Western Asset US Money Market Fund - Legg Mason

Western Asset U.S. Money Market Fund 

Western Asset U.S. Core Bond Fund 

Western Asset Euro Core Bond Fund 

Western Asset Diversified Strategic Income Bond Fund 

Western Asset Global Multi Strategy Fund 

Western Asset U.S. High Yield Bond Fund 

Western Asset Emerging Markets Bond Fund 

Western Asset Global High Yield Bond Fund 

Western Asset U.S. Short-Term Government Income Fund 

Western Asset U.S. Adjustable Rate Income Fund 

Western Asset Investment Grade Total Return Bond Fund 

Western Asset Inflation Management Fund 

Brandywine Global Opportunities Bond Fund 

Brandywine Global Equity Fund 

Legg Mason Value Fund 

Legg Mason Growth Fund 

ClearBridge U.S. Appreciation Fund 

ClearBridge U.S. Fundamental Value Fund 

ClearBridge U.S. Large Cap Growth Fund 

ClearBridge U.S. Aggressive Growth Fund 

Batterymarch European Equity Fund 

Batterymarch Pacific Equity Fund 

Batterymarch International Large Cap Fund 

Royce U.S. Small Cap Opportunity Fund (formerly Royce U.S. Small Cap Fund) 

Royce 100 Equity Fund 

Legg Mason Global Funds Plc 

An Umbrella Fund with Segregated Liability between Sub-Funds 

Condensed 

Semi-Annual Report (Unaudited) 

For the six months ended August 31, 2007

Legg Mason Global Funds Plc Condensed Semi-Annual Report August 31, 2007 

Table of Contents 

General Information 2 

Letter to Shareholders 6 

Portfolio of Investments – Western Asset U.S. Money Market Fund 8 

Portfolio of Investments – Western Asset U.S. Core Bond Fund 11 

Portfolio of Investments – Western Asset Euro Core Bond Fund 19 

Portfolio of Investments – Western Asset Diversified Strategic Income Bond Fund 23 

Portfolio of Investments – Western Asset Global Multi Strategy Fund 33 

Portfolio of Investments – Western Asset U.S. High Yield Bond Fund 45 

Portfolio of Investments – Western Asset Emerging Markets Bond Fund 52 

Portfolio of Investments – Western Asset Global High Yield Bond Fund 55 

Portfolio of Investments – Western Asset U.S. Short-Term Government Income Fund 63 

Portfolio of Investments – Western Asset U.S. Adjustable Rate Income Fund 65 

Portfolio of Investments – Western Asset Investment Grade Total Return Bond Fund 69 

Portfolio of Investments – Western Asset Inflation Management Fund 73 

Portfolio of Investments – Brandywine Global Opportunities Bond Fund 75 

Portfolio of Investments – Brandywine Global Equity Fund 77 

Portfolio of Investments – Legg Mason Value Fund 79 

Portfolio of Investments – Legg Mason Growth Fund 80 

Portfolio of Investments – ClearBridge U.S. Appreciation Fund 81 

Portfolio of Investments – ClearBridge U.S. Fundamental Value Fund 83 

Portfolio of Investments – ClearBridge U.S. Large Cap Growth Fund 85 

Portfolio of Investments – ClearBridge U.S. Aggressive Growth Fund 86 

Portfolio of Investments – Batterymarch European Equity Fund 88 

Portfolio of Investments – Batterymarch Pacific Equity Fund 91 

Portfolio of Investments – Batterymarch International Large Cap Fund 93 

Portfolio of Investments – Royce U.S. Small Cap Opportunity Fund 96 

Portfolio of Investments – Royce 100 Equity Fund 101 

Balance Sheet – Legg Mason Global Funds Plc 104 

Profit and Loss Account – Legg Mason Global Funds Plc 114 

Statement of Changes in Net Assets Attributable to Holders of Redeemable Participating Shares – Legg Mason Global Funds Plc 122 

Notes to Financial Statements – Legg Mason Global Funds Plc 140 

Financial Information – Total Expense Ratios (TER) – Legg Mason Global Funds Plc 164 

Financial Information – Portfolio Turnover Rates (PTR) – Legg Mason Global Funds Plc 168 

Statement of Major Portfolio Changes – Western Asset U.S. Money Market Fund 169 

Statement of Major Portfolio Changes – Western Asset U.S. Core Bond Fund 169 

Statement of Major Portfolio Changes – Western Asset Euro Core Bond Fund 170 

Statement of Major Portfolio Changes – Western Asset Diversified Strategic Income Bond Fund 170 

Statement of Major Portfolio Changes – Western Asset Global Multi Strategy Fund 171 

Statement of Major Portfolio Changes – Western Asset U.S. High Yield Bond Fund 171 

Statement of Major Portfolio Changes – Western Asset Emerging Markets Bond Fund 172 

Statement of Major Portfolio Changes – Western Asset Global High Yield Bond Fund 172 

Statement of Major Portfolio Changes – Western Asset U.S. Short-Term Government Income Fund 173 

Statement of Major Portfolio Changes – Western Asset U.S. Adjustable Rate Income Fund 174 

Statement of Major Portfolio Changes – Western Asset Investment Grade Total Return Bond Fund 174 

Statement of Major Portfolio Changes – Western Asset Inflation Management Fund 175 

Statement of Major Portfolio Changes – Brandywine Global Opportunities Bond Fund 175 

Statement of Major Portfolio Changes – Brandywine Global Equity Fund 175 

Statement of Major Portfolio Changes – Legg Mason Value Fund 176 

Statement of Major Portfolio Changes – Legg Mason Growth Fund 177 

Statement of Major Portfolio Changes – ClearBridge U.S. Appreciation Fund 177 

Statement of Major Portfolio Changes – ClearBridge U.S. Fundamental Value Fund 178 

Statement of Major Portfolio Changes – ClearBridge U.S. Large Cap Growth Fund 179 

Statement of Major Portfolio Changes – ClearBridge U.S. Aggressive Growth Fund 179 

Statement of Major Portfolio Changes – Batterymarch European Equity Fund 180 

Statement of Major Portfolio Changes – Batterymarch Pacific Equity Fund 180 

Statement of Major Portfolio Changes – Batterymarch International Large Cap Fund 181 

Statement of Major Portfolio Changes – Royce U.S. Small Cap Opportunity Fund 182 

Statement of Major Portfolio Changes – Royce 100 Equity Fund 182 

1


General Information 

Board of Directors 

John Alldis (Luxembourg) 

Frank Ennis * 

Joseph Keane * 

Joseph LaRocque (U.S.) 

Former Directors 

Deepak Chowdhury (U.S.) 

(Resigned April 4, 2007) 

* Independent non-executive Irish Resident Directors 

Registered Office 

Riverside Two 

Sir John Rogerson’s Quay 

Grand Canal Dock 

Dublin 2, Ireland 

Distributors and Shareholder Servicing Agents 

Legg Mason Investor Services, LLC 

100 Light Street 

Baltimore, MD 21203 

U.S.A. 

Legg Mason Investments (Europe) Limited 

75 King William Street 

London EC4N 7BE 

United Kingdom 

Legg Mason Asset Management Hong Kong Limited 

12/F., York House 

The Landmark 

15 Queen’s Road, Central 

Hong Kong 

Legg Mason International Equities (Singapore) Pte Limited 

1 George Street, #23-02 

Singapore 049145 

Legg Mason Investments (Taiwan) Limited 

55 Floor-1, Taipei 101 Tower 

Xin Yi Road 

Section 5, Taipei, 110 

Taiwan 

Distributor Status (relevant to U.K. Shareholders only) 

It is intended that the Company will pursue a distribution policy so that certification as a distributing share class is obtained for certain Share Classes 

of certain of the Funds in respect of the twelve-month period ended February 28, 2008 and subsequent periods. There is no guarantee, however, 

that certification will be obtained or that, once obtained, certification will continue to be available or obtained for future accounting periods. For the 

period from March 1, 2005 to February 28, 2006 certification was obtained for the following Share Classes: 

Sub-Fund 




Western Asset Diversified Strategic 

Income Bond Fund 









Royce U.S. Small Cap Opportunity Fund** 


Share Class 

Class A US$ Distributing, Class B US$ Distributing, Class C US$ Distributing 


Class A US$ Distributing, Class A Euro Distributing, Class B US$ Distributing, 

Class C US$ Distributing 






Class A US$ Distributing, Class B US$ Distributing, Class C US$ Distributing, 

Galleon Share Class. 


Class A US$ Distributing, Class A Euro Distributing, Class B US$ Distributing, 





The Company has applied for certification of each of the foregoing Share Classes, for the period from March 1, 2006 to February 28, 2007 

as distributing share classes. There is no guarantee that certification will be obtained. 

2


General Information - (continued) 

Swiss Representative and Paying Agent: 

BBG, Banque Genevoise de Gestion, Rue Rodolphe-Toepffer 15, 

1200 Geneva, Switzerland. 

BGG, Banque Genevoise de Gestion is acting as the Company’s 

Swiss representative and paying agent for shares distributed in or 

from Switzerland. 

The Prospectus, the Simplified Prospectus, the Memorandum and 

the Articles of Association of the Company, the annual and semiannual 

reports and the breakdown of the purchase and sale 

transaction of the Funds, may be obtained free of charge at the 

office of the Swiss representative. 

Irish Legal Adviser 

Arthur Cox 

Earlsfort Centre 

Earlsfort Terrace 


Custodian 

PFPC Bank Limited†† 

Riverside Two 




Independent Auditors 

PricewaterhouseCoopers 

Chartered Accountants & 

Registered Auditors 

One Spencer Dock 

North Wall Quay 


Administrator 

PFPC International Limited 

Riverside Two 




Sponsoring Broker 

Davy Stockbrokers Limited 

Davy House 

49 Dawson Street 


Investment Manager: 


75 King William Street 

London EC4N 7BE 


Western Asset U.S. Money 

Market Fund 





Western Asset Global Multi 

Strategy Fund 

Western Asset U.S. High Yield 

Bond Fund 

Western Asset Emerging Markets 


Western Asset Global High Yield 


Western Asset U.S. Short-Term 

Government Income Fund 

Western Asset U.S. Adjustable Rate 

Income Fund 

Western Asset Investment Grade 

Total Return Bond Fund 

Western Asset Inflation 

Management Fund 

Brandywine Global Opportunities 





ClearBridge U.S. Fundamental 

Value Fund 

ClearBridge U.S. Large Cap 

Growth Fund 

ClearBridge U.S. Aggressive 




Batterymarch International 

Large Cap Fund 

Royce U.S. Small Cap Opportunity 

Fund** 


Batterymarch Emerging Markets 

Equity Fund † 

Batterymarch U.S. Large Cap Fund † 

Investment Manager: Legg Mason Value Fund 

Legg Mason Capital Management, Inc. 



U.S.A. 

3



Sub-Investment Manager: Western Asset U.S. Money 



Western Asset Euro Core 




Western Asset Global Multi 
















Western Asset Management Company Limited 

10 Exchange Square 

Primrose Street 

London EC2A 2EN 


Sub-Investment Manager: Western Asset U.S. Money 



Western Asset Euro Core 




Western Asset Global Multi- 
















Western Asset Management Company 

385 East Colorado Boulevard 

Pasadena, CA 91101 

U.S.A. 

Sub-Investment Manager: Royce U.S. Small Cap Opportunity 

Fund** 


Royce & Associates, LLC 

1414 Avenue of the Americas 

New York, NY 10019 

U.S.A. 

Sub-Investment Manager: Brandywine Global Opportunities 



Brandywine Global Investment Management, LLC 

2929 Arch Street 

Suite 800 

Philadelphia, PA 19104 

U.S.A. 

Sub-Investment Manager: Batterymarch European 

Equity Fund 


Batterymarch International Large 

Cap Fund 

Batterymarch Emerging Markets 

Equity Fund † 

Batterymarch U.S. Large Cap Fund † 

Batterymarch Financial Management, Inc. 

200 Clarendon Street 

Boston, MA 02116 

U.S.A. 

Sub-Investment Manager: Legg Mason Growth Fund 

Legg Mason Capital Management, Inc. 



U.S.A. 

Sub-Investment Manager: ClearBridge U.S. Appreciation Fund 

ClearBridge U.S. Fundamental 

Value Fund 

ClearBridge U.S. Large Cap 


ClearBridge U.S. Aggressive 


ClearBridge Advisors, LLC 

620 8th Ave., 47th Floor 

New York, NY 10018 

U.S.A. 

4



Fund Launch Dates 

Western Asset U.S. Money Market Fund: February 27, 2004 

Western Asset U.S. Core Bond Fund: September 3, 2002 

Western Asset Euro Core Bond Fund: October 1, 2003 

Western Asset Diversified Strategic Income Bond Fund: 

February 24, 2004 

Western Asset Global Multi Strategy Fund: September 3, 2002 

Western Asset U.S. High Yield Bond Fund: February 27, 2004 

Western Asset Emerging Market Bond Fund: February 24, 2004 

Western Asset Global High Yield Bond Fund: April 23, 2007 

Western Asset U.S. Short-Term Government Income Fund: 

April 23, 2007 

Western Asset U.S. Adjustable Rate Income Fund: April 23, 2007 

Western Asset Investment Grade Total Return Bond Fund: 

April 23, 2007 

Western Asset Inflation Management Fund: April 23, 2007 

Brandywine Global Opportunities Bond Fund: October 1, 2003 

Brandywine Global Equity Fund: September 1, 2006 

Legg Mason Value Fund: March 23, 1998 

Legg Mason Growth Fund: February 25, 2004 

ClearBridge U.S. Appreciation Fund: April 23, 2007 

ClearBridge U.S. Fundamental Value Fund: April 23, 2007 

ClearBridge U.S. Large Cap Growth Fund: April 23, 2007 

ClearBridge U.S. Aggressive Growth Fund: April 23, 2007 

Batterymarch European Equity Fund: September 3, 2002 

Batterymarch Pacific Equity Fund: February 25, 2004 

Batterymarch International Large Cap Fund: April 23, 2007 

Royce U.S. Small Cap Opportunity Fund**: November 6, 2002 

Royce 100 Equity Fund: March 1, 2004 

† As at August 31, 2007, these Funds have not commenced 

trading. 

†† Effective May 4, 2007, PFPC Trustee & Custodial Limited 

changed its name to PFPC Bank Limited. 

** Effective October 5, 2007, the Royce U.S. Small Cap Fund 

changed its name to the Royce U.S. Small Cap Opportunity Fund. 

For More Information 

For further information on the range of sub-funds (the “Funds”) within Legg Mason Global Funds Plc, contact: 

For professional investors in the U.K. and Europe 

For authorised dealers in the Americas 


Legg Mason Investments 

75 King William Street 1395 Brickell Avenue 

London EC4N 7BE, Suite 1550 


Miami, FL 33131, U.S.A. 

Tel: + 44 (0) 207 070 7444 Tel: + 305 529 4400 

www.leggmason.co.uk 

www.leggmasonamericas.com 

Go to the relevant website for information on: 

• Daily prices 

• Literature, including fact sheets providing the latest information on each Fund 

• More information about Legg Mason’s asset management affiliates managing the Funds 

5


Letter to Shareholders 

Dear Shareholder, 

We are delighted to provide you with the semi-annual report 

(unaudited) for Legg Mason Global Funds Plc for the six months 

ending August 31, 2007. In this report we highlight the key drivers 

behind the performance of bond and equity markets over the period. 

Fixed Income Markets 

In the first four months of the period under review, the prospect of 

further interest rate rises in most regions outside of the U.S. was a key 

driver behind generally poor performance in global bond markets. In 

the latter two months, however, financial markets were gripped by 

fear that mounting problems in the U.S. subprime mortgages market 

might be a greater drag on the economy than previously expected. 

(Subprime mortgages are those granted to people in the U.S. with 

poor credit histories.) News that several non-U.S. financial institutions 

had exposures to the subprime market added an international 

dimension to the situation. In turn, conditions tightened in interbank 

lending markets, and with the prospect of a wider credit crunch 

looming, the U.S. Federal Reserve Board (“Fed") cut the discount 

interest rate (the rate at which it lends to banks) by 0.5% in August. 

Elsewhere, the European Central Bank (“ECB”) intervened in Eurozone 

money markets with liquidity injections in order to maintain stability. 

Against this backdrop, equity markets experienced high volatility 

during July and August as investors mulled the potential impact that 

deteriorating credit markets could have on economic growth. The 

performance of bond markets, on the other hand, picked up as 

investors reduced their risk appetites. In addition, in the U.S., markets 

priced in an interest rate cut, while expectations grew that both the 

ECB and the Bank of England (“BofE”) would pause in their rate 

tightening campaigns. (In the event, the ECB and the BofE both left 

rates unchanged at their respective meetings in the first week of 

September, with officials citing the turmoil in financial markets as a 

key factor behind their decisions. The ECB in particular had previously 

been expected to raise rates by a further 0.25% at its meeting). 

Earlier in the period under review, however, the ECB raised rates in 

March and June, each time by 0.25%, taking them up to 4.0%. 

Firmer growth and inflation data lay behind the moves. The BofE also 

raised rates as UK inflation hovered around the central bank’s 

maximum target of 3%. UK interest rates stood at 5.75% at the end 

of the period, having been raised in May and July, each time by 

0.25%. In the U.S., meanwhile, interest rates remained unchanged at 

5.25%, but by the end of the period markets priced in rate cuts by 

the Fed as the housing market downturn and tighter credit conditions 

looked increasingly likely to impact the growth outlook. In Japan, the 

central bank also left rates unchanged over the period. 

In the major bond markets, yields generally peaked in mid-June 

after trading upwards from the start of the period under review. (A 

bond yield measures the income paid by a bond – i.e. its coupon – 

divided by its market price. Please note: bond yields move inversely 

to prices.) The yield on two-year U.S. Treasuries began at 4.63% 

before peaking at 5.08% on June 14, for example, and then falling 

to 4.16% at the end of August. Yields on two-year UK government 

bonds began at 5.30% before peaking at 5.81% and then falling 

to 5.34%, while yields on two-year German government bonds 

peaked at 4.54%, up from 3.88% at the start of the period. The 

yield on two-year German government bonds fell to 4.01% by the 

end of August. 

UK Equity Markets 

The UK equity market performed well during the first four months of 

the period under review, before becoming caught up in the global 

sell-off in equity markets in July and August. In the latter month in 

particular, markets took fright that ongoing problems in the U.S. 

housing industry were not only harming the US economy more than 

had been expected, but they were also having an international impact 

as some non-U.S. financial institutions revealed their own exposures to 

the U.S. subprime mortgages market. In turn, concerns heightened 

that a wider ‘credit crunch’ may develop with generally tighter lending 

standards that could curb economic growth. These concerns remained 

a focal point for financial markets as the period under review ended. 

As the period got underway, however, the UK equity market was in a 

far more upbeat mood. Economic growth prospects in the country 

remained broadly healthy, with BofE continuing to feel the need to 

raise interest rates in order to counter inflationary pressures. Having 

raised rates three times between August 2006 and January 2007, 

each time by 0.25%, the BofE increased them again in May and July, 

also via 0.25% increments. The July move brought UK interest rates 

up to 5.75%. By the end of the period, some signs of a slowdown in 

housing and consumer demand became apparent as the effects of 

these interest rate rises filtered through the economy. 

In addition to a generally strong economy, continued strength in 

corporate earnings results and high levels of merger and acquisition 

(“M&A”) activity were important drivers behind the equity market’s 

performance during the early months of the period under review. As 

happened in 2006, private equity financing was again a common 

feature of M&A deals. Sainsbury’s and Alliance Boots, both large-cap 

consumer discretionary stocks, were examples of strong performers 

because of bid activity in the period under review. Later in the 

period, however, higher interest rates began to negatively impact 

the financials sector, with banks and real estate companies being 

particularly weak over the summer. High street banks with their big 

exposures to retail banking businesses fared the worst. 

Looking ahead, we believe that while the UK economy remains in 

healthy shape, which should help to underpin UK equities, investors 

will continue to focus on the effects of higher interest rates and the 

problems that have developed in credit markets. The potential impact 

of these concerns will becomes clearer in the coming months. 

European Equity Markets 

Against a background of continued economic growth in the region, 

the period under review began with the ECB increasing interest rates 

by 0.25% to 3.75% in March. The move marked the seventh increase 

of that size since March 2005 and it was followed by another 0.25% 

rate hike in June. Also as the period got underway, the trend of deequitisation, 

in which more equity is retired through share buy-backs 

and cash acquisitions, continued to be a key theme in the region’s 

stock markets. Supporting the acquisitions trend was the further influx 

of private equity finance, coinciding with strong M&A activity. In 

addition, European equity valuations were supported by buoyant 

earnings and capital expenditure. 

These factors helped European equity markets to perform strongly 

in the first four months of the period, although they were then 

caught up in the global sell-off in July and August sparked by fears 

that the collapse of the subprime mortgages market in the US 

might have an international knock-on effect. These fears gathered 

momentum as it emerged that some non-US financial institutions 

had exposures to the US subprime market, leading to concerns that 

a wider ‘credit crunch’ may develop with generally tighter lending 

standards that could negatively impact economic activity. These 

concerns remained a focal point for financial markets as the period 

under review ended. 

Despite these concerns, European companies benefited from strong 

regional and global growth. In European equity markets, the 

materials sector performed well as it benefited from this healthy 

global economic growth, while the energy sector was helped by a 

rebound in the oil price. Sentiment towards banks, however, was 

dampened down by rising interest rates. 

6


Letter to Shareholders - (continued) 

Looking ahead, while markets had been expecting further interest 

rate rises by the ECB against the backdrop of continued healthy 

economic growth, their expectations on the timing of these were 

put back as turmoil in credit markets gathered momentum in 

August. (A rise of 0.25% had been widely anticipated at the ECB’s 

meeting in the first week of September, for example, but in the 

event rates were left unchanged). Markets now expect the ECB to 

wait to see what the impact of tighter credit has on economic 

activity before deciding on further rate rises. 

US Equity Markets 

The U.S. equity market enjoyed a strong start to the period under 

review with the S&P 500 index rising 5.6% in U.S. dollar terms during 

March and April. The main driver of these gains, following a China-led 

sell off that hit the market in late February, were better-than-expected 

first-quarter earnings reports. Companies from a wide range of 

industries beat expectations, such as Microsoft, drug makers Merck 

and Pfizer, and aluminium company Alcoa. While earnings releases 

supported the market, the consensus view remained that economic 

growth would slow in 2007. 

June saw expectations of a Fed easing of interest rates diminish, 

culminating in a surge in bond yields and an increase in volatility in 

equity markets. Starting in late July and moving into August, U.S. 

and global markets were hit with a sharp sell-off, with the S&P 500 

Index having its worst weekly fall in nearly five years. Concerns in 

global credit markets gathered momentum over the prospect that 

some non-U.S. financial institutions might have exposures to the 

troubled U.S. subprime mortgage lending sector. During the period 

under review, the downturn in the US housing market, and the 

mounting problems of the subprime mortgage lending market, 

remained headline news. 

As the end of the period approached, evidence continued to emerge 

that subprime mortgage market contagion might pose a serious threat 

to the broader economy (as well as the global economy). Concerned 

that a wider credit crunch might develop, global central banks 

pumped liquidity into financial markets, but it wasn’t until the Fed cut 

the discount interest rate (the rate at which the Fed lends to banks) by 

50 basis points that global markets began to stabilise. Despite the 

volatility, the S&P 500 Index gained 5.70% in US dollar terms for the 

six month period ended 31 August 2007. 

Looking forward, we continue to think that the outlook for the U.S. 

equity market remains largely constructive. Earnings growth is 

definitely slowing, but remains healthy, and most companies continue 

to beat expectations. We think GDP growth is slowing but should 

remain sufficiently healthy to support moderate corporate earnings 

growth. As regards the Fed, the market is now pricing in possible rate 

cuts in the coming months. On the valuations front, our work 

indicates that the S&P 500 Index is worth about 16 times earnings. 

This suggests to us that the market is modestly undervalued on this 

year’s estimates. Since the market generally looks ahead, we think 

2008 estimates will be the more relevant figures to consider later this 

year. So, we continue to believing that despite the recent market 

trauma, the weight of the evidence still suggests that a constructive 

attitude toward the market is warranted. 

Japanese Equity Markets 

Japan had a shaky start to the period, along with most other global 

stock markets, in the wake of the dramatic fall in the value of the 

Shanghai market, which tumbled amidst speculation that the Chinese 

government might implement tougher investment controls. Having 

recovered from this, the market then trended sideways for much of 

the remainder of the period before experiencing considerable volatility 

again in the final month due to the contagion effects of the subprime 

loan crisis in the US. The situation was further exacerbated by the 

strengthening of the Japanese yen against the US dollar as investors 

started unwinding their yen carry trades in order to minimise losses 

incurred from foreign currency assets. (The carry trade is a strategy 

where an investor borrows in a foreign country with lower interest 

rates than their home country and invests the funds in their domestic 

market.) However, by the end of the month the market had stabilised 

and it ended the period down just over 8% in Japanese yen terms. 

In terms of sectors, the large export-oriented areas such as shipping, 

precision equipment and machinery continued to dominate stock 

market performance for much of the period. Maritime transport, 

for example, rose over 28% during the six months under review. 

Conversely, the domestic-oriented services and distribution sectors 

were largely overlooked: retail trade, for example, fell over 17%. 

Turning to the economy, having grown in the first quarter, Japanese 

gross domestic product fell in the second quarter, apparently due to 

weaker-than-expected business investment. Consumer spending 

was also muted although, on a brighter note, unemployment fell 

again, this time to the lowest rate since February 1988. In another 

encouraging development, in June Japan’s national pension fund - 

the world’s largest pool of retirement trusts - announced that it 

planned to diversify its investment scope and put money into smallcap 

funds, which observers believe will increase investors’ interest in 

this area of the market. 

Asian Equity Markets 

Asian markets were unsettled in early March, as concerns in China 

over further interest rate hikes, as well as comments from government 

authorities designed to curtail speculative activity by retail investors, 

triggered a bout of global market volatility that began at the end of 

February. Markets quickly recovered, however, and Asian equity 

markets rose by 17.79% in U.S. dollar terms for the six month period 

under review. 

Having been the cause of much volatility at the start of March, 

China went on to rank as the region’s top performing market 

during the calendar second quarter. India and South Korea were 

also strong performers. In the former, inflation and fears of 

overheating moderated, while in Korea, inflows from local investors 

more than offset foreign investor spending. Elsewhere, Thailand 

was also among the country leaders, as rising confidence that 

elections will be held this year brought sceptical investors back to 

this long underperforming market. The strong rebound of the oil 

sector also helped, given the dominance of energy-related 

companies in the Thai market. At the other end of the performance 

rankings, Taiwan was among the regional laggards. 

In the final two months of the period, Asia was caught up in the 

global volatility and sharp sell-offs that spread to global markets as 

concerns heightened about the outlook for US economic growth. 

The collapse of the US subprime lending market and fears that a 

wider credit crunch may develop lay behind investors’ concerns. 

Looking ahead, in the short term we expect continued volatility in 

markets, but in the long term we believe the sound fundamentals 

of Asia ex Japan equities remain in place. The earnings growth rates 

in Asia, for example, far outstrip those of companies in developed 

markets. In addition, debt to equity ratios are far more favourable 

among Asian companies. In developed markets, debt to equity is 

roughly 100% while in Asia it is only about 40%. 

Thank you for your continued support. We look foward to helping 

you continue to meet your financial goals. 

Yours sincerely, 

Legg Mason Investments 

(Europe) Limited 

7



Portfolio of Investments as at August 31, 2007 

% of 

Face Coupon Value Net 

Value (000’s) Rate/Yield Maturity (000’s) Asset 

$ % Date $ Value 

U.S. Government Agency Discount Notes — 0.49% (Cost $17,781) 

Federal Home Loan Mortgage Corporation (FHLMC) — 0.49% 

18,000 FHLMC 5.250 11/30/2007 17,781 0.49 

U.S. Government Agency Obligations — 0.05% 

Federal Home Loan Bank (FHLB) — 0.03% 

600 FHLB, Series 1, Notes † 5.464 03/14/2008 600 0.01 

270 FHLB, Series 495 3.250 12/17/2007 268 0.01 

300 FHLB, Notes 3.375 10/05/2007 300 0.01 

1,168 0.03 

Federal National Mortgage Association (FNMA) — 0.02% 

500 FNMA, Notes 5.150 09/21/2007 500 0.01 

350 FNMA, Notes 3.125 10/26/2007 349 0.01 

849 0.02 

Total U.S. Government Agency Obligations (Cost $2,017) 2,017 0.05 

U.S. Corporate Bonds and Notes — 3.47% 

300 AIG Matched Funding 

Corp., Senior Notes 144A † 5.559 12/17/2007 300 0.01 

1,000 American Honda Finance, 

Notes 144A † 5.380 09/19/2007 1,000 0.03 

500 Bear Stearns Co., Inc., 

Notes † 5.960 09/27/2007 500 0.01 

203 BellSouth Corp., Senior 

Unsecured † 5.658 08/15/2008 203 0.01 

1,000 ChevronTexaco Capital Co., 

Company Guaranteed 3.500 09/17/2007 999 0.03 

230 Citigroup, Inc., Notes † 5.400 12/26/2008 230 0.01 

500 Countrywide Financial 

Corp., Medium Term Notes, 

Company Guaranteed † 5.440 10/31/2007 500 0.01 

500 First Tennessee Bank, 

Unsubordinated 144A † 5.579 09/16/2008 500 0.01 

40,000 Goldman Sachs Group, 

Inc. † 5.180 09/20/2007 40,000 1.09 

500 The Goldman Sachs Group, 

Inc., Medium Term Notes † 5.485 10/05/2007 500 0.01 

20,000 Goldman Sachs Group, 

Inc. † 5.110 03/25/2008 20,000 0.55 

500 HBOS Treasury Services 

PLC, Medium Term 

Notes 144A † 5.320 09/08/2008 500 0.01 

500 HSBC Finance Corp., 

Notes † 5.340 09/05/2008 500 0.01 

50,000 K2 (USA) LLC, Company 

Guaranteed 144A † 5.320 11/08/2007 49,999 1.37 

500 Toyota Motor Credit Corp., 

Medium Term Notes, 

Unsecured † 5.470 10/12/2007 500 0.01 

10,000 Toyota Motor Credit Corp. 5.320 06/02/2008 10,000 0.27 

550 U.S. Bank NA, Bank Notes † 5.390 09/10/2007 550 0.02 

400 U.S. Bank NA, Bank Notes, 

Senior Unsecured † 5.265 02/08/2008 400 0.01 

Total U.S. Corporate Bonds and Notes (Cost $127,181) 127,181 3.47 

% of 




Commercial Paper — 39.59% 

50,000 Anglesea Funding LLC 5.180 02/26/2008 48,741 1.33 

50,000 Bank of America Corp. 5.240 09/04/2007 50,000 1.36 




50,000 Belmont Funding LLC 5.220 12/03/2007 49,348 1.35 

22,950 BNP Paribas 5.475 09/12/2007 22,922 0.63 

27,000 Carrera Capital Finance 5.190 09/04/2007 27,000 0.74 

LLC 

40,000 CBA Finance LLC 5.298 09/25/2007 39,877 1.09 

20,000 Chesham Finance LLC 5.185 11/05/2007 19,821 0.54 



25,000 Danske Corp. 5.312 09/04/2007 25,000 0.68 

45,000 Danske Corp. 5.540 09/17/2007 44,910 1.23 

10,000 Danske Corp. 5.430 09/28/2007 9,964 0.27 

20,000 Danske Corp. 5.500 09/28/2007 19,927 0.54 

14,400 Danske Corp. 5.119 11/09/2007 14,265 0.39 

25,000 Deutsche Bank Financial 

LLC 5.169 10/10/2007 24,871 0.68 

50,000 Dexia Delaware LLC 5.526 09/14/2007 49,924 1.36 

25,000 Ebury Finance LLC 5.210 10/12/2007 24,863 0.68 



25,000 Fenway Funding LLC 5.350 09/12/2007 24,971 0.68 

10,000 General Electric Capital 

Corp. 5.240 10/26/2007 9,924 0.27 


Corp. 5.130 11/09/2007 14,859 0.41 


Corp. 5.160 03/14/2008 12,642 0.34 


Corp. 5.030 04/25/2008 14,510 0.40 

20,000 General Electric Captial 

Corp. 5.173 05/02/2008 19,333 0.53 

15,000 General Electric Co. 5.260 12/21/2007 14,767 0.40 

50,000 Grampian Funding LLC 5.210 9/24/2007 49,857 1.36 

9,900 HBOS Treasury Services 

PLC 5.531 10/16/2007 9,837 0.27 

18,000 HBOS Treasury Services 

PLC 5.319 10/24/2007 17,869 0.49 

25,000 ING Fundings LLC 5.500 9/20/2007 24,939 0.68 

15,000 ING Fundings LLC 5.210 12/12/2007 14,785 0.40 

32,593 Intesa Funding LLC 5.190 09/04/2007 32,593 0.89 

15,000 JPMorgan Chase & Co. 5.257 02/19/2008 14,642 0.40 

70,000 Kredietbank NA Finance 

Corp. 5.245 09/07/2007 69,969 1.91 

10,000 Morrigan TRR Funding LLC 5.179 11/05/2007 9,911 0.27 



22,000 Natixis 5.529 09/07/2007 21,990 0.60 

The accompanying notes are an integral part of the Financial Statements 

8



Portfolio of Investments as at August 31, 2007 - (continued) 

% of 




Commercial Paper — (continued) 

9,500 Natixis 5.522 09/11/2007 9,490 0.26 

7,000 Nestle Capital Corp. 5.345 01/17/2008 6,863 0.19 

73,187 Noedea North America, Inc. 5.460 09/28/2007 72,921 1.99 

17,000 Nordea North America, Inc. 5.400 11/16/2007 16,814 0.46 

25,000 Nyala Funding LLC 5.182 11/15/2007 24,741 0.67 

49,591 Ottimo Funding Ltd. 5.310 10/ 4/2007 49,372 1.35 

15,000 Perry Funding Corp. 5.215 12/21/2007 14,765 0.40 

5,311 Picaros Funding LLC 5.215 12/17/2007 5,231 0.14 

35,000 Rabobank Nederland 5.260 09/26/2007 34,887 0.95 

10,000 Societe Generale 5.255 09/27/2007 9,966 0.27 




20,000 Svenska Handelsbanken 5.245 11/05/2007 19,819 0.54 

AB 

15,000 Swedbank AB 5.498 11/19/2007 14,828 0.40 

40,000 Swedish Export Credit 5.527 09/14/2007 39,939 1.09 

15,000 Toyota Motor Credit Corp. 5.193 05/08/2008 14,485 0.39 

30,000 UBS Finance, Inc. 5.319 09/13/2007 29,960 0.82 





Total Commercial Paper (Cost $1,450,709) 1,450,709 39.59 

Certificates of Deposit — 50.04% 

60,000 ABN Amro Bank NV 5.480 09/20/2007 60,000 1.64 

25,000 ABN Amro Bank NV 5.315 10/29/2007 25,000 0.68 

25,000 Banco Bilbao Vizcaya 5.315 10/29/2007 25,000 0.68 

20,000 Banco Bilbao Vizcaya 5.470 11/27/2007 20,000 0.55 

10,000 Bank of Ireland PLC 5.320 10/26/2007 10,000 0.27 

50,000 Bank of Montreal Chicago 5.470 09/21/2007 50,000 1.36 

20,000 Bank of Montreal Chicago 5.510 10/15/2007 20,000 0.55 

30,000 Bank of Nova Scotia 5.510 09/17/2007 30,000 0.82 



50,000 Bank of Tokyo Mitsubishi 5.600 09/13/2007 50,000 1.36 



25,000 Barclays Bank PLC 5.320 09/05/2007 25,000 0.68 




20,000 BNP Paribas 5.320 10/16/2007 20,000 0.55 

10,000 BNP Paribas 5.285 02/02/2008 10,000 0.27 

25,000 BNP Paribas 5.360 03/06/2008 25,000 0.68 

5,000 BNP Paribas 5.390 06/23/2008 5,000 0.14 

15,000 BNP Paribas 5.385 07/16/2008 15,000 0.41 

75,000 Calyon NY 5.600 09/05/2007 75,000 2.05 

5,000 Calyon NY 5.260 03/03/2008 4,998 0.14 


% of 




25,000 Canadian Imperial Bank 5.540 09/28/2007 25,000 0.68 



16,820 Credit Suisse 5.270 05/14/2008 16,820 0.46 

15,000 Credit Suisse 5.400 06/05/2008 15,000 0.41 

30,000 Depfa Bank PLC 5.320 10/17/2007 30,000 0.82 

10,000 Deutsche Bank AG 5.310 10/25/2007 10,000 0.27 



20,000 Dresdner Bank AG 5.300 09/04/2007 20,000 0.55 


40,000 Fortis Bank NY 5.300 10/02/2007 40,000 1.09 

20,000 Fortis Bank NY 5.300 12/03/2007 20,000 0.55 

12,500 Fortis Bank NY 5.305 02/19/2008 12,500 0.34 

15,000 HBOS Treasury Services 5.300 01/16/2008 15,000 0.41 

NY 


NY 


NY 


NY 


NY 

10,000 HSBC Bank USA 5.380 02/28/2008 10,000 0.27 

40,000 Landsebank Baden Wurtt 5.750 10/04/2007 40,000 1.09 

45,000 Lloyds Bank PLC 5.450 09/20/2007 45,000 1.23 

40,000 Lloyds TSB Bank PLC 5.500 09/14/2007 40,000 1.09 

20,000 Nordea Bank PLC 5.310 02/14/2008 20,000 0.55 

15,000 Nordeutsche Landesbank 5.320 09/28/2007 15,000 0.41 

75,000 Royal Bank of Canada 5.400 09/24/2007 75,000 2.05 

10,000 Royal Bank of Canada 5.367 10/29/2007 10,000 0.27 

43,000 Royal Bank of Scotland 5.310 09/06/2007 43,000 1.17 






50,000 State Street Bank & Trust 5.470 09/20/2007 50,000 1.37 




AB 


AB 


AB 


AB 

45,000 Toronto Dominion Bank 5.550 09/14/2007 45,000 1.23 


9




% of 




Certificates of Deposit — (continued) 


10,000 UBS AG 5.300 09/24/2007 10,000 0.27 

10,000 UBS AG 5.305 09/28/2007 10,000 0.27 

16,000 Wachovia Bank 5.350 02/25/2008 16,000 0.44 

10,925 Wachovia Bank 5.400 03/28/2008 10,925 0.30 

50,000 Wells Fargo Bank NA 5.350 09/05/2007 50,000 1.36 



Total Certificates of Deposit (Cost $1,833,746) 1,833,746 50.04 

Promissory Note — 0.41%(Cost $15,000) 

15,000 Bank of America 

Corp. Notes 5.310 15,000 0.41 

Time Deposits — 5.87% 

45,000 Abbey National Treasury 

Services 5.313 09/04/2007 45,000 1.23 


40,000 BNP Paribas 5.300 09/04/2007 40,000 1.09 

50,000 Calyon Grand Cayman 5.250 09/04/2007 50,000 1.37 


Total Time Deposits (Cost $215,000) 215,000 5.87 

Total Investments (Cost $3,661,435) 3,661,435 99.92 

Other Assets in Excess of Liabilities 3,069 0.08 

Total Net Assets $3,664,504 100.00 

144A Securities exempt from registration under Rule 144A of the Securities Act of 

1933, as amended. These securities may only be resold, in transactions 

exempt from registration, to qualified institutional buyers. At August 31, 2007, 

these securities amounted to $52,298,706 or 1.43% of net assets. 

† Variable rate security. The interest rate shown reflects the rate in effect at 

August 31, 2007. 

ALL SECURITIES ARE TRANSFERABLE SECURITIES ADMITTED TO AN 

OFFICIAL EXCHANGE OR TRADED ON A REGULATED MARKET EXCEPT 

FOR TIME DEPOSITS, WHICH ARE DEPOSITS WITH CREDIT 

INSTITUTIONS. 

% of Total 

Analysis of Total Assets 

Assets 

Transferable securities and money market instruments admitted to 

official exchange or traded on a regulated market 93.84% 

Deposits with credit institutions 5.85% 

Current Assets 0.31% 

Total Assets 100.00% 


10




% of 


Value (000’s) Rate Maturity (000’s) Asset 


Asset-Backed Securities — 7.65% 

83 Countrywide Home Equity 

Loan Trust, Series 2002-F, 

Class A † 5.961 11/15/2028 81 0.12 


Loan Trust, Series 2004-R, 

Class 2A † 5.861 03/15/2030 247 0.38 


Loan Trust, Series 

2006-RES, Class 

4F1B 144A † 5.871 05/15/2034 243 0.37 

800 Fremont Home Loan Trust, 

Series 2006-B, Class 2A2 † 5.420 08/25/2036 787 1.21 

29 Keycorp Student Loan 

Trust, Series 2005-A, Class 

1A1 † 5.370 12/27/2019 29 0.05 

158 Lehman XS Trust, Series 

2005-7N, Class 1A1B † 5.620 12/25/2035 153 0.24 


2006-GP2, Class 1A1A † 5.390 06/25/2046 718 1.10 


2006-GP4, Class 3A1A † 5.390 08/25/2046 268 0.41 


2007-2N, Class 3A1 † 5.410 02/25/2037 868 1.33 

216 RAAC Series, Series 

2006-RP1, Class 

A3 144A † 5.620 10/25/2045 213 0.33 

26 Residential Asset Mortgage 

Products, Inc., Series 

2003-RS2, Class AII † 5.845 03/25/2033 25 0.04 

23 Residential Asset Securities 

Corp., Series 2001-KS2I, 

Class AII † 5.780 06/25/2031 23 0.04 

838 SLM Student Loan Trust, 

Series 2006-5, Class A2 † 5.350 07/25/2017 838 1.29 

2 Structured Asset Investment 

Loan Trust, Series 2005-3, 

Class A9 † 5.450 04/25/2035 2 — 

139 Terwin Mortgage Trust, 

Series 2006-10SL, Class 

A3 † 4.750 10/25/2037 136 0.21 

374 Truman Capital Mortgage 


Class A 144A † 5.580 03/25/2036 344 0.53 

Total Asset-Backed Securities (Cost $5,052) 4,975 7.65 

Collateralised Mortgage-Backed Obligations — 37.62% 

266 American Home Mortgage 

Assets, Series 2006-3, 

Class 3A12 † 5.695 10/25/2046 261 0.40 



Class 1A12 † 5.715 10/25/2046 425 0.65 


Investment Trust, Series 

2004-1, Class 1A † 5.855 04/25/2044 49 0.08 

70 Banc of America 

Commercial Mortgage, Inc., 

Series 2005-5, Class A4 † 5.115 10/10/2045 68 0.10 

240 Banc of America 

Commercial Mortgage, Inc., 

Series 2006-3, Class A4 † 5.889 07/10/2044 244 0.37 

% of 




283 Banc of America Funding 

Corp., Series 2007-HY1, 

Class A1 † 5.370 05/20/2036 284 0.44 

500 Bear Stearns Adjustable 

Rate Mortgage Trust, 

Series 2004-4, Class A6 † 3.520 06/25/2034 491 0.75 

288 Bear Stearns Alt-A Trust, 

Series 2004-11, Class 

2A2 † 5.483 11/25/2034 296 0.45 



2A6A † 5.128 11/25/2034 197 0.30 

205 Countrywide Alternative 


Class 1A1 † 5.580 07/25/2035 201 0.31 



Class A3 † 5.670 09/25/2035 317 0.49 



Class 1A1 † 5.649 11/20/2035 245 0.38 



2005-J12 2A1, Class 2A1 † 5.775 08/25/2035 882 1.36 

177 Countrywide Home Loan 

Mortgages Pass Through 

Trust, Series 2004-25, 

Class 1A1 † 5.835 02/25/2035 175 0.27 




Class 2A1 † 5.660 02/25/2035 211 0.32 




Class 6A1 † 5.620 03/25/2035 167 0.26 



Trust, Series 2005-3, Class 

1A2 † 5.795 04/25/2035 207 0.32 




1A1 † 5.620 05/25/2035 205 0.31 

420 Credit Suisse Mortgage 

Capital Certificates, Series 

2006-C4, Class A3 5.467 09/15/2039 413 0.64 

135 CRIMI Mae Commercial 

Mortgage Trust, Series 

1998-C1, Class A2 144A 7.000 06/02/2033 136 0.21 

120 CS First Boston Mortgage 

Securities Corp., Series 

2005-C2, Class A4 4.832 04/15/2037 115 0.18 

340 GE Capital Commercial 

Mortgage Corp., Series 

2005-C4, Class A4 † 5.512 11/10/2045 336 0.52 

671 GMAC Commercial 

Mortgage Securities, Inc., 

Series 1999-C2, Class A2 6.945 09/15/2033 683 1.05 

171 Greenpoint Mortgage 

Funding Trust, Series 

2005-AR1, Class A2 † 5.725 06/25/2045 168 0.26 


11




% of 




Collateralised Mortgage-Backed Obligations — (continued) 



2006-AR4, Class A1A † 5.420 09/25/2046 368 0.57 

1,004 Greenpoint Mortgage 


2007-AR1, Class 1A1A † 5.585 02/25/2047 987 1.52 

239 GSMPS Mortgage Loan 

Trust, Series 2005-RP2, 

Class 1AF 144A † 5.670 03/25/2035 235 0.36 

827 Harborview Mortgage Loan 


Class 4A 5.252 01/19/2035 819 1.26 



2A1A † 5.540 05/19/2035 196 0.30 

1,031 Harborview Mortgage Loan 


Class 2A1A † 5.688 03/19/2038 1,005 1.54 



Class 2A1B † 5.738 03/19/2038 819 1.26 



2A1A † 5.738 10/19/2037 960 1.48 



2A1A † 5.720 11/19/2036 402 0.62 

100 JP Morgan Chase 

Commercial Mortgage 


2005-CB12, Class A4 4.895 09/12/2037 96 0.15 




2005-CB13, Class A4 † 5.294 01/12/2043 98 0.15 


Commerical Mortgage 


2007-LDP10, Class A3 5.420 01/15/2049 880 1.35 

1,630 LB-UBS Commercial 

Mortgage Trust, Series 

2001-C3, Class X 144A † * 1.164 06/15/2036 50 0.08 

812 Mastr Alternative Loans 


7A1 † 5.905 11/25/2033 810 1.24 

168 Mastr Reperforming Loan 


1A1 144A 6.000 08/25/2034 167 0.26 

637 Merrill Lynch Mortgage 

Investors, Inc., Series 

2006-A1, Class 1A1 † 5.852 03/25/2036 637 0.98 

200 Merrill Lynch/Countrywide 



A4 5.378 08/12/2048 195 0.30 

190 Morgan Stanley Capital I, 

Series 2005-HQ6, Class 

A4A 4.989 08/13/2042 183 0.28 

396 Morgan Stanley Mortgage 


2004-8AR, Class 4A2 † 5.350 10/25/2034 397 0.61 


% of 






2007-11AR, Class 2A3 † 6.639 06/25/2037 279 0.43 

944 Residential Accredit Loans, 

Inc., Series 2005-QO3, 

Class A1 † 5.720 10/25/2045 925 1.42 

767 Residential Accredit Loans, 


Class A1 † 5.470 02/25/2037 730 1.12 

28 Structured Adjustable Rate 

Mortgage Loan Trust, 


1A1 † 7.290 08/25/2034 28 0.04 



Series 2005-19XS, Class 

1A1 † 5.640 10/25/2035 542 0.83 

503 Thornburg Mortgage 

Securities Trust, Series 

2005-2, Class A4 † 5.755 07/25/2045 502 0.77 



2005-3, Class A3 † 5.765 10/25/2035 990 1.52 



2006-1, Class A3 † 5.490 01/25/2036 615 0.95 


Securities Trust, 


2A1 zero coupon 09/25/2035 269 0.41 


Securities Trust, 


3A1 zero coupon 09/25/2035 237 0.36 

130 Wachovia Bank 


Trust, Series 2005-C18, 

Class A4 4.935 04/15/2042 125 0.19 

256 Washington Mutual 

Mortgage Pass Through 

Certificates, Series 

2004-AR13, Class A1A † 5.735 11/25/2034 251 0.39 




2005-AR13, Class A1A1 † 5.610 10/25/2045 173 0.27 




2005-AR17, Class A1A2 † 5.610 12/25/2045 151 0.23 




2005-AR19, Class A1A2 † 5.610 12/25/2045 634 0.97 




2005-AR6, Class 2A1A † 5.550 04/25/2045 153 0.23 




2005-AR8, Class 1A1A † 5.590 07/25/2045 602 0.92 




2007-HY7, Class 1A1 † 5.673 07/25/2037 387 0.60 

12




% of 





830 Wells Fargo Mortgage 

Backed Securities Trust, 

Series 2004-S, Class A7 † 3.539 09/25/2034 807 1.24 

Total Collateralised Mortgage-Backed Obligations 

(Cost $24,885) 24,480 37.62 

Corporate Bonds and Notes — 19.85% 

Agriculture — 0.06% 

40 Reynolds American, Inc., 


Airlines — 0.33% 

217 Delta Air Lines, Inc., Series 

01-1, Pass Through 

Certificates † 6.619 03/18/2011 216 0.33 

Basic Materials — 0.22% 

140 Weyerhauser Co., Notes 6.750 03/15/2012 144 0.22 

Communications — 0.59% 

380 Sprint Capital Corp., 


Electric — 0.06% 

40 Wisconsin Power & Light 

Co., Debentures 6.375 08/15/2037 41 0.06 

Energy — 1.75% 

120 Anadarko Petroleum Corp., 

Senior Unsecured Notes † 5.760 09/15/2009 119 0.18 


Senior Unsecured Bonds 6.450 09/15/2036 262 0.40 

20 Apache Corp., Senior 

Unsecured Notes 6.250 04/15/2012 21 0.03 

240 ConocoPhillips Holding Co., 

Senior Notes 6.950 04/15/2029 263 0.41 

10 Kerr-McGee Corp., Secured 6.950 07/01/2024 11 0.02 

190 Pemex Project Funding 

Master Trust, Company 

Guaranteed 6.625 06/15/2035 194 0.30 

245 XTO Energy, Inc., Senior 

Notes 7.500 04/15/2012 267 0.41 

1,137 1.75 

Financials - Banks — 2.19% 

40 Bank One Corp., Senior 

Notes 4.125 09/01/2007 40 0.06 

10 Rabobank Capital Funding 

II, Bonds 144A † 5.260 12/29/2049 10 0.01 

60 Rabobank Capital Funding 

Trust, Company 

Guaranteed 144A † 5.254 Perpetual 56 0.09 

130 SunTrust Capital VIII, Bank 

Guaranteed † 6.100 12/01/2046 113 0.17 

50 Wachovia Capital Trust III, 

Bank Guaranteed † 5.800 Perpetual 50 0.08 

300 Wachovia Corp., 

Subordinated Notes 5.625 10/15/2016 295 0.45 


Bank/Henderson NV, 


220 Washington Mutual, Inc., 

Senior Unsecured 5.250 09/15/2017 194 0.30 

% of 




5 Wells Fargo & Co., 


100 Wells Fargo Capital X, 


1,426 2.19 

Financials - Captial Markets — 1.39% 

300 The Bear Stearns Cos, Inc. 


130 Lehman Brothers Holdings 

Capital Trust V, Notes † 5.857 11/29/2049 120 0.18 

130 Lehman Brothers Holdings, 

Inc., Subordinated Notes 6.500 07/19/2017 128 0.20 


Inc., Senior Notes † 7.205 09/15/2022 380 0.58 

904 1.39 

Financials - Diversified — 7.45% 

75 American Express Co., 

Subordinated Debentures † 6.800 09/01/2049 77 0.12 

20 Anadarko Finance Co., 

Series B, Company 

Guaranteed 7.500 05/01/2031 22 0.03 

280 Citigroup, Inc., Senior Notes 4.125 02/22/2010 273 0.42 


Corp., Subordinated Notes 6.250 05/15/2016 816 1.26 

120 Ford Motor Co., Unsecured 7.450 07/16/2031 90 0.14 

380 Ford Motor Credit Co. LLC, 

Unsecured 7.375 10/28/2009 360 0.55 


Notes 7.875 06/15/2010 235 0.36 


Bonds 7.375 02/01/2011 74 0.11 

20 General Electric Capital 

Corp., Notes 5.450 01/15/2013 20 0.03 

110 General Motors Corp., 

Senior Unsubordinated 8.375 07/15/2033 88 0.14 

40 GMAC LLC, Notes 4.375 12/10/2007 39 0.06 

90 GMAC LLC, Notes 5.625 05/15/2009 84 0.13 

120 GMAC LLC, 

Unsubordinated Notes 7.750 01/19/2010 114 0.18 

40 GMAC LLC, Notes 7.250 03/02/2011 37 0.06 

70 GMAC LLC, Bonds 8.000 11/01/2031 63 0.10 


Inc., Subordinated Notes 5.625 01/15/2017 115 0.18 


Senior Unsubordinated 

Notes 6.400 06/17/2008 40 0.06 


Senior Notes 4.625 09/15/2010 205 0.32 

120 JP Morgan & Co., Inc., 

Subordinated Notes † 7.214 02/15/2012 124 0.19 

60 Merrill Lynch & Co., Inc., 

Notes 3.375 09/14/2007 60 0.09 

190 Morgan Stanley, Senior 


30 Morgan Stanley, 


30 Morgan Stanley, Senior 

Unsecured Notes † 5.810 10/18/2016 29 0.04 


13




% of 




Corporate Bonds and Notes — (continued) 

Financials - Diversified — (continued) 

50 Residential Capital LLC, 










400 SLM Corp., Series CPI, 

Notes † 3.820 04/01/2009 367 0.57 

240 SLM Corp., Senior 

Notes 144A † 5.330 04/18/2008 237 0.36 

60 SLM Corp., Unsecured 5.000 10/01/2013 52 0.08 

90 SLM Corp., Notes 5.375 05/15/2014 77 0.12 

360 SLM Corp., Notes 5.625 08/01/2033 288 0.44 

4,848 7.45 

Health Care — 0.02% 

16 Tenet Healthcare Corp., 

Senior Unsecured Notes 7.375 02/01/2013 13 0.02 

Industrials — 0.39% 

90 Eastman Kodak Co., Notes 3.625 05/15/2008 86 0.13 

30 Eastman Kodak Co., 


110 General Electric Co., Notes 5.000 02/01/2013 109 0.17 

30 Waste Management, Inc., 


254 0.39 

Insurance — 1.52% 

130 American International 

Group, Inc., Junior 

Subordinated 6.250 03/15/2037 120 0.19 

345 MetLife, Inc., Junior 

Subordinated Bond 6.400 12/15/2036 314 0.48 

590 The Travelers Cos, Inc., 

Junior Subordinated 

Debentures † 6.250 03/15/2037 556 0.85 

990 1.52 

Multi-Media — 1.03% 

490 Comcast Corp., Company 

Guaranteed 6.500 01/15/2015 505 0.78 


Guaranteed 6.500 01/15/2017 113 0.17 

20 Liberty Media LLC, 

Debentures 3.750 02/15/2030 12 0.02 

40 Time Warner, Inc., 


672 1.03 

Pharmaceuticals — 0.36% 

120 Cardinal Health, Inc., Senior 


120 Wyeth, Notes 5.950 04/01/2037 115 0.18 

233 0.36 

% of 




Retail — 0.92% 

154 CVS Caremark Corp., Pass 

Through Certificates 144A 5.789 01/10/2026 153 0.24 

10 CVS Lease Pass Through, 

Pass Through 

Certificates 144A 5.880 01/10/2028 9 0.01 

449 CVS Lease Pass Through, 

Pass Through 

Certificates 144A 6.036 12/10/2028 438 0.67 

600 0.92 

Technology — 0.10% 

60 Electronic Data Systems 

Corp., Unsubordinated 

Notes 7.125 10/15/2009 62 0.10 

Telecommunications — 0.07% 

40 Verizon Global Funding 

Corp., Senior Unsecured 

Notes 7.375 09/01/2012 43 0.07 

Transportation — 0.15% 

120 SeaRiver Maritime, 

Inc., Company 

Guaranteed zero coupon 09/01/2012 94 0.15 

Utilities — 1.25% 

30 Dominion Resources, Inc., 

Series D, Senior Notes 5.125 12/15/2009 30 0.05 


Notes 4.125 02/15/2008 20 0.03 


Notes 4.750 12/15/2010 10 0.02 


Senior Notes 5.700 09/17/2012 40 0.06 

120 Duke Energy Carolinas 

LLC, First Mortgage 3.750 03/05/2008 119 0.18 

30 Kinder Morgan Energy 

Partners LP, Senior Notes 5.000 12/15/2013 29 0.05 


Partners LP, Senior 


20 Oncor Electric Delivery Co., 


140 Pacific Gas & Electric Co., 

Unsecured Bonds 6.050 03/01/2034 137 0.21 

300 Sonat, Inc., Notes 7.625 07/15/2011 307 0.47 

810 1.25 

Total Corporate Bonds and Notes (Cost $13,542) 12,915 19.85 

U.S. Denominated Debt Obligations — 4.34% 

Canada — 0.05% 

30 ChevronTexaco Capital Co., 


Cayman Islands — 1.15% 

85 Resona Preferred Global 

Securities Cayman Ltd., 

Bonds 144A † 7.191 Perpetual 85 0.13 

120 Shinsei Finance Cayman 

Ltd., Bonds 144A † 6.418 Perpetual 114 0.18 

100 SMFG Preferred Capital 

USD 1 Ltd., 

Subordinated 144A † 6.078 Perpetual 93 0.14 


14




% of 




U.S. Denominated Debt Obligations — (continued) 

Cayman Islands — (continued) 

426 Systems 2001 Asset Trust 

LLC, Series G, Pass 


747 1.15 

Germany — 0.01% 

10 Hypothekenbank in Essen 

AG, Pfandbriefe 144A 5.000 01/20/2012 10 0.01 

Iceland — 0.63% 

100 Glitnir Banki HF, 

Subordinated Notes 144A † 6.693 06/15/2016 105 0.16 

160 Kaupthing Bank HF, Senior 

Notes 144A † 6.050 04/12/2011 161 0.25 

140 Kaupthing Bank HF, 

Subordinated Notes 144A 7.125 05/19/2016 143 0.22 

409 0.63 

Japan — 0.30% 

200 Aiful Corp., Notes 144A 5.000 08/10/2010 197 0.30 

Jersey Channel Islands — 0.06% 

40 HSBC Capital Funding LP, 

Bank Guaranteed 144A † 4.610 12/29/2049 37 0.06 

Kyrgyzstan — 0.19% 

120 Vale Overseas Ltd., 


Luxembourg — 0.56% 

140 Gaz Capital for Gazprom, 

Senior Unsecured 144A 6.510 03/07/2022 135 0.21 

20 Tyco International Group 

S.A., Company Guaranteed 6.125 11/01/2008 20 0.03 









367 0.56 

Mexico — 0.20% 

16 Mexico Government Bond, 

Notes 5.625 01/15/2017 16 0.02 

105 Mexico Government 

International Bond, Medium 

Term Notes 6.750 09/27/2034 114 0.18 

130 0.20 

Netherlands — 0.33% 

5 Deutsche Telekom 

International Finance BV, 




Senior Notes 5.750 03/23/2016 74 0.11 

130 Royal KPN NV, Senior 


218 0.33 

% of 




Russia — 0.81% 


Senior Notes 144A 6.212 11/22/2016 116 0.18 

368 Russian Government 

International Bond, 

Unsubordinated † 7.500 03/31/2030 409 0.63 

525 0.81 

South Korea — 0.05% 

35 Export-Import Bank of 

Korea, Notes 144A 5.250 02/10/2014 35 0.05 

Total U.S. Denominated Debt 

Obligations (Cost $2,812) 2,827 4.34 

U.S. Government Agency Mortgage-Backed 

Securities — 55.51% 


1,900 FHLMC Gold, 15 Year 

January TBA ** 5.000 09/01/2020 1,855 2.85 

4 FHLMC Non Gold Pool, 

Pool #180858, Notes 8.000 12/01/2008 4 0.01 

1,132 FHLMC Non Gold Pool, 

Pool #1N1454 † 5.920 04/01/2037 1,132 1.74 

2,991 4.60 


1,600 FNMA, 30 Year 

October TBA ** 5.000 10/15/2037 1,521 2.34 


September TBA ** 5.000 09/15/2037 6,272 9.64 


September TBA ** 5.500 09/15/2022 3,778 5.81 


October TBA ** 5.500 10/15/2037 4,492 6.90 


September TBA ** 5.500 09/15/2037 2,734 4.20 


October TBA ** 6.000 10/15/2037 3,994 6.14 

100 FNMA, 15 Year 

September TBA ** 6.000 09/15/2022 101 0.15 

3,700 FNMA, 30 Year September TBA ** 6.000 09/15/2037 3,695 5.68 

23 FNMA, Pool #8242 9.500 12/01/2009 24 0.04 


October TBA ** 6.500 10/01/2035 609 0.94 

130 FNMA, 30 Year April TBA** 6.000 04/18/2036 132 0.20 

100 FNMA, Pool #950385 † 5.879 08/01/2037 102 0.16 


September TBA ** 6.500 09/15/2037 1,705 2.62 

29,159 44.82 

Government National Mortgage Association (GNMA) — 6.09% 

900 GNMA, 30 Year 

September TBA ** 6.000 09/15/2037 904 1.39 

6 GNMA, Pool #464051 7.000 07/15/2028 7 0.01 

186 GNMA, Pool #557522 7.000 07/15/2031 192 0.30 

144 GNMA, Pool #565347 7.000 08/15/2031 149 0.23 

141 GNMA, Pool #584344 7.000 04/15/2032 146 0.22 

83 GNMA, Pool #615217 5.000 08/15/2033 80 0.12 


15




% of 





Securities — (continued) 

Government National Mortgage Association (GNMA) — (continued) 

22 GNMA, Pool #633717 7.000 09/15/2034 22 0.03 

656 GNMA, 30 Year January, 

TBA ** 5.000 01/15/2035 632 0.97 

634 GNMA, 30 Year April, 

TBA ** 5.000 04/15/2035 611 0.94 

1,200 GNMA, 30 Year 

September TBA ** 6.500 09/15/2037 1,222 1.88 

3,965 6.09 

Total U.S. Government Agency Mortgage-Backed Securities 

(Cost $36,033) 36,115 55.51 


100 Indymac Inda Mortgage 


2007-AR7, Class 1A1 zero coupon 09/25/2037 100 0.16 

Federal Farm Credit Bank — 0.03% 

20 Federal Farm Credit Bank, 

Notes 5.125 08/25/2016 20 0.03 

Federal Home Loan Bank (FHLB) — 0.14% 

90 FHLB, Notes 5.400 01/02/2009 90 0.14 


10 FHLMC, Notes 6.625 09/15/2009 11 0.02 

50 FHLMC, Medium Term 

Notes 5.250 02/24/2011 50 0.08 

470 FHLMC, Notes 4.650 10/10/2013 458 0.70 

100 FHLMC, Notes 5.300 05/12/2020 97 0.15 

50 FHLMC, Bonds 6.750 09/15/2029 59 0.09 

90 FHLMC, Bonds 5.625 11/23/2035 88 0.13 

300 FHLMC Non Gold Pool † 5.963 08/01/2037 300 0.46 

1,063 1.63 


440 FNMA, Discount 

Notes zero coupon 03/17/2008 429 0.66 

140 FNMA, Notes 4.610 10/10/2013 136 0.21 

565 0.87 

Tennessee Valley Authority — 0.72% 

430 Tennessee Valley Authority, 

Series E, Bonds 6.250 12/15/2017 470 0.72 


U.S. Treasury Obligations — 6.32% 

U.S. Treasury Bonds — 4.86% 

7 U.S. Treasury Bond 5.125 05/15/2016 7 0.01 


20 U.S. Treasury Inflationary 

Index Bond *** + 3.875 01/15/2009 26 0.04 


Index Bond *** + 1.625 01/15/2015 52 0.08 


Index Bond *** + 1.875 07/15/2015 196 0.30 


Index Bond *** + 2.375 01/15/2025 637 0.98 


16 

% of 





Index Bond *** + 2.000 01/15/2026 719 1.11 


Index Bond *** + 2.375 01/15/2027 905 1.39 


Index Bond *** + 3.875 04/15/2029 127 0.19 


Index Bond *** + 3.375 04/15/2032 84 0.13 

3,160 4.86 

U.S. Treasury Notes — 1.40% 


Index Note *** + 1.875 07/15/2013 409 0.63 

380 U.S. Treasury Note 4.875 10/31/2008 383 0.59 



912 1.40 

U.S. Treasury Strip Principal — 0.06% 

130 U.S. Treasury Strip 

Principal zero coupon 05/15/2030 43 0.06 

Total U.S. Treasury Obligations (Cost $4,079) 4,115 6.32 

Shares (000’s) 

Preferred Stock — 0.29% 

— FNMA 144A 16 0.03 

6 General Motors Corp. 144A 111 0.17 

— Home Ownership Funding Corp. * 15 0.02 

— Home Ownership Funding CP II * 45 0.07 

Total Preferred Stock (Cost $394) 187 0.29 

Total Investments Excluding Options (Cost $89,102) 87,922 135.13 

Contracts 

Options — 0.17% 

— 120 Day Euro$ December 2007, Call 95.125 (8) (0.01) 

— 120 Day Euro$ December 2007, Call 95.25 (1) — 

1,200 6-Month 5.2725% Fixed, 11/27/2007, 

Goldman Sachs, Swaption 22 0.03 

— 6-Month Euro$ September 2007, Call 94.75 — — 

— 6-Month Euro$ September 2007, Call 95.00 — — 

— 90 Day Euro$ September 2007, Call 94.00 2 0.01 

1 BellSouth Corp., 12/01/49, Call 97.72 27 0.04 

1 IBM Corp., 12/01/2049, Call 99.90 67 0.10 

Total Options (Cost $37) 109 0.17 

Total Investments (Cost $89,139) 88,031 135.30 

Liabilities in Excess of Other Assets (22,965) (35.30) 

Total Net Assets $ 65,066 100.00 





* Illiquid 

** Securities purchased on a to-be-announced basis (Note 1). 

*** The rate of interest on this type of security is tied to the Consumer Price Index 

(CPI). The coupon rate is the rate as of August 31, 2007. 

+ TIPS 


August 31, 2007. 

Amounts designated as "—" are either $0, less than $1,000 or less than 1,000 

shares.




ABBREVIATIONS: 

TBA - To Be Announced 

TIPS - Treasury Inflation Protected Security 

ALL SECURITIES ARE TRANSFERABLE SECURITIES ADMITTED TO AN OFFICIAL 

EXCHANGE OR TRADED ON A REGULATED MARKET WITH THE EXCEPTION OF THE 

OPTIONS AND FUTURES, WHICH ARE FINANCIAL DERIVATIVE INSTRUMENTS DEALT 

WITH IN A REGULATED MARKET. 

% of Total 



Transferable securities and money market 

instruments admitted to official exchange 

or traded on a regulated market 69.34% 

Financial Derivative Instruments (0.06%) 



Schedule of Futures Contracts: 

Net 

Notional Notional Unrealised Unrealised Unrealised 

Amount Amount Nominal Cost Value Gains Losses Gain/(Loss) 

Purchased Sold Value (000’s) (000’s) (000’s) (000’s) (000’s) % of Net 

(000’s) (000’s) (000’s) $ $ $ $ $ Asset Value 

90 Day Euro$ 

December 2007 27 — 27 6,410 6,417 7 — 7 0.01 

90 Day Euro$ 

September 2007 13 — 13 3,084 3,071 — (13) (13) (0.02) 

U.S. 10 Year Note 

December 2007 — (139) (139) (15,099) (15,158) — (59) (59) (0.09) 


September 2007 — (37) (37) (3,985) (4,051) — (66) (66) (0.10) 

U.S. 5 Year Note (CBT) 

December 2007 76 — 76 8,074 8,109 35 — 35 0.05 

U.S. Long Bond (CBT) 

December 2007 — (37) (37) (4,100) (4,128) — (28) (28) (0.04) 

Total Market Value 

of Futures Contracts (97) $5,616 $5,740 $ 42 $ (166) $(124) (0.19)% 


17




Schedule of Credit Default Swaps: 

Unrealised 

Notional Appreciation/ 

Buy/Sell Pay/ Expiration Amount (Depreciation) 

Counterparty Reference Entity Protection Receive Date (000’s) (000’s) 

Goldman Sachs 

ABX.HE.AAA.07-2 

zero coupon due 01/25/2038 Buy 0.76% 01/25/38 97 $ (7) 

Goldman Sachs 

CDX.NA.IG.8 

0.350% due 06/20/2012 Buy 0.35% 06/20/12 98 (1) 

Goldman Sachs 

CDX.NA.IG.8 

0.350% due 06/20/2012 Buy 0.35% 06/20/12 597 (8) 

Goldman Sachs 

CDX.NA.IG.8 

0.350% due 06/20/2012 Buy 0.35% 06/20/12 596 (8) 

Goldman Sachs 

CDX.NA.IG.8 

0.350% due 06/20/2012 Buy 0.35% 06/20/12 596 (8) 

Goldman Sachs 

CDX.NA.IG.8 

0.350% due 06/20/2012 Buy 0.35% 06/20/12 595 (8) 

Goldman Sachs 

CDX.NA.IG.8 

0.350% due 06/20/2012 Buy 0.35% 06/20/12 98 (1) 

Goldman Sachs 

CDX.NA.IG.8 

0.350% due 06/20/2012 Buy 0.35% 06/20/12 196 (3) 

Goldman Sachs 

CDX.NA.IG.HVOL.8 

0.750% due 06/20/2012 Buy 0.75% 06/20/12 99 (3) 

Goldman Sachs 

Countrywide Home Loans, Inc. 

4.000% due 03/22/2011 Buy 0.86% 09/20/12 100 (7) 

Goldman Sachs 


4.000% due 03/22/2011 Buy 6.00% 09/20/12 100 13 

Goldman Sachs 


4.000% due 03/22/2011 Buy 6.00% 09/20/12 100 13 

Goldman Sachs 


4.000% due 03/22/2011 Buy 6.10% 09/20/12 100 13 

Goldman Sachs 

Residential Capital Corp., 

Senior Notes 

6.500% due 04/17/2013 Buy 4.90% 09/20/12 100 (18) 

$ (33) 

Schedule of Interest Rate Swaps: 

Unrealised 


Expiration Amount (Depreciation) 

Counterparty Floating Rate Index Pay/Receive Fixed Rate Date (000’s) (000’s) 

Goldman Sachs 3-Month USD-LIBOR Pay 5.45% 08/20/17 (790) $ — 

Goldman Sachs 3-Month USD-LIBOR Pay 5.38% 08/21/17 (400) — 

Goldman Sachs 6-Month FIXED Receive 5.45% 08/20/17 790 13 

Goldman Sachs 6-Month FIXED Receive 5.28% 01/31/12 1,300 17 


Goldman Sachs 6-Month FIXED Receive 5.25% 09/19/37 2,420 (80) 


Goldman Sachs 3-Month USD-LIBOR Pay 5.28% 01/31/12 (1,300) 1 

Goldman Sachs 3-Month USD-LIBOR Pay 5.38% 02/02/17 (700) — 

Goldman Sachs 3-Month USD-LIBOR Pay 5.25% 09/19/37 (2,420) 7 

$ (30) 


18




% of 

Coupon Value Net 

Face Rate Maturity (000’s) Asset 

Value (000’s) % Date € Value 

% of 





Eurozone — 25.66% 

EUR 86 ABN Amro Bank NV, 

Subordinated † 4.310 12/31/2049 75 0.48 

280 Anglian Water Services 

Financing PLC, European 



50 Banca Italease S.p.A., 

Senior Notes † 4.499 02/11/2008 49 0.31 

50 Banca Italease S.p.A., 

Senior Unsubordinated † 4.914 11/23/2010 47 0.30 

50 Banca Monte dei Paschi di 

Siena S.p.A., European 



50 BAT International Finance 

PLC, European Medium 

Term Notes, Company 

Guaranteed 5.375 06/29/2017 50 0.32 

202 BES Finance Ltd., 

European Medium Term 

Notes, Bank Guaranteed † 4.500 03/16/2049 188 1.20 

50 Bombardier, Inc., Senior 


170 Bundesrepublic 

Deutschland, Series 03 4.500 01/04/2013 173 1.10 

40 Central European 

Distribution Corp., Secured 

Notes 8.000 07/25/2012 40 0.25 

50 Chesapeake Energy Corp., 


50 Clondalkin Acquisition BV, 

Secured † 6.145 12/15/2013 48 0.31 

200 Commerzbank Capital 

Funding Trust I, Bank 

Guaranteed † 5.012 Perpetual 181 1.16 

50 Corus Group PLC, 


150 Deutsche Postbank Funding 

Trust IV, Subordinated † 5.983 06/29/2049 144 0.92 

100 Dexia Credit Local, 


19 Eco-Bat Finance PLC, 


50 ELM BV for Swiss Life 

Insurance & Pension Group, 


Notes, Company 


100 ELM BV for Swiss 

Reinsurance Co., 

Secured † 5.252 Perpetual 95 0.60 

23 Eurohypo Capital Funding 

Trust 1, Subordinated † 6.445 02/23/2049 23 0.15 


Senior Notes 5.750 01/12/2009 38 0.24 

50 Fortis Bank S.A./NV, 

Subordinated Bonds † 4.625 10/27/2049 46 0.29 

136 Fortis Hybrid Financing, 

Bank Guaranteed † 5.125 06/29/2049 126 0.80 


EUR 

8 Fresenius Finance BV, 


5 Fresenius Finance BV, 


150 Generali Finance BV, 

Company Guaranteed † 5.317 Perpetual 145 0.92 

96 GlaxoSmithKline Capital 



Guaranteed 4.000 06/16/2025 85 0.54 


Inc., Subordinated 4.750 10/12/2021 132 0.84 

120 HBOS PLC, European 



150 HSBC Capital Funding LP, 


74 HSH Nordbank AG, 


Notes 144A † 4.751 02/14/2017 73 0.47 

50 Hypo Real Estate 

International Trust I, 

Subordinated † 5.864 06/14/2049 46 0.29 

33 ISS Global A/S, European 



50 Lecta S.A., Company 

Guaranteed † 7.131 02/15/2014 47 0.30 

262 Lloyds TSB Bank PLC, 


50 Mapfre S.A., Subordinated † 5.921 07/24/2037 50 0.32 

50 Millipore Corp., Senior 


100 Muenchener 

Rueckversicherungs AG, 

Subordinated † 5.767 06/29/2049 97 0.62 

150 MUFG Capital Finance 2 

Ltd., Bank Guaranteed † 4.850 12/31/2049 135 0.86 

50 Nordic Telephone Co. 

Holdings ApS, Secured 8.250 05/01/2016 50 0.32 



Guaranteed 5.500 02/24/2025 141 0.90 

50 Royal KPN NV, European 


Senior Notes 4.500 03/18/2013 48 0.31 

100 RZB Finance Jersey IV Ltd., 

Bank Guaranteed † 5.169 05/16/2049 92 0.58 

50 SNS Reaal, European 



80 Stora Enso Oyj, European 



50 TuranAlem Finance BV, 

Bank Guaranteed 6.250 09/27/2011 45 0.29 

9 UBS Preferred Funding 

Jersey Ltd., Bank 

Guaranteed † 4.280 04/15/2045 8 0.05 

72 Unicredito Italiano Capital 

Trust III, Company 

Guaranteed † 4.028 10/27/2049 63 0.40 

19




% of 




Corporate Bonds and Notes — (continued) 

EUR 99 Zagrebacka Banka DD, 

Bonds 4.250 07/13/2009 97 0.62 

Total Corporate Bonds and Notes (Cost €4,222) 4,025 25.66 

U.S. Denominated Bonds and Notes — 3.99% 


USD 10 OPTI Canada, Inc., 

Company Guaranteed 144A 8.250 12/15/2014 8 0.05 

10 Western Oil Sands, Inc., 

Secured Notes 8.375 05/01/2012 8 0.05 

16 0.10 

France — 0.05% 

USD 10 Cie Generale de 

Geophysique Veritas, 



USD 120 HSBK Europe BV, Bank 

Guaranteed 144A 7.250 05/03/2017 80 0.51 

United States — 3.33% 

USD 5 Chesapeake Energy Corp., 


5 Citizens Communications 

Co., Senior Unsecured 7.125 03/15/2019 3 0.02 

10 Community Health 

Systems, Inc., Senior 

Notes 144A 8.875 07/15/2015 7 0.05 

10 Complete Production 

Service, Inc., Company 

Guaranteed 8.000 12/15/2016 7 0.04 


Corp., Company 

Guaranteed 5.800 06/07/2012 14 0.09 


Corp., Subordinated Notes 6.250 05/15/2016 46 0.29 

10 DRS Technologies, Inc., 


10 Dynegy Holdings, Inc., 

Debentures 144A 7.750 06/01/2019 7 0.04 

10 Echostar DBS Corp., 


10 Edison Mission Energy, 

Senior Notes 144A 7.200 05/15/2019 7 0.04 

20 Freeport-McMoRan Copper 

& Gold, Inc., Senior 

Unsecured 8.375 04/01/2017 16 0.10 

245 GMAC LLC, Bonds 8.000 11/01/2031 162 1.03 

10 Graham Packaging Co., 

Inc., Company Guaranteed 8.500 10/15/2012 7 0.05 

5 HCA, Inc., Senior 6.500 02/15/2016 3 0.02 

Unsecured 

10 HCA, Inc., Secured 144A * 9.625 11/15/2016 8 0.05 

5 Hertz Corp., Company 

Guaranteed 8.875 01/01/2014 4 0.02 

10 Idearc, Inc., Company 

Guaranteed 8.000 11/15/2016 7 0.05 

10 Intelsat Corp., Company 

Guaranteed 9.000 06/15/2016 7 0.05 

% of 




USD 

10 MGM Mirage, Company 

Guaranteed 7.625 01/15/2017 7 0.05 

5 NRG Energy, Inc., Company 

Guaranteed 7.250 02/01/2014 4 0.02 


Guaranteed 7.375 01/15/2017 4 0.02 

5 Pogo Producing Co., Senior 

Unsecured 6.625 03/15/2015 4 0.02 

10 Qwest Corp., Debentures 6.875 09/15/2033 7 0.04 


Bonds 6.750 06/15/2017 7 0.05 

10 SemGroup LP, Senior 

Notes 144A 8.750 11/15/2015 7 0.04 

5 Service Corp. International, 



65 SLM Corp., Notes 5.375 05/15/2014 41 0.26 

20 SLM Corp., Notes 5.050 11/14/2014 12 0.08 

5 Station Casinos, Inc., 


5 Steel Dynamics, Inc., Senior 

Notes 144A 6.750 04/01/2015 3 0.02 

10 Sungard Data Systems, 




10 TXU Corp., Series Q, 


75 TXU Corp., Series R, 

Unsecured 6.550 11/15/2034 44 0.28 

10 Ventas Realty LP/Ventas 

Capital Corp., Company 

Guaranteed 6.750 04/01/2017 7 0.05 

10 Visteon Corp., Senior 

Unsecured 8.250 08/01/2010 6 0.04 

10 Windstream Corp., 


522 3.33 

Total U.S. Denominated Bonds and Notes (Cost €714) 626 3.99 




USD 1,200 FNMA, 30 Year 

October TBA ** 5.000 10/15/2037 837 5.34 


September TBA ** 6.000 09/15/2037 660 4.21 

Total U.S. Government Agency Mortgage-Backed 

Securities (Cost €1,507) 1,497 9.55 

Foreign Corporate Bonds and Notes — 5.54% 

DKK 5 Nordea Kredit 

Realkreditaktieselskab, 

Mortgage Bonds 4.000 10/01/2038 — — 

1,831 Realkredit Danmark A/S, 

Series 23D, Mortgage 

Bonds 4.000 10/01/2038 217 1.39 


20




% of 




% of 




Foreign Corporate Bonds and Notes — (continued) 

GBP 60 Annington Finance No. 4, 

Series C1, Secured 8.070 01/10/2023 106 0.68 

6 BAT International Finance 



Guaranteed 6.375 12/12/2019 9 0.05 

15 Dignity Finance PLC, Series 

B, Secured 8.151 12/31/2030 28 0.18 

50 Irish Nationwide Building 

Society, European Medium 

Term Notes, Senior 

Unsubordinated 5.875 12/15/2008 74 0.47 

43 Royal & Sun Alliance 

Insurance Group, Company 

Guaranteed † 8.500 07/29/2049 67 0.43 

26 SL Finance PLC, Company 

Guaranteed † 6.750 07/12/2049 38 0.24 

50 Standard Life Funding BV, 


Notes, Bank Guaranteed † 6.140 12/29/2049 70 0.45 

33 TCNZ Finance Ltd., 



Guaranteed 6.125 12/12/2008 49 0.31 

18 TCNZ Finance Ltd., 


50 Telecom Italia S.p.A., 


10 United Kingdom Gilt, Bonds 5.000 09/07/2014 15 0.09 




Total Foreign Corporate Bonds and Notes (Cost €881) 869 5.54 

Government Securities — 53.00% 

EUR 401 Austria Government Bond, 

Bonds 3.500 07/15/2015 380 2.43 

261 Belgium Government Bond, 

Series 44, Notes 5.000 03/28/2035 276 1.76 

293 Bundesobligation, Series 

145, Bonds 3.500 10/09/2009 290 1.85 


147, Bonds 2.500 10/08/2010 286 1.83 

1,400 Bundesrepublic 

Deutschland, Series 00, 

Bonds 5.250 07/04/2010 1,443 9.20 



Bonds 4.250 01/04/2014 1,592 10.15 



Bonds 6.250 01/04/2024 95 0.60 

1,397 Bundesrepublik 


Bonds 5.250 01/04/2011 1,446 9.22 

210 Bundesrepublik 


Bonds 4.750 07/04/2034 217 1.38 

EUR 350 Bundesrepublik 


Bonds 4.000 01/04/2037 322 2.05 

100 Federal Republic of Brazil, 

Bonds 7.375 02/03/2015 111 0.71 

593 France Government Bond 

OAT, Bonds 5.000 10/25/2011 612 3.90 


OAT, Bonds 5.750 10/25/2032 375 2.39 


OAT, Bonds 4.750 04/25/2035 21 0.13 

100 Slovenia Government 



NOK 3,020 Norwegian Government 

Bond, Bonds 5.000 05/15/2015 386 2.46 

PLN 195 Poland Government Bond, 

Series 0509, Bonds 6.000 05/24/2009 52 0.33 

600 Poland Government Bond, 

Series 0922 5.750 09/23/2022 155 0.99 


Series 1013, Bonds 5.000 10/24/2013 65 0.42 


Series 1015, Bonds 6.250 10/24/2015 84 0.54 

Total Government Securities (Cost €8,543) 8,312 53.00 

Total Investments Excluding Options (Cost €15,867) 15,329 97.74 

Options — (0.20)% (Cost €0) 

— 3 Month Euribor September 2007, Call 95.50 (32) (0.20) 

Total Options (Cost €0) (32) (0.20) 

Total Investments (Cost €15,867) 15,297 97.54 

Other Assets in Excess of Liabilities 385 2.46 

Total Net Assets €15,682 100.00 




these securities amounted to €200,164 or 1.27% of net assets. 

* Payment in Kind Security 



August 31, 2007. 

— Amounts designated as "—" are either €0, less than €1,000 or less than 1,000 

shares. 


DKK - Danish Krone 

EUR - Euro 

GBP - British Pound Sterling 

NOK - Norwegian Krone 

PLN - Polish Zloty 

USD - United States Dollar 

TBA - To Be Announced 


21




ALL SECURITIES ARE TRANSFERABLE SECURITIES ADMITTED TO AN 

OFFICIAL EXCHANGE OR TRADED ON A REGULATED MARKET WITH THE 

EXCEPTION OF OPTIONS AND FUTURES, WHICH ARE FINANCIAL 

DERIVATIVES DEALT ON A REGULATED MARKET. 

% of Total 



Transferable securities admitted to an official exchange or traded 

on a regulated market 84.22% 

Financial Derivative Instruments (0.29)% 




Net 




(000’s) (000’s) (000’s) EUR EUR EUR EUR EUR Asset Value 

Euro-Bobl (DTB) September 2007 17 — 17 1,813 1,836 23 — 23 0.15 

Euro-Bund (DTB) September 2007 — (5) (5) (567) (569) — (2) (2) (0.01) 

90 Day Sterling December 2007 16 — 16 2,791 2,773 — (18) (18) (0.12) 

Sterling Long Gilt September 2007 — (6) (6) 963 950 — (13) (13) (0.08) 

Euro-Bund (DTB) December 2007 — (4) (4) (454) (453) 1 — 1 — 

Euro-Schatz (DTB) September 2007 12 — 12 1,231 1,240 9 — 9 0.06 

U.S. 10 Year Note December 2007 — (12) (12) (957) (961) — (4) (4) (0.02) 

U.S. 10 Year Note September 2007 — (3) (3) (237) (241) — (4) (4) (0.03) 

U.S. 5 Year Note (CBT) December 2007 — (19) (19) (1,483) (1,488) — (5) (5) (0.03) 

U.S. 5 Year Note (CBT) September 2007 — (2) (2) (154) (157) — (3) (3) (0.02) 

Total Market Value of Future Contracts €(6) €2,946 €2,930 €33 €(49) €(16) (0.10)% 


22




% of 



Value (000’s) % Date $ Value 

Asset-Backed Securities — 1.99% 

USD 411 ACE Securities Corp. † 5.605 06/25/2036 394 0.23 

44 Amortizing Residential 

Collateral Trust, Series 

2002-BC1M, Class A † 5.785 01/01/2032 42 0.02 

57 Bear Stearns Asset Backed 


2001-3, Class A1 † 5.955 10/27/2032 57 0.03 

15 Countrywide Asset-Backed 

Certificates, Series 2003-1, 

Class 3A † 5.845 06/25/2033 15 0.01 


Loan Trust, Series 2002-F, 

Class A † 5.961 11/15/2028 66 0.04 

15 Fleet Home Equity Loan 


A † 5.788 01/20/2033 14 0.01 

206 IXIS Real Estate Capital 

Trust † 5.565 08/25/2036 206 0.12 

223 Long Beach Mortgage Loan 

Trust † 5.555 05/25/2036 223 0.13 


Loan Trust † 5.655 03/25/2036 355 0.20 

489 RAAC Series 144A † 5.755 02/25/2037 471 0.27 

19 Residential Asset Mortgage 

Products, Inc., Series 

2003-RS2, Class AII † 5.845 03/25/2033 19 0.01 

183 Residential Funding 


RP2, Class A1 144A † 5.955 06/25/2033 177 0.10 

392 SACO I, Inc., Series 2006-5, 

Class 1A † 5.655 04/25/2036 334 0.19 


Class 2A3 † 5.685 06/25/2036 657 0.37 

448 SACO I, Inc. † 5.635 06/25/2036 396 0.23 

8 Sail Net Interest Margin 

Notes 144A 7.750 04/27/2033 — — 

58 Wachovia Asset 

Securitization, Inc., Series 

2002-HE2, Class A † 5.935 12/25/2032 57 0.03 

Total Asset-Backed Securities (Cost $3,765) 3,483 1.99 


USD 600 Banc of America 

Commercial Mortgage, 

Inc. † 5.372 09/10/2045 590 0.34 

57 Banc of America Mortgage 

Securities, Inc. † 4.708 04/25/2035 56 0.03 

78 Bear Stearns Adjustable 

Rate Mortgage Trust, 

Series 2004-4, Class A6 † 3.520 06/25/2034 77 0.04 

332 Commercial Mortgage Pass 




Trust † 5.727 05/20/2036 61 0.03 

108 Drexel Burnham 

Lambert CMO Trust, 

Series X, Class 3 zero coupon 12/01/2018 92 0.05 

57 GMAC Mortgage Corp. 

Loan Trust † 5.040 09/19/2035 57 0.03 

% of 




USD 951 Heller Financial 


Asset Corp., Series 

2000-PH1, Class A2 7.750 11/15/2009 987 0.56 



Securities Corp. † 5.814 06/12/2043 626 0.36 

119 JP Morgan Mortgage Trust † 4.970 08/25/2035 117 0.07 

68 Mastr Adjustable Rate 

Mortgages Trust † 4.845 01/25/2036 67 0.04 


Investors, Inc. † 4.529 12/25/2034 50 0.03 


Trust † 5.843 05/12/2039 272 0.16 


Loan Trust † 5.350 10/25/2034 31 0.02 


Mortgage Loan Trust † 5.200 01/25/2035 298 0.17 

114 WaMu Mortgage Pass 

Through Certificates † 4.919 08/25/2035 112 0.06 





56 Wells Fargo Mortgage 

Backed Securities Trust † 5.240 04/25/2036 56 0.03 

366 Zuni Mortgage Loan Trust † 5.635 06/25/2036 363 0.21 

Total Collateralised Mortgage-Backed Obligations (Cost $4,510) 4,423 2.52 


USD 70 Activant Solutions, Inc., 


99 AES Corp., Senior Notes 9.500 06/01/2009 102 0.06 


410 AES Corp., Senior 


105 Affinion Group, Inc., 


380 AIG SunAmerica Global 

Financing VI, Secured 144A 6.300 05/10/2011 392 0.22 

104 Airplanes Pass Through 

Trust, Series D, Company 

Guaranteed † * ** 10.875 03/15/2012 — — 

20 Alliance One International, 


55 Alliant Techsystems, Inc., 


75 Allied Security Escrow 


Guaranteed 11.375 07/15/2011 75 0.04 

180 Altria Group, Inc., Notes 7.000 11/04/2013 195 0.11 

60 AMC Entertainment, Inc., 


10 American Greetings Corp., 


50 American Tower Corp., 





23




% of 




% of 




U.S. Corporate Bonds and Notes — (continued) 

USD 145 Appleton Papers, Inc., 


Guaranteed 9.750 06/15/2014 146 0.08 

41 Ashtead Capital, Inc., 

Notes 144A 9.000 08/15/2016 41 0.02 

25 Ashton Woods USA 

LLC/Ashton Woods Finance 

Co., Company Guaranteed 9.500 10/01/2015 20 0.01 

30 Bank of America Corp., 


200 Bank of America Corp., 


100 Belden & Blake Corp., 

Secured 8.750 7/15/2012 100 0.06 

65 Blockbuster, Inc., Senior 


110 Boyd Gaming Corp., Senior 


35 Buffets, Inc., Company 

Guaranteed 12.500 11/01/2014 27 0.02 

50 Caesars Entertainment, 

Inc., Senior Subordinated 

Notes 8.875 09/15/2008 51 0.03 

25 Carrols Corp., Company 

Guaranteed 9.000 01/15/2013 24 0.01 

120 CCH I Holdings LLC, 


162 CCH I Holdings LLC/CCH I 

Holdings Capital Corp., 

Secured 11.000 10/01/2015 159 0.09 

26 CCH II LLC/CCH II Capital 


Guaranteed 10.250 10/01/2013 26 0.01 

55 CCM Merger, Inc., 

Notes 144A 8.000 08/01/2013 53 0.03 

2,070 CDX North America High 

Yield, Series 8-T1, Pass 

Through Certificates 144A 7.625 06/29/2012 1,946 1.11 

20 Charter Communications 

Holdings LLC/Charter 

Communications Holdings 

Capital Corp., Senior 

Unsecured 11.750 05/15/2011 19 0.01 





Unsecured 12.125 01/15/2012 19 0.01 



60 Cincinnati Bell, Inc., 






110 Cleveland Electric 

Illuminating Co., Senior 

Notes 144A 5.650 12/15/2013 109 0.06 

340 Comcast Cable 

Communications LLC, 



24 



Guaranteed 6.500 01/15/2015 309 0.18 


Guaranteed 6.500 01/15/2017 144 0.08 



Guaranteed 8.000 12/15/2016 43 0.02 

90 ConocoPhillips, Company 

Guaranteed 4.750 10/15/2012 88 0.05 

100 ConocoPhillips Holding Co., 

Senior Notes 6.950 04/15/2029 110 0.06 

12 Continental Airlines, Inc., 

Series 00-2, Pass Through 

Certificates 8.312 04/02/2011 12 0.01 



25 CSC Holdings, Inc., Series 

B, Senior Notes 8.125 07/15/2009 25 0.01 


B, Senior Unsecured 8.125 08/15/2009 50 0.03 

100 CSC Holdings, Inc., Senior 

Unsecured † 6.750 04/15/2012 95 0.05 

190 Daimler Finance North 

America LLC, Company 

Guaranteed 5.875 03/15/2011 192 0.11 

170 DaVita, Inc., Company 

Guaranteed 7.250 03/15/2015 167 0.09 

70 Devon Energy Corp., 


600 Devon Financing Corp. 

ULC, Company 

Guaranteed 6.875 09/30/2011 635 0.36 

32 Dex Media East LLC/Dex 

Media East Finance Co., 


100 Dex Media West LLC/Dex 

Media West Finance Co., 

Series B, Senior 

Unsecured 8.500 08/15/2010 101 0.06 

70 DI Finance/DynCorp 

International, Series B, 

Senior Subordinated Notes 9.500 02/15/2013 71 0.04 

25 Dole Food Co., Inc., 



Debentures 8.750 07/15/2013 143 0.08 




LLC, Senior Notes 5.625 11/30/2012 101 0.06 


Senior Notes 8.750 02/15/2012 91 0.05 

50 E*Trade Financial Corp., 




20 Education Management 

LLC/Education 

Management Corp., 

Company Guaranteed 8.750 06/01/2014 20 0.01




% of 




% of 





USD 25 Education Management 

LLC/Education 



75 El Paso Corp., Senior 

Unsecured 7.375 12/15/2012 77 0.04 

695 El Paso Corp., Medium 

Term Notes, Senior Notes 7.750 01/15/2032 692 0.39 

250 El Paso 

Performance-Linked Trust, 

Notes 144A 7.750 07/15/2011 256 0.15 

10 Electronic Data Systems 

Corp., Unsubordinated 

Notes 7.125 10/15/2009 10 0.01 

50 Enterprise Products 

Operating LP, Company 

Guaranteed † 8.375 08/01/2066 51 0.03 

20 EPL Finance Corp., 


175 Exco Resources, Inc., 

Secured 7.250 01/15/2011 176 0.10 

150 Exelon Corp., Bonds 5.625 06/15/2035 133 0.08 

15 Eye Care Centers of 

America, Company 

Guaranteed 10.750 02/15/2015 16 0.01 

335 FirstEnergy Corp., Series C, 


220 FNMA 5.200 11/08/2010 220 0.13 


Notes 7.000 10/01/2013 27 0.02 


Senior Notes 4.950 01/15/2008 369 0.21 


Senior Notes 9.875 08/10/2011 94 0.05 







2,670 Ford Motor Credit Co. LLC, 

Unsecured 7.375 10/28/2009 2,527 1.44 

60 Ford Motor Co., Debentures 8.875 01/15/2022 50 0.03 






Unsecured 8.375 04/01/2017 160 0.09 

35 Freescale Semiconductor, 

Inc., Senior Unsecured 8.875 12/15/2014 32 0.02 

75 FTD, Inc., Company 

Guaranteed 7.750 02/15/2014 70 0.04 


Debentures 8.250 07/15/2023 60 0.03 



50 Georgia Gulf Corp., 




114 Global Cash Acc/Finance, 


890 GMAC LLC, Notes 5.625 05/15/2009 828 0.47 

50 GMAC LLC, 6.875 08/28/2012 44 0.03 

Unsubordinated 

400 GMAC LLC, Notes 6.750 12/01/2014 339 0.19 

838 GMAC LLC, Bonds 8.000 11/01/2031 753 0.43 



190 Graphic Packaging 

International Corp., 


45 H&E Equipment Services, 


75 Hawaiian Telcom 

Communications, Inc., 


Guaranteed 12.500 05/01/2015 79 0.05 

10 HCA, Inc., Senior 6.300 10/01/2012 9 — 

Unsecured 

14 HCA, Inc., Senior 6.500 02/15/2016 11 0.01 

Unsecured 

220 HCA, Inc., Secured 144A *** 9.625 11/15/2016 227 0.13 

100 HCA, Inc., Debentures 8.360 04/15/2024 83 0.05 

150 Herbst Gaming, Inc., Senior 


25 Herbst Gaming, Inc., 



Guaranteed 10.500 01/01/2016 248 0.14 

190 Hess Corp., Unsecured 

Notes 6.650 08/15/2011 198 0.11 

90 Hess Corp., Notes 7.300 08/15/2031 98 0.06 

120 Household Finance Corp., 

Senior Unsubordinated 

Notes 7.000 05/15/2012 127 0.07 

20 Huntsman International 

LLC, Company 

Guaranteed † 7.875 11/15/2014 21 0.01 


Guaranteed 8.000 11/15/2016 30 0.02 

75 Inn of the Mountain Gods 

Resort & Casino, Company 

Guaranteed 12.000 11/15/2010 79 0.04 


Guaranteed 9.000 08/15/2014 30 0.02 

125 Interface, Inc., Senior Notes 10.375 02/01/2010 129 0.07 

25 Interface, Inc., Company 

Guaranteed 9.500 02/01/2014 26 0.01 

35 International Coal Group, 


30 ION Media Networks, Inc., 

Series A, Senior 



Secured 144A † 11.610 01/15/2013 10 0.01 

200 JPMorgan Chase & Co., 


25




% of 




% of 





USD 250 JPMorgan Chase & Co., 


30 JPMorgan Chase & Co., 


45 K Hovnanian Enterprises, 

Inc., Senior Notes 8.625 01/15/2017 36 0.02 

50 Kansas City Southern 

Railway, Company 

Guaranteed 7.500 06/15/2009 50 0.03 

230 Kerr-McGee Corp., Secured 6.950 07/01/2024 240 0.14 

85 Keystone Automotive 

Operations, Inc., Senior 


15 Kimball Hill, Inc., Company 

Guaranteed 10.500 12/15/2012 11 0.01 

520 Kraft Foods, Inc., Notes 4.125 11/12/2009 510 0.29 

110 L-3 Communications Corp., 


100 Lamar Media Corp., 


150 Las Vegas Sands Corp., 


95 Leiner Health Products, 


10 Level 3 Financing, Inc., 


60 Levi Strauss & Co., Senior 


25 Lyondell Chemical Co., 




25 Mandalay Resort Group, 

Senior Subordinated 

Debentures 7.625 07/15/2013 25 0.01 

55 Mariner Energy, Inc., 


110 Metals USA, Inc., Secured 11.125 12/01/2015 117 0.07 


Guaranteed 8.375 02/01/2011 51 0.03 

50 MGM Mirage, Senior Notes 6.750 09/01/2012 49 0.03 


Guaranteed 7.625 01/15/2017 50 0.03 

10 Milacron Escrow Corp., 

Secured 11.500 05/15/2011 10 0.01 

160 Mirant North America LLC, 


70 Neiman-Marcus Group, 


105 Newpage Corp., Company 

Guaranteed † 11.606 05/01/2012 111 0.06 


Guaranteed 12.000 05/01/2013 16 0.01 

85 Norcraft Cos. LP/Norcraft 

Finance Corp., Company 

Guaranteed 9.000 11/01/2011 85 0.05 

25 Norcraft Holdings 

LP/Norcraft Capital 

Corp., Senior 

Discount Notes zero coupon 09/01/2012 22 0.01 


26 



Guaranteed 7.250 02/01/2014 74 0.04 


Guaranteed 7.375 02/01/2016 252 0.14 

125 NTK Holdings, Inc., 

Senior Discount 


100 Ocwen Capital Trust I, 


115 Orion Power Holdings, Inc., 


40 Oxford Industries, Inc., 


80 Penhall International Corp., 

Secured 144A 12.000 08/01/2014 83 0.05 

15 Pinnacle Entertainment, 


35 Plastipak Holdings, Inc., 

Senior Notes 144A 8.500 12/15/2015 36 0.02 

25 Pride International, Inc., 


160 Qwest Communications 

International, Inc., Series B, 


160 Qwest Corp., Notes † 8.875 03/15/2012 173 0.10 

75 Radnor Holdings Corp., 

Senior Notes † 11.000 03/15/2010 — — 

50 Realogy Corp., Senior 


40 Rental Service Corp., 

Bonds 144A 9.500 12/01/2014 39 0.02 



75 RH Donnelley Corp., Series 

A-3, Senior Notes 8.875 01/15/2016 77 0.04 

25 RH Donnelley, Inc., Series 

A-3, Company Guaranteed 10.875 12/15/2012 27 0.01 

10 The River Rock 

Entertainment Authority, 

Secured 9.750 11/01/2011 10 0.01 

120 Rural Cellular Corp., Senior 

Notes 9.875 02/01/2010 124 0.07 

50 Rural Cellular Corp., 

Secured 8.250 03/15/2012 52 0.03 

5 Sbarro, Inc., Senior 

Unsecured 10.375 02/01/2015 4 — 

60 Sealed Air Corp., 6.950 05/15/2009 62 0.04 

Notes 144A 


Notes 144A 8.750 11/15/2015 101 0.06 


Debentures 7.875 02/01/2013 46 0.03 

5 SESI LLC, Company 

Guaranteed 6.875 06/01/2014 5 — 

75 Simmons Co., Company 

Guaranteed 7.875 01/15/2014 70 0.04 


430 SLM Corp., Notes 5.375 05/15/2014 368 0.21 

160 SLM Corp., Notes 5.050 11/14/2014 134 0.08




% of 




% of 





USD 60 SLM Corp., Notes 5.625 08/01/2033 48 0.03 

75 Smurfit-Stone Container 

Enterprises, Inc., Senior 

Notes 8.375 07/01/2012 74 0.04 

15 Snoqualmie Entertainment 

Authority, Senior 

Notes 144A † 9.063 02/01/2014 15 0.01 


Authority, Secured 144A 9.125 02/01/2015 10 0.01 

180 Sonat, Inc., Notes 7.625 07/15/2011 184 0.10 



55 Stone Energy Corp., Senior 


105 Suburban Propane Partners 

LP/Suburban Energy 

Finance Corp., Senior 

Notes 6.875 12/15/2013 100 0.06 











45 Tube City IMS Corp., 


175 Turning Stone Resort 

Casino Enterprise, Senior 

Notes 144A 9.125 12/15/2010 177 0.10 

70 TXU Corp., Series P, Senior 

Unsecured 5.550 11/15/2014 57 0.03 




Unsecured 6.550 11/15/2034 411 0.23 

19 United AirLines, Inc., Series 


Certificates 8.030 07/01/2011 22 0.01 

39 United Airlines, Inc., Series 


Certificates 7.811 10/01/2009 46 0.03 



Certificates 6.831 09/01/2008 46 0.03 

90 Vanguard Health Holding 

Co. II LLC, Senior 




Guaranteed 6.500 06/01/2016 24 0.01 



Guaranteed 6.750 04/01/2017 49 0.03 


Corp., Notes 7.250 12/01/2010 174 0.10 

USD 170 Verizon Global Funding 

Corp., Senior Unsecured 6.875 06/15/2012 180 0.10 


Corp., Senior Unsecured 

Notes 7.375 09/01/2012 65 0.04 

35 Verso Paper Holdings LLC 

& Verso Paper, Inc., Series 

B, Company Guaranteed 11.375 08/01/2016 36 0.02 


Unsecured 8.250 08/01/2010 68 0.04 

240 Wachovia Corp., 



Senior Notes 7.375 08/01/2010 295 0.17 

90 Wells Fargo Bank NA, 


100 Wells Fargo Co., Senior 

Unsecured 5.300 08/26/2011 100 0.06 

20 Westlake Chemical Corp., 


180 Weyerhauser Co., Notes 6.750 03/15/2012 186 0.11 

25 Whiting Petroleum Corp., 


100 Williams Cos., Inc., Senior 

Notes 7.625 07/15/2019 106 0.06 

425 Williams Cos., Inc., Notes 8.750 03/15/2032 483 0.28 



30 Xm Satellite Radio, Inc., 





Notes 7.500 04/15/2012 104 0.06 


Foreign Bonds and Notes — 19.30% 

Australian Dollar Bonds — 2.02% 

AUD 4,400 Queensland Treasury 

Corp., Series 11G, Local 

Government Guaranteed 6.000 06/14/2011 3,532 2.02 

British Pound Sterling Bonds — 1.55% 

GBP 139 Brake Bros Finance PLC, 


75 Constellation Brands, Inc., 

Senior Notes 8.500 11/15/2009 153 0.09 

190 First Hydro Finance PLC, 


140 HCA, Inc., Senior Notes 8.750 11/01/2010 287 0.16 

190 Pipe Holding PLC, Senior 

Unsecured Note 9.750 11/01/2013 395 0.22 


Series EMTN, Bank 

Guaranteed 7.125 12/21/2009 476 0.27 




27




% of 




% of 




Foreign Bonds and Notes — (continued) 

British Pound Sterling Bonds — (continued) 

GBP 102 United Kingdom Treasury, 

Bonds 5.000 03/07/2012 204 0.12 

130 Virgin Media Finance PLC, 


2,721 1.55 

Danish Krone Bonds — 2.40% 

DKK13,076 Nordea Kredit 


Mortgage Bonds 4.000 10/01/2038 2,124 1.21 

12,876 Nykredit Realkredit A/S, 


4,210 2.40 

Euro Bonds — 6.61% 

EUR 420 Akerys Holdings S.A., 


197 Ardagh Glass Finance PLC, 

Bonds 7.125 06/15/2017 231 0.13 

400 Banco Bradesco S.A., 

Series EMTN, European 

Medium Term Note, 


70 Belvedere S.A., Company 

Guaranteed † 7.756 05/15/2013 94 0.05 



100 Carlson Wagonlit BV, 

Senior Notes † 10.002 05/01/2015 139 0.08 

40 Central European 

Distribution Corp., Secured 

Notes 8.000 07/25/2012 55 0.03 

200 CEVA Group PLC, 




134 Cirsa Finance Luxembourg 


82 Clondalkin Acquisition BV, 

Secured † 6.145 12/15/2013 107 0.06 

240 Clondalkin Industries BV, 


387 Corral Finans AB † 5.709 04/15/2010 493 0.28 

288 Edcon Holdings Property 

Ltd., Secured † 9.645 06/15/2015 336 0.19 






94 Europcar Groupe S.A., 

Senior Subordinated 8.125 05/15/2014 124 0.07 

300 FS Funding A/S, Secured 

Notes 8.875 05/15/2016 425 0.24 

520 General Motors Corp. 8.375 07/05/2033 570 0.33 



340 GMAC LLC, Company 

Guaranteed 4.750 09/14/2009 414 0.24 


EUR 106 Hayes Lemmerz Finance 

Luxembourg S.A., Company 

Guaranteed 8.250 06/15/2015 144 0.08 

360 Hellas Telecommunications 

Luxembourg II, 


86 Impress Holdings BV, 

Secured Notes † 7.334 09/15/2013 117 0.07 



170 JSG Funding PLC, Senior 


390 Lecta S.A., Company 

Guaranteed † 7.131 02/15/2014 497 0.28 



245 Lottomatica S.p.A., 

Subordinated † 8.250 03/31/2066 340 0.19 



180 M-Real Oyj, Senior Notes † 8.270 12/15/2010 236 0.13 



320 NXP BV/NXP Funding LLC, 

Bonds 8.625 10/15/2015 362 0.21 

143 OI European Group BV, 


71 Peermont Global Ltd., 

Secured 7.750 04/30/2014 89 0.05 

100 Pfleiderer Finance BV, 


130 SLM Corp., Series EMTN, 

Unsecured 4.750 03/17/2014 151 0.09 

174 TRW Automotive, Inc. 6.375 03/15/2014 218 0.13 

345 UPC Holding BV, Secured 7.750 01/15/2014 444 0.25 

197 VAC Finanzierung GmbH, 


180 Waterford Wedgwood PLC, 


103 WDAC Subsidiary Corp., 

Senior Notes 8.500 12/01/2014 135 0.08 

115 Zlomrex International 

Finance, Company 

Guaranteed 8.500 02/01/2014 144 0.08 

11,574 6.61 

Hungarian Forint Bond — 3.37% 

HUF 595,000 Hungary Government Bond, 

Series 09/C, Bonds 7.000 06/24/2009 3,146 1.79 

560,000 Hungary Government Bond, 

Series 14/C 5.500 02/12/2014 2,762 1.58 

5,908 3.37 

Israeli Shekel Bond — 1.06% 

ILS 7,375 Israel Government Bond— 

Shahar, Series 2683 6.500 01/31/2016 1,860 1.06 

28




% of 




% of 





Mexican Government Bonds (Bondes) — 2.29% 

MXN 43,870 Mexican Bonos, Series MI10 8.000 12/19/2013 4,011 2.29 

Total Foreign Bonds and Notes (Cost $33,828) 33,816 19.30 


USD 20 Abitibi-Consolidated Co. of 

Canada, Company 

Guaranteed 6.000 06/20/2013 15 0.01 


15 Ainsworth Lumber Co. Ltd., 


100 Basell AF SCA, Company 

Guaranteed 144A 8.375 08/15/2015 89 0.05 

30 Cie Generale de 

Geophysique-Veritas, 


390 Conoco Funding Co., 




Senior Notes 5.750 03/23/2016 98 0.06 


Senior Notes 144A 6.212 11/22/2016 173 0.10 

300 General Motors Nova Scotia 

Finance Co., Company 

Guaranteed 6.850 10/15/2008 293 0.17 

140 Glitnir Banki HF, Notes 144A 6.330 07/28/2011 145 0.08 

420 Glitnir Banki HF, 


50 GT Group Telecom, Inc., 

Senior Discount Notes * ** 13.250 02/01/2010 — — 

750 HSBK Europe BV, Bank 

Guaranteed 144A 7.250 05/03/2017 684 0.39 

340 ICICI Bank Ltd., 6.375 04/30/2022 318 0.18 

Unsecured † 

40 Intelsat Bermuda Ltd., 


10 Kansas City Southern de 

Mexico S.A. de CV, Senior 

Notes 144A 7.625 12/01/2013 10 0.01 


Notes 144A † 6.050 04/12/2011 333 0.19 

417 Kuznetski Capital for Bank 

of Moscow 6.807 05/10/2017 395 0.23 

280 Landsbanki Islands HF, 

Notes 144A 6.100 08/25/2011 289 0.16 

75 Methanex Corp., Senior 

Unsecured 8.750 08/15/2012 80 0.05 

30 Montell Finance Co. BV, 



Holdings ApS, Secured 

Notes 144A 8.875 05/01/2016 21 0.01 

25 Novelis, Inc., Company 

Guaranteed † 7.250 02/15/2015 24 0.01 


Secured 7.875 10/15/2014 41 0.02 

USD 15 NXP BV/NXP Funding LLC, 


30 OPTI Canada, Inc., 


30 Quebecor Media, Inc., 

Senior Notes 7.750 03/15/2016 29 0.02 

425 Region of Lombardy Italy 5.804 10/25/2032 434 0.25 

100 Resona Preferred Global 

Securities Cayman Ltd., 

Bonds 144A † 7.191 Perpetual 101 0.06 

40 Rogers Wireless, Inc., 


284 Systems 2001 Asset Trust 



450 TNK-BP Finance S.A., 
















320 United Utilities PLC, Notes 6.450 04/01/2008 321 0.18 







Total U.S. Denominated Bonds and Notes (Cost $7,422) 7,230 4.13 



USD 135 Canadian Government 

Bond, Bonds 4.000 12/01/2031 157 0.09 


USD 230 Gaz Capital for Gazprom, 



USD 720 RSHB Capital S.A. for 

OJSC Russian Agricultural 

Bank, Subordinated Notes † 6.970 09/21/2016 705 0.40 

Total U.S. Denominated Debt Obligations (Cost $1,091) 1,084 0.62 



USD 210 FNMA 6.625 09/15/2009 217 0.12 


29




% of 




% of 




U.S. Government Agency Obligations — (continued) 


USD 3 GNMA, Pool #1849 8.500 08/20/2024 3 — 

5 GNMA, Pool #489977 6.500 10/15/2028 5 — 

32 GNMA, Pool #488246 6.500 06/15/2029 33 0.02 

66 GNMA, Pool #483396 6.500 07/15/2029 67 0.04 

2 GNMA, Pool #518316 7.000 12/15/2030 3 — 

27 GNMA, Pool #583599 8.000 05/15/2032 29 0.02 

140 0.08 

Total U.S. Government Agency Obligations (Cost $358) 357 0.20 

U.S. Government Agency Mortgage-Backed Securities — 37.77% 


USD 96 FHLMC Corp., Series 140, 

Class B 9.500 09/01/2021 22 0.01 

2 FHLMC Corp., Pool 

#E00870 7.000 08/01/2015 2 — 


#E82313 7.000 01/01/2016 3 — 


#E00968 7.000 03/01/2016 18 0.01 


#C59558 6.500 10/01/2031 5 — 


#C62049 6.500 11/01/2031 6 0.01 


#C61643 6.500 12/01/2031 471 0.27 

474 FHLMC Gold, Pool 

#A51601, FGLMC 5.000 08/01/2036 452 0.26 

979 0.56 


USD 8 FNMA, Pool #580137 6.500 05/01/2016 8 — 

103 FNMA, Pool #589481 5.500 07/01/2016 102 0.06 

27 FNMA, Pool #599789 6.500 08/01/2016 28 0.02 

9 FNMA, Pool #597049 6.500 09/01/2016 9 0.01 

55 FNMA, Pool #615013 6.500 12/01/2016 57 0.03 

53 FNMA, Pool #254142 6.500 01/01/2017 55 0.03 

960 FNMA, Pool #811499 5.000 09/01/2020 938 0.54 

26 FNMA, Pool #850294 5.000 12/01/2020 25 0.01 

35 FNMA, Pool #850779 5.000 01/01/2021 34 0.02 

472 FNMA, Pool #256105 5.500 02/01/2021 469 0.27 

39 FNMA, Pool #896644 5.000 03/01/2021 38 0.02 

56 FNMA, Pool #847844 5.000 04/01/2021 54 0.03 

541 FNMA, Pool #883132 5.500 04/01/2021 538 0.31 

1,375 FNMA, Pool #896085 5.000 05/01/2021 1,342 0.77 

976 FNMA, Pool #881537 5.500 05/01/2021 971 0.55 

1,175 FNMA, Pool #885510 5.000 06/01/2021 1,147 0.65 

590 FNMA, Pool #881911 5.500 06/01/2021 586 0.33 

941 FNMA, Pool #831651 5.500 07/01/2021 936 0.53 

246 FNMA, Pool #896597 5.000 08/01/2021 241 0.14 

805 FNMA, Pool #256397 5.500 09/01/2021 800 0.46 

376 FNMA, Pool #903701 5.500 10/01/2021 374 0.21 

USD 296 FNMA, Pool #907306 5.500 02/01/2022 295 0.17 

588 FNMA, Pool #918552 5.000 06/01/2022 574 0.33 

620 FNMA, Pool #366094 6.000 09/01/2025 623 0.36 

1 FNMA, Pool #443272 6.500 09/01/2028 1 — 

25 FNMA, Pool #527250 7.000 11/01/2029 26 0.02 

6 FNMA, Pool #535159 7.000 02/01/2030 6 — 

3 FNMA, Pool #568866 7.500 01/01/2031 3 — 

52 FNMA, Pool #585629 6.000 05/01/2031 52 0.03 

50 FNMA, Pool #576864 6.500 05/01/2031 51 0.03 

234 FNMA, Pool #592273 6.000 06/01/2031 235 0.13 

3 FNMA, Pool #582665 7.500 06/01/2031 3 — 

100 FNMA, Pool #581864 6.500 07/01/2031 102 0.06 

17 FNMA, Pool #605525 7.000 07/01/2031 17 0.01 

56 FNMA, Pool #587907 7.500 07/01/2031 59 0.03 

219 FNMA, Pool #591159 6.000 08/01/2031 219 0.13 

17 FNMA, Pool #592826 6.500 08/01/2031 17 0.01 

44 FNMA, Pool #605858 6.500 09/01/2031 45 0.03 

60 FNMA, Pool #601140 7.000 09/01/2031 63 0.04 

12 FNMA, Pool #610437 6.500 10/01/2031 13 0.01 

7 FNMA, Pool #254008 7.000 10/01/2031 7 — 

21 FNMA, Pool #607769 6.500 11/01/2031 21 0.01 

43 FNMA, Pool #621634 6.500 01/01/2032 44 0.03 

97 FNMA, Pool #632553 6.500 02/01/2032 99 0.06 

9,827 FNMA, Pool #745563 5.500 08/01/2034 9,598 5.48 

10,184 FNMA, Pool #893365 5.000 07/01/2035 9,679 5.52 

37 FNMA, Pool #817685 6.000 11/01/2035 37 0.02 

368 FNMA, Pool #745275 5.000 02/01/2036 351 0.20 

177 FNMA, Pool #745355 5.000 03/01/2036 168 0.10 

740 FNMA, Pool #852644 6.000 03/01/2036 739 0.42 

54 FNMA, Pool #879815 6.000 04/01/2036 54 0.03 

23 FNMA, Pool #852911 6.500 04/01/2036 23 0.01 

1,595 FNMA, Pool #885837 6.000 06/01/2036 1,593 0.91 

2,935 FNMA, Pool #896247 6.000 07/01/2036 2,932 1.67 

522 FNMA, Pool #887278 6.500 07/01/2036 530 0.30 

2,713 FNMA, Pool #894807 6.000 08/01/2036 2,710 1.55 

996 FNMA, Pool #897773 6.000 09/01/2036 994 0.57 

368 FNMA, Pool #903861 6.000 10/01/2036 368 0.21 

128 FNMA, Pool #903974 6.000 11/01/2036 128 0.07 

1,975 FNMA, Pool #906238 5.000 01/01/2037 1,877 1.07 

755 FNMA, Pool #256749 6.000 01/06/2037 754 0.43 

2,966 FNMA, Pool #912417 5.000 02/01/2037 2,819 1.61 

2,987 FNMA, Pool #912704 5.000 03/01/2037 2,839 1.62 

244 FNMA, Pool #918806 6.000 03/01/2037 244 0.14 

1,736 FNMA, Pool #256647 6.500 03/01/2037 1,762 1.01 

985 FNMA, Pool #899146 5.000 04/01/2037 936 0.53 

795 FNMA, Pool #938502 5.000 05/01/2037 756 0.43 

502 FNMA, Pool #916307 6.000 05/01/2037 501 0.29 


30




% of 




% of 




U.S. Government Agency Mortgage-Backed Securities — (continued) 

Federal National Mortgage Association (FNMA) — (continued) 

3,046 FNMA, Pool #891272 6.500 09/01/2037 3,092 1.76 

991 FNMA, Pool #871010 5.000 12/01/2037 942 0.54 

3,926 FNMA, Pool #888030 † 5.500 12/01/2037 3,836 2.19 

61,589 35.16 


USD 106 GNMA, Series 2003-12IN * 5.500 02/16/2028 2 — 

10 GNMA, Pool #486470 6.500 08/15/2028 10 0.01 

16 GNMA, Pool #486516 6.500 09/15/2028 16 0.01 

20 GNMA, Pool #781001 7.500 03/15/2029 21 0.01 

711 GNMA, Pool #613030 5.000 08/15/2033 685 0.39 

466 GNMA, Pool #652545 5.500 05/15/2036 458 0.26 

395 GNMA, Pool #654816 6.000 06/15/2036 397 0.23 

72 GNMA, Pool #620298 6.500 07/15/2036 74 0.04 

1,924 GNMA, Pool #657635 6.000 08/15/2036 1,933 1.10 

3,596 2.05 

Total U.S. Government Agency Mortgage — 

Backed Securities (Cost $66,306) 66,164 37.77 



USD 430 U.S. Treasury Bond 3.875 02/15/2013 421 0.24 




1,510 U.S. Treasury Inflationary 

Index Bond + 3.000 07/15/2012 1,806 1.03 


Index Bond + 1.875 07/15/2015 62 0.04 


Index Bond + 2.000 01/15/2016 1,802 1.03 


Index Bond + 2.500 07/15/2016 803 0.46 


Index Bond + 2.000 01/15/2026 384 0.22 


Index Bond + 3.875 04/15/2029 3,243 1.85 

8,738 4.99 


USD 210 U.S. Treasury Note 6.250 05/15/2030 250 0.14 


Collective Investment Scheme — 9.52% (Cost $17,066) 

100 Citibond U.S. High Yield Fund, Class M 16,684 9.52 

Warrants — 0.00% (Cost $0) 

— Cybernet Internet Services International, Inc., 

expiring July, 2009 ** — — 

— GT Group Telecom, Inc., expiring February, 

2010 144A * ** — — 

— IWO Holdings, Inc., expiring January, 

2011 144A * ** — — 

— Merrill Corp., expiring May, 2009 144A ** — — 

Common Stock — 0.00% 

2 Aurora Foods, Inc. * ** — — 

61 Home Interiors and Gifts, Inc. 144A * ** 1 — 

— ION Media Networks, Inc., Series B — — 

— McLeod USA, Inc., Class A ** — — 

Total Common Stock (Cost $1) 1 — 


Contracts 

Options — (0.01)% 


1 90 day Sterling December 2007, Call 95.00 (130) (0.07) 

— 90 day Sterling March 2008, Call 93.75 (32) (0.02) 


2,800 Otc Asian Em February 2008, Call 76 0.04 

7,200 Otc USD/JPY October 2007, Call 116.55 168 0.10 

Total Options (Cost $174) (25) (0.01) 





1933, as amended. These securities may only be resold, in transactions exempt 

from registration, to qualified institutional buyers. At August 31, 2007, these 

securities amounted to $7,989,752 or 4.57% of net assets. 

* Illiquid 

** Securitiy is valued in good faith at fair value by or at the discretion of the 

Investment Manager. 

*** Payment in Kind Security 

+ The rate of interest on this type of security is tied to the Consumer Price Index 



August 31, 2007. 

— Amounts designated as "—" are either $0, less than $1,000 or less than 1,000 

shares. 


AUD - Australian Dollar 

DKK - Danish Krone 

EUR - Euro 

GBP - British Pound Sterling 

HUF - Hungarian Forint 

ILS - Israeli Shekel 

MXN - Mexican Peso 

USD - United States Dollar 

TIPS - Treasury Inflation Protected Security 

ALL SECURITIES ARE TRANSFERABLE SECURITIES ADMITTED TO AN OFFICAL EXCHANGE OR 

TRADED ON A REGULATED MARKET WITH THE EXCEPTION OF OPTIONS AND FUTURES, 

WHICH ARE FINANCIAL DERIVATIVES 

DEALT ON A REGULATED MARKET. 

% of Total 




instruments admitted to an official exchange 


Financial Derivative Instruments 0.49% 




31





Net 





90 Day Euro$ December 2007 70 — 70 16,653 16,636 — (17) (17) (0.01) 

90 Day Euro$ June 2008 123 — 123 29,146 29,349 203 — 203 0.12 

90 Day Euro$ March 2008 58 — 58 13,809 13,827 18 — 18 0.01 

U.S. 10 Year Note December 2007 — (246) (246) (26,722) (26,826) — (104) (104) (0.06) 

U.S. 10 Year Note September 2007 — (62) (62) (6,609) (6,788) — (179) (179) (0.10) 

U.S. Long Bond (CBT) December 2007 3 — 3 333 335 2 — 2 — 

Euro-Bobl (DTB) September 2007 — (18) (18) (2,611) (2,649) — (38) (38) (0.02) 

Euro-Bund (DTB) September 2007 15 — 15 2,283 2,325 42 — 42 0.02 

Total Market Value of Future Contracts (57) $26,282 $26,209 $265 $(338) $(73) (0.04)% 


Unrealised 


Buy/Sell Expiration Amount (Depreciation) 

Counterparty Reference Entity Protection Pay/Receive Date (000’s) (000’s) 

Goldman Sachs Countrywide Home Loans, Inc. Buy 0.60% 06/20/12 710 $ (60) 

4.000% due 03/22/2011 

Goldman Sachs Countrywide Home Loans, Inc. Buy 0.72% 06/20/12 360 (29) 

4.000% due 03/22/2011 

Goldman Sachs Banca per Il Leasing Italease Buy 0.60% 06/20/10 487 (18) 

4.609% due 02/08/2012 


4.609% due 02/08/2012 

Goldman Sachs BASF AG Buy 0.16% 09/20/12 1,447 1 

3.500% due 07/08/2010 

Goldman Sachs ENI Buy 0.07% 09/20/12 1,447 3 

4.625% due 04/30/2013 

Goldman Sachs GIE PSA Tersorerie Buy 0.20% 09/20/12 805 9 

5.875% due 09/27/2011 

Goldman Sachs Nell AF S.A. Buy 3.85% 09/20/12 471 (37) 

8.375% due 08/15/2015 

Goldman Sachs Renault S.A. Buy 0.21% 09/20/12 805 10 

4.625% due 05/28/2010 

Goldman Sachs Rolls Royce Buy 0.15% 06/20/12 1,475 10 

4.500% due 03/16/2011 

Goldman Sachs Stora Enso OYJ, Senior Note Buy 0.90% 09/20/12 953 (2) 

7.375% due 05/15/2011 

Goldman Sachs Unilever Capital Corp. Buy 0.19% 06/20/12 1,475 2 

7.125% due 11/01/2010 

Goldman Sachs Vattenfall Treasury AB Buy 0.09% 09/20/12 1,447 10 

6.000% due 03/31/2010 

$ (109) 


32




% of 





USD 82 BlackRock Capital Finance 

LP, Series 1996-R1, Class 

B3 † * 9.559 09/25/2026 51 0.01 

22 OCWEN Residential MBS 

Corporation, Series 

1998-R1, Class B4 * *** 7.000 10/25/2040 1 — 

Total Collateralised Mortgage-Backed Obligations (Cost $66) 

52 0.01 


Argentina Government Issues — 0.38% 

ARS 4,020 Republic of Argentina, 

Bonds † 2.000 01/03/2010 1,484 0.38 

32 Republic of Argentina, 

Notes † 5.830 12/31/2033 10 — 

1,494 0.38 

Australian Dollar Bonds — 0.95% 

AUD 4,650 Queensland Treasury 



Brazil Government Issues — 3.27% 

BRL 12,150 Republic of Brazil zero coupon 07/01/2008 5,665 1.44 

7,980 Republic of Brazil zero coupon 01/02/2009 3,508 0.89 

7,460 Republic of Brazil 9.810 07/02/2010 3,696 0.94 

12,869 3.27 

British Pound Sterling Bonds — 1.92% 

GBP 190 AES Corp. 8.375 03/01/2011 387 0.10 

50 Anglo Irish Asset Finance 

PLC, Bank Guaranteed † 7.625 07/23/2027 108 0.03 

240 Annington Finance No. 4, 

Series C1, Secured 8.070 01/10/2023 580 0.15 

92 Brake Bros Finance PLC, 


98 BUPA Finance PLC, 


20 Dignity Finance PLC, Series 

B, Secured 8.151 12/31/2030 50 0.01 

310 First Hydro Finance PLC, 


480 HCA, Inc., Senior Notes 8.750 11/01/2010 982 0.25 

50 Irish Nationwide Building 

Society, Senior 


360 Pipe Holding PLC, Senior 

Unsecured Note 9.750 11/01/2013 748 0.19 

150 Resona Bank Ltd., Series 

EMTN, Subordinated 

Notes † 5.986 09/01/2049 296 0.07 

294 Royal & Sun Alliance 

Insurance Group, Company 

Guaranteed † 8.500 07/29/2049 628 0.16 


Series EMTN, Bank 

Guaranteed 7.125 12/21/2009 1,238 0.31 



% of 




GBP 237 United Kingdom Treasury, 

Bonds 5.000 03/07/2012 475 0.12 



7,581 1.92 

Danish Krone Bonds — 2.66% 

DKK 8,656 Nordea Kredit 



56,077 Nykredit Realkredit A/S, 


10,492 2.66 

Euro Bonds — 10.29% 

EUR 870 Akerys Holdings S.A., 

Company Guaranteed † 7.471 08/01/2014 1,090 0.28 

551 Ardagh Glass Finance PLC, 

Bonds 7.125 06/15/2017 647 0.16 

920 AXA S.A., Series EMTN, 

Junior Subordinated † 5.777 07/06/2049 1,230 0.31 

860 Banca Popolare di Lodi 

Investors Trust III, Company 

Guaranteed † 6.742 Perpetual 1,192 0.30 

250 Banco Bradesco S.A., 

Series EMTN, 

Subordinated 8.000 04/15/2014 383 0.10 

960 Banque Federative du 

Credit Mutuel, Series 

EMTN, Subordinated 

Notes † 4.471 Perpetual 1,182 0.30 

590 Basell AF SCA, Secured 8.375 08/15/2015 731 0.19 




144 3.250 04/17/2009 126 0.03 



Bonds 5.500 01/04/2031 187 0.05 



Bonds 5.000 01/04/2012 10 — 



Bonds 4.500 01/04/2013 154 0.04 



Bonds 4.250 01/04/2014 193 0.05 



Bonds 4.125 07/04/2008 95 0.02 



Bonds 5.375 01/04/2010 56 0.01 

190 Carlson Wagonlit BV, 

Senior Notes † 10.002 05/01/2015 265 0.07 

558 CEVA Group PLC, 


277 Cirsa Finance Luxembourg 



33




% of 





Euro Bonds — (continued) 

EUR 235 Clondalkin Acquisition BV, 

Secured † 6.145 12/15/2013 307 0.08 

514 Clondalkin Industries BV, 


1,000 Commerzbank Capital 

Funding Trust I, Bank 


1,043 Corral Finans AB † 5.709 04/15/2010 1,329 0.34 

1,000 Deutsche Postbank Funding 

Trust IV, Subordinated † 5.983 06/29/2049 1,308 0.33 

809 Edcon Holdings Property 

Ltd., Secured † 9.645 06/15/2015 945 0.24 






950 ELM BV for Swiss 

Reinsurance Co., 

Secured † 5.252 Perpetual 1,224 0.31 

263 Europcar Groupe S.A., 


810 FS Funding A/S, Secured 8.875 05/15/2016 1,148 0.29 

1,700 General Motors Corp. 8.375 07/05/2033 1,864 0.47 



760 GMAC LLC, Company 

Guaranteed 4.750 09/14/2009 926 0.24 

293 Hayes Lemmerz Finance 

Luxembourg S.A., Company 

Guaranteed 8.250 06/15/2015 399 0.10 

910 Hellas Telecommunications 

Luxembourg II, 

Subordinated Notes † 10.209 01/15/2015 1,189 0.30 

153 HTCC Holdco II BV, 

Secured † 7.252 02/01/2013 201 0.05 


Secured † 7.334 09/15/2013 268 0.07 



420 JSG Funding PLC, Senior 


1,033 Lecta S.A., Company 

Guaranteed † 7.131 02/15/2014 1,316 0.33 



530 Lottomatica S.p.A., 

Subordinated † 8.250 03/31/2066 736 0.19 



510 M-Real Oyj, Senior Notes † 8.270 12/15/2010 667 0.17 

990 MUFG Capital Finance 2 

Ltd., Bank Guaranteed † 4.850 12/31/2049 1,209 0.31 




Bonds 8.625 10/15/2015 886 0.23 

375 OI European Group BV, 



34 

% of 




EUR 200 Peermont Global Ltd., 

Secured 7.750 04/30/2014 251 0.06 

250 Pfleiderer Finance BV, 


1,400 Residential Capital LLC, 

Company Guaranteed 5.125 05/17/2012 1,354 0.34 

355 Royal KPN NV, Series 

GMTN, Medium Term 

Notes, Senior 


446 Royal KPN NV, Senior 4.500 03/18/2013 589 0.15 

Notes 

280 SLM Corp., Series EMTN, 

Unsecured 4.750 03/17/2014 325 0.08 

890 SNS Reaal, European 


Subordinated Notes † 6.258 07/17/2049 1,220 0.31 

388 TRW Automotive, Inc. 6.375 03/15/2014 486 0.12 

735 UPC Holding BV, Secured 7.750 01/15/2014 946 0.24 

323 VAC Finanzierung GmbH, 


510 Waterford Wedgwood PLC 9.875 12/01/2010 646 0.16 

268 WDAC Subsidiary Corp., 

Senior Notes 8.500 12/01/2014 350 0.09 

310 Wind Acquisition Finance 


211 Xstrata Finance Canada, 

Series EMTN, Company 

Guaranteed 5.250 06/13/2017 278 0.07 

406 Zlomrex International 

Finance, Company 

Guaranteed 8.500 02/01/2014 509 0.13 

40,545 10.29 

Hungarian Forint Bonds — 1.88% 


Series 14/C 5.500 02/12/2014 3,723 0.95 


Series 17/B 6.750 02/24/2017 3,674 0.93 

7,397 1.88 

Indian Government Bonds — 1.98% 

INR 177,300 Indian Government Bond 

Linked Note 8.070 05/31/2010 4,365 1.11 

138,800 Indian Government Bond 

Linked Note 8.070 06/11/2010 3,417 0.87 

7,782 1.98 

Israeli Shekel Bond — 1.56% 

ILS 16,400 Israel Government Bond 

Galil, Series 5904, Bonds 4.000 07/31/2024 4,274 1.09 

7,400 Israel Government Bond 

Shahar, Series 2683 6.500 01/31/2016 1,866 0.47 

6,140 1.56 

Japanese Yen Bonds — 0.76% 

JPY 319,000 Kreditanstalt fuer 

Wiederaufbau 2.050 02/16/2026 2,707 0.69 

33,000 Kreditanstalt fuer 

Wiederaufbau 2.600 06/20/2037 295 0.07 

3,002 0.76




% of 




Foreign Bonds and Notes (continued) 

Mexican Peso Bonds — 1.78% 

MXN 67,270 Mexican Bonos, Series MI10 8.000 12/19/2013 6,150 1.56 

9,550 Mexican Bonos, Series M10 8.000 12/17/2015 875 0.22 

7,025 1.78 

Russia Government Issues — 0.62% 

RUB 47,590 Gazprom OAO, Series A6, 

Bonds 6.950 08/06/2009 1,853 0.47 

11,150 Gazprom OAO, Series A7, 

Bonds 6.790 10/29/2009 435 0.11 


Bonds 7.000 10/27/2011 144 0.04 

2,432 0.62 

Turkish Lira Bond — 4.29% 

TRY 6,233 Republic of Turkey, 

Bonds zero coupon 07/16/2008 4,143 1.05 

4,210 Republic of Turkey, Bonds 15.000 02/10/2010 3,061 0.78 

13,750 Republic of Turkey, Bonds 14.000 01/19/2011 9,683 2.46 

16,887 4.29 



USD 560 AAC Group Holding 

Corp., Senior 


235 Activant Solutions, Inc., 


160 Advanced Medical Optics, 


90 AES Corp., Secured 144A 8.750 05/15/2013 94 0.02 






430 AIG SunAmerica Global 

Financing VI, Secured 144A 6.300 05/10/2011 444 0.11 


Inc., Company 

Guaranteed 144A 8.500 05/15/2012 70 0.02 







Guaranteed 11.375 07/15/2011 373 0.09 

120 Altria Group, Inc., Senior 

Unsecured 7.000 11/04/2013 130 0.03 





95 American Standard, Inc., 


125 Amerigas Partners LP, 


% of 





30 Anheuser-Busch Cos., Inc., 

Debentures 6.500 05/01/2042 30 0.01 

27 ANR Pipeline, Debentures 9.625 11/01/2021 36 0.01 

455 Appleton Papers, Inc., 


Guaranteed 9.750 06/15/2014 458 0.12 


Notes 144A 9.000 08/15/2016 185 0.05 




80 Associated Materials, Inc., 


260 Associated Materials, 

Inc., Senior Discount 



Secured 8.750 07/15/2012 990 0.25 



15 Boeing Capital Corp. Ltd., 

Senior Notes 7.375 09/27/2010 16 — 

70 Boyd Gaming Corp., Senior 



Guaranteed 12.500 11/01/2014 262 0.07 





485 CCH I Holdings LLC/CCH I 


Secured 11.000 10/01/2015 475 0.12 



Guaranteed 10.250 10/01/2013 283 0.07 


Notes 144A 8.000 08/01/2013 201 0.05 

8,880 CDX North America High 

Yield, Series 8 T1, Pass 

Through Certificates 144A 7.625 06/29/2012 8,347 2.12 

280 Chaparral Steel Co., 



Holdings II LLC/Charter 

Communications Holdings II 


Unsecured 10.250 09/15/2010 414 0.11 





Unsecured 11.750 05/15/2011 179 0.05 





Unsecured 12.125 01/15/2012 87 0.02 




35




% of 





USD 45 Chesapeake Energy Corp., 






216 Cincinnati Bell Telephone 





Co., Debentures 7.050 10/01/2046 91 0.02 

250 Clear Channel 


Senior Notes 4.625 01/15/2008 248 0.06 

240 CMP Susquehanna Corp., 


200 Colorado Interstate Gas 

Co., Senior Notes 6.800 11/15/2015 206 0.05 

530 Comcast Cable 

Communications LLC, 



Guaranteed 6.500 01/15/2015 57 0.01 


Guaranteed 6.500 01/15/2017 41 0.01 



Notes 144A 8.875 07/15/2015 609 0.15 



Guaranteed 8.000 12/15/2016 260 0.07 


Guaranteed 4.750 10/15/2012 10 — 




B, Senior Notes 8.125 07/15/2009 50 0.01 






Unsecured † 6.750 04/15/2012 259 0.07 

600 DAE Aviation Holdings, Inc., 

Company Guranteed 144A 11.250 08/01/2015 597 0.15 

365 DaVita, Inc., Company 

Guaranteed 7.250 03/15/2015 358 0.09 

277 Delhaize America, Inc., 


180 Denny's Corp./Denny's 

Holdings, Inc., Company 

Guaranteed 10.000 10/01/2012 183 0.05 


Company Guaranteed 7.950 04/15/2032 12 — 

10 Devon Financing Corp. 

ULC, Company 

Guaranteed 6.875 09/30/2011 11 — 





36 

% of 







320 Dollar General Corp., 

Senior Notes 144A 10.625 07/15/2015 288 0.07 



Notes 144A † + 11.875 07/15/2017 277 0.07 






LLC, First Mortgage 3.750 03/05/2008 268 0.07 


Debentures 144A 7.750 06/01/2019 509 0.13 














Senior Notes 144A 7.200 05/15/2019 132 0.03 


Senior Notes 144A 7.625 05/15/2027 140 0.04 


LLC/Education 




LLC/Education 



550 El Paso Corp. 

Senior Notes 8.050 10/15/2030 556 0.14 

76 El Paso Corp., Senior Notes 7.750 06/15/2010 77 0.02 

1,050 El Paso Corp., Senior 

Unsecured 7.800 08/01/2031 1,045 0.27 

200 El Paso Natural Gas Co., 

Bonds 8.375 06/15/2032 232 0.06 

395 Elwood Energy LLC, 

Secured 8.159 07/05/2026 402 0.10 



Guaranteed † 8.375 08/01/2066 236 0.06 




Secured 7.250 01/15/2011 468 0.12 



Guaranteed 10.750 02/15/2015 64 0.02 


Unsecured 7.375 10/28/2009 2,091 0.53




% of 




% of 





USD 575 Ford Motor Credit Co. LLC, 

Senior Notes 9.875 08/10/2011 568 0.14 



200 Forest City Enterprises, 


1,630 Freeport-McMoRan Copper 


Unsecured 8.375 04/01/2017 1,736 0.44 



139 Fresenius Medical Care 

Capital Trust II, Company 

Guaranteed 7.875 02/01/2008 139 0.04 


Capital Trust IV, Company 

Guaranteed 7.875 06/15/2011 51 0.01 


Guaranteed 7.750 02/15/2014 195 0.05 


Corp., Series MTNA, Notes 6.750 03/15/2032 44 0.01 





330 GMAC LLC, 6.875 08/28/2012 292 0.07 


2,270 GMAC LLC, Bonds 8.000 11/01/2031 2,039 0.52 

90 Goldman Sachs Group, 

Inc., Notes 6.650 05/15/2009 92 0.02 

20 Goldman Sachs Group, 

Inc., Bonds 6.875 01/15/2011 21 0.01 

84 GrafTech Finance, Inc., 












Guaranteed 12.500 05/01/2015 292 0.07 

70 Hawker Beechcraft 

Acquisition Co. LLC/Hawker 

Beechcraft Notes Co., 

Senior Notes 144A † + 8.875 04/01/2015 68 0.02 





Notes 144A 9.750 04/01/2017 465 0.12 

30 HCA, Inc., 

Notes 9.000 12/15/2014 28 0.01 

145 HCA, Inc., Senior 6.500 02/15/2016 118 0.03 

Unsecured 

270 HCA, Inc., Secured 144A 9.250 11/15/2016 277 0.07 

1,065 HCA, Inc., Secured 144A + 9.625 11/15/2016 1,101 0.28 



Guaranteed 8.875 01/01/2014 259 0.07 


Guaranteed 10.500 01/01/2016 767 0.19 

310 Hess Corp., Unsecured 6.650 08/15/2011 324 0.08 

20 HSBC Finance Corp., Notes 6.500 11/15/2008 20 0.01 


Guaranteed 8.000 11/15/2016 321 0.08 



Guaranteed 12.000 11/15/2010 728 0.19 





Secured 144A † 11.610 01/15/2013 80 0.02 

80 Ipalco Enterprises, Inc., 

Secured 8.625 11/14/2011 82 0.02 

560 JP Morgan Chase & Co., 

Senior Notes 3.625 05/01/2008 552 0.14 

20 JP Morgan Chase & Co., 


410 K. Hovnanian Enterprises, 




Guaranteed 7.500 06/15/2009 230 0.06 

40 Kellogg Co., Series B, 

Debentures 7.450 04/01/2031 45 0.01 





Guaranteed 10.500 12/15/2012 55 0.01 

93 Koppers, Inc., Company 

Guaranteed 9.875 10/15/2013 97 0.02 

200 Kraft Foods, Inc., Notes 4.125 11/12/2009 196 0.05 



Guaranteed 6.375 10/15/2015 600 0.15 

200 Lamar Media Corp., 


615 Leiner Health Products, 









Unsecured 8.875 04/01/2016 241 0.06 










37




% of 





USD 480 Metals USA, Inc., Secured 11.125 12/01/2015 511 0.13 

125 MetroPCS Wireless, Inc., 

Senior Notes 144A 9.250 11/01/2014 123 0.03 


Guaranteed 8.375 02/01/2011 261 0.07 


Guaranteed 7.625 01/15/2017 441 0.11 

5 MGM Mirage, Inc., 


259 Midwest Generation LLC, 

Series B, Pass Through 

Certificates 8.560 01/02/2016 275 0.07 

897 Milacron Escrow Corp., 

Secured 11.500 05/15/2011 863 0.22 



350 Morgan Stanley, Notes 3.625 04/01/2008 346 0.09 

250 Morgan Stanley, 



Inc., Company 

Guaranteed + 9.000 10/15/2015 406 0.10 




Guaranteed † 11.606 05/01/2012 345 0.09 


Guaranteed 12.000 05/01/2013 402 0.10 

440 News America, Inc., Senior 

Notes 6.625 01/09/2008 441 0.11 

100 Nextel Communications, 

Series D, Company 

Guaranteed 7.375 08/01/2015 101 0.03 

270 Noranda Aluminium Holding 




Guaranteed 9.000 11/01/2011 370 0.09 



Corp., Senior 


225 Nortek, Inc., Senior 


1,050 NRG Energy, Inc., Company 

Guaranteed 7.375 02/01/2016 1,037 0.26 


Guaranteed 7.375 01/15/2017 15 — 

685 NTK Holdings, Inc., 





220 Owens Brockway Glass 

Container, Inc., Company 

Guaranteed 8.750 11/15/2012 229 0.06 

110 Owens Brockway Glass 

Container, Inc., Company 

Guaranteed 8.250 05/15/2013 113 0.03 




38 

% of 





180 PAETEC Holding Corp., 


320 Parker Drilling Co., Senior 

Notes 9.625 10/01/2013 340 0.09 

1,612 Pemex Project Funding 


Guaranteed 6.625 06/15/2035 1,648 0.42 


Secured 144A 12.000 08/01/2014 520 0.13 

210 PetroHawk Energy Corp., 


330 Pinnacle Entertainment, 



Senior Notes 144A 8.500 12/15/2015 157 0.04 

440 Pogo Producing Co., Senior 





International, Inc., Company 

Guaranteed † 9.058 02/15/2009 120 0.03 



Guaranteed 7.250 02/15/2011 257 0.07 




240 Qwest Corp., Senior Notes 7.875 09/01/2011 251 0.06 

200 Qwest Corp., Senior 

Unsecured 7.500 10/01/2014 205 0.05 

575 Realogy Corp., Senior 



Bonds 144A 9.500 12/01/2014 367 0.09 




A-1, Senior Discount Notes 6.875 01/15/2013 302 0.08 





Secured 9.750 11/01/2011 359 0.09 


Notes 9.875 02/01/2010 455 0.12 


Secured 8.250 03/15/2012 198 0.05 




Unsecured 10.375 02/01/2015 171 0.04 


Notes 144A 8.750 11/15/2015 476 0.12 


Debentures 7.875 02/01/2013 10 — 


Senior Notes 6.750 04/01/2016 179 0.05 


Senior Unsecured 7.500 04/01/2027 51 0.01




% of 





USD 15 SESI LLC, Company 

Guaranteed 6.875 06/01/2014 14 — 

320 Sierra Pacific Resources, 


120 Simmons Co., Senior 


35 Sinclair Broadcast Group, 



1,030 SLM Corp., Notes 5.375 05/15/2014 883 0.22 

330 SLM Corp., Notes 5.050 11/14/2014 277 0.07 

110 SLM Corp., Notes 5.625 08/01/2033 88 0.02 



Unsecured 8.000 03/15/2017 434 0.11 



Notes 144A † 9.063 02/01/2014 273 0.07 

285 Southern Natural Gas Co., 

Notes 8.000 03/01/2032 319 0.08 





130 St. Acquisition Corp., 

Secured 144A † 13.308 05/15/2015 90 0.02 


Secured 144A 12.500 05/15/2017 346 0.09 












Notes 6.875 12/15/2013 473 0.12 




Senior Notes 9.875 07/01/2014 810 0.21 





340 TL Acquisitions, Inc., Senior 

Notes 144A 10.500 01/15/2015 320 0.08 





Notes 144A 9.125 09/15/2014 136 0.03 

30 TXU Corp., Series P, Senior 

Unsecured 5.550 11/15/2014 25 0.01 



% of 




USD 1,660 TXU Corp., Series R, 

Unsecured 6.550 11/15/2034 1,313 0.33 

340 U.S. Oncology Holdings, 

Inc., Senior 

Unsecured 144A † + 9.797 03/15/2012 315 0.08 



Certificates 7.811 10/01/2009 173 0.04 



Certificates 7.032 10/01/2010 157 0.04 



Certificates 7.186 04/01/2011 781 0.20 

65 Universal Hospital Services, 

Inc., Secured 144A † 8.500 06/01/2015 62 0.02 


Inc., Secured 144A † 8.759 06/01/2015 77 0.02 

180 Univision Communications, 

Inc., Senior Notes 144A + 9.750 03/15/2015 171 0.04 

145 Vangent, Inc., Senior 

Subordinated Notes 144A + 9.625 02/15/2015 134 0.03 

15 Vanguard Health 

Holding Co. I LLC, 


Notes zero coupon 10/01/2015 11 — 

1,010 Vanguard Health Holding 





Guaranteed 8.750 05/01/2009 62 0.02 



Guaranteed 9.000 05/01/2012 32 0.01 



Guaranteed 6.750 04/01/2017 229 0.06 


Corp., Senior Unsecured 6.875 06/15/2012 42 0.01 


Corp., Notes 7.750 12/01/2030 6 — 

15 Verizon New York, Inc., 

Series B, Debentures 7.375 04/01/2032 16 — 




170 Visant Holding Corp., 

Senior Notes 8.750 12/01/2013 170 0.04 


Unsecured 8.250 08/01/2010 503 0.13 

170 W&T Offshore, Inc., 



Senior Notes 7.375 08/01/2010 306 0.08 



112 Westlake Chemical Corp., 





39




% of 





USD 60 Williams Cos., Inc., Series 

A, Debentures 7.500 01/15/2031 62 0.02 

1,265 Williams Cos., Inc., Notes 8.750 03/15/2032 1,439 0.37 



215 WMG Acquisition Corp., 







Notes 7.500 04/15/2012 44 0.01 



Bermuda — 0.44% 

USD 540 AES China Generating Co. 

Ltd., Bonds 8.250 06/26/2010 534 0.14 





210 Petroplus Finance Ltd., 


1,726 0.44 




Guaranteed 6.000 06/20/2013 192 0.05 

165 Abitibi-Consolidated Co. of 


Guaranteed 8.375 04/01/2015 130 0.03 

70 Abitibi-Consolidated, Inc., 



Debentures 7.400 04/01/2018 188 0.05 



390 Conoco Funding Co., 


40 General Motors Nova Scotia 

Finance Co., Company 

Guaranteed 6.850 10/15/2008 39 0.01 


Unsecured 8.750 08/15/2012 257 0.07 


Guaranteed † 7.250 02/15/2015 373 0.09 


Secured 144A 7.875 12/15/2014 331 0.08 








Secured Notes 8.375 05/01/2012 347 0.09 

2,755 0.70 


40 

% of 






Geophysique-Veritas, 



USD 240 Morgan Stanley Bank AG 

for OAO Gazprom, 

Secured 9.625 03/01/2013 275 0.07 

India — 0.14% 

USD 200 ICICI Bank Ltd., 6.375 04/30/2022 187 0.05 

Unsecured † 

388 ICICI Bank Ltd., 

Unsecured 144A † 6.375 04/30/2022 364 0.09 

551 0.14 


USD 343 Vale Overseas Ltd., 


1,961 Vale Overseas Ltd., 


2,393 0.61 


USD 75 Basell AF SCA, Company 

Guaranteed 144A 8.375 08/15/2015 67 0.02 

349 Gazstream SA for OAO 

Gazprom, Company 

Guaranteed 144A 5.625 07/22/2013 341 0.08 





870 UBS Luxembourg S.A. for 

OJSC Vimpel 

Communications, Notes 8.250 05/23/2016 874 0.22 


S.A., Secured 144A 10.750 12/01/2015 407 0.10 

2,621 0.66 

Mali — 0.05% 

USD 181 Teekay Corp., Senior Notes 8.875 07/15/2011 186 0.05 


USD 577 Axtel SAB de CV, Company 

Guaranteed 11.000 12/15/2013 617 0.16 

80 Axtel SAB de CV, Company 

Guaranteed 7.625 02/01/2017 78 0.02 

1,050 Axtel SAB de CV, Senior 

Unsecured Notes 144A 7.625 02/01/2017 1,016 0.26 

170 Banco Mercantil del Norte 

S.A., Subordinated 

Notes 144A † 6.135 10/13/2016 170 0.04 

41 Desarrolladora Homex S.A. 

de CV, Company 

Guaranteed 7.500 09/28/2015 40 0.01 

1,921 0.49 


USD 1,490 HSBK Europe BV, Bank 

Guaranteed 144A 7.250 05/03/2017 1,359 0.35 

610 Lukoil International Finance 

BV 6.356 06/07/2017 570 0.14 


Company Guaranteed 144A 8.100 03/15/2027 379 0.10




% of 




U.S. Denominated Bonds and Notes — (continued) 

Netherlands (continued) 

USD 1,066 TuranAlem Finance BV, 




3,886 0.99 

Thailand — 0.41% 

USD 1,630 True Move Co. Ltd., 

Company Guaranteed 144A 10.750 12/16/2013 1,630 0.41 

United Kingdom — 0.09% 

USD 180 United Utilities PLC, Notes 6.450 04/01/2008 181 0.04 



373 0.09 

Venezuela — 0.25% 

USD 980 Petrozuata Finance, Inc., 




Argentina — 0.35% 

USD 1,051 Argentina Bonos, Series VII, 

Bonds 7.000 09/12/2013 900 0.23 

470 Telefonica de Argentina, 

Unsecured 9.125 11/07/2010 476 0.12 

1,376 0.35 

Brazil — 2.00% 

USD 112 Republic of Brazil, Bonds 10.125 05/15/2027 157 0.04 

293 Republic of Brazil, Bonds 7.125 01/20/2037 319 0.08 

5,606 Republic of Brazil, 

Unsubordinated Bonds 11.000 8/17/2040 7,419 1.88 

7,895 2.00 


USD 120 Canada Government Bond, 

Bonds 4.000 12/01/2031 139 0.04 

10 Quebec Province, Series 

NN, Debentures 7.125 02/09/2024 12 — 


Senior Notes 7.750 03/15/2016 561 0.14 

712 0.18 


USD 77 Systems 2001 Asset Trust 



Colombia — 0.40% 

USD 1,473 Republic of Colombia, 

Bonds 7.375 09/18/2037 1,562 0.40 

Denmark — 0.05% 

USD 200 Nordic Telephone Co. 


Notes 144A 8.875 05/01/2016 207 0.05 

Ecuador — 0.18% 

USD 361 Republic of Ecuador, Bonds 10.000 08/15/2030 318 0.08 

435 Republic of Ecuador, 

Bonds 144A † 10.000 08/15/2030 383 0.10 

701 0.18 


% of 





USD 510 Morgan Stanley (Gazprom), 

Notes 144A 9.625 03/01/2013 581 0.15 


USD 600 Glitnir Banki HF, 





Notes 144A 6.100 08/25/2011 732 0.19 

1,872 0.48 




671 RSHB Capital S.A. for 


Bank, Senior Notes 144A 7.175 05/16/2013 686 0.17 

1,160 0.29 


USD 610 Kansas City Southern de 


Notes 9.375 05/01/2012 632 0.16 


Notes 7.500 04/08/2033 218 0.06 

5,876 Mexico Government 


Term Notes 6.750 09/27/2034 6,381 1.62 

7,231 1.84 


USD 1,890 ATF Capital BV, Bank 

Guaranteed 144A 9.250 02/21/2014 1,890 0.48 

Panama — 0.37% 

USD 274 Republic of Panama, Bonds 9.375 04/01/2029 358 0.09 

1,097 Republic of Panama, Bonds 6.700 01/26/2036 1,086 0.28 

1,444 0.37 

Peru — 0.02% 

USD 1 Republic of Peru, Bonds 8.750 11/21/2033 1 — 

97 Republic of Peru, Bonds 6.550 03/14/2037 97 0.02 

98 0.02 





1,222 RSHB Capital S.A. for 


Bank, Bonds 144A 6.299 05/15/2017 1,155 0.29 

1,149 Russian Federation, 

Unsubordinated Bonds † 7.500 03/31/2030 1,278 0.32 

2,658 0.67 

Turkey — 1.03% 

USD 59 Republic of Turkey, Notes 7.000 06/05/2020 59 0.01 

371 Republic of Turkey, Notes 7.375 02/05/2025 379 0.10 

USD 790 Republic of Turkey, Senior 

Unsubordinated 11.875 01/15/2030 1,207 0.31 

2,580 Republic of Turkey, Notes 6.875 03/17/2036 2,422 0.61 

4,067 1.03 

41




% of 




% of 






USD 197 Republic of Venezuela, 

Notes 144A 10.750 09/19/2013 212 0.05 

443 Republic of Venezuela, 

Notes 8.500 10/08/2014 426 0.11 

2,013 Republic of Venezuela, 

Unsecured 5.750 02/26/2016 1,635 0.42 

340 Republic of Venezuela 7.000 12/01/2018 286 0.07 


Bonds 9.375 01/13/2034 695 0.18 

3,254 0.83 






1,610 U.S. Treasury Bond 4.500 02/15/2037 1,526 0.39 


Index Bond ** 3.000 07/15/2012 8,050 2.04 


Index Bond ** 2.000 01/15/2016 7,319 1.86 


Index Bond ** 3.875 04/15/2029 7,561 1.92 

25,257 6.41 



7,170 U.S. Treasury Note 4.125 08/15/2010 7,160 1.82 




14,846 3.77 





USD 4,066 FHLMC, Pool #G02648 5.500 12/01/2036 3,972 1.01 

664 FHLMC Gold, Pool #A51601 5.000 08/01/2036 632 0.16 

4,604 1.17 



1,337 FNMA, Pool #255765 5.000 07/01/2020 1,305 0.33 

84 FNMA, Pool #255806 5.000 08/01/2020 82 0.02 

487 FNMA, Pool #829094 5.500 10/01/2020 484 0.12 

25 FNMA, Pool #784278 5.500 11/01/2020 25 0.01 

47 FNMA, Pool #850915 5.500 12/01/2020 47 0.01 

440 FNMA, Pool #845151 5.500 01/01/2021 437 0.11 

479 FNMA, Pool #879980 5.500 03/01/2021 476 0.12 

80 FNMA, Pool #868609 5.000 04/01/2021 78 0.02 


39 FNMA, Pool #880945 5.500 05/01/2021 39 0.01 

94 FNMA, Pool #885383 5.000 06/01/2021 92 0.02 

406 FNMA, Pool #881911 5.500 06/01/2021 403 0.10 

3,230 FNMA, Pool #896585 5.500 07/01/2021 3,212 0.82 

1,372 FNMA, Pool #896597 5.000 08/01/2021 1,340 0.34 

27 FNMA, Pool #256397 5.500 09/01/2021 26 0.01 

7,963 FNMA, Pool #745563 5.500 08/01/2034 7,778 1.97 

10,565 FNMA, Pool #893365 5.000 07/01/2035 10,041 2.55 

1,796 FNMA, Pool #832747 5.000 09/01/2035 1,707 0.43 

894 FNMA, Pool #842754 4.500 10/01/2035 826 0.21 

254 FNMA, Pool #797668 5.000 10/01/2035 242 0.06 

152 FNMA, Pool #745113 6.000 10/01/2035 152 0.04 

3,149 FNMA, Pool #845007 5.000 11/01/2035 2,993 0.76 

50 FNMA, Pool #848501 4.500 12/01/2035 46 0.01 

578 FNMA, Pool #878457 6.000 12/01/2035 577 0.15 

552 FNMA, Pool #745275 5.000 02/01/2036 526 0.13 

1,591 FNMA, Pool #745355 5.000 03/01/2036 1,512 0.38 

1,277 FNMA, Pool #869952 6.500 04/01/2036 1,296 0.33 

2,377 FNMA, Pool #884019 6.000 05/01/2036 2,375 0.60 

3,846 FNMA, Pool #891912 6.000 06/01/2036 3,842 0.98 

218 FNMA, Pool #887638 6.000 07/01/2036 218 0.06 

390 FNMA, Pool #887278 6.500 07/01/2036 396 0.10 

849 FNMA, Pool #896530 6.000 08/01/2036 848 0.22 

3,116 FNMA, Pool #901366 6.000 09/01/2036 3,113 0.79 

7,361 FNMA, Pool #888030 † 5.500 12/01/2037 7,192 1.83 

54,731 13.89 


USD 1,543 GNMA, Pool #636109 5.000 01/15/2035 1,487 0.38 

86 GNMA, Pool #520485 5.500 12/15/2035 85 0.02 

183 GNMA, Pool #653630 5.500 07/15/2036 180 0.04 

217 GNMA, Pool #620298 6.500 07/15/2036 221 0.06 

2,144 GNMA, Pool #657632 6.000 08/15/2036 2,154 0.55 

2,397 GNMA, Pool #659661 6.500 09/15/2036 2,443 0.62 

6,570 1.67 


(Cost $65,726) 65,905 16.73 

Collective Investment Scheme — 0.74% (Cost $3,006) 

17 Citibond U.S. High Yield Fund, Class M 2,906 0.74 


Preferred Stock — 0.04% (Cost $127) 

1 Chesapeake Energy Corp. 133 0.04 


Contracts (000’s) 

Options — 0.13% 



42




% of 

Value Net 

(000’s) Asset 

Contracts (000’s) $ Value 

Options — (continued) 

2 90 day Sterling December 2007, Call 95.00 (352) (0.09) 



7,500 Otc Asian Em February 2008, Call 204 0.05 

20,000 Otc USD/JPY October 2007, Call 121.00 1,041 0.26 

Total Options (Cost $437) 521 0.13 



Total Net Assets $393,898 100.00 





* Illiquid 

** The rate of interest on this type of security is tied to the Consumer Price Index 


*** Securitiy is valued in good faith at fair value by or at the discretion of the 


+ Payment in Kind Security 


August 31, 2007. 

ARS 

AUD 

BRL 

DKK 

EUR 

GBP 

HUF 

ILS 

INR 

JPY 

MXN 

RUB 

TRY 


TIPS 


Argentine Peso 

Australian Dollar 

Brazilian Real 

Danish Krone 

Euro 

British Pound Sterling 

Hungarian Forint 

Israeli Shekel 

Indian Rupee 

Japanese Yen 

Mexican Peso 

Russian Ruble 

Turkish Lira 

United States Dollar 

Treasury Inflation Protected Security 

ALL SECURITIES ARE TRANSFERABLE SECURITIES ADMITTED TO AN OFFICAL 

EXCHANGE OR TRADED ON A REGULATED MARKET WITH THE EXCEPTION OF 

THE OPTIONS AND FUTURES, WHICH ARE FINANCIAL DERIVATIVE 

INSTRUMENTS DEALT WITH IN A REGULATED MARKET. 

% of Total 




instruments admitted to an official exchange 






Net 





90 Day Euro$ December 2007 188 — 188 44,725 44,681 — (44) (44) (0.01) 

90 Day Euro$ June 2008 253 — 253 59,952 60,369 417 — 417 0.11 

90 Day Euro$ March 2008 161 — 161 38,332 38,382 50 — 50 0.01 

U.S. 10 Year Note December 2007 44 — 44 4,780 4,798 18 — 18 — 

U.S. 5 Year Note (CBT) December 2007 — (40) (40) (4,254) (4,268) — (14) (14) — 

U.S. 5 Year Note (CBT) September 2007 — (3) (3) (313) (320) — (7) (7) — 

U.S. Long Bond (CBT) December 2007 62 — 62 6,889 6,917 28 — 28 0.01 

Euro Bund (DTB) September 2007 100 — 100 15,217 15,498 281 — 281 0.07 


of Future Contracts 765 $165,328 $166,057 $794 $(65) $729 0.19% 


43





Unrealised 




Goldman Sachs Countrywide Home Loans, Inc. Buy 0.60% 06/20/12 1,960 $ (165) 

4.000% due 3/22/2011 

Goldman Sachs Countrywide Home Loans, Inc. Buy 0.72% 06/20/12 990 (79) 

4.000% due 3/22/2011 

Goldman Sachs Ford Motor Credit Co., LLC Buy 3.50% 06/20/12 2,000 (116) 

7.000% due 10/ 1/2013 

Barclays Capital, Inc. Republic of Turkey Buy 2.79% 06/20/15 459 6 

11.875% due 1/15/2030 


4.609% due 2/ 8/2012 


4.609% due 2/ 8/2012 

Goldman Sachs BASF AG Buy 0.16% 09/20/12 2,720 3 

3.500% due 7/ 8/2010 

Goldman Sachs ENI Buy 0.07% 09/20/12 2,720 5 

4.625% due 4/30/2013 

Goldman Sachs GIE PSA Tersorerie Buy 0.20% 09/20/12 1,611 18 

5.875% due 9/27/2011 

Goldman Sachs Renault S.A. Buy 0.21% 09/20/12 1,611 20 

4.625% due 5/28/2010 

Goldman Sachs Rolls Royce Buy 0.15% 06/20/12 2,773 19 

4.500% due 3/16/2011 

Goldman Sachs Unilever Capital Corp. Buy 0.19% 06/20/12 2,773 3 

7.125% due 11/ 1/2010 

Goldman Sachs Vattenfall Treasury AB Buy 0.09% 09/20/12 2,720 19 

6.000% due 3/31/2010 

$(317) 


44




% of 




Collateralised Mortgage-Backed Obligations — 0.05% (Cost $61) 

119 BlackRock Capital Finance 

LP, Series 1997-R1, Class 

B3 144A 7.750 03/25/2037 47 0.05 


Advertising — 1.18% 








A-3, Senior Notes 8.875 01/15/2016 436 0.42 

1,229 1.18 



Inc., Company 

Guaranteed 144A 8.500 05/15/2012 239 0.23 



359 0.34 



Series C, Pass Through 

Certificates 7.339 04/19/2014 181 0.17 



730 DAE Aviation Holdings, Inc., 

Company Guranteed 144A 11.250 08/01/2015 726 0.69 


00 1, Pass Through 

Certificates 8.030 07/01/2011 376 0.36 



Certificates 6.831 09/01/2008 250 0.24 



Certificates 6.932 09/01/2011 112 0.11 

1,893 1.81 

Apparel — 0.95% 




Unsecured 8.875 04/01/2016 111 0.11 



993 0.95 

Auto Manufacturers — 3.40% 


1,005 Ford Motor Co., Unsecured 7.450 07/16/2031 754 0.72 


60 Ford Motor Co., Senior 

Notes 144A 4.250 12/15/2036 64 0.06 

360 General Motors Corp., 7.200 01/15/2011 319 0.31 

Notes 


Debentures 8.250 07/15/2023 399 0.38 


% of 




1,920 General Motors Corp., 

Senior Unsubordinated 8.375 07/15/2033 1,541 1.48 

3,547 3.40 

Auto Parts & Equipment — 1.39% 




1,068 Visteon Corp., Senior 

Unsecured 8.250 08/01/2010 913 0.88 

1,450 1.39 




Guaranteed 9.750 06/15/2014 195 0.19 



250 Chaparral Steel Co., 




Unsecured 8.375 04/01/2017 1,033 0.99 




LLC, Company 

Guaranteed † 7.875 11/15/2014 292 0.28 







340 Metals USA Holdings Corp., 

Senior Notes 144A † * 11.360 07/01/2012 313 0.30 


Guaranteed 10.000 05/01/2012 83 0.08 


Guaranteed † 11.606 05/01/2012 556 0.53 


Guaranteed 12.000 05/01/2013 104 0.10 








5,759 5.52 

Commercial Services — 5.23% 



Guaranteed 11.375 07/15/2011 677 0.65 


Notes 144A 9.000 08/15/2016 273 0.26 





LLC/Education 



45




% of 





Commercial Services (continued) 




Guaranteed 8.875 01/01/2014 145 0.14 

1,035 Hertz Corp., Company 

Guaranteed 10.500 01/01/2016 1,118 1.07 



Secured 144A 12.000 08/01/2014 686 0.66 


Bonds 144A 9.500 12/01/2014 367 0.35 


Debentures 7.875 02/01/2013 350 0.34 



5,462 5.23 

Communications — 0.24% 


Guaranteed 7.750 02/15/2014 246 0.24 

Consumer Staples — 0.98% 

263 Delhaize America, Inc., 




1,020 0.98 

Diversified — 0.25% 



Guaranteed 7.500 06/15/2009 260 0.25 

Energy — 13.79% 


Secured 8.750 07/15/2012 880 0.84 







160 Colorado Interstate Gas 




Guaranteed 8.000 12/15/2016 423 0.41 


Debentures 144A 7.750 06/01/2019 851 0.82 

241 El Paso Corp., Senior Notes 7.750 06/15/2010 245 0.23 


Unsecured 7.800 08/01/2031 1,384 1.33 

50 Encore Acquisition Co., 




Guaranteed † 8.375 08/01/2066 471 0.45 


Secured 7.250 01/15/2011 705 0.68 




% of 










130 Pogo Producing Co., Series 

B, Senior Subordinated 

Notes 8.250 04/15/2011 133 0.13 

220 Pogo Producing Co., 





Notes 144A 8.750 11/15/2015 712 0.68 


Guaranteed 6.875 06/01/2014 24 0.02 


Notes 8.000 03/01/2032 576 0.55 

1,525 Stone Energy Corp., Senior 

Subordinated Notes 8.250 12/15/2011 1,498 1.44 



80 Tennessee Gas Pipeline 

Co., Bonds 8.375 06/15/2032 93 0.09 

550 VeraSun Energy Corp., 

Senior Notes 144A 9.375 06/01/2017 510 0.49 

315 W&T Offshore, Inc., 





Notes 7.625 07/15/2019 956 0.92 


Unsecured 7.875 09/01/2021 402 0.39 

940 Williams Cos., Inc., Notes 8.750 03/15/2032 1,069 1.02 

14,391 13.79 


1,105 Ocwen Capital Trust I, 



320 AAC Group Holding 

Corp., Senior 


830 Airplanes Pass Through 

Trust, Series D, Company 

Guaranteed † ** *** 10.875 03/15/2012 — — 

385 AmeriCredit Corp., Senior 

Notes 144A 8.500 07/01/2015 329 0.32 


Notes 144A 8.000 08/01/2013 349 0.33 

150 Chukchansi Economic 

Development Authority, 

Senior Notes 144A 8.000 11/15/2013 149 0.14 





46




% of 





Financials - Diversified (continued) 




Senior Notes 9.875 08/10/2011 731 0.70 





650 GMAC LLC, 6.875 08/28/2012 574 0.55 


1,875 GMAC LLC, Bonds 8.000 11/01/2031 1,684 1.61 




Senior Notes 144A † * 8.875 04/01/2015 439 0.42 





Notes 144A 9.750 04/01/2017 431 0.41 


Company 

Guaranteed 144A † 8.690 04/17/2009 108 0.10 





Notes 144A † 9.063 02/01/2014 210 0.20 






Notes † zero coupon 10/01/2015 69 0.07 

820 Vanguard Health Holding 



8,301 7.96 

Financials - Real Estate — 1.04% 







Guaranteed 10.500 12/15/2012 91 0.09 

1,000 Realogy Corp., Senior 


1,089 1.04 

Healthcare Products — 0.51% 

265 Advanced Medical Optics, 



Capital Trust IV, Company 

Guaranteed 7.875 06/15/2011 51 0.05 


Inc., Secured 144A † 8.500 06/01/2015 114 0.11 

% of 





Inc., Secured 144A † 8.759 06/01/2015 125 0.12 

532 0.51 

Healthcare - Services — 5.73% 



Notes 144A 8.875 07/15/2015 629 0.60 

1,000 DaVita, Inc., Company 

Guaranteed 7.250 03/15/2015 980 0.94 

410 HCA, Inc., Senior 6.375 01/15/2015 334 0.32 

Unsecured 


1,320 HCA, Inc., Secured 144A * 9.625 11/15/2016 1,365 1.31 

200 HCA, Inc., Notes 7.690 06/15/2025 161 0.16 

250 IASIS Healthcare LLC/IASIS 

Capital Corp., Bank 

Guaranteed 8.750 06/15/2014 244 0.23 


Senior Notes 6.375 12/01/2011 59 0.06 

1,325 Tenet Healthcare Corp., 

Senior Unsecured Notes 7.375 02/01/2013 1,100 1.05 


Senior Notes 9.875 07/01/2014 146 0.14 

555 U.S. Oncology Holdings, 

Inc., Senior 

Unsecured 144A † * 9.797 03/15/2012 513 0.49 

5,983 5.73 

Home Builders — 0.51% 





65 KB Home, Senior 


535 0.51 

Home Furnishing and Appliances — 0.84% 



Guaranteed 9.000 11/01/2011 675 0.65 



Corp., Senior 


879 0.84 

Household Products — 0.62% 



460 Jarden Corp., Company 

Guaranteed 7.500 05/01/2017 430 0.41 

55 Playtex Products, Inc., 



Senior Notes 8.750 12/01/2013 100 0.10 

643 0.62 


47 

47




% of 





Industrial — 7.87% 



170 American Railcar 

Industries, Inc., Senior 

Unsecured 7.500 03/01/2014 165 0.16 

295 Associated Materials, Inc., 


935 Associated Materials, 


Notes † zero coupon 03/01/2014 610 0.58 














200 Greif, Inc., Senior 

Unsecured 6.750 02/01/2017 195 0.19 

375 Gulfmark Offshore, Inc., 




Guaranteed 6.375 10/15/2015 242 0.23 



750 Metals USA, Inc., Secured 11.125 12/01/2015 799 0.76 



1,175 NTK Holdings, Inc., 



50 Overseas Shipholding 

Group, Inc., Senior Notes 8.250 03/15/2013 51 0.05 


Senior Notes 144A 8.500 12/15/2015 487 0.47 


Senior Notes † 11.000 03/15/2010 1 — 



Unsecured 8.000 03/15/2017 382 0.37 


Secured 144A † 13.308 05/15/2015 52 0.05 


Secured 144A 12.500 05/15/2017 562 0.54 

8,214 7.87 

Leisure & Lodgings — 3.92% 





% of 




260 Fontainebleau Las Vegas 

Holdings 

LLC/Fontainebleau Las 

Vegas Capital Corp., 

Second Mortgage 144A 10.250 06/15/2015 223 0.21 



Guaranteed 12.000 11/15/2010 909 0.87 

185 Mandalay Resort Group, 


Debentures 7.625 07/15/2013 181 0.17 


Guaranteed 8.375 02/01/2011 117 0.11 


Guaranteed 7.500 06/01/2016 84 0.08 


Guaranteed 7.625 01/15/2017 460 0.44 



Secured 9.750 11/01/2011 72 0.07 







Notes 144A 9.125 12/15/2010 808 0.78 



Notes 144A 9.125 09/15/2014 61 0.06 



4,085 3.92 

Multi-Media — 6.86% 

235 Cablevision Systems Corp., 

Series B, Senior 

Unsecured 8.000 04/15/2012 225 0.22 

1,155 CCH I Holdings LLC, 




1,017 CCH I Holdings LLC/CCH I 


Secured 11.000 10/01/2015 997 0.95 



Guaranteed 10.250 10/01/2013 111 0.11 





Unsecured 10.250 09/15/2010 364 0.35 





Unsecured 11.750 05/15/2011 159 0.15 





Unsecured 12.125 01/15/2012 174 0.17 


48




% of 





Multi Media (continued) 




B, Senior Notes 8.125 07/15/2009 327 0.31 




Unsecured † 6.750 04/15/2012 326 0.31 

205 CSC Holdings, Inc., 

Debentures 7.625 07/15/2018 188 0.18 






Guaranteed 8.000 11/15/2016 449 0.43 





Secured 144A † 11.610 01/15/2013 80 0.08 


Notes 144A 10.500 01/15/2015 518 0.50 

410 TL Acquisitions, Inc., 


Notes 144A zero coupon 07/15/2015 307 0.29 


Inc., Senior Notes 144A * 9.750 03/15/2015 243 0.23 





7,158 6.86 


1,020 Leiner Health Products, 


REITS — 0.66% 



Guaranteed 8.750 05/01/2009 220 0.21 



Guaranteed 9.000 05/01/2012 94 0.09 



Guaranteed 6.500 06/01/2016 130 0.12 



Guaranteed 6.750 04/01/2017 248 0.24 

692 0.66 


15 AutoNation, Inc., Company 

Guaranteed 7.000 04/15/2014 14 0.01 




Guaranteed 12.500 11/01/2014 435 0.42 

% of 






Guaranteed 10.000 10/01/2012 107 0.10 


Senior Notes 144A 10.625 07/15/2015 459 0.44 



Notes 144A † * 11.875 07/15/2017 403 0.39 





Guaranteed 10.750 02/15/2015 69 0.07 

235 Michaels Stores, Inc., 

Senior Notes 144A 10.000 11/01/2014 236 0.23 

435 Neiman Marcus Group, 

Inc., Company 

Guaranteed * 9.000 10/15/2015 459 0.44 

420 Neiman Marcus Group, 


245 OSI Restaurant Partners, 

Inc., Senior Notes 144A 10.000 06/15/2015 211 0.20 


Unsecured 10.375 02/01/2015 277 0.26 




Notes 6.875 12/15/2013 684 0.66 

4,503 4.32 


360 Activant Solutions, Inc., 









Subordinated Notes 144A * 9.625 02/15/2015 213 0.21 

1,906 1.83 


50 Cincinnati Bell Telephone 





Co., Debentures 7.050 10/01/2046 32 0.03 






Senior Notes 144A 9.250 11/01/2014 167 0.16 







49




% of 





Telecommunications (continued) 



Guaranteed 7.250 02/15/2011 127 0.12 


Notes 9.875 02/01/2010 217 0.21 


Secured 8.250 03/15/2012 338 0.32 





3,968 3.80 






Senior Notes 144A 7.200 05/15/2019 331 0.32 


Senior Notes 144A 7.625 05/15/2027 344 0.33 

220 Ipalco Enterprises, Inc., 

Secured 8.625 11/14/2011 226 0.22 



Certificates 8.560 01/02/2016 107 0.10 

98 Mirant Mid Atlantic LLC, 


Certificates 9.125 06/30/2017 108 0.10 

1,125 Mirant North America LLC, 



Guaranteed 7.250 02/01/2014 248 0.24 


Guaranteed 7.375 02/01/2016 1,787 1.71 


Guaranteed 7.375 01/15/2017 69 0.07 



280 Sierra Pacific Resources, 




5,887 5.64 


Foreign Corporate Bonds and Notes — 9.12% 



Guaranteed 6.000 06/20/2013 281 0.27 



Guaranteed 8.375 04/01/2015 208 0.20 




Debentures 7.400 04/01/2018 196 0.19 


Debentures 8.850 08/01/2030 95 0.09 


% of 







Senior Notes 6.750 03/15/2014 50 0.05 

185 Ashtead Holdings PLC, 

Secured Notes 144A 8.625 08/01/2015 181 0.17 

475 Basell AF SCA, Company 

Guaranteed 144A 8.375 08/15/2015 423 0.40 

340 Cie Generale de 



404 Corral Finans AB, 

Secured 144A † 10.360 04/15/2010 385 0.37 

155 GT Group Telecom, Inc., 


Notes ** *** 13.250 02/01/2010 — — 







Notes 9.375 05/01/2012 124 0.12 



Notes 144A 7.625 12/01/2013 529 0.51 


Unsecured 8.750 08/15/2012 514 0.49 





Notes 144A 8.875 05/01/2016 518 0.50 


Guaranteed † 7.250 02/15/2015 587 0.56 


Secured 7.875 10/15/2014 280 0.27 





400 Petroplus Finance Ltd., 



Senior Notes 7.750 03/15/2016 138 0.13 



200 Smurfit Capital Funding 

PLC, Company Guaranteed 7.500 11/20/2025 191 0.18 

255 Smurfit Kappa Funding 

PLC, Senior Subordinated 

Notes 7.750 04/01/2015 246 0.24 






Secured Notes 8.375 05/01/2012 160 0.15 

50




% of 




Foreign Corporate Bonds and Notes — (continued) 


S.A., Secured 144A 10.750 12/01/2015 283 0.27 

Total Foreign Corporate Bonds and Notes — (Cost $10,160) 9,518 9.12 



3 Aurora Foods, Inc. ** *** — — 

— Crown Castle International Corp. — — 

1,779 Home Interiors and Gifts, Inc. 144A ** *** 18 0.02 

— ION Media Networks, Inc., Series B — — 

— McLeod USA, Inc., Class A *** — — 

Total Common Stock (Cost $18) 18 0.02 

Preferred Stock 0.22% (Cost $238) 


Warrants 0.00% (Cost $0) 

— Cybernet Internet Services International, Inc., 

expiring July, 2009 *** — — 

— GT Group Telecom, Inc., expiring February, 

2010 144A ** *** — — 

— IWO Holdings, Inc., expiring January, 

2011 144A ** *** — — 

— Merrill Corp., expiring May, 2009 144A *** — — 

Total Warrants (Cost $0) — — 








* Payment in Kind Security 

** Illiquid 

*** Securitiy is valued in good faith at fair value by or at the discretion of the 



August 31, 2007. 

— Amounts designated as "—" are either $0, less than $1,000 or less than 1,000 shares. 

REITS - Real Estate Investment Trusts 


EXCHANGE OR TRADED ON A REGULATED MARKET. 

% of Total 



Transferable securities and money market instruments admitted to an 

official exchange or traded on a regulated market 

97.79% 




51




% of 







Bonds † 2.000 01/03/2010 984 0.69 

2,632 Republic of Argentina, 

Notes † 5.830 12/31/2033 806 0.57 

EUR 1,006 Republic of 

Argentina, 


Bonds zero coupon 07/01/2049 446 0.31 

2,236 1.57 


BRL 2,568 Brazil Notas do Tesouro 

Nacional, Series B, Notes 6.000 05/15/2045 2,043 1.44 

1 Brazil Notas do Tesouro 

Nacional, Series F, Notes 9.810 01/01/2010 — — 

15,953 Brazil Notas do Tesouro 

Nacional, Series F, Notes 10.000 07/01/2010 7,780 5.47 

9,823 6.91 

Egyptian Government Issues — 4.54% 

EGP 31,850 Egypt Treasury Bill, 

Series 364, Bonds zero coupon 10/30/2007 5,562 3.91 

2,250 Egypt Treasury Bill, 

Series 364, Bonds zero coupon 11/06/2007 392 0.28 





6,449 4.54 

Indonesia Government Issues — 2.30% 

IDR 1,412,000 Indonesia Treasury Bond, 

Series FR20, Bonds 11.000 09/15/2025 160 0.11 

7,799,000 Indonesia Treasury Bond, 



Series FR43, Bonds 10.250 07/15/2022 1,328 0.94 



3,262 2.30 

Malasyia Government Issues — 2.31% 

MYR 974 Bank Negara 

Malaysia Monetary 

Notes, Series 0307 zero coupon 11/01/2007 277 0.19 

10,604 Malaysia Treasury 

Bill, Series 91 zero coupon 11/02/2007 3,011 2.12 

3,288 2.31 



Bonds 6.790 10/29/2009 4,013 2.83 


Bonds 7.000 10/27/2011 1,326 0.93 

38,960 Gazprom OAO 6.950 08/06/2009 1,521 1.07 

6,860 4.83 

% of 




Turkey Government Issues — 1.18% 

TRY 2,390 Republic of Turkey 14.000 01/19/2011 1,682 1.18 




USD 549 Argentina Bonos, Series VII, 

Bonds 7.000 09/12/2013 470 0.33 

2,670 Republic of Argentina, Notes 8.280 12/31/2033 2,283 1.61 

2,753 1.94 


USD 1,522 Federal Republic of Brazil, 

Series B, Unsubordinated 

Bonds 8.875 04/15/2024 1,895 1.33 

850 Globo Comunicacoes e 

Participacoes S.A., 

Bonds 144A 7.250 04/26/2022 795 0.56 

3,492 Republic of Brazil, 


2,000 Republic of Brazil 8.750 02/04/2025 2,494 1.76 

9,025 6.35 


USD 215 CSN Islands IX Corp., 


Colombia — 3.29% 

USD 4,414 Republic of Colombia, 

Bonds 7.375 09/18/2037 4,681 3.29 

Ecuador — 1.44% 

USD 1,965 Republic of Ecuador, Bonds 10.000 08/15/2030 1,729 1.22 

360 Republic of Ecuador, 

Bonds 144A † 10.000 08/15/2030 317 0.22 

2,046 1.44 


USD 160 Morgan Stanley (Gazprom), 

Notes 144A 9.625 03/01/2013 182 0.13 

80 Morgan Stanley Bank AG 


Secured 9.625 03/01/2013 92 0.06 

274 0.19 

India — 0.22% 

USD 330 ICICI Bank Ltd., Unsecured † 6.375 04/30/2022 308 0.22 


USD 1,281 Vale Overseas Ltd., 




7,673 5.40 


USD 370 Gaz Capital for Gazprom 6.212 11/22/2016 358 0.25 

5,000 Gaz Capital for Gazprom, 

Senior Unsecured 8.625 04/28/2034 6,156 4.33 

1,310 TNK-BP Finance S.A. 7.500 07/18/2016 1,305 0.92 


52




% of 





Luxembourg (continued) 

USD 290 TNK-BP Finance S.A., 





OJSC Vimpel 


9,510 6.69 



Guaranteed 11.000 12/15/2013 217 0.15 

80 Axtel SAB de CV, Company 

Guaranteed 7.625 02/01/2017 77 0.05 

510 Axtel SAB de CV, Senior 

Unsecured Notes 144A 7.625 02/01/2017 493 0.35 

435 Desarrolladora Homex SAB 

de CV, Company 

Guaranteed 7.500 09/28/2015 421 0.30 



Notes 9.375 05/01/2012 362 0.25 


Notes 5.625 01/15/2017 946 0.67 

3,640 Mexico Government Bond 8.125 12/30/2019 4,432 3.12 

4,356 Mexico Government 

International Bond 6.375 01/16/2013 4,530 3.19 



Term Notes 6.750 09/27/2034 387 0.27 

11,865 8.35 


USD 1,060 ATF Capital BV, Bank 

Guaranteed 144A 9.250 02/21/2014 1,060 0.74 

530 HSBK Europe BV, Bank 

Guaranteed 144A 7.250 05/03/2017 483 0.34 

210 Lukoil International Finance 

BV 6.356 06/07/2017 196 0.14 

1,744 Lukoil International Finance 

BV, Company Guaranteed 6.656 06/07/2022 1,609 1.13 





4,041 2.84 



2,343 Republic of Panama, Bonds 6.700 01/26/2036 2,320 1.63 

2,664 1.87 

Peru — 0.54% 

USD 766 Republic of Peru, Bonds 6.550 03/14/2037 766 0.54 



Senior Notes 144A 6.212 11/22/2016 67 0.05 





% of 

Value Net 


Shares (000’s) $ Value 



Bank, Bonds 144A 6.299 05/15/2017 811 0.57 

2,921 RSHB Captial S.A. for 


Bank, Bonds 7.175 05/16/2013 3,019 2.13 

1,750 Russia Government 



2,548 Russian Federation, 

Unsubordinated Bonds † 7.500 03/31/2030 2,834 1.99 

10,030 7.06 


USD 1,330 True Move Co. Ltd. 10.750 12/16/2013 1,325 0.93 

560 True Move Co. Ltd., 


980 True Move Co. Ltd., 


2,881 2.03 







2,330 Republic of Turkey, Senior 



12,386 8.71 


USD 1,500 Freeport-McMoRan Copper 


Unsecured 8.375 04/01/2017 1,597 1.12 



Guaranteed 5.750 12/15/2015 2,423 1.71 



Guaranteed † 8.625 02/01/2022 2,532 1.78 



Guaranteed 6.625 06/15/2035 3,128 2.20 

9,680 6.81 


USD 5,155 Petrozuata Finance, Inc., 


90 Petrozuata Finance, Inc., 



Notes 8.500 10/08/2014 2,878 2.02 


Unsecured 5.750 02/26/2016 4,033 2.84 

180 Republic of Venezuela 7.000 12/01/2018 152 0.11 

53




% of 





USD 2,238 Republic of Venezuela, 

Bonds 9.375 01/13/2034 2,215 1.56 

14,523 10.22 


U.S. Government Agency Obligations 0.26% (Cost $365) 


USD 375 FNMA, Discount 


U.S. Treasury Obligations — 0.01% (Cost $18) 



Warrants — 0.06% (Cost $110) 

725 Republic of Argentina, expiring December, 2035 85 0.06 

Total Warrants (Cost $110) 85 0.06 








† Variable rate security. The interest rate shown reflects the rate in effect at August 

31, 2007. 

— Amounts designated as “—” are either $0, less than $1,000 or less than 1,000 shares. 

ARS 

BRL 

EGP 

EUR 

IDR 

MYR 

RUB 

TRY 



Argentine Peso 


Egyptian Pound 

Euro 

Indonesian Rupiah 

Malaysian Ringgit 

Russian Ruble 

Turkish Lira 




% of Total 



Transferable securities and money market instruments 

admitted to an official exchange or traded on a regulated market 97.06% 





Net 







U.S. 5 Year Note (CBT) December 2007 166 — 166 17,656 17,713 57 — 57 0.04 


of Future Contracts 27 $2,642 $2,543 $57 $(156) $(99) (0.07)% 


Unrealised 




Barclays Capital Inc. Republic of Turkey Buy 2.79 06/20/15 323 $ 4 

11.875 due 1/15/2030 

$ 4 

Schedule of Interest Rate Swaps: 

Unrealised 


Fixed Expiration Amount (Depreciation) 

Counterparty Floating Rate Index Pay/Receive Rate Date (000’s) (000’s) 

Credit Suisse 3 Month BRL-LIBOR Pay 9.50% 08/16/10 (505) $ (56) 

Credit Suisse 1 Month MXN-LIBOR Pay 7.47% 03/07/08 (1,485) 44 

Credit Suisse 0 Month BRL-LIBOR Pay 16.65% 01/03/08 (500) (70) 

Credit Suisse 3 Month BRL-LIBOR Receive 9.50% 08/16/10 505 10 

Credit Suisse 1 Month MXN-LIBOR Receive 7.95% 03/07/08 1,485 (42) 

Credit Suisse 0 Month BRL-LIBOR Receive 16.65% 01/03/08 500 (60) 

$ (173) 


54




% of 





Advertising — 1.64% 

USD 1,425 Affinion Group, Inc., 








1,250 RH Donnelley Corp., Series 

A-3, Senior Notes 8.875 01/15/2016 1,281 0.54 

3,889 1.64 


USD 420 Alliance One International, 

Inc., Company 

Guaranteed 144A 8.500 05/15/2012 418 0.18 



867 0.37 


USD 340 Continental Airlines, Inc., 

Series C, Pass Through 

Certificates 7.339 04/19/2014 316 0.13 


Pass Through Certificates 6.541 09/15/2008 58 0.03 



715 0.30 

Apparel — 0.67% 

USD 1,440 Levi Strauss & Co., Senior 

Unsordinated 9.750 01/15/2015 1,490 0.63 


Unsecured 8.875 04/01/2016 111 0.04 

100 Pillowtex Corp. † zero coupon 12/15/2007 — — 

1,601 0.67 


USD 2,600 Ford Motor Co., Unsecured 7.450 07/16/2031 1,950 0.82 

1,205 Ford Motor Co., Debentures 8.900 01/15/2032 1,000 0.42 

140 Ford Motor Co., Senior 

Notes 144A 4.250 12/15/2036 151 0.07 

720 General Motors Corp., 7.200 01/15/2011 637 0.27 

Notes 

3,230 General Motors Corp., 

Senior Unsubordinated 8.375 07/15/2033 2,592 1.09 

6,330 2.67 

Auto Parts & Equipment — 1.13% 

USD 1,150 Keystone Automotive 



2,055 Visteon Corp., Senior 

Unsecured 8.250 08/01/2010 1,757 0.74 

2,677 1.13 




Guaranteed 9.750 06/15/2014 886 0.37 

% of 






2,715 Freeport-McMoRan Copper 


Unsecured 8.375 04/01/2017 2,891 1.22 

1,440 Georgia Gulf Corp., 



LLC, Company 

Guaranteed * 7.875 11/15/2014 449 0.19 







1,050 Metals USA, Inc., Secured 11.125 12/01/2015 1,118 0.47 


Guaranteed 10.000 05/01/2012 114 0.05 

1,245 Newpage Corp., Company 

Guaranteed * 11.606 05/01/2012 1,320 0.56 


Guaranteed 12.000 05/01/2013 152 0.06 


Corp., Senior Notes 144A * 11.146 11/15/2014 801 0.34 






12,327 5.20 


USD 1,175 Allied Security Escrow 


Guaranteed 11.375 07/15/2011 1,169 0.49 


Notes 144A 9.000 08/15/2016 579 0.25 

1,602 DI Finance/DynCorp 


Senior Subordinated Notes 9.500 02/15/2013 1,626 0.69 

1,230 Education Management 

LLC/Education 




LLC/Education 






Guaranteed 8.875 01/01/2014 104 0.04 

2,505 Hertz Corp., Company 

Guaranteed 10.500 01/01/2016 2,705 1.14 

1,230 Penhall International Corp., 

Secured 144A 12.000 08/01/2014 1,279 0.54 

1,025 Rental Service Corp., 

Bonds 144A 9.500 12/01/2014 1,003 0.42 


55




% of 





Commercial Services (continued) 

USD 170 Service Corp. International, 

Debentures 7.875 02/01/2013 173 0.07 





11,361 4.79 

Consumer Staples — 0.65% 

USD 675 Delhaize America, Inc., 




1,544 0.65 


USD 1,430 Belden & Blake Corp., 

Secured 8.750 07/15/2012 1,430 0.60 

1,025 Chesapeake Energy Corp., 






Guaranteed 8.000 12/15/2016 842 0.36 


Debentures 144A 7.750 06/01/2019 638 0.27 

960 Dynegy Holdings, Inc. 7.625 10/15/2026 835 0.35 


Unsecured 7.875 06/15/2012 2,077 0.88 

930 El Paso Corp., Senior 

Unsecured 7.800 08/01/2031 926 0.39 



Guaranteed * 7.034 01/15/2049 31 0.01 



Guaranteed * 8.375 08/01/2066 686 0.29 

1,050 Exco Resources, Inc., 

Secured 7.250 01/15/2011 1,058 0.45 

1,015 International Coal Group, 






565 Northwest Pipeline Corp., 




Guaranteed 5.750 12/15/2015 470 0.20 



Guaranteed * 8.625 02/01/2022 463 0.20 



Guaranteed 6.625 06/15/2035 230 0.10 



% of 




USD 400 Pogo Producing Co., Series 

B, Senior Subordinated 

Notes 8.250 04/15/2011 410 0.17 



200 Roseton/Danskammer, 


Certificates 7.670 11/08/2016 198 0.08 

1,540 SemGroup LP, Senior 

Notes 144A 8.750 11/15/2015 1,482 0.62 


Guaranteed 6.875 06/01/2014 57 0.02 


Notes 8.000 03/01/2032 78 0.03 

1,225 Stone Energy Corp., Senior 




625 VeraSun Energy Corp., 

Senior Notes 144A 9.375 06/01/2017 580 0.24 



110 Williams Cos., Inc., Series 

A, Debentures 7.500 01/15/2031 113 0.05 

1,100 Williams Cos., Inc., Senior 

Notes 7.625 07/15/2019 1,169 0.49 

1,675 Williams Cos., Inc., Senior 

Unsecured 7.875 09/01/2021 1,796 0.76 


22,539 9.50 


USD 810 AmeriCredit Corp., Senior 

Notes 144A 8.500 07/01/2015 693 0.29 


Notes 144A 8.000 08/01/2013 812 0.34 

550 Chukchansi Economic 

Development Authority, 

Senior Notes 144A 8.000 11/15/2013 547 0.23 




Senior Unsecured * 10.610 06/15/2011 1,031 0.44 


Senior Unsecured * 8.110 01/13/2012 284 0.12 



2,045 GMAC LLC, 6.875 08/28/2012 1,807 0.76 


2,510 GMAC LLC, Bonds 8.000 11/01/2031 2,255 0.95 




Senior Notes 144A * ** 8.875 04/01/2015 838 0.35 





Notes 144A 9.750 04/01/2017 658 0.28 


56




% of 





Financials - Diversified (continued) 

USD 600 Milacron Escrow Corp., 

Secured 11.500 05/15/2011 578 0.24 

300 Mirant Escrow 

Corp. † *** zero coupon 01/03/2008 — — 


Company 

Guaranteed 144A * 8.690 04/17/2009 213 0.09 


Company Guaranteed * 7.500 06/01/2012 661 0.28 



Notes 144A * 9.063 02/01/2014 229 0.10 







1,085 Vanguard Health Holding 



13,784 5.81 

Financials - Real Estate — 0.91% 

USD 570 Ashton Woods USA 






Guaranteed 10.500 12/15/2012 161 0.07 

2,040 Realogy Corp., Senior 

Subordinated Notes 144A 12.375 04/15/2015 1,502 0.63 

2,158 0.91 

Healthcare - Products — 0.38% 

USD 475 Advanced Medical Optics, 



Inc., Secured 144A * 8.500 06/01/2015 247 0.11 


Inc., Secured 144A * 8.759 06/01/2015 212 0.09 

893 0.38 


USD 1,230 Community Health 


Notes 144A 8.875 07/15/2015 1,228 0.52 

1,790 DaVita, Inc., Company 

Guaranteed 7.250 03/15/2015 1,754 0.74 

990 HCA, Inc., Senior 6.375 01/15/2015 807 0.34 

Unsecured 


2,775 HCA, Inc., Secured 144A ** 9.625 11/15/2016 2,869 1.21 

1,075 IASIS Healthcare LLC/IASIS 

Capital Corp., Bank 

Guaranteed 8.750 06/15/2014 1,048 0.44 


Senior Notes 6.375 12/01/2011 34 0.02 

% of 




USD 495 Tenet Healthcare Corp., 



Senior Unsecured Notes 7.375 02/01/2013 1,017 0.43 


Senior Notes 9.875 07/01/2014 1,164 0.49 

1,050 U.S. Oncology Holdings, 

Inc., Senior 

Unsecured 144A * ** 9.797 03/15/2012 971 0.41 

12,166 5.13 


USD 715 K Hovnanian Enterprises, 




130 KB Home, Senior 


1,037 0.44 


USD 1,470 Norcraft Cos. LP/Norcraft 


Guaranteed 9.000 11/01/2011 1,470 0.62 



Corp., Senior 


1,612 0.68 


USD 115 American Greetings Corp., 


890 Jarden Corp., Company 

Guaranteed 7.500 05/01/2017 832 0.35 


Senior Notes 8.750 12/01/2013 635 0.27 

1,576 0.66 


USD 575 Alliant Techsystems, Inc., 


20 American Achievement 


Guaranteed 8.250 04/01/2012 19 0.01 

330 American Railcar 

Industries, Inc., Senior 

Unsecured 7.500 03/01/2014 320 0.13 

1,090 Associated Materials, Inc., 


1,160 Associated Materials, 



100 Caesars Entertainment, 


452 Dole Foods Co., Inc., 





57




% of 





Industrial (continued) 

USD 500 DRS Technologies, Inc., 



Guaranteed 7.750 02/15/2014 470 0.20 



1,255 Graham Packaging Co., 

Inc., Company Guaranteed 9.875 10/15/2014 1,230 0.52 

1,360 Graphic Packaging 



455 Gulfmark Offshore, Inc., 





Guaranteed 6.375 10/15/2015 232 0.10 

1,065 L-3 Communications Corp., 


580 Metals USA Holdings Corp., 

Senior Notes 144A * ** 11.360 07/01/2012 534 0.22 

— Moll Industries, Inc., Senior 

Subordinated notes † *** 10.500 07/01/2008 — — 



2,305 NTK Holdings, Inc., 


Notes zero coupon 03/01/2014 1,441 0.61 


Senior Notes 144A 8.500 12/15/2015 553 0.23 


Senior Notes * 11.000 03/15/2010 1 — 

1,340 Smurfit-Stone Container 


Unsecured 8.000 03/15/2017 1,278 0.54 


Secured 144A * 13.308 05/15/2015 209 0.09 

1,515 St. Acquisition Corp., 

Secured 144A 12.500 05/15/2017 1,026 0.43 

15,077 6.36 

Leisure & Lodgings — 4.56% 

USD 85 AMC Entertainment, Inc., 




1,000 Boyd Gaming Corp., Senior 


460 Fontainebleau Las Vegas 

Holdings 

LLC/Fontainebleau Las 

Vegas Capital Corp., 

Second Mortgage 144A 10.250 06/15/2015 394 0.17 

1,535 Inn of the Mountain Gods 


Guaranteed 12.000 11/15/2010 1,619 0.68 

1,350 Las Vegas Sands Corp., 


% of 




USD 150 MGM Mirage, Company 

Guaranteed 7.500 06/01/2016 148 0.06 

1,500 MGM Mirage, Company 

Guaranteed 7.625 01/15/2017 1,485 0.63 

1,550 Pinnacle Entertainment, 




Secured 9.750 11/01/2011 118 0.05 









Notes 144A 9.125 12/15/2010 808 0.34 



10,826 4.56 

Multi Media — 5.65% 

USD 2,005 CCH I Holdings LLC, 




1,622 CCH I Holdings LLC/CCH I 


Secured 11.000 10/01/2015 1,590 0.67 

1,370 Charter Communications 




Unsecured 10.250 09/15/2010 1,384 0.58 





Unsecured 11.750 05/15/2011 309 0.13 





Unsecured 12.125 01/15/2012 482 0.20 



1,375 CSC Holdings, Inc., Series 

B, Senior Unsecured 8.125 08/15/2009 1,385 0.58 


Unsecured * 6.750 04/15/2012 732 0.31 



1,030 Echostar DBS Corp., 



Guaranteed 8.000 11/15/2016 820 0.35 





58




% of 





Multi Media (continued) 

USD 250 ION Media Networks, Inc., 

Secured 144A * 11.610 01/15/2013 250 0.11 


Notes 144A 10.500 01/15/2015 886 0.37 

710 TL Acquisitions, Inc., 


Notes 144A zero coupon 07/15/2015 533 0.23 


Inc., Senior Notes 144A ** 9.750 03/15/2015 414 0.18 





13,391 5.65 


USD 1,760 Leiner Health Products, 


REITS — 0.45% 

USD 360 Ventas Realty LP/Ventas 


Guaranteed 6.500 06/01/2016 346 0.15 



Guaranteed 6.750 04/01/2017 710 0.30 

1,056 0.45 


USD 155 AutoNation, Inc., Company 

Guaranteed 7.000 04/15/2014 146 0.06 


Subordinated Notes * 9.000 09/01/2012 649 0.27 


Guaranteed 12.500 11/01/2014 735 0.31 

325 Carrols Corp., Company 

Guaranteed 9.000 01/15/2013 306 0.13 



Guaranteed 10.000 10/01/2012 690 0.29 


Senior Notes 144A 10.625 07/15/2015 774 0.33 



Notes 144A * ** 11.875 07/15/2017 714 0.30 





Guaranteed 10.750 02/15/2015 856 0.36 

475 Michaels Stores, Inc., 

Senior Notes 144A 10.000 11/01/2014 476 0.20 


Inc., Company 

Guaranteed ** 9.000 10/15/2015 707 0.30 



425 OSI Restaurant Partners, 

Inc., Senior Notes 144A 10.000 06/15/2015 367 0.15 


Unsecured 10.375 02/01/2015 356 0.15 


% of 




USD 1,510 Suburban Propane Partners 



Notes 6.875 12/15/2013 1,442 0.61 

9,588 4.04 


USD 685 Activant Solutions, Inc., 






1,310 Sungard Data Systems, 



Subordinated 

Notes 144A ** 9.625 02/15/2015 421 0.18 

3,658 1.54 


USD 195 Cincinnati Bell Telephone 




1,110 Citizens Communications 

Co., Senior Unsecured 7.875 01/15/2027 1,041 0.44 




Guaranteed 12.500 05/01/2015 201 0.09 


Guaranteed 9.000 08/15/2014 411 0.17 

1,340 Level 3 Financing, Inc., 





Senior Notes 144A 9.250 11/01/2014 291 0.12 



2,040 Qwest Communications 



915 Qwest Corp., Debentures 6.875 09/15/2033 837 0.35 


Notes 9.875 02/01/2010 419 0.18 


Secured 8.250 03/15/2012 910 0.38 


Subordinated Notes 144A * 8.580 06/01/2013 632 0.27 

1,600 Windstream Corp., 


10,931 4.61 


USD 200 Kansas City Southern 


Guaranteed 7.500 06/15/2009 200 0.08 

59




% of 






USD 300 AES Corp., Senior Notes 9.500 06/01/2009 310 0.13 








Senior Notes 144A 7.200 05/15/2019 472 0.20 


Senior Notes 144A 7.625 05/15/2027 502 0.21 



Certificates 8.560 01/02/2016 431 0.18 

85 Mirant Americas Generation 

LLC, Senior Unsecured 8.300 05/01/2011 84 0.04 




Guaranteed 7.250 02/01/2014 643 0.27 


Guaranteed 7.375 02/01/2016 1,980 0.83 





8,091 3.41 





Bonds * 2.000 01/03/2010 542 0.23 

355 Republic of Argentina, 

Notes * 5.830 12/31/2033 109 0.05 

651 0.28 


BRL 534 Brazil Notas do Tesouro 

Nacional, Series B, Notes 6.000 05/15/2045 425 0.18 

4,105 Brazil Notas do Tesouro 

Nacional, Series F, Notes 10.000 07/01/2010 2,002 0.84 

2,427 1.02 

Egyptian Government Issues — 1.68% 

EGP 13,050 Egypt Treasury Bill, 




3,992 1.68 

Indonesia Government Issues — 0.34% 








% of 






808 0.34 


MYR 1,396 Malaysia Treasury 

Bill, Series 91 zero coupon 11/02/2007 396 0.17 



Bonds 6.790 10/29/2009 1,266 0.53 


Bonds 7.000 10/27/2011 418 0.18 

14,550 Gazprom OAO 6.950 08/06/2009 568 0.24 

2,252 0.95 

Turkish Lira Bond — 0.14% 

TRY 475 Republic of Turkey, Bonds 14.000 01/19/2011 334 0.14 




USD 245 AES China Generating Co. 

Ltd., Bonds 8.250 06/26/2010 242 0.10 

1,025 Intelsat Bermuda Ltd., 


1,740 Intelsat Bermuda Ltd., 


3,118 1.31 




Guaranteed 6.000 06/20/2013 514 0.22 



Guaranteed 8.375 04/01/2015 310 0.13 




Debentures 7.400 04/01/2018 359 0.15 


Debentures 8.850 08/01/2030 171 0.07 




Senior Notes 6.750 03/15/2014 80 0.03 


Unsecured 8.750 08/15/2012 990 0.42 

1,080 Novelis, Inc., Company 

Guaranteed * 7.250 02/15/2015 1,048 0.44 



300 Videotron Ltee, Company 

Guaranteed 6.375 12/15/2015 274 0.12 

4,524 1.91 

60




% of 




U.S. Denominated Bonds and Notes — (continued) 

Chile — 0.03% 

USD 70 Enersis S.A., Bonds 7.375 01/15/2014 75 0.03 


USD 860 Nordic Telephone Co. 


Notes 144A 8.875 05/01/2016 890 0.38 






USD 10 Morgan Stanley Bank AG 


Secured 9.625 03/01/2013 11 — 

Great Britain — 0.78% 

USD 150 Ashtead Holdings PLC, 

Secured Notes 144A 8.625 08/01/2015 147 0.06 



1,035 Virgin Media Finance PLC, 


1,857 0.78 

India — 0.28% 

USD 400 ICICI Bank Ltd., Unsecured * 6.375 04/30/2022 374 0.16 

314 ICICI Bank Ltd., 

Unsecured 144A * 6.375 04/30/2022 294 0.12 

668 0.28 

Ireland — 0.18% 

USD 410 Smurfit Capital Funding 

PLC, Company Guaranteed 7.500 11/20/2025 392 0.17 

30 Smurfit Kappa Funding 

PLC, Senior Subordinated 

Notes 7.750 04/01/2015 29 0.01 

421 0.18 






2,061 0.87 


USD 875 Basell AF SCA, Company 

Guaranteed 144A 8.375 08/15/2015 779 0.33 






OJSC Vimpel 



S.A., Secured 144A 10.750 12/01/2015 191 0.08 

2,146 0.90 


USD 1,300 Axtel SAB de CV, Senior 

Unsecured Notes 144A 7.625 02/01/2017 1,258 0.53 

% of 




USD 260 Kansas City Southern de 


Notes 144A 7.625 12/01/2013 255 0.11 

1,513 0.64 


1,750 ATF Capital BV, Bank 

Guaranteed 144A 9.250 02/21/2014 1,750 0.74 

1,050 HSBK Europe BV, Bank 

Guaranteed 144A 7.250 05/03/2017 958 0.40 

1,635 Montell Finance Co. BV, 



Secured 7.875 10/15/2014 587 0.25 





1,075 TuranAlem Finance BV, 


6,117 2.58 

Sweden — 0.28% 

USD 706 Corral Finans AB, 

Secured 144A * 10.360 04/15/2010 675 0.28 


USD 3,570 True Move Co. Ltd., 





USD 458 Argentina Bonos, Series VII, 

Bonds 7.000 09/12/2013 392 0.17 

726 Republic of Argentina, Notes 8.280 12/31/2033 621 0.26 

1,013 0.43 


USD 1,294 Republic of Brazil, 


Colombia —0.54% 

USD 150 Republic of Colombia, 


138 Republic of Colombia, 

Bonds 7.375 01/27/2017 147 0.06 

908 Republic of Colombia, 

Bonds 7.375 09/18/2037 963 0.41 

1,276 0.54 

Ecuador —0.20% 

USD 525 Republic of Ecuador, Bonds 10.000 08/15/2030 462 0.20 








Bank, Senior Notes 144A 7.175 05/16/2013 817 0.34 

2,212 0.93 


61




% of 







Guaranteed 7.625 02/01/2017 39 0.02 

1,355 Kansas City Southern de 


Notes 9.375 05/01/2012 1,402 0.59 


Notes 5.625 01/15/2017 52 0.02 



Unsecured 5.875 01/15/2014 178 0.08 


International Bond 6.750 09/27/2034 716 0.30 

2,387 1.01 


USD 179 Lukoil International Finance 

BV, Company Guaranteed 6.656 06/07/2022 165 0.07 



Peru — 0.10% 

USD 12 Republic of Peru, 

Unsubordinated Bonds 7.350 07/21/2025 13 — 

234 Republic of Peru, Bonds 6.550 03/14/2037 234 0.10 

247 0.10 




Bank, Subordinated Notes * 6.970 09/21/2016 264 0.11 



Bank, Bonds 144A 6.299 05/15/2017 262 0.11 

188 Russia Government 



483 Russian Federation, 


1,285 0.54 






320 Republic of Turkey, Senior 


624 Republic of Turkey, 

Unsecured 6.875 03/17/2036 586 0.25 

2,401 1.01 

Uruguay — 0.14% 

USD 2 Republic of Uruguay, Bonds 7.875 01/15/2033 2 — 

322 Republic of Uruguay 7.625 03/21/2036 336 0.14 

338 0.14 


USD 1,245 Petrozuata Finance, Inc., 


USD 182 Republic of Venezuela, 

Notes 144A 10.750 09/19/2013 195 0.08 

% of 





Notes 8.500 10/08/2014 58 0.03 


Unsecured 5.750 02/26/2016 1,738 0.73 


Bonds 9.375 01/13/2034 262 0.11 

3,498 1.48 


U.S. Government Agency Obligations 0.01%(Cost $24) 






— American Tower Corp., Class A — — 

3,128 Home Interiors and Gifts, Inc. 144A † *** 31 0.01 

— ION Media Networks, Inc., Series B 1 — 

Total Common Stock (Cost $31) 32 0.01 



Warrants 0.15% 

7,117 Republic of Argentina 265 0.11 

1 Pillowtex Corp. † — — 

3 Republic of Venezuala 93 0.04 

Total Warrants (Cost $395) 358 0.15 








* Variable rate security. The interest rate shown reflects the rate in effect at August 

31, 2007. 

** Payment in Kind Security 

*** Illiquid 

† Security is valued in good faith at fair value by or at the discretion of the Investment 

Manager. 


shares. 

REITS - Real Estate Investment Trusts 


ARS Argentine Peso MYR Malaysian Ringgit 

BRL Brazilian Real RUB Russian Ruble 

EGP Egyptian Pound TRY Turkish Lira 

IDR Indonesian Rupiah USD United States Dollar 



% of Total 



Transferable securities admitted to an official exchange 





62




% of 








Index Bond † 2.375 04/15/2011 1,791 2.47 


Index Bond † 2.500 07/15/2016 1,095 1.51 


Index Bond † 2.000 01/15/2026 2,394 3.30 


Index Bond † 2.375 01/15/2027 843 1.16 

6,159 8.49 


USD 6,040 U.S. Treasury Note 4.500 03/31/2009 6,064 8.35 



10,047 13.84 





USD 22 FHLMC Gold, Pool #E81637 8.000 09/01/2010 22 0.03 

179 FHLMC Gold, Pool 7.500 10/01/2014 182 0.25 

#G11169 


#O20122 


#G80176 


#G00767 


#G80210 


#G80204 


#G00921 


#C14619 


#N30699 

1,414 FHLMC Non Gold, Pool 

#555537 9.500 01/01/2021 1,526 2.10 

1,434 FHLMC Non Gold, Pool 

#789586 ** 5.661 07/01/2032 1,451 2.00 

6,941 9.56 


USD 640 FNMA, 30 Year 

October TBA *** 5.000 10/15/2037 608 0.84 


September TBA *** 5.000 09/15/2037 6,101 8.40 


September TBA *** 5.500 09/15/2022 2,684 3.70 


October TBA *** 5.500 10/15/2037 1,689 2.33 

7,870 FNMA, TBA 

September TBA *** 5.500 09/15/2037 7,686 10.59 

% of 





October TBA *** 6.000 10/15/2037 699 0.96 


September TBA *** 6.000 09/15/2022 414 0.57 


September TBA *** 6.000 09/15/2037 2,846 3.92 

407 FNMA, Pool #545048 7.000 10/01/2015 418 0.58 

358 FNMA, Pool #545816 8.000 03/01/2017 365 0.50 

211 FNMA, Pool #545854 8.500 03/01/2017 215 0.30 

203 FNMA, Pool #555210 6.500 10/01/2017 204 0.28 

99 FNMA, Pool #693330 7.000 11/01/2017 100 0.14 

417 FNMA, Pool #705794 7.000 01/01/2018 421 0.58 

148 FNMA, Pool #633510 8.000 06/01/2018 157 0.22 

650 FNMA, Pool #516216 8.000 08/01/2019 683 0.94 

352 FNMA, Pool #516217 8.500 08/01/2019 375 0.52 

436 FNMA, Pool #545383 9.000 03/01/2020 450 0.62 

1,633 FNMA, Pool #555319 7.500 03/01/2021 1,715 2.36 

1,178 FNMA, Pool #545746 8.000 10/01/2021 1,240 1.71 

2,946 FNMA, Pool #254305 6.500 05/01/2022 3,022 4.16 

229 FNMA, Pool #125308 7.500 05/01/2024 240 0.33 

202 FNMA, Pool #612040 9.500 10/01/2024 220 0.30 

917 FNMA, Pool #303278 7.000 01/01/2025 951 1.31 

292 FNMA, Pool #547542 8.500 10/01/2026 313 0.43 

188 FNMA, Pool #721749 9.000 10/01/2026 204 0.28 

755 FNMA, Pool #713213 9.000 12/01/2026 820 1.13 

250 FNMA, Pool #689978 8.500 03/01/2027 268 0.37 

503 FNMA, Pool #595463 8.500 04/01/2027 539 0.74 

210 FNMA, Pool #721748 9.000 05/01/2027 227 0.31 

55 FNMA, Pool #648571 8.500 09/01/2030 59 0.08 

1,993 FNMA, Pool #545376 8.500 10/01/2030 2,125 2.93 

376 FNMA, Pool #581418 7.000 06/01/2031 391 0.54 

2,014 FNMA, Pool #598559 6.500 08/01/2031 2,076 2.86 

734 FNMA, Pool #613142 7.000 11/01/2031 761 1.05 

738 FNMA, Pool #621672 ** 5.976 01/01/2032 738 1.02 

856 FNMA, Pool #555318 7.000 04/01/2032 894 1.23 

239 FNMA, Pool #555194 8.000 05/01/2032 252 0.35 

1,968 FNMA, Pool #708340 ** 4.649 04/01/2033 1,984 2.73 

45,154 62.21 


USD 490 GNMA, 30 Year 

September TBA *** 5.000 09/15/2037 472 0.65 

4,400 GNMA, 30 Year 

September TBA *** 6.000 09/15/2037 4,421 6.09 

289 GNMA, Pool #780210 8.000 07/15/2010 297 0.41 

75 GNMA, Pool #385981 9.000 11/15/2024 81 0.11 

736 GNMA, Pool #780162 8.500 06/15/2025 795 1.10 

61 GNMA, Pool #405539 8.500 12/15/2025 65 0.09 

6,131 8.45 


(Cost $58,169) 58,226 80.22 


63




% of 







7,000 FNMA, Notes ** 3.831 02/17/2009 6,807 9.38 





** Variable rate security. The interest rate shown reflects the rate in effect at 

August 31, 2007. 

*** Securities purchased on a to-be-announced basis (Note 1). 

† The rate of interest on this type of security is tied to the Consumer Price Index 



TBA 

TIPS 



To Be Announced 



EXCHANGE OR TRADED ON A REGULATED MARKET 

% of Total 









Net 





3 Month Euro Future 

June 2008 39 — 39 9,265 9,306 41 — 41 0.06 


December 2007 — (150) (150) (16,296) (16,357) — (61) (61) (0.08) 


September 2007 — (40) (40) (4,246) (4,379) — (133) (133) (0.18) 


Decemeber 2007 18 — 18 3,711 3,711 — — — — 


December 2007 — (19) (19) (2,021) (2,027) — (6) (6) (0.01) 


September 2007 — (2) (2) (211) (214) — (3) (3) — 


December 2007 — (11) (11) (1,219) (1,227) — (8) (8) (0.01) 


of Future Contracts (165) $(11,017) $(11,187) $41 $(211) $(170) (0.22)% 


64




% of 






Bonds 144A † 5.830 01/18/2012 302 0.29 


Notes 144A 5.750 10/04/2011 403 0.38 


Senior Notes 144A † 6.205 08/25/2009 402 0.38 

Total Corporate Bonds and Notes (Cost $1,109) 1,107 1.05 

U.S. Government Agency Obligations 0.37% (Cost $389) 







USD 26 FHLMC Non Gold, Pool 

#972125 † 3.950 07/01/2033 26 0.03 

124 FHLMC Non Gold 

Pool #555464 10.500 12/01/2020 140 0.13 


Pool #846676 † 7.083 02/01/2023 769 0.73 


Pool #846738 † 7.322 03/01/2029 874 0.83 


Pool #787010 † 7.327 12/01/2029 255 0.24 

1,011 FHLMC Non Gold 

Pool #846899 † 7.251 08/01/2030 1,019 0.97 

1,648 FHLMC Non Gold 

Pool #780923 † 5.298 10/01/2033 1,659 1.57 

342 FHLMC Remics, Pool 

#2579 † 6.061 11/15/2026 342 0.32 

5,084 4.82 


USD 321 FNMA, Pool #70009 † 6.778 04/01/2018 323 0.31 

742 FNMA, Pool #535037 † 7.025 04/01/2025 742 0.70 

1,719 FNMA, Pool #323521 † 7.112 07/01/2026 1,764 1.67 

2,071 FNMA, Pool #535320 † 6.930 05/01/2028 2,079 1.97 

344 FNMA, Pool #323808 † 7.221 05/01/2028 352 0.34 

1,747 FNMA, Pool #545024 † 7.288 09/01/2030 1,750 1.66 

1,059 FNMA, Pool #653859 † 5.716 08/01/2032 1,077 1.02 

601 FNMA, Pool #658883 † 4.776 09/01/2032 614 0.58 

467 FNMA, Pool #604890 † 4.900 09/01/2032 474 0.45 

805 FNMA, Pool #658893 † 4.655 11/01/2032 814 0.77 

491 FNMA, Pool #555076 † 4.986 11/01/2032 489 0.47 

446 FNMA, Pool #676886 † 4.781 12/01/2032 453 0.43 

325 FNMA, Pool #683622 † 4.543 01/01/2033 330 0.31 

157 FNMA, Pool #677055 † 6.917 01/01/2033 158 0.15 

787 FNMA, Pool #708340 † 4.649 04/01/2033 793 0.75 

1,120 FNMA, Pool #713961 † 4.412 04/01/2033 1,110 1.05 

261 FNMA, Pool #693263 † 4.021 05/01/2033 263 0.25 

2,332 FNMA, Pool #726778 † 4.541 05/01/2033 2,338 2.22 

1,266 FNMA, Pool #708780 † 4.424 06/01/2033 1,246 1.18 

589 FNMA, Pool #737480 † 5.164 09/01/2033 594 0.56 


September TBA * 5.000 09/15/2037 1,521 1.44 

% of 





October TBA * 5.500 10/15/2037 2,344 2.22 

1,000 FNMA, TBA 

September TBA * 5.500 09/15/2037 977 0.93 


October TBA * 6.000 10/15/2037 2,995 2.84 

10,100 FNMA, 30 Year 

September TBA * 6.000 09/15/2037 10,087 9.56 


September TBA * 6.500 09/15/2037 406 0.39 

1,439 FNMA Pool, Pool #735641 † 5.542 05/01/2042 1,453 1.38 

510 FNMA Grantor Trust, Series 

2002-T19, Class A4 † 6.313 03/25/2042 507 0.48 

1,268 FNMA Remics, Series 

2005-86 † 5.805 10/25/2035 1,240 1.18 

1,066 FNMA Whole Loan, Series 

2003-W6, Class 6A † 6.455 08/25/2042 1,076 1.02 

40,369 38.28 


USD 115 GNMA, Pool #80283 † 6.375 05/20/2029 116 0.11 

278 GNMA, Pool #80291 † 6.375 06/20/2029 279 0.27 

173 GNMA, Pool #80593 † 6.375 04/20/2032 174 0.17 

380 GNMA, Pool #80602 † 6.375 05/20/2032 383 0.36 

223 GNMA, Pool #80616 † 5.500 07/20/2032 224 0.21 

234 GNMA, Pool #80636 † 5.500 09/20/2032 235 0.22 

683 GNMA, Pool #80664 † 6.500 01/20/2033 690 0.65 

635 GNMA, Pool #80681 † 6.500 03/20/2033 641 0.61 

1,329 GNMA, Pool #81200 † 6.000 01/20/2035 1,336 1.27 

4,078 3.87 


(Cost $49,685) 49,531 46.97 


USD 791 American Home Mortgage 


Class 2A1 † 5.695 09/25/2046 778 0.74 

227 Banc of America Mortgage 

Securities, Inc., Series 

2004-A, Class 1A1 † 6.085 02/25/2034 230 0.22 


Series-2004 10, Class 

1A1 † 5.845 09/25/2034 929 0.88 


Series-2004 11, Class 

1A2 † 5.925 11/25/2034 529 0.50 


Series-2005-2, Class 1A1 † 5.755 03/25/2035 595 0.56 

2,376 Bear Stearns Asset Backed 


2003-SD3, Class A † 5.985 10/25/2033 2,315 2.20 

1,252 Citigroup Mortgage Loan 

Trust, Inc., Series 

2007-AR4, Class 2A1A † 5.526 03/25/2037 1,250 1.18 



2004-AL1, Class A1 † 5.755 11/25/2046 679 0.64 


65




% of 





USD 1,558 Countrywide Alternative 


2006-OA17, Class 1A1A † 5.733 12/20/2046 1,529 1.45 




Class 1A1 † 6.005 06/25/2018 875 0.83 

1,487 Countrywide Home Loan 



Class 2A4 † 5.905 08/25/2033 1,474 1.40 

1,650 Countrywide Home Loan 



Class 2A1 † 4.244 09/25/2033 1,648 1.56 



Trust, Series 2003-HYB1, 

Class 1A1 † 3.686 05/19/2033 676 0.64 




1A2 † 5.795 04/25/2035 552 0.52 




2A1 † 5.755 03/25/2036 800 0.76 

707 First Horizon Alternative 

Mortgage Securities, Series 

2005-AA12, Class 1A1 † 5.923 02/25/2036 714 0.68 

417 First Horizon Asset 


2005-AR2, Class 1A1 † 4.839 05/25/2035 417 0.40 



2006-HE1, Class A † 5.715 11/25/2036 588 0.56 

1,176 GSAMP Trust, Series 

2006-SEA1, Class 

A 144A† 5.805 05/25/2036 1,153 1.09 

416 GSR Mortgage Loan Trust, 


1A1 † 6.291 09/25/2034 417 0.40 



2A1A † 5.738 10/19/2037 1,440 1.37 



2A1A † 5.720 11/19/2036 1,848 1.75 

407 Impac CMB Trust, Series 

2003-8, Class 1A2 † 6.505 10/25/2033 402 0.38 

548 Impac Secured Assets CMN 

Owner Trust, Series 

2004-3, Class 1A4 † 5.905 11/25/2034 548 0.52 

758 Impac Secured Assets CMN 

Owner Trust, Series 

2005-1, Class 5A1 † 5.775 07/25/2035 757 0.72 

403 Mastr Adjustable Rate 

Mortgages Trust, Series 

2003-6, Class 5A1 † 7.250 12/25/2033 403 0.38 

1,442 Mastr Alternative Loans 


7A1 † 5.905 11/25/2033 1,439 1.36 


% of 




USD 1,770 Merrill Lynch Mortgage 

Investors, Inc., Series 

2005-A2, Class A4 † 4.487 02/25/2035 1,742 1.65 

621 New York Mortgage Trust, 

Inc., Series 2005-2, Class 

A † 5.835 08/25/2035 619 0.59 

1,200 Residential Accredit Loans, 


Class 3A2 † 5.710 09/25/2046 1,191 1.13 

282 Residential Asset 

Securitization Trust, Series 

2003-A5, Class A5 † 6.005 06/25/2033 280 0.27 

2,171 Residential Asset 

Securitization Trust, Series 

2004-A2, Class 1A3 † 5.905 05/25/2034 2,166 2.05 

2,084 Residential Funding 

Mortgage Securities I, 

Series 2003-S10, Class 

A2 † 5.905 06/25/2033 2,067 1.96 



Series 2004-1, Class 2A † 5.815 02/25/2034 232 0.22 



Series 2004-17, Class A1 † 6.099 11/25/2034 589 0.56 



Series 2004-7, Class A1 † 5.775 06/25/2034 756 0.72 

899 Structured Asset Investment 


2003-BC1, Class A2 † 6.185 01/25/2033 869 0.82 

664 Structured Asset Mortgage 

Investment, Inc., Series 

2003-CL1, Class 1F2 † 6.105 07/25/2032 661 0.63 


Investments, Inc., Series 

2003-AR2, Class A1 † 5.908 12/19/2033 412 0.39 



2005-AR3, Class 2A1 † 7.508 08/25/2035 560 0.53 

1,798 Structured Asset Mortgage 


2006-AR6, Class 1A3 † 5.695 07/25/2036 1,747 1.66 

876 Structured Asset Securities 

Corp., Series 1998-3, Class 

M1 † 6.505 03/25/2028 780 0.74 

1,508 Structured Asset Securities 


M1 † 6.445 08/25/2028 1,433 1.36 


Corp., Series 2002-16A, 

Class 1A1 † 7.690 08/25/2032 434 0.41 


Corp., Series 2002-8A, 

Class 7A1 † 6.846 05/25/2032 764 0.72 



2A9 † 5.820 04/25/2033 485 0.46 

1,306 Structured Asset Securities 

Corp., Series 2004-NP1, 

Class A 144A† 5.905 09/25/2033 1,280 1.21 



2004-1, Class I2A † 5.955 03/25/2044 508 0.48 

66




% of 





USD 529 Thornburg Mortgage 


2004-2, Class A4 † 5.660 06/25/2044 529 0.50 



2005-2, Class A4 † 5.755 07/25/2045 669 0.63 



2005-3, Class A1 † 5.735 10/25/2035 207 0.20 



2005-3, Class A4 † 5.775 10/25/2035 503 0.48 


Alternative Mortgage 

Pass Through Certificates † 6.475 05/25/2046 546 0.52 


Alternative Mortgage 

Pass Through Certificates † 6.465 08/25/2046 632 0.60 



Certificate, Series 

2007-OA4, Class 1A † 6.275 05/25/2047 774 0.73 

1,065 Washington Mutual 


Certificate, Series 

2007-OA6, Class 1A † 6.315 07/25/2047 1,056 1.00 




2003-S4, Class 2A9 † 6.470 06/25/2033 199 0.19 




2006-AR10, Class 1A1 † 5.945 09/25/2036 688 0.65 

709 Washington Mutual MSC 


CTFS, Series 2002-AR1, 

Class 1A1 † 7.474 11/25/2030 707 0.67 


(Cost $51,690) 51,070 48.42 

Asset Backed Securities — 17.31% 

USD 96 Ameriquest Mortgage 


2003-8, Class AV2 † 5.935 10/25/2033 96 0.09 

128 Ameriquest Mortgage 


2004-R8, Class A5 † 5.875 09/25/2034 126 0.12 

149 Argent Securities, Inc. † 5.895 10/25/2034 146 0.14 



2003-1, Class A1 † 6.005 11/25/2042 969 0.92 



2003-AC5, Class A3 † 6.105 10/25/2033 2,282 2.16 



2004-B01, Class 2A2 † 5.905 09/25/2034 1,615 1.53 

380 Business Loan Express, 

Series 2002-AA, Class 

A 144A † 6.155 06/25/2028 381 0.36 

% of 




USD 1,214 Business Loan Express, 

Series 2003-2A, Class 

A 144A † 6.120 01/25/2032 1,224 1.16 

867 Cendant Mortgage Corp., 

Series 2003-A, Class 

A3 144A † 5.870 07/25/2043 867 0.82 

409 Centex Home Equity, Series 

2005-D, Class AV2 † 5.590 10/25/2035 408 0.39 

440 Countrywide Asset Backed 

Certificate, Series 2004-6, 

Class 2A4 † 5.955 11/25/2034 435 0.41 

28 First Franklin Mortgage 

Loan Asset Backed 


2002-FF3, Class A2 † 6.425 8/25/2032 28 0.03 

508 First Franklin Mortgage 

Loan Asset Backed 


2004-FFH4, Class 1A1 † 5.805 01/25/2035 506 0.48 

163 Option One Mortgage Loan 


A1 † 6.005 08/25/2032 159 0.15 

328 Option One Mortgage Loan 


A2 † 6.045 08/25/2032 322 0.31 

1,476 RAAC Series, Series 

2006-RRP3, Class 

A 144A † 5.775 05/25/2036 1,425 1.35 

1,087 Renaissance Home Equity 


Class A † 5.945 08/25/2033 1,055 1.00 

2,520 Renaissance Home Equity 


Class A † 6.005 12/25/2033 2,435 2.31 

689 SACO I, Inc., Series 

2005-10, Class 1A † 5.765 06/25/2036 657 0.62 


Class A1 † 5.785 11/25/2020 777 0.74 

1,068 SACO I, Inc., Series 2006-5, 

Class 1A † 5.655 04/25/2036 912 0.87 

11 Saxon Asset Securities 


AV1 † 6.005 03/25/2032 11 0.01 

123 Specialty Underwriting & 

Residential Finance, Series 

2003-BC1, Class A † 5.845 01/25/2034 117 0.11 

1,322 Truman Capital Mortgage 


Class A 144A † 5.935 03/25/2037 1,302 1.23 

Total Asset Backed Securities (Cost $18,803) 18,255 17.31 




144A Securities exempt from registration under Rule 144A of the Securities Act of 1933, 

as amended.These securities may only be resold, in transactions exempt from 

registration, to qualified institutional buyers. At August 31, 2007, these securities 

amounted to $8,738,596 or 8.27% of net assets. 

* Securities purchased on a to-be-announced basis (Note 1). 


31, 2007. 


67





TBA 






% of Total 





Financial Derivative Instruments (0.10%) 




Net 


Amount Amount Nominal Cost Value Gains Losses Gain/(Loss) % of Net 

Purchased Sold Value (000's) (000's) (000's) (000's) (000's) Asset 

(000's) (000's) (000's) $ $ $ $ $ Value 

90 Day Sterling September 2007 26 — 26 6,175 6,122 — (53) (53) (0.05) 

90 Day Euro$ December 2007 24 — 24 5,693 5,704 11 — 11 0.01 




Decemeber 2007 35 — 35 7,210 7,215 5 — 5 — 


December 2007 — (106) (106) (11,276) (11,311) — (35) (35) (0.03) 


September 2007 — (4) (4) (421) (427) — (6) (6) (0.01) 


of Future Contracts (93) $9 $(118) $16 $(143) $(127) (0.13)% 


68




% of 






USD 120 Altria Group, Inc., 

Debentures 7.750 01/15/2027 146 0.34 

Cosmetics/Personal Care — 0.36% 

USD 160 Procter & Gamble Co. 5.550 03/05/2037 152 0.36 

Electric — 3.39% 

USD 230 The Detroit Edison Co. 5.700 10/01/2037 215 0.51 

255 Exelon Corp., Bonds 5.625 06/15/2035 227 0.54 

285 FirstEnergy Corp., Series 

C, Unsubordinated Notes 7.375 11/15/2031 314 0.74 

260 Midamerican Energy 

Holdings Co. 6.125 04/01/2036 251 0.59 

40 Pacific Gas & Electric Co., 



Unsecured 6.550 11/15/2034 387 0.92 

1,432 3.39 

Environmental Control — 0.18% 

USD 70 Waste Management, Inc., 


Financials Banks — 5.04% 

USD 170 Abbey National Capital 

Trust I † 8.963 12/31/2049 211 0.50 

270 BAC Capital Trust XI 6.625 05/23/2036 277 0.65 

200 Bank One Corp. 8.000 04/29/2027 241 0.57 

100 BB&T Capital Trust II 6.750 06/07/2036 102 0.24 

130 Glitnir Banki HF 144A† 7.451 09/14/2016 136 0.32 

240 HSBC Bank USA 5.625 08/15/2035 218 0.52 

220 Mellon Capital IV † 6.244 06/20/2012 217 0.51 

210 SunTrust Capital VIII, Bank 

Guaranteed † 6.100 12/01/2046 182 0.43 

160 Wachovia Capital Trust III, 

Bank Guaranteed † 5.800 Perpetual 160 0.38 

330 Wachovia Corp. 5.500 8/01/2035 295 0.70 

100 Wells Fargo Capital X, 


2,133 5.04 

Financials Diversified — 16.73% 

USD 170 American Express Co., 

Subordinated Debentures † 6.800 09/01/2049 174 0.41 

400 Capital One Capital IV 6.745 02/17/2037 334 0.79 

80 Capmark Financial Group, 

Inc. 144A 5.875 05/10/2012 71 0.17 

280 Citigroup, Inc. 6.625 06/15/2032 291 0.69 


Corp., Company Guaranteed 5.800 06/07/2012 216 0.51 


Unsecured 7.375 10/28/2009 729 1.72 

10 General Electric Capital Corp. 6.000 06/15/2012 10 0.03 


Corp., Notes 5.450 01/15/2013 766 1.81 

10 General Electric Capital Corp. 6.150 08/07/2037 10 0.02 

100 Glen Meadow Pass-Through 

Trust 144A† 6.505 12/31/2049 95 0.22 

% of 




USD 680 GMAC LLC, Bonds 8.000 11/01/2031 611 1.45 

250 GMAC LLC, Unsubordinated Notes 7.750 01/19/2010 238 0.56 

350 The Goldman Sachs Group, Inc. 6.450 05/01/2036 338 0.80 

330 International Lease Finance 

Corp. 5.400 02/15/2012 327 0.77 

140 Jefferies Group, Inc. 6.250 01/15/2036 125 0.30 

50 JP Morgan Chase Capital XVIII 6.950 08/17/2036 47 0.11 


Inc. † 6.000 05/03/2032 114 0.27 


Inc. 6.875 07/17/2037 122 0.29 

120 McGuire Air Force 

Base/Fort Dix Privatized 

Military Housing Project 144A 5.611 12/31/2049 114 0.27 

30 Merrill Lynch & Co., Inc. 6.050 08/15/2012 31 0.07 

270 Merrill Lynch & Co., Inc. 6.110 01/29/2037 250 0.59 

60 Morgan Stanley 7.250 04/1/2032 66 0.16 

80 New York Liberty 

Development Corp. 5.250 10/1/2035 82 0.20 





220 Residential Capital LLC 7.875 06/30/2015 166 0.39 

160 SLM Corp., Notes 5.625 08/01/2033 128 0.30 


1,610 State of Illinois 5.100 06/01/2033 1,501 3.55 

7,077 16.73 

Food — 0.50% 

USD 210 Safeway, Inc. 5.800 8/15/2012 213 0.50 

Healthcare Products — 0.75% 

USD 310 Johnson & Johnson 5.950 08/15/2037 316 0.75 

Healthcare Services — 0.68% 

USD 270 WellPoint, Inc. 6.800 08/01/2012 287 0.68 


USD 300 Weyerhaeuser Co. 7.375 03/15/2032 300 0.71 


USD 40 Allstate Corp. 6.500 05/15/2037 37 0.09 

100 Chubb Corp. 6.000 05/11/2037 95 0.22 

90 Liberty Mutual Group, 

Inc. 144A 7.800 03/15/2037 80 0.19 

170 MetLife, Inc., Junior 

Subordinated 6.400 12/15/2036 155 0.37 

100 Willis North America, Inc. 5.125 07/15/2010 98 0.23 

60 Willis North America, Inc. 5.625 07/15/2015 57 0.14 

522 1.24 

Media — 2.93% 

USD 550 Comcast Corp., Company 

Guaranteed 6.450 03/15/2037 531 1.26 

90 News America, Inc. 6.200 12/15/2034 84 0.20 



80 Viacom, Inc., Senior Notes 6.875 04/30/2036 78 0.18 

1,240 2.93 


69




% of 




U.S. Corporate Bonds and Notes (continued) 

Oil & Gas — 3.58% 

USD 90 ConocoPhillips Australia 

Funding Co. 5.500 04/15/2013 90 0.21 


Guaranteed 4.750 10/15/2012 176 0.42 

110 ConocoPhillips Holding 




250 Hess Corp., Notes 7.300 08/15/2031 272 0.64 

360 Kerr-McGee Corp. 7.875 09/15/2031 414 0.98 



Guaranteed 6.625 06/15/2035 46 0.11 

230 XTO Energy, Inc. 6.100 04/01/2036 218 0.51 

1,515 3.58 


USD 220 Cardinal Health, Inc., 


80 Hospira, Inc. 5.550 03/30/2012 80 0.19 

280 Wyeth, Notes 5.950 04/01/2037 268 0.63 

564 1.33 

Pipelines — 2.76% 

USD 420 El Paso Corp., Senior 

Unsecured 7.800 08/01/2031 418 0.99 


Partners LP 5.800 03/15/2035 97 0.23 


Partners LP 6.950 01/15/2038 121 0.29 

140 Texas Eastern 

Transmission LP 7.000 07/15/2032 154 0.36 


1,165 2.76 

REITS — 0.51% 

USD 230 iStar Financial, Inc. 5.950 10/15/2013 218 0.51 


USD 30 Macys Retail Holdings, Inc. 6.650 07/15/2024 28 0.07 

150 Macys Retail Holdings, Inc. 6.700 07/15/2034 140 0.33 

60 Wal-Mart Stores, Inc. 4.125 02/15/2011 58 0.14 

110 Wal-Mart Stores, Inc. 7.550 02/15/2030 126 0.30 

600 Wal-Mart Stores, Inc., 


967 2.29 


USD 190 AT&T Corp. 8.000 11/15/2031 226 0.54 

160 BellSouth Corp. 6.875 10/15/2031 166 0.39 

180 Embarq Corp. 6.738 06/01/2013 187 0.44 

150 New Cingular Wireless 

Services, Inc. 8.750 03/01/2031 187 0.44 



280 Verizon Communications, Inc. 6.250 04/01/2037 276 0.65 

1,261 2.98 

% of 





USD 100 Norfolk Southern Corp. 5.590 05/17/2025 92 0.22 


USD 330 Pacific Gas & Electric Co., 

Unsecured Bonds 6.050 03/01/2034 323 0.76 




USD 470 Conoco Funding Co., 


60 Rogers Cable, Inc. 6.250 06/15/2013 61 0.15 

552 1.31 


USD 110 Shinsei Finance Cayman 

Ltd., Bonds 144A† 6.418 Perpetual 104 0.25 

150 SMFG Preferred Capital 

USD 1 Ltd., 

Subordinated 144A† 6.078 Perpetual ` 140 0.33 

244 0.58 


USD 100 France Telecom S.A. 8.500 03/01/2031 128 0.30 


USD 4,160 Kreditanstalt fuer 

Wiederaufbau zero coupon 06/29/2037 842 1.99 


USD 160 Barclays Bank PLC † 6.278 12/31/2049 140 0.33 

120 British Telecommunications 

PLC 9.125 12/15/2030 161 0.38 

80 Vodafone Group PLC 6.150 02/27/2037 75 0.18 

376 0.89 



Subordinated 

Notes 144A† 6.693 06/15/2016 209 0.49 


Notes 144A 5.750 10/ 04/2011 101 0.24 




Notes 144A 6.100 08/25/2011 103 0.24 

546 1.29 

India — 0.22% 

USD 100 ICICI Bank Ltd., 

Unsecured 144A† 6.375 04/30/2022 94 0.22 

Japan — 0.47% 

USD 100 Aiful Corp. 144A 6.000 12/12/2011 101 0.24 


199 0.47 






237 0.56 


70




% of 




U.S. Corporate Bonds and Notes (continued) 


USD 120 Telecom Italia Capital S.A. 6.000 09/30/2034 110 0.26 


S.A., Company 

Guaranteed 6.875 01/15/2029 162 0.38 

272 0.64 


USD 90 Deutsche Telekom 

International Finance BV 8.250 06/15/2030 109 0.26 

170 Koninklijke KPN NV, Senior 

Unsubordinated Bonds 8.375 10/01/2030 193 0.46 




Company 

Guaranteed 144A 8.250 01/22/2037 85 0.20 

472 1.12 

Spain — 0.56% 

USD 120 International Bank for 

Reconstruction & 

Development 4.750 02/15/2035 110 0.26 

50 Telefonica Emisiones SAU 5.855 02/04/2013 50 0.12 

75 Telefonica Emisiones SAU 7.045 06/20/2036 78 0.18 

238 0.56 


U.S. Denominated Debt Obligations 0.38% (Cost $163) 


USD 148 Mexico Government 

International Bond 6.750 09/27/2034 161 0.38 

U.S. Government Agency Obligations 3.92% 


USD 200 FHLMC 5.200 03/05/2019 195 0.46 

310 FHLMC 6.750 03/15/2031 368 0.87 

563 1.33 




Financing — 2.31% 

USD 350 Financing Corp. Fico zero coupon 03/07/2019 195 0.46 

160 Financing Corp. Fico zero coupon 09/26/2019 87 0.21 

350 Residual Funding 

Strip zero coupon 10/15/2019 191 0.45 

970 Residual Funding 

Strip zero coupon 10/15/2020 502 1.19 

975 2.31 

Total U.S. Government Agency Obligations 

(Cost $1,643) 1,656 3.92 

U.S. Government Agency Discount Notes 4.98% 

USD 2,460 FNMA zero coupon 10/09/2019 1,304 3.08 

2,700 FNMA Principal Strip zero coupon 11/15/2030 802 1.90 

Total U.S. Government Agency Discount Notes 

(Cost $2,036) 2,106 4.98 

% of 




U.S. Government Agency Mortgage-Backed Securities — 5.02% 


USD 1,500 FNMA, 30 Year 

October TBA * 5.000 10/15/2037 1,425 3.37 


October TBA * 6.000 10/15/2037 200 0.47 


September TBA * 6.000 09/15/2037 499 1.18 

Total U.S. Government Agency 

Mortgage-Backed Securities 

(Cost $2,126) 2,124 5.02 


U.S. Treasury Bonds 8.13% 

USD 833 U.S. Treasury Bond 8.750 05/15/2017 1,099 2.60 

900 U.S. Treasury Bond 8.125 08/15/2019 1,174 2.78 


3,436 8.13 




577 1.36 

U.S. Treasury Strip Principal — 4.94% 

USD 2,220 U.S. Treasury Strip 

Principal zero coupon 02/15/2019 1,277 3.02 

1,160 U.S. Treasury Strip 



Principal zero coupon 11/15/2022 1 — 



2,090 4.94 



USD 331 Countrywide Alternative Loan 

Trust, Series 2005-J12 2A1, 

Class 2A1 † 5.775 08/25/2035 331 0.78 



2006-OA10 4A1 † 5.510 08/25/2046 218 0.52 



2006-HE1, Class A † 5.715 11/25/2036 196 0.46 



2007-AR1, Class 1A1A † 5.585 02/25/2047 359 0.85 

12 Morgan Stanley ABS 

Capital I, Series 

2005-WMC3 A1MZ † 5.765 03/25/2035 12 0.03 

24 Morgan Stanley ABS 

Capital I, Series 

2005-WMC4 A1MZ † 5.580 04/25/2035 23 0.06 


(Cost $1,156) 1,139 2.70 





71





1933, as amended.These securities may only be resold, in transactions 

exempt from registration, to qualified institutional buyers.At August 31, 2007, 


* Securities purchased on a to-be-announced basis (Note 1). 


31, 2007. 


TBA 






% of Total 









Net 






December 2007 38 — 38 4,129 4,144 15 — 15 0.04 


December 2007 147 — 147 15,624 15,685 61 — 61 0.14 


December 2007 — (13) (13) (1,440) (1,450) — (10) (10) (0.02) 


of Future Contracts 172 $18,313 $18,379 $76 $(10) $66 0.16% 


72




% of 





Financials - Divrsified — 4.52% 

USD 400 Lehman Brothers Holdings, 

Inc. † 3.600 09/28/2007 399 4.09 



Total U.S. Corporate Bonds and Notes (Cost $449) 441 4.52 







207 2.12 




Total U.S. Denominated Bonds and Notes (Cost $243) 238 2.43 




USD 1,267 FHLMC Remics, Pool 

#2777 PI * 5.000 05/15/2024 47 0.48 



September TBA ** 5.000 09/15/2037 95 0.98 


September TBA ** 6.000 09/15/2037 400 4.09 

495 5.07 


(Cost $543) 542 5.55 



USD 420 U.S. Treasury Inflationary 

Index Bond *** 4.250 01/15/2010 540 5.53 


Index Bond *** 0.875 04/15/2010 836 8.56 


Index Bond *** 3.000 07/15/2012 538 5.51 


Index Bond *** 2.000 01/15/2014 517 5.30 


Index Bond *** 2.000 01/15/2016 830 8.50 


Index Bond *** 2.500 07/15/2016 949 9.72 


Index Bond *** 1.625 01/15/2015 1,033 10.59 


Index Bond *** 2.375 01/15/2025 923 9.45 


Index Bond *** 2.000 01/15/2026 1,601 16.40 


Index Bond *** 2.375 01/15/2027 329 3.37 


Index Bond *** 3.875 04/15/2029 95 0.97 


% of 





USD 500 GSAMP Trust, Series 

2004 OPT, Class M3 † 6.655 11/25/2034 434 4.44 


Investors NIM Trust, Series 

2005 WMC1, Class 

N1 144A 5.000 09/25/2035 1 0.02 

134 Renaissance Home Equity 

Loan Trust, Series 2003 4, 

Class M3 † 7.405 03/25/2034 119 1.22 

15 SACO I, Inc., Series 2005 2, 

Class A 144A † 5.705 04/25/2035 14 0.15 



M1 † 6.505 03/25/2028 54 0.55 


(Cost $715) 622 6.38 


Liabilities in Excess of Other Assets (271) (2.78) 





these securities amounted to $222,988 or 2.29% of net assets. 

* Illiquid 


*** The rate of interest on this type of security is tied to the Consumer Price Index 



31, 2007. 


TBA 

TIPS 







% of Total 



Transferable securities admitted to official exchange 






73





Net 

Nominal Notional Notional Unrealised Unrealised Unrealised 

Amount Amount Value Cost Value Gains Losses Gain/(Loss) 

Purchased Sold (000’s) (000’s) (000’s) (000’s) (000’s) (000’s) % of Net 

(000’s) (000’s) $ $ $ $ $ $ Asset Value 

90 day Euro$ March 2008 3 — 3 713 715 2 — 2 0.02 

90 day Euro$ September 2007 5 — 5 1,187 1,181 — (6) (6) (0.06) 


of Future Contracts 8 $ 1,900 $1,896 $2 $ (6) $(4) (0.04)% 


74




% of 





Food — 1.16% 

USD 5,780 Kraft Foods, Inc., Senior 

Unsecured 7.000 08/11/2037 5,949 1.16 

Media — 1.78% 

USD 1,095 Comcast Corp., Company 

Guaranteed 6.450 03/15/2037 1,057 0.21 

5,690 Comcast Corp., Company 

Guaranteed 6.950 08/15/2037 5,829 1.14 

2,250 Viacom, Inc., Senior Notes 6.875 04/30/2036 2,191 0.43 

9,077 1.78 


USD 5,590 Wal Mart Stores, Inc., 




Australia Government Issues — 12.54% 

AUD22,530 New South Wales Treasury 

Corp., Series 12RG, Local 


35,965 New South Wales Treasury 

Corp., Series 17RG, Local 


23,520 Queensland Treasury 



64,095 12.54 

Canada Government Issues — 13.86% 

CAD26,845 Canada Government Bond 6.000 06/01/2011 26,833 5.25 

18,069 Canadian Treasury 

Bill zero coupon 10/04/2007 17,046 3.33 





7,500 Province of Ontario, Series 

G, Medium Term Notes, 

Unsubordinated Bonds 6.250 06/16/2015 4,869 0.95 

70,885 13.86 

Germany Government Issues — 7.20% 

EUR 4,265 Bundesrepublic 


Bonds 5.250 07/04/2010 5,986 1.17 



Bonds 4.000 07/04/2009 12,129 2.37 



Bonds 4.500 07/04/2009 18,677 3.66 

36,792 7.20 


MYR 1,210 Bank Negara Malaysia 

Monetary Notes Islamic 3.067 05/22/2008 345 0.07 

46,320 Malaysia Government, 

Series 5/06, Bonds 3.718 06/15/2012 13,266 2.59 

13,611 2.66 

% of 




Mexico Government Bonds — 2.19% 

MXN 122,600 Mexican Bonos, Series 

MI10 8.000 12/19/2013 11,209 2.19 

New Zealand Dollar Bonds — 1.98% 

NZD12,810 General Electric Capital 

Corp. 7.625 12/10/2014 9,039 1.77 

1,575 New Zealand Government 

Bond, Series 415, Bonds 6.000 04/15/2015 1,090 0.21 

10,129 1.98 

Norwegian Government Issues — 2.29% 

NOK 67,410 Norway Government Bond 5.500 05/15/2009 11,687 2.29 

Poland Government Issues — 7.33% 

PLN 104,640 Republic of Poland 5.750 06/24/2008 37,468 7.33 

Singapore Government Issues — 6.89% 

SGD19,110 Singapore Government, 

Bonds 2.625 10/01/2007 12,538 2.45 

19,551 Singapore Government, 

Bonds 1.500 04/01/2008 12,763 2.50 

14,745 Singapore Government 

Bond, Bonds 4.375 01/15/2009 9,941 1.94 

35,242 6.89 

South African Government Issues — 3.40% 

ZAR 113,480 Republic of South Africa 13.000 08/31/2010 17,395 3.40 

Sweden Government Issues — 4.82% 

NZD 7,660 Svensk Exportkredit AB 7.625 06/30/2014 5,382 1.06 

SEK130,530 Sweden Government Bond, 

Series 1040, Bonds 6.500 05/05/2008 19,232 3.76 

24,614 4.82 

United Kingdom Government Issues — 7.48% 

GBP 10,940 United Kingdom Gilt, Bonds 4.750 09/07/2015 21,586 4.22 

8,930 United Kingdom Gilt, Bonds 4.000 09/07/2016 16,673 3.26 

38,259 7.48 


U.S. Government Agency 

Obligations — 4.89% (Cost $24,565) 


USD24,660 FNMA 6.000 04/18/2036 25,013 4.89 



USD 17,165 U.S. Treasury Bond 6.500 11/15/2026 20,618 4.03 




75




% of 




Collateralised Mortgage-Backed 

Obligations — 2.58% (Cost $13,299) 

USD13,680 Wells Fargo Mortgage 

Backed Securities Trust, 

Series 2007 11, Class A36 6.000 08/25/2037 13,209 2.58 




AUD 

CAD 

EUR 

GBP 

MXN 

MYR 

NOK 

NZD 

PLN 

SEK 

SGD 


ZAR 



Canadian Dollar 

Euro 


Mexican Peso 

Malaysian Ringgit 

Norwegian Krone 

New Zealand Dollar 

Polish Zloty 

Swedish Krona 

Singapore Dollar 


South African Rand 




% of Total 


Transferable securities admitted to an official exchange or traded on 

a regulated market 92.87% 





76




% of 

Value Net 



% of 

Value Net 





— Bunge Ltd. 32 1.45 


6 Bombardier, Inc., Class B 36 1.62 

1 Nortel Networks Corp. 15 0.67 

51 2.29 

Finland — 2.27% 

1 Nokia Oyj 30 1.34 

1 UPM-Kymmene Oyj 20 0.93 

50 2.27 


2 Alcatel-Lucent 25 1.15 

— Compagnie Generale des Etablissements 

Michelin, Class B 26 1.15 

1 France Telecom S.A. 33 1.51 

— Sanofi-Aventis 28 1.26 

— Technip S.A. 32 1.45 

1 Total S.A. 45 2.05 

189 8.57 


1 Bayerische Motoren Werke AG 37 1.66 

— Fresenius Medical Care AG & Co. KGaA 19 0.87 

1 Henkel KGaA 45 2.06 

2 Infineon Technologies AG 31 1.41 

— MTU Aero Engines Holding AG 6 0.29 

— Siemens AG 38 1.71 

176 8.00 


— Anglo American PLC 21 0.95 

2 Barclays PLC 24 1.09 

3 British Sky Broadcasting Group PLC 42 1.92 

2 Diageo PLC 41 1.86 

1 GlaxoSmithKline PLC 32 1.44 

— Mondi PLC 1 0.04 

3 Royal Bank of Scotland Group PLC 30 1.37 

2 Trinity Mirror PLC 18 0.82 

13 Vodafone Group PLC 43 1.94 

252 11.43 

Hong Kong — 3.35% 

5 Cheung Kong Holdings Ltd. 74 3.35 

Israel — 1.17% 

1 Teva Pharmaceutical Industries Ltd., ADR 26 1.17 

Japan — 11.02% 

— Central Japan Railway Co. 34 1.54 

1 Millea Holdings, Inc. 23 1.05 

— Mitsubishi UFJ Financial Group, Inc. 19 0.87 

2 Mitsubishi UFJ Securities Co. Ltd. 20 0.88 

7 Mizuho Investors Securities Co. Ltd. 13 0.57 

4 Nipponkoa Insurance Co. Ltd. 37 1.69 

1 Nitto Denko Corp. 37 1.69 

1 Sony Corp. 38 1.74 

1 Square Enix Co. Ltd. 22 0.99 

243 11.02 


2 Aegon Coupons — — 

2 Aegon NV 33 1.52 

1 Koninklijke Philips Electronics NV 32 1.43 

65 2.95 

South Africa — 0.02% 

— Mondi Ltd. — 0.02 

Switzerland — 3.09% 

1 Clariant AG 11 0.51 

— Nestle S.A. 57 2.58 

68 3.09 

Taiwan — 0.68% 

3 Advanced Semiconductor Engineering, Inc., ADR 15 0.68 


— 3M Co. 27 1.24 

— ACE Ltd. 17 0.79 

1 Apollo Group, Inc., Class A 47 2.13 

1 Arch Coal, Inc. 21 0.94 

1 Boston Scientific Corp. 13 0.58 

1 CBS Corp., Class B 35 1.57 

1 Cisco Systems, Inc. 45 2.03 

— Citadel Broadcasting Corp. — 0.01 

1 Citigroup, Inc. 37 1.70 

1 The Coca-Cola Co. 27 1.22 

2 Dell, Inc. 54 2.44 

— Devon Energy Corp. 30 1.37 

— Gannett Co., Inc. 19 0.85 

1 General Electric Co. 51 2.29 

1 Home Depot, Inc. 34 1.56 

1 Johnson & Johnson 43 1.96 

— Loews Corp. 14 0.64 

1 Microsoft Corp. 26 1.17 

2 News Corp., Class B 37 1.68 

1 NRG Energy, Inc. 21 0.93 

1 Oracle Systems Corp. 28 1.29 

1 Peabody Energy Corp. 25 1.16 

1 Pfizer, Inc. 20 0.90 

— Ryanair Holdings PLC, ADR 15 0.68 

1 SanDisk Corp. 39 1.78 

1 Silicon Motion Technology Corp., ADR 17 0.78 

7 United Microelectronics Corp., ADR 22 0.99 

1 Waddell & Reed Financial, Inc., Class A 15 0.68 

1 The Walt Disney Co. 24 1.07 


77




Value Net 



Common Stock — (continued) 

United States — (continued) 

1 Wyeth Corp. 32 1.47 

835 37.90 

Total Common Stock (Cost $2,018) 2,076 94.19 





shares. 

ABBREVIATION: 

ADR American Depositary Receipt 



% of Total 



Transferable securities admitted to an official exchange or 

traded on a regulated market 93.98% 




78




% of 

Value Net 





347 General Motors Corp. 10,676 0.50 

Electronics — 0.99% 

604 Tyco Electronics Ltd. 21,056 0.99 


498 Capital One Financial Corp. 32,181 1.52 


12 The Bear Stearns Cos., Inc. 1,249 0.06 

1,173 Citigroup, Inc. 54,967 2.59 

2,108 Countrywide Financial Corp. 41,842 1.98 

2,030 JPMorgan Chase & Co. 90,362 4.26 

188,420 8.89 

Financials - Insurance — 2.47% 

792 American International Group, Inc. 52,292 2.47 

Healthcare - Products — 1.64% 

875 Covidien Ltd. 34,835 1.64 


1,734 Aetna, Inc. 88,258 4.17 

717 Health Net, Inc. 39,306 1.85 

1,934 UnitedHealth Group, Inc. 96,714 4.56 

224,278 10.58 


189 Beazer Homes USA, Inc. 1,996 0.09 

680 Centex Corp. 19,670 0.93 

1,216 Pulte Homes, Inc. 20,234 0.96 

351 Ryland Group, Inc. 10,056 0.47 

51,956 2.45 


2,396 Eastman Kodak Co. 63,907 3.02 

1,420 General Electric Co. 55,195 2.60 

796 Tyco International Ltd. 35,134 1.66 

154,236 7.28 

Internet & Catalog Retail — 22.80% 

2,281 Amazon.Com, Inc. 182,270 8.60 

1,999 eBay, Inc. 68,152 3.22 

2,094 Expedia, Inc. 62,515 2.95 

208 Google, Inc., Class A 107,069 5.05 

2,774 Yahoo!, Inc. 63,058 2.98 

483,064 22.80 

Internet Content — 2.43% 

1,851 IAC/InterActiveCorp. 51,445 2.43 


1,908 The DIRECTV Group, Inc. 44,515 2.10 

2,673 Time Warner, Inc. 50,739 2.40 

95,254 4.50 


1,301 Pfizer, Inc. 32,319 1.53 

% of 

Value Net 




1,238 Home Depot, Inc. 47,435 2.24 

546 Sears Holdings Corp. 78,427 3.70 

125,862 5.94 

Software and Services — 3.19% 

1,163 CA, Inc. 29,288 1.38 

724 Electronic Arts, Inc. 38,345 1.81 

67,633 3.19 


960 Hewlett-Packard Co. 47,356 2.23 

336 International Business Machines Corp. 39,150 1.85 

1,353 Seagate Technology 34,924 1.65 

280 Texas Instruments, Inc. 9,591 0.45 

131,021 6.18 


1,285 Cisco Systems, Inc. 41,027 1.94 

863 Motorola, Inc. 14,621 0.69 

11,013 Qwest Communications International, Inc. 98,569 4.65 

5,642 Sprint Nextel Corp. 106,743 5.04 

260,960 12.32 


5,462 The AES Corp. 98,913 4.67 

Total Common Stock (Cost $1,823,103) 2,116,401 99.88 

Total Investments (Cost $1,823,103) 2,116,401 99.88 


Total Net Assets $2,118,964 100.00 



% of Total 








79




% of 

Value Net 





87 Quanta Services, Inc. 2,448 3.10 


118 Jabil Circuit, Inc. 2,618 3.32 


22 Sunpower Corp., Class A 1,469 1.86 

Engineering & Construction — 10.96% 

25 Fluor Corp. 3,204 4.06 

22 Foster Wheeler Ltd. 2,570 3.26 

58 The Shaw Group, Inc. 2,878 3.64 

8,652 10.96 

Financials — Diversified — 10.76% 

76 Citigroup, Inc. 3,577 4.53 

83 Countrywide Financial Corp. 1,641 2.08 

116 E*Trade Financial Corp. 1,809 2.29 

8 The Goldman Sachs Group, Inc. 1,470 1.86 

8,497 10.76 

Financials — Insurance — 4.72% 


Healthcare — Services — 0.88% 

14 Aetna, Inc. 692 0.88 


24 Caterpillar, Inc. 1,841 2.33 

99 General Electric Co. 3,852 4.88 

5,693 7.21 


56 Amazon.Com, Inc. 4,435 5.62 

118 eBay, Inc. 4,024 5.10 

58 Expedia, Inc. 1,740 2.20 

6 Google, Inc., Class A 3,220 4.08 

256 Yahoo!, Inc. 5,826 7.38 

19,245 24.38 


258 XM Satellite Radio Holdings, Inc., Class A 3,212 4.07 

Software and Services — 6.80% 


38 NAVTEQ Corp. 2,363 2.99 

5,370 6.80 




55 Cisco Systems, Inc. 1,749 2.21 

156 Nokia Oyj, ADR 5,129 6.50 

96 Qualcomm, Inc. 3,838 4.86 

10,716 13.57 

% of 

Value Net 




17 FedEx Corp. 1,903 2.41 





ABBREVIATION: 

ADR - American Depositary Receipt 



% of Total 








80




% of 

Value Net 




Aerospace and Defense — 4.93% 

1 Boeing Co. 67 0.17 

7 Honeywell International, Inc. 382 0.94 

9 Raytheon Co. 552 1.36 

13 United Technologies Corp. 1,004 2.46 

2,005 4.93 

Air Freight & Logistics — 1.53% 

8 United Parcel Service, Inc., Class B 622 1.53 

Beverages — 1.47% 

9 PepsiCo, Inc. 600 1.47 

Biotechnology — 0.97% 

5 Amgen, Inc. 239 0.59 

2 Genentech, Inc. 157 0.38 

396 0.97 

Building Products — 0.04% 

1 Masco Corp. 16 0.04 

Capital Markets — 0.50% 

3 Merrill Lynch & Co, Inc. 203 0.50 

Chemicals — 4.44% 

13 Cytec Industries, Inc. 835 2.05 

9 EI Du Pont De Nemours & Co. 429 1.06 

2 Monsanto Co. 140 0.34 

6 PPG Industries, Inc. 403 0.99 

1,807 4.44 

Commercial Banks — 1.31% 

15 Wells Fargo & Co. 535 1.31 

Commercial Services & Supplies — 2.68% 

7 Covanta Holding Corp. 160 0.39 

7 Pitney Bowes, Inc. 295 0.73 

17 Waste Management, Inc. 637 1.56 

1,092 2.68 

Communications Equipment — 4.11% 


5 Juniper Networks, Inc. 178 0.44 

9 Qualcomm, Inc. 351 0.86 

1,671 4.11 

Computers & Peripherals — 4.95% 

13 Dell, Inc. 362 0.89 

34 EMC Corp. 662 1.63 

9 International Business Machines Corp. 992 2.43 

2,016 4.95 

Consumer Finance — 1.89% 

13 American Express Co. 768 1.89 

Diversified Financial Services — 1.46% 

2 Bank of America Corp. 109 0.27 

11 JP Morgan Chase & Co. 484 1.19 

593 1.46 

Diversified Telecommunication Services — 0.51% 

5 Verizon Communications, Inc. 209 0.51 

% of 

Value Net 



Electric Utilities — 0.15% 

3 Duke Energy Corp. 62 0.15 

Energy Equipment & Services — 1.73% 

15 Nabors Industries Ltd. 444 1.09 

3 Schlumberger Ltd. 260 0.64 

704 1.73 

Exchange Traded Funds — 1.63% 

28 iShares MSCI Japan Index Fund 388 0.95 

4 Streettracks Gold Trust 277 0.68 

665 1.63 

Food & Staples Retailing — 2.72% 

8 Walgreen Co. 369 0.91 

17 Wal-Mart Stores, Inc. 738 1.81 

1,107 2.72 

Food Products — 2.18% 

4 Cadbury Schweppes PLC, ADR 174 0.43 

5 General Mills, Inc. 290 0.71 

3 HJ Heinz Co. 127 0.31 

9 Kraft Foods, Inc., Class A 298 0.73 

889 2.18 

Healthcare Providers & Services — 0.84% 

7 UnitedHealth Group, Inc. 343 0.84 

Hotels, Restaurants & Leisure — 1.03% 

7 Marcus Corp. 150 0.37 

5 McDonald's Corp. 268 0.66 

418 1.03 


3 Kimberly-Clark Corp. 234 0.58 

11 Procter & Gamble Co. 705 1.73 

939 2.31 

Industrial Conglomerates — 14.15% 

7 3M Co. 606 1.49 



5,759 14.15 


7 Aflac, Inc. 362 0.89 

7 American International Group, Inc. 449 1.10 

— Berkshire Hathaway, Inc., Class A 2,605 6.40 

7 Marsh & McLennan Cos, Inc. 194 0.48 

16 The Travelers Cos, Inc. 791 1.94 

4,401 10.81 

Internet Software & Services — 3.39% 

7 eBay, Inc. 228 0.56 

1 Google, Inc., Class A 335 0.83 

18 Verisign, Inc. 583 1.43 

10 Yahoo!, Inc. 232 0.57 

1,378 3.39 


81




% of 

Value Net 



Common Stock (continued) 

IT Services — 1.48% 

3 Accenture Ltd., Class A 136 0.33 

10 Automatic Data Processing, Inc. 467 1.15 

603 1.48 

Media — 3.65% 

3 Echostar Communications Corp., Class A 140 0.34 

1 Gannett Co, Inc. 30 0.08 

34 Time Warner, Inc. 640 1.57 

1 Viacom, Inc., Class B 28 0.07 

19 The Walt Disney Co. 648 1.59 

1,486 3.65 

Metals & Mining — 0.60% 

7 Alcoa, Inc. 245 0.60 

Oil, Gas & Consumable Fuels — 9.52% 

3 Anadarko Petroleum Corp. 162 0.40 

1 BP PLC 94 0.23 

7 Canadian Natural Resources Ltd. 485 1.19 

8 Devon Energy Corp. 587 1.44 

10 EnCana Corp. 597 1.47 

14 Exxon Mobil Corp. 1,235 3.03 

10 Newfield Exploration Co. 439 1.08 

12 Spectra Energy Corp. 279 0.68 

3,878 9.52 


10 Abbott Laboratories 493 1.21 

7 Eli Lilly & Co. 390 0.96 


7 Pfizer, Inc. 167 0.41 

3 Wyeth Corp. 158 0.39 

2,049 5.03 

Real Estate Management & Development — 1.38% 

10 Forest City Enterprises, Inc., Class A 561 1.38 

Semiconductors & Semiconductor Equipment — 2.42% 

14 Intel Corp. 348 0.85 

68 LSI Corp. 471 1.16 

3 Memc Electronic Materials, Inc. 166 0.41 

985 2.42 

Software — 3.07% 


20 Oracle Systems Corp. 414 1.01 

1,251 3.07 

Speciality Retail — 0.39% 

4 Home Depot, Inc. 159 0.39 

Thrifts & Mortgage Finance — 0.48% 

14 Hudson City Bancorp, Inc. 193 0.48 





ABBREVIATION: 




% of Total 








82




% of 

Value Net 





51 Boeing Co. 4,961 1.68 

121 Honeywell International, Inc. 6,788 2.31 

141 Raytheon Co. 8,631 2.93 

20,380 6.92 


71 Toba Pulp Lestari Tbk Pt, ADR † — — 

Building Products — 0.30% 

27 Simpson Manufacturing Co., Inc. 874 0.30 


10 Franklin Resources, Inc. 1,305 0.44 

84 Merrill Lynch & Co., Inc. 6,220 2.11 

97 State Street Corp. 5,952 2.02 

13,477 4.57 

Chemicals — 2.76% 

79 The Dow Chemical Co. 3,385 1.15 

98 EI Du Pont De Nemours & Co. 4,753 1.61 

8,138 2.76 



326 Motorola, Inc. 5,533 1.88 

10,908 3.70 


44 International Business Machines Corp. 5,192 1.76 

9 Socket Communications, Inc. 8 — 

5,200 1.76 

Consumer Finance — 1.91% 

96 American Express Co. 5,633 1.91 


158 Bank of America Corp. 8,007 2.72 

171 JPMorgan Chase & Co. 7,627 2.59 

15,634 5.31 

Electronic Equipment & Instruments — 1.10% 

89 Agilent Technologies, Inc. 3,229 1.10 


29 Baker Hughes, Inc. 2,415 0.82 

67 BJ Services Co. 1,665 0.57 

51 GlobalSantaFe Corp. 3,621 1.23 

77 Halliburton Co. 2,650 0.90 

41 Schlumberger Ltd. 3,927 1.33 

14,278 4.85 

Food & Staples Retailing — 1.88% 

127 Wal-Mart Stores, Inc. 5,526 1.88 


90 Kraft Foods, Inc., Class A 2,893 0.98 

161 Unilever PLC, ADR 5,080 1.73 

7,973 2.71 


61 Kimberly-Clark Corp. 4,173 1.42 

% of 

Value Net 






37 Allied World Assurance Holdings Ltd. 1,759 0.60 


105 Chubb Corp. 5,346 1.81 

33 Hartford Financial Services Group, Inc. 2,907 0.99 

13,695 4.65 


17 Bridgeline Software, Inc. 72 0.02 

62 eBay, Inc. 2,118 0.72 

77 Verisign, Inc. 2,466 0.84 

4,656 1.58 

Life Sciences & Tools — 0.87% 

143 Enzo Biochem, Inc. 2,576 0.87 

Machinery — 2.75% 

66 Caterpillar, Inc. 5,031 1.71 

62 Dover Corp. 3,058 1.04 

8,089 2.75 

Media — 10.43% 

463 Interpublic Group Cos, Inc. 5,074 1.72 

392 News Corp., Class B 8,513 2.89 

76 Pearson PLC, ADR 1,138 0.39 

244 Pearson PLC 3,661 1.24 

286 Time Warner, Inc. 5,425 1.84 

206 The Walt Disney Co. 6,905 2.35 

30,716 10.43 

Metals & Mining — 1.49% 

120 Alcoa, Inc. 4,395 1.49 


69 Anadarko Petroleum Corp. 3,389 1.15 

1,275 Berkley Resources, Inc. 519 0.17 

38 Chevron Corp. 3,361 1.14 

19 ConocoPhillips 1,589 0.54 

31 Exxon Mobil Corp. 2,649 0.90 

96 Williams Cos, Inc. 2,970 1.01 

14,477 4.91 

Paper & Forest Products — 1.27% 

55 Weyerhaeuser Co. 3,736 1.27 


135 Abbott Laboratories 7,029 2.39 

155 Bentley Pharmaceuticals, Inc. 1,908 0.65 

52 Eli Lilly & Co. 2,965 1.01 

89 GlaxoSmithKline PLC, ADR 4,647 1.58 

91 Johnson & Johnson 5,605 1.90 

58 Novartis AG, ADR 3,070 1.04 

227 Pfizer, Inc. 5,639 1.91 

127 Wyeth Corp. 5,885 2.00 

36,748 12.48 


83




% of 

Value Net 





322 Applied Materials, Inc. 6,867 2.33 

97 Novellus Systems, Inc. 2,647 0.90 

12 Samsung Electronics Co. Ltd., GDR 3,716 1.26 

393 Taiwan Semiconductor Manufacturing Co. Ltd., 

ADR 3,901 1.32 


23 Verigy Ltd. 603 0.21 

23,692 8.04 


217 Microsoft Corp. 6,220 2.11 

179 Wave Systems Corp., Class A 290 0.10 

6,510 2.21 


187 The Gap, Inc. 3,508 1.19 

128 Home Depot, Inc. 4,904 1.66 

46 Williams-Sonoma, Inc. 1,526 0.52 

9,938 3.37 


39 MGIC Investment Corp. 1,185 0.40 

146 The PMI Group, Inc. 4,638 1.58 

5,823 1.98 

Wireless Telecommunication Services — 2.34% 

213 Vodafone Group PLC, ADR 6,887 2.34 





† Securitiy is valued in good faith at fair value by or at the discretion of the 



shares. 

ADR 

GDR 


American Depositary Receipt 

Global Depositary Reciept 



% of Total 



Transferable securities to an official exchange 





84




% of 

Value Net 




Beverages — 5.17% 

45 The Coca-Cola Co. 2,429 2.64 

34 PepsiCo, Inc. 2,319 2.53 

4,748 5.17 


74 Amgen, Inc. 3,715 4.04 

46 Biogen Idec, Inc. 2,917 3.17 

67 Genentech, Inc. 5,037 5.48 

34 Vertex Pharmaceuticals, Inc. 1,328 1.45 

12,997 14.14 


42 Merrill Lynch & Co, Inc. 3,077 3.35 

31 Morgan Stanley 1,914 2.08 

4,991 5.43 



46 Juniper Networks, Inc. 1,504 1.64 

157 Motorola, Inc. 2,658 2.89 

55 Qualcomm, Inc. 2,210 2.40 

9,337 10.16 


65 The NASDAQ Stock Market, Inc. 2,115 2.30 


49 Wm Wrigley Jr Co. 2,830 3.08 

Healthcare Equipment & Supplies — 2.20% 

38 Medtronic, Inc. 2,017 2.20 


39 Procter & Gamble Co. 2,560 2.79 



— Berkshire Hathaway, Inc., Class A 4,143 4.51 

6,657 7.24 


112 Amazon.Com, Inc. 8,978 9.77 

85 IAC/InterActive Corp. 2,362 2.57 

11,340 12.34 


72 Akamai Technologies, Inc. 2,327 2.53 

84 eBay, Inc. 2,877 3.13 

118 Yahoo!, Inc. 2,673 2.91 

7,877 8.57 

Media — 4.71% 



4,331 4.71 


32 Johnson & Johnson 2,001 2.18 

57 Pfizer, Inc. 1,425 1.55 

3,426 3.73 

% of 

Value Net 




118 Intel Corp. 3,028 3.30 


6,907 7.52 



75 Microsoft Corp. 2,152 2.34 

110 Red Hat, Inc. 2,148 2.34 

7,413 8.07 


55 Home Depot, Inc. 2,122 2.31 






EXCHANGE OR TRADED ON A REGULATED MARKET 

% of Total 








85




% of 

Value Net 




Aerospace & Defense — 4.11% 

109 L-3 Communications Holdings, Inc. 10,747 4.11 


50 Alkermes, Inc. 842 0.32 

171 Amgen, Inc. 8,569 3.28 

238 Biogen Idec, Inc. 15,183 5.80 

12 Genentech, Inc. 883 0.34 

178 Genzyme Corp. 11,095 4.24 

99 ImClone Systems, Inc. 3,377 1.29 

75 Isis Pharmaceuticals, Inc. 926 0.35 

10 Micromet, Inc. 20 0.01 

189 Millennium Pharmaceuticals, Inc. 1,922 0.73 

15 Nabi Biopharmaceuticals 53 0.02 

62 Vertex Pharmaceuticals, Inc. 2,423 0.93 

6 Viacell, Inc. 27 0.01 

45,320 17.32 


36 Cohen & Steers, Inc. 1,183 0.45 

226 Lehman Brothers Holdings, Inc. 12,367 4.73 

124 Merrill Lynch & Co, Inc. 9,102 3.48 

22,652 8.66 


49 C-COR, Inc. 565 0.22 

245 Motorola, Inc. 4,153 1.59 

118 Nokia Oyj, ADR 3,885 1.48 

8,603 3.29 


84 Quantum Corp. 271 0.11 

84 SanDisk Corp. 4,692 1.79 

84 Seagate Technology 2,175 0.83 

7,138 2.73 


21 CIT Group, Inc. 802 0.31 

Electronic Equipment & Instruments — 1.55% 

4 Excel Technology, Inc. 101 0.04 

113 Tyco Electronics Ltd. 3,940 1.51 

4,041 1.55 


63 Core Laboratories NV 7,018 2.68 

152 Grant Prideco, Inc. 8,400 3.21 

303 Weatherford International Ltd. 17,689 6.76 

33,107 12.65 

Healthcare Equipment & Supplies — 1.72% 

113 Covidien Ltd. 4,501 1.72 

Healthcare Providers & Services — 6.20% 

325 UnitedHealth Group, Inc. 16,228 6.20 



% of 

Value Net 




119 Liberty Media Corp.-Interactive, Class A 2,257 0.86 

Life Sciences & Tools — 0.02% 

52 Nanogen, Inc. 52 0.02 


90 Pall Corp. 3,413 1.30 

Media — 16.98% 

308 Cablevision Systems Corp. 10,350 3.96 

29 CBS Corp., Class B 906 0.35 

57 Comcast Corp., Class A 1,481 0.57 

486 Comcast Corp., Class A 12,568 4.80 

45 Discovery Holding Co., Class A 1,133 0.43 

20 Liberty Global, Inc., Class A 839 0.32 

21 Liberty Global, Inc., Class C 819 0.31 

24 Liberty Media Corp. Capital, Class C 2,593 0.99 

536 Sirius Satellite Radio, Inc. 1,592 0.61 


29 Viacom, Inc., Class B 1,134 0.43 


5 World Wrestling Entertainment, Inc., Class A 73 0.03 

44,423 16.98 


345 Anadarko Petroleum Corp. 16,918 6.47 


46 Biomimetic Therapeutics, Inc. 690 0.26 

246 Forest Laboratories, Inc. 9,257 3.54 


20 Teva Pharmaceutical Industries Ltd., ADR 868 0.33 

85 Valeant Pharmaceuticals International 1,340 0.51 

13,117 5.01 


149 Broadcom Corp., Class A 5,132 1.96 

45 Cabot Microelectronics Corp. 1,878 0.72 

110 Cirrus Logic, Inc. 751 0.29 

20 Cree, Inc. 532 0.20 

30 DSP Group, Inc. 523 0.20 

83 Intel Corp. 2,145 0.82 

433 Micron Technology, Inc. 4,952 1.89 

75 RF Micro Devices, Inc. 446 0.17 

4 Standard Microsystems Corp. 158 0.06 

50 Teradyne, Inc. 748 0.29 

17,265 6.60 


25 Advent Software, Inc. 1,002 0.38 

79 Autodesk, Inc. 3,659 1.40 


5,012 1.92 


86




% of 

Value Net 





50 Charming Shoppes, Inc. 452 0.17 


12 Astoria Financial Corp. 305 0.12 

76 New York Community Bancorp, Inc. 1,348 0.51 

1,653 0.63 





ABBREVIATION: 




% of Total 








87




% of 

Value Net 


Shares (000’s) € Value 


Austria — 0.86% 

5 Austriamicrosystems AG, Series BR 181 0.23 

8 Voestalpine AG 497 0.63 

678 0.86 

Belgium — 0.29% 

4 Omega Pharma S.A. 227 0.29 


10 Carlsberg A/S, Class B 939 1.18 

7 FLSmidth & Co. A/S 458 0.58 

10 Jyske Bank A/S 568 0.72 

6 Trygvesta A/S 347 0.44 

2,312 2.92 


5 Konecranes Oyj 129 0.16 

7 Metso Oyj 345 0.44 

27 Nokia Oyj 663 0.84 

13 Nokian Renkaat Oyj 336 0.42 

13 Sampo Oyj, Class A 278 0.35 

1,751 2.21 

France — 15.16% 

12 Air France-KLM 365 0.46 

26 AXA S.A. 767 0.97 

10 BNP Paribas 794 1.00 

15 Cap Gemini S.A. 724 0.92 

9 Cie de Saint-Gobain 736 0.93 

2 Cie Generale De Geophysique-Veritas 301 0.38 

29 Credit Agricole S.A. 791 1.00 

3 Etam Developpement S.A. 136 0.17 

39 France Telecom S.A. 867 1.10 

3 Lafarge S.A. 343 0.43 

17 Neuf Cegetel 483 0.61 

4 Nexans S.A. 465 0.59 

5 Peugeot S.A. 294 0.37 

6 Pinault Printemps-Redoute S.A. 712 0.90 

2 Renault S.A. 179 0.23 

10 Rhodia S.A. 300 0.38 

14 SCOR SE 259 0.33 

3 Societe Generale 396 0.50 

13 Suez S.A. 561 0.71 

22 Total S.A. 1,218 1.54 

5 Valeo S.A. 175 0.22 

37 Vivendi 1,122 1.42 

11,988 15.16 


4 Allianz SE 677 0.86 

4 BASF AG 369 0.47 

15 Bayer AG 878 1.11 

19 DaimlerChrysler AG 1,261 1.59 

4 Deutsche Bank AG 381 0.48 

22 Deutsche Lufthansa AG 481 0.61 


% of 

Value Net 



12 E.ON AG 1,429 1.81 

7 Fresenius Medical Care AG & Co. KGaA 244 0.31 

5 Kloeckner & Co. AG 243 0.31 

9 Lanxess AG 316 0.40 

7 Leoni AG 254 0.32 

3 Merck KGaA 302 0.38 

9 MTU Aero Engines Holding AG 400 0.51 

8 RWE AG 653 0.82 

3 Salzgitter AG 501 0.63 

7 Siemens AG 614 0.77 

7 Stada Arzneimittel AG 311 0.39 

9 Thyssenkrupp AG 378 0.48 

9,692 12.25 


10 Acergy S.A. 188 0.24 

26 Anglo American PLC 1,115 1.41 

11 AstraZeneca PLC 380 0.48 

32 Balfour Beatty PLC 222 0.28 


61 BG Group PLC 718 0.91 

204 BP PLC 1,676 2.12 

16 British American Tobacco PLC 392 0.50 

37 British Energy Group PLC 254 0.32 

15 British Land Co. PLC 286 0.36 

77 BT Group PLC 361 0.46 

28 Cookson Group PLC, Class B 319 0.40 

13 Firstgroup PLC 128 0.16 

82 Friends Provident PLC 217 0.27 

89 GKN PLC 483 0.61 


15 Greene King PLC 230 0.29 

35 Hays PLC 83 0.10 

60 HBOS PLC 786 0.99 

105 Henderson Group PLC 238 0.30 

63 HSBC Holdings PLC 832 1.05 

11 IMI PLC 91 0.12 

27 Imperial Tobacco Group PLC 899 1.14 

46 Informa PLC 392 0.49 

35 Invensys PLC 175 0.22 

69 J Sainsbury PLC 568 0.72 

93 John Wood Group PLC 500 0.63 

18 Kelda Group PLC 227 0.29 

151 Legal & General Group PLC 324 0.41 

124 Lloyds TSB Group PLC 1,002 1.27 

176 LogicaCMG PLC 426 0.54 

35 Mitchells & Butlers PLC 366 0.46 

23 National Grid PLC 252 0.32 

141 Old Mutual PLC 335 0.42 

27 Pennon Group PLC 242 0.31 

30 Prudential PLC 308 0.39 

118 Royal Bank of Scotland Group PLC 1,003 1.27 

88




% of 

Value Net 




Great Britain — (continued) 

25 Southern Cross Healthcare Ltd. 187 0.24 

160 Tesco PLC 1,011 1.28 

12 Travis Perkins PLC 323 0.41 

777 Vodafone Group PLC 1,843 2.33 

13 The Weir Group PLC 153 0.19 

4 Xstrata PLC 167 0.21 

21,327 26.97 

Greece — 1.50% 

12 Coca-Cola Hellenic Bottling Co. S.A. 406 0.51 

15 JUMBO S.A. 379 0.48 

16 Piraeus Bank S.A. 399 0.51 

1,184 1.50 

Hungary — 0.41% 

9 OTP Bank Nyrt 327 0.41 


26 Irish Life & Permanent PLC 468 0.59 

24 Smurfit Kappa Group PLC 381 0.48 

849 1.07 

Italy — 4.70% 

16 Banco Popolare Scarl 292 0.37 

16 Buzzi Unicem S.p.A. 331 0.42 

50 Enel S.p.A. 381 0.48 

49 ENI S.p.A. 1,239 1.57 

39 Fiat S.p.A. 759 0.96 

7 Istituto Finanziario Industriale S.p.A. 183 0.23 

8 Saipem S.p.A. 225 0.28 

124 Unipol Gruppo Finanziario S.p.A. 310 0.39 

3,720 4.70 


22 Arcelor Mittal 1,047 1.32 

5 Arcelor Mittal 227 0.29 

1,274 1.61 


19 Aalberts Industries NV 340 0.43 

26 ABN AMRO Holdings NV 891 1.13 

5 Arcadis NV 265 0.34 

15 ASM International NV 292 0.37 

19 ASML Holding NV 410 0.52 

5 Heineken NV 215 0.27 

5 Imtech NV 311 0.39 

37 ING Groep NV 1,080 1.37 

4 Nutreco Holding NV 194 0.24 

9 OPG Groep NV 192 0.24 

55 Royal Dutch Shell PLC Coupon — — 

55 Royal Dutch Shell PLC, Class A 1,568 1.98 

32 Royal Dutch Shell PLC, Class B 923 1.17 

% of 

Value Net 



24 Royal KPN NV 278 0.35 

4 SBM Offshore NV 102 0.13 

16 Sligro Food Group NV 537 0.68 

7,598 9.61 

Norway — 1.72% 

106 Acta Holding ASA 380 0.48 

6 Petroleum Geo-Services ASA 106 0.14 

64 Telenor ASA 873 1.10 

1,359 1.72 

Portugal — 0.97% 

189 Energias de Portugal S.A. 763 0.97 

Spain — 3.90% 

57 Banco Santander S.A. 762 0.96 

47 Iberia Lineas Aereas de Espana 156 0.20 

14 Red Electrica de Espana 473 0.60 

93 Telefonica S.A. 1,693 2.14 

3,084 3.90 


17 Electrolux AB, Class B 287 0.36 

13 Scania AB, Class B 218 0.28 

10 Skandinaviska Enskilda Banken AB, Class A 213 0.27 

12 Svenska Handelsbanken AB, Class A 237 0.30 

17 Swedbank AB, Class A 407 0.51 

252 Telefonaktiebolaget LM Ericsson, Class B 690 0.87 

12 Trelleborg AB, Class B 210 0.27 

20 Volvo AB, Class B 254 0.32 

2,516 3.18 


29 ABB Ltd. 519 0.66 

3 Baloise Holding AG 209 0.26 

3 Holcim Ltd. 243 0.31 

5 Nestle S.A. 1,683 2.13 

13 Novartis AG 487 0.62 

14 Roche Holding AG 1,734 2.19 

11 UBS AG 410 0.52 

1 Zurich Financial Services AG 273 0.34 

5,558 7.03 

Total Common Stock (Cost €74,477) 76,207 96.36 

Preferred Stock — 1.52% 


9 Fresenius Se 479 0.61 


45 Banco Espirito Santo S.A 722 0.91 

Total Preferred Stock (Cost €1,071) 1,201 1.52 

Total Investments (Cost €75,548) 77,408 97.88 


Total Net Assets € 79,086 100.00 


89




— Amounts designated as "—" are either €0, less than €1,000 or less than 1,000 

shares. 



% of Total 



Transferable securities admitted to an official exchange or traded on 

a regulated market 88.10% 




90




% of 

Value Net 




China — 22.47% 

982 Air China Ltd., Class H 1,239 0.64 

626 Angang Steel Co. Ltd., Class H 2,116 1.09 

182 Anhui Conch Cement Co. Ltd., Class H 1,292 0.67 

1,024 Beijing North Star Co. 978 0.50 

1,771 China Construction Bank Corp., Class H 1,484 0.77 

778 China COSCO Holdings Co. Ltd., Class H 1,862 0.96 

3,405 China Hongxing Sports Ltd. 1,957 1.01 

649 China Life Insurance Co. Ltd., Class H 3,151 1.62 

329 China Mengniu Dairy Co. Ltd. 1,253 0.65 

342 China Mobile Ltd. 4,625 2.38 

404 China National Building Material Co. Ltd., Class H 1,132 0.58 

1,032 China Oilfield Services Ltd., Class H 2,000 1.03 

1,034 China Overseas Land & Investment Ltd. 2,162 1.11 

86 China Overseas Land & Investment Ltd. 54 0.03 

2,036 China Petroleum & Chemical Corp., Class H 2,242 1.16 

682 China Shenhua Energy Co. Ltd., Class H 2,966 1.53 

688 China Shipping Development Co. Ltd., Class H 2,119 1.09 

1,536 China Southern Airlines Co. Ltd., Class H 1,993 1.03 

2,200 Far East Pharmaceutical Technology Co. Ltd.* — — 

419 Guangzhou R&F Properties Co. Ltd., Class H 1,725 0.89 

160 Guangzhou Shipyard International Co. Ltd., 

Class H 994 0.51 

4,938 Industrial & Commercial Bank of China, Class H 3,259 1.68 

53 New World Department Store China Ltd. 41 0.02 

782 PetroChina Co. Ltd., Class H 1,130 0.58 

847 Shanghai Zhenhua Port Machinery Co. Ltd., 

Class B 1,816 0.94 

43,590 22.47 


81 Cheung Kong Holdings Ltd. 1,196 0.62 

1,097 Citic International Financial Holdings Ltd. 894 0.46 

117 Esprit Holdings Ltd. 1,716 0.88 

1,220 Far East Consortium 536 0.28 

355 Hang Lung Group Ltd. 1,696 0.87 

81 Hong Kong Exchanges and Clearing Ltd. 1,516 0.78 

264 Industrial & Commercial Bank of China (Asia) Ltd. 637 0.33 

239 Kerry Properties Ltd. 1,802 0.93 

394 Li & Fung Ltd. 1,465 0.76 

219 Lifestyle International Holdings Ltd. 954 0.49 

1,091 New World China Land Ltd. 1,088 0.56 

796 New World Development Ltd. 1,909 0.98 

590 Pacific Basin Shipping Ltd. 1,081 0.56 

290 Sino Land Co. 681 0.35 

73 Sun Hung Kai Properties Ltd. 985 0.51 

18,156 9.36 

India — 11.23% 

22 Aban Offshore Ltd. 1,548 0.80 

288 Bank of India 1,737 0.89 

% of 

Value Net 



48 Bharti Airtel Ltd. 1,044 0.54 

9 Central Bank of India 29 0.01 

78 CESC Ltd. 892 0.46 

286 Crompton Greaves Ltd. 2,145 1.11 

49 DLF Ltd. 723 0.37 

29 Great Offshore Ltd. 584 0.30 

12 ICICI Bank Ltd., ADR 551 0.28 

132 Indian Bank 460 0.24 

12 Infosys Technologies Ltd. 551 0.28 

14 IVR Prime Urban Developers Ltd. 131 0.07 

14 Jindal Steel & Power Ltd. 1,395 0.72 

70 JSW Steel Ltd. 1,096 0.56 

101 Jyoti Structures Ltd. 521 0.27 

12 Kalpataru Power Transmission Ltd. 441 0.23 

118 Reliance Industries Ltd. 5,678 2.93 

394 Steel Authority of India Ltd. 1,622 0.84 

111 Unitech Ltd. 644 0.33 

21,792 11.23 

Indonesia — 2.05% 

400 Astra Agro Lestari Tbk Pt 611 0.31 

360 Astra International Tbk Pt 687 0.35 

872 Indosat Tbk Pt 670 0.35 

30,000 Panin Life Tbk Pt 614 0.32 

1,200 Telekomunikasi Indonesia Tbk Pt 1,391 0.72 

3,973 2.05 

Korea, Republic Of — 24.19% 

170 Asiana Airlines 1,655 0.85 

10 Cheil Industries, Inc. 548 0.28 

13 Daelim Industrial Co. 2,176 1.12 

40 Daishin Securities Co. Ltd. 1,360 0.70 

20 Dongbu Insurance Co. Ltd. 830 0.43 

90 From30 Co. Ltd. 950 0.49 

17 GS Engineering & Construction Corp. 3,226 1.66 

48 GS Holdings Corp. 2,476 1.28 

3 Hyundai Heavy Industries 1,076 0.55 

2 Hyundai Mipo Dockyard 688 0.35 

20 INTOPS Co. Ltd. 696 0.36 

29 Kookmin Bank, ADR 2,387 1.23 

25 Korea Gas Corp. 1,537 0.79 

32 KT&G Corp. 2,435 1.26 

6 LG Chem Ltd. 625 0.32 

35 LG Corp. 2,004 1.03 

34 LG Electronics, Inc. 2,651 1.37 

35 LG Philips LCD Co. Ltd. 1,489 0.77 

56 LIG Non-Life Insurance Co. Ltd. 1,543 0.80 

21 NHN Corp. 4,025 2.07 

8 POSCO, ADR 1,227 0.63 

4 POSCO 2,456 1.27 


91




% of 

Value Net 




Korea, Republic Of — (continued) 

8 Samsung Electronics Co. Ltd. 4,863 2.51 

50 Shinhan Financial Group Co. Ltd. 3,071 1.58 

92 Youngone Corp. 946 0.49 

46,940 24.19 

Malaysia — 2.68% 

375 Bumiputra-Commerce Holdings Bhd 1,174 0.60 

453 Digi.Com Bhd 2,636 1.36 

374 IOI Corp. Bhd 542 0.28 

100 SP Setia Bhd 211 0.11 

223 Tenaga Nasional Bhd 644 0.33 

5,207 2.68 

Philippines — 1.47% 

507 Bank of the Philippine Islands 661 0.34 

18 Globe Telecom, Inc. 538 0.28 

2,500 Manila Water Co., Inc. 784 0.40 

15 Philippine Long Distance Telephone Co. 870 0.45 

2,853 1.47 

Singapore — 6.86% 

654 Cosco Corp. Singapore Ltd. 2,156 1.11 

52 DBS Group Holdings Ltd. 680 0.35 

1,342 Ho Bee Investment Ltd. 1,599 0.82 

299 Keppel Corp. Ltd. 2,502 1.29 

384 Keppel Land Ltd. 1,945 1.00 

92 Oversea-Chinese Banking Corp. 515 0.27 

726 Parkway Holdings Ltd. 1,891 0.97 

36 Parkway Life Real Estate Investment Trust 29 0.02 

204 Singapore Telecommunications Ltd. 488 0.25 

1,294 Suntec Real Estate Investment Trust 1,506 0.78 

13,311 6.86 

Taiwan — 13.47% 

538 Asia Cement Corp. 754 0.39 

689 Au Optronics Corp. 1,008 0.52 

400 Chicony Electronic Co. Ltd. 806 0.42 

1,475 China Steel Corp. 2,000 1.03 

451 Delta Electronics, Inc. 1,688 0.87 

734 D-Link Corp. 1,615 0.83 

386 First Steamship Co. Ltd. 942 0.49 

131 GeoVision, Inc. 950 0.49 

627 Hon Hai Precision Industry Co. Ltd. 4,683 2.41 

344 InnoLux Display Corp. 1,461 0.75 

55 MediaTek, Inc. 940 0.48 

129 Merry Electronics Co. Ltd. 438 0.23 

658 Sheng Yu Steel Co. Ltd. 655 0.34 

93 Siliconware Precision Industries Co., ADR 1,003 0.52 

636 Taiwan Mobile Co. Ltd. 809 0.42 

727 Taiwan Semiconductor Manufacturing Co. Ltd. 1,387 0.71 

115 Transcend Information, Inc. 432 0.22 

542 U-Ming Marine Transport Corp. 1,611 0.83 

% of 

Value Net 



1,280 Wan Hai Lines Ltd. 908 0.47 

534 Wistron Corp. 977 0.50 

1,499 Yang Ming Marine Transport Corp. 1,063 0.55 

26,130 13.47 


182 Bangkok Bank PCL, Class F 630 0.32 

1,139 BEC World PCL 770 0.40 

170 PTT PCL 1,516 0.78 

816 Thai Oil PCL 1,950 1.00 

350 Thoresen Thai Agencies PCL, Class F 536 0.28 

300 Thoresen Thai Agencies PCL, NVDR 459 0.24 

5,861 3.02 





ADR 

PCL 

NVDR 

* Security is valued in good faith at fair value by or at the discretion of the 


— Amounts designated as "—" are either $0, less than $1,000 or less than 

1,000 shares. 


American Depository Receipt 

Public Company Limited 

Non Voting Depository Receipt 



% of Total 








92




% of 

Value Net 




Australia — 2.78% 

8 Babcock & Brown Ltd. 148 0.26 

7 BHP Billiton Ltd. 228 0.40 

65 Boart Longyear Group 117 0.20 

9 Caltex Australia Ltd. 185 0.32 

26 Coca-Cola Amatil Ltd. 199 0.35 

102 Goodman Fielder Ltd. 218 0.38 

20 Qantas Airways Ltd. 92 0.16 

5 QBE Insurance Group Ltd. 131 0.23 

9 Worleyparsons Ltd. 279 0.48 

1,597 2.78 

Austria — 1.38% 

4 Erste Bank Der Oesterreichischen Sparkassen 

AG 305 0.53 

1 Raiffeisen International Bank Holding AG 130 0.22 

4 Voestalpine AG 361 0.63 

796 1.38 

Belgium — 0.41% 

9 Dexia S.A. 237 0.41 


7 Cia Vale Do Rio Doce, Class A 304 0.53 

5 Cia Vale Do Rio Doce, ADR 217 0.38 

2 Unibanco-Uniao De Bancos Brasileiros S.A., 

GDR 234 0.40 

755 1.31 


3 Bank of Nova Scotia 163 0.28 

2 Canadian Imperial Bank of Commerce 199 0.35 

7 Finning International, Inc. 199 0.34 

6 Power Corp. of Canada 211 0.37 

5 Royal Bank of Canada 232 0.40 

10 Shaw Communications, Inc., Class B 227 0.40 

2 TELUS Corp. 116 0.20 

2 Toronto-Dominion Bank 144 0.25 

1,491 2.59 


— A P Moller-Maersk A/S 183 0.32 

3 Carlsberg A/S, Class B 384 0.67 

4 Danske Bank A/S 160 0.28 

3 FLSmidth & Co. A/S 298 0.52 

3 Jyske Bank A/S 233 0.40 

2 NKT Holding A/S 254 0.44 

1 Topdanmark A/S 193 0.33 

1,705 2.96 


4 Konecranes Oyj 164 0.29 

4 Metso Oyj 283 0.49 

11 Nokia Oyj 368 0.64 

6 Sampo Oyj, Class A 169 0.29 

2 Wartsila Oyj, Class B 150 0.26 

1,134 1.97 


% of 

Value Net 




5 Air France-KLM 212 0.37 

10 AXA S.A. 414 0.72 

2 BNP Paribas 245 0.43 

4 Cap Gemini S.A. 266 0.46 

3 Cie de Saint-Gobain 368 0.64 

1 Ciments Francais S.A. 229 0.40 

1 CNP Assurances 77 0.13 

7 Neuf Cegetel 287 0.50 

2 Nexans S.A. 325 0.57 

2 Peugeot S.A. 196 0.34 

2 Pinault-Printemps-Redoute S.A. 260 0.45 

1 Renault S.A. 176 0.31 

4 Rhodia S.A. 167 0.29 

4 Sanofi-Aventis 295 0.51 

1 Schneider Electric S.A. 160 0.28 

1 Societe Generale 226 0.39 

8 Suez S.A. 427 0.74 

7 Total S.A. 552 0.96 

3 Valeo S.A. 122 0.21 

4 Vivendi 168 0.29 

5,172 8.99 


1 Allianz SE 172 0.30 

3 Celesio AG 191 0.33 

7 DaimlerChrysler AG 611 1.06 

1 Deutsche Bank AG 148 0.26 

8 Deutsche Lufthansa AG 242 0.42 

4 E.ON AG 661 1.15 

4 Fresenius Medical Care AG & Co. KGaA 192 0.33 

6 Gea Group AG 181 0.32 

3 Hypo Real Estate Holding AG 146 0.25 

3 Kloeckner & Co. AG 202 0.35 

2 Merck KGaA 206 0.36 

4 Metro AG 377 0.66 

3 MTU Aero Engines Holding AG 220 0.38 

3 Prosiebensat.1 Media AG 94 0.16 

2 Salzgitter AG 386 0.67 

3 Siemens AG 409 0.71 

5 Thyssenkrupp AG 275 0.48 

4,713 8.19 


7 Anglo American PLC 380 0.66 

11 Arriva PLC 175 0.30 

5 AstraZeneca PLC 252 0.44 

20 Balfour Beatty PLC 192 0.33 


28 BG Group PLC 441 0.77 

93 BP PLC 1,046 1.82 

24 British Airways PLC 202 0.35 

15 British Energy Group PLC 138 0.24 

5 British Land Co. PLC 125 0.22 

45 BT Group PLC 286 0.50 

93




% of 

Value Net 



% of 

Value Net 




Great Britain — (continued) 

5 Cookson Group PLC, Class B 78 0.13 

8 Davis Service Group PLC 96 0.17 

17 Firstgroup PLC 218 0.38 

54 Friends Provident PLC 196 0.34 

38 GKN PLC 281 0.49 


9 Greene King PLC 186 0.32 

58 Hays PLC 185 0.32 

19 HBOS PLC 339 0.59 

63 Henderson Group PLC 193 0.34 

49 HSBC Holdings PLC 893 1.55 

29 Invensys PLC 203 0.35 

45 John Wood Group PLC 330 0.57 

13 Kelda Group PLC 234 0.41 

50 Lloyds TSB Group PLC 546 0.95 

86 LogicaCMG PLC 282 0.49 

10 Mitchells & Butlers PLC 144 0.25 

14 National Grid PLC 216 0.38 

41 Northumbrian Water Group PLC 284 0.49 

56 Old Mutual PLC 180 0.31 

6 Pennon Group PLC 67 0.12 

13 Prudential PLC 183 0.32 

4 Rio Tinto PLC 303 0.53 

53 Royal Bank of Scotland Group PLC 610 1.06 

63 Tesco PLC 546 0.95 

4 Travis Perkins PLC 144 0.25 

313 Vodafone Group PLC 1,012 1.76 

11,942 20.76 

Greece — 0.60% 

4 Coca-Cola Hellenic Bottling Co. S.A. 191 0.33 

4 Piraeus Bank S.A. 152 0.27 

343 0.60 


69 Cathay Pacific Airways Ltd. 181 0.32 

6 Kerry Properties Ltd. 41 0.07 

59 Li & Fung Ltd. 221 0.38 

67 New World Development Ltd. 161 0.28 

604 1.05 


6 Irish Life & Permanent PLC 144 0.25 

4 Ryanair Holdings PLC 29 0.05 

9 Smurfit Kappa Group PLC 207 0.36 

380 0.66 

Italy — 2.58% 

15 ENI S.p.A. 527 0.92 

15 Fiat S.p.A. 402 0.70 

5 Fondiaria-Sai S.p.A. 220 0.38 

8 Saipem S.p.A. 307 0.53 

9 Unipol Gruppo Finanziario S.p.A. 31 0.05 

1,487 2.58 

Japan — 17.63% 

8 Aisin Seiki Co. Ltd. 310 0.54 

13 Asahi Glass Co. Ltd. 163 0.28 

26 Asahi Kasei Corp. 196 0.34 

10 Bridgestone Corp. 197 0.34 

2 Canon, Inc. 103 0.18 

37 Dainippon Ink and Chemicals, Inc. 153 0.27 

43 Denki Kagaku Kogyo K K 220 0.38 

19 Dowa Holdings Co. Ltd. 213 0.37 

22 The Gunma Bank Ltd. 149 0.26 

4 Hitachi Construction Machinery Co. Ltd. 145 0.25 

12 Hitachi Metals Ltd. 138 0.24 

11 Honda Motor Co. Ltd. 363 0.63 

27 Itochu Corp. 296 0.52 

17 Kawasaki Kisen Kaisha Ltd. 222 0.39 

— KDDI Corp. 124 0.22 

28 Marubeni Corp. 229 0.40 

31 Mazda Motor Corp. 156 0.27 

9 Mitsubishi Corp. 248 0.43 

25 Mitsubishi Materials Corp. 139 0.24 

— Mitsubishi UFJ Financial Group, Inc. 212 0.37 

15 Mitsui & Co. Ltd. 316 0.55 

20 NHK Spring Co. Ltd. 180 0.31 

1 Nintendo Co. Ltd. 418 0.73 

19 Nippon Mining Holdings, Inc. 173 0.30 

22 Nippon Yusen KK 219 0.38 

1 The Nishi-Nippon City Bank Ltd. 2 — 

12 Nomura Holdings, Inc. 218 0.38 

22 NSK Ltd. 190 0.33 

14 NTN Corp. 115 0.20 

— ORIX Corp. 101 0.18 

51 Osaka Gas Co. Ltd. 189 0.33 

14 Ricoh Co. Ltd. 310 0.54 

15 Sekisui Chemical Co. Ltd. 111 0.19 

3 Shin-Etsu Chemical Co. Ltd. 232 0.40 

42 Sojitz Corp. 178 0.31 

4 Sony Corp. 211 0.37 

5 Stanley Electric Co. Ltd. 112 0.19 

5 Sumco Corp. 246 0.43 

— Sumitomo Corp. 4 0.01 

21 Sumitomo Metal Industries Ltd. 107 0.19 

12 Taiyo Yuden Co. Ltd. 240 0.42 

4 Takeda Pharmaceutical Co. Ltd. 279 0.48 

34 Tosoh Corp. 209 0.36 

16 Toyota Motor Corp. 934 1.62 

54 Ube Industries Ltd. 170 0.29 

13 Urban Corp. 228 0.40 

7 Yamaha Motor Co. Ltd. 190 0.33 

23 Yaskawa Electric Corp. 282 0.49 

10,140 17.63 


94




% of 

Value Net 



% of 

Value Net 



Korea, Republic Of — 3.00% 

1 Daelim Industrial Co. 206 0.36 

5 Doosan Infracore Co. Ltd. 195 0.34 

5 GS Engineering & Construction Corp. 759 1.32 

4 GS Holdings Corp. 230 0.40 

4 KT&G Corp. 333 0.58 

1,723 3.00 


9 Arcelor Mittal 583 1.01 


41 Grupo Financiero Banorte SAB de CV, Series B 169 0.29 


7 ABN AMRO Holdings NV 331 0.58 

9 ASML Holding NV 253 0.44 

15 ING Groep NV 592 1.03 

4 Nutreco Holding NV 243 0.42 

6 OPG Groep NV 175 0.30 

19 Royal Dutch Shell PLC Coupon — — 

19 Royal Dutch Shell PLC, Class A 737 1.28 

10 Royal Dutch Shell PLC, Class B 385 0.67 

19 Royal KPN NV 293 0.51 

7 Vedior NV 155 0.27 

3,164 5.50 

New Zealand — 0.43% 

30 Fletcher Building Ltd. 246 0.43 

Norway — 1.51% 

5 Aker Kvaerner ASA 113 0.20 

19 DnB NOR Holding ASA 254 0.44 

8 Petroleum Geo-Services ASA 179 0.31 

18 Telenor ASA 325 0.56 

871 1.51 


40 Energias de Portugal S.A. 218 0.38 


5 Gazprom OAO, ADS, ADR 199 0.35 

11 Sistema JSFC, GDR 328 0.57 

527 0.92 

Singapore — 1.27% 

23 CapitaLand Ltd. 111 0.20 

8 Jardine Matheson Holdings Ltd. 198 0.34 

50 Keppel Corp. Ltd. 418 0.73 

727 1.27 

South Africa — 0.92% 

41 Aveng Ltd. 307 0.53 

21 Murray & Roberts Holdings Ltd. 221 0.39 

528 0.92 

Spain — 3.24% 

10 Banco Bilbao Vizcaya Argentaria S.A. 221 0.38 

12 Banco Sabadell S.A. 118 0.21 

16 Banco Santander S.A. 298 0.52 

2 Fomento De Construcciones Y Contratas S.A. 140 0.24 

5 Red Electrica de Espana 243 0.42 

27 Telefonica S.A. 675 1.17 

3 Union Fenosa S.A. 170 0.30 

1,865 3.24 


5 Electrolux AB, Class B 110 0.19 

4 Scania AB, Class B 102 0.18 

6 Svenska Handelsbanken AB, Class A 161 0.28 

6 Trelleborg AB, Class B 136 0.24 

9 Volvo AB, Class B 150 0.26 

659 1.15 


2 Baloise Holding AG 147 0.26 

2 Holcim Ltd. 236 0.41 

2 Nestle S.A. 902 1.57 

7 Novartis AG 385 0.67 

— OC Oerlikon Corp. AG 129 0.22 

4 Roche Holding AG 727 1.26 

1 Swiss Life Holding 321 0.56 

4 UBS AG 212 0.37 

1 Zurich Financial Services AG 172 0.30 

3,231 5.62 




14 Banco Espirito Santo S.A 305 0.53 

Warrants — 0.00% 

10 Dowa Mining Corp.* — — 




* Securitiy is valued in good faith at fair value by or at the discretion of the 



shares. 

ADR 

ADS 

GDR 


American Depositary Receipt 

American Depository Shares 

Global Depositary Reciept 



% of Total 








95


Royce U.S. Small Cap Opportunity Fund* 


% of 

Value Net 




Advertising and Publishing — 0.69% 

114 Harris Interactive, Inc. 490 0.19 

166 Journal Register Co. 522 0.20 

52 MDC Partners, Inc., Class A 565 0.22 

10 Valueclick, Inc. 200 0.08 

1,777 0.69 


63 Applied Signal Technology, Inc. 889 0.34 

39 BE Aerospace, Inc. 1,535 0.60 

26 CPI Aerostructures, Inc. 223 0.09 

36 Ducommun, Inc. 1,031 0.40 

35 EDO Corp. 1,498 0.58 

35 Esterline Technologies Corp. 1,757 0.68 

40 Herley Industries, Inc. 584 0.23 

85 Hexcel Corp. 1,861 0.72 

60 Kaman Corp. 1,975 0.77 

28 Teledyne Technologies, Inc. 1,372 0.53 

12,725 4.94 

Apparel and Shoes — 3.05% 

86 Bernard Chaus, Inc. 82 0.03 

66 Hanesbrands, Inc. 1,971 0.77 

130 Hartmarx Corp. 943 0.37 

51 Jones Apparel Group, Inc. 979 0.38 

55 Kellwood Co. 1,082 0.42 

77 Movie Star, Inc. 182 0.07 

58 Quiksilver, Inc. 775 0.30 

119 Unifi, Inc. 288 0.11 

44 The Warnaco Group, Inc. 1,546 0.60 

7,848 3.05 

Automotive — 0.40% 

42 Cooper Tire & Rubber Co. 1,031 0.40 

Banking — 3.07% 

31 Bancorpsouth, Inc. 765 0.30 

24 Bankunited Financial Corp., Class A 410 0.16 

17 Cascade Financial Corp. 264 0.10 

90 Centennial Bank Holdings, Inc. 606 0.23 

90 First Bancorp 899 0.35 

63 First Commonwealth Financial Corp. 688 0.27 

40 Firstmerit Corp. 763 0.30 

46 Great Lakes Bancorp, Inc. 548 0.21 

88 NexCen Brands, Inc. 598 0.23 

55 Old National Bancorp 877 0.34 

10 Pacific Mercantile Bancorp 175 0.07 

21 Sterling Financial Corp. 545 0.21 

20 Superior Bancorp 188 0.07 

19 Texas Capital Banshares, Inc. 404 0.16 

8 Umpqua Holdings Corp. 176 0.07 

7,906 3.07 


69 Gevity HR, Inc. 789 0.31 

7 Great Lakes Dredge & Dock Corp. 66 0.02 


96 

% of 

Value Net 



26 Rent A Center, Inc. 507 0.20 

30 Rentrak Corp. 371 0.14 

115 TRC Cos., Inc. 1,293 0.50 

75 Volt Information Sciences, Inc. 1,130 0.44 

4,156 1.61 

Components and Systems — 4.83% 

16 Analogic Corp. 1,112 0.43 

158 Concurrent Computer Corp. 215 0.08 

128 Cray, Inc. 904 0.35 

141 Dot Hill Systems Corp. 438 0.17 

160 Furmanite Corp. 1,299 0.51 

144 Hypercom Corp. 703 0.27 

66 Infocus Corp. 117 0.05 

70 Interlink Electronics, Inc. 101 0.04 

30 Interphase Corp. 284 0.11 

112 Iomega Corp. 595 0.23 

105 Kemet Corp. 721 0.28 

51 Lantronix, Inc. 68 0.03 

79 Mercury Computer Systems, Inc. 904 0.35 

123 Merix Corp. 723 0.28 

72 Modtech Holdings, Inc. 84 0.03 

53 OSI Systems, Inc. 1,320 0.51 

29 Printronix, Inc. 402 0.16 

58 SCM Microsystems, Inc. 167 0.07 

23 Sigmatron International, Inc. 209 0.08 

37 Sparton Corp. 239 0.09 

19 Spectrum Control, Inc. 269 0.10 

61 TTM Technologies, Inc. 717 0.28 

63 Vishay Intertechnology, Inc. 837 0.33 

12,428 4.83 

Construction Materials — 0.50% 

11 Apogee Enterprises, Inc. 267 0.10 

76 Trex Co., Inc. 1,019 0.40 

1,286 0.50 

Consumer Products — 0.20% 

111 Delias, Inc. 517 0.20 

Direct Marketing — 0.16% 

51 Alloy, Inc. 409 0.16 

Distribution — 1.21% 

46 Bell Industries, Inc. 97 0.04 

79 Bell Microproducts, Inc. 541 0.21 

65 Benchmark Electronics, Inc. 1,630 0.63 

51 Building Materials Holding Corp. 758 0.29 

28 Data I/O Corp. 93 0.04 

3,119 1.21 

Drugs and Biotech — 1.69% 

71 Cambrex Corp. 888 0.34 

24 Invitrogen Corp. 1,870 0.73 

56 Par Pharmaceutical Cos., Inc. 1,263 0.49 

147 Wellman, Inc. 324 0.13 

4,345 1.69




% of 

Value Net 





54 Insteel Industries, Inc. 1,026 0.40 

60 Newport Corp. 829 0.32 

1,855 0.72 

Energy Services — 1.07% 

43 Global Industries Ltd. 1,035 0.40 

45 Horizon Offshore, Inc. 745 0.29 

175 Newpark Resources, Inc. 982 0.38 

2,762 1.07 

Engineering & Construction — 1.05% 

57 Champion Enterprises, Inc. 653 0.25 

79 Comstock Homebuilding Cos., Inc., Class A 200 0.08 

97 Fleetwood Enterprises, Inc. 904 0.35 

50 Matrix Service Co. 942 0.37 

2,699 1.05 

Food and Tobacco Processors — 0.99% 

29 The Andersons, Inc. 1,371 0.53 

94 Galaxy Nutritional Foods, Inc. 42 0.02 

88 SunOpta, Inc. 1,135 0.44 

2,548 0.99 

Forest Products & Paper — 0.33% 

45 Louisiana-Pacific Corp. 839 0.33 

Health Services — 2.26% 

102 Albany Molecular Research, Inc. 1,490 0.58 

89 Allion Healthcare, Inc. 565 0.22 

90 AMICAS, Inc. 291 0.11 

41 Kindred Healthcare, Inc. 812 0.32 

46 LifePoint Hospitals, Inc. 1,292 0.50 

92 Medical Staffing Network Holdings, Inc. 487 0.19 

54 RehabCare Group, Inc. 872 0.34 

5,809 2.26 


24 M/I Homes, Inc. 437 0.17 

18 MDC Holdings, Inc. 792 0.31 

1,229 0.48 


60 American Technology Corp. 187 0.07 

68 Furniture Brands International, Inc. 774 0.30 

85 La-Z-Boy, Inc. 815 0.32 

80 Zygo Corp. 1,027 0.40 

2,803 1.09 

Industrial Components — 3.53% 

45 Barnes Group, Inc. 1,410 0.55 

42 Crane Co. 1,881 0.73 

69 CTS Corp. 891 0.34 

30 Deswell Industries, Inc. 303 0.12 

113 Gerber Scientific, Inc. 1,151 0.45 

69 Graftech International Ltd. 1,165 0.45 

65 Planar Systems, Inc. 410 0.16 

53 Timken Co. 1,889 0.73 

9,100 3.53 


% of 

Value Net 




61 American Equity Investment Life Holding Co. 624 0.24 

53 Horace Mann Educators Corp. 1,021 0.40 

74 Meadowbrook Insurance Group, Inc. 651 0.25 

43 RAM Holdings Ltd. 403 0.16 

2,699 1.05 

Internet Software and Services — 3.23% 

90 1-800-Flowers.Com, Inc., Class A 951 0.37 

42 Access Integrated Technologies, Inc., Class A 262 0.10 

106 Earthlink, Inc. 804 0.31 

70 Infospace, Inc. 976 0.38 

87 Interwoven, Inc. 1,135 0.44 

60 Jupitermedia Corp. 366 0.14 

135 Lionbridge Technologies, Inc. 555 0.22 

115 Looksmart Ltd. 301 0.12 

160 MIVA, Inc. 720 0.28 

116 RealNetworks, Inc. 720 0.28 

68 S1 Corp. 529 0.20 

153 SupportSoft, Inc. 826 0.32 

83 Tumbleweed Communications Corp. 184 0.07 

8,329 3.23 


129 Ciber, Inc. 1,021 0.40 

45 Computer Task Group, Inc. 204 0.08 

47 Technology Solutions Co. 216 0.08 

1,441 0.56 

Leisure and Entertainment — 1.59% 

38 Carmike Cinemas, Inc. 601 0.23 

70 Cinemark Holdings, Inc. 1,259 0.49 

78 Regal Entertainment Group, Class A 1,765 0.68 

15 Steinway Musical Instruments 479 0.19 

4,104 1.59 


20 AGCO Corp. 868 0.34 

17 Astec Industries, Inc. 855 0.33 

58 Baldwin Technology Co., Class A 300 0.12 

13 Chart Industries, Inc. 346 0.13 

35 EnPro Industries, Inc. 1,458 0.57 

34 FEI Co. 959 0.37 

77 Flow International Corp. 629 0.24 

34 Gardner Denver, Inc. 1,353 0.53 

30 Gehl Co. 721 0.28 

15 Hurco Cos, Inc. 757 0.29 

24 Intermec, Inc. 587 0.23 

23 Keithley Instruments, Inc. 225 0.09 

74 LeCroy Corp. 551 0.21 

36 Mueller Water Products, Inc., Class B 398 0.15 

23 Robbins & Myers, Inc. 1,262 0.49 

43 Thermadyne Holdings Corp. 663 0.26 

11,932 4.63 

97




% of 

Value Net 



% of 

Value Net 




Media and Broadcasting — 0.50% 

40 Ballantyne of Omaha, Inc. 235 0.09 

77 Cox Radio, Inc., Class A 1,065 0.41 

1,300 0.50 

Medical Products and Devices — 1.83% 

108 Digirad Corp. 334 0.13 

95 HealthTronics, Inc. 452 0.18 

49 Home Diagnostics, Inc. 477 0.18 

19 New Brunswick Scientific, Inc. 216 0.08 

29 Orthofix International NV 1,368 0.53 

31 Pharmerica Corp. 557 0.22 

50 Wright Medical Group, Inc. 1,315 0.51 

4,719 1.83 

Metal Fabrication and Distribution — 2.58% 

14 Carpenter Technology Corp. 1,659 0.64 

29 Claymont Steel Holdings, Inc. 599 0.23 

30 Commercial Metals Co. 867 0.34 

24 Haynes International, Inc. 2,021 0.79 

54 NN, Inc. 554 0.22 

25 Northwest Pipe Co. 932 0.36 

6,632 2.58 

Miscellaneous Manufacturing — 0.08% 

46 Flanders Corp. 203 0.08 

Oil and Gas — 1.54% 

40 Bronco Drilling Co., Inc. 588 0.23 

16 Hercules Offshore, Inc. 412 0.16 

52 Pengrowth Energy Trust 889 0.34 

67 Pioneer Drilling Co. 817 0.32 

39 Stone Energy Corp. 1,269 0.49 

3,975 1.54 

Other Consumer Services — 0.46% 

148 Autobytel, Inc. 482 0.19 

50 Lincoln Educational Services Corp. 698 0.27 

1,180 0.46 

Other Financial Services — 0.33% 

32 Advanta Corp., Class B 846 0.33 

Other Industrial Products — 2.15% 

80 Ferro Corp. 1,566 0.61 

47 Interface, Inc., Class A 851 0.33 

65 Maxwell Technologies, Inc. 805 0.31 

20 Trinity Industries, Inc. 751 0.29 

62 Walter Industries, Inc. 1,562 0.61 

5,535 2.15 

Paper and Packaging — 0.48% 

49 Chesapeake Corp. 484 0.19 

160 Graphic Packaging Corp. 763 0.29 

1,247 0.48 

Precious Metals and Mining — 0.53% 

28 Century Aluminum Co. 1,357 0.53 

Printing — 0.36% 

55 Bowne & Co., Inc. 931 0.36 

Publishing — 1.54% 

53 McClatchy Co., Class A 1,192 0.46 

34 Media General, Inc., Class A 958 0.37 

54 Scholastic Corp. 1,823 0.71 

3,973 1.54 

Pumps, Valves and Bearings — 0.77% 

47 CIRCOR International, Inc. 1,988 0.77 

REITS — 0.03% 

10 Rait Financial Trust† 88 0.03 

Restuarants and Lodgings — 1.00% 

66 Landry's Restaurants, Inc. 1,895 0.74 

63 Rubio's Restaurants, Inc. 679 0.26 

2,574 1.00 

Retail Stores — 6.14% 

45 Bakers Footwear Group, Inc. 180 0.07 

37 Bebe Stores, Inc. 517 0.20 

69 The Bombay Co., Inc. 19 0.01 

16 The Childrens Place Retail Stores, Inc. 449 0.17 

48 Conn's, Inc. 1,060 0.41 

56 Cost Plus, Inc. 224 0.09 

39 Dillard's, Inc., Class A 928 0.36 

77 Fred's, Inc. 799 0.31 

24 Gander Mountain Co. 194 0.07 

29 Group 1 Automotive, Inc. 1,003 0.39 

39 Jamba, Inc. 267 0.10 

175 Krispy Kreme Doughnuts, Inc. 1,163 0.45 

32 Lithia Motors, Inc., Class A 566 0.22 

59 MarineMax, Inc. 1,082 0.42 

60 Pacific Sunwear of California 841 0.33 

60 PEP Boys-Manny Moe & Jack 983 0.38 

152 Restoration Hardware, Inc. 536 0.21 

57 Rex Stores Corp. 1,073 0.42 

81 Saks, Inc. 1,308 0.51 

42 Sonic Automotive, Inc., Class A 1,128 0.44 

55 Tuesday Morning Corp. 584 0.23 

57 West Marine, Inc. 776 0.30 

73 Wilsons, The Leather Experts, Inc. 132 0.05 

15,812 6.14 

Securities Brokers — 0.24% 

30 Evercore Partners, Inc., Class A 618 0.24 

Semiconductors and Equipment — 6.94% 

59 Actel Corp. 660 0.26 

46 Advanced Energy Industries, Inc. 738 0.29 

95 Anadigics, Inc. 1,556 0.60 

55 Axt, Inc. 252 0.10 

67 Brooks Automation, Inc. 941 0.37 

24 BTU International, Inc. 288 0.11 

135 California Micro Devices Corp. 532 0.21 

22 Cascade Microtech, Inc. 230 0.09 

98




% of 

Value Net 



% of 

Value Net 




Semiconductors and Equipment — (continued) 

37 Cohu, Inc. 728 0.28 

48 Cypress Semiconductor Corp. 1,192 0.46 

135 Electroglas, Inc. 304 0.12 

60 Fairchild Semiconductor International, Inc. 1,126 0.44 

99 GSI Group, Inc. 964 0.37 

72 Ikanos Communications, Inc. 421 0.16 

100 Kulicke & Soffa Industries, Inc. 854 0.33 

123 Nanometrics, Inc. 930 0.36 

62 Pericom Semiconductor Corp. 712 0.28 

47 PLX Technology, Inc. 513 0.20 

158 Sanmina-SCI Corp. 361 0.14 

82 Silicon Storage Technology, Inc. 256 0.10 

156 TriQuint Semiconductor, Inc. 689 0.27 

16 Varian Semiconductor Equipment Associates, Inc. 907 0.35 

15 Varian, Inc. 876 0.34 

64 Veeco Instruments, Inc. 1,119 0.43 

133 White Electronic Designs Corp. 715 0.28 

17,864 6.94 


87 Aspen Technology, Inc. 1,145 0.44 

45 Avid Technology, Inc. 1,397 0.54 

183 Borland Software Corp. 835 0.32 

142 Bottomline Technologies, Inc. 1,868 0.73 

93 Epicor Software Corp. 1,230 0.48 

39 Evans & Sutherland Computer Co. 80 0.03 

47 JDA Software Group, Inc. 971 0.38 

125 Majesco Entertainment Co. 278 0.11 

25 Moldflow Corp. 416 0.16 

75 MSC.Software Corp. 949 0.37 

28 Parametric Technology Corp. 491 0.19 

110 QAD, Inc. 896 0.35 

81 SumTotal Systems, Inc. 498 0.19 

11,054 4.29 

Speciality Chemicals and Materials — 3.89% 

112 Aceto Corp. 974 0.38 

76 Calgon Carbon Corp. 1,009 0.39 

66 Chemtura Corp. 605 0.24 

26 Cytec Industries, Inc. 1,700 0.66 

48 Lydall, Inc. 502 0.19 

66 Material Sciences Corp. 718 0.28 

47 Park Electrochemical Corp. 1,389 0.54 

142 PolyOne Corp. 1,138 0.44 

50 SGL Carbon AG, ADR 798 0.31 

54 Spartech Corp. 1,174 0.46 

10,007 3.89 


128 GenCorp, Inc. 1,463 0.57 


74 ADC Telecommunications, Inc. 1,360 0.53 

122 Carrier Access Corp. 496 0.19 

133 Centillium Communications, Inc. 197 0.08 

53 Clearone Communications, Inc. 322 0.13 

66 EMS Technologies, Inc. 1,617 0.63 

45 General Communication, Inc., Class A 564 0.22 

25 Globecom System, Inc. 346 0.13 

70 Harmonic, Inc. 697 0.27 

65 Harris Stratex Networks, Inc., Class A 1,109 0.43 

70 MasTec, Inc. 1,035 0.40 

179 Network Equipment Technologies, Inc. 1,905 0.74 

76 Oplink Communications, Inc. 984 0.38 

27 Optical Cable Corp. 125 0.05 

145 Powerwave Technologies, Inc. 993 0.39 

85 Radyne Corp. 898 0.35 

108 Symmetricom, Inc. 540 0.21 

107 Tekelec 1,311 0.51 

77 Tollgrade Communications, Inc. 782 0.30 

63 Utstarcom, Inc. 190 0.07 

164 Westell Technologies, Inc., Class A 336 0.13 

103 WJ Communications, Inc. 158 0.06 

15,965 6.20 

Textiles — 0.66% 

32 Albany International Corp., Class A 1,227 0.47 

48 Dixie Group, Inc. 486 0.19 

1,713 0.66 

Transportation and Logistics — 3.37% 

124 ABX Air, Inc. 851 0.33 

84 Airtran Holdings, Inc. 880 0.34 

37 DryShips, Inc. 2,633 1.02 

115 Frontier Airlines Holdings, Inc. 679 0.27 

82 Mesa Air Group, Inc. 460 0.18 

41 Oceanfreight, Inc. 881 0.34 

6 Overseas Shipholding Group, Inc. 400 0.16 

36 StealthGas, Inc. 621 0.24 

87 Velocity Express Corp. 54 0.02 

39 YRC Worldwide, Inc. 1,208 0.47 

8,667 3.37 






99




† REITS — Real Estate Investment Trusts 

* Effective October 5, 2007, the Royce U.S. Small Cap Fund changed its name to 

the Royce U.S. Small Cap Opportunity Fund. 

ADR 

ABBREVIATION: 

American Depository Receipt 



% of Total 



Transferable securities admitted to 

an official exchange or traded on a regulated market 90.95% 




100




% of 

Value Net 





12 HEICO Corp., Class A 446 0.72 

Apparel and Shoes — 1.36% 

7 Columbia Sportswear Co. 408 0.66 

18 K Swiss, Inc., Class A 434 0.70 

842 1.36 

Automotive — 0.76% 

23 Gentex Corp. 469 0.76 

Building Systems and Components — 2.50% 

20 Drew Industries, Inc. 770 1.24 

6 Genlyte Group, Inc. 464 0.75 

12 Winnebago Industries 315 0.51 

1,549 2.50 


22 Copart, Inc. 653 1.06 

16 Cra International, Inc. 769 1.24 

32 Labor Ready, Inc. 664 1.07 

28 MPS Group, Inc. 391 0.63 

2,477 4.00 

Components and Systems — 2.17% 

21 Plexus Corp. 490 0.79 

13 Technitrol, Inc. 360 0.58 

15 Tektronix, Inc. 492 0.80 

1,342 2.17 

Drugs and Biotechnology — 0.76% 

21 Alpharma, Inc., Class A 469 0.76 

Energy Services — 5.34% 

13 CARBO Ceramics, Inc. 612 0.99 

57 Ensign Energy Services, Inc. 1,002 1.62 

51 Pason Systems, Inc., Class A 789 1.27 

51 Trican Well Service Ltd. 901 1.46 

3,304 5.34 

Food and Tobacco Processors — 0.91% 

14 Sanderson Farms, Inc. 566 0.91 


18 Ethan Allen Interiors, Inc. 598 0.97 

Industrial Components — 6.46% 

16 Applied Industrial Technologies, Inc. 518 0.84 

5 Ceradyne, Inc. 376 0.61 

18 Clarcor, Inc. 701 1.13 

13 Cymer, Inc. 531 0.86 

33 Heartland Express, Inc. 519 0.84 

13 Regal Beloit Corp. 631 1.02 

22 Simpson Manufacturing Co., Inc. 719 1.16 

3,995 6.46 

Industrial Distribution — 1.04% 

6 MSC Industrial Direct Co., Class A 302 0.49 

5 Ritchie Bros. Auctioneers, Inc. 342 0.55 

644 1.04 

% of 

Value Net 



Information and Processing — 0.31% 

3 Morningstar, Inc. 189 0.31 


30 Max Capital Group Ltd. 829 1.34 

Insurance Brokers — 0.69% 

9 Hilb Rogal & Hobbs Co. 427 0.69 

Internet Software and Services — 0.88% 

50 eResearch Technology, Inc. 543 0.88 

Investment Companies — 1.26% 

50 KKR Financial Holdings LLC 781 1.26 


33 Perot Systems Corp., Class A 516 0.83 


18 Coherent, Inc. 551 0.89 

7 Franklin Electric Co. Inc. 272 0.44 

19 Gardner Denver, Inc. 766 1.24 

9 Graco, Inc. 344 0.55 

13 Kennametal, Inc., Class A 1,033 1.67 

13 Lincoln Electric Holdings, Inc. 906 1.46 

15 National Instruments Corp. 486 0.79 

12 Robbins & Myers, Inc. 623 1.01 

12 Rofin-Sinar Technologies, Inc. 815 1.32 

10 Tennant Co. 416 0.67 

19 Woodward Governor Co. 1,128 1.82 

7,340 11.86 

Medical Products and Devices — 0.86% 

14 ICU Medical, Inc. 533 0.86 

Metal Fabrication and Distribution — 8.11% 

6 Haynes International, Inc. 493 0.80 

9 Kaydon Corp. 459 0.74 

23 Metal Management, Inc. 1,098 1.77 

17 Quanex Corp. 732 1.18 

18 Reliance Steel & Aluminum Co. 954 1.54 

22 Schnitzer Steel Industries, Inc., Class A 1,285 2.08 

5,021 8.11 

Mining — 7.60% 

15 Agnico Eagle Mines Ltd. 658 1.06 

82 Fronteer Development Group, Inc. 624 1.01 

43 Gammon Gold, Inc. 342 0.55 

33 Meridian Gold, Inc. 908 1.47 

32 Novagold Resources, Inc. 442 0.72 

38 Pan American Silver Corp. 940 1.52 

27 Silver Standard Resources, Inc. 789 1.27 

4,703 7.60 

Miscellaneous Manufacturing — 0.54% 

7 Carlisle Cos., Inc. 335 0.54 

Oil and Gas — 5.08% 

18 Cimarex Energy Co. 652 1.05 

19 Oil States International, Inc. 802 1.30 

31 RPC, Inc. 421 0.68 


101




% of 

Value Net 




Oil and Gas — (continued) 

10 St. Mary Land & Exploration Co. 323 0.52 

19 Unit Corp. 947 1.53 

3,145 5.08 

Oil and Gas Services — 0.84% 

27 Calfrac Well Services Ltd. 520 0.84 

Other Consumer Products — 1.39% 

26 Fossil, Inc. 861 1.39 

Other Consumer Services — 5.54% 

67 Corinthian Colleges, Inc. 946 1.53 

75 Knight Capital Group, Inc., Class A 1,026 1.66 

35 MoneyGram International, Inc. 747 1.20 

10 The St. Joe Co. 310 0.50 

22 Universal Technical Institute, Inc. 400 0.65 

3,429 5.54 

Other Industrial Products — 0.82% 

13 W.H. Brady Co., Class A 510 0.82 

Other Natural Resources — 0.53% 

10 AMCOL International Corp. 329 0.53 

Printing — 0.91% 

16 Courier Corp. 560 0.91 


25 AC Moore Arts & Crafts, Inc. 460 0.74 

54 Charming Shoppes, Inc. 485 0.79 

945 1.53 

Semiconductors and Equipment — 2.41% 

7 Dolby Laboratories, Inc., Class A 266 0.43 

36 Mks Instruments, Inc. 794 1.28 

12 Supertex, Inc. 430 0.70 

1,490 2.41 


21 Fair Isaac Corp. 773 1.25 

14 FARO Technologies, Inc., Class B 567 0.92 

59 MSC.Software Corp. 746 1.20 

2,086 3.37 

Specialty Chemicals and Materials — 1.63% 

37 Westlake Chemical Corp. 1,009 1.63 

Sports and Recreation — 1.76% 

25 Thor Industries, Inc. 1,087 1.76 


21 Adtran, Inc. 559 0.90 

30 Foundry Networks, Inc. 560 0.91 

1,119 1.81 

Transportation and Logistics — 4.46% 

29 Arkansas Best Corp. 1,044 1.69 

34 Celadon Group, Inc. 526 0.85 

27 Pacer International, Inc. 584 0.94 

30 Universal Truckload Services, Inc., Class A 607 0.98 

2,761 4.46 


% of 

Value Net 



Rights — 0.00% (Cost $0) 

10 KKR Finance — — 





shares. 



% of Total 








102

This Page Intentionally Left Blank


Balance Sheet 

Western Asset Western Asset 

Western Asset Western Asset Western Asset Diversified Global Multi 

U.S. Money Market U.S. Core Bond Euro Core Bond Strategic Income Strategy Fund 

Fund as at Fund as at Fund as at Bond Fund as at as at 

August 31, 2007 August 31, 2007 August 31, 2007 August 31, 2007 August 31, 2007 

(in 000's) (in 000's) (in 000's) (in 000's) (in 000's) 

CURRENT ASSETS: 

Cash (Note 7) — $ 10,196 € 1,438 $ 3,396 $ 5,364 

Amounts due from broker — 170 — 73 — 

Financial assets at fair value through profit or loss: (Note1) 

Investments $3,661,435 87,922 15,329 170,746 379,033 

Unrealised appreciation on swap contracts — — — — — 

Options at fair value — 118 — 244 1,245 

Unrealised appreciation on forward foreign currency contracts — — — 1,085 2,248 

Unrealised appreciation on future contracts — 42 33 265 794 

Receivable for investments sold — 28,039 1,097 — 1,701 

Receivable for Redeemable Participating Shares sold — 105 1 — 1,307 

Interest Receivable 11,144 433 337 1,994 5,715 

Dividend Receivable — 4 — — 2 

Receivable from Investment Manager — — — — — 

Other assets 234 17 4 29 30 

Total Current Assets 3,672,813 127,046 18,239 177,832 397,439 

CURRENT LIABILITIES: 

Cash overdraft 432 — — — — 

Amounts due to broker — — — 85 — 

Payable for investments purchased — 61,362 2,398 — 909 

Financial Liabilities at fair value through profit or loss: (Note 1) 

Options at fair value — 9 32 269 724 

Unrealised depreciation on swap contracts — 63 — 109 317 

Unrealised depreciation on forward foreign currency contracts — — 5 — — 

Unrealised depreciation on futures contracts — 166 49 338 65 

Distributions payable to holders of Redeemable Participating Shares 5,200 83 31 206 632 

Investment Management fees payable (Note 3) 1,711 33 7 106 223 

Administrator and Custodian fees payable (Note 3) 335 7 1 16 35 

Shareholder service fees payable (Note 3) – 11 2 16 56 

Distribution fees payable 347 43 11 141 304 

Transfer agent fees payable 28 — — 1 — 

Payable for Redeemable Participating Shares sold 26 174 — 1,314 188 

Accrued expenses and other liabilities 230 29 21 34 88 

Liabilities (excluding net assets attributable to Holders of 

Redeemable Participating Shares) 8,309 61,980 2,557 2,635 3,541 

Total Net Assets Attributable to Holders 

of Redeemable Participating Shares $3,664,504 $ 65,066 € 15,682 $ 175,197 $ 393,898 

Amounts designated as "—" are either $0/€0 or less than $1,000/€1,000. 

The Euro figures for the Western Asset Euro Core Bond Fund & Batterymarch European Equity Fund have been converted into U.S. 

Dollars in the total figure for the Legg Mason Global Funds Plc as at August 31, 2007, using the USD/EUR FX rate as at August 31, 2007 of 1.3622. 

* Fund commenced trading April 23, 2007. 

** Effective October 5, 2007, the Royce U.S. Small Cap Fund changed its name to the Royce U.S. Small Cap Opportunity Fund. 


104


Western Asset 


Western Asset Western Asset U.S. Short-Term Western Asset Investment Western Asset Brandywine Brandywine 

Western Asset Emerging Global High Government U.S. Adjustable Grade Total Inflation Global Global 

U.S. High Yield Markets Yield Bond Income Fund Rate Income Return Bond Management Opportunities Equity 

Bond Fund as at Bond Fund as at Fund as at as at Fund as at Fund as at Fund as at Bond Fund as at Fund as at 

August 31, 2007 August 31, 2007 August 31, 2007 August 31, 2007 August 31, 2007 August 31, 2007 August 31, 2007 August 31, 2007 August 31, 2007 

(in 000's) (in 000's) (in 000's)* (in 000's)* (in 000's)* (in 000's)* (in 000's)* (in 000's) (in 000's) 

$ 81 $ 771 $ 5,823 $ 18,420 $ 3,231 $ 6,659 $ 192 — $ 110 

— 99 — 227 73 66 2 — — 

102,673 139,421 228,669 81,483 120,353 37,487 10,034 $ 488,122 2,076 

— 4 — — — — — — — 

— — — — — — — — — 

— — — — — — — 802 — 

— 57 — 41 16 76 2 — — 

32 939 250 3,002 6,254 1,687 — 29,079 — 

— — 114 — — — — 283 — 

2,188 2,656 4,902 416 402 482 40 7,306 — 

2 — 4 — — — — — 5 

— — — — — — 7 — — 

16 22 15 5 8 2 1 17 18 

104,992 143,969 239,777 103,594 130,337 46,459 10,278 525,609 2,209 

— — — — — — — 1,278 — 

— — — — — 181 — — — 

166 938 1,017 30,463 24,382 3,786 492 9,763 — 

— — — — — — — — 

— 173 — — — — — — — 

— — — — — — — — — 

— 156 — 211 143 10 6 — — 

194 96 125 61 65 36 — — — 

64 109 167 38 60 24 1 297 — 

10 13 22 7 10 4 1 47 — 

6 6 14 — 2 1 — 74 — 

78 91 142 63 81 35 8 261 1 

— — 2 1 1 1 1 10 1 

105 211 1,091 155 118 81 — 2,402 — 

27 38 24 10 12 7 6 171 3 

650 1,831 2,604 31,009 24,874 4,166 515 14,303 5 

$ 104,342 $ 142,138 $ 237,173 $ 72,585 $ 105,463 $ 42,293 $ 9,763 $ 511,306 $ 2,204 


105


Balance Sheet - continued 

Legg Mason Legg Mason ClearBridge U.S. ClearBridge U.S. ClearBridge U.S. 

Value Growth Appreciation Fundamental Large Cap Growth 

Fund as at Fund as at Fund as at Value Fund as at Fund as at 


(in 000's) (in 000's) (in 000's)* (in 000's)* (in 000's)* 


Cash (Note 7) $ 6,616 $ 2,411 $ 28 $ 302 $ 385 

Amounts due from broker — — — — — 

Financial assets at fair value through profit or loss: (Note 1) 

Investments 2,116,401 76,620 40,608 293,903 91,668 

Unrealised appreciation on swap contracts — — — — — 

Options at fair value — — — — — 

Unrealised appreciation on forward foreign currency contracts — — — — — 

Unrealised appreciation on future contracts — — — — — 

Receivable for investments sold 1,169 — 159 996 — 

Receivable for Redeemable Participating Shares sold 1,751 41 15 7 2 

Interest Receivable 28 14 8 2 1 

Dividend Receivable 786 15 49 490 56 

Receivable from Investment Manager — — — — — 

Other assets 135 6 2 23 6 

Total Current Assets 2,126,886 79,107 40,869 295,723 92,118 


Cash overdraft — — — — — 

Amounts due to broker — — — — — 

Payable for investments purchased 1,085 — 52 300 — 

Financial Liabilities at fair value through profit or loss: (Note 1) 

Options at fair value — — — — — 

Unrealised depreciation on swap contracts — — — — — 

Unrealised depreciation on forward foreign currency contracts — — — — — 

Unrealised depreciation on futures contracts — — — — — 

Distributions payable to holders of Redeemable Participating Shares — — — — — 

Investment Management fees payable (Note 3) 1,745 51 28 205 64 

Administrator and Custodian fees payable (Note 3) 192 7 4 27 8 

Shareholder service fees payable (Note 3) 711 26 1 11 2 

Distribution fees payable 1,053 43 28 204 63 

Transfer agent fees payable 88 — 1 3 1 

Payable for Redeemable Participating Shares sold 2,839 14 37 386 85 

Accrued expenses and other liabilities 209 14 8 24 9 

Liabilities (excluding net assets attributable to Holders of 

Redeemable Participating Shares) 7,922 155 159 1,160 232 

Total Net Assets Attributable to Holders of 

Redeemable Participating Shares $2,118,964 $ 78,952 $ 40,710 $ 294,563 $ 91,886 


The Euro figures for the Western Asset Euro Core Bond Fund & Batterymarch European Equity Fund have been converted into U.S. 

Dollars in the total figure for the Legg Mason Global Funds Plc as at August 31, 2007, using the USD/EUR FX rate as at August 31, 2007 of 1.3622. 




106


Batterymarch Royce U.S. 

ClearBridge U.S. Batterymarch Batterymarch International Small Cap Royce 100 Legg Mason 

Aggressive Growth European Equity Pacific Equity Large Cap Opportunity Equity Global Funds 

Fund as at Fund as at Fund as at Fund as at Fund as at Fund as at Plc Totals as at 

August 31, 2007 August 31, 2007 August 31, 2007 August 31, 2007 August 31, 2007 August 31, 2007 August 31, 2007 

(in 000's) (in 000's) (in 000's) (in 000's)* (in 000's)** (in 000's) (in 000's) 

— € 1,775 $ 5,710 $ 562 $ 22,626 $ 4,433 $ 101,691 

— — — — — — 710 

$ 262,691 77,408 187,813 57,312 235,407 57,769 9,055,971 

— — — — — — 4 

— — — — — — 1,607 

— — — — — — 4,135 

— — — — — — 1,338 

— 6,635 1,135 376 430 244 86,025 

50 318 216 — 141 — 4,466 

1 — 37 4 107 27 38,366 

53 341 386 188 104 11 2,621 

— — — — — — 7 

18 20 10 4 17 14 683 

262,813 86,497 195,307 58,446 258,832 62,498 9,297,624 

159 — — — — — 1,869 

— — — — — — 266 

— 1,865 676 588 656 462 142,906 

— — — — — — 1,045 

— — — — — — 662 

— — — — — — 7 

— — — — — — 1,161 

— — — — — — 6,740 

192 63 158 47 237 56 5,712 

24 7 15 5 23 6 829 

5 12 55 1 83 15 1,113 

166 57 109 49 126 40 3,570 

3 — — 1 — — 143 

613 5,397 172 219 143 18 17,743 

23 10 96 9 24 16 1,152 

1,185 7,411 1,281 919 1,292 613 184,918 

$ 261,628 €79,086 $ 194,026 $ 57,527 $ 257,540 $61,885 $9,112,706 


107



Western Asset Western Asset Western Asset 

Western Asset Western Asset Western Asset Diversified Global Multi Western Asset Emerging 

U.S. Money U.S. Core Bond Euro Core Bond Strategic Income Strategy Fund U.S. High Yield Markets 

Market Fund as at Fund as at Fund as at Bond Fund as at as at Bond Fund as at Bond Fund as at 

February 28, 2007 February 28, 2007 February 28, 2007 February 28, 2007 February 28, 2007 February 28, 2007 February 28, 2007 

(in 000's) (in 000's) (in 000's) (in 000's) (in 000's) (in 000's) (in 000's) 


Cash (Note 7) $ 149 $ 6,252 € 2,320 $ 3,630 $ 6,046 $ 205 $ 668 

Amounts due from broker — — — — — — — 

Financial assets at fair value through 

profit or loss: (Note 1) 

Investments 45,763 158,401 20,247 135,596 367,125 43,576 25,659 

Unrealised appreciation on 

swap contracts — 32 — — 8 — — 

Options at fair value — 192 — 192 714 — — 


forward foreign currency contracts — — 26 — 967 — — 


future contracts — 396 — — — — 21 

Receivable for investments sold — 7,376 — — 7,542 224 — 

Receivable for Redeemable 

Participating Shares sold 78 518 8 — 4,578 262 242 

Interest Receivable 395 390 351 1,256 4,634 803 651 

Dividend Receivable — 4 — — 2 1 — 

Other assets — — 5 — 6 1 1 

Total Current Assets 46,385 173,561 22,957 140,674 391,622 45,072 27,242 


Cash overdraft — 452 — — — — 29 

Amounts due to broker — — — — — — — 

Payable for investments purchased — 60,378 1,235 656 8,431 489 100 

Financial Liabilities at fair value 

through profit or loss: (Note 1) 

Options at fair value — 18 — 152 410 — — 

Unrealised depreciation on 

swap contracts — — — — — — 143 


forward foreign currency contracts — — — 108 — — — 


futures contracts — — 56 251 135 — — 

Distributions payable to holders of 

Redeemable Participating Shares 71 159 25 325 730 122 52 

Investment Management fees 

payable (Note 3) 11 38 8 64 172 22 20 

Administrator and Custodian fees 

payable (Note 3) 2 9 2 11 30 4 2 

Shareholder service fees 

payable (Note 3) — 13 2 16 43 5 3 

Distribution fees payable 13 48 12 84 245 23 16 

Transfer agent fees payable 1 1 1 1 6 1 1 

Payable for Redeemable 

Participating Shares sold 900 594 204 166 5,287 1,508 25 

Accrued expenses and other liabilities 18 27 27 48 76 30 33 

Liabilities (excluding net assets 

attributable to Holders of 

Redeemable Participating Shares) 1,016 61,737 1,572 1,882 15,565 2,204 424 

Total Net Assets 

Attributable to Holders of 

Redeemable Participating Shares $ 45,369 $ 111,824 € 21,385 $ 138,792 $ 376,057 $ 42,868 $ 26,818 


The Euro figures for the Western Asset Euro Core Bond Fund & Batterymarch European Equity Fund have been converted into U.S. Dollars 

in the total figure for the Legg Mason Global Funds Plc as at February 28, 2007, using the USD/EUR FX rate as at February 28, 2007 of 1.3233. 



108


Brandywine Brandywine Royce U.S. 

Global Global Legg Mason Legg Mason Batterymarch Batterymarch Small Cap Royce 100 Legg Mason 

Opportunities Equity Value Growth European Equity Pacific Equity Opportunity Equity Global Funds 

Bond Fund as at Fund as at Fund as at Fund as at Fund as at Fund as at Fund as at Fund as at Plc Totals as at 

February 28, 2007 February 28, 2007 February 28, 2007 February 28, 2007 February 28, 2007 February 28, 2007 February 28, 2007 February 28, 2007 February 28, 2007 

(in 000's) (in 000's) (in 000's) (in 000's) (in 000's) (in 000's) (in 000's)** (in 000's) (in 000's) 

$ 16,530 $ 49 $ 21,024 $ 5,061 € 692 $ 2,930 $ 14,546 $ 5,035 $ 86,111 

— — — — — — — — — 

550,666 1,363 3,183,245 86,141 34,120 95,910 172,145 37,549 4,975,085 

— — — — — — — — 40 

— — — — — — — — 1,098 

— — — — — — — — 1,001 

— — — — — — — — 417 

8,627 93 65,963 4,940 168 990 977 285 97,239 

7,923 — 16,906 185 1,516 114 278 456 33,557 

10,832 1 24 10 45 9 56 15 19,600 

— 1 1,122 42 25 194 83 15 1,497 

— — — — 4 — — — 20 

594,578 1,507 3,288,284 96,379 36,570 100,147 188,085 43,355 5,215,665 

— — — — — — — — 481 

— — — — — — — — — 

8,057 24 — — 1,175 629 2,332 421 84,706 

— — — — — — — — 580 

— — — — — — — — 143 

4,593 — — — — — — — 4,701 

— — — — — — — — 460 

— — — — — — — — 1,492 

249 1 2,205 53 23 78 146 33 3,133 

43 — 272 8 3 8 15 3 414 

62 — 901 27 9 27 51 12 1,175 

219 1 1,325 44 21 61 79 21 2,223 

13 1 103 1 1 2 2 1 137 

891 21 93,324 8,153 462 2,946 340 980 116,016 

285 4 94 24 9 28 22 16 753 

14,412 52 98,224 8,310 1,703 3,779 2,987 1,487 216,414 

$ 580,166 $ 1,455 $ 3,190,060 $ 88,069 € 34,867 $ 96,368 $ 185,098 $ 41,868 $ 4,999,251 


109





Western Asset Western Asset Western Asset Diversified Western Asset Western Asset Emerging 

U.S. Money U.S. Core Euro Core Strategic Income Global Multi U.S. High Yield Markets 

Market Fund Bond Fund Bond Fund Bond Fund Strategy Fund Bond Fund Bond Fund 


AUGUST 31, 2007 

Total Net Asset Value: 

Class A Euro Distributing — — € 1,382 — — — — 

Class A Euro Accumulating — — — — — — — 

Class A (G) US$ Accumulating $ 7,247 — — $ 1,975 — $ 6,375 $ 49,924 

Class A (G) US$ Distributing 2,675 — — 10,710 — 12,754 12,437 

Class A US$ Accumulating 1,918 $ 1,015 — 62 $ 12,034 30 16,828 

Class A US$ Distributing 3,624,814 46,244 4,065 13,813 104,760 18,633 6,522 

Class A SGD Accumulating — — — — — — — 

Class B (G) US$ Accumulating 3,240 — — 16,545 — 6,375 10,159 

Class B (G) US$ Distributing 12,890 — — 26,438 — 17,721 12,915 

Class B US$ Distributing 6,546 11,829 4,737 55,703 42,546 14,007 6,112 

Class C US$ Distributing 1,871 5,978 5,498 43,098 234,558 7,563 12,686 

Class L (G) US$ Accumulating — — — 1,097 — 1,200 2,474 

Class L (G) US$ Distributing 3,303 — — 5,756 — 19,684 12,081 

Galleon Class — — — — — — — 

Number of Redeemable Participating Shares in Issue: 

Class A Euro Distributing — — 14 — — — — 


Class A (G) US$ Accumulating 71 — — 20 — 65 512 

Class A (G) US$ Distributing 2,675 — — 110 — 134 130 

Class A US$ Accumulating 19 10 — 1 121 — 173 

Class A US$ Distributing 3,624,806 468 42 144 883 194 61 


Class B (G) US$ Accumulating 32 — — 167 — 65 104 

Class B (G) US$ Distributing 12,890 — — 271 — 186 135 

Class B US$ Distributing 6,556 120 50 582 358 146 57 

Class C US$ Distributing 1,872 60 58 451 1,976 79 119 

Class L (G) US$ Accumulating — — — 11 — 12 25 

Class L (G) US$ Distributing 3,303 — — 59 — 207 127 


Net Asset Value Per Share: 

Class A Euro Distributing — — € 95.84 — — — — 


Class A (G) US$ Accumulating $ 101.72 — — $ 99.20 — $ 97.79 $ 97.42 

Class A (G) US$ Distributing 1.00 — — 97.41 — 95.21 95.48 

Class A US$ Accumulating 101.47 $ 99.25 — 98.86 $ 99.10 97.14 97.29 

Class A US$ Distributing 1.00 98.86 95.95 95.64 118.71 95.96 106.54 


Class B (G) US$ Accumulating 101.73 — — 99.02 — 97.61 97.25 

Class B (G) US$ Distributing 1.00 — — 97.41 — 95.21 95.48 

Class B US$ Distributing 1.00 98.87 94.79 95.63 118.72 95.97 106.52 

Class C US$ Distributing 1.00 98.89 94.60 95.63 118.72 96.00 106.48 

Class L (G) US$ Accumulating — — — 99.02 — 97.61 97.25 

Class L (G) US$ Distributing 1.00 — — 97.41 — 95.22 95.48 


COMPARATIVE FIGURES AS AT 

FEBRUARY 28, 2007 


Class A US$ Distributing $ 35,441 $ 90,772 € 8,956 $ 25,071 $ 94,329 $ 18,212 $ 7,142 


Class B US$ Distributing 7,294 14,806 5,641 65,609 42,812 17,305 6,516 

Class C US$ Distributing 2,634 6,246 5,920 48,112 238,916 7,351 13,160 



Class A US$ Distributing 35,433 892 90 256 778 181 65 


Class B US$ Distributing 7,303 145 57 669 353 172 60 

Class C US$ Distributing 2,635 61 60 490 1,970 73 120 



Class A US$ Distributing $ 1.00 $ 101.80 € 99.44 $ 98.12 $ 121.25 $ 100.49 $ 109.38 

Class A Euro Distributing — — 99.48 — — — — 

Class B US$ Distributing 1.00 101.81 98.44 98.11 121.27 100.50 109.36 

Class C US$ Distributing 1.00 101.84 98.20 98.11 121.26 100.53 109.32 


Amounts designated as "—" are either $0/€0 or less than $1,000/€1,000 or less than 1,000 shares. 

NAV per share information represents redeemable participating shares. 




110


Western Asset Western Asset Western Asset Western Asset Western Asset Brandywine 

Global U.S. Short Term U.S. Adjustable Investment Grade Inflation Global Brandywine 

High Yield Government Rate Total Return Management Opportunities Global Legg Mason 

Bond Fund Income Fund Income Fund Bond Fund Fund Bond Fund Equity Fund Value Fund 

(in 000's)* (in 000's)* (in 000's)* (in 000's)* (in 000's)* in 000's) (in 000's) (in 000's) 

— — — — — — — — 

— — — — — — — $ 3,775 

$ 49,643 $ 2,224 $ 19,096 $ 1,892 $ 1,907 — — — 

24,509 8,803 10,573 2,900 517 — — — 

98,118 778 10,680 5 1 $ 1 $ 1 44,317 

77 30 1 1,335 1 479,309 1,162 1,962,621 

— — — — — — — 4,384 

20,812 8,149 18,647 8,271 2,040 — — — 

27,046 43,778 25,023 11,022 2,301 — — — 

39 179 1 73 1 9,004 281 25,223 

609 6 400 6,211 1 22,992 760 54,336 

5,408 1,669 3,236 3,512 758 — — — 

10,912 6,969 17,806 7,072 2,236 — — — 

— — — — — — — 24,308 

— — — — — — — — 

— — — — — — — 30 

516 22 191 19 19 — — — 

261 89 107 30 5 — — — 

1,020 8 107 — — — — 458 

1 — — 14 — 4,402 10 10,667 

— — — — — — — 7,229 

217 81 187 83 20 — — — 

288 443 254 113 23 — — — 

— 2 — 1 — 83 3 139 

7 — 4 63 — 212 7 303 

56 17 32 35 8 — — — 

116 71 181 72 22 — — — 

— — — — — — — 182 

— — — — — — — — 

— — — — — — — $ 126.62 

$ 96.27 $ 100.58 $ 100.01 $ 99.65 $ 100.91 — — — 

93.89 98.84 98.39 97.87 100.91 — — — 

96.24 100.54 100.03 99.44 100.75 $ 100.58 $ 98.91 96.82 

93.90 98.83 98.40 97.10 100.75 108.89 112.88 183.99 

— — — — — — — 0.61 

96.09 100.40 99.85 99.47 100.72 — — — 

93.89 98.84 98.37 97.87 100.72 — — — 

93.89 98.85 98.40 96.41 100.65 108.71 112.29 180.83 

93.22 98.84 98.48 97.83 100.57 108.69 112.34 179.41 

96.10 100.40 99.87 99.47 100.73 — — — 

93.89 98.84 98.41 97.87 100.73 — — — 

— — — — — — — 133.77 

— — — — — $ 544,516 $ 1,080 $3,069,528 

— — — — — — — — 

— — — — — 10,203 113 28,718 

— — — — — 25,447 262 65,803 

— — — — — — — 26,011 

— — — — — 5,004 10 16,544 

— — — — — — — — 

— — — — — 94 1 157 

— — — — — 234 2 363 

— — — — — — — 194 

— — — — — $ 108.81 $ 108.11 $ 185.53 

— — — — — — — — 

— — — — — 108.63 107.82 182.81 

— — — — — 108.61 107.86 181.37 

— — — — — — — 134.30 


111



ClearBridge U.S. ClearBridge U.S. ClearBridge U.S. ClearBridge U.S. Batterymarch 

Legg Mason Appreciation Fundamental Large Cap Aggressive European 

Growth Fund Fund Value Fund Growth Fund Growth Fund Equity Fund 

(in 000's) (in 000's)* (in 000's)* (in 000's)* (in 000's)* (in 000's) 

AUGUST 31, 2007 


Class A Euro Distributing — — — — — € 1,658 

Class A Euro Accumulating — — — — — 236 

Class A (G) US$ Accumulating — $ 17,399 $118,203 $ 43,912 $146,754 18,111 

Class A (G) US$ Distributing — — — — — — 

Class A US$ Accumulating $ 187 2,248 33,069 4,342 12,682 727 

Class A US$ Distributing 62,024 1 211 369 1,814 13,965 

Class A SGD Accumulating — — — — — — 

Class B (G) US$ Accumulating — 9,448 100,193 22,563 57,679 18,878 

Class B (G) US$ Distributing — — — — — — 

Class B US$ Distributing 5,823 375 314 293 545 7,893 

Class C US$ Distributing 10,918 287 1,281 306 2,704 13,475 

Class L (G) US$ Accumulating — 10,952 41,292 20,101 39,450 4,143 

Class L (G) US$ Distributing — — — — — — 

Galleon Class — — — — — — 


Class A Euro Distributing — — — — — 9 

Class A Euro Accumulating — — — — — 2 

Class A (G) US$ Accumulating — 171 1,221 431 1,507 253 


Class A US$ Accumulating 2 22 342 43 130 10 

Class A US$ Distributing 498 — 2 4 19 80 


Class B (G) US$ Accumulating — 93 1,037 222 594 265 


Class B US$ Distributing 48 4 3 3 6 46 

Class C US$ Distributing 90 3 13 3 28 79 

Class L (G) US$ Accumulating — 108 427 198 406 58 




Class A Euro Distributing — — — — — € 176.77 

Class A Euro Accumulating — — — — — 96.41 

Class A (G) US$ Accumulating — $ 101.84 $ 96.83 $ 101.96 $ 97.35 71.48 


Class A US$ Accumulating $ 99.55 101.75 96.71 101.84 97.24 72.55 

Class A US$ Distributing 124.61 101.82 96.75 101.87 97.27 175.55 


Class B (G) US$ Accumulating — 101.66 96.65 101.77 97.18 71.34 


Class B US$ Distributing 122.36 101.57 96.56 101.66 97.09 172.80 

Class C US$ Distributing 121.35 101.56 96.56 101.66 97.09 171.55 

Class L (G) US$ Accumulating — 101.66 96.65 101.77 97.18 71.35 



COMPARATIVE FIGURES AS AT 

FEBRUARY 28, 2007 


Class A US$ Distributing $73,505 — — — — € 14,685 

Class A Euro Distributing — — — — — 1,254 

Class B US$ Distributing 4,956 — — — — 7,237 

Class C US$ Distributing 9,608 — — — — 11,691 



Class A US$ Distributing 647 — — — — 86 

Class A Euro Distributing — — — — — 7 

Class B US$ Distributing 44 — — — — 43 

Class C US$ Distributing 87 — — — — 70 



Class A US$ Distributing $ 113.53 — — — — €170.46 

Class A Euro Distributing — — — — — 171.40 

Class B US$ Distributing 111.77 — — — — 168.08 

Class C US$ Distributing 110.85 — — — — 166.86 



NAV per share information represents redeemable participating shares. 




112


Batterymarch Batterymarch Royce U.S. 

Pacific International Small Cap Royce 100 

Equity Fund Large Cap Fund Opportunity Fund** Equity Fund 

(in 000's) (in 000's) (in 000's) (in 000's) 

— — — — 

— — $ 1,894 — 

— $ 6,472 — $ 8,024 

— — — — 

$ 7,169 368 2,431 990 

118,204 247 235,870 29,846 

— — — — 

— 33,621 — 4,651 

— — — — 

22,230 462 3,434 3,624 

46,423 2,071 13,911 10,106 

— 14,286 — 4,644 

— — — — 

— — — — 

— — — — 

— — 20 — 

— 65 — 79 

— — — — 

61 4 19 10 

511 2 818 178 

— — — — 

— 338 — 46 

— — — — 

98 5 12 22 

205 21 49 61 

— 144 — 46 

— — — — 

— — — — 

— — — — 

— — $ 94.49 — 

— $ 99.67 — $ 101.44 

— — — — 

$ 117.13 99.58 124.98 98.64 

231.19 99.60 288.28 168.06 

— — — — 

— 99.49 — 101.26 

— — — — 

227.76 99.40 283.54 165.29 

226.52 99.40 281.41 164.42 

— 99.49 — 101.26 

— — — — 

— — — — 

$ 42,367 — $ 169,038 $ 29,951 

— — — — 

17,230 — 3,435 2,897 

36,771 — 12,625 9,020 

— — — — 

243 — 588 191 

— — — — 

100 — 12 19 

215 — 45 59 

— — — — 

$ 174.05 — $ 287.61 $ 156.81 

— — — — 

171.92 — 283.61 154.64 

170.98 — 281.48 153.81 

— — — — 


113


Profit and Loss Account 

Western Asset Western Asset Western Asset Western Asset Western Asset 

U.S. Money U.S. Core Euro Core Diversified Global Multi 

Market Fund Bond Fund Bond Fund Strategic Income Strategy Fund 

for the for the for the Bond Fund for the for the 

six months ended six months ended six months ended six months ended six months ended 



INVESTMENT INCOME: 

Gross Dividend Income and Bond Interest 

(Note 1) $ 73,247 $ 3,030 € 340 $ 5,664 $ 14,284 

Interest (Note 1) 1 17 1 — 15 

Equalisation (Note 1) — — — — — 

Other Income 16 1 8 23 206 

Net Gain/(Loss) on financial assets and liabilities 

at fair value through the profit and loss account (1) (3,307) (619) (5,101) (8,460) 

Total Investment Income/(Loss) 73,263 (259) (270) 586 6,045 

EXPENSES: 

Investment Management fees (Note 3) 6,772 233 42 571 1,203 

Distribution fees (Note 3) 1,398 292 63 750 1,665 

Administrator & Custodian fees (Note 3) 1,313 51 8 90 199 

Shareholder Service fees (Note 3) — 78 13 100 301 

Legal fees 70 3 — 5 10 

Transfer Agent fees† 32 4 2 8 8 

Audit fees 12 8 7 13 14 

Printing fees 70 2 — 4 9 

Interest Expense — 67 — 24 32 

Directors fees and expenses (Note 3) 7 — — — 1 

Other expenses 210 37 5 45 59 

Total Expenses 9,884 775 140 1,610 3,501 

Expense waivers and reimbursements/recoupment — — — — — 

Total Net Expenses 9,884 775 140 1,610 3,501 

Net Profit/(Loss) before finance costs 63,379 (1,034) (410) (1,024) 2,544 

FINANCE COSTS: 

Distributions to holders of 

Redeemable Participating Shares (62,742) (2,270) (205) (3,756) (10,870) 

Profit/(Loss) for the Financial Year 637 (3,304) (615) (4,780) (8,326) 

Withholding Taxes on dividends 

and other taxation — — (3) 19 (23) 

Increase/(Decrease) in Net Assets attributable to 

Redeemable Participating Shareholders $ 637 $ (3,304) € (618) $ (4,761) $ (8,349) 


Gains and losses are solely from continuing operations. There were no other gains or losses other than those dealt with in the Profit and Loss Account. 

The Euro figures for the Western Asset Euro Core Bond Fund & Batterymarch European Equity Fund have been converted into U.S. Dollars in the total 

figure for the Legg Mason Global Funds Plc for the period ended August 31, 2007, using the USD/EUR rate of 1.3918. 

* From commencement date on April 23, 2007 to August 31, 2007. 


† Transfer Agent fees relate to the period from March 1, 2007 to April 22, 2007. 


114



Western Asset Western Asset Western Asset U.S. Short Term Western Asset Western Asset Western Asset Brandywine 

U.S. High Yield Emerging Global Government U.S. Adjustable Investment Grade Inflation Global Brandywine 

Bond Fund Markets High Yield Income Fund Rate Income Total Return Management Opportunities Global Equity 

for the Bond Fund for the Bond Fund for the for the Fund for the Bond Fund for the Fund for the Bond Fund for the Fund for the 

six months ended six months ended six months ended six months ended six months ended six months ended six months ended six months ended six months ended 

August 31, 2007 August 31, 2007 August 31, 2007* August 31, 2007* August 31, 2007* August 31, 2007* August 31, 2007* August 31, 2007 August 31, 2007 

(in 000's) (in 000's) (in 000's) (in 000's) (in 000's) (in 000's) (in 000's) (in 000's) (in 000's) 

$ 3,999 $ 4,199 $ 7,378 $ 1,662 $ 2,433 $ 892 $ 369 $ 13,669 $ 26 

— 7 22 75 9 6 2 10 2 

— — — — — — — (10) 1 

217 — 310 — 3 — — 48 1 

(5,477) (6,712) (15,808) (1,023) (1,970) (737) (248) (109) 58 

(1,261) (2,506) (8,098) 714 475 161 123 13,608 88 

320 498 704 159 252 93 25 1,741 8 

382 421 602 264 339 133 36 1,525 7 

48 59 91 28 41 14 4 288 1 

34 28 39 — 6 1 — 435 4 

3 3 5 2 2 1 — 15 — 

3 3 2 1 2 1 1 9 — 

11 12 8 8 8 8 8 13 4 

2 3 5 2 2 — — 13 — 

— 104 — — — — — — — 

— — 1 — — — — 2 — 

12 25 17 14 19 4 1 61 6 

815 1,156 1,474 478 671 255 75 4,102 30 

— — — — — — (18) — (11) 

815 1,156 1,474 478 671 255 57 4,102 19 

(2,076) (3,662) (9,572) 236 (196) (94) 66 9,506 69 

(3,010) (1,374) (1,662) (1,042) (898) (415) — (8,667) — 

(5,086) (5,036) (11,234) (806) (1,094) (509) 66 839 69 

(2) (25) (6) — — — — (361) (5) 

$ (5,088) $ (5,061) $ (11,240) $ (806) $ (1,094) $ (509) $ 66 $ 478 $ 64 


115


Profit and Loss Account - (continued) 


Value Fund Growth Fund Appreciation Fundamental Large Cap Growth 

for the for the Fund for the Value Fund for the Fund for the 


August 31, 2007 August 31, 2007 August 31, 2007* August 31, 2007* August 31, 2007* 



Gross Dividend Income and Bond Interest 

(Note 1) $ 10,868 $ 289 $ 229 $ 2,481 $ 324 

Interest (Note 1) 178 59 27 31 10 

Equalisation (Note 1) — — — — — 

Other Income — 5 — 2 — 

Net Gain/(Loss) on financial assets and liabilities 

at fair value through the profit and loss account 23,046 5,470 797 (10,001) 2,271 

Total Investment Income/(Loss) 34,092 5,823 1,053 (7,487) 2,605 

EXPENSES: 

Investment Management fees (Note 3) 11,830 256 113 877 266 

Distribution fees (Note 3) 7,122 219 116 872 262 

Administrator & Custodian fees (Note 3) 1,384 36 15 113 34 

Shareholder Service fees (Note 3) 4,826 128 2 45 7 

Legal fees 78 2 1 6 2 

Transfer Agent fees† 46 3 1 3 1 

Audit fees 17 8 8 8 8 

Printing fees 66 2 1 6 2 

Interest Expense — — — — — 

Directors fees and expenses (Note 3) 8 — — 1 — 

Other expenses 364 8 2 19 6 

Total Expenses 25,741 662 259 1,950 588 

Expense waivers and 

reimbursements/recoupment — — — — — 

Total Net Expenses 25,741 662 259 1,950 588 

Net Profit/(Loss) before finance costs 8,351 5,161 794 (9,437) 2,017 



Redeemable Participating Shares — — — — — 

Profit/(Loss) for the Financial Year 8,351 5,161 794 (9,437) 2,017 


and other taxation (2,864) (85) (66) (564) (97) 

Increase/(Decrease) in Net Assets attributable to 

Redeemable Participating Shareholders $ 5,487 $ 5,076 $ 728 $ (10,001) $ 1,920 


Gains and losses are solely from continuing operations.There were no other gains or losses other than those dealt with in the Profit and Loss Account. 



* From commencement date on April 23, 2007 to August 31, 2007. 


† Transfer Agent fees relate to the period from March 1, 2007 to April 22, 2007. 


116



ClearBridge U.S. Batterymarch Batterymarch International Small Cap Legg Mason 

Aggressive Growth European Equity Pacific Equity Large Cap Opportunity Royce 100 Equity Global Funds Plc 

Fund for the Fund for the Fund for the Fund for the Fund for the Fund for the Total for the 

six months ended six months ended six months ended six months ended six months ended six months ended six months ended 

August 31, 2007* August 31, 2007 August 31, 2007 August 31, 2007* August 31, 2007 August 31, 2007 August 31, 2007 

(in 000's) (in 000's) (in 000's) (in 000's) (in 000's)** (in 000's) (in 000's) 

$ 565 € 1,807 $ 1,748 $ 799 $ 2,159 $ 248 $ 153,551 

69 3 104 16 632 113 1,410 

— — 83 — — — 74 

— 102 1 43 — — 1,029 

(5,738) (1,390) 35,648 (691) (3,234) 3,219 (904) 

(5,104) 522 37,584 167 (443) 3,580 155,160 

818 316 654 193 1,254 281 29,620 

709 283 484 201 671 200 19,150 

99 36 65 21 124 29 4,210 

17 68 229 2 439 81 6,912 

6 2 3 1 6 2 228 

3 2 5 1 6 2 149 

8 5 8 8 8 8 237 

6 2 2 1 5 1 209 

— — — — — — 227 

1 — — — 1 — 22 

16 14 17 6 29 12 1,013 

1,683 728 1,467 434 2,543 616 61,977 

— — — — — — (29) 

1,683 728 1,467 434 2,543 616 61,948 

(6,787) (206) 36,117 (267) (2,986) 2,964 93,212 

— — — — — — (96,992) 

(6,787) (206) 36,117 (267) (2,986) 2,964 (3,780) 

(149) (255) (213) (107) (518) (65) (5,490) 

$ (6,936) € (461) $ 35,904 $ (374) $ (3,504) $ 2,899 $ (9,270) 


117



Western Asset Western Asset Western Asset Western Asset Western Asset Western Asset Western Asset 

U.S. Money U.S. Core Euro Core Diversified Global Multi U.S. High Yield Emerging 

Market Fund Bond Fund Bond Fund Strategic Income Strategy Fund Bond Fund Markets 

for the for the for the Bond Fund for the for the for the Bond Fund for the 

year ended year ended year ended year ended year ended year ended year ended 

February 28, 2007 February 28, 2007 February 28, 2007 February 28, 2007 February 28, 2007 February 28, 2007 February 28, 2007 



Gross Dividend Income and 

Bond Interest (Note 1) $ 2,360 $ 2,969 € 932 $ 8,485 $ 24,807 $ 3,488 $ 2,378 

Interest (Note 1) 37 43 3 3 52 7 15 

Equalisation (Note 1) — — — — — — — 

Other Income — 3 7 11 77 30 10 

Net Gain/(Loss) on financial 

assets and liabilities at fair value 

through the profit and loss account (2) 1,069 (688) 325 (2,199) 1,540 (577) 

Total Investment Income/(Loss) 2,395 4,084 254 8,824 22,737 5,065 1,826 

EXPENSES: 

Investment Management fees (Note 3) 139 247 122 894 2,147 270 307 

Distribution fees (Note 3) 169 359 175 1,181 3,136 289 251 

Administrator & Custodian fees (Note 3) 23 60 29 164 394 46 34 

Shareholder Service fees (Note 3) — 82 37 224 537 62 46 

Legal fees 18 32 23 35 44 30 30 

Transfer Agent fees 8 13 6 24 46 13 9 

Audit fees 16 16 12 28 32 23 24 

Printing fees — 2 1 4 14 1 1 

Interest Expense — 9 — — — — 165 

Incentive fee (Note 3) — — — — — — — 

Directors fees and expenses (Note 3) — — — 1 4 — — 

Other expenses 2 48 16 72 197 13 60 

Total Expenses 375 868 421 2,627 6,551 747 927 

Expense waivers and reimbursements/ 

recoupment — — — — — — — 

Total Net Expenses 375 868 421 2,627 6,551 747 927 

Net Profit/(Loss) before finance costs 2,020 3,216 (167) 6,197 16,186 4,318 899 



Redeemable Participating Shares (2,020) (2,149) (517) (5,824) (18,384) (2,777) (1,476) 

Profit/(Loss) for the Financial Year — 1,067 (684) 373 (2,198) 1,541 (577) 


and other taxation — — (3) (49) (1) (1) — 

Increase/(Decrease) in Net Assets 

attributable to Redeemable 

Participating Shareholders $ — $ 1,067 € (687) $ 324 $ (2,199) $ 1,540 $ (577) 


Gains and losses are solely from continuing operations.There were no other gains or losses other than those dealt with in the Profit and Loss Account. 


figure for the Legg Mason Global Funds Plc for the year ended February 28, 2007, using the USD/EUR rate of 1.2839. 



118


Brandywine 

Royce U.S. 

Global Brandywine Legg Mason Legg Mason Batterymarch Batterymarch Small Cap 

Opportunities Global Equity Value Fund Growth Fund European Equity Pacific Equity Opportunity Royce 100 Equity Legg Mason 

Bond Fund for the Fund for the for the for the Fund for the Fund for the Fund for the Fund for the Global Funds Plc 

year ended year ended year ended year ended year ended year ended year ended year ended Total as at 

February 28, 2007 February 28, 2007 February 28, 2007 February 28, 2007 February 28, 2007 February 28, 2007 February 28, 2007 February 28, 2007 February 28, 2007 


$ 17,077 $ 8 $ 25,889 $ 756 € 581 $ 1,950 $ 1,402 $ 362 $ 93,874 

1,237 2 1,943 116 7 111 685 129 4,392 

1,689 — — — — — — — 1,689 

10 1 — 7 9 — 4 1 175 

2,559 104 236,202 2,729 2,447 19,196 12,579 1,743 277,526 

22,572 115 264,034 3,608 3,044 21,257 14,670 2,235 377,656 

2,547 6 26,758 582 222 898 2,003 401 37,641 

2,281 4 16,101 488 209 700 1,072 258 26,782 

467 1 3,463 92 29 99 220 44 5,181 

637 2 10,930 291 91 314 701 141 14,131 

47 — 210 14 8 17 25 11 553 

40 1 184 14 8 24 25 9 428 

29 8 22 17 9 17 18 17 294 

18 — 112 3 2 4 6 2 171 

34 — — — — — — — 208 

— — — — — 522 — — 522 

4 — 28 1 — 1 2 — 41 

214 — 1,273 35 10 129 78 26 2,180 

6,318 22 59,081 1,537 588 2,725 4,150 909 88,132 

— (9) — — 49 — — 42 96 

6,318 13 59,081 1,537 637 2,725 4,150 951 88,228 

16,254 102 204,953 2,071 2,407 18,532 10,520 1,284 289,428 

(12,680) — — — — — — — (45,974) 

3,574 102 204,953 2,071 2,407 18,532 10,520 1,284 243,454 

(678) (2) (6,709) (211) (51) (187) (407) (102) (8,416) 

$ 2,896 $ 100 $ 198,244 $ 1,860 € 2,356 $ 18,345 $ 10,113 $ 1,182 $ 235,038 


119



Western Asset Western Asset Western Asset Western Asset Western Asset Western Asset 

U.S. Money U.S. Core Euro Core Diversified Global Multi U.S. High Yield 

Market Fund Bond Fund Bond Fund Strategic Income Strategy Fund Bond Fund 

for the for the for the Bond Fund for the for the for the 

six months ended six months ended six months ended six months ended six months ended six months ended 

August 31, 2006 August 31, 2006 August 31, 2006 August 31, 2006 August 31, 2006 August 31, 2006 

(in 000's) (in 000's) (in 000's) (in 000's) (in 000's) (in 000's) 


Gross Dividend Income and 

Bond Interest (Note 1) $ 1,111 $ 1,321 € 492 $ 4,634 $ 12,531 $ 1,919 

Interest (Note 1) — — 8 — — — 

Equalisation (Note 1) — — — — — — 

Other Income — 2 — 9 43 12 

Net Gain/(Loss) on financial assets 

and liabilities at fair value through 

the profit and loss account (2) (383) (532) (2,047) (9,600) (261) 

Total Investment Income/(Loss) 1,109 940 (32) 2,596 2,974 1,670 

EXPENSES: 

Investment Management fees (Note 3) 67 101 66 478 1,054 144 

Distribution fees (Note 3) 82 160 96 630 1,562 156 

Administrator & Custodian fees (Note 3) 24 24 15 87 191 24 

Shareholder Service fees (Note 3) — 34 20 119 263 33 

Legal fees 1 1 — 2 4 1 

Transfer Agent fees 3 7 3 11 17 7 

Audit fees 5 9 9 15 15 12 

Printing fees — 1 1 4 9 1 

Interest Expense — — — — — — 

Incentive fee (Note 3) — — — — — — 

Directors fees and expenses (Note 3) — — — — 1 — 

Other expenses — 17 8 34 80 11 

Total Expenses 182 354 218 1,380 3,196 389 

Expense waivers and reimbursements/ 

recoupment (13) — — — — — 

Total Net Expenses 169 354 218 1,380 3,196 389 

Net Profit/(Loss) before finance costs 940 586 (250) 1,216 (222) 1,281 



Redeemable Participating Shares (942) (885) (263) (2,771) (9,119) (1,438) 

Profit/(Loss) for the Financial Year (2) (299) (513) (1,555) (9,341) (157) 


and other taxation — — (2) (26) — — 

Increase/(Decrease) in Net Assets 

attributable to Redeemable 

Participating Shareholders $ (2) $ (299) € (515) $ (1,581) $ (9,341) $ (157) 


Gains and losses are solely from continuing operations. There were no other gains or losses other than those dealt with in the Profit and Loss Account. 





120


Western Asset Brandywine Royce U.S. 

Emerging Global Legg Mason Legg Mason Batterymarch Batterymarch Small Cap 

Markets Opportunities Value Fund Growth Fund European Equity Pacific Equity Opportunity Royce 100 Equity Legg Mason 

Bond Fund for the Bond Fund for the for the for the Fund for the Fund for the Fund for the Fund for the Global Funds Plc 

six months ended six months ended six months ended six months ended six months ended six months ended six months ended six months ended Total as at 



$ 1,185 $ 7,687 $ 13,296 $ 410 € 456 $ 1,341 $ 1,111 $ 237 $ 47,997 

— – — — 20 — — — 36 

— – — — — — — — — 

7 4 — — — — — — 77 

(1,387) 4,358 (141,162) (7,537) (160) 1,063 (9,818) (2,350) (170,012) 

(195) 12,049 (127,866) (7,127) 316 2,404 (8,707) (2,113) (121,902) 

168 1,112 12,677 270 91 441 1,060 206 17,979 

138 1,007 7,638 230 90 339 565 130 12,875 

18 202 1,622 42 12 48 115 22 2,454 

25 278 5,176 135 37 154 371 72 6,733 

— 5 43 1 — 1 6 1 66 

5 12 67 7 4 13 11 4 173 

12 14 20 9 5 9 9 8 155 

1 9 73 2 1 2 5 1 110 

— – — — — — — — — 

— – — — — 522 — — 522 

— – 1 — — — — — 2 

9 82 731 17 14 26 58 14 1,107 

376 2,721 28,048 713 254 1,555 2,200 458 42,176 

— — — — 49 — — 34 84 

376 2,721 28,048 713 303 1,555 2,200 492 42,260 

(571) 9,328 (155,914) (7,840) 13 849 (10,907) (2,605) (164,162) 

(766) (5,557) — — — — — — (21,815) 

(1,337) 3,771 (155,914) (7,840) 13 849 (10,907) (2,605) (185,977) 

— (209) (3,190) (85) (92) (114) (210) (48) (4,002) 

$ (1,337) $ 3,562 $ (159,104) $ (7,925) € (79) $ 735 $ (11,117) $ (2,653) $ (189,979) 


121


Statement of Changes in Net Assets Attributable to Holders of Redeemable Participating Shares 

Western Asset Western Asset Western Asset Western Asset Western Asset 

U.S. Money U.S. Core Euro Core Diversified Global Multi 

Market Fund Bond Fund Bond Fund Strategic Income Strategy Fund 

for the for the for the Bond Fund for the for the 




Net Increase/(Decrease) in Net Assets Attributable 

to Holders of Redeemable Participating Shares $ 637 $ (3,304) € (618) $ (4,761) $ (8,349) 

REDEEMABLE PARTICIPATING SHARE TRANSACTIONS 

Net proceeds from sales of shares 12,527,363 15,024 1,747 77,372 68,706 

Net proceeds from reinvested distributions 58,446 1,130 149 1,861 4,711 

Cost of shares reacquired (8,967,311) (59,608) (6,981) (38,067) (47,227) 

Increase/(Decrease) in Net Assets from Redeemable 

Participating Shares Transactions 3,618,498 (43,454) (5,085) 41,166 26,190 

Increase/(Decrease) in Net Assets Attributable to 

Holders of Redeemable Participating Shares 3,619,135 (46,758) (5,703) 36,405 17,841 

NET ASSETS ATTRIBUTABLE TO REDEEMABLE 

PARTICIPATING SHAREHOLDERS 

Beginning of the period 45,369 111,824 21,385 138,792 376,057 

End of the period $ 3,664,504 $ 65,066 € 15,682 $ 175,197 $ 393,898 


All Euro figures, except for the beginning of the period Net Assets attributable to Holders of Redeemable Participating Shares, for the 

Western Asset Euro Core Bond Fund & Batterymarch European Equity Fund have been converted into U.S. Dollars in the total figure 

for the Legg Mason Global Funds Plc as at August 31, 2007, using the Profit and Loss Account USD/EUR FX rate as at August 31, 2007 of 1.3918. 

The beginning of period Net Assets Attributable to Holders of Redeemable Participating Shares for the Western Asset Euro Core Bond Fund 

& Batterymarch European Equity Fund have been converged into U.S. Dollars in the total figure using the Balance Sheet USD/EUR FX rate 

as at August 31, 2007 of 1.3622. 

* Funds commenced trading April 23, 2007. 



122



Western Asset Western Asset Western Asset U.S. Short Term Western Asset Western Asset Western Asset Brandywine 

U.S. High Yield Emerging Global Government U.S. Adjustable Investment Grade Inflation Global Brandywine 

Bond Fund Markets High Yield Income Fund Rate Income Total Return Management Opportunities Global Equity 

for the Bond Fund for the Bond Fund for the for the Fund for the Bond Fund for the Fund for the Bond Fund for the Fund for the 


August 31, 2007 August 31, 2007 August 31, 2007* August 31, 2007* August 31, 2007* August 31, 2007* August 31, 2007* August 31, 2007 August 31, 2007 


$ (5,088) $ (5,061) $ (11,240) $ (806) $ (1,094) $ (509) $ 66 $ 478 $ 64 

86,693 166,305 411,749 88,717 135,306 48,234 12,376 102,227 703 

1,387 571 577 725 769 266 — 6,202 — 

(21,518) (46,495) (163,913) (16,051) (29,518) (5,698) (2,679) (177,767) (18) 

66,562 120,381 248,413 73,391 106,557 42,802 9,697 (69,338) 685 

61,474 115,320 237,173 72,585 105,463 42,293 9,763 (68,860) 749 

42,868 26,818 — — — — — 580,166 1,455 

$ 104,342 $142,138 $ 237,173 $ 72,585 $ 105,463 $ 42,293 $ 9,763 $ 511,306 $ 2,204 


123


Statement of Changes in Net Assets Attributable to Holders of Redeemable Participating Shares – 

(continued) 


Value Fund Growth Fund Appreciation Fundamental Large Cap Growth 

for the for the Fund for the Value Fund for the Fund for the 


August 31, 2007 August 31, 2007 August 31, 2007* August 31, 2007* August 31, 2007* 



to Holders of Redeemable Participating Shares $ 5,487 $ 5,076 $ 728 $ (10,001) $ 1,920 


Net proceeds from sales of shares 370,048 39,872 46,101 375,247 108,233 

Net proceeds from reinvested distributions — — — — — 

Cost of shares reacquired (1,446,631) (54,065) (6,119) (70,683) (18,267) 

Increase/(Decrease) in Net Assets from Redeemable 

Participating Shares Transactions (1,076,583) (14,193) 39,982 304,564 89,966 


Holders of Redeemable Participating Shares (1,071,096) (9,117) 40,710 294,563 91,886 



Beginning of the period 3,190,060 88,069 — — — 

End of the period $2,118,964 $ 78,952 $ 40,710 $ 294,563 $ 91,886 


All Euro figures, except for the beginning of the period Net Assets attributable to Holders of Redeemable Participating Shares, for the 

Western Asset Euro Core Bond Fund & Batterymarch European Equity Fund have been converted into U.S. Dollars in the total figure 

for the Legg Mason Global Funds Plc as at August 31, 2007, using the Profit and Loss Account USD/EUR FX rate as at August 31, 2007 of 1.3918. 

The beginning of period Net Assets Attributable to Holders of Redeemable Participating Shares for the Western Asset Euro Core Bond Fund 

& Batterymarch European Equity Fund have been converged into U.S. Dollars in the total figure using the Balance Sheet USD/EUR FX rate 

as at August 31, 2007 of 1.3622. 

* Funds commenced trading April 23, 2007. 



124



ClearBridge U.S. Batterymarch Batterymarch International Small Cap Legg Mason 

Aggressive Growth European Equity Pacific Equity Large Cap Opportunity Royce 100 Equity Global Funds Plc 

Fund for the Fund for the Fund for the Fund for the Fund for the Fund for the Total for the 

six months ended six months ended six months ended six months ended six months ended six months ended six months ended 

August 31, 2007* August 31, 2007 August 31, 2007 August 31, 2007* August 31, 2007 August 31, 2007 August 31, 2007 

(in 000's) (in 000's) (in 000's) (in 000's) (in 000's)** (in 000's) (in 000's) 

$ (6,936) € (461) $ 35,904 $ (374) $ (3,504) $ 2,899 $ (9,270) 

320,446 64,579 86,965 64,705 127,207 32,435 15,404,347 

— — — — — — 76,852 

(51,882) (19,899) (25,211) (6,804) (51,261) (15,317) (11,359,522) 

268,564 44,680 61,754 57,901 75,946 17,118 4,121,677 

261,628 44,219 97,658 57,527 72,442 20,017 4,112,407 

— 34,867 96,368 — 185,098 41,868 5,000,299 

$ 261,628 € 79,086 $ 194,026 $ 57,527 $ 257,540 $ 61,885 $9,112,706 


125



(continued) 

Western Asset Western Asset Western Asset Western Asset Western Asset Western Asset 

U.S. Money U.S. Core Euro Core Diversified Global Multi U.S. High Yield 

Market Fund Bond Fund Bond Fund Strategic Income Strategy Fund Bond Fund 

for the for the for the Bond Fund for the for the for the 

six months ended six months ended six months ended six months ended six months ended six months ended 

August 31, 2006 August 31, 2006 August 31, 2006 August 31, 2006 August 31, 2006 August 31, 2006 

(in 000's) (in 000's) (in 000's) (in 000's) (in 000's) (in 000's) 


to Holders of Redeemable Participating Shares $ (2) $ (299) € (515) $ (1,581) $ (9,341) $ (157) 


Net proceeds from sales of shares 90,434 20,262 2,817 5,642 68,700 2,471 

Net proceeds from reinvested distributions 790 526 176 1,237 2,155 667 

Cost of shares reacquired (76,363) (15,348) (7,970) (42,563) (47,610) (17,165) 

Increase/(Decrease) in Net Assets from 

Redeemable Participating Shares Transactions 14,861 5,440 (4,977) (35,684) 23,245 (14,027) 


Holders of Redeemable Participating Shares 14,859 5,141 (5,492) (37,265) 13,904 (14,184) 



Beginning of the period 41,761 47,603 29,715 181,868 342,780 52,305 

End of the period $ 56,620 $ 52,744 € 24,223 $ 144,603 $ 356,684 $ 38,121 


The Euro figures for the Western Asset Euro Core Bond Fund & Batterymarch European Equity Fund have been converged into U.S. Dollars in the total figure for the 

Legg Mason Global Funds Plc as at August 31, 2006, using the USD/EUR FX rate as at August 31, 2006 of 1.2801. 



126


Western Asset Brandywine Royce U.S. 

Emerging Global Legg Mason Legg Mason Batterymarch Batterymarch Small Cap Legg Mason 

Markets Opportunities Value Fund Growth Fund European Equity Pacific Equity Opportunity Royce 100 Equity Global Funds Plc 

Bond Fund for the Bond Fund for the for the for the Fund for the Fund for the Fund** for the Fund for the Total for the 




$ (1,337) $ 3,562 $ (159,104) $ (7,925) € (79) $ 735 $ (11,117) $ (2,653) $ (189,979) 

1,576 144,389 844,443 57,271 10,304 28,682 158,092 23,710 1,462,468 

290 4,021 — — — — — — 9,912 

(11,661) (60,530) (929,160) (29,223) (4,334) (33,683) (111,490) (17,235) (1,407,782) 

(9,795) 87,880 (84,717) 28,048 5,970 (5,001) 46,602 6,475 64,598 

(11,132) 91,442 (243,821) 20,123 5,891 (4,266) 35,485 3,822 (125,381) 

40,927 330,459 3,101,064 60,889 18,945 84,644 142,310 32,628 4,521,525 

$ 29,795 $421,901 $ 2,857,243 $ 81,012 € 24,836 $ 80,378 $ 177,795 $ 36,450 $ 4,396,144 


127



(continued) 

Western Asset U.S. Western Asset U.S. Western Asset Euro 

Money Market Fund Core Bond Fund Core Bond Fund 

FOR THE SIX MONTHS ENDED AUGUST 31, 2007: (in 000’s) (in 000’s) (in 000’s) 

Shares Amount Shares Amount Shares Amount 

Class A Euro Distributing Shares 

Sold — — — — 5 € 543 

Reinvestment of distributions — — — — — 13 

Redeemed — — — — — (7) 

Net Increase — — — — 5 € 549 

Class A (G) US$ Accumulating Shares 

Sold 112 $ 11,187 — — — — 

Reinvestment of distributions — — — — — — 

Redeemed (41) (4,098) — — — — 

Net Increase 71 $ 7,089 — — — — 

Class A (G) US$ Distributing Shares 

Sold 2,727 $ 2,727 — — — — 

Reinvestment of distributions 42 42 — — — — 

Redeemed (94) (94) — — — — 

Net Increase 2,675 $ 2,675 — — — — 

Class A US$ Accumulating Shares 

Sold 356 $ 35,644 10 $ 1,013 — — 


Redeemed (337) (34,139) — — — — 

Net Increase 19 $ 1,505 10 $ 1,013 — — 

Class A US$ Distributing Shares 

Sold 12,446,636 $12,446,636 123 $ 12,384 2 € 228 

Reinvestment of distributions 58,059 58,059 9 911 1 55 

Redeemed (8,915,322) (8,915,322) (556) (55,108) (51) (4,998) 

Net Increase/Decrease 3,589,373 $ 3,589,373 (424) $ (41,813) (48) € (4,715) 

Class B (G) US$ Accumulating Shares 

Sold 63 $ 6,355 — — — — 


Redeemed (31) (3,182) — — — — 

Net Increase 32 $ 3,173 — — — — 

Class B (G) US$ Distributing Shares 

Sold 16,020 $ 16,020 — — — — 


Redeemed (3,328) (3,328) — — — — 

Net Increase 12,890 $ 12,890 — — — — 

Class B US$ Distributing Shares 

Sold 2,900 $ 2,900 7 $ 683 6 € 545 

Reinvestment of distributions 54 54 1 154 — 35 

Redeemed (3,701) (3,701) (33) (3,391) (13) (1,284) 

Net Decrease/Increase (747) $ (747) (25) $ (2,554) (7) € (704) 

Class C US$ Distributing Shares 

Sold 2,492 $ 2,492 9 $ 944 5 € 431 


Redeemed (3,297) (3,297) (11) (1,109) (7) (692) 

Net Decrease/Increase (763) $ (763) (1) $ (100) (2) € (215) 

Class L (G) US$ Accumulating Shares 

Sold — — — — — — 


Redeemed — — — — — — 

Net Increase — — — — — — 

Class L (G) US$ Distributing Shares 

Sold 3,402 $ 3,402 — — — — 


Redeemed (150) (150) — — — — 

Net Increase 3,303 $ 3,303 — — — — 



128


Western Asset Diversified Western Asset Global Western Asset U.S. Western Asset Emerging 

Strategic Income Bond Fund Multi Strategy Fund High Yield Bond Fund Markets Bond Fund 

(in 000’s) (in 000’s) (in 000’s) (in 000’s) 

Shares Amount Shares Amount Shares Amount Shares Amount 

— — — — — — — — 

— — — — — — — — 

— — — — — — — — 

— — — — — — — — 

24 $ 2,405 — — 73 $ 7,319 759 $ 75,930 

— — — — — — — — 

(4) (411) — — (8) (775) (247) (24,531) 

20 $ 1,994 — — 65 $ 6,544 512 $ 51,399 

115 $ 11,525 — — 155 $ 15,520 192 $ 19,146 

1 121 — — 1 74 — 38 

(6) (652) — — (22) (2,176) (62) (6,133) 

110 $ 10,994 — — 134 $ 13,418 130 $ 13,051 

1 $ 63 129 $ 12,747 — $ 30 185 $ 18,525 

— — — — — — — — 

— — (8) (754) — — (12) (1,233) 

1 $ 63 121 $ 11,993 — $ 30 173 $ 17,292 

7 $ 661 256 $ 30,858 39 $ 3,863 12 $ 1,308 

3 343 18 2,153 4 414 1 80 

(122) (11,628) (169) (20,174) (30) (2,967) (17) (1,803) 

(112) $ (10,624) 105 $ 12,837 13 $ 1,310 (4) $ (415) 

182 $ 18,154 — — 73 $ 7,293 119 $ 11,920 

— 310 — — — — — — 

(15) (1,439) — — (8) (756) (15) (1,447) 

167 $ 17,025 — — 65 $ 6,537 104 $ 10,473 

317 $ 31,731 — — 223 $ 22,287 168 $ 16,800 

3 — — — 3 320 2 168 

(49) (4,838) — — (40) (3,908) (35) (3,361) 

271 $ 26,893 — — 186 $ 18,699 135 $ 13,607 

36 $ 3,479 54 $ 6,501 8 $ 771 5 $ 562 

7 710 5 606 1 129 — 32 

(130) (12,546) (54) (6,445) (35) (3,446) (8) (841) 

(87) $ (8,357) 5 $ 662 (26) $ (2,546) (3) $ (247) 

15 $ 1,511 155 $ 18,600 25 $ 2,521 13 $ 1,438 

3 314 16 1,952 2 132 1 120 

(57) (5,680) (165) (19,854) (21) (2,026) (15) (1,700) 

(39) $ (3,855) 6 $ 698 6 $ 627 (1) $ (142) 

13 $ 1,344 — — 13 $ 1,290 37 $ 3,700 

— — — — — — — 133 

(2) (235) — — (1) (61) (12) (1,142) 

11 $ 1,109 — — 12 $ 1,229 25 $ 2,691 

65 $ 6,499 — — 258 $ 25,799 170 $ 16,976 

1 63 — — 3 318 1 — 

(7) (638) — — (54) (5,403) (44) (4,304) 

59 $ 5,924 — — 207 $ 20,714 127 $ 12,672 


129



(continued) 

Western Asset Global Western Asset U.S. Short Term Western Asset U.S. Adjustable 

High Yield Fund Governmental Income Fund Rate Income Fund 




Sold 1,701 $ 170,092 32 $ 3,267 323 $ 32,318 


Redeemed (1,185) (118,647) (10) (991) (132) (13,201) 

Net Increase 516 $ 51,445 22 $ 2,276 191 $ 19,117 


Sold 570 $ 57,007 112 $ 11,230 148 $ 14,804 

Reinvestment of distributions — 45 1 88 1 167 

Redeemed (309) (30,885) (24) (2,358) (42) (4,189) 

Net Increase 261 $ 26,167 89 $ 8,960 107 $ 10,782 


Sold 1,058 $ 105,789 8 $ 771 114 $ 11,381 


Redeemed (38) (3,710) — — (7) (702) 

Net Increase 1,020 $ 102,079 8 $ 771 107 $ 10,679 


Sold 1 $ 78 — $ 30 — $ 1 

Reinvestment of distributions — 1 — — — — 

Redeemed — — — — — — 

Net Increase/Decrease 1 $ 79 — $ 30 — $ 1 


Sold 259 $ 25,846 96 $ 9,570 238 $ 23,848 


Redeemed (42) (4,120) (15) (1,442) (51) (5,132) 

Net Increase 217 $ 21,726 81 $ 8,128 187 $ 18,716 


Sold 327 $ 32,741 537 $ 53,685 298 $ 29,828 

Reinvestment of distributions 4 375 6 560 3 335 

Redeemed (43) (4,209) (100) (9,928) (47) (4,671) 

Net Increase 288 $ 28,907 443 $ 44,317 254 $ 25,492 


Sold — $ 40 2 $ 180 — $ 1 


Redeemed — — — — — — 

Net Increase/Decrease — $ 40 2 $ 180 — $ 1 


Sold 7 $ 640 — $ 6 4 $ 402 

Reinvestment of distributions — 9 — — — 3 

Redeemed — — — — — — 

Net Increase/Decrease 7 $ 649 — $ 6 4 $ 405 


Sold 62 $ 6,223 17 $ 1,669 38 $ 3,839 


Redeemed (6) (588) — — (6) (595) 

Net Increase 56 $ 5,635 17 $ 1,669 32 $ 3,244 


Sold 133 $ 13,293 83 $ 8,309 188 $ 18,884 


Redeemed (18) (1,754) (13) (1,332) (10) (1,028) 

Net Increase 116 $ 11,686 71 $ 7,054 181 $ 18,120 


130


Western Asset Investment Western Asset Inflation Brandywine Global Brandywine Global 

Grade Total Return Bond Fund Management Fund Opportunities Bond Fund Equity Fund 

(in 000’s) (in 000’s) (in 000’s) (in 000’s) 


20 $ 1,966 25 $ 1 — — — — 

— — — — — — — — 

(1) (101) (6) — — — — — 

19 $ 1,865 19 $ 1 — — — — 

41 $ 4,134 6 $ 3,077 — — — — 

— 32 — — — — — — 

(11) (1,123) (1) (677) — — — — 

30 $ 3,043 5 $ 2,400 — — — — 

3 $ 285 — $ 1 — $ 1 — $ 1 

— — — — — — — — 

(3) (279) — — — — — — 

— $ 6 — $ 1 — $ 1 — $ 1 

14 $ 1,312 — $ 1 880 $ 96,120 — $ 33 

— 3 — — 55 5,950 — — 

— — — — (1,537) (167,735) — — 

14 $ 1,315 — $ 1 (602) $ (65,665) — $ 33 

94 $ 9,350 31 $ 3,106 — — — — 

— — — — — — — — 

(11) (1,046) (11) (1,073) — — — — 

83 $ 8,304 20 $ 2,033 — — — — 

129 $ 12,906 28 $ 2,794 — — — — 

2 140 — — — — — — 

(18) (1,740) (5) (509) — — — — 

113 $ 11,306 23 $ 2,285 — — — — 

1 $ 73 — $ 1 8 $ 894 2 $ 172 

— 1 — — 1 91 — — 

— — — — (20) (2,194) — (18) 

1 $ 74 — $ 1 (11) $ (1,209) 2 $ 154 

63 $ 6,094 — $ 1 48 $ 5,212 5 $ 497 

— 17 — — 1 161 — — 

— (1) — — (71) (7,838) — — 

63 $ 6,110 — $ 1 (22) $ (2,465) 5 $ 497 

36 $ 3,662 8 $ 752 — — — — 

— — — — — — — — 

(1) (112) — — — — — — 

35 $ 3,550 8 $ 752 — — — — 

85 $ 8,452 26 $ 2,642 — — — — 

1 73 — — — — — — 

(14) (1,296) (4) (420) — — — — 

72 $ 7,229 22 $ 2,222 — — — — 


131



(continued) 

Legg Mason Legg Mason ClearBridge U.S. 

Value Fund Growth Fund Appreciation Fund 



Class A Euro Accumulating Shares 

Sold 33 $ 4,399 — — — — 


Redeemed (3) (349) — — — — 

Net Increase 30 $ 4,050 — — — — 

Class A SGD Accumulating Shares 

Sold 8,117 $ 5,275 — — — — 


Redeemed (888) (545) — — — — 

Net Increase 7,229 $ 4,730 — — — — 

Galleon Class Shares 

Sold — — — — — — 


Redeemed (12) $ (1,650) — — — — 

Net Decrease (12) $ (1,650) — — — — 


Sold — — — — 209 $ 20,882 


Redeemed — — — — (38) (3,862) 

Net Increase — — — — 171 $ 17,020 


Sold — — — — — — 


Redeemed — — — — — — 



Sold 559 $ 58,024 2 $ 185 22 $ 2,290 


Redeemed (101) (10,033) — — — (20) 

Net Increase 458 $ 47,991 2 $ 185 22 $ 2,270 


Sold 1,554 $ 295,877 287 $ 36,131 — $ 1 


Redeemed (7,431) (1,413,178) (436) (51,344) — — 

Net Decrease/Increase (5,877) $(1,117,301) (149) $ (15,213) — $ 1 


Sold — — — — 112 $ 11,149 


Redeemed — — — — (19) (1,887) 

Net Increase — — — — 93 $ 9,262 


Sold — — — — — — 


Redeemed — — — — — — 



Sold 10 $ 1,841 10 $ 1,155 4 $ 382 


Redeemed (28) (5,100) (6) (724) — (7) 

Net Decrease/Increase (18) $ (3,259) 4 $ 431 4 $ 375 


Sold 25 $ 4,632 20 $ 2,401 3 $ 287 


Redeemed (85) (15,776) (17) (1,997) — — 

Net Decrease/Increase (60) $ (11,144) 3 $ 404 3 $ 287 


Sold — — — — 111 $ 11,110 


Redeemed — — — — (3) (343) 

Net Increase — — — — 108 $ 10,767 


Sold — — — — — — 


Redeemed — — — — — — 



132


ClearBridge U.S. ClearBridge U.S. ClearBridge U.S. 

Fundamental Value Fund Large Cap Growth Fund Aggressive Growth Fund 

(in 000’s) (in 000’s) (in 000’s) 


— — — — — — 

— — — — — — 

— — — — — — 

— — — — — — 

— — — — — — 

— — — — — — 

— — — — — — 

— — — — — — 

— — — — — — 

— — — — — — 

— — — — — — 

— — — — — — 

1,694 $ 169,395 532 $ 53,231 1,831 $ 183,102 

— — — — — — 

(473) (47,293) (101) (10,306) (324) (32,722) 

1,221 $ 122,102 431 $ 42,925 1,507 $ 150,380 

— — — — — — 

— — — — — — 

— — — — — — 

— — — — — — 

388 $ 38,724 57 $ 5,714 148 $ 14,951 

— — — — — — 

(46) (4,594) (14) (1,434) (18) (1,827) 

342 $ 34,130 43 $ 4,280 130 $ 13,124 

2 $ 221 4 $ 371 19 $ 1,892 

— — — — — — 

— — — — — — 

2 $ 221 4 $ 371 19 $ 1,892 

1,167 $ 116,658 261 $ 26,086 699 $ 69,770 

— — — — — — 

(130) (12,943) (39) (4,005) (105) (10,516) 

1,037 $ 103,715 222 $ 22,081 594 $ 59,254 

— — — — — — 

— — — — — — 

— — — — — — 

— — — — — — 

3 $ 330 3 $ 294 7 $ 646 

— — — — — — 

— (1) — — (1) (99) 

3 $ 329 3 $ 294 6 $ 547 

14 $ 1,426 4 $ 409 28 $ 2,865 

— — — — — — 

(1) (101) (1) (100) — (46) 

13 $ 1,325 3 $ 309 28 $ 2,819 

485 $ 48,493 221 $ 22,128 472 $ 47,220 

— — — — — — 

(58) (5,751) (23) (2,422) (66) (6,672) 

427 $ 42,742 198 $ 19,706 406 $ 40,548 

— — — — — — 

— — — — — — 

— — — — — — 

— — — — — — 


133



(continued) 

Batterymarch European Batterymarch Pacific Batterymarch International 

Equity Fund Equity Fund Large Cap Fund 




Sold 3 € 461 — — — — 


Redeemed (1) (96) — — — — 

Net Increase 2 € 365 — — — — 

Class A Euro Accumulating Shares 

Sold 4 € 367 — — — — 


Redeemed (2) (132) — — — — 

Net Increase 2 € 235 — — — — 


Sold 362 € 26,574 — — 77 $ 7,721 


Redeemed (109) (7,693) — — (12) (1,257) 

Net Increase 253 € 18,881 — — 65 $ 6,464 


Sold — — — — — — 


Redeemed — — — — — — 



Sold 68 € 5,024 61 $ 7,029 4 $ 377 


Redeemed (58) (4,365) — — — — 

Net Increase 10 € 659 61 $ 7,029 4 $ 377 


Sold 7 € 1,303 335 $ 70,458 2 $ 251 


Redeemed (13) (2,522) (67) (13,389) — — 

Net Increase/Decrease (6) € (1,219) 268 $ 57,069 2 $ 251 


Sold 292 € 21,448 — — 378 $ 37,807 


Redeemed (27) (1,948) — — (40) (3,927) 

Net Increase 265 € 19,500 — — 338 $ 33,880 


Sold — — — — — — 


Redeemed — — — — — — 



Sold 9 € 1,552 14 $ 3,091 5 $ 462 


Redeemed (6) (1,097) (16) (3,420) — — 

Net Increase/Decrease 3 € 455 (2) $ (329) 5 $ 462 


Sold 19 € 3,199 33 $ 6,387 22 $ 2,255 


Redeemed (10) (1,677) (43) (8,402) (1) (118) 

Net Increase/Decrease 9 € 1,522 (10) $ (2,015) 21 $ 2,137 


Sold 63 € 4,651 — — 159 $ 15,832 


Redeemed (5) (369) — — (15) (1,502) 

Net Increase 58 € 4,282 — — 144 $ 14,330 


Sold — — — — — — 


Redeemed — — — — — — 



134


Royce U.S. Small Cap Royce U.S. 100 

Opportunity Fund** 

Equity Fund 

(in 000’s) 

(in 000’s) 

Shares Amount Shares Amount 

— — — — 

— — — — 

— — — — 

— — — — 

21 $ 2,822 — — 

— — — — 

(1) (167) — — 

20 $ 2,655 — — 

— — 88 $ 8,776 

— — — — 

— — (9) (874) 

— — 79 $ 7,902 

— — — — 

— — — — 

— — — — 

— — — — 

21 $ 2,161 16 $ 1,622 

— — — — 

(2) (99) (6) (604) 

19 $ 2,062 10 $ 1,018 

394 $ 118,611 58 $ 9,858 

— — — — 

(164) (48,756) (71) (11,873) 

230 $ 69,855 (13) $ (2,015) 

— — 53 $ 5,269 

— — — — 

— — (7) (687) 

— — 46 $ 4,582 

— — — — 

— — — — 

— — — — 

— — — — 

2 $ 625 6 $ 968 

— — — — 

(2) (628) (3) (428) 

— $ (3) 3 $ 540 

10 $ 2,988 8 $ 1,277 

— — — — 

(6) (1,611) (6) (770) 

4 $ 1,377 2 $ 507 

— — 47 $ 4,665 

— — — — 

— — (1) (81) 

— — 46 $ 4,584 

— — — — 

— — — — 

— — — — 

— — — — 


135



(continued) 

Western Asset U.S. Western Asset U.S. Western Asset Euro 

Money Market Fund Core Bond Fund Core Bond Fund 

FOR THE PERIOD ENDED AUGUST 31, 2006: (in 000’s) (in 000’s) (in 000’s) 



Sold 80,527 $ 80,527 186 $ 18,323 12 € 1,181 


Redeemed (69,869) (69,869) (49) (4,886) (27) (2,710) 

Net Increase/Decrease 11,358 $ 11,358 139 $ 13,650 (14) € (1,450) 


Sold — — — — 2 € 146 

Reinvestment of distributions — — — — — 1 

Redeemed — — — — — — 

Net Increase — — — — 2 € 147 


Sold 6,250 $ 6,250 15 $ 1,509 2 € 215 


Redeemed (3,659) (3,659) (49) (4,890) (17) (1,640) 

Net Increase/Decrease 2,653 $ 2,653 (32) $ (3,188) (14) € (1,375) 


Sold 3,657 $ 3,657 4 $ 430 13 € 1,275 


Redeemed (2,835) (2,835) (56) (5,572) (37) (3,620) 

Net Increase/Decrease 850 $ 850 (51) $ (5,022) (24) € (2,299) 


Sold — — — — — — 


Redeemed — — — — — — 

Net Decrease — — — — — — 



136


Western Asset Diversified Western Asset Global Western Asset U.S. Western Asset 

Strategic Income Bond Fund Multi Strategy Fund High Yield Bond Fund Emerging Markets Bond Fund 

(in 000’s) (in 000’s) (in 000’s) (in 000’s) 


14 $ 1,338 274 $ 32,334 21 $ 2,032 8 $ 834 

2 254 4 479 4 377 1 90 

(112) (10,831) (176) (21,031) (52) (5,028) (26) (2,678) 

(96) $ (9,239) 102 $ 11,782 (27) $ (2,619) (17) $ (1,754) 

— — — — — — — — 

— — — — — — — — 

— — — — — — — — 

— — — — — — — — 

30 $ 2,866 50 $ 6,001 4 $ 377 3 $ 291 

7 703 4 464 2 190 1 60 

(166) (16,062) (56) (6,693) (91) (8,728) (37) (3,820) 

(129) $ (12,493) (2) $ (228) (85) $ (8,161) (33) $ (3,469) 

15 $ 1,438 254 $ 30,365 1 $ 62 4 $ 451 

3 280 10 1,212 1 100 1 140 

(162) (15,670) (167) (19,886) (35) (3,409) (49) (5,163) 

(144) $ (13,952) 97 $ 11,691 (33) $ (3,247) (44) $ (4,572) 

— — — — — — — — 

— — — — — — — — 

— — — — — — — — 

— — — — — — — — 


137


Statement of Changes in Net Assets Attributable to Redeemable Participating Shareholders – 

(continued) 

Brandywine Global 

Opportunities Bond Fund Legg Mason Value Fund Legg Mason Growth Fund 




Sold 1,269 $ 138,599 4,890 $ 832,680 511 $ 54,747 

Reinvestment of distributions 34 3,748 — — — — 

Redeemed (491) (53,781) (5,332) (905,824) (242) (24,464) 

Net Increase/Decrease 812 $ 88,566 (442) $ (73,144) 269 $ 30,283 


Sold — — — — — — 


Redeemed — — — — — — 



Sold 15 $ 1,665 10 $ 1,662 2 $ 215 


Redeemed (16) (1,735) (41) (6,867) (19) (1,927) 

Net Increase/Decrease — $ 5 (31) $ (5,205) (17) $ (1,712) 


Sold 38 $ 4,125 60 $ 10,091 23 $ 2,309 

Reinvestment of distributions 2 — — — — — 

Redeemed (46) (5,014) (82) (13,616) (28) (2,832) 

Net Increase/Decrease (6) $ (691) (22) $ (3,525) (5) $ (523) 


Sold — — — $ 10 — — 

Reinvestment of distributions — — — — — 

Redeemed — — (22) (2,853) — — 

Net Decrease — — (22) $ (2,843) — — 



138


Batterymarch Batterymarch Royce U.S. Small Cap Royce 100 

European Equity Fund Pacific Equity Fund Opportunity Fund** Equity Fund 

(in 000’s) (in 000’s) (in 000’s) (in 000’s) 


31 € 4,843 121 $ 17,261 564 $ 152,874 124 $ 18,620 

— — — — — — — — 

(9) (1,392) (190) (26,126) (421) (108,154) (118) (16,512) 

22 € 3,451 (64) $ (8,865) 143 $ 44,720 6 $ 2,108 

9 € 1,292 — — — — — — 

— — — — — — — — 

— — — — — — — — 

9 € 1,292 — — — — — — 

8 € 1,195 21 $ 2,998 6 $ 1,643 10 $ 1,513 

— — — — — — — — 

(13) (1,974) (26) (3,603) (4) (1,111) (2) (223) 

(5) € (779) (5) $ (605) 2 $ 532 8 $ 1,290 

19 € 2,974 59 $ 8,423 14 $ 3,575 24 $ 3,577 

— — — — — — — — 

(6) (968) (27) (3,954) (9) (2,225) (4) (500) 

13 € 2,006 32 $ 4,469 5 $ 1,350 20 $ 3,077 

— — — — — — — — 

— — — — — — — — 

— — — — — — — — 

— — — — — — — — 


139


Notes to Financial Statements 

1. Significant Accounting Policies 

The significant accounting policies and estimation techniques adopted by Legg Mason Global Funds Plc, (“the Company”) in the preparation of the financial statements are 

set out below. The significant accounting policies and estimation techniques adopted by the Company for the six months ended August 31, 2007 are consistent with those 

adopted by the Company for the annual financial statements for the year ended February 28, 2007. 

(a) Basis of preparation 

The financial statements have been prepared in accordance with the Accounting Standards Board (“ASB”) Statement on Half-Yearly Financial Reports (July 2007) and Irish 

statute comprising the Companies Acts, 1963 to 2006, and all Regulations to be construed as one with those Acts, including the European Communities (Undertakings for 

Collective Investment in Transferable Securities) Regulations, 2003 (as amended). 

The principal accounting policies applied in the preparation of these financial statements are set out below. These policies have been consistently applied to all reporting 

periods presented, unless otherwise stated. 

The financial statements have been prepared under the historical cost convention as modified by the revaluation of financial assets and financial liabilities held at fair value 

through profit or loss. 

The format and certain wording of the financial statements has been adapted from those contained in the Companies (Amendment) Act 1986 and FRS 3 “Reporting Financial 

Performance” so that, in the opinion of the Directors, they more appropriately reflect the nature of the Company’s business as an investment fund. 

The Company has availed of the exemption available to open-ended investment funds under FRS 1 not to prepare a cashflow statement. 

The Company has not adopted FRS 29 Financial Instruments Disclosures for semi-annual financial statements for the six month period ended August 31, 2007, but will adopt 

this for the annual financial statements for the year ended February 29, 2008. 

All references to net assets throughout this document refer to net assets attributable to holders of redeemable participating shares unless otherwise stated. All the 

Company’s assets and liabilities are held for the purposes of being traded or expected to be realised within one year. 

(b) Investments at fair value 

This category has two sub-categories: financial assets and liabilities held for trading, and those designated by management at fair value through profit or loss at inception. 

Regular-way purchases and sales of investments are recognised on trade date – the date on which the Company commits to purchase or sell the asset. Investments are initially 

recognised at fair value, and transaction costs for all financial assets carried at fair value through profit or loss are expensed as incurred. Investments are derecognised when 

the rights to receive cash flows from the investments have expired or the Company has transferred substantially all risks and rewards of ownership. 

Gains and losses arising from changes in the fair value of the ‘financial assets at fair value through profit or loss’ category are included in the income statement in the period 

in which they arise. 

The fair value of financial instruments traded in active markets (such as publicly traded derivatives and trading securities) is based on quoted market prices at the balance 

sheet date. The quoted market price used for financial assets held by the Company is the current bid price. When the Company holds derivatives with offsetting market risks 

it uses mid-market prices as a basis for establishing fair values for the offsetting risk positions and applies the bid or asking price to the net open position, as appropriate. 

The Company may from time to time invest in financial instruments that are not traded in an active market (for example in over-the-counter derivatives). The fair value is 

determined by using valuation techniques. The Company uses a variety of methods and makes assumptions that are based on market conditions existing at each balance 

sheet date. Valuation techniques used include the use of comparable recent arm’s length transactions, discounted cash flow analysis and other valuation techniques 

commonly used by market participants. 

Financial assets and liabilities held for trading are securities which are either acquired for generating a profit from short term fluctuations in price or dealer margins, or are included 

in a portfolio where a pattern of short term trading exists. Financial assets or liabilities held for trading are acquired or incurred principally for the purpose of selling or repurchasing 

in the short term. Derivatives are also categorised as held for trading, as the Company does not designate any derivatives as hedges in a hedging relationship. 

(c) Forward Contracts 

A forward foreign currency exchange contract (“forward contract”) is a commitment to purchase or sell a foreign currency at a future date, at a negotiated rate. Forward 

contracts are used to seek to manage foreign currency risks and to tactically shift portfolio currency risk. Forward contracts are generally entered into as a hedge upon the 

purchase or sale of a security denominated in a foreign currency. The Fund will realise a gain or loss upon the closing or settlement of the forward transaction. Unrealised 

appreciation or depreciation on forward contracts is reported in the Balance Sheet. Realised gains and losses are reported with all other foreign currency gains and losses 

in the Profit and Loss Account. Risks relating to forward contracts include the potential inability of the counterparty to meet the terms of the contract and unanticipated 

movements in the value of a foreign currency relative to the base currency of the fund. As at August 31, 2007, forward contracts held are disclosed in Note 11 to financial 

statements. Forward contracts are fair valued by an independent price source by reference to the price at which a new forward contract of the same size and maturity could 

be undertaken. 

(d) Futures Contracts 

Initial margin deposits are made upon entering into futures contracts and are generally made in cash. Futures contracts are fair valued based upon their quoted daily 

settlement prices. Changes in the value of open futures contracts are recognised as unrealised gains or losses on futures contracts until the contracts are terminated, at which 

time realised gains and losses are recognised. Unrealised gains or losses on futures contracts are shown in the Balance Sheet. As at August 31, 2007, the futures contracts 

held are disclosed in the Portfolio of Investments on pages 8 through 102. 

(e) Option Contracts 

The premium on purchased put options exercised is subtracted from the proceeds of the sale of the underlying security or foreign currency in determining the realised gain 

or loss. The premium on purchased call options exercised is added to the cost of the securities or foreign currency purchased. Premiums paid from the purchase of options, 

which expire unexercised, are treated as realised losses. The unrealised gain or loss on open option positions is calculated and recorded as the fair value of the option less 

the premium paid on that option. Unrealised gains or losses on open option positions are reflected as assets or liabilities in the Balance Sheet. 

The premium on written call options exercised is added to the proceeds from the sale of the underlying security or foreign currency in determining the realised gain or loss. 

The premium on written put options exercised is subtracted from the cost of the securities or foreign currencies purchased. Premiums received from written options, which 

expire unexercised, are treated as realised gains. 

As at August 31, 2007, the option contracts held are disclosed in the Portfolio of Investments on pages 8 through 102. 

(f) Credit Default Swap and Interest Rate Swap Instruments 

Credit default and interest rate swaps, are recognised at fair value on the date on which a derivative contract is entered into and are subsequently remeasured at their fair 

value. Fair values are obtained from quoted market prices in active markets, including recent market transactions, and valuation techniques, including discounted cash flow 

models and options pricing models, as appropriate. All derivatives are carried as assets when fair value is positive and as liabilities when fair value is negative. 

140


Notes to Financial Statements - (continued) 

1. Significant Accounting Policies – (continued) 

The Western Asset U.S. Core Bond Fund, the Western Asset Diversified Strategic Income Bond Fund, the Western Asset Global Multi Strategy Fund and the Western Asset 

Emerging Markets Bond Fund have entered into credit default swap contracts with these sub-funds being the “buyer” and the counterparty the “seller” in these transactions. 

As a buyer of the credit default swap contracts, these sub-funds are obligated to pay the counterparty a periodic stream of payments over the term of the contract provided 

that no event of default (e.g., grace period extension, obligation acceleration, repudiation/moratorium or restructuring) relating to the security occurs or until the 

termination of the swap contract, whichever is first. If no event of default occurs, these sub-funds will have made a series of periodic payments and recover nothing of 

monetary value. If an event of default occurs, the counterparty must pay the Funds the full notional value, or “par value” of the specified security. The amount of the cash 

payment from the counterparty to the sub-funds is based on the par value of the specified security less any value that has been lost through default. Credit default swap 

transactions are entered into for hedging or investment purposes. 

The sub-funds purchases credit default swap contracts in order to hedge against the risk of a fall in the capital price, or default, of debt securities they hold. This involves 

the risk that the swap may expire worthless and the credit risk that the seller may fail to satisfy its payment obligations to the sub-funds in the event of a default. The subfunds 

may only enter into such transactions with counterparties rated A- or higher. 

An interest rate swap involves the exchange by a sub-fund with another party of their respective commitments to pay or receive cash flows e.g., an exchange of floating 

rate payments for fixed-rate payments. The purchase of a cap entitles the purchaser, to the extent that a specified index exceeds a predetermined value, to receive payments 

on a notional principal amount from the party selling the cap. The purchase of a floor entitles the purchaser, to the extent that a specified index falls below a predetermined 

value, to receive payments on a notional principal amount from the party selling the floor. A collar combines elements of buying a cap and selling a floor. Spread locks are 

contracts that guarantee the ability to enter into an interest rate swap at a predetermined rate above some benchmark rate. 

As at August 31, 2007, the credit default swaps held are disclosed in the Portfolio of Investments on pages 8 through 102. 

(g) Securities Traded on a “To-Be-Announced” Basis 

The Funds may trade securities on a “to-be-announced” (“TBA”) basis. In a TBA transaction, a Fund commits to purchasing or selling securities for which specific information 

is not yet known at the time of the trade. Securities purchased on a TBA basis are not settled until they are delivered to the Portfolios, normally 15 to 45 days later. These 

transactions are subject to market fluctuations and their current value is determined in the same manner as for other securities. 

(h) Accounting for Investments 

Security transactions are accounted for on trade date. Investments are initially recognised at fair value, and transaction costs for all “fair-valued-through profit or loss” 

securities are expensed as incurred. Gains or losses on the sale of securities are calculated by using the First-In-First-Out (“FIFO”) basis. 

(i) Income from Investments 

Interest income and expense are recognised in the Profit and Loss account for all debt instruments using the effective interest method. 

Dividends are credited to the Profit and Loss account on the dates on which the relevant securities are listed as “ex-dividend”. Dividend income is shown gross of any nonrecoverable 

withholding taxes, which is disclosed separately in the Profit and Loss account and net of any tax credits. 

(j) Lending of Securities 

Certain Funds may lend securities to brokers, dealers and other financial organisations to earn additional income. Each security loan is collateralised with collateral assets in 

an amount equal to or greater than the current market value of the loaned securities. There is a risk of delay in receiving collateral or in recovering the securities loaned or 

even a loss of rights in collateral should the borrower fail financially. 

At August 31, 2007, each of the following Funds had outstanding loans of securities to certain brokers, dealers or other financial institutions for which each Fund has 

segregated cash and/or securities equivalent to or greater than 100% of the market value of securities loaned with the Company’s custodian: 

Market Value of Market Value 

Loaned Securities of Collateral 

Western Asset U.S. Core Bond Fund 884,614 937,700 

Western Asset Diversified Stategic Income Bond Fund 1,366,808 1,411,043 

Western Asset Global Multi Strategy Fund 14,107,721 14,501,308 

Western Asset U.S. High Yield Bond Fund 12,572,579 13,015,600 

(k) Expenses 

Direct expenses are charged to each class of share; management fees and general fund expenses are allocated on the basis of relative net asset value. 

(l) Foreign exchange translation 

(a) Functional and presentation currency: Items included in the Company’s financial statements are measured using the currency of the primary economic 

environment in which it operates (the “functional currency”). This is the U.S. Dollar for all Funds except, Western Asset Euro Core Bond Fund and Batterymarch 

European Equity Fund, which is Euro. 

The Company has adopted the functional currency of each Fund as the presentation currency for these financial statements. The financial statements of the Company are 

presented in U.S. Dollars. 

(b) 

Purchases and sales of securities, and income and expenses are translated at the rate of exchange quoted on the respective date that such transactions are 

recorded. Assets and liabilities are translated at the foreign exchange rate at the end of the period. Differences between income and expense amounts recorded 

and collected or paid are adjusted when reported by the custodian bank. 

(m) Short-term investments 

Certificates of deposit, time deposits and other short-term investments maintained with financial institutions are fair valued at their face value with interest accrued as applicable. 

(n) Repurchase agreements 

Securities purchased under agreements to resell are fair valued at their face value and adjusted for any movements in foreign exchange rates. Interest rates vary for each repurchase 

agreement and are set at the initiation of the agreement. It is the Company’s policy to take custody of securities purchased under repurchase agreements and to value the securities 

on a daily basis to protect the Company in the event the securities are not repurchased by the counterparty. The Company will generally obtain additional collateral if the market 

value of the underlying securities is less than the face value of the repurchase agreement plus any accrued interest. In the event of default on the obligation to repurchase, the 

Company has the right to liquidate the collateral and apply the proceeds in satisfaction of the obligation. In the event of default or bankruptcy by the counterparty to the 

agreement, realisation and/or retention of the collateral or proceeds may be subject to legal proceedings. Repurchase agreements have been used during the period for the 

purpose of efficient portfolio management. 

(o) Offsetting financial instruments 

Financial assets and liabilities are offset and the net amount reported in the statement of assets and liabilities when there is a legally enforceable right to offset the 

recognised amounts and there is an intention to settle on a net basis, or realise the asset and settle the liability simultaneously. 

141



1. Significant Accounting Policies – (continued) 

(p) Equalisation 

An equalisation account may be maintained so that the amount distributed is the same for all shares of the same type notwithstanding different dates of issue. A sum equal to 

that part of the issued price of a share which reflects income (if any) accrued but undistributed up to the date of issue will be deemed to be an equalisation payment and treated 

as repaid to shareholders to the first dividend or accumulation to which the shareholder was entitled in the same accounting period as that in which the shares are issued. 

2. Efficient Portfolio Management 

The Investment Managers may employ for certain Funds, investment techniques and instruments, such as trading in futures and options and other derivative instruments for 

efficient portfolio management, subject to the conditions and within the limits from time to time laid down by the Irish Financial Services Regulatory Authority (the 

“Financial Regulator”). Furthermore, new techniques and instruments may be developed which may be suitable for use by a Fund in the future and a Fund may employ such 

techniques and instruments subject to the prior approval, and any restrictions imposed by the Financial Regulator. 

3. Operating Expenses and Other Related Party Transactions 

Pursuant to separate Investment Management Agreements between the Company and Legg Mason Capital Management, Inc. and Legg Mason Investments (Europe) Limited, 

each Investment Manager shall be entitled to receive an investment management fee out of the assets of the relevant Fund for its services as the Investment Manager, which 

shall accrue on each Dealing Day and be payable monthly in arrears. The maximum investment management fee for each Class in issue at August 31, 2007 (expressed as a 

percentage of the relevant Fund’s Net Asset Value attributable to such Class) is as follows: 

Class A US$ Distributing 

Class A US$ Accumulating 

Class A Euro Distributing Class A SGD Distributing Class B US$ Class C US$ 

Fund Name Class A Euro Accumulating Class A SGD Accumulating Distributing Distributing 

Shares up to Shares up to Shares up to Shares up to 

Western Asset U.S. Money Market Fund 0.80 per cent n/a 1.05 per cent 1.30 per cent 

Western Asset U.S. Core Bond Fund 0.95 per cent n/a 1.20 per cent 1.45 per cent 

Western Asset Euro Core Bond Fund 1.00 per cent n/a 1.25 per cent 1.50 per cent 

Western Asset Diversified Strategic Income Bond Fund 1.10 per cent n/a 1.35 per cent 1.60 per cent 

Western Asset Global Multi Strategy Fund 1.10 per cent n/a 1.35 per cent 1.60 per cent 

Western Asset U.S. High Yield Bond Fund 1.15 per cent n/a 1.40 per cent 1.65 per cent 

Western Asset Emerging Markets Bond Fund 1.50 per cent n/a 1.75 per cent 2.00 per cent 

Western Asset Global High Yield Bond Fund 1.25 per cent n/a 1.50 per cent 1.75 per cent 

Western Asset U.S. Short-Term Government Income Fund 1.05 per cent n/a 1.30 per cent 1.55 per cent 

Western Asset U.S. Adjustable Rate Income Fund 1.10 per cent n/a 1.35 per cent 1.60 per cent 

Western Asset Investment Grade Total Return Bond Fund 1.15 per cent n/a 1.40 per cent 1.65 per cent 

Western Asset Inflation Management Fund 1.10 per cent n/a 1.35 per cent 1.60 per cent 

Brandywine Global Opportunities Bond Fund 1.10 per cent n/a 1.35 per cent 1.60 per cent 

Brandywine Global Equity Fund 1.35 per cent n/a 1.85 per cent 1.85 per cent 

Legg Mason Value Fund 1.35 per cent 1.35 per cent 1.85 per cent 1.85 per cent 

Legg Mason Growth Fund 1.20 per cent n/a 1.70 per cent 1.70 per cent 

ClearBridge U.S. Appreciation Fund 1.25 per cent n/a 1.75 per cent 1.75 per cent 

ClearBridge U.S. Fundamental Value Fund 1.25 per cent n/a 1.75 per cent 1.75 per cent 

ClearBridge U.S. Large Cap Growth Fund 1.25 per cent n/a 1.75 per cent 1.75 per cent 

ClearBridge U.S. Aggressive Growth Fund 1.30 per cent n/a 1.80 per cent 1.80 per cent 

Batterymarch European Equity Fund 1.35 per cent n/a 1.85 per cent 1.85 per cent 

Batterymarch Pacific Equity Fund 1.50 per cent n/a 2.00 per cent 2.00 per cent 

Batterymarch International Large Cap Fund 1.40 per cent n/a 1.90 per cent 1.90 per cent 

Royce U.S. Small Cap Opportunity Fund 1.50 per cent n/a 2.00 per cent 2.00 per cent 

Royce 100 Equity Fund 1.50 per cent n/a 2.00 per cent 2.00 per cent 

Class A(G) US$ Distributing Class B(G) US$ Distributing Class L(G) US$ Distributing 

Fund Name Class A(G) US$ Accumulating Class B(G) US$ Accumulating Class L(G) US$ Accumulating Galleon Class 

Shares up to Shares up to Shares up to Shares 

Western Asset U.S. Money Market Fund 0.80 per cent 0.80 per cent 0.80 per cent n/a 

Western Asset Diversified Strategic Income Bond Fund 1.20 per cent 1.70 per cent 1.70 per cent n/a 

Western Asset U.S. High Yield Bond Fund 1.15 per cent 1.65 per cent 1.65 per cent n/a 

Western Asset Emerging Markets Bond Fund 1.25 per cent 1.75 per cent 1.75 per cent n/a 

Western Asset Global High Yield Bond Fund 1.25 per cent 1.75 per cent 1.75 per cent n/a 

Western Asset U.S. Short-Term Government Income Fund 1.05 per cent 1.55 per cent 1.55 per cent n/a 

Western Asset U.S. Adjustable Rate Income Fund 1.10 per cent 1.60 per cent 1.60 per cent n/a 

Western Asset Investment Grade Total Return Bond Fund 1.15 per cent 1.65 per cent 1.65 per cent n/a 

Western Asset Inflation Management Fund 1.10 per cent 1.60 per cent 1.60 per cent n/a 

Legg Mason Value Fund n/a n/a n/a 0.85 per cent 

ClearBridge U.S. Appreciation Fund 1.25 per cent 1.75 per cent 1.75 per cent n/a 

ClearBridge U.S. Fundamental Value Fund 1.25 per cent 1.75 per cent 1.75 per cent n/a 

ClearBridge U.S. Large Cap Growth Fund 1.25 per cent 1.75 per cent 1.75 per cent n/a 

ClearBridge U.S. Aggressive Growth Fund 1.30 per cent 1.80 per cent 1.80 per cent n/a 

Batterymarch European Equity Fund 1.35 per cent 1.85 per cent 1.85 per cent n/a 

Batterymarch International Large Cap Fund 1.40 per cent 1.90 per cent 1.90 per cent n/a 

Royce 100 Equity Fund 1.25 per cent 1.75 per cent 1.75 per cent n/a 

The Investment Manager of certain Funds has voluntarily agreed to waive a portion of its fees and/or reimburse the respective Fund for certain expenses so that the total 

expenses would not exceed certain voluntary expense limitations established for each respective Fund. The Investment Manager, at its discretion, may revise or discontinue 

the voluntary waivers and/or expense reimbursements at any time. For the period ended August 31, 2007, the Investment Manager fees waived were as follows: 

Fee Waived Fee Waived 

August 31, 2007 August 31, 2006 

Western Asset U.S.Money Market Fund — 13,000 

Western Asset Inflation Management Fund 18,086 — 

Brandywine Global Equity Fund 3,842 — 

142



3. Operating Expenses and Other Related Party Transactions – (continued) 

During the period ended August 31, 2006, a portion of fees previously waived amounting to $49,000 and $34,000 was rebated back to the Investment Manager by the 

Batterymarch European Equity Fund (August 31, 2007: nil) and the Royce 100 Equity Fund (August 31, 2007: nil). 

Each Investment Manager shall be responsible for paying the fees and out-of-pocket expenses of the Sub-Investment Managers out of its own investment management fee. 

Legg Mason Capital Management, Inc. has entered into separate Distribution Agreements with Legg Mason Investor Services, LLC, Legg Mason Investments (Europe) Limited, 

Legg Mason Investments (Hong Kong) Limited, Legg Mason International Equities (Singapore) Pte Limited and Legg Mason Investments (Taiwan) Limited (collectively, the 

“Distributors”) under which Legg Mason Capital Management, Inc. has delegated certain responsibilities associated with marketing and distributing the Legg Mason Value 

Fund to the Distributors. Legg Mason Capital Management, Inc. replaced Legg Mason Funds Management, Inc. as Investment Manager of the Legg Mason Value Fund 

effective December 19, 2006. While it was Investment Manager, Legg Mason Funds Management, Inc. was party to separate distribution agreements with Legg Mason 

Investor Services, LLC and Legg Mason Investments (Europe) Limited under which Legg Mason Funds Management, Inc. had delegated to those parties certain responsibilities 

associated with marketing and distributing the Legg Mason Value Fund. 

For the Funds for which Legg Mason Investments (Europe) Limited serves as Investment Manager, it has entered into separate distribution agreements with Legg Mason 

Investor Services, LLC, Legg Mason Investments (Hong Kong) Limited, Legg Mason International Equities (Singapore) Pte Limited and Legg Mason Investments (Taiwan) 

Limited under which Legg Mason Investments (Europe) Limited has delegated to these Distributors certain responsibilities associated with marketing and distributing each 

of the Funds for which it serves as Investment Manager. The distribution agreement with Legg Mason Investments (Taiwan) Limited is a tri-party agreement to which Legg 

Mason Investments (Europe) Limited and Legg Mason Capital Management, Inc. are also parties. In accordance with Taiwanese law, this agreement is entitled a Master Agent 

Agreement, pursuant to which Legg Mason Investments (Taiwan) Limited acts as the Master Agent of the Funds in Taiwan. The delegated functions in the distribution and 

master agent agreements do not include the Investment Managers’ provision of investment management services to the Funds, but are limited to marketing and distribution 

services provided to the Funds and the Company. Under the aforementioned agreements, each Investment Manager shall pay to each Distributor a portion of its investment 

management fee as set out in such distribution agreements. 

Legg Mason Investments (Europe) Limited replaced Legg Mason Fund Adviser, Inc. as Investment Manger of each of the Funds except Legg Mason Value Fund effective 

December 19, 2006. While it was Investment Manager, Legg Mason Fund Adviser, Inc. was party to separate distribution agreements with Legg Mason Investor Services, LLC 

and Legg Mason Investments (Europe) Limited under which Legg Mason Fund Adviser, Inc. had delegated to those parties certain responsibilities associated with marketing 

and distributing the Funds for which Legg Mason Fund Adviser, Inc. acted as Investment Manager. 

The Company shall also be responsible for the prompt payment or reimbursement to the Investment Manager of any commissions, transfer fees, registration fees, taxes and 

similar liabilities, costs and out-of-pocket expenses properly payable or incurred by the Investment Manager. 

From April 1, 2006 the Investment Manager of the Batterymarch Pacific Equity Fund is no longer entitled to receive an incentive fee. Prior to April 1, 2006 the Investment 

Manager was entitled to an annual incentive fee (“Incentive Fee”) which was calculated by multiplying the Fund’s average Net Asset Value per Class B Share for a twelve 

month period ending March 31 of each year (the “Incentive Period”) by twenty per cent of “Excess Performance”. The incentive fee paid for the period March 1, 2006 to 

March 31, 2006 was US$522,000. No incentive fees were accrued or paid over the period April 1, 2006 to February 28, 2007. No incentive fees were accrued or paid over the 

period ended August 31, 2007. 

Excess Performance is defined as any Percentage increase in the Net Asset Value per Class B Share in excess of a 12% increase in such Net Asset Value. “Percentage Increase” 

shall mean the amount by which the Net Asset Value per Class B Share at the end of the Incentive Period exceeded the greater of (1) the Fund’s Net Asset Value per Class B 

Share at the beginning of such Incentive Period (or, in the case of the first Incentive Period, the initial offer price per Class B Share) or (2) the Fund’s highest Net Asset Value 

per Class B Share on which an Incentive Fee was previously paid, which excess was expressed as a percentage of the greater of (1) or (2). 

In no event did an Incentive Fee exceed 4% of the Fund’s average Net Asset Value per Class B Shares for an Incentive Period. The calculation of an Incentive Fee shall be 

verified by the Custodian. 

The calculation of an Incentive Fee was based on net realised and unrealised gains and losses as at the end of an Incentive Period. As a result, an Incentive Fee may have 

been paid on unrealised gains which may never subsequently be realised. 

Shareholder Services Fee 

Under the Shareholder Servicing Agreements between Legg Mason Investor Services, LLC and Legg Mason Investments (Europe) Limited (the “Shareholder Servicing Agents”) 

and the Company, each Shareholder Servicing Agent shall be entitled to receive a shareholder services fee for their services as Shareholder Servicing Agent. The aggregate 

amount of shareholder service fees paid by the Company shall be equal to the following: 

(i) 0.15 per cent, per annum of the Net Asset Value of the Western Asset U.S. Core Bond Fund, the Western Asset Euro Core Bond Fund, the Western Asset Diversified Strategic 

Income Bond Fund, the Western Asset Global Multi Strategy Fund, the Western Asset U.S. High Yield Bond Fund, the Western Asset Emerging Markets Bond Fund, the Western 

Asset Global High Yield Bond Fund, the Western Asset U.S. Short-Term Government Income Fund, the Western Asset U.S. Adjustable Rate Income Fund, the Western Asset 

Investment Grade Total Return Bond Fund, the Western Asset Inflation Management Fund, and the Brandywine Global Opportunities Bond Fund and (ii) 0.35 per cent, per 

annum of the Net Asset Value of the Brandywine Global Equity Fund, the Legg Mason Value Fund, the Legg Mason Growth Fund, the ClearBridge U.S. Appreciation Fund, the 

ClearBridge U.S. Fundamental Value Fund, the ClearBridge U.S. Large Cap Growth Fund, the ClearBridge U.S. Aggressive Growth Fund, the Batterymarch European Equity Fund, 

the Batterymarch Pacific Equity Fund, the Batterymarch International Large Cap Fund, the Royce U.S. Small Cap Opportunity Fund, and the Royce 100 Equity Fund. 

During the period ended August 31, 2007 the Shareholder Servicing Agents waived US$3,456 of their fee for the Brandywine Global Equity Fund (August 31, 2006: nil). 

The shareholder services fees shall be payable monthly in arrears and shall accrue on each Dealing Day. 

Administrator & Custodian 

PFPC Bank Limited (formerly PFPC Trustee & Custodial Services Limited) acts as Custodian and PFPC International Limited (“PFPC”) acts as Administrator to all Funds in the 

Company. 

Effective April 23, 2007 for administration, accounting, shareholder, trustee and custodial services, they collectively receive from the Funds a monthly unitary fee of up to an 

annual rate of 0.10% of the aggregate average daily net asset value of the Company. 

Until April 23, 2007 for administration, accounting, shareholder, trustee and custodial services, they collectively received from the Funds a monthly unitary fee of up to an 

annual rate of 0.15% of the aggregate average daily net asset value of the Company. 

Effective June 8, 2005 to April 23, 2007, PFPC voluntarily agreed to waive 0.06% of its monthly unitary fee for the Western Asset U.S. Money Market Fund. For the six month 

period ended August 31, 2007, PFPC has voluntarily waived US$4,132 of its Unitary fee for the Western Asset U.S. Money Market Fund (August 31, 2006: US$13,300). 

Directors Remuneration 

Directors’ fees accrued over the six month period ended August 31, 2007 was US$22,000. Directors’ fees accrued over the six month period ended August 31, 2006 were US$2,000. 

143



4. Distributions to Holders of Redeemable Participating Shares 

Distributing Share Classes 

The Company’s policy has been to distribute the net investment income, if any, of the Western Asset Inflation Management Fund, the Legg Mason Value Fund, the Legg 

Mason Growth Fund, the ClearBridge U.S. Appreciation Fund, the ClearBridge U.S. Fundamental Value Fund, the ClearBridge U.S. Large Cap Growth Fund, the ClearBridge 

U.S. Aggressive Growth Fund, the Brandywine Global Equity Fund, the Batterymarch European Equity Fund, the Batterymarch Pacific Equity Fund, the Batterymarch 

International Large Cap Fund, the Royce U.S. Small Cap Opportunity Fund and the Royce 100 Equity Fund annually in March. The Company distributes the net investment 

income, if any, of the Western Asset U.S. Money Market Fund, the Western Asset U.S. Core Bond Fund, the Western Asset Euro Core Bond Fund, the Western Asset Diversified 

Strategic Income Bond Fund, the Western Asset Global Multi Strategy Fund, the Western Asset U.S. High Yield Bond Fund, the Western Asset Emerging Markets Bond Fund, 

the Western Asset Global High Yield Bond Fund, the Western Asset U.S. Short-Term Government Income Fund, the Western Asset U.S. Adjustable Rate Income Fund and the 

Western Asset Investment Grade Total Return Bond Fund on a monthly basis. The Company distributes the net investment income, if any, of the Brandywine Global 

Opportunities Bond Fund on a semi-annual basis. The Western Asset U.S. Money Market Fund, the Western Asset U.S. Core Bond Fund, the Western Asset Euro Core Bond 

Fund, the Western Asset Diversified Strategic Income Bond Fund, the Western Asset Global Multi Strategy Fund, the Western Asset U.S. High Yield Bond Fund, the Western 

Asset Emerging Markets Bond Fund, the Western Asset Global High Yield Bond Fund, the Western Asset U.S. Short-Term Government Income Fund, the Western Asset U.S. 

Adjustable Rate Income Fund, the Western Asset Investment Grade Total Return Bond Fund, the Western Asset Inflation Management Fund and the Brandywine Global 

Opportunities Bond Fund may also distribute realised and unrealised capital gains net of realised and unrealised capital losses. Distributions will be made in the respective 

base currency of the relevant share Class of each Fund, and, in the case of a Shareholder that has subscribed for Shares in a currency other than the base currency of a Fund, 

in such other currency. Payments will be made by wire transfer to a Shareholder’s account. Investors will be assumed to have elected to invest such distributions in additional 

Shares of the Funds unless a Shareholder designates otherwise on the application form. Going forward, the Company’s distribution policy will be in accordance with that in 

the supplemental prospectus dated October 5, 2007. 

Accumulating Share Classes 

With respect to Accumulating Share Classes, it is intended that, in the normal course of business, distributions will be declared and that any net investment income 

attributable to each Accumulating Share Class will be accumulated daily in the respective Net Asset Value per share of each respective Share Class. 

5. Share Capital and Redeemable Participating Shares 

Share Capital 

The Company was incorporated with an initial share capital of Euro 39,000 represented by 39,000 Subscriber Shares of no par value. All but seven of the Subscriber Shares 

have been repurchased by the Company. Shareholders of these seven Subscriber Shares are entitled to attend and vote at all of the meetings of the Company, but are not 

entitled to participate in the dividends or net assets of any Fund or of the Company. 

Redeemable Participating Shares 

The share capital of the Company shall at all times equal the Net Asset Value. The Directors are empowered to issue up to five hundred billion Shares of no par value in the 

Company at the Net Asset Value per Share on such terms as they may see fit. There are no rights of pre-emption upon the issue of Shares in the Company. 

Each of the Shares entitles the Shareholder to participate equally on a pro rata basis in the dividends and net assets of the Fund in respect of which they are issued, save in 

the case of dividends declared prior to becoming a Shareholder. 

The proceeds from the issue of Shares shall be applied in the books of the Company to the relevant Fund and shall be used in the acquisition on behalf of the relevant Fund 

of assets in which the Fund may invest. The records and accounts of each Fund shall be maintained separately. 

As at August 31, 2007 each Fund offered for investment Class A Shares, which were denominated in the base currency of the relevant Fund. Each Fund may have also offered Class 

A Shares denominated in currencies other than the base currency of the Fund, including, as relevant, U.S. Dollars, Euro and Singapore Dollars. Each Fund, including those that has 

Euro as its base currency, offered Class B and Class C Shares denominated only in U.S. Dollars. Furthermore, each Fund offered Premier Class Shares denominated in U.S. Dollars 

and denominated in Euro. Each Fund offered LM Share Classes in its Base Currency. LM Share Classes were available only at the discretion of the relevant Distributor. 

These different classes of shares differed principally in terms of their sales charges, fees, rates of expenses, distribution policy, and currency denomination. Investors were 

thus able to choose a share class that best suited their investment needs, considering the amount of investment and anticipated holding period. Class A Shares were 

designated as distributing Class Shares or accumulating Class Shares. Class B, Class C and Premier Class Shares were only offered as distributing Class Shares. LM Class Shares 

were designated as distributing Class Shares or accumulating Class Shares, depending on the Fund. 

Accumulating Share Classes do not distribute net income; net realised or net unrealised capital gains whereas Distributing Share Classes will follow each Fund’s particular 

distribution policy as set out in the Prospectus. 

Certain of the Funds have offered Grandfathered Share Classes. These were available only to Shareholders of the affiliated Funds. Following the initial subscription for shares 

of the Grandfathered Share Classes by Shareholders, the Grandfathered Shares Classes were closed to any subsequent subscriptions, both by existing shareholders in the 

Share Class and by new investors. 

In addition, Galleon Class Shares of Legg Mason Value Fund, which differ from the other Share Classes in terms of minimum subscription level, sales charges and/or rates of 

expenses, are no longer being offered for subscription. Existing Galleon Class Shares will be maintained in accordance with and subject to the terms and conditions applicable 

at the time of purchase. 

Each of the Shares entitles the holder to attend and vote at meetings of the Company and of the Fund represented by those Shares. 

6. Taxation 

The Company qualifies as an investment undertaking as defined in Section 739B of the Taxes Consolidation Act, 1997, as amended. It is not liable to Irish tax on its income 

or on realised and unrealised capital gains. 

However, Irish tax may arise on the happening of a “chargeable event”. A chargeable event includes any distribution payments to shareholders or any encashment, 

redemption or transfer of shares. 

No Irish tax will arise on the Company in respect of chargeable events in respect of: 

(a) a shareholder who is neither Irish resident nor ordinarily resident in Ireland for tax purposes, at the time of the chargeable event, provided appropriate valid 

declarations in accordance with the provisions of the Taxes Consolidation Act, 1997, as amended are held by the Company; and 

(b) certain exempted Irish tax resident shareholders who have provided the Company with the necessary signed statutory declarations. 

Capital gains, dividends and interest (if any) received on investments made by the Company may be subject to withholding taxes imposed by the country of origin and such 

taxes may not be recoverable by the Company or its shareholders. 

144



7. Cash Note 

The cash balances of any Fund are held with PFPC Bank Limited. Included in the cash balances are amounts held as collateral for futures contracts for the following Funds: 

Fund As at August 31, 2007 As at February 28, 2007 

Western Asset Euro Core Bond Fund n/a 315,802 EUR 

Western Asset Diversified Strategic Income Bond Fund n/a 2,185,456 USD 

Western Asset Global Multi Stategy Fund n/a 1,601,736 USD 

8. Commitments and Contingent Liabilities 

There were no significant commitments or contingent liabilities at the Balance Sheet date. 

9. Soft Commission Arrangements 

During the six month period ended August 31, 2007, Brandywine Global Investment Management, LLC (“Brandywine”, Sub-Investment Manager for the Brandywine Global 

Opportunities Bond Fund and the Brandywine Global Equity Fund), Legg Mason Capital Management, Inc. (“LMCM”, the Investment Manager for the Legg Mason Value 

Fund and the Sub-Investment Manager for the Legg Mason Growth Fund), ClearBridge Advisors, LLC (“ClearBridge”, the Sub-Investment Manager for the ClearBridge U.S. 

Appreciation Fund, the ClearBridge U.S. Fundamental Value Fund, the ClearBridge U.S. Large Cap Growth Fund and the ClearBridge U.S. Aggressive Growth Fund) and Royce 

& Associates, LLC (“Royce”, the Sub-Investment Manager for the Royce U.S. Small Cap Opportunity Fund and the Royce 100 Equity Fund) entered into soft commission 

arrangements with brokers in respect of which certain goods and services used to support the investment decision process were received. Brandywine, LMCM, ClearBridge, 

Royce and their respective connected persons do not make direct payments for these services but do not transact business with the brokers on behalf of the Funds for which 

Brandywine, LMCM, ClearBridge and Royce acts as Investment Manager or Sub-Investment Manager, and commissions are paid on these transactions. These services assist 

Brandywine, LMCM, ClearBridge and Royce in carrying out their investment decision-making responsibilities in respect of the relevant Funds. 

10. Exchange Rates 

The following exchange rates were used in these financial statements to obtain the equivalent U.S. Dollar and Euro amounts for the respective Funds with U.S. Dollar and 

Euro based currencies respectively: 

Exchange Rates as at Exchange Rates as at Exchange Rates as at 

USD Based Funds Country August 31, 2007 February 28, 2007 August 31, 2006 

Argentina 3.1563 3.1003 3.0970 

Australia 1.2126 1.2692 1.3094 

Brazil 1.9771 2.1205 2.1365 

Canada 1.0528 1.1696 1.1098 

China 7.5440 n/a n/a 

Denmark 5.4515 5.6311 5.8275 

Egypt 5.6520 5.6950 5.7405 

European Union 0.7319 0.7557 0.7812 

Hong Kong 7.7982 7.8130 7.7768 

Hungary 185.9836 194.1223 216.6830 

India 40.9550 44.2750 46.5340 

Indonesia 9390.0000 9131.5000 9097.0000 

Israel 4.1248 4.2160 4.3640 

Japan 116.3900 118.4100 117.2850 

Malaysia 3.5015 3.5030 3.6810 

Mexico 11.0640 11.1642 10.9118 

New Zealand 1.4110 1.4245 1.5278 

Norway 5.8174 6.1292 n/a 

Philippines 46.5400 48.5178 50.7850 

Poland 2.7977 2.9542 3.0843 

Russia 25.6307 26.1124 26.7605 

Singapore 1.5225 1.5291 1.5726 

South Africa 7.1270 7.2300 7.2100 

South Korea 938.2500 941.7000 961.5000 

Sweden 6.8527 6.9940 7.2331 

Switzerland 1.2057 1.2188 n/a 

Taiwan 32.9990 32.9500 32.9200 

Thailand 34.3100 n/a 37.5900 

Turkey 1.2992 1.4130 1.4655 

United Kingdom 0.4953 0.5091 0.5257 

Exchange Rates as at Exchange Rates as at Exchange Rates as at 

Euro Based Funds Country August 31, 2007 February 28, 2007 August 31, 2006 

Australia 1.6592 1.6837 1.6763 

Denmark 7.4482 7.4520 7.4596 

Hong Kong n/a n/a 9.9547 

Hungary 254.1000 255.0500 277.3650 

Norway 7.9480 8.1140 8.0705 

Poland 3.8224 3.9120 3.9481 

South Africia n/a 9.6038 9.2292 

Sweden 9.3625 9.2695 9.2587 

Switzerland 1.6473 1.6134 1.5783 

United Kingdom 0.6768 0.6741 0.6730 

United States 1.3663 1.3211 1.2801 

145



11. Derivatives and Other Financial Instruments 

(a) Market Price Risk 

The investments of a Fund are subject to normal market fluctuations and the risks inherent in investment in international securities markets and there can be no assurances 

that appreciation will occur. Stock markets can be volatile and stock prices can change substantially. Debt securities are interest rate sensitive and may be subject to price 

volatility due to various factors including, but not limited to, changes in interest rates, market perception of the creditworthiness of the issuer and general market liquidity. 

(b) Interest Rate Risk 

The value of investments in fixed interest rate bearing securities may be subject to price volatility due to changes in interest rates. An increase in interest rates will generally reduce 

the value of debt securities that are issued and outstanding, while a decline in interest rates will generally increase the value of debt securities that are issued and outstanding. 

The magnitude of these price fluctuations will be greater when the maturity of the outstanding securities is longer. Changes in the value of securities held by a fund when interest 

rates change mean that a Fund’s Net Asset Value per Share can go up or down because of the effect on the value of the Fund’s portfolio of debt securities. 

The weighted average yield and weighted average years to maturity of each fund on its fixed rate instruments per currency as at August 31, 2007 were as follows: 

Weighted 

Weighted Average 

Currency Average Yield Years to Maturity 


United States Dollar 5.37% 0.16 




British Pound Sterling 5.93% 10.44 

Danish Krone 4.52% 31.11 

Euro 4.78% 8.18 

Norwegian Krone 4.93% 7.71 

Polish Zloty 5.78% 9.88 



Australian Dollar 6.12% 3.79 



Euro 8.22% 8.59 

Hungarian Forint 6.52% 3.99 

Israeli Shekel 6.25% 8.42 

Mexican Peso 7.93% 6.31 




Brazilian Real 8.15% 1.55 



Euro 8.04% 8.79 


Indian Rupee 8.02% 2.76 


Japanese Yen 2.13% 19.59 


Russian Ruble 6.93% 2.11 

Turkish Lira 16.39% 2.60 






Egyptian Pound 7.86% 0.19 

Euro 8.25% 41.86 

Indonesian Rupiah 10.21% 20.60 

Malaysian Ringgit 3.39% 0.17 




146



11. Derivatives and Other Financial Instruments – (continued) 

Weighted 






Indonesian Rupiah 10.23% 20.17 
















Canadian Dollar 4.80% 1.72 

Euro 4.42% 2.01 



New Zealand Dollar 7.32% 7.31 



Singapore Dollar 2.68% 0.63 

South African Rand 11.88% 3.00 

Swedish Krona 6.40% 0.68 


The weighted average yield and weighted average years to maturity of each fund on its fixed rate instruments per currency as at February 28, 2007 were as follows: 

Weighted 








Britsh Pound Sterling 5.78% 12.27 


Euro 4.43% 8.57 








Euro 7.03% 7.50 






147




Weighted 




Argentine Peso 1.36% 2.85 






Euro 6.87% 7.99 


Japanese Yen 1.77% 6.21 









Argentine Peso 1.36% 2.85 


Euro 8.22% 42.37 








Canadian Dollar 4.93% 2.51 

Euro 4.50% 2.71 



New Zealand Dollar 6.11% 8.17 


Singapore Dollar 2.44% 1.06 


Swedish Krona 6.29% 1.18 


(c) Foreign Currency Risk (in 000’s) 

The Net Asset Value per Share of the Funds is computed in the relevant Fund’s functional currency of U.S. Dollars and of Euro as applicable, whereas the investments held 

for the account of a Fund may be acquired, valued and disposed of in other currencies. The value of the investments of a Fund designated in another currency may rise and 

fall due to exchange rate fluctuations in respect of the relevant currencies. 

148




The following table sets out the sub-Funds’ total exposure to foreign currency with the value to be received under foreign currency contracts and the resulting net unhedged 

amounts invested in assets in foreign currencies. 

As at August 31, 2007 

Investments in Investments in 

Investments in Variable Non Interest Net Other 

Fixed Interest Interest Bearing Assets/ Total Net 

Currency Securities Securities Securities (Liabilities) Asset Value 


Australian Dollar — — — 18 18 

British Pound Sterling 477 175 — 141 793 

Danish Krone 218 — — 6 224 

Euro 9,132 2,462 — 1,592 13,186 

Norwegian Krone 386 — — 7 393 

Polish Zloty 356 — — 23 379 

Swedish Krona — — — (5) (5) 

United States Dollar 2,123 — (32) (1,397) 694 

Total 12,692 2,637 (32) 385 15,682 


Australian Dollar 3,532 — — 356 3,888 

British Pound Sterling 2,721 — (191) 1,317 3,847 

Canadian Dollar — — — 4 4 

Danish Krone 4,210 — — 119 4,329 

Euro 7,297 4,277 (78) 977 12,473 

Hungarian Forint 5,908 — — 364 6,272 

Israeli Shekel 1,860 — — 38 1,898 

Japanese Yen — — — 143 143 

Mexican Peso 4,011 — — 112 4,123 

New Zealand Dollar — — — 6 6 

Norwegian Krone — — — (7) (7) 

South African Rand — — — 1 1 

United States Dollar 107,356 12,889 16,929 1,046 138,220 

Total 136,895 17,166 16,660 4,476 175,197 


Argentine Peso — 1,494 — 60 1,554 


Brazilian Real 12,869 — — 269 13,138 

British Pound Sterling 6,369 1,213 (519) 1,138 8,200 


Danish Krone 10,492 — — 418 10,910 

Euro 20,790 19,754 (205) 1,179 41,519 


Indian Rupee 7,782 — — 86 7,868 


Japanese Yen 3,002 — — 1,790 4,792 

Mexican Peso 7,025 — — 287 7,312 


Polish Zloty — — — (16) (16) 

Russian Ruble 2,432 — — 22 2,454 

South African Rand — — — (18) (18) 

South Korean Won — — — (37) (37) 

Turkish Lira 16,887 — — 1,875 18,762 

United States Dollar 233,747 14,867 4,284 6,164 259,062 

Total 338,666 37,328 3,560 14,344 393,898 

149









Argentine Peso — 1,790 — 76 1,866 


Egyptian Pound 6,449 — — — 6,449 

Euro 446 — — — 446 

Indonesian Rupiah 3,262 — — 174 3,436 

Malaysian Ringgit 3,288 — — 89 3,377 

Mexican Peso — — — 41 41 

Russian Ruble 6,860 — — 183 7,043 

Turkish Lira 1,682 — — 158 1,840 

United States Dollar 98,883 6,853 85 1,738 107,559 

Total 130,693 8,643 85 2,717 142,138 


Argentine Peso — 651 265 25 941 



Indian Rupee — — — 20 20 

Indonesian Rupiah 808 — — — 808 

Malaysian Ringgit 396 — — 12 408 

Russian Ruble 2,252 — — 61 2,313 

Turkish Lira 335 — — 6 341 

United States Dollar 200,065 16,925 553 8,335 225,878 

Total 210,275 17,576 818 8,504 237,173 


British Pound Sterling — — — 15 15 

Euro — — — 36 36 

United States Dollar 19,262 101,091 — (14,941) 105,412 

Total 19,262 101,091 — (14,890) 105,463 


Australian Dollar 64,095 — — 4,083 68,178 

British Pound Sterling 38,259 — — 669 38,928 

Canadian Dollar 66,016 — — 5,126 71,142 

Euro 36,792 — — 11,068 47,860 

Japanese Yen — — — 1,377 1,377 

Malaysian Ringgit 13,611 — — 111 13,722 

Mexican Peso 11,209 — — 168 11,377 

New Zealand Dollar 20,381 — — 1,444 21,825 

Norwegian Krone 11,687 — — (3,901) 7,786 

Polish Zloty 37,468 — — 2,011 39,479 

Singapore Dollar 35,242 — — 1,857 37,099 

South African Rand 17,395 — — 1,064 18,459 

Swedish Krona 19,231 — — 940 20,171 

United States Dollar 116,736 — — (2,833) 113,903 

Total 488,122 — — 23,184 511,306 

150









British Pound Sterling — — 252 4 256 

Canadian Dollar — — 36 — 36 

Euro — — 480 1 481 

Hong Kong Dollar — — 74 — 74 

Japanese Yen — — 243 — 243 

Swiss Franc — — 68 — 68 

United States Dollar — — 923 123 1,046 

Total — — 2,076 128 2,204 


British Pound Sterling — — 3,661 334 3,995 


United States Dollar — — 289,723 326 290,049 

Total — — 293,903 660 294,563 


British Pound Sterling — — 22,062 1,070 23,132 

Danish Krone — — 2,312 — 2,312 

Euro — — 42,904 596 43,500 

Hungarian Forint — — 327 — 327 

Norwegian Krone — — 1,548 — 1,548 

Swedish Krona — — 2,516 — 2,516 

Swiss Franc — — 5,739 — 5,739 

United States Dollar — — — 12 12 

Total — — 77,408 1,678 79,086 


Chinese Renminbi — — — 8 8 

Hong Kong Dollar — — 57,973 71 58,044 

Indian Rupee — — 21,241 14 21,255 

Indonesian Rupiah — — 3,973 — 3,973 

Malaysian Ringgit — — 5,207 48 5,255 

Philippine Peso — — 2,853 345 3,198 

Singapore Dollar — — 15,269 79 15,348 

South Korean Won — — 43,327 — 43,327 

Taiwanese Dollar — — 25,126 196 25,322 

Thai Baht — — 5,860 210 6,070 

United States Dollar — — 6,984 5,242 12,226 

Total — — 187,813 6,213 194,026 


Australian Dollar — — 1,597 8 1,605 

Brazilian Real — — 304 — 304 

British Pound Sterling — — 12,327 (269) 12,058 

Canadian Dollar — — 1,491 1 1,492 

Danish Krone — — 1,705 — 1,705 

Euro — — 20,011 173 20,184 

Hong Kong Dollar — — 604 2 606 

Japanese Yen — — 10,140 (212) 9,928 

Mexican Peso — — 169 — 169 

New Zealand Dollar — — 246 — 246 

Norwegian Krone — — 871 4 875 

Singapore Dollar — — 530 — 530 

South African Rand — — 528 — 528 

South Korean Won — — 1,723 — 1,723 

Swedish Krona — — 659 225 884 

Swiss Franc — — 3,231 9 3,240 

United States Dollar — — 1,176 274 1,450 

Total — — 57,312 215 57,527 

151




As at February 28, 2007 


Investments in Variable Non-Interest Other 




Australian Dollar — — — 20 20 

British Pound Sterling 888 165 — 165 1,218 

Danish Krone 578 — — 93 671 

Euro (base) 14,515 2,160 — 2,204 18,879 

Norwegian Krone 467 — — 19 486 

Polish Zloty 203 — — 4 207 

South African Rand — — — 71 71 

United States Dollar 1,271 — — (1,438) (167) 

Total 17,922 2,325 — 1,138 21,385 



British Pound Sterling 3,009 — (153) 1,408 4,264 


Danish Krone 4,619 — — 118 4,737 

Euro 5,203 1,533 — 1,338 8,074 


Mexican Peso 4,407 — — 72 4,479 


Polish Zloty 3,994 — — 49 4,043 

South African Rand 2,134 — — 34 2,168 

United States Dollar (base) 87,117 1,141 17,985 (4) 106,239 

Total 115,130 2,674 17,832 3,156 138,792 


Argentine Peso 877 15 — — 892 


Brazilian Real 11,110 — — — 11,110 

British Pound Sterling 8,389 1,257 (410) 3,419 12,655 


Danish Krone 10,669 — — 306 10,975 


Euro 12,878 2,741 — 804 16,423 


Japanese Yen 7,487 878 — 115 8,480 

Mexican Peso 10,787 — — 150 10,937 


Russian Ruble 2,404 — — 83 2,487 


Turkish Lira 14,991 — — 950 15,941 

United States Dollar (base) 258,098 4,913 861 2,212 266,084 

Total 357,174 9,804 451 8,628 376,057 


Argentine Peso 334 — — 15 349 

Brazilian Real — — — 218 218 


Euro 431 — — — 431 

Mexican Peso — — — 16 16 

Russian Ruble 1,053 — — 24 1,077 

Turkish Lira 387 — — 34 421 

United States Dollar (base) 20,736 1,160 41 852 22,789 

Total 24,458 1,160 41 1,159 26,818 

152





Investments in Variable Non-Interest Other 




Australian Dollar 63,291 — — 1,489 64,780 

Brazilian Real 11,107 — — (934) 10,173 

British Pound Sterling 41,822 — — 834 42,656 

Canadian Dollar 58,265 — — 8,943 67,208 

Euro 72,187 — — 2,133 74,320 

Malaysian Ringgit 13,446 — — (7,933) 5,513 

Mexican Peso 11,015 — — 152 11,167 

New Zealand Dollar 21,038 — — 427 21,465 

Polish Zloty 42,605 — — 758 43,363 

Singapore Dollar 39,619 — — 307 39,926 


Swedish Krona 22,062 — — 1,136 23,198 

United States Dollar (base) 135,915 — — 21,362 157,277 

Total 550,666 — — 29,500 580,166 


British Pound Sterling — — 178 2 180 


Euro — — 277 10 287 

Hong Kong Dollar — — 49 26 75 

Japanese Yen — — 120 32 152 

Swiss Franc — — 83 — 83 

United States Dollar (base) — — 641 22 663 

Total — — 1,363 92 1,455 


British Pound Sterling — — 2,636 5,360 7,996 

United States Dollar (base) — — 3,180,609 1,455 3,182,064 

Total — — 3,183,245 6,815 3,190,060 


British Pound Sterling — — 10,027 (625) 9,402 

Danish Krone — — 787 — 787 

Euro (base) — — 19,256 365 19,621 

Hungarian Forint — — 284 — 284 

Norwegian Krone — — 1,253 — 1,253 

Swedish Krona — — 258 — 258 

Swiss Franc — — 2,255 8 2,263 

United States Dollar — — — 999 999 

Total — — 34,120 747 34,867 


Euro — — — 7 7 

Hong Kong Dollar — — 24,775 180 24,955 

Indian Rubee — — 9,723 478 10,201 

Indonesian Rupiah — — 4,666 — 4,666 

Malaysian Ringgit — — 4,621 (197) 4,424 

Philippines Peso — — 3,095 (137) 2,958 

Singapore Dollar — — 11,029 — 11,029 

South Korean Won — — 21,880 223 22,103 

Taiwanese Dollar — — 11,135 122 11,257 

United States Dollar (base) — — 4,987 (219) 4,768 

Total — — 95,911 457 96,368 

153




(d) Fair Value of financial assets and financial liabilities 

Some Funds entered into derivative products during the year. Derivatives are contracts whose value depend upon, or are derived from, the value of an underlying asset, 

reference or rate index, and may relate to stocks, bonds, interest rates, commodities and related indexes. Refer to respective Funds’ portfolio of investments for open future 

positions as at August 31, 2007. 

(e) Credit risk 

The Funds are exposed to the credit risk of parties with whom they trade and bear the risk of settlement default. The Funds minimise concentrations of counterparty risks 

by undertaking transactions with many brokers and counterparties on recognised and reputable exchanges. In addition an issuer may suffer adverse changes in its financial 

condition that could lower the credit quality of a security, leading to a greater volatility in the price of the security and in the value of the Fund. 

(f) Cash flow risk 

The Company is exposed to daily cash redemptions of redeemable participating preference shares. It therefore invests the majority of its assets in investments that are traded 

in an active market and can be readily disposed of; it invests only a limited proportion of its assets in investments not actively traded on a stock exchange. 

The Company’s investments that are listed securities are considered readily realisable as they are listed on recognised exchanges. 

The Company has the ability to borrow in the short term to ensure settlement. No such borrowings have arisen during the period. 

The Company may from time to time invest in derivative contracts traded over the counter, which are not traded in an organised public market and may be illiquid. As a 

result, the Company may not be able to liquidate quickly its investments in these instruments at an amount close to their fair value in order to meet its liquidity requirements 

or to respond to specific events such as deterioration in the creditworthiness of any particular issuer. No such investments were held at the Balance Sheet date. 

(g) Forward Foreign Currency Contracts (in 000’s) 

The forward foreign currency contracts outstanding at August 31, 2007 and February 28, 2007 are as follows: 

Western Asset Euro Core Bond Fund (as of August 31, 2007) 

Contracts to Receive 

Unrealised 

In 

Appreciation/ 

Expiration Value Exchange Depreciation 

Date Local Currency in EUR for EUR of Contracts 

11/07/07 AUD 357 € 212 € 227 € (15) 

11/07/07 AUD 1,147 681 729 (48) 

11/07/07 AUD 322 192 205 (13) 

11/07/07 GBP 294 434 437 (3) 

11/07/07 SEK 2,000 213 218 (5) 

11/07/07 USD 868 635 626 9 


11/07/07 USD 1,088 797 786 11 

11/07/07 USD 1,068 782 771 11 

11/07/07 ZAR 98 10 10 — 

(50) 

Contracts to Deliver 

Unrealised 

In 

Appreciation/ 



11/07/07 AUD 1,776 € 1,055 € 1,129 € 74 

11/07/07 GBP 312 460 464 4 

11/07/07 GBP 100 147 148 1 

11/07/07 GBP 386 569 573 4 

11/07/07 NOK 2,851 359 360 1 

11/07/07 PLN 1,353 353 359 6 

11/07/07 USD 109 80 80 — 

11/07/07 USD 1,821 1,333 1,315 (18) 

11/07/07 USD 514 376 371 (5) 


€ 45 

Net Unrealised Depreciation of Forward Foreign Currency Contracts € (5) 

AUD 

GBP 

NOK 

PLN 

SEK 


ZAR 

Abbreviations: 




Polish Zloty 

Swedish Krona 


South African Rand 

154




Western Asset Diversified Strategic Income Bond Fund (as of August 31, 2007) 


Unrealised 

In 

Appreciation/ 


Date Local Currency in USD for USD of Contracts 

11/07/07 AUD 1,149 $ 933 $ 1,013 $ (80) 

11/07/07 CAD 8,000 7,571 7,675 (104) 

11/07/07 CAD 2,467 2,335 2,365 (30) 

11/07/07 DKK 45,449 8,342 8,457 (115) 

11/07/07 DKK 9,860 1,810 1,813 (3) 

11/07/07 EUR 2,806 3,835 3,887 (52) 

11/07/07 EUR 3,667 5,012 5,079 (67) 

11/07/07 EUR 357 488 490 (2) 

11/07/07 EUR 437 597 591 6 

11/07/07 GBP 994 2,002 1,990 12 

11/07/07 GBP 482 970 990 (20) 

11/07/07 GBP 288 581 594 (13) 

11/07/07 GBP 802 1,615 1,652 (37) 

11/07/07 JPY 225,887 1,968 1,900 68 

11/07/07 JPY 245,200 2,136 2,060 76 

11/07/07 MXN 19,441 1,755 1,781 (26) 

11/07/07 NOK 14,932 2,568 2,616 (48) 

(435) 


Unrealised 

In 

Appreciation/ 



11/07/07 AUD 268 $ 218 $ 236 $ 18 

11/07/07 AUD 4,723 3,833 4,159 326 

11/07/07 AUD 600 487 529 42 

11/07/07 CAD 700 662 671 9 

11/07/07 CAD 3,450 3,266 3,309 43 

11/07/07 CAD 6,537 6,186 6,265 79 

11/07/07 DKK 10,220 1,876 1,904 28 

11/07/07 DKK 38,303 7,031 7,131 100 

11/07/07 DKK 4,286 787 798 11 

11/07/07 DKK 25,453 4,672 4,737 65 

11/07/07 EUR 604 825 837 12 

11/07/07 EUR 260 355 360 5 

11/07/07 EUR 150 205 208 3 

11/07/07 EUR 7,278 9,949 10,083 134 

11/07/07 EUR 690 943 956 13 

11/07/07 EUR 6,680 9,131 9,250 119 

11/07/07 EUR 250 342 343 1 

11/07/07 EUR 320 437 436 (1) 

11/07/07 GBP 1,121 2,257 2,301 44 

11/07/07 GBP 1,378 2,775 2,836 61 

11/07/07 GBP 744 1,498 1,532 34 

11/07/07 GBP 1,239 2,495 2,552 57 

11/07/07 HUF 583,787 3,109 3,281 172 

11/07/07 HUF 218,936 1,166 1,221 55 

11/07/07 ILS 8,098 1,972 1,941 (31) 

11/07/07 MXN 39,000 3,520 3,599 79 

11/07/07 NOK 15,027 2,584 2,625 41 

11/07/07 ZAR 167 23 24 1 

$ 1,520 

Net Unrealised Appreciation of Forward Foreign Currency Contracts $ 1,085 

155




Western Asset Diversified Strategic Income Bond Fund (as of August 31, 2007) – (continued) 


AUD Australian Dollar 

CAD Canadian Dollar 

DKK Danish Krone 

EUR Euro 

GBP British Pound Sterling 

HUF Hungarian Forint 

ILS Israeli Shekel 

JPY Japanese Yen 

MXN Mexican Peso 

NOK Norwegian Krone 

ZAR South African Rand 

Western Asset Global Multi Strategy Fund (as of August 31, 2007) 


Unrealised 

In 

Appreciation/ 



11/07/07 AUD 5,547 $ 4,502 $ 4,446 $ 56 

11/07/07 CAD 800 757 767 (10) 

11/07/07 CAD 3,702 3,504 3,548 (44) 

11/07/07 EUR 30,813 42,116 42,689 (573) 

11/07/07 EUR 930 1,271 1,288 (17) 

11/07/07 EUR 488 667 676 (9) 

11/07/07 GBP 253 510 522 (12) 

11/07/07 GBP 1,344 2,708 2,769 (61) 

11/07/07 GBP 333 671 686 (15) 

11/07/07 HUF 94,279 502 530 (28) 

11/07/07 JPY 390,078 3,398 3,397 1 

11/07/07 JPY 610,339 5,317 5,132 185 

11/07/07 JPY 436,905 3,806 3,671 135 

11/07/07 JPY 1,097,793 9,563 9,223 340 

11/07/07 JPY 1,279,961 11,150 10,745 405 

11/07/07 JPY 1,082,233 9,427 9,077 350 

11/07/07 JPY 842,336 7,338 7,029 309 

11/07/07 MXN 49,029 4,426 4,437 (11) 

11/07/07 PLN 1,411 503 519 (16) 

11/07/07 ZAR 2,963 409 427 (18) 

11/14/07 KRW 2,470,450 2,646 2,683 (37) 

930 


Unrealised 

In 

Appreciation/ 



11/07/07 AUD 3,000 $ 2,435 $ 2,642 $ 207 

11/07/07 AUD 4,785 3,884 4,220 336 

11/07/07 AUD 1,128 916 996 80 

11/07/07 CAD 4,200 3,975 4,028 53 

11/07/07 CAD 470 445 451 6 

11/07/07 DKK 60,417 11,090 11,247 157 

11/07/07 EUR 521 713 723 10 

11/07/07 EUR 570 779 790 11 

11/07/07 EUR 2,162 2,955 2,995 40 

11/07/07 EUR 10,875 14,865 15,058 193 

11/07/07 EUR 500 683 685 2 

11/07/07 EUR 700 957 953 (4) 

11/07/07 EUR 7,248 9,908 9,793 (115) 

11/07/07 GBP 130 262 258 (4) 

11/07/07 GBP 1,300 2,618 2,668 50 

11/07/07 GBP 2,115 4,261 4,348 87 

11/07/07 GBP 1,699 3,421 3,498 77 

11/07/07 GBP 417 840 859 19 

11/07/07 ILS 24,942 6,073 5,978 (95) 

156




Western Asset Global Multi Strategy Fund (as of August 31, 2007) – (continued) 


Unrealised 

In 

Appreciation/ 



11/07/07 JPY 2,162,365 $ 18,836 $ 18,147 $ (689) 

11/07/07 MXN 98,326 8,876 9,074 198 

11/07/07 TRY 15,220 11,404 11,826 422 

11/07/07 TRY 3,684 2,760 2,860 100 

11/14/07 BRL 11,697 5,918 6,095 177 

$ 1,318 

Net Unrealised Appreciation of Forward Foreign Currency Contracts $ 2,248 



BRL Brazilian Real 



EUR Euro 



ILS Israeli Shekel 


KRW South Korean Won 


PLN Polish Zloty 

TRY Turkish Lira 


Brandywine Global Opportunities Bond Fund (as of August 31, 2007) 


Unrealised 

In 

Appreciation/ 



9/28/07 NOK 106,211 $ 18,258 $ 18,128 $ 130 

10/18/07 JPY 3,583,478 31,130 30,057 1,073 

10/18/07 JPY 6,189,420 53,767 51,910 1,857 

12/06/07 EUR 7,828 10,706 10,707 (1) 

3,059 


Unrealised 

In 

Appreciation/ 



9/28/07 NOK 24,570 $ 4,224 $ 4,223 $ (1) 

9/28/07 NOK 24,596 4,228 4,224 (4) 

10/05/07 CAD 43,089 40,761 40,158 (603) 

10/18/07 JPY 698,500 6,068 5,856 (212) 

10/18/07 JPY 2,499,664 21,715 21,903 188 

10/18/07 JPY 2,600,730 22,593 22,070 (523) 

10/18/07 JPY 3,274,004 28,441 27,759 (682) 

10/18/07 JPY 700,000 6,081 5,756 (325) 

12/06/07 EUR 33,588 45,938 46,053 115 

12/13/07 GBP 18,377 36,977 36,767 (210) 

$ (2,257) 

Net Unrealised Appreciation of Forward Foreign Currency Contracts $ 802 

CAD 

EUR 

GBP 

JPY 

NOK 



Euro 


Japanese Yen 


157




Western Asset Euro Core Bond Fund (as of February 28, 2007) 


Unrealised 

In 

Appreciation/ 



5/9/07 AUD 357 € 212 € 216 € (4) 

5/9/07 AUD 1,147 681 692 (11) 

5/9/07 AUD 322 191 194 (3) 

5/9/07 GBP 147 218 224 (6) 

5/9/07 NOK 4,220 520 507 13 

5/9/07 SEK 2,000 216 215 1 


5/9/07 USD 1,118 844 859 (15) 



€ (62) 


Unrealised 

In 

Appreciation/ 



5/9/07 AUD 1,776 € 1,055 € 1,074 € 19 

5/9/07 DKK 857 115 115 — 

5/9/07 GBP 100 148 152 4 

5/9/07 GBP 536 793 815 22 

5/9/07 GBP 312 462 474 12 

5/9/07 NOK 7,931 977 946 (31) 

5/9/07 PLN 721 184 186 2 

5/9/07 USD 2,268 1,712 1,745 33 


5/9/07 USD 1,691 1,276 1,297 21 

5/9/07 USD 25 19 19 — 

5/9/07 ZAR 565 58 60 2 

€ 88 

Net Unrealised Appreciation of Forward Foreign Currency Contracts € 26 





NOK Norweigan Krone 


SEK Swedish Krona 

USD United States Dollar 


Western Asset Diversified Strategic Income Bond Fund (as of February 28, 2007) 


Unrealised 

In 

Appreciation/ 



5/9/07 AUD 3,621 $ 2,848 $ 2,849 $ (1) 

5/9/07 CAD 8,000 6,837 6,786 51 

5/9/07 CAD 2,467 2,108 2,094 14 

5/9/07 DKK 45,449 8,078 7,948 130 

5/9/07 EUR 1,000 1,325 1,315 10 

5/9/07 EUR 3,667 4,859 4,782 77 

5/9/07 EUR 701 928 911 17 

5/9/07 EUR 3,937 5,216 5,128 88 

5/9/07 EUR 200 265 260 5 

5/9/07 GBP 482 944 954 (10) 

5/9/07 GBP 536 1,051 1,062 (11) 

5/9/07 GBP 441 863 869 (6) 

5/9/07 GBP 288 565 569 (4) 

158




Western Asset Diversified Strategic Income Bond Fund (as of February 28, 2007) – (continued) 


Unrealised 

In 

Appreciation/ 



5/9/07 JPY 72,818 $ 620 $ 608 $ 12 

5/9/07 NOK 14,932 2,436 2,327 109 

$ 481 


Unrealised 

In 

Appreciation/ 



5/9/07 AUD 268 $ 211 $ 211 $ — 

5/9/07 AUD 5,176 4,071 4,073 2 

5/9/07 CAD 700 598 594 (4) 

5/9/07 CAD 3,450 2,949 2,927 (22) 

5/9/07 CAD 6,537 5,586 5,541 (45) 

5/9/07 DKK 38,303 6,809 6,695 (114) 

5/9/07 DKK 10,220 1,817 1,790 (27) 

5/9/07 DKK 19,999 3,554 3,493 (61) 

5/9/07 EUR 7,578 10,040 9,884 (156) 

5/9/07 EUR 6,180 8,188 8,053 (135) 

5/9/07 EUR 890 1,179 1,159 (20) 

5/9/07 GBP 251 492 497 5 

5/9/07 GBP 1,121 2,196 2,219 23 

5/9/07 GBP 804 1,575 1,592 17 

5/9/07 GBP 1,378 2,700 2,730 30 

5/9/07 HUF 383,787 1,977 1,956 (21) 

5/9/07 MXN 15,300 1,364 1,389 25 

5/9/07 MXN 7,700 687 704 17 

5/9/07 NOK 15,027 2,452 2,341 (111) 

5/9/07 PLN 7,853 2,658 2,643 (15) 

5/9/07 ZAR 15,958 2,177 2,200 23 

$ (589) 

Net Unrealised Depreciation of Forward Foreign Currency Contracts $ (108) 





EUR Euro 





NOK Norwegian Krone 




Western Asset Global Multi Strategy Fund (as of February 28, 2007) 


Unrealised 

In 

Appreciation/ 



5/9/07 AUD 1,372 $ 1,079 $ 1,081 $ (2) 

5/16/07 BRL 7,976 3,735 3,750 (15) 

5/16/07 BRL 8,128 3,806 3,800 6 

5/9/07 CAD 800 684 679 5 

5/9/07 CAD 3,701 3,164 3,138 26 

5/9/07 EUR 32,168 42,619 41,898 721 

5/9/07 EUR 1,530 2,027 1,992 35 

5/9/07 EUR 2,241 2,969 2,913 56 

159




Western Asset Global Multi Strategy Fund (as of February 28, 2007) – (continued) 


Unrealised 

In 

Appreciation/ 



5/9/07 GBP 333 $ 652 $ 659 $ (7) 

5/9/07 GBP 253 496 502 (6) 

5/9/07 HUF 94,279 486 481 5 

5/9/07 JPY 436,905 3,721 3,650 71 

5/9/07 JPY 1,097,793 9,351 9,169 182 

5/9/07 JPY 1,082,233 9,218 9,030 188 

5/9/07 JPY 1,279,961 10,902 10,676 226 

5/9/07 JPY 488,724 4,163 4,073 90 

5/16/07 KRW 2,470,450 2,628 2,655 (27) 

5/9/07 PHP 184,325 3,799 3,790 9 

5/9/07 PLN 1,411 478 475 3 

5/9/07 TRY 3,783 2,606 2,600 6 

5/9/07 ZAR 13,662 1,864 1,895 (31) 

$ 1,541 


Unrealised 

In 

Appreciation/ 



5/16/07 BRL 15,672 $ 7,339 $ 7,433 $94 

5/16/07 BRL 16,226 7,599 7,600 1 

5/9/07 CAD 470 402 399 (3) 

5/9/07 CAD 4,200 3,590 3,565 (25) 

5/9/07 DKK 60,417 10,739 10,560 (179) 

5/9/07 EUR 700 927 923 (4) 

5/9/07 EUR 500 662 652 (10) 

5/9/07 EUR 1,682 2,228 2,193 (35) 

5/9/07 EUR 10,875 14,407 14,170 (237) 

5/9/07 EUR 2,162 2,864 2,816 (48) 

5/9/07 GBP 2,103 4,122 4,154 32 

5/9/07 GBP 2,115 4,145 4,188 43 

5/9/07 GBP 1,300 2,547 2,574 27 

5/9/07 GBP 720 1,410 1,425 15 

5/9/07 GBP 417 817 826 9 

5/9/07 ISL 17,930 4,261 4,244 (17) 

5/9/07 JPY 1,602,365 13,649 13,315 (334) 

5/9/07 JPY 390,000 3,322 3,234 (88) 

5/9/07 MXN 7,050 630 642 12 

5/9/07 MXN 22,000 1,963 2,001 38 

5/9/07 MXN 26,475 2,362 2,404 42 

5/9/07 TRY 3,560 2,452 2,500 48 

5/9/07 TRY 7,529 5,186 5,200 14 

5/9/07 TRY 4,810 3,313 3,284 (29) 

5/9/07 ZAR 42,070 5,740 5,800 60 

$ (574) 

Net Unrealised Appreciation of Forward Foreign Currency Contracts $ 967 

AUD 

BRL 

CAD 

DKK 

EUR 

GBP 

HUF 

ILS 

JPY 

KRW 

MXN 





Danish Krone 

Euro 


Hungarian Forint 

Israeli Shekel 

Japanese Yen 

South Korean Won 

Mexican Peso 

160




Western Asset Global Multi Strategy Fund (as of February 28, 2007) – (continued) 

PHP Philippene Peso 


TRY Turkish Lira 



Brandywine Global Opportunities Bond Fund (as of February 28, 2007) 


Unrealised 

In 

Appreciation/ 



5/24/07 JPY 13,867,394 $ 118,367 $ 120,893 $ (2,526) 

5/24/07 JPY 968,703 8,268 8,100 168 

5/24/07 JPY 300,463 2,565 2,500 65 

5/25/07 JPY 80,186 685 699 (14) 

5/25/07 JPY 2,681,390 22,891 23,376 (485) 

5/25/07 JPY 562,018 4,797 4,653 144 

$ (2,648) 


Unrealised 

In 

Appreciation/ 



5/18/07 AUD 4,010 $ 3,153 $ 3,138 $ (15) 

5/18/07 AUD 72,309 56,853 56,763 (90) 

5/18/07 AUD 4,115 3,235 3,248 13 

3/23/07 EUR 2,470 3,266 3,257 (9) 

3/23/07 EUR 850 1,124 1,131 7 

3/23/07 EUR 4,400 5,818 5,854 36 

3/23/07 EUR 23,925 31,635 30,215 (1,420) 

5/25/07 EUR 17,544 23,260 23,376 116 

5/25/07 EUR 525 696 699 3 

5/25/07 EUR 3,570 4,732 4,653 (79) 

3/19/07 GBP 3,798 7,443 7,387 (56) 

3/19/07 GBP 8,397 16,456 16,370 (86) 

3/19/07 GBP 7,348 14,400 14,338 (62) 

3/19/07 GBP 1,800 3,528 3,533 5 

5/24/07 JPY 573,996 4,899 4,900 1 

5/18/07 NZD 24,442 17,028 16,755 (273) 

5/18/07 NZD 5,260 3,665 3,629 (36) 

$ (1,945) 

Net Unrealised Depreciation of Forward Foreign Currency Contracts $ (4,593) 

AUD 

EUR 

GBP 

JPY 

NZD 




Euro 


Japanese Yen 

New Zealand Dollar 


161



12. Significant Events 

Deepak Chowdhury resigned as Director of the Company on April 4, 2007 and was replaced by John Alldis as Director on the same date. 

On April 23, 2007 the following Funds, which were trading prior to April 23, 2007 received the subscriptions amounts disclosed below following an in-specie transfer from 

external funds: 

Class A (G) US$ Class A (G) US$ Class B (G) US$ Class B (G) US$ Class L (G) US$ Class L (G) US$ 

Distributing Accumulating Distributing Accumulating Distributing Accumulating 

Western Asset U.S. Money Market Fund $3,597,899,247 $ 11,136,971 $14,908,686 $ 2,719,160 $ 3,183,508 $ — 

Western Asset Diversified Strategic Income Bond Fund 11,387,706 2,299,716 31,244,596 17,477,194 6,492,313 1,343,429 

Western Asset U.S. High Yield Bond Fund 15,520,204 7,308,313 21,941,758 7,115,579 25,578,317 1,289,642 

Western Asset Emerging Markets Bond Fund 19,146,207 70,371,724 16,578,549 11,727,114 16,976,600 3,699,383 

Royce 100 Equity Fund — 8,264,733 — 5,234,392 — 4,664,445 

Batterymarch European Equity Fund — 35,195,181 — 27,362,621 — 6,322,745 

On April 23, 2007 the Funds listed below commenced trading. On the same date these Funds received the subscriptions amounts disclosed below following an in-specie 

transfer from external funds. 

Class A (G) US$ Class A (G) US$ Class B (G) US$ Class B (G) US$ Class L (G) US$ Class L (G) US$ 

Distributing Accumulating Distributing Accumulating Distributing Accumulating 

Western Asset Global High Yield Bond Fund $ 56,996,867 $141,344,005 $32,142,062 $ 25,562,028 $13,293,255 $ 6,222,967 

Western Asset U.S. Short-Term Government Income Fund 11,204,069 3,203,984 53,203,390 9,091,954 8,246,621 1,662,093 

Western Asset U.S. Adjustable Rate Income Fund 14,790,691 32,126,267 29,794,545 23,501,833 18,863,606 3,833,749 

Western Asset Investment Grade Total Return Bond Fund 4,040,979 1,692,297 12,545,921 9,190,346 8,372,699 3,646,261 

Western Asset Inflation Management Fund 615,625 2,175,431 2,788,001 3,104,597 2,641,952 752,044 

Batterymarch International Large Cap Fund — 7,457,357 — 34,927,398 — 15,650,797 

ClearBridge U.S. Appreciation Fund — 20,052,851 — 11,149,207 — 11,110,476 

ClearBridge U.S. Fundamental Value Fund — 168,249,245 — 116,061,324 — 48,483,436 

ClearBridge U.S. Large Cap Growth Fund — 52,828,692 — 25,897,364 — 21,855,947 

ClearBridge U.S. Aggressive Growth Fund — 183,032,342 — 67,427,572 — 47,164,379 

13. Segregated Liability 

The Company has adopted segregated liability between its Funds. This ensures that the liabilities incurred on behalf of a Fund will generally be discharged solely out of the 

assets of that Fund and there generally can be no recourse to the other Fund to satisfy those liabilities. Notwithstanding the foregoing there can be no assurance that, should 

an action be brought against the Company in the court of another jurisdiction, the segregated nature of the Funds would necessarily be upheld. 

14. Amendments to Prospectus 

The Financial Regulator approved the issue of a revised Prospectus for the Company on December 19, 2006. The material amendments to the Prospectus are summarised below: 

• Legg Mason Investments (Europe) Limited is appointed as Investment Manager in place of Legg Mason Fund Adviser, Inc. in respect of: 













Batterymarch U.S. Large Cap Fund 

Royce U.S. Small Cap Opportunity Fund 


• Legg Mason Capital Management, Inc. is appointed as Investment Manager in place of Legg Mason Funds Management, Inc. in respect of the Legg Mason Value Fund. 

• Legg Mason Capital Management, Inc. is appointed as Sub-Investment Manager of the Legg Mason Growth Fund, in place of Legg Mason Funds Management, Inc. 

• With the proposed addition of new share classes, the existing share classes of the Funds are renamed as follows: 

Current Name 

Class A (US$) 

Class A (Euro) 

Class B 

Class C 

New Name 

Class A US$ Distributing 

Class A Euro Distributing 

Class B US$ Distributing 


162



14. Amendments to Prospectus – (continued) 

• The following additional share classes are created: 

Class A US$ Accumulating 

Class A Euro Accumulating 

Class A SGD Distributing 

Class A SGD Accumulating 

LM Class US$ Distributing 

LM Class US$ Accumulating 

LM Class Euro Distributing 

LM Class Euro Accumulating 

Class A (G) US$ Distributing 

Class A (G) US$ Accumulating 

Class B (G) US$ Distributing 

Class B (G) US$ Accumulating 

Class L (G) US$ Distributing 

Class L (G) US$ Accumulating 

Premier Class US$ Distributing 

Premier Class Euro Distributing 

• The following new Funds, for which Legg Mason Investments (Europe) Limited will act as Investment Manager, are approved by the Financial Regulator: 




Western Asset Investment Grade Total Return 







Batterymarch Emerging Markets Equity Fund 

• The Prospectus is amended to permit cross investment between Funds; 

• The maximum Investment Management fee for the Class C Shares (renamed the Class C US$ Distributing Shares) is reduced by 25 basis points for the Fixed Income 

Funds (as defined in the prospectus) and by 50 basis points for each of the other existing Funds; 

• The section on directors’ remuneration is amended to provide that in any one year, including reimbursement from out of pocket expenses, directors remuneration 

shall not exceed US$250,000 per annum; 

• Brandywine Asset Management, LLC changed its name to Brandywine Global Investment Management, LLC in May 2006; 

• The following existing Funds are renamed: 

Batterymarch U.S. Large Cap Equity Fund is renamed Batterymarch U.S. Large Cap Fund. 

Royce U.S. Small Cap Equity Fund is renamed Royce U.S. Small Cap Fund. 

• The Prospectus is amended to reflect that settlement of a repurchase of shares for each Fund will normally be made within three business days by the Administrator if 

the correct repurchase documentation has been received by the Administrator. This was previously one business day; 

• An anti-dilution levy of up to 2% of subscriptions/redemptions may be payable on the subscriptions or redemptions exceeding 10% of a Fund’s net asset value 

on any Dealing Day. Such levies shall not apply to Shares that are acquired prior to the date of the new prospectus. 

15. Subsequent Events 

The Financial Regulator approved the issue of a supplemental prospectus for the Company on October 5, 2007. The material amendments to the Prospectus of the Company 

dated December 19, 2006 are as follows: 

• At its annual general meeting on August 22, 2007 the shareholders of the Company resolved to adopt segregated liability between Funds and to adopt a new 

memorandum and articles of association. 

• A revised list of Regulated Markets was added to schedule III of the Prospectus pursuant to the adoption of an amended Memorandum and Articles of Association 

at the Company’s annual general meeting. 

• A new Fund, namely the PCM U.S. Equity Fund, for which Private Capital Management, L.P. will act as sub-investment manager, was approved by the Financial 

Regulator. 

• New share classes were created and certain existing share classes re-designated as set out in the supplemental prospectus and as noted on the Irish Stock 

Exchange’s website. All relevant definitions and tables in the Prospectus were appropriately updated. 

• The Royce U.S. Small Cap Fund changed its name to the Royce U.S. Small Cap Opportunity Fund. 

• The minimum initial and subsequent subscriptions and the distribution policy of certain share classes and Funds were amended. 

• The risk factors section of the Prospectus was updated to include additional risks relating to “Investment Style Risk” and “Concentration Risk”. 

• The “Determination of Net Asset Value” section was updated to provide that derivative instruments not traded on an exchange shall be valued daily by the 

counterparty to such transaction and the value of these securities will be verified at least weekly by an independent party approved for the purpose by the Custodian. 

16. Approval of the Report 

The Board of Directors approved this Condensed Semi-Annual Report on October 16, 2007. 

163


Financial Information - Total Expense Ratios (TER) 

Ratio of Total Operating 


Expenses in CU(1) to average 


Fund daily net assets in CU(1)(2) 


For the Six Month Period Ended 


August 31, 2007** August 31, 2006** 

Western Asset U.S. Money Market Fund Class A US$ Distributing 0.73% 0.65% 

Class B US$ Distributing 1.18% 1.15% 

Class C US$ Distributing 1.43% 1.40% 

Class A US$ Accumulating 0.73% n/a 

Class A (G) US$ Distributing 0.73% n/a 

Class A (G) US$ Accumulating 0.73% n/a 

Class B (G) US$ Distributing 0.73% n/a 

Class B (G) US$ Accumulating 0.72% n/a 

Class L (G) US$ Distributing 0.73% n/a 

Western Asset U.S. Core Bond Fund Class A US$ Distributing 1.26% 1.36% 




Western Asset Euro Core Bond Fund Class A Euro Distributing 1.41% 1.42% 

Class A US$ Distributing 1.40% 1.42% 



Western Asset Diversified Strategic Income Bond Fund Class A US$ Distributing 1.42% 1.44% 









Class L (G) US$ Accumulating 1.86% n/a 

Western Asset Global Multi Strategy Fund Class A US$ Distributing 1.39% 1.43% 




Western Asset U.S. High Yield Bond Fund Class A US$ Distributing 1.47% 1.55% 










Western Asset Emerging Markets Bond Fund Class A US$ Distributing 1.83% 1.92% 










164


Financial Information - Total Expense Ratios (TER) - (continued) 









August 31, 2007** August 31, 2006** 

Western Asset Global High Yield Bond Fund Class A US$ Distributing 1.54% n/a 

Class B US$ Distributing 1.79% n/a 

Class C US$ Distributing 2.04% n/a 








Western Asset U.S. Short-Term Government Income Fund Class A US$ Distributing 1.35% n/a 










Western Asset U.S. Adjustable Rate Income Fund Class A US$ Distributing 1.40% n/a 










Western Asset Investment Grade Total Return Bond Fund Class A US$ Distributing 1.45% n/a 










Western Asset Inflation Management Fund Class A US$ Distributing 1.40% n/a 










165











August 31, 2007** August 31, 2006** 

Brandywine Global Opportunities Bond Fund Class A US$ Distributing 1.39% 1.43% 




Brandywine Global Equity Fund Class A US$ Distributing 1.90% n/a 




Legg Mason Value Fund Class A US$ Distributing 1.84% 1.87% 

Galleon Class 0.99% 1.02% 



Class A Euro Accumulating 1.84% n/a 


Class A SGD Accumulating 1.84% n/a 

Legg Mason Growth Fund Class A US$ Distributing 1.71% 1.75% 




ClearBridge U.S. Appreciation Fund Class A US$ Distributing 1.75% n/a 







ClearBridge U.S. Fundamental Value Fund Class A US$ Distributing 1.74% n/a 







ClearBridge U.S. Large Cap Growth Fund Class A US$ Distributing 1.75% n/a 







ClearBridge U.S. Aggressive Growth Fund Class A US$ Distributing 1.79% n/a 







166











August 31, 2007** August 31, 2006** 

Batterymarch European Equity Fund Class A Euro Distributing 1.87% 2.47% 



Class A US$ Distributing 1.87% 2.47% 






Batterymarch Pacific Equity Fund* Class A US$ Distributing 2.00% 2.07% 




Batterymarch International Large Cap Fund Class A US$ Distributing 1.90% n/a 







Royce U.S. Small Cap Opportunity Fund Class A US$ Distributing 1.99% 2.04% 





Royce 100 Equity Fund Class A US$ Distributing 2.03% 2.25% 







(1) CU = Currency units in the Fund's accounting currency. 

(2) The method of calculation of the Total Expense Ratio (TER) is described on the website of the Swiss Fund Association (SFA) (www.sfa.ch). 

* The Fund did not begin accruing an incentive fee until December 2005 and discontinued this fee effective March 31, 2006. 

** Annualised. 

167


Financial Information - Portfolio Turnover Rate (PTR) 

Ratio of Total 1 (1) less Total 2 (2) Ratio of Total 1 (1) less Total 2 (2) 

to average Fund daily net assets in CU (3) to average Fund daily net assets in CU (3) 

for the Twelve Months Ended August 31, 2007 for the Twelve Months Ended August 31, 2006 

Western Asset U.S. Money Market Fund 15.41 (3.31) 

Western Asset U.S. Core Bond Fund 12.63 11.69 

Western Asset Euro Core Bond Fund 2.27 0.67 

Western Asset Diversified Strategic Income Bond Fund 1.61 7.73 

Western Asset Global Multi Strategy Fund 1.49 5.28 

Western Asset U.S. High Yield Bond Fund 0.56 1.42 

Western Asset Emerging Markets Bond Fund 0.55 2.31 

Western Asset Global High Yield Bond Fund (0.60) n/a 

Western Asset U.S. Short-Term Government Income Fund 3.33 n/a 

Western Asset U.S. Adjustable Rate Income Fund 0.89 n/a 

Western Asset Investment Grade Total Return Bond Fund 0.90 n/a 

Western Asset Inflation Management Fund 0.09 n/a 

Brandywine Global Opportunities Bond Fund 0.97 0.71 

Brandywine Global Equity Fund 0.59 n/a 

Legg Mason Value Fund (0.48) (0.59) 

Legg Mason Growth Fund 0.16 (0.02) 

ClearBridge U.S. Appreciation Fund 0.09 n/a 

ClearBridge U.S. Fundamental Value Fund (0.03) n/a 

ClearBridge U.S. Large Cap Growth Fund (0.04) n/a 

ClearBridge U.S. Aggressive Growth Fund (0.24) n/a 

Batterymarch European Equity Fund 1.66 1.53 

Batterymarch Pacific Equity Fund 1.16 1.05 

Batterymarch International Large Cap Fund 0.60 n/a 

Royce U.S. Small Cap Opportunity Fund (0.74) (0.59) 

Royce 100 Equity Fund 0.60 0.01 

The method of calculation of the Portfolio Turnover Rates (PTR) is described on the website of the Swiss Fund Association (SFA) (www.sfa.ch). 

(1) Total 1 = Purchase of securities + sale of securities. 

(2) Total 2 = Subscription of shares + redemption of shares. 

(3) CU = Currency units in the Fund's accounting currency. 

168


Statement of Major Portfolio Changes 

For the six months ended August 31, 2007 

In accordance with the European Communities (Undertakings for Collective Investment in Transferable Securities) Regulations 2003 (as amended), a statement of largest 

changes in the composition of the Portfolio of Investments during the reporting period is provided to ensure that shareholders can identify changes in the investments held 

by each Fund. These are defined as the aggregate purchases and sales of an investment (including maturities but excluding repurchase agreements, overnight discount notes 

and time deposits, which are employed chiefly as a means of seeking to ensure efficient portfolio management) exceeding 1.00% of the total value of purchases and sales 

for the period. At a minimum the largest twenty purchases and sales are listed. If a Fund entered into less than twenty purchases or sales during the reporting period, then 

all transactions are presented. 


MAJOR PURCHASES COST MAJOR SALES PROCEEDS 

(in 000's) 

(in 000's) 

Brahms, 5.350% due 6/13/2007 100,000 Intesa Funding, 5.365% due 8/13/2007 175,000 

Catapult PMX, zero coupon due 7/19/2007 100,000 Brahms, 5.350% due 6/13/2007 100,015 

Mica, 5.350% due 6/13/2007 99,985 Catapult PMX, zero coupon due 7/19/2007 100,015 

Catapult PMX, 5.400% due 6/18/2007 99,955 Georgetown, 5.320% due 7/18/2007 100,000 

Bavaria, 5.290% due 7/2/2007 99,589 Bavaria, 5.290% due 7/2/2007 100,000 

Georgetown, 5.320% due 7/18/2007 99,557 Mica, 5.350% due 6/13/2007 100,000 

Catapult PMX, 5.360% due 6/6/2007 90,943 Catapult PMX, 5.400% due 6/18/2007 100,000 

Abbey National, zero coupon due 8/27/2007 89,908 Catapult PMX, 5.360% due 6/6/2007 90,957 

Catapult PMX, 5.430% due 6/15/2007 86,258 Abbey National, zero coupon due 8/27/2007 90,000 

Dexia Delaware, zero coupon due 8/14/2007 84,988 Catapult PMX, 5.430% due 6/15/2007 86,271 

Amsterdam Funding, 5.350% due 8/9/2007 83,923 Dexia Delaware, zero coupon due 8/14/2007 85,000 

Prudential Funding, zero coupon due 8/24/2007 79,989 Amsterdam Funding, 5.350% due 8/9/2007 83,935 

Harwood, 5.370% due 6/4/2007 79,574 Prudential Funding, zero coupon due 8/24/2007 80,000 

Calyon NY, 5.600% due 9/5/2007 75,000 Harwood, 5.370% due 6/4/2007 79,610 

Royal Bank of Canada, 5.400% due 9/24/2007 75,000 Aquinas, 5.245% due 7/18/2007 78,010 

Total Capital, zero coupon due 8/14/2007 74,989 Concord Minutemen, 5.320% due 7/6/2007 76,764 

Fenway, 5.300% due 5/3/2007 74,989 Polonius, Inc., 5.310% due 7/16/2007 75,000 

Catapult PMX, zero coupon due 7/18/2007 74,989 Foxboro, 5.360% due 6/19/2007 75,000 

Caixa General, 4.098% due 9/27/2007 74,989 Fenway, 5.300% due 5/3/2007 75,000 

Foxboro, 5.360% due 6/19/2007 74,989 Ebbets, 5.280% due 6/18/2007 75,000 



(in 000's) 

(in 000's) 

FNMA, 5.000% due 6/15/2037 20,795 FNMA, 5.000% due 6/15/2037 20,594 

FNMA, 30 Year May TBA, 5.000% due 5/15/2037 17,311 FNMA, 30 Year May TBA, 5.000% due 5/15/2037 17,291 

FNMA, 30 Year September TBA, 6.000% due 9/15/2034 14,312 FNMA, 30 Year April TBA, 5.000% due 4/15/2037 17,217 

FNMA, 30 Year April TBA, 5.000% due 4/15/2037 13,865 FNMA, 30 Year March TBA, 5.000% due 3/15/2037 13,862 


FNMA, 30 Year September TBA, 5.000% due 9/15/2037 12,878 FNMA, 30 Year June TBA, 5.500% due 6/15/2037 11,995 

FNMA, 30 Year September TBA, 5.500% due 9/15/2037 12,803 FNMA, zero coupon due 8/15/2037 11,932 

FNMA, 30 Year June TBA, 5.500% due 6/15/2037 12,157 FNMA, 5.500% due 7/15/2037 11,831 

FNMA, 5.500% due 7/15/2037 11,990 FNMA, zero coupon due 8/15/2037 11,747 

FNMA, 30 Year August TBA, 5.500% due 8/15/2037 11,826 Mica Funding, 5.330% due 7/17/2007 11,200 

FNMA, zero coupon due 8/15/2037 11,681 FNMA, 30 Year April TBA, 5.500% due 4/15/2037 11,078 

FNCL, 30 Year May TBA, 5.500% due 5/15/2037 11,075 FNCL, 30 Year May TBA, 5.500% due 5/15/2037 11,071 

FNMA, 30 Year August TBA, 6.000% due 8/15/2037 10,666 Concord Minutemen, 5.320% due 7/6/2007 11,000 

FNMA, 30 Year April TBA, 5.500% due 4/15/2037 10,328 Catapult, 5.380% due 7/17/2007 11,000 

FNMA, 30 Year July TBA, 6.000% due 7/15/2037 9,061 Ivory Funding, 5.340% due 7/17/2007 11,000 

FNMA, 30 Year May TBA, 6.000% due 5/15/2037 8,459 FNMA, 30 Year September TBA, 6.000% due 09/15/2034 10,757 

FNMA, 30 Year June TBA, 6.000% due 6/15/2037 8,459 FNMA, zero coupon due 8/15/2037 10,745 

FNMA, 30 Year April TBA, 6.000% due 4/15/2037 8,079 FNMA, 30 Year March TBA, 5.500% due 3/15/2037 10,329 

IXIS Corp. & Investment Bank, 5.270% due 10/25/2007 7,300 FNMA, 30 Year September TBA, 5.000% due 9/15/2037 10,279 

Dresdner Bank, 5.300% due 9/4/2007 6,600 FNMA, 30 Year September TBA, 5.500% due 9/15/2037 10,107 

Mica Funding, 5.300% due 8/10/2007 6,100 FNMA, 30 Year July TBA, 6.000% due 7/15/2037 8,988 

Mitten Cp, 5.350% due 7/20/2007 6,000 FNMA, 30 Year May TBA, 6.000% due 5/15/2037 8,461 

Fortis Bank NY, 5.270% due 7/31/2007 6,000 FNMA, 6.000% due 6/15/2037 8,377 

Ottimo Funding Ltd., 5.220% due 7/5/2007 5,500 FNMA, 30 Year March TBA, 6.000% due 3/15/2037 8,080 

Royal Bank of Scotland, 5.330% due 7/10/2007 5,500 FNMA, 30 Year April TBA, 6.000% due 4/15/2037 8,060 

E.ON AG, 5.777% due 9/11/2007 5,500 FNMA, 5.000% due 6/15/2022 4,335 

Caja Madrid, 5.771% due 9/17/2007 5,500 

Chesham Finance LLC, 5.320% due 9/5/2007 5,500 

Fortis Bank, 5.330% due 11/2/2007 5,500 

ANZ International, 5.420% due 8/6/2007 5,500 

Bank Of America, 4.987% due 5/1/2008 5,500 

IIB Bank plc, 5.420% due 8/6/2007 5,500 

Toyota Motor, 4.990% due 5/2/2008 5,500 

169


Statement of Major Portfolio Changes - (continued) 




(in 000's) 

(in 000's) 

FNMA, 30 Year April TBA, 5.000% due 4/15/2037 1,185 France Government Bond OAT, 5.000% due 10/25/2011 1,482 

FNMA, 5.000% due 7/15/2037 1,104 Bundesobligation, Series 145, 3.500% due 10/9/2009 1,191 

FNMA, 30 Year October TBA, 5.000% due 10/15/2037 842 FNMA, 30 Year March TBA, 5.000% due 3/15/2037 1,184 

FNMA, 30 Year September TBA, 5.000% due 9/15/2037 822 FNMA, 30 Year April TBA, 5.000% due 4/15/2037 1,170 

FNMA, 30 Year September TBA, 6.000% due 9/15/2034 665 FNMA, 5.000% due 7/15/2037 1,112 

Bundesrepublic Deutschland, Series 03, 4.500% due 1/4/2013 588 Bundesrepublic Deutschland, Series 04, 3.750% due 1/4/2015 1,080 

FNMA, 30 Year May TBA, 5.000% due 5/15/2037 578 FNMA, 30 Year September TBA, 5.000% due 9/15/2037 842 

FNMA, 30 Year June TBA, 5.000% due 6/15/2037 569 France Government Bond OAT, 3.750% due 4/25/2017 626 

FNMA, 5.000% due 5/1/2037 407 FNMA, 30 Year May TBA, 5.000% due 5/15/2037 569 

GMAC LLC, 8.000% due 11/1/2031 352 FNMA, 5.000% due 6/15/2037 559 

France Government Bond OAT, 3.750% due 4/25/2017 212 Bundesrepublic Deutschland, Series 03, 4.500% due 1/4/2013 414 

Commerzbank Capital Funding Trust I, 5.012% due 12/31/2049 186 Bundesrepublic Deutschland, Series 03, 4.250% due 1/4/2014 413 

Poland Government Bond, Series 0922, 5.750% due 9/23/2022 163 FNMA, 5.000% due 5/1/2037 403 

Deutsche Postbank Funding Trust IV, 5.983% due 6/29/2049 150 Bundesrepublic Deutschland, Series 94, 6.250% due 1/4/2024 399 

The Goldman Sachs Group, Inc., 4.750% due 10/12/2021 146 France Government Bond OAT, 4.750% due 4/25/2035 354 

FNMA, 5.000% due 5/1/2037 145 Realkredit Danmark A/S, Series 23D, 4.000% due 10/1/2035 349 

Muenchener Rueckversicherungs AG, 5.767% due 6/29/2049 99 GMAC LLC, 4.750% due 9/14/2009 206 

HSBK Europe BV, 7.250% due 5/3/2017 87 UBS Preferred Funding Jersey Ltd., 4.280% due 4/15/2045 195 

ABN Amro Bank NV, 4.310% due 12/31/2049 82 FNMA, 5.000% due 5/1/2037 143 

Stora Enso Oyj, 5.125% due 6/23/2014 76 Telefonica Emisiones SAU, Series EMTN, 5.375% due 2/2/2018 134 



(in 000's) 

(in 000's) 


FNMA, 6.500% due 5/15/2037 5,102 U.S. Treasury Inflation Indexed Bond, 0.875% due 4/15/2010 7,546 

FNMA, 5.500% due 5/15/2022 4,306 Poland Government Bond, Series 1110, 6.000% due 11/24/2010 5,928 



Hungary Government Bond, 5.500% due 2/12/2014 2,910 FNMA, 4.840% due 6/22/2007 4,200 

U.S. Treasury Inflation Indexed Bond, 3.875% due 4/15/2029 2,761 FNMA, 5.500% due 3/1/2037 3,925 

FNMA, 5.500% due 3/1/2037 2,485 U.S. Treasury Note, 3.625% due 6/15/2010 3,781 

FNMA, 30 Year May TBA, 6.000% due 5/15/2037 2,115 U.S. Treasury Note, 6.250% due 5/15/2030 2,866 

FNMA, 6.500% due 3/1/2037 1,910 Republic of South Africa, Series R201, 8.750% due 12/21/2014 2,298 

Israel Government Bond-Shahar, 6.500% due 1/31/2016 1,861 FNMA, 30 Year May TBA, 6.000% due 5/15/2037 2,115 

CDX North America High Yield, 7.625% due 6/29/2012 1,854 United Kingdom Gilt, 4.250% due 3/7/2011 1,961 

U.S. Treasury Inflation Indexed Bond, 3.000% due 7/15/2012 1,802 Mexican Bonos, Series MI10, 8.000% due 12/19/2013 1,892 

Australia Government Bond, 5.250% due 3/15/2019 1,623 Nykredit Realkredit A/S, 4.000% due 10/1/2038 1,833 

Mexican Bonos, Series MI10, 8.000% due 12/19/2013 1,395 U.S. Treasury Inflation Indexed Bond, 4.250% due 1/15/2010 1,754 

FNMA, 5.000% due 5/1/2037 966 Australia Government Bond, Series 112, 5.250% due 3/15/2019 1,690 

FNMA, 5.000% due 5/1/2037 966 Time Warner, Inc., 6.150% due 5/1/2007 1,320 

FNMA, 5.000% due 2/1/2037 966 U.S. Treasury Inflation Indexed Bond, 2.375% due 4/15/2011 1,060 

FNMA, 5.000% due 3/1/2037 966 GMAC LLC, 6.125% due 8/28/2007 980 

FNMA, 5.000% due 2/1/2037 966 FNMA, 5.000% due 5/1/2037 932 

FNMA, 5.000% due 3/1/2037 966 FNMA, 5.000% due 5/1/2037 930 

FNMA, 5.000% due 2/1/2037 966 

FNMA, 5.000% due 1/1/2037 966 

FNMA, 5.000% due 1/1/2037 966 

FNMA, 5.000% due 12/1/2037 966 

FNMA, 5.000% due 4/1/2037 966 

FNMA, 5.000% due 3/1/2037 966 

170






(in 000's) 

(in 000's) 

U.S. Treasury Note, 4.500% due 3/31/2012 9,812 U.S. Treasury Inflation Indexed Bond, 0.875% due 4/15/2010 17,805 

U.S. Treasury Inflation Indexed Bond, 3.000% due 7/15/2012 8,032 U.S. Treasury Note, 4.375% due 3/31/2012 10,068 

CDX North America High Yield, 7.625% due 6/29/2012 7,952 Otc Egyptian T-Bill Jpm, zero coupon due 7/24/2007 7,652 

U.S. Treasury Inflation Indexed Bond, 3.875% due 4/15/2029 7,541 FNMA, 5.500% due 3/1/2037 7,336 

FNMA, 5.500% due 3/1/2037 7,456 Otc Egyptian T-Bill Cln, zero coupon due 5/8/2007 7,331 

FNMA, 5.500% due 12/1/2037 7,329 Otc Brazil Lnk Jpm, zero coupon due 7/2/2007 6,046 

Banco Bilbao, 5.315% due 10/29/2007 6,700 Rabobank, 5.700% due 5/30/2007 5,767 

Australia Government Bond, 5.250% due 3/15/2019 4,446 U.S. Treasury Note, 6.250% due 5/15/2030 4,775 

Otc Igb Linked Note (Jpm), 8.070% due 5/31/2010 4,310 Australia Government Bond, Series 112, 5.250% due 3/15/2019 4,629 

FHLMC, 5.500% due 12/1/2036 4,025 Republic of South Africa, Series R201, 8.750% due 12/21/2014 4,576 

Hungary Government Bond, 5.500% due 2/12/2014 3,931 Russian Federation, 5.000% due 3/31/2030 4,382 

Hungary Government Bond, 6.750% due 2/24/2017 3,841 Mexican Bonos, Series MI10, 8.000% due 12/19/2013 4,058 

Otc Brazil (Jpm), 9.810% due 7/1/2010 3,810 Turkey Government Bond, zero coupon due 7/16/2008 4,040 

Turkey Government Bond, 14.000% due 1/19/2011 3,637 Bank Nederlandse Gemeenten, 1.850% due 11/7/2016 3,295 

Otc Igb Linked Note (Jpm), 8.070% due 6/11/2010 3,432 U.S. Treasury Inflation Indexed Note, 3.625% due 1/15/2008 3,174 

Depfa Bank, 5.897% due 11/9/2007 3,200 U.S. Treasury Bond, 4.750% due 2/15/2037 2,769 

Citibond U.S. High Yield fund, Class M 3,000 U.S. Treasury Bond, 4.500% due 2/15/2036 2,527 

Rabobank, 5.700% due 5/30/2007 2,884 Dexia Municipal Agency, Series B, 1.550% due 10/31/2013 2,042 

KFW, 2.050% due 2/16/2026 2,465 U.S. Treasury Note, 4.125% due 8/15/2010 2,004 

U.S. Treasury Bond, 4.750% due 2/15/2037 2,452 Tyco International Group S.A., 6.500% due 11/21/2031 1,993 

Republic of Turkey, 6.875% due 3/17/2036 2,380 Republic of Brazil, 11.000% due 8/17/2040 1,964 

General Motors Corp., 8.375% due 7/5/2033 2,157 GMAC LLC, 6.125% due 8/28/2007 1,660 

Israel Government Bond-Shahar, 6.500% due 1/31/2016 1,868 

Residential Capital LLC, 5.125% due 

5/17/2012 1,819 

Republic of Brazil, 11.000% due 8/17/2040 1,730 



(in 000's) 

(in 000's) 

U.S. Treasury Note, 4.750% due 5/31/2012 1,179 Brahms Funding, 5.370% due 6/26/2007 2,200 

HCA, Inc., 9.625% due 11/15/2016 1,090 Foxboro, 5.450% due 6/28/2007 1,600 

Community Health Systems, Inc., 8.875% due 7/15/2015 973 OMI Corp., 7.625% due 12/1/2013 1,317 

Dynegy Holdings, Inc., 7.750% due 6/1/2019 920 U.S. Treasury Note, 4.750% due 5/31/2012 1,188 

DAE Aviation Holdings, Inc., 11.250% due 8/1/2015 877 Freeport-McMoran Copper & Gold, Inc., 8.375% due 4/1/2017 860 

St. Acquisition Corp., 12.500% due 5/15/2017 850 Primedia, Inc., 8.875% due 5/15/2011 836 

Freeport-McMoran Copper & Gold, Inc., 8.375% due 4/1/2017 670 Hawaiian Telcom Communications, Inc., Series B, 12.500% due 

Royal Bank of Scotland, 5.330% due 7/10/2007 550 5/1/2015 818 

ANZ International, 4.179% due 10/19/2007 550 Affinion Group, Inc., 10.125% due 10/15/2013 755 

IXIS Corp. & Investment Bank, 4.176% due 10/25/2007 550 Psychiatric Solutions, 10.625% due 6/15/2013 735 

Verasun Energy Corp., 9.375% due 6/1/2017 550 Ameripath, Inc., 10.500% due 4/1/2013 720 

Realogy Corp., 2.375% due 4/15/2015 545 Cincinnati Bell, Inc., 7.000% due 2/15/2015 712 

TL Acquisitions, Inc., 10.500% due 1/15/2015 543 Crum & Forster Holdings Corp., 10.375% due 6/15/2013 712 

Echostar DBS Corp., 7.125% due 2/1/2016 541 AES Corp., 7.750% due 3/1/2014 684 

Dollar General Corp., 10.625% due 7/15/2015 500 Intelsat Bermuda Ltd., 8.872% due 1/15/2015 683 

Hertz Corp., 10.500% due 1/1/2016 481 Sealy Mattresso Co., 8.250% due 6/15/2014 672 

U.S. Oncology Holdings, Inc., 9.794% due 3/15/2012 477 Genesis Health, 8.000% due 10/15/2013 639 

Noranda Aluminium Holding Corp., 11.146% due 11/15/2014 453 Rainbow National Services LLC 634 

TL Acquisitions, Inc., zero coupon due 7/15/2015 434 HCA, Inc., 7.500% due 11/15/2095 627 

Residential Capital LLC, 7.500% due 6/1/2012 420 ION Media Networks, Inc. 602 

Dollar General Corp., 11.875% due 7/15/2017 418 Education Management LLC 10.250% due 6/1/2016 572 

Stone Energy Corp., 8.250% due 12/15/2011 417 United Airlines, Inc., Series 002, zero coupon due 10/1/2009 572 

Level 3 Financing, Inc., 9.250% due 11/1/2014 394 Nutro Products, Inc., 10.750% due 4/15/2014 533 

AmeriCredit Corp., 8.500% due 7/1/2015 385 AMC Entertainment, Inc., 11.000% due 2/1/2016 513 

Petroplus Finance Ltd, 7.000% due 5/1/2017 383 Smurfit-Stone Container Enterprises, Inc., 8.000% due 3/15/2017 438 

Edison Mission Energy, 7.625% due 5/15/2027 370 

Associated Materials, Inc., zero coupon due 3/1/2014 359 

171






(in 000's) 

(in 000's) 

Brazil Notas do Tesouro Nacional, Series F, 9.810% due Republic of Brazil, 8.000% due 1/15/2018 8,774 

7/1/2010 6,168 Russian Federation, 7.500% due 3/31/2030 7,309 

Ptrozuata Finance, Inc., 8.220% due 4/1/2017 4,350 Petrozuata Finance, Inc., 8.220% due 4/1/2017 4,371 

Russian Federation, 5.000% due 3/31/2030 4,258 Bank Negara Malaysia Monetary Note, zero coupon due 8/9/2007 3,369 

Republic of Turkey, 11.875% due 1/15/2030 3,634 Republic of Panama, 9.375% due 4/1/2029 3,195 

Malaysia Treasury Bill, zero coupon due 11/2/2007 3,027 Bank Negara Malaysia Monetary Notes, zero coupon due 

Republic of Venezuela, 5.750% due 2/26/2016 2,126 7/12/2007 3,023 

Brazil Notas do Tesouro Nacional, 11.436% due 5/15/2045 1,941 Bank Negara Malaysia Monetary Note, zero coupon due 8/9/2007 2,986 

Bank Negara Malaysia Monetary Note, zero coupon due 8/9/2007 1,672 Mexico Government Bond, 5.625% due 1/15/2017 2,710 

Lukoil International Finance Bv, 6.656% due 6/7/2022 1,613 Republic of Uruguay, 7.875% due 1/15/2033 2,219 

Turkey Government Bond, 14.000% due 1/19/2011 1,611 Republic of Venezuela, 5.750% due 2/26/2016 2,094 

Republic of Venezuela, 9.375% due 1/13/2034 1,593 True Move Co. Ltd., 10.750% due 12/16/2013 1,438 

Indonesia Treasury Bond, 10.250% due 7/15/2022 1,484 Republic of South Africa, 6.500% due 6/2/2014 1,435 

Bank Negara Malaysia Monetary Note, zero coupon due 8/9/2007 1,480 TNK-BP Finance S.A., 7.500% due 7/18/2016 1,349 

True Move Co. Ltd., 10.750% due 12/16/2013 1,314 Telefonos de Mexico S.A., 8.750% due 1/31/2016 1,328 

TNK-BP Finance S.A., 7.500% due 7/18/2016 1,307 MMG Fiduciary Trust (AES El Salvador Trust), 6.750% 

Republic of Turkey, 6.875% due 3/17/2036 1,128 due 2/1/2016 1,260 

Indonesia Treasury Bond, 9.750% due 5/15/2037 1,059 Mexico Government Bond, 8.125% due 12/30/2019 1,186 

True Move Co. Ltd., 10.375% due 8/1/2014 968 Egypt Treasury Bill, Series 364, zero coupon due 10/30/2007 1,133 

Indonesia Treasury Bond, 10.250% due 7/15/2027 913 Enersis S.A., 7.375% due 1/15/2014 1,063 

RSHB Capital S.A. for OJSC Russian Agricultural Bank, Republic of Colombia, 7.375% due 9/18/2037 1,024 

6.299% due 5/15/2017 862 Enersis S.A., 7.400% due 12/1/2016 992 

Globo Communicacoes e Participacoes S.A., 7.250% due Egypt Treasury Bills, Series 364, zero coupon due 4/3/2007 950 

4/26/2022 850 RSHB Capital S.A. for OJSC Russian Agricultural Bank, 7.175% 

Republic of Panama, 6.700% due 1/26/2036 648 due 5/16/2013 861 

UBS Luxembourg S.A. for OJSC Vimpel Communications, Republic of Brazil, 8.750% due 2/4/2025 768 

8.250% due 5/23/2016 557 Republic of Brazil, 11.000% due 8/17/2040 738 

HSBK Europe BV, 7.250% due 5/3/2017 526 Penerbangan Malaysia Bhd, 5.625% due 3/15/2016 688 

Bank Negara Malaysia Monetary Notes, zero coupon 

due 6/8/2007 655 



(in 000's) 

(in 000's) 

FNMA, 30 Year July TBA, 6.000% due 7/15/2037 10,654 FNMA, 30 Year July TBA, 6.000% due 7/15/2037 10,654 

Belmont Funding, 5.310% due 7/19/2007 6,700 El Paso Corp., 7.750% due 1/15/2032 2,249 

HCA, Inc., 9.625% due 11/15/2016 2,303 FNMA, 6.000% due 7/1/2037 1,977 

FNMA, 6.000% due 7/1/2037 1,974 Triad Hospitals, Inc., 7.000% due 11/15/2013 1,862 

Community Health Systems, Inc., 8.875% due 7/15/2015 1,658 DEX Media, 9.875% due 8/15/2013 1,714 

Brazil Notas do Tesouro Nacional, Series F, 9.810% Genesis Health, 8.000% due 10/15/2013 1,652 

due 7/1/2010 1,593 Republic of Brazil, 8.000% due 1/15/2018 1,564 

St. Acquisition Corp., 12.500% due 5/15/2017 1,504 HCA, Inc., 6.500% due 2/15/2016 1,533 

Associated Materials, Inc., zero coupon due 3/1/2014 1,080 Ameripath, Inc., 10.500% due 4/1/2013 1,482 

HSBK Europe BV, 7.250% due 5/3/2017 1,044 Crum & Forster Holdings Corp., 10.375% due 6/15/2013 1,462 

FNMA, 6.000% due 7/1/2037 986 Hawaiian Telcom Communications, Inc., Series B, 12.500% due 

FNMA, 6.000% due 6/1/2037 986 5/1/2015 1,396 

Noranda Aluminium Holding Corp., 11.146% due 11/15/2014 952 Mirant Americas Generation LLC, 8.300% due 5/1/2011 1,356 

TL Acquisitions, Inc., 10.500% due 1/15/2015 928 AMC Entertainment, Inc., 11.000% due 2/1/2016 1,355 

Education Management LLC, Metals USA Holdings Corp., 11.360% due 1/15/2012 1,306 

8.750% due 6/1/2014 873 NRG Energy, Inc., 7.375% due 2/1/2016 1,253 

Residential Capital LLC, 7.500% due 6/1/2012 844 Tenet Healthcare Corp., 9.875% due 7/1/2014 1,252 

Dollar General Corp., 10.625% due 7/15/2015 843 Interface, Inc., 9.500% due 2/1/2014 1,231 

Level 3 Financing, Inc., 9.250% due 11/1/2014 807 Bank Negara Malaysia Monetary Notes, zero coupon due 

AmeriCredit Corp., 8.500% due 7/1/2015 791 7/12/2007 1,155 

U.S. Oncology Holdings, Inc., 9.797% due 3/15/2012 772 Associated Materials, Inc., 9.750% due 4/15/2012 1,132 

HCA, Inc., 6.375% due 1/15/2015 752 GMAC LLC, 8.000% due 11/1/2031 1,104 

AES Corp., 9.375% due 9/15/2010 1,102 

172




Western Asset Global High Yield Bond Fund (continued) 


(in 000's) 

(in 000's) 

Realogy Corp., 2.375% due 4/15/2015 750 HCA, Inc., 7.500% due 11/15/2095 1,096 

Dollar General Corp., 11.875% due 7/15/2017 740 Ford Motor Credit Co. LLC, 10.605% due 6/15/2011 1,091 

TL Acquisitions, Inc., zero coupon due 7/15/2015 737 UGS Capital Corp. II, 10.348% due 6/1/2011 1,057 

Dynegy Holdings, Inc., 7.750% due 6/1/2019 690 Primedia, Inc., 8.875% due 5/15/2011 1,003 

True Move Co. Ltd., 10.750% due 12/16/2013 681 FNMA, 6.000% due 7/1/2037 988 

FNMA, 6.000% due 6/1/2037 988 

Republic of Brazil, 11.000% due 8/17/2040 975 

Mueller Holdings, Inc., zero coupon due 4/15/2014 934 

Rogers Cable, Inc., 8.750% due 5/1/2032 909 



(in 000's) 

(in 000's) 

FNMA, 30 Year September TBA, 5.500% due 9/15/2037 9,313 U.S. Treasury Bond, 4.750% due 12/31/2008 9,149 

U.S. Treasury Note, 4.500% due 3/31/2009 7,958 U.S. Treasury Bond, 3.125% due 4/15/2009 7,770 

U.S. Treasury Bond, 3.125% due 4/15/2009 7,752 GNR, 6.000% due 10/16/2014 6,982 




FNMA, 30 Year September TBA, 5.000% due 9/15/2037 6,649 FNMA, 5.000% due 7/15/2037 6,624 

FNMA, 30 Year January TBA, 5.000% due 8/1/2033 6,623 U.S. Treasury Bond, 5.000% due 7/31/2008 6,488 

GNMA, 6.000% due 5/15/2037 5,977 GNMA, 6.000% due 5/15/2037 5,978 

FNMA, 30 Year June TBA, 5.500% due 6/15/2037 5,240 FNMA, 30 Year June TBA, 5.500% due 6/15/2037 5,160 


FNMA, 30 Year August TBA, 5.500% due 8/15/2037 5,110 FNMA, 5.500% due 7/15/2037 5,111 

GNMA, 6.000% due 6/15/2037 4,457 FNCL, 30 Year May TBA, 5.500% due 5/15/2037 4,450 

FNCL, 30 Year May TBA, 5.500% due 5/15/2037 4,447 GNMA, zero coupon due 8/15/2037 4,414 

GNMA, zero coupon due 9/15/2037 4,412 GNMA, 30 Year June TBA, 6.000% due 6/15/2037 4,404 

GNMA, 6.000% due 7/15/2037 4,401 GNMA, 6.000% due 7/15/2037 4,363 

GNMA, 6.000% due 8/15/2037 4,359 FNMA, zero coupon due 8/15/2037 3,531 

U.S. Treasury Note, 3.625% due 7/15/2009 3,853 FNMA, 30 Year July TBA, 6.000% due 7/15/2037 3,510 

FNMA, 30 Year September TBA, 6.000% due 9/15/2037 3,530 U.S. Treasury Bond, 3.375% due 10/15/2009 3,454 

FNMA, 30 Year July TBA, 6.000% due 7/15/2037 3,525 FNMA, 5.000% due 6/15/2022 2,955 

FNMA, 30 Year August TBA, 6.000% due 8/15/2037 3,507 FNMA, 5.500% due 5/15/2022 2,701 

FNMA, 5.000% due 6/15/2022 2,955 FNMA, 15 Year August TBA, zero coupon due 8/15/2022 2,675 





FNMA, 5.500% due 8/15/2022 2,654 GNR, 5.500% due 5/20/2009 1,984 



FNMA, 5.500% due 10/15/3037 1,693 FNGT, 6.107% due 8/25/2043 1,798 


FNMA, 5.000% due 5/15/2022 1,476 

173






(in 000's) 

(in 000's) 

FNMA, 30 Year September TBA, 6.000% due 9/15/2037 13,824 FNMA, zero coupon due 8/15/2037 13,830 

FNMA, 30 Year August TBA, 6.000% due 8/15/2037 13,727 FNMA, 30 Year July TBA, 6.000% due 7/15/2037 11,562 

FNMA, 30 Year July TBA, 6.000% due 7/15/2037 11,505 FNMA, zero coupon due 8/15/2037 4,501 

FNMA, zero coupon due 8/15/2037 4,494 FNMA, zero coupon due 9/15/2037 3,801 

U.S. Treasury Inflation Indexed Note, 2.375% due 1/15/2017 3,682 U.S. Treasury Inflation Indexed Note, 2.375% due 1/15/2017 3,797 

FNMA, 30 Year September TBA, 5.500% due 9/15/2037 3,298 FNMA, 30 Year May TBA, 5.000% due 5/15/2037 3,090 

Morgan Stanley, 5.483% due 8/8/2007 3,200 U.S. Treasury Inflation Indexed Bond, 2.375% due 4/15/2011 3,085 

Morgan Stanley, 5.483% due 8/9/2007 3,200 FNMA, 5.000% due 6/15/2037 3,038 

FNMA, 30 Year May TBA, 5.000% due 5/15/2037 3,091 FNMA, 5.000% due 7/15/2037 2,998 

FNMA, 30 Year June TBA, 5.000% due 6/15/2037 3,090 FNMA, zero coupon due 8/15/2037 2,909 


FNMA, 30 Year October TBA, 6.000% due 10/15/2037 3,003 Business Loan Express, 5.970% due 7/20/2027 2,051 

FNMA, zero coupon due 8/15/2037 2,900 Thornburg Mortgage Securities Trust, 5.775% due 10/25/2035 1,414 

Landsebank Baden-Wurtt, 5.750% due 10/4/2007 2,500 U.S. Treasury Inflation Indexed Bond, 2.500% due 7/15/2016 1,235 

FNMA, 5.500% due 10/15/3037 2,349 GMAC Mortgage Corp. Loan Trust, 5.715% due 11/25/2036 996 

Beethoven Funding, 5.280% due 9/17/2007 1,700 FHLMC Non Gold, 3.949% due 7/1/2033 874 

Countrywide Alternative Loan Trust, 5.733% due 12/20/2046 1,570 FNMA, zero coupon due 6/25/2007 800 

Harborview Mortgage Loan Trust, Series 2006-7, Class 2A1A, FNMA, 5.000% due 4/1/2037 753 

5.520% due 10/19/2037 1,525 The Goldman Sachs Group, Inc., 5.540% due 2/6/2012 700 

FNMA, 30 Year September TBA, 5.000% due 9/15/2037 1,503 FNMA, 5.000% due 7/1/2037 375 

Residential Accredit Loans, Inc., 5.710% due 9/25/2046 1,200 

Washington Mutual Mortgage Pass Through Certificate, 

6.315% due 7/25/2047 1,058 

Washington Mutual Mortgage Pass Through Certificate, 

6.275% due 5/25/2047 774 

FNMA, 5.000% due 4/1/2037 756 

Countrywide Alternative Loan Trust, 5.755% due 6/25/2037 700 



(in 000's) 

(in 000's) 

Landsebank Baden-Wurtt, 5.190% due 8/31/2007 6,300 U.S. Treasury Bond, 4.750% due 2/15/2037 3,660 

Alliance & Leicester PLC, 4.253% due 11/8/2007 3,500 U.S. Treasury Note, 4.500% due 4/30/2012 2,436 

ANZ International, 4.179% due 10/19/2007 3,400 U.S. Treasury Bond, zero coupon due 11/15/2021 1,949 

Depfa Bank, 5.897% due 11/9/2007 3,400 U.S. Treasury Bond, 4.500% due 2/15/2036 1,913 

U.S. Treasury Note, 4.500% due 4/30/2012 2,928 FNMA, 30 Year May TBA, 5.000% due 5/15/2037 1,642 

Beethoven Funding, 5.280% due 9/17/2007 2,900 FNMA, zero coupon due 9/15/2037 1,428 

Morgan Stanley, 5.420% due 6/20/2007 2,700 FNMA, 5.000% due 6/15/2037 1,419 

U.S. Treasury Bond, zero coupon due 2/15/2036 1,108 FNMA, zero coupon due 8/15/2037 1,414 

E.ON AG, 5.777% due 9/11/2007 2,700 FNMA, 5.000% due 7/15/2037 1,407 

Morgan Stanley, 5.420% due 7/11/2007 2,600 Wal-Mart Stores, Inc., 4.125% due 2/15/2011 717 

U.S. Treasury Bond, 4.750% due 2/15/2037 2,349 FNMA, 30 Year May TBA, 6.000% due 5/15/2037 705 

FNMA, 30 Year May TBA, 5.000% due 5/15/2037 1,641 FNMA, 6.000% due 6/15/2037 698 

FNMA, 30 Year June TBA, 5.000% due 6/15/2037 1,449 FNMA, zero coupon due 8/15/2037 696 

FNMA, zero coupon due 10/15/2037 1,429 FNMA, 30 Year July TBA, 6.000% due 7/15/2037 692 

FNMA, 5.000% due 7/15/2037 1,419 GMAC LLC, 7.750% due 1/19/2010 636 

FNMA, 30 Year September TBA, 5.000% due 9/15/2037 1,414 U.S. Treasury Bond, 4.625% due 2/29/2012 362 

FNMA, 30 Year January TBA, 5.000% due 8/1/2033 1,407 U.S. Treasury Bond, zero coupon due 11/15/2022 339 

U.S. Treasury Bond, 4.500% due 2/15/2036 1,125 FNMA, zero coupon due 9/15/2037 200 

FNMA Principal Strip, due 11/15/2030 752 Dominion Resources, Inc., 6.750% due 12/15/2032 192 

Kreditanstalt fuer Wiederaufbau, due 6/29/2037 750 

State of Illinois, 5.100% due 6/1/2033 729 

FNMA, 30 Year June TBA, 6.000% due 6/15/2037 705 

FNMA, 30 Year May TBA, 6.000% due 5/15/2037 705 

FNMA, 30 Year July TBA, 6.000% due 7/15/2037 697 

FNMA, 30 Year September TBA, 6.000% due 9/15/2037 696 

FNMA, 30 Year August TBA, 6.000% due 8/15/2037 692 

174






(in 000's) 

(in 000's) 

FNMA, 30 Year September TBA, 6.000% due 9/15/2037 398 U.S. Treasury Inflation Indexed Bond, 3.875% due 1/15/2009 848 

FNMA, 30 Year August TBA, 6.000% due 8/15/2037 395 U.S. Treasury Inflation Indexed Bond, 2.375% due 1/15/2025 656 

FNMA, 30 Year July TBA, 6.000% due 7/15/2037 99 FNMA, zero coupon due 8/15/2037 398 

FNMA, 30 Year September TBA, 5.000% due 9/15/2037 94 U.S. Treasury Inflation Indexed Bond, 3.000% due 7/15/2012 286 

FNMA, 30 Year January TBA, 5.000% due 8/1/2033 94 U.S. Treasury Inflation Indexed Bond, 1.625% due 1/15/2015 149 

Residential Capital LLC, 6.000% due 2/22/2011 50 U.S. Treasury Inflation Indexed Bond, 2.500% due 7/15/2016 145 

U.S. Treasury Inflation Indexed Bond, 2.000% due 1/15/2026 120 


FNMA, 30 Year July TBA, 6.000% due 7/15/2037 99 

FNMA, zero coupon due 8/15/2037 94 



Structured Asset Securities Corp., Series 1998-3 M1, 6.320% 27 

due 3/25/2028 


U.S. Treasury Inflationary Index Bond, 2.375% due 1/15/2027 10 

SACO I, Inc., 5.705% due 4/25/2035 6 

Renaissance Home Equity Loan Trust, 7.405% due 3/25/2034 4 



(in 000's) 

(in 000's) 

U.S. Treasury Bond, 5.375% due 2/15/2031 87,330 U.S. Treasury Bond, 6.125% due 11/15/2027 87,751 

Republic of Poland, 5.750% due 6/24/2008 43,312 U.S. Treasury Bond, 5.375% due 2/15/2031 48,765 

FNMA, 6.000% due 4/18/2036 24,565 U.S. Treasury Bond, 5.250% due 2/15/2029 24,786 

Republic of South Africa, 13.000% due 8/31/2010 20,248 Poland Government Bond, 6.250% due 10/24/2015 23,910 

Norway Government Bond, 5.500% due 5/15/2009 16,093 Poland Government Bond, 5.750% due 9/23/2022 23,483 

Wells Fargo Mortgage Backed Securities Trust, 6.000% Republic of South Africa, Series R157, 13.500% due 9/15/2015 20,838 

due 8/1/2037 13,298 Bundesrepublic Deutschland, Series 00, 5.250% due 7/4/2010 20,801 

New South Wales Treasury Corp., Series 17RG, 5.500% New Zealand Government Bond, Series 415, 6.000% 

due 3/1/2017 10,708 due 4/15/2015 18,117 

Canadian Treasury Bill, zero coupon due 1/24/2008 10,015 Bundesrepublic Deutschland, Series 99, 4.000% due 7/4/2009 13,556 

General Electric Capital Corp., 7.625% due 12/10/2014 9,476 Republic of Brazil, 12.500% due 1/5/2016 11,807 

Svensk Exportkredit AB, 7.625% due 6/30/2014 5,855 U.S. Treasury Bond, 6.500% due 11/15/2026 10,009 

Kraft Foods, Inc., 7.000% due 8/11/2037 5,817 Canada Government Bond, 6.000% due 6/1/2011 8,833 

Comcast Corp., 6.950% due 8/15/2037 5,678 Canadian Treasury Bills, zero coupon due 9/6/2007 8,386 

U.S. Treasury Bond, 6.500% due 11/15/2026 5,677 Queensland Treasury Corp., Series 15G, 6.000% due 10/14/2015 6,261 

WalMart Stores, Inc., 6.500% due 8/15/2037 5,595 Republic of Poland, 5.750% due 6/24/2008 6,102 

Canadian Treasury Bill, zero coupon due 8/7/2008 3,823 Singapore Government, 1.500% due 4/1/2008 5,318 

Canada Government Bond, 6.000% due 6/1/2011 2,777 United Kingdom Gilt, 4.750% due 9/7/2015 4,497 

New Zealand Government Bond, Series 415, 6.000% Bundesrepublic Deutschland, Series 99, 4.500% due 7/4/2009 3,923 

due 4/15/2015 2,534 Sweden Government Bond, Series 1040, 6.500% due 5/5/2008 2,777 

Singapore Government Bond, 4.375% due 1/15/2009 2,319 New South Wales Treasury Corp., Series 12RG, 6.000% 2,653 

Republic of South Africa, Series R157, 13.500% due 9/15/2015 2,159 due 5/1/2012 

Viacom, Inc., 6.875% due 4/30/2036 2,113 



(in 000's) 

(in 000's) 

SPDR Trust Series 1 99 SPDR Trust Series 1 100 

iShares MSCI Eafe Index Fund 98 iShares MSCI Eafe Index Fund 99 

Nitto Denko Corp. 43 Credit Suisse Group 32 

Aegon NV 37 McDonald's Corp. 23 

SanDisk Corp. 31 Morgan Stanley 20 

Peabody Energy Corp. 29 Bank of America Corp. 20 

General Electric Co. 27 Fortune Brands, Inc. 17 

Arch Coal, Inc. 26 Banco Bilbao Vizcaya Argentaria S.A. 16 

Alcatel-Lucent 24 Sun Microsystems, Inc. 14 

Teva Pharmaceutical Industries Ltd, ADR 24 RF Micro Devices, Inc. 11 

175




Brandywine Global Equity Fund (continued) 


(in 000's) 

(in 000's) 

Gannett Co, Inc. 23 Omnicare, Inc. 11 

UPM-Kymmene Oyj 23 Kingfisher PLC 4 

Mitsubishi UFJ Securities Co. Ltd. 23 Diageo PLC 4 

Total S.A. 22 Discover Financial Services 4 

Dell, Inc. 21 

Trinity Mirror PLC 20 

News Corp., Class B 19 

Johnson & Johnson 19 

Mizuho Investors Securities Co. Ltd. 18 

Nipponkoa Insurance Co. Ltd. 18 

Wyeth Corp. 17 

Advanced Semiconductor Engineering Inc, ADR 17 

Cisco Systems, Inc. 17 

GlaxoSmithKline PLC 16 

Sony Corp. 16 

Infineon Technologies AG 16 

Home Depot, Inc. 15 

Technip S.A. 15 

France Telecom S.A. 14 

Apollo Group, Inc., Class A 14 

Cheung Kong Holdings Ltd. 14 

United Microelectronics Corp., ADR 14 

Sanofi-Aventis 13 

British Sky Broadcasting Group PLC 13 

Central Japan Railway Co. 12 

Citigroup, Inc. 11 

Bombardier, Class B 11 

The Coca-Cola Co. 11 



(in 000's) 

(in 000's) 

General Electric Co. 17,940 Amazon.Com, Inc. 92,491 

Motorola, Inc. 12,099 Sprint Nextel Corp. 58,090 

Texas Instruments, Inc. 10,287 Google, Inc., Class A 55,184 

General Motors Corp. 3,604 Dell, Inc. 49,981 

Countrywide Financial Corp. 3,568 Qwest Communications International, Inc. 49,647 

Amgen, Inc. 1,705 The AES Corp. 48,879 

The Bear Stearns Cos., Inc. 1,341 Health Net, Inc. 48,879 

IAC/Interactive Corp. 617 UnitedHealth Group, Inc. 47,809 

JP Morgan Chase & Co. 46,806 

Tyco International Ltd. 42,723 

Aetna, Inc. 40,122 

Sears Holdings Corp. 39,086 

The DIRECTV Group, Inc. 36,702 

Nike, Inc., Class B 33,571 

Yahoo!, Inc. 32,884 

eBay, Inc. 28,351 

IAC/Interactive Corp. 27,247 

Eastman Kodak Co. 25,624 

Countrywide Financial Corp. 25,608 

Citigroup, Inc. 25,159 

Home Depot, Inc. 24,833 

Time Warner, Inc. 24,154 

Expedia, Inc. 23,883 

American International Group, Inc. 21,826 

Hewlett-Packard Co. 19,347 

Pfizer, Inc. 19,201 

Tyco Electronics Ltd. 17,398 

Masco. Corp. 17,324 

176




Legg Mason Value Fund (continued) 

MAJOR SALES 

PROCEEDS 

(in 000's) 

Cisco Systems, Inc. 16,983 

Electronic Arts, Inc. 16,063 

Capital One Financial Corp. 15,411 

Seagate Technology 14,422 

General Electric Co. 14,236 

IBM Corp. 13,864 

Tyco International Ltd. 13,437 

Centex Corp. 13,036 

Pulte Homes, Inc. 12,681 

Ca, Inc. 12,566 



(in 000's) 

(in 000's) 

Jabil Circuit, Inc. 3,862 Amazon.Com, Inc. 7,394 

Yahoo!, Inc. 3,465 Aetna, Inc. 3,865 

Quanta Services, Inc. 3,123 Home Depot, Inc. 3,837 

Fluor Corp. 2,696 Yahoo!, Inc. 3,537 

The Shaw Group, Inc. 2,297 Nokia Corp., ADR 3,166 

XM Satellite Radio Holdings, Inc., Class A 2,288 Countrywide Financial Corp. 2,777 

Countrywide Financial Corp. 2,152 Dell, Inc. 2,732 

Amazon.Com, Inc. 2,023 eBay, Inc. 2,526 

E*Trade Financial Corp. 2,019 Qualcomm, Inc. 2,397 

Citigroup, Inc. 1,972 Citigroup, Inc. 2,037 

NAVTEQ Corp. 1,965 American International Group, Inc. 2,032 

American International Group, Inc. 1,779 Amgen, Inc. 1,950 

Foster Wheeler Ltd. 1,722 General Electric Co. 1,913 

Qualcomm, Inc. 1,622 Nike, Inc., Class B 1,906 

Nokia Corp., ADR 1,525 Google, Inc., Class A 1,882 

General Electric Co. 1,498 Accenture Ltd., Class A 1,830 

Sunpower Corp. 1,438 Electronic Arts, Inc. 1,825 

eBay, Inc. 1,382 IAC/Interactive Corp. 1,509 

The Goldman Sachs Group, Inc. 1,257 Caterpillar, Inc. 1,507 

FedEx Corp. 1,176 Boston Scientific Corp. 1,475 

Google, Inc., Class A 1,138 The Goldman Sachs Group, Inc. 1,412 

Electronic Arts, Inc. 1,044 Texas Instruments, Inc. 1,313 

Texas Instruments, Inc. 903 Cisco Systems, Inc. 1,255 

Caterpillar, Inc. 821 XM Satellite Radio Holdings, Inc., Class A 1,174 

Expedia, Inc. 623 FedEx Corp. 930 

Amgen, Inc. 554 Expedia, Inc. 926 

Cisco Systems, Inc. 538 E*Trade Financial Corp. 883 

Jabil Circuit, Inc. 844 

Quanta Services, Inc. 744 



(in 000's) 

(in 000's) 

Tyco International Ltd. 2,620 Florida East Coast Industries, Inc. 555 

Newfield Exploration Co. 497 Alltel Corp. 514 

Cytec Industries, Inc. 451 Microsoft Corp. 457 

Abbott Laboratories 395 Marsh & McLennan Cos, Inc. 345 

Dell, Inc. 343 Alcoa, Inc. 298 

LSI Corp. 329 Juniper Networks, Inc. 278 

Intel Corp. 241 Schering-Plough Corp. 254 

Oracle Systems Corp. 199 Motorola, Inc. 237 

Interpublic Group Cos, Inc. 198 Bank of America Corp. 231 

Devon Energy Corp. 183 3Com Corp. 217 

Anadarko Petroleum Corp. 169 Wells Fargo & Co. 208 

American International Group, Inc. 134 Cimarex Energy Co. 204 

Monsanto Co. 124 Honeywell International, Inc. 194 

Kraft Foods, Inc., Class A 108 Covidien Ltd. 190 

177




ClearBridge U.S. Appreciation Fund (continued) 


(in 000's) 

(in 000's) 

Nabors Industries Ltd. 107 The Goldman Sachs Group, Inc. 188 

Yahoo!, Inc. 83 JP Morgan Chase & Co. 181 

Alltel Corp. 82 Pfizer, Inc. 170 

Southwestern Energy Co. 79 Interpublic Group Cos, Inc. 168 

Hudson City Bancorp, Inc. 73 Canadian Natural Resources Ltd. 160 

Boeing Co. 64 Exxon Mobil Corp. 159 

Merrill Lynch & Co, Inc. 156 

Tyco Electronics Ltd. 155 

Viacom, Inc. 154 

Wyeth Corp. 145 

Verizon Communications, Inc. 143 

EMC Corp. 133 

Schlumberger Ltd. 128 

Time Warner, Inc. 127 

Berkshire Hathaway, Inc. 110 

Masco Corp. 103 

Warner Music Group Corp. 101 

Gannett Co, Inc. 95 

General Electric Co. 93 

Duke Energy Corp. 88 

Hudson City Bancorp, Inc. 85 



(in 000's) 

(in 000's) 

Dover Corp. 3,096 Honeywell International, Inc. 2,208 

State Street Corp. 2,073 Kraft Foods, Inc., Class A 2,201 

Bank of America Corp. 1,382 MGIC Investment Corp. 1,943 

Honeywell International, Inc. 1,371 Pearson PLC 1,766 

The Walt Disney Co. 1,307 Total S.A. 1,726 

Wyeth Corp. 1,281 AT&T, Inc. 1,692 

The PMI Group, Inc. 1,262 Altria Group, Inc. 1,589 

Nuveen Investments, Inc., Class A 1,119 Sprint Nextel Corp. 1,482 

Vodafone Group PLC, ADR 1,102 Loews Corp. 1,378 

Applied Materials, Inc. 1,090 Sempra Energy 1,335 

Pfizer, Inc. 1,083 Nuveen Investments, Inc., Class A 1,294 

Interpublic Group Cos, Inc. 1,080 Capital One Financial Corp. 1,256 

Motorola, Inc. 1,059 McDonald's Corp. 1,211 

Texas Instruments, Inc. 1,000 Textron, Inc. 1,055 

GlaxoSmithKline PLC, ADR 942 Wells Fargo & Co. 1,031 

Novellus Systems, Inc. 904 WellPoint, Inc. 1,029 

Caterpillar, Inc. 865 News Corp., Class B 1,024 

Cisco Systems, Inc. 828 UnitedHealth Group, Inc. 1,014 

Williams-Sonoma, Inc. 781 Alltel Corp. 1,014 

Weyerhaeuser Co. 767 Nokia Corp., ADR 1,004 

MGIC Investment Corp. 758 The Travelers Cos, Inc. 984 

Taiwan Semiconductor Manufacturing Co. Ltd., ADR 751 United Technologies Corp. 970 

Alcoa, Inc. 747 Pearson PLC, ADR 964 

Raytheon Co. 728 Marsh & McLennan Cos, Inc. 916 

Anadarko Petroleum Corp. 701 Echostar Communications Corp. 866 

Schlumberger Ltd. 669 Wachovia Corp. 857 

The Dow Chemical Co. 651 Aflac, Inc. 843 

The Gap, Inc. 643 Embarq Corp. 817 

Williams Cos, Inc. 597 The Goldman Sachs Group, Inc. 755 

Hartford Financial Services Group, Inc. 587 American International Group, Inc. 719 

Agilent Technologies, Inc. 567 FHLMC Corp. 715 

Eli Lilly & Co. 560 Avery Dennison Corp. 684 

GlobalSantaFe Corp. 552 Suncor Energy, Inc. 675 

Microsoft Corp. 536 

Chevron Corp. 513 

178




ClearBridge U.S. Fundamental Value Fund (continued) 

MAJOR PURCHASES 

COST 

(in 000's) 


Exxon Mobil Corp. 484 

Abbott Laboratories 475 

Halliburton Co. 438 

Baker Hughes, Inc. 432 

BJ Services Co. 400 



(in 000's) 

(in 000's) 

Vertex Pharmaceuticals, Inc. 994 Amazon.Com, Inc. 3,018 

The NASDAQ Stock Market, Inc. 916 Juniper Networks, Inc. 1,404 

IAC/Interactive Corp. 476 Pfizer, Inc. 882 

Akamai Technologies, Inc. 354 The Walt Disney Co. 669 

American International Group, Inc. 315 Merrill Lynch & Co, Inc. 594 

Texas Instruments, Inc. 306 Qualcomm, Inc. 589 

Red Hat, Inc. 298 Biogen Idec, Inc. 571 

Motorola, Inc. 178 Genentech, Inc. 568 

Yahoo!, Inc. 156 Procter & Gamble Co. 523 

Genentech, Inc. 123 Wm Wrigley Jr Co. 463 

Amgen, Inc. 97 Amgen, Inc. 440 

Merrill Lynch & Co, Inc. 74 Time Warner, Inc. 405 

Biogen Idec, Inc. 72 Cisco Systems, Inc. 376 

eBay, Inc. 68 The Coca-Cola Co. 370 

Intel Corp. 65 Discover Financial Services 366 

Electronic Arts, Inc. 65 Yahoo!, Inc. 332 

Cisco Systems, Inc. 63 Texas Instruments, Inc. 331 

Qualcomm, Inc. 57 Electronic Arts, Inc. 323 

PepsiCo, Inc. 53 Intel Corp. 309 

Microsoft Corp. 53 Home Depot, Inc. 305 

The Coca Cola Co. 50 eBay, Inc. 304 

Akamai Technologies, Inc. 303 

PepsiCo, Inc. 296 

Motorola, Inc. 277 

Microsoft Corp. 273 

IAC/Interactive Corp. 271 

American International Group, Inc. 241 

Red Hat, Inc. 239 

Morgan Stanley 229 

Berkshire Hathaway, Inc. 220 

Medtronic, Inc. 197 




(in 000's) 

(in 000's) 

Tomotherapy, Inc. 4 Time Warner, Inc. 3,881 

Limelight Networks, Inc. 2 Johnson & Johnson 2,474 

King Pharmaceuticals, Inc. 2,007 

Weatherford International Ltd. 1,677 

Anadarko Petroleum Corp. 530 

The Walt Disney Co. 341 

J Crew Group, Inc. 160 

RF Micro Devices, Inc. 153 

Citadel Broadcasting Corp. 82 

Tomotherapy, Inc. 5 

Limelight Networks, Inc. 3 

179






(in 000's) 

(in 000's) 

Banco Santander S.A. 1,516 Banco Bilbao Vizcaya Argentaria S.A. 1,288 

Imperial Tobacco Group PLC 1,112 Societe Generale 1,248 

Nestle S.A. 1,063 AstraZeneca PLC 1,117 

ABN AMRO Holdings NV 1,039 Novartis AG 1,052 

AstraZeneca PLC 952 Banco Santander S.A. 1,013 

E.ON AG 929 Unicredito Italiano S.p.A. 966 

Banco Bilbao Vizcaya Argentaria S.A. 891 BT Group PLC 908 

Lloyds TSB Group PLC 884 Credit Suisse Group 904 

Novartis AG 882 Nokia Oyj 883 

Severn Trent PLC 814 Koninklijke Philips Electronics NV 877 

Vodafone Group PLC 796 Severn Trent PLC 876 

Roche Holding AG 773 Assa Abloy AB, Class B 868 

Barclays PLC 754 Koninklijke Ahold NV 849 

Telefonaktiebolaget LM Ericsson, Class B 673 HSBC Holdings PLC 832 

Bayer AG 668 Grafton Group PLC 809 

Vivendi 662 Alpha Bank AE 778 

British Energy Group PLC 655 Intesa Sanpaolo S.p.A. 723 

Enel S.p.A. 652 BP PLC 707 

Royal Dutch Shell PLC, Class A 638 UBS AG 648 

Credit Agricole S.A. 626 Ciments Francais S.A. 648 

Unicredito Italiano S.p.A. 625 HBOS PLC 622 

Tesco PLC 619 Nokian Renkaat Oyj 606 

Alpha Bank AE 602 Dexia S.A. 604 

Allianz SE 556 Suez S.A. 599 

J Sainsbury PLC 551 Topdanmark A/S 582 

Basf AG 539 Northumbrian Water Group PLC 581 

GKN PLC 533 Deutsche Bank AG 580 

Societe Generale 518 GlaxoSmithKline PLC 570 

Credit Suisse Group 511 Premier Foods PLC 569 

Banco Espirito Santo S.A. 509 Sanofi Aventis 555 

Pennon Group PLC 492 Nestle S.A. 553 

France Telecom S.A. 488 Man Group PLC 510 

ABB Ltd. 486 Royal Bank of Scotland Group PLC 504 

UBS AG 468 Enel S.p.A. 498 

Smurfit Kappa Group PLC 462 Wolters Kluwer NV 484 

Sanofi Aventis 442 

BT Group PLC 439 



(in 000's) 

(in 000's) 

Reliance Industries Ltd. 4,131 Formosa Plastics Corp. 1,784 

Industrial & Commercial Bank of China, Class H 2,766 Shinsegae Co. Ltd. 1,685 

LG Electronics, Inc. 2,660 Samsung Fire & Marine Insurance Co. Ltd. 1,642 

Digi.Com Bhd. 2,256 Perusahaan Perkebunan London Sumatra Indonesia Tbk PT. 1,533 

Hon Hai Precision Industry Co. Ltd. 2,245 Satyam Computer Services Ltd. 1,526 

China Shenhua Energy Co. Ltd., Class H 2,126 China Infrastructure Machinery Holdings Ltd. 1,424 

NHN Corp. 2,033 Maxis Communications Bhd. 1,317 

Bank of India 2,015 Ayala Land, Inc., Class B 1,237 

Shinhan Financial Group Co. Ltd. 1,838 Hyundai Development Co. 1,157 

Thai Oil PCL 1,785 SM Investments Corp. 1,121 

China Life Insurance Co. Ltd., Class H 1,753 Hengan International Group Co. Ltd. 1,118 

Asiana Airlines 1,739 Reliance Communications Ltd. 1,108 

LG Corp. 1,714 Telekomunikasi Indonesia Tbk Pt 1,101 

GS Holdings Corp. 1,713 MegaStudy Co. Ltd. 1,086 

GS Engineering & Construction Corp. 1,678 Formosa Chemicals & Fibre Corp. 1,047 

LG.Philips LCD Co. Ltd. 1,647 Korea Investment Holdings Co. Ltd. 1,034 

Delta Electronics, Inc. 1,632 Chaoda Modern Agriculture 1,032 

China Mobile Ltd. 1,606 China National Building Material Co. Ltd., Class H 1,015 

D-Link Corp. 1,581 Delta Electronics, Inc. 1,015 

180




Batterymarch Pacific Equity Fund (continued) 


(in 000's) 

(in 000's) 

New World Development Ltd. 1,530 Ayala Corp. 948 

China Shipping Development Co. Ltd. 1,463 FU JI Food and Catering Services Ltd. 941 

China Hongxing Sports Ltd. 1,460 Li Ning Co. Ltd. 880 

Innolux Display Corp. 1,444 Ioi Corp. Bhd 874 

Hong Kong Exchanges & Clearing Ltd. 1,419 Philippine Long Distance Telephone Co. 868 

Daishin Securities Co. Ltd. 1,403 Mahindra & Mahindra Ltd. 867 

PTT PCL 1,390 Indian Hotels Co. Ltd. 841 

Telekomunikasi Indonesia Tbk Pt 1,388 Dongbu Insurance Co. Ltd. 820 

Cosco Corp. Singapore Ltd. 1,377 Hopson Development Holdings Ltd. 795 

Jindal Steel & Power Ltd. 1,361 IVRCL Infrastructures & Projects Ltd. 787 

China Oilfield Services Ltd. 1,341 Dbs Group Holdings Ltd. 787 

Dongbu Insurance Co Ltd. 1,295 Hankook Tire Co. Ltd. 780 

Kookmin Bank, ADR 1,294 Jusung Engineering Co. Ltd. 768 

KT&G Corp. 1,233 Prime Success International Group Ltd. 712 

Lig Non-Life Insurance Co. Ltd. 1,207 Ports Design Ltd. 707 

Hyundai Department Store Co. Ltd. 693 

Vtech Holdings Ltd. 682 

Grasim Industries Ltd. 666 

Digi.Com Bhd. 661 

Chunghwa Telecom Co. Ltd., ADR 637 

PNOC Energy Development Corp. 621 



(in 000's) 

(in 000's) 

Vodafone Group PLC 515 AstraZeneca PLC 473 

Mitsubishi UFJ Financial Group, Inc. 490 Societe Generale 462 

Barclays PLC 472 Siemens AG 454 

Sanofi-Aventis 467 Credit Suisse Group 443 

Lloyds TSB Group PLC 457 Honda Motor Co. Ltd. 422 

Banco Santander S.A. 452 National Australia Bank Ltd. 410 

Banco Bilbao Vizcaya Argentaria S.A. 430 Koninklijke Ahold NV 410 

Honda Motor Co. Ltd. 411 Imperial Chemical Industries PLC 410 

HSBC Holdings PLC 378 Canon, Inc. 393 

Total S.A. 369 InBev NV 385 

Nintendo Co. Ltd. 368 Gerdau S.A. 379 

Metro AG 364 Nokia Oyj 363 

Imperial Chemical Industries PLC 350 Credit Agricole S.A. 353 

Royal Dutch Shell PLC, Class A 350 Mitsubishi UFJ Financial Group, Inc. 352 

Bhp Billiton Ltd. 341 HBOS PLC 346 

Scottish & Newcastle PLC 340 Premier Foods PLC 313 

ABN AMRO Holdings NV 335 State Bank of India Ltd., GDR 306 

Societe Generale 307 Associated British Foods PLC 304 

Cia Vale do Rio Doce, Class A 306 Scottish & Newcastle PLC 299 

Novartis AG 300 Mizuho Financial Group, Inc. 297 

Erste Bank der Oesterreichischen Sparkassen AG 297 Allianz SE 284 

Rio Tinto PLC 294 Diageo PLC 283 

Nestle S.A. 290 Banco Santander S.A. 271 

AXA S.A. 286 Takeda Pharmaceutical Co. Ltd. 270 

Kelda Group PLC 283 Leighton Holdings Ltd. 265 

AstraZeneca PLC 283 Capitalia S.p.A. 263 

Allianz SE 282 Total S.A. 260 

LogicaCMG PLC 275 Imperial Tobacco Group PLC 256 

BNP Paribas 274 ORIX Corp. 248 

Nutreco Holding NV 272 Wolters Kluwer NV 248 

Northumbrian Water Group PLC 256 The Chugoku Bank Ltd. 247 

John Wood Group PLC 255 British Airways PLC 243 

Thyssenkrupp AG 251 BNP Paribas 243 

Pennon Group PLC 247 

Smurfit Kappa Group PLC 247 

181




Royce U.S. Small Cap Opportunity Fund 


(in 000's) 

(in 000's) 

Regal Entertainment Group 1,666 Andrew Corp. 1,495 

Volt Information Sciences, Inc. 1,470 Paxar Corp. 1,376 

Cinemark Holdings, Inc. 1,305 Todco 1,291 

Jones Apparel Group, Inc. 1,304 Chaparral Steel Co. 1,185 

Media General, Inc., Class A 1,223 Robbins & Myers, Inc. 1,072 

Harris Stratex Networks, Inc., Class A 1,169 Dendrite International, Inc. 1,047 

Group 1 Automotive, Inc. 1,164 Graftech International, Ltd. 953 

Oplink Communications, Inc. 1,156 Apogee Enterprises, Inc. 896 

EnPro Industries, Inc. 1,147 Atlas Air Worldwide Holdings, Inc. 833 

YRC Worldwide, Inc. 1,055 Parametric Technology Corp. 804 

Trex Co, Inc. 979 Terra Industries, Inc. 741 

Old National Bancorp 976 Inter-Tel, Inc. 730 

Sonic Automotive, Inc. 946 DryShips, Inc. 711 

Newport Corp. 921 Fremont General Corp. 701 

MDC Holdings, Inc. 901 Vignette Corp. 689 

Northwest Pipe Co. 895 Cooper Tire & Rubber Co. 682 

Louisiana Pacific Corp. 879 Lennox International, Inc. 674 

Gehl Co. 831 Koppers Holdings, Inc. 671 

Saks, Inc. 828 Barnes Group, Inc. 654 

Firstmerit Corp. 818 Varian, Inc. 616 

Emmis Communications Corp., Class A 578 

JDA Software Group, Inc. 560 

C-COR, Inc. 539 

Varian Semiconductor Equipment Associates, Inc. 501 

EDO Corp. 489 

Chesapeake Corp. 448 

Overseas Shipholding Group, Inc. 436 

Cypress Semiconductor Corp. 417 

Hurco Cos, Inc. 399 

Quaker Chemical Corp. 397 

Tredegar Industries 392 

Belden, Inc. 391 

Hawk Corp., Class A 388 



(in 000's) 

(in 000's) 

MKS Instruments, Inc. 988 Chaparral Steel Co. 1,129 

KKR Financial Holdings LLC 950 eFunds Corp. 1,124 

Reliance Steel & Aluminum Co. 906 CDW Corp. 821 

Pan American Silver Corp. 839 Cognex Corp. 776 

Fronteer Development Group, Inc. 803 Navigant Consulting, Inc. 721 

Gardner Denver, Inc. 782 Benchmark Electronics, Inc. 698 

CRA International, Inc. 764 Raven Industries, Inc. 688 

Max Capital Group Ltd. 754 A.O. Smith Corp., Class B 681 

Schnitzer Steel Industries Inc, Class A 730 Nordson Corp. 679 

Silver Standard Resources, Inc. 725 Perrigo Co. 652 

Meridian Gold, Inc. 643 AllianceBernstein Holding LP 629 

Gammon Gold, Inc. 583 DTS, Inc. 586 

MSC.Software Corp. 583 Arrow International, Inc. 584 

Knight Capital Group, Inc., Class A 583 Polaris Industries, Inc. 568 

Regal-Beloit Corp. 578 Donaldson Co. Inc. 564 

Simpson Manufacturing Co. Inc. 569 Dionex Corp., Class A 561 

Sanderson Farms, Inc. 566 Grupo Aeroportuario del Sureste SAB de CV, Class A, ADR 560 

ICU Medical, Inc. 564 Diebold, Inc. 501 

Westlake Chemical Corp. 557 Epicor Software Corp. 501 

Pacer International, Inc. 551 Ceridian Corp. 494 

Charming Shoppes, Inc. 540 Federated Investors, Inc., Class B 489 

Robbins & Myers, Inc. 530 CEC Entertainment, Inc. 486 

182




Royce 100 Equity Fund (continued) 


(in 000's) 

(in 000's) 

Arkansas Best Corp. 520 AMCOL International Corp. 472 

Cymer, Inc. 503 Nuveen Investments, Inc., Class A 465 

Chaparral Steel Co. 501 Administaff, Inc. 459 

Labor Ready, Inc. 491 SEI Investments Co. 434 

Novagold Resources, Inc. 484 RADVision Ltd. 420 

RPC, Inc. 481 Teleflex, Inc. 411 

Oil States International, Inc. 469 Universal Compression Holdings, Inc. 394 

Haynes International, Inc. 450 Universal Technical Institute, Inc. 372 

Applied Industrial Technologies, Inc. 446 Brady Corp., Class A 365 

Genlyte Group, Inc. 441 Tennant Co. 347 

Fair Isaac Corp. 435 Gartner, Inc., Class A 340 

Heartland Express, Inc. 410 Franklin Electric Co. Inc. 337 

IPSCO, Inc. 407 Kaydon Corp. 327 

Agnico-Eagle Mines Ltd. 401 Plexus Corp. 327 

Metal Management, Inc. 392 SEACOR Holdings, Inc. 320 

Supertex, Inc. 388 Morningstar, Inc. 314 

Thor Industries, Inc. 370 

MoneyGram International, Inc. 370 

Calfrac Well Services Ltd. 358 

Unit Corp. 350 

Ensign Energy Services, Inc. 348 

Corinthian Colleges, Inc. 326 

eResearch Technology, Inc. 325 

Carlisle Cos, Inc. 314 

Viropharma, Inc. 312 

The St. Joe Co. 305 

183

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Western Asset US Money Market Fund - Legg Mason

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