PAR (000S) FAIR VALUE (000S) % OF NET ASSETS
TRANSFERABLE SECURITIES & MONEY MARKET INSTRUMENTS - OFFICIAL STOCK EXCHANGE/ REGULATED MARKET
BERMUDA
Qtel International Finance Ltd.
5.000% due 10/19/2025 $ 500 $ 455 0.23
BRAZIL
Banco do Brasil S.A.
6.000% due 01/22/2020 300 326 0.16 Brazil Notas do Tesouro Nacional Series F
10.000% due 01/01/2017 BRL 3,400 1,878 0.95 CSN Resources S.A.
6.500% due 07/21/2020 $ 100 106 0.05
2,310 1.16
CANADA
Canadian Imperial Bank of Commerce
2.000% due 02/04/2013 500 509 0.26 Column Canada Issuer Corp.
5.147% due 05/12/2034 CAD 24 24 0.01 Glacier Credit Card Trust
5.027% due 02/20/2013 100 106 0.05 Kinder Morgan Finance Co. ULC
5.350% due 01/05/2011 $ 100 100 0.05 5.700% due 01/05/2016 2,500 2,544 1.28
3,283 1.65
CAYMAN ISLANDS
American Money Management Corp.
0.539% due 08/08/2017 700 662 0.33 Atrium CDO Corp.
0.718% due 06/27/2015 423 402 0.20 Hutchison Whampoa International Ltd.
6.500% due 02/13/2013 300 328 0.17 IPIC GMTN Ltd. 5.000% due 11/15/2020 600 591 0.30 Landmark CDO Ltd. 0.596% due 06/01/2017 493 462 0.23 2,445 1.23 CHILE
Banco Santander Chile
3.750% due 09/22/2015 200 200 0.10
FRANCE
BNP Paribas
5.186% due 06/29/2049 50 46 0.02 BNP Paribas Home Loan Covered Bonds S.A. 4.750% due 05/28/2013 € 100 143 0.07 Dexia Credit Local S.A.
0.768% due 04/29/2014 $ 800 797 0.40 Vivendi S.A.
5.750% due 04/04/2013 100 108 0.06
1,094 0.55
GERMANY
Hella KGaA Hueck & Co.
7.250% due 10/20/2014 € 700 1,025 0.51 Republic of Germany
4.250% due 07/04/2018 400 594 0.30
1,619 0.81 IRELAND
Depfa ACS Bank
3.250% due 02/15/2012 1,100 1,465 0.74
SHARES
PIMCO US Dollar Short-Term
DESCRIPTION PAR (000S) FAIR VALUE (000S) % OF NET ASSETS ITALY
Asset-Backed European Securitisation Transaction Srl
1.711% due 09/21/2020 € 619 $ 831 0.42 Intesa Sanpaolo SpA
0.789% due 01/19/2012 $ 200 198 0.10
1,029 0.52
JAPAN
Japan Treasury Bills
0.120% due 01/20/2011 JPY 100,000 1,233 0.62 0.121% due 01/12/2011 650,000 8,014 4.03
9,247 4.65
LUXEMBOURG
Volkswagen Car Lease
1.491% due 06/21/2016 € 713 955 0.48
MEXICO
America Movil SAB de C.V.
3.625% due 03/30/2015 $ 200 207 0.11 Banco Mercantil del Norte S.A.
4.375% due 07/19/2015 300 306 0.15
513 0.26 NETHERLANDS
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA 6.875% due 03/19/2020 € 200 255 0.13 Deutsche Telekom International Finance BV 5.375% due 03/23/2011 $ 200 202 0.10
457 0.23
NORWAY
Kommunalbanken AS
0.433% due 03/04/2013 1,500 1,506 0.76 Norway Government Bond
6.500% due 05/15/2013 NOK 3,123 586 0.29
2,092 1.05
QATAR
Qatar Government International Bond
4.000% due 01/20/2015 $ 1,100 1,144 0.58 5.250% due 01/20/2020 300 318 0.16 Qatari Diar Finance QSC
5.000% due 07/21/2020 800 798 0.40
2,260 1.14
RUSSIA
Gazprom Via Gaz Capital S.A.
7.343% due 04/11/2013 100 109 0.05 8.125% due 07/31/2014 1,000 1,129 0.57
1,238 0.62 SOUTH KOREA
Export-Import Bank of Korea
5.125% due 06/29/2020 200 207 0.10
SPAIN
Santander U.S. Debt S.A. Unipersonal
1.103% due 03/30/2012 400 395 0.20 SWITZERLAND UBS AG 0.439% due 04/18/2016 500 492 0.25 5.875% due 12/20/2017 2,800 3,084 1.55 3,576 1.80
UNITED ARAB EMIRATES
DESCRIPTION PAR (000S) FAIR VALUE (000S) % OF NET ASSETS UNITED KINGDOM Barclays Bank PLC 10.179% due 06/12/2021 $ 80 $ 100 0.05 BP Capital Markets PLC 0.442% due 04/11/2011 100 100 0.05 FCE Bank PLC 7.875% due 02/15/2011 £ 600 946 0.48 HBOS PLC 6.750% due 05/21/2018 $ 100 94 0.05 LBG Capital No.1 PLC 8.000% due 12/29/2049 200 176 0.09 LBG Capital No.2 PLC 9.125% due 07/15/2020 £ 700 1,014 0.51 Lloyds TSB Bank PLC 12.000% due 12/29/2049 $ 100 109 0.05 Standard Chartered PLC 3.625% due 12/15/2015 €300 409 0.20 2,948 1.48 UNITED STATES ASSET-BACKED SECURITIES
Accredited Mortgage Loan Trust
0.311% due 02/25/2037 $ 2 1 0.00 Amortizing Residential Collateral Trust
0.961% due 10/25/2031 87 78 0.04 Asset-Backed Funding Certificates
0.611% due 06/25/2034 74 61 0.03 Bear Stearns Asset-Backed Securities Trust 0.311% due 11/25/2036 285 274 0.14 Carrington Mortgage Loan Trust
0.311% due 12/25/2036 30 27 0.01 0.361% due 05/25/2036 157 151 0.08 Citigroup Mortgage Loan Trust, Inc.
0.321% due 05/25/2037 25 24 0.01 0.321% due 07/25/2045 41 34 0.02 Countrywide Asset-Backed Certificates
0.311% due 07/25/2037 133 129 0.06 0.341% due 10/25/2047 152 150 0.08 0.371% due 10/25/2046 66 65 0.03 0.741% due 12/25/2031 106 56 0.03 Denver Arena Trust
6.940% due 11/15/2019 200 188 0.09 First Franklin Mortgage Loan
Asset-Backed Certificates
0.311% due 11/25/2036 7 6 0.00
First NLC Trust
0.331% due 08/25/2037 314 215 0.11 Fremont Home Loan Trust
0.371% due 02/25/2036 13 13 0.01 HSI Asset Securitization Corp. Trust
0.311% due 10/25/2036 12 9 0.00
0.311% due 12/25/2036 17 16 0.01 0.321% due 05/25/2037 14 14 0.01 JPMorgan Mortgage Acquisition Corp.
0.321% due 03/25/2047 30 24 0.01 Mid-State Trust
5.787% due 10/15/2040 268 253 0.13 Morgan Stanley ABS Capital I
0.311% due 07/25/2036 8 3 0.00
0.321% due 05/25/2037 237 206 0.11 0.371% due 10/25/2036 100 86 0.04 Morgan Stanley Mortgage Loan Trust
0.331% due 01/25/2047 11 10 0.01 Nationstar Home Equity Loan Trust
0.321% due 06/25/2037 99 97 0.05 Renaissance Home Equity Loan Trust
0.861% due 11/25/2034 507 427 0.21 Securitized Asset-Backed Receivables LLC Trust 0.391% due 05/25/2037 32 25 0.01 SLM Student Loan Trust
31 December 2010 DESCRIPTION PAR (000S) FAIR VALUE (000S) % OF NET ASSETS
CORPORATE BONDS & NOTES
American Express Bank FSB
0.391% due 05/29/2012 $ 100 $ 100 0.05 American Express Credit Corp.
0.381% due 02/24/2012 100 100 0.05 American International Group, Inc.
8.000% due 05/22/2038 € 200 260 0.13 8.175% due 05/15/2058 $ 100 107 0.05 Cellco Partnership
2.884% due 05/20/2011 100 101 0.05 3.750% due 05/20/2011 200 202 0.10 CIT Group, Inc.
7.000% due 05/01/2013 500 511 0.26 7.000% due 05/01/2014 100 101 0.05 Citigroup Capital XXI
8.300% due 12/21/2057 200 209 0.11 Citigroup, Inc.
2.286% due 08/13/2013 400 407 0.21 8.500% due 05/22/2019 1,200 1,492 0.75 Continental Airlines, Inc.
6.750% due 09/15/2015 100 103 0.05 DR Horton, Inc.
5.625% due 09/15/2014 2,700 2,767 1.39 El Paso Pipeline Partners Operating Co. LLC 6.500% due 04/01/2020 100 105 0.05 Ford Motor Credit Co. LLC
8.000% due 06/01/2014 100 110 0.05 8.700% due 10/01/2014 400 451 0.23 General Electric Capital Corp.
1.184% due 05/22/2013 100 100 0.05 Goldman Sachs Group, Inc.
1.393% due 01/30/2017 € 500 616 0.31 3.700% due 08/01/2015 $ 300 306 0.15 5.150% due 01/15/2014 100 108 0.06 HCA, Inc. 9.625% due 11/15/2016 (b) 1,200 1,288 0.65 Hewlett-Packard Co. 1.342% due 05/27/2011 100 100 0.05 HSBC Finance Corp. 6.676% due 01/15/2021 300 304 0.15 International Lease Finance Corp.
5.450% due 03/24/2011 400 403 0.20 5.550% due 09/05/2012 900 915 0.46 6.750% due 09/01/2016 300 322 0.16 7.125% due 09/01/2018 200 213 0.11 Ipalco Enterprises, Inc.
8.625% due 11/14/2011 800 834 0.42 Lehman Brothers Holdings, Inc. (c)
5.625% due 01/24/2013 100 25 0.01 7.875% due 05/08/2018 £ 100 38 0.02 Limited Brands, Inc.
6.900% due 07/15/2017 $ 800 854 0.43 SLM Corp.
0.518% due 10/25/2011 100 99 0.05 Sprint Capital Corp.
7.625% due 01/30/2011 800 803 0.40 Starwood Hotels & Resorts Worldwide, Inc. 7.875% due 05/01/2012 1,000 1,070 0.54 Tennessee Gas Pipeline Co.
8.000% due 02/01/2016 500 583 0.29 Viacom, Inc. 6.250% due 04/30/2016 500 570 0.29 Wachovia Corp. 0.659% due 10/15/2016 1,200 1,124 0.57 Whirlpool Corp. 6.500% due 06/15/2016 500 552 0.28 18,353 9.23 MORTGAGE-BACKED SECURITIES
American Home Mortgage Assets
0.451% due 05/25/2046 45 26 0.01 0.471% due 10/25/2046 60 33 0.01 1.028% due 02/25/2047 68 34 0.02 1.248% due 11/25/2046 67 34 0.02 DESCRIPTION PAR (000S) FAIR VALUE (000S) % OF NET ASSETS
American Home Mortgage Investment Trust 1.957% due 09/25/2045 $ 35 $ 31 0.01 2.264% due 10/25/2034 58 51 0.03 Banc of America Commercial Mortgage, Inc. 5.414% due 09/10/2047 300 314 0.16 Banc of America Funding Corp.
4.945% due 09/20/2034 595 602 0.30 Banc of America Large Loan, Inc.
5.768% due 12/24/2049 700 741 0.37 Banc of America Mortgage Securities, Inc.
5.356% due 02/25/2036 46 37 0.02 Bear Stearns Adjustable Rate Mortgage Trust 2.730% due 03/25/2035 773 738 0.37 3.098% due 09/25/2034 617 527 0.26 3.200% due 02/25/2034 111 99 0.05 3.609% due 11/25/2034 93 92 0.05 4.944% due 01/25/2035 39 36 0.02 5.326% due 05/25/2047 69 53 0.03 Bear Stearns Alternative-A Trust
2.786% due 10/25/2033 165 138 0.07 2.956% due 11/25/2035 41 24 0.01 6.046% due 08/25/2036 55 36 0.02 Bear Stearns Mortgage Funding Trust
0.331% due 02/25/2037 12 12 0.01 Chase Mortgage Finance Corp.
5.373% due 03/25/2037 51 43 0.02 Citigroup Commercial Mortgage Trust
5.251% due 04/15/2040 81 85 0.04 Citigroup Mortgage Loan Trust, Inc.
2.210% due 08/25/2035 47 45 0.02 Countrywide Alternative Loan Trust
0.451% due 09/25/2046 74 45 0.02 0.456% due 12/20/2046 68 36 0.02 0.471% due 05/25/2035 400 267 0.13 0.471% due 05/20/2046 1,722 970 0.49 0.471% due 07/20/2046 60 28 0.01 0.471% due 07/25/2046 50 30 0.02 0.541% due 02/25/2037 124 73 0.04 0.591% due 11/20/2035 47 29 0.02 1.328% due 12/25/2035 30 20 0.01 5.724% due 02/25/2037 62 46 0.02 Countrywide Home Loan Mortgage
Pass-Through Trust 0.491% due 05/25/2035 467 319 0.16 0.551% due 04/25/2035 445 304 0.15 0.581% due 03/25/2035 487 312 0.16 0.641% due 09/25/2034 10 6 0.00 2.984% due 08/25/2034 781 611 0.31 5.837% due 09/25/2047 64 48 0.02 7.500% due 06/25/2035 991 784 0.40 Deutsche Alternative-A Securities, Inc.
0.351% due 08/25/2037 3 3 0.00
First Horizon Asset Securities, Inc.
2.924% due 08/25/2035 252 206 0.10 First Republic Mortgage Loan Trust
0.610% due 11/15/2031 16 15 0.01 GMAC Mortgage Corp. Loan Trust
4.422% due 06/25/2034 39 37 0.02 Greenpoint Mortgage Funding Trust
0.481% due 06/25/2045 405 273 0.14 GS Mortgage Securities Corp. II
6.751% due 08/15/2018 700 710 0.36 GSR Mortgage Loan Trust
2.825% due 09/25/2035 44 42 0.02 Harborview Mortgage Loan Trust
0.481% due 05/19/2035 428 281 0.14 JPMorgan Chase Commercial Mortgage
Securities Corp.
5.161% due 10/12/2037 100 105 0.05 Mellon Residential Funding Corp.
0.700% due 12/15/2030 12 11 0.01 Morgan Stanley Reremic Trust
5.807% due 08/12/2045 800 857 0.43 Nomura Asset Acceptance Corp.
2.730% due 10/25/2035 393 301 0.15 Regal Trust IV 3.163% due 09/29/2031 596 565 0.28 DESCRIPTION PAR (000S) FAIR VALUE (000S) % OF NET ASSETS
Residential Accredit Loans, Inc.
0.441% due 06/25/2046 $ 115 $ 48 0.02 RiverView HECM Trust
0.321% due 07/25/2047 1,533 1,453 0.73 Sequoia Mortgage Trust
0.611% due 10/19/2026 64 56 0.03 2.823% due 04/20/2035 574 539 0.27 Structured Asset Mortgage Investments, Inc. 0.471% due 04/25/2036 38 22 0.01 0.471% due 05/25/2046 26 15 0.01 0.491% due 05/25/2045 26 17 0.01 0.591% due 10/19/2034 65 60 0.03 0.611% due 03/19/2034 75 68 0.03 0.841% due 07/19/2034 19 17 0.01 Structured Asset Securities Corp.
2.308% due 07/25/2032 41 31 0.01 WaMu Mortgage Pass-Through Certificates 0.521% due 11/25/2045 760 644 0.32 0.571% due 01/25/2045 116 100 0.05 0.581% due 08/25/2045 1,552 1,324 0.67 1.328% due 08/25/2046 51 34 0.02
1.728% due 06/25/2042 10 8 0.00
Wells Fargo Mortgage-Backed Securities Trust 2.848% due 03/25/2035 498 461 0.23 2.856% due 12/25/2034 62 60 0.03 6.000% due 07/25/2037 617 577 0.29
16,699 8.38
MUNICIPAL BONDS & NOTES
California, General Obligation Bonds, Series 2009 7.300% due 10/01/2039 500 504 0.26 7.500% due 04/01/2034 100 104 0.05 Irvine, California, Irvine Ranch Water District Joint
Powers Agency Revenue Bonds, Series 2010 2.605% due 03/15/2014 800 815 0.41 South Carolina Student Loan Corp. Education Revenue
Bonds, Series 2010
0.000% due 01/25/2021 700 699 0.35
2,122 1.07
REPURCHASE AGREEMENTS
Credit Suisse First Boston 0.230% due 01/03/2011 (Dated 12/31/2010. Collateralised by US Treasury Notes 1.000% due 09/30/2011 valued at $20,045. Repurchase proceeds are $19,600.) 19,600 19,600 9.86 Deutsche Bank Securities, Inc.
0.200% due 01/03/2011 (Dated 12/31/2010. Collateralised by US Treasury Bonds 6.750% due 08/15/2026 valued at $20,056. Repurchase proceeds are $19,600.) 19,600 19,600 9.85 JPMorgan Chase & Co.
0.200% due 01/03/2011 (Dated 12/31/2010. Collateralised by US Treasury Notes 2.375% due 07/31/2017 valued at $11,143. Repurchase proceeds are $10,900.) 10,900 10,900 5.48 50,100 25.19 US GOVERNMENT AGENCIES Fannie Mae 0.461% due 10/27/2037 1,500 1,498 0.75 0.741% due 11/25/2040 3,819 3,823 1.92 0.761% due 07/25/2034 66 65 0.03 0.831% due 09/25/2036 215 217 0.11 3.500% due 01/01/2041 26,000 24,838 12.49 4.000% due 07/01/2040 - 01/01/2041 17,000 16,935 8.52 4.500% due 11/01/2039 6,643 6,828 3.43