N-CSRS 1 main.htm

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-4085

Fidelity Income Fund
(Exact name of registrant as specified in charter)

82 Devonshire St., Boston, Massachusetts 02109
(Address of principal executive offices)       (Zip code)

Scott C. Goebel, Secretary

82 Devonshire St.

Boston, Massachusetts 02109
(Name and address of agent for service)

Registrant's telephone number, including area code: 617-563-7000

Date of fiscal year end:

August 31

 

 

Date of reporting period:

February 28, 2010

Item 1. Reports to Stockholders

Fidelity

Total Bond

Fund

Semiannual Report

February 28, 2010
(2_fidelity_logos) (Registered_Trademark)


Contents

Chairman's Message

<Click Here>

The Chairman's message to shareholders.

Shareholder Expense Example

<Click Here>

An example of shareholder expenses.

Investment Changes

<Click Here>

A summary of major shifts in the fund's investments over the past six months.

Investments

<Click Here>

A complete list of the fund's investments with their market values.

Financial Statements

<Click Here>

Statements of assets and liabilities, operations, and changes in net assets,
as well as financial highlights.

Notes

<Click Here>

Notes to the financial statements.

Report of Independent Registered Public Accounting Firm

<Click Here>

 

Board Approval of Investment Advisory Contracts and Management Fees

<Click Here>

 

To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov. You may also call 1-800-544-8544 to request a free copy of the proxy voting guidelines.

Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.

Other third party marks appearing herein are the property of their respective owners.

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company.

This report and the financial statements contained herein are submitted for the general information of the shareholders of the fund. This report is not authorized for distribution to prospective investors in the fund unless preceded or accompanied by an effective prospectus.

A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com or http://www.advisor.fidelity.com, as applicable.

NOT FDIC INSURED · MAY LOSE VALUE · NO BANK GUARANTEE

Neither the fund nor Fidelity Distributors Corporation is a bank.

Semiannual Report


Chairman's Message

(photo_of_Abigail_P_Johnson)

Dear Shareholder:

The turnaround in global capital markets that marked most of 2009 slowed in early 2010, as investors considered the risks to a sustained recovery, including increased political uncertainty, high unemployment, weak consumer spending and potential inflation on the horizon. Financial markets are always unpredictable, of course, but there also are several time-tested investment principles that can help put the odds in your favor.

One of the basic tenets is to invest for the long term. Over time, riding out the markets' inevitable ups and downs has proven much more effective than selling into panic or chasing the hottest trend. Even missing only a few of the markets' best days can significantly diminish investor returns. Patience also affords the benefits of compounding - of earning interest on additional income or reinvested dividends and capital gains. There can be tax advantages and cost benefits to consider as well. While staying the course doesn't eliminate risk, it can considerably lessen the effect of short-term declines.

You can further manage your investing risk through diversification. And today, more than ever, geographic diversification should be taken into account. Studies indicate that asset allocation is the single most important determinant of a portfolio's long-term success. The right mix of stocks, bonds and cash - aligned to your particular risk tolerance and investment objective - is very important. Age-appropriate rebalancing is also an essential aspect of asset allocation. For younger investors, an emphasis on equities - which historically have been the best-performing asset class over time - is encouraged. As investors near their specific goal, such as retirement or sending a child to college, consideration may be given to replacing volatile assets (e.g. common stocks) with more-stable fixed investments (bonds or savings plans).

A third principle - investing regularly - can help lower the average cost of your purchases. Investing a certain amount of money each month or quarter helps ensure you won't pay for all your shares at market highs. This strategy - known as dollar cost averaging - also reduces "emotion" from investing, helping shareholders avoid selling weak performers just prior to an upswing, or chasing a hot performer just before a correction.

We invite you to contact us via the Internet, through our Investor Centers or by phone. It is our privilege to provide you the information you need to make the investments that are right for you.

Sincerely,

(The chairman's signature appears here.)

Abigail P. Johnson

Semiannual Report


Shareholder Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments or redemption proceeds, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (September 1, 2009 to February 28, 2010).

Actual Expenses

The first line of the accompanying table for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.

Hypothetical Example for Comparison Purposes

The second line of the accompanying table for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

Semiannual Report

Shareholder Expense Example - continued

 

Annualized
Expense Ratio

Beginning
Account Value
September 1, 2009

Ending
Account Value
February 28, 2010

Expenses Paid
During Period
*
September 1, 2009 to
February 28, 2010

Class A

.79%

 

 

 

Actual

 

$ 1,000.00

$ 1,057.10

$ 4.03

HypotheticalA

 

$ 1,000.00

$ 1,020.88

$ 3.96

Class T

.83%

 

 

 

Actual

 

$ 1,000.00

$ 1,057.00

$ 4.23

HypotheticalA

 

$ 1,000.00

$ 1,020.68

$ 4.16

Class B

1.55%

 

 

 

Actual

 

$ 1,000.00

$ 1,054.20

$ 7.89

HypotheticalA

 

$ 1,000.00

$ 1,017.11

$ 7.75

Class C

1.51%

 

 

 

Actual

 

$ 1,000.00

$ 1,053.40

$ 7.69

HypotheticalA

 

$ 1,000.00

$ 1,017.31

$ 7.55

Total Bond

.45%

 

 

 

Actual

 

$ 1,000.00

$ 1,058.90

$ 2.30

HypotheticalA

 

$ 1,000.00

$ 1,022.56

$ 2.26

Class F

.35%

 

 

 

Actual

 

$ 1,000.00

$ 1,060.50

$ 1.79

HypotheticalA

 

$ 1,000.00

$ 1,023.06

$ 1.76

Institutional Class

.52%

 

 

 

Actual

 

$ 1,000.00

$ 1,059.70

$ 2.66

HypotheticalA

 

$ 1,000.00

$ 1,022.22

$ 2.61

A 5% return per year before expenses

* Expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The fees and expenses of the underlying Fidelity Central Funds in which the Fund invests are not included in the Fund's annualized expense ratio.

Semiannual Report


Investment Changes (Unaudited)

The information in the following tables is based on the combined investments of the Fund and its pro-rata share of its investments in each non-money market Fidelity Central Fund.

Quality Diversification (% of fund's net assets)

As of February 28, 2010

As of August 31, 2009

fid4866

U.S. Government and U.S. Government Agency Obligations †† 51.9%

 

fid4866

U.S. Government and U.S. Government Agency
Obligations †† 49.8%

 

fid4869

AAA 7.9%

 

fid4869

AAA 6.8%

 

fid4872

AA 3.9%

 

fid4872

AA 3.2%

 

fid4875

A 8.5%

 

fid4875

A 10.1%

 

fid4878

BBB 12.4%

 

fid4878

BBB 15.3%

 

fid4881

BB and Below 13.9%

 

fid4881

BB and Below 15.3%

 

fid4884

Not Rated 0.9%

 

fid4884

Not Rated 0.7%

 

fid4887

Equities 0.0%

 

fid4887

Equities 0.0%

 

fid4890

Short-Term
Investments and
Net Other Assets 0.6%

 

fid4887

Short-Term
Investments and
Net Other Assets (1.2)%

 

fid4893

We have used ratings from Moody's® Investors Service, Inc. Where Moody's ratings are not available, we have used S&P® ratings. All ratings are as of the report date and do not reflect subsequent downgrades. Securities rated BB or below were rated investment grade at the time of acquisition.

Weighted Average Maturity as of February 28, 2010

 

 

6 months ago

Years

6.0

5.5

The weighted average maturity is based on the dollar-weighted average length of time until principal payments are expected or until securities reach maturity, taking into account any maturity shortening feature such as a call, refunding or redemption provision.

Duration as of February 28, 2010

 

 

6 months ago

Years

3.8

3.7

Duration shows how much a bond fund's price fluctuates with changes in comparable interest rates. If rates rise 1%, for example, a fund with a five-year duration is likely to lose about 5% of its value. Other factors also can influence a bond fund's performance and share price. Accordingly, a bond fund's actual performance may differ from this example.

Asset Allocation (% of fund's net assets)

As of February 28, 2010*

As of August 31, 2009**

fid4866

Corporate Bonds 30.1%

 

fid4866

Corporate Bonds 34.8%

 

fid4869

U.S. Government and U.S. Government Agency Obligations †† 51.9%

 

fid4869

U.S. Government and U.S. Government Agency Obligations †† 49.8%

 

fid4899

Asset-Backed
Securities 2.6%

 

fid4899

Asset-Backed
Securities 2.0%

 

fid4878

CMOs and Other Mortgage Related Securities 8.4%

 

fid4878

CMOs and Other Mortgage Related Securities 7.9%

 

fid4904

Municipal Bonds 0.2%

 

fid4904

Municipal Bonds 0.2%

 

fid4907

Other Investments 6.2%

 

fid4907

Other Investments 6.5%

 

fid4890

Short-Term
Investments and
Net Other Assets 0.6%

 

fid4890

Short-Term
Investments and
Net Other Assets (1.2)%

 

* Foreign investments

8.4%

 

** Foreign investments

9.0%

 

* Futures and Swaps

8.2%

 

** Futures and Swaps

8.8%

 

fid4912

Short-Term Investments and Net Other Assets are not included in the pie chart.

†† Includes FDIC Guaranteed Corporate Securities.

A holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds is available at fidelity.com and/or advisor.fidelity.com, as applicable.

Semiannual Report


Investments February 28, 2010

Showing Percentage of Net Assets

Corporate Bonds - 26.2%

 

Principal Amount (d)

Value

Convertible Bonds - 0.1%

ENERGY - 0.0%

Oil, Gas & Consumable Fuels - 0.0%

Chesapeake Energy Corp. 2.5% 5/15/37

$ 1,543,000

$ 1,343,490

FINANCIALS - 0.0%

Real Estate Investment Trusts - 0.0%

Developers Diversified Realty Corp. 3% 3/15/12

270,000

255,488

Inland Real Estate Corp. 4.625% 11/15/26

83,000

79,680

 

335,168

Real Estate Management & Development - 0.0%

ERP Operating LP 3.85% 8/15/26

270,000

268,313

TOTAL FINANCIALS

603,481

INDUSTRIALS - 0.0%

Electrical Equipment - 0.0%

Energy Conversion Devices, Inc. 3% 6/15/13

1,010,000

606,000

INFORMATION TECHNOLOGY - 0.1%

Communications Equipment - 0.1%

Lucent Technologies, Inc. 2.875% 6/15/25

2,841,800

2,388,888

Semiconductors & Semiconductor Equipment - 0.0%

Advanced Micro Devices, Inc. 6% 5/1/15

1,102,000

1,015,273

TOTAL INFORMATION TECHNOLOGY

3,404,161

TOTAL CONVERTIBLE BONDS

5,957,132

Nonconvertible Bonds - 26.1%

CONSUMER DISCRETIONARY - 2.9%

Auto Components - 0.1%

ArvinMeritor, Inc. 8.125% 9/15/15

3,250,000

2,957,500

DaimlerChrysler NA Holding Corp.:

5.75% 9/8/11

5,595,000

5,928,971

5.875% 3/15/11

2,077,000

2,163,316

Tenneco, Inc. 8.625% 11/15/14

2,735,000

2,693,975

The Goodyear Tire & Rubber Co. 10.5% 5/15/16

2,850,000

3,049,500

 

16,793,262

Corporate Bonds - continued

 

Principal Amount (d)

Value

Nonconvertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Diversified Consumer Services - 0.1%

Affinion Group, Inc. 11.5% 10/15/15

$ 1,990,000

$ 1,999,950

ServiceMaster Co. 10.75% 7/15/15 pay-in-kind (h)(o)

2,935,000

2,993,700

 

4,993,650

Hotels, Restaurants & Leisure - 0.5%

American Casino & Entertainment Properties LLC 11% 6/15/14

970,000

851,175

Carrols Corp. 9% 1/15/13

85,000

86,063

Chukchansi Economic Development Authority 8% 11/15/13 (h)

765,000

619,650

Host Marriott LP:

6.375% 3/15/15

250,000

242,500

7.125% 11/1/13

5,360,000

5,386,800

ITT Corp. 7.375% 11/15/15

1,130,000

1,169,550

McDonald's Corp. 5.35% 3/1/18

2,339,000

2,538,241

MGM Mirage, Inc.:

5.875% 2/27/14

980,000

818,300

7.5% 6/1/16

1,950,000

1,560,000

7.625% 1/15/17

975,000

765,375

10.375% 5/15/14 (h)

1,370,000

1,452,200

11.125% 11/15/17 (h)

975,000

1,053,000

11.375% 3/1/18 (h)

975,000

904,313

Park Place Entertainment Corp. 7.875% 3/15/10

480,000

478,800

Royal Caribbean Cruises Ltd.:

7.25% 3/15/18

465,000

441,750

11.875% 7/15/15

1,450,000

1,638,500

yankee:

7% 6/15/13

3,000,000

2,977,500

7.25% 6/15/16

5,365,000

5,230,875

7.5% 10/15/27

2,025,000

1,736,438

Scientific Games Corp.:

7.875% 6/15/16 (h)

2,145,000

2,145,000

9.25% 6/15/19

1,845,000

1,955,700

9.25% 6/15/19 (h)

1,800,000

1,908,000

Seminole Hard Rock Entertainment, Inc. 2.7536% 3/15/14 (h)(o)

3,010,000

2,678,900

Seneca Gaming Corp.:

Series B, 7.25% 5/1/12

2,250,000

2,193,750

7.25% 5/1/12

2,340,000

2,281,500

Corporate Bonds - continued

 

Principal Amount (d)

Value

Nonconvertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Hotels, Restaurants & Leisure - continued

Snoqualmie Entertainment Authority:

4.1356% 2/1/14 (h)(o)

$ 140,000

$ 95,200

9.125% 2/1/15 (h)

1,100,000

759,000

Starwood Hotels & Resorts Worldwide, Inc.:

7.15% 12/1/19

1,055,000

1,052,363

7.875% 10/15/14

1,350,000

1,441,125

Times Square Hotel Trust 8.528% 8/1/26 (h)

106,902

105,469

Town Sports International Holdings, Inc. 11% 2/1/14

2,270,000

1,935,175

Universal City Development Partners Ltd./UCDP Finance, Inc.:

8.875% 11/15/15 (h)

1,210,000

1,219,075

10.875% 11/15/16 (h)

1,045,000

1,077,604

Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.:

6.625% 12/1/14

3,510,000

3,369,600

6.625% 12/1/14

5,325,000

5,112,000

 

59,280,491

Household Durables - 0.3%

Controladora Mabe SA CV 7.875% 10/28/19 (h)

710,000

718,520

Fortune Brands, Inc.:

5.125% 1/15/11

4,239,000

4,374,372

5.875% 1/15/36

13,274,000

11,670,753

6.375% 6/15/14

6,250,000

6,805,450

Lennar Corp. 12.25% 6/1/17

1,610,000

1,927,975

Reliance Intermediate Holdings LP 9.5% 12/15/19 (h)

3,055,000

3,200,113

Standard Pacific Corp.:

7% 8/15/15

1,050,000

934,500

10.75% 9/15/16

2,370,000

2,476,650

 

32,108,333

Internet & Catalog Retail - 0.0%

Netflix, Inc. 8.5% 11/15/17

1,585,000

1,664,250

Leisure Equipment & Products - 0.0%

Eastman Kodak Co. 9.75% 3/1/18 (h)(j)

1,685,000

1,651,300

Media - 1.7%

AOL Time Warner, Inc.:

6.75% 4/15/11

1,882,000

1,990,836

6.875% 5/1/12

2,441,000

2,693,238

7.625% 4/15/31

500,000

582,560

Belo Corp. 8% 11/15/16

1,665,000

1,719,113

Corporate Bonds - continued

 

Principal Amount (d)

Value

Nonconvertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Media - continued

Cablemas SA de CV 9.375% 11/15/15 (Reg. S)

$ 700,000

$ 760,340

Cablevision Systems Corp. 8.625% 9/15/17 (h)

2,915,000

3,024,313

Catalina Marketing Corp. 10.5% 10/1/15 pay-in-kind (h)(o)

2,195,000

2,293,775

Cequel Communications Holdings / LLC and Cequel Capital Corp. 8.625% 11/15/17 (h)

3,930,000

3,930,000

Charter Communications Holdings II LLC/Charter Communications Holdings II Capital Corp. 13.5% 11/30/16 (h)

1,694,103

2,003,277

Charter Communications Operating LLC/Charter Communications Operating Capital Corp.:

8% 4/30/12 (h)(o)

3,865,000

4,019,600

8.375% 4/30/14 (h)(o)

2,220,000

2,253,300

Clear Channel Communications, Inc.:

5.5% 9/15/14

4,395,000

2,615,025

6.25% 3/15/11

985,000

935,750

10.75% 8/1/16

590,000

454,300

Clear Channel Worldwide Holdings, Inc.:

Series A 9.25% 12/15/17 (h)

555,000

566,100

Series B 9.25% 12/15/17 (h)

2,945,000

3,025,988

Comcast Cable Communications, Inc. 6.75% 1/30/11

511,000

536,317

Comcast Corp.:

4.95% 6/15/16

1,879,000

1,956,742

5.5% 3/15/11

382,000

399,075

5.7% 5/15/18

11,968,000

12,712,625

6.4% 3/1/40

4,490,000

4,568,458

6.45% 3/15/37

4,348,000

4,460,644

6.55% 7/1/39

9,000,000

9,397,260

COX Communications, Inc.:

4.625% 6/1/13

4,467,000

4,736,463

6.25% 6/1/18 (h)

765,000

824,072

CSC Holdings, Inc.:

8.5% 4/15/14 (h)

2,105,000

2,210,250

8.5% 6/15/15 (h)

2,340,000

2,457,000

8.625% 2/15/19 (h)

860,000

935,250

EchoStar Communications Corp.:

7.125% 2/1/16

1,345,000

1,345,000

7.75% 5/31/15

1,810,000

1,864,300

Corporate Bonds - continued

 

Principal Amount (d)

Value

Nonconvertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Media - continued

Interpublic Group of Companies, Inc.:

6.25% 11/15/14

$ 1,310,000

$ 1,270,700

10% 7/15/17

1,130,000

1,226,050

Kabel Deutschland GmbH 10.625% 7/1/14

4,825,000

5,066,250

Liberty Media Corp.:

5.7% 5/15/13

1,415,000

1,386,700

8.25% 2/1/30

245,000

220,500

Net Servicos de Comunicacao SA 7.5% 1/27/20 (h)

1,500,000

1,530,000

News America Holdings, Inc. 7.75% 12/1/45

170,000

199,651

News America, Inc.:

4.75% 3/15/10

244,000

244,103

5.3% 12/15/14

876,000

963,633

6.15% 3/1/37

2,970,000

2,973,911

6.2% 12/15/34

5,330,000

5,369,836

6.65% 11/15/37

11,762,000

12,468,567

6.9% 3/1/19

2,816,000

3,234,832

Nielsen Finance LLC/Nielsen Finance Co.:

0% 8/1/16 (e)

6,505,000

5,838,238

10% 8/1/14

3,975,000

4,143,938

11.5% 5/1/16

2,225,000

2,477,983

11.625% 2/1/14

2,325,000

2,604,000

Quebecor Media, Inc.:

7.75% 3/15/16

4,032,000

4,021,920

7.75% 3/15/16

2,485,000

2,478,788

Time Warner Cable, Inc.:

5% 2/1/20

11,363,000

11,254,904

5.4% 7/2/12

2,444,000

2,622,612

5.85% 5/1/17

2,607,000

2,803,234

6.2% 7/1/13

2,324,000

2,571,655

6.75% 7/1/18

13,473,000

15,068,594

Time Warner, Inc. 6.5% 11/15/36

11,565,000

12,248,688

Umbrella Acquisition, Inc. 10.5% 3/15/15 pay-in-kind (h)(o)

6,465,000

5,410,397

Univision Communications, Inc. 12% 7/1/14 (h)

1,955,000

2,121,175

UPC Holding BV 9.875% 4/15/18 (h)

555,000

574,425

Viacom, Inc.:

6.125% 10/5/17

4,235,000

4,649,407

6.25% 4/30/16

5,600,000

6,257,759

6.75% 10/5/37

1,460,000

1,533,501

Corporate Bonds - continued

 

Principal Amount (d)

Value

Nonconvertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Media - continued

Videotron Ltd.:

9.125% 4/15/18 (h)

$ 1,680,000

$ 1,822,800

9.125% 4/15/18

1,630,000

1,768,550

Visant Holding Corp. 8.75% 12/1/13

450,000

456,750

 

210,155,022

Multiline Retail - 0.1%

Matahari International Finance Co. BV 10.75% 8/7/12

1,925,000

1,953,875

Neiman Marcus Group, Inc.:

9% 10/15/15 pay-in-kind (o)

2,700,000

2,646,000

10.375% 10/15/15

455,000

452,725

The Bon-Ton Department Stores, Inc. 10.25% 3/15/14

3,090,000

2,773,275

 

7,825,875

Specialty Retail - 0.1%

Ltd. Brands, Inc. 8.5% 6/15/19

4,050,000

4,333,500

Toys 'R' Us Property Co. I LLC 10.75% 7/15/17 (h)

5,060,000

5,540,700

Toys 'R' Us, Inc. 7.375% 10/15/18

735,000

690,900

 

10,565,100

Textiles, Apparel & Luxury Goods - 0.0%

Levi Strauss & Co. 8.875% 4/1/16

1,270,000

1,308,100

TOTAL CONSUMER DISCRETIONARY

346,345,383

CONSUMER STAPLES - 1.4%

Beverages - 0.2%

Anheuser-Busch InBev Worldwide, Inc.:

6.875% 11/15/19 (h)

13,000,000

14,973,062

7.75% 1/15/19 (h)

4,750,000

5,717,537

Cerveceria Nacional Dominicana C por A 8% 3/27/14 (Reg. S)

100,000

104,375

Diageo Capital PLC 5.2% 1/30/13

1,037,000

1,129,672

FBG Finance Ltd. 5.125% 6/15/15 (h)

2,936,000

3,121,473

 

25,046,119

Food & Staples Retailing - 0.4%

Albertsons, Inc.:

7.45% 8/1/29

250,000

211,250

7.75% 6/15/26

600,000

525,000

8% 5/1/31

2,385,000

2,080,913

Corporate Bonds - continued

 

Principal Amount (d)

Value

Nonconvertible Bonds - continued

CONSUMER STAPLES - continued

Food & Staples Retailing - continued

CVS Caremark Corp.:

0.5556% 6/1/10 (o)

$ 2,296,000

$ 2,296,840

6.036% 12/10/28

14,022,760

14,005,232

6.302% 6/1/37 (o)

9,771,000

8,940,465

Rite Aid Corp.:

8.625% 3/1/15

1,910,000

1,604,400

9.375% 12/15/15

710,000

592,850

9.5% 6/15/17

775,000

641,313

SUPERVALU, Inc.:

7.5% 5/15/12

315,000

329,963

7.5% 11/15/14

1,595,000

1,602,975

8% 5/1/16

4,285,000

4,285,000

The Great Atlantic & Pacific Tea Co. 11.375% 8/1/15 (h)

2,330,000

2,225,150

Tops Markets LLC 10.125% 10/15/15 (h)

1,825,000

1,861,500

 

41,202,851

Food Products - 0.3%

Cargill, Inc. 6% 11/27/17 (h)

9,457,000

10,285,282

Ciliandra Perkasa Finance Co. Pte. Ltd. 10.75% 12/8/11 (Reg. S)

455,000

465,238

Dean Foods Co.:

6.9% 10/15/17

2,220,000

2,053,500

7% 6/1/16

1,590,000

1,510,500

Dole Food Co., Inc. 8% 10/1/16 (h)

3,500,000

3,570,000

General Mills, Inc. 5.65% 2/15/19

1,586,000

1,708,212

Kraft Foods, Inc.:

5.375% 2/10/20

10,631,000

10,998,673

5.625% 11/1/11

3,660,000

3,886,539

6.125% 2/1/18

5,261,000

5,771,790

6.75% 2/19/14

540,000

613,310

 

40,863,044

Personal Products - 0.0%

Avon Products, Inc. 4.8% 3/1/13

1,789,000

1,908,366

Tobacco - 0.5%

Altria Group, Inc.:

9.7% 11/10/18

22,622,000

28,448,635

9.95% 11/10/38

7,025,000

9,300,566

Corporate Bonds - continued

 

Principal Amount (d)

Value

Nonconvertible Bonds - continued

CONSUMER STAPLES - continued

Tobacco - continued

Philip Morris International, Inc.:

4.875% 5/16/13

$ 9,347,000

$ 10,068,701

5.65% 5/16/18

7,161,000

7,740,533

Reynolds American, Inc.:

6.75% 6/15/17

2,926,000

3,157,578

7.25% 6/15/37

4,865,000

5,023,497

 

63,739,510

TOTAL CONSUMER STAPLES

172,759,890

ENERGY - 3.1%

Energy Equipment & Services - 0.2%

Compagnie Generale de Geophysique SA:

7.5% 5/15/15

1,735,000

1,695,963

7.75% 5/15/17

2,675,000

2,601,438

DCP Midstream LLC 9.75% 3/15/19 (h)

4,663,000

5,908,706

Helix Energy Solutions Group, Inc. 9.5% 1/15/16 (h)

1,295,000

1,295,000

Hercules Offshore, Inc. 10.5% 10/15/17 (h)

1,940,000

1,930,300

Transocean Ltd. 5.25% 3/15/13

3,466,000

3,743,682

Weatherford International Ltd.:

4.95% 10/15/13

1,742,000

1,861,761

5.15% 3/15/13

2,277,000

2,422,425

7% 3/15/38

5,880,000

6,139,814

9.625% 3/1/19

1,500,000

1,911,065

 

29,510,154

Oil, Gas & Consumable Fuels - 2.9%

Adaro Indonesia PT 7.625% 10/22/19 (h)

815,000

810,925

Anadarko Petroleum Corp.:

5.95% 9/15/16

14,836,000

16,221,475

6.45% 9/15/36

2,115,000

2,217,377

Antero Resources Finance Corp. 9.375% 12/1/17 (h)

3,190,000

3,253,800

Arch Coal, Inc. 8.75% 8/1/16 (h)

1,030,000

1,071,200

Arch Western Finance LLC 6.75% 7/1/13

1,600,000

1,608,000

Atlas Pipeline Partners LP 8.125% 12/15/15

1,610,000

1,513,400

BW Group Ltd. 6.625% 6/28/17 (h)

2,957,000

2,746,435

Canadian Natural Resources Ltd.:

5.15% 2/1/13

4,498,000

4,842,250

5.7% 5/15/17

16,009,000

17,297,676

Corporate Bonds - continued

 

Principal Amount (d)

Value

Nonconvertible Bonds - continued

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Cenovus Energy, Inc.:

5.7% 10/15/19 (h)

$ 3,198,000

$ 3,373,813

6.75% 11/15/39 (h)

3,322,000

3,650,317

Chesapeake Energy Corp.:

6.5% 8/15/17

1,110,000

1,054,500

6.875% 1/15/16

300,000

294,000

7.5% 9/15/13

2,265,000

2,293,313

7.5% 6/15/14

1,105,000

1,116,050

7.625% 7/15/13

895,000

930,800

9.5% 2/15/15

2,005,000

2,180,438

ConocoPhillips:

4.6% 1/15/15

10,000,000

10,794,410

5.75% 2/1/19

2,930,000

3,216,604

Denbury Resources, Inc. 9.75% 3/1/16

1,060,000

1,144,800

Drummond Co., Inc.:

7.375% 2/15/16

5,390,000

5,012,700

9% 10/15/14 (h)

1,730,000

1,730,000

Duke Capital LLC:

6.25% 2/15/13

1,000,000

1,092,806

6.75% 2/15/32

10,542,000

10,999,238

Duke Energy Field Services:

5.375% 10/15/15 (h)

1,222,000

1,315,715

6.45% 11/3/36 (h)

2,400,000

2,405,813

6.875% 2/1/11

2,313,000

2,432,295

7.875% 8/16/10

1,037,000

1,069,577

El Paso Natural Gas Co. 5.95% 4/15/17

935,000

987,984

Enbridge Energy Partners LP:

5.875% 12/15/16

1,806,000

1,955,896

6.5% 4/15/18

2,372,000

2,611,318

EnCana Holdings Finance Corp. 5.8% 5/1/14

2,888,000

3,208,796

Enterprise Products Operating LP:

5.6% 10/15/14

1,955,000

2,130,276

5.65% 4/1/13

697,000

758,894

Forest Oil Corp. 8.5% 2/15/14

4,070,000

4,202,275

Frontier Oil Corp. 8.5% 9/15/16

1,950,000

1,974,375

Gulf South Pipeline Co. LP 5.75% 8/15/12 (h)

3,863,000

4,122,879

KazMunaiGaz Finance Sub BV:

8.375% 7/2/13 (h)

2,025,000

2,212,313

9.125% 7/2/18 (h)

1,340,000

1,534,300

Corporate Bonds - continued

 

Principal Amount (d)

Value

Nonconvertible Bonds - continued

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

KazMunaiGaz Finance Sub BV: - continued

11.75% 1/23/15 (h)

$ 1,860,000

$ 2,301,750

Lukoil International Finance BV 6.656% 6/7/22 (h)

1,222,000

1,173,120

Massey Energy Co. 6.875% 12/15/13

2,975,000

2,952,688

Motiva Enterprises LLC:

5.75% 1/15/20 (h)

3,578,000

3,765,770

6.85% 1/15/40 (h)

13,582,000

14,676,777

Naftogaz of Ukraine NJSC 9.5% 9/30/14

1,775,000

1,704,000

Nakilat, Inc.:

6.067% 12/31/33 (h)

4,384,000

3,903,427

6.267% 12/31/33 (Reg. S)

835,000

755,675

National Gas Co. of Trinidad & Tobago Ltd. 6.05% 1/15/36 (h)

240,000

223,426

Nexen, Inc.:

5.05% 11/20/13

3,845,000

4,137,985

5.2% 3/10/15

909,000

966,950

5.875% 3/10/35

240,000

228,975

6.4% 5/15/37

3,645,000

3,682,212

NGPL PipeCo LLC 6.514% 12/15/12 (h)

8,163,000

8,997,520

OPTI Canada, Inc.:

8.25% 12/15/14

1,595,000

1,413,649

9% 12/15/12 (h)

1,680,000

1,713,600

Overseas Shipholding Group, Inc.:

7.5% 2/15/24

500,000

435,625

8.75% 12/1/13

610,000

646,600

Pemex Project Funding Master Trust:

1.5536% 6/15/10 (h)(o)

1,245,000

1,245,000

6.625% 6/15/35

625,000

596,599

Petro-Canada:

6.05% 5/15/18

3,850,000

4,166,505

6.8% 5/15/38

8,950,000

9,838,842

Petrobras International Finance Co. Ltd.:

5.75% 1/20/20

12,170,000

12,275,891

6.875% 1/20/40

9,670,000

9,849,775

7.875% 3/15/19

10,219,000

11,751,850

8.375% 12/10/18

160,000

190,464

Petrohawk Energy Corp.:

7.875% 6/1/15

1,485,000

1,485,000

9.125% 7/15/13

3,845,000

4,008,413

Corporate Bonds - continued

 

Principal Amount (d)

Value

Nonconvertible Bonds - continued

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Petrohawk Energy Corp.: - continued

10.5% 8/1/14

$ 3,025,000

$ 3,289,688

Petroleos de Venezuela SA:

5.25% 4/12/17

5,965,000

3,608,825

5.375% 4/12/27

6,540,000

3,188,250

Petroleos Mexicanos 6% 3/5/20 (h)

775,000

788,563

Petroleum Co. of Trinidad & Tobago Ltd. (Reg. S) 6% 5/8/22

795,000

737,363

Petroleum Development Corp. 12% 2/15/18

1,605,000

1,685,250

Petroleum Export Ltd.:

4.623% 6/15/10

21,111

21,006

4.633% 6/15/10

78,889

78,494

5.265% 6/15/11 (Reg. S)

525,349

522,722

Pioneer Natural Resources Co.:

6.65% 3/15/17

4,605,000

4,512,900

7.5% 1/15/20

3,295,000

3,286,763

Plains All American Pipeline LP:

6.125% 1/15/17

6,185,000

6,706,018

7.75% 10/15/12

2,358,000

2,662,856

Plains Exploration & Production Co.:

7% 3/15/17

5,005,000

4,904,900

8.625% 10/15/19

2,105,000

2,189,200

10% 3/1/16

3,215,000

3,504,350

Quicksilver Resources, Inc.:

7.125% 4/1/16

2,960,000

2,782,400

9.125% 8/15/19

2,040,000

2,101,200

11.75% 1/1/16

2,255,000

2,548,150

Ras Laffan Liquefied Natural Gas Co. Ltd. 8.294% 3/15/14 (h)

2,688,300

2,929,234

Ras Laffan Liquefied Natural Gas Co. Ltd. III:

4.5% 9/30/12 (h)

4,773,000

4,974,230

5.5% 9/30/14 (h)

6,670,000

7,036,850

5.832% 9/30/16 (h)

1,343,000

1,419,618

6.332% 9/30/27 (h)

1,840,000

1,882,504

6.75% 9/30/19 (h)

4,366,000

4,764,398

Rockies Express Pipeline LLC 6.25% 7/15/13 (h)

2,720,000

3,019,154

Ship Finance International Ltd. 8.5% 12/15/13

2,065,000

2,003,050

Suncor Energy, Inc. 6.1% 6/1/18

10,851,000

11,791,185

Teekay Corp. 8.5% 1/15/20

1,350,000

1,380,375

Corporate Bonds - continued

 

Principal Amount (d)

Value

Nonconvertible Bonds - continued

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

TNK-BP Finance SA 7.5% 3/13/13 (Reg. S)

$ 2,680,000

$ 2,850,850

TransCanada PipeLines Ltd. 6.35% 5/15/67 (o)

2,371,000

2,228,218

Venoco, Inc. 11.5% 10/1/17

1,940,000

2,007,900

XTO Energy, Inc.:

5% 1/31/15

1,749,000

1,910,006

5.65% 4/1/16

1,200,000

1,344,518

YPF SA 10% 11/2/28

2,325,000

2,336,625

 

345,474,734

TOTAL ENERGY

374,984,888

FINANCIALS - 9.4%

Capital Markets - 1.9%

Bear Stearns Companies, Inc.:

0.3889% 10/22/10 (o)

2,340,000

2,340,950

4.5% 10/28/10

1,833,000

1,879,721

5.3% 10/30/15

1,170,000

1,243,504

BlackRock, Inc. 6.25% 9/15/17

8,408,000

9,308,808

Citigroup Capital XXI 8.3% 12/21/77 (o)

4,231,848

3,914,459

Equinox Holdings, Inc. 9.5% 2/1/16 (h)

970,000

960,300

Goldman Sachs Group, Inc.:

5.25% 10/15/13

5,903,000

6,360,754

5.625% 1/15/17

3,200,000

3,264,150

5.95% 1/18/18

3,989,000

4,186,459

6.15% 4/1/18

4,275,000

4,515,730

6.75% 10/1/37

18,895,000

18,319,931

7.5% 2/15/19

1,757,000

2,010,878

Janus Capital Group, Inc.:

6.125% 9/15/11 (f)

2,399,000

2,423,453

6.5% 6/15/12

4,172,000

4,179,868

JPMorgan Chase Capital XX 6.55% 9/29/36

10,020,000

9,376,385

JPMorgan Chase Capital XXV 6.8% 10/1/37

7,405,000

7,242,260

Lazard Group LLC:

6.85% 6/15/17

3,840,000

3,900,161

7.125% 5/15/15

1,377,000

1,465,061

Merrill Lynch & Co., Inc.:

5.45% 2/5/13

17,070,000

18,094,712

6.4% 8/28/17

2,720,000

2,831,952

Corporate Bonds - continued

 

Principal Amount (d)

Value

Nonconvertible Bonds - continued

FINANCIALS - continued

Capital Markets - continued

Merrill Lynch & Co., Inc.: - continued

6.875% 4/25/18

$ 6,836,000

$ 7,202,745

Morgan Stanley:

0.4994% 1/9/12 (o)

9,924,000

9,734,650

4.75% 4/1/14

2,429,000

2,469,044

5.05% 1/21/11

3,045,000

3,152,696

5.25% 11/2/12

244,000

260,796

5.45% 1/9/17

2,238,000

2,280,535

5.625% 9/23/19

11,500,000

11,402,112

5.95% 12/28/17

5,050,000

5,205,091

6% 5/13/14

17,110,000

18,506,587

6.6% 4/1/12

5,719,000

6,221,260

6.625% 4/1/18

15,268,000

16,244,892

6.75% 4/15/11

836,000

883,231

7.3% 5/13/19

8,304,000

9,181,849

MU Finance PLC 8.375% 2/1/17 (h)

2,735,000

2,564,063

Northern Trust Corp. 5.5% 8/15/13

2,560,000

2,817,759

Scotland International Finance No. 2 BV 7.7% 8/15/10 (h)

978,000

996,671

The Bank of New York, Inc. 4.95% 11/1/12

3,864,000

4,193,785

UBS AG Stamford Branch 5.75% 4/25/18

16,505,000

17,025,172

 

228,162,434

Commercial Banks - 1.8%

African Export-Import Bank 8.75% 11/13/14

940,000

1,017,550

Bank of America NA:

5.3% 3/15/17

3,315,000

3,261,387

6% 10/15/36

690,000

629,531

Bank One Corp. 5.25% 1/30/13

930,000

1,002,993

Barclays Bank PLC:

5% 9/22/16

15,675,000

16,003,203

5.125% 1/8/20

12,437,000

12,211,729

BB&T Capital Trust IV 6.82% 6/12/77 (o)

2,314,000

2,024,750

BB&T Corp. 6.5% 8/1/11

1,243,000

1,322,536

Chase Manhattan Corp. 7.875% 6/15/10

1,553,000

1,583,075

Credit Suisse New York Branch 6% 2/15/18

16,107,000

16,920,838

Credit Suisse New York Branch 5% 5/15/13

9,569,000

10,294,292

Credit Suisse New York Branch 5.4% 1/14/20

9,648,000

9,690,046

DBS Bank Ltd. (Singapore) 0.47% 5/16/17 (h)(o)

3,914,986

3,719,237

Corporate Bonds - continued

 

Principal Amount (d)

Value

Nonconvertible Bonds - continued

FINANCIALS - continued

Commercial Banks - continued

Development Bank of Philippines 8.375% (o)

$ 1,355,000

$ 1,402,425

Discover Bank 8.7% 11/18/19

12,480,000

13,464,897

EXIM of Ukraine 7.65% 9/7/11 (Issued by Credit Suisse London Branch for EXIM Ukraine)

5,505,000

5,257,275

Export-Import Bank of Korea:

5.125% 2/14/11

2,920,000

3,006,114

5.25% 2/10/14 (h)

565,000

600,130

5.5% 10/17/12

2,256,000

2,419,781

Fifth Third Bancorp:

4.5% 6/1/18

123,000

109,922

8.25% 3/1/38

2,099,000

2,162,056

Fifth Third Capital Trust IV 6.65% 4/15/37 (o)

5,260,000

4,181,700

HBOS PLC 6.75% 5/21/18 (h)

6,067,000

5,597,475

HSBC Holdings PLC:

0.4544% 10/6/16 (o)

1,143,000

1,098,287

6.5% 9/15/37

8,400,000

8,618,064

HSBK (Europe) B.V. 9.25% 10/16/13 (h)

2,775,000

2,837,438

JPMorgan Chase Bank 6% 10/1/17

2,095,000

2,252,020

KeyBank NA:

5.8% 7/1/14

3,619,000

3,696,671

7% 2/1/11

1,124,000

1,177,165

Korea Development Bank 4.625% 9/16/10

1,833,000

1,860,392

Lloyds TSB Bank PLC 5.8% 1/13/20 (h)

8,250,000

7,983,137

Manufacturers & Traders Trust Co. 1.7506% 4/1/13 (h)(o)

720,797

672,692

PNC Funding Corp.:

0.3888% 1/31/12 (o)

5,982,000

5,898,497

3.625% 2/8/15

6,137,000

6,171,490

Regions Financial Corp. 7.75% 11/10/14

6,120,000

6,296,225

RSHB Capital SA 9% 6/11/14 (h)

405,000

456,638

Santander Issuances SA Unipersonal:

0.6134% 6/20/16 (h)(o)

1,131,473

1,087,708

5.805% 6/20/16 (h)(o)

4,204,000

4,148,318

Sovereign Bank 1.9588% 8/1/13 (o)

985

972

Standard Chartered Bank 6.4% 9/26/17 (h)

3,365,000

3,605,389

UniCredit Luxembourg Finance SA 5.584% 1/13/17 (h)(o)

2,933,000

2,902,869

Union Planters Corp. 7.75% 3/1/11

600,000

603,993

UnionBanCal Corp. 5.25% 12/16/13

662,000

696,882

Corporate Bonds - continued

 

Principal Amount (d)

Value

Nonconvertible Bonds - continued

FINANCIALS - continued

Commercial Banks - continued

Wachovia Bank NA:

4.875% 2/1/15

$ 1,408,000

$ 1,463,668

6.6% 1/15/38

9,000,000

9,241,630

Wachovia Corp.:

0.3789% 4/23/12 (o)

543,000

536,643

0.3813% 10/15/11 (o)

4,016,000

3,994,655

5.625% 10/15/16

3,399,000

3,518,339

5.75% 6/15/17

2,933,000

3,096,116

Wells Fargo & Co. 5.625% 12/11/17

10,423,000

10,981,496

Wells Fargo Bank NA, San Francisco 6.45% 2/1/11

580,000

612,979

Zions Bancorp 7.75% 9/23/14

3,590,000

3,452,894

 

216,846,209

Consumer Finance - 1.2%

Capital One Bank USA NA 8.8% 7/15/19

6,680,000

8,027,222

Capital One Financial Corp.:

5.7% 9/15/11

5,251,000

5,519,667

7.375% 5/23/14

7,440,000

8,528,784

Discover Financial Services:

0.7843% 6/11/10 (o)

1,604,000

1,599,456

6.45% 6/12/17

9,775,000

9,454,849

10.25% 7/15/19

11,010,000

13,028,397

Ford Motor Credit Co. LLC:

7.5% 8/1/12

3,600,000

3,609,000

8% 6/1/14

3,390,000

3,423,900

8% 12/15/16

2,135,000

2,143,835

8.125% 1/15/20

4,105,000

4,098,962

12% 5/15/15

3,440,000

3,913,000

General Electric Capital Corp.:

5.625% 9/15/17

5,858,000

6,131,938

5.625% 5/1/18

25,000,000

25,707,725

5.875% 1/14/38

14,000,000

12,997,502

6.375% 11/15/67 (o)

9,000,000

8,010,000

GMAC LLC:

6.75% 12/1/14

4,595,000

4,388,225

8% 11/1/31

1,600,000

1,468,000

Household Finance Corp. 6.375% 10/15/11

1,860,000

1,979,419

HSBC Finance Corp.:

5.25% 1/14/11

1,308,000

1,350,191

Corporate Bonds - continued

 

Principal Amount (d)

Value

Nonconvertible Bonds - continued

FINANCIALS - continued

Consumer Finance - continued

HSBC Finance Corp.: - continued

5.25% 1/15/14

$ 1,054,000

$ 1,117,717

MBNA America Bank NA 7.125% 11/15/12 (h)

693,000

762,436

MBNA Corp. 7.5% 3/15/12

1,608,000

1,759,096

National Money Mart Co. 10.375% 12/15/16 (h)

2,975,000

3,108,875

Nissan Motor Acceptance Corp. 4.625% 3/8/10 (h)

4,245,000

4,246,061

ORIX Corp. 5.48% 11/22/11

385,000

395,217

SLM Corp.:

0.4536% 3/15/11 (o)

112,000

107,809

0.4789% 10/25/11 (o)

12,343,000

11,636,585

Systems 2001 Asset Trust LLC 7.156% 12/15/11 (h)

303,861

317,626

 

148,831,494

Diversified Financial Services - 1.3%

Bank of America Corp.:

5.75% 12/1/17

4,590,000

4,648,086

8% (o)

970,000

921,500

8.125% (o)

2,910,000

2,779,050

Calpine Construction Finance Co. LP 8% 6/1/16 (h)

2,835,000

2,863,350

CIT Group, Inc.:

7% 5/1/13

362,745

340,073

7% 5/1/14

544,117

500,588

7% 5/1/15

544,117

493,786

7% 5/1/16

906,861

809,373

7% 5/1/17

1,269,604

1,123,600

Citigroup, Inc.:

0.34% 5/18/11 (o)

2,811,000

2,784,433

5.3% 10/17/12

9,674,000

10,163,340

5.5% 4/11/13

13,549,000

14,182,362

6.125% 5/15/18

15,634,000

15,686,608

6.5% 1/18/11

1,307,000

1,360,445

6.5% 8/19/13

10,774,000

11,588,988

GlaxoSmithKline Capital, Inc. 5.65% 5/15/18

8,874,000

9,706,701

Hilcorp Energy I LP/Hilcorp Finance Co. 7.75% 11/1/15 (h)

2,110,000

2,051,975

Icahn Enterprises LP/Icahn Enterprises Finance Corp.:

7.75% 1/15/16 (h)

2,605,000

2,461,725

8% 1/15/18 (h)

2,605,000

2,461,725

ILFC E-Capital Trust II 6.25% 12/21/65 (h)(o)

1,250,000

662,500

Corporate Bonds - continued

 

Principal Amount (d)

Value

Nonconvertible Bonds - continued

FINANCIALS - continued

Diversified Financial Services - continued

International Lease Finance Corp.:

5.4% 2/15/12

$ 2,864,000

$ 2,636,793

5.625% 9/20/13

380,000

324,143

5.65% 6/1/14

11,820,000

10,034,672

6.375% 3/25/13

1,858,000

1,636,445

6.625% 11/15/13

3,526,000

3,102,880

JPMorgan Chase & Co.:

4.891% 9/1/15 (o)

2,729,000

2,753,648

5.6% 6/1/11

2,139,000

2,262,735

5.75% 1/2/13

2,217,000

2,410,600

6.75% 2/1/11

376,000

395,720

Kazakhstan Temir Zholy Finance BV 6.5% 5/11/11

405,000

402,975

Leucadia National Corp. 7.125% 3/15/17

485,000

475,300

NSG Holdings II, LLC 7.75% 12/15/25 (h)

6,605,000

5,713,325

Prime Property Funding, Inc.:

5.125% 6/1/15 (h)

1,090,000

967,385

5.5% 1/15/14 (h)

695,000

663,745

5.7% 4/15/17 (h)

1,696,000

1,501,861

SIRENS B.V. Series 2007-2 Class A1, 2.0513% 4/13/10 (h)(o)

10,000,000

9,771,000

Sunwest Management, Inc. 7.9726% 2/10/15

370,194

259,135

TMK Capital SA 10% 7/29/11

2,000,000

2,092,400

TransCapitalInvest Ltd. 5.67% 3/5/14 (h)

3,238,000

3,310,913

UPC Germany GmbH 8.125% 12/1/17 (h)

2,820,000

2,841,150

Wind Acquisition Holdings Finance SA 12.25% 7/15/17 pay-in-kind (h)(o)

4,780,000

4,253,337

ZFS Finance USA Trust II 6.45% 12/15/65 (h)(o)

5,755,000

5,179,500

ZFS Finance USA Trust IV 5.875% 5/9/62 (h)(o)

1,673,000

1,517,344

ZFS Finance USA Trust V 6.5% 5/9/67 (h)(o)

3,125,000

2,812,500

 

154,909,714

Insurance - 1.4%

Allstate Corp.:

5.55% 5/9/35

7,505,000

7,232,584

6.2% 5/16/14

6,893,000

7,758,375

7.45% 5/16/19

6,826,000

8,016,782

American International Group, Inc.:

4.25% 5/15/13

645,000

596,284

5.05% 10/1/15

450,000

380,219

Corporate Bonds - continued

 

Principal Amount (d)

Value

Nonconvertible Bonds - continued

FINANCIALS - continued

Insurance - continued

American International Group, Inc.: - continued

5.45% 5/18/17

$ 1,655,000

$ 1,344,989

5.6% 10/18/16

1,820,000

1,506,485

5.85% 1/16/18

570,000

460,254

8.175% 5/15/68 (o)

7,875,000

5,315,625

8.25% 8/15/18

650,000

596,469

Assurant, Inc.:

5.625% 2/15/14

1,912,000

1,992,916

6.75% 2/15/34

1,967,000

1,838,421

Axis Capital Holdings Ltd. 5.75% 12/1/14

558,000

588,115

Great-West Life & Annuity Insurance Co. 7.153% 5/16/46 (h)(o)

1,491,000

1,341,900

Jackson National Life Global Funding 5.375% 5/8/13 (h)

753,000

804,008

Liberty Mutual Group, Inc. 6.5% 3/15/35 (h)

594,000

504,979

Massachusetts Mutual Life Insurance Co. 8.875% 6/1/39 (h)

8,000,000

9,878,352

Merna Reinsurance Ltd. Series 2007-1 Class B, 2.0006% 6/30/12 (h)(o)

7,114,000

7,035,746

MetLife, Inc.:

5% 6/15/15

1,163,000

1,227,259

6.125% 12/1/11

990,000

1,067,369

6.75% 6/1/16

7,610,000

8,454,512

7.717% 2/15/19

5,192,000

6,036,972

Metropolitan Life Global Funding I:

4.625% 8/19/10 (h)

3,299,000

3,348,251

5.125% 4/10/13 (h)

559,000

603,773

5.125% 6/10/14 (h)

6,751,000

7,245,139

Monumental Global Funding II 5.65% 7/14/11 (h)

1,652,000

1,729,978

Monumental Global Funding III 5.5% 4/22/13 (h)

2,202,000

2,347,074

New York Life Insurance Co. 6.75% 11/15/39 (h)

6,360,000

6,852,862

Pacific Life Global Funding 5.15% 4/15/13 (h)

11,281,000

11,958,379

Pacific Life Insurance Co. 9.25% 6/15/39 (h)

9,800,000

11,718,017

Pacific LifeCorp 6% 2/10/20 (h)

5,766,000

5,719,128

Provident Companies, Inc. 7% 7/15/18

785,000

800,161

Prudential Financial, Inc.:

3.625% 9/17/12

11,000,000

11,292,655

4.75% 9/17/15

11,000,000

11,375,496

5.15% 1/15/13

2,167,000

2,307,123

Corporate Bonds - continued

 

Principal Amount (d)

Value

Nonconvertible Bonds - continued

FINANCIALS - continued

Insurance - continued

Prudential Financial, Inc.: - continued

5.4% 6/13/35

$ 452,000

$ 402,931

5.5% 3/15/16

425,000

447,052

5.7% 12/14/36

384,000

359,502

6.2% 1/15/15

1,180,000

1,298,465

7.375% 6/15/19

3,230,000

3,714,061

8.875% 6/15/38 (o)

1,915,000

2,056,231

QBE Insurance Group Ltd. 5.647% 7/1/23 (h)(o)

3,342,000

3,059,952

Symetra Financial Corp. 6.125% 4/1/16 (h)

5,181,000

5,054,822

The Chubb Corp. 5.75% 5/15/18

4,035,000

4,397,815

The St. Paul Travelers Companies, Inc. 8.125% 4/15/10

1,249,000

1,259,372

 

173,326,854

Real Estate Investment Trusts - 0.4%

AvalonBay Communities, Inc.:

4.95% 3/15/13

367,000

387,992

5.5% 1/15/12

1,759,000

1,855,585

Camden Property Trust:

5.375% 12/15/13

656,000

688,553

5.875% 11/30/12

2,958,000

3,102,200

Developers Diversified Realty Corp.:

4.625% 8/1/10

3,013,000

3,010,237

5% 5/3/10

2,241,000

2,242,129

5.25% 4/15/11

2,432,000

2,423,721

5.375% 10/15/12

1,286,000

1,269,341

Duke Realty LP:

4.625% 5/15/13

627,000

634,759

5.875% 8/15/12

1,009,000

1,056,359

Equity One, Inc.:

6% 9/15/17

854,000

798,979

6.25% 12/15/14

5,251,000

5,414,500

6.25% 1/15/17

494,000

486,196

Federal Realty Investment Trust:

5.4% 12/1/13

413,000

435,234

5.9% 4/1/20

2,450,000

2,462,025

6% 7/15/12

2,933,000

3,142,484

6.2% 1/15/17

620,000

639,064

HMB Capital Trust V 3.8536% 12/15/36 (c)(h)(o)

270,000

27

Corporate Bonds - continued

 

Principal Amount (d)

Value

Nonconvertible Bonds - continued

FINANCIALS - continued

Real Estate Investment Trusts - continued

HRPT Properties Trust:

5.75% 11/1/15

$ 890,000

$ 899,215

6.25% 6/15/17

1,232,000

1,199,300

6.65% 1/15/18

618,000

610,262

Liberty Property Trust 8.5% 8/1/10

6,245,000

6,371,661

Omega Healthcare Investors, Inc.:

7% 4/1/14

7,000,000

6,930,000

7% 1/15/16

1,960,000

1,945,300

Rouse Co.:

5.375% 11/26/13 (c)

145,000

154,425

7.2% 9/15/12 (c)

10,000

11,200

Senior Housing Properties Trust 8.625% 1/15/12

250,000

258,125

UDR, Inc. 5.5% 4/1/14

2,755,000

2,843,283

Washington (REIT) 5.95% 6/15/11

3,637,000

3,742,819

 

55,014,975

Real Estate Management & Development - 1.0%

AMB Property LP 5.9% 8/15/13

2,580,000

2,694,815

Arden Realty LP 5.2% 9/1/11

1,339,000

1,402,398

Brandywine Operating Partnership LP:

5.625% 12/15/10

4,079,000

4,156,893

5.7% 5/1/17

5,943,000

5,598,764

5.75% 4/1/12

2,463,000

2,537,323

Colonial Properties Trust 6.875% 8/15/12

4,000,000

4,110,000

Colonial Realty LP 6.05% 9/1/16

2,000,000

1,906,106

Duke Realty LP:

5.4% 8/15/14

5,247,000

5,329,987

5.625% 8/15/11

2,957,000

3,073,302

5.95% 2/15/17

699,000

687,216

6.25% 5/15/13

14,190,000

14,982,236

6.5% 1/15/18

3,795,000

3,781,031

ERP Operating LP:

5.25% 9/15/14

1,310,000

1,382,788

5.375% 8/1/16

2,681,000

2,764,457

5.5% 10/1/12

3,655,000

3,908,785

5.75% 6/15/17

9,733,000

10,083,261

Forest City Enterprises, Inc. 7.625% 6/1/15

100,000

90,000

Highwoods/Forsyth LP 5.85% 3/15/17

615,000

592,054

Corporate Bonds - continued

 

Principal Amount (d)

Value

Nonconvertible Bonds - continued

FINANCIALS - continued

Real Estate Management & Development - continued

Host Hotels & Resorts LP:

6.875% 11/1/14

$ 835,000

$ 832,913

9% 5/15/17 (h)

2,135,000

2,284,450

Liberty Property LP:

5.125% 3/2/15

848,000

844,276

5.5% 12/15/16

1,487,000

1,458,665

6.625% 10/1/17

3,785,000

3,870,284

Mack-Cali Realty LP:

5.05% 4/15/10

811,000

813,258

7.75% 2/15/11

976,000

1,025,110

Post Apartment Homes LP:

5.45% 6/1/12

1,355,000

1,359,925

6.3% 6/1/13

2,397,000

2,492,300

Reckson Operating Partnership LP 6% 3/31/16

3,651,000

3,502,010

Regency Centers LP:

4.95% 4/15/14

611,000

586,907

5.25% 8/1/15

2,133,000

2,160,774

5.875% 6/15/17

1,056,000

1,050,996

Simon Property Group LP:

4.2% 2/1/15

3,659,000

3,702,586

4.6% 6/15/10

584,000

589,716

4.875% 8/15/10

675,000

685,679

6.75% 2/1/40

9,616,000

9,664,292

Tanger Properties LP 6.15% 11/15/15

24,000

24,832

Teachers Insurance & Annuity Association America 6.85% 12/16/39 (h)

6,200,000

6,681,535

Toys 'R' Us Property Co. II LLC 8.5% 12/1/17 (h)

2,455,000

2,491,825

Ventas Realty LP:

6.5% 6/1/16

105,000

104,738

6.5% 6/1/16

450,000

448,875

6.625% 10/15/14

3,505,000

3,540,050

6.75% 4/1/17

250,000

250,000

 

119,547,412

Thrifts & Mortgage Finance - 0.4%

Bank of America Corp.:

4.9% 5/1/13

7,817,000

8,210,297

5.65% 5/1/18

12,000,000

11,969,880

6.5% 8/1/16

9,000,000

9,674,649

Corporate Bonds - continued

 

Principal Amount (d)

Value

Nonconvertible Bonds - continued

FINANCIALS - continued

Thrifts & Mortgage Finance - continued

Bank of America Corp.: - continued

7.375% 5/15/14

$ 1,930,000

$ 2,170,208

Countrywide Financial Corp. 5.8% 6/7/12

2,916,000

3,105,356

Countrywide Home Loans, Inc. 4% 3/22/11

4,327,000

4,456,775

Independence Community Bank Corp.:

2.0706% 4/1/14 (o)

4,218,000

4,164,318

4.9% 9/23/10

1,696,000

1,732,294

Wrightwood Capital LLC 10.5% 6/1/14 (c)(h)

100,000

36,500

 

45,520,277

TOTAL FINANCIALS

1,142,159,369

HEALTH CARE - 0.9%

Biotechnology - 0.0%

Amgen, Inc. 5.85% 6/1/17

2,956,000

3,279,487

Health Care Equipment & Supplies - 0.2%

Biomet, Inc.:

10% 10/15/17

4,825,000

5,259,250

10.375% 10/15/17 pay-in-kind (o)

3,155,000

3,438,950

11.625% 10/15/17

5,185,000

5,742,388

Inverness Medical Innovations, Inc.:

7.875% 2/1/16 (h)

1,485,000

1,440,450

9% 5/15/16

2,790,000

2,803,950

 

18,684,988

Health Care Providers & Services - 0.5%

Apria Healthcare Group, Inc.:

11.25% 11/1/14 (h)

1,705,000

1,824,350

12.375% 11/1/14 (h)

985,000

1,061,338

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

4,985,000

5,159,475

Coventry Health Care, Inc.:

5.95% 3/15/17

1,747,000

1,655,213

6.3% 8/15/14

3,618,000

3,689,336

DASA Finance Corp. 8.75% 5/29/18 (h)

405,000

429,300

Express Scripts, Inc.:

5.25% 6/15/12

7,157,000

7,668,117

6.25% 6/15/14

4,238,000

4,744,102

7.25% 6/15/19

2,744,000

3,193,352

Corporate Bonds - continued

 

Principal Amount (d)

Value

Nonconvertible Bonds - continued

HEALTH CARE - continued

Health Care Providers & Services - continued

HCA, Inc.:

8.5% 4/15/19 (h)

$ 3,030,000

$ 3,249,675

9.125% 11/15/14

3,905,000

4,114,894

9.25% 11/15/16

4,905,000

5,211,563

9.625% 11/15/16 pay-in-kind (o)

11,255,066

12,042,921

9.875% 2/15/17 (h)

540,000

583,200

Psychiatric Solutions, Inc.:

7.75% 7/15/15

985,000

935,750

7.75% 7/15/15 (h)

775,000

722,688

Rural/Metro Corp. 0% 3/15/16 (e)

995,000

1,039,775

Skilled Healthcare Group, Inc. 11% 1/15/14

64,000

66,560

Sun Healthcare Group, Inc. 9.125% 4/15/15

10,000

10,175

Vanguard Health Holding Co. II LLC/Vanguard Health Holding Co. II, Inc. 8% 2/1/18 (h)

3,985,000

3,915,263

Viant Holdings, Inc. 10.125% 7/15/17 (h)

26,000

25,350

 

61,342,397

Health Care Technology - 0.1%

DJO Finance LLC / DJO Finance Corp. 10.875% 11/15/14

7,885,000

8,417,238

Pharmaceuticals - 0.1%

AstraZeneca PLC 5.9% 9/15/17

3,520,000

3,987,203

Bristol-Myers Squibb Co. 5.45% 5/1/18

2,932,000

3,180,739

Novartis Capital Corp. 4.125% 2/10/14

2,930,000

3,122,920

Roche Holdings, Inc. 5% 3/1/14 (h)

5,943,000

6,436,198

Teva Pharmaceutical Finance LLC 5.55% 2/1/16

958,000

1,043,704

 

17,770,764

TOTAL HEALTH CARE

109,494,874

INDUSTRIALS - 1.2%

Aerospace & Defense - 0.1%

BAE Systems Holdings, Inc.:

6.375% 6/1/19 (h)

8,071,000

8,858,657

6.4% 12/15/11 (h)

818,000

880,665

BE Aerospace, Inc. 8.5% 7/1/18

2,875,000

3,011,563

Bombardier, Inc. 6.3% 5/1/14 (h)

340,000

349,350

Triumph Group, Inc. 8% 11/15/17 (h)

2,080,000

2,100,800

 

15,201,035

Corporate Bonds - continued

 

Principal Amount (d)

Value

Nonconvertible Bonds - continued

INDUSTRIALS - continued

Airlines - 0.4%

American Airlines, Inc. 10.5% 10/15/12 (h)

$ 3,200,000

$ 3,280,000

American Airlines, Inc. pass-thru trust certificates:

6.817% 5/23/11

3,390,000

3,339,150

6.977% 11/23/22

1,052,377

831,378

6.978% 10/1/12

248,187

246,946

8.608% 10/1/12

960,000

926,400

10.375% 7/2/19

1,891,877

2,118,902

AMR Corp. 9% 8/1/12

485,000

404,975

Continental Airlines, Inc.:

pass-thru trust certificates:

7.566% 9/15/21

268,992

253,525

7.73% 9/15/12

18,833

18,551

7.875% 7/2/18

1,418,256

1,226,791

9.798% 4/1/21

632,995

566,531

6.648% 3/15/19

2,973,301

2,869,236

6.82% 5/1/18

221,731

207,873

6.9% 7/2/19

834,780

827,476

Continental Airlines, Inc. 9.25% 5/10/17

3,060,000

3,060,000

Delta Air Lines, Inc. pass-thru trust certificates:

6.821% 8/10/22

350,562

336,540

7.57% 11/18/10

11,016,000

11,195,010

8.021% 8/10/22

1,705,500

1,552,005

8.954% 8/10/14

2,310,672

2,137,371

Northwest Airlines, Inc. pass-thru trust certificates 8.028% 11/1/17

1,039,635

935,672

U.S. Airways pass-thru trust certificates:

6.85% 7/30/19

1,971,391

1,660,897

8.36% 7/20/20

1,464,646

1,351,136

United Air Lines, Inc.:

9.875% 8/1/13 (h)

785,000

786,963

12% 11/1/13 (h)

995,000

965,150

United Air Lines, Inc. pass-thru trust certificates:

Class B, 7.336% 7/2/19

855,119

658,442

9.75% 1/15/17

2,400,000

2,502,000

12% 1/15/16 (h)

855,000

857,138

 

45,116,058

Commercial Services & Supplies - 0.1%

ACCO Brands Corp. 10.625% 3/15/15 (h)

795,000

862,575

Corporate Bonds - continued

 

Principal Amount (d)

Value

Nonconvertible Bonds - continued

INDUSTRIALS - continued

Commercial Services & Supplies - continued

ARAMARK Corp.:

3.7488% 2/1/15 (o)

$ 5,440,000

$ 4,868,800

8.5% 2/1/15

2,775,000

2,802,750

Clean Harbors, Inc. 7.625% 8/15/16

1,060,000

1,070,600

United Rentals North America, Inc.:

7.75% 11/15/13

1,955,000

1,823,038

9.25% 12/15/19

1,965,000

1,906,050

 

13,333,813

Construction & Engineering - 0.0%

Odebrecht Finance Ltd. 7% 4/21/20 (h)

460,000

462,300

Odebrecht Overseas Ltd. 9.625%

150,000

151,875

 

614,175

Industrial Conglomerates - 0.3%

Covidien International Finance SA:

5.15% 10/15/10

2,528,000

2,595,647

5.45% 10/15/12

618,000

678,623

6% 10/15/17

2,929,000

3,234,732

General Electric Co. 5.25% 12/6/17

17,730,000

18,605,951

Otter Tail Corp. 9% 12/15/16

2,410,000

2,506,400

Sequa Corp.:

11.75% 12/1/15 (h)

1,415,000

1,372,550

13.5% 12/1/15 pay-in-kind (h)

901,711

892,694

 

29,886,597

Machinery - 0.1%

Atlas Copco AB 5.6% 5/22/17 (h)

611,000

636,958

Case Corp. 7.25% 1/15/16

1,780,000

1,775,550

Case New Holland, Inc. 7.75% 9/1/13 (h)

2,355,000

2,372,663

Navistar International Corp. 8.25% 11/1/21

1,610,000

1,626,100

Oshkosh Corp. 8.25% 3/1/17 (h)

980,000

980,000

RBS Global, Inc. / Rexnord Corp.:

9.5% 8/1/14

1,870,000

1,898,050

9.5% 8/1/14 (h)

652,000

655,260

11.75% 8/1/16

1,860,000

1,934,400

Terex Corp. 8% 11/15/17

2,284,000

2,135,540

 

14,014,521

Corporate Bonds - continued

 

Principal Amount (d)

Value

Nonconvertible Bonds - continued

INDUSTRIALS - continued

Marine - 0.0%

Navios Maritime Holdings, Inc.:

8.875% 11/1/17 (h)

$ 1,005,000

$ 1,020,075

9.5% 12/15/14

3,070,000

3,039,300

 

4,059,375

Professional Services - 0.0%

FTI Consulting, Inc. 7.625% 6/15/13

1,790,000

1,790,000

Road & Rail - 0.2%

Avis Budget Car Rental LLC/Avis Budget Finance, Inc.:

7.625% 5/15/14

4,105,000

3,807,388

7.75% 5/15/16

3,975,000

3,587,438

Hertz Corp.:

8.875% 1/1/14

6,065,000

6,148,394

10.5% 1/1/16

2,240,000

2,307,200

Swift Transportation Co., Inc. 12.5% 5/15/17 (h)

2,285,000

2,056,500

 

17,906,920

Trading Companies & Distributors - 0.0%

VWR Funding, Inc. 10.25% 7/15/15 pay-in-kind (o)

1,819,687

1,928,868

TOTAL INDUSTRIALS

143,851,362

INFORMATION TECHNOLOGY - 0.7%

Communications Equipment - 0.2%

Avaya, Inc. 10.875% 11/1/15 pay-in-kind (o)

2,056,000

1,818,232

Cisco Systems, Inc.:

4.45% 1/15/20

6,126,000

6,120,860

5.5% 1/15/40

6,126,000

5,942,165

Lucent Technologies, Inc.:

6.45% 3/15/29

5,400,000

3,834,000

6.5% 1/15/28

1,940,000

1,367,700

 

19,082,957

Computers & Peripherals - 0.0%

Seagate Technology HDD Holdings 6.8% 10/1/16

5,910,000

5,895,225

Electronic Equipment & Components - 0.1%

Intcomex, Inc. 13.25% 12/15/14 (h)

1,510,000

1,517,550

Jabil Circuit, Inc.:

7.75% 7/15/16

2,915,000

3,017,025

8.25% 3/15/18

2,360,000

2,519,300

Corporate Bonds - continued

 

Principal Amount (d)

Value

Nonconvertible Bonds - continued

INFORMATION TECHNOLOGY - continued

Electronic Equipment & Components - continued

Tyco Electronics Group SA:

5.95% 1/15/14

$ 2,950,000

$ 3,198,785

6% 10/1/12

3,877,000

4,196,853

6.55% 10/1/17

2,360,000

2,597,168

 

17,046,681

Internet Software & Services - 0.1%

Equinix, Inc. 8.125% 3/1/18

2,530,000

2,530,000

Terremark Worldwide, Inc. 12% 6/15/17 (h)

3,465,000

3,794,175

 

6,324,175

IT Services - 0.1%

Ceridian Corp. 11.25% 11/15/15

2,610,000

2,479,500

First Data Corp.:

9.875% 9/24/15

4,450,000

3,849,250

10.55% 9/24/15 pay-in-kind (o)

2,415,000

1,982,816

 

8,311,566

Office Electronics - 0.1%

Xerox Capital Trust I 8% 2/1/27

8,230,000

8,127,125

Xerox Corp. 5.5% 5/15/12

1,602,000

1,705,398

 

9,832,523

Semiconductors & Semiconductor Equipment - 0.1%

Advanced Micro Devices, Inc. 8.125% 12/15/17 (h)

2,535,000

2,566,688

Amkor Technology, Inc.:

7.75% 5/15/13

2,930,000

2,966,625

9.25% 6/1/16

2,610,000

2,701,350

Freescale Semiconductor, Inc.:

9.875% 12/15/14 pay-in-kind (o)

2,441,044

2,080,261

10.125% 12/15/16

2,560,000

1,977,600

National Semiconductor Corp. 0.5036% 6/15/10 (o)

3,100,704

3,095,929

Viasystems, Inc. 12% 1/15/15 (h)

1,590,000

1,701,300

 

17,089,753

TOTAL INFORMATION TECHNOLOGY

83,582,880

MATERIALS - 1.7%

Chemicals - 0.5%

Berry Plastics Corp. 5.0013% 2/15/15 (o)

1,975,000

1,836,750

Corporate Bonds - continued

 

Principal Amount (d)

Value

Nonconvertible Bonds - continued

MATERIALS - continued

Chemicals - continued

Dow Chemical Co.:

4.85% 8/15/12

$ 9,460,000

$ 10,069,716

7.6% 5/15/14

15,028,000

17,167,942

8.55% 5/15/19

10,360,000

12,524,339

E.I. du Pont de Nemours & Co. 4.625% 1/15/20

8,002,000

8,085,853

Huntsman International LLC 5.5% 6/30/16 (h)

3,195,000

2,819,588

Lubrizol Corp. 8.875% 2/1/19

928,000

1,169,448

NOVA Chemicals Corp.:

3.6494% 11/15/13 (o)

2,720,000

2,454,800

6.5% 1/15/12

4,240,000

4,208,200

8.375% 11/1/16 (h)

1,940,000

1,910,900

8.625% 11/1/19 (h)

1,935,000

1,910,813

 

64,158,349

Construction Materials - 0.0%

CRH America, Inc. 6% 9/30/16

1,833,000

1,954,506

Containers & Packaging - 0.2%

Berry Plastics Escrow LLC/Berry Plastics Escrow Corp.:

8.25% 11/15/15 (h)

3,805,000

3,805,000

8.875% 9/15/14 (h)

2,455,000

2,326,113

Crown Cork & Seal, Inc. 7.375% 12/15/26

4,250,000

3,867,500

Pactiv Corp.:

5.875% 7/15/12

1,713,000

1,839,346

6.4% 1/15/18

1,749,000

1,880,640

Rock-Tenn Co.:

9.25% 3/15/16

2,215,000

2,381,125

9.25% 3/15/16 (h)

505,000

542,875

Vitro SAB de CV 8.625% 2/1/12 (c)

6,020,000

2,724,050

 

19,366,649

Metals & Mining - 0.9%

Algoma Acquisition Corp. 9.875% 6/15/15 (h)

1,200,000

1,053,000

Anglo American Capital PLC:

9.375% 4/8/14 (h)

5,953,000

7,190,075

9.375% 4/8/19 (h)

14,140,000

18,086,375

BHP Billiton Financial (USA) Ltd. 5.125% 3/29/12

1,975,000

2,120,109

Corporacion Nacional del Cobre (Codelco) 6.375% 11/30/12 (h)

2,002,000

2,214,883

CSN Islands XI Corp. 6.875% 9/21/19 (h)

1,500,000

1,518,750

Edgen Murray Corp. 12.25% 1/15/15 (h)

4,970,000

4,497,850

Corporate Bonds - continued

 

Principal Amount (d)

Value

Nonconvertible Bonds - continued

MATERIALS - continued

Metals & Mining - continued

Essar Steel Algoma, Inc. 9.375% 3/15/15 (h)

$ 3,100,000

$ 3,053,500

Evraz Group SA 8.875% 4/24/13 (h)

2,200,000

2,271,500

FMG Finance Property Ltd.:

10% 9/1/13 (h)

5,580,000

5,886,900

10.625% 9/1/16 (h)

789,000

877,763

McJunkin Red Man Corp. 9.5% 12/15/16 (h)

5,660,000

5,688,300

Rio Tinto Finance (USA) Ltd.:

5.875% 7/15/13

3,264,000

3,589,610

6.5% 7/15/18

9,474,000

10,681,622

7.125% 7/15/28

8,900,000

10,122,682

8.95% 5/1/14

7,108,000

8,625,210

Severstal Columbus LLC 10.25% 2/15/18 (h)

2,940,000

3,028,200

Steel Dynamics, Inc.:

6.75% 4/1/15

2,240,000

2,161,600

7.375% 11/1/12

1,985,000

2,004,850

Tube City IMS Corp. 9.75% 2/1/15

1,700,000

1,627,750

United States Steel Corp. 6.65% 6/1/37

2,648,000

2,228,027

Vale Overseas Ltd. 6.25% 1/23/17

5,007,000

5,300,986

 

103,829,542

Paper & Forest Products - 0.1%

Domtar Corp.:

7.125% 8/15/15

5,195,000

5,207,988

10.75% 6/1/17

2,420,000

2,825,350

Verso Paper Holdings LLC/Verso Paper, Inc.:

3.9988% 8/1/14 (o)

100,000

80,000

11.5% 7/1/14 (h)

3,795,000

4,041,675

 

12,155,013

TOTAL MATERIALS

201,464,059

TELECOMMUNICATION SERVICES - 2.7%

Diversified Telecommunication Services - 1.6%

Alestra SA de RL de CV 11.75% 8/11/14

635,000

715,963

AT&T Broadband Corp. 8.375% 3/15/13

2,585,000

3,001,180

AT&T, Inc.:

5.8% 2/15/19

8,788,000

9,399,276

6.3% 1/15/38

40,171,000

40,911,874

6.7% 11/15/13

1,173,000

1,336,167

Corporate Bonds - continued

 

Principal Amount (d)

Value

Nonconvertible Bonds - continued

TELECOMMUNICATION SERVICES - continued

Diversified Telecommunication Services - continued

BellSouth Capital Funding Corp. 7.875% 2/15/30

$ 899,000

$ 1,038,256

British Telecommunications PLC 9.125% 12/15/10 (f)

2,717,000

2,886,804

Cincinnati Bell, Inc.:

8.25% 10/15/17

2,515,000

2,515,000

8.375% 1/15/14

2,870,000

2,898,700

Citizens Communications Co.:

7.875% 1/15/27

925,000

827,875

9% 8/15/31

2,260,000

2,192,200

Clearwire Communications LLC/Clearwire Finance, Inc. 12% 12/1/15 (h)

5,555,000

5,416,125

Frontier Communications Corp.:

8.125% 10/1/18

3,615,000

3,578,850

8.25% 5/1/14

2,245,000

2,301,125

Intelsat Bermuda Ltd. 12.5% 2/4/17 pay-in-kind (o)

6,742,890

6,529,365

Intelsat Ltd.:

6.5% 11/1/13

3,700,000

3,478,000

7.625% 4/15/12

5,610,000

5,581,950

11.25% 6/15/16

1,035,000

1,104,863

PAETEC Holding Corp.:

8.875% 6/30/17

985,000

989,925

8.875% 6/30/17 (h)

995,000

999,975

9.5% 7/15/15

1,965,000

1,925,700

Qwest Communications International, Inc.:

7.125% 4/1/18 (h)

2,450,000

2,437,750

7.5% 2/15/14

1,310,000

1,323,100

8% 10/1/15 (h)

2,050,000

2,121,750

Qwest Corp. 3.5036% 6/15/13 (o)

80,000

78,400

SBC Communications, Inc.:

5.1% 9/15/14

2,169,000

2,361,371

5.875% 2/1/12

2,733,000

2,945,756

5.875% 8/15/12

978,000

1,072,694

Sprint Capital Corp.:

6.875% 11/15/28

18,230,000

13,809,225

8.75% 3/15/32

165,000

145,613

Telecom Italia Capital SA:

4.95% 9/30/14

3,208,000

3,348,754

5.25% 10/1/15

1,177,000

1,235,280

6.999% 6/4/18

1,793,000

1,966,310

7.175% 6/18/19

14,000,000

15,458,212

Corporate Bonds - continued

 

Principal Amount (d)

Value

Nonconvertible Bonds - continued

TELECOMMUNICATION SERVICES - continued

Diversified Telecommunication Services - continued

Telecom Italia Capital SA: - continued

7.2% 7/18/36

$ 7,240,000

$ 7,564,678

Telefonica Emisiones SAU 6.421% 6/20/16

1,162,000

1,300,485

U.S. West Communications 7.5% 6/15/23

3,760,000

3,590,800

Verizon Communications, Inc.:

6.1% 4/15/18

6,000,000

6,572,490

6.25% 4/1/37

2,348,000

2,410,020

6.4% 2/15/38

7,621,000

7,978,219

6.9% 4/15/38

6,295,000

6,994,966

Verizon New England, Inc. 6.5% 9/15/11

891,000

948,921

Verizon New York, Inc. 6.875% 4/1/12

2,653,000

2,908,272

Wind Acquisition Finance SA 11.75% 7/15/17 (h)

4,535,000

4,852,450

 

193,054,689

Wireless Telecommunication Services - 1.1%

Clearwire Escrow Corp. 12% 12/1/15 (h)

4,920,000

4,797,000

Cleveland Unlimited, Inc. 13% 12/15/10 (h)(o)

1,260,000

1,184,400

Cricket Communications, Inc.:

7.75% 5/15/16

2,905,000

2,955,838

9.375% 11/1/14

2,290,000

2,278,550

10% 7/15/15

2,130,000

2,145,975

Crown Castle International Corp. 9% 1/15/15

1,330,000

1,436,400

Digicel Group Ltd.:

8.25% 9/1/17 (h)

3,090,000

2,920,050

8.875% 1/15/15 (h)

8,435,000

8,055,425

9.125% 1/15/15 pay-in-kind (h)(o)

3,840,000

3,705,600

12% 4/1/14 (h)

3,545,000

3,934,950

DIRECTV Holdings LLC/DIRECTV Financing, Inc.:

4.75% 10/1/14 (h)

9,282,000

9,703,431

5.875% 10/1/19 (h)

9,040,000

9,479,335

Intelsat Jackson Holdings Ltd.:

9.5% 6/15/16

4,770,000

5,014,701

11.5% 6/15/16

6,575,000

7,002,375

Intelsat Subsidiary Holding Co. Ltd.:

8.875% 1/15/15 (h)

550,000

559,625

8.875% 1/15/15

6,110,000

6,216,925

MetroPCS Wireless, Inc.:

9.25% 11/1/14

4,060,000

4,049,850

9.25% 11/1/14

1,560,000

1,556,100

Corporate Bonds - continued

 

Principal Amount (d)

Value

Nonconvertible Bonds - continued

TELECOMMUNICATION SERVICES - continued

Wireless Telecommunication Services - continued

Millicom International Cellular SA 10% 12/1/13

$ 2,595,000

$ 2,692,313

Mobile Telesystems Finance SA 8% 1/28/12 (h)

1,621,000

1,712,181

Nextel Communications, Inc.:

5.95% 3/15/14

6,545,000

5,939,588

6.875% 10/31/13

9,105,000

8,740,800

7.375% 8/1/15

5,645,000

5,207,513

NII Capital Corp.:

8.875% 12/15/19 (h)

2,695,000

2,748,900

10% 8/15/16 (h)

3,310,000

3,591,350

Orascom Telecom Finance SCA 7.875% 2/8/14 (h)

4,480,000

4,032,000

Pakistan Mobile Communications Ltd. 8.625% 11/13/13 (h)

3,170,000

2,726,200

Sprint Nextel Corp.:

6% 12/1/16

6,370,000

5,510,050

8.375% 8/15/17

805,000

776,825

Telecom Personal SA 9.25% 12/22/10 (h)

1,055,000

1,090,606

Verizon Wireless Capital LLC 5.55% 2/1/14

2,374,000

2,614,845

Vimpel Communications 8.375% 4/30/13 (Issued by VIP Finance Ireland Ltd. for Vimpel Communications) (h)

2,650,000

2,838,813

Vodafone Group PLC:

5% 12/16/13

2,296,000

2,471,798

5.5% 6/15/11

2,760,000

2,911,875

 

132,602,187

TOTAL TELECOMMUNICATION SERVICES

325,656,876

UTILITIES - 2.1%

Electric Utilities - 1.0%

AmerenUE 6.4% 6/15/17

1,753,000

1,941,346

Commonwealth Edison Co.:

5.4% 12/15/11

2,948,000

3,154,039

5.8% 3/15/18

10,485,000

11,378,301

Duke Energy Carolinas LLC 5.25% 1/15/18

4,710,000

5,024,176

EDP Finance BV:

4.9% 10/1/19 (h)

6,700,000

6,503,871

6% 2/2/18 (h)

9,619,000

10,085,214

Empresa Distribuidora y Comercializadora Norte SA 10.5% 10/9/17

215,000

209,088

Corporate Bonds - continued

 

Principal Amount (d)

Value

Nonconvertible Bonds - continued

UTILITIES - continued

Electric Utilities - continued

FirstEnergy Solutions Corp.:

4.8% 2/15/15

$ 2,432,000

$ 2,535,958

6.05% 8/15/21

5,664,000

5,837,001

Illinois Power Co. 6.125% 11/15/17

3,112,000

3,365,622

Intergen NV 9% 6/30/17 (h)

5,270,000

5,375,400

IPALCO Enterprises, Inc. 7.25% 4/1/16 (h)

4,440,000

4,484,400

Majapahit Holding BV:

7.75% 10/17/16 (Reg. S)

1,440,000

1,544,400

7.75% 1/20/20 (h)

850,000

886,125

8% 8/7/19 (h)

635,000

676,275

Mirant Americas Generation LLC:

8.5% 10/1/21

3,570,000

3,320,100

9.125% 5/1/31

2,785,000

2,499,538

National Power Corp. 6.875% 11/2/16 (h)

1,390,000

1,469,925

Nevada Power Co. 6.5% 5/15/18

790,000

866,450

Oncor Electric Delivery Co. 6.375% 5/1/12

2,731,000

2,966,265

Pennsylvania Electric Co. 6.05% 9/1/17

764,000

813,972

Pepco Holdings, Inc.:

4% 5/15/10

2,231,000

2,245,468

6.45% 8/15/12

3,730,000

4,030,246

PPL Capital Funding, Inc. 6.7% 3/30/67 (o)

8,250,000

7,136,250

Progress Energy, Inc.:

6% 12/1/39

12,683,000

12,457,230

7.1% 3/1/11

3,385,000

3,570,857

Sierra Pacific Power Co. 5.45% 9/1/13

1,560,000

1,692,861

Texas Competitive Electric Holdings Co. LLC/Texas Competitive Electric Holdings Finance, Inc.:

Series A, 10.25% 11/1/15

4,070,000

3,042,325

Series B, 10.25% 11/1/15

5,090,000

3,741,150

11.25% 11/1/16 pay-in-kind (o)

4,175,389

2,772,226

Virginia Electric & Power Co. 5.4% 4/30/18

12,750,000

13,531,779

 

129,157,858

Gas Utilities - 0.1%

Dynegy Holdings, Inc. 7.5% 6/1/15 (h)

1,975,000

1,708,375

Intergas Finance BV:

6.375% 5/14/17 (Reg. S)

1,700,000

1,687,250

6.875% 11/4/11 (Reg. S)

1,165,000

1,211,600

Southern Natural Gas Co. 5.9% 4/1/17 (h)

442,000

466,984

Corporate Bonds - continued

 

Principal Amount (d)

Value

Nonconvertible Bonds - continued

UTILITIES - continued

Gas Utilities - continued

Texas Eastern Transmission Corp. 7.3% 12/1/10

$ 3,100,000

$ 3,238,201

Transportadora de Gas del Sur SA 7.875% 5/14/17 (h)

2,490,000

2,265,900

 

10,578,310

Independent Power Producers & Energy Traders - 0.4%

AES Corp.:

7.75% 3/1/14

5,400,000

5,386,500

7.75% 10/15/15

3,210,000

3,210,000

8% 10/15/17

2,575,000

2,562,125

9.75% 4/15/16 (h)

1,475,000

1,574,563

Duke Capital LLC 5.668% 8/15/14

2,055,000

2,239,210

Energy Future Holdings Corp.:

10.875% 11/1/17

3,715,000

2,823,400

12% 11/1/17 pay-in-kind (o)

7,621,718

5,111,632

Exelon Generation Co. LLC 5.35% 1/15/14

1,528,000

1,649,823

NRG Energy, Inc.:

7.375% 2/1/16

2,840,000

2,811,600

7.375% 1/15/17

3,225,000

3,172,594

Power Sector Assets and Liabilities Management Corp. 7.39% 12/2/24 (h)

750,000

770,625

PPL Energy Supply LLC 6.5% 5/1/18

6,895,000

7,392,936

RRI Energy, Inc.:

7.625% 6/15/14

8,000,000

7,640,000

7.875% 6/15/17

1,225,000

1,145,375

 

47,490,383

Multi-Utilities - 0.6%

Dominion Resources, Inc.:

4.75% 12/15/10

3,931,000

4,049,638

6.3% 9/30/66 (o)

4,887,000

4,520,475

7.5% 6/30/66 (o)

9,539,000

9,443,610

DTE Energy Co. 7.05% 6/1/11

984,000

1,042,647

KeySpan Corp. 7.625% 11/15/10

494,000

517,127

MidAmerican Energy Holdings, Co.:

5.75% 4/1/18

7,846,000

8,343,687

5.875% 10/1/12

2,921,000

3,210,454

6.5% 9/15/37

11,505,000

12,389,263

National Grid PLC 6.3% 8/1/16

1,477,000

1,637,173

NiSource Finance Corp.:

5.25% 9/15/17

843,000

851,830

Corporate Bonds - continued

 

Principal Amount (d)

Value

Nonconvertible Bonds - continued

UTILITIES - continued

Multi-Utilities - continued

NiSource Finance Corp.: - continued

5.4% 7/15/14

$ 1,347,000

$ 1,434,229

5.45% 9/15/20

1,934,000

1,926,355

6.125% 3/1/22

7,500,000

7,813,388

6.4% 3/15/18

1,326,000

1,423,808

6.8% 1/15/19

6,774,000

7,412,009

7.875% 11/15/10

1,022,000

1,066,923

Wisconsin Energy Corp. 6.25% 5/15/67 (o)

6,172,000

5,693,670

WPS Resources Corp. 6.11% 12/1/66 (o)

882,000

767,340

 

73,543,626

TOTAL UTILITIES

260,770,177

TOTAL NONCONVERTIBLE BONDS

3,161,069,758

TOTAL CORPORATE BONDS

(Cost $2,925,404,836)

3,167,026,890

U.S. Government and Government Agency Obligations - 28.1%

 

Other Government Related - 0.3%

Citigroup Funding, Inc. 2.125% 7/12/12 (FDIC Guaranteed) (i)

32,000,000

32,637,664

U.S. Government Agency Obligations - 1.8%

Fannie Mae:

1% 4/4/12

2,780,000

2,778,860

4.375% 7/17/13 (l)

8,745,000

9,495,898

4.75% 11/19/12

24,650,000

26,852,206

5% 2/16/12

4,560,000

4,922,233

Federal Home Loan Bank:

1.625% 11/21/12 (g)

39,650,000

39,864,863

1.625% 3/20/13

23,140,000

23,147,544

3.625% 5/29/13

15,625,000

16,564,422

Freddie Mac:

1.375% 1/9/13

36,822,000

36,773,726

2.125% 3/23/12

665,000

680,944

3% 7/28/14

50,000,000

51,427,350

U.S. Government and Government Agency Obligations - continued

 

Principal Amount (d)

Value

U.S. Government Agency Obligations - continued

Freddie Mac: - continued

5.25% 7/18/11

$ 10,730,000

$ 11,417,836

Tennessee Valley Authority 5.375% 4/1/56

385,000

389,239

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS

224,315,121

U.S. Treasury Inflation Protected Obligations - 5.6%

U.S. Treasury Inflation-Indexed Notes:

1.625% 1/15/18

84,118,992

86,728,364

2% 1/15/14 (l)

329,820,850

352,372,685

2% 7/15/14

74,471,150

79,725,422

2.625% 7/15/17 (l)

139,994,044

155,185,566

TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS

674,012,037

U.S. Treasury Obligations - 20.4%

U.S. Treasury Bonds:

4.25% 5/15/39

37,863,000

35,993,514

4.5% 5/15/38

20,000,000

19,906,240

4.5% 8/15/39

110,597,000

109,612,023

U.S. Treasury Notes:

0.75% 11/30/11

364,564,000

365,019,705

0.875% 3/31/11

21,090,000

21,202,874

1.125% 1/15/12

38,423,000

38,682,663

1.25% 11/30/10

21,871,000

22,029,915

1.375% 10/15/12

163,445,000

164,351,629

1.75% 3/31/14

125,000,000

124,248,000

1.875% 6/15/12

67,860,000

69,254,319

1.875% 4/30/14

50,000,000

49,878,900

2.375% 8/31/14

6,130,000

6,209,978

2.375% 2/28/15

350,000,000

351,095,500

2.625% 7/31/14

625,000,000

640,380,561

2.625% 12/31/14

225,000,000

229,078,125

2.75% 2/15/19

230,000,000

216,559,260

TOTAL U.S. TREASURY OBLIGATIONS

2,463,503,206

TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $3,325,875,068)

3,394,468,028

U.S. Government Agency - Mortgage Securities - 11.0%

 

Principal Amount (d)

Value

Fannie Mae - 9.7%

2.276% 4/1/36 (o)

$ 1,751,991

$ 1,793,980

2.5% 10/1/33 (o)

1,301,539

1,337,020

4% 3/1/25 (j)

40,000,000

40,818,052

4% 3/1/25 (j)

13,000,000

13,265,867

4.288% 6/1/36 (o)

330,000

341,765

4.5% 3/1/25 (j)

12,000,000

12,492,156

4.5% 3/1/25 (j)

2,000,000

2,082,026

4.5% 2/1/39 to 2/1/40

181,407,586

183,619,945

4.5% 3/1/40 (j)

19,000,000

19,207,339

5% 3/1/25 (j)(k)

25,600,000

26,987,459

5% 7/1/34 to 2/1/40

144,062,364

149,953,146

5% 3/1/40 (j)(k)

10,300,000

10,674,844

5% 3/1/40 (j)

45,000,000

46,637,667

5% 3/1/40 (j)(k)

9,000,000

9,327,533

5.299% 12/1/35 (o)

1,047,524

1,100,227

5.325% 2/1/36 (o)

1,568,781

1,643,930

5.5% 3/1/18 to 2/1/40

240,665,493

255,384,299

5.5% 3/1/25 (j)

10,000,000

10,659,791

5.5% 3/1/40 (j)(k)

20,000,000

21,057,990

5.5% 3/1/40 (j)(k)

5,000,000

5,264,498

5.5% 4/1/40 (j)(k)

15,000,000

15,772,400

5.515% 7/1/37 (o)

947,769

983,919

6% 1/1/21 to 2/1/38

158,148,278

170,982,443

6% 3/1/40 (j)(k)

7,000,000

7,425,427

6% 3/1/40 (j)(k)

6,000,000

6,364,652

6% 4/1/40 (j)(k)

7,000,000

7,436,365

6% 5/1/40 (j)(k)

7,000,000

7,424,880

6.5% 5/1/31 to 9/1/38

73,407,830

79,560,321

6.5% 3/1/40 (j)(k)

800,000

853,940

6.5% 3/1/40 (j)(k)

9,000,000

9,606,821

6.5% 3/1/40 (j)(k)

11,000,000

11,741,671

6.5% 4/1/40 (j)(k)

27,800,000

29,793,858

6.5% 5/1/40 (j)

13,800,000

14,775,740

TOTAL FANNIE MAE

1,176,371,971

Freddie Mac - 1.0%

4.705% 11/1/35 (o)

6,496,011

6,787,013

5% 4/1/38 to 9/1/39

8,029,471

8,362,279

5.5% 11/1/17 to 12/1/35

20,053,221

21,368,490

5.681% 10/1/35 (o)

529,599

556,244

U.S. Government Agency - Mortgage Securities - continued

 

Principal Amount (d)

Value

Freddie Mac - continued

6% 7/1/37

$ 206,553

$ 222,866

6% 3/1/40 (j)(k)

13,500,000

14,451,248

6% 3/1/40 (j)

4,000,000

4,281,851

6% 3/1/40 (j)

35,000,000

37,466,198

6% 3/1/40 (j)(k)

6,000,000

6,422,777

6.5% 3/1/40 (j)

15,000,000

16,182,462

TOTAL FREDDIE MAC

116,101,428

Government National Mortgage Association - 0.3%

4% 3/1/40 (j)

10,000,000

9,869,270

4% 3/1/40 (j)

14,000,000

13,816,978

4% 3/1/40 (j)

20,000,000

19,738,540

TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION

43,424,788

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $1,310,555,771)

1,335,898,187

Asset-Backed Securities - 2.6%

 

Accredited Mortgage Loan Trust Series 2005-1 Class M1, 0.6988% 4/25/35 (o)

1,821,633

706,429

ACE Securities Corp. Series 2006-NC2 Class M7, 0.9788% 7/25/36 (o)

619,550

1,770

ACE Securities Corp. Home Equity Loan Trust:

Series 2004-HE1:

Class M1, 0.9788% 2/25/34 (o)

195,192

184,057

Class M2, 1.8788% 2/25/34 (o)

483,000

252,778

Series 2005-HE2 Class M2, 0.6788% 4/25/35 (o)

232,608

205,878

Series 2006-HE2 Class M3, 0.5688% 5/25/36 (o)

172,706

4,496

Series 2006-OP1:

Class M4, 0.5988% 4/25/36 (o)

170,200

4,368

Class M5, 0.6188% 4/25/36 (o)

111,346

814

Advanta Business Card Master Trust:

Series 2005-A2 Class A2, 0.3588% 5/20/13 (o)

1,253,286

1,221,182

Series 2006-A6 Class A6, 0.2588% 9/20/13 (o)

2,476,494

2,413,055

Series 2006-A7 Class A7, 0.2488% 10/20/12 (o)

1,363,575

1,328,645

Series 2006-C1 Class C1, 0.7088% 10/20/14 (o)

277,210

6,064

Series 2007-A1 Class A, 0.2788% 1/20/15 (o)

914,899

891,463

Series 2007-A4 Class A4, 0.2588% 4/22/13 (o)

1,093,367

1,065,359

Series 2007-D1 Class D, 1.6288% 1/22/13 (h)(o)

2,590,000

0

Asset-Backed Securities - continued

 

Principal Amount (d)

Value

Airspeed Ltd. Series 2007-1A Class C1, 2.7306% 6/15/32 (h)(o)

$ 4,407,210

$ 1,895,100

ALG Student Loan Trust I Series 2006-1 Class A1, 0.2588% 10/28/18 (h)(o)

325,862

325,687

Ally Auto Receivables Trust Series 2009-A:

Class A3, 2.33% 6/17/13 (h)

4,310,000

4,384,816

Class A4, 3% 10/15/15 (h)

4,280,000

4,393,368

AmeriCredit Automobile Receivables Trust Series 2005-DA Class A4, 5.02% 11/6/12

179,116

180,215

AmeriCredit Prime Automobile Receivables Trust:

Series 2007-1:

Class D, 5.62% 9/30/14

1,125,000

1,093,346

Class E, 6.96% 3/31/16 (h)

2,052,284

1,892,632

Series 2007-2M Class A3, 5.22% 4/8/10

208,112

211,011

Ameriquest Mortgage Securities, Inc. pass-thru certificates:

Series 2003-10 Class M1, 0.9288% 12/25/33 (o)

110,420

69,931

Series 2004-R11 Class M1, 0.8888% 11/25/34 (o)

572,200

190,536

Series 2004-R2 Class M3, 0.7788% 4/25/34 (o)

153,470

16,536

Series 2005-R2 Class M1, 0.6788% 4/25/35 (o)

2,064,696

1,476,458

Anthracite CDO I Ltd. Series 2002-CIBA Class B, 6.633% 5/24/37 (h)

123,000

108,932

Anthracite CDO II Ltd. Series 2002-2A:

Class F, 7.6% 12/24/37 (h)

160,000

64,000

Class G, 9.75% 12/24/37 (h)

210,000

73,500

Anthracite CDO III Ltd./Anthracite CDO III Corp. Series 2004-1A Class A, 0.5888% 3/23/19 (h)(o)

248,275

158,896

Argent Securities, Inc. pass-thru certificates:

Series 2003-W7 Class A2, 0.6206% 3/1/34 (o)

47,932

34,290

Series 2004-W11 Class M2, 0.9288% 11/25/34 (o)

561,149

264,339

Series 2004-W7 Class M1, 0.7788% 5/25/34 (o)

1,542,998

728,794

Series 2006-W4 Class A2C, 0.3888% 5/25/36 (o)

1,509,526

479,541

Asset Backed Securities Corp. Home Equity Loan Trust:

Series 2004-HE2 Class M1, 1.0538% 4/25/34 (o)

2,668,736

1,514,008

Series 2006-HE2 Class M1, 0.5988% 3/25/36 (o)

262,000

13,948

Axon Financial Funding Ltd. Series 2007-1A Class A1, 5.96% 4/4/17 (c)(h)(o)

7,217,000

1

Bank of America Auto Trust:

Series 2009-1A:

Class A3, 2.67% 7/15/13 (h)

9,500,000

9,727,551

Class A4, 3.52% 6/15/16 (h)

8,300,000

8,672,549

Series 2009-2A Class A3, 2.13% 9/15/13 (h)

6,800,000

6,914,951

Asset-Backed Securities - continued

 

Principal Amount (d)

Value

Brascan Real Estate CDO Ltd./Brascan Real Estate CDO Corp. Series 2004-1A Class A, 0.5988% 1/20/40 (h)(o)

$ 311,977

$ 274,539

Brazos Higher Education Authority, Inc. Student Loan Rev. Series 2006 A2R, 1.0006% 12/1/41 (o)

1,396,001

1,354,121

Brazos Higher Education Authority, Inc. Series 2006-2 Class A9, 0.295% 12/26/24 (o)

2,194,165

2,084,456

C-BASS Trust Series 2006-CB7 Class A2, 0.2888% 10/25/36 (o)

533,424

512,287

Capital Auto Receivables Asset Trust:

Series 2006-2:

Class B, 5.07% 12/15/11

2,222,000

2,263,739

Class C, 5.31% 6/15/12

1,634,000

1,669,839

Series 2007-1 Class C, 5.38% 11/15/12

582,000

606,019

Series 2007-SN1 Class D, 6.05% 1/17/12

285,000

282,731

Series 2007-SN2 Class A4, 1.2619% 5/16/11 (h)(o)

10,040,000

10,061,267

Capital One Auto Finance Trust Series 2007-B Class A3A, 5.03% 4/15/12

341,536

344,623

Capital One Multi-Asset Execution Trust:

Series 2003-A5 Class A5, 0.5219% 7/15/13 (o)

6,450,000

6,449,509

Series 2007-C3 Class C3, 0.5219% 4/15/13 (h)(o)

2,908,000

2,897,867

Series 2008-A3 Class A3, 5.05% 2/15/16

5,700,000

6,196,587

Series 2009-A1 Class A1, 1.3331% 4/15/13 (o)

5,400,000

5,412,468

Series 2009-A2 Class A2, 3.2% 4/15/14

10,000,000

10,284,358

Capital Trust Ltd. Series 2004-1:

Class A2, 0.6788% 7/20/39 (h)(o)

457,498

49,181

Class B, 0.9788% 7/20/39 (h)(o)

263,810

13,850

Class C, 1.3288% 7/20/39 (h)(o)

339,379

3,394

Capital Trust RE CDO Ltd./Capital Trust RE CDO Corp. Series 2005-3A Class A2, 5.16% 6/25/35 (h)

859,000

833,230

CapitalSource Real Estate Loan Trust Series 2006-1A Class A2A, 0.4988% 1/20/37 (h)(o)

211,915

105,958

Capmark VII Ltd. Series 2006-7A Class H, 1.7819% 8/15/36 (h)(o)

509,545

51

CarMax Auto Owner Trust Series 2007-2 Class C, 5.61% 11/15/13

928,000

944,172

Carrington Mortgage Loan Trust:

Series 2006-FRE1 Class M1, 0.5288% 7/25/36 (o)

1,140,851

227,023

Series 2006-NC2 Class M7, 1.0788% 6/25/36 (o)

425,500

8,081

Series 2006-NC3 Class M10, 2.2288% 8/25/36 (h)(o)

290,000

7,289

Series 2006-NC4 Class M1, 0.5288% 10/25/36 (o)

224,000

44,872

Series 2006-RFC1 Class M9, 2.0988% 5/25/36 (o)

186,369

7,551

Series 2007-RFC1 Class A3, 0.3688% 12/25/36 (o)

1,802,588

613,953

Asset-Backed Securities - continued

 

Principal Amount (d)

Value

Cendant Timeshare Receivables Funding LLC:

Series 2005 1A Class 2A2, 0.4088% 5/20/17 (h)(o)

$ 180,300

$ 159,385

Series 2005-1A Class A1, 4.67% 5/20/17 (h)

567,956

507,528

Chase Issuance Trust Series 2007-A17 Class A, 5.12% 10/15/14

5,000,000

5,437,325

CIT Equipment Collateral Trust Series 2006-VT2 Class D, 5.46% 4/20/14

265,509

265,584

Citibank Credit Card Issuance Trust Series 2009-A5 Class A5, 2.25% 12/23/14

35,600,000

35,836,993

Citigroup Mortgage Loan Trust Series 2007-AMC4 Class M1, 0.4988% 5/25/37 (o)

765,389

33,765

Countrywide Asset-Backed Certificates Trust:

Series 2006-13 Class 1AF1, 0.3488% 1/25/37 (o)

138

138

Series 2007-11 Class 2A1, 0.2888% 6/25/47 (o)

133,532

129,187

Series 2007-4 Class A1A, 0.3513% 9/25/37 (o)

769,534

746,159

Countrywide Home Loan Trust Series 2006-13 Class N, 7% 8/25/37 (h)

811,000

0

Countrywide Home Loans, Inc.:

Series 2004-3 Class M4, 1.1988% 4/25/34 (o)

159,665

40,543

Series 2004-4 Class M2, 1.0238% 6/25/34 (o)

587,945

202,816

Series 2005-3 Class MV1, 0.6488% 8/25/35 (o)

1,602,355

1,462,851

Series 2005-AB1 Class A2, 0.4388% 8/25/35 (o)

256,393

235,006

CPS Auto Receivables Trust:

Series 2006-D Class A4, 5.115% 8/15/13 (h)

817,691

833,157

Series 2007-B Class A3, 5.47% 11/15/11 (h)

117,006

117,539

Series 2007-C Class A3, 5.43% 5/15/12 (h)

177,540

179,965

Crest Clarendon Street Ltd./Crest Clarendon Corp. Series 2002-1A:

Class B1, 6.065% 12/28/35 (h)

500,000

335,000

Class B2, 1.6006% 12/28/35 (h)(o)

500,000

185,050

Crest Dartmouth Street Ltd./Crest Dartmouth Street Corp. Series 2003-1A Class D, 9% 6/28/38 (h)

200,000

50,000

Crest G-Star LP/Crest G-Star Corp. Series 2001-1A Class A, 0.7256% 11/28/16 (h)(o)

527,648

492,031

Crest Ltd. Series 2002-IGA Class A, 0.6988% 7/28/17 (h)(o)

493,812

458,011

DB Master Finance LLC Series 2006-1 Class M1, 8.285% 6/20/31 (h)

235,000

202,328

Discover Card Master Trust I Series 2007-1 Class B, 0.3319% 8/15/12 (o)

2,908,000

2,906,959

Drive Auto Receivables Trust Series 2006-1 Class A4, 5.54% 12/16/13 (h)

1,473,095

1,503,687

Fannie Mae subordinate REMIC pass-thru certificates Series 2004-T5 Class AB3, 0.5874% 5/28/35 (o)

38,916

33,746

Asset-Backed Securities - continued

 

Principal Amount (d)

Value

Fieldstone Mortgage Investment Corp.:

Series 2004-3 Class M5, 2.4038% 8/25/34 (o)

$ 290,872

$ 102,651

Series 2006-3 Class 2A3, 0.3888% 11/25/36 (o)

6,074,620

1,928,904

First Franklin Mortgage Loan Trust:

Series 2004-FF2 Class M3, 1.0538% 3/25/34 (o)

26,135

6,891

Series 2005-FF9 Class A3, 0.5088% 10/25/35 (o)

4,984,011

4,429,713

Series 2006-FF12 Class A2, 0.2688% 9/25/36 (o)

77,665

76,750

Ford Credit Auto Owner Trust:

Series 2006-B Class D, 7.26% 2/15/13 (h)

1,175,000

1,227,817

Series 2006-C:

Class B, 5.3% 6/15/12

649,000

682,685

Class D, 6.89% 5/15/13 (h)

915,000

967,192

Series 2007-A Class D, 7.05% 12/15/13 (h)

970,000

1,039,542

Series 2009-D:

Class A3, 2.17% 10/15/13

5,400,000

5,492,148

Class A4, 2.98% 8/15/14

4,800,000

4,950,962

Ford Credit Floorplan Master Owner Trust Series 2006-4 Class B, 0.7819% 6/15/13 (o)

772,000

744,240

Franklin Auto Trust:

Series 2006-1 Class B, 5.14% 7/21/14

72,000

73,007

Series 2007-1:

Class A4, 5.03% 2/16/15

502,000

517,605

Class C, 5.43% 2/16/15

614,000

579,380

Fremont Home Loan Trust:

Series 2005-A:

Class M3, 0.7188% 1/25/35 (o)

948,695

309,229

Class M4, 0.9088% 1/25/35 (o)

363,547

48,427

Series 2006-D Class M1, 0.4588% 11/25/36 (o)

324,000

5,964

GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 0.6319% 2/25/47 (h)(o)

2,892,000

1,879,800

GCO Slims Trust Series 2006-1A, 5.72% 3/1/22 (h)

2,426,756

1,820,067

GE Business Loan Trust:

Series 2003-1 Class A, 0.6619% 4/15/31 (h)(o)

315,194

277,371

Series 2006-2A:

Class A, 0.4119% 11/15/34 (h)(o)

2,421,516

1,840,352

Class B, 0.5119% 11/15/34 (h)(o)

874,724

306,154

Class C, 0.6119% 11/15/34 (h)(o)

1,453,756

407,052

Class D, 0.9819% 11/15/34 (h)(o)

552,038

115,928

GE Capital Credit Card Master Note Trust Series 2007-1 Class C, 0.5019% 3/15/13 (o)

4,746,000

4,746,000

GE Equipment Midticket LLC Series 2006-1 Class B, 0.3819% 9/15/17 (o)

1,151,000

1,113,838

Asset-Backed Securities - continued

 

Principal Amount (d)

Value

Goal Capital Funding Trust Series 2007-1 Class C1, 0.685% 6/25/42 (o)

$ 739,000

$ 443,400

GS Auto Loan Trust:

Series 2006-1 Class D, 6.25% 1/15/14 (h)

80,771

80,367

Series 2007-1:

Class B, 5.53% 12/15/14

97,423

98,856

Class C, 5.74% 12/15/14

206,932

198,655

GSAMP Trust:

Series 2004-AR1:

Class B4, 5% 6/25/34 (h)(o)

333,615

51,123

Class M1, 0.8788% 6/25/34 (o)

2,723,367

1,289,266

Series 2007-HE1 Class M1, 0.4788% 3/25/47 (o)

1,096,059

58,382

GSR Mortgage Loan Trust Series 2006-FM1 Class M3, 0.5788% 4/25/36 (o)

431,287

6,562

Guggenheim Structured Real Estate Funding Ltd.:

Series 2005-1 Class C, 1.3088% 5/25/30 (h)(o)

659,999

125,466

Series 2006-3:

Class B, 0.6288% 9/25/46 (h)(o)

654,930

117,887

Class C, 0.7788% 9/25/46 (h)(o)

1,526,694

198,470

Class E, 1.8788% 9/25/46 (h)(o)

250,919

22,583

Home Equity Asset Trust:

Series 2003-2 Class M1, 1.5488% 8/25/33 (o)

485,422

260,118

Series 2003-3 Class M1, 1.5188% 8/25/33 (o)

863,589

415,299

Series 2003-5 Class A2, 0.9288% 12/25/33 (o)

32,929

16,823

Series 2005-5 Class 2A2, 0.4788% 11/25/35 (o)

189,714

183,193

Series 2006-1 Class 2A3, 0.4538% 4/25/36 (o)

2,487,735

2,335,973

Series 2006-3N Class B, 6.5% 8/27/36 (h)

250,000

0

Series 2006-8 Class 2A1, 0.2788% 3/25/37 (o)

13,328

12,418

HSBC Home Equity Loan Trust Series 2006-2 Class M2, 0.5188% 3/20/36 (o)

915,892

553,025

HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.4188% 1/25/37 (o)

1,522,035

523,925

Hyundai Auto Receivable Trust Series 2009-A Class A3, 2.03% 8/15/13

5,450,000

5,540,027

Hyundai Auto Receivables Trust Series 2006-1:

Class B, 5.29% 11/15/12

84,309

84,394

Class C, 5.34% 11/15/12

84,706

84,772

JPMorgan Mortgage Acquisition Trust:

Series 2006-NC2 Class M2, 0.5288% 7/25/36 (o)

204,000

4,859

Series 2007-CH1:

Class AV4, 0.3588% 11/25/36 (o)

1,520,141

1,233,224

Class MV1, 0.4588% 11/25/36 (o)

1,234,797

447,708

Series 2007-CH3 Class M1, 0.5288% 3/25/37 (o)

573,000

27,277

Asset-Backed Securities - continued

 

Principal Amount (d)

Value

Kent Funding III Ltd. Series 2006-3A Class D, 3.3488% 10/29/47 (o)

$ 284,447

$ 28

Keycorp Student Loan Trust:

Series 1999-A Class A2, 0.6131% 12/27/29 (o)

920,251

755,131

Series 2006-A:

Class 2A1, 0.2806% 9/27/21 (o)

4,386

4,378

Class 2C, 1.4006% 3/27/42 (o)

3,243,000

606,453

Lancer Funding Ltd. Series 2006-1A Class A3, 1.9544% 4/6/46 (h)(o)

275,830

28

Leafs CMBS I Ltd. Series 2002-1A Class D, 4.13% 11/20/37 (h)

157,328

121,143

Leafs CMBS I Ltd./Leafs CMBS I Corp. Series 2002-1A Class A2, 0.7788% 11/20/17 (h)(o)

700,000

631,750

Long Beach Auto Receivables Trust Series 2007-A Class A4, 5.025% 1/15/14

3,309,717

3,376,042

Long Beach Mortgage Loan Trust Series 2004-2 Class M2, 1.3088% 6/25/34 (o)

236,715

169,249

Marathon Real Estate CDO Ltd. Series 2006-1A Class B, 0.6588% 5/25/46 (h)(o)

250,000

37,500

Marriott Vacation Club Owner Trust Series 2006-2A:

Class B, 5.442% 10/20/28 (h)

26,396

22,810

Class C, 5.691% 10/20/28 (h)

11,732

9,346

Class D, 6.01% 10/20/28 (h)

139,679

105,428

MASTR Asset Backed Securities Trust:

Series 2006-AM3 Class M1, 0.4888% 10/25/36 (o)

545,328

17,735

Series 2007-HE1 Class M1, 0.5288% 5/25/37 (o)

784,792

37,926

Meritage Mortgage Loan Trust Series 2004-1 Class M1, 0.9788% 7/25/34 (o)

208,475

93,217

Merrill Auto Trust Securitization Series 2007-1 Class B, 5.79% 12/16/13

312,892

318,516

Merrill Lynch Mortgage Investors Trust:

Series 2003-OPT1 Class M1, 0.8788% 7/25/34 (o)

790,204

565,125

Series 2006-FM1 Class A2B, 0.3388% 4/25/37 (o)

2,345,275

2,063,842

Series 2006-MLN1 Class A2A, 0.2988% 7/25/37 (o)

40,746

39,051

Series 2006-OPT1 Class A1A, 0.4888% 6/25/35 (o)

3,475,759

1,974,744

Morgan Stanley ABS Capital I Trust:

Series 2004-HE6 Class A2, 0.5688% 8/25/34 (o)

57,368

44,355

Series 2005-NC1 Class M1, 0.6688% 1/25/35 (o)

399,800

151,872

Series 2005-NC2 Class B1, 1.3988% 3/25/35 (o)

416,362

95,154

Series 2007-HE2 Class M1, 0.4788% 1/25/37 (o)

263,000

6,714

N-Star Real Estate CDO Ltd. Series 1A:

Class B1, 1.9306% 8/28/38 (h)(o)

220,000

127,622

Class C1B, 7.696% 8/28/38 (h)

63,000

32,678

Asset-Backed Securities - continued

 

Principal Amount (d)

Value

National Collegiate Funding LLC Series 2004-GT1 Class IO1, 7.87% 6/25/10 (h)(o)(q)

$ 4,356,000

$ 178,596

National Collegiate Student Loan Trust:

Series 2004-2 Class AIO, 9.75% 10/25/14 (q)

3,793,600

688,538

Series 2006-1 Class AIO, 5.5% 4/25/11 (q)

466,000

22,135

Series 2006-2 Class AIO, 6% 8/25/11 (q)

231,000

15,593

Series 2006-3:

Class A1, 0.2588% 9/25/19 (o)

228,508

227,214

Class AIO, 7.1% 1/25/12 (q)

372,000

43,373

Series 2006-4:

Class A1, 0.2588% 3/25/25 (o)

584,144

574,345

Class AIO, 6.35% 2/27/12 (q)

1,182,000

133,869

Class D, 1.3288% 5/25/32 (o)

2,481,000

69,994

Series 2007-1 Class AIO, 7.27% 4/25/12 (q)

1,589,000

222,236

Series 2007-2 Class AIO, 6.7% 7/25/12 (q)

1,351,000

196,060

New Century Home Equity Loan Trust:

Series 2005-4 Class M2, 0.7388% 9/25/35 (o)

1,426,957

468,096

Series 2005-D Class M2, 0.6988% 2/25/36 (o)

827,339

88,515

Nissan Auto Lease Trust Series 2009-B Class A3, 2.07% 1/15/15

8,500,000

8,604,448

Nomura Home Equity Loan Trust Series 2006-HE2 Class A2, 0.3488% 3/25/36 (o)

244,715

238,348

Ocala Funding LLC:

Series 2005-1A Class A, 1.7288% 3/20/10 (h)(o)

566,000

220,740

Series 2006-1A Class A, 1.6288% 3/20/11 (h)(o)

1,176,000

435,120

Option One Mortgage Loan Trust:

Series 2007-5 Class 2A1, 0.3188% 5/25/37 (o)

148,328

141,374

Series 2007-6 Class 2A1, 0.2888% 7/25/37 (o)

220,100

209,604

Park Place Securities, Inc.:

Series 2004-WCW1:

Class M3, 1.4788% 9/25/34 (o)

532,896

147,174

Class M4, 1.6788% 9/25/34 (o)

683,353

95,910

Series 2005-WCH1:

Class M2, 0.7488% 1/25/35 (o)

2,548,346

1,775,782

Class M3, 0.7888% 1/25/35 (o)

478,432

229,575

Class M4, 1.0588% 1/25/35 (o)

1,475,804

197,892

Series 2005-WHQ2:

Class M7, 1.4788% 5/25/35 (o)

1,883,145

25,939

Class M9, 2.1088% 5/25/35 (o)

297,891

712

Prima Capital CDO Ltd./Prima Capital CDO Corp. Series 2005-1A:

Class A2, 4.646% 7/24/39 (h)

447,212

380,130

Class B, 4.846% 7/24/39 (h)

180,000

122,400

Asset-Backed Securities - continued

 

Principal Amount (d)

Value

Prima Capital CDO Ltd./Prima Capital CDO Corp. Series 2005-1A: - continued

Class C, 5.08% 7/24/39 (h)

$ 185,000

$ 111,000

Providian Master Note Trust Series 2006-C1A Class C1, 0.7819% 3/16/15 (h)(o)

3,406,919

3,374,509

Rental Car Finance Corp. Series 2005-1A Class A2, 4.59% 6/25/11 (h)

353,333

352,898

Residential Asset Mortgage Products, Inc. Series 2006-EFC2 Class M1, 0.4588% 12/25/36 (o)

566,000

19,876

Residential Asset Securities Corp. Series 2007-KS2 Class AI1, 0.2988% 2/25/37 (o)

940,508

909,984

Resource Real Estate Funding CDO Series 2007-1A Class J, 3.1788% 9/25/46 (h)(o)

250,000

10,000

Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 1.0288% 4/25/33 (o)

5,108

2,918

Saxon Asset Securities Trust Series 2004-1 Class M1, 1.0238% 3/25/35 (o)

1,788,275

1,148,399

Securitized Asset Backed Receivables LLC Trust:

Series 2005-FR4 Class B3, 1.9488% 1/25/36 (o)

96,000

1,837

Series 2006-FR4 Class A2A, 0.3088% 8/25/36 (o)

61,453

28,787

Series 2007-NC1 Class A2A, 0.2788% 12/25/36 (o)

32,538

30,785

Sierra Receivables Funding Co. Series 2007-1A Class A2, 0.3788% 3/20/19 (h)(o)

990,006

920,247

SLM Private Credit Student Loan Trust Series 2004-A Class C, 1.2036% 6/15/33 (o)

1,272,000

193,185

Specialty Underwriting & Residential Finance Trust Series 2006-AB2 Class N1, 5.75% 6/25/37 (h)

656,637

0

Structured Asset Investment Loan Trust Series 2004-8 Class M5, 1.3788% 9/25/34 (o)

78,822

17,968

Structured Asset Securities Corp. Series 2007-BC4 Class A3, 0.4788% 11/25/37 (o)

12,982,018

11,716,730

Structured Asset Securities Corp. Mortgage Loan Trust Series 2007-OSI Class A2, 0.3188% 6/25/37 (o)

1,696,990

1,426,041

SVO VOI Mortgage Corp. Series 2006-AA Class A, 5.28% 2/20/24 (h)

1,219,888

1,163,294

Swift Master Auto Receivables Trust:

Series 2007-1:

Class A, 0.3319% 6/15/12 (o)

3,555,000

3,542,341

Class B, 0.4519% 6/15/12 (o)

3,709,000

3,645,966

Class C, 0.7319% 6/15/12 (o)

254,000

249,295

Series 2007-2 Class A, 0.8819% 10/15/12 (o)

2,867,000

2,854,200

Terwin Mortgage Trust Series 2003-4HE Class A1, 1.0888% 9/25/34 (o)

28,819

20,698

Asset-Backed Securities - continued

 

Principal Amount (d)

Value

TIAA Real Estate CDO Ltd./TIAA Real Estate CDO Corp.:

Series 2002-1A:

Class IIFX, 6.77% 5/22/37 (h)

$ 249,000

$ 211,650

Class IV, 6.84% 5/22/37 (h)

235,000

98,700

Series 2003-1A Class B2, 5.4802% 12/28/38 (h)

111,000

72,150

Trapeza CDO XII Ltd./, Inc. Series 2007-12A Class B, 0.8144% 4/6/42 (h)(o)

2,586,046

129,302

Triad Auto Receivables Owner Trust:

Series 2006-C Class A4, 5.31% 5/13/13

855,827

891,790

Series 2007-A Class A3, 5.28% 2/13/12

427,206

428,679

Turquoise Card Backed Securities PLC Series 2007-1 Class C, 0.6019% 6/15/12 (o)

3,669,172

3,620,562

Wachovia Auto Loan Owner Trust:

Series 2006-1 Class A4, 5.08% 4/20/12 (h)

510,758

518,526

Series 2006-2A:

Class B, 5.29% 6/20/12 (h)

409,000

419,695

Class D, 5.54% 12/20/12 (h)

583,000

592,800

Class E, 7.05% 5/20/14 (h)

1,390,000

1,357,127

Wachovia Ltd./Wachovia LLC:

Series 2006-1 Class 1ML, 5.7506% 9/25/26 (h)(o)

400,000

24,000

Series 2006-1A:

Class A1A, 0.5106% 9/25/26 (h)(o)

250,000

167,500

Class A2A, 0.4706% 9/25/26 (h)(o)

451,000

303,298

Class F, 1.4006% 9/25/26 (h)(o)

250,000

12,500

Class G, 1.6006% 9/25/26 (h)(o)

250,000

10,000

WaMu Asset Holdings Corp. Series 2006-8 Class N1, 6.048% 10/25/46 (h)

887,552

0

WaMu Asset-Backed Certificates Series 2006-HE3 Class M4, 0.6088% 10/25/36 (o)

459,043

8,043

WaMu Master Note Trust:

Series 2006-C2A Class C2, 0.7319% 8/15/15 (h)(o)

8,530,177

8,405,508

Series 2007-A2 Class A2, 0.2619% 5/15/14 (h)(o)

12,710,000

12,696,970

Series 2007-A4A Class A4, 5.2% 10/15/14 (h)

10,589,000

10,874,830

Series 2007-A5A Class A5, 0.9819% 10/15/14 (h)(o)

1,500,000

1,501,320

Series 2007-C1 Class C1, 0.6319% 5/15/14 (h)(o)

8,690,021

8,677,650

Wells Fargo Home Equity Trust:

Series 2004-3 Class A, 4.5% 11/27/34 (a)(h)

7,576

0

Series 2006-2 Class A2, 0.3288% 7/25/36 (o)

118,827

117,873

Asset-Backed Securities - continued

 

Principal Amount (d)

Value

Whinstone Capital Management Ltd. Series 1A Class B3, 1.1489% 10/25/44 (h)(o)

$ 1,789,540

$ 214,745

Wrightwood Capital Real Estate CDO Ltd. Series 2005-1A Class D, 1.1013% 11/21/40 (h)(o)

305,000

15,250

TOTAL ASSET-BACKED SECURITIES

(Cost $305,570,669)

319,455,758

Collateralized Mortgage Obligations - 1.8%

 

Private Sponsor - 1.8%

ABN AMRO Mortgage Corp.:

Series 2003-2 Class B4, 5.3289% 3/25/18 (o)

135,046

47,266

Series 2003-9 Class B5, 4.5164% 8/25/18 (h)

243,768

24,377

Arran Residential Mortgages Funding No. 1 PLC floater Series 2006-1A Class DB, 0.6813% 4/12/56 (h)(o)

1,428,375

571,350

Banc of America Commercial Mortgage Trust Series 2007-2:

Class B, 5.6986% 4/10/49 (o)

106,000

24,813

Class C, 5.6986% 4/10/49 (o)

281,000

62,547

Class D, 5.6986% 4/10/49 (o)

141,000

26,600

Banc of America Large Loan, Inc. Series 2005-MIB1 Class A2, 0.4419% 3/15/22 (h)(o)

987,539

944,237

Banc of America Mortgage Securities, Inc.:

Series 2003-L Class 2A1, 3.4949% 1/25/34 (o)

2,234,400

1,981,130

Series 2004-1 Class 2A2, 3.676% 10/25/34 (o)

2,444,253

2,131,025

Series 2004-7 Class 15B4, 5.3035% 8/25/19 (h)(o)

67,595

2,359

Series 2004-A Class 2A2, 4.4789% 2/25/34 (o)

1,421,153

1,285,797

Series 2004-B:

Class 1A1, 4.6863% 3/25/34 (o)

150,650

126,875

Class 2A2, 4.5532% 3/25/34 (o)

1,392,154

1,222,249

Series 2004-D Class 2A2, 3.8658% 5/25/34 (o)

2,236,734

1,976,227

Series 2004-G Class 2A7, 3.9253% 8/25/34 (o)

1,977,917

1,741,694

Series 2004-H Class 2A1, 3.7605% 9/25/34 (o)

1,745,736

1,494,238

Bayview Commercial Asset Trust Series 2006-3A Class IO, 2.3908% 10/25/36 (h)(o)(q)

12,868,245

992,142

Bear Stearns ALT-A Trust floater Series 2005-1 Class A1, 0.5088% 1/25/35 (o)

2,492,630

1,871,571

Bear Stearns Commercial Mortgage Securities Trust Series 2006-T24 Class X2, 0.4281% 10/12/41 (h)(o)(q)

4,530,945

58,488

Chase Mortgage Finance Trust:

Series 2007-A1 Class 1A5, 3.7935% 2/25/37 (o)

1,798,775

1,573,766

Series 2007-A2 Class 2A1, 3.5634% 7/25/37 (o)

413,467

380,944

Collateralized Mortgage Obligations - continued

 

Principal Amount (d)

Value

Private Sponsor - continued

Citigroup Commercial Mortgage Trust Series 2008-C7 Class A2B, 6.0952% 12/10/49 (o)

$ 1,902,000

$ 1,987,468

Citigroup Mortgage Loan Trust Series 2004-UST1:

Class A3, 3.1277% 8/25/34 (o)

1,847,848

1,699,625

Class A4, 3.0036% 8/25/34 (o)

1,538,064

1,411,550

Cobalt CMBS Commercial Mortgage Trust Series 2007-C2 Class B, 5.617% 4/15/47 (o)

2,125,000

425,000

COMM pass-thru certificates floater Series 2001-J2A Class A2F, 0.7319% 7/16/34 (h)(o)

1,902,000

1,801,968

Countrywide Alternative Loan Trust:

planned amortization class Series 2003-5T2 Class A2, 0.6288% 5/25/33 (o)

25,314

25,441

Series 2006-OC5N Class N, 7.25% 7/25/37 (h)

78,237

8

Countrywide Home Loans, Inc.:

Series 2003-28 Class B3, 5.5% 8/25/33

77,836

12,454

Series 2003-35 Class B, 4.6392% 9/25/18 (o)

131,012

15,721

Credit Suisse First Boston Mortgage Securities Corp.:

floater Series 2007-AR7 Class 2A1, 3.577% 11/25/34 (o)

1,488,269

1,384,268

Series 2003-17 Class B4, 5.389% 6/25/33 (h)(o)

340,254

44,233

Series 2004-3 Class DB4, 5.8355% 4/25/34 (o)

96,987

2,425

CWALT, Inc.:

floater Series 2005-56:

Class 1A1, 0.9588% 11/25/35 (o)

36,015,049

19,365,742

Class 2A3, 2.0442% 11/25/35 (o)

8,843,378

4,794,720

Series 2005-56:

Class 4A1, 0.5388% 11/25/35 (o)

7,241,702

4,013,441

Class 5A1, 0.5488% 11/25/35 (o)

10,292,825

5,273,917

DSLA Mortgage Loan Trust Series 2006-AR2 Class 2AB1, 0.3188% 9/19/36 (o)

217,987

211,309

First Horizon Mortgage pass-thru Trust:

floater Series 2004-FL1 Class 2A1, 0.7306% 12/25/34 (o)

49,067

35,077

Series 2004-AR5 Class 2A1, 3.009% 10/25/34 (o)

2,056,403

1,864,563

Fosse Master Issuer PLC:

floater Series 2006-1A:

Class B2, 0.4113% 10/18/54 (h)(o)

3,491,000

3,343,680

Class C2, 0.7213% 10/18/54 (h)(o)

1,170,000

1,076,166

Class M2, 0.5013% 10/18/54 (h)(o)

2,005,000

1,832,570

Series 2007-1A Class C2, 0.8013% 10/18/54 (h)(o)

321,000

318,400

GMAC Commercial Mortgage Securities, Inc. Series 1993-C3 Class L, 6.974% 8/15/36 (h)

274,479

2,745

Collateralized Mortgage Obligations - continued

 

Principal Amount (d)

Value

Private Sponsor - continued

GMAC Mortgage Loan Trust Series 2003-J10 Class B2, 4.75% 1/25/19 (h)

$ 124,423

$ 11,198

Gracechurch Mortgage Financing PLC floater Series 2006-1 Class D2, 0.7213% 11/20/56 (h)(o)

2,852,000

2,591,898

Gracechurch Mortgage Funding PLC floater Series 1A Class DB, 0.7194% 10/11/41 (h)(o)

3,114,000

2,966,085

Granite Master Issuer PLC floater:

Series 2005-4 Class C2, 0.7788% 12/20/54 (o)

205,017

71,756

Series 2006-1A Class C2, 0.8288% 12/20/54 (h)(o)

6,523,000

2,283,050

Series 2006-2 Class C1, 0.6988% 12/20/54 (o)

5,398,000

1,835,320

Series 2006-3 Class C2, 0.7288% 12/20/54 (o)

1,124,000

393,400

Series 2006-4:

Class B1, 0.3188% 12/20/54 (o)

4,521,000

3,074,280

Class C1, 0.6088% 12/20/54 (o)

2,767,000

968,450

Class M1, 0.3988% 12/20/54 (o)

1,190,000

737,800

Series 2007-1:

Class 1C1, 0.5288% 12/20/54 (o)

2,234,000

759,560

Class 1M1, 0.3788% 12/20/54 (o)

1,493,000

895,800

Class 2C1, 0.6588% 12/20/54 (o)

1,015,000

345,100

Class 2M1, 0.4788% 12/20/54 (o)

1,917,000

1,150,200

Series 2007-2 Class 2C1, 0.6588% 12/17/54 (o)

2,654,000

928,900

Granite Mortgages PLC floater Series 2003-3 Class 1C, 2.6988% 1/20/44 (o)

430,241

204,323

GSR Mortgage Loan Trust Series 2007-AR2 Class 2A1, 4.1298% 4/25/35 (o)

830,719

679,965

Harborview Mortgage Loan Trust floater Series 2005-2 Class 2A1A, 0.4488% 5/19/35 (o)

401,712

231,906

Impac CMB Trust floater Series 2004-11 Class 2A2, 0.9688% 3/25/35 (o)

215,287

70,082

JPMorgan Chase Commercial Mortgage Securities Trust Series 2007-CB18:

Class A1, 5.32% 6/12/47 (o)

174,659

178,319

Class A3, 5.447% 6/12/47 (o)

3,606,000

3,631,129

JPMorgan Mortgage Trust:

sequential payer Series 2006-A5 Class 3A5, 6.0714% 8/25/36 (o)

2,600,000

2,010,887

Series 2004-A3 Class 4A1, 4.2838% 7/25/34 (o)

2,834,510

2,726,431

Series 2004-A5 Class 2A1, 3.2101% 12/25/34 (o)

2,212,258

2,085,942

Series 2006-A2 Class 5A1, 3.4318% 11/25/33 (o)

3,737,194

3,393,806

LB Commercial Conduit Mortgage Trust Series 1998-C4 Class F, 6% 10/15/35 (h)

51,907

51,651

Collateralized Mortgage Obligations - continued

 

Principal Amount (d)

Value

Private Sponsor - continued

LB-UBS Commercial Mortgage Trust sequential payer Series 2006-C6 Class A4, 5.372% 12/31/49

$ 857,000

$ 864,347

Lehman Structured Securities Corp. floater Series 2005-1 Class A2, 0.6188% 9/26/45 (h)(o)

380,954

172,253

Luminent Mortgage Trust:

floater Series 2006-1 Class A1, 0.4688% 4/25/36 (o)

19,176,543

9,694,080

Series 2006-5 Class A1A, 0.4188% 7/25/36 (o)

15,180,801

7,465,472

MASTR Adjustable Rate Mortgages Trust Series 2007-3 Class 22A2, 0.4388% 5/25/47 (o)

4,141,662

1,699,303

MASTR Asset Backed Securities Trust Series 2006-NC3 Class M1, 0.4588% 10/25/36 (o)

547,000

2,965

Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.3988% 2/25/37 (o)

8,950,788

4,795,618

Merrill Lynch Floating Trust floater Series 2006-1:

Class B, 0.4019% 6/15/22 (h)(o)

251,984

188,988

Class C, 0.4219% 6/15/22 (h)(o)

1,559,607

1,013,745

Class D, 0.4319% 6/15/22 (h)(o)

600,006

330,003

Class E, 0.4419% 6/15/22 (h)(o)

959,771

499,081

Class F, 0.4719% 6/15/22 (h)(o)

1,545,171

726,230

Class G, 0.5419% 6/15/22 (h)(o)

359,765

161,894

Class H, 0.5619% 6/15/22 (h)(o)

720,211

288,084

Class J, 0.6019% 6/15/22 (h)(o)

840,246

294,086

Class TM, 0.7319% 6/15/22 (h)(o)

1,549,424

1,286,022

Merrill Lynch Mortgage Investors Trust:

Series 1998-C3 Class F, 6% 12/15/30 (h)

100,000

93,000

Series 2004-A4 Class A1, 3.125% 8/25/34 (o)

2,497,747

2,182,126

Series 2005-A2 Class A7, 3.0982% 2/25/35 (o)

2,333,330

2,084,011

Series 2006-A6 Class A4, 3.6193% 10/25/33 (o)

1,878,915

1,640,838

Merrill Lynch Mortgage Trust Series 2002-MW1 Class E, 6.219% 7/12/34 (h)

101,000

93,552

Merrill Lynch-CFC Commercial Mortgage Trust Series 2006-3 Class ASB, 5.382% 7/12/46 (o)

8,143,000

8,377,331

Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 0.5188% 7/25/35 (o)

2,713,612

2,090,273

Option One Mortgage Loan Trust floater Series 2007-CP1 Class M1, 0.5288% 3/25/37 (o)

2,994,072

182,950

Permanent Financing No. 8 PLC floater Class 3C, 0.7759% 6/10/42 (o)

2,253,000

2,186,685

Provident Funding Mortgage Loan Trust Series 2005-2 Class 3A, 3.9236% 10/25/35 (o)

3,741,091

2,987,576

Collateralized Mortgage Obligations - continued

 

Principal Amount (d)

Value

Private Sponsor - continued

RESI Finance LP/RESI Finance DE Corp. floater:

Series 2003-B:

Class B5, 2.5784% 7/10/35 (h)(o)

$ 2,162,576

$ 1,015,762

Class B6, 3.0784% 7/10/35 (h)(o)

482,175

252,563

Series 2004-A:

Class B4, 1.4284% 2/10/36 (h)(o)

681,653

356,300

Class B5, 1.9284% 2/10/36 (h)(o)

454,391

242,190

Series 2004-B:

Class B4, 1.3284% 2/10/36 (h)(o)

562,334

287,521

Class B5, 1.7784% 2/10/36 (h)(o)

410,311

175,818

Class B6, 2.2284% 2/10/36 (h)(o)

145,371

45,065

Series 2004-C:

Class B4, 1.1784% 9/10/36 (h)(o)

734,751

340,484

Class B5, 1.5784% 9/10/36 (h)(o)

816,777

364,936

Class B6, 1.9784% 9/10/36 (h)(o)

150,174

53,357

Residential Accredit Loans, Inc. floater Series 2005-QO5 Class A1, 1.4808% 1/25/46 (o)

16,091,956

8,937,976

Residential Asset Mortgage Products, Inc. sequential payer:

Series 2003-SL1 Class A31, 7.125% 4/25/31

1,185,056

1,015,549

Series 2004-SL3 Class A1, 7% 8/25/16

101,637

86,749

Residential Funding Securities Corp. floater Series 2003-RP2 Class A1, 0.6788% 6/25/33 (h)(o)

484,455

402,963

RESIX Finance Ltd. floater Series 2007-A Class BB, 3.5819% 2/15/39 (h)(o)

489,726

6,024

Salomon Brothers Mortgage Securities VII, Inc. Series 2006-C2 Class H, 6.308% 7/18/33 (h)

268,000

247,708

Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 0.8839% 7/20/34 (o)

42,419

21,474

Structured Asset Mortgage Investments, Inc. floater Series 2006-AR6 Class 2A1, 0.4188% 7/25/46 (o)

30,151,255

15,797,174

Structured Asset Securities Corp.:

floater Series 2004-NP1 Class A, 0.6288% 9/25/33 (h)(o)

75,244

64,737

Series 2003-15A Class 4A, 5.3948% 4/25/33 (o)

707,782

656,778

Series 2003-20 Class 1A1, 5.5% 7/25/33

704,462

704,908

TBW Mortgage-Backed pass-thru certificates floater Series 2006-4 Class A3, 0.4288% 9/25/36 (o)

3,273,627

1,735,545

WaMu Mortgage pass-thru certificates:

floater Series 2006-AR11 Class C1B1, 0.3088% 9/25/46 (o)

11,032

10,809

Series 2003-AR8 Class A, 2.8492% 8/25/33 (o)

1,293,813

1,184,339

Collateralized Mortgage Obligations - continued

 

Principal Amount (d)

Value

Private Sponsor - continued

WaMu Mortgage pass-thru certificates: - continued

Series 2005-AR3 Class A2, 4.5496% 3/25/35 (o)

$ 3,391,770

$ 2,889,756

Wells Fargo Mortgage Backed Securities Trust:

Series 2003-12 Class B6, 4.75% 11/25/18 (h)

243,043

26,735

Series 2004-EE Class 2A2, 3.0947% 12/25/34 (o)

1,186,527

1,108,194

Series 2004-H Class A1, 4.5283% 6/25/34 (o)

2,621,057

2,576,534

Series 2004-W Class A9, 2.9948% 11/25/34 (o)

3,483,000

3,211,841

Series 2005-AR10 Class 2A2, 3.094% 6/25/35 (o)

2,767,905

2,628,980

Series 2005-AR12:

Class 2A5, 3.2077% 7/25/35 (o)

9,260,000

8,182,377

Class 2A6, 3.2077% 7/25/35 (o)

1,188,859

1,071,357

Series 2005-AR2:

Class 1A2, 3.6642% 3/25/35 (o)

4,006,336

1,965,794

Class 2A2, 3.7412% 3/25/35 (o)

3,342,322

2,982,672

Series 2005-AR3 Class 2A1, 3.267% 3/25/35 (o)

2,046,662

1,788,341

TOTAL PRIVATE SPONSOR

217,599,247

U.S. Government Agency - 0.0%

Fannie Mae subordinate REMIC pass-thru certificates planned amortization class Series 2002-9 Class PC, 6% 3/25/17

449,314

485,636

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $190,921,294)

218,084,883

Commercial Mortgage Securities - 6.6%

 

Asset Securitization Corp.:

Series 1996-D2 Class B1A, 8.7818% 2/14/29 (h)(o)

800,000

800,000

Series 1997-D4:

Class B1, 7.525% 4/14/29

210,000

220,438

Class B2, 7.525% 4/14/29

1,498,104

1,543,047

Class B5, 7.525% 4/14/29

129,000

22,390

Series 1997-D5:

Class A-6, 7.4967% 2/14/43 (o)

2,225,000

2,375,843

Class A2, 7.1267% 2/14/43 (o)

1,399,000

1,518,611

Class A3, 7.1767% 2/14/43 (o)

1,510,000

1,639,016

Class A5, 7.2467% 2/14/43 (o)

256,000

275,013

Class A7, 7.7367% 2/14/43 (o)

820,000

865,464

Class PS1, 1.5186% 2/14/43 (o)(q)

6,700,194

240,703

Commercial Mortgage Securities - continued

 

Principal Amount (d)

Value

Banc of America Commercial Mortgage Trust:

sequential payer:

Series 2006-2 Class AAB, 5.7204% 5/10/45 (o)

$ 2,221,000

$ 2,325,010

Series 2006-4 Class A1, 5.363% 7/10/46 (o)

771,122

784,764

Series 2006-5:

Class A1, 5.185% 9/10/47

1,135,432

1,151,789

Class A2, 5.317% 9/10/47

7,342,000

7,582,446

Class A3, 5.39% 9/10/47

2,653,000

2,715,290

Series 2006-6 Class A3, 5.369% 12/10/16

3,804,000

3,903,825

Series 2007-2 Class A1, 5.421% 4/10/49

602,111

622,250

Series 2007-4 Class A3, 5.8113% 2/10/51 (o)

1,897,000

1,941,285

Series 2006-6 Class E, 5.619% 10/10/45 (h)

1,098,000

157,438

Series 2007-3:

Class A3, 5.6579% 6/10/49 (o)

3,176,000

3,251,631

Class A4, 5.6579% 6/10/49 (o)

3,965,000

3,536,320

Series 2008-1 Class D, 6.2098% 2/10/51 (h)(o)

125,000

36,312

Banc of America Commercial Mortgage, Inc.:

sequential payer:

Series 2000-2 Class A2, 7.197% 9/15/32

217,496

217,846

Series 2001-1 Class A4, 5.451% 1/15/49

4,166,000

3,895,272

Series 2002-2 Class F, 5.487% 7/11/43

415,000

392,887

Series 2004-2:

Class A3, 4.05% 11/10/38

2,425,357

2,442,741

Class A4, 4.153% 11/10/38

2,412,000

2,366,660

Series 2004-4 Class A3, 4.128% 7/10/42

354,390

354,459

Series 2005-1 Class A3, 4.877% 11/10/42

4,471,806

4,470,252

Series 2006-1 Class A1, 5.219% 9/10/45 (o)

1,808,207

1,831,339

Series 2007-1 Class A2, 5.381% 1/15/49

4,040,000

4,165,342

Series 2001-3 Class H, 6.562% 4/11/37 (h)

1,472,000

1,472,400

Series 2001-PB1:

Class J, 7.166% 5/11/35 (h)

474,000

435,218

Class K, 6.15% 5/11/35 (h)

885,000

758,797

Series 2003-2 Class XP, 0.293% 3/11/41 (h)(o)(q)

16,252,068

42,837

Series 2004-1 Class F, 5.279% 11/10/39 (h)

185,000

91,581

Series 2004-4:

Class K, 4.637% 7/10/42 (h)(o)

300,000

1,500

Class L, 4.637% 7/10/42 (h)(o)

280,000

1,400

Series 2004-5 Class G, 5.2583% 11/10/41 (h)(o)

195,000

94,051

Series 2005-3 Series A3B, 5.09% 7/10/43 (o)

5,908,000

6,014,756

Series 2005-6 Class A3, 5.1785% 9/10/47 (o)

3,423,000

3,503,187

Series 2007-1 Class B, 5.543% 1/15/49

1,146,000

318,938

Commercial Mortgage Securities - continued

 

Principal Amount (d)

Value

Banc of America Large Loan, Inc. floater:

Series 2005-MIB1:

Class B, 0.4919% 3/15/22 (h)(o)

$ 390,000

$ 339,300

Class C, 0.5419% 3/15/22 (h)(o)

817,000

694,450

Class D, 0.5919% 3/15/22 (h)(o)

826,000

685,580

Class E, 0.6319% 3/15/22 (h)(o)

684,000

554,040

Class F, 0.7019% 3/15/22 (h)(o)

615,784

467,996

Class G, 0.7619% 3/15/22 (h)(o)

399,119

279,383

Class J, 1.2819% 3/15/22 (h)(o)

253,000

136,620

Series 2006-BIX1:

Class C, 0.4119% 10/15/19 (h)(o)

1,222,000

1,014,260

Class D, 0.4419% 10/15/19 (h)(o)

1,494,000

1,195,200

Class E, 0.4719% 10/15/19 (h)(o)

1,385,000

1,052,600

Class F, 0.5419% 10/15/19 (h)(o)

3,150,730

2,142,496

Class G, 0.5619% 10/15/19 (h)(o)

1,245,579

722,436

Bayview Commercial Asset Trust:

floater:

Series 2003-2 Class M1, 1.0788% 12/25/33 (h)(o)

88,025

46,653

Series 2004-1:

Class A, 0.5888% 4/25/34 (h)(o)

1,541,683

1,187,096

Class B, 2.1288% 4/25/34 (h)(o)

172,844

79,508

Class M1, 0.7888% 4/25/34 (h)(o)

138,775

87,428

Class M2, 1.4288% 4/25/34 (h)(o)

128,209

67,951

Series 2004-2:

Class A, 0.6588% 8/25/34 (h)(o)

1,190,205

866,089

Class M1, 0.8088% 8/25/34 (h)(o)

200,345

114,196

Series 2004-3:

Class A1, 0.5988% 1/25/35 (h)(o)

2,639,862

1,887,501

Class A2, 0.6488% 1/25/35 (h)(o)

378,817

238,655

Class M1, 0.7288% 1/25/35 (h)(o)

455,702

246,079

Class M2, 1.2288% 1/25/35 (h)(o)

211,162

97,135

Series 2005-2A:

Class A1, 0.5388% 8/25/35 (h)(o)

2,074,330

1,398,928

Class M1, 0.6588% 8/25/35 (h)(o)

103,304

47,355

Class M2, 0.7088% 8/25/35 (h)(o)

170,382

72,873

Class M3, 0.7288% 8/25/35 (h)(o)

94,268

37,660

Class M4, 0.8388% 8/25/35 (h)(o)

86,534

32,130

Series 2005-3A:

Class A1, 0.5488% 11/25/35 (h)(o)

757,557

533,017

Class A2, 0.6288% 11/25/35 (h)(o)

750,736

454,871

Class M1, 0.6688% 11/25/35 (h)(o)

89,600

41,431

Class M2, 0.7188% 11/25/35 (h)(o)

113,757

49,882

Commercial Mortgage Securities - continued

 

Principal Amount (d)

Value

Bayview Commercial Asset Trust: - continued

floater:

Series 2005-3A:

Class M3, 0.7388% 11/25/35 (h)(o)

$ 101,810

$ 41,915

Class M4, 0.8288% 11/25/35 (h)(o)

126,845

48,772

Series 2005-4A:

Class A2, 0.6188% 1/25/36 (h)(o)

1,758,207

1,098,880

Class B1, 1.6288% 1/25/36 (h)(o)

151,939

47,101

Class M1, 0.6788% 1/25/36 (h)(o)

567,164

277,910

Class M2, 0.6988% 1/25/36 (h)(o)

170,149

78,269

Class M3, 0.7288% 1/25/36 (h)(o)

248,490

106,851

Class M4, 0.8388% 1/25/36 (h)(o)

137,428

52,223

Class M5, 0.8788% 1/25/36 (h)(o)

137,428

47,413

Class M6, 0.9288% 1/25/36 (h)(o)

145,964

46,709

Series 2006-1:

Class A2, 0.5888% 4/25/36 (h)(o)

268,126

157,497

Class M1, 0.6088% 4/25/36 (h)(o)

95,898

40,862

Class M2, 0.6288% 4/25/36 (h)(o)

101,322

40,134

Class M3, 0.6488% 4/25/36 (h)(o)

87,180

32,474

Class M4, 0.7488% 4/25/36 (h)(o)

49,402

17,617

Class M5, 0.7888% 4/25/36 (h)(o)

47,949

16,202

Class M6, 0.8688% 4/25/36 (h)(o)

95,607

30,518

Series 2006-2A:

Class A1, 0.4588% 7/25/36 (h)(o)

4,960,055

3,384,246

Class A2, 0.5088% 7/25/36 (h)(o)

245,391

143,775

Class B1, 1.0988% 7/25/36 (h)(o)

91,877

27,306

Class B3, 2.9288% 7/25/36 (h)(o)

138,813

37,077

Class M1, 0.5388% 7/25/36 (h)(o)

257,467

111,535

Class M2, 0.5588% 7/25/36 (h)(o)

181,655

72,426

Class M3, 0.5788% 7/25/36 (h)(o)

150,679

56,158

Class M4, 0.6488% 7/25/36 (h)(o)

101,748

36,131

Class M5, 0.6988% 7/25/36 (h)(o)

125,058

41,870

Class M6, 0.7688% 7/25/36 (h)(o)

186,590

60,082

Series 2006-3A:

Class B1, 1.0288% 10/25/36 (h)(o)

159,920

27,186

Class B2, 1.5788% 10/25/36 (h)(o)

115,345

17,302

Class B3, 2.8288% 10/25/36 (h)(o)

187,704

28,156

Class M4, 0.6588% 10/25/36 (h)(o)

176,742

46,837

Class M5, 0.7088% 10/25/36 (h)(o)

211,585

50,780

Class M6, 0.7888% 10/25/36 (h)(o)

414,159

82,832

Series 2006-4A:

Class A1, 0.4588% 12/25/36 (h)(o)

916,129

616,830

Class A2, 0.4988% 12/25/36 (h)(o)

4,661,500

2,138,230

Commercial Mortgage Securities - continued

 

Principal Amount (d)

Value

Bayview Commercial Asset Trust: - continued

floater:

Series 2006-4A:

Class B1, 0.9288% 12/25/36 (h)(o)

$ 142,529

$ 34,093

Class B2, 1.4788% 12/25/36 (h)(o)

145,279

30,770

Class B3, 2.6788% 12/25/36 (h)(o)

247,401

45,695

Class M1, 0.5188% 12/25/36 (h)(o)

298,194

97,808

Class M2, 0.5388% 12/25/36 (h)(o)

198,796

60,513

Class M3, 0.5688% 12/25/36 (h)(o)

201,576

57,832

Class M4, 0.6288% 12/25/36 (h)(o)

241,196

65,195

Class M5, 0.6688% 12/25/36 (h)(o)

221,734

55,921

Class M6, 0.7488% 12/25/36 (h)(o)

198,796

46,319

Series 2007-1:

Class A2, 0.4988% 3/25/37 (h)(o)

1,014,498

598,554

Class B1, 0.8988% 3/25/37 (h)(o)

322,774

61,327

Class B2, 1.3788% 3/25/37 (h)(o)

234,028

37,445

Class B3, 3.5788% 3/25/37 (h)(o)

640,813

83,306

Class M1, 0.4988% 3/25/37 (h)(o)

284,004

112,181

Class M2, 0.5188% 3/25/37 (h)(o)

212,119

74,241

Class M3, 0.5488% 3/25/37 (h)(o)

188,120

58,317

Class M4, 0.5988% 3/25/37 (h)(o)

151,188

42,333

Class M5, 0.6488% 3/25/37 (h)(o)

236,007

59,002

Class M6, 0.7288% 3/25/37 (h)(o)

330,426

72,694

Series 2007-2A:

Class A1, 0.4988% 7/25/37 (h)(o)

904,036

587,623

Class A2, 0.5488% 7/25/37 (h)(o)

844,699

397,009

Class B1, 1.8288% 7/25/37 (h)(o)

260,144

40,322

Class B2, 2.4788% 7/25/37 (h)(o)

225,226

37,162

Class B3, 3.5788% 7/25/37 (h)(o)

253,221

35,451

Class M1, 0.5988% 7/25/37 (h)(o)

296,611

103,814

Class M2, 0.6388% 7/25/37 (h)(o)

162,080

50,245

Class M3, 0.7188% 7/25/37 (h)(o)

164,341

42,729

Class M4, 0.8788% 7/25/37 (h)(o)

324,464

71,382

Class M5, 0.9788% 7/25/37 (h)(o)

286,021

57,204

Class M6, 1.2288% 7/25/37 (h)(o)

362,656

61,652

Series 2007-3:

Class A2, 0.5188% 7/25/37 (h)(o)

950,325

454,921

Class B1, 1.1788% 7/25/37 (h)(o)

230,982

49,476

Class B2, 1.8288% 7/25/37 (h)(o)

578,025

104,969

Class B3, 4.2288% 7/25/37 (h)(o)

307,070

46,767

Class M1, 0.5388% 7/25/37 (h)(o)

206,402

73,913

Class M2, 0.5688% 7/25/37 (h)(o)

221,225

73,314

Class M3, 0.5988% 7/25/37 (h)(o)

348,596

108,030

Commercial Mortgage Securities - continued

 

Principal Amount (d)

Value

Bayview Commercial Asset Trust: - continued

floater:

Series 2007-3:

Class M4, 0.7288% 7/25/37 (h)(o)

$ 547,348

$ 150,466

Class M5, 0.8288% 7/25/37 (h)(o)

283,909

66,037

Class M6, 1.0288% 7/25/37 (h)(o)

216,488

55,811

Series 2007-4A:

Class B1, 2.7788% 9/25/37 (h)(o)

337,084

37,079

Class B2, 3.6788% 9/25/37 (h)(o)

1,226,421

122,642

Class M1, 1.1788% 9/25/37 (h)(o)

324,132

74,550

Class M2, 1.2788% 9/25/37 (h)(o)

324,132

61,585

Class M4, 1.8288% 9/25/37 (h)(o)

829,018

124,353

Class M5, 1.9788% 9/25/37 (h)(o)

829,018

107,772

Class M6, 2.1788% 9/25/37 (h)(o)

830,627

99,675

Series 2004-1 Class IO, 1.25% 4/25/34 (h)(q)

5,145,721

164,663

Series 2007-5A Class IO, 3.047% 10/25/37 (h)(o)(q)

11,355,396

1,136,675

Bear Stearns Commercial Mortgage Securities Trust:

floater:

Series 2006-BBA7:

Class E, 0.5519% 3/15/19 (h)(o)

200,000

159,969

Class G, 0.6719% 3/15/19 (h)(o)

805,386

442,962

Class H, 0.8819% 3/15/19 (h)(o)

541,917

260,120

Class J, 1.0819% 3/15/19 (h)(o)

407,118

175,061

Series 2007-BBA8:

Class D, 0.4819% 3/15/22 (h)(o)

655,330

327,667

Class E, 0.5319% 3/15/22 (h)(o)

3,607,157

1,695,368

Class F, 0.5819% 3/15/22 (h)(o)

2,235,922

961,456

Class G, 0.6319% 3/15/22 (h)(o)

537,549

215,021

Class H, 0.7819% 3/15/22 (h)(o)

655,330

235,921

Class J, 0.9319% 3/15/22 (h)(o)

655,330

183,494

sequential payer:

Series 2003-PWR2 Class A3, 4.834% 5/11/39

926,520

948,113

Series 2004-PWR3 Class A3, 4.487% 2/11/41

2,075,141

2,131,465

Series 2006-PW14:

Class A4, 5.201% 12/11/38

2,458,000

2,468,174

Class AM, 5.243% 12/11/38

600,000

517,586

Series 2006-T24 Class A1, 4.905% 10/12/41 (o)

1,816,989

1,862,618

Series 2007-PW16 Class A4, 5.7189% 6/11/40 (o)

1,112,000

1,051,409

Series 2007-PW17 Class A1, 5.282% 6/11/50

1,012,110

1,034,306

Series 2007-T26 Class A1, 5.145% 1/12/45 (o)

590,305

603,190

Series 1999-C1:

Class G, 5.64% 2/14/31 (h)

70,000

55,511

Class I, 5.64% 2/14/31 (h)

205,000

55,731

Commercial Mortgage Securities - continued

 

Principal Amount (d)

Value

Bear Stearns Commercial Mortgage Securities Trust: - continued

Series 2003-PWR2 Class X2, 0.4448% 5/11/39 (h)(o)(q)

$ 14,745,455

$ 117,278

Series 2006-PW13 Class A3, 5.518% 9/11/41

6,714,000

7,025,866

Series 2006-PW14 Class X2, 0.653% 12/11/38 (h)(o)(q)

25,773,245

517,571

Series 2006-T22:

Class A1, 5.415% 4/12/38 (o)

250,734

252,987

Class A4, 5.4629% 4/12/38 (o)

237,000

250,334

Series 2007-BBA8:

Class K, 1.4319% 3/15/22 (h)(o)

120,000

27,600

Class L, 2.1319% 3/15/22 (h)(o)

254,000

50,800

Series 2007-PW15 Class A1, 5.016% 2/11/44

520,414

534,785

Series 2007-PW16:

Class B, 5.7189% 6/11/40 (h)(o)

304,000

122,921

Class C, 5.7189% 6/11/40 (h)(o)

255,000

98,053

Class D, 5.7189% 6/11/40 (h)(o)

255,000

72,281

Series 2007-PW18 Class X2, 0.344% 6/11/50 (h)(o)(q)

177,669,388

2,494,585

Series 2007-T28:

Class A1, 5.422% 9/11/42

311,862

324,593

Class X2, 0.175% 9/11/42 (h)(o)(q)

88,855,592

766,202

C-BASS Trust floater Series 2006-SC1 Class A, 0.4988% 5/25/36 (h)(o)

1,003,778

663,570

CDC Commercial Mortgage Trust Series 2002-FX1:

Class G, 6.625% 5/15/35 (h)

2,235,000

2,317,463

Class XCL, 2.0744% 5/15/35 (h)(o)(q)

28,644,106

967,595

Chase Commercial Mortgage Securities Corp.:

Series 1998-1 Class H, 6.34% 5/18/30 (h)

800,000

524,105

Series 1998-2 Class J, 6.39% 11/18/30 (h)

507,951

97,374

Series 1999-2:

Class E, 7.734% 1/15/32

763,000

756,325

Class F, 7.734% 1/15/32

413,000

408,700

Series 2001-245 Class A2, 6.4842% 2/12/16 (h)(o)

1,932,000

2,005,918

Chase Manhattan Bank-First Union National Bank Commercial Mortgage Trust Series 1999-1 Class G, 6.4% 8/15/31 (h)

290,000

267,661

Citigroup Commercial Mortgage Trust:

floater Series 2006-FL2:

Class F, 0.5431% 8/16/21 (h)(o)

678,000

478,505

Class G, 0.5631% 11/15/36 (h)(o)

542,222

345,661

Class H, 0.6031% 11/15/36 (h)(o)

433,548

255,247

sequential payer Series 2006-C5 Class A4, 5.431% 10/15/49

9,955,000

10,071,812

Series 2006-C5 Class AMP2, 5.5005% 10/15/49 (h)

3,228,152

1,129,853

Commercial Mortgage Securities - continued

 

Principal Amount (d)

Value

Citigroup Commercial Mortgage Trust: - continued

Series 2006-FL2 Class CNP3, 1.4331% 8/16/21 (h)(o)

$ 5,089,327

$ 2,544,664

Series 2007-C6:

Class A1, 5.622% 12/10/49 (o)

11,404,474

11,791,156

Class A4, 5.7001% 12/10/49 (o)

4,303,000

4,095,694

Series 2007-FL3A Class A2, 0.3719% 4/15/22 (h)(o)

6,878,000

4,637,612

Citigroup/Deutsche Bank Commercial Mortgage Trust:

sequential payer:

Series 2006-CD2 Class A4, 5.3631% 1/15/46 (o)

11,229,000

11,454,349

Series 2007-CD4:

Class A1, 4.977% 12/11/49

431,954

438,591

Class A2A, 5.237% 12/11/49

11,693,000

12,195,983

Class A4, 5.322% 12/11/49

2,823,000

2,554,265

Series 2007-CD4:

Class A3, 5.293% 12/11/49

1,852,000

1,814,606

Class C, 5.476% 12/11/49

3,581,000

895,250

Claregold Trust Series 2007-2A:

Class F, 5.01% 5/15/44 (h)(o)

CAD

138,000

56,605

Class G, 5.01% 5/15/44 (h)(o)

CAD

30,000

10,794

Class H, 5.01% 5/15/44 (h)(o)

CAD

20,000

6,377

Class J, 5.01% 5/15/44 (h)(o)

CAD

20,000

5,828

Class K, 5.01% 5/15/44 (h)(o)

CAD

10,000

2,561

Class L, 5.01% 5/15/44 (h)(o)

CAD

36,000

8,166

Class M, 5.01% 5/15/44 (h)(o)

CAD

165,000

34,811

Cobalt CMBS Commercial Mortgage Trust:

sequential payer:

Series 2007-C2 Class A1, 5.064% 4/15/47 (o)

87,523

88,390

Series 2007-C3 Class A3, 5.8203% 5/15/46 (o)

1,902,000

1,920,410

Series 2006-C1 Class B, 5.359% 8/15/48

5,706,000

1,426,500

COMM pass-thru certificates:

floater:

Series 2005-F10A:

Class B, 0.4619% 4/15/17 (h)(o)

4,261,000

3,323,580

Class C, 0.5019% 4/15/17 (h)(o)

1,531,000

1,102,320

Class D, 0.5419% 4/15/17 (h)(o)

950,056

617,536

Class E, 0.6019% 4/15/17 (h)(o)

302,445

181,467

Class F, 0.6419% 4/15/17 (h)(o)

171,562

90,928

Class G, 0.7819% 4/15/17 (h)(o)

171,562

77,203

Class H, 0.8519% 4/15/17 (h)(o)

171,562

54,900

Class J, 1.0819% 4/15/17 (h)(o)

131,565

32,891

Series 2005-FL11:

Class B, 0.4819% 11/15/17 (h)(o)

238,832

231,667

Commercial Mortgage Securities - continued

 

Principal Amount (d)

Value

COMM pass-thru certificates: - continued

floater:

Series 2005-FL11:

Class C, 0.5319% 11/15/17 (h)(o)

$ 1,966,982

$ 1,809,623

Class D, 0.5719% 11/15/17 (h)(o)

102,292

91,040

Class E, 0.6219% 11/15/17 (h)(o)

363,655

309,107

Class F, 0.6819% 11/15/17 (h)(o)

251,948

196,519

Class G, 0.7319% 11/15/17 (h)(o)

174,638

117,007

Series 2006-FL12 Class AJ, 0.3619% 12/15/20 (h)(o)

2,710,000

2,086,700

sequential payer:

Series 2005-C6 Class A2, 4.999% 6/10/44 (o)

69,683

70,129

Series 2006-C8 Class A3, 5.31% 12/10/46

5,420,000

5,403,475

Series 2006-CN2A Class A2FX, 5.449% 2/5/19 (h)

3,216,000

3,160,495

Series 2007-C9 Class A4, 5.816% 12/10/49 (o)

4,209,000

4,086,426

Series 2001-J1A Class F, 6.958% 2/14/34 (h)

600,000

603,001

Series 2001-J2A Class F, 7.0307% 7/16/34 (h)(o)

199,000

132,568

Series 2004-LBN2 Class X2, 0.8616% 3/10/39 (h)(o)(q)

4,110,818

31,786

Series 2006-C8:

Class B, 5.44% 12/10/46

3,294,000

1,075,402

Class XP, 0.4838% 12/10/46 (o)(q)

21,907,611

311,612

Commercial Mortgage Acceptance Corp.:

Series 1998-C1:

Class F, 6.23% 7/15/31 (h)

147,515

149,815

Class G, 6.21% 7/15/31 (h)

554,000

524,632

weighted average coupon Series 1998-C2 Class F, 5.44% 9/15/30 (h)(o)

204,930

212,342

Commercial Mortgage Asset Trust:

sequential payer Series 1999-C2 Class A2, 7.546% 11/17/32 (o)

121,285

121,527

Series 1999-C1 Class F, 6.25% 1/17/32 (h)

550,000

441,934

Series 1999-C2 Class G, 6% 11/17/32

302,000

251,865

Credit Suisse Commercial Mortgage Trust:

sequential payer:

Series 2006-C5:

Class A1, 5.297% 12/15/39

541,926

551,811

Class AJ, 5.373% 12/15/39

3,852,000

1,629,390

Series 2007-C2:

Class A1, 5.269% 1/15/49

122,306

124,499

Class A2, 5.448% 1/15/49 (o)

10,150,000

10,429,719

Class A3, 5.542% 1/15/49 (o)

3,804,000

3,174,212

Series 2007-C3:

Class A1, 5.664% 6/15/39 (o)

265,811

271,249

Commercial Mortgage Securities - continued

 

Principal Amount (d)

Value

Credit Suisse Commercial Mortgage Trust: - continued

sequential payer:

Series 2007-C3:

Class A4, 5.7225% 6/15/39 (o)

$ 1,144,000

$ 963,140

Series 2006-C4 Class AAB, 5.439% 9/15/39

10,824,000

11,084,491

Series 2006-C5 Class ASP, 0.6708% 12/15/39 (o)(q)

13,910,240

289,241

Series 2007-C5 Class A4, 5.695% 9/15/40 (o)

1,722,000

1,443,429

Credit Suisse First Boston Mortgage Capital Certificates floater Series 2007-TF2A Class B, 0.5819% 4/15/22 (h)(o)

6,783,000

2,170,560

Credit Suisse First Boston Mortgage Securities Corp.:

sequential payer:

Series 2000-C1 Class A2, 7.545% 4/15/62

257,735

258,280

Series 2001-CK6 Class B, 6.582% 8/15/36

1,902,000

2,006,181

Series 2002-CP5 Class A1, 4.106% 12/15/35

158,055

161,236

Series 2004-C1:

Class A3, 4.321% 1/15/37

567,786

576,386

Class A4, 4.75% 1/15/37

884,000

904,751

Series 1997-C2 Class F, 7.46% 1/17/35 (o)

929,000

1,016,916

Series 1998-C1:

Class D, 7.17% 5/17/40

368,181

373,705

Class H, 6% 5/17/40 (h)

130,000

11,386

Series 1999-C1 Class E, 7.8926% 9/15/41 (o)

882,035

882,035

Series 2001-CK6 Class AX, 0.9546% 9/15/18 (o)(q)

5,442,384

70,415

Series 2001-CKN5 Class AX, 2.0746% 9/15/34 (h)(o)(q)

17,516,309

390,939

Series 2001-SPGA Class C, 6.809% 8/13/18 (h)

230,000

208,253

Series 2003-C3:

Class D, 4.131% 5/15/38

120,000

87,800

Class J, 4.231% 5/15/38 (h)

300,000

109,260

Series 2003-C4 Class ASP, 0.4354% 8/15/36 (h)(o)(q)

12,258,479

34,399

Series 2006-C1 Class A3, 5.5483% 2/15/39 (o)

10,043,000

10,267,770

Credit Suisse Mortgage Capital Certificates:

floater:

Series 200-TFL1 Class B, 0.3819% 2/15/22 (h)(o)

721,000

432,600

Series 2007-TFL1:

Class C:

0.4019% 2/15/22 (h)(o)

1,864,711

932,356

0.5019% 2/15/22 (h)(o)

665,993

233,098

Class F, 0.5519% 2/15/22 (h)(o)

1,331,815

426,181

Class L, 2.1319% 2/15/22 (h)(o)

100,000

12,000

sequential payer Series 2007-C1:

Class A1, 5.227% 2/15/40

164,304

167,185

Commercial Mortgage Securities - continued

 

Principal Amount (d)

Value

Credit Suisse Mortgage Capital Certificates: - continued

sequential payer Series 2007-C1:

Class A2, 5.268% 2/15/40

$ 18,300,000

$ 18,785,539

Series 2007-C1:

Class ASP, 0.4174% 2/15/40 (o)(q)

37,268,901

483,650

Class B, 5.487% 2/15/40 (h)(o)

2,907,000

305,235

Credit Suisse/Morgan Stanley Commercial Mortgage Trust:

floater Series 2006-HC1A:

Class A2, 0.4919% 5/15/23 (h)(o)

450,000

413,130

Class D, 0.7019% 5/15/23 (h)(o)

170,000

147,712

Class F, 0.8319% 5/15/23 (h)(o)

140,000

113,670

Series 2006-HC1A:

Class A1, 0.4219% 5/15/23 (h)(o)

268,216

250,576

Class C, 0.6319% 5/15/23 (h)(o)