofNet

Assets

Pay BRL-CDI-Compounded 11.360% 01/02/2012 HSBC BRL 9,900 $ 80 $ 42 $ 38 0.03Pay BRL-CDI-Compounded 11.360% 01/02/2012 MLP 3,700 30 14 16 0.01Pay BRL-CDI-Compounded 11.440% 01/02/2012 UBS 4,200 16 0 16 0.01Pay BRL-CDI-Compounded 11.890% 01/02/2013 HSBC 2,100 9 9 0 0.01Pay BRL-CDI-Compounded 11.900% 01/02/2013 MLP 1,200 4 1 3 0.00Pay BRL-CDI-Compounded 12.070% 01/02/2013 JPM 1,100 2 2 0 0.00Pay BRL-CDI-Compounded 11.890% 01/02/2014 MSC 3,600 2 0 2 0.00

$ 143 $ 68 $ 75 0.06


31 December 2010


Pay/Receive Security

# of Sharesor Units Floating Rate(3)

NotionalAmount Maturity Date Counterparty

FairValue

UpfrontPremiums


Appreciation% of

Net Assets

Receive S&P 500 Index 13 3-Month USD-LIBOR rate plus a specified spread $ 27,086 03/10/2011 BOA $ 394 $ 0 $ 394 0.16(3) Floating rate is based upon predetermined notional amounts, which may be a multiple of the number of shares or units disclosed.


Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Buy AUD 300 BNP 01/2011 $ 10 $ 0 $ 10 0.00Sell 153 RBS 01/2011 0 (11) (11) 0.00Buy BRL 1,057 CITI 03/2011 9 0 9 0.00Buy CAD 303 BNP 02/2011 7 0 7 0.00Buy 402 BOA 02/2011 8 0 8 0.01Buy 6,426 DUB 02/2011 81 0 81 0.03Sell CHF 145 RBC 02/2011 0 (10) (10) 0.00Buy CNY 4,795 BCLY 04/2011 7 0 7 0.01Buy 1,803 DUB 04/2011 6 0 6 0.00Buy 1,053 HSBC 04/2011 2 0 2 0.00Buy 1,073 MSC 04/2011 2 0 2 0.00Buy 483 JPM 11/2011 0 0 0 0.00Sell € 100 BNP 01/2011 0 (3) (3) 0.00Sell 96 BOA 01/2011 0 (3) (3) 0.00Sell 13,199 CITI 01/2011 351 0 351 0.14Sell 200 CSFB 01/2011 0 (2) (2) 0.00Sell 992 MSC 01/2011 25 (7) 18 0.00Sell 100 RBC 01/2011 0 (3) (3) 0.00Sell 86 UBS 01/2011 0 (2) (2) 0.00Sell £ 559 BCLY 03/2011 0 (3) (3) 0.00Sell 558 DUB 03/2011 0 (3) (3) 0.00Sell 372 RBS 03/2011 0 0 0 0.00Buy IDR 393,533 BCLY 07/2011 0 0 0 0.00Buy 403,300 CITI 07/2011 1 0 1 0.00Buy 512,700 HSBC 07/2011 1 0 1 0.00Buy JPY 8,270 BCLY 01/2011 3 0 3 0.00Buy 2,162 CITI 01/2011 1 0 1 0.00Buy 24,819 CSFB 01/2011 11 0 11 0.00Sell 80,154 GSC 01/2011 0 (36) (36) (0.01)Buy 3,752 JPM 01/2011 2 0 2 0.00Sell 47,711 RBC 01/2011 0 (22) (22) (0.01)Buy 2,502 RBS 01/2011 1 0 1 0.00Sell 95,421 RBS 01/2011 0 (41) (41) (0.02)Buy 34,416 UBS 01/2011 12 0 12 0.01Sell KRW 679,420 JPM 01/2011 0 (15) (15) (0.01)Buy 679,420 MSC 01/2011 5 0 5 0.00Buy 165,880 CITI 05/2011 0 (1) (1) 0.00Buy 111,900 GSC 05/2011 0 (1) (1) 0.00Buy 29,000 HSBC 05/2011 0 0 0 0.00Buy 1,243,600 JPM 05/2011 16 (2) 14 0.01Buy 253,178 RBS 05/2011 1 0 1 0.00Buy 116,150 UBS 05/2011 3 0 3 0.00Buy MXN 3,573 BCLY 02/2011 10 0 10 0.00Buy 3,712 MSC 02/2011 0 0 0 0.00Buy MYR 90 BCLY 02/2011 1 0 1 0.00Buy 90 CITI 02/2011 0 0 0 0.00Buy 367 DUB 02/2011 2 0 2 0.00Buy 80 RBS 02/2011 0 0 0 0.00Buy PHP 8,496 BCLY 04/2011 0 (4) (4) 0.00Buy 12,960 CITI 11/2011 0 (2) (2) 0.00Buy SGD 88 JPM 01/2011 2 0 2 0.00Sell 88 RBS 01/2011 0 (2) (2) 0.00Buy 261 HSBC 02/2011 4 0 4 0.00Buy 132 HSBC 03/2011 3 0 3 0.00Buy 262 DUB 06/2011 3 0 3 0.00Buy 583 GSC 06/2011 5 0 5 0.01Buy 64 JPM 06/2011 0 0 0 0.00Buy 88 RBS 06/2011 2 0 2 0.00Buy TWD 360 DUB 01/2011 0 0 0 0.00Sell 1,104 DUB 01/2011 0 0 0 0.00Buy 221 JPM 01/2011 0 0 0 0.00Buy 339 MSC 01/2011 1 0 1 0.00Buy 184 UBS 01/2011 0 0 0 0.00Buy 323 BOA 04/2011 1 0 1 0.00Buy 1,304 DUB 04/2011 2 0 2 0.00Buy 332 JPM 04/2011 1 0 1 0.00

$ 602 $ (173) $ 429 0.17





DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS


Fannie Mae4.000% due 01/01/2041(e) $ (900) $ (895) (0.36)Freddie Mac5.500% due 01/01/2041(e) (2,000) (2,132) (0.84)

(3,027) (1.20)

Total Securities Sold Short (3,027) (1.20)


DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS


BNP Paribas Bank0.080% due 01/03/2011 € 70 $ 94 0.04Brown Brothers Harriman & Co.0.005% due 01/03/2011 CHF 6 6 0.000.068% due 01/04/2011 £ 5 8 0.003.890% due 01/04/2011 AUD 6 7 0.00Deutsche Bank AG0.150% due 01/04/2011 CAD 102 103 0.04Nordea Bank AB0.030% due 01/03/2011 $ 1,229 1,229 0.49Total Overnight Time Deposits $ 1,447 0.57Other Current Assets & Liabilities $ (11,728) (4.64)Net Assets $ 253,008 100.00


(a) The StocksPLUSTM Fund is investing in Class Z Income Shares of an affiliated Fund.



(d) Cash of $130 has been pledged as collateral for swap, swaption and foreign currency contracts as at 31 December 2010 as governed by International Swaps and Derivative Association, Inc.Master Agreements.

(e) Securities sold short as at 31 December 2010 are covered by long portfolio investments in transferable securities and money market instruments.



Category3




(Level 2)



Transferable Securities $ 25,368 $ 223,343 $ 2,921 $ 251,632Deposits with Credit Institutions 0 6,100 0 6,100Financial Derivative Instruments4 8,164 456 (36) 8,584Short Sales 0 (3,027) 0 (3,027)Totals $ 33,532 $ 226,872 $ 2,885 $ 263,289


Category3

StartingBalance

at 31-Dec-2009Net

Purchases5Net

Sales5


RealisedGains/

(Losses)




Level 3

EndingBalance

at 31-Dec-2010




Transferable Securities $ 620 $ 2,346 $ (35) $ 5 $ 0 $ (15) $ 0 $ 2,921 $ (22)Financial Derivative Instruments4 0 (23) 0 0 0 (13) 0 (36) (13)Totals $ 620 $ 2,323 $ (35) $ 5 $ 0 $ (28) $ 0 $ 2,885 $ (35)


31 December 2010


Category3




(Level 2)



Transferable Securities $ 0 $ 176,800 $ 620 $ 177,420Deposits with Credit Institutions 0 600 0 600Financial Derivative Instruments4 2,252 569 0 2,821Short Sales 0 (3,168) 0 (3,168)Totals $ 2,252 $ 174,801 $ 620 $ 177,673


Category3

StartingBalance

at 31-Dec-2008Net

Purchases5Net

Sales5


RealisedGains/

(Losses)




Level 3

EndingBalance

at 31-Dec-2009




Transferable Securities $ 96 $ 613 $ (100) $ 1 $ 0 $ 10 $ 0 $ 620 $ 7Financial Derivative Instruments4 11 0 (14) 0 14 (11) 0 0 0Total $ 107 $ 613 $ (114) $ 1 $ 14 $ (1) $ 0 $ 620 $ 7





Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Buy € 318 BCLY 01/2011 $ 4 $ 0 $ 4 0.00Sell 413 BCLY 01/2011 0 (13) (13) 0.00Sell 54,794 CITI 01/2011 0 (935) (935) (0.37)Sell 140 CSFB 01/2011 0 0 0 0.00Buy 2,541 DUB 01/2011 34 0 34 0.01Buy 1,525 JPM 01/2011 46 0 46 0.02Sell 84 RBC 01/2011 0 (3) (3) 0.00Buy 87,208 RBS 01/2011 2,897 0 2,897 1.15Sell 34,269 RBS 01/2011 0 (454) (454) (0.18)Buy 649 UBS 01/2011 2 0 2 0.00Buy 42,813 CITI 02/2011 540 0 540 0.21Sell 289 CITI 02/2011 0 (8) (8) 0.00Buy 355 RBC 02/2011 10 0 10 0.00Buy 34,269 RBS 02/2011 453 0 453 0.18

$ 3,986 $ (1,413) $ 2,573 1.02


Significant Changes in Portfolio Composition StocksPLUS™ Fund



PIMCO US Dollar Short-Term Floating NAV Fund (a) 6,021,151 $ 60,186PAR

(000S)

US Treasury Notes0.750% due 05/31/2012 $ 50,300 50,310US Treasury Notes0.750% due 09/15/2013 49,000 49,336US Treasury Notes0.500% due 10/15/2013 38,500 38,448US Treasury Notes0.375% due 08/31/2012 25,354 25,303US Treasury Notes1.000% due 07/15/2013 14,200 14,262US Treasury Notes0.875% due 01/31/2012 14,200 14,193US Treasury Notes3.125% due 04/30/2017 14,200 14,187US Treasury Notes0.875% due 02/29/2012 14,000 13,982US Treasury Bills0.215% due 08/26/2010 13,326 13,314US Treasury Notes0.375% due 09/30/2012 10,742 10,741US Treasury Bills0.033% due 07/01/2010 9,000 9,000US Treasury Bills0.000% due 10/07/2010 8,667 8,666US Treasury Bills0.000% due 10/28/2010 8,600 8,598US Treasury Notes0.625% due 07/31/2012 8,500 8,534US Treasury Notes0.750% due 08/15/2013 7,500 7,555JC Penney Corp., Inc.5.650% due 06/01/2020 7,500 7,479Permanent Master Issuer PLC0.852% due 07/15/2033 €5,000 6,377US Treasury Notes1.875% due 06/30/2015 $6,300 6,313US Treasury Bills0.063% due 08/05/2010 6,300 6,295Royal Bank of Scotland PLC1.663% due 10/15/2012 6,100 6,100US Treasury Notes0.500% due 11/15/2013 5,600 5,588US Treasury Notes3.000% due 03/31/2017 5,400 5,419Fannie Mae4.500% due 09/01/2040 5,000 5,239US Treasury Bills0.000% due 10/21/2010 5,187 5,186US Treasury Notes2.500% due 04/30/2015 4,300 4,281New Jersey, Economic Development Authority

Revenue Bonds, Series 20101.480% due 06/15/2013 4,200 4,200Federal Home Loan Bank0.000% due 04/05/2010 4,200 4,200Fannie Mae0.991% due 06/25/2040 4,200 4,199US Treasury Bills0.000% due 05/13/2010 4,200 4,199US Treasury Bills0.000% due 05/27/2010 4,200 4,199US Treasury Bills0.000% due 06/24/2010 4,200 4,198US Treasury Bills0.000% due 08/12/2010 4,200 4,197Fannie Mae4.500% due 04/01/2039 4,000 4,191US Treasury Bills0.140% due 04/08/2010 4,100 4,100Freddie Mac0.195% due 08/30/2010 4,000 3,998

DESCRIPTIONPAR

(000S)COST(000S)

ING Bank NV0.919% due 01/13/2012 $ 3,800 $ 3,800Federal Home Loan Bank0.000% due 01/14/2010 3,700 3,700US Treasury Notes1.000% due 12/31/2011 3,600 3,610Freddie Mac0.960% due 08/15/2037 3,358 3,362Fannie Mae1.000% due 12/27/2012 3,300 3,333Citigroup, Inc.2.286% due 08/13/2013 3,300 3,300Fannie Mae0.991% due 06/25/2040 3,300 3,300

PROCEEDS(000S)


US Treasury Notes0.750% due 05/31/2012 50,300 $ 50,440US Treasury Notes0.750% due 09/15/2013 43,400 43,692

SHARES

PIMCO US Dollar Short-Term Floating NAV Fund (a) 3,484,902 34,835PAR

(000S)

US Treasury Notes0.500% due 10/15/2013 $ 33,900 33,841US Treasury Notes0.375% due 08/31/2012 25,354 25,362US Treasury Notes1.000% due 08/31/2011 19,300 19,390US Treasury Notes3.125% due 04/30/2017 14,200 14,343US Treasury Notes0.875% due 01/31/2012 14,200 14,199US Treasury Notes0.875% due 02/29/2012 14,000 13,967US Treasury Bills0.215% due 08/26/2010 13,326 13,325US Treasury Bills0.060% due 03/04/2010 12,000 12,000US Treasury Notes1.000% due 07/15/2013 11,000 11,068US Treasury Bills0.375% due 09/30/2012 10,742 10,744US Treasury Bills0.033% due 07/01/2010 9,000 9,000US Treasury Bills0.000% due 10/07/2010 8,667 8,667US Treasury Bills0.000% due 10/28/2010 8,600 8,599US Treasury Notes0.625% due 07/31/2012 8,500 8,541JC Penney Corp., Inc.5.650% due 06/01/2020 7,500 7,552US Treasury Bills0.020% due 02/11/2010 7,000 7,000US Treasury Notes1.875% due 06/30/2015 6,300 6,395US Treasury Bills0.063% due 08/05/2010 6,300 6,297US Cash Management Bills0.195% due 04/01/2010 6,265 6,265US Treasury Notes3.000% due 03/31/2017 5,400 5,523US Treasury Bills0.000% due 10/21/2010 5,187 5,187US Treasury Notes2.500% due 04/30/2015 4,300 4,391US Treasury Bills0.000% due 05/27/2010 4,200 4,200Federal Home Loan Bank0.000% due 04/05/2010 4,200 4,200



DESCRIPTIONPAR

(000S)PROCEEDS

(000S)


US Treasury Bills0.000% due 05/13/2010 $ 4,200 $ 4,200US Treasury Bills0.000% due 06/24/2010 4,200 4,199US Treasury Bills0.000% due 08/12/2010 4,200 4,198Fannie Mae4.500% due 04/01/2039 3,946 4,132US Treasury Bills0.140% due 04/08/2010 4,100 4,100Federal Home Loan Bank0.047% due 01/08/2010 4,000 4,000US Treasury Bills0.040% due 03/18/2010 4,000 4,000Freddie Mac0.195% due 08/30/2010 4,000 3,999US Treasury Notes0.750% due 08/15/2013 3,800 3,807Federal Home Loan Bank0.000% due 01/14/2010 3,700 3,700US Treasury Notes1.000% due 12/31/2011 3,600 3,617Federal Home Loan Bank0.055% due 01/27/2010 3,000 3,000US Treasury Bills0.005% due 01/07/2010 3,000 3,000US Treasury Bills0.200% due 09/12/2010 3,000 2,998

(a) The StocksPLUS™ Fund is investing in Class Z Income Shares of an affiliated Fund.




Portfolio of Investments and Assets Total Return Bond Fund

DESCRIPTION SHARES

FAIRVALUE(000S)

% OFNET

ASSETS


MUTUAL FUNDS (a)


PAR(000S)



04/21/2015 $ 13,700 13,910 0.07


BANKING & FINANCE

Allstate Life Global Funding Trusts5.375% due

04/30/2013 5,400 5,884 0.03Ally Financial, Inc.2.200% due

12/19/2012 10,000 10,290 0.055.375% due

06/06/2011 € 13,000 17,702 0.085.375% due

06/06/2011 $ 1,889 1,910 0.016.000% due

12/15/2011 1,200 1,222 0.016.625% due

05/15/2012 8,700 9,070 0.046.750% due

12/01/2014 2,000 2,101 0.016.875% due

09/15/2011 900 924 0.006.875% due

08/28/2012 31,300 32,839 0.167.000% due

02/01/2012 2,700 2,800 0.017.250% due

03/02/2011 6,500 6,556 0.037.500% due

12/31/2013 13,000 14,072 0.077.500% due

09/15/2020 400 422 0.008.000% due

11/01/2031 7,000 7,577 0.048.300% due

02/12/2015 14,900 16,427 0.08American Express Bank FSB5.500% due

04/16/2013 9,400 10,137 0.056.000% due

09/13/2017 20,500 22,877 0.11American Express Co.7.000% due

03/19/2018 3,200 3,733 0.02American Express Credit Corp.5.875% due

05/02/2013 4,900 5,332 0.03American General Capital II8.500% due

07/01/2030 3,300 3,572 0.02American General Finance Corp.0.552% due

12/15/2011 13,500 12,646 0.060.564% due

08/17/2011 1,100 1,037 0.014.000% due

03/15/2011 20,000 19,950 0.094.625% due

06/22/2011 € 10,000 13,263 0.065.200% due

12/15/2011 $ 300 293 0.005.625% due

08/17/2011 5,845 5,779 0.03

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

American General Institutional Capital B8.125% due 03/15/2046 $ 19,935 $ 20,284 0.10American International Group, Inc.0.404% due 03/20/2012 3,000 2,930 0.021.168% due 07/19/2013 € 5,000 6,284 0.034.000% due 09/20/2011 7,800 10,472 0.054.875% due 03/15/2067 500 530 0.004.900% due 06/02/2014 CAD 5,000 4,983 0.024.950% due 03/20/2012 $ 1,200 1,241 0.015.000% due 06/26/2017 € 8,500 10,777 0.055.050% due 10/01/2015 $ 8,900 9,175 0.045.450% due 05/18/2017 6,200 6,295 0.035.850% due 01/16/2018 4,100 4,240 0.026.400% due 12/15/2020 2,500 2,628 0.018.000% due 05/22/2038 € 34,350 44,700 0.218.175% due 05/15/2058 $ 58,600 62,837 0.308.250% due 08/15/2018 12,100 13,980 0.078.625% due 05/22/2038 £ 11,100 17,205 0.08ANZ National International Ltd.3.250% due 04/02/2012 $ 275 283 0.006.200% due 07/19/2013 8,200 9,033 0.04AXA S.A.6.379% due 12/29/2049 13,255 12,112 0.06BAC Capital Trust VII5.250% due 08/10/2035 £ 5,100 5,430 0.03Banco do Brasil S.A.6.000% due 01/22/2020 $ 10,000 10,850 0.05Banco Santander Brazil S.A.4.500% due 04/06/2015 3,400 3,485 0.02Banco Santander Chile1.539% due 04/20/2012 22,300 22,300 0.11Bank of America Corp.0.616% due 08/15/2016 2,500 2,199 0.014.500% due 04/01/2015 16,100 16,379 0.085.650% due 05/01/2018 400 409 0.006.000% due 09/01/2017 2,900 3,043 0.01Bank of America N.A.6.000% due 10/15/2036 2,500 2,367 0.016.100% due 06/15/2017 4,300 4,498 0.02Bank of China Hong Kong Ltd.5.550% due 02/11/2020 3,700 3,872 0.02Bank of India & London4.500% due 07/27/2015 4,800 4,912 0.024.750% due 09/30/2015 1,000 1,019 0.01Bank of Montreal2.850% due 06/09/2015 9,300 9,457 0.04Bank of Nova Scotia1.650% due 10/29/2015 13,900 13,302 0.06Barclays Bank PLC1.103% due 03/05/2012 475 478 0.005.000% due 09/22/2016 37,400 39,626 0.195.450% due 09/12/2012 52,100 55,857 0.276.000% due 01/23/2018 € 45,600 62,031 0.296.000% due 01/14/2021 8,300 10,819 0.056.050% due 12/04/2017 $ 1,000 1,027 0.01BBVA Bancomer S.A.7.250% due 04/22/2020 28,000 29,688 0.14Bear Stearns Cos., LLC6.950% due 08/10/2012 24,105 26,309 0.137.250% due 02/01/2018 5,500 6,527 0.03BM&F Bovespa S.A.5.500% due 07/16/2020 2,800 2,863 0.01BNP Paribas5.186% due 06/29/2049 12,550 11,515 0.05BPCE S.A.2.375% due 10/04/2013 5,500 5,486 0.029.000% due 03/29/2049 € 64,600 85,798 0.41Caelus Re Ltd.6.544% due 06/07/2011 $ 2,500 2,513 0.01Capital One Bank USA N.A.5.125% due 02/15/2014 100 106 0.006.500% due 06/13/2013 100 110 0.00Cie de Financement Foncier2.125% due 04/22/2013 34,800 35,116 0.17Citibank N.A.1.750% due 12/28/2012 5,300 5,410 0.03

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Citigroup Capital XXI8.300% due 12/21/2057 $ 27,500 $ 28,738 0.14Citigroup Funding, Inc.1.875% due 10/22/2012 7,800 7,960 0.042.250% due 12/10/2012 20,100 20,685 0.10Citigroup, Inc.0.427% due 03/16/2012 1,900 1,888 0.010.572% due 06/09/2016 30,000 26,805 0.132.286% due 08/13/2013 14,600 14,858 0.074.750% due 05/19/2015 66,500 69,701 0.335.300% due 10/17/2012 1,300 1,377 0.015.500% due 08/27/2012 3,600 3,818 0.025.500% due 04/11/2013 19,200 20,456 0.105.500% due 10/15/2014 17,600 18,979 0.095.625% due 08/27/2012 4,300 4,514 0.025.850% due 07/02/2013 900 972 0.006.000% due 08/15/2017 6,000 6,517 0.036.010% due 01/15/2015 20,000 21,960 0.106.125% due 11/21/2017 2,155 2,365 0.016.125% due 05/15/2018 4,200 4,608 0.026.375% due 08/12/2014 200 221 0.008.125% due 07/15/2039 22,600 28,842 0.148.500% due 05/22/2019 1,900 2,363 0.01Cloverie PLC for Zurich Insurance Co. Ltd.12.000% due 07/29/2049 € 36,400 56,723 0.27Commonwealth Bank of Australia0.520% due 07/08/2016 $ 5,500 5,435 0.030.522% due 12/15/2016 27,400 27,036 0.133.500% due 03/19/2015 300 309 0.005.000% due 03/19/2020 300 313 0.00Cooperatieve Centrale Raiffeisen-Boerenleenbank BA6.875% due 03/19/2020 € 38,200 48,690 0.2311.000% due 06/29/2049 $ 83,640 108,423 0.52Countrywide Financial Corp.0.726% due 05/07/2012 3,000 2,965 0.015.800% due 06/07/2012 100 105 0.00Credit Agricole S.A.6.637% due 05/29/2049 1,900 1,639 0.018.375% due 10/29/2049 15,400 15,900 0.07Credit Suisse5.000% due 05/15/2013 1,500 1,615 0.01Daimler International Finance BV1.238% due 01/27/2012 81,900 81,921 0.39Danske Bank A/S0.634% due 05/24/2012 1,250 1,248 0.01DBS Bank Ltd.0.504% due 05/16/2017 3,500 3,431 0.02Deutsche Bank AG1.084% due 02/17/2015 2,500 2,449 0.016.000% due 09/01/2017 27,700 31,074 0.15Deutsche Telekom International Finance BV5.250% due 07/22/2013 7,525 8,155 0.04Dexia Credit Local0.703% due 03/05/2013 83,200 82,976 0.39Dexia Credit Local S.A.0.768% due 04/29/2014 42,300 42,176 0.20Export-Import Bank of Korea1.352% due 03/13/2012 400 400 0.004.000% due 01/29/2021 35,400 33,205 0.165.125% due 06/29/2020 9,400 9,715 0.055.875% due 01/14/2015 1,000 1,085 0.018.125% due 01/21/2014 8,300 9,507 0.04FCE Bank PLC7.125% due 01/16/2012 € 14,500 20,036 0.097.125% due 01/15/2013 9,400 13,210 0.067.250% due 07/15/2013 65,300 92,859 0.447.875% due 02/15/2011 £ 1,000 1,577 0.019.375% due 01/17/2014 € 5,000 7,488 0.04Ford Motor Credit Co. LLC6.625% due 08/15/2017 $ 800 842 0.017.000% due 10/01/2013 500 536 0.007.250% due 10/25/2011 200 207 0.007.375% due 02/01/2011 200 201 0.007.500% due 08/01/2012 4,600 4,893 0.027.800% due 06/01/2012 5,500 5,849 0.038.000% due 06/01/2014 2,400 2,646 0.018.000% due 12/15/2016 500 559 0.008.700% due 10/01/2014 34,600 38,996 0.19


31 December 2010

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

12.000% due 05/15/2015 $ 3,000 $ 3,777 0.02Gazprom Via White Nights Finance BV10.500% due 03/08/2014 31,700 37,958 0.1810.500% due 03/25/2014 4,100 4,905 0.02General Electric Capital Corp.2.125% due 12/21/2012 40,200 41,323 0.202.625% due 12/28/2012 6,800 7,056 0.035.000% due 11/15/2011 100 104 0.005.500% due 09/15/2067 € 21,400 24,977 0.125.875% due 01/14/2038 $ 9,700 10,104 0.056.375% due 11/15/2067 19,500 19,378 0.096.500% due 09/15/2067 £ 500 727 0.006.875% due 01/10/2039 $ 5,900 6,841 0.03Glen Meadow Pass-Through Trust6.505% due 02/12/2067 9,300 7,789 0.04Goldman Sachs Group, Inc.0.753% due 03/22/2016 400 378 0.001.390% due 05/23/2016 € 2,800 3,397 0.021.393% due 01/30/2017 28,800 35,521 0.171.396% due 05/18/2015 200 250 0.005.125% due 04/24/2013 200 281 0.005.300% due 02/14/2012 $ 100 105 0.005.375% due 02/15/2013 € 300 423 0.005.625% due 01/15/2017 $ 3,320 3,515 0.025.950% due 01/18/2018 31,906 34,664 0.176.150% due 04/01/2018 6,200 6,838 0.036.250% due 09/01/2017 9,100 10,056 0.056.375% due 05/02/2018 € 500 724 0.006.750% due 10/01/2037 $ 275 282 0.007.500% due 02/15/2019 80 93 0.00GSPA Monetization Trust6.422% due 10/09/2029 19,727 19,648 0.09Hartford Financial Services Group, Inc.8.125% due 06/15/2038 3,000 3,210 0.02HSBC Finance Corp.0.496% due 08/09/2011 200 200 0.00HSBC Holdings PLC6.500% due 05/02/2036 2,700 2,828 0.016.500% due 09/15/2037 2,700 2,837 0.02Hyundai Capital America3.750% due 04/06/2016 7,000 6,883 0.03ING Bank NV1.103% due 03/30/2012 71,000 70,781 0.343.900% due 03/19/2014 2,100 2,258 0.01International Lease Finance Corp.1.425% due 08/15/2011 € 41,650 55,002 0.264.750% due 01/13/2012 $ 6,500 6,573 0.035.250% due 01/10/2013 3,200 3,216 0.025.300% due 05/01/2012 14,000 14,227 0.075.350% due 03/01/2012 11,500 11,658 0.065.400% due 02/15/2012 2,000 2,030 0.015.450% due 03/24/2011 750 756 0.005.750% due 06/15/2011 9,100 9,191 0.045.875% due 05/01/2013 1,800 1,829 0.016.375% due 03/25/2013 3,450 3,553 0.026.625% due 11/15/2013 10,000 10,263 0.056.750% due 09/01/2016 10,700 11,476 0.05Intesa Sanpaolo SpA8.375% due 10/29/2049 € 75,200 97,101 0.46IPIC GMTN Ltd.5.000% due 11/15/2020 $ 7,500 7,378 0.04JPMorgan Chase & Co.0.374% due 02/22/2012 1,200 1,199 0.001.264% due 09/26/2013 € 1,000 1,311 0.013.700% due 01/20/2015 $ 75 78 0.006.000% due 01/15/2018 7,200 8,052 0.046.300% due 04/23/2019 75 86 0.006.400% due 05/15/2038 225 256 0.006.625% due 03/15/2012 1,300 1,382 0.01JPMorgan Chase Bank N.A.6.000% due 10/01/2017 14,000 15,542 0.07JPMorgan Chase Capital XX6.550% due 09/29/2036 1,300 1,312 0.01KeyBank N.A.1.166% due 11/21/2011 € 400 528 0.00Korea Development Bank1.242% due 11/21/2011 $ 1,000 994 0.004.375% due 08/10/2015 30,000 30,904 0.15

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Kreditanstalt fuer Wiederaufbau4.875% due 06/17/2019 $ 500 $ 555 0.00LBG Capital No.1 PLC6.439% due 05/23/2020 € 32,685 35,517 0.177.375% due 03/12/2020 6,114 7,136 0.037.588% due 05/12/2020 £ 100 136 0.007.625% due 10/14/2020 € 3,800 4,461 0.027.867% due 12/17/2019 £ 16,752 22,949 0.117.869% due 08/25/2020 2,700 3,720 0.027.875% due 11/01/2020 4,800 4,392 0.028.000% due 12/29/2049 20,900 18,392 0.098.500% due 12/29/2049 900 796 0.0011.040% due 03/19/2020 200 319 0.00LBG Capital No.2 PLC6.385% due 05/12/2020 € 24,060 26,306 0.128.500% due 06/07/2032 £ 3,000 4,086 0.029.334% due 02/07/2020 5,400 8,074 0.0415.000% due 12/21/2019 3,000 5,989 0.03LeasePlan Corp. NV3.125% due 02/10/2012 € 100 137 0.003.250% due 05/22/2014 11,600 16,148 0.08Lehman Brothers Holdings, Inc. (b)0.000% due 11/24/2008 $ 10,100 2,361 0.010.000% due 12/23/2008 900 210 0.000.000% due 04/03/2009 8,300 1,940 0.010.000% due 08/21/2009 6,700 1,566 0.010.000% due 11/16/2009 16,795 3,926 0.020.000% due 05/25/2010 3,500 818 0.000.000% due 07/18/2011 4,800 1,122 0.016.875% due 05/02/2018 1,900 480 0.00Lloyds TSB Bank PLC2.300% due 04/01/2011 18,200 18,285 0.092.800% due 04/02/2012 91,000 93,252 0.444.000% due 09/29/2020 € 55,600 70,922 0.345.625% due 03/05/2018 19,700 25,628 0.126.375% due 04/15/2014 £ 10,400 17,279 0.0812.000% due 12/29/2049 $ 900 982 0.00Macquarie Bank Ltd.2.600% due 01/20/2012 6,400 6,524 0.033.300% due 07/17/2014 51,200 54,142 0.26Mellon Capital IV6.244% due 06/29/2049 2,000 1,833 0.01Merrill Lynch & Co., Inc.0.488% due 07/25/2011 200 200 0.000.533% due 06/05/2012 8,500 8,424 0.041.328% due 05/30/2014 € 300 378 0.006.050% due 08/15/2012 $ 2,150 2,278 0.016.875% due 04/25/2018 49,200 53,920 0.267.750% due 05/14/2038 175 182 0.00MetLife, Inc.6.400% due 12/15/2036 2,600 2,457 0.01Metropolitan Life Global Funding I0.689% due 07/13/2011 58,400 58,475 0.282.500% due 01/11/2013 300 307 0.00Monumental Global Funding Ltd.5.500% due 04/22/2013 4,000 4,283 0.02Morgan Stanley0.539% due 01/09/2012 10,800 10,794 0.050.769% due 10/15/2015 3,700 3,473 0.021.357% due 03/01/2013 € 10,800 13,869 0.072.786% due 05/14/2013 $ 125 130 0.005.625% due 01/09/2012 300 313 0.005.950% due 12/28/2017 12,150 12,874 0.066.000% due 04/28/2015 500 542 0.00MUFG Capital Finance 5 Ltd.6.299% due 01/29/2049 2,700 3,952 0.02Mystic Re Ltd.10.294% due 06/07/2011 2,200 2,238 0.01National Australia Bank Ltd.2.550% due 01/13/2012 510 519 0.005.350% due 06/12/2013 5,800 6,286 0.03National City Bank of Kentucky6.300% due 02/15/2011 300 302 0.00National City Bank of Pennsylvania7.250% due 10/21/2011 300 311 0.00National City Preferred Capital Trust I12.000% due 12/29/2049 5,000 5,636 0.03

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Nationwide Building Society6.250% due 02/25/2020 $ 15,800 $ 16,493 0.08Nile Finance Ltd.5.250% due 08/05/2015 4,700 4,853 0.02Nomura Holdings, Inc.6.700% due 03/04/2020 27,300 29,269 0.14Nordea Bank AB4.875% due 01/27/2020 45,600 46,867 0.22Northern Rock Asset Management PLC5.625% due 06/22/2017 55,227 56,424 0.27Pacific LifeCorp6.000% due 02/10/2020 3,700 3,896 0.02Pearson Dollar Finance Two PLC6.250% due 05/06/2018 250 278 0.00Petrobras International Finance Co.5.750% due 01/20/2020 13,800 14,387 0.075.875% due 03/01/2018 12,000 12,838 0.066.875% due 01/20/2040 2,170 2,290 0.018.375% due 12/10/2018 7,700 9,404 0.04Petroleum Export Ltd.5.265% due 06/15/2011 122 121 0.00PNC Preferred Funding Trust III8.700% due 03/29/2049 300 320 0.00Pricoa Global Funding I0.388% due 01/30/2012 7,000 6,962 0.030.503% due 09/27/2013 5,800 5,716 0.03Principal Life Income Funding Trusts5.300% due 04/24/2013 4,900 5,305 0.025.550% due 04/27/2015 7,500 8,028 0.04Qatari Diar Finance QSC5.000% due 07/21/2020 21,400 21,338 0.10QNB Finance Ltd.3.125% due 11/16/2015 55,200 54,096 0.26Rabobank Capital Funding Trust III5.254% due 12/29/2049 2,500 2,450 0.01RBS Capital Trust I4.709% due 12/29/2049 230 152 0.00Regions Financial Corp.6.375% due 05/15/2012 2,000 2,038 0.01Resona Bank Ltd.5.850% due 09/29/2049 700 700 0.00Royal Bank of Scotland Group PLC6.990% due 10/29/2049 84,200 65,255 0.31Royal Bank of Scotland PLC0.686% due 04/08/2011 3,000 3,001 0.010.986% due 05/11/2012 700 705 0.002.625% due 05/11/2012 13,300 13,619 0.073.000% due 12/09/2011 19,800 20,217 0.103.875% due 10/19/2020 € 28,200 35,717 0.173.950% due 09/21/2015 $ 13,500 13,285 0.064.875% due 08/25/2014 1,600 1,640 0.015.500% due 03/23/2020 € 12,800 16,328 0.086.000% due 06/29/2049 £ 14,850 17,437 0.086.875% due 05/17/2025 12,087 18,366 0.09RZD Capital Ltd.5.739% due 04/03/2017 $ 29,600 30,871 0.15Santander US Debt S.A. Unipersonal1.103% due 03/30/2012 79,900 79,001 0.38Shinhan Bank1.584% due 11/16/2012 2,000 1,986 0.01SLM Corp.0.518% due 10/25/2011 200 197 0.001.300% due 11/15/2011 € 300 388 0.001.758% due 10/01/2014 (c) $ 27,059 22,830 0.113.292% due 01/31/2014 (c) 18,389 17,044 0.085.375% due 05/15/2014 12,100 12,169 0.065.400% due 10/25/2011 165 168 0.005.425% due 12/15/2011 AUD 18,000 17,761 0.09Societe Generale8.750% due 10/29/2049 (h) $ 12,900 13,287 0.06State Street Capital Trust III8.250% due 01/29/2049 10,150 10,318 0.05Stone Street Trust5.902% due 12/15/2015 44,400 45,843 0.22SunTrust Bank1.134% due 12/20/2011 € 11,700 15,252 0.07


Portfolio of Investments and Assets Total Return Bond Fund (Cont.)

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Sydney Airport Finance Co. Pty Ltd.5.125% due 02/22/2021 $ 600 $ 579 0.00Temasek Financial I Ltd.4.300% due 10/25/2019 6,600 6,749 0.03Toll Brothers Finance Corp.6.750% due 11/01/2019 300 316 0.00UBS AG1.384% due 02/23/2012 16,300 16,443 0.085.750% due 04/25/2018 4,300 4,680 0.025.875% due 12/20/2017 1,100 1,211 0.017.152% due 12/29/2049 € 550 738 0.00UFJ Finance Aruba AEC6.750% due 07/15/2013 $ 2,500 2,789 0.01Union Planters Corp.7.750% due 03/01/2011 8,732 8,814 0.04USB Capital IX6.189% due 10/29/2049 3,900 3,042 0.01Wachovia Corp.0.418% due 04/23/2012 1,500 1,499 0.010.419% due 10/15/2011 23,200 23,222 0.110.422% due 03/15/2011 2,025 2,025 0.015.625% due 10/15/2016 1,000 1,089 0.005.750% due 02/01/2018 16,400 18,236 0.09Waha Aerospace BV3.925% due 07/28/2020 8,500 8,495 0.04WCI Finance LLC5.700% due 10/01/2016 8,500 9,186 0.04Wells Fargo & Co.0.389% due 01/12/2011 2,100 2,100 0.011.145% due 08/01/2011 € 300 400 0.004.875% due 01/12/2011 $ 330 330 0.00Wells Fargo Bank N.A.4.750% due 02/09/2015 300 319 0.00Wells Fargo Capital XIII7.700% due 12/29/2049 54,350 56,456 0.27Wells Fargo Capital XV9.750% due 09/29/2049 4,200 4,694 0.02Westpac Banking Corp.0.769% due 07/16/2014 3,000 3,017 0.013.585% due 08/14/2014 13,400 14,295 0.074.200% due 02/27/2015 465 488 0.00ZFS Finance USA Trust IV5.875% due 05/09/2032 876 858 0.00

4,294,740 20.39

INDUSTRIALS

Alcoa, Inc.6.150% due 08/15/2020 15,700 16,151 0.08Allied Domecq Financial Services Ltd.6.625% due 04/18/2011 £ 350 555 0.00Altria Group, Inc.4.125% due 09/11/2015 $ 12,600 13,188 0.069.950% due 11/10/2038 60 85 0.00America Movil SAB de C.V.3.750% due 06/28/2017 € 16,600 22,335 0.115.000% due 03/30/2020 $ 2,700 2,820 0.01Anheuser-Busch InBev Worldwide, Inc.3.000% due 10/15/2012 275 284 0.00Arrow Electronics, Inc.6.000% due 04/01/2020 400 409 0.00AstraZeneca PLC5.900% due 09/15/2017 2,300 2,667 0.026.450% due 09/15/2037 2,200 2,621 0.01Black & Decker Corp.8.950% due 04/15/2014 300 357 0.00BMW US Capital LLC1.118% due 07/25/2011 58,900 58,958 0.28Cardinal Health, Inc.5.500% due 06/15/2013 500 542 0.00Comcast Corp.5.875% due 02/15/2018 2,000 2,224 0.016.450% due 03/15/2037 2,000 2,144 0.01Corp. Nacional del Cobre de Chile6.150% due 10/24/2036 800 879 0.017.500% due 01/15/2019 5,500 6,717 0.03

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

COX Communications, Inc.4.625% due 06/01/2013 $ 2,804 $ 3,002 0.01CSN Islands XI Corp.6.875% due 09/21/2019 5,300 5,751 0.03CSN Resources S.A.6.500% due 07/21/2020 19,200 20,352 0.10Dell, Inc.5.650% due 04/15/2018 10,400 11,407 0.05DISH DBS Corp.7.125% due 02/01/2016 325 337 0.00Dow Chemical Co.2.536% due 08/08/2011 800 809 0.004.850% due 08/15/2012 10,000 10,546 0.056.000% due 10/01/2012 1,300 1,401 0.017.600% due 05/15/2014 175 202 0.00E.I. Du Pont de Nemours & Co.5.000% due 01/15/2013 1,498 1,610 0.015.000% due 07/15/2013 1,700 1,860 0.01Ecopetrol S.A.7.625% due 07/23/2019 5,000 5,800 0.03EnCana Corp.6.500% due 02/01/2038 275 299 0.00Georgia-Pacific LLC8.250% due 05/01/2016 2,000 2,268 0.01Gerdau Holdings, Inc.7.000% due 01/20/2020 2,400 2,652 0.01Gerdau Trade, Inc.5.750% due 01/30/2021 19,600 19,747 0.09Gold Fields Orogen Holding BVI Ltd.4.875% due 10/07/2020 16,200 15,527 0.07HCA, Inc.8.500% due 04/15/2019 18,550 20,405 0.109.250% due 11/15/2016 70 75 0.00Hutchison Whampoa International Ltd.4.625% due 09/11/2015 9,700 10,205 0.057.625% due 04/09/2019 10,000 12,034 0.06Hyundai Motor Manufacturing Czech S.R.O.4.500% due 04/15/2015 6,900 7,087 0.03IBM Corp.0.868% due 07/28/2011 1,700 1,706 0.015.700% due 09/14/2017 51,300 58,963 0.28International Paper Co.7.950% due 06/15/2018 1,000 1,192 0.01ITV PLC5.375% due 10/19/2015 £ 550 840 0.00Kellogg Co.5.125% due 12/03/2012 $ 5,800 6,219 0.03Kraft Foods, Inc.2.625% due 05/08/2013 2,160 2,223 0.016.875% due 02/01/2038 100 116 0.00Limited Brands, Inc.6.900% due 07/15/2017 200 214 0.00McDonald’s Corp.5.000% due 02/01/2019 9,800 10,735 0.05Noble Group Ltd.4.875% due 08/05/2015 7,800 8,049 0.046.625% due 08/05/2020 8,100 8,514 0.046.750% due 01/29/2020 23,600 26,227 0.12Nucor Corp.6.400% due 12/01/2037 9,300 10,824 0.05Oracle Corp.4.950% due 04/15/2013 12,270 13,374 0.065.000% due 01/15/2011 1,700 1,702 0.015.750% due 04/15/2018 11,070 12,683 0.06Pemex Project Funding Master Trust5.500% due 02/24/2025 € 200 263 0.007.500% due 12/18/2013 £ 400 693 0.01Petroleos Mexicanos5.500% due 01/09/2017 € 300 421 0.006.000% due 03/05/2020 $ 15,300 16,294 0.088.000% due 05/03/2019 18,960 22,942 0.11Pfizer, Inc.6.500% due 06/03/2038 £ 17,600 32,933 0.16President & Fellows of Harvard College6.500% due 01/15/2039 $ 1,400 1,661 0.01

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Princeton University5.700% due 03/01/2039 $ 9,700 $ 10,450 0.05Reynolds American, Inc.7.625% due 06/01/2016 100 116 0.00Roche Holdings, Inc.2.288% due 02/25/2011 400 401 0.00Rohm & Haas Co.6.000% due 09/15/2017 3,900 4,274 0.02SABIC Capital I BV3.000% due 11/02/2015 126,000 124,801 0.59Shell International Finance BV5.500% due 03/25/2040 6,500 6,990 0.03Spirit Issuer PLC1.836% due 12/28/2011 £ 340 362 0.00Sprint Capital Corp.7.625% due 01/30/2011 $ 9,701 9,737 0.05Time Warner Cable, Inc.8.250% due 02/14/2014 225 261 0.00Time Warner, Inc.5.875% due 11/15/2016 10,270 11,606 0.06Transocean, Inc.4.950% due 11/15/2015 5,100 5,276 0.03United Airlines 2009-1 Pass-Through Trust10.400% due 11/01/2016 38,265 44,196 0.21Vale Overseas Ltd.4.625% due 09/15/2020 6,000 5,970 0.036.250% due 01/23/2017 1,500 1,676 0.016.875% due 11/21/2036 1,500 1,654 0.016.875% due 11/10/2039 3,000 3,330 0.01Wal-Mart Stores, Inc.4.250% due 04/15/2013 1,000 1,075 0.016.200% due 04/15/2038 11,300 12,909 0.06Windstream Corp.8.625% due 08/01/2016 12,500 13,219 0.06

783,403 3.72

UTILITIES

AEP Texas North Co.5.500% due 03/01/2013 2,000 2,150 0.01Carolina Power & Light Co.6.500% due 07/15/2012 175 189 0.00Cellco Partnership2.884% due 05/20/2011 11,600 11,717 0.065.250% due 02/01/2012 34,900 36,538 0.178.500% due 11/15/2018 250 328 0.00CMS Energy Corp.5.050% due 02/15/2018 14,200 14,112 0.07Crown Castle Towers LLC6.113% due 01/15/2020 100 105 0.00Duke Energy Carolinas LLC6.250% due 01/15/2012 1,700 1,795 0.01Duquesne Light Holdings, Inc.6.400% due 09/15/2020 29,700 29,532 0.14EDF S.A.5.500% due 01/26/2014 4,800 5,273 0.036.500% due 01/26/2019 5,650 6,603 0.036.950% due 01/26/2039 5,400 6,411 0.03El Paso Corp.7.800% due 08/01/2031 300 300 0.008.050% due 10/15/2030 2,800 2,855 0.01El Paso Performance-Linked Trust7.750% due 07/15/2011 11,260 11,583 0.05Entergy Corp.3.625% due 09/15/2015 29,900 29,605 0.14Gazprom OAO Via Morgan Stanley Bank AG9.625% due 03/01/2013 5,200 5,908 0.03Gazprom Via Gaz Capital S.A.6.212% due 11/22/2016 1,400 1,491 0.017.343% due 04/11/2013 2,600 2,834 0.018.146% due 04/11/2018 6,000 6,975 0.03Gazprom Via Gazprom International S.A.7.201% due 02/01/2020 8,638 9,214 0.04Kinder Morgan Energy Partners LP7.400% due 03/15/2031 290 325 0.00


31 December 2010

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Korea Electric Power Corp.3.000% due 10/05/2015 $ 29,500 $ 28,794 0.14Korea Hydro & Nuclear Power Co. Ltd.3.125% due 09/16/2015 23,000 22,346 0.11Majapahit Holding BV7.250% due 06/28/2017 4,600 5,232 0.037.750% due 01/20/2020 9,200 10,649 0.05Midamerican Energy Holdings Co.6.125% due 04/01/2036 2,900 3,143 0.01Nakilat, Inc.6.067% due 12/31/2033 1,900 2,009 0.01NextEra Energy Capital Holdings, Inc.5.350% due 06/15/2013 1,500 1,626 0.01NGPL PipeCo LLC6.514% due 12/15/2012 5,800 6,263 0.03Nisource Finance Corp.6.125% due 03/01/2022 13,970 15,083 0.07NRG Energy, Inc.8.250% due 09/01/2020 20,200 20,806 0.10NV Energy, Inc.6.250% due 11/15/2020 10,000 10,100 0.05Public Service Electric & Gas Co.5.300% due 05/01/2018 11,200 12,547 0.06Qtel International Finance Ltd.3.375% due 10/14/2016 5,900 5,635 0.034.750% due 02/16/2021 6,900 6,609 0.035.000% due 10/19/2025 35,000 31,843 0.15Qwest Capital Funding, Inc.7.250% due 02/15/2011 400 402 0.00Qwest Corp.3.552% due 06/15/2013 45 47 0.007.875% due 09/01/2011 15,200 15,694 0.078.875% due 03/15/2012 50 54 0.00Ras Laffan Liquefied Natural Gas Co. Ltd. II5.298% due 09/30/2020 1,634 1,727 0.01Ras Laffan Liquefied Natural Gas Co. Ltd. III5.500% due 09/30/2014 5,000 5,390 0.035.838% due 09/30/2027 5,000 5,161 0.026.750% due 09/30/2019 300 347 0.00Sonat, Inc.7.625% due 07/15/2011 400 412 0.00Spectra Energy Capital LLC5.500% due 03/01/2014 200 218 0.00Telecom Italia Capital S.A.0.899% due 07/18/2011 8,600 8,580 0.045.250% due 10/01/2015 80 82 0.006.999% due 06/04/2018 1,000 1,060 0.01Total Capital S.A.4.450% due 06/24/2020 5,300 5,504 0.03TransCanada PipeLines Ltd.3.800% due 10/01/2020 700 685 0.007.625% due 01/15/2039 2,200 2,854 0.02UIL Holdings Corp.4.625% due 10/01/2020 400 379 0.00Verizon New Jersey, Inc.7.850% due 11/15/2029 310 334 0.00Vodafone Group PLC5.625% due 02/27/2017 100 112 0.00

417,570 1.98

Total Corporate Bonds & Notes 5,495,713 26.09


Boston Properties LP2.875% due 02/15/2037 6,000 6,120 0.03Chesapeake Energy Corp.2.250% due 12/15/2038 5,600 4,389 0.02National City Corp.4.000% due 02/01/2011 3,000 3,019 0.01Transocean, Inc.1.500% due 12/15/2037 72,500 71,775 0.34

85,303 0.40

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS


Alameda County, California, Joint Powers AuthorityLease Revenue Bonds, Series 2010

7.046% due 12/01/2044 $ 5,900 $ 5,767 0.03Austin, Texas Build America General Obligation

Bonds, Series 20104.631% due 04/01/2033 300 277 0.004.681% due 04/01/2040 200 182 0.00Buckeye, Ohio, Tobacco Settlement Financing

Authority Revenue Bonds, Series 20075.875% due 06/01/2047 200 132 0.00California, Bay Area Toll Authority Revenue Bonds,

Series 20107.043% due 04/01/2050 18,200 18,421 0.09California, California State University Revenue

Bonds, Series 20106.484% due 11/01/2041 9,900 9,818 0.05California, General Obligation Bonds, Series 20095.650% due 04/01/2039 3,800 4,021 0.027.500% due 04/01/2034 4,000 4,143 0.02California, General Obligation Bonds, Series 20107.600% due 11/01/2040 16,100 16,782 0.087.625% due 03/01/2040 21,800 22,768 0.117.950% due 03/01/2036 1,300 1,335 0.00California, Infrastructure & Economic Development

Bank Revenue Bonds, Series 20106.486% due 05/15/2049 4,000 3,977 0.02California, Public Works Board Revenue Bonds,

Series 20107.804% due 03/01/2035 15,400 15,204 0.07Calleguas-Las Virgenes, California, Public Financing

Authority Water Revenue Bonds, Series 20105.944% due 07/01/2040 6,000 5,842 0.03Chicago, Illinois, Board of Education General

Obligation Bonds, Series 20085.250% due 12/01/2026 100 100 0.00Chicago, Illinois, Finance Authority Revenue Bonds,

Series 20095.500% due 07/01/2037 100 103 0.00Chicago, Illinois, General Obligation Bonds,

Series 20035.000% due 01/01/2035 155 138 0.00Chicago, Illinois, Transit Authority Revenue Bonds,

Series 20086.300% due 12/01/2021 900 958 0.006.899% due 12/01/2040 14,200 14,084 0.07Chicago, Illinois, Transit Authority Sales Tax

Receipts Revenue Bonds, Series 20106.200% due 12/01/2040 4,500 4,108 0.02Clark, Nevada, Airport Revenue Bonds, Series 20106.820% due 07/01/2045 6,800 6,652 0.03Connecticut, General Obligation Bonds, Series 20085.850% due 03/15/2032 2,300 2,365 0.01Dallas, Texas, Area Rapid Transit Sales Tax Revenue

Bonds, Series 20105.022% due 12/01/2048 2,200 1,948 0.01Dallas, Texas, Waterworks & Sewer Systems

Revenue Bonds, Series 20088.284% due 10/01/2031 5,600 6,250 0.03Denver, Colorado Health Facilities Authority Revenue

Bonds, Series 20065.000% due 09/01/2036 3,100 2,929 0.01Friendswood, Texas, Independent School District

General Obligation Bonds, Series 20088.253% due 02/15/2031 3,100 3,448 0.02Georgia, Municipal Electric Authority Revenue

Bonds, Series 20106.655% due 04/01/2057 1,300 1,259 0.01Illinois, General Obligation Bonds, Series 20104.071% due 01/01/2014 10,300 10,399 0.056.725% due 04/01/2035 4,600 4,227 0.026.900% due 03/01/2035 3,200 2,977 0.01Iowa, Tobacco Settlement Authority Revenue Bonds,

Series 20056.500% due 06/01/2023 970 892 0.00

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Las, Vegas, Nevada, General Obligation Bonds,Series 2010

6.572% due 06/01/2040 $ 47,100 $ 45,285 0.22Los Angeles, California, Unified School District


4.500% due 07/01/2024 1,000 929 0.00Los Angeles, California, Unified School District

General Obligation Bonds, Series 20106.758% due 07/01/2034 19,200 19,905 0.10Los Angeles, California, Waste Water Systems

Revenue Bonds, Series 20105.713% due 06/01/2039 5,300 4,952 0.02Miami, Florida, Miami International Airport Revenue

Bonds, Series 20085.000% due 10/01/2041 4,800 4,513 0.02Nebraska, Public Power Generation Agency Revenue

Bonds, Series 20097.242% due 01/01/2041 6,400 6,326 0.03Nevada, Truckee Meadows Water Authority Revenue

Bonds, Series 20055.000% due 07/01/2036 1,100 1,051 0.01New Brunswick, New Jersey, State Turnpike

Authority Revenue Bonds, Series 20097.414% due 01/01/2040 25,000 27,465 0.13New Jersey, Economic Development Authority

Revenue Bond, Series 20106.425% due 12/15/2035 25,000 24,799 0.12New York, Dormitory Authority Revenue Bonds,

Series 20105.051% due 09/15/2027 27,100 25,247 0.12New York, New York, Municipal Water Finance

Authority Revenue Bonds, Series 20088.210% due 06/15/2031 4,700 4,965 0.02New York, New York, Municipal Water Finance

Authority Revenue Bonds, Series 20105.440% due 06/15/2043 600 566 0.00New York, New York, Port Authority of New York &

New Jersey Revenue Bonds, Series 20105.647% due 11/01/2040 6,800 6,576 0.03New York, New York, Transitional Finance Authority

Revenue Bonds, Series 20105.508% due 08/01/2037 200 193 0.005.932% due 11/01/2036 11,700 11,042 0.05Oakland, California, Bay Area Toll Authority Toll

Bridge Revenue Bonds, Series 20106.907% due 10/01/2050 7,300 7,325 0.04Palomar, California, Community College District


7.194% due 08/01/2045 3,700 3,556 0.02Pasadena, California Public Financing Authority

Lease Revenue Bonds, Series 20107.148% due 03/01/2043 43,100 42,234 0.20Pennsylvania, Economic Development Financing

Authority Revenue Bonds, Series 20106.532% due 06/15/2039 7,700 7,489 0.04Pittsburgh, Pennsylvania, University of Pittsburgh

Revenue Bonds, Series 20095.000% due 09/15/2028 5,000 5,149 0.02Rhode Island, Tobacco Settlement Financing Corp.

Revenue Bonds, Series 20026.250% due 06/01/2042 450 402 0.00Riverside County, California, Riverside Community

College District General Obligation Bonds,Series 2010

6.971% due 08/01/2035 1,100 1,081 0.007.021% due 08/01/2040 2,000 1,961 0.01Sacramento, California, Build America General

Obligation Bonds, Series 20097.550% due 04/01/2039 4,000 4,153 0.02San Antonio, Texas Electric and Gas Revenue Bonds,

Series 20106.308% due 02/01/2037 4,100 4,027 0.02San Antonio, Texas, Electric and Gas Systems




DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

San Diego, California, Tobacco SecuritizationAuthority Revenue Bonds, Series 2006

5.125% due 06/01/2046 $ 3,400 $ 2,115 0.01San Francisco, California, City & County Airports

Commission Revenue Bonds, (MBIA Insured),Series 2002

5.000% due 05/01/2032 3,800 3,604 0.02Texas, Transportation Commission Revenue Bonds,

Series 20105.178% due 04/01/2030 5,600 5,553 0.03Washington, State Convention Center Public Facilities

District Revenue Bonds, Series 20106.790% due 07/01/2040 37,000 36,176 0.17

482,732 2.29


Fannie Mae0.321% due 12/25/2036 -

07/25/2037 4,660 4,600 0.020.381% due 03/25/2034 89 88 0.000.500% due 10/30/2012 46,200 46,015 0.220.571% due 04/25/2037 10,520 10,547 0.050.611% due 09/25/2042 -

02/25/2044 2,963 2,965 0.020.711% due 09/25/2035 20,873 20,889 0.100.750% due 12/18/2013 327,100 323,682 1.540.850% due 08/17/2012 34,600 34,618 0.170.911% due 05/25/2030 1,760 1,760 0.011.000% due 09/23/2013 93,500 93,421 0.441.125% due 09/30/2013 97,400 97,677 0.461.161% due 04/25/2032 230 234 0.001.250% due 08/20/2013 -

03/14/2014 118,400 117,915 0.561.542% due 10/01/2044 134 134 0.001.625% due 10/26/2015 125,700 122,658 0.581.742% due 10/01/2040 34 34 0.001.750% due 02/22/2013 -

05/07/2013 31,000 31,677 0.152.375% due 07/28/2015 400 406 0.002.402% due 12/01/2034 453 466 0.002.403% due 11/01/2035 402 416 0.002.499% due 04/01/2033 73 76 0.002.500% due 05/15/2014 11,200 11,630 0.062.501% due 09/01/2039 42 43 0.002.546% due 11/01/2025 10 10 0.002.631% due 05/25/2035 422 434 0.002.637% due 09/01/2035 220 228 0.002.684% due 06/01/2035 7,108 7,424 0.042.710% due 11/01/2034 482 505 0.002.750% due 02/05/2014 -

03/13/2014 16,800 17,571 0.082.875% due 12/11/2013 17,900 18,830 0.092.900% due 04/07/2014 1,000 1,006 0.012.918% due 07/01/2035 125 131 0.003.000% due 09/16/2014 37,200 39,217 0.193.017% due 07/01/2035 482 505 0.003.500% due 08/01/2040 -

11/01/2040 1,089 1,041 0.014.000% due 01/02/2024 -

02/01/2041 1,593,263 1,586,973 7.534.125% due 04/15/2014 119,200 130,103 0.624.375% due 03/15/2013 -

10/15/2015 78,300 84,567 0.404.500% due 02/01/2041 5,024,553 5,164,123 24.514.625% due 10/15/2013 -

10/15/2014 52,735 58,145 0.284.773% due 09/01/2034 224 233 0.004.783% due 09/01/2035 860 911 0.014.835% due 09/01/2034 8,493 8,938 0.044.875% due 12/15/2016 1,700 1,908 0.015.000% due 03/15/2016 -

06/25/2043 873,594 921,472 4.375.111% due 11/01/2012 214 224 0.005.285% due 09/01/2035 355 378 0.005.375% due 06/12/2017 12,100 13,951 0.075.487% due 01/01/2036 138 147 0.005.500% due 03/01/2016 -

01/01/2041 686,620 735,444 3.495.505% due 03/01/2036 152 162 0.005.573% due 03/01/2036 127 135 0.00

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

5.580% due 06/01/2013 $ 550 $ 590 0.005.682% due 05/01/2037 1,371 1,457 0.015.738% due 09/01/2014 222 243 0.005.900% due 07/25/2042 175 194 0.005.939% due 11/01/2011 159 162 0.005.950% due 02/25/2044 445 490 0.006.000% due 07/01/2016

- 01/01/2041 951,864 1,036,383 4.926.062% due 05/01/2012 542 559 0.006.085% due 05/01/2011 97 98 0.006.113% due 02/01/2012 329 341 0.006.465% due 12/25/2042 272 315 0.006.500% due 03/01/2017

- 01/01/2040 41,899 46,628 0.22Federal Home Loan Bank0.875% due 12/27/2013 15,100 14,978 0.07Freddie Mac0.147% due 02/01/2011 3,500 3,500 0.020.410% due 07/15/2019

- 08/15/2019 14,197 14,180 0.070.515% due 11/26/2012 12,300 12,266 0.060.560% due 05/15/2036 3,600 3,604 0.020.740% due 10/15/2040 1,487 1,486 0.010.875% due 10/28/2013 6,800 6,769 0.031.542% due 10/25/2044

- 02/25/2045 474 467 0.001.742% due 07/25/2044 844 827 0.002.500% due 01/07/2014

- 04/23/2014 19,800 20,574 0.102.520% due 09/01/2035 272 283 0.002.551% due 09/01/2028 13 13 0.002.680% due 01/01/2028 9 9 0.002.737% due 07/01/2032 24 26 0.002.780% due 07/01/2027 11 11 0.002.813% due 07/01/2030 3 3 0.003.000% due 07/28/2014 14,900 15,698 0.073.500% due 05/29/2013 37,600 39,960 0.193.750% due 03/27/2019 1,900 1,970 0.014.000% due 12/01/2040 3,000 2,982 0.014.125% due 09/27/2013 19,800 21,470 0.104.375% due 07/17/2015 42,400 46,816 0.224.500% due 01/15/2013

- 11/01/2040 271,133 284,633 1.354.775% due 11/01/2035 1,108 1,175 0.014.875% due 11/15/2013 8,800 9,761 0.055.000% due 01/30/2014

- 06/15/2033 52,863 59,294 0.285.250% due 04/18/2016 4,500 5,154 0.025.500% due 07/18/2016

- 07/01/2038 62,736 68,379 0.336.000% due 05/01/2016

- 05/01/2040 139,941 151,852 0.726.500% due 09/15/2028 955 1,016 0.017.000% due 08/01/2036 394 443 0.00Ginnie Mae0.561% due 01/16/2031 135 135 0.000.761% due 02/16/2030 41 41 0.000.861% due 02/16/2030 40 41 0.002.625% due 07/20/2025

- 07/20/2034 421 431 0.013.000% due 01/20/2032

- 12/20/2034 332 341 0.003.125% due 10/20/2026 4 4 0.003.375% due 02/20/2028

- 04/20/2030 65 68 0.005.500% due 06/15/2029

- 12/15/2033 201 218 0.006.000% due 03/15/2033

- 05/15/2040 11,558 12,707 0.068.000% due 05/20/2031 45 54 0.008.500% due 05/15/2030 4 4 0.00Small Business Administration4.875% due 09/10/2013 2,967 3,118 0.015.870% due 07/01/2028 165 177 0.006.220% due 12/01/2028 8,727 9,600 0.056.344% due 08/01/2011 52 53 0.00Tennessee Valley Authority5.250% due 09/15/2039 700 743 0.00

11,621,461 55.16

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS


Treasury Inflation Protected Securities (c)1.250% due 07/15/2020 $ 61,476 $ 63,032 0.301.750% due 01/15/2028 66,502 67,863 0.321.875% due 07/15/2019 40,358 43,937 0.212.000% due 01/15/2026 135,208 143,902 0.682.125% due 02/15/2040 15,280 16,232 0.082.375% due 01/15/2025 -

01/15/2027 216,621 241,418 1.152.500% due 01/15/2029 122,649 139,552 0.663.375% due 04/15/2032 10,966 14,207 0.073.625% due 04/15/2028 47,193 61,067 0.293.875% due 04/15/2029 33,659 45,248 0.21US Treasury Bills0.172% due 01/06/2011 -

06/16/2011 (d) 1,740 1,739 0.01US Treasury Notes0.375% due 10/31/2012 11,600 11,566 0.060.500% due 11/30/2012 -

11/15/2013 (d)(e) 1,141,000 1,127,991 5.360.750% due 08/15/2013 -

12/15/2013 (e) 1,236,800 1,230,644 5.841.000% due 07/15/2013 92,300 92,769 0.441.125% due 06/15/2013 55,200 55,661 0.261.375% due 11/30/2015 37,200 36,157 0.171.875% due 06/30/2015 -

10/31/2017 242,500 242,949 1.152.125% due 11/30/2014 -

12/31/2015 (d)(e) 642,600 654,634 3.112.375% due 09/30/2014 -

10/31/2014 201,300 208,446 0.992.500% due 04/30/2015 265,200 274,213 1.302.625% due 12/31/2014 110,900 115,657 0.552.750% due 02/15/2019 3,800 3,752 0.023.125% due 10/31/2016 500 522 0.003.375% due 11/15/2019 4,500 4,594 0.02

4,897,752 23.25


Adjustable Rate Mortgage Trust3.038% due 05/25/2035 44 44 0.00American Home Mortgage Investment Trust2.261% due 02/25/2045 1,537 1,379 0.01Arran Residential Mortgages Funding PLC2.203% due 05/16/2047 € 10,100 13,539 0.062.403% due 05/16/2047 27,700 37,035 0.18Banc of America Commercial Mortgage, Inc.5.451% due 01/15/2049 $ 600 627 0.005.740% due 05/10/2045 6,400 7,015 0.045.742% due 02/10/2051 400 427 0.00Banc of America Funding Corp.2.822% due 06/25/2034 2,020 1,955 0.012.861% due 05/25/2035 2,241 2,185 0.01Banc of America Large Loan, Inc.0.770% due 08/15/2029 1,344 1,250 0.01Banc of America Mortgage Securities, Inc.2.945% due 07/25/2035 5,629 4,853 0.023.039% due 03/25/2035 4,837 4,309 0.025.500% due 12/25/2020 5,067 5,161 0.036.500% due 09/25/2033 125 130 0.00Bear Stearns Adjustable Rate Mortgage Trust2.330% due 08/25/2035 18,752 18,000 0.092.430% due 08/25/2035 74 71 0.002.560% due 10/25/2035 664 597 0.002.850% due 04/25/2033 344 335 0.003.113% due 01/25/2034 1,206 1,161 0.013.315% due 04/25/2034 1,281 1,083 0.003.436% due 12/25/2035 3,512 3,381 0.023.516% due 11/25/2030 14 14 0.004.364% due 04/25/2034 976 965 0.00Bear Stearns Alternative-A Trust0.421% due 02/25/2034 285 228 0.002.875% due 05/25/2035 3,055 2,390 0.012.955% due 09/25/2035 2,545 1,951 0.01Bear Stearns Commercial Mortgage Securities4.750% due 02/13/2046 270 284 0.005.471% due 01/12/2045 100 107 0.005.700% due 06/13/2050 9,700 10,124 0.05


31 December 2010

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Bear Stearns Mortgage Funding Trust0.331% due 02/25/2037 $ 116 $ 116 0.00Citigroup & Deutsche Bank Commercial

Mortgage Trust5.617% due 10/15/2048 400 429 0.005.886% due 11/15/2044 200 214 0.00Citigroup Commercial Mortgage Trust5.698% due 12/10/2049 91 97 0.00Citigroup Mortgage Loan Trust, Inc.2.510% due 08/25/2035 21,647 20,421 0.102.630% due 10/25/2035 8,079 7,135 0.032.680% due 12/25/2035 787 758 0.00Commercial Mortgage Pass-Through Certificates5.306% due 12/10/2046 2,800 2,924 0.01Countrywide Alternative Loan Trust0.441% due 05/25/2047 4,631 2,697 0.01Countrywide Home Loan Mortgage

Pass-Through Trust0.551% due 04/25/2035 444 291 0.000.601% due 06/25/2035 421 363 0.002.375% due 07/19/2031 1 1 0.002.920% due 02/20/2035 6,970 6,076 0.033.017% due 02/20/2036 970 778 0.003.121% due 11/25/2034 4,045 3,287 0.025.750% due 05/25/2033 45 46 0.006.500% due 01/25/2034 56 57 0.00Credit Suisse First Boston Mortgage Securities Corp.2.585% due 06/25/2033 53 51 0.003.936% due 05/15/2038 380 394 0.00Credit Suisse Mortgage Capital Certificates5.659% due 03/15/2039 100 105 0.00Downey Savings & Loan Association Mortgage

Loan Trust2.470% due 07/19/2044 79 63 0.00Extended Stay America Trust2.951% due 11/05/2027 73,582 72,452 0.34First Horizon Alternative Mortgage Securities2.550% due 10/25/2034 1,431 1,261 0.012.570% due 09/25/2035 132 98 0.00Fosse Master Issuer PLC2.259% due 10/18/2054 £ 126,000 197,772 0.942.369% due 10/18/2054 126,000 197,933 0.942.378% due 10/18/2054 € 110,700 148,273 0.702.387% due 10/18/2054 29,000 38,870 0.19GE Capital Commercial Mortgage Corp.4.353% due 06/10/2048 $ 183 185 0.00GMAC Mortgage Corp. Loan Trust5.500% due 09/25/2034 6 6 0.00Granite Master Issuer PLC0.351% due 12/17/2054 2,753 2,563 0.01Greenpoint Mortgage Funding Trust0.341% due 10/25/2046 1,508 1,399 0.010.341% due 01/25/2047 143 137 0.00Greenwich Capital Commercial Funding Corp.5.444% due 03/10/2039 400 422 0.00GSR Mortgage Loan Trust2.574% due 06/25/2034 680 582 0.002.825% due 09/25/2035 262 251 0.002.964% due 01/25/2036 17,829 13,997 0.073.947% due 06/25/2034 1,110 1,039 0.015.193% due 11/25/2035 4,648 4,538 0.025.500% due 01/25/2037 2,241 1,907 0.01Harborview Mortgage Loan Trust0.451% due 01/19/2038 430 289 0.000.481% due 05/19/2035 1,027 675 0.00Indymac ARM Trust1.959% due 01/25/2032 4 3 0.00JPMorgan Chase Commercial Mortgage

Securities Corp.4.070% due 11/15/2043 20,533 19,567 0.095.440% due 06/12/2047 2,700 2,833 0.025.742% due 02/12/2049 310 330 0.005.794% due 02/12/2051 5,000 5,334 0.035.882% due 02/15/2051 375 398 0.00JPMorgan Mortgage Trust2.974% due 07/25/2035 2,291 2,055 0.015.036% due 02/25/2035 2,628 2,638 0.01

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

5.750% due 01/25/2036 $ 3,033 $ 2,750 0.02MASTR Adjustable Rate Mortgages Trust2.899% due 11/21/2034 1,365 1,370 0.01MASTR Asset Securitization Trust5.500% due 09/25/2033 87 89 0.00Merrill Lynch Countrywide Commercial

Mortgage Trust5.172% due 12/12/2049 2,600 2,695 0.025.485% due 03/12/2051 200 204 0.005.700% due 09/12/2049 200 209 0.005.965% due 08/12/2049 500 539 0.00Merrill Lynch Floating Rate Trust0.802% due 07/09/2021 250 241 0.00Merrill Lynch Mortgage Investors, Inc.0.471% due 02/25/2036 2,920 2,260 0.012.752% due 06/25/2035 5,643 5,007 0.02MLCC Mortgage Investors, Inc.0.511% due 11/25/2035 710 607 0.011.707% due 10/25/2035 398 363 0.00Morgan Stanley Capital I5.388% due 03/12/2044 575 620 0.005.692% due 04/15/2049 25,138 26,096 0.135.879% due 06/11/2049 400 429 0.00Morgan Stanley Dean Witter Capital I4.740% due 11/13/2036 100 105 0.00Morgan Stanley Reremic Trust5.807% due 08/12/2045 2,000 2,142 0.01Prime Mortgage Trust0.661% due 02/25/2019 40 39 0.000.661% due 02/25/2034 298 272 0.00Provident Funding Mortgage Loan Trust2.773% due 08/25/2033 71 67 0.00RAAC Series5.000% due 09/25/2034 4 4 0.00Resecuritization Mortgage Trust0.511% due 04/26/2021 0 0 0.00Residential Funding Mortgage Securities I5.602% due 02/25/2036 980 686 0.006.500% due 03/25/2032 23 23 0.00Storm BV1.822% due 03/22/2052 € 11,392 15,142 0.07Structured Asset Mortgage Investments, Inc.0.361% due 09/25/2047 $ 192 193 0.000.481% due 05/25/2036 379 225 0.000.511% due 07/19/2035 3,100 2,692 0.020.591% due 10/19/2034 84 77 0.000.921% due 09/19/2032 378 337 0.00Structured Asset Securities Corp.2.382% due 01/25/2032 10 9 0.002.497% due 06/25/2033 88 79 0.00Thornburg Mortgage Securities Trust0.371% due 11/25/2046 3,012 2,973 0.010.381% due 10/25/2046 7,434 7,370 0.04Wachovia Bank Commercial Mortgage Trust0.340% due 06/15/2020 7,766 7,268 0.030.351% due 09/15/2021 14,532 14,164 0.070.435% due 06/15/2049 2,600 2,044 0.015.308% due 11/15/2048 2,000 2,125 0.015.342% due 12/15/2043 11,345 11,483 0.065.418% due 01/15/2045 410 440 0.00WaMu Mortgage Pass-Through Certificates0.551% due 10/25/2045 717 610 0.001.528% due 11/25/2042 498 444 0.001.728% due 08/25/2042 778 708 0.012.904% due 02/27/2034 1,815 1,856 0.013.163% due 09/25/2046 3,705 2,798 0.01Washington Mutual Alternative Mortgage

Pass-Through Certificates0.711% due 05/25/2035 4,158 2,911 0.01Washington Mutual MSC Mortgage

Pass-Through Certificates2.204% due 02/25/2031 3 3 0.00Wells Fargo Mortgage-Backed Securities Trust2.893% due 10/25/2035 400 388 0.002.897% due 07/25/2034 496 512 0.003.425% due 03/25/2036 8,517 7,575 0.043.426% due 03/25/2036 16,622 14,391 0.07

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

4.500% due 11/25/2018 $ 222 $ 225 0.005.251% due 08/25/2036 52 51 0.00

1,030,620 4.89


Access Group, Inc.1.588% due 10/27/2025 336 344 0.00ACE Securities Corp.0.321% due 10/25/2036 730 258 0.00Ally Auto Receivables Trust1.320% due 03/15/2012 1,179 1,181 0.01Amortizing Residential Collateral Trust0.841% due 07/25/2032 74 67 0.00Asset-Backed Funding Certificates0.321% due 01/25/2037 20 19 0.000.611% due 06/25/2034 365 299 0.00Asset-Backed Securities Corp. Home Equity0.536% due 09/25/2034 1,404 1,278 0.01Atrium CDO Corp.0.718% due 06/27/2015 2,623 2,493 0.01Callidus Debt Partners Fund Ltd.0.549% due 04/17/2020 14,934 13,830 0.07Carrington Mortgage Loan Trust0.421% due 01/25/2036 25 25 0.00Chase Issuance Trust0.300% due 04/15/2013 1,500 1,500 0.01Clearwater Funding CBO1.133% due 07/15/2013 6,874 6,578 0.03Countrywide Asset-Backed Certificates0.311% due 05/25/2037 6 6 0.000.361% due 09/25/2037 150 144 0.000.371% due 10/25/2046 108 107 0.00Credit-Based Asset Servicing & Securitization LLC0.321% due 11/25/2036 701 617 0.00DaimlerChrysler Auto Trust1.745% due 09/10/2012 1,692 1,697 0.01First Franklin Mortgage Loan

Asset-Backed Certificates0.311% due 11/25/2036 843 836 0.01Ford Credit Auto Owner Trust1.210% due 01/15/2012 385 386 0.00Franklin Auto Trust1.841% due 06/20/2012 46 46 0.00GE-WMC Mortgage Securities LLC0.301% due 08/25/2036 94 37 0.00Globaldrive BV1.813% due 02/20/2016 € 13,546 18,187 0.092.413% due 04/20/2018 55,252 74,695 0.354.000% due 10/20/2016 45,178 61,464 0.29HSI Asset Securitization Corp. Trust0.311% due 12/25/2036 $ 243 240 0.00Indymac Residential Asset-Backed Trust0.391% due 04/25/2047 71 70 0.00Long Beach Mortgage Loan Trust0.541% due 10/25/2034 162 134 0.00Massachusetts Educational Financing Authority1.238% due 04/25/2038 77 78 0.00MASTR Asset-Backed Securities Trust0.341% due 05/25/2037 117 112 0.00Morgan Stanley ABS Capital I0.301% due 10/25/2036 88 88 0.00Nationstar Home Equity Loan Trust0.381% due 04/25/2037 80 78 0.00Nelnet Student Loan Trust0.353% due 06/22/2017 319 319 0.000.363% due 12/22/2016 3,024 3,017 0.02New Century Home Equity Loan Trust0.441% due 05/25/2036 433 304 0.000.521% due 06/25/2035 61 59 0.00Park Place Securities, Inc.0.521% due 09/25/2035 216 198 0.00SC Germany Auto1.872% due 08/12/2019 € 7,533 10,173 0.05



DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

SLM Student Loan Trust0.288% due 04/25/2017 $ 93 $ 93 0.000.288% due 07/25/2017 3,652 3,625 0.020.368% due 04/27/2020 2,665 2,647 0.010.368% due 10/25/2021 2,010 2,003 0.010.378% due 07/25/2022 1,637 1,633 0.011.788% due 04/25/2023 924 955 0.002.910% due 12/16/2019 3,900 3,905 0.02Structured Asset Securities Corp.0.311% due 10/25/2036 412 410 0.000.551% due 01/25/2033 91 83 0.00

216,318 1.03

SOVEREIGN ISSUES

Asian Development Bank0.502% due 03/14/2011 750 750 0.00Australia Government Bond3.000% due

09/20/2025 (c) AUD 350 383 0.005.250% due 03/15/2019 420 424 0.00Banco Nacional de Desenvolvimento

Economico e Social5.500% due 07/12/2020 $ 33,700 34,795 0.166.500% due 06/10/2019 7,000 7,718 0.04Brazil Government International Bond12.500% due

01/05/2022 BRL 1,250 898 0.01Brazil Notas do Tesouro Nacional Series F10.000% due

01/01/2012 74,354 43,998 0.2110.000% due

01/01/2017 21,400 11,821 0.06Canada Government Bond1.500% due 12/01/2012 CAD 2,600 2,609 0.012.000% due 12/01/2014 34,700 34,682 0.162.000% due 06/01/2016 3,900 3,818 0.022.500% due 09/01/2013 42,000 42,953 0.202.500% due 06/01/2015 131,217 133,204 0.633.000% due 12/01/2015 6,300 6,512 0.034.250% due 06/01/2018 2,800 3,081 0.024.500% due 06/01/2015 4,900 5,388 0.035.000% due 06/01/2037 142 177 0.00Canada Housing Trust No. 12.750% due 12/15/2015 26,600 26,855 0.13Export-Import Bank of China4.875% due 07/21/2015 $ 600 646 0.00International Bank for Reconstruction & Development0.478% due 03/04/2011 1,200 1,201 0.01Italy Buoni Poliennali Del Tesoro5.000% due 08/01/2039 € 140 177 0.005.000% due 09/01/2040 380 480 0.00Korea Housing Finance Corp.4.125% due 12/15/2015 $ 9,200 9,296 0.05

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Mexico Government International Bond4.250% due 07/14/2017 € 1,300 $ 1,744 0.016.050% due 01/11/2040 $ 5,600 5,754 0.03New South Wales Treasury Corp.2.750% due 11/20/2025 (c) AUD 815 847 0.00Province of Ontario Canada1.875% due 09/15/2015 $ 7,400 7,243 0.033.150% due 09/08/2015 CAD 45,400 46,533 0.224.200% due 03/08/2018 3,000 3,178 0.024.200% due 06/02/2020 63,600 65,850 0.314.300% due 03/08/2017 9,400 10,062 0.054.400% due 06/02/2019 20,000 21,222 0.104.600% due 06/02/2039 10,900 11,398 0.055.500% due 06/02/2018 5,900 6,730 0.036.500% due 03/08/2029 23,800 30,728 0.15Province of Quebec Canada4.500% due 12/01/2016 900 974 0.004.500% due 12/01/2019 40,100 42,618 0.204.500% due 12/01/2020 15,100 15,868 0.08Qatar Government International Bond5.250% due 01/20/2020 $ 1,200 1,272 0.016.400% due 01/20/2040 900 981 0.00Queensland Treasury Corp.6.000% due 09/14/2017 AUD 860 890 0.01Societe Financement de l’Economie Francaise0.489% due 07/16/2012 $ 5,850 5,866 0.033.375% due 05/05/2014 12,600 13,281 0.06South Africa Government International Bond5.875% due 05/30/2022 300 324 0.00Svensk Exportkredit AB3.250% due 09/16/2014 490 514 0.00

665,743 3.16

SHARES


American International Group, Inc.8.500% due 02/15/2011 11,600 102 0.00Motors Liquidation Co.5.250% due 03/06/2032 (b) 12,000 98 0.00

200 0.00


Agfirst Farm Credit Bank7.300% due 10/29/2049 284,305 21,459 0.10Bank of America Corp.8.000% due 12/29/2049 49,547 5,046 0.02JPMorgan Chase & Co.7.900% due 04/29/2049 30,471 3,466 0.02Royal Bank of Scotland Group PLC7.640% due 03/29/2049 473,134 21,239 0.10

DESCRIPTION SHARES

FAIRVALUE(000S)

% OFNET

ASSETS

Wells Fargo & Co.7.980% due

03/29/2049 126,887 $ 14,257 0.0765,467 0.31

PAR(000S)


Bank of Nova Scotia0.589% due

10/18/2012 $ 64,100 64,100 0.30



(Dated 12/31/2010.Collateralised by USTreasury Notes1.000% due09/30/2011 valuedat $10,224.Repurchaseproceeds are$10,000.) 10,000 10,000 0.05

0.280% due 01/03/2011(Dated 12/31/2010.Collateralised by USTreasury Notes1.000% due03/31/2012 valuedat $1,297,904.Repurchaseproceeds are$1,269,030.) 1,269,000 1,269,000 6.02

TD Bank0.260% due 01/03/2011

(Dated 12/31/2010.Collateralised by USTreasury Notes0.750% due11/30/2011 valuedat $77,865.Repurchaseproceeds are$76,302.) 76,300 76,300 0.36

1,355,300 6.43Total Transferable Securities &Money Market Instruments -Official Stock Exchange/Regulated Market $ 26,879,515 127.58



FUTURES


Month# of

Contracts


% ofNet Assets

90-Day Eurodollar December Futures Long 12/2011 3,905 $ (529) 0.0090-Day Eurodollar December Futures Long 12/2012 2,814 (4,671) (0.02)90-Day Eurodollar June Futures Long 06/2011 9,681 2,074 0.0190-Day Eurodollar June Futures Long 06/2012 4,884 (3,542) (0.02)90-Day Eurodollar June Futures Long 06/2013 248 (428) 0.0090-Day Eurodollar March Futures Long 03/2011 12,772 1,564 0.0190-Day Eurodollar March Futures Long 03/2012 6,100 (2,387) (0.01)90-Day Eurodollar March Futures Long 03/2013 1,933 (3,551) (0.02)90-Day Eurodollar September Futures Long 09/2011 1,869 875 0.0090-Day Eurodollar September Futures Long 09/2012 4,785 (7,440) (0.04)90-Day Eurodollar September Futures Long 09/2013 924 (2,038) (0.01)United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures Long 12/2011 341 (131) 0.00United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures Long 06/2012 341 (283) 0.00United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures Long 03/2012 341 (208) 0.00


31 December 2010


Month# of

Contracts


% ofNet Assets

United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures Long 09/2012 341 $ (365) 0.00US Treasury 2-Year Note March Futures Long 03/2011 2,867 (119) 0.00US Treasury 5-Year Note March Futures Long 03/2011 1,236 (2,071) (0.01)

$ (23,250) (0.11)

WRITTEN OPTIONS

DescriptionExercise

PriceExpiration

Date# of


Value% of

Net Assets

Call - IMM 90-Day Eurodollar September Futures $ 99.375 09/19/2011 4,203 $ (1,781) $ (2,469) (0.01)Put - IMM 90-Day Eurodollar September Futures 99.375 09/19/2011 4,203 (2,604) (1,734) (0.01)

$ (4,385) $ (4,203) (0.02)




WRITTEN OPTIONS


ExerciseRate

ExpirationDate


FairValue

% ofNet Assets


Call - OTC Dow Jones iTraxx Europe Series 14 MSC Sell 0.900% 03/16/2011 € 3,000 $ (9) $ (7) 0.00Put - OTC Dow Jones iTraxx Europe Series 14 MSC Buy 1.600% 03/16/2011 3,000 (23) (5) 0.00Put - OTC Dow Jones iTraxx Europe Series 14 UBS Buy 1.300% 01/19/2011 3,000 (10) (2) 0.00Call - OTC Dow Jones CDX N.A. IG15 Index MSC Sell 0.800% 01/19/2011 $ 1,000 (2) (1) 0.00Call - OTC Dow Jones CDX N.A. IG15 Index MSC Sell 0.800% 03/16/2011 17,200 (34) (35) 0.00Put - OTC Dow Jones CDX N.A. IG15 Index MSC Buy 1.300% 03/16/2011 17,200 (60) (17) 0.00Put - OTC Dow Jones CDX N.A. IG15 Index MSC Buy 1.200% 06/15/2011 125,000 (625) (458) 0.00

$ (763) $ (525) 0.00


ExerciseRate

ExpirationDate


FairValue

% ofNet Assets


Put - OTC 10-Year Interest Rate Swap BCLY 3-Month USD-LIBOR Pay 4.000% 06/13/2011 $ 24,100 $ (339) $ (367) 0.00Put - OTC 3-Year Interest Rate Swap BCLY 3-Month USD-LIBOR Pay 3.000% 06/18/2012 123,100 (1,101) (1,554) (0.01)Put - OTC 10-Year Interest Rate Swap BOA 3-Month USD-LIBOR Pay 4.000% 06/13/2011 44,700 (621) (682) 0.00Put - OTC 3-Year Interest Rate Swap BOA 3-Month USD-LIBOR Pay 3.000% 06/18/2012 210,200 (2,256) (2,654) (0.01)Put - OTC 2-Year Interest Rate Swap BOA 3-Month USD-LIBOR Pay 2.250% 09/24/2012 197,900 (1,664) (2,681) (0.01)Put - OTC 3-Year Interest Rate Swap CITI 3-Month USD-LIBOR Pay 3.000% 06/18/2012 234,800 (2,545) (2,965) (0.02)Put - OTC 5-Year Interest Rate Swap CITI 3-Month USD-LIBOR Pay 3.250% 07/16/2012 134,900 (3,335) (4,160) (0.02)Put - OTC 2-Year Interest Rate Swap CITI 3-Month USD-LIBOR Pay 2.250% 09/24/2012 24,300 (165) (329) 0.00Put - OTC 10-Year Interest Rate Swap DUB 3-Month USD-LIBOR Pay 4.000% 06/13/2011 22,400 (306) (342) 0.00Put - OTC 3-Year Interest Rate Swap DUB 3-Month USD-LIBOR Pay 2.750% 06/18/2012 47,000 (488) (710) 0.00Put - OTC 3-Year Interest Rate Swap DUB 3-Month USD-LIBOR Pay 3.000% 06/18/2012 175,900 (1,914) (2,221) (0.01)Put - OTC 10-Year Interest Rate Swap GSC 3-Month USD-LIBOR Pay 4.000% 06/13/2011 22,400 (308) (342) 0.00Put - OTC 1-Year Interest Rate Swap GSC 3-Month USD-LIBOR Pay 0.650% 11/14/2011 283,300 (581) (1,356) (0.01)Put - OTC 2-Year Interest Rate Swap GSC 3-Month USD-LIBOR Pay 2.250% 09/24/2012 196,800 (1,168) (2,666) (0.01)Put - OTC 1-Year Interest Rate Swap GSC 3-Month USD-LIBOR Pay 1.000% 11/19/2012 321,400 (1,834) (3,824) (0.02)Put - OTC 3-Year Interest Rate Swap JPM 3-Month USD-LIBOR Pay 3.000% 06/18/2012 307,800 (3,109) (3,886) (0.02)Put - OTC 10-Year Interest Rate Swap MSC 3-Month USD-LIBOR Pay 10.000% 07/10/2012 51,500 (310) (35) 0.00Put - OTC 2-Year Interest Rate Swap MSC 3-Month USD-LIBOR Pay 2.250% 09/24/2012 102,500 (633) (1,389) (0.01)Put - OTC 10-Year Interest Rate Swap RBS 3-Month USD-LIBOR Pay 4.000% 06/13/2011 51,200 (724) (781) 0.00Put - OTC 3-Year Interest Rate Swap RBS 3-Month USD-LIBOR Pay 2.750% 06/18/2012 97,100 (952) (1,466) (0.01)Put - OTC 3-Year Interest Rate Swap RBS 3-Month USD-LIBOR Pay 3.000% 06/18/2012 451,900 (3,863) (5,706) (0.03)Put - OTC 5-Year Interest Rate Swap RBS 3-Month USD-LIBOR Pay 3.250% 07/16/2012 45,000 (1,130) (1,388) (0.01)Put - OTC 2-Year Interest Rate Swap RBS 3-Month USD-LIBOR Pay 2.250% 09/24/2012 878,300 (6,905) (11,900) (0.06)Put - OTC 1-Year Interest Rate Swap RBS 3-Month USD-LIBOR Pay 1.750% 11/19/2012 375,200 (1,416) (2,834) (0.01)

$ (37,667) $ (56,238) (0.27)


ExpirationDate


FairValue

% ofNet Assets

INFLATION FLOOR

Floor - OTC CPURNSA Index CITI 215.949 Maximum of [1.000% - (Index Final/Index Initial) or $0] 03/12/2020 $ 20,700 $ (175) $ (203) 0.00Floor - OTC CPURNSA Index CITI 216.687 Maximum of [1.000% - (Index Final/Index Initial) or $0] 04/07/2020 49,700 (443) (495) (0.01)Floor - OTC CPURNSA Index CITI 217.965 Maximum of [1 - (Final Index/Initial Index), 0] 09/29/2020 37,100 (479) (378) 0.00Floor - OTC CPURNSA Index DUB 215.949 Maximum of [1.000% - (Index Final/Index Initial) or $0] 03/10/2020 7,500 (57) (78) 0.00Floor - OTC CPURNSA Index DUB 218.011 Maximum of [ - (Final Index/Initial Index - 1), 0] 10/13/2020 40,100 (393) (421) 0.00

$ (1,547) $ (1,575) (0.01)




ExpirationDate


FairValue

% ofNet Assets

STRADDLE OPTIONS

Call & Put 1-Year vs. 1-Year Forward Volatility Agreement GSC $ 0.000 10/11/2011 $ 140,200 $ (740) $ (1,136) (0.01)Call & Put 1-Year vs. 1-Year Forward Volatility Agreement JPM 0.000 10/11/2011 129,200 (656) (1,047) 0.00Call & Put 1-Year vs. 2-Year Forward Volatility Agreement MSC 0.000 10/11/2011 253,000 (2,851) (4,256) (0.02)Call & Put 1-Year vs. 2-Year Forward Volatility Agreement MSC 0.000 11/14/2011 101,100 (1,096) (1,697) (0.01)

$ (5,343) $ (8,136) (0.04)






FairValue

UpfrontPremiums

Paid/(Received)


% ofNet Assets

Bank of America Corp. 1.000% 12/20/2011 BCLY $ 500 $ 1 $ (1) $ 2 0.00Berkshire Hathaway Finance Corp. 1.000% 03/20/2015 BOA 8,800 (48) (155) 107 0.00Berkshire Hathaway Finance Corp. 1.000% 03/20/2015 GSC 4,500 (25) (80) 55 0.00Berkshire Hathaway Finance Corp. 1.000% 03/20/2015 UBS 4,500 (25) (82) 57 0.00Brazil Government International Bond 1.000% 06/20/2015 BCLY 1,800 (2) (26) 24 0.00Brazil Government International Bond 1.000% 09/20/2015 BCLY 4,400 (11) (38) 27 0.00Brazil Government International Bond 1.000% 09/20/2015 BOA 6,600 (16) (43) 27 0.00Brazil Government International Bond 1.000% 06/20/2015 CSFB 800 (1) (21) 20 0.00Brazil Government International Bond 1.000% 06/20/2015 DUB 12,800 (14) (136) 122 0.00Brazil Government International Bond 1.000% 06/20/2015 GSC 1,800 (2) (24) 22 0.00Brazil Government International Bond 1.000% 06/20/2015 HSBC 21,300 (24) (256) 232 0.00Brazil Government International Bond 1.000% 06/20/2020 HSBC 20,000 (635) (641) 6 0.00Brazil Government International Bond 1.000% 06/20/2015 MSC 2,800 (3) (27) 24 0.00China Government International Bond 1.000% 03/20/2015 CSFB 5,000 88 24 64 0.00Citigroup, Inc. 1.000% 03/20/2011 BCLY 1,700 2 (10) 12 0.00Citigroup, Inc. 1.000% 03/20/2011 BNP 800 1 (4) 5 0.00Citigroup, Inc. 1.000% 03/20/2011 GSC 1,800 2 (11) 13 0.00Citigroup, Inc. 1.000% 03/20/2011 UBS 4,200 5 (24) 29 0.00Ford Motor Credit Co. LLC 5.000% 12/20/2014 CITI 500 57 (11) 68 0.00France Government Bond 0.250% 03/20/2016 BCLY 3,700 (151) (137) (14) 0.00France Government Bond 0.250% 03/20/2015 CITI 3,300 (96) (54) (42) 0.00France Government Bond 0.250% 03/20/2015 GSC 3,600 (104) (62) (42) 0.00France Government Bond 0.250% 12/20/2015 GSC 2,800 (106) (54) (52) 0.00France Government Bond 0.250% 03/20/2015 RBS 3,200 (93) (55) (38) 0.00France Government Bond 0.250% 12/20/2015 RBS 5,500 (209) (109) (100) 0.00France Government Bond 0.250% 09/20/2015 UBS 6,000 (211) (159) (52) 0.00General Electric Capital Corp. 5.000% 09/20/2011 BOA 6,000 205 317 (112) 0.00General Electric Capital Corp. 1.000% 12/20/2015 BOA 30,200 (451) (598) 147 0.00General Electric Capital Corp. 1.000% 09/20/2011 DUB 6,300 24 (179) 203 0.00Japan Government International Bond 1.000% 12/20/2015 BOA 2,000 30 31 (1) 0.00Japan Government International Bond 1.000% 03/20/2016 BOA 2,900 42 41 1 0.00Japan Government International Bond 1.000% 03/20/2015 DUB 3,500 60 41 19 0.00Japan Government International Bond 1.000% 12/20/2015 GSC 5,900 89 92 (3) 0.00Merrill Lynch & Co., Inc. 1.000% 09/20/2011 CITI 8,600 14 (16) 30 0.00Metlife, Inc. 1.000% 12/20/2015 BOA 4,500 (124) (251) 127 0.00Metlife, Inc. 1.000% 06/20/2011 CITI 3,300 8 (51) 59 0.00Metlife, Inc. 1.000% 12/20/2015 UBS 23,400 (647) (1,308) 661 (0.01)Mexico Government International Bond 1.000% 03/20/2015 BCLY 10,300 (4) (231) 227 0.00Mexico Government International Bond 1.000% 03/20/2015 CITI 6,900 (3) (159) 156 0.00Mexico Government International Bond 1.000% 09/20/2015 DUB 15,800 (52) (214) 162 0.00Mexico Government International Bond 0.920% 03/20/2016 JPM 1,300 (10) 0 (10) 0.00Republic of Korea 1.000% 12/20/2015 BCLY 3,900 14 (7) 21 0.00Republic of Korea 1.000% 12/20/2015 DUB 4,000 14 (13) 27 0.00United Kingdom Gilt 1.000% 12/20/2014 BNP 900 14 7 7 0.00United Kingdom Gilt 1.000% 03/20/2015 CSFB 16,200 245 38 207 0.00United Kingdom Gilt 1.000% 12/20/2014 DUB 4,200 64 30 34 0.00United Kingdom Gilt 1.000% 12/20/2015 GSC 20,700 287 477 (190) 0.00United Kingdom Gilt 1.000% 12/20/2014 MSC 900 14 7 7 0.00United Kingdom Gilt 1.000% 03/20/2015 SOG 41,100 622 217 405 0.00US Treasury Notes 0.250% 09/20/2015 UBS € 63,300 (511) (949) 438 0.00Verizon Communications, Inc. 1.000% 06/20/2013 CITI $ 3,700 63 32 31 0.00

$ (1,613) $ (4,842) $ 3,229 (0.01)





FairValue

UpfrontPremiums

Paid/(Received)


% ofNet Assets

Dow Jones CDX N.A. EM12 Index 5.000% 12/20/2014 DUB $ 4,100 $ 485 $ 408 $ 77 0.00Dow Jones CDX N.A. EM13 Index 5.000% 06/20/2015 BCLY 19,400 2,485 2,202 283 0.01Dow Jones CDX N.A. EM13 Index 5.000% 06/20/2015 CSFB 1,500 192 193 (1) 0.00Dow Jones CDX N.A. EM13 Index 5.000% 06/20/2015 DUB 29,900 3,825 3,735 90 0.02Dow Jones CDX N.A. EM13 Index 5.000% 06/20/2015 GSC 500 64 62 2 0.00Dow Jones CDX N.A. EM13 Index 5.000% 06/20/2015 HSBC 80,300 10,285 9,909 376 0.05Dow Jones CDX N.A. EM13 Index 5.000% 06/20/2015 MSC 23,200 2,971 2,826 145 0.01Dow Jones CDX N.A. EM14 Index 5.000% 12/20/2015 BCLY 20,100 2,776 2,611 165 0.01


31 December 2010




FairValue

UpfrontPremiums

Paid/(Received)


% ofNet Assets

Dow Jones CDX N.A. EM14 Index 5.000% 12/20/2015 BOA $ 2,500 $ 345 $ 326 $ 19 0.00Dow Jones CDX N.A. EM14 Index 5.000% 12/20/2015 CITI 3,600 497 495 2 0.00Dow Jones CDX N.A. EM14 Index 5.000% 12/20/2015 DUB 16,100 2,224 2,090 134 0.01Dow Jones CDX N.A. EM14 Index 5.000% 12/20/2015 HSBC 10,000 1,381 1,305 76 0.01Dow Jones CDX N.A. EM14 Index 5.000% 12/20/2015 MSC 10,300 1,422 1,339 83 0.01Dow Jones CDX N.A. HY15 Index 5.000% 12/20/2015 BCLY 157,300 4,893 1,179 3,714 0.02Dow Jones CDX N.A. HY15 Index 5.000% 12/20/2015 BOA 3,600 112 (27) 139 0.00Dow Jones CDX N.A. HY15 Index 5.000% 12/20/2015 CITI 47,000 1,462 (775) 2,237 0.01Dow Jones CDX N.A. HY15 Index 5.000% 12/20/2015 CSFB 47,300 1,471 821 650 0.01Dow Jones CDX N.A. HY15 Index 5.000% 12/20/2015 MSC 34,400 1,070 (283) 1,353 0.01Dow Jones CDX N.A. HY15 Index 5.000% 12/20/2015 RBS 31,400 977 178 799 0.01Dow Jones CDX N.A. HY15 Index 5.000% 12/20/2015 UBS 25,800 803 (258) 1,061 0.00Dow Jones CDX N.A. HY8 Index 0.360% 06/20/2012 CITI 4,815 21 0 21 0.00Dow Jones CDX N.A. HY8 Index 0.401% 06/20/2012 CITI 4,622 23 0 23 0.00Dow Jones CDX N.A. IG9 Index 0.963% 12/20/2012 MSC 3,000 50 0 50 0.00Dow Jones CDX N.A. IG9 Index 1.120% 12/20/2012 GSC 17,100 338 0 338 0.00Dow Jones CDX N.A. IG9 Index 1.120% 12/20/2012 JPM 5,800 114 (1) 115 0.00Dow Jones CDX N.A. IG10 Index 0.463% 06/20/2013 GSC 5,305 40 0 40 0.00Dow Jones CDX N.A. IG15 Index 1.000% 12/20/2015 BNP 67,900 495 35 460 0.00Dow Jones CDX N.A. IG15 Index 1.000% 12/20/2015 BOA 419,000 3,056 (337) 3,393 0.02Dow Jones CDX N.A. IG15 Index 1.000% 12/20/2015 CITI 87,800 640 (204) 844 0.00Dow Jones CDX N.A. IG15 Index 1.000% 12/20/2015 DUB 156,300 1,140 (316) 1,456 0.01Dow Jones CDX N.A. IG15 Index 1.000% 12/20/2015 GSC 71,100 519 (132) 651 0.00Dow Jones CDX N.A. IG15 Index 1.000% 12/20/2015 MSC 29,300 214 44 170 0.00Dow Jones CDX N.A. IG15 Index 1.000% 12/20/2015 UBS 58,500 427 322 105 0.00

$ 46,817 $ 27,747 $ 19,070 0.22(1) If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an equal amount to

the notional amount of the swap and take delivery of the referenced obligation, or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash orsecurities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.


INTEREST RATE SWAPS



NotionalAmount

FairValue

UpfrontPremiums

Paid/(Received)


% ofNet Assets

Pay 3-Month Australian Bank Bill 4.500% 06/15/2011 DUB AUD 82,000 $ (269) $ 15 $ (284) 0.00Pay 3-Month USD-LIBOR 1.250% 12/19/2013 GSC $ 142,300 (1,322) 7 (1,329) (0.01)Receive 3-Month USD-LIBOR 4.250% 06/15/2041 BOA 57,100 (319) 285 (604) 0.00Receive 3-Month USD-LIBOR 4.250% 06/15/2041 MSC 280,900 (1,570) 2,551 (4,121) (0.01)Pay 6-Month Australian Bank Bill 6.000% 09/15/2012 UBS AUD 46,300 616 0 616 0.00Pay BRL-CDI-Compounded 10.600% 01/02/2012 BCLY BRL 2,200 5 0 5 0.00Pay BRL-CDI-Compounded 10.600% 01/02/2012 JPM 1,400 3 0 3 0.00Pay BRL-CDI-Compounded 10.610% 01/02/2012 HSBC 3,300 7 0 7 0.00Pay BRL-CDI-Compounded 10.835% 01/02/2012 BCLY 5,900 32 10 22 0.00Pay BRL-CDI-Compounded 10.835% 01/02/2012 GSC 50,000 272 47 225 0.00Pay BRL-CDI-Compounded 10.990% 01/02/2012 GSC 28,000 146 47 99 0.00Pay BRL-CDI-Compounded 10.990% 01/02/2012 MLP 37,700 196 53 143 0.00Pay BRL-CDI-Compounded 11.140% 01/02/2012 HSBC 16,800 157 77 80 0.00Pay BRL-CDI-Compounded 11.360% 01/02/2012 HSBC 30,400 245 137 108 0.00Pay BRL-CDI-Compounded 11.390% 01/02/2012 BNP 27,500 81 0 81 0.00Pay BRL-CDI-Compounded 11.420% 01/02/2012 UBS 20,700 68 0 68 0.00Pay BRL-CDI-Compounded 11.630% 01/02/2012 MSC 10,600 36 (2) 38 0.00Pay BRL-CDI-Compounded 11.760% 01/02/2012 CSFB 5,100 43 24 19 0.00Pay BRL-CDI-Compounded 12.080% 01/02/2012 RBS 1,400 9 3 6 0.00Pay BRL-CDI-Compounded 11.880% 01/02/2013 BNP 26,600 103 2 101 0.00Pay BRL-CDI-Compounded 11.880% 01/02/2013 HSBC 26,500 74 (19) 93 0.00Pay BRL-CDI-Compounded 11.890% 01/02/2013 GSC 206,600 892 57 835 0.00Pay BRL-CDI-Compounded 11.890% 01/02/2013 HSBC 48,100 208 36 172 0.00Pay BRL-CDI-Compounded 11.900% 01/02/2013 MLP 28,700 105 (17) 122 0.00Pay BRL-CDI-Compounded 11.980% 01/02/2013 MSC 22,700 119 35 84 0.00Pay BRL-CDI-Compounded 12.070% 01/02/2013 UBS 9,600 64 24 40 0.00Pay BRL-CDI-Compounded 12.170% 01/02/2013 JPM 18,300 148 75 73 0.00Pay BRL-CDI-Compounded 12.180% 01/02/2013 RBC 178,400 1,463 (113) 1,576 0.01Pay BRL-CDI-Compounded 12.285% 01/02/2013 BCLY 142,600 1,369 330 1,039 0.01Pay BRL-CDI-Compounded 12.480% 01/02/2013 CSFB 132,200 997 263 734 0.01Pay BRL-CDI-Compounded 12.590% 01/02/2013 MSC 1,200 11 2 9 0.00Pay BRL-CDI-Compounded 12.800% 01/02/2013 BNP 102,700 1,165 154 1,011 0.01Pay BRL-CDI-Compounded 11.890% 01/02/2014 MSC 21,400 9 (1) 10 0.00Pay BRL-CDI-Compounded 12.110% 01/02/2014 BNP 10,400 72 0 72 0.00Pay BRL-CDI-Compounded 12.200% 01/02/2014 JPM 22,000 187 (5) 192 0.00Pay BRL-CDI-Compounded 12.250% 01/02/2014 UBS 10,300 98 29 69 0.00Pay BRL-CDI-Compounded 12.510% 01/02/2014 MSC 102,400 1,393 103 1,290 0.01Pay BRL-CDI-Compounded 12.540% 01/02/2014 HSBC 75,500 1,060 109 951 0.01Pay BRL-CDI-Compounded 12.650% 01/02/2014 GSC 19,300 303 151 152 0.00Pay BRL-CDI-Compounded 12.700% 01/02/2014 RBC 72,900 900 0 900 0.01Pay IBMEXID 7.330% 01/28/2015 CITI MXN 250,907 822 (17) 839 0.00Pay IBMEXID 7.330% 01/28/2015 JPM 179,400 587 (13) 600 0.00Pay IBMEXID 7.340% 01/28/2015 BCLY 906,700 2,997 (4) 3,001 0.01

$ 13,582 $ 4,435 $ 9,147 0.06




Type Currency



MonthUnrealised


(Depreciation)


(Depreciation)% of

Net Assets

Buy AUD 13,800 BNP 01/2011 $ 455 $ 0 $ 455 0.00Buy 21,556 CSFB 01/2011 1,528 0 1,528 0.01Buy BRL 420,516 HSBC 03/2011 3,553 0 3,553 0.02Buy 744 BOA 09/2011 25 0 25 0.00Buy 558 MSC 09/2011 18 0 18 0.00Sell CAD 12,610 BNP 02/2011 0 (306) (306) 0.00Sell 7,000 CITI 02/2011 0 (42) (42) 0.00Buy 221 CSFB 02/2011 3 0 3 0.00Buy 87,607 DUB 02/2011 1,104 0 1,104 0.00Buy 6,001 MSC 02/2011 99 0 99 0.00Buy CHF 604 RBC 02/2011 40 0 40 0.00Buy CNY 284,845 BCLY 04/2011 438 0 438 0.00Buy 134,036 DUB 04/2011 481 0 481 0.01Buy 155,967 HSBC 04/2011 230 0 230 0.00Buy 1,782 MSC 04/2011 3 0 3 0.00Buy 21,482 BCLY 11/2011 15 (4) 11 0.00Buy 14,652 JPM 11/2011 0 (12) (12) 0.00Buy 14,581 RBS 11/2011 4 0 4 0.00Buy 4,512 BCLY 02/2012 0 (3) (3) 0.00Buy DKK 11,569 BCLY 02/2011 29 0 29 0.00Sell € 1,100 BCLY 01/2011 0 (35) (35) 0.00Sell 4,019 BNP 01/2011 0 (116) (116) 0.00Sell 10,000 BOA 01/2011 0 (262) (262) 0.00Buy 5,053 CITI 01/2011 111 (11) 100 0.00Sell 729,704 CITI 01/2011 21,423 (322) 21,101 0.10Sell 48,800 CSFB 01/2011 0 (504) (504) 0.00Buy 6,059 DUB 01/2011 81 0 81 0.00Sell 380,963 DUB 01/2011 18,492 (11) 18,481 0.09Buy 3,000 HSBC 01/2011 84 0 84 0.00Buy 184 MSC 01/2011 0 (9) (9) 0.00Sell 21,213 MSC 01/2011 0 (514) (514) (0.01)Buy 2,399 RBC 01/2011 0 (111) (111) 0.00Sell 7,500 RBC 01/2011 0 (166) (166) 0.00Buy 13,520 RBS 01/2011 0 (475) (475) 0.00Sell 7,085 RBS 01/2011 43 (57) (14) 0.00Sell 7,026 UBS 01/2011 0 (161) (161) 0.00Sell £ 135,053 BCLY 03/2011 0 (714) (714) (0.01)Sell 135,053 DUB 03/2011 0 (674) (674) 0.00Buy 494 RBC 03/2011 15 0 15 0.00Sell 90,035 RBS 03/2011 0 (130) (130) 0.00Buy IDR 35,484,980 CITI 04/2011 56 0 56 0.00Buy 28,613,000 JPM 04/2011 57 0 57 0.00Buy 13,815,000 MSC 04/2011 25 0 25 0.00Buy 59,835,624 BCLY 07/2011 87 0 87 0.00Buy 64,560,200 CITI 07/2011 143 (6) 137 0.00Buy 67,866,200 HSBC 07/2011 95 0 95 0.00Buy 6,773,000 JPM 07/2011 1 0 1 0.00Buy 13,134,000 DUB 10/2011 0 (2) (2) 0.00Buy 27,728,600 RBS 10/2011 0 (18) (18) 0.00Buy ILS 4,165 DUB 05/2011 33 0 33 0.00Buy JPY 462,840 BCLY 01/2011 149 0 149 0.00Buy 1,220,875 CITI 01/2011 552 0 552 0.00Buy 2,897,625 CSFB 01/2011 1,295 0 1,295 0.01Sell 3,637,797 GSC 01/2011 0 (1,639) (1,639) (0.01)Buy 426,298 JPM 01/2011 109 0 109 0.00Buy 801,516 MSC 01/2011 79 0 79 0.00Buy 846,917 RBC 01/2011 339 0 339 0.00Sell 2,165,356 RBC 01/2011 0 (985) (985) 0.00Buy 249,149 RBS 01/2011 74 0 74 0.00Sell 4,330,712 RBS 01/2011 0 (1,877) (1,877) (0.01)Buy 1,395,117 UBS 01/2011 338 0 338 0.00Buy KRW 2,885,250 CITI 01/2011 71 0 71 0.00Buy 10,371,900 JPM 01/2011 241 0 241 0.00Sell 75,425,424 JPM 01/2011 0 (1,906) (1,906) (0.01)Buy 62,168,274 MSC 01/2011 629 (37) 592 0.00Buy 4,333,900 BCLY 05/2011 0 (27) (27) 0.00Buy 3,528,730 BOA 05/2011 29 0 29 0.00Buy 24,336,120 CITI 05/2011 38 (101) (63) 0.00Buy 4,010,618 GSC 05/2011 5 (22) (17) 0.00Buy 5,267,000 HSBC 05/2011 49 (9) 40 0.00Buy 107,578,324 JPM 05/2011 2,006 (88) 1,918 0.01Buy 15,597,707 MSC 05/2011 0 (70) (70) 0.00Buy 4,119,000 RBS 05/2011 11 0 11 0.00Buy MXN 342,217 BCLY 02/2011 1,538 0 1,538 0.01Buy 177,963 CITI 02/2011 354 (34) 320 0.00Buy 46,480 DUB 02/2011 122 0 122 0.00Buy 101,013 JPM 02/2011 0 (7) (7) 0.00Buy 711,298 MSC 02/2011 618 (40) 578 0.00Buy 33,103 UBS 02/2011 75 0 75 0.00Buy MYR 15,620 BCLY 02/2011 71 0 71 0.00Buy 5,480 CITI 02/2011 22 0 22 0.00Buy 9,640 DUB 02/2011 43 0 43 0.00


31 December 2010

Type Currency



MonthUnrealised


(Depreciation)


(Depreciation)% of

Net Assets

Buy MYR 4,518 JPM 02/2011 $ 20 $ 0 $ 20 0.00Buy 5,120 RBS 02/2011 19 0 19 0.00Buy PHP 271,872 BCLY 04/2011 0 (133) (133) 0.00Buy 185,108 CITI 04/2011 0 (63) (63) 0.00Buy 182,244 JPM 04/2011 0 (69) (69) 0.00Buy 21,000 BOA 06/2011 0 (3) (3) 0.00Buy 647,260 CITI 06/2011 58 (132) (74) 0.00Buy 311,598 DUB 06/2011 19 (20) (1) 0.00Buy 55,551 HSBC 06/2011 11 0 11 0.00Buy 560,813 JPM 06/2011 130 (31) 99 0.00Buy 49,067 RBS 06/2011 0 (10) (10) 0.00Buy 364,046 CITI 11/2011 0 (16) (16) 0.00Buy 267,220 JPM 11/2011 0 (46) (46) 0.00Sell SGD 152 DUB 01/2011 0 (1) (1) 0.00Buy 14,186 JPM 01/2011 274 0 274 0.00Buy 28 MSC 01/2011 0 0 0 0.00Sell 14,214 RBS 01/2011 0 (297) (297) 0.00Buy 1,799 CITI 02/2011 4 0 4 0.00Buy 14,371 HSBC 02/2011 219 0 219 0.00Buy 8,096 MSC 02/2011 120 0 120 0.00Buy 60 BOA 03/2011 2 0 2 0.00Buy 10 DUB 03/2011 0 0 0 0.00Buy 4,113 GSC 03/2011 11 0 11 0.00Buy 10,049 HSBC 03/2011 145 0 145 0.00Buy 7,244 JPM 03/2011 47 0 47 0.00Buy 20 RBS 03/2011 1 0 1 0.00Buy 3,731 CITI 06/2011 12 0 12 0.00Buy 19,561 DUB 06/2011 262 0 262 0.00Buy 21,793 GSC 06/2011 212 0 212 0.00Buy 15,565 JPM 06/2011 150 0 150 0.00Buy 14,214 RBS 06/2011 297 0 297 0.01Buy TRY 1,818 BCLY 01/2011 0 (22) (22) 0.00Buy 2,582 CITI 01/2011 0 (26) (26) 0.00Buy 3,320 CSFB 01/2011 0 (48) (48) 0.00Buy 13,407 HSBC 01/2011 0 (211) (211) 0.00Buy 19,015 JPM 01/2011 0 (277) (277) 0.00Buy TWD 23,785 DUB 01/2011 27 0 27 0.00Sell 72,905 DUB 01/2011 6 0 6 0.00Buy 14,563 JPM 01/2011 24 0 24 0.00Buy 22,417 MSC 01/2011 34 0 34 0.00Buy 12,140 UBS 01/2011 21 0 21 0.00Buy 23,932 BOA 04/2011 51 0 51 0.00Buy 89,705 DUB 04/2011 140 0 140 0.00Buy 24,558 JPM 04/2011 49 0 49 0.00Buy ZAR 152,496 HSBC 01/2011 1,207 0 1,207 0.01Buy 9,882 BCLY 09/2011 142 0 142 0.00Buy 5,319 MSC 09/2011 76 0 76 0.00Buy 4,560 UBS 09/2011 65 0 65 0.00

$ 61,483 $ (12,912) $ 48,571 0.23



DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS


Fannie Mae3.500% due 01/01/2041 (g) $ (1,000) $ (955) 0.00

Total Securities Sold Short $ (955) 0.00


DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS


ANZ National Bank3.890% due 01/04/2011 AUD 164 $ 168 0.00Brown Brothers Harriman & Co.0.080% due 01/03/2011 € 3 4 0.00Citibank N.A.0.010% due 01/03/2011 SGD 421 329 0.000.068% due 01/04/2011 £ 1,785 2,794 0.01Deutsche Bank AG0.150% due 01/04/2011 CAD 9,747 9,809 0.05Total Overnight Time Deposits $ 13,104 0.06Other Current Assets & Liabilities $ (5,837,027) (27.69)Net Assets $ 21,068,067 100.00




(a) The Total Return Bond Fund is investing in Class Z Income Shares of an affiliated Fund.


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

(d) Securities with an aggregate market value of $1,527 and cash of $114,230 have been pledged as collateral for delayed delivery securities as at 31 December 2010.

(e) Securities with an aggregate market value of $45,345 and cash of $10 have been segregated with the Custodian to cover margin requirements for the open futures contracts as at31 December 2010.


(g) Securities sold short as at 31 December 2010 are covered by long portfolio investments in transferable securities and money market instruments.

(h) Restricted Securities


DateAcquisition

Date CostFair

Value% of

Net Assets

Societe Generale 8.750% 10/29/2049 09/29/2009 $ 12,900 $ 13,287 0.06

(i) Fair Value Measurements1


Category3

Quoted Prices inActive Markets for

Identical Investments(Level 1)


(Level 2)



Transferable Securities $ 884,998 $ 25,847,017 $ 83,400 $ 26,815,415Deposits with Credit Institutions 0 64,100 0 64,100Financial Derivative Instruments4 (27,453) 50,594 (9,711) 13,430Short Sales 0 (955) 0 (955)Totals $ 857,545 $ 25,960,756 $ 73,689 $ 26,891,990

The following is a summary of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the year ended 31 December 2010:2

Category3

StartingBalance

at 31-Dec-2009Net

Purchases5Net

Sales5


RealisedGains/

(Losses)




Level 3

EndingBalance

at 31-Dec-2010




Transferable Securities $ 57,361 $ 23,661 $ (228) $ (492) $ (10) $ 615 $ 3,271 $ 84,178 $ 615Financial Derivative Instruments4 0 (6,890) 0 0 0 (2,821) 0 (9,711) (2,821)Totals $ 57,361 $ 16,771 $ (228) $ (492) $ (10) $ (2,206) $ 3,271 $ 74,467 $ (2,206)


Category3


(Level 1)

SignificantOther

ObservableInputs

(Level 2)



Transferable Securities $ 132 $10,001,088 $ 57,361 $10,058,581Financial Derivative Instruments4 11,618 (974) 0 10,644Short Sales 0 (330,648) 0 (330,648)Totals $ 11,750 $ 9,669,466 $ 57,361 $ 9,738,577

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ending 31 December 2009:2

Category3

StartingBalance

at 31-Dec-2008Net

Purchases5Net

Sales5


RealisedGains/

(Losses)




Level 3

EndingBalance

at 31-Dec-2009




Transferable Securities $ 0 $ 56,856 $ (1) $ 14 $ 0 $ 492 $ 0 $ 57,361 $ 492Financial Derivative Instruments4 803 0 (631) 0 621 (428) (365) 0 0Total $ 803 $ 56,856 $ (632) $ 14 $ 621 $ 64 $ (365) $ 57,361 $ 492





31 December 2010


Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Buy € 1,332,406 BCLY 01/2011 $ 39,611 $ 0 $ 39,611 0.19Sell 94,448 BCLY 01/2011 0 (2,924) (2,924) (0.01)Buy 14,145 CITI 01/2011 438 0 438 0.00Sell 2,959,827 CITI 01/2011 0 (36,768) (36,768) (0.18)Buy 4,793 CSFB 01/2011 40 0 40 0.00Sell 51,107 CSFB 01/2011 0 (893) (893) 0.00Buy 2,095 DUB 01/2011 84 0 84 0.00Sell 3,607 DUB 01/2011 0 (144) (144) 0.00Buy 484,937 HSBC 01/2011 20,550 (1) 20,549 0.10Sell 360,000 HSBC 01/2011 0 (10,026) (10,026) (0.05)Buy 1,219,806 JPM 01/2011 50,078 0 50,078 0.24Sell 58,104 JPM 01/2011 0 (449) (449) 0.00Sell 22,026 MSC 01/2011 0 (71) (71) 0.00Buy 560 RBC 01/2011 18 0 18 0.00Sell 6,900 RBC 01/2011 0 (35) (35) 0.00Buy 2,976,422 RBS 01/2011 99,516 0 99,516 0.47Sell 2,396,791 RBS 01/2011 0 (31,759) (31,759) (0.15)Buy 5,153 UBS 01/2011 15 0 15 0.00Sell 124,176 UBS 01/2011 0 (1,858) (1,858) (0.01)Buy 2,892,453 CITI 02/2011 34,917 0 34,917 0.16Sell 16,215 CITI 02/2011 0 (451) (451) 0.00Buy 807 DUB 02/2011 11 0 11 0.00Sell 6,059 DUB 02/2011 0 (81) (81) 0.00Buy 360,000 HSBC 02/2011 10,055 0 10,055 0.05Buy 2,396,791 RBS 02/2011 31,711 0 31,711 0.15

$ 287,044 $ (85,460) $ 201,584 0.96


Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Buy £ 2,336 BCLY 01/2011 $ 4 $ (21) $ (17) 0.00Sell 920 BCLY 01/2011 0 (7) (7) 0.00Sell 306,432 BNP 01/2011 0 (6,727) (6,727) (0.03)Sell 3,194 CITI 01/2011 0 (26) (26) 0.00Sell 1,522 CSFB 01/2011 21 0 21 0.00Buy 334 DUB 01/2011 3 0 3 0.00Buy 940 JPM 01/2011 0 (6) (6) 0.00Sell 601 MSC 01/2011 8 0 8 0.00Buy 692 RBC 01/2011 14 0 14 0.00Buy 308,711 RBS 01/2011 3,236 0 3,236 0.01Sell 2,591 RBS 01/2011 0 (58) (58) 0.00Sell 344 UBS 01/2011 0 (6) (6) 0.00Buy 306,432 BNP 02/2011 6,713 0 6,713 0.03Sell 1,908 CITI 02/2011 0 (44) (44) 0.00

$ 9,999 $ (6,895) $ 3,104 0.01

As at 31 December 2010, the Institutional ILS (Hedged) had the following foreign currency contracts outstanding:

Type Currency



MonthUnrealised


(Depreciation)


(Depreciation)% of

Net Assets

Buy ILS 28,204 BCLY 05/2011 $ 88 $ 0 $ 88 0.00Sell 4,822 BCLY 05/2011 0 (19) (19) 0.00Buy 7,758 BNP 05/2011 65 0 65 0.00Sell 5,334 BNP 05/2011 0 (35) (35) 0.00Sell 6,652 CITI 05/2011 0 (19) (19) 0.00Buy 189,484 HSBC 05/2011 634 0 634 0.00Sell 5,364 HSBC 05/2011 0 (34) (34) 0.00Buy 2,380 RBS 05/2011 23 0 23 0.00

$ 810 $ (107) $ 703 0.00



As at 31 December 2010, the Class E SGD (Hedged) had the following foreign currency contracts outstanding:

Type Currency



MonthUnrealised


(Depreciation)


(Depreciation)% of

Net Assets

Buy SGD 62,257 BCLY 01/2011 $ 686 $ 0 $ 686 0.00Sell 47,476 BCLY 01/2011 0 (1,072) (1,072) 0.00Buy 27,042 DUB 01/2011 264 0 264 0.00Sell 3,356 DUB 01/2011 0 (52) (52) 0.00Buy 723 HSBC 01/2011 3 0 3 0.00Sell 3,525 HSBC 01/2011 0 (57) (57) 0.00Sell 70,180 JPM 01/2011 0 (1,380) (1,380) (0.01)Buy 432 MSC 01/2011 2 0 2 0.00Sell 1,762 MSC 01/2011 0 (26) (26) 0.00Buy 36,669 RBS 01/2011 301 0 301 0.00Sell 224 RBS 01/2011 0 (3) (3) 0.00Buy 902 UBS 01/2011 7 0 7 0.00Sell 1,502 UBS 01/2011 0 (32) (32) 0.00Buy 152 DUB 02/2011 1 0 1 0.00Sell 377 DUB 02/2011 0 (2) (2) 0.00Sell 204 HSBC 02/2011 0 (1) (1) 0.00Buy 974 UBS 02/2011 15 0 15 0.00Buy 46,990 BCLY 03/2011 1,064 0 1,064 0.01Buy 70,180 JPM 03/2011 1,380 0 1,380 0.01

$ 3,723 $ (2,625) $ 1,098 0.01


Significant Changes in Portfolio Composition Total Return Bond Fund (Unaudited)31 December 2010

DESCRIPTIONPAR

(000S)COST(000S)


US Treasury Notes3.500% due 05/15/2020 $ 14,429,943 $ 15,018,802US Treasury Notes0.500% due 10/15/2013 7,334,933 7,322,781US Treasury Notes0.750% due 09/15/2013 7,258,800 7,298,885US Treasury Notes2.375% due 02/28/2015 7,250,494 7,182,732US Treasury Notes0.500% due 11/30/2012 6,757,000 6,741,297US Treasury Notes0.500% due 11/15/2013 4,912,633 4,878,957Republic of Germany3.250% due 01/04/2020 € 2,531,695 3,464,508US Treasury Notes2.500% due 04/30/2015 $ 2,351,000 2,433,373US Treasury Notes0.875% due 02/29/2012 2,327,100 2,323,936US Treasury Notes1.875% due 06/30/2015 2,210,950 2,225,371

SHARES

PIMCO US Dollar Short-Term Floating NAVFund (a) 212,438,040 2,124,254

PAR(000S)

US Treasury Notes2.375% due 07/31/2017 $ 1,918,700 1,956,208US Treasury Notes0.375% due 08/31/2012 1,823,842 1,821,754Canada Government Bond2.500% due 06/01/2015 CAD 1,834,317 1,780,273US Treasury Notes3.625% due 02/15/2020 $ 1,692,047 1,676,212Germany Treasury Bills0.000% due 02/23/2011 € 1,196,020 1,623,826US Treasury Notes1.000% due 07/15/2013 $ 1,527,000 1,533,030US Treasury Notes0.750% due 12/15/2013 1,285,000 1,277,047US Treasury Notes0.750% due 05/31/2012 987,800 988,311US Treasury Notes1.250% due 10/31/2015 869,300 869,724US Treasury Notes0.625% due 06/30/2012 834,200 833,566US Treasury Bills0.000% due 10/28/2010 767,000 766,851US Treasury Notes0.375% due 09/30/2012 756,900 757,125US Treasury Notes1.250% due 08/31/2015 674,300 670,968US Treasury Bills0.200% due 12/09/2010 636,400 635,740US Treasury Notes3.125% due 02/28/2017 564,700 568,326US Treasury Notes0.750% due 08/15/2013 564,300 568,182US Treasury Notes1.125% due 06/15/2013 547,800 547,623

DESCRIPTIONPAR

(000S)PROCEEDS

(000S)


US Treasury Notes3.500% due 05/15/2020 $ 14,429,943 $15,046,766US Treasury Notes2.375% due 02/28/2015 7,250,494 7,133,809US Treasury Notes0.750% due 09/15/2013 6,953,300 6,989,120US Treasury Notes0.500% due 11/30/2012 6,729,400 6,711,414US Treasury Notes0.500% due 10/15/2013 6,636,733 $ 6,620,643US Treasury Notes0.500% due 11/15/2013 4,497,433 4,462,863Republic of Germany3.250% due 01/04/2020 € 2,531,695 3,458,101US Treasury Notes0.875% due 02/29/2012 $ 2,327,100 2,323,513US Treasury Notes2.500% due 04/30/2015 2,085,800 2,114,895US Treasury Notes1.875% due 06/30/2015 1,979,150 2,002,272US Treasury Notes2.375% due 07/31/2017 1,918,700 1,955,935US Treasury Notes0.375% due 08/31/2012 1,823,842 1,822,784US Treasury Notes3.625% due 02/15/2020 1,692,047 1,690,371Canada Government Bond2.500% due 06/01/2015 CAD 1,703,100 1,671,378Germany Treasury Bills0.000% due 02/23/2011 € 1,196,020 1,623,840US Treasury Notes1.000% due 07/15/2013 $ 1,434,700 1,443,103

SHARES

PIMCO US Dollar Short-Term Floating NAVFund (a) 123,966,136 1,239,900

PAR(000S)

US Treasury Notes0.750% due 05/31/2012 $ 987,800 990,281US Treasury Notes1.250% due 10/31/2015 869,300 872,985US Treasury Notes0.625% due 06/30/2012 834,200 835,007US Treasury Bills0.000% due 10/28/2010 767,000 766,896US Treasury Notes0.375% due 09/30/2012 756,900 757,238US Treasury Notes1.250% due 08/31/2015 674,300 671,783US Treasury Notes1.000% due 08/31/2011 663,900 667,005US Treasury Bills0.200% due 12/09/2010 636,400 635,895US Treasury Notes0.750% due 12/15/2013 600,000 594,406US Treasury Notes3.125% due 02/28/2017 564,700 565,071US Treasury Bills0.060% due 03/04/2010 562,000 561,968US Treasury Notes3.125% due 04/30/2017 516,100 546,311Fannie Mae4.500% due 10/01/2040 515,000 540,905US Treasury Notes2.500% due 06/30/2017 491,900 502,311US Treasury Notes0.875% due 01/31/2012 499,900 499,352US Treasury Notes1.125% due 06/15/2013 492,600 495,031

(a) The Total Return Bond Fund is investing in Class Z Income Shares of an affiliated Fund.




Portfolio of Investments and Assets UK Corporate Bond Fund

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS


AUSTRALIA

Hanson Australia Funding Ltd.5.250% due 03/15/2013 $ 1,800 $ 1,173 0.30National Australia Bank Ltd.3.625% due 11/08/2017 £ 2,300 2,214 0.57Westpac Banking Corp.5.000% due 10/21/2019 4,400 4,415 1.14WT Finance Australia Pty Ltd.5.500% due 06/27/2017 1,242 1,294 0.33

9,096 2.34

BELGIUM

Fortis Bank S.A.6.500% due 09/29/2049 € 1,800 1,488 0.38

CAYMAN ISLANDS

MUFG Capital Finance 5 Ltd.6.299% due 01/29/2049 £ 4,750 4,394 1.13Punch Taverns Finance B Ltd.1.858% due 06/30/2035 500 125 0.035.943% due 12/30/2024 1,245 946 0.257.369% due 06/30/2022 720 626 0.16Trafford Centre Finance Ltd.7.030% due 01/28/2029 331 377 0.098.280% due 10/28/2022 250 261 0.07UPCB Finance Ltd.7.625% due 01/15/2020 € 1,950 1,754 0.45

8,483 2.18

FRANCE

AUTO ABS Srl1.145% due 02/25/2019 118 100 0.03AXA S.A.7.125% due 12/15/2020 £ 3,300 3,481 0.89BNP Paribas0.463% due 04/27/2017 $ 2,950 1,815 0.476.742% due 09/07/2017 £ 1,910 2,008 0.517.436% due 10/29/2049 1,900 1,824 0.47Credit Agricole S.A.5.000% due 06/29/2049 750 647 0.177.589% due 01/29/2049 1,200 1,074 0.278.125% due 10/29/2049 1,450 1,358 0.358.375% due 04/29/2049 $ 2,000 1,313 0.348.375% due 10/29/2049 400 263 0.079.750% due 06/29/2049 1,000 672 0.17EDF S.A.5.125% due 09/22/2050 £ 3,000 2,913 0.756.125% due 06/02/2034 400 440 0.11France Telecom S.A.5.250% due 12/05/2025 2,414 2,421 0.62GDF Suez5.000% due 10/01/2060 2,500 2,410 0.626.125% due 02/11/2021 2,500 2,787 0.71Societe Generale9.375% due 09/29/2049 € 500 450 0.12Veolia Environnement S.A.6.125% due 10/29/2037 £ 1,450 1,572 0.40

27,548 7.07

GERMANY

Kreditanstalt fuer Wiederaufbau5.550% due 06/07/2021 1,300 1,486 0.385.750% due 06/07/2032 870 1,028 0.276.000% due 12/07/2028 3,250 3,942 1.01Opera Finance PLC1.226% due 01/22/2015 € 61 49 0.01

6,505 1.67

IRELAND

DECO Series1.292% due 07/27/2014 1 1 0.00

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

GE Capital UK Funding4.125% due 09/28/2017 £ 4,000 $ 3,990 1.025.125% due 05/24/2023 1,400 1,352 0.355.875% due 11/04/2020 1,600 1,684 0.43

7,027 1.80


BAA Funding Ltd.5.225% due 02/15/2023 1,500 1,408 0.365.850% due 11/27/2013 2,550 2,716 0.70HBOS Euro Finance LP7.627% due 12/29/2049 € 2,100 1,547 0.40HSBC Bank Funding Sterling LP5.844% due 11/29/2049 £ 1,900 1,634 0.425.862% due 04/29/2049 100 92 0.02

7,397 1.90

LUXEMBOURG

Telenet Finance Luxembourg S.C.A.6.375% due 11/15/2020 € 3,500 3,014 0.77

MEXICO

America Movil SAB de C.V.5.750% due 06/28/2030 £ 3,550 3,632 0.93

NETHERLANDS

British American Tobacco Holdings TheNetherlands BV

5.500% due 09/15/2016 1,100 1,181 0.30Conti-Gummi Finance BV6.500% due 01/15/2016 € 1,000 874 0.22Cooperatieve Centrale Raiffeisen-Boerenleenbank BA6.875% due 03/19/2020 2,700 2,191 0.5711.000% due 06/29/2049 $ 1,050 867 0.22Deutsche Telekom International Finance BV6.500% due 04/08/2022 £ 4,750 5,164 1.33E.ON International Finance BV6.000% due 10/30/2019 1,200 1,335 0.346.750% due 01/27/2039 1,250 1,523 0.39HeidelbergCement Finance BV6.750% due 12/15/2015 € 1,600 1,433 0.377.500% due 10/31/2014 400 368 0.09Heineken NV7.250% due 03/10/2015 £ 2,950 3,329 0.86Koninklijke KPN NV5.750% due 09/17/2029 1,100 1,126 0.296.000% due 05/29/2019 2,050 2,224 0.57Scotland International Finance No. 2 BV4.250% due 05/23/2013 $ 1,900 1,201 0.31Stichting Eleven Cities2.441% due 05/20/2080 € 845 719 0.18Storm BV1.126% due 04/22/2048 549 458 0.12TNT NV7.500% due 08/14/2018 £ 3,800 4,248 1.09Ziggo Finance BV6.125% due 11/15/2017 € 1,200 1,021 0.26

29,262 7.51

NORWAY

DnB NORBank ASA6.012% due 03/29/2049 £ 3,300 3,124 0.806.170% due 01/29/2018 1,150 1,211 0.317.250% due 06/23/2020 400 441 0.12

4,776 1.23

RUSSIA

Gazprom Via Gaz Capital S.A.6.580% due 10/31/2013 4,750 5,047 1.30

SINGAPORE

Temasek Financial I Ltd.5.125% due 07/26/2040 4,100 4,186 1.08

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

SPAIN

Santander Issuances S.A. Unipersonal5.375% due 05/19/2016 £ 450 $ 436 0.116.533% due 10/24/2017 600 585 0.157.300% due 07/27/2019 450 430 0.11

1,451 0.37

SUPRANATIONAL

European Investment Bank4.750% due 10/15/2018 1,850 2,011 0.525.000% due 04/15/2039 5,100 5,547 1.425.625% due 06/07/2032 2,500 2,892 0.748.750% due 08/25/2017 1,400 1,852 0.48International Bank for Reconstruction & Development5.750% due 06/07/2032 1,200 1,429 0.37

13,731 3.53

SWEDEN

Svenska Handelsbanken AB5.500% due 05/26/2016 3,650 3,923 1.01

SWITZERLAND

UBS AG0.439% due 04/18/2016 $ 3,950 2,474 0.635.250% due 06/21/2021 £ 2,250 2,250 0.586.375% due 07/20/2016 350 382 0.106.375% due 11/19/2024 650 673 0.17

5,779 1.48

UNITED KINGDOM


Bumper 2 S.A.2.524% due 06/20/2022 € 1,434 1,231 0.32Business Mortgage Finance PLC0.928% due 02/15/2039 £ 114 98 0.02

1,329 0.34


Abbey National Treasury Services PLC5.500% due 06/18/2014 1,600 1,683 0.43Allied Domecq Financial Services Ltd.6.625% due 04/18/2011 1,000 1,012 0.266.625% due 06/12/2014 1,700 1,811 0.47Anglo American Capital PLC6.875% due 05/01/2018 1,950 2,184 0.56Annington Finance No. 4 PLC1.709% due 01/10/2023 322 303 0.08Arkle Master Issuer PLC3.986% due 08/17/2017 4,500 4,391 1.13Bank of Scotland PLC7.281% due 05/29/2049 1,837 1,414 0.36Barclays Bank PLC1.228% due 05/30/2017 € 200 160 0.045.750% due 08/17/2021 £ 500 505 0.136.369% due 06/29/2049 1,300 1,112 0.296.750% due 01/16/2023 950 976 0.257.434% due 09/29/2049 $ 720 450 0.1210.000% due 05/21/2021 £ 4,450 5,393 1.3914.000% due 11/29/2049 3,400 4,063 1.04BAT International Finance PLC7.250% due 03/12/2024 1,350 1,585 0.41BP Capital Markets PLC2.375% due 12/14/2011 $ 200 129 0.03BSKYB Finance UK PLC5.750% due 10/20/2017 £ 2,100 2,283 0.59Cadbury Schweppes Finance PLC7.250% due 07/18/2018 2,050 2,418 0.62Central Networks West PLC5.500% due 05/09/2025 2,000 2,003 0.51DFS Furniture Holdings PLC9.750% due 07/15/2017 800 792 0.20Eastern Power Networks PLC5.750% due 03/08/2024 3,000 3,088 0.796.250% due 11/12/2036 1,000 1,079 0.28


31 December 2010

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Enterprise Inns PLC6.500% due 12/06/2018 £ 3,750 $ 3,225 0.836.875% due 02/15/2021 400 329 0.09ENW Capital Finance PLC6.750% due 06/20/2015 2,100 2,286 0.59FCE Bank PLC5.125% due 11/16/2015 2,350 2,279 0.59Great Rolling Stock Co. Ltd.6.875% due 07/27/2035 1,400 1,457 0.37Greene King Finance PLC1.579% due 03/15/2036 300 196 0.055.318% due 09/15/2031 1,083 1,020 0.26Hammerson PLC5.250% due 12/15/2016 1,930 1,968 0.51Holmes Master Issuer PLC4.009% due 10/15/2054 2,300 2,098 0.54HSBC Bank PLC4.750% due 03/24/2046 510 408 0.105.000% due 03/20/2023 2,700 2,598 0.676.500% due 07/07/2023 680 708 0.18HSBC Holdings PLC5.750% due 12/20/2027 350 332 0.096.375% due 10/18/2022 1,050 1,101 0.286.500% due 05/20/2024 1,300 1,423 0.366.750% due 09/11/2028 250 263 0.07Hutchison Ports UK Finance PLC6.750% due 12/07/2015 300 337 0.09Imperial Tobacco Finance PLC9.000% due 02/17/2022 1,400 1,796 0.46John Lewis PLC6.125% due 01/21/2025 1,800 1,824 0.47Ladbrokes Group Finance PLC7.125% due 07/11/2012 1,500 1,571 0.40LBG Capital No.1 PLC6.439% due 05/23/2020 € 3,400 2,345 0.607.375% due 03/12/2020 500 369 0.097.625% due 10/14/2020 470 348 0.0911.040% due 03/19/2020 £ 250 253 0.07LBG Capital No.2 PLC7.625% due 12/09/2019 145 123 0.039.334% due 02/07/2020 100 95 0.0215.000% due 12/21/2019 € 190 212 0.06LCR Finance PLC4.500% due 12/07/2038 £ 10,500 10,644 2.73Lloyds TSB Bank PLC6.375% due 04/15/2014 300 317 0.086.500% due 09/17/2040 1,450 1,340 0.346.750% due 10/24/2018 1,700 1,773 0.467.625% due 04/22/2025 4,650 4,492 1.1512.000% due 12/29/2049 $ 2,600 1,796 0.4613.000% due 01/29/2049 £ 248 283 0.07Marks & Spencer PLC6.875% due 12/13/2037 950 1,008 0.26Mitchells & Butlers Finance PLC5.574% due 12/15/2028 801 818 0.216.469% due 09/15/2030 450 412 0.11National Grid Electricity Transmission PLC5.875% due 02/02/2024 320 344 0.097.375% due 01/13/2031 500 626 0.16National Grid Gas PLC6.375% due 03/03/2020 950 1,075 0.28National Westminster Bank PLC6.500% due 09/07/2021 100 91 0.02Nationwide Building Society2.875% due 09/14/2015 € 1,250 1,050 0.275.625% due 09/09/2019 £ 1,300 1,292 0.33Network Rail Infrastructure Finance PLC4.625% due 07/21/2020 3,700 3,914 1.014.750% due 11/29/2035 7,700 8,033 2.06Northern Gas Networks Finance PLC5.625% due 03/23/2040 2,000 2,003 0.51Northumbrian Water Finance PLC6.875% due 02/06/2023 3,610 4,185 1.07Pearson Funding One PLC6.000% due 12/15/2015 550 599 0.15

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Punch Taverns Finance PLC5.883% due 10/15/2026 £ 579 $ 420 0.117.274% due 04/15/2022 210 205 0.05Reed Elsevier Investments PLC5.625% due 10/20/2016 3,750 4,034 1.04Rolls-Royce PLC6.750% due 04/30/2019 600 687 0.18Royal Bank of Scotland Group PLC5.000% due 11/12/2013 $ 2,500 1,577 0.40Royal Bank of Scotland PLC0.489% due 04/11/2016 4,500 2,353 0.611.293% due 01/30/2017 € 2,500 1,764 0.456.375% due 04/29/2014 £ 900 948 0.246.625% due 09/17/2018 1,000 1,032 0.277.500% due 04/29/2024 1,850 1,914 0.49Santander UK PLC7.037% due 08/29/2049 350 296 0.08Segro PLC6.000% due 09/30/2019 2,800 2,869 0.74Severn Trent Utilities Finance PLC6.000% due 01/22/2018 1,600 1,761 0.466.125% due 02/26/2024 2,077 2,264 0.586.250% due 06/07/2029 870 977 0.25South Eastern Power Networks PLC6.375% due 11/12/2031 3,450 3,759 0.97Southern Gas Networks PLC5.125% due 11/02/2018 850 887 0.23Spirit Issuer PLC1.836% due 12/28/2011 100 68 0.025.472% due 12/28/2028 140 105 0.026.582% due 12/28/2018 1,350 1,134 0.29Standard Chartered Bank7.750% due 04/03/2018 2,600 2,957 0.767.750% due 10/29/2049 110 113 0.03Tesco Property Finance 2 PLC6.052% due 10/13/2039 1,981 2,141 0.55Virgin Media Secured Finance PLC7.000% due 01/15/2018 3,650 3,869 0.99Vodafone Group PLC5.375% due 12/05/2017 450 478 0.12Western Power Distribution South Wales PLC5.750% due 03/23/2040 1,200 1,246 0.32Western Power Distribution South West PLC5.750% due 03/23/2040 1,200 1,246 0.32

156,997 40.33


Arkle Master Issuer PLC2.298% due 05/17/2060 € 1,000 847 0.22Arran Residential Mortgages Funding PLC2.203% due 05/16/2047 1,800 1,540 0.40Eurosail PLC1.149% due 03/13/2045 928 741 0.19Granite Master Issuer PLC0.401% due 12/20/2054 $ 1,927 1,143 0.290.692% due 12/17/2054 £ 1,652 1,533 0.390.702% due 12/20/2054 826 766 0.20Holmes Master Issuer PLC2.353% due 10/15/2054 € 100 86 0.02Newgate Funding PLC1.349% due 12/15/2050 £ 810 781 0.201.626% due 12/15/2050 € 2,050 1,475 0.38Residential Mortgage Securities3.250% due 12/16/2050 £ 700 676 0.17Silverstone Master Issuer PLC2.187% due 01/21/2055 1,100 1,096 0.28

10,684 2.74

SHARES


Barclays Bank PLC4.750% due 03/29/2049 7,000 393 0.106.000% due 06/29/2049 8,800 708 0.18

1,101 0.28

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

SOVEREIGN ISSUES

United Kingdom Gilt3.750% due 09/07/2020 £ 2,550 $ 2,599 0.674.000% due 09/07/2016 3,090 3,333 0.854.250% due 12/07/2027 1,400 1,436 0.374.250% due 06/07/2032 2,000 2,026 0.524.750% due 03/07/2020 2,500 2,764 0.71

12,158 3.12


UNITED STATES


Carrington Mortgage Loan Trust0.311% due 01/25/2037 $ 64 40 0.01Countrywide Asset-Backed Certificates0.311% due 06/25/2047 40 25 0.01MASTR Asset-Backed Securities Trust0.321% due 11/25/2036 1 1 0.00

66 0.02


Ally Financial, Inc.5.375% due 06/06/2011 € 2,200 1,885 0.488.000% due 11/01/2031 500 342 0.09American Express Credit Corp.5.375% due 10/01/2014 £ 2,600 2,708 0.70American General Finance Corp.3.250% due 01/16/2013 € 200 149 0.045.900% due 09/15/2012 $ 200 121 0.03American International Group, Inc.1.179% due 04/26/2011 € 1,350 1,146 0.294.000% due 09/20/2011 1,350 1,155 0.305.000% due 04/26/2023 £ 1,250 1,043 0.275.750% due 03/15/2067 800 632 0.168.625% due 05/22/2038 1,500 1,470 0.38BAC Capital Trust VII5.250% due 08/10/2035 450 301 0.08Bank of America Corp.6.125% due 09/15/2021 1,500 1,447 0.377.000% due 07/31/2028 2,400 2,373 0.61Citigroup, Inc.0.572% due 06/09/2016 $ 700 399 0.104.500% due 03/03/2031 £ 350 246 0.065.150% due 05/21/2026 400 354 0.095.875% due 07/01/2024 60 53 0.016.250% due 09/02/2019 2,600 2,679 0.696.393% due 03/06/2023 € 500 422 0.116.500% due 08/16/2030 £ 60 59 0.027.375% due 09/01/2039 2,850 3,133 0.81Comcast Corp.5.500% due 11/23/2029 1,100 1,108 0.28Credit Suisse Group Finance US, Inc.7.000% due 10/05/2020 700 761 0.20General Electric Capital Corp.5.250% due 12/07/2028 390 370 0.09Goldman Sachs Group, Inc.1.548% due 08/12/2015 (c) € 700 554 0.147.250% due 04/10/2028 £ 500 537 0.14HCA, Inc.9.250% due 11/15/2016 $ 450 307 0.08HSBC Finance Capital Trust IX5.911% due 11/30/2035 1,150 676 0.17HSBC Finance Corp.6.676% due 01/15/2021 2,900 1,871 0.48International Lease Finance Corp.5.250% due 01/10/2013 2,600 1,661 0.43Merrill Lynch & Co., Inc.0.920% due 02/21/2012 £ 350 342 0.097.750% due 04/30/2018 2,050 2,232 0.578.125% due 06/02/2028 1,000 993 0.26Metropolitan Life Global Funding I5.250% due 01/09/2014 2,400 2,532 0.65Morgan Stanley1.377% due 04/13/2016 € 3,200 2,460 0.63


Portfolio of Investments and Assets UK Corporate Bond Fund (Cont.)

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Pfizer, Inc.6.500% due 06/03/2038 £ 2,550 $ 3,035 0.78RBS Capital Trust A6.467% due 12/29/2049 € 200 116 0.03SLM Corp.4.875% due 12/17/2012 £ 977 954 0.24Stone Street Trust5.902% due 12/15/2015 $ 200 131 0.03Wells Fargo & Co.4.875% due 11/29/2035 £ 1,250 970 0.25

43,727 11.23


Greenpoint Mortgage Funding Trust0.341% due 01/25/2047 $ 82 50 0.01WaMu Mortgage Pass-Through Certificates1.328% due 02/25/2046 287 141 0.04

191 0.05

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS



12/31/2010. Collateralised byUS Treasury Notes 2.500%due 06/30/2017 valued at$2,048. Dated 12/31/2010.Collateralised by US TreasuryBonds 4.625% due02/15/2040 valued at $5,066.Repurchase proceeds are$6,900.) $ 6,900 $ 4,407 1.13

Royal Bank of Scotland Group PLC0.533% due 01/04/2011 (Dated

12/31/2010. Collateralised byUnited Kingdom Gilt 2.750%due 01/22/2015 valued at£5,000. Repurchase proceedsare £4,980.) £ 4,980 4,980 1.28

9,387 2.41

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS


Fannie Mae1.542% due 10/01/2044 $ 127 $ 79 0.02



05/19/2011 (a) 758 484 0.12US Treasury Notes0.375% due 08/31/2012 (a) 1,245 794 0.200.625% due 06/30/2012 300 192 0.052.125% due 12/31/2015 2,400 1,541 0.40

3,011 0.77


Total Transferable Securities &Money Market Instruments - OfficialStock Exchange/Regulated Market £ 381,075 97.86


FUTURES


Month# of

Contracts


% ofNet Assets

90-Day Eurodollar March Futures Long 03/2011 367 £ 85 0.0290-Day Eurodollar March Futures Long 03/2012 260 36 0.01United Kingdom 10-Year Gilt March Futures Long 03/2011 98 (35) (0.01)United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures Long 12/2011 614 (84) (0.02)United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures Long 09/2012 188 (87) (0.02)

£ (85) (0.02)Total Financial Derivative Instruments Dealt in on a Regulated Market £ (85) (0.02)



WRITTEN OPTIONS


ExerciseRate

ExpirationDate


FairValue

% ofNet Assets


Call - OTC Dow Jones iTraxx Europe Series 14 BNP Sell 0.900% 03/16/2011 € 22,200 £ (41) £ (34) (0.01)Put - OTC Dow Jones iTraxx Europe Series 14 BNP Buy 1.600% 03/16/2011 22,200 (41) (25) 0.00

£ (82) £ (59) (0.01)


ExerciseRate

ExpirationDate


% ofNet Assets


Put - OTC 2-Year Interest Rate Swap BCLY 6-Month EUR-LIBOR Pay 2.500% 09/19/2012 € 53,400 £ (252) £ (480) (0.12)Put - OTC 2-Year Interest Rate Swap RBS 6-Month EUR-LIBOR Pay 2.500% 09/19/2012 30,100 (142) (271) (0.07)Call - OTC 1-Year Interest Rate Swap BOA 3-Month GBP-LIBOR Receive 1.250% 06/15/2011 £ 33,000 (60) (103) (0.03)Call - OTC 1-Year Interest Rate Swap CITI 3-Month GBP-LIBOR Receive 1.250% 06/15/2011 16,400 (30) (51) (0.01)Put - OTC 5-Year Interest Rate Swap DUB 6-Month GBP-LIBOR Pay 2.600% 03/29/2011 7,300 (42) (100) (0.03)Put - OTC 5-Year Interest Rate Swap GSC 6-Month GBP-LIBOR Pay 2.600% 03/29/2011 7,300 (43) (100) (0.03)Put - OTC 5-Year Interest Rate Swap JPM 6-Month GBP-LIBOR Pay 2.600% 03/28/2011 9,400 (59) (129) (0.03)Put - OTC 2-Year Interest Rate Swap BOA 3-Month USD-LIBOR Pay 2.250% 09/24/2012 $ 11,400 (41) (99) (0.03)Put - OTC 2-Year Interest Rate Swap CITI 3-Month USD-LIBOR Pay 2.250% 09/24/2012 700 (3) (6) 0.00Call - OTC 10-Year Interest Rate Swap CSFB 3-Month USD-LIBOR Receive 3.250% 01/24/2011 2,500 (10) (8) 0.00Put - OTC 10-Year Interest Rate Swap CSFB 3-Month USD-LIBOR Pay 5.000% 01/24/2011 2,500 (16) 0 0.00Call - OTC 10-Year Interest Rate Swap RBS 3-Month USD-LIBOR Receive 3.250% 01/24/2011 22,100 (80) (72) (0.02)Put - OTC 2-Year Interest Rate Swap RBS 3-Month USD-LIBOR Pay 2.250% 09/24/2012 34,900 (173) (302) (0.08)Call - OTC 10-Year Interest Rate Swap SOG 3-Month USD-LIBOR Receive 3.250% 01/24/2011 4,000 (16) (13) 0.00Put - OTC 10-Year Interest Rate Swap SOG 3-Month USD-LIBOR Pay 5.000% 01/24/2011 4,000 (21) 0 0.00

£ (988) £ (1,734) (0.45)


ExpirationDate


FairValue

% ofNet Assets

STRADDLE OPTIONS

Call & Put 1-Year vs. 1-Year Forward Volatility Agreement GSC £ 0.000 10/11/2011 $ 6,700 £ (23) £ (35) (0.01)Call & Put 1-Year vs. 1-Year Forward Volatility Agreement JPM 0.000 10/11/2011 3,500 (11) (18) (0.01)Call & Put 1-Year vs. 2-Year Forward Volatility Agreement MSC 0.000 10/11/2011 8,700 (60) (93) (0.02)Call & Put 1-Year vs. 2-Year Forward Volatility Agreement MSC 0.000 11/14/2011 11,900 (81) (128) (0.03)

£ (175) £ (274) (0.07)



31 December 2010



NotionalAmount(3)

FairValue

UpfrontPremiums

Paid/(Received)


% ofNet Assets

Hanson Ltd. (1.000%) 03/20/2013 BCLY $ 500 £ 1 £ 0 £ 1 0.00Hanson Ltd. (1.000%) 03/20/2013 GSC 1,300 4 (2) 6 0.00International Lease Finance Corp. (5.000%) 03/20/2013 BCLY 2,600 (116) (38) (78) (0.03)Ladbrokes Group Finance PLC (3.150%) 09/20/2012 BCLY £ 1,500 (50) (1) (49) (0.01)Royal Bank of Scotland PLC (3.000%) 06/20/2016 DUB $ 2,850 154 2 152 0.04Royal Bank of Scotland PLC (1.000%) 06/20/2016 UBS 600 68 29 39 0.02Santander Issuances S.A. Unipersonal (3.000%) 12/20/2015 BNP € 300 15 2 13 0.00TNT NV (1.000%) 09/20/2018 MSC £ 3,300 50 68 (18) 0.01

£ 126 £ 60 £ 66 0.03




FairValue

UpfrontPremiums

Paid/(Received)


% ofNet Assets

Abu Dhabi Government International Bond 1.000% 12/20/2014 BCLY $ 600 3 (15) 18 0.00Abu Dhabi Government International Bond 1.000% 12/20/2014 GSC 500 3 (11) 14 0.00BP Capital Markets America, Inc. 1.000% 12/20/2020 BCLY € 2,150 £ (18) £ (74) £ 56 0.00BP Capital Markets America, Inc. 1.000% 09/20/2011 BCLY $ 100 0 (5) 5 0.00BP Capital Markets America, Inc. 1.000% 09/20/2011 BNP 100 0 (5) 5 0.00BP Capital Markets America, Inc. 1.000% 12/20/2015 CSFB € 300 1 0 1 0.00ING Verzekeringen NV 1.400% 06/20/2011 DUB € 2,600 (2) 0 (2) 0.00Petrobras International Finance Co. 1.000% 09/20/2012 DUB $ 1,600 (2) (11) 9 0.00Republic of Italy 1.000% 06/20/2011 BOA 2,200 (3) (15) 12 0.00Republic of Italy 1.000% 06/20/2011 CITI 3,300 (5) (25) 20 0.00Shell International Finance BV 1.000% 12/20/2015 BOA € 700 14 10 4 0.00Shell International Finance BV 1.000% 12/20/2015 SOG 800 15 11 4 0.00Tesco PLC 1.000% 12/20/2015 BOA 5,200 59 26 33 0.02United Kingdom Gilt 1.000% 06/20/2015 CITI $ 5,650 53 44 9 0.01

£ 118 £ (70) £ 188 0.03




INTEREST RATE SWAPS



NotionalAmount

FairValue

UpfrontPremiums

Paid/(Received)


% ofNet Assets

Pay 6-Month GBP-LIBOR 3.000% 12/15/2011 HSBC £ 30,600 £ 575 £ (90) £ 665 0.15Pay 6-Month GBP-LIBOR 2.500% 03/16/2016 MSC 4,200 (51) 24 (75) (0.01)Pay BRL-CDI-Compounded 11.245% 01/02/2012 RBS BRL 13,100 (24) (12) (12) (0.01)Pay BRL-CDI-Compounded 11.890% 01/02/2013 GSC 54,600 150 63 87 0.04

£ 650 £ (15) £ 665 0.17


Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Buy BRL 10,579 CITI 03/2011 £ 0 £ (14) £ (14) 0.00Buy CNY 1,594 BOA 01/2011 9 0 9 0.00Buy 12,267 CITI 01/2011 53 0 53 0.01Buy 2,805 DUB 01/2011 0 0 0 0.00Sell 7,000 DUB 01/2011 0 (5) (5) 0.00Buy 6,033 JPM 01/2011 2 0 2 0.00Sell 18,621 JPM 01/2011 0 (8) (8) 0.00Buy 2,922 MSC 01/2011 16 0 16 0.00Buy 8,190 BCLY 11/2011 35 0 35 0.01Buy 4,816 JPM 11/2011 18 0 18 0.00Buy 5,560 RBS 11/2011 30 0 30 0.01Buy 7,000 DUB 02/2012 27 0 27 0.01Buy 18,621 JPM 02/2012 65 0 65 0.02Sell € 52,679 CITI 01/2011 0 (397) (397) (0.10)Sell 3,082 DUB 01/2011 0 (43) (43) (0.01)Sell 3,152 RBC 01/2011 25 0 25 0.01Buy 1,458 RBS 01/2011 5 0 5 0.00Buy 1,710 CSFB 02/2011 16 0 16 0.00Buy 1,360 GSC 02/2011 10 0 10 0.00


Portfolio of Investments and Assets UK Corporate Bond Fund (Cont.)

Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Buy KRW 171,000 BCLY 05/2011 £ 0 £ 0 £ 0 0.00Buy 1,665,800 CITI 05/2011 6 (1) 5 0.00Buy 137,716 GSC 05/2011 1 0 1 0.00Buy 322,000 HSBC 05/2011 2 0 2 0.00Buy 743,600 JPM 05/2011 0 (1) (1) 0.00Buy 646,000 RBS 05/2011 5 0 5 0.00Buy PHP 4,000 BOA 06/2011 0 0 0 0.00Buy 42,559 CITI 06/2011 10 0 10 0.00Sell 70,883 CITI 06/2011 0 (14) (14) 0.00Buy 8,754 DUB 06/2011 0 0 0 0.00Buy 6,577 HSBC 06/2011 1 0 1 0.00Buy 8,993 JPM 06/2011 1 0 1 0.00Buy SGD 1,230 BOA 03/2011 18 0 18 0.01Buy 308 DUB 03/2011 4 0 4 0.00Buy 260 JPM 03/2011 4 0 4 0.00Buy 310 RBS 03/2011 5 0 5 0.00Sell $ 240 BOA 01/2011 0 (8) (8) 0.00Buy 71,199 CITI 01/2011 732 0 732 0.19Sell 1,820 CITI 01/2011 0 (27) (27) (0.01)Buy 5,152 DUB 01/2011 21 (2) 19 0.01Sell 419 DUB 01/2011 4 0 4 0.00Buy 2,791 JPM 01/2011 0 (13) (13) 0.00Sell 908 JPM 01/2011 5 (3) 2 0.00Sell 440 MSC 01/2011 0 (14) (14) 0.00Buy 4,374 RBC 01/2011 68 0 68 0.02Sell 2,000 RBS 01/2011 0 (33) (33) (0.01)Sell 106,509 GSC 02/2011 8 (412) (404) (0.10)Buy 310 MSC 02/2011 0 (1) (1) 0.00Sell 915 BOA 03/2011 12 0 12 0.00Sell 6,203 CITI 03/2011 68 0 68 0.02Sell 230 DUB 03/2011 2 0 2 0.00Sell 193 JPM 03/2011 3 0 3 0.00Sell 230 RBS 03/2011 2 0 2 0.00Sell 152 BCLY 05/2011 0 (1) (1) 0.00Sell 1,481 CITI 05/2011 0 (8) (8) 0.00Sell 121 GSC 05/2011 0 0 0 0.00Sell 287 HSBC 05/2011 0 (2) (2) 0.00Sell 656 JPM 05/2011 3 0 3 0.00Sell 571 RBS 05/2011 0 (4) (4) 0.00Sell 93 BOA 06/2011 0 (1) (1) 0.00Buy 1,629 CITI 06/2011 11 0 11 0.00Sell 982 CITI 06/2011 1 (12) (11) 0.00Sell 200 DUB 06/2011 1 0 1 0.00Sell 150 HSBC 06/2011 0 0 0 0.00Sell 205 JPM 06/2011 1 0 1 0.00Sell 1,264 BCLY 11/2011 0 (32) (32) (0.01)Sell 750 JPM 11/2011 0 (21) (21) (0.01)Sell 859 RBS 11/2011 0 (29) (29) (0.01)Sell 1,080 DUB 02/2012 0 (20) (20) (0.01)Sell 2,859 JPM 02/2012 0 (39) (39) (0.01)

£ 1,310 £ (1,165) £ 145 0.04

Total OTC Financial Derivative Instruments £ (1,028) (0.26)

Total Investments £ 379,962 97.58

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS


ANZ National Bank3.890% due 01/04/2011 AUD 34 £ 22 0.01BNP Paribas Bank0.080% due 01/03/2011 € 428 367 0.09HSBC Bank0.068% due 01/04/2011 £ 799 799 0.20Nordea Bank AB0.030% due 01/03/2011 $ 174 111 0.03Total Overnight Time Deposits £ 1,299 0.33Other Current Assets & Liabilities £ 8,141 2.09Net Assets £ 389,402 100.00


31 December 2010


(a) Securities with an aggregate market value of £886 and cash of £36 have been segregated with the Custodian to cover margin requirements for the open futures contracts as at 31 December 2010.

(b) Cash of £3,487 has been pledged as collateral for swap, swaption and foreign currency contracts as at 31 December 2010 as governed by International Swaps and Derivative Association, Inc.Master Agreements.

(c) Restricted Securities


DateAcquisition

Date CostFair

Value% of

Net Assets

Goldman Sachs Group, Inc. 1.548% 08/12/2015 12/02/2009 £ 585 £ 554 0.14



Category3




(Level 2)



Transferable Securities £ 708 £ 380,367 £ 0 £ 381,075Financial Derivative Instruments4 (85) (754) (274) (1,113)Totals £ 623 £ 379,613 £ (274) £ 379,962


Category3

StartingBalance

at 31-Dec-2009Net

Purchases5Net

Sales5


RealisedGains/

(Losses)




Level 3

EndingBalance

at 31-Dec-2010




Transferable Securities £ 1,735 £ 0 £ 0 £ 3 £ 0 £ 274 £ (2,012) £ 0 £ 0Financial Derivative Instruments4 0 (175) 0 0 0 (99) 0 (274) (99)Totals £ 1,735 £ (175) £ 0 £ 3 £ 0 £ 175 £ (2,012) £ (274) £ (99)


Category3


(Level 1)


(Level 2)



Transferable Securities £ 0 £ 370,338 £ 1,735 £ 372,073Financial Derivative Instruments4 196 (2,379) 0 (2,183)Totals £ 196 £ 367,959 £ 1,735 £ 369,890


Category3

StartingBalance at

31-Dec-2008Net

Purchases5Net

Sales5


RealisedGains/

(Losses)




Level 3

EndingBalance at

31-Dec-2009




Transferable Securities £0 £1,700 £0 £2 £0 £33 £0 £1,735 £33





Significant Changes in Portfolio Composition UK Corporate Bond Fund

DESCRIPTIONPAR

(000S)COST(000S)


Republic of Germany1.000% due 03/16/2012 € 120,500 £ 101,355Republic of Germany4.000% due 01/04/2037 18,000 16,727Bundesschatzanweisungen4.000% due 09/10/2010 19,600 16,473United Kingdom Gilt5.000% due 07/09/2014 £ 14,000 15,278Credit Agricole S.A.8.375% due 10/13/2049 $ 22,000 14,977German Treasury Bills0.000% due 02/23/2011 € 15,600 12,877Network Rail Infrastructure Finance PLC4.750% due 11/29/2035 £ 11,500 11,543LCR Finance PLC4.500% due 12/07/2038 10,500 10,432Republic of Germany3.750% due 01/04/2015 € 10,800 9,920Republic of Germany4.750% due 07/04/2028 9,900 9,863Republic of Germany5.625% due 01/04/2028 7,700 8,401Republic of Germany6.250% due 01/04/2024 7,200 8,179United Kingdom Gilt4.500% due 07/03/2013 £ 7,300 7,887Bundesobligation2.500% due 10/08/2010 € 8,900 7,404Bundesschatzanweisungen0.500% due 06/15/2012 8,000 6,592United Kingdom Gilt4.000% due 03/07/2022 £ 6,400 6,386Kreditanstalt fuer Wiederaufbau5.500% due 12/07/2015 5,000 5,706European Investment Bank5.000% due 04/15/2039 5,100 5,461United Kingdom Gilt2.750% due 01/22/2015 5,200 5,248United Kingdom Gilt4.250% due 12/07/2027 5,000 5,114United Kingdom Gilt4.750% due 12/07/2038 4,500 5,004Holmes Master Issuer PLC4.009% due 10/15/2054 4,600 4,600Lloyds TSB Bank PLC7.625% due 04/22/2025 4,550 4,519Arkle Master Issuer PLC3.986% due 08/17/2017 4,500 4,500Kreditanstalt fuer Wiederaufbau5.550% due 06/07/2021 4,000 4,493German Treasury Bills0.000% due 09/15/2010 € 5,400 4,479Bundesobligation4.000% due 04/13/2012 5,100 4,462TNT NV7.500% due 08/14/2018 £ 3,800 4,344TNT NV6.875% due 03/19/2020 € 4,800 4,314United Kingdom Gilt4.500% due 03/07/2019 £ 4,000 4,192US Treasury Notes3.375% due 11/15/2019 $ 6,940 4,188Temasek Financial I Ltd.5.125% due 07/26/2040 £ 4,100 4,082Northumbrian Water Finance PLC6.875% due 02/06/2023 3,610 4,057GE Capital UK Funding4.125% due 09/28/2017 4,000 4,000United Kingdom Treasury Bills0.000% due 09/13/2010 4,000 3,996Germany Treasury Bills0.320% due 03/30/2011 € 4,700 3,917Kreditanstalt Fuer Wiederaufbau5.625% due 08/25/2017 3,400 3,829

DESCRIPTIONPAR

(000S)COST(000S)

European Investment Bank4.750% due 10/15/2018 £ 3,600 £ 3,818European Investment Bank8.750% due 08/25/2017 € 2,900 3,812Kreditanstalt fuer Wiederaufbau6.000% due 12/07/2028 £ 3,250 3,809Network Rail Infrastructure Finance PLC4.625% due 07/21/2020 3,700 3,773Abbey National PLC4.125% due 09/14/2017 3,750 3,736Abbey National Treasury Services PLC4.125% due 09/14/2017 3,750 3,736Virgin Media Secured Finance PLC7.000% due 01/15/2018 3,650 3,595Barclays Bank PLC10.000% due 05/21/2021 2,750 3,518United Kingdom Gilt4.000% due 09/07/2016 3,090 3,367Heineken NV7.250% due 03/10/2015 2,950 3,327

PAR(000S)

PROCEEDS(000S)


Republic of Germany1.000% due 03/16/2012 € 120,500 £ 101,008United Kingdom Gilt4.250% due 09/07/2039 £ 23,300 22,617Republic of Germany4.000% due 01/04/2037 € 18,000 16,725Bundesschatzanweisungen4.000% due 09/10/2010 19,600 16,469United Kingdom Gilt5.000% due 09/07/2014 £ 14,000 15,332Credit Agricole S.A.8.375% due 10/13/2049 $ 22,000 15,014German Treasury Bills0.000% due 02/23/2011 € 15,600 12,877Republic of Germany3.750% due 01/04/2015 10,800 9,912Republic of Germany4.750% due 07/04/2028 9,900 9,861Kreditanstalt fuer Wiederaufbau5.550% due 06/07/2021 £ 8,100 9,058Republic of Germany5.625% due 01/04/2028 € 7,700 8,400Republic of Germany6.250% due 01/04/2024 7,200 8,176United Kingdom Gilt4.500% due 03/07/2013 £ 7,300 7,885Bank Nederlandse Gemeenten5.750% due 01/18/2019 6,900 7,565Abbey National Treasury Services4.125% due 09/14/2017 7,500 7,468Bundesobligation2.500% due 10/08/2010 € 8,900 7,404Bundesschatzanweisungen0.500% due 06/15/2012 8,000 6,588United Kingdom Gilt4.000% due 03/07/2022 £ 6,400 6,384Kreditanstalt fuer Wiederaufbau4.875% due 02/01/2018 6,000 6,334United Kingdom Gilt4.750% due 12/07/2038 5,500 6,067Kreditanstalt fuer Wiederaufbau5.500% due 12/07/2015 5,000 5,786Marks & Spencer PLC6.125% due 12/02/2019 5,500 5,772United Kingdom Gilt2.750% due 01/22/2015 5,200 5,248United Kingdom Gilt4.500% due 12/07/2042 5,000 5,065US Treasury Notes3.375% due 11/15/2019 $ 8,040 4,969



DESCRIPTIONPAR

(000S)PROCEEDS

(000S)


Abbey National Treasury Services PLC5.500% due 06/18/2014 £ 4,600 £ 4,897German Treasury Bills0.000% due 09/15/2010 € 5,400 4,479Bundesobligation4.000% due 04/13/2012 5,100 4,462Cooperatieve Centrale Raiffeisen-Boerenleenbank BA

Enel Finance International S.A.5.625% due 08/14/2024 £ 4,200 4,204United Kingdom Gilt4.500% due 03/07/2019 4,000 4,189Network Rail Infrastructure Finance PLC4.750% due 11/29/2035 3,800 4,052H.J. Heinz Finance UK PLC6.250% due 02/18/2030 3,546 4,028United Kingdom Treasury Bills0.000% due 09/13/2010 4,000 3,998Telefonica Emisiones SAU5.888% due 01/31/2014 3,650 3,903Germany Treasury Bills0.320% due 03/30/2011 € 4,700 3,875Kreditanstalt Fuer Wiederaufbau5.625% due 08/25/2017 3,400 3,824United Kingdom Gilt4.250% due 07/12/2027 £ 3,600 3,697

DESCRIPTIONPAR

(000S)PROCEEDS

(000S)


European Investment Bank4.750% due 10/15/2018 £ 3,250 £ 3,444Nationwide Building Society3.750% due 11/21/2011 3,300 3,424BG Energy Capital PLC5.125% due 12/07/2017 3,150 3,343Barclays Bank PLC4.875% due 12/29/2049 € 4,860 3,245Telecom Italia SpA7.375% due 12/15/2017 £ 2,700 3,118Vodafone Group PLC5.375% due 12/05/2017 2,950 3,098HSBC Holdings PLC6.000% due 03/29/2040 3,000 3,019Santander Issuances S.A. Unipersonal6.533% due 10/24/2017 2,850 3,012




Portfolio of Investments and Assets UK Long Term Corporate Bond Fund

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS


AUSTRALIA

Commonwealth Bank of Australia4.875% due 12/19/2023 £ 200 £ 193 0.02Hanson Australia Funding Ltd.5.250% due 03/15/2013 $ 3,300 2,150 0.26New South Wales Treasury Corp.5.000% due 02/25/2039 £ 4,850 5,096 0.60

7,439 0.88

CAYMAN ISLANDS

BCP Finance Bank Ltd.1.323% due 12/21/2016 € 200 120 0.01MUFG Capital Finance 2 Ltd.4.850% due 07/29/2049 400 314 0.04MUFG Capital Finance 5 Ltd.6.299% due 01/29/2049 £ 4,400 4,070 0.48Punch Taverns Finance B Ltd.1.858% due 06/30/2035 1,990 498 0.065.943% due 12/30/2024 557 423 0.056.962% due 06/30/2028 1,600 720 0.087.369% due 06/30/2022 3,650 3,175 0.38SMFG Preferred Capital GBP 2 Ltd.10.231% due 07/29/2049 3,100 3,550 0.42South East Water Finance Ltd.5.583% due 03/29/2029 400 401 0.05Trafford Centre Finance Ltd.6.500% due 07/28/2033 2,570 2,945 0.357.030% due 01/28/2029 2,817 3,204 0.388.280% due 10/28/2022 450 469 0.06UPCB Finance Ltd.7.625% due 01/15/2020 € 4,000 3,599 0.43Yorkshire Water Services Odsal Finance Ltd.6.588% due 02/21/2023 £ 1,100 1,256 0.15

24,744 2.94

FRANCE

BNP Paribas0.463% due 04/27/2017 $ 6,350 3,907 0.46BPCE S.A.6.117% due 10/29/2049 € 750 498 0.06Credit Agricole S.A.7.375% due 12/18/2023 £ 850 881 0.117.589% due 01/29/2049 3,200 2,864 0.348.375% due 04/29/2049 $ 2,050 1,345 0.168.375% due 10/29/2049 900 591 0.07EDF S.A.5.125% due 09/22/2050 £ 6,850 6,652 0.796.125% due 06/02/2034 11,500 12,633 1.506.250% due 05/30/2028 200 222 0.026.875% due 12/12/2022 3,350 3,940 0.47France Telecom S.A.5.250% due 12/05/2025 800 803 0.095.375% due 11/22/2050 3,750 3,781 0.45GDF Suez5.000% due 10/01/2060 6,700 6,460 0.776.125% due 02/11/2021 5,550 6,186 0.73Pages Jaunes Group S.A.2.572% due 11/22/2013 € 1,000 728 0.09Reseau Ferre de France5.000% due 03/11/2052 £ 600 654 0.08

52,145 6.19

GERMANY

Kabel Deutschland4.500% due 12/20/2016 € 1,000 858 0 .10Kreditanstalt fuer Wiederaufbau5.750% due 06/07/2032 £ 10,050 11,873 1.416.000% due 12/07/2028 5,250 6,368 0.76

19,099 2.27

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

IRELAND

GE Capital UK Funding6.250% due 05/05/2038 £ 5,618 £ 5,912 0.708.000% due 01/14/2039 6,150 7,916 0.94

13,828 1.64

ITALY

Intesa Sanpaolo SpA5.500% due 12/19/2016 210 202 0.028.375% due 10/29/2049 € 300 245 0.03

447 0.05


BAA Funding Ltd.5.225% due 02/15/2023 £ 3,950 3,708 0.446.450% due 12/10/2031 4,890 5,008 0.606.750% due 12/03/2026 2,700 2,897 0.347.075% due 08/04/2028 1,500 1,668 0.20Bank of Scotland Capital Funding LP6.059% due 03/29/2049 900 720 0.08HSBC Bank Funding Sterling LP5.844% due 11/29/2049 150 129 0.025.862% due 04/29/2049 2,400 2,196 0.26

16,326 1.94

MEXICO

America Movil SAB de C.V.5.750% due 06/28/2030 7,600 7,776 0.92

NETHERLANDS

Bank Nederlandse Gemeenten5.200% due 12/07/2028 5,700 6,173 0.73Cooperatieve Centrale Raiffeisen-Boerenleenbank BA6.875% due 03/19/2020 € 5,700 4,625 0.5511.000% due 06/29/2049 $ 4,750 3,921 0.4711.000% due 12/29/2049 3,985 3,290 0.39Deutsche Telekom International Finance BV6.500% due 04/08/2022 £ 8,700 9,458 1.127.625% due 06/15/2030 7,000 8,670 1.038.875% due 11/27/2028 670 919 0.11E.ON International Finance BV5.875% due 10/30/2037 5,450 5,929 0.706.750% due 01/27/2039 5,700 6,945 0.83HeidelbergCement Finance BV6.750% due 12/15/2015 € 1,850 1,657 0.207.500% due 10/31/2014 200 184 0.02Koninklijke KPN NV5.750% due 09/17/2029 £ 6,309 6,457 0.77Scotland International Finance No. 2 BV4.250% due 05/23/2013 $ 1,800 1,138 0.13Ziggo Finance BV6.125% due 11/15/2017 € 5,400 4,592 0.55

63,958 7.60

NORWAY

DnB NORBank ASA6.012% due 03/29/2049 £ 1,950 1,846 0.227.250% due 06/23/2020 3,700 4,080 0.48

5,926 0.70

RUSSIA

Gazprom OAO Via Morgan Stanley Bank AG9.625% due 03/01/2013 $ 3,000 2,172 0.26

SINGAPORE

Temasek Financial I Ltd.5.125% due 07/26/2040 £ 12,300 12,557 1.49

SPAIN

Santander Issuances S.A. Unipersonal5.375% due 05/19/2016 950 921 0.116.533% due 10/24/2017 1,400 1,364 0.167.300% due 07/27/2019 6,500 6,216 0.74

8,501 1.01

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

SUPRANATIONAL

International Bank for Reconstruction & Development5.750% due 06/07/2032 £ 110 £ 131 0.02

SWEDEN

Vattenfall AB6.875% due 04/15/2039 4,800 5,867 0.70

SWITZERLAND

UBS AG5.250% due 06/21/2021 1,200 1,200 0.146.375% due 07/20/2016 1,600 1,748 0.216.375% due 11/19/2024 2,100 2,174 0.26

5,122 0.61

UNITED KINGDOM


Anglian Water Services Financing PLC5.837% due 07/30/2022 820 867 0.106.293% due 07/30/2030 1,420 1,570 0.19Annington Finance No. 4 PLC6.568% due 01/10/2023 70 75 0.01Arkle Master Issuer PLC4.681% due 02/17/2017 4,600 4,697 0.56AWG PLC6.875% due 08/21/2023 990 1,143 0.14BAA SH PLC7.125% due 03/01/2017 1,000 999 0.12Bank of Scotland PLC7.281% due 05/29/2049 2,932 2,258 0.279.375% due 05/15/2021 1,440 1,581 0.19Barclays Bank PLC5.750% due 08/17/2021 6,500 6,565 0.786.369% due 06/29/2049 4,850 4,147 0.496.750% due 01/16/2023 2,300 2,364 0.287.434% due 09/29/2049 $ 1,600 999 0.1210.000% due 05/21/2021 £ 11,404 13,821 1.64BAT International Finance PLC6.000% due 06/29/2022 4,200 4,472 0.536.000% due 11/24/2034 2,700 2,838 0.347.250% due 03/12/2024 900 1,057 0.12BG Energy Capital PLC5.125% due 12/01/2025 8,300 8,255 0.98BL Superstores Finance PLC4.482% due 10/04/2025 1,900 1,844 0.225.270% due 07/04/2025 1,000 1,026 0.12British Sky Broadcasting Group PLC6.000% due 05/21/2027 5,200 5,453 0.65Broadgate Financing PLC4.821% due 07/05/2033 2,215 2,054 0.244.851% due 04/05/2031 1,900 1,785 0.214.999% due 10/05/2031 860 791 0.10Canary Wharf Finance II PLC5.952% due 01/22/2035 400 428 0.056.800% due 04/22/2030 210 229 0.03Central Networks West PLC5.500% due 05/09/2025 4,300 4,307 0.51Eastern Power Networks PLC5.750% due 03/08/2024 3,360 3,459 0.416.250% due 11/12/2036 6,650 7,172 0.85Electricity North West Ltd.8.875% due 03/25/2026 750 1,005 0.12Enterprise Inns PLC6.500% due 12/06/2018 8,992 7,733 0.926.875% due 02/15/2021 1,650 1,357 0.16ENW Finance PLC6.125% due 07/21/2021 3,550 3,901 0.46GlaxoSmithKline Capital PLC5.250% due 04/10/2042 7,399 7,434 0.88Great Rolling Stock Co. Ltd.6.875% due 07/27/2035 2,950 3,071 0.36Greene King Finance PLC1.579% due 03/15/2036 500 327 0.045.106% due 03/15/2034 646 578 0.075.318% due 09/15/2031 3,393 3,198 0.38


31 December 2010

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

H.J. Heinz Finance UK PLC6.250% due 02/18/2030 £ 2,326 £ 2,565 0.30Hammerson PLC6.000% due 02/23/2026 3,850 3,764 0.45HSBC Bank PLC4.750% due 03/24/2046 4,120 3,294 0.395.000% due 03/20/2023 650 626 0.075.375% due 11/04/2030 1,650 1,511 0.185.375% due 08/22/2033 13,402 12,199 1.45HSBC Holdings PLC5.750% due 12/20/2027 480 455 0.066.000% due 03/29/2040 3,450 3,385 0.406.375% due 10/18/2022 6,050 6,345 0.757.000% due 04/07/2038 100 110 0.01Hutchison Whampoa Finance UK PLC5.625% due 11/24/2026 1,900 1,953 0.23Imperial Tobacco Finance PLC9.000% due 02/17/2022 9,425 12,091 1.44John Lewis PLC6.125% due 01/21/2025 6,300 6,385 0.76Land Securities Capital Markets PLC5.376% due 09/30/2029 3,400 3,409 0.415.391% due 03/31/2027 600 607 0.07LBG Capital No.1 PLC6.439% due 05/23/2020 € 4,000 2,759 0.337.375% due 03/12/2020 500 368 0.047.625% due 10/14/2020 200 148 0.027.869% due 08/25/2020 £ 100 87 0.0111.040% due 03/19/2020 3,150 3,182 0.38LBG Capital No.2 PLC15.000% due 12/21/2019 600 762 0.09Lloyds TSB Bank PLC5.750% due 07/09/2025 660 574 0.076.500% due 09/17/2040 3,400 3,143 0.377.500% due 04/15/2024 950 1,000 0.127.625% due 04/22/2025 9,250 8,936 1.0612.000% due 12/29/2049 $ 400 277 0.03Marks & Spencer PLC6.875% due 12/13/2037 £ 1,300 1,380 0.16Marstons Issuer PLC5.177% due 07/15/2032 2,113 1,926 0.235.641% due 07/15/2035 650 566 0.07Meadowhall Finance PLC4.986% due 01/12/2032 8,424 8,560 1.02Mitchells & Butlers Finance PLC5.574% due 12/15/2028 2,391 2,445 0.296.013% due 12/15/2028 100 101 0.016.469% due 09/15/2030 2,450 2,242 0.27Motability Operations Group PLC5.625% due 11/29/2030 1,800 1,798 0.21National Grid Electricity Transmission PLC7.375% due 01/13/2031 902 1,129 0.13National Grid Gas PLC6.000% due 05/13/2038 7,100 7,795 0.93National Westminster Bank PLC6.500% due 09/07/2021 1,010 922 0.117.875% due 09/09/2015 230 243 0.03Network Rail Infrastructure Finance PLC4.750% due 11/29/2035 12,300 12,832 1.52Northern Gas Networks Finance PLC5.625% due 03/23/2040 7,200 7,211 0.86Northern Gas Networks Ltd.4.875% due 06/30/2027 1,830 1,732 0.21Northumbrian Water Finance PLC6.875% due 02/06/2023 4,960 5,750 0.68Punch Taverns Finance PLC5.883% due 10/15/2026 216 157 0.02Royal Bank of Scotland Group PLC7.387% due 12/29/2049 250 230 0.03Royal Bank of Scotland PLC0.489% due 04/11/2016 $ 4,570 2,390 0.280.569% due 10/14/2016 1,000 522 0.064.625% due 09/22/2021 € 1,600 1,119 0.136.625% due 09/17/2018 £ 2,900 2,993 0.366.875% due 05/17/2025 2,200 2,129 0.257.500% due 04/29/2024 3,650 3,775 0.45

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Santander UK PLC6.984% due 08/29/2049 £ 830 £ 689 0.08Sceptre Funding No. 15.253% due 02/09/2027 1,169 1,257 0.15Scotland Gas Networks PLC4.875% due 12/21/2034 2,300 2,098 0.25Scottish & Southern Energy PLC5.875% due 09/22/2022 470 507 0.066.250% due 08/27/2038 2,600 2,912 0.35Segro PLC5.625% due 12/07/2020 1,430 1,389 0.175.750% due 06/20/2035 1,900 1,721 0.206.750% due 02/23/2024 1,500 1,574 0.19Severn Trent Utilities Finance PLC6.125% due 02/26/2024 670 730 0.096.250% due 06/07/2029 10,559 11,855 1.41South Eastern Power Networks PLC6.375% due 11/12/2031 1,850 2,016 0.24Southern Electric Power Distribution PLC4.625% due 02/20/2037 880 787 0.095.500% due 06/07/2032 5,121 5,195 0.62Southern Gas Networks PLC4.875% due 03/21/2029 1,919 1,810 0.22Southern Water Services Finance Ltd.5.000% due 03/31/2041 1,700 1,587 0.196.192% due 03/31/2029 5,245 5,749 0.68Spirit Issuer PLC1.836% due 12/28/2011 1,240 843 0.105.472% due 12/28/2028 287 215 0.026.582% due 12/28/2018 1,200 1,008 0.12Tesco Property Finance 1 PLC7.623% due 07/13/2039 659 830 0.10Tesco Property Finance 2 PLC6.052% due 10/13/2039 16,129 17,425 2.07Tesco Property Finance 3 PLC5.744% due 04/13/2040 10,650 10,986 1.30Unique Pub Finance Co. PLC5.659% due 06/30/2027 2,704 2,062 0.24Virgin Media Secured Finance PLC7.000% due 01/15/2018 7,500 7,950 0.94Vodafone Group PLC5.625% due 12/04/2025 5,600 5,895 0.70Wessex Water Services Finance PLC5.375% due 03/10/2028 1,080 1,094 0.135.750% due 10/14/2033 240 251 0.03Western Power Distribution South Wales PLC5.750% due 03/23/2040 5,450 5,658 0.67Western Power Distribution South West PLC5.750% due 03/23/2040 3,950 4,101 0.49Yorkshire Electricity Distribution PLC5.125% due 05/04/2035 1,960 1,859 0.22Yorkshire Water Services Finance Ltd.5.500% due 05/28/2037 450 466 0.05

367,261 43.61


Arran Residential Mortgages Funding PLC2.203% due 05/16/2047 € 4,100 3,508 0.42Granite Master Issuer PLC0.401% due 12/20/2054 $ 1,652 980 0.120.692% due 12/17/2054 £ 1,039 964 0.110.702% due 12/20/2054 826 766 0.09Mound Financing PLC0.859% due 02/08/2042 400 390 0.05Newgate Funding PLC1.349% due 12/15/2050 1,920 1,852 0.221.626% due 12/15/2050 € 4,200 3,023 0.36Paragon Mortgages PLC1.470% due 05/15/2034 598 440 0.05Permanent Master Issuer PLC2.685% due 07/15/2042 2,050 1,760 0.21Silverstone Master Issuer PLC2.187% due 01/21/2055 £ 4,400 4,386 0.52

18,069 2.15

DESCRIPTION SHARES

FAIRVALUE(000S)

% OFNET

ASSETS


Barclays Bank PLC4.750% due 03/29/2049 5,000 £ 281 0.036.000% due 06/29/2049 1,000 80 0.01

361 0.04

PAR(000S)

SOVEREIGN ISSUES

United Kingdom Gilt4.250% due 12/07/2027 £ 35,500 36,419 4.334.250% due 09/07/2039 28,100 28,373 3.374.750% due 12/07/2038 400 437 0.05United Kingdom Treasury Bills0.540% due 01/04/2011 3,600 3,600 0.43

68,829 8.18


UNITED STATES


HCA, Inc.2.553% due 11/17/2013 $ 296 187 0.023.553% due 03/31/2017 709 448 0.06UPC Financing Partnership4.558% due 12/30/2016 € 581 474 0.064.808% due 12/31/2017 419 342 0.04

1,451 0.18


Ally Financial, Inc.5.375% due 06/06/2011 2,300 1,971 0.248.000% due 11/01/2031 $ 1,000 683 0.08American General Finance Corp.3.250% due 01/16/2013 € 200 149 0.025.900% due 09/15/2012 $ 100 61 0.01American International Group, Inc.5.000% due 06/26/2017 € 500 403 0.055.000% due 04/26/2023 £ 5,300 4,423 0.525.750% due 03/15/2067 5,000 3,950 0.478.000% due 05/22/2038 € 600 493 0.068.250% due 08/15/2018 $ 1,000 736 0.098.625% due 05/22/2038 £ 4,600 4,508 0.53BAC Capital Trust VII5.250% due 08/10/2035 650 435 0.05Bank of America Corp.5.500% due 12/04/2019 400 378 0.056.125% due 09/15/2021 6,500 6,271 0.747.000% due 07/31/2028 11,250 11,122 1.32Citigroup, Inc.5.875% due 07/01/2024 5,646 5,003 0 .596.393% due 03/06/2023 € 1,900 1,604 0 .197.375% due 09/01/2039 £ 11,949 13,136 1 .56Comcast Corp.5.500% due 11/23/2029 2,200 2,216 0 .26Credit Suisse Group Finance US, Inc.7.000% due 10/05/2020 677 736 0 .09General Electric Capital Corp.5.250% due 12/07/2028 3,596 3,412 0 .415.375% due 12/18/2040 1,250 1,176 0 .14Goldman Sachs Group, Inc.6.250% due 09/01/2017 $ 1,200 846 0 .107.250% due 04/10/2028 £ 5,600 6,010 0 .71HSBC Finance Capital Trust IX5.911% due 11/30/2035 $ 700 411 0 .05HSBC Finance Corp.6.676% due 01/15/2021 5,000 3,226 0 .38International Lease Finance Corp.5.250% due 01/10/2013 3,500 2,235 0 .27JPMorgan Chase Capital XVIII6.950% due 08/17/2036 6,700 4,294 0 .51Pfizer, Inc.6.500% due 06/03/2038 £ 9,750 11,604 1 .38RBS Capital Trust I4.709% due 12/29/2049 $ 1,830 763 0 .09


Portfolio of Investments and Assets UK Long Term Corporate Bond Fund (Cont.)

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

US Bank N.A.4.375% due 02/28/2017 € 2,950 £ 2,474 0 .29Wal-Mart Stores, Inc.5.625% due 03/27/2034 £ 4,652 4,975 0 .595.750% due 12/19/2030 550 603 0 .07Wells Fargo & Co.4.625% due 11/02/2035 4,650 3,918 0 .474.875% due 11/29/2035 6,400 4,966 0 .59Wells Fargo Bank N.A.5.250% due 08/01/2023 400 362 0 .04ZFS Finance USA Trust IV5.875% due 05/09/2032 $ 438 273 0 .03

109,826 13.04

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS



(Dated 12/31/2010.Collateralised by US TreasuryNotes 2.500% due06/30/2017 valued at $1,536.Repurchase proceeds are$1,500.) $ 1,500 £ 958 0.11



8,048 0.95

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS



06/02/2011 (a) $ 962 £ 614 0 .07US Treasury Notes0.375% due 08/31/2012 (a) 1,847 1,178 0 .14

1,792 0 .21


Total TransferableSecurities & Money MarketInstruments - Official StockExchange/Regulated Market £ 821,675 97.58


FUTURES


Month# of

Contracts


% ofNet Assets

90-Day Eurodollar March Futures Long 03/2012 571 £ 81 0.01United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures Long 12/2011 546 (75) (0.01)United Kingdom Treasury 10-Year Gilt March Futures Long 03/2011 208 (90) (0.01)

£ (84) (0.01)

WRITTEN OPTIONS

DescriptionExercise

PriceExpiration

Date# of


Value% of

Net Assets

Call - Euro-Bund 10-Year Bond March Futures € 133.000 02/28/2011 58 £ (17) £ (3) 0.00Put - Euro-Bund 10-Year Bond March Futures 125.000 02/28/2011 58 (49) (64) (0.01)

£ (66) £ (67) (0.01)

Total Financial Derivative Instruments Dealt in on a Regulated Market £ (151) (0.02)


WRITTEN OPTIONS


ExerciseRate

ExpirationDate


% ofNet Assets


Call - OTC Dow Jones iTraxx Europe Series 14 BNP Sell 0.900% 03/16/2011 € 64,500 £ (119) £ (99) (0.01)Put - OTC Dow Jones iTraxx Europe Series 14 BNP Buy 1.600% 03/16/2011 64,500 (117) (72) (0.01)

£ (236) £ (171) (0.02)


ExerciseRate

ExpirationDate


FairValue

% ofNet Assets


Put - OTC 2-Year Interest Rate Swap BCLY 6-Month EUR-LIBOR Pay 2.500% 09/19/2012 € 154,400 £ (730) £ (1,389) (0.16)Put - OTC 2-Year Interest Rate Swap RBS 6-Month EUR-LIBOR Pay 2.500% 09/19/2012 87,000 (409) (783) (0.09)Call - OTC 1-Year Interest Rate Swap BOA 3-Month GBP-LIBOR Receive 1.250% 06/15/2011 £ 93,000 (170) (289) (0.03)Call - OTC 1-Year Interest Rate Swap CITI 3-Month GBP-LIBOR Receive 1.250% 06/15/2011 46,200 (85) (144) (0.02)Put - OTC 5-Year Interest Rate Swap DUB 6-Month GBP-LIBOR Pay 2.600% 03/29/2011 20,000 (115) (275) (0.03)Put - OTC 5-Year Interest Rate Swap GSC 6-Month GBP-LIBOR Pay 2.600% 03/29/2011 20,000 (117) (275) (0.03)Put - OTC 5-Year Interest Rate Swap JPM 6-Month GBP-LIBOR Pay 2.600% 03/28/2011 30,500 (192) (417) (0.05)Put - OTC 2-Year Interest Rate Swap BOA 3-MonthUSD-LIBOR Pay 2.250% 09/24/2012 $ 33,400 (120) (289) (0.04)Put - OTC 2-Year Interest Rate Swap CITI 3-Month USD-LIBOR Pay 2.250% 09/24/2012 2,000 (9) (17) 0 .00Put - OTC 2-Year Interest Rate Swap RBS 3-Month USD-LIBOR Pay 2.250% 09/24/2012 102,200 (508) (884) (0.11)

£ (2,455) £ (4,762) (0.56)


31 December 2010


ExpirationDate


FairValue

% ofNet Assets

STRADDLE OPTIONS

Call & Put - OTC 1-Year vs. 1-Year Forward Volatility Agreement GSC 0.000 10/11/2011 $ 16,600 £ (56) £ (86) (0.01)Call & Put - OTC 1-Year vs. 1-Year Forward Volatility Agreement JPM 0.000 10/11/2011 10,200 (33) (53) (0.01)Call & Put - OTC 1-Year vs. 2-Year Forward Volatility Agreement MSC 0.000 10/11/2011 25,400 (174) (273) (0.03)Call & Put - OTC 1-Year vs. 2-Year Forward Volatility Agreement MSC 0.000 11/14/2011 36,300 (249) (389) (0.05)

£ (512) £ (801) (0.10)




NotionalAmount(3)

FairValue

UpfrontPremiums

Paid/(Received)


% ofNet Assets

Bank of Scotland PLC (3.200%) 06/20/2013 UBS $ 2,300 £ 32 £ 0 £ 32 0.00BCP Finance Bank Ltd. (2.600%) 12/20/2011 RBS € 250 37 0 37 0.01Hanson Ltd. (1.000%) 03/20/2013 BCLY $ 900 3 0 3 0.00Hanson Ltd. (1.000%) 03/20/2013 GSC 3,400 9 (7) 16 0.00International Lease Finance Corp. (5.000%) 03/20/2013 BCLY 4,600 (205) (66) (139) (0.02)Royal Bank of Scotland PLC (1.000%) 06/20/2016 UBS 4,850 547 248 299 0 .07Santander Issuances S.A. Uniperisonal (3.000%) 12/20/2015 BNP € 3,800 186 22 164 0 .02Santander Issuances S.A. Uniperisonal (3.000%) 12/20/2015 GSC 700 34 5 29 0 .00

£ 643 £ 202 £ 441 0 .08




FairValue

UpfrontPremiums

Paid/(Received)


% ofNet Assets

Abu Dhabi Government International Bond 1.000% 12/20/2014 BCLY $ 1,800 £ 9 £ (45) £ 54 0.00Abu Dhabi Government International Bond 1.000% 12/20/2014 GSC 1,700 9 (39) 48 0.00Anglo American Capital PLC 1.000% 12/20/2015 HSBC € 4,300 (20) (65) 45 0.00BP Capital Markets America, Inc. 1.000% 06/20/2015 BCLY 300 2 (31) 33 0.00BP Capital Markets America, Inc. 1.000% 03/20/2016 GSC 2,000 7 (4) 11 0.00BP Capital Markets America, Inc. 5.000% 06/20/2015 GSC $ 500 58 11 47 0.01BP Capital Markets America, Inc. 5.000% 09/20/2015 GSC 400 48 4 44 0.01General Electric Capital Corp. 1.000% 09/20/2011 MSC 18,000 44 (37) 81 0.00Heineken NV 1.000% 12/20/2015 BCLY € 6,000 45 12 33 0.01ING Verzekeringen NV 1.400% 06/20/2011 DUB 7,500 (5) 0 (5) 0.00Morgan Stanley 1.000% 09/20/2011 BOA $ 18,000 23 (62) 85 0.00Petrobras International Finance Co. 1.000% 09/20/2012 DUB 4,500 (7) (31) 24 0.00Republic of Italy 1.000% 06/20/2011 BOA 6,000 (9) (42) 33 0.00Republic of Italy 1.000% 06/20/2011 CITI 9,400 (14) (71) 57 0.00Shell International Finance BV 1.000% 12/20/2015 BOA € 2,100 41 29 12 0.00Shell International Finance BV 1.000% 12/20/2015 SOG 2,400 46 33 13 0.01United Kingdom Gilt 1.000% 06/20/2015 CITI $ 12,900 121 102 19 0.01Veolia Environnement S.A. 1.000% 12/20/2015 BCLY € 4,900 22 4 18 0.00

£ 420 £ (232) £ 652 0.05




FairValue

UpfrontPremiums

Paid/(Received)


% ofNet Assets

Dow Jones CDX N.A. EM14 Index 5.000% 12/20/2015 CITI $ 2,600 £ 229 £ 230 £ (1) 0.03Dow Jones CDX N.A. EM14 Index 5.000% 12/20/2015 DUB 1,300 115 115 0 0.01Dow Jones CDX N.A. EM14 Index 5.000% 12/20/2015 HSBC 6,900 609 610 (1) 0.07Dow Jones CDX N.A. EM14 Index 5.000% 12/20/2015 UBS 3,400 300 302 (2) 0.04

£ 1,253 £ 1,257 £ (4) 0.15




INTEREST RATE SWAPS


NotionalAmount Fair Value

UpfrontPremiums

Paid/(Received)


% ofNet Assets

Pay 6-Month GBP-LIBOR 2.500% 03/16/2016 MSC £ 20,100 £ (244) £ 113 £ (357) (0.03)Pay 6-Month GBP-LIBOR 3.250% 03/16/2021 JPM 40,000 (1,247) (24) (1,223) (0.15)Pay 6-Month GBP-LIBOR 4.000% 09/15/2030 DUB 17,700 291 1,279 (988) 0.04Pay 6-Month GBP-LIBOR 4.000% 09/21/2041 BCLY 26,200 (148) 967 (1,115) (0.02)Pay BRL-CDI-Compounded 11.245% 01/02/2012 RBS BRL 38,700 (72) (35) (37) (0.01)Pay BRL-CDI-Compounded 11.890% 01/02/2013 GSC 156,000 430 181 249 0.05

£ (990) £ 2,481 £ (3,471) (0.12)


Portfolio of Investments and Assets UK Long Term Corporate Bond Fund (Cont.)


Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Buy BRL 29,861 CITI 03/2011 £ 0 £ (39) £ (39) 0.00Buy CNY 7,769 BOA 01/2011 42 0 42 0.00Buy 34,562 CITI 01/2011 148 0 148 0.02Buy 13,364 DUB 01/2011 0 (1) (1) 0.00Sell 23,000 DUB 01/2011 0 (15) (15) 0.00Buy 19,280 JPM 01/2011 0 (2) (2) 0.00Sell 65,787 JPM 01/2011 0 (26) (26) 0.00Buy 13,811 MSC 01/2011 75 0 75 0.01Buy 13,306 BCLY 11/2011 57 0 57 0.01Buy 7,823 JPM 11/2011 29 0 29 0.00Buy 9,032 RBS 11/2011 49 0 49 0.00Buy 23,000 DUB 02/2012 87 0 87 0.01Buy 65,787 JPM 02/2012 230 0 230 0.03Sell € 86,082 CITI 01/2011 15 (668) (653) (0.08)Sell 8,138 DUB 01/2011 0 (114) (114) (0.01)Buy 2,842 RBS 01/2011 10 0 10 0.00Sell 315 RBS 01/2011 0 (4) (4) 0.00Buy 17,900 MSC 02/2011 242 0 242 0.03Buy KRW 481,400 BCLY 05/2011 1 0 1 0.00Buy 4,694,500 CITI 05/2011 18 (3) 15 0.00Buy 388,003 GSC 05/2011 2 0 2 0.00Buy 908,000 HSBC 05/2011 5 0 5 0.00Buy 2,095,000 JPM 05/2011 0 (2) (2) 0.00Buy 1,821,000 RBS 05/2011 13 0 13 0.00Buy MYR 14,295 RBS 02/2011 83 0 83 0.01Buy PHP 12,000 BOA 06/2011 2 0 2 0.00Buy 101,150 CITI 06/2011 23 0 23 0.00Sell 217,332 CITI 06/2011 0 (44) (44) 0.00Buy 26,857 DUB 06/2011 0 0 0 0.00Buy 20,177 HSBC 06/2011 3 0 3 0.00Buy 27,590 JPM 06/2011 2 0 2 0.00Buy 29,558 RBS 06/2011 12 0 12 0.00Buy SGD 3,790 BOA 03/2011 54 0 54 0.01Buy 943 DUB 03/2011 14 0 14 0.00Buy 790 JPM 03/2011 11 0 11 0.00Buy 940 RBS 03/2011 17 0 17 0.00Sell $ 1,170 BOA 01/2011 0 (37) (37) 0.00Buy 116,294 CITI 01/2011 1,168 0 1,168 0.14Sell 5,127 CITI 01/2011 0 (76) (76) (0.01)Buy 14,281 DUB 01/2011 55 (5) 50 0.01Sell 1,995 DUB 01/2011 21 0 21 0.00Buy 9,861 JPM 01/2011 0 (46) (46) 0.00Sell 2,889 JPM 01/2011 24 0 24 0.00Sell 2,080 MSC 01/2011 0 (66) (66) (0.01)Buy 420 RBS 01/2011 2 0 2 0.00Sell 3,900 RBS 01/2011 0 (65) (65) (0.01)Sell 8,150 CSFB 02/2011 21 0 21 0.00Sell 156,575 GSC 02/2011 0 (629) (629) (0.07)Buy 2,530 MSC 02/2011 0 (19) (19) 0.00Sell 4,600 RBS 02/2011 0 (40) (40) 0.00Sell 2,818 BOA 03/2011 36 0 36 0.00Sell 17,509 CITI 03/2011 192 0 192 0.02Sell 706 DUB 03/2011 6 0 6 0.00Sell 586 JPM 03/2011 8 0 8 0.00Sell 698 RBS 03/2011 6 0 6 0.00Sell 429 BCLY 05/2011 0 (2) (2) 0.00Sell 4,175 CITI 05/2011 0 (23) (23) 0.00Sell 342 GSC 05/2011 0 (1) (1) 0.00Sell 809 HSBC 05/2011 0 (7) (7) 0.00Sell 1,847 JPM 05/2011 9 0 9 0.00Sell 1,610 RBS 05/2011 0 (10) (10) 0.00Sell 278 BOA 06/2011 0 (3) (3) 0.00Buy 4,994 CITI 06/2011 32 0 32 0.00Sell 2,324 CITI 06/2011 3 (20) (17) 0.00Sell 612 DUB 06/2011 4 0 4 0.00Sell 461 HSBC 06/2011 0 0 0 0.00Sell 629 JPM 06/2011 2 0 2 0.00Sell 688 RBS 06/2011 0 (16) (16) 0.00Sell 2,053 BCLY 11/2011 0 (52) (52) (0.01)Sell 1,218 JPM 11/2011 0 (33) (33) 0.00Sell 1,396 RBS 11/2011 0 (47) (47) (0.01)Sell 3,550 DUB 02/2012 0 (66) (66) (0.01)Sell 10,101 JPM 02/2012 0 (137) (137) (0.02)

£ 2,833 £ (2,318) £ 515 0.06

Total OTC Financial Derivative Instruments £ (3,893) (0.46)



31 December 2010

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS


ANZ National Bank3.890% due 01/04/2011 AUD 90 £ 59 0.01BNP Paribas Bank0.080% due 01/03/2011 € 2,428 2,080 0.25Citibank N.A.0.068% due 01/04/2011 £ 3,307 3,307 0.39Nordea Bank AB0.030% due 01/03/2011 $ 1,390 888 0.10Total Overnight Time Deposits £ 6,334 0.75Other Current Assets & Liabilities £ 18,083 2.15Net Assets £ 842,048 100.00


(a) Securities with an aggregate market value of £1,400 and cash of £11 have been segregated with the Custodian to cover margin requirements for the open futures contracts as at31 December 2010.




Category3




(Level 2)



Transferable Securities £ 80 £ 821,595 £ 0 £ 821,675Financial Derivative Instruments4 (151) (3,092) (801) (4,044)Totals £ (71) £ 818,503 £ (801) £ 817,631


Category3

StartingBalance

at 31-Dec-2009Net

Purchases5Net

Sales5


RealisedGains/

(Losses)




Level 3

EndingBalance

at 31-Dec-2010




Transferable Securities £ 775 £ 0 £ (351) £ (27) £ 29 £ 184 £ (610) £ 0 £ 0Financial Derivative Instruments4 0 (512) 0 0 0 (289) 0 (801) (289)Totals £ 775 £ (512) £ (351) £ (27) £ 29 £ (105) £ (610) £ (801) £ (289)


Category3




(Level 2)



Transferable Securities £ 0 £ 998,917 £ 775 £ 999,692Financial Derivative Instruments4 918 (9,436) 0 (8,518)Totals £ 918 £ 989,481 £ 775 £ 991,174


Category3

StartingBalance

at 31-Dec-2008Net

Purchases5Net

Sales5


RealisedGains/

(Losses)




Level 3

EndingBalance

at 31-Dec-2009




Transferable Securities £ 903 £ 580 £ (649) £ 2 £ 188 £ (249) £ 0 £ 775 £ 65





Significant Changes in Portfolio Composition UK Long Term Corporate Bond Fund

DESCRIPTION PAR (000S)COST(000S)


United Kingdom Gilt2.750% due 01/22/2015 £ 87,500 £ 87,571Bundesschatzanweisungen1.000% due 03/16/2012 € 97,000 81,984United Kingdom Gilt4.250% due 09/07/2039 £ 77,200 75,584United Kingdom Gilt4.000% due 03/07/2022 64,250 64,807United Kingdom Gilt4.500% due 03/07/2013 59,900 64,662United Kingdom Gilt4.250% due 12/07/2027 47,400 49,747United Kingdom Gilt3.750% due 09/07/2019 34,300 34,578United Kingdom Gilt2.500% due 07/17/2024 11,980 32,789United Kingdom Gilt5.250% due 06/07/2012 25,400 27,435United Kingdom Gilt4.250% due 03/07/2011 24,100 24,788United Kingdom Gilt4.250% due 12/07/2049 26,117 24,652United Kingdom Gilt4.250% due 06/07/2032 23,300 22,648United Kingdom Gilt4.500% due 03/07/2019 20,500 21,405United Kingdom Gilt6.000% due 12/07/2028 16,400 19,715Germany Treasury Bills0.000% due 04/20/2011 € 22,800 19,277Republic of Germany4.000% due 01/04/2037 18,600 17,817Temasek Financial I Ltd.5.125% due 07/26/2040 £ 16,600 16,525United Kingdom Treasury Bills0.000% due 09/13/2010 16,000 15,981United Kingdom Gilt4.750% due 12/07/2030 15,000 15,443Credit Agricole S.A.8.375% due 10/13/2049 $ 22,550 15,352Kreditanstalt fuer Wiederaufbau5.750% due 06/07/2032 £ 13,250 15,122United Kingdom Gilt4.750% due 06/07/2010 15,000 15,044HSBC Bank PLC5.375% due 08/22/2033 14,394 14,155Tesco Property Finance 3 PLC5.744% due 04/13/2040 13,150 13,150United Kingdom Gilt2.250% due 03/07/2014 13,000 12,965Tesco Property Finance 2 PLC6.052% due 10/13/2039 11,202 12,278Bundesschatzanweisungen4.000% due 09/10/2010 € 14,600 12,270Cooperatieve Centrale Raiffeisen-Boerenleenbank BA6.875% due 03/19/2020 13,600 12,221United Kingdom Gilt0.000% due 10/11/2010 £ 11,500 11,496Koninklijke KPN NV5.750% due 09/17/2029 9,809 9,931United Kingdom Gilt4.750% due 12/07/2038 9,000 9,901Virgin Media Secured Finance PLC7.000% due 01/15/2018 9,900 9,752Lloyds TSB Bank PLC7.625% due 04/22/2025 9,400 9,336Severn Trent Utilities Finance PLC6.250% due 06/07/2029 8,359 9,256HSBC Holdings PLC6.000% due 03/29/2040 8,950 8,837EDF S.A.5.125% due 09/22/2050 8,950 8,776

DESCRIPTIONPAR

(000S)COST(000S)

Imperial Tobacco Finance PLC9.000% due 02/17/2022 £ 6,750 £ 8,582GDF Suez5.000% due 10/01/2060 8,800 8,580BG Energy Capital PLC5.125% due 12/01/2025 8,300 8,202Bank Nederlandse Gemeenten5.200% due 12/07/2028 7,500 8,157Kreditanstalt fuer Wiederaufbau6.000% due 12/07/2028 6,950 8,099United Kingdom Gilt4.500% due 09/07/2034 7,710 7,908Western Power Distribution South Wales PLC5.750% due 03/23/2040 7,150 7,193H.J. Heinz Finance UK PLC6.250% due 02/18/2030 6,526 7,099

PROCEEDS(000S)


United Kingdom Gilt2.750% due 01/22/2015 £ 87,500 £ 87,555Bundesschatzanweisungen1.000% due 03/16/2012 € 97,000 81,623United Kingdom Gilt4.000% due 03/07/2022 £ 64,250 65,473United Kingdom Gilt4.500% due 03/07/2013 59,900 64,647United Kingdom Gilt4.250% due 09/07/2039 49,100 47,835United Kingdom Gilt3.750% due 09/07/2019 34,300 34,569United Kingdom Gilt2.500% due 07/17/2024 11,980 32,787United Kingdom Gilt5.250% due 06/07/2012 25,400 27,431United Kingdom Gilt4.250% due 03/07/2011 24,100 24,783United Kingdom Gilt4.250% due 12/07/2049 26,117 24,646United Kingdom Gilt4.250% due 06/07/2032 23,300 22,643United Kingdom Gilt4.500% due 03/07/2019 20,500 21,398United Kingdom Gilt6.000% due 12/07/2028 16,400 19,705Germany Treasury Bills0.000% due 04/20/2011 € 22,800 19,277HSBC Holdings PLC6.500% due 05/20/2024 £ 16,000 17,842Republic of Germany4.000% due 01/04/2037 € 18,600 17,815Tesco PLC6.125% due 02/24/2022 £ 15,250 16,761United Kingdom Treasury Bills0.000% due 09/13/2010 16,000 15,987United Kingdom Gilt4.750% due 12/07/2030 15,000 15,441Credit Agricole S.A.8.375% due 10/13/2049 $ 22,550 15,389United Kingdom Gilt4.750% due 06/07/2010 £ 15,000 15,000Scottish & Southern Energy PLC8.375% due 11/20/2028 9,400 13,198RWE Finance BV6.500% due 04/20/2021 11,095 13,136United Kingdom Gilt2.250% due 03/07/2014 13,000 12,964Bundesschatzanweisungen4.000% due 09/10/2010 € 14,600 12,268United Kingdom Gilt4.250% due 12/07/2027 £ 11,900 12,233United Kingdom Gilt0.000% due 10/11/2010 11,500 11,500



DESCRIPTIONPAR

(000S)PROCEEDS

(000S)


RWE Finance BV6.125% due 07/06/2039 £ 9,600 £ 10,779GDF Suez6.125% due 02/11/2021 9,200 10,372Koninklijke KPN NV5.750% due 09/17/2029 9,450 9,893United Kingdom Gilt4.750% due 12/07/2038 8,600 9,703Imperial Tobacco Finance PLC9.000% due 02/17/2022 7,500 9,692Telefonica Emisiones SAU5.375% due 02/02/2018 8,690 8,986British Telecommunications PLC6.625% due 06/23/2017 8,060 8,663GlaxoSmithKline Capital PLC5.250% due 04/10/2042 7,800 7,933United Kingdom Gilt4.500% due 09/07/2034 7,710 7,907American Express Credit Corp.5.375% due 10/01/2014 7,550 7,851Morgan Stanley5.125% due 11/30/2015 7,280 7,463SanPaolo IMI Capital8.126% due 12/29/2049 € 8,390 7,370Koninklijke KPN NV5.750% due 03/18/2016 £ 6,800 7,273British Broadcasting Corp.5.064% due 08/10/2033 7,304 7,264WT Finance Australia Pty Ltd.5.500% due 06/27/2017 6,615 7,103




Portfolio of Investments and Assets UK Sterling Inflation-Linked Fund

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS


AUSTRALIA

Australia Government Bond3.000% due 09/20/2025 (a) AUD 5,200 £ 3,636 3.64

BERMUDA

Qtel International Finance Ltd.3.375% due 10/14/2016 $ 200 122 0.12

BRAZIL

CSN Resources S.A.6.500% due 07/21/2020 500 339 0.34

CAYMAN ISLANDS

BCP Finance Bank Ltd.1.323% due 12/21/2016 € 700 429 0.43QNB Finance Ltd.3.125% due 11/16/2015 $ 500 313 0.31UPCB Finance Ltd.7.625% due 01/15/2020 € 200 181 0.18

923 0.92

FRANCE

BPCE S.A.6.117% due 10/29/2049 150 100 0.10

HONG KONG


IRELAND

FCC Proudreed Properties1.276% due 08/18/2017 € 1,226 956 0.96


HBOS Capital Funding LP6.461% due 11/29/2049 £ 250 193 0.19

LUXEMBOURG

AON Financial Services Luxembourg S.A.6.250% due 07/01/2014 € 600 547 0.55Fiat Finance & Trade S.A.7.625% due 09/15/2014 200 183 0.18

730 0.73

NETHERLANDS

Atomium Mortgage Finance BV1.000% due 07/01/2034 130 107 0.11Conti-Gummi Finance BV8.500% due 07/15/2015 200 187 0.19Cooperatieve Centrale Raiffeisen-Boerenleenbank BA6.875% due 03/19/2020 100 81 0.082.250% due 11/22/2022 (a) £ 438 480 0.48Globaldrive BV3.000% due 07/20/2015 439 377 0.38GMAC International Finance BV7.500% due 04/21/2015 200 178 0.18HeidelbergCement Finance BV6.750% due 12/15/2015 200 181 0.18Ziggo Finance BV6.125% due 11/15/2017 300 256 0.25

1,847 1.85

NORWAY

DnB NOR Bank ASA1.228% due 05/30/2017 1,100 922 0.92

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

QATAR

Ras Laffan Liquefied Natural Gas Co. Ltd. III6.750% due 09/30/2019 $ 250 £ 185 0.19

SWITZERLAND

UBS AG0.439% due 04/18/2016 300 188 0.19

UNITED KINGDOM


Abbey National Treasury Services PLC3.625% due 10/14/2016 € 400 338 0.34Allied Domecq Financial Services Ltd.6.625% due 06/12/2014 £ 200 214 0.21Annington Finance No. 4 PLC1.709% due 01/10/2023 68 65 0.07Bank of Scotland PLC7.281% due 05/29/2049 50 39 0.04FCE Bank PLC5.125% due 11/16/2015 700 681 0.689.375% due 01/17/2014 € 200 191 0.19Greene King Finance PLC1.579% due 03/15/2036 £ 650 431 0.43LBG Capital No.1 PLC6.439% due 05/23/2020 € 500 347 0.357.375% due 03/12/2020 100 75 0.0811.040% due 03/19/2020 £ 200 204 0.20LBG Capital No.2 PLC6.385% due 05/12/2020 € 300 209 0.21Lloyds TSB Bank PLC4.000% due 09/29/2020 300 245 0.2512.000% due 12/29/2049 $ 800 558 0.56Network Rail Infrastructure Finance PLC1.750% due 11/22/2027 (a) £ 3,521 4,016 4.02PCCW-HKT Capital No. 2 Ltd.6.000% due 07/15/2013 $ 1,600 1,100 1.10Taylor Wimpey PLC10.375% due 12/31/2015 £ 200 210 0.21

8,923 8.94


Arkle Master Issuer PLC0.839% due 02/17/2052 550 540 0.542.548% due 05/17/2060 € 700 600 0.60Eurosail PLC1.149% due 03/13/2045 133 106 0.11Granite Mortgages PLC0.912% due 06/20/2044 £ 256 240 0.240.932% due 09/20/2044 540 506 0.511.072% due 03/20/2044 257 241 0.241.164% due 09/20/2044 € 94 76 0.07Great Hall Mortgages PLC0.892% due 06/18/2039 £ 581 491 0.49Mound Financing PLC0.859% due 02/08/2042 2,500 2,438 2.44Newgate Funding PLC1.349% due 12/15/2050 139 134 0.141.626% due 12/15/2050 € 500 360 0.36Permanent Master Issuer PLC0.399% due 07/15/2033 $ 800 498 0.502.440% due 07/15/2042 £ 550 552 0.55Residential Mortgage Securities3.250% due 12/16/2050 200 193 0.19

6,975 6.98

SOVEREIGN ISSUES

United Kingdom Gilt2.250% due 03/07/2014 300 306 0.314.500% due 03/07/2019 700 765 0.77United Kingdom Gilt Inflation Linked (a)0.625% due 03/22/2040 9,542 9,586 9.600.625% due 11/22/2042 4,251 4,335 4.341.125% due 11/22/2037 5,582 6,335 6.341.250% due 11/22/2027 19,727 21,626 21.66

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

1.250% due 11/22/2032 £ 2,964 £ 3,343 3.351.250% due 11/22/2055 2,232 2,949 2.961.875% due 11/22/2022 5,051 5,797 5.812.000% due 01/26/2035 5,279 8,957 8.972.500% due 04/16/2020 1,317 4,214 4.222.500% due 07/17/2024 5,210 14,800 14.82

83,013 83.15


UNITED STATES


Renaissance Home Equity Loan Trust0.761% due 12/25/2033 $ 31 17 0.02SLM Student Loan Trust1.195% due 10/25/2039 € 280 227 0.23

244 0.25


American International Group, Inc.4.375% due 04/26/2016 400 323 0.325.000% due 06/26/2017 300 243 0.248.625% due 05/22/2038 £ 300 297 0.30Citigroup, Inc.6.250% due 09/02/2019 200 207 0.21Merrill Lynch & Co., Inc.7.750% due 04/30/2018 300 327 0.33Reynolds Group Issuer, Inc.7.750% due 10/15/2016 € 200 180 0.18US Bank N.A.4.375% due 02/28/2017 500 424 0.42

2,001 2.00


Countrywide Alternative Loan Trust0.461% due 06/25/2037 $ 412 155 0.15Countrywide Home Loan Mortgage Pass-Through Trust0.601% due 06/25/2035 701 387 0.393.431% due 04/25/2035 112 48 0.05Harborview Mortgage Loan Trust2.986% due 07/19/2035 1,355 731 0.73Structured Asset Securities Corp.2.497% due 06/25/2033 915 524 0.52WaMu Mortgage Pass-Through Certificates0.491% due 04/25/2045 38 20 0.020.581% due 01/25/2045 34 18 0.02

1,883 1.88


Fannie Mae4.000% due 02/01/2041 8,000 5,070 5.08


Treasury Inflation Protected Securities3.625% due 04/15/2028 (a) 8,384 6,929 6.94US Treasury Bills0.144% due 01/13/2011 -

02/17/2011 (b) 144 92 0.09US Treasury Notes2.375% due 08/31/2014 (b) 100 66 0.07

7,087 7.10


Total Transferable Securities &Money Market Instruments -Official Stock Exchange/Regulated Market £ 125,463 125.66


31 December 2010


FUTURES


Month# of

ContractsUnrealised

(Depreciation)% of

Net Assets

United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures Long 09/2012 223 £ (36) (0.04)



WRITTEN OPTIONS


ExerciseRate

ExpirationDate


FairValue

% ofNet Assets


Put - OTC Dow Jones iTraxx Europe Series 14 Index BOA Buy 1.600% 03/16/2011 € 10,000 £ (17) £ (11) (0.01)


ExerciseRate

ExpirationDate


FairValue

% ofNet Assets


Call - OTC 1-Year Interest Rate Swap BOA 3-Month GBP-LIBOR Receive 1.250% 06/15/2011 £ 8,300 £ (15) £ (26) (0.03)Call - OTC 1-Year Interest Rate Swap CITI 3-Month GBP-LIBOR Receive 1.250% 06/15/2011 4,100 (8) (13) (0.01)Put - OTC 5-Year Interest Rate Swap DUB 6-Month GBP-LIBOR Pay 2.600% 03/29/2011 2,000 (12) (27) (0.03)Put - OTC 5-Year Interest Rate Swap GSC 6-Month GBP-LIBOR Pay 2.600% 03/29/2011 2,000 (12) (27) (0.03)Put - OTC 5-Year Interest Rate Swap JPM 6-Month GBP-LIBOR Pay 2.600% 03/28/2011 2,600 (16) (35) (0.04)Put - OTC 2-Year Interest Rate Swap BOA 3-Month USD-LIBOR Pay 2.250% 09/24/2012 $ 2,500 (9) (22) (0.02)Put - OTC 2-Year Interest Rate Swap CITI 3-Month USD-LIBOR Pay 2.250% 09/24/2012 200 (1) (2) 0.00Put - OTC 2-Year Interest Rate Swap RBS 3-Month USD-LIBOR Pay 2.250% 09/24/2012 9,200 (46) (80) (0.08)Call - OTC 10-Year Interest Rate Swap SOG 3-Month USD-LIBOR Receive 3.250% 01/24/2011 1,500 (6) (5) 0.00Put - OTC 10-Year Interest Rate Swap SOG 3-Month USD-LIBOR Pay 5.000% 01/24/2011 1,500 (8) 0 0.00

£ (133) £ (237) (0.24)


ExpirationDate


FairValue

% ofNet Assets

STRADDLE OPTIONS

Call & Put - OTC 1-Year vs. 1-Year Forward Volatility Agreement GSC 0.000 10/11/2011 $ 1,700 £ (6) £ (9) (0.01)Call & Put - OTC 1-Year vs. 1-Year Forward Volatility Agreement JPM 0.000 10/11/2011 900 (3) (4) 0.00Call & Put - OTC 1-Year vs. 2-Year Forward Volatility Agreement MSC 0.000 10/11/2011 2,800 (19) (30) (0.03)Call & Put - OTC 1-Year vs. 2-Year Forward Volatility Agreement MSC 0.000 11/14/2011 2,400 (16) (26) (0.03)

£ (44) £ (69) (0.07)




NotionalAmount(3)

FairValue

UpfrontPremiums


Appreciation% of

Net Assets

AON Corp. (1.000%) 09/20/2014 CSFB € 600 £ 2 £ (9) £ 11 0.00BCP Finance Bank Ltd. (2.600%) 12/20/2011 RBS 700 104 0 104 0.11PCCW-HKT Capital No. 2 Ltd. (0.595%) 06/20/2013 BNP $ 1,600 3 0 3 0.00

£ 109 £ (9) £ 118 0.11




FairValue

UpfrontPremiums

Paid/(Received)


% ofNet Assets

Abu Dhabi Government International Bond 1.000% 12/20/2014 BCLY $ 200 £ 1 £ (5) £ 6 0.00Abu Dhabi Government International Bond 1.000% 03/20/2011 GSC 200 0 0 0 0.00Abu Dhabi Government International Bond 1.000% 12/20/2014 GSC 200 1 (5) 6 0.00Abu Dhabi Government International Bond 1.000% 12/20/2015 MSC 900 2 0 2 0.00American International Group, Inc. 5.000% 12/20/2013 DUB 500 35 (43) 78 0.04BP Capital Markets America, Inc. 5.000% 06/20/2015 CSFB 200 23 2 21 0.02Brazil Government International Bond 1.000% 03/20/2011 HSBC 300 0 1 (1) 0.00Brazil Government International Bond 1.000% 03/20/2011 RBS 200 0 0 0 0.00Brazil Government International Bond 1.000% 03/20/2011 UBS 700 1 2 (1) 0.00China Government International Bond 1.000% 06/20/2015 BNP 1,100 12 10 2 0.01Egypt Government International Bond 1.000% 06/20/2015 CITI 400 (14) (18) 4 (0.01)Egypt Government International Bond 1.000% 06/20/2015 DUB 300 (10) (13) 3 (0.01)France Government Bond 0.250% 06/20/2015 CITI 800 (16) (11) (5) (0.02)France Government Bond 0.250% 12/20/2015 MSC 1,300 (32) (17) (15) (0.03)ING Verzekeringen NV 1.400% 06/20/2011 DUB € 700 0 0 0 0.00


Portfolio of Investments and Assets UK Sterling Inflation-Linked Fund (Cont.)



FairValue

UpfrontPremiums

Paid/(Received)


% ofNet Assets

Japan Government International Bond 1.000% 06/20/2015 BNP $ 1,000 £ 10 £ 11 £ (1) 0.01Japan Government International Bond 1.000% 03/20/2016 RBS 500 5 5 0 0.01Mexico Government International Bond 1.000% 12/20/2015 BOA 1,500 (5) (6) 1 (0.01)Republic of Germany 0.250% 06/20/2015 CITI 1,400 (11) (11) 0 (0.01)Republic of Korea 1.000% 12/20/2015 BCLY 600 1 2 (1) 0.00Republic of Korea 1.000% 12/20/2015 BOA 800 2 3 (1) 0.00Republic of Korea 1.000% 03/20/2011 GSC 100 0 0 0 0.00Tesco PLC 1.000% 12/20/2015 BCLY € 500 6 3 3 0.01United Kingdom Gilt 1.000% 12/20/2014 BNP $ 500 5 4 1 0.00United Kingdom Gilt 1.000% 09/20/2015 BNP 700 6 4 2 0.01United Kingdom Gilt 1.000% 03/20/2015 DUB 1,400 14 9 5 0.01United Kingdom Gilt 1.000% 06/20/2015 GSC 400 4 3 1 0.00United Kingdom Gilt 1.000% 09/20/2015 GSC 2,400 22 17 5 0.02United Kingdom Gilt 1.000% 06/20/2015 MSC 600 6 5 1 0.01United Kingdom Gilt 1.000% 09/20/2015 MSC 700 6 5 1 0.01United Kingdom Gilt 1.000% 12/20/2015 MSC 700 6 7 (1) 0.01United Kingdom Gilt 1.000% 06/20/2015 SOG 700 7 6 1 0.01US Treasury Notes 0.250% 12/20/2014 BNP € 300 (1) (1) 0 0.00

£ 86 £ (31) £ 117 0.09




FairValue

UpfrontPremiums


(Depreciation)% of

Net Assets

OTC Dow Jones iTraxx Europe Series 14 Index 1.000% 12/20/2015 BNP € 1,000 £ (2) £ 0 £ (2) 0.00OTC Dow Jones iTraxx Europe Series 14 Index 1.000% 12/20/2015 DUB 600 (1) 0 (1) 0.00

£ (3) £ 0 £ (3) 0.00




INTEREST RATE SWAPS


NotionalAmount

FairValue

UpfrontPremiums

Paid/(Received)


% ofNet Assets

Pay 3-Month USD-LIBOR 1.950% 12/15/2015 BNP $ 2,000 £ (11) £ 0 £ (11) (0.01)Pay 3-Month USD-LIBOR 1.950% 12/15/2015 BOA 1,600 (9) 0 (9) (0.01)Pay 3-Month USD-LIBOR 2.100% 12/15/2015 CITI 1,500 (2) 0 (2) 0.00Pay BRL-CDI-Compounded 11.360% 01/02/2012 HSBC BRL 10,300 53 28 25 0.05

£ 31 £ 28 £ 3 0.03


Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Sell AUD 5,313 RBS 01/2011 £ 0 £ (218) £ (218) (0.22)Buy BRL 3,811 CITI 03/2011 0 (5) (5) (0.01)Buy CNY 1,727 BOA 01/2011 10 0 10 0.01Buy 15,502 DUB 01/2011 15 0 15 0.01Sell 13,112 DUB 01/2011 3 (13) (10) (0.01)Buy 3,881 GSC 01/2011 0 (7) (7) (0.01)Buy 7,960 JPM 01/2011 0 (1) (1) 0.00Sell 10,155 JPM 01/2011 54 0 54 0.05Buy 3,121 MSC 01/2011 17 0 17 0.02Sell 8,924 RBS 01/2011 36 0 36 0.04Buy 4,764 BCLY 06/2011 0 (14) (14) (0.01)Sell 2,710 DUB 06/2011 1 0 1 0.00Sell 2,054 HSBC 06/2011 0 0 0 0.00Buy € 528 CITI 01/2011 3 0 3 0.00Sell 14,051 CITI 01/2011 264 (31) 233 0.23Sell 1,247 DUB 01/2011 0 (10) (10) (0.01)Buy 760 BNP 02/2011 5 0 5 0.01Sell 410 MSC 02/2011 0 (6) (6) (0.01)Buy KRW 91,500 BCLY 05/2011 0 0 0 0.00Buy 890,800 CITI 05/2011 4 (1) 3 0.01Buy 73,708 GSC 05/2011 0 0 0 0.00Buy 172,000 HSBC 05/2011 1 0 1 0.00Buy 397,500 JPM 05/2011 0 0 0 0.00Buy 345,000 RBS 05/2011 2 0 2 0.00


31 December 2010

Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Buy PHP 4,000 BOA 06/2011 £ 0 £ 0 £ 0 0.00Buy 41,371 CITI 06/2011 10 0 10 0.01Buy 8,546 DUB 06/2011 0 0 0 0.00Buy 6,420 HSBC 06/2011 1 0 1 0.00Buy 8,779 JPM 06/2011 1 0 1 0.00Sell SGD 1,877 CITI 03/2011 0 (32) (32) (0.03)Buy 1,877 GSC 03/2011 31 0 31 0.03Sell 3,136 CITI 06/2011 0 (56) (56) (0.05)Buy 3,136 HSBC 06/2011 43 0 43 0.04Sell $ 260 BOA 01/2011 0 (8) (8) (0.01)Buy 19,319 CITI 01/2011 81 (14) 67 0.07Sell 700 CITI 01/2011 3 0 3 0.00Buy 3,647 DUB 01/2011 21 (9) 12 0.01Sell 2,302 DUB 01/2011 16 0 16 0.02Sell 577 GSC 01/2011 14 0 14 0.01Buy 1,500 JPM 01/2011 0 (79) (79) (0.08)Sell 1,193 JPM 01/2011 10 0 10 0.01Sell 470 MSC 01/2011 0 (15) (15) (0.02)Buy 6,369 RBS 01/2011 0 (80) (80) (0.08)Sell 850 BNP 02/2011 10 0 10 0.01Buy 300 CSFB 02/2011 0 (3) (3) 0.00Sell 830 CSFB 02/2011 2 0 2 0.00Sell 29,161 GSC 02/2011 0 (117) (117) (0.12)Buy 1,456 CITI 03/2011 27 0 27 0.03Sell 2,234 CITI 03/2011 24 0 24 0.02Sell 1,425 GSC 03/2011 0 (5) (5) 0.00Sell 81 BCLY 05/2011 0 (1) (1) 0.00Sell 792 CITI 05/2011 0 (4) (4) 0.00Sell 65 GSC 05/2011 0 0 0 0.00Sell 153 HSBC 05/2011 0 (1) (1) 0.00Sell 351 JPM 05/2011 2 0 2 0.00Sell 305 RBS 05/2011 0 (2) (2) 0.00Sell 700 BCLY 06/2011 33 0 33 0.03Sell 93 BOA 06/2011 0 (1) (1) 0.00Buy 2,434 CITI 06/2011 46 0 46 0.05Sell 955 CITI 06/2011 1 (12) (11) (0.01)Buy 406 DUB 06/2011 0 (8) (8) (0.01)Sell 195 DUB 06/2011 1 0 1 0.00Buy 307 HSBC 06/2011 0 (5) (5) 0.00Sell 2,547 HSBC 06/2011 0 (12) (12) (0.01)Sell 200 JPM 06/2011 1 0 1 0.00

£ 793 £ (770) £ 23 0.02

Total OTC Financial Derivative Instruments £ (71) (0.07)


DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS


ANZ National Bank3.890% due 01/04/2011 AUD 40 £ 27 0.03BNP Paribas Bank0.080% due 01/03/2011 € 110 94 0.09HSBC Bank0.068% due 01/04/2011 £ 433 433 0.43Nordea Bank AB0.030% due 01/03/2011 $ 1,150 734 0.74Total Overnight Time Deposits £ 1,288 1.29Other Current Assets & Liabilities £ (26,799) (26.84)Net Assets £ 99,845 100.00



(b) Securities with an aggregate market value of £158 and cash of £13 have been segregated with the Custodian to cover margin requirements for the open futures contracts as at 31 December 2010.

(c) Cash of £479 has been pledged as collateral for swap, swaption and foreign currency contracts as at 31 December 2010 as governed by International Swaps and Derivative Association, Inc.Master Agreements.



Portfolio of Investments and Assets UK Sterling Inflation-Linked Fund (Cont.)


Category3




(Level 2)



Transferable Securities £ 0 £ 125,463 £ 0 £ 125,463Financial Derivative Instruments4 (36) (2) (69) (107)Totals £ (36) £ 125,461 £ (69) £ 125,356


Category3

StartingBalance

at 31-Dec-2009Net

Purchases5Net

Sales5


RealisedGains/

(Losses)




Level 3

EndingBalance

at 31-Dec-2010




Transferable Securities £ 1,883 £ 0 £ (664) £ 26 £ 61 £ 162 £ (1,468) £ 0 £ 0Financial Derivative Instruments4 0 (44) 0 0 0 (25) 0 (69) (25)Totals £ 1,883 £ (44) £ (664) £ 26 £ 61 £ 137 £ (1,468) £ (69) £ (25)


Category3




(Level 2)



Transferable Securities £ 0 £ 131,378 £ 1,883 £ 133,261Financial Derivative Instruments4 (221) 134 0 (87)Totals £ (221) £ 131,512 £ 1,883 £ 133,174


Category3

StartingBalance

at 31-Dec-2008Net

Purchases5Net

Sales5


RealisedGains/

(Losses)




Level 3

EndingBalance

at 31-Dec-2009




Transferable Securities £ 2,321 £ 492 £ (1,026) £ (29) £ 28 £ 99 £ (2) £ 1,883 £ 43Financial Derivative Instruments4 1,569 0 (1,904) 0 1,838 (1,503) 0 0 0Total £ 3,890 £ 492 £ (2,930) £ (29) £ 1,866 £ (1,404) £ (2) £ 1,883 £ 43





Significant Changes in Portfolio Composition UK Sterling Inflation-Linked Fund (Unaudited)31 December 2010

DESCRIPTIONPAR

(000S)COST(000S)


United Kingdom Gilt2.500% due 07/17/2024 £ 17,130 £ 44,965United Kingdom Gilt Inflation Linked1.250% due 11/22/2027 (a) 31,259 33,269Treasury Inflation Protected Securities3.625% due 04/15/2028 (a) $ 25,136 20,835United Kingdom Treasury Bills2.500% due 04/16/2020 £ 6,400 18,994Republic of Germany4.750% due 07/04/2040 € 15,400 15,959United Kingdom Gilt4.000% due 09/07/2016 £ 10,800 11,875United Kingdom Inflation Linked2.000% due 01/26/2035 (a) 7,100 11,443Treasury Inflation Protected Securities2.375% due 01/15/2027 (a) $ 15,318 11,288United Kingdom Gilt Inflation Linked0.625% due 03/22/2040 (a) £ 11,460 11,008United Kingdom Gilt Inflation Linked1.875% due 11/22/2022 (a) 9,805 10,629Treasury Inflation Protected Securities3.875% due 04/15/2029 (a) $ 11,908 10,578United Kingdom Gilt Inflation Linked1.250% due 11/22/2032 (a) £ 8,942 9,533United Kingdom Gilt2.250% due 03/07/2014 8,000 8,165United Kingdom Gilt3.250% due 12/07/2011 6,200 6,427United Kingdom Gilt Inflation Linked1.125% due 11/22/2037 (a) 5,570 6,133United Kingdom Gilt4.250% due 03/07/2011 4,100 4,199United Kingdom Gilt4.250% due 09/07/2039 4,100 4,080United Kingdom Treasury Bills0.000% due 07/19/2010 3,000 2,995United Kingdom Gilt4.500% due 03/07/2019 1,400 1,524Federal Home Loan Bank0.000% due 03/10/2010 $ 2,100 1,298

DESCRIPTIONPAR

(000S)PROCEEDS

(000S)


United Kingdom Gilt2.500% due 07/17/2024 £ 21,030 £ 55,252United Kingdom Gilt2.500% due 04/16/2020 11,500 34,534United Kingdom Gilt Inflation Linked1.250% due 11/22/2027 (a) 18,625 19,836Republic of Germany4.750% due 07/04/2040 € 15,400 18,423United Kingdom Gilt Inflation Linked1.875% due 11/22/2022 (a) £ 16,237 18,321Treasury Inflation Protected Securities3.625% due 04/15/2028 (a) $ 16,750 13,871Treasury Inflation Protected Securities3.875% due 04/15/2029 (a) 14,940 13,264United Kingdom Gilt4.000% due 09/07/2016 £ 10,800 11,912Treasury Inflation Protected Securities2.375% due 01/15/2027 (a) $ 15,320 11,344United Kingdom Gilt Inflation Linked1.250% due 11/22/2032 (a) £ 9,357 10,032United Kingdom Gilt Inflation Linked1.125% due 11/22/2037 (a) 8,357 9,220United Kingdom Gilt2.250% due 03/07/2014 7,700 7,827United Kingdom Gilt Inflation Linked1.250% due 11/22/2055 (a) 5,676 7,136United Kingdom Gilt3.250% due 12/07/2011 6,200 6,416United Kingdom Inflation Linked2.000% due 01/26/2035 (a) 3,600 5,894United Kingdom Gilt4.250% due 03/07/2036 4,700 4,541United Kingdom Gilt4.250% due 03/07/2011 4,100 4,177United Kingdom Gilt4.250% due 09/07/2039 4,100 4,081United Kingdom Gilt0.000% due 07/19/2010 3,000 2,995UniCredit Luxembourg Finance S.A.5.584% due 01/13/2017 $ 3,500 2,261Banca Popolare di Lodi SpA1.360% due 04/29/2015 € 2,600 2,236United Kingdom Gilt Inflation Linked0.625% due 03/22/2040 (a) £ 2,181 2,125





Portfolio of Investments and Assets UK Sterling Long Average Duration Fund

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS


CAYMAN ISLANDS

BCP Finance Bank Ltd.1.323% due 12/21/2016 € 700 £ 429 0.22Punch Taverns Finance B Ltd.1.858% due 06/30/2035 £ 400 102 0.05UPCB Finance Ltd.7.625% due 01/15/2020 € 1,100 995 0.50

1,526 0.77

FRANCE

France Telecom S.A.5.375% due 11/22/2050 £ 1,300 1,316 0.66GDF Suez5.000% due 10/01/2060 300 291 0.15

1,607 0.81

GERMANY

Kreditanstalt fuer Wiederaufbau5.550% due 06/07/2021 1,700 1,945 0.99

IRELAND

Epic PLC0.982% due 10/28/2016 315 298 0.15


HBOS Capital Funding LP6.071% due 06/29/2049 $ 1,430 754 0.386.461% due 11/29/2049 £ 350 269 0.14Magnolia Funding Ltd.3.000% due 04/20/2017 € 607 518 0.26

1,541 0.78

LUXEMBOURG

AON Financial Services Luxembourg S.A.6.250% due 07/01/2014 1,800 1,640 0.83Fiat Finance & Trade S.A.7.625% due 09/15/2014 1,100 1,006 0.51

2,646 1.34

NETHERLANDS

Atomium Mortgage Finance BV1.000% due 07/01/2034 195 161 0.08Conti-Gummi Finance BV8.500% due 07/15/2015 1,100 1,030 0.52Cooperatieve Centrale Raiffeisen-Boerenleenbank BA6.875% due 03/19/2020 1,600 1,303 0.66Globaldrive BV3.000% due 07/20/2015 877 754 0.38GMAC International Finance BV7.500% due 04/21/2015 1,200 1,069 0.54HeidelbergCement Finance BV6.750% due 12/15/2015 1,100 994 0.50Holland Homes MBS BV1.274% due 12/28/2080 866 714 0.36Saecure BV1.965% due 09/23/2092 278 238 0.12Scotland International Finance No. 2 BV4.250% due 05/23/2013 $ 950 601 0.31Ziggo Finance BV6.125% due 11/15/2017 € 1,200 1,023 0.52

7,887 3.99

SINGAPORE

Temasek Financial I Ltd.5.125% due 07/26/2040 £ 3,800 3,898 1.97

SWITZERLAND

UBS AG0.439% due 04/18/2016 $ 600 377 0.19

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

UNITED KINGDOM


Business Mortgage Finance PLC0.928% due 02/15/2039 £ 743 £ 640 0.33


Allied Domecq Financial Services Ltd.6.625% due 06/12/2014 900 961 0.49Bank of Scotland PLC7.281% due 05/29/2049 150 117 0.06Barclays Bank PLC10.000% due 05/21/2021 2,161 2,637 1.34FCE Bank PLC5.125% due 11/16/2015 700 681 0.349.375% due 01/17/2014 € 1,100 1,052 0.53Greene King Finance PLC1.579% due 03/15/2036 £ 650 431 0.22Imperial Tobacco Finance PLC9.000% due 02/17/2022 650 837 0.42LBG Capital No.1 PLC6.439% due 05/23/2020 € 1,400 972 0.497.375% due 03/12/2020 520 387 0.207.625% due 10/14/2020 100 75 0.0411.040% due 03/19/2020 £ 750 765 0.39LBG Capital No.2 PLC6.385% due 05/12/2020 € 980 684 0.35Lloyds TSB Bank PLC5.800% due 01/13/2020 $ 1,400 885 0.4512.000% due 12/29/2049 1,700 1,185 0.60Royal Bank of Scotland PLC0.489% due 04/11/2016 1,100 581 0.29Spirit Issuer PLC1.836% due 12/28/2011 £ 360 245 0.12Taylor Wimpey PLC10.375% due 12/31/2015 400 420 0.21

12,915 6.54


Arkle Master Issuer PLC2.548% due 05/17/2060 € 2,400 2,056 1.04Auburn Securities PLC1.228% due 11/01/2039 £ 757 702 0.35Eurosail PLC1.149% due 03/13/2045 € 398 319 0.16Granite Master Issuer PLC0.923% due 12/20/2054 1,263 1,006 0.511.013% due 12/20/2054 771 614 0.31Granite Mortgages PLC0.912% due 06/20/2044 £ 256 240 0.121.500% due 07/20/2043 € 408 327 0.17Great Hall Mortgages PLC0.882% due 03/18/2039 £ 128 108 0.05Mound Financing PLC0.859% due 02/08/2042 700 683 0.35Newgate Funding PLC1.349% due 12/15/2050 301 291 0.151.626% due 12/15/2050 € 1,050 756 0.38Permanent Financing PLC0.895% due 09/10/2032 £ 100 99 0.05Permanent Master Issuer PLC0.399% due 07/15/2033 $ 2,100 1,307 0.660.840% due 10/15/2033 £ 100 97 0.050.860% due 04/15/2020 100 96 0.052.440% due 07/15/2042 400 402 0.20Residential Mortgage Securities3.250% due 12/16/2050 300 290 0.15

9,393 4.75

SOVEREIGN ISSUES

United Kingdom Gilt2.750% due 01/22/2015 3,800 3,907 1.983.750% due 09/07/2019 2,600 2,682 1.363.750% due 09/07/2020 9,800 9,994 5.064.000% due 09/07/2016 14,550 15,694 7.944.250% due 03/07/2011 2,900 2,919 1.48

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

4.250% due 03/07/2036 £ 24,693 £ 24,896 12.604.250% due 09/07/2039 35,100 35,491 17.964.250% due 12/07/2040 9,500 9,565 4.844.250% due 12/07/2055 42,754 44,058 22.304.500% due 03/07/2019 100 109 0.054.500% due 12/07/2042 2,600 2,747 1.394.750% due 12/07/2038 26,571 29,076 14.72

181,138 91.68


UNITED STATES


Long Beach Mortgage Loan Trust0.541% due 10/25/2034 $ 107 56 0.03


American Express Credit Corp.5.375% due 10/01/2014 £ 2,100 2,191 1.11American International Group, Inc.1.179% due 04/26/2011 € 350 298 0.155.000% due 06/26/2017 350 283 0.145.000% due 04/26/2023 £ 350 295 0.158.250% due 08/15/2018 $ 400 295 0.158.625% due 05/22/2038 £ 300 297 0.15HSBC Finance Corp.6.676% due 01/15/2021 $ 1,600 1,034 0.52Merrill Lynch & Co., Inc.7.750% due 04/30/2018 £ 650 710 0.36Morgan Stanley1.407% due 01/16/2017 € 500 380 0.195.375% due 08/10/2020 900 745 0.387.500% due 04/11/2011 £ 1,500 1,515 0.77RBS Capital Trust I4.709% due 12/29/2049 $ 2,500 1,058 0.54Reynolds Group Issuer, Inc.7.750% due 10/15/2016 € 1,100 990 0.50

10,091 5.11


Bear Stearns Adjustable Rate Mortgage Trust3.108% due 07/25/2036 $ 1,046 490 0.25Countrywide Home Loan Mortgage Pass-Through Trust0.601% due 06/25/2035 351 194 0.10Credit Suisse First Boston Mortgage Securities Corp.2.585% due 06/25/2033 707 432 0.22Harborview Mortgage Loan Trust0.451% due 01/19/2038 1,412 606 0.31MASTR Adjustable Rate Mortgages Trust2.609% due 12/25/2033 1,461 853 0.43WaMu Mortgage Pass-Through Certificates0.000% due 12/25/2027 (a) 443 16 0.010.801% due 12/25/2027 436 247 0.12

2,838 1.44



(Dated 12/31/2010.Collateralised by USTreasury Notes 2.375%due 07/31/2017 valuedat $1,221. Repurchaseproceeds are $1,200.) 1,200 766 0.39


Fannie Mae4.000% due 02/01/2041 20,000 12,674 6.425.375% due 12/07/2028 £ 900 989 0.50

13,663 6.92



02/17/2011 (b) $ 769 491 0.24


31 December 2010

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

US Treasury Notes2.375% due 08/31/2014 (b) $ 700 £ 463 0.23

954 0.47




FUTURES


Month# of

ContractsUnrealised

(Depreciation)% of

Net Assets

United Kingdom 10-Year Gilt March Futures Long 03/2011 127 £ (43) (0.02)United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures Long 09/2012 1,424 (234) (0.12)

£ (277) (0.14)

WRITTEN OPTIONS

DescriptionExercise

PriceExpiration

Date# of


Value% of

Net Assets

Call - CBOT US Treasury 10-Year Note February Futures $ 129.000 01/21/2011 2 £ 0 £ 0 0.00Put - CBOT US Treasury 10-Year Note February Futures 124.000 01/21/2011 2 (1) (5) 0.00

£ (1) £ (5) 0.00



WRITTEN OPTIONS


ExerciseRate

ExpirationDate


FairValue

% ofNet Assets




ExerciseRate

ExpirationDate


FairValue

% ofNet Assets


Call - OTC 1-Year Interest Rate Swap BOA 3-Month GBP-LIBOR Receive 1.250% 06/15/2011 £ 20,400 £ (37) £ (63) (0.03)Call - OTC 1-Year Interest Rate Swap CITI 3-Month GBP-LIBOR Receive 1.250% 06/15/2011 10,100 (19) (31) (0.02)Put - OTC 5-Year Interest Rate Swap DUB 6-Month GBP-LIBOR Pay 2.600% 03/29/2011 10,000 (57) (138) (0.07)Put - OTC 5-Year Interest Rate Swap GSC 6-Month GBP-LIBOR Pay 2.600% 03/29/2011 10,000 (59) (137) (0.07)Put - OTC 5-Year Interest Rate Swap JPM 6-Month GBP-LIBOR Pay 2.600% 03/28/2011 15,100 (95) (207) (0.11)Put - OTC 2-Year Interest Rate Swap BOA 3-Month USD-LIBOR Pay 2.250% 09/24/2012 $ 5,200 (19) (45) (0.02)Put - OTC 2-Year Interest Rate Swap CITI 3-Month USD-LIBOR Pay 2.250% 09/24/2012 300 (1) (3) 0.00Put - OTC 2-Year Interest Rate Swap RBS 3-Month USD-LIBOR Pay 2.250% 09/24/2012 18,800 (95) (163) (0.08)Call - OTC 10-Year Interest Rate Swap SOG 3-Month USD-LIBOR Receive 3.250% 01/24/2011 3,700 (14) (12) (0.01)Put - OTC 10-Year Interest Rate Swap SOG 3-Month USD-LIBOR Pay 5.000% 01/24/2011 3,700 (20) 0 0.00

£ (416) £ (799) (0.41)


ExpirationDate


FairValue

% ofNet Assets

STRADDLE OPTIONS

Call & Put 1-Year vs. 1-Year Forward Volatility Agreement JPM 0.000 10/11/2011 $ 1,800 £ (6) £ (9) 0.00Call & Put 1-Year vs. 2-Year Forward Volatility Agreement MSC 0.000 10/11/2011 5,800 (40) (62) (0.03)Call & Put 1-Year vs. 2-Year Forward Volatility Agreement MSC 0.000 11/14/2011 4,800 (33) (52) (0.03)

£ (79) £ (123) (0.06)



Portfolio of Investments and Assets UK Sterling Long Average Duration Fund (Cont.)



NotionalAmount(3)

FairValue

UpfrontPremiums

Paid/(Received)


% ofNet Assets

AON Corp. (1.000%) 09/20/2014 CSFB € 1,800 £ 7 £ (26) £ 33 0.00BCP Finance Bank Ltd. (2.600%) 12/20/2011 RBS 700 104 (1) 105 0.05Lloyds TSB Bank PLC (1.000%) 03/20/2020 DUB $ 1,400 72 102 (30) 0.04Scotland International Finance No. 2 BV (3.000%) 06/20/2013 UBS 950 16 (5) 21 0.01

£ 199 £ 70 £ 129 0.10




FairValue

UpfrontPremiums

Paid/(Received)


% ofNet Assets

Abu Dhabi Government International Bond 1.000% 12/20/2014 BCLY $ 600 £ 3 £ (15) £ 18 0.00Abu Dhabi Government International Bond 1.000% 03/20/2011 GSC 300 0 0 0 0.00Abu Dhabi Government International Bond 1.000% 12/20/2014 GSC 500 3 (11) 14 0.00Abu Dhabi Government International Bond 1.000% 12/20/2015 MSC 1,800 5 0 5 0.00American International Group, Inc. 5.000% 12/20/2013 DUB 1,500 104 (122) 226 0.05BP Capital Markets America, Inc. 5.000% 09/20/2011 DUB 200 5 (3) 8 0.00BP Capital Markets America, Inc. 1.000% 09/20/2011 HSBC 200 1 (10) 11 0.00BP Capital Markets PLC 5.000% 06/20/2015 GSC 200 23 2 21 0.01Brazil Government International Bond 1.000% 03/20/2011 HSBC 600 1 2 (1) 0.00Brazil Government International Bond 1.000% 03/20/2011 RBS 500 0 1 (1) 0.00Brazil Government International Bond 1.000% 03/20/2011 UBS 1,500 1 4 (3) 0.00China Government International Bond 1.000% 06/20/2015 BNP 2,800 31 25 6 0.02Egypt Government International Bond 1.000% 06/20/2015 CITI 800 (28) (37) 9 (0.01)Egypt Government International Bond 1.000% 06/20/2015 DUB 800 (28) (36) 8 (0.01)France Government Bond 0.250% 06/20/2015 CITI 2,100 (43) (31) (12) (0.02)France Government Bond 0.250% 12/20/2015 MSC 2,600 (63) (33) (30) (0.03)General Electric Capital Corp. 5.000% 09/20/2014 DUB 500 44 19 25 0.02ING Verzekeringen NV 1.400% 06/20/2011 DUB € 1,800 (1) 0 (1) 0.00Japan Government International Bond 1.000% 06/20/2015 BNP $ 2,800 29 32 (3) 0.02Japan Government International Bond 1.000% 03/20/2016 RBS 1,000 9 9 0 0.00Mexico Government International Bond 1.000% 12/20/2015 BOA 3,200 (10) (12) 2 0.00Republic of Germany 0.250% 06/20/2015 CITI 3,700 (29) (30) 1 (0.01)Republic of Korea 1.000% 12/20/2015 BCLY 1,400 3 6 (3) 0.00Republic of Korea 1.000% 12/20/2015 BOA 1,600 4 7 (3) 0.00Republic of Korea 1.000% 03/20/2011 GSC 200 0 0 0 0.00Tesco PLC 1.000% 12/20/2015 BCLY € 800 9 5 4 0.00Tesco PLC 1.000% 12/20/2015 BOA 200 2 1 1 0.00United Kingdom Gilt 1.000% 12/20/2014 BNP $ 1,000 10 7 3 0.01United Kingdom Gilt 1.000% 09/20/2015 BNP 2,500 23 17 6 0.01United Kingdom Gilt 1.000% 03/20/2015 DUB 3,100 30 19 11 0.02United Kingdom Gilt 1.000% 12/20/2015 DUB 2,800 25 42 (17) 0.01United Kingdom Gilt 1.000% 06/20/2015 GSC 800 8 7 1 0.00United Kingdom Gilt 1.000% 06/20/2015 MSC 1,700 16 12 4 0.01United Kingdom Gilt 1.000% 09/20/2015 MSC 2,400 22 18 4 0.01United Kingdom Gilt 1.000% 12/20/2015 MSC 2,000 18 30 (12) 0.01United Kingdom Gilt 1.000% 06/20/2015 SOG 2,600 24 20 4 0.01US Treasury Notes 0.250% 12/20/2014 BNP € 700 (2) (3) 1 0.00

£ 249 £ (58) £ 307 0.13




FairValue

UpfrontPremiums


(Depreciation)% of

Net Assets

OTC-Dow Jones iTraxx Europe Series 14 Index 1.000% 12/20/2015 DUB € 4,800 £ (8) £ (1) £ (7) 0.00




INTEREST RATE SWAPS


NotionalAmount

FairValue

UpfrontPremiums

Paid/(Received)


% ofNet Assets

Pay 3-Month USD-LIBOR 1.950% 12/15/2015 BNP $ 2,300 £ (13) £ 0 £ (13) (0.01)Pay 3-Month USD-LIBOR 1.950% 12/15/2015 BOA 3,100 (18) 0 (18) (0.01)Pay BRL-CDI-Compounded 11.360% 01/02/2012 HSBC BRL 20,600 106 56 50 0.06

£ 75 £ 56 £ 19 0.04


31 December 2010


Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Buy BRL 8,022 CITI 03/2011 £ 0 £ (10) £ (10) (0.01)Buy CNY 3,918 BOA 01/2011 21 0 21 0.01Buy 29,294 DUB 01/2011 24 (1) 23 0.01Sell 25,604 DUB 01/2011 7 (21) (14) (0.01)Buy 13,790 GSC 01/2011 0 (24) (24) (0.01)Buy 18,890 JPM 01/2011 0 (2) (2) 0.00Sell 18,279 JPM 01/2011 97 0 97 0.05Buy 6,972 MSC 01/2011 38 0 38 0.02Sell 28,981 RBS 01/2011 102 0 102 0.05Buy 13,612 BCLY 06/2011 0 (39) (39) (0.02)Sell 3,634 DUB 06/2011 0 (6) (6) 0.00Sell 9,978 HSBC 06/2011 1 0 1 0.00Buy € 692 BNP 01/2011 6 0 6 0.00Sell 36,950 CITI 01/2011 0 (265) (265) (0.13)Buy 749 DUB 01/2011 6 0 6 0.00Buy 1,027 RBS 01/2011 6 0 6 0.00Sell 3,249 UBS 01/2011 0 (25) (25) (0.01)Buy 2,580 GSC 02/2011 20 0 20 0.01Sell 3,140 MSC 02/2011 0 (42) (42) (0.02)Sell JPY 4,166 GSC 01/2011 0 (1) (1) 0.00Sell 2,480 RBC 01/2011 0 (1) (1) 0.00Sell 4,960 RBS 01/2011 0 (1) (1) 0.00Buy KRW 216,900 BCLY 05/2011 0 0 0 0.00Buy 2,115,000 CITI 05/2011 9 (2) 7 0.01Buy 174,868 GSC 05/2011 1 0 1 0.00Buy 409,000 HSBC 05/2011 2 0 2 0.00Buy 943,900 JPM 05/2011 0 (1) (1) 0.00Buy 820,000 RBS 05/2011 6 0 6 0.00Buy MYR 2,260 BCLY 02/2011 11 0 11 0.01Buy 790 CITI 02/2011 3 0 3 0.00Buy 1,390 DUB 02/2011 7 0 7 0.00Buy 655 JPM 02/2011 3 0 3 0.00Buy 740 RBS 02/2011 3 0 3 0.00Buy PHP 10,000 BOA 06/2011 1 0 1 0.00Buy 79,120 CITI 06/2011 18 0 18 0.01Buy 21,009 DUB 06/2011 0 0 0 0.00Buy 15,784 HSBC 06/2011 2 0 2 0.00Buy 21,582 JPM 06/2011 2 0 2 0.00Buy 22,493 RBS 06/2011 10 0 10 0.01Buy SGD 3,729 GSC 03/2011 61 0 61 0.03Buy 3,659 HSBC 06/2011 51 0 51 0.03Sell $ 911 BNP 01/2011 6 0 6 0.00Sell 590 BOA 01/2011 0 (19) (19) (0.01)Buy 49,953 CITI 01/2011 514 (6) 508 0.26Buy 3,833 DUB 01/2011 10 (27) (17) (0.01)Sell 5,354 DUB 01/2011 33 (3) 30 0.02Buy 49 GSC 01/2011 0 0 0 0.00Sell 2,050 GSC 01/2011 50 0 50 0.03Buy 2,700 JPM 01/2011 0 (143) (143) (0.07)Sell 2,831 JPM 01/2011 23 0 23 0.01Sell 1,050 MSC 01/2011 0 (33) (33) (0.02)Buy 29 RBC 01/2011 0 0 0 0.00Buy 4,323 RBS 01/2011 0 (185) (185) (0.09)Sell 1,400 RBS 01/2011 0 (21) (21) (0.01)Buy 4,380 UBS 01/2011 38 0 38 0.02Sell 728 BCLY 02/2011 0 (4) (4) 0.00Sell 2,255 CITI 02/2011 20 (1) 19 0.01Sell 448 DUB 02/2011 0 (3) (3) 0.00Sell 61,435 GSC 02/2011 3 (240) (237) (0.12)Sell 211 JPM 02/2011 0 (2) (2) 0.00Buy 1,670 MSC 02/2011 0 (13) (13) (0.01)Sell 239 RBS 02/2011 0 (2) (2) 0.00Sell 4,704 CITI 03/2011 52 0 52 0.03Sell 2,832 GSC 03/2011 0 (10) (10) (0.01)Sell 193 BCLY 05/2011 0 (1) (1) 0.00Sell 1,881 CITI 05/2011 0 (11) (11) (0.01)Sell 154 GSC 05/2011 0 0 0 0.00Sell 364 HSBC 05/2011 0 (3) (3) 0.00Sell 832 JPM 05/2011 4 0 4 0.00Sell 725 RBS 05/2011 0 (5) (5) 0.00Sell 2,000 BCLY 06/2011 95 0 95 0.05Sell 232 BOA 06/2011 0 (2) (2) 0.00Sell 1,818 CITI 06/2011 2 (16) (14) (0.01)Buy 552 DUB 06/2011 3 0 3 0.00Sell 479 DUB 06/2011 3 0 3 0.00Buy 1,491 HSBC 06/2011 0 (26) (26) (0.01)Sell 3,161 HSBC 06/2011 0 (14) (14) (0.01)Sell 492 JPM 06/2011 2 0 2 0.00Sell 523 RBS 06/2011 0 (13) (13) (0.01)

£ 1,376 £ (1,244) £ 132 0.07


Portfolio of Investments and Assets UK Sterling Long Average Duration Fund (Cont.)



DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS


BNP Paribas Bank0.080% due 01/03/2011 € 272 £ 233 0.12Citibank N.A.0.068% due 01/04/2011 £ 3,941 3,941 1.99Nordea Bank AB0.030% due 01/03/2011 $ 1,580 1,009 0.51Total Overnight Time Deposits £ 5,183 2.62Other Current Assets & Liabilities £ (61,212) (30.99)Net Assets £ 197,571 100.00

NOTES TO PORTFOLIO OF INVESTMENTS AND ASSETS (amounts in thousands):(a) Interest only security.

(b) Securities with an aggregate market value of £947 have been segregated with the Custodian to cover margin requirements for the open futures contracts as at 31 December 2010.

(c) Cash with an aggregate value of £172 has been pledged as collateral for delayed-delivery securities as at 31 December 2010.

(d) Cash of £1,514 has been pledged as collateral for swap, swaption and foreign currency contracts as at 31 December 2010 as governed by International Swaps and Derivative Association, Inc.Master Agreements.



Category3




(Level 2)





Category3

StartingBalance at

31-Dec-2009Net

Purchases5Net

Sales5


RealisedGains/

(Losses)




Level 3

EndingBalance at

31-Dec-2010




Transferable Securities £ 1,367 £ 0 £ 0 £ 0 £ 0 £ 265 £ (1,616) £ 16 £ 16Financial Derivative Instruments4 0 (79) 0 0 0 (44) 0 (123) (44)Totals £ 1,367 £ (79) £ 0 £ 0 £ 0 £ 221 £ (1,616) £ (107) £ (28)


Category3


(Level 1)


(Level 2)



Transferable Securities £ 0 £ 270,983 £ 1,367 £ 272,350Financial Derivative Instruments4 (1,458) 985 0 (473)Totals £ (1,458) £ 271,968 £ 1,367 £ 271,877


Category3

StartingBalance

at 31-Dec-2008Net

Purchases5Net

Sales5


RealisedGains/

(Losses)




Level 3

EndingBalance

at 31-Dec-2009




Transferable Securities £ 1,190 £ 1,045 £ (698) £ 0 £ 237 £ (407) £ 0 £ 1,367 £ (93)





SignificantChangesinPortfolioComposition UKSterlingLongAverageDurationFund(Unaudited)31 December 2010

DESCRIPTIONPAR

(000S)COST(000S)


United Kingdom Gilt4.250% due 09/07/2039 £ 174,300 £ 171,009United Kingdom Gilt4.500% due 03/07/2019 111,600 120,328United Kingdom Gilt4.750% due 12/07/2038 75,900 78,212United Kingdom Gilt4.000% due 09/07/2016 30,650 33,637United Kingdom Gilt3.750% due 09/07/2020 26,600 27,369United Kingdom Gilt4.250% due 12/07/2040 20,400 20,161United Kingdom Gilt2.750% due 01/22/2015 19,500 19,881Republic of Germany5.500% due 01/04/2031 € 14,800 16,117United Kingdom Gilt3.250% due 12/07/2011 £ 11,200 11,613United Kingdom Gilt3.750% due 09/07/2019 11,200 11,607United Kingdom Gilt4.250% due 03/07/2011 10,200 10,461United Kingdom Gilt4.250% due 03/07/2036 9,000 8,790US Treasury Notes1.000% due 10/31/2011 $ 9,700 6,559US Treasury Bonds4.625% due 02/15/2040 8,400 6,053Republic of Germany4.750% due 07/04/2040 € 5,600 5,783United Kingdom Gilt4.500% due 03/07/2013 £ 4,660 5,009United Kingdom Gilt4.000% due 03/07/2022 4,900 4,989United Kingdom Gilt2.500% due 07/17/2024 1,630 4,461Temasek Financial I Ltd.5.125% due 07/26/2040 3,800 3,783Fannie Mae0.000% due 04/07/2010 $ 5,300 3,277

DESCRIPTIONPAR

(000S)PROCEEDS

(000S)


United Kingdom Gilt4.250% due 09/07/2039 £ 140,700 £ 140,805United Kingdom Gilt4.500% due 03/07/2019 111,500 120,500United Kingdom Gilt4.750% due 12/07/2038 91,000 94,844United Kingdom Gilt4.500% due 12/07/2042 30,100 30,508United Kingdom Gilt4.250% due 03/07/2036 27,600 27,448Republic of Germany5.500% due 01/04/2031 € 20,700 22,233United Kingdom Gilt4.000% due 09/07/2016 £ 16,100 17,662United Kingdom Gilt3.750% due 09/07/2020 16,800 17,108United Kingdom Gilt2.750% due 01/22/2015 15,700 15,901United Kingdom Gilt3.250% due 12/07/2011 11,200 11,600United Kingdom Gilt4.250% due 12/07/2040 10,900 10,697United Kingdom Gilt3.750% due 09/07/2019 8,600 8,865United Kingdom Gilt4.500% due 09/07/2034 7,700 7,669US Treasury Notes1.000% due 10/31/2011 $ 11,320 7,617United Kingdom Gilt4.250% due 03/07/2011 £ 7,300 7,475Morgan Stanley2.373% due 05/14/2010 $ 9,000 6,218US Treasury Bonds4.625% due 02/15/2040 8,400 6,088Republic of Germany4.750% due 07/04/2040 € 5,600 5,719United Kingdom Gilt4.250% due 12/07/2055 £ 4,900 5,071United Kingdom Gilt4.500% due 03/07/2013 4,660 5,008United Kingdom Gilt4.000% due 03/07/2022 4,900 4,988Permanent Financing PLC0.686% due 09/10/2032 4,975 4,957United Kingdom Gilt2.500% due 07/17/2024 1,630 4,461Goldman Sachs Group, Inc.6.250% due 09/01/2017 $ 5,900 4,217Fannie Mae0.000% due 04/07/2010 5,300 3,237




Portfolio of Investments and Assets UK Sterling Low Average Duration Fund

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS


BERMUDA

Qtel International Finance Ltd.3.375% due 10/14/2016 $ 300 £ 183 0.16

CANADA

Daimler Canada Finance, Inc.5.750% due 08/10/2011 £ 1,000 1,020 0.88

CAYMAN ISLANDS

QNB FINANCE LTD3.125% due 11/16/2015 $ 1,000 626 0.54UPCB Finance Ltd.7.625% due 01/15/2020 € 600 542 0.47

1,168 1.01

FRANCE

AUTO ABS Srl1.145% due 02/25/2019 118 100 0.08BNP Paribas1.071% due 03/24/2011 2,000 1,713 1.48Caisse Centrale du Credit Immobilier de France3.750% due 01/22/2015 1,100 937 0.81Societe Financement de l’Economie Francaise0.789% due 07/16/2012 £ 5,600 5,589 4.83

8,339 7.20

GERMANY

Kreditanstalt fuer Wiederaufbau5.250% due 01/12/2012 5,600 5,847 5.055.550% due 06/07/2021 100 115 0.10

5,962 5.15

IRELAND

DECO Series1.192% due 04/27/2018 € 267 198 0.17Epic PLC0.982% due 10/28/2016 £ 567 537 0.46FCC Proudreed Properties1.276% due 08/18/2017 € 163 128 0.11German Residential Asset Note Distributor PLC1.240% due 07/20/2016 254 192 0.17Immeo Residential Finance PLC1.186% due 12/15/2016 71 55 0.05

1,110 0.96


HSBC Capital Funding LP4.610% due 12/29/2049 $ 400 242 0.21Magnolia Funding Ltd.3.000% due 04/20/2017 € 531 453 0.39

695 0.60

LUXEMBOURG

AON Financial Services Luxembourg S.A.6.250% due 07/01/2014 800 729 0.63Fiat Finance & Trade S.A.7.625% due 09/15/2014 500 457 0.39

1,186 1.02

NETHERLANDS

Bank Nederlandse Gemeenten5.750% due 01/18/2019 £ 700 801 0.69Conti-Gummi Finance BV8.500% due 07/15/2015 € 500 468 0.40Cooperatieve Centrale Raiffeisen-Boerenleenbank BA6.875% due 03/19/2020 1,400 1,140 0.99DECO Series1.192% due 10/27/2020 465 340 0.29

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Dutch Mortgage Portfolio Loans BV1.934% due 07/25/2047 € 1,000 £ 854 0.74Fortis Bank Nederland NV1.750% due 05/07/2014 2,000 1,733 1.50Globaldrive BV3.000% due 07/20/2015 731 628 0.544.000% due 10/20/2016 305 265 0.23GMAC International Finance BV7.500% due 04/21/2015 600 535 0.46HeidelbergCement Finance BV6.750% due 12/15/2015 600 542 0.47MESDAG BV1.199% due 10/25/2019 87 62 0.05Monastery BV1.188% due 11/17/2044 412 282 0.24Saecure BV1.135% due 05/25/2042 171 143 0.121.965% due 09/23/2092 370 317 0.28Scotland International Finance No. 2 BV4.250% due 05/23/2013 $ 800 506 0.44Ziggo Finance BV6.125% due 11/15/2017 € 400 341 0.30

8,957 7.74

NORWAY

DnB NOR Bank ASA1.228% due 05/30/2017 200 168 0.154.750% due 03/28/2011 150 129 0.11

297 0.26

QATAR

Ras Laffan Liquefied Natural Gas Co. Ltd. III6.750% due 09/30/2019 $ 250 185 0.16

SUPRANATIONAL

European Investment Bank5.375% due 06/07/2021 £ 1,000 1,135 0.985.500% due 12/07/2011 5,000 5,215 4.50

6,350 5.48

SWEDEN

Nordea Bank AB3.000% due 08/06/2012 € 700 612 0.53Swedbank AB1.593% due 04/30/2012 2,100 1,813 1.56

2,425 2.09

SWITZERLAND

UBS AG5.750% due 04/25/2018 $ 1,600 1,113 0.965.875% due 12/20/2017 900 633 0.55

1,746 1.51

UNITED KINGDOM


Business Mortgage Finance PLC0.928% due 02/15/2039 £ 57 49 0.04


Allied Domecq Financial Services Ltd.6.625% due 06/12/2014 500 534 0.46Barclays Bank PLC10.179% due 06/12/2021 $ 240 191 0.1714.000% due 11/29/2049 £ 300 362 0.31Coventry Building Society2.000% due 04/05/2012 4,000 4,038 3.49FCE Bank PLC5.125% due 11/16/2015 1,500 1,459 1.26Imperial Tobacco Finance PLC9.000% due 02/17/2022 150 193 0.17LBG Capital No.1 PLC7.867% due 12/17/2019 300 262 0.237.869% due 08/25/2020 450 396 0.3411.040% due 03/19/2020 50 51 0.04

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Lloyds TSB Bank PLC2.750% due 03/16/2012 £ 3,800 £ 3,870 3.344.375% due 01/12/2015 $ 500 320 0.277.625% due 04/22/2025 £ 1,300 1,259 1.09Nationwide Building Society3.750% due 11/21/2011 4,400 4,501 3.89Network Rail Infrastructure Finance PLC4.375% due 01/18/2011 6,200 6,208 5.36Royal Bank of Scotland Group PLC7.387% due 12/29/2049 100 93 0.08Royal Bank of Scotland PLC0.489% due 04/11/2016 $ 300 158 0.140.569% due 10/14/2016 600 317 0.270.986% due 05/11/2012 2,200 1,415 1.22Scotland Gas Networks PLC4.750% due 02/21/2017 £ 300 310 0.27Skipton Building Society2.000% due 04/05/2012 4,100 4,136 3.57Taylor Wimpey PLC10.375% due 12/31/2015 500 525 0.45Tesco Personal Finance PLC1.239% due 02/27/2012 1,950 1,964 1.70West Bromwich Building Society2.000% due 04/05/2012 4,000 4,049 3.50WPP Finance UK5.875% due 06/15/2014 $ 1,300 898 0.78Yorkshire Building Society2.000% due 03/30/2012 £ 4,200 4,232 3.66

41,741 36.06


Arkle Master Issuer PLC2.548% due 05/17/2060 € 700 600 0.52Arran Residential Mortgages Funding PLC0.819% due 04/12/2056 £ 273 271 0.24Auburn Securities PLC1.228% due 11/01/2039 225 209 0.18Eurosail PLC1.149% due 03/13/2045 € 398 319 0.27Granite Master Issuer PLC0.521% due 12/20/2054 $ 140 83 0.070.692% due 12/20/2054 £ 909 845 0.730.913% due 12/20/2054 € 193 153 0.130.923% due 12/20/2054 165 131 0.111.013% due 12/20/2054 110 88 0.08Granite Mortgages PLC1.500% due 07/20/2043 442 355 0.31Great Hall Mortgages PLC0.892% due 06/18/2039 £ 290 246 0.211.154% due 03/18/2039 € 302 221 0.191.174% due 06/18/2038 211 158 0.14Mound Financing PLC1.170% due 02/08/2042 700 586 0.51Newgate Funding PLC1.349% due 12/15/2050 £ 231 224 0.191.626% due 12/15/2050 € 850 612 0.53Permanent Financing PLC0.855% due 06/10/2042 £ 600 580 0.50Permanent Master Issuer PLC2.440% due 07/15/2042 950 954 0.82Residential Mortgage Securities3.250% due 12/16/2050 400 387 0.33

7,022 6.06

SOVEREIGN ISSUES

United Kingdom Gilt2.750% due 01/22/2015 21,300 21,901 18.913.750% due 09/07/2020 6,700 6,833 5.904.750% due 09/07/2015 4,500 5,010 4.33

33,744 29.14



31 December 2010

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

UNITED STATES


American Express Credit Corp.5.375% due 10/01/2014 £ 400 £ 417 0.366.625% due 09/24/2012 100 107 0.09American International Group, Inc.1.179% due 04/26/2011 € 50 43 0.044.000% due 09/20/2011 200 171 0.154.375% due 04/26/2016 200 161 0.145.000% due 06/26/2017 50 40 0.035.000% due 04/26/2023 £ 500 421 0.368.000% due 05/22/2038 € 50 42 0.048.250% due 08/15/2018 $ 200 148 0.138.625% due 05/22/2038 £ 1,100 1,089 0.94Citigroup, Inc.6.000% due 12/13/2013 $ 1,500 1,048 0.90Hewlett-Packard Co.1.342% due 05/27/2011 900 577 0.50HSBC Finance Corp.6.676% due 01/15/2021 1,100 711 0.61Merrill Lynch & Co., Inc.7.750% due 04/30/2018 £ 200 218 0.19Morgan Stanley1.377% due 04/13/2016 € 60 47 0.041.407% due 01/16/2017 300 228 0.205.750% due 02/14/2017 £ 100 102 0.097.500% due 04/11/2011 1,000 1,010 0.87

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Reynolds Group Issuer, Inc.7.750% due 10/15/2016 € 400 £ 360 0.31

6,940 5.99MORTGAGE-BACKED SECURITIES

Bear Stearns Structured Products, Inc.2.360% due 01/26/2036 $ 193 81 0.07Harborview Mortgage Loan Trust2.986% due 07/19/2035 139 75 0.06

156 0.13



12/31/2010. Collateralised byUS Treasury Notes 2.500%due 06/30/2017 valued at$1,024. Repurchase proceedsare $1,000.) 1,000 639 0.55

Royal Bank of Scotland Group PLC0.540% due 01/04/2011 (Dated

12/30/2010. Collateralised byUnited Kingdom Gilt 2.750%due 01/22/2015 valued at£4,277. Repurchase proceedsare £4,260.) £ 4,260 4,260 3.68

4,899 4.23

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS


Fannie Mae0.321% due 07/25/2037 $ 108 £ 68 0.064.000% due 02/01/2041 5,000 3,169 2.74

3,237 2.80



02/03/2011 (a) 448 286 0.25286 0.25


Total Transferable Securities& Money Market Instruments -Official Stock Exchange/Regulated Market £ 137,697 118.92


FUTURES


Month# of

ContractsUnrealised

(Depreciation)% of

Net Assets

United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures Long 09/2012 179 £ (30) (0.03)

WRITTEN OPTIONS

DescriptionExercise

PriceExpiration

Date# of


Value% of

Net Assets

Call - CBOT US Treasury 10-Year Note February Futures $ 129.000 01/21/2011 22 £ (6) £ 0 0.00Put - CBOT US Treasury 10-Year Note February Futures 124.000 01/21/2011 22 (7) (51) (0.04)

£ (13) £ (51) (0.04)



WRITTEN OPTIONS


ExerciseRate

ExpirationDate


FairValue

% ofNet Assets


Put - OTC Dow Jones iTraxx Europe Series 14 5-Year Credit Rate Swap BOA Buy 1.600% 03/16/2011 € 12,100 £ (21) £ (14) (0.01)


ExerciseRate

ExpirationDate


FairValue

% ofNet Assets


Call - OTC 1-Year Interest Rate Swap BOA 3-Month GBP-LIBOR Receive 1.250% 06/15/2011 £ 17,700 £ (32) £ (55) (0.05)Call - OTC 1-Year Interest Rate Swap CITI 3-Month GBP-LIBOR Receive 1.250% 06/15/2011 8,800 (16) (27) (0.03)Put - OTC 5-Year Interest Rate Swap DUB 6-Month GBP-LIBOR Pay 2.600% 03/29/2011 5,900 (34) (81) (0.07)Put - OTC 5-Year Interest Rate Swap GSC 6-Month GBP-LIBOR Pay 2.600% 03/29/2011 5,900 (35) (81) (0.07)Put - OTC 5-Year Interest Rate Swap JPM 6-Month GBP-LIBOR Pay 2.600% 03/28/2011 7,700 (48) (105) (0.09)Put - OTC 2-Year Interest Rate Swap BOA 3-Month USD-LIBOR Pay 2.250% 09/24/2012 $ 5,500 (20) (48) (0.04)Put - OTC 2-Year Interest Rate Swap CITI 3-Month USD-LIBOR Pay 2.250% 09/24/2012 300 (1) (3) 0.00Put - OTC 2-Year Interest Rate Swap RBS 3-Month USD-LIBOR Pay 2.250% 09/24/2012 20,000 (101) (173) (0.15)Call - OTC 10-Year Interest Rate Swap SOG 3-Month USD-LIBOR Receive 3.250% 01/24/2011 3,000 (12) (10) (0.01)Put - OTC 10-Year Interest Rate Swap SOG 3-Month USD-LIBOR Pay 5.000% 01/24/2011 3,000 (16) 0 0.00

£ (315) £ (583) (0.51)


Portfolio of Investments and Assets UK Sterling Low Average Duration Fund (Cont.)


ExpirationDate


FairValue

% ofNet Assets

STRADDLE OPTIONS

Call & Put 1-Year vs. 1-Year Forward Volatility Agreement JPM 0.000 10/11/2011 $ 1,900 £ (6) £ (10) (0.01)Call & Put 1-Year vs. 2-Year Forward Volatility Agreement MSC 0.000 10/11/2011 6,100 (42) (65) (0.05)Call & Put 1-Year vs. 2-Year Forward Volatility Agreement MSC 0.000 11/14/2011 5,200 (36) (56) (0.05)

£ (84) £ (131) (0.11)




NotionalAmount(3)

FairValue

UpfrontPremiums

Paid/(Received)


% ofNet Assets

AON Financial Services Luxembourg S.A. (1.000%) 09/20/2014 CSFB € 800 £ 3 £ (12) £ 15 0.00Citigroup, Inc. (1.000%) 12/20/2013 BOA $ 1,500 1 35 (34) 0.00Scotland International Finance No. 2 BV (3.000%) 06/20/2013 UBS 800 13 (4) 17 0.01UBS AG (1.350%) 06/20/2018 BNP 700 (9) 0 (9) (0.01)UBS AG (1.300%) 12/20/2017 DUB 500 (5) 0 (5) 0.00UBS AG (1.350%) 06/20/2018 GSC 700 (8) 1 (9) (0.01)UBS AG (1.250%) 12/20/2017 JPM 400 (3) 0 (3) 0.00WPP Finance UK (2.500%) 06/20/2014 DUB 1,300 (51) 0 (51) (0.04)

£ (59) £ 20 £ (79) (0.05)




FairValue

UpfrontPremiums

Paid/(Received)


% ofNet Assets

Abu Dhabi Government International Bond 1.000% 12/20/2014 BCLY $ 400 £ 2 £ (10) £ 12 0.00Abu Dhabi Government International Bond 1.000% 03/20/2011 GSC 450 1 1 0 0.00Abu Dhabi Government International Bond 1.000% 12/20/2014 GSC 300 1 (8) 9 0.00Abu Dhabi Government International Bond 1.000% 12/20/2015 MSC 2,300 6 0 6 0.00American International Group, Inc. 5.000% 12/20/2013 DUB 200 14 (16) 30 0.01BP Capital Markets America, Inc. 5.000% 06/20/2015 CSFB 200 23 2 21 0.02BP Capital Markets America, Inc. 5.000% 09/20/2011 DUB 300 7 (5) 12 0.01Brazil Government International Bond 1.000% 12/20/2015 BCLY 800 (2) (2) 0 0.00Brazil Government International Bond 1.000% 03/20/2011 HSBC 400 0 1 (1) 0.00Brazil Government International Bond 1.000% 03/20/2011 RBS 400 0 1 (1) 0.00Brazil Government International Bond 1.000% 03/20/2011 UBS 1,200 1 3 (2) 0.00China Government International Bond 1.000% 06/20/2015 BNP 2,400 26 20 6 0.02Egypt Government International Bond 1.000% 06/20/2015 CITI 700 (24) (31) 7 (0.02)Egypt Government International Bond 1.000% 06/20/2015 DUB 600 (21) (27) 6 (0.02)France Government Bond 0.250% 06/20/2015 CITI 1,800 (37) (27) (10) (0.03)France Government Bond 0.250% 12/20/2015 MSC 3,100 (75) (40) (35) (0.06)General Electric Capital Corp. 3.800% 12/20/2013 BCLY 100 5 0 5 0.00General Electric Capital Corp. 4.000% 12/20/2013 CITI 100 6 0 6 0.01General Electric Capital Corp. 4.100% 12/20/2013 CITI 200 11 0 11 0.01General Electric Capital Corp. 4.450% 12/20/2013 CITI 300 19 0 19 0.02General Electric Capital Corp. 3.680% 12/20/2013 DUB 100 5 0 5 0.00General Electric Capital Corp. 4.130% 12/20/2013 JPM 200 12 0 12 0.01ING Verzekeringen NV 1.400% 06/20/2011 DUB € 1,500 (1) 0 (1) 0.00Japan Government International Bond 1.000% 06/20/2015 BNP $ 2,400 25 28 (3) 0.02Japan Government International Bond 1.000% 03/20/2016 RBS 800 7 7 0 0.01Mexico Government International Bond 1.000% 12/20/2015 BOA 3,400 (10) (12) 2 (0.01)Republic of Germany 0.250% 06/20/2015 CITI 3,200 (25) (26) 1 (0.02)Republic of Korea 1.000% 12/20/2015 BCLY 1,500 3 6 (3) 0.00Republic of Korea 1.000% 12/20/2015 BOA 1,800 4 7 (3) 0.00Republic of Korea 1.000% 03/20/2011 GSC 100 0 0 0 0.00Tesco Personal Finance PLC 1.000% 12/20/2015 BCLY € 800 9 5 4 0.01Tesco Personal Finance PLC 1.000% 12/20/2015 BOA 200 2 1 1 0.00United Kingdom Gilt 1.000% 03/20/2015 DUB $ 2,600 25 16 9 0.02United Kingdom Gilt 1.000% 06/20/2015 GSC 700 7 6 1 0.01United Kingdom Gilt 1.000% 06/20/2015 MSC 1,500 14 10 4 0.01United Kingdom Gilt 1.000% 12/20/2015 MSC 3,900 35 58 (23) 0.03United Kingdom Gilt 1.000% 06/20/2015 SOG 2,200 21 17 4 0.02US Treasury Notes 0.250% 12/20/2014 BNP € 600 (1) (2) 1 0.00

£ 95 £ (17) £ 112 0.08





31 December 2010

INTEREST RATE SWAPS


NotionalAmount

FairValue

UpfrontPremiums

Paid/(Received)


% ofNet Assets

Pay 3-Month USD-LIBOR 1.950% 12/15/2015 BNP $ 5,200 £ (30) £ 0 £ (30) (0.03)Pay 3-Month USD-LIBOR 1.950% 12/15/2015 BOA 2,900 (16) 0 (16) (0.01)Pay BRL-CDI-Compounded 11.360% 01/02/2012 HSBC BRL 26,600 137 73 64 0.12

£ 91 £ 73 £ 18 0.08


Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Buy BRL 8,622 CITI 03/2011 £ 0 £ (11) £ (11) (0.01)Sell 5,797 HSBC 03/2011 0 (51) (51) (0.04)Buy CNY 3,055 BOA 01/2011 17 0 17 0.01Buy 26,530 DUB 01/2011 27 (1) 26 0.02Sell 17,964 DUB 01/2011 0 (23) (23) (0.02)Buy 12,109 GSC 01/2011 0 (21) (21) (0.02)Buy 12,360 JPM 01/2011 0 (1) (1) 0.00Sell 21,664 JPM 01/2011 115 0 115 0.10Buy 5,445 MSC 01/2011 30 0 30 0.03Sell 19,870 RBS 01/2011 80 0 80 0.07Buy 12,931 BCLY 06/2011 0 (37) (37) (0.03)Sell 3,007 DUB 06/2011 0 (5) (5) 0.00Sell 9,925 HSBC 06/2011 0 0 0 0.00Sell € 595 BNP 01/2011 0 (7) (7) (0.01)Buy 2,416 CITI 01/2011 13 0 13 0.01Sell 38,518 CITI 01/2011 0 (286) (286) (0.25)Buy 749 DUB 01/2011 6 0 6 0.01Sell 2,278 DUB 01/2011 0 (18) (18) (0.02)Buy 3,401 JPM 01/2011 35 0 35 0.03Buy 1,393 RBS 01/2011 9 0 9 0.01Buy 2,530 BNP 02/2011 16 0 16 0.01Buy 970 GSC 02/2011 7 0 7 0.01Buy 500 MSC 02/2011 7 0 7 0.01Buy KRW 186,500 BCLY 05/2011 0 0 0 0.00Buy 1,816,900 CITI 05/2011 7 (1) 6 0.01Buy 150,358 GSC 05/2011 1 0 1 0.00Buy 352,000 HSBC 05/2011 2 0 2 0.00Sell 1,491,360 HSBC 05/2011 0 (10) (10) (0.01)Buy 811,200 JPM 05/2011 0 (1) (1) 0.00Buy 705,000 RBS 05/2011 5 0 5 0.00Buy MXN 11,448 BCLY 02/2011 8 0 8 0.01Buy MYR 2,020 BCLY 02/2011 10 0 10 0.01Buy 710 CITI 02/2011 3 0 3 0.00Buy 1,250 DUB 02/2011 6 0 6 0.01Buy 586 JPM 02/2011 3 0 3 0.00Sell 2,300 JPM 02/2011 0 (8) (8) (0.01)Buy 660 RBS 02/2011 3 0 3 0.00Buy PHP 9,000 BOA 06/2011 1 0 1 0.00Buy 92,503 CITI 06/2011 22 0 22 0.02Buy 19,101 DUB 06/2011 0 0 0 0.00Buy 14,350 HSBC 06/2011 2 0 2 0.00Sell 56,420 HSBC 06/2011 4 0 4 0.01Buy 19,623 JPM 06/2011 2 0 2 0.00Sell 48,748 JPM 06/2011 0 (10) (10) (0.01)Sell SGD 3,940 CITI 03/2011 0 (68) (68) (0.06)Buy 3,940 GSC 03/2011 64 0 64 0.06Sell 8,233 CITI 06/2011 0 (146) (146) (0.13)Buy 8,233 HSBC 06/2011 114 0 114 0.10Buy 794 BNP 01/2011 4 0 4 0.00Sell 460 BOA 01/2011 0 (15) (15) (0.01)Buy 51,954 CITI 01/2011 488 (25) 463 0.40Sell 3,200 CITI 01/2011 13 0 13 0.01Buy 5,775 DUB 01/2011 38 0 38 0.03Sell 4,939 DUB 01/2011 27 (3) 24 0.02Sell 1,800 GSC 01/2011 44 0 44 0.04Buy 3,200 JPM 01/2011 0 (169) (169) (0.15)Sell 6,352 JPM 01/2011 21 0 21 0.02Sell 820 MSC 01/2011 0 (26) (26) (0.02)Buy 2,920 RBS 01/2011 0 (139) (139) (0.12)Sell 1,900 RBS 01/2011 0 (28) (28) (0.02)Sell 1,542 BCLY 02/2011 14 (4) 10 0.01Buy 230 BNP 02/2011 0 (1) (1) 0.00Sell 3,314 BNP 02/2011 25 0 25 0.02Sell 229 CITI 02/2011 0 (1) (1) 0.00Sell 1,490 CSFB 02/2011 0 (6) (6) (0.01)Sell 403 DUB 02/2011 0 (3) (3) 0.00Sell 50,372 GSC 02/2011 0 (202) (202) (0.17)Buy 732 JPM 02/2011 0 (5) (5) 0.00


Portfolio of Investments and Assets UK Sterling Low Average Duration Fund (Cont.)

Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Sell $ 189 JPM 02/2011 £ 0 £ (1) £ (1) 0.00Buy 240 MSC 02/2011 0 (2) (2) 0.00Sell 213 RBS 02/2011 0 (1) (1) 0.00Buy 3,058 CITI 03/2011 57 0 57 0.05Sell 5,055 CITI 03/2011 55 0 55 0.05Sell 2,992 GSC 03/2011 0 (11) (11) (0.01)Buy 3,340 HSBC 03/2011 0 (17) (17) (0.02)Sell 166 BCLY 05/2011 0 (1) (1) 0.00Sell 1,616 CITI 05/2011 0 (9) (9) (0.01)Sell 132 GSC 05/2011 0 0 0 0.00Buy 1,300 HSBC 05/2011 0 (5) (5) 0.00Sell 314 HSBC 05/2011 0 (3) (3) 0.00Sell 715 JPM 05/2011 4 0 4 0.00Sell 623 RBS 05/2011 0 (4) (4) 0.00Sell 1,900 BCLY 06/2011 90 0 90 0.08Sell 209 BOA 06/2011 0 (2) (2) 0.00Buy 6,390 CITI 06/2011 122 0 122 0.10Sell 2,135 CITI 06/2011 2 (25) (23) (0.02)Buy 456 DUB 06/2011 2 0 2 0.00Sell 435 DUB 06/2011 3 0 3 0.00Buy 2,783 HSBC 06/2011 0 (30) (30) (0.03)Sell 6,628 HSBC 06/2011 0 (33) (33) (0.03)Buy 1,099 JPM 06/2011 0 (6) (6) (0.01)Sell 448 JPM 06/2011 2 0 2 0.00

£ 1,630 £ (1,482) £ 148 0.13



DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS


ANZ National Bank3.890% due 01/04/2011 AUD 39 £ 26 0.02BNP Paribas Bank0.080% due 01/03/2011 € 204 175 0.15Deutsche Bank AG0.150% due 01/04/2011 CAD 53 34 0.03JPMorgan Chase & Co.0.068% due 01/04/2011 £ 553 553 0.48Nordea Bank AB0.030% due 01/03/2011 $ 388 248 0.21Total Overnight Time Deposits £ 1,036 0.89Other Current Assets & Liabilities £ (22,413) (19.35)Net Assets £ 115,786 100.00


(a) Securities with an aggregate market value of £286 have been segregated with the Custodian to cover margin requirements for the open futures contracts as at 31 December 2010.




Category3




(Level 2)





Category3

StartingBalance

at 31-Dec-2009Net

Purchases5Net

Sales5


RealisedGains/

(Losses)




Level 3

EndingBalance

at 31-Dec-2010




Financial Derivative Instruments4 £ 0 £ (84) £ 0 £ 0 £ 0 £ (47) £ 0 £ (131) £ (47)


31 December 2010


Category3




(Level 2)



Transferable Securities £ 0 £ 197,669 £ 0 £ 197,669Financial Derivative Instruments4 (270) 1,829 0 1,559Totals £ (270) £ 199,498 £ 0 £ 199,228





Significant Changes in Portfolio Composition UK Sterling Low Average Duration Fund (Unaudited)31 December 2010

DESCRIPTIONPAR

(000S)COST(000S)


Republic of Germany3.250% due 01/04/2020 € 295,900 £ 260,692United Kingdom Gilt2.750% due 01/22/2015 £ 122,900 126,215United Kingdom Gilt4.750% due 09/07/2015 65,200 73,161Republic of Germany6.500% due 07/04/2027 € 52,325 59,974Bundesobligation2.500% due 02/27/2015 61,140 54,067United Kingdom Gilt4.500% due 03/07/2013 £ 46,760 50,643United Kingdom Gilt3.750% due 09/07/2019 48,300 49,532United Kingdom Gilt4.500% due 03/07/2019 45,800 48,278United Kingdom Gilt4.250% due 03/07/2011 45,900 47,199United Kingdom Gilt4.750% due 03/07/2020 41,400 45,468Republic of Germany5.500% due 01/04/2031 € 41,701 44,202United Kingdom Treasury Bills0.000% due 10/04/2010 £ 40,000 39,951United Kingdom Gilt4.250% due 12/07/2027 35,300 35,978United Kingdom Gilt4.000% due 03/07/2022 35,000 35,635United Kingdom Gilt2.250% due 03/07/2014 34,300 35,107United Kingdom Gilt5.250% due 06/07/2012 32,200 34,828United Kingdom Gilt4.000% due 09/07/2016 30,900 34,182United Kingdom Treasury Bills0.000% due 02/21/2011 30,000 29,859Republic of Germany5.625% due 01/04/2028 € 21,764 23,259United Kingdom Treasury Bills0.540% due 01/04/2011 £ 21,000 20,943United Kingdom Gilt2.500% due 07/17/2024 7,140 18,917United Kingdom Gilt5.000% due 03/07/2025 15,300 16,011United Kingdom Treasury Bills0.000% due 09/13/2010 14,000 13,983Bundesschatzanweisungen2.250% due 12/10/2010 € 15,035 13,599Bundesobligation4.000% due 10/11/2013 14,230 13,480Bundesschatzanweisungen4.000% due 09/10/2010 14,749 13,377United Kingdom Gilt5.000% due 09/07/2014 £ 11,300 12,772United Kingdom Treasury Bills0.000% due 07/19/2010 10,000 9,984Nationwide Building Society3.750% due 11/21/2011 8,400 8,689United Kingdom Treasury Bills0.000% due 12/13/2010 7,000 6,992United Kingdom Gilt3.750% due 09/07/2020 6,700 6,896

DESCRIPTIONPAR

(000S)PROCEEDS

(000S)


Republic of Germany3.250% due 01/04/2020 € 311,200 £ 273,593United Kingdom Gilt2.750% due 01/22/2015 £ 101,600 104,578United Kingdom Gilt4.750% due 09/07/2015 60,700 68,029United Kingdom Gilt4.250% due 03/07/2011 63,350 65,038Republic of Germany6.500% due 07/04/2027 € 52,325 59,963Bundesobligation2.500% due 02/27/2015 61,140 54,132United Kingdom Gilt4.500% due 03/07/2013 £ 46,760 50,632United Kingdom Gilt3.750% due 09/07/2019 48,300 49,526United Kingdom Gilt4.500% due 03/07/2019 45,800 48,198United Kingdom Gilt4.750% due 06/07/2010 47,200 47,262United Kingdom Gilt4.750% due 03/07/2020 41,400 45,451Republic of Germany5.500% due 01/04/2031 € 41,701 44,200United Kingdom Gilt2.250% due 03/07/2014 £ 37,800 38,494United Kingdom Gilt4.250% due 12/07/2027 35,300 35,952United Kingdom Gilt4.000% due 03/07/2022 35,000 35,626United Kingdom Gilt5.250% due 06/07/2012 32,210 34,826United Kingdom Gilt4.000% due 09/07/2016 30,900 34,193United Kingdom Treasury Bills0.000% due 02/21/2011 30,000 29,859Republic of Germany5.625% due 01/04/2028 € 21,764 23,256United Kingdom Treasury Bills0.540% due 01/04/2011 £ 21,000 20,945United Kingdom Treasury Bills0.000% due 10/04/2010 20,000 19,974United Kingdom Gilt2.500% due 07/17/2024 7,140 18,914United Kingdom Gilt5.000% due 03/07/2025 15,300 16,008United Kingdom Treasury Bills0.000% due 09/13/2010 14,000 13,987Bundesschatzanweisungen2.250% due 12/10/2010 € 15,035 13,597Bundesobligation4.000% due 10/11/2013 14,230 13,479Bundesschatzanweisungen4.000% due 09/10/2010 14,749 13,376United Kingdom Gilt5.000% due 09/07/2014 £ 11,300 12,763Canada Housing Trust3.750% due 03/15/2010 CAD 15,700 10,216United Kingdom Treasury Bills0.000% due 07/19/2010 £ 10,000 9,984Barclays Bank PLC2.875% due 12/23/2011 7,600 7,741United Kingdom Treasury Bills0.000% due 12/13/2010 7,000 6,995Royal Bank of Scotland PLC4.125% due 11/14/2011 6,800 6,991




Portfolio of Investments and Assets UK Total Return Bond Fund31 December 2010

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS


FRANCE

AUTO ABS Srl1.145% due 02/25/2019 € 30 € 25 0.13BNP Paribas7.781% due 06/29/2049 50 45 0.24Cie de Financement Foncier5.500% due 01/26/2027 £ 100 103 0.56Credit Agricole S.A.7.589% due 01/29/2049 150 136 0.748.375% due 04/29/2049 $ 100 66 0.36EDF S.A.5.125% due 09/22/2050 £ 100 97 0.53France Telecom S.A.5.375% due 11/22/2050 200 202 1.10Societe Financement de l’Economie Francaise0.789% due 07/16/2012 70 70 0.38Societe Generale6.999% due 12/29/2049 € 100 80 0.43

824 4.47

GERMANY

Driver One GmbH1.391% due 02/21/2014 25 21 0.12Kreditanstalt fuer Wiederaufbau3.250% due 02/24/2014 £ 600 620 3.365.550% due 06/07/2021 400 458 2.49

1,099 5.97

IRELAND

GE Capital UK Funding6.250% due 05/05/2038 100 107 0.58


Magnolia Funding Ltd.3.000% due 04/20/2017 € 76 65 0.35

NETHERLANDS

Bank Nederlandse Gemeenten4.375% due 01/19/2015 £ 150 160 0.875.375% due 06/07/2021 100 111 0.605.750% due 01/18/2019 50 57 0.31Beluga Master Issuer BV1.167% due 04/28/2099 € 100 84 0.45Cooperatieve Centrale Raiffeisen-Boerenleenbank BA6.875% due 03/19/2020 100 82 0.44Deutsche Telekom International Finance BV6.000% due 01/20/2017 100 97 0.53Dutch Mortgage Portfolio Loans BV1.934% due 07/25/2047 100 86 0.47E.ON International Finance BV6.000% due 10/30/2019 £ 100 112 0.61Globaldrive BV3.000% due 07/20/2015 € 73 63 0.344.000% due 10/20/2016 25 22 0.12ING Groep NV4.750% due 05/31/2017 50 44 0.24Koninklijke KPN NV5.750% due 03/18/2016 £ 100 108 0.59RWE Finance BV5.625% due 12/06/2023 150 157 0.85Saecure BV1.965% due 09/23/2092 € 93 79 0.43Storm BV1.822% due 03/22/2052 93 79 0.43TNT NV7.500% due 08/14/2018 £ 100 112 0.61

1,453 7.89

NORWAY

DnB NORBank ASA4.500% due 05/29/2014 € 200 183 1.00

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

SINGAPORE

Temasek Financial I Ltd.5.125% due 07/26/2040 £ 200 € 205 1.11

SUPRANATIONAL

European Investment Bank5.375% due 06/07/2021 30 34 0.185.500% due 04/15/2025 30 35 0.196.000% due 12/07/2028 50 60 0.33

129 0.70

SWITZERLAND

Credit Suisse3.875% due 01/25/2017 € 100 86 0.474.750% due 08/05/2019 50 44 0.24UBS AG0.439% due 04/18/2016 $ 145 91 0.49

221 1.20

UNITED KINGDOM


Chester Asset Receivables Dealings0.920% due 09/15/2013 £ 50 50 0.27


Bank of Scotland PLC4.625% due 11/04/2011 200 206 1.127.281% due 05/29/2049 50 39 0.21Barclays Bank PLC1.837% due 01/28/2013 € 150 129 0.705.200% due 07/10/2014 $ 100 69 0.375.750% due 08/17/2021 £ 100 101 0.556.875% due 11/29/2049 100 98 0.53Coventry Building Society2.000% due 04/05/2012 200 202 1.10Greene King Finance PLC5.318% due 09/15/2031 83 79 0.43HBOS PLC4.500% due 03/18/2030 € 100 64 0.35HSBC Bank PLC5.000% due 03/20/2023 £ 100 97 0.53HSBC Holdings PLC6.000% due 03/29/2040 200 198 1.076.500% due 05/20/2024 100 110 0.607.350% due 11/27/2032 $ 100 68 0.37Imperial Tobacco Finance PLC7.750% due 06/24/2019 £ 100 118 0.64LBG Capital No.1 PLC6.439% due 05/23/2020 € 100 69 0.37LBG Capital No.2 PLC9.334% due 02/07/2020 £ 100 95 0.52Lloyds TSB Bank PLC2.750% due 03/16/2012 300 305 1.657.625% due 04/22/2025 100 97 0.53Marks & Spencer PLC5.875% due 05/29/2012 100 104 0.56Mitchells & Butlers Finance PLC5.574% due 12/15/2028 66 68 0.37Nationwide Building Society2.875% due 09/14/2015 € 50 42 0.23Network Rail Infrastructure Finance PLC4.375% due 01/18/2011 £ 250 250 1.364.625% due 07/21/2020 200 212 1.154.875% due 11/27/2015 300 331 1.80Northumbrian Water Finance PLC6.875% due 02/06/2023 100 117 0.64Royal Bank of Scotland Group PLC7.387% due 12/29/2049 50 46 0.25Royal Bank of Scotland PLC4.125% due 11/14/2011 330 339 1.846.000% due 05/17/2017 150 151 0.826.934% due 04/09/2018 € 100 81 0.44Severn Trent Utilities Finance PLC6.000% due 01/22/2018 £ 100 111 0.60

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

South Eastern Power Networks PLC6.375% due 11/12/2031 £ 150 € 164 0.89Tesco Property Finance 3 PLC5.744% due 04/13/2040 150 155 0.84Vodafone Group PLC4.625% due 09/08/2014 100 106 0.57Yorkshire Building Society2.000% due 03/30/2012 200 202 1.10

4,623 25.10


Arkle Master Issuer PLC2.298% due 05/17/2060 € 100 85 0.46Arran Residential Mortgages Funding PLC2.203% due 05/16/2047 100 86 0.47Eurosail PLC1.149% due 03/13/2045 66 53 0.29Granite Master Issuer PLC0.702% due 12/20/2054 £ 55 51 0.281.013% due 12/20/2054 € 110 88 0.48Ludgate Funding PLC1.207% due 12/01/2060 29 20 0.11Newgate Funding PLC1.349% due 12/15/2050 £ 23 22 0.121.626% due 12/15/2050 € 50 36 0.19Permanent Financing PLC0.895% due 09/10/2032 £ 100 99 0.54Permanent Master Issuer PLC0.399% due 07/15/2033 $ 200 124 0.672.440% due 07/15/2042 £ 100 100 0.54Residential Mortgage Securities3.250% due 12/16/2050 100 97 0.53Silverstone Master Issuer PLC2.187% due 01/21/2055 100 100 0.54

961 5.22

SOVEREIGN ISSUES

United Kingdom Gilt2.250% due 03/07/2014 200 204 1.112.750% due 01/22/2015 900 925 5.023.750% due 09/07/2019 500 516 2.803.750% due 09/07/2020 400 408 2.214.000% due 09/07/2016 800 863 4.694.250% due 03/07/2036 1,000 1,008 5.474.250% due 09/07/2039 1,820 1,841 10.004.250% due 12/07/2040 500 503 2.734.750% due 09/07/2015 500 557 3.02

6,825 37.05


UNITED STATES


American Express Credit Corp.5.375% due 10/01/2014 100 104 0.56American International Group, Inc.4.375% due 04/26/2016 € 100 81 0.448.625% due 05/22/2038 £ 200 198 1.07Bank of America Corp.1.246% due 05/18/2016 € 100 77 0.427.000% due 06/15/2016 100 93 0.50Bear Stearns Cos., LLC6.400% due 10/02/2017 $ 100 73 0.40Citigroup, Inc.0.829% due 01/16/2012 £ 100 98 0.534.750% due 05/31/2017 € 150 118 0.647.625% due 04/03/2018 £ 100 112 0.61JPMorgan Chase & Co.1.372% due 10/12/2015 € 200 159 0.86Merrill Lynch & Co., Inc.5.500% due 11/22/2021 £ 100 84 0.467.750% due 04/30/2018 100 109 0.59Morgan Stanley5.375% due 08/10/2020 € 50 41 0.225.750% due 02/14/2017 £ 100 102 0.56


Portfolio of Investments and Assets UK Total Return Bond Fund (Cont.)

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

US Bank N.A.4.375% due 02/28/2017 € 100 € 85 0.46Wachovia Corp.4.375% due 08/01/2016 50 44 0.24Wells Fargo Bank N.A.6.000% due 05/23/2013 100 93 0.51

1,671 9.07


Fannie Mae4.000% due 02/01/2041 $ 1,000 634 3.44

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS


US Treasury Notes1.125% due 06/30/2011 (a) € 5 € 3 0.02




FUTURES


Month# of

ContractsUnrealised

(Depreciation)% of

Net Assets

United Kingdom 10-Year Gilt March Futures Long 03/2011 11 £ (4) (0.02)United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures Long 09/2012 77 (12) (0.07)

£ (16) (0.09)

WRITTEN OPTIONS

DescriptionExercise

PriceExpiration

Date# of


Value% of

Net Assets

Call - CBOT US Treasury 10-Year Note February Futures $129.000 01/21/2011 2 £ 0 £ 0 0.00Put - CBOT US Treasury 10-Year Note February Futures 124.000 01/21/2011 2 (1) (5) (0.03)

£ (1) £ 5) (0.03)



WRITTEN OPTIONS


ExerciseRate

ExpirationDate


FairValue

% ofNet Assets




ExerciseRate

ExpirationDate


FairValue

% ofNet Assets


Call - OTC 1-Year Interest Rate Swap BOA 3-Month GBP-LIBOR Receive 1.250% 06/15/2011 £ 1,300 £ (2) £ (4) (0.02)Call - OTC 1-Year Interest Rate Swap CITI 3-Month GBP-LIBOR Receive 1.250% 06/15/2011 700 (1) (2) (0.01)Put - OTC 5-Year Interest Rate Swap DUB 6-Month GBP-LIBOR Pay 2.600% 03/29/2011 500 (3) (7) (0.04)Put - OTC 5-Year Interest Rate Swap GSC 6-Month GBP-LIBOR Pay 2.600% 03/29/2011 500 (3) (7) (0.04)Put - OTC 5-Year Interest Rate Swap JPM 6-Month GBP-LIBOR Pay 2.600% 03/28/2011 600 (4) (8) (0.04)Put - OTC 2-Year Interest Rate Swap BOA 3-Month USD-LIBOR Pay 2.250% 09/24/2012 $ 500 (2) (5) (0.03)Put - OTC 2-Year Interest Rate Swap RBS 3-Month USD-LIBOR Pay 2.250% 09/24/2012 1,600 (8) (14) (0.08)

£ (23) £ (47) (0.26)


ExpirationDate


FairValue

% ofNet Assets

STRADDLE OPTIONS

Call & Put 1-Year vs. 1-Year Forward Volatility Agreement GSC 0.000 10/11/2011 $ 300 £ (1) £ (2) (0.01)Call & Put 1-Year vs. 1-Year Forward Volatility Agreement JPM 0.000 10/11/2011 200 (1) (1) (0.01)Call & Put 1-Year vs. 2-Year Forward Volatility Agreement MSC 0.000 10/11/2011 300 (2) (3) (0.02)Call & Put 1-Year vs. 2-Year Forward Volatility Agreement MSC 0.000 11/14/2011 600 (4) (6) (0.03)

£ (8) £ (12) (0.07)



31 December 2010




FairValue

UpfrontPremiums

Paid/(Received)


% ofNet Assets

Abu Dhabi Government International Bond 1.000% 12/20/2014 BCLY $ 100 £ 0 £ (3) £ 3 0.00Abu Dhabi Government International Bond 1.000% 12/20/2015 MSC 200 1 0 1 0.01BP Capital Markets America, Inc. 5.000% 09/20/2011 DUB 100 2 (2) 4 0.01Brazil Government International Bond 1.000% 03/20/2011 RBS 100 0 0 0 0.00Brazil Government International Bond 1.000% 03/20/2011 UBS 100 0 0 0 0.00China Government International Bond 1.000% 06/20/2015 BNP 200 2 2 0 0.01Egypt Government International Bond 1.000% 06/20/2015 CITI 200 (7) (9) 2 (0.04)France Government Bond 0.250% 06/20/2015 CITI 100 (2) (1) (1) (0.01)France Government Bond 0.250% 12/20/2015 MSC 300 (7) (4) (3) (0.04)ING Verzekeringen NV 1.400% 06/20/2011 DUB € 150 0 0 0 0.00Japan Government International Bond 1.000% 06/20/2015 BNP $ 100 1 1 0 0.01Japan Government International Bond 1.000% 03/20/2016 RBS 100 1 1 0 0.01Republic of Germany 0.250% 06/20/2015 CITI 300 (2) (2) 0 (0.01)Republic of Korea 1.000% 12/20/2015 BCLY 100 0 0 0 0.00Republic of Korea 1.000% 12/20/2015 BOA 100 0 0 0 0.00Tesco PLC 1.000% 12/20/2015 BCLY € 100 1 0 1 0.00United Kingdom Gilt 1.000% 12/20/2014 BNP $ 100 1 1 0 0.01United Kingdom Gilt 1.000% 09/20/2015 BNP 200 2 2 0 0.01United Kingdom Gilt 1.000% 03/20/2015 DUB 150 1 0 1 0.00United Kingdom Gilt 1.000% 12/20/2015 DUB 500 4 7 (3) 0.02United Kingdom Gilt 1.000% 06/20/2015 GSC 100 1 1 0 0.01United Kingdom Gilt 1.000% 06/20/2015 MSC 200 2 2 0 0.01United Kingdom Gilt 1.000% 09/20/2015 MSC 200 2 2 0 0.01United Kingdom Gilt 1.000% 12/20/2015 MSC 400 4 6 (2) 0.02US Treasury Notes 0.250% 12/20/2014 BNP € 100 0 0 0 0.00

£ 7 £ 4 £ 3 0.04




FairValue

UpfrontPremiums

Paid/(Received)


% ofNet Assets

Dow Jones iTraxx Europe Series 14 Index 1.000% 12/20/2015 DUB € 1,100 £ (2) £ (1) £ (1) (0.01)



INTEREST RATE SWAPS


NotionalAmount

FairValue

UpfrontPremiums

Paid/(Received)


% ofNet Assets

Pay 3-Month USD-LIBOR 2.100% 12/15/2015 CITI $ 300 £ 0 £ 0 £ 0 0.00Pay 6-Month GBP-LIBOR 2.500% 03/16/2016 MSC £ 1,800 (22) 10 (32) (0.12)Pay BRL-CDI-Compounded 11.360% 01/02/2012 HSBC BRL 2,300 12 7 5 0.07

£ (10) £ 17 £ (27) (0.05)


Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Buy BRL 698 CITI 03/2011 £ 0 £ (1) £ (1) (0.01)Buy CNY 199 BOA 01/2011 1 0 1 0.00Buy 2,532 DUB 01/2011 3 0 3 0.02Sell 1,891 DUB 01/2011 0 (2) (2) (0.01)Buy 841 GSC 01/2011 0 (2) (2) (0.01)Buy 930 JPM 01/2011 0 0 0 0.00Sell 1,354 JPM 01/2011 7 0 7 0.04Buy 398 MSC 01/2011 2 0 2 0.01Sell 1,655 RBS 01/2011 7 0 7 0.04Buy 681 BCLY 06/2011 0 (2) (2) (0.01)Sell 681 HSBC 06/2011 0 0 0 0.00Sell € 4,833 CITI 01/2011 0 (32) (32) (0.17)Sell 319 DUB 01/2011 0 (3) (3) (0.02)Buy 656 RBS 01/2011 2 0 2 0.01Buy 70 GSC 02/2011 1 0 1 0.01Sell 350 MSC 02/2011 0 (2) (2) (0.01)Buy KRW 50,000 CITI 05/2011 0 0 0 0.00Buy 27,000 HSBC 05/2011 0 0 0 0.00Buy 234,175 RBS 05/2011 2 0 2 0.01Buy MXN 636 BCLY 02/2011 0 0 0 0.00Buy MYR 60 BCLY 02/2011 0 0 0 0.00


Portfolio of Investments and Assets UK Total Return Bond Fund (Cont.)

Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Buy MYR 60 CITI 02/2011 £ 0 £ 0 £ 0 0.00Buy 247 DUB 02/2011 2 0 2 0.01Buy 50 RBS 02/2011 0 0 0 0.00Buy PHP 3,150 CITI 06/2011 0 0 0 0.00Buy 9,459 JPM 06/2011 1 0 1 0.01Buy SGD 356 GSC 03/2011 6 0 6 0.03Buy 653 HSBC 06/2011 9 0 9 0.05Sell $ 30 BOA 01/2011 0 (1) (1) (0.01)Buy 6,527 CITI 01/2011 62 (2) 60 0.33Buy 715 DUB 01/2011 5 0 5 0.03Sell 376 DUB 01/2011 2 0 2 0.01Sell 125 GSC 01/2011 3 0 3 0.02Buy 200 JPM 01/2011 0 (11) (11) (0.06)Sell 139 JPM 01/2011 1 0 1 0.00Sell 60 MSC 01/2011 0 (2) (2) (0.01)Buy 243 RBS 01/2011 0 (12) (12) (0.07)Sell 900 RBS 01/2011 0 (15) (15) (0.08)Sell 69 BCLY 02/2011 1 0 1 0.01Sell 319 CITI 02/2011 3 0 3 0.02Sell 80 DUB 02/2011 0 0 0 0.00Buy 1,030 GSC 02/2011 0 (3) (3) (0.02)Buy 310 MSC 02/2011 0 (3) (3) (0.02)Sell 6,376 RBS 02/2011 0 (28) (28) (0.15)Sell 409 CITI 03/2011 5 0 5 0.03Sell 270 GSC 03/2011 0 (1) (1) (0.01)Sell 45 CITI 05/2011 0 0 0 0.00Sell 24 HSBC 05/2011 0 0 0 0.00Sell 207 RBS 05/2011 0 (1) (1) (0.01)Sell 100 BCLY 06/2011 5 0 5 0.03Sell 72 CITI 06/2011 0 0 0 0.00Buy 102 HSBC 06/2011 0 (2) (2) (0.01)Sell 500 HSBC 06/2011 0 (3) (3) (0.02)Sell 216 JPM 06/2011 1 0 1 0.01

£ 131 £ (128) £ 3 0.02



DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS


BNP Paribas Bank0.080% due 01/03/2011 € 36 £ 31 0.17HSBC Bank0.068% due 01/04/2011 £ 863 863 4.68Nordea Bank AB0.030% due 01/03/2011 $ 282 180 0.98Total Overnight Time Deposits £ 1,074 5.83Other Current Assets & Liabilities £ (1,623) (8.83)Net Assets £ 18,420 100.00


(a) Securities with an aggregate market value of £3 and cash of £72 have been segregated with the Custodian to cover margin requirements for the open futures contracts as at 31 December 2010.



Category3




(Level 2)





31 December 2010


Category3

StartingBalance

at 31-Dec-2009Net

Purchases5Net

Sales5


RealisedGains/

(Losses)




Level 3

EndingBalance

at 31-Dec-2010




Financial Derivative Instruments4 £ 0 £ (8) £ 0 £ 0 £ 0 £ (4) £ 0 £ (12) £ (4)


Category3




(Level 2)



Transferable Securities £ 0 £ 14,420 £ 0 £ 14,420Financial Derivative Instruments4 1 59 0 60Short Sales 0 (654) 0 (654)Totals £ 1 £ 13,825 £ 0 £ 13,826





Significant Changes in Portfolio Composition UK Total Return Bond Fund (Unaudited)31 December 2010

DESCRIPTIONPAR

(000S)COST(000S)


United Kingdom Gilt4.250% due 09/07/2039 £ 6,170 £ 6,141United Kingdom Gilt4.000% due 09/07/2016 4,800 5,260United Kingdom Gilt4.500% due 03/07/2019 3,200 3,385United Kingdom Gilt3.750% due 09/07/2019 2,350 2,325United Kingdom Gilt4.750% due 09/07/2015 1,000 1,125United Kingdom Gilt2.750% due 01/22/2015 900 934Kreditanstalt fuer Wiederaufbau3.250% due 02/24/2014 600 609United Kingdom Gilt4.250% due 12/07/2040 500 494Republic of Germany5.500% due 01/04/2031 € 400 426United Kingdom Gilt3.750% due 09/07/2020 £ 400 412Network Rail Infrastructure Finance PLC4.875% due 11/27/2015 300 321United Kingdom Gilt4.250% due 03/07/2011 300 309United Kingdom Gilt6.250% due 11/25/2010 300 309Lloyds TSB Bank PLC2.750% due 03/16/2012 300 307US Treasury Bonds4.625% due 02/15/2040 $ 300 219BNP Paribas5.750% due 01/24/2022 £ 200 210United Kingdom Gilt2.250% due 03/07/2014 200 207Coventry Building Society2.000% due 04/05/2012 200 201Yorkshire Building Society2.000% due 03/30/2012 200 201Temasek Financial I Ltd.5.125% due 07/26/2040 200 199HSBC Holdings PLC6.000% due 06/10/2019 € 200 198HSBC Holdings PLC6.000% due 03/29/2040 £ 200 197France Telecom S.A.5.375% due 11/22/2050 200 196US Treasury Bills0.215% due 08/26/2010 $ 280 186UBS AG4.500% due 09/16/2019 € 200 177US Treasury Bills0.000% due 11/26/2010 $ 280 177JPMorgan Chase & Co.0.804% due 01/30/2014 € 200 171Goldman Sachs Group, Inc.6.125% due 02/14/2017 £ 150 162Royal Bank of Scotland PLC6.000% due 05/17/2017 150 159JPMorgan Chase & Co.1.040% due 10/12/2015 € 200 158

DESCRIPTIONPAR

(000S)PROCEEDS

(000S)


United Kingdom Gilt4.250% due 09/07/2039 £ 5,800 £ 5,835United Kingdom Gilt3.750% due 09/07/2019 4,800 4,674United Kingdom Gilt4.000% due 09/07/2016 4,000 4,372United Kingdom Gilt4.500% due 03/07/2019 3,200 3,486United Kingdom Gilt3.250% due 12/07/2011 1,400 1,449United Kingdom Gilt4.250% due 03/07/2036 900 864Fannie Mae6.000% due 09/01/2037 1,168 769United Kingdom Gilt4.750% due 09/07/2015 500 564Republic of Germany5.500% due 01/04/2031 € 400 427United Kingdom Gilt4.250% due 03/07/2011 £ 310 315United Kingdom Gilt6.250% due 11/25/2010 300 306United Kingdom Gilt4.500% due 09/07/2034 240 240US Treasury Bonds4.625% due 02/15/2040 $ 300 223BNP Paribas5.750% due 01/24/2022 £ 200 211National Australia Bank Ltd.5.500% due 05/20/2015 € 200 195HSBC Holdings PLC6.000% due 06/10/2019 200 194Rabobank Nederland NV4.750% due 01/15/2018 200 186US Treasury Bills0.215% due 08/26/2010 $ 280 182US Treasury Bills0.000% due 11/26/2010 280 177UBS AG4.500% due 09/16/2019 € 200 175JPMorgan Chase & Co.0.804% due 01/30/2014 200 167Goldman Sachs Group, Inc.6.125% due 02/14/2017 £ 150 159St. George Bank Ltd.6.500% due 06/24/2013 € 150 146Deutsche Bank AG5.125% due 08/31/2017 150 141




Portfolio of Investments and Assets Unconstrained Bond Fund31 December 2010

DESCRIPTION SHARES

FAIRVALUE(000S)

% OFNET

ASSETS


MUTUAL FUNDS (a)

PIMCO US Dollar Short-Term Floating NAVFund 6,975,538 $ 69,769 2.05

PAR(000S)


AGFS Funding Co.7.250% due 04/21/2015 $ 2,000 2,031 0.06CIT Group, Inc.6.250% due 08/11/2015 10,000 10,215 0.30Ford Motor Co.3.020% due 12/15/2013 20,486 20,432 0.603.040% due 12/15/2013 3,811 3,801 0.11HCA, Inc.2.553% due 11/17/2013 1,272 1,261 0.04Intelsat Corp.5.250% due 04/03/2018 8,000 8,088 0.24International Lease Finance Corp.7.000% due 03/17/2016 3,000 3,056 0.09Reynolds Group Holdings, Inc.6.500% due 05/05/2016 3,200 3,236 0.09

52,120 1.53


BANKING & FINANCE

Ally Financial, Inc.5.375% due 06/06/2011 € 2,000 2,723 0.085.375% due 06/06/2011 $ 786 795 0.02American Express Centurion Bank5.550% due 10/17/2012 800 856 0.03American Express Co.6.150% due 08/28/2017 30 34 0.007.000% due 03/19/2018 600 700 0.028.150% due 03/19/2038 10 13 0.00American Express Credit Corp.0.421% due 06/16/2011 100 100 0.005.875% due 05/02/2013 1,900 2,067 0.06American General Finance Corp.4.000% due 03/15/2011 400 399 0.014.125% due 11/29/2013 € 200 226 0.015.625% due 08/17/2011 $ 100 99 0.005.750% due 09/15/2016 200 156 0.01American International Group, Inc.4.000% due 09/20/2011 € 1,650 2,215 0.064.250% due 05/15/2013 $ 500 519 0.026.250% due 05/01/2036 1,950 1,883 0.068.000% due 05/22/2038 € 900 1,171 0.038.250% due 08/15/2018 $ 400 462 0.01Banco Santander Chile2.875% due 11/13/2012 2,000 2,011 0.06Bank of America Corp.5.650% due 05/01/2018 2,500 2,558 0.087.625% due 06/01/2019 3,000 3,460 0.10Bank of Nova Scotia1.650% due 10/29/2015 27,200 26,030 0.76Bank of Scotland Capital Funding LP7.754% due 03/29/2049 £ 1,400 1,797 0.05Barclays Bank PLC5.000% due 09/22/2016 $ 2,000 2,119 0.065.450% due 09/12/2012 5,200 5,575 0.166.750% due 05/22/2019 11,400 12,898 0.387.434% due 09/29/2049 6,900 6,814 0.2010.179% due 06/12/2021 660 823 0.0314.000% due 11/29/2049 £ 200 377 0.01Bear Stearns Cos., LLC6.400% due 10/02/2017 $ 3,105 3,545 0.107.250% due 02/01/2018 4,020 4,770 0.14BNP Paribas1.071% due 03/24/2011 € 6,000 8,045 0.247.195% due 06/29/2049 $ 500 483 0.01

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

BPCE S.A.2.375% due 10/04/2013 $ 12,500 $ 12,469 0.37Canadian Imperial Bank of Commerce2.000% due 02/04/2013 6,500 6,620 0.19Capital One Capital VI8.875% due 05/15/2040 1,100 1,154 0.03Cie de Financement Foncier2.500% due 09/16/2015 100 98 0.00CIT Group, Inc.7.000% due 05/01/2013 4,422 4,522 0.137.000% due 05/01/2014 333 337 0.017.000% due 05/01/2015 33 33 0.007.000% due 05/01/2016 1,555 1,565 0.057.000% due 05/01/2017 2,677 2,690 0.08Citigroup, Inc.2.286% due 08/13/2013 4,200 4,274 0.136.000% due 08/15/2017 185 201 0.016.500% due 08/19/2013 50 55 0.008.500% due 05/22/2019 28,400 35,312 1.03Countrywide Financial Corp.5.125% due 02/17/2011 £ 638 1,002 0.03Export-Import Bank of Korea4.000% due 01/29/2021 $ 4,500 4,221 0.12Fiat Finance & Trade S.A.6.625% due 02/15/2013 € 6,000 8,412 0.25FIH Erhvervsbank1.750% due 12/06/2012 $ 5,000 5,068 0.15Ford Motor Credit Co. LLC6.625% due 08/15/2017 7,600 7,998 0.247.000% due 10/01/2013 1,700 1,824 0.057.500% due 08/01/2012 1,200 1,276 0.047.800% due 06/01/2012 4,700 4,998 0.159.875% due 08/10/2011 800 833 0.02Gazprom Via White Nights Finance BV10.500% due 03/25/2014 1,000 1,196 0.04General Electric Capital Corp.0.604% due 06/20/2014 1,400 1,336 0.04Goldman Sachs Group, Inc.1.396% due 05/18/2015 € 400 499 0.015.350% due 01/15/2016 $ 5,000 5,378 0.165.375% due 02/15/2013 € 12,300 17,333 0.517.500% due 02/15/2019 $ 9,600 11,211 0.33Goodman Funding Pty Ltd.6.375% due 11/12/2020 5,000 4,804 0.14HSBC Bank PLC4.125% due 08/12/2020 2,000 1,926 0.06HSBC Bank USA N.A.4.875% due 08/24/2020 2,100 2,092 0.06HSBC Finance Corp.0.652% due 09/14/2012 3,000 2,958 0.095.700% due 06/01/2011 3,200 3,262 0.095.900% due 06/19/2012 600 636 0.026.750% due 05/15/2011 1,100 1,124 0.03International Lease Finance Corp.4.750% due 01/13/2012 1,200 1,213 0.045.000% due 09/15/2012 700 708 0.025.300% due 05/01/2012 2,200 2,236 0.075.750% due 06/15/2011 2,450 2,474 0.075.875% due 05/01/2013 2,700 2,744 0.086.500% due 09/01/2014 14,200 15,123 0.446.625% due 11/15/2013 4,300 4,413 0.136.750% due 09/01/2016 14,700 15,766 0.46IPIC GMTN Ltd.5.000% due 11/15/2020 6,000 5,909 0.17JPMorgan Chase & Co.4.950% due 03/25/2020 800 823 0.026.300% due 04/23/2019 800 912 0.03LBG Capital No.1 PLC6.439% due 05/23/2020 € 1,000 1,087 0.037.588% due 05/12/2020 £ 17,505 23,707 0.707.625% due 10/14/2020 € 50 59 0.007.867% due 12/17/2019 £ 100 137 0.007.869% due 08/25/2020 1,100 1,515 0.05LBG Capital No.2 PLC6.385% due 05/12/2020 € 1,700 1,859 0.069.334% due 02/07/2020 £ 300 448 0.0111.250% due 09/14/2023 200 324 0.01

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

15.000% due 12/21/2019 € 800 $ 1,401 0.0415.000% due 12/21/2019 £ 200 399 0.01Lloyds Banking Group PLC9.125% due 10/17/2011 801 1,305 0.04Lloyds TSB Bank PLC4.000% due 09/29/2020 € 21,400 27,297 0.805.800% due 01/13/2020 $ 27,200 26,903 0.796.350% due 10/29/2049 € 200 244 0.0112.000% due 12/29/2049 $ 1,100 1,201 0.03Marsh & McLennan Cos., Inc.9.250% due 04/15/2019 750 948 0.03Merrill Lynch & Co., Inc.1.328% due 05/30/2014 € 10,600 13,354 0.396.050% due 08/15/2012 $ 4,900 5,190 0.156.400% due 08/28/2017 1,000 1,059 0.036.875% due 04/25/2018 7,710 8,450 0.25Morgan Stanley0.739% due 10/18/2016 1,100 1,017 0.031.377% due 04/13/2016 € 15,000 18,099 0.535.370% due 03/01/2013 AUD 400 397 0.017.300% due 05/13/2019 $ 13,600 15,333 0.45MUFG Capital Finance 2 Ltd.4.850% due 07/29/2049 € 100 124 0.00MUFG Capital Finance 4 Ltd.5.271% due 01/29/2049 100 125 0.00MUFG Capital Finance 5 Ltd.6.299% due 01/29/2049 £ 50 73 0.00Nile Finance Ltd.5.250% due 08/05/2015 $ 17,300 17,862 0.52Ohio National Financial Services, Inc.6.375% due 04/30/2020 1,000 1,043 0.03Qatari Diar Finance QSC5.000% due 07/21/2020 7,500 7,492 0.22Royal Bank of Scotland Group PLC6.666% due 04/29/2049 CAD 1,300 986 0.036.990% due 10/29/2049 $ 3,200 2,480 0.07Royal Bank of Scotland PLC4.500% due 01/28/2016 € 500 582 0.024.625% due 09/22/2021 2,500 2,753 0.085.000% due 05/17/2015 $ 10,000 10,025 0.295.625% due 08/24/2020 5,400 5,379 0.16RZD Capital Ltd.5.739% due 04/03/2017 5,500 5,736 0.17Santander Finance Preferred S.A. Unipersonal11.300% due 07/29/2049 £ 150 234 0.01Sberbank Via SB Capital S.A.5.400% due 03/24/2017 $ 1,000 1,003 0.03SLM Corp.0.518% due 10/25/2011 48 47 0.000.588% due 01/27/2014 900 811 0.021.379% due 04/26/2011 € 100 134 0.012.872% due 05/01/2014 (b) $ 108 98 0.003.125% due 09/17/2012 € 1,300 1,702 0.053.144% due 03/17/2014 (b) $ 210 194 0.013.172% due 03/01/2014 (b) 250 229 0.013.269% due 11/21/2013 (b) 500 463 0.013.472% due 11/01/2013 (b) 95 87 0.004.875% due 12/17/2012 £ 500 768 0.028.450% due 06/15/2018 $ 800 833 0.03Societe Generale7.756% due 05/29/2049 € 200 264 0.01Stadshypotek AB1.450% due 09/30/2013 $ 6,100 6,097 0.18Stone Street Trust5.902% due 12/15/2015 7,000 7,227 0.21TNK-BP Finance S.A.6.250% due 02/02/2015 600 640 0.026.625% due 03/20/2017 1,100 1,172 0.037.875% due 03/13/2018 500 569 0.02UBS AG4.875% due 08/04/2020 1,800 1,835 0.055.750% due 04/25/2018 2,000 2,177 0.065.875% due 12/20/2017 800 881 0.03Wachovia Corp.0.572% due 06/15/2017 105 97 0.00Waha Aerospace BV3.925% due 07/28/2020 19,800 20,002 0.59


Portfolio of Investments and Assets Unconstrained Bond Fund (Cont.)

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Wells Fargo & Co.5.250% due 10/23/2012 $ 5,000 $ 5,363 0.16

566,081 16.59

INDUSTRIALS

Alcoa, Inc.6.150% due 08/15/2020 1,000 1,029 0.03America Movil SAB de C.V.6.125% due 03/30/2040 3,300 3,516 0.10Anadarko Petroleum Corp.6.450% due 09/15/2036 2,000 2,001 0.06CBS Corp.8.875% due 05/15/2019 1,000 1,260 0.04Centex Corp.6.500% due 05/01/2016 500 512 0.01Continental Airlines, Inc.6.750% due 09/15/2015 2,000 2,070 0.06CSC Holdings LLC8.500% due 06/15/2015 5,400 5,886 0.17Daimler Finance N.A. LLC5.750% due 09/08/2011 3,600 3,720 0.115.875% due 03/15/2011 2,000 2,020 0.066.500% due 11/15/2013 1,600 1,813 0.057.300% due 01/15/2012 600 638 0.027.750% due 01/18/2011 4,100 4,109 0.128.500% due 01/18/2031 100 134 0.00Daimler International Finance BV5.875% due 09/08/2011 € 5,000 6,900 0.20Delta Air Lines 2010-2 Class A Pass-Through Trust4.950% due 05/23/2019 $ 1,000 1,004 0.03Deluxe Corp.5.125% due 10/01/2014 1,000 992 0.03DISH DBS Corp.6.375% due 10/01/2011 4,390 4,533 0.136.625% due 10/01/2014 1,000 1,040 0.03Dow Chemical Co.6.125% due 02/01/2011 600 602 0.02Fresenius Medical Care Capital Trust IV7.875% due 06/15/2011 1,600 1,636 0.05Georgia-Pacific LLC5.400% due 11/01/2020 4,775 4,730 0.147.125% due 01/15/2017 6,000 6,420 0.198.125% due 05/15/2011 1,500 1,556 0.058.250% due 05/01/2016 2,870 3,254 0.09Harvest Operations Corp.6.875% due 10/01/2017 1,100 1,138 0.03HCA, Inc.7.875% due 02/15/2020 1,400 1,505 0.059.625% due 11/15/2016 (c) 8,937 9,596 0.28Hyatt Hotels Corp.6.875% due 08/15/2019 1,000 1,095 0.03Limited Brands, Inc.6.900% due 07/15/2017 4,621 4,933 0.14Macy’s Retail Holdings, Inc.5.875% due 01/15/2013 1,200 1,278 0.04Masco Corp.5.850% due 03/15/2017 500 499 0.016.125% due 10/03/2016 3,000 3,070 0.09MGM Resorts International9.000% due 03/15/2020 7,000 7,735 0.23New Albertsons, Inc.7.500% due 02/15/2011 600 604 0.02Noble Group Ltd.6.625% due 08/05/2020 500 525 0.02Office Depot, Inc.6.250% due 08/15/2013 1,000 1,005 0.03Petrobras International Finance Co.7.875% due 03/15/2019 1,900 2,256 0.07Petroleos Mexicanos5.500% due 01/21/2021 6,500 6,614 0.19Pulte Group, Inc.6.250% due 02/15/2013 2,200 2,249 0.07Reynolds Group Issuer, Inc.7.125% due 04/15/2019 7,000 7,157 0.21

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Rohm & Haas Co.6.000% due 09/15/2017 $ 500 $ 548 0.02Ryland Group, Inc.8.400% due 05/15/2017 300 334 0.01Shell International Finance BV3.100% due 06/28/2015 8,700 8,944 0.26Sprint Capital Corp.7.625% due 01/30/2011 11,150 11,192 0.33Starwood Hotels & Resorts Worldwide, Inc.7.875% due 05/01/2012 1,000 1,070 0.03Steel Dynamics, Inc.7.375% due 11/01/2012 6,505 6,895 0.20Toll Brothers Finance Corp.5.150% due 05/15/2015 4,800 4,911 0.148.910% due 10/15/2017 1,300 1,536 0.05Transocean, Inc.6.500% due 11/15/2020 7,500 7,977 0.23United Airlines, Inc. Pass-Through Trust10.400% due 11/01/2016 661 763 0.02UnitedHealth Group, Inc.1.586% due 02/07/2011 500 501 0.01Volkswagen International Finance NV5.625% due 02/09/2012 € 5,000 7,025 0.21WM Wrigley Jr. Co.2.450% due 06/28/2012 $ 2,000 2,015 0.06Wynn Las Vegas LLC7.750% due 08/15/2020 3,500 3,806 0.117.875% due 11/01/2017 1,400 1,516 0.05

171,667 5.03

UTILITIES

BellSouth Corp.6.550% due 06/15/2034 200 211 0.01BP Capital Markets PLC0.442% due 04/11/2011 2,200 2,201 0.062.750% due 06/14/2011 CHF 1,600 1,730 0.052.750% due 02/27/2012 $ 500 506 0.013.125% due 03/10/2012 200 205 0.013.125% due 10/01/2015 4,400 4,402 0.133.625% due 05/08/2014 300 310 0.014.500% due 11/08/2012 € 1,450 2,041 0.064.500% due 10/01/2020 $ 6,000 5,997 0.184.750% due 03/10/2019 620 640 0.02British Telecommunications PLC9.875% due 12/15/2030 2,000 2,672 0.08Cellco Partnership3.750% due 05/20/2011 100 101 0.00El Paso Performance-Linked Trust7.750% due 07/15/2011 1,700 1,749 0.05Enel Finance International S.A.3.875% due 10/07/2014 300 305 0.01Gazprom Via Gaz Capital S.A.6.212% due 11/22/2016 500 533 0.026.510% due 03/07/2022 1,650 1,687 0.058.146% due 04/11/2018 1,900 2,203 0.069.250% due 04/23/2019 2,100 2,591 0.08Kinder Morgan Energy Partners LP5.300% due 09/15/2020 4,000 4,161 0.12PSEG Power LLC6.950% due 06/01/2012 155 167 0.00Qwest Corp.7.625% due 06/15/2015 300 340 0.018.375% due 05/01/2016 3,000 3,570 0.10Sprint Capital Corp.8.375% due 03/15/2012 800 850 0.03Sprint Nextel Corp.8.375% due 08/15/2017 900 970 0.03

40,142 1.18



Amgen, Inc.0.000% due 03/01/2032 600 463 0.010.125% due 02/01/2011 8,170 8,201 0.24

8,664 0.25

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS



5.875% due 06/01/2047 $ 1,500 $ 989 0.036.500% due 06/01/2047 200 145 0.00California, Economic Recovery General Obligation

Bonds, Series 20095.000% due 07/01/2020 1,100 1,175 0.03California, General Obligation Bonds, Series 20103.950% due 11/01/2015 6,000 5,917 0.177.600% due 11/01/2040 11,000 11,466 0.347.950% due 03/01/2036 14,130 14,506 0.42Georgia, Municipal Electric Authority Revenue Bonds,

Series 20106.655% due 04/01/2057 3,000 2,905 0.09Illinois, General Obligation Bonds, Series 20104.071% due 01/01/2014 19,000 19,182 0.56Indiana Municipal Power Agency Build America

General Obligation Bonds, Series 20105.594% due 01/01/2042 7,000 6,379 0.19Los Angeles, California, Community College District

General Obligation Bonds, Series 20106.750% due 08/01/2049 11,000 11,363 0.33Los Angeles, California, Department of Water & Power

Revenue Bonds, Series 20105.716% due 07/01/2039 3,000 2,734 0.086.166% due 07/01/2040 1,500 1,418 0.04Los Angeles, California, Unified School District

General Obligation Bonds, Series 20105.981% due 05/01/2027 5,500 5,338 0.16Los Angeles, California, Waste Water Systems

Revenue Bonds, Series 20105.713% due 06/01/2039 2,000 1,869 0.055.813% due 06/01/2040 1,000 929 0.03New York, New York, Metropolitan Transportation

Authority Revenue Bonds, Series 20107.134% due 11/15/2030 2,000 2,027 0.06Sacramento, California, Build America General

Obligation Bonds, Series 20097.300% due 10/01/2039 800 806 0.037.550% due 04/01/2039 100 104 0.00Tacoma, Washington, Electric Systems Revenue

Bonds, Series 20105.966% due 01/01/2035 2,000 1,972 0.06Texas, General Obligation Bonds, Series 20084.750% due 04/01/2037 900 867 0.03Texas, General Obligation Bonds, Series 20103.203% due 04/01/2019 2,000 1,908 0.064.273% due 04/01/2026 2,000 1,824 0.05

95,823 2.81


Fannie Mae0.381% due 03/25/2034 905 897 0.030.611% due 03/25/2037 355 357 0.010.761% due 03/25/2017 185 187 0.001.542% due 11/01/2042 243 243 0.013.500% due 12/01/2039 1,827 1,747 0.054.000% due 06/01/2013 -

01/01/2041 950,138 960,727 28.164.500% due 02/01/2023 -

09/01/2040 110,544 114,751 3.365.000% due 01/01/2024 -

05/01/2040 49,503 52,464 1.545.500% due 01/01/2034 -

10/01/2039 104,108 111,492 3.27Freddie Mac1.542% due 10/25/2044 343 336 0.011.742% due 07/25/2044 675 662 0.022.575% due 09/01/2027 9 9 0.003.614% due 09/27/2012 119 120 0.004.500% due 11/15/2019 -

12/01/2039 23,304 23,904 0.705.000% due 04/01/2030 4,703 4,937 0.15Ginnie Mae3.125% due 11/20/2029 15 16 0.00


31 December 2010

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

4.000% due 01/15/2040 -02/01/2041 $ 192,000 $ 193,027 5.66

1,465,876 42.97


Treasury Inflation Protected Securities (b)1.250% due

07/15/2020 (d) 113.124 115,987 3.402.125% due 02/15/2040 3,238 3,440 0.10US Treasury Bonds5.500% due 08/15/2028 46,700 55,033 1.616.125% due 11/15/2027 65,900 82,797 2.436.250% due 08/15/2023 11,000 13,828 0.418.000% due 11/15/2021 11,500 16,267 0.488.125% due 05/15/2021 -

08/15/2021 16,400 23,319 0.688.500% due 02/15/2020 15,100 21,607 0.638.750% due 05/15/2020 -

08/15/2020 12,000 17,531 0.51US Treasury Notes0.375% due 10/31/2012 3,900 3,889 0.111.875% due 09/30/2017 5,300 5,048 0.152.125% due 12/31/2015 3,500 3,519 0.102.625% due 02/29/2016 -

08/15/2020 78,000 78,891 2.322.750% due 11/30/2016 -

02/15/2019 (d) 254,600 257,358 7.543.125% due 01/31/2017 -

05/15/2019 102,800 104,043 3.053.250% due 07/31/2016 2,800 2,947 0.093.375% due

11/15/2019 (d) 23,300 23,790 0.703.625% due 08/15/2019 -

02/15/2020 (d) 339,900 354,418 10.391,183,712 34.70


Adjustable Rate Mortgage Trust3.047% due 01/25/2036 338 240 0.013.065% due 03/25/2037 75 40 0.00American Home Mortgage Investment Trust2.264% due 10/25/2034 718 637 0.02Banc of America Alternative Loan Trust5.500% due 01/25/2020 763 765 0.02Banc of America Funding Corp.2.861% due 05/25/2035 803 783 0.023.085% due 12/20/2034 100 67 0.005.634% due 06/20/2036 180 124 0.015.893% due 01/20/2047 510 370 0.016.000% due 03/25/2037 1,000 790 0.026.078% due 10/20/2046 942 840 0.03Banc of America Mortgage Securities, Inc.2.934% due 05/25/2035 4,200 3,430 0.103.180% due 02/25/2035 1,354 1,189 0.043.467% due 02/25/2034 104 88 0.00Bear Stearns Adjustable Rate Mortgage Trust2.330% due 08/25/2035 5,121 4,916 0.152.941% due 08/25/2035 122 89 0.003.010% due 01/25/2035 451 401 0.013.200% due 02/25/2034 443 396 0.015.325% due 08/25/2035 857 759 0.025.326% due 05/25/2047 1,708 1,294 0.045.380% due 02/25/2036 223 191 0.01Bear Stearns Alternative-A Trust0.501% due 02/25/2036 2,248 1,466 0.042.786% due 04/25/2035 253 151 0.012.875% due 05/25/2035 263 221 0.012.890% due 01/25/2034 325 299 0.012.955% due 09/25/2035 2,823 2,164 0.065.091% due 11/25/2036 117 82 0.005.208% due 11/25/2036 524 327 0.01Bear Stearns Structured Products, Inc.2.360% due 01/26/2036 387 254 0.01Celtic Residential Irish Mortgage Securitisation1.158% due 12/14/2048 € 3,200 3,127 0.09Chase Manhattan Bank-First Union National Bank7.625% due 08/15/2031 $ 123 123 0.00

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Chase Mortgage Finance Corp.3.051% due 02/25/2037 $ 437 $ 435 0.01Chaseflex Trust6.350% due 08/25/2037 2,000 1,489 0.04Citigroup & Deutsche Bank Commercial Mortgage

Trust5.205% due 12/11/2049 5,700 5,864 0.17Citigroup Mortgage Loan Trust, Inc.2.560% due 08/25/2035 969 874 0.033.349% due 02/25/2034 622 602 0.025.500% due 09/25/2035 144 140 0.005.781% due 07/25/2037 135 100 0.005.873% due 09/25/2037 698 507 0.01Countrywide Alternative Loan Trust0.431% due 01/25/2037 575 343 0.010.431% due 05/25/2047 4,015 2,479 0.070.441% due 02/20/2047 204 120 0.000.451% due 09/25/2046 161 98 0.000.456% due 12/20/2046 790 416 0.010.471% due 03/20/2046 249 144 0.010.471% due 05/20/2046 1,375 774 0.020.591% due 11/20/2035 3,476 2,146 0.060.711% due 09/25/2035 1,374 980 0.030.761% due 12/25/2035 677 417 0.011.161% due 12/25/2036 2,783 1,535 0.051.328% due 12/25/2035 302 195 0.015.000% due 03/25/2035 2,789 2,494 0.075.250% due 10/25/2033 500 475 0.015.500% due 11/25/2035 997 750 0.025.500% due 01/25/2036 200 148 0.015.724% due 02/25/2037 157 116 0.005.750% due 03/25/2037 2,408 1,889 0.066.000% due 04/25/2036 1,384 1,173 0.046.000% due 05/25/2036 588 418 0.016.000% due 05/25/2037 405 257 0.016.000% due 08/25/2037 773 585 0.02Countrywide Home Loan Mortgage Pass-Through

Trust0.551% due 04/25/2035 108 74 0.000.581% due 03/25/2035 1,307 822 0.035.500% due 11/25/2035 78 73 0.006.500% due 11/25/2034 253 254 0.01Credit Suisse Mortgage Capital Certificates0.330% due 02/15/2022 2,848 2,699 0.085.383% due 02/15/2040 500 520 0.015.467% due 09/18/2039 500 521 0.026.250% due 08/25/2036 500 394 0.01DECO Series1.192% due 10/27/2020 € 2,420 2,766 0.08Deutsche Alternative-A Securities, Inc.0.351% due 08/25/2037 $ 161 160 0.010.361% due 10/25/2036 259 92 0.00EMF-NL1.787% due 04/17/2041 € 400 425 0.011.887% due 10/17/2039 156 205 0.011.987% due 07/17/2041 100 86 0.00Eurosail PLC1.737% due 10/17/2040 272 338 0.01First Horizon Alternative Mortgage Securities2.545% due 09/25/2034 $ 900 721 0.02First Horizon Asset Securities, Inc.2.775% due 05/25/2035 210 185 0.01First Republic Mortgage Loan Trust0.610% due 11/15/2031 246 225 0.01Fosse Master Issuer PLC2.259% due 10/18/2054 £ 29,150 45,754 1.342.378% due 10/18/2054 € 9,700 12,993 0.38GE Capital Commercial Mortgage Corp.5.275% due 03/10/2044 $ 156 156 0.00German Residential Asset Note Distributor PLC1.240% due 07/20/2016 € 2,626 3,114 0.09Gracechurch Mortgage Financing PLC0.364% due 11/20/2056 $ 2,050 2,018 0.06Granite Master Issuer PLC0.913% due 12/20/2054 € 3,854 4,806 0.14Greenpoint Mortgage Funding Trust0.531% due 11/25/2045 $ 370 249 0.01

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

GS Mortgage Securities Corp. II4.295% due 01/10/2040 $ 542 $ 557 0.025.374% due 05/17/2045 400 429 0.01GSR Mortgage Loan Trust2.825% due 09/25/2035 305 293 0.015.000% due 05/25/2037 430 418 0.015.750% due 03/25/2036 192 171 0.005.750% due 01/25/2037 200 182 0.016.000% due 03/25/2037 494 447 0.016.000% due 05/25/2037 296 280 0.016.500% due 09/25/2036 439 387 0.01Harborview Mortgage Loan Trust0.481% due 05/19/2035 214 140 0.000.501% due 03/19/2036 640 397 0.010.531% due 03/19/2035 234 168 0.015.132% due 10/19/2033 414 425 0.01Impac CMB Trust0.901% due 09/25/2034 70 54 0.000.921% due 03/25/2035 131 100 0.001.181% due 11/25/2034 214 142 0.01Indymac IMSC Mortgage Loan Trust0.441% due 07/25/2047 492 251 0.015.506% due 06/25/2037 (e) 302 159 0.00Indymac Index Mortgage Loan Trust0.461% due 06/25/2047 415 233 0.015.341% due 05/25/2036 7,381 6,181 0.18JPMorgan Chase Commercial Mortgage Securities

Corp.5.298% due 05/15/2047 2,000 2,036 0.06JPMorgan Mortgage Trust2.886% due 05/25/2034 57 55 0.005.411% due 11/25/2035 374 353 0.015.686% due 04/25/2036 313 314 0.015.750% due 01/25/2036 474 430 0.016.000% due 08/25/2037 1,868 1,797 0.056.250% due 07/25/2036 600 522 0.026.500% due 08/25/2036 1,500 1,237 0.04LB-UBS Commercial Mortgage Trust4.243% due 10/15/2029 322 325 0.01Luminent Mortgage Trust0.441% due 12/25/2036 274 171 0.00MASTR Adjustable Rate Mortgages Trust0.471% due 04/25/2046 678 404 0.012.516% due 05/25/2034 431 410 0.01MASTR Alternative Loans Trust0.661% due 11/25/2033 101 98 0.00MASTR Seasoned Securities Trust4.174% due 10/25/2032 832 756 0.02Mellon Residential Funding Corp.0.740% due 06/15/2030 242 237 0.01Merrill Lynch Countrywide Commercial Mortgage

Trust4.275% due 08/12/2048 (i) 259 259 0.01Merrill Lynch Floating Rate Trust0.802% due 07/09/2021 800 773 0.02Merrill Lynch Mortgage Investors, Inc.0.471% due 02/25/2036 689 533 0.022.773% due 02/25/2035 174 160 0.00MLCC Mortgage Investors, Inc.0.511% due 11/25/2035 290 258 0.01Morgan Stanley Mortgage Loan Trust5.750% due 09/25/2022 131 123 0.006.000% due 10/25/2037 778 587 0.02Newgate Funding PLC1.349% due 12/15/2050 £ 278 420 0.011.626% due 12/15/2050 € 2,100 2,370 0.07Nomura Asset Acceptance Corp.2.730% due 10/25/2035 $ 432 331 0.01Opteum Mortgage Acceptance Corp.5.675% due 12/25/2035 888 866 0.02RBSCF Trust5.902% due 02/16/2051 500 531 0.02Residential Accredit Loans, Inc.0.421% due 01/25/2037 791 471 0.010.471% due 04/25/2046 389 170 0.010.511% due 08/25/2037 719 446 0.010.541% due 12/25/2045 334 194 0.01



DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Residential Asset Securitization Trust0.961% due 10/25/2035 $ 2,153 $ 1,541 0.055.500% due 07/25/2035 34 28 0.005.500% due 09/25/2035 128 108 0.005.500% due 12/25/2035 353 301 0.015.750% due 02/25/2036 494 368 0.016.000% due 07/25/2037 974 727 0.026.250% due 07/25/2036 (e) 825 523 0.02Residential Funding Mortgage Securities I5.500% due 11/25/2035 2,000 1,717 0.05Structured Adjustable Rate Mortgage Loan Trust2.579% due 06/25/2035 281 224 0.005.190% due 12/25/2034 238 226 0.01Structured Asset Mortgage Investments, Inc.0.471% due 08/25/2036 309 195 0.010.481% due 05/25/2046 509 272 0.010.511% due 07/19/2035 158 113 0.00Structured Asset Securities Corp.2.581% due 12/25/2033 740 680 0.022.662% due 08/25/2032 28 27 0.002.856% due 10/25/2035 1,159 932 0.03TBW Mortgage-Backed Pass-Through Certificates0.371% due 01/25/2037 (e) 2 2 0.00Thornburg Mortgage Securities Trust0.371% due 11/25/2046 191 188 0.010.381% due 10/25/2046 125 124 0.000.941% due 04/25/2043 2,062 1,943 0.06WaMu Mortgage Pass-Through Certificates0.521% due 11/25/2045 415 351 0.010.541% due 11/25/2045 218 168 0.010.551% due 10/25/2045 1,076 915 0.030.801% due 12/25/2027 218 193 0.011.028% due 03/25/2047 1,138 707 0.021.068% due 01/25/2047 401 246 0.011.078% due 06/25/2047 76 21 0.001.098% due 05/25/2047 3,081 2,050 0.061.138% due 12/25/2046 730 528 0.021.148% due 12/25/2046 608 397 0.011.728% due 08/25/2042 145 132 0.002.594% due 12/25/2035 1,000 812 0.022.722% due 04/25/2035 1,020 857 0.032.760% due 08/25/2034 4,561 4,461 0.132.785% due 03/25/2034 4,125 3,909 0.112.904% due 02/27/2034 170 174 0.013.163% due 12/25/2046 953 732 0.024.991% due 03/25/2037 95 78 0.005.141% due 01/25/2037 2,790 2,125 0.065.302% due 12/25/2036 159 123 0.005.415% due 12/25/2036 442 341 0.015.489% due 11/25/2036 471 367 0.015.530% due 05/25/2037 237 193 0.015.549% due 06/25/2037 572 451 0.015.721% due 02/25/2037 149 116 0.005.854% due 09/25/2036 868 682 0.02Washington Mutual Alternative Mortgage

Pass-Through Certificates0.961% due 01/25/2036 2,258 1,433 0.04Wells Fargo Mortgage-Backed Securities Trust2.848% due 03/25/2035 355 327 0.012.906% due 05/25/2035 402 383 0.014.735% due 12/25/2033 3,178 3,181 0.095.000% due 11/25/2036 6 6 0.005.402% due 07/25/2036 1,090 923 0.035.645% due 04/25/2036 2,000 1,838 0.056.000% due 03/25/2037 1,000 859 0.036.000% due 04/25/2037 900 806 0.026.000% due 07/25/2037 1,000 995 0.03Windermere CMBS PLC1.221% due 08/22/2016 € 2,327 2,800 0.08

207,206 6.07


Asset-Backed European Securitisation Transaction Srl1.711% due 09/21/2020 14,591 19,585 0.57Bayview Financial Acquisition Trust5.402% due 12/28/2035 $ 127 127 0.005.483% due 02/28/2041 1,571 1,581 0.05

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Bear Stearns Asset-Backed Securities Trust0.461% due 06/25/2036 $ 501 $ 491 0.011.261% due 10/25/2037 3,527 2,338 0.073.221% due 10/25/2036 888 650 0.023.433% due 07/25/2036 1,335 871 0.025.500% due 08/25/2036 860 591 0.02Bear Stearns Second Lien Trust0.481% due 12/25/2036 1,210 1,076 0.03Citigroup Mortgage Loan Trust, Inc.0.421% due 12/25/2036 700 277 0.010.641% due 12/25/2033 211 184 0.00Countrywide Asset-Backed Certificates0.311% due 06/25/2047 30 30 0.000.371% due 10/25/2046 4 3 0.000.601% due 12/25/2036 447 203 0.000.651% due 11/25/2034 261 230 0.010.861% due 04/25/2035 70 70 0.004.456% due 10/25/2035 417 414 0.015.430% due 04/25/2036 1,232 915 0.035.683% due 10/25/2046 2,000 1,964 0.06Credit-Based Asset Servicing & Securitization LLC0.331% due 01/25/2037 245 99 0.000.381% due 07/25/2037 166 150 0.014.830% due 01/25/2037 250 118 0.005.419% due 03/25/2037 500 277 0.01Delta Funding Home Equity Loan Trust6.768% due 12/15/2029 116 109 0.00EMC Mortgage Loan Trust0.631% due 05/25/2040 592 482 0.01Gallatin Funding Ltd.0.536% due 08/15/2017 2,800 2,593 0.08GE-WMC Mortgage Securities LLC0.301% due 08/25/2036 72 29 0.00Globaldrive BV2.413% due 04/20/2018 € 8,311 11,235 0.334.000% due 10/20/2016 5,743 7,813 0.23Heloc Summit Pels Trust0.662% due 08/12/2047 $ 801 578 0.02HSBC Home Equity Loan Trust0.551% due 01/20/2034 815 744 0.02Indymac Residential Asset-Backed Trust0.391% due 04/25/2047 41 40 0.00IXIS Real Estate Capital Trust0.491% due 01/25/2037 500 199 0.01JPMorgan Mortgage Acquisition Corp.0.401% due 10/25/2036 1,500 747 0.025.830% due 07/25/2036 1,000 551 0.02Long Beach Mortgage Loan Trust0.421% due 09/25/2036 945 360 0.010.561% due 02/25/2036 500 192 0.010.601% due 01/25/2046 5,000 2,153 0.06Magnolia Funding Ltd.3.000% due 04/20/2017 € 3,034 4,055 0.12MASTR Asset-Backed Securities Trust0.321% due 11/25/2036 $ 1 1 0.00MASTR Specialized Loan Trust0.611% due 05/25/2037 344 173 0.00Merit Securities Corp.6.690% due 07/28/2033 284 308 0.01Merrill Lynch Mortgage Investors, Inc.0.331% due 07/25/2037 7 7 0.00Morgan Stanley ABS Capital I0.411% due 06/25/2036 513 457 0.011.311% due 09/25/2033 427 340 0.01Plymouth Rock CLO Ltd.1.920% due 02/16/2019 18,300 18,238 0.53Renaissance Home Equity Loan Trust5.686% due 09/25/2037 1,000 640 0.02Residential Asset Mortgage Products, Inc.0.341% due 02/25/2037 25 25 0.000.531% due 09/25/2035 154 153 0.01Residential Asset Securities Corp.5.010% due 04/25/2033 1,235 1,100 0.036.228% due 04/25/2032 162 162 0.01

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

SLM Student Loan Trust1.788% due

04/25/2023 $ 252 $ 261 0.01Soundview Home Equity Loan Trust0.541% due

10/25/2036 2,000 866 0.03Specialty Underwriting & Residential Finance0.411% due

09/25/2037 800 281 0.01Structured Asset Securities Corp.0.551% due

01/25/2033 33 30 0.004.670% due

03/25/2035 176 175 0.01Volkswagen Car Lease1.491% due

06/21/2016 € 11,938 15,998 0.47WaMu Asset-Backed Certificates0.411% due

01/25/2037 $ 1,500 645 0.02103,984 3.05

SOVEREIGN ISSUES

Australia Government Bond4.750% due

06/15/2016 AUD 32,300 32,103 0.946.000% due

02/15/2017 13,800 14,567 0.43Brazil Notas do Tesouro Nacional Series F10.000% due

01/01/2012 BRL 312 185 0.0110.000% due

01/01/2017 3,200 1,767 0.05Canada Government Bond1.000% due

09/01/2011 CAD 29,000 29,145 0.851.500% due

12/01/2012 60,400 60,603 1.78Japan Treasury Bills0.107% due

01/31/2011 JPY 1,930,000 23,795 0.700.120% due

03/28/2011 2,950,000 36,385 1.060.125% due

03/22/2011 1,680,000 20,721 0.61Province of Ontario Canada4.600% due

06/02/2039 CAD 1,000 1,046 0.03Qatar Government International Bond5.250% due

01/20/2020 $ 900 954 0.03221,271 6.49

SHARES


American International Group, Inc.8.500% due

02/15/2011 1,600 14 0.00


Citigroup, Inc.6.150% due

12/15/2012 100,000 1,305 0.04Royal Bank of Scotland Group PLC7.640% due

03/29/2049 34,000 2,278 0.07UBS AG4.280% due

04/29/2049 3,000 342 0.013,925 0.12


31 December 2010

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS



(Dated 12/31/2010.Collateralised by USTreasury Notes 3.625%due 02/15/2020 valuedat $7,178. Repurchaseproceeds are $7,000.) $ 7,000 $ 7,000 0.21



9,200 0.27




FUTURES


Month# of

Contracts


% ofNet Assets

3-Month Euribor Interest Rate June Futures Long 06/2011 274 $ 64 0.0090-Day Eurodollar March Futures Long 03/2011 819 13 0.00Euro-Bund 10-Year Bond March Futures Short 03/2011 20 (18) 0.00Japan Government 10-Year Bond March Futures Short 03/2011 6 (28) 0.00US Treasury 5-Year Note March Futures Short 03/2011 3,044 1,292 0.04US Treasury 10-Year Note March Futures Short 03/2011 3,406 300 0.01US Treasury 20-Year Note March Futures Short 03/2011 2,381 (2,055) (0.06)

$ (432) (0.01)

PURCHASED OPTIONS

DescriptionExercise

PriceExpiration

Date# of

Contracts CostFair

Value% of

Net Assets

Call - CBOT US Treasury 10-Year Note March Futures $ 136.000 02/18/2011 1,700 $ 16 $ 26 0.00

WRITTEN OPTIONS

DescriptionExercise

PriceExpiration

Date# of


Value% of

Net Assets

Call - CBOT US Treasury 10-Year Note February Futures $ 129.000 01/21/2011 102 $ (41) $ (1) 0.00Call - IMM Eurodollar September Futures 99.375 09/19/2011 172 (68) (101) (0.01)Put - CBOT US Treasury 10-Year Note February Futures 124.000 01/21/2011 102 (51) (370) (0.01)Put - IMM Eurodollar September Futures 99.375 09/19/2011 172 (107) (71) 0.00

$ (267) $ (543) (0.02)




PURCHASED OPTIONS


RateExpiration


FairValue

% ofNet Assets


Put - OTC Dow Jones iTraxx Europe Series 14 BNP Sell 1.200% 03/16/2011 € 34,900 $ 255 $ 188 0.01




ExerciseRate

ExpirationDate

NotionalAmount Cost

FairValue

% ofNet Assets


Put - OTC 30-Year Interest Rate Swap BCLY 6-Month EUR-LIBOR Receive 3.800% 12/18/2013 € 34,500 $ 4,408 $ 4,028 0.12Put - OTC 1-Year Interest Rate Swap GSC 3-Month USD-LIBOR Receive 2.000% 11/19/2012 $ 26,000 63 169 0.00Put - OTC 30-Year Interest Rate Swap JPM 3-Month USD-LIBOR Receive 4.650% 12/13/2013 108,500 12,251 11,531 0.34

$ 16,722 $ 15,728 0.46


PriceExpiration


FairValue

% ofNet Assets

OPTIONS ON SECURITIES

Put - OTC Fannie Mae 4.500% due 02/01/2041 CSFB $ 84.000 02/03/2011 $ 26,000 $ 3 $ 0 0.00

WRITTEN OPTIONS


RateExpiration


FairValue

% ofNet Assets


Put - OTC Dow Jones iTraxx Europe Series 14 BNP Buy 1.500% 03/16/2011 € 69,800 $ (264) $ (163) (0.01)Put - OTC Dow Jones iTraxx Europe Series 14 UBS Buy 1.300% 01/19/2011 30,400 (107) (21) 0.00Call - OTC Dow Jones CDX N.A. IG15 Index BNP Sell 0.800% 03/16/2011 $ 8,000 (18) (16) 0.00Put - OTC Dow Jones CDX N.A. IG15 Index BNP Buy 1.300% 03/16/2011 8,000 (21) (8) 0.00Call - OTC Dow Jones CDX N.A. IG15 Index MSC Sell 0.800% 01/19/2011 5,700 (9) (4) 0.00Call - OTC Dow Jones CDX N.A. IG15 Index MSC Sell 0.800% 03/16/2011 6,600 (13) (13) 0.00Put - OTC Dow Jones CDX N.A. IG15 Index MSC Buy 1.000% 03/16/2011 36,200 (116) (89) (0.01)Put - OTC Dow Jones CDX N.A. IG15 Index MSC Buy 1.300% 03/16/2011 6,600 (23) (6) 0.00Call - OTC Dow Jones CDX N.A. IG15 Index MSC Sell 0.800% 05/18/2011 25,300 (61) (73) 0.00Put - OTC Dow Jones CDX N.A. IG15 Index MSC Buy 1.500% 05/18/2011 25,300 (137) (46) 0.00Put - OTC Dow Jones CDX N.A. IG15 Index MSC Buy 1.200% 06/15/2011 12,300 (61) (45) 0.00

$ (830) $ (484) (0.02)



FairValue

% ofNet Assets


Call - OTC US dollar versus Canadian dollar JPM CAD 1.053 03/09/2011 $ 13,700 $ (116) $ (46) 0.00


ExerciseRate

ExpirationDate


FairValue

% ofNet Assets


Put - OTC 3-Year Interest Rate Swap BCLY 3-Month USD-LIBOR Pay 3.000% 06/18/2012 $ 7,800 $ (70) $ (99) 0.00Put - OTC 10-Year Interest Rate Swap BNP 3-Month USD-LIBOR Pay 5.000% 01/24/2011 13,600 (136) 0 0.00Put - OTC 3-Year Interest Rate Swap BOA 3-Month USD-LIBOR Pay 3.000% 06/18/2012 13,700 (132) (173) 0.00Put - OTC 2-Year Interest Rate Swap BOA 3-Month USD-LIBOR Pay 2.250% 09/24/2012 3,600 (25) (49) 0.00Put - OTC 10-Year Interest Rate Swap BOA 3-Month USD-LIBOR Pay 4.650% 12/13/2013 111,600 (6,836) (6,801) (0.20)Put - OTC 10-Year Interest Rate Swap CITI 3-Month USD-LIBOR Pay 5.000% 01/24/2011 3,800 (31) 0 0.00Put - OTC 3-Year Interest Rate Swap CITI 3-Month USD-LIBOR Pay 3.000% 06/18/2012 16,200 (183) (205) (0.01)Put - OTC 2-Year Interest Rate Swap CITI 3-Month USD-LIBOR Pay 2.250% 09/24/2012 3,200 (22) (43) 0.00Put - OTC 10-Year Interest Rate Swap CSFB 3-Month USD-LIBOR Pay 5.000% 01/24/2011 6,100 (59) 0 0.00Put - OTC 3-Year Interest Rate Swap DUB 3-Month USD-LIBOR Pay 2.750% 06/18/2012 13,100 (136) (198) (0.01)Put - OTC 3-Year Interest Rate Swap DUB 3-Month USD-LIBOR Pay 3.000% 06/18/2012 2,400 (23) (30) 0.00Put - OTC 2-Year Interest Rate Swap GSC 3-Month USD-LIBOR Pay 2.250% 09/24/2012 29,400 (174) (398) (0.01)Put - OTC 1-Year Interest Rate Swap GSC 3-Month USD-LIBOR Pay 1.000% 11/19/2012 26,000 (148) (309) (0.01)Put - OTC 3-Year Interest Rate Swap JPM 3-Month USD-LIBOR Pay 3.000% 06/18/2012 13,900 (132) (176) (0.01)Put - OTC 10-Year Interest Rate Swap MSC 3-Month USD-LIBOR Pay 10.000% 07/10/2012 5,600 (34) (4) 0.00Put - OTC 2-Year Interest Rate Swap MSC 3-Month USD-LIBOR Pay 2.250% 09/24/2012 5,700 (36) (77) 0.00Put - OTC 10-Year Interest Rate Swap MSC 3-Month USD-LIBOR Pay 4.650% 12/13/2013 102,800 (6,836) (6,265) (0.18)Put - OTC 3-Year Interest Rate Swap RBS 3-Month USD-LIBOR Pay 2.750% 06/18/2012 15,200 (149) (230) (0.01)Put - OTC 2-Year Interest Rate Swap RBS 3-Month USD-LIBOR Pay 2.250% 09/24/2012 123,100 (977) (1,668) (0.05)

$ (16,139) $ (16,725) (0.49)


ExpirationDate


FairValue

% ofNet Assets

STRADDLE OPTIONS

Call & Put 1-Year vs. 1-Year Forward Volatility Agreement GSC 0.000 10/11/2011 $ 6,300 $ (33) $ (51) 0.00




NotionalAmount(3)

FairValue

UpfrontPremiums

Paid/(Received)


% ofNet Assets

Austria Government Bond (1.000%) 03/20/2015 BNP $ 2,900 $ (14) $ (24) $ 10 0.00CBS Corp. (1.000%) 06/20/2019 BCLY 1,000 11 91 (80) 0.00Centex Corp. (1.000%) 06/20/2016 BNP 500 35 5 30 0.00Deluxe Corp. (1.000%) 12/20/2014 DUB 1,000 64 92 (28) 0.00Japan Government International Bond (0.250%) 03/20/2011 BOA 5,000 (1) (1) 0 0.00Japan Government International Bond (1.000%) 03/20/2011 RBS 4,800 (10) (11) 1 0.00Limited Brands, Inc. (1.000%) 09/20/2017 BCLY 5,000 214 365 (151) 0.01


31 December 2010


NotionalAmount(3)

FairValue

UpfrontPremiums

Paid/(Received)


% ofNet Assets

Macy’s Retail Holdings, Inc. (1.000%) 03/20/2013 DUB $ 1,200 $ (8) $ 8 $ (16) 0.00Marsh & McLennan Cos., Inc. (1.000%) 06/20/2019 DUB 800 26 (34) 60 0.00Masco Corp. (5.000%) 12/20/2016 BCLY 2,700 (364) (359) (5) (0.01)Masco Corp. (1.000%) 03/20/2017 GSC 500 39 44 (5) 0.00New Albertsons, Inc. (1.000%) 03/20/2011 DUB 600 5 7 (2) 0.00Office Depot, Inc. (5.000%) 09/20/2013 BOA 1,000 (55) (18) (37) 0.00Pulte Group, Inc. (1.000%) 03/20/2013 BNP 2,300 54 40 14 0.00Rohm and Haas Co. (1.000%) 09/20/2017 BOA 500 (11) (5) (6) 0.00Royal Bank of Scotland PLC (1.000%) 06/20/2015 MSC 10,000 438 469 (31) 0.01Ryland Group, Inc. (1.000%) 06/20/2017 RBS 300 23 23 0 0.00Sempra Energy (1.100%) 03/20/2014 BCLY 100 (2) 0 (2) 0.00Sprint Nextel Corp. (1.000%) 09/20/2017 BOA 900 143 88 55 0.01Starwood Hotels & Resorts Worldwide, Inc. (5.000%) 06/20/2012 DUB 1,000 (69) (31) (38) 0.00Toll Brothers Finance Corp. (1.000%) 06/20/2015 BNP 4,800 119 126 (7) 0.00Toll Brothers Finance Corp. (1.000%) 12/20/2017 BNP 1,500 84 81 3 0.00Transocean, Inc. (1.000%) 06/20/2011 BCLY 800 (3) 5 (8) 0.00Transocean, Inc. (1.000%) 03/20/2011 GSC 1,900 (3) 30 (33) 0.00

$ 715 $ 991 $ (276) 0.02




FairValue

UpfrontPremiums

Paid/(Received)


% ofNet Assets

Ally Financial, Inc. 5.000% 12/20/2020 DUB $ 4,000 $ 624 $ 173 $ 451 0.02BP Capital Markets America, Inc. 5.000% 06/20/2015 CITI 100 18 2 16 0.00BP Capital Markets America, Inc. 5.000% 09/20/2011 DUB 3,600 133 (37) 170 0.00BP Capital Markets America, Inc. 5.000% 06/20/2015 DUB 700 127 24 103 0.00BP Capital Markets America, Inc. 5.000% 06/20/2015 GSC 1,100 200 (2) 202 0.01Egypt Government International Bond 1.000% 06/20/2015 BCLY 1,000 (55) (72) 17 0.00Egypt Government International Bond 1.000% 06/20/2015 CITI 2,400 (131) (171) 40 0.00Egypt Government International Bond 1.000% 06/20/2015 DUB 900 (49) (65) 16 0.00France Government Bond 0.250% 12/20/2015 DUB 7,700 (293) (167) (126) (0.01)France Government Bond 0.250% 12/20/2015 GSC 7,700 (293) (167) (126) (0.01)Goldman Sachs Group, Inc. 1.000% 06/20/2011 BCLY 5,600 13 (16) 29 0.00Goldman Sachs Group, Inc. 1.000% 03/20/2012 BCLY 400 2 0 2 0.00Goldman Sachs Group, Inc. 1.000% 03/20/2011 DUB 400 0 0 0 0.00International Lease Finance Co. 5.000% 06/20/2015 CITI 7,600 600 0 600 0.02

$ 896 $ (498) $ 1,394 0.03



NotionalAmount(3)

FairValue

UpfrontPremiums

Paid/(Received)


% ofNet Assets

CMBX N.A.AAA.3 Index (0.080%) 12/13/2049 GSC $ 8,700 $ 349 $ 1,229 $ (880) 0.01CMBX N.A.AAA.4 Index (0.350%) 02/17/2051 GSC 13,800 573 2,094 (1,521) 0.02Dow Jones CDX N.A. HY12 Index (5.000%) 06/20/2014 BOA 3,102 (197) 194 (391) (0.01)Dow Jones CDX N.A. IG12 Index (1.000%) 06/20/2014 DUB 694 (9) 12 (21) 0.00Dow Jones CDX N.A. IG13 Index (1.000%) 12/20/2014 MSC 5,300 (65) (42) (23) 0.00Dow Jones CDX N.A. IG14 Index (1.000%) 06/20/2015 BOA 15,100 (143) 154 (297) 0.00Dow Jones CDX N.A. IG14 Index (1.000%) 06/20/2015 MSC 68,900 (652) 719 (1,371) (0.02)Dow Jones iTraxx Europe Series 12 Index (1.000%) 12/20/2014 GSC € 2,100 (12) (37) 25 0.00

$ (156) $ 4,323 $ (4,479) 0.00










FairValue

UpfrontPremiums


Appreciation% of

Net Assets

Floating rate equal to 3-MonthEUR-LIBOR less 0.299%based on the notionalamount of currencyreceived

Floating rate equal to 3-MonthUSD-LIBOR based on thenotional amount of currencyreceived

03/24/2011 JPM $ 8,242 € 6,000 $ 186 $ (2) $ 188 0.01Floating rate equal to 3-Month

EUR-LIBOR less 0.240%based on the notionalamount of currencyreceived

Floating rate equal to 3-MonthUSD-LIBOR based on thenotional amount of currencyreceived

12/10/2012 DUB 3,123 2,300 24 4 20 0.00$ 210 $ 2 $ 208 0.01


INTEREST RATE SWAPS


FixedRate


NotionalAmount

FairValue

UpfrontPremiums

Paid/(Received)


% ofNet Assets

Receive 3-Month USD-LIBOR 1.600% 11/02/2015 CITI $ 18,900 $ 404 $ (1) $ 405 0.01Receive 3-Month USD-LIBOR 1.600% 11/02/2015 RBS 106,100 2,271 0 2,271 0.07Pay 3-Month USD-LIBOR 1.950% 12/15/2015 CSFB 23,500 (210) 0 (210) (0.01)Receive 3-Month USD-LIBOR 2.750% 12/15/2020 CITI 62,400 3,330 (50) 3,380 0.10Receive 3-Month USD-LIBOR 2.750% 12/15/2020 DUB 112,800 6,019 (716) 6,735 0.18Receive 3-Month USD-LIBOR 2.750% 12/15/2020 GSC 84,700 4,520 (472) 4,992 0.13Receive 3-Month USD-LIBOR 2.750% 12/15/2020 HSBC 93,400 4,984 (18) 5,002 0.15Receive 3-Month USD-LIBOR 2.750% 12/15/2020 JPM 63,600 3,394 (44) 3,438 0.10Receive 3-Month USD-LIBOR 3.500% 12/15/2030 RBS 49,800 3,517 61 3,456 0.10Receive 3-Month USD-LIBOR 4.000% 12/15/2040 GSC 47,500 895 433 462 0.03Receive 3-Month USD-LIBOR 4.000% 12/15/2040 RBS 47,500 895 558 337 0.03Pay 6-Month Australian Bank Bill 5.500% 12/15/2017 BCLY AUD 11,500 (333) (57) (276) (0.01)Pay 6-Month Australian Bank Bill 5.500% 12/15/2017 DUB 7,200 (209) (32) (177) (0.01)Receive 6-Month EUR-LIBOR 2.900% 12/20/2040 BOA € 17,600 (87) (10) (77) 0.00Receive 6-Month EUR-LIBOR 2.900% 12/20/2040 GSC 35,300 (174) (29) (145) (0.01)Receive 6-Month EUR-LIBOR 2.900% 12/20/2040 MSC 17,600 (87) (13) (74) 0.00Pay BRL-CDI-Compounded 11.245% 01/02/2012 RBS BRL 61,700 (180) (189) 9 (0.01)Pay BRL-CDI-Compounded 11.940% 01/02/2012 JPM 157,000 (1) 0 (1) 0.00Pay BRL-CDI-Compounded 11.890% 01/02/2013 HSBC 51,100 221 334 (113) 0.01Pay BRL-CDI-Compounded 11.930% 01/02/2013 GSC 17,300 78 (47) 125 0.00Pay BRL-CDI-Compounded 11.955% 01/02/2013 RBC 11,100 3 12 (9) 0.00Pay BRL-CDI-Compounded 11.980% 01/02/2013 MSC 49,400 259 389 (130) 0.01Pay BRL-CDI-Compounded 12.285% 01/02/2013 BCLY 2,000 19 0 19 0.00Pay BRL-CDI-Compounded 12.480% 01/02/2013 CSFB 29,500 222 (6) 228 0.01Pay BRL-CDI-Compounded 12.590% 01/02/2013 MSC 22,800 201 32 169 0.00Pay BRL-CDI-Compounded 12.610% 01/02/2013 RBS 11,700 115 0 115 0.00Pay BRL-CDI-Compounded 11.935% 01/02/2014 HSBC 56,200 17 0 17 0.00Pay BRL-CDI-Compounded 11.960% 01/02/2014 GSC 20,100 84 (13) 97 0.00Pay BRL-CDI-Compounded 11.990% 01/02/2014 BCLY 1,100 5 0 5 0.00Pay BRL-CDI-Compounded 12.120% 01/02/2014 HSBC 5,300 37 10 27 0.00Pay BRL-CDI-Compounded 12.650% 01/02/2014 GSC 39,000 612 223 389 0.02

$ 30,821 $ 355 $ 30,466 0.90


Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Sell AUD 47,935 RBS 01/2011 $ 0 $ (3,346) $ (3,346) (0.10)Buy BRL 5,839 CITI 02/2011 110 0 110 0.00Sell 5,839 UBS 02/2011 0 (59) (59) 0.00Sell 590 CITI 03/2011 0 (5) (5) 0.00Buy 5,839 UBS 04/2011 60 0 60 0.00Sell CAD 20,062 DUB 02/2011 0 (253) (253) (0.01)Sell CHF 1,573 RBC 02/2011 0 (103) (103) 0.00Sell 1 RBS 02/2011 0 0 0 0.00Buy CNY 33,555 BCLY 01/2011 87 0 87 0.00Sell 64,966 BCLY 01/2011 0 (274) (274) (0.01)Sell 9,410 DUB 01/2011 0 (13) (13) 0.00Buy 40,821 JPM 01/2011 77 0 77 0.00Buy 33,057 CITI 04/2011 52 0 52 0.00Buy 15,292 HSBC 04/2011 23 0 23 0.00Buy 81,699 JPM 04/2011 220 0 220 0.01Buy 38,542 JPM 06/2011 128 0 128 0.00Buy 32,959 BOA 09/2011 124 0 124 0.00Buy 41,434 CITI 09/2011 151 0 151 0.01Buy 25,771 RBS 09/2011 88 0 88 0.00Buy 66,930 UBS 09/2011 228 0 228 0.01Buy 130,260 BCLY 11/2011 170 0 170 0.01


31 December 2010

Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Buy CNY 95,979 DUB 11/2011 $ 352 $ (7) $ 345 0.01Buy 130,295 JPM 11/2011 175 0 175 0.01Buy 65,125 RBS 11/2011 84 0 84 0.00Buy 10,747 BCLY 02/2012 4 0 4 0.00Buy 7,428 BOA 02/2012 4 0 4 0.00Buy 15,655 CITI 02/2012 5 0 5 0.00Buy 17,058 DUB 02/2012 20 0 20 0.00Buy 8,719 JPM 02/2012 3 0 3 0.00Buy 162,375 RBS 02/2012 0 (97) (97) 0.00Buy 3,131 UBS 02/2012 1 0 1 0.00Buy € 3,156 BCLY 01/2011 37 0 37 0.00Buy 1,753 BNP 01/2011 47 0 47 0.00Buy 11,536 CITI 01/2011 266 (165) 101 0.01Sell 155,899 CITI 01/2011 2,123 (80) 2,043 0.06Sell 14,915 CSFB 01/2011 0 (293) (293) (0.01)Buy 2,951 DUB 01/2011 11 (105) (94) 0.00Sell 1,776 DUB 01/2011 0 (24) (24) 0.00Buy 1,609 HSBC 01/2011 45 0 45 0.00Buy 3,368 MSC 01/2011 98 0 98 0.00Sell 2,275 RBC 01/2011 0 (75) (75) 0.00Buy 123 RBS 01/2011 0 (1) (1) 0.00Sell 51,424 RBS 01/2011 558 (580) (22) 0.00Sell 31,691 UBS 01/2011 0 (617) (617) (0.02)Sell £ 23,927 BCLY 03/2011 0 (127) (127) (0.01)Sell 23,927 DUB 03/2011 0 (119) (119) 0.00Sell 700 MSC 03/2011 0 (20) (20) 0.00Sell 15,952 RBS 03/2011 0 (23) (23) 0.00Buy HKD 72,624 DUB 01/2011 0 (19) (19) 0.00Sell 100,720 HSBC 01/2011 0 (4) (4) 0.00Buy 28,095 RBS 01/2011 0 (12) (12) 0.00Buy 100,720 HSBC 04/2011 5 0 5 0.00Buy INR 62,061 BCLY 01/2011 65 0 65 0.00Sell 369,000 BCLY 01/2011 0 (129) (129) 0.00Buy 320,279 HSBC 01/2011 341 0 341 0.01Buy 719,372 JPM 01/2011 9 0 9 0.00Sell 531,000 JPM 01/2011 0 (250) (250) (0.01)Buy 116,463 MSC 01/2011 123 0 123 0.00Sell 318,175 RBS 01/2011 0 (89) (89) 0.00Buy 41,250 BCLY 03/2011 9 0 9 0.00Buy 215,311 CITI 03/2011 0 (19) (19) 0.00Buy 18,133 DUB 03/2011 4 0 4 0.00Buy 318,175 RBS 03/2011 94 0 94 0.00Buy 369,000 BCLY 05/2011 126 0 126 0.00Buy 531,000 JPM 05/2011 243 0 243 0.01Sell JPY 1,930,000 CITI 01/2011 0 (52) (52) 0.00Buy 840,229 CSFB 01/2011 384 0 384 0.01Sell 398,235 GSC 01/2011 0 (179) (179) (0.01)Sell 237,044 RBC 01/2011 0 (108) (108) 0.00Sell 474,089 RBS 01/2011 0 (206) (206) (0.01)Sell 2,950,000 BOA 03/2011 0 (1,152) (1,152) (0.03)Sell 1,680,000 CITI 03/2011 0 (681) (681) (0.02)Buy KRW 19,178,000 BOA 01/2011 0 (112) (112) 0.00Buy 6,421,792 HSBC 01/2011 0 (22) (22) 0.00Sell 34,255,875 JPM 01/2011 0 (856) (856) (0.03)Buy 8,656,083 MSC 01/2011 0 (28) (28) 0.00Buy 2,100,225 BCLY 05/2011 2 (7) (5) 0.00Buy 18,585,900 CITI 05/2011 9 (60) (51) 0.00Buy 178,230 DUB 05/2011 2 0 2 0.00Buy 1,535,877 GSC 05/2011 8 0 8 0.00Buy 3,596,000 HSBC 05/2011 0 (15) (15) 0.00Buy 42,550,375 JPM 05/2011 836 0 836 0.02Buy 7,211,000 RBS 05/2011 20 0 20 0.00Buy MXN 1,539 BCLY 02/2011 5 0 5 0.00Sell 43,853 MSC 02/2011 0 (44) (44) 0.00Buy MYR 61,641 BCLY 02/2011 239 0 239 0.01Buy 17,421 CITI 02/2011 53 0 53 0.00Buy SGD 4,952 BCLY 02/2011 73 0 73 0.01Buy 8,361 BOA 02/2011 35 0 35 0.00Buy 3,534 HSBC 02/2011 53 0 53 0.00Buy 3,533 JPM 02/2011 52 0 52 0.00Buy 4,640 MSC 02/2011 67 0 67 0.00Buy 3,532 UBS 02/2011 51 0 51 0.00Buy 26,198 DUB 06/2011 350 0 350 0.01Buy TWD 14,317 DUB 01/2011 16 0 16 0.00Sell 171,865 DUB 01/2011 14 0 14 0.00Buy 8,765 JPM 01/2011 15 0 15 0.00Buy 13,493 MSC 01/2011 20 0 20 0.00Buy 127,982 RBS 01/2011 37 0 37 0.00Buy 7,308 UBS 01/2011 13 0 13 0.00Buy 40,038 BOA 04/2011 86 0 86 0.01Buy 199,865 DUB 04/2011 302 0 302 0.01Buy 41,084 JPM 04/2011 81 0 81 0.00

$ 9,193 $ (10,430) $ (1,237) (0.04)





DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS


Fannie Mae (h)3.500% due 01/01/2026 $ (121,000) $ (121,870) (3.57)4.500% due 01/01/2026 (54,500) (57,148) (1.68)4.500% due 01/01/2041 (51,000) (52,363) (1.54)5.000% due 01/01/2041 (328,000) (344,861) (10.11)5.000% due 02/01/2041 (12,500) (13,119) (0.38)5.500% due 01/01/2041 (138,000) (147,660) (4.33)5.500% due 02/01/2041 (44,000) (46,997) (1.38)6.000% due 01/01/2041 (60,000) (65,222) (1.91)Freddie Mac5.000% due 01/01/2041 (h) (4,000) (4,196) (0.12)Ginnie Mae (h)4.500% due 01/01/2041 (198,000) (205,611) (6.03)5.000% due 01/01/2041 (35,000) (37,215) (1.09)

(1,096,262) (32.14)

Total Securities Sold Short $(1,096,262) (32.14)



ANZ National Bank3.890% due 01/04/2011 AUD 767 $ 787 0.02BNP Paribas Bank0.080% due 01/03/2011 € 1,632 2,189 0.07Brown Brothers Harriman & Co.0.005% due 01/03/2011 CHF 1 1 0.00Deutsche Bank AG0.150% due 01/04/2011 CAD 296 298 0.01JPMorgan Chase & Co.0.068% due 01/04/2011 £ 36 56 0.00Nordea Bank AB0.030% due 01/03/2011 $ 742 742 0.02Total Overnight Time Deposits $ 4,073 0.12Other Current Assets & Liabilities $ 274,982 8.06Net Assets $ 3,411,157 100.00


(a) The Unconstrained Bond Fund is investing in Class Z Income Shares of an affiliated Fund.



(d) Securities with an aggregate market value of $15,832 have been segregated with the Custodian to cover margin requirements for the open futures contracts as at 31 December 2010.

(e) Security is in default.

(f) Cash with an aggregate value of $12,620 has been pledged as collateral for delayed-delivery securities as at 31 December 2010.

(g) Cash of $15,900 has been pledged as collateral for swap, swaption and foreign currency contracts as at 31 December 2010 as governed by International Swaps and Derivative Association, Inc.Master Agreements.


(i) Restricted Securities

Issuer Description Coupon Maturity DateAcquisition

Date CostFair

Value% of

Net Assets

Merrill Lynch Countrywide Commercial Mortgage Trust 4.275% 08/12/2048 04/09/2010 $ 263 $ 259 0.01

(j) Fair Value Measurements1


Category3




(Level 2)



Transferable Securities $ 69,783 $ 4,108,840 $ 20,831 $ 4,199,454Financial Derivative Instruments4 (949) 29,910 (51) 28,910Short Sales 0 (1,096,262) 0 (1,096,262)Totals $ 68,834 $ 3,042,488 $ 20,780 $ 3,132,102


31 December 2010


Category3

StartingBalance

at 31-Dec-2009Net

Purchases5Net

Sales5


RealisedGains/

(Losses)




Level 3

EndingBalance

at 31-Dec-2010




Transferable Securities $ 1,485 $ 20,911 $ 0 $ 38 $ 0 $ 109 $ (1,712) $ 20,831 $ (106)Financial Derivative Instruments4 0 (33) 0 0 0 (18) 0 (51) (18)Totals $ 1,485 $ 20,878 $ 0 $ 38 $ 0 $ 91 $ (1,712) $ 20,780 $ (124)


Category3

Quoted Prices inActive Markets



(Level 2)



Transferable Securities $ 75 $ 240,838 $ 1,485 $ 242,398Deposits with Credit Institutions 0 1,799 0 1,799Financial Derivative Instruments4 380 328 0 708Short Sales 0 (88,456) 0 (88,456)Totals $ 455 $ 154,509 $ 1,485 $ 156,449


Category3

StartingBalance

at 31-Dec-2008Net

Purchases5Net

Sales5


RealisedGains/

(Losses)




Level 3

EndingBalance

at 31-Dec-2009




Transferable Securities $ 0 $ 1,520 $ 0 $ 1 $ 0 $ (36) $ 0 $ 1,485 $ (36)





Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Buy CHF 150 BCLY 01/2011 $ 3 $ 0 $ 3 0.00Sell 658 BCLY 01/2011 0 (13) (13) 0.00Buy 451 CSFB 01/2011 24 0 24 0.00Buy 109 MSC 01/2011 4 0 4 0.00Sell 52 UBS 01/2011 0 (1) (1) 0.00Buy 2,170 BCLY 02/2011 87 0 87 0.00Buy 7,413 BNP 02/2011 563 0 563 0.02Buy 274 RBS 02/2011 18 0 18 0.00

$ 699 $ (14) $ 685 0.02

As at 31 December 2010, the Institutional EUR (Hedged) Class, Class G Retail EUR (Hedged) and Class E EUR (Hedged) had the following foreign currency contracts outstanding:

Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Buy € 369,667 BCLY 01/2011 $ 12,078 $ 0 $ 12,078 0.35Sell 13,160 BCLY 01/2011 0 (358) (358) (0.01)Buy 12,394 CITI 01/2011 390 0 390 0.01Sell 1,054,330 CITI 01/2011 0 (12,861) (12,861) (0.38)Buy 17,483 CSFB 01/2011 221 0 221 0.01Sell 40,491 CSFB 01/2011 0 (703) (703) (0.02)Buy 11,805 DUB 01/2011 416 0 416 0.01Sell 3,985 DUB 01/2011 0 (159) (159) 0.00Buy 157,993 HSBC 01/2011 6,869 0 6,869 0.20Buy 416,964 JPM 01/2011 16,791 0 16,791 0.49Sell 17,775 JPM 01/2011 0 (134) (134) 0.00Buy 10,185 MSC 01/2011 33 0 33 0.00



Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Sell € 564 RBC 01/2011 $ 0 $ (19) $ (19) 0.00Buy 996,187 RBS 01/2011 33,260 0 33,260 0.98Sell 865,812 RBS 01/2011 0 (11,473) (11,473) (0.34)Buy 28,508 UBS 01/2011 808 0 808 0.02Sell 22,981 UBS 01/2011 0 (156) (156) 0.00Buy 1,057,151 CITI 02/2011 12,963 0 12,963 0.38Buy 2,583 DUB 02/2011 35 0 35 0.00Sell 802 DUB 02/2011 0 (11) (11) 0.00Buy 4,959 RBC 02/2011 148 0 148 0.00Buy 865,812 RBS 02/2011 11,455 0 11,455 0.34

$ 95,467 $ (25,874) $ 69,593 2.04

As at 31 December 2010, the Institutional GBP (Hedged) Class and Class E GBP (Hedged) had the following foreign currency contracts outstanding:

Type Currency



MonthUnrealised


(Depreciation)


% ofNet Assets

Buy £ 243 BCLY 01/2011 $ 2 $ 0 $ 2 0.00Sell 87,502 BCLY 01/2011 0 (1,689) (1,689) (0.05)Sell 294 BNP 01/2011 0 (2) (2) 0.00Buy 8,044 CITI 01/2011 0 (55) (55) 0.00Sell 1,353 CITI 01/2011 0 (21) (21) 0.00Sell 435 CSFB 01/2011 6 0 6 0.00Buy 225 DUB 01/2011 6 0 6 0.00Sell 224 RBC 01/2011 1 0 1 0.00Buy 79,838 RBS 01/2011 837 0 837 0.02Buy 1,783 UBS 01/2011 32 0 32 0.00Sell 100 UBS 01/2011 2 0 2 0.00Buy 87,064 BCLY 02/2011 1,683 0 1,683 0.05Sell 100 CITI 02/2011 0 (2) (2) 0.00

$ 2,569 $ (1,769) $ 800 0.02


Significant Changes in Portfolio Composition Unconstrained Bond Fund (Unaudited)31 December 2010



PIMCO US Dollar Short-Term FloatingNAV Fund (a) 112,987,275 $ 1,129,868

PAR(000S)

US Treasury Notes2.625% due 08/15/2020 $ 501,700 503,755US Treasury Notes3.625% due 02/15/2020 377,800 385,476US Treasury Notes3.625% due 08/15/2019 338,400 364,748US Treasury Notes2.750% due 05/31/2017 230,700 243,312Treasury Inflation Protected Securities1.250% due 07/15/2020 (b) 227,035 233,182US Treasury Notes3.125% due 05/15/2019 115,100 121,551US Treasury Bills0.218% due 11/18/2010 111,180 111,066US Treasury Notes3.500% due 05/15/2020 103,700 107,951Bundesschatzanweisungen1.000% due 03/16/2012 € 70,000 94,240US Treasury Bonds6.125% due 11/15/2027 $ 65,900 86,710US Treasury Notes2.750% due 02/15/2019 78,000 77,249US Treasury Notes3.375% due 11/15/2019 66,500 67,234US Treasury Notes2.625% due 02/29/2016 63,000 65,466Fannie Mae4.000% due 12/01/2040 57,871 59,490Canada Government Bond1.500% due 12/01/2012 CAD 60,400 59,349US Treasury Bonds5.500% due 08/15/2028 $ 46,700 59,052US Treasury Bonds7.250% due 08/15/2022 41,200 55,063Fosse Master Issuer PLC2.259% due 10/18/2054 £ 29,150 44,428Fannie Mae4.000% due 07/01/2040 $ 42,989 43,696Fannie Mae4.000% due 09/01/2040 39,463 40,608US Treasury Bonds8.000% due 11/15/2021 25,400 35,956Japan Treasury Bills0.120% due 03/28/2011 JPY 2,950,000 35,334Fannie Mae5.500% due 05/01/2038 $ 32,272 34,415Citigroup, Inc.8.500% due 05/22/2019 28,400 34,222


(000S)


PIMCO US Dollar Short-Term FloatingNAV Fund (a) 106,011,737 $ 1,060,146

PAR(000S)

US Treasury Notes2.625% due 08/15/2020 $ 486,700 488,485US Treasury Notes3.625% due 02/15/2020 272,400 272,986Treasury Inflation Protected Securities1.250% due 07/15/2020 (b) 114,251 118,122US Treasury Bills0.218% due 11/18/2010 111,180 111,123US Treasury Notes3.625% due 08/15/2019 103,900 109,540US Treasury Notes3.500% due 05/15/2020 103,700 108,058Bundesschatzanweisungen1.000% due 03/16/2012 € 77,000 103,175US Treasury Bonds7.250% due 08/15/2022 $ 51,200 73,632US Treasury Notes2.750% due 02/15/2019 54,600 55,377US Treasury Notes3.375% due 11/15/2019 43,200 45,692Republic of Germany3.750% due 01/04/2019 € 25,300 36,083US Treasury Notes3.125% due 10/31/2016 $ 33,900 34,051US Treasury Bonds7.875% due 02/15/2021 23,000 32,998Fannie Mae5.500% due 05/01/2038 29,565 31,852US Treasury Notes0.750% due 11/30/2011 30,400 30,424US Treasury Notes3.875% due 05/15/2018 26,400 29,523Fannie Mae4.500% due 03/01/2040 27,000 28,168Republic of Germany3.500% due 07/04/2019 € 20,200 28,022Federal Home Loan Bank0.140% due 07/02/2010 $ 27,600 27,598US Treasury Notes2.750% due 11/30/2016 23,000 24,063Japan Treasury Bills0.000% due 10/25/2010 JPY 1,930,000 23,947Fannie Mae4.000% due 11/01/2040 $ 23,231 23,478Fannie Mae4.500% due 09/01/2039 21,939 22,913US Treasury Bonds8.000% due 11/15/2021 13,900 20,772Fannie Mae5.000% due 07/01/2040 18,933 20,178Treasury Inflation Protected Securities1.375% due 01/15/2020 (b) 19,906 19,961

(a) The Unconstrained Bond Fund is investing in Class Z Income Shares of an affiliated Fund.





Portfolio of Investments and Assets US Government Money Market Fund

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS



BANKING & FINANCE

General Electric Capital Corp.0.382% due 03/11/2011 $ 650 $ 650 1.39Goldman Sachs Group, Inc.0.382% due 03/15/2011 100 100 0.21JPMorgan Chase & Co.0.364% due 02/23/2011 100 100 0.210.433% due 04/01/2011 485 485 1.04SunTrust Bank3.000% due 11/16/2011 3,000 3,068 6.55Wells Fargo & Co.3.000% due 12/09/2011 300 308 0.66Total Corporate Bonds & Notes 4,711 10.06


Fannie Mae0.200% due 06/01/2011 2,077 2,075 4.43Federal Home Loan Bank0.166% due 07/25/2011 400 400 0.850.540% due 05/24/2011 1,500 1,500 3.20Freddie Mac0.265% due 01/03/2011 5,400 5,400 11.530.340% due 04/07/2011 1,500 1,501 3.200.363% due 04/01/2011 1,500 1,501 3.20

12,377 26.41


US Treasury Bills0.120% due 02/03/2011 4,390 4,390 9.37

DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

COMMERCIAL PAPER

Straight-A Funding LLC0.260% due 01/05/2011 $ 500 $ 500 1.070.260% due 01/03/2011 1,000 1,000 2.13

1,500 3.20



12/31/2010. Collateralised byUS Treasury Notes 4.375%due 05/15/2040 valued at$4,553. Repurchase proceedsare $4,400.) 4,400 4,400 9.39

BNP Paribas Bank0.180% due 01/03/2011 (Dated


Citigroup, Inc.0.270% due 01/03/2011 (Dated


Credit Suisse First Boston0.280% due 01/03/2011 (Dated


DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS

Deutsche Bank Securities, Inc.0.200% due 01/03/2011 (Dated

12/31/2010. Collateralisedby US Treasury Notes4.375% due 05/15/2040valued at $4,521.Repurchase proceeds are$4,400.) $ 4,400 $ 4,400 9.39

JPMorgan Chase & Co.0.250% due 01/03/2011 (Dated


Merrill Lynch & Co., Inc.0.280% due 01/03/2011 (Dated


23,600 50.36

Total TransferableSecurities & Money MarketInstruments - Official StockExchange/Regulated Market $ 46,578 99.40


DESCRIPTIONPAR

(000S)

FAIRVALUE(000S)

% OFNET

ASSETS


Nordea Bank AB0.030% due 01/03/2011 $ 272 $ 272 0.58

Other Current Assets & Liabilities $ 11 0.02

Net Assets $ 46,861 100.00


(a) Fair Value Measurements1


Category3




(Level 2)



Transferable Securities $ 0 $ 46,578 $ 0 $ 46,578


Category3




(Level 2)



Transferable Securities $ 0 $ 43,620 $ 0 $ 43,620

1 See note 2(c) in the Notes to Financial Statements for additional information.2 There were no significant transfers into and out of level 1 and 2 during the period ended 31 December 2010 or 31 December 2009.3 Refer to the Portfolio of Investments and Assets for additional information.


Significant Changes in Portfolio Composition US Government Money Market Fund (Unaudited)31 December 2010

DESCRIPTIONPAR

(000S)COST(000S)


US Treasury Bills0.191% due 09/02/2010 $ 14,000 $ 13,999US Treasury Bills0.000% due 09/09/2010 12,600 12,599US Treasury Bills0.055% due 07/08/2010 8,800 8,800Freddie Mac0.265% due 01/03/2011 7,700 7,690US Treasury Bills0.000% due 08/19/2010 7,500 7,499Fannie Mae0.000% due 06/14/2010 6,000 5,997US Treasury Bills0.157% due 04/15/2010 5,000 5,000US Treasury Bills0.133% due 02/03/2011 4,390 4,389SunTrust Bank3.000% due 11/16/2011 3,000 3,072Freddie Mac0.340% due 04/07/2011 3,000 3,005Freddie Mac0.363% due 04/01/2011 3,000 3,004Fannie Mae0.200% due 06/01/2011 2,077 2,075US Treasury Bills0.000% due 11/17/2011 1,600 1,595Federal Home Loan Bank0.540% due 05/24/2011 1,500 1,500Straight-A Funding LLC0.000% due 10/19/2010 1,500 1,500Straight-A Funding LLC0.000% due 05/10/2010 1,300 1,299M&I Marshall & Ilsley Bank3.875% due 08/19/2011 1,000 1,034Straight-A Funding LLC0.000% due 06/03/2010 1,000 1,000Straight-A Funding LLC0.260% due 01/03/2011 1,000 999Straight-A Funding LLC0.000% due 08/16/2010 900 899SunTrust Bank0.000% due 12/16/2010 700 702General Electric Capital Corp.0.382% due 11/03/2011 650 651US Treasury Bills0.000% due 04/29/2010 500 500Straight-A Funding LLC0.260% due 01/05/2011 500 500JPMorgan Chase & Co.0.433% due 04/01/2011 485 486

DESCRIPTIONPAR

(000S)PROCEEDS

(000S)


US Treasury Bills0.191% due 09/02/2010 $ 14,000 $ 13,999US Treasury Bills0.000% due 09/09/2010 12,600 12,599US Treasury Bills0.055% due 07/08/2010 8,800 8,800US Treasury Bills0.000% due 08/19/2010 7,500 7,500Fannie Mae0.000% due 06/14/2010 6,000 6,000US Treasury Bills0.157% due 04/15/2010 5,000 5,000Fannie Mae0.433% due 02/22/2010 3,200 3,200Federal Home Loan Bank0.790% due 03/11/2010 2,900 2,900Freddie Mac0.265% due 01/03/2011 2,300 2,300Federal Home Loan Bank0.120% due 01/04/2010 2,100 2,100Freddie Mac0.411% due 07/13/2010 2,100 2,100Federal Home Loan Bank0.240% due 07/09/2010 2,000 2,000Freddie Mac0.308% due 01/04/2010 2,000 2,000Federal Home Loan Bank0.080% due 02/17/2010 1,800 1,800US Treasury Bills0.000% due 11/17/2011 1,600 1,596Freddie Mac0.363% due 04/01/2011 1,500 1,501Freddie Mac0.340% due 04/07/2011 1,500 1,501Straight-A Funding LLC0.200% due 02/08/2010 1,500 1,500Straight-A Funding LLC0.000% due 10/19/2010 1,500 1,500Straight-A Funding LLC0.410% due 05/10/2010 1,300 1,300M&I Marshall & Ilsley Bank3.875% due 08/19/2011 1,000 1,023Fannie Mae0.050% due 01/13/2010 1,000 1,000Fannie Mae0.070% due 02/04/2010 1,000 1,000Straight-A Funding LLC0.000% due 06/03/2010 1,000 1,000Straight-A Funding LLC0.000% due 08/16/2010 900 900Federal Home Loan Bank0.710% due 01/27/2010 800 800Federal Home Loan Bank0.520% due 06/01/2010 800 800Fannie Mae3.250% due 02/10/2010 750 750SunTrust Bank0.400% due 12/16/2010 700 700Federal Home Loan Bank3.125% due 02/04/2010 600 600Fannie Mae0.218% due 02/12/2010 500 500US Treasury Bills0.000% due 04/29/2010 500 500Federal Home Loan Bank0.257% due 03/02/2010 500 500Federal Home Loan Bank6.875% due 09/15/2010 500 500




Notes to Financial Statements

1. GENERAL INFORMATION

Each of the funds (hereinafter referred to individually as a “Fund” and collectivelyas the “Funds”) discussed in this report is a sub-fund of the PIMCO Funds: GlobalInvestors Series plc (the “Company”), an umbrella type open-ended investmentcompany with variable capital and with segregated liability between Fundsincorporated with limited liability under the Companies Acts, 1963 to 2009 withregistered number 276928 and authorised by the Central Bank of Ireland pursuantto the European Communities (Undertakings for Collective Investment inTransferable Securities (“UCITS”)) Regulations, 1989, (as amended) and isregulated subject to the European Communities (UCITS) Regulations, 2003 (asamended). The Company is an umbrella type company in that Classes of sharesmay be issued in relation to different Funds from time to time. More than oneClass of shares (“Class”) may, at the discretion of the Directors, be issued inrelation to a Fund. A separate portfolio of assets is maintained for each Fund andis invested in accordance with the investment objectives and policies applicableto such Fund. Additional Funds may be created from time to time by the Directorswith the prior written approval of the Central Bank of Ireland. Additional Classesmay be created from time to time by the Directors and will be notified and clearedin advance with the Central Bank of Ireland. The Company was incorporated on10 December 1997. The financial data, including security descriptions, asdisclosed in the Financial Statements and related Notes to Financial Statementsuse US formatting due to the fact that the majority of securities are traded on USexchanges and the presentation currency of the Company is in US Dollars.

2. SIGNIFICANT ACCOUNTING POLICIES

The following is a summary of the significant accounting policies and estimationtechniques adopted by the Company and applied in the preparation of thesefinancial statements:

(a) Basis of AccountingThe financial statements have been prepared in accordance with accountingstandards generally accepted in Ireland and Irish statute comprising theCompanies Acts, 1963 to 2009, and the European Communities (UCITS)Regulations, 2003 (as amended). The accounting standards generally accepted inIreland in preparing financial statements are those published by the Institute ofChartered Accountants in Ireland and issued by the Accounting Standards Board.

The format and certain wordings of the financial statements have been adopted fromthose contained in the Companies (Amendment) Act, 1986 and Financial ReportingStandards (“FRS”) 3 “Reporting Financial Performance” so that, in the opinion of theDirectors, they more appropriately reflect the nature of the Company’s business asan investment fund.

The Company has availed of the exemption available to open-ended investmentfunds under FRS 1 not to prepare a cash flow statement.

The financial statements are prepared under the historical cost convention asmodified by the revaluation of financial assets and liabilities held at fair valuethrough profit or loss. The financial statements have been prepared on the basisof the accounting policies set out in the most recent set of annual financialstatements. The Company maintains separate accounts for each Fund. Shares areissued by the Company and allocated to whichever Fund is selected by theshareholder. The proceeds of issue and the income arising thereon are credited toeach Class of each Fund in proportion to the total valuation of each Class. Uponredemption, shareholders are only entitled to their portion of the net asset valueof the Fund in respect to the shares which have been issued to them.

Financial statement figures have been rounded to the thousands unless otherwiseindicated throughout the report.

(b) Determination of Net Asset ValueThe Net Asset Value (the “NAV”) of each Fund and/or each Class will becalculated as of the close of regular trading on each Dealing Day (normally 4:00p.m., Eastern time) as disclosed in the Company’s most recent Prospectus. Inaccordance with FRS 26 “Financial Instruments: Measurement”, Fund securitiesand other assets are valued at the closing bid price as of 31 December 2010 todetermine the Net Assets Attributable to Redeemable Participating Shareholders(“Net Assets”) for financial statement purposes. Fund securities and other assets

are valued based on the last traded price at the close of business on the relevantDealing Day for purposes of determining Net Asset Value per redeemableparticipating shareholders for shareholder dealing purposes (the “Dealing NAV”).Where the difference between the net assets for financial statement purposesand the Dealing NAV is deemed material, an adjustment to revalue assets to theDealing NAV is shown in the Statements of Assets and Liabilities.

As indicated in the Company’s Prospectus, the following Funds did not calculate a NAVon 31 December 2010 and are being valued in this Report as of 30 December 2010:

Developing Local Markets FundEmerging Asia Bond FundEmerging Local Bond FundEmerging Markets Bond FundEuriborPLUS FundEuro Bond FundEuro Credit FundEuro Liquidity FundEuro Long Average Duration FundEuro Real Return FundEuro Ultra-Long Duration FundFX Strategies FundGlobal Multi-Asset FundSocially Responsible Emerging Markets Bond Fund

(c) Investments at Fair ValueThis category has two sub-categories: financial assets and liabilities held fortrading, and those designated by management at fair value through profit or lossat inception. Financial assets or liabilities held for trading are acquired or incurredprincipally for the purpose of selling or repurchasing in the short term. Derivativesare also categorised as held for trading, as the Company does not designate anyderivatives as hedges in a hedging relationship. Financial assets and financialliabilities designated at fair value through profit or loss at inception are financialinstruments that are not classified as held for trading but are managed, and theirperformance is evaluated on a fair value basis in accordance with the Fund’sdocumented investment strategy.

The Fund’s policy requires the Investment Manager and the Board of Directors toevaluate the information about these financial assets and liabilities on a fairvalue basis together with other related financial information.

Gains and losses arising from changes in the fair value of the ‘financial assets atfair value through profit or loss’ category are included in the Statements ofOperations in the period in which they arise.

Fund securities and other assets for which market quotes are readily available arevalued at market value. Market value is generally determined on the basis of lastreported sales prices, or if no sales are reported, based on quotes obtained from aquotation reporting system, established market makers, or pricing services.

Investments initially valued in currencies other than the functional currency of theFund are converted using exchange rates obtained from pricing services. As aresult, the NAV of the Fund’s shares may be affected by changes in the value ofcurrencies in relation to the Fund’s functional currency. The value of securitiestraded in foreign markets or denominated in currencies other than the Fund’sfunctional currency may be affected significantly on a day that the Irish StockExchange (“ISE”) is closed and the NAV may change on days when an investor isnot able to purchase, redeem or exchange shares.

If the value of a security that is solely traded on a foreign exchange has materiallychanged after the close of the security’s primary exchange or principal market butbefore the close of the dealing day, the security will be valued at fair value basedon procedures established and approved by the Board of Directors. Securities thatdo not trade when a Fund is open are also valued at fair value. A Fund maydetermine the fair value of investments based on information provided by pricingservice providers and other third party vendors, which may recommend fair valueprices or adjustments with reference to other securities, indices or assets. Inconsidering whether fair value pricing is required and in determining fair values, aFund may, among other things, consider significant events (which may be


31 December 2010

31 December 2010

considered to include changes in the value of securities or securities indices) thatoccur after the close of the relevant market and before the close of the dealingday. A Fund may utilise modeling tools provided by third party vendors todetermine fair values of securities impacted by significant events. Foreignexchanges may permit trading in foreign securities on days when the Company isnot open for business, which may result in a Fund’s portfolio investments beingaffected when you are unable to buy or sell shares. A Fund has retained a pricingservice to assist in determining the fair value of foreign securities. This serviceutilises statistics and programs based on historical performance of markets andother economic data to assist in making fair value estimates. Fair value estimatesused by a Fund for foreign securities may differ from the value realised from thesale of those securities and the difference could be material to the financialstatements. Fair value pricing may require subjective determinations about thevalue of a security or other asset, and fair values used to determine a Fund’s NAVmay differ from quoted or published prices, or from prices that are used by others,for the same investments. In addition, the use of fair value pricing may not alwaysresult in adjustments to the prices of securities or other assets held by a Fund.

FRS 25 defines fair value as the price that a fund would receive to sell an asset orpay to transfer a liability in an orderly transaction between market participants atthe measurement date. FRS 29 establishes and requires disclosure of a fair valuehierarchy, separately for each major category of assets and liabilities, thatsegregates fair value measurements into levels (Levels 1, 2, and 3).Categorisation of fair value measurements is determined by the nature of theinputs as follows: inputs using quoted prices in active markets for identical assetsor liabilities (“Level 1”), significant other observable inputs (“Level 2”), andsignificant unobservable inputs (“Level 3”). Valuation levels are not necessarily anindication of the risk associated with investing in those securities. Levels 1, 2, and3 of the fair value hierarchy are defined as follows:

• Level 1 — Inputs using quoted prices in active markets or exchanges foridentical assets and liabilities.

• Level 2 — Significant other observable inputs, which may include, but arenot limited to, quoted prices for similar assets or liabilities in markets thatare active, quoted prices for identical or similar assets or liabilities inmarkets that are not active, inputs other than quoted prices that areobservable for the assets or liabilities (such as interest rates, yield curves,volatilities, prepayment speeds, loss severities, credit risks and defaultrates) or other market corroborated inputs.

• Level 3 — Significant unobservable inputs based on the best informationavailable in the circumstances, to the extent observable inputs are notavailable, which may include assumptions made by the Board of Directors(the “Board”) or persons acting at their direction that are used indetermining the fair market value of investments.

Level 1 and Level 2 trading assets and trading liabilities, at fair marketvalue The valuation techniques and significant inputs used in determining the fairmarket values of financial instruments classified as Level 1 and Level 2 of the fairvalue hierarchy are as follows:

Fixed income securities including corporate, convertible and municipal bonds andnotes, US government agencies, US treasury obligations, sovereign issues, bankloans, convertible preferred securities and non-US bonds are normally valued bypricing service providers that use broker dealer quotations, reported trades orvaluation estimates from their internal pricing models. The service providers’internal models use inputs that are observable such as issuer details, interestrates, yield curves, prepayment speeds, credit risks/spreads, default rates andquoted prices for similar assets. Securities that use similar valuation techniquesand inputs as described above are categorised as Level 2 of the fair valuehierarchy.

Fixed income securities purchased on a delayed-delivery basis are marked tomarket daily until settlement at the forward settlement date.

Mortgage-related and asset-backed securities are usually issued as separatetranches, or classes, of securities within each deal. These securities are alsonormally valued by pricing service providers that use broker dealer quotations orvaluation estimates from their internal pricing models. The pricing models forthese securities usually consider tranche-level attributes, current market data,estimated cash flows and market-based yield spreads for each tranche, and

incorporates deal collateral performance, as available. Mortgage-related andasset-backed securities that use similar valuation techniques and inputs asdescribed above are categorised as Level 2 of the fair value hierarchy.

Common stocks, exchange-traded funds and financial derivative instruments, suchas futures contracts or options contracts that are traded on a national securitiesexchange, are stated at the last reported sale or settlement price on the day ofvaluation. To the extent these securities are actively traded and valuationadjustments are not applied, they are categorised as Level 1 of the fair valuehierarchy. Valuation adjustments may be applied to certain securities that aresolely traded on a foreign exchange to account for the market movement betweenthe close of the foreign market and the close of the local exchange. Thesesecurities are valued using pricing service providers that consider the correlationof the trading patterns of the foreign security to the intraday trading in the localmarkets for investments. Securities using these valuation adjustments arecategorised as Level 2 of the fair value hierarchy. Preferred securities and otherequities traded on inactive markets or valued by reference to similar instrumentsare also categorised as Level 2 of the fair value hierarchy.

Investments in registered open-end investment management companies will bevalued based upon the NAVs of such investments and are categorised as Level 1of the fair value hierarchy. Investments in unregistered open-end managementinvestment companies will be calculated based upon the NAV of suchinvestments and are considered Level 1 provided that the NAV is observable,calculated daily and is the value at which both purchases and sales will beconducted. Investments in privately held investment funds will be valued basedupon the NAVs of such investments and are categorised as Level 2 of the fairvalue hierarchy. Investments in privately held investment funds where the NAV isunobservable will be calculated based upon the NAVs of such investments andare categorised as Level 3 of the fair value hierarchy.

Short-term investments having a maturity of 60 days or less are generally valuedat amortised cost which approximates fair market value. These investments arecategorised as Level 2 of the fair value hierarchy.

Over-the-counter financial derivative instruments, such as foreign currencycontracts, options contracts, or swaps agreements, derive their value fromunderlying asset prices, indices, reference rates, and other inputs or acombination of these factors. These contracts are normally valued on the basis ofbroker dealer quotations or pricing service providers. Depending on the productand the terms of the transaction, the value of the derivative contracts can beestimated by a pricing service provider using a series of techniques, includingsimulation pricing models. The pricing models use inputs that are observed fromactively quoted markets such as issuer details, indices, spreads, interest rates,curves, dividends and exchange rates. Derivatives that use similar valuationtechniques and inputs as described above are categorised as Level 2 of the fairvalue hierarchy.

Level 3 trading assets and trading liabilities, at fair market value Thevaluation techniques and significant inputs used in determining the fair marketvalues of financial instruments classified as Level 3 of the fair value hierarchy areas follows:

Securities and other assets for which market quotes are not readily available arevalued at fair value as determined in good faith by the Directors or persons actingat their direction and are categorised. The Directors have adopted methods forvaluing securities and other assets in circumstances where market quotes are notreadily available, and have delegated to Pacific Investment ManagementCompany LLC (“PIMCO”) the responsibility for applying the valuation methods. Forinstance, certain securities or investments for which daily market quotes are notreadily available may be valued, pursuant to guidelines established by theDirectors, with reference to other securities or indices. In the event that marketquotes are not readily available, and the security or asset cannot be valuedpursuant to one of the valuation methods, the value of the security or asset willbe determined in good faith by the Directors, or persons acting at their direction,generally based upon recommendations provided by PIMCO.

Market quotes are considered not readily available in circumstances where thereis an absence of current or reliable market-based data (e.g., trade information,


Notes to Financial Statements (Cont.)

bid/asked information), including where events occur after the close of therelevant market, but prior to the ISE close, that materially affect the values of theFund’s securities or assets. In addition, market quotes are considered not readilyavailable when, due to extraordinary circumstances, the exchanges or markets onwhich the securities trade, do not open for trading for the entire day and no othermarket prices are available. The Directors are responsible for monitoringsignificant events that may materially affect the value of the Fund’s securities orassets and for determining whether the value of the applicable securities orassets should be re-evaluated in light of such significant events.

The Board has adopted methods for valuing securities and other assets incircumstances where market quotes are not readily available, and has delegatedthe responsibility for applying the valuation methods to PIMCO. For instances inwhich daily market quotes are not readily available investments may be valued,pursuant to guidelines established by the Board, with reference to other securitiesor indices. In the event that the security or asset cannot be valued pursuant to oneof the valuation methods established by the Board, the value of the security orasset will be determined in good faith by the Valuation Committee of the Board,generally based upon recommendations provided by PIMCO. When the Fund usesfair valuation methods applied by PIMCO that uses significant unobservableinputs to determine its NAV, securities will be priced by another method that theBoard or persons acting at their direction believe accurately reflects fair marketvalue and are categorised as Level 3 of the fair value hierarchy. These methodsmay require subjective determinations about the value of the security. While theFunds’ policy is intended to result in a calculation of the Fund’s NAV that fairlyreflects security values as of the time of pricing, the Fund cannot guarantee thatvalues determined by the Board or persons acting at their direction wouldaccurately reflect the price that the Fund could obtain for a security if it were todispose of that security as of the time of pricing (for instance, in a forced ordistressed sale). The prices used by the Fund may differ from the value that wouldbe realised if the securities were sold.

For fair valuations using significant unobservable inputs, FRS 29 requires areconciliation of the beginning to ending balances for reported market values thatpresents changes attributable to total realised and unrealised gains or losses,purchases and sales, and transfers in/out of the Level 3 category during theperiod. In accordance with the requirements of FRS 29, a fair value hierarchy andLevel 3 reconciliation if any, have been included in the Notes to the Portfolios ofInvestments and Assets for each respective fund. FRS 29 also requires disclosureof any significant transfers between Level 1 and Level 2 and the reasons for thosetransfers. There were no significant transfers between Level 1 and Level 2 duringthe period ended 31 December 2010.

Additionally, if changing one or more inputs utilised in determining the fair valueof Level 3 assets or liabilities would change fair value significantly, FRS 29requires disclosure of the possible effect to a fund.

(d) Security TransactionsSecurities transactions are recorded as of the trade date. Securities purchased orsold on a when-issued or delayed-delivery basis may be settled a month or moreafter the trade date. Realised gains and losses from securities sold are recordedon the identified cost basis. Dividend income is recorded on the ex-dividend date,except certain dividends from foreign securities where the ex-dividend date mayhave passed, which are recorded as soon as the Fund is informed of theex-dividend date. Interest income, adjusted for the accretion of discounts andamortisation of premiums, is recorded on the accrual basis and calculated usingan effective interest methodology.

(e) Multi-Class AllocationsEach Class offered by the Company has equal rights as to assets and votingprivileges (except that shareholders of a Class have exclusive voting rightsregarding any matter relating solely to that Class). Within each Class of eachFund, the Company may issue either or both Income Shares (shares whichdistribute income) and Accumulation Shares (shares which accumulate income)except for the US Government Money Market Fund, which will only have IncomeShares. The multiple Class structure permits an investor to choose the method ofpurchasing shares that is most beneficial to the investor, given the amount of thepurchase, the length of time the investor expects to hold the shares, and other

circumstances. Where there are shares of a different Class or type in issue, theNAV per share amongst Classes may differ to reflect the fact that income hasbeen accumulated or distributed, or may have differing fees and expenses.Realised and unrealised capital gains and losses of each Fund are allocated dailyto each Class of shares based on the relative net assets of each Class of therespective Fund.

(f) Foreign CurrencyThe financial statements of each Fund are presented using the currency of theprimary economic environment in which it operates (the “functional currency”).The Funds in the Company have the same functional and presentation currency.Certain Funds have multiple Classes of foreign shares, which are shown in theforeign currency where each Class operates and are considered foreign currenciesfor the measurement of the financial statements. The presentation currency of thefinancial statements is primarily US Dollars, except for certain Funds that aredenominated in Euros or in British Pounds. The Company totals of the Funds,required under Irish Company law, are presented in US Dollars, which is theprimary economic environment of the Company. All amounts are in US Dollarsunless otherwise indicated.

The market values of foreign securities, currency holdings and other assets andliabilities are translated into the functional currency of each Fund based on thecurrent exchange rate for each business day. Fluctuations in the value of currencyholdings and other assets and liabilities resulting from changes in exchange ratesare recorded as unrealised gains or losses on foreign currencies.

The unrealised gains or losses arising from the translation of securitiesdenominated in a foreign currency are included in unrealised gain and loss ontransferable securities. Realised gains and losses arising between the transactionand settlement dates on purchases and sales of foreign currency denominatedsecurities are included in Net realised gain/(loss) on foreign currency in theStatements of Operations.

Certain Funds having a hedged class enter into foreign exchange contractsdesigned to offset the effect of hedging at the Fund level in order to leave thefunctional currency (the “Hedged Classes”).

With respect to the Hedged Classes, the Company intends to hedge againstmovements of the currency denominations of the Hedged Classes versus othercurrencies subject to the regulations and interpretations promulgated by theCentral Bank of Ireland from time to time. The Hedged Classes shall not beleveraged as a result of these transactions. While the Company will attempt tohedge currency risk, there can be no guarantee that it will be successful in doingso. Hedging transactions will be clearly attributable to a specific Class. All costsand gains/losses of such hedging transactions shall substantially limitshareholders in the relevant Hedged Class from benefiting if the Class currencyfalls against the functional currency and/or the currency in which some or all ofthe assets of the relevant Fund are denominated. The Company may from time totime at its discretion and upon prior notification to and clearance from the CentralBank of Ireland issue additional Classes of shares denominated in and hedged toother currencies.

The Statements of Assets and Liabilities are translated using exchange rates atthe year end and the Statements of Operations and Statements of Changes in NetAssets are translated at an average rate over the year for inclusion in thecombined financial statements of the Company. The method of translation has noeffect on the value of net assets allocated to the individual Funds.

(g) Transaction CostsTransaction costs are costs incurred to acquire financial assets or liabilities at fairvalue through profit or loss. They include the bid-ask spread, fees andcommissions paid to agents, advisers, brokers and dealers. Transaction costs areincluded in the Statements of Operations within the Net realised gain/(loss) ontransferable securities and deposits with credit institutions, Net realised gain/(loss) on financial derivative instruments and Net realised gain/(loss) on foreigncurrency.

(h) EqualisationEffective 1 January 2010 the Company adopted the accounting practice known asincome equalisation. The income equalisation adjustment ensures income


31 December 2010

distributed to the Shareholders investing in the Income Class Shares is inproportion to the time of ownership in the distribution period. A portion of thesubscription and redemption price of the Class’s shares, representing incomeincluded in the share price on the date of the share transaction, is credited orcharged respectively to income each time there is a relevant subscriptionor redemption.

3. CASH, SECURITIES AND OTHER INVESTMENTS

(a) Cash and Other Liquid AssetsCash and other liquid assets will be valued at their face value with interestaccrued, where applicable. All cash at bank balances are held either by BrownBrothers Harriman & Co., on overnight deposit with a third party institutionapproved by the Directors or directly with a sub-custodian. The overnight depositsdetailed in the Portfolio of Investments and Assets represent the actual amountsheld at period end which may not agree to the reported cash balances on theStatements of Assets and Liabilities. Certain Funds may also invest in the PIMCOUS Dollar Short-Term Floating NAV Fund, a Fund of PIMCO Funds Ireland plc inconnection with their cash management activities. The main investments of thePIMCO US Dollar Short-Term Floating NAV Fund are money market instrumentsand short maturity fixed income instruments. The PIMCO US Dollar Short-TermFloating NAV Fund may incur expenses related to its investment activities, butdoes not pay Management or Advisory Fees to PIMCO. The PIMCO US DollarShort-Term Floating NAV Fund is considered to be affiliated with the Company.

(b) Delayed-Delivery TransactionsCertain Funds may purchase or sell securities on a delayed-delivery basis. Thesetransactions involve a commitment by a Fund to purchase or sell securities for apredetermined price or yield, with payment and delivery taking place beyond thecustomary settlement period. When delayed-delivery purchases are outstanding,a Fund will designate liquid assets in an amount sufficient to meet the purchaseprice. When purchasing a security on a delayed-delivery basis, a Fund assumesthe rights and risks of ownership of the security, including the risk of price andyield fluctuations, and takes such fluctuations into account when determining itsNAV. A Fund may dispose of or renegotiate a delayed-delivery transaction after itis entered into, and may sell delayed-delivery securities before they are delivered,which may result in a capital gain or loss. When a Fund has sold a security on adelayed-delivery basis, the Fund does not participate in future gains and losseswith respect to the security.

(c) Exchange-Traded FundsCertain Funds may invest in exchange-traded funds (“ETFs”), which generally areindex-based investment companies that hold substantially all of their assets insecurities representing their specific index. ETFs are funds that issue shares thattrade throughout the day on an exchange and represent an investment in aportfolio of securities and assets. As a shareholder of another investmentcompany, the Fund would bear its pro rata portion of the other investmentcompany’s expenses, including advisory fees, in addition to the expenses the Fundbears directly in connection with its own operations.

(d) Inflation-Indexed BondsCertain Funds may invest in inflation-indexed bonds. Inflation-indexed bonds arefixed-income securities whose principal value is periodically adjusted to the rateof inflation. The interest rate on these bonds is generally fixed at issuance at arate lower than typical bonds. Over the life of an inflation-indexed bond, however,interest will be paid based on a principal value, which is adjusted for inflation.Any increase in the principal amount of an inflation-indexed bond will be includedas interest income in the Statements of Operations, even though investors do notreceive their principal until maturity.

(e) Loan Participations and AssignmentsCertain Funds may invest in direct debt instruments which are interests inamounts owed to lenders or lending syndicates by corporate, governmental, orother borrowers. A Fund’s investments in loans may be in the form ofparticipations in loans or assignments of all or a portion of loans from thirdparties. A loan is often administered by a bank or other financial institution (the“lender”) that acts as agent for all holders. The agent administers the terms of theloan, as specified in the loan agreement. A Fund may invest in multiple series ortranches of a loan, which may have varying terms and carry different associatedrisks. A Fund generally has no right to enforce compliance with the terms of the

loan agreement with the borrower. As a result, a Fund may be subject to thecredit risk of both the borrower and the lender that is selling the loan agreement.When a Fund purchases assignments from lenders it acquires direct rights againstthe borrower of the loan. Certain Funds may also enter into unfunded loancommitments, which are contractual obligations for future funding. Unfunded loancommitments may include revolving credit facilities, which may obligate Funds tosupply additional cash to the borrower on demand. Unfunded loan commitmentsrepresent a future obligation in full, even though a percentage of the notional loanamounts will never be utilised by the borrower.

When investing in a loan participation, a Fund has the right to receive paymentsof principal, interest and any fees to which it is entitled only from the lenderselling the loan agreement and only upon receipt of payments by the lender fromthe borrower. A Fund may receive a commitment fee based on the undrawnportion of the underlying line of credit portion of a floating rate loan. In certaincircumstances, a Fund may receive a prepayment penalty fee upon theprepayment of a floating rate loan by a borrower. Fees earned/paid are recordedas a component of interest income or interest expense on the Statementsof Operations.

As of the year ended 31 December 2010 and 31 December 2009, the unfundedloan commitments were:

Fund 2010 2009

Developing Local Markets Fund $ 1,700 -Diversified Income Fund 24,085 -Emerging Local Bond Fund 6,900 -Emerging Market Bond Fund 8,600 -Euro Long Average Duration Fund € 5,300 -Global Advantage Fund $ 1,695 -Global Bond Ex-US Fund - $ 1,315Global Bond Fund 7,341 27Global High Yield Bond Fund 7,230 2,289Global Investment Grade Credit Fund 20,162 -Global Real Return Fund 1,021 -High Yield Bond Fund 6,765 3,599Socially Responsible Emerging Markets Bond Fund 400 -UK Long Term Corporate Bond Fund £ 835 -Unconstrained Bond Fund $ 27,055 1,145

(f) Mortgage-Related and Other Asset-Backed SecuritiesCertain Funds may invest in mortgage-related and other asset-backed securities.These securities include mortgage pass-through securities, collateralisedmortgage obligations, commercial mortgage-backed securities, strippedmortgage-backed securities, asset-backed securities, collateralised debtobligations and other securities that directly or indirectly represent a participationin, or are secured by and payable from, mortgage loans on real property.Mortgage-related and other asset-backed securities are interests in pools of loansor other receivables. Mortgage-related securities are created from pools ofresidential or commercial mortgage loans, including mortgage loans made bysavings and loan institutions, mortgage bankers, commercial banks and others.Asset-backed securities are created from many types of assets, including autoloans, credit card receivables, home equity loans, and student loans. Thesesecurities provide a monthly payment which consists of both interest and principalpayments. Interest payments may be determined by fixed or adjustable rates. Therate of pre-payments on underlying mortgages will affect the price and volatilityof a mortgage-related security, and may have the effect of shortening orextending the effective duration of the security relative to what was anticipatedat the time of purchase. The timely payment of principal and interest of certainmortgage-related securities is guaranteed with the full faith and credit of theUnited States government. Pools created and guaranteed by non-governmentalissuers, including government-sponsored corporations, may be supported byvarious forms of insurance or guarantees, but there can be no assurance that theprivate insurers or guarantors can meet their obligations under the insurancepolicies or guarantee arrangements.

Collateralised Mortgage Obligations (“CMOs”) are debt obligations of a legalentity that are collateralised by mortgages and divided into classes. CMOs arestructured into multiple classes, often referred to as “tranches,” with each classbearing a different stated maturity and entitled to a different schedule forpayments of principal and interest, including pre-payments. Commercial



Mortgage-Backed Securities (“CMBS”) include securities that reflect an interestin, and are secured by, mortgage loans on commercial real property. Many of therisks of investing in CMBS reflect the risks of investing in the real estate securingthe underlying mortgage loans. These risks reflect the effects of local and othereconomic conditions on real estate markets, the ability of tenants to make loanpayments, and the ability of a property to attract and retain tenants. CMOs andCMBS may be less liquid and may exhibit greater price volatility than other typesof mortgage-related or asset-backed securities.

Stripped Mortgage-Backed Securities (“SMBS”) are derivative multi-classmortgage securities. SMBS are usually structured with two classes that receivedifferent proportions of the interest and principal distributions on a pool ofmortgage assets. A common type of SMBS will have one class receiving some ofthe interest and most of the principal from the mortgage assets, while the otherclass will receive most of the interest and the remainder of the principal. In themost extreme case, one class will receive all of the interest (the interest-only or“IO” class), while the other class will receive the entire principal (the principalonly or “PO” class). Payments received for IOs are included in interest income onthe Statements of Operations. Because little to no principal will be received at thematurity of an IO, adjustments are made to the book value of the security on amonthly basis until maturity. These adjustments are included in interest incomeon the Statements of Operations. Payments received for POs are treated asreductions to the cost and par value of the securities.

Collateralised Debt Obligations (“CDOs”) include collateralised bond obligations(“CBOs”), collateralised loan obligations (“CLOs”) and other similarly structuredsecurities. CBOs and CLOs are types of asset-backed securities. A CBO is a trustwhich is backed by a diversified pool of high risk, below investment grade fixedincome securities. A CLO is a trust typically collateralised by a pool of loans,which may include, among others, domestic and foreign senior secured loans,senior unsecured loans, and subordinate corporate loans, including loans that maybe rated below investment grade or equivalent unrated loans. The risks of aninvestment in a CDO depend largely on the type of the collateral securities andthe class of the CDO in which a fund invests. CDOs carry additional risksincluding, but not limited to, (i) the possibility that distributions from collateralsecurities will not be adequate to make interest or other payments, (ii) the qualityof the collateral may decline in value or default, (iii) the fund may invest in CDOsthat are subordinate to other classes, and (iv) the complex structure of thesecurity may not be fully understood at the time of investment and may producedisputes with the issuer or unexpected investment results.

(g) Payment In-Kind SecuritiesCertain Funds may invest in payment in-kind securities (“PIKs”). PIKs give theissuer the option at each interest payment date of making interest payments ineither cash or additional debt securities. Those additional debt securities usuallyhave the same terms, including maturity dates and interest rates, and associatedrisks as the original bonds. The daily market quotations of the original bonds mayinclude the accrued interest (referred to as a “dirty price”) which is reflected as acomponent of Financial Assets as fair value through profit or loss on TransferableSecurities in the Statements of Assets and Liabilities.

(h) Repurchase AgreementsCertain Funds may engage in repurchase transactions. Under the terms of atypical repurchase agreement, a Fund takes possession of an underlying debtobligation (collateral) subject to an obligation of the seller to repurchase, and aFund to resell, the obligation at an agreed-upon price and time. The market valueof the collateral must be equal at all times to the total amount of the repurchaseobligations, including interest. Securities purchased under repurchase agreementsare reflected as an asset in the Statements of Assets and Liabilities. Interestearned is recorded as a component of interest income in the Statements ofOperations. In periods of increased demand for collateral, a Fund may pay a feefor receipt of collateral, which may result in interest expense to the Fund.Generally, in the event of counterparty default, a Fund has the right to use thecollateral to offset losses incurred. If the counterparty should default, a Fund willseek to sell the securities which it holds as collateral. This could involveprocedural costs or delays in addition to a loss on the securities if their valueshould fall below their repurchase price.

(i) Restricted SecuritiesEach Fund may invest in securities that are subject to legal or contractualrestrictions on resale. These securities may be sold privately, but are required tobe registered or exempted from such registration before being sold to the public.Private placement securities are generally considered to be restricted except forthose securities traded between qualified institutional investors. Disposal ofrestricted securities may involve time-consuming negotiations and expenses, andprompt sale at an acceptable price may be difficult to achieve. Restrictedsecurities outstanding as at 31 December 2010 are disclosed in the Notes toPortfolio of Investments and Assets.

(j) Reverse Repurchase AgreementsCertain Funds may enter into reverse repurchase agreements. In a reverserepurchase agreement, a Fund sells to a financial institution a security that itholds with an agreement to repurchase the same security at an agreed-upon priceand date. Securities sold under reverse repurchase agreements are reflected as aliability in the Statements of Assets and Liabilities. Interest payments made arerecorded as a component of interest expense in the Statements of Operations. Inperiods of increased demand for collateral, a Fund may receive a fee for use ofthe security by the counterparty, which may result in interest income to the Fund.A reverse repurchase agreement involves the risk that the market value of thesecurity sold by a Fund may decline below the repurchase price of the security. AFund will segregate assets determined to be liquid by the Investment Advisers orotherwise cover its obligations under reverse repurchase agreements. As of 31December 2010 the market value of securities held as collateral for reverserepurchase agreements is $2,296 and $1,340 for 2010 and 2009 (amounts inthousands).

Fund 2010 2009

EuriborPLUS Fund $ 530 $ -Global Multi-Asset Fund 728 -Mortgage-Backed Securities Fund 1,038 -Total Return Bond Fund - 1,340

$ 2,296 $ 1,340

(k) Short SalesCertain Funds may enter into short sales transactions. A short sale is atransaction in which a Fund sells securities it does not own in anticipation of adecline in the market price of the securities. Securities sold in short saletransactions are reflected as a liability in the Statements of Assets and Liabilities.A Fund is obligated to deliver securities at the market price at the time the shortposition is closed. Possible losses from short sales may be unlimited, whereaslosses from purchases cannot exceed the total amount invested. Securities soldshort are covered by long portfolio investments in transferable securities andmoney market instruments.

(l) US Government Agencies or Government-Sponsored EnterprisesCertain Funds may invest in US Government agencies or Government-sponsoredenterprises. US Government securities are obligations of and, in certain cases,guaranteed by, the US Government, its agencies or instrumentalities. The USGovernment does not guarantee the NAV of the Funds’ shares. Some USGovernment securities, such as Treasury Bills, Notes and Bonds, and securitiesguaranteed by the Government National Mortgage Association (“GNMA”), or“Ginnie Mae” are supported by the full faith and credit of the United States;others, such as those of the Federal Home Loan Banks, are supported by the rightof the issuer to borrow from the US Department of the Treasury (the “USTreasury”); others, such as those of the Federal National Mortgage Association(“FNMA”), or “Fannie Mae” are supported by the discretionary authority of the USGovernment to purchase the agency’s obligations; and still others, such as thoseof the Student Loan Marketing Association, are supported only by the credit of theinstrumentality. US Government securities may include zero coupon securities,which do not distribute interest on a current basis and tend to be subject togreater risk than interest-paying securities of similar maturities such as USTreasury Strips which are fixed-income securities sold at a significant discount toface value and offer no interest; rather investors receive par at maturity.

Government-related guarantors (i.e., not backed by the full faith and credit of theUnited States Government) include FNMA and the Federal Home Loan MortgageCorporation (“FHLMC”). FNMA is a government-sponsored corporation the


31 December 2010

common stock of which is owned entirely by private stockholders. FNMApurchases conventional (i.e., not insured or guaranteed by any governmentagency) residential mortgages from a list of approved seller/servicers whichinclude state and federally chartered savings and loan associations, mutualsavings banks, commercial banks and credit unions and mortgage bankers. Pass-through securities issued by FNMA are guaranteed as to timely payment ofprincipal and interest by FNMA, but are not backed by the full faith and credit ofthe United States Government. FHLMC issues Participation Certificates (“PCs”),which are pass-through securities, each representing an undivided interest in apool of residential mortgages. FHLMC guarantees the timely payment of interestand ultimate collection of principal, but PCs are not backed by the full faith andcredit of the US Government.

(m) When-Issued TransactionsCertain Funds may purchase or sell securities on a when-issued basis. Thesetransactions are made conditionally because a security, although authorised, hasnot yet been issued in the market. A commitment by a Fund is made regardingthese transactions to purchase or sell securities for a predetermined price oryield, with payment and delivery taking place beyond the customary settlementperiod. A Fund may sell when-issued securities before they are delivered, whichmay result in a capital gain or loss.

4. FINANCIAL DERIVATIVE INSTRUMENTS

The following disclosures contain information on how and why the Funds usederivative instruments, the credit-risk-related contingent features in certainderivative instruments, and how derivative instruments affect the Funds’ financialposition, results of operations and cash flows. The derivative instrumentsoutstanding as of period end as disclosed in the Portfolio of Investments andAssets and the amounts of realised and changes in unrealised gains and losseson derivative instruments during the period as disclosed in the Statements ofOperations serve as indicators of the volume of derivative activity for the Funds.

(a) Foreign Currency TransactionsCertain Funds may enter into foreign currency contracts in connection withsettling planned purchases or sales of securities, to hedge the currency exposureassociated with some or all of a Fund’s securities or as a part of an investmentstrategy. A foreign currency contract is an agreement between two parties to buyand sell a currency at a set price on a future date. The market value of a foreigncurrency contract fluctuates with changes in foreign currency exchange rates.Foreign currency contracts are marked to market daily and the change in value isrecorded by a Fund as an unrealised gain or loss. Realised gains or losses equal tothe difference between the value of the contract at the time it was opened andthe value at the time it was closed are recorded upon delivery or receipt of thecurrency. These contracts may involve market risk in excess of the unrealised gainor loss reflected in the Statements of Assets and Liabilities. In addition, a Fundcould be exposed to risk if the counterparties are unable to meet the terms of thecontracts or if the value of the currency changes unfavorably to the functionalcurrency.

For Class level hedges the realised and unrealised gains or losses are allocatedsolely to the relevant share Classes. The unrealised gains or losses are notreflected in the Fund’s Financial Assets or Liabilities at fair value through profit orloss in the Statements of Assets and Liabilities but rather Other assets or Otherliabilities. The unrealised gains or losses are not included in the fair valuemeasurements disclosure included in the Notes to Portfolios of Investments andAssets but are considered a Level 2 holding. In connection with these contracts,securities may be identified as collateral in accordance with the term of therespective contracts.

(b) Futures ContractsCertain Funds may enter into futures contracts. A Fund may use futures contractsto manage its exposure to the securities markets or to movements in interestrates and currency values. The primary risks associated with the use of futurescontracts are the imperfect correlation between the change in market value of thesecurities held by a Fund and the prices of futures contracts and the possibility ofan illiquid market. Futures contracts are valued based upon their quoted dailysettlement prices. Upon entering into a futures contract, a Fund is required todeposit with its futures broker, an amount of cash or US Government and Agency

Obligations in accordance with the initial margin requirements of the broker orexchange. Futures contracts are marked to market daily and an appropriatepayable or receivable for the change in value (“variation margin”) is recorded bythe Fund. Unrealised appreciation and depreciation on futures contractsoutstanding are presented in the Statements of Assets and Liabilities as FinancialAssets at fair value through profit or loss and Financial Liabilities at fair valuethrough profit or loss, respectively. Gains or losses are recognised but notconsidered realised until the contracts expire or are closed. Futures contractsinvolve, to varying degrees, risk of loss in excess of the variation margin disclosedon the Statements of Assets and Liabilities.

(c) Options ContractsCertain Funds may write (i) call and put options on futures, swaps (“swaptions”),securities, commodities or currencies it owns or in which it may invest and(ii) inflation capped options. Writing put options tends to increase the Fund’sexposure to the underlying instrument. Writing call options tends to decrease theFund’s exposure to the underlying instrument. When the Fund writes a call or putoption and inflation capped option, an amount equal to the premium received isrecorded as a liability and subsequently marked to market to reflect the currentvalue of the option written. The purpose of inflation cap is to protect the buyerfrom inflation erosion above a certain rate on a given notional exposure. A floorcan be used to give downside protection to investments in inflation-linkedproducts. These liabilities are reflected as Financial Liabilities at fair valuethrough profit or loss in the Statements of Assets and Liabilities. Certain optionsmay be written with premiums to be determined on a future date. Premiumsreceived from writing options which expire are treated as realised gains.Premiums received from writing options which are exercised or closed are addedto the proceeds or offset against amounts paid on the underlying futures, swap,security or currency transaction to determine the realised gain or loss. A Fund as awriter of an option has no control over whether the underlying instrument may besold (call) or purchased (put) and as a result bears the market risk of anunfavorable change in the price of the instrument underlying the written option.There is the risk a Fund may not be able to enter into a closing transactionbecause of an illiquid market.

A Fund may also purchase put and call options. Purchasing call options tends toincrease a Fund’s exposure to the underlying instrument. Purchasing put optionstends to decrease a Fund’s exposure to the underlying instrument. A Fund pays apremium which is included in the Statements of Assets and Liabilities as aFinancial Asset at fair value through profit or loss and subsequently marked tomarket to reflect the current value of the option. Premiums paid for purchasingoptions which expire are treated as realised losses. Certain options may bepurchased with premiums to be determined on a future date. The premiums forthese options are based upon implied volatility parameters at specified terms. Therisk associated with purchasing put and call options is limited to the premiumpaid. Premiums paid for purchasing options which are exercised or closed areadded to the amounts paid or offset against the proceeds on the underlyinginvestment transaction to determine the realised gain or loss.

(d) Swap AgreementsCertain Funds may invest in swap agreements. Swap agreements are privatelynegotiated agreements between a Fund and a counterparty to exchange or swapinvestment cash flows, assets, foreign currencies or market-linked returns atspecified future intervals. A Fund may enter into credit default, cross-currency,interest rate, total return, variance and other forms of swap agreements tomanage its exposure to credit, currency and interest rate risk. In connection withthese agreements, securities or cash may be identified as collateral in accordancewith the terms of the respective swap agreements to provide assets of value andrecourse in the event of default or bankruptcy/insolvency.

Swaps are marked to market daily based upon values from third party vendors orquotations from market makers to the extent available and the change in value, ifany, is recorded as Financial Assets at fair value through profit or loss andFinancial Liabilities at fair value through profit or loss in the Statements of Assetsand Liabilities, respectively. In the event that market quotations are neitherreadily available nor deemed reliable, certain swap agreements may be valuedpursuant to guidelines established when, the value of the swap will bedetermined in good faith by the Directors, generally based upon recommendationsprovided by PIMCO.



Payments received or made at the beginning of the measurement period arerecorded as Financial Assets at fair value through profit or loss and FinancialLiabilities at fair value through profit or loss in the Statements of Assets andLiabilities, respectively and represent payments made or received upon enteringinto the swap agreement to compensate for differences between the stated termsof the swap agreement and prevailing market conditions (credit spreads, currencyexchange rates, interest rates, and other relevant factors). These upfrontpayments are recorded as realised gains or losses in the Statements ofOperations upon termination or maturity of the swap. A liquidation paymentreceived or made at the termination of the swap is recorded as realised gain orloss in the Statements of Operations. Net periodic payments received or paid bythe Fund are included as part of realised gains or losses in the Statementsof Operations.

Entering into these agreements may involve, to varying degrees, elements ofinterest, credit, market and documentation risk in excess of the amountsrecognised in the Statements of Assets and Liabilities. Such risks involve thepossibility that there will be no liquid market for these agreements, that thecounterparty to the agreements may default on its obligation to perform ordisagree as to the meaning of contractual terms in the agreements and that theremay be unfavorable changes in interest rates.

A Fund’s maximum risk of loss from counterparty credit risk is the discounted netvalue of the cash flows to be received from/paid to the counterparty of thecontract’s remaining life, to the extent that amount is positive. The risk ismitigated by having a master netting arrangement between a Fund and thecounterparty and by the posting of collateral to a Fund to cover a Fund’s exposureto the counterparty.

Credit Default Swap Agreements Credit default swap agreements involve oneparty making a stream of payments (referred to as the buyer of protection) toanother party (the seller of protection) in exchange for the right to receive aspecified return in the event of a default or other credit event for the referencedentity, obligation or index. As a seller of protection on credit default swapagreements, the Fund will generally receive from the buyer of protection a fixedrate of income throughout the term of the swap provided that there is no creditevent. As the seller, a Fund would effectively add leverage to its portfoliobecause, in addition to its total net assets, the Fund would be subject toinvestment exposure on the notional amount of the swap.

If the Fund is a seller of protection and a credit event occurs, as defined under theterms of that particular swap agreement, the Fund will either (i) pay to the buyerof protection an amount equal to the notional amount of the swap and takedelivery of the referenced obligation, other deliverable obligations or underlyingsecurities comprising the referenced index or (ii) pay a net settlement amount inthe form of cash or securities equal to the notional amount of the swap less therecovery value of the referenced obligation or underlying securities comprising thereferenced index. If the Fund is a buyer of protection and a credit event occurs, asdefined under the terms of that particular swap agreement, the Fund will either(i) receive from the seller of protection an amount equal to the notional amount ofthe swap and deliver the referenced obligation, other deliverable obligations orunderlying securities comprising the referenced index or (ii) receive a netsettlement amount in the form of cash or securities equal to the notional amountof the swap less the recovery value of the referenced obligation or underlyingsecurities comprising the referenced index. Recovery values are estimated bymarket makers considering either industry standard recovery rates or entityspecific factors and considerations until a credit event occurs. If a credit event hasoccurred, the recovery value is determined by a facilitated auction whereby aminimum number of allowable broker bids, together with a specified valuationmethod, are used to calculate the settlement value.

Credit default swap agreements on corporate issues, sovereign issues of anemerging country or US municipality involve one party making a stream ofpayments to another party in exchange for the right to receive a specified returnin the event of a default or other credit event. If a credit event occurs and cashsettlement is not elected, a variety of other deliverable obligations may bedelivered to the seller in lieu of the specific referenced obligation. The ability todeliver other obligations may result in a cheapest-to-deliver option (the buyer ofprotection’s right to choose the deliverable obligation with the lowest value

following a credit event). The Fund may use credit default swaps on corporateissues, sovereign issues of an emerging country or US municipality to provide ameasure of protection against defaults of the issuers (i.e., to reduce risk wherethe Fund owns or has exposure to the reference obligation) or to take an activelong or short position with respect to the likelihood of a particular issuer’s default.

Credit default swap agreements on asset-backed securities involve one partymaking a stream of payments to another party in exchange for the right to receivea specified return in the event of a default or other credit event. Unlike creditdefault swaps on corporate issues or sovereign issues of an emerging country,deliverable obligations in most instances would be limited to the specificreferenced obligation as performance for asset-backed securities can vary acrossdeals. Prepayments, principal paydowns, and other writedown or loss events onthe underlying mortgage loans will reduce the outstanding principal balance ofthe referenced obligation. These reductions may be temporary or permanent asdefined under the terms of the swap agreement and the notional amount for theswap agreement will be adjusted by corresponding amounts. The Fund may usecredit default swaps on asset-backed securities to provide a measure ofprotection against defaults of the referenced obligation or to take an active longor short position with respect to the likelihood of a particular referencedobligation’s default.

Credit default swap agreements on credit indices involve one party making astream of payments to another party in exchange for the right to receive aspecified return in the event of a write-down, principal shortfall, interest shortfallor default of all or part of the reference entities comprising the credit index. Acredit index is a list of a basket of credit instruments or exposures designed to berepresentative of some part of the credit market as a whole. These indices aremade up of reference credits that are judged by a poll of dealers to be the mostliquid entities in the credit default swap market based on the sector of the index.Components of the indices may include, but are not limited to, investment gradesecurities, high yield securities, asset backed securities, emerging markets, and/or various credit ratings within each sector. Credit indices are traded using creditdefault swaps with standardised terms including a fixed spread and standardmaturity dates. An index credit default swap references all the names in theindex, and if there is a default, the credit event is settled based on that name’sweight in the index. The composition of the indices changes periodically, usuallyevery six months, and for most indices, each name has an equal weight in theindex. The Fund may use credit default swaps on credit indices to hedge aportfolio of credit default swaps or bonds with a credit default swap on indiceswhich is less expensive than it would be to buy many credit default swaps toachieve a similar effect. Credit-default swaps on indices are benchmarks forprotecting investors owning bonds against default, and traders use them tospeculate on changes in credit quality.

The maximum potential amount of future payments (undiscounted) that a Fund asa seller of protection could be required to make under a credit default swapagreement would be an amount equal to the notional amount of the agreement.Notional amounts of all credit default swap agreements outstanding as of31 December 2010 for which the Fund is the seller of protection are disclosed inthe Portfolios of Investments and Assets. These potential amounts would bepartially offset by any recovery values of the respective referenced obligations,upfront payments received upon entering into the agreement, or net amountsreceived from the settlement of buy protection credit default swap agreementsentered into by the Fund for the same referenced entity or entities.

Cross-Currency Swap Agreements Cross-currency swap agreements involvetwo parties exchanging two different currencies with an agreement to reverse theexchange at a later date at specified exchange rates. The exchange of currenciesat the inception date of the contract takes place at the current spot rate. There-exchange at maturity may take place at the same exchange rate, a specifiedrate, or the then current spot rate. Interest payments, if applicable, are madebetween the parties based on interest rates available in the two currencies at theinception of the contract. The terms of cross currency swap agreements mayextend for many years. Cross-currency swaps are usually negotiated withcommercial and investment banks. Some cross-currency swaps may not providefor exchanging principal cash flows, but only for exchanging interest cash flows.


31 December 2010

Interest Rate Swap Agreements Certain Funds are subject to interest rate riskexposure in the normal course of pursuing its investment objectives. Because aFund holds fixed rate bonds, the value of these bonds may decrease if interestrates rise. To help hedge against this risk and to maintain its ability to generateincome at prevailing market rates, a Fund may enter into interest rate swapagreements. Interest rate swap agreements involve the exchange by the Fundwith another party of their respective commitments to pay or receive interest withrespect to the notional amount of principal. Certain forms of interest rate swapagreements may include: (i) interest rate caps, under which, in return for apremium, one party agrees to make payments to the other to the extent thatinterest rates exceed a specified rate, or “cap”, (ii) interest rate floors, underwhich, in return for a premium, one party agrees to make payments to the other tothe extent that interest rates fall below a specified rate, or “floor”, (iii) interestrate collars, under which a party sells a cap and purchases a floor or vice versa inan attempt to protect itself against interest rate movements exceeding givenminimum or maximum levels, (iv) callable interest rate swaps, under which thecounterparty may terminate the swap transaction in whole at zero cost by apredetermined date and time prior to the maturity date, (v) spreadlocks, whichallow the interest rate swap users to lock in the forward differential (or spread)between the interest rate swap rate and a specified benchmark, or (vi) basisswaps, under which two parties can exchange variable interest rates based ondifferent money markets.

Total Return Swap Agreements Certain Funds may enter into total return swapagreements. Total return swap agreements on commodities involve commitmentswhere cash flows are exchanged based on the price of a commodity in return foreither a fixed or floating price or rate. One party would receive payments basedon the market value of the commodity involved and pay a fixed amount. Totalreturn swap agreements on indices involve commitments to pay interest inexchange for a market-linked return. One counterparty pays out the total return ofa specific reference asset, which may be an equity, index, or bond, and in returnreceives a regular stream of payments. To the extent the total return of thesecurity or index underlying the transaction exceeds or falls short of the offsettinginterest rate obligation, the Fund will receive a payment from or make a paymentto the counterparty.

Certain Funds may invest in total return equity swaps (“equity swaps”). Equityswaps can be used to secure a profit or avoid a loss by reference to fluctuationsin the value or price of equities or financial instruments or in an index of suchequities or financial instruments. An equity swap is a derivative instrumentdesigned to replicate the economic performance and the cash flows of aconventional share investment.

The risks inherent in equity swaps are dependent on the position that a Fund maytake in the transaction: by utilising equity swaps, a Fund may put itself in a longposition on the underlying value, in which case the Fund will profit from anyincrease in the value of the underlying stock, and suffer from any decrease. Therisks inherent in a long position are identical to the risks inherent in the purchaseof the underlying stock. Conversely, a Fund may put itself in a short position onthe value of the underlying stock, in which case the Fund will profit from anydecrease in the underlying stock, and suffer from any increase. The risks inherentin a short position are greater than those of a long position: while there is aceiling to a maximum loss in a long position if the underlying stock is valued atzero, the maximum loss of a short position is that of the increase in the underlyingstock, an increase that, in theory, is unlimited.

It should be noted that a long or short equity swap position is based on theInvestment Adviser’s opinion of the future direction of the underlying security. Theposition could have a negative impact on the Fund’s performance.

Variance Swap Agreements Certain Funds may invest in variance swapagreements. Variance swap agreements involve two parties agreeing to exchangecash flows based on the measured variance (or square of volatility) of a specifiedunderlying asset. One party agrees to exchange a “fixed rate” or strike pricepayment for the “floating rate” or realised price variance on the underlying assetwith respect to the notional amount. At inception, the strike price is generallychosen such that the fair value of the swap is zero. At the maturity date, a netcash flow is exchanged, where the payoff amount is equivalent to the differencebetween the realised price variance of the underlying asset and the strike price

multiplied by the notional amount. As a receiver of the realised price variance, theFund would receive the payoff amount when the realised price variance of theunderlying asset is greater than the strike price and would owe the payoff amountwhen the variance is less than the strike. As a payer of the realised price variancethe Fund would owe the payoff amount when the realised price variance of theunderlying asset is greater than the strike price and would receive the payoffamount when the variance is less than the strike. This type of agreement isessentially a forward contract on the future realised price variance of theunderlying asset.

5. EFFICIENT PORTFOLIO MANAGEMENT

To the extent permitted by the investment objectives and policies of the Fundsand subject to the limits set down by the Central Bank of Ireland from time to timeand to the provisions of the Prospectus, utilisation of financial derivativeinstruments and investment techniques shall be employed for efficient portfoliomanagement purposes by all the Funds with the exception of the US GovernmentMoney Market Fund and the Euro Liquidity Fund. The Funds may use thesefinancial derivative instruments and investment techniques to hedge againstchanges in interest rates, non-functional currency exchange rates or securitiesprices or as part of their overall investment strategies.

6. TAXATION

Under current law and practice the Company qualifies as an investmentundertaking as defined in Section 739B of the Taxes Consolidation Act, 1997, asamended. On that basis, it is not chargeable to Irish tax on its income or gains.However, Irish tax may arise on the happening of a “chargeable event”. Achargeable event includes any distribution payments to shareholders or anyencashment, redemption, cancellation or transfer of shares, and the holding ofshares at the end of each eight year period beginning with the acquisition of suchshares.

No Irish tax will arise on the Fund in respect of chargeable events in respect of:

(a) A shareholder who is neither an Irish resident nor ordinarily resident in Irelandfor tax purposes, at the time of the chargeable event, provided appropriate validdeclarations in accordance with the provisions of the Taxes Consolidation Act,1997, as amended, are held by the Fund; and

(b) Certain exempted Irish tax resident shareholders who have provided the Fundwith the necessary signed statutory declarations.

The Finance Act 2010 provides that the Revenue Commissioners may grantapproval for investment funds marketed outside of Ireland to make payments tonon-resident investors without deduction of Irish tax where no relevantdeclaration is in place, subject to meeting the “equivalent measures”. A fundwishing to receive approval must apply in writing to the Revenue Commissioners,confirming compliance with the relevant conditions.

Dividends, interest and capital gains (if any) received on investments made by theFund may be subject to withholding taxes imposed by the country from which theinvestment income/gains are received and such taxes may not be recoverable bythe Fund or its shareholders.

A new reporting fund regime was introduced by the United Kingdom HM Revenueand Customs with effect from 1 December 2009, which will apply in the case ofthe Company to the year ending 31 December 2010 and subsequent years. Inaccordance with the new reporting fund regime, each share class will be viewedas a separate “offshore fund” for UK tax purposes. The reporting regime permitsan offshore fund to seek advance approval from HM Revenue and Customs to betreated as a reporting fund. Once an offshore fund has been granted “reportingfund” status it will maintain that status for so long as it continues to satisfy theconditions to be a “reporting fund” without a requirement to apply for furthercertification by HM Revenue and Customs.

The Company elected (under the transitional rules) to remain within the UKDistributor Status regime for the year ended 31 December 2010. An applicationfor each Share Class in the Company to be treated as a “reporting fund” for the



year ending 31 December 2011 was approved by HM Revenue and Customsduring the year.

7. DIVIDEND DISTRIBUTION POLICY

Dividend distributions of the Funds may be declared out of (i) net investmentincome which consists of interest and dividends less expenses; (ii) realised profitson the disposal of investments less realised and unrealised losses (including feesand expenses) and; (iii) other funds (excluding capital) as may be lawfullydistributed from the relevant Fund. With regard to the Emerging Asia Bond Fund,the Fund may only pay dividends out of net investment income and realised profitson the disposal of investments less realised and unrealised losses (including feesand expenses). Dividend distributions to holders of redeemable shares areclassified as finance costs in the Statements of Operations.

It is the current dividend distribution policy of the Company to pay to the holders ofIncome Shares the net investment income of the Funds, if any (which consists ofinterest and dividends, less expenses). The net investment income allocated toAccumulation Shares will neither be declared nor distributed but the NAV per shareof Accumulation Shares will be increased in relation to the net investment income.

In the case of the Euro Liquidity Fund and US Government Money Market Fund,dividend distributions will be declared daily and, depending on the shareholder’selection, paid in cash or reinvested in additional shares monthly. In the case ofthe EuriborPLUS Fund and the Emerging Asia Bond Fund, dividend distributionswill be declared monthly and, depending on the shareholder’s election, paid incash or reinvested in additional shares monthly. In the case of the StocksPLUSTM

Funds, PIMCO EqS Pathfinder FundTM and PIMCO EqS Pathfinder Europe FundTM

dividend distributions, if any, will be declared at least annually in December anddepending upon the shareholder’s election, paid in cash or reinvested inadditional shares after declaration.

Dividend distributions not reinvested in shares will be paid to the shareholder byway of bank transfer. Any dividend distribution unclaimed after a period of sixyears from the date of declaration of such dividend distribution shall be forfeitedand shall revert to the account of the relevant Fund. Shareholders can elect toreinvest dividend distributions in additional shares or have the dividenddistributions paid in cash by ticking the appropriate box on the Application Form.

8. SOFT COMMISSIONS

The Company did not enter into soft commission arrangements during the yearended 31 December 2010 or year ended 31 December 2009.

9. SEGREGATED LIABILITY

Further to the relevant provisions of the Investment Funds, Companies andMiscellaneous Provisions Act, 2005, the Company has adopted segregated liabilitybetween Funds. Accordingly, any liability on behalf of or attributable to any Fundof the Company shall be discharged solely out of the assets of that Fund, andneither the Company nor any Director, receiver, examiner, liquidator, provisionalliquidator or other person shall apply, nor be obliged to apply, the assets of anysuch Fund in satisfaction of any liability incurred on behalf of or attributable to anyother Fund of the Company, irrespective of when such liability was incurred.

10. CHANGES TO THE PROSPECTUS AND TO THE

MEMORANDUM AND ARTICLES OF ASSOCIATION

The Memorandum and Articles of Association were amended by specialresolution dated 25 May 2010.

Supplements to the Consolidated Prospectus dated 11 June 2007 were amendedfor the following:

• In respect of Norwegian investors (7 January 2010)• Supplement to the Prospectus (14 January 2010)• In respect of Swiss investors (14 January 2010)• In respect of German investors (20 January 2010)• Supplement to the Prospectus dated 28 January 2010 (Class E Fee

Change Supplement);

• In respect of Singapore investors (29 January 2010)• In respect of German investors (12 March 2010)• In respect of Swiss investors (3 March 2010)• In respect of Singapore investors (3 March 2010)• For the establishment of the Socially Responsible Emerging Markets Bond

Fund (30 March 2010)• Supplement to the Prospectus (9 April 2010)• For the establishment of the Emerging Asia Bond Fund (7 May 2010)• For the establishment of the PIMCO EqS Pathfinder FundTM (13 May 2010)• For the establishment of the PIMCO EqS Pathfinder Europe FundTM

(14 May 2010)• In respect of Danish investors (8 June 2010)• In respect of Singapore investors (16 June 2010)• In respect of Norwegian investors (10 June 2010)• Supplement to the prospectus (29 June 2010)• In respect of German Investors (19 May 2010)• In respect of Hong Kong investors (6 July 2010)• In respect of German investors (20 July 2010)• In respect of Singapore investors (19 August 2010)• Supplement to the Prospectus (14 September 2010)• In respect of Singapore investors (27 September 2010)• Supplement to the prospectus (27 September 2010)• In respect of Canadian investors (1 October 2010)• In respect of German investors (19 November 2010)• For the establishment of the Class M Retail Shares (10 November 2010)• In respect of German investors (2 December 2010)• In respect of Hong Kong investors (8 December 2010)• Supplement for the CommoditiesPLUSTM Fund (5 November 2010)

11. FEES AND EXPENSES

Fees Payable to the ManagerThe fees payable to the Manager as set out below shall not exceed 2.50% perannum of the NAV of each Fund.

Management FeeEffective 31 October 2009, the Directors simplified the fee and expense structureof the Company by paying PIMCO Global Advisors (Ireland) Limited (the“Manager”) a single fixed Management Fee out of which shall be paid the fees ofthe Investment Advisers, the fees of the Administrator and Custodian, and certainother expenses which shall include the fees of Paying Agents (and other localrepresentatives) in jurisdictions where the Funds are registered. The ManagementFee for each Fund is accrued on each Dealing Day and is payable monthly inarrears. The Manager may pay the Management Fee in full or in part to theInvestment Advisers in order to pay for the investment advisory and other servicesprovided by the Investment Advisers and in order for the Investment Advisers topay for administration, custody and other services procured for the Funds bythe Manager.

The Management Fee for each class of each Fund (expressed as a per annumpercentage of its NAV) is as follows:

Fund

Inst’l, Inv,Admin,

Classes (%)Class H

Inst’l (%)Class E, G,

M (%)

CommoditiesPLUS™ Strategy Fund 0.74 0.91 1.64Developing Local Markets Fund 0.85 1.02 1.75Diversified Income Fund 0.69 0.86 1.59Emerging Asia Bond Fund 0.65 0.82 1.50Emerging Local Bond Fund 0.89 1.06 1.89Emerging Markets and Infrastructure Bond

Fund 1.25 1.42 2.15Emerging Markets Bond Fund 0.79 0.96 1.69PIMCO EqS Pathfinder FundTM 0.89 1.06 2.09PIMCO EqS Pathfinder Europe FundTM 0.89 1.06 2.09EuriborPLUS Fund 0.40 0.57 1.15Euro Bond Fund 0.46 0.63 1.36Euro Credit Fund 0.46 0.63 1.36Euro Liquidity Fund 0.25 0.42 0.60Euro Long Average Duration Fund 0.46 0.63 1.36Euro Real Return Fund 0.46 0.63 1.36Euro Ultra-Long Duration Fund 0.46 0.63 1.36


31 December 2010

Fund

Inst’l, Inv,Admin,

Classes (%)Class H

Inst’l (%)Class E, G,

M (%)

FX Strategies Fund 0.65 0.82 1.50Global Advantage Fund 0.70 0.87 1.70Global Bond Fund 0.49 0.66 1.39Global Bond Ex-US Fund 0.49 0.66 1.39Global High Yield Bond Fund 0.55 0.72 1.45Global Investment Grade Credit Fund 0.49 0.66 1.39Global Multi-Asset Fund 0.95 1.12 2.15Global Real Return Fund 0.49 0.66 1.39High Yield Bond Fund 0.55 0.72 1.45Low Average Duration Fund 0.46 0.63 1.36Mortgage-Backed Securities Fund 0.46 0.63 1.36Socially Responsible Emerging Market Bond

Fund 0.89 1.06 1.74StocksPLUS™ Fund 0.55 0.72 1.45Total Return Bond Fund 0.50 0.67 1.40UK Corporate Bond Fund 0.46 0.63 1.36UK Long Term Corporate Bond Fund 0.46 0.63 1.36UK Sterling Inflation-Linked Fund 0.46 0.63 1.36UK Sterling Long Average Duration Fund 0.46 0.63 1.36UK Sterling Low Average Duration Fund 0.46 0.63 1.36UK Total Return Bond Fund 0.46 0.63 1.36Unconstrained Bond Fund 0.90 1.07 1.80US Government Money Market Fund 0.18 0.35 0.53

The Management Fee attributable to the Class H Institutional Class E, Class G andClass M share classes is generally higher than the Management Fee attributableto the other share classes. From this higher fee the Manager may pay for theexpense of distribution, intermediary and other services rendered to Shareholdersin these share classes of the Funds directly or indirectly by distributors or brokerdealers, banks, financial intermediaries, or other intermediaries.

Given the fixed nature of the Management Fee, the Manager, and notShareholders, takes the risk of any price increases in the cost of the servicescovered by the Management Fee and takes the risk of expense levels relating tosuch services increasing above the Management Fee as a result of a decrease innet assets. Conversely, the Manager, and not Shareholders, would benefit fromany price decrease in the cost of services covered by the Management Fee,including decreased expense levels, as a percentage of net assets, resulting froman increase in net assets.

Due to the nature of the Z Class offering and in an effort to avoid the duplicationof fees, the Management Fee for the Z Classes will be set at 0.00% per annum.

(a) Investment Advisory ServicesOn behalf of the Company, the Manager provides and/or procures investmentadvisory services. Such services include the investment and reinvestment of theassets of each Fund. The fees of the Investment Advisers are paid by the Managerfrom the Management Fee.

Prior to 31 October 2009, the Company paid to the Manager an Advisory Fee inconsideration of investment advisory services in respect of each Fund, and theManager, in turn, paid an advisory fee to the relevant Investment Advisers ascompensation for its services out of the Advisory Fee. The Advisory Fee for eachFund was accrued on each Dealing Day and paid monthly in arrears. The AdvisoryFee for each Fund was unchanged from 31 December 2008 through 30 October2009 except where noted in the following table.

The Advisory Fee for each class of each Fund (expressed as a per annumpercentage of its NAV) were as follows:

Fund

All Classesexcept Class

H Inst’l,Class H

Retail andClass E (%)

Class HInst’l (%)

Class HRetail andClass E (%) Class Z (1) (%)

CommoditiesPLUSTM Strategy Fund 0.59 0.72 1.55(2) 0.00Developing Local Markets Fund 0.65 0.75 1.45 0.00Diversified Income Fund 0.45 0.65 1.45 0.00Emerging Local Bond Fund 0.65 0.75 1.55 0.00Emerging Markets Bond Fund 0.59 0.75 1.45 0.00EuriborPLUS Fund 0.25 0.40 1.00 0.00

Fund

All Classesexcept Class

H Inst’l,Class H

Retail andClass E (%)

Class HInst’l (%)

Class HRetail andClass E (%) Class Z (1) (%)

Euro Bond Fund 0.29 0.47 1.25 0.00Euro Credit Fund 0.29 0.47 1.25 0.00Euro Liquidity Fund 0.175 0.175 0.50 0.00Euro Long Average Duration Fund 0.29 0.47 1.25 0.00Euro Real Return Fund 0.29 0.46 1.24 0.00Euro Ultra-Long Duration Fund 0.29 0.47 1.25 0.00FX Strategies Fund 0.49 0.70 1.50 0.00Global Advantage Fund 0.60 0.75 1.55 0.00Global Bond Fund 0.35 0.52 1.30 0.00Global Bond Ex-US Fund 0.35 0.52 1.30 0.00Global High Yield Bond Fund 0.39 0.52 1.30 0.00Global Investment Grade Credit Fund 0.35 0.52 1.30 0.00Global Multi-Asset Fund(3) 0.80 0.98 1.90 0.00Global Real Return Fund 0.35 0.52 1.30 0.00High Yield Bond Fund 0.39 0.52 1.30 0.00Low Average Duration Fund 0.35 0.45 1.25 0.00Mortgage-Backed Securities Fund 0.35 0.45 1.25 0.00StocksPLUSTM Fund 0.49 0.62 1.35 0.00Total Return Bond Fund 0.35 0.45 1.25 0.00UK Corporate Bond Fund 0.29 0.46 1.24 0.00UK Long Term Corporate Bond Fund 0.29 0.46 1.24 0.00UK Sterling Inflation-Linked Fund 0.29 0.46 1.24 0.00UK Sterling Long Average Duration

Fund 0.29 0.46 1.24 0.00UK Sterling Low Average Duration

Fund 0.29 0.46 1.24 0.00UK Total Return Bond Fund 0.29 0.46 1.24 0.00Unconstrained Bond Fund 0.70 0.85 1.65 0.00US Government Money Market Fund 0.20 0.25 0.60 0.00(1) The Z Classes are offered primarily for other Funds of the Company or for direct

investment by institutional investors who have entered into an investmentmanagement or other agreement with the Investment Advisor or a PIMCO affiliateauthorising investment in Z Classes.

(2) Class H Retail received 1.55%. Class E received 1.45%(3) The Advisory fee for all share Classes except the Z Class was reduced by 0.10%

through 30 October 2009. The fees stated in the table above are inclusive ofthis reduction.

(b) Administration and Custody ServicesOn behalf of the Company, the Manager provides and/or procures administrationand custody services. Such services include administration, transfer agency, fundaccounting, custody and sub-custody in respect of each Fund. The fees andexpenses of the Administrator and Custodian are paid by the Manager from theManagement Fee, or by the Investment Advisers. Prior to 31 October 2009, thefees and expenses of the Administrator and Custodian were accrued on eachDealing Day and paid separately out of the assets of each Fund. Also prior to31 October 2009, the Company paid the Manager in respect of each Fund an assetbased fee on the NAV of each Fund as consideration for support services providedto the Company pursuant to a services agreement.

The Administrator charges an asset-based fee on the NAV of each Fund and ispayable monthly in arrears. In addition to such fee, the Administrator may beentitled to receive additional charges for international taxation services, corporategovernance and secretarial services and other fund administration services. TheAdministrator shall also be entitled to be reimbursed for all reasonableout-of-pocket expenses incurred by it in the exercise of its duties in connectionwith each Fund.

The Custodian charges an asset-based fee on the NAV of each Fund and ispayable monthly in arrears. The charges for trustee and compliance servicesprovided by the Custodian are calculated based upon a per annum asset-basedfee on the aggregate NAV of the Funds. The fees of any sub-custodian appointedby the Custodian shall be charged at commercial rates, together with thetransaction charges of any sub-custodian. The Custodian shall also be entitled tobe reimbursed for all reasonable out-of-pocket expenses incurred by it in theexercise of its duties in connection with each Fund.



(c) Other Services and ExpensesOn behalf of the Company, the Manager provides and/or procures certain otherservices. These may include listing broker services, paying agent and other localrepresentative services, accounting, audit, legal and other professional adviserservices, company secretarial services, printing, publishing and translationservices, and the provision and co-ordination of certain supervisorial,administrative and shareholder services necessary for operation of the Funds.

Effective 31 October 2009, fees and any ordinary expenses in relation to theseservices will be paid by the Manager, or by the Investment Advisers on behalf ofthe Manager, from the Management Fee. Such fees and expenses will includecountry registration costs, paying agent and local representative costs, costsincurred in relation to preparing, translating, printing, publishing and distributingthe Prospectus, Annual and semiannual reports and other notices and documentsto Shareholders, expenses of the publication and distribution of the NAV, costs ofmaintaining a listing of Shares on the Irish Stock Exchange, costs in connectionwith obtaining and maintaining a credit rating for any Funds or Classes or Shares,expenses of Shareholders meetings, insurance premia (such as Directors andOfficers and Errors and Omissions policy premia), ordinary professional fees andexpenses, annual audit fees, Companies Registration Office filing fees and otherroutine statutory and regulatory fees, and ordinary expenses incurred by PIMCOand PIMCO Europe Ltd. in the provision of additional supervisorial services to theCompany, which services may include assistance and advice given in thepreparation of Annual and Semiannual reports, Prospectus updates, oversight ofthird party service providers’ share transfer operations and assisting witharranging shareholder and board meetings.

Prior to 31 October 2009, each Fund paid all of its expenses and its due proportionof any expenses allocated to it. The Funds will continue to bear other expensesrelated to their operation that are not covered by the Management Fee which mayvary and affect the total level of expenses within the Funds including, but notlimited to, taxes and governmental fees, brokerage fees, commissions and othertransaction expenses, costs of borrowing money including interest expenses,establishment costs, extraordinary expenses (such as litigation andindemnification expenses) and fees and expenses of the Company’s independentDirectors and their counsel.

The Company paid Directors’ fees of €72,000 during the year ended 31 December2010 (amount in 2009 was €66,000). The aggregate fee paid to each independentDirector shall not exceed €40,000 in each year. In addition, each independentDirector is reimbursed for any reasonable out-of-pocket expenses. Directors’ feesare a component of ‘Other expenses’ in the Statements of Operations.

The following table sets out the Audit Fees the Company paid during the yearsended 31 December 2010 and 31 December 2009:

Auditor's Remuneration 2010 € 2009 €

Statutory audit 468,000 425,000Other assurance services - -Tax advisory services 55,100 32,125Other non-audit services 2,000 -

525,100 457,125

Service FeeThe Service Fee which applies to the Investor Classes only is paid to the Managerand may be used to reimburse broker-dealers, financial intermediaries, or otherintermediaries that provide services in connection with the distribution andmarketing of Shares and/or the provision of certain shareholder services or theadministration of plans or programs that use Fund Shares as their fundingmedium, and to reimburse other related expenses. The services are provideddirectly by the Manager or indirectly through broker-dealers, financialintermediaries, or other intermediaries to all shareholders of the Investor Classes.The same services apply to all shareholders of the Investor Classes for the feeslevied. These services may include responding to shareholder inquiries about theFunds and their performance; assisting shareholders with purchases, redemptionsand exchanges of Shares; maintaining individualised account information andproviding account statements for shareholders; and maintaining other recordsrelevant to a shareholder’s investment in the Funds.

Plans or programmes that use Fund Shares as their funding medium may includeunit-linked insurance products and pension, retirement or savings plansmaintained by employers. All shareholders in the Investor Classes will receiveservices pursuant to agreements entered into with financial intermediaries withwhom those shareholders have a servicing relationship. The Service Fee iscalculated on the basis of 0.35% per annum of the NAV of each Fund attributableto the Investor Classes. The Service Fee is paid out of the NAV attributable to theInvestor Classes except in relation to the US Government Money Market Fund andthe Euro Liquidity Fund which attract a Service Fee of 0.125% per annum of theNAV of those Funds. The Service Fee for each Fund is accrued on each DealingDay and is payable monthly in arrears. The Manager may retain for its ownbenefit in whole or in part any Service Fee not payable to broker dealers, financialintermediaries or other intermediaries.

Trail FeeThe Trail Fee which applies to Administrative Class Shares is paid to theDistributor for personal services rendered to Shareholders of the Funds and themaintenance of Shareholder accounts, including compensation to, and expenses(including telephone and overhead expenses) of, financial consultants or otheremployees of participating or introducing brokers, certain banks and otherfinancial intermediaries who assist in the processing of purchase or redemptionrequests or the processing of dividend payments, who provide informationperiodically to Shareholders showing their positions in a Fund’s Shares, whoforward communications from the Company to Shareholders, who render ongoingadvice concerning the suitability of particular investment opportunities offered bythe Funds in light of the Shareholders’ needs, who respond to inquiries fromShareholders relating to such services, or who train personnel in the provision ofsuch services.

The services are provided directly by the Distributor or indirectly through brokerdealers, banks, financial intermediaries, or other intermediaries to allShareholders of Administrative Class Shares. The Trail Fee for each Fund isaccrued on each Dealing Day and is payable monthly in arrears. The Distributormay retain for its own benefit in whole or in part any Trail Fee not payable tobroker dealers, banks, financial intermediaries or other intermediaries.

The Trail Fee of each Fund (expressed as a per annum percentage of its NAV) isas follows:

Strategy Fund Name %

Fixed Income Developing Local Markets Fund, Diversified Income Fund,Emerging Asia Bond Fund, Emerging Local Bond Fund,Emerging Markets and Infrastructure Bond Fund, EmergingMarkets Bond Fund, EuriborPLUS Fund, Euro Bond Fund, EuroCredit Fund, Euro Long Average Duration Fund, Euro RealReturn Fund, Euro Ultra-Long Duration Fund, FX StrategiesFund, Global Advantage Fund, Global Bond Fund, Global BondEx-US Fund, Global High Yield Bond Fund, Global InvestmentGrade Credit Fund, Global Real Return Fund, High Yield BondFund, Low Average Duration Fund, Mortgage-BackedSecurities Fund, Socially Responsible Emerging MarketsBond Fund, Total Return Bond Fund, UK Corporate Bond Fund,UK Long Term Corporate Bond Fund, UK Sterling Inflation-Linked Fund, UK Sterling Long Average Duration Fund, UKSterling Low Average Duration Fund, UK Total Return BondFund and Unconstrained Bond Fund 0.50

Fixed Income Euro Liquidity Fund and US Government Money Market Fund 0.25Strategic

Markets CommoditiesPLUSTM Fund, Global Multi-Asset Fund 0.50Equity PIMCO EqS Pathfinder FundTM, PIMCO EqS Pathfinder Europe

FundTM, StocksPLUSTM Fund 0.75

Expense Limitation (including Management Fee Waiverand Recoupment)The Manager has agreed with the Company, pursuant to the ManagementAgreement between the Company and the Manager dated as of 28 January 1998,as amended, to manage total annual fund operating expenses for any Class ofFund, by waiving, reducing or reimbursing all or any portion of its ManagementFee, to the extent that (and for such period of time that) such operating expenseswould exceed, due to the payment of establishment costs and pro rata Directors’fees, the sum of such Class of such Fund’s Management Fee (prior to theapplication of any applicable Management Fee waiver), any Service or Trail fees,


31 December 2010

as applicable, and other expenses borne by such Fund’s share Class not coveredby the Management Fee as described above (other than establishment costs andpro rata Directors’ fees), plus 0.0049% per annum (calculated on a daily basisbased on the NAV of the Fund).

In any month in which the Management Agreement is in effect, the Manager mayrecoup from a Fund any portion of the Management Fee waived, reduced orreimbursed pursuant to the Management Agreement (the “ReimbursementAmount”) during the previous 36 months, provided that such amount paid to theManager will not 1), exceed 0.0049% per annum of the Class of the applicableFund’s average net assets (calculated on a daily basis); 2) exceed the totalReimbursement Amount; 3) include any amounts previously reimbursed to theManager; or 4) cause any Class of a Fund to maintain a net negative yield.

Prior to 31 October 2009, PIMCO had contractually agreed to reimburse theInstitutional Classes, Investor Classes, and Administrative Classes to the extentthat certain operational expenses exceed predefined amounts. Thereimbursements are a component of Reimbursements by Investment Advisers inthe Statements of Operations. As a result of the implementation of a single, fixedManagement Fee, it is no longer necessary to operate the expense limitationprocedure and expense limits in relation to the Institutional Classes, InvestorClasses, Administrative Classes and E Classes which have been operated by theManager to date. Accordingly, the Operational Expense Limitation Agreementbetween the Company and PIMCO dated as of 26 March 2003 (as amended) hasbeen terminated.

The operational expenses which PIMCO had agreed to reimburse should theyexceed certain limits included administration, transfer agency, custody,sub-custody and transfer fees, country registration costs and paying agent andrepresentative fees and expenses and other fees and expenses incurred inrelation to preparing, translating, printing, publishing and distributing theProspectus, Annual and Semiannual reports and other documents to theshareholders, the costs and expenses of maintaining a listing of shares on theIrish Stock Exchange, professional fees and expenses, annual audit fees and inthe expenses incurred by PIMCO in the provision of additional services to theCompany which services included assistance and advice given in the preparationof annual and semiannual reports, Prospectus updates, oversight of third partyservice providers’ share transfer operations and assisting with board meetings.The operational expense limits for each Fund was unchanged from 31 December2008 through 30 October 2009.

The operational expense limits with respect to the Institutional Classes, InvestorClasses, Administrative Classes, and E Classes of each Fund (expressed as a perannum percentage of its NAV) were as follows:

Fund %

CommoditiesPLUSTM Strategy Fund 0.25Developing Local Markets Fund 0.30Diversified Income Fund 0.26Emerging Local Bond Fund 0.30Emerging Markets Bond Fund 0.21EuriborPLUS Fund 0.30Euro Bond Fund 0.31Euro Credit Fund 0.31Euro Liquidity Fund 0.10Euro Long Average Duration Fund 0.26Euro Real Return Fund 0.31Euro Ultra-Long Duration Fund 0.31FX Strategies Fund 0.25Global Advantage Fund 0.30Global Bond Fund 0.30Global Bond Ex-US Fund 0.30Global High Yield Bond Fund 0.26Global Investment Grade Credit Fund 0.35Global Multi-Asset Fund 0.20Global Real Return Fund 0.35High Yield Bond Fund 0.26Low Average Duration Fund 0.25Mortgage-Backed Securities Fund 0.20StocksPLUSTM Fund 0.21Total Return Bond Fund 0.20UK Sterling Inflation-Linked Fund 0.31UK Sterling Investment Grade Credit Fund 0.31

Fund %

UK Sterling Long Average Duration Fund 0.31UK Sterling Low Average Duration Fund 0.31UK Total Return Bond Fund 0.31Unconstrained Bond Fund 0.25US Government Money Market Fund 0.20

12. RELATED PARTY TRANSACTIONS

The Manager, Investment Advisers, Distributors and Directors are related partiesas defined by FRS 8 “Related Party Transactions”. Fees payable to these partiesare disclosed in Note 11.

13. EXCHANGE RATES

For the purposes of combining the financial statements of the Funds, to arrive atCompany figures (required under Irish Company law), the amounts in theStatements of Assets and Liabilities have been translated at the exchange rateruling at 31 December 2010 from Euro to USD (USD/Euro 0.74541) and fromSterling to USD (USD/Sterling 0.63871). The exchange rates used for theStatements of Operations and the Statements of Changes in Net Assets have beentranslated at an average exchange rate for the year ending 31 December 2010 fromEuro to USD (USD/Euro 0.75381) and from Sterling to USD (USD/Sterling 0.64691).

The following table reflects the exchange rates used at 31 December 2010, toconvert the US Dollar exchange rates. They were also used to convert theinvestments and other assets and liabilities denominated in currencies other thanUS Dollars:

ForeignCurrency

Presentation Currency

EUR (1) GBP (2) USD (3) USD (4)

AED N/A N/A 3.67305 N/AAUD 1.31219 1.52738 0.98795 0.97556BRL 2.21019 2.59897 1.66405 1.66000CAD 1.32786 1.55570 0.99975 0.99365CHF 1.24425 1.45934 0.93680 0.93210CLP N/A N/A 467.95000 467.95000CNY 8.75130 10.31715 6.60080 6.58970COP N/A N/A 1921.00000 1920.00000CZK N/A N/A 18.95535 N/ADKK 7.45478 8.69695 5.61270 5.55485EUR (or €) N/A 1.16704 0.75289 0.74541EGP N/A N/A 5.80500 5.80500GBP (or £) 0.86297 N/A 0.64973 0.63871HKD 10.42874 N/A 7.78110 7.77365HUF N/A N/A 210.49170 207.48390IDR 11938.79000 N/A 8995.00000 9010.00000ILS N/A N/A 3.54350 3.54150INR 59.60680 N/A 44.95500 44.71500JPY 108.57371 126.98204 81.74500 81.10500KRW 1501.83070 1776.85625 1134.90000 1134.90000MYR N/A 4.82770 3.08350 3.08350MXN 16.44763 19.31075 12.38340 12.33400NOK 7.82204 N/A 5.88920 5.81250NZD 1.72953 2.00416 0.76795 1.28008PEN N/A N/A 2.80950 N/APHP 58.00880 68.59110 43.81000 43.81000PLN 3.96746 4.62563 2.98710 2.95445RON N/A N/A 3.23100 N/ARUB N/A N/A 30.57000 N/ASEK 8.98374 10.52563 6.76385 6.72285SGD 1.71200 2.00567 1.28840 1.28105SKK N/A N/A N/A N/ATWD 38.53350 N/A 29.12500 29.15650THB N/A N/A 30.14500 30.14500TRY 2.03720 N/A 1.55310 1.53900USD (or $) 1.32820 1.56565 N/A N/AUYU N/A N/A 19.90000 N/AZAR 8.82100 N/A 6.66605 6.61575(1) Funds with a functional currency of Euro used 30 December 2010 exchange rates as

they were closed on 31 December 2010.(2) Funds with a functional currency of GBP used 31 December 2010 exchange rates.(3) The Emerging Markets Bond Fund, Emerging Asia Bond Fund, Global Multi-Asset Fund

and Socially Responsible Emerging Market Bond Fund have a 30 December 2010valuation and used 30 December 2010 exchange rates.

(4) Funds with a functional currency of USD used 31 December 2010 exchange rates.



14. FINANCIAL RISKS

The main risks arising from the Company’s financial instruments are market price,foreign currency, interest rate, liquidity and credit risks.

(a) Market Price RiskMarket risk arises mainly from uncertainty about future prices of financialinstruments held. It represents the potential loss the Fund might suffer throughholding market positions in the face of adverse price movements. The InvestmentAdvisers consider the asset allocation of the portfolio in order to minimise the riskassociated with particular countries or industry sectors whilst continuing to followthe Fund’s investment objectives.

The Investment Advisers use a number of quantitative techniques to assess theimpact of market risks including credit events, changes in interest rates, creditspreads and recovery values on the Fund’s investment portfolio.

The Investment Advisers use Value at Risk (“VaR”) analysis, a technique widelyused by financial institutions to quantify, assess, and report market risk. VaR is astatistical framework that supports the quantification of market risk within aportfolio at a specified confidence interval over a defined holding period. VaR seeksto quantify the expected maximum dollar losses that may result from the interactivebehaviour of all material market prices, spreads, volatilities, rates and other risksincluding foreign exchange, interest rate, emerging market and convexity risk basedon the historically observed relationships between these markets.

Although the use of derivatives may give rise to an additional leveraged exposure,any such additional exposure will be covered and will be risk managed using the VaRmethodology in accordance with the Central Bank of Ireland’s requirements. It shouldbe noted that these are the current VaR limits required by the Central Bank ofIreland. The Investment Advisers monitor portfolio risk using market factor exposures

on a daily basis. Potential market risk is calculated using the parametric delta-normalor factor model approach. VaR is calculated and reported automatically each dayusing the closing prices and market information of the most recent business day.Depending on the application of the risk statistics, various confidence levels (such as99%) and time horizons (weeks or months) might be selected.

In addition to daily VaR measures, three types of stress tests are also conductedfor each Fund. The first test includes scenario duration tests that measure whathappens to the value of the portfolio if unexpected movements in yields occur inthe market. The second test involves a database of historical crisis scenarios thatcan be executed to test reactions to these crises. The historical crisis scenarioscontain many unexpected changes in market conditions and correlation matrices.The third test involves correlation matrices which can be manipulated manually toreflect conditions that may happen in the future but have not happened so far.

The daily VaR measures are an estimate of the worst-case portfolio loss over thenext one month period under current market conditions. The value is estimatedwith a 99% confidence level, which means that this loss is not expected to beexceeded more than once in the next 100 months, or eight years.

Not all risks to which the portfolio may be exposed are intended to be captured byVaR and, in particular, the framework does not seek to capture liquidity risk,counterparty credit risk, or extreme credit events such as an issuer default. Inpractice, the actual trading results will differ from the VaR and may not provide ameaningful indication of profits and losses in stressed market conditions. Todetermine the reliability of the VaR models, actual outcomes are monitored to testthe validity of the assumptions and parameters used in the VaR calculation.Market risk positions are also subject to regular stress tests to ensure that theFund would withstand an extreme market event.

The following table sets out the potential maximum risk of loss for the portfolios as at 31 December 2010 and 31 December 2009:

31-Dec-10 31-Dec-09

Fund VaR% of

Net Assets VaR% of

Net Assets

CommoditiesPLUS™ Strategy Fund $ 29,613 14.89% $ 8,889 17.30%Developing Local Markets Fund 51,251 6.98% 10,171 7.53%Diversified Income Fund 133,086 6.37% 44,615 6.71%Emerging Asia Bond Fund 1,706 11.41% N/A N/AEmerging Local Bond Fund 322,094 11.40% 34,435 14.96%Emerging Markets and Infrastructure Bond Fund 38,737 8.12% 4,524 10.51%Emerging Markets Bond Fund 385,487 11.10% 432,914 13.71%PIMCO EqS Pathfinder FundTM 21,834 9.57% N/A N/APIMCO EqS Pathfinder Europe FundTM € 24,499 9.22% N/A N/AEuriborPLUS Fund 6,503 1.34% € 1,174 0.78%Euro Bond Fund 26,123 2.72% 29,791 2.86%Euro Credit Fund 8,489 3.22% 3,407 3.60%Euro Liquidity Fund 18 0.04% 19 0.06%Euro Long Average Duration Fund 33,740 7.14% 35,547 7.71%Euro Real Return Fund 3,866 2.57% 6,966 5.31%Euro Ultra-Long Duration Fund 21,820 17.57% 14,401 18.79%FX Strategies Fund 1,763 2.77% 858 1.42%Global Advantage Fund $ 13,487 5.90% $ 1,539 5.61%Global Bond Fund 133,789 2.42% 110,508 2.62%Global Bond Ex-US Fund 12,006 2.44% 16,709 2.75%Global High Yield Bond Fund 163,728 7.30% 81,237 8.04%Global Investment Grade Credit Fund 436,827 4.50% 246,495 4.52%Global Multi-Asset Fund 182,692 8.64% 32,119 8.41%Global Real Return Fund 61,143 2.86% 59,372 5.18%High Yield Bond Fund 177,173 6.81% 91,793 8.41%Low Average Duration Fund 51,142 1.64% 18,023 1.13%Mortgage-Backed Securities Fund 2,033 3.33% 4,754 4.02%Socially Responsible Emerging Markets Bond Fund 14,763 10.62% N/A N/AStocksPLUS™ Fund 34,940 13.81% 27,659 15.93%Total Return Bond Fund 712,101 3.38% 255,394 2.60%UK Corporate Bond Fund £ 18,370 4.69% £ 20,254 5.29%UK Long Term Corporate Bond Fund 57,272 6.76% 76,768 7.34%UK Sterling Inflation-Linked Fund 5,871 5.88% 12,405 11.07%UK Sterling Long Average Duration Fund 16,794 8.50% 23,753 9.48%UK Sterling Low Average Duration Fund 2,408 2.08% 5,303 2.61%UK Total Return Bond Fund 814 4.42% 795 4.97%Unconstrained Bond Fund $ 5,458 0.16% $ 509 0.20%US Government Money Market Fund 23 0.05% 31 0.07%


31 December 2010

(b) Foreign Currency RiskIf the Funds invest directly in foreign currencies or in securities that trade in, andreceive revenues in, foreign currencies, or in derivatives that provide exposure toforeign currencies, it will be subject to the risk that those currencies will declinein value relative to the functional currency of the Fund, or, in the case of hedgingpositions, that the Funds’ functional currency will decline in value relative to thecurrency being hedged. Currency rates in foreign countries may fluctuate

significantly over short periods of time for a number of reasons, including changesin interest rates, intervention (or the failure to intervene) by US or foreigngovernments, central banks or supranational entities such as the InternationalMonetary Fund, or by the imposition of currency controls or other politicaldevelopments in the United States or abroad. As a result, the Funds’ investmentsin foreign currency denominated securities may reduce the returns of the Funds.

The investments of the Euro Liquidity Fund and US Government Money Market Fund were acquired in the functional currency of the Fund, thus there is no foreign currencyexposure. Mortgage-Backed Securities Fund and Socially Responsible Emerging Markets Bond Fund had no material foreign currency exposure at 31 December 2010 or31 December 2009 if applicable. The following tables set out the total exposure to foreign currency risk in currencies where foreign currency exposure is deemed material(i.e. where, all other variables being equal, the impact of a reasonably possible movement in the foreign exchange rate would result in a significant movement in the netassets) (Amounts in thousands):


As at 31-Dec-2010 As at 31-Dec-2009

Total Hedging Net Total Hedging Net

Euro $ 6,581 $ (12,392) $ (5,811) $ 1,599 $ (1,600) $ (1)$ 6,581 $ (12,392) $ (5,811) $ 1,599 $ (1,600) $ (1)




Brazilian Real $ 17,061 $ (1,382) $ 15,679 $ 4,484 $ (1,048) $ 3,436Chilean Peso - 16,071 16,071 - 2,185 2,185Chinese Yuan Renminbi - 32,725 32,725 - 6,295 6,295Colombia Peso 358 8,295 8,653 285 2,673 2,958Czech Koruna 8 50,983 50,991 - 9,455 9,455Hong Kong Dollar - 65,120 65,120 - 12,420 12,420Indian Rupee - 26,132 26,132 - 4,473 4,473Indonesian Rupiah - 18,195 18,195 - 3,623 3,623Israeli Shekel 2,516 25,155 27,671 - 5,029 5,029Malaysian Ringgit - 20,699 20,699 - 3,297 3,297Mexican Peso 20,160 69,739 89,899 583 15,869 16,452Peruvian Nuevo Sol 219 16,381 16,600 266 618 884Philippines Peso - 28,854 28,854 - 4,502 4,502Polish Zloty 49,482 40,971 90,453 3,391 13,518 16,909Romanian Leu - 20,807 20,807 - 3,029 3,029Singapore Dollar - 87,629 87,629 - 14,727 14,727South African Rand 137 22,732 22,869 101 6,722 6,823South Korean Won - 19,120 19,120 - 3,906 3,906Taiwan Dollar - 15,445 15,445 - 2,766 2,766Turkish Lira 24,843 24,991 49,834 139 9,108 9,247

$ 114,784 $ 608,662 $ 723,446 $ 9,249 $ 123,167 $ 132,416




Chinese Yuan Renminbi $ - $ 71,484 $ 71,484 $ - $ 10,192 $ 10,192Singapore Dollar - 42,502 42,502 - - -

$ - $ 113,986 $ 113,986 $ - $ 10,192 $ 10,192


As at 31-Dec-2010

Total Hedging Net

Chinese Yuan Renminbi $ - $ 683 $ 683Czech Koruna 2 1,201 1,203Hong Kong Dollar - 1,020 1,020Hungarian Forint - 632 632Indian Rupee - 396 396Indonesian Rupiah - 343 343Israeli Shekel - 511 511Malaysian Ringgit - 373 373Mexican Peso - 1,805 1,805Peruvian Nuevo Sol - 304 304Philippines Peso 121 437 558Polish Zloty - 1,742 1,742Romanian Leu 11 468 479Singapore Dollar - 1,674 1,674South African Rand - 586 586Taiwan Dollar - 306 306Turkish Lira - 1,062 1,062

$ 134 $ 13,543 $ 13,677






Brazilian Real $ 246,045 $ 44,464 $ 290,509 $ 22,396 $ 2,257 $ 24,653Chinese Yuan Renminbi 2 89,599 89,601 - 5,923 5,923Colombia Peso 56,177 53,737 109,914 5,307 5,643 10,950Hungarian Forint 15,456 27,908 43,364 22,907 (12,543) 10,364Indonesian Rupiah 229,186 48,011 277,197 17,270 3,890 21,160Malaysian Ringgit 165,783 155,643 321,426 6,656 17,308 23,964Mexican Peso 381,746 (32,340) 349,406 24,350 5,574 29,924Peruvian Nuevo Sol 32,881 42,453 75,334 4,295 (1,631) 2,664Philippines Peso 10,857 56,831 67,688 - 3,271 3,271Polish Zloty 406,591 (74,508) 332,083 21,638 5,752 27,390Russian Ruble - 76,630 76,630 - - -Singapore Dollar - 57,966 57,966 - 2,875 2,875South African Rand 201,979 41,694 243,673 18,810 4,611 23,421South Korean Won - 57,394 57,394 - 4,217 4,217Thai Baht 157,605 93,495 251,100 11,138 9,034 20,172Turkish Lira 125,300 93,905 219,205 6,473 11,611 18,084

$ 2,029,608 $ 832,882 $ 2,862,490 $ 161,240 $ 67,792 $ 229,032




Euro $ 49 $ (13,445) $ (13,396) $ - $ - $ -Indian Rupee - 9,611 9,611 - - -Mexican Peso 1,801 5,238 7,039 768 313 1,081

$ 1,850 $ 1,404 $ 3,254 $ 768 $ 313 $ 1,081




Chinese Yuan Renminbi $ - $ 78,833 $ 78,833 $ - $ 42,855 $ 42,855$ - $ 78,833 $ 78,833 $ - $ 42,855 $ 42,855


As at 31-Dec-2010

Total Hedging Net

Australian Dollar $ - $ 8,169 $ 8,169British Pound Sterling - (14,761) (14,761)Canadian Dollar - 8,547 8,547Danish Krone - (6,319) (6,319)Euro 25 (23,386) (23,361)Japenese Yen 7 13,771 13,778Swiss Franc - (7,372) (7,372)

$ 32 $ (21,351) $ (21,319)


As at 31-Dec-2010

Total Hedging Net

British Pound Sterling € 1 € 28,072 € 28,073United States Dollar 40 (16,438) (16,398)

€ 41 € 11,634 € 11,675

EuriborPLUS Fund



Danish Krone € 8 € - € 8 € 28,907 € (15,287) € 13,620Singapore Dollar - 14,223 14,223 - 1,403 1,403South Korean Won - 14,003 14,003 - 1,380 1,380United States Dollar 43,522 (58,533) (15,011) 1,188 (1,934) (746)

€ 43,530 € (30,307) € 13,223 € 30,095 € (14,438) € 15,657


31 December 2010

Euro Bond Fund



Danish Krone € 58,385 € (40,527) € 17,858 € 61,186 € (8,139) € 53,047Taiwan Dollar - 19,660 19,660 - - -United States Dollar 143,110 (193,033) (49,923) 73,215 (90,826) (17,611)

€ 201,495 € (213,900) € (12,405) € 134,401 € (98,965) € 35,436

Euro Credit Fund



Danish Krone € - € 14 € 14 € 2,016 € 13 € 2,029United States Dollar 21,232 (20,371) 861 4,087 (6,601) (2,514)

€ 21,232 € (20,357) € 875 € 6,103 € (6,588) € (485)




Australian Dollar € - € 9,563 € 9,563 € - € - € -Danish Krone 121 (156) (35) 11,410 566 11,976United States Dollar 62,509 (63,094) (585) 26,735 (36,624) (9,889)

€ 62,630 € (53,687) € 8,943 € 38,145 € (36,058) € 2,087




Danish Krone € 16 € - € 16 € 8,628 € (5,020) € 3,608United States Dollar 5,506 (9,410) (3,904) 7,289 (9,003) (1,714)

€ 5,522 € (9,410) € (3,888) € 15,917 € (14,023) € 1,894




Danish Krone € 13,090 € (13,241) € (151) € 7,270 € 26 € 7,296United States Dollar 5,778 9,874 15,652 1,438 (5,147) (3,709)

€ 18,868 € (3,367) € 15,501 € 8,708 € (5,121) € 3,587

FX Strategies Fund



Australian Dollar € (615) € 49,175 € 48,560 € 12 € 4,594 € 4,606Danish Krone 14,427 (10,445) 3,982 12,568 (7,908) 4,660Japenese Yen 920 34,842 35,762 753 (4,603) (3,850)New Zealand Dollar (53) 12,071 12,018 - - -Norwegian Krone - 12,937 12,937 - - -Swedish Krona - 12,171 12,171 - 3,532 3,532Swiss Franc - (37,424) (37,424) 32 (3,972) (3,940)United States Dollar 4,448 (39,945) (35,497) 4,396 (1,876) 2,520

€ 19,127 € 33,382 € 52,509 € 17,761 € (10,233) € 7,528




Brazilian Real $ 797 $ 4,090 $ 4,887 $ 432 $ 513 $ 945British Pound Sterling 8,011 1,247 9,258 55 1,117 1,172Canadian Dollar 2,389 9,241 11,630 110 1,043 1,153Chinese Yuan Renminbi – 13,282 13,282 – 1,258 1,258Euro 32,845 8,034 40,879 2,536 4,757 7,293Indian Rupee – 4,772 4,772 – 164 164Japenese Yen 3,251 16,653 19,904 334 2,134 2,468Mexican Peso 7,772 459 8,231 908 473 1,381South Korean Won – 8,114 8,114 – 1,080 1,080

$ 55,065 $ 65,892 $ 120,957 $ 4,375 $ 12,539 $ 16,914



Global Bond Fund



Chinese Yuan Renminbi $ - $ 210,565 $ 210,565 $ - $ 74,126 $ 74,126Euro 1,557,614 (1,795,029) (237,415) 1,561,443 (1,609,791) (48,348)

$ 1,557,614 $ (1,584,464) $ (26,850) $ 1,561,443 $ (1,535,665) $ 25,778




Chinese Yuan Renminbi $ - $ 23,136 $ 23,136 $ - $ 10,090 $ 10,090Euro 173,561 (192,532) (18,971) 289,080 (282,621) 6,459

$ 173,561 $ (169,396) $ 4,165 $ 289,080 $ (272,531) $ 16,549




Brazilian Real $ 8,590 $ (7,015) $ 1,575 $ 31,354 $ - $ 31,354$ 8,590 $ (7,015) $ 1,575 $ 31,354 $ - $ 31,354




Chinese Yuan Renminbi $ - $ 199,576 $ 199,576 $ 857,093 $ (851,619) $ 5,474Euro 746,208 (994,175) (247,967) - - -

$ 746,208 $ (794,599) $ (48,391) $ 857,093 $ (851,619) $ 5,474




Australian Dollar $ (166) $ 61,584 $ 61,418 $ – $ 4,640 $ 4,640British Pound Sterling 16,075 70,847 86,922 – 11,832 11,832Canadian Dollar 191,603 (18,628) 172,975 – 8,310 8,310Euro 61,260 33,756 95,016 2,058 7,882 9,940Japenese Yen 10,988 91,957 102,945 – 7,758 7,758

$ 279,760 $ 239,516 $ 519,276 $ 2,058 $ 40,422 $ 42,480




Euro $ 464,881 $ (514,825) $ (49,944) $ 348,286 $ (355,732) $ (7,446)Swedish Krona 72,703 (9,117) 63,586 41,967 (41,422) 545

$ 537,584 $ (523,942) $ 13,642 $ 390,253 $ (397,154) $ (6,901)




Brazilian Real $ 13,152 $ (11,174) $ 1,978 $ 22,776 $ - $ 22,776$ 13,152 $ (11,174) $ 1,978 $ 22,776 $ - $ 22,776




Canadian Dollar $ 42,256 $ 43,104 $ 85,360 $ 9 $ 821 $ 830$ 42,256 $ 43,104 $ 85,360 $ 9 $ 821 $ 830

StocksPLUSTM Fund



Canadian Dollar $ 103 $ 7,170 $ 7,273 $ 3 $ 105 $ 108$ 103 $ 7,170 $ 7,273 $ 3 $ 105 $ 108


31 December 2010




Canadian Dollar $ 529,232 $ 74,623 $ 603,855 $ 27,215 $ 1,021 $ 28,236$ 529,232 $ 74,623 $ 603,855 $ 27,215 $ 1,021 $ 28,236




Euro £ 35,558 £ (46,603) £ (11,045) £ 55,031 £ (53,708) £ 1,323£ 35,558 £ (46,603) £ (11,045) £ 55,031 £ (53,708) £ 1,323




Euro £ 38,815 £ (63,230) £ (24,415) £ 100,924 £ (101,572) £ (648)United States Dollar 40,776 (59,469) (18,693) 41,648 (66,353) (24,705)

£ 79,591 £ (122,699) £ (43,108) £ 142,572 £ (167,925) £ (25,353)




Euro £ 8,820 £ (12,357) £ (3,537) £ 10,803 £ (12,403) £ (1,600)United States Dollar 18,106 (6,843) 11,263 10,145 (8,903) 1,242

£ 26,926 £ (19,200) £ 7,726 £ 20,948 £ (21,306) £ (358)




Euro £ 23,124 £ (32,812) £ (9,688) £ 36,352 £ (36,851) £ (499)United States Dollar 25,229 (19,769) 5,460 25,678 (27,960) (2,282)

£ 48,353 £ (52,581) £ (4,228) £ 62,030 £ (64,811) £ (2,781)




Euro £ 20,340 £ (25,219) £ (4,879) £ 30,697 £ (30,619) £ 78United States Dollar 13,163 (10,440) 2,723 11,779 (9,760) 2,019

£ 33,503 £ (35,659) £ (2,156) £ 42,476 £ (40,379) £ 2,097




Euro £ 2,748 £ (4,092) £ (1,344) £ 2,169 £ (2,198) £ (29)Singapore Dollar - 504 504 - 75 75United States Dollar 1,278 (762) 516 650 (1,381) (731)

£ 4,026 £ (4,350) £ (324) £ 2,819 £ (3,504) £ (685)




Canadian Dollar $ 92,079 $ (20,172) $ 71,907 $ 148 $ (152) $ (4)Chinese Yuan Renminbi – 151,860 151,860 – 5,857 5,857Euro 212,228 (313,228) (101,000) 12,375 (21,388) (9,013)

$ 304,307 $ (181,540) $ 122,767 $ 12,523 $ (15,683) $ (3,160)



(c) Interest Rate RiskInterest rate risk is the risk that fixed income securities will decline in value because of changes in interest rates. As nominal interest rates rise, the value of certain fixedincome securities held by the Funds are likely to decrease. A nominal interest rate can be described as the sum of a real interest rate and an expected inflation rate. Fixedincome securities with longer durations tend to be more sensitive to changes in interest rates, usually making them more volatile than securities with shorter durations.Duration is useful primarily as a measure of the sensitivity of a fixed income’s market price to interest rate (i.e. yield) movements.

The tables below summarise the Funds’ exposure to interest rate risks (amounts in thousands). It includes the Funds’ non-derivative interest bearing assets and liabilitiesat fair values, categorised by the maturity dates. Certain assets and liabilities, as presented in the Statements of Assets and Liabilities, have been netted for purposes ofthe presentation below.



Assets Less than 1 Year Greater than 1 Year Total Less than 1 Year Greater than 1 Year Total

Transferable Securities and Deposits with Credit Institutions $ 80,760 $ 128,803 $ 209,563 $ 34,798 $ 17,830 $ 52,628Cash 1,389 - 1,389 452 - 452Deposits with counterparty 190 - 190 - - -Total assets $ 82,339 $ 128,803 $ 211,142 $ 35,250 $ 17,830 $ 53,080

LiabilitiesMarket value of securities sold short $ - $ (46,941) $ (46,941) $ - $ (3,178) $ (3,178)Deposits from counterparty (14,950) - (14,950) (2,190) - (2,190)Total liabilities $ (14,950) $ (46,941) $ (61,891) $ (2,190) $ (3,178) $ (5,368)




Transferable Securities and Deposits with Credit Institutions $ 278,992 $ 364,394 $ 643,386 $ 76,171 $ 56,752 $ 132,923Cash 3,020 - 3,020 797 - 797Deposits with counterparty 11,083 - 11,083 670 - 670Total assets $ 293,095 $ 364,394 $ 657.489 $ 77,638 $ 56,752 $ 134,390

LiabilitiesDeposits from counterparty $ (11,520) $ - $ (11,520) $ (860) $ - $ (860)Total liabilities $ (11,520) $ - $ (11,520) $ (860) $ - $ (860)




Transferable Securities and Deposits with Credit Institutions $ 32,317 $ 2,105,824 $ 2,138,141 $ 23,705 $ 675,850 $ 699,555Cash 12,519 - 12,519 4,091 - 4,091Deposits with counterparty 6,052 - 6,052 17,130 - 17,130Total assets $ 50,888 $ 2,105,824 $ 2,156,712 $ 44,926 $ 675,850 $ 720,776

LiabilitiesMarket value of securities sold short $ - $ (36,297) $ (36,297) $ - $ - $ -Deposits from counterparty (31,910) - (31,910) (7,130) - (7,130)Total liabilities $ (31,910) $ (36,297) $ (68,207) $ (7,130) $ - $ (7,130)


As at 31-Dec-2010

Assets Less than 1 Year Greater than 1 Year Total

Transferable Securities and Deposits with Credit Institutions $ 704 $ 11,681 $ 12,385Cash 166 - 166Deposits with counterparty 1,290 - 1,290Total assets $ 2,160 $ 11,681 $ 13,841




Transferable Securities and Deposits with Credit Institutions $ 288,725 $ 2,268,299 $ 2,557,024 $ 23,097 $ 203,387 $ 226,484Cash 18,127 - 18,127 2,312 - 2,312Deposits with counterparty 14,024 - 14,024 340 - 340Total assets $ 320,876 $ 2,268,299 $ 2,589,175 $ 25,749 $ 203,387 $ 229,136

LiabilitiesMarket value of securities sold short $ - $ - $ - $ - $ (9,522) $ (9,522)Deposits from counterparty (7,620) - (7,620) (3,100) - (3,100)Total liabilities $ (7,620) $ - $ (7,620) $ (3,100) $ (9,522) $ (12,622)


31 December 2010




Transferable Securities and Deposits with Credit Institutions $ 13,015 $ 431,484 $ 444,499 $ 1,571 $ 40,313 $ 41,884Cash 2,202 - 2,202 370 - 370Deposits with counterparty 12,331 - 12,331 107 - 107Total assets $ 27,548 $ 431,484 $ 459,032 $ 2,048 $ 40,313 $ 42,361

LiabilitiesDeposits from counterparty $ (880) $ - $ (880) $ - $ - $ -Total liabilities $ (880) $ - $ (880) $ - $ - $ -




Transferable Securities and Deposits with Credit Institutions $ 46,709 $ 3,316,029 $ 3,362,738 $ 141,074 $ 2,955,737 $ 3,096,811Cash 4,381 - 4,381 6,200 - 6,200Deposits with counterparty 174 - 174 30,401 - 30,401Total assets $ 51,264 $ 3,316,029 $ 3,367,293 $ 177,675 $ 2,955,737 $ 3,133,412



As at 31-Dec-2010


Transferable Securities and Deposits with Credit Institutions $ 35,152 $ - $ 35,152Cash 634 - 634Deposits with counterparty 2,546 - 2,546Total assets $ 38,332 $ - $ 38,332

LiabilitiesDeposits from counterparty $ (600) $ - $ (600)Total liabilities $ (600) $ - $ (600)


As at 31-Dec-2010


Transferable Securities and Deposits with Credit Institutions € 53,110 € - € 53,110Cash 922 - 922Deposits with counterparty 372 - 372Total assets € 54,404 € - € 54,404

EuriborPLUS Fund



Transferable Securities and Deposits with Credit Institutions € 158,807 € 326,155 € 484,962 € 43,872 € 117,476 € 161,348Cash 5,008 - 5,008 2,469 - 2,469Deposits with counterparty 3,742 - 3,742 182 - 182Total assets € 167,557 € 326,155 € 493,712 € 46,523 € 117,476 € 163,999

LiabilitiesDeposits from counterparty € (474) € - € (474) € (21) € - € (21)Total liabilities € (474) € - € (474) € (21) € - € (21)

Euro Bond Fund



Transferable Securities and Deposits with Credit Institutions € 108,367 € 994,432 € 1,102,799 € 84,397 € 1,004,887 € 1,089,284Cash 2,244 - 2,244 7,022 - 7,022Deposits with counterparty 14,847 - 14,847 2,538 - 2,538Total assets € 125,458 € 994,432 € 1,119,890 € 93,957 € 1,004,887 € 1,098,844

LiabilitiesDeposits from counterparty € (1,302) € - € (1,302) € (6,288) € - € (6,288)Total liabilities € (1,302) € - € (1,302) € (6,288) € - € (6,288)



Euro Credit Fund



Transferable Securities and Deposits with Credit Institutions € 12,132 € 246,172 € 258,304 € 2,325 € 87,434 € 89,759Cash 3,038 - 3,038 3,123 - 3,123Deposits with counterparty 1,722 - 1,722 400 - 400Total assets € 16,892 € 246,172 € 263,064 € 5,848 € 87,434 € 93,282

LiabilitiesDeposits from counterparty € (196) € - € (196) € (427) € - € (427)Total liabilities € (196) € - € (196) € (427) € - € (427)

Euro Liquidity Fund



Transferable Securities and Deposits with Credit Institutions € 40,734 € 2,936 € 43,670 € 37,375 € - € 37,375Cash 138 - 138 50 - 50Total assets € 40,872 € 2,936 € 43,808 € 37,425 € - € 37,425




Transferable Securities and Deposits with Credit Institutions € 29,604 € 559,444 € 589,048 € 6,905 € 500,797 € 507,702Cash 2,661 - 2,661 2,522 - 2,522Deposits with counterparty 7,205 - 7,205 3,391 - 3,391Total assets € 39,470 € 559,444 € 598,914 € 12,818 € 500,797 € 513,615

LiabilitiesDeposits from counterparty € (1,205) € - € (1,205) € (1,168) € - € (1,168)Total liabilities € (1,205) € - € (1,205) € (1,168) € - € (1,168)




Transferable Securities and Deposits with Credit Institutions € 7,696 € 167,867 € 175,563 € 5,788 € 151,446 € 157,234Cash 1,176 - 1,176 3,308 - 3,308Deposits with counterparty 218 - 218 301 - 301Total assets € 9,090 € 167,867 € 176,957 € 9,397 € 151,446 € 160,843

LiabilitiesDeposits from counterparty € - € - € - € (797) € - € (797)Total liabilities € - € - € - € (797) € - € (797)




Transferable Securities and Deposits with Credit Institutions € 63,753 € 60,261 € 124,014 € 18,095 € 58,158 € 76,253Cash 885 - 885 109 - 109Deposits with counterparty 318 - 318 211 - 211Total assets € 64,956 € 60,261 € 125,217 € 18,415 € 58,158 € 76,573

LiabilitiesMarket value of securities sold short € - € (1,800) € (1,800) € - € - € -Deposits from counterparty (19,801) - (19,801) (5,776) - (5,776)Total liabilities € (19,801) € (1,800) € (21,601) € (5,776) € - € (5,776)

FX Strategies Fund



Transferable Securities and Deposits with Credit Institutions € 20,520 € 44,029 € 64,549 € 25,782 € 40,311 € 66,093Cash 2,010 - 2,010 927 - 927Deposits with counterparty 900 - 900 227 - 227Total assets € 23,430 € 44,029 € 67,459 € 26,936 € 40,311 € 67,247

LiabilitiesDeposits from counterparty € (1,423) € - € (1,423) € (524) € - € (524)Total liabilities € (1,423) € - € (1,423) € (524) € - € (524)


31 December 2010




Transferable Securities and Deposits with Credit Institutions $ 28,131 $ 163,110 $ 191,241 $ 10,349 $ 10,184 $ 20,533Cash 2,346 - 2,346 294 - 294Deposits with counterparty 1,359 - 1,359 - - -Total assets $ 31,836 $ 163,110 $ 194,946 $ 10,643 $ 10,184 $ 20,827

LiabilitiesDeposits from counterparty $ (490) $ - $ (490) $ - $ - $ -Total liabilities $ (490) $ - $ (490) $ - $ - $ -

Global Bond Fund



Transferable Securities and Deposits with Credit Institutions $ 561,765 $ 5,071,411 $ 5,633,176 $ 252,117 $ 3,907,065 $ 4,159,182Cash 16,648 - 16,648 7,174 - 7,174Deposits with counterparty 21,580 - 21,580 74,794 - 74,794Total assets $ 599,993 $ 5,071,411 $ 5,671,404 $ 334,085 $ 3,907,065 $ 4,241,150

LiabilitiesMarket value of securities sold short $ - $ (8,758) $ (8,758) $ - $ - $ -Deposits from counterparty (52,180) - (52,180) (18,016) - (18,016)Total liabilities $ (52,180) $ (8,758) $ (60,938) $ (18,016) $ - $ (18,016)




Transferable Securities and Deposits with Credit Institutions $ 28,928 $ 431,309 $ 460,237 $ 53,094 $ 573,164 $ 626,258Cash 3,183 - 3,183 2,129 - 2,129Deposits with counterparty 5,510 - 5,510 1,082 - 1,082Total assets $ 37,621 $ 431,309 $ 468,930 $ 56,305 $ 573,164 $ 629,469

LiabilitiesDeposits from counterparty $ (2,357) $ - $ (2,357) $ (7,543) $ - $ (7,543)Total liabilities $ (2,357) $ - $ (2,357) $ (7,543) $ - $ (7,543)




Transferable Securities and Deposits with Credit Institutions $ 11,188 $ 2,049,757 $ 2,060,945 $ 61,169 $ 936,025 $ 997,194Cash 1,990 - 1,990 3,813 - 3,813Deposits with counterparty 2,270 - 2,270 14,403 - 14,403Total assets $ 15,448 $ 2,049,757 $ 2,065,205 $ 79,385 $ 936,025 $ 1,015,410












Transferable Securities and Deposits with Credit Institutions $ 454,389 $ 617,977 $ 1,072,366 $ 342,917 $ 35,330 $ 378,247Cash 6,052 - 6,052 2,394 - 2,394Deposits with counterparty 4,925 - 4,925 11,437 - 11,437Total assets $ 465,366 $ 617,977 $ 1,083,343 $ 356,748 $ 35,330 $ 392,078

LiabilitiesDeposits from counterparty $ (31,980) $ - $ (31,980) $ (860) $ - $ (860)Total liabilities $ (31,980) $ - $ (31,980) $ (860) $ - $ (860)









Transferable Securities and Deposits with Credit Institutions $ 18,060 $ 2,335,224 $ 2,353,284 $ 29,246 $ 1,044,925 $ 1,074,171Cash 9,206 - 9,206 7,536 - 7,536Deposits with counterparty 2,500 - 2,500 6,862 - 6,862Total assets $ 29,766 $ 2,335,224 $ 2,364.990 $ 43,644 $ 1,044,925 $ 1,088,569





Transferable Securities and Deposits with Credit Institutions $ 489,313 $ 2,094,787 $ 2,584,100 $ 727,225 $ 904,637 $ 1,631,862Cash 9,958 - 9,958 23,569 - 23,569Deposits with counterparty 3,810 - 3,810 8,540 - 8,540Total assets $ 503,081 $ 2,094,787 $ 2,597,868 $ 759,334 $ 904,637 $ 1,663,971

LiabilitiesMarket value of securities sold short $ - $ (197,943) $ (197,943) $ - $ (118,617) $ (118,617)Deposits from counterparty (12,880) - (12,880) (3,240) - (3,240)Total liabilities $ (12,880) $ (197,943) $ (210,823) $ (3,240) $ (118,617) $ (121,857)




Transferable Securities and Deposits with Credit Institutions $ 1 $ 91,664 $ 91,665 $ 1,100 $ 140,428 $ 141,528Cash 557 - 557 592 - 592Deposits with counterparty 270 - 270 - - -Total assets $ 828 $ 91,664 $ 92,492 $ 1,692 $ 140,428 $ 142,120

LiabilitiesMarket value of securities sold short $ - $ (8,147) $ (8,147) $ - $ (8,021) $ (8,021)Deposits from counterparty (790) - (790) (2,326) - (2,326)Total liabilities $ (790) $ (8,147) $ (8,937) $ (2,326) $ (8,021) $ (10,347)


31 December 2010


As at 31-Dec-2010


Transferable Securities and Deposits with Credit Institutions $ 2,719 $ 133,505 $ 136,224Cash 765 - 765Deposits with counterparty 46 - 46Total assets $ 3,530 $ 133,505 $ 137,035

LiabilitiesDeposits from counterparty $ (270) $ - $ (270)Total liabilities $ (270) $ - $ (270)

StocksPLUSTM Fund



Transferable Securities and Deposits with Credit Institutions $ 33,814 $ 198,550 $ 232,364 $ 105,129 $ 72,891 $ 178,020Cash 1,495 - 1,495 628 - 628Deposits with counterparty 130 - 130 953 - 953Total assets $ 35,439 $ 198,550 $ 233,989 $ 106,710 $ 72,891 $ 179,601

LiabilitiesMarket value of securities sold short $ - $ (3,027) $ (3,027) $ - $ (3,168) $ (3,168)Deposits from counterparty (420) - (420) (310) - (310)Total liabilities $ (420) $ (3,027) $ (3,447) $ (310) $ (3,168) $ (3,478)




Transferable Securities and Deposits with Credit Institutions $ 1,837,819 $ 24,157,300 $ 25,995,119 $ 4,441,102 $ 5,616,479 $ 10,057,581Cash - - - 27,215 - 27,215Deposits with counterparty 138,840 - 138,840 79,278 - 79,278Total assets $ 1,976,659 $ 24,157,300 $ 26,133,959 $ 4,547,595 $ 5,616,479 $ 10,164,074

LiabilitiesMarket value of securities sold short $ - $ (955) $ (955) $ - $ (330,648) $ (330,648)Bank overdraft (7,467) - (7,467) - - -Deposits from counterparty (138,000) - (138,000) (13,477) - (13,477)Total liabilities $ (145,467) $ (955) $ (146,422) $ (13,477) $ (330,648) $ (344,125)




Transferable Securities and Deposits with Credit Institutions £ 15,267 £ 365,808 £ 381,075 £ 1,962 £ 370,111 £ 372,073Cash 1,526 - 1,526 2,066 - 2,066Deposits with counterparty 3,523 - 3,523 3,412 - 3,412Total assets £ 20,316 £ 365,808 £ 386,124 £ 7,440 £ 370,111 £ 377,551

LiabilitiesDeposits from counterparty £ (2,306) £ - £ (2,306) £ (632) £ - £ (632)Total liabilities £ (2,306) £ - £ (2,306) £ (632) £ - £ (632)




Transferable Securities and Deposits with Credit Institutions £ 15,076 £ 806,599 £ 821,675 £ 12,142 £ 987,550 £ 999,692Cash 6,426 - 6,426 12,060 - 12,060Deposits with counterparty 9,917 - 9,917 18,033 - 18,033Total assets £ 31,419 £ 806,599 £ 838,018 £ 42,235 £ 987,550 £ 1,029,785

LiabilitiesDeposits from counterparty £ (4,069) £ - £ (4,069) £ (6,334) £ - £ (6,334)Total liabilities £ (4,069) £ - £ (4,069) £ (6,334) £ - £ (6,334)






Transferable Securities and Deposits with Credit Institutions £ 92 £ 125,371 £ 125,463 £ 960 £ 132,301 £ 133,261Cash 1,305 - 1,305 1,014 - 1,014Deposits with counterparty 492 - 492 656 - 656Total assets £ 1,889 £ 125,371 £ 127,260 £ 2,630 £ 132,301 £ 134,931

LiabilitiesDeposits from counterparty £ (479) £ - £ (479) £ (1,425) £ - £ (1,425)Total liabilities £ (479) £ - £ (479) £ (1,425) £ - £ (1,425)




Transferable Securities and Deposits with Credit Institutions £ 6,235 £ 247,944 £ 254,179 £ 6,382 £ 265,968 £ 272,350Cash 4,885 - 4,885 3,378 - 3,378Deposits with counterparty 1,686 - 1,686 2,832 - 2,832Total assets £ 12,806 £ 247,944 £ 260,750 £ 12,592 £ 265,968 £ 278,560

LiabilitiesDeposits from counterparty £ (964) £ - £ (964) £ (3,281) £ - £ (3,281)Total liabilities £ (964) £ - £ (964) £ (3,281) £ - £ (3,281)




Transferable Securities and Deposits with Credit Institutions £ 25,773 £ 111,924 £ 137,697 £ 57,813 £ 139,856 £ 197,669Cash 1,343 - 1,343 6,139 - 6,139Deposits with counterparty 1,265 - 1,265 759 - 759Total assets £ 28,381 £ 111,924 £ 140,305 £ 64,711 £ 139,856 £ 204,567

LiabilitiesDeposits from counterparty £ (1,201) £ - £ (1,201) £ (1,715) £ - £ (1,715)Total liabilities £ (1,201) £ - £ (1,201) £ (1,715) £ - £ (1,715)




Transferable Securities and Deposits with Credit Institutions £ 798 £ 18,255 £ 19,053 £ 14 £ 14,406 £ 14,420Cash 1,064 - 1,064 1,280 - 1,280Deposits with counterparty 72 - 72 32 - 32Total assets £ 1,934 £ 18,255 £ 20,189 £ 1,326 £ 14,406 £ 15,732

LiabilitiesMarket value of securities sold short £ - £ - £ - £ - £ (654) £ (654)Total liabilities £ - £ - £ - £ - £ (654) £ (654)




Transferable Securities and Deposits with Credit Institutions $ 195,173 $ 3,934,512 $ 4,129,685 $ 53,254 $ 190,943 $ 244,197Cash 3,393 - 3,393 1,871 - 1,871Deposits with counterparty 28,520 - 28,520 2,896 - 2,896Total assets $ 227,086 $ 3,934,512 $ 4,161,598 $ 58,021 $ 190,943 $ 248,964

LiabilitiesMarket value of securities sold short $ - $ (1,096,262) $ (1,096,262) $ - $ (88,456) $ (88,456)Deposits from counterparty (78,180) - (78,180) (850) - (850)Total liabilities $ (78,180) $ (1,096,262) $ (1,174,442) $ (850) $ (88,456) $ (89,306)




Transferable Securities and Deposits with Credit Institutions $ 46,578 $ - $ 46,578 $ 43,620 $ - $ 43,620Cash 258 - 258 9 - 9Total assets $ 46,836 $ - $ 46,836 $ 43,629 $ - $ 43,629


31 December 2010

(d) Liquidity RiskThe Funds’ exposure to liquidity risk is primarily affected by the redemption ofshares that investors may wish to sell. Participating shareholders may redeemsome or all of their outstanding shares at any time without notice. The Funds’assets are primarily comprised of readily realisable securities, which can bereadily sold to satisfy shareholder redemptions in accordance with theProspectus. Liquidity risk exists when particular investments are difficult topurchase or sell. A Fund’s investments in illiquid securities may reduce returns ofa Fund because it may be unable to sell the illiquid securities at an advantageoustime or price. Funds with principal investment strategies that involve foreignsecurities, derivatives, or securities with substantial market and/or credit risktend to have the greatest exposure to liquidity risk.

Current liabilities of financial derivative instruments consist of the market value ofinterest rate swaps, credit default swaps, written options, and foreign currencycontracts as at the year end. The settlement month and contractual amounts ofthe foreign currency contracts are detailed in the Portfolio of Investments and

Assets. Financial derivative instruments are financial assets and liabilities thatare held for trading, and are acquired principally for the purpose of selling in theshort term. As the instruments are not expected to be held to maturity ortermination, the current market value represents the estimated cash flow thatmay be required to dispose of the positions. Future cash flows of the Funds andrealised liabilities may differ from current liabilities based on changes in marketconditions.

The Investment Advisers manage liquidity risk by monitoring the portfolios andconsidering investments deemed to be illiquid or not readily and easily sold, toensure there are sufficient liquid assets to cover the outstanding liabilities of theFunds. The following tables summarise the current known liabilities for the Fundsby the expected payment dates of those liabilities (amounts in thousands): lessthan three months, three months to one year and greater than 1 year. Theexpected payment dates may not represent actual cash outflows, as holders ofthose instruments typically retain them for the medium to long term.



Current Liabilities Less than 3 Months 3 Months - 1 Year Greater than 1 Year Total Less than 3 Months 3 Months - 1 Year Total

Financial Derivative Instruments $ (1,869) $ (31) $ (5) $ (1,905) $ (413) $ (15) $ (428)Market value of securities sold short - (46,941) - (46,941) - (3,178) (3,178)Payable for investments purchased (259,748) - - (259,748) (69,935) - (69,935)Payable for Fund shares redeemed (79) - - (79) (33) - (33)Payable for management fee (149) - - (149) (32) - (32)Expenses payable (12) - - (12) (22) - (22)Deposits from counterparty (14,950) - - (14,950) (2,190) - (2,190)Other liabilities (1,087) - - (1,087) - - -Total Liabilities $ (277,894) $ (46,972) $ (5) $ (324,871) $ (72,625) $ (3,193) $ (75,818)




Financial Derivative Instruments $ (16,404) $ (620) $ (18) $ (17,042) $ (1,553) $ (248) $ (1,801)Payable for investments purchased (31,933) - - (31,933) (30,700) - (30,700)Payable for Fund shares redeemed (751) - - (751) - - -Payable for management fee (770) - - (770) (125) - (125)Expenses payable (12) - - (12) (30) - (30)Dividend payable (2) - - (2) - - -Deposits from counterparty (11,520) - - (11,520) (860) - (860)Total Liabilities $ (61,392) $ (620) $ (18) $ (62,030) $ (33,268) $ (248) $ (33,516)




Financial Derivative Instruments $ (8,577) $ (272) $ - $ (8,849) $ 1,543 $ (50) $ (1,593)Market value of securities sold short - (36,297) - (36,297) - - -Payable for investments purchased (107,593) - - (107,593) (123,631) - (123,631)Payable for Fund shares redeemed (13,262) - - (13,262) (1,051) - (1,051)Payable for management fee (1,827) - - (1,827) (406) - (406)Expenses payable (93) - - (93) (125) - (125)Payable for futures margin (1,530) - - (1,530) (2,752) - (2,752)Deposits from counterparty (31,910) - - (31,910) (7,130) - (7,130)Other liabilities (17,888) - - (17,888) (13,782) - (13,782)Total Liabilities $ (182,680) $ (36,569) $ - $ (219,249) $ (147,334) $ (50) $ (150,470)


As at 31-Dec-2010

Current Liabilities Less than 3 Months 3 Months - 1 Year Greater than 1 Year Total

Financial Derivative Instruments $ (333) $ (2,117) $ - $ (2,450)Payable for management fee (48) - - (48)Expenses payable (59) - - (59)Dividend payable (6) - - (6)Total Liabilities $ (446) $ (2,117) $ - $ (2,563)






Financial Derivative Instruments $ (36,287) $ (4,365) $ (54) $ (40,706) $ (1,935) $ (268) $ (2,203)Market value of securities sold short - - - - - (9,522) (9,522)Payable for investments purchased (11,202) - - (11,202) (12,346) - (12,346)Payable for Fund shares redeemed (6,263) - - (6,263) (27) - (27)Payable for management fee (2,556) - - (2,556) (195) - (195)Expenses payable (64) - - (64) (56) - (56)Dividend payable (1,188) - - (1,188) - - -Deposits from counterparty (7,620) - - (7,620) (3,100) - (3,100)Other liabilities (1) - - (1) - - -Total Liabilities $ (65,181) $ (4,365) $ (54) $ (69,600) $ (17,659) $ (9,790) $ (27,449)




Financial Derivative Instruments $ (1,808) $ - $ - $ (1,808) $ (80) $ (8) $ (88)Payable for investments purchased (40,734) - - (40,734) (2,822) - (2,822)Payable for management fee (809) - - (809) (33) - (33)Expenses payable (50) - - (50) (50) - (50)Deposits from counterparty (880) - - (880) - - -Other liabilities (4,762) - - (4,762) - - -Total Liabilities $ (49,043) $ - $ - $ (49,043) $ (2,985) $ (8) $ (2,993)




Financial Derivative Instruments $ (18,583) $ (516) $ - $ (19,099) $ (7,509) $ (778) $ (8,287)Market value of securities sold short - - - - - (33,487) (33,487)Payable for investments purchased (90,794) - - (90,794) (62,239) - (62,239)Payable for Fund shares redeemed (44,585) - - (44,585) (22,490) - (22,490)Payable for management fee (2,984) - - (2,984) (2,245) - (2,245)Expenses payable (59) - - (59) (254) - (254)Dividend payable (3,845) - - (3,845) - - -Payable for futures margin - - - - (15,377) - (15,377)Deposits from counterparty (67,240) - - (67,240) (6,920) - (6,920)Other liabilities (2,070) - - (2,070) (39,937) - (39,937)Total Liabilities $ (230,160) $ (516) $ - $ (230,676) $ (156,971) $ (34,265) $ (191,236)


As at 31-Dec-2010


Financial Derivative Instruments $ (1,253) $ - $ - $ (1,253)Payable for investments purchased (24,408) - - (24,408)Payable for Fund shares redeemed (14) - - (14)Payable for management fee (220) - - (220)Expenses payable (63) - - (63)Payable for futures margin (2) - - (2)Deposits from counterparty (600) - - (600)Other liabilities (1,718) - - (1,718)Total Liabilities $ (28,278) $ - $ - $ (28,278)


As at 31-Dec-2010


Financial Derivative Instruments € (1,082) € - € - € (1,082)Payable for investments purchased (279) - - (279)Payable for Fund shares redeemed (7) - - (7)Payable for management fee (533) - - (533)Expenses payable (49) - - (49)Total Liabilities € (1,950) € - € - € (1,950)


31 December 2010

EuriborPLUS Fund



Financial Derivative Instruments € (4,958) € (204) € - € (5,162) € (678) € (92) € (770)Payable for investments purchased (24,941) - - (24,941) (27,192) - (27,192)Payable for Fund shares redeemed (583) - - (583) (29) - (29)Payable for management fee (282) - - (282) (48) - (48)Payable for reverse repurchase agreements (405) - - (405) - - -Expenses payable (29) - - (29) (53) - (53)Payable for futures margin - - - - (19) - (19)Deposits from counterparty (474) - - (474) (21) - (21)Total Liabilities € (31,672) € (204) € - € (31,876) € (28,040) € (92) € (28,132)

Euro Bond Fund



Financial Derivative Instruments € (26,202) € (3,732) € (94) € (30,028) € (5,890) € (851) € (6,741)Payable for investments purchased (325,315) - - (325,315) (114,184) - (114,184)Payable for Fund shares redeemed (1,249) - - (1,249) (2,113) - (2,113)Payable for management fee (466) - - (466) (389) - (389)Expenses payable (161) - - (161) (327) - (327)Dividend payable (303) - - (303) - - -Payable for futures margin - - - - (160) - (160)Deposits from counterparty (1,302) - - (1,302) (6,288) - (6,288)Other liabilities (66) - - (66) - - -Total Liabilities € (355,064) € (3,732) € (94) € (358,890) € (129,351) € (851) € (130,202)

Euro Credit Fund



Financial Derivative Instruments € (2,120) € (64) € (29) € (2,213) € (992) € (13) € (1,005)Payable for investments purchased (7,707) - - (7,707) (210) - (210)Payable for Fund shares redeemed (2) - - (2) - - -Payable for management fee (125) - - (125) (43) - (43)Expenses payable (5) - - (5) (23) - (23)Payable for futures margin - - - - (119) - (119)Deposits from counterparty (196) - - (196) (427) - (427)Total Liabilities € (10,155) € (64) € (29) € (10,248) € (1,814) € (13) € (1,827)

Euro Liquidity Fund



Payable for investments purchased € (4,450) € - € - € (4,450) € (11,797) € - € (11,797)Payable for Fund shares redeemed (916) - - (916) (1,403) - (1,403)Payable for management fee (15) - - (15) (9) - (9)Expenses payable (12) - - (12) (21) - (21)Dividend payable (6) - - (6) (3) - (3)Total Liabilities € (5,399) € - € - € (5,399) € (13,233) € - € (13,233)




Financial Derivative Instruments € (13,535) € (2,393) € (46) € (15,974) € (6,022) € (340) € (6,362)Payable for investments purchased (201,619) - - (201,619) (75,751) - (75,751)Payable for management fee (259) - - (259) (143) - (143)Expenses payable (22) - - (22) (104) - (104)Deposits from counterparty (1,205) - - (1,205) (1,168) - (1,168)Total Liabilities € (216,640) € (2,393) € (46) € (219,079) € (83,188) € (340) € (83,528)




Financial Derivative Instruments € (1,215) € (100) € - € (1,315) € (669) € (227) € (896)Payable for investments purchased (54,300) - - (54,300) (30,741) - (30,741)Payable for management fee (58) - - (58) (47) - (47)Expenses payable (8) - - (8) (33) - (33)Payable for futures margin - - - - (2) - (2)Deposits from counterparty - - - - (797) - (797)Other liabilities - - - - (1) - (1)Total Liabilities € (55,581) € (100) € - € (55,681) € (32,290) € (227) € (32,517)






Financial Derivative Instruments € (2,178) € (54) € (38) € (2,270) € (931) € - € (931)Market value of securities sold short - (1,800) - (1,800) - - -Payable for investments purchased (10,597) - - (10,597) (4,965) - (4,965)Payable for management fee (58) - - (58) (12) - (12)Expenses payable (6) - - (6) (21) - (21)Payable for futures margin - - - - (64) - (64)Deposits from counterparty (19,801) - - (19,801) (5,776) - (5,776)Total Liabilities € (32,640) € (1,854) € (38) € (34,532) € (11,769) € - € (11,769)

FX Strategies Fund



Financial Derivative Instruments € (3,005) € - € - € (3,005) € (350) € - € (350)Payable for investments purchased (4,157) - - (4,157) (7,138) - (7,138)Payable for Fund shares redeemed (2) - - (2) - - -Payable for management fee (27) - - (27) (25) - (25)Expenses payable (6) - - (6) (20) - (20)Payable for futures margin (20) - - (20) - - -Deposits from counterparty (1,423) - - (1,423) (524) - (524)Total Liabilities € (8,640) € - € - € (8,640) € (8,057) € - € (8,057)




Financial Derivative Instruments $ (1,922) $ (66) $ (3) $ (1,991) $ (101) $ (23) $ (124)Payable for investments purchased (77,671) - - (77,671) (13,641) - (13,641)Payable for management fee (206) - - (206) (5) - (5)Expenses payable - - - - - - -Payable for futures margin - - - - (14) - (14)Deposits from counterparty (490) - - (490) - - -Other liabilities (2,175) - - (2,175) - - -Total Liabilities $ (82,464) $ (66) $ (3) $ (82,533) $ (13,761) $ (23) $ (13,784)

Global Bond Fund



Financial Derivative Instruments $ (130,223) $ (301) $ - $ (130,524) $ (40,335) $ (3,213) $ (43,548)Market value of securities sold short - (8,758) - (8,758) - - -Payable for investments purchased (1,319,580) - - (1,319,580) (43,047) - (43,047)Payable for Fund shares redeemed (19,535) - - (19,535) (8,561) - (8,561)Payable for management fee (2,509) - - (2,509) (1,908) - (1,908)Expenses payable (684) - - (684) (823) - (823)Payable for futures margin - - - - (119) - (119)Deposits from counterparty (52,180) - - (52,180) (18,016) - (18,016)Other liabilities (32,606) - - (32,606) (62,768) - (62,768)Total Liabilities $ (1,557,317) $ (9,059) $ - $ (1,566,376) $ (175,577) $ (3,213) $ (178,790)




Financial Derivative Instruments $ (18,264) $ (36) $ - $ (18,300) $ (5,161) $ (419) $ (5,580)Payable for investments purchased (16,742) - - (16,742) (59,125) - (59,125)Payable for Fund shares redeemed - - - - (836) - (836)Payable for management fee (226) - - (226) (240) - (240)Expenses payable (142) - - (142) (148) - (148)Deposits from counterparty (2,357) - - (2,357) (7,543) - (7,543)Other liabilities (160) - - (160) (569) - (569)Total Liabilities $ (37,891) $ (36) $ - $ (37,927) $ (73,622) $ (419) $ (74,041)


31 December 2010




Financial Derivative Instruments $ (12,001) $ (2) $ - $ (12,003) $ (3,852) $ (18) $ (3,870)Payable for investments purchased (18,399) - - (18,399) (38,198) - (38,198)Payable for Fund shares redeemed (10,238) - - (10,238) (8,473) - (8,473)Payable for management fee (1,364) - - (1,364) (556) - (556)Expenses payable (75) - - (75) (95) - (95)Payable for futures margin - - - - (2,645) - (2,645)Deposits from counterparty (7,950) - - (7,950) (9,880) - (9,880)Other liabilities (9,914) - - (9,914) (11,770) - (11,770)Total Liabilities $ (59,941) $ (2) $ - $ (59,943) $ (75,469) $ (18) $ (75,487)




Financial Derivative Instruments $ (53,319) $ (1,933) $ (257) $ (55,509) $ (24,153) $ (457) $ (24,610)Market value of securities sold short - - - - - (150,925) (150,925)Payable for investments purchased (174,736) - - (174,736) (277,206) - (277,206)Payable for Fund shares redeemed (28,935) - - (28,935) (21,117) - (21,117)Payable for management fee (5,007) - - (5,007) (2,751) - (2,751)Expenses payable (637) - - (637) (785) - (785)Deposits from counterparty (87,592) - - (87,592) (102,905) - (102,905)Other liabilities (70,315) - - (70,315) (103,346) - (103,346)Total Liabilities $ (420,541) $ (1,933) $ (257) $ (422,731) $ (532,263) $ (151,382) $ (683,645)




Financial Derivative Instruments $ (20,293) $ (1,266) $ (131) $ (21,690) $ (1,731) $ (7) $ (1,738)Payable for investments purchased (580,132) - - (580,132) (38,158) - (38,158)Payable for Fund shares redeemed (584) - - (584) (470) - (470)Payable for management fee (1,697) - - (1,697) (492) - (492)Payable for reverse repurchase agreements (1,430) - - (1,430) - - -Expenses payable - - - - - - -Dividend payable (1,829) - - (1,829) - - -Payable for futures margin (13,259) - - (13,259) (798) - (798)Deposits from counterparty (31,980) - - (31,980) (860) - (860)Other liabilities (1,562) - - (1,562) (14,178) - (14,178)Total Liabilities $ (652,766) $ (1,266) $ (131) $ (654,163) $ (56,687) $ (7) $ (56,694)




Financial Derivative Instruments $ (36,972) $ (433) $ - $ (37,405) $ (7,005) $ (95) $ (7,100)Payable for investments purchased (366,410) - - (366,410) (228,044) - (228,044)Payable for Fund shares redeemed (1,780) - - (1,780) (15,805) - (15,805)Payable for management fee (1,391) - - (1,391) (637) - (637)Expenses payable (201) - - (201) (250) - (250)Payable for futures margin (184) - - (184) (811) - (811)Deposits from counterparty (30,380) - - (30,380) (18,460) - (18,460)Other liabilities (15,713) - - (15,713) (16,918) - (16,918)Total Liabilities $ (453,031) $ (433) $ - $ (453,464) $ (287,930) $ (95) $ (288,025)




Financial Derivative Instruments $ (3,991) $ (4) $ - $ (3,995) $ (6,145) $ (49) $ (6,194)Payable for investments purchased (59,648) - - (59,648) (13,154) - (13,154)Payable for Fund shares redeemed (3,607) - - (3,607) (13,062) - (13,062)Payable for management fee (1,338) - - (1,338) (542) - (542)Expenses payable (236) - - (236) (198) - (198)Payable for futures margin (5,852) - - (5,852) (7,711) - (7,711)Deposits from counterparty (16,950) - - (16,950) (3,938) - (3,938)Other liabilities (3,790) - - (3,790) (5,501) - (5,501)Total Liabilities $ (95,412) $ (4) $ - $ (95,416) $ (50,251) $ (49) $ (50,300)






Financial Derivative Instruments $ (21,209) $ (137) $ - $ (21,346) $ (3,741) $ (61) $ (3,802)Market value of securities sold short - (197,943) - (197,943) - (118,617) (118,617)Payable for investments purchased (1,193,708) - - (1,193,708) (494,033) - (494,033)Payable for Fund shares redeemed (20,220) - - (20,220) (12,279) - (12,279)Payable for management fee (1,968) - - (1,968) (712) - (712)Expenses payable (269) - - (269) (230) - (230)Deposits from counterparty (12,880) - - (12,880) (3,240) - (3,240)Other liabilities (9,812) - - (9,812) (8,515) - (8,515)Total Liabilities $ (1,260,066) $ (198,080) $ - $ (1,458,146) $ (522,750) $ (118,678) $ (641,428)




Financial Derivative Instruments $ (39) $ - $ - $ (39) $ (71) $ - $ (71)Market value of securities sold short - (8,147) - (8,147) - (8,021) (8,021)Payable for investments purchased (48,162) - - (48,162) (44,450) - (44,450)Payable for Fund shares redeemed (868) - - (868) (8) - (8)Payable for management fee (25) - - (25) (15) - (15)Payable for reverse repurchase agreements (1,000) - - (1,000) - - -Expenses payable (12) - - (12) (43) - (43)Deposits from counterparty (790) - - (790) (2,326) - (2,326)Other liabilities - - - - (86) - (86)Total Liabilities $ (50,896) $ (8,147) $ - $ (59,043) $ (46,999) $ (8,021) $ (55,020)


As at 31-Dec-2010


Financial Derivative Instruments $ (571) $ (49) $ - $ (620)Payable for investments purchased (2,711) - - (2,711)Payable for management fee (105) - - (105)Expenses payable (60) - - (60)Deposits from counterparty (270) - - (270)Total Liabilities $ (3,717) $ (49) $ - $ (3,766)

StocksPLUS™ Fund



Financial Derivative Instruments $ (1,346) $ (10) $ - $ (1,356) $ (165) $ (5) $ (170)Market value of securities sold short - (3,027) - (3,027) - (3,168) (3,168)Payable for investments purchased (50,055) - - (50,055) (47,106) - (47,106)Payable for Fund shares redeemed (194) - - (194) - - -Payable for management fee (93) - - (93) (44) - (44)Expenses payable (1) - - (1) (21) - (21)Payable for futures margin (8,659) - - (8,659) (3,722) - (3,722)Deposits from counterparty (420) - - (420) (310) - (310)Other liabilities (1,416) - - (1,416) (2,453) - (2,453)Total Liabilities $ (62,184) $ (3,037) $ - $ (65,221) $ (53,821) $ (3,173) $ (56,994)




Financial Derivative Instruments $ (117,525) $ (882) $ (3) $ (118,410) $ (43,531) $ (443) $ (43,974)Market value of securities sold short - (955) - (955) - (330,648) (330,648)Payable for investments purchased (12,957,301) - - (12,957,301) (2,761,358) - (2,761,358)Payable for Fund shares redeemed (171,980) - - (171,980) (40,004) - (40,004)Payable for management fee (15,749) - - (15,749) (6,026) - (6,026)Expenses payable (2,492) - - (2,492) (1,444) - (1,444)Bank overdraft (7,467) - - (7,467) - - -Payable for futures margin - - - - (15,614) - (15,614)Deposits from counterparty (138,000) - - (138,000) (13,477) - (13,477)Other liabilities (95,073) - - (95,073) (76,920) - (76,920)Total Liabilities $ (13,505,587) $ (1,837) $ (3) $ (13,507,427) $ (2,958,374) $ (331,091) $ (3,289,465)


31 December 2010




Financial Derivative Instruments £ (3,524) £ (126) £ (59) £ (3,709) £ (3,667) £ (11) £ (3,678)Payable for investments purchased (6,782) - - (6,782) (7,555) - (7,555)Payable for management fee (155) - - (155) (101) - (101)Expenses payable - - - - (19) - (19)Payable for futures margin - - - - (327) - (327)Deposits from counterparty (2,306) - - (2,306) (632) - (632)Other liabilities - - - - - - -Total Liabilities £ (12,767) £ (126) £ (59) £ (12,952) £ (12,301) £ (11) £ (12,312)




Financial Derivative Instruments £ (9,787) £ (265) £ (203) £ (10,255) £ (17,219) £ (53) £ (17,272)Payable for investments purchased (13,958) - - (13,958) (20,778) - (20,778)Payable for Fund shares redeemed (52) - - (52) - - -Payable for management fee (305) - - (305) (307) - (307)Expenses payable (31) - - (31) (221) - (221)Payable for futures margin - - - - (1,284) - (1,284)Deposits from counterparty (4,069) - - (4,069) (6,334) - (6,334)Total Liabilities £ (28,202) £ (265) £ (203) £ (28,670) £ (46,143) £ (53) £ (46,196)




Financial Derivative Instruments £ (1,121) £ (116) £ - £ (1,237) £ (1,201) £ (46) £ (1,247)Payable for investments purchased (37,728) - - (37,728) (26,406) - (26,406)Payable for Fund shares redeemed - - - - (3) - (3)Payable for management fee (39) - - (39) (34) - (34)Expenses payable (12) - - (12) (32) - (32)Deposits from counterparty (479) - - (479) (1,425) - (1,425)Total Liabilities £ (39,379) £ (116) £ - £ (39,495) £ (29,101) £ (46) £ (29,147)




Financial Derivative Instruments £ (2,575) £ (138) £ - £ (2,713) £ (3,505) £ (190) £ (3,695)Payable for investments purchased (108,503) - - (108,503) (44,211) - (44,211)Payable for Fund shares redeemed (15) - - (15) (1,287) - (1,287)Payable for management fee (87) - - (87) (53) - (53)Expenses payable (41) - - (41) (112) - (112)Deposits from counterparty (964) - - (964) (3,281) - (3,281)Other liabilities (1) - - (1) (1) - (1)Total Liabilities £ (112,186) £ (138) £ - £ (112,324) £ (52,450) £ (190) £ (52,640)




Financial Derivative Instruments £ (2,281) £ (328) £ - £ (2,609) £ (1,496) £ (78) £ (1,574)Payable for investments purchased (46,791) - - (46,791) (5,700) - (5,700)Payable for management fee (43) - - (43) (60) - (60)Expenses payable (46) - - (46) (85) - (85)Deposits from counterparty (1,201) - - (1,201) (1,715) - (1,715)Total Liabilities £ (50,362) £ (328) £ - £ (50,690) £ (9,056) £ (78) £ (9,134)




Financial Derivative Instruments £ (244) £ (8) £ - £ (252) £ (135) £ (7) £ (142)Market value of securities sold short - - - - - (654) (654)Payable for investments purchased (4,119) - - (4,119) (661) - (661)Payable for management fee (9) - - (9) (6) - (6)Expenses payable - - - - (3) - (3)Payable for futures margin - - - - (25) - (25)Total Liabilities £ (4,372) £ (8) £ - £ (4,380) £ (830) £ (661) £ (1,491)






Financial Derivative Instruments $ (33,914) $ (89) $ (97) $ (34,100) $ (867) $ (144) $ (1,011)Market value of securities sold short - (1,096,262) - (1,096,262) - (88,456) (88,456)Payable for investments purchased (1,268,056) - - (1,268,056) (68,185) - (68,185)Payable for Fund shares redeemed (22,580) - - (22,580) - - -Payable for management fee (3,427) - - (3,427) (150) - (150)Expenses payable (108) - - (108) (29) - (29)Payable for futures margin (2,405) - - (2,405) (552) - (552)Deposits from counterparty (78,180) - - (78,180) (850) - (850)Other liabilities (27,657) - - (27,657) (3,391) - (3,391)Total Liabilities $ (1,436,327) $ (1,096,351) $ (97) $ (2,532,775) $ (74,024) $ (88,600) $ (162,624)




Payable for investments purchased $ (23,600) $ - $ - $ (23,600) $ (18,400) $ - $ (18,400)Payable for management fee (7) - - (7) (7) - (7)Expenses payable (4) - - (4) (15) - (15)Dividend payable (2) - - (2) (1) - (1)Other liabilities - - - - (1) - (1)Total Liabilities $ (23,613) $ - $ - $ (23,613) $ (18,424) $ - $ (18,424)

(e) Credit and Counterparty RisksThe Funds will be exposed to credit risk on parties with whom they trade and willalso bear the risk of settlement default. The Funds minimise concentrations ofcredit risk by undertaking transactions with a large number of customers andcounterparties on recognised and reputable exchanges. The Funds could losemoney if the issuer or guarantor of a fixed income security, or the counterparty toa derivatives contract, repurchase agreement or a loan of Funds securities, isunable or unwilling to make timely principal and/or interest payments, or tootherwise honor its obligations. Securities are subject to varying degrees of creditrisk, which are often reflected in credit ratings.

Similar to credit risk, the Funds may be exposed to counterparty risk, or the riskthat an institution or other entity with which the Funds have unsettled or opentransactions will default. Financial assets, which potentially expose the Funds tocredit risk, consist principally of cash due from counterparties and investments.The Investment Advisers minimise credit risks to the Fund by performing extensivereviews of each counterparty and obtaining approval from the Counterparty RiskCommittee prior to entering into transactions with a third party. Furthermore, tothe extent that unpaid amounts owed to a Fund exceed a predetermined thresholdagreed to with the counterparty, such counterparty shall advance collateral to theFund in the form of cash or cash equivalents equal in value to the unpaid amountowed to a Fund. The Funds may invest such collateral in securities or otherinstruments and will typically pay interest to the counterparty on the collateralreceived. All transactions in listed securities are settled/paid for upon deliveryusing approved counterparties. The risk of default is considered minimal, asdelivery of securities sold is only made once the Funds have received payment.Payment is made on a purchase once the securities have been delivered by thecounterparty. The trade will fail if either party fails to meet its obligation.

Certain Funds are subject to various Master Agreements, which govern the termsof certain transactions with select counterparties. These Master Agreementsreduce the credit risk associated with relevant transactions by allowing the Fundsto net contracts in the event of default. All amounts with the counterparty areterminated and settled on a net basis. The Funds overall exposure to credit riskcan change substantially within a short period, as it is affected by eachtransaction subject to the relevant Master Agreement.

Master Repurchase Agreements (“Master Repo Agreements”) govern transactionsbetween the Fund and select counterparties. The Master Repo Agreementsmaintain provisions for initiation, income payments, events of default, andmaintenance of collateral for Repurchase Agreements. Master Securities ForwardTransaction Agreements (“Master Forward Agreements”) govern theconsiderations and factors surrounding the settlement of certain purchases andsales made on a delayed-delivery basis by and between the Fund and selectcounterparties. The Master Forward Agreements maintain provisions for, amongother things, initiation and confirmation, payment and transfer, events of default,termination, and maintenance of collateral.

International Swaps and Derivatives Association, Inc. Master Agreements (“ISDAMaster Agreements”) govern transactions, over-the-counter derivative and foreignexchange contracts, entered into by the Fund and those counterparties. The ISDAMaster Agreements maintain provisions for general obligations, representations,agreements, collateral and events of default or termination. Events of terminationinclude conditions that may entitle counterparties to elect to terminate early andcause settlement of all outstanding transactions under the applicable ISDAMaster Agreement. Any election to early terminate could be material to thefinancial statements.

On September 15, 2008, Lehman Brothers Holdings Inc. filed for protection underChapter 11 of the United States Bankruptcy Code. On September 19, 2008, aproceeding under the Securities Investor Protection Act (SIPA) was commencedwith respect to Lehman Brothers Inc., a broker-dealer. A trustee appointed underSIPA is administering the bankruptcy estate of Lehman Brothers Inc. LehmanBrothers International (Europe) was placed in administration under the UKInsolvency Act on September 15, 2008. Lehman Brothers Special Financing Inc.filed for protection under Chapter 11 of the United States Bankruptcy Code onOctober 3, 2008. In connection with these filings, the Lehman Brothers group ofcompanies (collectively “Lehman Brothers”) will be reorganised and/or liquidatedin an orderly fashion, subject to court approval. Each Lehman Brothers entity is aseparate legal entity that is subject to its own bankruptcy proceeding.

Anticipated losses for securities and derivatives transactions associated withLehman Brothers have been incorporated as components of receivable forinvestments sold or payable for investments purchased on the Statements ofAssets and Liabilities and net realised gain/(loss) on investments on theStatements of Operations. Financial assets and liabilities may be offset and thenet amount may be reported in the Statements of Assets and Liabilities wherethere is a legally enforceable right to set off the recognised amounts.

The Investment Advisor conducts extensive research and analysis to identify andquantify credit risk within the Funds. Credit exposure within the Funds is reviewedfrequently by the Investment Advisor to generate returns either throughinvestments made or avoided. Securities are subject to varying degrees of creditrisk, which are often reflected in credit ratings. The table below summarises thecredit rating composition for each of the Funds Net Assets.

Substantially all of the Company’s securities are held on a fiduciary basis byBrown Brothers Harriman Trustee Services (Ireland) Limited (“Custodian”). Theseassets are held in segregated accounts of each fund (in accordance with UCITSregulations), reducing the credit risk of holding the assets in safekeeping. TheCompany will however be exposed to the credit risk of a credit institution holdingits deposits. The cash held on overnight deposit of each Fund is held withrecognised and reputable financial institutions which form part of the Custodian’slist of financial institutions with whom it places money on overnight deposit.


semiannual report 30 june 2010 - hsbc · 2011. 5. 6. · semiannual report 30 june 2010 allianz...

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