UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

 

**FORM N-Q**

**QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED**

**MANAGEMENT INVESTMENT COMPANY**

**_______________________________**

Investment Company Act file number  811-06071

DWS Institutional Funds

(Exact name of registrant as specified in charter)

 

345 Park Avenue

New York, NY  10154-0004

(Address of principal executive offices)             (Zip code)

 

Paul Schubert

345 Park Avenue

New York, NY  10154-0004

(Name and address of agent for service)

Registrant's telephone number, including area code:  (212) 454-7190

Date of fiscal year end:  12/31

Date of reporting period: 03/31/08

 

ITEM 1.  SCHEDULE OF INVESTMENTS

 

| Investment Portfolio | **as of March 31, 2008  (Unaudited)** |
|----------------------|---------------------------------------|

 

**DWS U.S. Bond Index Fund**

 

|   | **Principal**

**Amount ($)** |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | **Value ($)** |
|--------|-------------------------------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------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|        |
|   | **Corporate Bonds 19.3%**     |  
**Consumer Discretionary 1.4%**

 
CBS Corp., 7.7%, 7/30/2010  

 

 

200,000 

 

210,475 

Comcast Cable Communications Holdings, Inc., 8.375%, 3/15/2013  

 

 

90,000 

 

99,975 

Comcast Cable Communications LLC, 6.875%, 6/15/2009  

 

 

60,000 

 

61,957 

Comcast Cable Holdings LLC, 7.125%, 2/15/2028  

 

 

100,000 

 

100,677 

Comcast Corp.:

 
 

5.85%, 1/15/2010  

 

 

25,000 

 

25,697 

 

5.85%, 11/15/2015  

 

 

50,000 

 

49,363 

 

6.5%, 1/15/2017  

 

 

75,000 

 

76,599 

 

6.95%, 8/15/2037  

 

 

150,000 

 

150,301 

Cox Communications, Inc.:

 
 

7.125%, 10/1/2012  

 

 

100,000 

 

105,904 

 

7.875%, 8/15/2009  

 

 

50,000 

 

52,331 

 

 

 

Gannett Co., Inc., 6.375%, 4/1/2012  

 

 

50,000 

 

51,604 

Home Depot, Inc.:

 
 

4.625%, 8/15/2010  

 

 

100,000 

 

100,117 

 

5.4%, 3/1/2016  

 

 

100,000 

 

93,994 

Lowe's Companies, Inc., 5.0%, 10/15/2015  

 

 

125,000 

 

125,457 

Macy's Retail Holdings, Inc., 7.45%, 7/15/2017  

 

 

150,000 

 

146,262 

McDonald's Corp., Series I, 6.3%, 10/15/2037  

 

 

75,000 

 

77,040 

McGraw-Hill Companies, Inc., 5.9%, 11/15/2017 (a) 

 

 

50,000 

 

49,603 

News America Holdings, Inc., 9.25%, 2/1/2013  

 

 

100,000 

 

116,044 

News America, Inc.:

 
 

5.3%, 12/15/2014  

 

 

75,000 

 

75,008 

 

6.4%, 12/15/2035  

 

 

50,000 

 

48,526 

R.R. Donnelley & Sons Co., 5.5%, 5/15/2015  

 

 

25,000 

 

22,822 

Target Corp.:

 
 

5.875%, 3/1/2012 (a) 

 

 

200,000 

 

210,064 

 

7.0%, 1/15/2038  

 

 

75,000 

 

77,089 

Time Warner Cable, Inc., 5.85%, 5/1/2017  

 

 

200,000 

 

191,442 

Time Warner, Inc.:

 
 

5.875%, 11/15/2016  

 

 

50,000 

 

47,548 

 

6.625%, 5/15/2029  

 

 

10,000 

 

9,377 

 

6.75%, 4/15/2011  

 

 

150,000 

 

154,251 

 

6.875%, 5/1/2012  

 

 

100,000 

 

103,234 

 

6.95%, 1/15/2028  

 

 

30,000 

 

29,140 

 

7.7%, 5/1/2032  

 

 

25,000 

 

26,320 

VF Corp., 6.45%, 11/1/2037  

 

 

20,000 

 

19,160 

Viacom, Inc.:

 
 

6.25%, 4/30/2016  

 

 

25,000 

 

24,336 

 

6.875%, 4/30/2036  

 

 

100,000 

 

96,296 

Walt Disney Co.:

 
 

Series B, 5.875%, 12/15/2017 (a) 

 

 

50,000 

 

53,168 

 

6.2%, 6/20/2014  

 

 

75,000 

 

81,277 

 

Series B, 6.375%, 3/1/2012  

 

 

25,000 

 

27,071 

Yum! Brands, Inc., 6.25%, 4/15/2016  

 

 

50,000 

 

50,596 

 

**3,040,125**

**Consumer Staples 1.3%**

 
Anheuser-Busch Companies, Inc.:

 
 

4.95%, 1/15/2014  

 

 

100,000 

 

103,376 

 

5.95%, 1/15/2033  

 

 

50,000 

 

50,124 

Bottling Group LLC:

 
 

5.0%, 11/15/2013  

 

 

50,000 

 

52,209 

 

5.5%, 4/1/2016  

 

 

25,000 

 

25,982 

Coca-Cola Co., 5.75%, 3/15/2011 (a) 

 

 

25,000 

 

26,873 

Coca-Cola Enterprises, Inc.:

 
 

6.75%, 9/15/2028  

 

 

50,000 

 

54,945 

 

7.125%, 8/1/2017 (a) 

 

 

50,000 

 

57,920 

 

8.5%, 2/1/2022  

 

 

75,000 

 

95,062 

ConAgra Foods, Inc., 7.125%, 10/1/2026  

 

 

100,000 

 

105,340 

Costco Wholesale Corp., 5.5%, 3/15/2017  

 

 

125,000 

 

129,188 

CVS Caremark Corp.:

 
 

4.0%, 9/15/2009  

 

 

50,000 

 

50,022 

 

5.75%, 6/1/2017  

 

 

50,000 

 

50,778 

 

6.25%, 6/1/2027  

 

 

50,000 

 

49,829 

Diageo Capital PLC:

 
 

5.125%, 1/30/2012  

 

 

25,000 

 

25,755 

 

5.5%, 9/30/2016  

 

 

125,000 

 

126,350 

 

5.75%, 10/23/2017  

 

 

50,000 

 

51,207 

 

 

 

Fortune Brands, Inc., 4.875%, 12/1/2013 (a) 

 

 

50,000 

 

47,853 

General Mills, Inc.:

 
 

5.65%, 9/10/2012  

 

 

25,000 

 

26,001 

 

5.7%, 2/15/2017  

 

 

50,000 

 

50,411 

 

6.0%, 2/15/2012  

 

 

48,000 

 

50,341 

H.J. Heinz Finance Co.:

 
 

6.0%, 3/15/2012  

 

 

25,000 

 

26,195 

 

6.625%, 7/15/2011 (a) 

 

 

25,000 

 

26,600 

 

6.75%, 3/15/2032  

 

 

50,000 

 

50,116 

Kellogg Co.:

 
 

Series B, 6.6%, 4/1/2011  

 

 

50,000 

 

53,883 

 

Series B, 7.45%, 4/1/2031  

 

 

50,000 

 

57,944 

Kimberly-Clark Corp.:

 
 

5.625%, 2/15/2012  

 

 

50,000 

 

53,331 

 

6.625%, 8/1/2037  

 

 

50,000 

 

54,725 

Kraft Foods, Inc.:

 
 

5.625%, 11/1/2011  

 

 

50,000 

 

50,945 

 

6.25%, 6/1/2012  

 

 

40,000 

 

41,656 

 

6.5%, 8/11/2017  

 

 

100,000 

 

102,595 

Kroger Co., 8.0%, 9/15/2029  

 

 

50,000 

 

56,473 

Pepsi Bottling Group, Inc., Series B, 7.0%, 3/1/2029  

 

 

25,000 

 

29,007 

PepsiCo, Inc., 4.65%, 2/15/2013  

 

 

100,000 

 

103,503 

Procter & Gamble Co., 6.875%, 9/15/2009  

 

 

200,000 

 

211,312 

Reynolds American, Inc., 7.625%, 6/1/2016  

 

 

75,000 

 

78,912 

Safeway, Inc., 6.5%, 3/1/2011  

 

 

80,000 

 

85,041 

Sara Lee Corp., 3.875%, 6/15/2013  

 

 

100,000 

 

94,324 

Unilever Capital Corp., 7.125%, 11/1/2010  

 

 

50,000 

 

54,822 

Wal-Mart Stores, Inc.:

 
 

4.55%, 5/1/2013  

 

 

100,000 

 

102,670 

 

5.25%, 9/1/2035  

 

 

300,000 

 

265,506 

 

5.875%, 4/5/2027  

 

 

50,000 

 

49,689 

 

6.875%, 8/10/2009  

 

 

100,000 

 

105,561 

 

**2,984,376**

**Energy 1.3%**

 
Alabama Power Co.:

 
 

5.5%, 10/15/2017 (a) 

 

 

100,000 

 

102,381 

 

5.7%, 2/15/2033  

 

 

50,000 

 

46,949 

Alberta Energy Co., Ltd.:

 
 

7.375%, 11/1/2031  

 

 

50,000 

 

54,961 

 

7.65%, 9/15/2010  

 

 

10,000 

 

10,754 

Anadarko Finance Co., Series B, 6.75%, 5/1/2011  

 

 

25,000 

 

26,703 

Anadarko Petroleum Corp., 5.95%, 9/15/2016  

 

 

100,000 

 

103,415 

Apache Corp., 6.0%, 1/15/2037  

 

 

100,000 

 

100,950 

Buckeye Partners LP, 6.05%, 1/15/2018  

 

 

50,000 

 

51,067 

Burlington Resources, Inc., 7.375%, 3/1/2029  

 

 

50,000 

 

59,060 

Canadian Natural Resources Ltd.:

 
 

5.45%, 10/1/2012  

 

 

25,000 

 

25,621 

 

5.7%, 5/15/2017 (a) 

 

 

100,000 

 

101,126 

 

6.25%, 3/15/2038  

 

 

25,000 

 

23,979 

Conoco Funding Co., 6.35%, 10/15/2011  

 

 

100,000 

 

108,953 

Conoco, Inc., 6.95%, 4/15/2029  

 

 

150,000 

 

170,802 

DCP Midstream LP, 8.125%, 8/16/2030 (a) 

 

 

25,000 

 

28,051 

Devon Financing Corp., 6.875%, 9/30/2011  

 

 

100,000 

 

109,148 

El Paso Natural Gas Co., 5.95%, 4/15/2017  

 

 

100,000 

 

98,085 

EnCana Corp.:

 
 

4.75%, 10/15/2013  

 

 

50,000 

 

48,537 

 

 

 

 

5.9%, 12/1/2017  

 

 

50,000 

 

51,253 

Energy Transfer Partners LP:

 
 

6.125%, 2/15/2017  

 

 

25,000 

 

24,324 

 

6.625%, 10/15/2036  

 

 

25,000 

 

23,183 

Enterprise Products Operating LP:

 
 

Series B, 5.6%, 10/15/2014  

 

 

50,000 

 

50,026 

 

6.3%, 9/15/2017  

 

 

50,000 

 

50,245 

 

Series B, 6.875%, 3/1/2033  

 

 

25,000 

 

24,836 

Exelon Generation Co., LLC, 6.95%, 6/15/2011  

 

 

25,000 

 

26,523 

Hess Corp., 7.125%, 3/15/2033  

 

 

25,000 

 

27,881 

Kinder Morgan Energy Partners LP, 6.75%, 3/15/2011  

 

 

60,000 

 

62,857 

Marathon Oil Corp., 6.0%, 7/1/2012  

 

 

150,000 

 

157,001 

Nexen, Inc., 7.875%, 3/15/2032  

 

 

50,000 

 

56,160 

Occidental Petroleum Corp., 6.75%, 1/15/2012  

 

 

100,000 

 

110,665 

Pemex Project Funding Master Trust, Series 2, 9.125%, 10/13/2010  

 

 

80,000 

 

89,600 

Petro-Canada, 5.95%, 5/15/2035  

 

 

100,000 

 

90,293 

PPL Energy Supply LLC, 6.4%, 11/1/2011  

 

 

25,000 

 

25,665 

Southern Natural Gas Co., 7.35%, 2/15/2031  

 

 

25,000 

 

25,604 

Spectra Energy Capital LLC, 7.5%, 10/1/2009  

 

 

50,000 

 

52,232 

Suncor Energy, Inc., 5.95%, 12/1/2034  

 

 

50,000 

 

46,575 

TransCanada PipeLines Ltd.:

 
 

5.85%, 3/15/2036  

 

 

50,000 

 

47,478 

 

6.2%, 10/15/2037  

 

 

50,000 

 

48,211 

 

6.35%, 5/15/2067  

 

 

25,000 

 

22,097 

Transcontinental Gas Pipe Line Corp.:

 
 

Series B, 7.0%, 8/15/2011  

 

 

50,000 

 

52,813 

 

Series B, 8.875%, 7/15/2012  

 

 

25,000 

 

28,438 

Transocean, Inc.:

 
 

6.0%, 3/15/2018  

 

 

50,000 

 

51,431 

 

6.8%, 3/15/2038  

 

 

25,000 

 

25,539 

Union Pacific Resources Group, Inc., 7.5%, 10/15/2026  

 

 

60,000 

 

65,385 

Valero Energy Corp.:

 
 

6.625%, 6/15/2037  

 

 

35,000 

 

33,455 

 

6.875%, 4/15/2012  

 

 

50,000 

 

53,747 

 

7.5%, 4/15/2032  

 

 

25,000 

 

26,026 

Weatherford International Ltd., 5.5%, 2/15/2016  

 

 

50,000 

 

49,304 

Williams Companies, Inc., 8.75%, 3/15/2032  

 

 

50,000 

 

57,750 

XTO Energy, Inc.:

 
 

5.3%, 6/30/2015  

 

 

50,000 

 

50,571 

 

6.25%, 4/15/2013  

 

 

25,000 

 

27,169 

 

6.25%, 8/1/2017  

 

 

100,000 

 

106,608 

 

**3,011,487**

**Financials 9.8%**

 
ACE INA Holdings, Inc., 6.7%, 5/15/2036 (a) 

 

 

50,000 

 

48,460 

Allstate Corp.:

 
 

5.35%, 6/1/2033  

 

 

50,000 

 

42,509 

 

7.2%, 12/1/2009  

 

 

100,000 

 

105,785 

American Express Co., 5.25%, 9/12/2011  

 

 

250,000 

 

251,108 

American General Finance Corp.:

 
 

Series I, 3.875%, 10/1/2009  

 

 

100,000 

 

98,636 

 

Series H, 5.375%, 10/1/2012  

 

 

75,000 

 

73,626 

 

Series J, 6.9%, 12/15/2017  

 

 

75,000 

 

73,296 

American International Group, Inc.:

 
 

4.25%, 5/15/2013  

 

 

100,000 

 

94,860 

 

5.05%, 10/1/2015  

 

 

100,000 

 

97,528 

 

Series G, 5.85%, 1/16/2018  

 

 

50,000 

 

49,067 

 

 

 

Apache Finance Canada, 7.75%, 12/15/2029  

 

 

25,000 

 

29,220 

Asian Development Bank, 4.5%, 9/4/2012  

 

 

250,000 

 

265,748 

Assurant, Inc., 5.625%, 2/15/2014  

 

 

25,000 

 

24,555 

Avalonbay Communities, 6.125%, 11/1/2012 (a) 

 

 

30,000 

 

29,951 

Axa, 8.6%, 12/15/2030  

 

 

50,000 

 

53,807 

AXA Financial, Inc., 7.75%, 8/1/2010  

 

 

100,000 

 

109,358 

Bank of America Corp.:

 
 

5.125%, 11/15/2014 (a) 

 

 

100,000 

 

101,853 

 

5.75%, 8/15/2016  

 

 

100,000 

 

102,003 

 

5.75%, 12/1/2017  

 

 

125,000 

 

129,355 

 

6.25%, 4/15/2012 (a) 

 

 

150,000 

 

160,033 

 

7.8%, 2/15/2010  

 

 

325,000 

 

347,424 

Bank of New York Mellon Corp.:

 
 

Series G, 4.95%, 11/1/2012  

 

 

25,000 

 

25,614 

 

5.5%, 12/1/2017  

 

 

50,000 

 

49,871 

 

7.3%, 12/1/2009  

 

 

65,000 

 

68,623 

Bank of Tokyo-Mitsubishi NY, 7.4%, 6/15/2011  

 

 

10,000 

 

10,952 

Bank One Corp.:

 
 

7.625%, 10/15/2026  

 

 

50,000 

 

56,591 

 

7.75%, 7/15/2025  

 

 

100,000 

 

112,180 

 

7.875%, 8/1/2010  

 

 

50,000 

 

53,430 

Barclays Bank PLC:

 
 

5.45%, 9/12/2012  

 

 

100,000 

 

102,424 

 

7.4%, 12/15/2009  

 

 

60,000 

 

63,976 

BB&T Capital Trust II, 6.75%, 6/7/2036  

 

 

25,000 

 

21,685 

BB&T Corp., 5.2%, 12/23/2015  

 

 

150,000 

 

142,566 

Bear Stearns Companies, Inc.:

 
 

4.5%, 10/28/2010  

 

 

175,000 

 

164,922 

 

7.25%, 2/1/2018  

 

 

150,000 

 

155,009 

Berkshire Hathaway Finance Corp., 4.625%, 10/15/2013  

 

 

150,000 

 

156,594 

BHP Billiton Finance Ltd., 5.4%, 3/29/2017  

 

 

150,000 

 

146,049 

Boeing Capital Corp., 6.1%, 3/1/2011 (a) 

 

 

110,000 

 

117,037 

Boston Properties LP, 6.25%, 1/15/2013  

 

 

50,000 

 

51,534 

British Transco Finance, Inc., 6.625%, 6/1/2018  

 

 

100,000 

 

104,461 

Capital One Bank, 5.75%, 9/15/2010  

 

 

100,000 

 

97,149 

Caterpillar Financial Services Corp., Series F, 4.75%, 2/17/2015  

 

 

50,000 

 

49,339 

Charter One Bank NA, 6.375%, 5/15/2012  

 

 

10,000 

 

10,497 

China Development Bank, 5.0%, 10/15/2015  

 

 

50,000 

 

49,751 

Chubb Corp.:

 
 

6.0%, 11/15/2011  

 

 

10,000 

 

10,129 

 

6.0%, 5/11/2037  

 

 

75,000 

 

67,343 

CIT Group, Inc.:

 
 

5.65%, 2/13/2017  

 

 

100,000 

 

77,545 

 

6.0%, 4/1/2036  

 

 

150,000 

 

112,313 

 

Citigroup, Inc.:

 
 

5.0%, 9/15/2014  

 

 

375,000 

 

353,410 

 

5.125%, 5/5/2014 (a) 

 

 

100,000 

 

97,727 

 

5.25%, 2/27/2012  

 

 

50,000 

 

49,878 

 

5.3%, 1/7/2016  

 

 

100,000 

 

96,364 

 

5.5%, 2/15/2017  

 

 

100,000 

 

93,671 

 

5.875%, 2/22/2033  

 

 

100,000 

 

84,148 

 

6.0%, 8/15/2017  

 

 

50,000 

 

49,302 

 

6.0%, 10/31/2033  

 

 

100,000 

 

85,439 

 

6.5%, 1/18/2011  

 

 

150,000 

 

155,550 

 

6.625%, 6/15/2032  

 

 

75,000 

 

70,652 

 

7.25%, 10/1/2010  

 

 

50,000 

 

52,967 

 

 

 

Corp. Andina de Fomento:

 
 

5.2%, 5/21/2013  

 

 

75,000 

 

74,635 

 

6.875%, 3/15/2012  

 

 

10,000 

 

10,754 

Countrywide Home Loans, Inc., Series L, 4.0%, 3/22/2011  

 

 

100,000 

 

89,185 

Credit Suisse (USA), Inc.:

 
 

4.875%, 1/15/2015  

 

 

150,000 

 

147,816 

 

5.125%, 8/15/2015  

 

 

25,000 

 

24,691 

 

5.375%, 3/2/2016 (a) 

 

 

50,000 

 

50,124 

 

6.125%, 11/15/2011  

 

 

100,000 

 

105,661 

 

6.5%, 1/15/2012  

 

 

150,000 

 

159,444 

 

7.125%, 7/15/2032  

 

 

50,000 

 

52,773 

Daimler Finance NA LLC:

 
 

6.5%, 11/15/2013  

 

 

75,000 

 

79,057 

 

7.2%, 9/1/2009  

 

 

150,000 

 

155,157 

 

8.0%, 6/15/2010  

 

 

150,000 

 

160,605 

Deutsche Telekom International Finance BV:

 
 

5.25%, 7/22/2013  

 

 

100,000 

 

98,774 

 

5.75%, 3/23/2016 (a) 

 

 

100,000 

 

98,867 

 

8.0%, 6/15/2010  

 

 

50,000 

 

53,485 

Diageo Finance BV, 5.5%, 4/1/2013  

 

 

50,000 

 

52,442 

Dow Capital BV, 9.2%, 6/1/2010  

 

 

50,000 

 

56,384 

ERP Operating LP, 6.625%, 3/15/2012  

 

 

125,000 

 

127,014 

European Investment Bank:

 
 

4.0%, 3/3/2010  

 

 

250,000 

 

258,273 

 

4.625%, 5/15/2014 (a) 

 

 

450,000 

 

477,185 

 

4.875%, 2/15/2036  

 

 

200,000 

 

201,574 

 

5.125%, 5/30/2017 (a) 

 

 

50,000 

 

54,516 

FIA Credit Services NA, 4.625%, 8/3/2009  

 

 

50,000 

 

50,660 

Fifth Third Bancorp:

 
 

4.5%, 6/1/2018  

 

 

50,000 

 

45,309 

 

5.45%, 1/15/2017  

 

 

25,000 

 

22,927 

FleetBoston Financial Corp.:

 
 

6.875%, 1/15/2028  

 

 

45,000 

 

47,888 

 

7.375%, 12/1/2009  

 

 

65,000 

 

69,126 

Fund American Co., Inc., 5.875%, 5/15/2013  

 

 

50,000 

 

52,120 

GE Insurance Solutions Corp., 6.45%, 3/1/2019  

 

 

50,000 

 

51,992 

General Electric Capital Corp.:

 
 

Series A, 4.625%, 9/15/2009  

 

 

63,000 

 

64,319 

 

Series A, 4.875%, 3/4/2015  

 

 

125,000 

 

124,745 

 

Series A, 5.0%, 1/8/2016 (a) 

 

 

150,000 

 

150,153 

 

5.45%, 1/15/2013  

 

 

200,000 

 

209,478 

 

Series A, 5.625%, 9/15/2017  

 

 

225,000 

 

230,233 

 

Series A, 5.875%, 2/15/2012  

 

 

200,000 

 

212,096 

 

6.0%, 6/15/2012  

 

 

200,000 

 

213,240 

 

Series A, 6.15%, 8/7/2037  

 

 

125,000 

 

124,819 

 

Series A, 6.75%, 3/15/2032  

 

 

100,000 

 

106,811 

 

6.875%, 11/15/2010  

 

 

50,000 

 

54,299 

Genworth Financial, Inc.:

 
 

5.75%, 6/15/2014 (a) 

 

 

25,000 

 

24,900 

 

6.15%, 11/15/2066 (a) 

 

 

75,000 

 

62,641 

Hartford Financial Services Group, Inc.:

 
 

4.625%, 7/15/2013  

 

 

50,000 

 

49,240 

 

5.95%, 10/15/2036 (a) 

 

 

25,000 

 

22,110 

HCP, Inc., (REIT), 6.0%, 1/30/2017  

 

 

50,000 

 

40,822 

HSBC Bank USA, 4.625%, 4/1/2014  

 

 

50,000 

 

48,235 

HSBC Finance Corp.:

 
 

4.75%, 7/15/2013 (a) 

 

 

100,000 

 

98,307 

 

 

 

 

5.0%, 6/30/2015  

 

 

50,000 

 

47,062 

 

5.5%, 1/19/2016 (a) 

 

 

100,000 

 

96,737 

 

6.375%, 10/15/2011  

 

 

50,000 

 

51,395 

 

6.75%, 5/15/2011  

 

 

125,000 

 

129,675 

 

7.0%, 5/15/2012  

 

 

100,000 

 

103,721 

HSBC Holdings PLC:

 
 

6.5%, 5/2/2036  

 

 

100,000 

 

96,741 

 

7.5%, 7/15/2009  

 

 

150,000 

 

155,306 

ING Groep NV, 5.775%, 12/29/2049  

 

 

75,000 

 

63,898 

Inter-American Development Bank, 7.375%, 1/15/2010 (a) 

 

 

250,000 

 

272,360 

International Finance Corp.:

 
 

4.75%, 4/25/2012  

 

 

50,000 

 

53,005 

 

5.125%, 5/2/2011  

 

 

50,000 

 

54,227 

International Lease Finance Corp.:

 
 

3.5%, 4/1/2009  

 

 

25,000 

 

24,625 

 

Series R, 5.55%, 9/5/2012  

 

 

100,000 

 

98,987 

 

Series R, 5.65%, 6/1/2014  

 

 

50,000 

 

48,014 

 

5.875%, 5/1/2013  

 

 

100,000 

 

99,191 

iStar Financial, Inc., (REIT), 5.15%, 3/1/2012  

 

 

75,000 

 

55,500 

John Deere Capital Corp., 7.0%, 3/15/2012  

 

 

100,000 

 

110,643 

JPMorgan Chase & Co.:

 
 

6.125%, 6/27/2017 (a) 

 

 

50,000 

 

52,151 

 

6.75%, 2/1/2011  

 

 

100,000 

 

106,181 

 

7.125%, 6/15/2009  

 

 

100,000 

 

103,254 

JPMorgan Chase Bank NA, 5.875%, 6/13/2016  

 

 

250,000 

 

256,094 

JPMorgan Chase Capital XV, 5.875%, 3/15/2035  

 

 

225,000 

 

191,310 

KeyBank National Association, 5.45%, 3/3/2016  

 

 

25,000 

 

23,584 

KeyCorp., Series G, 4.7%, 5/21/2009  

 

 

100,000 

 

100,635 

Korea Development Bank, 4.625%, 9/16/2010  

 

 

100,000 

 

101,946 

Kreditanstalt fuer Wiederaufbau:

 
 

Zero Coupon, 6/29/2037  

 

 

500,000 

 

121,410 

 

3.25%, 3/15/2013 (a) 

 

 

400,000 

 

400,577 

 

4.125%, 10/15/2014 (a) 

 

 

150,000 

 

158,576 

 

4.25%, 6/15/2010 (a) 

 

 

110,000 

 

115,344 

 

7.0%, 3/1/2013  

 

 

275,000 

 

325,575 

Landwirtschaftliche Rentenbank:

 
 

3.875%, 3/15/2010 (a) 

 

 

250,000 

 

258,049 

 

5.125%, 2/1/2017 (a) 

 

 

100,000 

 

109,617 

Lehman Brothers Holdings, Inc.:

 
 

Series G, 4.8%, 3/13/2014  

 

 

225,000 

 

195,523 

 

Series I, 5.25%, 2/6/2012  

 

 

50,000 

 

48,247 

 

5.625%, 1/24/2013  

 

 

100,000 

 

97,236 

 

5.75%, 1/3/2017 (a) 

 

 

100,000 

 

90,339 

 

6.625%, 1/18/2012  

 

 

100,000 

 

100,955 

 

6.75%, 12/28/2017  

 

 

75,000 

 

72,099 

 

6.875%, 7/17/2037  

 

 

50,000 

 

43,352 

M&T Bank Corp., 5.375%, 5/24/2012  

 

 

25,000 

 

24,467 

Marsh & McLennan Companies, Inc., 5.375%, 7/15/2014  

 

 

50,000 

 

48,305 

Marshall & Ilsley Corp., 4.375%, 8/1/2009 (a) 

 

 

50,000 

 

49,180 

MBIA, Inc., 9.375%, 2/15/2011  

 

 

125,000 

 

110,428 

Mellon Funding Corp., 5.0%, 12/1/2014  

 

 

50,000 

 

47,262 

Merrill Lynch & Co., Inc.:

 
 

Series C, 4.79%, 8/4/2010  

 

 

50,000 

 

49,841 

 

5.0%, 2/3/2014  

 

 

25,000 

 

23,532 

 

Series C, 5.0%, 1/15/2015  

 

 

25,000 

 

23,232 

 

Series C, 6.05%, 8/15/2012  

 

 

200,000 

 

203,128 

 

 

 

 

6.22%, 9/15/2026  

 

 

50,000 

 

41,999 

 

Series C, 6.4%, 8/28/2017  

 

 

50,000 

 

49,340 

 

6.5%, 7/15/2018 (a) 

 

 

50,000 

 

48,466 

MetLife, Inc.:

 
 

5.0%, 6/15/2015  

 

 

100,000 

 

98,277 

 

6.125%, 12/1/2011  

 

 

25,000 

 

26,825 

 

6.4%, 12/15/2036  

 

 

25,000 

 

19,866 

Morgan Stanley:

 
 

4.75%, 4/1/2014  

 

 

550,000 

 

510,555 

 

5.3%, 3/1/2013  

 

 

100,000 

 

99,664 

 

5.45%, 1/9/2017  

 

 

100,000 

 

93,549 

 

6.6%, 4/1/2012  

 

 

100,000 

 

103,678 

National Australia Bank Ltd., Series A, 8.6%, 5/19/2010  

 

 

50,000 

 

53,995 

National City Corp., 4.9%, 1/15/2015 (a) 

 

 

100,000 

 

72,152 

National Westminster Bank PLC, 7.375%, 10/1/2009  

 

 

50,000 

 

52,774 

Nationwide Financial Services, 5.9%, 7/1/2012  

 

 

25,000 

 

25,037 

NiSource Finance Corp.:

 
 

5.25%, 9/15/2017  

 

 

75,000 

 

68,283 

 

5.45%, 9/15/2020  

 

 

75,000 

 

66,549 

Nordic Investment Bank, 5.0%, 2/1/2017 (a) 

 

 

150,000 

 

162,916 

Oesterreichische Kontrollbank AG, 4.5%, 3/9/2015  

 

 

150,000 

 

158,990 

Ontario Electricity Financial Corp, 7.45%, 3/31/2013  

 

 

50,000 

 

58,554 

Principal Life Income Fundings, 5.1%, 4/15/2014  

 

 

25,000 

 

25,088 

ProLogis (REIT):

 
 

5.5%, 3/1/2013  

 

 

20,000 

 

19,400 

 

5.75%, 4/1/2016  

 

 

25,000 

 

22,953 

Protective Life Secured Trust, Series 2004-A, 4.0%, 4/1/2011  

 

 

25,000 

 

24,359 

Prudential Financial, Inc.:

 
 

Series B, 5.1%, 9/20/2014  

 

 

100,000 

 

98,096 

 

Series B, 5.75%, 7/15/2033  

 

 

25,000 

 

21,822 

 

Series D, 6.625%, 12/1/2037  

 

 

50,000 

 

49,387 

Regions Financial Corp., 6.375%, 5/15/2012  

 

 

50,000 

 

50,566 

Royal Bank of Canada, 5.65%, 7/20/2011 (a) 

 

 

50,000 

 

52,383 

Royal Bank of Scotland Group PLC:

 
 

5.0%, 11/12/2013  

 

 

50,000 

 

51,728 

 

5.05%, 1/8/2015 (a) 

 

 

100,000 

 

99,131 

 

7.648%, 8/31/2049  

 

 

50,000 

 

47,721 

Santander Central Hispano Issuances, 7.625%, 9/14/2010  

 

 

50,000 

 

54,996 

Simon Property Group LP (REIT):

 
 

5.1%, 6/15/2015  

 

 

50,000 

 

45,935 

 

5.25%, 12/1/2016  

 

 

100,000 

 

90,823 

 

6.35%, 8/28/2012  

 

 

100,000 

 

101,715 

SLM Corp., Series A, 5.0%, 10/1/2013  

 

 

25,000 

 

18,818 

Svensk Exportkredit AB:

 
 

Series C, 4.0%, 6/15/2010 (a) 

 

 

100,000 

 

102,850 

 

Series D, 4.875%, 9/29/2011  

 

 

100,000 

 

106,276 

Swiss Bank Corp., 7.0%, 10/15/2015  

 

 

100,000 

 

111,848 

The Goldman Sachs Group, Inc.:

 
 

5.125%, 1/15/2015  

 

 

50,000 

 

48,605 

 

5.15%, 1/15/2014 (a) 

 

 

100,000 

 

98,538 

 

5.35%, 1/15/2016  

 

 

100,000 

 

97,561 

 

5.5%, 11/15/2014  

 

 

200,000 

 

199,670 

 

6.125%, 2/15/2033  

 

 

50,000 

 

45,529 

 

6.25%, 9/1/2017  

 

 

100,000 

 

100,644 

 

6.6%, 1/15/2012  

 

 

100,000 

 

105,731 

 

6.65%, 5/15/2009  

 

 

15,000 

 

15,395 

 

6.75%, 10/1/2037  

 

 

400,000 

 

372,133 

 

 

 

 

6.875%, 1/15/2011  

 

 

50,000 

 

53,375 

 

7.35%, 10/1/2009  

 

 

50,000 

 

52,569 

The International Bank for Reconstruction & Development:

 
 

4.75%, 2/15/2035  

 

 

25,000 

 

24,848 

 

5.0%, 4/1/2016  

 

 

50,000 

 

54,501 

 

8.625%, 10/15/2016  

 

 

100,000 

 

135,140 

The Travelers Companies, Inc.:

 
 

6.25%, 6/15/2037  

 

 

50,000 

 

46,345 

 

6.75%, 6/20/2036  

 

 

50,000 

 

49,544 

UBS AG Stamford Branch:

 
 

Series 10, 5.875%, 7/15/2016  

 

 

50,000 

 

51,718 

 

5.875%, 12/20/2017  

 

 

25,000 

 

25,553 

UFJ Finance Aruba AEC, 6.75%, 7/15/2013  

 

 

150,000 

 

166,856 

US Bank National Association:

 
 

4.8%, 4/15/2015  

 

 

100,000 

 

101,092 

 

6.375%, 8/1/2011  

 

 

100,000 

 

108,273 

Verizon Global Funding Corp.:

 
 

7.75%, 12/1/2030  

 

 

100,000 

 

108,651 

 

7.75%, 6/15/2032  

 

 

100,000 

 

108,882 

Wachovia Bank NA:

 
 

4.875%, 2/1/2015  

 

 

75,000 

 

70,840 

 

5.0%, 8/15/2015  

 

 

200,000 

 

188,715 

 

6.6%, 1/15/2038  

 

 

50,000 

 

46,326 

Wachovia Corp.:

 
 

4.875%, 2/15/2014  

 

 

50,000 

 

48,707 

 

5.25%, 8/1/2014  

 

 

50,000 

 

49,387 

 

5.625%, 10/15/2016  

 

 

100,000 

 

95,404 

 

5.75%, 6/15/2017 (a) 

 

 

50,000 

 

48,530 

Washington Mutual, Inc., 5.25%, 9/15/2017  

 

 

20,000 

 

15,100 

Wells Fargo & Co.:

 
 

4.625%, 4/15/2014  

 

 

100,000 

 

98,510 

 

4.95%, 10/16/2013 (a) 

 

 

50,000 

 

50,856 

 

5.0%, 11/15/2014 (a) 

 

 

50,000 

 

50,231 

 

5.125%, 9/15/2016  

 

 

50,000 

 

49,466 

 

5.375%, 2/7/2035  

 

 

50,000 

 

45,377 

Wells Fargo Bank NA:

 
 

6.45%, 2/1/2011  

 

 

75,000 

 

79,773 

 

7.55%, 6/21/2010  

 

 

200,000 

 

217,116 

Wells Fargo Financial, Inc., 5.5%, 8/1/2012  

 

 

25,000 

 

26,104 

Western Union Co.:

 
 

5.93%, 10/1/2016  

 

 

50,000 

 

49,638 

 

6.2%, 11/17/2036 (a) 

 

 

25,000 

 

22,883 

 

**21,963,756**

**Health Care 0.8%**

 
Abbott Laboratories:

 
 

5.15%, 11/30/2012  

 

 

150,000 

 

159,747 

 

6.15%, 11/30/2037  

 

 

50,000 

 

51,663 

Aetna, Inc., 6.625%, 6/15/2036  

 

 

50,000 

 

48,559 

Amgen, Inc., 4.85%, 11/18/2014  

 

 

25,000 

 

24,469 

AstraZeneca PLC, 5.9%, 9/15/2017  

 

 

150,000 

 

158,559 

Baxter International, Inc., 4.625%, 3/15/2015  

 

 

25,000 

 

24,514 

Bristol-Myers Squibb Co.:

 
 

5.25%, 8/15/2013 (a) 

 

 

50,000 

 

53,138 

 

5.875%, 11/15/2036  

 

 

50,000 

 

48,351 

Covidien International Finance SA:

 
 

144A, 6.0%, 10/15/2017  

 

 

75,000 

 

77,303 

 

144A, 6.55%, 10/15/2037  

 

 

25,000 

 

25,551 

 

 

 

Genentech, Inc., 4.75%, 7/15/2015  

 

 

50,000 

 

50,228 

Johnson & Johnson, 6.95%, 9/1/2029  

 

 

50,000 

 

59,194 

McKesson Corp., 5.7%, 3/1/2017  

 

 

50,000 

 

49,278 

Medtronic, Inc., Series B, 4.75%, 9/15/2015  

 

 

25,000 

 

24,488 

Merck & Co, Inc., 6.4%, 3/1/2028  

 

 

250,000 

 

272,170 

Pharmacia Corp., 6.6%, 12/1/2028  

 

 

75,000 

 

81,876 

Quest Diagnostics, Inc., 6.95%, 7/1/2037  

 

 

25,000 

 

24,749 

Schering-Plough Corp.:

 
 

5.55%, 12/1/2013  

 

 

50,000 

 

51,641 

 

6.75%, 12/1/2033  

 

 

25,000 

 

24,569 

UnitedHealth Group, Inc.:

 
 

4.875%, 4/1/2013  

 

 

25,000 

 

24,690 

 

5.0%, 8/15/2014  

 

 

150,000 

 

145,931 

WellPoint, Inc., 6.375%, 1/15/2012  

 

 

100,000 

 

106,417 

Wyeth:

 
 

5.5%, 2/15/2016  

 

 

50,000 

 

50,984 

 

5.95%, 4/1/2037  

 

 

150,000 

 

146,558 

 

**1,784,627**

**Industrials 1.1%**

 
3M Co., 5.7%, 3/15/2037  

 

 

25,000 

 

24,720 

Archer-Daniels-Midland Co., 5.935%, 10/1/2032  

 

 

75,000 

 

71,516 

Boeing Co., 5.125%, 2/15/2013  

 

 

50,000 

 

52,418 

Burlington Northern Santa Fe Corp., 5.9%, 7/1/2012  

 

 

100,000 

 

104,678 

Canadian National Railway Co.:

 
 

4.4%, 3/15/2013  

 

 

100,000 

 

99,043 

 

6.375%, 11/15/2037  

 

 

50,000 

 

48,902 

Caterpillar, Inc.:

 
 

6.05%, 8/15/2036 (a) 

 

 

50,000 

 

51,162 

 

7.3%, 5/1/2031  

 

 

120,000 

 

141,533 

CRH America, Inc., 5.3%, 10/15/2013  

 

 

100,000 

 

97,460 

CSX Corp.:

 
 

6.0%, 10/1/2036  

 

 

100,000 

 

86,088 

 

6.15%, 5/1/2037  

 

 

50,000 

 

44,020 

FedEx Corp., 9.65%, 6/15/2012  

 

 

50,000 

 

59,812 

General Dynamics Corp., 5.375%, 8/15/2015  

 

 

100,000 

 

105,245 

Honeywell International, Inc.:

 
 

5.3%, 3/15/2017  

 

 

50,000 

 

51,434 

 

5.7%, 3/15/2036  

 

 

50,000 

 

49,039 

 

5.7%, 3/15/2037  

 

 

25,000 

 

24,720 

 

7.5%, 3/1/2010  

 

 

25,000 

 

26,945 

Lockheed Martin Corp., Series B, 6.15%, 9/1/2036  

 

 

75,000 

 

77,459 

M.D.C. Holdings, Inc., 5.375%, 7/1/2015  

 

 

25,000 

 

24,048 

Norfolk Southern Corp.:

 
 

5.64%, 5/17/2029  

 

 

96,000 

 

87,077 

 

6.2%, 4/15/2009  

 

 

50,000 

 

51,462 

 

7.8%, 5/15/2027  

 

 

4,000 

 

4,645 

Norfolk Southern Railway Co., 9.75%, 6/15/2020  

 

 

40,000 

 

53,129 

Northrop Grumman Systems Corp.:

 
 

7.125%, 2/15/2011  

 

 

100,000 

 

108,155 

 

7.75%, 2/15/2031  

 

 

50,000 

 

61,674 

Raytheon Co., 7.2%, 8/15/2027  

 

 

75,000 

 

85,149 

Republic Services, Inc., 7.125%, 5/15/2009  

 

 

10,000 

 

10,301 

Union Pacific Corp.:

 
 

5.75%, 11/15/2017  

 

 

25,000 

 

25,311 

 

6.65%, 1/15/2011  

 

 

50,000 

 

52,820 

 

7.0%, 2/1/2016  

 

 

50,000 

 

53,156 

 

 

 

United Parcel Service, Inc., 8.375%, 4/1/2020  

 

 

50,000 

 

64,715 

United Technologies Corp.:

 
 

4.875%, 5/1/2015  

 

 

50,000 

 

50,883 

 

6.1%, 5/15/2012  

 

 

50,000 

 

53,848 

 

6.35%, 3/1/2011  

 

 

25,000 

 

27,013 

 

7.125%, 11/15/2010  

 

 

50,000 

 

55,108 

Waste Management, Inc.:

 
 

7.0%, 7/15/2028  

 

 

50,000 

 

51,029 

 

7.1%, 8/1/2026  

 

 

100,000 

 

104,356 

Xerox Corp., 6.75%, 2/1/2017  

 

 

100,000 

 

105,562 

 

**2,345,635**

**Information Technology 0.3%**

 
Cisco Systems, Inc., 5.5%, 2/22/2016  

 

 

150,000 

 

155,191 

Hewlett-Packard Co., 6.5%, 7/1/2012  

 

 

50,000 

 

54,587 

International Business Machines Corp.:

 
 

4.75%, 11/29/2012  

 

 

100,000 

 

103,496 

 

5.7%, 9/14/2017  

 

 

50,000 

 

52,378 

 

6.5%, 1/15/2028  

 

 

125,000 

 

131,423 

Motorola, Inc., 7.625%, 11/15/2010  

 

 

8,000 

 

8,291 

Oracle Corp., 5.25%, 1/15/2016  

 

 

100,000 

 

99,949 

Pitney Bowes, Inc., 3.875%, 6/15/2013  

 

 

100,000 

 

97,186 

Scana Corp.:

 
 

6.25%, 2/1/2012  

 

 

60,000 

 

63,073 

 

6.875%, 5/15/2011  

 

 

25,000 

 

26,544 

 

**792,118**

**Materials 0.5%**

 
Alcan, Inc.:

 
 

4.5%, 5/15/2013  

 

 

100,000 

 

98,072 

 

4.875%, 9/15/2012  

 

 

10,000 

 

10,049 

 

5.2%, 1/15/2014  

 

 

25,000 

 

25,080 

 

6.125%, 12/15/2033  

 

 

50,000 

 

47,787 

Alcoa, Inc.:

 
 

5.9%, 2/1/2027  

 

 

25,000 

 

22,530 

 

6.0%, 1/15/2012  

 

 

25,000 

 

25,956 

 

7.375%, 8/1/2010  

 

 

100,000 

 

106,894 

Dow Chemical Co., 6.0%, 10/1/2012  

 

 

100,000 

 

105,336 

E.I. du Pont de Nemours & Co., 6.875%, 10/15/2009  

 

 

150,000 

 

158,419 

Meadwestvaco Corp., 6.85%, 4/1/2012  

 

 

70,000 

 

72,662 

Monsanto Co., 5.5%, 8/15/2025  

 

 

25,000 

 

23,764 

Praxair, Inc., 3.95%, 6/1/2013 (a) 

 

 

50,000 

 

49,213 

United States Steel Corp., 6.65%, 6/1/2037  

 

 

25,000 

 

21,133 

Vale Overseas Ltd.:

 
 

6.25%, 1/23/2017  

 

 

50,000 

 

49,794 

 

6.875%, 11/21/2036  

 

 

100,000 

 

97,572 

Weyerhaeuser Co., 6.75%, 3/15/2012  

 

 

150,000 

 

157,714 

 

**1,071,975**

**Telecommunication Services 1.4%**

 
America Movil SAB de CV, 6.125%, 11/15/2037  

 

 

100,000 

 

92,700 

Ameritech Capital Funding, 6.55%, 1/15/2028  

 

 

100,000 

 

97,250 

AT&T Mobility LLC, 6.5%, 12/15/2011  

 

 

75,000 

 

79,613 

AT&T, Inc.:

 
 

5.1%, 9/15/2014  

 

 

25,000 

 

24,837 

 

5.875%, 8/15/2012  

 

 

150,000 

 

156,887 

 

6.8%, 5/15/2036  

 

 

50,000 

 

51,377 

 

 

 

 

8.0%, 11/15/2031  

 

 

20,000 

 

23,370 

 

 

 

 

 

 

 

BellSouth Corp.:

 
 

5.2%, 9/15/2014  

 

 

100,000 

 

99,834 

 

5.2%, 12/15/2016  

 

 

300,000 

 

293,008 

 

6.0%, 11/15/2034 (a) 

 

 

100,000 

 

93,905 

British Telecommunications PLC:

 
 

5.95%, 1/15/2018  

 

 

50,000 

 

48,447 

 

8.625%, 12/15/2010  

 

 

50,000 

 

54,988 

 

9.125%, 12/15/2030  

 

 

70,000 

 

86,938 

Embarq Corp.:

 
 

7.082%, 6/1/2016  

 

 

75,000 

 

71,005 

 

7.995%, 6/1/2036  

 

 

25,000 

 

22,831 

France Telecom SA:

 
 

7.75%, 3/1/2011  

 

 

75,000 

 

81,326 

 

8.5%, 3/1/2031  

 

 

75,000 

 

92,917 

Koninklijke (Royal) KPN NV:

 
 

8.0%, 10/1/2010  

 

 

25,000 

 

26,844 

 

8.375%, 10/1/2030  

 

 

50,000 

 

57,214 

Motorola, Inc., 7.5%, 5/15/2025  

 

 

50,000 

 

43,612 

New Cingular Wireless Services, Inc., 7.875%, 3/1/2011  

 

 

100,000 

 

108,771 

Sprint Capital Corp.:

 
 

6.875%, 11/15/2028  

 

 

295,000 

 

219,775 

 

6.9%, 5/1/2019  

 

 

25,000 

 

19,688 

 

8.375%, 3/15/2012  

 

 

75,000 

 

69,375 

Sprint Nextel Corp., 6.0%, 12/1/2016  

 

 

50,000 

 

38,875 

Telecom Italia Capital:

 
 

5.25%, 10/1/2015  

 

 

175,000 

 

158,989 

 

6.375%, 11/15/2033  

 

 

75,000 

 

65,578 

Telefonica Emisiones SAU, 6.421%, 6/20/2016  

 

 

125,000 

 

128,115 

Telefonica Europe BV, 7.75%, 9/15/2010  

 

 

125,000 

 

134,092 

Verizon Communications Inc., 5.55%, 2/15/2016  

 

 

100,000 

 

99,490 

Verizon New York, Inc., Series A, 6.875%, 4/1/2012  

 

 

25,000 

 

26,293 

Verizon Virginia, Inc., Series A, 4.625%, 3/15/2013  

 

 

100,000 

 

97,227 

Vodafone Group PLC:

 
 

5.0%, 12/16/2013 (a) 

 

 

100,000 

 

97,965 

 

5.0%, 9/15/2015  

 

 

50,000 

 

47,519 

 

6.15%, 2/27/2037  

 

 

125,000 

 

116,512 

 

7.75%, 2/15/2010  

 

 

50,000 

 

52,989 

 

**3,080,156**

**Utilities 1.4%**

 
American Electric Power Co., Inc., 5.25%, 6/1/2015  

 

 

100,000 

 

98,936 

Arizona Public Service, 6.5%, 3/1/2012  

 

 

25,000 

 

26,030 

Atmos Energy Corp., 4.95%, 10/15/2014  

 

 

25,000 

 

23,949 

Cleveland Electric Illuminating Co.:

 
 

5.7%, 4/1/2017  

 

 

100,000 

 

97,060 

 

Series D, 7.88%, 11/1/2017  

 

 

75,000 

 

84,397 

Consolidated Edison Co. of New York:

 
 

4.875%, 2/1/2013  

 

 

50,000 

 

51,090 

 

6.2%, 6/15/2036  

 

 

125,000 

 

122,813 

Constellation Energy Group, 4.55%, 6/15/2015  

 

 

30,000 

 

27,600 

Detroit Edison Co., 5.7%, 10/1/2037  

 

 

50,000 

 

46,109 

Dominion Resources, Inc., Series C, 5.15%, 7/15/2015  

 

 

50,000 

 

49,016 

DTE Energy Co., 7.05%, 6/1/2011  

 

 

50,000 

 

53,474 

Duke Energy Carolinas LLC, 5.3%, 10/1/2015  

 

 

75,000 

 

77,575 

Duke Energy Indiana, Inc., 5.0%, 9/15/2013  

 

 

100,000 

 

100,623 

 

 

 

Emerson Electric Co., 4.75%, 10/15/2015  

 

 

75,000 

 

74,972 

Exelon Corp.:

 
 

5.625%, 6/15/2035  

 

 

25,000 

 

21,984 

 

6.75%, 5/1/2011  

 

 

50,000 

 

52,759 

 

 

 

 

 

 

 

Florida Power & Light Co.:

 
 

4.95%, 6/1/2035  

 

 

50,000 

 

43,465 

 

5.65%, 2/1/2037  

 

 

50,000 

 

48,119 

General Electric Co., 5.0%, 2/1/2013  

 

 

100,000 

 

103,582 

Hydro-Quebec:

 

 

 

 

 

Series HY, 8.4%, 1/15/2022  

 

 

100,000 

 

136,806 

Series JL, 6.3%, 5/11/2011  

 

 

50,000 

 

54,660 

KeySpan Corp., 8.0%, 11/15/2030  

 

 

50,000 

 

57,620 

KeySpan Gas East Corp., 7.875%, 2/1/2010  

 

 

25,000 

 

26,700 

MidAmerican Energy Holdings Co.:

 
 

5.875%, 10/1/2012  

 

 

25,000 

 

26,418 

 

6.125%, 4/1/2036  

 

 

50,000 

 

48,327 

 

6.5%, 9/15/2037  

 

 

100,000 

 

100,218 

National Rural Utilities Cooperative Finance Corp., 8.0%, 3/1/2032  

 

 

100,000 

 

114,945 

Nevada Power Co., Series N, 6.65%, 4/1/2036  

 

 

25,000 

 

23,545 

NSTAR Electric Co., 4.875%, 4/15/2014  

 

 

25,000 

 

25,123 

ONEOK Partners LP, 6.15%, 10/1/2016  

 

 

75,000 

 

75,839 

Pacific Gas & Electric Co., 6.05%, 3/1/2034  

 

 

150,000 

 

147,050 

PPL Energy Supply LLC, 5.4%, 8/15/2014  

 

 

100,000 

 

95,684 

Progress Energy, Inc.:

 
 

6.85%, 4/15/2012  

 

 

35,000 

 

37,871 

 

7.1%, 3/1/2011  

 

 

42,000 

 

45,210 

PSE&G Power LLC, 5.5%, 12/1/2015  

 

 

150,000 

 

148,787 

Public Service Co. of Colorado, 4.875%, 3/1/2013 (a) 

 

 

75,000 

 

77,667 

Puget Sound Energy, Inc., 5.483%, 6/1/2035  

 

 

25,000 

 

21,261 

Scottish Power PLC, 5.375%, 3/15/2015  

 

 

150,000 

 

150,383 

Sempra Energy:

 
 

6.0%, 2/1/2013  

 

 

25,000 

 

26,545 

 

7.95%, 3/1/2010  

 

 

25,000 

 

26,857 

Southern California Edison Co.:

 
 

6.0%, 1/15/2034  

 

 

50,000 

 

50,434 

 

6.65%, 4/1/2029  

 

 

100,000 

 

102,947 

Southern California Gas Co., 5.75%, 11/15/2035  

 

 

50,000 

 

48,497 

Southern Power Co., Series B, 6.25%, 7/15/2012  

 

 

25,000 

 

26,868 

Southern Union Co., 8.25%, 11/15/2029  

 

 

50,000 

 

53,511 

United Utilities PLC, 5.375%, 2/1/2019  

 

 

30,000 

 

28,021 

Wisconsin Energy Corp., 6.5%, 4/1/2011  

 

 

50,000 

 

53,251 

Xcel Energy, Inc., 6.5%, 7/1/2036  

 

 

75,000 

 

73,724 

 

**3,108,322**

**Total Corporate Bonds** (Cost $43,319,035)

 

**43,182,577**

 

**Asset Backed 0.8%**

 
**Automobile Receivables 0.2%**

 
Chase Manhattan Auto Owner Trust, "A4", Series 2006-B, 5.11%, 4/15/2014  

 

 

100,000 

 

101,589 

Daimler Chrysler Auto Trust, "A4", Series 2006-C, 4.98%, 11/8/2011  

 

 

100,000 

 

101,908 

Honda Auto Receivables Owner Trust, "A3", Series 2007-1, 5.1%, 3/18/2011  

 

 

200,000 

 

203,212 

 

**406,709**

**Credit Card Receivables 0.4%**

 
Capital One Multi-Asset Execution Trust, "A7", Series 2005-A7, 4.7%, 6/15/2015  

 

 

100,000 

 

101,137 

Chase Issuance Trust:

 
 

 

 

 

"A4", Series 2005-A4, 4.23%, 1/15/2013  

 

 

50,000 

 

50,820 

 

"A", Series 2007-A15, 4.96%, 9/17/2012  

 

 

100,000 

 

103,046 

Citibank Credit Card Issuance Trust:

 
 

"A7", Series 2005-A7, 4.75%, 10/22/2012  

 

 

100,000 

 

102,878 

 

"A10", Series 2003-A10, 4.75%, 12/10/2015  

 

 

100,000 

 

100,469 

 

"A8", Series 2004-A8, 4.9%, 12/12/2016  

 

 

100,000 

 

99,891 

 

"A8", Series 2007-A8, 5.65%, 9/20/2019  

 

 

200,000 

 

200,127 

MBNA Credit Card Master Trust, "A", Series 1999-J, 7.0%, 2/15/2012  

 

 

200,000 

 

210,659 

 

**969,027**

**Home Equity Loans 0.1%**

 
Chase Funding Mortgage Loan, "1A4", Series 2004-2, 5.323%, 2/25/2035  

 

 

90,580 

 

89,413 

Countrywide Asset-Backed Certificates:

 
 

"AF3", Series 2005-1, 4.575%, 7/25/2035  

 

 

21,305 

 

21,205 

 

"A6", Series 2006-S9, 5.588%, 8/25/2036  

 

 

100,000 

 

84,478 

GMAC Mortgage Corp. Loan Trust, "A5", Series 2004-HE5, 4.865%, 9/25/2034  

 

 

100,000 

 

69,390 

 

**264,486**

**Miscellaneous 0.1%**

 
Centerpoint Energy Transition II, "A4", Series 2005-A, 5.17%, 8/1/2019  

 

 

100,000 

 

100,248 

Oncor Electric Delivery Transition Bond Co., "A3", Series 2003-1, 4.95%, 2/15/2015  

 

 

100,000 

 

103,386 

 

**203,634**

**Total Asset Backed** (Cost $1,880,065)

 

**1,843,856**

 

**Government & Agency Obligations 34.5%**

 
**Sovereign Bonds 1.0%**

 
Government of Malaysia, 8.75%, 6/1/2009  

 

 

10,000 

 

10,618 

Kingdom of Sweden, 12.0%, 2/1/2010  

 

 

220,000 

 

255,579 

Province of Nova Scotia, 5.75%, 2/27/2012  

 

 

50,000 

 

55,047 

Province of Ontario:

 
 

4.375%, 2/15/2013  

 

 

100,000 

 

104,940 

 

4.5%, 2/3/2015 (a) 

 

 

150,000 

 

156,904 

 

4.95%, 11/28/2016  

 

 

25,000 

 

26,759 

Province of Quebec:

 
 

5.125%, 11/14/2016  

 

 

50,000 

 

54,063 

 

Series NN, 7.125%, 2/9/2024  

 

 

100,000 

 

123,399 

 

Series PD, 7.5%, 9/15/2029  

 

 

100,000 

 

134,061 

Republic of Chile, 6.875%, 4/28/2009  

 

 

10,000 

 

10,411 

Republic of Italy:

 
 

4.5%, 1/21/2015  

 

 

250,000 

 

264,256 

 

5.375%, 6/12/2017  

 

 

50,000 

 

55,241 

 

5.375%, 6/15/2033  

 

 

100,000 

 

104,845 

 

6.875%, 9/27/2023 (a) 

 

 

200,000 

 

247,896 

United Mexican States:

 
 

6.375%, 1/16/2013  

 

 

350,000 

 

384,475 

 

Series A, 6.75%, 9/27/2034  

 

 

41,000 

 

45,736 

 

Series A, 9.875%, 2/1/2010 (a) 

 

 

190,000 

 

211,850 

 

**2,246,080**

**US Government Sponsored Agencies 9.4%**

 
Federal Home Loan Bank:

 
 

3.875%, 6/14/2013 (a) 

 

 

1,000,000 

 

1,024,017 

 

4.5%, 11/15/2012  

 

 

1,000,000 

 

1,055,057 

 

4.875%, 5/14/2010  

 

 

5,000,000 

 

5,264,165 

 

5.375%, 8/19/2011 (a) 

 

 

1,000,000 

 

1,083,031 

Federal Home Loan Mortgage Corp.:

 
 

4.125%, 7/12/2010  

 

 

1,000,000 

 

1,038,233 

 

 

 

 

4.25%, 7/15/2009 (a) 

 

 

2,000,000 

 

2,050,112 

 

4.5%, 1/15/2013 (a) 

 

 

500,000 

 

527,304 

 

5.0%, 6/11/2009 (a) 

 

 

1,700,000 

 

1,754,408 

 

5.25%, 5/21/2009  

 

 

2,000,000 

 

2,066,640 

 

6.75%, 9/15/2029  

 

 

3,000 

 

3,716 

 

7.0%, 3/15/2010 (a) 

 

 

450,000 

 

490,326 

Federal National Mortgage Association:

 
 

4.25%, 5/15/2009 (a) 

 

 

750,000 

 

766,535 

 

4.875%, 5/18/2012 (a) 

 

 

1,300,000 

 

1,391,227 

 

5.0%, 5/11/2017  

 

 

1,000,000 

 

1,068,416 

 

6.25%, 5/15/2029 (a) 

 

 

450,000 

 

530,511 

 

7.125%, 1/15/2030  

 

 

50,000 

 

64,985 

 

7.25%, 5/15/2030 (a) 

 

 

650,000 

 

856,976 

 

**21,035,659**

**US Treasury Obligations 24.1%**

 
US Treasury Bonds:

 
 

4.5%, 2/15/2036 (a) 

 

 

550,000 

 

568,176 

 

4.75%, 2/15/2037 (a) 

 

 

1,725,000 

 

1,855,319 

 

5.375%, 2/15/2031 (a) 

 

 

805,000 

 

931,032 

 

6.0%, 2/15/2026 (a) 

 

 

810,000 

 

981,113 

 

6.25%, 8/15/2023 (a) 

 

 

700,000 

 

861,601 

 

7.25%, 8/15/2022 (a) 

 

 

590,000 

 

788,434 

 

7.625%, 11/15/2022 (a) 

 

 

90,000 

 

124,242 

 

7.875%, 2/15/2021 (a) 

 

 

300,000 

 

416,016 

 

8.0%, 11/15/2021 (a) 

 

 

565,000 

 

796,915 

 

8.75%, 5/15/2020  

 

 

300,000 

 

439,430 

 

8.75%, 8/15/2020 (a) 

 

 

450,000 

 

660,797 

US Treasury Notes:

 
 

2.75%, 2/28/2013 (a) 

 

 

2,000,000 

 

2,027,500 

 

3.5%, 8/15/2009 (a) 

 

 

1,500,000 

 

1,539,961 

 

3.5%, 11/15/2009  

 

 

750,000 

 

772,910 

 

3.5%, 2/15/2018  

 

 

1,000,000 

 

1,005,781 

 

3.625%, 7/15/2009 (a) 

 

 

500,000 

 

513,242 

 

3.625%, 12/31/2012 (a) 

 

 

2,935,000 

 

3,092,527 

 

3.875%, 9/15/2010 (a) 

 

 

1,500,000 

 

1,580,391 

 

4.125%, 5/15/2015 (a) 

 

 

540,000 

 

583,749 

 

4.25%, 1/15/2011 (a) 

 

 

2,700,000 

 

2,885,836 

 

4.25%, 9/30/2012 (a) 

 

 

400,000 

 

432,281 

 

4.25%, 11/15/2013 (a) 

 

 

3,300,000 

 

3,601,125 

 

4.25%, 8/15/2015 (a) 

 

 

1,000,000 

 

1,089,453 

 

4.25%, 11/15/2017 (a) 

 

 

1,000,000 

 

1,066,953 

 

4.5%, 11/15/2010 (a) 

 

 

1,000,000 

 

1,072,344 

 

4.5%, 4/30/2012 (a) 

 

 

250,000 

 

271,621 

 

4.5%, 11/15/2015 (a) 

 

 

1,580,000 

 

1,746,023 

 

4.5%, 2/15/2016 (a) 

 

 

1,660,000 

 

1,827,296 

 

4.5%, 5/15/2017 (a) 

 

 

3,265,000 

 

3,548,138 

 

4.625%, 12/31/2011 (a) 

 

 

1,500,000 

 

1,637,812 

 

4.625%, 2/29/2012 (a) 

 

 

500,000 

 

545,430 

 

4.625%, 2/15/2017 (a) 

 

 

1,250,000 

 

1,372,949 

 

4.75%, 2/15/2010 (a) 

 

 

9,500,000 

 

10,049,214 

 

4.875%, 6/30/2009 (a) 

 

 

600,000 

 

624,375 

 

4.875%, 6/30/2012 (a) 

 

 

1,500,000 

 

1,652,929 

 

4.875%, 8/15/2016 (a) 

 

 

675,000 

 

756,105 

 

**53,719,020**

**Total Government & Agency Obligations** (Cost $72,052,474)

 

**77,000,759**

 

 

 

 

**Mortgage Backed Securities Pass-Throughs 38.8%**

 
Federal Home Loan Mortgage Corp.:

 
 

4.0%, 1/1/2020  

 

 

720,056 

 

701,239 

 

4.299% *, 3/1/2035  

 

 

111,487 

 

112,430 

 

4.374% *, 12/1/2033  

 

 

97,573 

 

98,841 

 

4.5%, with various maturities from 1/1/2020 until 9/1/2035  

 

 

2,522,275 

 

2,492,558 

 

4.525% *, 3/1/2035  

 

 

39,657 

 

40,097 

 

4.643% *, 7/1/2035  

 

 

225,170 

 

228,139 

 

4.676% *, 4/1/2035  

 

 

120,167 

 

121,799 

 

4.846% *, 9/1/2035  

 

 

299,161 

 

303,867 

 

4.859% *, 11/1/2035  

 

 

117,483 

 

119,412 

 

4.896% *, 12/1/2034  

 

 

109,138 

 

110,104 

 

5.0%, with various maturities from 12/1/2017 until 6/1/2036  

 

 

6,184,352 

 

6,161,266 

 

5.116% *, 6/1/2035  

 

 

165,184 

 

168,414 

 

5.226% *, 9/1/2035  

 

 

69,531 

 

70,797 

 

5.242% *, 12/1/2035  

 

 

354,043 

 

361,108 

 

5.298% *, 4/1/2037  

 

 

286,036 

 

290,767 

 

5.433% *, 11/1/2035  

 

 

154,604 

 

157,725 

 

5.5%, with various maturities from 11/1/2013 until 1/1/2038  

 

 

9,236,788 

 

9,358,525 

 

5.508% *, 1/1/2037  

 

 

91,622 

 

93,089 

 

5.521% *, 5/1/2037  

 

 

91,291 

 

93,181 

 

5.652% *, 4/1/2036  

 

 

85,052 

 

87,038 

 

5.694% *, 4/1/2037  

 

 

193,417 

 

196,447 

 

5.71% *, 5/1/2037  

 

 

98,600 

 

100,669 

 

5.723% *, 4/1/2036  

 

 

222,600 

 

228,243 

 

5.792% *, 4/1/2037  

 

 

95,417 

 

97,730 

 

5.88% *, 2/1/2038  

 

 

297,500 

 

302,563 

 

5.885% *, 12/1/2036  

 

 

82,996 

 

84,877 

 

5.896% *, 2/1/2037  

 

 

183,279 

 

187,813 

 

6.0%, with various maturities from 9/1/2021 until 2/1/2038  

 

 

6,733,930 

 

6,917,711 

 

6.126% *, 9/1/2037  

 

 

384,526 

 

395,195 

 

6.409% *, 8/1/2036  

 

 

74,515 

 

76,878 

 

6.5%, with various maturities from 12/1/2014 until 8/1/2036 (b) 

 

 

1,927,501 

 

2,004,423 

 

7.0%, with various maturities from 12/1/2024 until 1/1/2032 (b) 

 

 

552,751 

 

580,321 

 

7.5%, with various maturities from 5/1/2024 until 7/1/2027  

 

 

17,085 

 

18,486 

Federal National Mortgage Association:

 
 

4.0%, 12/1/2020  

 

 

472,469 

 

459,531 

 

4.364% *, 3/1/2035  

 

 

258,051 

 

261,109 

 

4.384% *, 4/1/2034  

 

 

73,955 

 

75,142 

 

4.473% *, 3/1/2035  

 

 

198,005 

 

200,748 

 

4.5%, with various maturities from 10/1/2018 until 7/1/2035 (b) 

 

 

2,974,172 

 

2,941,172 

 

4.64% *, 4/1/2035  

 

 

243,029 

 

246,748 

 

4.741% *, 11/1/2034  

 

 

90,538 

 

91,755 

 

4.777% *, 1/1/2035  

 

 

126,517 

 

128,264 

 

4.857% *, 8/1/2036  

 

 

79,674 

 

81,143 

 

4.951% *, 10/1/2034  

 

 

122,369 

 

124,133 

 

4.952% *, 6/1/2035  

 

 

245,841 

 

249,981 

 

4.966% *, 6/1/2035  

 

 

103,216 

 

105,142 

 

4.967% *, 8/1/2035  

 

 

181,292 

 

182,933 

 

5.0%, with various maturities from 11/1/2020 until 4/1/2036 (b) 

 

 

11,022,445 

 

11,002,917 

 

5.105% *, 7/1/2035  

 

 

90,960 

 

92,717 

 

5.174% *, 1/1/2036  

 

 

218,296 

 

222,876 

 

5.309% *, 1/1/2037  

 

 

80,815 

 

82,372 

 

5.451% *, 1/1/2037  

 

 

173,176 

 

177,433 

 

 

 

 

5.467% *, 1/1/2036  

 

 

234,843 

 

240,573 

 

5.491% *, 10/1/2036  

 

 

152,538 

 

156,048 

 

5.5%, with various maturities from 5/1/2019 until 3/1/2038 (b) 

 

 

14,381,876 

 

14,569,796 

 

5.601% *, 1/1/2037  

 

 

89,404 

 

91,835 

 

5.765% *, 1/1/2037  

 

 

83,472 

 

85,825 

 

5.785% *, 3/1/2037  

 

 

97,835 

 

100,563 

 

5.856% *, 11/1/2036  

 

 

184,425 

 

189,958 

 

5.874% *, 6/1/2036  

 

 

352,835 

 

361,905 

 

5.926% *, 9/1/2036  

 

 

155,854 

 

160,484 

 

6.0%, with various maturities from 10/1/2009 until 11/1/2037  

 

 

9,422,408 

 

9,677,598 

 

6.5%, with various maturities from 1/1/2018 until 12/1/2036 (b) 

 

 

2,951,883 

 

3,064,596 

 

7.0%, with various maturities from 6/1/2012 until 1/1/2034 (b) 

 

 

938,995 

 

989,762 

 

7.5%, with various maturities from 1/1/2024 until 4/1/2028  

 

 

30,273 

 

32,693 

 

8.0%, with various maturities from 12/1/2021 until 11/1/2031  

 

 

51,448 

 

55,088 

 

8.5%, with various maturities from 12/1/2025 until 8/1/2031  

 

 

23,553 

 

25,727 

Government National Mortgage Association:

 
 

5.0%, with various maturities from 3/1/2034 until 10/20/2035 (b) 

 

 

1,329,106 

 

1,326,416 

 

5.5%, with various maturities from 9/15/2033 until 3/15/2036  

 

 

2,437,256 

 

2,488,465 

 

6.0%, with various maturities from 2/15/2029 until 7/20/2037 (b) 

 

 

2,668,820 

 

2,756,924 

 

6.5%, with various maturities from 11/15/2023 until 10/20/2037  

 

 

988,166 

 

1,032,457 

 

7.5%, with various maturities from 8/15/2029 until 6/15/2032  

 

 

54,885 

 

58,291 

 

8.0%, with various maturities from 7/15/2022 until 3/15/2032  

 

 

104,199 

 

115,815 

 

8.5%, 11/15/2029  

 

 

22,449 

 

24,886 

 

9.0%, 1/15/2023  

 

 

27,451 

 

31,258 

**Total Mortgage Backed Securities Pass-Throughs** (Cost $84,966,614)

 

**86,724,831**

 

**Commercial and Non-Agency Mortgage-Backed Securities 5.0%**

 
Banc of America Commercial Mortgage, Inc.:

 
 

"A4", Series 2004-1, 4.76%, 11/10/2039  

 

 

200,000 

 

195,691 

 

"A3", Series 2003-2, 4.873%, 3/11/2041  

 

 

300,000 

 

291,935 

 

"A4", Series 2007-1, 5.451%, 1/15/2049  

 

 

100,000 

 

97,189 

 

"A4", Series 2006-4, 5.634%, 7/10/2046  

 

 

250,000 

 

249,116 

Bear Stearns Commercial Mortgage Securities, Inc.:

 
 

"A2", Series 1999-WF2, 7.08%, 7/15/2031  

 

 

373,372 

 

378,812 

 

"A1", Series 2000-WF2, 7.11%, 10/15/2032  

 

 

28,839 

 

28,899 

 

"A2", Series 2000-WF1, 7.78%, 2/15/2032  

 

 

150,000 

 

155,126 

Capco America Securitization Corp., "A1B", Series 1998-D7, 6.26%, 10/15/2030  

 

 

70,300 

 

70,435 

Citigroup Commercial Mortgage Trust, "A4", Series 2004-C1, 5.529% *, 4/15/2040  

 

 

100,000 

 

101,517 

Commercial Mortgage Pass-Through Certificate, "A2", Series 2004-LB4A, 4.049%, 10/15/2037  

 

 

193,868 

 

190,902 

Credit Suisse Mortgage Capital Certificates, "A4", Series 2006-C1, 5.609% *, 2/15/2039  

 

 

380,000 

 

378,711 

CS First Boston Mortgage Securities Corp.:

 
 

"A2", Series 2003-CPN1, 4.597%, 3/15/2035  

 

 

215,000 

 

204,542 

 

"A4", Series 2001-CP4, 6.18%, 12/15/2035  

 

 

435,000 

 

442,301 

 

"A3", Series 2001-CF2, 6.238%, 2/15/2034  

 

 

1,121 

 

1,119 

CW Capital Cobalt Ltd., "A3", Series 2007-C2, 5.484%, 4/15/2047  

 

 

500,000 

 

485,677 

DLJ Commercial Mortgage Corp., "A1B", Series 1998-CG1, 6.41%, 6/10/2031  

 

 

2,560 

 

2,556 

First Union National Bank Commercial Mortgage, "A2", Series 2001-C4, 6.223%, 12/12/2033  

 

 

150,000 

 

152,848 

GE Capital Commercial Mortgage Corp., "A4", Series 2003-C2, 5.145%, 7/10/2037  

 

 

337,000 

 

325,982 

GMAC Commercial Mortgage Securities, Inc., "A4", Series 2003-C3, 5.023%, 4/10/2040  

 

 

200,000 

 

196,808 

Greenwich Capital Commercial Funding Corp.:

 
 

"A7", Series 2004-GG1, 5.317% *, 6/10/2036  

 

 

200,000 

 

199,436 

 

"A4", Series 2007-GG9, 5.444%, 3/10/2039  

 

 

200,000 

 

194,589 

GS Mortgage Securities Corp. II:

 
 

 

 

 

"A4A", Series 2005-GG4, 4.751%, 7/10/2039  

 

 

100,000 

 

97,044 

 

"A6", Series 2004-GG2, 5.396% *, 8/10/2038  

 

 

100,000 

 

101,418 

 

"A4", Series 2006-GG8, 5.56%, 11/10/2039  

 

 

500,000 

 

495,194 

JPMorgan Chase Commercial Mortgage Securities Corp.:

 
 

"A2", Series 2004-C1, 4.302%, 1/15/2038  

 

 

300,000 

 

289,390 

 

"A2", Series 2002-CIB5, 5.161%, 10/12/2037  

 

 

200,000 

 

199,213 

 

"A3", Series 2007-LDPX, 5.42%, 1/15/2049  

 

 

200,000 

 

193,523 

 

"A4", Series 2007-CB18, 5.44%, 6/12/2047  

 

 

100,000 

 

97,115 

 

"A4", Series 2006-CB15, 5.814% *, 6/12/2043  

 

 

250,000 

 

252,333 

 

"A4", Series 2006-LDP7, 6.065% *, 4/15/2045  

 

 

100,000 

 

101,629 

LB-UBS Commercial Mortgage Trust:

 
 

"A4", Series 2003-C3, 4.166%, 5/15/2032  

 

 

250,000 

 

231,507 

 

"A3", Series 2006-C7, 5.347%, 11/15/2038  

 

 

500,000 

 

487,512 

 

"A4", Series 2007-C1, 5.424%, 2/15/2040  

 

 

100,000 

 

97,123 

 

"A4", Series 2002-C1, 6.462%, 3/15/2031  

 

 

200,000 

 

205,761 

 

"A2", Series 2001-C2, 6.653%, 11/15/2027  

 

 

525,000 

 

541,653 

 

Merrill Lynch Mortgage Trust:

 
 

"A2", Series 2004-BPC1, 4.071%, 10/12/2041  

 

 

145,000 

 

142,846 

 

"A4", Series 2005-MCP1, 4.747% *, 6/12/2043  

 

 

200,000 

 

193,959 

 

"A6", Series 2005-CKI1, 5.416% *, 11/12/2037  

 

 

100,000 

 

99,918 

Merrill Lynch/Countrywide Commercial Mortgage Trust:

 
 

"A4", Series 2007-6, 5.485%, 3/12/2051  

 

 

200,000 

 

194,477 

 

"A4", Series 2006-1, 5.604% *, 2/12/2039  

 

 

200,000 

 

198,555 

Morgan Stanley Capital I:

 
 

"A4", Series 2005-HQ5, 5.168%, 1/14/2042  

 

 

250,000 

 

250,415 

 

"A4", Series 2006-HQ9, 5.731%, 7/12/2044  

 

 

500,000 

 

501,530 

 

"A2", Series 1999-LIFE, 7.11%, 4/15/2033  

 

 

88,742 

 

90,405 

Morgan Stanley Dean Witter Capital I, "A2", Series 2002-TOP7, 5.98%, 1/15/2039  

 

 

185,000 

 

190,063 

Wachovia Bank Commercial Mortgage Trust:

 
 

"A3", Series 2003-C9, 4.608%, 12/15/2035  

 

 

100,000 

 

97,777 

 

"A4", Series 2004-C15, 4.803%, 10/15/2041  

 

 

200,000 

 

196,054 

 

"A5", Series 2007-C30, 5.342%, 12/15/2043  

 

 

500,000 

 

481,994 

 

"A4", Series 2006-C23, 5.418% *, 1/15/2045  

 

 

200,000 

 

197,600 

 

"A3", Series 2007-C34, 5.678%, 5/15/2046  

 

 

500,000 

 

492,055 

**Total Commercial and Non-Agency Mortgage-Backed Securities** (Cost $11,163,286)

 

**11,062,254**

 

**Municipal Bonds and Notes 0.1%**

 
Illinois, State General Obligation, Taxable Pension, 5.1%, 6/1/2033  

 

 

275,000 

 

273,743 

Oregon, State General Obligation, Taxable Pension, 5.892%, 6/1/2027  

 

 

25,000 

 

27,299 

**Total Municipal Bonds and Notes** (Cost $286,894)

 

**301,042**

 

**Preferred Securities 0.2%**

 
Goldman Sachs Capital II, 5.793%, 6/1/2012 ** 

 

 

50,000 

 

33,305 

Lincoln National Corp., 6.05%, 4/20/2017 ** 

 

 

75,000 

 

65,574 

MUFG Capital Finance 1 Ltd., 6.346%, 7/25/2016 ** 

 

 

100,000 

 

81,490 

RBS Capital Trust I, 4.709%, 7/1/2013 ** 

 

 

50,000 

 

42,166 

USB Capital IX, 6.189%, 4/15/2011 ** 

 

 

50,000 

 

37,125 

Wachovia Capital Trust III, 5.8%, 3/15/2011 ** 

 

 

50,000 

 

35,625 

XL Capital Ltd., Series E, 6.5%, 4/15/2017 ** 

 

 

50,000 

 

37,477 

**Total Preferred Securities** (Cost $393,538)

 

**332,762**

 

**Shares**

 

**Value ($)**

 

**Securities Lending Collateral 29.3%**

 
Daily Assets Fund Institutional, 3.25%  (c) (d)(Cost $65,461,190)

 

 

65,461,190

 

**65,461,190**

 

 

 

 

**Cash Equivalents 3.8%**

 
Cash Management QP Trust, 2.84%  (c)(Cost $8,422,462)

 

 

8,422,462

 

**8,422,462**

 

**% of Net Assets**

 

**Value ($)**

**Total Investment Portfolio** (Cost $287,945,558) †

131.8

 

**294,331,733**

**Other Assets and Liabilities, Net**

(31.8)

 

**(71,083,041)**

**Net Assets**

100.0

 

**223,248,692**

 

*For information on the Fund's policies regarding the valuation of investments and other significant accounting policies, please refer to the Fund's most recent semi-annual or annual financial statements.*

***

*Floating rate notes are securities whose yields vary with a designated market index or market rate, such as the coupon-equivalent of the US Treasury bill rate. These securities are shown at their current rate as of March 31, 2008.*

****

*Date shown is call date; not a maturity date for the perpetual preferred securities.*

*†*

*The cost for federal income tax purposes was $287,953,906.  At March 31, 2008, net unrealized appreciation for all securities based on tax cost was $6,377,827.  This consisted of aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost of $7,721,830 and aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value of $1,344,003.*

*(a)*

*All or a portion of these securities were on loan.  The value of all securities loaned at March 31, 2008 amounted to $63,667,250 which is 28.5% of net assets.*

*(b)*

*Mortgage dollar rolls included.*

*(c)*

*Affiliated fund managed by Deutsche Investment Management Americas Inc. The rate shown is the annualized seven-day yield at period end.*

*(d)*

*Represents collateral held in connection with securities lending. Income earned by the Fund is net of borrower rebates.*

*144A: Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.*

*REIT: Real Estate Investment Trust*

*Included in the portfolio are investments in mortgage or asset-backed securities which are interests in separate pools of mortgages or assets.  Effective maturities of these investments may be shorter than stated maturities due to prepayments.  Some separate investments in the Federal Home Loan Mortgage Corp., Federal National Mortgage Association and Government National Mortgage Association issues which have similar coupon rates have been aggregated for presentation purposes in this investment portfolio.*

 

*The following is a summary of the inputs used as of March 31, 2008 in valuing the Fund’s assets carried at fair value:*

 

**Valuation Inputs**

**Investments in  Securities at Value**

Level 1 - Quoted Prices

$                73,883,652   

Level 2 - Other Significant

220,448,081   

Observable Inputs

Level 3 - Significant

-   

Unobservable Inputs

**Total**

**$               294,331,733**

 

*The Fund adopted Financial Accounting Standards Board Statement of Financial Accounting Standards No. 157, Fair Value Measurements (“FAS 157"), effective January 1, 2008, which governs the application of generally accepted accounting principles that require fair value measurements of the Fund’s assets and liabilities.  Fair value is an estimate of  the price the Fund would receive upon selling a security in a timely transaction to an independent buyer in the principal or most advantageous market of the security. FAS 157 established a three-tier hierarchy to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk, for example, the risk inherentin a particular valuation technique used to measure fair value including such a pricing model and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability developed based on the best information available in the circumstances.*

 

*Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in the three broad levels as follows:*

 

 

**•**

*Level 1 – quoted prices in active markets for identical securities*

 

**•**

*Level 2 – other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)*

 

**•**

*Level 3 – significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)*

 

*For Level 1 inputs, the Fund uses unadjusted quoted prices in active markets for assets or liabilities with sufficient frequency and volume to provide pricing information as the most reliable evidence of fair value.  The Fund’s Level 2 valuation techniques include inputs other than quoted prices within Level 1 that are observable for an asset or liability, either directly or indirectly.  Level 2 observable inputs may include quoted prices for similar assets and liabilities in active markets or quoted prices for identical or similar assets or liabilities in markets that are not active in which there are few transactions, the prices are not current, or price quotations vary substantially over time or among market participants.  Inputs that are observable for the asset or liability in Level 2 include such factors as interest rates, yield curves, prepayment speeds, credit risk, and default rates forsimilar liabilities.  For Level 3 valuation techniques, the Fund uses unobservable inputs that reflect assumptions market participants would be expected to use in pricing the asset or liability. Unobservable inputs are used to measure fair value to the extent that observable inputs are not available and are developed based on the best information available under the circumstances.  In developing unobservable inputs, market participant assumptions are used if they are reasonably available without undue cost and effort.*

 

*The Fund may record changes to valuations based on the amount that might reasonably be expected to receive for a security upon its current sale consistent with the fair value measurement objective.  Each determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another.  Examples of such factors may include, but are not limited to the type of the security, the existence of any contractual restrictions on the security’s disposition, the price and extent of public trading in similar securities of the issue or of comparable companies, quotations or evaluated prices from broker-dealers and/or pricing services, information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), an analysis of the company’s financial statements, an evaluation of the forces that influence the issuer and themarket(s) in which the security is purchased and sold, and with respect to debt securities, the maturity, coupon, creditworthiness, currency denomination, and the movement of the market in which the security is normally traded.   Because of the inherent uncertainties of valuation, the values reflected in the financial statements may materially differ from the value determined upon sale of those investments.*

 

**ITEM 2.**

**CONTROLS AND PROCEDURES**

 

 

 

(a)          The Chief Executive and Financial Officers concluded that the Registrant’s Disclosure Controls and Procedures are effective based on the evaluation of the Disclosure Controls and Procedures as of a date within 90 days of the filing date of this report.

 

 

 

(b)          There have been no changes in the registrant’s internal control over financial reporting that occurred during the registrant’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal controls over financial reporting.

 

 

**ITEM 3.**

**EXHIBITS**

 

 

 

Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT.

 

**SIGNATURES**

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

Registrant: 

DWS U.S. Bond Index Fund, a series of DWS Institutional Funds

 

By:

/s/Michael G. Clark

 

Michael G. Clark

President

 

Date:

May 14, 2008

 

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

Registrant: 

DWS U.S. Bond Index Fund, a series of DWS Institutional Funds

 

By:

/s/Michael G. Clark

 

Michael G. Clark

President

 

Date:

May 14, 2008

 

 

By:

/s/Paul Schubert

 

Paul Schubert

Chief Financial Officer and Treasurer

 

Date:

May 14, 2008

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