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  811-04760

DWS Advisor Funds

(Exact name of registrant as specified in charter)

 

345 Park Avenue

New York, NY  10154

(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:  09/30

Date of reporting period: 06/30/08

 

ITEM 1.  SCHEDULE OF INVESTMENTS

 

| Investment Portfolio | **as of June 30, 2008  (Unaudited)** |
|----------------------|--------------------------------------|

 

 

**DWS Short Duration Plus Fund**

 

|   | **Principal****Amount ($)** |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | **Value ($)** |
|--------|-----------------------------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------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|        |
|   | **Corporate Bonds 28.0%**   |  
**Consumer Discretionary 1.7%**

 
AMC Entertainment, Inc., 8.0%, 3/1/2014 

 

 

54,000 

 

47,925 

Asbury Automotive Group, Inc.:

 
 

7.625%, 3/15/2017 

 

 

35,000 

 

28,175 

 

8.0%, 3/15/2014 

 

 

20,000 

 

17,300 

Ashtead Holdings PLC, 144A, 8.625%, 8/1/2015 

 

 

110,000 

 

95,700 

Cablevision Systems Corp., Series B, 7.133% **, 4/1/2009 

 

 

29,000 

 

29,000 

Charter Communications Operating LLC, 144A, 10.875%, 9/15/2014 

 

 

110,000 

 

113,025 

Comcast Corp., 5.5%, 3/15/2011 

 

 

5,000,000 

 

5,003,770 

Cooper-Standard Automotive, Inc., 7.0%, 12/15/2012 

 

 

25,000 

 

20,875 

CSC Holdings, Inc.:

 
 

7.25%, 7/15/2008 

 

 

53,000 

 

53,000 

 

 

 

 

 

Series B, 7.625%, 4/1/2011 

 

 

35,000 

 

34,300 

 

Series B, 8.125%, 7/15/2009 

 

 

55,000 

 

55,412 

 

Series B, 8.125%, 8/15/2009 

 

 

95,000 

 

95,712 

DIRECTV Holdings LLC, 144A, 7.625%, 5/15/2016 

 

 

140,000 

 

137,900 

Dollarama Group LP, 8.883% **, 8/15/2012 

 

 

38,000 

 

35,530 

EchoStar DBS Corp.:

 
 

6.375%, 10/1/2011 

 

 

85,000 

 

82,025 

 

6.625%, 10/1/2014 

 

 

59,000 

 

54,575 

 

7.125%, 2/1/2016 

 

 

50,000 

 

46,125 

Great Canadian Gaming Corp., 144A, 7.25%, 2/15/2015 

 

 

50,000 

 

48,500 

Group 1 Automotive, Inc., 8.25%, 8/15/2013 

 

 

30,000 

 

28,050 

Hanesbrands, Inc., Series B, 6.508% **, 12/15/2014 

 

 

70,000 

 

65,100 

Hertz Corp.:

 
 

8.875%, 1/1/2014 

 

 

110,000 

 

100,650 

 

10.5%, 1/1/2016 

 

 

20,000 

 

18,200 

Home Depot, Inc., 2.901% **, 12/16/2009 

 

 

2,665,000 

 

2,595,686 

Idearc, Inc., 8.0%, 11/15/2016 

 

 

200,000 

 

125,750 

Indianapolis Downs LLC, 144A, 11.0%, 11/1/2012 

 

 

45,000 

 

40,950 

Isle of Capri Casinos, Inc., 7.0%, 3/1/2014 

 

 

55,000 

 

38,775 

Jarden Corp., 7.5%, 5/1/2017 

 

 

40,000 

 

34,800 

Kabel Deutschland GmbH, 10.625%, 7/1/2014 

 

 

80,000 

 

81,800 

Lamar Media Corp., Series C, 6.625%, 8/15/2015 

 

 

30,000 

 

27,300 

Liberty Media LLC:

 
 

5.7%, 5/15/2013 

 

 

25,000 

 

22,404 

 

8.25%, 2/1/2030 

 

 

50,000 

 

43,556 

 

8.5%, 7/15/2029 

 

 

80,000 

 

71,559 

Macy's Retail Holdings, Inc., 6.3%, 4/1/2009 

 

 

5,065,000 

 

5,045,125 

Mediacom Broadband LLC, 8.5%, 10/15/2015 

 

 

10,000 

 

8,938 

MGM MIRAGE:

 
 

6.0%, 10/1/2009 

 

 

40,000 

 

39,350 

 

6.75%, 9/1/2012 

 

 

160,000 

 

143,600 

 

8.375%, 2/1/2011 

 

 

57,000 

 

55,005 

MTR Gaming Group, Inc., Series B, 9.75%, 4/1/2010 

 

 

61,000 

 

61,000 

Norcraft Holdings LP, Step-up Coupon, 0% to 9/1/2008, 9.75% to 9/1/2012   

 

 

10,000 

 

9,313 

Penske Automotive Group, Inc., 7.75%, 12/15/2016 

 

 

105,000 

 

91,875 

Quiksilver, Inc., 6.875%, 4/15/2015 

 

 

105,000 

 

89,250 

Seminole Hard Rock Entertainment, Inc., 144A, 5.276% **, 3/15/2014 

 

 

55,000 

 

46,200 

Shaw Communications, Inc., 8.25%, 4/11/2010 

 

 

95,000 

 

97,612 

Shingle Springs Tribal Gaming Authority, 144A, 9.375%, 6/15/2015 

 

 

40,000 

 

32,500 

Sinclair Television Group, Inc., 8.0%, 3/15/2012 

 

 

24,000 

 

24,180 

Sonic Automotive, Inc., Series B, 8.625%, 8/15/2013 

 

 

40,000 

 

37,000 

Station Casinos, Inc., 6.5%, 2/1/2014 

 

 

80,000 

 

46,000 

Target Corp., 2.895% **, 8/7/2009 

 

 

5,000,000 

 

4,989,355 

Time Warner Cable, Inc., 6.2%, 7/1/2013 

 

 

4,445,000 

 

4,519,974 

Viacom, Inc., 5.75%, 4/30/2011 

 

 

5,000,000 

 

5,011,660 

Videotron Ltd., 144A, 9.125%, 4/15/2018 

 

 

15,000 

 

15,675 

Vitro SAB de CV:

 
 

9.125%, 2/1/2017 

 

 

160,000 

 

126,800 

 

11.75%, 11/1/2013 

 

 

20,000 

 

19,900 

 

**29,803,741**

**Consumer Staples 3.4%**

 
Alliance One International, Inc., 8.5%, 5/15/2012 

 

 

15,000 

 

14,100 

Coca-Cola Enterprises, Inc., 4.375%, 9/15/2009 

 

 

3,000,000 

 

3,037,689 

ConAgra Foods, Inc., 7.875%, 9/15/2010 

 

 

10,000,000 

 

10,570,840 

CVS Caremark Corp.:

 
 

 

 

 

 

2.982% **, 6/1/2010 

 

 

6,000,000 

 

5,855,568 

 

4.0%, 9/15/2009 

 

 

4,500,000 

 

4,475,578 

Delhaize America, Inc.:

 
 

8.05%, 4/15/2027 

 

 

45,000 

 

48,558 

 

9.0%, 4/15/2031 

 

 

82,000 

 

96,531 

Dr. Pepper Snapple Group, Inc., 144A, 6.12%, 5/1/2013 

 

 

1,400,000 

 

1,419,076 

Harry & David Holdings, Inc., 7.682% **, 3/1/2012 

 

 

35,000 

 

30,800 

Kraft Foods, Inc., 3.216% **, 8/11/2010 

 

 

5,000,000 

 

4,907,105 

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

 

 

8,667,000 

 

8,795,653 

Philip Morris International, Inc., 4.875%, 5/16/2013 

 

 

9,785,000 

 

9,612,070 

Reynolds American, Inc.:

 
 

3.476% **, 6/15/2011 

 

 

5,000,000 

 

4,725,300 

 

6.5%, 7/15/2010 

 

 

5,000,000 

 

5,075,000 

Smithfield Foods, Inc., 7.75%, 7/1/2017 

 

 

35,000 

 

29,050 

Viskase Companies, Inc., 11.5%, 6/15/2011 

 

 

155,000 

 

134,850 

 

**58,827,768**

**Energy 1.2%**

 
Atlas Energy Resources LLC, 144A, 10.75%, 2/1/2018 

 

 

100,000 

 

104,000 

Bristow Group, Inc., 7.5%, 9/15/2017 

 

 

65,000 

 

65,163 

Chaparral Energy, Inc., 8.5%, 12/1/2015 

 

 

10,000 

 

8,675 

Chesapeake Energy Corp.:

 
 

6.25%, 1/15/2018 

 

 

35,000 

 

32,200 

 

6.875%, 1/15/2016 

 

 

155,000 

 

149,575 

 

7.25%, 12/15/2018 

 

 

105,000 

 

102,112 

 

7.75%, 1/15/2015 

 

 

120,000 

 

124,500 

Cimarex Energy Co., 7.125%, 5/1/2017 

 

 

40,000 

 

39,300 

ConocoPhillips, 8.75%, 5/25/2010 

 

 

11,000,000 

 

11,970,750 

Dynegy Holdings, Inc.:

 
 

6.875%, 4/1/2011 

 

 

15,000 

 

14,831 

 

8.375%, 5/1/2016 

 

 

65,000 

 

63,050 

El Paso Corp.:

 
 

7.25%, 6/1/2018 

 

 

85,000 

 

83,725 

 

9.625%, 5/15/2012 

 

 

50,000 

 

54,221 

Enterprise Products Operating LP, 4.95%, 6/1/2010 

 

 

5,000,000 

 

4,998,915 

Forest Oil Corp., 144A, 7.25%, 6/15/2019 

 

 

30,000 

 

28,800 

Frontier Oil Corp., 6.625%, 10/1/2011 

 

 

40,000 

 

39,400 

KCS Energy, Inc., 7.125%, 4/1/2012 

 

 

195,000 

 

187,200 

Mariner Energy, Inc.:

 
 

7.5%, 4/15/2013 

 

 

55,000 

 

53,350 

 

8.0%, 5/15/2017 

 

 

75,000 

 

72,563 

Newfield Exploration Co., 7.125%, 5/15/2018 

 

 

90,000 

 

85,275 

OPTI Canada, Inc.:

 
 

7.875%, 12/15/2014 

 

 

75,000 

 

74,062 

 

8.25%, 12/15/2014 

 

 

130,000 

 

129,350 

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

 

 

838,000 

 

913,420 

Petrohawk Energy Corp.:

 
 

144A, 7.875%, 6/1/2015 

 

 

55,000 

 

53,694 

 

9.125%, 7/15/2013 

 

 

50,000 

 

51,250 

Plains Exploration & Production Co.:

 
 

7.0%, 3/15/2017 

 

 

50,000 

 

48,000 

 

7.625%, 6/1/2018 

 

 

95,000 

 

95,000 

Quicksilver Resources, Inc., 7.125%, 4/1/2016 

 

 

135,000 

 

125,719 

Range Resources Corp., 7.25%, 5/1/2018 

 

 

25,000 

 

24,813 

Sabine Pass LNG LP:

 
 

7.25%, 11/30/2013 

 

 

100,000 

 

91,000 

 

7.5%, 11/30/2016 

 

 

200,000 

 

180,000 

 

 

 

 

SandRidge Energy, Inc., 144A, 8.0%, 6/1/2018 

 

 

50,000 

 

50,250 

Southwestern Energy Co., 144A, 7.5%, 2/1/2018 

 

 

75,000 

 

77,168 

Stone Energy Corp., 6.75%, 12/15/2014 

 

 

60,000 

 

52,650 

Tennessee Gas Pipeline Co., 7.625%, 4/1/2037 

 

 

35,000 

 

36,427 

Tesoro Corp., 6.5%, 6/1/2017 

 

 

50,000 

 

44,875 

Whiting Petroleum Corp.:

 
 

7.0%, 2/1/2014 

 

 

65,000 

 

63,781 

 

7.25%, 5/1/2012 

 

 

105,000 

 

104,212 

 

7.25%, 5/1/2013 

 

 

40,000 

 

39,700 

Williams Companies, Inc.:

 
 

8.125%, 3/15/2012 

 

 

143,000 

 

150,150 

 

8.75%, 3/15/2032 

 

 

214,000 

 

242,890 

Williams Partners LP, 7.25%, 2/1/2017 

 

 

30,000 

 

30,000 

 

**20,956,016**

**Financials 15.4%**

 
American Express Credit Corp., Series C, 3.883% **, 5/27/2010 

 

 

8,000,000 

 

7,934,504 

American General Finance Corp., Series J, 3.026% **, 12/15/2011 

 

 

12,000,000 

 

11,016,912 

Ashton Woods USA LLC, 9.5%, 10/1/2015 

 

 

110,000 

 

63,800 

Bank of New York, 5.05%, 3/3/2009 

 

 

3,500,000 

 

3,495,380 

Bank of New York Mellon Corp., Series G, 4.95%, 11/1/2012 

 

 

10,370,000 

 

10,339,854 

Bank One Corp., 6.0%, 8/1/2008 

 

 

3,000,000 

 

3,004,872 

Barclays Bank PLC, 3.0% **, 8/10/2009 

 

 

6,665,000 

 

6,665,000 

Bear Stearns Companies, Inc., 2.875%, 7/2/2008 

 

 

7,500,000 

 

7,500,000 

Boeing Capital Corp., 4.75%, 8/25/2008 

 

 

8,833,000 

 

8,866,627 

Buffalo Thunder Development Authority, 144A, 9.375%, 12/15/2014 

 

 

30,000 

 

20,100 

Capital One Bank:

 
 

4.25%, 12/1/2008 

 

 

4,000,000 

 

3,992,660 

 

5.0%, 6/15/2009 

 

 

1,000,000 

 

998,507 

Caterpillar Financial Services Corp., Series F, 4.85%, 12/7/2012 

 

 

7,000,000 

 

6,979,259 

CIT Group, Inc., 5.4%, 2/13/2012 

 

 

9,090,000 

 

7,215,851 

Citigroup, Inc., 4.625%, 8/3/2010 

 

 

10,000,000 

 

9,958,530 

Commonwealth Bank of Australia, 144A, 5.0%, 11/6/2012 

 

 

5,000,000 

 

5,042,120 

Conproca SA de CV, Series REG S, 12.0%, 6/16/2010 

 

 

186,900 

 

209,328 

Diageo Capital PLC, 4.375%, 5/3/2010 

 

 

5,015,000 

 

5,020,326 

Ford Motor Credit Co., LLC:

 
 

7.25%, 10/25/2011 

 

 

249,000 

 

192,965 

 

7.375%, 10/28/2009 

 

 

390,000 

 

355,204 

 

7.875%, 6/15/2010 

 

 

130,000 

 

112,210 

General Electric Capital Corp., Series A, 5.25%, 10/19/2012 

 

 

10,000,000 

 

10,097,480 

Glitnir Banki HF, 144A, 2.873% **, 10/15/2008 

 

 

6,000,000 

 

5,966,412 

GMAC LLC, 6.875%, 9/15/2011 

 

 

668,000 

 

480,006 

Hartford Financial Services Group, Inc., 7.9%, 6/15/2010 

 

 

3,950,000 

 

4,153,141 

 

Hawker Beechcraft Acquisition Co., LLC:

 
 

8.5%, 4/1/2015 

 

 

95,000 

 

95,713 

 

8.875%, 4/1/2015 (PIK)

 

 

75,000 

 

75,375 

HCP, Inc. (REIT), 6.45%, 6/25/2012 

 

 

7,500,000 

 

7,188,315 

Hexion US Finance Corp., 9.75%, 11/15/2014 

 

 

30,000 

 

27,150 

HSBC Finance Corp., 5.9%, 6/19/2012 (a) 

 

 

12,000,000 

 

12,047,904 

Inmarsat Finance PLC, Step-up Coupon, 0% to 11/15/2008, 10.375% to 11/15/2012   

 

 

135,000 

 

136,350 

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

 

 

5,000,000 

 

4,125,000 

John Deere Capital Corp., Series D, 4.5%, 4/3/2013 

 

 

15,000,000 

 

14,812,695 

JPMorgan Chase & Co., 4.75%, 5/1/2013 

 

 

10,000,000 

 

9,718,610 

KeyCorp., Series H, 6.5%, 5/14/2013 

 

 

5,190,000 

 

4,633,938 

Kreditanstalt fuer Wiederaufbau, 3.75%, 6/27/2011 

 

 

18,900,000 

 

19,008,297 

 

 

 

 

Merrill Lynch & Co., Inc.:

 
 

5.77%, 7/25/2011 

 

 

5,000,000 

 

4,984,400 

 

6.15%, 4/25/2013 

 

 

5,305,000 

 

5,141,611 

 

6.875%, 4/25/2018 

 

 

65,000 

 

61,862 

Morgan Stanley:

 
 

Series F, 4.778% **, 5/14/2010 

 

 

5,000,000 

 

4,980,695 

 

Series F, 5.625%, 1/9/2012 

 

 

5,000,000 

 

5,003,710 

Popular North America, Inc., Series E, 3.875%, 10/1/2008 

 

 

8,000,000 

 

7,983,184 

Rio Tinto Finance (USA) Ltd.:

 
 

2.625%, 9/30/2008 

 

 

2,850,000 

 

2,841,593 

 

5.875%, 7/15/2013 

 

 

12,000,000 

 

12,066,528 

Simon Property Group LP, (REIT), 4.6%, 6/15/2010 

 

 

9,000,000 

 

8,853,714 

SLM Corp., Series A, 3.95%, 8/15/2008 

 

 

10,000,000 

 

9,933,020 

Textron Financial Corp., 5.4%, 4/28/2013 

 

 

5,000,000 

 

4,960,750 

Universal City Development Partners, 11.75%, 4/1/2010 

 

 

155,000 

 

159,263 

Wachovia Bank NA, 4.375%, 8/15/2008 

 

 

8,000,000 

 

7,992,320 

 

**266,513,045**

**Health Care 0.9%**

 
Abbott Laboratories, 5.15%, 11/30/2012 

 

 

7,000,000 

 

7,205,191 

Advanced Medical Optics, Inc., 7.5%, 5/1/2017 

 

 

100,000 

 

92,000 

AstraZeneca PLC, 2.991% **, 9/11/2009 

 

 

7,000,000 

 

7,006,412 

Boston Scientific Corp., 6.0%, 6/15/2011 

 

 

70,000 

 

68,425 

Community Health Systems, Inc., 8.875%, 7/15/2015 

 

 

260,000 

 

261,625 

HCA, Inc.:

 
 

9.125%, 11/15/2014 

 

 

45,000 

 

46,012 

 

9.25%, 11/15/2016 

 

 

195,000 

 

200,850 

 

9.625%, 11/15/2016 (PIK)

 

 

100,000 

 

103,000 

The Cooper Companies, Inc., 7.125%, 2/15/2015 

 

 

70,000 

 

67,200 

 

**15,050,715**

**Industrials 2.1%**

 
Actuant Corp., 6.875%, 6/15/2017 

 

 

30,000 

 

29,475 

Allied Security Escrow Corp., 11.375%, 7/15/2011 

 

 

19,000 

 

16,340 

Allied Waste North America, Inc., 6.5%, 11/15/2010 

 

 

100,000 

 

100,000 

American Railcar Industries, Inc., 7.5%, 3/1/2014 

 

 

45,000 

 

41,850 

ARAMARK Corp., 6.373% **, 2/1/2015 

 

 

40,000 

 

37,400 

Baldor Electric Co., 8.625%, 2/15/2017 

 

 

40,000 

 

40,200 

BE Aerospace, Inc., 8.5%, 7/1/2018 

 

 

95,000 

 

95,237 

Belden, Inc., 7.0%, 3/15/2017 

 

 

35,000 

 

33,600 

Bombardier, Inc., 144A, 6.75%, 5/1/2012 

 

 

100,000 

 

97,750 

Browning-Ferris Industries, Inc., 7.4%, 9/15/2035 

 

 

125,000 

 

118,750 

Building Materials Corp. of America, 7.75%, 8/1/2014 

 

 

45,000 

 

36,900 

Cenveo Corp., 144A, 10.5%, 8/15/2016 

 

 

50,000 

 

49,500 

 

 

 

DRS Technologies, Inc.:

 
 

6.625%, 2/1/2016 

 

 

30,000 

 

30,450 

 

6.875%, 11/1/2013 

 

 

250,000 

 

250,000 

 

7.625%, 2/1/2018 

 

 

100,000 

 

105,750 

Esco Corp.:

 
 

144A, 6.651% **, 12/15/2013 

 

 

260,000 

 

244,400 

 

144A, 8.625%, 12/15/2013 

 

 

55,000 

 

55,550 

General Cable Corp.:

 
 

5.073% **, 4/1/2015 

 

 

45,000 

 

39,937 

 

7.125%, 4/1/2017 

 

 

30,000 

 

28,575 

General Dynamics Corp., 4.25%, 5/15/2013 

 

 

10,000,000 

 

9,895,660 

Gibraltar Industries, Inc., Series B, 8.0%, 12/1/2015 

 

 

40,000 

 

33,400 

K. Hovnanian Enterprises, Inc.:

 
 

8.875%, 4/1/2012 

 

 

129,000 

 

94,170 

 

144A, 11.5%, 5/1/2013 

 

 

15,000 

 

15,563 

Kansas City Southern de Mexico SA de CV:

 
 

7.375%, 6/1/2014 

 

 

55,000 

 

53,350 

 

9.375%, 5/1/2012 

 

 

145,000 

 

150,800 

Kansas City Southern Railway Co., 7.5%, 6/15/2009 

 

 

40,000 

 

40,400 

Lockheed Martin Corp., 4.121%, 3/14/2013 

 

 

5,000,000 

 

4,855,190 

Mobile Services Group, Inc., 9.75%, 8/1/2014 

 

 

55,000 

 

52,800 

Moog, Inc., 144A, 7.25%, 6/15/2018 

 

 

25,000 

 

24,750 

Navios Maritime Holdings, Inc., 9.5%, 12/15/2014 

 

 

50,000 

 

51,125 

Norfolk Southern Corp., 6.2%, 4/15/2009 

 

 

8,770,000 

 

8,906,154 

Ply Gem Industries, Inc., 144A, 11.75%, 6/15/2013 

 

 

35,000 

 

32,112 

R.H. Donnelley Corp., 144A, 8.875%, 10/15/2017 

 

 

220,000 

 

130,900 

Rainbow National Services LLC, 144A, 10.375%, 9/1/2014 

 

 

19,000 

 

20,188 

Seitel, Inc., 9.75%, 2/15/2014 

 

 

30,000 

 

26,813 

Titan International, Inc., 8.0%, 1/15/2012 

 

 

140,000 

 

137,200 

TransDigm, Inc., 7.75%, 7/15/2014 

 

 

30,000 

 

29,625 

U.S. Concrete, Inc., 8.375%, 4/1/2014 

 

 

30,000 

 

26,625 

Union Pacific Corp., 5.45%, 1/31/2013 

 

 

9,285,000 

 

9,309,745 

United Rentals North America, Inc., 7.0%, 2/15/2014 

 

 

60,000 

 

46,500 

 

**35,384,734**

**Information Technology 1.3%**

 
Cisco Systems, Inc., 5.25%, 2/22/2011 

 

 

7,000,000 

 

7,207,123 

Freescale Semiconductor, Inc., 8.875%, 12/15/2014 

 

 

125,000 

 

101,562 

L-3 Communications Corp.:

 
 

5.875%, 1/15/2015 

 

 

100,000 

 

92,250 

 

Series B, 6.375%, 10/15/2015 

 

 

60,000 

 

56,100 

 

7.625%, 6/15/2012 

 

 

165,000 

 

166,650 

Lucent Technologies, Inc., 6.45%, 3/15/2029 

 

 

148,000 

 

113,220 

MasTec, Inc., 7.625%, 2/1/2017 

 

 

55,000 

 

46,750 

Oracle Corp.:

 
 

4.95%, 4/15/2013 

 

 

5,355,000 

 

5,406,751 

 

5.0%, 1/15/2011 

 

 

7,000,000 

 

7,136,297 

Sanmina-SCI Corp., 144A, 5.526% **, 6/15/2010 

 

 

24,000 

 

23,760 

Seagate Technology HDD Holdings, 6.8%, 10/1/2016 

 

 

75,000 

 

68,438 

Vangent, Inc., 9.625%, 2/15/2015 

 

 

35,000 

 

30,450 

Xerox Corp., 5.65%, 5/15/2013 

 

 

2,830,000 

 

2,801,864 

 

**23,251,215**

**Materials 0.4%**

 
Appleton Papers, Inc., Series B, 8.125%, 6/15/2011 

 

 

25,000 

 

23,625 

ARCO Chemical Co., 9.8%, 2/1/2020 

 

 

315,000 

 

250,425 

Cascades, Inc., 7.25%, 2/15/2013 

 

 

87,000 

 

75,690 

Chemtura Corp., 6.875%, 6/1/2016 

 

 

110,000 

 

95,150 

 

 

 

 

Clondalkin Acquisition BV, 144A, 4.776% **, 12/15/2013 

 

 

75,000 

 

64,875 

CPG International I, Inc., 10.5%, 7/1/2013 

 

 

90,000 

 

75,150 

Dow Chemical Co., 5.97%, 1/15/2009 

 

 

4,000,000 

 

4,040,760 

Exopack Holding Corp., 11.25%, 2/1/2014 

 

 

115,000 

 

106,662 

Freeport-McMoRan Copper & Gold, Inc.:

 
 

8.25%, 4/1/2015 

 

 

95,000 

 

99,869 

 

8.375%, 4/1/2017 

 

 

165,000 

 

174,075 

GEO Specialty Chemicals, Inc.:

 
 

144A, 7.5% **, 3/31/2015 

 

 

58,078 

 

43,486

 

144A, 10.698% **, 12/31/2009 

 

 

97,000 

 

72,629 

Georgia-Pacific LLC:

 
 

144A, 7.125%, 1/15/2017 

 

 

35,000 

 

32,900 

 

9.5%, 12/1/2011 

 

 

50,000 

 

50,813 

Hexcel Corp., 6.75%, 2/1/2015 

 

 

280,000 

 

272,300 

Huntsman LLC, 11.625%, 10/15/2010 

 

 

144,000 

 

148,680 

Koppers Holdings, Inc., Step-up Coupon, 0% to 11/15/2009, 9.875% to 11/15/2014   

 

 

85,000 

 

76,925 

Millar Western Forest Products Ltd., 7.75%, 11/15/2013 

 

 

25,000 

 

16,250 

Momentive Performance Materials, Inc., 9.75%, 12/1/2014 

 

 

65,000 

 

55,575 

NewMarket Corp., 7.125%, 12/15/2016 

 

 

80,000 

 

79,400 

NewPage Corp., 10.0%, 5/1/2012 

 

 

75,000 

 

75,937 

Pliant Corp., 11.625%, 6/15/2009 (PIK)

 

 

5 

 

5 

Steel Dynamics, Inc., 6.75%, 4/1/2015 

 

 

55,000 

 

52,662 

Terra Capital, Inc., Series B, 7.0%, 2/1/2017 

 

 

80,000 

 

78,400 

The Mosaic Co., 144A, 7.375%, 12/1/2014 

 

 

205,000 

 

214,225 

Witco Corp., 6.875%, 2/1/2026 

 

 

55,000 

 

35,200 

 

**6,311,668**

**Telecommunication Services 0.6%**

 
AT&T, Inc., 4.125%, 9/15/2009 

 

 

1,500,000 

 

1,501,753 

Centennial Communications Corp., 10.125%, 6/15/2013 

 

 

30,000 

 

30,900 

Cincinnati Bell, Inc.:

 
 

7.25%, 7/15/2013 

 

 

76,000 

 

74,100 

 

8.375%, 1/15/2014 

 

 

60,000 

 

58,050 

iPCS, Inc., 4.998% **, 5/1/2013 

 

 

30,000 

 

27,000 

Millicom International Cellular SA, 10.0%, 12/1/2013 

 

 

190,000 

 

201,400 

Nortel Networks Ltd.:

 
 

6.963% **, 7/15/2011 

 

 

55,000 

 

51,975 

 

144A, 10.75%, 7/15/2016 

 

 

65,000 

 

64,350 

Orascom Telecom Finance, 144A, 7.875%, 2/8/2014 

 

 

100,000 

 

92,750 

Qwest Corp.:

 
 

7.25%, 9/15/2025 

 

 

21,000 

 

18,585 

 

7.875%, 9/1/2011 

 

 

5,080,000 

 

5,080,000 

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

 

 

65,000 

 

55,900 

Telefonica Emisiones SAU, 5.984%, 6/20/2011 

 

 

3,000,000 

 

3,044,370 

US Unwired, Inc., Series B, 10.0%, 6/15/2012 

 

 

80,000 

 

81,800 

Virgin Media Finance PLC, 8.75%, 4/15/2014 

 

 

95,000 

 

89,300 

West Corp., 9.5%, 10/15/2014 

 

 

45,000 

 

40,500 

 

**10,512,733**

**Utilities 1.0%**

 
AES Corp.:

 
 

144A, 8.0%, 6/1/2020 

 

 

95,000 

 

91,675 

 

144A, 8.75%, 5/15/2013 

 

 

285,000 

 

295,687 

 

9.5%, 6/1/2009 

 

 

55,000 

 

56,513 

Allegheny Energy Supply Co., LLC, 144A, 8.25%, 4/15/2012 

 

 

381,000 

 

397,192 

Baltimore Gas & Electric Co., 6.125%, 7/1/2013 

 

 

6,335,000 

 

6,413,307 

CMS Energy Corp., 8.5%, 4/15/2011 

 

 

241,000 

 

251,586 

 

 

 

 

Edison Mission Energy, 7.0%, 5/15/2017 

 

 

60,000 

 

56,100 

Knight, Inc., 6.5%, 9/1/2012 

 

 

40,000 

 

39,000 

Mirant Americas Generation LLC, 8.3%, 5/1/2011 

 

 

30,000 

 

30,975 

Mirant North America LLC, 7.375%, 12/31/2013 

 

 

50,000 

 

49,563 

Northern States Power Co., 6.875%, 8/1/2009 

 

 

5,000,000 

 

5,140,875 

NRG Energy, Inc.:

 
 

7.25%, 2/1/2014 

 

 

115,000 

 

109,825 

 

7.375%, 2/1/2016 

 

 

90,000 

 

84,713 

Oncor Electric Delivery Co., 7.0%, 9/1/2022 

 

 

25,000 

 

24,378 

Orion Power Holdings, Inc., 12.0%, 5/1/2010 

 

 

180,000 

 

194,400 

Public Service Co. of Colorado, Series 14, 4.375%, 10/1/2008 

 

 

3,500,000 

 

3,505,631 

Regency Energy Partners LP, 8.375%, 12/15/2013 

 

 

65,000 

 

66,463 

Reliant Energy, Inc., 7.875%, 6/15/2017 

 

 

105,000 

 

102,638 

Sierra Pacific Resources:

 
 

6.75%, 8/15/2017 

 

 

95,000 

 

92,303 

 

8.625%, 3/15/2014 

 

 

33,000 

 

34,594 

 

**17,037,418**

**Total Corporate Bonds** (Cost $491,726,924)

 

**483,649,053**

 

**Asset Backed 14.5%**

 
**Automobile Receivables 6.0%**

 
Aesop Funding II LLC, "A2", Series 2003-4A, 144A, 2.86%, 8/20/2009 

 

 

1,033,333 

 

1,027,983 

AmeriCredit Automobile Receivables Trust, "A3", Series 2005-DA, 4.87%, 12/6/2010 

 

 

2,295,871 

 

2,286,888 

AmeriCredit Prime Automobile Receivables, "C", Series 2007-1, 5.43%, 2/10/2014 

 

 

2,680,000 

 

2,317,163 

Capital Auto Receivables Asset Trust:

 
 

"A3A", Series 2006-2, 4.98%, 5/15/2011 

 

 

9,189,663 

 

9,292,623 

 

"A3A", Series 2007-3, 5.02%, 9/15/2011 

 

 

4,838,000 

 

4,911,074 

 

"B", Series 2006-1, 5.26%, 10/15/2010 

 

 

4,078,000 

 

4,110,852 

CPS Auto Trust, "A4", Series 2007-B, 144A, 5.6%, 1/15/2014 

 

 

9,999,998 

 

9,921,531 

Ford Credit Auto Owner Trust:

 
 

"A4", Series 2006-A, 5.07%, 12/15/2010 

 

 

3,917,000 

 

3,973,961 

 

"A3A", Series 2007-B, 5.15%, 11/15/2011 

 

 

2,283,000 

 

2,321,758 

 

"B", Series 2007-A, 5.6%, 10/15/2012 

 

 

5,000,000 

 

4,654,337 

 

"B", Series 2007-B, 5.69%, 11/15/2012 

 

 

1,264,000 

 

1,210,631 

GS Auto Loan Trust, "C", Series 2006-1, 5.85%, 1/15/2014 

 

 

3,338,240 

 

3,304,138 

Hertz Vehicle Financing LLC, "A2", Series 2005-2A, 144A, 4.93%, 2/25/2010 

 

 

8,502,000 

 

8,460,157 

Hyundai Auto Receivables Trust, "D", Series 2004-A, 4.1%, 8/15/2011 

 

 

196,337 

 

196,199 

Nissan Auto Receivables Owner Trust:

 
 

"A3", Series 2008-B, 4.46%, 4/16/2012 

 

 

2,791,000 

 

2,802,050 

 

"A4", Series 2006-A, 4.77%, 7/15/2011 

 

 

4,564,000 

 

4,612,210 

Triad Automobile Receivables Owner Trust:

 
 

"A3", Series 2005-B, 4.28%, 6/14/2010 

 

 

1,153,096 

 

1,149,663 

 

"A4", Series 2006-A, 4.88%, 4/12/2013 

 

 

13,567,000 

 

13,005,100 

USAA Auto Owner Trust:

 
 

"A2", Series 2008-2, 3.91%, 1/15/2011 

 

 

5,000,000 

 

5,019,366 

 

"A3", Series 2007-2, 4.9%, 2/15/2012 

 

 

5,000,000 

 

5,065,584 

Volkswagen Auto Loan Enhanced Trust:

 
 

"A2", Series 2008-1, 3.71%, 4/20/2011 

 

 

7,500,000 

 

7,519,642 

 

"A3", Series 2005-1, 4.8%, 7/20/2009 

 

 

381,687 

 

382,266 

World Omni Auto Receivables Trust:

 
 

"A3", Series 2006-A, 5.01%, 10/15/2010 

 

 

2,390,358 

 

2,403,997 

 

"A3A", Series 2007-B, 5.28%, 1/17/2012 

 

 

3,488,000 

 

3,535,454 

 

**103,484,627**

**Credit Card Receivables 3.9%**

 
American Express Credit Account Master Trust:

 
 

 

 

 

 

"C", Series 2007-4, 144A, 2.731% **, 12/17/2012 

 

 

6,000,000 

 

5,728,915 

 

"C", Series 2007-6, 144A, 2.861% **, 1/15/2013 

 

 

6,000,000 

 

5,717,729 

Bank of America Credit Card Trust, "C2", Series 2007-C2, 2.741% **, 9/17/2012 

 

 

10,000,000 

 

9,574,521 

 

 

 

Capital One Multi-Asset Execution Trust:

 
 

"C5", Series 2003-C5, 3.621% **, 10/17/2011 

 

 

8,000,000 

 

7,962,686 

 

"B6", Series 2004-B6, 4.15%, 7/16/2012 

 

 

5,000,000 

 

4,943,380 

 

"A5", Series 2008-A5, 4.85%, 2/18/2014 

 

 

5,000,000 

 

5,022,014 

Chase Issuance Trust, "C4", Series 2006-C4, 2.761% **, 1/15/2014 

 

 

10,000,000 

 

9,099,630 

Citibank Credit Card Issuance Trust, "B1", Series 2005-B1, 4.4%, 9/15/2010 

 

 

7,000,000 

 

7,017,963 

First USA Credit Card Master Trust, "C", Series 1998-6, 144A, 6.16%, 4/18/2011 

 

 

1,000,000 

 

1,000,250 

Providian Master Note Trust, "B1", Series 2006-B1A, 144A, 5.35%, 3/15/2013 

 

 

5,000,000 

 

4,790,107 

Washington Mutual Master Note Trust, "C1", Series 2007-C1, 144A, 2.871% **, 5/15/2014 

 

 

7,550,000 

 

6,331,385 

 

**67,188,580**

**Home Equity Loans 1.7%**

 
Ameriquest Mortgage Securities, Inc., "A6", Series 2003-5, 4.541%, 4/25/2033 

 

 

1,657,164 

 

1,446,912 

C-Bass CBO Resecuritization, "D2", 7.25%, 6/1/2032 

 

 

1,460,068 

 

467,222 

Countrywide Asset-Backed Certificates, "1AF2", Series 2005-17, 5.363%, 5/25/2036 

 

 

5,435,000 

 

4,944,653 

Credit-Based Asset Servicing and Securitization, "AF2", Series 2006-CB2, 5.501%, 12/25/2036 

 

 

10,622,929 

 

10,310,910 

First Alliance Mortgage Loan Trust, "A1", Series 1999-4, 8.02%, 3/20/2031 

 

 

172,159 

 

137,598 

GMAC Mortgage Corp. Loan Trust:

 
 

"A5", Series 2003-HE2, 4.09%, 4/25/2033 

 

 

3,768,289 

 

2,807,126 

 

"A2", Series 2006-HE3, 5.75%, 10/25/2036 

 

 

3,500,000 

 

2,573,083 

IMC Home Equity Loan Trust, "A8", Series 1998-3, 6.34%, 8/20/2029 

 

 

237,201 

 

236,714 

Residential Asset Mortgage Products, Inc., "A5", Series 2003-RZ4, 4.66%, 2/25/2032 

 

 

2,163,935 

 

2,139,778 

Specialty Underwriting & Residential Finance, "A2B", Series 2006-BC2, 5.573%, 2/25/2037 

 

 

4,954,372 

 

4,560,683 

 

**29,624,679**

**Manufactured Housing Receivables 0.2%**

 
Green Tree Financial Corp.:

 
 

"A4", Series 1996-1, 6.5%, 3/15/2027 

 

 

73,938 

 

75,215 

 

"B2", Series 1996-5, 8.45%, 7/15/2027 * 

 

 

5,302,252 

 

0 

Lehman ABS Manufactured Housing Contracts, "A6", Series 2001-B, 6.467%, 8/15/2028 

 

 

2,159,849 

 

1,633,219 

Vanderbilt Mortgage Finance, "A4", Series 2000-D, 7.715%, 7/7/2027 

 

 

963,340 

 

968,139 

 

**2,676,573**

**Miscellaneous 2.7%**

 
Caterpillar Financial Asset Trust, "A2A", Series 2008-A, 4.09%, 12/27/2010 

 

 

4,500,000 

 

4,512,575 

CIT RV Trust, "A5", Series 1999-A, 6.24%, 8/15/2015 

 

 

1,774,683 

 

1,777,043 

Detroit Edison Securitization Funding LLC, "A4", Series 2001-1, 6.19%, 3/1/2013 

 

 

10,000,000 

 

10,334,356 

E-Trade RV and Marine Trust, "A3", Series 2004-1, 3.62%, 10/8/2018 

 

 

9,181,682 

 

9,004,756 

John Deere Owner Trust, "A2", Series 2008-A, 3.63%, 3/15/2011 

 

 

7,000,000 

 

7,001,809 

National Collegiate Student Loan Trust:

 
 

"AIO", Series 2006-2, Interest Only, 6.0%, 8/25/2011 

 

 

17,100,000 

 

2,672,456 

 

"AIO", Series 2006-3, Interest Only, 7.1%, 1/25/2012 

 

 

24,886,000 

 

4,851,028 

PECO Energy Transition Trust, "A7", Series 1999-A, 6.13%, 3/1/2009 

 

 

625,752 

 

628,908 

SLM Student Loan Trust, "A6", Series 2004-1, 144A, 3.46%, 7/25/2039 

 

 

5,500,000 

 

5,417,500 

SSB RV Trust, "A5", Series 2001-1, 6.3%, 4/15/2016 

 

 

1,274,824 

 

1,278,261 

 

**47,478,692**

**Total Asset Backed** (Cost $265,561,746)

 

**250,453,151**

 

**Mortgage-Backed Securities Pass-Throughs 2.0%**

 
Federal Home Loan Mortgage Corp.:

 
 

5.543% **, 1/1/2038 

 

 

7,760,249 

 

7,882,372 

 

5.6% **, 1/1/2038 

 

 

8,475,214 

 

8,617,945 

 

6.0%, 6/1/2016 

 

 

15,761,819 

 

16,208,361 

 

 

 

Government National Mortgage Association:

 
 

9.5%, with various maturities from 12/15/2016 until 7/15/2020 

 

 

2,179 

 

2,409 

 

11.5%, 4/15/2019 

 

 

692,338 

 

768,378 

**Total Mortgage-Backed Securities Pass-Throughs** (Cost $33,448,771)

 

**33,479,465**

 

**Commercial and Non-Agency Mortgage-Backed Securities 29.9%**

 
Banc of America Commercial Mortgage, Inc., "A2", Series 2005-3, 4.501%, 7/10/2043 

 

 

10,500,000 

 

10,387,802 

Banc of America Funding Corp., "1A11", Series 2007-2, 5.75%, 3/25/2037 

 

 

8,795,073 

 

8,713,468 

Banc of America Mortgage Securities:

 
 

"1A3", Series 2002-K, 3.5%, 10/20/2032 

 

 

253,670 

 

250,219 

 

"2A1", Series 2005-B, 4.378% **, 3/25/2035 

 

 

17,890,637 

 

17,423,780 

 

"A15", Series 2006-2, 6.0%, 7/25/2036 

 

 

6,791,397 

 

6,614,193 

 

"3A2", Series 2004-4, 6.5%, 5/25/2019 

 

 

6,372,907 

 

6,403,140

Bear Stearns Commercial Mortgage Securities, Inc.:

 
 

"X2", Series 2004-PWR5, Interest Only, 0.822% ***, 7/11/2042 

 

 

69,280,614 

 

1,630,852 

 

"X2", Series 2002-TOP8, 144A, Interest Only, 2.075% ***, 8/15/2038 

 

 

140,474,565 

 

5,680,187 

 

"A1", Series 2007-PW17, 5.282%, 6/11/2050 

 

 

4,636,887 

 

4,557,612 

 

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

 

 

37,858 

 

37,902 

 

"A1", Series 2000-WF1, 7.64%, 2/15/2032 

 

 

1,644 

 

1,646 

CDC Commercial Mortgage Trust, "XCP", Series 2002-FX1, 144A, Interest Only, 1.957% ***, 5/15/2035 

 

 

39,153,198 

 

748,789 

Citicorp Mortgage Securities, Inc., "A1", Series 2003-8, 5.5%, 8/25/2033 

 

 

9,941,469 

 

9,775,020 

Citigroup Commercial Mortgage Trust:

 
 

"XP", Series 2004-C2, 144A, Interest Only, 0.904% ***, 10/15/2041 

 

 

167,136,177 

 

4,062,930 

 

"A1", Series 2007-C6, 5.622%, 12/10/2049 

 

 

9,626,879 

 

9,545,791 

Citigroup Mortgage Loan Trust, Inc., "1A1A", Series 2007-AR5, 5.615% **, 4/25/2037 

 

 

10,386,392 

 

8,269,115 

Citigroup/Deutsche Bank Commercial Mortgage Trust, "A2B", Series 2007-CD4, 5.205%, 12/11/2049 

 

 

12,000,000 

 

11,673,932 

Countrywide Alternative Loan Trust:

 
 

"A3", Series 2006-J2, 6.0%, 4/25/2036 

 

 

8,635,605 

 

7,867,604 

 

"1A1", Series 2006-4CB, 6.0%, 4/25/2036 

 

 

7,253,875 

 

6,875,678 

 

"A7", Series 2006-9T1, 6.0%, 5/25/2036 

 

 

8,330,383 

 

7,050,935 

 

"1A4", Series 2006-43CB, 6.0%, 2/25/2037 

 

 

7,271,905 

 

6,991,287 

Countrywide Home Loans:

 
 

"A3", Series 2003-18, 5.25%, 7/25/2033 

 

 

13,851,278 

 

13,689,348 

 

"A35", Series 2005-24, 5.5%, 11/25/2035 

 

 

12,376,445 

 

12,303,511 

Credit Suisse Mortgage Capital Certificates, "A1", Series 2007-C4, 5.54%, 9/15/2039 

 

 

8,676,752 

 

8,644,734 

CS First Boston Mortgage Securities Corp.:

 
 

"2A1", Series 2004-AR8, 4.594% **, 9/25/2034 

 

 

7,587,104 

 

7,380,608 

 

"A4", Series 2001-CF2, 6.505%, 2/15/2034 

 

 

7,872,222 

 

8,066,777 

Deutsche Mortgage Securities, Inc., "1A1", Series 2005-WF1, 144A, 5.087% **, 6/26/2035 (b)

 

 

7,668,247 

 

7,624,142 

First Horizon Alternative Mortgage Securities:

 
 

“A5”, Series 2005-FA9, 5.5%, 12/25/2035 

 

 

12,677,697 

 

11,987,826 

 

“1A1”, Series 2007-FA2, 5.5%, 4/25/2037 

 

 

9,358,033 

 

9,039,743 

 

“1A7”, Series 2006-FA8, 6.0%, 2/25/2037 

 

 

7,300,000 

 

6,528,547 

 

“A7”, Series 2007-FA3, 6.0%, 6/25/2037 

 

 

10,075,378 

 

9,763,890 

First Horizon Mortgage Pass-Through Trust, “2A1”, Series 2005-AR4, 5.33% **, 10/25/2035 

 

 

6,769,296 

 

6,517,763 

GMAC Commercial Mortgage Securities, Inc., “A2”, Series 1998-C2, 6.42%, 5/15/2035 

 

 

400,425 

 

399,812 

Greenwich Capital Commercial Funding Corp.:

 
 

“XP”, Series 2005-GG3, 144A, Interest Only, 0.785% ***, 8/10/2042 

 

 

370,720,792 

 

6,483,795 

 

“A3”, Series 2004-GG1, 4.344%, 6/10/2036 

 

 

5,723,351 

 

5,714,803 

 

“A3”, Series 2005-GG3, 4.569%, 8/10/2042 

 

 

8,989,000 

 

8,721,487 

 

“A2”, Series 2005-GG5, 5.117%, 4/10/2037 

 

 

23,400,000 

 

23,351,948 

GS Mortgage Securities Corp. II, “A2”, Series 2006-GG8, 5.479%, 11/10/2039 

 

 

11,431,000 

 

11,335,614 

 

 

 

 

Heller Financial Commercial Mortgage Asset Corp., “A2”, Series 1999-PH1, 6.847%, 5/15/2031 

 

 

5,013,961 

 

5,040,354 

IndyMac INDX Mortgage Loan Trust, “4A1”, Series 2005-AR9, 5.201% **, 7/25/2035 

 

 

2,527,294 

 

2,375,755 

JPMorgan Chase Commercial Mortgage Securities Corp.:

 
 

“A1”, Series 2004-CB9, 3.475%, 6/12/2041 

 

 

3,351,268 

 

3,324,808 

 

“A1”, Series 2004-C2, 4.278%, 5/15/2041 

 

 

7,744,276 

 

7,724,465 

 

“A2”, Series 2005-LDP2, 4.575%, 7/15/2042 

 

 

11,400,000 

 

11,287,639 

 

“A2”, Series 2005-LDP3, 4.851%, 8/15/2042 

 

 

6,520,000 

 

6,473,701 

 

“A1”, Series 2007-C1, 4.98%, 2/15/2051 

 

 

9,427,001 

 

9,219,804 

 

“A2”, Series 2004-CB9, 5.108%, 6/12/2041 

 

 

8,000,000 

 

7,944,339 

 

“A2”, Series 2007-LD11, 5.804% **, 6/15/2049 

 

 

10,000,000 

 

9,908,738 

JPMorgan Mortgage Trust, “2A7”, Series 2004-S2, 5.25%, 11/25/2034 

 

 

4,275,142 

 

4,262,750 

LB-UBS Commercial Mortgage Trust:

 
 

“XCP”, Series 2003-C7, 144A, Interest Only, 0.295% ***, 7/15/2037 

 

 

146,459,092 

 

613,957 

 

“XCP”, Series 2006-C6, Interest Only, 0.644% ***, 9/15/2039 

 

 

198,952,646 

 

5,029,642 

 

“XCP”, Series 2004-C6, 144A, Interest Only, 0.658% ***, 8/15/2036 

 

 

84,695,968 

 

1,045,394 

 

“XCP”, Series 2004-C7, 144A, Interest Only, 0.736% ***, 10/15/2036 

 

 

243,001,335 

 

3,813,299 

 

“XCP”, Series 2004-C8, 144A, Interest Only, 0.784% ***, 12/15/2039 

 

 

316,927,521 

 

5,150,262 

 

“A2”, Series 2005-C1, 4.31%, 2/15/2030 

 

 

9,000,000 

 

8,911,199 

 

“A2”, Series 2005-C3, 4.553%, 7/15/2030 

 

 

12,000,000 

 

11,918,278 

 

“A3”, Series 2004-C4, 4.974% **, 6/15/2029 

 

 

10,000,000 

 

9,936,611 

Morgan Stanley Capital I:

 
 

“A2”, Series 2005-T17, 4.11%, 12/13/2041 

 

 

793,635 

 

791,453 

 

“A1”, Series 2004-T15, 4.13%, 6/13/2041 

 

 

3,348,744 

 

3,338,469 

 

“A1”, Series 2007-IQ16, 5.32%, 12/12/2049 

 

 

11,433,218 

 

11,232,936 

 

“A2”, Series 1999-WF1, 6.21%, 11/15/2031 

 

 

727,693 

 

727,403 

 

“A2”, Series 1998-HF2, 6.48%, 11/15/2030 

 

 

875,927 

 

874,584 

Morgan Stanley Dean Witter Capital I, “A3”, Series 2001-TOP5, 6.16%, 10/15/2035 

 

 

6,074,924 

 

6,135,489 

Paine Webber Mortgage Acceptance Corp., “1B2”, Series 1999-4, 144A, 6.292% **, 7/28/2024 

 

 

140,037 

 

86,814 

PHHMC Mortgage Pass-Through Certificates, “A2”, Series 2006-2, 6.161% **, 7/18/2036 

 

 

16,209,242 

 

16,022,338 

Prudential Home Mortgage Securities, “4B”, Series 1994-A, 144A, 6.73% **, 4/28/2024 

 

 

25,602 

 

23,867 

Residential Funding Mortgage Securities I:

 
 

“1A4”, Series 2004-S6, 5.5%, 6/25/2034 

 

 

5,647,108 

 

5,622,370 

 

“A5”, Series 2005-S9, 5.75%, 12/25/2035 

 

 

7,108,703 

 

7,066,274 

Residential Funding Mortgage Security I, “A11”, Series 2006-S5, 6.0%, 6/25/2036 

 

 

7,105,995 

 

7,132,656 

TIAA Seasoned Commercial Mortgage Trust, “A1”, Series 2007-C4, 5.691% **, 8/15/2039 

 

 

5,919,687 

 

5,923,237 

Wachovia Bank Commercial Mortgage Trust:

 
 

“XP”, Series 2005-C17, 144A, Interest Only, 0.253% ***, 3/15/2042 

 

 

663,698,669 

 

5,538,433 

 

“A2”, Series 2007-C32, 5.736% **, 6/15/2049 

 

 

10,000,000 

 

9,860,410 

Washington Mutual Mortgage Pass-Through Certificates, “A2”, Series 2005-11, 5.75%, 1/25/2036 

 

 

10,034,394 

 

9,684,403 

Wells Fargo Mortgage Backed Securities Trust:

 
 

“6A4”, Series 2005-AR16, 5.0% **, 10/25/2035 

 

 

10,268,127 

 

9,535,384 

 

“A2”, Series 2006-AR17, 5.833% **, 10/25/2036 

 

 

11,653,164 

 

11,260,895 

**Total Commercial and Non-Agency Mortgage-Backed Securities** (Cost $529,548,642)

 

**516,954,640**

 

**Collateralized Mortgage Obligations 5.8%**

 
Fannie Mae Grantor Trust:

 
 

“1A1”, Series 2004-T1, 6.0%, 1/25/2044 

 

 

6,167,698 

 

6,058,239 

 

“A1”, Series 2002-T4, 6.5%, 12/25/2041 

 

 

3,135,687 

 

3,259,885 

Fannie Mae Whole Loan: 

 

 

 

 

 

 

“3A”, Series 2004-W8, 7.5%, 6/25/2044 

 

 

1,709,994 

 

1,786,507 

 

“F”, Series 2003-W6, 2.833% **, 9/25/2042 

 

 

136,342 

 

126,182 

 

 

 

Federal Home Loan Mortgage Corp.:

 
 

“YA”, Series 3047, 5.0%, 11/15/2018 

 

 

8,661,839 

 

8,725,512 

 

“MH”, Series 2603, 5.0%, 6/15/2021 

 

 

8,720,077 

 

8,807,453 

 

“MA”, Series 2664, 5.0%, 4/15/2030 

 

 

14,922,113 

 

15,030,196 

 

“EB”, Series 3062, 5.5%, 9/15/2021 

 

 

5,938,328 

 

6,023,375 

 

“PE”, Series 2582, 5.5%, 12/15/2031 

 

 

18,000,000 

 

18,224,102 

 

“BT”, Series 2448, 6.0%, 5/15/2017 

 

 

6,715 

 

6,957 

Federal National Mortgage Association:

 
 

“TA”, Series 2007-77, 5.5%, 12/25/2029 

 

 

8,068,344 

 

8,219,385 

 

“AB”, Series 2006-3, 5.5%, 10/25/2032 

 

 

18,800,679 

 

18,972,562 

 

“PD”, Series G94-10, 6.5%, 9/17/2009 

 

 

216,641 

 

218,470 

 

“A1”, Series 2003-7, 6.5%, 12/25/2042 

 

 

3,724,180 

 

3,708,672 

**Total Collateralized Mortgage Obligations** (Cost $99,433,573)

 

**99,167,497**

 

**Senior Loans ** 3.2%**

 
Bausch & Lomb, Inc.:

 
 

Term Loan B, LIBOR plus 3.25%, 6.561%, 4/26/2015 

 

 

1,599,198 

 

1,569,317 

 

Term Delay Draw, LIBOR plus 3.25%, 6.561%, 4/26/2015 

 

 

400,802 

 

393,313 

Celanese (BCP Crystal Holding Ltd. 2), Term Loan, LIBOR plus 1.5%, 4.811%, 4/2/2014 

 

 

2,000,000 

 

1,900,840 

Cincinnati Bell, Inc., Term Loan B, LIBOR plus 1.5%, 4.811%, 8/31/2012 

 

 

4,991,667 

 

4,888,738 

Community Health Systems, Inc., Term Loan, LIBOR plus 2.25%, 5.561%, 7/16/2014 

 

 

3,805,380 

 

3,593,268 

Constellation Brands, Inc., Term Loan B, LIBOR plus 1.5%, 4.811%, 6/5/2013 

 

 

3,000,000 

 

2,911,695 

Georgia-Pacific Corp., Term Loan B, 1st Lien, LIBOR plus 1.75%, 5.061%, 12/23/2012 

 

 

4,000,000 

 

3,776,260 

Hanesbrands, Inc., Term Loan B, 1st Lien, LIBOR plus 1.75%, 5.061%, 9/5/2013 

 

 

4,500,000 

 

4,370,647 

HCA, Inc., Term Loan B, LIBOR plus 2.25%, 5.561%, 11/17/2013 

 

 

4,000,000 

 

3,763,180 

IASIS Health Care Corp.:

 
 

Letter of Credit, LIBOR plus 2.0%, 5.311%, 3/14/2014 

 

 

190,556 

 

180,254 

 

Term Delay Draw, LIBOR plus 2.0%, 5.311%, 3/14/2014 

 

 

714,583 

 

675,953 

 

Term Loan, LIBOR plus 2.0%, 5.311%, 3/15/2014 

 

 

2,070,434 

 

1,958,506 

Ineos Holdings Ltd.:

 
 

Term Loan B-2, LIBOR plus 2.25%, 5.561%, 12/16/2013 

 

 

500,000 

 

441,018 

 

Term Loan C-2, LIBOR plus 2.75%, 6.061%, 12/16/2014 

 

 

500,000 

 

447,188 

Jarden Corp.:

 
 

Term Loan B, LIBOR plus 1.75%, 5.061%, 1/24/2012 

 

 

1,426,576 

 

1,369,513 

 

Term Loan B-2, LIBOR plus 1.75%, 5.061%, 1/24/2012 

 

 

573,424 

 

549,053 

Lender Processing Services, Inc., Term Loan B, LIBOR plus 2.5%, 5.811%, 7/2/2014 

 

 

500,000 

 

498,750 

Mirant North America LLC, Term Loan B, LIBOR plus 1.75%, 5.061%, 1/6/2013 

 

 

4,000,000 

 

3,872,500 

Mylan, Inc., Term Loan B, LIBOR plus 3.25%, 6.561%, 10/2/2014 

 

 

2,000,000 

 

1,982,500 

Oshkosh Truck Corp., Term Loan B, LIBOR plus 1.75%, 5.061%, 12/6/2013 

 

 

3,972,437 

 

3,708,429 

Regal Cinemas Corp., Term Loan, LIBOR plus 1.5%, 4.811%, 10/27/2013 

 

 

2,000,000 

 

1,905,000 

Rockwood Specialties Group, Inc., Term Loan E, LIBOR plus 1.5%, 4.811%, 7/30/2012 

 

 

2,000,000 

 

1,937,500 

SunGard Data Systems, Inc., Term Loan, LIBOR plus 1.75%, 5.061%, 2/28/2014 

 

 

2,000,000 

 

1,897,260 

Telesat LLC:

 
 

Term Delay Draw, LIBOR plus 3.0%, 6.311%, 10/31/2014 

 

 

315,639 

 

305,072 

 

Term Loan, LIBOR plus 3.0%, 6.311%, 10/31/2014 

 

 

3,684,361 

 

3,561,008 

West Corp., Term Loan B2, LIBOR plus 2.375%, 5.686%, 10/24/2013 

 

 

4,000,000 

 

3,671,000 

**Total Senior Loans** (Cost $56,433,197)

 

**56,127,762**

 

**Preferred Securities 0.0%**

 
Citigroup, Inc., Series E, 8.4%, 4/30/2018 (c)

 

 

65,000 

 

61,790 

Xerox Capital Trust I, 8.0%, 2/1/2027 (c)

 

 

32,000 

 

31,234 

**Total Preferred Securities** (Cost $97,932)

 

**93,024**

 

 

 

 

 

**Government & Agency Obligations 9.3%**

 
**US Government Sponsored Agencies 8.6%**

 
Federal Home Loan Bank:

 
 

2.75%, 6/18/2010 

 

 

13,000,000 

 

12,881,765 

 
 

3.375%, 6/24/2011 

 

 

35,000,000 

 

34,785,625 

 
 

8.7% **, 5/1/2018 

 

 

10,000,000 

 

9,780,333 

 
Federal Home Loan Mortgage Corp., 2.875%, 6/28/2010 

 

 

25,000,000 

 

24,840,150 

 
Federal National Mortgage Association:

 
 

3.375%, 5/19/2011 

 

 

17,000,000 

 

16,916,156 

 
 

3.875%, 7/12/2013 

 

 

20,000,000 

 

19,704,968 

 
 

4.35%, 5/29/2013 

 

 

15,000,000 

 

15,032,835 

 
 

8.45% **, 2/27/2023 

 

 

14,000,000 

 

14,000,000 

 
 
 

**147,941,832**

 
**US Treasury Obligation 0.7%**

 
US Treasury Bill, 1.08% ****, 7/17/2008 (d) 

 

 

12,733,000 

 

**12,725,004**

 
 
**Total Government & Agency Obligations** (Cost $160,597,266)

 

**160,666,836**

 
 

**Municipal Bonds and Notes 1.3%**

 
Essex County, NJ, Improvement Authority Lease Revenue, County Correctional Facility Project, Prerefunded, 5.75%, 10/1/2030 (e)

 

 

8,000,000 

 

8,505,040 

 
Florida, State Department Environmental Protection Preservation Revenue, Florida Forever, Series C, 5.0%, 7/1/2013 (e)

 

 

6,095,000 

 

6,453,874 

 
South Carolina, Transportation Infrastructure Bank Revenue, Series A, Prerefunded, 5.1%, 10/1/2027 (e)

 

 

7,000,000 

 

7,435,260 

 
 
**Total Municipal Bonds and Notes** (Cost $22,846,261)

 

**22,394,174**

 
 

**Shares**

 

**Value ($)**

 
 
 

**Securities Lending Collateral 0.3%**

 
Daily Assets Fund Institutional, 2.74%  (f) (g)(Cost $5,150,000)

 

 

5,150,000

 

**5,150,000**

 
 

**Cash Equivalents 7.5%**

 
Cash Management QP Trust, 2.49%  (f)(Cost $129,548,681)

 

 

129,548,681

 

**129,548,681**

 
 

**% of****Net Assets**

 

**Value ($)**

 
 
**Total Investment Portfolio** (Cost $1,794,392,993) †

101.8

 

**1,757,684,283**

 
**Other Assets and Liabilities, Net**

(1.8)

 

**(31,723,369)**

 
 
**Net Assets**

100.0

 

**1,725,960,914**

 
*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.*

 
***

*Non-income producing security.  Issuer has defaulted on the payment of principal or interest or has filed for bankruptcy.  The following table represents bonds that are in default:*

 
 

***Security*****

***Coupon*****

***Maturity***

***Date*****

***Principal Amount ($)*****

***Acquisition***

***Cost ($)*****

***Value ($)*****

 
 

*Green Tree Financial Corp.,*

*“B2”, Series 1996-5***

*8.45%***

*7/15/2027***

*5,302,252***

*USD***

*5,817,407***

*0***

 
****

*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 June 30, 2008.*

*****

*These securities are shown at their current rate as of June 30, 2008.*

******

*Annualized yield at time of purchase; not a coupon rate.*

*†*

*The cost for federal income tax purposes was $1,795,904,338.  At June 30, 2008, net unrealized depreciation for all securities based on tax cost was $38,220,055.  This consisted of aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost of $3,650,688 and aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value of $41,870,743.*

 
 

 

 

 

 
*(a)*

*All or a portion of these securities were on loan.  The value of all securities loaned at June 30, 2008 amounted to $5,019,950 which is 0.3% of net assets.*

 
 
*(b)*

*Affiliated issuer.*

 
 
*(c)*

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

 
 
*(d)*

*At June 30, 2008, this security has been pledged, in whole or in part, to cover initial margin requirements for open futures contracts.*

 
 
*(e)*

*Bond is insured by one of these companies:*

 
 
 

***Insurance Coverage*****

***As a % of Total***

***Investment Portfolio*****

 
 
 
 

*Ambac Financial Group, Inc.***

*0.8***

 
 
 
 

*Financial Guaranty Insurance Co.***

*0.5***

 
 
 
*(f)*

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

 
 
*(g)*

*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.*

 
 
*Interest Only: Interest Only (IO) bonds represent the "interest only" portion of payments on a pool of underlying mortgages or mortgage-backed securities. IO securities are subject to prepayment risk of the pool of underlying mortgages.*

 
 
*LIBOR: Represents the London InterBank Offered Rate.*

 
 
*PIK: Denotes that all or a portion of the income is paid in kind.*

 
 
*Prerefunded: Bonds which are prerefunded are collateralized by US Treasury securities which are held in escrow and used to pay principal and interest on tax-exempt issues and to retire the bonds in full at the earliest refunding date.*

 
 
*REIT: Real Estate Investment Trust*

 
 
*At June 30, 2008, the Fund had an unfunded loan commitments of $184,646, which could be extended at the option of the borrower, pursuant to the following loan agreement:*

 
***Borrower*****

***Unfunded Loan Commitment ($)*****

 
***Value ($)*****

***Unrealized Depreciation ($)*****

 
*Community Health Systems, Inc., Term Delay Draw, 1/16/2009***

*184,646***

*183,772***

***(874)*****

 
 
 

*At June 30, 2008, open futures contracts purchased were as follows:*

 
 
 
**Futures**

 

**Expiration****Date**

 

**Contracts**

 

**Aggregated****Face****Value ($)**

 

**Value ($)**

 

**Unrealized****Appreciation/****(Depreciation) ($)**

 
 
 
10 Year Australian Treasury Bond 

 

9/15/2008 

 

9 

 

816,602 

 

834,495 

 

17,893

 
 
 
10 Year Canadian Government Bond 

 

9/19/2008 

 

434 

 

50,294,893 

 

49,997,038 

 

(297,855)

 
 
 
10 Year US Treasury Note 

 

9/19/2008 

 

1,507 

 

171,754,938 

 

171,680,273 

 

(74,665)

 
 
 
United Kingdom Treasury Bond 

 

9/26/2008 

 

429 

 

90,647,776 

 

89,201,607 

 

(1,446,169)

 
 
 
**Total net unrealized depreciation**

 

**(1,800,796)**

 
 
 
 

 

 

*At June 30, 2008, open futures contracts sold were as follows:*

 

**Futures**

 

 

**Expiration****Date**

 

**Contracts**

 

**Aggregated****Face****Value ($)**

 

**Value ($)**

 

**Unrealized****Appreciation/****(Depreciation) ($)**

10 Year Federal Republic of Germany Bond 

 

9/8/2008 

 

974 

 

170,868,635 

 

169,560,791 

 

1,307,844

10 Year Japanese Government Bond 

 

9/10/2008 

 

93 

 

117,666,208 

 

118,631,163 

 

(964,955)

5 Year Swap Future 

 

9/15/2008 

 

200 

 

21,577,565 

 

21,462,500 

 

115,065

5 Year US Treasury Note 

 

9/30/2008 

 

1,297 

 

142,714,884 

 

143,389,433 

 

(674,549)

**Total net unrealized depreciation**

 

 

 

 

 

 

 

**(216,595)**

 

*At June 30, 2008, open credit default swaps contracts purchased were as follows:*

 

**Effective/****Expiration****Dates**

 

**Notional****Amount ($)**

 

**Cash Flows Paid  by the Fund**

 

**Underlying Debt Obligation**

 

**Unrealized Appreciation/****(Depreciation) ($)**

 
5/6/20086/20/2013

 

 

40,0001

 

Fixed — 7.25%

 

ARCO Chemical Co.,

9.8%, 2/1/2020

 

 

1,916

 
4/9/20086/20/2013

 

 

5,000,0002

 

Fixed — 1.42%

 

CBS Corp.,   

7.625%, 1/15/2016

 

 

(2,467)

 
 
**Total net unrealized depreciation**

**(551)**

 
 
*Counterparties:*

 
*1*

*Merrill Lynch, Pierce, Fenner & Smith, Inc.*

 
*2*

*Barclays*

 
*At June 30, 2008, the Portfolio had the following open  forward foreign currency exchange contracts:*

 
***Contracts to Deliver*****

***In Exchange For*****

***Settlement Date*****

***Unrealized***

***Appreciation ($)*****

 
 
*CAD***

*1,010,000***

*USD***

*992,980***

*9/17/2008***

*3,490***

 
 
*USD***

*65,386,196***

*EUR***

*42,409,000***

*9/17/2008***

*1,118,642***

 
 
*USD***

*17,603,079***

*JPY***

*1,878,495,000***

*9/17/2008***

*163,316***

 
 
*USD***

*99,691,254***

*NOK***

*519,531,000***

*9/17/2008***

*1,515,459***

 
 
*USD***

*122,911,552***

*SGD***

*167,974,000***

*9/17/2008***

*1,001,490***

 
 
***Total unrealized appreciation*****

 **

 **

***3,802,397*****

 
 
 

 

 

 

 

 

 
 
***Contracts to Deliver*****

***In Exchange For*****

***Settlement Date*****

***Unrealized Depreciation ( $)*****

 
 
*AUD***

*48,688,000***

*USD***

*45,513,056***

*9/17/2008***

*(684,868)***

 
 
*CHF***

*52,216,000***

*USD***

*50,267,143***

*9/17/2008***

*(882,707)***

 
 
*GBP***

*13,717,000***

*USD***

*26,686,424***

*9/17/2008***

*(472,585)***

 
 
*SEK***

*87,494,000***

*USD***

*14,428,430***

*9/17/2008***

*(37,027)***

 
 
***Total unrealized depreciation*****

 **

 **

***(2,077,187)*****

 
 

***Currency Abbreviations*****

 

 

*AUD***

*Australian Dollar***

*JPY***

*Japanese Yen***

*CAD***

*Canadian Dollar***

*NOK***

*Norwegian Krone***

*CHF***

*Swiss Franc***

*SEK***

*Swedish Krona***

*EUR***

*Euro***

*SGD***

*Singapore Dollar***

*GBP***

*British Pound***

*USD***

*United States Dollar***

 

 

 

*Included in the portfolio are investments in mortgage or asset-backed securities which are interest 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 Government National Mortgage Association issues which have similar coupon rates have been aggregated for presentation purposes in this investment portfolio.*

 

 

**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 Short Duration Plus Fund, a series of DWS Advisor Funds

 

By:

/s/Michael G. Clark

 

Michael G. Clark

President

 

Date:

August 20, 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 Short Duration Plus Fund, a series of DWS Advisor Funds

 

By:

/s/Michael G. Clark

 

Michael G. Clark

President

 

Date:

August 20, 2008

 

 

By:

/s/Paul Schubert

 

Paul Schubert

Chief Financial Officer and Treasurer

 

Date:                                        August 20, 2008

 

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