| Security | CUSIP | Shares | Traded Market Value | % of Holding ↓ |
| FNMA 15YR TBA 11/18/19 | 01F0504B9 | 20,000,000 | $19,550,000.00 | 6.45% |
| US TREASURY 2.375 8/31/10 | 912828JJ0 | 16,060,000 | $16,310,937.50 | 5.38% |
| FREDDIE MA 5.125 08/23/10 | 3137EAAX7 | 12,000,000 | $12,434,892.00 | 4.10% |
| FNMA 30YR TBA 6.00 NOV | 01F0606B6 | 10,000,000 | $9,993,750.00 | 3.30% |
| FANNIE MAE 3.375 05/19/11 | 31398ARH7 | 8,275,000 | $8,313,644.25 | 2.74% |
| MORGAN STA. 4.00 01/15/10 | 61746SBC2 | 5,470,000 | $5,178,202.85 | 1.71% |
| CITICORP MS 5.00 08/25/20 | 1729732B4 | 5,017,484 | $4,754,066.22 | 1.57% |
| FHARM 1G1676 VRN 04/01/37 | 3128QJ2H8 | 4,699,560 | $4,735,115.91 | 1.56% |
| GCCFC 05 4.305 08/10/42 | 396789JR1 | 4,810,000 | $4,628,294.07 | 1.52% |
| GOLDMAN 6.875 01/15/11 | 38141GAZ7 | 4,720,000 | $4,601,915.04 | 1.52% |
| CSFB 04-C3 4.302 07/15/36 | 22541SWH7 | 4,670,000 | $4,569,862.59 | 1.51% |
| FRST BSTN 4.609 02/15/38 | 225458DJ4 | 4,745,000 | $4,530,029.67 | 1.49% |
| JPMORGAN 6.75% 02/01/11 | 46625HAJ9 | 4,555,000 | $4,523,310.87 | 1.49% |
| BNK AMRICA 7.40 01/15/11 | 060505AG9 | 4,455,000 | $4,384,000.67 | 1.44% |
| INST CASH MANAGEMENT MMKT | 76628T264 | 4,330,805 | $4,330,805.78 | 1.43% |
| LB-UBS 4.31 02/15/30 | 52108H2R4 | 4,500,000 | $4,275,380.25 | 1.41% |
| FNMA #382969 VRN 12/01/10 | 31377PMS0 | 4,107,548 | $4,269,411.36 | 1.41% |
| FNARM 822302 VRN 05/01/35 | 31406WRX4 | 4,156,775 | $4,178,379.51 | 1.38% |
| GNR 06-39 3.772 06/16/25 | 38373MVU1 | 4,224,182 | $4,174,585.21 | 1.37% |
| FNARM VRN 11/01/37 | 31410GTK9 | 4,112,371 | $4,137,380.38 | 1.36% |
| AMER EXPR VRN 04/26/10 | 02580EBS1 | 4,300,000 | $4,107,944.80 | 1.35% |
| CITIGROUP 6.50 01/18/11 | 172967BC4 | 4,200,000 | $4,088,334.60 | 1.35% |
| FNMA 5.62 02/01/12 | 31409LLN3 | 3,995,000 | $4,062,878.81 | 1.34% |
| BANC AMERI 5.25 01/25/21 | 05948KZ69 | 4,442,827 | $3,984,660.92 | 1.31% |
| FHLMC 5.4 02/02/12 | 3128X5ZC5 | 3,850,000 | $3,875,356.10 | 1.28% |
| ORACLE CORP 5.00 01/15/11 | 68402LAE4 | 3,860,000 | $3,828,058.50 | 1.26% |
| EMRSN ELEC 7.125 08/15/10 | 291011AM6 | 3,675,000 | $3,818,299.28 | 1.26% |
| WACHOVIA 4.38 10/15/41 | 929766YV9 | 3,933,096 | $3,784,135.38 | 1.25% |
| MCDONNELL 9.75 04/01/12 | 580169AM2 | 3,450,000 | $3,735,546.15 | 1.23% |
| DIAGEO PLC 4.375 05/03/10 | 25243YAG4 | 3,765,000 | $3,726,243.09 | 1.23% |
| MALT 2004-5 VRN 07/25/19 | 576434RJ5 | 4,030,642 | $3,685,869.58 | 1.21% |
| PHILIP MOR 4.875 05/16/13 | 718172AB5 | 3,965,000 | $3,680,281.28 | 1.21% |
| WELLS FRGO 4.375 01/31/13 | 949746NY3 | 3,900,000 | $3,600,690.60 | 1.18% |
| DEUTSCHE ALT VRN 02/25/20 | 251510CX9 | 3,712,306 | $3,592,243.55 | 1.18% |
| JPMCC 05 4.625 03/15/46 | 46625YGL1 | 3,680,000 | $3,538,552.58 | 1.16% |
| CATERPILLAR 4.15 01/15/10 | 14912L2K6 | 3,565,000 | $3,480,063.88 | 1.14% |
| PRUDENTIAL 5.15 01/15/13 | 74432QBE4 | 4,020,000 | $3,449,775.06 | 1.13% |
| DOVER CORP 6.50 02/15/11 | 260003AD0 | 3,385,000 | $3,444,653.86 | 1.13% |
| US BANCORP 4.50 07/29/10 | 91159HGJ3 | 3,515,000 | $3,439,645.43 | 1.13% |
| AMICN EXPR 5.875 05/02/13 | 0258M0CW7 | 3,995,000 | $3,339,560.33 | 1.10% |
| WFMBS 06-16 5.00 11/25/36 | 94984YAM0 | 3,340,053 | $3,278,184.38 | 1.08% |
| CRDT SUISE 5.25% 03/02/11 | 225434AF6 | 3,395,000 | $3,235,299.20 | 1.06% |
| US T NOTES 4.50 02/28/11 | 912828EX4 | 3,000,000 | $3,211,407.00 | 1.06% |
| ARMT 2005 VRN 08/25/35 | 007036KD7 | 3,718,690 | $3,094,911.37 | 1.02% |
| FNMA 7.01 11/01/10 | 31377PES9 | 2,968,728 | $3,082,059.52 | 1.01% |
| RFMSI 4.75% 03/25/19 | 76111XGN7 | 3,319,642 | $3,078,968.14 | 1.01% |
| WFMBS 06-AR8 VRN 04/25/36 | 94983VAN5 | 3,775,806 | $3,066,320.68 | 1.01% |
| FNMA VRN 10/01/10 | 31377PFX7 | 2,927,711 | $3,032,193.56 | 1.00% |
| BEAR STERN 4.937 05/14/16 | 07383FD88 | 3,000,000 | $3,024,881.40 | 0.99% |
| KELLOG CO. 6.60% 04/01/11 | 487836AS7 | 3,000,000 | $3,023,421.00 | 0.99% |
| WACHOVIA 6.375 02/01/09 | 929771AC7 | 3,000,000 | $2,978,679.00 | 0.98% |
| WFMBS 06-AR8 VRN 04/25/36 | 94983VAJ4 | 3,168,389 | $2,927,543.36 | 0.96% |
| FHARM 1B7142 VRN 09/01/36 | 3128QPKE1 | 2,756,328 | $2,821,247.18 | 0.93% |
| GENERAL ELEC 5.2 02/01/11 | 36962G2C7 | 2,900,000 | $2,804,853.90 | 0.92% |
| GEN ELECTRIC 6.0 06/15/12 | 36962GYY4 | 2,875,000 | $2,748,638.00 | 0.90% |
| MET LIFE 5.125 04/10/13 | 592179JG1 | 3,000,000 | $2,681,739.00 | 0.88% |
| FNR 2006-81 6.0% 12/25/30 | 31396KN73 | 2,610,000 | $2,640,562.32 | 0.87% |
| HOUSEHOLD 8.00 07/15/10 | 441812GM0 | 2,690,000 | $2,617,517.95 | 0.86% |
| ING USA GLBL 4.5 10/01/10 | 44982XAA5 | 2,500,000 | $2,531,490.00 | 0.83% |
| ABBOTT LAB 5.15% 11/30/12 | 002819AA8 | 2,545,000 | $2,515,539.08 | 0.83% |
| MARM 2007-1 VRN 11/25/36 | 576431AJ9 | 3,783,935 | $2,511,739.44 | 0.82% |
| FNMA 5.08 05/14/10 | 31398ABT8 | 2,275,000 | $2,303,403.38 | 0.76% |
| SUNTRUST VRN 08/25/22 | 855541AA6 | 2,522,273 | $2,231,051.36 | 0.73% |
| INTL. LEASE 5.75 06/15/11 | 45974VA24 | 3,250,000 | $2,226,929.25 | 0.73% |
| FHASI-2004 VRN 08/25/34 | 32051D5A6 | 2,494,511 | $2,222,744.57 | 0.73% |
| DEUTSCHE 4.875% 05/20/13 | 2515A0NY5 | 2,325,000 | $2,166,621.00 | 0.71% |
| FHMS K001 VRN 01/25/12 | 31396UZT0 | 2,113,948 | $2,144,986.47 | 0.70% |
| FHR 2905 MH 4.50 10/15/28 | 31395KCY7 | 2,123,281 | $2,122,454.05 | 0.70% |
| BANK AMRCA 4.561 11/10/41 | 05947UXN3 | 2,300,000 | $2,089,178.78 | 0.69% |
| GCCFC 04 4.344 06/10/36 | 396789FP9 | 2,099,356 | $2,077,526.23 | 0.68% |
| IBM CORP 6.50 10/15/13 | 459200GN5 | 2,000,000 | $2,057,622.00 | 0.67% |
| XTO ENERGY 5.00 08/01/10 | 98385XAR7 | 2,020,000 | $1,986,459.92 | 0.65% |
| ROGERS 9.625 05/01/11 | 77531QAB4 | 1,868,000 | $1,943,413.03 | 0.64% |
| RAYTHEON 4.85 01/15/11 | 755111BQ3 | 2,000,000 | $1,941,200.00 | 0.64% |
| COMCAST 6.75 01/30/11 | 20029PAL3 | 1,925,000 | $1,890,929.43 | 0.62% |
| CME GROUP 5.4 08/01/13 | 12572QAA3 | 2,000,000 | $1,887,996.00 | 0.62% |
| GREENWICH 5.117% 04/10/37 | 396789LG2 | 2,000,000 | $1,885,348.20 | 0.62% |
| BALTA 2006-2 VRN 03/25/36 | 07386HF71 | 3,219,628 | $1,866,293.11 | 0.61% |
| AVON PROD. 5.125 01/15/11 | 054303AS1 | 1,915,000 | $1,859,066.68 | 0.61% |
| UNION PACFC 6.65 01/15/11 | 907818CK2 | 1,900,000 | $1,848,225.00 | 0.61% |
| AMRCN HNDA 4.625 04/02/13 | 02666QB69 | 2,000,000 | $1,814,272.00 | 0.59% |
| PROVIDENT 4.0383 04/25/34 | 743873AK7 | 1,839,285 | $1,795,576.00 | 0.59% |
| MERRIL LNCH 5.45 02/05/13 | 59018YM40 | 1,920,000 | $1,730,605.44 | 0.57% |
| WELLS FARGO 4.2% 01/15/10 | 949746JJ1 | 1,725,000 | $1,699,497.60 | 0.56% |
| COX COMM 7.75 11/01/10 | 224044AY3 | 1,705,000 | $1,674,458.34 | 0.55% |
| RALI 5.50 09/25/33 | 76110HHX0 | 1,614,420 | $1,610,781.20 | 0.53% |
| CENTERPOINT 7.75 02/15/11 | 75953GAC7 | 1,650,000 | $1,551,313.50 | 0.51% |
| BALTA 2005 VRN 11/25/35 | 07386HYF2 | 2,313,194 | $1,550,512.90 | 0.51% |
| DUKE 7.875 08/16/10 | 26439XAB9 | 1,405,000 | $1,416,787.95 | 0.46% |
| WACHOVIA 5.30 10/15/11 | 929903CF7 | 1,440,000 | $1,359,257.76 | 0.44% |
| AEP 5.375 03/15/10 | 025537AD3 | 1,395,000 | $1,357,120.17 | 0.44% |
| FNARM 772346 VRN 03/01/34 | 31404MBP2 | 1,340,017 | $1,332,568.89 | 0.44% |
| FHARM 847259 VRN 03/01/34 | 3128JRB47 | 1,326,432 | $1,332,154.90 | 0.44% |
| FHAMS 05-AA7 VRN 09/25/35 | 32051GSQ9 | 1,971,090 | $1,316,971.59 | 0.43% |
| ARMT 2005-1 VRN 05/25/35 | 007036FR2 | 1,640,000 | $1,245,537.03 | 0.41% |
| ROCKS XPRES 6.25 07/15/13 | 77340RAB3 | 1,250,000 | $1,199,827.50 | 0.39% |
| JOHNSON 5.25 01/15/11 | 478366AQ0 | 1,250,000 | $1,164,846.25 | 0.38% |
| FN 555573 6.789 07/01/09 | 31385XFN2 | 1,145,340 | $1,144,853.44 | 0.37% |
| FNMA 4.826 01/01/13 | 31385WWX3 | 1,144,721 | $1,142,137.10 | 0.37% |
| BACM 2004-2 3.52 11/10/38 | 05947URB6 | 1,109,104 | $1,099,096.92 | 0.36% |
| AVON PRDCTS 7.15 11/15/09 | 054303AM4 | 1,085,000 | $1,091,487.22 | 0.36% |
| ALLSTATE 5.375% 04/30/13 | 02003MBQ6 | 1,190,000 | $1,075,412.52 | 0.35% |
| TIME WARNER 6.75 04/15/11 | 00184AAB1 | 1,155,000 | $1,074,824.52 | 0.35% |
| BSCMS 2005 4.94 10/12/42 | 07387BCG6 | 1,084,073 | $1,053,633.15 | 0.34% |
| AT&T INC. 4.95 01/15/13 | 00206RAF9 | 1,125,000 | $1,041,602.63 | 0.34% |
| INGERSOLL 6.00 08/15/13 | 45687AAB8 | 1,100,000 | $1,023,355.30 | 0.33% |
| FHR 2890 AB 3.75 12/15/11 | 31395JR65 | 983,359 | $978,196.41 | 0.32% |
| FNR 2005-21 5.00 11/25/26 | 31394CUN0 | 964,921 | $969,942.53 | 0.32% |
| SBC COMM 4.125 09/15/09 | 78387GAN3 | 915,000 | $904,486.65 | 0.29% |
| COPAR 06-1 4.99 09/15/10 | 14041PBJ4 | 894,134 | $894,116.64 | 0.29% |
| NORTHERN 7.10 03/15/11 | 664785AF9 | 886,000 | $867,766.12 | 0.28% |
| CITIGROUP 6.50 08/19/13 | 172967EU1 | 905,000 | $857,902.90 | 0.28% |
| FHARM 847276 VRN 04/01/34 | 3128JRCM6 | 838,395 | $832,555.64 | 0.27% |
| CVS CAREMARK VRN 09/10/10 | 126650BM1 | 825,000 | $823,964.63 | 0.27% |
| DSMI 04-5 4.98 07/25/34 | 251563FX5 | 761,301 | $758,933.62 | 0.25% |
| SIMON PROP 5.30 05/30/13 | 828807BY2 | 870,000 | $718,084.08 | 0.23% |
| ENTERPRISE 4.625 10/15/09 | 293791AM1 | 740,000 | $708,281.38 | 0.23% |
| MSC 06-HQ8 5.124 03/12/44 | 617451FF1 | 672,620 | $653,681.48 | 0.21% |
| FNARM 555844 VRN 10/01/33 | 31385XP50 | 565,072 | $575,412.60 | 0.19% |
| FNARM 555817 VRN 09/01/33 | 31385XPA9 | 392,524 | $402,735.71 | 0.13% |
| LEHMAN BROS 4.25 01/27/10 | 52517PYN5 | 3,050,000 | $396,500.00 | 0.13% |
| GNR 2002-26 VRN 02/16/24 | 38373MBR0 | 237,619 | $240,568.15 | 0.07% |
| MERRILL LYNCH CDS 9/20/17 | CDX2303KT | -5,000,000 | $239,362.17 | 0.07% |
| CARAT 06-1 5.03 10/15/09 | 139732FY2 | 182,578 | $182,505.86 | 0.06% |
| LEHMAN BRO 5.625 01/24/13 | 5252M0BZ9 | 1,375,000 | $178,750.00 | 0.05% |
| HAROT 05-6 4.85 10/19/09 | 43812NAC1 | 101,787 | $101,811.45 | 0.03% |
| FHR 2882 4.50 08/15/19 | 31395JKR6 | 77,379 | $75,776.29 | 0.02% |
| MERRILL LYNCH CDS 9/20/12 | CDX2303KS | 8,500,000 | -$554,538.02 | -0.18% |
| US 10YR NOTE FUTURE DEC08 | TYZ8 | -37 | -$4,183,890.81 | -1.38% |
| FNMA 30YR TBA NOV 5.50% | 01F0526B3 | -16,000,000 | -$15,630,000.00 | -5.16% |
| US 5YR NOTE FUTURE DEC08 | FVZ8 | -283 | -$32,051,960.23 | -10.59% |
| Total Long Positions | | | $355,055,227.98 | |
| Total Short Positions | | | -$52,420,389.06 | |
| Total Fund Assets | | | $302,634,838.92 | 100.00% |
