SECURITIES AND EXCHANGE COMMISSION
MANAGEMENT INVESTMENT COMPANIES
4 Manhattanville Road
Purchase, NY 10577
Robert Colby
4 Manhattanville Road
Purchase, NY 10577
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DIVERSIFIED INVESTORS VARIABLE FUNDS DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS Annual Report December 31, 2007 International Equity Special Equity Aggressive Equity Equity Growth Intermediate/Long Horizon Growth & Income Value & Income Balanced Intermediate Horizon Calvert High Yield Bond Short Horizon Core Bond Inflation-Protected Securities High Quality Bond Money Market |
AN EXPLANATION OF FUND EXPENSES
(Unaudited)
Expenses Paid | ||||||||||||||||||||||||||||||
Ending Account | During the | |||||||||||||||||||||||||||||
Expenses Paid | Value | Period July 1, 2007 – | ||||||||||||||||||||||||||||
Ending Account | During the Period | July 1, 2007 | December 31, 2007 | |||||||||||||||||||||||||||
Value | July 1, 2007 – | (Based on | (Based on | |||||||||||||||||||||||||||
Beginning | December 31, 2007 | December 31, 2007 | hypothetical | hypothetical | ||||||||||||||||||||||||||
Account | (Based on actual | (Based on | 5% annual returns | 5% annual returns | Annualized | |||||||||||||||||||||||||
Value | returns and | actual returns and | before actual | before actual | Expense | |||||||||||||||||||||||||
Subaccount Name | July 1, 2007 | expenses) | expenses)(1)(2) | expenses) | expenses)(1)(2) | Ratio(1) | ||||||||||||||||||||||||
Short Horizon | $ | 1,000 | $ | 1,031.03 | $ | 1.03 | $ | 1,024.33 | $ | 1.03 | 0.20 | % | ||||||||||||||||||
Intermediate Horizon | 1,000 | 1,004.98 | 1.02 | 1,024.33 | 1.03 | 0.20 | ||||||||||||||||||||||||
Intermediate Long Horizon | 1,000 | 992.29 | 1.01 | 1,024.33 | 1.03 | 0.20 | ||||||||||||||||||||||||
(1) | These figures exclude fees and expenses of the underlying investments in DIVF. | |
(2) | Expenses are equal to each Subaccount’s annualized expense ratio multiplied by the average account value over the period, divided by 365, multiplied by 185 (to reflect the one-half year period). |
25
Short | Intermediate | Intermediate | ||||||||||
Horizon | Horizon | Long Horizon | ||||||||||
Strategic | Strategic | Strategic | ||||||||||
Variable Fund | Variable Fund | Variable Fund | ||||||||||
Assets: | ||||||||||||
Investments in affiliates, at value (Notes 1 and 2) | $ | 11,098,785 | $ | 32,588,884 | $ | 52,712,655 | ||||||
Receivable for securities sold | 2,904 | — | — | |||||||||
Receivable for units sold | 4,481 | 16,425 | 78,798 | |||||||||
�� | ||||||||||||
Total assets | 11,106,170 | 32,605,309 | 52,791,453 | |||||||||
Liabilities: | ||||||||||||
Payable for securities purchased | — | 1,678 | 53,147 | |||||||||
Payable for units redeemed | 7,385 | 14,747 | 25,651 | |||||||||
Accrued investment advisory fees | 1,884 | 5,521 | 8,981 | |||||||||
Total liabilities | 9,269 | 21,946 | 87,779 | |||||||||
Net assets | $ | 11,096,901 | $ | 32,583,363 | $ | 52,703,674 | ||||||
Accumulation units | 681,662 | 1,794,207 | 2,731,348 | |||||||||
Unit value | $ | 16.28 | $ | 18.16 | $ | 19.30 | ||||||
Net assets consist of: | ||||||||||||
Cost of accumulation units | $ | 8,271,185 | $ | 23,067,301 | $ | 38,296,725 | ||||||
Undistributed (accumulated) net realized gains (losses) | 1,639,472 | 2,958,689 | 3,591,550 | |||||||||
Undistributed (accumulated) net investment income (loss) | (143,406 | ) | (432,475 | ) | (605,148 | ) | ||||||
Net unrealized appreciation (depreciation) on investments | 1,329,650 | 6,989,848 | 11,420,547 | |||||||||
Net assets | $ | 11,096,901 | $ | 32,583,363 | $ | 52,703,674 | ||||||
Investments in affiliates, at cost | $ | 9,769,135 | $ | 25,599,036 | $ | 41,292,108 | ||||||
26
STATEMENTS OF OPERATIONS
Short | Intermediate | Intermediate | ||||||||||
Horizon | Horizon | Long Horizon | ||||||||||
Strategic | Strategic | Strategic | ||||||||||
Variable Fund | Variable Fund | Variable Fund | ||||||||||
Investment advisory fees (Note 3) | $ | (21,447 | ) | $ | (63,294 | ) | $ | (103,143 | ) | |||
Realized and unrealized gains (losses) on investments in affiliates (Note 2): | ||||||||||||
Net realized gains (losses) on investments in affiliates | 242,773 | 198,466 | 321,871 | |||||||||
Change in net unrealized appreciation (depreciation) on investments in affiliates | 249,785 | 1,124,330 | 1,661,060 | |||||||||
Net realized and unrealized gains (losses) on investments in affiliates | 492,558 | 1,322,796 | 1,982,931 | |||||||||
Net increase (decrease) in net assets resulting from operations | $ | 471,111 | $ | 1,259,502 | $ | 1,879,788 | ||||||
27
STATEMENTS OF CHANGES IN NET ASSETS
For the Year Ended December 31, 2007
Short | Intermediate | Intermediate | ||||||||||||||
Horizon | Horizon | Long Horizon | ||||||||||||||
Strategic | Strategic | Strategic | ||||||||||||||
Variable Fund | Variable Fund | Variable Fund | ||||||||||||||
From operations: | ||||||||||||||||
Investment advisory fees | $ | (21,447 | ) | $ | (63,294 | ) | $ | (103,143 | ) | |||||||
Net realized gains (losses) on investments in affiliates | 242,773 | 198,466 | 321,871 | |||||||||||||
Change in net unrealized appreciation (depreciation) on investments in affiliates | 249,785 | 1,124,330 | 1,661,060 | |||||||||||||
Net increase (decrease) in net assets resulting from operations | 471,111 | 1,259,502 | 1,879,788 | |||||||||||||
From unit transactions: | ||||||||||||||||
Units sold | 3,890,370 | 6,971,209 | 11,094,717 | |||||||||||||
Units redeemed | (3,469,492 | ) | (5,603,555 | ) | (7,564,308 | ) | ||||||||||
Net increase (decrease) in net assets resulting from unit transactions | 420,878 | 1,367,654 | 3,530,409 | |||||||||||||
Total increase (decrease) in net assets | 891,989 | 2,627,156 | 5,410,197 | |||||||||||||
Net assets: | ||||||||||||||||
Beginning of year | 10,204,912 | 29,956,207 | 47,293,477 | |||||||||||||
End of year | $ | 11,096,901 | $ | 32,583,363 | $ | 52,703,674 | ||||||||||
Units outstanding beginning of year | 654,393 | 1,717,863 | 2,548,307 | |||||||||||||
Units sold | 245,586 | 387,964 | 576,621 | |||||||||||||
Units redeemed | (218,317 | ) | (311,620 | ) | (393,580 | ) | ||||||||||
Units outstanding end of year | 681,662 | 1,794,207 | 2,731,348 | |||||||||||||
28
Short | Intermediate | |||||||||||
Horizon | Horizon | Intermediate Long | ||||||||||
Strategic | Strategic | Horizon Strategic | ||||||||||
Variable Fund | Variable Fund | Variable Fund | ||||||||||
From operations: | ||||||||||||
Investment advisory fees | $ | (21,116 | ) | $ | (58,249 | ) | $ | (91,328 | ) | |||
Net realized gains (losses) on investments in affiliates | 577,976 | 778,609 | 1,483,061 | |||||||||
Change in net unrealized appreciation (depreciation) on investments in affiliates | (89,554 | ) | 1,607,120 | 3,049,486 | ||||||||
Net increase (decrease) in net assets resulting from operations | 467,306 | 2,327,480 | 4,441,219 | |||||||||
From unit transactions: | ||||||||||||
Units sold | 3,665,902 | 7,153,984 | 9,813,099 | |||||||||
Units redeemed | (5,502,368 | ) | (8,806,580 | ) | (12,402,021 | ) | ||||||
Net increase (decrease) in net assets resulting from unit transactions | (1,836,466 | ) | (1,652,596 | ) | (2,588,922 | ) | ||||||
Total increase (decrease) in net assets | (1,369,160 | ) | 674,884 | 1,852,297 | ||||||||
Net assets: | ||||||||||||
Beginning of year | 11,574,072 | 29,281,323 | 45,441,180 | |||||||||
End of year | $ | 10,204,912 | $ | 29,956,207 | $ | 47,293,477 | ||||||
Units outstanding beginning of year | 776,216 | 1,817,622 | 2,694,280 | |||||||||
Units sold | 242,449 | 432,083 | 564,861 | |||||||||
Units redeemed | (364,272 | ) | (531,842 | ) | (710,834 | ) | ||||||
Units outstanding end of year | 654,393 | 1,717,863 | 2,548,307 | |||||||||
29
PORTFOLIO OF INVESTMENTS
December 31, 2007
Shares | Value | |||||||
Investments | ||||||||
177,681 | Diversified Investors Variable Funds — Core Bond | $ | 5,941,586 | |||||
6,211 | Diversified Investors Variable Funds — Equity Growth | 351,620 | ||||||
5,230 | Diversified Investors Variable Funds — Growth & Income | 149,558 | ||||||
184,617 | Diversified Investors Variable Funds — High Quality Bond | 2,878,099 | ||||||
50,602 | Diversified Investors Variable Funds — High Yield Bond | 958,475 | ||||||
5,475 | Diversified Investors Variable Funds — International Equity | 161,151 | ||||||
11,108 | Diversified Investors Variable Funds — Money Market | 231,219 | ||||||
2,303 | Diversified Investors Variable Funds — Special Equity | 85,261 | ||||||
5,540 | Diversified Investors Variable Funds — Value & Income | 341,816 | ||||||
Total Investments — 100.0% (Cost $9,769,135) | 11,098,785 | |||||||
Liabilities less other assets — (0.0%) | (1,884 | ) | ||||||
Net Assets — 100.0% | $ | 11,096,901 | ||||||
Net unrealized appreciation | $ | 1,329,650 | ||
30
PORTFOLIO OF INVESTMENTS
December 31, 2007
Shares | Value | |||||||
Investments | ||||||||
282,973 | Diversified Investors Variable Funds — Core Bond | $ | 9,462,537 | |||||
93,746 | Diversified Investors Variable Funds — Equity Growth | 5,307,303 | ||||||
75,767 | Diversified Investors Variable Funds — Growth & Income | 2,166,812 | ||||||
302,883 | Diversified Investors Variable Funds — High Quality Bond | 4,721,828 | ||||||
80,265 | Diversified Investors Variable Funds — High Yield Bond | 1,520,339 | ||||||
90,574 | Diversified Investors Variable Funds — International Equity | 2,665,846 | ||||||
38,020 | Diversified Investors Variable Funds — Money Market | 791,385 | ||||||
31,254 | Diversified Investors Variable Funds — Special Equity | 1,157,204 | ||||||
77,720 | Diversified Investors Variable Funds — Value & Income | 4,795,630 | ||||||
Total Investments — 100.0% (Cost $25,599,036) | 32,588,884 | |||||||
Liabilities less other assets — (0.0%) | (5,521 | ) | ||||||
Net Assets — 100.0% | $ | 32,583,363 | ||||||
Net unrealized appreciation | $ | 6,989,848 | ||
31
PORTFOLIO OF INVESTMENTS
December 31, 2007
Shares | Value | |||||||
Investments | ||||||||
269,499 | Diversified Investors Variable Funds — Core Bond | $ | 9,011,959 | |||||
212,707 | Diversified Investors Variable Funds — Equity Growth | 12,042,147 | ||||||
170,874 | Diversified Investors Variable Funds — Growth & Income | 4,886,745 | ||||||
286,827 | Diversified Investors Variable Funds — High Quality Bond | 4,471,523 | ||||||
77,676 | Diversified Investors Variable Funds — High Yield Bond | 1,471,306 | ||||||
205,200 | Diversified Investors Variable Funds — International Equity | 6,039,593 | ||||||
57,952 | Diversified Investors Variable Funds — Money Market | 1,206,269 | ||||||
74,212 | Diversified Investors Variable Funds — Special Equity | 2,747,779 | ||||||
175,601 | Diversified Investors Variable Funds — Value & Income | 10,835,334 | ||||||
Total Investments — 100.0% (Cost $41,292,108) | 52,712,655 | |||||||
Liabilities less other assets — (0.0%) | (8,981 | ) | ||||||
Net Assets — 100.0% | $ | 52,703,674 | ||||||
Net unrealized appreciation | $ | 11,420,547 | ||
32
PORTFOLIO COMPOSITION
December 31, 2007
Short Horizon Strategic Variable Fund | ||||
Money Market Fund | 2.1 | % | ||
Fixed Income Funds | 88.1 | |||
Domestic Equity Funds | 8.4 | |||
International Equity Fund | 1.4 | |||
Liabilities less other assets | (0.0 | )* | ||
100.0 | % | |||
Intermediate Horizon Strategic Variable Fund | ||||
Money Market Fund | 2.4 | % | ||
Fixed Income Funds | 48.2 | |||
Domestic Equity Funds | 41.2 | |||
International Equity Fund | 8.2 | |||
Liabilities less other assets | (0.0 | )* | ||
100.0 | % | |||
Intermediate Long Horizon Strategic Variable Fund | ||||
Money Market Fund | 2.3 | % | ||
Fixed Income Funds | 28.4 | |||
Domestic Equity Funds | 57.9 | |||
International Equity Fund | 11.4 | |||
Liabilities less other assets | (0.0 | )* | ||
100.0 | % | |||
* | Amount rounds to less than 0.05%. |
33
NOTES TO FINANCIAL STATEMENTS
1. | Organization |
2. | Significant Accounting Policies |
A. | Investment Valuation: |
B. | Operating Expenses: |
C. | Federal Income Taxes: |
D. | Other: |
34
NOTES TO FINANCIAL STATEMENTS (Continued)
3. | Fees and Transactions with Affiliates |
4. | Purchases and Sales of Investments |
Cost of | Proceeds | |||||||
Purchases | from Sales | |||||||
Short Horizon | $ | 6,246,644 | $ | 5,846,996 | ||||
Intermediate Horizon | 7,093,294 | 5,788,182 | ||||||
Intermediate Long Horizon | 13,955,130 | 10,526,382 |
5. | Regulatory Proceedings |
35
NOTES TO FINANCIAL STATEMENTS (Continued)
5. | Regulatory Proceedings (continued) |
6. | Concentrations and Indemnifications |
Income (Loss) from | Ratios to Average | |||||||||||||||||||||||||||||||||||||||
Investment Operations | Net Assets | |||||||||||||||||||||||||||||||||||||||
Net | Total | |||||||||||||||||||||||||||||||||||||||
Unit | Realized and | Income | Unit | Net | Net | |||||||||||||||||||||||||||||||||||
Value, | Net | Unrealized | (Loss) from | Value, | Assets, | Investment | ||||||||||||||||||||||||||||||||||
Beginning of | Investment | Gains (Losses) | Investment | End of | Total | End of | Income | Portfolio | ||||||||||||||||||||||||||||||||
For the Year Ended | Year | Income (Loss)(a) | on Investments | Operations | Year | Return | Year | Expenses | (Loss) | Turnover | ||||||||||||||||||||||||||||||
Short Horizon Strategic Variable Fund | ||||||||||||||||||||||||||||||||||||||||
12/31/2007 | $ | 15.59 | $ | (0.03 | ) | $ | 0.72 | $ | 0.69 | $ | 16.28 | 4.43 | % | $ | 11,096,901 | 0.20 | % | (0.20 | )% | 55 | % | |||||||||||||||||||
12/31/2006 | 14.91 | (0.03 | ) | 0.71 | 0.68 | 15.59 | 4.56 | 10,204,912 | 0.20 | (0.20 | ) | 86 | ||||||||||||||||||||||||||||
12/31/2005 | 14.68 | (0.03 | ) | 0.26 | 0.23 | 14.91 | 1.57 | 11,574,072 | 0.20 | (0.20 | ) | 46 | ||||||||||||||||||||||||||||
12/31/2004 | 14.14 | (0.03 | ) | 0.57 | 0.54 | 14.68 | 3.82 | 10,191,299 | 0.20 | (0.20 | ) | 50 | ||||||||||||||||||||||||||||
12/31/2003 | 13.34 | (0.03 | ) | 0.83 | 0.80 | 14.14 | 6.00 | 10,505,127 | 0.20 | (0.20 | ) | 109 | ||||||||||||||||||||||||||||
Intermediate Horizon Strategic Variable Fund | ||||||||||||||||||||||||||||||||||||||||
12/31/2007 | 17.44 | (0.04 | ) | 0.76 | 0.72 | 18.16 | 4.13 | 32,583,363 | 0.20 | (0.20 | ) | 18 | ||||||||||||||||||||||||||||
12/31/2006 | 16.11 | (0.03 | ) | 1.36 | 1.33 | 17.44 | 8.26 | 29,956,207 | 0.20 | (0.20 | ) | 55 | ||||||||||||||||||||||||||||
12/31/2005 | 15.50 | (0.03 | ) | 0.64 | 0.61 | 16.11 | 3.94 | 29,281,323 | 0.20 | (0.20 | ) | 29 | ||||||||||||||||||||||||||||
12/31/2004 | 14.52 | (0.03 | ) | 1.01 | 0.98 | 15.50 | 6.75 | 28,720,023 | 0.20 | (0.20 | ) | 28 | ||||||||||||||||||||||||||||
12/31/2003 | 12.58 | (0.03 | ) | 1.97 | 1.94 | 14.52 | 15.42 | 25,770,371 | 0.20 | (0.20 | ) | 87 | ||||||||||||||||||||||||||||
Intermediate Long Horizon Strategic Variable Fund | ||||||||||||||||||||||||||||||||||||||||
12/31/2007 | 18.56 | (0.04 | ) | 0.78 | 0.74 | 19.30 | 3.99 | 52,703,674 | 0.20 | (0.20 | ) | 21 | ||||||||||||||||||||||||||||
12/31/2006 | 16.87 | (0.03 | ) | 1.72 | 1.69 | 18.56 | 10.02 | 47,293,477 | 0.20 | (0.20 | ) | 63 | ||||||||||||||||||||||||||||
12/31/2005 | 16.06 | (0.03 | ) | 0.84 | 0.81 | 16.87 | 5.04 | 45,441,180 | 0.20 | (0.20 | ) | 25 | ||||||||||||||||||||||||||||
12/31/2004 | 14.83 | (0.03 | ) | 1.26 | 1.23 | 16.06 | 8.29 | 40,122,473 | 0.20 | (0.20 | ) | 34 | ||||||||||||||||||||||||||||
12/31/2003 | 12.39 | (0.03 | ) | 2.47 | 2.44 | 14.83 | 19.69 | 34,716,992 | 0.20 | (0.20 | ) | 98 |
(a) | Calculated based upon average units outstanding. |
36
NOTES TO FINANCIAL STATEMENTS (Continued)
Beginning | Units | Units | Ending | Purchase | Sale | Gain/(Loss) | ||||||||||||||||||||||
Units | Purchased | Sold | Units | Cost | Cost | on Sales | ||||||||||||||||||||||
Short Horizon | ||||||||||||||||||||||||||||
Investments: | ||||||||||||||||||||||||||||
Diversified Investors Variable Funds — Core Bond | 175,694 | 19,185 | 17,198 | 177,681 | $ | 605,483 | $ | 462,953 | $ | 88,032 | ||||||||||||||||||
Diversified Investors Variable Funds — Equity Growth | 6,857 | 515 | 1,161 | 6,211 | 27,637 | 45,980 | 15,927 | |||||||||||||||||||||
Diversified Investors Variable Funds — Growth & Income | 5,508 | 611 | 889 | 5,230 | 17,705 | 17,605 | 8,207 | |||||||||||||||||||||
Diversified Investors Variable Funds — High Quality Bond | 169,024 | 39,046 | 23,453 | 184,617 | 588,520 | 336,311 | 19,578 | |||||||||||||||||||||
Diversified Investors Variable Funds — High Yield Bond | 50,848 | 6,399 | 6,645 | 50,602 | 121,559 | 78,914 | 47,382 | |||||||||||||||||||||
Diversified Investors Variable Funds — International Equity | 6,501 | 289 | 1,315 | 5,475 | 8,386 | 17,534 | 19,102 | |||||||||||||||||||||
Diversified Investors Variable Funds — Money Market | 1,275 | 235,574 | 225,741 | 11,108 | 4,802,484 | 4,597,237 | 7,286 | |||||||||||||||||||||
Diversified Investors Variable Funds — Special Equity | 2,249 | 431 | 377 | 2,303 | 16,413 | 8,620 | 6,257 | |||||||||||||||||||||
Diversified Investors Variable Funds — Value & Income | 5,694 | 927 | 1,081 | 5,540 | 58,457 | 39,069 | 31,002 | |||||||||||||||||||||
$ | 6,246,644 | $ | 5,604,223 | $ | 242,773 | |||||||||||||||||||||||
Intermediate Horizon | ||||||||||||||||||||||||||||
Investments: | ||||||||||||||||||||||||||||
Diversified Investors Variable Funds — Core Bond | 266,362 | 23,885 | 7,274 | 282,973 | $ | 763,366 | $ | 192,983 | $ | 37,704 | ||||||||||||||||||
Diversified Investors Variable Funds — Equity Growth | 92,831 | 3,325 | 2,410 | 93,746 | 178,735 | 121,313 | 12,888 | |||||||||||||||||||||
Diversified Investors Variable Funds — Growth & Income | 74,984 | 2,730 | 1,947 | 75,767 | 79,185 | 59,330 | 892 | |||||||||||||||||||||
Diversified Investors Variable Funds — High Quality Bond | 282,352 | 28,104 | 7,573 | 302,883 | 429,190 | 108,952 | 6,187 | |||||||||||||||||||||
Diversified Investors Variable Funds — High Yield Bond | 77,028 | 5,237 | 2,000 | 80,265 | 99,477 | 23,353 | 15,226 | |||||||||||||||||||||
Diversified Investors Variable Funds — International Equity | 89,877 | 3,029 | 2,332 | 90,574 | 84,842 | 46,972 | 24,963 | |||||||||||||||||||||
Diversified Investors Variable Funds — Money Market | 24,778 | 256,401 | 243,159 | 38,020 | 5,235,646 | 4,941,709 | 23,313 | |||||||||||||||||||||
Diversified Investors Variable Funds — Special Equity | 30,931 | 1,126 | 803 | 31,254 | 44,118 | 15,567 | 18,258 | |||||||||||||||||||||
Diversified Investors Variable Funds — Value & Income | 76,954 | 2,763 | 1,997 | 77,720 | 178,735 | 79,537 | 59,035 | |||||||||||||||||||||
$ | 7,093,294 | $ | 5,589,716 | $ | 198,466 | |||||||||||||||||||||||
37
NOTES TO FINANCIAL STATEMENTS (Continued)
Beginning | Units | Units | Ending | Purchase | Sale | Gain/(Loss) | ||||||||||||||||||||||
Units | Purchased | Sold | Units | Cost | Cost | on Sales | ||||||||||||||||||||||
Intermediate Long Horizon | ||||||||||||||||||||||||||||
Investments: | ||||||||||||||||||||||||||||
Diversified Investors Variable Funds — Core Bond | 240,925 | 47,546 | 18,972 | 269,499 | $ | 1,514,168 | $ | 497,906 | $ | 114,340 | ||||||||||||||||||
Diversified Investors Variable Funds — Equity Growth | 203,842 | 12,918 | 4,053 | 212,707 | 694,300 | 222,764 | 3,417 | |||||||||||||||||||||
Diversified Investors Variable Funds — Growth & Income | 163,941 | 10,189 | 3,256 | 170,874 | 307,599 | 118,899 | (17,930 | ) | ||||||||||||||||||||
Diversified Investors Variable Funds — High Quality Bond | 255,340 | 36,952 | 5,465 | 286,827 | 560,241 | 79,216 | 3,779 | |||||||||||||||||||||
Diversified Investors Variable Funds — High Yield Bond | 69,726 | 9,388 | 1,438 | 77,676 | 181,639 | 17,142 | 10,548 | |||||||||||||||||||||
Diversified Investors Variable Funds — International Equity | 197,775 | 11,335 | 3,910 | 205,200 | 329,573 | 88,711 | 31,934 | |||||||||||||||||||||
Diversified Investors Variable Funds — Money Market | 43,902 | 458,353 | 444,303 | 57,952 | 9,347,334 | 9,020,791 | 45,460 | |||||||||||||||||||||
Diversified Investors Variable Funds — Special Equity | 67,178 | 8,367 | 1,333 | 74,212 | 325,976 | 25,848 | 30,848 | |||||||||||||||||||||
Diversified Investors Variable Funds — Value & Income | 168,736 | 10,211 | 3,346 | 175,601 | 694,300 | 133,234 | 99,475 | |||||||||||||||||||||
$ | 13,955,130 | $ | 10,204,511 | $ | 321,871 | |||||||||||||||||||||||
38
39
APPROVAL OF INVESTMENT ADVISORY CONTRACTS
December 31, 2007
(Unaudited)
40
APPROVAL OF INVESTMENT ADVISORY CONTRACTS (Continued)
December 31, 2007
(Unaudited)
41
APPROVAL OF INVESTMENT ADVISORY CONTRACTS (Continued)
December 31, 2007
(Unaudited)
42
UNITHOLDERS MEETING RESULTS
(Unaudited)
Proposal | For | Withheld | ||||||||
To elect a New Board | ||||||||||
Leo J. Hill | 59,072,784.119 | 1,111,925.581 | ||||||||
Russell A. Kimball, Jr. | 59,084,701.328 | 1,100,008.373 | ||||||||
Norm R. Nielsen | 59,086,577.189 | 1,098,132.511 | ||||||||
John W. Waechter | 59,084,701.328 | 1,100,008.373 | ||||||||
Neal M. Jewell | 58,341,689.062 | 1,843,020.639 | ||||||||
Eugene M. Mannella | 59,015,775.918 | 1,168,933.783 | ||||||||
Joyce Galpern Norden | 58,325,884.561 | 1,858,825.139 | ||||||||
Patricia L. Sawyer | 59,075,595.282 | 1,109,114.419 | ||||||||
John K Carter | 59,086,577.189 | 1,098,132.511 | ||||||||
Proposal | For | Against | Abstain | ||||||||||||
To approve a new Investment Advisory Agreement with Transamerica Fund Advisors. Inc. | |||||||||||||||
Intermediate Horizon Strategic Allocation Variable Fund | 16,549,377.488 | 215,771.863 | 1,858,058.176 | ||||||||||||
Intermediate/Long Horizon Strategic Allocation Variable Fund | 34,866,237.433 | 631,138.608 | 99,392.057 | ||||||||||||
Short Horizon Strategic Allocation Variable Fund | 5,035,532.637 | 166,110.780 | 763,090.658 | ||||||||||||
Proposal | For | Against | Abstain | ||||||||||||
To approve a change to the fundamental investment policy relating to borrowing | |||||||||||||||
Intermediate Horizon Strategic Allocation Variable Fund | 15,964,631.304 | 817,061.128 | 1,841,515.096 | ||||||||||||
Intermediate/Long Horizon Strategic Allocation Variable Fund | 34,739,970.350 | 240,491.733 | 616,306.015 | ||||||||||||
Short Horizon Strategic Allocation Variable Fund | 5,145,375.834 | 166,110.780 | 653,247.461 | ||||||||||||
43
UNITHOLDERS MEETING RESULTS (Continued)
(Unaudited)
Proposal | For | Against | Abstain | ||||||||||||
To approve a change to the fundamental investment policy relating to senior securities | |||||||||||||||
Intermediate Horizon Strategic Allocation Variable Fund | 16,487,531.187 | 280,368.175 | 1,855,308.166 | ||||||||||||
Intermediate/Long Horizon Strategic Allocation Variable Fund | 35,540,063.927 | 1,081.612 | 55,622,560 | ||||||||||||
Short Horizon Strategic Allocation Variable Fund | 4,467,358.093 | 844,128.521 | 653,247.461 | ||||||||||||
Proposal | For | Against | Abstain | ||||||||||||
To approve a change to the fundamental investment policy relating to underwriting | |||||||||||||||
Intermediate Horizon Strategic Allocation Variable Fund | 16,491,643.362 | 282,244.036 | 1,849,320.130 | ||||||||||||
Intermediate/Long Horizon Strategic Allocation Variable Fund | 34,744,070.795 | 236,391,288 | 616,306.015 | ||||||||||||
Short Horizon Strategic Allocation Variable Fund | 4,483,162.593 | 160,858.337 | 1,320,713,145 | ||||||||||||
Proposal | For | Against | Abstain | ||||||||||||
To approve a change to the fundamental investment policy relating to real estate | |||||||||||||||
Intermediate Horizon Strategic Allocation Variable Fund | 16,480,972.517 | 282,244.036 | 1,859,990.974 | ||||||||||||
Intermediate/Long Horizon Strategic Allocation Variable Fund | 34,742,325.775 | 232,406.845 | 3622,035.478 | ||||||||||||
Short Horizon Strategic Allocation Variable Fund | 4,467,358.093 | 844,128.521 | 653,247.461 | ||||||||||||
44
UNITHOLDERS MEETING RESULTS (Continued)
(Unaudited)
Proposal | For | Against | Abstain | ||||||||||||
To approve a change to the fundamental investment policy relating to making loans | |||||||||||||||
Intermediate Horizon Strategic Allocation Variable Fund | 16,100,539.187 | 662,800.492 | 1,859,867,848 | ||||||||||||
Intermediate/Long Horizon Strategic Allocation Variable Fund | 34,971,295.584 | 9,166.500 | 616,306.015 | ||||||||||||
Short Horizon Strategic Allocation Variable Fund | 4,477,910.150 | 844,128,521 | 642,695.405 | ||||||||||||
Proposal | For | Against | Abstain | ||||||||||||
To approve a change to the fundamental investment policy relating to concentration | |||||||||||||||
Intermediate Horizon Strategic Allocation Variable Fund | 16,099,581.137 | 660,924.631 | 1,862,701.760 | ||||||||||||
Intermediate/Long Horizon Strategic Allocation Variable Fund | 34,971,295.584 | 9,166.500 | 616,306.015 | ||||||||||||
Short Horizon Strategic Allocation Variable Fund | 4,477,910.150 | 844,128.521 | 642,695.405 | ||||||||||||
Proposal | For | Against | Abstain | ||||||||||||
To approve a change to the fundamental investment policy relating to commodities | |||||||||||||||
Intermediate Horizon Strategic Allocation Variable Fund | 16,474.536.973 | 211,791.858 | 1,936,878.697 | ||||||||||||
Intermediate/Long Horizon Strategic Allocation Variable Fund | 35,308,738.694 | 232,406.845 | 55,622.560 | ||||||||||||
Short Horizon Strategic Allocation Variable Fund | 4,483,162.593 | 838,876.077 | 642,695.405 | ||||||||||||
45
UNITHOLDERS MEETING RESULTS (Continued)
(Unaudited)
Proposal | For | Against | Abstain | ||||||||||||
To eliminate the fundamental investment policy relating to margin activities | |||||||||||||||
Intermediate Horizon Strategic Allocation Variable Fund | 16,466.550.648 | 222,339.576 | 1,934,317.304 | ||||||||||||
Intermediate/Long Horizon Strategic Allocation Variable Fund | 34,738,341.332 | 236,391.288 | 622,035.478 | ||||||||||||
Short Horizon Strategic Allocation Variable Fund | 4,467,358.093 | 844,128.521 | 653,247.461 | ||||||||||||
Proposal | For | Against | Abstain | ||||||||||||
To eliminate the fundamental investment policy relating to short selling | |||||||||||||||
Intermediate Horizon Strategic Allocation Variable Fund | 16,615,922.349 | 79,996.149 | 1,927,289.029 | ||||||||||||
Intermediate/Long Horizon Strategic Allocation Variable Fund | 34,969,666.565 | 5,066.055 | 622,035.478 | ||||||||||||
Short Horizon Strategic Allocation Variable Fund | 4,467,358.093 | 844,128.521 | 653,247.461 | ||||||||||||
Proposal | For | Against | Abstain | ||||||||||||
To eliminate the fundamental investment policy relating to pledging assets | |||||||||||||||
Intermediate Horizon Strategic Allocation Variable Fund | 15,970,231.924 | 806,571.574 | 1,846,404.029 | ||||||||||||
Intermediate/Long Horizon Strategic Allocation Variable Fund | 34,739,970.350 | 240,491.733 | 616,306.015 | ||||||||||||
Short Horizon Strategic Allocation Variable Fund | 4,477,910.150 | 844,128.521 | 642,695.405 | ||||||||||||
46
UNITHOLDERS MEETING RESULTS (Continued)
(Unaudited)
Proposal | For | Against | Abstain | ||||||||||||
To eliminate the fundamental investment policy relating to futures and options transactions through investments in underlying funds | |||||||||||||||
Intermediate Horizon Strategic Allocation Variable Fund | 16,488,958.842 | 282,244.036 | 1,852,004.649 | ||||||||||||
Intermediate/Long Horizon Strategic Allocation Variable Fund | 35,308,738.694 | 232,406.845 | 55,622.560 | ||||||||||||
Short Horizon Strategic Allocation Variable Fund | 5,155,927.890 | 166,110.780 | 642,695.405 | ||||||||||||
47
MANAGEMENT OF THE SEPARATE ACCOUNT
(Unaudited)
Number of | ||||||||||
Funds | ||||||||||
in Fund | ||||||||||
Length of | Complex | |||||||||
Position(s) | Time | Principal Occupation(s) | Overseen | Other Board | ||||||
Name, Address*** and Age | Held | Served* | During Past Five Years | by Member | Memberships | |||||
Independent Trustees:** | ||||||||||
Leo J. Hill (DOB: 3/27/56) | Managing Board Member | Since 2007 | Principal, Advisor Network Solutions, LLC (business consulting) (2006 to present); Board Member, Diversified Investors Portfolios (“DIP”), The Diversified Investors Funds Group (“DIFG”), The Diversified Investors Funds Group II (“DIFG II”) and Diversified Investors Strategic Variable Funds (“DISVF”) (2007 to present); Trustee, Transamerica IDEX Mutual Funds (“TA IDEX”) (2002 to present); Director, Transamerica Income Shares, Inc. (“TIS”) (2002 to present); Trustee, AEGON/Transamerica Series Trust (“ATST”) (2001 to present); Owner and President, Prestige Automotive Group (2001 to 2005); President, L. J. Hill & Company (1999 to present) | 160 | None | |||||
Neal M. Jewell (DOB: 2/12/35) | Managing Board Member | Since 1993 | Retired (2004 to present); Trustee, TA IDEX and ATST (2007 to present); Director, TIS (2007 to present); Board Member, DIP, DIFG, DIFG II and DISVF (1993 to present); Independent Trustee, EAI Select Managers Equity Fund (mutual fund) (1996 to 2004). | 160 | None | |||||
Russell A. Kimball, Jr. (DOB: 8/17/44) | Managing Board Member | Since 2007 | Board Member, DIP, DIFG, DIFG II and DISVF (2007 to present); Trustee, TA IDEX (2002 to present); Director, TIS (2002 to present); Trustee, ATST (1986 to present); General Manager, Sheraton Sand Key Resort (1975 to present). | 160 | None |
48
MANAGEMENT OF THE SEPARATE ACCOUNT (Continued)
(Unaudited)
Number of | ||||||||||
Funds | ||||||||||
in Fund | ||||||||||
Length of | Complex | |||||||||
Position(s) | Time | Principal Occupation(s) | Overseen | Other Board | ||||||
Name, Address*** and Age | Held | Served* | During Past Five Years | by Member | Memberships | |||||
Eugene M. Mannella (DOB: 2/1/54) | Managing Board Member | Since 1993 | Self-employed consultant (2006 to present); President, Arapain Partners LLC (limited purpose broker-dealer) (1998 to present); Trustee, TA IDEX and ATST (2007 to present); Director, TIS (2007 to present); Board Member, DIP, DIFG, DIFG II and DISVF (1994 to present); President, International Fund Services (alternative asset administration) (1993 to 2005). | 160 | None | |||||
Norm R. Nielsen (DOB: 5/11/39) | Managing Board Member | Since 2007 | Retired (2005 to present); Board Member, DIP, DIFG, DIFG II and DISVF (2007 to present); Trustee, TA IDEX (2006 to present); Director, TIS (2006 to present); Trustee, ATST (2006 to present); Director, Iowa City Area Development (1996 to 2004); Director, Iowa Health Systems (1994 to 2003); Director, U.S. Bank (1987 to 2006); President, Kirkwood Community College (1979 to 2005). | 160 | Buena Vista University Board of Trustees (2004 to present) | |||||
Joyce Galpern Norden (DOB: 6/1/39) | Managing Board Member | Since 1993 | Retired (2004 to present); Trustee, TA IDEX and ATST (2007 to present); Director, TIS (2007 to present); Trustee, DIP (2002 to present); Board Member, DIFG, DIFG II, and DISVF (1993 to present); Vice President, Institutional Advancement, Reconstructionist Rabbinical College (1996 to 2004). | 160 | Board of Governors, Reconstructionist Rabbinical College (2007 to present) | |||||
Patricia L. Sawyer (DOB: 7/1/50) | Managing Board Member | Since 1993 | Trustee, TA IDEX and ATST (2007 to present); Director, TIS (2007 to present); Board Member, DIP, DIFG, DIFG II, and DISVF (1993 to present); President and Executive Search Consultant, Smith & Sawyer LLC (consulting) (1989 to present). | 160 | None | |||||
John W. Waechter (DOB: 2/25/52) | Managing Board Member | Since 2007 | Board Member, DIP, DIFG, DIFG II and DISVF (2007 to present); Trustee, TA IDEX (2005 to present); Director, TIS (2004 to present); Trustee, ATST (2004 to present); employee, RBC Dain Rauscher (securities dealer) (March 2004 to May 2004); Executive Vice President, Chief Financial Officer and Chief Compliance Officer, William R. Hough & Co. (securities dealer) (1979 to 2004); Treasurer, The Hough Group of Funds (1993 to 2004). | 160 | None |
49
MANAGEMENT OF THE SEPARATE ACCOUNT (Continued)
(Unaudited)
Number of | ||||||||||
Funds | ||||||||||
in Fund | ||||||||||
Length of | Complex | |||||||||
Position(s) | Time | Principal Occupation(s) | Overseen | Other Board | ||||||
Name, Address*** and Age | Held | Served* | During Past Five Years | by Member | Memberships | |||||
Interested Board Member:**** | ||||||||||
John K. Carter (DOB: 4/24/61) | Managing Board Member | Since 2007 | President and Chief Executive Officer, DIP, DIFG, DIFG II and DISVF (August 2007 to present); Board Member, DIP, DIFG, DIFG II, and DISVF (October 2007 to present); Trustee (September 2006 to present), President and Chief Executive Officer (July 2006 to present), Senior Vice President (1999 to June 2006), Chief Compliance Officer, General Counsel and Secretary (1999 to August 2006), TA IDEX; Trustee (September 2006 to present), President and Chief Executive Officer (July 2006 to present), Senior Vice President (1999 to June 2006), Chief Compliance Officer, General Counsel and Secretary (1999 to August 2006), ATST; Director (September 2006 to present), President and Chief Executive Officer (July 2006 to present), Senior Vice President (2002 to June 2006), General Counsel, Secretary and Chief Compliance Officer (2002 to August 2006), TIS; President and Chief Executive Officer (July 2006 to present), Senior Vice President (1999 to June 2006), Director (2000 to present), General Counsel and Secretary (2000 to August 2006), Chief Compliance Officer (2004 to August 2006), TFAI; President and Chief Executive Officer (July 2006 to present), Senior Vice President (1999 to June 2006), Director (2001 to present), General Counsel and Secretary (2001 to August 2006), (“TFS”); Vice President, AFSG Securities Corporation (2001 to present); Chief Executive Officer (July 2006 to present), Vice President, Secretary and Chief Compliance Officer (2003 to August 2006), Transamerica Investors, Inc. (“TII”); Senior Vice President, General Counsel and Secretary, Transamerica Index Funds, Inc. (2002 to 2004); Vice President, Transamerica Investment Services, Inc. (“TISI”) (2003 to 2005) and Transamerica Investment Management, LLC (“TIM”) (2001 to 2005). | 160 | None |
50
MANAGEMENT OF THE SEPARATE ACCOUNT (Continued)
(Unaudited)
Length of | ||||||
Time | Principal Occupation(s) | |||||
Name, Address*** and Age | Position(s) Held | Served† | During the Past Five Years | |||
Officers | ||||||
John K. Carter (DOB: 4/24/61) | Chief Executive Officer and President | Since 2007 | See the table above. | |||
Dennis P. Gallagher (DOB: 12/19/70) | Vice President, General Counsel and Secretary | Since 2007 | Vice President, General Counsel and Secretary, TA IDEX, ATST and TIS (September 2006 to present); Vice President, General Counsel and Secretary, DIP, DIFG, DIFG II and DISVF (August 2007 to present); Vice President and Secretary, TII (September 2006 to present); Director, Senior Vice President, General Counsel and Secretary, TFAI and TFS (September 2006 to present); Director, Deutsche Asset Management (1998 to 2006). | |||
Elizabeth L. Belanger (DOB: 1/7/72) | Deputy General Counsel, Assistant Secretary and Conflicts of Interest Officer | Since 2005 | Deputy General Counsel, Assistant Secretary and Conflicts of Interest Officer, TII (November 2007 to present); Deputy General Counsel, Assistant Secretary and Conflicts of Interest Officer, TA IDEX, ATST and TIS (July 2007 to present); Deputy General Counsel and Conflicts of Interest Officer (August 2007 to present), Assistant Secretary (August 2005 to present), DIP, DIFG, DIFG II and DISVF; Vice President and Senior Counsel, Diversified (with Diversified since 2005); Director, TFLIC (April 2006 to present); Director of Compliance, Domini Social Investments LLC (November 2003 to May 2005); Associate, Bingham McCutchen LLP (September 1997 to October 2003). | |||
Joseph P. Carusone (DOB: 9/8/65) | Vice President, Treasurer and Principal Financial Officer | Since 2001 | Vice President, Treasurer and Principal Financial Officer, TII (November 2007 to present); Vice President, Treasurer and Principal Financial Officer, TA IDEX, ATST and TIS (July 2007 to present); Vice President (August 2007 to present), Treasurer and Principal Financial Officer (2001 to present), DIP, DIFG, DIFG II and DISVF; Senior Vice President, Diversified (since 1999); President, Diversified Investors Securities Corp. (“DISC”) (February 2007 to present); Director, TFLIC (2004 to present). |
51
MANAGEMENT OF THE SEPARATE ACCOUNT (Continued)
(Unaudited)
Length of | ||||||
Time | Principal Occupation(s) | |||||
Name, Address*** and Age | Position(s) Held | Served† | During the Past Five Years | |||
Christopher A. Staples (DOB: 8/14/70) | Vice President and Chief Investment Officer | Since 2004 | Vice President and Chief Investment Officer, TII (November 2007 to present); Vice President (July 2007 to present), Chief Investment Officer (June 2007 to present), Senior Vice President (June 2007 to July 2007), Senior Vice President — Investment Management (July 2006 to June 2007), Vice President — Investment Management (2004 to July 2006), TA IDEX, ATST and TIS; Vice President and Chief Investment Officer, DIP, DIFG, DIFG II and DISVF (August 2007 to present); Director, TFAI and TFS (2005 to present); Assistant Vice President, Raymond James & Associates (1999 to 2004). | |||
Rick Resnik (DOB: 1/24/67) | Chief Compliance Officer | Since 2004 | Chief Compliance Officer, TA IDEX, ATST, and TIS (January 2008 to present); Chief Compliance Officer, DIP, DIFG, DIFG II and DISVF (2004 to present); Vice President and Chief Compliance Officer, Diversified (with Diversified since 1998); Director, Vice President and Chief Compliance Officer, DISC (June 1999 to present) | |||
Michael A. Masson (DOB: 1/21/71) | Assistant Treasurer | Since 2007 | Assistant Treasurer, TII (November 2007 to present); Assistant Treasurer (July 2007 to present), Assistant Vice President (2005 to present), TA IDEX, ATST and TIS; Assistant Treasurer, DIP, DIFG, DIFG II and DISVF (August 2007 to present); Assistant Vice President, ATST and TIS (2005 to present); Assistant Vice President, TII (2005 to present); Assistant Vice President, TFS and TFAI (2005 to present); Assistant Vice President, JPMorgan Chase & Co. (1999 to 2005). | |||
Suzanne Valerio- Montemurro (DOB: 8/13/64) | Assistant Treasurer | Since 2002 | Assistant Treasurer, the Trust (November 2007 to present); Assistant Treasurer, TA IDEX, ATST and TIS (July 2007 to present); Assistant Treasurer, DIP, DIFG, DIFG II and DISVF (August 2002 to present); Vice President, Diversified (with Diversified since 1998). |
* | Each Board Member shall hold office until: 1) his or her successor is elected and qualified or 2) he or she resigns or his or her term as a Board Member is terminated in accordance with applicable procedures. | |
** | Independent Board Member (“Independent Board Member”) means a trustee who is not an “interested person” (as defined under the 1940 Act) of the Trust (the “Independent Board Member”). | |
*** | The mailing address of each Board Member and Officer is 570 Carillon Parkway, St. Petersburg, Florida 33716. | |
**** | May be deemed an “interested person” (as that term is defined in Section 2(a)(19) of the 1940 Act) of the Separate Account because of his employment with the Advisor or an affiliate of the Advisor. | |
† | If an officer has held offices for different Funds for different periods of time, the earliest applicable date is shown. |
52
53
MANAGEMENT REVIEW
December 31, 2007
(Unaudited)
54
MANAGEMENT REVIEW (Continued)
December 31, 2007
(Unaudited)
55
MANAGEMENT REVIEW (Continued)
December 31, 2007
(Unaudited)
56
MANAGEMENT REVIEW (Continued)
December 31, 2007
(Unaudited)
57
MANAGEMENT REVIEW (Continued)
December 31, 2007
(Unaudited)
58
MANAGEMENT REVIEW (Continued)
December 31, 2007
(Unaudited)
59
MANAGEMENT REVIEW (Continued)
December 31, 2007
(Unaudited)
Mid-Cap Growth Series
60
MANAGEMENT REVIEW (Continued)
December 31, 2007
(Unaudited)
61
MANAGEMENT REVIEW (Continued)
December 31, 2007
(Unaudited)
62
63
STATEMENTS OF ASSETS AND LIABILITIES
High | Inflation- | |||||||||||
Money | Quality | Protected | ||||||||||
Market | Bond | Securities(1) | ||||||||||
Assets: | ||||||||||||
Securities, at value, including investments held as collateral for securities out on loan (Notes 2 and 4) | $ | 879,815,045 | $ | 894,562,680 | $ | 156,101,970 | ||||||
Repurchase agreements (cost equals market value) | 165,334,138 | 14,024,289 | 6,413,422 | |||||||||
Cash at broker | — | — | — | |||||||||
Foreign currency holdings, at value (cost $4,992 and $27,137,049, respectively) | — | — | 5,100 | |||||||||
Receivable for securities sold | — | — | 10,901,807 | |||||||||
Receivable for principal paydowns | — | 43,386 | — | |||||||||
Unrealized appreciation on foreign currency forward contracts (Note 8) | — | — | — | |||||||||
Swap contracts, at value | — | — | — | |||||||||
Variation margin receivable | — | — | 5,487 | |||||||||
Interest receivable | 5,944,892 | 6,726,909 | 1,208,707 | |||||||||
Dividends receivable | — | — | — | |||||||||
Foreign tax reclaim receivable | — | — | — | |||||||||
Receivable from Advisor | — | — | 14,932 | |||||||||
Receivable from securities lending (net) | — | 19,255 | — | |||||||||
Total assets | 1,051,094,075 | 915,376,519 | 174,651,425 | |||||||||
Liabilities: | ||||||||||||
Due to Advisor | — | — | — | |||||||||
Due to Custodian | — | — | 7,170 | |||||||||
Due to Broker for swap contracts | — | — | — | |||||||||
Collateral for securities out on loan | — | 81,761,901 | 15,142,100 | |||||||||
Payable for securities purchased | — | — | 10,397,288 | |||||||||
Securities sold short, at value (proceeds $167,288,668) | — | — | — | |||||||||
Written options, at value (premium $123,969, $198,268 and $75,443, respectively) | — | — | — | |||||||||
Swap contracts, at value (premium received $345,011) | — | — | — | |||||||||
Unrealized depreciation on foreign currency forward contracts (Note 8) | — | — | 6,102 | |||||||||
Variation margin payable | — | — | — | |||||||||
Accrued investment advisory fees | 220,650 | 248,126 | 43,999 | |||||||||
Accrued expenses | 77,320 | 75,253 | 41,370 | |||||||||
Contingent liability (Note 6) | — | — | — | |||||||||
Total liabilities | 297,970 | 82,085,280 | 25,638,029 | |||||||||
Net assets | $ | 1,050,796,105 | $ | 833,291,239 | $ | 149,013,396 | ||||||
Securities, at cost | $ | 879,815,045 | $ | 892,751,400 | $ | 150,910,949 | ||||||
(1) | Formerly, Intermediate Government Bond. Name changed May 1, 2007 (Note 1). |
64
Total | High | |||||||||||||||||||||
Core | Return | Yield | Value & | |||||||||||||||||||
Bond | Bond | Bond | Balanced | Income | Value | |||||||||||||||||
$ | 2,299,237,280 | $ | 468,421,691 | $ | 502,812,747 | $ | 352,104,405 | $ | 3,342,054,313 | $ | 143,669,446 | |||||||||||
39,004,146 | 43,753,077 | 27,708,526 | 1,057,415 | 66,991,506 | 6,665,697 | |||||||||||||||||
— | 2,055,237 | — | 1,587,089 | — | — | |||||||||||||||||
27,203,788 | — | — | — | — | — | |||||||||||||||||
248,771,408 | 7,369,805 | — | 386,437 | 32,385,567 | — | |||||||||||||||||
46,169 | 91,511 | — | 16,792 | — | — | |||||||||||||||||
70,805 | 40,602 | — | 22,557 | — | — | |||||||||||||||||
42,696,671 | — | — | — | — | — | |||||||||||||||||
— | — | — | — | — | — | |||||||||||||||||
16,726,969 | 2,987,086 | 10,627,278 | 1,089,420 | 31,441 | 1,700 | |||||||||||||||||
— | 1,137 | — | 227,904 | 4,337,802 | 174,462 | |||||||||||||||||
— | — | — | — | 49 | — | |||||||||||||||||
— | 8,155 | — | 14,810 | — | 1,158 | |||||||||||||||||
8,120 | 7,709 | — | — | — | 1,036 | |||||||||||||||||
2,673,765,356 | 524,736,010 | 541,148,551 | 356,506,829 | 3,445,800,678 | 150,513,499 | |||||||||||||||||
— | — | — | — | 6,925 | — | |||||||||||||||||
— | — | — | 247,304 | 50,155 | — | |||||||||||||||||
3,800,000 | — | — | — | — | — | |||||||||||||||||
20,483,129 | 24,138,321 | — | 11,679,276 | 206,427,670 | 8,440,760 | |||||||||||||||||
209,593,811 | 108,965,468 | 2,108,812 | 24,900,559 | 72,787,602 | 404,913 | |||||||||||||||||
167,626,566 | — | — | — | — | — | |||||||||||||||||
94,937 | 450,797 | — | 176,031 | — | — | |||||||||||||||||
21,389,076 | — | — | — | — | — | |||||||||||||||||
471,898 | 94,190 | — | 38,541 | — | — | |||||||||||||||||
581,820 | 628,564 | — | 620,330 | — | — | |||||||||||||||||
663,017 | 114,205 | 251,529 | 123,747 | 1,221,683 | 60,444 | |||||||||||||||||
181,586 | 56,969 | 61,192 | 85,858 | 281,868 | 41,456 | |||||||||||||||||
— | — | — | — | — | — | |||||||||||||||||
424,885,840 | 134,448,514 | 2,421,533 | 37,871,646 | 280,775,903 | 8,947,573 | |||||||||||||||||
$ | 2,248,879,516 | $ | 390,287,496 | $ | 538,727,018 | $ | 318,635,183 | $ | 3,165,024,775 | $ | 141,565,926 | |||||||||||
$ | 2,281,775,217 | $ | 473,414,435 | $ | 525,640,666 | $ | 341,237,658 | $ | 2,998,961,495 | $ | 169,516,747 | |||||||||||
65
STATEMENTS OF ASSETS AND LIABILITIES (Continued)
December 31, 2007
Growth & | Equity | Aggressive | ||||||||||
Income | Growth | Equity | ||||||||||
Assets: | ||||||||||||
Securities, at value, including investments held as collateral for securities out on loan (Notes 2 and 4) | $ | 946,180,668 | $ | 2,464,365,656 | $ | 455,758,068 | ||||||
Repurchase agreements (cost equals market value) | 7,080,636 | 72,528,255 | 4,360,811 | |||||||||
Foreign currency holdings, at value (cost $6,187,368) | — | — | — | |||||||||
Receivable for securities sold | — | 21,722,339 | — | |||||||||
Unrealized appreciation on foreign currency forward contracts (Note 8) | — | — | — | |||||||||
Interest receivable | 6,592 | 20,230 | 4,211 | |||||||||
Dividends receivable | 1,005,684 | 2,859,801 | 113,165 | |||||||||
Foreign tax reclaim receivable | — | 238,683 | 15,799 | |||||||||
Receivable from Advisor | — | — | — | |||||||||
Receivable from securities lending (net) | — | — | 29,435 | |||||||||
Total assets | 954,273,580 | 2,561,734,964 | 460,281,489 | |||||||||
Liabilities: | ||||||||||||
Due to Advisor | 12,388 | 9,508 | 5,651 | |||||||||
Due to Custodian | 897,770 | 13,027 | — | |||||||||
Collateral for securities out on loan | 49,509,121 | 106,513,377 | 31,770,694 | |||||||||
Payable for securities purchased | — | 8,968,181 | 803,340 | |||||||||
Unrealized depreciation on foreign currency forward contracts (Note 8) | — | 10,710 | — | |||||||||
Variation margin payable | 10,325 | — | — | |||||||||
Accrued investment advisory fees | 469,420 | 1,296,358 | 279,878 | |||||||||
Accrued expenses | 112,735 | 162,950 | 48,932 | |||||||||
Contingent liability (Note 6) | — | — | — | |||||||||
Total liabilities | 51,011,759 | 116,974,111 | 32,908,495 | |||||||||
Net assets | $ | 903,261,821 | $ | 2,444,760,853 | $ | 427,372,994 | ||||||
Securities, at cost | $ | 890,061,642 | $ | 2,219,037,143 | $ | 366,346,064 | ||||||
66
Mid-Cap | Mid-Cap | Small-Cap | Special | Small-Cap | International | |||||||||||||||||
Value | Growth | Value | Equity | Growth | Equity | |||||||||||||||||
$ | 1,099,544,561 | $ | 380,091,021 | $ | 223,213,189 | $ | 1,147,956,807 | $ | 196,521,383 | $ | 2,385,206,044 | |||||||||||
30,287,152 | 3,822,912 | 3,558,021 | 30,010,481 | 3,273,334 | 21,533,562 | |||||||||||||||||
— | — | — | — | — | 6,203,030 | |||||||||||||||||
1,654,876 | — | 710,730 | 1,610,778 | 844,867 | 4,424,124 | |||||||||||||||||
— | — | — | — | — | 9,468 | |||||||||||||||||
20,336 | 5,839 | 5,318 | 29,762 | 4,124 | 20,089 | |||||||||||||||||
2,344,422 | 65,401 | 440,828 | 1,446,767 | 57,074 | 1,687,194 | |||||||||||||||||
54 | 501 | — | — | — | 1,401,055 | |||||||||||||||||
7,272 | — | 17,240 | — | 8,738 | — | |||||||||||||||||
— | 29,759 | 30,912 | 104,187 | 360 | 9,078 | |||||||||||||||||
1,133,858,673 | 384,015,433 | 227,976,238 | 1,181,158,782 | 200,709,880 | 2,420,493,644 | |||||||||||||||||
— | 1,872 | — | 15,085 | — | 7,260 | |||||||||||||||||
9,868 | — | — | — | — | — | |||||||||||||||||
135,672,142 | 46,035,620 | 41,860,487 | 225,270,316 | 32,007,250 | 150,909,501 | |||||||||||||||||
9,338,587 | 543,267 | 809,735 | 4,886,850 | 1,719,104 | 3,499,738 | |||||||||||||||||
— | — | — | — | — | 49,391 | |||||||||||||||||
— | — | — | 4,950 | — | — | |||||||||||||||||
565,004 | 204,882 | 131,267 | 658,644 | 123,826 | 1,449,437 | |||||||||||||||||
95,862 | 40,888 | 38,144 | 125,474 | 42,379 | 516,803 | |||||||||||||||||
— | — | — | — | — | — | |||||||||||||||||
145,681,463 | 46,826,529 | 42,839,633 | 230,961,319 | 33,892,559 | 156,432,130 | |||||||||||||||||
$ | 988,177,210 | $ | 337,188,904 | $ | 185,136,605 | $ | 950,197,463 | $ | 166,817,321 | $ | 2,264,061,514 | |||||||||||
$ | 1,098,641,825 | $ | 312,482,061 | $ | 241,655,247 | $ | 1,166,574,840 | $ | 186,550,985 | $ | 1,995,795,084 | |||||||||||
67
STATEMENTS OF OPERATIONS
High | Inflation- | |||||||||||
Money | Quality | Protected | ||||||||||
Market | Bond | Securities(1) | ||||||||||
Investment income (Note 2): | ||||||||||||
Interest income | $ | 52,279,104 | $ | 40,177,503 | $ | 8,097,451 | ||||||
Securities lending income (net) | — | 90,651 | 62,727 | |||||||||
Dividend income | — | — | — | |||||||||
Less: foreign withholding taxes | — | — | — | |||||||||
Total income | 52,279,104 | 40,268,154 | 8,160,178 | |||||||||
Expenses (Note 2): | ||||||||||||
Investment advisory fees | 2,470,667 | 2,964,178 | 504,521 | |||||||||
Custody fees | 179,609 | 181,861 | 43,215 | |||||||||
Audit fees | 25,088 | 27,454 | 29,683 | |||||||||
Legal fees | 9,790 | 8,171 | 23,001 | |||||||||
Reports to shareholders | 7,761 | 6,826 | 1,047 | |||||||||
Other fees | 25,520 | 21,536 | 3,416 | |||||||||
Total expenses | 2,718,435 | 3,210,026 | 604,883 | |||||||||
Expenses reimbursed by the Advisor | — | — | (28,288 | ) | ||||||||
Net expenses | 2,718,435 | 3,210,026 | 576,595 | |||||||||
Net investment income (loss) | 49,560,669 | 37,058,128 | 7,583,583 | |||||||||
Realized and unrealized gains (losses) on investments (Note 2): | ||||||||||||
Net realized gains (losses) on transactions from: | ||||||||||||
Securities | — | (1,923,414 | ) | (68,196 | ) | |||||||
Swap contracts | — | — | — | |||||||||
Futures | — | — | 881,554 | |||||||||
Written options | — | — | (25,193 | ) | ||||||||
Foreign currency transactions | — | — | 16,933 | |||||||||
Change in net unrealized appreciation (depreciation) on: | ||||||||||||
Securities | — | 8,617,100 | 5,178,149 | |||||||||
Futures | — | — | 40,010 | |||||||||
Written options | — | — | — | |||||||||
Short sales | — | — | — | |||||||||
Swap contracts | — | — | — | |||||||||
Foreign currency translations | — | — | (5,995 | ) | ||||||||
Net realized and unrealized gains (losses) on investments | — | 6,693,686 | 6,017,262 | |||||||||
Net increase (decrease) in net assets resulting from operations | $ | 49,560,669 | $ | 43,751,814 | $ | 13,600,845 | ||||||
(1) | Formerly, Intermediate Government Bond. Name changed May 1, 2007 (Note 1). |
68
Total | ||||||||||||||||||||||
Core | Return | High Yield | Value & | |||||||||||||||||||
Bond | Bond | Bond | Balanced | Income | Value | |||||||||||||||||
$ | 112,094,674 | $ | 15,173,349 | $ | 46,317,717 | $ | 8,350,574 | $ | 2,632,712 | $ | 280,605 | |||||||||||
74,235 | 80,148 | — | 40,660 | 427,366 | 106,684 | |||||||||||||||||
— | 7,735 | 243,164 | 3,974,776 | 73,276,270 | 2,667,441 | |||||||||||||||||
— | — | — | — | (117,479 | ) | (3,791 | ) | |||||||||||||||
112,168,909 | 15,261,232 | 46,560,881 | 12,366,010 | 76,218,869 | 3,050,939 | |||||||||||||||||
7,565,607 | 979,640 | 2,991,943 | 1,652,426 | 15,877,576 | 739,305 | |||||||||||||||||
575,304 | 134,139 | 132,256 | 213,450 | 630,520 | 56,150 | |||||||||||||||||
28,073 | 31,637 | 28,307 | 30,013 | 28,326 | 31,700 | |||||||||||||||||
22,050 | 3,999 | 9,977 | 4,850 | 284,180 | 2,365 | |||||||||||||||||
17,554 | 1,821 | 4,291 | 734 | 28,086 | 1,009 | |||||||||||||||||
53,835 | 5,700 | 13,932 | 10,943 | 100,217 | 3,444 | |||||||||||||||||
8,262,423 | 1,156,936 | 3,180,706 | 1,912,416 | 16,948,905 | 833,973 | |||||||||||||||||
— | (37,347 | ) | — | (76,387 | ) | (935 | ) | (20,757 | ) | |||||||||||||
8,262,423 | 1,119,589 | 3,180,706 | 1,836,029 | 16,947,970 | 813,216 | |||||||||||||||||
103,906,486 | 14,141,643 | 43,380,175 | 10,529,981 | 59,270,899 | 2,237,723 | |||||||||||||||||
1,613,025 | 2,491,296 | 2,952,445 | 23,853,101 | 217,908,338 | 11,397,018 | |||||||||||||||||
(6,958,491 | ) | — | — | — | — | — | ||||||||||||||||
(10,986,521 | ) | (138,634 | ) | — | (1,229,894 | ) | — | — | ||||||||||||||
601,920 | 253,229 | — | 156,168 | — | — | |||||||||||||||||
(671,561 | ) | 6,799 | — | 5,836 | — | — | ||||||||||||||||
34,725,558 | (4,902,953 | ) | (36,569,793 | ) | (25,339,060 | ) | (321,315,389 | ) | (32,193,627 | ) | ||||||||||||
(557,797 | ) | (492,038 | ) | — | (194,590 | ) | — | — | ||||||||||||||
48,766 | (255,269 | ) | — | (105,594 | ) | — | — | |||||||||||||||
(1,274,030 | ) | — | — | — | — | — | ||||||||||||||||
18,346,702 | — | — | — | — | — | |||||||||||||||||
1,510,940 | (62,108 | ) | — | (26,976 | ) | — | 32 | |||||||||||||||
36,398,511 | (3,099,678 | ) | (33,617,348 | ) | (2,881,009 | ) | (103,407,051 | ) | (20,796,577 | ) | ||||||||||||
$ | 140,304,997 | $ | 11,041,965 | $ | 9,762,827 | $ | 7,648,972 | $ | (44,136,152 | ) | $ | (18,558,854 | ) | |||||||||
69
STATEMENTS OF OPERATIONS (Continued)
Growth & | Equity | Aggressive | ||||||||||
Income | Growth | Equity | ||||||||||
Investment income (Note 2): | ||||||||||||
Interest income | $ | 453,592 | $ | 2,082,446 | $ | 134,566 | ||||||
Securities lending income (net) | 199,992 | 302,329 | 358,933 | |||||||||
Dividend income | 17,606,844 | 28,915,602 | 1,987,378 | |||||||||
Less: foreign withholding taxes | (17,130 | ) | (330,191 | ) | (17,624 | ) | ||||||
Total income | 18,243,298 | 30,970,186 | 2,463,253 | |||||||||
Expenses (Note 2): | ||||||||||||
Investment advisory fees | 6,367,153 | 15,336,383 | 2,956,916 | |||||||||
Custody fees | 297,734 | 494,404 | 111,974 | |||||||||
Audit fees | 26,854 | 27,889 | 27,500 | |||||||||
Legal fees | 19,043 | 33,863 | 3,780 | |||||||||
Reports to shareholders | 8,747 | 20,639 | 2,585 | |||||||||
Other fees | 30,195 | 68,269 | 10,949 | |||||||||
Total expenses | 6,749,726 | 15,981,447 | 3,113,704 | |||||||||
Expenses reimbursed by the Advisor | (2,107 | ) | (1,414 | ) | (41,955 | ) | ||||||
Net expenses | 6,747,619 | 15,980,033 | 3,071,749 | |||||||||
Net investment income (loss) | 11,495,679 | 14,990,153 | (608,496 | ) | ||||||||
Realized and unrealized gains (losses) on investments (Note 2): | ||||||||||||
Net realized gains (losses) on transactions from: | ||||||||||||
Securities | 107,079,379 | 348,335,738 | 61,547,685 | |||||||||
Swap contracts | — | — | — | |||||||||
Futures | 118,470 | — | — | |||||||||
Written options | — | — | — | |||||||||
Foreign currency transactions | — | 117,775 | — | |||||||||
Change in net unrealized appreciation (depreciation) on: | ||||||||||||
Securities | (89,665,034 | ) | (77,579,651 | ) | 34,636,483 | |||||||
Futures | (22,990 | ) | — | — | ||||||||
Written options | — | — | — | |||||||||
Short sales | — | — | — | |||||||||
Swap contracts | — | — | — | |||||||||
Foreign currency translations | 623 | 2,387 | — | |||||||||
Net realized and unrealized gains (losses) on investments | 17,510,448 | 270,876,249 | 96,184,168 | |||||||||
Net increase (decrease) in net assets resulting from operations | $ | 29,006,127 | $ | 285,866,402 | $ | 95,575,672 | ||||||
70
Mid-Cap | Mid-Cap | Small-Cap | Special | Small-Cap | International | |||||||||||||||||
Value | Growth | Value | Equity | Growth | Equity | |||||||||||||||||
$ | 1,317,466 | $ | 312,310 | $ | 280,488 | $ | 1,111,559 | $ | 57,938 | $ | 1,093,309 | |||||||||||
285,000 | 306,043 | 439,591 | 1,741,484 | 134,044 | 737,929 | |||||||||||||||||
20,231,843 | 1,024,150 | 4,089,362 | 13,240,171 | 618,115 | 74,291,655 | |||||||||||||||||
(68,542 | ) | (3,554 | ) | — | — | — | (5,494,989 | ) | ||||||||||||||
21,765,767 | 1,638,949 | 4,809,441 | 16,093,214 | 810,097 | 70,627,904 | |||||||||||||||||
7,044,321 | 2,249,015 | 1,787,887 | 9,060,023 | 1,467,190 | 17,026,492 | |||||||||||||||||
248,583 | 60,142 | 46,392 | 412,328 | 61,450 | 2,491,766 | |||||||||||||||||
21,702 | 23,298 | 23,477 | 30,015 | 13,708 | 30,375 | |||||||||||||||||
23,893 | 4,447 | 21,732 | 22,428 | 9,973 | 28,476 | |||||||||||||||||
10,065 | 1,721 | 1,500 | 2,175 | 371 | 18,190 | |||||||||||||||||
29,580 | 8,651 | 6,045 | 31,890 | 4,741 | 63,765 | |||||||||||||||||
7,378,144 | 2,347,274 | 1,887,033 | 9,558,859 | 1,557,433 | 19,659,064 | |||||||||||||||||
(18,406 | ) | (4,698 | ) | (33,735 | ) | (2,600 | ) | (39,650 | ) | (1,288 | ) | |||||||||||
7,359,738 | 2,342,576 | 1,853,298 | 9,556,259 | 1,517,783 | 19,657,776 | |||||||||||||||||
14,406,029 | (703,627 | ) | 2,956,143 | 6,536,955 | (707,686 | ) | 50,970,128 | |||||||||||||||
107,279,128 | 53,287,127 | 12,414,521 | 128,170,653 | 18,244,723 | 308,594,249 | |||||||||||||||||
— | — | — | — | — | — | |||||||||||||||||
— | — | — | (282,395 | ) | — | — | ||||||||||||||||
— | — | — | — | — | — | |||||||||||||||||
(579 | ) | — | — | — | — | (291,865 | ) | |||||||||||||||
(98,285,078 | ) | 30,493,595 | (30,333,479 | ) | (174,038,203 | ) | (4,729,580 | ) | (116,188,288 | ) | ||||||||||||
— | — | — | 78,107 | — | — | |||||||||||||||||
— | — | — | — | — | — | |||||||||||||||||
— | — | — | — | — | — | |||||||||||||||||
— | — | — | — | — | — | |||||||||||||||||
— | — | — | — | — | 75,039 | |||||||||||||||||
8,993,471 | 83,780,722 | (17,918,958 | ) | (46,071,838 | ) | 13,515,143 | 192,189,135 | |||||||||||||||
$ | 23,399,500 | $ | 83,077,095 | $ | (14,962,815 | ) | $ | (39,534,883 | ) | $ | 12,807,457 | $ | 243,159,263 | |||||||||
71
STATEMENTS OF CHANGES IN NET ASSETS
High | Inflation- | |||||||||||
Money | Quality | Protected | ||||||||||
Market | Bond | Securities(1) | ||||||||||
From operations: | ||||||||||||
Net investment income (loss) | $ | 49,560,669 | $ | 37,058,128 | $ | 7,583,583 | ||||||
Net realized gains (losses) on transactions from: | ||||||||||||
Securities | — | (1,923,414 | ) | (68,196 | ) | |||||||
Swap contracts | — | — | — | |||||||||
Futures | — | — | 881,554 | |||||||||
Written options | — | — | (25,193 | ) | ||||||||
Foreign currency transactions | — | — | 16,933 | |||||||||
Change in net unrealized appreciation (depreciation) on: | ||||||||||||
Securities | — | 8,617,100 | 5,178,149 | |||||||||
Futures | — | — | 40,010 | |||||||||
Written options | — | — | — | |||||||||
Short sales | — | — | — | |||||||||
Swap contracts | — | — | — | |||||||||
Foreign currency translations | — | — | (5,995 | ) | ||||||||
Net increase (decrease) in net assets resulting from operations | 49,560,669 | 43,751,814 | 13,600,845 | |||||||||
From transactions in investors’ beneficial interests: | ||||||||||||
Contributions | 2,954,349,154 | 284,629,480 | 72,255,744 | |||||||||
Withdrawals | (2,879,054,327 | ) | (312,713,241 | ) | (87,524,361 | ) | ||||||
Net increase (decrease) in net assets resulting from transactions in investors’ beneficial interests | 75,294,827 | (28,083,761 | ) | (15,268,617 | ) | |||||||
Net increase (decrease) in net assets | 124,855,496 | 15,668,053 | (1,667,772 | ) | ||||||||
Net assets: | ||||||||||||
Beginning of year | 925,940,609 | 817,623,186 | 150,681,168 | |||||||||
End of year | $ | 1,050,796,105 | $ | 833,291,239 | $ | 149,013,396 | ||||||
(1) | Formerly, Intermediate Government Bond. Name changed May 1, 2007 (Note 1). |
72
Total | High | |||||||||||||||||||||
Core | Return | Yield | Value & | |||||||||||||||||||
Bond | Bond | Bond | Balanced | Income | Value | |||||||||||||||||
$ | 103,906,486 | $ | 14,141,643 | $ | 43,380,175 | $ | 10,529,981 | $ | 59,270,899 | $ | 2,237,723 | |||||||||||
1,613,025 | 2,491,296 | 2,952,445 | 23,853,101 | 217,908,338 | 11,397,018 | |||||||||||||||||
(6,958,491 | ) | — | — | — | — | — | ||||||||||||||||
(10,986,521 | ) | (138,634 | ) | — | (1,229,894 | ) | — | — | ||||||||||||||
601,920 | 253,229 | — | 156,168 | — | — | |||||||||||||||||
(671,561 | ) | 6,799 | — | 5,836 | — | — | ||||||||||||||||
34,725,558 | (4,902,953 | ) | (36,569,793 | ) | (25,339,060 | ) | (321,315,389 | ) | (32,193,627 | ) | ||||||||||||
(557,797 | ) | (492,038 | ) | — | (194,590 | ) | — | — | ||||||||||||||
48,766 | (255,269 | ) | — | (105,594 | ) | — | — | |||||||||||||||
(1,274,030 | ) | — | — | — | — | — | ||||||||||||||||
18,346,702 | — | — | — | — | — | |||||||||||||||||
1,510,940 | (62,108 | ) | — | (26,976 | ) | — | 32 | |||||||||||||||
140,304,997 | 11,041,965 | 9,762,827 | 7,648,972 | (44,136,152 | ) | (18,558,854 | ) | |||||||||||||||
568,414,773 | 333,268,808 | 201,336,632 | 87,795,282 | 819,077,669 | 102,985,023 | |||||||||||||||||
(537,661,703 | ) | (74,659,704 | ) | (174,702,497 | ) | (158,457,872 | ) | (1,148,860,468 | ) | (44,143,149 | ) | |||||||||||
30,753,070 | 258,609,104 | 26,634,135 | (70,662,590 | ) | (329,782,799 | ) | 58,841,874 | |||||||||||||||
171,058,067 | 269,651,069 | 36,396,962 | (63,013,618 | ) | (373,918,951 | ) | 40,283,020 | |||||||||||||||
2,077,821,449 | 120,636,427 | 502,330,056 | 381,648,801 | 3,538,943,726 | 101,282,906 | |||||||||||||||||
$ | 2,248,879,516 | $ | 390,287,496 | $ | 538,727,018 | $ | 318,635,183 | $ | 3,165,024,775 | $ | 141,565,926 | |||||||||||
73
STATEMENTS OF CHANGES IN NET ASSETS (Continued)
Growth & | Equity | Aggressive | ||||||||||
Income | Growth | Equity | ||||||||||
From operations: | ||||||||||||
Net investment income (loss) | $ | 11,495,679 | $ | 14,990,153 | $ | (608,496 | ) | |||||
Net realized gains (losses) on transactions from: | ||||||||||||
Securities | 107,079,379 | 348,335,738 | 61,547,685 | |||||||||
Swap contracts | — | — | — | |||||||||
Futures | 118,470 | — | — | |||||||||
Written options | — | — | — | |||||||||
Foreign currency transactions | — | 117,775 | — | |||||||||
Change in net unrealized appreciation (depreciation) on: | ||||||||||||
Securities | (89,665,034 | ) | (77,579,651 | ) | 34,636,483 | |||||||
Futures | (22,990 | ) | — | — | ||||||||
Written options | — | — | — | |||||||||
Short sales | — | — | — | |||||||||
Swap contracts | — | — | — | |||||||||
Foreign currency translations | 623 | 2,387 | — | |||||||||
Net increase (decrease) in net assets resulting from operations | 29,006,127 | 285,866,402 | 95,575,672 | |||||||||
From transactions in investors’ beneficial interests: | ||||||||||||
Contributions | 165,902,628 | 418,682,402 | 153,288,730 | |||||||||
Withdrawals | (450,667,179 | ) | (786,705,407 | ) | (204,159,316 | ) | ||||||
Net increase (decrease) in net assets resulting from transactions in investors’ beneficial interests | (284,764,551 | ) | (368,023,005 | ) | (50,870,586 | ) | ||||||
Net increase (decrease) in net assets | (255,758,424 | ) | (82,156,603 | ) | 44,705,086 | |||||||
Net assets: | ||||||||||||
Beginning of year | 1,159,020,245 | 2,526,917,456 | 382,667,908 | |||||||||
End of year | $ | 903,261,821 | $ | 2,444,760,853 | $ | 427,372,994 | ||||||
74
Mid-Cap | Mid-Cap | Small-Cap | Special | Small-Cap | International | |||||||||||||||||
Value | Growth | Value | Equity | Growth | Equity | |||||||||||||||||
$ | 14,406,029 | $ | (703,627 | ) | $ | 2,956,143 | $ | 6,536,955 | $ | (707,686 | ) | $ | 50,970,128 | |||||||||
107,279,128 | 53,287,127 | 12,414,521 | 128,170,653 | 18,244,723 | 308,594,249 | |||||||||||||||||
— | — | — | — | — | — | |||||||||||||||||
— | — | — | (282,395 | ) | — | — | ||||||||||||||||
— | — | — | — | — | — | |||||||||||||||||
(579 | ) | — | — | — | — | (291,865 | ) | |||||||||||||||
(98,285,078 | ) | 30,493,595 | (30,333,479 | ) | (174,038,203 | ) | (4,729,580 | ) | (116,188,288 | ) | ||||||||||||
— | — | — | 78,107 | — | — | |||||||||||||||||
— | — | — | — | — | — | |||||||||||||||||
— | — | — | — | — | — | |||||||||||||||||
— | — | — | — | — | — | |||||||||||||||||
— | — | — | — | — | 75,039 | |||||||||||||||||
23,399,500 | 83,077,095 | (14,962,815 | ) | (39,534,883 | ) | 12,807,457 | 243,159,263 | |||||||||||||||
375,357,719 | 87,068,838 | 55,225,734 | 275,074,602 | 53,591,068 | 730,849,563 | |||||||||||||||||
(347,554,214 | ) | (142,866,090 | ) | (91,443,032 | ) | (496,898,715 | ) | (54,584,208 | ) | (811,099,785 | ) | |||||||||||
27,803,505 | (55,797,252 | ) | (36,217,298 | ) | (221,824,113 | ) | (993,140 | ) | (80,250,222 | ) | ||||||||||||
51,203,005 | 27,279,843 | (51,180,113 | ) | (261,358,996 | ) | 11,814,317 | 162,909,041 | |||||||||||||||
936,974,205 | 309,909,061 | 236,316,718 | 1,211,556,459 | 155,003,004 | 2,101,152,473 | |||||||||||||||||
$ | 988,177,210 | $ | 337,188,904 | $ | 185,136,605 | $ | 950,197,463 | $ | 166,817,321 | $ | 2,264,061,514 | |||||||||||
75
High | Inflation- | |||||||||||
Money | Quality | Protected | ||||||||||
Market | Bond | Securities(1) | ||||||||||
From operations: | ||||||||||||
Net investment income (loss) | $ | 42,013,106 | $ | 32,679,639 | $ | 8,427,753 | ||||||
Net realized gains (losses) on transactions from: | ||||||||||||
Securities | 3,069 | (3,537,144 | ) | (4,284,109 | ) | |||||||
Swap contracts | — | — | — | |||||||||
Futures | — | — | — | |||||||||
Written options | — | — | — | |||||||||
Foreign currency transactions | — | — | — | |||||||||
Change in net unrealized appreciation (depreciation) on: | ||||||||||||
Securities | — | 5,974,556 | 1,003,748 | |||||||||
Futures | — | — | — | |||||||||
Written options | — | — | — | |||||||||
Short sales | — | — | — | |||||||||
Swap contracts | — | — | — | |||||||||
Foreign currency translations | — | — | — | |||||||||
Net increase (decrease) in net assets resulting from operations | 42,016,175 | 35,117,051 | 5,147,392 | |||||||||
From transactions in investors’ beneficial interests: | ||||||||||||
Contributions | 3,826,219,117 | 473,191,503 | 61,946,831 | |||||||||
Withdrawals | (3,708,071,941 | ) | (479,084,534 | ) | (177,519,578 | ) | ||||||
Net increase (decrease) in net assets resulting from transactions in investors’ beneficial interests | 118,147,176 | (5,893,031 | ) | (115,572,747 | ) | |||||||
Net increase (decrease) in net assets | 160,163,351 | 29,224,020 | (110,425,355 | ) | ||||||||
Net assets: | ||||||||||||
Beginning of year | 765,777,258 | 788,399,166 | 261,106,523 | |||||||||
End of year | $ | 925,940,609 | $ | 817,623,186 | $ | 150,681,168 | ||||||
(1) | Formerly, Intermediate Government Bond. Name changed May 1, 2007 (Note 1). |
76
Total | High | |||||||||||||||||||||||
Core | Return | Yield | Value & | |||||||||||||||||||||
Bond | Bond | Bond | Balanced | Income | Value | |||||||||||||||||||
$ | 92,310,620 | $ | 3,955,397 | $ | 35,746,824 | $ | 10,580,519 | $ | 47,215,411 | $ | 769,673 | |||||||||||||
(15,300,239 | ) | 326,862 | 4,415,516 | 17,865,917 | 237,630,133 | 3,727,354 | ||||||||||||||||||
(2,724,944 | ) | — | — | — | — | — | ||||||||||||||||||
8,144,851 | 15,462 | — | (45,252 | ) | — | — | ||||||||||||||||||
536,040 | 31,702 | — | 60,625 | — | — | |||||||||||||||||||
264,388 | (31,694 | ) | (4,253 | ) | (117,991 | ) | — | — | ||||||||||||||||
181,854 | (63,335 | ) | 11,570,829 | 14,431,295 | 327,033,667 | 5,766,022 | ||||||||||||||||||
(2,947,122 | ) | (15,115 | ) | — | 21,196 | — | — | |||||||||||||||||
(136,174 | ) | 2,740 | — | 5,006 | — | — | ||||||||||||||||||
1,503,739 | — | — | — | — | — | |||||||||||||||||||
3,305,904 | — | — | — | — | — | |||||||||||||||||||
(1,473,081 | ) | 6,996 | 2,243 | 50,342 | — | (33 | ) | |||||||||||||||||
83,665,836 | 4,229,015 | 51,731,159 | 42,851,657 | 611,879,211 | 10,263,016 | |||||||||||||||||||
642,373,668 | 97,088,124 | 179,319,765 | 89,543,901 | 898,961,139 | 71,879,254 | |||||||||||||||||||
(701,111,090 | ) | (50,753,571 | ) | (144,748,123 | ) | (161,494,412 | ) | (989,956,921 | ) | (15,997,876 | ) | |||||||||||||
(58,737,422 | ) | 46,334,553 | 34,571,642 | (71,950,511 | ) | (90,995,782 | ) | 55,881,378 | ||||||||||||||||
24,928,414 | 50,563,568 | 86,302,801 | (29,098,854 | ) | 520,883,429 | 66,144,394 | ||||||||||||||||||
2,052,893,035 | 70,072,859 | 416,027,255 | 410,747,655 | 3,018,060,297 | 35,138,512 | |||||||||||||||||||
$ | 2,077,821,449 | $ | 120,636,427 | $ | 502,330,056 | $ | 381,648,801 | $ | 3,538,943,726 | $ | 101,282,906 | |||||||||||||
77
Growth & | Equity | Aggressive | ||||||||||
Income | Growth | Equity | ||||||||||
From operations: | ||||||||||||
Net investment income (loss) | $ | 12,883,130 | $ | 10,764,574 | $ | (650,069 | ) | |||||
Net realized gains (losses) on transactions from: | ||||||||||||
Securities | 90,273,462 | 151,657,940 | 27,520,364 | |||||||||
Swap contracts | — | — | — | |||||||||
Futures | 126,420 | — | — | |||||||||
Written options | — | — | — | |||||||||
Foreign currency transactions | — | 893 | — | |||||||||
Change in net unrealized appreciation (depreciation) on: | ||||||||||||
Securities | 26,080,459 | (62,370,923 | ) | (3,115,975 | ) | |||||||
Futures | 27,131 | — | — | |||||||||
Written options | — | — | — | |||||||||
Short sales | — | — | — | |||||||||
Swap contracts | — | — | — | |||||||||
Foreign currency translations | 87 | 15 | — | |||||||||
Net increase (decrease) in net assets resulting from operations | 129,390,689 | 100,052,499 | 23,754,320 | |||||||||
From transactions in investors’ beneficial interests: | ||||||||||||
Contributions | 289,738,820 | 619,135,082 | 140,452,458 | |||||||||
In-Kind Transfer (Note 2P) | — | — | — | |||||||||
Withdrawals | (438,868,133 | ) | (779,652,186 | ) | (163,667,930 | ) | ||||||
Net increase (decrease) in net assets resulting from transactions in investors’ beneficial interests | (149,129,313 | ) | (160,517,104 | ) | (23,215,472 | ) | ||||||
Net increase (decrease) in net assets | (19,738,624 | ) | (60,464,605 | ) | 538,848 | |||||||
Net assets: | ||||||||||||
Beginning of year | 1,178,758,869 | 2,587,382,061 | 382,129,060 | |||||||||
End of year | $ | 1,159,020,245 | $ | 2,526,917,456 | $ | 382,667,908 | ||||||
78
Mid-Cap | Mid-Cap | Small-Cap | Special | Small-Cap | International | |||||||||||||||||
Value | Growth | Value | Equity | Growth | Equity | |||||||||||||||||
$ | 9,167,028 | $ | (937,487 | ) | $ | 639,914 | $ | 3,607,626 | $ | (438,967 | ) | $ | 33,424,401 | |||||||||
62,499,240 | 15,761,237 | 20,567,140 | 138,381,086 | (3,321,892 | ) | 212,988,414 | ||||||||||||||||
— | — | — | — | — | — | |||||||||||||||||
— | — | — | 303,934 | — | — | |||||||||||||||||
— | — | — | — | — | — | |||||||||||||||||
234 | — | — | — | — | 617,122 | |||||||||||||||||
59,305,077 | (10,452,049 | ) | (1,285,523 | ) | (3,739,450 | ) | 14,657,485 | 209,750,250 | ||||||||||||||
— | — | — | 103,313 | — | — | |||||||||||||||||
— | — | — | — | — | — | |||||||||||||||||
— | — | — | — | — | — | |||||||||||||||||
— | — | — | — | — | — | |||||||||||||||||
— | — | — | 6 | — | 57,605 | |||||||||||||||||
130,971,579 | 4,371,701 | 19,921,531 | 138,656,515 | 10,896,626 | 456,837,792 | |||||||||||||||||
367,313,600 | 128,657,239 | 73,958,616 | 448,521,133 | 56,928,632 | 652,020,924 | |||||||||||||||||
— | — | — | (80,105,926 | ) | — | — | ||||||||||||||||
(202,842,512 | ) | (106,070,321 | ) | (76,312,650 | ) | (592,187,172 | ) | (45,725,788 | ) | (729,492,392 | ) | |||||||||||
164,471,088 | 22,586,918 | (2,354,034 | ) | (223,771,965 | ) | 11,202,844 | (77,471,468 | ) | ||||||||||||||
295,442,667 | 26,958,619 | 17,567,497 | (85,115,450 | ) | 22,099,470 | 379,366,324 | ||||||||||||||||
641,531,538 | 282,950,442 | 218,749,221 | 1,296,671,909 | 132,903,534 | 1,721,786,149 | |||||||||||||||||
$ | 936,974,205 | $ | 309,909,061 | $ | 236,316,718 | $ | 1,211,556,459 | $ | 155,003,004 | $ | 2,101,152,473 | |||||||||||
79
Principal | Value | |||||||
Commercial Paper — 11.9% | ||||||||
$ | 51,310,000 | Bank of America Corp., 4.87%, 04/15/08 | $ | 50,581,932 | ||||
29,890,000 | ING Funding LLC (US), 5.45%, 01/07/08 | 29,862,849 | ||||||
44,740,000 | JPMorgan Chase & Company, 4.95%, 04/01/08 | 44,180,191 | ||||||
Total Commercial Paper (Cost $124,624,972) | 124,624,972 | |||||||
Domestic Certificates of Deposit — 4.2% | ||||||||
21,880,000 | Citibank NA, 4.90%, 01/24/08 | 21,880,000 | ||||||
21,880,000 | Citibank NA, 4.68%, 04/24/08 | 21,880,000 | ||||||
Total Domestic Certificates of Deposit (Cost $43,760,000) | 43,760,000 | |||||||
Yankee Certificates of Deposit — 38.0% | ||||||||
32,090,000 | BNP Paribas — New York Branch, 4.68%, 04/28/08 | 32,090,000 | ||||||
42,230,000 | Barclays Bank PLC, 5.25%, 03/03/08 | 42,230,000 | ||||||
46,500,000 | Calyon — New York Branch, 5.33%, 01/15/08 | 46,500,000 | ||||||
10,440,000 | Canadian Imperial Bank, 4.90%, 05/22/08 | 10,440,000 | ||||||
37,730,000 | Credit Suisse First Boston — New York Branch, 5.20%, 04/14/08 | 37,730,000 | ||||||
36,000,000 | Deutsche Bank AG — New York Branch, 4.70%, 02/04/08 | 36,000,000 | ||||||
40,000,000 | Dexia Credit Local SA, 4.83%, 02/08/08 | 40,000,000 | ||||||
15,370,000 | Dresdner Bank AG — New York Branch, 5.30%, 01/10/08 | 15,370,000 | ||||||
43,000,000 | Fortis Bank — New York Branch, 4.77%, 01/31/08 | 43,000,000 | ||||||
17,170,000 | Rabobank Nederland, 4.59%, 04/09/08 | 17,170,000 | ||||||
17,170,000 | Rabobank Nederland, 4.50%, 05/09/08 | 17,170,000 | ||||||
25,275,000 | Societe Generale New York, 5.20%, 02/04/08 | 25,275,000 | ||||||
18,280,000 | Toronto Dominion Bank, 4.80%, 03/13/08 | 18,280,000 | ||||||
18,280,000 | Toronto Dominion Bank, 4.70%, 05/13/08 | 18,280,000 | ||||||
Total Yankee Certificates of Deposit (Cost $399,535,000) | 399,535,000 | |||||||
US Government Agency Securities — 14.4% | ||||||||
Fannie Mae — 4.9% | ||||||||
52,000,000 | 4.18%, 03/31/08 | 51,456,600 | ||||||
Federal Home Loan Bank — 4.9% | ||||||||
51,910,000 | 4.34%, 02/15/08 | 51,628,388 | ||||||
Freddie Mac — 4.6% | ||||||||
47,850,000 | 4.29%, 01/08/08 | 47,810,085 | ||||||
Total US Government Agency Securities (Cost $150,895,073) | 150,895,073 | |||||||
Corporate Notes — 13.7% | ||||||||
16,900,000 | American Express Credit Corp., Series MTNB, Variable Rate, 5.35%, 03/05/08 (1) | 16,900,000 | ||||||
44,000,000 | Bank of Montreal — Chicago Branch, Variable Rate, 5.20%, 06/06/08 (1) | 44,000,000 | ||||||
24,250,000 | Merrill Lynch & Company, Inc., Variable Rate, 4.98%, 08/22/08 (1) | 24,250,000 | ||||||
33,850,000 | Morgan Stanley, Series EXLS, Variable Rate, 5.35%, 06/02/08 (1) | 33,850,000 | ||||||
25,000,000 | Societe Generale New York, Variable Rate, 4.63%, 03/27/08 (1) | 25,000,000 | ||||||
Total Corporate Notes (Cost $144,000,000) | 144,000,000 | |||||||
Time Deposit — 1.6% | ||||||||
17,000,000 | Royal Bank of Canada, 4.25%, 01/02/08 (Cost $17,000,000) | 17,000,000 | ||||||
Total Securities (Cost $879,815,045) | 879,815,045 | |||||||
Repurchase Agreements — 15.7% | ||||||||
34,300,000 | With Barclays Bank PLC, dated 12/31/07, 4.75%, due 01/02/08, repurchase proceeds at maturity $34,309,051 (Collateralized by Fannie Mae, 5.25%, due 03/24/15, with a value of $34,986,345) | 34,300,000 | ||||||
68,600,000 | With Deutsche Bank, dated 12/31/07, 4.75%, due 01/02/08, repurchase proceeds at maturity $68,618,103 (Collateralized by various Fannie Mae Adjustable Rate Mortgages, 5.38%-5.79%, due 08/01/37-01/01/38, with a total value of $32,676,954, and various Freddie Mac Golds, 5.00%-6.50%, due 12/01/36-09/01/37, with a total value of $37,295,047) | 68,600,000 |
80
PORTFOLIO OF INVESTMENTS (Continued)
Principal | Value | |||||||
Repurchase Agreements (continued) | ||||||||
$ | 62,434,138 | With State Street Bank & Trust, dated 12/31/07, 3.80%, due 01/02/08, repurchase proceeds at maturity $62,447,318 (Collateralized by US Treasury Note, 4.88%, due 04/30/08, with a value of $67,882,390) | $ | 62,434,138 | ||||
Total Repurchase Agreements (Cost $165,334,138) | 165,334,138 | |||||||
Total Investments — 99.5% (Cost $1,045,149,183) | 1,045,149,183 | |||||||
Other assets less liabilities — 0.5% | 5,646,922 | |||||||
Net Assets — 100.0% | $ | 1,050,796,105 | ||||||
81
Principal | Value | |||||||
US Treasury Securities — 17.7% | ||||||||
US Treasury Inflation Index — 0.6% | ||||||||
$ | 4,801,560 | 3.50%, 01/15/11 | $ | 5,165,432 | ||||
US Treasury Notes — 17.1% | ||||||||
10,000,000 | 4.88%, 05/31/08 (8) | 10,064,070 | ||||||
5,750,000 | 5.00%, 07/31/08 | 5,802,112 | ||||||
91,875,000 | 4.63%, 07/31/09 (8) | 94,042,699 | ||||||
14,110,000 | 4.63%, 02/29/12 | 14,811,098 | ||||||
16,870,000 | 4.63%, 07/31/12 (8) | 17,718,780 | ||||||
142,438,759 | ||||||||
Total US Treasury Securities (Cost $146,220,694) | 147,604,191 | |||||||
US Government Agency Securities — 16.7% | ||||||||
Asset Backed: Mortgage and Home Equity — 11.9% | ||||||||
5,113,859 | Fannie Mae, Series 2003-32, Class PE, 4.00%, 03/25/26 | 5,065,235 | ||||||
922,272 | Fannie Mae, Series 2003-34, Class GT, 4.00%, 01/25/27 | 915,559 | ||||||
2,550,000 | Fannie Mae, Series 2003-62, Class OD, 3.50%, 04/25/26 | 2,506,899 | ||||||
843,139 | Fannie Mae, Series 2003-63, Class GU, 4.00%, 07/25/33 | 835,489 | ||||||
565,392 | Fannie Mae, Series 2003-67, Class GL, 3.00%, 01/25/25 | 558,783 | ||||||
4,619,375 | Fannie Mae, Series 2003-69, Class GJ, 3.50%, 12/25/31 | 4,449,354 | ||||||
2,051,078 | Fannie Mae, Series 2003-92, Class KQ, 3.50%, 06/25/23 | 2,034,003 | ||||||
2,573,676 | Fannie Mae, Series 2004-70, Class DN, 4.00%, 12/25/29 | 2,511,649 | ||||||
4,119,888 | Fannie Mae, Series 2004-80, Class LG, 4.00%, 10/25/16 | 4,071,415 | ||||||
4,080,788 | Federal Home Loan Bank, Series 1Y-9009, Class A, 4.06%, 08/25/09 | 4,053,733 | ||||||
2,116,069 | Federal Home Loan Bank, Series 3Q-9009, Class 1, 3.92%, 09/25/09 | 2,115,424 | ||||||
6,541,504 | Freddie Mac, Series 2416, Class PE, 6.00%, 10/15/21 | 6,698,296 | ||||||
739,263 | Freddie Mac, Series 2454, Class BG, 6.50%, 08/15/31 | 748,079 | ||||||
1,951,663 | Freddie Mac, Series 2614, Class JA, 3.76%, 03/15/29 | 1,894,894 | ||||||
4,760,394 | Freddie Mac, Series 2625, Class JD, 3.25%, 07/15/17 | 4,586,983 | ||||||
4,170,902 | Freddie Mac, Series 2627, Class KP, 2.87%, 12/15/16 | 4,020,748 | ||||||
4,814,619 | Freddie Mac, Series 2630, Class HC, 4.00%, 01/15/17 | 4,741,337 | ||||||
5,800,000 | Freddie Mac, Series 2631, Class CD, 4.00%, 10/15/26 | 5,735,684 | ||||||
4,956,161 | Freddie Mac, Series 2637, Class A, 3.38%, 03/15/18 | 4,754,472 | ||||||
3,734,324 | Freddie Mac, Series 2672, Class HA, 4.00%, 09/15/16 | 3,679,622 | ||||||
1,136,440 | Freddie Mac, Series 2760, Class EA, 4.50%, 04/15/13 | 1,134,141 | ||||||
1,651,448 | Freddie Mac, Series 2782, Class HE, 4.00%, 09/15/17 | 1,627,549 | ||||||
3,232,468 | Freddie Mac, Series 3056, Class AP, 5.50%, 01/15/27 | 3,257,172 | ||||||
7,688,221 | Government National Mortgage Association, Series 2005-29, Class A, 4.02%, 07/16/27 | 7,596,118 | ||||||
5,531,267 | Government National Mortgage Association, Series 2006-67, Class A, 3.95%, 11/16/30 | 5,457,808 | ||||||
6,632,017 | Government National Mortgage Association, Series 2007-15, Class A, 4.51%, 10/16/28 | 6,609,475 | ||||||
2,955,704 | Government National Mortgage Association, Series 2007-34, Class A, 4.27%, 11/16/26 | 2,934,388 | ||||||
4,901,247 | Government National Mortgage Association, Series 2007-4, Class A, 4.21%, 06/16/29 | 4,859,400 | ||||||
99,453,709 | ||||||||
Asset Backed: US Government Agencies — 0.6% | ||||||||
5,000,000 | Student Loan Marketing Association Student Loan Trust — 144A, Series 2003-4, Class A5B, 3.39%, 03/15/33 | 4,962,340 | ||||||
Fannie Mae — 2.1% | ||||||||
3,800,000 | 5.00%, 09/15/08 | 3,828,102 | ||||||
476,091 | PL# 254062, 6.00%, 10/01/11 | 486,373 |
82
PORTFOLIO OF INVESTMENTS (Continued)
Principal | Value | |||||||
US Government Agency Securities (continued) | ||||||||
Fannie Mae (continued) | ||||||||
$ | 1,401,158 | PL# 254754, 4.50%, 05/01/10 | $ | 1,397,971 | ||||
1,868,707 | PL# 254758, 4.50%, 06/01/13 | 1,875,225 | ||||||
1,761,660 | PL# 254807, 5.00%, 07/01/13 | 1,785,930 | ||||||
3,496,443 | PL# 254914, 4.50%, 09/01/13 | 3,508,686 | ||||||
476,021 | PL# 323743, 5.00%, 04/01/14 | 477,947 | ||||||
258,507 | PL# 429168, 6.00%, 05/01/13 | 265,066 | ||||||
61,179 | PL# 50903, 6.00%, 09/01/08 | 61,466 | ||||||
102,791 | PL# 50973, 6.00%, 01/01/09 | 103,272 | ||||||
290,996 | PL# 517699, 6.00%, 07/01/14 | 297,944 | ||||||
835,671 | PL# 545038, 6.00%, 09/01/14 | 858,411 | ||||||
2,313,851 | PL# 555154, 5.50%, 12/01/22 | 2,330,591 | ||||||
38,330 | PL# 609771, 6.00%, 09/01/08 | 38,557 | ||||||
17,315,541 | ||||||||
Federal Home Loan Bank — 0.8% | ||||||||
2,500,000 | 3.75%, 08/18/09 | 2,507,400 | ||||||
4,278,878 | Series 6T-9009, 3.84%, 11/25/09 | 4,245,115 | ||||||
6,752,515 | ||||||||
Freddie Mac Gold — 1.1% | ||||||||
98,543 | PL# E00532, 6.50%, 02/01/13 | 102,045 | ||||||
173,074 | PL# E00542, 6.50%, 04/01/13 | 179,266 | ||||||
463,461 | PL# E00676, 5.50%, 06/01/14 | 469,553 | ||||||
793,734 | PL# E89557, 5.50%, 04/01/17 | 805,049 | ||||||
2,523,510 | PL# G40426, 5.50%, 03/01/11 | 2,553,274 | ||||||
4,583,746 | PL# M80812, 4.50%, 04/01/10 | 4,556,162 | ||||||
536,109 | PL# M90802, 4.00%, 03/01/08 | 534,291 | ||||||
9,199,640 | ||||||||
Government National Mortgage Association — 0.2% | ||||||||
1,477,786 | PL# 436708, 5.75%, 12/15/22 | 1,510,428 | ||||||
Total US Government Agency Securities (Cost $138,863,210) | 139,194,173 | |||||||
Corporate Bonds and Notes — 58.8% | ||||||||
Banks and Financial Services — 11.4% | ||||||||
5,000,000 | American Express Bank FSB, Series BKNT, Floating Rate, 4.96%, 06/22/09 (3) | 4,986,240 | ||||||
4,330,000 | Bank of America Corp., 7.13%, 03/01/09 | 4,425,420 | ||||||
1,375,000 | Bank of America Corp., 7.80%, 02/15/10 | 1,457,937 | ||||||
7,100,000 | Bank One Corp., 2.63%, 06/30/08 | 7,018,620 | ||||||
5,000,000 | Citigroup, Inc., 3.50%, 02/01/08 | 4,993,670 | ||||||
3,475,000 | Citigroup, Inc., 5.10%, 09/29/11 | 3,497,292 | ||||||
6,155,000 | Credit Suisse First Boston USA, Inc., 4.70%, 06/01/09 | 6,159,136 | ||||||
2,500,000 | General Electric Capital Corp., Series MTNA, 4.00%, 06/15/09 | 2,487,753 | ||||||
10,200,000 | General Electric Capital Corp., Series MTNA, 4.13%, 09/01/09 | 10,178,438 | ||||||
2,000,000 | HBOS Treasury Services PLC — 144A (United Kingdom), 3.75%, 09/30/08 | 1,985,664 | ||||||
3,250,000 | Lehman Brothers Holdings, Inc., Series MTNG, 3.95%, 11/10/09 | 3,169,267 | ||||||
4,000,000 | Lehman Brothers Holdings, Inc., Series MTNI, Floating Rate, 5.48%, 01/12/12 (2) | 3,766,720 | ||||||
6,000,000 | Merrill Lynch & Company, Inc., Series MTNC, 4.13%, 01/15/09 | 5,923,278 | ||||||
6,125,000 | Morgan Stanley, Series MTN, 5.63%, 01/09/12 | 6,236,187 | ||||||
3,025,000 | National City Bank, Series BKNT, 4.25%, 01/29/10 | 3,024,791 | ||||||
5,675,000 | SLM Corp., Series MTNA, 4.50%, 07/26/10 | 5,208,157 | ||||||
2,800,000 | The Goldman Sachs Group, Inc., 6.88%, 01/15/11 | 2,971,721 | ||||||
4,000,000 | The Goldman Sachs Group, Inc., Series MTNB, Floating Rate, 5.64%, 10/07/11 (2) | 3,929,104 | ||||||
3,630,000 | US Bank NA, Series BKNT, 4.13%, 03/17/08 | 3,621,401 | ||||||
3,125,000 | Wachovia Corp., 5.63%, 12/15/08 | 3,119,634 | ||||||
3,000,000 | Wells Fargo & Company, 4.20%, 01/15/10 | 2,982,480 | ||||||
4,500,000 | Wells Fargo & Company, Floating Rate, 4.94%, 03/23/10 (2) | 4,467,564 | ||||||
95,610,474 | ||||||||
Consumer Goods and Services — 0.9% | ||||||||
7,220,000 | The Procter & Gamble Company — 144A, Floating Rate, 5.25%, 07/06/09 (2) | 7,227,465 | ||||||
Diversified Operations and Services — 0.4% | ||||||||
3,825,000 | Capmark Financial Group — 144A, 5.88%, 05/10/12 | 3,030,471 | ||||||
83
PORTFOLIO OF INVESTMENTS (Continued)
Principal | Value | |||||||
Corporate Bonds and Notes (continued) | ||||||||
Equipment Rental and Leasing — 1.0% | ||||||||
$ | 8,420,000 | International Lease Finance Corp., Series MTNQ, 5.75%, 06/15/11 | $ | 8,532,205 | ||||
Insurance — 2.0% | ||||||||
11,000,000 | Met Life Global Funding I — 144A, Series MTN, 5.75%, 07/25/11 | 11,573,969 | ||||||
2,500,000 | New York Life Global Funding — 144A, 3.88%, 01/15/09 | 2,486,120 | ||||||
2,785,000 | Prudential Financial, Inc., Series MTN, 3.75%, 05/01/08 | 2,769,696 | ||||||
16,829,785 | ||||||||
Machinery — 0.3% | ||||||||
2,000,000 | Caterpillar, Inc., 7.25%, 09/15/09 | 2,094,366 | ||||||
Pharmaceuticals/Research and Development — 0.3% | ||||||||
2,525,000 | Abbott Laboratories, 3.50%, 02/17/09 | 2,492,559 | ||||||
Private Asset Backed: Automobiles/Motor Vehicles, Automotive Equipment and Repairs — 9.5% | ||||||||
4,445,379 | Bay View Auto Trust, Series 2005-LJ1, Class A4, 4.09%, 05/25/12 | 4,409,447 | ||||||
2,500,000 | BMW Vehicle Owner Trust, Series 2006-A, Class A4, 5.07%, 08/25/11 | 2,518,853 | ||||||
684,017 | Capital Auto Receivables Asset Trust, Series 2005-1, Class A4, 4.05%, 07/15/09 | 683,430 | ||||||
40,003 | Capital One Auto Finance Trust, Series 2005-BSS, Class A3, 4.08%, 11/15/09 | 39,998 | ||||||
627,595 | Capital One Auto Finance Trust, Series 2005-C, Class A3, 4.61%, 07/15/10 | 625,788 | ||||||
2,818,761 | Capital One Prime Auto Receivables Trust, Series 2004-3, Class A4, 3.69%, 06/15/10 | 2,801,263 | ||||||
3,000,000 | Capital One Prime Auto Receivables Trust, Series 2007-1, Class B1, 5.76%, 12/15/13 | 3,014,781 | ||||||
2,718,649 | Carmax Auto Owner Trust, Series 2004-2, Class A4, 3.46%, 09/15/11 | 2,696,747 | ||||||
3,100,000 | Carmax Auto Owner Trust, Series 2005-2, Class A4, 4.34%, 09/15/10 | 3,090,003 | ||||||
312,971 | Chase Manhattan Auto Owner Trust, Series 2004-A, Class CTFS, 2.58%, 09/15/10 | 311,300 | ||||||
1,656,293 | Chase Manhattan Auto Owner Trust, Series 2005-A, Class CTFS, 4.04%, 04/15/11 | 1,651,232 | ||||||
2,000,000 | Chase Manhattan Auto Owner Trust, Series 2006-A, Class A4, 5.36%, 01/15/13 | 2,024,569 | ||||||
2,309,782 | Chase Manhattan Auto Owner Trust, Series 2006-A, Class CTFS, 5.47%, 01/15/13 | 2,304,376 | ||||||
3,200,000 | Chase Manhattan Auto Owner Trust, Series 2006-B, Class A4, 5.11%, 04/15/14 | 3,240,213 | ||||||
2,000,000 | Daimler Chrysler Auto Trust, Series 2007-A, Class A3A, 5.00%, 02/08/12 | 2,018,789 | ||||||
2,250,000 | Ford Credit Auto Owner Trust, Series 2005-B, Class B, 4.64%, 04/15/10 | 2,250,481 | ||||||
1,000,000 | Ford Credit Auto Owner Trust, Series 2005-B, Class C, 4.83%, 08/15/10 | 1,002,064 | ||||||
823,852 | Ford Credit Auto Owner Trust, Series 2005-C, Class A3, 4.30%, 08/15/09 | 822,536 | ||||||
3,800,000 | Ford Credit Auto Owner Trust, Series 2005-C, Class B, 4.52%, 09/15/10 | 3,798,605 | ||||||
1,000,000 | Ford Credit Auto Owner Trust, Series 2007-A, Class B, 5.60%, 10/15/12 | 999,822 | ||||||
1,381,294 | Harley-Davidson Motorcycle Trust, Series 2004-1, Class A2, 2.53%, 11/15/11 | 1,362,035 | ||||||
5,000,000 | Hertz Vehicle Financing LLC — 144A, Series 2005-2A, Class A2, 4.93%, 02/25/10 | 5,012,406 | ||||||
2,000,000 | Hertz Vehicle Financing LLC — 144A, Series 2005-2A, Class A4, 5.01%, 02/25/11 | 2,019,310 | ||||||
3,360,663 | Honda Auto Receivables Owner Trust, Series 2006-1, Class A3, 5.07%, 02/18/10 | 3,366,265 | ||||||
3,000,000 | Hyundai Auto Receivables Trust, Series 2006-B, Class B, 5.19%, 05/15/13 | 2,995,598 | ||||||
977,187 | Long Beach Auto Receivables Trust, Series 2005-B, Class A3, 4.41%, 05/15/10 | 976,797 |
84
PORTFOLIO OF INVESTMENTS (Continued)
Principal | Value | |||||||
Corporate Bonds and Notes (continued) | ||||||||
Private Asset Backed: Automobiles/Motor Vehicles, Automotive Equipment and Repairs (continued) | ||||||||
$ | 2,848,864 | Onyx Acceptance Owner Trust, Series 2005-A, Class A4, 3.91%, 09/15/11 | $ | 2,836,826 | ||||
1,783,147 | Susquehanna Auto Lease Trust — 144A, Series 2005-1, Class B, 4.71%, 07/14/08 | 1,783,249 | ||||||
4,000,000 | Susquehanna Auto Lease Trust — 144A, Series 2005-1, Class C, 5.09%, 11/14/08 | 4,000,861 | ||||||
2,351,630 | Susquehanna Auto Lease Trust — 144A, Series 2007-1, Class A2, 5.32%, 04/14/09 | 2,358,216 | ||||||
1,250,000 | Susquehanna Auto Lease Trust — 144A, Series 2007-1, Class B, 5.31%, 07/14/10 | 1,247,342 | ||||||
5,400,000 | USAA Auto Owner Trust, Series 2007-2, Class A4, 5.07%, 06/15/13 | 5,457,937 | ||||||
1,652,124 | WFS Financial Owner Trust, Series 2004-1, Class A4, 2.81%, 08/22/11 | 1,650,428 | ||||||
4,550,000 | World Omni Auto Receivables Trust, Series 2006-B, Class A4, 5.12%, 06/15/12 | 4,603,540 | ||||||
79,975,107 | ||||||||
Private Asset Backed: Banks and Financial Services — 4.8% | ||||||||
5,000,000 | Bank of America Credit Card Trust, Series 2007-A13, Class A13, Floating Rate, 5.25%, 04/16/12 (3) | 4,999,212 | ||||||
4,478,304 | Caterpillar Financial Asset Trust, Series 2005-A, Class A4, 4.10%, 06/25/10 | 4,470,144 | ||||||
3,000,000 | Caterpillar Financial Asset Trust, Series 2006-A, Class B, 5.71%, 06/25/12 | 3,043,303 | ||||||
4,675,000 | Caterpillar Financial Asset Trust, Series 2007-A, Class A3A, 5.34%, 06/25/12 | 4,747,906 | ||||||
2,049,675 | Community Program Loan Trust, Series 1987-A, Class A4, 4.50%, 10/01/18 | 2,037,295 | ||||||
5,062,368 | Greenwich Capital Commercial Funding Corp., Series 2005-GG5, Class A1, 4.79%, 04/10/37 | 5,039,699 | ||||||
4,322,842 | Greenwich Capital Commercial Funding Corp., Series 2006-GG7, Class A1, 5.74%, 07/10/38 | 4,377,080 | ||||||
337,290 | Morgan Stanley Capital I, Series 2003-T11, Class A1, 3.26%, 06/13/41 | 335,159 | ||||||
3,754,082 | Morgan Stanley Capital I, Series 2005-HQ5, Class A1, 4.52%, 01/14/42 | 3,726,084 | ||||||
1,931,850 | Morgan Stanley Capital I, Series 2005-HQ6, Class A1, 4.65%, 08/13/42 | 1,919,899 | ||||||
4,342,987 | Morgan Stanley Capital I, Series 2006-HQ10, Class A1, 5.13%, 11/12/41 | 4,352,163 | ||||||
1,033,007 | Public Service New Hampshire Funding LLC, Series 2001-1, Class A2, 5.73%, 11/01/10 | 1,036,981 | ||||||
40,084,925 | ||||||||
Private Asset Backed: Credit Cards — 6.1% | ||||||||
8,000,000 | Cabela’s Master Credit Card Trust — 144A, Series 2006-3A, Class A1, 5.26%, 10/15/14 | 8,244,256 | ||||||
7,000,000 | Capital One Multi-Asset Execution Trust, Series 2006-A6, Class A6, 5.30%, 02/18/14 | 7,213,112 | ||||||
5,000,000 | Chase Issuance Trust, Series 2007-A15, Class A, 4.96%, 09/17/12 | 5,084,610 | ||||||
8,000,000 | Citibank Credit Card Issuance Trust, Series 2006-A4, Class A4, 5.45%, 05/10/13 | 8,270,869 | ||||||
1,925,000 | Citibank Credit Card Issuance Trust, Series 2006-B2, Class B2, 5.15%, 03/07/11 | 1,928,461 | ||||||
8,940,000 | GE Capital Credit Card Master Note Trust, Series 2006-1, Class A, 5.08%, 09/15/12 | 9,061,118 | ||||||
3,000,000 | GE Capital Credit Card Master Note Trust, Series 2007-3, Class B, 5.49%, 06/15/13 | 3,044,357 | ||||||
8,300,000 | MBNA Credit Card Master Note Trust, Series 2003-A11, Class A11, 3.65%, 03/15/11 | 8,252,107 | ||||||
51,098,890 | ||||||||
Private Asset Backed: Mortgage and Home Equity — 9.2% | ||||||||
1,058,657 | American General Mortgage Loan Trust — 144A, Series 2006-1, Class A1, 5.75%, 12/25/35 | 1,052,505 | ||||||
1,123,267 | Banc of America Commercial Mortgage, Inc., Series 2003-2, Class A1, 3.41%, 03/11/41 | 1,113,628 |
85
PORTFOLIO OF INVESTMENTS (Continued)
Principal | Value | |||||||
Corporate Bonds and Notes (continued) | ||||||||
Private Asset Backed: Mortgage and Home Equity (continued) | ||||||||
$ | 509,550 | Bear Stearns Commercial Mortgage Securities, Inc., Series 2001-TOP4, Class A1, 5.06%, 11/15/16 | $ | 510,701 | ||||
1,115,252 | Bear Stearns Commercial Mortgage Securities, Inc., Series 2002-PBW1, Class A1, 3.97%, 11/11/35 | 1,103,168 | ||||||
141,751 | Bear Stearns Commercial Mortgage Securities, Inc., Series 2004-PWR5, Class A1, 3.76%, 07/11/42 | 141,216 | ||||||
1,217,908 | Bear Stearns Commercial Mortgage Securities, Inc., Series 2005-PWR9, Class A1, 4.50%, 09/11/42 | 1,208,035 | ||||||
2,648,899 | Bear Stearns Commercial Mortgage Securities, Inc., Series 2006-T22, Class A1, 5.42%, 04/12/38 | 2,666,672 | ||||||
7,000,000 | Bear Stearns Commercial Mortgage Securities, Inc., Series 2007-PW15, Class A2, 5.21%, 02/11/44 | 6,992,561 | ||||||
3,111,718 | Chase Funding Mortgage Loan Asset-Backed, Series 2003-4, Class 1A6, 4.43%, 10/25/14 | 2,992,486 | ||||||
3,113,063 | Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2005-CD1, Class A1, 5.05%, 07/15/44 | 3,109,918 | ||||||
514,809 | Commercial Mortgage Pass-Through Certificates, Series 2004-LB2A, Class A1, 2.96%, 03/10/39 | 509,373 | ||||||
360,189 | GE Capital Commercial Mortgage Corp., Series 2001-3, Class A1, 5.56%, 06/10/38 | 365,458 | ||||||
4,468,776 | GE Capital Commercial Mortgage Corp., Series 2002-1A, Class A2, 5.99%, 12/10/35 | 4,548,203 | ||||||
949,881 | GE Capital Commercial Mortgage Corp., Series 2005-C1, Class A1, 4.01%, 06/10/48 | 938,937 | ||||||
1,086,022 | GMAC Mortgage Corp. Loan Trust, Series 2004-GH1, Class A2, 4.39%, 12/25/25 | 1,073,400 | ||||||
6,330,514 | GS Mortgage Securities Corp. II, Series 2007-GG10, Class A1, 5.69%, 08/10/45 | 6,425,238 | ||||||
551,537 | Interstar Millennium Trust, Series 2003-3G, Class A2, (Australia), Floating Rate, 5.11%, 09/27/35 (2) | 543,732 | ||||||
950,036 | Interstar Millennium Trust, Series 2004-2G, Class A, (Australia), Floating Rate, 5.26%, 03/14/36 (2) | 951,271 | ||||||
516,339 | JPMorgan Chase Commercial Mortgage Securities Corp., Series 2002-C2, Class A1, 4.33%, 12/12/34 | 513,309 | ||||||
1,184,809 | JPMorgan Chase Commercial Mortgage Securities Corp., Series 2005-LDP4, Class A1, 4.61%, 10/15/42 | 1,177,071 | ||||||
5,220,759 | JPMorgan Mortgage Trust, Series 2006-S2, Class 1A17, 6.00%, 07/25/36 | 5,290,299 | ||||||
1,066,323 | LB-UBS Commercial Mortgage Trust, Series 2003-C1, Class A2, 3.32%, 03/15/27 | 1,062,671 | ||||||
3,000,000 | LB-UBS Commercial Mortgage Trust, Series 2003-C5, Class A2, 3.48%, 07/15/27 | 2,972,736 | ||||||
3,350,000 | LB-UBS Commercial Mortgage Trust, Series 2003-C7, Class A3, 4.56%, 09/15/27 | 3,341,752 | ||||||
674,204 | LB-UBS Commercial Mortgage Trust, Series 2004-C8, Class A1, 3.94%, 12/15/29 | 669,785 | ||||||
3,000,000 | Popular ABS Mortgage Pass-Through Trust, Series 2005-3, Class AF3, 4.44%, 07/25/35 | 2,947,932 | ||||||
5,159,242 | Structured Adjustable Rate Mortgage Loan, Series 2005-23, Class 1A3, 5.45%, 01/25/36 | 5,134,457 | ||||||
5,476,238 | Structured Adjustable Rate Mortgage Loan, Series 2006-1, Class 5A1, 5.25%, 02/25/36 | 5,463,915 | ||||||
6,915,292 | Washington Mutual Mortgage Pass-Through Certificates, Series 2005-8, Class 1A8, 5.50%, 10/25/35 | 6,903,734 | ||||||
869,498 | Wells Fargo Mortgage Backed Securities Trust, Series 2003-11, Class 1A1, 3.50%, 10/25/18 | 865,423 | ||||||
4,248,061 | Wells Fargo Mortgage Backed Securities Trust, Series 2005-9, Class 1A1, 4.75%, 10/25/35 | 4,162,220 | ||||||
76,751,806 | ||||||||
Private Asset Backed: Other — 6.8% | ||||||||
4,741,379 | ALG Student Loan Trust — 144A, Series 2006-1A, Class A1, Floating Rate, 5.02%, 10/28/18 (2) | 4,709,666 | ||||||
873,501 | Bear Stearns Asset Backed Securities, Inc., Series 2003-AC3, Class A1, 4.00%, 07/25/33 | 828,827 |
86
PORTFOLIO OF INVESTMENTS (Continued)
Principal | Value | |||||||
Corporate Bonds and Notes (continued) | ||||||||
Private Asset Backed: Other (continued) | ||||||||
$ | 4,762,624 | CIT Equipment Collateral, Series 2006-VT1, Class A3, 5.13%, 12/21/09 | $ | 4,778,721 | ||||
6,500,000 | CIT Equipment Collateral, Series 2006-VT1, Class A4, 5.16%, 02/20/13 | 6,542,738 | ||||||
117,391 | CIT RV Trust, Series 1998-A, Class A5, 6.12%, 11/15/13 | 117,470 | ||||||
3,000,000 | CNH Equipment Trust, Series 2006-B, Class B, 5.36%, 06/17/13 | 2,944,364 | ||||||
2,000,000 | CNH Equipment Trust, Series 2007-A, Class B, 5.09%, 06/16/14 | 1,954,771 | ||||||
4,200,000 | CNH Equipment Trust, Series 2007-B, Class A3A, 5.40%, 10/17/11 | 4,256,973 | ||||||
1,123,499 | Crusade Global Trust, Series 2004-2, Class A1, (Australia), Floating Rate, 5.03%, 11/19/37 (2) | 1,124,162 | ||||||
2,552,739 | GE Equipment Midticket LLC, Series 2006-1, Class A2, 5.10%, 05/15/09 | 2,555,234 | ||||||
1,906,153 | Goal Capital Funding Trust, Series 2006-1, Class A1, Floating Rate, 5.02%, 08/25/20 (2) | 1,896,156 | ||||||
3,750,000 | Great America Leasing Receivables — 144A, Series 2006-1, Class A3, 5.34%, 01/15/10 | 3,769,348 | ||||||
8,000,000 | John Deere Owner Trust, Series 2007-A, Class A4, 5.07%, 04/15/14 | 8,105,326 | ||||||
3,501,000 | Marlin Leasing Receivables LLC — 144A, Series 2006-1A, Class A4, 5.33%, 09/15/13 | 3,563,909 | ||||||
9,250,000 | Massachusetts RRB Special Purpose Trust, Series 1999-1, Class A5, 7.03%, 03/15/12 | 9,518,932 | ||||||
56,666,597 | ||||||||
Private Asset Backed: Transportation — 0.8% | ||||||||
2,073,025 | E-Trade RV and Marine Trust, Series 2004-1, Class A3, 3.62%, 10/08/18 | 2,024,593 | ||||||
4,124,333 | Railcar Leasing LLC — 144A, Series 1, Class A2, 7.13%, 01/15/13 | 4,266,561 | ||||||
6,291,154 | ||||||||
Telecommunications Equipment and Services — 1.1% | ||||||||
8,925,000 | BellSouth Corp., 6.00%, 10/15/11 | 9,251,816 | ||||||
Utilities — 4.2% | ||||||||
6,725,000 | Alabama Power Company, Series G, 5.38%, 10/01/08 | 6,745,497 | ||||||
5,125,000 | Consolidated Edison Company of New York, Inc., 4.70%, 06/15/09 | 5,150,492 | ||||||
2,900,000 | Dominion Resources, Inc., 4.13%, 02/15/08 | 2,896,233 | ||||||
6,420,000 | Exelon Generation Company LLC, 6.95%, 06/15/11 | 6,703,533 | ||||||
3,195,000 | Northern States Power Company — Minnesota, 6.88%, 08/01/09 | 3,297,195 | ||||||
3,200,000 | Northern States Power Company — Wisconsin, 7.64%, 10/01/08 | 3,259,450 | ||||||
6,664,000 | Ohio Edison, 4.00%, 05/01/08 | 6,636,811 | ||||||
34,689,211 | ||||||||
Total Corporate Bonds and Notes (Cost $490,616,183) | 490,626,831 | |||||||
Foreign Government Obligations — 0.5% | ||||||||
4,000,000 | Province of Ontario (Canada), 5.50%, 10/01/08 (Cost $4,048,244) | 4,031,728 | ||||||
Municipal Bonds — 0.8% | ||||||||
Texas | ||||||||
6,350,000 | Brazos Texas Higher Education Authority, Revenue Bond, Series A-5, 4.91%, 12/01/40 (Cost $6,281,539) | 6,384,227 | ||||||
Securities Lending Collateral — 9.8% | ||||||||
81,761,901 | Securities Lending Collateral Investment (Note 4) (Cost $81,761,901) | 81,761,901 | ||||||
Short Term US Government Agency Securities — 3.0% | ||||||||
Federal Home Loan Bank | ||||||||
10,000,000 | 4.34%, 01/10/08 | 9,989,150 | ||||||
5,000,000 | 4.31%, 01/16/08 | 4,991,021 | ||||||
10,000,000 | 4.35%, 01/18/08 | 9,979,458 | ||||||
Total Short Term US Government Agency Securities (Cost $24,959,629) | 24,959,629 | |||||||
Total Securities (Cost $892,751,400) | 894,562,680 | |||||||
87
PORTFOLIO OF INVESTMENTS (Continued)
Principal | Value | |||||||
Repurchase Agreements — 1.7% | ||||||||
$ | 14,024,289 | With State Street Bank and Trust, dated 12/31/07, 3.80%, due 01/02/08, repurchase proceeds at maturity $14,027,250 (Collateralized by various Fannie Mae Adjustable Rate Mortgages, 4.44%-5.30%, due 04/01/33-08/01/33, with a total value of $14,304,846) (Cost $14,024,289) | $ | 14,024,289 | ||||
Total Investments — 109.0% (Cost $906,775,689) | 908,586,969 | |||||||
Liabilities less other assets — (9.0)% | (75,295,730 | ) | ||||||
Net Assets — 100.0% | $ | 833,291,239 | ||||||
Gross unrealized appreciation | $ | 5,947,550 | ||
Gross unrealized depreciation | (4,136,270 | ) | ||
Net unrealized appreciation | $ | 1,811,280 | ||
88
PORTFOLIO OF INVESTMENTS
December 31, 2007
Principal | Value | |||||||
US Treasury Securities — 91.3% | ||||||||
US Treasury Inflation Index | ||||||||
$ | 1,898,126 | 3.88%, 01/15/09 | $ | 1,954,774 | ||||
1,316,276 | 4.25%, 01/15/10 | 1,404,920 | ||||||
8,304,159 | 0.88%, 04/15/10 | 8,278,865 | ||||||
6,218,020 | 3.50%, 01/15/11 | 6,689,234 | ||||||
12,641,366 | 2.38%, 04/15/11 | 13,180,609 | ||||||
2,906,202 | 3.38%, 01/15/12 | 3,171,166 | ||||||
2,470,968 | 2.00%, 04/15/12 | 2,561,699 | ||||||
3,207,037 | 3.00%, 07/15/12 | 3,474,376 | ||||||
6,307,548 | 1.88%, 07/15/13 | 6,501,707 | ||||||
7,219,456 | 2.00%, 01/15/14 (8) | 7,459,170 | ||||||
9,964,156 | 2.00%, 07/15/14 (8) | 10,298,115 | ||||||
5,809,883 | 1.63%, 01/15/15 | 5,834,848 | ||||||
6,788,249 | 1.88%, 07/15/15 | 6,921,366 | ||||||
5,189,417 | 2.00%, 01/15/16 | 5,327,263 | ||||||
817,263 | 2.50%, 07/15/16 (5) | 871,790 | ||||||
10,297,741 | 2.38%, 01/15/17 | 10,869,750 | ||||||
11,560,195 | 2.38%, 01/15/25 | 12,140,020 | ||||||
7,915,702 | 2.00%, 01/15/26 | 7,886,026 | ||||||
7,112,071 | 2.38%, 01/15/27 | 7,523,242 | ||||||
2,596,337 | 3.63%, 04/15/28 | 3,290,047 | ||||||
7,065,982 | 3.88%, 04/15/29 | 9,351,389 | ||||||
876,880 | 3.38%, 04/15/32 | 1,123,366 | ||||||
Total US Treasury Securities (Cost $130,983,776) | 136,113,742 | |||||||
Corporate Bonds and Notes — 3.3% | ||||||||
Banks and Financial Services — 0.7% | ||||||||
900,000 | SLM Corp., Series CPI, Floating Rate, 4.88%, 01/31/14 (3) | 737,469 | ||||||
420,000 | The Bear Stearns Companies, Inc., Series CPI, Floating Rate, 4.56%, 03/10/14 (3) | 376,425 | ||||||
1,113,894 | ||||||||
Private Asset Backed: Credit Cards — 0.8% | ||||||||
1,100,000 | Chase Issuance Trust, Series 2007-A17, Class A, 5.12%, 10/15/14 | 1,127,898 | ||||||
Private Asset Backed: Mortgage and Home Equity — 1.8% | ||||||||
389,362 | Citigroup Mortgage Loan Trust, Inc., Series 2007-AMC3, Class A2A, Floating Rate, 4.98%, 03/25/37 (3) | 371,818 | ||||||
695,000 | GMAC Commercial Mortgage Securities, Inc., Series 2004-C3, Class A4, 4.55%, 12/10/41 | 689,844 | ||||||
765,000 | Wachovia Bank Commercial Mortgage Trust, Series 2005-C22, Class A4, Floating Rate, 5.27%, 12/15/44 (3) | 766,960 | ||||||
750,000 | Wachovia Bank Commercial Mortgage Trust, Series 2006-C25, Class A4, Floating Rate, 5.74%, 05/15/43 (3) | 775,714 | ||||||
2,604,336 | ||||||||
Total Corporate Bonds and Notes (Cost $4,785,073) | 4,846,128 | |||||||
Securities Lending Collateral — 10.2% | ||||||||
15,142,100 | Securities Lending Collateral Investment (Note 4) (Cost $15,142,100) | 15,142,100 | ||||||
Total Securities (Cost $150,910,949) | 156,101,970 | |||||||
Repurchase Agreements — 4.3% | ||||||||
6,413,422 | With State Street Bank and Trust, dated 12/31/07, 3.80%, due 01/02/08, repurchase proceeds at maturity $6,414,776 (Collateralized by US Treasury Bill, 3.19%, due 02/28/08, with a value of $7,961,456) (Cost $6,413,422) | 6,413,422 | ||||||
Total Investments — 109.1% (Cost $157,324,371) | 162,515,392 | |||||||
Liabilities less other assets — (9.1)% | (13,501,996 | ) | ||||||
Net Assets — 100.0% | $ | 149,013,396 | ||||||
Gross unrealized appreciation | $ | 4,866,572 | ||
Gross unrealized depreciation | (44,135 | ) | ||
Net unrealized appreciation | $ | 4,822,437 | ||
89
Principal | Value | |||||||
US Treasury Securities — 3.7% | ||||||||
US Treasury Bonds — 0.7% | ||||||||
$ | 15,395,000 | 5.00%, 05/15/37 (8) | $ | 16,784,168 | ||||
US Treasury Inflation Index — 1.4% | ||||||||
4,100,932 | 2.38%, 01/15/25 | 4,306,622 | ||||||
24,055,688 | 2.38%, 01/15/27 | 25,446,419 | ||||||
29,753,041 | ||||||||
US Treasury Notes — 0.9% | ||||||||
4,320,000 | 4.25%, 09/30/12 (8) | 4,472,889 | ||||||
10,100,000 | 3.88%, 10/31/12 | 10,301,212 | ||||||
5,000,000 | 3.38%, 11/30/12 | 4,984,770 | ||||||
1,265,000 | 4.25%, 11/15/17 | 1,287,435 | ||||||
21,046,306 | ||||||||
US Treasury Strips — 0.7% | ||||||||
39,505,000 | Zero coupon, 11/15/27 | 15,877,297 | ||||||
Total US Treasury Securities (Cost $79,924,149) | 83,460,812 | |||||||
US Government Agency Securities — 43.0% | ||||||||
Asset Backed: Mortgage and Home Equity — 1.5% | ||||||||
22,579,027 | Fannie Mae IO Strips, Series 360, Class 2, 5.00%, 08/01/35 | 5,569,255 | ||||||
22,341,168 | Fannie Mae IO Strips, Series 378, Class 4, 5.00%, 07/01/36 | 4,797,193 | ||||||
2,686,647 | Fannie Mae, Series 1999-7, Class AB, 6.00%, 03/25/29 | 2,742,138 | ||||||
8,956,387 | Fannie Mae, Series 2003-35, Class TE, 5.00%, 05/25/18 | 8,975,037 | ||||||
5,327,756 | Fannie Mae, Series 2004-60, Class LB, 5.00%, 04/25/34 | 5,321,307 | ||||||
5,468,746 | Freddie Mac, Series 2825, Class VP, 5.50%, 06/15/15 | 5,585,228 | ||||||
32,990,158 | ||||||||
Asset Backed: US Government Agencies — 0.1% | ||||||||
1,526,398 | Small Business Administration, Series 2002-P10B, Class 1, 5.20%, 08/01/12 | 1,543,405 | ||||||
1,880,494 | Small Business Administration, Series 2004-P10A, Class 1, 4.50%, 02/10/14 | 1,824,947 | ||||||
3,368,352 | ||||||||
Fannie Mae — 28.5% | ||||||||
14,550,000 | 7.25%, 01/15/10 | 15,601,398 | ||||||
14,850,000 | 4.63%, 06/01/10 | 15,182,343 | ||||||
4,100,000 | 5.25%, 08/01/12 | 4,266,230 | ||||||
10,200,000 | 4.63%, 05/01/13 | 10,366,393 | ||||||
261,228 | PL# 252571, 7.00%, 07/01/29 | 275,595 | ||||||
3,968 | PL# 252716, 7.00%, 09/01/29 | 4,187 | ||||||
1,034 | PL# 253264, 7.00%, 05/01/30 | 1,090 | ||||||
858 | PL# 253346, 7.50%, 06/01/30 | 916 | ||||||
11,879 | PL# 253479, 7.00%, 10/01/30 | 12,532 | ||||||
27,278 | PL# 253990, 7.00%, 09/01/16 | 28,399 | ||||||
21,596 | PL# 254008, 7.00%, 10/01/31 | 22,766 | ||||||
316,799 | PL# 254346, 6.50%, 06/01/32 | 327,559 | ||||||
267,640 | PL# 254406, 6.50%, 08/01/32 | 276,731 | ||||||
12,830 | PL# 255032, 5.50%, 12/01/18 | 13,027 | ||||||
172,587 | PL# 255950, 6.00%, 09/01/15 | 179,954 | ||||||
475,196 | PL# 256137, 6.00%, 02/01/16 | 495,985 | ||||||
535,002 | PL# 256335, 6.00%, 07/01/16 | 548,548 | ||||||
78,837 | PL# 256567, 7.00%, 01/01/37 | 82,035 | ||||||
2,872,485 | PL# 256936, 6.00%, 10/01/37 | 2,893,946 | ||||||
711,499 | PL# 323842, 5.50%, 07/01/14 | 721,472 | ||||||
41,413 | PL# 323967, 7.00%, 10/01/29 | 43,690 | ||||||
2,142,630 | PL# 357327, 5.00%, 01/01/18 | 2,148,124 | ||||||
4,482 | PL# 492742, 7.00%, 05/01/29 | 4,729 | ||||||
1,663 | PL# 503916, 7.50%, 06/01/29 | 1,778 | ||||||
2,147 | PL# 508415, 7.00%, 08/01/29 | 2,265 | ||||||
8,832 | PL# 515946, 7.00%, 10/01/29 | 9,318 | ||||||
357 | PL# 524164, 7.00%, 11/01/29 | 377 | ||||||
110,895 | PL# 524657, 7.00%, 01/01/30 | 116,988 | ||||||
20,790 | PL# 526053, 7.00%, 12/01/29 | 21,933 | ||||||
406 | PL# 527717, 7.50%, 01/01/30 | 434 | ||||||
3,572 | PL# 528107, 7.00%, 02/01/30 | 3,768 | ||||||
1,290 | PL# 531092, 7.50%, 10/01/29 | 1,380 | ||||||
8,137 | PL# 531497, 7.00%, 02/01/30 | 8,584 | ||||||
6,381 | PL# 531735, 7.00%, 02/01/30 | 6,732 | ||||||
934 | PL# 533841, 7.50%, 12/01/30 | 997 | ||||||
20,863 | PL# 535030, 7.00%, 12/01/29 | 22,011 | ||||||
28,024 | PL# 535103, 7.00%, 01/01/15 | 29,196 | ||||||
7,959 | PL# 535159, 7.00%, 02/01/30 | 8,397 | ||||||
36,628 | PL# 535195, 7.00%, 03/01/30 | 38,642 | ||||||
10,511 | PL# 535277, 7.00%, 04/01/30 | 11,089 | ||||||
341,915 | PL# 535675, 7.00%, 01/01/16 | 356,038 | ||||||
838 | PL# 535722, 7.00%, 02/01/31 | 884 | ||||||
5,519 | PL# 535723, 7.00%, 02/01/31 | 5,822 | ||||||
1,297 | PL# 535811, 6.50%, 04/01/31 | 1,341 | ||||||
81,400 | PL# 535880, 7.00%, 02/01/31 | 85,877 | ||||||
477 | PL# 540211, 7.50%, 06/01/30 | 509 | ||||||
1,968 | PL# 542999, 7.50%, 08/01/30 | 2,101 | ||||||
102,423 | PL# 545249, 5.50%, 10/01/16 | 104,021 | ||||||
529,722 | PL# 545298, 5.50%, 11/01/16 | 537,987 | ||||||
5,739 | PL# 545363, 5.50%, 11/01/16 | 5,828 | ||||||
2,063,950 | PL# 545411, 5.50%, 01/01/17 | 2,096,150 | ||||||
26,393 | PL# 545477, 7.00%, 03/01/32 | 27,794 | ||||||
213,912 | PL# 545759, 6.50%, 07/01/32 | 221,177 | ||||||
856,351 | PL# 545760, 6.50%, 07/01/32 | 885,437 | ||||||
157,203 | PL# 545762, 6.50%, 07/01/32 | 162,542 | ||||||
32,331 | PL# 549659, 7.00%, 02/01/16 | 33,660 | ||||||
14,579 | PL# 549962, 7.00%, 10/01/30 | 15,380 | ||||||
44,956 | PL# 549975, 7.00%, 10/01/30 | 47,426 | ||||||
5,289 | PL# 550440, 7.00%, 02/01/16 | 5,506 | ||||||
48,513 | PL# 554493, 7.00%, 10/01/30 | 51,179 | ||||||
236,414 | PL# 555114, 5.50%, 12/01/17 | 240,026 |
90
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2007
Principal | Value | |||||||
US Government Agency Securities (continued) | ||||||||
Fannie Mae (continued) | ||||||||
$ | 27,456 | PL# 555144, 7.00%, 10/01/32 | $ | 28,955 | ||||
371,254 | PL# 555254, 6.50%, 01/01/33 | 383,965 | ||||||
213,681 | PL# 555798, 6.50%, 05/01/33 | 220,997 | ||||||
1,590 | PL# 558362, 7.50%, 11/01/30 | 1,698 | ||||||
532 | PL# 558519, 7.50%, 11/01/30 | 567 | ||||||
1,360 | PL# 559277, 7.00%, 10/01/30 | 1,435 | ||||||
40,168 | PL# 559313, 7.00%, 12/01/30 | 42,375 | ||||||
1,262 | PL# 559741, 7.50%, 01/01/31 | 1,347 | ||||||
24,209 | PL# 560384, 7.00%, 11/01/30 | 25,539 | ||||||
1,426 | PL# 560596, 7.50%, 01/01/31 | 1,523 | ||||||
2,761 | PL# 561678, 7.50%, 12/01/30 | 2,948 | ||||||
1,473 | PL# 564080, 7.50%, 12/01/30 | 1,573 | ||||||
10,839 | PL# 564183, 7.00%, 12/01/30 | 11,435 | ||||||
1,429 | PL# 564529, 7.50%, 12/01/30 | 1,526 | ||||||
11,220 | PL# 566658, 7.00%, 02/01/31 | 11,828 | ||||||
70,981 | PL# 572453, 5.50%, 04/01/16 | 72,088 | ||||||
6,337 | PL# 575285, 7.50%, 03/01/31 | 6,760 | ||||||
4,696 | PL# 579161, 6.50%, 04/01/31 | 4,856 | ||||||
384,390 | PL# 580165, 5.50%, 09/01/16 | 390,387 | ||||||
12,214 | PL# 580179, 7.00%, 10/01/16 | 12,716 | ||||||
694 | PL# 580377, 7.50%, 04/01/31 | 741 | ||||||
46,420 | PL# 580515, 5.50%, 04/01/16 | 47,144 | ||||||
9,525 | PL# 584811, 7.00%, 05/01/31 | 10,041 | ||||||
97,875 | PL# 585248, 7.00%, 06/01/31 | 103,254 | ||||||
184,854 | PL# 589120, 5.50%, 11/01/16 | 187,738 | ||||||
1,111 | PL# 589405, 7.50%, 06/01/31 | 1,186 | ||||||
5,759 | PL# 589893, 7.00%, 06/01/31 | 6,071 | ||||||
4,631 | PL# 592129, 7.50%, 06/01/31 | 4,940 | ||||||
6,773 | PL# 596895, 6.50%, 07/01/31 | 7,005 | ||||||
10,693 | PL# 598125, 7.00%, 09/01/16 | 11,132 | ||||||
9,141 | PL# 602148, 5.50%, 09/01/16 | 9,284 | ||||||
62,394 | PL# 604517, 5.50%, 11/01/16 | 63,367 | ||||||
7,196 | PL# 606551, 6.50%, 10/01/31 | 7,442 | ||||||
3,013 | PL# 606600, 7.00%, 10/01/31 | 3,176 | ||||||
44,047 | PL# 607386, 5.50%, 11/01/16 | 44,734 | ||||||
61,704 | PL# 607493, 5.50%, 11/01/16 | 62,667 | ||||||
22,192 | PL# 610128, 7.00%, 10/01/31 | 23,394 | ||||||
192,511 | PL# 610579, 5.50%, 12/01/16 | 195,514 | ||||||
8,418 | PL# 611323, 7.00%, 10/01/16 | 8,764 | ||||||
28,130 | PL# 612071, 5.50%, 11/01/16 | 28,569 | ||||||
169,280 | PL# 614506, 5.50%, 11/01/16 | 171,921 | ||||||
1,660,730 | PL# 619054, 5.50%, 02/01/17 | 1,686,099 | ||||||
5,732 | PL# 622119, 6.50%, 01/01/32 | 5,928 | ||||||
223,241 | PL# 624035, 6.50%, 01/01/32 | 232,283 | ||||||
9,441 | PL# 629236, 6.50%, 02/01/32 | 9,762 | ||||||
604,050 | PL# 631321, 5.50%, 02/01/17 | 613,278 | ||||||
47,315 | PL# 631606, 5.50%, 03/01/17 | 48,038 | ||||||
51,220 | PL# 632269, 7.00%, 05/01/32 | 53,995 | ||||||
7,417 | PL# 634563, 6.50%, 03/01/32 | 7,669 | ||||||
59,325 | PL# 634949, 7.00%, 05/01/32 | 62,476 | ||||||
231,168 | PL# 635164, 6.50%, 08/01/32 | 239,019 | ||||||
2,435 | PL# 644932, 6.50%, 07/01/32 | 2,517 | ||||||
5,476 | PL# 647556, 7.00%, 01/01/30 | 5,778 | ||||||
445,459 | PL# 648795, 6.50%, 08/01/32 | 460,589 | ||||||
157,982 | PL# 650206, 5.50%, 01/01/18 | 160,395 | ||||||
70,047 | PL# 650291, 6.50%, 07/01/32 | 72,426 | ||||||
228,832 | PL# 651649, 6.50%, 08/01/32 | 236,604 | ||||||
933,545 | PL# 652127, 6.50%, 06/01/32 | 965,253 | ||||||
3,417 | PL# 663353, 6.50%, 09/01/32 | 3,533 | ||||||
33,377 | PL# 664188, 5.50%, 09/01/17 | 33,887 | ||||||
52,190 | PL# 664194, 5.50%, 09/01/17 | 52,987 | ||||||
391,678 | PL# 670402, 6.50%, 06/01/32 | 404,982 | ||||||
186,566 | PL# 675314, 5.50%, 12/01/17 | 189,416 | ||||||
277,698 | PL# 676800, 5.50%, 01/01/18 | 281,940 | ||||||
411,290 | PL# 679631, 5.50%, 02/01/18 | 417,467 | ||||||
7,743 | PL# 681343, 5.50%, 02/01/18 | 7,860 | ||||||
353,997 | PL# 683199, 5.50%, 02/01/18 | 359,314 | ||||||
2,955,341 | PL# 684231, 5.00%, 01/01/18 | 2,962,919 | ||||||
5,018,536 | PL# 687889, 5.50%, 03/01/33 | 5,023,043 | ||||||
778,072 | PL# 688521, 5.00%, 03/01/18 | 780,139 | ||||||
784,378 | PL# 694200, 4.50%, 05/01/18 | 772,741 | ||||||
5,546 | PL# 694372, 6.50%, 11/01/32 | 5,734 | ||||||
266,590 | PL# 694380, 5.00%, 03/01/18 | 267,298 | ||||||
75,626 | PL# 695925, 5.50%, 05/01/18 | 76,762 | ||||||
1,212,453 | PL# 701161, 4.50%, 04/01/18 | 1,193,339 | ||||||
9,006 | PL# 701236, 5.50%, 05/01/18 | 9,141 | ||||||
4,186,977 | PL# 703443, 5.00%, 05/01/18 | 4,198,100 | ||||||
7,705 | PL# 708637, 5.50%, 06/01/18 | 7,821 | ||||||
529,320 | PL# 711636, 4.50%, 05/01/18 | 520,976 | ||||||
4,330,161 | PL# 711997, 4.50%, 09/01/18 | 4,261,898 | ||||||
2,056,505 | PL# 720317, 5.00%, 07/01/18 | 2,061,968 | ||||||
12,893 | PL# 725071, 5.50%, 12/01/18 | 13,086 | ||||||
8,065,030 | PL# 725162, 6.00%, 02/01/34 | 8,207,352 | ||||||
16,850,416 | PL# 725206, 5.50%, 02/01/34 | 16,865,549 | ||||||
11,130 | PL# 725269, 5.50%, 03/01/19 | 11,300 | ||||||
207,525 | PL# 725407, 6.50%, 01/01/34 | 214,630 | ||||||
292,071 | PL# 725418, 6.50%, 05/01/34 | 302,072 | ||||||
4,474,616 | PL# 725519, 5.50%, 05/01/19 | 4,542,970 | ||||||
4,713,007 | PL# 725704, 6.00%, 08/01/34 | 4,796,176 | ||||||
11,565,695 | PL# 725717, 4.00%, 08/01/19 | 11,097,292 | ||||||
10,783,855 | PL# 725946, 5.50%, 11/01/34 | 10,786,138 | ||||||
10,342 | PL# 732724, 5.50%, 08/01/18 | 10,497 | ||||||
15,548,382 | PL# 735141, 5.50%, 01/01/35 | 15,551,674 | ||||||
4,002,210 | PL# 735454, 5.50%, 11/01/18 | 4,063,348 | ||||||
25,137,194 | PL# 735504, 6.00%, 04/01/35 | 25,613,429 | ||||||
1,084,669 | PL# 735611, 5.50%, 03/01/20 | 1,101,238 | ||||||
100,277,206 | PL# 735989, 5.50%, 02/01/35 | 100,471,428 | ||||||
156,229 | PL# 738632, 5.00%, 11/01/18 | 156,644 | ||||||
9,095 | PL# 741355, 5.50%, 10/01/18 | 9,232 | ||||||
5,130,381 | PL# 743575, 5.00%, 11/01/18 | 5,144,010 | ||||||
9,842,906 | PL# 745140, 5.00%, 11/01/35 | 9,610,898 | ||||||
11,201,507 | PL# 745193, 5.50%, 06/01/20 | 11,372,621 | ||||||
40,257,451 | PL# 745275, 5.00%, 02/01/36 | 39,308,542 | ||||||
22,452,811 | PL# 745412, 5.50%, 12/01/35 | 22,457,566 |
91
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2007
Principal | Value | |||||||
US Government Agency Securities (continued) | ||||||||
Fannie Mae (continued) | ||||||||
$ | 16,062,842 | PL# 745735, 5.00%, 03/01/21 | $ | 16,081,115 | ||||
13,205,278 | PL# 745740, 5.00%, 07/01/36 | 12,889,654 | ||||||
58,124 | PL# 745823, 6.00%, 08/01/36 | 59,045 | ||||||
518,177 | PL# 748257, 4.50%, 10/01/18 | 510,008 | ||||||
5,021 | PL# 748655, 6.50%, 09/01/33 | 5,185 | ||||||
2,632 | PL# 749118, 5.50%, 11/01/18 | 2,672 | ||||||
14,019 | PL# 749153, 5.50%, 11/01/18 | 14,229 | ||||||
8,684 | PL# 753643, 5.50%, 11/01/18 | 8,814 | ||||||
17,835 | PL# 755167, 5.50%, 11/01/18 | 18,102 | ||||||
137,766 | PL# 757687, 5.50%, 07/01/34 | 137,795 | ||||||
11,581 | PL# 759423, 5.50%, 01/01/19 | 11,745 | ||||||
10,345 | PL# 761018, 5.50%, 12/01/18 | 10,500 | ||||||
33,411 | PL# 761808, 5.50%, 05/01/18 | 33,921 | ||||||
426,251 | PL# 766312, 5.50%, 03/01/19 | 432,285 | ||||||
201,611 | PL# 768313, 5.50%, 01/01/19 | 204,639 | ||||||
192,356 | PL# 781889, 5.50%, 03/01/17 | 195,357 | ||||||
5,809,002 | PL# 806549, Variable Rate, 4.57%, 01/01/35 (1) | 5,825,669 | ||||||
54,391 | PL# 817808, 6.00%, 09/01/36 | 55,253 | ||||||
1,274,558 | PL# 826273, 6.00%, 07/01/20 | 1,305,164 | ||||||
1,568,185 | PL# 831361, 5.50%, 03/01/21 | 1,588,955 | ||||||
68,757 | PL# 831500, 6.00%, 05/01/16 | 70,498 | ||||||
4,413,250 | PL# 831511, 6.00%, 06/01/16 | 4,524,994 | ||||||
868,507 | PL# 845420, 6.00%, 02/01/36 | 882,587 | ||||||
756,362 | PL# 849239, 5.50%, 01/01/21 | 766,572 | ||||||
8,868,188 | PL# 850867, Variable Rate, 5.64%, 01/01/36 (1) | 8,862,878 | ||||||
1,913,336 | PL# 870843, 6.00%, 10/01/36 | 1,943,662 | ||||||
161,720 | PL# 871059, 6.00%, 01/01/37 | �� | 164,283 | |||||
581,578 | PL# 871436, 6.00%, 06/01/36 | 590,796 | ||||||
55,720 | PL# 878340, 6.00%, 04/01/37 | 56,596 | ||||||
827,676 | PL# 880770, 5.50%, 05/01/21 | 838,639 | ||||||
100,351 | PL# 881578, 5.50%, 05/01/21 | 101,680 | ||||||
835,874 | PL# 885071, 5.50%, 05/01/21 | 846,944 | ||||||
45,336,711 | PL# 888306, 5.00%, 12/01/36 | 44,268,078 | ||||||
22,888,260 | PL# 888635, 5.50%, 09/01/36 | 22,908,814 | ||||||
31,442,489 | PL# 888678, 5.00%, 12/01/36 | 30,701,358 | ||||||
869,675 | PL# 891805, 6.00%, 06/01/36 | 883,459 | ||||||
719,038 | PL# 891814, 6.50%, 07/01/36 | 739,314 | ||||||
808,333 | PL# 892970, 6.50%, 09/01/36 | 831,127 | ||||||
24,033 | PL# 893926, 6.00%, 10/01/36 | 24,414 | ||||||
901,741 | PL# 896049, 6.00%, 06/01/36 | 916,034 | ||||||
50,526 | PL# 897820, 6.00%, 09/01/36 | 51,327 | ||||||
791,901 | PL# 898124, 6.00%, 09/01/36 | 804,453 | ||||||
633,160 | PL# 898330, 6.00%, 12/01/36 | 643,196 | ||||||
850,952 | PL# 900303, 6.00%, 09/01/36 | 864,440 | ||||||
847,055 | PL# 901717, 6.00%, 10/01/36 | 860,481 | ||||||
141,668 | PL# 904102, 6.00%, 11/01/36 | 143,913 | ||||||
932,768 | PL# 904907, 6.00%, 11/01/36 | 947,552 | ||||||
853,392 | PL# 905674, 6.00%, 12/01/36 | 866,918 | ||||||
11,147,640 | PL# 906064, 6.00%, 01/01/37 | 11,324,331 | ||||||
92,063 | PL# 907735, 6.00%, 12/01/36 | 93,522 | ||||||
631,120 | PL# 911420, 6.00%, 05/01/37 | 641,038 | ||||||
779,572 | PL# 911440, 6.00%, 02/01/37 | 791,823 | ||||||
776,409 | PL# 911446, 6.00%, 03/01/37 | 788,611 | ||||||
678,936 | PL# 913180, 6.00%, 03/01/37 | 689,605 | ||||||
760,401 | PL# 913345, 6.00%, 05/01/37 | 772,351 | ||||||
90,365 | PL# 916302, 6.00%, 04/01/37 | 91,785 | ||||||
36,597 | PL# 916946, 6.00%, 06/01/37 | 37,172 | ||||||
692,232 | PL# 919389, 6.00%, 05/01/37 | 703,110 | ||||||
157,898 | PL# 922044, 6.00%, 02/01/37 | 160,401 | ||||||
31,778 | PL# 923382, 6.00%, 06/01/37 | 32,278 | ||||||
811,239 | PL# 928306, 6.00%, 05/01/37 | 823,988 | ||||||
8,023,872 | PL# 928510, 6.50%, 06/01/37 | 8,249,280 | ||||||
65,854 | PL# 938111, 6.00%, 07/01/37 | 66,889 | ||||||
768,524 | PL# 940762, 6.00%, 06/01/37 | 780,602 | ||||||
8,828,851 | PL# 941348, 6.50%, 08/01/37 | 9,076,872 | ||||||
4,573,428 | PL# 944027, 6.50%, 08/01/37 | 4,701,906 | ||||||
3,000,000 | TBA, 5.00%, 01/01/23 | 3,003,282 | ||||||
50,900,000 | TBA, 5.50%, 01/01/38 | 50,844,316 | ||||||
600,000 | TBA, 6.00%, 01/01/38 | 609,281 | ||||||
641,131,448 | ||||||||
Federal Agricultural Mortgage Corporation — 2.1% | ||||||||
45,175,000 | 144A, 5.50%, 07/15/11 | 47,881,841 | ||||||
Federal Home Loan Bank — 0.8% | ||||||||
18,840,000 | 4.00%, 02/01/08 | 18,830,599 | ||||||
Freddie Mac — 2.2% | ||||||||
16,800,000 | 4.75%, 06/28/12 | 17,393,880 | ||||||
4,702,572 | PL# 1B2853, Variable Rate, 4.33%, 04/01/35 (1) | 4,648,673 | ||||||
10,754,952 | PL# 1G1119, Variable Rate, 4.75%, 09/01/35 (1) | 10,656,660 | ||||||
15,850,000 | Series MTN, 5.00%, 12/14/18 | 15,966,291 | ||||||
48,665,504 | ||||||||
Freddie Mac Gold — 6.4% | ||||||||
230,122 | PL# A32037, 5.00%, 03/01/35 | 224,712 | ||||||
25,024 | PL# A38585, 5.50%, 10/01/35 | 24,986 | ||||||
429,301 | PL# A64579, 5.50%, 08/01/37 | 428,482 | ||||||
380,739 | PL# B10307, 4.50%, 10/01/18 | 374,509 | ||||||
459,478 | PL# B11431, 4.50%, 12/01/18 | 451,959 | ||||||
3,135,819 | PL# B11446, 5.00%, 12/01/18 | 3,144,035 | ||||||
43,773 | PL# B13285, 4.50%, 04/01/19 | 43,038 | ||||||
630,730 | PL# B14218, 4.50%, 05/01/19 | 620,142 | ||||||
942,093 | PL# B14518, 4.50%, 01/01/20 | 926,277 | ||||||
1,382,591 | PL# B17118, 4.50%, 11/01/19 | 1,359,381 | ||||||
21,969 | PL# B17892, 4.50%, 10/01/19 | 21,610 | ||||||
684,735 | PL# B19028, 4.50%, 03/01/20 | 673,100 | ||||||
4,008,968 | PL# B19043, 4.50%, 03/01/20 | 3,940,849 | ||||||
19,637 | PL# B19177, 4.50%, 05/01/20 | 19,303 | ||||||
842,224 | PL# B19187, 4.50%, 04/01/20 | 827,913 | ||||||
171,215 | PL# B19188, 4.50%, 05/01/20 | 168,305 | ||||||
181,620 | PL# B19272, 4.50%, 05/01/20 | 178,534 | ||||||
474,831 | PL# B19621, 5.00%, 07/01/20 | 475,371 | ||||||
882,716 | PL# C01271, 6.50%, 12/01/31 | 912,964 |
92
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2007
Principal | Value | |||||||
US Government Agency Securities (continued) | ||||||||
Freddie Mac Gold (continued) | ||||||||
$ | 2,664,581 | PL# C57150, 6.00%, 05/01/31 | $ | 2,716,877 | ||||
3,221 | PL# C67653, 7.00%, 06/01/32 | 3,375 | ||||||
48,015 | PL# C67868, 7.00%, 06/01/32 | 50,316 | ||||||
12,171 | PL# C67999, 7.00%, 06/01/32 | 12,755 | ||||||
74,585 | PL# C68001, 7.00%, 06/01/32 | 78,159 | ||||||
111,610 | PL# C90229, 7.00%, 08/01/18 | 117,371 | ||||||
15,907 | PL# E00570, 6.00%, 09/01/13 | 16,313 | ||||||
334,954 | PL# E00592, 6.00%, 12/01/13 | 343,327 | ||||||
16,383 | PL# E00720, 6.00%, 07/01/14 | 16,779 | ||||||
17,067 | PL# E01007, 6.00%, 08/01/16 | 17,477 | ||||||
56,862 | PL# E01095, 6.00%, 01/01/17 | 58,247 | ||||||
369,657 | PL# E01490, 5.00%, 11/01/18 | 370,626 | ||||||
725,728 | PL# E01538, 5.00%, 12/01/18 | 727,630 | ||||||
28,494 | PL# E01638, 4.00%, 04/01/19 | 27,430 | ||||||
22,770 | PL# E69171, 6.00%, 02/01/13 | 23,329 | ||||||
18,464 | PL# E73319, 6.00%, 11/01/13 | 18,918 | ||||||
26,416 | PL# E73769, 6.00%, 12/01/13 | 27,065 | ||||||
12,613 | PL# E75990, 6.00%, 04/01/14 | 12,941 | ||||||
23,602 | PL# E76341, 6.00%, 04/01/14 | 24,146 | ||||||
34,352 | PL# E76730, 6.00%, 05/01/14 | 35,144 | ||||||
24,936 | PL# E76731, 6.00%, 05/01/14 | 25,510 | ||||||
16,427 | PL# E78995, 6.00%, 11/01/14 | 16,806 | ||||||
202,312 | PL# E84191, 6.00%, 07/01/16 | 207,268 | ||||||
3,608 | PL# E84758, 5.50%, 07/01/16 | 3,661 | ||||||
15,344 | PL# E85885, 6.00%, 11/01/16 | 15,720 | ||||||
221,761 | PL# E86502, 5.50%, 12/01/16 | 224,998 | ||||||
4,191 | PL# E86565, 5.50%, 12/01/16 | 4,252 | ||||||
204,162 | PL# E87961, 6.00%, 02/01/17 | 209,163 | ||||||
315,188 | PL# E88001, 6.00%, 02/01/17 | 322,820 | ||||||
40,730 | PL# E88452, 6.00%, 03/01/17 | 41,716 | ||||||
272,507 | PL# E88749, 6.00%, 03/01/17 | 279,182 | ||||||
380,449 | PL# E88789, 6.00%, 04/01/17 | 389,661 | ||||||
124,920 | PL# E88979, 5.50%, 04/01/17 | 126,700 | ||||||
267,573 | PL# E89282, 6.00%, 04/01/17 | 274,052 | ||||||
514,600 | PL# E89336, 6.00%, 05/01/17 | 527,060 | ||||||
23,403 | PL# E89653, 6.00%, 04/01/17 | 23,976 | ||||||
388,072 | PL# E89913, 6.00%, 05/01/17 | 397,469 | ||||||
665,654 | PL# E91644, 5.50%, 10/01/17 | 675,142 | ||||||
206,683 | PL# E91754, 5.50%, 10/01/17 | 209,630 | ||||||
286,483 | PL# E91774, 5.50%, 10/01/17 | 290,567 | ||||||
140,361 | PL# E91968, 5.50%, 10/01/17 | 142,362 | ||||||
231,094 | PL# E92113, 5.50%, 10/01/17 | 234,388 | ||||||
20,422 | PL# E95352, 4.50%, 04/01/18 | 20,088 | ||||||
44,466 | PL# E98821, 4.50%, 09/01/18 | 43,738 | ||||||
1,129,426 | PL# G01391, 7.00%, 04/01/32 | 1,187,257 | ||||||
16,276,832 | PL# G02967, 5.50%, 05/01/37 | 16,245,779 | ||||||
13,426 | PL# G11111, 6.00%, 04/01/16 | 13,743 | ||||||
99,850 | PL# G11394, 4.50%, 05/01/18 | 98,216 | ||||||
6,221,120 | PL# G11618, 4.50%, 05/01/18 | 6,124,745 | ||||||
388,561 | PL# G11639, 4.50%, 12/01/19 | 382,038 | ||||||
2,710,413 | PL# G11681, 5.00%, 04/01/20 | 2,715,768 | ||||||
7,812,460 | PL# G11720, 4.50%, 08/01/20 | 7,681,310 | ||||||
11,856,986 | PL# G11769, 5.00%, 10/01/20 | 11,870,473 | ||||||
181,679 | PL# G18052, 4.50%, 05/01/20 | 178,592 | ||||||
2,387,139 | PL# J00156, 5.00%, 10/01/20 | 2,389,854 | ||||||
610,201 | PL# J00726, 5.00%, 12/01/20 | 610,895 | ||||||
2,879,217 | PL# M80813, 4.00%, 04/01/10 | 2,835,010 | ||||||
67,000,000 | TBA, 5.50%, 01/01/38 | 66,863,924 | ||||||
143,417,228 | ||||||||
Government National Mortgage Association — 1.3% | ||||||||
96,172 | PL# 3173, 6.50%, 12/20/31 | 99,709 | ||||||
12,789,009 | PL# 4006, 6.00%, 07/20/37 | 13,055,346 | ||||||
560 | PL# 434615, 7.00%, 11/15/29 | 594 | ||||||
143,581 | PL# 435071, 7.00%, 03/15/31 | 152,246 | ||||||
18,608 | PL# 493966, 7.00%, 06/15/29 | 19,749 | ||||||
36,868 | PL# 494742, 7.00%, 04/15/29 | 39,128 | ||||||
1,093 | PL# 530260, 7.00%, 02/15/31 | 1,159 | ||||||
214,601 | PL# 531025, 6.00%, 04/15/32 | 220,140 | ||||||
476 | PL# 538271, 7.00%, 11/15/31 | 505 | ||||||
70,776 | PL# 538312, 6.00%, 02/15/32 | 72,603 | ||||||
107,472 | PL# 543989, 7.00%, 03/15/31 | 113,958 | ||||||
783 | PL# 547545, 7.00%, 04/15/31 | 830 | ||||||
219,154 | PL# 550985, 7.00%, 10/15/31 | 232,380 | ||||||
247 | PL# 551549, 7.00%, 07/15/31 | 261 | ||||||
17,221 | PL# 552413, 7.00%, 02/15/32 | 18,260 | ||||||
76,396 | PL# 554808, 6.00%, 05/15/31 | 78,412 | ||||||
56,734 | PL# 555360, 6.00%, 06/15/31 | 58,231 | ||||||
72,250 | PL# 555733, 6.00%, 03/15/32 | 74,115 | ||||||
452 | PL# 557664, 7.00%, 08/15/31 | 480 | ||||||
54,411 | PL# 557678, 7.00%, 08/15/31 | 57,695 | ||||||
3,754 | PL# 561050, 7.00%, 05/15/31 | 3,981 | ||||||
370 | PL# 561996, 7.00%, 07/15/31 | 393 | ||||||
10,129 | PL# 563346, 7.00%, 09/15/31 | 10,741 | ||||||
39,940 | PL# 563599, 7.00%, 06/15/32 | 42,351 | ||||||
66,357 | PL# 564086, 7.00%, 07/15/31 | 70,361 | ||||||
35,884 | PL# 564300, 6.00%, 08/15/31 | 36,831 | ||||||
6,990 | PL# 564706, 7.00%, 07/15/31 | 7,412 | ||||||
68,602 | PL# 565808, 6.00%, 11/15/31 | 70,412 | ||||||
149,066 | PL# 567622, 6.00%, 04/15/32 | 152,913 | ||||||
74,948 | PL# 569567, 7.00%, 01/15/32 | 79,473 | ||||||
55,016 | PL# 570517, 6.00%, 01/15/32 | 56,436 | ||||||
39,109 | PL# 572821, 6.00%, 12/15/31 | 40,141 | ||||||
72,203 | PL# 574873, 6.00%, 12/15/31 | 74,108 | ||||||
82,567 | PL# 575906, 6.00%, 01/15/32 | 84,698 | ||||||
34,565 | PL# 576323, 6.00%, 12/15/31 | 35,477 | ||||||
1,260 | PL# 579377, 7.00%, 04/15/32 | 1,336 | ||||||
181,134 | PL# 581015, 7.00%, 02/15/32 | 192,068 | ||||||
82,958 | PL# 581070, 6.00%, 02/15/32 | 85,099 | ||||||
42,756 | PL# 582956, 7.00%, 02/15/32 | 45,337 | ||||||
216,544 | PL# 587122, 7.00%, 06/15/32 | 229,616 | ||||||
4,897 | PL# 587494, 7.00%, 06/15/32 | 5,193 | ||||||
923 | PL# 589696, 7.00%, 05/15/32 | 979 | ||||||
42,281 | PL# 592030, 6.00%, 02/15/32 | 43,373 | ||||||
15,120 | PL# 780802, 6.50%, 05/15/28 | 15,701 |
93
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2007
Principal | Value | |||||||
US Government Agency Securities (continued) | ||||||||
Government National Mortgage Association (continued) | ||||||||
$ | 24,820 | PL# 781113, 7.00%, 11/15/29 | $ | 26,342 | ||||
156,203 | PL# 781148, 6.00%, 07/15/29 | 160,524 | ||||||
77,127 | PL# 781276, 6.50%, 04/15/31 | 80,053 | ||||||
22,186 | PL# 781287, 7.00%, 05/15/31 | 23,540 | ||||||
35,129 | PL# 781324, 7.00%, 07/15/31 | 37,260 | ||||||
193,366 | PL# 781328, 7.00%, 09/15/31 | 205,170 | ||||||
150,592 | PL# 781330, 6.00%, 09/15/31 | 154,736 | ||||||
39,399 | PL# 781496, 6.50%, 09/15/32 | 40,870 | ||||||
50,611 | PL# 781548, 7.00%, 11/15/32 | 53,676 | ||||||
29,563 | PL# 781584, 7.00%, 05/15/32 | 31,358 | ||||||
2,499,324 | PL# 781804, 6.00%, 09/15/34 | 2,561,657 | ||||||
2,225,654 | PL# 781847, 6.00%, 12/15/34 | 2,280,981 | ||||||
2,176,588 | PL# 781902, 6.00%, 02/15/35 | 2,230,578 | ||||||
5,514,321 | PL# 80916, 4.75%, 05/20/34 | 5,515,312 | ||||||
29,082,288 | ||||||||
Resolution Funding Strips — 0.1% | ||||||||
1,200,000 | Zero coupon, 07/15/18 | 748,287 | ||||||
1,200,000 | Zero coupon, 10/15/18 | 738,973 | ||||||
1,487,260 | ||||||||
Total US Government Agency Securities (Cost $952,558,010) | 966,854,678 | |||||||
Corporate Bonds and Notes — 50.6% | ||||||||
Automobiles/Motor Vehicles, Automotive Equipment and Repairs — 0.0% | ||||||||
280,000 | Daimler Chrysler NA Holding, 4.05%, 06/04/08 | 278,951 | ||||||
Banks and Financial Services — 14.6% | ||||||||
390,000 | American Real Estate Partners, LP/American Real Estate Finance Corp., 8.13%, 06/01/12 | 379,763 | ||||||
85,000 | BAC Capital Trust XI, 6.63%, 05/23/36 | 82,955 | ||||||
3,000,000 | Bank of America Corp., 7.80%, 09/15/16 | 3,405,813 | ||||||
4,550,000 | Bank of America Corp., 6.00%, 09/01/17 | 4,657,089 | ||||||
14,740,000 | Bank of America Corp., 5.75%, 12/01/17 | 14,801,466 | ||||||
3,025,000 | Bank of America NA, 5.30%, 03/15/17 | 2,946,710 | ||||||
2,550,000 | Bank of America NA, Series BKNT, 6.10%, 06/15/17 | 2,610,728 | ||||||
2,000,000 | BankBoston NA, Series BKNT, 6.38%, 03/25/08 | 2,003,042 | ||||||
7,265,000 | Barclays Bank PLC — 144A (United Kingdom), Variable Rate, 7.43%, perpetual (1) | 7,562,691 | ||||||
7,125,000 | Citigroup Capital XXI, Variable Rate, 8.30%, 12/21/57 (1) | 7,460,972 | ||||||
9,050,000 | Citigroup, Inc., 3.50%, 02/01/08 | 9,038,543 | ||||||
14,330,000 | Citigroup, Inc., 3.63%, 02/09/09 (5) | 14,141,661 | ||||||
820,000 | Citigroup, Inc., 6.20%, 03/15/09 | 831,502 | ||||||
3,980,000 | Citigroup, Inc., 4.13%, 02/22/10 | 3,923,735 | ||||||
6,700,000 | Citigroup, Inc., 5.30%, 10/17/12 | 6,794,282 | ||||||
3,300,000 | Citigroup, Inc., 5.88%, 05/29/37 | 3,090,117 | ||||||
8,220,000 | Credit Suisse (Guernsey), Variable Rate, 5.86%, perpetual (1) (5) | 7,371,318 | ||||||
8,225,000 | Eksportfinans ASA, Series MTN (Norway), 3.38%, 01/15/08 | 8,217,285 | ||||||
14,675,000 | General Electric Capital Corp., 5.00%, 11/15/11 | 14,865,715 | ||||||
5,375,000 | General Electric Capital Corp., Variable Rate, 6.38%, 11/15/67 (1) | 5,559,733 | ||||||
5,820,000 | General Electric Capital Corp., Series GMTN, 6.15%, 08/07/37 | 6,205,045 | ||||||
5,680,000 | General Electric Capital Corp., Series MTN, 5.00%, 04/10/12 | 5,755,436 | ||||||
3,230,000 | Goldman Sachs Capital II, Variable Rate, 5.79%, perpetual (1) | 2,878,450 | ||||||
13,605,000 | Goldman Sachs Group, Inc., 5.25%, 10/15/13 | 13,626,455 | ||||||
2,850,000 | HBOS Treasury Services PLC — 144A (United Kingdom), 3.75%, 09/30/08 | 2,829,571 | ||||||
2,925,000 | HSBC Finance Corp., 6.50%, 11/15/08 | 2,957,731 | ||||||
1,495,000 | JPMorgan Chase & Company, 3.63%, 05/01/08 | 1,486,721 | ||||||
2,100,000 | JPMorgan Chase & Company, 5.75%, 10/15/08 | 2,111,804 | ||||||
1,100,000 | JPMorgan Chase & Company, 7.00%, 11/15/09 | 1,146,957 | ||||||
7,750,000 | JPMorgan Chase Bank NA, Series BKNT, 6.00%, 07/05/17 | 7,861,941 | ||||||
1,945,000 | JPMorgan Chase Bank NA, Series BKNT, 6.00%, 10/01/17 | 1,981,733 | ||||||
10,250,000 | JPMorgan Chase Capital XXV, 6.80%, 10/01/37 | 9,885,705 | ||||||
630,000,000 | Kreditanstalt für Wiederaufbau (Germany), Series EMTN, Floating Rate, 0.66%, 08/08/11 (2)(17) | 5,642,350 |
94
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2007
Principal | Value | |||||||
Corporate Bonds and Notes (continued) | ||||||||
Banks and Financial Services (continued) | ||||||||
$ | 1,015,000 | Lehman Brothers Capital Trust VII, Series MTN, Variable Rate, 5.86%, perpetual(1) | $ | 905,466 | ||||
4,400,000 | Lehman Brothers Holdings, Inc., Series MTN, 5.25%, 02/06/12 | 4,357,703 | ||||||
6,030,000 | Lehman Brothers Holdings, Inc., Series MTN, 6.00%, 07/19/12 | 6,146,005 | ||||||
2,400,000 | Lehman Brothers Holdings, Inc., Series MTN, 5.50%, 04/04/16 | 2,300,162 | ||||||
6,650,000 | Lehman Brothers Holdings, Inc., Series MTN, 6.75%, 12/28/17 | 6,866,564 | ||||||
3,800,000 | Lehman Brothers Holdings, Inc., Series MTN, 7.00%, 09/27/27 | 3,867,142 | ||||||
3,175,000 | Mellon Capital IV, Series 1, Variable Rate, 6.24%, perpetual (1) | 2,949,581 | ||||||
7,310,000 | Morgan Stanley, 5.05%, 01/21/11 | 7,314,284 | ||||||
425,000 | Morgan Stanley, 6.75%, 04/15/11 | 445,787 | ||||||
17,410,000 | Morgan Stanley, Floating Rate, 5.49%, 01/09/12 (2) | 16,840,013 | ||||||
8,710,000 | Morgan Stanley, Series MTN, 6.25%, 08/28/17 | 8,870,560 | ||||||
1,950,000 | Morgan Stanley, Series MTNF, 5.55%, 04/27/17 | 1,904,986 | ||||||
355,000 | Nationwide Building Society — 144A (United Kingdom), 4.25%, 02/01/10 | 354,853 | ||||||
6,450,000 | Royal Bank of Scotland Group PLC — 144A (United Kingdom), Variable Rate, 6.99%, perpetual (1) | 6,441,834 | ||||||
3,365,000 | SLM Corp., Series MTN, 5.40%, 10/25/11 | 3,069,412 | ||||||
2,000,000 | SunTrust Banks, Inc., 4.00%, 10/15/08 | 1,987,450 | ||||||
1,535,000 | SunTrust Banks, Inc., Series CD, 4.42%, 06/15/09 | 1,524,419 | ||||||
2,125,000 | SunTrust Capital VIII, Variable Rate, 6.10%, 12/01/66 (1) | 1,773,854 | ||||||
2,150,000 | The Bank of New York Company, Inc., Series BKNT, 3.80%, 02/01/08 | 2,149,301 | ||||||
4,700,000 | The Bear Stearns Companies, Inc., 6.40%, 10/02/17 | 4,549,031 | ||||||
7,565,000 | The Bear Stearns Companies, Inc., Series MTN, 6.95%, 08/10/12 | 7,785,928 | ||||||
1,000,000 | The Bear Stearns Companies, Inc., Series MTNB, 4.55%, 06/23/10 | 967,517 | ||||||
2,475,000 | TIAA Global Markets — 144A, 3.88%, 01/22/08 | 2,474,666 | ||||||
467,000,000 | Toyota Motor Credit Corp., 0.75%, 06/09/08 (17) | 4,176,882 | ||||||
10,780,000 | UBS AG Stamford Branch, Series DPNT (Switzerland), 5.88%, 12/20/17 | 10,876,255 | ||||||
980,000 | UBS Preferred Funding Trust I, Variable Rate, 8.62%, perpetual (1) | 1,056,669 | ||||||
4,315,000 | US Bank NA, Series BKNT, 4.40%, 08/15/08 | 4,298,159 | ||||||
540,000 | Wachovia Bank NA, Series BKNT, 4.38%, 08/15/08 | 536,945 | ||||||
11,100,000 | Wachovia Bank NA, Series BKNT, 6.60%, 01/15/38 | 11,192,186 | ||||||
2,340,000 | Wachovia Corp., 6.30%, 04/15/08 | 2,344,418 | ||||||
2,760,000 | Wells Fargo & Company, 4.20%, 01/15/10 | 2,743,882 | ||||||
4,090,000 | Wells Fargo & Company, 4.63%, 08/09/10 | 4,095,652 | ||||||
4,525,000 | Wells Fargo & Company, 4.88%, 01/12/11 | 4,589,033 | ||||||
2,895,000 | ZFS Finance USA Trust V — 144A, Variable Rate, 6.50%, 05/09/37 (1) | 2,677,169 | ||||||
328,548,787 | ||||||||
Broadcast Services/Media — 1.1% | ||||||||
5,374,000 | Comcast Cable Communications Holdings, 8.38%, 03/15/13 | 6,035,421 | ||||||
1,800,000 | Comcast Cable Communications, Inc., 6.75%, 01/30/11 | 1,883,174 | ||||||
965,000 | Comcast Corp., 7.05%, 03/15/33 | 1,057,373 | ||||||
7,250,000 | Comcast Corp., 6.95%, 08/15/37 | 7,850,345 | ||||||
465,000 | Cox Communications, Inc., 7.75%, 11/01/10 | 496,304 | ||||||
475,000 | CSC Holdings, Inc., Series B, 8.13%, 07/15/09 | 483,906 | ||||||
555,000 | CSC Holdings, Inc., Series B, 8.13%, 08/15/09 | 566,100 | ||||||
1,070,000 | News America Holdings, 7.63%, 11/30/28 | 1,188,960 | ||||||
260,000 | News America, Inc., 7.28%, 06/30/28 | 280,175 |
95
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2007
Principal | Value | |||||||
Corporate Bonds and Notes (continued) | ||||||||
Broadcast Services/Media (continued) | ||||||||
$ | 1,675,000 | TCI Communications, Inc., 7.13%, 02/15/28 | $ | 1,746,228 | ||||
725,000 | Time Warner Entertainment, 8.38%, 07/15/33 | 875,895 | ||||||
1,910,000 | Time Warner, Inc., 7.57%, 02/01/24 | 2,076,422 | ||||||
24,540,303 | ||||||||
Computer Equipment, Software and Services — 0.2% | ||||||||
4,415,000 | International Business Machines Corp., 5.70%, 09/14/17 | 4,572,545 | ||||||
Construction Services and Supplies — 0.1% | ||||||||
2,875,000 | Belvoir Land LLC — 144A, 5.40%, 12/15/47 | 2,547,998 | ||||||
Electronics — 0.0% | ||||||||
155,000 | L-3 Communications Corp., Series B, 6.38%, 10/15/15 | 153,450 | ||||||
Environmental Waste Management and Recycling Services — 0.0% | ||||||||
715,000 | Aleris International, Inc., 9.00%, 12/15/14 (12) | 600,600 | ||||||
Food and Beverage — 0.6% | ||||||||
6,445,000 | Kraft Foods, Inc., 6.50%, 08/11/17 | 6,679,534 | ||||||
5,675,000 | Kraft Foods, Inc., 6.13%, 02/01/18 | 5,729,054 | ||||||
12,408,588 | ||||||||
Insurance — 1.4% | ||||||||
1,775,000 | ASIF Global Financial XXIII — 144A, 3.90%, 10/22/08 | 1,754,875 | ||||||
2,850,000 | Berkshire Hathaway Finance Corp., 3.38%, 10/15/08 | 2,825,325 | ||||||
2,815,000 | Berkshire Hathaway Finance Corp., 4.13%, 01/15/10 | 2,826,527 | ||||||
3,800,000 | Chubb Corp., Variable Rate, 6.38%, 03/29/37 (1) | 3,712,953 | ||||||
5,355,000 | Hartford Life Global Funding, Series MTN, Floating Rate, 5.16%, 09/15/09 (2) | 5,350,218 | ||||||
4,455,000 | MetLife, Inc., 6.40%, 12/15/36 | 4,095,718 | ||||||
1,600,000 | New York Life Global Funding — 144A, 3.88%, 01/15/09 | 1,591,117 | ||||||
3,595,000 | Progressive Corp., Variable Rate, 6.70%, 06/15/37 (1) | 3,343,152 | ||||||
2,150,000 | Reinsurance Group of America, Inc., Variable Rate, 6.75%, 12/15/65 (1) | 1,934,607 | ||||||
4,125,000 | The Travelers Companies, Inc., Variable Rate, 6.25%, 03/15/37 (1) | 3,874,967 | ||||||
31,309,459 | ||||||||
Machinery — 0.1% | ||||||||
2,150,000 | Atlantic Marine, Inc. — 144A, 5.34%, 12/01/50 | 1,963,660 | ||||||
Medical Equipment, Supplies, and Services — 0.5% | ||||||||
8,175,000 | Amgen, Inc. — 144A, Floating Rate, 5.13%, 11/28/08 (2) | 8,167,275 | ||||||
3,600,000 | WellPoint, Inc., 5.95%, 12/15/34 | 3,399,667 | ||||||
11,566,942 | ||||||||
Metals and Mining — 0.4% | ||||||||
730,000 | AK Steel Corp., 7.75%, 06/15/12 | 737,300 | ||||||
1,695,000 | Freeport-McMoRan Copper & Gold, Inc., 8.25%, 04/01/15 | 1,800,938 | ||||||
3,080,000 | Freeport-McMoRan Copper & Gold, Inc., 8.38%, 04/01/17 | 3,311,000 | ||||||
1,999,000 | Ispat Inland ULC (Canada), 9.75%, 04/01/14 | 2,166,478 | ||||||
8,015,716 | ||||||||
Oil, Coal and Gas — 0.9% | ||||||||
2,965,000 | Arch Western Finance, 6.75%, 07/01/13 | 2,890,875 | ||||||
270,000 | Colorado Interstate Gas, 6.80%, 11/15/15 | 282,409 | ||||||
120,000 | Compton Petroleum Finance Corp. (Canada), 7.63%, 12/01/13 | 112,200 | ||||||
1,425,000 | Consolidated Natural Gas, Series A, 5.00%, 03/01/14 | 1,383,830 | ||||||
365,000 | El Paso Natural Gas, 8.63%, 01/15/22 | 422,403 | ||||||
15,000 | El Paso Natural Gas, 8.38%, 06/15/32(5) | 17,646 | ||||||
2,600,000 | Enterprise Products Operating LP, 4.95%, 06/01/10 | 2,603,193 | ||||||
3,680,000 | Gaz Capital (Gazprom) — 144A (Russia), 7.29%, 08/16/37 | 3,732,624 | ||||||
190,000 | KCS Energy, Inc., 7.13%, 04/01/12 | 183,825 | ||||||
1,795,000 | Petrobras International Finance Company (Cayman Islands), 5.88%, 03/01/18 | 1,794,103 |
96
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2007
Principal | Value | |||||||
Corporate Bonds and Notes (continued) | ||||||||
Oil, Coal and Gas (continued) | ||||||||
$ | 2,690,000 | Sabine Pass LNG, LP, 7.50%, 11/30/16 | $ | 2,582,400 | ||||
665,000 | Tennessee Gas Pipeline Company, 7.00%, 10/15/28 | 674,631 | ||||||
3,400,000 | XTO Energy, Inc., 6.75%, 08/01/37 | 3,659,070 | ||||||
20,339,209 | ||||||||
Paper and Forest Products — 0.1% | ||||||||
365,000 | Bowater Canada Finance Corp. (Canada), 7.95%, 11/15/11 | 296,563 | ||||||
400,000 | Catalyst Paper Corp., Series D (Canada), 8.63%, 06/15/11 | 334,000 | ||||||
1,915,000 | Georgia-Pacific Corp. — 144A, 7.13%, 01/15/17 | 1,871,912 | ||||||
2,502,475 | ||||||||
Pharmaceuticals/Research and Development — 0.4% | ||||||||
170,000 | Bio-Rad Laboratories, Inc., 7.50%, 08/15/13 | 172,550 | ||||||
530,000 | Bio-Rad Laboratories, Inc., 6.13%, 12/15/14 | 512,775 | ||||||
600,000 | Bristol-Myers Squibb, 6.88%, 08/01/97 | 635,923 | ||||||
766,000,000 | Pfizer, Inc., Series INTL, 0.80%, 03/18/08(17) | 6,852,942 | ||||||
1,580,000 | Wyeth, 6.00%, 02/15/36 | 1,585,225 | ||||||
9,759,415 | ||||||||
Printing and Publishing — 0.0% | ||||||||
1,070,000 | Idearc, Inc., 8.00%, 11/15/16 | 987,075 | ||||||
Private Asset Backed: Automobiles/Motor Vehicles, Automotive Equipment and Repairs — 1.5% | ||||||||
3,556,467 | Daimler Chrysler Auto Trust, Series 2005-B, Class A3, 4.04%, 09/08/09 | 3,553,213 | ||||||
11,740,976 | Daimler Chrysler Auto Trust, Series 2006-B, Class A3, 5.33%, 08/08/10 | 11,780,300 | ||||||
18,911,000 | Nissan Auto Receivables Owner Trust, Series 2006-B, Class A4, 5.22%, 11/15/11 | 19,148,669 | ||||||
34,482,182 | ||||||||
Private Asset Backed: Banks and Financial Services — 3.0% | ||||||||
3,394,098 | Banc of America Alternative Loan Trust, Series 2004-7, Class 4A1, 5.00%, 08/25/19 | 3,332,556 | ||||||
2,805,000 | Greenwich Capital Commercial Funding Corp., Series 2004-GG1, Class A4, 4.76%, 06/10/36 | 2,813,623 | ||||||
11,200,000 | Greenwich Capital Commercial Funding Corp., Series 2005-GG3, Class A3, 4.57%, 08/10/42 | 10,968,322 | ||||||
2,689,165 | Morgan Stanley Capital I, Series 1999-FNV1, Class A2, 6.53%, 03/15/31 | 2,713,360 | ||||||
7,875,000 | Morgan Stanley Capital I, Series 2007-IQ15, Class AM, Floating Rate, 5.88%, 07/11/17(3) | 8,013,567 | ||||||
7,440,000 | Morgan Stanley Capital I, Series 2007-IQ16, Class A4, 5.81%, 10/12/17 | 7,672,099 | ||||||
2,884,015 | SLM Student Loan Trust, Series 2005-5, Class A1, Floating Rate, 5.08%, 01/25/18(2) | 2,885,310 | ||||||
14,200,000 | SLM Student Loan Trust, Series 2005-6, Class A5B, Floating Rate, 5.09%, 07/27/26(2) | 14,193,781 | ||||||
14,030,000 | Washington Mutual Asset Securities Corp. — 144A, Series 2005-C1A, Class A2, 5.15%, 05/25/36 | 14,045,159 | ||||||
66,637,777 | ||||||||
Private Asset Backed: Credit Cards — 3.4% | ||||||||
14,000,000 | American Express Credit Account Master Trust, Series 2005-3, Class A, Floating Rate, 5.03%, 01/18/11(3) | 13,998,113 | ||||||
34,800,000 | Chase Issuance Trust, Series 2007-A17, Class A, 5.12%, 10/15/14 | 35,682,591 | ||||||
15,125,000 | Citibank Credit Card Issuance Trust, Series 2006-A2, Class A2, 4.85%, 02/10/11 | 15,219,023 | ||||||
11,500,000 | MBNA Credit Card Master Note Trust, Series 2003-A6, Class A6, 2.75%, 10/15/10 | 11,418,382 | ||||||
76,318,109 | ||||||||
Private Asset Backed: Mortgage and Home Equity — 19.1% | ||||||||
1,552,609 | ACE Securities Corp., Series 2006-HE1, Class A2A, Floating Rate, 4.95%, 02/25/36(3) | 1,546,370 |
97
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2007
Principal | Value | |||||||
Corporate Bonds and Notes (continued) | ||||||||
Private Asset Backed: Mortgage and Home Equity (continued) | ||||||||
$ | 11,960,000 | Banc of America Commercial Mortgage, Inc., Series 2000-1, Class A2A, 7.33%, 11/15/31 | $ | 12,367,134 | ||||
8,201,046 | Banc of America Commercial Mortgage, Inc., Series 2001-1, Class A2, 6.50%, 04/15/36 | 8,561,790 | ||||||
16,715,000 | Banc of America Commercial Mortgage, Inc., Series 2002-2, Class A3, 5.12%, 07/11/43 | 16,926,716 | ||||||
11,170,000 | Banc of America Commercial Mortgage, Inc., Series 2002-PB2, Class A4, 6.19%, 06/11/35 | 11,721,969 | ||||||
13,250,000 | Banc of America Commercial Mortgage, Inc., Series 2007-2, Class A4, Floating Rate, 5.69%, 04/10/49(3) | 13,622,514 | ||||||
437,356 | Bear Stearns Commercial Mortgage Securities, Inc., Series 2001, Class A1, 6.08%, 02/15/35 | 442,649 | ||||||
2,545,000 | Bear Stearns Commercial Mortgage Securities, Inc., Series 2005-PWR8, Class A4, 4.67%, 06/11/41 | 2,436,026 | ||||||
3,475,000 | Chase Commercial Mortgage Securities Corp., Series 2000-3, Class A2, 7.32%, 10/15/32 | 3,664,574 | ||||||
4,647,000 | Citigroup Commercial Mortgage Trust, Series 2007-C6, Class A4, 5.70%, 12/10/49 | 4,787,747 | ||||||
13,168,307 | Citigroup Mortgage Loan Trust, Inc., Series 2005-4, Class A, Floating Rate, 5.34%, 08/25/35(3) | 12,795,869 | ||||||
5,797,169 | Citigroup Mortgage Loan Trust, Inc., Series 2007-AMC3, Class A2A, Floating Rate, 4.98%, 03/25/37(3) | 5,535,951 | ||||||
818,931 | Countrywide Asset-Backed Certificates, Series 2004-13, Class AV4, Floating Rate, 5.16%, 06/25/35(3) | 789,587 | ||||||
9,451,608 | Countrywide Home Loans, Series 2007-16, Class A1, 6.50%, 10/25/37 | 9,593,963 | ||||||
19,090,149 | Credit Suisse First Boston Mortgage Securities Corp., Series 1998-C2, Class A2, 6.30%, 11/15/30 | 19,204,592 | ||||||
10,280,000 | Credit Suisse First Boston Mortgage Securities Corp., Series 2002-CKS4, Class A2, 5.18%, 11/15/36 | 10,417,049 | ||||||
13,110,000 | Credit Suisse First Boston Mortgage Securities Corp., Series 2003-C3, Class A5, 3.94%, 05/15/38 | 12,527,725 | ||||||
3,696,359 | Credit Suisse Mortgage Capital Certificates, Series 2006-3, Class 1A1A, Floating Rate, 4.96%, 04/25/36(3) | 3,689,065 | ||||||
4,380,601 | DLJ Commercial Mortgage Corp., Series 2000-CKP1, Class A1B, 7.18%, 11/10/33 | 4,617,463 | ||||||
4,577,530 | Fieldstone Mortgage Investment Corp., Series 2006-1, Class A1, Floating Rate, 4.95%, 05/25/36(3) | 4,531,096 | ||||||
3,463,061 | First Franklin Mortgage Loan Asset Backed Certificates, Series 2006-FF4, Class A1, Floating Rate, 4.93%, 03/25/36(3) | 3,432,412 | ||||||
12,570,000 | First Union National Bank Commercial Mortgage, Series 2001-C2, Class A2, 6.66%, 01/12/43 | 13,236,622 | ||||||
10,380,000 | GE Capital Commercial Mortgage Corp., Series 2002-1A, Class A3, 6.27%, 12/10/35 | 10,940,008 | ||||||
11,875,000 | GE Capital Commercial Mortgage Corp., Series 2002-2A, Class A3, 5.35%, 08/11/36 | 12,123,519 | ||||||
5,825,824 | GMAC Commercial Mortgage Securities, Inc., Series 1999-C2, Class A2, 6.95%, 09/15/33 | 5,956,030 | ||||||
5,597,738 | GMAC Commercial Mortgage Securities, Inc., Series 1999-C3, Class A2, 7.18%, 08/15/36 | 5,771,918 | ||||||
3,175,000 | GS Mortgage Securities Corp. II, Series 2005-GG4, Class A4A, 4.75%, 07/10/39 | 3,048,420 | ||||||
5,027,000 | GS Mortgage Securities Corp. II, Series 2005-GG4, Class AJ, 4.78%, 07/10/39 | 4,578,792 | ||||||
9,062,644 | GSR Mortgage Loan Trust, Series 2005-AR4, Class 6A1, 5.25%, 07/25/35 | 8,720,847 | ||||||
9,968,156 | Harborview Mortgage Loan Trust, Series 2006-11, Class A1A, Floating Rate, 5.14%, 12/19/36(3) | 9,408,237 |
98
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2007
Principal | Value | |||||||
Corporate Bonds and Notes (continued) | ||||||||
Private Asset Backed: Mortgage and Home Equity (continued) | ||||||||
$ | 10,490,000 | JPMorgan Chase Commercial Mortgage Securities Corp., Series 2001-C1, Class A3, 5.86%, 10/12/35 | $ | 10,873,528 | ||||
6,650,000 | JPMorgan Chase Commercial Mortgage Securities Corp., Series 2001-CIB2, Class A3, 6.43%, 04/15/35 | 6,993,885 | ||||||
9,176,671 | JPMorgan Chase Commercial Mortgage Securities Corp., Series 2001-CIBC, Class A3, 6.26%, 03/15/33 | 9,525,470 | ||||||
9,350,000 | JPMorgan Chase Commercial Mortgage Securities Corp., Series 2005-CB12, Class A4, 4.90%, 09/12/37 | 9,063,989 | ||||||
1,665,000 | JPMorgan Chase Commercial Mortgage Securities Corp., Series 2006-CB17, Class A4, 5.43%, 12/12/43 | 1,677,385 | ||||||
12,770,000 | JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-CB20, Class A4, 5.79%, 02/12/51 | 13,155,962 | ||||||
16,786,534 | JPMorgan Mortgage Trust, Series 2006-A2, Class 4A1, Floating Rate, 3.89%, 08/25/34(3) | 16,628,660 | ||||||
7,056,270 | LB Commercial Conduit Mortgage Trust, Series 1998-C4, Class A1B, 6.21%, 10/15/35 | 7,084,656 | ||||||
12,914,117 | LB-UBS Commercial Mortgage Trust, Series 2000-C3, Class A2, 7.95%, 05/15/25 | 13,643,448 | ||||||
6,065,080 | LB-UBS Commercial Mortgage Trust, Series 2000-C4, Class A2, 7.37%, 08/15/26 | 6,395,801 | ||||||
7,395,000 | LB-UBS Commercial Mortgage Trust, Series 2003-C7, Class A3, 4.56%, 09/15/27 | 7,376,793 | ||||||
9,100,000 | LB-UBS Commercial Mortgage Trust, Series 2004-C8, Class A4, 4.51%, 12/15/29 | 9,032,035 | ||||||
11,910,000 | LB-UBS Commercial Mortgage Trust, Series 2006-C7, Class A3, 5.35%, 11/15/38 | 11,937,039 | ||||||
9,658,000 | LB-UBS Commercial Mortgage Trust, Series 2007-C2, Class A3, 5.43%, 02/15/40 | 9,719,285 | ||||||
1,349,606 | New Century Home Equity Loan Trust, Series 2006-1, Class A2A, Floating Rate, 4.93%, 05/25/36 (3) | 1,347,138 | ||||||
8,152,699 | Popular ABS Mortgage Pass-Through Trust, Series 2006-D, Class A1, Floating Rate, 4.93%, 11/25/46 (3) | 7,995,651 | ||||||
1,058,265 | Residential Asset Mortgage Products, Inc., Series 2006-RS2, Class A1, Floating Rate, 4.95%, 03/25/36 (3) | 1,056,525 | ||||||
10,133,682 | Residential Asset Securitization Trust, Series 2005-A14, Class A4, 5.50%, 12/25/35 | 10,133,351 | ||||||
7,700,558 | Salomon Brothers Mortgage Securities VII, Series 1999-C1, Class A2, Floating Rate, 7.07%, 05/18/32 (3) | 7,782,337 | ||||||
9,099,504 | Salomon Brothers Mortgage Securities VII, Series 2001-C2, Class A3, 6.50%, 10/13/11 | 9,572,221 | ||||||
1,300,932 | Structured Asset Investment Loan Trust, Series 2006-2, Class A1, Floating Rate, 4.93%, 04/25/36 (3) | 1,292,301 | ||||||
16,230,000 | Wachovia Bank Commercial Mortgage Trust, Series 2007-C33, Class A4, Floating Rate, 5.90%, 02/15/51 (3) | 16,978,906 | ||||||
400,000 | Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR4, Class 2A4, Floating Rate, 5.77%, 04/25/36 (3) | 394,247 | ||||||
426,657,267 | ||||||||
Private Asset Backed: Other — 0.2% | ||||||||
3,997,588 | Structured Asset Securities Corp. — 144A, Series 2003-AL2, Class A, 3.36%, 01/25/31 | 3,663,068 | ||||||
Private Asset Backed: Utilities — 0.4% | ||||||||
8,000,000 | Peco Energy Transition Trust, Series 2000-A, Class A4, 7.65%, 03/01/10 | 8,385,074 | ||||||
Real Estate Development and Services — 0.2% | ||||||||
4,045,000 | American Real Estate Partners LP — 144A, 7.13%, 02/15/13 | 3,822,525 | ||||||
Real Estate Investment Trusts — 0.3% | ||||||||
910,000 | AvalonBay Communities, Series MTN, 6.63%, 09/15/11 | 951,220 | ||||||
725,000 | The Rouse Company, 3.63%, 03/15/09 | 694,375 |
99
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2007
Principal | Value | |||||||
Corporate Bonds and Notes (continued) | ||||||||
Real Estate Investment Trusts (continued) | ||||||||
$ | 4,135,000 | The Rouse Company, 5.38%, 11/26/13 | $ | 3,591,851 | ||||
2,200,000 | The Rouse Company/TRC Co-issuer, Inc — 144A, 6.75%, 05/01/13 | 2,054,672 | ||||||
7,292,118 | ||||||||
Semiconductors — 0.0% | ||||||||
1,195,000 | Momentive Performance Materials — 144A, 10.13%, 12/01/14 | 1,099,400 | ||||||
Telecommunications Equipment and Services — 1.6% | ||||||||
625,000 | America Movil SA de CV (Mexico), 6.38%, 03/01/35 | 621,138 | ||||||
10,025,000 | AT&T, Inc., 6.50%, 09/01/37 (6) | 10,518,180 | ||||||
810,000 | Cincinnati Bell, Inc., 7.25%, 07/15/13 | 816,075 | ||||||
800,000 | Citizens Communications Company, 6.25%, 01/15/13 | 779,000 | ||||||
2,350,000 | New England Telephone & Telegraph, 7.88%, 11/15/29 | 2,697,807 | ||||||
970,000 | New Jersey Bell Telephone, 7.85%, 11/15/29 | 1,110,774 | ||||||
2,755,000 | Qwest Communications International, Inc., 7.50%, 02/15/14 | 2,761,888 | ||||||
755,000 | Qwest Communications International, Inc., Series B, 7.50%, 02/15/14 | 756,888 | ||||||
675,000 | Qwest Corp., Floating Rate, 8.24%, 06/15/13(2) | 691,875 | ||||||
890,000 | Rogers Wireless, Inc. (Canada), 7.50%, 03/15/15 | 974,656 | ||||||
1,950,000 | Sprint Nextel Corp., 6.00%, 12/01/16 | 1,870,855 | ||||||
1,725,000 | Telecom Italia Capital (Luxembourg), 5.25%, 10/01/15 | 1,683,215 | ||||||
555,000 | Telecom Italia Capital (Luxembourg), 6.00%, 09/30/34 | 541,451 | ||||||
75,000 | Telefonica Emisiones SAU (Spain), 6.42%, 06/20/16 | 79,056 | ||||||
2,950,000 | Telefonica Emisiones SAU (Spain), 7.05%, 06/20/36 | 3,308,230 | ||||||
850,000 | Telefonica Europe BV (the Netherlands), 7.75%, 09/15/10 | 910,354 | ||||||
215,000 | Verizon Maryland, Inc., Series B, 5.13%, 06/15/33 | 185,916 | ||||||
1,470,000 | Vodafone Group PLC (United Kingdom), 5.00%, 12/16/13 | 1,447,040 | ||||||
500,000 | Vodafone Group PLC (United Kingdom), 5.00%, 09/15/15 | 482,648 | ||||||
890,000 | Wind Acquisition Finance SA — 144A (Luxembourg), 10.75%, 12/01/15 | 974,550 | ||||||
1,375,000 | Windstream Corp., 8.13%, 08/01/13 | 1,430,000 | ||||||
1,750,000 | Windstream Corp., 8.63%, 08/01/16 | 1,846,250 | ||||||
36,487,846 | ||||||||
Transportation — 0.0% | ||||||||
560,000 | Overseas Shipholding Group, 7.50%, 02/15/24 | 538,300 | ||||||
Utilities — 0.5% | ||||||||
335,159 | AES Ironwood LLC, 8.86%, 11/30/25 | 368,675 | ||||||
235,000 | AES Red Oak LLC, Series B, 9.20%, 11/30/29 | 262,025 | ||||||
2,735,000 | Centerpoint Energy, Inc., Series B, 7.25%, 09/01/10 | 2,899,915 | ||||||
282,824 | Elwood Energy LLC, 8.16%, 07/05/26 | 284,144 | ||||||
1,000,000 | Florida Power & Light, 5.63%, 04/01/34 | 971,604 | ||||||
82,450 | Homer City Funding LLC, 8.73%, 10/01/26 | 90,283 | ||||||
438,270 | Midwest Generation LLC, Series B, 8.56%, 01/02/16 | 467,853 | ||||||
560,000 | NRG Energy, Inc., 7.38%, 02/01/16 | 547,400 | ||||||
200,000 | Suncor Energy, Inc. (Canada), 6.50%, 06/15/38 | 214,579 | ||||||
4,355,000 | Texas Competitive Electric Holdings Company LLC — 144A, 10.25%, 11/01/15 | 4,333,224 | ||||||
10,439,702 | ||||||||
Total Corporate Bonds and Notes (Cost $1,140,242,826) | 1,135,918,541 | |||||||
Shares | ||||||||
Preferred Stocks — 2.4% | ||||||||
Banks and Financial Services — 2.3% | ||||||||
678,250 | Fannie Mae, Variable Rate, 8.25% (1) | 17,464,938 | ||||||
483,700 | Freddie Mac, Series Z, Variable Rate, 8.38% (1)(4) | 12,648,755 | ||||||
850,000 | Wachovia Corp., 8.00% | 21,504,999 | ||||||
51,618,692 | ||||||||
100
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2007
Shares | Value | |||||||
Preferred Stocks (continued) | ||||||||
Insurance — 0.1% | ||||||||
2,350,000 | Lincoln National Corp., Variable Rate, 7.00%, 05/17/66 (1) | $ | 2,363,153 | |||||
Total Preferred Stocks (Cost $52,801,330) | 53,981,845 | |||||||
Principal | ||||||||
Foreign Government Obligations — 1.2% | ||||||||
$ | 9,700,000 | AID-Israel (Israel), 5.50%, 09/18/23 | 10,465,659 | |||||
2,975,000 | Bundesrepublik Deutschland, (Germany), Series 07, 4.25%, 07/04/39 (16) | 4,103,851 | ||||||
2,930,000 | Province of Manitoba (Canada), 6.38%, 09/01/15 (18) | 2,056,970 | ||||||
3,365,000 | Province of Ontario, Series GMTN (Canada), 6.25%, 06/16/15 (18) | 2,356,540 | ||||||
4,400,000 | Republic of Argentina (Argentina), Floating Rate, 5.39%, 08/03/12 (11) | 3,986,400 | ||||||
3,900,000 | Republic of Colombia, Series MTN, (Colombia), 7.38%, 09/18/37 | 4,348,500 | ||||||
Total Foreign Government Obligations (Cost $26,816,933) | 27,317,920 | |||||||
Contracts | ||||||||
Purchased Call Options — 0.4% | ||||||||
69,900,000 | Expiring 08/09/10. If exercised the Series receives 5.78%, and pays floating 3 month LIBOR, expiring 08/11/20, European Style | 4,990,860 | ||||||
45,500,000 | Expiring 08/16/10. If exercised the Series receives 5.79%, and pays floating 3 month LIBOR, expiring 08/18/20, European Style | 3,266,445 | ||||||
Total Purchased Call Options (Cost $4,474,420) | 8,257,305 | |||||||
Purchased Put Options — 0.1% | ||||||||
69,900,000 | Expiring 08/09/10. If exercised the Series receives floating 3 month LIBOR, and pays 5.78%, expiring 08/11/20, European Style | 1,796,430 | ||||||
45,500,000 | Expiring 08/16/10. If exercised the Series receives floating 3 month LIBOR, and pays 5.79%, expiring 08/18/20, European Style | 1,166,620 | ||||||
Total Purchased Put Options (Cost $4,474,420) | 2,963,050 | |||||||
Principal | ||||||||
Securities Lending Collateral — 0.9% | ||||||||
$ | 20,483,129 | Securities Lending Collateral Investment (Note 4) (Cost $20,483,129) | 20,483,129 | |||||
Total Securities (Cost $2,281,775,217) | 2,299,237,280 | |||||||
Repurchase Agreements — 1.7% | ||||||||
39,004,146 | With State Street Bank and Trust, dated 12/31/2007, 3.80%, due 01/02/08, repurchase proceeds at maturity $39,012,380 (Collateralized by US Treasury Bill, 3.22%, due 02/28/08, with a value of $41,797,644) (Cost $39,004,146) (15) | 39,004,146 | ||||||
Total Investments before Call Options Written and Securities Sold Short — 104.0% (Cost $2,320,779,363) | 2,338,241,426 | |||||||
Contracts | ||||||||
Call Options Written — (0.0)% | ||||||||
(217 | ) | US Treasury Note (5 Year) March Future, expiring February 2008 @ 112 (Premium $123,969) | (94,937 | ) | ||||
Principal | ||||||||
Securities Sold Short — (7.5)% | ||||||||
$ | (43,000,000 | ) | Fannie Mae, TBA, 5.00%, 01/14/38 | (41,958,583 | ) | |||
(69,400,000 | ) | Fannie Mae, TBA, 6.00%, 01/14/38 | (70,473,549 | ) | ||||
(19,700,000 | ) | Fannie Mae, TBA, 6.50%, 01/14/38 | (20,250,989 | ) | ||||
(500,000 | ) | Fannie Mae, TBA, 4.50%, 01/17/23 | (492,187 | ) | ||||
(33,000,000 | ) | Fannie Mae , TBA, 5.50%, 01/17/23 | (33,427,977 | ) | ||||
(1,000,000 | ) | Fannie Mae, TBA, 6.00%, 01/17/23 | (1,023,281 | ) | ||||
Total Securities Sold Short (Proceeds $167,288,668) | (167,626,566 | ) | ||||||
Total Investments net of Call Options Written and Securities Sold Short — 96.5% (Cost $2,153,366,726) | 2,170,519,923 | |||||||
Other assets less liabilities — 3.5% | 78,359,593 | |||||||
Net Assets — 100.0% | $ | 2,248,879,516 | ||||||
Gross unrealized appreciation | $ | 39,603,994 | ||
Gross unrealized depreciation | (22,783,921 | ) | ||
Net unrealized appreciation | $ | 16,820,073 | ||
101
Principal | Value | |||||||
US Treasury Securities — 14.8% | ||||||||
US Treasury Bonds — 0.7% | ||||||||
$ | 740,000 | 8.88%, 08/15/17 | $ | 1,018,425 | ||||
550,000 | 6.13%, 11/15/27 | 666,231 | ||||||
860,000 | 4.75%, 02/15/37 (8) | 900,313 | ||||||
2,584,969 | ||||||||
US Treasury Inflation Index — 2.1% | ||||||||
99,253 | 0.88%, 04/15/10 | 98,951 | ||||||
252,617 | 2.38%, 04/15/11 | 263,393 | ||||||
470,480 | 1.63%, 01/15/15 | 472,502 | ||||||
42,964 | 1.88%, 07/15/15 | 43,806 | ||||||
126,314 | 2.00%, 01/15/16 | 129,670 | ||||||
444,839 | 2.50%, 07/15/16 | 474,519 | ||||||
145,039 | 2.38%, 01/15/17 | 153,095 | ||||||
4,284,128 | 2.63%, 07/15/17 | 4,623,845 | ||||||
199,505 | 2.38%, 01/15/25 | 209,511 | ||||||
84,210 | 2.00%, 01/15/26 | 83,894 | ||||||
1,740,463 | 2.38%, 01/15/27 | 1,841,084 | ||||||
8,394,270 | ||||||||
US Treasury Notes — 11.6% | ||||||||
2,880,000 | 3.38%, 02/15/08 | 2,881,126 | ||||||
3,340,000 | 3.75%, 05/15/08 | 3,344,960 | ||||||
11,160,000 | 3.50%, 02/15/10 | 11,260,273 | ||||||
200,000 | 4.88%, 05/31/11 | 210,844 | ||||||
2,850,000 | 4.63%, 10/31/11 | 2,987,604 | ||||||
190,000 | 4.50%, 03/31/12 | 198,639 | ||||||
4,330,000 | 4.75%, 05/31/12 (8) | 4,571,198 | ||||||
5,160,000 | 4.63%, 07/31/12 (8) | 5,419,615 | ||||||
12,890,000 | 4.13%, 08/31/12 (8) | 13,275,695 | ||||||
67,000 | 5.13%, 05/15/16 | 72,538 | ||||||
1,170,000 | 4.63%, 02/15/17 | 1,223,565 | ||||||
60,000 | 4.75%, 08/15/17 (8) | 63,389 | ||||||
45,509,446 | ||||||||
US Treasury Strips — 0.4% | ||||||||
2,995,000 | Zero coupon, 11/15/24 | 1,369,949 | ||||||
Total US Treasury Securities (Cost $55,800,598) | 57,858,634 | |||||||
US Government Agency Securities — 47.8% | ||||||||
Fannie Mae — 28.7% | ||||||||
1,287,816 | PL# 256219, 5.50%, 04/01/36 (4) | 1,273,889 | ||||||
2,629,985 | PL# 256552, 5.50%, 01/01/37 (4) | 2,627,555 | ||||||
370,370 | PL# 735809, Variable Rate, 4.47%, 08/01/35 (1) | 370,848 | ||||||
4,615,932 | PL# 745275, 5.00%, 02/01/36 (4) | 4,507,130 | ||||||
2,281,528 | PL# 745959, 5.50%, 11/01/36 (4) | 2,279,420 | ||||||
27,820 | PL# 759626, 6.00%, 02/01/34 (4) | 28,306 | ||||||
42,304 | PL# 795774, 6.00%, 10/01/34 (4) | 43,024 | ||||||
186,377 | PL# 796050, 6.00%, 08/01/34 (4) | 189,548 | ||||||
1,233,467 | PL# 796278, 6.00%, 12/01/34 (4) | 1,254,453 | ||||||
46,236 | PL# 801516, Variable Rate, 4.71%, 08/01/34 (1) | 46,546 | ||||||
525,505 | PL# 809169, 6.00%, 01/01/35 | 534,446 | ||||||
100,778 | PL# 810896, Variable Rate, 4.83%, 01/01/35 (1) | 101,605 | ||||||
23,666 | PL# 820426, 6.00%, 03/01/35 | 24,050 | ||||||
1,121,805 | PL# 888022, 5.00%, 02/01/36 | 1,095,363 | ||||||
992,497 | PL# 888893, 5.50%, 08/01/37 | 990,481 | ||||||
446,387 | PL# 893681, 6.00%, 10/01/36 | 453,463 | ||||||
791,360 | PL# 893923, 6.00%, 10/01/36 | 803,903 | ||||||
1,102,266 | PL# 894005, 6.00%, 10/01/36 | 1,119,738 | ||||||
1,487,973 | PL# 904000, 6.00%, 01/01/37 | 1,511,558 | ||||||
3,358,248 | PL# 916397, 6.50%, 05/01/37 | 3,452,588 | ||||||
1,509,330 | PL# 918653, 6.00%, 06/01/37 | 1,533,050 | ||||||
99,509 | PL# 950385, Variable Rate, 5.88%, 08/01/37 (1) | 101,691 | ||||||
10,395,539 | PL# 950694, 6.00%, 10/01/37 | 10,558,906 | ||||||
800,000 | PL# 966611, 6.00%, 12/01/37 | 812,572 | ||||||
7,100,000 | TBA, 5.50%, 01/01/23 (5) | 7,192,080 | ||||||
7,800,000 | TBA, 6.00%, 01/01/23 (5) | 7,981,592 | ||||||
44,200,000 | TBA, 5.00%, 01/01/38 (5) | 43,129,519 | ||||||
4,600,000 | TBA, 5.50%, 01/01/38 (5) | 4,594,968 | ||||||
3,200,000 | TBA, 6.00%, 01/01/38 (5) | 3,249,501 | ||||||
9,870,000 | TBA, 6.50%, 01/01/38 (5) | 10,146,053 | ||||||
112,007,846 | ||||||||
Federal Agricultural Mortgage Corp. — 0.3% | ||||||||
80,000 | 4.25%, 07/29/08 | 79,949 | ||||||
900,000 | 144A, 5.13%, 04/19/17 (5) | 924,651 | ||||||
1,004,600 | ||||||||
Federal Home Loan Bank — 0.1% | ||||||||
490,000 | 5.50%, 07/15/36 (5) | 538,527 | ||||||
Freddie Mac — 2.4% | ||||||||
106,131 | PL# 1B2694, Variable Rate, 4.37%, 12/01/34 (1)(5) | 104,832 | ||||||
883,963 | PL# 1G2201, Variable Rate, 6.13%, 09/01/37 (1)(4) | 896,100 | ||||||
358,313 | PL# 1N1447, Variable Rate, 5.81%, 02/01/37 (1)(5) | 364,538 | ||||||
2,122,372 | PL# 1N1454, Variable Rate, 5.91%, 04/01/37 (1)(5) | 2,156,198 | ||||||
737,544 | PL# 1N1463, Variable Rate, 5.97%, 05/01/37 (1)(5) | 749,619 | ||||||
981,254 | PL# 1N1582, Variable Rate, 5.94%, 05/01/37 (1)(4)(5) | 995,165 | ||||||
3,900,000 | TBA, 5.57%, 01/01/38 | 3,919,500 | ||||||
9,185,952 | ||||||||
102
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2007
Principal | Value | |||||||
US Government Agency Securities (continued) | ||||||||
Freddie Mac Gold — 10.3% | ||||||||
$ | 855,747 | PL# A39644, 5.50%, 11/01/35 (4) | $ | 854,446 | ||||
827,470 | PL# A39756, 5.00%, 11/01/35 (4) | 808,016 | ||||||
5,564,343 | PL# A66092, 6.00%, 09/01/37 (5) | 5,648,310 | ||||||
10,894,765 | PL# G02427, 5.50%, 12/01/36 (5) | 10,875,351 | ||||||
998,449 | PL# G03092, 5.50%, 07/01/37 (5) | 996,544 | ||||||
657,857 | PL# G03441, 6.00%, 10/01/37 (5) | 667,784 | ||||||
4,900,000 | PL# G03695, 5.50%, 11/01/37 (5) | 4,884,712 | ||||||
8,800,000 | PL# G03696, 5.50%, 01/01/38 (5) | 8,772,544 | ||||||
1,100,000 | PL# G03697, 6.00%, 01/01/38 (5) | 1,121,582 | ||||||
3,000,000 | PL# G03698, 6.00%, 12/01/37 (5) | 3,038,970 | ||||||
1,500,000 | TBA, 5.00%, 01/01/23 (5) | 1,501,641 | ||||||
400,000 | TBA, 5.00%, 01/01/38 (5) | 390,312 | ||||||
700,000 | TBA, 5.50%, 01/01/38 (5) | 698,578 | ||||||
40,258,790 | ||||||||
Government National Mortgage Association — 5.9% | ||||||||
609,677 | PL# 605617, 5.00%, 07/15/34 | 601,058 | ||||||
1,373,220 | PL# 612902, 5.00%, 07/15/33 | 1,353,763 | ||||||
584,221 | PL# 636084, 5.00%, 01/15/35 | 575,942 | ||||||
1,742,737 | PL# 644631, 5.00%, 09/15/35 | 1,718,042 | ||||||
3,400,000 | TBA, 5.50%, 01/01/38 (5) | 3,410,094 | ||||||
14,950,000 | TBA, 6.00%, 01/01/38 (5) | 15,307,394 | ||||||
20,000 | TBA, 6.50%, 01/01/38 (5) | 20,653 | ||||||
22,986,946 | ||||||||
Tennessee Valley Authority — 0.1% | ||||||||
440,000 | 5.98%, 04/01/36 | 502,120 | ||||||
Total US Government Agency Securities (Cost $185,834,407) | 186,484,781 | |||||||
Corporate Bonds and Notes — 50.0% | ||||||||
Advertising — 0.0% | ||||||||
90,000 | Lamar Media Corp., Series B, 6.63%, 08/15/15 | 87,975 | ||||||
85,000 | RH Donnelley Corp. — 144A, 8.88%, 10/15/17 | 79,050 | ||||||
167,025 | ||||||||
Aerospace and Defense — 0.0% | ||||||||
45,000 | DRS Technologies, Inc., 6.63%, 02/01/16 | 44,663 | ||||||
Airlines — 0.2% | ||||||||
300,000 | Continental Airlines, Inc., Series A, 5.98%, 04/19/22 (5) | 280,377 | ||||||
400,000 | Delta Air Lines, Inc. — 144A, Class A, 6.82%, 08/10/22 (5) | 396,000 | ||||||
84,382 | Delta Air Lines, Inc., Series 2001-1, Class A-1, 6.62%, 03/18/11 | 84,021 | ||||||
760,398 | ||||||||
Apparel: Manufacturing and Retail — 0.0% | ||||||||
200,000 | Neiman Marcus Group Inc., 7.13%, 06/01/28 | 181,000 | ||||||
Automobile: Rental — 0.1% | ||||||||
75,000 | Hertz Corp., 8.88%, 01/01/14 | 76,406 | ||||||
135,000 | Hertz Corp., 10.50%, 01/01/16 | 140,400 | ||||||
216,806 | ||||||||
Automobiles/Motor Vehicles, Automotive Equipment and Repairs — 0.7% | ||||||||
60,000 | Daimler Chrysler NA Holding, 4.05%, 06/04/08 | 59,775 | ||||||
600,000 | Daimler Chrysler NA Holding, 5.88%, 03/15/11 (5) | 609,259 | ||||||
1,100,000 | Ford Motor Company, 7.45%, 07/16/31 (8) | 822,250 | ||||||
840,000 | General Motors Corp., 8.25%, 07/15/23 | 672,000 | ||||||
150,000 | General Motors Corp., 8.38%, 07/15/33 (8) | 121,500 | ||||||
290,000 | Visteon Corp., 8.25%, 08/01/10 | 258,100 | ||||||
2,542,884 | ||||||||
Banks and Financial Services — 9.4% | ||||||||
100,000 | AGFC Capital Trust I — 144A, Variable Rate, 6.00%, 01/15/67 (1)(5) | 90,838 | ||||||
420,000 | Aiful Corp. — 144A (Japan), 5.00%, 08/10/10 (5) | 412,439 | ||||||
420,000 | American Express Company, Variable Rate, 6.80%, 09/01/66 (1)(5) | 426,557 | ||||||
220,000 | American General Finance Corp. Series MTNJ, 6.90%, 12/15/17 (5) | 220,612 | ||||||
30,000 | BAC Capital Trust XIV, Variable Rate, 5.63%, perpetual(1) | 26,646 | ||||||
80,000 | Bank of America Corp., 5.38%, 08/15/11 | 81,654 | ||||||
80,000 | Countrywide Financial Corp., Series MTN, Floating Rate, 5.38%, 01/05/09 (2) | 63,396 | ||||||
2,440,000 | Countrywide Financial Corp., Series MTNA, 4.50%, 06/15/10 | 1,773,933 |
103
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2007
Principal | Value | |||||||
Corporate Bonds and Notes (continued) | ||||||||
Banks and Financial Services (continued) | ||||||||
$ | 120,000 | Countrywide Financial Corp., Series MTNB, Floating Rate, 5.20%, 02/27/08 (2) | $ | 114,413 | ||||
100,000 | Countrywide Financial Corp., Series MTNB, Floating Rate, 5.08%, 06/18/08 (2) | 88,469 | ||||||
160,000 | Credit Suisse (Guernsey), Variable Rate, 5.86%, perpetual (1)(5) | 143,481 | ||||||
230,000 | European Investment Bank, 4.63%, 03/21/12 (5) | 237,199 | ||||||
3,645,000 | Ford Motor Credit Company LLC, 5.80%, 01/12/09 | 3,460,639 | ||||||
720,000 | Ford Motor Credit Company LLC, 7.38%, 10/28/09 | 677,975 | ||||||
1,190,000 | General Electric Capital Corp., Variable Rate, 6.38%, 11/15/67 (1) | 1,230,899 | ||||||
800,000 | General Motors Acceptance Corp., 5.85%, 01/14/09 | 765,253 | ||||||
290,000 | Glitnir Banki HF — 144A (Iceland), 6.33%, 07/28/11 | 283,728 | ||||||
800,000 | Glitnir Banki HF — 144A (Iceland), Variable Rate, 6.69%, 06/15/16 (1) | 806,521 | ||||||
40,000 | GMAC LLC, 5.13%, 05/09/08 | 39,561 | ||||||
2,040,000 | GMAC LLC, 5.63%, 05/15/09 | 1,925,280 | ||||||
1,870,000 | GMAC LLC, 6.63%, 05/15/12 | 1,555,959 | ||||||
590,000 | GMAC LLC, 8.00%, 11/01/31 | 496,114 | ||||||
40,000 | Goldman Sachs Capital II, Variable Rate, 5.79%, perpetual (1) | 35,646 | ||||||
100,000 | HBOS Treasury Services PLC — 144A, 5.25%, 02/21/17 | 102,107 | ||||||
1,020,000 | HSBC Finance Corp., 4.63%, 01/15/08 | 1,019,842 | ||||||
960,000 | HSBC Finance Corp., 4.63%, 09/15/10 | 955,481 | ||||||
680,000 | ICICI Bank, Ltd. — 144A (India), Variable Rate, 6.38%, 04/30/22 (1) | 609,535 | ||||||
270,000 | ICICI Bank, Ltd. — 144A (India), Variable Rate, 6.38%, 04/30/22 (1) | 244,823 | ||||||
920,000 | JPMorgan Chase & Company, 5.13%, 09/15/14 | 903,026 | ||||||
1,100,000 | JPMorgan Chase & Company, 5.15%, 10/01/15 | 1,062,608 | ||||||
1,070,000 | Kaupthing Bank — 144A (Iceland), Floating Rate, 5.94%, 04/12/11 (2) | 1,044,536 | ||||||
200,000 | Kaupthing Bank — 144A (Iceland), 7.13%, 05/19/16 | 183,630 | ||||||
320,000 | Landisbanki Islands HF — 144A (Iceland), 6.10%, 08/25/11 | 315,633 | ||||||
930,000 | Lehman Brothers Capital Trust VII, Series MTN, Variable Rate, 5.86%, perpetual (1) | 829,639 | ||||||
80,000 | Lehman Brothers Holdings, Inc., 4.50%, 07/26/10 | 79,151 | ||||||
480,000 | Lehman Brothers Holdings, Inc., Series MTN, 5.25%, 02/06/12 | 475,386 | ||||||
890,000 | Lehman Brothers Holdings, Inc., Series MTN, 6.75%, 12/28/17 | 918,984 | ||||||
350,000 | Mitsubishi UFJ Financial Group Capital Financial I, Ltd. (Cayman Islands),Variable Rate, 6.35%, perpetual (1) | 332,031 | ||||||
30,000 | Morgan Stanley, 3.63%, 04/01/08 | 29,875 | ||||||
610,000 | Morgan Stanley, Series MTN, 5.63%, 01/09/12 | 621,073 | ||||||
200,000 | Morgan Stanley, Series MTNF, Floating Rate, 5.66%, 10/18/16 (2) | 186,923 | ||||||
10,000 | Rabobank Capital Funding Trust II — 144A, Variable Rate, 5.26%, perpetual (1) | 9,329 | ||||||
20,000 | Rabobank Capital Funding Trust III — 144A, Variable Rate, 5.25%, perpetual (1) | 17,931 | ||||||
60,000 | Residential Capital LLC, Floating Rate, 7.81%, 04/17/09 (2) | 42,900 | ||||||
170,000 | Residential Capital LLC, Floating Rate, 7.62%, 05/22/09 (2) | 121,550 | ||||||
2,040,000 | Residential Capital LLC, 7.50%, 02/22/11 (10) | 1,280,099 | ||||||
10,000 | Residential Capital LLC, 8.00%, 06/01/12 (10) | 6,200 | ||||||
490,000 | Resona Preferred Global Securities — 144A (Cayman Islands), Variable Rate, 7.19%, perpetual (1) | 486,887 | ||||||
300,000 | Royal Bank of Scotland Group PLC — 144A (United Kingdom), Variable Rate, 6.99%, perpetual (1) | 299,620 |
104
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2007
Principal | Value | |||||||
Corporate Bonds and Notes (continued) | ||||||||
Banks and Financial Services (continued) | ||||||||
$ | 200,000 | Royal Bank of Scotland Group PLC, Series MTNU (United Kingdom), Variable Rate, 7.64%, perpetual (1) | $ | 205,970 | ||||
780,000 | RSHB Capital — 144A (Luxembourg), 6.30%, 05/15/17 | 741,000 | ||||||
220,000 | Santander Issuances — 144A (Spain), Variable Rate, 5.81%, 06/20/16 (1) | 224,691 | ||||||
610,000 | Shinsei Financial, Ltd. — 144A (Cayman Islands), Variable Rate, 6.42%, perpetual (1) | 518,691 | ||||||
120,000 | SLM Corp., Series MTN, 5.05%, 11/14/14 | 103,866 | ||||||
675,000 | SLM Corp., Series MTNA, 5.00%, 10/01/13 | 592,356 | ||||||
1,005,000 | SLM Corp., Series MTNA, 5.38%, 05/15/14 | 894,684 | ||||||
40,000 | SLM Corp., Series MTNA, 5.00%, 04/15/15 | 34,163 | ||||||
105,000 | SLM Corp., Series MTNA, 5.63%, 08/01/33 | 81,399 | ||||||
400,000 | SunTrust Banks, Inc., Series CD, 4.42%, 06/15/09 | 397,243 | ||||||
150,000 | SunTrust Capital VIII, Variable Rate, 6.10%, 12/01/66 (1) | 125,213 | ||||||
460,000 | The Bear Stearns Companies, Inc., 5.55%, 01/22/17 (5) | 412,967 | ||||||
380,000 | The Goldman Sachs Group, Inc., 4.50%, 06/15/10 | 378,968 | ||||||
140,000 | The Goldman Sachs Group, Inc., 5.45%, 11/01/12 | 142,875 | ||||||
270,000 | TNK-BP Finance SA — 144A (Luxembourg), 7.50%, 07/18/16 | 262,238 | ||||||
108,000 | TNK-BP Finance SA — 144A (Luxembourg), 7.50%, 07/18/16 | 105,024 | ||||||
100,000 | TNK-BP Finance SA — 144A (Luxembourg), 6.63%, 03/20/17 | 91,500 | ||||||
510,000 | TNK-BP Finance SA, Series 6 — 144A, (Luxembourg), 7.88%, 03/13/18 | 506,175 | ||||||
520,000 | Turanalem Finance BV — 144A (the Netherlands), 8.25%, 01/22/37 | 445,900 | ||||||
1,480,000 | Turanalem Finance BV — 144A (the Netherlands), 8.25%, 01/22/37 | 1,265,400 | ||||||
460,000 | Wachovia Capital Trust III, Variable Rate, 5.80%, perpetual (1) | 411,322 | ||||||
1,150,000 | Wachovia Corp., 5.25%, 08/01/14 | 1,125,937 | ||||||
340,000 | Wells Fargo Capital X, 5.95%, 12/15/36 | 318,365 | ||||||
36,521,958 | ||||||||
Broadcast Services/Media — 1.3% | ||||||||
130,000 | CCH I, LLC/CCH I Capital Corp., 11.00%, 10/01/15 | 106,600 | ||||||
10,000 | Clear Channel Communications, Inc., 4.63%, 01/15/08 | 9,995 | ||||||
20,000 | Clear Channel Communications, Inc., 6.25%, 03/15/11 | 18,113 | ||||||
90,000 | Clear Channel Communications, Inc., 5.50%, 09/15/14 (8) | 68,691 | ||||||
50,000 | Clear Channel Communications, Inc., 4.90%, 05/15/15 | 36,525 | ||||||
320,000 | Comcast Cable Communications, 8.88%, 05/01/17 (5) | 382,172 | ||||||
730,000 | Comcast Corp., 6.50%, 01/15/15 (5) | 763,036 | ||||||
50,000 | Comcast Corp., 6.50%, 01/15/17 (5) | 52,222 | ||||||
210,000 | Comcast Corp., 5.88%, 02/15/18 (5) | 209,762 | ||||||
80,000 | Cox Communications, Inc., 3.88%, 10/01/08 | 79,112 | ||||||
235,000 | CSC Holdings, Inc., Series B, 7.63%, 04/01/11 | 235,588 | ||||||
115,000 | Echostar DBS Corp., 7.00%, 10/01/13 | 116,725 | ||||||
40,000 | Echostar DBS Corp., 7.13%, 02/01/16 | 41,000 | ||||||
1,030,000 | Liberty Media Corp., 7.88%, 07/15/09 | 1,050,846 | ||||||
20,000 | News America, Inc., 6.20%, 12/15/34 | 19,780 | ||||||
40,000 | News America, Inc. — 144A, 6.65%, 11/15/37 | 41,395 | ||||||
60,000 | Rogers Cable, Inc. (Canada), 6.75%, 03/15/15 | 63,204 | ||||||
450,000 | Time Warner Cable, Inc., 5.85%, 05/01/17 | 451,914 | ||||||
180,000 | Time Warner Entertainment, 8.38%, 07/15/33 | 217,464 | ||||||
720,000 | Time Warner, Inc., 6.88%, 05/01/12 (5) | 758,874 |
105
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2007
Principal | Value | |||||||
Corporate Bonds and Notes (continued) | ||||||||
Broadcast Services/Media (continued) | ||||||||
$ | 290,000 | Time Warner, Inc., 7.70%, 05/01/32(5) | $ | 323,140 | ||||
5,046,158 | ||||||||
Chemicals — 0.1% | ||||||||
280,000 | FMC Finance III SA — 144A (Luxembourg), 6.88%, 07/15/17 | 281,400 | ||||||
60,000 | Georgia Gulf Corp., 9.50%, 10/15/14 (8) | 48,150 | ||||||
44,000 | Westlake Chemical Corp., 6.63%, 01/15/16 | 41,800 | ||||||
371,350 | ||||||||
Computer Equipment, Software and Services — 0.2% | ||||||||
530,000 | Electronic Data Systems, 7.13%, 10/15/09 (5) | 547,360 | ||||||
20,000 | Sungard Data Systems, Inc., 9.13%, 08/15/13 | 20,450 | ||||||
100,000 | Sungard Data Systems, Inc., 10.25%, 08/15/15 | 102,750 | ||||||
670,560 | ||||||||
Consumer Goods and Services — 0.2% | ||||||||
490,000 | Altria Group, Inc., 7.00%, 11/04/13 (5) | 548,649 | ||||||
190,000 | Reynolds American, Inc., 6.75%, 06/15/17 | 194,469 | ||||||
743,118 | ||||||||
Containers and Packaging — 0.0% | ||||||||
110,000 | Graham Packaging Company, LP, 8.50%, 10/15/12 | 103,400 | ||||||
45,000 | Graham Packaging Company, LP, 9.88%, 10/15/14 (8) | 41,625 | ||||||
145,025 | ||||||||
Electronics — 0.0% | ||||||||
15,000 | NXP BV/NXP Funding LLC (the Netherlands), 7.88%, 10/15/14 | 14,325 | ||||||
105,000 | NXP BV/NXP Funding LLC (the Netherlands), 9.50%, 10/15/15 (8) | 96,469 | ||||||
110,794 | ||||||||
Environmental Waste Management and Recycling Services — 0.2% | ||||||||
600,000 | Waste Management, Inc., 6.38%, 11/15/12 | 635,054 | ||||||
Equipment Rental and Leasing — 0.1% | ||||||||
440,000 | International Lease Finance Corp. E-Capital Trust II — 144A, Variable Rate, 6.25%, 12/21/65 (1) | 421,155 | ||||||
Funeral Services — 0.0% | ||||||||
50,000 | Service Corp. International, 7.63%, 10/01/18 | 50,500 | ||||||
55,000 | Service Corp. International, 7.50%, 04/01/27 | 50,875 | ||||||
101,375 | ||||||||
Insurance — 0.6% | ||||||||
130,000 | American International Group, Inc., Series MTNG, 5.85%, 01/16/18 | 131,098 | ||||||
20,000 | ASIF Global Financing XIX — 144A, 4.90%, 01/17/13 (5) | 19,591 | ||||||
600,000 | Merna Reinsurance, Ltd., Series B — 144A (Bermuda), Floating Rate, 6.58%, 07/07/10 (2) | 593,490 | ||||||
1,140,000 | MetLife, Inc., 6.40%, 12/15/36 | 1,048,062 | ||||||
670,000 | The Travelers Companies, Inc., Variable Rate, 6.25%, 03/15/37 (1) | 629,389 | ||||||
2,421,630 | ||||||||
Leisure and Recreation — 0.1% | ||||||||
15,000 | Boyd Gaming Corp., 6.75%, 04/15/14 | 14,363 | ||||||
40,000 | Boyd Gaming Corp., 7.13%, 02/01/16 | 38,000 | ||||||
60,000 | Inn of The Mountain Gods, 12.00%, 11/15/10 | 62,700 | ||||||
60,000 | Mandalay Resort Group, 9.50%, 08/01/08 | 61,500 | ||||||
155,000 | MGM MIRAGE, 7.63%, 01/15/17 | 153,837 | ||||||
30,000 | River Rock Entertainment Authority, 9.75%, 11/01/11 | 31,500 | ||||||
140,000 | Station Casinos, Inc., 7.75%, 08/15/16 | 127,050 | ||||||
488,950 | ||||||||
Machinery — 0.0% | ||||||||
60,000 | Terex Corp., 8.00%, 11/15/17 | 61,050 | ||||||
Manufacturing — 0.1% | ||||||||
120,000 | Tyco International Group SA (Luxembourg), 6.38%, 10/15/11 | 124,291 | ||||||
440,000 | Tyco International Group SA (Luxembourg), 6.00%, 11/15/13 | 452,806 | ||||||
577,097 | ||||||||
106
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2007
Principal | Value | |||||||
Corporate Bonds and Notes (continued) | ||||||||
Medical Equipment, Supplies, and Services — 0.5% | ||||||||
$ | 190,000 | Community Health Systems, Inc., 8.88%, 07/15/15 | $ | 194,513 | ||||
230,000 | DaVita, Inc., 6.63%, 03/15/13 | 230,000 | ||||||
56,000 | HCA, Inc., 6.25%, 02/15/13 | 49,280 | ||||||
110,000 | HCA, Inc., 6.75%, 07/15/13 | 98,450 | ||||||
50,000 | HCA, Inc., 9.13%, 11/15/14 | 52,125 | ||||||
3,000 | HCA, Inc., 6.50%, 02/15/16 | 2,550 | ||||||
100,000 | HCA, Inc., 9.25%, 11/15/16 | 105,250 | ||||||
707,000 | HCA, Inc., 9.63%, 11/15/16 (12) | 749,419 | ||||||
555,000 | Tenet Healthcare Corp., 9.88%, 07/01/14 | 531,413 | ||||||
50,000 | WellPoint, Inc., 5.88%, 06/15/17 | 50,431 | ||||||
2,063,431 | ||||||||
Metals and Mining — 0.4% | ||||||||
320,000 | Freeport-McMoRan Copper & Gold, Inc., 8.38%, 04/01/17 | 344,000 | ||||||
155,000 | Steel Dymanics, Inc. — 144A, 7.38%, 11/01/12 | 156,550 | ||||||
105,000 | Steel Dynamics, Inc. — 144A, 6.75%, 04/01/15 | 101,850 | ||||||
1,054,000 | Vale Overseas, Ltd. (Cayman Islands), 6.88%, 11/21/36 | 1,071,508 | ||||||
1,673,908 | ||||||||
Office Equipment, Supplies, and Services — 0.0% | ||||||||
30,000 | Xerox Corp., 6.75%, 02/01/17 | 31,323 | ||||||
Oil, Coal and Gas — 4.0% | ||||||||
740,000 | Anadarko Finance Company, Series B, 7.50%, 05/01/31 (5) | 834,417 | ||||||
1,360,000 | Anadarko Petroleum Corp., 6.45%, 09/15/36 (5)(8) | 1,389,495 | ||||||
360,000 | Apache Corp., 5.25%, 04/15/13 (5) | 368,902 | ||||||
950,000 | Apache Corp., 5.63%, 01/15/17 (5) | 969,521 | ||||||
250,000 | Chesapeake Energy Corp., 7.75%, 01/15/15 | 256,250 | ||||||
60,000 | Chesapeake Energy Corp., 6.38%, 06/15/15 | 58,350 | ||||||
195,000 | Complete Production Services, Inc., 8.00%, 12/15/16 | 189,638 | ||||||
210,000 | Conoco, Inc., 6.95%, 04/15/29 (5) | 240,543 | ||||||
245,000 | Dynegy Holdings, Inc., 7.75%, 06/01/19 | 227,238 | ||||||
1,660,000 | El Paso Corp., 7.00%, 06/15/17 | 1,670,020 | ||||||
19,000 | El Paso Corp., Series MTN, 7.80%, 08/01/31 | 19,377 | ||||||
92,000 | El Paso Corp., Series MTN, 7.75%, 01/15/32 | 93,847 | ||||||
110,000 | El Paso Natural Gas, 8.38%, 06/15/32 (5) | 129,404 | ||||||
770,000 | Gaz Capital (Gazprom) — 144A (Luxembourg), 6.51%, 03/07/22 | 733,964 | ||||||
30,000 | Hess Corp., 7.88%, 10/01/29 (5) | 35,608 | ||||||
490,000 | Hess Corp., 7.30%, 08/15/31 (5) | 552,039 | ||||||
760,000 | Intergas Finance BV — 144A (the Netherlands), 6.38%, 05/14/17 | 684,000 | ||||||
200,000 | Kerr-McGee Corp., 6.95%, 07/01/24 | 214,173 | ||||||
295,000 | Kerr-McGee Corp., 7.88%, 09/15/31 | 352,780 | ||||||
310,000 | Key Energy Services, Inc. — 144A, 8.38%, 12/01/14 | 318,525 | ||||||
30,000 | Kinder Morgan Energy Partners LP, 6.30%, 02/01/09 | 30,396 | ||||||
600,000 | Kinder Morgan Energy Partners LP, 6.75%, 03/15/11 | 629,884 | ||||||
260,000 | Kinder Morgan Energy Partners LP, 6.00%, 02/01/17 | 260,436 | ||||||
110,000 | Kinder Morgan Energy Partners LP, Series MTN, 6.95%, 01/15/38 | 115,818 | ||||||
160,000 | OPTI Canada, Inc. — 144A (Canada), 7.88%, 12/15/14 | 157,200 | ||||||
120,000 | OPTI Canada, Inc. — 144A (Canada), 8.25%, 12/15/14 | 119,400 | ||||||
45,000 | Peabody Energy Corp., Series B, 6.88%, 03/15/13 | 45,450 | ||||||
940,000 | Pemex Project Funding Master Trust, 6.63%, 06/15/35 | 995,492 | ||||||
120,000 | Pemex Project Funding Master Trust — 144A, 6.63%, 06/15/35 | 127,084 |
107
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2007
Principal | Value | |||||||
Corporate Bonds and Notes (continued) | ||||||||
Oil, Coal and Gas (continued) | ||||||||
$ | 720,000 | Petrobras International Finance Company (Cayman Islands), 6.13%, 10/06/16 | $ | 738,000 | ||||
25,000 | Semgroup LP — 144A, 8.75%, 11/15/15 | 23,875 | ||||||
5,000 | Southern Natural Gas, 8.00%, 03/01/32 | 5,595 | ||||||
60,000 | Southern Natural Gas — 144A, 5.90%, 04/01/17 | 59,314 | ||||||
65,000 | Suburban Propane Partners, 6.88%, 12/15/13 | 63,375 | ||||||
20,000 | Tennessee Gas Pipeline, 7.63%, 04/01/37 | 21,612 | ||||||
370,000 | Williams Companies, Inc., 7.88%, 09/01/21 | 412,088 | ||||||
380,000 | Williams Companies, Inc., 7.75%, 06/15/31 | 418,000 | ||||||
130,000 | Williams Companies, Inc., 8.75%, 03/15/32 | 159,575 | ||||||
840,000 | Williams Companies, Inc., Series A, 7.50%, 01/15/31 | 907,200 | ||||||
340,000 | XTO Energy, Inc., 5.65%, 04/01/16 | 342,975 | ||||||
10,000 | XTO Energy, Inc., 6.25%, 08/01/17 | 10,510 | ||||||
550,000 | XTO Energy, Inc., 7.50%, 04/15/12 | 601,784 | ||||||
15,583,154 | ||||||||
Paper and Forest Products — 0.2% | ||||||||
820,000 | Weyerhaeuser Company, 6.75%, 03/15/12 | 861,899 | ||||||
Pharmaceuticals/Research and Development — 0.2% | ||||||||
200,000 | Abbott Laboratories, 5.60%, 11/30/17 (5) | 205,874 | ||||||
470,000 | Wyeth, 5.95%, 04/01/37 | 472,878 | ||||||
678,752 | ||||||||
Printing and Publishing — 0.1% | ||||||||
310,000 | Idearc, Inc., 8.00%, 11/15/16 | 285,975 | ||||||
40,000 | Sun Media Corp. (Canada), 7.63%, 02/15/13 | 39,150 | ||||||
80,000 | TL Acquisitions, Inc. — 144A, 10.50%, 01/15/15 | 77,300 | ||||||
402,425 | ||||||||
Private Asset Backed: Banks and Financial Services — 2.7% | ||||||||
140,000 | Morgan Stanley Capital I, Series 2005-HQ6, Class A4A, 4.99%, 08/13/42 | 136,498 | ||||||
630,000 | Morgan Stanley Capital I, Series 2006-IQ12, Class A4, 5.33%, 12/15/43 | 630,249 | ||||||
750,000 | Morgan Stanley Capital I, Series 2007-IQI4, Class A4, 5.69%, 04/15/49 | 765,933 | ||||||
259,673 | Washington Mutual Mortgage Pass-Through Certificates, Series 2005-AR13, Class A1A1, Floating Rate, 5.16%, 10/25/45 (3) | 244,200 | ||||||
286,081 | Washington Mutual Mortgage Pass-Through Certificates, Series 2005-AR15, Class A1A2, Floating Rate, 5.15%, 11/25/45 (3) | 268,607 | ||||||
181,465 | Washington Mutual Mortgage Pass-Through Certificates, Series 2005-AR8, Class 2A1A, Floating Rate, 5.16%, 07/25/45 (3) | 171,911 | ||||||
3,260,526 | Washington Mutual Mortgage Pass-Through Certificates, Series 2006-AR3, Class A1A, Floating Rate, 5.76%, 05/25/46 (3) | 3,026,584 | ||||||
1,934,516 | Washington Mutual Mortgage Pass-Through Certificates, Series 2006-AR6, Class 2A, Floating Rate, 5.75%, 08/25/46 (3) | 1,835,584 | ||||||
687,990 | Washington Mutual Mortgage Pass-Through Certificates, Series 2007-HY4, Class 4A1, Floating Rate, 5.50%, 09/25/36 (3) | 692,741 | ||||||
2,818,492 | Washington Mutual Mortgage Pass-Through Certificates, Series 2007-OA6, Class 1A1B, Floating Rate, 5.60%, 07/25/47 (3) | 2,570,409 | ||||||
10,342,716 | ||||||||
Private Asset Backed: Credit Cards — 0.4% | ||||||||
1,530,000 | Washington Mutual Master Note Trust — 144A, Series 2006-A3A, Class A3, Floating Rate, 5.06%, 09/15/13 (3) | 1,513,184 | ||||||
Private Asset Backed: Mortgage and Home Equity — 23.3% | ||||||||
794,137 | AAMES Mortgage Investment Trust — 144A, Series 2005-3, Class A1, Floating Rate, 5.02%, 08/25/35 (3) | 778,875 |
108
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2007
Principal | Value | |||||||
Corporate Bonds and Notes (continued) | ||||||||
Private Asset Backed: Mortgage and Home Equity (continued) | ||||||||
$ | 206,280 | Accredited Mortgage Loan Trust, Series 2005-3, Class A1, Floating Rate, 5.11%, 09/25/35 (3) | $ | 195,166 | ||||
85,219 | Adjustable Rate Mortgage Trust, Series 2004-2, Class 7A2, Floating Rate, 5.28%, 02/25/35 (3) | 85,066 | ||||||
53,247 | Adjustable Rate Mortgage Trust, Series 2004-5, Class 7A2, Floating Rate, 5.24%, 04/25/35 (3) | 49,852 | ||||||
1,759,011 | American Home Mortgage Assets Trust, Series 2006-2, Class 2A1, Floating Rate, 5.06%, 09/25/46 (3) | 1,642,497 | ||||||
302,833 | American Home Mortgage Investment Trust, Series 2005-4, Class 1A1, Floating Rate, 5.16%, 11/25/45 (3) | 288,101 | ||||||
1,214,000 | Banc of America Commercial Mortgage, Inc., Series 2005-3, Class A4, 4.67%, 07/10/43 (5) | 1,159,479 | ||||||
280,000 | Banc of America Commercial Mortgage, Inc., Series 2007-3, Class A4, 5.84%, 06/10/49 (5) | 286,811 | ||||||
1,051,886 | Banc of America Funding Corp., Series 2005-E, Class 4A1, 4.11%, 03/20/35 (5) | 1,042,287 | ||||||
890,534 | Banc of America Mortgage Securities, Series 2003-I, Class 2A5, 4.15%, 10/25/33 | 881,295 | ||||||
583,512 | Banc of America Mortgage Securities, Series 2005-A, Class 2A1, 4.46%, 02/25/35 (5) | 577,610 | ||||||
293,119 | Bear Stearns ALT-A Trust, Series 2004-11, Class 2A2, Floating Rate, 7.06%, 11/25/34 (3) | 302,369 | ||||||
3,102,342 | Bear Stearns Mortgage Funding Trust, Series 2006-AR1, Class 2A2, Floating Rate, 5.13%, 08/25/36 (3) | 2,618,625 | ||||||
1,149,927 | Bear Stearns Mortgage Funding Trust, Series 2006-AR5, Class 1A1, Floating Rate, 5.03%, 12/25/36 (3) | 1,093,019 | ||||||
1,724,955 | Bear Stearns Mortgage Funding Trust, Series 2006-AR5, Class 1A2, Floating Rate, 5.07%, 12/25/36 (3) | 1,581,817 | ||||||
1,893,258 | Bear Stearns Second Lien Trust — 144A, Series 2007-SV1A, Class A3, Floating Rate, 5.11%, 12/25/36 (3) | 1,324,788 | ||||||
6,694,736 | Bear Stearns Structured Products, Inc. — 144A, Series 2007-R11, Class A1A, Floating Rate, 5.73%, 09/27/37 (3) | 6,560,039 | ||||||
2,786,035 | Countrywide Alternative Loan Trust, Series 2005-36, Class 2A1A, Floating Rate, 5.18%, 08/25/35 (3) | 2,613,992 | ||||||
341,651 | Countrywide Alternative Loan Trust, Series 2005-36, Class 3A1, Floating Rate, 4.93%, 08/25/35 (3) (5) | 342,494 | ||||||
768,348 | Countrywide Alternative Loan Trust, Series 2005-38, Class A3, Floating Rate, 5.22%, 09/25/35 (3) | 729,380 | ||||||
163,570 | Countrywide Alternative Loan Trust, Series 2005-44, Class 1A1, Floating Rate, 5.20%, 10/25/35 (3) | 156,133 | ||||||
2,241,262 | Countrywide Alternative Loan Trust, Series 2005-51, Class 3A3A, Floating Rate, 5.27%, 11/20/35 (3) | 2,108,040 | ||||||
348,005 | Countrywide Alternative Loan Trust, Series 2005-59, Class 1A1, Floating Rate, 5.12%, 11/20/35 (3) | 325,787 | ||||||
808,160 | Countrywide Alternative Loan Trust, Series 2005-72, Class A1, Floating Rate, 5.14%, 01/25/36 (3) | 762,509 | ||||||
1,320,588 | Countrywide Alternative Loan Trust, Series 2005-J12, Class 2A1, Floating Rate, 5.14%, 08/25/35 (3) | 1,242,535 | ||||||
1,009,988 | Countrywide Alternative Loan Trust, Series 2006-OA2, Class A5, Floating Rate, 5.18%, 05/20/46 (3) | 952,754 |
109
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2007
Principal | Value | |||||||
Corporate Bonds and Notes (continued) | ||||||||
Private Asset Backed: Mortgage and Home Equity (continued) | ||||||||
$ | 466,786 | Countrywide Alternative Loan Trust, Series 2006-OA6, Class 1A1A, Floating Rate, 5.07%, 07/25/46 (3) | $ | 437,082 | ||||
28,702 | Countrywide Asset-Backed Certificates, Series 2005-11, Class AF1, Floating Rate, 5.05%, 02/25/36 (3) | 28,698 | ||||||
89,905 | Countrywide Asset-Backed Certificates, Series 2005-4, Class AF3, 4.46%, 10/25/35 | 89,052 | ||||||
558,506 | Countrywide Home Equity Loan Trust — 144A, Series 2006-RES, Class 4Q1B, Floating Rate, 5.33%, 12/15/33 (3) | 505,889 | ||||||
184,277 | Countrywide Home Equity Loan Trust, Series 2005-G, Class 2A, Floating Rate, 5.26%, 12/15/35 (3) | 177,270 | ||||||
357,980 | Countrywide Home Loans — 144A, Series 2005-R3, Class AF, Floating Rate, 5.27%, 09/25/35 (3) | 347,860 | ||||||
630,176 | Countrywide Home Loans, Series 2003-60, Class 1A1, Floating Rate, 4.73%, 02/25/34 (3)(5) | 613,170 | ||||||
193,754 | Countrywide Home Loans, Series 2004-23, Class A, Floating Rate, 7.15%, 11/25/34 (3) | 193,490 | ||||||
561,848 | Countrywide Home Loans, Series 2005-3, Class 1A2, Floating Rate, 5.16%, 04/25/35 (3) | 531,738 | ||||||
394,341 | Credit Suisse Mortgage Capital Certificates — 144A, Series 2006-CF2, Class A1, Floating Rate, 5.13%, 05/25/36 (3) | 331,286 | ||||||
3,110,000 | Credit Suisse Mortgage Capital Certificates, Series 2006-C4, Class A3, 5.47%, 09/15/39 (5) | 3,140,038 | ||||||
1,064,629 | CS First Boston Mortgage Securities Corp., Series 2004-AR5, Class 7A2, 4.60%, 06/25/34 (5) | 1,052,847 | ||||||
9,351 | First Franklin Mortgage Loan Asset Backed Certificates, Series 2004-FF10, Class A2, Floating Rate, 5.27%, 12/25/32 (3) | 9,340 | ||||||
310,000 | GE Capital Commercial Mortgage Corp., Series 2005-C4, Class A4, Floating Rate, 5.51%, 11/10/45 (3) | 311,567 | ||||||
210,000 | GE Capital Commercial Mortgage Corp., Series 2007-C1, Class A4, 5.54%, 12/10/49 | 212,782 | ||||||
1,000,000 | GMAC Commercial Mortgage Securities, Inc. Series 2006-C1, Class A4, 5.24%, 11/10/45 | 994,945 | ||||||
74,161 | GMAC Mortgage Corp. Loan Trust, Series 2003-AR2, Class 1A1, Floating Rate, 7.53%, 12/19/33 (3) | 74,487 | ||||||
299,956 | GMAC Mortgage Corp. Loan Trust, Series 2005-AR1, Class 3A, Floating Rate, 4.65%, 03/18/35 (3) | 299,108 | ||||||
537,361 | Greenpoint Mortgage Funding Trust, Series 2006-AR4, Class A1A, Floating Rate, 4.97%, 09/25/46 (3) | 522,161 | ||||||
1,461,915 | Greenpoint Mortgage Funding Trust, Series 2007-AR1, Class 1A1A, Floating Rate, 4.95%, 02/25/47 (3) | 1,414,480 | ||||||
200,000 | GS Mortgage Securities Corp. II, Series 2005-GG4, Class AABA, 4.68%, 07/10/39 | 195,310 | ||||||
2,746,332 | Harborview Mortgage Loan Trust, Series 2006-10, Class 2A1A, Floating Rate, 5.15%, 11/19/36 (3) | 2,600,748 | ||||||
134,400 | Impac CMB Trust, Series 2004-6, Class 1A1, Floating Rate, 5.66%, 10/25/34 (3) | 129,919 | ||||||
1,641,495 | IndyMac INDA Mortgage Loan Trust, Series 2007-AR7, Class 1A1, Floating Rate, 6.27%, 09/25/37 (3) | 1,652,132 | ||||||
2,622,110 | IndyMac Index Mortgage Loan Trust, Series 2005-AR14, Class 2A1A, Floating Rate, 5.16%, 07/25/35 (3) | 2,486,194 |
110
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2007
Principal | Value | |||||||
Corporate Bonds and Notes (continued) | ||||||||
Private Asset Backed: Mortgage and Home Equity (continued) | ||||||||
$ | 109,401 | IndyMac Index Mortgage Loan Trust, Series 2005-AR15, Class A2, 5.10%, 09/25/35 | $ | 104,004 | ||||
2,590,000 | JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LD11, Class A4, 5.82%, 06/15/49 | 2,685,130 | ||||||
630,000 | JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LDPX, Class A3, 5.42%, 01/15/49 | 631,800 | ||||||
996,529 | JPMorgan Mortgage Trust, Series 2004-A1, Class 1A1, Floating Rate, 4.80%, 02/25/34 (3) | 976,926 | ||||||
301,521 | JPMorgan Mortgage Trust, Series 2004-A3, Class 1A1, Floating Rate, 4.31%, 07/25/34 (3) | 301,378 | ||||||
776,464 | JPMorgan Mortgage Trust, Series 2006-A2, Class 5A1, Floating Rate, 3.76%, 11/25/33 (3) | 769,953 | ||||||
900,000 | LB-UBS Commercial Mortgage Trust, Series 2005-C3, Class A5, 4.74%, 07/15/30 | 864,421 | ||||||
100,000 | LB-UBS Commercial Mortgage Trust, Series 2005-C3, Class AAB, 4.66%, 07/15/30 | 98,035 | ||||||
200,000 | LB-UBS Commercial Mortgage Trust, Series 2005-C5, Class A4, 4.95%, 09/15/40 | 194,699 | ||||||
226,043 | Lehman XS Trust, Series 2005-5N, Class 1A1, Floating Rate, 5.16%, 11/25/35 (3) | 215,638 | ||||||
1,358,528 | Lehman XS Trust, Series 2005-5N, Class 3A1A, Floating Rate, 5.16%, 11/25/35 (3) | 1,290,278 | ||||||
181,624 | Lehman XS Trust, Series 2005-7N, Class 1A1B, Floating Rate 5.16%, 12/25/35 (3) | 175,697 | ||||||
481,735 | Lehman XS Trust, Series 2006-GP4, Class 3A1A, Floating Rate, 4.94%, 08/25/46 (3) | 472,794 | ||||||
1,221,627 | Lehman XS Trust, Series 2007-2N, Class 3A1, Floating Rate, 4.96%, 02/25/37 (3) | 1,161,365 | ||||||
1,508,392 | Master Adjustable Rate Mortgages Trust, Series 2006-OA2, Class 1A1, Floating Rate, 5.59%, 12/25/46 (3) | 1,416,772 | ||||||
280,000 | Merrill Lynch Countrywide Commercial Mortgage Trust, Series 2007-5, Class A4, 5.38%, 08/12/48 | 280,589 | ||||||
370,000 | Merrill Lynch Countrywide Commercial Mortgage Trust, Series 2007-6, Class A4, 5.49%, 03/12/51 | 373,087 | ||||||
1,239,587 | Merrill Lynch Mortgage Investors Trust, Series 2004-A1, Class 2A1, Floating Rate, 4.56%, 02/25/34 (3) | 1,228,076 | ||||||
971,230 | Merrill Lynch Mortgage Investors Trust, Series 2004-A3, Class 4A3, Floating Rate, 5.03%, 05/25/34 (3) | 948,728 | ||||||
2,313,897 | Merrill Lynch Mortgage Investors Trust, Series 2007-SD1, Class A1, Floating Rate, 5.32%, 02/25/47 (3) | 2,069,468 | ||||||
500,000 | Merrill Lynch Mortgage Investors, Inc., Series 2005-A4, Class 2A2, 4.46%, 07/25/35 | 499,495 | ||||||
400,000 | Merrill Lynch Mortgage Investors, Inc., Series 2005-A5, Class A3, 4.44%, 06/25/35 | 394,579 | ||||||
330,000 | Merrill Lynch Mortgage Trust, Series 2006-C1, Class A4, Floating Rate, 5.84%, 05/12/39 (3) | 340,369 | ||||||
164,964 | MLCC Mortgage Investors, Inc., Series 2003-F, Class A1, Floating Rate, 5.19%, 10/25/28(3) | 162,870 | ||||||
612,336 | Morgan Stanley Mortgage Loan Trust, Series 2004-8AR, Class 4A2, Floating Rate, 5.35%, 10/25/34 (3) | 624,770 | ||||||
501,723 | Prime Mortgage Trust — 144A, Series 2006-DR1, Class 1A1, 5.50%, 05/25/35 | 495,839 | ||||||
232,837 | Prime Mortgage Trust — 144A, Series 2006-DR1, Class 1A2, 6.00%, 05/25/35 | 232,956 | ||||||
1,165,712 | Prime Mortgage Trust — 144A, Series 2006-DR1, Class 2A1, 5.50%, 05/25/35 | 1,156,969 |
111
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2007
Principal | Value | |||||||
Corporate Bonds and Notes (continued) | ||||||||
Private Asset Backed: Mortgage and Home Equity (continued) | ||||||||
$ | 981,556 | Prime Mortgage Trust — 144A, Series 2006-DR1, Class 2A2, 6.00%, 05/25/35 | $ | 970,303 | ||||
2,507,621 | RAAC — 144A, Series 2007-RP4, Class A, Floating Rate, 5.22%, 11/25/46 (3) | 2,272,482 | ||||||
1,500,000 | Renaissance Home Equity Loan Trust, Series 2007-2, Class AF6, 5.88%, 06/25/37 | 1,398,959 | ||||||
1,106,932 | Residential Accredited Loans, Inc., Series 2006-Q010, Class A1, Floating Rate, 5.03%, 01/25/37 (3) | 1,055,322 | ||||||
1,314,092 | Residential Accredited Loans, Inc., Series 2007-Q01, Class A1, Floating Rate, 5.02%, 02/25/37 (3) | 1,258,427 | ||||||
2,481,055 | Residential Accredited Loans, Inc., Series 2007-Q04, Class A1A, Floating Rate, 5.06%, 05/25/47 (3) | 2,345,296 | ||||||
2,700,000 | Securitized Asset Backed Receivables LLC, Series 2007-BR3, Class A2B, Floating Rate, 5.09%, 04/25/37 (3) | 2,064,259 | ||||||
994,169 | Structured Adjustable Rate Mortgage Loan Trust, Series 2004-20, Class 3A1, Floating Rate, 5.36%, 01/25/35 (3) | 988,228 | ||||||
1,576,794 | Structured Adjustable Rate Mortgage Loan Trust, Series 2005-15, Class 1A1, 5.06%, 07/25/35 | 1,552,838 | ||||||
653,387 | Structured Adjustable Rate Mortgage Loan Trust, Series 2005-16XS, Class A1, Floating Rate, 5.20%, 08/25/35 (3) | 632,466 | ||||||
873,495 | Structured Adjustable Rate Mortgage Loan Trust, Series 2005-19XS, Class 1A1, Floating Rate, 5.19%, 10/25/35 (3) | 827,721 | ||||||
149,063 | Structured Asset Mortgage Investments, Inc., Series 2003-AR4, Class A1, Floating Rate, 5.32%, 01/19/34 (3) | 148,925 | ||||||
465,911 | Structured Asset Mortgage Investments, Inc., Series 2006-AR6, Class 1A3, Floating Rate, 5.06%, 07/25/36 (3) | 441,664 | ||||||
2,684,837 | Structured Asset Securities Corp. — 144A, Series 2007-TC1, Class A, Floating Rate, 5.16%, 04/25/31 (3) | 2,381,316 | ||||||
1,350,855 | Thornburg Mortgage Securities Trust, Series 2004-2, Class A4, Floating Rate, 5.12%, 06/25/44 (3) | 1,350,890 | ||||||
911,628 | Thornburg Mortgage Securities Trust, Series 2005-4, Class A4, Floating Rate, 5.07%, 12/25/08 (3) | 908,863 | ||||||
866,008 | Thornburg Mortgage Securities Trust, Series 2006-1, Class A3, Floating Rate, 5.03%, 01/25/09 (3) | 838,025 | ||||||
1,365,855 | Zuni Mortgage Loan Trust, Series 2006-0A1, Class A1, Floating Rate, 4.99%, 08/25/36 (3) | 1,306,575 | ||||||
90,962,157 | ||||||||
Private Asset Backed: Other — 0.1% | ||||||||
438,622 | SLM Student Loan Trust, Series 2006-5, Class A2, Floating Rate, 5.07%, 07/25/17 (2) | 438,583 | ||||||
Real Estate Development and Services — 0.1% | ||||||||
35,000 | Forest City Enterprises, Inc., 7.63%, 06/01/15 | 33,950 | ||||||
30,000 | Forest City Enterprises, Inc., 6.50%, 02/01/17 | 27,300 | ||||||
520,000 | Realogy Corp. — 144A, 12.38%, 04/15/15 | 328,900 | ||||||
390,150 | ||||||||
Real Estate Investment Trusts — 0.0% | ||||||||
40,000 | Host Marriott LP, Series Q, 6.75%, 06/01/16 | 39,600 | ||||||
10,000 | Ventas Realty LP/Ventas Capital Corp., 9.00%, 05/01/12 | 10,800 | ||||||
30,000 | Ventas Realty LP/Ventas Capital Corp., 6.50%, 06/01/16 | 29,550 | ||||||
79,950 | ||||||||
Retail — 0.2% | ||||||||
780,000 | CVS Caremark Corp. — 144A, 6.94%, 01/10/30 | 784,520 | ||||||
112
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2007
Principal | Value | |||||||
Corporate Bonds and Notes (continued) | ||||||||
Scientific and Technical Instruments — 0.1% | ||||||||
$ | 100,000 | Cie Generale de Geophysique (France), 7.50%, 05/15/15 | $ | 101,750 | ||||
105,000 | Cie Generale de Geophysique (France), 7.75%, 05/15/17 | 106,575 | ||||||
208,325 | ||||||||
Semiconductors — 0.0% | ||||||||
35,000 | Freescale Semiconductor, Inc., 8.88%, 12/15/14 | 31,413 | ||||||
Telecommunications Equipment and Services — 1.6% | ||||||||
340,000 | America Movil SAB de CV (Mexico), 5.63%, 11/15/17 (5) | 333,912 | ||||||
410,000 | AT&T, Inc., 5.10%, 09/15/14 | 406,327 | ||||||
10,000 | Bellsouth Corp., 4.75%, 11/15/12 (5) | 9,904 | ||||||
95,000 | Citizens Communications Company, 7.13%, 03/15/19 | 90,725 | ||||||
100,000 | Citizens Communications Company, 7.88%, 01/15/27 | 95,750 | ||||||
375,000 | Deutsche Telecom International Finance BV (the Netherlands), 5.75%, 03/23/16 (5) | 375,960 | ||||||
1,290,000 | Embarq Corp., 6.74%, 06/01/13 (5) | 1,335,848 | ||||||
40,000 | Intelsat Bermuda, Ltd. (Bermuda), 9.25%, 06/15/16 | 40,400 | ||||||
40,000 | Intelsat Bermuda, Ltd. (Bermuda), 11.25%, 06/15/16 | 41,500 | ||||||
50,000 | Intelsat Corp., 9.00%, 06/15/16 | 50,625 | ||||||
320,000 | Koninklijke KPN NV (the Netherlands), 8.00%, 10/01/10 | 343,401 | ||||||
445,000 | Koninklijke KPN NV (the Netherlands), 8.38%, 10/01/30 | 535,056 | ||||||
170,000 | Level 3 Financing, Inc., 9.25%, 11/01/14 | 154,700 | ||||||
300,000 | Nextel Communications, Inc., Series E, 6.88%, 10/31/13 | 295,781 | ||||||
63,000 | Qwest Communications International, Inc., Floating Rate, 8.37%, 02/15/09 (2) | 63,315 | ||||||
55,000 | Qwest Communications International, Inc., Series B, 7.50%, 02/15/14 | 55,138 | ||||||
150,000 | Sprint Capital Corp., 8.38%, 03/15/12 | 162,598 | ||||||
540,000 | Sprint Capital Corp., 6.90%, 05/01/19 | 537,459 | ||||||
80,000 | Sprint Capital Corp., 8.75%, 03/15/32 | 90,418 | ||||||
390,000 | Telecom Italia Capital (Luxembourg), 5.25%, 10/01/15 | 380,553 | ||||||
160,000 | Verizon Global Funding Corp., 7.38%, 09/01/12 | 176,833 | ||||||
560,000 | Verizon New York, Inc., Series A, 6.88%, 04/01/12 | 594,710 | ||||||
165,000 | Windstream Corp., 8.63%, 08/01/16 | 174,075 | ||||||
6,344,988 | ||||||||
Transportation — 0.1% | ||||||||
40,000 | Gulfmark Offshore, Inc., 7.75%, 07/15/14 | 40,600 | ||||||
130,000 | Teekay Shipping Corp. (Marshall Islands), 8.88%, 07/15/11 | 136,988 | ||||||
180,000 | Union Pacific Corp., 5.38%, 05/01/14 | 177,149 | ||||||
354,737 | ||||||||
Utilities — 2.7% | ||||||||
67,000 | AES Corp., 7.75%, 03/01/14 | 67,838 | ||||||
210,000 | AES Corp. — 144A, 7.75%, 10/15/15 | 214,200 | ||||||
1,130,000 | AES Corp. — 144A, 8.00%, 10/15/17 | 1,161,074 | ||||||
30,000 | Dominion Resources, Inc., 4.75%, 12/15/10 (5) | 30,079 | ||||||
580,000 | Dominion Resources, Inc., 5.70%, 09/17/12 (5)(8) | 596,192 | ||||||
590,000 | Duke Energy Carolinas, 5.63%, 11/30/12 (5) | 613,006 | ||||||
110,000 | Edison Mission Energy, 7.00%, 05/15/17 | 108,625 | ||||||
140,000 | Edison Mission Energy, 7.20%, 05/15/19 | 138,250 | ||||||
50,000 | Edison Mission Energy, 7.63%, 05/15/27 | 47,250 | ||||||
530,000 | Energy Future Holdings Corp. — 144A, 10.88%, 11/01/17 | 535,300 |
113
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2007
Principal | Value | |||||||
Corporate Bonds and Notes (continued) | ||||||||
Utilities (continued) | ||||||||
$ | 2,970,000 | Energy Future Holdings Corp. — 144A, 11.25%, 11/01/17 (12) | $ | 3,014,549 | ||||
370,000 | Exelon Corp., 5.63%, 06/15/35 (5) | 331,511 | ||||||
650,000 | FirstEnergy Corp., Series B, 6.45%, 11/15/11 | 671,770 | ||||||
515,000 | FirstEnergy Corp., Series C, 7.38%, 11/15/31 | 566,735 | ||||||
75,000 | NRG Energy, Inc., 7.25%, 02/01/14 | 73,313 | ||||||
170,000 | NRG Energy, Inc., 7.38%, 02/01/16 | 166,175 | ||||||
45,000 | NRG Energy, Inc., 7.38%, 01/15/17 | 43,988 | ||||||
620,000 | Pacific Gas & Electric Company, 5.63%, 11/30/17 | 623,049 | ||||||
210,000 | Pacific Gas & Electric Company, 6.05%, 03/01/34 | 210,336 | ||||||
140,000 | Pacific Gas & Electric Company, 5.80%, 03/01/37 | 135,461 | ||||||
440,000 | TXU Corp., Series P, 5.55%, 11/15/14 | 353,401 | ||||||
200,000 | TXU Corp., Series Q, 6.50%, 11/15/24 | 146,882 | ||||||
755,000 | TXU Corp., Series R, 6.55%, 11/15/34 | 550,175 | ||||||
10,399,159 | ||||||||
Total Corporate Bonds and Notes (Cost $203,219,841) | 195,372,824 | |||||||
Shares | ||||||||
Preferred Stocks — 0.6% | ||||||||
Banks and Financial Services | ||||||||
35,000 | Fannie Mae, Variable Rate, 8.25% (1) | 872,305 | ||||||
1,300 | Fannie Mae, Series O, Floating Rate, 7.50% (2) | 61,750 | ||||||
50,000 | Freddie Mac, Series Z, Variable Rate, 8.38% (1) | 1,307,500 | ||||||
Total Preferred Stocks (Cost $2,194,160) | 2,241,555 | |||||||
Principal | ||||||||
Convertible Bonds — 0.0% | ||||||||
Automobiles/Motor Vehicles, Automotive Equipment and Repairs | ||||||||
$ | 30,000 | Ford Motor Company, 4.25%, 12/15/36 (Cost $30,000) | 29,963 | |||||
Municipal Bonds — 0.2% | ||||||||
Virginia | ||||||||
597,494 | Virginia State Housing Development Authority, Series C, Revenue Bond, 6.00%, 06/25/34 (Cost $587,817) | 597,554 | ||||||
Foreign Government Obligations — 0.4% | ||||||||
1,049,400 | Russian Federation — 144A (Russia), 7.50%, 03/31/30 | 1,203,958 | ||||||
8,000 | United Mexican States (Mexico), 5.63%, 01/15/17 | 8,128 | ||||||
439,000 | United Mexican States, Series MTNA (Mexico), 6.75%, 09/27/34 | 485,973 | ||||||
Total Foreign Government Obligations (Cost $1,609,291) | 1,698,059 | |||||||
Securities Lending Collateral — 6.2% | ||||||||
24,138,321 | Securities Lending Collateral Investment (Note 4) (Cost $24,138,321) | 24,138,321 | ||||||
Total Securities (Cost $473,414,435) | 468,421,691 | |||||||
Repurchase Agreements — 11.2% | ||||||||
43,753,077 | With State Street Bank and Trust, dated 12/31/07, 3.80%, due 01/02/08, repurchase proceeds at maturity $43,762,314 (Collateralized by US Treasury Note, 4.88%, due 04/30/08, with a value of $47,618,990) (Cost $43,753,077) | 43,753,077 | ||||||
Total Investments before Call and Put Options Written — 131.2% (Cost $517,167,512) | 512,174,768 | |||||||
Contracts | ||||||||
Call Options Written — (0.1)% | ||||||||
(124 | ) | US Treasury Note (10 Year) March Future, Expiring February 2008 @ 111 | (352,625 | ) | ||||
(17 | ) | US Treasury Note (10 Year) March Future, Expiring February 2008 @ 112 | (36,391 | ) | ||||
Total Call Options Written (Premium $101,733) | (389,016 | ) | ||||||
114
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2007
Contracts | Value | |||||||
Put Options Written — (0.0)% | ||||||||
(38 | ) | US Treasury Note (10 Year) March Future, Expiring February 2008 @ 107 | $ | (1,781 | ) | |||
(80 | ) | US Treasury Note (10 Year) March Future, Expiring February 2008 @ 112 | (60,000 | ) | ||||
Total Put Options Written (Premium $96,535) | (61,781 | ) | ||||||
Total Investments net of Call and Put Options Written — 131.1% (Cost $516,969,244) | 511,723,971 | |||||||
Liabilities less other assets — (31.1)% | (121,436,475 | ) | ||||||
Net Assets — 100.0% | $ | 390,287,496 | ||||||
Gross unrealized appreciation | $ | 4,357,489 | ||
Gross unrealized depreciation | (9,419,358 | ) | ||
Net unrealized depreciation | $ | (5,061,869 | ) | |
115
Principal | Value | |||||||
Corporate Bonds and Notes — 80.0% | ||||||||
Advertising — 1.3% | ||||||||
$ | 470,000 | Affinion Group, Inc., 10.13%, 10/15/13 | $ | 477,638 | ||||
945,000 | Affinion Group, Inc., 11.50%, 10/15/15 | 932,006 | ||||||
1,305,000 | RH Donnelley Corp., 6.88%, 01/15/13 | 1,174,500 | ||||||
4,570,000 | RH Donnelley Corp. — 144A, 8.88%, 10/15/17 | 4,250,100 | ||||||
6,834,244 | ||||||||
Aerospace and Defense — 0.8% | ||||||||
980,000 | DRS Technologies, Inc., 7.63%, 02/01/18 | 997,150 | ||||||
480,000 | Hawker Beechcraft Acquisition Company — 144A, 8.50%, 04/01/15 | 481,200 | ||||||
765,000 | Hawker Beechcraft Acquisition Company — 144A, 8.88%, 04/01/15 | 759,263 | ||||||
480,000 | Hawker Beechcraft Acquisition Company — 144A, 9.75%, 04/01/17 | 478,800 | ||||||
1,725,000 | Transdigm, Inc., 7.75%, 07/15/14 | 1,759,500 | ||||||
4,475,913 | ||||||||
Airlines — 0.1% | ||||||||
454,392 | Continental Airlines, Inc., Series 2001-1, 7.03%, 06/15/11 | 441,435 | ||||||
Apparel: Manufacturing and Retail — 2.0% | ||||||||
2,060,000 | Levi Strauss & Company, 9.75%, 01/15/15 | 2,065,150 | ||||||
415,000 | Levi Strauss & Company, 8.88%, 04/01/16 | 403,588 | ||||||
2,695,000 | Oxford Industries, Inc., 8.88%, 06/01/11 | 2,695,000 | ||||||
4,140,000 | Perry Ellis International, Inc., Series B, 8.88%, 09/15/13 | 4,015,799 | ||||||
655,000 | Phillips Van-Heusen Corp., 7.25%, 02/15/11 | 662,369 | ||||||
685,000 | Phillips Van-Heusen Corp., 8.13%, 05/01/13 | 705,550 | ||||||
10,547,456 | ||||||||
Automobile: Rental — 0.0% | ||||||||
430,000 | Neff Corp., 10.00%, 06/01/15 | 236,500 | ||||||
Automobiles/Motor Vehicles, Automotive Equipment and Repairs — 1.7% | ||||||||
760,000 | American Axle and Manufacturing, Inc., 7.88%, 03/01/17 | 689,700 | ||||||
395,000 | Commercial Vehicle Group, 8.00%, 07/01/13 | 359,450 | ||||||
3,735,000 | General Motors Corp., 6.38%, 05/01/08 | 3,716,325 | ||||||
2,725,000 | General Motors Corp., 7.20%, 01/15/11 | 2,513,813 | ||||||
1,130,000 | Tenneco Automotive, Inc., Series B, 10.25%, 07/15/13 | 1,209,100 | ||||||
645,000 | Tenneco, Inc. — 144A, 8.13%, 11/15/15 | 641,775 | ||||||
9,130,163 | ||||||||
Banks and Financial Services — 4.9% | ||||||||
2,050,000 | E*TRADE Financial Corp., 7.88%, 12/01/15 | 1,573,375 | ||||||
3,090,000 | Ford Motor Credit Company, 7.38%, 10/28/09 | 2,909,643 | ||||||
1,465,000 | Ford Motor Credit Company, 7.88%, 06/15/10 | 1,352,432 | ||||||
100,000 | Ford Motor Credit Company, 9.88%, 08/10/11 | 94,652 | ||||||
535,000 | Ford Motor Credit Company LLC, 5.80%, 01/12/09 | 507,940 | ||||||
2,800,000 | Ford Motor Credit Company LLC, 9.75%, 09/15/10 | 2,673,300 | ||||||
335,000 | Ford Motor Credit Company LLC, 7.38%, 02/01/11 | 300,193 | ||||||
470,000 | General Motors Acceptance Corp., 5.85%, 01/14/09 | 449,586 | ||||||
6,990,000 | General Motors Acceptance Corp., 7.00%, 02/01/12 | 5,935,488 | ||||||
1,210,000 | GMAC LLC, Floating Rate, 6.12%, 05/15/09 (2) | 1,127,410 | ||||||
1,770,000 | GMAC LLC, 7.75%, 01/19/10 | 1,651,842 | ||||||
3,530,000 | GMAC LLC, 7.25%, 03/02/11 | 3,096,269 | ||||||
215,000 | KAR Holdings, Inc — 144A, 8.75%, 05/01/14 | 198,875 | ||||||
745,000 | KAR Holdings, Inc. — 144A, Floating Rate, 8.91%, 05/01/14 (2) | 679,813 | ||||||
325,000 | Nuveen Investments, Inc., 5.00%, 09/15/10 | 298,188 | ||||||
3,505,000 | Nuveen Investments, Inc. — 144A, 10.50%, 11/15/15 | 3,509,381 | ||||||
26,358,387 | ||||||||
Broadcast Services/Media — 2.4% | ||||||||
1,095,000 | Cablevision Systems Corp., Series B, 8.00%, 04/15/12 | 1,067,625 | ||||||
795,000 | CCH I, LLC/CCH I Capital Corp., 11.00%, 10/01/15 | 651,900 | ||||||
1,990,000 | CCH II, LLC/CCH II Capital Corp., Series B, 10.25%, 09/15/10 | 1,950,200 | ||||||
5,970,000 | CCO Holdings LLC/Capital Corp., 8.75%, 11/15/13 | 5,731,199 |
116
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2007
Principal | Value | |||||||
Corporate Bonds and Notes (continued) | ||||||||
Broadcast Services/Media (continued) | ||||||||
$ | 1,235,000 | Kabel Deutschland GMBH (Germany), 10.63%, 07/01/14 | $ | 1,302,925 | ||||
570,000 | LBI Media, Inc., zero coupon, 10/15/13 (7) | 517,988 | ||||||
1,475,000 | Mediacom Broadband LLC/Mediacom Broadband Corp., 8.50%, 10/15/15 | 1,314,594 | ||||||
605,000 | Rainbow National Services LLC — 144A, 10.38%, 09/01/14 | 658,694 | ||||||
13,195,125 | ||||||||
Business Services and Supplies — 0.4% | ||||||||
2,050,000 | CEVA Group PLC — 144A (United Kingdom), 10.00%, 09/01/14 | 2,116,625 | ||||||
Chemicals — 1.0% | ||||||||
2,230,000 | Ineos Group Holdings PLC — 144A (United Kingdom), 8.50%, 02/15/16 | 1,995,850 | ||||||
830,000 | Nova Chemicals Corp. (Canada), Floating Rate, 7.86%, 11/15/13 (11) | 780,200 | ||||||
2,600,000 | Reichhold Industries, Inc. — 144A, 9.00%, 08/15/14 | 2,600,000 | ||||||
5,376,050 | ||||||||
Computer Equipment, Software and Services — 1.3% | ||||||||
4,430,000 | Ceridian Corp. — 144A, 11.25%, 11/15/15 | 4,119,900 | ||||||
1,800,000 | Interface, Inc., 10.38%, 02/01/10 | 1,894,500 | ||||||
170,000 | Interface, Inc., 9.50%, 02/01/14 | 178,500 | ||||||
575,000 | Sungard Data Systems, Inc., 9.13%, 08/15/13 | 587,938 | ||||||
6,780,838 | ||||||||
Construction Services and Supplies — 2.1% | ||||||||
1,775,000 | Dayton Superior Corp., 10.75%, 09/15/08 | 1,830,469 | ||||||
775,000 | ESCO Corp. — 144A, 8.63%, 12/15/13 | 778,875 | ||||||
775,000 | ESCO Corp. — 144A, Floating Rate, 8.87%, 12/15/13 (2) | 763,375 | ||||||
650,000 | Interline Brands, Inc., 8.13%, 06/15/14 | 646,750 | ||||||
3,755,000 | Nortek, Inc., 8.50%, 09/01/14 | 3,022,775 | ||||||
1,985,000 | NTK Holdings, Inc., zero coupon, 03/01/14 (7) | 1,171,150 | ||||||
3,025,000 | Panolam Industries International, 10.75%, 10/01/13 | 2,646,875 | ||||||
330,000 | Stanley-Martin Communities LLC, 9.75%, 08/15/15 | 199,650 | ||||||
11,059,919 | ||||||||
Consumer Goods and Services — 2.5% | ||||||||
3,365,000 | Amscan Holdings, Inc., 8.75%, 05/01/14 | 3,078,975 | ||||||
2,245,000 | Revlon Consumer Products Corp., 8.63%, 02/01/08 | 2,242,194 | ||||||
4,770,000 | Yankee Acquisition Corp., Series B, 8.50%, 02/15/15 | 4,418,212 | ||||||
3,840,000 | Yankee Acquisition Corp., Series B, 9.75%, 02/15/17 | 3,532,800 | ||||||
13,272,181 | ||||||||
Containers and Packaging — 2.0% | ||||||||
1,055,000 | Intertape Polymer US, Inc., 8.50%, 08/01/14 | 969,281 | ||||||
400,000 | Jefferson Smurfit Corp., 7.50%, 06/01/13 | 385,000 | ||||||
1,111,021 | Pliant Corp., 11.85%, 06/15/09 (14) | 1,132,945 | ||||||
850,000 | Smurfit-Stone Container Corp., 8.38%, 07/01/12 | 847,875 | ||||||
7,695,000 | Smurfit-Stone Container Corp., 8.00%, 03/15/17 | 7,473,769 | ||||||
10,808,870 | ||||||||
Distribution — 0.7% | ||||||||
2,760,000 | Sally Holdings LLC, 9.25%, 11/15/14 | 2,746,200 | ||||||
440,000 | Sally Holdings LLC, 10.50%, 11/15/16 | 435,600 | ||||||
440,000 | Varietal Distribution Holdings LLC — 144A, 10.25%, 07/15/15(12) | 421,300 | ||||||
3,603,100 | ||||||||
Diversified Operations and Services — 0.2% | ||||||||
1,150,000 | ARAMARK Services, Inc., 8.50%, 02/01/15 | 1,170,125 | ||||||
Education — 1.1% | ||||||||
1,700,000 | Education Management LLC, 8.75%, 06/01/14 | 1,714,875 | ||||||
3,960,000 | Education Management LLC, 10.25%, 06/01/16 | 4,098,600 | ||||||
5,813,475 | ||||||||
Electronics — 0.1% | ||||||||
550,000 | Muzak LLC, 10.00%, 02/15/09 | 517,688 | ||||||
120,000 | NXP BV/NXP Funding LLC (the Netherlands), 7.88%, 10/15/14 | 114,600 | ||||||
632,288 | ||||||||
117
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2007
Principal | Value | |||||||
Corporate Bonds and Notes (continued) | ||||||||
Energy Services — 0.1% | ||||||||
$ | 475,000 | Verasun Energy Corp., 9.88%, 12/15/12 | $ | 480,938 | ||||
Engineering — 0.1% | ||||||||
740,000 | Alion Science & Technology Corp., 10.25%, 02/01/15 | 634,550 | ||||||
Environmental Waste Management and Recycling Services — 0.9% | ||||||||
400,000 | Aleris International, Inc., 9.00%, 12/15/14 | 336,000 | ||||||
3,430,000 | Aleris International, Inc., 10.00%, 12/15/16 | 2,795,450 | ||||||
1,800,000 | Waste Services, Inc., 9.50%, 04/15/14 | 1,764,000 | ||||||
4,895,450 | ||||||||
Food and Beverage — 1.6% | ||||||||
3,725,000 | ASG Consolidated LLC/ASG Finance, Inc., zero coupon, 11/01/11 (7) | 3,501,500 | ||||||
2,810,000 | Dole Foods Company, Inc., 8.63%, 05/01/09 | 2,725,700 | ||||||
2,070,000 | Dole Foods Company, Inc., 7.25%, 06/15/10 | 1,894,050 | ||||||
420,000 | Pierre Foods, Inc., 9.88%, 07/15/12 | 308,700 | ||||||
8,429,950 | ||||||||
Funeral Services — 0.1% | ||||||||
325,000 | Service Corp. International, 7.00%, 06/15/17 | 312,813 | ||||||
Insurance — 0.7% | ||||||||
1,120,000 | Alliant Holdings I, Inc. — 144A, 11.00%, 05/01/15 | 1,069,600 | ||||||
2,825,000 | Multiplan, Inc. — 144A, 10.38%, 04/15/16 | 2,825,000 | ||||||
3,894,600 | ||||||||
Leisure and Recreation — 11.5% | ||||||||
2,465,000 | AMC Entertainment, Inc., 8.00%, 03/01/14 | 2,329,425 | ||||||
2,335,000 | AMC Entertainment, Inc., 11.00%, 02/01/16 | 2,469,263 | ||||||
2,000,000 | Buffalo Thunder Development Authority — 144A, 9.38%, 12/15/14 | 1,790,000 | ||||||
1,105,000 | CCM Merger, Inc. — 144A, 8.00%, 08/01/13 | 1,046,988 | ||||||
935,000 | Chukchansi Economic Development Authority — 144A, Floating Rate, 8.24%, 11/15/12 (11) | 916,300 | ||||||
181,058 | Eldorado Casino Shreveport, 10.00%, 08/01/12 | 180,379 | ||||||
5,645,000 | Fontainebleau Las Vegas — 144A, 10.25%, 06/15/15 | 4,925,262 | ||||||
2,020,000 | Galaxy Entertainment Finance — 144A (Hong Kong), Floating Rate, 9.83%, 12/15/10 (11) | 2,075,550 | ||||||
2,240,000 | Galaxy Entertainment Finance — 144A (Hong Kong), 9.88%, 12/15/12 | 2,374,400 | ||||||
1,555,000 | GreekTown Holdings — 144A, 10.75%, 12/01/13 | 1,520,013 | ||||||
1,201,508 | HRP Myrtle Beach Holdings/CA — 144A, 14.50%, 04/01/14 (12) | 1,130,919 | ||||||
1,730,000 | HRP Myrtle Beach Operations/CA — 144A, Floating Rate, 9.89%, 04/01/12 (11) | 1,656,475 | ||||||
945,000 | HRP Myrtle Beach Operations/CA — 144A, 12.50%, 04/01/13 | 889,481 | ||||||
1,810,000 | Indianapolis Downs Capital LLC & Capital Corp. — 144A, 11.00%, 11/01/12 | 1,755,700 | ||||||
2,420,000 | Inn of The Mountain Gods, 12.00%, 11/15/10 | 2,528,900 | ||||||
890,000 | Majestic Holdco LLC — 144A, zero coupon, 10/15/11 (7) | 614,100 | ||||||
3,365,000 | Marquee Holdings, Inc., 12.00%, 08/15/14 | 2,708,825 | ||||||
1,045,000 | MGM MIRAGE, 7.50%, 06/01/16 | 1,039,775 | ||||||
235,000 | Mohegan Tribal Gaming Authority, 8.00%, 04/01/12 | 239,700 | ||||||
2,275,000 | OED Corp./Diamond JO, 8.75%, 04/15/12 | 2,286,375 | ||||||
1,605,000 | Pinnacle Entertainment, Inc. — 144A, 7.50%, 06/15/15 | 1,464,563 | ||||||
595,000 | Pokagon Gaming Authority — 144A, 10.38%, 06/15/14 | 642,600 | ||||||
475,000 | San Pasqual Casino — 144A, 8.00%, 09/15/13 | 470,250 | ||||||
995,000 | Seminole Hard Rock Entertainment — 144A, Floating Rate, 7.49%, 03/15/14 (2) | 955,200 | ||||||
455,000 | Station Casinos, Inc., 6.00%, 04/01/12 | 407,225 | ||||||
250,000 | Station Casinos, Inc., 7.75%, 08/15/16 | 226,875 | ||||||
1,340,000 | The Majestic Star Casino LLC — 144A, 9.50%, 10/15/10 | 1,273,000 | ||||||
2,720,000 | Travelport LLC, 9.88%, 09/01/14 | 2,774,400 | ||||||
7,865,000 | Trump Entertainment Resorts, Inc., 8.50%, 06/01/15 | 6,026,555 |
118
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2007
Principal | Value | |||||||
Corporate Bonds and Notes (continued) | ||||||||
Leisure and Recreation (continued) | ||||||||
$ | 2,435,000 | Tunica-Biloxi Gaming Authority — 144A, 9.00%, 11/15/15 | $ | 2,501,963 | ||||
375,000 | Turning Stone Resort Casino — 144A, 9.13%, 09/15/14 | 384,375 | ||||||
2,380,000 | Universal City Development Partners, Ltd., 11.75%, 04/01/10 | 2,469,250 | ||||||
4,000,000 | Universal City Florida, Floating Rate, 9.66%, 05/01/10 (2) | 4,019,999 | ||||||
3,901,000 | Waterford Gaming LLC/Waterford Gaming Finance — 144A, 8.63%, 09/15/14 | 3,920,505 | ||||||
640,000 | WMG Acquisition Corp., 7.38%, 04/15/14 | 496,000 | ||||||
62,510,590 | ||||||||
Machinery — 1.0% | ||||||||
1,680,000 | Altra Industrial Motion, Inc., 9.00%, 12/01/11 | 1,713,600 | ||||||
830,000 | Chart Industries, Inc., 9.13%, 10/15/15 | 854,900 | ||||||
2,585,000 | Stewart & Stevenson LLC, 10.00%, 07/15/14 | 2,610,850 | ||||||
5,179,350 | ||||||||
Manufacturing — 1.0% | ||||||||
1,000,000 | American Railcar Industries, Inc., 7.50%, 03/01/14 | 950,000 | ||||||
1,535,000 | Bombardier, Inc. — 144A (Canada), 8.00%, 11/15/14 | 1,611,750 | ||||||
1,260,000 | Harland Clarke Holdings, 9.50%, 05/15/15 | 1,096,200 | ||||||
965,000 | RBS Global & Rexnord Corp., 9.50%, 08/01/14 | 960,175 | ||||||
870,000 | RBS Global & Rexnord Corp., 11.75%, 08/01/16 | 854,775 | ||||||
720,000 | Venture Holdings Trust, Series B, 9.50%, 07/01/05 (9)(13) | 216 | ||||||
5,473,116 | ||||||||
Medical Equipment, Supplies, and Services — 6.6% | ||||||||
1,260,000 | Accellent, Inc., 10.50%, 12/01/13 | 1,064,700 | ||||||
2,900,000 | Advanced Medical Optics, 7.50%, 05/01/17 | 2,682,499 | ||||||
2,235,000 | AMR Holding Company/Emcare Holding Company, 10.00%, 02/15/15 | 2,369,100 | ||||||
2,245,000 | Bausch & Lomb, Inc. — 144A, 9.88%, 11/01/15 | 2,284,288 | ||||||
8,355,000 | HCA, Inc., 8.75%, 09/01/10 | 8,469,880 | ||||||
840,000 | HCA, Inc., 7.88%, 02/01/11 | 823,200 | ||||||
2,420,000 | HCA, Inc., 9.13%, 11/15/14 | 2,522,850 | ||||||
1,525,000 | HCA, Inc., 9.25%, 11/15/16 | 1,605,063 | ||||||
2,085,000 | National Mentor Holdings, Inc., 11.25%, 07/01/14 | 2,157,975 | ||||||
1,170,000 | Norcross Safety Products LLC — Series B, 9.88%, 08/15/11 | 1,208,025 | ||||||
1,000,000 | Omnicare, Inc., 6.88%, 12/15/15 | 935,000 | ||||||
985,000 | Res-Care, Inc., 7.75%, 10/15/13 | 980,075 | ||||||
2,467,544 | Safety Products Holdings, Series B, 11.75%, 01/01/12 (12)(14) | 2,581,668 | ||||||
425,000 | Universal Hospital Services, Inc., Floating Rate, 8.29%, 06/01/15 (11) | 427,125 | ||||||
425,000 | Universal Hospital Services, Inc., 8.50%, 06/01/15 (12) | 431,375 | ||||||
3,095,000 | US Oncology, Inc., 9.00%, 08/15/12 | 3,067,918 | ||||||
1,775,000 | US Oncology, Inc., 10.75%, 08/15/14 | 1,761,688 | ||||||
289,000 | Viant Holdings, Inc. — 144A, 10.13%, 07/15/17 | 265,880 | ||||||
35,638,309 | ||||||||
Metals and Mining — 1.8% | ||||||||
800,000 | CII Carbon LLC — 144A, 11.13%, 11/15/15 | 792,000 | ||||||
1,065,000 | FMG Finance Property, Ltd. — 144A (Australia), Floating Rate, 9.12%, 09/01/11 (2) | 1,096,950 | ||||||
2,585,000 | FMG Finance Property, Ltd. — 144A (Australia), 10.63%, 09/01/16 | 2,972,750 | ||||||
2,145,000 | RathGibson, Inc., 11.25%, 02/15/14 | 2,155,725 | ||||||
215,000 | Ryerson, Inc. — 144A, Floating Rate, 12.57%, 11/01/14 (2) | 207,475 | ||||||
325,000 | Ryerson, Inc. — 144A, 12.00%, 11/01/15 | 322,563 | ||||||
2,285,000 | Steel Dymanics, Inc. — 144A, 7.38%, 11/01/12 | 2,307,850 | ||||||
9,855,313 | ||||||||
Oil, Coal and Gas — 6.6% | ||||||||
1,990,000 | Allis-Chalmers Energy, Inc., 9.00%, 01/15/14 | 1,970,099 | ||||||
480,000 | Allis-Chalmers Energy, Inc., 8.50%, 03/01/17 | 460,800 | ||||||
415,000 | Alpha Natural Resources, 10.00%, 06/01/12 | 440,938 |
119
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2007
Principal | Value | |||||||
Corporate Bonds and Notes (continued) | ||||||||
Oil, Coal and Gas (continued) | ||||||||
$ | 695,000 | Cimarex Energy Company, 7.13%, 05/01/17 | $ | 686,313 | ||||
1,025,000 | Clayton William Energy, 7.75%, 08/01/13 | 902,000 | ||||||
2,020,000 | Compton Petroleum Finance Corp. (Canada), 7.63%, 12/01/13 | 1,888,699 | ||||||
290,000 | Denbury Resources, Inc., 7.50%, 12/15/15 | 294,350 | ||||||
870,000 | Dynegy Holdings, Inc., 8.38%, 05/01/16 | 854,775 | ||||||
2,320,000 | Dynegy Holdings, Inc., 7.75%, 06/01/19 | 2,151,799 | ||||||
1,550,000 | Dynegy Holdings, Inc., 7.63%, 10/15/26 | 1,325,250 | ||||||
740,000 | El Paso Corp., 9.63%, 05/15/12 | 814,131 | ||||||
685,000 | Encore Acquisition Corp., 7.25%, 12/01/17 | 655,888 | ||||||
1,305,000 | Inergy LP/Inergy Finance Corp., 6.88%, 12/15/14 | 1,275,638 | ||||||
135,000 | Inergy LP/Inergy Finance Corp., 8.25%, 03/01/16 | 140,400 | ||||||
1,055,000 | Ocean Rig Norway AS — 144A (Norway), 8.38%, 07/01/13 | 1,126,213 | ||||||
1,075,000 | OPTI Canada, Inc. — 144A (Canada), 7.88%, 12/15/14 | 1,056,188 | ||||||
970,000 | OPTI Canada, Inc. — 144A (Canada), 8.25%, 12/15/14 | 965,150 | ||||||
525,000 | Parker Drilling Company, 9.63%, 10/01/13 | 560,438 | ||||||
4,215,000 | Petrohawk Energy Corp., 9.13%, 07/15/13 | 4,457,362 | ||||||
255,000 | Petroplus Finance, Ltd. — 144A (Bermuda), 6.75%, 05/01/14 | 238,744 | ||||||
1,980,000 | Petroplus Finance, Ltd. — 144A (Bermuda), 7.00%, 05/01/17 | 1,821,600 | ||||||
1,435,000 | Plains Exploration & Production Company, 7.00%, 03/15/17 | 1,379,394 | ||||||
1,015,000 | Quicksilver Resources, Inc., 7.13%, 04/01/16 | 1,002,313 | ||||||
440,000 | Ram Energy, Inc., 11.50%, 02/15/08 | 443,300 | ||||||
2,985,000 | Semgroup LP — 144A, 8.75%, 11/15/15 | 2,850,674 | ||||||
290,000 | SESI LLC, 6.88%, 06/01/14 | 281,300 | ||||||
5,205,000 | United Refining Company, 10.50%, 08/15/12 | 5,283,074 | ||||||
35,326,830 | ||||||||
Paper and Forest Products — 2.1% | ||||||||
115,000 | Georgia-Pacific Corp., 9.50%, 12/01/11 | 121,325 | ||||||
4,125,000 | NewPage Corp., 10.00%, 05/01/12 | 4,166,250 | ||||||
665,000 | NewPage Corp., Floating Rate, 11.16%, 05/01/12 (2) | 689,106 | ||||||
2,265,000 | NewPage Corp., 12.00%, 05/01/13 | 2,349,938 | ||||||
1,070,000 | Newpage Corp. — 144A, 10.00%, 05/01/12 | 1,080,700 | ||||||
2,805,000 | Verso Paper Holdings LLC, Series B, 11.38%, 08/01/16 | 2,861,100 | ||||||
11,268,419 | ||||||||
Printing and Publishing — 2.7% | ||||||||
2,181,634 | CanWest Media, Inc. (Canada), 8.00%, 09/15/12 | 2,069,825 | ||||||
1,461,000 | Dex Media West Finance Company, Series B, 9.88%, 08/15/13 | 1,523,093 | ||||||
2,855,000 | Idearc, Inc., 8.00%, 11/15/16 | 2,633,738 | ||||||
475,000 | MediaNews Group, Inc., 6.88%, 10/01/13 | 299,250 | ||||||
1,365,000 | Medimedia USA, Inc. — 144A, 11.38%, 11/15/14 | 1,412,775 | ||||||
1,860,000 | Nielsen Finance LLC/Nielsen Finance Company, 10.00%, 08/01/14 | 1,911,150 | ||||||
5,390,000 | Reader’s Digest Association — 144A, 9.00%, 02/15/17 | 4,541,074 | ||||||
14,390,905 | ||||||||
Real Estate Development and Services — 0.1% | ||||||||
630,000 | Ashton Woods USA, LLC/Ashton Woods Finance Company, 9.50%, 10/01/15 | 406,350 | ||||||
Retail — 7.0% | ||||||||
1,295,000 | Bon-Ton Department Stores, Inc., 10.25%, 03/15/14 | 984,200 | ||||||
4,950,000 | GameStop Corp., 8.00%, 10/01/12 | 5,178,937 | ||||||
1,925,000 | General Nutrition Centers, Inc., Floating Rate, 10.01%, 03/15/14 (12) | 1,828,750 | ||||||
1,925,000 | General Nutrition Centers, Inc., 10.75%, 03/15/15 | 1,799,875 | ||||||
2,555,000 | Michaels Stores, Inc., 10.00%, 11/01/14 | 2,440,025 | ||||||
2,795,000 | Michaels Stores, Inc., 11.38%, 11/01/16 | 2,578,388 | ||||||
2,020,000 | Neiman Marcus Group, Inc., 9.00%, 10/15/15 | 2,093,225 |
120
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2007
Principal | Value | |||||||
Corporate Bonds and Notes (continued) | ||||||||
Retail (continued) | ||||||||
$ | 8,110,000 | Neiman Marcus Group, Inc., 10.38%, 10/15/15 | $ | 8,485,087 | ||||
2,910,000 | Rite Aid Corp., 7.50%, 01/15/15 | 2,648,100 | ||||||
885,000 | Rite Aid Corp., 8.63%, 03/01/15 | 717,956 | ||||||
1,110,000 | Rite Aid Corp., 9.38%, 12/15/15 | 926,850 | ||||||
3,295,000 | Rite Aid Corp., 7.50%, 03/01/17 | 2,920,194 | ||||||
4,435,000 | Rite Aid Corp., 9.50%, 06/15/17 | 3,692,137 | ||||||
2,660,000 | Toys “R” Us, Inc., 7.38%, 10/15/18 | 1,935,150 | ||||||
38,228,874 | ||||||||
Retail: Restaurants — 0.7% | ||||||||
1,720,000 | El Pollo Loco, Inc., 11.75%, 11/15/13 | 1,634,000 | ||||||
2,220,000 | NPC International, Inc., Series WI, 9.50%, 05/01/14 | 1,998,000 | ||||||
3,632,000 | ||||||||
Rubber Products — 0.2% | ||||||||
960,000 | The Goodyear Tire & Rubber Company, Floating Rate, 8.66%, 12/01/09 (11) | 972,000 | ||||||
Semiconductors — 1.5% | ||||||||
4,710,000 | Advanced Micro Devices, Inc., 7.75%, 11/01/12 | 4,109,475 | ||||||
1,105,000 | Amkor Technology, Inc., 7.75%, 05/15/13 | 1,045,606 | ||||||
825,000 | Avago Technologies Finance Pte., Ltd., 10.13%, 12/01/13 | 867,281 | ||||||
605,000 | Avago Technologies Finance Pte., Ltd., 11.88%, 12/01/15 | 649,619 | ||||||
1,600,000 | Freescale Semiconductor, Inc., 8.88%, 12/15/14 | 1,436,000 | ||||||
8,107,981 | ||||||||
Telecommunications Equipment and Services — 4.8% | ||||||||
1,460,000 | Centennial Cellular/Communications, 10.13%, 06/15/13 | 1,540,300 | ||||||
1,170,000 | Citizens Communications Company, 7.13%, 03/15/19 | 1,117,350 | ||||||
2,455,000 | Digicel Group, Ltd. — 144A (Bermuda), 8.88%, 01/15/15 | 2,252,463 | ||||||
2,787,000 | Digicel Group, Ltd. — 144A (Bermuda), 9.13%, 01/15/15 | 2,550,105 | ||||||
2,060,000 | Digicel, Ltd. — 144A (Bermuda), 9.25%, 09/01/12 | 2,109,028 | ||||||
3,600,000 | Intelsat Bermuda, Ltd. (Bermuda), 9.25%, 06/15/16 | 3,635,999 | ||||||
1,210,000 | Level 3 Financing, Inc., 9.25%, 11/01/14 | 1,101,100 | ||||||
2,275,000 | Level 3 Financing, Inc., 8.75%, 02/15/17 | 1,962,188 | ||||||
1,745,000 | Qwest Communications International, Inc., Series B, 7.50%, 02/15/14 | 1,749,363 | ||||||
470,000 | Qwest Corp., 7.63%, 06/15/15 | 480,575 | ||||||
110,000 | Qwest Corp., 7.20%, 11/10/26 | 104,225 | ||||||
500,000 | Virgin Media Finance PLC (United Kingdom), 9.13%, 08/15/16 | 497,500 | ||||||
3,610,000 | West Corp., 9.50%, 10/15/14 | 3,555,850 | ||||||
905,000 | Windstream Corp., 8.13%, 08/01/13 | 941,200 | ||||||
1,870,000 | Windstream Corp., 8.63%, 08/01/16 | 1,972,850 | ||||||
445,000 | Windstream Regatta Holdings, Inc. — 144A, 11.00%, 12/01/17 | 442,775 | ||||||
26,012,871 | ||||||||
Transportation — 1.0% | ||||||||
805,000 | Kansas City Southern de Mexico — 144A (Mexico), 7.38%, 06/01/14 | 784,875 | ||||||
1,295,000 | Kansas City Southern de Mexico (Mexico), 7.63%, 12/01/13 | 1,283,669 | ||||||
2,325,000 | TFM, SA de CV (Mexico), 9.38%, 05/01/12 | 2,447,062 | ||||||
772,000 | Travelport LLC, 11.88%, 09/01/16 | 827,005 | ||||||
5,342,611 | ||||||||
Utilities — 3.3% | ||||||||
222,000 | AES Corp. — 144A, 8.75%, 05/15/13 | 232,823 | ||||||
580,000 | AES Corp. — 144A, 8.00%, 10/15/17 | 595,950 | ||||||
446,834 | AES Eastern Energy, Series 99-A, 9.00%, 01/02/17 | 483,698 | ||||||
1,040,000 | Edison Mission Energy, 7.50%, 06/15/13 | 1,071,200 | ||||||
4,065,000 | Energy Future Holdings Corp. — 144A, 10.88%, 11/01/17 | 4,105,649 |
121
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2007
Principal | Value | |||||||
Corporate Bonds and Notes (continued) | ||||||||
Utilities (continued) | ||||||||
$ | 660,000 | NRG Energy, Inc., 7.25%, 02/01/14 | $ | 645,150 | ||||
655,000 | NRG Energy, Inc., 7.38%, 02/01/16 | 640,263 | ||||||
2,005,000 | NRG Energy, Inc., 7.38%, 01/15/17 | 1,959,888 | ||||||
2,015,000 | Orion Power Holdings, Inc., 12.00%, 05/01/10 | 2,206,425 | ||||||
210,000 | Reliant Energy, Inc., 7.63%, 06/15/14 | 208,950 | ||||||
630,000 | Reliant Energy, Inc., 7.88%, 06/15/17 | 626,850 | ||||||
4,825,000 | Texas Competitive Electric Holdings Company LLC — 144A, 10.25%, 11/01/15 | 4,800,875 | ||||||
17,577,721 | ||||||||
Total Corporate Bonds and Notes (Cost $447,571,638) | 430,424,235 | |||||||
Loan Participations — 11.5% | ||||||||
2,793,000 | ADESA, Inc., Term Loan B, Floating Rate, 7.08%, 10/20/13 (2) | 2,628,411 | ||||||
992,500 | Advanced Medical Optics, Inc., Term Loan B, Floating Rate, 6.95%, 04/02/14 (2) | 929,848 | ||||||
875,600 | AMSCAN Holdings, Inc., Floating Rate, 7.49%, 05/25/13 (2) | 814,308 | ||||||
2,010,000 | BLB Worldwide Holdings, Floating Rate, 9.72%, 07/18/12 (2) | 1,839,150 | ||||||
860,000 | Cannery Casino Resorts LLC, Floating Rate, 9.20%, 05/15/14 (2) | 840,650 | ||||||
1,848,000 | Catalina Marketing, Floating Rate, 10.23%, 09/01/14 (2) | 1,784,091 | ||||||
3,661,600 | Claire’s Stores, Inc., Term Loan B, Floating Rate, 7.59%, 12/31/14 (2) | 3,095,425 | ||||||
848,848 | Community Health Systems, Inc., Floating Rate, 7.33%, 07/25/14 (2) | 818,298 | ||||||
1,099,969 | Dresser, Inc., Floating Rate, 7.45%, 05/04/14 (2) | 1,056,245 | ||||||
560,000 | Dresser, Inc., Floating Rate, 11.13%, 05/02/15 (2) | 534,100 | ||||||
96,738 | Hawker Beechcraft Acquisition Company, LLC, Floating Rate, 4.73%, 03/28/14 (2) | 92,263 | ||||||
1,137,546 | Hawker Beechcraft Acquisition Company, LLC, Term Loan B, Floating Rate, 6.83%, 03/28/14 (2) | 1,084,935 | ||||||
4,138,200 | HCA, Inc., Term Loan B, Floating Rate, 7.08%, 11/18/13 (2) | 3,993,189 | ||||||
3,260,000 | Hit Entertainment, Inc., Tranche LN227528, Floating Rate, 10.38%, 02/26/13 (2) | 3,113,300 | ||||||
1,100,000 | Intelsat, Ltd. (Bermuda), Floating Rate, 7.73%, 02/01/14 (2) | 1,086,250 | ||||||
2,365,405 | Lakes Entertainment, LLC, 9.00%, 08/15/12 | 2,324,011 | ||||||
3,980,000 | Laureate Education, Inc., Floating Rate, 8.48%, 08/22/15 (2) | 3,840,700 | ||||||
3,000,000 | Laureate Education, Inc., Floating Rate, 9.21%, 08/22/15 (2) | 2,820,000 | ||||||
2,160,000 | Laureate Education, Inc., Floating Rate, 9.86%, 08/22/17 (2) | 2,014,200 | ||||||
2,050,000 | Level 3 Financing, Inc., Floating Rate, 7.49%, 03/13/14 (2) | 1,945,899 | ||||||
750,000 | Neff Rental, Inc., Floating Rate, 8.40%, 11/20/14 (2) | 603,047 | ||||||
1,948,246 | Nielsen Finance, LLC, Floating Rate, 7.28%, 08/09/13 (2) | 1,851,376 | ||||||
125,443 | Ply Gem Industries, Inc., Floating Rate, 7.58%, 08/15/11 (2) | 114,843 | ||||||
3,357,051 | Ply Gem Industries, Inc., Term Loan B-3, Floating Rate, 7.58%, 08/15/11 (2) | 3,073,380 | ||||||
738,182 | Realogy Corp., Floating Rate, 4.97%, 10/10/13 (2) | 647,960 | ||||||
2,734,964 | Realogy Corp., Floating Rate, 8.24%, 10/10/13 (2) | 2,400,691 | ||||||
827,674 | Rental Services Corp., Floating Rate, 8.75%, 11/30/13 (2) | 773,876 | ||||||
3,095,406 | Sabre, Inc., Term Loan B, Floating Rate, 6.96%, 09/30/14 (2) | 2,830,539 | ||||||
3,040,000 | Sandridge Energy, Inc., Floating Rate, 8.63%, 04/01/15 (2) | 3,032,400 | ||||||
5,050,000 | Telesat Canada, Floating Rate, 5.38%, 10/31/08 (2) | 4,822,749 | ||||||
3,375,000 | Telesat Canada, Floating Rate, 10.50%, 10/31/08 (2) | 3,223,125 |
122
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2007
Principal | Value | |||||||
Loan Participations (continued) | ||||||||
$ | 698,250 | USI Holdings Corp., Floating Rate, 7.58%, 05/05/15 (2) | $ | 665,956 | ||||
1,440,000 | Veyance Technologies, Inc., 10.71%, 07/20/15 | 1,371,600 | ||||||
Total Loan Participations (Cost $65,618,213) | 62,066,815 | |||||||
Shares | ||||||||
Common Stocks — 0.2% | ||||||||
Airlines — 0.0% | ||||||||
11,466 | Delta Air Lines, Inc.* | 170,729 | ||||||
500,000 | Delta Air Lines, Inc. (Escrow Certificates)* | 26,250 | ||||||
196,979 | ||||||||
Banks and Financial Services — 0.0% | ||||||||
2,697,805 | Adelphia Contingent Value Vehicle CVV, Series Acc — 1* | 190,532 | ||||||
Broadcast Services/Media — 0.1% | ||||||||
620,000 | Adelphia Communications (Escrow Certificates)* | 62,775 | ||||||
840,000 | Adelphia Communications (Escrow Certificates)* | 91,350 | ||||||
1,305,000 | Adelphia Communications, Series B (Escrow Certificates)* | 133,762 | ||||||
1 | Time Warner Cable Inc. — Class A* | 28 | ||||||
287,915 | ||||||||
Leisure and Recreation — 0.1% | ||||||||
970 | HRP — Class B* (14) | 10 | ||||||
889 | Shreveport Gaming Holdings, Inc. (14) | 22,225 | ||||||
104,876 | Trump Entertainment Resorts, Inc.* | 450,967 | ||||||
473,202 | ||||||||
Utilities — 0.0% | ||||||||
550,000 | Mirant Corp. (Escrow Certificates)* (14) | 55 | ||||||
1,220,000 | Mirant Corp. (Escrow Certificates)* (14) | 122 | ||||||
177 | ||||||||
Total Common Stocks (Cost $4,483,837) | 1,148,805 | |||||||
Preferred Stocks — 0.5% | ||||||||
Leisure and Recreation | ||||||||
3,084,780 | Fontainebleau Resorts, 12.50%(12)(14) (Cost $2,999,998) | 2,782,163 | ||||||
Convertible Preferred Stocks — 0.8% | ||||||||
Oil, Coal and Gas — 0.6% | ||||||||
5,273 | Chesapeake Energy Corp. — 144A, 5.00% | 624,191 | ||||||
21,865 | Chesapeake Energy Corp., 4.50% | 2,364,153 | ||||||
2,988,344 | ||||||||
Telecommunications Equipment and Services — 0.2% | ||||||||
18,825 | Crown Castle International Corp., 6.25% | 1,145,972 | ||||||
Total Convertible Preferred Stocks (Cost $3,572,705) | 4,134,316 | |||||||
Warrants — 0.1% | ||||||||
Telecommunications Equipment and Services | ||||||||
1,125 | American Tower Corp., Expires 08/01/08* (Cost $75,400) | 672,469 | ||||||
Principal | ||||||||
Convertible Bonds — 0.3% | ||||||||
Aerospace and Defense | ||||||||
$ | 1,305,000 | L-3 Communications Corp. — 144A, 3.00%, 08/01/35 (Cost $1,318,875) | 1,583,944 | |||||
Total Securities (Cost $525,640,666) | 502,812,747 | |||||||
Repurchase Agreements — 5.1% | ||||||||
27,708,526 | With State Street Bank and Trust, dated 12/31/07, 3.80%, due 01/02/08, repurchase proceeds at maturity $27,714,375 (Collateralized by various Fannie Mae Adjustable Rate Mortgages, 3.81%-4.25%, due 10/01/33, with a total value of $28,263,632) (Cost $27,708,526) | 27,708,526 | ||||||
Total Investments — 98.5% (Cost $553,349,192) | 530,521,273 | |||||||
Other assets less liabilities — 1.5% | 8,205,745 | |||||||
Net Assets — 100.0% | $ | 538,727,018 | ||||||
Gross unrealized appreciation | $ | 4,583,763 | ||
Gross unrealized depreciation | (27,574,028 | ) | ||
Net unrealized depreciation | $ | (22,990,265 | ) | |
123
Shares | Value | |||||||
Common Stocks — 60.2% | ||||||||
Aerospace and Defense — 1.7% | ||||||||
2,900 | L-3 Communications Holdings, Inc. | $ | 307,226 | |||||
11,450 | Lockheed Martin Corp. | 1,205,227 | ||||||
22,271 | Northrop Grumman Corp. | 1,751,391 | ||||||
17,550 | Raytheon Company | 1,065,285 | ||||||
11,800 | The Boeing Company | 1,032,028 | ||||||
5,361,157 | ||||||||
Agriculture — 0.9% | ||||||||
14,000 | CF Industries Holdings, Inc. | 1,540,840 | ||||||
12,400 | Monsanto Company | 1,384,956 | ||||||
2,925,796 | ||||||||
Apparel: Manufacturing and Retail — 0.0% | ||||||||
1,900 | NIKE, Inc. — Class B | 122,056 | ||||||
Automobile: Rental — 0.0% | ||||||||
2,200 | Avis Budget Group, Inc.* | 28,600 | ||||||
Automobiles/Motor Vehicles, Automotive Equipment and Repairs — 0.4% | ||||||||
58,200 | AutoNation, Inc.* (8) | 911,412 | ||||||
1,200 | AutoZone, Inc.* | 143,892 | ||||||
30,700 | Ford Motor Company* (8) | 206,611 | ||||||
1,261,915 | ||||||||
Banks and Financial Services — 7.4% | ||||||||
6,920 | Ameriprise Financial, Inc. | 381,361 | ||||||
97,712 | Bank of America Corp. | 4,031,596 | ||||||
45,062 | Bank of New York Mellon Corp. | 2,197,223 | ||||||
16,100 | BB&T Corp. (8) | 493,787 | ||||||
4,700 | Capital One Financial Corp. | 222,122 | ||||||
55,999 | Citigroup, Inc. | 1,648,611 | ||||||
1,700 | CME Group, Inc. | 1,166,200 | ||||||
11,400 | Hudson City Bancorp, Inc. | 171,228 | ||||||
21,000 | Janus Capital Group, Inc. | 689,850 | ||||||
81,500 | JPMorgan Chase & Company | 3,557,474 | ||||||
3,900 | MasterCard, Inc. — Class A (8) | 839,280 | ||||||
32,800 | Morgan Stanley | 1,742,008 | ||||||
30,700 | National City Corp. | 505,322 | ||||||
27,000 | Regions Financial Corp. | 638,550 | ||||||
3,200 | SLM Corp. | 64,448 | ||||||
24,600 | SunTrust Banks, Inc. | 1,537,254 | ||||||
20,482 | US Bancorp | 650,099 | ||||||
36,150 | Washington Mutual, Inc. (8) | 492,002 | ||||||
78,200 | Wells Fargo & Company (8) | 2,360,858 | ||||||
23,389,273 | ||||||||
Broadcast Services/Media — 2.3% | ||||||||
60,850 | CBS Corp. — Class B | 1,658,163 | ||||||
3,100 | Liberty Media Corp. — Capital — Series A* | 361,119 | ||||||
25,400 | The DIRECTV Group, Inc.* | 587,248 | ||||||
70,800 | The Walt Disney Company | 2,285,423 | ||||||
138,390 | Time Warner, Inc. | 2,284,819 | ||||||
7,176,772 | ||||||||
Business Services and Supplies — 0.5% | ||||||||
31,700 | Accenture, Ltd. — Class A (Bermuda) | 1,142,151 | ||||||
3,400 | Fair Isaac Corp. | 109,310 | ||||||
7,700 | Manpower, Inc. | 438,130 | ||||||
1,689,591 | ||||||||
Chemicals — 0.4% | ||||||||
12,100 | Ashland, Inc. | 573,903 | ||||||
7,400 | EI du Pont de Nemours and Company | 326,266 | ||||||
6,200 | Terra Industries, Inc.* | 296,112 | ||||||
1,196,281 | ||||||||
Computer Equipment, Software and Services — 4.7% | ||||||||
10,900 | Apple, Inc.* | 2,159,072 | ||||||
54,800 | CA, Inc. | 1,367,260 | ||||||
2,600 | Computer Sciences Corp.* | 128,622 | ||||||
64,600 | Dell, Inc.* | 1,583,346 | ||||||
89,000 | EMC Corp.* | 1,649,170 | ||||||
30,687 | Hewlett-Packard Company | 1,549,080 | ||||||
7,850 | International Business Machines Corp. | 848,585 | ||||||
162,350 | Microsoft Corp. | 5,779,660 | ||||||
15,064,795 | ||||||||
Consumer Goods and Services — 3.5% | ||||||||
49,750 | Altria Group, Inc. (5) | 3,760,105 | ||||||
17,600 | American Greetings Corp. — Class A | 357,280 | ||||||
9,400 | Colgate-Palmolive Company | 732,824 | ||||||
3,500 | Energizer Holdings, Inc.* | 392,455 | ||||||
8,000 | Kimberly-Clark Corp. | 554,720 | ||||||
37,098 | The Procter & Gamble Company | 2,723,735 | ||||||
15,700 | United Parcel Service, Inc. — Class B | 1,110,304 | ||||||
25,400 | UST, Inc. (8) | 1,391,920 | ||||||
11,023,343 | ||||||||
Distribution — 0.0% | ||||||||
1,300 | Universal Corp. | 66,586 | ||||||
Diversified Operations and Services — 1.4% | ||||||||
124,200 | General Electric Company | 4,604,094 | ||||||
Education — 0.8% | ||||||||
20,600 | Apollo Group, Inc. — Class A* | 1,445,090 | ||||||
1,100 | Career Education Corp.* | 27,654 | ||||||
13,700 | ITT Educational Services, Inc.* | 1,168,199 | ||||||
2,640,943 | ||||||||
Electronics — 1.2% | ||||||||
2,900 | Avnet, Inc.* | 101,413 | ||||||
36,300 | Emerson Electric Company | 2,056,758 | ||||||
1,100 | Garmin, Ltd. (Cayman Islands) | 106,700 | ||||||
38,225 | Tyco Electronics, Ltd. (Bermuda) | 1,419,294 | ||||||
3,684,165 | ||||||||
124
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2007
Shares | Value | |||||||
Common Stocks (continued) | ||||||||
Engineering — 0.1% | ||||||||
100 | Fluor Corp. | $ | 14,572 | |||||
2,200 | Foster Wheeler, Ltd. (Bermuda)* | 341,044 | ||||||
355,616 | ||||||||
Food and Beverage — 1.9% | ||||||||
10,600 | Coca-Cola Enterprises, Inc. | 275,918 | ||||||
100 | Hansen Natural Corp.* | 4,429 | ||||||
23,154 | Kraft Foods, Inc. — Class A | 755,515 | ||||||
2,600 | Molson Coors Brewing Company — Class B | 134,212 | ||||||
5,100 | PepsiAmericas, Inc. | 169,932 | ||||||
35,500 | PepsiCo, Inc. (8) | 2,694,450 | ||||||
14,350 | The Coca-Cola Company | 880,660 | ||||||
81,200 | Tyson Foods, Inc. — Class A | 1,244,796 | ||||||
6,159,912 | ||||||||
Insurance — 2.2% | ||||||||
25,603 | American International Group, Inc. | 1,492,655 | ||||||
16,200 | CIGNA Corp. | 870,426 | ||||||
11,176 | Genworth Financial, Inc. — Class A | 284,429 | ||||||
10,300 | Loews Corp. | 518,502 | ||||||
20,200 | MetLife, Inc. | 1,244,724 | ||||||
3,200 | Prudential Financial, Inc. | 297,728 | ||||||
18,100 | The Chubb Corp. | 987,898 | ||||||
7,200 | The Travelers Companies, Inc. | 387,360 | ||||||
20,600 | XL Capital, Ltd. — Class A (Cayman Islands) | 1,036,386 | ||||||
7,120,108 | ||||||||
Internet Services — 3.7% | ||||||||
19,200 | Amazon.com, Inc.* | 1,778,688 | ||||||
136,250 | Cisco Systems, Inc.* | 3,688,288 | ||||||
28,700 | eBay, Inc.* | 952,553 | ||||||
18,100 | Expedia, Inc.* | 572,322 | ||||||
1,490 | Google, Inc. — Class A* | 1,030,305 | ||||||
46,700 | Juniper Networks, Inc.* | 1,550,440 | ||||||
93,300 | Symantec Corp.* | 1,505,862 | ||||||
8,100 | VeriSign, Inc.* | 304,641 | ||||||
15,600 | Yahoo!, Inc.* | 362,856 | ||||||
11,745,955 | ||||||||
Leisure and Recreation — 0.0% | ||||||||
2,400 | Carnival Corp. (Panama) | 106,776 | ||||||
Machinery — 0.2% | ||||||||
7,200 | AGCO Corp.* | 489,456 | ||||||
100 | Deere & Company | 9,312 | ||||||
3,300 | Rockwell Automation, Inc. | 227,568 | ||||||
726,336 | ||||||||
Manufacturing — 1.8% | ||||||||
26,200 | 3M Company | 2,209,184 | ||||||
23,400 | Honeywell International, Inc. | 1,440,738 | ||||||
16,500 | Ingersoll-Rand Company, Ltd. — Class A (Bermuda) | 766,755 | ||||||
13,100 | SPX Corp. | 1,347,335 | ||||||
5,764,012 | ||||||||
Medical Equipment, Supplies, and Services — 1.3% | ||||||||
2,000 | Becton, Dickinson and Company | 167,160 | ||||||
200 | Covidien, Ltd. (Bermuda) | 8,858 | ||||||
2,100 | Invitrogen Corp.* | 196,161 | ||||||
23,750 | Johnson & Johnson | 1,584,125 | ||||||
12,100 | Kinetic Concepts, Inc.* (8) | 648,076 | ||||||
5,800 | McKesson Corp. | 379,958 | ||||||
20,850 | Medtronic, Inc. | 1,048,130 | ||||||
4,032,468 | ||||||||
Metals and Mining — 0.9% | ||||||||
18,900 | Freeport-McMoRan Copper & Gold, Inc. | 1,936,116 | ||||||
3,200 | Newmont Mining Corp. | 156,256 | ||||||
7,400 | Southern Copper Corp. (8) | 777,962 | ||||||
2,870,334 | ||||||||
Office Equipment, Supplies, and Services — 0.0% | ||||||||
1,300 | HNI Corp. (8) | 45,578 | ||||||
Oil, Coal and Gas — 7.6% | ||||||||
28,800 | Anadarko Petroleum Corp. | 1,891,872 | ||||||
3,400 | Apache Corp. | 365,636 | ||||||
44,300 | Chevron Corp. | 4,134,518 | ||||||
8,162 | ConocoPhillips | 720,705 | ||||||
20,950 | Devon Energy Corp. | 1,862,665 | ||||||
11,200 | Dresser-Rand Group, Inc.* | 437,360 | ||||||
99,050 | Exxon Mobil Corp. | 9,279,994 | ||||||
17,000 | Global Industries, Ltd.* | 364,140 | ||||||
43,300 | Halliburton Company | 1,641,503 | ||||||
10,200 | National-Oilwell Varco, Inc.* | 749,292 | ||||||
4,100 | Noble Energy, Inc. | 326,032 | ||||||
5,000 | Pioneer Natural Resources Company | 244,200 | ||||||
3,800 | Schlumberger, Ltd. (Netherlands Antilles) | 373,806 | ||||||
20,200 | Valero Energy Corp. | 1,414,606 | ||||||
23,806,329 | ||||||||
Pharmaceuticals/Research and Development — 6.1% | ||||||||
31,700 | AmerisourceBergen Corp. | 1,422,379 | ||||||
39,034 | Amgen, Inc.* | 1,812,739 | ||||||
20,400 | Biogen Idec, Inc.* | 1,161,168 | ||||||
9,600 | Cardinal Health, Inc. | 554,400 | ||||||
26,300 | Eli Lilly and Company | 1,404,157 | ||||||
18,600 | Express Scripts, Inc.* | 1,357,800 | ||||||
18,500 | Gilead Sciences, Inc.* | 851,185 | ||||||
18,100 | Medco Health Solutions, Inc.* | 1,835,340 | ||||||
55,800 | Merck & Company, Inc. | 3,242,538 |
125
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2007
Shares | Value | |||||||
Common Stocks (continued) | ||||||||
Pharmaceuticals/Research and Development (continued) | ||||||||
163,160 | Pfizer, Inc. | $ | 3,708,627 | |||||
61,400 | Schering-Plough Corp. | 1,635,696 | ||||||
4,400 | Wyeth | 194,436 | ||||||
19,180,465 | ||||||||
Real Estate Development and Services — 0.1% | ||||||||
3,400 | Jones Lang LaSalle, Inc. | 241,944 | ||||||
Real Estate Investment Trusts — 1.1% | ||||||||
5,600 | AvalonBay Communities, Inc. (8) | 527,184 | ||||||
3,000 | General Growth Properties, Inc. (8) | 123,540 | ||||||
15,900 | ProLogis | 1,007,742 | ||||||
100 | Regency Centers Corp. | 6,449 | ||||||
17,700 | Simon Property Group, Inc. | 1,537,422 | ||||||
5,200 | The Macerich Company | 369,512 | ||||||
3,571,849 | ||||||||
Registered Investment Companies — 0.0% | ||||||||
100 | Tri-Continental Corp. | 2,090 | ||||||
Retail — 0.9% | ||||||||
29,300 | CVS Caremark Corp. | 1,164,675 | ||||||
10,200 | GameStop Corp. — Class A* | 633,522 | ||||||
27,700 | RadioShack Corp. (8) | 467,022 | ||||||
14,900 | The Home Depot, Inc. | 401,406 | ||||||
7,570 | Wal-Mart Stores, Inc. | 359,802 | ||||||
3,026,427 | ||||||||
Retail: Restaurants — 0.2% | ||||||||
17,200 | YUM! Brands, Inc. | 658,244 | ||||||
Retail: Supermarkets — 0.5% | ||||||||
58,800 | The Kroger Company | 1,570,548 | ||||||
Scientific and Technical Instruments — 0.1% | ||||||||
6,600 | PerkinElmer, Inc. | 171,732 | ||||||
Semiconductors — 1.8% | ||||||||
4,100 | Analog Devices, Inc. | 129,970 | ||||||
127,650 | Intel Corp. | 3,403,149 | ||||||
13,350 | NVIDIA Corp.* | 454,167 | ||||||
55,050 | Texas Instruments, Inc. | 1,838,670 | ||||||
5,825,956 | ||||||||
Telecommunications Equipment and Services — 2.5% | ||||||||
59,345 | AT&T, Inc. | 2,466,378 | ||||||
30,750 | CenturyTel, Inc. | 1,274,895 | ||||||
7,500 | Embarq Corp. | 371,475 | ||||||
122,250 | Sprint Nextel Corp. | 1,605,143 | ||||||
53,900 | Verizon Communications, Inc. | 2,354,891 | ||||||
8,072,782 | ||||||||
Transportation — 0.2% | ||||||||
9,500 | CSX Corp. | 417,810 | ||||||
5,700 | JB Hunt Transport Services, Inc. | 157,035 | ||||||
2,300 | Ryder System, Inc. | 108,123 | ||||||
682,968 | ||||||||
Utilities — 1.8% | ||||||||
56,800 | Duke Energy Corp. | 1,145,656 | ||||||
200 | Edison International | 10,674 | ||||||
10,450 | Entergy Corp. | 1,248,984 | ||||||
4,500 | FirstEnergy Corp. | 325,530 | ||||||
14,400 | NRG Energy, Inc.* (8) | 624,096 | ||||||
23,150 | PG&E Corp. | 997,534 | ||||||
51,800 | Reliant Energy, Inc.* | 1,359,232 | ||||||
5,711,706 | ||||||||
Total Common Stocks (Cost $178,700,782) | 191,685,502 | |||||||
Principal | ||||||||
US Treasury Securities — 0.5% | ||||||||
US Treasury Bonds — 0.0% | ||||||||
$ | 50,000 | 8.88%, 08/15/17 | 68,813 | |||||
US Treasury Notes — 0.0% | ||||||||
6,000 | 5.13%, 05/15/16 | 6,496 | ||||||
10,000 | 4.75%, 08/15/17 (8) | 10,565 | ||||||
17,061 | ||||||||
US Treasury Strips — 0.5% | ||||||||
3,270,000 | Zero coupon, 11/15/24 | 1,495,737 | ||||||
Total US Treasury Securities (Cost $1,421,715) | 1,581,611 | |||||||
US Government Agency Securities — 21.6% | ||||||||
Asset Backed: Mortgage and Home Equity — 0.8% | ||||||||
600,000 | Fannie Mae Grantor Trust, Series 2001-T2, Class B, 6.02%, 11/25/10 (5) | 623,300 | ||||||
193,632 | Fannie Mae, Series 1999-7, Class AB, 6.00%, 03/25/29 (5) | 197,632 | ||||||
760,000 | Fannie Mae, Series 2003-35, Class TE, 5.00%, 05/25/18 (5) | 761,582 | ||||||
407,804 | Fannie Mae, Series 2004-60, Class LB, 5.00%, 04/25/34 (5) | 407,310 | ||||||
526,804 | Fannie Mae, Series 2004-99, Class A0, 5.50%, 01/25/34 (5) | 534,613 | ||||||
2,524,437 | ||||||||
Fannie Mae — 13.3% | ||||||||
1,888,796 | PL# 256219, 5.50%, 04/01/36 (4)(5) | 1,868,370 | ||||||
1,221,065 | PL# 256552, 5.50%, 01/01/37 (5) | 1,219,936 | ||||||
102,813 | PL# 535675, 7.00%, 01/01/16 (5) | 107,060 | ||||||
941 | PL# 549906, 7.50%, 09/01/30 (5) | 1,004 | ||||||
1,800 | PL# 552549, 7.50%, 09/01/30 (5) | 1,922 |
126
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2007
Principal | Value | |||||||
US Government Agency Securities (continued) | ||||||||
Fannie Mae (continued) | ||||||||
$ | 580 | PL# 558384, 7.50%, 01/01/31 (5) | $ | 619 | ||||
2,430 | PL# 568677, 7.50%, 01/01/31 (5) | 2,595 | ||||||
273 | PL# 572762, 7.50%, 03/01/31 (5) | 291 | ||||||
15,729 | PL# 582178, 7.50%, 06/01/31 (5) | 16,779 | ||||||
13,022 | PL# 594316, 6.50%, 07/01/31 (5) | 13,468 | ||||||
2,476 | PL# 602859, 6.50%, 10/01/31 (5) | 2,561 | ||||||
13,434 | PL# 614924, 7.00%, 12/01/16 (5) | 13,986 | ||||||
899,471 | PL# 735809, Variable Rate, 4.47%, 08/01/35 (1) | 900,630 | ||||||
72,677 | PL# 745000, 6.00%, 10/01/35 (5) | 73,856 | ||||||
1,348,419 | PL# 745275, 5.00%, 02/01/36 (5) | 1,316,636 | ||||||
298,771 | PL# 745959, 5.50%, 11/01/36 (5) | 298,495 | ||||||
51,981 | PL# 779545, 6.00%, 06/01/34 (5) | 52,865 | ||||||
44,133 | PL# 785183, 6.00%, 07/01/34 (5) | 44,884 | ||||||
201,116 | PL# 787311, 6.00%, 06/01/34 (5) | 204,537 | ||||||
2,327,766 | PL# 790915, 6.00%, 09/01/34 (5) | 2,367,370 | ||||||
1,431,750 | PL# 792113, 6.00%, 09/01/34 (5) | 1,456,110 | ||||||
51,756 | PL# 793193, 5.50%, 07/01/19 (5) | 52,489 | ||||||
339,118 | PL# 793693, 6.00%, 08/01/34 (5) | 344,887 | ||||||
92,472 | PL# 801516, Variable Rate, 4.71%, 08/01/34 (1)(5) | 93,092 | ||||||
403,114 | PL# 810896, Variable Rate, 4.83%, 01/01/35 (1)(5) | 406,422 | ||||||
1,055,372 | PL# 835136, 6.00%, 09/01/35 (5) | 1,072,481 | ||||||
1,275,294 | PL# 844183, 6.00%, 11/01/35 (5) | 1,295,969 | ||||||
240,387 | PL# 888022, 5.00%, 02/01/36 (5) | 234,721 | ||||||
714,220 | PL# 893681, 6.00%, 10/01/36 (5) | 725,540 | ||||||
1,406,862 | PL# 893923, 6.00%, 10/01/36 (5) | 1,429,161 | ||||||
1,745,255 | PL# 894005, 6.00%, 10/01/36 (5) | 1,772,918 | ||||||
5,155,647 | PL# 911205, 6.50%, 05/01/37 (5) | 5,300,480 | ||||||
997,534 | PL# 938338, 6.00%, 07/01/37 (5) | 1,013,210 | ||||||
199,018 | PL# 950385, Variable Rate, 5.88%, 08/01/37 (1) | 203,383 | ||||||
2,200,000 | TBA, 5.50%, 01/01/23 (5) | 2,228,532 | ||||||
200,000 | TBA, 6.00%, 01/01/23 (5) | 204,656 | ||||||
11,000,000 | TBA, 5.00%, 01/01/38 (5) | 10,733,591 | ||||||
5,500,000 | TBA, 5.50%, 01/01/38 (5) | 5,493,983 | ||||||
100,000 | TBA, 6.00%, 01/01/38 (5) | 101,547 | ||||||
42,671,036 | ||||||||
Federal Agricultural Mortgage Corp. — 0.3% | ||||||||
220,000 | 4.25%, 07/29/08 | 219,859 | ||||||
600,000 | 144A, 5.13%, 04/19/17 (5) | 616,434 | ||||||
836,293 | ||||||||
Freddie Mac — 1.0% | ||||||||
430,000 | 5.63%, 11/23/35 (5) | 441,358 | ||||||
1,289,059 | PL# 1G3704, Variable Rate, 5.66%, 09/01/37 (1)(5) | 1,304,773 | ||||||
235,732 | PL# 1N1447, Variable Rate, 5.81%, 02/01/37 (1)(5) | 239,828 | ||||||
460,965 | PL# 1N1463, Variable Rate, 5.97%, 05/01/37 (1)(5) | 468,512 | ||||||
625,309 | PL# 1N1582, Variable Rate, 5.94%, 05/01/37 (1)(5) | 634,174 | ||||||
3,088,645 | ||||||||
Freddie Mac Gold — 3.3% | ||||||||
85,575 | PL# A39644, 5.50%, 11/01/35 (5) | 85,445 | ||||||
2,415,836 | PL# A66092, 6.00%, 09/01/37 (5) | 2,452,291 | ||||||
4,732,443 | PL# G02427, 5.50%, 12/01/36 (5) | 4,724,009 | ||||||
89,708 | PL# G03441, 6.00%, 10/01/37 (5) | 91,061 | ||||||
900,000 | TBA, 5.00%, 01/01/23 (5) | 900,985 | ||||||
1,000,000 | TBA, 5.00%, 01/01/38 (5) | 975,781 | ||||||
1,200,000 | TBA, 6.00%, 01/01/38 (5) | 1,217,813 | ||||||
10,447,385 | ||||||||
Government National Mortgage Association — 2.6% | ||||||||
3,151 | PL# 461836, 7.00%, 01/15/28 (5) | 3,345 | ||||||
1,497 | PL# 596647, 7.00%, 09/15/32 (5) | 1,588 | ||||||
205,090 | PL# 604404, 5.00%, 06/15/33 (5) | 202,184 | ||||||
598,801 | PL# 604845, 5.00%, 12/15/33 (5) | 590,316 | ||||||
732,537 | PL# 608280, 5.00%, 09/15/33 (5) | 722,158 | ||||||
717,175 | PL# 615892, 5.00%, 08/15/33 (4)(5) | 707,014 | ||||||
767,636 | PL# 616832, 5.00%, 01/15/35 (4) | 756,758 | ||||||
683,937 | PL# 620521, 5.00%, 08/15/33 (4) | 674,246 | ||||||
531,162 | PL# 637934, 5.00%, 01/15/35 (4) | 523,635 | ||||||
801,685 | PL# 639093, 5.00%, 01/15/35 (4) | 790,325 | ||||||
435,213 | PL# 639865, 5.00%, 06/15/35 (4) | 429,046 | ||||||
97,553 | PL# 781881, 5.00%, 03/15/35 (5) | 96,172 | ||||||
1,300,000 | TBA, 5.50%, 01/01/38 (5) | 1,303,859 | ||||||
1,400,000 | TBA, 6.00%, 01/01/38 (5) | 1,433,469 | ||||||
8,234,115 | ||||||||
Resolution Funding Strips — 0.1% | ||||||||
250,000 | Zero coupon, 07/15/18 | 155,893 | ||||||
250,000 | Zero coupon, 10/15/18 | 153,953 | ||||||
309,846 | ||||||||
Tennessee Valley Authority — 0.2% | ||||||||
630,000 | 5.98%, 04/01/36 | 718,944 | ||||||
Total US Government Agency Securities (Cost $68,416,086) | 68,830,701 | |||||||
Corporate Bonds and Notes — 23.7% | ||||||||
Advertising — 0.0% | ||||||||
40,000 | Lamar Media Corp., 7.25%, 01/01/13 | 40,200 | ||||||
60,000 | Lamar Media Corp., Series B, 6.63%, 08/15/15 | 58,650 | ||||||
35,000 | RH Donnelley Corp. — 144A, 8.88%, 10/15/17 | 32,550 | ||||||
131,400 | ||||||||
127
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2007
Principal | Value | |||||||
Corporate Bonds and Notes (continued) | ||||||||
Aerospace and Defense — 0.0% | ||||||||
$ | 25,000 | DRS Technologies, Inc., 6.63%, 02/01/16 | $ | 24,813 | ||||
Airlines — 0.1% | ||||||||
100,000 | Delta Air Lines, Inc. — 144A, Class A, 6.82%, 08/10/22 (5) | 99,000 | ||||||
300,000 | Delta Air Lines, Inc., Series 2000-1, Class A-2, 7.57%, 11/18/10 (5) | 303,338 | ||||||
402,338 | ||||||||
Automobile: Rental — 0.0% | ||||||||
35,000 | Hertz Corp., 8.88%, 01/01/14 | 35,656 | ||||||
20,000 | Hertz Corp., 10.50%, 01/01/16 | 20,800 | ||||||
56,456 | ||||||||
Automobiles/Motor Vehicles, Automotive Equipment and Repairs — 0.5% | ||||||||
45,000 | Daimler Chrysler NA Holding, 4.05%, 06/04/08 | 44,831 | ||||||
300,000 | Daimler Chrysler NA Holding, 5.88%, 03/15/11 | 304,630 | ||||||
580,000 | Ford Motor Company, 7.45%, 07/16/31 | 433,550 | ||||||
970,000 | General Motors Corp., 8.25%, 07/15/23 | 776,000 | ||||||
80,000 | Visteon Corp., 8.25%, 08/01/10 | 71,200 | ||||||
1,630,211 | ||||||||
Banks and Financial Services — 5.4% | ||||||||
100,000 | AGFC Capital Trust I — 144A, Variable Rate, 6.00%, 01/15/67 (1)(5) | 90,838 | ||||||
200,000 | Aiful Corp. — 144A (Japan), 5.00%, 08/10/10 (5) | 196,399 | ||||||
190,000 | American Express Company, Variable Rate, 6.80%, 09/01/66 (1)(5) | 192,966 | ||||||
10,000 | BAC Capital Trust XIV, Variable Rate, 5.63%, perpetual (1) | 8,882 | ||||||
40,000 | Bank of America Corp., 5.38%, 08/15/11 | 40,827 | ||||||
100,000 | Countrywide Financial Corp., Series MTN, Floating Rate, 5.38%, 01/05/09 (2) | 79,245 | ||||||
760,000 | Countrywide Financial Corp., Series MTNA, 4.50%, 06/15/10 | 552,537 | ||||||
280,000 | Countrywide Financial Corp., Series MTNB, Floating Rate, 5.20%, 02/27/08 (2) | 266,964 | ||||||
120,000 | Countrywide Financial Corp., Series MTNB, Floating Rate, 5.08%, 06/18/08 (2) | 106,162 | ||||||
90,000 | Credit Suisse (Guernsey), Variable Rate, 5.86%, perpetual (1)(5) | 80,708 | ||||||
170,000 | European Investment Bank, 4.63%, 03/21/12 (5) | 175,151 | ||||||
2,645,000 | Ford Motor Credit Company LLC, 5.80%, 01/12/09 | 2,511,218 | ||||||
220,000 | Ford Motor Credit Company LLC, 7.38%, 10/28/09 | 207,159 | ||||||
129,000 | Ford Motor Credit Company LLC, Floating Rate, 10.24%, 06/15/11 (2) | 122,384 | ||||||
1,130,000 | General Motors Acceptance Corp., 5.85%, 01/14/09 | 1,080,919 | ||||||
160,000 | Glitnir Banki HF — 144A (Iceland), 6.33%, 07/28/11 (4) | 156,540 | ||||||
380,000 | Glitnir Banki HF — 144A (Iceland), Variable Rate, 6.69%, 06/15/16 (1)(4) | 383,097 | ||||||
80,000 | GMAC LLC, 5.13%, 05/09/08 (8) | 79,123 | ||||||
1,020,000 | GMAC LLC, 6.63%, 05/15/12 | 848,704 | ||||||
270,000 | GMAC LLC, 8.00%, 11/01/31 | 227,035 | ||||||
160,000 | GMAC LLC, Series MTN, Floating Rate, 6.03%, 09/23/08 (2) | 154,598 | ||||||
20,000 | Goldman Sachs Capital II, Variable Rate, 5.79%, perpetual (1) | 17,823 | ||||||
560,000 | HSBC Finance Corp., 4.63%, 01/15/08 | 559,913 | ||||||
200,000 | ICICI Bank, Ltd. — 144A (India), Variable Rate, 6.38%, 04/30/22 (1) | 179,275 | ||||||
162,000 | ICICI Bank, Ltd. — 144A (India), Variable Rate, 6.38%, 04/30/22 (1)(4) | 146,894 | ||||||
330,000 | JPMorgan Chase & Company, 5.13%, 09/15/14 | 323,912 | ||||||
450,000 | JPMorgan Chase & Company, 5.15%, 10/01/15 | 434,703 | ||||||
600,000 | Kaupthing Bank — 144A (Iceland), Floating Rate, 5.94%, 04/12/11 (2) | 585,720 | ||||||
130,000 | Kaupthing Bank — 144A (Iceland), 7.13%, 05/19/16 | 119,360 | ||||||
140,000 | Landisbanki Islands HF — 144A (Iceland), 6.10%, 08/25/11 | 138,089 | ||||||
200,000 | Lehman Brothers Capital Trust VII, Series MTN, Variable Rate, 5.86%, perpetual (1) | 178,417 | ||||||
180,000 | Lehman Brothers Holdings, Inc., 4.50%, 07/26/10 | 178,090 |
128
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2007
Principal | Value | |||||||
Corporate Bonds and Notes (continued) | ||||||||
Banks and Financial Services (continued) | ||||||||
$ | 100,000 | Lehman Brothers Holdings, Inc., Series MTN, 5.25%, 02/06/12 | $ | 99,039 | ||||
300,000 | Lehman Brothers Holdings, Inc., Series MTN, 6.75%, 12/28/17 | 309,770 | ||||||
170,000 | Mitsubishi UFJ Financial Group Capital Financial I, Ltd. (Cayman Islands), Variable Rate, 6.35%, perpetual (1) | 161,272 | ||||||
70,000 | Morgan Stanley, 3.63%, 04/01/08 | 69,708 | ||||||
260,000 | Morgan Stanley, Series MTN, 5.63%, 01/09/12 | 264,720 | ||||||
100,000 | Morgan Stanley, Series MTNF, Floating Rate, 5.66%, 10/18/16 (2) | 93,462 | ||||||
20,000 | Rabobank Capital Funding Trust II — 144A, Variable Rate, 5.26%, perpetual (1) | 18,657 | ||||||
40,000 | Rabobank Capital Funding Trust III — 144A, Variable Rate, 5.25%, perpetual (1) | 35,862 | ||||||
30,000 | Residential Capital LLC, Floating Rate, 7.81%, 04/17/09 (2) | 21,450 | ||||||
80,000 | Residential Capital LLC, Floating Rate, 7.62%, 05/22/09 (2) | 57,200 | ||||||
680,000 | Residential Capital LLC, 7.50%, 02/22/11 (10) | 426,700 | ||||||
235,000 | Resona Preferred Global Securities — 144A (Cayman Islands), Variable Rate, 7.19%, perpetual (1) | 233,507 | ||||||
100,000 | Royal Bank of Scotland Group PLC, Series MTNU (United Kingdom), Variable Rate, 7.64%, perpetual (1) | 102,985 | ||||||
270,000 | RSHB Capital Bank — 144A (Luxembourg), 6.30%, 05/15/17 | 256,500 | ||||||
260,000 | Santander Issuances — 144A (Spain), Variable Rate, 5.81%, 06/20/16 (1) | 265,544 | ||||||
300,000 | Shinsei Financial, Ltd. — 144A (Cayman Islands), Variable Rate, 6.42%, perpetual (1) | 255,094 | ||||||
520,000 | Sigma Finance, Inc. — 144A, Series MTN1, Variable Rate, 8.50%, 08/11/16 (1) | 491,442 | ||||||
60,000 | SLM Corp., Series MTN, 5.05%, 11/14/14 | 51,933 | ||||||
265,000 | SLM Corp., Series MTNA, 5.00%, 10/01/13 | 232,555 | ||||||
500,000 | SLM Corp., Series MTNA, 5.38%, 05/15/14 | 445,117 | ||||||
10,000 | SLM Corp., Series MTNA, 5.00%, 04/15/15 | 8,541 | ||||||
45,000 | SLM Corp., Series MTNA, 5.63%, 08/01/33 | 34,885 | ||||||
215,000 | SunTrust Banks, Inc., Series CD, 4.42%, 06/15/09 | 213,518 | ||||||
220,000 | The Bear Stearns Companies, Inc., 5.55%, 01/22/17 (5) | 197,506 | ||||||
170,000 | The Goldman Sachs Group, Inc., 4.50%, 06/15/10 (4) | 169,538 | ||||||
70,000 | The Goldman Sachs Group, Inc., 5.45%, 11/01/12 (4) | 71,437 | ||||||
310,000 | TNK-BP Finance SA, Series 2 — 144A (Luxembourg), 7.50%, 07/18/16 | 301,088 | ||||||
100,000 | TNK-BP Finance SA, Series 6 — 144A, (Luxembourg), 7.88%, 03/13/18 | 99,250 | ||||||
390,000 | Turanalem Finance BV — 144A (the Netherlands), 8.25%, 01/22/37 | 334,425 | ||||||
350,000 | Turanalem Finance BV — 144A (the Netherlands), 8.25%, 01/22/37 | 299,250 | ||||||
170,000 | Wachovia Capital Trust III, Variable Rate, 5.80%, perpetual (1) | 152,010 | ||||||
430,000 | Wachovia Corp., 5.25%, 08/01/14 | 421,003 | ||||||
130,000 | Wells Fargo Capital X, 5.95%, 12/15/36 | 121,728 | ||||||
16,740,348 | ||||||||
Broadcast Services/Media — 0.7% | ||||||||
60,000 | CCH I, LLC/CCH I Capital Corp., 11.00%, 10/01/15 | 49,200 | ||||||
20,000 | Clear Channel Communications, Inc., 4.63%, 01/15/08 | 19,989 | ||||||
100,000 | Clear Channel Communications, Inc., 4.25%, 05/15/09 | 94,966 | ||||||
170,000 | Clear Channel Communications, Inc., 5.50%, 09/15/14 (8) | 129,750 | ||||||
60,000 | Clear Channel Communications, Inc., 4.90%, 05/15/15 | 43,829 | ||||||
150,000 | Comcast Cable Communications, 8.88%, 05/01/17 (5) | 179,143 | ||||||
240,000 | Comcast Corp., 6.50%, 01/15/15 (5) | 250,861 | ||||||
20,000 | Comcast Corp., 6.50%, 01/15/17 (5) | 20,889 |
129
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2007
Principal | Value | |||||||
Corporate Bonds and Notes (continued) | ||||||||
Broadcast Services/Media (continued) | ||||||||
$ | 20,000 | Comcast Corp., 5.88%, 02/15/18 (5) | $ | 19,977 | ||||
180,000 | Cox Communications, Inc., 3.88%, 10/01/08 | 178,002 | ||||||
40,000 | CSC Holdings, Inc., 7.88%, 02/15/18 | 37,600 | ||||||
15,000 | CSC Holdings, Inc., 7.63%, 07/15/18 | 13,856 | ||||||
10,000 | CSC Holdings, Inc., Series B, 7.63%, 04/01/11 | 10,025 | ||||||
70,000 | DIRECTV Holdings LLC/DIRECTV Financing Company, Inc., 8.38%, 03/15/13 | 73,150 | ||||||
30,000 | Echostar DBS Corp., 7.00%, 10/01/13 | 30,450 | ||||||
90,000 | Echostar DBS Corp., 7.13%, 02/01/16 | 92,250 | ||||||
280,000 | Liberty Media Corp., 7.88%, 07/15/09 | 285,668 | ||||||
10,000 | Liberty Media Corp., 5.70%, 05/15/13 | 9,314 | ||||||
10,000 | News America, Inc. — 144A, 6.65%, 11/15/37 | 10,349 | ||||||
35,000 | Rogers Cable, Inc. (Canada), 6.75%, 03/15/15 | 36,869 | ||||||
80,000 | Time Warner Entertainment, 8.38%, 07/15/33 | 96,650 | ||||||
350,000 | Time Warner, Inc., 6.88%, 05/01/12 (5) | 368,898 | ||||||
75,000 | Time Warner, Inc., 7.70%, 05/01/32 (5) | 83,571 | ||||||
2,135,256 | ||||||||
Chemicals — 0.1% | ||||||||
120,000 | FMC Finance III SA — 144A (Luxembourg), 6.88%, 07/15/17 | 120,600 | ||||||
30,000 | Georgia Gulf Corp., 9.50%, 10/15/14 (8) | 24,075 | ||||||
27,000 | Westlake Chemical Corp., 6.63%, 01/15/16 | 25,650 | ||||||
170,325 | ||||||||
Computer Equipment, Software and Services — 0.0% | ||||||||
20,000 | Electronic Data Systems, 7.13%, 10/15/09 (5) | 20,655 | ||||||
40,000 | Sungard Data Systems, Inc., 9.13%, 08/15/13 | 40,900 | ||||||
61,555 | ||||||||
Construction Services and Supplies — 0.0% | ||||||||
65,000 | K Hovnanian Enterprises, Inc., 6.25%, 01/15/15 | 44,850 | ||||||
Consumer Goods and Services — 0.1% | ||||||||
230,000 | Altria Group, Inc., 7.00%, 11/04/13 (5) | 257,529 | ||||||
100,000 | Reynolds American, Inc., 6.75%, 06/15/17 | 102,352 | ||||||
359,881 | ||||||||
Containers and Packaging — 0.0% | ||||||||
50,000 | Graham Packaging Company, LP, 8.50%, 10/15/12 | 47,000 | ||||||
10,000 | Graham Packaging Company, LP, 9.88%, 10/15/14 (8) | 9,250 | ||||||
56,250 | ||||||||
Electronics — 0.0% | ||||||||
15,000 | NXP BV/NXP Funding LLC (the Netherlands), 7.88%, 10/15/14 | 14,325 | ||||||
Environmental Waste Management and Recycling Services — 0.1% | ||||||||
160,000 | Waste Management, Inc., 6.50%, 11/15/08 | 162,095 | ||||||
270,000 | Waste Management, Inc., 6.38%, 11/15/12 | 285,774 | ||||||
447,869 | ||||||||
Equipment Rental and Leasing — 0.1% | ||||||||
250,000 | International Lease Finance Corp. E-Capital Trust II — 144A, Variable Rate, 6.25%, 12/21/65 (1)(4) | 239,293 | ||||||
Funeral Services — 0.0% | ||||||||
10,000 | Service Corp. International, 6.75%, 04/01/16 | 9,675 | ||||||
40,000 | Service Corp. International, 7.63%, 10/01/18 | 40,400 | ||||||
35,000 | Service Corp. International, 7.50%, 04/01/27 | 32,375 | ||||||
82,450 | ||||||||
Insurance — 0.3% | ||||||||
40,000 | American International Group, Inc., Series MTNG, 5.85%, 01/16/18 (5) | 40,338 | ||||||
40,000 | ASIF Global Financing XIX — 144A, 4.90%, 01/17/13 (5) | 39,182 | ||||||
300,000 | Merna Reinsurance, Ltd., Series B — 144A (Bermuda), Floating Rate, 6.58%, 07/07/10 (2) | 296,745 | ||||||
430,000 | MetLife, Inc., 6.40%, 12/15/36 | 395,321 | ||||||
250,000 | The Travelers Companies, Inc., Variable Rate, 6.25%, 03/15/37 (1) | 234,847 | ||||||
1,006,433 | ||||||||
130
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2007
Principal | Value | |||||||
Corporate Bonds and Notes (continued) | ||||||||
Leisure and Recreation — 0.1% | ||||||||
$ | 25,000 | Boyd Gaming Corp., 6.75%, 04/15/14 | $ | 23,938 | ||||
80,000 | Boyd Gaming Corp., 7.13%, 02/01/16 | 76,000 | ||||||
30,000 | Inn of The Mountain Gods, 12.00%, 11/15/10 | 31,350 | ||||||
25,000 | MGM MIRAGE, 6.00%, 10/01/09 | 25,000 | ||||||
50,000 | MGM MIRAGE, 8.50%, 09/15/10 | 52,125 | ||||||
5,000 | MGM MIRAGE, 6.63%, 07/15/15 | 4,713 | ||||||
85,000 | MGM MIRAGE, 7.63%, 01/15/17 | 84,362 | ||||||
15,000 | Mohegan Tribal Gaming Authority, 6.13%, 02/15/13 | 14,738 | ||||||
90,000 | Station Casinos, Inc., 7.75%, 08/15/16 | 81,674 | ||||||
10,000 | Station Casinos, Inc., 6.88%, 03/01/16 | 7,350 | ||||||
401,250 | ||||||||
Machinery — 0.0% | ||||||||
20,000 | Terex Corp., 8.00%, 11/15/17 | 20,350 | ||||||
Manufacturing — 0.3% | ||||||||
270,000 | Tyco International Group SA (Luxembourg), 6.38%, 10/15/11 | 279,655 | ||||||
530,000 | Tyco International Group SA (Luxembourg), 6.00%, 11/15/13 | 545,425 | ||||||
825,080 | ||||||||
Medical Equipment, Supplies, and Services — 0.2% | ||||||||
90,000 | Community Health Systems, Inc., 8.88%, 07/15/15 | 92,138 | ||||||
125,000 | DaVita, Inc., 6.63%, 03/15/13 | 125,000 | ||||||
10,000 | Fresenius Medical Care Capital Trust II, 7.88%, 02/01/08 | 10,000 | ||||||
160,000 | HCA, Inc., 6.75%, 07/15/13 | 143,200 | ||||||
11,000 | HCA, Inc., 5.75%, 03/15/14 | 9,185 | ||||||
20,000 | HCA, Inc., 9.13%, 11/15/14 | 20,850 | ||||||
6,000 | HCA, Inc., 6.50%, 02/15/16 | 5,100 | ||||||
160,000 | HCA, Inc., 9.25%, 11/15/16 | 168,400 | ||||||
26,000 | HCA, Inc., 9.63%, 11/15/16 (12) | 27,560 | ||||||
60,000 | Tenet Healthcare Corp., 6.38%, 12/01/11 | 54,900 | ||||||
30,000 | Tenet Healthcare Corp., 6.50%, 06/01/12 | 26,850 | ||||||
20,000 | WellPoint, Inc., 5.88%, 06/15/17 | 20,172 | ||||||
703,355 | ||||||||
Metals and Mining — 0.2% | ||||||||
190,000 | Freeport-McMoRan Copper & Gold, Inc., 8.38%, 04/01/17 | 204,250 | ||||||
15,000 | Steel Dymanics, Inc. — 144A, 7.38%, 11/01/12 | 15,150 | ||||||
65,000 | Steel Dynamics, Inc. — 144A, 6.75%, 04/01/15 | 63,050 | ||||||
391,000 | Vale Overseas, Ltd. (Cayman Islands), 6.88%, 11/21/36 | 397,495 | ||||||
679,945 | ||||||||
Office Equipment, Supplies, and Services — 0.0% | ||||||||
40,000 | Xerox Corp., 6.75%, 02/01/17 | 41,764 | ||||||
Oil, Coal and Gas — 1.8% | ||||||||
235,000 | Anadarko Finance Company, Series B, 7.50%, 05/01/31 (5) | 264,984 | ||||||
35,000 | Anadarko Petroleum Corp., 6.45%, 09/15/36 (5) | 35,759 | ||||||
45,000 | Chesapeake Energy Corp., 7.75%, 01/15/15 | 46,125 | ||||||
5,000 | Chesapeake Energy Corp., 6.38%, 06/15/15 | 4,863 | ||||||
20,000 | Chesapeake Energy Corp., 6.25%, 01/15/18 | 19,300 | ||||||
105,000 | Complete Production Services, Inc., 8.00%, 12/15/16 | 102,113 | ||||||
80,000 | Conoco, Inc., 6.95%, 04/15/29 (5) | 91,636 | ||||||
125,000 | Dynegy Holdings, Inc., 7.75%, 06/01/19 | 115,938 | ||||||
86,000 | El Paso Corp., Series MTN, 7.80%, 08/01/31 | 87,708 | ||||||
25,000 | El Paso Corp., Series MTN, 7.75%, 01/15/32 | 25,502 | ||||||
330,000 | El Paso Natural Gas, 8.38%, 06/15/32 (5) | 388,211 | ||||||
500,000 | El Paso Performance-Link — 144A, 7.75%, 07/15/11 | 515,614 | ||||||
440,000 | Gaz Capital (Gazprom) — 144A (Luxembourg), 6.21%, 11/22/16 (4) | 423,235 | ||||||
190,000 | Gaz Capital (Gazprom) — 144A (Luxembourg), 6.51%, 03/07/22 (4) | 181,108 | ||||||
30,000 | Hess Corp., 7.88%, 10/01/29 (5) | 35,608 | ||||||
180,000 | Hess Corp., 7.30%, 08/15/31 (5) | 202,790 | ||||||
260,000 | Intergas Finance BV — 144A (the Netherlands), 6.38%, 05/14/17 (4) | 234,000 | ||||||
180,000 | Kerr-McGee Corp., 6.95%, 07/01/24 | 192,756 |
131
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2007
Principal | Value | |||||||
Corporate Bonds and Notes (continued) | ||||||||
Oil, Coal and Gas (continued) | ||||||||
$ | 110,000 | Kerr-McGee Corp., 7.88%, 09/15/31 | $ | 131,545 | ||||
50,000 | Kinder Morgan Energy Partners LP, 6.30%, 02/01/09 | 50,660 | ||||||
240,000 | Kinder Morgan Energy Partners LP, 6.75%, 03/15/11 | 251,953 | ||||||
20,000 | Kinder Morgan Energy Partners LP, 6.00%, 02/01/17 | 20,034 | ||||||
20,000 | Kinder Morgan Energy Partners LP, Series MTN, 6.95%, 01/15/38 | 21,058 | ||||||
50,000 | OPTI Canada, Inc. — 144A (Canada), 7.88%, 12/15/14 | 49,125 | ||||||
75,000 | OPTI Canada, Inc. — 144A (Canada), 8.25%, 12/15/14 | 74,625 | ||||||
40,000 | Peabody Energy Corp., Series B, 6.88%, 03/15/13 | 40,400 | ||||||
17,000 | Pemex Project Funding Master Trust, 6.63%, 06/15/35 | 18,004 | ||||||
290,000 | Pemex Project Funding Master Trust — 144A, 6.63%, 06/15/35 | 307,120 | ||||||
290,000 | Petrobras International Finance Company (Cayman Islands), 6.13%, 10/06/16 | 297,250 | ||||||
30,000 | Pride International, Inc., 7.38%, 07/15/14 | 30,975 | ||||||
25,000 | Semgroup LP — 144A, 8.75%, 11/15/15 | 23,875 | ||||||
15,000 | Southern Natural Gas, 8.00%, 03/01/32 | 16,786 | ||||||
95,000 | Suburban Propane Partners, 6.88%, 12/15/13 | 92,625 | ||||||
40,000 | Tennessee Gas Pipeline, 7.63%, 04/01/37 | 43,224 | ||||||
120,000 | Williams Companies, Inc., 7.88%, 09/01/21 | 133,650 | ||||||
160,000 | Williams Companies, Inc., 7.75%, 06/15/31 | 176,000 | ||||||
20,000 | Williams Companies, Inc., 8.75%, 03/15/32 | 24,550 | ||||||
320,000 | Williams Companies, Inc., Series A, 7.50%, 01/15/31 | 345,600 | ||||||
190,000 | XTO Energy, Inc., 7.50%, 04/15/12 | 207,889 | ||||||
5,324,198 | ||||||||
Paper and Forest Products — 0.0% | ||||||||
110,000 | Weyerhaeuser Company, 6.75%, 03/15/12 | 115,621 | ||||||
Pharmaceuticals/Research and Development — 0.1% | ||||||||
40,000 | AmerisourceBergen Corp., 5.88%, 09/15/15 (5) | 39,448 | ||||||
230,000 | Wyeth, 5.95%, 04/01/37 | 231,408 | ||||||
270,856 | ||||||||
Printing and Publishing — 0.1% | ||||||||
105,000 | Idearc, Inc., 8.00%, 11/15/16 | 96,862 | ||||||
30,000 | Sun Media Corp. (Canada), 7.63%, 02/15/13 | 29,363 | ||||||
40,000 | TL Acquisitions, Inc. — 144A, 10.50%, 01/15/15 | 38,650 | ||||||
164,875 | ||||||||
Private Asset Backed: Banks and Financial Services — 0.9% | ||||||||
300,000 | Morgan Stanley Capital I, Series 2005-HQ6, Class A4A, 4.99%, 08/13/42 | 292,496 | ||||||
318,850 | Washington Mutual Mortgage Pass-Through Certificates, Series 2005-AR1, Class A1A, Floating Rate, 5.19%, 01/25/45 (3) | 302,139 | ||||||
536,199 | Washington Mutual Mortgage Pass-Through Certificates, Series 2005-AR13, Class A1A1, Floating Rate, 5.16%, 10/25/45 (3) | 504,249 | ||||||
574,499 | Washington Mutual Mortgage Pass-Through Certificates, Series 2005-AR13, Class A1B3, Floating Rate, 5.23%, 10/25/45 (3) | 525,426 | ||||||
667,523 | Washington Mutual Mortgage Pass-Through Certificates, Series 2005-AR15, Class A1A2, Floating Rate, 5.15%, 11/25/45 (3) | 626,750 | ||||||
515,993 | Washington Mutual Mortgage Pass-Through Certificates, Series 2007-HY4, Class 4A1, Floating Rate, 5.50%, 09/25/36 (3) | 519,555 | ||||||
2,770,615 | ||||||||
Private Asset Backed: Credit Cards — 0.2% | ||||||||
640,000 | Washington Mutual Master Note Trust — 144A, Series 2006-A3A, Class A3, Floating Rate, 5.06%, 09/15/13 (3) | 632,966 | ||||||
Private Asset Backed: Mortgage and Home Equity — 10.2% | ||||||||
515,699 | Accredited Mortgage Loan Trust, Series 2005-3, Class A1, Floating Rate, 5.11%, 09/25/35 (3) | 487,914 |
132
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2007
Principal | Value | |||||||
Corporate Bonds and Notes (continued) | ||||||||
Private Asset Backed: Mortgage and Home Equity (continued) | ||||||||
$ | 213,046 | Adjustable Rate Mortgage Trust, Series 2004-2, Class 7A2, Floating Rate, 5.28%, 02/25/35 (3) | $ | 212,664 | ||||
133,118 | Adjustable Rate Mortgage Trust, Series 2004-5, Class 7A2, Floating Rate, 5.24%, 04/25/35 (3) | 124,630 | ||||||
280,000 | Banc of America Commercial Mortgage, Inc., Series 2005-5, Class A4, 5.11%, 09/10/15 (5) | 276,387 | ||||||
3,389,163 | Bear Stearns Asset Backed Securities, Inc., Series 07-SD1, Class 1A3A, 6.50%, 10/25/36 (5) | 3,196,405 | ||||||
1,533,294 | Bear Stearns Mortgage Funding Trust, Series 2006-AR5, Class 1A2, Floating Rate, 5.07%, 12/25/36 (3) | 1,406,059 | ||||||
341,651 | Countrywide Alternative Loan Trust, Series 2005-36, Class 3A1, Floating Rate, 4.93%, 08/25/35 (3)(5) | 342,494 | ||||||
815,007 | Countrywide Alternative Loan Trust, Series 2005-56, Class 4A1, Floating Rate, 5.18%, 11/25/35 (3) | 775,368 | ||||||
870,011 | Countrywide Alternative Loan Trust, Series 2005-59, Class 1A1, Floating Rate, 5.12%, 11/20/35 (3) | 814,467 | ||||||
74,624 | Countrywide Asset-Backed Certificates, Series 2005-11, Class AF1, Floating Rate, 5.05%, 02/25/36 (3) | 74,614 | ||||||
269,716 | Countrywide Asset-Backed Certificates, Series 2005-4, Class AF3, 4.46%, 10/25/35 | 267,155 | ||||||
429,979 | Countrywide Home Equity Loan Trust, Series 2005-G, Class 2A, Floating Rate, 5.26%, 12/15/35 (3) | 413,631 | ||||||
835,287 | Countrywide Home Loans — 144A, Series 2005-R3, Class AF, Floating Rate, 5.27%, 09/25/35 (3) | 811,674 | ||||||
21,819 | First Franklin Mortgage Loan Asset Backed Certificates, Series 2004-FF10, Class A2, Floating Rate, 5.27%, 12/25/32 (3) | 21,794 | ||||||
850,000 | GE Capital Commercial Mortgage Corp., Series 2007-C1, Class A4, 5.54%, 12/10/49 (5) | 861,262 | ||||||
852,560 | GMAC Commercial Mortgage Securities, Inc., Series 1999-C2, Class A2, 6.95%, 09/15/33 (5) | 871,614 | ||||||
899,868 | GMAC Mortgage Corp. Loan Trust, Series 2005-AR1, Class 3A, Floating Rate, 4.65%, 03/18/35 (3) | 897,325 | ||||||
1,441,557 | GMAC Mortgage Corp. Loan Trust, Series 2006-HE1, Class A, Floating Rate, 5.07%, 11/25/36 (3) | 1,265,313 | ||||||
1,127,469 | GSAMP Trust — 144A, Series 2006-SD2, Class A1, Floating Rate, 4.98%, 05/25/46 (3) | 949,746 | ||||||
313,601 | Impac CMB Trust, Series 2004-6, Class 1A1, Floating Rate, 5.66%, 10/25/34 (3) | 303,144 | ||||||
715,768 | IndyMac INDA Mortgage Loan Trust, Series 2007-AR7, Class 1A1, Floating Rate, 6.27%, 09/25/37 (3)(4) | 720,407 | ||||||
211,965 | IndyMac Index Mortgage Loan Trust, Series 2005-AR15, Class A2, 5.10%, 09/25/35 (4) | 201,508 | ||||||
1,080,000 | JPMorgan Chase Commercial Mortgage Securities Corp., Series 2005-CB12, Class A4, 4.90%, 09/12/37 | 1,046,963 | ||||||
753,802 | JPMorgan Mortgage Trust, Series 2004-A3, Class 1A1, Floating Rate, 4.31%, 07/25/34 (3) | 753,445 | ||||||
870,000 | LB-UBS Commercial Mortgage Trust, Series 2005-C1, Class A3, 4.55%, 02/15/30 | 850,702 | ||||||
527,433 | Lehman XS Trust, Series 2005-5N, Class 1A1, Floating Rate, 5.16%, 11/25/35 (3) | 503,155 | ||||||
396,272 | Lehman XS Trust, Series 2005-7N, Class 1A1B, Floating Rate, 5.16%, 12/25/35 (3) | 383,340 | ||||||
726,215 | Lehman XS Trust, Series 2006-GP4, Class 3A1A, Floating Rate, 4.94%, 08/25/46 (3) | 712,738 | ||||||
850,000 | Merrill Lynch Countrywide Commercial Mortgage Trust, Series 2007-6, Class A4, 5.49%, 03/12/51 | 857,091 | ||||||
388,492 | Merrill Lynch Mortgage Investors Trust, Series 2004-A3, Class 4A3, Floating Rate, 5.03%, 05/25/34 (3) | 379,491 | ||||||
1,098,000 | Merrill Lynch Mortgage Investors, Inc., Series 2005-A4, Class 2A2, 4.46%, 07/25/35 | 1,096,892 |
133
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2007
Principal | Value | |||||||
Corporate Bonds and Notes (continued) | ||||||||
Private Asset Backed: Mortgage and Home Equity (continued) | ||||||||
$ | 1,300,000 | Merrill Lynch Mortgage Investors, Inc., Series 2005-A5, Class A3, 4.44%, 06/25/35 | $ | 1,282,383 | ||||
500,000 | Merrill Lynch Mortgage Trust, Series 2006-C1, Class A4, Floating Rate, 5.84%, 05/12/39 (3) | 515,711 | ||||||
224,951 | MLCC Mortgage Investors, Inc., Series 2003-F, Class A1, Floating Rate, 5.19%, 10/25/28(3) | 222,096 | ||||||
836,206 | Prime Mortgage Trust — 144A, Series 2006-DR1, Class 1A1, 5.50%, 05/25/35 | 826,399 | ||||||
388,061 | Prime Mortgage Trust — 144A, Series 2006-DR1, Class 1A2, 6.00%, 05/25/35 | 388,261 | ||||||
1,793,403 | Prime Mortgage Trust — 144A, Series 2006-DR1, Class 2A1, 5.50%, 05/25/35 | 1,779,953 | ||||||
1,582,288 | Residential Accredit Loans, Inc., Series 2005-Q03, Class A1, Floating Rate, 5.27%, 10/25/45 (3) | 1,501,192 | ||||||
892,525 | Structured Adjustable Rate Mortgage Loan Trust, Series 2005-15, Class 1A1, 5.06%, 07/25/35 | 878,965 | ||||||
352,330 | Structured Asset Mortgage Investments, Inc., Series 2003-AR4, Class A1, Floating Rate, 5.32%, 01/19/34 (3) | 352,003 | ||||||
2,078,419 | Thornburg Mortgage Securities Trust, Series 2006-1, Class A3, Floating Rate, 5.03%, 01/25/09 (3) | 2,011,259 | ||||||
682,928 | Zuni Mortgage Loan Trust, Series 2006-0A1, Class A1, Floating Rate, 5.00%, 08/25/36 (3) | 653,287 | ||||||
32,290,901 | ||||||||
Real Estate Development and Services — 0.0% | ||||||||
230,000 | Realogy Corp. — 144A, 12.38%, 04/15/15 | 145,475 | ||||||
Real Estate Investment Trusts — 0.0% | ||||||||
50,000 | Host Marriott LP, Series Q, 6.75%, 06/01/16 | 49,500 | ||||||
50,000 | Ventas Realty LP/Ventas Capital Corp., 6.75%, 06/01/10 | 50,625 | ||||||
40,000 | Ventas Realty LP/Ventas Capital Corp., 6.75%, 04/01/17 | 39,800 | ||||||
139,925 | ||||||||
Retail — 0.1% | ||||||||
260,000 | CVS Caremark Corp. — 144A, 6.94%, 01/10/30 (5) | 261,506 | ||||||
20,000 | JC Penney & Company, Inc., 7.40%, 04/01/37 | 19,914 | ||||||
281,420 | ||||||||
Retail: Supermarkets — 0.0% | ||||||||
93,000 | Delhaize America, Inc., 9.00%, 04/15/31 (5) | 107,989 | ||||||
Scientific and Technical Instruments — 0.0% | ||||||||
80,000 | Cie Generale de Geophysique (France), 7.50%, 05/15/15 | 81,400 | ||||||
40,000 | Cie Generale de Geophysique (France), 7.75%, 05/15/17 | 40,600 | ||||||
122,000 | ||||||||
Semiconductors — 0.0% | ||||||||
25,000 | Freescale Semiconductor, Inc., 8.88%, 12/15/14 | 22,438 | ||||||
40,000 | MagnaChip Semiconductor, Ltd., Floating Rate, 8.24%, 12/15/11 (2) | 35,800 | ||||||
58,238 | ||||||||
Telecommunications Equipment and Services — 0.8% | ||||||||
120,000 | America Movil SAB de CV (Mexico), 5.63%, 11/15/17 (5) | 117,851 | ||||||
190,000 | AT&T, Inc., 5.10%, 09/15/14 | 188,298 | ||||||
55,000 | Cincinnati Bell, Inc., 7.00%, 02/15/15 | 52,250 | ||||||
15,000 | Citizens Communications Company, 9.25%, 05/15/11 | 16,313 | ||||||
30,000 | Citizens Communications Company, 7.13%, 03/15/19 | 28,650 | ||||||
30,000 | Citizens Communications Company, 7.88%, 01/15/27 | 28,725 | ||||||
180,000 | Deutsche Telecom International Finance BV (the Netherlands), 5.75%, 03/23/16 (5) | 180,461 | ||||||
45,000 | Intelsat Bermuda, Ltd. (Bermuda), 9.25%, 06/15/16 | 45,450 | ||||||
25,000 | Intelsat Corp., 9.00%, 06/15/16 | 25,313 | ||||||
220,000 | Koninklijke KPN NV (the Netherlands), 8.38%, 10/01/30 | 264,521 | ||||||
90,000 | Level 3 Financing, Inc., 9.25%, 11/01/14 | 81,900 | ||||||
10,000 | Nextel Communications, Inc., Series D, 7.38%, 08/01/15 | 9,854 |
134
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2007
Principal | Value | |||||||
Corporate Bonds and Notes (continued) | ||||||||
Telecommunications Equipment and Services (continued) | ||||||||
$ | 130,000 | Nextel Communications, Inc., Series E, 6.88%, 10/31/13 | $ | 128,172 | ||||
60,000 | Nextel Communications, Inc., Series F, 5.95%, 03/15/14 | 56,470 | ||||||
260,000 | Qwest Communications International, Inc., Floating Rate, 8.37%, 02/15/09 (2) | 261,300 | ||||||
105,000 | Qwest Corp., 7.88%, 09/01/11 | 109,725 | ||||||
40,000 | Rogers Wireless, Inc. (Canada), 6.38%, 03/01/14 | 41,259 | ||||||
270,000 | Sprint Capital Corp., 8.38%, 03/15/12 | 292,675 | ||||||
60,000 | Sprint Capital Corp., 8.75%, 03/15/32 | 67,814 | ||||||
200,000 | Telecom Italia Capital (Luxembourg), 5.25%, 10/01/15 | 195,155 | ||||||
50,000 | Verizon Global Funding Corp., 7.38%, 09/01/12 | 55,260 | ||||||
300,000 | Verizon New York, Inc., Series A, 6.88%, 04/01/12 | 318,594 | ||||||
85,000 | Windstream Corp., 8.63%, 08/01/16 | 89,675 | ||||||
2,655,685 | ||||||||
Transportation — 0.0% | ||||||||
20,000 | Teekay Shipping Corp. (Marshall Islands), 8.88%, 07/15/11 | 21,075 | ||||||
110,000 | Union Pacific Corp., 5.38%, 05/01/14 | 108,258 | ||||||
129,333 | ||||||||
Utilities — 1.3% | ||||||||
604,000 | AES Corp., 7.75%, 03/01/14 | 611,550 | ||||||
80,000 | AES Corp. — 144A, 7.75%, 10/15/15 | 81,600 | ||||||
410,000 | AES Corp. — 144A, 8.00%, 10/15/17 | 421,275 | ||||||
70,000 | Dominion Resources, Inc., 4.75%, 12/15/10 (5) | 70,183 | ||||||
220,000 | Dominion Resources, Inc., 5.70%, 09/17/12 (5) | 226,142 | ||||||
70,000 | Edison Mission Energy, 7.00%, 05/15/17 | 69,125 | ||||||
90,000 | Edison Mission Energy, 7.20%, 05/15/19 | 88,875 | ||||||
40,000 | Edison Mission Energy, 7.63%, 05/15/27 | 37,800 | ||||||
170,000 | Energy Future Holdings Corp. — 144A, 10.88%, 11/01/17 | 171,700 | ||||||
950,000 | Energy Future Holdings Corp. — 144A, 11.25%, 11/01/17 | 964,250 | ||||||
5,000 | Exelon Corp., 5.63%, 06/15/35 (5) | 4,480 | ||||||
160,000 | FirstEnergy Corp., Series B, 6.45%, 11/15/11 (5) | 165,359 | ||||||
225,000 | FirstEnergy Corp., Series C, 7.38%, 11/15/31 (5) | 247,603 | ||||||
37,566 | Midwest Generation LLC, Series B, 8.56%, 01/02/16 | 40,102 | ||||||
100,000 | NRG Energy, Inc., 7.25%, 02/01/14 | 97,750 | ||||||
10,000 | NRG Energy, Inc., 7.38%, 02/01/16 | 9,775 | ||||||
10,000 | NRG Energy, Inc., 7.38%, 01/15/17 | 9,775 | ||||||
90,000 | Pacific Gas & Electric Company, 6.05%, 03/01/34 | 90,144 | ||||||
60,000 | Pacific Gas & Electric Company, 5.80%, 03/01/37 | 58,055 | ||||||
210,000 | TXU Corp., Series P, 5.55%, 11/15/14 | 168,668 | ||||||
105,000 | TXU Corp., Series Q, 6.50%, 11/15/24 | 77,113 | ||||||
370,000 | TXU Corp., Series R, 6.55%, 11/15/34 | 269,622 | ||||||
3,980,946 | ||||||||
Total Corporate Bonds and Notes (Cost $78,274,560) | 75,466,840 | |||||||
Shares | ||||||||
Preferred Stocks — 0.2% | ||||||||
Banks and Financial Services | ||||||||
12,000 | Fannie Mae, Variable Rate, 8.25% (1) | 309,000 | ||||||
600 | Fannie Mae, Series O, Floating Rate, 7.50% (2) | 28,500 | ||||||
17,000 | Freddie Mac, Series Z, Variable Rate, 8.38% (1)(5) | 444,550 | ||||||
Total Preferred Stocks (Cost $756,920) | 782,050 | |||||||
Principal | ||||||||
Convertible Bonds — 0.0% | ||||||||
Automobiles/Motor Vehicles, Automotive Equipment and Repairs | ||||||||
$ | 40,000 | Ford Motor Company, 4.25%, 12/15/36 (Cost $40,000) | 39,950 | |||||
135
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2007
Principal | Value | |||||||
Municipal Bonds — 0.4% | ||||||||
Virginia | ||||||||
$ | 1,281,374 | Virginia State Housing Development Authority, Series C, Revenue Bond, 6.00%, 06/25/34 (Cost $1,260,619) | $ | 1,281,502 | ||||
Foreign Government Obligations — 0.2% | ||||||||
450,000 | AID-Israel (Israel), 5.50%, 04/26/24 (4) | 486,433 | ||||||
14,850 | Russian Federation — 144A (Russia), 7.50%, 03/31/30 | 17,037 | ||||||
229,000 | United Mexican States, Series MTNA, (Mexico), 6.75%, 09/27/34 | 253,503 | ||||||
Total Foreign Government Obligations (Cost $687,700) | 756,973 | |||||||
Securities Lending Collateral — 3.7% | ||||||||
11,679,276 | Securities Lending Collateral Investment (Note 4) (Cost $11,679,276) | 11,679,276 | ||||||
Total Securities (Cost $341,237,658) | 352,104,405 | |||||||
Repurchase Agreements — 0.3% | ||||||||
1,057,415 | With State Street Bank and Trust, dated 12/31/07, 3.08%, due 01/02/08, repurchase proceeds at maturity $1,057,638 (Collateralized by Fannie Mae Adjustable Rate Mortgage, 4.45%, due 05/01/33, with a value of $1,078,574) (Cost $1,057,415) | 1,057,415 | ||||||
Total Investments before Call and Put Options Written — 110.8% (Cost $342,295,073) | 353,161,820 | |||||||
Contracts | ||||||||
Call Options Written — (0.0)% | ||||||||
(50 | ) | US Treasury Note (10 Year) March Future, Expiring February 2008 @ 111 | (142,187 | ) | ||||
(6 | ) | US Treasury Note (10 Year) March Future, Expiring February 2008 @ 112 | (12,844 | ) | ||||
Total Call Options Written (Premium $40,189) | (155,031 | ) | ||||||
Put Options Written — (0.0)% | ||||||||
(16 | ) | US Treasury Note (10 Year) March Future, Expiring February 2008 @ 107 | (750 | ) | ||||
(27 | ) | US Treasury Note (10 Year) March Future, Expiring February 2008 @ 112 | (20,250 | ) | ||||
Total Put Options Written (Premium $35,254) | (21,000 | ) | ||||||
Total Investments net of Call and Put Options Written — 110.8% (Cost $342,219,630) | 352,985,789 | |||||||
Liabilities less other assets — (10.8)% | (34,350,606 | ) | ||||||
Net Assets — 100.0% | $ | 318,635,183 | ||||||
Gross unrealized appreciation | $ | 24,494,810 | ||
Gross unrealized depreciation | (14,258,140 | ) | ||
Net unrealized appreciation | $ | 10,236,670 | ||
136
Shares | Value | |||||||
Common Stocks — 99.1% | ||||||||
Advertising — 0.4% | ||||||||
1,553,900 | The Interpublic Group of Companies, Inc.* | $ | 12,602,129 | |||||
Aerospace and Defense — 0.7% | ||||||||
300,000 | Northrop Grumman Corp. | 23,592,000 | ||||||
Apparel: Manufacturing and Retail — 1.3% | ||||||||
405,000 | Macy’s, Inc. | 10,477,350 | ||||||
1,050,200 | The Gap, Inc. | 22,348,256 | ||||||
110,000 | VF Corp. | 7,552,600 | ||||||
40,378,206 | ||||||||
Automobiles/Motor Vehicles, Automotive Equipment and Repairs — 1.9% | ||||||||
154,727 | Autoliv, Inc. | 8,155,660 | ||||||
208,000 | BorgWarner, Inc. | 10,069,280 | ||||||
1,631,645 | General Motors Corp.(8) | 40,611,644 | ||||||
58,836,584 | ||||||||
Banks and Financial Services — 13.7% | ||||||||
481,000 | American Express Company | 25,021,620 | ||||||
1,426,082 | Bank of America Corp. | 58,840,143 | ||||||
1,768,970 | Citigroup, Inc. | 52,078,477 | ||||||
1,537,200 | Fannie Mae | 61,457,256 | ||||||
399,900 | Freddie Mac | 13,624,593 | ||||||
2,684,640 | JPMorgan Chase & Company | 117,184,536 | ||||||
444,000 | Merrill Lynch & Company, Inc. | 23,833,920 | ||||||
500,000 | Morgan Stanley | 26,555,000 | ||||||
587,200 | National City Corp.(8) | 9,665,312 | ||||||
215,800 | SunTrust Banks, Inc. | 13,485,342 | ||||||
84,000 | The Goldman Sachs Group, Inc. | 18,064,200 | ||||||
115,000 | Wachovia Corp. | 4,373,450 | ||||||
268,200 | Washington Mutual, Inc.(8) | 3,650,202 | ||||||
265,600 | Wells Fargo & Company | 8,018,464 | ||||||
435,852,515 | ||||||||
Broadcast Services/Media — 3.6% | ||||||||
813,500 | CBS Corp. — Class B(8) | 22,167,875 | ||||||
12,671 | Citadel Broadcasting Corp.(8) | 26,102 | ||||||
1,769,900 | Comcast Corp. — Class A* | 32,318,374 | ||||||
56,400 | Comcast Corp. — Special Class A* | 1,021,968 | ||||||
3,538,300 | Time Warner, Inc. | 58,417,333 | ||||||
113,951,652 | ||||||||
Chemicals — 1.0% | ||||||||
200,000 | EI du Pont de Nemours and Company | 8,818,000 | ||||||
615,000 | The Dow Chemical Company | 24,243,300 | ||||||
33,061,300 | ||||||||
Computer Equipment, Software and Services — 4.3% | ||||||||
628,200 | Dell, Inc.* | 15,397,182 | ||||||
490,000 | Electronic Data Systems Corp. | 10,157,700 | ||||||
491,300 | Hewlett-Packard Company | 24,800,824 | ||||||
716,100 | International Business Machines Corp. | 77,410,410 | ||||||
235,000 | Microsoft Corp. | 8,366,000 | ||||||
136,132,116 | ||||||||
Construction Services and Supplies — 0.1% | ||||||||
110,000 | KB HOME(8) | 2,376,000 | ||||||
Consumer Goods and Services — 5.4% | ||||||||
525,000 | Altria Group, Inc. | 39,679,500 | ||||||
1,279,913 | Avon Products, Inc. | 50,594,961 | ||||||
587,800 | Kimberly-Clark Corp. | 40,758,052 | ||||||
115,000 | The Black & Decker Corp. | 8,009,750 | ||||||
150,000 | The Clorox Company | 9,775,500 | ||||||
288,000 | The Procter & Gamble Company | 21,144,960 | ||||||
169,962,723 | ||||||||
Containers and Packaging — 0.3% | ||||||||
208,900 | Owens-Illinois, Inc.*(8) | 10,340,550 | ||||||
Diversified Operations and Services — 3.4% | ||||||||
2,880,900 | General Electric Company | 106,794,963 | ||||||
Electronics — 3.8% | ||||||||
125,116 | Arrow Electronics, Inc.* | 4,914,556 | ||||||
3,680,410 | Flextronics International, Ltd. (Singapore)* | 44,385,745 | ||||||
1,939,177 | Sanmina-SCI Corp.* | 3,529,302 | ||||||
665,900 | Sony Corp. (ADR) (Japan) | 36,158,370 | ||||||
841,200 | Tyco Electronics, Ltd. (Bermuda) | 31,233,756 | ||||||
120,221,729 | ||||||||
Environmental Waste Management and Recycling Services — 0.4% | ||||||||
392,400 | Waste Management, Inc. | 12,819,708 | ||||||
Food and Beverage — 2.3% | ||||||||
32,075 | Dean Foods Company | 829,460 | ||||||
60,000 | Kellogg Company | 3,145,800 | ||||||
1,630,900 | Kraft Foods, Inc. — Class A | 53,216,267 | ||||||
70,000 | Molson Coors Brewing Company — Class B | 3,613,400 | ||||||
743,305 | Sara Lee Corp. | 11,937,478 | ||||||
72,742,405 | ||||||||
Insurance — 9.4% | ||||||||
593,000 | Aetna, Inc. | 34,233,890 | ||||||
1,311,500 | American International Group, Inc. | 76,460,450 | ||||||
72,000 | Fidelity National Financial, Inc. — Class A | 1,051,920 | ||||||
550,000 | Genworth Financial, Inc. — Class A | 13,997,500 | ||||||
109,400 | MBIA, Inc.(8) | 2,038,122 | ||||||
450,200 | MetLife, Inc. | 27,741,324 |
137
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2007
Shares | Value | |||||||
Common Stocks (continued) | ||||||||
Insurance (continued) | ||||||||
61,566 | PartnerRe, Ltd. (Bermuda) | $ | 5,081,042 | |||||
170,000 | RenaissanceRe Holdings, Ltd. (Bermuda) | 10,240,800 | ||||||
446,000 | The Allstate Corp. | 23,294,580 | ||||||
145,000 | The Hartford Financial Services Group, Inc. | 12,642,550 | ||||||
1,439,438 | The Travelers Companies, Inc. | 77,441,764 | ||||||
238,000 | XL Capital, Ltd. — Class A (Cayman Islands) | 11,973,780 | ||||||
296,197,722 | ||||||||
Machinery — 0.4% | ||||||||
115,000 | Caterpillar, Inc. | 8,344,400 | ||||||
50,000 | Terex Corp.* | 3,278,500 | ||||||
11,622,900 | ||||||||
Manufacturing — 3.9% | ||||||||
140,000 | Eaton Corp. | 13,573,000 | ||||||
795,800 | Honeywell International, Inc. | 48,997,406 | ||||||
250,000 | Ingersoll-Rand Company, Ltd. — Class A (Bermuda) | 11,617,500 | ||||||
592,950 | Smurfit-Stone Container Corp.* (8) | 6,261,552 | ||||||
147,700 | SPX Corp. | 15,190,945 | ||||||
728,800 | Tyco International, Ltd. (Bermuda) | 28,896,920 | ||||||
124,537,323 | ||||||||
Medical Equipment, Supplies, and Services — 2.9% | ||||||||
1,660,100 | Boston Scientific Corp.* | 19,306,963 | ||||||
633,200 | Covidien, Ltd. (Bermuda) | 28,044,428 | ||||||
135,000 | Johnson & Johnson | 9,004,500 | ||||||
120,000 | McKesson Corp. | 7,861,200 | ||||||
5,344,920 | Tenet Healthcare Corp.* (8) | 27,152,194 | ||||||
91,369,285 | ||||||||
Metals and Mining — 0.8% | ||||||||
330,000 | ArcelorMittal (Luxembourg) (8) | 25,525,500 | ||||||
Oil, Coal and Gas — 13.2% | ||||||||
275,000 | BP PLC (ADR) (United Kingdom) | 20,121,750 | ||||||
1,306,300 | Chevron Corp. | 121,916,979 | ||||||
1,282,702 | ConocoPhillips | 113,262,587 | ||||||
1,354,800 | Exxon Mobil Corp. | 126,931,212 | ||||||
220,000 | Marathon Oil Corp. | 13,389,200 | ||||||
78,000 | Occidental Petroleum Corp. | 6,005,220 | ||||||
234,600 | Total SA (ADR) (France) | 19,377,960 | ||||||
421,004,908 | ||||||||
Paper and Forest Products — 1.7% | ||||||||
1,112,500 | Louisiana-Pacific Corp.(8) | 15,219,000 | ||||||
1,191,500 | MeadWestvaco Corp. | 37,293,950 | ||||||
52,512,950 | ||||||||
Pharmaceuticals/Research and Development — 6.8% | ||||||||
385,800 | AmerisourceBergen Corp. | 17,310,846 | ||||||
495,700 | Amgen, Inc.* | 23,020,308 | ||||||
208,800 | Merck & Company, Inc. | 12,133,368 | ||||||
2,291,600 | Millennium Pharmaceuticals, Inc.* (8) | 34,328,168 | ||||||
4,428,600 | Pfizer, Inc. | 100,662,078 | ||||||
1,018,300 | Watson Pharmaceuticals, Inc.* | 27,636,662 | ||||||
215,091,430 | ||||||||
Retail — 0.2% | ||||||||
265,427 | Circuit City Stores, Inc. (8) | 1,114,793 | ||||||
325,000 | Office Depot, Inc.* | 4,520,750 | ||||||
5,635,543 | ||||||||
Retail: Restaurants — 0.4% | ||||||||
190,000 | McDonald’s Corp. | 11,192,900 | ||||||
Retail: Supermarkets — 1.9% | ||||||||
469,925 | Safeway, Inc. | 16,076,134 | ||||||
200,000 | SUPERVALU, Inc. | 7,504,000 | ||||||
779,350 | The Kroger Company | 20,816,439 | ||||||
419,945 | Whole Foods Market, Inc. (8) | 17,133,756 | ||||||
61,530,329 | ||||||||
Semiconductors — 0.7% | ||||||||
3,957,900 | LSI Corp.* (8) | 21,016,449 | ||||||
Telecommunications Equipment and Services — 8.7% | ||||||||
2,816,955 | AT&T, Inc. | 117,072,650 | ||||||
1,662,000 | Motorola, Inc. | 26,658,480 | ||||||
265,000 | Nokia Oyj (ADR) (Finland) | 10,173,350 | ||||||
6,809,600 | Qwest Communications International, Inc.* (8) | 47,735,296 | ||||||
1,178,800 | Sprint Nextel Corp. | 15,477,644 | ||||||
887,652 | Verizon Communications, Inc. | 38,781,516 | ||||||
492,500 | Vodafone Group PLC (ADR) (United Kingdom) | 18,380,100 | ||||||
274,279,036 | ||||||||
Toys — 0.7% | ||||||||
1,180,600 | Mattel, Inc. | 22,478,624 | ||||||
Transportation — 1.0% | ||||||||
728,300 | CSX Corp. | 32,030,634 | ||||||
Utilities — 3.8% | ||||||||
201,395 | Ameren Corp. | 10,917,623 | ||||||
1,159,580 | American Electric Power Company, Inc. | 53,990,045 | ||||||
224,800 | Constellation Energy Group | 23,048,744 |
138
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2007
Shares | Value | |||||||
Common Stocks (continued) | ||||||||
Utilities (continued) | ||||||||
200,000 | Entergy Corp. | $ | 23,904,000 | |||||
165,800 | Wisconsin Energy Corp. | 8,076,118 | ||||||
119,936,530 | ||||||||
Total Common Stocks (Cost $2,792,533,825) | 3,135,626,643 | |||||||
Principal | ||||||||
Securities Lending Collateral — 6.5% | ||||||||
$ | 206,427,670 | Securities Lending Collateral Investment (Note 4) (Cost $206,427,670) | 206,427,670 | |||||
Total Securities (Cost $2,998,961,495) | 3,342,054,313 | |||||||
Repurchase Agreements — 2.1% | ||||||||
66,991,506 | With State Street Bank & Trust, dated 12/31/07, 3.80%, due 01/02/08, repurchase proceeds at maturity $67,005,649 (Collateralized by various Fannie Mae Adjustable Rate Mortgages, 4.05%-4.42%, due 05/01/33-06/01/33, with a total value of $52,419,109, and various Freddie Mac Adjustable Rate Mortgages, 4.75%-4.77%, due 05/01/35, with a total value of $15,915,854) (Cost $66,991,506) | 66,991,506 | ||||||
Total Investments — 107.7% (Cost $3,065,953,001) | 3,409,045,819 | |||||||
Liabilities less other assets — (7.7)% | (244,021,044 | ) | ||||||
Net Assets — 100.0% | $ | 3,165,024,775 | ||||||
Gross unrealized appreciation | $ | 578,656,282 | ||
Gross unrealized depreciation | (249,709,075 | ) | ||
Net unrealized appreciation | $ | 328,947,207 | ||
139
Shares | Value | |||||||
Common Stocks — 95.5% | ||||||||
Advertising—3.1% | ||||||||
49,600 | RH Donnelley Corp.* (8) | $ | 1,809,408 | |||||
323,600 | The Interpublic Group of Companies, Inc.* | 2,624,396 | ||||||
4,433,804 | ||||||||
Aerospace and Defense — 2.6% | ||||||||
22,100 | Empresa Brasileira de Aeronautica SA (ADR) (Brazil) | 1,007,539 | ||||||
34,500 | Northrop Grumman Corp. | 2,713,080 | ||||||
3,720,619 | ||||||||
Apparel: Manufacturing and Retail — 2.0% | ||||||||
37,600 | Limited Brands, Inc. (8) | 711,768 | ||||||
97,100 | The Gap, Inc. | 2,066,288 | ||||||
2,778,056 | ||||||||
Banks and Financial Services — 19.2% | ||||||||
74,155 | Bank of America Corp. | 3,059,635 | ||||||
11,200 | Capital One Financial Corp. | 529,312 | ||||||
97,700 | Citigroup, Inc. | 2,876,288 | ||||||
34,000 | Comerica, Inc. | 1,480,020 | ||||||
147,700 | Freddie Mac | 5,032,138 | ||||||
92,300 | JPMorgan Chase & Company | 4,028,895 | ||||||
27,800 | KeyCorp | 651,910 | ||||||
83,600 | National City Corp. | 1,376,056 | ||||||
13,700 | UnionBanCal Corp. | 670,067 | ||||||
84,500 | Wachovia Corp. | 3,213,535 | ||||||
301,300 | Washington Mutual, Inc. (8) | 4,100,693 | ||||||
27,018,549 | ||||||||
Chemicals — 0.2% | ||||||||
5,700 | Eastman Chemical Company | 348,213 | ||||||
Computer Equipment, Software and Services — 14.3% | ||||||||
275,066 | CA, Inc. | 6,862,897 | ||||||
310,700 | Electronic Data Systems Corp. | 6,440,811 | ||||||
129,300 | Microsoft Corp. | 4,603,080 | ||||||
104,400 | Oracle Corp.* | 2,357,352 | ||||||
20,264,140 | ||||||||
Construction Services and Supplies — 4.9% | ||||||||
140,000 | Centex Corp. | 3,536,400 | ||||||
82,800 | Lennar Corp. — Class A (8) | 1,481,292 | ||||||
183,900 | Pulte Homes, Inc. | 1,938,306 | ||||||
6,955,998 | ||||||||
Consumer Goods and Services — 1.6% | ||||||||
30,600 | Altria Group, Inc. | 2,312,748 | ||||||
Electronics — 2.8% | ||||||||
105,750 | Tyco Electronics, Ltd. (Bermuda) | 3,926,498 | ||||||
Insurance — 12.2% | ||||||||
87,200 | Conseco, Inc.* | 1,095,232 | ||||||
151,100 | Genworth Financial, Inc. — Class A | 3,845,495 | ||||||
56,400 | MetLife, Inc. | 3,475,368 | ||||||
8,600 | The Hartford Financial Services Group, Inc. | 749,834 | ||||||
79,700 | The Travelers Companies, Inc. | 4,287,860 | ||||||
84,100 | UnumProvident Corp. | 2,000,739 | ||||||
35,700 | XL Capital, Ltd. — Class A (Cayman Islands) | 1,796,067 | ||||||
17,250,595 | ||||||||
Manufacturing — 2.4% | ||||||||
86,950 | Tyco International, Ltd. (Bermuda) | 3,447,568 | ||||||
Medical Equipment, Supplies, and Services — 2.6% | ||||||||
57,350 | Covidien, Ltd. (Bermuda) | 2,540,032 | ||||||
17,800 | Johnson & Johnson | 1,187,260 | ||||||
3,727,292 | ||||||||
Oil, Coal and Gas — 3.3% | ||||||||
39,100 | Royal Dutch Shell PLC — Class B (ADR) (United Kingdom) | 3,245,300 | ||||||
20,000 | Sunoco, Inc. | 1,448,800 | ||||||
4,694,100 | ||||||||
Pharmaceuticals/Research and Development — 7.2% | ||||||||
45,700 | AstraZeneca PLC (ADR) (United Kingdom) | 1,956,874 | ||||||
42,900 | Bristol-Myers Squibb Company | 1,137,708 | ||||||
67,400 | Eli Lilly and Company | 3,598,486 | ||||||
153,400 | Pfizer, Inc. | 3,486,782 | ||||||
10,179,850 | ||||||||
Printing and Publishing — 0.6% | ||||||||
46,100 | Idearc, Inc. | 809,516 | ||||||
Real Estate Development and Services — 1.4% | ||||||||
56,200 | The St. Joe Company (8) | 1,995,662 | ||||||
Retail — 6.4% | ||||||||
147,552 | The Home Depot, Inc. | 3,975,051 | ||||||
108,300 | Wal-Mart Stores, Inc. | 5,147,499 | ||||||
9,122,550 | ||||||||
Retail: Supermarkets — 1.2% | ||||||||
49,300 | Safeway, Inc. | 1,686,553 | ||||||
Transportation — 0.5% | ||||||||
7,300 | FedEx Corp. | 650,941 | ||||||
Utilities — 7.0% | ||||||||
29,000 | Entergy Corp. | 3,466,080 | ||||||
61,800 | Exelon Corp. | 5,045,352 | ||||||
20,600 | FPL Group, Inc. | 1,394,002 | ||||||
9,905,434 | ||||||||
Total Common Stocks (Cost $161,075,987) | 135,228,686 | |||||||
140
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2007
Principal | Value | |||||||
Securities Lending Collateral — 6.0% | ||||||||
$ | 8,440,760 | Securities Lending Collateral Investment (Note 4) (Cost $8,440,760) | 8,440,760 | |||||
Total Securities (Cost $169,516,747) | 143,669,446 | |||||||
Repurchase Agreements — 4.7% | ||||||||
6,665,697 | With State Street Bank and Trust, dated 12/31/07, 3.80%, due 01/02/08, repurchase proceeds at maturity $6,667,105 (Collateralized by various Fannie Mae Adjustable Rate Mortgages, 4.40%-4.57%, due 11/01/33-02/01/34, with a total value of $6,799,760) (Cost $6,665,697) | 6,665,697 | ||||||
Total Investments — 106.2% (Cost $176,182,444) | 150,335,143 | |||||||
Liabilities less other assets — (6.2)% | (8,769,217 | ) | ||||||
Net Assets — 100.0% | $ | 141,565,926 | ||||||
Gross unrealized appreciation | $ | 5,877,256 | ||
Gross unrealized depreciation | (31,971,120 | ) | ||
Net unrealized depreciation | $ | (26,093,864 | ) | |
141
Shares | Value | |||||||
Common Stocks — 99.2% | ||||||||
Aerospace and Defense — 3.0% | ||||||||
24,900 | L-3 Communications Holdings, Inc. | $ | 2,637,906 | |||||
78,120 | Lockheed Martin Corp. | 8,222,911 | ||||||
86,400 | Northrop Grumman Corp. | 6,794,496 | ||||||
20,200 | Raytheon Company | 1,226,140 | ||||||
89,096 | The Boeing Company | 7,792,336 | ||||||
26,673,789 | ||||||||
Agriculture — 1.0% | ||||||||
54,300 | Archer-Daniels-Midland Company | 2,521,149 | ||||||
23,500 | CF Industries Holdings, Inc. | 2,586,410 | ||||||
31,100 | Monsanto Company | 3,473,559 | ||||||
8,581,118 | ||||||||
Airlines — 0.1% | ||||||||
37,900 | Continental Airlines, Inc. — Class B* | 843,275 | ||||||
Apparel: Manufacturing and Retail — 0.3% | ||||||||
16,400 | Abercrombie & Fitch Company — Class A | 1,311,508 | ||||||
40,800 | Guess?, Inc. | 1,545,912 | ||||||
2,857,420 | ||||||||
Automobile: Rental — 0.0% | ||||||||
32,800 | Avis Budget Group, Inc.* | 426,400 | ||||||
Automobiles/Motor Vehicles, Automotive Equipment and Repairs — 0.7% | ||||||||
108,700 | AutoNation, Inc.* (8) | 1,702,242 | ||||||
17,473 | AutoZone, Inc.* | 2,095,187 | ||||||
99,100 | Ford Motor Company* (8) | 666,943 | ||||||
14,200 | Magna International, Inc. — Class A (Canada) | 1,142,106 | ||||||
41,300 | TRW Automotive Holdings Corp.* | 863,170 | ||||||
6,469,648 | ||||||||
Banks and Financial Services — 11.1% | ||||||||
59,708 | American Express Company | 3,106,010 | ||||||
43,000 | Ameriprise Financial, Inc. | 2,369,730 | ||||||
242,600 | Bank of America Corp. | 10,009,676 | ||||||
70,000 | Bank of New York Mellon Corp. | 3,413,200 | ||||||
13,700 | BB&T Corp. (8) | 420,179 | ||||||
5,000 | Capital One Financial Corp. | 236,300 | ||||||
154,700 | Citigroup, Inc. | 4,554,368 | ||||||
6,975 | CME Group, Inc. | 4,784,850 | ||||||
52,100 | Comerica, Inc. | 2,267,913 | ||||||
12,400 | Credicorp, Ltd. (Bermuda) | 946,120 | ||||||
46,700 | Federated Investors, Inc. — Class B | 1,922,172 | ||||||
68,100 | Fifth Third Bancorp | 1,711,353 | ||||||
10,800 | Franklin Resources, Inc. | 1,235,844 | ||||||
22,600 | Hudson City Bancorp, Inc. | 339,452 | ||||||
104,700 | Janus Capital Group, Inc. | 3,439,395 | ||||||
334,000 | JPMorgan Chase & Company | 14,579,100 | ||||||
37,100 | KeyCorp | 869,995 | ||||||
16,500 | MasterCard, Inc. — Class A (8) | 3,550,800 | ||||||
135,100 | Morgan Stanley | 7,175,161 | ||||||
57,300 | National City Corp. | 943,158 | ||||||
47,100 | Regions Financial Corp. | 1,113,915 | ||||||
7,500 | SLM Corp. | 151,050 | ||||||
32,400 | State Street Corp. (8) | 2,630,880 | ||||||
61,000 | SunTrust Banks, Inc. | 3,811,890 | ||||||
38,900 | The Goldman Sachs Group, Inc. | 8,365,445 | ||||||
27,800 | UnionBanCal Corp. | 1,359,698 | ||||||
76,900 | US Bancorp | 2,440,806 | ||||||
88,500 | Wachovia Corp. | 3,365,655 | ||||||
149,900 | Washington Mutual, Inc. (8) | 2,040,139 | ||||||
274,600 | Wells Fargo & Company (8) | 8,290,174 | ||||||
101,444,428 | ||||||||
Broadcast Services/Media — 3.4% | ||||||||
167,782 | CBS Corp. — Class B | 4,572,060 | ||||||
1,400 | Liberty Media Corp. — Capital — Series A* | 163,086 | ||||||
104,000 | Shaw Communications, Inc. — Class B (Canada) (8) | 2,462,720 | ||||||
243,400 | The DIRECTV Group, Inc.* | 5,627,408 | ||||||
224,700 | The Walt Disney Company | 7,253,316 | ||||||
636,300 | Time Warner, Inc. | 10,505,313 | ||||||
30,583,903 | ||||||||
Business Services and Supplies — 0.7% | ||||||||
121,806 | Accenture, Ltd. — Class A (Bermuda) | 4,388,670 | ||||||
3,000 | Dun & Bradstreet Corp. | 265,890 | ||||||
48,000 | Hewitt Associates, Inc. — Class A* | 1,837,920 | ||||||
6,492,480 | ||||||||
Chemicals — 1.1% | ||||||||
18,700 | Ashland, Inc. | 886,941 | ||||||
81,946 | Celanese Corp. — Series A | 3,467,955 | ||||||
55,300 | Methanex Corp. (Canada) (8) | 1,526,280 | ||||||
7,300 | Terra Industries, Inc.* | 348,648 | ||||||
50,500 | The Dow Chemical Company (8) | 1,990,710 | ||||||
33,963 | The Lubrizol Corp. | 1,839,436 | ||||||
10,059,970 | ||||||||
Collectibles — 0.2% | ||||||||
46,600 | Sotheby’s (8) | 1,775,460 | ||||||
Computer Equipment, Software and Services — 9.5% | ||||||||
61,900 | Apple, Inc.* | 12,261,152 | ||||||
1,800 | Autodesk, Inc.* | 89,568 | ||||||
46,200 | BMC Software, Inc.* | 1,646,568 | ||||||
60,500 | CA, Inc. | 1,509,475 | ||||||
71,400 | Computer Sciences Corp.* | 3,532,158 | ||||||
216,200 | Compuware Corp.* | 1,919,856 | ||||||
108,900 | Dell, Inc.* | 2,669,139 |
142
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2007
Shares | Value | |||||||
Common Stocks (continued) | ||||||||
Computer Equipment, Software and Services (continued) | ||||||||
161,300 | EMC Corp.* | $ | 2,988,889 | |||||
215,100 | Hewlett-Packard Company | 10,858,248 | ||||||
93,000 | International Business Machines Corp. | 10,053,300 | ||||||
600 | Lexmark International, Inc. — Class A* | 20,916 | ||||||
750,800 | Microsoft Corp. | 26,728,480 | ||||||
139,109 | Nuance Communications, Inc.* (8) | 2,598,556 | ||||||
233,800 | Oracle Corp.* | 5,279,204 | ||||||
58,100 | Seagate Technology (Cayman Islands) | 1,481,550 | ||||||
95,200 | Western Digital Corp.* | 2,875,992 | ||||||
86,513,051 | ||||||||
Construction Services and Supplies — 0.3% | ||||||||
119,700 | Masco Corp. (8) | 2,586,717 | ||||||
Consumer Goods and Services — 4.0% | ||||||||
129,343 | Altria Group, Inc. | 9,775,744 | ||||||
41,900 | American Greetings Corp. — Class A | 850,570 | ||||||
29,876 | Energizer Holdings, Inc.* | 3,349,996 | ||||||
20,500 | Herbalife, Ltd. (Cayman Islands) | 825,740 | ||||||
36,961 | Jarden Corp.* (8) | 872,649 | ||||||
16,339 | Loews Corp.- Carolina Group | 1,393,717 | ||||||
26,800 | NBTY, Inc.* | 734,320 | ||||||
3,500 | The Black & Decker Corp. | 243,775 | ||||||
18,500 | The Clorox Company | 1,205,645 | ||||||
42,100 | The Estee Lauder Companies, Inc. — Class A | 1,835,981 | ||||||
133,687 | The Procter & Gamble Company | 9,815,299 | ||||||
38,100 | United Parcel Service, Inc. — Class B | 2,694,432 | ||||||
43,100 | UST, Inc. (8) | 2,361,880 | ||||||
100 | Whirlpool Corp. (8) | 8,163 | ||||||
35,967,911 | ||||||||
Containers and Packaging — 0.1% | ||||||||
26,500 | Ball Corp. | 1,192,500 | ||||||
Distribution — 0.1% | ||||||||
5,500 | Universal Corp. | 281,710 | ||||||
2,100 | WW Grainger, Inc. | 183,792 | ||||||
465,502 | ||||||||
Diversified Operations and Services — 1.1% | ||||||||
258,000 | General Electric Company | 9,564,060 | ||||||
Education — 0.6% | ||||||||
35,300 | Apollo Group, Inc. — Class A* | 2,476,295 | ||||||
29,225 | ITT Educational Services, Inc.* | 2,492,016 | ||||||
4,968,311 | ||||||||
Electronics — 1.3% | ||||||||
74,700 | Avnet, Inc.* | 2,612,259 | ||||||
54,100 | Emerson Electric Company | 3,065,306 | ||||||
2,100 | Garmin, Ltd. (Cayman Islands) | 203,700 | ||||||
53,391 | Synopsys, Inc.* | 1,384,429 | ||||||
116,100 | Tyco Electronics, Ltd. (Bermuda) | 4,310,793 | ||||||
11,576,487 | ||||||||
Engineering — 0.1% | ||||||||
1,200 | Fluor Corp. | 174,864 | ||||||
3,800 | Foster Wheeler, Ltd. (Bermuda)* | 589,076 | ||||||
3,300 | KBR, Inc.* | 128,040 | ||||||
891,980 | ||||||||
Environmental Waste Management and Recycling Services — 0.2% | ||||||||
175,199 | Allied Waste Industries, Inc.* | 1,930,693 | ||||||
Food and Beverage — 3.5% | ||||||||
54,400 | Coca-Cola Enterprises, Inc. | 1,416,032 | ||||||
60,600 | ConAgra Foods, Inc. | 1,441,674 | ||||||
46,400 | General Mills, Inc. | 2,644,800 | ||||||
3,100 | Hansen Natural Corp.* (8) | 137,299 | ||||||
73,212 | Kraft Foods, Inc. — Class A | 2,388,908 | ||||||
36,000 | Molson Coors Brewing Company — Class B | 1,858,320 | ||||||
75,500 | PepsiCo, Inc. (8) | 5,730,450 | ||||||
80,000 | Sysco Corp. | 2,496,800 | ||||||
99,900 | The Coca-Cola Company | 6,130,863 | ||||||
133,800 | The Pepsi Bottling Group, Inc. | 5,279,748 | ||||||
125,900 | Tyson Foods, Inc. — Class A | 1,930,047 | ||||||
31,454,941 | ||||||||
Insurance — 5.8% | ||||||||
71,400 | Aetna, Inc. | 4,121,922 | ||||||
17,300 | AFLAC, Inc. | 1,083,499 | ||||||
31,500 | American International Group, Inc. | 1,836,450 | ||||||
39,800 | Assurant, Inc. | 2,662,620 | ||||||
56,200 | Axis Capital Holdings, Ltd. (Bermuda) | 2,190,114 | ||||||
98,600 | CIGNA Corp. | 5,297,778 | ||||||
58,000 | Endurance Specialty Holdings, Ltd. (Bermuda) | 2,420,340 | ||||||
25,200 | Everest Re Group, Ltd. (Bermuda) | 2,530,080 | ||||||
2,700 | Fairfax Financial Holdings, Ltd. (Canada) (8) | 772,551 | ||||||
25,253 | Genworth Financial, Inc. — Class A | 642,689 | ||||||
8,300 | Loews Corp. | 417,822 | ||||||
27,500 | MetLife, Inc. | 1,694,550 | ||||||
14,700 | Nationwide Financial Services, Inc. — Class A | 661,647 | ||||||
14,500 | PartnerRe, Ltd. (Bermuda) (8) | 1,196,685 | ||||||
18,100 | Principal Financial Group, Inc. (8) | 1,246,004 |
143
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2007
Shares | Value | |||||||
Common Stocks (continued) | ||||||||
Insurance (continued) | ||||||||
28,829 | Prudential Financial, Inc. | $ | 2,682,250 | |||||
50,000 | SAFECO Corp. | 2,784,000 | ||||||
76,000 | The Allstate Corp. | 3,969,480 | ||||||
99,100 | The Chubb Corp. | 5,408,878 | ||||||
91,300 | The Travelers Companies, Inc. | 4,911,940 | ||||||
49,700 | WR Berkley Corp. | 1,481,557 | ||||||
42,290 | XL Capital, Ltd. — Class A (Cayman Islands) | 2,127,610 | ||||||
52,140,466 | ||||||||
Internet Services — 4.3% | ||||||||
29,500 | Amazon.com, Inc.* | 2,732,880 | ||||||
53,400 | Check Point Software Technologies, Ltd. (Israel)* | 1,172,664 | ||||||
429,100 | Cisco Systems, Inc.* | 11,615,737 | ||||||
144,000 | eBay, Inc.* | 4,779,360 | ||||||
94,000 | Expedia, Inc.* | 2,972,280 | ||||||
11,960 | Google, Inc. — Class A* (5) | 8,270,101 | ||||||
83,800 | Juniper Networks, Inc.* | 2,782,160 | ||||||
222,400 | Symantec Corp.* | 3,589,536 | ||||||
7,900 | VeriSign, Inc.* | 297,119 | ||||||
19,700 | Yahoo!, Inc.* | 458,222 | ||||||
38,670,059 | ||||||||
Leisure and Recreation — 0.4% | ||||||||
3,800 | Carnival Corp. (Panama) | 169,062 | ||||||
73,200 | Royal Caribbean Cruises, Ltd. (Liberia)(8) | 3,106,608 | ||||||
3,275,670 | ||||||||
Machinery — 2.0% | ||||||||
47,295 | AGCO Corp.* (8) | 3,215,114 | ||||||
46,600 | Caterpillar, Inc. | 3,381,296 | ||||||
39,989 | Cummins, Inc. | 5,093,399 | ||||||
44,100 | Deere & Company | 4,106,592 | ||||||
49,996 | Gardner Denver, Inc.* | 1,649,868 | ||||||
13,900 | Rockwell Automation, Inc. | 958,544 | ||||||
18,404,813 | ||||||||
Manufacturing — 2.2% | ||||||||
41,300 | 3M Company | 3,482,416 | ||||||
17,500 | Eaton Corp. | 1,696,625 | ||||||
12,200 | Harsco Corp. | 781,654 | ||||||
49,800 | Honeywell International, Inc. | 3,066,186 | ||||||
23,000 | Ingersoll-Rand Company, Ltd. — Class A (Bermuda) | 1,068,810 | ||||||
73,800 | Parker Hannifin Corp. | 5,557,878 | ||||||
20,100 | Precision Castparts Corp. | 2,787,870 | ||||||
11,300 | SPX Corp. | 1,162,205 | ||||||
14,400 | The Timken Company | 473,040 | ||||||
20,076,684 | ||||||||
Medical Equipment, Supplies, and Services — 4.0% | ||||||||
58,000 | Baxter International, Inc. | 3,366,900 | ||||||
15,000 | Becton, Dickinson and Company | 1,253,700 | ||||||
51,800 | Humana, Inc.* | 3,901,058 | ||||||
23,060 | Invitrogen Corp.* | 2,154,035 | ||||||
125,600 | Johnson & Johnson | 8,377,520 | ||||||
68,206 | Kinetic Concepts, Inc.* (8) | 3,653,113 | ||||||
41,900 | McKesson Corp. | 2,744,869 | ||||||
98,200 | Medtronic, Inc. | 4,936,514 | ||||||
68,700 | UnitedHealth Group, Inc. | 3,998,340 | ||||||
17,800 | WellPoint, Inc.* | 1,561,594 | ||||||
35,947,643 | ||||||||
Metals and Mining — 1.7% | ||||||||
57,500 | Freeport-McMoRan Copper & Gold, Inc. | 5,890,300 | ||||||
5,200 | Newmont Mining Corp. | 253,916 | ||||||
55,600 | Nucor Corp. | 3,292,632 | ||||||
59,600 | Southern Copper Corp. (8) | 6,265,748 | ||||||
15,702,596 | ||||||||
Oil, Coal and Gas — 12.0% | ||||||||
45,100 | Anadarko Petroleum Corp. | 2,962,619 | ||||||
11,700 | Apache Corp. | 1,258,218 | ||||||
76,200 | Chesapeake Energy Corp. | 2,987,040 | ||||||
171,100 | Chevron Corp. | 15,968,763 | ||||||
134,586 | ConocoPhillips | 11,883,944 | ||||||
28,600 | Devon Energy Corp. | 2,542,826 | ||||||
2,100 | Dresser-Rand Group, Inc.* | 82,005 | ||||||
32,769 | ENSCO International, Inc. | 1,953,688 | ||||||
362,500 | Exxon Mobil Corp. | 33,962,624 | ||||||
30,100 | Frontier Oil Corp. | 1,221,458 | ||||||
45,700 | Global Industries, Ltd.* | 978,894 | ||||||
84,000 | Halliburton Company | 3,184,440 | ||||||
73,600 | Marathon Oil Corp. | 4,479,296 | ||||||
54,900 | National-Oilwell Varco, Inc.* | 4,032,954 | ||||||
47,000 | Noble Corp. (Cayman Islands) | 2,655,970 | ||||||
34,300 | Noble Energy, Inc. | 2,727,536 | ||||||
20,200 | Petro-Canada (Canada) | 1,083,124 | ||||||
6,400 | Pioneer Natural Resources Company | 312,576 | ||||||
50,000 | Schlumberger, Ltd. (Netherlands Antilles) | 4,918,500 | ||||||
40,600 | Sunoco, Inc. | 2,941,064 | ||||||
51,989 | Superior Energy Services, Inc.* | 1,789,461 | ||||||
30,578 | Tesoro Corp. | 1,458,571 | ||||||
209 | Transocean, Inc. (Cayman Islands) (8) | 29,918 | ||||||
59,100 | Valero Energy Corp. | 4,138,773 | ||||||
109,554,262 | ||||||||
Pharmaceuticals/Research and Development — 7.1% | ||||||||
121,500 | AmerisourceBergen Corp. | 5,451,705 | ||||||
74,300 | Amgen, Inc.* | 3,450,492 | ||||||
33,000 | Biogen Idec, Inc.* | 1,878,360 |
144
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2007
Shares | Value | |||||||
Common Stocks (continued) | ||||||||
Pharmaceuticals/Research and Development (continued) | ||||||||
155,278 | Bristol-Myers Squibb Company | $ | 4,117,973 | |||||
38,300 | Cardinal Health, Inc. | 2,211,825 | ||||||
44,400 | Charles River Laboratories International, Inc.* | 2,921,520 | ||||||
56,200 | Eli Lilly and Company | 3,000,518 | ||||||
29,300 | Express Scripts, Inc.* | 2,138,900 | ||||||
111,488 | Gilead Sciences, Inc.* | 5,129,563 | ||||||
30,400 | Medco Health Solutions, Inc.* | 3,082,560 | ||||||
199,400 | Merck & Company, Inc. | 11,587,134 | ||||||
720,400 | Pfizer, Inc. | 16,374,691 | ||||||
100,000 | Schering-Plough Corp. | 2,664,000 | ||||||
8,000 | Wyeth | 353,520 | ||||||
64,362,761 | ||||||||
Real Estate Development and Services — 0.4% | ||||||||
47,300 | Jones Lang LaSalle, Inc. | 3,365,868 | ||||||
Real Estate Investment Trusts — 1.0% | ||||||||
5,400 | AvalonBay Communities, Inc. (8) | 508,356 | ||||||
1,600 | Boston Properties, Inc. | 146,896 | ||||||
12,400 | Douglas Emmett, Inc. | 280,364 | ||||||
12,900 | Equity Residential | 470,463 | ||||||
3,100 | General Growth Properties, Inc. (8) | 127,658 | ||||||
52,100 | ProLogis (8) | 3,302,098 | ||||||
2,500 | Rayonier, Inc. (8) | 118,100 | ||||||
2,700 | Regency Centers Corp. | 174,123 | ||||||
30,000 | Simon Property Group, Inc. | 2,605,800 | ||||||
8,800 | The Macerich Company | 625,328 | ||||||
11,100 | Ventas, Inc. (8) | 502,275 | ||||||
8,861,461 | ||||||||
Retail — 2.5% | ||||||||
59,884 | Barnes & Noble, Inc. | 2,063,004 | ||||||
69,000 | Best Buy Company, Inc. | 3,632,850 | ||||||
37,200 | CVS Caremark Corp. | 1,478,700 | ||||||
42,600 | Dick’s Sporting Goods, Inc.* | 1,182,576 | ||||||
31,500 | Dollar Tree Stores, Inc.* | 816,480 | ||||||
50,100 | GameStop Corp. — Class A* | 3,111,711 | ||||||
144,600 | RadioShack Corp. (8) | 2,437,956 | ||||||
34,100 | The Home Depot, Inc. | 918,654 | ||||||
41,300 | The TJX Companies, Inc. | 1,186,549 | ||||||
124,300 | Wal-Mart Stores, Inc. | 5,907,979 | ||||||
22,736,459 | ||||||||
Retail: Restaurants — 0.9% | ||||||||
66,800 | Brinker International, Inc. | 1,306,608 | ||||||
17,000 | Jack in the Box, Inc.* | 438,090 | ||||||
68,914 | McDonald’s Corp. | 4,059,724 | ||||||
59,800 | YUM! Brands, Inc. | 2,288,546 | ||||||
8,092,968 | ||||||||
Retail: Supermarkets — 1.0% | ||||||||
59,313 | Safeway, Inc. | 2,029,098 | ||||||
254,688 | The Kroger Company | 6,802,716 | ||||||
8,831,814 | ||||||||
Semiconductors — 2.7% | ||||||||
6,900 | Analog Devices, Inc. | 218,730 | ||||||
522,800 | Intel Corp. | 13,937,848 | ||||||
2,500 | MEMC Electronic Materials, Inc.* | 221,225 | ||||||
125,588 | NVIDIA Corp.* | 4,272,504 | ||||||
167,950 | Texas Instruments, Inc. | 5,609,530 | ||||||
24,259,837 | ||||||||
Telecommunications Equipment and Services — 3.9% | ||||||||
327,722 | AT&T, Inc. (5) | 13,620,127 | ||||||
38,800 | CenturyTel, Inc. | 1,608,648 | ||||||
79,100 | Corning, Inc. | 1,897,609 | ||||||
33,780 | Embarq Corp. | 1,673,123 | ||||||
433,900 | Sprint Nextel Corp. | 5,697,107 | ||||||
9,000 | Telephone and Data Systems, Inc. — Special Common Shares | 518,400 | ||||||
231,600 | Verizon Communications, Inc. | 10,118,604 | ||||||
35,133,618 | ||||||||
Toys — 0.3% | ||||||||
92,900 | Hasbro, Inc. | 2,376,382 | ||||||
Transportation — 1.3% | ||||||||
77,536 | CSX Corp. | 3,410,034 | ||||||
62,200 | Kirby Corp.* | 2,891,056 | ||||||
29,600 | Norfolk Southern Corp. | 1,493,024 | ||||||
42,889 | Ryder System, Inc. | 2,016,212 | ||||||
38,576 | Tidewater, Inc. | 2,116,279 | ||||||
11,926,605 | ||||||||
Utilities — 3.3% | ||||||||
59,500 | Alliant Energy Corp. | 2,421,055 | ||||||
154,321 | CenterPoint Energy, Inc. | 2,643,519 | ||||||
116,600 | Duke Energy Corp. | 2,351,822 | ||||||
95,000 | Edison International | 5,070,150 | ||||||
13,000 | Entergy Corp. | 1,553,760 | ||||||
57,900 | FirstEnergy Corp. | 4,188,486 | ||||||
29,700 | NRG Energy, Inc.* (8) | 1,287,198 | ||||||
38,300 | PG&E Corp. | 1,650,347 | ||||||
39,000 | Public Service Enterprise Group, Inc. | 3,831,360 | ||||||
86,000 | Reliant Energy, Inc.* | 2,256,640 | ||||||
140,000 | Sierra Pacific Resources | 2,377,200 | ||||||
29,631,537 | ||||||||
Total Common Stocks (Cost $840,552,521) | 896,671,547 | |||||||
145
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2007
Principal | Value | |||||||
Securities Lending Collateral — 5.5% | ||||||||
$ | 49,509,121 | Securities Lending Collateral Investment (Note 4) (Cost $49,509,121) | $ | 49,509,121 | ||||
Total Securities (Cost $890,061,642) | 946,180,668 | |||||||
Repurchase Agreements — 0.8% | ||||||||
7,080,636 | With State Street Bank and Trust, dated 12/31/07, 3.80%, due 01/02/08, repurchase proceeds at maturity $7,082,131 (Collateralized by Fannie Mae Adjustable Rate Mortgage, 4.06%, due 05/01/33, with a value of $1,850,921 and Freddie Mac Adjustable Rate Mortgage, 4.77%, due 05/01/35, with a value of $5,374,027) (Cost $7,080,636) | 7,080,636 | ||||||
Total Investments — 105.5% (Cost $897,142,278) | 953,261,304 | |||||||
Liabilities less other assets — (5.5)% | (49,999,483 | ) | ||||||
Net Assets — 100.0% | $ | 903,261,821 | ||||||
Gross unrealized appreciation | $ | 102,515,519 | ||
Gross unrealized depreciation | (51,005,140 | ) | ||
Net unrealized appreciation | $ | 51,510,379 | ||
146
Shares | Value | |||||||
Common Stocks — 96.4% | ||||||||
Advertising—0.2% | ||||||||
98,964 | Omnicom Group, Inc. | $ | 4,703,759 | |||||
Aerospace and Defense — 5.9% | ||||||||
101,040 | Gamesa Corporacion Tecnologica, SA (Spain) | 4,724,263 | ||||||
486,462 | General Dynamics Corp. | 43,290,253 | ||||||
337,508 | Lockheed Martin Corp. | 35,526,092 | ||||||
323,388 | Raytheon Company | 19,629,652 | ||||||
470,905 | The Boeing Company | 41,185,351 | ||||||
144,355,611 | ||||||||
Agriculture — 2.9% | ||||||||
178,881 | Agrium, Inc. (Canada) | 12,916,997 | ||||||
57,700 | CF Industries Holdings, Inc. | 6,350,462 | ||||||
374,767 | Monsanto Company | 41,857,726 | ||||||
69,000 | Potash Corp. of Saskatchewan, Inc. (Canada) | 9,933,240 | ||||||
71,058,425 | ||||||||
Airlines — 0.1% | ||||||||
126,742 | AMR Corp.*(8) | 1,778,190 | ||||||
Apparel: Manufacturing and Retail — 0.7% | ||||||||
241,179 | American Eagle Outfitters, Inc. (8) | 5,009,288 | ||||||
173,900 | Coach, Inc.* | 5,317,862 | ||||||
98,400 | Guess?, Inc. | 3,728,376 | ||||||
91,000 | Limited Brands, Inc. (8) | 1,722,630 | ||||||
31,103 | NIKE, Inc. — Class B | 1,998,057 | ||||||
17,776,213 | ||||||||
Automobiles/Motor Vehicles, Automotive Equipment and Repairs — 1.6% | ||||||||
60,237 | Continental AG (Germany) | 7,837,305 | ||||||
107,100 | Johnson Controls, Inc. | 3,859,884 | ||||||
11,200 | Oshkosh Truck Corp. | 529,312 | ||||||
353,548 | Tata Motors, Ltd. (ADR) (India) (8) | 6,667,915 | ||||||
186,251 | Toyota Motor Corp. (ADR) (Japan) | 19,774,269 | ||||||
38,668,685 | ||||||||
Banks and Financial Services — 4.8% | ||||||||
12,000 | Affiliated Managers Group, Inc.* (8) | 1,409,520 | ||||||
106,219 | American Express Company | 5,525,512 | ||||||
150,000 | Banco Itau Holding Financeira SA (ADR) (Brazil) | 3,879,000 | ||||||
35,700 | Bank of New York Mellon Corp. | 1,740,732 | ||||||
11,800 | CME Group, Inc. | 8,094,800 | ||||||
49,543 | Franklin Resources, Inc. | 5,669,205 | ||||||
47,266,000 | Industrial and Commercial Bank of China, Ltd. — Class H (China) | 33,945,879 | ||||||
308,300 | Invesco, Ltd. (Bermuda) (8) | 9,674,454 | ||||||
19,599 | Julius Baer Holding, Ltd. (Switzerland) | 1,620,339 | ||||||
178,791 | Merrill Lynch & Company, Inc. | 9,597,501 | ||||||
106,822 | The Charles Schwab Corp. | 2,729,302 | ||||||
160,146 | The Goldman Sachs Group, Inc. | 34,439,398 | ||||||
118,325,642 | ||||||||
Broadcast Services/Media — 1.2% | ||||||||
91,464 | Comcast Corp. — Class A* | 1,670,133 | ||||||
235,351 | DreamWorks Animation SKG, Inc. — Class A* | 6,010,864 | ||||||
62,269 | EchoStar Communications Corp. — Class A* | 2,348,787 | ||||||
101,812 | Liberty Global, Inc. — Class A* | 3,990,012 | ||||||
180,889 | News Corp. — Class A | 3,706,416 | ||||||
153,013 | The DIRECTV Group, Inc.* | 3,537,661 | ||||||
99,998 | The Walt Disney Company | 3,227,935 | ||||||
158,151 | Time Warner, Inc. | 2,611,073 | ||||||
64,744 | Viacom, Inc. — Class B* | 2,843,556 | ||||||
29,946,437 | ||||||||
Business Services and Supplies — 0.5% | ||||||||
280,255 | Accenture, Ltd. — Class A (Bermuda) | 10,097,588 | ||||||
32,600 | Global Payments, Inc. | 1,516,552 | ||||||
11,614,140 | ||||||||
Chemicals — 0.6% | ||||||||
122,132 | Air Products and Chemicals, Inc. | 12,045,879 | ||||||
65,214 | Rohm and Haas Company (8) | 3,460,907 | ||||||
15,506,786 | ||||||||
Collectibles — 0.2% | ||||||||
108,800 | Sotheby’s (8) | 4,145,280 | ||||||
Computer Equipment, Software and Services — 14.4% | ||||||||
393,184 | Apple, Inc.* | 77,881,886 | ||||||
555,200 | BEA Systems, Inc.* | 8,761,056 | ||||||
347,682 | BMC Software, Inc.* | 12,391,386 | ||||||
887,862 | Cadence Design Systems, Inc.* | 15,102,533 | ||||||
212,700 | Dell, Inc.* | 5,213,277 | ||||||
160,386 | EMC Corp.* | 2,971,953 | ||||||
881,196 | Hewlett-Packard Company | 44,482,773 | ||||||
296,136 | International Business Machines Corp. | 32,012,302 | ||||||
2,743,141 | Microsoft Corp. | 97,655,819 | ||||||
493,637 | Network Appliance, Inc.* (8) | 12,321,180 | ||||||
1,672,428 | Oracle Corp.* | 37,763,424 | ||||||
185,000 | SanDisk Corp.* | 6,136,450 | ||||||
352,694,039 | ||||||||
Construction Services and Supplies — 0.1% | ||||||||
107,498 | RPM International, Inc. | 2,182,209 | ||||||
147
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2007
Shares | Value | |||||||
Common Stocks (continued) | ||||||||
Consumer Goods and Services — 2.5% | ||||||||
533,955 | Altria Group, Inc. | $ | 40,356,320 | |||||
55,500 | Church & Dwight Company, Inc. | 3,000,885 | ||||||
8,600 | Energizer Holdings, Inc.* | 964,318 | ||||||
27,241 | Herbalife, Ltd. (Cayman Islands) | 1,097,267 | ||||||
48,165 | NBTY, Inc.* | 1,319,721 | ||||||
194,250 | Newell Rubbermaid, Inc. | 5,027,190 | ||||||
58,572 | The Procter & Gamble Company | 4,300,356 | ||||||
82,730 | UST, Inc. (8) | 4,533,604 | ||||||
60,599,661 | ||||||||
Containers and Packaging — 0.2% | ||||||||
60,620 | Ball Corp. | 2,727,900 | ||||||
38,800 | Owens-Illinois, Inc.* | 1,920,600 | ||||||
4,648,500 | ||||||||
Diversified Operations and Services — 0.6% | ||||||||
80,300 | Compagnie General de Geophysique-Veritas (CGG-Veritas) (ADR) (France)* | 4,500,815 | ||||||
128,200 | General Electric Company | 4,752,374 | ||||||
81,412 | Textron, Inc. | 5,804,676 | ||||||
15,057,865 | ||||||||
Electronics — 1.7% | ||||||||
306,564 | Emerson Electric Company | 17,369,916 | ||||||
269,293 | Rockwell Collins, Inc. | 19,381,018 | ||||||
145,256 | Synopsys, Inc.* | 3,766,488 | ||||||
40,517,422 | ||||||||
Energy Services — 0.1% | ||||||||
28,654 | McDermott International, Inc. (Panama)* | 1,691,446 | ||||||
Engineering — 0.2% | ||||||||
56,600 | Jacobs Engineering Group, Inc.* | 5,411,526 | ||||||
Environmental Waste Management and Recycling Services — 0.0% | ||||||||
32,900 | Nalco Holding Company | 795,522 | ||||||
Food and Beverage — 2.0% | ||||||||
44,000 | Anheuser-Busch Companies, Inc. | 2,302,960 | ||||||
11,700 | Hansen Natural Corp.* (8) | 518,193 | ||||||
474,465 | PepsiCo, Inc. | 36,011,894 | ||||||
128,088 | Sysco Corp. | 3,997,626 | ||||||
72,704 | The Coca-Cola Company | 4,461,844 | ||||||
29,400 | The Hershey Company | 1,158,360 | ||||||
48,450,877 | ||||||||
Insurance — 0.6% | ||||||||
87,530 | Ace, Ltd. (Cayman Islands) | 5,407,604 | ||||||
53,300 | American International Group, Inc. | 3,107,390 | ||||||
39,866 | CIGNA Corp. | 2,142,000 | ||||||
44,099 | Prudential Financial, Inc. | 4,102,971 | ||||||
14,759,965 | ||||||||
Internet Services — 5.8% | ||||||||
12,687 | Amazon.com, Inc.* | 1,175,324 | ||||||
1,739,280 | Cisco Systems, Inc.* | 47,082,310 | ||||||
69,344 | Ctrip.com International, Ltd. (ADR) (Cayman Islands) | 3,985,200 | ||||||
80,885 | eBay, Inc.* | 2,684,573 | ||||||
210,800 | Giant Interactive Group, Inc. (ADR) (China)*(8) | 2,736,184 | ||||||
96,786 | Google, Inc. — Class A* | 66,925,583 | ||||||
39,056 | McAfee, Inc.* | 1,464,600 | ||||||
170,200 | Shanda Interactive Entertainment, Ltd. (ADR)(Cayman Islands)* | 5,674,468 | ||||||
77,000 | Symantec Corp.* | 1,242,780 | ||||||
157,100 | VeriSign, Inc.* | 5,908,531 | ||||||
106,578 | Yahoo!, Inc.* | 2,479,004 | ||||||
141,358,557 | ||||||||
Leisure and Recreation — 3.5% | ||||||||
314,551 | Las Vegas Sands Corp.* | 32,414,480 | ||||||
216,539 | MGM MIRAGE* | 18,193,607 | ||||||
166,255 | Regal Entertainment Group — Class A (8) | 3,004,228 | ||||||
278,181 | Wynn Resorts, Ltd. (8) | 31,192,436 | ||||||
84,804,751 | ||||||||
Machinery — 0.9% | ||||||||
36,694 | Caterpillar, Inc. | 2,662,517 | ||||||
44,671 | Cummins, Inc. | 5,689,745 | ||||||
55,104 | Deere & Company | 5,131,284 | ||||||
47,200 | Terex Corp.* | 3,094,904 | ||||||
88,300 | The Manitowoc Company, Inc. | 4,311,689 | ||||||
20,890,139 | ||||||||
Manufacturing — 2.1% | ||||||||
61,700 | 3M Company | 5,202,544 | ||||||
53,633 | Eaton Corp. | 5,199,719 | ||||||
298,503 | Hansen Transmissions (Belgium)* | 1,711,296 | ||||||
105,822 | Honeywell International, Inc. | 6,515,461 | ||||||
31,800 | Ingersoll-Rand Company, Ltd. — Class A (Bermuda) | 1,477,746 | ||||||
73,452 | ITT Industries, Inc. | 4,850,770 | ||||||
257,118 | Parker Hannifin Corp. | 19,363,557 | ||||||
96,963 | Roper Industries, Inc. (8) | 6,064,066 | ||||||
50,385,159 | ||||||||
Medical Equipment, Supplies, and Services — 4.5% | ||||||||
14,253 | Baxter International, Inc. | 827,387 | ||||||
92,496 | Coventry Health Care, Inc.* | 5,480,388 | ||||||
91,258 | Health Net, Inc.* | 4,407,761 | ||||||
79,975 | Henry Schein, Inc.* (8) | 4,910,465 | ||||||
71,422 | Humana, Inc.* | 5,378,791 |
148
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2007
Shares | Value | |||||||
Common Stocks (continued) | ||||||||
Medical Equipment, Supplies, and Services (continued) | ||||||||
86,735 | Johnson & Johnson | $ | 5,785,225 | |||||
317,597 | McKesson Corp. | 20,805,779 | ||||||
177,399 | Medtronic, Inc. | 8,917,848 | ||||||
31,629 | Stryker Corp. | 2,363,319 | ||||||
859,934 | UnitedHealth Group, Inc. | 50,048,158 | ||||||
108,925,121 | ||||||||
Metals and Mining — 1.2% | ||||||||
59,828 | AK Steel Holding Corp.* | 2,766,447 | ||||||
600,007 | Antofagasta PLC (United Kingdom) | 8,563,661 | ||||||
114,117 | Freeport-McMoRan Copper & Gold, Inc. | 11,690,145 | ||||||
26,793 | Reliance Steel & Aluminum Company | 1,452,181 | ||||||
45,517 | Southern Copper Corp. (8) | 4,785,202 | ||||||
29,257,636 | ||||||||
Office Equipment, Supplies, and Services — 0.2% | ||||||||
96,085 | Pitney Bowes, Inc. (8) | 3,655,073 | ||||||
100,065 | Steelcase, Inc. — Class A | 1,588,032 | ||||||
30,530 | Xerox Corp. | 494,281 | ||||||
5,737,386 | ||||||||
Oil, Coal and Gas — 9.7% | ||||||||
81,134 | Chevron Corp. | 7,572,236 | ||||||
69,931 | ConocoPhillips | 6,174,907 | ||||||
182,754 | Diamond Offshore Drilling, Inc. (8) | 25,951,068 | ||||||
71,108 | ENSCO International, Inc. | 4,239,459 | ||||||
153,893 | Exxon Mobil Corp. | 14,418,235 | ||||||
70,062 | Global Industries, Ltd.* | 1,500,728 | ||||||
89,974 | Holly Corp. (8) | 4,578,777 | ||||||
57,720 | National-Oilwell Varco, Inc.* | 4,240,111 | ||||||
73,468 | Noble Corp. (Cayman Islands) | 4,151,677 | ||||||
260,838 | Petroleo Brasileiro SA — Petrobras (ADR) (Brazil) | 30,058,971 | ||||||
377,433 | Schlumberger, Ltd. (Netherlands Antilles) | 37,128,084 | ||||||
112,300 | Smith International, Inc. | 8,293,355 | ||||||
169,200 | Tesoro Corp. | 8,070,840 | ||||||
433,824 | Transocean, Inc. (Cayman Islands) | 62,101,906 | ||||||
78,680 | Valero Energy Corp. | 5,509,960 | ||||||
255,902 | XTO Energy, Inc. | 13,143,127 | ||||||
237,133,441 | ||||||||
Pharmaceuticals/Research and Development — 10.1% | ||||||||
346,891 | Abbott Laboratories | 19,477,930 | ||||||
108,188 | AmerisourceBergen Corp. | 4,854,396 | ||||||
35,040 | Amylin Pharmaceuticals, Inc.* (8) | 1,296,480 | ||||||
693,932 | Bristol-Myers Squibb Company | 18,403,077 | ||||||
105,105 | Cardinal Health, Inc. | 6,069,814 | ||||||
53,621 | Celgene Corp.* | 2,477,826 | ||||||
206,900 | Elan Corp. PLC (ADR) (Ireland)* | 4,547,662 | ||||||
472,472 | Eli Lilly and Company | 25,225,280 | ||||||
85,500 | Endo Pharmaceuticals Holdings, Inc.* | 2,280,285 | ||||||
85,720 | Express Scripts, Inc.* | 6,257,560 | ||||||
369,291 | Forest Laboratories, Inc.* | 13,460,657 | ||||||
335,463 | Genentech, Inc.* | 22,499,503 | ||||||
38,888 | Gilead Sciences, Inc.* | 1,789,237 | ||||||
68,001 | Medco Health Solutions, Inc.* | 6,895,301 | ||||||
1,094,905 | Merck & Company, Inc. | 63,624,929 | ||||||
101,000 | Millennium Pharmaceuticals, Inc.* | 1,512,980 | ||||||
780,453 | Schering-Plough Corp. | 20,791,268 | ||||||
337,030 | Shionogi & Company, Ltd. (Japan) | 5,958,325 | ||||||
166,986 | Teva Pharmaceutical Industries, Ltd. (ADR) (Israel) | 7,761,509 | ||||||
31,000 | UCB SA (Belgium) | 1,405,937 | ||||||
46,800 | Vertex Pharmaceuticals, Inc.* | 1,087,164 | ||||||
233,696 | Wyeth | 10,327,026 | ||||||
248,004,146 | ||||||||
Real Estate Development and Services — 0.3% | ||||||||
172,300 | CB Richard Ellis Group, Inc. — Class A* (8) | 3,713,065 | ||||||
44,683 | Jones Lang LaSalle, Inc. | 3,179,642 | ||||||
6,892,707 | ||||||||
Real Estate Investment Trusts — 0.3% | ||||||||
54,400 | Duke Realty Corp. | 1,418,752 | ||||||
54,300 | General Growth Properties, Inc. (8) | 2,236,074 | ||||||
30,900 | Simon Property Group, Inc. | 2,683,974 | ||||||
17,800 | The Macerich Company | 1,264,868 | ||||||
7,603,668 | ||||||||
Retail — 4.1% | ||||||||
239,700 | Circuit City Stores, Inc. (8) | 1,006,740 | ||||||
124,900 | Costco Wholesale Corp. | 8,713,024 | ||||||
837,571 | CVS Caremark Corp. | 33,293,448 | ||||||
87,700 | GameStop Corp. — Class A* | 5,447,047 | ||||||
101,406 | JC Penney Company, Inc. | 4,460,850 | ||||||
845,368 | Lowe’s Companies, Inc. | 19,122,224 | ||||||
176,710 | PetSmart, Inc. | 4,157,986 | ||||||
161,779 | RadioShack Corp. (8) | 2,727,594 | ||||||
51,637 | Target Corp. | 2,581,850 | ||||||
67,857 | The Home Depot, Inc. | 1,828,068 | ||||||
85,799 | The TJX Companies, Inc. | 2,465,005 | ||||||
72,800 | Walgreen Company | 2,772,224 | ||||||
261,336 | Wal-Mart Stores, Inc. | 12,421,300 | ||||||
100,997,360 | ||||||||
149
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2007
Shares | Value | |||||||
Common Stocks (continued) | ||||||||
Retail: Restaurants — 1.8% | ||||||||
730,746 | McDonald’s Corp. | $ | 43,048,247 | |||||
82,426 | Wendy’s International, Inc. | 2,129,888 | ||||||
45,178,135 | ||||||||
Retail: Supermarkets — 0.2% | ||||||||
199,500 | The Kroger Company | 5,328,645 | ||||||
Rubber Products — 0.1% | ||||||||
100,900 | The Goodyear Tire & Rubber Company* | 2,847,398 | ||||||
Semiconductors — 4.5% | ||||||||
1,097,035 | Altera Corp. | 21,194,716 | ||||||
98,467 | Applied Materials, Inc. | 1,748,774 | ||||||
392,694 | Emulex Corp.* | 6,408,766 | ||||||
2,189,626 | Intel Corp. | 58,375,429 | ||||||
135,932 | MEMC Electronic Materials, Inc.* | 12,028,623 | ||||||
184,966 | NVIDIA Corp.* | 6,292,543 | ||||||
84,829 | Texas Instruments, Inc. | 2,833,289 | ||||||
108,882,140 | ||||||||
Telecommunications Equipment and Services — 4.0% | ||||||||
115,000 | Arris Group, Inc.* (8) | 1,147,700 | ||||||
868,899 | AT&T, Inc. | 36,111,443 | ||||||
85,700 | Brasil Telecom S.A. (ADR) (Brazil) (8) | 2,600,995 | ||||||
33,440 | Ciena Corp.* (8) | 1,140,638 | ||||||
347,800 | Citizens Communications Company | 4,427,494 | ||||||
102,808 | Corning, Inc. | 2,466,364 | ||||||
60,010 | NII Holdings, Inc.* | 2,899,683 | ||||||
53,192 | Nokia Oyj (ADR) (Finland) | 2,042,041 | ||||||
165,127 | QUALCOMM, Inc. | 6,497,747 | ||||||
80,300 | Starent Networks Corp.* (8) | 1,465,475 | ||||||
172,200 | Telefonica SA (ADR) (Spain) | 16,804,998 | ||||||
68,600 | Telephone and Data Systems, Inc. (8) | 4,294,360 | ||||||
457,300 | Vodafone Group PLC (ADR) (United Kingdom) | 17,066,436 | ||||||
98,965,374 | ||||||||
Toys — 0.3% | ||||||||
84,802 | Hasbro, Inc. | 2,169,235 | ||||||
9,903 | Nintendo Company, Ltd. (Japan) | 5,930,365 | ||||||
8,099,600 | ||||||||
Transportation — 1.2% | ||||||||
34,100 | CH Robinson Worldwide, Inc. | 1,845,492 | ||||||
93,771 | Norfolk Southern Corp. | 4,729,809 | ||||||
72,650 | Tidewater, Inc. | 3,985,579 | ||||||
157,488 | Union Pacific Corp. | 19,783,643 | ||||||
30,344,523 | ||||||||
Utilities — 0.5% | ||||||||
30,286 | Constellation Energy Group | 3,105,224 | ||||||
127,586 | NRG Energy, Inc.* | 5,529,577 | ||||||
170,400 | Sierra Pacific Resources | 2,893,392 | ||||||
11,528,193 | ||||||||
Total Common Stocks | ||||||||
(Cost $2,112,523,766) | 2,357,852,279 | |||||||
Principal | ||||||||
Securities Lending Collateral — 4.4% | ||||||||
$ | 106,513,377 | Securities Lending Collateral Investment (Note 4) (Cost $106,513,377) | 106,513,377 | |||||
Total Securities (Cost $2,219,037,143) | 2,464,365,656 | |||||||
Repurchase Agreements—3.0% | ||||||||
72,528,255 | With State Street Bank and Trust, dated 12/31/2007, 3.80%, due 01/02/08, repurchase proceeds at maturity $72,543,567 (Collateralized by various Fannie Mae Adjustable Rate Mortgages, 3.70%-4.29%, due 06/01/33-10/01/33, with a total value of $24,969,945 and US Treasury Bill, 3.19%, due 02/28/08, with a value of $52,744,646) (Cost $72,528,255) | 72,528,255 | ||||||
Total Investments — 103.8% (Cost $2,291,565,398) | 2,536,893,911 | |||||||
Liabilities less other assets — (3.8)% | (92,133,058 | ) | ||||||
Net Assets — 100.0% | $ | 2,444,760,853 | ||||||
Gross unrealized appreciation | $ | 321,055,058 | ||
Gross unrealized depreciation | (82,144,607 | ) | ||
Net unrealized appreciation | $ | 238,910,451 | ||
150
Shares | Value | |||||||
Common Stocks — 99.3% | ||||||||
Agriculture — 4.8% | ||||||||
36,230 | Bunge, Ltd. (Bermuda) | $ | 4,217,534 | |||||
75,880 | Monsanto Company | 8,475,038 | ||||||
83,000 | The Mosaic Company* | 7,830,220 | ||||||
20,522,792 | ||||||||
Apparel: Manufacturing and Retail — 2.1% | ||||||||
116,490 | Guess?, Inc. | 4,413,806 | ||||||
108,730 | Under Armour, Inc. — Class A* (8) | 4,748,239 | ||||||
9,162,045 | ||||||||
Automobiles/Motor Vehicles, Automotive Equipment and Repairs — 1.1% | ||||||||
125,200 | Johnson Controls, Inc. | 4,512,208 | ||||||
Banks and Financial Services — 6.5% | ||||||||
11,780 | CME Group, Inc. | 8,081,080 | ||||||
38,130 | IntercontinentalExchange, Inc.* (8) | 7,340,025 | ||||||
22,500 | MasterCard, Inc. — Class A (8) | 4,842,000 | ||||||
35,150 | The Goldman Sachs Group, Inc. | 7,559,008 | ||||||
27,822,113 | ||||||||
Computer Equipment, Software and Services — 16.6% | ||||||||
126,900 | Activision, Inc.* | 3,768,930 | ||||||
100,440 | Apple, Inc.* | 19,895,155 | ||||||
110,800 | Citrix Systems, Inc.* | 4,211,508 | ||||||
104,500 | Electronic Arts, Inc.* | 6,103,845 | ||||||
695,880 | Microsoft Corp. | 24,773,327 | ||||||
66,130 | Salesforce.com, Inc.* | 4,145,690 | ||||||
180,900 | Seagate Technology (Cayman Islands) | 4,612,950 | ||||||
33,120 | VMware, Inc. — Class A* (8) | 2,814,869 | ||||||
70,326,274 | ||||||||
Construction Services and Supplies — 1.0% | ||||||||
73,000 | Chicago Bridge & Iron Company NV (the Netherlands) | 4,412,120 | ||||||
Diversified Operations and Services — 1.9% | ||||||||
116,500 | Textron, Inc. | 8,306,450 | ||||||
Education — 0.9% | ||||||||
57,800 | Apollo Group, Inc. — Class A* | 4,054,670 | ||||||
Energy Services — 3.2% | ||||||||
26,100 | First Solar, Inc.* | 6,972,354 | ||||||
50,230 | SunPower Corp. — Class A* (8) | 6,549,490 | ||||||
13,521,844 | ||||||||
Engineering — 1.7% | ||||||||
252,130 | ABB, Ltd. (ADR) (Switzerland) | 7,261,344 | ||||||
Environmental Waste Management and Recycling Services — 0.9% | ||||||||
63,750 | Stericycle, Inc.* (8) | 3,786,750 | ||||||
Food and Beverage — 2.5% | ||||||||
172,000 | The Coca-Cola Company | 10,555,640 | ||||||
Insurance — 1.6% | ||||||||
146,900 | Aon Corp. | 7,005,661 | ||||||
Internet Services — 13.0% | ||||||||
97,480 | Amazon.com, Inc.* | 9,030,547 | ||||||
534,840 | Cisco Systems, Inc.* | 14,478,119 | ||||||
27,540 | Google, Inc. — Class A* | 19,043,358 | ||||||
246,380 | Juniper Networks, Inc.* | 8,179,816 | ||||||
120,720 | VeriSign, Inc.* (8) | 4,540,279 | ||||||
55,272,119 | ||||||||
Leisure and Recreation — 1.3% | ||||||||
54,360 | Las Vegas Sands Corp.* (8) | 5,601,798 | ||||||
Machinery — 1.7% | ||||||||
77,400 | Deere & Company | 7,207,488 | ||||||
Manufacturing — 3.1% | ||||||||
125,000 | AMETEK, Inc. (8) | 5,855,000 | ||||||
39,200 | Flowserve Corp. | 3,771,040 | ||||||
59,760 | Roper Industries, Inc. | 3,737,390 | ||||||
13,363,430 | ||||||||
Medical Equipment, Supplies, and Services — 3.7% | ||||||||
152,850 | Baxter International, Inc. | 8,872,943 | ||||||
21,330 | Intuitive Surgical, Inc.* | 6,921,585 | ||||||
15,794,528 | ||||||||
Oil, Coal and Gas — 2.2% | ||||||||
175,000 | Acergy SA (ADR) (Luxembourg) | 3,844,750 | ||||||
48,000 | Petroleo Brasileiro SA — Petrobras (ADR) (Brazil) | 5,531,520 | ||||||
9,376,270 | ||||||||
Pharmaceuticals/Research and Development — 12.5% | ||||||||
99,660 | Allergan, Inc. | 6,402,158 | ||||||
144,650 | BioMarin Pharmaceutical, Inc.* | 5,120,610 | ||||||
88,110 | Charles River Laboratories International, Inc.* | 5,797,638 | ||||||
93,740 | Express Scripts, Inc.* | 6,843,020 | ||||||
68,060 | Genzyme Corp.* | 5,066,386 | ||||||
236,570 | Gilead Sciences, Inc.* | 10,884,587 | ||||||
78,300 | Medco Health Solutions, Inc.* | 7,939,620 | ||||||
75,220 | Shire PLC (ADR) (United Kingdom) | 5,186,419 | ||||||
53,240,438 | ||||||||
Retail — 1.0% | ||||||||
71,440 | GameStop Corp. — Class A* | 4,437,138 | ||||||
Retail: Restaurants — 0.9% | ||||||||
98,150 | YUM! Brands, Inc. | 3,756,201 | ||||||
Scientific and Technical Instruments — 2.8% | ||||||||
142,330 | Thermo Fisher Scientific, Inc.* | 8,209,594 | ||||||
49,400 | Waters Corp.* | 3,906,058 | ||||||
12,115,652 | ||||||||
Semiconductors — 8.5% | ||||||||
301,000 | Applied Materials, Inc. | 5,345,760 | ||||||
818,170 | Intel Corp. | 21,812,412 |
151
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2007
Shares | Value | |||||||
Common Stocks (continued) | ||||||||
Semiconductors (continued) | ||||||||
53,420 | MEMC Electronic Materials, Inc.* | $ | 4,727,136 | |||||
119,120 | Varian Semiconductor Equipment Associates, Inc.* | 4,407,440 | ||||||
36,292,748 | ||||||||
Telecommunications Equipment and Services — 2.7% | ||||||||
161,700 | Nokia Oyj (ADR) (Finland) | 6,207,663 | ||||||
130,781 | Vimpel — Communications (ADR) (Russia) | 5,440,490 | ||||||
11,648,153 | ||||||||
Toys — 1.1% | ||||||||
62,800 | Nintendo Company, Ltd (ADR) (Japan) | 4,631,500 | ||||||
Total Common Stocks (Cost $334,575,370) | 423,987,374 | |||||||
Principal | ||||||||
Securities Lending Collateral — 7.4% | ||||||||
$ | 31,770,694 | Securities Lending Collateral Investment (Note 4) (Cost $31,770,694) | 31,770,694 | |||||
Total Securities (Cost $366,346,064) | 455,758,068 | |||||||
Repurchase Agreements — 1.0% | ||||||||
4,360,811 | With State Street Bank and Trust, dated 12/31/07, 3.80%, due 01/02/08, repurchase proceeds at maturity $4,361,731 (Collateralized by various Fannie Mae Adjustable Rate Mortgages, 4.06%-4.44%, due 05/01/33, with a total value of $4,449,427) (Cost $4,360,811) | 4,360,811 | ||||||
Total Investments — 107.7% (Cost $370,706,875) | 460,118,879 | |||||||
Liabilities less other assets — (7.7)% | (32,745,885 | ) | ||||||
Net Assets — 100.0% | $ | 427,372,994 | ||||||
Gross unrealized appreciation | $ | 93,919,797 | ||
Gross unrealized depreciation | (5,039,035 | ) | ||
Net unrealized appreciation | $ | 88,880,762 | ||
152
Shares | Value | |||||||
Common Stocks — 96.9% | ||||||||
Advertising — 0.2% | ||||||||
38,313 | RH Donnelley Corp.* (8) | $ | 1,397,658 | |||||
111,773 | The Interpublic Group of Companies, Inc.* | 906,479 | ||||||
2,304,137 | ||||||||
Aerospace and Defense — 2.0% | ||||||||
257,686 | Goodrich Corp. (8) | 18,195,208 | ||||||
13,200 | L-3 Communications Holdings, Inc. | 1,398,408 | ||||||
19,593,616 | ||||||||
Agriculture — 0.5% | ||||||||
51,404 | The Mosaic Company* | 4,849,453 | ||||||
Airlines — 0.3% | ||||||||
35,700 | Alaska Air Group, Inc.* (8) | 892,856 | ||||||
33,574 | AMR Corp.* (8) | 471,043 | ||||||
21,606 | Continental Airlines, Inc. — Class B* | 480,734 | ||||||
11,213 | Delta Air Lines, Inc.* | 166,962 | ||||||
121,900 | ExpressJet Holdings, Inc.* | 302,312 | ||||||
30,975 | Northwest Airlines* | 449,447 | ||||||
9,313 | UAL Corp.* | 332,102 | ||||||
23,093 | US Airways Group, Inc.* | 339,698 | ||||||
3,435,154 | ||||||||
Apparel: Manufacturing and Retail — 0.8% | ||||||||
74,500 | Foot Locker, Inc. | 1,017,670 | ||||||
114,000 | Jones Apparel Group, Inc. | 1,822,860 | ||||||
46,400 | Kellwood Company | 772,096 | ||||||
34,191 | Liz Claiborne, Inc. (8) | 695,787 | ||||||
23,267 | Macy’s, Inc. | 601,917 | ||||||
60,100 | The Cato Corp. — Class A | 941,166 | ||||||
28,244 | VF Corp. | 1,939,233 | ||||||
7,790,729 | ||||||||
Automobile: Retail — 0.8% | ||||||||
216,100 | Advance Auto Parts, Inc. | 8,209,639 | ||||||
Automobiles/Motor Vehicles, Automotive Equipment and Repairs — 4.5% | ||||||||
83,200 | American Axle & Manufacturing Holdings, Inc. | 1,549,184 | ||||||
141,315 | ArvinMeritor, Inc. (8) | 1,657,625 | ||||||
52,900 | Autoliv, Inc. | 2,788,359 | ||||||
661,885 | Ford Motor Company* (8) | 4,454,486 | ||||||
20,149 | General Motors Corp. (8) | 501,509 | ||||||
204,536 | Genuine Parts Company | 9,470,017 | ||||||
65,000 | Harley-Davidson, Inc. | 3,036,150 | ||||||
22,454 | Johnson Controls, Inc. | 809,242 | ||||||
10,017 | Magna International, Inc. — Class A (Canada) | 805,667 | ||||||
238,400 | Oshkosh Truck Corp. | 11,266,784 | ||||||
8,470 | TravelCenters of America LLC* | 105,875 | ||||||
160,477 | WABCO Holdings, Inc. | 8,038,293 | ||||||
44,483,191 | ||||||||
Banks and Financial Services — 9.1% | ||||||||
55,119 | Advance America Cash Advance Centers, Inc. | 560,009 | ||||||
54,600 | Advanta Corp. — Class B | 440,622 | ||||||
80,700 | AmeriCredit Corp.* (8) | 1,032,153 | ||||||
98,100 | Banco Latinoamericano de Exportaciones, SA — Class E (Panama) | 1,600,011 | ||||||
261,800 | Bank of New York Mellon Corp. | 12,765,368 | ||||||
96,000 | CIT Group, Inc. | 2,306,880 | ||||||
32,700 | City Holding Company | 1,106,568 | ||||||
109,300 | Comerica, Inc. | 4,757,829 | ||||||
80,500 | Friedman, Billings, Ramsey Group, Inc. — Class A | 252,770 | ||||||
99,400 | Fulton Financial Corp. | 1,115,268 | ||||||
321,600 | Hudson City Bancorp, Inc. | 4,830,432 | ||||||
185,700 | Huntington Bancshares, Inc. | 2,740,932 | ||||||
431,451 | Invesco, Ltd. (Bermuda) (8) | 13,538,933 | ||||||
125,100 | KeyCorp | 2,933,595 | ||||||
708,499 | People’s United Financial, Inc. | 12,611,282 | ||||||
116,600 | PNC Financial Services Group, Inc. | 7,654,790 | ||||||
39,600 | Provident Bankshares Corp. | 847,044 | ||||||
67,779 | Regions Financial Corp. | 1,602,973 | ||||||
61,900 | State Street Corp. | 5,026,280 | ||||||
234,000 | UnionBanCal Corp. | 11,444,940 | ||||||
7,200 | United Bankshares, Inc. | 201,744 | ||||||
89,370,423 | ||||||||
Broadcast Services/Media — 0.2% | ||||||||
79,800 | Belo Corp. | 1,391,712 | ||||||
166,400 | Westwood One, Inc. | 331,136 | ||||||
1,722,848 | ||||||||
Business Services and Supplies — 2.0% | ||||||||
29,431 | Deluxe Corp. | 967,986 | ||||||
66,687 | Dun & Bradstreet Corp. | 5,910,469 | ||||||
75,400 | Kelly Services, Inc. — Class A | 1,406,964 | ||||||
172,200 | Manpower, Inc. | 9,798,179 | ||||||
21,165 | Ritchie Brothers Auctioneers, Inc. (Canada) | 1,750,346 | ||||||
19,833,944 | ||||||||
153
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2007
Shares | Value | |||||||
Common Stocks (continued) | ||||||||
Chemicals — 3.5% | ||||||||
69,665 | Eastman Chemical Company | $ | 4,255,835 | |||||
23,099 | Imperial Chemical Industries PLC (ADR) (United Kingdom) | 1,184,055 | ||||||
13,400 | NewMarket Corp. | 746,246 | ||||||
146,500 | PolyOne Corp.* | 963,970 | ||||||
108,715 | PPG Industries, Inc. | 7,635,054 | ||||||
205,800 | Rohm and Haas Company (8) | 10,921,806 | ||||||
92,600 | Sensient Technologies Corp. | 2,618,728 | ||||||
57,100 | Spartech Corp. | 805,110 | ||||||
82,034 | The Lubrizol Corp. | 4,442,961 | ||||||
63,400 | The Valspar Corp. | 1,429,036 | ||||||
35,002,801 | ||||||||
Computer Equipment, Software and Services — 6.9% | ||||||||
58,447 | BMC Software, Inc.* | 2,083,051 | ||||||
216,904 | Computer Sciences Corp.* | 10,730,241 | ||||||
135,300 | Electronic Arts, Inc.* | 7,902,873 | ||||||
83,744 | Electronic Data Systems Corp. | 1,736,013 | ||||||
81,600 | Lexmark International, Inc. — Class A* | 2,844,576 | ||||||
553,800 | NCR Corp.* | 13,900,380 | ||||||
421,000 | Parametric Technology Corp.* | 7,514,850 | ||||||
179,400 | Seagate Technology (Cayman Islands) | 4,574,700 | ||||||
106,400 | Sun Microsystems, Inc.* | 1,929,032 | ||||||
451,200 | Teradata Corp.* | 12,367,392 | ||||||
76,600 | Western Digital Corp.* | 2,314,086 | ||||||
67,897,194 | ||||||||
Construction Services and Supplies — 3.0% | ||||||||
34,700 | Beazer Homes USA, Inc. (8) | 257,821 | ||||||
35,132 | Chicago Bridge & Iron Company NV (the Netherlands) | 2,123,378 | ||||||
9,571 | Insituform Technologies, Inc. — Class A* | 141,651 | ||||||
28,500 | KB HOME (8) | 615,600 | ||||||
72,300 | Lennox International, Inc. | 2,994,666 | ||||||
118,600 | Masco Corp. | 2,562,946 | ||||||
441,946 | Trane, Inc. | 20,643,297 | ||||||
21,373 | USG Corp.* (8) | 764,940 | ||||||
30,104,299 | ||||||||
Consumer Goods and Services — 2.6% | ||||||||
59,400 | American Greetings Corp. — Class A | 1,205,820 | ||||||
55,900 | Blyth, Inc. | 1,226,446 | ||||||
117,344 | Eastman Kodak Company (8) | 2,566,313 | ||||||
69,800 | Ethan Allen Interiors, Inc. (8) | 1,989,300 | ||||||
29,700 | Fortune Brands, Inc. | 2,149,092 | ||||||
64,609 | Loews Corp.- Carolina Group | 5,511,147 | ||||||
12,477 | Mohawk Industries, Inc.* (8) | 928,289 | ||||||
21,460 | Reynolds American, Inc. (8) | 1,415,502 | ||||||
45,000 | The Black & Decker Corp. | 3,134,250 | ||||||
63,800 | Tupperware Corp. | 2,107,314 | ||||||
46,868 | Whirlpool Corp. (8) | 3,825,835 | ||||||
26,059,308 | ||||||||
Containers and Packaging — 1.2% | ||||||||
55,500 | Bemis Company, Inc. (8) | 1,519,590 | ||||||
301,800 | Pactiv Corp.* | 8,036,934 | ||||||
77,700 | Sonoco Products Company | 2,539,236 | ||||||
12,095,760 | ||||||||
Diversified Operations and Services — 0.9% | ||||||||
120,693 | Textron, Inc. (8) | 8,605,411 | ||||||
Electronics — 2.1% | ||||||||
223,100 | Amphenol Corp. — Class A | 10,345,147 | ||||||
143,449 | Celestica, Inc. (Canada)* | 832,004 | ||||||
106,598 | Flextronics International, Ltd. (Singapore)* | 1,285,572 | ||||||
335,200 | Sanmina-SCI Corp.* | 610,064 | ||||||
55,600 | Technitrol, Inc. | 1,589,048 | ||||||
145,700 | Tyco Electronics, Ltd. (Bermuda) | 5,409,841 | ||||||
99,500 | Vishay Intertechnology, Inc.* | 1,135,295 | ||||||
21,206,971 | ||||||||
Energy Services — 0.4% | ||||||||
53,250 | Energy East Corp. | 1,448,933 | ||||||
41,635 | McDermott International, Inc. (Panama)* | 2,457,714 | ||||||
3,906,647 | ||||||||
Engineering — 0.2% | ||||||||
16,406 | Fluor Corp. | 2,390,682 | ||||||
Equipment Rental and Leasing — 0.1% | ||||||||
50,300 | United Rentals North America, Inc.* | 923,508 | ||||||
Food and Beverage — 3.3% | ||||||||
82,600 | Brown-Forman Corp. — Class B (8) | 6,121,486 | ||||||
212,300 | Campbell Soup Company | 7,585,479 | ||||||
225,647 | Del Monte Foods Company | 2,134,621 | ||||||
221,600 | McCormick & Company, Inc. | 8,400,855 | ||||||
33,896 | Reddy Ice Holdings, Inc. | 857,908 | ||||||
38,200 | Sanderson Farms, Inc. (8) | 1,290,396 | ||||||
800 | Seaboard Corp. | 1,176,000 |
154
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2007
Shares | Value | |||||||
Common Stocks (continued) | ||||||||
Food and Beverage (continued) | ||||||||
95,600 | The Pepsi Bottling Group, Inc. | $ | 3,772,376 | |||||
96,848 | Tyson Foods, Inc. — Class A | 1,484,680 | ||||||
32,823,801 | ||||||||
Insurance — 8.6% | ||||||||
61,084 | Ace, Ltd. (Cayman Islands) | 3,773,770 | ||||||
15,179 | Ambac Financial Group, Inc. (8) | 391,163 | ||||||
118,342 | Aon Corp. | 5,643,730 | ||||||
70,500 | Aspen Insurance Holdings, Ltd. (Bermuda) | 2,033,220 | ||||||
59,802 | Axis Capital Holdings, Ltd. (Bermuda) | 2,330,484 | ||||||
31,800 | CIGNA Corp. | 1,708,614 | ||||||
64,680 | Cincinnati Financial Corp. | 2,557,447 | ||||||
95,950 | Everest Re Group, Ltd. (Bermuda) | 9,633,380 | ||||||
142,300 | Genworth Financial, Inc. — Class A | 3,621,535 | ||||||
70,100 | Horace Mann Educators Corp. (8) | 1,327,694 | ||||||
47,600 | IPC Holdings, Ltd. (Bermuda) | 1,374,212 | ||||||
36,600 | LandAmerica Financial Group, Inc. (8) | 1,224,270 | ||||||
253,946 | Lincoln National Corp. | 14,784,736 | ||||||
45,578 | Loews Corp. | 2,294,397 | ||||||
4,843 | Marsh & McLennan Companies, Inc. | 128,194 | ||||||
82,926 | MBIA, Inc. (8) | 1,544,911 | ||||||
56,300 | MGIC Investment Corp. (8) | 1,262,809 | ||||||
92,000 | Nationwide Financial Services, Inc. — Class A | 4,140,920 | ||||||
59,126 | PartnerRe, Ltd. (Bermuda) (8) | 4,879,669 | ||||||
17,000 | Principal Financial Group, Inc. | 1,170,280 | ||||||
71,500 | Radian Group, Inc. | 835,120 | ||||||
106,200 | SAFECO Corp. | 5,913,216 | ||||||
59,000 | The Commerce Group, Inc. | 2,122,820 | ||||||
41,700 | Unitrin, Inc. | 2,001,183 | ||||||
34,488 | Willis Group Holdings, Ltd. (Bermuda) | 1,309,509 | ||||||
114,248 | XL Capital, Ltd. — Class A (Cayman Islands) | 5,747,817 | ||||||
83,755,100 | ||||||||
Internet Services — 0.2% | ||||||||
46,984 | McAfee, Inc.* | 1,761,900 | ||||||
Leisure and Recreation — 0.7% | ||||||||
65,451 | National CineMedia, Inc. | 1,650,020 | ||||||
93,992 | Regal Entertainment Group — Class A (8) | 1,698,435 | ||||||
77,518 | Royal Caribbean Cruises, Ltd. (Liberia) (8) | 3,289,864 | ||||||
6,638,319 | ||||||||
Machinery — 1.0% | ||||||||
79,739 | AGCO Corp.* (8) | 5,420,658 | ||||||
23,165 | Rockwell Automation, Inc. | 1,597,458 | ||||||
11,095 | Terex Corp.* | 727,499 | ||||||
45,616 | The Manitowoc Company, Inc. | 2,227,429 | ||||||
9,973,044 | ||||||||
Manufacturing — 3.2% | ||||||||
61,000 | American Woodmark Corp. (8) | 1,108,980 | ||||||
213,700 | Carlisle Companies, Inc. | 7,913,312 | ||||||
50,363 | Cooper Industries, Ltd. — Class A (Bermuda) | 2,663,195 | ||||||
32,900 | Crane Company | 1,411,410 | ||||||
49,862 | Eaton Corp. | 4,834,121 | ||||||
42,200 | EnPro Industries, Inc.* | 1,293,430 | ||||||
70,600 | Furniture Brands International, Inc. (8) | 710,236 | ||||||
71,052 | Ingersoll-Rand Company, Ltd. — Class A (Bermuda) | 3,301,786 | ||||||
86,300 | Leggett & Platt, Inc. | 1,505,072 | ||||||
80,100 | Parker Hannifin Corp. | 6,032,331 | ||||||
83,400 | Tredegar Corp. | 1,341,072 | ||||||
32,114,945 | ||||||||
Medical Equipment, Supplies, and Services — 3.5% | ||||||||
228,800 | CR Bard, Inc. | 21,690,240 | ||||||
99,754 | Health Management Associates, Inc. — Class A | 596,529 | ||||||
40,457 | Health Net, Inc.* | 1,954,073 | ||||||
24,315 | Humana, Inc.* | 1,831,163 | ||||||
12,700 | IMS Health, Inc. | 292,608 | ||||||
31,400 | Kindred Healthcare, Inc.* | 784,372 | ||||||
80,100 | Kinetic Concepts, Inc.* | 4,290,156 | ||||||
11,988 | McKesson Corp. | 785,334 | ||||||
39,594 | Omnicare, Inc. (8) | 903,139 | ||||||
23,000 | Universal Health Services, Inc. — Class B | 1,177,600 | ||||||
34,305,214 | ||||||||
Metals and Mining — 1.7% | ||||||||
61,600 | Allegheny Technologies, Inc. (8) | 5,322,240 | ||||||
21,767 | Freeport-McMoRan Copper & Gold, Inc. | 2,229,811 |
155
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2007
Shares | Value | |||||||
Common Stocks (continued) | ||||||||
Metals and Mining (continued) | ||||||||
83,803 | Nucor Corp. | $ | 4,962,814 | |||||
33,200 | United States Steel Corp. | 4,014,212 | ||||||
16,529,077 | ||||||||
Office Equipment, Supplies, and Services — 0.6% | ||||||||
99,900 | IKON Office Solutions, Inc. | 1,300,698 | ||||||
12,612 | Pitney Bowes, Inc. (8) | 479,760 | ||||||
173,100 | Steelcase, Inc. — Class A | 2,747,097 | ||||||
104,300 | Xerox Corp. | 1,688,617 | ||||||
6,216,172 | ||||||||
Oil, Coal and Gas — 9.5% | ||||||||
82,212 | BJ Services Company | 1,994,463 | ||||||
54,276 | Cameron International Corp.* | 2,612,304 | ||||||
25,398 | Chesapeake Energy Corp. | 995,602 | ||||||
123,567 | El Paso Corp. | 2,130,295 | ||||||
68,780 | Enbridge, Inc. (Canada) (8) | 2,780,775 | ||||||
99,232 | ENSCO International, Inc. | 5,916,212 | ||||||
185,300 | Equitable Resources, Inc. (8) | 9,872,784 | ||||||
48,980 | Hess Corp. | 4,940,123 | ||||||
97,200 | Marathon Oil Corp. | 5,915,592 | ||||||
19,436 | Nabors Industries, Ltd. (Bermuda)* | 532,352 | ||||||
15,555 | National-Oilwell Varco, Inc.* | 1,142,670 | ||||||
48,039 | Newfield Exploration Company* | 2,531,655 | ||||||
184,800 | ONEOK, Inc. | 8,273,496 | ||||||
188,500 | Patterson-UTI Energy, Inc. | 3,679,520 | ||||||
47,946 | Pioneer Natural Resources Company (8) | 2,341,683 | ||||||
408,983 | Questar Corp. | 22,125,980 | ||||||
16,886 | Smith International, Inc. | 1,247,031 | ||||||
45,714 | Southwestern Energy Company* | 2,547,184 | ||||||
85,109 | Sunoco, Inc. | 6,165,296 | ||||||
33,000 | Swift Energy Company* | 1,455,630 | ||||||
13,545 | Transocean, Inc. (Cayman Islands) | 1,938,967 | ||||||
30,255 | Weatherford International, Ltd. (Bermuda)* | 2,075,493 | ||||||
93,215,107 | ||||||||
Paper and Forest Products — 0.4% | ||||||||
99,600 | International Paper Company | 3,225,048 | ||||||
36,315 | MeadWestvaco Corp. | 1,136,660 | ||||||
4,361,708 | ||||||||
Pharmaceuticals/Research and Development — 1.7% | ||||||||
42,900 | Forest Laboratories, Inc.* | 1,563,705 | ||||||
24,685 | Hospira, Inc.* | 1,052,568 | ||||||
263,322 | King Pharmaceuticals, Inc.* | 2,696,417 | ||||||
95,300 | Millipore Corp.* | 6,974,054 | ||||||
253,315 | Mylan Laboratories, Inc. (8) | 3,561,609 | ||||||
22,256 | Watson Pharmaceuticals, Inc.* | 604,028 | ||||||
16,452,381 | ||||||||
Printing and Publishing — 0.3% | ||||||||
80,000 | Gannett Company, Inc. | 3,120,000 | ||||||
Real Estate Development and Services — 0.1% | ||||||||
20,717 | The St. Joe Company (8) | 735,661 | ||||||
Real Estate Investment Trusts — 2.3% | ||||||||
210,000 | Anthracite Capital, Inc. (8) | 1,520,400 | ||||||
5,416 | Boston Properties, Inc. | 497,243 | ||||||
36,100 | Capital Trust, Inc. — Class A (8) | 1,106,465 | ||||||
38,449 | Equity Residential | 1,402,235 | ||||||
84,700 | Hospitality Properties Trust | 2,729,034 | ||||||
114,600 | HRPT Properties Trust | 885,858 | ||||||
320,400 | iStar Financial, Inc. (8) | 8,346,420 | ||||||
128,200 | Medical Properties Trust, Inc. (8) | 1,306,358 | ||||||
38,998 | RAIT Investment Trust (8) | 336,163 | ||||||
36,808 | Rayonier, Inc. | 1,738,810 | ||||||
12,576 | Simon Property Group, Inc. | 1,092,351 | ||||||
90,200 | Sunstone Hotel Investors, Inc. (8) | 1,649,758 | ||||||
22,611,095 | ||||||||
Retail — 2.7% | ||||||||
61,000 | Borders Group, Inc. (8) | 649,650 | ||||||
321,000 | Dollar Tree Stores, Inc.* | 8,320,320 | ||||||
66,205 | Family Dollar Stores, Inc. (8) | 1,273,122 | ||||||
191,300 | JC Penney Company, Inc. | 8,415,288 | ||||||
338,100 | Staples, Inc. | 7,799,967 | ||||||
31,805 | The Bon-Ton Stores, Inc. (8) | 301,829 | ||||||
26,760,176 | ||||||||
Retail: Restaurants — 0.3% | ||||||||
56,700 | Brinker International, Inc. | 1,109,052 | ||||||
43,000 | Darden Restaurants, Inc. | 1,191,530 | ||||||
110,900 | Ruby Tuesday, Inc. | 1,081,275 | ||||||
3,381,857 | ||||||||
Retail: Supermarkets — 0.5% | ||||||||
83,500 | SUPERVALU, Inc. | 3,132,920 | ||||||
55,700 | The Kroger Company | 1,487,747 | ||||||
4,620,667 | ||||||||
156
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2007
Shares | Value | |||||||
Common Stocks (continued) | ||||||||
Rubber Products — 0.2% | ||||||||
79,013 | The Goodyear Tire & Rubber Company* | $ | 2,229,747 | |||||
Scientific and Technical Instruments — 0.2% | ||||||||
14,957 | Agilent Technologies, Inc.* | 549,520 | ||||||
40,100 | Cymer, Inc.* | 1,561,093 | ||||||
2,110,613 | ||||||||
Semiconductors — 2.6% | ||||||||
44,500 | Analog Devices, Inc. | 1,410,650 | ||||||
57,342 | Intersil Corp. — Class A | 1,403,732 | ||||||
1,483,637 | LSI Corp.* (8) | 7,878,113 | ||||||
63,407 | Maxim Integrated Products, Inc. | 1,679,017 | ||||||
47,184 | Microchip Technology, Inc. (8) | 1,482,521 | ||||||
197,136 | Micron Technology, Inc.* | 1,429,236 | ||||||
74,700 | MKS Instruments, Inc.* | 1,429,758 | ||||||
82,177 | National Semiconductor Corp. | 1,860,487 | ||||||
55,100 | Novellus Systems, Inc.* | 1,519,107 | ||||||
381,400 | STMicroelectronics NV (the Netherlands) (8) | 5,454,021 | ||||||
25,546,642 | ||||||||
Telecommunications Equipment and Services — 0.9% | ||||||||
107,349 | CenturyTel, Inc. | 4,450,689 | ||||||
7,614 | Embarq Corp. | 377,121 | ||||||
250,850 | Qwest Communications International, Inc.* (8) | 1,758,459 | ||||||
154,476 | Tellabs, Inc.* | 1,010,273 | ||||||
125,575 | Windstream Corp. | 1,634,987 | ||||||
9,231,529 | ||||||||
Tools — 0.2% | ||||||||
41,290 | The Stanley Works | 2,001,739 | ||||||
Toys — 0.6% | ||||||||
84,750 | Hasbro, Inc. | 2,167,905 | ||||||
222,600 | Mattel, Inc. | 4,238,304 | ||||||
6,406,209 | ||||||||
Transportation — 0.9% | ||||||||
31,300 | Arkansas Best Corp. (8) | 686,722 | ||||||
80,441 | CSX Corp. | 3,537,796 | ||||||
22,962 | Kansas City Southern* | 788,285 | ||||||
39,800 | Overseas Shipholding Group, Inc. | 2,962,314 | ||||||
57,500 | YRC Worldwide, Inc.* (8) | 982,675 | ||||||
8,957,792 | ||||||||
Utilities — 9.4% | ||||||||
54,700 | AGL Resources, Inc. | 2,058,908 | ||||||
153,500 | Allegheny Energy, Inc. | 9,764,135 | ||||||
65,300 | Alliant Energy Corp. | 2,657,057 | ||||||
97,462 | American Electric Power Company, Inc. | 4,537,831 | ||||||
446,100 | CMS Energy Corp. | 7,753,218 | ||||||
26,632 | Consolidated Edison, Inc. | 1,300,973 | ||||||
80,937 | DTE Energy Company | 3,557,991 | ||||||
28,160 | Edison International | 1,502,899 | ||||||
27,931 | Mirant Corp.* (8) | 1,088,750 | ||||||
190,074 | NiSource, Inc. | 3,590,498 | ||||||
117,985 | Pinnacle West Capital Corp. | 5,003,744 | ||||||
270,822 | PPL Corp. | 14,107,118 | ||||||
24,800 | Progress Energy, Inc. | 1,201,064 | ||||||
135,900 | Puget Energy, Inc. | 3,727,737 | ||||||
213,949 | Sempra Energy | 13,239,164 | ||||||
116,200 | TECO Energy, Inc. (8) | 1,999,802 | ||||||
86,300 | Westar Energy, Inc. | 2,238,622 | ||||||
168,400 | Wisconsin Energy Corp. | 8,202,764 | ||||||
179,800 | Xcel Energy, Inc. | 4,058,086 | ||||||
91,590,361 | ||||||||
Total Common Stocks (Cost $956,275,889) | 957,236,571 | |||||||
Principal | ||||||||
Convertible Bonds — 0.0% | ||||||||
Telecommunications Equipment and Services | ||||||||
$ | 251,000 | Qwest Communications International, Inc., 3.50%, 11/15/25 (Cost $393,972) | 336,026 | |||||
Short Term US Government Agency Securities—0.6% | ||||||||
Federal Home Loan Bank | ||||||||
6,300,000 | 1.02%, 01/02/08 (Cost $6,299,822) | 6,299,822 | ||||||
Securities Lending Collateral—13.7% | ||||||||
135,672,142 | Securities Lending Collateral Investment (Note 4) (Cost $135,672,142) | 135,672,142 | ||||||
Total Securities (Cost $1,098,641,825) | 1,099,544,561 | |||||||
157
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2007
Principal | Value | |||||||
Repurchase Agreements — 3.1% | ||||||||
$ | 30,287,152 | With State Street Bank and Trust, dated 12/31/07, 3.80%, due 01/02/08, repurchase proceeds at maturity $30,293,546 (Collateralized by various Fannie Mae Adjustable Rate Mortgages, 4.06%-5.36%, due 03/01/33-05/01/33, with a total value of $25,827,606, and various Freddie Mac Adjustable Rate Mortgages, 5.38%-5.61%, due 05/01/36-05/15/36, with a total value of $5,069,734) (Cost $30,287,152) | $ | 30,287,152 | ||||
Total Investments — 114.3% (Cost $1,128,928,977) | 1,129,831,713 | |||||||
Liabilities less other assets — (14.3)% | (141,654,503 | ) | ||||||
Net Assets — 100.0% | $ | 988,177,210 | ||||||
Gross unrealized appreciation | $ | 103,954,825 | ||
Gross unrealized depreciation | (106,104,061 | ) | ||
Net unrealized depreciation | $ | (2,149,236 | ) | |
158
Shares | Value | |||||||
Common Stocks — 99.1% | ||||||||
Aerospace and Defense—2.0% | ||||||||
127,995 | BE Aerospace, Inc.* | $ | 6,770,936 | |||||
Agriculture — 2.6% | ||||||||
92,000 | The Mosaic Company* | 8,679,280 | ||||||
Apparel: Manufacturing and Retail — 3.7% | ||||||||
69,315 | J Crew Group, Inc.* (8) | 3,341,676 | ||||||
70,800 | Phillips-Van Heusen Corp. (8) | 2,609,688 | ||||||
233,000 | The Gap, Inc. | 4,958,240 | ||||||
62,000 | Urban Outfitters, Inc.* | 1,690,120 | ||||||
12,599,724 | ||||||||
Automobiles/Motor Vehicles, Automotive Equipment and Repairs — 1.2% | ||||||||
86,000 | BorgWarner, Inc. | 4,163,260 | ||||||
Banks and Financial Services — 2.3% | ||||||||
35,295 | BlackRock, Inc. (8) | 7,651,956 | ||||||
Broadcast Services/Media — 1.0% | ||||||||
68,000 | Dolby Laboratories, Inc. — Class A* | 3,380,960 | ||||||
Business Services and Supplies — 2.2% | ||||||||
120,440 | FTI Consulting, Inc.* | 7,423,922 | ||||||
Commercial Services — 1.4% | ||||||||
173,980 | Quanta Services, Inc.* (8) | 4,565,235 | ||||||
Computer Equipment, Software and Services — 6.0% | ||||||||
312,355 | Activision, Inc.* | 9,276,943 | ||||||
69,830 | DST Systems, Inc.* | 5,764,467 | ||||||
85,000 | Salesforce.com, Inc.* | 5,328,650 | ||||||
20,370,060 | ||||||||
Construction Services and Supplies — 2.8% | ||||||||
157,250 | Chicago Bridge & Iron Company NV (the Netherlands) | 9,504,190 | ||||||
Consumer Goods and Services — 3.4% | ||||||||
64,000 | Church & Dwight Company, Inc. | 3,460,480 | ||||||
193,708 | Fossil, Inc.* | 8,131,862 | ||||||
11,592,342 | ||||||||
Containers and Packaging — 3.0% | ||||||||
205,225 | Owens-Illinois, Inc.* (8) | 10,158,638 | ||||||
Diversified Operations and Services — 2.8% | ||||||||
132,660 | Textron, Inc. | 9,458,658 | ||||||
Education — 2.9% | ||||||||
98,900 | Apollo Group, Inc. — Class A* | 6,937,835 | ||||||
32,575 | ITT Educational Services, Inc.* | 2,777,670 | ||||||
9,715,505 | ||||||||
Electronics — 1.3% | ||||||||
255,721 | Gentex Corp. | 4,544,162 | ||||||
Energy Services — 5.1% | ||||||||
23,000 | First Solar, Inc.* | 6,144,220 | ||||||
122,095 | McDermott International, Inc. (Panama)* | 7,207,268 | ||||||
29,460 | SunPower Corp. — Class A* (8) | 3,841,289 | ||||||
17,192,777 | ||||||||
Environmental Waste Management and Recycling Services — 2.1% | ||||||||
119,140 | Stericycle, Inc.* (8) | 7,076,916 | ||||||
Food and Beverage — 3.3% | ||||||||
120,815 | Molson Coors Brewing Company — Class B | 6,236,470 | ||||||
84,000 | Wm Wrigley Jr Company | 4,918,200 | ||||||
11,154,670 | ||||||||
Insurance — 1.5% | ||||||||
76,000 | Assurant, Inc. | 5,084,400 | ||||||
Internet Services — 4.8% | ||||||||
101,000 | Akamai Technologies, Inc.* | 3,494,600 | ||||||
50,405 | DealerTrack Holdings, Inc.* | 1,687,055 | ||||||
160,000 | Expedia, Inc.* | 5,059,200 | ||||||
173,985 | Juniper Networks, Inc.* | 5,776,302 | ||||||
16,017,157 | ||||||||
Machinery — 1.7% | ||||||||
88,000 | Joy Global, Inc. | 5,792,160 | ||||||
Manufacturing — 4.2% | ||||||||
36,450 | Precision Castparts Corp. | 5,055,615 | ||||||
87,998 | SPX Corp. | 9,050,594 | ||||||
14,106,209 | ||||||||
Medical Equipment, Supplies, and Services — 9.9% | ||||||||
72,000 | Hologic, Inc.* | 4,942,080 | ||||||
50,000 | IDEXX Laboratories, Inc.* | 2,931,500 | ||||||
22,700 | Intuitive Surgical, Inc.* (8) | 7,366,150 | ||||||
34,000 | Invitrogen Corp.* | 3,175,940 | ||||||
103,000 | Varian Medical Systems, Inc.* | 5,372,480 | ||||||
212,195 | VCA Antech, Inc.* | 9,385,385 | ||||||
33,173,535 | ||||||||
Oil, Coal and Gas — 11.9% | ||||||||
212,400 | Cameron International Corp.* | 10,222,811 | ||||||
29,000 | Diamond Offshore Drilling, Inc. (8) | 4,118,000 | ||||||
143,460 | Quicksilver Resources, Inc.* (8) | 8,548,780 | ||||||
108,635 | Range Resources Corp. | 5,579,494 | ||||||
120,160 | SandRidge Energy, Inc.* (8) | 4,308,938 |
159
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2007
Shares | Value | |||||||
Common Stocks (continued) | ||||||||
Oil, Coal and Gas (continued) | ||||||||
125,190 | Southwestern Energy Company* | $ | 6,975,587 | |||||
39,753,610 | ||||||||
Pharmaceuticals/Research and Development — 4.5% | ||||||||
102,815 | Allergan, Inc. | 6,604,836 | ||||||
62,000 | Express Scripts, Inc.* | 4,526,000 | ||||||
263,000 | Millennium Pharmaceuticals, Inc.* | 3,939,740 | ||||||
15,070,576 | ||||||||
Retail: Restaurants — 2.0% | ||||||||
45,195 | Chipotle Mexican Grill, Inc. — Class A* (8) | 6,646,829 | ||||||
Scientific and Technical Instruments — 4.3% | ||||||||
62,980 | Mettler-Toledo International, Inc.* | 7,167,124 | ||||||
129,595 | Thermo Fisher Scientific, Inc.* | 7,475,040 | ||||||
14,642,164 | ||||||||
Semiconductors — 0.9% | ||||||||
94,000 | NVIDIA Corp.* | 3,197,880 | ||||||
Telecommunications Equipment and Services — 4.3% | ||||||||
184,501 | American Tower Corp. — Class A* | 7,859,742 | ||||||
92,760 | Ciena Corp.* (8) | 3,164,044 | ||||||
85,190 | Crown Castle International Corp.* | 3,543,904 | ||||||
14,567,690 | ||||||||
Total Common Stocks (Cost $266,446,441) | 334,055,401 | |||||||
Principal | ||||||||
Securities Lending Collateral — 13.7% | ||||||||
$ | 46,035,620 | Securities Lending Collateral Investment (Note 4) (Cost $46,035,620) | 46,035,620 | |||||
Total Securities (Cost $312,482,061) | 380,091,021 | |||||||
Repurchase Agreements—1.1% | ||||||||
3,822,912 | With State Street Bank and Trust, dated 12/31/07, 3.80%, due 01/02/08, repurchase proceeds at maturity $3,823,719 (Collateralized by various Fannie Mae Adjustable Rate Mortgages, 4.32% - 4.35%, due 02/01/34, with a total value of $3,223,570 and Freddie Mac Adjustable Rate Mortgage, 4.09%, due 04/01/35, with a value of $677,710) (Cost $3,822,912) | 3,822,912 | ||||||
Total Investments — 113.9% (Cost $316,304,973) | 383,913,933 | |||||||
Liabilities less other assets — (13.9)% | (46,725,029 | ) | ||||||
Net Assets — 100.0% | $ | 337,188,904 | ||||||
Gross unrealized appreciation | $ | 72,725,165 | ||
Gross unrealized depreciation | (5,149,904 | ) | ||
Net unrealized appreciation | $ | 67,575,261 | ||
160
Shares | Value | |||||||
Common Stocks — 98.0% | ||||||||
Advertising — 1.2% | ||||||||
73,511 | Getty Images, Inc.* | $ | 2,131,819 | |||||
Agriculture — 0.1% | ||||||||
5,500 | The Andersons, Inc. (8) | 246,400 | ||||||
Airlines — 0.3% | ||||||||
20,787 | Alaska Air Group, Inc.* (8) | 519,883 | ||||||
Apparel: Manufacturing and Retail — 2.5% | ||||||||
32,975 | Brown Shoe Company, Inc. | 500,231 | ||||||
20,600 | Hot Topic, Inc.* | 119,892 | ||||||
85,496 | Jos A Bank Clothiers, Inc.* (8) | 2,432,361 | ||||||
80,123 | K-Swiss, Inc. — Class A | 1,450,226 | ||||||
5,900 | The Warnaco Group, Inc.* | 205,320 | ||||||
4,708,030 | ||||||||
Automobile: Rental — 0.2% | ||||||||
12,981 | Dollar Thrifty Automotive Group, Inc.* | 307,390 | ||||||
Automobile: Retail — 0.2% | ||||||||
27,963 | Asbury Automotive Group, Inc. | 420,843 | ||||||
Automobiles/Motor Vehicles, Automotive Equipment and Repairs — 4.0% | ||||||||
20,000 | American Axle & Manufacturing Holdings, Inc. | 372,400 | ||||||
50,732 | BorgWarner, Inc. | 2,455,936 | ||||||
16,100 | Lear Corp.* | 445,326 | ||||||
37,489 | Monaco Coach Corp. | 332,902 | ||||||
52,245 | Oshkosh Truck Corp. | 2,469,099 | ||||||
179,479 | Spartan Motors, Inc. (8) | 1,371,220 | ||||||
7,446,883 | ||||||||
Banks and Financial Services — 12.4% | ||||||||
36,100 | Advanta Corp. — Class B | 291,327 | ||||||
157,553 | Brookline Bancorp, Inc. (8) | 1,600,738 | ||||||
82,303 | Calamos Asset Management, Inc. — Class A | 2,450,984 | ||||||
17,161 | Cash America International, Inc. | 554,300 | ||||||
31,600 | Central Pacific Financial Corp. | 583,336 | ||||||
113,572 | Citizens Banking Corp. — Michigan (8) | 1,647,930 | ||||||
8,572 | City Bank (8) | 192,184 | ||||||
7,000 | CoBiz Financial, Inc. | 104,090 | ||||||
109,882 | Corus Bankshares, Inc. (8) | 1,172,441 | ||||||
202,396 | First Commonwealth Financial Corp. (8) | 2,155,517 | ||||||
15,400 | First Niagara Financial Group, Inc. | 185,416 | ||||||
9,800 | First State Bancorp | 136,220 | ||||||
7,500 | FirstMerit Corp. | 150,075 | ||||||
31,011 | Frontier Financial Corp. (8) | 575,874 | ||||||
36,798 | Integra Bank Corp. | 519,220 | ||||||
44,936 | Midwest Banc Holdings, Inc. | 558,105 | ||||||
9,625 | National Financial Partners Corp. (8) | 438,996 | ||||||
31,200 | National Penn Bancshares, Inc. (8) | 472,368 | ||||||
20,600 | Nelnet, Inc. — Class A | 261,826 | ||||||
39,870 | Sandy Spring Bancorp, Inc. | 1,109,183 | ||||||
17,200 | Sterling Financial Corp. — Spokane | 288,788 | ||||||
155,771 | SWS Group, Inc. | 1,973,619 | ||||||
9,600 | The South Financial Group, Inc. | 150,048 | ||||||
19,082 | UMB Financial Corp. | 731,986 | ||||||
15,400 | Waddell & Reed Financial, Inc. — Class A | 555,786 | ||||||
92,025 | Washington Federal, Inc. | 1,942,648 | ||||||
19,912 | West Coast Bancorp | 368,372 | ||||||
68,539 | Whitney Holding Corp. | 1,792,295 | ||||||
22,963,672 | ||||||||
Broadcast Services/Media — 1.2% | ||||||||
159,583 | Journal Communications, Inc. — Class A | 1,426,672 | ||||||
43,000 | Lin TV Corp. — Class A* | 523,310 | ||||||
37,200 | Sinclair Broadcast Group, Inc. — Class A (8) | 305,412 | ||||||
2,255,394 | ||||||||
Business Services and Supplies — 0.6% | ||||||||
15,600 | Deluxe Corp. | 513,085 | ||||||
6,886 | Heidrick & Struggles International, Inc. | 255,539 | ||||||
59,019 | Spherion Corp.* | 429,658 | ||||||
1,198,282 | ||||||||
Chemicals — 1.2% | ||||||||
17,857 | Arch Chemicals, Inc. | 656,245 | ||||||
6,800 | Ferro Corp. | 140,964 | ||||||
28,653 | HB Fuller Company | 643,260 | ||||||
10,194 | Innospec, Inc. | 174,929 | ||||||
3,600 | Minerals Technologies, Inc. | 241,020 | ||||||
21,562 | Spartech Corp. | 304,024 | ||||||
7,990 | Zep, Inc.* | 110,821 | ||||||
2,271,263 | ||||||||
Commercial Services — 0.1% | ||||||||
10,200 | TNS, Inc. (8) | 181,050 | ||||||
Computer Equipment, Software and Services — 5.1% | ||||||||
29,900 | Agilysys, Inc. | 452,088 | ||||||
10,700 | Avid Technology, Inc.* (8) | 303,238 | ||||||
4,113 | Black Box Corp. | 148,767 | ||||||
15,574 | CACI International, Inc. — Class A* | 697,248 | ||||||
177,214 | Digi International, Inc.* | 2,514,667 | ||||||
128,000 | Extreme Networks, Inc.* | 453,120 | ||||||
20,909 | Manhattan Associates, Inc.* | 551,161 | ||||||
68,255 | MTS Systems Corp. | 2,912,441 | ||||||
12,000 | Schawk, Inc. | 186,240 | ||||||
12,028 | SRA International, Inc. — Class A* | 354,225 | ||||||
32,193 | Sybase, Inc.* | 839,915 | ||||||
9,413,110 | ||||||||
161
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2007
Shares | Value | |||||||
Common Stocks (continued) | ||||||||
Construction Services and Supplies — 2.3% | ||||||||
11,700 | Comfort System USA, Inc. | $ | 149,526 | |||||
46,572 | Granite Construction, Inc. | 1,684,975 | ||||||
18,300 | NCI Building Systems, Inc.* (8) | 526,857 | ||||||
7,600 | Perini Corp.* | 314,792 | ||||||
53,242 | Universal Forest Products, Inc. (8) | 1,568,509 | ||||||
4,244,659 | ||||||||
Consumer Goods and Services — 2.1% | ||||||||
7,100 | Chattem, Inc.* (8) | 536,334 | ||||||
4,600 | CSS Industries, Inc. | 168,820 | ||||||
133,786 | Helen of Troy, Ltd. (Bermuda)* | 2,293,092 | ||||||
2,800 | Inter Parfums, Inc. | 50,316 | ||||||
19,300 | Libbey, Inc. (8) | 305,712 | ||||||
22,025 | Regis Corp. | 615,819 | ||||||
3,970,093 | ||||||||
Containers and Packaging — 0.4% | ||||||||
13,711 | Silgan Holdings, Inc. | 712,149 | ||||||
Diversified Operations and Services — 1.7% | ||||||||
10,917 | Chemed Corp. | 610,042 | ||||||
62,406 | ESCO Technologies, Inc.* (8) | 2,492,496 | ||||||
3,102,538 | ||||||||
Electronics — 1.0% | ||||||||
17,069 | CTS Corp. | 169,495 | ||||||
36,672 | Methode Electronics, Inc. | 602,888 | ||||||
17,251 | Plexus Corp.* | 453,011 | ||||||
23,316 | Technitrol, Inc. | 666,371 | ||||||
1,891,765 | ||||||||
Engineering — 0.4% | ||||||||
28,700 | EMCOR Group, Inc.* | 678,181 | ||||||
Environmental Waste Management and Recycling Services — 0.1% | ||||||||
11,300 | Casella Waste Systems, Inc.* | 147,352 | ||||||
Equipment Rental and Leasing — 0.2% | ||||||||
20,156 | Rent-A-Center, Inc.* | 292,665 | ||||||
Food and Beverage — 0.7% | ||||||||
12,000 | Performance Food Group Company* | 322,440 | ||||||
10,389 | Ralcorp Holdings, Inc.* | 631,547 | ||||||
7,300 | The Boston Beer Company, Inc. — Class A* | 274,845 | ||||||
1,228,832 | ||||||||
Funeral Services — 1.7% | ||||||||
227,182 | Service Corp. International | 3,191,907 | ||||||
Insurance — 6.1% | ||||||||
48,100 | American Equity Investment Life Holding Company (8) | 398,749 | ||||||
14,814 | American Physicians Capital, Inc. | 614,188 | ||||||
24,737 | Aspen Insurance Holdings, Ltd. (Bermuda) | 713,415 | ||||||
3,300 | Assured Guaranty, Ltd. (Bermuda) | 87,582 | ||||||
27,231 | CNA Surety Corp.* | 538,901 | ||||||
20,431 | Delphi Financial Group, Inc. — Class A | 720,807 | ||||||
16,959 | FBL Financial Group, Inc. — Class A | 585,594 | ||||||
20,809 | Max Capital Group, Ltd. (Bermuda) | 582,444 | ||||||
50,779 | Meadowbrook Insurance Group, Inc.* | 477,830 | ||||||
34,211 | Montpelier Re Holdings, Ltd. (Bermuda) (8) | 581,929 | ||||||
13,500 | Odyssey Re Holdings Corp. | 495,585 | ||||||
18,337 | Platinum Underwriters Holdings, Ltd. (Bermuda) | 652,064 | ||||||
3,490 | RLI Corp. | 198,197 | ||||||
70,140 | The Commerce Group, Inc. | 2,523,638 | ||||||
29,566 | The Phoenix Companies, Inc. | 350,948 | ||||||
16,747 | United America Indemnity, Ltd. — Class A (Cayman Islands)* | 333,600 | ||||||
21,500 | United Fire & Casualty Company | 625,435 | ||||||
18,939 | Zenith National Insurance Corp. | 847,142 | ||||||
11,328,048 | ||||||||
Internet Services — 0.5% | ||||||||
77,679 | S1 Corp.* | 567,057 | ||||||
19,645 | Vignette Corp.* | 287,013 | ||||||
854,070 | ||||||||
Leisure and Recreation — 0.9% | ||||||||
102,807 | The Marcus Corp. | 1,588,368 | ||||||
Machinery — 2.3% | ||||||||
108,685 | Applied Industrial Technologies, Inc. | 3,154,038 | ||||||
4,500 | Regal-Beloit Corp. | 202,275 | ||||||
2,600 | Robbins & Myers, Inc. | 196,638 | ||||||
22,692 | Sauer-Danfoss, Inc. | 568,435 | ||||||
6,200 | Tecumseh Products Company — Class A* | 145,142 | ||||||
4,266,528 | ||||||||
Manufacturing — 4.4% | ||||||||
15,980 | Acuity Brands, Inc. | 719,100 | ||||||
19,068 | AO Smith Corp. | 668,333 | ||||||
12,700 | Blount International, Inc.* | 156,337 | ||||||
51,049 | CIRCOR International, Inc. | 2,366,632 | ||||||
16,100 | Encore Wire Corp. | 256,312 | ||||||
11,727 | EnPro Industries, Inc.* | 359,433 | ||||||
33,871 | Gibraltar Industries, Inc. | 522,291 | ||||||
35,621 | GrafTech International, Ltd.* | 632,273 | ||||||
83,249 | Watts Water Technologies, Inc. (8) | 2,480,819 | ||||||
8,161,530 | ||||||||
162
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2007
Shares | Value | |||||||
Common Stocks (continued) | ||||||||
Medical Equipment, Supplies, and Services — 4.9% | ||||||||
11,400 | Amedisys, Inc.* (8) | $ | 553,128 | |||||
18,423 | AMERIGROUP Corp.* | 671,518 | ||||||
16,900 | Cross Country Healthcare, Inc.* | 240,656 | ||||||
12,600 | Invacare Corp. | 317,520 | ||||||
2,800 | Inverness Medical Innovations, Inc.* (8) | 157,304 | ||||||
11,858 | Landauer, Inc. | 614,837 | ||||||
56,857 | Magellan Health Services, Inc.* | 2,651,243 | ||||||
7,408 | MedCath Corp.* | 181,940 | ||||||
58,764 | Owens & Minor, Inc. | 2,493,357 | ||||||
93,501 | Syneron Medical, Ltd. (Israel)* (8) | 1,250,108 | ||||||
9,131,611 | ||||||||
Metals and Mining — 0.2% | ||||||||
1,900 | AMCOL International Corp. | 68,457 | ||||||
8,200 | Mueller Industries, Inc. | 237,718 | ||||||
306,175 | ||||||||
Office Equipment, Supplies, and Services — 0.2% | ||||||||
26,700 | IKON Office Solutions, Inc. | 347,634 | ||||||
Oil, Coal and Gas — 8.9% | ||||||||
22,200 | Allis-Chalmers Energy, Inc.* (8) | 327,450 | ||||||
6,225 | Dawson Geophysical Company* | 444,839 | ||||||
4,900 | Exterran Holdings, Inc.* | 400,820 | ||||||
61,760 | Frontier Oil Corp. | 2,506,221 | ||||||
41,600 | Grey Wolf, Inc.* | 221,728 | ||||||
17,735 | Gulf Island Fabrication, Inc. | 562,377 | ||||||
18,411 | Headwaters, Inc.* (8) | 216,145 | ||||||
41,269 | Holly Corp. | 2,100,179 | ||||||
61,056 | National Fuel Gas Company | 2,850,094 | ||||||
37,300 | Newpark Resources, Inc.* | 203,285 | ||||||
19,190 | Oil States International, Inc.* (8) | 654,763 | ||||||
29,680 | Parker Drilling Company* | 224,084 | ||||||
63,653 | Penn Virginia Corp. | 2,777,180 | ||||||
9,000 | Swift Energy Company* | 396,990 | ||||||
7,000 | T-3 Energy Services, Inc.* | 329,070 | ||||||
79,043 | World Fuel Services Corp. | 2,294,618 | ||||||
16,509,843 | ||||||||
Paper and Forest Products — 0.4% | ||||||||
34,163 | Buckeye Technologies, Inc.* | 427,037 | ||||||
14,282 | Rock-Tenn Company — Class A | 362,906 | ||||||
789,943 | ||||||||
Pharmaceuticals/Research and Development — 5.2% | ||||||||
92,074 | Exponent, Inc.* | 2,489,681 | ||||||
162,208 | Mannatech, Inc. (8) | 1,025,155 | ||||||
22,700 | Martek Biosciences Corp.* (8) | 671,466 | ||||||
80,087 | Perrigo Company | 2,803,845 | ||||||
60,474 | West Pharmaceutical Services, Inc. | 2,454,640 | ||||||
44,400 | XOMA, Ltd. (Bermuda)* | 150,516 | ||||||
9,595,303 | ||||||||
Printing and Publishing — 0.2% | ||||||||
16,800 | Bowne & Company, Inc. | 295,680 | ||||||
Real Estate Investment Trusts — 8.5% | ||||||||
58,298 | Ashford Hospitality Trust | 419,163 | ||||||
50,600 | CapLease, Inc. (8) | 426,052 | ||||||
12,400 | Cedar Shopping Centers, Inc. | 126,852 | ||||||
11,524 | Entertainment Properties Trust | 541,628 | ||||||
7,200 | Extra Space Storage, Inc. | 102,888 | ||||||
12,522 | First Industrial Realty Trust, Inc. (8) | 433,261 | ||||||
19,800 | First Potomac Realty Trust | 342,342 | ||||||
68,966 | Getty Realty Corp. | 1,840,013 | ||||||
85,303 | Healthcare Realty Trust, Inc. (8) | 2,165,843 | ||||||
48,303 | Hersha Hospitality Trust | 458,879 | ||||||
60,366 | Investors Real Estate Trust (8) | 541,483 | ||||||
14,947 | LaSalle Hotel Properties (8) | 476,809 | ||||||
9,800 | Lexington Realty Trust | 142,492 | ||||||
9,400 | MFA Mortgage Investments, Inc. (8) | 86,950 | ||||||
90,239 | National Retail Properties, Inc. (8) | 2,109,788 | ||||||
22,000 | Pennsylvania Real Estate Investment Trust | 652,960 | ||||||
23,100 | Ramco-Gershenson Properties Trust | 493,647 | ||||||
48,835 | Rayonier, Inc. (8) | 2,306,965 | ||||||
5,844 | Realty Income Corp. (8) | 157,905 | ||||||
37,196 | Sovran Self Storage, Inc. | 1,491,560 | ||||||
27,873 | Sunstone Hotel Investors, Inc. (8) | 509,797 | ||||||
15,827,277 | ||||||||
Retail — 3.8% | ||||||||
155,500 | Blockbuster, Inc. — Class A* (8) | 606,450 | ||||||
23,100 | Borders Group, Inc. | 246,015 | ||||||
24,539 | Casey’s General Stores, Inc. | 726,600 | ||||||
167,712 | EZCORP, Inc. — Class A* | 1,893,468 | ||||||
19,100 | Gaiam, Inc.* (8) | 566,888 | ||||||
10,938 | Jo-Ann Stores, Inc.* | 143,069 | ||||||
98,897 | The Pantry, Inc.* (8) | 2,584,179 | ||||||
37,900 | West Marine, Inc.* | 340,342 | ||||||
7,107,011 | ||||||||
Retail: Restaurants — 0.6% | ||||||||
15,123 | AFC Enterprises, Inc.* | 171,192 | ||||||
7,200 | IHOP Corp. | 263,376 | ||||||
15,086 | Jack in the Box, Inc.* | 388,767 | ||||||
16,100 | Landry’s Restaurants, Inc. (8) | 317,170 | ||||||
1,140,505 | ||||||||
163
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2007
Shares | Value | |||||||
Common Stocks (continued) | ||||||||
Retail: Supermarkets — 1.3% | ||||||||
8,600 | Spartan Stores, Inc. | $ | 196,510 | |||||
55,289 | Weis Markets, Inc. | 2,208,243 | ||||||
2,404,753 | ||||||||
Rubber Products — 0.0% | ||||||||
3,100 | Cooper Tire & Rubber Company | 51,398 | ||||||
Scientific and Technical Instruments — 0.3% | ||||||||
7,162 | Varian, Inc.* | 467,679 | ||||||
Semiconductors — 1.4% | ||||||||
191,855 | Conexant Systems, Inc.* | 159,240 | ||||||
126,628 | OmniVision Technologies, Inc.* (8) | 1,981,728 | ||||||
55,596 | PMC-Sierra, Inc.* | 363,598 | ||||||
2,504,566 | ||||||||
Telecommunications Equipment and Services — 1.8% | ||||||||
38,223 | Alaska Communications Systems Group, Inc. | 573,345 | ||||||
2,010 | Anixter International, Inc.* | 125,163 | ||||||
73,000 | Cincinnati Bell, Inc.* | 346,750 | ||||||
13,050 | General Communication, Inc. — Class A* | 114,188 | ||||||
19,300 | Knology, Inc.* | 246,654 | ||||||
33,700 | Powerwave Technologies, Inc.* (8) | 135,811 | ||||||
45,060 | Premiere Global Services, Inc.* | 669,140 | ||||||
37,600 | RF Micro Devices, Inc.* (8) | 214,696 | ||||||
7,100 | Shenandoah Telecommunications Company | 170,258 | ||||||
13,131 | Superior Essex, Inc.* | 315,144 | ||||||
12,000 | SureWest Communications | 205,200 | ||||||
10,900 | Time Warner Telecom, Inc. — Class A* | 221,161 | ||||||
3,337,510 | ||||||||
Transportation — 2.4% | ||||||||
84,101 | Arkansas Best Corp. (8) | 1,845,176 | ||||||
11,955 | Pacer International, Inc. | 174,543 | ||||||
44,252 | Tidewater, Inc. | 2,427,665 | ||||||
4,447,384 | ||||||||
Utilities — 4.0% | ||||||||
59,522 | American States Water Company | 2,242,789 | ||||||
27,471 | El Paso Electric Company* | 702,433 | ||||||
13,559 | Nicor, Inc. (8) | 574,224 | ||||||
12,300 | PNM Resources, Inc. | 263,835 | ||||||
7,900 | The Empire District Electric Company | 179,962 | ||||||
68,289 | UIL Holdings Corp. | 2,523,278 | ||||||
19,091 | Unisource Energy Corp. | 602,321 | ||||||
10,674 | Westar Energy, Inc. | 276,884 | ||||||
7,365,726 | ||||||||
Total Common Stocks (Cost $199,794,760) | 181,352,702 | |||||||
Principal | ||||||||
Securities Lending Collateral — 22.6% | ||||||||
$ | 41,860,487 | Securities Lending Collateral Investment (Note 4) (Cost $41,860,487) | 41,860,487 | |||||
Total Securities (Cost $241,655,247) | 223,213,189 | |||||||
Repurchase Agreements — 1.9% | ||||||||
3,558,021 | With State Street Bank and Trust, dated 12/31/07, 3.80%, due 01/02/08, repurchase proceeds at maturity $3,558,772 (Collateralized by various Freddie Mac Adjustable Rate Mortgages, 4.09%-5.52%, due 04/01/35-04/01/36, with a total value of $3,630,678) (Cost $3,558,021) | 3,558,021 | ||||||
Total Investments — 122.5% (Cost $245,213,268) | 226,771,210 | |||||||
Liabilities less other assets — (22.5)% | (41,634,605 | ) | ||||||
Net Assets — 100.0% | $ | 185,136,605 | ||||||
Gross unrealized appreciation | $ | 11,389,647 | ||
Gross unrealized depreciation | (30,420,915 | ) | ||
Net unrealized depreciation | $ | (19,031,268 | ) | |
164
Shares | Value | |||||||
Common Stocks — 97.0% | ||||||||
Aerospace and Defense — 1.2% | ||||||||
78,820 | Aerovironment, Inc.* (8) | $ | 1,907,444 | |||||
61,090 | BE Aerospace, Inc.* | 3,231,661 | ||||||
50,970 | HEICO Corp. (8) | 2,776,846 | ||||||
125,870 | Orbital Sciences Corp.* | 3,086,332 | ||||||
11,002,283 | ||||||||
Agriculture — 0.7% | ||||||||
59,000 | CF Industries Holdings, Inc. | 6,493,540 | ||||||
Airlines — 0.9% | ||||||||
329,920 | AirTran Holdings, Inc.* | 2,362,227 | ||||||
5,100 | Alaska Air Group, Inc.* | 127,551 | ||||||
102,880 | Allegiant Travel Company* | 3,306,563 | ||||||
8,000 | Continental Airlines, Inc. — Class B* | 178,000 | ||||||
147,000 | Pinnacle Airlines Corp.* (8) | 2,241,750 | ||||||
8,216,091 | ||||||||
Apparel: Manufacturing and Retail — 3.8% | ||||||||
93,600 | Aeropostale, Inc.* | 2,480,400 | ||||||
1,500 | Cherokee, Inc. | 48,405 | ||||||
4,850 | Columbia Sportswear Company (8) | 213,837 | ||||||
151,900 | Crocs, Inc.* (8) | 5,591,439 | ||||||
6,350 | Deckers Outdoor Corp.* | 984,631 | ||||||
20,000 | Guess?, Inc. | 757,800 | ||||||
98,930 | Iconix Brand Group, Inc.* | 1,944,964 | ||||||
21,700 | J Crew Group, Inc.* | 1,046,157 | ||||||
52,423 | Jos A Bank Clothiers, Inc.* (8) | 1,491,434 | ||||||
23,100 | Lululemon Athletica, Inc. (Canada)* (8) | 1,094,247 | ||||||
36,500 | Phillips-Van Heusen Corp. | 1,345,390 | ||||||
467,250 | Quiksilver, Inc.* | 4,009,005 | ||||||
403,858 | Stage Stores, Inc. | 5,977,098 | ||||||
288,841 | The Cato Corp. — Class A | 4,523,250 | ||||||
6,600 | The Warnaco Group, Inc.* | 229,680 | ||||||
52,200 | Urban Outfitters, Inc.* | 1,422,972 | ||||||
62,940 | Volcom, Inc.* (8) | 1,386,568 | ||||||
62,600 | Wolverine World Wide, Inc. | 1,534,952 | ||||||
36,082,229 | ||||||||
Automobiles/Motor Vehicles, Automotive Equipment and Repairs — 1.3% | ||||||||
84,600 | Aftermarket Technology Corp.* | 2,306,196 | ||||||
88,270 | Amerigon, Inc.* | 1,866,028 | ||||||
22,100 | Hayes Lemmerz International, Inc.* | 100,997 | ||||||
54,600 | Lear Corp.* | 1,510,236 | ||||||
162,195 | Modine Manufacturing Company | 2,677,839 | ||||||
144,700 | Monaco Coach Corp. | 1,284,936 | ||||||
11,600 | Oshkosh Truck Corp. | 548,216 | ||||||
35,700 | Polaris Industries, Inc. (8) | 1,705,389 | ||||||
53,300 | Standard Motor Products, Inc. | 434,928 | ||||||
24,700 | Wabash National Corp. | 189,943 | ||||||
12,624,708 | ||||||||
Banks and Financial Services — 9.5% | ||||||||
24,700 | 1st Source Corp. | 427,557 | ||||||
46,880 | Affiliated Managers Group, Inc.* (8) | 5,506,524 | ||||||
4,500 | AMCORE Financial, Inc. | 102,150 | ||||||
20,100 | Ameris Bancorp | 338,685 | ||||||
3,296 | Arrow Financial Corp. | 70,831 | ||||||
230,210 | Asset Acceptance Capital Corp. (8) | 2,396,486 | ||||||
118,547 | ASTA Funding, Inc. (8) | 3,134,383 | ||||||
19,800 | BancFirst Corp. | 848,430 | ||||||
14,900 | Banco Latinoamericano de Exportaciones, SA, Class E (Panama) | 243,019 | ||||||
11,400 | Bank of Granite Corp. | 120,498 | ||||||
5,100 | BankFinancial Corp. | 80,682 | ||||||
8,800 | Camden National Corp. | 249,920 | ||||||
3,421 | Capital Corp of the West | 66,470 | ||||||
2,700 | Capital Southwest Corp. (8) | 319,680 | ||||||
109,522 | Cardtronics, Inc.* (8) | 1,107,267 | ||||||
11,100 | Centennial Bank Holdings, Inc.* | 64,158 | ||||||
8,800 | Center Financial Corp. | 108,416 | ||||||
88,700 | Central Pacific Financial Corp. | 1,637,402 | ||||||
3,000 | Chemical Financial Corp. | 71,370 | ||||||
31,916 | City Bank (8) | 715,557 | ||||||
22,500 | City Holding Company | 761,400 | ||||||
5,200 | City National Corp. | 309,660 | ||||||
11,500 | Columbia Banking System, Inc. | 341,895 | ||||||
2,616 | Community Bancorp* (8) | 45,440 | ||||||
85,300 | Community Bank System, Inc. | 1,694,911 | ||||||
23,600 | Community Trust Bancorp, Inc. | 649,708 | ||||||
90,500 | Corus Bankshares, Inc. (8) | 965,635 | ||||||
95,232 | Credit Acceptance Corp.* (8) | 1,968,445 | ||||||
56,700 | Dime Community Bancshares | 724,059 | ||||||
23,200 | East West Bancorp, Inc. | 562,136 | ||||||
41,300 | Federated Investors, Inc. — Class B | 1,699,908 | ||||||
113,182 | Financial Federal Corp. (8) | 2,522,827 | ||||||
5,400 | Financial Institutions, Inc. | 96,228 | ||||||
17,000 | First BanCorp — Puerto Rico | 123,930 | ||||||
5,750 | First Citizens Bancshares, Inc. — Class A | 838,638 |
165
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2007
Shares | Value | |||||||
Common Stocks (continued) | ||||||||
Banks and Financial Services (continued) | ||||||||
37,000 | First Commonwealth Financial Corp. (8) | $ | 394,050 | |||||
4,127 | First Community Bancshares, Inc. | 131,610 | ||||||
97,100 | First Financial Bancorp (8) | 1,106,940 | ||||||
31,500 | First Financial Bankshares, Inc. (8) | 1,185,975 | ||||||
7,954 | First Financial Corp. (8) | 225,416 | ||||||
13,400 | First Financial Holdings, Inc. | 367,428 | ||||||
3,200 | First Merchants Corp. | 69,888 | ||||||
53,195 | First Midwest Bancorp, Inc. (8) | 1,627,767 | ||||||
65,700 | First Niagara Financial Group, Inc. | 791,028 | ||||||
8,354 | First Place Financial Corp. | 116,872 | ||||||
2,213 | First Regional Bancorp* | 41,804 | ||||||
96,200 | Fortress Investment Group LLC — Class A (8) | 1,498,796 | ||||||
78,600 | Frontier Financial Corp. (8) | 1,459,602 | ||||||
38,600 | GAMCO Investors, Inc. — Class A | 2,673,050 | ||||||
6,100 | GFI Group, Inc.* | 583,892 | ||||||
13,200 | Glacier Bancorp, Inc. (8) | 247,368 | ||||||
11,400 | Great Southern Bancorp, Inc. (8) | 250,344 | ||||||
2,300 | Green Bankshares, Inc. (8) | 44,160 | ||||||
69,500 | Greenhill & Company, Inc. (8) | 4,620,360 | ||||||
39,900 | Hancock Holding Company | 1,524,180 | ||||||
5,432 | Hercules Technology Growth Capital, Inc. (8) | 67,465 | ||||||
4,900 | Heritage Commerce Corp. | 90,111 | ||||||
20,500 | Home Bancshares, Inc. (8) | 429,885 | ||||||
24,900 | Horizon Financial Corp. | 434,256 | ||||||
8,600 | Imperial Capital Bancorp, Inc. | 157,380 | ||||||
27,900 | Independent Bank Corp. — Massachusetts | 759,438 | ||||||
13,000 | Independent Bank Corp. — Michigan | 123,500 | ||||||
22,700 | Integra Bank Corp. | 320,297 | ||||||
130,206 | International Bancshares Corp. | 2,726,514 | ||||||
46,020 | Investment Technology Group, Inc.* | 2,190,092 | ||||||
102,700 | Jefferies Group, Inc. | 2,367,235 | ||||||
21,525 | Lakeland Bancorp, Inc. | 249,475 | ||||||
12,900 | Lakeland Financial Corp. | 269,610 | ||||||
65,960 | MarketAxess Holdings, Inc.* | 846,267 | ||||||
78,331 | MB Financial, Inc. (8) | 2,414,945 | ||||||
7,200 | Morningstar, Inc.* | 559,800 | ||||||
4,630 | Nara Bancorp, Inc. | 54,032 | ||||||
24,400 | Nasdaq Stock Market, Inc.* | 1,207,556 | ||||||
4,700 | NBT Bancorp, Inc. | 107,254 | ||||||
198,519 | NewAlliance Bancshares, Inc. (8) | 2,286,939 | ||||||
75,100 | Och-Ziff Capital Management Group — Class A* (8) | 1,973,628 | ||||||
62,000 | Ocwen Financial Corp.* | 343,480 | ||||||
11,200 | Old National Bancorp | 167,552 | ||||||
4,127 | Omega Financial Corp. | 120,756 | ||||||
50,870 | optionsXpress Holdings, Inc. | 1,720,423 | ||||||
26,600 | Oritani Financial Corp.* (8) | 327,180 | ||||||
3,000 | Park National Corp. (8) | 193,500 | ||||||
21,700 | Patriot Capital Funding, Inc. | 218,953 | ||||||
6,542 | People’s Bancorp, Inc. | 162,830 | ||||||
38,700 | Piper Jaffray Companies, Inc.* | 1,792,584 | ||||||
13,700 | Preferred Bank — Los Angeles, California | 356,474 | ||||||
7,000 | Provident Bankshares Corp. | 149,730 | ||||||
21,400 | Renasant Corp. | 461,598 | ||||||
3,300 | Royal Bancshares of Pennsylvania, Inc. — Class A | 36,300 | ||||||
31,900 | S&T Bancorp, Inc. (8) | 881,716 | ||||||
5,400 | Sandy Spring Bancorp, Inc. | 150,228 | ||||||
6,700 | Santander BanCorp — Puerto Rico (8) | 58,022 | ||||||
10,210 | SCBT Financial Corp. | 323,351 | ||||||
12,400 | Simmons First National Corp. — Class A | 328,600 | ||||||
10,500 | Sterling Bancshares, Inc. — Texas | 117,180 | ||||||
11,400 | Sterling Financial Corp. — Spokane | 191,406 | ||||||
18,700 | Suffolk Bancorp (8) | 574,277 | ||||||
7,500 | Sun Bancorp, Inc. — New Jersey* | 118,350 | ||||||
10,600 | SWS Group, Inc. | 134,302 | ||||||
13,500 | SY Bancorp, Inc. (8) | 323,190 | ||||||
8,732 | Taylor Capital Group, Inc. | 178,133 | ||||||
140,800 | The Blackstone Group, LP (8) | 3,115,904 | ||||||
32,200 | Thomas Weisel Partners Group, Inc.* (8) | 442,106 | ||||||
11,541 | TrustCo Bank Corp. NY (8) | 114,487 | ||||||
80,400 | Trustmark Corp. (8) | 2,038,944 | ||||||
1,500 | UMB Financial Corp. | 57,540 | ||||||
15,900 | Union Bankshares Corp. | 336,126 | ||||||
44,800 | United Bankshares, Inc. (8) | 1,255,296 | ||||||
5,032 | United Community Banks, Inc. — Georgia (8) | 79,506 | ||||||
3,600 | Univest Corp. of Pennsylvania (8) | 75,996 | ||||||
9,400 | Waddell & Reed Financial, Inc. — Class A | 339,246 |
166
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2007
Shares | Value | |||||||
Common Stocks (continued) | ||||||||
Banks and Financial Services (continued) | ||||||||
8,100 | Washington Federal, Inc. | $ | 170,991 | |||||
15,500 | Washington Trust Bancorp, Inc. | 391,065 | ||||||
3,800 | Webster Financial Corp. | 121,486 | ||||||
14,100 | WesBanco, Inc. | 290,460 | ||||||
5,838 | West Bancorp | 76,128 | ||||||
14,900 | West Coast Bancorp | 275,650 | ||||||
52,226 | Westamerica Bancorp (8) | 2,326,668 | ||||||
18,400 | WSFS Financial Corp. | 923,680 | ||||||
91,371,908 | ||||||||
Broadcast Services/Media — 0.8% | ||||||||
58,800 | China Digital TV Holding Company, Ltd. (ADR) (China)* (8) | 1,586,424 | ||||||
130,330 | DG Fastchannel, Inc.* | 3,341,661 | ||||||
126,600 | Emmis Communications Corp. — Class A* (8) | 487,410 | ||||||
19,500 | Entercom Communications Corp. | 266,955 | ||||||
120,600 | Martha Stewart Living Omnimedia, Inc. — Class A* (8) | 1,117,962 | ||||||
59,400 | Sinclair Broadcast Group, Inc. — Class A (8) | 487,674 | ||||||
7,288,086 | ||||||||
Business Services and Supplies — 3.2% | ||||||||
11,900 | Answerthink, Inc.* | 57,596 | ||||||
37,300 | Arbitron, Inc. (8) | 1,550,561 | ||||||
14,700 | CBIZ, Inc.* | 144,207 | ||||||
218,700 | CSG Systems International, Inc.* | 3,219,264 | ||||||
132,100 | Deluxe Corp. | 4,344,769 | ||||||
58,100 | Diamond Management & Technology Consultants, Inc. | 422,387 | ||||||
72,800 | Fair Isaac Corp. | 2,340,520 | ||||||
44,500 | FirstService Corp. (Canada)* | 1,358,585 | ||||||
12,400 | Forrester Research, Inc.* | 347,448 | ||||||
5,100 | Global Payments, Inc. | 237,252 | ||||||
29,500 | Heidrick & Struggles International, Inc. | 1,094,745 | ||||||
148,568 | MAXIMUS, Inc. | 5,736,210 | ||||||
31,080 | Portfolio Recovery Associates, Inc. (8) | 1,232,944 | ||||||
126,800 | Spherion Corp.* | 923,104 | ||||||
151,200 | TrueBlue, Inc.* | 2,189,376 | ||||||
127,025 | UniFirst Corp. | 4,826,950 | ||||||
30,025,918 | ||||||||
Chemicals — 2.5% | ||||||||
6,200 | Calgon Carbon Corp.* (8) | 98,518 | ||||||
66,967 | Compass Minerals International, Inc. | 2,745,647 | ||||||
80,200 | Innospec, Inc. | 1,376,232 | ||||||
75,600 | Metabolix, Inc.* | 1,799,280 | ||||||
2,300 | Minerals Technologies, Inc. | 153,985 | ||||||
68,600 | OM Group, Inc.* | 3,947,244 | ||||||
24,400 | Spartech Corp. | 344,040 | ||||||
125,600 | Terra Industries, Inc.* (8) | 5,998,655 | ||||||
128,500 | Tetra Tech, Inc.* | 2,762,750 | ||||||
79,100 | US BioEnergy Corp.* (8) | 926,261 | ||||||
159,864 | Zep, Inc.* | 2,217,314 | ||||||
33,350 | Zoltek Companies, Inc.* (8) | 1,429,715 | ||||||
23,799,641 | ||||||||
Commercial Services — 0.5% | ||||||||
38,030 | HMS Holdings Corp.* | 1,262,976 | ||||||
3,200 | Pre-Paid Legal Services, Inc.* | 177,120 | ||||||
10,800 | Standard Parking Corp.* | 523,692 | ||||||
42,530 | Team, Inc.* | 1,555,748 | ||||||
35,000 | TNS, Inc. (8) | 621,250 | ||||||
14,400 | Viad Corp. | 454,752 | ||||||
4,595,538 | ||||||||
Computer Equipment, Software and Services — 6.4% | ||||||||
77,800 | Activision, Inc.* | 2,310,660 | ||||||
48,690 | Actuate Corp.* | 378,321 | ||||||
35,900 | Adaptec, Inc.* | 121,342 | ||||||
43,320 | Advent Software, Inc.* (8) | 2,343,612 | ||||||
14,500 | Ansoft Corp.* | 374,825 | ||||||
20,400 | Aruba Networks, Inc.* (8) | 304,164 | ||||||
161,900 | AsiaInfo Holdings, Inc.* | 1,780,900 | ||||||
30,200 | Aspen Technology, Inc.* | 489,844 | ||||||
91,300 | Avocent Corp.* | 2,128,203 | ||||||
37,700 | CIBER, Inc.* | 230,347 | ||||||
58,800 | CommVault Systems, Inc.* | 1,245,384 | ||||||
79,200 | COMSYS IT Partners, Inc.* | 1,249,776 | ||||||
25,020 | Concur Technologies, Inc.* | 905,974 | ||||||
10,500 | Double-Take Software, Inc.* | 228,060 | ||||||
97,962 | Electronics For Imaging, Inc.* | 2,202,186 | ||||||
33,600 | Extreme Networks, Inc.* | 118,944 | ||||||
17,350 | FactSet Research Systems, Inc. | 966,395 | ||||||
117,960 | FalconStor Software, Inc.* | 1,328,230 | ||||||
64,940 | Hutchinson Technology, Inc.* | 1,709,221 | ||||||
32,000 | Immersion Corp.* | 414,400 | ||||||
2,300 | Interactive Intelligence, Inc.* | 60,605 | ||||||
11,300 | Jack Henry & Associates, Inc. | 275,042 | ||||||
5,600 | JDA Software Group, Inc.* | 114,576 | ||||||
17,577 | L-1 Identity Solutions, Inc.* | 315,507 |
167
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2007
Shares | Value | |||||||
Common Stocks (continued) | ||||||||
Computer Equipment, Software and Services (continued) | ||||||||
31,250 | Longtop Financial Technologies, Ltd. (ADR) (China)* (8) | $ | 740,000 | |||||
192,560 | Magma Design Automation, Inc.* | 2,351,158 | ||||||
28,600 | Manhattan Associates, Inc.* | 753,896 | ||||||
29,600 | MedAssets, Inc.* | 708,624 | ||||||
4,600 | MicroStrategy, Inc. — Class A* | 437,460 | ||||||
41,500 | MTS Systems Corp. | 1,770,805 | ||||||
105,080 | Nuance Communications, Inc.* (8) | 1,962,894 | ||||||
103,150 | PROS Holdings, Inc.* | 2,023,803 | ||||||
349,600 | Red Hat, Inc.* | 7,285,665 | ||||||
126,210 | Riverbed Technology, Inc.* | 3,374,855 | ||||||
2,600 | Sigma Designs, Inc.* | 143,520 | ||||||
2,300 | Solera Holdings, Inc.* | 56,994 | ||||||
155,200 | Sybase, Inc.* (8) | 4,049,168 | ||||||
110,100 | Sykes Enterprises, Inc.* | 1,981,800 | ||||||
38,100 | Synaptics, Inc.* | 1,568,196 | ||||||
179,730 | THQ, Inc.* | 5,066,589 | ||||||
358,700 | Wind River Systems, Inc.* | 3,203,191 | ||||||
142,357 | Xyratex, Ltd. (Bermuda)* | 2,249,241 | ||||||
61,324,377 | ||||||||
Construction Services and Supplies — 0.7% | ||||||||
6,100 | ABM Industries, Inc. | 124,379 | ||||||
5,900 | Matrix Service Company* | 128,738 | ||||||
60,800 | Perini Corp.* | 2,518,336 | ||||||
88,499 | Simpson Manufacturing Company, Inc. (8) | 2,353,188 | ||||||
46,300 | Sterling Construction Company, Inc.* | 1,010,266 | ||||||
2,900 | Thor Industries, Inc. (8) | 110,229 | ||||||
6,245,136 | ||||||||
Consumer Goods and Services — 2.7% | ||||||||
50,600 | Alberto-Culver Company | 1,241,724 | ||||||
28,900 | Alliance One International, Inc.* | 117,623 | ||||||
123,900 | American Greetings Corp. — Class A | 2,515,170 | ||||||
102,990 | Bare Escentuals, Inc.* (8) | 2,497,508 | ||||||
142,400 | Blyth, Inc. | 3,124,256 | ||||||
182,928 | Helen of Troy, Ltd. (Bermuda)* | 3,135,386 | ||||||
79,302 | Herbalife, Ltd. (Cayman Islands) | 3,194,285 | ||||||
3,800 | Hooker Furniture Corp. | 76,380 | ||||||
126,830 | Nutri/System, Inc.* (8) | 3,421,873 | ||||||
47,500 | Prestige Brands Holdings, Inc.* | 355,300 | ||||||
86,455 | Rollins, Inc. | 1,659,936 | ||||||
146,260 | Tempur-Pedic International, Inc. (8) | 3,798,372 | ||||||
2,400 | WD-40 Company | 91,128 | ||||||
25,228,941 | ||||||||
Distribution — 1.0% | ||||||||
80,536 | United Stationers, Inc.* | 3,721,569 | ||||||
104,093 | Universal Corp. | 5,331,643 | ||||||
9,053,212 | ||||||||
Diversified Operations and Services — 0.4% | ||||||||
2,000 | Chemed Corp. | 111,760 | ||||||
93,064 | ESCO Technologies, Inc.* (8) | 3,716,976 | ||||||
4,100 | Standex International Corp. | 71,545 | ||||||
3,900,281 | ||||||||
Education — 0.5% | ||||||||
29,675 | American Public Education, Inc.* | 1,239,822 | ||||||
56,660 | DeVry, Inc. | 2,944,053 | ||||||
1,000 | Strayer Education, Inc. | 170,580 | ||||||
4,354,455 | ||||||||
Electrical Equipment — 0.2% | ||||||||
34,300 | Greatbatch, Inc.* | 685,657 | ||||||
72,700 | Universal Display Corp.* (8) | 1,502,709 | ||||||
2,188,366 | ||||||||
Electronics — 2.5% | ||||||||
178,806 | Belden CDT, Inc. (8) | 7,956,866 | ||||||
36,500 | Cubic Corp. | 1,430,800 | ||||||
418,750 | Flextronics International, Ltd. (Singapore)* | 5,050,125 | ||||||
2,300 | Littelfuse, Inc.* | 75,808 | ||||||
156,100 | Methode Electronics, Inc. | 2,566,284 | ||||||
166,500 | Micrel, Inc. | 1,406,925 | ||||||
277,358 | Nam Tai Electronics, Inc. (British Virgin Islands) | 3,125,825 | ||||||
36,500 | Park Electrochemical Corp. | 1,030,760 | ||||||
2,300 | Plexus Corp.* | 60,398 | ||||||
16,000 | Stoneridge, Inc.* | 128,640 | ||||||
6,550 | Synopsys, Inc.* | 169,842 | ||||||
18,000 | Technitrol, Inc. | 514,440 | ||||||
23,516,713 | ||||||||
Engineering — 0.2% | ||||||||
99,400 | EMCOR Group, Inc.* | 2,348,822 | ||||||
Environmental Waste Management and Recycling Services — 0.4% | ||||||||
103,570 | Darling International, Inc.* | 1,197,269 | ||||||
20,900 | EnergySolutions* | 564,091 |
168
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2007
Shares | Value | |||||||
Common Stocks (continued) | ||||||||
Environmental Waste Management and Recycling Services (continued) | ||||||||
26,300 | Waste Connections, Inc.* | $ | 812,670 | |||||
23,100 | Waste Industries USA, Inc. | 838,530 | ||||||
3,412,560 | ||||||||
Food and Beverage — 0.8% | ||||||||
2,415 | Coca-Cola Bottling Company Consolidated | 142,195 | ||||||
3,623 | Farmer Brothers Company | 83,293 | ||||||
4,700 | Fresh Del Monte Produce, Inc. (Cayman Islands)* | 157,826 | ||||||
47,800 | Imperial Sugar Company (8) | 897,206 | ||||||
135,400 | Lance, Inc. | 2,764,867 | ||||||
9,600 | McCormick & Company, Inc. | 363,936 | ||||||
61,500 | Nash Finch Company (8) | 2,169,720 | ||||||
101,490 | SunOpta, Inc. (Canada)* (8) | 1,354,892 | ||||||
1,500 | The Boston Beer Company, Inc. — Class A* | 56,475 | ||||||
7,990,410 | ||||||||
Funeral Services — 0.0% | ||||||||
26,700 | Stewart Enterprises, Inc. — Class A | 237,630 | ||||||
Insurance — 4.7% | ||||||||
23,600 | Allied World Assurance Holdings, Ltd. (Bermuda) | 1,184,012 | ||||||
32,900 | American Equity Investment Life Holding Company (8) | 272,741 | ||||||
25,900 | American Physicians Capital, Inc. | 1,073,814 | ||||||
5,600 | Amerisafe, Inc.* | 86,856 | ||||||
210,460 | AmTrust Financial Services, Inc. (8) | 2,898,034 | ||||||
70,000 | Aspen Insurance Holdings, Ltd. (Bermuda) | 2,018,800 | ||||||
194,066 | Assured Guaranty, Ltd. (Bermuda) | 5,150,512 | ||||||
134,587 | Delphi Financial Group, Inc. — Class A | 4,748,229 | ||||||
33,160 | eHealth, Inc.* | 1,064,768 | ||||||
8,300 | EMC Insurance Group, Inc. | 196,461 | ||||||
37,800 | Endurance Specialty Holdings, Ltd. (Bermuda) | 1,577,394 | ||||||
9,900 | FBL Financial Group, Inc. — Class A | 341,847 | ||||||
7,500 | FPIC Insurance Group, Inc.* | 322,350 | ||||||
21,000 | Horace Mann Educators Corp. (8) | 397,740 | ||||||
71,428 | IPC Holdings, Ltd. (Bermuda) | 2,062,126 | ||||||
97,600 | Montpelier Re Holdings, Ltd. (Bermuda) (8) | 1,660,176 | ||||||
750 | National Western Life Insurance Company — Class A | 155,528 | ||||||
55,000 | Odyssey Re Holdings Corp. | 2,019,050 | ||||||
12,900 | PartnerRe, Ltd. (Bermuda) (8) | 1,064,637 | ||||||
143,622 | Platinum Underwriters Holdings, Ltd. (Bermuda) | 5,107,198 | ||||||
33,800 | Presidential Life Corp. | 591,838 | ||||||
50,800 | RAM Holdings, Ltd. (Bermuda)* | 250,952 | ||||||
33,400 | Safety Insurance Group, Inc. | 1,223,108 | ||||||
77,600 | The Phoenix Companies, Inc. | 921,112 | ||||||
183,651 | Universal American Financial Corp.* | 4,699,629 | ||||||
85,100 | Zenith National Insurance Corp. | 3,806,523 | ||||||
44,895,435 | ||||||||
Internet Services — 4.6% | ||||||||
64,860 | Aladdin Knowledge Systems, Ltd. (Israel)* | 1,694,792 | ||||||
4,800 | Blue Coat Systems, Inc.* | 157,776 | ||||||
44,500 | Blue Nile, Inc.* (8) | 3,028,670 | ||||||
38,900 | Cogent Communications Group, Inc.* (8) | 922,319 | ||||||
214,420 | CyberSource Corp.* | 3,810,244 | ||||||
18,700 | Dice Holdings, Inc.* | 149,413 | ||||||
65,090 | Digital River, Inc.* | 2,152,526 | ||||||
25,174 | Equinix, Inc.* (8) | 2,544,336 | ||||||
53,900 | eResearchTechnology, Inc.* | 637,098 | ||||||
76,100 | Giant Interactive Group, Inc. (ADR) (China)* (8) | 987,778 | ||||||
9,300 | Greenfield Online, Inc.* | 135,873 | ||||||
7,400 | i2 Technologies, Inc.* (8) | 93,240 | ||||||
8,800 | Imergent, Inc. | 93,192 | ||||||
182,354 | Internet Brands, Inc. — Class A* (8) | 1,281,949 | ||||||
148,900 | j2 Global Communications, Inc.* | 3,152,213 | ||||||
60,500 | Keynote Systems, Inc.* | 850,025 | ||||||
7,700 | Mercadolibre, Inc.* (8) | 568,876 | ||||||
351,050 | NaviSite, Inc.* | 1,776,313 | ||||||
15,500 | NIC, Inc. | 130,820 | ||||||
24,900 | Priceline.com, Inc.* (8) | 2,860,014 | ||||||
152,800 | S1 Corp.* | 1,115,440 | ||||||
55,920 | Shutterfly, Inc.* (8) | 1,432,670 | ||||||
11,800 | Sohu.com, Inc. (China)* (8) | 643,336 | ||||||
177,900 | SonicWALL, Inc.* | 1,907,088 | ||||||
10,500 | Syntel, Inc. (8) | 404,460 | ||||||
122,330 | The TriZetto Group, Inc.* (8) | 2,124,872 | ||||||
153,470 | TheStreet.com, Inc. | 2,443,242 | ||||||
18,700 | TIBCO Software, Inc.* | 150,909 |
169
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2007
Shares | Value | |||||||
Common Stocks (continued) | ||||||||
Internet Services (continued) | ||||||||
263,700 | United Online, Inc. | $ | 3,116,934 | |||||
69,320 | ValueClick, Inc.* | 1,518,108 | ||||||
122,600 | Vignette Corp.* | 1,791,186 | ||||||
43,675,712 | ||||||||
Leisure and Recreation — 1.0% | ||||||||
7,400 | Dover Downs Gaming & Entertainment, Inc. | 83,250 | ||||||
59,470 | Home Inns & Hotels Management, Inc. (ADR) (Cayman Islands)* (8) | 2,119,511 | ||||||
35,310 | Life Time Fitness, Inc.* (8) | 1,754,201 | ||||||
60,400 | Monarch Casino & Resort, Inc.* | 1,454,432 | ||||||
114,920 | Scientific Games Corp. — Class A* (8) | 3,821,090 | ||||||
9,232,484 | ||||||||
Machinery — 0.6% | ||||||||
3,500 | Applied Industrial Technologies, Inc. | 101,570 | ||||||
18,670 | Bucyrus International, Inc. — Class A | 1,855,611 | ||||||
21,400 | Cascade Corp. | 994,244 | ||||||
5,700 | Chart Industries, Inc.* | 176,130 | ||||||
7,900 | Columbus McKinnon Corp.* | 257,698 | ||||||
30,800 | Gardner Denver, Inc.* | 1,016,400 | ||||||
1,600 | Key Technology, Inc.* | 55,200 | ||||||
7,400 | Middleby Corp.* (8) | 566,988 | ||||||
11,900 | Robbins & Myers, Inc. | 899,997 | ||||||
6,300 | Tecumseh Products Company — Class A* | 147,483 | ||||||
6,071,321 | ||||||||
Manufacturing — 3.8% | ||||||||
121,929 | Acuity Brands, Inc. | 5,486,804 | ||||||
3,900 | Advanced Energy Industries, Inc.* | 51,012 | ||||||
75,819 | Albany International Corp. — Class A | 2,812,885 | ||||||
14,900 | American Woodmark Corp. (8) | 270,882 | ||||||
64,504 | AptarGroup, Inc. | 2,638,859 | ||||||
39,500 | Blount International, Inc.* | 486,245 | ||||||
239,239 | Carlisle Companies, Inc. | 8,859,019 | ||||||
1,710 | CIRCOR International, Inc. | 79,276 | ||||||
188,730 | Deswell Industries, Inc. (British Virgin Islands) | 1,141,817 | ||||||
43,600 | EnPro Industries, Inc.* | 1,336,340 | ||||||
2,600 | FLIR Systems, Inc.* | 81,380 | ||||||
9,600 | Freightcar America, Inc. | 336,000 | ||||||
169,900 | GrafTech International, Ltd.* | 3,015,725 | ||||||
45,700 | Kaydon Corp. (8) | 2,492,478 | ||||||
106,926 | Matthews International Corp. — Class A (8) | 5,011,622 | ||||||
158,700 | Sturm, Ruger & Company, Inc.* (8) | 1,314,036 | ||||||
15,800 | Tredegar Corp. | 254,064 | ||||||
35,668,444 | ||||||||
Medical Equipment, Supplies, and Services — 6.1% | ||||||||
10,000 | Alliance Imaging, Inc.* | 96,200 | ||||||
136,036 | AmSurg Corp.* | 3,681,134 | ||||||
158,300 | Apria Healthcare Group, Inc.* | 3,414,531 | ||||||
3,200 | ArthroCare Corp.* (8) | 153,760 | ||||||
4,400 | Beckman Coulter, Inc. | 320,320 | ||||||
2,600 | Bio-Rad Laboratories, Inc. — Class A* | 269,412 | ||||||
26,300 | Bruker BioSciences Corp.* | 349,790 | ||||||
186,190 | Centene Corp.* | 5,109,054 | ||||||
6,800 | CONMED Corp.* | 157,148 | ||||||
95,205 | CorVel Corp.* | 2,191,619 | ||||||
36,600 | Haemonetics Corp.* (8) | 2,306,532 | ||||||
53,130 | Healthways, Inc.* (8) | 3,104,917 | ||||||
11,300 | ICU Medical, Inc.* | 406,913 | ||||||
36,700 | Illumina, Inc.* | 2,174,842 | ||||||
10,900 | Immucor, Inc.* | 370,491 | ||||||
56,500 | Invacare Corp. | 1,423,800 | ||||||
360,310 | LeMaitre Vascular, Inc.* | 2,233,922 | ||||||
20,400 | Lincare Holdings, Inc.* | 717,264 | ||||||
13,500 | Luminex Corp.* (8) | 219,240 | ||||||
43,400 | Magellan Health Services, Inc.* | 2,023,742 | ||||||
4,200 | MedCath Corp.* | 103,152 | ||||||
9,200 | Meridian Bioscience, Inc. | 276,736 | ||||||
131,160 | Micrus Endovascular Corp.* | 2,581,229 | ||||||
290,924 | NovaMed, Inc.* (8) | 1,236,427 | ||||||
57,280 | NuVasive, Inc.* (8) | 2,263,706 | ||||||
76,900 | Orthofix International NV (Netherlands Antilles)* | 4,457,893 | ||||||
37,610 | Pediatrix Medical Group, Inc.* | 2,563,122 | ||||||
66,990 | Phase Forward, Inc.* | 1,457,033 | ||||||
115,800 | PSS World Medical, Inc.* | 2,266,206 | ||||||
20,000 | Quidel Corp.* | 389,400 | ||||||
147,110 | Radnet, Inc.* | 1,493,167 | ||||||
97,900 | STERIS Corp. | 2,823,436 | ||||||
4,900 | SurModics, Inc.* | 265,923 | ||||||
15,100 | Synovis Life Technologies, Inc.* | 295,205 | ||||||
27,100 | Techne Corp.* | 1,789,955 | ||||||
198,440 | The Spectranetics Corp.* | 3,042,085 | ||||||
92,340 | Volcano Corp.* | 1,155,173 | ||||||
5,200 | Zoll Medical Corp.* | 138,944 | ||||||
59,323,423 | ||||||||
170
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2007
Shares | Value | |||||||
Common Stocks (continued) | ||||||||
Metals and Mining — 2.3% | ||||||||
38,300 | AK Steel Holding Corp.* | $ | 1,770,992 | |||||
28,720 | Dynamic Materials Corp. | 1,691,608 | ||||||
19,770 | Haynes International, Inc.* | 1,374,015 | ||||||
219,400 | Hecla Mining Company* | 2,051,390 | ||||||
54,230 | Ladish Company, Inc.* | 2,342,194 | ||||||
222,572 | Mueller Industries, Inc. | 6,452,362 | ||||||
11,200 | Quanex Corp. | 581,280 | ||||||
25,620 | Schnitzer Steel Industries, Inc. — Class A | 1,771,111 | ||||||
34,700 | USEC, Inc.* (8) | 312,300 | ||||||
196,100 | Worthington Industries, Inc. (8) | 3,506,268 | ||||||
21,853,520 | ||||||||
Office Equipment, Supplies, and Services — 0.5% | ||||||||
240,243 | Acco Brands Corp.* | 3,853,497 | ||||||
13,550 | Herman Miller, Inc. | 438,885 | ||||||
31,600 | IKON Office Solutions, Inc. | 411,432 | ||||||
4,703,814 | ||||||||
Oil, Coal and Gas — 4.6% | ||||||||
9,200 | Alpha Natural Resources, Inc.* | 298,816 | ||||||
26,200 | Arena Resources, Inc.* | 1,092,802 | ||||||
8,100 | Cabot Oil & Gas Corp. | 326,997 | ||||||
6,000 | Continental Resources, Inc.* | 156,780 | ||||||
20,120 | Core Laboratories NV (the Netherlands)* (8) | 2,509,366 | ||||||
46,680 | Dril-Quip, Inc.* | 2,598,209 | ||||||
23,700 | FMC Technologies, Inc.* | 1,343,790 | ||||||
48,200 | Grant Prideco, Inc.* | 2,675,582 | ||||||
8,000 | HKN, Inc.* | 64,400 | ||||||
10,100 | NATCO Group, Inc.* | 546,915 | ||||||
37,700 | Newpark Resources, Inc.* | 205,465 | ||||||
2,400 | Northwest Natural Gas Company | 116,784 | ||||||
51,820 | Oil States International, Inc.* (8) | 1,768,098 | ||||||
194,720 | Penn Virginia Corp. | 8,495,634 | ||||||
30,000 | PetroQuest Energy, Inc.* | 429,000 | ||||||
28,500 | Piedmont Natural Gas Company, Inc. (8) | 745,560 | ||||||
7,600 | Southwest Gas Corp. | 226,252 | ||||||
111,200 | Stone Energy Corp.* | 5,216,392 | ||||||
61,590 | Superior Energy Services, Inc.* | 2,119,928 | ||||||
25,100 | VAALCO Energy, Inc.* | 116,715 | ||||||
7,900 | Vectren Corp. | 229,179 | ||||||
218,022 | Whiting Petroleum Corp.* | 12,571,149 | ||||||
43,853,813 | ||||||||
Paper and Forest Products — 0.8% | ||||||||
38,500 | Buckeye Technologies, Inc.* | 481,250 | ||||||
57,401 | Deltic Timber Corp. | 2,955,577 | ||||||
95,700 | Potlatch Corp. | 4,252,908 | ||||||
7,689,735 | ||||||||
Pharmaceuticals/Research and Development — 5.1% | ||||||||
125,800 | Affymetrix, Inc.* (8) | 2,911,012 | ||||||
120,500 | Albany Molecular Research, Inc.* | 1,732,790 | ||||||
129,200 | Alkermes, Inc.* | 2,014,228 | ||||||
4,900 | AMAG Pharmaceuticals, Inc.* | 294,637 | ||||||
57,300 | American Oriental Bioengineering, Inc.* | 634,884 | ||||||
211,200 | Cell Genesys Inc.* | 485,760 | ||||||
72,750 | Cephalon, Inc.* (8) | 5,220,540 | ||||||
175,800 | Cubist Pharmaceuticals, Inc.* | 3,605,658 | ||||||
199,900 | CV Therapeutics, Inc.* (8) | 1,809,095 | ||||||
285,800 | Enzon Pharmaceuticals, Inc.* (8) | 2,723,674 | ||||||
57,900 | Geron Corp.* (8) | 328,872 | ||||||
32,600 | Human Genome Sciences, Inc.* (8) | 340,344 | ||||||
37,200 | Incyte Corp.* | 373,860 | ||||||
133,430 | K-V Pharmaceutical Company — Class A* | 3,808,092 | ||||||
27,600 | LifeCell Corp.* | 1,189,836 | ||||||
17,600 | Martek Biosciences Corp.* (8) | 520,608 | ||||||
361,500 | Medarex, Inc.* (8) | 3,766,830 | ||||||
155,400 | Medicis Pharmaceuticals Corp. — Class A (8) | 4,035,738 | ||||||
4,000 | Millipore Corp.* | 292,720 | ||||||
72,600 | Noven Pharmaceuticals, Inc.* | 1,007,688 | ||||||
12,600 | OSI Pharmaceuticals, Inc.* | 611,226 | ||||||
53,700 | Pain Therapeutics, Inc.* (8) | 569,220 | ||||||
45,800 | Perrigo Company | 1,603,458 | ||||||
28,100 | Pharmanet Development Group, Inc.* | 1,101,801 | ||||||
43,200 | Regeneron Pharmaceuticals, Inc.* | 1,043,280 | ||||||
39,600 | Savient Pharmaceuticals, Inc.* (8) | 909,612 | ||||||
106,450 | Sciele Pharma, Inc.* (8) | 2,176,903 | ||||||
600 | United Therapeutics Corp.* (8) | 58,590 | ||||||
46,900 | USANA Health Services, Inc.* (8) | 1,739,052 | ||||||
38,200 | Valeant Pharmaceuticals International* | 457,254 | ||||||
35,200 | Vertex Pharmaceuticals, Inc.* | 817,696 | ||||||
27,300 | VIVUS, Inc.* (8) | 141,414 | ||||||
48,326,372 | ||||||||
171
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2007
Shares | Value | |||||||
Common Stocks (continued) | ||||||||
Printing and Publishing — 0.7% | ||||||||
246,453 | Bowne & Company, Inc. | $ | 4,337,573 | |||||
7,400 | PRIMEDIA, Inc. | 62,900 | ||||||
152,090 | Valassis Communications, Inc.* (8) | 1,777,932 | ||||||
6,178,405 | ||||||||
Real Estate Development and Services — 0.2% | ||||||||
4,815 | Avatar Holdings, Inc.* (8) | 201,363 | ||||||
27,800 | Hilltop Holdings, Inc.* | 303,576 | ||||||
234,600 | Meruelo Maddux Properties, Inc.* | 938,400 | ||||||
1,443,339 | ||||||||
Real Estate Investment Trusts — 4.9% | ||||||||
107,207 | Acadia Realty Trust | 2,745,571 | ||||||
14,900 | Agree Realty Corp. | 448,490 | ||||||
55,741 | American Campus Communities, Inc. | 1,496,646 | ||||||
23,600 | Associated Estates Realty Corp. | 222,784 | ||||||
18,800 | BRT Realty Trust | 287,640 | ||||||
116,700 | Capstead Mortgage Corp. | 1,539,273 | ||||||
71,755 | Cousins Properties, Inc. (8) | 1,585,786 | ||||||
3,700 | Digital Realty Trust, Inc. (8) | 141,969 | ||||||
52,800 | Entertainment Properties Trust | 2,481,600 | ||||||
35,800 | Equity One, Inc. (8) | 824,474 | ||||||
112,100 | Highwoods Properties, Inc. (8) | 3,293,498 | ||||||
30,400 | Inland Real Estate Corp. (8) | 430,464 | ||||||
114,600 | Investors Real Estate Trust (8) | 1,027,962 | ||||||
47,000 | LTC Properties, Inc. | 1,177,350 | ||||||
97,650 | Maguire Properties, Inc. (8) | 2,877,746 | ||||||
49,100 | Mission West Properties, Inc. | 466,941 | ||||||
12,600 | National Health Investors, Inc. | 351,540 | ||||||
47,600 | National Retail Properties, Inc. (8) | 1,112,888 | ||||||
2,100 | Nationwide Health Properties, Inc. (8) | 65,940 | ||||||
200,100 | OMEGA Healthcare Investors, Inc. | 3,211,605 | ||||||
50,491 | Pennsylvania Real Estate Investment Trust | 1,498,573 | ||||||
78,904 | PS Business Parks, Inc. | 4,146,405 | ||||||
417,375 | RAIT Investment Trust (8) | 3,597,773 | ||||||
22,400 | Ramco-Gershenson Properties Trust | 478,688 | ||||||
172,746 | Realty Income Corp. (8) | 4,667,596 | ||||||
55,500 | Saul Centers, Inc. | 2,965,365 | ||||||
22,200 | Taubman Centers, Inc. (8) | 1,092,018 | ||||||
15,400 | Urstadt Biddle Properties — Class A | 238,700 | ||||||
262,040 | U-Store-It Trust | 2,400,286 | ||||||
46,875,571 | ||||||||
Registered Investment Companies — 0.8% | ||||||||
246,657 | Ares Capital Corp. (8) | 3,608,592 | ||||||
30,440 | iShares Russell 2000 Growth Index Fund | 2,547,219 | ||||||
84,200 | MCG Capital Corp. (8) | 975,878 | ||||||
7,131,689 | ||||||||
Retail — 2.3% | ||||||||
159,000 | Big Lots, Inc.* (8) | 2,542,410 | ||||||
14,100 | Books-A-Million, Inc. | 168,072 | ||||||
236,625 | Casey’s General Stores, Inc. | 7,006,465 | ||||||
106,600 | EZCORP, Inc. — Class A* | 1,203,514 | ||||||
137,050 | FGX International Holdings, Ltd. (British Virgin Islands)* | 1,624,043 | ||||||
303,814 | Hibbett Sports, Inc.* | 6,070,204 | ||||||
124,900 | Jo-Ann Stores, Inc.* | 1,633,692 | ||||||
4,900 | West Marine, Inc.* | 44,002 | ||||||
46,300 | Williams-Sonoma, Inc. (8) | 1,199,170 | ||||||
31,600 | Zumiez, Inc.* (8) | 769,776 | ||||||
22,261,348 | ||||||||
Retail: Restaurants — 1.2% | ||||||||
41,500 | AFC Enterprises, Inc.* (8) | 469,780 | ||||||
13,400 | Bob Evans Farms, Inc. | 360,862 | ||||||
10,300 | California Pizza Kitchen, Inc.* | 160,371 | ||||||
71,200 | CBRL Group, Inc. | 2,306,168 | ||||||
142,488 | CEC Entertainment, Inc.* | 3,698,989 | ||||||
1,900 | Chipotle Mexican Grill, Inc. — Class A* (8) | 279,433 | ||||||
66,900 | Domino’s Pizza, Inc. | 885,087 | ||||||
9,300 | Jack in the Box, Inc.* | 239,661 | ||||||
55,600 | Papa John’s International, Inc.* | 1,262,120 | ||||||
78,226 | Sonic Corp.* | 1,713,149 | ||||||
12,800 | The Cheesecake Factory, Inc.* (8) | 303,488 | ||||||
11,679,108 | ||||||||
Retail: Supermarkets — 0.1% | ||||||||
25,900 | Whole Foods Market, Inc. (8) | 1,056,720 | ||||||
Rubber Products — 0.3% | ||||||||
179,100 | Cooper Tire & Rubber Company | 2,969,478 | ||||||
Scientific and Technical Instruments — 0.6% | ||||||||
47,000 | Cymer, Inc.* | 1,829,710 | ||||||
3,600 | Itron, Inc.* (8) | 345,492 | ||||||
21,700 | Varian, Inc.* | 1,417,010 |
172
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2007
Shares | Value | |||||||
Common Stocks (continued) | ||||||||
Scientific and Technical Instruments (continued) | ||||||||
28,300 | Woodward Governor Company | $ | 1,922,985 | |||||
5,515,197 | ||||||||
Security Service and Devices — 0.0% | ||||||||
3,800 | LoJack Corp.* | 63,878 | ||||||
Semiconductors — 3.1% | ||||||||
149,300 | Amkor Technology, Inc.* | 1,273,529 | ||||||
30,800 | ATMI, Inc.* | 993,300 | ||||||
27,000 | AuthenTec, Inc.* (8) | 392,310 | ||||||
1,500 | Cabot Microelectronics Corp.* | 53,865 | ||||||
55,900 | EMCORE Corp.* (8) | 855,270 | ||||||
220,900 | Emulex Corp.* | 3,605,088 | ||||||
28,900 | Integrated Silicon Solution, Inc.* | 191,318 | ||||||
54,700 | Intersil Corp. — Class A | 1,339,056 | ||||||
91,400 | IPG Photonics Corp.* | 1,827,086 | ||||||
258,700 | Kulicke and Soffa Industries, Inc.* (8) | 1,774,682 | ||||||
70,650 | Mellanox Technologies, Ltd. (Israel)* | 1,287,243 | ||||||
22,600 | Novellus Systems, Inc.* | 623,082 | ||||||
122,500 | O2Micro International, Ltd. (ADR) (Cayman Islands)* | 1,413,650 | ||||||
30,900 | Pericom Semiconductor Corp.* | 577,830 | ||||||
100,600 | QLogic Corp.* | 1,428,520 | ||||||
171,500 | Semtech Corp.* | 2,661,680 | ||||||
48,960 | Silicon Motion Technology Corp. (ADR) (Cayman Islands)* | 870,509 | ||||||
343,450 | Skyworks Solutions, Inc.* | 2,919,325 | ||||||
331,100 | TriQuint Semiconductor, Inc.* | 2,195,193 | ||||||
64,000 | Varian Semiconductor Equipment Associates, Inc.* | 2,368,000 | ||||||
22,700 | Zoran Corp.* | 510,977 | ||||||
29,161,513 | ||||||||
Sporting Goods and Equipment — 0.1% | ||||||||
57,000 | Callaway Golf Company | 993,510 | ||||||
Telecommunications Equipment and Services — 3.8% | ||||||||
108,200 | ADC Telecommunications, Inc.* | 1,682,510 | ||||||
38,500 | ADTRAN, Inc. (8) | 823,130 | ||||||
57,360 | Atheros Communications* | 1,751,774 | ||||||
64,115 | Atlantic Tele-Network, Inc. | 2,165,805 | ||||||
75,280 | Cbeyond, Inc.* | 2,935,167 | ||||||
113,200 | Cincinnati Bell, Inc.* | 537,700 | ||||||
131,300 | Clearwire Corp. — Class A* (8) | 1,800,123 | ||||||
30,710 | GeoEye, Inc.* | 1,033,392 | ||||||
110,500 | Harmonic, Inc.* | 1,158,040 | ||||||
31,800 | Iowa Telecommunications Services, Inc. (8) | 517,068 | ||||||
29,200 | Novatel Wireless, Inc.* | 473,040 | ||||||
29,600 | Plantronics, Inc. | 769,600 | ||||||
303,850 | Polycom, Inc.* | 8,440,953 | ||||||
179,600 | Premiere Global Services, Inc.* | 2,667,060 | ||||||
583,800 | RF Micro Devices, Inc.* | 3,333,498 | ||||||
14,600 | SeaChange International, Inc.* | 105,558 | ||||||
31,100 | Shenandoah Telecommunications Company | 745,778 | ||||||
61,000 | Sycamore Networks, Inc.* | 234,240 | ||||||
129,300 | Syniverse Holdings, Inc.* | 2,014,494 | ||||||
176,000 | USA Mobility, Inc.* | 2,516,800 | ||||||
35,705,730 | ||||||||
Toys — 0.4% | ||||||||
140,600 | Marvel Entertainment, Inc.* (8) | 3,755,426 | ||||||
Transportation — 1.4% | ||||||||
33,600 | Excel Maritime Carriers, Ltd. (Liberia) (8) | 1,350,384 | ||||||
89,300 | General Maritime Corp. (Marshall Islands) (8) | 2,183,385 | ||||||
136,862 | Genesee & Wyoming, Inc. — Class A* | 3,307,955 | ||||||
78,600 | GulfMark Offshore, Inc.* (8) | 3,677,693 | ||||||
3,900 | Knightsbridge Tankers, Ltd. (Bermuda) (8) | 94,185 | ||||||
10,100 | Landstar System, Inc. | 425,715 | ||||||
184,969 | Vitran Corp., Inc. — Class A (Canada)* | 2,632,109 | ||||||
13,671,426 | ||||||||
Utilities — 2.8% | ||||||||
78,761 | Atmos Energy Corp. | 2,208,458 | ||||||
30,000 | Avista Corp. | 646,200 | ||||||
104,800 | Black Hills Corp. (8) | 4,621,680 | ||||||
25,000 | El Paso Electric Company* | 639,250 | ||||||
3,700 | Middlesex Water Company | 70,115 | ||||||
44,584 | New Jersey Resources Corp. (8) | 2,230,092 | ||||||
113,000 | Nicor, Inc. (8) | 4,785,550 | ||||||
15,800 | Ormat Technologies, Inc. (8) | 869,158 | ||||||
4,200 | Pike Electric Corp.* | 70,392 | ||||||
185,814 | PNM Resources, Inc. (8) | 3,985,710 | ||||||
3,200 | Portland General Electric Company | 88,896 | ||||||
73,400 | Unisource Energy Corp. | 2,315,770 | ||||||
89,197 | Westar Energy, Inc. | 2,313,770 |
173
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2007
Shares | Value | |||||||
Common Stocks (continued) | ||||||||
Utilities (continued) | ||||||||
62,239 | WGL Holdings, Inc. (8) | $ | 2,038,950 | |||||
26,883,991 | ||||||||
Total Common Stocks (Cost $940,559,280) | 921,941,247 | |||||||
Principal | ||||||||
Short Term US Treasury Securities—0.1% | ||||||||
US Treasury Bills | ||||||||
$ | 750,000 | 2.89%, 03/20/08(5) (Cost $745,244) | 745,244 | |||||
Securities Lending Collateral — 23.7% | ||||||||
225,270,316 | Securities Lending Collateral Investment (Note 4) (Cost $225,270,316) | 225,270,316 | ||||||
Total Securities (Cost $1,166,574,840) | 1,147,956,807 | |||||||
Repurchase Agreements — 3.2% | ||||||||
30,010,481 | With State Street Bank and Trust, dated 12/31/07, 3.80%, due 01/02/08, repurchase proceeds at maturity $30,016,817 (Collateralized by various Fannie Mae Adjustable Rate Mortgages, 3.81%-5.63%, due 03/25/33-04/01/35, with a total value of $21,819,001 and various Freddie Mac Adjustable Rate Mortgages, 4.09%-4.77%, due 04/01/35-05/01/35, with a total value of $8,793,083) (Cost $30,010,481) | 30,010,481 | ||||||
Total Investments — 124.0% (Cost $1,196,585,321) | 1,177,967,288 | |||||||
Liabilities less other assets — (24.0)% | (227,769,825 | ) | ||||||
Net Assets — 100.0% | $ | 950,197,463 | ||||||
Gross unrealized appreciation | $ | 82,589,428 | ||
Gross unrealized depreciation | (109,307,189 | ) | ||
Net unrealized depreciation | $ | (26,717,761 | ) | |
174
Shares | Value | |||||||
Common Stocks — 98.6% | ||||||||
Aerospace and Defense — 3.8% | ||||||||
23,814 | Aerovironment, Inc.* (8) | $ | 576,299 | |||||
18,100 | Curtiss-Wright Corp. | 908,620 | ||||||
11,400 | Ducommun, Inc.* | 433,200 | ||||||
20,700 | Esterline Technologies Corp.* | 1,071,225 | ||||||
27,220 | Moog, Inc. — Class A* (8) | 1,246,948 | ||||||
20,700 | Teledyne Technologies, Inc.* (8) | 1,103,931 | ||||||
23,170 | TransDigm Group, Inc.* | 1,046,589 | ||||||
6,386,812 | ||||||||
Agriculture — 0.6% | ||||||||
22,900 | The Andersons, Inc. (8) | 1,025,920 | ||||||
Apparel: Manufacturing and Retail — 5.2% | ||||||||
46,950 | Aeropostale, Inc.* | 1,244,175 | ||||||
24,849 | Charlotte Russe Holding, Inc.* | 401,311 | ||||||
19,200 | Crocs, Inc.* (8) | 706,752 | ||||||
2,600 | Deckers Outdoor Corp.* | 403,156 | ||||||
26,500 | J Crew Group, Inc.* (8) | 1,277,565 | ||||||
49,500 | Maidenform Brands, Inc.* | 669,735 | ||||||
19,100 | Phillips-Van Heusen Corp. (8) | 704,026 | ||||||
35,400 | Stage Stores, Inc. | 523,920 | ||||||
34,500 | The Children’s Place Retail Stores, Inc.* | 894,585 | ||||||
18,100 | The Men’s Wearhouse, Inc. | 488,338 | ||||||
28,200 | The Warnaco Group, Inc.* | 981,360 | ||||||
133,400 | The Wet Seal, Inc. — Class A* | 310,822 | ||||||
8,605,745 | ||||||||
Automobile: Retail — 0.5% | ||||||||
45,600 | Asbury Automotive Group, Inc. | 686,280 | ||||||
7,965 | Sonic Automotive, Inc. | 154,202 | ||||||
840,482 | ||||||||
Automobiles/Motor Vehicles, Automotive Equipment and Repairs — 1.5% | ||||||||
30,600 | Aftermarket Technology Corp.* | 834,156 | ||||||
45,649 | Amerigon, Inc.* | 965,020 | ||||||
34,383 | Winnebago Industries, Inc. (8) | 722,731 | ||||||
2,521,907 | ||||||||
Banks and Financial Services — 2.3% | ||||||||
4,500 | Bankrate, Inc.* (8) | 216,405 | ||||||
16,000 | City Bank (8) | 358,720 | ||||||
18,777 | Green Bankshares, Inc. (8) | 360,518 | ||||||
34,268 | Interactive Data Corp. | 1,131,187 | ||||||
25,971 | MarketAxess Holdings, Inc.* | 333,208 | ||||||
13,400 | SVB Financial Group* (8) | 675,360 | ||||||
21,800 | United Community Banks, Inc. — Georgia (8) | 344,440 | ||||||
25,392 | Western Alliance Bancorp* (8) | 476,608 | ||||||
3,896,446 | ||||||||
Business Services and Supplies — 2.0% | ||||||||
110,600 | CBIZ, Inc.* (8) | 1,084,986 | ||||||
26,600 | FTI Consulting, Inc.* | 1,639,624 | ||||||
25,655 | ICF International, Inc.* | 648,045 | ||||||
3,372,655 | ||||||||
Chemicals — 1.9% | ||||||||
29,500 | HB Fuller Company | 662,275 | ||||||
56,805 | ICO, Inc.* | 729,376 | ||||||
59,700 | Landec Corp.* | 799,980 | ||||||
34,200 | Sensient Technologies Corp. | 967,176 | ||||||
3,158,807 | ||||||||
Commercial Services — 1.6% | ||||||||
32,900 | Euronet Worldwide, Inc.* (8) | 987,000 | ||||||
22,880 | Steiner Leisure, Ltd. (Bahama Islands)* | 1,010,381 | ||||||
19,100 | Team, Inc.* (8) | 698,678 | ||||||
2,696,059 | ||||||||
Computer Equipment, Software and Services — 12.2% | ||||||||
113,076 | Actuate Corp.* | 878,601 | ||||||
37,400 | ANSYS, Inc.* | 1,550,604 | ||||||
62,332 | Aspen Technology, Inc.* | 1,011,025 | ||||||
65,763 | Bluephoenix Solutions, Ltd. (Israel)* (8) | 1,191,626 | ||||||
67,700 | Bottomline Technologies, Inc.* | 947,800 | ||||||
13,712 | COMSYS IT Partners, Inc.* | 216,375 | ||||||
42,429 | EPIQ Systems, Inc.* (8) | 738,689 | ||||||
82,400 | FalconStor Software, Inc.* (8) | 927,824 | ||||||
33,900 | FARO Technologies, Inc.* | 921,402 | ||||||
40,700 | Hutchinson Technology, Inc.* | 1,071,224 | ||||||
76,925 | Interwoven, Inc.* | 1,093,874 | ||||||
32,900 | Jack Henry & Associates, Inc. | 800,786 | ||||||
26,600 | Manhattan Associates, Inc.* | 701,176 | ||||||
3,776 | ManTech International Corp. — Class A* | 165,464 | ||||||
57,900 | Mentor Graphics Corp.* | 624,162 | ||||||
5,056 | MicroStrategy, Inc. — Class A* | 480,826 | ||||||
48,300 | Nuance Communications, Inc.* (8) | 902,244 | ||||||
29,413 | Progress Software Corp.* | 990,630 | ||||||
55,500 | Quest Software, Inc.* | 1,023,420 | ||||||
66,800 | Radiant Systems, Inc.* | 1,150,964 | ||||||
26,420 | SPSS, Inc.* | 948,742 | ||||||
10,614 | Synaptics, Inc.* | 436,872 | ||||||
25,320 | Taleo Corp. — Class A* | 754,030 | ||||||
33,086 | The Ultimate Software Group, Inc.* | 1,041,216 | ||||||
20,569,576 | ||||||||
Construction Services and Supplies — 1.3% | ||||||||
33,700 | AAON, Inc. | 667,934 | ||||||
37,100 | Drew Industries, Inc.* | 1,016,540 | ||||||
24,689 | Integrated Electrical Services, Inc.* | 463,906 | ||||||
2,148,380 | ||||||||
175
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2007
Shares | Value | |||||||
Common Stocks (continued) | ||||||||
Consumer Goods and Services — 1.6% | ||||||||
37,531 | Elizabeth Arden, Inc.* (8) | $ | 763,756 | |||||
13,100 | Fossil, Inc.* | 549,938 | ||||||
35,900 | Jarden Corp.* (8) | 847,599 | ||||||
38,500 | Kimball International, Inc. — Class B | 527,450 | ||||||
2,688,743 | ||||||||
Education — 0.2% | ||||||||
6,000 | Capella Education Company* (8) | 392,760 | ||||||
Electronics — 1.1% | ||||||||
54,900 | Methode Electronics, Inc. | 902,556 | ||||||
21,878 | Rogers Corp.* | 948,849 | ||||||
1,851,405 | ||||||||
Engineering — 0.4% | ||||||||
29,758 | EMCOR Group, Inc.* | 703,182 | ||||||
Environmental Waste Management and Recycling Services — 0.8% | ||||||||
55,900 | Darling International, Inc.* | 646,204 | ||||||
24,400 | Waste Connections, Inc.* | 753,960 | ||||||
1,400,164 | ||||||||
Food and Beverage — 1.8% | ||||||||
20,544 | Central European Distribution Corp.* | 1,193,196 | ||||||
32,900 | Flowers Foods, Inc. | 770,189 | ||||||
31,000 | The Hain Celestial Group, Inc.* | 992,000 | ||||||
2,955,385 | ||||||||
Insurance — 4.2% | ||||||||
13,576 | eHealth, Inc.* | 435,925 | ||||||
15,800 | FBL Financial Group, Inc. — Class A | 545,574 | ||||||
19,200 | FPIC Insurance Group, Inc.* | 825,216 | ||||||
26,800 | Harleysville Group, Inc. | 948,184 | ||||||
23,100 | Infinity Property & Casualty Corp. | 834,603 | ||||||
22,100 | IPC Holdings, Ltd. (Bermuda) | 638,027 | ||||||
28,200 | Platinum Underwriters Holdings, Ltd. (Bermuda) | 1,002,792 | ||||||
15,300 | ProAssurance Corp.* | 840,276 | ||||||
17,300 | RLI Corp. | 982,467 | ||||||
7,053,064 | ||||||||
Internet Services — 6.4% | ||||||||
22,058 | Aladdin Knowledge Systems, Ltd. (Israel)* | 576,376 | ||||||
108,700 | Art Technology Group, Inc.* | 469,584 | ||||||
21,714 | Blue Coat Systems, Inc.* | 713,739 | ||||||
24,300 | Digital River, Inc.* | 803,601 | ||||||
68,074 | eResearchTechnology, Inc.* | 804,635 | ||||||
55,500 | Foundry Networks, Inc.* | 972,360 | ||||||
50,500 | GigaMedia, Ltd. (Singapore)* | 946,875 | ||||||
54,391 | LivePerson, Inc.* | 290,448 | ||||||
7,100 | Priceline.com, Inc.* (8) | 815,506 | ||||||
82,300 | Secure Computing Corp.* | 790,080 | ||||||
31,622 | Shanda Interactive Entertainment, Ltd. (ADR) (Cayman Islands)* | 1,054,277 | ||||||
33,800 | Shutterfly, Inc.* (8) | 865,956 | ||||||
19,600 | VASCO Data Security International, Inc.* | 547,232 | ||||||
29,000 | Vocus, Inc.* | 1,001,370 | ||||||
10,652,039 | ||||||||
Leisure and Recreation — 0.3% | ||||||||
42,637 | Dover Downs Gaming & Entertainment, Inc. | 479,666 | ||||||
Machinery — 1.7% | ||||||||
39,593 | Columbus McKinnon Corp.* | 1,291,524 | ||||||
75,400 | Flow International Corp.* | 702,728 | ||||||
19,739 | Tennant Company | 874,240 | ||||||
2,868,492 | ||||||||
Manufacturing — 4.0% | ||||||||
11,500 | Ameron International Corp. | 1,059,725 | ||||||
22,600 | AptarGroup, Inc. | 924,566 | ||||||
32,760 | Barnes Group, Inc. | 1,093,856 | ||||||
25,191 | Ceradyne, Inc.* | 1,182,213 | ||||||
39,455 | Encore Wire Corp. (8) | 628,124 | ||||||
15,658 | EnPro Industries, Inc.* | 479,918 | ||||||
29,000 | FLIR Systems, Inc.* | 907,700 | ||||||
4,400 | Valmont Industries, Inc. | 392,128 | ||||||
6,668,230 | ||||||||
Medical Equipment, Supplies, and Services — 10.1% | ||||||||
25,500 | AmSurg Corp.* | 690,030 | ||||||
71,578 | Bruker BioSciences Corp.* | 951,987 | ||||||
24,800 | CONMED Corp.* | 573,128 | ||||||
21,400 | Hologic, Inc.* | 1,468,897 | ||||||
17,400 | ICON PLC (ADR) (Ireland)* | 1,076,364 | ||||||
20,269 | Illumina, Inc.* (8) | 1,201,141 | ||||||
32,100 | Immucor, Inc.* | 1,091,079 | ||||||
39,900 | inVentiv Health, Inc.* | 1,235,304 | ||||||
44,737 | LHC Group, Inc.* | 1,117,530 | ||||||
20,600 | MedCath Corp.* | 505,936 | ||||||
72,900 | Natus Medical, Inc.* | 1,410,615 | ||||||
37,195 | Phase Forward, Inc.* | 808,991 | ||||||
27,531 | Somanetics Corp.* | 651,108 | ||||||
22,531 | SurModics, Inc.* (8) | 1,222,757 | ||||||
44,600 | Synovis Life Technologies, Inc.* | 871,930 | ||||||
63,143 | Third Wave Technologies* | 609,330 | ||||||
47,900 | Zoll Medical Corp.* | 1,279,888 | ||||||
16,766,015 | ||||||||
Metals and Mining — 1.0% | ||||||||
4,200 | Dynamic Materials Corp. | 247,380 | ||||||
2,674 | Kaiser Aluminum Corp. | 212,530 |
176
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2007
Shares | Value | |||||||
Common Stocks (continued) | ||||||||
Metals and Mining (continued) | ||||||||
7,500 | Schnitzer Steel Industries, Inc. — Class A | $ | 518,475 | |||||
18,413 | Universal Stainless & Alloy Products, Inc.* | 654,950 | ||||||
1,633,335 | ||||||||
Oil, Coal and Gas — 6.4% | ||||||||
25,300 | Bill Barrett Corp.* (8) | 1,059,311 | ||||||
77,432 | Cano Petroleum, Inc.* | 533,506 | ||||||
30,300 | Comstock Resources, Inc.* | 1,030,200 | ||||||
5,600 | Core Laboratories NV (the Netherlands)* | 698,432 | ||||||
23,600 | Encore Acquisition Company* | 787,532 | ||||||
33,953 | Hercules Offshore, Inc.* (8) | 807,402 | ||||||
14,900 | Hornbeck Offshore Services, Inc.* (8) | 669,755 | ||||||
20,700 | Massey Energy Company | 740,025 | ||||||
42,750 | Natural Gas Services Group* | 838,328 | ||||||
86,000 | Parker Drilling Company* | 649,300 | ||||||
85,200 | PetroQuest Energy, Inc.* | 1,218,361 | ||||||
17,300 | T-3 Energy Services, Inc.* | 813,273 | ||||||
32,145 | Western Refining, Inc. (8) | 778,230 | ||||||
10,623,655 | ||||||||
Pharmaceuticals/Research and Development — 7.4% | ||||||||
84,099 | Albany Molecular Research, Inc.* | 1,209,343 | ||||||
59,108 | BioScrip, Inc.* | 456,905 | ||||||
42,700 | Cubist Pharmaceuticals, Inc.* | 875,777 | ||||||
29,513 | Exponent, Inc.* | 798,032 | ||||||
20,004 | Kendle International, Inc.* | 978,596 | ||||||
20,000 | Martek Biosciences Corp.* (8) | 591,600 | ||||||
42,824 | Obagi Medical Products, Inc.* | 783,251 | ||||||
87,669 | Oculus Innovative Sciences, Inc.* (8) | 359,443 | ||||||
22,000 | PAREXEL International Corp.* | 1,062,600 | ||||||
60,700 | PDL BioPharma, Inc.* | 1,063,464 | ||||||
60,500 | PetMed Express, Inc.* | 732,050 | ||||||
25,500 | Pharmanet Development Group, Inc.* | 999,855 | ||||||
45,200 | Sciele Pharma, Inc.* | 924,340 | ||||||
11,400 | United Therapeutics Corp.* (8) | 1,113,210 | ||||||
51,600 | ViroPharma, Inc.* | 409,704 | ||||||
12,358,170 | ||||||||
Retail — 1.0% | ||||||||
76,500 | EZCORP, Inc. — Class A* | 863,685 | ||||||
17,400 | Longs Drug Stores Corp. | 817,800 | ||||||
1,681,485 | ||||||||
Retail: Restaurants — 1.6% | ||||||||
39,000 | Jack in the Box, Inc.* | 1,005,030 | ||||||
38,300 | O’Charley’s, Inc. | 573,734 | ||||||
10,800 | Red Robin Gourmet Burgers, Inc.* | 345,492 | ||||||
64,300 | Texas Roadhouse, Inc. — Class A* | 711,158 | ||||||
2,635,414 | ||||||||
Retail: Supermarkets — 0.9% | ||||||||
24,100 | Ingles Markets, Inc. — Class A | 611,899 | ||||||
37,535 | Spartan Stores, Inc. | 857,675 | ||||||
1,469,574 | ||||||||
Rubber Products — 0.5% | ||||||||
47,024 | Cooper Tire & Rubber Company | 779,658 | ||||||
Scientific and Technical Instruments — 0.4% | ||||||||
39,600 | Spectrum Control, Inc.* | 609,840 | ||||||
Security Service and Devices — 0.8% | ||||||||
85,700 | Cogent, Inc.* (8) | 955,555 | ||||||
16,677 | Macrovision Corp.* | 305,689 | ||||||
1,261,244 | ||||||||
Semiconductors — 4.9% | ||||||||
91,400 | Advanced Analogic Technologies, Inc.* | 1,030,991 | ||||||
63,600 | ANADIGICS, Inc.* (8) | 735,852 | ||||||
20,700 | Cavium Networks, Inc.* (8) | 476,514 | ||||||
55,499 | LTX Corp.* | 176,487 | ||||||
32,700 | Microsemi Corp.* | 723,978 | ||||||
23,900 | Netlogic Microsystems, Inc.* (8) | 769,580 | ||||||
49,703 | Pericom Semiconductor Corp.* | 929,446 | ||||||
49,676 | Semtech Corp.* | 770,972 | ||||||
21,585 | Standard Microsystems Corp.* | 843,326 | ||||||
110,100 | TriQuint Semiconductor, Inc.* | 729,963 | ||||||
41,121 | Zoran Corp.* | 925,634 | ||||||
8,112,743 | ||||||||
Storage Facilities — 0.2% | ||||||||
17,300 | Mobile Mini, Inc.* | 320,742 | ||||||
Telecommunications Equipment and Services — 6.2% | ||||||||
25,900 | ADTRAN, Inc. (8) | 553,742 | ||||||
34,900 | Atheros Communications* | 1,065,846 | ||||||
112,700 | Avici Systems, Inc. | 893,711 | ||||||
24,400 | Cbeyond, Inc.* (8) | 951,356 | ||||||
69,196 | Ceragon Networks Ltd. (Israel)* | 684,348 | ||||||
23,300 | Comtech Telecommunications Corp.* (8) | 1,258,433 | ||||||
14,218 | General Cable Corp.* | 1,041,895 | ||||||
32,900 | GeoEye, Inc.* | 1,107,085 | ||||||
47,500 | Globecomm Systems, Inc.* | 555,750 | ||||||
72,500 | Intervoice, Inc.* | 579,275 | ||||||
14,491 | NICE Systems, Ltd. (ADR) (Israel)* | 497,331 | ||||||
48,400 | Oplink Communications, Inc.* | 742,940 | ||||||
69,108 | RF Micro Devices, Inc.* | 394,607 | ||||||
10,326,319 | ||||||||
177
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2007
Shares | Value | |||||||
Common Stocks (continued) | ||||||||
Transportation — 1.8% | ||||||||
55,300 | Celadon Group, Inc.* | $ | 506,548 | |||||
18,300 | Excel Maritime Carriers, Ltd. (Liberia) (8) | 735,477 | ||||||
22,600 | GulfMark Offshore, Inc.* (8) | 1,057,454 | ||||||
21,190 | TBS International, Ltd. — Class A (Bermuda)* | 700,541 | ||||||
3,000,020 | ||||||||
Total Common Stocks (Cost $154,543,735) | 164,514,133 | |||||||
Principal | ||||||||
Securities Lending Collateral — 19.2% | ||||||||
$ | 32,007,250 | Securities Lending Collateral Investment (Note 4) (Cost $32,007,250) | 32,007,250 | |||||
Total Securities (Cost $186,550,985) | 196,521,383 | |||||||
Repurchase Agreements — 2.0% | ||||||||
3,273,334 | With State Street Bank and Trust, dated 12/31/07, 3.80%, due 01/02/08, repurchase proceeds at maturity $3,274,025 (Collateralized by Fannie Mae Adjustable Rate Mortgage, 4.44%, due 03/01/33, with a value of $3,339,271) (Cost $3,273,334) | 3,273,334 | ||||||
Total Investments — 119.8% (Cost $189,824,319) | 199,794,717 | |||||||
Liabilities less other assets — (19.8)% | (32,977,396 | ) | ||||||
Net Assets — 100.0% | $ | 166,817,321 | ||||||
Gross unrealized appreciation | $ | 21,024,353 | ||
Gross unrealized depreciation | (11,947,501 | ) | ||
Net unrealized appreciation | $ | 9,076,852 | ||
178
Shares | Value | Country | ||||||||
Common Stocks — 98.6% | ||||||||||
Advertising — 0.3% | ||||||||||
23,700 | Focus Media Holding, Ltd. (ADR)* (8) | $ | 1,346,397 | CHN | ||||||
117,299 | Publicis Groupe | 4,592,690 | FRA | |||||||
5,939,087 | ||||||||||
Aerospace and Defense — 0.8% | ||||||||||
236,000 | Finmeccanica SpA | 7,580,612 | ITA | |||||||
225,387 | Gamesa Corporacion Tecnologica, SA | 10,538,276 | SPA | |||||||
18,118,888 | ||||||||||
Agriculture — 1.4% | ||||||||||
12,100,387 | Chaoda Modern Agriculture (Holdings), Ltd. | 10,956,054 | CAY | |||||||
138,000 | Potash Corp. of Saskatchewan, Inc. | 19,866,480 | CDA | |||||||
30,822,534 | ||||||||||
Airlines — 1.7% | ||||||||||
757,607 | easyJet PLC* | 9,252,147 | BRI | |||||||
3,537,400 | Qantas Airways, Ltd. | 16,896,717 | AUS | |||||||
204,447 | Ryanair Holdings PLC (ADR)* (8) | 8,063,390 | IRE | |||||||
347,671 | Singapore Airlines, Ltd. | 4,197,803 | SIN | |||||||
38,410,057 | ||||||||||
Apparel: Manufacturing and Retail — 0.6% | ||||||||||
1,287,840 | Burberry Group PLC | 14,599,556 | BRI | |||||||
Automobiles/Motor Vehicles, Automotive Equipment and Repairs — 7.5% | ||||||||||
127,500 | Alpine Electronics, Inc. | 2,137,649 | JPN | |||||||
648,000 | Calsonic Kansei Corp. (8) | 3,312,071 | JPN | |||||||
543,223 | DaimlerChrysler AG | 52,815,575 | GER | |||||||
2,059,000 | Fuji Heavy Industries, Ltd. | 9,620,892 | JPN | |||||||
10,200 | Georg Fischer AG | 6,279,557 | SWI | |||||||
1,726,700 | GKN PLC | 9,692,817 | BRI | |||||||
967,000 | Hino Motors, Ltd. | 6,292,879 | JPN | |||||||
351,600 | Honda Motor Company, Ltd. | 11,802,354 | JPN | |||||||
1,442,800 | Nissan Motor Company, Ltd. | 15,885,459 | JPN | |||||||
88,800 | PSA Peugeot Citroen SA | 6,731,688 | FRA | |||||||
159,100 | Toyota Auto Body Company, Ltd. | 2,573,457 | JPN | |||||||
608,200 | Toyota Motor Corp. | 32,883,033 | JPN | |||||||
104,788 | Valeo SA | 4,320,389 | FRA | |||||||
25,800 | Volkswagen AG | 5,888,231 | GER | |||||||
170,236,051 | ||||||||||
Banks and Financial Services — 24.2% | ||||||||||
535,600 | Alliance & Leicester PLC (8) | 6,908,752 | BRI | |||||||
232,400 | Allied Irish Banks PLC | 5,324,699 | IRE | |||||||
192,100 | Alpha Bank AE | 6,993,409 | GRC | |||||||
279,900 | Banco Bilbao Vizcaya Argentaria SA | 6,858,658 | SPA | |||||||
318,300 | Banco Espirito Santo, SA | 6,980,558 | POR | |||||||
1,451,800 | Banco Santander Central Hispano SA | 31,393,316 | SPA | |||||||
2,469,900 | Barclays PLC | 24,779,578 | BRI | |||||||
312,600 | BNP Paribas SA | 33,921,273 | FRA | |||||||
570,300 | Bolsa de Mercadorias e Futuros | 8,009,831 | BRA | |||||||
983,100 | Bradford & Bingley PLC | 5,244,650 | BRI | |||||||
266,800 | Canadian Imperial Bank of Commerce (8) | 19,071,625 | CDA | |||||||
308,700 | Commonwealth Bank of Australia | 16,019,293 | AUS | |||||||
155,100 | Credit Agricole SA | 5,231,444 | FRA | |||||||
357,700 | Credit Suisse Group | 21,516,027 | SWI | |||||||
378,000 | Daiwa Securities Group, Inc. | 3,437,748 | JPN | |||||||
183,400 | Danske Bank A/S | 7,183,096 | DEN | |||||||
84,100 | Deutsche Bank AG | 10,992,481 | GER | |||||||
87,610 | Deutsche Boerse AG | 17,388,245 | GER | |||||||
83,901 | Dexia | 2,113,560 | BEL | |||||||
582,100 | DNB NOR ASA | 8,897,907 | NOR | |||||||
367,000 | Fortis | 9,663,668 | BEL | |||||||
1,107,700 | HBOS PLC | 16,206,659 | BRI | |||||||
226,900 | Hitachi Capital Corp. | 2,918,635 | JPN | |||||||
1,082,900 | Intesa Sanpaolo | 8,565,404 | ITA | |||||||
858,363 | Invesco, Ltd. (8) | 26,935,431 | BER | |||||||
319,800 | Irish Life & Permanent PLC | 5,521,926 | IRE | |||||||
207,455 | Julius Baer Holding, Ltd. | 17,151,250 | SWI | |||||||
253,800 | Laurentian Bank of Canada | 8,550,433 | CDA | |||||||
2,574,600 | Lloyds TSB Group PLC | 24,189,994 | BRI | |||||||
115,100 | Macquarie Group, Ltd. (8) | 7,701,043 | AUS | |||||||
2,438,934 | Man Group PLC | 27,624,620 | BRI | |||||||
74,000 | Muenchener Rueckversicherungs-Gesellschaft AG | 14,383,005 | GER | |||||||
231,600 | National Bank of Canada (8) | 12,270,494 | CDA | |||||||
109,277 | National Bank of Greece SA | 7,505,921 | GRC | |||||||
255,700 | Nomura Holdings, Inc. | 4,337,390 | JPN | |||||||
828,800 | Nordea Bank AB | 13,849,239 | SWE | |||||||
132,700 | Promise Company, Ltd. (8) | 3,302,207 | JPN | |||||||
600,986 | Schroders PLC | 15,576,122 | BRI | |||||||
515,700 | SNS Reaal | 11,581,120 | NET | |||||||
130,800 | Societe Generale | 18,918,991 | FRA | |||||||
119,100 | Sun Life Financial, Inc. (8) | 6,722,793 | CDA | |||||||
396,719 | Suncorp-Metway, Ltd. | 5,893,898 | AUS | |||||||
228,878 | Svenska Handelsbanken AB — Class A | 7,330,385 | SWE | |||||||
89,200 | Swedbank AB — Class A | 2,525,622 | SWE | |||||||
98,300 | Takefuji Corp. | 2,388,976 | JPN | |||||||
1,844,000 | The Sumitomo Trust and Banking Company, Ltd. | 12,346,704 | JPN | |||||||
138,300 | UBS AG | 6,401,025 | SWI | |||||||
548,629,105 | ||||||||||
179
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2007
Shares | Value | Country | ||||||||
Common Stocks (continued) | ||||||||||
Broadcast Services/Media — 0.5% | ||||||||||
140,898 | SES (FDR) | $ | 3,707,999 | LUX | ||||||
143,800 | Vivendi Universal SA | 6,597,418 | FRA | |||||||
10,305,417 | ||||||||||
Business Services and Supplies — 0.4% | ||||||||||
1,117,000 | Marubeni Corp. | 7,928,935 | JPN | |||||||
Chemicals — 1.2% | ||||||||||
6,140 | Arkema* | 403,426 | FRA | |||||||
56,300 | Ciba Specialty Chemicals AG | 2,610,741 | SWI | |||||||
264,800 | Methanex Corp. (8) | 7,394,384 | CDA | |||||||
891,900 | Mitsubishi Chemical Holdings Corp. | 6,850,022 | JPN | |||||||
171,800 | Nova Chemicals Corp. | 5,617,292 | CDA | |||||||
597,500 | Sumitomo Bakelite Company, Ltd. | 3,610,191 | JPN | |||||||
26,486,056 | ||||||||||
Computer Equipment, Software and Services — 1.9% | ||||||||||
1,137,600 | CGI Group, Inc. — Class A* | 13,359,121 | CDA | |||||||
761,273 | Logitech International SA* | 27,918,611 | SWI | |||||||
66,900 | Open Text Corp.* (8) | 2,127,080 | CDA | |||||||
43,404,812 | ||||||||||
Construction Services and Supplies — 2.1% | ||||||||||
353,700 | Barratt Developments PLC | 3,207,063 | BRI | |||||||
8,800 | Cementos Portland Valderrivas SA | 953,374 | SPA | |||||||
1,093,000 | China Communications Construction Company, Ltd. — Class H | 2,866,577 | CHN | |||||||
15,600 | Ciments Francais SA | 2,684,727 | FRA | |||||||
119,800 | Compagnie de Saint-Gobain | 11,295,656 | FRA | |||||||
8,656 | Compagnie Generale de Geophysique Veritas (CGG — Veritas)* | 2,467,823 | FRA | |||||||
43,500 | Lafarge SA | 7,918,097 | FRA | |||||||
140,339 | Leighton Holdings, Ltd. | 7,541,349 | AUS | |||||||
91,000 | Maeda Road Construction Company, Ltd. | 729,857 | JPN | |||||||
910,000 | Sanwa Shutter Corp. | 4,488,296 | JPN | |||||||
897,035 | Taylor Wimpey PLC | 3,629,309 | BRI | |||||||
47,782,128 | ||||||||||
Consumer Goods and Services — 1.7% | ||||||||||
302,100 | Electrolux AB — Series B | 5,071,458 | SWE | |||||||
2,191 | Japan Tobacco, Inc. | 13,101,088 | JPN | |||||||
364,728 | Reckitt Benckiser Group PLC | 21,156,443 | BRI | |||||||
39,328,989 | ||||||||||
Diversified Operations and Services — 1.6% | ||||||||||
128,600 | BASF AG | 19,067,071 | GER | |||||||
740,000 | China Resources Enterprise, Ltd. | 3,179,265 | HNG | |||||||
330,000 | Mitsubishi Corp. | 9,039,073 | JPN | |||||||
334,000 | Sumitomo Corp. | 4,744,734 | JPN | |||||||
36,030,143 | ||||||||||
Electronics — 2.0% | ||||||||||
211,071 | Koninklijke (Royal) Philips Electronics NV | 9,109,764 | NET | |||||||
98,972 | LG Electronics, Inc. | 10,573,367 | KOR | |||||||
263,900 | Sony Corp. | 14,646,018 | JPN | |||||||
810,100 | Toshiba Tec Corp. | 5,474,874 | JPN | |||||||
45,430 | Yamada Denki Company, Ltd. | 5,193,046 | JPN | |||||||
44,997,069 | ||||||||||
Energy Services — 3.0% | ||||||||||
1,866,877 | Iberdrola Renovables* | 15,421,491 | SPA | |||||||
259,100 | Suntech Power Holdings Company, Ltd. (ADR)* (8) | 21,329,112 | CAY | |||||||
297,700 | Vestas Wind Systems A/S* | 32,221,332 | DEN | |||||||
68,971,935 | ||||||||||
Food and Beverage — 2.8% | ||||||||||
102,334 | East Asiatic Company, Ltd. (A/S Det Ostasiatiske Kompagni) | 7,975,954 | DEN | |||||||
107,200 | Greene King PLC | 1,707,139 | BRI | |||||||
41,933 | Nestle SA | 19,259,957 | SWI | |||||||
1,537,300 | Northern Foods PLC | 2,876,540 | BRI | |||||||
389,900 | Tate & Lyle PLC | 3,453,800 | BRI | |||||||
752,769 | Unilever NV — CVA | 27,679,736 | NET | |||||||
62,953,126 | ||||||||||
Insurance — 4.0% | ||||||||||
441,800 | Aviva PLC | 5,918,679 | BRI | |||||||
1,939,300 | Friends Provident PLC | 6,307,846 | BRI | |||||||
564,500 | ING Groep NV | 22,077,502 | NET | |||||||
1,003,300 | Milano Assicurazioni SpA | 7,847,780 | ITA | |||||||
1,472,000 | Old Mutual PLC | 4,910,954 | BRI | |||||||
5,458,900 | Royal & Sun Alliance Insurance Group PLC | 16,104,132 | BRI | |||||||
265,616 | SCOR SE | 6,796,018 | FRA | |||||||
94,700 | Swiss Re | 6,729,334 | SWI | |||||||
47,900 | Zurich Financial Services AG | 14,067,703 | SWI | |||||||
90,759,948 | ||||||||||
Internet Services — 0.3% | ||||||||||
1,911,800 | Alibaba.com, Ltd.* | 6,779,346 | HNG | |||||||
Leisure and Recreation — 0.6% | ||||||||||
198,900 | Sankyo Company, Ltd. | 9,240,398 | JPN | |||||||
165,400 | TUI AG* | 4,626,075 | GER | |||||||
13,866,473 | ||||||||||
Machinery — 0.3% | ||||||||||
15,900 | Rieter Holding AG | 7,022,038 | SWI | |||||||
180
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2007
Shares | Value | Country | ||||||||
Common Stocks (continued) | ||||||||||
Manufacturing — 2.0% | ||||||||||
121,979 | Alstom | $ | 26,215,892 | FRA | ||||||
905,602 | Hansen Transmissions* | 5,191,751 | BEL | |||||||
704,000 | Kurabo Industries, Ltd. | 1,581,739 | JPN | |||||||
51,182 | Siemens AG | 8,146,064 | GER | |||||||
1,155,936 | Tomkins PLC | 4,067,028 | BRI | |||||||
45,202,474 | ||||||||||
Medical Equipment, Supplies, and Services — 1.1% | ||||||||||
229,903 | Sonova Holding AG | 25,972,348 | SWI | |||||||
Metals and Mining — 3.7% | ||||||||||
751,300 | BlueScope Steel, Ltd. | 6,365,902 | AUS | |||||||
156,200 | Companhia Vale do Rio Doce (ADR) (8) | 5,103,054 | BRA | |||||||
1,381,200 | Minara Resources, Ltd. (8) | 7,555,511 | AUS | |||||||
37,300 | Norddeutsche Affinerie AG | 1,454,434 | GER | |||||||
141,900 | Rautaruukki Oyj | 6,151,334 | FIN | |||||||
30,100 | Salzgitter AG | 4,490,986 | GER | |||||||
308,300 | Sims Group, Ltd. (8) | 7,268,371 | AUS | |||||||
341,100 | ThyssenKrupp AG | 19,125,347 | GER | |||||||
6,788 | Vallourec SA | 1,837,502 | FRA | |||||||
127,800 | voestalpine AG | 9,239,732 | AST | |||||||
221,899 | Xstrata PLC | 15,680,781 | BRI | |||||||
84,272,954 | ||||||||||
Office Equipment, Supplies, and Services — 0.6% | ||||||||||
95,000 | Brother Industries, Ltd. | 1,227,096 | JPN | |||||||
193,900 | Oce NV | 3,509,625 | NET | |||||||
341,000 | Ricoh Company, Ltd. | 6,303,227 | JPN | |||||||
3,314,500 | TPV Technology, Ltd. | 2,405,939 | HNG | |||||||
13,445,887 | ||||||||||
Oil, Coal and Gas — 9.4% | ||||||||||
1,487,200 | BP PLC | 18,206,585 | BRI | |||||||
2,028,200 | Cosmo Oil Company, Ltd. | 7,625,153 | JPN | |||||||
134,000 | EnCana Corp. | 9,164,598 | CDA | |||||||
918,800 | Eni SpA | 33,650,455 | ITA | |||||||
987,100 | Nippon Oil Corp. | 8,031,812 | JPN | |||||||
174,800 | Norsk Hydro ASA | 2,498,132 | NOR | |||||||
320,100 | Oao Gazprom — (ADR) | 17,925,600 | SUR | |||||||
72,300 | Petroleo Brasileiro SA — Petrobras (ADR) | 8,331,852 | BRA | |||||||
287,000 | Repsol YPF SA | 10,230,052 | SPA | |||||||
1,290,100 | Royal Dutch Shell PLC — Class B | 53,672,727 | BRI | |||||||
277,700 | Seadrill, Ltd.* | 6,776,476 | BER | |||||||
474,400 | Showa Shell Sekiyu KK | 5,265,685 | JPN | |||||||
150,712 | StatoilHydro ASA | 4,690,798 | NOR | |||||||
52,300 | Suncor Energy, Inc. | 5,718,317 | CDA | |||||||
245,600 | Total SA | 20,406,487 | FRA | |||||||
212,194,729 | ||||||||||
Paper and Forest Products — 0.0% | ||||||||||
228,000 | Oji Paper Company, Ltd. | 1,120,458 | JPN | |||||||
Pharmaceuticals/Research and Development — 3.9% | ||||||||||
310,500 | AstraZeneca PLC | 13,375,279 | BRI | |||||||
338,900 | Biovail Corp. | 4,587,572 | CDA | |||||||
249,912 | CSL, Ltd. | 7,978,665 | AUS | |||||||
680,800 | Elan Corp. PLC (ADR)* (8) | 14,963,984 | IRE | |||||||
285,300 | GlaxoSmithKline PLC | 7,263,674 | BRI | |||||||
387,006 | Sanofi-Aventis | 35,640,782 | FRA | |||||||
476,000 | Tanabe Seiyaku Company, Ltd. | 4,512,232 | JPN | |||||||
88,322,188 | ||||||||||
Printing and Publishing — 0.2% | ||||||||||
505,300 | Quebecor World, Inc.* (8) | 906,207 | CDA | |||||||
439,000 | Toppan Printing Company, Ltd. | 4,318,677 | JPN | |||||||
5,224,884 | ||||||||||
Real Estate Development and Services — 0.3% | ||||||||||
323,000 | Sun Hung Kai Properties, Ltd. | 6,859,825 | HNG | |||||||
Retail — 2.4% | ||||||||||
1,044,493 | Arcandor AG* (8) | 24,800,119 | GER | |||||||
3,328,033 | Carphone Warehouse PLC | 22,822,376 | BRI | |||||||
1,912,500 | Dixons Group PLC | 3,778,470 | BRI | |||||||
590,900 | JJB Sports PLC | 1,452,663 | BRI | |||||||
10,300 | Valora Holding AG | 2,499,603 | SWI | |||||||
55,353,231 | ||||||||||
Retail: Restaurants — 0.1% | ||||||||||
112,200 | Plenus Company, Ltd. (8) | 1,570,790 | JPN | |||||||
Retail: Supermarkets — 1.9% | ||||||||||
4,530,287 | Tesco PLC | 43,038,354 | BRI | |||||||
Semiconductors — 1.4% | ||||||||||
3,834,701 | ARM Holdings PLC | 9,465,361 | BRI | |||||||
718,343 | ASML Holding NV | 22,748,488 | NET | |||||||
32,213,849 | ||||||||||
Telecommunications Equipment and Services — 9.2% | ||||||||||
3,064,800 | BT Group PLC | 16,639,907 | BRI | |||||||
159,600 | Elcoteq Network Corp. — Class A | 947,373 | FIN | |||||||
441,438 | France Telecom SA | 15,889,857 | FRA | |||||||
208,200 | Millicom International Cellular SA* (8) | 24,555,108 | LUX | |||||||
1,588,500 | MobileOne, Ltd. | 2,096,738 | SIN | |||||||
3,200 | Nippon Telegraph and Telephone Corp. | 16,012,174 | JPN | |||||||
1,059,565 | Nokia Oyj | 41,083,114 | FIN | |||||||
9,500 | NTT DoCoMo, Inc. | 15,817,034 | JPN | |||||||
202,800 | Orascom Telecom Holding SAE (GDR) | 16,224,000 | EGP | |||||||
59,400 | Research In Motion, Ltd.* | 6,735,960 | CDA | |||||||
17,000 | Swisscom AG | 6,636,930 | SWI | |||||||
837,506 | Telefonica SA | 27,207,849 | SPA |
181
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2007
Shares | Value | Country | ||||||||
Common Stocks (continued) | ||||||||||
Telecommunications Equipment and Services (continued) | ||||||||||
318,100 | Turkcell Iletisim Hizmetleri AS (ADR) | $ | 8,770,017 | TUR | ||||||
1,646,500 | Vodafone Group PLC | 6,155,188 | BRI | |||||||
395,600 | VTech Holdings, Ltd. | 2,841,152 | BER | |||||||
207,612,401 | ||||||||||
Toys — 0.6% | ||||||||||
23,700 | Nintendo Company, Ltd. | 14,192,633 | JPN | |||||||
Transportation — 0.8% | ||||||||||
2,535,000 | Neptune Orient Lines, Ltd. | 6,885,859 | SIN | |||||||
1,367,100 | Orient Overseas International, Ltd. | 10,116,407 | BER | |||||||
17,002,266 | ||||||||||
Utilities — 2.1% | ||||||||||
95,900 | ATCO, Ltd. — Class I | 5,364,648 | CDA | |||||||
97,400 | Hokkaido Electric Power Company, Inc. | 2,109,905 | JPN | |||||||
57,100 | Kyushu Electric Power Company, Inc. | 1,405,586 | JPN | |||||||
421,066 | Veolia Environment | 38,445,440 | FRA | |||||||
47,325,579 | ||||||||||
Total Common Stocks (Cost $1,844,885,583) | 2,234,296,543 | |||||||||
Principal | ||||||||||
Securities Lending Collateral — 6.7% | ||||||||||
$ | 150,909,501 | Securities Lending Collateral Investment (Note 4) (Cost $150,909,501) | 150,909,501 | USA | ||||||
Total Securities (Cost $1,995,795,084) | 2,385,206,044 | |||||||||
Repurchase Agreements — 1.0% | ||||||||||
21,533,562 | With State Street Bank and Trust, dated 12/31/07, 3.80%, due 01/02/08, repurchase proceeds at maturity $21,538,108 (Collateralized by various Fannie Mae Adjustable Rate Mortgages, 3.75%-4.28%, due 06/01/33-07/01/33, with a total value of $21,966,788) (Cost $21,533,562) | 21,533,562 | USA | |||||||
Total Investments — 106.3% (Cost $2,017,328,646) | 2,406,739,606 | |||||||||
Liabilities less other assets — (6.3)% | (142,678,092 | ) | ||||||||
Net Assets — 100.0% | $ | 2,264,061,514 | ||||||||
Gross unrealized appreciation | $ | 456,986,645 | ||
Gross unrealized depreciation | (72,013,926 | ) | ||
Net unrealized appreciation | $ | 384,972,719 | ||
182
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2007
Percent of Total | ||||
Country Composition | Investments at Value | |||
Australia (AUS) | 3.46 | % | ||
Austria (AST) | 0.38 | |||
Belgium (BEL) | 0.71 | |||
Bermuda (BER) | 2.04 | |||
Brazil (BRA) | 0.89 | |||
Canada (CDA) | 5.30 | |||
Cayman Islands (CAY) | 1.40 | |||
China (CHN) | 0.12 | |||
Denmark (DEN) | 1.97 | |||
Egypt (EGP) | 0.67 | |||
Finland (FIN) | 2.00 | |||
France (FRA) | 10.40 | |||
Germany (GER) | 7.61 | |||
Greece (GRC) | 0.60 | |||
Hong Kong (HNG) | 0.70 | |||
Ireland (IRE) | 1.41 | |||
Italy (ITA) | 2.40 | |||
Japan (JPN) | 12.02 | |||
Luxembourg (LUX) | 1.17 | |||
Norway (NOR) | 0.67 | |||
Portugal (POR) | 0.29 | |||
Russia (SUR) | 0.74 | |||
Singapore (SIN) | 0.55 | |||
South Korea (KOR) | 0.44 | |||
Spain (SPA) | 4.26 | |||
Sweden (SWE) | 1.20 | |||
Switzerland (SWI) | 7.47 | |||
Turkey (TUR) | 0.36 | |||
The Netherlands (NET) | 4.02 | |||
United Kingdom (BRI) | 17.58 | |||
United States (USA) | 7.17 | |||
Total Percentage | 100.00 | % | ||
183
PORTFOLIO OF INVESTMENTS
Footnotes: | ||
* | Non-income producing security. | |
144A | All or a portion of this security is a 144A or private placement security and can only be sold to qualified institutional buyers. Unless otherwise indicated, these securities have been determined to be liquid under procedures established by the Board of Trustees. |
1) | Variable rate security. The rate shown was in effect at December 31, 2007. | |
2) | Quarterly reset provision. The rate shown was in effect at December 31, 2007. | |
3) | Monthly reset provision. The rate shown was in effect at December 31, 2007. | |
4) | Security is segregated as collateral for written options. | |
5) | Security is segregated as initial margin for futures contracts. | |
6) | Security is segregated as collateral for swap contracts and/or for swaptions. | |
7) | Represents a zero coupon bond which will convert to an interest bearing security at a later date. | |
8) | All or part of this security is on loan. | |
9) | Bond is in default. | |
10) | Variable rate security. Interest rate is based on the credit rating of the issuer. The rate shown was in effect at December 31, 2007. | |
11) | Floating rate security. The interest rate is subject to change semi-annually based on the London Interbank Offered Rate (“LIBOR”). The rate shown was in effect at December 31, 2007. | |
12) | PIK (“Payment-In-Kind”) bond. These bonds pay interest in the form of additional bonds. | |
13) | Security was in bankruptcy reorganization at the time of maturity. Recovery will be determined at the conclusion of the bankruptcy. | |
14) | Fair valued at December 31, 2007. | |
Following are the market values (as determined by fair valuation) and the corresponding percentage of Portfolio net assets of all fair valued securities at December 31, 2007. |
Series | Market Value | Percentage | ||||||
High Yield Bond | $ | 6,519,188 | 1.21 | % |
15) | A portion of the market value of the repurchase agreement represents the investment of the $3,800,000 cash received as collateral for open swap contracts. | |
16) | Principal amount for this security is denominated in Euros. | |
17) | Principal amount for this security is denominated in Japanese Yen. | |
18) | Principal amount for this security is denominated in New Zealand Dollars. |
Abbreviations: | ||
ADR | American Depository Receipt. | |
FDR | Foreign Depository Receipt. | |
GDR | Global Depository Receipt. | |
IO | Interest Only represents the right to receive the monthly interest payment on an underlying pool of mortgage loans. The face amount shown represents the par value on the underlying pool. The yields on these securities generally exceed yields on other mortgage- backed securities because their cash flow patterns are more volatile and there is a greater risk that the initial investment will not be fully recouped. These securities are subject to accelerated principal paydowns as a result of prepayment or refinancing of the underlying pool of mortgage instruments. As a result, interest income may be reduced considerably. | |
TBA | To be announced. Securities are purchased on a forward commitment basis with approximate principal amount and general stated maturity date. The actual principal amount and maturity date will be determined upon settlement when the specific mortgage pools are assigned. | |
• Securities issued by companies registered outside the United States are denoted with their domestic country in parenthesis. | ||
• Fixed income securities designated as “perpetual” are securities that make (or are scheduled to make) a steady payment of interest. They do not have a maturity date, and the interest payments are indefinite. | ||
• Footnotes and abbreviations may or may not appear in each portfolio of investments. |
184
Money Market Series | ||||
Yankee Certificates of Deposit | 38.0 | % | ||
Repurchase Agreements/Cash Equivalents | 15.7 | |||
US Government Agency Securities | 14.4 | |||
Corporate Notes | 13.7 | |||
Commercial Paper | 11.9 | |||
Domestic Certificates of Deposit | 4.2 | |||
Time Deposit | 1.6 | |||
Other assets less liabilities | 0.5 | |||
100.0 | % | |||
High Quality Bond Series | ||||
Corporate Bonds and Notes | 58.8 | % | ||
US Treasury Securities | 17.7 | |||
US Government Agency Securities | 16.7 | |||
Securities Lending Collateral | 9.8 | |||
Short Term US Government Agency Securities | 3.0 | |||
Repurchase Agreements/Cash Equivalents | 1.7 | |||
Municipal Bonds | 0.8 | |||
Foreign Government Obligations | 0.5 | |||
Liabilities less other assets | (9.0 | ) | ||
100.0 | % | |||
Inflation-Protected Securities Series (1) | ||||
US Treasury Securities | 91.3 | % | ||
Securities Lending Collateral | 10.2 | |||
Repurchase Agreements/Cash Equivalents | 4.3 | |||
Corporate Bonds and Notes | 3.3 | |||
Liabilities less other assets | (9.1 | ) | ||
100.0 | % | |||
Core Bond Series | ||||
Corporate Bonds and Notes | 50.6 | % | ||
US Government Agency Securities | 43.0 | |||
US Treasury Securities | 3.7 | |||
Preferred Stocks | 2.4 | |||
Repurchase Agreements/Cash Equivalents | 1.7 | |||
Foreign Government Obligations | 1.2 | |||
Securities Lending Collateral | 0.9 | |||
Purchased Call Options | 0.4 | |||
Purchased Put Options | 0.1 | |||
Call Options Written | (0.0 | )* | ||
Securities Sold Short | (7.5 | ) | ||
Other assets less liabilities | 3.5 | |||
100.0 | % | |||
Total Return Bond Series | ||||
Corporate Bonds and Notes | 50.0 | % | ||
US Government Agency Securities | 47.8 | |||
US Treasury Securities | 14.8 | |||
Repurchase Agreement/Cash Equivalents | 11.2 | |||
Securities Lending Collateral | 6.2 | |||
Preferred Stocks | 0.6 | |||
Foreign Government Obligations | 0.4 | |||
Municipal Bonds | 0.2 | |||
Convertible Bonds | 0.0 | * | ||
Put Options Written | (0.0 | )* | ||
Call Options Written | (0.1 | ) | ||
Liabilities less other assets | (31.1 | ) | ||
100.0 | % | |||
High Yield Bond Series | ||||
Corporate Bonds and Notes | 80.0 | % | ||
Loan Participations | 11.5 | |||
Repurchase Agreements/Cash Equivalents | 5.1 | |||
Convertible Preferred Stocks | 0.8 | |||
Preferred Stocks | 0.5 | |||
Convertible Bonds | 0.3 | |||
Common Stocks | 0.2 | |||
Warrants | 0.1 | |||
Other assets less liabilities | 1.5 | |||
100.0 | % | |||
Balanced Series | ||||
Common Stocks | 60.2 | % | ||
Corporate Bonds and Notes | 23.7 | |||
US Government Agency Securities | 21.6 | |||
Securities Lending Collateral | 3.7 | |||
US Treasury Securities | 0.5 | |||
Municipal Bonds | 0.4 | |||
Repurchase Agreements/Cash Equivalents | 0.3 | |||
Preferred Stocks | 0.2 | |||
Foreign Government Obligations | 0.2 | |||
Convertible Bonds | 0.0 | * | ||
Put Options Written | (0.0 | )* | ||
Call Options Written | (0.0 | )* | ||
Liabilities less other assets | (10.8 | ) | ||
100.0 | % | |||
185
PORTFOLIO COMPOSITION (Continued)
December 31, 2007
Value & Income Series | ||||
Common Stocks | 99.1 | % | ||
Securities Lending Collateral | 6.5 | |||
Repurchase Agreements/Cash Equivalents | 2.1 | |||
Liabilities less other assets | (7.7 | ) | ||
100.0 | % | |||
Value Series | ||||
Common Stocks | 95.5 | % | ||
Securities Lending Collateral | 6.0 | |||
Repurchase Agreements/Cash Equivalents | 4.7 | |||
Liabilities less other assets | (6.2 | ) | ||
100.0 | % | |||
Growth & Income Series | ||||
Common Stocks | 99.2 | % | ||
Securities Lending Collateral | 5.5 | |||
Repurchase Agreements/Cash Equivalents | 0.8 | |||
Liabilities less other assets | (5.5 | ) | ||
100.0 | % | |||
Equity Growth Series | ||||
Common Stocks | 96.4 | % | ||
Securities Lending Collateral | 4.4 | |||
Repurchase Agreements/Cash Equivalents | 3.0 | |||
Liabilities less other assets | (3.8 | ) | ||
100.0 | % | |||
Aggressive Equity Series | ||||
Common Stocks | 99.3 | % | ||
Securities Lending Collateral | 7.4 | |||
Repurchase Agreements/Cash Equivalents | 1.0 | |||
Liabilities less other assets | (7.7 | ) | ||
100.0 | % | |||
Mid-Cap Value Series | ||||
Common Stocks | 96.9 | % | ||
Securities Lending Collateral | 13.7 | |||
Repurchase Agreements/Cash Equivalents | 3.1 | |||
Short Term US Government Agency Securities | 0.6 | |||
Convertible Bonds | 0.0 | * | ||
Liabilities less other assets | (14.3 | ) | ||
100.0 | % | |||
Mid-Cap Growth Series | ||||
Common Stocks | 99.1 | % | ||
Securities Lending Collateral | 13.7 | |||
Repurchase Agreements/Cash Equivalents | 1.1 | |||
Liabilities less other assets | (13.9 | ) | ||
100.0 | % | |||
Small-Cap Value Series | ||||
Common Stocks | 98.0 | % | ||
Securities Lending Collateral | 22.6 | |||
Repurchase Agreements/Cash Equivalents | 1.9 | |||
Liabilities less other assets | (22.5 | ) | ||
100.0 | % | |||
Special Equity Series | ||||
Common Stocks | 97.0 | % | ||
Securities Lending Collateral | 23.7 | |||
Repurchase Agreements/Cash Equivalents | 3.2 | |||
Short Term US Treasury Securities | 0.1 | |||
Liabilities less other assets | (24.0 | ) | ||
100.0 | % | |||
Small-Cap Growth Series | ||||
Common Stocks | 98.6 | % | ||
Securities Lending Collateral | 19.2 | |||
Repurchase Agreements/Cash Equivalents | 2.0 | |||
Liabilities less other assets | (19.8 | ) | ||
100.0 | % | |||
International Equity Series | ||||
Common Stocks | 98.6 | % | ||
Securities Lending Collateral | 6.7 | |||
Repurchase Agreements/Cash Equivalents | 1.0 | |||
Liabilities less other assets | (6.3 | ) | ||
100.0 | % | |||
(1) | Formerly, Intermediate Government Bond Series. |
* | Amount rounds to less than 0.05%. |
186
NOTES TO FINANCIAL STATEMENTS
187
NOTES TO FINANCIAL STATEMENTS (Continued)
188
NOTES TO FINANCIAL STATEMENTS (Continued)
189
NOTES TO FINANCIAL STATEMENTS (Continued)
Inflation-Protected | ||||||||||||||||
Securities | Core Bond | |||||||||||||||
Number of | Number of | |||||||||||||||
Contracts | Premiums | Contracts | Premiums | |||||||||||||
Written call options outstanding at December 31, 2006 | — | $ | — | 34,200,000 | $ | 229,140 | ||||||||||
Call options written | 16 | 10,035 | 217 | 123,969 | ||||||||||||
Call options terminated in closing purchase transactions | (16 | ) | (10,035 | ) | (34,200,000 | ) | (229,140 | ) | ||||||||
Call options expire | — | — | — | — | ||||||||||||
Written call options outstanding at December 31, 2007 | — | $ | — | 217 | $ | 123,969 | ||||||||||
Written put options outstanding at December 31, 2006 | — | $ | — | 34,200,000 | $ | 372,780 | ||||||||||
Put options written | 16 | 7,955 | — | — | ||||||||||||
Put options terminated in closing purchase transactions | (16 | ) | (7,955 | ) | (34,200,000 | ) | (372,780 | ) | ||||||||
Put options expired | — | — | — | — | ||||||||||||
Written put options outstanding at December 31, 2007 | — | $ | — | — | $ | — | ||||||||||
Total Return | ||||||||||||||||
Bond | Balanced | |||||||||||||||
Number of | Number of | |||||||||||||||
Contracts | Premiums | Contracts | Premiums | |||||||||||||
Written call options outstanding at December 31, 2006 | 26 | $ | 6,964 | 42 | $ | 11,337 | ||||||||||
Call options written | 473 | 239,229 | 260 | 124,950 | ||||||||||||
Call options terminated in closing purchase transactions | (358 | ) | (144,460 | ) | (246 | ) | (96,098 | ) | ||||||||
Call options expire | — | — | — | — | ||||||||||||
Written call options outstanding at December 31, 2007 | 141 | $ | 101,733 | 56 | $ | 40,189 | ||||||||||
Written put options outstanding at December 31, 2006 | 51 | $ | 15,432 | 82 | $ | 24,809 | ||||||||||
Put options written | 593 | 295,645 | 286 | 129,320 | ||||||||||||
Put options terminated in closing purchase transactions | (526 | ) | (214,542 | ) | (325 | ) | (118,875 | ) | ||||||||
Put options expire | — | — | — | — | ||||||||||||
Written put options outstanding at December 31, 2007 | 118 | $ | 96,535 | 43 | $ | 35,254 | ||||||||||
190
NOTES TO FINANCIAL STATEMENTS (Continued)
Value as of | Net Unrealized | |||||||||||||
Number of | Expiration | December 31, | Appreciation/ | |||||||||||
Series | Contracts | Description | Date | 2007 | (Depreciation) | |||||||||
Inflation-Protected Securities | 9 Long | 90 Day Euro Future | September 2008 | $ | 2,171,475 | $ | 1,611 | |||||||
9 Long | US Long Bond Future | March 2008 | 1,047,375 | 7,108 | ||||||||||
53 Long | US Treasury Note 2 Year Future | March 2008 | 11,143,250 | 10,283 | ||||||||||
27 Long | US Treasury Note 5 Year Future | March 2008 | 2,977,593 | 19,588 | ||||||||||
9 Short | 90 Day Euro Future | September 2009 | 2,167,875 | (729 | ) | |||||||||
53 Short | US Treasury Note 10 Year Future | March 2008 | 6,009,703 | 2,149 | ||||||||||
$ | 40,010 | |||||||||||||
Core Bond | 324 Long | 90 Day Euro Future | September 2008 | $ | 78,173,100 | $ | 25,244 | |||||||
174 Long | Euribor Future | March 2008 | 60,718,132 | (57,244 | ) | |||||||||
179 Long | Euro Bobl Future | March 2008 | 28,248,648 | (412,551 | ) | |||||||||
348 Long | Euro Bund Future | March 2008 | 57,549,622 | (1,291,444 | ) | |||||||||
1,842 Long | US Treasury Note 10 Year Future | March 2008 | 208,865,531 | 358,692 | ||||||||||
324 Short | 90 Day Euro Future | September 2009 | 78,043,500 | (196 | ) | |||||||||
285 Short | US Long Bond Future | March 2008 | 33,166,875 | (59,634 | ) | |||||||||
3,888 Short | US Treasury Note 5 Year Future | March 2008 | 428,773,500 | (1,522,289 | ) | |||||||||
$ | (2,959,422 | ) | ||||||||||||
191
NOTES TO FINANCIAL STATEMENTS (Continued)
Value as of | Net Unrealized | |||||||||||||
Number of | Expiration | December 31, | Appreciation/ | |||||||||||
Series | Contracts | Description | Date | 2007 | (Depreciation) | |||||||||
Total Return Bond | 44 Long | 90 Day Euro Future | March 2008 | $ | 10,534,150 | $ | 16,830 | |||||||
32 Long | 90 Day Euro Future | June 2008 | 7,700,400 | 123,040 | ||||||||||
72 Long | 90 Day Euro Future | September 2008 | 17,371,800 | 21,940 | ||||||||||
94 Long | Euribor Future | June 2008 | 32,836,108 | (81,886 | ) | |||||||||
144 Long | Euro Bund Future | March 2008 | 23,813,636 | (479,796 | ) | |||||||||
133 Long | US Long Bond Future | March 2008 | 15,477,875 | (158,438 | ) | |||||||||
103 Long | US Treasury Note 5 Year Future | March 2008 | 11,358,969 | 61,313 | ||||||||||
11 Short | US Treasury Note 2 Year Future | March 2008 | 2,312,750 | (5,555 | ) | |||||||||
371 Short | US Treasury Note 10 Year Future | March 2008 | 42,067,922 | 8,809 | ||||||||||
$ | (493,743 | ) | ||||||||||||
Balanced | 21 Long | 90 Day Euro Future | March 2008 | $ | 5,027,663 | $ | 7,045 | |||||||
33 Long | 90 Day Euro Future | June 2008 | 11,527,570 | (28,746 | ) | |||||||||
23 Long | 90 Day Euro Future | June 2008 | 5,534,663 | 71,635 | ||||||||||
29 Long | 90 Day Euro Future | September 2008 | 6,996,975 | 10,443 | ||||||||||
5 Long | 90 Day Euro Future | December 2008 | 1,207,875 | 4,100 | ||||||||||
5 Long | 90 Day Euro Future | March 2009 | 1,207,875 | 4,850 | ||||||||||
5 Long | 90 Day Euro Future | June 2009 | 1,206,375 | 4,975 | ||||||||||
5 Long | 90 Day Euro Future | September 2009 | 1,204,375 | 4,663 | ||||||||||
58 Long | Euro Bund Future | March 2008 | 9,591,604 | (193,310 | ) | |||||||||
55 Long | US Long Bond Future | March 2008 | 6,400,625 | (54,658 | ) | |||||||||
11 Long | US Treasury Note 2 Year Future | March 2008 | 2,312,750 | 382 | ||||||||||
62 Short | US Treasury Note 5 Year Future | March 2008 | 6,837,437 | (13,654 | ) | |||||||||
140 Short | US Treasury Note 10 Year Future | March 2008 | 15,874,688 | 8,456 | ||||||||||
$ | (173,819 | ) | ||||||||||||
Growth & Income | 1 Long | NASDAQ 100 Future | March 2008 | $ | 210,475 | $ | (2,429 | ) | ||||||
4 Long | S&P 500 Future | March 2008 | 1,477,200 | (12,365 | ) | |||||||||
$ | (14,794 | ) | ||||||||||||
Special Equity | 9 Long | Russell 2000 Future | March 2008 | $ | 3,474,900 | $ | 84,130 | |||||||
192
NOTES TO FINANCIAL STATEMENTS (Continued)
193
NOTES TO FINANCIAL STATEMENTS (Continued)
Payments Made by | Payments Received | Termination | ||||||||||||||
Swap Counterparty | the Series | by the Series | Date | Notional Amount | Value | |||||||||||
Citigroup Global Markets | 3 month LIBOR | 5.53% semi-annual | 06/05/17 | $ | 17,800,000 | $ | 1,216,808 | |||||||||
Citigroup Global Markets | 3 month LIBOR | 5.27% semi-annual | 08/06/12 | 74,800,000 | 4,577,760 | |||||||||||
Citigroup Global Markets | 3 month LIBOR | 5.32% semi-annual | 08/28/17 | 69,000,000 | 4,561,590 | |||||||||||
Citigroup Global Markets | 5.64% semi-annual | 3 month LIBOR | 07/05/17 | 38,000,000 | (3,513,959 | ) | ||||||||||
Citigroup Global Markets | 3 month LIBOR | 5.18% semi-annual | 09/18/10 | 100,000,000 | 4,579,000 | |||||||||||
Citigroup Global Markets | 3 month LIBOR | 5.16% semi-annual | 11/07/10 | 66,900,000 | 2,289,318 | |||||||||||
Citigroup Global Markets | 3 month LIBOR | 4.95% semi-annual | 12/12/11 | 23,600,000 | 754,256 | |||||||||||
Citigroup Global Markets | 3 month LIBOR | 5.31% semi-annual | 10/16/17 | 133,900,000 | (6,817,023 | ) | ||||||||||
Deutsche Bank AG | 3 month STIBOR | 4.49% semi-annual | 08/28/10 | 332,900,000 | (1) | 302,801 | ||||||||||
Deutsche Bank AG | 5.78% semi-annual | 3 month LIBOR | 07/09/17 | 73,200,000 | (7,560,681 | ) | ||||||||||
Deutsche Bank AG | 4.98% semi-annual | 3 month LIBOR | 08/29/10 | 49,919,000 | (1,996,261 | ) | ||||||||||
Deutsche Bank AG | 3 month LIBOR | 4.86% semi-annual | 10/19/12 | 56,000,000 | 1,609,356 | |||||||||||
Deutsche Bank AG | 3 month LIBOR | 4.03% semi-annual | 12/11/09 | 89,100,000 | 222,420 | |||||||||||
Goldman Sachs Capital Markets, LP | 5.07% semi-annual | 3 month LIBOR | 04/30/09 | 63,300,000 | (922,281 | ) | ||||||||||
Goldman Sachs Capital Markets, LP | 3 month LIBOR | 5.41% semi-annual | 04/30/27 | 8,300,000 | 464,151 | |||||||||||
Goldman Sachs Capital Markets, LP | 3 month LIBOR | 5.50% semi-annual | 07/12/12 | 220,000,000 | 15,578,200 | |||||||||||
Goldman Sachs Capital Markets, LP | 3 month LIBOR | 4.11% semi-annual | 12/12/09 | 69,500,000 | 285,645 | |||||||||||
Wachovia Securities | 3 month LIBOR | 5.20% semi-annual | 09/07/11 | 100,000,000 | 5,300,000 | |||||||||||
$ | 20,931,100 | |||||||||||||||
Payments | Payments | |||||||||||||||||||
Referenced | Made by the | Received by | Termination | Notional | ||||||||||||||||
Swap Counterparty | Obligation | Series | the Series | Date | Amount | Value | ||||||||||||||
Citigroup Global Markets | Lehman Collaterized Mortgage-Backed Securities US Investment-Grade 8.5+ Index | 1.33% monthly | Lehman Collaterized Mortgage-Backed Securities US Investment-Grade 8.5+ Index + 70 bps. | 02/01/08 | $ | 25,965,000 | $ | 477,683 | ||||||||||||
Deutsche Bank AG | Lehman Collaterized Mortgage-Backed Securities US Investment-Grade 8.5+ Index | 1.11% monthly | Lehman Collaterized Mortgage-Backed Securities US Investment-Grade 8.5+ Index + 73.1bps. | 02/01/08 | 25,965,000 | 477,683 | ||||||||||||||
$ | 955,366 | |||||||||||||||||||
194
NOTES TO FINANCIAL STATEMENTS (Continued)
Payments | ||||||||||||||||
Referenced | Receivable by | Termination | Notional | |||||||||||||
Swap Counterparty | Obligation | the Series | Date | Amount | Value | |||||||||||
Deutsche Bank AG | Lehman Brothers Holdings, Inc., 6.63%, 01/18/12 | 1.12% annual | 09/20/12 | $ | 5,725,000 | $ | (25,992 | ) | ||||||||
Deutsche Bank AG | Lehman Brothers Holdings, Inc., 6.63%, 01/18/12 | 0.95% annual | 09/20/12 | 2,010,000 | (23,356 | ) | ||||||||||
Goldman Sachs Capital Markets, LP | Lehman Brothers Holdings, Inc., 6.63%, 01/18/12 | 1.20% annual | 09/20/12 | 3,755,000 | (4,581 | ) | ||||||||||
$ | (53,929 | ) | ||||||||||||||
Payments | ||||||||||||||||
Referenced | Payable by | Termination | Notional | |||||||||||||
Swap Counterparty | Obligation | the Series | Date | Amount | Value | |||||||||||
Deutsche Bank AG | iTraxx Europe Crossover Series 8, Version 1(3) | 3.75% annual | 12/20/12 | 23,000,000 | (2) | $ | (524,942 | ) |
(1) | Notional amount expressed in Swedish Krona. |
195
NOTES TO FINANCIAL STATEMENTS (Continued)
Security Description | Amount | |||
Community Health Systems, Inc. | $ | 56,922 |
196
NOTES TO FINANCIAL STATEMENTS (Continued)
Total Value of Cash | ||||||||
Date | and Securities Transferred | Gain on Transfer | ||||||
March 7, 2006 | $ | 80,105,926 | $ | 14,871,899 |
197
NOTES TO FINANCIAL STATEMENTS (Continued)
Investment | ||||
TFLIC Sub-account | in Series | |||
Money Market | 6.63 | % | ||
High Quality Bond | 9.82 | |||
Inflation-Protected Securities | 27.57 | |||
Core Bond | 7.76 | |||
High Yield Bond | 5.67 | |||
Balanced | 31.21 | |||
Value & Income | 18.31 | |||
Growth & Income | 25.16 | |||
Equity Growth | 15.71 | |||
Aggressive Equity | 25.16 | |||
Mid-Cap Value | 3.84 | |||
Mid-Cap Growth | 0.55 | |||
Small-Cap Value | 0.18 | |||
Special Equity | 24.44 | |||
Small-Cap Growth | 0.03 | |||
International Equity | 11.99 |
198
NOTES TO FINANCIAL STATEMENTS (Continued)
Advisor | ||||||
Series | Series Subadvisor | Fee (%) | ||||
Money Market | GE Asset Management, Inc. | 0.25 | ||||
High Quality Bond | Merganser Capital Management, LP | 0.35 | ||||
Inflation-Protected Securities | BlackRock Financial Management, Inc. | 0.35 | (1) | |||
Core Bond | BlackRock Financial Management, Inc. | 0.35 | ||||
Total Return Bond | Western Asset Management Company | 0.35 | (1) | |||
Western Asset Management Company, Ltd. | ||||||
High Yield Bond | Eaton Vance Management | 0.55 | ||||
Balanced | Goldman, Sachs Asset Management, LP | 0.45 | (1) | |||
Western Asset Management Company | ||||||
Western Asset Management Company, Ltd. | ||||||
Value & Income | TCW Investment Management Company | 0.45 | (1) | |||
AllianceBernstein, LP | ||||||
Value | Hotchkis and Wiley Capital Management, LLC | 0.50 | (1) | |||
Growth & Income | BlackRock Financial Management, Inc. | 0.60 | (1) | |||
Goldman, Sachs Asset Management, LP | ||||||
Aronson+Johnson+Ortiz, LP | ||||||
Equity Growth | OFI Institutional Asset Management, Inc. | 0.62 | (1) | |||
Wellington Management Company, LLP | ||||||
Marsico Capital Management, LLC | ||||||
Aggressive Equity | Turner Investment Partners, Inc. | 0.77 | (1) | |||
Mid-Cap Value | Cramer Rosenthal McGlynn, LLC (CRM) | 0.67 | (1) | |||
LSV Asset Management | ||||||
RiverSource Investments, LLC | ||||||
Mid-Cap Growth | Columbus Circle Investors | 0.72 | (1) | |||
Small-Cap Value | OFI Institutional Asset Management, Inc. | 0.82 | (1) | |||
Mesirow Financial Investment Management, Inc. | ||||||
Special Equity | Mazama Capital Management | 0.80 | (1) | |||
INVESCO Institutional (NA), Inc. | ||||||
Wellington Management Company, LLP | ||||||
RS Investment Management Company, LLC | ||||||
Small-Cap Growth | Perimeter Capital Management | 0.87 | (1) | |||
International Equity | LSV Asset Management | 0.75 | (1) | |||
Wellington Management Company, LLP |
(1) | Advisor is currently voluntarily waiving a portion of its fee. |
199
NOTES TO FINANCIAL STATEMENTS (Continued)
Series | Expense Cap | |
Money Market | 30 basis points (b.p.) | |
High Quality Bond | 40 b.p. | |
Inflation-Protected Securities | 40 b.p. | |
Core Bond | 40 b.p. | |
Total Return Bond | 40 b.p. | |
High Yield Bond | 60 b.p. | |
Balanced | 50 b.p. | |
Value & Income | 50 b.p. | |
Value | 55 b.p. | |
Growth & Income | 65 b.p. | |
Equity Growth | 65 b.p. | |
Aggressive Equity | 80 b.p. | |
Mid-Cap Value | 70 b.p. | |
Mid-Cap Growth | 75 b.p. | |
Small-Cap Value | 85 b.p. | |
Special Equity | 85 b.p. | |
Small-Cap Growth | 90 b.p. | |
International Equity | 90 b.p. |
200
NOTES TO FINANCIAL STATEMENTS (Continued)
Market | Cash Collateral | |||||||
Series | Value | Received | ||||||
High Quality Bond | $ | 80,092,350 | $ | 81,761,901 | ||||
Inflation-Protected Securities | 14,835,045 | 15,142,100 | ||||||
Core Bond | 20,076,444 | 20,483,129 | ||||||
Total Return Bond | 23,638,667 | 24,138,321 | ||||||
Balanced | 11,325,796 | 11,679,276 | ||||||
Value & Income | 192,415,438 | 206,427,670 | ||||||
Value | 8,013,400 | 8,440,760 | ||||||
Growth & Income | 47,886,255 | 49,509,121 | ||||||
Equity Growth | 103,223,785 | 106,513,377 | ||||||
Aggressive Equity | 30,939,438 | 31,770,694 | ||||||
Mid-Cap Value | 129,930,675 | 135,672,142 | ||||||
Mid-Cap Growth | 44,940,888 | 46,035,620 | ||||||
Small-Cap Value | 39,841,295 | 41,860,487 | ||||||
Special Equity | 216,165,314 | 225,270,316 | ||||||
Small-Cap Growth | 30,821,262 | 32,007,250 | ||||||
International Equity | 144,064,880 | 150,909,501 |
201
NOTES TO FINANCIAL STATEMENTS (Continued)
High | Inflation- | Total | ||||||||||||||||||||||||||
Quality | Protected | Core | Return | Value & | ||||||||||||||||||||||||
Bond | Securities | Bond | Bond | Balanced | Income | Value | ||||||||||||||||||||||
Abbey National PLC, Time Deposit, 5.16%, 01/07/08 | $ | 2,409,578 | $ | 446,249 | $ | 603,650 | $ | 711,373 | $ | 344,197 | $ | 6,083,561 | $ | 248,755 | ||||||||||||||
Abbey National PLC, Time Deposit, 5.00%, 01/09/08 | 1,721,127 | 318,748 | 431,180 | 508,123 | 245,854 | 4,345,400 | 177,682 | |||||||||||||||||||||
ABN Amro Bank NV — New York Branch, Time Deposit, 5.15%, 01/03/08 | 1,376,901 | 254,999 | 344,944 | 406,498 | 196,683 | 3,476,321 | 142,146 | |||||||||||||||||||||
ABN Amro Bank NV — New York Branch, Time Deposit, 5.16%, 01/04/08 | 1,376,901 | 254,999 | 344,944 | 406,498 | 196,683 | 3,476,321 | 142,146 | |||||||||||||||||||||
ABN Amro Bank NV — New York Branch, Time Deposit, 5.19%, 01/04/08 | 1,721,127 | 318,748 | 431,180 | 508,123 | 245,854 | 4,345,400 | 177,682 | |||||||||||||||||||||
Bank of Nova Scotia, Time Deposit, 5.15%, 01/03/08 | 688,451 | 127,499 | 172,472 | 203,249 | 98,342 | 1,738,160 | 71,073 | |||||||||||||||||||||
Bank of Nova Scotia, Time Deposit, 4.96%, 01/17/08 | 1,721,127 | 318,748 | 431,180 | 508,123 | 245,854 | 4,345,400 | 177,682 | |||||||||||||||||||||
Bank of Nova Scotia, Time Deposit, 4.85%, 01/22/08 | 1,721,127 | 318,748 | 431,180 | 508,123 | 245,854 | 4,345,400 | 177,682 | |||||||||||||||||||||
Barclays Bank PLC, Time Deposit, 5.35%, 01/04/08 | 1,376,901 | 254,999 | 344,944 | 406,498 | 196,683 | 3,476,321 | 142,146 | |||||||||||||||||||||
Barclays Bank PLC, Time Deposit, 5.00%, 01/22/08 | 688,451 | 127,499 | 172,472 | 203,249 | 98,342 | 1,738,160 | 71,073 | |||||||||||||||||||||
Barclays Bank PLC, Time Deposit, 4.88%, 02/06/08 | 2,065,352 | 382,498 | 517,415 | 609,748 | 295,025 | 5,214,481 | 213,218 | |||||||||||||||||||||
Barclays Bank PLC, Time Deposit, 5.15%, 02/12/08 | 688,451 | 127,499 | 172,472 | 203,249 | 98,342 | 1,738,160 | 71,073 | |||||||||||||||||||||
BNP Paribas, Time Deposit, 5.15%, 01/02/08 | 1,032,676 | 191,249 | 258,708 | 304,874 | 147,513 | 2,607,240 | 106,609 | |||||||||||||||||||||
BNP Paribas, Time Deposit, 5.20%, 01/11/08 | 2,065,352 | 382,498 | 517,415 | 609,748 | 295,025 | 5,214,481 | 213,218 | |||||||||||||||||||||
BNP Paribas, Time Deposit, 5.01%, 01/16/08 | 1,376,901 | 254,999 | 344,944 | 406,498 | 196,683 | 3,476,321 | 142,146 | |||||||||||||||||||||
Calyon, Time Deposit, 4.25%, 01/02/08 | 8,605,634 | 1,593,743 | 2,155,897 | 2,540,616 | 1,229,272 | 21,727,003 | 888,410 | |||||||||||||||||||||
Calyon, Time Deposit, 5.12%, 03/03/08 | 1,721,127 | 318,748 | 431,180 | 508,123 | 245,854 | 4,345,400 | 177,682 | |||||||||||||||||||||
Dexia SA, Time Deposit, 4.76%, 01/03/08 | 1,032,676 | 191,249 | 258,708 | 304,874 | 147,513 | 2,607,240 | 106,609 | |||||||||||||||||||||
Dexia SA, Time Deposit, 4.82%, 01/04/08 | 1,721,127 | 318,748 | 431,180 | 508,123 | 245,854 | 4,345,400 | 177,682 | |||||||||||||||||||||
Fifth Third Bancorp, Time Deposit, 2.75%, 01/02/08 | 1,721,127 | 318,748 | 431,180 | 508,123 | 245,854 | 4,345,400 | 177,682 | |||||||||||||||||||||
Fortis Bank SA NV, Time Deposit, 4.30%, 01/02/08 | 3,442,254 | 637,497 | 862,359 | 1,016,247 | 491,709 | 8,690,801 | 355,364 | |||||||||||||||||||||
Fortis Bank SA NV, Time Deposit, 4.60%, 01/07/08 | 3,442,254 | 637,497 | 862,359 | 1,016,247 | 491,709 | 8,690,801 | 355,364 | |||||||||||||||||||||
HBOS Halifax Bank of Scotland, Time Deposit, 5.15%, 01/02/08 | 1,721,127 | 318,748 | 431,180 | 508,123 | 245,854 | 4,345,400 | 177,682 | |||||||||||||||||||||
HBOS Halifax Bank of Scotland, Time Deposit, 4.87%, 02/11/08 | 1,376,901 | 254,999 | 344,944 | 406,498 | 196,683 | 3,476,321 | 142,146 | |||||||||||||||||||||
JP Morgan Chase & Company, Time Deposit, 5.15%, 02/12/08 | 1,721,127 | 318,748 | 431,180 | 508,123 | 245,854 | 4,345,400 | 177,682 | |||||||||||||||||||||
Lloyds TSB Bank PLC, Time Deposit, 5.15%, 01/03/08 | 1,376,901 | 254,999 | 344,944 | 406,498 | 196,683 | 3,476,321 | 142,146 | |||||||||||||||||||||
Lloyds TSB Bank PLC, Time Deposit, 4.75%, 01/24/08 | 2,065,352 | 382,498 | 517,415 | 609,748 | 295,025 | 5,214,481 | 213,218 | |||||||||||||||||||||
Rabobank Nederland, Time Deposit, 5.08%, 01/09/08 | 1,032,676 | 191,249 | 258,708 | 304,874 | 147,513 | 2,607,240 | 106,609 | |||||||||||||||||||||
Rabobank Nederland, Time Deposit, 4.88%, 01/10/08 | 1,721,127 | 318,748 | 431,180 | 508,123 | 245,854 | 4,345,400 | 177,682 | |||||||||||||||||||||
Reserve Primary Money Market Fund | 3,098,029 | 573,747 | 776,122 | 914,622 | 442,538 | 7,821,721 | 319,828 | |||||||||||||||||||||
Royal Bank of Scotland PLC, Time Deposit, 5.00%, 01/22/08 | 2,065,352 | 382,498 | 517,415 | 609,748 | 295,025 | 5,214,481 | 213,218 | |||||||||||||||||||||
Royal Bank of Scotland PLC, Time Deposit, 4.83%, 02/05/08 | 1,376,901 | 254,999 | 344,944 | 406,498 | 196,683 | 3,476,321 | 142,146 | |||||||||||||||||||||
Royal Bank of Scotland PLC, Time Deposit, 4.70%, 02/25/08 | 688,451 | 127,499 | 172,472 | 203,249 | 98,342 | 1,738,160 | 71,073 | |||||||||||||||||||||
Societe Generale — New York Branch, Time Deposit, 5.15%, 01/02/08 | 1,032,676 | 191,249 | 258,708 | 304,874 | 147,513 | 2,607,240 | 106,609 | |||||||||||||||||||||
Societe Generale — New York Branch, Time Deposit, 4.90%, 02/29/08 | 1,032,676 | 191,249 | 258,708 | 304,874 | 147,513 | 2,607,240 | 106,609 | |||||||||||||||||||||
Societe Generale — New York Branch, Time Deposit, 5.15%, 03/03/08 | 1,032,676 | 191,249 | 258,708 | 304,874 | 147,513 | 2,607,240 | 106,609 | |||||||||||||||||||||
Svenska Handlesbanken, Time Deposit, 4.25%, 01/02/08 | 6,720,771 | 1,244,671 | 1,683,698 | 1,984,153 | 960,028 | 16,968,209 | 693,824 | |||||||||||||||||||||
Toronto Dominion Bank, Time Deposit, 5.10%, 01/10/08 | 2,065,352 | 382,498 | 517,415 | 609,748 | 295,025 | 5,214,481 | 213,218 | |||||||||||||||||||||
Toronto Dominion Bank, Time Deposit, 5.05%, 01/11/08 | 688,451 | 127,499 | 172,472 | 203,249 | 98,342 | 1,738,160 | 71,073 | |||||||||||||||||||||
Toronto Dominion Bank, Time Deposit, 4.80%, 02/11/08 | 2,065,352 | 382,498 | 517,415 | 609,748 | 295,025 | 5,214,481 | 213,218 | |||||||||||||||||||||
UBS AG, Time Deposit, 4.92%, 01/11/08 | 2,409,578 | 446,249 | 603,650 | 711,373 | 344,197 | 6,083,561 | 248,755 | |||||||||||||||||||||
Wells Fargo & Company, Floating Rate Note, 4.60%(1), 01/02/08 | 1,032,676 | 191,249 | 258,708 | 304,874 | 147,513 | 2,607,240 | 106,609 | |||||||||||||||||||||
Wells Fargo & Company, Floating Rate Note, 4.75%(1), 01/08/08 | 1,721,127 | 318,748 | 431,180 | 508,123 | 245,854 | 4,345,400 | 177,682 | |||||||||||||||||||||
$ | 81,761,901 | $ | 15,142,100 | $ | 20,483,129 | $ | 24,138,321 | $ | 11,679,276 | $ | 206,427,670 | $ | 8,440,760 | |||||||||||||||
(1) | Variable Rate Security. The rate shown was in effect at December 31, 2007. |
202
Growth & | Equity | Aggressive | Mid-Cap | Mid-Cap | Small-Cap | Special | Small-Cap | International | ||||||||||||||||||||||||||
Income | Growth | Equity | Value | Growth | Value | Equity | Growth | Equity | ||||||||||||||||||||||||||
$ | 1,459,066 | $ | 3,139,020 | $ | 936,303 | $ | 3,998,348 | $ | 1,356,700 | $ | 1,233,655 | $ | 6,638,865 | $ | 943,275 | $ | 4,447,403 | |||||||||||||||||
1,042,191 | 2,242,157 | 668,788 | 2,855,963 | 969,072 | 881,183 | 4,742,047 | 673,768 | 3,176,717 | ||||||||||||||||||||||||||
833,752 | 1,793,726 | 535,031 | 2,284,770 | 775,257 | 704,947 | 3,793,638 | 539,014 | 2,541,373 | ||||||||||||||||||||||||||
833,752 | 1,793,726 | 535,031 | 2,284,770 | 775,257 | 704,947 | 3,793,638 | 539,014 | 2,541,373 | ||||||||||||||||||||||||||
1,042,191 | 2,242,157 | 668,788 | 2,855,963 | 969,072 | 881,183 | 4,742,047 | 673,768 | 3,176,717 | ||||||||||||||||||||||||||
416,876 | 896,863 | 267,515 | 1,142,385 | 387,629 | 352,473 | 1,896,819 | 269,507 | 1,270,687 | ||||||||||||||||||||||||||
1,042,191 | 2,242,157 | 668,788 | 2,855,963 | 969,072 | 881,183 | 4,742,047 | 673,768 | 3,176,717 | ||||||||||||||||||||||||||
1,042,191 | 2,242,157 | 668,788 | 2,855,963 | 969,072 | 881,183 | 4,742,047 | 673,768 | 3,176,717 | ||||||||||||||||||||||||||
833,752 | 1,793,726 | 535,031 | 2,284,770 | 775,257 | 704,947 | 3,793,638 | 539,014 | 2,541,373 | ||||||||||||||||||||||||||
416,876 | 896,863 | 267,515 | 1,142,385 | 387,629 | 352,473 | 1,896,819 | 269,507 | 1,270,687 | ||||||||||||||||||||||||||
1,250,629 | 2,690,589 | 802,546 | 3,427,156 | 1,162,886 | 1,057,420 | 5,690,457 | 808,521 | 3,812,060 | ||||||||||||||||||||||||||
416,876 | 896,863 | 267,515 | 1,142,385 | 387,629 | 352,473 | 1,896,819 | 269,507 | 1,270,687 | ||||||||||||||||||||||||||
625,314 | 1,345,294 | 401,273 | 1,713,578 | 581,443 | 528,710 | 2,845,228 | 404,261 | 1,906,030 | ||||||||||||||||||||||||||
1,250,629 | 2,690,589 | 802,546 | 3,427,156 | 1,162,886 | 1,057,420 | 5,690,457 | 808,521 | 3,812,060 | ||||||||||||||||||||||||||
833,752 | 1,793,726 | 535,031 | 2,284,770 | 775,257 | 704,947 | 3,793,638 | 539,014 | 2,541,373 | ||||||||||||||||||||||||||
5,210,952 | 11,210,785 | 3,343,941 | 14,279,815 | 4,845,358 | 4,405,915 | 23,710,236 | 3,368,839 | 15,883,583 | ||||||||||||||||||||||||||
1,042,191 | 2,242,157 | 668,788 | 2,855,963 | 969,072 | 881,183 | 4,742,047 | 673,768 | 3,176,717 | ||||||||||||||||||||||||||
625,314 | 1,345,294 | 401,273 | 1,713,578 | 581,443 | 528,710 | 2,845,228 | 404,261 | 1,906,030 | ||||||||||||||||||||||||||
1,042,191 | 2,242,157 | 668,788 | 2,855,963 | 969,072 | 881,183 | 4,742,047 | 673,768 | 3,176,717 | ||||||||||||||||||||||||||
1,042,191 | 2,242,157 | 668,788 | 2,855,963 | 969,072 | 881,183 | 4,742,047 | 673,768 | 3,176,717 | ||||||||||||||||||||||||||
2,084,381 | 4,484,314 | 1,337,576 | 5,711,926 | 1,938,143 | 1,762,366 | 9,484,094 | 1,347,536 | 6,353,433 | ||||||||||||||||||||||||||
2,084,381 | 4,484,314 | 1,337,576 | 5,711,926 | 1,938,143 | 1,762,366 | 9,484,094 | 1,347,536 | 6,353,433 | ||||||||||||||||||||||||||
1,042,191 | 2,242,157 | 668,788 | 2,855,963 | 969,072 | 881,183 | 4,742,047 | 673,768 | 3,176,717 | ||||||||||||||||||||||||||
833,752 | 1,793,726 | 535,031 | 2,284,770 | 775,257 | 704,947 | 3,793,638 | 539,014 | 2,541,373 | ||||||||||||||||||||||||||
1,042,191 | 2,242,157 | 668,788 | 2,855,963 | 969,072 | 881,183 | 4,742,047 | 673,768 | 3,176,717 | ||||||||||||||||||||||||||
833,752 | 1,793,726 | 535,031 | 2,284,770 | 775,257 | 704,947 | 3,793,638 | 539,014 | 2,541,373 | ||||||||||||||||||||||||||
1,250,629 | 2,690,589 | 802,546 | 3,427,156 | 1,162,886 | 1,057,420 | 5,690,457 | 808,521 | 3,812,060 | ||||||||||||||||||||||||||
625,314 | 1,345,294 | 401,273 | 1,713,578 | 581,443 | 528,710 | 2,845,228 | 404,261 | 1,906,030 | ||||||||||||||||||||||||||
1,042,191 | 2,242,157 | 668,788 | 2,855,963 | 969,072 | 881,183 | 4,742,047 | 673,768 | 3,176,717 | ||||||||||||||||||||||||||
1,875,943 | 4,035,883 | 1,203,819 | 5,140,734 | 1,744,328 | 1,586,130 | 8,535,684 | 1,212,782 | 5,718,089 | ||||||||||||||||||||||||||
1,250,629 | 2,690,589 | 802,546 | 3,427,156 | 1,162,886 | 1,057,420 | 5,690,457 | 808,521 | 3,812,060 | ||||||||||||||||||||||||||
833,752 | 1,793,726 | 535,031 | 2,284,770 | 775,257 | 704,947 | 3,793,638 | 539,014 | 2,541,373 | ||||||||||||||||||||||||||
416,876 | 896,863 | 267,515 | 1,142,385 | 387,629 | 352,473 | 1,896,819 | 269,507 | 1,270,687 | ||||||||||||||||||||||||||
625,314 | 1,345,294 | 401,273 | 1,713,578 | 581,443 | 528,710 | 2,845,228 | 404,261 | 1,906,030 | ||||||||||||||||||||||||||
625,314 | 1,345,294 | 401,273 | 1,713,578 | 581,443 | 528,710 | 2,845,228 | 404,261 | 1,906,030 | ||||||||||||||||||||||||||
625,314 | 1,345,294 | 401,273 | 1,713,578 | 581,443 | 528,710 | 2,845,228 | 404,261 | 1,906,030 | ||||||||||||||||||||||||||
4,069,615 | 8,755,325 | 2,611,529 | 11,152,155 | 3,784,095 | 3,440,903 | 18,517,062 | 2,630,973 | 12,404,654 | ||||||||||||||||||||||||||
1,250,629 | 2,690,589 | 802,546 | 3,427,156 | 1,162,886 | 1,057,420 | 5,690,457 | 808,521 | 3,812,060 | ||||||||||||||||||||||||||
416,876 | 896,863 | 267,515 | 1,142,385 | 387,629 | 352,473 | 1,896,819 | 269,507 | 1,270,687 | ||||||||||||||||||||||||||
1,250,629 | 2,690,589 | 802,546 | 3,427,156 | 1,162,886 | 1,057,420 | 5,690,457 | 808,521 | 3,812,060 | ||||||||||||||||||||||||||
1,459,066 | 3,139,020 | 936,303 | 3,998,348 | 1,356,700 | 1,233,655 | 6,638,865 | 943,275 | 4,447,403 | ||||||||||||||||||||||||||
625,314 | 1,345,294 | 401,273 | 1,713,578 | 581,443 | 528,710 | 2,845,228 | 404,261 | 1,906,030 | ||||||||||||||||||||||||||
1,042,191 | 2,242,157 | 668,788 | 2,855,963 | 969,072 | 881,183 | 4,742,047 | 673,768 | 3,176,717 | ||||||||||||||||||||||||||
$ | 49,509,121 | $ | 106,513,377 | $ | 31,770,694 | $ | 135,672,142 | $ | 46,035,620 | $ | 41,860,487 | $ | 225,270,316 | $ | 32,007,250 | $ | 150,909,501 | |||||||||||||||||
203
NOTES TO FINANCIAL STATEMENTS (Continued)
Cost of | Proceeds | |||||||||
Series | Purchases | From Sales | ||||||||
High Quality Bond | US Government Obligations | $ | 180,642,583 | $ | 56,354,047 | |||||
Other | 275,673,627 | 429,881,961 | ||||||||
Inflation-Protected Securities | US Government Obligations | 462,321,002 | 461,663,022 | |||||||
Other | 14,082,380 | 24,885,934 | ||||||||
Core Bond | US Government Obligations | 11,175,320,355 | 11,448,604,541 | |||||||
Other | 663,658,794 | 534,649,592 | ||||||||
Total Return Bond | US Government Obligations | 1,774,039,592 | 1,616,402,954 | |||||||
Other | 180,320,154 | 36,777,146 | ||||||||
High Yield Bond | Other | 510,553,169 | 488,610,097 | |||||||
Balanced | US Government Obligations | 668,419,248 | 690,214,665 | |||||||
Other | 201,423,324 | 249,295,843 | ||||||||
Value & Income | Other | 1,041,862,106 | 1,306,366,020 | |||||||
Value | Other | 138,729,072 | 79,399,394 | |||||||
Growth & Income | Other | 1,053,518,911 | 1,312,019,958 | |||||||
Equity Growth | Other | 3,096,032,206 | 3,482,908,610 | |||||||
Aggressive Equity | Other | 509,006,293 | 561,602,307 | |||||||
Mid-Cap Value | Other | 728,964,090 | 697,499,586 | |||||||
Mid-Cap Growth | Other | 463,678,619 | 518,385,874 | |||||||
Small-Cap Value | Other | 198,596,251 | 234,724,014 | |||||||
Special Equity | Other | 1,058,249,488 | 1,273,470,251 | |||||||
Small-Cap Growth | Other | 238,985,651 | 241,265,747 | |||||||
International Equity | Other | 2,457,051,139 | 2,478,954,861 |
204
NOTES TO FINANCIAL STATEMENTS (Continued)
205
NOTES TO FINANCIAL STATEMENTS (Continued)
Net Unrealized | ||||||||||||||||||||
Foreign | In Exchange | Settlement | Value | Appreciation/ | ||||||||||||||||
Currency | For | Date | at 12/31/07 | (Depreciation) | ||||||||||||||||
Inflation-Protected Securities | ||||||||||||||||||||
Purchase Contracts: | ||||||||||||||||||||
British Pound Sterling | 22,700 | $ | 45,239 | 01/02/08 | $ | 45,187 | $ | (52 | ) | |||||||||||
Canadian Dollar | 18,803 | 19,257 | 01/02/08 | 19,051 | (206 | ) | ||||||||||||||
Euro | 53,907 | 79,268 | 01/02/08 | 78,815 | (453 | ) | ||||||||||||||
Total | $ | (711 | ) | |||||||||||||||||
Sale Contracts: | ||||||||||||||||||||
Euro | 96,588 | $ | 136,865 | 01/23/08 | $ | 141,266 | $ | (4,401 | ) | |||||||||||
Euro | 68,317 | 98,928 | 01/23/08 | 99,918 | (990 | ) | ||||||||||||||
Total | $ | (5,391 | ) | |||||||||||||||||
Core Bond | ||||||||||||||||||||
Purchase Contracts: | ||||||||||||||||||||
Euro | 3,353,574 | $ | 4,972,556 | 01/23/08 | $ | 4,904,833 | $ | (67,723 | ) | |||||||||||
Mexican Peso | 135,680,400 | 12,563,000 | 01/23/08 | 12,414,905 | (148,095 | ) | ||||||||||||||
Total | $ | (215,818 | ) | |||||||||||||||||
Sale Contracts: | ||||||||||||||||||||
Euro | 613,966 | $ | 902,805 | 01/02/08 | $ | 897,648 | $ | 5,157 | ||||||||||||
Euro | 5,220,000 | 7,396,740 | 01/23/08 | 7,634,609 | (237,869 | ) | ||||||||||||||
Mexican Peso | 132,746,891 | 12,208,183 | 01/23/08 | 12,146,486 | 61,697 | |||||||||||||||
Mexican Peso | 2,933,509 | 272,370 | 01/23/08 | 268,419 | 3,951 | |||||||||||||||
New Zealand Dollar | 5,545,961 | 4,240,131 | 01/23/08 | 4,258,342 | (18,211 | ) | ||||||||||||||
Total | $ | (185,275 | ) | |||||||||||||||||
206
NOTES TO FINANCIAL STATEMENTS (Continued)
Net Unrealized | ||||||||||||||||||||
Foreign | In Exchange | Settlement | Value | Appreciation/ | ||||||||||||||||
Currency | For | Date | at 12/31/07 | (Depreciation) | ||||||||||||||||
Total Return Bond | ||||||||||||||||||||
Sale Contracts: | ||||||||||||||||||||
British Pound Sterling | 999,000 | $ | 2,027,021 | 02/12/08 | $ | 1,986,419 | $ | 40,602 | ||||||||||||
Euro | 2,542,619 | 3,625,545 | 02/12/08 | 3,719,735 | (94,190 | ) | ||||||||||||||
Total | $ | (53,588 | ) | |||||||||||||||||
Balanced | ||||||||||||||||||||
Sale Contracts: | ||||||||||||||||||||
British Pound Sterling | 555,000 | $ | 1,126,123 | 02/12/08 | $ | 1,103,566 | $ | 22,557 | ||||||||||||
Euro | 1,040,391 | 1,483,504 | 02/12/08 | 1,522,045 | (38,541 | ) | ||||||||||||||
Total | $ | (15,984 | ) | |||||||||||||||||
Equity Growth | ||||||||||||||||||||
Purchase Contracts: | ||||||||||||||||||||
British Pound Sterling | 220,359 | $ | 438,774 | 01/03/08 | $ | 438,646 | $ | (128 | ) | |||||||||||
Sale Contracts: | ||||||||||||||||||||
Japanese Yen | 113,521,180 | $ | 1,005,698 | 01/08/08 | $ | 1,016,280 | $ | (10,582 | ) | |||||||||||
International Equity | ||||||||||||||||||||
Purchase Contracts: | ||||||||||||||||||||
British Pound Sterling | 208,407 | $ | 415,951 | 01/02/08 | $ | 414,855 | $ | (1,096 | ) | |||||||||||
British Pound Sterling | 321,504 | 640,172 | 01/03/08 | 639,986 | (186 | ) | ||||||||||||||
British Pound Sterling | 51,074 | 102,287 | 01/04/08 | 101,666 | (621 | ) | ||||||||||||||
Swiss Franc | 95,123 | 83,626 | 01/03/08 | 84,020 | 394 | |||||||||||||||
Swiss Franc | 216,202 | 191,906 | 01/07/08 | 191,003 | (903 | ) | ||||||||||||||
Total | $ | (2,412 | ) | |||||||||||||||||
Sale Contracts: | ||||||||||||||||||||
Euro | 851,828 | $ | 1,245,901 | 01/02/08 | $ | 1,245,416 | $ | 485 | ||||||||||||
Euro | 815,877 | 1,199,910 | 01/03/08 | 1,192,853 | 7,057 | |||||||||||||||
South African Rand | 7,891,502 | 1,120,713 | 01/02/08 | 1,154,682 | (33,969 | ) | ||||||||||||||
Total | $ | (26,427 | ) | |||||||||||||||||
207
NOTES TO FINANCIAL STATEMENTS (Continued)
Net Unrealized | ||||||||||||||||
Settlement | Purchase | Sale Current | Appreciation/ | |||||||||||||
Date | Current Value | Value | (Depreciation) | |||||||||||||
Foreign Cross Currency Contracts: | ||||||||||||||||
Purchase/Sale | ||||||||||||||||
British Pound Sterling/Japanese Yen | 01/04/08 | $ | 673,781 | $ | 680,398 | $ | (6,617 | ) | ||||||||
British Pound Sterling/Japanese Yen | 01/04/08 | 626,249 | 624,875 | 1,374 | ||||||||||||
British Pound Sterling/Swiss Franc | 01/03/08 | 47,533 | 47,973 | (440 | ) | |||||||||||
British Pound Sterling/Swiss Franc | 01/03/08 | 47,533 | 47,395 | 138 | ||||||||||||
British Pound Sterling/Swiss Franc | 01/03/08 | 47,533 | 47,513 | 20 | ||||||||||||
Euro/Swiss Franc | 01/03/08 | 600,573 | 604,583 | (4,010 | ) | |||||||||||
Euro/Swiss Franc | 01/03/08 | 600,573 | 601,821 | (1,248 | ) | |||||||||||
Euro/Swiss Franc | 01/03/08 | 600,573 | 600,874 | (301 | ) | |||||||||||
Total | $ | (11,084 | ) | |||||||||||||
208
NOTES TO FINANCIAL STATEMENTS (Continued)
Ratios to Average Net Assets | ||||||||||||||||||||||||||||
Net | Net Investment | |||||||||||||||||||||||||||
For the | Net Expenses | Investment | Income (Loss) | Net Assets, | ||||||||||||||||||||||||
Year | Net | (Net of | Income | (Net of | Portfolio | End of | Total | |||||||||||||||||||||
Ended | Expenses | Reimbursements) | (Loss) | Reimbursements) | Turnover | Year | Return | |||||||||||||||||||||
Money Market | ||||||||||||||||||||||||||||
12/31/2007 | 0.28 | % | 0.28 | % | 5.01 | % | 5.01 | % | N/A | $ | 1,050,796,105 | 5.17 | % | |||||||||||||||
12/31/2006 | 0.28 | 0.28 | 4.77 | 4.77 | N/A | 925,940,609 | 4.86 | |||||||||||||||||||||
12/31/2005 | 0.28 | 0.28 | 2.97 | 2.97 | N/A | 765,777,258 | 3.00 | |||||||||||||||||||||
12/31/2004 | 0.28 | 0.28 | 1.17 | 1.17 | N/A | 809,352,385 | 1.17 | |||||||||||||||||||||
12/31/2003 | 0.28 | 0.28 | 1.11 | 1.11 | N/A | 799,572,598 | 1.11 | |||||||||||||||||||||
High Quality Bond | ||||||||||||||||||||||||||||
12/31/2007 | 0.38 | 0.38 | 4.38 | 4.38 | 56 | % | 833,291,239 | 5.34 | ||||||||||||||||||||
12/31/2006 | 0.38 | 0.38 | 4.03 | 4.03 | 55 | 817,623,186 | 4.38 | |||||||||||||||||||||
12/31/2005 | 0.39 | 0.39 | 3.25 | 3.25 | 58 | 788,399,166 | 1.95 | |||||||||||||||||||||
12/31/2004 | 0.38 | 0.38 | 2.96 | 2.96 | 48 | 690,594,378 | 1.48 | |||||||||||||||||||||
12/31/2003 | 0.38 | 0.38 | 3.19 | 3.19 | 50 | 622,748,334 | 2.34 | |||||||||||||||||||||
Inflation-Protected Securities | ||||||||||||||||||||||||||||
12/31/2007 | 0.42 | 0.40 | 5.24 | 5.26 | 340 | 149,013,396 | 10.16 | |||||||||||||||||||||
12/31/2006 | 0.41 | 0.40 | 4.49 | 4.50 | 525 | 150,681,168 | 3.48 | |||||||||||||||||||||
12/31/2005 | 0.40 | 0.40 | 3.45 | 3.45 | 756 | 261,106,523 | 1.34 | |||||||||||||||||||||
12/31/2004 | 0.42 | 0.40 | 2.46 | 2.48 | 554 | 256,502,651 | 1.59 | |||||||||||||||||||||
12/31/2003 | 0.38 | 0.38 | 2.91 | 2.91 | 392 | 265,519,988 | 1.60 | |||||||||||||||||||||
Core Bond | ||||||||||||||||||||||||||||
12/31/2007 | 0.38 | 0.38 | 4.81 | 4.81 | 503 | (a) | 2,248,879,516 | 6.67 | ||||||||||||||||||||
12/31/2006 | 0.38 | 0.38 | 4.50 | 4.50 | 487 | (a) | 2,077,821,449 | 4.17 | ||||||||||||||||||||
12/31/2005 | 0.39 | 0.39 | 3.99 | 3.99 | 1,003 | (a) | 2,052,893,035 | 2.38 | ||||||||||||||||||||
12/31/2004 | 0.39 | 0.39 | 3.62 | 3.62 | 885 | (a) | 1,655,367,885 | 4.65 | ||||||||||||||||||||
12/31/2003 | 0.39 | 0.39 | 3.52 | 3.52 | 922 | (a) | 1,468,787,007 | 4.64 | ||||||||||||||||||||
Total Return Bond | ||||||||||||||||||||||||||||
12/31/2007 | 0.41 | 0.40 | 5.04 | 5.05 | 521 | (a) | 390,287,496 | 3.81 | ||||||||||||||||||||
12/31/2006 | 0.50 | 0.40 | 4.64 | 4.74 | 470 | (a) | 120,636,427 | 4.96 | ||||||||||||||||||||
12/31/2005(1) | 0.55 | * | 0.40 | * | 3.93 | * | 4.08 | * | 327 | (a) | 70,072,859 | 2.35 | ||||||||||||||||
High Yield Bond | ||||||||||||||||||||||||||||
12/31/2007 | 0.58 | 0.58 | 7.97 | 7.97 | 96 | 538,727,018 | 2.02 | |||||||||||||||||||||
12/31/2006 | 0.59 | 0.59 | 7.86 | 7.86 | 93 | 502,330,056 | 11.99 | |||||||||||||||||||||
12/31/2005 | 0.60 | 0.60 | 7.74 | 7.74 | 68 | 416,027,255 | 3.34 | |||||||||||||||||||||
12/31/2004 | 0.60 | 0.60 | 8.06 | 8.06 | 80 | 351,772,536 | 10.32 | |||||||||||||||||||||
12/31/2003 | 0.61 | 0.60 | 9.07 | 9.08 | 136 | 282,700,774 | 27.91 | |||||||||||||||||||||
Balanced | ||||||||||||||||||||||||||||
12/31/2007 | 0.52 | 0.50 | 2.85 | 2.87 | 226 | (a) | 318,635,183 | 1.79 | ||||||||||||||||||||
12/31/2006 | 0.53 | 0.50 | 2.69 | 2.72 | 224 | (a) | 381,648,801 | 11.74 | ||||||||||||||||||||
12/31/2005 | 0.54 | 0.50 | 2.21 | 2.25 | 367 | (a) | 410,747,655 | 5.59 | ||||||||||||||||||||
12/31/2004 | 0.52 | 0.50 | 2.19 | 2.21 | 338 | (a) | 419,726,689 | 8.31 | ||||||||||||||||||||
12/31/2003 | 0.51 | 0.50 | 2.15 | 2.16 | 377 | (a) | 434,085,832 | 17.69 |
209
NOTES TO FINANCIAL STATEMENTS (Continued)
Ratios to Average Net Assets | ||||||||||||||||||||||||||||
Net | Net Investment | |||||||||||||||||||||||||||
For the | Net Expenses | Investment | Income (Loss) | Net Assets, | ||||||||||||||||||||||||
Year | Net | (Net of | Income | (Net of | Portfolio | End of | Total | |||||||||||||||||||||
Ended | Expenses | Reimbursements) | (Loss) | Reimbursements) | Turnover | Year | Return | |||||||||||||||||||||
Value & Income | ||||||||||||||||||||||||||||
12/31/2007 | 0.48 | % | 0.48 | % | 1.68 | % | 1.68 | % | 30 | % | $ | 3,165,024,775 | (1.75 | )% | ||||||||||||||
12/31/2006 | 0.48 | 0.48 | 1.47 | 1.47 | 31 | 3,538,943,726 | 20.68 | |||||||||||||||||||||
12/31/2005 | 0.48 | 0.48 | 1.38 | 1.38 | 89 | 3,018,060,297 | 6.88 | |||||||||||||||||||||
12/31/2004 | 0.48 | 0.48 | 1.79 | 1.79 | 44 | 2,705,463,322 | 12.91 | |||||||||||||||||||||
12/31/2003 | 0.47 | 0.47 | 1.91 | 1.91 | 70 | 2,198,085,735 | 26.52 | |||||||||||||||||||||
Value | ||||||||||||||||||||||||||||
12/31/2007 | 0.56 | 0.55 | 1.50 | 1.51 | 57 | 141,565,926 | (11.06 | ) | ||||||||||||||||||||
12/31/2006 | 0.71 | 0.55 | 1.26 | 1.42 | 74 | 101,282,906 | 15.44 | |||||||||||||||||||||
12/31/2005(1) | 1.18 | * | 0.55 | * | 1.15 | * | 1.78 | * | 21 | 35,138,512 | 9.47 | |||||||||||||||||
Growth & Income | ||||||||||||||||||||||||||||
12/31/2007 | 0.64 | 0.64 | 1.08 | 1.08 | 101 | 903,261,821 | 2.11 | |||||||||||||||||||||
12/31/2006 | 0.63 | 0.63 | 1.11 | 1.11 | 73 | 1,159,020,245 | 11.77 | |||||||||||||||||||||
12/31/2005 | 0.64 | 0.64 | 0.96 | 0.96 | 79 | 1,178,758,869 | 7.12 | |||||||||||||||||||||
12/31/2004 | 0.64 | 0.64 | 1.22 | 1.22 | 184 | 1,135,948,434 | 10.79 | |||||||||||||||||||||
12/31/2003 | 0.63 | 0.63 | 1.02 | 1.02 | 100 | 1,063,389,332 | 24.16 | |||||||||||||||||||||
Equity Growth | ||||||||||||||||||||||||||||
12/31/2007 | 0.65 | 0.65 | 0.61 | 0.61 | 129 | 2,444,760,853 | 12.25 | |||||||||||||||||||||
12/31/2006 | 0.64 | 0.64 | 0.43 | 0.43 | 84 | 2,526,917,456 | 4.12 | |||||||||||||||||||||
12/31/2005 | 0.65 | 0.65 | 0.34 | 0.34 | 76 | 2,587,382,061 | 7.18 | |||||||||||||||||||||
12/31/2004 | 0.65 | 0.65 | 0.68 | 0.68 | 129 | 2,290,559,947 | 7.75 | |||||||||||||||||||||
12/31/2003 | 0.65 | 0.65 | 0.34 | 0.34 | 61 | 1,975,636,700 | 26.48 | |||||||||||||||||||||
Aggressive Equity | ||||||||||||||||||||||||||||
12/31/2007 | 0.81 | 0.80 | (0.17 | ) | (0.16 | ) | 134 | 427,372,994 | 28.50 | |||||||||||||||||||
12/31/2006 | 0.81 | 0.80 | (0.18 | ) | (0.17 | ) | 147 | 382,667,908 | 6.46 | |||||||||||||||||||
12/31/2005 | 0.81 | 0.80 | (0.15 | ) | (0.14 | ) | 187 | 382,129,060 | 8.20 | |||||||||||||||||||
12/31/2004 | 0.95 | 0.94 | (0.49 | ) | (0.48 | ) | 252 | 397,726,867 | 12.14 | |||||||||||||||||||
12/31/2003 | 1.01 | 1.00 | (0.61 | ) | (0.60 | ) | 165 | 371,333,010 | 28.12 | |||||||||||||||||||
Mid-Cap Value | ||||||||||||||||||||||||||||
12/31/2007 | 0.70 | 0.70 | 1.37 | 1.37 | 69 | 998,177,210 | 2.62 | |||||||||||||||||||||
12/31/2006 | 0.71 | 0.70 | 1.16 | 1.17 | 80 | 936,974,205 | 18.33 | |||||||||||||||||||||
12/31/2005 | 0.72 | 0.70 | 1.26 | 1.28 | 112 | 641,531,538 | 9.77 | |||||||||||||||||||||
12/31/2004 | 0.71 | 0.70 | 0.78 | 0.79 | 147 | 414,710,679 | 25.47 | |||||||||||||||||||||
12/31/2003 | 0.75 | 0.70 | 0.51 | 0.56 | 156 | 216,193,119 | 41.63 | |||||||||||||||||||||
Mid-Cap Growth | ||||||||||||||||||||||||||||
12/31/2007 | 0.75 | 0.75 | (0.23 | ) | (0.23 | ) | 152 | 337,188,904 | 30.42 | |||||||||||||||||||
12/31/2006 | 0.75 | 0.75 | (0.31 | ) | (0.31 | ) | 151 | 309,909,061 | 2.17 | |||||||||||||||||||
12/31/2005 | 0.76 | 0.75 | (0.39 | ) | (0.38 | ) | 142 | 282,950,442 | 13.42 | |||||||||||||||||||
12/31/2004 | 0.79 | 0.75 | (0.33 | ) | (0.29 | ) | 223 | 210,100,872 | 15.38 | |||||||||||||||||||
12/31/2003 | 0.81 | 0.75 | (0.37 | ) | (0.31 | ) | 100 | 165,747,874 | 26.91 |
210
NOTES TO FINANCIAL STATEMENTS (Continued)
Ratios to Average Net Assets | ||||||||||||||||||||||||||||
Net | Net Investment | |||||||||||||||||||||||||||
For the | Net Expenses | Investment | Income (Loss) | Net Assets, | ||||||||||||||||||||||||
Year | Net | (Net of | Income | (Net of | Portfolio | End of | Total | |||||||||||||||||||||
Ended | Expenses | Reimbursements) | (Loss) | Reimbursements) | Turnover | Year | Return | |||||||||||||||||||||
Small-Cap Value | ||||||||||||||||||||||||||||
12/31/2007 | 0.87 | % | 0.85 | % | 1.34 | % | 1.36 | % | 94 | % | $ | 185,136,605 | (7.74 | )% | ||||||||||||||
12/31/2006 | 0.87 | 0.85 | 0.25 | 0.27 | 105 | 236,316,718 | 9.64 | |||||||||||||||||||||
12/31/2005 | 0.88 | 0.85 | 0.07 | 0.10 | 143 | 218,749,221 | (4.70 | ) | ||||||||||||||||||||
12/31/2004 | 0.89 | 0.85 | 0.27 | 0.31 | 42 | 172,735,949 | 21.75 | |||||||||||||||||||||
12/31/2003 | 0.94 | 0.85 | 1.19 | 1.28 | 40 | 100,887,458 | 41.10 | |||||||||||||||||||||
Special Equity | ||||||||||||||||||||||||||||
12/31/2007 | 0.84 | 0.84 | 0.58 | 0.58 | 97 | 950,197,463 | (4.49 | ) | ||||||||||||||||||||
12/31/2006 | 0.85 | 0.85 | 0.29 | 0.29 | 86 | 1,211,556,459 | 11.77 | |||||||||||||||||||||
12/31/2005 | 0.85 | 0.85 | 0.09 | 0.09 | 92 | 1,296,671,909 | 10.53 | |||||||||||||||||||||
12/31/2004 | 0.84 | 0.84 | 0.15 | 0.15 | 103 | 1,227,530,742 | 12.63 | |||||||||||||||||||||
12/31/2003 | 0.85 | 0.85 | (0.02 | ) | (0.02 | ) | 103 | 1,270,601,125 | 43.96 | |||||||||||||||||||
Small-Cap Growth | ||||||||||||||||||||||||||||
12/31/2007 | 0.92 | 0.90 | (0.44 | ) | (0.42 | ) | 144 | 166,817,321 | 8.64 | |||||||||||||||||||
12/30/2006 | 1.04 | 0.90 | (0.43 | ) | (0.29 | ) | 173 | 155,003,004 | 8.71 | |||||||||||||||||||
12/31/2005 | 0.98 | 0.90 | (0.49 | ) | (0.41 | ) | 183 | 132,903,534 | 0.55 | |||||||||||||||||||
12/31/2004 | 0.97 | 0.90 | (0.58 | ) | (0.51 | ) | 84 | 108,429,152 | 11.94 | |||||||||||||||||||
12/31/2003 | 1.02 | 0.90 | (0.29 | ) | (0.17 | ) | 81 | 83,589,643 | 39.31 | |||||||||||||||||||
International Equity | ||||||||||||||||||||||||||||
12/31/2007 | 0.87 | 0.87 | 2.25 | 2.25 | 110 | 2,264,061,514 | 11.69 | |||||||||||||||||||||
12/31/2006 | 0.87 | 0.87 | 1.78 | 1.78 | 81 | 2,101,152,473 | 27.31 | |||||||||||||||||||||
12/31/2005 | 0.88 | 0.88 | 2.03 | 2.03 | 94 | 1,721,786,149 | 11.20 | |||||||||||||||||||||
12/31/2004 | 0.87 | 0.87 | 1.85 | 1.85 | 171 | 1,401,617,944 | 19.66 | |||||||||||||||||||||
12/31/2003 | 0.86 | 0.86 | 1.11 | 1.11 | 23 | 1,049,033,896 | 33.52 |
(a) | Portfolio turnover calculation includes effect of buying and selling TBA securities used in dollar roll transactions. Refer to Note 2I. | |
* | Annualized. | |
(1) | Commencement of Operations, May 6, 2005. |
211
212
APPROVAL OF INVESTMENT ADVISORY CONTRACTS
December 31, 2007
(Unaudited)
213
APPROVAL OF INVESTMENT ADVISORY CONTRACTS (Continued)
December 31, 2007
214
APPROVAL OF INVESTMENT ADVISORY CONTRACTS (Continued)
December 31, 2007
215
APPROVAL OF INVESTMENT ADVISORY CONTRACTS (Continued)
December 31, 2007
216
MANAGEMENT OF THE TRUST
(Unaudited)
Number of | ||||||||||
Funds | ||||||||||
in Fund | ||||||||||
Length of | Complex | |||||||||
Position(s) | Time | Principal Occupation(s) | Overseen | Other Board | ||||||
Name, Address*** and Age | Held | Served* | During Past Five Years | by Trustee | Memberships | |||||
Independent Trustees :** | ||||||||||
Leo J. Hill (DOB: 3/27/56) | Trustee | Since 2007 | Principal, Advisor Network Solutions, LLC (business consulting) (2006 to present); Trustee, Diversified Investors Portfolios (“DIP”), The Diversified Investors Funds Group (“DIFG”), The Diversified Investors Funds Group II (“DIFG II”) and Diversified Investors Strategic Variable Funds (“DISVF”) (2007 to present); Trustee, Transamerica IDEX Mutual Funds (“TA IDEX”) (2002 to present); Director, Transamerica Income Shares, Inc. (“TIS”) (2002 to present); Trustee, AEGON/Transamerica Series Trust (“ATST”) (2001 to present); Owner and President, Prestige Automotive Group (2001 to 2005); President, L. J. Hill & Company (1999 to present) | 160 | None | |||||
Neal M. Jewell (DOB: 2/12/35) | Trustee | Since 1993 | Retired (2004 to present); Trustee, TA IDEX and ATST (2007 to present); Director, TIS (2007 to present); Trustee, DIP, DIFG, DIFG II and DISVF (1993 to present); Independent Trustee, EAI Select Managers Equity Fund (mutual fund) (1996 to 2004). | 160 | None | |||||
Russell A. Kimball, Jr. (DOB: 8/17/44) | Trustee | Since 2007 | Trustee, DIP, DIFG, DIFG II and DISVF (2007 to present); Trustee, TA IDEX (2002 to present); Director, TIS (2002 to present); Trustee, ATST (1986 to present); General Manager, Sheraton Sand Key Resort (1975 to present). | 160 | None | |||||
Eugene M. Mannella (DOB: 2/1/54) | Trustee | Since 1993 | Self-employed consultant (2006 to present); President, Arapain Partners LLC (limited purpose broker-dealer) (1998 to present); Trustee, TA IDEX and ATST (2007 to present); Director, TIS (2007 to present); Trustee, DIP, DIFG, DIFG II and DISVF (1993 to present); President, International Fund Services (alternative asset administration) (1993 to 2005). | 160 | None |
217
MANAGEMENT OF THE TRUST (Continued)
(Unaudited)
Number of | ||||||||||
Funds | ||||||||||
in Fund | ||||||||||
Length of | Complex | |||||||||
Position(s) | Time | Principal Occupation(s) | Overseen | Other Board | ||||||
Name, Address*** and Age | Held | Served* | During Past Five Years | by Trustee | Memberships | |||||
Norm R. Nielsen (DOB: 5/11/39) | Trustee | Since 2007 | Retired (2005 to present); Trustee, DIP, DIFG, DIFG II and DISVF (2007 to present); Trustee, TA IDEX (2006 to present); Director, TIS (2006 to present); Trustee, ATST (2006 to present); Director, Iowa City Area Development (1996 to 2004); Director, Iowa Health Systems (1994 to 2003); Director, U.S. Bank (1987 to 2006); President, Kirkwood Community College (1979 to 2005). | 160 | Buena Vista University Board of Trustees (2004 to present) | |||||
Joyce Galpern Norden (DOB: 6/1/39) | Trustee | Since 1993 | Retired (2004 to present); Trustee, TA IDEX and ATST (2007 to present); Director, TIS (2007 to present); Trustee, DIP (2002 to present); Trustee, DIFG, DIFG II, and DISVF (1993 to present); Vice President, Institutional Advancement, Reconstructionist Rabbinical College (1996 to 2004). | 160 | Board of Governors, Reconstructionist Rabbinical College (2007 to present) | |||||
Patricia L. Sawyer (DOB: 7/1/50) | Trustee | Since 1993 | Trustee, TA IDEX and ATST (2007 to present); Director, TIS (2007 to present); Trustee, DIP, DIFG, DIFG II, and DISVF (1993 to present); President and Executive Search Consultant, Smith & Sawyer LLC (consulting) (1989 to present). | 160 | None | |||||
John W. Waechter (DOB: 2/25/52) | Trustee | Since 2007 | Trustee, DIP, DIFG, DIFG II and DISVF (2007 to present); Trustee, TA IDEX (2005 to present); Director, TIS (2004 to present); Trustee, ATST (2004 to present); employee, RBC Dain Rauscher (securities dealer) (March 2004 to May 2004); Executive Vice President, Chief Financial Officer and Chief Compliance Officer, William R. Hough & Co. (securities dealer) (1979 to 2004); Treasurer, The Hough Group of Funds (1993 to 2004). | 160 | None |
218
MANAGEMENT OF THE TRUST (Continued)
(Unaudited)
Number of | ||||||||||
Funds | ||||||||||
in Fund | ||||||||||
Length of | Complex | |||||||||
Position(s) | Time | Principal Occupation(s) | Overseen | Other Board | ||||||
Name, Address*** and Age | Held | Served* | During Past Five Years | by Trustee | Memberships | |||||
Interested Trustee:**** | ||||||||||
John K. Carter (DOB: 4/24/61) | Trustee | Since 2007 | President and Chief Executive Officer, DIP, DIFG, DIFG II and DISVF (August 2007 to present); Trustee, DIP, DIFG, DIFG II, and DISVF (October 2007 to present); Trustee (September 2006 to present), President and Chief Executive Officer (July 2006 to present), Senior Vice President (1999 to June 2006), Chief Compliance Officer, General Counsel and Secretary (1999 to August 2006), TA IDEX; Trustee (September 2006 to present), President and Chief Executive Officer (July 2006 to present), Senior Vice President (1999 to June 2006), Chief Compliance Officer, General Counsel and Secretary (1999 to August 2006), ATST; Director (September 2006 to present), President and Chief Executive Officer (July 2006 to present), Senior Vice President (2002 to June 2006), General Counsel, Secretary and Chief Compliance Officer (2002 to August 2006), TIS; President and Chief Executive Officer (July 2006 to present), Senior Vice President (1999 to June 2006), Director (2000 to present), General Counsel and Secretary (2000 to August 2006), Chief Compliance Officer (2004 to August 2006), TAM; President and Chief Executive Officer (July 2006 to present), Senior Vice President (1999 to June 2006), Director (2001 to present), General Counsel and Secretary (2001 to August 2006), (“TFS”); Vice President, AFSG Securities Corporation (2001 to present); Chief Executive Officer (July 2006 to present), Vice President, Secretary and Chief Compliance Officer (2003 to August 2006), Transamerica Investors, Inc. (“TII”); Senior Vice President, General Counsel and Secretary, Transamerica Index Funds, Inc. (2002 to 2004); Vice President, Transamerica Investment Services, Inc. (“TISI”) (2003 to 2005) and Transamerica Investment Management, LLC (“TIM”) (2001 to 2005). | 160 | None |
219
MANAGEMENT OF THE TRUST (Continued)
(Unaudited)
Length of | ||||||
Time | Principal Occupation(s) | |||||
Name, Address*** and Age | Position(s) Held | Served† | During the Past Five Years | |||
Officers | ||||||
John K. Carter (DOB: 4/24/61) | Chief Executive Officer and President | Since 2007 | See the table above. | |||
Dennis P. Gallagher (DOB: 12/19/70) | Vice President, General Counsel and Secretary | Since 2007 | Vice President, General Counsel and Secretary, TA IDEX, ATST and TIS (September 2006 to present); Vice President, General Counsel and Secretary, DIP, DIFG, DIFG II and DISVF (August 2007 to present); Vice President and Secretary, TII (September 2006 to present); Director, Senior Vice President, General Counsel and Secretary, TAM and TFS (September 2006 to present); Director, Deutsche Asset Management (1998 to 2006). | |||
Elizabeth L. Belanger (DOB: 1/7/72) | Deputy General Counsel, Assistant Secretary and Conflicts of Interest Officer | Since 2005 | Deputy General Counsel, Assistant Secretary and Conflicts of Interest Officer, TII (November 2007 to present); Deputy General Counsel, Assistant Secretary and Conflicts of Interest Officer, TA IDEX, ATST and TIS (July 2007 to present); Deputy General Counsel and Conflicts of Interest Officer (August 2007 to present), Assistant Secretary (August 2005 to present), DIP, DIFG, DIFG II and DISVF; Vice President and Senior Counsel, Diversified (with Diversified since 2005); Director, TFLIC (April 2006 to present); Director of Compliance, Domini Social Investments LLC (November 2003 to May 2005); Associate, Bingham McCutchen LLP (September 1997 to October 2003). | |||
Joseph P. Carusone (DOB: 9/8/65) | Vice President, Treasurer and Principal Financial Officer | Since 2001 | Vice President, Treasurer and Principal Financial Officer, TII (November 2007 to present); Vice President, Treasurer and Principal Financial Officer, TA IDEX, ATST and TIS (July 2007 to present); Vice President (August 2007 to present), Treasurer and Principal Financial Officer (2001 to present), DIP, DIFG, DIFG II and DISVF; Senior Vice President, Diversified (since 1999); President, Diversified Investors Securities Corp. (“DISC”) (February 2007 to present); Director, TFLIC (2004 to present). |
220
MANAGEMENT OF THE TRUST (Continued)
(Unaudited)
Length of | ||||||
Time | Principal Occupation(s) | |||||
Name, Address*** and Age | Position(s) Held | Served† | During the Past Five Years | |||
Christopher A. Staples (DOB: 8/14/70) | Vice President and Chief Investment Officer | Since 2004 | Vice President and Chief Investment Officer, TII (November 2007 to present); Vice President (July 2007 to present), Chief Investment Officer (June 2007 to present), Senior Vice President (June 2007 to July 2007), Senior Vice President — Investment Management (July 2006 to June 2007), Vice President — Investment Management (2004 to July 2006), TA IDEX, ATST and TIS; Vice President and Chief Investment Officer, DIP, DIFG, DIFG II and DISVF (August 2007 to present); Director, TAM and TFS (2005 to present); Assistant Vice President, Raymond James & Associates (1999 to 2004). | |||
Rick Resnik (DOB: 1/24/67) | Chief Compliance Officer | Since 2004 | Chief Compliance Officer, TA IDEX, ATST, and TIS (January 2008 to present); Chief Compliance Officer, DIP, DIFG, DIFG II and DISVF (2004 to present); Vice President and Chief Compliance Officer, Diversified (with Diversified since 1998); Director, Vice President and Chief Compliance Officer, DISC (June 1999 to present) | |||
Michael A. Masson (DOB: 1/21/71) | Assistant Treasurer | Since 2007 | Assistant Treasurer, TII (November 2007 to present); Assistant Treasurer (July 2007 to present), Assistant Vice President (2005 to present), TA IDEX, ATST and TIS; Assistant Treasurer, DIP, DIFG, DIFG II and DISVF (August 2007 to present); Assistant Vice President, ATST and TIS (2005 to present); Assistant Vice President, TII (2005 to present); Assistant Vice President, TFS and TAM(2005 to present); Assistant Vice President, JPMorgan Chase & Co. (1999 to 2005). | |||
Suzanne Valerio-Montemurro (DOB: 8/13/64) | Assistant Treasurer | Since 2002 | Assistant Treasurer, the Trust (November 2007 to present); Assistant Treasurer, TA IDEX, ATST and TIS (July 2007 to present); Assistant Treasurer, DIP, DIFG, DIFG II and DISVF (August 2002 to present); Vice President, Diversified (with Diversified since 1998). |
* | Each Trustee shall hold office until: 1) his or her successor is elected and qualified or 2) he or she resigns or his or her term as a Trustee is terminated in accordance with the by-laws. | |
** | Independent trustee (“Independent Trustee”) means a trustee who is not an “interested person” (as defined under the 1940 Act) of the Trust (the “Independent Trustees”). | |
*** | The mailing address of each Trustee and Officer is c/o Secretary of the Funds, 570 Carillon Parkway, St. Petersburg, Florida 33716. | |
**** | May be deemed an “interested person” (as that term is defined in Section 2(a)(19) of the 1940 Act) of the Trust because of his employment with the Advisor or an affiliate of the Advisor. | |
† | If an officer has held offices for different Funds for different periods of time, the earliest applicable date is shown. |
221
INVESTOR MEETING RESULTS
(Unaudited)
Proposal | For | Withheld | ||||||||
To elect a New Board | ||||||||||
Leo J. Hill | 16,771,509,294.29 | 493,516,670.11 | ||||||||
Russell A. Kimball, Jr. | 16,771,486,651.29 | 493,539,931.83 | ||||||||
Norm R, Nielsen | 16,773,445,963.27 | 491,619,347.84 | ||||||||
John W. Waechter | 16,771,157,901.91 | 493,886,309.74 | ||||||||
Neal M. Jewell | 16,763,798,109.04 | 501,271,445.17 | ||||||||
Eugene M. Mannella | 16,766,090,516.56 | 498,972,526.06 | ||||||||
Joyce Galpern Norden | 16,764,446,775.44 | 500,637,295.90 | ||||||||
Patricia L. Sawyer | 16,774,759,729.96 | 490,292,431.34 | ||||||||
John K. Carter | 16,774,142,457.13 | 490,912,965.64 | ||||||||
Proposal | For | Against | Abstain | ||||||||||||
To approve a new Investment Advisory Agreement with Transamerica Asset Management, Inc. | |||||||||||||||
Aggressive Equity Portfolio | 344,170,744.52 | 2,753,008.39 | 1,926,549.31 | ||||||||||||
Balanced Portfolio | 349,285,392.05 | 2,423,932.02 | 2,680,449.03 | ||||||||||||
Core Bond Portfolio | 2,045,560,919.26 | 3,761,557.84 | 89,515,945.16 | ||||||||||||
Equity Growth Portfolio | 2,192,819,674.12 | 6,100,365.54 | 81,180,820.58 | ||||||||||||
Growth & Income Portfolio | 965,484,863.70 | 5,972,251.84 | 2,759,694.84 | ||||||||||||
High Quality Bond Portfolio | 837,248,152.78 | 2,362,893.22 | 4,229,082.65 | ||||||||||||
High Yield Bond Portfolio | 535,900,061.17 | 2,151,990.41 | 2,587,917.93 | ||||||||||||
Inflation-Protected Securities Portfolio | 132,692,036.91 | 1,642,175.98 | 372,778.70 | ||||||||||||
International Equity Portfolio | 2,083,725,989.74 | 5,172,032.56 | 58,852,676.92 | ||||||||||||
Mid-Cap Growth Portfolio | 290,159,067.94 | 0.00 | 28,633.40 | ||||||||||||
Mid-Cap Value Portfolio | 990,577,001.45 | 3,089,039.46 | 14,388,975.76 | ||||||||||||
Money Market Portfolio | 970,065,207.44 | 3,680,378.63 | 30,550,696.17 | ||||||||||||
Small-Cap Growth Portfolio | 162,068,049.77 | 3,928.10 | 1,473.04 | ||||||||||||
Small-Cap Value Portfolio | 197,097,849.80 | 11,904.46 | 49,205.09 | ||||||||||||
Special Equity Portfolio | 1,012,482,800.47 | 3,250,101.77 | 23,533,258.46 | ||||||||||||
Total Return Bond Portfolio | 315,827,522.95 | 173,053.87 | 13,909,246.39 | ||||||||||||
Value & Income Portfolio | 3,185,147,756.58 | 13,060,974.38 | 130,091,216.24 | ||||||||||||
Value Portfolio | 142,368,523.33 | 163,081.80 | 9,994.90 | ||||||||||||
222
INVESTOR MEETING RESULTS (Continued)
(Unaudited)
�� | |||||||||||||||
Proposal | For | Against | Abstain | ||||||||||||
To approve an amendment to the Declaration of Trust | 16,730,414,592.57 | 77,028,001.65 | 457,501,673.89 | ||||||||||||
Proposal | For | Against | Abstain | ||||||||||||
To approve a change to the fundamental investment policy relating to borrowing | |||||||||||||||
Aggressive Equity Portfolio | 344,123,120.91 | 2,534,725.95 | 2,192,022.01 | ||||||||||||
Balanced Portfolio | 349,256,608.69 | 2,295,795.28 | 2,836,084.39 | ||||||||||||
Core Bond Portfolio | 2,042,800,831.85 | 5,286,933.86 | 90,757,325.87 | ||||||||||||
Equity Growth Portfolio | 2,190,747,225.01 | 7,283,514.77 | 82,063,454.21 | ||||||||||||
Growth & Income Portfolio | 964,368,616.74 | 6,010,178.17 | 3,839,308.77 | ||||||||||||
High Quality Bond Portfolio | 837,189,394.68 | 2,452,901.70 | 4,194,948.54 | ||||||||||||
High Yield Bond Portfolio | 535,420,261.71 | 2,579,794.62 | 2,642,029.87 | ||||||||||||
Inflation-Protected Securities Portfolio | 130,710,449.11 | 3,517,484.74 | 479,057.74 | ||||||||||||
International Equity Portfolio | 2,080,347,187.51 | 6,936,281.48 | 60,460,542.74 | ||||||||||||
Mid-Cap Growth Portfolio | 290,125,662.31 | 32,212.57 | 31,019.52 | ||||||||||||
Mid-Cap Value Portfolio | 988,280,060.36 | 3,587,879.38 | 16,181,556.55 | ||||||||||||
Money Market Portfolio | 968,668,767.96 | 4,978,376.69 | 30,642,161.05 | ||||||||||||
Small-Cap Growth Portfolio | 162,064,612.67 | 8,838.24 | 0.00 | ||||||||||||
Small-Cap Value Portfolio | 196,997,058.73 | 161,900.61 | 0.00 | ||||||||||||
Special Equity Portfolio | 1,011,679,520.93 | 4,191,709.66 | 23,394,930.09 | ||||||||||||
Total Return Bond Portfolio | 315,648,901.48 | 194,585.85 | 14,066,335.88 | ||||||||||||
Value & Income Portfolio | 3,180,163,265.49 | 18,488,191.76 | 129,637,433.55 | ||||||||||||
Value Portfolio | 142,357,902.52 | 155,886.94 | 28,521.16 | ||||||||||||
Proposal | For | Against | Abstain | ||||||||||||
To approve a change to the fundamental investment policy relating to senior securities | |||||||||||||||
Aggressive Equity Portfolio | 345,369,188.99 | 1,528,306.99 | 1,953,702.49 | ||||||||||||
Balanced Portfolio | 349,099,234.15 | 2,612,464.74 | 2,678,074.20 | ||||||||||||
Core Bond Portfolio | 2,043,755,500.11 | 3,560,478.63 | 91,529,753.86 | ||||||||||||
Equity Growth Portfolio | 2,192,474,489.60 | 5,614,793.83 | 82,003,363.10 | ||||||||||||
Growth & Income Portfolio | 964,771,372.89 | 5,649,446.46 | 3,795,991.02 | ||||||||||||
223
INVESTOR MEETING RESULTS (Continued)
(Unaudited)
Proposal | For | Against | Abstain | ||||||||||||
High Quality Bond Portfolio | 837,590,792.67 | 2,075,915.29 | 4,170,536.97 | ||||||||||||
High Yield Bond Portfolio | 535,802,198.27 | 1,872,018.41 | 2,964,752.83 | ||||||||||||
Inflation-Protected Securities Portfolio | 131,462,399.05 | 2,778,312.82 | 466,822.63 | ||||||||||||
International Equity Portfolio | 2,080,739,614.60 | 6,526,954.53 | 60,470,553.30 | ||||||||||||
Mid-Cap Growth Portfolio | 290,156,681.83 | 0.00 | 31,019.52 | ||||||||||||
Mid-Cap Value Portfolio | 990,818,966.87 | 1,001,843.17 | 16,228,686.26 | ||||||||||||
Money Market Portfolio | 968,913,886.92 | 3,977,249.34 | 31,398,169.44 | ||||||||||||
Small-Cap Growth Portfolio | 162,069,522.81 | 3,928.10 | 0.00 | ||||||||||||
Small-Cap Value Portfolio | 197,097,849.80 | 61,109.54 | 0.00 | ||||||||||||
Special Equity Portfolio | 1,012,018,053.72 | 3,773,926.01 | 23,477,520.65 | ||||||||||||
Total Return Bond Portfolio | 315,663,409.13 | 180,078.19 | 14,066,335.88 | ||||||||||||
Value & Income Portfolio | 3,180,810,825.24 | 17,925,927.11 | 129,569,748.20 | ||||||||||||
Value Portfolio | 142,377,799.16 | 87,597.89 | 76,913.57 | ||||||||||||
Proposal | For | Against | Abstain | ||||||||||||
To approve a change to the fundamental investment policy relating to underwriting | |||||||||||||||
Aggressive Equity Portfolio | 345,310,326.07 | 1,540,868.41 | 1,998,674.40 | ||||||||||||
Balanced Portfolio | 348,530,210.99 | 2,490,647.84 | 3,367,629.53 | ||||||||||||
Core Bond Portfolio | 2,042,737,398.13 | 4,292,727.13 | 91,815,607.34 | ||||||||||||
Equity Growth Portfolio | 2,192,268,527.75 | 5,678,612.82 | 82,140,641.82 | ||||||||||||
Growth & Income Portfolio | 964,362,415.12 | 5,804,122.96 | 4,050,272.29 | ||||||||||||
High Quality Bond Portfolio | 837,501,487.42 | 2,033,814.32 | 4,305,110.76 | ||||||||||||
High Yield Bond Portfolio | 535,620,030.55 | 1,867,825.98 | 3,152,112.97 | ||||||||||||
Inflation-Protected Securities Portfolio | 131,427,570.75 | 2,783,830.81 | 495,590.04 | ||||||||||||
International Equity Portfolio | 2,078,171,577.91 | 8,976,500.09 | 60,587,886.56 | ||||||||||||
Mid-Cap Growth Portfolio | 290,128,048.43 | 0.00 | 60,845.97 | ||||||||||||
Mid-Cap Value Portfolio | 990,840,959.87 | 968,602.91 | 16,242,693.70 | ||||||||||||
Money Market Portfolio | 968,955,978.58 | 3,987,830.24 | 31,342,028.37 | ||||||||||||
Small-Cap Growth Portfolio | 162,064,612.67 | 3,928.10 | 4,910.13 | ||||||||||||
Small-Cap Value Portfolio | 197,092,294.38 | 61,109.54 | 5,555.41 | ||||||||||||
224
INVESTOR MEETING RESULTS (Continued)
(Unaudited)
Proposal | For | Against | Abstain | ||||||||||||
Special Equity Portfolio | 1,012,257,497.38 | 3,440,971.06 | 23,572,183.87 | ||||||||||||
Total Return Bond Portfolio | 315,692,145.02 | 180,078.19 | 14,037,600.00 | ||||||||||||
Value & Income Portfolio | 3,178,889,099.24 | 18,677,984.90 | 130,714,451.30 | ||||||||||||
Value Portfolio | 142,362,127.98 | 106,183.44 | 73,999.21 | ||||||||||||
Proposal | For | Against | Abstain | ||||||||||||
To approve a change to the fundamental investment policy relating to real estate | |||||||||||||||
Aggressive Equity Portfolio | 345,216,499.21 | 1,753,305.63 | 1,880,064.02 | ||||||||||||
Balanced Portfolio | 348,403,423.31 | 2,604,535.63 | 3,381,814.16 | ||||||||||||
Core Bond Portfolio | 2,043,139,277.68 | 5,556,702.09 | 90,036,752.83 | ||||||||||||
Equity Growth Portfolio | 2,192,874,490.82 | 5,235,717.46 | 81,974,224.53 | ||||||||||||
Growth & Income Portfolio | 964,256,754.14 | 5,989,080.29 | 3,976,278.99 | ||||||||||||
High Quality Bond Portfolio | 837,381,022.14 | 2,332,567.15 | 4,126,539.36 | ||||||||||||
High Yield Bond Portfolio | 535,572,754.70 | 2,239,047.31 | 2,828,167.50 | ||||||||||||
Inflation-Protected Securities Portfolio | 131,489,172.67 | 2,807,086.49 | 411,275.33 | ||||||||||||
International Equity Portfolio | 2,079,592,001.35 | 9,416,404.20 | 58,735,606.17 | ||||||||||||
Mid-Cap Growth Portfolio | 290,166,226.29 | 20,281.99 | 2,386.12 | ||||||||||||
Mid-Cap Value Portfolio | 990,469,649.12 | 3,074,235.49 | 14,508,371.87 | ||||||||||||
Money Market Portfolio | 968,957,042.28 | 4,761,430.60 | 30,570,872.33 | ||||||||||||
Small-Cap Growth Portfolio | 162,069,522.81 | 3,437.09 | 0.00 | ||||||||||||
Small-Cap Value Portfolio | 197,097,849.80 | 61,109.54 | 5,555.41 | ||||||||||||
Special Equity Portfolio | 1,012,181,604.60 | 3,959,221.08 | 23,126,486.94 | ||||||||||||
Total Return Bond Portfolio | 315,647,785.50 | 224,437.71 | 14,037,600.00 | ||||||||||||
Value & Income Portfolio | 3,178,966,807.30 | 20,882,650.63 | 128,449,663.90 | ||||||||||||
Value Portfolio | 142,371,365.70 | 106,183.44 | 64,761.48 | ||||||||||||
Proposal | For | Against | Abstain | ||||||||||||
To approve a change to the fundamental investment policy relating to making loans | |||||||||||||||
Aggressive Equity Portfolio | 344,408,664.37 | 2,427,095.05 | 2,015,439.06 | ||||||||||||
Balanced Portfolio | 348,338,239.83 | 3,300,929.56 | 2,749,318.97 | ||||||||||||
225
INVESTOR MEETING RESULTS (Continued)
(Unaudited)
Proposal | For | Against | Abstain | ||||||||||||
Core Bond Portfolio | 2,042,472,864.53 | 5,485,633.59 | 90,877,875.50 | ||||||||||||
Equity Growth Portfolio | 2,190,467,033.24 | 7,558,666.92 | 82,068,493.84 | ||||||||||||
Growth & Income Portfolio | 963,650,160.57 | 6,359,389.67 | 4,209,976.58 | ||||||||||||
High Quality Bond Portfolio | 837,236,495.80 | 2,387,962.86 | 4,215,386.14 | ||||||||||||
High Yield Bond Portfolio | 535,314,517.61 | 2,679,320.37 | 2,646,131.52 | ||||||||||||
Inflation-Protected Securities Portfolio | 130,697,419.52 | 3,534,836.04 | 475,278.93 | ||||||||||||
International Equity Portfolio | 2,077,085,931.73 | 10,136,376.94 | 60,520,545.19 | ||||||||||||
Mid-Cap Growth Portfolio | 290,169,805.47 | 9,544.47 | 9,544.47 | ||||||||||||
Mid-Cap Value Portfolio | 988,186,154.96 | 3,687,364.16 | 16,178,737.36 | ||||||||||||
Money Market Portfolio | 968,445,825.88 | 5,098,332.36 | 30,745,147.46 | ||||||||||||
Small-Cap Growth Portfolio | 162,069,522.81 | 3,437.09 | 0.00 | ||||||||||||
Small-Cap Value Portfolio | 197,002,614.15 | 156,345.19 | 0.00 | ||||||||||||
Special Equity Portfolio | 1,010,683,188.32 | 5,011,892.66 | 23,574,419.40 | ||||||||||||
Total Return Bond Portfolio | 315,639,484.03 | 224,437.71 | 73,999.21 | ||||||||||||
Value & Income Portfolio | 3,175,032,102.46 | 22,274,925.66 | 130,974,507.32 | ||||||||||||
Value Portfolio | 142,368,561.43 | 99,749.98 | 73,999.21 | ||||||||||||
Proposal | For | Against | Abstain | ||||||||||||
To approve a change to the fundamental investment policy relating to concentration | |||||||||||||||
Aggressive Equity Portfolio | 342,496,462.59 | 4,151,882.22 | 2,202,853.67 | ||||||||||||
Balanced Portfolio | 348,309,678.43 | 2,804,070.59 | 3,274,739.34 | ||||||||||||
Core Bond Portfolio | 2,043,004,552.13 | 4,285,785.83 | 91,555,394.64 | ||||||||||||
Equity Growth Portfolio | 2,191,771,543.98 | 6,144,289.20 | 82,163,480.85 | ||||||||||||
Growth & Income Portfolio | 964,360,908.79 | 5,702,560.09 | 4,153,341.49 | ||||||||||||
High Quality Bond Portfolio | 837,529,634.30 | 2,030,930.59 | 4,764,168.10 | ||||||||||||
High Yield Bond Portfolio | 532,758,873.39 | 4,890,469.88 | 2,990,626.23 | ||||||||||||
Inflation-Protected Securities Portfolio | 131,434,115.84 | 2,871,237.62 | 401,638.15 | ||||||||||||
International Equity Portfolio | 2,073,031,109.40 | 14,328,163.96 | 60,384,738.37 | ||||||||||||
Mid-Cap Growth Portfolio | 290,118,503.96 | 9,544.47 | 60,845.97 | ||||||||||||
Mid-Cap Value Portfolio | 987,788,704.48 | 3,987,736.04 | 16,275,815.96 | ||||||||||||
Money Market Portfolio | 967,128,807.37 | 6,488,699.34 | 30,671,379.33 | ||||||||||||
Small-Cap Growth Portfolio | 162,065,103.69 | 3,437.09 | 4,910.13 | ||||||||||||
�� |
226
INVESTOR MEETING RESULTS (Continued)
(Unaudited)
Proposal | For | Against | Abstain | ||||||||||||
Small-Cap Value Portfolio | 196,997,852.37 | 155,551.56 | 5,555.41 | ||||||||||||
Special Equity Portfolio | 1,013,297,157.50 | 5,863,526.37 | 23,444,013.96 | ||||||||||||
Total Return Bond Portfolio | 314,551,619.96 | 1,320,603.25 | 14,037,600.00 | ||||||||||||
Value & Income Portfolio | 3,172,812,440.13 | 23,395,017.00 | 130,974,452.54 | ||||||||||||
Value Portfolio | 142,383,517.79 | 94,031.35 | 64,761.48 | ||||||||||||
Proposal | For | Against | Abstain | ||||||||||||
To approve a change to the fundamental investment policy relating to commodities | |||||||||||||||
Aggressive Equity Portfolio | 345,311,609.69 | 1,591,979.66 | 1,947,609.13 | ||||||||||||
Balanced Portfolio | 348,351,696.75 | 2,622,521.49 | 3,414,270.11 | ||||||||||||
Core Bond Portfolio | 2,042,738,895.82 | 5,609,300.55 | 90,497,536.23 | ||||||||||||
Equity Growth Portfolio | 2,192,290,498.04 | 6,396,870.94 | 81,398,611.30 | ||||||||||||
Growth & Income Portfolio | 963,870,192.75 | 5,455,030.94 | 4,891,586.68 | ||||||||||||
High Quality Bond Portfolio | 837,616,146.16 | 2,033,814.32 | 4,187,284.44 | ||||||||||||
High Yield Bond Portfolio | 535,650,109.33 | 2,224,312.37 | 2,765,547.80 | ||||||||||||
Inflation-Protected Securities Portfolio | 131,720,925.44 | 2,571,270.54 | 414,345.62 | ||||||||||||
International Equity Portfolio | 2,082,150,461.87 | 6,773,103.37 | 58,820,244.68 | ||||||||||||
Mid-Cap Growth Portfolio | 290,154,295.71 | 0.00 | 33,405.63 | ||||||||||||
Mid-Cap Value Portfolio | 990,292,082.55 | 3,060,434.55 | 14,699,739.37 | ||||||||||||
Money Market Portfolio | 970,550,575.05 | 3,048,492.68 | 30,690,237.96 | ||||||||||||
Small-Cap Growth Portfolio | 162,064,612.67 | 3,928.10 | 4,910.13 | ||||||||||||
Small-Cap Value Portfolio | 197,092,294.38 | 61,109.54 | 5,555.41 | ||||||||||||
Special Equity Portfolio | 1,011,976,295.43 | 4,041,946.13 | 23,246,767.21 | ||||||||||||
Total Return Bond Portfolio | 315,648,901.48 | 194,585.85 | 14,066,335.88 | ||||||||||||
Value & Income Portfolio | 3,178,434,069.56 | 20,053,973.98 | 129,800,847.26 | ||||||||||||
Value Portfolio | 142,389,951.25 | 87,597.89 | 64,761.48 | ||||||||||||
227
ITEM 7. | DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
ITEM 8. | PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
ITEM 9. | PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. |
By | /s/ John K. Carter | |
John K. Carter | ||
Principal Executive Officer | ||
Date | March 7, 2008 |
By | /s/ John K. Carter | |
John K. Carter | ||
Chief Executive Officer | ||
Date | March 7, 2008 | |
By | /s/ Joseph P. Carusone | |
Joseph P. Carusone | ||
Principal Financial Officer | ||
Date | March 7, 2008 |