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

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number 811-2105

Fidelity Fixed-Income Trust
(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:	May 31, 2011

Item 1. Schedule of Investments

Quarterly Holdings Report

for

Fidelity ® Short-Term Bond Fund -
Short-Term Bond
Class F

May 31, 2011

1.804842.107

STP-QTLY-0711

Investments May 31, 2011 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 26.8%
	Principal Amount (000s)		Value (000s)
CONSUMER DISCRETIONARY - 1.4%
Auto Components - 0.1%
DaimlerChrysler NA Holding Corp. 6.5% 11/15/13	$ 6,814		$ 7,635
Automobiles - 0.2%
Daimler Finance North America LLC 1.95% 3/28/14 (e)	16,316		16,463
Diversified Consumer Services - 0.1%
Yale University 2.9% 10/15/14	5,340		5,617
Household Durables - 0.1%
Fortune Brands, Inc. 3% 6/1/12	6,820		6,926
Whirlpool Corp. 6.125% 6/15/11	7,250		7,263
			14,189
Media - 0.8%
COX Communications, Inc. 7.125% 10/1/12	18,400		19,854
NBC Universal, Inc. 3.65% 4/30/15 (e)	7,820		8,222
News America, Inc. 5.3% 12/15/14	9,474		10,574
Time Warner Cable, Inc. 5.4% 7/2/12	20,680		21,689
Time Warner, Inc. 3.15% 7/15/15	11,388		11,749
			72,088
Specialty Retail - 0.1%
Staples, Inc. 7.375% 10/1/12	6,373		6,845
TOTAL CONSUMER DISCRETIONARY			122,837
CONSUMER STAPLES - 1.6%
Beverages - 0.7%
Anheuser-Busch InBev Worldwide, Inc.:
2.5% 3/26/13	17,822		18,286
7.2% 1/15/14	11,100		12,710
Coca-Cola Enterprises, Inc. 1.125% 11/12/13	8,628		8,619
Diageo Capital PLC 5.2% 1/30/13	2,405		2,576
Diageo Finance BV 5.5% 4/1/13	8,519		9,216
SABMiller PLC 6.2% 7/1/11 (e)	8,000		8,034
The Coca-Cola Co. 3.625% 3/15/14	590		634
			60,075
Food & Staples Retailing - 0.1%
Wal-Mart Stores, Inc. 2.25% 7/8/15	9,508		9,672
Food Products - 0.5%
Cargill, Inc. 5.2% 1/22/13 (e)	2,175		2,322
General Mills, Inc. 1.55% 5/16/14	9,300		9,365
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
CONSUMER STAPLES - continued
Food Products - continued
Kraft Foods, Inc.:
2.625% 5/8/13	$ 27,534		$ 28,351
5.625% 11/1/11	986		1,006
			41,044
Tobacco - 0.3%
Altria Group, Inc.:
4.125% 9/11/15	11,500		12,243
8.5% 11/10/13	8,000		9,333
			21,576
TOTAL CONSUMER STAPLES			132,367
ENERGY - 1.5%
Energy Equipment & Services - 0.0%
Weatherford International Ltd. 5.15% 3/15/13	401		426
Oil, Gas & Consumable Fuels - 1.5%
Cenovus Energy, Inc. 4.5% 9/15/14	11,287		12,276
EnCana Corp. 6.3% 11/1/11	936		958
Enterprise Products Operating LP:
4.6% 8/1/12	9,289		9,667
7.625% 2/15/12	4,206		4,403
Gazstream SA 5.625% 7/22/13 (e)	4,565		4,753
Kaneb Pipe Line Operations Participation LP 7.75% 2/15/12	8,710		9,055
Marathon Petroleum Corp. 3.5% 3/1/16 (e)	7,520		7,722
NGPL PipeCo LLC 6.514% 12/15/12 (e)	6,699		7,064
Petrobras International Finance Co. Ltd. 3.875% 1/27/16	8,216		8,408
Plains All American Pipeline LP/PAA Finance Corp. 4.25% 9/1/12	9,200		9,552
Ras Laffan Liquefied Natural Gas Co. Ltd. III 4.5% 9/30/12 (e)	3,544		3,677
Rockies Express Pipeline LLC 6.25% 7/15/13 (e)	8,777		9,442
Shell International Finance BV 1.875% 3/25/13	14,810		15,135
Southeast Supply Header LLC 4.85% 8/15/14 (e)	10,282		10,990
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
ENERGY - continued
Oil, Gas & Consumable Fuels - continued
Total Capital Canada Ltd. 1.625% 1/28/14	$ 8,680		$ 8,823
XTO Energy, Inc. 4.9% 2/1/14	8,743		9,619
			131,544
TOTAL ENERGY			131,970
FINANCIALS - 16.1%
Capital Markets - 2.6%
Goldman Sachs Group, Inc.:
3.625% 8/1/12	21,000		21,633
3.625% 2/7/16	10,300		10,329
3.7% 8/1/15	7,094		7,203
4.75% 7/15/13	5,401		5,742
5.25% 10/15/13	5,483		5,900
HSBC Bank PLC 3.1% 5/24/16 (e)	8,670		8,695
Janus Capital Group, Inc. 5.875% 9/15/11 (c)	5,672		5,723
JPMorgan Chase & Co.:
1.0738% 1/24/14 (j)	23,000		23,110
2.05% 1/24/14	34,170		34,568
Merrill Lynch & Co., Inc.:
5.45% 2/5/13	7,360		7,836
5.45% 7/15/14	4,605		4,992
Morgan Stanley:
2.875% 1/24/14	8,670		8,856
4.2% 11/20/14	4,995		5,239
6% 5/13/14	12,430		13,646
Royal Bank of Scotland PLC 4.875% 8/25/14 (e)	16,500		17,433
State Street Corp. 4.3% 5/30/14	9,030		9,789
The Bank of New York, Inc. 4.3% 5/15/14	12,445		13,507
UBS AG Stamford Branch:
1.2728% 1/28/14 (j)	6,500		6,553
2.25% 1/28/14	16,500		16,707
			227,461
Commercial Banks - 6.1%
American Express Bank FSB 0.3503% 6/12/12 (j)	3,806		3,797
ANZ Banking Group Ltd. 2.125% 1/10/14 (e)	17,000		17,239
Bank of Montreal:
0.7433% 4/29/14 (j)	8,000		8,019
2.125% 6/28/13	15,550		15,912
Bank of Nova Scotia 2.25% 1/22/13	24,370		24,953
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Commercial Banks - continued
Bank of Tokyo-Mitsubishi UFJ Ltd. 2.6% 1/22/13 (e)	$ 4,356		$ 4,446
Barclays Bank PLC 2.375% 1/13/14	22,100		22,537
Canadian Imperial Bank of Commerce 1.45% 9/13/13	13,791		13,879
Commonwealth Bank of Australia 2.125% 3/17/14 (e)	15,350		15,539
Credit Agricole SA 0.4895% 6/7/11 (e)(j)	10,000		10,000
Credit Suisse New York Branch 2.2% 1/14/14	31,458		32,010
Danske Bank A/S 1.3308% 4/14/14 (e)(j)	12,690		12,690
DBS Bank Ltd. (Singapore) 0.4808% 5/16/17 (e)(j)	1,144		1,130
Fifth Third Bancorp 3.625% 1/25/16	4,799		4,909
Fifth Third Bank 0.3705% 5/17/13 (j)	6,500		6,416
ING Bank NV:
2% 10/18/13 (e)	5,000		5,004
2.65% 1/14/13 (e)	14,190		14,412
KeyBank NA 5.8% 7/1/14	9,435		10,392
Manufacturers & Traders Trust Co. 1.8045% 4/1/13 (j)	485		485
Marshall & Ilsley Bank 6.375% 9/1/11	9,120		9,216
Nordea Bank AB 1.75% 10/4/13 (e)	12,260		12,315
PNC Funding Corp.:
3% 5/19/14	8,490		8,771
3.625% 2/8/15	8,119		8,580
Rabobank (Netherlands) NV 1.85% 1/10/14	34,061		34,489
Regions Financial Corp. 4.875% 4/26/13	7,700		7,912
Royal Bank of Canada:
0.5748% 4/17/14 (j)	8,000		8,007
1.125% 1/15/14	17,298		17,313
Royal Bank of Scotland PLC 1.5% 3/30/12 (e)	17,050		17,199
Santander US Debt SA Unipersonal 2.485% 1/18/13 (e)	13,200		13,194
Sumitomo Mitsui Banking Corp. 1.95% 1/14/14 (e)	18,000		18,173
SunTrust Banks, Inc. 3.6% 4/15/16	7,229		7,401
Svenska Handelsbanken AB 2.875% 9/14/12 (e)	22,266		22,835
U.S. Bancorp:
1.375% 9/13/13	8,130		8,190
4.2% 5/15/14	8,510		9,188
Union Bank NA Mtn Bank Nts Be 2.125% 12/16/13	21,794		22,197
Wachovia Bank NA 3.5725% 11/3/14 (j)	13,000		12,779
Wells Fargo & Co.:
3.625% 4/15/15	7,400		7,811
3.75% 10/1/14	12,527		13,336
4.375% 1/31/13	22,251		23,483
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Commercial Banks - continued
Westpac Banking Corp.:
1.037% 3/31/14 (e)(j)	$ 8,700		$ 8,710
1.85% 12/9/13	10,339		10,447
2.1% 8/2/13	3,181		3,234
			528,549
Consumer Finance - 2.5%
American Honda Finance Corp.:
1.625% 9/20/13 (e)	8,190		8,236
2.375% 3/18/13 (e)	3,000		3,060
Capital One Financial Corp.:
5.7% 9/15/11	11,765		11,936
7.375% 5/23/14	13,000		15,128
Caterpillar Financial Services Corp.:
1.375% 5/20/14	20,600		20,709
2% 4/5/13	5,668		5,791
General Electric Capital Corp.:
1.875% 9/16/13	31,809		32,129
2.1% 1/7/14	33,435		33,827
2.25% 11/9/15	4,902		4,835
2.8% 1/8/13	1,270		1,303
2.95% 5/9/16	1,460		1,465
3.5% 8/13/12	42,756		44,104
3.5% 6/29/15	1,508		1,579
Household Finance Corp. 6.375% 10/15/11	5,378		5,495
HSBC Finance Corp. 5.9% 6/19/12	6,125		6,444
John Deere Capital Corp.:
1.6% 3/3/14	8,550		8,667
1.875% 6/17/13	12,414		12,664
			217,372
Diversified Financial Services - 3.0%
BB&T Corp.:
2.05% 4/28/14	10,000		10,122
3.2% 3/15/16	5,000		5,102
BNP Paribas 2.125% 12/21/12	11,280		11,490
BP Capital Markets PLC:
0.9095% 3/11/14 (j)	8,500		8,542
1.55% 8/11/11	1,000		1,002
3.125% 3/10/12	8,461		8,619
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Diversified Financial Services - continued
Citigroup, Inc.:
1.2345% 4/1/14 (j)	$ 8,500		$ 8,477
1.7328% 1/13/14 (j)	23,691		23,911
4.75% 5/19/15	8,020		8,604
5.125% 5/5/14	4,158		4,492
5.5% 4/11/13	6,500		6,953
6.375% 8/12/14	19,196		21,478
6.5% 8/19/13	9		10
Deutsche Bank AG London Branch 2.375% 1/11/13	29,670		30,314
Export Development Canada 1.5% 5/15/14	5,655		5,748
Iberbond 2004 PLC 4.826% 12/24/17 (m)	5,723		5,608
JPMorgan Chase & Co. 3.4% 6/24/15	11,433		11,818
MassMutual Global Funding II:
0.6608% 1/14/14 (e)(j)	12,292		12,296
3.625% 7/16/12 (e)	4,300		4,432
Metlife Institutional Funding II 1.201% 4/4/14 (e)(j)	8,000		8,023
New York Life Global Fund:
2.25% 12/14/12 (e)	6,570		6,721
5.25% 10/16/12 (e)	10,930		11,607
OAO Industry & Construction Bank 5.01% 9/29/15 (Issued by Or-ICB SA for OAO Industry & Construction Bank) (j)	1,425		1,424
Pricoa Global Funding I 5.45% 6/11/14 (e)	5,730		6,291
Prime Property Funding, Inc.:
5.35% 4/15/12 (e)	628		644
5.5% 1/15/14 (e)	144		155
USAA Capital Corp. 3.5% 7/17/14 (e)	9,044		9,496
Volkswagen International Finance NV 1.875% 4/1/14 (e)	15,000		15,104
Whirlpool Corp. 8% 5/1/12	7,298		7,756
ZFS Finance USA Trust IV 5.875% 5/9/62 (e)(j)	500		505
			256,744
Insurance - 0.7%
Berkshire Hathaway Finance Corp. 1.5% 1/10/14	8,340		8,461
Berkshire Hathaway, Inc. 2.125% 2/11/13	14,470		14,812
Metropolitan Life Global Funding I:
2.5% 1/11/13 (e)	11,430		11,658
2.5% 9/29/15 (e)	5,000		4,999
2.875% 9/17/12 (e)	11,731		12,028
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Insurance - continued
Monumental Global Funding II 5.65% 7/14/11 (e)	$ 146		$ 147
Prudential Financial, Inc. 3.625% 9/17/12	9,639		9,951
			62,056
Real Estate Investment Trusts - 0.2%
AvalonBay Communities, Inc. 5.5% 1/15/12	570		586
Developers Diversified Realty Corp. 5.375% 10/15/12	5,783		5,991
Duke Realty LP 4.625% 5/15/13	114		120
Equity One, Inc. 6.25% 12/15/14	8,778		9,626
Federal Realty Investment Trust 5.4% 12/1/13	150		162
			16,485
Real Estate Management & Development - 0.3%
Duke Realty LP 5.625% 8/15/11	5,464		5,512
ERP Operating LP:
5.2% 4/1/13	3,570		3,817
5.5% 10/1/12	117		124
Liberty Property LP 6.375% 8/15/12	7,473		7,877
Simon Property Group LP:
4.2% 2/1/15	2,715		2,925
5.3% 5/30/13	7,322		7,893
			28,148
Thrifts & Mortgage Finance - 0.7%
Bank of America Corp.:
1.6928% 1/30/14 (j)	17,000		17,165
3.7% 9/1/15	10,610		10,875
Countrywide Financial Corp. 5.8% 6/7/12	16,258		17,026
U.S. Central Federal Credit Union 1.9% 10/19/12	9,870		10,069
			55,135
TOTAL FINANCIALS			1,391,950
HEALTH CARE - 0.4%
Health Care Providers & Services - 0.1%
Express Scripts, Inc. 5.25% 6/15/12	10,265		10,707
Pharmaceuticals - 0.3%
Sanofi-Aventis 2.625% 3/29/16	8,904		9,052
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
HEALTH CARE - continued
Pharmaceuticals - continued
Teva Pharmaceutical Finance III BV 1.7% 3/21/14	$ 8,730		$ 8,806
Wyeth 5.5% 2/1/14	4,108		4,574
			22,432
TOTAL HEALTH CARE			33,139
INDUSTRIALS - 0.5%
Aerospace & Defense - 0.2%
BAE Systems Holdings, Inc.:
4.95% 6/1/14 (e)	7,300		7,863
6.4% 12/15/11 (e)	8,377		8,640
			16,503
Airlines - 0.0%
Continental Airlines, Inc. 6.795% 2/2/20	167		165
Commercial Services & Supplies - 0.2%
R.R. Donnelley & Sons Co. 5.625% 1/15/12	16,805		17,178
Industrial Conglomerates - 0.1%
Covidien International Finance SA:
1.875% 6/15/13	7,770		7,907
5.45% 10/15/12	3,003		3,192
			11,099
TOTAL INDUSTRIALS			44,945
INFORMATION TECHNOLOGY - 0.6%
Computers & Peripherals - 0.1%
Hewlett-Packard Co. 1.55% 5/30/14	7,041		7,064
IT Services - 0.1%
The Western Union Co. 0.8895% 3/7/13 (j)	8,690		8,736
Office Electronics - 0.4%
Xerox Corp.:
1.0805% 5/16/14 (j)	14,202		14,260
4.25% 2/15/15	8,040		8,605
5.5% 5/15/12	9,707		10,132
6.875% 8/15/11	4,390		4,444
			37,441
TOTAL INFORMATION TECHNOLOGY			53,241
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
MATERIALS - 0.7%
Chemicals - 0.3%
Dow Chemical Co. 4.85% 8/15/12	$ 29,758		$ 31,115
Metals & Mining - 0.4%
Anglo American Capital PLC 2.15% 9/27/13 (e)	16,540		16,782
BHP Billiton Financial (USA) Ltd. 5.125% 3/29/12	3,598		3,739
Corporacion Nacional del Cobre (Codelco) 6.375% 11/30/12 (e)	3,300		3,533
Rio Tinto Finance (USA) Ltd. 8.95% 5/1/14	6,662		8,057
			32,111
TOTAL MATERIALS			63,226
TELECOMMUNICATION SERVICES - 2.4%
Diversified Telecommunication Services - 2.0%
AT&T Broadband Corp. 8.375% 3/15/13	3,140		3,533
AT&T, Inc.:
2.5% 8/15/15	10,110		10,236
2.95% 5/15/16	8,570		8,693
4.95% 1/15/13	10,874		11,567
6.7% 11/15/13	2,385		2,684
Deutsche Telekom International Financial BV 3.125% 4/11/16 (e)	8,640		8,819
France Telecom SA 4.375% 7/8/14	12,631		13,757
Qwest Corp. 3.5595% 6/15/13 (j)	17,655		18,141
SBC Communications, Inc.:
5.1% 9/15/14	7,403		8,193
5.875% 2/1/12	4,923		5,096
Telecom Italia Capital SA 6.175% 6/18/14	16,200		17,723
Telefonica Emisiones SAU 2.582% 4/26/13	19,310		19,588
Verizon Communications, Inc.:
1.95% 3/28/14	17,110		17,445
5.25% 4/15/13	6,850		7,378
Verizon New York, Inc. 6.875% 4/1/12	13,328		14,004
			166,857
Wireless Telecommunication Services - 0.4%
DIRECTV Holdings LLC/DIRECTV Financing, Inc. 4.75% 10/1/14	14,442		15,826
Verizon Wireless Capital LLC 5.25% 2/1/12	5,544		5,714
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
TELECOMMUNICATION SERVICES - continued
Wireless Telecommunication Services - continued
Vodafone Group PLC:
4.15% 6/10/14	$ 3,995		$ 4,301
5.5% 6/15/11	10,561		10,579
			36,420
TOTAL TELECOMMUNICATION SERVICES			203,277
UTILITIES - 1.6%
Electric Utilities - 0.8%
Alabama Power Co. 4.85% 12/15/12	7,496		7,962
Commonwealth Edison Co. 1.625% 1/15/14	9,926		10,003
EDP Finance BV 5.375% 11/2/12 (e)	10,575		10,822
FirstEnergy Corp. 6.45% 11/15/11	11,495		11,764
FirstEnergy Solutions Corp. 4.8% 2/15/15	1,720		1,844
LG&E and KU Energy LLC 2.125% 11/15/15 (e)	5,651		5,507
Mid-American Energy Co. 5.65% 7/15/12	309		325
Niagara Mohawk Power Corp. 3.553% 10/1/14 (e)	14,230		14,881
Progress Energy, Inc. 6.05% 3/15/14	3,658		4,095
Southern Co. 4.15% 5/15/14	1,976		2,122
			69,325
Independent Power Producers & Energy Traders - 0.2%
PSEG Power LLC 2.5% 4/15/13	12,986		13,232
Multi-Utilities - 0.6%
Dominion Resources, Inc.:
1.8% 3/15/14	3,163		3,200
2.25% 9/1/15	5,149		5,141
6.3% 9/30/66 (j)	7,611		7,535
DTE Energy Co.:
0.9716% 6/3/13 (j)	13,253		13,240
7.05% 6/1/11	9,501		9,501
Sempra Energy 2% 3/15/14	17,216		17,369
			55,986
TOTAL UTILITIES			138,543
TOTAL NONCONVERTIBLE BONDS (Cost $2,262,083)		2,315,495
U.S. Government and Government Agency Obligations - 49.7%
	Principal Amount (000s)		Value (000s)
U.S. Government Agency Obligations - 9.0%
Fannie Mae:
0.375% 12/28/12	$ 63,570		$ 63,594
0.75% 2/26/13	112,245		112,859
0.75% 12/18/13	4,390		4,380
1.125% 6/27/14	93,049		93,518
1.25% 8/20/13	37,930		38,448
1.25% 2/27/14	24,834		25,113
2.5% 5/15/14	68,673		71,699
2.75% 3/13/14	53,701		56,489
4.375% 9/15/12	5,723		6,021
4.625% 10/15/13	74,550		81,406
4.75% 11/19/12	5,715		6,081
Federal Home Loan Bank 1.125% 5/18/12	21,500		21,678
Freddie Mac:
0.75% 3/28/13	60,587		60,904
1.125% 7/27/12	29,907		30,177
1.375% 2/25/14	80,336		81,437
1.75% 6/15/12	17,506		17,775
2.5% 4/23/14	5,880		6,143
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS			777,722
U.S. Treasury Obligations - 38.6%
U.S. Treasury Notes:
0.5% 5/31/13	392,437		392,713
0.75% 5/31/12	251,275		252,582
1% 4/30/12	250,341		252,131
1% 5/15/14 (d)	1,461,331		1,471,005
1.375% 2/15/13	297,187		302,237
1.75% 4/15/13 (h)	551,164		564,816
1.75% 7/31/15	6,081		6,191
2.375% 9/30/14	23,131		24,228
2.375% 10/31/14	63,074		66,050
TOTAL U.S. TREASURY OBLIGATIONS			3,331,953
Other Government Related - 2.1%
American Express Bank FSB 3.15% 12/9/11 (FDIC Guaranteed) (f)	6,100		6,195
Bank of America Corp.:
2.1% 4/30/12 (FDIC Guaranteed) (f)	10,006		10,175
3.125% 6/15/12 (FDIC Guaranteed) (f)	3,916		4,030
U.S. Government and Government Agency Obligations - continued
	Principal Amount (000s)		Value (000s)
Other Government Related - continued
Citibank NA 1.875% 6/4/12 (FDIC Guaranteed) (f)	$ 11,830		$ 12,009
Citigroup Funding, Inc.:
1.875% 10/22/12 (FDIC Guaranteed) (f)	22,590		23,075
1.875% 11/15/12 (FDIC Guaranteed) (f)	16,200		16,540
2.25% 12/10/12 (FDIC Guaranteed) (f)	16,520		16,985
Citigroup, Inc. 2.875% 12/9/11 (FDIC Guaranteed) (f)	3,850		3,905
General Electric Capital Corp.:
2% 9/28/12 (FDIC Guaranteed) (f)	19,730		20,174
2.625% 12/28/12 (FDIC Guaranteed) (f)	17,600		18,215
3% 12/9/11 (FDIC Guaranteed) (f)	20,007		20,304
Goldman Sachs Group, Inc.:
2.15% 3/15/12 (FDIC Guaranteed) (f)	2,300		2,336
3.25% 6/15/12 (FDIC Guaranteed) (f)	1,870		1,926
HSBC USA, Inc. 3.125% 12/16/11 (FDIC Guaranteed) (f)	2,310		2,347
JPMorgan Chase & Co. 3.125% 12/1/11 (FDIC Guaranteed) (f)	8,140		8,261
Morgan Stanley 3.25% 12/1/11 (FDIC Guaranteed) (f)	12,180		12,368
TOTAL OTHER GOVERNMENT RELATED			178,845
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $4,249,711)		4,288,520
U.S. Government Agency - Mortgage Securities - 3.6%
Fannie Mae - 2.5%
1.975% 10/1/33 (j)	243		251
2.01% 2/1/33 (j)	227		235
2.035% 3/1/35 (j)	195		202
2.042% 12/1/34 (j)	254		265
2.053% 10/1/33 (j)	124		129
2.065% 7/1/35 (j)	98		103
2.149% 3/1/35 (j)	2,523		2,622
2.175% 3/1/35 (j)	41		44
2.38% 5/1/33 (j)	58		60
2.457% 3/1/35 (j)	123		128
2.481% 10/1/35 (j)	492		509
2.517% 5/1/35 (j)	3,164		3,312
2.534% 7/1/34 (j)	124		128
2.542% 7/1/35 (j)	1,021		1,069
U.S. Government Agency - Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Fannie Mae - continued
2.546% 2/1/35 (j)	$ 3,226		$ 3,387
2.554% 10/1/33 (j)	342		360
2.554% 12/1/34 (j)	1,883		1,979
2.589% 6/1/36 (j)	247		258
2.59% 12/1/33 (j)	1,542		1,617
2.593% 10/1/35 (j)	11,964		12,570
2.603% 7/1/35 (j)	2,613		2,739
2.605% 11/1/36 (j)	466		489
2.62% 11/1/36 (j)	3,470		3,639
2.623% 11/1/34 (j)	1,665		1,733
2.683% 11/1/34 (j)	13,891		14,621
2.743% 8/1/35 (j)	2,221		2,319
2.908% 4/1/35 (j)	5,274		5,533
3.194% 1/1/40 (j)	6,099		6,378
3.243% 10/1/35 (j)	767		811
3.265% 1/1/40 (j)	15,290		16,002
3.277% 2/1/40 (j)	10,515		11,013
3.344% 1/1/40 (j)	9,111		9,566
3.472% 3/1/40 (j)	7,448		7,818
3.54% 12/1/39 (j)	1,751		1,840
3.559% 2/1/40 (j)	3,847		4,046
3.604% 3/1/40 (j)	7,150		7,534
3.658% 3/1/40 (j)	4,363		4,593
3.692% 5/1/40 (j)	4,117		4,340
3.697% 5/1/40 (j)	4,920		5,187
3.744% 1/1/40 (j)	3,872		4,086
3.764% 10/1/39 (j)	9,192		9,702
3.793% 6/1/40 (j)	4,325		4,564
3.972% 11/1/39 (j)	3,744		3,968
4.5% 8/1/18 to 7/1/20	36,745		39,284
5.5% 10/1/17 to 1/1/20	10,591		11,498
6.5% 11/1/11 to 8/1/17	5,006		5,292
7% 10/1/12 to 11/1/18	1,004		1,087
7.5% 6/1/12 to 11/1/31	35		37
TOTAL FANNIE MAE			218,947
Freddie Mac - 1.1%
2.437% 4/1/35 (j)	3,728		3,883
2.499% 1/1/35 (j)	172		180
2.599% 11/1/35 (j)	1,639		1,715
2.723% 6/1/37 (j)	2,201		2,318
U.S. Government Agency - Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Freddie Mac - continued
2.942% 3/1/33 (j)	$ 38		$ 40
3.086% 8/1/34 (j)	853		895
3.196% 8/1/36 (j)	1,308		1,372
3.281% 10/1/35 (j)	358		382
3.522% 12/1/39 (j)	4,656		4,880
3.547% 4/1/40 (j)	4,638		4,871
3.591% 4/1/40 (j)	4,142		4,354
3.617% 2/1/40 (j)	10,171		10,706
3.801% 4/1/40 (j)	4,062		4,268
3.981% 3/1/40 (j)	4,144		4,382
4.5% 8/1/18 to 11/1/18	29,934		32,025
5% 4/1/20	12,848		13,898
8.5% 5/1/27 to 7/1/28	274		318
12% 11/1/19	7		8
TOTAL FREDDIE MAC			90,495
Ginnie Mae - 0.0%
7% 11/15/27 to 8/15/32	2,542		2,920
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $303,320)		312,362
Asset-Backed Securities - 10.2%
Accredited Mortgage Loan Trust:
Series 2003-3 Class A1, 4.46% 1/25/34 (AMBAC Insured)	2,108		1,699
Series 2005-1 Class M1, 0.664% 4/25/35 (j)	1,068		748
ACE Securities Corp. Home Equity Loan Trust:
Series 2004-HE1:
Class M1, 0.944% 3/25/34 (j)	19		19
Class M2, 1.844% 3/25/34 (j)	115		93
Series 2005-HE2 Class M2, 0.644% 4/25/35 (j)	104		100
Series 2006-OP1:
Class M1, 0.474% 4/25/36 (j)	8,000		786
Class M4, 0.564% 4/25/36 (j)	97		0*
Ally Auto Receivables Trust:
Series 2009 B Class A3, 1.98% 10/15/13 (e)	11,180		11,295
Series 2009-A Class A3, 2.33% 6/17/13 (e)	2,780		2,807
Series 2010-1:
Class A3, 1.45% 5/15/14	1,385		1,394
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
Ally Auto Receivables Trust: - continued
Series 2010-1:
Class A4, 2.3% 12/15/14	$ 12,920		$ 13,256
Series 2010-4 Class A3, 0.91% 11/17/14	11,420		11,418
Series 2010-5 Class A3, 1.11% 1/15/15	9,130		9,157
Series 2011-1 Class A3, 1.38% 1/15/15	9,980		10,058
Series 2011-2 Class A3, 1.18% 4/15/15	8,520		8,562
Ally Master Owner Trust:
Series 2010-3 Class A, 2.88% 4/15/15 (e)	2,980		3,070
Series 2011-1 Class A2, 2.15% 1/15/16	26,800		27,270
Series 2011-3 Class A2, 1.87% 5/15/16	6,240		6,255
AmeriCredit Automobile Receivables Trust:
Series 2007-AX Class A4, 0.249% 10/6/13 (XL Capital Assurance, Inc. Insured) (j)	10,685		10,612
Series 2007-CM Class A4B, 0.289% 4/7/14 (National Public Finance Guarantee Corp. Insured) (j)	14,626		14,507
Series 2010-3 Class A2, 0.77% 12/9/13	7,155		7,159
Series 2010-4 Class A3, 1.27% 4/8/15	10,300		10,311
Series 2010-B Class A2, 1.18% 2/6/14 (Assured Guaranty Corp. Insured)	4,803		4,801
Series 2011-1 Class A3, 1.39% 9/8/15	6,060		6,088
Series 2011-2 Class A3, 1.61% 10/8/15	12,680		12,781
Ameriquest Mortgage Securities, Inc. pass-thru certificates:
Series 2004-R2 Class M3, 0.744% 4/25/34 (j)	90		26
Series 2005-R2 Class M1, 0.644% 4/25/35 (j)	1,390		1,200
Argent Securities, Inc. pass-thru certificates:
Series 2003-W7 Class A2, 0.9926% 3/25/34 (j)	378		289
Series 2004-W7 Class M1, 0.744% 5/25/34 (j)	227		173
Series 2006-W4 Class A2C, 0.354% 5/25/36 (j)	928		284
Asset Backed Securities Corp. Home Equity Loan Trust Series 2006-HE2 Class M1, 0.564% 3/25/36 (j)	51		1
Axon Financial Funding Ltd. 0.873% 4/4/17 (b)(e)(j)	2,749		0*
Bank of America Auto Trust:
Series 2009-1A:
Class A3, 2.67% 7/15/13 (e)	5,416		5,457
Class A4, 3.52% 6/15/16 (e)	5,400		5,571
Series 2009-2A Class A3, 2.13% 9/15/13 (e)	2,743		2,761
Series 2009-3A Class A3, 1.67% 12/15/13 (e)	8,331		8,381
Series 2010-2 Class A3, 1.31% 7/15/14	13,020		13,114
BMW Vehicle Lease Trust:
Series 2009-1 Class A3, 2.91% 3/15/12	1,251		1,254
Series 2010-1 Class A3, 0.82% 4/15/13	10,450		10,468
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
BMW Vehicle Lease Trust: - continued
Series 2011-1 Class A3, 1.06% 2/20/14	$ 12,450		$ 12,500
Brazos Higher Education Authority, Inc. Series 2006-2 Class A9, 0.318% 12/25/24 (j)	1,083		981
C-BASS Trust Series 2006-CB7 Class A2, 0.254% 10/25/36 (j)	26		26
Capital Auto Receivables Asset Trust:
Series 2006-2 Class C, 5.31% 6/15/12	250		252
Series 2007-1:
Class B, 5.15% 9/17/12	5,755		5,871
Class C, 5.38% 11/15/12	139		143
Capital Auto Receivables Trust Series 2007-2 Class A4A, 5.39% 2/18/14	2,049		2,072
Capital One Auto Finance Trust Series 2007-C Class A4, 5.23% 7/15/14 (FGIC Insured)	11,280		11,545
Capital One Multi-Asset Execution Trust:
Series 2008-A3 Class A3, 5.05% 2/15/16	4,100		4,422
Series 2009-A2 Class A2, 3.2% 4/15/14	22,200		22,225
Capital Trust Ltd. Series 2004-1:
Class A2, 0.6458% 7/20/39 (e)(j)	292		234
Class B, 0.9458% 7/20/39 (e)(j)	178		73
Class C, 1.2958% 7/20/39 (e)(j)	229		11
Carrington Mortgage Loan Trust:
Series 2006-FRE1 Class M1, 0.494% 7/25/36 (j)	768		32
Series 2006-NC4 Class M1, 0.494% 10/25/36 (j)	53		4
Series 2007-RFC1 Class A3, 0.334% 12/25/36 (j)	1,214		425
Chase Issuance Trust:
Series 2007-A17 Class A, 5.12% 10/15/14	17,788		18,888
Series 2008-A4 Class A4, 4.65% 3/15/15	7,180		7,679
Series 2009-A3 Class A3, 2.4% 6/17/13	19,250		19,265
Series 2011-A1 Class A1, 0.388% 3/16/15 (j)	20,170		20,163
Chrysler Financial Auto Securitization Trust Series 2010-A Class A3, 0.91% 8/8/13	8,260		8,274
Citibank Credit Card Issuance Trust:
Series 2008-A5 Class A5, 4.85% 4/22/15	28,416		30,558
Series 2009-A3 Class A3, 2.7% 6/24/13	4,020		4,026
Series 2009-A5 Class A5, 2.25% 12/23/14	35,560		36,431
CitiFinancial Auto Issuance Trust Series 2009-1 Class A2, 1.83% 11/15/12 (e)	1,556		1,558
Citigroup Mortgage Loan Trust Series 2007-AMC4 Class M1, 0.464% 5/25/37 (j)	515		29
Countrywide Asset-Backed Certificates Trust:
Series 2007-11 Class 2A1, 0.254% 6/25/47 (j)	13		12
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
Countrywide Asset-Backed Certificates Trust: - continued
Series 2007-4 Class A1A, 0.3326% 9/25/37 (j)	$ 105		$ 101
Countrywide Home Loan Trust Series 2006-13 Class N, 7% 8/25/37 (e)	222		0
Countrywide Home Loans, Inc.:
Series 2004-2 Class 3A4, 0.444% 7/25/34 (j)	333		262
Series 2004-3 Class M4, 1.164% 4/25/34 (j)	107		52
Series 2004-4 Class M2, 0.989% 6/25/34 (j)	396		222
Series 2005-3 Class MV1, 0.614% 8/25/35 (j)	479		460
Series 2005-AB1 Class A2, 0.404% 8/25/35 (j)	49		48
Discover Card Master Trust Series 2011-A2 Class A2, 0.4924% 11/16/15 (j)	15,310		15,310
Fannie Mae subordinate REMIC pass-thru certificates Series 2004-T5:
Class AB1, 0.7745% 5/28/35 (j)	634		490
Class AB3, 0.7199% 5/28/35 (j)	273		194
Fieldstone Mortgage Investment Corp.:
Series 2004-3 Class M5, 2.369% 8/25/34 (j)	196		113
Series 2006-2 Class M1, 0.504% 7/25/36 (j)	6,145		197
Series 2006-3 Class 2A3, 0.354% 11/25/36 (j)	3,407		1,374
Ford Credit Auto Lease Trust:
Series 2010-A Class A2, 1.04% 3/15/13 (e)	2,056		2,057
Series 2010-B Class A3, 0.91% 7/15/13 (e)	11,120		11,131
Ford Credit Auto Owner Trust:
Series 2006-C:
Class B, 5.3% 6/15/12	1,224		1,231
Class C, 5.47% 9/15/12	6,400		6,477
Series 2007-A:
Class B, 5.6% 10/15/12	2,575		2,638
Class C, 5.8% 2/15/13	4,100		4,209
Series 2009-B Class A3, 2.79% 8/15/13	4,215		4,259
Series 2009-C Class A4, 4.43% 11/15/14	6,210		6,580
Series 2009-D Class A3, 2.17% 10/15/13	2,664		2,689
Series 2009-E Class A3, 1.51% 1/15/14	9,822		9,884
Series 2010-B Class A3, 0.98% 10/15/14	7,150		7,182
Ford Credit Floorplan Master Owner Trust:
Series 2006-4:
Class A, 0.448% 6/15/13 (j)	21,100		21,095
Class B, 0.748% 6/15/13 (j)	520		520
Series 2010-1 Class A, 1.848% 12/15/14 (e)(j)	5,880		5,996
Series 2010-5 Class A1, 1.5% 9/15/15	7,430		7,467
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
Franklin Auto Trust:
Series 2006-1 Class B, 5.14% 7/21/14	$ 9		$ 9
Series 2007-1:
Class A4, 5.03% 2/16/15	2,281		2,283
Class C, 5.43% 2/16/15	9,937		9,951
Fremont Home Loan Trust:
Series 2004-D:
Class M4, 1.619% 11/25/34 (j)	410		87
Class M5, 1.694% 11/25/34 (j)	262		34
Series 2005-A:
Class M3, 0.684% 1/25/35 (j)	639		313
Class M4, 0.874% 1/25/35 (j)	245		77
Series 2006-A Class M1, 0.494% 5/25/36 (j)	7,882		419
Series 2006-D Class M1, 0.424% 11/25/36 (j)	56		2
GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 0.6368% 2/25/47 (e)(j)	1,714		1,011
GCO Slims Trust Series 2006-1A, 5.72% 3/1/22 (e)	2,472		1,968
GE Business Loan Trust:
Series 2003-1 Class A, 0.628% 4/15/31 (e)(j)	162		152
Series 2006-2A:
Class A, 0.378% 11/15/34 (e)(j)	241		200
Class B, 0.478% 11/15/34 (e)(j)	87		56
Class C, 0.578% 11/15/34 (e)(j)	145		72
Class D, 0.948% 11/15/34 (e)(j)	55		14
GE Capital Credit Card Master Note Trust Series 2009-3 Class A, 2.54% 9/15/14	15,000		15,086
Goal Capital Funding Trust Series 2007-1 Class C1, 0.708% 6/25/42 (j)	177		172
GS Auto Loan Trust Series 2007-1 Class B, 5.53% 12/15/14	6		7
GSAMP Trust:
Series 2004-AR1 Class M1, 0.844% 6/25/34 (j)	1,604		1,082
Series 2007-HE1 Class M1, 0.444% 3/25/47 (j)	658		39
Guggenheim Structured Real Estate Funding Ltd. Series 2006-3:
Class B, 0.594% 9/25/46 (e)(j)	3,791		1,971
Class C, 0.744% 9/25/46 (e)(j)	9,428		1,886
Home Equity Asset Trust:
Series 2003-2 Class M1, 1.514% 8/25/33 (j)	101		72
Series 2003-3 Class M1, 1.484% 8/25/33 (j)	502		411
Series 2003-5 Class A2, 0.894% 12/25/33 (j)	205		143
Series 2004-1 Class M2, 1.894% 6/25/34 (j)	418		264
Series 2005-5 Class 2A2, 0.444% 11/25/35 (j)	45		44
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
Home Equity Asset Trust: - continued
Series 2006-1 Class 2A3, 0.419% 4/25/36 (j)	$ 628		$ 614
Series 2006-8 Class 2A1, 0.244% 3/25/37 (j)	23		23
Honda Auto Receivables Owner Trust:
Series 2008-1 Class A4, 4.88% 9/18/14	3,751		3,792
Series 2009-3 Class A3, 2.31% 5/15/13	2,652		2,675
Series 2010-1 Class A4, 1.98% 5/23/16	2,870		2,928
Series 2010-2 Class A3, 1.34% 3/18/14	8,620		8,684
Series 2010-3 Class A3, 0.7% 4/21/14	16,600		16,614
Series 2011-1 Class A4, 1.8% 4/17/17	4,540		4,604
Series 2011-2 Class A3, 0.94% 3/18/15	10,370		10,388
HSBC Home Equity Loan Trust Series 2006-2 Class M2, 0.4858% 3/20/36 (j)	469		398
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.384% 1/25/37 (j)	902		417
Hyundai Auto Receivables Trust:
Series 2009-A:
Class A3, 2.03% 8/15/13	3,062		3,086
Class A4, 3.15% 3/15/16	1,490		1,549
Series 2011-A Class A3, 1.16% 4/15/15	5,730		5,759
John Deere Owner Trust:
Seires 2011-A Class A3, 1.29% 1/15/16	12,090		12,176
Series 2009-B Class A-3, 1.57% 10/15/13	6,268		6,299
JPMorgan Auto Receivables Trust Series 2006-A Class C, 5.61% 12/15/14 (e)	789		789
JPMorgan Mortgage Acquisition Trust:
Series 2006-NC2 Class M2, 0.494% 7/25/36 (j)	49		2
Series 2007-CH1:
Class AV4, 0.324% 11/25/36 (j)	903		769
Class MV1, 0.424% 11/25/36 (j)	734		480
Series 2007-CH3 Class M1, 0.494% 3/25/37 (j)	137		7
Keycorp Student Loan Trust:
Series 1999-A Class A2, 0.6385% 12/27/29 (j)	477		410
Series 2006-A Class 2C, 1.4585% 3/27/42 (j)	516		104
Long Beach Auto Receivables Trust Series 2007-A Class A4, 5.025% 1/15/14 (FSA Insured)	170		171
Long Beach Mortgage Loan Trust:
Series 2004-2 Class M2, 1.274% 6/25/34 (j)	62		44
Series 2006-6 Class 2A3, 0.344% 7/25/36 (j)	10,254		4,236
Marriott Vacation Club Owner Trust:
Series 2005-2 Class A, 5.25% 10/20/27 (e)	997		1,023
Series 2006-1A:
Class B, 5.827% 4/20/28 (e)	389		402
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
Marriott Vacation Club Owner Trust: - continued
Series 2006-1A:
Class C, 6.125% 4/20/28 (e)	$ 389		$ 400
MASTR Asset Backed Securities Trust:
Series 2006-AM3 Class M1, 0.454% 10/25/36 (j)	326		19
Series 2007-HE1 Class M1, 0.494% 5/25/37 (j)	528		28
Mercedes-Benz Auto Lease Trust Series 2011-1A Class A3 1.18% 11/15/13 (e)	17,060		17,153
Mercedes-Benz Auto Receivables Trust Series 2009-1 Class A3, 1.67% 1/15/14	4,546		4,584
Meritage Mortgage Loan Trust Series 2004-1 Class M1, 0.944% 7/25/34 (j)	43		28
Merrill Auto Trust Securitization Series 2007-1 Class B, 5.79% 12/15/13	7		7
Merrill Lynch Mortgage Investors Trust:
Series 2003-OPT1 Class M1, 1.169% 7/25/34 (j)	126		87
Series 2006-FM1 Class A2B, 0.304% 4/25/37 (j)	1,159		998
Series 2006-MLN1 Class A2A, 0.264% 7/25/37 (j)	2		2
Series 2006-OPT1 Class A1A, 0.454% 6/25/35 (j)	1,421		1,137
Morgan Stanley ABS Capital I Trust:
Series 2004-HE6 Class A2, 0.534% 8/25/34 (j)	367		294
Series 2005-NC1 Class M1, 0.634% 1/25/35 (j)	269		183
Series 2005-NC2 Class B1, 1.364% 3/25/35 (j)	280		39
Series 2006-NC4 Class A2D, 0.434% 6/25/36 (j)	7,135		2,599
Series 2007-HE2 Class M1, 0.444% 1/25/37 (j)	63		2
National Collegiate Student Loan Trust:
Series 2004-2 Class AIO, 9.75% 10/27/14 (l)	4,449		512
Series 2006-2 Class AIO, 6% 8/25/11 (l)	3,259		31
Series 2006-3 Class AIO, 7.1% 1/25/12 (l)	24,605		800
Series 2006-4:
Class A1, 0.224% 3/25/25 (j)	46		46
Class AIO, 6.35% 2/27/12 (l)	4,953		191
Class D, 1.294% 5/25/32 (j)	398		3
Series 2007-1 Class AIO, 7.27% 4/25/12 (l)	380		22
Series 2007-2 Class AIO, 6.7% 7/25/12 (l)	323		22
New Century Home Equity Loan Trust Series 2005-D Class M2, 0.664% 2/25/36 (j)	327		96
Nissan Auto Lease Trust:
Series 2009-A Class A3, 2.92% 12/15/11	431		432
Series 2009-B Class A3, 2.07% 1/15/15	4,482		4,493
Series 2010-A Class A2, 1.1% 3/15/13	2,307		2,308
Series 2010-B:
Class A3, 1.12% 12/15/13	8,820		8,866
Class A4, 1.27% 10/15/16	3,970		3,987
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
Nissan Auto Receivables Owner Trust Series 2011-A Class A3, 1.18% 2/16/15	$ 6,560		$ 6,599
Northstar Education Finance, Inc., Delaware Series 2005-1 Class A5, 1.0228% 10/30/45 (j)	4,409		4,057
Ocala Funding LLC:
Series 2005-1A Class A, 1.6958% 3/20/10 (b)(e)(j)	381		0
Series 2006-1A Class A, 1.5958% 3/20/11 (b)(e)(j)	792		0
Option One Mortgage Loan Trust:
Series 2007-5 Class 2A1, 0.284% 5/25/37 (j)	3		3
Series 2007-6 Class 2A1, 0.254% 7/25/37 (j)	7		7
Park Place Securities, Inc.:
Series 2004-WCW1:
Class M3, 1.444% 9/25/34 (j)	3,309		2,025
Class M4, 1.644% 9/25/34 (j)	460		145
Series 2005-WCH1:
Class M2, 0.714% 1/25/36 (j)	944		885
Class M4, 1.024% 1/25/36 (j)	994		524
Series 2005-WHQ2 Class M7, 1.444% 5/25/35 (j)	1,178		16
Residential Asset Mortgage Products, Inc. Series 2003-RZ2 Class A1, 3.6% 4/25/33 (AMBAC Insured)	808		760
Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 0.994% 4/25/33 (j)	3		3
Santander Drive Auto Receivables Trust:
Series 2007-2 Class A3, 0.998% 8/15/14 (National Public Finance Guarantee Corp. Insured) (j)	11,300		11,301
Series 2010-2 Class A2, 0.95% 8/15/13	14,023		14,037
Series 2010-3 Class A2, 0.93% 6/17/13	6,170		6,177
Series 2011-1, Class A2, 0.94% 2/18/14	9,690		9,690
Saxon Asset Securities Trust Series 2004-1 Class M1, 0.989% 3/25/35 (j)	997		795
Securitized Asset Backed Receivables LLC Trust:
Series 2005-FR4 Class B3, 1.914% 1/25/36 (j)	12		0*
Series 2006-FR4 Class A2A, 0.274% 8/25/36 (j)	11		4
Series 2007-NC1 Class A2A, 0.244% 12/25/36 (j)	3		3
Sierra Receivables Funding Co. Series 2007-1A Class A2, 0.363% 3/20/19 (FGIC Insured) (e)(j)	408		389
SLM Private Credit Student Loan Trust:
Series 2004 B Class A2, 0.5095% 6/15/21 (j)	7,827		7,640
Series 2004-A:
Class B, 0.8895% 6/15/33 (j)	2,087		1,177
Class C, 1.2595% 6/15/33 (j)	5,771		946
Series 2004-B Class C, 1.1795% 9/15/33 (j)	8,600		4,386
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
Specialty Underwriting & Residential Finance Trust Series 2006-AB2 Class N1, 5.75% 6/25/37 (e)	$ 157		$ 0
Structured Asset Investment Loan Trust Series 2004-8 Class M5, 1.344% 9/25/34 (j)	47		21
SVO VOI Mortgage Corp. Series 2006-AA Class A, 5.28% 2/20/24 (e)	184		188
Terwin Mortgage Trust Series 2003-4HE Class A1, 1.054% 9/25/34 (j)	386		302
Toyota Auto Receivables Owner Trust Series 2010-B Class M3, 1.04% 2/18/14	4,710		4,734
Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 0.8568% 4/6/42 (e)(j)	265		8
USAA Auto Owner Trust Series 2009-2 Class A3, 1.54% 2/18/14	6,495		6,532
Volkswagen Auto Lease Trust:
Series 2009-A Class A3, 3.41% 4/16/12	3,750		3,765
Series 2010-A:
Class A3, 0.99% 11/20/13	16,770		16,810
Class A4, 1.18% 10/20/15	970		973
Volkswagen Auto Loan Enhanced Trust Series 2011-1 Class A3, 1.22% 6/22/15	14,090		14,174
Wachovia Auto Loan Owner Trust Series 2007-1:
Class C, 5.45% 10/22/12	1,900		1,905
Class D, 5.65% 2/20/13	14,940		14,976
Wachovia Auto Owner Trust Series 2008-A Class A4B, 1.3458% 3/20/14 (j)	7,440		7,488
WaMu Asset Holdings Corp. Series 2006-8 Class N1, 6.048% 10/25/46 (e)	598		0
WaMu Master Note Trust Series 2006-C2A Class C2, 0.698% 8/15/15 (e)(j)	7,433		7,425
Wells Fargo Home Equity Trust Series 2004-3 Class A, 4.5% 11/27/34 (e)	5		0*
Whinstone Capital Management Ltd. Series 1A Class B3, 2.0738% 10/25/44 (e)(j)	5,586		3,296
World Omni Automobile Lease Securitization Trust Series 2011-A, Class A3, 1.49% 10/15/14	7,210		7,241
TOTAL ASSET-BACKED SECURITIES (Cost $926,357)		880,206
Collateralized Mortgage Obligations - 4.1%
	Principal Amount (000s)		Value (000s)
Private Sponsor - 1.6%
Arran Residential Mortgages Funding PLC floater Series 2011-1A Clasee A1C, 1.5372% 11/19/47 (e)(j)	$ 15,680		$ 15,694
Banc of America Funding Corp. sequential payer Series 2010-R4 Class 2A1, 4.5% 3/26/37 (e)	3,639		3,710
Banc of America Funding Trust sequential payer Series 2009-R1 Class A1, 5.0608% 5/20/36 (j)	2,988		3,030
Banc of America Large Loan, Inc. Series 2005-MIB1 Class A2, 0.408% 3/15/22 (e)(j)	126		126
Banc of America Mortgage Securities, Inc.:
Series 2003-L Class 2A1, 2.9037% 1/25/34 (j)	294		276
Series 2004-1 Class 2A2, 3.2308% 10/25/34 (j)	209		189
Series 2004-A Class 2A2, 2.8609% 2/25/34 (j)	60		53
Series 2004-B:
Class 1A1, 2.7465% 3/25/34 (j)	58		53
Class 2A2, 2.8678% 3/25/34 (j)	188		179
Series 2004-D Class 2A2, 2.8778% 5/25/34 (j)	422		387
Series 2004-G Class 2A7, 3.021% 8/25/34 (j)	396		356
Series 2004-H Class 2A1, 3.1658% 9/25/34 (j)	346		310
Bear Stearns Commercial Mortgage Securities Trust Series 2006-T24 Class X2, 0.6062% 10/12/41 (e)(j)(l)	882		9
Countrywide Alternative Loan Trust Series 2006-OC5N Class N, 7.25% 7/25/37 (e)	2,020		0
Credit Suisse First Boston Mortgage Securities Corp. floater Series 2007-AR7 Class 2A1, 2.8944% 11/25/34 (j)	28		27
Credit Suisse Mortgage Capital Certificates sequential payer Series 2010-16 Class A1, 3% 6/25/50 (e)	5,594		5,622
Fosse Master Issuer PLC floater:
Series 2006-1A:
Class B2, 0.4355% 10/18/54 (e)(j)	698		697
Class C2, 0.7455% 10/18/54 (e)(j)	234		233
Class M2, 0.5255% 10/18/54 (e)(j)	402		401
Series 2007-1A Class A2, 0.3555% 10/18/54 (e)(j)	771		770
Gracechurch Mortgage Financing PLC floater:
Series 2006-1 Class D2, 0.73% 11/20/56 (e)(j)	1,751		1,728
Series 2007-1A Class 3A1, 0.34% 11/20/56 (e)(j)	6,697		6,629
Granite Master Issuer PLC floater:
Series 2005-4 Class C2, 1.2958% 12/20/54 (j)	49		32
Series 2006-1A Class C2, 1.3958% 12/20/54 (e)(j)	4,170		2,711
Series 2006-2:
Class C1, 0.6658% 12/20/54 (j)	15,090		9,809
Collateralized Mortgage Obligations - continued
	Principal Amount (000s)		Value (000s)
Private Sponsor - continued
Granite Master Issuer PLC floater: - continued
Series 2006-2:
Class M2, 0.4258% 12/20/54 (j)	$ 3,000		$ 2,295
Series 2006-3 Class C2, 0.6958% 12/20/54 (j)	6,611		4,297
Series 2006-4:
Class B1, 0.2858% 12/20/54 (j)	13,366		11,495
Class C1, 0.5758% 12/20/54 (j)	8,172		5,312
Class M1, 0.3658% 12/20/54 (j)	3,521		2,694
Series 2007-1:
Class 1C1, 0.7958% 12/20/54 (j)	1,340		871
Class 1M1, 0.4958% 12/20/54 (j)	881		674
Class 2C1, 1.1558% 12/20/54 (j)	610		397
Class 2M1, 0.6958% 12/20/54 (j)	1,132		866
Series 2007-2 Class 2C1, 0.6271% 12/17/54 (j)	1,568		1,019
Granite Mortgages Series 2003-2 Class 1A3, 0.774% 7/20/43 (j)	5,645		5,490
Granite Mortgages PLC floater:
Series 2003-3 Class 1C, 2.724% 1/20/44 (j)	2,644		2,036
Series 2004-1 Class 2A1, 0.629% 3/20/44 (j)	4,765		4,615
Harborview Mortgage Loan Trust floater Series 2005-2 Class 2A1A, 0.417% 5/19/35 (j)	242		161
MASTR Adjustable Rate Mortgages Trust Series 2007-3 Class 22A2, 0.404% 5/25/47 (j)	634		448
MASTR Asset Backed Securities Trust Series 2006-NC3 Class M1, 0.424% 10/25/36 (j)	25		0*
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.364% 2/25/37 (j)	1,031		717
Merrill Lynch Floating Trust floater Series 2006-1:
Class B, 0.368% 6/15/22 (e)(j)	151		147
Class C, 0.388% 6/15/22 (e)(j)	926		870
Class D, 0.398% 6/15/22 (e)(j)	356		333
Class E, 0.408% 6/15/22 (e)(j)	570		527
Class F, 0.438% 6/15/22 (e)(j)	984		900
Class G, 0.508% 6/15/22 (e)(j)	214		191
Class H, 0.528% 6/15/22 (e)(j)	428		376
Class J, 0.568% 6/15/22 (e)(j)	499		433
Option One Mortgage Loan Trust floater Series 2007-CP1 Class M1, 0.494% 3/25/37 (j)	1,778		119
Permanent Master Issuer PLC floater Series 2007-1 Class 4A, 0.358% 10/15/33 (j)	19,130		19,023
RESI Finance LP/RESI Finance DE Corp. floater Series 2003-B:
Class B5, 2.5539% 7/10/35 (e)(j)	716		585
Collateralized Mortgage Obligations - continued
	Principal Amount (000s)		Value (000s)
Private Sponsor - continued
RESI Finance LP/RESI Finance DE Corp. floater Series 2003-B: - continued
Class B6, 3.0539% 7/10/35 (e)(j)	$ 84		$ 65
Residential Asset Mortgage Products, Inc. sequential payer:
Series 2003-SL1 Class A31, 7.125% 4/25/31	195		208
Series 2004-SL3 Class A1, 7% 8/25/16	13		13
Residential Funding Securities Corp. floater Series 2003-RP2 Class A1, 0.644% 6/25/33 (e)(j)	192		177
Sasco Net Interest Margin Trust Series 2006-BC1A Class A, 6.25% 3/27/36 (e)	1,466		0
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 0.8997% 7/20/34 (j)	26		19
Structured Asset Securities Corp. Series 2004-21XS Class 2A3, 4.32% 12/25/34	5,690		5,637
TBW Mortgage-Backed pass-thru certificates floater Series 2006-4 Class A3, 0.4126% 9/25/36 (j)	2,204		1,568
Thornburg Mortgage Securities Trust floater:
Series 2006-4 Class A2B, 0.3326% 7/25/36 (j)	8,209		8,182
Series 2006-5 Class A1, 0.314% 10/25/46 (j)	3,877		3,854
Wells Fargo Mortgage Backed Securities Trust:
Series 2005-AR2 Class 2A2, 2.7435% 3/25/35 (j)	652		603
Series 2005-AR3 Class 2A1, 2.8729% 3/25/35 (j)	762		698
TOTAL PRIVATE SPONSOR			140,946
U.S. Government Agency - 2.5%
Fannie Mae:
planned amortization class:
Series 1993-187 Class L, 6.5% 7/25/23	930		955
Series 2006-53 Class WB, 6% 12/25/31	7,250		7,407
Series 2006-64 Class PA, 5.5% 2/25/30	2,930		2,961
Series 2010-123 Class DL, 3.5% 11/25/25	6,687		6,991
Fannie Mae subordinate REMIC pass-thru certificates:
floater:
Series 2008-76 Class EF, 0.694% 9/25/23 (j)	2,482		2,484
Series 2010-86 Class FE, 0.644% 8/25/25 (j)	11,192		11,213
planned amortization class Series 2006-54 Class PE, 6% 2/25/33	3,777		4,076
sequential payer:
Series 2001-40 Class Z, 6% 8/25/31	1,998		2,226
Series 2002-56 Class MC, 5.5% 9/25/17	1,153		1,251
Collateralized Mortgage Obligations - continued
	Principal Amount (000s)		Value (000s)
U.S. Government Agency - continued
Fannie Mae subordinate REMIC pass-thru certificates: - continued
sequential payer:
Series 2003-129 Class GF, 0.594% 4/25/30 (j)	$ 1,029		$ 1,031
Series 2003-76 Class BA, 4.5% 3/25/18	4,781		5,051
Series 2011-16 Class FB, 0.344% 3/25/31 (j)	25,440		25,391
Series 2010-143 Class B, 3.5% 12/25/25	10,404		10,899
Freddie Mac sequential payer Series 2508 Class UL, 5% 12/15/16	121		121
Freddie Mac Multi-class participation certificates guaranteed:
floater Series 3346 Class FA, 0.428% 2/15/19 (j)	22,605		22,628
planned amortization class:
Series 2382 Class MB, 6% 11/15/16	2,314		2,515
Series 2394 Class KD, 6% 12/15/16	1,279		1,388
Series 2417 Class EH, 6% 2/15/17	720		784
Series 2535 Class PC, 6% 9/15/32	2,206		2,390
Series 2770 Class UD, 4.5% 5/15/17	7,365		7,560
Series 2866 Class XE, 4% 12/15/18	9,246		9,676
Series 2901 Class UM, 4.5% 1/15/30	6,353		6,510
sequential payer:
Series 2609 Class UJ, 6% 2/15/17	941		969
Series 2635 Class DG, 4.5% 1/15/18	5,089		5,341
Series 2915 Class DC, 4.5% 3/15/19	4,835		5,017
Series 2970 Class YA, 5% 9/15/18	939		958
Series 3427 Class FX, 0.348% 8/15/18 (j)	4,445		4,442
Series 3555:
Class CM, 4% 12/15/14	22,707		23,435
Class KH, 4% 12/15/14	24,557		25,496
Series 3560 Class LA, 2% 8/15/14	5,792		5,868
Series 3573 Class LC, 1.85% 8/15/14	9,446		9,577
TOTAL U.S. GOVERNMENT AGENCY			216,611
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $354,568)		357,557
Commercial Mortgage Securities - 3.5%
	Principal Amount (000s)		Value (000s)
Asset Securitization Corp. Series 1997-D5 Class PS1, 1.4533% 2/14/43 (j)(l)	$ 15,410		$ 316
Banc of America Commercial Mortgage, Inc.:
sequential payer Series 2007-1 Class A2, 5.381% 1/15/49	2,275		2,300
Series 2004-6 Class XP, 0.6677% 12/10/42 (j)(l)	31,380		53
Series 2005-4 Class XP, 0.3506% 7/10/45 (j)(l)	41,490		121
Banc of America Large Loan, Inc. floater:
Series 2005-MIB1:
Class F, 0.668% 3/15/22 (e)(j)	415		404
Class G, 0.728% 3/15/22 (e)(j)	269		254
Series 2006-BIX1:
Class F, 0.508% 10/15/19 (e)(j)	1,104		1,035
Class G, 0.528% 10/15/19 (e)(j)	767		675
Bayview Commercial Asset Trust:
floater:
Series 2003-2 Class M1, 1.044% 12/25/33 (e)(j)	50		37
Series 2004-1:
Class A, 0.554% 4/25/34 (e)(j)	2,282		1,997
Class B, 2.094% 4/25/34 (e)(j)	243		130
Class M1, 0.754% 4/25/34 (e)(j)	207		157
Class M2, 1.394% 4/25/34 (e)(j)	181		122
Series 2004-2:
Class A, 0.624% 8/25/34 (e)(j)	1,759		1,529
Class M1, 0.774% 8/25/34 (e)(j)	587		422
Series 2004-3:
Class A1, 0.564% 1/25/35 (e)(j)	3,202		2,840
Class A2, 0.614% 1/25/35 (e)(j)	455		400
Class M1, 0.694% 1/25/35 (e)(j)	225		159
Class M2, 1.194% 1/25/35 (e)(j)	128		86
Series 2005-2A:
Class A1, 0.504% 8/25/35 (e)(j)	858		708
Class M1, 0.624% 8/25/35 (e)(j)	59		39
Class M2, 0.674% 8/25/35 (e)(j)	98		58
Class M3, 0.694% 8/25/35 (e)(j)	54		31
Class M4, 0.804% 8/25/35 (e)(j)	50		27
Series 2005-3A:
Class A1, 0.514% 11/25/35 (e)(j)	444		369
Class A2, 0.594% 11/25/35 (e)(j)	309		258
Class M1, 0.634% 11/25/35 (e)(j)	52		34
Class M2, 0.684% 11/25/35 (e)(j)	67		40
Class M3, 0.704% 11/25/35 (e)(j)	60		34
Class M4, 0.794% 11/25/35 (e)(j)	74		37
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Bayview Commercial Asset Trust: - continued
floater:
Series 2005-4A:
Class A2, 0.584% 1/25/36 (e)(j)	$ 4,284		$ 3,618
Class B1, 1.594% 1/25/36 (e)(j)	336		118
Class M1, 0.644% 1/25/36 (e)(j)	1,368		886
Class M2, 0.664% 1/25/36 (e)(j)	445		271
Class M3, 0.694% 1/25/36 (e)(j)	589		331
Class M4, 0.804% 1/25/36 (e)(j)	327		168
Class M5, 0.844% 1/25/36 (e)(j)	327		156
Class M6, 0.894% 1/25/36 (e)(j)	332		139
Series 2006-1:
Class A2, 0.554% 4/25/36 (e)(j)	1,409		1,167
Class M1, 0.574% 4/25/36 (e)(j)	438		309
Class M2, 0.594% 4/25/36 (e)(j)	463		304
Class M3, 0.614% 4/25/36 (e)(j)	398		249
Class M4, 0.714% 4/25/36 (e)(j)	226		135
Class M5, 0.754% 4/25/36 (e)(j)	218		119
Class M6, 0.834% 4/25/36 (e)(j)	475		227
Series 2006-2A:
Class A1, 0.424% 7/25/36 (e)(j)	1,572		1,251
Class A2, 0.474% 7/25/36 (e)(j)	1,164		915
Class B1, 1.064% 7/25/36 (e)(j)	421		154
Class B3, 2.894% 7/25/36 (e)(j)	695		212
Class M1, 0.504% 7/25/36 (e)(j)	1,222		800
Class M2, 0.524% 7/25/36 (e)(j)	860		526
Class M3, 0.544% 7/25/36 (e)(j)	681		409
Class M4, 0.614% 7/25/36 (e)(j)	456		264
Class M5, 0.664% 7/25/36 (e)(j)	562		315
Class M6, 0.734% 7/25/36 (e)(j)	884		373
Series 2006-3A:
Class B1, 0.994% 10/25/36 (e)(j)	97		13
Class B2, 1.544% 10/25/36 (e)(j)	70		7
Class B3, 2.794% 10/25/36 (e)(j)	114		6
Class M4, 0.624% 10/25/36 (e)(j)	107		36
Class M5, 0.674% 10/25/36 (e)(j)	128		38
Class M6, 0.754% 10/25/36 (e)(j)	251		55
Series 2006-4A:
Class A1, 0.424% 12/25/36 (e)(j)	493		399
Class A2, 0.464% 12/25/36 (e)(j)	2,233		1,652
Class B1, 0.894% 12/25/36 (e)(j)	77		12
Class B2, 1.444% 12/25/36 (e)(j)	80		10
Class B3, 2.644% 12/25/36 (e)(j)	134		12
Class M1, 0.484% 12/25/36 (e)(j)	160		72
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Bayview Commercial Asset Trust: - continued
floater:
Series 2006-4A:
Class M2, 0.504% 12/25/36 (e)(j)	$ 107		$ 44
Class M3, 0.534% 12/25/36 (e)(j)	109		38
Class M4, 0.594% 12/25/36 (e)(j)	130		39
Class M5, 0.634% 12/25/36 (e)(j)	120		29
Class M6, 0.714% 12/25/36 (e)(j)	107		22
Series 2007-1:
Class A2, 0.464% 3/25/37 (e)(j)	2,309		1,535
Class B1, 0.864% 3/25/37 (e)(j)	741		111
Class B2, 1.344% 3/25/37 (e)(j)	534		61
Class B3, 3.544% 3/25/37 (e)(j)	1,211		67
Class M1, 0.464% 3/25/37 (e)(j)	627		257
Class M2, 0.484% 3/25/37 (e)(j)	471		160
Class M3, 0.514% 3/25/37 (e)(j)	418		130
Class M4, 0.564% 3/25/37 (e)(j)	321		84
Class M5, 0.614% 3/25/37 (e)(j)	525		115
Class M6, 0.694% 3/25/37 (e)(j)	733		139
Series 2007-2A:
Class A1, 0.464% 7/25/37 (e)(j)	396		293
Class A2, 0.514% 7/25/37 (e)(j)	371		236
Class B1, 1.794% 7/25/37 (e)(j)	115		11
Class B2, 2.444% 7/25/37 (e)(j)	100		7
Class B3, 3.544% 7/25/37 (e)(j)	113		6
Class M1, 0.564% 7/25/37 (e)(j)	132		46
Class M2, 0.604% 7/25/37 (e)(j)	73		20
Class M3, 0.684% 7/25/37 (e)(j)	74		15
Class M4, 0.844% 7/25/37 (e)(j)	144		24
Class M5, 0.944% 7/25/37 (e)(j)	127		19
Class M6, 1.194% 7/25/37 (e)(j)	161		20
Series 2007-3:
Class A2, 0.484% 7/25/37 (e)(j)	575		385
Class B1, 1.144% 7/25/37 (e)(j)	502		74
Class B2, 1.794% 7/25/37 (e)(j)	1,293		149
Class B3, 4.194% 7/25/37 (e)(j)	668		44
Class M1, 0.504% 7/25/37 (e)(j)	433		168
Class M2, 0.534% 7/25/37 (e)(j)	465		151
Class M3, 0.564% 7/25/37 (e)(j)	754		205
Class M4, 0.694% 7/25/37 (e)(j)	1,183		283
Class M5, 0.794% 7/25/37 (e)(j)	600		126
Class M6, 0.994% 7/25/37 (e)(j)	457		82
Series 2007-4A:
Class A2, 0.744% 9/25/37 (e)(j)	4,584		2,190
Class B1, 2.744% 9/25/37 (e)(j)	775		31
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Bayview Commercial Asset Trust: - continued
floater:
Series 2007-4A:
Class B2, 3.644% 9/25/37 (e)(j)	$ 2,885		$ 87
Class M1, 1.144% 9/25/37 (e)(j)	723		130
Class M2, 1.244% 9/25/37 (e)(j)	723		101
Class M4, 1.794% 9/25/37 (e)(j)	1,899		152
Class M5, 1.944% 9/25/37 (e)(j)	1,899		133
Class M6, 2.144% 9/25/37 (e)(j)	1,899		114
Series 2004-1 Class IO, 1.25% 4/25/34 (e)(l)	16,574		663
Series 2006-2A Class IO, 2.4155% 7/25/36 (c)(e)(l)	44,991		2,178
Bear Stearns Commercial Mortgage Securities, Inc. Series 2006-PW11 Class AAB, 5.6205% 3/11/39 (j)	7,404		7,834
Bear Stearns Commercial Mortgage Securities Trust:
floater:
Series 2006-BBA7:
Class G, 0.638% 3/15/19 (e)(j)	542		488
Class H, 0.848% 3/15/19 (e)(j)	365		310
Class J, 1.048% 3/15/19 (e)(j)	274		233
Series 2007-BBA8:
Class D, 0.448% 3/15/22 (e)(j)	303		276
Class E, 0.498% 3/15/22 (e)(j)	1,576		1,423
Class F, 0.548% 3/15/22 (e)(j)	967		854
Class G, 0.598% 3/15/22 (e)(j)	248		211
Class H, 0.748% 3/15/22 (e)(j)	303		252
Class J, 0.898% 3/15/22 (e)(j)	303		232
sequential payer:
Series 2006-PW12 Class A2, 5.688% 9/11/38	275		275
Series 2007-PW17:
Class A1, 5.282% 6/11/50	3,677		3,758
Class A2, 5.574% 6/11/50	3,020		3,094
Series 2003-PWR2 Class X2, 0.6817% 5/11/39 (e)(j)(l)	55,343		86
Series 2004-PWR6 Class X2, 0.7962% 11/11/41 (j)(l)	17,880		182
Series 2005-PWR9 Class X2, 0.5324% 9/11/42 (e)(j)(l)	112,943		958
Series 2006-PW13 Class A1, 5.294% 9/11/41	2,228		2,236
Series 2007-T28 Class A1, 5.422% 9/11/42	1,665		1,679
C-BASS Trust floater Series 2006-SC1 Class A, 0.464% 5/25/36 (e)(j)	5,137		3,972
CDC Commercial Mortgage Trust Series 2002-FX1 Class XCL, 2.4992% 5/15/35 (e)(j)(l)	68,415		1,430
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Citigroup Commercial Mortgage Trust:
floater Series 2006-FL2:
Class G, 0.5271% 8/15/21 (e)(j)	$ 323		$ 322
Class H, 0.5671% 8/15/21 (e)(j)	258		254
Series 2004-C2 Class XP, 1.1025% 10/15/41 (e)(j)(l)	23,133		108
Series 2007-C6 Class A1, 5.622% 12/10/49 (j)	137		137
Citigroup/Deutsche Bank Commercial Mortgage Trust:
sequential payer Series 2007-CD4 Class A2A, 5.237% 12/11/49	2,970		2,988
Series 2006-CD3 Class X3, 0.6265% 10/15/48 (j)(l)	239,107		2,755
Cobalt CMBS Commercial Mortgage Trust sequential payer Series 2007-C2 Class A2, 5.334% 4/15/47	10,722		10,962
COMM pass-thru certificates:
floater:
Series 2005-F10A:
Class B, 0.428% 4/15/17 (e)(j)	3,540		3,367
Class D, 0.508% 4/15/17 (e)(j)	640		589
Class E, 0.568% 4/15/17 (e)(j)	204		184
Class F, 0.608% 4/15/17 (e)(j)	116		102
Class G, 0.748% 4/15/17 (e)(j)	116		98
Class H, 0.818% 4/15/17 (e)(j)	116		93
Class J, 1.048% 4/15/17 (e)(j)	89		62
Series 2005-FL11:
Class F, 0.648% 11/15/17 (e)(j)	125		116
Class G, 0.698% 11/15/17 (e)(j)	87		79
Series 2006-CN2A Class A2FL, 0.4295% 2/5/19 (e)(j)	3,060		3,020
sequential payer Series 2006-CN2A:
Class A2FX, 5.449% 2/5/19 (e)	7,645		7,655
Class AJFX, 5.478% 2/5/19 (e)	4,380		4,416
Series 2005-LP5 Class XP, 0.4427% 5/10/43 (j)(l)	26,136		74
Series 2006-C8 Class XP, 0.6858% 12/10/46 (j)(l)	4,769		51
Commercial Mortgage Asset Trust sequential payer Series 1999-C1 Class A3, 6.64% 1/17/32	76		76
Credit Suisse Commercial Mortgage Trust:
sequential payer Series 2007-C3 Class A2, 5.9052% 6/15/39 (j)	4,720		4,818
Series 2006-C5 Class ASP, 0.8755% 12/15/39 (j)(l)	195,837		3,180
Credit Suisse First Boston Mortgage Securities Corp.:
sequential payer Series 2002-CP5 Class A1, 4.106% 12/15/35	1,907		1,923
Series 2001-CK6 Class AX, 1.1234% 8/15/36 (j)(l)	76,901		166
Series 2005-C1 Class ASP, 0.489% 2/15/38 (e)(j)(l)	178,945		531
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Credit Suisse First Boston Mortgage Securities Corp.: - continued
Series 2005-C2 Class ASP, 0.7017% 4/15/37 (e)(j)(l)	$ 35,216		$ 192
Credit Suisse Mortgage Capital Certificates floater Series 2007-TFL1:
Class C:
0.368% 2/15/22 (e)(j)	1,256		1,130
0.468% 2/15/22 (e)(j)	448		386
Class F, 0.518% 2/15/22 (e)(j)	897		753
First Union National Bank-Bank of America Commercial Mortgage Trust Series 2001-C1 Class D, 6.484% 3/15/33	6,647		6,661
GE Capital Commercial Mortgage Corp.:
Series 2001-1 Class X1, 1.2156% 5/15/33 (e)(j)(l)	12,931		78
Series 2007-C1 Class XP, 0.3797% 12/10/49 (j)(l)	3,344		17
GMAC Commercial Mortgage Securities, Inc.:
sequential payer Series 2003-C2 Class A1, 4.576% 5/10/40	4,808		4,986
Series 2004-C3 Class X2, 0.7915% 12/10/41 (j)(l)	23,797		60
Greenwich Capital Commercial Funding Corp.:
floater Series 2006-FL4 Class B, 0.3995% 11/5/21 (e)(j)	8,330		7,675
sequential payer Series 2005-GG3 Class A2, 4.305% 8/10/42 (j)	17,268		17,289
Series 2005-GG3 Class XP, 0.6789% 8/10/42 (e)(j)(l)	98,497		450
Series 2006-GG7 Class A2, 6.032% 7/10/38 (j)	6,989		6,996
GS Mortgage Securities Corp. II:
floater:
Series 2006-FL8A Class F, 0.649% 6/6/20 (e)(j)	562		510
Series 2007-EOP:
Class C, 2.1455% 3/6/20 (e)(j)	4,021		3,965
Class D, 2.3636% 3/6/20 (e)(j)	1,390		1,371
Class E, 2.6688% 3/6/20 (e)(j)	1,905		1,881
Class F, 2.8433% 3/6/20 (e)(j)	967		953
Class G, 3.0177% 3/6/20 (e)(j)	479		472
Class H, 3.5846% 3/6/20 (e)(j)	799		792
Class J, 4.4568% 3/6/20 (e)(j)	1,146		1,141
sequential payer Series 2005-GG4 Class A3, 4.607% 7/10/39	4,810		4,891
Series 2006-GG6 Class A2, 5.506% 4/10/38	7,194		7,190
GS Mortgage Securities Trust sequential payer Series 2006-GG8 Class A2, 5.479% 11/10/39	12,524		12,598
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
JP Morgan Chase Commercial Mortgage Securities Trust sequential payer Series 2005-LDP5 Class A2, 5.198% 12/15/44	$ 7,862		$ 8,006
JPMorgan Chase Commercial Mortgage Securities Corp. Series 2006-LDP7 Class A2, 6.047% 4/15/45 (j)	1,312		1,311
JPMorgan Chase Commercial Mortgage Securities Trust:
floater Series 2006-FLA2:
Class A2, 0.328% 11/15/18 (e)(j)	5,000		4,850
Class D, 0.428% 11/15/18 (e)(j)	129		116
Class E, 0.478% 11/15/18 (e)(j)	184		168
Class F, 0.528% 11/15/18 (e)(j)	276		246
Class G, 0.558% 11/15/18 (e)(j)	240		206
Class H, 0.698% 11/15/18 (e)(j)	184		151
sequential payer Series 2007-LDPX Class A2 S, 5.305% 1/15/49	3,310		3,363
LB-UBS Commercial Mortgage Trust:
sequential payer:
Series 2006-C1 Class A2, 5.084% 2/15/31	8,364		8,367
Series 2006-C6 Class A2, 5.262% 9/15/39 (j)	1,097		1,101
Series 2006-C7 Class A1, 5.279% 11/15/38	189		189
Series 2007-C1 Class A1, 5.391% 2/15/40 (j)	781		788
Series 2007-C6 Class A2, 5.845% 7/15/40	4,962		5,127
Series 2001-C3 Class B, 6.512% 6/15/36	2,451		2,461
Series 2004-C6 Class XCP, 0.8859% 8/15/36 (e)(j)(l)	25,928		38
Series 2006-C1 Class XCP, 0.5157% 2/15/41 (j)(l)	166,324		1,017
Series 2006-C6 Class XCP, 0.8631% 9/15/39 (j)(l)	104,297		1,575
Series 2007-C1 Class XCP, 0.6707% 2/15/40 (j)(l)	38,776		438
Series 2007-C2 Class XCP, 0.7286% 2/15/40 (j)(l)	188,272		2,636
Lehman Brothers Floating Rate Commercial Mortgage Trust floater Series 2006-LLFA:
Class F, 0.538% 9/15/21 (e)(j)	770		662
Class G, 0.558% 9/15/21 (e)(j)	1,521		1,247
Class H, 0.598% 9/15/21 (e)(j)	392		310
Merrill Lynch Mortgage Trust:
sequential payer Series 2005-MKB2 Class A2, 4.806% 9/12/42	1,457		1,456
Series 2005-MCP1 Class XP, 0.8296% 6/12/43 (j)(l)	33,837		425
Series 2005-MKB2 Class XP, 0.4027% 9/12/42 (j)(l)	15,327		71
Merrill Lynch-CFC Commercial Mortgage Trust:
sequential payer:
Series 2007-6 Class A1, 5.175% 3/12/51	504		507
Series 2007-8 Class A1, 4.622% 8/12/49	1,460		1,471
Series 2007-9 Class A2, 5.59% 9/12/49	4,321		4,454
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Merrill Lynch-CFC Commercial Mortgage Trust: - continued
Series 2006-4 Class XP, 0.829% 12/12/49 (j)(l)	$ 89,130		$ 1,568
Morgan Stanley Capital I Trust:
floater:
Series 2006-XLF Class C, 1.398% 7/15/19 (e)(j)	241		120
Series 2007-XCLA Class A1, 0.398% 7/17/17 (e)(j)	740		681
Series 2007-XLFA:
Class B, 0.328% 10/15/20 (e)(j)	202		193
Class C, 0.358% 10/15/20 (e)(j)	2,400		2,236
Class D, 0.388% 10/15/20 (e)(j)	1,889		1,701
Class E, 0.448% 10/15/20 (e)(j)	562		499
Class F, 0.498% 10/15/20 (e)(j)	337		293
Class G, 0.538% 10/15/20 (e)(j)	417		332
Class H, 0.628% 10/15/20 (e)(j)	262		189
Class J, 0.778% 10/15/20 (e)(j)	300		157
Class MHRO, 0.888% 10/15/20 (e)(j)	156		134
Class MJPM, 1.198% 10/15/20 (e)(j)	8		7
Class NHRO, 1.088% 10/15/20 (e)(j)	230		189
sequential payer:
Series 2003-IQ5 Class X2, 1.0242% 4/15/38 (e)(j)(l)	21,217		50
Series 2007-HQ11 Class A1, 5.246% 2/12/44	675		678
Series 2007-IQ13 Class A1, 5.05% 3/15/44	26		27
Series 2007-IQ14 Class A2, 5.61% 4/15/49	11,353		11,788
Series 2007-T25 Class A1, 5.391% 11/12/49	51		51
Series 2003-IQ6 Class X2, 0.7293% 12/15/41 (e)(j)(l)	45,013		147
Series 2005-HQ5 Class X2, 0.3448% 1/14/42 (j)(l)	33,150		149
Series 2005-IQ9 Class X2, 1.2137% 7/15/56 (e)(j)(l)	39,175		263
Series 2005-TOP17 Class X2, 0.7583% 12/13/41 (j)(l)	28,701		267
Series 2006-HQ10 Class X2, 0.6882% 11/12/41 (e)(j)(l)	2,281		18
Structured Asset Securities Corp. Series 1997-LLI Class F, 7.3% 10/12/34 (e)	3,490		3,542
Wachovia Bank Commercial Mortgage Trust:
floater:
Series 2005-WL5A Class K, 1.398% 1/15/18 (e)(j)	1,081		1,038
Series 2006-WL7A:
Class E, 0.4771% 9/15/21 (e)(j)	938		799
Class F, 0.5371% 8/11/18 (e)(j)	1,264		1,032
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Wachovia Bank Commercial Mortgage Trust: - continued
floater:
Series 2006-WL7A:
Class G, 0.5571% 8/11/18 (e)(j)	$ 1,198		$ 813
Class J, 0.7971% 8/11/18 (e)(j)	266		145
Series 2007-WHL8:
Class AP1, 0.898% 6/15/20 (e)(j)	68		51
Class AP2, 0.998% 6/15/20 (e)(j)	112		78
Class F, 0.678% 6/15/20 (e)(j)	2,172		1,781
sequential payer Series 2006-C29 Class A1, 5.11% 11/15/48	36		36
Series 2006-C23 Class X, 0.2549% 1/15/45 (e)(j)(l)	879,013		2,222
Series 2007-C30 Class XP, 0.6357% 12/15/43 (e)(j)(l)	233,405		2,649
Series 2007-C31A Class A2, 5.421% 4/15/47	10,231		10,672
WaMu Commercial Mortgage Securities Trust sequential payer Series 2005-C1A Class AJ, 5.19% 5/25/36 (e)	3,595		3,612
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $326,470)		304,684
Municipal Securities - 0.7%
Illinois Gen. Oblig. Series 2010, 3.321% 1/1/13	9,917		10,101
Indiana Fin. Auth.'s Econ. Dev. Bonds (Republic Svcs., Inc. Proj.) Series A, 1.85%, tender 9/1/11 (g)(j)(k)	19,550		19,550
Louisville/Jefferson County Metropolitan Govt. Poll. Cont. Rev. Bonds (Louisville Gas and Electronic Co. Proj.):
Series 2003 A, 1.9%, tender 4/2/12 (j)	3,000		3,014
Series 2007 B, 1.9%, tender 6/1/12 (j)	3,000		3,011
Mission Econ. Dev. Corp. Solid Waste Disp. Rev. Bonds (Republic Svcs., Inc. Proj.) Series 2008 A, 1.55%, tender 7/1/11 (j)	3,100		3,100
New York State Energy Research & Dev. Auth. Facilities Rev. Bonds (Consolidated Edison Co. of New York, Inc. Proj.) Series 2010 A, 1.45%, tender 11/1/12 (j)(k)	15,900		15,929
Pennsylvania Econ. Dev. Fing. Auth. Solid Waste Disp. Rev. Bonds (Republic Svcs., Inc. Proj.) Series 2010 A, 1.7%, tender 7/1/11 (j)(k)	5,100		5,101
TOTAL MUNICIPAL SECURITIES (Cost $59,559)		59,806
Foreign Government and Government Agency Obligations - 0.3%
	Principal Amount (000s)		Value (000s)
Ontario Province 1.375% 1/27/14 (Cost $28,165)	$ 28,250		$ 28,584
Bank Notes - 0.1%
National City Bank, Cleveland 0.4105% 3/1/13 (j) (Cost $5,408)	5,470		5,456
Certificates of Deposit - 0.3%
Bank of Tokyo-Mitsubishi yankee 0.4% 8/8/11 (Cost $21,000)	21,000		21,005

Cash Equivalents - 10.4%
	Maturity Amount (000s)
Investments in repurchase agreements in a joint trading account at 0.14%, dated 5/31/11 due 6/1/11:
(Collateralized by U.S. Government Obligations) # (a)	833,131		833,128
(Collateralized by U.S. Government Obligations) #	68,770		68,770
TOTAL CASH EQUIVALENTS (Cost $901,898)		901,898
TOTAL INVESTMENT PORTFOLIO - 109.7% (Cost $9,438,539)			9,475,573
NET OTHER ASSETS (LIABILITIES) - (9.7)%			(839,038)
NET ASSETS - 100%		$ 8,636,535

Swap Agreements
	Expiration Date	Notional Amount (000s)	Value (000s)
Credit Default Swaps
Receive monthly notional amount multiplied by .82% and pay UBS upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC6 Class M3, 5.6413% 7/25/34 (Rating-Ca) (i)	August 2034	$ 276	$ (153)
Receive monthly notional amount multiplied by .85% and pay UBS upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC8 Class M6, 5.4413% 9/25/34 (Rating-Ca) (i)	Oct. 2034	334	(139)
Receive monthly notional amount multiplied by 2.54% and pay Merrill Lynch upon credit event of Countrywide Home Loans, Inc., par value of the notional amount of Countrywide Home Loans, Inc. Series 2003-BC1 Class B1, 7.6913% 3/25/32 (Rating-Ca) (i)	April 2032	129	(76)
Receive monthly notional amount multiplied by 2.61% and pay Goldman Sachs upon credit event of Fremont Home Loan Trust, par value of the notional amount of Fremont Home Loan Trust Series 2004-A Class B3, 7.0413% 1/25/34 (Rating-C) (i)	Feb. 2034	4	(4)
Receive monthly notional amount multiplied by 3.05% and pay Merrill Lynch upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC8, Class B3, 7.2913% 9/25/34 (Rating-Ca) (i)	Oct. 2034	365	(138)
Receive monthly notional amount multiplied by 3.35% and pay Morgan Stanley, Inc. upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-HE7, Class B3, 9.01% 8/25/34 (Rating-C) (i)	Sept. 2034	271	(204)
		$ 1,379	$ (714)

Legend

(a) Includes investment made with cash collateral received from securities on loan.

(b) Non-income producing - Security is in default.

(c) Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end.

(d) Security or a portion of the security is on loan at period end.

(e) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $736,710,000 or 8.5% of net assets.

(f) Under the Temporary Liquidity Guarantee Program, the Federal Deposit Insurance Corporation guarantees principal and interest in the event of payment default or bankruptcy until the earlier of maturity date of the debt or until June 30, 2012. At the end of the period these securities amounted to $178,845,000 or 2.1% of net assets.

(g) Security or a portion of the security purchased on a delayed delivery or when-issued basis.

(h) Security or a portion of the security has been segregated as collateral for open swap agreements. At the period end, the value of securities pledged amounted to $1,455,000.

(i) Represents a credit default swap contract in which the Fund has sold protection on the underlying reference entity. The value of each credit default swap and the credit rating can be measures of the current payment/performance risk. For the underlying reference entity, ratings disclosed are from Moody's Investors Service, Inc. Where Moody's ratings are not available, S&P ratings are disclosed and are indicated as such. All ratings are as of the report date and do not reflect subsequent changes. Where a credit rating is not disclosed, the value is used as the measure of the payment/performance risk.

(j) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.

(k) Private activity obligations whose interest is subject to the federal alternative minimum tax for individuals.

(l) Security represents right to receive monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool held as of the end of the period.

(m) Restricted securities - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $5,608,000 or 0.1% of net assets.

Additional information on each restricted holding is as follows:

Security	Acquisition Date	Acquisition Cost (000s)
Iberbond 2004 PLC 4.826% 12/24/17	11/30/05	$ 5,551

* Amount represents less than $1,000.

# Additional information on each counterparty to the repurchase agreement is as follows:

Repurchase Agreement / Counterparty	Value (Amounts in thousands)
$68,770,000 due 6/01/11 at 0.14%
Goldman, Sachs & Co.	$ 2,066
HSBC Securities (USA), Inc.	12,394
Merrill Lynch, Pierce, Fenner & Smith, Inc.	3,263
Mizuho Securities USA, Inc.	37,180
Societe Generale	3,927
Wells Fargo Securities LLC	9,940
	$ 68,770
$833,128,000 due 6/01/11 at 0.14%
J.P. Morgan Securities, Inc.	$ 542,667
Societe Generale	290,461
	$ 833,128

Other Information

The following is a summary of the inputs used, as of May 31, 2011, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the tables below, please refer to the Investment Valuation section at the end of this listing.

Valuation Inputs at Reporting Date:
Description (Amounts in thousands)	Total	Level 1	Level 2	Level 3
Investments in Securities:
Corporate Bonds	$ 2,315,495	$ -	$ 2,309,887	$ 5,608
U.S. Government and Government Agency Obligations	4,288,520	-	4,288,520	-
U.S. Government Agency - Mortgage Securities	312,362	-	312,362	-
Asset-Backed Securities	880,206	-	860,799	19,407
Collateralized Mortgage Obligations	357,557	-	357,438	119
Commercial Mortgage Securities	304,684	-	253,220	51,464
Municipal Securities	59,806	-	59,806	-
Foreign Government and Government Agency Obligations	28,584	-	28,584	-
Bank Notes	5,456	-	5,456	-
Certificates of Deposit	21,005	-	21,005	-
Cash Equivalents	901,898	-	901,898	-
Total Investments in Securities:	$ 9,475,573	$ -	$ 9,398,975	$ 76,598
Derivative Instruments:
Liabilities
Swap Agreements	$ (714)	$ -	$ -	$ (714)

The following is a reconciliation of Investments in Securities and Derivative Instruments for which Level 3 inputs were used in determining value:

(Amounts in thousands)
Investments in Securities:
Beginning Balance	$ 87,853
Total Realized Gain (Loss)	(1,245)
Total Unrealized Gain (Loss)	20,967
Cost of Purchases	8,084
Proceeds of Sales	(26,537)
Amortization/Accretion	(748)
Transfers in to Level 3	7,657
Transfers out of Level 3	(19,433)
Ending Balance	$ 76,598
The change in unrealized gain (loss) for the period attributable to Level 3 securities held at May 31, 2011	$ 11,763
Derivative Instruments:
Swap Agreements
Beginning Balance	$ (892)
Total Unrealized Gain (Loss)	178
Transfers in to Level 3	-
Transfers out of Level 3	-
Ending Balance	$ (714)
Realized gain (loss) on Swap Agreements for the period	$ 29
The change in unrealized gain (loss) for the period attributable to Level 3 Swap Agreements held at May 31, 2011	$ 178

The information used in the above reconciliation represents fiscal year to date activity for any Investments in Securities and Derivative Instruments identified as using Level 3 inputs at either the beginning or the end of the current fiscal period. Transfers in or out of Level 3 represent the beginning value of any Security or Instrument where a change in the pricing level occurred from the beginning to the end of the period. The cost of purchases and the proceeds of sales may include securities received or delivered through corporate actions or exchanges.

Income Tax Information

At May 31, 2011, the cost of investment securities for income tax purposes was $9,442,228,000. Net unrealized appreciation aggregated $33,345,000, of which $143,898,000 related to appreciated investment securities and $110,553,000 related to depreciated investment securities.

Investment Valuation

Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Security transactions are accounted for as of trade date. The Fund uses independent pricing services approved by the Board of Trustees to value its investments. When current market prices or quotations are not readily available or reliable, valuations may be determined in good faith in accordance with procedures adopted by the Board of Trustees. Factors used in determining value may include market or security specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The value used for net asset value calculation under these procedures may differ from published prices for the same securities. The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels: Level 1 - quoted prices in active markets for identical investments. Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds etc.). Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available). Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. Valuation techniques used to value the Fund's investments by major category are as follows:

Debt securities, including restricted securities, are valued based on evaluated prices received from independent pricing services or from dealers who make markets in such securities. For corporate bonds, bank notes, foreign government and government agency obligations, municipal securities, U.S. government and government agency obligations and certificates of deposit, pricing services utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices and are generally categorized as Level 2 in the hierarchy.

For asset backed securities, collateralized mortgage obligations, commercial mortgage securities, and U.S. government agency mortgage securities, pricing services utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices and, accordingly, such securities are generally categorized as Level 2 in the hierarchy. Short-term securities with remaining maturities of sixty days or less may be valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy. Swaps are marked-to-market daily based on valuations from independent pricing services or dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Pricing services utilize matrix pricing which considers comparisons to interest rate curves, credit spread curves, default possibilities and recovery rates and, as a result, swaps are generally categorized as Level 2 in the hierarchy. When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing matrices which consider similar factors that would be used by independent pricing services. These are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

For additional information on the Fund's policy regarding valuation of investments and other significant accounting policies, please refer to the Fund's most recent semiannual or annual shareholder report.

Credit Default Swap Agreements

The Fund entered into credit default swaps, which are agreements with a counterparty that enable the Fund to buy or sell protection on a debt security or a basket of securities against a defined credit event. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller acts as a guarantor of the creditworthiness of a reference obligation. The Fund enters into credit default swaps as a seller to gain credit exposure to an issuer and/or as a buyer to provide a measure of protection against defaults of an issuer. The issuer may be either a single issuer or a basket of issuers. Periodic payments are made over the life of the contract provided that no credit event occurs.

For credit default swaps on most corporate and sovereign issuers, credit events include bankruptcy, failure to pay, obligation acceleration or repudiation/moratorium. For credit default swaps on corporate or sovereign issuers, the obligation that may be put to the seller is not limited to the specific reference obligation described. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swaps on asset-backed securities, the reference obligation described represents the security that may be put to the seller.

As a seller, if an underlying credit event occurs, the Fund will either pay the buyer an amount equal to the notional amount of the swap and take delivery of the reference obligation or underlying securities comprising an index or pay a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. As a buyer, if an underlying credit event occurs, the Fund will either receive from the seller an amount equal to the notional amount of the swap and deliver the reference obligation or underlying securities comprising an index or receive a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index.

Credit default swaps are marked-to-market daily and changes in value are recorded as unrealized appreciation or (depreciation). Any upfront premiums paid or received upon entering a swap to compensate for differences between stated terms of the agreement and prevailing market conditions (e.g. credit spreads, interest rates or other factors) are recorded as realized gain or (loss) ratably over the term of the swap. Payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gain or (loss). Realized gain or (loss) is also recorded in the event of an early termination of a swap.

The Fund is exposed to additional risks from investing in credit default swaps, such as liquidity risk and counterparty risk. Liquidity risk is the risk that the Fund will be unable to sell a credit default swaps in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. Counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. The Fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association (ISDA) Master Agreement on a bilateral basis with each of its counterparties. The ISDA Master Agreement gives the Fund the right to terminate all transactions traded under such agreement if there is a certain deterioration in the credit quality of the counterparty. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk, the Fund offsets certain payables and/or receivables with collateral. Collateral, in the form of cash or securities, may be required to be held in segregated accounts with the Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the swap counterparty and the Fund's custodian bank and, if required, is identified. The Fund could experience delays and costs in gaining access to the collateral even though it is held by the Fund's custodian bank. The Fund's maximum risk of loss from counterparty credit risk is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to the Fund.

Typically, the value of each credit default swap and credit rating disclosed for each reference obligation, where the Fund is the seller, can be used as measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. In addition to these measures, FMR monitors a variety of factors including cash flow assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/performance risk.

The notional amount of credit default swaps approximates the maximum potential amount of future payments that the Fund could be required to make if the Fund is the seller and a credit event were to occur. The total notional amount of all credit default swaps open at period end where the Fund is the seller amounted to $1,379,000 representing 0.0% of net assets.

Credit Risk

The Fund invests a portion of its assets in structured securities of issuers backed by residential mortgage loans, credit card receivables and automotive loans. The value and related income of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults.

Quarterly Report

The fund's schedule of investments as of the date on the cover of this report has not been audited. This report is provided for the general information of the fund's shareholders. For more information regarding the fund and its holdings, please

see the fund's most recent prospectus and annual report.

Third party trademarks and service marks are the property of their respective owners. All other trademarks and service marks are the property of FMR LLC

or an affiliate.

Quarterly Report

Quarterly Holdings Report

for

Fidelity ® Series Investment Grade
Bond Fund -
Series Investment Grade Bond
Class F

May 31, 2011

1.873112.102

LIG-QTLY-0711

Investments May 31, 2011 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 19.7%
	Principal Amount		Value
CONSUMER DISCRETIONARY - 1.8%
Auto Components - 0.0%
DaimlerChrysler NA Holding Corp. 5.75% 9/8/11	$ 7,807,000		$ 7,915,267
Diversified Consumer Services - 0.1%
Cornell University 5.45% 2/1/19	5,740,000		6,504,511
Trustees of Princeton Univ. 5.7% 3/1/39	8,900,000		9,914,867
			16,419,378
Household Durables - 0.3%
Fortune Brands, Inc.:
3% 6/1/12	4,835,000		4,909,889
5.375% 1/15/16	12,104,000		13,149,289
5.875% 1/15/36	12,447,000		12,045,348
6.375% 6/15/14	24,690,000		27,536,090
Whirlpool Corp. 6.125% 6/15/11	2,381,000		2,385,248
			60,025,864
Media - 1.4%
Comcast Corp.:
4.95% 6/15/16	9,131,000		10,029,500
5.15% 3/1/20	1,226,000		1,319,535
5.7% 5/15/18	12,823,000		14,363,414
5.9% 3/15/16	3,813,000		4,342,584
6.4% 3/1/40	29,536,000		32,194,919
6.45% 3/15/37	4,665,000		5,070,869
6.55% 7/1/39	10,000,000		11,055,120
COX Communications, Inc. 4.625% 6/1/13	3,122,000		3,322,476
Discovery Communications LLC:
3.7% 6/1/15	11,423,000		12,043,405
6.35% 6/1/40	10,151,000		10,945,113
Liberty Media Corp. 8.25% 2/1/30	2,081,000		2,026,374
NBC Universal, Inc.:
3.65% 4/30/15 (e)	6,432,000		6,762,624
5.15% 4/30/20 (e)	28,753,000		30,588,563
6.4% 4/30/40 (e)	13,528,000		14,698,713
News America Holdings, Inc. 7.75% 12/1/45	2,466,000		3,011,405
News America, Inc.:
6.15% 3/1/37	5,610,000		5,814,748
6.15% 2/15/41 (e)	15,000,000		15,386,955
6.2% 12/15/34	7,989,000		8,297,240
Time Warner Cable, Inc.:
5.4% 7/2/12	3,410,000		3,576,319
5.85% 5/1/17	17,523,000		19,606,818
Nonconvertible Bonds - continued
	Principal Amount		Value
CONSUMER DISCRETIONARY - continued
Media - continued
Time Warner Cable, Inc.: - continued
6.2% 7/1/13	$ 3,242,000		$ 3,565,516
6.75% 7/1/18	23,280,000		27,063,768
Time Warner, Inc.:
3.15% 7/15/15	12,747,000		13,150,787
5.875% 11/15/16	4,039,000		4,623,564
6.2% 3/15/40	15,555,000		16,206,910
6.5% 11/15/36	6,573,000		7,084,425
Viacom, Inc.:
3.5% 4/1/17	15,103,000		15,399,744
6.75% 10/5/37	3,475,000		3,925,231
			305,476,639
Specialty Retail - 0.0%
Staples, Inc. 7.375% 10/1/12	1,561,000		1,676,511
TOTAL CONSUMER DISCRETIONARY			391,513,659
CONSUMER STAPLES - 1.1%
Beverages - 0.2%
Anheuser-Busch InBev Worldwide, Inc.:
2.5% 3/26/13	391,000		401,189
5.375% 11/15/14	12,487,000		13,982,418
7.2% 1/15/14	8,300,000		9,504,247
Bottling Group LLC 6.95% 3/15/14	2,000,000		2,315,206
Diageo Capital PLC 5.2% 1/30/13	1,963,000		2,102,389
FBG Finance Ltd. 5.125% 6/15/15 (e)	11,614,000		12,688,911
			40,994,360
Food & Staples Retailing - 0.1%
CVS Caremark Corp.:
4.125% 5/15/21	23,846,000		23,453,566
6.302% 6/1/37 (i)	2,287,000		2,264,130
			25,717,696
Food Products - 0.3%
Cargill, Inc. 6% 11/27/17 (e)	2,169,000		2,509,967
General Mills, Inc. 5.2% 3/17/15	2,184,000		2,438,207
Kraft Foods, Inc.:
5.375% 2/10/20	14,630,000		16,014,291
5.625% 11/1/11	908,000		926,498
6.125% 2/1/18	11,078,000		12,744,696
Nonconvertible Bonds - continued
	Principal Amount		Value
CONSUMER STAPLES - continued
Food Products - continued
Kraft Foods, Inc.: - continued
6.25% 6/1/12	$ 2,162,000		$ 2,277,237
6.5% 8/11/17	28,164,000		33,074,675
6.75% 2/19/14	1,258,000		1,429,079
			71,414,650
Tobacco - 0.5%
Altria Group, Inc.:
8.5% 11/10/13	920,000		1,073,268
9.25% 8/6/19	4,577,000		6,046,158
9.7% 11/10/18	43,684,000		58,338,278
Philip Morris International, Inc.:
4.875% 5/16/13	3,627,000		3,902,086
5.65% 5/16/18	2,251,000		2,566,018
Reynolds American, Inc.:
6.75% 6/15/17	10,391,000		12,154,103
7.25% 6/15/37	15,680,000		17,530,099
			101,610,010
TOTAL CONSUMER STAPLES			239,736,716
ENERGY - 2.5%
Energy Equipment & Services - 0.2%
DCP Midstream LLC:
5.35% 3/15/20 (e)	11,804,000		12,611,051
6.75% 9/15/37 (e)	2,991,000		3,369,347
El Paso Pipeline Partners Operating Co. LLC:
4.1% 11/15/15	17,654,000		18,503,652
6.5% 4/1/20	2,078,000		2,385,700
Noble Holding International Ltd. 3.45% 8/1/15	1,779,000		1,848,358
Weatherford International Ltd.:
4.95% 10/15/13	2,431,000		2,603,331
5.15% 3/15/13	7,716,000		8,196,259
			49,517,698
Oil, Gas & Consumable Fuels - 2.3%
Anadarko Petroleum Corp.:
5.95% 9/15/16	1,367,000		1,544,674
6.375% 9/15/17	42,765,000		49,170,299
BW Group Ltd. 6.625% 6/28/17 (e)	4,126,000		4,170,388
Nonconvertible Bonds - continued
	Principal Amount		Value
ENERGY - continued
Oil, Gas & Consumable Fuels - continued
Canadian Natural Resources Ltd.:
5.15% 2/1/13	$ 6,276,000		$ 6,696,919
5.7% 5/15/17	4,557,000		5,250,170
ConocoPhillips:
4.4% 5/15/13	20,500,000		21,931,351
5.75% 2/1/19	12,956,000		15,100,101
Duke Capital LLC 6.25% 2/15/13	699,000		756,446
Duke Energy Field Services:
5.375% 10/15/15 (e)	1,706,000		1,901,069
6.45% 11/3/36 (e)	7,882,000		8,443,214
El Paso Natural Gas Co. 5.95% 4/15/17	1,304,000		1,487,782
EnCana Corp.:
4.75% 10/15/13	930,000		1,003,506
6.3% 11/1/11	2,412,000		2,469,673
EnCana Holdings Finance Corp. 5.8% 5/1/14	4,029,000		4,508,133
Enterprise Products Operating LP:
5.6% 10/15/14	1,361,000		1,518,876
5.65% 4/1/13	487,000		525,027
Gulf South Pipeline Co. LP 5.75% 8/15/12 (e)	5,389,000		5,626,924
Gulfstream Natural Gas System LLC 6.95% 6/1/16 (e)	9,551,000		11,318,957
Marathon Petroleum Corp. 5.125% 3/1/21 (e)	20,728,000		21,622,102
Midcontinent Express Pipeline LLC 5.45% 9/15/14 (e)	17,029,000		18,733,858
Motiva Enterprises LLC:
5.75% 1/15/20 (e)	6,844,000		7,710,012
6.85% 1/15/40 (e)	19,290,000		22,989,320
Nakilat, Inc. 6.067% 12/31/33 (e)	5,435,000		5,516,525
Nexen, Inc.:
5.2% 3/10/15	1,267,000		1,392,253
5.875% 3/10/35	4,330,000		4,253,389
6.2% 7/30/19	1,700,000		1,933,699
6.4% 5/15/37	22,414,000		23,179,393
NGPL PipeCo LLC 6.514% 12/15/12 (e)	6,869,000		7,243,361
Pemex Project Funding Master Trust 0.9095% 12/3/12 (e)(i)	4,867,000		4,854,833
Petro-Canada:
6.05% 5/15/18	2,920,000		3,352,110
6.8% 5/15/38	4,427,000		5,164,764
Petrobras International Finance Co. Ltd.:
3.875% 1/27/16	17,613,000		18,024,299
5.75% 1/20/20	30,188,000		32,017,936
Nonconvertible Bonds - continued
	Principal Amount		Value
ENERGY - continued
Oil, Gas & Consumable Fuels - continued
Petrobras International Finance Co. Ltd.: - continued
6.875% 1/20/40	$ 11,451,000		$ 12,424,335
7.875% 3/15/19	14,377,000		17,346,569
Petroleos Mexicanos 6% 3/5/20	1,813,000		1,964,386
Plains All American Pipeline LP/PAA Finance Corp.:
3.95% 9/15/15	8,916,000		9,396,938
4.25% 9/1/12	1,368,000		1,420,330
5% 2/1/21	5,638,000		5,865,443
6.125% 1/15/17	5,000,000		5,648,815
Ras Laffan Liquefied Natural Gas Co. Ltd. 8.294% 3/15/14 (e)	2,500,200		2,740,844
Ras Laffan Liquefied Natural Gas Co. Ltd. III:
4.5% 9/30/12 (e)	6,678,000		6,928,425
5.5% 9/30/14 (e)	9,333,000		10,172,970
5.832% 9/30/16 (e)	1,517,943		1,654,558
6.75% 9/30/19 (e)	6,109,000		7,010,078
Rockies Express Pipeline LLC 6.25% 7/15/13 (e)	3,795,000		4,082,631
Southeast Supply Header LLC 4.85% 8/15/14 (e)	1,033,000		1,104,099
Spectra Energy Capital, LLC 5.65% 3/1/20	15,101,000		16,552,372
Suncor Energy, Inc.:
6.1% 6/1/18	9,550,000		11,013,404
6.5% 6/15/38	1,052,000		1,193,461
Talisman Energy, Inc. yankee 6.25% 2/1/38	4,604,000		5,045,924
Texas Eastern Transmission LP 6% 9/15/17 (e)	12,691,000		14,736,155
Transcontinental Gas Pipe Line Corp. 6.4% 4/15/16	2,800,000		3,292,022
Western Gas Partners LP 5.375% 6/1/21	21,567,000		22,299,847
XTO Energy, Inc.:
4.9% 2/1/14	751,000		826,276
5% 1/31/15	1,222,000		1,371,033
5.65% 4/1/16	839,000		977,135
6.25% 8/1/17	4,098,000		5,000,376
			491,479,789
TOTAL ENERGY			540,997,487
FINANCIALS - 10.0%
Capital Markets - 1.7%
Bear Stearns Companies, Inc. 5.3% 10/30/15	8,920,000		9,860,311
BlackRock, Inc. 4.25% 5/24/21	5,250,000		5,237,867
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Capital Markets - continued
Goldman Sachs Group, Inc.:
3.7% 8/1/15	$ 17,599,000		$ 17,868,740
5.95% 1/18/18	9,760,000		10,573,437
6% 6/15/20	47,000,000		50,509,537
6.15% 4/1/18	10,942,000		11,997,181
6.25% 2/1/41	13,223,000		13,364,737
6.75% 10/1/37	1,467,000		1,474,023
Janus Capital Group, Inc. 5.875% 9/15/11 (c)	6,169,000		6,224,459
JPMorgan Chase Capital XVII 5.85% 8/1/35	1,585,000		1,604,377
JPMorgan Chase Capital XX 6.55% 9/29/36	39,647,000		40,658,950
Lazard Group LLC:
6.85% 6/15/17	7,532,000		8,430,116
7.125% 5/15/15	8,656,000		9,754,576
Merrill Lynch & Co., Inc.:
5.45% 2/5/13	19,177,000		20,416,851
6.4% 8/28/17	7,888,000		8,851,567
6.875% 4/25/18	16,189,000		18,449,373
Morgan Stanley:
4% 7/24/15	9,059,000		9,380,468
4.75% 4/1/14	6,943,000		7,320,415
5.45% 1/9/17	10,500,000		11,322,245
5.625% 9/23/19	16,919,000		17,663,078
5.75% 1/25/21	10,000,000		10,458,580
5.95% 12/28/17	1,904,000		2,088,915
6% 5/13/14	13,777,000		15,124,391
6% 4/28/15	3,982,000		4,418,762
6.625% 4/1/18	9,869,000		11,109,158
7.3% 5/13/19	22,127,000		25,480,878
UBS AG Stamford Branch 3.875% 1/15/15	20,000,000		21,126,980
			370,769,972
Commercial Banks - 1.7%
Bank of America NA:
5.3% 3/15/17	18,193,000		19,236,660
6.1% 6/15/17	1,076,000		1,184,203
BB&T Capital Trust IV 6.82% 6/12/77 (i)	524,000		535,790
Credit Suisse (Guernsey) Ltd. 5.86% (f)(i)	5,543,000		5,390,568
Credit Suisse New York Branch 6% 2/15/18	25,069,000		27,593,574
DBS Bank Ltd. (Singapore) 0.4808% 5/16/17 (e)(i)	5,956,000		5,881,550
Discover Bank:
7% 4/15/20	267,000		304,360
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Commercial Banks - continued
Discover Bank: - continued
8.7% 11/18/19	$ 16,188,000		$ 20,197,120
Export-Import Bank of Korea:
5.25% 2/10/14 (e)	3,328,000		3,580,845
5.5% 10/17/12	3,148,000		3,311,488
Fifth Third Bancorp:
3.625% 1/25/16	10,288,000		10,523,760
4.5% 6/1/18	2,562,000		2,557,125
8.25% 3/1/38	12,528,000		15,627,327
Fifth Third Bank 4.75% 2/1/15	2,013,000		2,139,710
Fifth Third Capital Trust IV 6.5% 4/15/67 (i)	6,571,000		6,521,718
HBOS PLC 6.75% 5/21/18 (e)	4,594,000		4,636,421
Huntington Bancshares, Inc. 7% 12/15/20	4,459,000		5,139,974
JPMorgan Chase Bank 6% 10/1/17	6,068,000		6,822,277
KeyBank NA:
5.45% 3/3/16	6,295,000		6,874,291
5.8% 7/1/14	14,023,000		15,444,736
6.95% 2/1/28	3,200,000		3,626,224
KeyCorp. 5.1% 3/24/21	10,224,000		10,641,119
Korea Development Bank 5.75% 9/10/13	2,804,000		3,044,872
Manufacturers & Traders Trust Co. 1.8045% 4/1/13 (i)	397,000		397,078
Marshall & Ilsley Bank:
4.85% 6/16/15	7,539,000		8,145,294
5% 1/17/17	10,979,000		11,946,316
5.25% 9/4/12	5,004,000		5,207,793
Regions Bank:
6.45% 6/26/37	18,578,000		17,348,136
7.5% 5/15/18	9,871,000		10,683,334
Regions Financial Corp.:
0.4785% 6/26/12 (i)	951,000		924,933
5.75% 6/15/15	3,253,000		3,326,193
7.75% 11/10/14	8,459,000		9,273,602
SunTrust Banks, Inc. 3.6% 4/15/16	17,434,000		17,849,871
UniCredit Luxembourg Finance SA 5.584% 1/13/17 (e)(i)	3,046,000		3,052,866
UnionBanCal Corp. 5.25% 12/16/13	925,000		998,960
Wachovia Bank NA:
4.8% 11/1/14	1,049,000		1,137,673
4.875% 2/1/15	1,893,000		2,050,443
5.85% 2/1/37	7,795,000		8,174,258
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Commercial Banks - continued
Wachovia Corp.:
4.875% 2/15/14	$ 734,000		$ 790,166
5.625% 10/15/16	14,742,000		16,466,357
5.75% 6/15/17	2,050,000		2,328,714
5.75% 2/1/18	4,000,000		4,500,776
Wells Fargo & Co.:
3.625% 4/15/15	8,996,000		9,495,494
3.676% 6/15/16	26,564,000		27,604,406
3.75% 10/1/14	8,062,000		8,582,450
Wells Fargo Bank NA 5.95% 8/26/36	4,694,000		5,003,358
			356,104,183
Consumer Finance - 0.9%
Capital One Financial Corp. 5.7% 9/15/11	6,468,000		6,562,071
Discover Financial Services:
6.45% 6/12/17	16,773,000		18,872,762
10.25% 7/15/19	15,329,000		20,440,869
General Electric Capital Corp.:
2.25% 11/9/15	18,930,000		18,672,514
2.95% 5/9/16	5,375,000		5,393,098
3.5% 6/29/15	5,553,000		5,815,179
4.625% 1/7/21	42,124,000		42,744,655
5.625% 9/15/17	3,505,000		3,917,311
5.625% 5/1/18	10,000,000		11,057,140
5.875% 1/14/38	3,000,000		3,121,728
6% 8/7/19	22,000,000		24,640,198
6.375% 11/15/67 (i)	10,755,000		11,185,200
Household Finance Corp. 6.375% 10/15/11	3,570,000		3,647,987
HSBC Finance Corp. 5.9% 6/19/12	11,627,000		12,232,674
SLM Corp.:
0.5038% 10/25/11 (i)	10,097,000		10,072,303
0.5738% 1/27/14 (i)	918,000		874,622
5.375% 1/15/13	2,851,000		2,987,181
			202,237,492
Diversified Financial Services - 1.9%
Bank of America Corp. 5.75% 12/1/17	29,302,000		31,778,986
BP Capital Markets PLC:
3.125% 10/1/15	17,104,000		17,517,746
3.625% 5/8/14	2,002,000		2,106,404
4.5% 10/1/20	11,831,000		12,117,085
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Diversified Financial Services - continued
BP Capital Markets PLC: - continued
4.742% 3/11/21	$ 12,000,000		$ 12,417,684
Capital One Capital V 10.25% 8/15/39	9,719,000		10,338,586
Citigroup, Inc.:
4.75% 5/19/15	40,390,000		43,333,583
5.375% 8/9/20	20,000,000		21,073,320
5.5% 4/11/13	26,194,000		28,018,203
6.125% 5/15/18	25,399,000		28,334,235
6.5% 8/19/13	20,989,000		23,074,677
General Electric Capital Corp. 5.3% 2/11/21	19,600,000		20,586,252
JPMorgan Chase & Co.:
3.4% 6/24/15	1,808,000		1,868,948
4.25% 10/15/20	30,000,000		29,512,050
4.625% 5/10/21	43,909,000		44,065,975
4.65% 6/1/14	20,000,000		21,653,640
6.3% 4/23/19	10,326,000		11,792,189
ORIX Corp. 5.48% 11/22/11	269,000		274,112
Prime Property Funding, Inc.:
5.125% 6/1/15 (e)	6,865,000		7,189,309
5.35% 4/15/12 (e)	1,620,000		1,661,898
5.5% 1/15/14 (e)	4,958,000		5,336,905
5.7% 4/15/17 (e)	2,366,000		2,481,243
TECO Finance, Inc.:
4% 3/15/16	9,634,000		10,087,126
5.15% 3/15/20	11,097,000		11,904,451
TransCapitalInvest Ltd. 5.67% 3/5/14 (e)	5,304,000		5,675,280
ZFS Finance USA Trust II 6.45% 12/15/65 (e)(i)	7,307,000		7,635,815
ZFS Finance USA Trust IV 5.875% 5/9/62 (e)(i)	2,103,000		2,125,039
ZFS Finance USA Trust V 6.5% 5/9/67 (e)(i)	1,824,000		1,883,280
			415,844,021
Insurance - 1.3%
Allstate Corp. 6.2% 5/16/14	7,894,000		8,977,965
Aon Corp.:
3.125% 5/27/16	10,482,000		10,532,743
3.5% 9/30/15	6,878,000		7,101,948
5% 9/30/20	7,271,000		7,527,979
6.25% 9/30/40	4,660,000		5,017,972
Assurant, Inc. 5.625% 2/15/14	6,168,000		6,625,746
Axis Capital Holdings Ltd. 5.75% 12/1/14	5,857,000		6,372,955
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Insurance - continued
Great-West Life & Annuity Insurance Co. 7.153% 5/16/46 (e)(i)	$ 11,133,000		$ 11,689,650
Hartford Financial Services Group, Inc. 5.375% 3/15/17	546,000		586,687
Liberty Mutual Group, Inc.:
5% 6/1/21 (e)	21,593,000		21,226,005
6.5% 3/15/35 (e)	830,000		834,908
6.7% 8/15/16 (e)	6,494,000		7,201,593
10.75% 6/15/88 (e)(i)	3,501,000		4,743,855
Massachusetts Mutual Life Insurance Co. 8.875% 6/1/39 (e)	6,328,000		9,121,913
MetLife, Inc.:
2.375% 2/6/14	11,504,000		11,740,419
4.75% 2/8/21	6,004,000		6,182,175
5% 6/15/15	813,000		893,824
5.875% 2/6/41	4,635,000		4,879,950
6.125% 12/1/11	1,143,000		1,174,573
6.75% 6/1/16	9,220,000		10,891,024
Metropolitan Life Global Funding I:
5.125% 4/10/13 (e)	5,256,000		5,610,139
5.125% 6/10/14 (e)	8,554,000		9,365,681
Monumental Global Funding II 5.65% 7/14/11 (e)	5,681,000		5,704,855
Monumental Global Funding III 5.5% 4/22/13 (e)	3,073,000		3,279,011
New York Life Global Funding 4.65% 5/9/13 (e)	3,983,000		4,274,472
New York Life Insurance Co. 6.75% 11/15/39 (e)	4,383,000		5,192,558
Northwestern Mutual Life Insurance Co. 6.063% 3/30/40 (e)	9,371,000		10,353,774
Pacific Life Global Funding 5.15% 4/15/13 (e)	11,018,000		11,717,412
Pacific Life Insurance Co. 9.25% 6/15/39 (e)	9,078,000		12,382,973
Pacific LifeCorp 6% 2/10/20 (e)	5,371,000		5,881,992
Prudential Financial, Inc.:
3.625% 9/17/12	13,500,000		13,936,793
4.75% 9/17/15	13,500,000		14,648,607
5.15% 1/15/13	3,765,000		3,983,366
7.375% 6/15/19	3,820,000		4,581,395
8.875% 6/15/38 (i)	1,338,000		1,625,670
QBE Insurance Group Ltd. 5.647% 7/1/23 (e)(i)	901,000		879,788
Symetra Financial Corp. 6.125% 4/1/16 (e)	11,250,000		11,817,889
The Chubb Corp. 5.75% 5/15/18	1,125,000		1,288,783
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Insurance - continued
Unum Group:
5.625% 9/15/20	$ 8,528,000		$ 9,048,063
7.125% 9/30/16	1,654,000		1,925,587
			280,822,692
Real Estate Investment Trusts - 0.7%
AvalonBay Communities, Inc.:
4.95% 3/15/13	5,057,000		5,373,801
5.375% 4/15/14	2,899,000		3,194,733
5.5% 1/15/12	4,659,000		4,791,134
6.125% 11/1/12	2,564,000		2,745,390
BRE Properties, Inc. 5.5% 3/15/17	1,861,000		2,048,057
Camden Property Trust:
5.375% 12/15/13	5,530,000		5,957,071
5.875% 11/30/12	1,067,000		1,130,845
Developers Diversified Realty Corp.:
4.75% 4/15/18	9,004,000		8,998,886
5.375% 10/15/12	10,023,000		10,383,156
7.5% 4/1/17	9,638,000		11,196,012
Duke Realty LP:
4.625% 5/15/13	1,515,000		1,592,409
5.875% 8/15/12	837,000		880,758
Equity One, Inc.:
6% 9/15/17	3,467,000		3,712,887
6.25% 12/15/14	9,619,000		10,548,648
6.25% 1/15/17	2,204,000		2,392,266
Equity Residential 5.125% 3/15/16	8,850,000		9,683,024
Federal Realty Investment Trust:
5.4% 12/1/13	3,666,000		3,966,528
5.9% 4/1/20	3,969,000		4,408,483
6% 7/15/12	5,468,000		5,750,329
6.2% 1/15/17	1,491,000		1,698,656
HRPT Properties Trust:
5.75% 11/1/15	1,821,000		1,969,275
6.25% 6/15/17	861,000		952,451
6.65% 1/15/18	3,483,000		3,930,830
UDR, Inc. 5.5% 4/1/14	17,798,000		19,031,686
United Dominion Realty Trust, Inc. 5.25% 1/15/15	1,548,000		1,661,605
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Real Estate Investment Trusts - continued
Washington (REIT):
5.25% 1/15/14	$ 907,000		$ 979,498
5.95% 6/15/11	9,550,000		9,563,599
			138,542,017
Real Estate Management & Development - 1.5%
AMB Property LP:
5.9% 8/15/13	5,754,000		6,106,893
6.3% 6/1/13	4,012,000		4,325,462
Arden Realty LP 5.2% 9/1/11	1,869,000		1,889,985
BioMed Realty LP:
3.85% 4/15/16	19,180,000		19,450,093
6.125% 4/15/20	5,563,000		6,016,763
Brandywine Operating Partnership LP:
5.7% 5/1/17	6,890,000		7,480,170
5.75% 4/1/12	5,707,000		5,916,470
Colonial Properties Trust:
5.5% 10/1/15	12,454,000		12,975,897
6.875% 8/15/12	4,824,000		5,014,997
Colonial Realty LP 6.05% 9/1/16	3,862,000		4,038,088
Digital Realty Trust LP:
4.5% 7/15/15	7,544,000		7,889,244
5.25% 3/15/21	10,656,000		10,835,959
Duke Realty LP:
5.4% 8/15/14	6,754,000		7,332,203
5.5% 3/1/16	10,207,000		11,076,320
5.625% 8/15/11	8,118,000		8,189,179
5.95% 2/15/17	9,023,000		9,977,706
6.25% 5/15/13	9,569,000		10,375,160
6.5% 1/15/18	12,019,000		13,662,514
6.75% 3/15/20	1,066,000		1,221,444
8.25% 8/15/19	5,060,000		6,232,468
ERP Operating LP:
4.75% 7/15/20	31,427,000		32,574,494
5.375% 8/1/16	4,428,000		4,899,294
5.5% 10/1/12	5,487,000		5,803,018
5.75% 6/15/17	18,634,000		21,010,972
6.625% 3/15/12	968,000		1,011,107
Liberty Property LP:
4.75% 10/1/20	17,245,000		17,608,576
5.125% 3/2/15	1,706,000		1,866,574
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Real Estate Management & Development - continued
Liberty Property LP: - continued
5.5% 12/15/16	$ 4,865,000		$ 5,377,406
6.375% 8/15/12	4,758,000		5,014,989
6.625% 10/1/17	12,549,000		14,599,808
Mack-Cali Realty LP 7.75% 8/15/19	1,973,000		2,431,328
Post Apartment Homes LP 6.3% 6/1/13	7,452,000		8,008,128
Reckson Operating Partnership LP 6% 3/31/16	1,066,000		1,159,226
Regency Centers LP:
4.95% 4/15/14	427,000		453,925
5.25% 8/1/15	1,490,000		1,623,903
5.875% 6/15/17	789,000		890,514
6.75% 1/15/12	5,098,000		5,273,886
Simon Property Group LP:
4.2% 2/1/15	5,265,000		5,671,674
5.1% 6/15/15	6,421,000		7,104,471
Tanger Properties LP:
6.125% 6/1/20	17,309,000		19,411,507
6.15% 11/15/15	9,801,000		11,006,464
			332,808,279
Thrifts & Mortgage Finance - 0.3%
Bank of America Corp.:
5.875% 1/5/21	40,155,000		42,821,372
6.5% 8/1/16	11,950,000		13,518,904
First Niagara Financial Group, Inc. 6.75% 3/19/20	12,844,000		14,356,612
			70,696,888
TOTAL FINANCIALS			2,167,825,544
HEALTH CARE - 0.3%
Biotechnology - 0.0%
Celgene Corp. 2.45% 10/15/15	1,728,000		1,715,926
Health Care Providers & Services - 0.2%
Coventry Health Care, Inc.:
5.95% 3/15/17	1,221,000		1,321,469
6.3% 8/15/14	2,529,000		2,724,479
Express Scripts, Inc.:
3.125% 5/15/16	19,250,000		19,456,784
5.25% 6/15/12	8,958,000		9,343,436
6.25% 6/15/14	3,291,000		3,719,669
Nonconvertible Bonds - continued
	Principal Amount		Value
HEALTH CARE - continued
Health Care Providers & Services - continued
Medco Health Solutions, Inc.:
2.75% 9/15/15	$ 3,314,000		$ 3,347,385
4.125% 9/15/20	11,062,000		10,956,247
			50,869,469
Pharmaceuticals - 0.1%
Novartis Capital Corp. 4.125% 2/10/14	2,049,000		2,210,205
Pfizer, Inc. 6.2% 3/15/19	10,000,000		11,803,180
Roche Holdings, Inc. 5% 3/1/14 (e)	2,579,000		2,832,784
Watson Pharmaceuticals, Inc. 5% 8/15/14	2,028,000		2,211,435
			19,057,604
TOTAL HEALTH CARE			71,642,999
INDUSTRIALS - 0.2%
Aerospace & Defense - 0.1%
BAE Systems Holdings, Inc.:
4.95% 6/1/14 (e)	1,610,000		1,734,145
6.375% 6/1/19 (e)	9,485,000		10,908,385
6.4% 12/15/11 (e)	1,011,000		1,042,782
			13,685,312
Airlines - 0.1%
Continental Airlines, Inc.:
6.545% 8/2/20	1,024,567		1,079,689
6.648% 3/15/19	3,634,594		3,843,583
6.795% 2/2/20	473,818		469,079
6.9% 7/2/19	1,068,974		1,134,502
U.S. Airways pass-thru trust certificates:
6.85% 7/30/19	4,365,390		4,190,775
8.36% 1/20/19	8,737,650		9,218,221
			19,935,849
Industrial Conglomerates - 0.0%
General Electric Co. 5.25% 12/6/17	8,512,000		9,570,986
Transportation Infrastructure - 0.0%
BNSF Funding Trust I 6.613% 12/15/55 (i)	2,599,000		2,699,711
TOTAL INDUSTRIALS			45,891,858
Nonconvertible Bonds - continued
	Principal Amount		Value
INFORMATION TECHNOLOGY - 0.1%
Electronic Equipment & Components - 0.1%
Tyco Electronics Group SA:
5.95% 1/15/14	$ 8,642,000		$ 9,561,033
6% 10/1/12	5,409,000		5,759,909
6.55% 10/1/17	3,075,000		3,647,519
			18,968,461
Office Electronics - 0.0%
Xerox Corp.:
4.25% 2/15/15	1,037,000		1,109,902
5.5% 5/15/12	2,235,000		2,332,788
			3,442,690
TOTAL INFORMATION TECHNOLOGY			22,411,151
MATERIALS - 0.4%
Chemicals - 0.3%
Dow Chemical Co.:
4.85% 8/15/12	17,906,000		18,722,693
7.6% 5/15/14	27,938,000		32,574,618
			51,297,311
Construction Materials - 0.0%
CRH America, Inc. 6% 9/30/16	2,557,000		2,839,495
Metals & Mining - 0.1%
Anglo American Capital PLC 9.375% 4/8/14 (e)	9,430,000		11,411,752
ArcelorMittal SA 3.75% 3/1/16	5,299,000		5,382,216
BHP Billiton Financial (USA) Ltd. 5.125% 3/29/12	1,381,000		1,435,007
Corporacion Nacional del Cobre (Codelco) 6.375% 11/30/12 (e)	2,818,000		3,016,641
Vale Overseas Ltd. 6.25% 1/23/17	3,240,000		3,705,034
			24,950,650
TOTAL MATERIALS			79,087,456
TELECOMMUNICATION SERVICES - 1.4%
Diversified Telecommunication Services - 1.0%
AT&T, Inc.:
2.5% 8/15/15	6,887,000		6,972,667
5.35% 9/1/40	20,000,000		19,075,720
6.3% 1/15/38	28,984,000		30,996,417
6.8% 5/15/36	7,223,000		8,132,795
Nonconvertible Bonds - continued
	Principal Amount		Value
TELECOMMUNICATION SERVICES - continued
Diversified Telecommunication Services - continued
BellSouth Capital Funding Corp. 7.875% 2/15/30	$ 3,658,000		$ 4,592,319
CenturyLink, Inc.:
6.15% 9/15/19	7,618,000		8,071,995
7.6% 9/15/39	12,718,000		13,007,920
Deutsche Telekom International Financial BV 5.875% 8/20/13	4,299,000		4,720,298
Sprint Capital Corp. 6.875% 11/15/28	4,047,000		3,930,446
Telecom Italia Capital SA:
4.95% 9/30/14	29,089,000		30,802,022
5.25% 10/1/15	4,673,000		4,952,670
6.999% 6/4/18	4,029,000		4,512,049
7.175% 6/18/19	1,468,000		1,666,641
Telefonica Emisiones SAU:
5.134% 4/27/20	1,471,000		1,502,756
5.462% 2/16/21	12,361,000		12,841,064
5.855% 2/4/13	1,120,000		1,197,880
6.421% 6/20/16	753,000		852,524
Verizon Communications, Inc.:
5.25% 4/15/13	3,032,000		3,265,864
6.1% 4/15/18	23,353,000		26,918,700
6.35% 4/1/19	7,155,000		8,378,863
6.9% 4/15/38	18,370,000		21,480,206
Verizon New York, Inc. 6.875% 4/1/12	3,703,000		3,890,875
			221,762,691
Wireless Telecommunication Services - 0.4%
America Movil SAB de CV 3.625% 3/30/15	2,060,000		2,167,233
DIRECTV Holdings LLC/DIRECTV Financing, Inc.:
4.75% 10/1/14	34,213,000		37,490,640
5.875% 10/1/19	16,408,000		18,343,488
6.35% 3/15/40	5,301,000		5,694,440
Sprint Nextel Corp. 6% 12/1/16	9,496,000		9,662,180
Vodafone Group PLC:
5% 12/16/13	3,204,000		3,495,007
5.5% 6/15/11	4,818,000		4,826,008
			81,678,996
TOTAL TELECOMMUNICATION SERVICES			303,441,687
Nonconvertible Bonds - continued
	Principal Amount		Value
UTILITIES - 1.9%
Electric Utilities - 1.2%
Alabama Power Co. 3.375% 10/1/20	$ 8,620,000		$ 8,399,069
Ameren Illinois Co. 6.125% 11/15/17	289,000		332,673
AmerenUE 6.4% 6/15/17	5,870,000		6,844,784
Cleveland Electric Illuminating Co. 5.65% 12/15/13	10,449,000		11,382,399
Commonwealth Edison Co. 1.625% 1/15/14	18,472,000		18,615,398
Duquesne Light Holdings, Inc.:
5.9% 12/1/21 (e)	11,880,000		12,017,048
6.4% 9/15/20 (e)	24,012,000		25,204,580
Edison International 3.75% 9/15/17	9,811,000		9,899,299
EDP Finance BV:
4.9% 10/1/19 (e)	9,000,000		8,110,080
6% 2/2/18 (e)	11,997,000		11,674,185
Enel Finance International SA 5.7% 1/15/13 (e)	581,000		618,904
FirstEnergy Corp. 7.375% 11/15/31	22,197,000		25,807,653
FirstEnergy Solutions Corp.:
4.8% 2/15/15	3,098,000		3,321,211
6.05% 8/15/21	11,010,000		12,106,959
Florida Power Corp. 5.65% 6/15/18	2,323,000		2,670,676
LG&E and KU Energy LLC:
2.125% 11/15/15 (e)	11,341,000		11,051,521
3.75% 11/15/20 (e)	2,232,000		2,128,759
Mid-American Energy Co. 5.65% 7/15/12	796,000		838,228
Nevada Power Co.:
6.5% 5/15/18	15,159,000		17,777,414
6.5% 8/1/18	1,094,000		1,284,191
Pennsylvania Electric Co. 6.05% 9/1/17	4,822,000		5,394,757
Pepco Holdings, Inc. 2.7% 10/1/15	10,408,000		10,476,495
Progress Energy, Inc. 4.4% 1/15/21	40,776,000		41,895,301
Public Service Co. of Colorado 6.25% 9/1/37	3,400,000		4,014,322
Sierra Pacific Power Co. 5.45% 9/1/13	2,177,000		2,370,333
			254,236,239
Gas Utilities - 0.0%
Southern Natural Gas Co. 5.9% 4/1/17 (e)	2,827,000		3,239,767
Independent Power Producers & Energy Traders - 0.3%
Duke Capital LLC 5.668% 8/15/14	8,362,000		9,309,415
Exelon Generation Co. LLC:
4% 10/1/20	19,101,000		18,376,213
5.35% 1/15/14	10,825,000		11,767,327
PPL Energy Supply LLC:
6.2% 5/15/16	2,207,000		2,482,244
Nonconvertible Bonds - continued
	Principal Amount		Value
UTILITIES - continued
Independent Power Producers & Energy Traders - continued
PPL Energy Supply LLC: - continued
6.3% 7/15/13	$ 5,310,000		$ 5,808,020
6.5% 5/1/18	6,905,000		7,870,105
			55,613,324
Multi-Utilities - 0.4%
Consolidated Edison Co. of New York, Inc. 5.7% 6/15/40	5,881,000		6,407,691
Dominion Resources, Inc.:
6.3% 9/30/66 (i)	12,205,000		12,082,950
7.5% 6/30/66 (i)	7,991,000		8,470,460
DTE Energy Co. 7.05% 6/1/11	4,051,000		4,051,000
MidAmerican Energy Holdings, Co. 5.875% 10/1/12	3,690,000		3,928,400
National Grid PLC 6.3% 8/1/16	17,348,000		20,031,493
NiSource Finance Corp.:
5.25% 9/15/17	590,000		645,373
5.4% 7/15/14	3,094,000		3,413,954
5.45% 9/15/20	1,330,000		1,424,614
6.25% 12/15/40	3,663,000		3,896,080
6.4% 3/15/18	9,293,000		10,662,054
6.8% 1/15/19	6,774,000		7,919,673
Wisconsin Energy Corp. 6.25% 5/15/67 (i)	13,102,000		13,265,775
			96,199,517
TOTAL UTILITIES			409,288,847
TOTAL NONCONVERTIBLE BONDS (Cost $3,820,358,178)		4,271,837,404
U.S. Government and Government Agency Obligations - 31.2%
U.S. Government Agency Obligations - 1.5%
Fannie Mae:
0.375% 12/28/12	14,630,000		14,635,574
0.75% 2/26/13	3,978,000		3,999,752
1.125% 6/27/14	14,275,000		14,346,875
1.25% 8/20/13	18,909,000		19,167,183
1.25% 2/27/14	7,770,000		7,857,428
2.5% 5/15/14	34,612,000		36,137,109
2.75% 3/13/14	46,642,000		49,063,559
U.S. Government and Government Agency Obligations - continued
	Principal Amount		Value
U.S. Government Agency Obligations - continued
Fannie Mae: - continued
5% 2/16/12	$ 4,391,000		$ 4,537,677
5% 2/13/17	12,300,000		14,136,870
5.375% 6/12/17	10,250,000		11,989,528
Federal Home Loan Bank 1.625% 3/20/13	2,970,000		3,032,628
Freddie Mac:
0.75% 3/28/13	8,570,000		8,614,898
1.125% 7/27/12	18,420,000		18,586,259
1.375% 2/25/14	29,604,000		30,009,752
1.75% 6/15/12	3,100,000		3,147,610
1.75% 9/10/15	38,164,000		38,510,453
2.125% 3/23/12	6,198,000		6,291,206
2.5% 4/23/14	25,290,000		26,422,183
3.75% 3/27/19	15,000,000		15,982,590
5.25% 7/18/11	13,288,000		13,378,186
U.S. Department of Housing and Urban Development Government guaranteed participation certificates Series 1996-A, 7.66% 8/1/15	17,165		17,255
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS			339,864,575
U.S. Treasury Inflation Protected Obligations - 5.0%
U.S. Treasury Inflation-Indexed Bonds:
2.125% 2/15/40	113,931,523		122,906,357
2.125% 2/15/41	11,211,119		12,071,546
2.5% 1/15/29	47,201,696		54,742,063
U.S. Treasury Inflation-Indexed Notes:
1.125% 1/15/21	566,272,035		586,184,579
1.375% 1/15/20	284,476,486		304,438,602
TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS			1,080,343,147
U.S. Treasury Obligations - 24.7%
U.S. Treasury Bonds 4.75% 2/15/41	880,543,000		961,442,849
U.S. Treasury Notes:
1% 5/15/14 (d)	886,048,000		891,931,359
1.25% 8/31/15	325,296,000		324,025,394
1.75% 5/31/16	444,977,000		446,298,582
1.875% 9/30/17	6,924,000		6,798,503
2.375% 8/31/14	100,000,000		104,726,600
2.375% 9/30/14	260,559,000		272,915,229
U.S. Government and Government Agency Obligations - continued
	Principal Amount		Value
U.S. Treasury Obligations - continued
U.S. Treasury Notes: - continued
2.375% 5/31/18	$ 252,427,000		$ 252,386,612
2.5% 3/31/15	200,000,000		210,188,000
2.625% 7/31/14	304,537,000		321,381,551
2.625% 12/31/14	348,703,000		368,208,748
3.125% 4/30/17	118,350,000		125,709,950
3.125% 5/15/21	253,225,000		254,807,656
3.25% 3/31/17	119,160,000		127,501,200
3.625% 2/15/21	387,049,000		407,006,021
4.25% 11/15/17	250,000,000		281,543,000
TOTAL U.S. TREASURY OBLIGATIONS			5,356,871,254
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $6,608,564,895)		6,777,078,976
U.S. Government Agency - Mortgage Securities - 10.0%
Fannie Mae - 7.4%
1.975% 10/1/33 (i)	149,198		153,828
2.01% 2/1/33 (i)	134,104		138,950
2.035% 3/1/35 (i)	111,784		116,214
2.042% 12/1/34 (i)	152,331		158,743
2.053% 10/1/33 (i)	64,018		66,905
2.065% 7/1/35 (i)	60,300		62,949
2.175% 3/1/35 (i)	25,150		26,399
2.457% 3/1/35 (i)	77,163		80,844
2.481% 10/1/35 (i)	232,655		240,387
2.534% 7/1/34 (i)	86,145		89,296
2.542% 7/1/35 (i)	342,529		358,439
2.554% 10/1/33 (i)	120,093		126,125
2.589% 6/1/36 (i)	252,034		263,088
2.59% 12/1/33 (i)	4,442,703		4,656,264
2.62% 11/1/36 (i)	862,487		904,419
2.711% 5/1/35 (i)	305,894		322,841
2.908% 9/1/36 (i)	1,307,216		1,382,141
3.472% 3/1/40 (i)	17,461,998		18,329,545
3.5% 11/1/25 to 10/1/40	75,127,442		74,657,003
3.533% 7/1/37 (i)	627,845		659,714
U.S. Government Agency - Mortgage Securities - continued
	Principal Amount		Value
Fannie Mae - continued
3.692% 5/1/40 (i)	$ 9,653,158		$ 10,175,307
3.697% 5/1/40 (i)	11,535,307		12,162,897
3.744% 1/1/40 (i)	9,077,831		9,580,498
3.793% 6/1/40 (i)	10,140,516		10,700,617
3.972% 11/1/39 (i)	8,779,271		9,303,350
4% 7/1/18 to 4/1/41	68,190,147		68,905,321
4% 6/1/41 (g)	104,000,000		104,723,642
4.5% 6/1/24 to 5/1/41 (g)	592,526,707		616,385,398
4.5% 6/1/26 (g)	5,000,000		5,300,981
4.5% 2/1/39 (g)	235,975		245,733
4.5% 6/1/40	645,723		671,620
5% 5/1/23 to 8/1/40	203,694,728		217,740,059
5% 6/1/41 (g)(h)	104,000,000		110,704,194
5.5% 9/1/17 to 3/1/40	73,965,961		80,455,743
6% 5/1/16 to 2/1/40	152,080,673		167,627,926
6% 6/1/41 (g)(h)	21,000,000		23,103,562
6% 6/1/41 (g)(h)	20,000,000		22,003,392
6% 6/1/41 (g)(h)	8,700,000		9,571,476
6% 6/1/41 (g)(h)	13,000,000		14,302,205
6.5% 4/1/13 to 1/1/36	1,084,120		1,172,898
7% 11/1/11 to 6/1/33	305,556		349,811
7.5% 8/1/13 to 8/1/29	322,881		365,429
8.5% 5/1/21 to 9/1/25	15,492		17,612
9.5% 2/1/25	2,024		2,211
10.5% 8/1/20	3,927		4,728
12.5% 12/1/13 to 4/1/15	3,631		4,004
TOTAL FANNIE MAE			1,598,374,708
Freddie Mac - 1.5%
2.155% 4/1/35 (i)	1,150,503		1,210,803
2.357% 3/1/36 (i)	187,806		194,035
2.499% 1/1/35 (i)	127,042		133,192
2.92% 11/1/35 (i)	447,418		473,259
2.942% 3/1/33 (i)	23,299		24,608
3.281% 10/1/35 (i)	363,175		387,122
3.801% 4/1/40 (i)	9,523,182		10,007,378
4.5% 7/1/25 to 4/1/41	22,716,958		23,681,397
4.5% 6/1/41 (g)	54,000,000		56,030,697
5% 3/1/19 to 9/1/40	61,803,140		65,986,282
5% 6/1/41 (g)	7,000,000		7,443,588
U.S. Government Agency - Mortgage Securities - continued
	Principal Amount		Value
Freddie Mac - continued
5% 6/1/41 (g)	$ 8,900,000		$ 9,463,990
5.5% 11/1/30 to 5/1/40	112,068,350		121,396,083
5.5% 6/1/41 (g)	18,000,000		19,493,035
6% 7/1/37 to 8/1/37	4,959,845		5,466,042
7% 7/1/11 to 3/1/12	3,027		3,057
7.5% 6/1/11 to 1/1/33	96,636		108,339
8.5% 9/1/24 to 8/1/27	16,169		18,692
11.5% 10/1/15	782		867
TOTAL FREDDIE MAC			321,522,466
Ginnie Mae - 1.1%
4% 1/15/25 to 10/20/25	41,331,826		43,656,540
4.5% 12/15/40 to 3/15/41	14,325,622		15,180,843
4.5% 6/1/41 (g)(h)	61,000,000		64,497,258
4.5% 6/1/41 (g)(h)	700,000		740,132
4.5% 6/1/41 (g)(h)	46,000,000		48,637,277
5% 6/1/41 (g)	20,000,000		21,658,018
5% 6/1/41 (g)	9,000,000		9,746,108
5% 6/1/41 (g)	18,000,000		19,492,216
5.5% 12/20/28 to 12/15/38	8,588,580		9,476,291
6% 7/20/36 to 12/20/37	5,316,688		5,887,817
6% 6/1/41 (g)	3,000,000		3,347,384
7% 1/15/28 to 11/15/32	2,529,763		2,908,654
7.5% 3/15/28 to 10/15/28	4,112		4,744
8% 7/15/17 to 11/15/17	569,188		628,350
8.5% 5/15/17 to 10/15/21	20,512		23,412
11% 7/20/19 to 8/20/19	1,007		1,224
TOTAL GINNIE MAE			245,886,268
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $2,136,552,726)		2,165,783,442
Asset-Backed Securities - 2.7%
Accredited Mortgage Loan Trust Series 2005-1 Class M1, 0.664% 4/25/35 (i)	1,343,782		941,094
ACE Securities Corp. Home Equity Loan Trust:
Series 2004-HE1:
Class M1, 0.944% 3/25/34 (i)	30,204		29,939
Class M2, 1.844% 3/25/34 (i)	420,000		337,840
Asset-Backed Securities - continued
	Principal Amount		Value
ACE Securities Corp. Home Equity Loan Trust: - continued
Series 2005-HE2 Class M2, 0.644% 4/25/35 (i)	$ 126,126		$ 121,444
Series 2006-OP1 Class M4, 0.564% 4/25/36 (i)	117,771		480
Advanta Business Card Master Trust Series 2007-D1 Class D, 1.5958% 1/22/13 (e)(i)	7,316,000		109,740
Airspeed Ltd. Series 2007-1A Class C1, 2.698% 6/15/32 (e)(i)	4,254,007		1,956,843
Ally Auto Receivables Trust:
Series 2009-A:
Class A3, 2.33% 6/17/13 (e)	5,210,000		5,260,923
Class A4, 3% 10/15/15 (e)	9,105,000		9,411,122
Series 2010-5 Class A4, 1.75% 3/15/16	7,090,000		7,114,341
Series 2011-1 Class A4, 2.23% 3/15/16	31,910,000		32,482,031
Ally Master Owner Trust:
Series 2010-3 Class A, 2.88% 4/15/15 (e)	13,770,000		14,186,391
Series 2011-1 Class A2, 2.15% 1/15/16	14,883,000		15,144,284
Series 2011-3 Class A2, 1.87% 5/15/16	15,410,000		15,446,657
AmeriCredit Automobile Receivables Trust Series 2011-1 Class A3, 1.39% 9/8/15	13,060,000		13,120,841
AmeriCredit Prime Automobile Receivables Trust Series 2007-1:
Class D, 5.62% 9/8/14	1,026,000		1,046,472
Class E, 6.96% 3/8/16 (e)	2,233,886		2,284,089
Ameriquest Mortgage Securities, Inc. pass-thru certificates:
Series 2003-10 Class M1, 0.894% 12/25/33 (i)	74,042		59,500
Series 2004-R2 Class M3, 0.744% 4/25/34 (i)	109,017		31,225
Series 2005-R2 Class M1, 0.644% 4/25/35 (i)	1,743,000		1,504,239
Argent Securities, Inc. pass-thru certificates:
Series 2003-W7 Class A2, 0.9926% 3/25/34 (i)	40,480		30,942
Series 2004-W11 Class M2, 0.894% 11/25/34 (i)	457,000		392,974
Series 2004-W7 Class M1, 0.744% 5/25/34 (i)	1,310,000		995,537
Series 2006-W4 Class A2C, 0.354% 5/25/36 (i)	1,124,082		343,707
Asset Backed Securities Corp. Home Equity Loan Trust:
Series 2004-HE2 Class M1, 1.019% 4/25/34 (i)	2,253,000		1,805,467
Series 2006-HE2 Class M1, 0.564% 3/25/36 (i)	183,085		2,887
Axon Financial Funding Ltd. 0.873% 4/4/17 (b)(e)(i)	6,174,000		62
Bank of America Auto Trust Series 2009-1A:
Class A3, 2.67% 7/15/13 (e)	5,974,201		6,018,706
Class A4, 3.52% 6/15/16 (e)	30,100,000		31,051,392
Bear Stearns Asset Backed Securities I Trust Series 2005-HE2 Class M2, 0.944% 2/25/35 (i)	1,257,000		835,637
Asset-Backed Securities - continued
	Principal Amount		Value
BMW Vehicle Lease Trust:
Series 2009-1 Class A3, 2.91% 3/15/12	$ 1,133,958		$ 1,136,186
Series 2010-1 Class A3, 0.82% 4/15/13	20,570,000		20,605,002
Series 2011-1 Class A4, 1.4% 8/20/14	20,280,000		20,418,888
Brazos Higher Education Authority, Inc. Series 2006-2 Class A9, 0.318% 12/25/24 (i)	1,361,445		1,232,107
C-BASS Trust Series 2006-CB7 Class A2, 0.254% 10/25/36 (i)	52,525		52,203
Capital Auto Receivables Asset Trust:
Series 2006-2 Class C, 5.31% 6/15/12	909,322		916,948
Series 2007-1 Class C, 5.38% 11/15/12	506,000		520,331
Capital Auto Receivables Trust Series 2007-2 Class A4A, 5.39% 2/18/14	2,419,253		2,446,158
Capital One Auto Finance Trust Series 2007-C Class A4, 5.23% 7/15/14 (FGIC Insured)	4,330,288		4,432,053
Capital One Multi-Asset Execution Trust:
Series 2008-A3 Class A3, 5.05% 2/15/16	13,676,000		14,749,606
Series 2009-A2 Class A2, 3.2% 4/15/14	26,000,000		26,028,709
Capital Trust Ltd. Series 2004-1 Class A2, 0.6458% 7/20/39 (e)(i)	238,785		191,028
CarMax Auto Owner Trust Series 2007-2 Class C, 5.61% 11/15/13	846,000		852,053
Carmax Auto Owner Trust Series 2011-1 Class A3, 1.29% 9/15/15	15,090,000		15,168,391
Carrington Mortgage Loan Trust:
Series 2006-FRE1 Class M1, 0.494% 7/25/36 (i)	931,000		38,425
Series 2006-NC4 Class M1, 0.494% 10/25/36 (i)	195,000		13,456
Series 2007-RFC1 Class A3, 0.334% 12/25/36 (i)	1,471,000		515,594
Chase Issuance Trust Series 2007-A17 Class A, 5.12% 10/15/14	7,400,000		7,857,659
Chrysler Financial Auto Securitization Trust Series 2010-A Class A3, 0.91% 8/8/13	25,040,000		25,081,369
Citibank Credit Card Issuance Trust:
Series 2009-A3 Class A3, 2.7% 6/24/13	18,000,000		18,025,205
Series 2009-A5 Class A5, 2.25% 12/23/14	48,200,000		49,380,187
Citigroup Mortgage Loan Trust Series 2007-AMC4 Class M1, 0.464% 5/25/37 (i)	624,000		35,632
Countrywide Asset-Backed Certificates Trust:
Series 2007-11 Class 2A1, 0.254% 6/25/47 (i)	45,537		44,831
Series 2007-4 Class A1A, 0.3326% 9/25/37 (i)	382,877		368,377
Countrywide Home Loan Trust Series 2006-13 Class N, 7% 8/25/37 (e)	1,245,451		0
Countrywide Home Loans, Inc.:
Series 2004-3 Class M4, 1.164% 4/25/34 (i)	131,909		63,773
Asset-Backed Securities - continued
	Principal Amount		Value
Countrywide Home Loans, Inc.: - continued
Series 2004-4 Class M2, 0.989% 6/25/34 (i)	$ 496,195		$ 277,989
Series 2005-3 Class MV1, 0.614% 8/25/35 (i)	602,305		578,844
Series 2005-AB1 Class A2, 0.404% 8/25/35 (i)	61,388		60,745
CPS Auto Receivables Trust Series 2006-D Class A4, 5.115% 8/15/13 (FSA Insured) (e)	301,862		303,305
Fannie Mae subordinate REMIC pass-thru certificates Series 2004-T5 Class AB3, 0.7199% 5/28/35 (i)	31,732		22,502
Fieldstone Mortgage Investment Corp.:
Series 2004-3 Class M5, 2.369% 8/25/34 (i)	160,000		92,664
Series 2006-3 Class 2A3, 0.354% 11/25/36 (i)	5,169,000		2,083,866
First Franklin Mortgage Loan Trust Series 2004-FF2 Class M3, 1.019% 3/25/34 (i)	19,703		7,699
Ford Credit Auto Owner Trust:
Series 2006-C:
Class B, 5.3% 6/15/12	538,688		542,161
Class D, 6.89% 5/15/13 (e)	2,923,000		2,954,009
Series 2007-A Class D, 7.05% 12/15/13 (e)	1,553,000		1,600,122
Series 2009-D:
Class A3, 2.17% 10/15/13	4,810,453		4,856,037
Class A4, 2.98% 8/15/14	5,800,000		5,997,324
Series 2010-B Class A3, 0.98% 10/15/14	14,330,000		14,394,524
Ford Credit Floorplan Master Owner Trust:
Series 2006-4 Class B, 0.748% 6/15/13 (i)	635,000		634,558
Series 2010-5 Class A1, 1.5% 9/15/15	14,820,000		14,894,113
Franklin Auto Trust:
Series 2006-1 Class B, 5.14% 7/21/14	31,494		31,550
Series 2007-1:
Class A4, 5.03% 2/16/15	122,693		122,776
Class C, 5.43% 2/16/15	535,000		535,755
Fremont Home Loan Trust:
Series 2005-A:
Class M3, 0.684% 1/25/35 (i)	801,000		391,871
Class M4, 0.874% 1/25/35 (i)	296,000		93,115
Series 2006-D Class M1, 0.424% 11/25/36 (i)	203,468		6,642
GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 0.6368% 2/25/47 (e)(i)	2,392,000		1,411,280
GCO Slims Trust Series 2006-1A, 5.72% 3/1/22 (e)	1,620,808		1,290,163
GE Business Loan Trust:
Series 2003-1 Class A, 0.628% 4/15/31 (e)(i)	196,381		183,617
Series 2006-2A:
Class A, 0.378% 11/15/34 (e)(i)	1,979,300		1,642,819
Class B, 0.478% 11/15/34 (e)(i)	715,587		465,132
Asset-Backed Securities - continued
	Principal Amount		Value
GE Business Loan Trust: - continued
Series 2006-2A:
Class C, 0.578% 11/15/34 (e)(i)	$ 1,186,960		$ 593,480
Class D, 0.948% 11/15/34 (e)(i)	451,215		112,804
Goal Capital Funding Trust Series 2007-1 Class C1, 0.708% 6/25/42 (i)	643,000		623,493
GS Auto Loan Trust Series 2007-1 Class B, 5.53% 12/15/14	23,272		23,741
GSAMP Trust:
Series 2004-AR1:
Class B4, 5% 6/25/34 (e)(i)	407,821		112,426
Class M1, 0.844% 6/25/34 (i)	2,313,000		1,559,975
Series 2007-HE1 Class M1, 0.444% 3/25/47 (i)	931,000		54,532
Guggenheim Structured Real Estate Funding Ltd. Series 2006-3:
Class B, 0.594% 9/25/46 (e)(i)	361,000		187,720
Class C, 0.744% 9/25/46 (e)(i)	1,245,000		249,000
Home Equity Asset Trust:
Series 2003-2 Class M1, 1.514% 8/25/33 (i)	368,076		262,796
Series 2003-3 Class M1, 1.484% 8/25/33 (i)	629,793		515,177
Series 2003-5 Class A2, 0.894% 12/25/33 (i)	27,804		19,418
Series 2005-5 Class 2A2, 0.444% 11/25/35 (i)	56,073		55,434
Series 2006-1 Class 2A3, 0.419% 4/25/36 (i)	903,628		883,449
Series 2006-8 Class 2A1, 0.244% 3/25/37 (i)	3,179		3,143
Honda Auto Receivables Owner Trust:
Series 2009-3 Class A3, 2.31% 5/15/13	5,327,282		5,373,308
Series 2011-1 Class A4, 1.8% 4/17/17	10,400,000		10,547,599
HSBC Home Equity Loan Trust Series 2006-2 Class M2, 0.4858% 3/20/36 (i)	588,917		500,253
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.384% 1/25/37 (i)	1,292,000		597,931
Hyundai Auto Receivables Trust Series 2009-A Class A3, 2.03% 8/15/13	5,748,647		5,793,407
John Deere Owner Trust Series 2011-A Class A4, 1.96% 4/16/18	8,830,000		8,958,334
JPMorgan Mortgage Acquisition Trust:
Series 2006-NC2 Class M2, 0.494% 7/25/36 (i)	178,000		6,440
Series 2007-CH1:
Class AV4, 0.324% 11/25/36 (i)	1,255,000		1,068,436
Class MV1, 0.424% 11/25/36 (i)	1,020,000		667,353
Series 2007-CH3 Class M1, 0.494% 3/25/37 (i)	499,000		26,123
Keycorp Student Loan Trust:
Series 1999-A Class A2, 0.6385% 12/27/29 (i)	598,766		514,936
Series 2006-A Class 2C, 1.4585% 3/27/42 (i)	2,867,000		578,003
Asset-Backed Securities - continued
	Principal Amount		Value
Long Beach Auto Receivables Trust Series 2007-A Class A4, 5.025% 1/15/14 (FSA Insured)	$ 1,261,386		$ 1,271,668
Long Beach Mortgage Loan Trust Series 2004-2 Class M2, 1.274% 6/25/34 (i)	75,008		53,115
Marriott Vacation Club Owner Trust Series 2006-2A:
Class B, 5.442% 10/20/28 (e)	18,907		19,529
Class C, 5.691% 10/20/28 (e)	8,436		8,685
Class D, 6.01% 10/20/28 (e)	100,936		103,373
MASTR Asset Backed Securities Trust:
Series 2006-AM3 Class M1, 0.454% 10/25/36 (i)	450,000		25,954
Series 2007-HE1 Class M1, 0.494% 5/25/37 (i)	641,000		34,066
Mercedes-Benz Auto Lease Trust Series 2011-1A Class A3 1.18% 11/15/13 (e)	38,910,000		39,121,095
Meritage Mortgage Loan Trust Series 2004-1 Class M1, 0.944% 7/25/34 (i)	157,112		102,104
Merrill Auto Trust Securitization Series 2007-1 Class B, 5.79% 12/15/13	25,549		25,578
Merrill Lynch Mortgage Investors Trust:
Series 2003-OPT1 Class M1, 1.169% 7/25/34 (i)	535,260		366,291
Series 2006-FM1 Class A2B, 0.304% 4/25/37 (i)	1,659,566		1,428,810
Series 2006-MLN1 Class A2A, 0.264% 7/25/37 (i)	8,749		8,685
Series 2006-OPT1 Class A1A, 0.454% 6/25/35 (i)	2,700,554		2,161,164
Morgan Stanley ABS Capital I Trust:
Series 2004-HE6 Class A2, 0.534% 8/25/34 (i)	48,462		38,743
Series 2005-NC1 Class M1, 0.634% 1/25/35 (i)	326,000		221,248
Series 2005-NC2 Class B1, 1.364% 3/25/35 (i)	339,222		47,650
Series 2007-HE2 Class M1, 0.444% 1/25/37 (i)	229,000		6,429
National Collegiate Student Loan Trust:
Series 2004-2 Class AIO, 9.75% 10/27/14 (k)	12,226,200		1,406,013
Series 2006-2 Class AIO, 6% 8/25/11 (k)	9,435,640		90,658
Series 2006-3 Class AIO, 7.1% 1/25/12 (k)	53,858,349		1,750,396
Series 2006-4:
Class A1, 0.224% 3/25/25 (i)	56,414		56,222
Class AIO, 6.35% 2/27/12 (k)	42,154,000		1,624,388
Class D, 1.294% 5/25/32 (i)	2,193,000		16,430
Series 2007-1 Class AIO, 7.27% 4/25/12 (k)	50,293,000		2,891,848
Series 2007-2 Class AIO, 6.7% 7/25/12 (k)	37,116,000		2,527,384
New Century Home Equity Loan Trust:
Series 2005-4 Class M2, 0.704% 9/25/35 (i)	1,164,000		752,769
Series 2005-D Class M2, 0.664% 2/25/36 (i)	704,000		206,650
Nissan Auto Lease Trust:
Series 2009-A Class A3, 2.92% 12/15/11	766,454		767,166
Series 2009-B Class A3, 2.07% 1/15/15	6,067,893		6,082,938
Asset-Backed Securities - continued
	Principal Amount		Value
Nissan Auto Receivables Owner Trust:
Series 2010-A Class A4, 1.31% 9/15/16	$ 8,720,000		$ 8,746,223
Series 2011-A Class A4, 1.94% 9/15/17	21,550,000		21,858,430
Ocala Funding LLC:
Series 2005-1A Class A, 1.6958% 3/20/10 (b)(e)(i)	317,000		0
Series 2006-1A Class A, 1.5958% 3/20/11 (b)(e)(i)	962,000		0
Option One Mortgage Loan Trust:
Series 2007-5 Class 2A1, 0.284% 5/25/37 (i)	33,104		32,459
Series 2007-6 Class 2A1, 0.254% 7/25/37 (i)	74,193		72,448
Park Place Securities, Inc.:
Series 2004-WCW1:
Class M3, 1.444% 9/25/34 (i)	435,000		266,191
Class M4, 1.644% 9/25/34 (i)	558,000		175,779
Series 2005-WCH1:
Class M2, 0.714% 1/25/36 (i)	2,176,000		2,039,748
Class M3, 0.754% 1/25/36 (i)	391,000		270,167
Class M4, 1.024% 1/25/36 (i)	1,245,000		656,193
Series 2005-WHQ2 Class M7, 1.444% 5/25/35 (i)	1,616,000		21,725
Residential Asset Mortgage Products, Inc. Series 2006-EFC2 Class M1, 0.424% 12/25/36 (i)	515,000		16,463
Residential Asset Securities Corp. Series 2007-KS2 Class AI1, 0.264% 2/25/37 (i)	16,050		15,931
Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 0.994% 4/25/33 (i)	4,173		3,520
Saxon Asset Securities Trust Series 2004-1 Class M1, 0.989% 3/25/35 (i)	1,212,097		966,546
Securitized Asset Backed Receivables LLC Trust:
Series 2005-FR4 Class B3, 1.914% 1/25/36 (i)	43,087		356
Series 2006-FR4 Class A2A, 0.274% 8/25/36 (i)	41,132		14,959
Series 2007-NC1 Class A2A, 0.244% 12/25/36 (i)	11,134		10,743
Sierra Receivables Funding Co. Series 2007-1A Class A2, 0.363% 3/20/19 (FGIC Insured) (e)(i)	571,648		544,737
SLM Private Credit Student Loan Trust Series 2004-A Class C, 1.2595% 6/15/33 (i)	1,043,000		171,000
Specialty Underwriting & Residential Finance Trust Series 2006-AB2 Class N1, 5.75% 6/25/37 (e)	571,164		0
Structured Asset Investment Loan Trust Series 2004-8 Class M5, 1.344% 9/25/34 (i)	38,445		17,065
SVO VOI Mortgage Corp. Series 2006-AA Class A, 5.28% 2/20/24 (e)	667,659		684,351
Terwin Mortgage Trust Series 2003-4HE Class A1, 1.054% 9/25/34 (i)	115,176		90,009
Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 0.8568% 4/6/42 (e)(i)	2,337,934		70,138
Asset-Backed Securities - continued
	Principal Amount		Value
Volkswagen Auto Lease Trust Series 2009-A Class A3, 3.41% 4/16/12	$ 6,361,280		$ 6,387,003
WaMu Asset Holdings Corp. Series 2006-8 Class N1, 6.048% 10/25/46 (e)	749,203		0
WaMu Master Note Trust Series 2006-C2A Class C2, 0.698% 8/15/15 (e)(i)	7,241,000		7,232,829
Wells Fargo Home Equity Trust Series 2004-3 Class A, 4.5% 11/27/34 (e)	6,399		0
Whinstone Capital Management Ltd. Series 1A Class B3, 2.0738% 10/25/44 (e)(i)	1,459,789		861,275
TOTAL ASSET-BACKED SECURITIES (Cost $558,587,734)		582,048,207
Collateralized Mortgage Obligations - 0.7%
Private Sponsor - 0.7%
Banc of America Commercial Mortgage Trust Series 2007-2:
Class B, 5.6578% 4/10/49 (i)	824,000		547,606
Class C, 5.8361% 4/10/49 (i)	2,198,000		1,244,595
Class D, 5.8361% 4/10/49 (i)	1,100,000		476,301
Banc of America Mortgage Securities, Inc.:
Series 2003-L Class 2A1, 2.9037% 1/25/34 (i)	1,341,615		1,261,064
Series 2004-1 Class 2A2, 3.2308% 10/25/34 (i)	1,211,022		1,094,188
Series 2004-A Class 2A2, 2.8609% 2/25/34 (i)	597,247		531,669
Series 2004-B:
Class 1A1, 2.7465% 3/25/34 (i)	120,314		108,897
Class 2A2, 2.8678% 3/25/34 (i)	843,632		802,908
Series 2004-D Class 2A2, 2.8778% 5/25/34 (i)	1,537,498		1,408,446
Series 2004-G Class 2A7, 3.021% 8/25/34 (i)	1,441,172		1,294,825
Series 2004-H Class 2A1, 3.1658% 9/25/34 (i)	1,258,290		1,127,151
Bayview Commercial Asset Trust Series 2006-3A Class IO, 3.2127% 10/25/36 (e)(i)(k)	21,735,638		1,488,891
BCAP LLC Trust sequential payer Series 2010-RR12 Class 3A5, 5% 8/26/37 (e)	11,798,893		12,046,038
Bear Stearns ALT-A Trust floater Series 2005-1 Class A1, 0.754% 1/25/35 (i)	1,784,192		1,431,629
Bear Stearns Commercial Mortgage Securities Trust Series 2006-T24 Class X2, 0.6062% 10/12/41 (e)(i)(k)	3,211,283		33,143
Chase Mortgage Finance Trust:
Series 2007-A1 Class 1A5, 2.938% 2/25/37 (i)	1,039,338		1,029,677
Series 2007-A2 Class 2A1, 3.0641% 7/25/37 (i)	838,736		836,989
Collateralized Mortgage Obligations - continued
	Principal Amount		Value
Private Sponsor - continued
Citigroup Commercial Mortgage Trust Series 2008-C7 Class A2B, 6.2942% 12/10/49 (i)	$ 1,734,000		$ 1,821,349
Citigroup Mortgage Loan Trust Series 2004-UST1 Class A4, 2.3824% 8/25/34 (i)	579,547		577,735
Cobalt CMBS Commercial Mortgage Trust Series 2007-C2 Class B, 5.617% 4/15/47 (i)	1,937,000		755,430
COMM pass-thru certificates floater Series 2001-J2A Class A2F, 0.698% 7/16/34 (e)(i)	236,280		235,927
Credit Suisse First Boston Mortgage Securities Corp. floater Series 2007-AR7 Class 2A1, 2.8944% 11/25/34 (i)	3,551,764		3,314,670
First Horizon Mortgage pass-thru Trust Series 2004-AR5 Class 2A1, 2.8757% 10/25/34 (i)	673,314		647,219
Fosse Master Issuer PLC floater Series 2006-1A:
Class B2, 0.4355% 10/18/54 (e)(i)	972,367		970,668
Class C2, 0.7455% 10/18/54 (e)(i)	326,478		324,552
Class M2, 0.5255% 10/18/54 (e)(i)	559,052		557,756
Gracechurch Mortgage Financing PLC floater Series 2006-1 Class D2, 0.73% 11/20/56 (e)(i)	2,405,000		2,373,630
Granite Master Issuer PLC floater:
Series 2005-4 Class C2, 1.2958% 12/20/54 (i)	178,650		115,256
Series 2006-1A Class C2, 1.3958% 12/20/54 (e)(i)	5,526,000		3,591,900
Series 2006-2 Class C1, 0.6658% 12/20/54 (i)	4,563,000		2,965,950
Series 2006-3 Class C2, 0.6958% 12/20/54 (i)	922,000		599,300
Series 2006-4:
Class B1, 0.2858% 12/20/54 (i)	3,812,000		3,278,320
Class C1, 0.5758% 12/20/54 (i)	2,331,000		1,515,150
Class M1, 0.3658% 12/20/54 (i)	1,006,000		769,590
Series 2007-1:
Class 1C1, 0.7958% 12/20/54 (i)	1,847,000		1,200,550
Class 1M1, 0.4958% 12/20/54 (i)	1,238,000		947,070
Class 2C1, 1.1558% 12/20/54 (i)	842,000		547,300
Class 2M1, 0.6958% 12/20/54 (i)	1,589,000		1,215,585
Series 2007-2 Class 2C1, 0.6271% 12/17/54 (i)	2,199,000		1,429,350
Granite Mortgages PLC floater Series 2003-3 Class 1C, 2.724% 1/20/44 (i)	365,737		281,618
GSR Mortgage Loan Trust Series 2007-AR2 Class 2A1, 2.7448% 4/25/35 (i)	386,256		332,553
Harborview Mortgage Loan Trust floater Series 2005-2 Class 2A1A, 0.417% 5/19/35 (i)	303,376		201,565
Collateralized Mortgage Obligations - continued
	Principal Amount		Value
Private Sponsor - continued
JPMorgan Chase Commercial Mortgage Securities Trust Series 2007-CB18:
Class A1, 5.32% 6/12/47 (i)	$ 41,170		$ 41,485
Class A3, 5.447% 6/12/47 (i)	3,289,000		3,440,586
JPMorgan Mortgage Trust:
sequential payer Series 2006-A5 Class 3A5, 5.8553% 8/25/36 (i)	1,135,000		915,259
Series 2004-A3 Class 4A1, 4.2606% 7/25/34 (i)	679,919		658,583
Series 2004-A5 Class 2A1, 2.6036% 12/25/34 (i)	549,068		521,636
Series 2006-A2 Class 5A1, 2.9729% 11/25/33 (i)	1,468,806		1,407,620
Series 2007-A1 Class 1A1, 3.0062% 7/25/35 (i)	2,628,522		2,516,920
LB-UBS Commercial Mortgage Trust sequential payer Series 2006-C6 Class A4, 5.372% 9/15/39	780,000		855,392
MASTR Adjustable Rate Mortgages Trust Series 2007-3 Class 22A2, 0.404% 5/25/47 (i)	794,421		561,176
MASTR Asset Backed Securities Trust Series 2006-NC3 Class M1, 0.424% 10/25/36 (i)	92,639		135
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.364% 2/25/37 (i)	1,473,708		1,025,141
Merrill Lynch Floating Trust floater Series 2006-1:
Class B, 0.368% 6/15/22 (e)(i)	153,000		149,175
Class C, 0.388% 6/15/22 (e)(i)	1,288,000		1,210,720
Class D, 0.398% 6/15/22 (e)(i)	496,000		463,760
Class E, 0.408% 6/15/22 (e)(i)	792,000		732,600
Class F, 0.438% 6/15/22 (e)(i)	1,268,000		1,160,220
Class G, 0.508% 6/15/22 (e)(i)	219,000		196,005
Class H, 0.528% 6/15/22 (e)(i)	595,000		522,113
Class J, 0.568% 6/15/22 (e)(i)	694,000		602,045
Merrill Lynch Mortgage Investors Trust:
Series 2004-A4 Class A1, 2.7498% 8/25/34 (i)	940,750		899,231
Series 2005-A2 Class A7, 2.6245% 2/25/35 (i)	616,875		579,169
Series 2006-A6 Class A4, 3.1889% 10/25/33 (i)	630,976		604,461
Merrill Lynch-CFC Commercial Mortgage Trust Series 2006-3 Class ASB, 5.382% 7/12/46 (i)	7,424,000		7,802,527
Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 0.484% 7/25/35 (i)	1,842,349		1,477,461
Option One Mortgage Loan Trust floater Series 2007-CP1 Class M1, 0.494% 3/25/37 (i)	2,543,000		170,877
Provident Funding Mortgage Loan Trust Series 2005-2 Class 3A, 2.8085% 10/25/35 (i)	3,671,090		3,153,731
Collateralized Mortgage Obligations - continued
	Principal Amount		Value
Private Sponsor - continued
RESI Finance LP/RESI Finance DE Corp. floater Series 2003-B:
Class B5, 2.5539% 7/10/35 (e)(i)	$ 1,338,705		$ 1,092,651
Class B6, 3.0539% 7/10/35 (e)(i)	1,250,603		963,464
Residential Asset Mortgage Products, Inc. sequential payer:
Series 2003-SL1 Class A31, 7.125% 4/25/31	834,637		889,932
Series 2004-SL3 Class A1, 7% 8/25/16	46,569		47,321
Residential Funding Securities Corp. floater Series 2003-RP2 Class A1, 0.644% 6/25/33 (e)(i)	338,505		312,351
Salomon Brothers Mortgage Securities VII, Inc. Series 2006-C2 Class H, 6.308% 7/18/33 (e)	245,000		85,750
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 0.8997% 7/20/34 (i)	31,035		22,973
Structured Asset Securities Corp.:
Series 2003-15A Class 4A, 5.3739% 4/25/33 (i)	284,078		273,674
Series 2003-20 Class 1A1, 5.5% 7/25/33	204,773		208,430
TBW Mortgage-Backed pass-thru certificates floater Series 2006-4 Class A3, 0.4126% 9/25/36 (i)	2,763,000		1,965,833
Thornburg Mortgage Securities Trust floater:
Series 2006-4 Class A2B, 0.3326% 7/25/36 (i)	20,593,625		20,524,657
Series 2006-5 Class A1, 0.314% 10/25/46 (i)	7,489,488		7,445,076
WaMu Mortgage pass-thru certificates:
Series 2003-AR8 Class A, 2.7161% 8/25/33 (i)	471,823		462,701
Series 2005-AR14 Class 1A1, 2.6717% 12/25/35 (i)	1,726,982		1,674,962
Series 2005-AR3 Class A2, 2.5752% 3/25/35 (i)	1,276,616		1,144,907
Wells Fargo Mortgage Backed Securities Trust:
Series 2004-EE Class 2A2, 2.845% 12/25/34 (i)	2,972,214		2,965,786
Series 2004-H Class A1, 4.4817% 6/25/34 (i)	469,722		460,321
Series 2004-V Class 1A2, 2.8579% 10/25/34 (i)	1,301,759		1,277,735
Series 2004-W Class A9, 2.7613% 11/25/34 (i)	1,444,569		1,400,615
Series 2005-AR10 Class 2A2, 2.8082% 6/25/35 (i)	917,715		891,106
Series 2005-AR12:
Class 2A5, 2.7836% 7/25/35 (i)	10,854,601		10,288,359
Class 2A6, 2.7836% 7/25/35 (i)	1,834,023		1,737,730
Series 2005-AR2 Class 2A2, 2.7435% 3/25/35 (i)	2,373,316		2,193,615
Series 2005-AR3 Class 2A1, 2.8729% 3/25/35 (i)	1,512,010		1,385,065
Series 2006-AR8 Class 3A1, 2.7717% 4/25/36 (i)	8,825,682		7,536,131
TOTAL PRIVATE SPONSOR			156,253,183
Collateralized Mortgage Obligations - continued
	Principal Amount		Value
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	$ 180,882		$ 196,857
sequential payer:
Series 2002-56 Class MC, 5.5% 9/25/17	602,756		653,752
Series 2004-86 Class KC, 4.5% 5/25/19	450,072		472,596
Freddie Mac Multi-class participation certificates guaranteed planned amortization class:
Series 2356 Class GD, 6% 9/15/16	622,767		674,554
Series 2363 Class PF, 6% 9/15/16	783,081		848,223
Series 2425 Class JH, 6% 3/15/17	630,948		689,859
TOTAL U.S. GOVERNMENT AGENCY			3,535,841
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $117,266,555)		159,789,024
Commercial Mortgage Securities - 6.0%
Asset Securitization Corp. Series 1997-D5:
Class A2, 7.0825% 2/14/43 (i)	1,275,000		1,340,329
Class A3, 7.1325% 2/14/43 (i)	1,377,000		1,471,326
Class A6, 7.4525% 2/14/43 (i)	2,029,000		2,143,807
Class PS1, 1.4533% 2/14/43 (i)(k)	5,022,108		102,867
Banc of America Commercial Mortgage Trust:
sequential payer:
Series 2006-2 Class AAB, 5.9114% 5/10/45 (i)	2,024,000		2,159,956
Series 2006-5:
Class A2, 5.317% 9/10/47	7,669,987		7,824,939
Class A3, 5.39% 9/10/47	2,418,000		2,515,752
Series 2006-6 Class A3, 5.369% 10/10/45	3,468,000		3,664,721
Series 2007-4 Class A3, 5.9998% 2/10/51 (i)	1,729,000		1,849,934
Series 2006-6 Class E, 5.619% 10/10/45 (e)	1,002,000		200,400
Series 2007-3:
Class A3, 5.8018% 6/10/49 (i)	2,896,000		3,061,201
Class A4, 5.8018% 6/10/49 (i)	3,615,000		3,932,722
Banc of America Commercial Mortgage, Inc.:
sequential payer:
Series 2001-1 Class A4, 5.451% 1/15/49	3,797,000		4,107,259
Series 2004-2:
Class A3, 4.05% 11/10/38	317,129		321,320
Class A4, 4.153% 11/10/38	2,199,000		2,293,734
Commercial Mortgage Securities - continued
	Principal Amount		Value
Banc of America Commercial Mortgage, Inc.: - continued
sequential payer:
Series 2004-6 Class A2, 4.161% 12/10/42	$ 1,778,524		$ 1,782,780
Series 2005-1 Class A3, 4.877% 11/10/42	1,510,740		1,510,693
Series 2001-3 Class H, 6.562% 4/11/37 (e)	969,000		974,174
Series 2001-PB1:
Class J, 7.166% 5/11/35 (e)	434,000		431,029
Class K, 6.15% 5/11/35 (e)	806,000		786,948
Series 2005-3 Series A3B, 5.09% 7/10/43 (i)	5,387,000		5,661,048
Banc of America Large Loan, Inc. floater:
Series 2005-MIB1:
Class C, 0.508% 3/15/22 (e)(i)	745,000		744,553
Class D, 0.558% 3/15/22 (e)(i)	754,000		753,472
Class E, 0.598% 3/15/22 (e)(i)	623,000		612,098
Class F, 0.668% 3/15/22 (e)(i)	502,000		489,450
Class G, 0.728% 3/15/22 (e)(i)	326,000		308,070
Series 2006-BIX1:
Class C, 0.378% 10/15/19 (e)(i)	1,114,000		1,080,580
Class D, 0.408% 10/15/19 (e)(i)	1,361,000		1,299,755
Class E, 0.438% 10/15/19 (e)(i)	1,261,000		1,185,340
Class F, 0.508% 10/15/19 (e)(i)	2,713,000		2,543,438
Class G, 0.528% 10/15/19 (e)(i)	1,026,000		902,880
Bayview Commercial Asset Trust:
floater:
Series 2003-2 Class M1, 1.044% 12/25/33 (e)(i)	41,055		30,190
Series 2004-1:
Class A, 0.554% 4/25/34 (e)(i)	1,085,911		950,169
Class B, 2.094% 4/25/34 (e)(i)	118,775		63,558
Class M1, 0.754% 4/25/34 (e)(i)	94,979		72,268
Class M2, 1.394% 4/25/34 (e)(i)	87,921		59,283
Series 2004-2:
Class A, 0.624% 8/25/34 (e)(i)	873,203		759,090
Class M1, 0.774% 8/25/34 (e)(i)	97,490		70,179
Series 2004-3:
Class A1, 0.564% 1/25/35 (e)(i)	2,021,102		1,792,499
Class A2, 0.614% 1/25/35 (e)(i)	283,049		249,272
Class M1, 0.694% 1/25/35 (e)(i)	340,609		240,131
Class M2, 1.194% 1/25/35 (e)(i)	154,876		104,789
Series 2005-2A:
Class A1, 0.504% 8/25/35 (e)(i)	1,524,690		1,257,244
Class M1, 0.624% 8/25/35 (e)(i)	71,885		46,804
Class M2, 0.674% 8/25/35 (e)(i)	118,446		70,415
Class M3, 0.694% 8/25/35 (e)(i)	65,758		37,387
Commercial Mortgage Securities - continued
	Principal Amount		Value
Bayview Commercial Asset Trust: - continued
floater:
Series 2005-2A:
Class M4, 0.804% 8/25/35 (e)(i)	$ 40,844		$ 22,034
Series 2005-3A:
Class A1, 0.514% 11/25/35 (e)(i)	537,438		447,223
Class A2, 0.594% 11/25/35 (e)(i)	550,459		460,118
Class M2, 0.684% 11/25/35 (e)(i)	54,328		32,241
Class M3, 0.704% 11/25/35 (e)(i)	48,940		27,950
Class M4, 0.794% 11/25/35 (e)(i)	60,613		30,569
Series 2005-4A:
Class A2, 0.584% 1/25/36 (e)(i)	1,263,911		1,067,349
Class B1, 1.594% 1/25/36 (e)(i)	73,654		25,815
Class M1, 0.644% 1/25/36 (e)(i)	407,555		263,950
Class M2, 0.664% 1/25/36 (e)(i)	82,493		50,263
Class M3, 0.694% 1/25/36 (e)(i)	178,735		100,334
Class M4, 0.804% 1/25/36 (e)(i)	66,780		34,323
Class M5, 0.844% 1/25/36 (e)(i)	66,780		31,755
Class M6, 0.894% 1/25/36 (e)(i)	70,708		29,566
Series 2006-1 Class A2, 0.554% 4/25/36 (e)(i)	191,813		158,983
Series 2006-2A:
Class A1, 0.424% 7/25/36 (e)(i)	3,726,790		2,965,705
Class A2, 0.474% 7/25/36 (e)(i)	171,663		134,899
Class B3, 2.894% 7/25/36 (e)(i)	65,698		20,076
Class M1, 0.504% 7/25/36 (e)(i)	180,141		117,901
Class M2, 0.524% 7/25/36 (e)(i)	85,832		52,464
Class M3, 0.544% 7/25/36 (e)(i)	71,526		42,993
Class M5, 0.664% 7/25/36 (e)(i)	59,340		33,211
Class M6, 0.734% 7/25/36 (e)(i)	88,481		37,281
Series 2006-3A:
Class B1, 0.994% 10/25/36 (e)(i)	79,297		10,265
Class B3, 2.794% 10/25/36 (e)(i)	92,931		4,982
Class M4, 0.624% 10/25/36 (e)(i)	87,544		29,765
Class M5, 0.674% 10/25/36 (e)(i)	104,672		31,402
Class M6, 0.754% 10/25/36 (e)(i)	303,232		66,711
Series 2006-4A:
Class A1, 0.424% 12/25/36 (e)(i)	683,428		553,577
Class A2, 0.464% 12/25/36 (e)(i)	3,610,464		2,671,744
Class B1, 0.894% 12/25/36 (e)(i)	18,775		2,968
Class B2, 1.444% 12/25/36 (e)(i)	17,524		2,301
Class B3, 2.644% 12/25/36 (e)(i)	138,674		12,676
Class M1, 0.484% 12/25/36 (e)(i)	165,850		74,478
Class M2, 0.504% 12/25/36 (e)(i)	110,150		45,200
Class M3, 0.534% 12/25/36 (e)(i)	112,027		39,289
Class M4, 0.594% 12/25/36 (e)(i)	133,932		39,948
Commercial Mortgage Securities - continued
	Principal Amount		Value
Bayview Commercial Asset Trust: - continued
floater:
Series 2006-4A:
Class M5, 0.634% 12/25/36 (e)(i)	$ 123,292		$ 30,143
Class M6, 0.714% 12/25/36 (e)(i)	110,150		22,626
Series 2007-1:
Class A2, 0.464% 3/25/37 (e)(i)	773,877		514,628
Class B1, 0.864% 3/25/37 (e)(i)	195,123		29,268
Class B2, 1.344% 3/25/37 (e)(i)	140,224		16,126
Class B3, 3.544% 3/25/37 (e)(i)	389,340		21,414
Class M1, 0.464% 3/25/37 (e)(i)	171,973		70,509
Class M2, 0.484% 3/25/37 (e)(i)	128,979		43,853
Class M3, 0.514% 3/25/37 (e)(i)	53,576		16,609
Class M4, 0.564% 3/25/37 (e)(i)	39,025		10,146
Class M5, 0.614% 3/25/37 (e)(i)	142,870		31,431
Class M6, 0.694% 3/25/37 (e)(i)	200,414		38,079
Series 2007-2A:
Class A1, 0.464% 7/25/37 (e)(i)	1,474,004		1,092,866
Class A2, 0.514% 7/25/37 (e)(i)	1,380,917		878,578
Class B1, 1.794% 7/25/37 (e)(i)	373,117		35,416
Class B2, 2.444% 7/25/37 (e)(i)	323,881		21,675
Class B3, 3.544% 7/25/37 (e)(i)	363,885		17,880
Class M1, 0.564% 7/25/37 (e)(i)	423,122		146,652
Class M2, 0.604% 7/25/37 (e)(i)	220,793		59,344
Class M3, 0.684% 7/25/37 (e)(i)	223,101		45,539
Class M4, 0.844% 7/25/37 (e)(i)	464,665		77,335
Class M5, 0.944% 7/25/37 (e)(i)	410,813		60,884
Class M6, 1.194% 7/25/37 (e)(i)	521,594		64,420
Series 2007-3:
Class A2, 0.484% 7/25/37 (e)(i)	697,179		466,187
Class B1, 1.144% 7/25/37 (e)(i)	313,225		46,115
Class B2, 1.794% 7/25/37 (e)(i)	899,260		103,323
Class B3, 4.194% 7/25/37 (e)(i)	420,972		27,452
Class M1, 0.504% 7/25/37 (e)(i)	277,230		107,269
Class M2, 0.534% 7/25/37 (e)(i)	295,543		95,736
Class M3, 0.564% 7/25/37 (e)(i)	476,784		129,432
Class M4, 0.694% 7/25/37 (e)(i)	836,741		199,893
Class M5, 0.794% 7/25/37 (e)(i)	380,796		79,922
Class M6, 0.994% 7/25/37 (e)(i)	289,228		52,054
Series 2007-4A:
Class B1, 2.744% 9/25/37 (e)(i)	215,163		8,607
Class B2, 3.644% 9/25/37 (e)(i)	979,364		29,381
Class M1, 1.144% 9/25/37 (e)(i)	206,095		37,097
Class M2, 1.244% 9/25/37 (e)(i)	206,095		28,853
Class M4, 1.794% 9/25/37 (e)(i)	662,802		53,024
Commercial Mortgage Securities - continued
	Principal Amount		Value
Bayview Commercial Asset Trust: - continued
floater:
Series 2007-4A:
Class M5, 1.944% 9/25/37 (e)(i)	$ 662,802		$ 46,396
Class M6, 2.144% 9/25/37 (e)(i)	666,100		39,966
Series 2004-1 Class IO, 1.25% 4/25/34 (e)(k)	3,678,842		147,154
Series 2007-5A Class IO, 3.047% 10/25/37 (e)(i)(k)	8,932,457		964,705
Bear Stearns Commercial Mortgage Securities Trust:
floater:
Series 2006-BBA7:
Class G, 0.638% 3/15/19 (e)(i)	657,000		591,300
Class H, 0.848% 3/15/19 (e)(i)	442,000		375,700
Class J, 1.048% 3/15/19 (e)(i)	332,000		282,200
Series 2007-BBA8:
Class D, 0.448% 3/15/22 (e)(i)	554,000		505,278
Class E, 0.498% 3/15/22 (e)(i)	2,884,000		2,603,365
Class F, 0.548% 3/15/22 (e)(i)	1,770,000		1,564,042
Class G, 0.598% 3/15/22 (e)(i)	364,000		310,304
Class H, 0.748% 3/15/22 (e)(i)	554,000		460,560
Class J, 0.898% 3/15/22 (e)(i)	554,000		423,774
sequential payer:
2007-PW15 Class A4, 5.331% 2/11/44	10,000,000		10,732,909
Series 2003-PWR2 Class A3, 4.834% 5/11/39	387,000		391,263
Series 2004-PWR3 Class A3, 4.487% 2/11/41	681,121		699,428
Series 2007 PW17 Class A4, 5.694% 6/11/50	9,784,000		10,802,628
Series 2007-PW16 Class A4, 5.9055% 6/11/40 (i)	2,484,000		2,756,990
Series 2007-PW17 Class A1, 5.282% 6/11/50	559,740		572,056
Series 2007-PW18:
Class A2, 5.613% 6/11/50	605,000		623,550
Class A4, 5.7% 6/11/50	20,000,000		22,002,428
Series 2007-T26 Class A1, 5.145% 1/12/45	261,798		265,573
Series 2003-PWR2 Class X2, 0.6817% 5/11/39 (e)(i)(k)	12,236,446		19,073
Series 2003-T12 Class X2, 0.6284% 8/13/39 (e)(i)(k)	20,009,476		42,962
Series 2006-PW13 Class A3, 5.518% 9/11/41	6,120,000		6,380,867
Series 2006-PW14 Class X2, 0.8477% 12/11/38 (e)(i)(k)	19,766,134		319,856
Series 2006-T22 Class A4, 5.7046% 4/12/38 (i)	217,000		241,501
Series 2007-PW16:
Class B, 5.716% 6/11/40 (e)(i)	277,000		177,670
Class C, 5.716% 6/11/40 (e)(i)	231,000		125,002
Class D, 5.716% 6/11/40 (e)(i)	231,000		115,737
Commercial Mortgage Securities - continued
	Principal Amount		Value
Bear Stearns Commercial Mortgage Securities Trust: - continued
Series 2007-PW18 Class X2, 0.4827% 6/11/50 (e)(i)(k)	$ 151,203,462		$ 1,708,085
Series 2007-T28:
Class A1, 5.422% 9/11/42	150,271		151,562
Class X2, 0.3378% 9/11/42 (e)(i)(k)	74,495,119		534,793
C-BASS Trust floater Series 2006-SC1 Class A, 0.464% 5/25/36 (e)(i)	675,324		522,092
CDC Commercial Mortgage Trust Series 2002-FX1:
Class G, 6.625% 5/15/35 (e)	2,037,000		2,175,180
Class XCL, 2.4992% 5/15/35 (e)(i)(k)	13,628,312		284,939
Chase Commercial Mortgage Securities Corp. Series 2000-3 Class G 6.887% 10/15/32 (e)	2,735,502		2,732,897
Citigroup Commercial Mortgage Trust:
floater Series 2006-FL2:
Class F, 0.5071% 8/15/21 (e)(i)	619,000		614,238
Class G, 0.5271% 8/15/21 (e)(i)	462,000		460,136
Class H, 0.5671% 8/15/21 (e)(i)	368,000		361,823
Series 2006-C5 Class AMP2, 5.5005% 10/15/49 (e)	2,608,728		2,425,190
Series 2007-C6:
Class A1, 5.622% 12/10/49 (i)	5,144,288		5,137,278
Class A2, 5.8862% 12/10/49 (i)	2,250,000		2,314,962
Class A4, 5.8862% 12/10/49 (i)	6,296,000		6,983,743
Series 2007-FL3A Class A2, 0.338% 4/15/22 (e)(i)	3,443,000		3,263,968
Citigroup/Deutsche Bank Commercial Mortgage Trust:
sequential payer:
Series 2006-CD3 Class A3, 5.607% 10/15/48	6,300,000		6,549,779
Series 2007-CD4:
Class A2A, 5.237% 12/11/49	5,335,652		5,369,441
Class A4, 5.322% 12/11/49	29,121,000		31,089,387
Series 2007-CD4:
Class A3, 5.293% 12/11/49	1,688,000		1,750,282
Class C, 5.476% 12/11/49	3,265,000		1,142,750
Cobalt CMBS Commercial Mortgage Trust:
sequential payer Series 2007-C3 Class A3, 6.0102% 5/15/46 (i)	1,734,000		1,857,828
Series 2006-C1 Class B, 5.359% 8/15/48	5,202,000		2,496,960
COMM pass-thru certificates:
floater:
Series 2005-F10A:
Class B, 0.428% 4/15/17 (e)(i)	13,859,000		13,183,374
Class C, 0.468% 4/15/17 (e)(i)	1,395,000		1,313,044
Commercial Mortgage Securities - continued
	Principal Amount		Value
COMM pass-thru certificates: - continued
floater:
Series 2005-F10A:
Class D, 0.508% 4/15/17 (e)(i)	$ 802,000		$ 738,843
Class E, 0.568% 4/15/17 (e)(i)	247,000		222,609
Class F, 0.608% 4/15/17 (e)(i)	140,000		123,375
Class G, 0.748% 4/15/17 (e)(i)	140,000		119,175
Class H, 0.818% 4/15/17 (e)(i)	140,000		112,175
Class J, 1.048% 4/15/17 (e)(i)	108,000		75,735
Series 2005-FL11:
Class C, 0.498% 11/15/17 (e)(i)	1,323,234		1,280,229
Class D, 0.538% 11/15/17 (e)(i)	68,839		66,085
Class E, 0.588% 11/15/17 (e)(i)	244,095		231,890
Class F, 0.648% 11/15/17 (e)(i)	151,645		141,030
Class G, 0.698% 11/15/17 (e)(i)	105,420		95,405
Series 2006-CN2A:
Class A2FL, 0.4295% 2/5/19 (e)(i)	4,120,000		4,066,199
Class AJFL, 0.4695% 2/5/19 (i)	1,890,000		1,842,303
Series 2006-FL12 Class AJ, 0.328% 12/15/20 (e)(i)	2,471,000		2,298,030
sequential payer:
Series 2005-C6 Class A2, 4.999% 6/10/44 (i)	17,196		17,561
Series 2006-C8:
Class A3, 5.31% 12/10/46	4,941,000		5,149,817
Class A4, 5.306% 12/10/46	9,370,000		10,090,406
Series 2006-CN2A:
Class A2FX, 5.449% 2/5/19 (e)	3,071,000		3,074,839
Class AJFX, 5.478% 2/5/19 (e)	8,710,000		8,781,956
Series 2007-C9 Class A4, 6.0084% 12/10/49 (i)	3,836,000		4,277,243
Series 2006-C8 Class XP, 0.6858% 12/10/46 (i)(k)	17,356,977		185,876
Credit Suisse Commercial Mortgage Trust:
sequential payer:
Series 2006-C4 Class A3, 5.467% 9/15/39	4,618,000		5,006,460
Series 2007-C2:
Class A2, 5.448% 1/15/49 (i)	9,518,253		9,635,044
Class A3, 5.542% 1/15/49 (i)	3,468,000		3,696,331
Series 2007-C3 Class A4, 5.9052% 6/15/39 (i)	51,983,000		56,480,055
Series 2006-C4 Class AAB, 5.439% 9/15/39	9,869,000		10,267,355
Series 2006-C5 Class ASP, 0.8755% 12/15/39 (i)(k)	10,566,942		171,600
Series 2007-C5 Class A4, 5.695% 9/15/40 (i)	19,378,000		20,828,486
Credit Suisse First Boston Mortgage Capital Certificates floater Series 2007-TF2A Class B, 0.548% 4/15/22 (e)(i)	6,186,000		4,948,800
Commercial Mortgage Securities - continued
	Principal Amount		Value
Credit Suisse First Boston Mortgage Securities Corp.:
sequential payer:
Series 2001-CK6 Class B, 6.582% 8/15/36	$ 1,734,000		$ 1,756,037
Series 2002-CP5 Class A1, 4.106% 12/15/35	76,845		77,478
Series 2004-C1:
Class A3, 4.321% 1/15/37	236,768		239,015
Class A4, 4.75% 1/15/37	807,000		854,041
Series 2001-CK6 Class AX, 1.1234% 8/15/36 (i)(k)	3,515,213		7,596
Series 2001-CKN5 Class AX, 2.1724% 9/15/34 (e)(i)(k)	7,439,390		12,665
Series 2006-C1 Class A3, 5.711% 2/15/39 (i)	9,156,000		9,671,097
Credit Suisse Mortgage Capital Certificates:
floater Series 2007-TFL1:
Class B, 0.348% 2/15/22 (e)(i)	656,000		596,960
Class C:
0.368% 2/15/22 (e)(i)	1,521,000		1,368,900
0.468% 2/15/22 (e)(i)	543,000		466,980
Class F, 0.518% 2/15/22 (e)(i)	1,086,000		912,240
Series 2007-C1:
Class ASP, 0.61% 2/15/40 (i)(k)	27,085,393		284,375
Class B, 5.487% 2/15/40 (e)(i)	2,651,000		530,200
First Union National Bank-Bank of America Commercial Mortgage Trust Series 2001-C1:
Class D, 6.484% 3/15/33	593,609		594,853
Class G, 6.936% 3/15/33 (e)	1,141,000		1,132,791
GE Capital Commercial Mortgage Corp.:
sequential payer Series 2007-C1 Class A4, 5.543% 12/10/49	41,396,000		44,522,926
Series 2001-1 Class X1, 1.2156% 5/15/33 (e)(i)(k)	3,203,034		19,218
Series 2007-C1 Class XP, 0.3797% 12/10/49 (i)(k)	29,846,520		149,283
GMAC Commercial Mortgage Securities, Inc.:
Series 2004-C3 Class X2, 0.7915% 12/10/41 (i)(k)	16,451,905		41,811
Series 2005-C1 Class X2, 0.7311% 5/10/43 (i)(k)	6,602,309		38,684
Greenwich Capital Commercial Funding Corp.:
floater Series 2006-FL4 Class B, 0.3995% 11/5/21 (e)(i)	652,000		600,754
sequential payer:
Series 2007-GG11 Class A2, 5.597% 12/10/49	3,468,000		3,620,076
Series 2007-GG9 Class A4, 5.444% 3/10/39	16,142,000		17,482,466
Series 2005-GG3 Class XP, 0.6789% 8/10/42 (e)(i)(k)	29,020,071		132,657
Series 2006-GG7:
Class A3, 5.881% 7/10/38 (i)	4,571,000		4,839,636
Commercial Mortgage Securities - continued
	Principal Amount		Value
Greenwich Capital Commercial Funding Corp.: - continued
Series 2006-GG7:
Class A4, 6.0778% 7/10/38 (i)	$ 13,274,000		$ 14,799,921
Series 2007-GG11 Class A1, 0.4589% 12/10/49 (e)(i)(k)	38,677,939		320,861
GS Mortgage Securities Corp. II:
floater:
Series 2006-FL8A:
Class C, 0.449% 6/6/20 (e)(i)	57,472		56,106
Class D, 0.489% 6/6/20 (e)(i)	414,000		389,710
Class E, 0.579% 6/6/20 (e)(i)	479,000		438,912
Class F, 0.649% 6/6/20 (e)(i)	681,000		617,915
Series 2007-EOP:
Class C, 2.1455% 3/6/20 (e)(i)	1,781,000		1,756,008
Class D, 2.3636% 3/6/20 (e)(i)	7,692,000		7,586,143
Class F, 2.8433% 3/6/20 (e)(i)	146,000		143,836
Class G, 3.0177% 3/6/20 (e)(i)	74,000		72,951
Class H, 3.5846% 3/6/20 (e)(i)	446,000		441,861
Class J, 4.4568% 3/6/20 (e)(i)	639,000		636,446
sequential payer:
Series 2004-GG2 Class A4, 4.964% 8/10/38	538,000		542,007
Series 2005-GG4 Class A3, 4.607% 7/10/39	9,600,000		9,761,122
Series 2005-GG4 Class XP, 0.7099% 7/10/39 (e)(i)(k)	31,585,152		216,671
Series 2006-GG6:
Class A2, 5.506% 4/10/38	6,270,543		6,266,445
Class A3, 5.7694% 4/10/38 (i)	20,000,000		21,031,442
GS Mortgage Securities Trust sequential payer:
Series 2006-GG8:
Class A2, 5.479% 11/10/39	5,738,334		5,772,536
Class A4, 5.56% 11/10/39 (i)	34,187,000		37,332,789
Series 2007-GG10:
Class A2, 5.778% 8/10/45	797,722		816,431
Class A4, 6.0017% 8/10/45 (i)	8,288,000		8,914,487
JP Morgan Chase Commercial Mortgage Securities Trust:
sequential payer Series 2006-CB14 Class A3B, 5.6643% 12/12/44 (i)	5,157,000		5,378,935
Series 2005-CB13 Class E, 5.5268% 1/12/43 (e)(i)	877,000		90,857
JP Morgan Commercial Mortgage Finance Corp. Series 2000-C9 Class G, 6.25% 10/15/32 (e)	564,970		565,961
JPMorgan Chase Commercial Mortgage Securities Trust:
floater Series 2006-FLA2:
Class B, 0.368% 11/15/18 (e)(i)	1,126,259		1,058,684
Commercial Mortgage Securities - continued
	Principal Amount		Value
JPMorgan Chase Commercial Mortgage Securities Trust: - continued
floater Series 2006-FLA2:
Class C, 0.408% 11/15/18 (e)(i)	$ 799,903		$ 743,910
Class D, 0.428% 11/15/18 (e)(i)	177,643		159,879
Class E, 0.478% 11/15/18 (e)(i)	324,834		295,599
Class F, 0.528% 11/15/18 (e)(i)	486,743		433,201
Class G, 0.558% 11/15/18 (e)(i)	423,299		364,037
Class H, 0.698% 11/15/18 (e)(i)	324,907		266,424
sequential payer:
Series 2006-LDP8 Class A4, 5.399% 5/15/45	2,725,000		2,975,756
Series 2006-LDP9:
Class A2, 5.134% 5/15/47 (i)	800,808		832,150
Class A3, 5.336% 5/15/47	10,293,000		11,099,414
Series 2007-CB18 Class A4, 5.44% 6/12/47	10,100,000		10,986,186
Series 2007-CB19 Class A4, 5.9318% 2/12/49 (i)	16,081,000		17,717,633
Series 2007-CB20 Class A4, 5.794% 2/12/51	43,296,000		47,610,542
Series 2007-LD11:
Class A2, 5.9901% 6/15/49 (i)	4,868,000		5,012,427
Class A4, 6.0051% 6/15/49 (i)	60,756,000		66,638,894
Series 2007-LDPX:
Class A2 S, 5.305% 1/15/49	3,920,000		3,982,184
Class A3, 5.42% 1/15/49	12,612,000		13,675,403
Series 2006-CB17 Class A3, 5.45% 12/12/43	494,000		507,867
Series 2007-CB19:
Class B, 5.9318% 2/12/49 (i)	148,000		109,146
Class C, 5.9318% 2/12/49 (i)	388,000		243,490
Class D, 5.9318% 2/12/49 (i)	407,000		204,488
Series 2007-LDP10:
Class BS, 5.437% 1/15/49 (i)	331,000		192,218
Class CS, 5.466% 1/15/49 (i)	143,000		65,904
Class ES, 5.7307% 1/15/49 (e)(i)	896,000		188,438
LB Commercial Conduit Mortgage Trust:
sequential payer Series 2007-C3 Class A4, 6.1412% 7/15/44 (i)	1,403,000		1,556,183
Series 1998-C1 Class D, 6.98% 2/18/30	452,072		451,715
LB-UBS Commercial Mortgage Trust:
sequential payer:
Series 2006-C1 Class A2, 5.084% 2/15/31	423,621		423,734
Series 2006-C6 Class A2, 5.262% 9/15/39 (i)	1,500,505		1,505,220
Series 2006-C7:
Class A1, 5.279% 11/15/38	99,862		100,242
Class A2, 5.3% 11/15/38	1,907,000		1,924,891
Class A3, 5.347% 11/15/38	3,172,000		3,455,670
Commercial Mortgage Securities - continued
	Principal Amount		Value
LB-UBS Commercial Mortgage Trust: - continued
sequential payer:
Series 2007-C1:
Class A1, 5.391% 2/15/40 (i)	$ 107,198		$ 108,175
Class A4, 5.424% 2/15/40	20,427,000		22,294,982
Series 2007-C2 Class A3, 5.43% 2/15/40	4,646,000		5,034,094
Series 2001-C3 Class B, 6.512% 6/15/36	3,352,000		3,365,742
Series 2001-C7 Class D, 6.514% 11/15/33	1,907,000		1,933,058
Series 2005-C3 Class XCP, 0.9427% 7/15/40 (i)(k)	5,367,427		32,336
Series 2006-C6 Class XCP, 0.8631% 9/15/39 (i)(k)	7,990,689		120,641
Series 2007-C1 Class XCP, 0.6707% 2/15/40 (i)(k)	2,977,759		33,654
Series 2007-C6 Class A4, 5.858% 7/15/40 (i)	3,957,000		4,286,777
Series 2007-C7:
Class A3, 5.866% 9/15/45	26,850,000		29,654,748
Class XCP, 0.4375% 9/15/45 (i)(k)	130,122,595		1,210,830
Lehman Brothers Floating Rate Commercial Mortgage Trust floater Series 2006-LLFA:
Class D, 0.428% 9/15/21 (e)(i)	555,142		505,179
Class E, 0.488% 9/15/21 (e)(i)	2,003,583		1,783,189
Class F, 0.538% 9/15/21 (e)(i)	965,627		830,440
Class G, 0.558% 9/15/21 (e)(i)	1,906,832		1,563,603
Class H, 0.598% 9/15/21 (e)(i)	492,207		388,844
Lehman Large Loan Trust Series 1997-LLI Class E, 7.3% 10/12/34	3,078,000		3,122,208
Merrill Lynch Mortgage Trust:
sequential payer Series 2005-MKB2 Class A2, 4.806% 9/12/42	2,801,585		2,799,891
Series 2005-CKI1 Class A3, 5.3967% 11/12/37 (i)	1,359,055		1,386,237
Series 2005-LC1 Class F, 5.5633% 1/12/44 (e)(i)	1,509,000		803,018
Series 2006-C1 Class A2, 5.8093% 5/12/39 (i)	1,705,045		1,756,626
Series 2007-C1:
Class A3, 6.02% 6/12/50 (i)	7,212,000		7,733,281
Class A4, 6.02% 6/12/50 (i)	6,564,000		7,245,846
Series 2008-C1 Class A4, 5.69% 2/12/51	3,701,000		4,073,146
Merrill Lynch-CFC Commercial Mortgage Trust:
floater Series 2006-4 Class A2FL, 0.3465% 12/12/49 (i)	774,114		758,162
sequential payer:
Series 2006-1 CLass A3, 5.4822% 2/12/39 (i)	1,845,000		1,901,998
Series 2006-4 Class ASB, 5.133% 12/12/49 (i)	1,490,000		1,583,824
Series 2007-5:
Class A3, 5.364% 8/12/48	676,000		696,592
Class A4, 5.378% 8/12/48	44,314,000		47,203,268
Class B, 5.479% 8/12/48	5,202,000		2,407,552
Commercial Mortgage Securities - continued
	Principal Amount		Value
Merrill Lynch-CFC Commercial Mortgage Trust: - continued
sequential payer:
Series 2007-6:
Class A1, 5.175% 3/12/51	$ 39,716		$ 39,960
Class A2, 5.331% 3/12/51	20,000,000		20,308,794
Class A4, 5.485% 3/12/51 (i)	24,350,000		26,255,987
Series 2007-7 Class A4, 5.81% 6/12/50 (i)	6,069,000		6,573,007
Series 2007-8 Class A1, 4.622% 8/12/49	221,123		222,829
Series 2007-9:
Class A2, 5.59% 9/12/49	7,911,235		8,155,257
Class A4, 5.7% 9/12/49	185,000		201,515
Class ASB, 5.644% 9/12/49	12,500,000		13,245,879
Series 2006-4 Class XP, 0.829% 12/12/49 (i)(k)	31,138,433		547,868
Series 2007-6 Class B, 5.635% 3/12/51 (i)	1,734,000		886,462
Series 2007-7 Class B, 5.9352% 6/12/50 (i)	1,295,000		361,953
Series 2007-8 Class A3, 6.1636% 8/12/49 (i)	1,496,000		1,648,579
Morgan Stanley Capital I Trust:
floater:
Series 2006-XLF Class C, 1.398% 7/15/19 (e)(i)	291,739		145,870
Series 2007-XCLA Class A1, 0.398% 7/17/17 (e)(i)	897,580		825,773
Series 2007-XLFA:
Class C, 0.358% 10/15/20 (e)(i)	6,487,000		6,042,543
Class D, 0.388% 10/15/20 (e)(i)	4,105,000		3,695,003
Class E, 0.448% 10/15/20 (e)(i)	8,181,000		7,267,666
Class F, 0.498% 10/15/20 (e)(i)	9,173,000		7,977,579
Class G, 0.538% 10/15/20 (e)(i)	505,000		401,798
Class H, 0.628% 10/15/20 (e)(i)	318,000		229,002
Class J, 0.778% 10/15/20 (e)(i)	363,000		190,757
Class MHRO, 0.888% 10/15/20 (e)(i)	474,271		407,873
Class MJPM, 1.198% 10/15/20 (e)(i)	17,455		15,884
Class NHRO, 1.088% 10/15/20 (e)(i)	721,754		591,839
sequential payer:
Series 2003-IQ5 Class X2, 1.0242% 4/15/38 (e)(i)(k)	4,662,406		11,011
Series 2005-IQ9 Class A3, 4.54% 7/15/56	2,575,000		2,636,495
Series 2007-HQ11:
Class A1, 5.246% 2/12/44	88,965		89,301
Class A31, 5.439% 2/12/44 (i)	7,959,000		8,270,351
Series 2007-IQ13 Class A1, 5.05% 3/15/44	239,215		240,707
Series 2007-IQ16 Class A4, 5.809% 12/12/49	9,680,000		10,668,011
Series 2007-T25 Class A1, 5.391% 11/12/49	186,038		187,829
Series 2007-T27 Class A4, 5.7946% 6/11/42 (i)	3,492,000		3,924,893
Commercial Mortgage Securities - continued
	Principal Amount		Value
Morgan Stanley Capital I Trust: - continued
Series 2003-IQ6 Class X2, 0.7293% 12/15/41 (e)(i)(k)	$ 10,261,254		$ 33,423
Series 2005-IQ9 Class X2, 1.2137% 7/15/56 (e)(i)(k)	18,340,180		123,108
Series 2006-HQ10 Class X2, 0.6882% 11/12/41 (e)(i)(k)	8,300,643		65,264
Series 2006-HQ8 Class A3, 5.6465% 3/12/44 (i)	1,094,392		1,105,384
Series 2006-IQ11:
Class A3, 5.8616% 10/15/42 (i)	2,339,016		2,436,045
Class A4, 5.8976% 10/15/42 (i)	520,000		577,345
Series 2006-T23 Class A3, 5.9755% 8/12/41 (i)	885,000		951,697
Series 2007-IQ14:
Class A4, 5.692% 4/15/49 (i)	2,601,000		2,809,535
Class AAB, 5.654% 4/15/49	4,940,000		5,243,605
Class B, 5.9112% 4/15/49 (i)	426,000		238,560
Providence Place Group Ltd. Partnership sequential payer Series 2000-C1 Class A1, 7.75% 7/20/16 (e)	3,405,014		3,796,250
Structured Asset Securities Corp. Series 1997-LLI Class D, 7.15% 10/12/34	140,395		142,134
Wachovia Bank Commercial Mortgage Trust:
floater:
Series 2005-WL5A Class K, 1.398% 1/15/18 (e)(i)	1,041,000		999,401
Series 2006-WL7A:
Class E, 0.4771% 9/15/21 (e)(i)	1,481,000		1,260,754
Class F, 0.5371% 8/11/18 (e)(i)	1,532,000		1,250,138
Class G, 0.5571% 8/11/18 (e)(i)	1,452,000		985,735
Class J, 0.7971% 8/11/18 (e)(i)	323,000		176,050
Series 2007-WHL8:
Class AP1, 0.898% 6/15/20 (e)(i)	93,624		70,218
Class AP2, 0.998% 6/15/20 (e)(i)	157,378		110,164
Class F, 0.678% 6/15/20 (e)(i)	3,844,000		3,152,080
Class LXR1, 0.898% 6/15/20 (e)(i)	212,473		180,602
sequential payer:
Series 2003-C7 Class A1, 4.241% 10/15/35 (e)	2,141,718		2,153,672
Series 2003-C8 Class A3, 4.445% 11/15/35	7,552,000		7,638,068
Series 2006-C27 Class A2, 5.624% 7/15/45	1,304,810		1,309,150
Series 2006-C29:
Class A1, 5.11% 11/15/48	131,826		132,034
Class A3, 5.313% 11/15/48	4,606,000		4,957,218
Class A4, 5.308% 11/15/48	12,000,000		13,077,874
Series 2007-C30:
Class A3, 5.246% 12/15/43	1,489,000		1,525,119
Commercial Mortgage Securities - continued
	Principal Amount		Value
Wachovia Bank Commercial Mortgage Trust: - continued
sequential payer:
Series 2007-C30:
Class A4, 5.305% 12/15/43	$ 510,000		$ 526,545
Class A5, 5.342% 12/15/43	33,890,000		35,919,845
Series 2007-C31 Class A4, 5.509% 4/15/47	15,531,309		16,492,453
Series 2007-C32:
Class A2, 5.9267% 6/15/49 (i)	1,938,996		2,018,925
Class A3, 5.9317% 6/15/49 (i)	28,312,000		30,610,906
Series 2003-C6 Class G, 5.125% 8/15/35 (e)(i)	824,000		827,895
Series 2004-C15:
Class 180A, 5.5782% 10/15/41 (e)(i)	1,333,000		1,336,333
Class 180B, 5.5782% 10/15/41 (e)(i)	607,000		607,000
Series 2005-C19 Class B, 4.892% 5/15/44	1,734,000		1,637,841
Series 2005-C22:
Class B, 5.5358% 12/15/44 (i)	3,845,000		3,524,960
Class F, 5.5358% 12/15/44 (e)(i)	2,892,000		1,701,191
Series 2007-C30:
Class C, 5.483% 12/15/43 (i)	5,202,000		2,808,487
Class D, 5.513% 12/15/43 (i)	2,774,000		1,169,062
Class XP, 0.6357% 12/15/43 (e)(i)(k)	18,527,003		210,274
Series 2007-C31 Class C, 5.8836% 4/15/47 (i)	4,147,000		2,206,832
Series 2007-C31A Class A2, 5.421% 4/15/47	16,828,501		17,554,171
Series 2007-C32:
Class D, 5.9317% 6/15/49 (i)	1,303,000		622,258
Class E, 5.9317% 6/15/49 (i)	2,054,000		734,080
Wachovia Bank Commercial Mortgage Trust pass-thru certificates sequential payer Series 2007-C33:
Class A4, 6.0966% 2/15/51 (i)	19,402,500		21,311,287
Class A5, 6.0966% 2/15/51 (i)	12,818,000		13,967,685
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $1,055,593,192)		1,301,334,302
Municipal Securities - 0.3%
Beaver County Indl. Dev. Auth. Poll. Cont. Rev. Bonds (FirstEnergy Nuclear Generation Corp. Proj.) Series 2005 A, 3.375%, tender 7/1/15 (i)	5,700,000		5,670,873
California Gen. Oblig.:
5.25% 4/1/14	9,500,000		10,268,170
7.5% 4/1/34	6,800,000		7,919,824
7.55% 4/1/39	5,220,000		6,150,726
Illinois Gen. Oblig.:
Series 2010, 4.421% 1/1/15	9,780,000		10,133,547
Municipal Securities - continued
	Principal Amount		Value
Illinois Gen. Oblig.: - continued
5.665% 3/1/18	$ 10,820,000		$ 11,412,287
5.877% 3/1/19	14,450,000		15,173,512
TOTAL MUNICIPAL SECURITIES (Cost $62,289,794)		66,728,939
Foreign Government and Government Agency Obligations - 0.1%
Chilean Republic 7.125% 1/11/12	2,128,000		2,208,864
United Mexican States 6.05% 1/11/40	14,700,000		15,618,750
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $17,077,669)		17,827,614
Supranational Obligations - 0.0%
Corporacion Andina de Fomento 5.2% 5/21/13 (Cost $507,056)	528,000		563,538
Bank Notes - 0.0%
Wachovia Bank NA 6% 11/15/17 (Cost $6,934,864)	6,320,000		7,198,935

Fixed-Income Funds - 24.6%
	Shares
Fidelity Mortgage Backed Securities Central Fund (j)	48,097,359		5,126,216,546
Fidelity Specialized High Income Central Fund (j)	2,024,780		207,479,221
TOTAL FIXED-INCOME FUNDS (Cost $5,129,124,022)		5,333,695,767
Preferred Securities - 0.0%
	Principal Amount
FINANCIALS - 0.0%
Diversified Financial Services - 0.0%
ING Groep NV 5.775% (f)(i) (Cost $837,963)	$ 1,468,000		1,405,765
Cash Equivalents - 9.1%
	Maturity Amount		Value
Investments in repurchase agreements in a joint trading account at 0.14%, dated 5/31/11 due 6/1/11:
(Collateralized by U.S. Government Obligations) # (a)	$ 511,750,990		$ 511,749,000
(Collateralized by U.S. Government Obligations) #	1,464,246,878		1,464,241,000
TOTAL CASH EQUIVALENTS (Cost $1,975,990,000)		1,975,990,000
TOTAL INVESTMENT PORTFOLIO - 104.4% (Cost $21,489,684,648)			22,661,281,913
NET OTHER ASSETS (LIABILITIES) - (4.4)%			(949,043,875)
NET ASSETS - 100%		$ 21,712,238,038

Swap Agreements
	Expiration Date	Notional Amount	Value
Interest Rate Swaps
Receive semi-annually a fixed rate equal to 1.2857% and pay quarterly a floating rate based on 3-month LIBOR with JPMorgan Chase, Inc.	June 2012	$ 325,000,000	$ 4,838,730

Legend

(a) Includes investment made with cash collateral received from securities on loan.

(b) Non-income producing - Security is in default.

(c) Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end.

(d) Security or a portion of the security is on loan at period end.

(e) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $897,025,166 or 4.1% of net assets.

(f) Security is perpetual in nature with no stated maturity date.

(g) Security or a portion of the security purchased on a delayed delivery or when-issued basis.

(h) A portion of the security is subject to a forward commitment to sell.

(i) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.

(j) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. A complete unaudited schedule of portfolio holdings for each Fidelity Central Fund is filed with the SEC for the first and third quarters of each fiscal year on Form N-Q and is available upon request or at the SEC's web site at www.sec.gov. An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro rata share of securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com. In addition, each Fidelity Central Fund's financial statements are available on the SEC's web site or upon request.

(k) Security represents right to receive monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool held as of the end of the period.

# Additional information on each counterparty to the repurchase agreement is as follows:

Repurchase Agreement / Counterparty	Value
$1,464,241,000 due 6/01/11 at 0.14%
Goldman, Sachs & Co.	$ 43,981,017
HSBC Securities (USA), Inc.	263,886,102
Merrill Lynch, Pierce, Fenner & Smith, Inc.	69,471,183
Mizuho Securities USA, Inc.	791,658,307
Societe Generale	83,607,737
Wells Fargo Securities LLC	211,636,654
	$ 1,464,241,000
$511,749,000 due 6/01/11 at 0.14%
J.P. Morgan Securities, Inc.	$ 333,333,225
Societe Generale	178,415,775
	$ 511,749,000

Affiliated Central Funds

Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows:

Fund	Income earned
Fidelity Corporate Bond 1-10 Year Central Fund	$ 6,151,882
Fidelity Mortgage Backed Securities Central Fund	84,994,406
Fidelity Specialized High Income Central Fund	10,208,711
Total	$ 101,354,999

Additional information regarding the Fund's fiscal year to date purchases and sales, including the ownership percentage, of the non Money Market Central Funds is as follows:

Fund	Value, beginning of period	Purchases	Sales Proceeds	Value, end of period	% ownership, end of period
Fidelity Corporate Bond 1-10 Year Central Fund	$ 496,693,915	$ -	$ 493,317,907*	$ -	0.0%
Fidelity Mortgage Backed Securities Central Fund	2,690,638,106	2,373,567,361	-	5,126,216,546	45.0%
Fidelity Specialized High Income Central Fund	188,755,230	10,208,711	-	207,479,221	46.2%
Total	$ 3,376,087,251	$ 2,383,776,072	$ 493,317,907	$ 5,333,695,767

* Includes the value of shares redeemed through in-kind transactions.

Other Information

The following is a summary of the inputs used, as of May 31, 2011, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the tables below, please refer to the Investment Valuation section at the end of this listing.

Valuation Inputs at Reporting Date:
Description	Total	Level 1	Level 2	Level 3
Investments in Securities:
Corporate Bonds	$ 4,271,837,404	$ -	$ 4,271,837,404	$ -
U.S. Government and Government Agency Obligations	6,777,078,976	-	6,777,078,976	-
U.S. Government Agency - Mortgage Securities	2,165,783,442	-	2,165,783,442	-
Asset-Backed Securities	582,048,207	-	568,072,990	13,975,217
Collateralized Mortgage Obligations	159,789,024	-	155,105,189	4,683,835
Commercial Mortgage Securities	1,301,334,302	-	1,223,922,268	77,412,034
Municipal Securities	66,728,939	-	66,728,939	-
Foreign Government and Government Agency Obligations	17,827,614	-	17,827,614	-
Supranational Obligations	563,538	-	563,538	-
Bank Notes	7,198,935	-	7,198,935	-
Fixed-Income Funds	5,333,695,767	5,333,695,767	-	-
Preferred Securities	1,405,765	-	1,405,765	-
Cash Equivalents	1,975,990,000	-	1,975,990,000	-
Total Investments in Securities:	$ 22,661,281,913	$ 5,333,695,767	$ 17,231,515,060	$ 96,071,086
Valuation Inputs at Reporting Date:
Description	Total	Level 1	Level 2	Level 3
Derivative Instruments:
Assets
Swap Agreements	$ 4,838,730	$ -	$ 4,838,730	$ -
Other Financial Instruments:
Forward Commitments	$ (2,762,211)	$ -	$ (2,762,211)	$ -

The following is a reconciliation of Investments in Securities for which Level 3 inputs were used in determining value:

Investments in Securities:
Beginning Balance	$ 72,787,535
Total Realized Gain (Loss)	3,891,520
Total Unrealized Gain (Loss)	14,099,094
Cost of Purchases	38,410,728
Proceeds of Sales	(10,978,450)
Amortization/Accretion	387,259
Transfers in to Level 3	8,668,538
Transfers out of Level 3	(31,195,138)
Ending Balance	$ 96,071,086
The change in unrealized gain (loss) for the period attributable to Level 3 securities held at May 31, 2011	$ 15,069,354

The information used in the above reconciliation represents fiscal year to date activity for any Investments in Securities identified as using Level 3 inputs at either the beginning or the end of the current fiscal period, and includes the value of securities received through affiliated in-kind transactions. Transfers in or out of Level 3 represent the beginning value of any Security or Instrument where a change in the pricing level occurred from the beginning to the end of the period. The cost of purchases and the proceeds of sales may include securities received or delivered through corporate actions or exchanges.

Income Tax Information

At May 31, 2011, the cost of investment securities for income tax purposes was $21,396,762,898. Net unrealized appreciation aggregated $1,264,519,015, of which $1,278,981,871related to appreciated investment securities and $14,462,856 related to depreciated investment securities.

Investment Valuation

Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Security transactions are accounted for as of trade date. The Fund uses independent pricing services approved by the Board of Trustees to value its investments. When current market prices or quotations are not readily available or reliable, valuations may be determined in good faith in accordance with procedures adopted by the Board of Trustees. Factors used in determining value may include market or security specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The value used for net asset value calculation under these procedures may differ from published prices for the same securities. The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels: Level 1 - quoted prices in active markets for identical investments. Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds etc.). Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available). Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. Valuation techniques used to value the Fund's investments by major category are as follows:

Debt securities, including restricted securities, are valued based on evaluated prices received from independent pricing services or from dealers who make markets in such securities. For corporate bonds, bank notes, foreign government and government agency obligations, municipal securities, preferred securities, supranational obligations, U.S. government and government agency obligations, pricing services utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices and are generally categorized as Level 2 in the hierarchy.

For asset backed securities, collateralized mortgage obligations, commercial mortgage securities, U.S. government agency mortgage securities, pricing services utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices and, accordingly, such securities are generally categorized as Level 2 in the hierarchy. Short-term securities with remaining maturities of sixty days or less may be valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy. Swaps are marked-to-market daily based on valuations from independent pricing services or dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Pricing services utilize matrix pricing which considers comparisons to interest rate curves, credit spread curves, default possibilities and recovery rates and, as a result, swaps are generally categorized as Level 2 in the hierarchy.

When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing matrices which consider similar factors that would be used by independent pricing services. These are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day and are categorized as Level 1 in the hierarchy.

For additional information on the Fund's policy regarding valuation of investments and other significant accounting policies, please refer to the Fund's most recent semiannual or annual shareholder report.

Quarterly Report

The fund's schedule of investments as of the date on the cover of this report has not been audited. This report is provided for the general information of the fund's shareholders. For more information regarding the fund and its holdings, please

see the fund's most recent prospectus and annual report.

Third party trademarks and service marks are the property of their respective owners. All other trademarks and service marks are the property of FMR LLC

or an affiliate.

Quarterly Report

Quarterly Holdings Report

for

Fidelity ® Corporate Bond Fund

May 31, 2011

1.907009.101

CBD-QTLY-0711

Investments May 31, 2011 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 78.3%
	Principal Amount		Value
CONSUMER DISCRETIONARY - 6.1%
Automobiles - 0.5%
Daimler Finance North America LLC 1.95% 3/28/14 (b)	$ 300,000		$ 302,706
Household Durables - 1.0%
Fortune Brands, Inc.:
5.375% 1/15/16	239,000		259,640
6.375% 6/15/14	182,000		202,980
Whirlpool Corp. 6.125% 6/15/11	152,000		152,271
			614,891
Media - 3.8%
Comcast Corp. 6.4% 3/1/40	250,000		272,506
Discovery Communications LLC 6.35% 6/1/40	221,000		238,289
NBC Universal, Inc.:
3.65% 4/30/15 (b)	129,000		135,631
5.15% 4/30/20 (b)	500,000		531,920
6.4% 4/30/40 (b)	390,000		423,751
News America, Inc. 6.9% 8/15/39	300,000		338,695
Time Warner, Inc. 6.2% 3/15/40	300,000		312,573
Viacom, Inc. 3.5% 4/1/17	34,000		34,668
			2,288,033
Specialty Retail - 0.8%
Home Depot, Inc. 5.95% 4/1/41	331,000		347,178
Staples, Inc. 7.375% 10/1/12	100,000		107,400
			454,578
TOTAL CONSUMER DISCRETIONARY			3,660,208
CONSUMER STAPLES - 2.1%
Beverages - 0.6%
Anheuser-Busch InBev Worldwide, Inc. 5.375% 11/15/14	218,000		244,107
FBG Finance Ltd. 5.125% 6/15/15 (b)	131,000		143,124
			387,231
Food & Staples Retailing - 0.2%
CVS Caremark Corp. 4.125% 5/15/21	134,000		131,795
Food Products - 0.6%
Kraft Foods, Inc.:
5.625% 11/1/11	21,000		21,428
6.5% 8/11/17	274,000		321,775
			343,203
Nonconvertible Bonds - continued
	Principal Amount		Value
CONSUMER STAPLES - continued
Tobacco - 0.7%
Altria Group, Inc. 9.7% 11/10/18	$ 182,000		$ 243,054
Reynolds American, Inc. 6.75% 6/15/17	131,000		153,228
			396,282
TOTAL CONSUMER STAPLES			1,258,511
ENERGY - 9.8%
Energy Equipment & Services - 2.6%
DCP Midstream LLC 5.35% 3/15/20 (b)	116,000		123,931
El Paso Pipeline Partners Operating Co. LLC 6.5% 4/1/20	658,000		755,433
Noble Holding International Ltd. 3.05% 3/1/16	450,000		455,795
Weatherford International Ltd.:
4.95% 10/15/13	78,000		83,529
5.15% 3/15/13	102,000		108,349
			1,527,037
Oil, Gas & Consumable Fuels - 7.2%
Anadarko Petroleum Corp.:
5.95% 9/15/16	393,000		444,080
6.375% 9/15/17	71,000		81,634
BW Group Ltd. 6.625% 6/28/17 (b)	132,000		133,420
Duke Energy Field Services 5.375% 10/15/15 (b)	54,000		60,175
El Paso Natural Gas Co. 5.95% 4/15/17	492,000		561,341
EnCana Holdings Finance Corp. 5.8% 5/1/14	129,000		144,341
Gulf South Pipeline Co. LP 5.75% 8/15/12 (b)	172,000		179,594
Marathon Petroleum Corp. 6.5% 3/1/41 (b)	220,000		236,093
Midcontinent Express Pipeline LLC 5.45% 9/15/14 (b)	480,000		528,055
Nexen, Inc.:
5.2% 3/10/15	41,000		45,053
6.2% 7/30/19	324,000		368,540
6.4% 5/15/37	158,000		163,395
NGPL PipeCo LLC 6.514% 12/15/12 (b)	159,000		167,666
Petrobras International Finance Co. Ltd.:
3.875% 1/27/16	39,000		39,911
5.75% 1/20/20	427,000		452,884
Petroleos Mexicanos 6% 3/5/20	116,000		125,686
Plains All American Pipeline LP/PAA Finance Corp. 5% 2/1/21	14,000		14,565
Ras Laffan Liquefied Natural Gas Co. Ltd. 8.294% 3/15/14 (b)	79,800		87,481
Nonconvertible Bonds - continued
	Principal Amount		Value
ENERGY - continued
Oil, Gas & Consumable Fuels - continued
Rockies Express Pipeline LLC 6.25% 7/15/13 (b)	$ 121,000		$ 130,171
Spectra Energy Capital, LLC 5.65% 3/1/20	56,000		61,382
Western Gas Partners LP 5.375% 6/1/21	260,000		268,835
			4,294,302
TOTAL ENERGY			5,821,339
FINANCIALS - 42.6%
Capital Markets - 4.8%
Goldman Sachs Group, Inc.:
3.625% 2/7/16	750,000		752,111
5.95% 1/18/18	178,000		192,835
6.15% 4/1/18	204,000		223,673
Janus Capital Group, Inc. 5.875% 9/15/11 (a)	107,000		107,962
Lazard Group LLC:
6.85% 6/15/17	171,000		191,390
7.125% 5/15/15	61,000		68,742
Morgan Stanley:
1.2533% 4/29/13 (d)	270,000		269,931
4% 7/24/15	447,000		462,862
5.625% 9/23/19	219,000		228,631
6.625% 4/1/18	153,000		172,226
Royal Bank of Scotland PLC 4.375% 3/16/16	225,000		230,127
			2,900,490
Commercial Banks - 9.0%
Associated Banc Corp. 5.125% 3/28/16	575,000		599,102
Comerica, Inc. 4.8% 5/1/15	107,000		114,654
Credit Suisse New York Branch 6% 2/15/18	122,000		134,286
DBS Bank Ltd. (Singapore) 0.4808% 5/16/17 (b)(d)	139,000		137,263
Discover Bank 7% 4/15/20	350,000		398,973
Export-Import Bank of Korea 5.5% 10/17/12	101,000		106,245
Fifth Third Bancorp 8.25% 3/1/38	1,273,000		1,587,930
Fifth Third Capital Trust IV 6.5% 4/15/67 (d)	36,000		35,730
HSBC Holdings PLC:
5.1% 4/5/21	133,000		138,395
6.5% 9/15/37	100,000		106,934
KeyCorp. 5.1% 3/24/21	81,000		84,305
Marshall & Ilsley Bank:
4.85% 6/16/15	370,000		399,756
5% 1/17/17	93,000		101,194
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Commercial Banks - continued
Nordea Bank AB 4.875% 5/13/21 (b)	$ 260,000		$ 259,445
Regions Bank 7.5% 5/15/18	670,000		725,138
Regions Financial Corp. 0.4785% 6/26/12 (d)	61,000		59,328
SunTrust Banks, Inc. 3.6% 4/15/16	39,000		39,930
UniCredit Luxembourg Finance SA 5.584% 1/13/17 (b)(d)	131,000		131,295
UnionBanCal Corp. 5.25% 12/16/13	30,000		32,399
Wachovia Corp. 5.625% 10/15/16	152,000		169,779
			5,362,081
Consumer Finance - 2.6%
Discover Financial Services:
6.45% 6/12/17	107,000		120,395
10.25% 7/15/19	105,000		140,015
General Electric Capital Corp.:
4.625% 1/7/21	1,000,000		1,014,734
5.875% 1/14/38	150,000		156,086
HSBC Finance Corp. 5.9% 6/19/12	104,000		109,418
			1,540,648
Diversified Financial Services - 12.6%
BP Capital Markets PLC:
3.125% 10/1/15	608,000		622,708
3.625% 5/8/14	388,000		408,234
4.5% 10/1/20	300,000		307,254
Capital One Capital V 10.25% 8/15/39	441,000		469,114
Capital One Capital VI 8.875% 5/15/40	100,000		103,625
Citigroup, Inc.:
6.125% 5/15/18	75,000		83,667
6.5% 8/19/13	433,000		476,027
6.875% 3/5/38	175,000		202,767
8.5% 5/22/19	100,000		125,581
General Electric Capital Corp. 5.3% 2/11/21	460,000		483,147
JPMorgan Chase & Co.:
3.45% 3/1/16	1,905,000		1,945,327
4.625% 5/10/21	655,000		657,342
Metlife Institutional Funding II 1.201% 4/4/14 (b)(d)	600,000		601,695
Prime Property Funding II 5.6% 6/15/11 (b)	364,000		364,332
Prime Property Funding, Inc. 5.7% 4/15/17 (b)	76,000		79,702
TECO Finance, Inc. 5.15% 3/15/20	114,000		122,295
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Diversified Financial Services - continued
TransCapitalInvest Ltd. 5.67% 3/5/14 (b)	$ 195,000		$ 208,650
Volkswagen International Finance NV 1.875% 4/1/14 (b)	300,000		302,087
			7,563,554
Insurance - 4.9%
Aon Corp.:
3.125% 5/27/16	27,000		27,131
6.25% 9/30/40	253,000		272,435
Assurant, Inc. 5.625% 2/15/14	85,000		91,308
Great-West Life & Annuity Insurance Co. 7.153% 5/16/46 (b)(d)	66,000		69,300
Liberty Mutual Group, Inc. 5% 6/1/21 (b)	634,000		623,225
Monumental Global Funding II 5.65% 7/14/11 (b)	74,000		74,311
Monumental Global Funding III 5.5% 4/22/13 (b)	98,000		104,570
Pacific Life Global Funding 5.15% 4/15/13 (b)	152,000		161,649
Pacific LifeCorp 6% 2/10/20 (b)	100,000		109,514
Prudential Financial, Inc.:
5.15% 1/15/13	144,000		152,352
5.625% 5/12/41	560,000		553,978
QBE Insurance Group Ltd. 5.647% 7/1/23 (b)(d)	58,000		56,635
Symetra Financial Corp. 6.125% 4/1/16 (b)	215,000		225,853
Unum Group:
5.625% 9/15/20	250,000		265,246
7.125% 9/30/16	106,000		123,405
			2,910,912
Real Estate Investment Trusts - 2.8%
CommonWealth REIT 5.875% 9/15/20	260,000		274,337
Developers Diversified Realty Corp.:
4.75% 4/15/18	20,000		19,989
5.375% 10/15/12	622,000		644,350
Equity One, Inc. 6.25% 12/15/14	223,000		244,552
Federal Realty Investment Trust:
5.95% 8/15/14	100,000		111,074
6% 7/15/12	131,000		137,764
Washington (REIT):
5.25% 1/15/14	58,000		62,636
5.95% 6/15/11	162,000		162,231
			1,656,933
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Real Estate Management & Development - 3.3%
BioMed Realty LP 3.85% 4/15/16	$ 464,000		$ 470,534
Brandywine Operating Partnership LP 5.75% 4/1/12	183,000		189,717
Duke Realty LP:
5.4% 8/15/14	126,000		136,787
5.625% 8/15/11	134,000		135,175
Liberty Property LP:
5.125% 3/2/15	141,000		154,271
5.5% 12/15/16	66,000		72,951
Mack-Cali Realty LP 7.75% 8/15/19	126,000		155,270
Tanger Properties LP 6.125% 6/1/20	586,000		657,181
			1,971,886
Thrifts & Mortgage Finance - 2.6%
Bank of America Corp. 5% 5/13/21	1,185,000		1,182,824
First Niagara Financial Group, Inc. 6.75% 3/19/20	325,000		363,275
			1,546,099
TOTAL FINANCIALS			25,452,603
HEALTH CARE - 0.3%
Health Care Providers & Services - 0.1%
Express Scripts, Inc. 3.125% 5/15/16	46,000		46,494
Pharmaceuticals - 0.2%
Watson Pharmaceuticals, Inc. 5% 8/15/14	130,000		141,759
TOTAL HEALTH CARE			188,253
INDUSTRIALS - 1.6%
Aerospace & Defense - 0.2%
BAE Systems Holdings, Inc. 4.95% 6/1/14 (b)	103,000		110,942
Airlines - 0.4%
Continental Airlines, Inc. 6.648% 3/15/19	116,168		122,848
U.S. Airways pass-thru trust certificates:
6.85% 7/30/19	73,882		70,926
8.36% 1/20/19	55,376		58,421
			252,195
Machinery - 1.0%
Caterpillar, Inc. 5.2% 5/27/41	565,000		571,016
TOTAL INDUSTRIALS			934,153
Nonconvertible Bonds - continued
	Principal Amount		Value
INFORMATION TECHNOLOGY - 1.6%
Computers & Peripherals - 1.0%
Hewlett-Packard Co. 4.3% 6/1/21	$ 580,000		$ 584,693
Electronic Equipment & Components - 0.6%
Tyco Electronics Group SA:
5.95% 1/15/14	160,000		177,015
6% 10/1/12	173,000		184,223
			361,238
TOTAL INFORMATION TECHNOLOGY			945,931
MATERIALS - 2.1%
Chemicals - 0.5%
Dow Chemical Co. 7.6% 5/15/14	237,000		276,333
Construction Materials - 0.1%
CRH America, Inc. 6% 9/30/16	82,000		91,059
Metals & Mining - 1.5%
Alcoa, Inc. 5.4% 4/15/21	120,000		122,945
Anglo American Capital PLC 9.375% 4/8/14 (b)	156,000		188,784
ArcelorMittal SA 5.5% 3/1/21	440,000		443,194
Vale Overseas Ltd. 6.25% 1/23/17	104,000		118,927
			873,850
TOTAL MATERIALS			1,241,242
TELECOMMUNICATION SERVICES - 5.0%
Diversified Telecommunication Services - 3.9%
AT&T, Inc.:
2.95% 5/15/16	620,000		628,916
6.3% 1/15/38	500,000		534,716
CenturyLink, Inc. 7.6% 9/15/39	118,000		120,690
Telecom Italia Capital SA:
4.95% 9/30/14	143,000		151,421
7.175% 6/18/19	94,000		106,720
Telefonica Emisiones SAU:
3.992% 2/16/16	200,000		204,765
5.134% 4/27/20	94,000		96,029
Verizon Communications, Inc. 4.6% 4/1/21	460,000		476,468
			2,319,725
Wireless Telecommunication Services - 1.1%
America Movil SAB de CV 3.625% 3/30/15	132,000		138,871
Nonconvertible Bonds - continued
	Principal Amount		Value
TELECOMMUNICATION SERVICES - continued
Wireless Telecommunication Services - continued
DIRECTV Holdings LLC/DIRECTV Financing, Inc.:
3.5% 3/1/16	$ 220,000		$ 226,811
4.75% 10/1/14	223,000		244,364
5.875% 10/1/19	67,000		74,903
			684,949
TOTAL TELECOMMUNICATION SERVICES			3,004,674
UTILITIES - 7.1%
Electric Utilities - 4.4%
AmerenUE 6.4% 6/15/17	133,000		155,086
Cleveland Electric Illuminating Co. 5.65% 12/15/13	183,000		199,347
Duquesne Light Holdings, Inc. 6.4% 9/15/20 (b)	140,000		146,953
EDP Finance BV 6% 2/2/18 (b)	106,000		103,148
FirstEnergy Corp. 7.375% 11/15/31	563,000		654,580
FirstEnergy Solutions Corp. 6.05% 8/15/21	38,000		41,786
Nevada Power Co.:
6.5% 8/1/18	70,000		82,169
6.65% 4/1/36	500,000		589,076
Sierra Pacific Power Co. 5.45% 9/1/13	70,000		76,216
Tampa Electric Co. 6.55% 5/15/36	500,000		593,334
			2,641,695
Independent Power Producers & Energy Traders - 0.6%
Duke Capital LLC 5.668% 8/15/14	192,000		213,754
Exelon Generation Co. LLC 4% 10/1/20	157,000		151,043
			364,797
Multi-Utilities - 2.1%
Dominion Resources, Inc.:
6.3% 9/30/66 (d)	145,000		143,550
7.5% 6/30/66 (d)	145,000		153,700
DTE Energy Co. 0.9716% 6/3/13 (d)	86,000		85,916
NiSource Finance Corp.:
5.4% 7/15/14	60,000		66,205
6.4% 3/15/18	59,000		67,692
Nonconvertible Bonds - continued
	Principal Amount		Value
UTILITIES - continued
Multi-Utilities - continued
Sempra Energy 2% 3/15/14	$ 595,000		$ 600,280
Wisconsin Energy Corp. 6.25% 5/15/67 (d)	117,000		118,463
			1,235,806
TOTAL UTILITIES			4,242,298
TOTAL NONCONVERTIBLE BONDS (Cost $45,252,226)		46,749,212
U.S. Treasury Obligations - 10.2%
U.S. Treasury Bonds 4.75% 2/15/41	1,447,000		1,579,943
U.S. Treasury Notes:
1.25% 8/31/15	2,803,000		2,792,045
1.875% 9/30/17	866,000		850,304
2.625% 8/15/20	240,000		233,925
3.125% 5/15/21	614,000		617,838
TOTAL U.S. TREASURY OBLIGATIONS (Cost $5,978,804)		6,074,055
Municipal Securities - 2.7%
American Muni. Pwr.-Ohio, Inc. Rev.:
(Combined Hydroelectric Proj.)Series 2010 B, 8.084% 2/15/50	280,000		356,961
6.449% 2/15/44	200,000		208,230
Illinois Gen. Oblig.:
5.665% 3/1/18	25,000		26,369
5.877% 3/1/19	210,000		220,515
Los Angeles Dept. of Wtr. & Pwr. Rev. Series 2010 A, 6.603% 7/1/50	130,000		148,723
Muni. Elec. Auth. of Georgia (Plant Vogtle Units 3&4 Proj.)Series 2010 A, 6.655% 4/1/57	690,000		670,025
TOTAL MUNICIPAL SECURITIES (Cost $1,505,280)		1,630,823
Foreign Government and Government Agency Obligations - 0.3%
United Mexican States 6.05% 1/11/40 (Cost $147,988)	146,000		155,125
Bank Notes - 0.8%
	Principal Amount		Value
Wachovia Bank NA 6% 11/15/17 (Cost $444,402)	$ 405,000		$ 461,324
Certificates of Deposit - 0.4%
Abbey National Treasury Services PLC yankee 1.5728% 4/25/13 (d) (Cost $270,000)	270,000		269,857
Commercial Paper - 3.3%
Devon Energy Corp. 0.3% 7/25/11	1,000,000		999,607
National Grid USA 0.5% 7/13/11	1,000,000		999,645
TOTAL COMMERCIAL PAPER (Cost $1,998,945)		1,999,252

Preferred Securities - 0.3%
FINANCIALS - 0.3%
Diversified Financial Services - 0.3%
ING Groep NV 5.775% (c)(d)	47,000		45,007
MUFG Capital Finance 1 Ltd. 6.346% (c)(d)	102,000		106,435
			151,442
TOTAL PREFERRED SECURITIES (Cost $145,129)		151,442
Cash Equivalents - 2.0%
	Maturity Amount
Investments in repurchase agreements in a joint trading account at 0.14%, dated 5/31/11 due 6/1/11 (Collateralized by U.S. Government Obligations) # (Cost $1,212,000)	$ 1,212,005		1,212,000
TOTAL INVESTMENT PORTFOLIO - 98.3% (Cost $56,954,774)			58,703,090
NET OTHER ASSETS (LIABILITIES) - 1.7%			988,396
NET ASSETS - 100%		$ 59,691,486

Legend

(a) Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end.

(b) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $7,243,071 or 12.1% of net assets.

(c) Security is perpetual in nature with no stated maturity date.

(d) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.

# Additional information on each counterparty to the repurchase agreement is as follows:

Repurchase Agreement / Counterparty	Value
$1,212,000 due 6/01/11 at 0.14%
Goldman, Sachs & Co.	$ 36,405
HSBC Securities (USA), Inc.	218,427
Merrill Lynch, Pierce, Fenner & Smith, Inc.	57,504
Mizuho Securities USA, Inc.	655,280
Societe Generale	69,205
Wells Fargo Securities LLC	175,179
	$ 1,212,000

Affiliated Central Funds

Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows:

Fund	Income earned
Fidelity Corporate Bond 1-10 Year Central Fund	$ 719,660

Additional information regarding the Fund's fiscal year to date purchases and sales, including the ownership percentage, of the non Money Market Central Funds is as follows:

Fund	Value, beginning of period	Purchases	Sales Proceeds	Value, end of period	% ownership, end of period
Fidelity Corporate Bond 1-10 Year Central Fund	$ 70,145,328	$ -	$ 70,246,461*	$ -	0.0%
Total	$ 70,145,328	$ -	$ 70,246,461	$ -

* Includes the value of shares redeemed through in-kind transactions.

Other Information

All investments are categorized as Level 2 under the Fair Value Hierarchy. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs please refer to the Investment Valuation section at the end of this listing.

Income Tax Information

At May 31, 2011, the cost of investment securities for income tax purposes was $55,760,449. Net unrealized appreciation aggregated $2,942,641, of which $2,947,030 related to appreciated investment securities and $4,389 related to depreciated investment securities.

Investment Valuation

Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Security transactions are accounted for as of trade date. The Fund uses independent pricing services approved by the Board of Trustees to value its investments. When current market prices or quotations are not readily available or reliable, valuations may be determined in good faith in accordance with procedures adopted by the Board of Trustees. Factors used in determining value may include market or security specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The value used for net asset value calculation under these procedures may differ from published prices for the same securities. The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels: Level 1 - quoted prices in active markets for identical investments. Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds etc.). Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available). Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. Valuation techniques used to value the Fund's investments by major category are as follows:

Debt securities, including restricted securities, are valued based on evaluated prices received from independent pricing services or from dealers who make markets in such securities. For corporate bonds, bank notes, foreign government and government agency obligations, municipal securities, preferred securities, U.S. government and government agency obligations, commercial paper and certificates of deposit, pricing services utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices and are generally categorized as Level 2 in the hierarchy.

Short-term securities with remaining maturities of sixty days or less may be valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing matrices which consider similar factors that would be used by independent pricing services. These are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day and are categorized as Level 1 in the hierarchy.

For additional information on the Fund's policy regarding valuation of investments and other significant accounting policies, please refer to the Fund's most recent semiannual or annual shareholder report.

Quarterly Report

The fund's schedule of investments as of the date on the cover of this report has not been audited. This report is provided for the general information of the fund's shareholders. For more information regarding the fund and its holdings, please

see the fund's most recent prospectus and annual report.

Third party trademarks and service marks are the property of their respective owners. All other trademarks and service marks are the property of FMR LLC

or an affiliate.

Quarterly Report

Quarterly Holdings Report

for

Fidelity ® Intermediate Bond Fund

May 31, 2011

1.804838.107

IBF-QTLY-0711

Investments May 31, 2011 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 34.3%
	Principal Amount (000s)		Value (000s)
CONSUMER DISCRETIONARY - 3.2%
Auto Components - 0.3%
DaimlerChrysler NA Holding Corp.:
5.75% 9/8/11	$ 9,641		$ 9,775
6.5% 11/15/13	4,012		4,496
			14,271
Diversified Consumer Services - 0.1%
Yale University 2.9% 10/15/14	3,460		3,639
Household Durables - 0.4%
Fortune Brands, Inc.:
5.375% 1/15/16	5,132		5,575
6.375% 6/15/14	5,777		6,443
Whirlpool Corp. 6.125% 6/15/11	5,150		5,159
			17,177
Media - 1.8%
Comcast Corp.:
4.95% 6/15/16	2,432		2,671
5.15% 3/1/20	4,685		5,042
5.7% 5/15/18	355		398
COX Communications, Inc. 4.625% 6/1/13	4,934		5,251
Discovery Communications LLC:
3.7% 6/1/15	5,906		6,227
5.05% 6/1/20	2,181		2,322
NBC Universal, Inc.:
3.65% 4/30/15 (c)	549		577
5.15% 4/30/20 (c)	6,800		7,234
News America, Inc.:
5.3% 12/15/14	968		1,080
6.9% 3/1/19	5,426		6,447
Time Warner Cable, Inc.:
5.4% 7/2/12	3,163		3,317
5.85% 5/1/17	4,293		4,804
6.2% 7/1/13	3,008		3,308
6.75% 7/1/18	7,189		8,357
Time Warner, Inc.:
3.15% 7/15/15	204		210
4.875% 3/15/20	5,060		5,270
5.875% 11/15/16	5,025		5,752
Viacom, Inc.:
3.5% 4/1/17	3,145		3,207
6.125% 10/5/17	3,071		3,533
			75,007
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
CONSUMER DISCRETIONARY - continued
Multiline Retail - 0.2%
Target Corp. 3.875% 7/15/20	$ 6,900		$ 6,977
Specialty Retail - 0.4%
Home Depot, Inc. 4.4% 4/1/21	4,240		4,325
Lowe's Companies, Inc. 4.625% 4/15/20	4,793		5,144
Staples, Inc. 7.375% 10/1/12	8,943		9,605
			19,074
TOTAL CONSUMER DISCRETIONARY			136,145
CONSUMER STAPLES - 1.8%
Beverages - 0.7%
Anheuser-Busch InBev Worldwide, Inc.:
2.5% 3/26/13	9,338		9,581
5.375% 11/15/14	928		1,039
7.2% 1/15/14	7,000		8,016
Diageo Capital PLC 5.2% 1/30/13	1,146		1,227
FBG Finance Ltd. 5.125% 6/15/15 (c)	3,800		4,152
PepsiCo, Inc. 7.9% 11/1/18	5,580		7,247
The Coca-Cola Co. 3.15% 11/15/20	670		650
			31,912
Food & Staples Retailing - 0.2%
CVS Caremark Corp. 4.125% 5/15/21	4,367		4,295
Wal-Mart Stores, Inc. 2.25% 7/8/15	5,578		5,674
			9,969
Food Products - 0.3%
Cargill, Inc. 6% 11/27/17 (c)	781		904
General Mills, Inc. 5.2% 3/17/15	3,350		3,740
Kraft Foods, Inc.:
5.375% 2/10/20	4,470		4,893
5.625% 11/1/11	774		790
6.5% 8/11/17	1,168		1,372
6.75% 2/19/14	596		677
			12,376
Tobacco - 0.6%
Altria Group, Inc.:
8.5% 11/10/13	251		293
9.7% 11/10/18	9,728		12,991
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
CONSUMER STAPLES - continued
Tobacco - continued
Philip Morris International, Inc. 4.5% 3/26/20	$ 6,800		$ 7,148
Reynolds American, Inc. 6.75% 6/15/17	3,818		4,466
			24,898
TOTAL CONSUMER STAPLES			79,155
ENERGY - 4.0%
Energy Equipment & Services - 0.6%
DCP Midstream LLC 5.35% 3/15/20 (c)	4,118		4,400
El Paso Pipeline Partners Operating Co. LLC 6.5% 4/1/20	5,067		5,817
Halliburton Co. 6.15% 9/15/19	2,601		3,068
Noble Holding International Ltd. 3.45% 8/1/15	486		505
Weatherford International Ltd.:
4.95% 10/15/13	2,254		2,414
5.15% 3/15/13	8,620		9,157
			25,361
Oil, Gas & Consumable Fuels - 3.4%
Anadarko Petroleum Corp.:
5.95% 9/15/16	373		421
6.375% 9/15/17	3,957		4,550
BW Group Ltd. 6.625% 6/28/17 (c)	3,827		3,868
Canadian Natural Resources Ltd.:
5.15% 2/1/13	5,823		6,214
5.7% 5/15/17	1,500		1,728
Cenovus Energy, Inc. 5.7% 10/15/19	4,250		4,892
Duke Capital LLC 6.25% 2/15/13	1,104		1,195
Duke Energy Field Services 5.375% 10/15/15 (c)	1,581		1,762
El Paso Natural Gas Co. 5.95% 4/15/17	178		203
EnCana Corp. 6.3% 11/1/11	647		662
EnCana Holdings Finance Corp. 5.8% 5/1/14	3,739		4,184
Enterprise Products Operating LP:
4.6% 8/1/12	4,309		4,485
5.6% 10/15/14	2,531		2,825
5.65% 4/1/13	769		829
Gulf South Pipeline Co. LP 5.75% 8/15/12 (c)	5,000		5,221
Gulfstream Natural Gas System LLC 6.95% 6/1/16 (c)	170		201
Kaneb Pipe Line Operations Participation LP 7.75% 2/15/12	5,140		5,343
Marathon Petroleum Corp. 3.5% 3/1/16 (c)	3,810		3,912
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
ENERGY - continued
Oil, Gas & Consumable Fuels - continued
Midcontinent Express Pipeline LLC 5.45% 9/15/14 (c)	$ 6,841		$ 7,526
Motiva Enterprises LLC 5.75% 1/15/20 (c)	468		527
Nexen, Inc.:
5.2% 3/10/15	1,177		1,293
6.2% 7/30/19	464		528
NGPL PipeCo LLC 6.514% 12/15/12 (c)	7,503		7,912
Petro-Canada 6.05% 5/15/18	1,874		2,151
Petrobras International Finance Co. Ltd.:
5.75% 1/20/20	5,269		5,588
7.875% 3/15/19	4,229		5,102
Petroleos Mexicanos 6% 3/5/20	495		536
Plains All American Pipeline LP/PAA Finance Corp.:
3.95% 9/15/15	2,551		2,689
4.25% 9/1/12	6,373		6,617
5.75% 1/15/20	6,268		6,912
Ras Laffan Liquefied Natural Gas Co. Ltd. 8.294% 3/15/14 (c)	2,320		2,544
Ras Laffan Liquefied Natural Gas Co. Ltd. III:
4.5% 9/30/12 (c)	2,054		2,131
5.832% 9/30/16 (c)	1,461		1,592
Rockies Express Pipeline LLC 6.25% 7/15/13 (c)	3,521		3,788
Southeast Supply Header LLC 4.85% 8/15/14 (c)	5,816		6,216
Spectra Energy Capital, LLC 5.65% 3/1/20	237		260
Suncor Energy, Inc. 6.1% 6/1/18	5,571		6,425
Texas Eastern Transmission LP 6% 9/15/17 (c)	5,603		6,506
Transcontinental Gas Pipe Line Corp. 6.4% 4/15/16	1,717		2,019
Western Gas Partners LP 5.375% 6/1/21	4,300		4,446
XTO Energy, Inc.:
4.9% 2/1/14	5,260		5,787
5% 1/31/15	1,932		2,168
5.65% 4/1/16	1,325		1,543
			145,301
TOTAL ENERGY			170,662
FINANCIALS - 17.0%
Capital Markets - 2.5%
Bear Stearns Companies, Inc. 5.3% 10/30/15	2,688		2,971
BlackRock, Inc. 4.25% 5/24/21	3,460		3,452
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Capital Markets - continued
Goldman Sachs Group, Inc.:
3.7% 8/1/15	$ 5,015		$ 5,092
5.375% 3/15/20	5,000		5,156
5.95% 1/18/18	10,163		11,010
6.15% 4/1/18	3,044		3,338
Janus Capital Group, Inc. 5.875% 9/15/11 (b)	3,682		3,715
Lazard Group LLC:
6.85% 6/15/17	4,983		5,577
7.125% 5/15/15	1,782		2,008
Merrill Lynch & Co., Inc.:
5.45% 2/5/13	7,865		8,373
6.4% 8/28/17	1,406		1,578
6.875% 4/25/18	5,859		6,677
Morgan Stanley:
4% 7/24/15	497		515
4.1% 1/26/15	8,840		9,208
4.75% 4/1/14	1,028		1,084
5.45% 1/9/17	1,019		1,099
5.625% 9/23/19	933		974
5.75% 1/25/21	4,378		4,579
5.95% 12/28/17	2,475		2,715
6% 4/28/15	1,087		1,206
6.625% 4/1/18	653		735
7.3% 5/13/19	3,668		4,224
Royal Bank of Scotland PLC:
4.375% 3/16/16	4,600		4,705
4.875% 8/25/14 (c)	8,200		8,664
The Bank of New York, Inc. 4.3% 5/15/14	4,267		4,631
UBS AG Stamford Branch 3.875% 1/15/15	4,700		4,965
			108,251
Commercial Banks - 4.7%
ANZ Banking Group Ltd. 2.125% 1/10/14 (c)	8,970		9,096
Bank of America NA:
5.3% 3/15/17	687		726
6.1% 6/15/17	294		324
Barclays Bank PLC 2.375% 1/13/14	10,930		11,146
BB&T Corp. 6.5% 8/1/11	1,372		1,385
Comerica, Inc. 3% 9/16/15	15		15
Commonwealth Bank of Australia 2.9% 9/17/14 (c)	19,580		20,552
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Commercial Banks - continued
Credit Suisse New York Branch:
2.2% 1/14/14	$ 3,216		$ 3,272
6% 2/15/18	9,301		10,238
Danske Bank A/S 3.875% 4/14/16 (c)	6,370		6,488
DBS Bank Ltd. (Singapore) 0.4808% 5/16/17 (c)(i)	6,404		6,324
Export-Import Bank of Korea:
5.25% 2/10/14 (c)	624		671
5.5% 10/17/12	2,920		3,072
Fifth Third Bancorp:
3.625% 1/25/16	2,439		2,495
4.5% 6/1/18	440		439
8.25% 3/1/38	568		709
Fifth Third Bank 4.75% 2/1/15	2,708		2,878
Fifth Third Capital Trust IV 6.5% 4/15/67 (i)	55		55
HBOS PLC 6.75% 5/21/18 (c)	3,004		3,032
HSBC Holdings PLC 5.1% 4/5/21	4,270		4,443
Huntington Bancshares, Inc. 7% 12/15/20	1,204		1,388
ING Bank NV 2.65% 1/14/13 (c)	8,720		8,856
JPMorgan Chase Bank 6% 10/1/17	12,071		13,571
KeyBank NA 5.8% 7/1/14	1,865		2,054
KeyCorp. 5.1% 3/24/21	4,303		4,479
Manufacturers & Traders Trust Co. 1.8045% 4/1/13 (i)	515		516
Marshall & Ilsley Bank:
5% 1/17/17	298		324
5.25% 9/4/12	47		49
PNC Funding Corp. 3.625% 2/8/15	2,676		2,828
Rabobank (Netherlands) NV 1.85% 1/10/14	12,454		12,611
Regions Bank:
6.45% 6/26/37	514		480
7.5% 5/15/18	2,648		2,866
Regions Financial Corp.:
0.4785% 6/26/12 (i)	260		253
5.75% 6/15/15	31		32
7.75% 11/10/14	168		184
SunTrust Banks, Inc. 3.6% 4/15/16	3,630		3,717
Svenska Handelsbanken AB 2.875% 9/14/12 (c)	14,641		15,015
U.S. Bancorp 1.375% 9/13/13	9,640		9,712
UniCredit Luxembourg Finance SA 5.584% 1/13/17 (c)(i)	3,796		3,805
UnionBanCal Corp. 5.25% 12/16/13	857		926
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Commercial Banks - continued
Wachovia Bank NA:
4.8% 11/1/14	$ 286		$ 310
4.875% 2/1/15	1,823		1,975
Wachovia Corp. 5.625% 10/15/16	4,400		4,915
Wells Fargo & Co.:
3.676% 6/15/16	4,260		4,427
3.75% 10/1/14	14,626		15,570
Westpac Banking Corp. 1.85% 12/9/13	4,120		4,163
			202,386
Consumer Finance - 1.6%
American Express Credit Corp. 2.75% 9/15/15	9,640		9,704
American Honda Finance Corp. 2.375% 3/18/13 (c)	1,800		1,836
Capital One Financial Corp.:
5.7% 9/15/11	3,642		3,695
7.375% 5/23/14	582		677
Discover Financial Services:
6.45% 6/12/17	2,977		3,350
10.25% 7/15/19	448		597
General Electric Capital Corp.:
1.875% 9/16/13	1,899		1,918
2.1% 1/7/14	4,222		4,272
2.25% 11/9/15	6,196		6,112
2.8% 1/8/13	9,075		9,313
2.95% 5/9/16	1,773		1,779
3.5% 8/13/12	4,879		5,033
3.5% 6/29/15	1,833		1,920
6.375% 11/15/67 (i)	5,670		5,897
Household Finance Corp. 6.375% 10/15/11	7,030		7,184
HSBC Finance Corp. 5.9% 6/19/12	444		467
SLM Corp. 0.5038% 10/25/11 (i)	5,737		5,723
			69,477
Diversified Financial Services - 3.3%
Bank of America Corp. 5.75% 12/1/17	6,840		7,418
BB&T Corp. 2.05% 4/28/14	4,200		4,251
BNP Paribas:
2.125% 12/21/12	2,270		2,312
3.25% 3/11/15	4,870		5,020
BP Capital Markets PLC:
3.125% 10/1/15	503		515
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Diversified Financial Services - continued
BP Capital Markets PLC: - continued
3.2% 3/11/16	$ 4,270		$ 4,356
3.625% 5/8/14	547		576
4.5% 10/1/20	500		512
Capital One Capital V 10.25% 8/15/39	1,170		1,245
Citigroup, Inc.:
4.75% 5/19/15	9,021		9,678
5.125% 5/5/14	1,651		1,784
6.125% 5/15/18	321		358
6.5% 8/19/13	21,531		23,671
Deutsche Bank AG London Branch 2.375% 1/11/13	8,750		8,940
JPMorgan Chase & Co.:
3.4% 6/24/15	17,366		17,951
4.625% 5/10/21	4,300		4,315
New York Life Global Fund 2.25% 12/14/12 (c)	4,310		4,409
ORIX Corp. 5.48% 11/22/11	425		433
Prime Property Funding, Inc.:
5.125% 6/1/15 (c)	1,411		1,478
5.35% 4/15/12 (c)	434		445
5.5% 1/15/14 (c)	999		1,075
5.7% 4/15/17 (c)	2,195		2,302
TECO Finance, Inc.:
4% 3/15/16	1,147		1,201
5.15% 3/15/20	1,709		1,833
TransCapitalInvest Ltd. 5.67% 3/5/14 (c)	4,406		4,714
USAA Capital Corp. 3.5% 7/17/14 (c)	5,832		6,124
Volkswagen International Finance NV 1.875% 4/1/14 (c)	8,100		8,156
Whirlpool Corp. 8% 5/1/12	4,870		5,175
ZFS Finance USA Trust II 6.45% 12/15/65 (c)(i)	5,531		5,780
ZFS Finance USA Trust IV 5.875% 5/9/62 (c)(i)	2,866		2,896
ZFS Finance USA Trust V 6.5% 5/9/67 (c)(i)	2,778		2,868
			141,791
Insurance - 1.7%
Aon Corp.:
3.5% 9/30/15	6,239		6,442
5% 9/30/20	62		64
Assurant, Inc. 5.625% 2/15/14	2,474		2,658
Axis Capital Holdings Ltd. 5.75% 12/1/14	617		671
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Insurance - continued
Great-West Life & Annuity Insurance Co. 7.153% 5/16/46 (c)(i)	$ 1,929		$ 2,025
Hartford Financial Services Group, Inc. 5.375% 3/15/17	149		160
Liberty Mutual Group, Inc.:
5% 6/1/21 (c)	4,280		4,207
6.5% 3/15/35 (c)	769		774
MetLife, Inc.:
2.375% 2/6/14	6,330		6,460
5% 6/15/15	1,285		1,413
Metropolitan Life Global Funding I 2.5% 9/29/15 (c)	3,000		2,999
Monumental Global Funding II 5.65% 7/14/11 (c)	2,239		2,248
Monumental Global Funding III 5.5% 4/22/13 (c)	2,851		3,042
Northwestern Mutual Life Insurance Co. 6.063% 3/30/40 (c)	401		443
Pacific Life Global Funding 5.15% 4/15/13 (c)	7,724		8,214
Pacific LifeCorp 6% 2/10/20 (c)	428		469
Prudential Financial, Inc.:
3.625% 9/17/12	4,198		4,334
4.5% 11/15/20	4,820		4,873
5.15% 1/15/13	614		650
5.4% 6/13/35	499		491
QBE Insurance Group Ltd. 5.647% 7/1/23 (c)(i)	246		240
Symetra Financial Corp. 6.125% 4/1/16 (c)	6,640		6,975
The Chubb Corp. 5.75% 5/15/18	1,739		1,992
Unum Group:
5.625% 9/15/20	2,518		2,672
7.125% 9/30/16	4,802		5,590
			70,106
Real Estate Investment Trusts - 0.9%
AvalonBay Communities, Inc.:
4.95% 3/15/13	405		430
5.5% 1/15/12	1,655		1,702
BRE Properties, Inc. 5.5% 3/15/17	508		559
Camden Property Trust:
5.375% 12/15/13	2,244		2,417
5.875% 11/30/12	741		785
Developers Diversified Realty Corp.:
4.75% 4/15/18	1,897		1,896
5.375% 10/15/12	1,677		1,737
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Real Estate Investment Trusts - continued
Developers Diversified Realty Corp.: - continued
7.5% 4/1/17	$ 2,748		$ 3,192
Duke Realty LP:
4.625% 5/15/13	885		930
5.875% 8/15/12	517		544
Equity One, Inc.:
6% 9/15/17	958		1,026
6.25% 12/15/14	520		570
6.25% 1/15/17	545		592
Equity Residential 5.125% 3/15/16	3,150		3,447
Federal Realty Investment Trust:
5.4% 12/1/13	557		603
5.9% 4/1/20	42		47
6% 7/15/12	3,796		3,992
6.2% 1/15/17	685		780
HRPT Properties Trust:
5.75% 11/1/15	982		1,062
6.25% 6/15/17	1,361		1,506
6.65% 1/15/18	792		894
UDR, Inc. 5.5% 4/1/14	4,753		5,082
Washington (REIT):
5.25% 1/15/14	248		268
5.95% 6/15/11	4,736		4,743
			38,804
Real Estate Management & Development - 1.7%
AMB Property LP 5.9% 8/15/13	2,849		3,024
Arden Realty LP 5.2% 9/1/11	2,074		2,097
BioMed Realty LP:
3.85% 4/15/16	8,587		8,708
6.125% 4/15/20	1,521		1,645
Brandywine Operating Partnership LP:
5.7% 5/1/17	2,338		2,538
5.75% 4/1/12	2,711		2,811
Colonial Properties Trust 6.875% 8/15/12	717		745
Duke Realty LP:
5.4% 8/15/14	2,777		3,015
5.625% 8/15/11	4,074		4,110
6.25% 5/15/13	6,766		7,336
6.75% 3/15/20	291		333
8.25% 8/15/19	57		70
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Real Estate Management & Development - continued
ERP Operating LP:
4.75% 7/15/20	$ 2,996		$ 3,105
5.375% 8/1/16	1,323		1,464
5.5% 10/1/12	2,159		2,283
5.75% 6/15/17	4,704		5,304
Liberty Property LP:
4.75% 10/1/20	3,111		3,177
5.125% 3/2/15	1,250		1,368
5.5% 12/15/16	1,941		2,145
6.625% 10/1/17	2,744		3,192
Mack-Cali Realty LP 7.75% 8/15/19	539		664
Post Apartment Homes LP 6.3% 6/1/13	4,169		4,480
Regency Centers LP:
4.95% 4/15/14	675		718
5.25% 8/1/15	2,356		2,568
5.875% 6/15/17	1,166		1,316
Simon Property Group LP:
4.2% 2/1/15	1,570		1,691
5.3% 5/30/13	50		54
Tanger Properties LP:
6.125% 6/1/20	3,006		3,371
6.15% 11/15/15	801		900
			74,232
Thrifts & Mortgage Finance - 0.6%
Bank of America Corp.:
4.5% 4/1/15	6,700		7,091
5.875% 1/5/21	5,905		6,297
First Niagara Financial Group, Inc. 6.75% 3/19/20	4,283		4,787
U.S. Central Federal Credit Union 1.9% 10/19/12	6,480		6,611
			24,786
TOTAL FINANCIALS			729,833
HEALTH CARE - 1.4%
Biotechnology - 0.1%
Amgen, Inc. 5.85% 6/1/17	3,264		3,817
Celgene Corp. 2.45% 10/15/15	472		469
			4,286
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
HEALTH CARE - continued
Health Care Equipment & Supplies - 0.1%
Medtronic, Inc. 4.45% 3/15/20	$ 4,540		$ 4,800
Health Care Providers & Services - 0.8%
Coventry Health Care, Inc.:
5.95% 3/15/17	1,930		2,089
6.3% 8/15/14	3,995		4,304
Express Scripts, Inc.:
3.125% 5/15/16	3,905		3,947
5.25% 6/15/12	3,081		3,214
6.25% 6/15/14	1,824		2,062
Medco Health Solutions, Inc. 2.75% 9/15/15	8,204		8,287
UnitedHealth Group, Inc. 3.875% 10/15/20	5,296		5,240
WellPoint, Inc. 4.35% 8/15/20	5,502		5,602
			34,745
Pharmaceuticals - 0.4%
Merck & Co., Inc. 5% 6/30/19	2,152		2,396
Roche Holdings, Inc. 5% 3/1/14 (c)	4,101		4,505
Teva Pharmaceutical Finance II BV/Teva Pharmaceutical Finance III LLC 3% 6/15/15	6,900		7,129
Watson Pharmaceuticals, Inc. 5% 8/15/14	554		604
			14,634
TOTAL HEALTH CARE			58,465
INDUSTRIALS - 0.3%
Aerospace & Defense - 0.0%
BAE Systems Holdings, Inc.:
4.95% 6/1/14 (c)	440		474
6.4% 12/15/11 (c)	1,021		1,053
			1,527
Airlines - 0.2%
Continental Airlines, Inc.:
6.648% 3/15/19	3,372		3,565
6.795% 2/2/20	189		187
6.9% 7/2/19	992		1,053
U.S. Airways pass-thru trust certificates:
6.85% 7/30/19	2,139		2,054
8.36% 1/20/19	1,605		1,693
			8,552
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
INDUSTRIALS - continued
Industrial Conglomerates - 0.1%
Covidien International Finance SA:
5.45% 10/15/12	$ 738		$ 784
6% 10/15/17	3,234		3,803
			4,587
TOTAL INDUSTRIALS			14,666
INFORMATION TECHNOLOGY - 0.9%
Computers & Peripherals - 0.1%
Hewlett-Packard Co. 4.3% 6/1/21	4,000		4,032
Electronic Equipment & Components - 0.3%
Tyco Electronics Group SA:
5.95% 1/15/14	3,938		4,357
6% 10/1/12	5,018		5,344
6.55% 10/1/17	2,606		3,091
			12,792
Office Electronics - 0.3%
Xerox Corp.:
4.25% 2/15/15	11,883		12,718
5.5% 5/15/12	2,072		2,163
			14,881
Software - 0.2%
Oracle Corp. 3.875% 7/15/20 (c)	6,900		6,950
TOTAL INFORMATION TECHNOLOGY			38,655
MATERIALS - 0.9%
Chemicals - 0.2%
Dow Chemical Co.:
4.85% 8/15/12	9,864		10,314
7.6% 5/15/14	669		780
			11,094
Construction Materials - 0.1%
CRH America, Inc. 6% 9/30/16	2,372		2,634
Metals & Mining - 0.6%
Anglo American Capital PLC:
2.15% 9/27/13 (c)	7,200		7,305
9.375% 4/8/14 (c)	3,434		4,156
9.375% 4/8/19 (c)	3,822		5,187
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
MATERIALS - continued
Metals & Mining - continued
ArcelorMittal SA 3.75% 3/1/16	$ 1,138		$ 1,156
BHP Billiton Financial (USA) Ltd. 5.125% 3/29/12	2,182		2,267
Corporacion Nacional del Cobre (Codelco) 6.375% 11/30/12 (c)	2,211		2,367
Vale Overseas Ltd. 6.25% 1/23/17	3,005		3,436
			25,874
TOTAL MATERIALS			39,602
TELECOMMUNICATION SERVICES - 2.2%
Diversified Telecommunication Services - 1.6%
AT&T Broadband Corp. 8.375% 3/15/13	2,855		3,212
AT&T, Inc.:
2.5% 8/15/15	515		521
6.7% 11/15/13	1,296		1,459
CenturyLink, Inc. 6.15% 9/15/19	3,860		4,090
Deutsche Telekom International Financial BV:
3.125% 4/11/16 (c)	6,407		6,539
5.25% 7/22/13	2,703		2,932
France Telecom SA 2.125% 9/16/15	1,491		1,493
Qwest Corp. 3.5595% 6/15/13 (i)	4,110		4,223
SBC Communications, Inc.:
5.1% 9/15/14	6,685		7,398
5.875% 2/1/12	3,018		3,124
5.875% 8/15/12	1,080		1,146
Telecom Italia Capital SA:
4.95% 9/30/14	4,152		4,397
5.25% 10/1/15	2,889		3,062
7.175% 6/18/19	401		455
Telefonica Emisiones SAU:
3.729% 4/27/15	8,664		8,947
5.134% 4/27/20	401		410
6.421% 6/20/16	1,283		1,453
Verizon Communications, Inc.:
3% 4/1/16	4,379		4,476
5.25% 4/15/13	1,400		1,508
Verizon New York, Inc. 6.875% 4/1/12	6,531		6,862
			67,707
Wireless Telecommunication Services - 0.6%
America Movil SAB de CV 3.625% 3/30/15	5,062		5,326
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
TELECOMMUNICATION SERVICES - continued
Wireless Telecommunication Services - continued
DIRECTV Holdings LLC/DIRECTV Financing, Inc.:
4.75% 10/1/14	$ 9,282		$ 10,171
5.875% 10/1/19	287		321
Sprint Nextel Corp. 6% 12/1/16	1,159		1,179
Vodafone Group PLC:
4.15% 6/10/14	2,355		2,536
5% 12/16/13	2,972		3,242
5.5% 6/15/11	3,824		3,830
			26,605
TOTAL TELECOMMUNICATION SERVICES			94,312
UTILITIES - 2.6%
Electric Utilities - 1.4%
Ameren Illinois Co. 6.125% 11/15/17	455		524
AmerenUE 6.4% 6/15/17	3,867		4,509
Cleveland Electric Illuminating Co. 5.65% 12/15/13	5,324		5,800
Commonwealth Edison Co. 1.625% 1/15/14	4,828		4,865
Duquesne Light Holdings, Inc. 6.4% 9/15/20 (c)	203		213
Edison International 3.75% 9/15/17	2,938		2,964
EDP Finance BV:
4.9% 10/1/19 (c)	1,200		1,081
5.375% 11/2/12 (c)	2,201		2,252
Enel Finance International SA 5.7% 1/15/13 (c)	575		613
Exelon Corp. 4.9% 6/15/15	3,038		3,281
FirstEnergy Corp. 7.375% 11/15/31	463		538
FirstEnergy Solutions Corp.:
4.8% 2/15/15	1,018		1,091
6.05% 8/15/21	4,294		4,722
LG&E and KU Energy LLC:
2.125% 11/15/15 (c)	3,294		3,210
3.75% 11/15/20 (c)	19		18
Mid-American Energy Co. 5.65% 7/15/12	213		224
Nevada Power Co.:
6.5% 5/15/18	6,784		7,956
6.5% 8/1/18	2,033		2,386
Pennsylvania Electric Co. 6.05% 9/1/17	844		944
Pepco Holdings, Inc. 2.7% 10/1/15	3,115		3,135
Progress Energy, Inc. 4.4% 1/15/21	4,958		5,094
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
UTILITIES - continued
Electric Utilities - continued
Sierra Pacific Power Co. 5.45% 9/1/13	$ 2,018		$ 2,197
Tampa Electric Co. 5.4% 5/15/21	1,635		1,821
			59,438
Independent Power Producers & Energy Traders - 0.5%
Duke Capital LLC 5.668% 8/15/14	2,661		2,962
Exelon Generation Co. LLC:
4% 10/1/20	669		644
5.2% 10/1/19	6,500		6,858
5.35% 1/15/14	1,687		1,834
PPL Energy Supply LLC 6.3% 7/15/13	8,190		8,958
			21,256
Multi-Utilities - 0.7%
Consolidated Edison Co. of New York, Inc. 4.45% 6/15/20	4,620		4,883
Dominion Resources, Inc.:
6.3% 9/30/66 (i)	4,542		4,497
7.5% 6/30/66 (i)	4,221		4,474
DTE Energy Co. 7.05% 6/1/11	1,991		1,991
MidAmerican Energy Holdings, Co. 5.875% 10/1/12	3,675		3,912
National Grid PLC 6.3% 8/1/16	1,843		2,128
NiSource Finance Corp.:
5.25% 9/15/17	2,656		2,905
5.4% 7/15/14	1,743		1,923
5.45% 9/15/20	313		335
6.4% 3/15/18	1,717		1,970
Wisconsin Energy Corp. 6.25% 5/15/67 (i)	3,383		3,425
			32,443
TOTAL UTILITIES			113,137
TOTAL NONCONVERTIBLE BONDS (Cost $1,359,147)		1,474,632
U.S. Government and Government Agency Obligations - 40.6%
U.S. Government Agency Obligations - 4.8%
Fannie Mae:
0.75% 12/18/13	4,563		4,553
1.125% 6/27/14	18,401		18,494
U.S. Government and Government Agency Obligations - continued
	Principal Amount (000s)		Value (000s)
U.S. Government Agency Obligations - continued
Fannie Mae: - continued
1.25% 8/20/13	$ 6,260		$ 6,345
1.25% 2/27/14	7,263		7,345
2.5% 5/15/14	57,116		59,633
2.75% 3/13/14	18,330		19,282
4.625% 10/15/13	1,967		2,148
Freddie Mac:
1.375% 2/25/14	19,070		19,331
1.75% 9/10/15	62,973		63,545
2.5% 4/23/14	5,680		5,934
U.S. Department of Housing and Urban Development Government guaranteed participation certificates Series 1996-A, 7.66% 8/1/15	169		170
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS			206,780
U.S. Treasury Obligations - 34.7%
U.S. Treasury Notes:
1% 5/15/14	2,097		2,111
1.75% 7/31/15	178,208		181,439
1.875% 9/30/17	1,890		1,856
2.125% 5/31/15	102,259		105,838
2.375% 9/30/14 (f)	82,860		86,789
2.375% 10/31/14	14,783		15,481
2.375% 5/31/18	184,985		184,955
2.5% 3/31/15	17,997		18,914
2.5% 4/30/15	112,872		118,551
2.625% 7/31/14	110,000		116,084
3% 9/30/16	83,994		89,158
3.125% 10/31/16	15,084		16,095
3.125% 1/31/17 (f)	44,686		47,573
3.125% 5/15/21	6,139		6,177
3.625% 2/15/20	228,401		243,194
3.625% 2/15/21	243,123		255,664
TOTAL U.S. TREASURY OBLIGATIONS			1,489,879
Other Government Related - 1.1%
Bank of America Corp.:
2.1% 4/30/12 (FDIC Guaranteed) (e)	3,370		3,427
3.125% 6/15/12 (FDIC Guaranteed) (e)	4,498		4,629
U.S. Government and Government Agency Obligations - continued
	Principal Amount (000s)		Value (000s)
Other Government Related - continued
Citigroup Funding, Inc.:
1.875% 11/15/12 (FDIC Guaranteed) (e)	$ 10,700		$ 10,924
2.125% 7/12/12 (FDIC Guaranteed) (e)	2,250		2,296
2.25% 12/10/12 (FDIC Guaranteed) (e)	10,850		11,155
General Electric Capital Corp. 2% 9/28/12 (FDIC Guaranteed) (e)	12,980		13,272
Goldman Sachs Group, Inc. 3.25% 6/15/12 (FDIC Guaranteed) (e)	2,149		2,214
TOTAL OTHER GOVERNMENT RELATED			47,917
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $1,695,695)		1,744,576
U.S. Government Agency - Mortgage Securities - 5.6%
Fannie Mae - 4.4%
1.975% 10/1/33 (i)	224		231
2.01% 2/1/33 (i)	202		209
2.035% 3/1/35 (i)	167		174
2.042% 12/1/34 (i)	229		238
2.053% 10/1/33 (i)	96		101
2.065% 7/1/35 (i)	90		94
2.175% 3/1/35 (i)	38		40
2.457% 3/1/35 (i)	116		121
2.481% 10/1/35 (i)	350		362
2.534% 7/1/34 (i)	113		117
2.542% 7/1/35 (i)	428		448
2.554% 10/1/33 (i)	273		287
2.589% 6/1/36 (i)	178		186
2.59% 12/1/33 (i)	6,683		7,005
2.603% 7/1/35 (i)	731		766
2.62% 11/1/36 (i)	1,300		1,363
2.711% 5/1/35 (i)	460		486
2.908% 4/1/35 (i)	4,110		4,311
2.908% 9/1/36 (i)	2,011		2,126
3.194% 1/1/40 (i)	3,785		3,958
3.344% 1/1/40 (i)	5,628		5,910
3.472% 3/1/40 (i)	3,737		3,923
3.5% 1/1/26	93,057		94,992
3.533% 7/1/37 (i)	389		408
U.S. Government Agency - Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Fannie Mae - continued
3.54% 12/1/39 (i)	$ 1,108		$ 1,164
3.604% 3/1/40 (i)	4,302		4,533
3.658% 3/1/40 (i)	2,189		2,304
3.692% 5/1/40 (i)	2,066		2,178
3.697% 5/1/40 (i)	2,469		2,603
3.744% 1/1/40 (i)	1,943		2,050
3.764% 10/1/39 (i)	2,579		2,722
3.793% 6/1/40 (i)	2,170		2,290
3.863% 4/1/40 (i)	1,023		1,080
3.972% 11/1/39 (i)	1,879		1,991
4% 7/1/18	3,170		3,355
4% 1/1/40 (i)	489		518
4.01% 2/1/40 (i)	995		1,052
4.102% 1/1/40 (i)	726		770
4.5% 8/1/18 to 7/1/20	7,754		8,297
5.5% 9/1/17 to 6/1/36	18,871		20,498
6.5% 4/1/13 to 3/1/26	1,055		1,125
7% 7/1/25 to 2/1/32	31		36
7.5% 8/1/13 to 8/1/29	391		443
12.5% 4/1/15	3		3
TOTAL FANNIE MAE			186,868
Freddie Mac - 1.1%
2.155% 4/1/35 (i)	1,732		1,823
2.357% 3/1/36 (i)	320		330
2.499% 1/1/35 (i)	154		162
2.92% 11/1/35 (i)	762		806
2.942% 3/1/33 (i)	35		37
3.281% 10/1/35 (i)	256		273
3.522% 12/1/39 (i)	2,948		3,090
3.547% 4/1/40 (i)	2,775		2,914
3.591% 4/1/40 (i)	2,481		2,608
3.617% 2/1/40 (i)	6,297		6,628
3.801% 4/1/40 (i)	2,038		2,142
3.926% 5/1/40 (i)	729		769
3.981% 3/1/40 (i)	2,079		2,199
4.105% 12/1/39 (i)	448		474
4.5% 8/1/18	10,253		10,965
5% 3/1/19	12,305		13,299
U.S. Government Agency - Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Freddie Mac - continued
7% 7/1/11 to 3/1/12	$ 5		$ 5
7.5% 6/1/11 to 1/1/33	165		185
TOTAL FREDDIE MAC			48,709
Ginnie Mae - 0.1%
7% 1/15/28 to 11/15/32	4,216		4,847
7.5% 3/15/28	5		5
8% 7/15/17 to 5/15/22	970		1,071
TOTAL GINNIE MAE			5,923
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $235,878)		241,500
Asset-Backed Securities - 7.7%
Accredited Mortgage Loan Trust Series 2005-1 Class M1, 0.664% 4/25/35 (i)	715		501
ACE Securities Corp. Home Equity Loan Trust:
Series 2004-HE1:
Class M1, 0.944% 3/25/34 (i)	19		19
Class M2, 1.844% 3/25/34 (i)	356		286
Series 2005-HE2 Class M2, 0.644% 4/25/35 (i)	70		67
Series 2006-OP1 Class M4, 0.564% 4/25/36 (i)	65		0
Advanta Business Card Master Trust Series 2007-D1 Class D, 1.5958% 1/22/13 (c)(i)	4,593		69
Ally Auto Receivables Trust:
Series 2009 B Class A3, 1.98% 10/15/13 (c)	7,320		7,395
Series 2009-A:
Class A3, 2.33% 6/17/13 (c)	1,840		1,858
Class A4, 3% 10/15/15 (c)	1,820		1,881
Series 2010-1 Class A4, 2.3% 12/15/14	7,600		7,798
Series 2010-4 Class A4, 1.35% 12/15/15	3,930		3,902
Series 2010-5 Class A4, 1.75% 3/15/16	1,635		1,641
Series 2011-1 Class A4, 2.23% 3/15/16	7,350		7,482
Series 2011-2 Class A3, 1.18% 4/15/15	4,230		4,251
Ally Master Owner Trust:
Series 2010-3 Class A, 2.88% 4/15/15 (c)	2,160		2,225
Series 2011-1 Class A2, 2.15% 1/15/16	15,400		15,670
AmeriCredit Automobile Receivables Trust:
Series 2010-4 Class A3, 1.27% 4/8/15	5,980		5,986
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
AmeriCredit Automobile Receivables Trust: - continued
Series 2011-1 Class A3, 1.39% 9/8/15	$ 3,080		$ 3,094
AmeriCredit Automobile Receivables Trust Series 2011-2 Class A3, 1.61% 10/8/15	6,330		6,380
AmeriCredit Prime Automobile Receivables Trust Series 2007-1 Class D, 5.62% 9/8/14	714		728
Ameriquest Mortgage Securities, Inc. pass-thru certificates:
Series 2003-10 Class M1, 0.894% 12/25/33 (i)	41		33
Series 2004-R2 Class M3, 0.744% 4/25/34 (i)	60		17
Series 2005-R2 Class M1, 0.644% 4/25/35 (i)	930		803
Argent Securities, Inc. pass-thru certificates:
Series 2003-W7 Class A2, 0.9926% 3/25/34 (i)	22		17
Series 2004-W11 Class M2, 0.894% 11/25/34 (i)	253		218
Series 2004-W7 Class M1, 0.744% 5/25/34 (i)	968		735
Series 2006-W4 Class A2C, 0.354% 5/25/36 (i)	620		190
Asset Backed Securities Corp. Home Equity Loan Trust:
Series 2004-HE2 Class M1, 1.019% 4/25/34 (i)	1,202		963
Series 2006-HE2 Class M1, 0.564% 3/25/36 (i)	155		2
Axon Financial Funding Ltd. 0.873% 4/4/17 (a)(c)(i)	4,149		0*
Bank of America Auto Trust:
Series 2009-1A:
Class A3, 2.67% 7/15/13 (c)	3,372		3,397
Class A4, 3.52% 6/15/16 (c)	3,600		3,714
Series 2009-2A Class A3, 2.13% 9/15/13 (c)	1,808		1,820
Series 2009-3A Class A3, 1.67% 12/15/13 (c)	5,350		5,382
Series 2010-2 Class A3, 1.31% 7/15/14	7,730		7,786
Bear Stearns Asset Backed Securities I Trust Series 2005-HE2 Class M2, 0.944% 2/25/35 (i)	1,896		1,260
BMW Vehicle Lease Trust:
Series 2010-1 Class A3, 0.82% 4/15/13	6,180		6,191
Series 2011-1 Class A3, 1.06% 2/20/14	6,190		6,215
Brazos Higher Education Authority, Inc. Series 2006-2 Class A9, 0.318% 12/25/24 (i)	725		656
C-BASS Trust Series 2006-CB7 Class A2, 0.254% 10/25/36 (i)	28		28
Capital Auto Receivables Asset Trust:
Series 2006-2 Class C, 5.31% 6/15/12	771		777
Series 2007-1 Class C, 5.38% 11/15/12	429		441
Capital Auto Receivables Trust Series 2007-2 Class A4A, 5.39% 2/18/14	866		876
Capital One Auto Finance Trust Series 2007-C Class A4, 5.23% 7/15/14 (FGIC Insured)	7,166		7,334
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
Capital One Multi-Asset Execution Trust Series 2008-A3 Class A3, 5.05% 2/15/16	$ 2,600		$ 2,804
Capital Trust Ltd. Series 2004-1:
Class A2, 0.6458% 7/20/39 (c)(i)	310		248
Class B, 0.9458% 7/20/39 (c)(i)	189		77
Class C, 1.2958% 7/20/39 (c)(i)	243		12
CarMax Auto Owner Trust Series 2007-2 Class C, 5.61% 11/15/13	589		593
Carrington Mortgage Loan Trust:
Series 2006-FRE1 Class M1, 0.494% 7/25/36 (i)	514		21
Series 2006-NC4 Class M1, 0.494% 10/25/36 (i)	165		11
Series 2007-RFC1 Class A3, 0.334% 12/25/36 (i)	812		285
Chase Issuance Trust Series 2007-A17 Class A, 5.12% 10/15/14	9,662		10,260
Chrysler Financial Auto Securitization Trust Series 2010-A Class A3, 0.91% 8/8/13	4,830		4,838
Citibank Credit Card Issuance Trust:
Series 2008-A5 Class A5, 4.85% 4/22/15	5,489		5,903
Series 2009-A5 Class A5, 2.25% 12/23/14	13,500		13,831
CitiFinancial Auto Issuance Trust Series 2009-1 Class A3, 2.59% 10/15/13 (c)	6,500		6,581
Citigroup Mortgage Loan Trust Series 2007-AMC4 Class M1, 0.464% 5/25/37 (i)	345		20
Countrywide Asset-Backed Certificates Trust:
Series 2007-11 Class 2A1, 0.254% 6/25/47 (i)	39		38
Series 2007-4 Class A1A, 0.3326% 9/25/37 (i)	324		312
Countrywide Home Loan Trust Series 2006-13 Class N, 7% 8/25/37 (c)	149		0
Countrywide Home Loans, Inc.:
Series 2004-3 Class M4, 1.164% 4/25/34 (i)	72		35
Series 2004-4 Class M2, 0.989% 6/25/34 (i)	265		148
Series 2005-3 Class MV1, 0.614% 8/25/35 (i)	320		308
Series 2005-AB1 Class A2, 0.404% 8/25/35 (i)	33		32
CPS Auto Receivables Trust Series 2006-D Class A4, 5.115% 8/15/13 (FSA Insured) (c)	210		211
Fannie Mae subordinate REMIC pass-thru certificates Series 2004-T5 Class AB3, 0.7199% 5/28/35 (i)	18		12
Fieldstone Mortgage Investment Corp.:
Series 2004-3 Class M5, 2.369% 8/25/34 (i)	208		120
Series 2006-3 Class 2A3, 0.354% 11/25/36 (i)	3,188		1,285
Ford Credit Auto Lease Trust Series 2010-B Class A3, 0.91% 7/15/13 (c)	6,360		6,366
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
Ford Credit Auto Owner Trust:
Series 2006-C:
Class B, 5.3% 6/15/12	$ 422		$ 424
Class D, 6.89% 5/15/13 (c)	1,855		1,875
Series 2007-A Class D, 7.05% 12/15/13 (c)	1,014		1,045
Series 2009-B Class A3, 2.79% 8/15/13	3,165		3,198
Series 2009-C Class A4, 4.43% 11/15/14	3,490		3,698
Series 2009-D Class A4, 2.98% 8/15/14	4,950		5,118
Series 2009-E Class A3, 1.51% 1/15/14	4,454		4,483
Series 2010-B:
Class A3, 0.98% 10/15/14	4,170		4,189
Class A4, 1.58% 9/15/15	9,480		9,572
Ford Credit Floorplan Master Owner Trust:
Series 2006-4:
Class A, 0.448% 6/15/13 (i)	6,460		6,459
Class B, 0.748% 6/15/13 (i)	348		348
Series 2010-5 Class A1, 1.5% 9/15/15	4,390		4,412
Franklin Auto Trust:
Series 2006-1 Class B, 5.14% 7/21/14	27		27
Series 2007-1:
Class A4, 5.03% 2/16/15	104		104
Class C, 5.43% 2/16/15	453		454
Fremont Home Loan Trust:
Series 2005-A:
Class M3, 0.684% 1/25/35 (i)	427		209
Class M4, 0.874% 1/25/35 (i)	164		52
Series 2006-D Class M1, 0.424% 11/25/36 (i)	172		6
GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 0.6368% 2/25/47 (c)(i)	1,457		860
GCO Slims Trust Series 2006-1A, 5.72% 3/1/22 (c)	1,128		898
GE Business Loan Trust:
Series 2003-1 Class A, 0.628% 4/15/31 (c)(i)	108		101
Series 2006-2A:
Class A, 0.378% 11/15/34 (c)(i)	1,510		1,254
Class B, 0.478% 11/15/34 (c)(i)	547		355
Class C, 0.578% 11/15/34 (c)(i)	906		453
Class D, 0.948% 11/15/34 (c)(i)	345		86
GE Capital Credit Card Master Note Trust Series 2009-3 Class A, 2.54% 9/15/14	10,500		10,560
Goal Capital Funding Trust Series 2007-1 Class C1, 0.708% 6/25/42 (i)	545		528
GS Auto Loan Trust Series 2007-1 Class B, 5.53% 12/15/14	20		20
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
GSAMP Trust:
Series 2004-AR1:
Class B4, 5% 6/25/34 (c)(i)	$ 254		$ 70
Class M1, 0.844% 6/25/34 (i)	1,379		930
Series 2007-HE1 Class M1, 0.444% 3/25/47 (i)	547		32
Guggenheim Structured Real Estate Funding Ltd. Series 2006-3:
Class B, 0.594% 9/25/46 (c)(i)	468		244
Class C, 0.744% 9/25/46 (c)(i)	688		138
Home Equity Asset Trust:
Series 2003-2 Class M1, 1.514% 8/25/33 (i)	312		223
Series 2003-3 Class M1, 1.484% 8/25/33 (i)	336		275
Series 2003-5 Class A2, 0.894% 12/25/33 (i)	15		10
Series 2005-5 Class 2A2, 0.444% 11/25/35 (i)	30		30
Series 2006-1 Class 2A3, 0.419% 4/25/36 (i)	538		526
Series 2006-8 Class 2A1, 0.244% 3/25/37 (i)	3		3
Honda Auto Receivables Owner Trust:
Series 2009-3 Class A3, 2.31% 5/15/13	1,858		1,874
Series 2010-1 Class A4, 1.98% 5/23/16	1,770		1,806
Series 2010-2 Class A4, 1.93% 8/18/16	9,820		10,013
Series 2011-1 Class A4, 1.8% 4/17/17	2,270		2,302
Series 2011-2 Class A4, 1.55% 8/18/17	5,790		5,813
HSBC Home Equity Loan Trust Series 2006-2 Class M2, 0.4858% 3/20/36 (i)	313		266
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.384% 1/25/37 (i)	766		355
Hyundai Auto Receivables Trust Series 2009-A Class A3, 2.03% 8/15/13	2,024		2,040
John Deere Owner Trust:
Series 2009-B Class A-3, 1.57% 10/15/13	4,114		4,134
Series 2011-A Class A4, 1.96% 4/16/18	1,810		1,836
JPMorgan Mortgage Acquisition Trust:
Series 2006-NC2 Class M2, 0.494% 7/25/36 (i)	151		5
Series 2007-CH1:
Class AV4, 0.324% 11/25/36 (i)	764		650
Class MV1, 0.424% 11/25/36 (i)	621		406
Series 2007-CH3 Class M1, 0.494% 3/25/37 (i)	423		22
Keycorp Student Loan Trust:
Series 1999-A Class A2, 0.6385% 12/27/29 (i)	319		275
Series 2006-A Class 2C, 1.4585% 3/27/42 (i)	2,280		460
Long Beach Auto Receivables Trust Series 2007-A Class A4, 5.025% 1/15/14 (FSA Insured)	971		979
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
Long Beach Mortgage Loan Trust Series 2004-2 Class M2, 1.274% 6/25/34 (i)	$ 41		$ 29
Marriott Vacation Club Owner Trust Series 2006-2A:
Class B, 5.442% 10/20/28 (c)	13		14
Class C, 5.691% 10/20/28 (c)	6		6
Class D, 6.01% 10/20/28 (c)	70		72
MASTR Asset Backed Securities Trust:
Series 2006-AM3 Class M1, 0.454% 10/25/36 (i)	272		16
Series 2007-HE1 Class M1, 0.494% 5/25/37 (i)	353		19
Mercedes-Benz Auto Lease Trust Series 2011-1A Class A3 1.18% 11/15/13 (c)	8,530		8,576
Meritage Mortgage Loan Trust Series 2004-1 Class M1, 0.944% 7/25/34 (i)	133		86
Merrill Auto Trust Securitization Series 2007-1 Class B, 5.79% 12/15/13	22		22
Merrill Lynch Mortgage Investors Trust:
Series 2003-OPT1 Class M1, 1.169% 7/25/34 (i)	432		295
Series 2006-FM1 Class A2B, 0.304% 4/25/37 (i)	985		848
Series 2006-MLN1 Class A2A, 0.264% 7/25/37 (i)	7		7
Series 2006-OPT1 Class A1A, 0.454% 6/25/35 (i)	1,881		1,505
Morgan Stanley ABS Capital I Trust:
Series 2004-HE6 Class A2, 0.534% 8/25/34 (i)	26		21
Series 2004-HE7 Class B3, 5.444% 8/25/34 (i)	204		44
Series 2005-NC1 Class M1, 0.634% 1/25/35 (i)	180		122
Series 2005-NC2 Class B1, 1.364% 3/25/35 (i)	188		26
Series 2007-HE2 Class M1, 0.444% 1/25/37 (i)	194		5
National Collegiate Student Loan Trust:
Series 2004-2 Class AIO, 9.75% 10/27/14 (k)	4,649		535
Series 2006-2 Class AIO, 6% 8/25/11 (k)	2,882		28
Series 2006-3 Class AIO, 7.1% 1/25/12 (k)	16,064		522
Series 2006-4:
Class A1, 0.224% 3/25/25 (i)	31		31
Class AIO, 6.35% 2/27/12 (k)	13,011		501
Class D, 1.294% 5/25/32 (i)	1,745		13
Series 2007-1 Class AIO, 7.27% 4/25/12 (k)	15,602		897
Series 2007-2 Class AIO, 6.7% 7/25/12 (k)	11,606		790
New Century Home Equity Loan Trust:
Series 2005-4 Class M2, 0.704% 9/25/35 (i)	642		415
Series 2005-D Class M2, 0.664% 2/25/36 (i)	525		154
Nissan Auto Lease Trust:
Series 2009-A Class A3, 2.92% 12/15/11	169		169
Series 2009-B Class A3, 2.07% 1/15/15	2,877		2,884
Series 2010-B Class A4, 1.27% 10/15/16	1,980		1,988
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
Nissan Auto Receivables Owner Trust Series 2011-A Class A3, 1.18% 2/16/15	$ 3,260		$ 3,280
Ocala Funding LLC:
Series 2005-1A Class A, 1.6958% 3/20/10 (a)(c)(i)	405		0
Series 2006-1A Class A, 1.5958% 3/20/11 (a)(c)(i)	530		0
Option One Mortgage Loan Trust:
Series 2007-5 Class 2A1, 0.284% 5/25/37 (i)	10		10
Series 2007-6 Class 2A1, 0.254% 7/25/37 (i)	22		22
Park Place Securities, Inc.:
Series 2004-WCW1:
Class M3, 1.444% 9/25/34 (i)	240		147
Class M4, 1.644% 9/25/34 (i)	308		97
Series 2005-WCH1:
Class M2, 0.714% 1/25/36 (i)	1,658		1,554
Class M4, 1.024% 1/25/36 (i)	665		351
Series 2005-WHQ2 Class M7, 1.444% 5/25/35 (i)	788		11
Residential Asset Mortgage Products, Inc. Series 2006-EFC2 Class M1, 0.424% 12/25/36 (i)	358		11
Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 0.994% 4/25/33 (i)	2		2
Saxon Asset Securities Trust Series 2004-1 Class M1, 0.989% 3/25/35 (i)	667		532
Securitized Asset Backed Receivables LLC Trust:
Series 2005-FR4 Class B3, 1.914% 1/25/36 (i)	36		0*
Series 2006-FR4 Class A2A, 0.274% 8/25/36 (i)	35		13
Series 2007-NC1 Class A2A, 0.244% 12/25/36 (i)	9		9
Sierra Receivables Funding Co. Series 2007-1A Class A2, 0.363% 3/20/19 (FGIC Insured) (c)(i)	349		333
SLM Private Credit Student Loan Trust Series 2004-A Class C, 1.2595% 6/15/33 (i)	572		94
Specialty Underwriting & Residential Finance Trust Series 2006-AB2 Class N1, 5.75% 6/25/37 (c)	484		0
Structured Asset Investment Loan Trust Series 2004-8 Class M5, 1.344% 9/25/34 (i)	50		22
SVO VOI Mortgage Corp. Series 2006-AA Class A, 5.28% 2/20/24 (c)	566		580
Terwin Mortgage Trust Series 2003-4HE Class A1, 1.054% 9/25/34 (i)	168		131
Toyota Auto Receivables Owner Trust Series 2010-B Class M3, 1.04% 2/18/14	2,740		2,754
Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 0.8568% 4/6/42 (c)(i)	1,774		53
USAA Auto Owner Trust:
Series 2009-1 Class A4, 4.77% 9/15/14	3,080		3,215
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
USAA Auto Owner Trust: - continued
Series 2009-2 Class A3, 1.54% 2/18/14	$ 4,171		$ 4,195
Volkswagen Auto Lease Trust:
Series 2009-A Class A3, 3.41% 4/16/12	1,440		1,445
Series 2010-A:
Class A3, 0.99% 11/20/13	9,700		9,723
Class A4, 1.18% 10/20/15	480		482
WaMu Asset Holdings Corp. Series 2006-8 Class N1, 6.048% 10/25/46 (c)	400		0
WaMu Master Note Trust Series 2006-C2A Class C2, 0.698% 8/15/15 (c)(i)	4,281		4,276
Wells Fargo Home Equity Trust Series 2004-3 Class A, 4.5% 11/27/34 (c)	3		0*
Whinstone Capital Management Ltd. Series 1A Class B3, 2.0738% 10/25/44 (c)(i)	806		476
World Omni Automobile Lease Securitization Trust Series 2011-A, Class A3, 1.49% 10/15/14	3,590		3,605
TOTAL ASSET-BACKED SECURITIES (Cost $319,718)		329,007
Collateralized Mortgage Obligations - 2.3%
Private Sponsor - 1.7%
Arran Residential Mortgages Funding PLC floater Series 2011-1A Clasee A1C, 1.5372% 11/19/47 (c)(i)	7,820		7,827
Banc of America Funding Corp. sequential payer Series 2010-R4 Class 2A1, 4.5% 3/26/37 (c)	2,175		2,218
Banc of America Mortgage Securities, Inc.:
Series 2003-L Class 2A1, 2.9037% 1/25/34 (i)	905		851
Series 2004-1 Class 2A2, 3.2308% 10/25/34 (i)	645		583
Series 2004-A Class 2A2, 2.8609% 2/25/34 (i)	185		164
Series 2004-B:
Class 1A1, 2.7465% 3/25/34 (i)	87		79
Class 2A2, 2.8678% 3/25/34 (i)	580		552
Series 2004-D Class 2A2, 2.8778% 5/25/34 (i)	1,303		1,193
Series 2004-G Class 2A7, 3.021% 8/25/34 (i)	1,221		1,097
Series 2004-H Class 2A1, 3.1658% 9/25/34 (i)	1,066		955
Bear Stearns Commercial Mortgage Securities Trust Series 2006-T24 Class X2, 0.6062% 10/12/41 (c)(i)(k)	2,721		28
Chase Mortgage Finance Trust Series 2007-A1 Class 1A5, 2.938% 2/25/37 (i)	524		519
Collateralized Mortgage Obligations - continued
	Principal Amount (000s)		Value (000s)
Private Sponsor - continued
Citigroup Commercial Mortgage Trust Series 2008-C7 Class A2B, 6.2942% 12/10/49 (i)	$ 1,207		$ 1,268
Cobalt CMBS Commercial Mortgage Trust Series 2007-C2 Class B, 5.617% 4/15/47 (i)	1,348		526
COMM pass-thru certificates floater Series 2001-J2A Class A2F, 0.698% 7/16/34 (c)(i)	164		164
Credit Suisse First Boston Mortgage Securities Corp. floater Series 2007-AR7 Class 2A1, 2.8944% 11/25/34 (i)	1,165		1,088
Credit Suisse Mortgage Capital Certificates sequential payer Series 2010-16 Class A1, 3% 6/25/50 (c)	3,303		3,320
Fosse Master Issuer PLC floater Series 2006-1A:
Class B2, 0.4355% 10/18/54 (c)(i)	590		589
Class C2, 0.7455% 10/18/54 (c)(i)	198		196
Class M2, 0.5255% 10/18/54 (c)(i)	339		338
Gracechurch Mortgage Financing PLC floater Series 2006-1 Class D2, 0.73% 11/20/56 (c)(i)	1,404		1,386
Granite Master Issuer PLC floater:
Series 2005-4 Class C2, 1.2958% 12/20/54 (i)	151		98
Series 2006-1A Class C2, 1.3958% 12/20/54 (c)(i)	3,085		2,005
Series 2006-2 Class C1, 0.6658% 12/20/54 (i)	2,445		1,589
Series 2006-3 Class C2, 0.6958% 12/20/54 (i)	506		329
Series 2006-4:
Class B1, 0.2858% 12/20/54 (i)	2,386		2,052
Class C1, 0.5758% 12/20/54 (i)	1,459		948
Class M1, 0.3658% 12/20/54 (i)	629		481
Series 2007-1:
Class 1C1, 0.7958% 12/20/54 (i)	1,115		725
Class 1M1, 0.4958% 12/20/54 (i)	754		577
Class 2C1, 1.1558% 12/20/54 (i)	506		329
Class 2M1, 0.6958% 12/20/54 (i)	969		741
Series 2007-2 Class 2C1, 0.6271% 12/17/54 (i)	1,341		872
Granite Mortgages Series 2003-2 Class 1A3, 0.774% 7/20/43 (i)	2,813		2,736
Granite Mortgages PLC floater:
Series 2003-3 Class 1C, 2.724% 1/20/44 (i)	194		149
Series 2004-1 Class 2A1, 0.629% 3/20/44 (i)	2,376		2,301
Harborview Mortgage Loan Trust floater Series 2005-2 Class 2A1A, 0.417% 5/19/35 (i)	162		108
JPMorgan Chase Commercial Mortgage Securities Trust Series 2007-CB18:
Class A1, 5.32% 6/12/47 (i)	29		29
Collateralized Mortgage Obligations - continued
	Principal Amount (000s)		Value (000s)
Private Sponsor - continued
JPMorgan Chase Commercial Mortgage Securities Trust Series 2007-CB18: - continued
Class A3, 5.447% 6/12/47 (i)	$ 2,289		$ 2,394
JPMorgan Mortgage Trust:
Series 2004-A5 Class 2A1, 2.6036% 12/25/34 (i)	855		813
Series 2006-A2 Class 5A1, 2.9729% 11/25/33 (i)	1,046		1,003
MASTR Adjustable Rate Mortgages Trust Series 2007-3 Class 22A2, 0.404% 5/25/47 (i)	424		300
MASTR Asset Backed Securities Trust Series 2006-NC3 Class M1, 0.424% 10/25/36 (i)	78		0*
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.364% 2/25/37 (i)	873		607
Merrill Lynch Floating Trust floater Series 2006-1:
Class B, 0.368% 6/15/22 (c)(i)	181		176
Class C, 0.388% 6/15/22 (c)(i)	785		738
Class D, 0.398% 6/15/22 (c)(i)	301		282
Class E, 0.408% 6/15/22 (c)(i)	483		447
Class F, 0.438% 6/15/22 (c)(i)	733		671
Class G, 0.508% 6/15/22 (c)(i)	259		232
Class H, 0.528% 6/15/22 (c)(i)	362		317
Class J, 0.568% 6/15/22 (c)(i)	422		366
Merrill Lynch-CFC Commercial Mortgage Trust Series 2006-3 Class ASB, 5.382% 7/12/46 (i)	5,168		5,432
Option One Mortgage Loan Trust floater Series 2007-CP1 Class M1, 0.494% 3/25/37 (i)	1,507		101
Permanent Master Issuer PLC floater Series 2007-1 Class 4A, 0.358% 10/15/33 (i)	10,020		9,964
Provident Funding Mortgage Loan Trust Series 2005-2 Class 3A, 2.8085% 10/25/35 (i)	2,314		1,988
RESI Finance LP/RESI Finance DE Corp. floater Series 2003-B:
Class B5, 2.5539% 7/10/35 (c)(i)	947		773
Class B6, 3.0539% 7/10/35 (c)(i)	261		201
Residential Asset Mortgage Products, Inc. sequential payer:
Series 2003-SL1 Class A31, 7.125% 4/25/31	668		712
Series 2004-SL3 Class A1, 7% 8/25/16	39		40
Residential Funding Securities Corp. floater Series 2003-RP2 Class A1, 0.644% 6/25/33 (c)(i)	227		210
Salomon Brothers Mortgage Securities VII, Inc. Series 2006-C2 Class H, 6.308% 7/18/33 (c)	170		60
Collateralized Mortgage Obligations - continued
	Principal Amount (000s)		Value (000s)
Private Sponsor - continued
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 0.8997% 7/20/34 (i)	$ 17		$ 13
TBW Mortgage-Backed pass-thru certificates floater Series 2006-4 Class A3, 0.4126% 9/25/36 (i)	1,475		1,049
Wells Fargo Mortgage Backed Securities Trust:
Series 2004-H Class A1, 4.4817% 6/25/34 (i)	732		717
Series 2005-AR10 Class 2A2, 2.8082% 6/25/35 (i)	681		662
Series 2005-AR12 Class 2A6, 2.7836% 7/25/35 (i)	357		338
Series 2005-AR2 Class 2A2, 2.7435% 3/25/35 (i)	2,011		1,859
Series 2005-AR3 Class 2A1, 2.8729% 3/25/35 (i)	964		883
TOTAL PRIVATE SPONSOR			74,358
U.S. Government Agency - 0.6%
Fannie Mae Series 2010-123 Class DL, 3.5% 11/25/25	3,943		4,122
Fannie Mae subordinate REMIC pass-thru certificates:
planned amortization class Series 2002-9 Class PC, 6% 3/25/17	273		298
sequential payer:
Series 2002-56 Class MC, 5.5% 9/25/17	907		984
Series 2004-86 Class KC, 4.5% 5/25/19	680		714
Series 2010-143 Class B, 3.5% 12/25/25	6,101		6,391
Freddie Mac Multi-class participation certificates guaranteed:
planned amortization class:
Series 2356 Class GD, 6% 9/15/16	937		1,015
Series 2363 Class PF, 6% 9/15/16	1,178		1,276
Series 2425 Class JH, 6% 3/15/17	1,074		1,174
Series 3777 Class AC, 3.5% 12/15/25	9,149		9,573
TOTAL U.S. GOVERNMENT AGENCY			25,547
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $83,868)		99,905
Commercial Mortgage Securities - 4.6%
Asset Securitization Corp. Series 1997-D5:
Class A2, 7.0825% 2/14/43 (i)	888		933
Class A3, 7.1325% 2/14/43 (i)	958		1,024
Class A6, 7.4525% 2/14/43 (i)	1,412		1,492
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Asset Securitization Corp. Series 1997-D5: - continued
Class PS1, 1.4533% 2/14/43 (i)(k)	$ 3,496		$ 72
Banc of America Commercial Mortgage Trust:
sequential payer:
Series 2006-2 Class AAB, 5.9114% 5/10/45 (i)	1,409		1,504
Series 2006-5 Class A3, 5.39% 9/10/47	1,683		1,751
Series 2006-6 Class A3, 5.369% 10/10/45	2,414		2,551
Series 2007-4 Class A3, 5.9998% 2/10/51 (i)	1,204		1,288
Series 2006-6 Class E, 5.619% 10/10/45 (c)	697		139
Series 2007-3 Class A3, 5.8018% 6/10/49 (i)	2,016		2,131
Banc of America Commercial Mortgage, Inc.:
sequential payer Series 2004-2:
Class A3, 4.05% 11/10/38	221		224
Class A4, 4.153% 11/10/38	1,531		1,597
Series 2001-3 Class H, 6.562% 4/11/37 (c)	675		679
Series 2001-PB1:
Class J, 7.166% 5/11/35 (c)	302		300
Class K, 6.15% 5/11/35 (c)	561		548
Banc of America Large Loan, Inc. floater:
Series 2005-MIB1:
Class C, 0.508% 3/15/22 (c)(i)	518		518
Class D, 0.558% 3/15/22 (c)(i)	525		525
Class E, 0.598% 3/15/22 (c)(i)	434		426
Class F, 0.668% 3/15/22 (c)(i)	277		270
Class G, 0.728% 3/15/22 (c)(i)	179		170
Series 2006-BIX1:
Class C, 0.378% 10/15/19 (c)(i)	775		752
Class D, 0.408% 10/15/19 (c)(i)	947		904
Class E, 0.438% 10/15/19 (c)(i)	878		825
Class F, 0.508% 10/15/19 (c)(i)	1,724		1,617
Class G, 0.528% 10/15/19 (c)(i)	609		536
Bayview Commercial Asset Trust:
floater:
Series 2003-2 Class M1, 1.044% 12/25/33 (c)(i)	53		39
Series 2004-1:
Class A, 0.554% 4/25/34 (c)(i)	661		579
Class B, 2.094% 4/25/34 (c)(i)	75		40
Class M1, 0.754% 4/25/34 (c)(i)	60		45
Class M2, 1.394% 4/25/34 (c)(i)	56		37
Series 2004-2:
Class A, 0.624% 8/25/34 (c)(i)	552		480
Class M1, 0.774% 8/25/34 (c)(i)	127		91
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Bayview Commercial Asset Trust: - continued
floater:
Series 2004-3:
Class A1, 0.564% 1/25/35 (c)(i)	$ 1,263		$ 1,120
Class A2, 0.614% 1/25/35 (c)(i)	181		159
Class M1, 0.694% 1/25/35 (c)(i)	218		154
Class M2, 1.194% 1/25/35 (c)(i)	86		58
Series 2005-2A:
Class A1, 0.504% 8/25/35 (c)(i)	930		767
Class M1, 0.624% 8/25/35 (c)(i)	40		26
Class M2, 0.674% 8/25/35 (c)(i)	66		39
Class M3, 0.694% 8/25/35 (c)(i)	36		21
Class M4, 0.804% 8/25/35 (c)(i)	53		29
Series 2005-3A:
Class A1, 0.514% 11/25/35 (c)(i)	297		247
Class A2, 0.594% 11/25/35 (c)(i)	345		288
Class M1, 0.634% 11/25/35 (c)(i)	56		37
Class M2, 0.684% 11/25/35 (c)(i)	71		42
Class M3, 0.704% 11/25/35 (c)(i)	63		36
Class M4, 0.794% 11/25/35 (c)(i)	79		40
Series 2005-4A:
Class A2, 0.584% 1/25/36 (c)(i)	698		589
Class B1, 1.594% 1/25/36 (c)(i)	96		34
Class M1, 0.644% 1/25/36 (c)(i)	225		146
Class M2, 0.664% 1/25/36 (c)(i)	107		65
Class M3, 0.694% 1/25/36 (c)(i)	99		55
Class M4, 0.804% 1/25/36 (c)(i)	87		45
Class M5, 0.844% 1/25/36 (c)(i)	87		41
Class M6, 0.894% 1/25/36 (c)(i)	92		38
Series 2006-1:
Class A2, 0.554% 4/25/36 (c)(i)	106		87
Class M1, 0.574% 4/25/36 (c)(i)	60		42
Class M2, 0.594% 4/25/36 (c)(i)	63		42
Class M3, 0.614% 4/25/36 (c)(i)	55		34
Class M4, 0.714% 4/25/36 (c)(i)	31		18
Class M5, 0.754% 4/25/36 (c)(i)	30		16
Class M6, 0.834% 4/25/36 (c)(i)	60		29
Series 2006-2A:
Class A1, 0.424% 7/25/36 (c)(i)	2,274		1,809
Class A2, 0.474% 7/25/36 (c)(i)	95		75
Class B1, 1.064% 7/25/36 (c)(i)	56		21
Class B3, 2.894% 7/25/36 (c)(i)	85		26
Class M1, 0.504% 7/25/36 (c)(i)	100		65
Class M2, 0.524% 7/25/36 (c)(i)	112		68
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Bayview Commercial Asset Trust: - continued
floater:
Series 2006-2A:
Class M3, 0.544% 7/25/36 (c)(i)	$ 93		$ 56
Class M4, 0.614% 7/25/36 (c)(i)	62		36
Class M5, 0.664% 7/25/36 (c)(i)	77		43
Class M6, 0.734% 7/25/36 (c)(i)	115		48
Series 2006-3A:
Class B1, 0.994% 10/25/36 (c)(i)	103		13
Class B2, 1.544% 10/25/36 (c)(i)	74		7
Class B3, 2.794% 10/25/36 (c)(i)	121		6
Class M4, 0.624% 10/25/36 (c)(i)	114		39
Class M5, 0.674% 10/25/36 (c)(i)	136		41
Class M6, 0.754% 10/25/36 (c)(i)	168		37
Series 2006-4A:
Class A1, 0.424% 12/25/36 (c)(i)	412		334
Class A2, 0.464% 12/25/36 (c)(i)	2,184		1,616
Class B1, 0.894% 12/25/36 (c)(i)	92		15
Class B2, 1.444% 12/25/36 (c)(i)	94		12
Class B3, 2.644% 12/25/36 (c)(i)	161		15
Class M1, 0.484% 12/25/36 (c)(i)	193		87
Class M2, 0.504% 12/25/36 (c)(i)	128		53
Class M3, 0.534% 12/25/36 (c)(i)	130		46
Class M4, 0.594% 12/25/36 (c)(i)	156		46
Class M5, 0.634% 12/25/36 (c)(i)	143		35
Class M6, 0.714% 12/25/36 (c)(i)	128		26
Series 2007-1:
Class A2, 0.464% 3/25/37 (c)(i)	487		324
Class B1, 0.864% 3/25/37 (c)(i)	204		31
Class B2, 1.344% 3/25/37 (c)(i)	148		17
Class B3, 3.544% 3/25/37 (c)(i)	246		14
Class M1, 0.464% 3/25/37 (c)(i)	179		73
Class M2, 0.484% 3/25/37 (c)(i)	135		46
Class M3, 0.514% 3/25/37 (c)(i)	120		37
Class M4, 0.564% 3/25/37 (c)(i)	96		25
Class M5, 0.614% 3/25/37 (c)(i)	150		33
Class M6, 0.694% 3/25/37 (c)(i)	209		40
Series 2007-2A:
Class A1, 0.464% 7/25/37 (c)(i)	438		325
Class A2, 0.514% 7/25/37 (c)(i)	411		261
Class B1, 1.794% 7/25/37 (c)(i)	168		16
Class B2, 2.444% 7/25/37 (c)(i)	145		10
Class B3, 3.544% 7/25/37 (c)(i)	163		8
Class M1, 0.564% 7/25/37 (c)(i)	191		66
Class M2, 0.604% 7/25/37 (c)(i)	104		28
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Bayview Commercial Asset Trust: - continued
floater:
Series 2007-2A:
Class M3, 0.684% 7/25/37 (c)(i)	$ 105		$ 21
Class M4, 0.844% 7/25/37 (c)(i)	209		35
Class M5, 0.944% 7/25/37 (c)(i)	185		27
Class M6, 1.194% 7/25/37 (c)(i)	234		29
Series 2007-3:
Class A2, 0.484% 7/25/37 (c)(i)	385		257
Class B1, 1.144% 7/25/37 (c)(i)	146		22
Class B2, 1.794% 7/25/37 (c)(i)	276		32
Class B3, 4.194% 7/25/37 (c)(i)	195		13
Class M1, 0.504% 7/25/37 (c)(i)	131		51
Class M2, 0.534% 7/25/37 (c)(i)	139		45
Class M3, 0.564% 7/25/37 (c)(i)	220		60
Class M4, 0.694% 7/25/37 (c)(i)	261		62
Class M5, 0.794% 7/25/37 (c)(i)	180		38
Class M6, 0.994% 7/25/37 (c)(i)	136		25
Series 2007-4A:
Class B1, 2.744% 9/25/37 (c)(i)	225		9
Class B2, 3.644% 9/25/37 (c)(i)	619		19
Class M1, 1.144% 9/25/37 (c)(i)	216		39
Class M2, 1.244% 9/25/37 (c)(i)	216		30
Class M4, 1.794% 9/25/37 (c)(i)	419		34
Class M5, 1.944% 9/25/37 (c)(i)	419		29
Class M6, 2.144% 9/25/37 (c)(i)	421		25
Series 2004-1 Class IO, 1.25% 4/25/34 (c)(k)	2,561		102
Series 2007-5A Class IO, 3.047% 10/25/37 (c)(i)(k)	6,218		672
Bear Stearns Commercial Mortgage Securities Trust:
floater:
Series 2006-BBA7:
Class G, 0.638% 3/15/19 (c)(i)	363		327
Class H, 0.848% 3/15/19 (c)(i)	244		208
Class J, 1.048% 3/15/19 (c)(i)	183		156
Series 2007-BBA8:
Class D, 0.448% 3/15/22 (c)(i)	349		319
Class E, 0.498% 3/15/22 (c)(i)	1,818		1,641
Class F, 0.548% 3/15/22 (c)(i)	1,115		985
Class G, 0.598% 3/15/22 (c)(i)	376		321
Class H, 0.748% 3/15/22 (c)(i)	349		290
Class J, 0.898% 3/15/22 (c)(i)	349		267
sequential payer:
Series 2003-PWR2 Class A3, 4.834% 5/11/39	269		272
Series 2004-PWR3 Class A3, 4.487% 2/11/41	474		487
Series 2007-PW17 Class A1, 5.282% 6/11/50	424		434
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Bear Stearns Commercial Mortgage Securities Trust: - continued
sequential payer:
Series 2007-T26 Class A1, 5.145% 1/12/45	$ 182		$ 185
Series 2003-PWR2 Class X2, 0.6817% 5/11/39 (c)(i)(k)	8,518		13
Series 2003-T12 Class X2, 0.6284% 8/13/39 (c)(i)(k)	31,076		67
Series 2006-PW14 Class X2, 0.8477% 12/11/38 (c)(i)(k)	13,759		223
Series 2007-PW16:
Class B, 5.716% 6/11/40 (c)(i)	193		124
Class C, 5.716% 6/11/40 (c)(i)	161		87
Class D, 5.716% 6/11/40 (c)(i)	161		81
Series 2007-PW18 Class X2, 0.4827% 6/11/50 (c)(i)(k)	105,250		1,189
Series 2007-T28:
Class A1, 5.422% 9/11/42	104		105
Class X2, 0.3378% 9/11/42 (c)(i)(k)	51,855		372
C-BASS Trust floater Series 2006-SC1 Class A, 0.464% 5/25/36 (c)(i)	373		288
CDC Commercial Mortgage Trust Series 2002-FX1:
Class G, 6.625% 5/15/35 (c)	1,418		1,514
Class XCL, 2.4992% 5/15/35 (c)(i)(k)	9,486		198
Citigroup Commercial Mortgage Trust:
floater Series 2006-FL2:
Class F, 0.5071% 8/15/21 (c)(i)	431		428
Class G, 0.5271% 8/15/21 (c)(i)	273		272
Class H, 0.5671% 8/15/21 (c)(i)	218		215
Series 2006-C5 Class AMP2, 5.5005% 10/15/49 (c)	1,816		1,688
Series 2007-C6 Class A1, 5.622% 12/10/49 (i)	3,186		3,182
Citigroup/Deutsche Bank Commercial Mortgage Trust:
sequential payer Series 2007-CD4 Class A2A, 5.237% 12/11/49	747		752
Series 2007-CD4:
Class A3, 5.293% 12/11/49	1,175		1,218
Class C, 5.476% 12/11/49	2,273		796
Cobalt CMBS Commercial Mortgage Trust:
sequential payer Series 2007-C3 Class A3, 6.0102% 5/15/46 (i)	1,207		1,293
Series 2006-C1 Class B, 5.359% 8/15/48	3,621		1,738
COMM pass-thru certificates:
floater:
Series 2005-F10A:
Class B, 0.428% 4/15/17 (c)(i)	4,464		4,246
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
COMM pass-thru certificates: - continued
floater:
Series 2005-F10A:
Class C, 0.468% 4/15/17 (c)(i)	$ 971		$ 914
Class D, 0.508% 4/15/17 (c)(i)	428		395
Class E, 0.568% 4/15/17 (c)(i)	136		123
Class F, 0.608% 4/15/17 (c)(i)	78		68
Class G, 0.748% 4/15/17 (c)(i)	78		66
Class H, 0.818% 4/15/17 (c)(i)	78		62
Class J, 1.048% 4/15/17 (c)(i)	59		41
Series 2005-FL11:
Class C, 0.498% 11/15/17 (c)(i)	921		891
Class D, 0.538% 11/15/17 (c)(i)	48		46
Class E, 0.588% 11/15/17 (c)(i)	170		161
Class F, 0.648% 11/15/17 (c)(i)	84		78
Class G, 0.698% 11/15/17 (c)(i)	58		52
Series 2006-FL12 Class AJ, 0.328% 12/15/20 (c)(i)	1,720		1,600
sequential payer:
Series 2005-C6 Class A2, 4.999% 6/10/44 (i)	12		12
Series 2006-C8 Class A3, 5.31% 12/10/46	3,439		3,584
Series 2006-CN2A:
Class A2FX, 5.449% 2/5/19 (c)	2,080		2,083
Class AJFX, 5.478% 2/5/19 (c)	2,590		2,611
Series 2006-C8 Class XP, 0.6858% 12/10/46 (i)(k)	14,706		157
Credit Suisse Commercial Mortgage Trust:
sequential payer:
Series 2007-C2 Class A3, 5.542% 1/15/49 (i)	2,414		2,573
Series 2007-C3:
Class A2, 5.9052% 6/15/39 (i)	2,342		2,390
Class A4, 5.9052% 6/15/39 (i)	726		789
Series 2006-C4 Class AAB, 5.439% 9/15/39	3,435		3,574
Series 2006-C5 Class ASP, 0.8755% 12/15/39 (i)(k)	8,953		145
Credit Suisse First Boston Mortgage Capital Certificates floater Series 2007-TF2A Class B, 0.548% 4/15/22 (c)(i)	4,306		3,445
Credit Suisse First Boston Mortgage Securities Corp.:
sequential payer:
Series 2001-CK6 Class B, 6.582% 8/15/36	1,207		1,222
Series 2002-CP5 Class A1, 4.106% 12/15/35	65		66
Series 2004-C1:
Class A3, 4.321% 1/15/37	165		166
Class A4, 4.75% 1/15/37	562		595
Series 2001-CK6 Class AX, 1.1234% 8/15/36 (i)(k)	2,447		5
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Credit Suisse First Boston Mortgage Securities Corp.: - continued
Series 2001-CKN5 Class AX, 2.1724% 9/15/34 (c)(i)(k)	$ 5,178		$ 9
Series 2006-C1 Class A3, 5.711% 2/15/39 (i)	3,187		3,366
Credit Suisse Mortgage Capital Certificates:
floater Series 2007-TFL1:
Class B, 0.348% 2/15/22 (c)(i)	457		416
Class C:
0.368% 2/15/22 (c)(i)	840		756
0.468% 2/15/22 (c)(i)	300		258
Class F, 0.518% 2/15/22 (c)(i)	600		504
Series 2007-C1:
Class ASP, 0.61% 2/15/40 (i)(k)	18,854		198
Class B, 5.487% 2/15/40 (c)(i)	1,845		369
First Union National Bank-Bank of America Commercial Mortgage Trust Series 2001-C1:
Class D, 6.484% 3/15/33	413		414
Class G, 6.936% 3/15/33 (c)	794		788
GE Capital Commercial Mortgage Corp.:
sequential payer Series 2007-C1 Class A4, 5.543% 12/10/49	6,367		6,848
Series 2001-1 Class X1, 1.2156% 5/15/33 (c)(i)(k)	2,230		13
Series 2007-C1 Class XP, 0.3797% 12/10/49 (i)(k)	22,615		113
GMAC Commercial Mortgage Securities, Inc.:
Series 2004-C3 Class X2, 0.7915% 12/10/41 (i)(k)	20,032		51
Series 2005-C1 Class X2, 0.7311% 5/10/43 (i)(k)	4,596		27
Greenwich Capital Commercial Funding Corp.:
floater Series 2006-FL4 Class B, 0.3995% 11/5/21 (c)(i)	454		418
sequential payer Series 2007-GG11 Class A2, 5.597% 12/10/49	2,414		2,520
Series 2005-GG3 Class XP, 0.6789% 8/10/42 (c)(i)(k)	20,200		92
Series 2006-GG7 Class A3, 5.881% 7/10/38 (i)	1,591		1,685
Series 2007-GG11 Class A1, 0.4589% 12/10/49 (c)(i)(k)	26,923		223
GS Mortgage Securities Corp. II:
floater:
Series 2006-FL8A:
Class C, 0.449% 6/6/20 (c)(i)	40		39
Class D, 0.489% 6/6/20 (c)(i)	288		271
Class E, 0.579% 6/6/20 (c)(i)	334		306
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
GS Mortgage Securities Corp. II: - continued
floater:
Series 2006-FL8A:
Class F, 0.649% 6/6/20 (c)(i)	$ 376		$ 341
Series 2007-EOP:
Class C, 2.1455% 3/6/20 (c)(i)	1,355		1,336
Class D, 2.3636% 3/6/20 (c)(i)	2,650		2,614
Class F, 2.8433% 3/6/20 (c)(i)	112		110
Class G, 3.0177% 3/6/20 (c)(i)	56		55
Class H, 3.5846% 3/6/20 (c)(i)	44		44
Class J, 4.4568% 3/6/20 (c)(i)	63		63
sequential payer Series 2005-GG4 Class A3, 4.607% 7/10/39	2,840		2,888
Series 2005-GG4 Class XP, 0.7099% 7/10/39 (c)(i)(k)	21,985		151
GS Mortgage Securities Trust sequential payer:
Series 2006-GG8 Class A2, 5.479% 11/10/39	1,879		1,890
Series 2007-GG10 Class A2, 5.778% 8/10/45	555		568
JP Morgan Chase Commercial Mortgage Securities Trust:
Series 2005-CB13 Class E, 5.5268% 1/12/43 (c)(i)	611		63
Series 2005-LDP4 Class X2, 0.3451% 10/15/42 (i)(k)	485,168		1,507
JP Morgan Commercial Mortgage Finance Corp. Series 2000-C9 Class G, 6.25% 10/15/32 (c)	394		394
JPMorgan Chase Commercial Mortgage Securities Trust:
floater Series 2006-FLA2:
Class B, 0.368% 11/15/18 (c)(i)	784		737
Class C, 0.408% 11/15/18 (c)(i)	557		518
Class D, 0.428% 11/15/18 (c)(i)	188		169
Class E, 0.478% 11/15/18 (c)(i)	203		185
Class F, 0.528% 11/15/18 (c)(i)	305		272
Class G, 0.558% 11/15/18 (c)(i)	265		228
Class H, 0.698% 11/15/18 (c)(i)	203		167
sequential payer:
Series 2006-LDP9 Class A2, 5.134% 5/15/47 (i)	557		579
Series 2007-LD11 Class A2, 5.9901% 6/15/49 (i)	1,695		1,745
Series 2007-LDPX:
Class A2 S, 5.305% 1/15/49	9,620		9,773
Class A3, 5.42% 1/15/49	3,322		3,602
Series 2006-CB17 Class A3, 5.45% 12/12/43	344		354
Series 2007-CB19:
Class B, 5.9318% 2/12/49 (i)	103		76
Class C, 5.9318% 2/12/49 (i)	270		169
Class D, 5.9318% 2/12/49 (i)	284		143
Series 2007-LDP10 Class ES, 5.7307% 1/15/49 (c)(i)	624		131
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
LB Commercial Conduit Mortgage Trust Series 1998-C1 Class D, 6.98% 2/18/30	$ 315		$ 314
LB-UBS Commercial Mortgage Trust:
sequential payer:
Series 2006-C1 Class A2, 5.084% 2/15/31	295		295
Series 2006-C7:
Class A1, 5.279% 11/15/38	131		131
Class A2, 5.3% 11/15/38	1,328		1,340
Series 2007-C1:
Class A1, 5.391% 2/15/40 (i)	81		82
Class A4, 5.424% 2/15/40	156		170
Series 2007-C2 Class A3, 5.43% 2/15/40	582		631
Series 2001-C3 Class B, 6.512% 6/15/36	2,333		2,343
Series 2001-C7 Class D, 6.514% 11/15/33	1,328		1,346
Series 2005-C3 Class XCP, 0.9427% 7/15/40 (i)(k)	3,736		23
Series 2006-C6 Class XCP, 0.8631% 9/15/39 (i)(k)	5,562		84
Series 2007-C1 Class XCP, 0.6707% 2/15/40 (i)(k)	2,073		23
Series 2007-C7 Class XCP, 0.4375% 9/15/45 (i)(k)	90,575		843
Lehman Brothers Floating Rate Commercial Mortgage Trust floater Series 2006-LLFA:
Class D, 0.428% 9/15/21 (c)(i)	387		352
Class E, 0.488% 9/15/21 (c)(i)	1,395		1,241
Class F, 0.538% 9/15/21 (c)(i)	515		443
Class G, 0.558% 9/15/21 (c)(i)	1,017		834
Class H, 0.598% 9/15/21 (c)(i)	263		207
Merrill Lynch Mortgage Trust:
Series 2005-CKI1 Class A3, 5.3967% 11/12/37 (i)	946		965
Series 2005-LC1 Class F, 5.5633% 1/12/44 (c)(i)	1,050		559
Merrill Lynch-CFC Commercial Mortgage Trust:
floater Series 2006-4 Class A2FL, 0.3465% 12/12/49 (i)	538		527
sequential payer:
Series 2006-1 CLass A3, 5.4822% 2/12/39 (i)	1,284		1,324
Series 2006-4 Class ASB, 5.133% 12/12/49 (i)	1,037		1,102
Series 2007-5:
Class A3, 5.364% 8/12/48	471		485
Class A4, 5.378% 8/12/48	48		51
Class B, 5.479% 8/12/48	3,621		1,676
Series 2007-6 Class A1, 5.175% 3/12/51	28		28
Series 2007-8 Class A1, 4.622% 8/12/49	168		169
Series 2007-9 Class A4, 5.7% 9/12/49	315		343
Series 2006-4 Class XP, 0.829% 12/12/49 (i)(k)	22,523		396
Series 2007-6 Class B, 5.635% 3/12/51 (i)	1,207		617
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Merrill Lynch-CFC Commercial Mortgage Trust: - continued
Series 2007-7 Class B, 5.9352% 6/12/50 (i)	$ 105		$ 29
Morgan Stanley Capital I Trust:
floater:
Series 2006-XLF Class C, 1.398% 7/15/19 (c)(i)	161		80
Series 2007-XCLA Class A1, 0.398% 7/17/17 (c)(i)	495		455
Series 2007-XLFA:
Class C, 0.358% 10/15/20 (c)(i)	693		646
Class D, 0.388% 10/15/20 (c)(i)	300		270
Class E, 0.448% 10/15/20 (c)(i)	376		334
Class F, 0.498% 10/15/20 (c)(i)	225		196
Class G, 0.538% 10/15/20 (c)(i)	279		222
Class H, 0.628% 10/15/20 (c)(i)	176		127
Class J, 0.778% 10/15/20 (c)(i)	200		105
Class MHRO, 0.888% 10/15/20 (c)(i)	409		352
Class MJPM, 1.198% 10/15/20 (c)(i)	19		18
Class NHRO, 1.088% 10/15/20 (c)(i)	619		508
sequential payer:
Series 2003-IQ5 Class X2, 1.0242% 4/15/38 (c)(i)(k)	3,245		8
Series 2005-IQ9 Class A3, 4.54% 7/15/56	1,792		1,835
Series 2007-HQ11 Class A1, 5.246% 2/12/44	67		68
Series 2007-IQ13 Class A1, 5.05% 3/15/44	181		182
Series 2007-T25 Class A1, 5.391% 11/12/49	158		159
Series 2003-IQ6 Class X2, 0.7293% 12/15/41 (c)(i)(k)	7,142		23
Series 2005-IQ9 Class X2, 1.2137% 7/15/56 (c)(i)(k)	12,766		86
Series 2006-HQ10 Class X2, 0.6882% 11/12/41 (c)(i)(k)	7,033		55
Series 2006-HQ8 Class A3, 5.6465% 3/12/44 (i)	762		770
Series 2006-T23 Class A3, 5.9755% 8/12/41 (i)	616		662
Providence Place Group Ltd. Partnership sequential payer Series 2000-C1 Class A1, 7.75% 7/20/16 (c)	1,014		1,131
Structured Asset Securities Corp. Series 1997-LLI Class D, 7.15% 10/12/34	98		99
Wachovia Bank Commercial Mortgage Trust:
floater:
Series 2005-WL5A Class K, 1.398% 1/15/18 (c)(i)	575		552
Series 2006-WL7A:
Class E, 0.4771% 9/15/21 (c)(i)	867		738
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Wachovia Bank Commercial Mortgage Trust: - continued
floater:
Series 2006-WL7A:
Class F, 0.5371% 8/11/18 (c)(i)	$ 846		$ 690
Class G, 0.5571% 8/11/18 (c)(i)	801		544
Class J, 0.7971% 8/11/18 (c)(i)	178		97
Series 2007-WHL8:
Class AP1, 0.898% 6/15/20 (c)(i)	99		74
Class AP2, 0.998% 6/15/20 (c)(i)	165		116
Class F, 0.678% 6/15/20 (c)(i)	2,422		1,986
Class LXR1, 0.898% 6/15/20 (c)(i)	148		126
sequential payer:
Series 2006-C27 Class A2, 5.624% 7/15/45	908		911
Series 2006-C29:
Class A1, 5.11% 11/15/48	112		112
Class A3, 5.313% 11/15/48	3,206		3,450
Series 2007-C30:
Class A3, 5.246% 12/15/43	1,036		1,061
Class A4, 5.305% 12/15/43	355		367
Class A5, 5.342% 12/15/43	1,291		1,368
Series 2007-C32:
Class A2, 5.9267% 6/15/49 (i)	1,349		1,405
Class A3, 5.9317% 6/15/49 (i)	2,049		2,215
Series 2004-C15:
Class 180A, 5.5782% 10/15/41 (c)(i)	928		930
Class 180B, 5.5782% 10/15/41 (c)(i)	422		422
Series 2005-C22 Class F, 5.5358% 12/15/44 (c)(i)	2,013		1,184
Series 2007-C30:
Class C, 5.483% 12/15/43 (i)	3,621		1,955
Class XP, 0.6357% 12/15/43 (c)(i)(k)	12,896		146
Series 2007-C31 Class C, 5.8836% 4/15/47 (i)	332		177
Series 2007-C31A Class A2, 5.421% 4/15/47	5,695		5,941
Wachovia Bank Commercial Mortgage Trust pass-thru certificates sequential payer Series 2007-C33 Class A5, 6.0966% 2/15/51 (i)	799		871
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $151,556)		195,389
Municipal Securities - 0.4%
	Principal Amount (000s)		Value (000s)
California Gen. Oblig. 5.25% 4/1/14	$ 9,000		$ 9,728
Illinois Gen. Oblig.:
Series 2010, 3.321% 1/1/13	6,094		6,207
5.877% 3/1/19	805		845
TOTAL MUNICIPAL SECURITIES (Cost $15,928)		16,780
Foreign Government and Government Agency Obligations - 0.9%
Chilean Republic 7.125% 1/11/12	3,362		3,490
Ontario Province 2.3% 5/10/16	36,000		36,305
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $39,365)		39,795
Supranational Obligations - 0.0%
Corporacion Andina de Fomento 5.2% 5/21/13 (Cost $251)	267		285
Bank Notes - 0.3%
National City Bank, Cleveland 0.4105% 3/1/13 (i)	12,421		12,389
Wachovia Bank NA 6% 11/15/17	1,725		1,965
TOTAL BANK NOTES (Cost $13,512)		14,354

Fixed-Income Funds - 1.2%
	Shares
Fidelity Specialized High Income Central Fund (j) (Cost $48,223)	484,861		49,684
Preferred Securities - 0.0%
	Principal Amount (000s)
FINANCIALS - 0.0%
Diversified Financial Services - 0.0%
ING Groep NV 5.775% (d)(i) (Cost $626)	$ 1,362		1,304
Cash Equivalents - 1.4%
	Maturity Amount (000s)		Value (000s)
Investments in repurchase agreements in a joint trading account at 0.14%, dated 5/31/11 due 6/1/11 (Collateralized by U.S. Government Obligations) # (Cost $59,549)	$ 59,549		$ 59,549
TOTAL INVESTMENT PORTFOLIO - 99.3% (Cost $4,023,316)			4,266,760
NET OTHER ASSETS (LIABILITIES) - 0.7%			30,205
NET ASSETS - 100%		$ 4,296,965

Swap Agreements
	Expiration Date	Notional Amount (000s)	Value (000s)
Credit Default Swaps
Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to UBS upon each credit event of one of the issues of ABX AA 07-1 Index, par value of the proportional notional amount (Rating-C) (Upfront Premium Received/(Paid) $176,000) (h)	Sept. 2037	$ 503	$ (470)
Receive monthly notional amount multiplied by .82% and pay UBS upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC6 Class M3, 5.6413% 7/25/34 (Rating-Ca) (g)	August 2034	394	(219)
Receive monthly notional amount multiplied by .85% and pay UBS upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC8 Class M6, 5.4413% 9/25/34 (Rating-Ca) (g)	Oct. 2034	477	(199)
Receive monthly notional amount multiplied by 2.5% and pay Credit Suisse First Boston upon credit event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2004-R11 Class M9, 8.03% 11/25/34 (Rating-C) (g)	Dec. 2034	1,282	(1,249)
Receive monthly notional amount multiplied by 2.54% and pay Merrill Lynch upon credit event of Countrywide Home Loans, Inc., par value of the notional amount of Countrywide Home Loans, Inc. Series 2003-BC1 Class B1, 7.6913% 3/25/32 (Rating-Ca) (g)	April 2032	184	(108)
Receive monthly notional amount multiplied by 2.61% and pay Goldman Sachs upon credit event of Fremont Home Loan Trust, par value of the notional amount of Fremont Home Loan Trust Series 2004-A Class B3, 7.0413% 1/25/34 (Rating-C) (g)	Feb. 2034	4	(4)
Swap Agreements - continued
	Expiration Date	Notional Amount (000s)	Value (000s)
Credit Default Swaps - continued
Receive monthly notional amount multiplied by 3.05% and pay Merrill Lynch upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC8, Class B3, 7.2913% 9/25/34 (Rating-Ca) (g)	Oct. 2034	$ 524	$ (198)
Receive monthly notional amount multiplied by 3.35% and pay Morgan Stanley, Inc. upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-HE7, Class B3, 9.01% 8/25/34 (Rating-C) (g)	Sept. 2034	183	(138)
		$ 3,551	$ (2,585)

Legend

(a) Non-income producing - Security is in default.

(b) Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end.

(c) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $436,261,000 or 10.2% of net assets.

(d) Security is perpetual in nature with no stated maturity date.

(e) Under the Temporary Liquidity Guarantee Program, the Federal Deposit Insurance Corporation guarantees principal and interest in the event of payment default or bankruptcy until the earlier of maturity date of the debt or until June 30, 2012. At the end of the period these securities amounted to $47,917,000 or 1.1% of net assets.

(f) Security or a portion of the security has been segregated as collateral for open swap agreements. At the period end, the value of securities pledged amounted to $4,363,000.

(g) Represents a credit default swap contract in which the Fund has sold protection on the underlying reference entity. The value of each credit default swap and the credit rating can be measures of the current payment/performance risk. For the underlying reference entity, ratings disclosed are from Moody's Investors Service, Inc. Where Moody's ratings are not available, S&P ratings are disclosed and are indicated as such. All ratings are as of the report date and do not reflect subsequent changes. Where a credit rating is not disclosed, the value is used as the measure of the payment/performance risk.

(h) Represents a credit default swap based on a tradable index of home equity asset-backed debt securities. The value of each credit default swap and the credit rating can be measures of the current payment/performance risk. In addition, the swap represents a contract in which the Fund has sold protection on the index of underlying securities. Ratings represent a weighted average of the ratings of all securities included in the index. Ratings used in the weighted average are from Moody's Investors Service, Inc., or S&P where Moody's ratings are not available. All ratings are as of the report date and do not reflect subsequent changes.

(i) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.

(j) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. A complete unaudited schedule of portfolio holdings for each Fidelity Central Fund is filed with the SEC for the first and third quarters of each fiscal year on Form N-Q and is available upon request or at the SEC's web site at www.sec.gov. An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro rata share of securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com. In addition, each Fidelity Central Fund's financial statements are available on the SEC's web site or upon request.

(k) Security represents right to receive monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool held as of the end of the period.

* Amount represents less than $1,000.

# Additional information on each counterparty to the repurchase agreement is as follows:

Repurchase Agreement / Counterparty	Value (Amounts in thousands)
$59,549,000 due 6/01/11 at 0.14%
Goldman, Sachs & Co.	$ 1,789
HSBC Securities (USA), Inc.	10,732
Merrill Lynch, Pierce, Fenner & Smith, Inc.	2,825
Mizuho Securities USA, Inc.	32,196
Societe Generale	3,400
Wells Fargo Securities LLC	8,607
	$ 59,549

Affiliated Central Funds

Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows:

Fund	Income earned (Amounts in thousands)
Fidelity Corporate Bond 1-10 Year Central Fund	$ 1,680
Fidelity Specialized High Income Central Fund	2,445
Total	$ 4,125

Additional information regarding the Fund's fiscal year to date purchases and sales, including the ownership percentage, of the non Money Market Central Funds is as follows:

Fund (Amounts in thousands)	Value, beginning of period	Purchases	Sales Proceeds	Value, end of period	% ownership, end of period
Fidelity Corporate Bond 1-10 Year Central Fund	$ 135,609	$ -	$ 134,687*	$ -	0.0%
Fidelity Specialized High Income Central Fund	45,200	2,445	-	49,684	11.1%
Total	$ 180,809	$ 2,445	$ 134,687	$ 49,684

* Includes the value of shares redeemed through in-kind transactions.

Other Information

The following is a summary of the inputs used, as of May 31, 2011, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the tables below, please refer to the Investment Valuation section at the end of this listing.

Valuation Inputs at Reporting Date:
Description (Amounts in thousands)	Total	Level 1	Level 2	Level 3
Investments in Securities:
Corporate Bonds	$ 1,474,632	$ -	$ 1,474,632	$ -
U.S. Government and Government Agency Obligations	1,744,576	-	1,744,576	-
U.S. Government Agency - Mortgage Securities	241,500	-	241,500	-
Asset-Backed Securities	329,007	-	321,168	7,839
Collateralized Mortgage Obligations	99,905	-	99,278	627
Commercial Mortgage Securities	195,389	-	167,492	27,897
Municipal Securities	16,780	-	16,780	-
Foreign Government and Government Agency Obligations	39,795	-	39,795	-
Supranational Obligations	285	-	285	-
Bank Notes	14,354	-	14,354	-
Fixed-Income Funds	49,684	49,684	-	-
Preferred Securities	1,304	-	1,304	-
Cash Equivalents	59,549	-	59,549	-
Total Investments in Securities:	$ 4,266,760	$ 49,684	$ 4,180,713	$ 36,363
Derivative Instruments:
Liabilities
Swap Agreements	$ (2,585)	$ -	$ (470)	$ (2,115)

The following is a reconciliation of Investments in Securities and Derivative Instruments for which Level 3 inputs were used in determining value:

(Amounts in thousands)
Investments in Securities:
Beginning Balance	$ 43,868
Total Realized Gain (Loss)	(2,194)
Total Unrealized Gain (Loss)	12,458
Cost of Purchases	4,774
Proceeds of Sales	(7,304)
Amortization/Accretion	614
Transfers in to Level 3	3,392
Transfers out of Level 3	(19,245)
Ending Balance	$ 36,363
The change in unrealized gain (loss) for the period attributable to Level 3 securities held at May 31, 2011	$ 12,118
Derivative Instruments:
Swap Agreements
Beginning Balance	$ (2,523)
Total Unrealized Gain (Loss)	408
Transfers in to Level 3	-
Transfers out of Level 3	-
Ending Balance	$ (2,115)
Realized gain (loss) on Swap Agreements for the period	$ (114)
The change in unrealized gain (loss) for the period attributable to Level 3 Swap Agreements held at May 31, 2011	$ 408

The information used in the above reconciliation represents fiscal year to date activity for any Investments in Securities and Derivative Instruments identified as using Level 3 inputs at either the beginning or the end of the current fiscal period and includes the value of securities received through affiliated in-kind transactions. Transfers in or out of Level 3 represent the beginning value of any Security or Instrument where a change in the pricing level occurred from the beginning to the end of the period. The cost of purchases and the proceeds of sales may include securities received or delivered through corporate actions or exchanges.

Income Tax Information

At May 31, 2011, the cost of investment securities for income tax purposes was $4,131,593,000. Net unrealized appreciation aggregated $135,167,000, of which $151,757,000 related to appreciated investment securities and $16,590,000 related to depreciated investment securities.

Investment Valuation

Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Security transactions are accounted for as of trade date. The Fund uses independent pricing services approved by the Board of Trustees to value its investments. When current market prices or quotations are not readily available or reliable, valuations may be determined in good faith in accordance with procedures adopted by the Board of Trustees. Factors used in determining value may include market or security specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The value used for net asset value calculation under these procedures may differ from published prices for the same securities. The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels: Level 1 - quoted prices in active markets for identical investments. Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds etc.). Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available). Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. Valuation techniques used to value the Fund's investments by major category are as follows:

Debt securities, including restricted securities, are valued based on evaluated prices received from independent pricing services or from dealers who make markets in such securities. For corporate bonds, bank notes, foreign government and government agency obligations, municipal securities, preferred securities, supranational obligations and U.S. government and government agency obligations, pricing services utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices and are generally categorized as Level 2 in the hierarchy.

For asset backed securities, collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities, pricing services utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices and, accordingly, such securities are generally categorized as Level 2 in the hierarchy. Short-term securities with remaining maturities of sixty days or less may be valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy. Swaps are marked-to-market daily based on valuations from independent pricing services or dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Pricing services utilize matrix pricing which considers comparisons to interest rate curves, credit spread curves, default possibilities and recovery rates and, as a result, swaps are generally categorized as Level 2 in the hierarchy. When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing matrices which consider similar factors that would be used by independent pricing services. These are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day and are categorized as Level 1 in the hierarchy.

For additional information on the Fund's policy regarding valuation of investments and other significant accounting policies, please refer to the Fund's most recent semiannual or annual shareholder report.

Credit Default Swap Agreements

The Fund entered into credit default swaps, which are agreements with a counterparty that enable the Fund to buy or sell protection on a debt security or a basket of securities against a defined credit event. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller acts as a guarantor of the creditworthiness of a reference obligation. The Fund enters into credit default swaps as a seller to gain credit exposure to an issuer and/or as a buyer to provide a measure of protection against defaults of an issuer. The issuer may be either a single issuer or a basket of issuers. Periodic payments are made over the life of the contract provided that no credit event occurs.

For credit default swaps on most corporate and sovereign issuers, credit events include bankruptcy, failure to pay, obligation acceleration or repudiation/moratorium. For credit default swaps on corporate or sovereign issuers, the obligation that may be put to the seller is not limited to the specific reference obligation described. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swaps on asset-backed securities, the reference obligation described represents the security that may be put to the seller.

As a seller, if an underlying credit event occurs, the Fund will either pay the buyer an amount equal to the notional amount of the swap and take delivery of the reference obligation or underlying securities comprising an index or pay a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. As a buyer, if an underlying credit event occurs, the Fund will either receive from the seller an amount equal to the notional amount of the swap and deliver the reference obligation or underlying securities comprising an index or receive a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index.

Credit default swaps are marked-to-market daily and changes in value are recorded as unrealized appreciation or (depreciation). Any upfront premiums paid or received upon entering a swap to compensate for differences between stated terms of the agreement and prevailing market conditions (e.g. credit spreads, interest rates or other factors) are recorded as realized gain or (loss) ratably over the term of the swap. Payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gain or (loss). Realized gain or (loss) is also recorded in the event of an early termination of a swap.

The Fund is exposed to additional risks from investing in credit default swaps, such as liquidity risk and counterparty risk. Liquidity risk is the risk that the Fund will be unable to sell a credit default swaps in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. Counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. The Fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association (ISDA) Master Agreement on a bilateral basis with each of its counterparties. The ISDA Master Agreement gives the Fund the right to terminate all transactions traded under such agreement if there is a certain deterioration in the credit quality of the counterparty. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk, the Fund offsets certain payables and/or receivables with collateral. Collateral, in the form of cash or securities, may be required to be held in segregated accounts with the Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the swap counterparty and the Fund's custodian bank and, if required, is identified. The Fund could experience delays and costs in gaining access to the collateral even though it is held by the Fund's custodian bank. The Fund's maximum risk of loss from counterparty credit risk is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to the Fund.

Typically, the value of each credit default swap and credit rating disclosed for each reference obligation, where the Fund is the seller, can be used as measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. In addition to these measures, FMR monitors a variety of factors including cash flow assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/performance risk.

The notional amount of credit default swaps approximates the maximum potential amount of future payments that the Fund could be required to make if the Fund is the seller and a credit event were to occur. The total notional amount of all credit default swaps open at period end where the Fund is the seller amounted to $3,551,000 representing 0.08% of net assets.

Credit Risk

The Fund invests a portion of its assets in structured securities of issuers backed by residential mortgage loans, credit card receivables and automotive loans. The value and related income of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults.

Quarterly Report

The fund's schedule of investments as of the date on the cover of this report has not been audited. This report is provided for the general information of the fund's shareholders. For more information regarding the fund and its holdings, please

see the fund's most recent prospectus and annual report.

Third party trademarks and service marks are the property of their respective owners. All other trademarks and service marks are the property of FMR LLC

or an affiliate.

Quarterly Report

Quarterly Holdings Report

for

Fidelity ® Conservative
Income Bond Fund

May 31, 2011

1.924094.100

FCV-QTLY-0711

Investments May 31, 2011 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 40.9%
	Principal Amount		Value
CONSUMER DISCRETIONARY - 4.2%
Auto Components - 3.6%
DaimlerChrysler NA Holding Corp. 7.3% 1/15/12	$ 10,050,000		$ 10,460,141
Media - 0.6%
Time Warner Cable, Inc. 5.4% 7/2/12	1,500,000		1,573,161
TOTAL CONSUMER DISCRETIONARY			12,033,302
FINANCIALS - 33.4%
Capital Markets - 7.0%
BlackRock, Inc. 0.5575% 5/24/13 (b)	5,000,000		5,008,900
HSBC Bank PLC 0.6829% 5/15/13 (a)(b)	5,000,000		4,997,175
JPMorgan Chase & Co. 1.0738% 1/24/14 (b)	4,000,000		4,019,064
UBS AG Stamford Branch 1.3585% 2/23/12 (b)	6,100,000		6,143,957
			20,169,096
Commercial Banks - 15.1%
American Express Bank FSB 0.3503% 6/12/12 (b)	6,575,000		6,558,964
Barclays Bank PLC 0.578% 4/16/12 (b)	4,000,000		3,999,336
Commonwealth Bank of Australia:
0.859% 3/19/13 (a)(b)	2,800,000		2,805,006
1.0395% 3/17/14 (a)(b)	3,500,000		3,513,566
ING Bank NV:
1.107% 3/30/12 (a)(b)	3,700,000		3,714,071
1.3595% 3/15/13 (a)(b)	2,500,000		2,509,305
National Australia Bank Ltd. 0.7726% 1/8/13 (a)(b)	1,000,000		1,003,653
Nordea Bank AB 1.1808% 1/14/14 (a)(b)	2,000,000		2,018,200
Rabobank Nederland NV 2.65% 8/17/12 (a)	2,500,000		2,563,138
Santander US Debt SA Unipersonal 1.107% 3/30/12 (a)(b)	13,100,000		13,100,248
Westpac Banking Corp. 1.0395% 12/9/13 (b)	1,730,000		1,736,038
			43,521,525
Consumer Finance - 2.1%
General Electric Capital Corp.:
0.4033% 11/1/12 (b)	500,000		499,690
1.1438% 1/7/14 (b)	1,600,000		1,607,856
Household Finance Corp. 7% 5/15/12	2,500,000		2,647,745
Toyota Motor Credit Corp. 3.7895% 1/9/12 (b)	1,150,000		1,173,109
			5,928,400
Diversified Financial Services - 7.9%
American Express Travel Related Services Co. 5.25% 11/21/11 (a)	5,100,000		5,210,752
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Diversified Financial Services - continued
BB&T Corp. 3.85% 7/27/12	$ 6,500,000		$ 6,725,888
BNP Paribas 1.3095% 6/11/12 (b)	3,000,000		3,019,887
Citigroup, Inc.:
0.434% 3/16/12 (b)	3,300,000		3,294,228
6% 2/21/12	2,500,000		2,594,860
Volkswagen International Finance NV 0.757% 10/1/12 (a)(b)	2,000,000		2,005,376
			22,850,991
Insurance - 0.8%
Metropolitan Life Global Funding I 1.434% 9/17/12 (a)(b)	2,400,000		2,425,447
Thrifts & Mortgage Finance - 0.5%
Countrywide Financial Corp. 5.8% 6/7/12	1,500,000		1,570,818
TOTAL FINANCIALS			96,466,277
TELECOMMUNICATION SERVICES - 3.2%
Diversified Telecommunication Services - 1.4%
BellSouth Corp. 4.463% 4/26/21 (a)(b)	4,000,000		4,128,880
Wireless Telecommunication Services - 1.8%
Verizon Wireless Capital LLC 5.25% 2/1/12	5,000,000		5,153,030
TOTAL TELECOMMUNICATION SERVICES			9,281,910
UTILITIES - 0.1%
Multi-Utilities - 0.1%
DTE Energy Co. 0.9716% 6/3/13 (b)	380,000		379,630
TOTAL NONCONVERTIBLE BONDS (Cost $118,108,526)		118,161,119
Municipal Securities - 6.5%
Burke County Indl. Dev. Auth. Poll. Cont. Rev. Bonds 0.8%, tender 6/21/12 (b)	2,000,000		2,000,200
California Gen. Oblig. RAN Series A2, 3% 6/28/11	2,000,000		2,003,740
Connecticut Dev. Auth. Poll. Cont. Rev. Bonds (Connecticut Lt. & Pwr. Co. Proj.) Series 1996 A, 1.25%, tender 4/2/12 (b)(c)	1,000,000		1,001,070
Delaware Econ. Dev. Auth. Rev. (Delmarva Pwr. & Lt. Co. Proj.) Series 1988, 0.55% 6/1/11, VRDN (b)(c)	2,500,000		2,500,000
Municipal Securities - continued
	Principal Amount		Value
Indiana Fin. Auth.'s Econ. Dev. Bonds (Republic Svcs., Inc. Proj.) Series A, 1.85%, tender 9/1/11 (b)(c)	$ 1,000,000		$ 1,000,000
Jefferson County Poll. Cont. (Louisville Gas & Elec. Co. Proj.) Series A2, 1.05% tender 6/23/11, CP mode (c)	2,400,000		2,400,000
Mission Econ. Dev. Corp. Solid Waste Disp. Rev. Bonds (Republic Svcs., Inc. Proj.) Series 2008 A, 1.55%, tender 7/1/11 (b)	900,000		900,081
Mobile Indl. Dev. Board Poll. Cont. Rev. Bonds (Alabama Pwr. Co. Barry Plant Proj.) Series 2007 A, 4.75%, tender 3/19/12 (b)	1,000,000		1,029,670
Pennsylvania Econ. Dev. Fing. Auth. Solid Waste Disp. Rev. Bonds (Republic Svcs., Inc. Proj.) Series 2010 A, 1.7%, tender 7/1/11 (b)(c)	1,500,000		1,500,150
Philadelphia Arpt. Rev. Participating VRDN Series Putters 3778 Z, 0.38% 6/7/11 (Liquidity Facility JPMorgan Chase Bank) (b)(c)(d)	4,325,000		4,325,000
TOTAL MUNICIPAL SECURITIES (Cost $18,660,948)		18,659,911
Certificates of Deposit - 20.6%
Banco Bilbao Vizcaya Argentaria SA New York Branch yankee 0.4528% 7/29/11 (b)	1,934,000		1,934,381
Bank of Nova Scotia yankee 0.5045% 10/1/12 (b)	4,000,000		3,998,560
Bank Tk Mitsubishi Ltd. New York Be yankee 0.8333% 11/1/12 (b)	2,000,000		1,998,716
Barclays Bank PLC New York Branch yankee 0.598% 4/16/12 (b)	3,000,000		2,999,502
BNP Paribas yankee 0.9738% 7/23/12 (b)	6,000,000		6,029,202
BNP Paribas New York Branch yankee 0.59% 11/22/11	2,750,000		2,752,529
Canadian Imperial Bank of Commerce New York Branch yankee:
0.4723% 11/5/12 (b)	5,000,000		4,997,995
0.5045% 10/1/12 (b)	3,000,000		3,000,117
0.5095% 9/4/12 (b)	2,400,000		2,402,702
Credit Agricole CIB yankee 0.6675% 6/29/11 (b)	1,698,000		1,698,277
Intesa Sanpaolo SpA yankee 0.7748% 1/19/12 (b)	9,000,000		8,982,828
Nordea Bank Finland PLC yankee:
0.741% 4/5/13 (b)	5,400,000		5,405,119
0.7483% 2/7/13 (b)	1,565,000		1,568,819
0.7595% 3/8/13 (b)	2,000,000		2,003,872
Skandinaviska Enskilda Banken:
0.8% 10/13/11	675,000		676,161
yankee 0.8% 10/13/11	860,000		861,476
Certificates of Deposit - continued
	Principal Amount		Value
Societe Generale yankee 0.6233% 2/3/12 (b)	$ 2,440,000		$ 2,439,663
Svenska Handelsbanken AB yankee:
0.7255% 1/18/13 (b)	3,600,000		3,597,314
0.759% 3/18/13 (b)	2,000,000		1,998,268
Westpac Banking Corp. yankee 0.4775% 8/24/12 (b)	175,000		174,914
TOTAL CERTIFICATES OF DEPOSIT (Cost $59,487,740)		59,520,415
Commercial Paper - 24.8%
Banco Bilbao Vizcaya Argentaria SA yankee:
0.3% 6/2/11	700,000		699,990
0.51% 8/12/11	2,500,000		2,497,298
0.53% 8/12/11	3,000,000		2,996,758
0.54% 8/12/11	1,200,000		1,198,703
0.55% 8/12/11	3,000,000		2,998,011
BP Capital Markets PLC yankee 0.5% 9/9/11	2,000,000		1,998,833
Groupe BPCE yankee:
0.44% 9/15/11	1,000,000		999,206
0.55% 10/20/11	1,500,000		1,498,255
0.65% 10/20/11	1,000,000		998,836
0.65% 10/20/11	1,000,000		998,836
Landesbank Hessen-Thuringen yankee 0.68% 9/8/11	2,000,000		1,998,556
Natexis Banques Populaires U.S. Finance Co. LLC yankee 0.55% 11/17/11	4,300,000		4,293,502
Nationwide Building Society yankee:
0.51% 9/19/11	1,000,000		999,164
0.51% 9/19/11	1,000,000		999,164
0.51% 9/19/11	2,000,000		1,998,329
0.52% 9/12/11	2,000,000		1,998,475
PB Finance (Delaware), Inc.:
0.47% 6/1/11	1,000,000		999,995
0.5% 7/12/11	2,000,000		1,999,379
0.51% 8/18/11	3,000,000		2,997,992
0.54% 8/18/11	2,500,000		2,498,327
0.55% 6/17/11	1,350,000		1,349,858
0.56% 8/26/11	2,000,000		1,998,473
Skandinaviska Enskilda Banken AB yankee 0.49% 11/1/11	8,000,000		7,989,597
Societe Generale North America, Inc. yankee:
0.5% 9/1/11	1,360,000		1,359,111
0.55% 9/1/11	2,000,000		1,998,693
Commercial Paper - continued
	Principal Amount		Value
UniCredito Italiano Bank (Ireland) PLC yankee 0.6% 7/14/11	$ 2,500,000		$ 2,499,091
Vodafone Group PLC yankee:
0.65% 1/19/12	1,400,000		1,395,324
0.8% 3/29/12	4,000,000		3,979,766
0.85% 3/29/12	3,000,000		2,984,825
Weatherford International Ltd. yankee:
0.75% 6/1/11	1,200,000		1,199,975
0.75% 6/7/11	1,000,000		999,922
0.78% 6/10/11	3,000,000		2,999,657
0.78% 6/10/11	2,000,000		1,999,772
0.8% 6/3/11	1,300,000		1,299,957
TOTAL COMMERCIAL PAPER (Cost $71,673,400)		71,721,630

Cash Equivalents - 8.0%
	Maturity Amount
Investments in repurchase agreements in a joint trading account at 0.14%, dated 5/31/11 due 6/1/11 (Collateralized by U.S. Government Obligations) #	2,174,009		2,174,000
With:
Morgan Stanley & Co., Inc. at 0.81%, dated:
3/24/11 due 3/22/12 (Collateralized by Mortgage Loan Obligations valued at $3,321,230, 0%- 8.61%, 6/12/17 - 5/3/50) (b)(e)	3,024,570		2,999,850
4/11/11 due 3/22/12 (Collateralized by Mortgage Loan Obligations valued at $3,259,526, 0%- 7.25%, 3/20/17 - 6/12/47) (b)(e)	3,023,355		2,999,850
5/6/11 due 3/22/12 (Collateralized by Mortgage Loan Obligations valued at $3,241,887, 0%- 7.92%, 6/12/17 - 8/15/48) (b)(e)	3,021,667		2,999,850
Cash Equivalents - continued
	Maturity Amount		Value
With: - continued
RBS Securities, Inc. at:
0.94%, dated 6/1/11 due 4/17/12 (b)(e)(f)	$ 5,041,908		$ 5,000,000
0.95%, dated 4/19/11 due 4/17/12 (Collateralized by Corporate Obligations valued at $7,562,307, 0.29%, 3/25/37) (b)(e)	7,067,239		6,997,032
TOTAL CASH EQUIVALENTS (Cost $23,174,000)		23,170,582
TOTAL INVESTMENT PORTFOLIO - 100.8% (Cost $291,104,614)			291,233,657
NET OTHER ASSETS (LIABILITIES) - (0.8)%			(2,327,426)
NET ASSETS - 100%		$ 288,906,231

Legend

(a) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $49,994,817 or 17.3% of net assets.

(b) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.

(c) Private activity obligations whose interest is subject to the federal alternative minimum tax for individuals.

(d) Provides evidence of ownership in one or more underlying municipal bonds.

(e) The maturity amount is based on the rate at period end.

(f) Represents a forward settling transaction and therefore no collateral securities had been allocated as of period end. The agreement contemplated the delivery of Mortgage Loan Obligations as collateral on settlement date.

# Additional information on each counterparty to the repurchase agreement is as follows:

Repurchase Agreement / Counterparty	Value
$2,174,000 due 6/01/11 at 0.14%
Goldman, Sachs & Co.	$ 65,300
HSBC Securities (USA), Inc.	391,799
Merrill Lynch, Pierce, Fenner & Smith, Inc.	103,146
Mizuho Securities USA, Inc.	1,175,397
Societe Generale	124,135
Wells Fargo Securities LLC	314,223
	$ 2,174,000

Other Information

All investments are categorized as Level 2 under the Fair Value Hierarchy. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, please refer to the Investment Valuation section at the end of this listing.

Income Tax Information

At May 31, 2011, the cost of investment securities for income tax purposes was $291,104,614. Net unrealized appreciation aggregated $129,043, of which $174,120 related to appreciated investment securities and $45,077 related to depreciated investment securities.

Investment Valuation

Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Security transactions are accounted for as of trade date. The Fund uses independent pricing services approved by the Board of Trustees to value its investments. When current market prices or quotations are not readily available or reliable, valuations may be determined in good faith in accordance with procedures adopted by the Board of Trustees. Factors used in determining value may include market or security specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The value used for net asset value calculation under these procedures may differ from published prices for the same securities. The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels: Level 1 - quoted prices in active markets for identical investments. Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds etc.). Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available). Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. Valuation techniques used to value the Fund's investments by major category are as follows:

Debt securities, including restricted securities, are valued based on evaluated prices received from independent pricing services or from dealers who make markets in such securities. For corporate bonds, municipal securities, commercial paper and certificates of deposit, pricing services utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices and are generally categorized as Level 2 in the hierarchy.

Short-term securities with remaining maturities of sixty days or less may be valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing matrices which consider similar factors that would be used by independent pricing services. These are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

Quarterly Report

The fund's schedule of investments as of the date on the cover of this report has not been audited. This report is provided for the general information of the fund's shareholders. For more information regarding the fund and its holdings, please

see the fund's most recent prospectus.

Third party trademarks and service marks are the property of their respective owners. All other trademarks and service marks are the property of FMR LLC

or an affiliate.

Quarterly Report

Quarterly Holdings Report

for

Fidelity ® Advisor
Corporate Bond Fund
Class A
Class T
Class C
Institutional Class

May 31, 2011

1.907030.101

ACBD-QTLY-0711

Investments May 31, 2011 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 78.3%
	Principal Amount		Value
CONSUMER DISCRETIONARY - 6.1%
Automobiles - 0.5%
Daimler Finance North America LLC 1.95% 3/28/14 (b)	$ 300,000		$ 302,706
Household Durables - 1.0%
Fortune Brands, Inc.:
5.375% 1/15/16	239,000		259,640
6.375% 6/15/14	182,000		202,980
Whirlpool Corp. 6.125% 6/15/11	152,000		152,271
			614,891
Media - 3.8%
Comcast Corp. 6.4% 3/1/40	250,000		272,506
Discovery Communications LLC 6.35% 6/1/40	221,000		238,289
NBC Universal, Inc.:
3.65% 4/30/15 (b)	129,000		135,631
5.15% 4/30/20 (b)	500,000		531,920
6.4% 4/30/40 (b)	390,000		423,751
News America, Inc. 6.9% 8/15/39	300,000		338,695
Time Warner, Inc. 6.2% 3/15/40	300,000		312,573
Viacom, Inc. 3.5% 4/1/17	34,000		34,668
			2,288,033
Specialty Retail - 0.8%
Home Depot, Inc. 5.95% 4/1/41	331,000		347,178
Staples, Inc. 7.375% 10/1/12	100,000		107,400
			454,578
TOTAL CONSUMER DISCRETIONARY			3,660,208
CONSUMER STAPLES - 2.1%
Beverages - 0.6%
Anheuser-Busch InBev Worldwide, Inc. 5.375% 11/15/14	218,000		244,107
FBG Finance Ltd. 5.125% 6/15/15 (b)	131,000		143,124
			387,231
Food & Staples Retailing - 0.2%
CVS Caremark Corp. 4.125% 5/15/21	134,000		131,795
Food Products - 0.6%
Kraft Foods, Inc.:
5.625% 11/1/11	21,000		21,428
6.5% 8/11/17	274,000		321,775
			343,203
Nonconvertible Bonds - continued
	Principal Amount		Value
CONSUMER STAPLES - continued
Tobacco - 0.7%
Altria Group, Inc. 9.7% 11/10/18	$ 182,000		$ 243,054
Reynolds American, Inc. 6.75% 6/15/17	131,000		153,228
			396,282
TOTAL CONSUMER STAPLES			1,258,511
ENERGY - 9.8%
Energy Equipment & Services - 2.6%
DCP Midstream LLC 5.35% 3/15/20 (b)	116,000		123,931
El Paso Pipeline Partners Operating Co. LLC 6.5% 4/1/20	658,000		755,433
Noble Holding International Ltd. 3.05% 3/1/16	450,000		455,795
Weatherford International Ltd.:
4.95% 10/15/13	78,000		83,529
5.15% 3/15/13	102,000		108,349
			1,527,037
Oil, Gas & Consumable Fuels - 7.2%
Anadarko Petroleum Corp.:
5.95% 9/15/16	393,000		444,080
6.375% 9/15/17	71,000		81,634
BW Group Ltd. 6.625% 6/28/17 (b)	132,000		133,420
Duke Energy Field Services 5.375% 10/15/15 (b)	54,000		60,175
El Paso Natural Gas Co. 5.95% 4/15/17	492,000		561,341
EnCana Holdings Finance Corp. 5.8% 5/1/14	129,000		144,341
Gulf South Pipeline Co. LP 5.75% 8/15/12 (b)	172,000		179,594
Marathon Petroleum Corp. 6.5% 3/1/41 (b)	220,000		236,093
Midcontinent Express Pipeline LLC 5.45% 9/15/14 (b)	480,000		528,055
Nexen, Inc.:
5.2% 3/10/15	41,000		45,053
6.2% 7/30/19	324,000		368,540
6.4% 5/15/37	158,000		163,395
NGPL PipeCo LLC 6.514% 12/15/12 (b)	159,000		167,666
Petrobras International Finance Co. Ltd.:
3.875% 1/27/16	39,000		39,911
5.75% 1/20/20	427,000		452,884
Petroleos Mexicanos 6% 3/5/20	116,000		125,686
Plains All American Pipeline LP/PAA Finance Corp. 5% 2/1/21	14,000		14,565
Ras Laffan Liquefied Natural Gas Co. Ltd. 8.294% 3/15/14 (b)	79,800		87,481
Nonconvertible Bonds - continued
	Principal Amount		Value
ENERGY - continued
Oil, Gas & Consumable Fuels - continued
Rockies Express Pipeline LLC 6.25% 7/15/13 (b)	$ 121,000		$ 130,171
Spectra Energy Capital, LLC 5.65% 3/1/20	56,000		61,382
Western Gas Partners LP 5.375% 6/1/21	260,000		268,835
			4,294,302
TOTAL ENERGY			5,821,339
FINANCIALS - 42.6%
Capital Markets - 4.8%
Goldman Sachs Group, Inc.:
3.625% 2/7/16	750,000		752,111
5.95% 1/18/18	178,000		192,835
6.15% 4/1/18	204,000		223,673
Janus Capital Group, Inc. 5.875% 9/15/11 (a)	107,000		107,962
Lazard Group LLC:
6.85% 6/15/17	171,000		191,390
7.125% 5/15/15	61,000		68,742
Morgan Stanley:
1.2533% 4/29/13 (d)	270,000		269,931
4% 7/24/15	447,000		462,862
5.625% 9/23/19	219,000		228,631
6.625% 4/1/18	153,000		172,226
Royal Bank of Scotland PLC 4.375% 3/16/16	225,000		230,127
			2,900,490
Commercial Banks - 9.0%
Associated Banc Corp. 5.125% 3/28/16	575,000		599,102
Comerica, Inc. 4.8% 5/1/15	107,000		114,654
Credit Suisse New York Branch 6% 2/15/18	122,000		134,286
DBS Bank Ltd. (Singapore) 0.4808% 5/16/17 (b)(d)	139,000		137,263
Discover Bank 7% 4/15/20	350,000		398,973
Export-Import Bank of Korea 5.5% 10/17/12	101,000		106,245
Fifth Third Bancorp 8.25% 3/1/38	1,273,000		1,587,930
Fifth Third Capital Trust IV 6.5% 4/15/67 (d)	36,000		35,730
HSBC Holdings PLC:
5.1% 4/5/21	133,000		138,395
6.5% 9/15/37	100,000		106,934
KeyCorp. 5.1% 3/24/21	81,000		84,305
Marshall & Ilsley Bank:
4.85% 6/16/15	370,000		399,756
5% 1/17/17	93,000		101,194
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Commercial Banks - continued
Nordea Bank AB 4.875% 5/13/21 (b)	$ 260,000		$ 259,445
Regions Bank 7.5% 5/15/18	670,000		725,138
Regions Financial Corp. 0.4785% 6/26/12 (d)	61,000		59,328
SunTrust Banks, Inc. 3.6% 4/15/16	39,000		39,930
UniCredit Luxembourg Finance SA 5.584% 1/13/17 (b)(d)	131,000		131,295
UnionBanCal Corp. 5.25% 12/16/13	30,000		32,399
Wachovia Corp. 5.625% 10/15/16	152,000		169,779
			5,362,081
Consumer Finance - 2.6%
Discover Financial Services:
6.45% 6/12/17	107,000		120,395
10.25% 7/15/19	105,000		140,015
General Electric Capital Corp.:
4.625% 1/7/21	1,000,000		1,014,734
5.875% 1/14/38	150,000		156,086
HSBC Finance Corp. 5.9% 6/19/12	104,000		109,418
			1,540,648
Diversified Financial Services - 12.6%
BP Capital Markets PLC:
3.125% 10/1/15	608,000		622,708
3.625% 5/8/14	388,000		408,234
4.5% 10/1/20	300,000		307,254
Capital One Capital V 10.25% 8/15/39	441,000		469,114
Capital One Capital VI 8.875% 5/15/40	100,000		103,625
Citigroup, Inc.:
6.125% 5/15/18	75,000		83,667
6.5% 8/19/13	433,000		476,027
6.875% 3/5/38	175,000		202,767
8.5% 5/22/19	100,000		125,581
General Electric Capital Corp. 5.3% 2/11/21	460,000		483,147
JPMorgan Chase & Co.:
3.45% 3/1/16	1,905,000		1,945,327
4.625% 5/10/21	655,000		657,342
Metlife Institutional Funding II 1.201% 4/4/14 (b)(d)	600,000		601,695
Prime Property Funding II 5.6% 6/15/11 (b)	364,000		364,332
Prime Property Funding, Inc. 5.7% 4/15/17 (b)	76,000		79,702
TECO Finance, Inc. 5.15% 3/15/20	114,000		122,295
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Diversified Financial Services - continued
TransCapitalInvest Ltd. 5.67% 3/5/14 (b)	$ 195,000		$ 208,650
Volkswagen International Finance NV 1.875% 4/1/14 (b)	300,000		302,087
			7,563,554
Insurance - 4.9%
Aon Corp.:
3.125% 5/27/16	27,000		27,131
6.25% 9/30/40	253,000		272,435
Assurant, Inc. 5.625% 2/15/14	85,000		91,308
Great-West Life & Annuity Insurance Co. 7.153% 5/16/46 (b)(d)	66,000		69,300
Liberty Mutual Group, Inc. 5% 6/1/21 (b)	634,000		623,225
Monumental Global Funding II 5.65% 7/14/11 (b)	74,000		74,311
Monumental Global Funding III 5.5% 4/22/13 (b)	98,000		104,570
Pacific Life Global Funding 5.15% 4/15/13 (b)	152,000		161,649
Pacific LifeCorp 6% 2/10/20 (b)	100,000		109,514
Prudential Financial, Inc.:
5.15% 1/15/13	144,000		152,352
5.625% 5/12/41	560,000		553,978
QBE Insurance Group Ltd. 5.647% 7/1/23 (b)(d)	58,000		56,635
Symetra Financial Corp. 6.125% 4/1/16 (b)	215,000		225,853
Unum Group:
5.625% 9/15/20	250,000		265,246
7.125% 9/30/16	106,000		123,405
			2,910,912
Real Estate Investment Trusts - 2.8%
CommonWealth REIT 5.875% 9/15/20	260,000		274,337
Developers Diversified Realty Corp.:
4.75% 4/15/18	20,000		19,989
5.375% 10/15/12	622,000		644,350
Equity One, Inc. 6.25% 12/15/14	223,000		244,552
Federal Realty Investment Trust:
5.95% 8/15/14	100,000		111,074
6% 7/15/12	131,000		137,764
Washington (REIT):
5.25% 1/15/14	58,000		62,636
5.95% 6/15/11	162,000		162,231
			1,656,933
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Real Estate Management & Development - 3.3%
BioMed Realty LP 3.85% 4/15/16	$ 464,000		$ 470,534
Brandywine Operating Partnership LP 5.75% 4/1/12	183,000		189,717
Duke Realty LP:
5.4% 8/15/14	126,000		136,787
5.625% 8/15/11	134,000		135,175
Liberty Property LP:
5.125% 3/2/15	141,000		154,271
5.5% 12/15/16	66,000		72,951
Mack-Cali Realty LP 7.75% 8/15/19	126,000		155,270
Tanger Properties LP 6.125% 6/1/20	586,000		657,181
			1,971,886
Thrifts & Mortgage Finance - 2.6%
Bank of America Corp. 5% 5/13/21	1,185,000		1,182,824
First Niagara Financial Group, Inc. 6.75% 3/19/20	325,000		363,275
			1,546,099
TOTAL FINANCIALS			25,452,603
HEALTH CARE - 0.3%
Health Care Providers & Services - 0.1%
Express Scripts, Inc. 3.125% 5/15/16	46,000		46,494
Pharmaceuticals - 0.2%
Watson Pharmaceuticals, Inc. 5% 8/15/14	130,000		141,759
TOTAL HEALTH CARE			188,253
INDUSTRIALS - 1.6%
Aerospace & Defense - 0.2%
BAE Systems Holdings, Inc. 4.95% 6/1/14 (b)	103,000		110,942
Airlines - 0.4%
Continental Airlines, Inc. 6.648% 3/15/19	116,168		122,848
U.S. Airways pass-thru trust certificates:
6.85% 7/30/19	73,882		70,926
8.36% 1/20/19	55,376		58,421
			252,195
Machinery - 1.0%
Caterpillar, Inc. 5.2% 5/27/41	565,000		571,016
TOTAL INDUSTRIALS			934,153
Nonconvertible Bonds - continued
	Principal Amount		Value
INFORMATION TECHNOLOGY - 1.6%
Computers & Peripherals - 1.0%
Hewlett-Packard Co. 4.3% 6/1/21	$ 580,000		$ 584,693
Electronic Equipment & Components - 0.6%
Tyco Electronics Group SA:
5.95% 1/15/14	160,000		177,015
6% 10/1/12	173,000		184,223
			361,238
TOTAL INFORMATION TECHNOLOGY			945,931
MATERIALS - 2.1%
Chemicals - 0.5%
Dow Chemical Co. 7.6% 5/15/14	237,000		276,333
Construction Materials - 0.1%
CRH America, Inc. 6% 9/30/16	82,000		91,059
Metals & Mining - 1.5%
Alcoa, Inc. 5.4% 4/15/21	120,000		122,945
Anglo American Capital PLC 9.375% 4/8/14 (b)	156,000		188,784
ArcelorMittal SA 5.5% 3/1/21	440,000		443,194
Vale Overseas Ltd. 6.25% 1/23/17	104,000		118,927
			873,850
TOTAL MATERIALS			1,241,242
TELECOMMUNICATION SERVICES - 5.0%
Diversified Telecommunication Services - 3.9%
AT&T, Inc.:
2.95% 5/15/16	620,000		628,916
6.3% 1/15/38	500,000		534,716
CenturyLink, Inc. 7.6% 9/15/39	118,000		120,690
Telecom Italia Capital SA:
4.95% 9/30/14	143,000		151,421
7.175% 6/18/19	94,000		106,720
Telefonica Emisiones SAU:
3.992% 2/16/16	200,000		204,765
5.134% 4/27/20	94,000		96,029
Verizon Communications, Inc. 4.6% 4/1/21	460,000		476,468
			2,319,725
Wireless Telecommunication Services - 1.1%
America Movil SAB de CV 3.625% 3/30/15	132,000		138,871
Nonconvertible Bonds - continued
	Principal Amount		Value
TELECOMMUNICATION SERVICES - continued
Wireless Telecommunication Services - continued
DIRECTV Holdings LLC/DIRECTV Financing, Inc.:
3.5% 3/1/16	$ 220,000		$ 226,811
4.75% 10/1/14	223,000		244,364
5.875% 10/1/19	67,000		74,903
			684,949
TOTAL TELECOMMUNICATION SERVICES			3,004,674
UTILITIES - 7.1%
Electric Utilities - 4.4%
AmerenUE 6.4% 6/15/17	133,000		155,086
Cleveland Electric Illuminating Co. 5.65% 12/15/13	183,000		199,347
Duquesne Light Holdings, Inc. 6.4% 9/15/20 (b)	140,000		146,953
EDP Finance BV 6% 2/2/18 (b)	106,000		103,148
FirstEnergy Corp. 7.375% 11/15/31	563,000		654,580
FirstEnergy Solutions Corp. 6.05% 8/15/21	38,000		41,786
Nevada Power Co.:
6.5% 8/1/18	70,000		82,169
6.65% 4/1/36	500,000		589,076
Sierra Pacific Power Co. 5.45% 9/1/13	70,000		76,216
Tampa Electric Co. 6.55% 5/15/36	500,000		593,334
			2,641,695
Independent Power Producers & Energy Traders - 0.6%
Duke Capital LLC 5.668% 8/15/14	192,000		213,754
Exelon Generation Co. LLC 4% 10/1/20	157,000		151,043
			364,797
Multi-Utilities - 2.1%
Dominion Resources, Inc.:
6.3% 9/30/66 (d)	145,000		143,550
7.5% 6/30/66 (d)	145,000		153,700
DTE Energy Co. 0.9716% 6/3/13 (d)	86,000		85,916
NiSource Finance Corp.:
5.4% 7/15/14	60,000		66,205
6.4% 3/15/18	59,000		67,692
Nonconvertible Bonds - continued
	Principal Amount		Value
UTILITIES - continued
Multi-Utilities - continued
Sempra Energy 2% 3/15/14	$ 595,000		$ 600,280
Wisconsin Energy Corp. 6.25% 5/15/67 (d)	117,000		118,463
			1,235,806
TOTAL UTILITIES			4,242,298
TOTAL NONCONVERTIBLE BONDS (Cost $45,252,226)		46,749,212
U.S. Treasury Obligations - 10.2%
U.S. Treasury Bonds 4.75% 2/15/41	1,447,000		1,579,943
U.S. Treasury Notes:
1.25% 8/31/15	2,803,000		2,792,045
1.875% 9/30/17	866,000		850,304
2.625% 8/15/20	240,000		233,925
3.125% 5/15/21	614,000		617,838
TOTAL U.S. TREASURY OBLIGATIONS (Cost $5,978,804)		6,074,055
Municipal Securities - 2.7%
American Muni. Pwr.-Ohio, Inc. Rev.:
(Combined Hydroelectric Proj.)Series 2010 B, 8.084% 2/15/50	280,000		356,961
6.449% 2/15/44	200,000		208,230
Illinois Gen. Oblig.:
5.665% 3/1/18	25,000		26,369
5.877% 3/1/19	210,000		220,515
Los Angeles Dept. of Wtr. & Pwr. Rev. Series 2010 A, 6.603% 7/1/50	130,000		148,723
Muni. Elec. Auth. of Georgia (Plant Vogtle Units 3&4 Proj.)Series 2010 A, 6.655% 4/1/57	690,000		670,025
TOTAL MUNICIPAL SECURITIES (Cost $1,505,280)		1,630,823
Foreign Government and Government Agency Obligations - 0.3%
United Mexican States 6.05% 1/11/40 (Cost $147,988)	146,000		155,125
Bank Notes - 0.8%
	Principal Amount		Value
Wachovia Bank NA 6% 11/15/17 (Cost $444,402)	$ 405,000		$ 461,324
Certificates of Deposit - 0.4%
Abbey National Treasury Services PLC yankee 1.5728% 4/25/13 (d) (Cost $270,000)	270,000		269,857
Commercial Paper - 3.3%
Devon Energy Corp. 0.3% 7/25/11	1,000,000		999,607
National Grid USA 0.5% 7/13/11	1,000,000		999,645
TOTAL COMMERCIAL PAPER (Cost $1,998,945)		1,999,252

Preferred Securities - 0.3%
FINANCIALS - 0.3%
Diversified Financial Services - 0.3%
ING Groep NV 5.775% (c)(d)	47,000		45,007
MUFG Capital Finance 1 Ltd. 6.346% (c)(d)	102,000		106,435
			151,442
TOTAL PREFERRED SECURITIES (Cost $145,129)		151,442
Cash Equivalents - 2.0%
	Maturity Amount
Investments in repurchase agreements in a joint trading account at 0.14%, dated 5/31/11 due 6/1/11 (Collateralized by U.S. Government Obligations) # (Cost $1,212,000)	$ 1,212,005		1,212,000
TOTAL INVESTMENT PORTFOLIO - 98.3% (Cost $56,954,774)			58,703,090
NET OTHER ASSETS (LIABILITIES) - 1.7%			988,396
NET ASSETS - 100%		$ 59,691,486

Legend

(a) Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end.

(b) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $7,243,071 or 12.1% of net assets.

(c) Security is perpetual in nature with no stated maturity date.

(d) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.

# Additional information on each counterparty to the repurchase agreement is as follows:

Repurchase Agreement / Counterparty	Value
$1,212,000 due 6/01/11 at 0.14%
Goldman, Sachs & Co.	$ 36,405
HSBC Securities (USA), Inc.	218,427
Merrill Lynch, Pierce, Fenner & Smith, Inc.	57,504
Mizuho Securities USA, Inc.	655,280
Societe Generale	69,205
Wells Fargo Securities LLC	175,179
	$ 1,212,000

Affiliated Central Funds

Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows:

Fund	Income earned
Fidelity Corporate Bond 1-10 Year Central Fund	$ 719,660

Additional information regarding the Fund's fiscal year to date purchases and sales, including the ownership percentage, of the non Money Market Central Funds is as follows:

Fund	Value, beginning of period	Purchases	Sales Proceeds	Value, end of period	% ownership, end of period
Fidelity Corporate Bond 1-10 Year Central Fund	$ 70,145,328	$ -	$ 70,246,461*	$ -	0.0%
Total	$ 70,145,328	$ -	$ 70,246,461	$ -

* Includes the value of shares redeemed through in-kind transactions.

Other Information

All investments are categorized as Level 2 under the Fair Value Hierarchy. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs please refer to the Investment Valuation section at the end of this listing.

Income Tax Information

At May 31, 2011, the cost of investment securities for income tax purposes was $55,760,449. Net unrealized appreciation aggregated $2,942,641, of which $2,947,030 related to appreciated investment securities and $4,389 related to depreciated investment securities.

Investment Valuation

Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Security transactions are accounted for as of trade date. The Fund uses independent pricing services approved by the Board of Trustees to value its investments. When current market prices or quotations are not readily available or reliable, valuations may be determined in good faith in accordance with procedures adopted by the Board of Trustees. Factors used in determining value may include market or security specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The value used for net asset value calculation under these procedures may differ from published prices for the same securities. The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels: Level 1 - quoted prices in active markets for identical investments. Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds etc.). Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available). Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. Valuation techniques used to value the Fund's investments by major category are as follows:

Debt securities, including restricted securities, are valued based on evaluated prices received from independent pricing services or from dealers who make markets in such securities. For corporate bonds, bank notes, foreign government and government agency obligations, municipal securities, preferred securities, U.S. government and government agency obligations, commercial paper and certificates of deposit, pricing services utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices and are generally categorized as Level 2 in the hierarchy.

Short-term securities with remaining maturities of sixty days or less may be valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing matrices which consider similar factors that would be used by independent pricing services. These are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day and are categorized as Level 1 in the hierarchy.

For additional information on the Fund's policy regarding valuation of investments and other significant accounting policies, please refer to the Fund's most recent semiannual or annual shareholder report.

Quarterly Report

The fund's schedule of investments as of the date on the cover of this report has not been audited. This report is provided for the general information of the fund's shareholders. For more information regarding the fund and its holdings, please visit advisor.fidelity.com or call Fidelity at 1-877-208-0098 for a free copy of the fund's most recent prospectus and annual report.

Third party trademarks and service marks are the property of their respective owners. All other trademarks and service marks are the property of FMR LLC

or an affiliate.

Quarterly Report

Quarterly Holdings Report

for

Spartan® U.S. Bond Index Fund
(formerly Fidelity ® U.S. Bond Index Fund)

May 31, 2011

1.816026.106

UBI-QTLY-0711

Investments May 31, 2011 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 20.0%
	Principal Amount (000s)		Value (000s)
CONSUMER DISCRETIONARY - 1.4%
Auto Components - 0.0%
DaimlerChrysler NA Holding Corp. 5.75% 9/8/11	$ 5,542		$ 5,619
Hotels, Restaurants & Leisure - 0.1%
McDonald's Corp.:
5.35% 3/1/18	2,317		2,655
6.3% 3/1/38	7,045		8,364
Yum! Brands, Inc.:
4.25% 9/15/15	2,000		2,128
5.3% 9/15/19	2,000		2,177
			15,324
Household Durables - 0.1%
Fortune Brands, Inc. 5.875% 1/15/36	10,000		9,677
Media - 0.9%
AOL Time Warner, Inc. 7.625% 4/15/31	3,250		3,920
Comcast Corp.:
4.95% 6/15/16	1,862		2,045
5.7% 5/15/18	2,940		3,293
5.7% 7/1/19	8,500		9,500
6.4% 3/1/40	1,000		1,090
6.55% 7/1/39	3,000		3,317
COX Communications, Inc. 4.625% 6/1/13	4,425		4,709
NBC Universal, Inc. 6.4% 4/30/40 (a)	3,000		3,260
News America Holdings, Inc. 7.75% 12/1/45	3,160		3,859
News America, Inc.:
5.3% 12/15/14	868		969
5.65% 8/15/20	1,000		1,120
6.15% 3/1/37	3,955		4,099
6.9% 3/1/19	2,110		2,507
6.9% 8/15/39	2,000		2,258
Thomson Reuters Corp. 4.7% 10/15/19	4,000		4,270
Time Warner Cable, Inc.:
5.4% 7/2/12	2,421		2,539
5.85% 5/1/17	5,801		6,491
6.2% 7/1/13	2,302		2,532
6.75% 7/1/18	1,162		1,351
7.3% 7/1/38	4,000		4,647
8.75% 2/14/19	2,368		3,025
Time Warner, Inc.:
3.15% 7/15/15	5,000		5,158
5.875% 11/15/16	2,131		2,439
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
CONSUMER DISCRETIONARY - continued
Media - continued
Time Warner, Inc.: - continued
6.5% 11/15/36	$ 5,724		$ 6,169
Viacom, Inc.:
4.375% 9/15/14	2,000		2,157
5.625% 9/15/19	1,000		1,119
6.125% 10/5/17	5,420		6,236
6.75% 10/5/37	1,865		2,107
Walt Disney Co. 5.5% 3/15/19	2,000		2,314
			98,500
Multiline Retail - 0.0%
Target Corp. 3.875% 7/15/20	3,000		3,033
Specialty Retail - 0.3%
Home Depot, Inc.:
5.4% 3/1/16	6,400		7,213
5.875% 12/16/36	4,700		4,894
Lowe's Companies, Inc.:
4.625% 4/15/20	2,000		2,146
5.8% 4/15/40	2,000		2,166
Staples, Inc. 9.75% 1/15/14	10,000		11,978
			28,397
TOTAL CONSUMER DISCRETIONARY			160,550
CONSUMER STAPLES - 1.6%
Beverages - 0.4%
Anheuser-Busch Companies, Inc. 6.45% 9/1/37	2,073		2,396
Anheuser-Busch InBev Worldwide, Inc.:
4.125% 1/15/15	5,700		6,145
5.375% 1/15/20	1,500		1,663
Diageo Capital PLC:
5.2% 1/30/13	1,028		1,101
5.75% 10/23/17	5,185		5,993
PepsiCo, Inc.:
3.1% 1/15/15	10,300		10,828
4.875% 11/1/40	2,300		2,244
7.9% 11/1/18	6,000		7,792
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
CONSUMER STAPLES - continued
Beverages - continued
The Coca-Cola Co.:
1.5% 11/15/15	$ 3,770		$ 3,704
3.15% 11/15/20	3,700		3,591
			45,457
Food & Staples Retailing - 0.4%
CVS Caremark Corp.:
5.75% 5/15/41	6,000		5,949
6.125% 9/15/39	1,000		1,043
6.302% 6/1/37 (f)	5,809		5,751
Kroger Co. 3.9% 10/1/15	9,000		9,548
Safeway, Inc. 5% 8/15/19	1,000		1,058
Wal-Mart Stores, Inc.:
3.2% 5/15/14	10,000		10,640
5.625% 4/1/40	2,000		2,095
6.5% 8/15/37	8,275		9,633
			45,717
Food Products - 0.4%
ConAgra Foods, Inc. 5.875% 4/15/14	4,000		4,414
General Mills, Inc. 5.65% 2/15/19	13,501		15,375
Kellogg Co.:
3.25% 5/21/18	2,800		2,821
4.45% 5/30/16	2,000		2,188
Kraft Foods, Inc.:
5.625% 11/1/11	467		477
6% 2/11/13	7,895		8,526
6.125% 2/1/18	5,497		6,324
6.75% 2/19/14	535		608
6.875% 2/1/38	3,250		3,805
			44,538
Household Products - 0.1%
Procter & Gamble Co.:
1.8% 11/15/15	5,000		4,989
3.15% 9/1/15	4,500		4,760
			9,749
Tobacco - 0.3%
Altria Group, Inc. 9.7% 11/10/18	6,065		8,100
Philip Morris International, Inc.:
4.5% 3/26/20	2,000		2,102
4.875% 5/16/13	8,937		9,615
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
CONSUMER STAPLES - continued
Tobacco - continued
Philip Morris International, Inc.: - continued
5.65% 5/16/18	$ 6,789		$ 7,739
6.375% 5/16/38	1,450		1,695
Reynolds American, Inc.:
6.75% 6/15/17	2,899		3,391
7.25% 6/15/37	7,220		8,072
			40,714
TOTAL CONSUMER STAPLES			186,175
ENERGY - 1.8%
Energy Equipment & Services - 0.2%
Baker Hughes, Inc. 5.125% 9/15/40	2,000		1,989
Halliburton Co.:
6.15% 9/15/19	2,000		2,359
7.45% 9/15/39	1,500		1,940
Noble Holding International Ltd.:
3.05% 3/1/16	1,020		1,033
4.625% 3/1/21	1,340		1,382
Rowan Companies, Inc. 7.875% 8/1/19	500		616
Weatherford International Ltd.:
4.95% 10/15/13	1,726		1,848
5.15% 3/15/13	2,255		2,395
7% 3/15/38	5,580		6,294
			19,856
Oil, Gas & Consumable Fuels - 1.6%
Anadarko Petroleum Co. 6.2% 3/15/40	2,000		2,080
Anadarko Petroleum Corp.:
5.75% 6/15/14	5,000		5,551
6.45% 9/15/36	2,675		2,848
Apache Corp. 5.1% 9/1/40	3,000		2,955
Boardwalk Pipelines LP 5.75% 9/15/19	1,000		1,099
Canadian Natural Resources Ltd.:
5.15% 2/1/13	4,456		4,755
5.7% 5/15/17	1,148		1,323
Cenovus Energy, Inc. 6.75% 11/15/39	2,000		2,362
ConocoPhillips:
4.6% 1/15/15	3,000		3,331
5.75% 2/1/19	2,902		3,382
6.5% 2/1/39	7,529		8,993
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
ENERGY - continued
Oil, Gas & Consumable Fuels - continued
Devon Energy Corp. 5.625% 1/15/14	$ 2,321		$ 2,584
El Paso Natural Gas Co. 5.95% 4/15/17	926		1,057
Enbridge Energy Partners LP:
5.875% 12/15/16	1,000		1,141
6.5% 4/15/18	1,000		1,162
EnCana Holdings Finance Corp. 5.8% 5/1/14	2,861		3,201
Enterprise Products Operating LP:
4.6% 8/1/12	5,000		5,204
5.6% 10/15/14	1,937		2,162
5.65% 4/1/13	690		744
6.65% 4/15/18	2,000		2,344
7.55% 4/15/38	2,000		2,451
EOG Resources, Inc. 5.625% 6/1/19	1,000		1,136
EQT Corp. 8.125% 6/1/19	1,000		1,233
Hess Corp. 5.6% 2/15/41	3,400		3,419
Kinder Morgan Energy Partners LP:
5% 12/15/13	5,000		5,444
6.55% 9/15/40	3,000		3,261
Magellan Midstream Partners LP 6.55% 7/15/19	4,592		5,390
Marathon Petroleum Corp.:
3.5% 3/1/16 (a)	1,000		1,027
5.125% 3/1/21 (a)	1,000		1,043
6.5% 3/1/41 (a)	1,000		1,073
Nexen, Inc.:
5.2% 3/10/15	900		989
5.875% 3/10/35	3,710		3,644
Petro-Canada:
6.05% 5/15/18	3,650		4,190
6.8% 5/15/38	8,445		9,852
Petrobras International Finance Co. Ltd. 7.875% 3/15/19	12,228		14,754
Plains All American Pipeline LP/PAA Finance Corp.:
3.95% 9/15/15	2,000		2,108
5.75% 1/15/20	1,000		1,103
6.125% 1/15/17	1,795		2,028
6.65% 1/15/37	2,795		3,086
Shell International Finance BV:
1.875% 3/25/13	7,000		7,153
6.375% 12/15/38	4,200		5,019
Spectra Energy Capital, LLC 5.65% 3/1/20	2,000		2,192
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
ENERGY - continued
Oil, Gas & Consumable Fuels - continued
StatoilHydro ASA:
2.9% 10/15/14	$ 1,500		$ 1,574
5.1% 8/17/40	2,000		2,001
Suncor Energy, Inc.:
6.1% 6/1/18	11,244		12,967
6.85% 6/1/39	2,000		2,347
Talisman Energy, Inc. 5.85% 2/1/37	5,000		5,200
TransCanada PipeLines Ltd.:
3.4% 6/1/15	1,000		1,049
6.1% 6/1/40	6,700		7,378
Valero Energy Corp. 6.625% 6/15/37	5,420		5,796
XTO Energy, Inc.:
5% 1/31/15	1,733		1,944
5.65% 4/1/16	1,189		1,385
			181,514
TOTAL ENERGY			201,370
FINANCIALS - 7.6%
Capital Markets - 1.7%
Bear Stearns Companies, Inc. 5.3% 10/30/15	1,159		1,281
BlackRock, Inc. 4.25% 5/24/21	6,500		6,485
Goldman Sachs Group, Inc.:
3.625% 8/1/12	1,500		1,545
3.625% 2/7/16	5,000		5,014
3.7% 8/1/15	7,848		7,968
5.625% 1/15/17	7,000		7,520
6% 6/15/20	1,650		1,773
6.15% 4/1/18	1,951		2,139
6.25% 2/1/41	2,000		2,021
6.75% 10/1/37	24,510		24,627
JPMorgan Chase Capital XX 6.55% 9/29/36	14,550		14,921
Lazard Group LLC:
6.85% 6/15/17	3,804		4,258
7.125% 5/15/15	1,364		1,537
Merrill Lynch & Co., Inc.:
5.45% 2/5/13	10,924		11,630
6.4% 8/28/17	3,140		3,524
6.875% 4/25/18	6,991		7,967
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Capital Markets - continued
Morgan Stanley:
2.875% 1/24/14	$ 5,000		$ 5,107
4.2% 11/20/14	7,250		7,605
4.75% 4/1/14	4,287		4,520
5.45% 1/9/17	236		254
5.625% 9/23/19	2,000		2,088
5.75% 1/25/21	5,000		5,229
5.95% 12/28/17	5,745		6,303
6% 5/13/14	3,242		3,559
6% 4/28/15	5,666		6,287
6.625% 4/1/18	5,055		5,690
7.3% 5/13/19	3,000		3,455
Royal Bank of Scotland PLC:
3.95% 9/21/15	6,500		6,593
4.875% 3/16/15	5,000		5,255
6.125% 1/11/21	3,700		3,895
State Street Corp. 2.875% 3/7/16	3,340		3,405
The Bank of New York, Inc.:
4.3% 5/15/14	9,828		10,667
5.45% 5/15/19	2,000		2,262
UBS AG Stamford Branch:
2.25% 1/28/14	1,300		1,316
3.875% 1/15/15	2,000		2,113
5.75% 4/25/18	1,700		1,891
5.875% 12/20/17	3,500		3,963
			195,667
Commercial Banks - 1.5%
American Express Bank FSB 6% 9/13/17	615		705
Bank of America NA:
5.3% 3/15/17	3,500		3,701
6% 10/15/36	2,419		2,466
Barclays Bank PLC:
3.9% 4/7/15	6,600		6,947
5.2% 7/10/14	2,000		2,188
BB&T Capital Trust IV 6.82% 6/12/77 (f)	3,510		3,589
Canadian Imperial Bank of Commerce 1.45% 9/13/13	1,000		1,006
Comerica, Inc. 3% 9/16/15	1,268		1,286
Credit Suisse New York Branch:
2.2% 1/14/14	7,948		8,087
6% 2/15/18	15,651		17,227
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Commercial Banks - continued
Export-Import Bank of Korea 5.5% 10/17/12	$ 2,235		$ 2,351
Fifth Third Bancorp:
3.625% 1/25/16	2,000		2,046
4.5% 6/1/18	824		822
8.25% 3/1/38	2,079		2,593
Fifth Third Bank 4.75% 2/1/15	3,422		3,637
HSBC Holdings PLC:
5.1% 4/5/21	2,800		2,914
6.5% 9/15/37	10,000		10,693
JPMorgan Chase Bank 6% 10/1/17	7,075		7,954
KeyBank NA 5.8% 7/1/14	1,109		1,221
KeyCorp. 3.75% 8/13/15	7,000		7,281
PNC Funding Corp. 6.7% 6/10/19	2,500		2,980
Rabobank (Netherlands) NV:
2.125% 10/13/15	1,000		993
4.5% 1/11/21	1,000		1,045
5.25% 5/24/41	3,000		3,023
Regions Bank 7.5% 5/15/18	2,000		2,165
Royal Bank of Canada 2.625% 12/15/15	3,000		3,056
U.S. Bancorp:
3.15% 3/4/15	5,000		5,227
4.125% 5/24/21	3,000		3,013
UniCredit Luxembourg Finance SA 5.584% 1/13/17 (a)(f)	2,905		2,912
UnionBanCal Corp. 5.25% 12/16/13	656		708
Wachovia Bank NA:
4.875% 2/1/15	1,394		1,510
6.6% 1/15/38	10,000		11,539
Wachovia Corp.:
5.5% 5/1/13	14,000		15,133
5.625% 10/15/16	3,367		3,761
5.75% 6/15/17	2,905		3,300
Wells Fargo & Co. 5.625% 12/11/17	5,972		6,717
Westpac Banking Corp.:
1.85% 12/9/13	9,800		9,903
4.875% 11/19/19	3,700		3,919
			169,618
Consumer Finance - 1.0%
American Express Co.:
7.25% 5/20/14	1,500		1,726
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Consumer Finance - continued
American Express Co.: - continued
8.15% 3/19/38	$ 8,500		$ 11,780
American Express Credit Corp. 2.75% 9/15/15	5,000		5,033
Capital One Bank Glen Allen Virginia 8.8% 7/15/19	2,020		2,596
Capital One Financial Corp.:
5.7% 9/15/11	2,000		2,029
7.375% 5/23/14	1,578		1,836
Caterpillar Financial Services Corp.:
2% 4/5/13	8,104		8,280
2.75% 6/24/15	1,500		1,555
Discover Financial Services:
6.45% 6/12/17	2,263		2,546
10.25% 7/15/19	1,000		1,333
General Electric Capital Corp.:
2.25% 11/9/15	6,228		6,143
2.95% 5/9/16	11,691		11,730
3.5% 6/29/15	12,081		12,651
5.625% 9/15/17	7,044		7,873
5.625% 5/1/18	15,000		16,586
6.375% 11/15/67 (f)	9,000		9,360
Household Finance Corp. 6.375% 10/15/11	1,842		1,882
John Deere Capital Corp. 1.6% 3/3/14	8,400		8,515
PACCAR Financial Corp. 1.95% 12/17/12	2,000		2,037
			115,491
Diversified Financial Services - 1.9%
Bank of America Corp. 5.75% 12/1/17	5,855		6,350
BB&T Corp. 2.05% 4/28/14	2,000		2,024
BNP Paribas:
2.125% 12/21/12	2,000		2,037
3.6% 2/23/16	10,380		10,614
BP Capital Markets PLC:
3.125% 3/10/12	4,000		4,075
3.125% 10/1/15	2,500		2,560
3.875% 3/10/15	2,000		2,113
4.5% 10/1/20	2,000		2,048
4.75% 3/10/19	1,000		1,059
Capital One Capital V 10.25% 8/15/39	3,557		3,784
Capital One Capital VI 8.875% 5/15/40	1,000		1,036
Citigroup, Inc.:
4.75% 5/19/15	15,244		16,355
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Diversified Financial Services - continued
Citigroup, Inc.: - continued
5.5% 4/11/13	$ 13,899		$ 14,867
6.125% 5/15/18	5,731		6,393
6.5% 8/19/13	6,095		6,701
8.125% 7/15/39	8,000		10,428
8.5% 5/22/19	2,000		2,512
CME Group, Inc. 5.75% 2/15/14	501		558
Deutsche Bank AG London Branch:
3.45% 3/30/15	2,000		2,088
3.875% 8/18/14	5,000		5,317
Export Development Canada 1.25% 10/27/15	3,000		2,958
GlaxoSmithKline Capital, Inc.:
5.65% 5/15/18	8,585		9,844
6.375% 5/15/38	7,218		8,475
JPMorgan Chase & Co.:
3.4% 6/24/15	10,710		11,071
3.7% 1/20/15	5,000		5,239
4.625% 5/10/21	1,500		1,505
4.65% 6/1/14	4,000		4,331
5.5% 10/15/40	5,700		5,834
6.3% 4/23/19	10,000		11,420
Kreditanstalt fuer Wiederaufbau:
1.875% 1/14/13	3,100		3,170
4% 1/27/20	3,000		3,201
4.875% 6/17/19	25,000		28,658
National Rural Utils. Coop. Finance Corp.:
2.625% 9/16/12	3,000		3,075
3.875% 9/16/15	4,000		4,280
ORIX Corp. 5.48% 11/22/11	381		388
TECO Finance, Inc. 4% 3/15/16	2,875		3,010
			209,378
Insurance - 0.9%
Ace INA Holdings, Inc. 5.9% 6/15/19	3,000		3,437
Allstate Corp.:
5.95% 4/1/36	3,100		3,280
6.2% 5/16/14	4,000		4,549
7.45% 5/16/19	3,000		3,647
American International Group, Inc.:
3.65% 1/15/14	3,700		3,796
5.05% 10/1/15	3,000		3,150
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Insurance - continued
American International Group, Inc.: - continued
5.85% 1/16/18	$ 2,000		$ 2,129
6.4% 12/15/20	2,900		3,158
8.25% 8/15/18	4,000		4,720
Aon Corp. 3.125% 5/27/16	8,000		8,039
Assurant, Inc. 5.625% 2/15/14	1,894		2,035
Axis Capital Holdings Ltd. 5.75% 12/1/14	553		602
Berkshire Hathaway Finance Corp. 5.75% 1/15/40	5,000		5,392
MetLife, Inc.:
2.375% 2/6/14	3,000		3,062
5% 6/15/15	1,153		1,268
5.875% 2/6/41	2,400		2,527
6.125% 12/1/11	981		1,008
7.717% 2/15/19	9,000		11,040
Prudential Financial, Inc.:
5.15% 1/15/13	3,146		3,328
5.4% 6/13/35	447		440
5.5% 3/15/16	421		462
5.625% 5/12/41	2,000		1,978
5.7% 12/14/36	380		383
6.2% 1/15/15	1,340		1,518
6.2% 11/15/40	2,400		2,567
7.375% 6/15/19	3,000		3,598
8.875% 6/15/38 (f)	2,944		3,577
The Chubb Corp.:
5.75% 5/15/18	4,175		4,783
6.5% 5/15/38	3,510		4,071
The Travelers Companies, Inc. 6.25% 6/15/37	8,350		9,261
			102,805
Real Estate Investment Trusts - 0.0%
AvalonBay Communities, Inc. 6.125% 11/1/12	527		564
HRPT Properties Trust:
5.75% 11/1/15	881		953
6.25% 6/15/17	1,221		1,351
6.65% 1/15/18	612		691
Kimco Realty Corp. 6.875% 10/1/19	1,000		1,173
			4,732
Real Estate Management & Development - 0.3%
Brandywine Operating Partnership LP 5.75% 4/1/12	1,000		1,037
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Real Estate Management & Development - continued
Digital Realty Trust LP 4.5% 7/15/15	$ 2,000		$ 2,092
Duke Realty LP:
5.4% 8/15/14	5,172		5,615
5.625% 8/15/11	2,929		2,955
5.95% 2/15/17	630		697
6.25% 5/15/13	1,000		1,084
6.5% 1/15/18	1,000		1,137
ERP Operating LP 5.5% 10/1/12	3,403		3,599
Liberty Property LP:
4.75% 10/1/20	1,000		1,021
5.125% 3/2/15	840		919
5.5% 12/15/16	1,000		1,105
Regency Centers LP:
5.25% 8/1/15	2,113		2,303
5.875% 6/15/17	1,046		1,181
Tanger Properties LP:
6.125% 6/1/20	4,408		4,943
6.15% 11/15/15	24		27
			29,715
Thrifts & Mortgage Finance - 0.3%
Bank of America Corp.:
4.5% 4/1/15	5,840		6,181
5% 5/13/21	4,000		3,993
5.875% 1/5/21	6,640		7,081
6.5% 8/1/16	15,000		16,969
U.S. Central Federal Credit Union:
1.25% 10/19/11	1,500		1,507
1.9% 10/19/12	1,500		1,530
			37,261
TOTAL FINANCIALS			864,667
HEALTH CARE - 1.2%
Biotechnology - 0.0%
Amgen, Inc. 5.85% 6/1/17	2,928		3,424
Health Care Equipment & Supplies - 0.1%
Baxter International, Inc. 4.5% 8/15/19	3,000		3,212
Medtronic, Inc.:
2.625% 3/15/16	2,330		2,370
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
HEALTH CARE - continued
Health Care Equipment & Supplies - continued
Medtronic, Inc.: - continued
4.125% 3/15/21	$ 2,800		$ 2,874
St. Jude Medical, Inc. 3.75% 7/15/14	1,000		1,066
			9,522
Health Care Providers & Services - 0.3%
Aetna, Inc. 4.125% 6/1/21	7,000		6,980
Coventry Health Care, Inc.:
5.95% 3/15/17	1,731		1,873
6.3% 8/15/14	3,584		3,861
Express Scripts, Inc.:
5.25% 6/15/12	2,000		2,086
6.25% 6/15/14	2,000		2,261
7.25% 6/15/19	2,000		2,435
Medco Health Solutions, Inc. 2.75% 9/15/15	2,000		2,020
WellPoint, Inc.:
5% 12/15/14	7,200		7,977
5.8% 8/15/40	4,000		4,155
			33,648
Life Sciences Tools & Services - 0.0%
Agilent Technologies, Inc. 5.5% 9/14/15	1,000		1,113
Pharmaceuticals - 0.8%
Abbott Laboratories 4.125% 5/27/20	9,500		9,770
AstraZeneca PLC:
5.9% 9/15/17	4,505		5,277
6.45% 9/15/37	3,250		3,862
Bristol-Myers Squibb Co. 5.45% 5/1/18	2,905		3,323
Hospira, Inc. 6.4% 5/15/15	2,000		2,277
Johnson & Johnson:
1.2% 5/15/14	4,700		4,717
4.85% 5/15/41	4,260		4,227
Merck & Co., Inc.:
2.25% 1/15/16	1,000		1,005
3.875% 1/15/21	1,000		1,007
4% 6/30/15	3,000		3,257
5% 6/30/19	5,970		6,646
5.85% 6/30/39	1,000		1,126
Novartis Capital Corp. 4.125% 2/10/14	12,903		13,918
Pfizer, Inc.:
5.35% 3/15/15	4,000		4,540
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
HEALTH CARE - continued
Pharmaceuticals - continued
Pfizer, Inc.: - continued
6.2% 3/15/19	$ 4,000		$ 4,721
7.2% 3/15/39	5,400		6,901
Teva Pharmaceutical Finance LLC 5.55% 2/1/16	949		1,078
Watson Pharmaceuticals, Inc.:
5% 8/15/14	1,000		1,090
6.125% 8/15/19	1,000		1,138
Wyeth 5.5% 2/1/14	5,400		6,012
			85,892
TOTAL HEALTH CARE			133,599
INDUSTRIALS - 1.1%
Aerospace & Defense - 0.2%
Honeywell International, Inc.:
5.375% 3/1/41	1,400		1,474
5.4% 3/15/16	3,400		3,898
Raytheon Co.:
1.625% 10/15/15	1,000		977
3.125% 10/15/20	2,000		1,890
4.875% 10/15/40	1,000		943
The Boeing Co.:
5% 3/15/14	3,000		3,314
6% 3/15/19	1,000		1,179
6.875% 3/15/39	1,000		1,257
United Technologies Corp.:
4.5% 4/15/20	4,000		4,280
5.7% 4/15/40	2,000		2,222
6.125% 2/1/19	4,000		4,737
			26,171
Air Freight & Logistics - 0.1%
United Parcel Service, Inc.:
3.875% 4/1/14	3,900		4,217
6.2% 1/15/38	2,500		2,930
			7,147
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
INDUSTRIALS - continued
Airlines - 0.0%
Continental Airlines, Inc.:
6.648% 3/15/19	$ 2,580		$ 2,729
6.9% 7/2/19	759		806
			3,535
Commercial Services & Supplies - 0.1%
Republic Services, Inc. 5.5% 9/15/19	4,000		4,410
Industrial Conglomerates - 0.3%
Covidien International Finance SA:
5.45% 10/15/12	613		652
6% 10/15/17	2,902		3,413
6.55% 10/15/37	4,250		5,051
General Electric Co. 5.25% 12/6/17	18,540		20,847
			29,963
Machinery - 0.1%
Caterpillar, Inc.:
3.9% 5/27/21	3,000		3,007
5.3% 9/15/35	7,000		7,519
Deere & Co.:
4.375% 10/16/19	3,000		3,200
5.375% 10/16/29	1,000		1,089
			14,815
Road & Rail - 0.3%
Burlington Northern Santa Fe Corp. 4.7% 10/1/19	5,000		5,344
CSX Corp. 7.375% 2/1/19	10,000		12,313
Norfolk Southern Corp. 5.75% 1/15/16	10,000		11,412
Union Pacific Corp.:
5.78% 7/15/40	1,800		1,930
6.125% 1/15/12	2,900		2,996
			33,995
TOTAL INDUSTRIALS			120,036
INFORMATION TECHNOLOGY - 1.0%
Communications Equipment - 0.2%
Cisco Systems, Inc.:
2.9% 11/17/14	3,000		3,158
4.45% 1/15/20	2,000		2,095
4.95% 2/15/19	3,479		3,806
5.9% 2/15/39	12,416		13,414
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
INFORMATION TECHNOLOGY - continued
Communications Equipment - continued
Nokia Corp.:
5.375% 5/15/19	$ 1,000		$ 1,050
6.625% 5/15/39	1,000		1,048
			24,571
Computers & Peripherals - 0.1%
Dell, Inc. 5.625% 4/15/14	2,000		2,236
Hewlett-Packard Co.:
4.3% 6/1/21	2,780		2,802
4.75% 6/2/14	8,300		9,107
			14,145
Electronic Equipment & Components - 0.1%
Tyco Electronics Group SA:
5.95% 1/15/14	2,922		3,233
6% 10/1/12	3,840		4,089
6.55% 10/1/17	2,338		2,773
7.125% 10/1/37	2,475		3,089
			13,184
Internet Software & Services - 0.1%
Google, Inc.:
1.25% 5/19/14	4,720		4,742
3.625% 5/19/21	3,780		3,750
			8,492
IT Services - 0.2%
International Business Machines Corp. 7.625% 10/15/18	13,000		16,637
Office Electronics - 0.1%
Xerox Corp.:
4.25% 2/15/15	1,000		1,070
4.5% 5/15/21	4,000		3,996
5.5% 5/15/12	1,586		1,655
5.625% 12/15/19	1,000		1,104
8.25% 5/15/14	3,902		4,602
			12,427
Software - 0.2%
Microsoft Corp.:
2.5% 2/8/16	2,000		2,052
2.95% 6/1/14	2,000		2,106
4.2% 6/1/19	2,000		2,123
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
INFORMATION TECHNOLOGY - continued
Software - continued
Microsoft Corp.: - continued
5.3% 2/8/41	$ 1,500		$ 1,567
Oracle Corp.:
5.375% 7/15/40 (a)	4,000		4,116
5.75% 4/15/18	7,400		8,519
			20,483
TOTAL INFORMATION TECHNOLOGY			109,939
MATERIALS - 1.0%
Chemicals - 0.4%
Air Products & Chemicals, Inc. 4.375% 8/21/19	1,000		1,053
Dow Chemical Co.:
4.85% 8/15/12	10,000		10,456
5.9% 2/15/15	2,500		2,839
7.6% 5/15/14	3,000		3,498
8.55% 5/15/19	2,358		3,071
9.4% 5/15/39	3,000		4,636
E.I. du Pont de Nemours & Co.:
3.25% 1/15/15	4,000		4,232
4.625% 1/15/20	3,000		3,196
Lubrizol Corp. 8.875% 2/1/19	919		1,213
Potash Corp. of Saskatchewan, Inc.:
3.75% 9/30/15	2,000		2,124
4.875% 3/30/20	1,500		1,613
Praxair, Inc. 3.25% 9/15/15	3,200		3,381
			41,312
Construction Materials - 0.0%
CRH America, Inc. 6% 9/30/16	1,816		2,017
Containers & Packaging - 0.1%
Bemis Co., Inc.:
5.65% 8/1/14	3,000		3,309
6.8% 8/1/19	3,000		3,500
			6,809
Metals & Mining - 0.5%
Alcoa, Inc. 5.4% 4/15/21	10,000		10,245
ArcelorMittal SA:
3.75% 8/5/15	7,800		8,016
7% 10/15/39	2,100		2,189
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
MATERIALS - continued
Metals & Mining - continued
ArcelorMittal SA: - continued
9.85% 6/1/19	$ 2,000		$ 2,576
BHP Billiton Financial (USA) Ltd.:
5.125% 3/29/12	1,957		2,034
5.5% 4/1/14	2,500		2,792
6.5% 4/1/19	2,500		3,028
Newmont Mining Corp.:
5.125% 10/1/19	1,000		1,095
6.25% 10/1/39	1,600		1,744
Rio Tinto Finance (USA) Ltd.:
5.2% 11/2/40	1,000		981
6.5% 7/15/18	1,398		1,646
7.125% 7/15/28	2,000		2,478
8.95% 5/1/14	4,000		4,838
Vale Overseas Ltd.:
5.625% 9/15/19	6,210		6,660
6.25% 1/23/17	9,395		10,743
			61,065
TOTAL MATERIALS			111,203
TELECOMMUNICATION SERVICES - 1.6%
Diversified Telecommunication Services - 1.1%
AT&T Broadband Corp. 8.375% 3/15/13	2,560		2,880
AT&T, Inc.:
5.8% 2/15/19	4,000		4,543
6.3% 1/15/38	838		896
6.7% 11/15/13	1,162		1,308
BellSouth Capital Funding Corp. 7.875% 2/15/30	2,477		3,110
British Telecommunications PLC 9.875% 12/15/30	4,515		6,442
CenturyLink, Inc.:
6.15% 9/15/19	5,000		5,298
7.6% 9/15/39	2,500		2,557
Deutsche Telekom International Financial BV:
5.25% 7/22/13	2,425		2,631
5.875% 8/20/13	10,000		10,980
6.75% 8/20/18	3,595		4,313
France Telecom SA:
2.125% 9/16/15	1,000		1,001
5.375% 7/8/19	4,000		4,512
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
TELECOMMUNICATION SERVICES - continued
Diversified Telecommunication Services - continued
SBC Communications, Inc.:
5.1% 9/15/14	$ 2,149		$ 2,378
5.875% 2/1/12	2,707		2,802
5.875% 8/15/12	968		1,028
6.15% 9/15/34	5,270		5,549
6.45% 6/15/34	11,795		12,786
Telecom Italia Capital SA:
4.95% 9/30/14	3,178		3,365
5.25% 10/1/15	4,571		4,845
6.999% 6/4/18	1,776		1,989
7.175% 6/18/19	6,000		6,812
Telefonica Emisiones SAU:
3.992% 2/16/16	3,850		3,942
4.949% 1/15/15	3,000		3,227
5.462% 2/16/21	2,700		2,805
5.877% 7/15/19	2,000		2,157
6.421% 6/20/16	1,151		1,303
7.045% 6/20/36	2,600		2,897
Verizon Communications, Inc.:
6.25% 4/1/37	3,121		3,380
6.35% 4/1/19	6,000		7,026
6.9% 4/15/38	6,025		7,045
Verizon Global Funding Corp. 5.85% 9/15/35	3,190		3,345
Verizon New York, Inc. 6.875% 4/1/12	2,628		2,761
			131,913
Wireless Telecommunication Services - 0.5%
America Movil SAB de CV 6.125% 11/15/37	8,365		8,937
AT&T Wireless Services, Inc. 8.125% 5/1/12	10,000		10,672
DIRECTV Holdings LLC/DIRECTV Financing, Inc.:
3.5% 3/1/16	4,400		4,536
4.75% 10/1/14	4,500		4,931
5.875% 10/1/19	2,905		3,248
6.35% 3/15/40	1,000		1,074
6.375% 3/1/41	2,100		2,247
Verizon Wireless Capital LLC:
5.55% 2/1/14	2,352		2,598
8.5% 11/15/18	3,486		4,566
Vodafone Group PLC:
2.875% 3/16/16	440		448
3.375% 11/24/15	1,000		1,042
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
TELECOMMUNICATION SERVICES - continued
Wireless Telecommunication Services - continued
Vodafone Group PLC: - continued
5% 12/16/13	$ 2,275		$ 2,482
5.45% 6/10/19	6,000		6,726
5.5% 6/15/11	2,735		2,740
			56,247
TOTAL TELECOMMUNICATION SERVICES			188,160
UTILITIES - 1.7%
Electric Utilities - 1.2%
Alabama Power Co. 5.2% 6/1/41	3,850		3,888
Ameren Illinois Co. 6.125% 11/15/17	3,364		3,872
AmerenUE 6.4% 6/15/17	2,959		3,450
Cleveland Electric Illuminating Co.:
5.65% 12/15/13	4,074		4,438
8.875% 11/15/18	2,000		2,600
Commonwealth Edison Co.:
1.625% 1/15/14	6,418		6,468
5.8% 3/15/18	9,945		11,282
Duke Energy Carolinas LLC:
5.25% 1/15/18	4,355		4,883
6% 1/15/38	3,450		3,897
Duke Energy Corp. 3.95% 9/15/14	4,500		4,796
Edison International 3.75% 9/15/17	3,000		3,027
FirstEnergy Solutions Corp. 6.8% 8/15/39	3,500		3,751
FPL Group Capital, Inc. 7.875% 12/15/15	1,532		1,847
Nevada Power Co. 6.5% 8/1/18	1,555		1,825
Northern States Power Co. 5.25% 3/1/18	10,500		11,795
Pacific Gas & Electric Co. 5.4% 1/15/40	4,000		4,014
PacifiCorp 6% 1/15/39	6,193		6,979
Pennsylvania Electric Co. 6.05% 9/1/17	757		847
Potomac Electric Power Co. 6.5% 11/15/37	3,806		4,572
Progress Energy, Inc.:
4.875% 12/1/19	1,700		1,825
6% 12/1/39	3,200		3,485
Public Service Electric & Gas Co. 2.7% 5/1/15	2,000		2,046
Sierra Pacific Power Co. 5.45% 9/1/13	1,545		1,682
Southern California Edison Co. 4.5% 9/1/40	7,190		6,604
Tampa Electric Co.:
6.15% 5/15/37	6,260		7,097
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
UTILITIES - continued
Electric Utilities - continued
Tampa Electric Co.: - continued
6.55% 5/15/36	$ 5,500		$ 6,527
Virginia Electric & Power Co.:
5% 6/30/19	5,000		5,468
6% 5/15/37	2,000		2,240
Wisconsin Electric Power Co. 6.25% 12/1/15	2,983		3,506
Wisconsin Power & Light Co. 5% 7/15/19	1,000		1,101
			129,812
Gas Utilities - 0.0%
Southern Natural Gas Co. 5.9% 4/1/17 (a)	438		502
Independent Power Producers & Energy Traders - 0.1%
Duke Capital LLC 5.668% 8/15/14	2,036		2,267
Exelon Generation Co. LLC 5.35% 1/15/14	1,513		1,645
PPL Energy Supply LLC 6.5% 5/1/18	6,485		7,391
			11,303
Multi-Utilities - 0.4%
CenterPoint Energy, Inc. 5.95% 2/1/17	1,181		1,314
Consolidated Edison Co. of New York, Inc.:
4.45% 6/15/20	2,000		2,114
5.5% 12/1/39	2,500		2,651
Dominion Resources, Inc.:
2.25% 9/1/15	1,000		998
6.3% 9/30/66 (f)	1,000		990
7.5% 6/30/66 (f)	1,000		1,060
DTE Energy Co. 7.05% 6/1/11	974		974
MidAmerican Energy Holdings, Co.:
5.75% 4/1/18	3,750		4,258
5.875% 10/1/12	2,893		3,080
6.5% 9/15/37	7,605		8,789
National Grid PLC 6.3% 8/1/16	1,463		1,689
NiSource Finance Corp.:
5.25% 9/15/17	835		913
5.4% 7/15/14	1,334		1,472
5.45% 9/15/20	5,111		5,475
6.25% 12/15/40	2,453		2,609
6.4% 3/15/18	1,532		1,758
San Diego Gas & Electric Co. 4.5% 8/15/40	1,000		927
Sempra Energy:
6% 10/15/39	1,000		1,078
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
UTILITIES - continued
Multi-Utilities - continued
Sempra Energy: - continued
6.5% 6/1/16	$ 3,000		$ 3,501
Wisconsin Energy Corp. 6.25% 5/15/67 (f)	4,228		4,281
			49,931
TOTAL UTILITIES			191,548
TOTAL NONCONVERTIBLE BONDS (Cost $2,059,806)		2,267,247
U.S. Government and Government Agency Obligations - 40.5%
U.S. Government Agency Obligations - 7.3%
Fannie Mae:
0.375% 12/28/12	80,420		80,451
0.5% 10/30/12	23,650		23,699
1% 4/4/12	41,600		41,862
1.25% 8/20/13	9,624		9,755
1.75% 2/22/13	22,745		23,244
2% 1/9/12	3,050		3,083
2.5% 5/15/14	18,484		19,298
2.75% 3/13/14	63,630		66,934
3.625% 2/12/13	55,295		58,218
5% 2/16/12	13,565		14,018
Federal Farm Credit Bank 3% 9/22/14	50,000		53,143
Federal Home Loan Bank:
1.625% 11/21/12	78,670		80,123
1.875% 6/21/13	38,900		39,975
5% 11/17/17	33,300		38,426
Freddie Mac:
0.625% 12/28/12	18,110		18,176
0.75% 3/28/13	31,355		31,519
1.125% 7/27/12	28,500		28,757
1.375% 2/25/14	8,804		8,925
1.75% 9/10/15	20,385		20,570
2.125% 3/23/12	17,776		18,043
3.75% 3/27/19	2,300		2,451
4.875% 6/13/18	66,960		76,610
6.25% 7/15/32	7,700		9,669
6.75% 3/15/31	26,000		34,176
U.S. Government and Government Agency Obligations - continued
	Principal Amount (000s)		Value (000s)
U.S. Government Agency Obligations - continued
Tennessee Valley Authority:
5.25% 9/15/39	$ 20,000		$ 21,849
5.375% 4/1/56	5,395		5,998
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS			828,972
U.S. Treasury Obligations - 31.7%
U.S. Treasury Bonds:
3.5% 2/15/39	12,115		10,705
3.875% 8/15/40	30,080		28,313
4.25% 5/15/39	26,000		26,207
4.25% 11/15/40	811		815
4.375% 2/15/38	11,000		11,371
4.375% 11/15/39	100		103
4.375% 5/15/40	8,000		8,216
4.5% 2/15/36	18,000		19,063
4.5% 5/15/38	15,000		15,809
4.5% 8/15/39	39,000		40,956
4.625% 2/15/40	21,500		23,025
4.75% 2/15/37	11,000		12,076
4.75% 2/15/41	41,980		45,837
5% 5/15/37	11,000		12,533
5.375% 2/15/31	39,910		47,836
6.25% 5/15/30	86,360		113,887
8% 11/15/21	75,392		108,623
8.75% 5/15/17	8,000		11,054
8.875% 8/15/17	5,000		6,996
8.875% 2/15/19	7,000		10,168
9% 11/15/18	4,000		5,816
9.125% 5/15/18	3,000		4,334
U.S. Treasury Notes:
0.375% 9/30/12	37,000		37,048
0.375% 10/31/12	33,000		33,037
0.5% 11/30/12	144,000		144,411
0.5% 5/31/13	195,390		195,527
0.625% 12/31/12	57,000		57,256
0.625% 1/31/13	199,000		199,863
0.625% 2/28/13	133,000		133,546
0.75% 3/31/13	49,100		49,403
0.75% 12/15/13	980		983
1% 7/15/13	19,000		19,200
1.25% 3/15/14	330		335
U.S. Government and Government Agency Obligations - continued
	Principal Amount (000s)		Value (000s)
U.S. Treasury Obligations - continued
U.S. Treasury Notes: - continued
1.25% 4/15/14	$ 653		$ 662
1.25% 8/31/15	92,000		91,641
1.25% 9/30/15	6,000		5,966
1.25% 10/31/15	39,660		39,359
1.375% 10/15/12	9,100		9,235
1.5% 12/31/13	1,300		1,329
1.75% 1/31/14	13,759		14,153
1.75% 3/31/14	950		977
1.75% 7/31/15	53,000		53,961
1.75% 5/31/16	20,650		20,711
1.875% 2/28/14	1,660		1,713
1.875% 4/30/14	23,821		24,588
1.875% 6/30/15	79,000		80,919
1.875% 8/31/17	25,000		24,602
1.875% 10/31/17	13,000		12,741
2% 4/30/16	49,100		49,909
2.125% 5/31/15	98,000		101,430
2.125% 12/31/15	18,710		19,233
2.125% 2/29/16	145,700		149,411
2.25% 5/31/14	20,570		21,462
2.25% 3/31/16	54,000		55,620
2.25% 11/30/17	11,000		11,019
2.375% 2/28/15	32,434		33,934
2.375% 7/31/17	25,000		25,391
2.375% 5/31/18	16,260		16,257
2.5% 3/31/13	18,030		18,726
2.5% 3/31/15	53,600		56,330
2.5% 4/30/15	105,000		110,283
2.5% 6/30/17	2,000		2,049
2.625% 6/30/14	31,801		33,548
2.625% 7/31/14	11,830		12,484
2.625% 12/31/14	145,900		154,061
2.625% 2/29/16	13,600		14,260
2.625% 4/30/18	10,200		10,379
2.625% 8/15/20	141,000		137,431
2.625% 11/15/20	94,180		91,318
2.75% 11/30/16	25,000		26,160
2.75% 12/31/17	3,000		3,094
3% 8/31/16	12,402		13,173
3% 9/30/16	22,000		23,353
U.S. Government and Government Agency Obligations - continued
	Principal Amount (000s)		Value (000s)
U.S. Treasury Obligations - continued
U.S. Treasury Notes: - continued
3.125% 10/31/16	$ 23,900		$ 25,502
3.125% 5/15/19	14,260		14,796
3.125% 5/15/21	49,970		50,282
3.25% 5/31/16	14,200		15,283
3.25% 12/31/16	25,000		26,795
3.375% 11/15/19	27,740		29,097
3.5% 2/15/18	4,000		4,313
3.5% 5/15/20	81,800		85,979
3.625% 8/15/19	20,000		21,439
3.625% 2/15/20	59,600		63,460
3.625% 2/15/21	39,800		41,852
3.75% 11/15/18	6,000		6,531
3.875% 2/15/13	3,150		3,338
3.875% 5/15/18	8,000		8,808
4% 2/15/14	11,600		12,636
4% 2/15/15	9,600		10,621
4% 8/15/18	22,000		24,367
4.125% 5/15/15	19,300		21,483
4.25% 8/15/13	5,600		6,060
4.25% 11/15/13	12,007		13,080
4.25% 11/15/14	6,580		7,314
4.25% 11/15/17	16,000		18,019
4.5% 5/15/17	13,000		14,823
4.625% 11/15/16	15,000		17,195
4.625% 2/15/17	14,000		16,051
4.75% 8/15/17	14,000		16,179
5.125% 5/15/16	13,100		15,290
TOTAL U.S. TREASURY OBLIGATIONS			3,597,817
Other Government Related - 1.5%
Citibank NA 1.875% 6/4/12 (FDIC Guaranteed) (c)	30,000		30,455
Citigroup Funding, Inc.:
2% 3/30/12 (FDIC Guaranteed) (c)	50,000		50,771
2.125% 7/12/12 (FDIC Guaranteed) (c)	52,060		53,124
U.S. Government and Government Agency Obligations - continued
	Principal Amount (000s)		Value (000s)
Other Government Related - continued
General Electric Capital Corp. 2.125% 12/21/12 (FDIC Guaranteed) (c)	$ 25,000		$ 25,677
Goldman Sachs Group, Inc. 3.25% 6/15/12 (FDIC Guaranteed) (c)	9,504		9,791
TOTAL OTHER GOVERNMENT RELATED			169,818
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $4,462,829)		4,596,607
U.S. Government Agency - Mortgage Securities - 32.8%
Fannie Mae - 23.3%
3.12% 4/1/41 (f)	24,106		25,024
4% 4/1/24 to 2/1/41	472,886		485,308
4% 6/1/26 (d)	14,000		14,589
4% 6/1/26 (d)	11,000		11,463
4% 6/1/41 (d)	13,000		13,090
4% 6/1/41 (d)	4,000		4,028
4.5% 5/1/18 to 5/1/41 (d)	595,843		621,965
4.5% 6/1/26 (d)	26,000		27,565
4.5% 6/1/26 (d)	2,000		2,120
4.5% 6/1/26 (d)	2,000		2,120
4.5% 6/1/40	519		540
4.5% 6/1/41 (d)	21,000		21,814
4.5% 6/1/41 (d)	14,000		14,542
4.533% 11/1/34 (f)	6,021		6,439
5% 12/1/17 to 8/1/40 (e)	371,348		397,704
5% 6/1/26 (d)	1,000		1,072
5% 6/1/41 (d)	34,000		36,192
5% 6/1/41 (d)	7,000		7,451
5% 6/1/41 (d)	9,000		9,580
5.064% 11/1/34 (f)	31,494		32,844
5.5% 5/1/21 to 6/1/40	340,633		370,523
5.5% 6/1/26 (d)	1,000		1,085
5.5% 6/1/41 (d)	62,000		67,215
5.5% 6/1/41 (d)	4,800		5,204
5.5% 6/1/41 (d)	31,800		34,475
5.5% 6/1/41 (d)	3,000		3,252
6% 8/1/22 to 9/1/39	265,110		292,687
6% 6/1/41 (d)	6,000		6,601
U.S. Government Agency - Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Fannie Mae - continued
6% 6/1/41 (d)(e)	$ 4,000		$ 4,401
6% 6/1/41 (d)(e)	3,000		3,301
6% 6/1/41 (d)	2,000		2,200
6.5% 5/1/31 to 9/1/38	103,771		117,285
6.5% 6/1/41 (d)	1,000		1,130
6.5% 6/1/41 (d)	2,000		2,259
TOTAL FANNIE MAE			2,647,068
Freddie Mac - 2.8%
1.979% 3/1/36 (f)	11,058		11,439
2.504% 12/1/35 (f)	10,352		10,849
4% 10/1/40 to 4/1/41	91,850		92,515
4.5% 6/1/25 to 10/1/40	19,061		20,099
4.5% 6/1/41 (d)	12,000		12,451
4.841% 3/1/35 (f)	14,153		15,177
5% 4/1/23 to 9/1/40	102,898		109,749
5% 6/1/41 (d)	10,000		10,634
5% 6/1/41 (d)	10,000		10,634
5.5% 1/1/36	8,434		9,167
5.787% 9/1/37 (f)	5,371		5,725
6% 4/1/32 to 8/1/37	7,219		8,005
11.75% 9/1/13	3		3
TOTAL FREDDIE MAC			316,447
Ginnie Mae - 6.7%
4% 1/15/25 to 8/15/39	9,233		9,740
4% 6/1/41 (d)	88,200		90,399
4% 6/1/41 (d)	4,000		4,100
4% 6/1/41 (d)	2,000		2,050
4.5% 3/15/39 to 3/15/41	221,155		234,178
4.5% 6/1/41 (d)	8,000		8,459
4.5% 6/1/41 (d)	10,000		10,573
4.5% 6/1/41 (d)(e)	11,000		11,631
5% 6/15/38 to 9/15/40	187,818		204,313
5% 6/1/41 (d)	1,000		1,083
5% 6/1/41 (d)	3,000		3,249
5.5% 10/15/35 to 9/15/39	85,600		94,640
5.5% 6/1/41 (d)	1,000		1,101
6% 5/20/34 to 11/15/39	45,174		50,162
6% 6/1/41 (d)	11,500		12,832
U.S. Government Agency - Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Ginnie Mae - continued
6% 6/1/41 (d)(e)	$ 1,000		$ 1,116
6.5% 3/20/38 to 2/15/39	20,629		23,324
TOTAL GINNIE MAE			762,950
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $3,611,035)		3,726,465
Asset-Backed Securities - 0.3%
AmeriCredit Prime Automobile Receivables Trust Series 2007-1 Class D, 5.62% 9/8/14	750		765
C-BASS Trust Series 2006-CB7 Class A2, 0.254% 10/25/36 (f)	25		25
Capital Auto Receivables Trust Series 2007-2 Class A4A, 5.39% 2/18/14	1,569		1,587
Capital One Multi-Asset Execution Trust:
Series 2008-A3 Class A3, 5.05% 2/15/16	5,000		5,393
Series 2009-A2 Class A2, 3.2% 4/15/14	1,000		1,001
CarMax Auto Owner Trust Series 2007-2 Class C, 5.61% 11/15/13	619		623
Chase Issuance Trust Series 2008-A4 Class A4, 4.65% 3/15/15	5,000		5,347
Citibank Credit Card Issuance Trust:
Series 2009-A3 Class A3, 2.7% 6/24/13	1,000		1,001
Series 2009-A4 Class A4, 4.9% 6/23/16	1,000		1,106
Series 2009-A5 Class A5, 2.25% 12/23/14	6,000		6,147
CPS Auto Receivables Trust Series 2006-D Class A4, 5.115% 8/15/13 (FSA Insured) (a)	221		222
Detroit Edison Securitization Funding LLC Series 2001-1 Class A6, 6.62% 3/1/16	6,000		6,938
Ford Credit Auto Owner Trust Series 2006-C Class B, 5.3% 6/15/12	166		167
GCO Slims Trust Series 2006-1A, 5.72% 3/1/22 (a)	1,185		943
Option One Mortgage Loan Trust:
Series 2007-5 Class 2A1, 0.284% 5/25/37 (f)	54		53
Series 2007-6 Class 2A1, 0.254% 7/25/37 (f)	122		120
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
Residential Asset Mortgage Products, Inc. Series 2006-EFC2 Class M1, 0.424% 12/25/36 (f)	$ 377		$ 12
Residential Asset Securities Corp. Series 2007-KS2 Class AI1, 0.264% 2/25/37 (f)	41		41
TOTAL ASSET-BACKED SECURITIES (Cost $30,247)		31,491
Collateralized Mortgage Obligations - 0.1%
Private Sponsor - 0.1%
Citigroup Commercial Mortgage Trust Series 2008-C7 Class A2B, 6.2942% 12/10/49 (f)	1,268		1,332
Cobalt CMBS Commercial Mortgage Trust Series 2007-C2 Class B, 5.617% 4/15/47 (f)	1,416		552
COMM pass-thru certificates floater Series 2001-J2A Class A2F, 0.698% 7/16/34 (a)(f)	173		173
JPMorgan Chase Commercial Mortgage Securities Trust Series 2007-CB18:
Class A1, 5.32% 6/12/47 (f)	30		30
Class A3, 5.447% 6/12/47 (f)	2,405		2,516
LB-UBS Commercial Mortgage Trust sequential payer Series 2006-C6 Class A4, 5.372% 9/15/39	571		626
Merrill Lynch-CFC Commercial Mortgage Trust Series 2006-3 Class ASB, 5.382% 7/12/46 (f)	5,429		5,706
Salomon Brothers Mortgage Securities VII, Inc. Series 2006-C2 Class H, 6.308% 7/18/33 (a)	179		63
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $8,308)		10,998
Commercial Mortgage Securities - 2.9%
Banc of America Commercial Mortgage Trust:
sequential payer:
Series 2006-2 Class AAB, 5.9114% 5/10/45 (f)	1,480		1,579
Series 2006-5:
Class A2, 5.317% 9/10/47	4,560		4,653
Class A3, 5.39% 9/10/47	1,768		1,839
Series 2006-6 Class A3, 5.369% 10/10/45	2,536		2,680
Series 2007-4 Class A3, 5.9998% 2/10/51 (f)	1,265		1,353
Series 2006-6 Class E, 5.619% 10/10/45 (a)	733		147
Series 2007-3:
Class A3, 5.8018% 6/10/49 (f)	2,118		2,239
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Banc of America Commercial Mortgage Trust: - continued
Series 2007-3:
Class A4, 5.8018% 6/10/49 (f)	$ 2,643		$ 2,875
Banc of America Commercial Mortgage, Inc.:
sequential payer:
Series 2001-1 Class A4, 5.451% 1/15/49	2,777		3,004
Series 2004-2:
Class A3, 4.05% 11/10/38	232		235
Class A4, 4.153% 11/10/38	1,608		1,677
Series 2005-1 Class A3, 4.877% 11/10/42	1,105		1,105
Series 2001-3 Class H, 6.562% 4/11/37 (a)	709		713
Series 2001-PB1:
Class J, 7.166% 5/11/35 (a)	317		315
Class K, 6.15% 5/11/35 (a)	590		576
Series 2005-3 Series A3B, 5.09% 7/10/43 (f)	3,939		4,139
Bayview Commercial Asset Trust:
Series 2004-1 Class IO, 1.25% 4/25/34 (a)(g)	2,690		108
Series 2007-5A Class IO, 3.047% 10/25/37 (a)(f)(g)	6,532		705
Bear Stearns Commercial Mortgage Securities Trust:
sequential payer:
Series 2003-PWR2 Class A3, 4.834% 5/11/39	283		286
Series 2007-PW16 Class A4, 5.9055% 6/11/40 (f)	16,612		18,438
Series 2007-PW17 Class A1, 5.282% 6/11/50	241		246
Series 2007-T26 Class A1, 5.145% 1/12/45	191		194
Series 2006-PW13 Class A3, 5.518% 9/11/41	4,475		4,666
Series 2006-T22 Class A4, 5.7046% 4/12/38 (f)	159		177
Series 2007-PW16:
Class B, 5.716% 6/11/40 (a)(f)	203		130
Class C, 5.716% 6/11/40 (a)(f)	169		91
Class D, 5.716% 6/11/40 (a)(f)	169		85
Series 2007-T28 Class A1, 5.422% 9/11/42	110		111
CDC Commercial Mortgage Trust Series 2002-FX1 Class G, 6.625% 5/15/35 (a)	1,490		1,591
Citigroup Commercial Mortgage Trust:
floater Series 2006-FL2 Class F, 0.5071% 8/15/21 (a)(f)	453		450
sequential payer Series 2006-C5 Class A4, 5.431% 10/15/49	9,390		10,277
Series 2006-C5 Class AMP2, 5.5005% 10/15/49 (a)	1,908		1,774
Series 2007-C6:
Class A1, 5.622% 12/10/49 (f)	976		974
Class A4, 5.8862% 12/10/49 (f)	9,950		11,037
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Citigroup/Deutsche Bank Commercial Mortgage Trust:
sequential payer Series 2007-CD4 Class A4, 5.322% 12/11/49	$ 2,212		$ 2,362
Series 2007-CD4:
Class A3, 5.293% 12/11/49	1,234		1,280
Class C, 5.476% 12/11/49	2,387		835
Cobalt CMBS Commercial Mortgage Trust:
sequential payer Series 2007-C3 Class A3, 6.0102% 5/15/46 (f)	1,268		1,359
Series 2006-C1 Class B, 5.359% 8/15/48	3,804		1,826
COMM pass-thru certificates sequential payer:
Series 2005-C6 Class A2, 4.999% 6/10/44 (f)	13		13
Series 2006-C8 Class A3, 5.31% 12/10/46	3,613		3,766
Series 2007-C9 Class A4, 6.0084% 12/10/49 (f)	2,805		3,128
Credit Suisse Commercial Mortgage Trust:
sequential payer:
Series 2006-C4 Class A3, 5.467% 9/15/39	6,558		7,110
Series 2007-C2 Class A3, 5.542% 1/15/49 (f)	2,536		2,703
Series 2007-C3 Class A4, 5.9052% 6/15/39 (f)	10,213		11,097
Series 2006-C4 Class AAB, 5.439% 9/15/39	7,217		7,508
Series 2007-C5 Class A4, 5.695% 9/15/40 (f)	1,148		1,234
Credit Suisse First Boston Mortgage Capital Certificates floater Series 2007-TF2A Class B, 0.548% 4/15/22 (a)(f)	4,524		3,619
Credit Suisse First Boston Mortgage Securities Corp.:
sequential payer Series 2004-C1:
Class A3, 4.321% 1/15/37	173		175
Class A4, 4.75% 1/15/37	590		624
Series 2006-C1 Class A3, 5.711% 2/15/39 (f)	6,695		7,072
Credit Suisse Mortgage Capital Certificates:
floater Series 2007-TFL1 Class B, 0.348% 2/15/22 (a)(f)	480		437
Series 2007-C1 Class B, 5.487% 2/15/40 (a)(f)	1,938		388
First Union National Bank-Bank of America Commercial Mortgage Trust Series 2001-C1:
Class D, 6.484% 3/15/33	434		435
Class G, 6.936% 3/15/33 (a)	834		828
GE Capital Commercial Mortgage Corp. sequential payer Series 2007-C1 Class A4, 5.543% 12/10/49	13,264		14,266
Greenwich Capital Commercial Funding Corp.:
floater Series 2006-FL4 Class B, 0.3995% 11/5/21 (a)(f)	477		440
sequential payer:
Series 2007-GG11 Class A2, 5.597% 12/10/49	2,536		2,647
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Greenwich Capital Commercial Funding Corp.: - continued
sequential payer:
Series 2007-GG9 Class A4, 5.444% 3/10/39	$ 3,687		$ 3,993
Series 2006-GG7:
Class A3, 5.881% 7/10/38 (f)	3,342		3,538
Class A4, 6.0778% 7/10/38 (f)	10,980		12,242
GS Mortgage Securities Corp. II sequential payer Series 2004-GG2 Class A4, 4.964% 8/10/38	393		396
GS Mortgage Securities Trust sequential payer Series 2007-GG10:
Class A2, 5.778% 8/10/45	583		597
Class A4, 6.0017% 8/10/45 (f)	603		649
JP Morgan Chase Commercial Mortgage Securities Trust:
sequential payer Series 2006-CB14 Class A3B, 5.6643% 12/12/44 (f)	3,771		3,933
Series 2005-CB13 Class E, 5.5268% 1/12/43 (a)(f)	642		67
JP Morgan Commercial Mortgage Finance Corp. Series 2000-C9 Class G, 6.25% 10/15/32 (a)	413		414
JPMorgan Chase Commercial Mortgage Securities Trust:
sequential payer:
Series 2006-LDP8 Class A4, 5.399% 5/15/45	808		882
Series 2006-LDP9:
Class A2, 5.134% 5/15/47 (f)	585		608
Class A3, 5.336% 5/15/47	529		570
Series 2007-CB19 Class A4, 5.9318% 2/12/49 (f)	17,057		18,793
Series 2007-LD11 Class A2, 5.9901% 6/15/49 (f)	3,560		3,666
Series 2007-LDPX Class A3, 5.42% 1/15/49	5,440		5,899
Series 2006-CB17 Class A3, 5.45% 12/12/43	361		371
Series 2007-CB19:
Class B, 5.9318% 2/12/49 (f)	108		80
Class C, 5.9318% 2/12/49 (f)	283		178
Class D, 5.9318% 2/12/49 (f)	298		150
Series 2007-LDP10 Class ES, 5.7307% 1/15/49 (a)(f)	656		138
LB Commercial Conduit Mortgage Trust:
sequential payer Series 2007-C3 Class A4, 6.1412% 7/15/44 (f)	3,327		3,690
Series 1998-C1 Class D, 6.98% 2/18/30	330		330
LB-UBS Commercial Mortgage Trust:
sequential payer:
Series 2006-C1 Class A2, 5.084% 2/15/31	310		310
Series 2006-C7:
Class A1, 5.279% 11/15/38	180		181
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
LB-UBS Commercial Mortgage Trust: - continued
sequential payer:
Series 2006-C7:
Class A3, 5.347% 11/15/38	$ 945		$ 1,030
Series 2007-C1:
Class A1, 5.391% 2/15/40 (f)	47		47
Class A3, 5.398% 2/15/40	5,000		5,176
Class A4, 5.424% 2/15/40	1,163		1,269
Series 2007-C2 Class A3, 5.43% 2/15/40	611		662
Series 2007-C6 Class A4, 5.858% 7/15/40 (f)	1,584		1,716
Series 2007-C7 Class A3, 5.866% 9/15/45	4,146		4,579
Lehman Brothers Floating Rate Commercial Mortgage Trust floater Series 2006-LLFA:
Class D, 0.428% 9/15/21 (a)(f)	406		369
Class E, 0.488% 9/15/21 (a)(f)	1,465		1,304
Merrill Lynch Mortgage Trust:
Series 2005-CKI1 Class A3, 5.3967% 11/12/37 (f)	994		1,014
Series 2005-LC1 Class F, 5.5633% 1/12/44 (a)(f)	1,103		587
Series 2006-C1 Class A2, 5.8093% 5/12/39 (f)	1,247		1,285
Series 2007-C1 Class A4, 6.02% 6/12/50 (f)	4,800		5,299
Series 2008-C1 Class A4, 5.69% 2/12/51	2,707		2,979
Merrill Lynch-CFC Commercial Mortgage Trust:
floater Series 2006-4 Class A2FL, 0.3465% 12/12/49 (f)	566		555
sequential payer:
Series 2006-1 CLass A3, 5.4822% 2/12/39 (f)	1,349		1,391
Series 2006-4 Class ASB, 5.133% 12/12/49 (f)	1,090		1,159
Series 2007-5:
Class A3, 5.364% 8/12/48	495		510
Class A4, 5.378% 8/12/48	51		54
Class B, 5.479% 8/12/48	3,804		1,761
Series 2007-6:
Class A1, 5.175% 3/12/51	29		29
Class A4, 5.485% 3/12/51 (f)	2,000		2,157
Series 2007-7 Class A4, 5.81% 6/12/50 (f)	4,438		4,807
Series 2007-8 Class A1, 4.622% 8/12/49	95		96
Series 2007-6 Class B, 5.635% 3/12/51 (f)	1,268		648
Series 2007-7 Class B, 5.9352% 6/12/50 (f)	110		31
Series 2007-8 Class A3, 6.1636% 8/12/49 (f)	1,094		1,206
Morgan Stanley Capital I Trust:
floater Series 2007-XLFA:
Class C, 0.358% 10/15/20 (a)(f)	728		678
Class MHRO, 0.888% 10/15/20 (a)(f)	171		147
Class MJPM, 1.198% 10/15/20 (a)(f)	8		7
Class NHRO, 1.088% 10/15/20 (a)(f)	263		216
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Morgan Stanley Capital I Trust: - continued
sequential payer:
Series 2005-IQ9 Class A3, 4.54% 7/15/56	$ 1,883		$ 1,928
Series 2007-HQ11:
Class A1, 5.246% 2/12/44	38		38
Class A31, 5.439% 2/12/44 (f)	642		667
Series 2007-IQ13:
Class A1, 5.05% 3/15/44	104		105
Class A4, 5.364% 3/15/44	5,000		5,349
Series 2006-IQ11:
Class A3, 5.8616% 10/15/42 (f)	1,710		1,781
Class A4, 5.8976% 10/15/42 (f)	380		422
Series 2006-T23 Class A3, 5.9755% 8/12/41 (f)	647		696
Series 2007-IQ14 Class A4, 5.692% 4/15/49 (f)	1,902		2,054
Structured Asset Securities Corp. Series 1997-LLI Class D, 7.15% 10/12/34	103		104
Wachovia Bank Commercial Mortgage Trust:
floater:
Series 2006-WL7A Class E, 0.4771% 9/15/21 (a)(f)	252		215
Series 2007-WHL8:
Class AP1, 0.898% 6/15/20 (a)(f)	17		13
Class AP2, 0.998% 6/15/20 (a)(f)	30		21
sequential payer:
Series 2003-C7 Class A1, 4.241% 10/15/35 (a)	1,417		1,424
Series 2003-C8 Class A3, 4.445% 11/15/35	5,522		5,585
Series 2006-C29 Class A3, 5.313% 11/15/48	3,368		3,625
Series 2007-C30:
Class A3, 5.246% 12/15/43	1,089		1,115
Class A4, 5.305% 12/15/43	373		385
Class A5, 5.342% 12/15/43	1,357		1,438
Series 2007-C31 Class A4, 5.509% 4/15/47	7,866		8,353
Series 2007-C32:
Class A2, 5.9267% 6/15/49 (f)	8,965		9,335
Class A3, 5.9317% 6/15/49 (f)	7,152		7,733
Series 2003-C6 Class G, 5.125% 8/15/35 (a)(f)	602		605
Series 2004-C15:
Class 180A, 5.5782% 10/15/41 (a)(f)	975		977
Class 180B, 5.5782% 10/15/41 (a)(f)	444		444
Series 2005-C19 Class B, 4.892% 5/15/44	1,268		1,198
Series 2005-C22:
Class B, 5.5358% 12/15/44 (f)	2,812		2,578
Class F, 5.5358% 12/15/44 (a)(f)	2,115		1,244
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Wachovia Bank Commercial Mortgage Trust: - continued
Series 2006-C23 Class A5, 5.416% 1/15/45 (f)	$ 7,395		$ 8,116
Series 2006-C25 Class AM, 5.9238% 5/15/43 (f)	664		702
Series 2007-C30 Class C, 5.483% 12/15/43 (f)	3,804		2,054
Series 2007-C31 Class C, 5.8836% 4/15/47 (f)	348		185
Wachovia Bank Commercial Mortgage Trust pass-thru certificates sequential payer Series 2007-C33 Class A5, 6.0966% 2/15/51 (f)	839		914
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $242,000)		331,467
Municipal Securities - 0.6%
American Muni. Pwr.-Ohio, Inc. Rev. (Combined Hydroelectric Proj.)Series 2010 B, 8.084% 2/15/50	9,720		12,392
California Gen. Oblig.:
5.25% 4/1/14	5,000		5,404
7.55% 4/1/39	15,000		17,675
Illinois Gen. Oblig.:
Series 2010, 4.421% 1/1/15	7,460		7,730
4.511% 3/1/15	1,590		1,656
4.961% 3/1/16	2,830		2,956
5.365% 3/1/17	1,875		1,969
5.665% 3/1/18	3,500		3,692
5.877% 3/1/19	3,500		3,675
New York City Muni. Wtr. Fin. Auth. Wtr. & Swr. Sys. Rev. Series 2010 DD, 5.952% 6/15/42	9,025		9,991
Univ. of California Revs. Series 2009 R, 5.77% 5/15/43	1,000		1,018
TOTAL MUNICIPAL SECURITIES (Cost $63,932)		68,158
Foreign Government and Government Agency Obligations - 1.2%
Bank of Nova Scotia:
2.05% 10/7/15	4,000		3,999
4.375% 1/13/21	1,000		1,029
Brazilian Federative Republic:
4.875% 1/22/21	4,045		4,247
5.625% 1/7/41	13,000		13,176
Canadian Government 2.375% 9/10/14	3,000		3,127
Chilean Republic 7.125% 1/11/12	3,016		3,131
Foreign Government and Government Agency Obligations - continued
	Principal Amount (000s)		Value (000s)
Italian Republic:
2.125% 10/5/12	$ 2,000		$ 2,029
3.125% 1/26/15	16,000		16,475
Ontario Province:
1.375% 1/27/14	2,000		2,024
2.3% 5/10/16	2,000		2,017
4% 10/7/19	15,000		15,691
4.1% 6/16/14	15,000		16,311
Province of British Columbia 2.1% 5/18/16	3,800		3,834
Quebec Province 3.5% 7/29/20	20,000		19,965
United Mexican States:
5.125% 1/15/20	23,500		25,263
6.05% 1/11/40	6,000		6,375
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $133,408)		138,693
Supranational Obligations - 1.3%
African Development Bank:
1.75% 10/1/12	1,000		1,016
euro 3% 5/27/14	5,000		5,281
Asian Development Bank 2.75% 5/21/14	30,000		31,443
Corporacion Andina de Fomento:
5.2% 5/21/13	240		256
6.875% 3/15/12	390		407
8.125% 6/4/19	2,000		2,437
European Bank for Reconstruction and Development 1.25% 6/10/11	1,500		1,500
European Investment Bank:
1.625% 3/15/13	3,000		3,059
1.75% 9/14/12	4,000		4,071
2.875% 1/15/15	5,000		5,270
3.125% 6/4/14	72,000		76,444
Inter-American Development Bank:
euro 1.75% 10/22/12	5,000		5,092
3.875% 9/17/19	5,000		5,361
International Bank for Reconstruction & Development 1.75% 7/15/13	4,000		4,103
TOTAL SUPRANATIONAL OBLIGATIONS (Cost $137,668)		145,740

Preferred Securities - 0.0%
	Principal Amount (000s)		Value (000s)
FINANCIALS - 0.0%
Diversified Financial Services - 0.0%
ING Groep NV 5.775% (b)(f)	$ 1,042		$ 998
MUFG Capital Finance 1 Ltd. 6.346% (b)(f)	1,725		1,800
			2,798
TOTAL PREFERRED SECURITIES (Cost $1,549)		2,798
Cash Equivalents - 5.3%
	Maturity Amount (000s)
Investments in repurchase agreements in a joint trading account at:
0.11%, dated 5/31/11 due 6/1/11 (Collateralized by U.S. Government Obligations) #	$ 5,515		5,515
0.14%, dated 5/31/11 due 6/1/11 (Collateralized by U.S. Government Obligations) #	596,366		596,364
TOTAL CASH EQUIVALENTS (Cost $601,879)		601,879
TOTAL INVESTMENT PORTFOLIO - 105.0% (Cost $11,352,661)			11,921,543
NET OTHER ASSETS (LIABILITIES) - (5.0)%			(564,684)
NET ASSETS - 100%		$ 11,356,859

Legend

(a) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $36,601,000 or 0.3% of net assets.

(b) Security is perpetual in nature with no stated maturity date.

(c) Under the Temporary Liquidity Guarantee Program, the Federal Deposit Insurance Corporation guarantees principal and interest in the event of payment default or bankruptcy until the earlier of maturity date of the debt or until June 30, 2012. At the end of the period these securities amounted to $169,818,000 or 1.5% of net assets.

(d) Security or a portion of the security purchased on a delayed delivery or when-issued basis.

(e) A portion of the security is subject to a forward commitment to sell.

(f) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.

(g) Security represents right to receive monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool held as of the end of the period.

# Additional information on each counterparty to the repurchase agreement is as follows:

Repurchase Agreement / Counterparty	Value (000s)
$5,515,000 due 6/01/11 at 0.11%
BNP Paribas Securities Corp.	$ 2,603
Barclays Capital, Inc.	1,962
Merrill Lynch, Pierce, Fenner & Smith, Inc.	950
	$ 5,515
$596,364,000 due 6/01/11 at 0.14%
Goldman, Sachs & Co.	$ 17,913
HSBC Securities (USA), Inc.	107,477
Merrill Lynch, Pierce, Fenner & Smith, Inc.	28,295
Mizuho Securities USA, Inc.	322,430
Societe Generale	34,052
Wells Fargo Securities LLC	86,197
	$ 596,364

Other Information

The following is a summary of the inputs used, as of May 31, 2011, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the tables below, please refer to the Investment Valuation section at the end of this listing.

Valuation Inputs at Reporting Date:
Description (Amounts in thousands)	Total	Level 1	Level 2	Level 3
Investments in Securities:
Corporate Bonds	$ 2,267,247	$ -	$ 2,267,247	$ -
U.S. Government and Government Agency Obligations	4,596,607	-	4,596,607	-
U.S. Government Agency - Mortgage Securities	3,726,465	-	3,726,465	-
Asset-Backed Securities	31,491	-	30,536	955
Collateralized Mortgage Obligations	10,998	-	10,446	552
Commercial Mortgage Securities	331,467	-	319,634	11,833
Municipal Securities	68,158	-	68,158	-
Foreign Government and Government Agency Obligations	138,693	-	138,693	-
Supranational Obligations	145,740	-	145,740	-
Preferred Securities	2,798	-	2,798	-
Cash Equivalents	601,879	-	601,879	-
Total Investments in Securities:	$ 11,921,543	$ -	$ 11,908,203	$ 13,340
Other Financial Instruments:
Forward Commitments	$ (41)	$ -	$ (41)	$ -

The following is a reconciliation of Investments in Securities for which Level 3 inputs were used in determining value:

(Amounts in thousands)
Investments in Securities:
Beginning Balance	$ 12,562
Total Realized Gain (Loss)	2,214
Total Unrealized Gain (Loss)	5,214
Cost of Purchases	-
Proceeds of Sales	(9,980)
Amortization/Accretion	962
Transfers in to Level 3	4,630
Transfers out of Level 3	(2,262)
Ending Balance	$ 13,340
The change in unrealized gain (loss) for the period attributable to Level 3 securities held at May 31, 2011	$ 5,236

The information used in the above reconciliation represents fiscal year to date activity for any Investments in Securities identified as using Level 3 inputs at either the beginning or the end of the current fiscal period. Transfers in or out of Level 3 represent the beginning value of any Security or Instrument where a change in the pricing level occurred from the beginning to the end of the period. The cost of purchases and the proceeds of sales may include securities received or delivered through corporate actions or exchanges.

Income Tax Information

At May 31, 2011, the cost of investment securities for income tax purposes was $11,440,147,000. Net unrealized appreciation aggregated $481,396,000, of which $498,356,000 related to appreciated investment securities and $16,960,000 related to depreciated investment securities.

Investment Valuation

Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Security transactions are accounted for as of trade date. The Fund uses independent pricing services approved by the Board of Trustees to value its investments. When current market prices or quotations are not readily available or reliable, valuations may be determined in good faith in accordance with procedures adopted by the Board of Trustees. Factors used in determining value may include market or security specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The value used for net asset value calculation under these procedures may differ from published prices for the same securities. The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels: Level 1 - quoted prices in active markets for identical investments. Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds etc.). Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available). Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. Valuation techniques used to value the Fund's investments by major category are as follows:

Debt securities, including restricted securities, are valued based on evaluated prices received from independent pricing services or from dealers who make markets in such securities. For corporate bonds, foreign government and government agency obligations, municipal securities, preferred securities, supranational obligations, and U.S. government and government agency obligations, pricing services utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices and are generally categorized as Level 2 in the hierarchy.

For asset backed securities, collateralized mortgage obligations, and commercial mortgage securities, pricing services utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices and, accordingly, such securities are generally categorized as Level 2 in the hierarchy. Dealers which make markets in asset backed securities, collateralized mortgage obligations and commercial mortgage securities may also consider such factors as the structure of the issue, cash flow assumptions, the value of underlying assets as well as any guarantees. Short-term securities with remaining maturities of sixty days or less may be valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing matrices which consider similar factors that would be used by independent pricing services. These are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

For additional information on the Fund's policy regarding valuation of investments and other significant accounting policies, please refer to the Fund's most recent semiannual or annual shareholder report.

Quarterly Report

The fund's schedule of investments as of the date on the cover of this report has not been audited. This report is provided for the general information of the fund's shareholders. For more information regarding the fund and its holdings, please

see the fund's most recent prospectus and annual report.

Third party trademarks and service marks are the property of their respective owners. All other trademarks and service marks are the property of FMR LLC

or an affiliate.

Quarterly Report

Quarterly Holdings Report

for

Fidelity ® Advisor Investment Grade Bond Fund
Class A
Class T
Class B
Class C
Institutional Class

May 31, 2011

Class A, Class T, Class B, Class C and
Institutional Class
are classes of Fidelity®
Investment Grade Bond Fund

1.804863.107

AIGB-QTLY-0711

Investments May 31, 2011 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 21.5%
	Principal Amount (000s)		Value (000s)
CONSUMER DISCRETIONARY - 1.7%
Household Durables - 0.3%
Fortune Brands, Inc.:
5.375% 1/15/16	$ 2,596		$ 2,820
5.875% 1/15/36	3,062		2,963
6.375% 6/15/14	7,614		8,492
			14,275
Media - 1.4%
Comcast Corp.:
5.7% 5/15/18	6,385		7,152
6.55% 7/1/39	4,789		5,294
Discovery Communications LLC:
3.7% 6/1/15	3,783		3,988
6.35% 6/1/40	3,458		3,729
Liberty Media Corp. 8.25% 2/1/30	2,435		2,371
NBC Universal, Inc.:
3.65% 4/30/15 (c)	4,134		4,347
5.15% 4/30/20 (c)	5,465		5,814
6.4% 4/30/40 (c)	5,000		5,433
News America Holdings, Inc. 7.75% 12/1/45	2,832		3,458
Time Warner Cable, Inc.:
5.85% 5/1/17	12,691		14,200
6.75% 7/1/18	5,587		6,495
Time Warner, Inc. 6.2% 3/15/40	5,000		5,210
			67,491
TOTAL CONSUMER DISCRETIONARY			81,766
CONSUMER STAPLES - 1.2%
Beverages - 0.1%
FBG Finance Ltd. 5.125% 6/15/15 (c)	5,189		5,669
Food & Staples Retailing - 0.1%
CVS Caremark Corp.:
4.125% 5/15/21	4,994		4,912
6.302% 6/1/37 (j)	1,442		1,428
			6,340
Food Products - 0.3%
Kraft Foods, Inc.:
6.5% 8/11/17	4,718		5,541
6.875% 2/1/38	5,289		6,192
			11,733
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
CONSUMER STAPLES - continued
Tobacco - 0.7%
Altria Group, Inc.:
9.25% 8/6/19	$ 5,257		$ 6,944
9.7% 11/10/18	5,570		7,439
Reynolds American, Inc.:
6.75% 6/15/17	7,156		8,370
7.25% 6/15/37	9,654		10,793
			33,546
TOTAL CONSUMER STAPLES			57,288
ENERGY - 1.8%
Energy Equipment & Services - 0.2%
DCP Midstream LLC 5.35% 3/15/20 (c)	4,973		5,313
El Paso Pipeline Partners Operating Co. LLC 4.1% 11/15/15	6,122		6,417
Weatherford International Ltd. 5.15% 3/15/13	976		1,037
			12,767
Oil, Gas & Consumable Fuels - 1.6%
Anadarko Petroleum Corp. 6.375% 9/15/17	9,817		11,287
Kaneb Pipe Line Operations Participation LP 7.75% 2/15/12	6,497		6,754
Marathon Petroleum Corp. 5.125% 3/1/21 (c)	3,437		3,585
Nakilat, Inc. 6.067% 12/31/33 (c)	2,634		2,674
Nexen, Inc. 6.4% 5/15/37	8,585		8,878
Petro-Canada 6.05% 5/15/18	1,963		2,253
Petrobras International Finance Co. Ltd.:
3.875% 1/27/16	5,695		5,828
5.75% 1/20/20	16,071		17,045
6.875% 1/20/40	3,862		4,190
Ras Laffan Liquefied Natural Gas Co. Ltd. III:
4.5% 9/30/12 (c)	2,794		2,899
5.5% 9/30/14 (c)	3,906		4,258
6.75% 9/30/19 (c)	2,556		2,933
Western Gas Partners LP 5.375% 6/1/21	4,907		5,074
			77,658
TOTAL ENERGY			90,425
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - 12.4%
Capital Markets - 1.8%
Goldman Sachs Group, Inc.:
5.95% 1/18/18	$ 4,817		$ 5,218
6% 6/15/20	2,500		2,687
6.15% 4/1/18	4,469		4,900
6.25% 2/1/41	4,212		4,257
6.75% 10/1/37	4,560		4,582
Janus Capital Group, Inc. 5.875% 9/15/11 (b)	2,730		2,755
JPMorgan Chase Capital XVII 5.85% 8/1/35	1,820		1,842
JPMorgan Chase Capital XX 6.55% 9/29/36	7,448		7,638
Lazard Group LLC:
6.85% 6/15/17	2,464		2,758
7.125% 5/15/15	7,737		8,719
Morgan Stanley:
4.1% 1/26/15	5,004		5,213
4.75% 4/1/14	1,376		1,451
5.45% 1/9/17	5,100		5,499
6% 5/13/14	5,474		6,009
6.625% 4/1/18	7,981		8,984
7.3% 5/13/19	4,777		5,501
UBS AG Stamford Branch 3.875% 1/15/15	8,300		8,768
			86,781
Commercial Banks - 2.4%
Bank of America NA 5.3% 3/15/17	6,133		6,485
BB&T Capital Trust IV 6.82% 6/12/77 (j)	583		596
Credit Suisse (Guernsey) Ltd. 5.86% (d)(j)	6,365		6,190
Credit Suisse New York Branch 6% 2/15/18	8,405		9,251
DBS Bank Ltd. (Singapore) 0.4808% 5/16/17 (c)(j)	1,517		1,498
Discover Bank:
7% 4/15/20	2,536		2,891
8.7% 11/18/19	5,944		7,416
Export-Import Bank of Korea 5.25% 2/10/14 (c)	3,402		3,660
Fifth Third Bancorp:
3.625% 1/25/16	3,326		3,402
4.5% 6/1/18	2,054		2,050
8.25% 3/1/38	2,385		2,975
Fifth Third Bank 4.75% 2/1/15	949		1,009
Fifth Third Capital Trust IV 6.5% 4/15/67 (j)	2,462		2,444
HBOS PLC 6.75% 5/21/18 (c)	3,056		3,084
Huntington Bancshares, Inc. 7% 12/15/20	1,597		1,841
JPMorgan Chase Bank 6% 10/1/17	5,986		6,730
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Commercial Banks - continued
KeyBank NA:
5.45% 3/3/16	$ 2,190		$ 2,392
5.8% 7/1/14	4,173		4,596
6.95% 2/1/28	1,344		1,523
KeyCorp. 5.1% 3/24/21	2,442		2,542
Korea Development Bank 5.75% 9/10/13	3,220		3,497
Manufacturers & Traders Trust Co. 1.8045% 4/1/13 (j)	572		572
Marshall & Ilsley Bank:
4.85% 6/16/15	2,284		2,468
5% 1/17/17	3,713		4,040
5.25% 9/4/12	1,692		1,761
6.375% 9/1/11	6,820		6,892
Regions Bank:
6.45% 6/26/37	8,147		7,608
7.5% 5/15/18	3,713		4,019
Regions Financial Corp.:
5.75% 6/15/15	1,094		1,119
7.75% 11/10/14	4,705		5,158
SunTrust Banks, Inc. 3.6% 4/15/16	4,164		4,263
Wachovia Corp. 4.875% 2/15/14	4,283		4,611
			118,583
Consumer Finance - 0.2%
Discover Financial Services 10.25% 7/15/19	3,781		5,042
SLM Corp.:
0.5038% 10/25/11 (j)	1,848		1,843
0.5738% 1/27/14 (j)	1,055		1,005
5% 10/1/13	391		407
			8,297
Diversified Financial Services - 2.4%
Bank of America Corp. 5.75% 12/1/17	12,613		13,679
BP Capital Markets PLC:
3.125% 10/1/15	5,742		5,881
3.625% 5/8/14	5,058		5,322
4.742% 3/11/21	4,290		4,439
Capital One Capital V 10.25% 8/15/39	2,114		2,249
Citigroup, Inc.:
5.5% 4/11/13	20,020		21,414
6.125% 5/15/18	17,793		19,849
6.5% 8/19/13	1,317		1,448
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Diversified Financial Services - continued
JPMorgan Chase & Co.:
4.625% 5/10/21	$ 11,000		$ 11,039
4.95% 3/25/20	8,888		9,268
Prime Property Funding, Inc.:
5.125% 6/1/15 (c)	6,138		6,428
5.35% 4/15/12 (c)	1,530		1,570
5.5% 1/15/14 (c)	4,505		4,849
TECO Finance, Inc.:
4% 3/15/16	1,439		1,507
5.15% 3/15/20	2,067		2,217
ZFS Finance USA Trust II 6.45% 12/15/65 (c)(j)	3,532		3,691
ZFS Finance USA Trust IV 5.875% 5/9/62 (c)(j)	1,161		1,173
ZFS Finance USA Trust V 6.5% 5/9/67 (c)(j)	2,033		2,099
			118,122
Insurance - 1.9%
Aon Corp.:
3.125% 5/27/16	2,379		2,391
3.5% 9/30/15	2,336		2,412
5% 9/30/20	2,730		2,826
6.25% 9/30/40	1,748		1,882
Assurant, Inc. 5.625% 2/15/14	4,022		4,320
Axis Capital Holdings Ltd. 5.75% 12/1/14	6,279		6,832
Great-West Life & Annuity Insurance Co. 7.153% 5/16/46 (c)(j)	10,398		10,918
Liberty Mutual Group, Inc.:
5% 6/1/21 (c)	4,901		4,818
6.7% 8/15/16 (c)	7,459		8,272
10.75% 6/15/88 (c)(j)	4,022		5,450
Lincoln National Corp. 7% 5/17/66 (j)	1,136		1,164
Massachusetts Mutual Life Insurance Co. 8.875% 6/1/39 (c)	2,269		3,271
MetLife, Inc. 6.75% 6/1/16	4,485		5,298
Metropolitan Life Global Funding I:
5.125% 4/10/13 (c)	5,619		5,998
5.125% 6/10/14 (c)	3,959		4,335
Monumental Global Funding II 5.65% 7/14/11 (c)	3,801		3,817
Pacific Life Global Funding 5.15% 4/15/13 (c)	4,733		5,033
Pacific Life Insurance Co. 9.25% 6/15/39 (c)	4,357		5,943
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Insurance - continued
Symetra Financial Corp. 6.125% 4/1/16 (c)	$ 4,900		$ 5,147
Unum Group 5.625% 9/15/20	3,183		3,377
			93,504
Real Estate Investment Trusts - 1.1%
AvalonBay Communities, Inc.:
5.5% 1/15/12	770		792
6.125% 11/1/12	1,160		1,242
Camden Property Trust:
5.375% 12/15/13	1,818		1,958
5.875% 11/30/12	687		728
Developers Diversified Realty Corp.:
4.75% 4/15/18	2,631		2,630
5.375% 10/15/12	4,283		4,437
7.5% 4/1/17	2,623		3,047
9.625% 3/15/16	3,987		4,905
Duke Realty LP:
4.625% 5/15/13	317		333
5.875% 8/15/12	571		601
Equity One, Inc.:
6% 9/15/17	3,250		3,480
6.25% 12/15/14	2,985		3,273
6.25% 1/15/17	2,136		2,318
Federal Realty Investment Trust:
5.4% 12/1/13	2,627		2,842
5.9% 4/1/20	1,389		1,543
6% 7/15/12	1,579		1,661
6.2% 1/15/17	1,215		1,384
HRPT Properties Trust:
5.75% 11/1/15	1,378		1,490
6.65% 1/15/18	3,200		3,611
UDR, Inc. 5.5% 4/1/14	6,383		6,825
United Dominion Realty Trust, Inc. 5.25% 1/15/15	1,736		1,863
Washington (REIT) 5.95% 6/15/11	5,055		5,062
			56,025
Real Estate Management & Development - 2.4%
AMB Property LP:
5.9% 8/15/13	4,537		4,815
6.3% 6/1/13	4,607		4,967
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Real Estate Management & Development - continued
BioMed Realty LP:
3.85% 4/15/16	$ 5,000		$ 5,070
6.125% 4/15/20	1,872		2,025
Brandywine Operating Partnership LP:
5.7% 5/1/17	2,243		2,435
5.75% 4/1/12	3,189		3,306
Colonial Properties Trust:
5.5% 10/1/15	5,995		6,246
6.875% 8/15/12	3,309		3,440
Colonial Realty LP 6.05% 9/1/16	4,436		4,638
Digital Realty Trust LP 4.5% 7/15/15	2,667		2,789
Duke Realty LP:
5.4% 8/15/14	5,135		5,575
5.5% 3/1/16	5,038		5,467
5.625% 8/15/11	3,493		3,524
5.95% 2/15/17	1,536		1,699
6.25% 5/15/13	3,807		4,128
6.5% 1/15/18	5,065		5,758
ERP Operating LP:
5.2% 4/1/13	6,349		6,787
5.5% 10/1/12	6,078		6,428
6.625% 3/15/12	1,111		1,160
Liberty Property LP:
5.5% 12/15/16	3,158		3,491
6.375% 8/15/12	2,174		2,291
6.625% 10/1/17	3,709		4,315
Post Apartment Homes LP 6.3% 6/1/13	5,470		5,878
Reckson Operating Partnership LP 6% 3/31/16	1,224		1,331
Regency Centers LP 6.75% 1/15/12	5,856		6,058
Tanger Properties LP:
6.125% 6/1/20	3,058		3,429
6.15% 11/15/15	9,117		10,238
			117,288
Thrifts & Mortgage Finance - 0.2%
Bank of America Corp. 6.5% 8/1/16	5,430		6,143
First Niagara Financial Group, Inc. 6.75% 3/19/20	4,247		4,747
			10,890
TOTAL FINANCIALS			609,490
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
HEALTH CARE - 0.1%
Health Care Providers & Services - 0.1%
Express Scripts, Inc.:
3.125% 5/15/16	$ 4,472		$ 4,520
6.25% 6/15/14	1,557		1,760
			6,280
INDUSTRIALS - 0.3%
Airlines - 0.2%
Continental Airlines, Inc.:
6.545% 8/2/20	1,177		1,240
6.795% 2/2/20	408		403
U.S. Airways pass-thru trust certificates:
6.85% 7/30/19	2,365		2,271
8.36% 1/20/19	8,048		8,491
			12,405
Transportation Infrastructure - 0.1%
BNSF Funding Trust I 6.613% 12/15/55 (j)	2,984		3,100
TOTAL INDUSTRIALS			15,505
INFORMATION TECHNOLOGY - 0.2%
Electronic Equipment & Components - 0.2%
Tyco Electronics Group SA:
5.95% 1/15/14	4,695		5,194
6.55% 10/1/17	2,421		2,872
			8,066
MATERIALS - 0.4%
Chemicals - 0.3%
Dow Chemical Co. 7.6% 5/15/14	13,026		15,188
Metals & Mining - 0.1%
ArcelorMittal SA 3.75% 3/1/16	1,580		1,605
Corporacion Nacional del Cobre (Codelco) 6.375% 11/30/12 (c)	4,183		4,478
			6,083
TOTAL MATERIALS			21,271
TELECOMMUNICATION SERVICES - 1.4%
Diversified Telecommunication Services - 0.8%
AT&T, Inc. 6.8% 5/15/36	5,000		5,630
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
TELECOMMUNICATION SERVICES - continued
Diversified Telecommunication Services - continued
BellSouth Capital Funding Corp. 7.875% 2/15/30	$ 4,203		$ 5,277
CenturyLink, Inc.:
6.15% 9/15/19	2,073		2,197
7.6% 9/15/39	3,890		3,979
Deutsche Telekom International Financial BV 5.875% 8/20/13	4,937		5,421
Telecom Italia Capital SA:
4.95% 9/30/14	5,297		5,609
5.25% 10/1/15	2,409		2,553
Telefonica Emisiones SAU 5.855% 2/4/13	1,287		1,376
Verizon Communications, Inc. 6.1% 4/15/18	6,019		6,938
			38,980
Wireless Telecommunication Services - 0.6%
DIRECTV Holdings LLC/DIRECTV Financing, Inc.:
4.75% 10/1/14	8,998		9,860
5.875% 10/1/19	6,291		7,033
6.35% 3/15/40	1,971		2,117
Sprint Nextel Corp. 6% 12/1/16	10,058		10,234
			29,244
TOTAL TELECOMMUNICATION SERVICES			68,224
UTILITIES - 2.0%
Electric Utilities - 1.0%
Cleveland Electric Illuminating Co. 5.65% 12/15/13	5,410		5,893
Duquesne Light Holdings, Inc.:
5.9% 12/1/21 (c)	2,695		2,726
6.4% 9/15/20 (c)	8,975		9,421
Edison International 3.75% 9/15/17	3,716		3,749
EDP Finance BV 6% 2/2/18 (c)	7,773		7,564
FirstEnergy Corp. 7.375% 11/15/31	5,741		6,675
FirstEnergy Solutions Corp. 6.05% 8/15/21	2,439		2,682
LG&E and KU Energy LLC 2.125% 11/15/15 (c)	4,231		4,123
Pennsylvania Electric Co. 6.05% 9/1/17	4,923		5,508
Pepco Holdings, Inc. 2.7% 10/1/15	3,942		3,968
			52,309
Gas Utilities - 0.1%
Southern Natural Gas Co. 5.9% 4/1/17 (c)	2,894		3,317
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
UTILITIES - continued
Independent Power Producers & Energy Traders - 0.5%
Duke Capital LLC 5.668% 8/15/14	$ 6,310		$ 7,025
Exelon Generation Co. LLC:
4% 10/1/20	4,789		4,607
5.35% 1/15/14	5,292		5,753
PPL Energy Supply LLC:
6.2% 5/15/16	2,534		2,850
6.5% 5/1/18	5,351		6,099
			26,334
Multi-Utilities - 0.4%
Dominion Resources, Inc.:
6.3% 9/30/66 (j)	1,637		1,621
7.5% 6/30/66 (j)	3,654		3,873
NiSource Finance Corp.:
5.4% 7/15/14	1,393		1,537
5.45% 9/15/20	1,461		1,565
6.25% 12/15/40	1,327		1,411
6.4% 3/15/18	4,529		5,196
Wisconsin Energy Corp. 6.25% 5/15/67 (j)	4,001		4,051
			19,254
TOTAL UTILITIES			101,214
TOTAL NONCONVERTIBLE BONDS (Cost $981,575)		1,059,529
U.S. Government and Government Agency Obligations - 32.0%
U.S. Government Agency Obligations - 0.3%
Tennessee Valley Authority 5.25% 9/15/39	15,563		17,002
U.S. Treasury Inflation Protected Obligations - 2.1%
U.S. Treasury Inflation-Indexed Bonds:
2.125% 2/15/41	59,266		63,814
2.125% 2/15/40	36,979		39,892
TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS			103,706
U.S. Treasury Obligations - 29.6%
U.S. Treasury Bonds 4.75% 2/15/41	151,378		165,286
U.S. Government and Government Agency Obligations - continued
	Principal Amount (000s)		Value (000s)
U.S. Treasury Obligations - continued
U.S. Treasury Notes:
1.5% 12/31/13	$ 400,000		$ 408,774
1.75% 5/31/16	249,727		250,469
2.375% 9/30/14 (g)	83,800		87,774
2.625% 7/31/14 (g)	103,287		109,000
3.625% 2/15/20	122,561		130,499
3.625% 2/15/21	292,581		307,667
TOTAL U.S. TREASURY OBLIGATIONS			1,459,469
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $1,554,751)		1,580,177
U.S. Government Agency - Mortgage Securities - 23.0%
Fannie Mae - 15.5%
2.575% 2/1/35 (j)	2,861		3,002
2.589% 6/1/36 (j)	155		161
3.5% 11/1/25 to 3/1/41	37,905		37,011
3.533% 7/1/37 (j)	443		465
4% 2/1/35 to 4/1/41	45,686		46,072
4% 6/1/41 (e)(f)	15,000		15,104
4.5% 6/1/24 to 5/1/41 (f)	241,531		251,296
4.5% 6/1/26 (e)	5,000		5,301
5% 4/1/18 to 9/1/40	114,866		122,845
5% 6/1/41 (e)(f)	25,000		26,612
5% 6/1/41 (e)(f)	11,000		11,709
5% 6/1/41 (e)(f)	20,000		21,289
5% 6/1/41 (e)	15,000		15,967
5% 6/1/41 (e)(f)	17,000		18,096
5.5% 12/1/30 to 8/1/37	18,188		19,792
5.5% 6/1/41 (e)(f)	11,600		12,576
5.5% 6/1/41 (e)	12,000		13,009
6% 7/1/21 to 9/1/39	105,995		116,823
6% 6/1/41 (e)(f)	12,100		13,312
6% 6/1/41 (e)(f)	14,000		15,402
6.5% 2/1/36	213		240
TOTAL FANNIE MAE			766,084
U.S. Government Agency - Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Freddie Mac - 4.3%
3.281% 10/1/35 (j)	$ 223		$ 237
4% 6/1/41 (e)	5,000		5,029
4.5% 7/1/25 to 4/1/41	10,751		11,207
4.5% 6/1/41 (e)	40,700		42,231
5% 9/1/35 to 4/1/41	32,891		35,057
5% 6/1/41 (e)	13,000		13,824
5% 6/1/41 (e)	7,000		7,444
5.5% 12/1/27 to 2/1/40	73,400		79,520
5.5% 6/1/41 (e)	10,600		11,479
6% 7/1/37 to 8/1/37	4,458		4,913
TOTAL FREDDIE MAC			210,941
Ginnie Mae - 3.2%
4% 1/15/25 to 10/20/25	29,588		31,248
4.5% 3/15/41	8,970		9,506
4.5% 6/1/41 (e)(f)	38,000		40,179
4.5% 6/1/41 (e)	29,000		30,663
5% 6/1/41 (e)	12,000		12,995
5% 6/1/41 (e)	6,000		6,497
5% 6/1/41 (e)	11,000		11,912
5.5% 12/20/28 to 12/15/38	10,630		11,739
TOTAL GINNIE MAE			154,739
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $1,115,817)		1,131,764
Asset-Backed Securities - 1.4%
Accredited Mortgage Loan Trust Series 2005-1 Class M1, 0.664% 4/25/35 (j)	1,004		703
ACE Securities Corp. Home Equity Loan Trust:
Series 2004-HE1:
Class M1, 0.944% 3/25/34 (j)	21		20
Class M2, 1.844% 3/25/34 (j)	219		176
Series 2005-HE2 Class M2, 0.644% 4/25/35 (j)	98		94
Series 2006-OP1 Class M4, 0.564% 4/25/36 (j)	91		0*
Advanta Business Card Master Trust:
Series 2006-C1 Class C1, 0.6758% 10/20/14	376		4
Series 2007-D1 Class D, 1.5958% 1/22/13 (c)(j)	6,136		92
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
Airspeed Ltd. Series 2007-1A Class C1, 2.698% 6/15/32 (c)(j)	$ 6,122		$ 2,816
Ally Master Owner Trust:
Series 2010-3 Class A, 2.88% 4/15/15 (c)	4,884		5,032
Series 2011-3 Class A2, 1.87% 5/15/16	3,550		3,558
AmeriCredit Prime Automobile Receivables Trust Series 2007-1:
Class D, 5.62% 9/8/14	648		661
Class E, 6.96% 3/8/16 (c)	2,566		2,623
Ameriquest Mortgage Securities, Inc. pass-thru certificates:
Series 2003-10 Class M1, 0.894% 12/25/33 (j)	57		46
Series 2004-R2 Class M3, 0.744% 4/25/34 (j)	85		24
Series 2005-R2 Class M1, 0.644% 4/25/35 (j)	1,307		1,128
Argent Securities, Inc. pass-thru certificates:
Series 2003-W7 Class A2, 0.9926% 3/25/34 (j)	30		23
Series 2004-W7 Class M1, 0.744% 5/25/34 (j)	808		614
Series 2006-W4 Class A2C, 0.354% 5/25/36 (j)	872		267
Asset Backed Securities Corp. Home Equity Loan Trust:
Series 2004-HE2 Class M1, 1.019% 4/25/34 (j)	1,690		1,354
Series 2006-HE2 Class M1, 0.564% 3/25/36 (j)	120		2
Axon Financial Funding Ltd. 0.873% 4/4/17 (a)(c)(j)	5,160		0
Bank of America Auto Trust Series 2009-1A Class A4, 3.52% 6/15/16 (c)	4,230		4,364
Brazos Higher Education Authority, Inc. Series 2006-2 Class A9, 0.318% 12/25/24 (j)	1,019		922
C-BASS Trust Series 2006-CB7 Class A2, 0.254% 10/25/36 (j)	40		40
Capital Auto Receivables Asset Trust:
Series 2006-2 Class C, 5.31% 6/15/12	474		478
Series 2007-1 Class C, 5.38% 11/15/12	264		271
Capital Trust Ltd. Series 2004-1:
Class A2, 0.6458% 7/20/39 (c)(j)	344		275
Class B, 0.9458% 7/20/39 (c)(j)	355		145
Class C, 1.2958% 7/20/39 (c)(j)	456		23
CarMax Auto Owner Trust Series 2007-2 Class C, 5.61% 11/15/13	535		539
Carrington Mortgage Loan Trust:
Series 2006-FRE1 Class M1, 0.494% 7/25/36 (j)	722		30
Series 2006-NC4 Class M1, 0.494% 10/25/36 (j)	127		9
Series 2007-RFC1 Class A3, 0.334% 12/25/36 (j)	1,140		400
Citigroup Mortgage Loan Trust Series 2007-AMC4 Class M1, 0.464% 5/25/37 (j)	484		28
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
Countrywide Asset-Backed Certificates Trust:
Series 2007-11 Class 2A1, 0.254% 6/25/47 (j)	$ 24		$ 23
Series 2007-4 Class A1A, 0.3326% 9/25/37 (j)	200		192
Countrywide Home Loan Trust Series 2006-13 Class N, 7% 8/25/37 (c)	1,666		0
Countrywide Home Loans, Inc.:
Series 2003-BC1 Class B1, 5.4995% 3/25/32 (MGIC Investment Corp. Insured) (j)	61		24
Series 2004-3 Class M4, 1.164% 4/25/34 (j)	101		49
Series 2004-4 Class M2, 0.989% 6/25/34 (j)	372		209
Series 2005-3 Class MV1, 0.614% 8/25/35 (j)	450		433
Series 2005-AB1 Class A2, 0.404% 8/25/35 (j)	46		45
CPS Auto Receivables Trust Series 2006-D Class A4, 5.115% 8/15/13 (FSA Insured) (c)	191		192
Fannie Mae subordinate REMIC pass-thru certificates Series 2004-T5 Class AB3, 0.7199% 5/28/35 (j)	25		17
Fieldstone Mortgage Investment Corp.:
Series 2004-3 Class M5, 2.369% 8/25/34 (j)	231		134
Series 2006-3 Class 2A3, 0.354% 11/25/36 (j)	3,565		1,437
First Franklin Mortgage Loan Trust Series 2004-FF2 Class M3, 1.019% 3/25/34 (j)	14		5
Ford Credit Auto Owner Trust:
Series 2006-C:
Class B, 5.3% 6/15/12	383		386
Class D, 6.89% 5/15/13 (c)	1,938		1,959
Series 2007-A Class D, 7.05% 12/15/13 (c)	1,100		1,133
Ford Credit Floorplan Master Owner Trust:
Series 2006-4 Class B, 0.748% 6/15/13 (j)	488		488
Series 2010-5 Class A1, 1.5% 9/15/15	5,563		5,591
Franklin Auto Trust:
Series 2006-1 Class B, 5.14% 7/21/14	17		17
Series 2007-1:
Class A4, 5.03% 2/16/15	64		64
Class C, 5.43% 2/16/15	279		279
Fremont Home Loan Trust:
Series 2005-A:
Class M3, 0.684% 1/25/35 (j)	600		294
Class M4, 0.874% 1/25/35 (j)	231		73
Series 2006-D Class M1, 0.424% 11/25/36 (j)	133		4
GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 0.6368% 2/25/47 (c)(j)	2,174		1,283
GCO Slims Trust Series 2006-1A, 5.72% 3/1/22 (c)	1,282		1,021
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
GE Business Loan Trust:
Series 2003-1 Class A, 0.628% 4/15/31 (c)(j)	$ 152		$ 142
Series 2006-2A:
Class A, 0.378% 11/15/34 (c)(j)	1,154		958
Class B, 0.478% 11/15/34 (c)(j)	418		272
Class C, 0.578% 11/15/34 (c)(j)	692		346
Class D, 0.948% 11/15/34 (c)(j)	330		83
Goal Capital Funding Trust Series 2007-1 Class C1, 0.708% 6/25/42 (j)	421		408
GS Auto Loan Trust Series 2007-1 Class B, 5.53% 12/15/14	15		16
GSAMP Trust:
Series 2004-AR1:
Class B4, 5% 6/25/34 (c)(j)	274		76
Class M1, 0.844% 6/25/34 (j)	1,630		1,099
Series 2007-HE1 Class M1, 0.444% 3/25/47 (j)	660		39
Guggenheim Structured Real Estate Funding Ltd. Series 2006-3:
Class B, 0.594% 9/25/46 (c)(j)	519		270
Class C, 0.744% 9/25/46 (c)(j)	1,211		242
Home Equity Asset Trust:
Series 2003-2 Class M1, 1.514% 8/25/33 (j)	192		137
Series 2003-3 Class M1, 1.484% 8/25/33 (j)	473		387
Series 2003-5 Class A2, 0.894% 12/25/33 (j)	21		15
Series 2005-5 Class 2A2, 0.444% 11/25/35 (j)	42		42
Series 2006-1 Class 2A3, 0.419% 4/25/36 (j)	637		623
Series 2006-8 Class 2A1, 0.244% 3/25/37 (j)	2		2
HSBC Home Equity Loan Trust Series 2006-2 Class M2, 0.4858% 3/20/36 (j)	441		374
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.384% 1/25/37 (j)	913		423
JPMorgan Mortgage Acquisition Trust:
Series 2006-NC2 Class M2, 0.494% 7/25/36 (j)	116		4
Series 2007-CH1:
Class AV4, 0.324% 11/25/36 (j)	913		777
Class MV1, 0.424% 11/25/36 (j)	741		485
Series 2007-CH3 Class M1, 0.494% 3/25/37 (j)	326		17
Keycorp Student Loan Trust:
Series 1999-A Class A2, 0.6385% 12/27/29 (j)	449		386
Series 2006-A Class 2C, 1.4585% 3/27/42 (j)	1,605		324
Long Beach Auto Receivables Trust Series 2007-A Class A4, 5.025% 1/15/14 (FSA Insured)	729		735
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
Long Beach Mortgage Loan Trust Series 2004-2 Class M2, 1.274% 6/25/34 (j)	$ 58		$ 41
Marriott Vacation Club Owner Trust Series 2006-2A:
Class B, 5.442% 10/20/28 (c)	15		15
Class C, 5.691% 10/20/28 (c)	7		7
Class D, 6.01% 10/20/28 (c)	64		65
MASTR Asset Backed Securities Trust:
Series 2006-AM3 Class M1, 0.454% 10/25/36 (j)	327		19
Series 2007-HE1 Class M1, 0.494% 5/25/37 (j)	496		26
Meritage Mortgage Loan Trust Series 2004-1 Class M1, 0.944% 7/25/34 (j)	82		53
Merrill Auto Trust Securitization Series 2007-1 Class B, 5.79% 12/15/13	13		13
Merrill Lynch Mortgage Investors Trust:
Series 2003-OPT1 Class M1, 1.169% 7/25/34 (j)	299		205
Series 2006-FM1 Class A2B, 0.304% 4/25/37 (j)	1,172		1,009
Series 2006-MLN1 Class A2A, 0.264% 7/25/37 (j)	5		5
Series 2006-OPT1 Class A1A, 0.454% 6/25/35 (j)	1,706		1,365
Morgan Stanley ABS Capital I Trust:
Series 2004-HE6 Class A2, 0.534% 8/25/34 (j)	36		29
Series 2004-NC8 Class M6, 1.444% 9/25/34 (j)	100		44
Series 2005-NC1 Class M1, 0.634% 1/25/35 (j)	253		172
Series 2005-NC2 Class B1, 1.364% 3/25/35 (j)	264		37
Series 2007-HE2 Class M1, 0.444% 1/25/37 (j)	150		4
National Collegiate Student Loan Trust:
Series 2004-2 Class AIO, 9.75% 10/27/14 (l)	6,600		759
Series 2006-2 Class AIO, 6% 8/25/11 (l)	4,480		43
Series 2006-3 Class AIO, 7.1% 1/25/12 (l)	25,470		828
Series 2006-4:
Class A1, 0.224% 3/25/25 (j)	44		44
Class AIO, 6.35% 2/27/12 (l)	20,073		774
Class D, 1.294% 5/25/32 (j)	1,227		9
Series 2007-1 Class AIO, 7.27% 4/25/12 (l)	23,975		1,379
Series 2007-2 Class AIO, 6.7% 7/25/12 (l)	17,719		1,207
New Century Home Equity Loan Trust:
Series 2005-4 Class M2, 0.704% 9/25/35 (j)	903		584
Series 2005-D Class M2, 0.664% 2/25/36 (j)	429		126
Ocala Funding LLC:
Series 2005-1A Class A, 1.6958% 3/20/10 (a)(c)(j)	449		0
Series 2006-1A Class A, 1.5958% 3/20/11 (a)(c)(j)	933		0
Option One Mortgage Loan Trust:
Series 2007-5 Class 2A1, 0.284% 5/25/37 (j)	30		30
Series 2007-6 Class 2A1, 0.254% 7/25/37 (j)	69		67
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
Park Place Securities, Inc.:
Series 2004-WCW1:
Class M3, 1.444% 9/25/34 (j)	$ 337		$ 206
Class M4, 1.644% 9/25/34 (j)	433		136
Series 2005-WCH1:
Class M2, 0.714% 1/25/36 (j)	1,296		1,215
Class M3, 0.754% 1/25/36 (j)	302		209
Class M4, 1.024% 1/25/36 (j)	935		493
Series 2005-WHQ2 Class M7, 1.444% 5/25/35 (j)	1,149		15
Residential Asset Mortgage Products, Inc. Series 2006-EFC2 Class M1, 0.424% 12/25/36 (j)	407		13
Residential Asset Securities Corp. Series 2007-KS2 Class AI1, 0.264% 2/25/37 (j)	18		18
Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 0.994% 4/25/33 (j)	3		3
Saxon Asset Securities Trust Series 2004-1 Class M1, 0.989% 3/25/35 (j)	937		747
Securitized Asset Backed Receivables LLC Trust:
Series 2005-FR4 Class B3, 1.914% 1/25/36 (j)	28		0*
Series 2006-FR4 Class A2A, 0.274% 8/25/36 (j)	21		8
Series 2007-NC1 Class A2A, 0.244% 12/25/36 (j)	6		6
Sierra Receivables Funding Co. Series 2007-1A Class A2, 0.363% 3/20/19 (FGIC Insured) (c)(j)	414		394
SLM Private Credit Student Loan Trust Series 2004-A Class C, 1.2595% 6/15/33 (j)	805		132
Specialty Underwriting & Residential Finance Trust Series 2006-AB2 Class N1, 5.75% 6/25/37 (c)	374		0
Structured Asset Investment Loan Trust Series 2004-8 Class M5, 1.344% 9/25/34 (j)	55		25
SVO VOI Mortgage Corp. Series 2006-AA Class A, 5.28% 2/20/24 (c)	348		357
Terwin Mortgage Trust Series 2003-4HE Class A1, 1.054% 9/25/34 (j)	18		14
Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 0.8568% 4/6/42 (c)(j)	1,717		52
WaMu Asset Holdings Corp. Series 2006-8 Class N1, 6.048% 10/25/46 (c)	704		0
WaMu Master Note Trust Series 2006-C2A Class C2, 0.698% 8/15/15 (c)(j)	5,126		5,120
Wells Fargo Home Equity Trust Series 2004-3 Class A, 4.5% 11/27/34 (c)	6		0
TOTAL ASSET-BACKED SECURITIES (Cost $65,930)		68,917
Collateralized Mortgage Obligations - 1.4%
	Principal Amount (000s)		Value (000s)
Private Sponsor - 1.4%
Banc of America Commercial Mortgage Trust Series 2007-2:
Class B, 5.6578% 4/10/49 (j)	$ 896		$ 595
Class C, 5.8361% 4/10/49 (j)	2,392		1,354
Class D, 5.8361% 4/10/49 (j)	1,197		518
Banc of America Funding Corp. sequential payer Series 2010-R4 Class 2A1, 4.5% 3/26/37 (c)	2,637		2,689
Banc of America Mortgage Securities, Inc.:
Series 2003-L Class 2A1, 2.9037% 1/25/34 (j)	872		819
Series 2004-1 Class 2A2, 3.2308% 10/25/34 (j)	913		825
Series 2004-A Class 2A2, 2.8609% 2/25/34 (j)	114		101
Series 2004-B:
Class 1A1, 2.7465% 3/25/34 (j)	74		67
Class 2A2, 2.8678% 3/25/34 (j)	540		514
Series 2004-D Class 2A2, 2.8778% 5/25/34 (j)	803		736
Series 2004-G Class 2A7, 3.021% 8/25/34 (j)	753		676
Series 2004-H Class 2A1, 3.1658% 9/25/34 (j)	657		588
Bayview Commercial Asset Trust Series 2006-3A Class IO, 3.2127% 10/25/36 (c)(j)(l)	31,278		2,143
Bear Stearns ALT-A Trust floater Series 2005-1 Class A1, 0.754% 1/25/35 (j)	1,333		1,070
Bear Stearns Commercial Mortgage Securities Trust Series 2006-T24 Class X2, 0.6062% 10/12/41 (c)(j)(l)	2,101		22
Chase Mortgage Finance Trust:
Series 2007-A1 Class 1A5, 2.938% 2/25/37 (j)	802		794
Series 2007-A2 Class 2A1, 3.0641% 7/25/37 (j)	961		959
Citigroup Commercial Mortgage Trust Series 2008-C7 Class A2B, 6.2942% 12/10/49 (j)	1,095		1,150
Citigroup Mortgage Loan Trust Series 2004-UST1 Class A4, 2.3824% 8/25/34 (j)	666		664
Cobalt CMBS Commercial Mortgage Trust Series 2007-C2 Class B, 5.617% 4/15/47 (j)	1,223		477
COMM pass-thru certificates floater Series 2001-J2A Class A2F, 0.698% 7/16/34 (c)(j)	149		149
Credit Suisse First Boston Mortgage Securities Corp. floater Series 2007-AR7 Class 2A1, 2.8944% 11/25/34 (j)	980		914
Credit Suisse Mortgage Capital Certificates sequential payer Series 2010-16 Class A1, 3% 6/25/50 (c)	4,182		4,202
First Horizon Mortgage pass-thru Trust Series 2004-AR5 Class 2A1, 2.8757% 10/25/34 (j)	773		743
Collateralized Mortgage Obligations - continued
	Principal Amount (000s)		Value (000s)
Private Sponsor - continued
Fosse Master Issuer PLC floater Series 2006-1A:
Class B2, 0.4355% 10/18/54 (c)(j)	$ 706		$ 705
Class C2, 0.7455% 10/18/54 (c)(j)	237		235
Class M2, 0.5255% 10/18/54 (c)(j)	405		404
Gracechurch Mortgage Financing PLC floater Series 2006-1 Class D2, 0.73% 11/20/56 (c)(j)	1,711		1,689
Granite Master Issuer PLC floater:
Series 2006-4:
Class B1, 0.2858% 12/20/54 (j)	2,694		2,317
Class M1, 0.3658% 12/20/54 (j)	710		543
Series 2007-1:
Class 1M1, 0.4958% 12/20/54 (j)	894		684
Class 2M1, 0.6958% 12/20/54 (j)	1,148		878
Granite Mortgages PLC floater Series 2003-3 Class 1C, 2.724% 1/20/44 (j)	341		263
GSR Mortgage Loan Trust Series 2007-AR2 Class 2A1, 2.7448% 4/25/35 (j)	356		306
Harborview Mortgage Loan Trust floater Series 2005-2 Class 2A1A, 0.417% 5/19/35 (j)	227		151
JPMorgan Chase Commercial Mortgage Securities Trust Series 2007-CB18 Class A3, 5.447% 6/12/47 (j)	2,077		2,173
JPMorgan Mortgage Trust:
sequential payer Series 2006-A5 Class 3A5, 5.8553% 8/25/36 (j)	1,303		1,051
Series 2004-A3 Class 4A1, 4.2606% 7/25/34 (j)	781		756
Series 2006-A2 Class 5A1, 2.9729% 11/25/33 (j)	912		874
LB-UBS Commercial Mortgage Trust sequential payer Series 2006-C6 Class A4, 5.372% 9/15/39	492		540
MASTR Adjustable Rate Mortgages Trust Series 2007-3 Class 22A2, 0.404% 5/25/47 (j)	596		421
MASTR Asset Backed Securities Trust Series 2006-NC3 Class M1, 0.424% 10/25/36 (j)	61		0
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.364% 2/25/37 (j)	1,042		725
Merrill Lynch Floating Trust floater Series 2006-1:
Class B, 0.368% 6/15/22 (c)(j)	190		185
Class C, 0.388% 6/15/22 (c)(j)	936		880
Class D, 0.398% 6/15/22 (c)(j)	452		422
Class E, 0.408% 6/15/22 (c)(j)	576		532
Class F, 0.438% 6/15/22 (c)(j)	955		874
Class G, 0.508% 6/15/22 (c)(j)	271		242
Class H, 0.528% 6/15/22 (c)(j)	433		380
Collateralized Mortgage Obligations - continued
	Principal Amount (000s)		Value (000s)
Private Sponsor - continued
Merrill Lynch Floating Trust floater Series 2006-1: - continued
Class J, 0.568% 6/15/22 (c)(j)	$ 505		$ 438
Merrill Lynch Mortgage Investors Trust:
Series 2004-A4 Class A1, 2.7498% 8/25/34 (j)	1,081		1,033
Series 2005-A2 Class A7, 2.6245% 2/25/35 (j)	708		665
Series 2006-A6 Class A4, 3.1889% 10/25/33 (j)	725		694
Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 0.484% 7/25/35 (j)	1,381		1,108
Option One Mortgage Loan Trust floater Series 2007-CP1 Class M1, 0.494% 3/25/37 (j)	1,797		121
Provident Funding Mortgage Loan Trust Series 2005-2 Class 3A, 2.8085% 10/25/35 (j)	2,458		2,111
RESI Finance LP/RESI Finance DE Corp. floater Series 2003-B:
Class B5, 2.5539% 7/10/35 (c)(j)	860		702
Class B6, 3.0539% 7/10/35 (c)(j)	1,139		878
Residential Asset Mortgage Products, Inc. sequential payer:
Series 2003-SL1 Class A31, 7.125% 4/25/31	464		495
Series 2004-SL3 Class A1, 7% 8/25/16	24		25
Residential Funding Securities Corp. floater Series 2003-RP2 Class A1, 0.644% 6/25/33 (c)(j)	220		203
Salomon Brothers Mortgage Securities VII, Inc. Series 2006-C2 Class H, 6.308% 7/18/33 (c)	194		68
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 0.8997% 7/20/34 (j)	24		18
Structured Asset Securities Corp.:
Series 2003-15A Class 4A, 5.3739% 4/25/33 (j)	326		314
Series 2003-20 Class 1A1, 5.5% 7/25/33	235		239
TBW Mortgage-Backed pass-thru certificates floater Series 2006-4 Class A3, 0.4126% 9/25/36 (j)	2,073		1,475
WaMu Mortgage pass-thru certificates:
Series 2003-AR8 Class A, 2.7161% 8/25/33 (j)	542		531
Series 2005-AR3 Class A2, 2.5752% 3/25/35 (j)	1,466		1,315
Wells Fargo Mortgage Backed Securities Trust:
Series 2004-W Class A9, 2.7613% 11/25/34 (j)	1,658		1,608
Series 2005-AR12 Class 2A6, 2.7836% 7/25/35 (j)	1,835		1,739
Series 2005-AR2 Class 2A2, 2.7435% 3/25/35 (j)	1,239		1,145
Collateralized Mortgage Obligations - continued
	Principal Amount (000s)		Value (000s)
Private Sponsor - continued
Wells Fargo Mortgage Backed Securities Trust: - continued
Series 2005-AR3 Class 2A1, 2.8729% 3/25/35 (j)	$ 1,014		$ 929
Series 2006-AR8 Class 3A1, 2.7717% 4/25/36 (j)	10,136		8,655
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $59,894)		67,508
Commercial Mortgage Securities - 8.2%
Asset Securitization Corp. Series 1997-D5:
Class A2, 7.0825% 2/14/43 (j)	805		846
Class A3, 7.1325% 2/14/43 (j)	869		929
Class A6, 7.4525% 2/14/43 (j)	1,281		1,353
Class PS1, 1.4533% 2/14/43 (j)(l)	3,973		81
Banc of America Commercial Mortgage Trust:
sequential payer:
Series 2006-2 Class AAB, 5.9114% 5/10/45 (j)	1,279		1,365
Series 2006-3 Class A4, 5.889% 7/10/44	6,816		7,519
Series 2006-6 Class A3, 5.369% 10/10/45	2,190		2,314
Series 2007-4 Class A3, 5.9998% 2/10/51 (j)	1,092		1,168
Series 2006-6 Class E, 5.619% 10/10/45 (c)	633		127
Series 2007-3:
Class A3, 5.8018% 6/10/49 (j)	1,828		1,932
Class A4, 5.8018% 6/10/49 (j)	2,283		2,484
Banc of America Commercial Mortgage, Inc.:
sequential payer:
Series 2001-1 Class A4, 5.451% 1/15/49	2,398		2,594
Series 2004-2:
Class A3, 4.05% 11/10/38	200		203
Class A4, 4.153% 11/10/38	1,389		1,449
Series 2005-1 Class A3, 4.877% 11/10/42	954		954
Series 2001-3 Class H, 6.562% 4/11/37 (c)	612		615
Series 2001-PB1:
Class J, 7.166% 5/11/35 (c)	343		341
Class K, 6.15% 5/11/35 (c)	509		497
Series 2005-3 Series A3B, 5.09% 7/10/43 (j)	3,402		3,575
Banc of America Large Loan, Inc. floater:
Series 2005-MIB1:
Class C, 0.508% 3/15/22 (c)(j)	470		470
Class D, 0.558% 3/15/22 (c)(j)	476		476
Class E, 0.598% 3/15/22 (c)(j)	393		386
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Banc of America Large Loan, Inc. floater: - continued
Series 2005-MIB1:
Class F, 0.668% 3/15/22 (c)(j)	$ 489		$ 477
Class G, 0.728% 3/15/22 (c)(j)	317		299
Series 2006-BIX1:
Class C, 0.378% 10/15/19 (c)(j)	704		683
Class D, 0.408% 10/15/19 (c)(j)	860		821
Class E, 0.438% 10/15/19 (c)(j)	797		749
Class F, 0.508% 10/15/19 (c)(j)	1,885		1,767
Class G, 0.528% 10/15/19 (c)(j)	759		668
Bayview Commercial Asset Trust:
floater:
Series 2003-2 Class M1, 1.044% 12/25/33 (c)(j)	59		43
Series 2004-1:
Class A, 0.554% 4/25/34 (c)(j)	755		660
Class B, 2.094% 4/25/34 (c)(j)	84		45
Class M1, 0.754% 4/25/34 (c)(j)	85		65
Class M2, 1.394% 4/25/34 (c)(j)	78		53
Series 2004-2:
Class A, 0.624% 8/25/34 (c)(j)	617		536
Class M1, 0.774% 8/25/34 (c)(j)	140		101
Series 2004-3:
Class A1, 0.564% 1/25/35 (c)(j)	1,381		1,225
Class A2, 0.614% 1/25/35 (c)(j)	198		175
Class M1, 0.694% 1/25/35 (c)(j)	239		168
Class M2, 1.194% 1/25/35 (c)(j)	120		81
Series 2005-2A:
Class A1, 0.504% 8/25/35 (c)(j)	1,059		873
Class M1, 0.624% 8/25/35 (c)(j)	70		46
Class M2, 0.674% 8/25/35 (c)(j)	92		55
Class M3, 0.694% 8/25/35 (c)(j)	64		36
Class M4, 0.804% 8/25/35 (c)(j)	58		32
Series 2005-3A:
Class A1, 0.514% 11/25/35 (c)(j)	417		347
Class A2, 0.594% 11/25/35 (c)(j)	390		326
Class M1, 0.634% 11/25/35 (c)(j)	105		69
Class M2, 0.684% 11/25/35 (c)(j)	79		47
Class M3, 0.704% 11/25/35 (c)(j)	70		40
Class M4, 0.794% 11/25/35 (c)(j)	88		44
Series 2005-4A:
Class A2, 0.584% 1/25/36 (c)(j)	981		828
Class B1, 1.594% 1/25/36 (c)(j)	106		37
Class M1, 0.644% 1/25/36 (c)(j)	316		205
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Bayview Commercial Asset Trust: - continued
floater:
Series 2005-4A:
Class M2, 0.664% 1/25/36 (c)(j)	$ 119		$ 73
Class M3, 0.694% 1/25/36 (c)(j)	174		97
Class M4, 0.804% 1/25/36 (c)(j)	96		49
Class M5, 0.844% 1/25/36 (c)(j)	96		46
Class M6, 0.894% 1/25/36 (c)(j)	102		43
Series 2006-1:
Class A2, 0.554% 4/25/36 (c)(j)	186		154
Class M1, 0.574% 4/25/36 (c)(j)	113		80
Class M2, 0.594% 4/25/36 (c)(j)	119		78
Class M3, 0.614% 4/25/36 (c)(j)	103		64
Class M4, 0.714% 4/25/36 (c)(j)	58		35
Class M5, 0.754% 4/25/36 (c)(j)	56		31
Class M6, 0.834% 4/25/36 (c)(j)	113		54
Series 2006-2A:
Class A1, 0.424% 7/25/36 (c)(j)	2,586		2,058
Class A2, 0.474% 7/25/36 (c)(j)	167		131
Class B1, 1.064% 7/25/36 (c)(j)	106		39
Class B3, 2.894% 7/25/36 (c)(j)	95		29
Class M1, 0.504% 7/25/36 (c)(j)	175		115
Class M2, 0.524% 7/25/36 (c)(j)	124		76
Class M3, 0.544% 7/25/36 (c)(j)	102		62
Class M4, 0.614% 7/25/36 (c)(j)	117		68
Class M5, 0.664% 7/25/36 (c)(j)	85		48
Class M6, 0.734% 7/25/36 (c)(j)	127		53
Series 2006-3A:
Class B1, 0.994% 10/25/36 (c)(j)	114		15
Class B2, 1.544% 10/25/36 (c)(j)	139		14
Class B3, 2.794% 10/25/36 (c)(j)	134		7
Class M4, 0.624% 10/25/36 (c)(j)	126		43
Class M5, 0.674% 10/25/36 (c)(j)	151		45
Class M6, 0.754% 10/25/36 (c)(j)	295		65
Series 2006-4A:
Class A1, 0.424% 12/25/36 (c)(j)	496		402
Class A2, 0.464% 12/25/36 (c)(j)	2,519		1,864
Class B1, 0.894% 12/25/36 (c)(j)	156		25
Class B2, 1.444% 12/25/36 (c)(j)	160		21
Class B3, 2.644% 12/25/36 (c)(j)	168		15
Class M1, 0.484% 12/25/36 (c)(j)	202		91
Class M2, 0.504% 12/25/36 (c)(j)	135		55
Class M3, 0.534% 12/25/36 (c)(j)	137		48
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Bayview Commercial Asset Trust: - continued
floater:
Series 2006-4A:
Class M4, 0.594% 12/25/36 (c)(j)	$ 164		$ 49
Class M5, 0.634% 12/25/36 (c)(j)	150		37
Class M6, 0.714% 12/25/36 (c)(j)	135		28
Series 2007-1:
Class A2, 0.464% 3/25/37 (c)(j)	544		362
Class B1, 0.864% 3/25/37 (c)(j)	217		32
Class B2, 1.344% 3/25/37 (c)(j)	157		18
Class B3, 3.544% 3/25/37 (c)(j)	274		15
Class M1, 0.464% 3/25/37 (c)(j)	191		78
Class M2, 0.484% 3/25/37 (c)(j)	143		49
Class M3, 0.514% 3/25/37 (c)(j)	189		59
Class M4, 0.564% 3/25/37 (c)(j)	154		40
Class M5, 0.614% 3/25/37 (c)(j)	160		35
Class M6, 0.694% 3/25/37 (c)(j)	223		42
Series 2007-2A:
Class A1, 0.464% 7/25/37 (c)(j)	1,383		1,025
Class A2, 0.514% 7/25/37 (c)(j)	1,295		824
Class B1, 1.794% 7/25/37 (c)(j)	387		37
Class B2, 2.444% 7/25/37 (c)(j)	338		23
Class B3, 3.544% 7/25/37 (c)(j)	379		19
Class M1, 0.564% 7/25/37 (c)(j)	442		153
Class M2, 0.604% 7/25/37 (c)(j)	288		77
Class M3, 0.684% 7/25/37 (c)(j)	291		59
Class M4, 0.844% 7/25/37 (c)(j)	484		81
Class M5, 0.944% 7/25/37 (c)(j)	428		63
Class M6, 1.194% 7/25/37 (c)(j)	543		67
Series 2007-3:
Class A2, 0.484% 7/25/37 (c)(j)	541		361
Class B1, 1.144% 7/25/37 (c)(j)	326		48
Class B2, 1.794% 7/25/37 (c)(j)	839		96
Class B3, 4.194% 7/25/37 (c)(j)	436		28
Class M1, 0.504% 7/25/37 (c)(j)	287		111
Class M2, 0.534% 7/25/37 (c)(j)	306		99
Class M3, 0.564% 7/25/37 (c)(j)	493		134
Class M4, 0.694% 7/25/37 (c)(j)	776		185
Class M5, 0.794% 7/25/37 (c)(j)	393		83
Class M6, 0.994% 7/25/37 (c)(j)	298		54
Series 2007-4A:
Class B1, 2.744% 9/25/37 (c)(j)	238		10
Class B2, 3.644% 9/25/37 (c)(j)	689		21
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Bayview Commercial Asset Trust: - continued
floater:
Series 2007-4A:
Class M1, 1.144% 9/25/37 (c)(j)	$ 229		$ 41
Class M2, 1.244% 9/25/37 (c)(j)	229		32
Class M4, 1.794% 9/25/37 (c)(j)	467		37
Class M5, 1.944% 9/25/37 (c)(j)	467		33
Class M6, 2.144% 9/25/37 (c)(j)	468		28
Series 2004-1 Class IO, 1.25% 4/25/34 (c)(l)	2,911		116
Series 2007-5A Class IO, 3.047% 10/25/37 (c)(j)(l)	7,067		763
Bear Stearns Commercial Mortgage Securities Trust:
floater:
Series 2006-BBA7:
Class G, 0.638% 3/15/19 (c)(j)	510		459
Class H, 0.848% 3/15/19 (c)(j)	429		365
Class J, 1.048% 3/15/19 (c)(j)	323		275
Series 2007-BBA8:
Class D, 0.448% 3/15/22 (c)(j)	489		446
Class E, 0.498% 3/15/22 (c)(j)	2,030		1,833
Class F, 0.548% 3/15/22 (c)(j)	1,246		1,101
Class G, 0.598% 3/15/22 (c)(j)	401		342
Class H, 0.748% 3/15/22 (c)(j)	489		407
Class J, 0.898% 3/15/22 (c)(j)	489		374
sequential payer:
Series 2003-PWR2 Class A3, 4.834% 5/11/39	244		247
Series 2004-PWR3 Class A3, 4.487% 2/11/41	430		442
Series 2007-PW16 Class A4, 5.9055% 6/11/40 (j)	641		711
Series 2007-PW17 Class A1, 5.282% 6/11/50	328		336
Series 2007-T26 Class A1, 5.145% 1/12/45	165		168
Series 2003-PWR2 Class X2, 0.6817% 5/11/39 (c)(j)(l)	9,682		15
Series 2006-PW13 Class A3, 5.518% 9/11/41	3,864		4,029
Series 2006-PW14 Class X2, 0.8477% 12/11/38 (c)(j)(l)	15,640		253
Series 2006-T22 Class A4, 5.7046% 4/12/38 (j)	137		152
Series 2007-PW16:
Class B, 5.716% 6/11/40 (c)(j)	176		113
Class C, 5.716% 6/11/40 (c)(j)	146		79
Class D, 5.716% 6/11/40 (c)(j)	146		73
Series 2007-PW18 Class X2, 0.4827% 6/11/50 (c)(j)(l)	119,638		1,352
Series 2007-T28 Class X2, 0.3378% 9/11/42 (c)(j)(l)	58,943		423
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
C-BASS Trust floater Series 2006-SC1 Class A, 0.464% 5/25/36 (c)(j)	$ 523		$ 405
CDC Commercial Mortgage Trust Series 2002-FX1:
Class G, 6.625% 5/15/35 (c)	1,287		1,374
Class XCL, 2.4992% 5/15/35 (c)(j)(l)	10,783		225
Chase Commercial Mortgage Securities Corp. Series 2000-3 Class G 6.887% 10/15/32 (c)	3,937		3,933
Citigroup Commercial Mortgage Trust:
floater Series 2006-FL2:
Class F, 0.5071% 8/15/21 (c)(j)	391		388
Class G, 0.5271% 8/15/21 (c)(j)	326		325
Class H, 0.5671% 8/15/21 (c)(j)	261		257
Series 2006-C5 Class AMP2, 5.5005% 10/15/49 (c)	1,647		1,531
Series 2007-C6:
Class A1, 5.622% 12/10/49 (j)	260		260
Class A2, 5.8862% 12/10/49 (j)	1,093		1,125
Class A4, 5.8862% 12/10/49 (j)	3,631		4,028
Series 2007-FL3A Class A2, 0.338% 4/15/22 (c)(j)	3,955		3,749
Citigroup/Deutsche Bank Commercial Mortgage Trust:
sequential payer Series 2007-CD4:
Class A2A, 5.237% 12/11/49	677		682
Class A4, 5.322% 12/11/49	12,679		13,536
Series 2007-CD4:
Class A3, 5.293% 12/11/49	1,066		1,105
Class C, 5.476% 12/11/49	2,061		721
Cobalt CMBS Commercial Mortgage Trust:
sequential payer Series 2007-C3 Class A3, 6.0102% 5/15/46 (j)	1,095		1,173
Series 2006-C1 Class B, 5.359% 8/15/48	3,285		1,577
COMM pass-thru certificates:
floater:
Series 2005-F10A:
Class B, 0.428% 4/15/17 (c)(j)	4,971		4,729
Class C, 0.468% 4/15/17 (c)(j)	881		829
Class D, 0.508% 4/15/17 (c)(j)	601		554
Class E, 0.568% 4/15/17 (c)(j)	192		173
Class F, 0.608% 4/15/17 (c)(j)	109		96
Class G, 0.748% 4/15/17 (c)(j)	109		92
Class H, 0.818% 4/15/17 (c)(j)	109		87
Class J, 1.048% 4/15/17 (c)(j)	104		73
Series 2005-FL11:
Class C, 0.498% 11/15/17 (c)(j)	836		809
Class D, 0.538% 11/15/17 (c)(j)	44		42
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
COMM pass-thru certificates: - continued
floater:
Series 2005-FL11:
Class E, 0.588% 11/15/17 (c)(j)	$ 154		$ 147
Class F, 0.648% 11/15/17 (c)(j)	118		109
Class G, 0.698% 11/15/17 (c)(j)	81		74
Series 2006-FL12 Class AJ, 0.328% 12/15/20 (c)(j)	1,560		1,451
sequential payer:
Series 2005-C6 Class A2, 4.999% 6/10/44 (j)	11		11
Series 2006-C8:
Class A3, 5.31% 12/10/46	3,121		3,253
Class A4, 5.306% 12/10/46	14,677		15,805
Series 2006-CN2A:
Class A2FX, 5.449% 2/5/19 (c)	1,851		1,853
Class AJFX, 5.478% 2/5/19 (c)	3,272		3,299
Series 2007-C9 Class A4, 6.0084% 12/10/49 (j)	2,423		2,702
Series 2006-C8 Class XP, 0.6858% 12/10/46 (j)(l)	11,356		122
Credit Suisse Commercial Mortgage Trust:
sequential payer:
Series 2006-C4 Class A3, 5.467% 9/15/39	5,651		6,126
Series 2007-C2 Class A3, 5.542% 1/15/49 (j)	2,190		2,334
Series 2007-C3 Class A4, 5.9052% 6/15/39 (j)	658		715
Series 2006-C4 Class AAB, 5.439% 9/15/39	6,232		6,484
Series 2006-C5 Class ASP, 0.8755% 12/15/39 (j)(l)	6,913		112
Series 2007-C5 Class A4, 5.695% 9/15/40 (j)	991		1,065
Credit Suisse First Boston Mortgage Capital Certificates floater Series 2007-TF2A Class B, 0.548% 4/15/22 (c)(j)	3,907		3,126
Credit Suisse First Boston Mortgage Securities Corp.:
sequential payer:
Series 2001-CK6 Class B, 6.582% 8/15/36	1,095		1,109
Series 2002-CP5 Class A1, 4.106% 12/15/35	40		40
Series 2004-C1:
Class A3, 4.321% 1/15/37	150		151
Class A4, 4.75% 1/15/37	510		540
Series 2001-CK6 Class AX, 1.1234% 8/15/36 (j)(l)	2,781		6
Series 2001-CKN5 Class AX, 2.1724% 9/15/34 (c)(j)(l)	5,886		10
Series 2006-C1 Class A3, 5.711% 2/15/39 (j)	5,781		6,106
Credit Suisse Mortgage Capital Certificates:
floater Series 2007-TFL1:
Class B, 0.348% 2/15/22 (c)(j)	414		377
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Credit Suisse Mortgage Capital Certificates: - continued
floater Series 2007-TFL1:
Class C:
0.368% 2/15/22 (c)(j)	$ 1,180		$ 1,062
0.468% 2/15/22 (c)(j)	421		362
Class F, 0.518% 2/15/22 (c)(j)	843		708
Series 2007-C1:
Class ASP, 0.61% 2/15/40 (j)(l)	21,431		225
Class B, 5.487% 2/15/40 (c)(j)	1,677		335
First Union National Bank-Bank of America Commercial Mortgage Trust Series 2001-C1:
Class D, 6.484% 3/15/33	375		375
Class G, 6.936% 3/15/33 (c)	903		897
GE Capital Commercial Mortgage Corp.:
sequential payer Series 2007-C1 Class A4, 5.543% 12/10/49	5,444		5,855
Series 2001-1 Class X1, 1.2156% 5/15/33 (c)(j)(l)	2,534		15
Series 2007-C1 Class XP, 0.3797% 12/10/49 (j)(l)	21,948		110
GMAC Commercial Mortgage Securities, Inc.:
Series 2004-C3 Class X2, 0.7915% 12/10/41 (j)(l)	4,597		12
Series 2005-C1 Class X2, 0.7311% 5/10/43 (j)(l)	5,224		31
Greenwich Capital Commercial Funding Corp.:
floater Series 2006-FL4 Class B, 0.3995% 11/5/21 (c)(j)	412		380
sequential payer:
Series 2007-GG11 Class A2, 5.597% 12/10/49	2,190		2,286
Series 2007-GG9 Class A4, 5.444% 3/10/39	3,184		3,448
Series 2005-GG3 Class XP, 0.6789% 8/10/42 (c)(j)(l)	22,962		105
Series 2006-GG7 Class A3, 5.881% 7/10/38 (j)	2,887		3,057
Series 2007-GG11 Class A1, 0.4589% 12/10/49 (c)(j)(l)	30,603		254
GS Mortgage Securities Corp. II:
floater:
Series 2006-FL8A:
Class C, 0.449% 6/6/20 (c)(j)	45		44
Class D, 0.489% 6/6/20 (c)(j)	261		246
Class E, 0.579% 6/6/20 (c)(j)	302		277
Class F, 0.649% 6/6/20 (c)(j)	528		480
Series 2007-EOP:
Class C, 2.1455% 3/6/20 (c)(j)	1,041		1,026
Class D, 2.3636% 3/6/20 (c)(j)	6,868		6,773
Class F, 2.8433% 3/6/20 (c)(j)	107		105
Class G, 3.0177% 3/6/20 (c)(j)	54		53
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
GS Mortgage Securities Corp. II: - continued
floater:
Series 2007-EOP:
Class H, 3.5846% 3/6/20 (c)(j)	$ 479		$ 475
Class J, 4.4568% 3/6/20 (c)(j)	686		683
sequential payer Series 2004-GG2 Class A4, 4.964% 8/10/38	339		342
Series 2005-GG4 Class XP, 0.7099% 7/10/39 (c)(j)(l)	24,991		171
GS Mortgage Securities Trust sequential payer:
Series 2006-GG8 Class A2, 5.479% 11/10/39	989		994
Series 2007-GG10 Class A2, 5.778% 8/10/45	504		516
JP Morgan Chase Commercial Mortgage Securities Trust Series 2005-CB13 Class E, 5.5268% 1/12/43 (c)(j)	694		72
JP Morgan Commercial Mortgage Finance Corp. Series 2000-C9 Class G, 6.25% 10/15/32 (c)	357		358
JPMorgan Chase Commercial Mortgage Securities Corp. Series 2006-LDP7 Class A4, 6.061% 4/15/45 (j)	2,953		3,299
JPMorgan Chase Commercial Mortgage Securities Trust:
floater Series 2006-FLA2:
Class B, 0.368% 11/15/18 (c)(j)	711		668
Class C, 0.408% 11/15/18 (c)(j)	505		470
Class D, 0.428% 11/15/18 (c)(j)	200		180
Class E, 0.478% 11/15/18 (c)(j)	288		262
Class F, 0.528% 11/15/18 (c)(j)	344		307
Class G, 0.558% 11/15/18 (c)(j)	300		258
Class H, 0.698% 11/15/18 (c)(j)	288		236
sequential payer:
Series 2006-LDP8 Class A4, 5.399% 5/15/45	698		762
Series 2006-LDP9:
Class A2, 5.134% 5/15/47 (j)	505		525
Class A3, 5.336% 5/15/47	457		493
Series 2007-CB19 Class A4, 5.9318% 2/12/49 (j)	3,840		4,231
Series 2007-CB20 Class A4, 5.794% 2/12/51	5,462		6,006
Series 2007-LD11 Class A2, 5.9901% 6/15/49 (j)	3,074		3,165
Series 2007-LDPX:
Class A2 S, 5.305% 1/15/49	2,481		2,520
Class A3, 5.42% 1/15/49	17,842		19,346
Series 2006-CB17 Class A3, 5.45% 12/12/43	312		321
Series 2007-CB19:
Class B, 5.9318% 2/12/49 (j)	93		69
Class C, 5.9318% 2/12/49 (j)	245		154
Class D, 5.9318% 2/12/49 (j)	257		129
Series 2007-LDP10 Class BS, 5.437% 1/15/49 (j)	209		121
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
JPMorgan Chase Commercial Mortgage Securities Trust: - continued
Series 2007-LDP10:
Class CS, 5.466% 1/15/49 (j)	$ 90		$ 41
Class ES, 5.7307% 1/15/49 (c)(j)	566		119
LB Commercial Conduit Mortgage Trust Series 1998-C1 Class D, 6.98% 2/18/30	285		285
LB-UBS Commercial Mortgage Trust:
sequential payer:
Series 2006-C1 Class A2, 5.084% 2/15/31	267		267
Series 2006-C6 Class A2, 5.262% 9/15/39 (j)	948		951
Series 2006-C7:
Class A1, 5.279% 11/15/38	15		15
Class A2, 5.3% 11/15/38	1,204		1,215
Class A3, 5.347% 11/15/38	816		889
Series 2007-C1:
Class A1, 5.391% 2/15/40 (j)	63		64
Class A4, 5.424% 2/15/40	6,667		7,277
Series 2007-C2 Class A3, 5.43% 2/15/40	1,996		2,163
Series 2001-C3 Class B, 6.512% 6/15/36	2,117		2,126
Series 2001-C7 Class D, 6.514% 11/15/33	1,204		1,220
Series 2005-C3 Class XCP, 0.9427% 7/15/40 (j)(l)	4,247		26
Series 2006-C6 Class XCP, 0.8631% 9/15/39 (j)(l)	6,323		95
Series 2007-C1 Class XCP, 0.6707% 2/15/40 (j)(l)	2,356		27
Series 2007-C6 Class A4, 5.858% 7/15/40 (j)	1,368		1,482
Series 2007-C7:
Class A3, 5.866% 9/15/45	1,162		1,283
Class XCP, 0.4375% 9/15/45 (j)(l)	102,957		958
Lehman Brothers Floating Rate Commercial Mortgage Trust floater Series 2006-LLFA:
Class D, 0.428% 9/15/21 (c)(j)	351		320
Class E, 0.488% 9/15/21 (c)(j)	1,265		1,126
Class F, 0.538% 9/15/21 (c)(j)	723		622
Class G, 0.558% 9/15/21 (c)(j)	1,429		1,172
Class H, 0.598% 9/15/21 (c)(j)	369		291
Lehman Large Loan Trust Series 1997-LLI Class E, 7.3% 10/12/34	1,943		1,971
Merrill Lynch Mortgage Trust:
sequential payer Series 2005-CIP1 Class A2, 4.96% 7/12/38	2,523		2,545
Series 2005-CKI1 Class A3, 5.3967% 11/12/37 (j)	858		875
Series 2005-LC1 Class F, 5.5633% 1/12/44 (c)(j)	953		507
Series 2006-C1 Class A2, 5.8093% 5/12/39 (j)	1,077		1,109
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Merrill Lynch Mortgage Trust: - continued
Series 2007-C1 Class A4, 6.02% 6/12/50 (j)	$ 4,145		$ 4,576
Series 2008-C1 Class A4, 5.69% 2/12/51	2,338		2,573
Merrill Lynch-CFC Commercial Mortgage Trust:
floater Series 2006-4 Class A2FL, 0.3465% 12/12/49 (j)	489		479
sequential payer:
Series 2006-1 CLass A3, 5.4822% 2/12/39 (j)	1,165		1,201
Series 2006-4 Class ASB, 5.133% 12/12/49 (j)	941		1,000
Series 2007-5:
Class A3, 5.364% 8/12/48	427		440
Class A4, 5.378% 8/12/48	55		59
Class B, 5.479% 8/12/48	3,285		1,520
Series 2007-6:
Class A1, 5.175% 3/12/51	25		25
Class A4, 5.485% 3/12/51 (j)	2,594		2,797
Series 2007-7 Class A4, 5.81% 6/12/50 (j)	3,832		4,150
Series 2007-8 Class A1, 4.622% 8/12/49	130		131
Series 2006-4 Class XP, 0.829% 12/12/49 (j)(l)	23,869		420
Series 2007-6 Class B, 5.635% 3/12/51 (j)	1,095		560
Series 2007-7 Class B, 5.9352% 6/12/50 (j)	1,409		394
Series 2007-8 Class A3, 6.1636% 8/12/49 (j)	944		1,040
Morgan Stanley Capital I Trust:
floater:
Series 2006-XLF Class C, 1.398% 7/15/19 (c)(j)	227		113
Series 2007-XCLA Class A1, 0.398% 7/17/17 (c)(j)	872		802
Series 2007-XLFA:
Class C, 0.358% 10/15/20 (c)(j)	629		586
Class D, 0.388% 10/15/20 (c)(j)	422		380
Class E, 0.448% 10/15/20 (c)(j)	528		469
Class F, 0.498% 10/15/20 (c)(j)	397		346
Class G, 0.538% 10/15/20 (c)(j)	491		391
Class H, 0.628% 10/15/20 (c)(j)	309		222
Class J, 0.778% 10/15/20 (c)(j)	353		186
Class MHRO, 0.888% 10/15/20 (c)(j)	417		358
Class MJPM, 1.198% 10/15/20 (c)(j)	25		23
Class NHRO, 1.088% 10/15/20 (c)(j)	503		412
sequential payer:
Series 2003-IQ5 Class X2, 1.0242% 4/15/38 (c)(j)(l)	3,689		9
Series 2005-IQ9 Class A3, 4.54% 7/15/56	1,626		1,665
Series 2007-HQ11:
Class A1, 5.246% 2/12/44	52		52
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Morgan Stanley Capital I Trust: - continued
sequential payer:
Series 2007-HQ11:
Class A31, 5.439% 2/12/44 (j)	$ 8,687		$ 9,027
Series 2007-IQ13 Class A1, 5.05% 3/15/44	140		141
Series 2007-IQ15 Class A4, 5.8785% 6/11/49 (j)	4,988		5,507
Series 2007-T25 Class A1, 5.391% 11/12/49	97		98
Series 2007-T27 Class A4, 5.7946% 6/11/42 (j)	4,010		4,507
Series 2003-IQ6 Class X2, 0.7293% 12/15/41 (c)(j)(l)	8,119		26
Series 2005-IQ9 Class X2, 1.2137% 7/15/56 (c)(j)(l)	14,512		97
Series 2006-HQ10 Class X2, 0.6882% 11/12/41 (c)(j)(l)	5,430		43
Series 2006-HQ8 Class A3, 5.6465% 3/12/44 (j)	691		698
Series 2006-IQ11 Class A4, 5.8976% 10/15/42 (j)	329		365
Series 2006-T23 Class A3, 5.9755% 8/12/41 (j)	559		601
Series 2007-HQ12 Class A4, 5.7773% 4/12/49 (j)	5,793		6,045
Series 2007-IQ14:
Class A4, 5.692% 4/15/49 (j)	1,642		1,774
Class AAB, 5.654% 4/15/49	2,402		2,550
Class B, 5.9112% 4/15/49 (j)	269		151
Structured Asset Securities Corp. Series 1997-LLI Class D, 7.15% 10/12/34	89		90
Wachovia Bank Commercial Mortgage Trust:
floater:
Series 2005-WL5A Class K, 1.398% 1/15/18 (c)(j)	809		776
Series 2006-WL7A:
Class E, 0.4771% 9/15/21 (c)(j)	1,099		936
Class F, 0.5371% 8/11/18 (c)(j)	1,189		970
Class G, 0.5571% 8/11/18 (c)(j)	1,126		764
Class J, 0.7971% 8/11/18 (c)(j)	314		171
Series 2007-WHL8:
Class AP1, 0.898% 6/15/20 (c)(j)	105		79
Class AP2, 0.998% 6/15/20 (c)(j)	175		122
Class F, 0.678% 6/15/20 (c)(j)	2,710		2,222
Class LXR1, 0.898% 6/15/20 (c)(j)	169		143
sequential payer:
Series 2003-C7 Class A1, 4.241% 10/15/35 (c)	1,330		1,338
Series 2006-C27 Class A2, 5.624% 7/15/45	824		827
Series 2006-C28 Class A4, 5.572% 10/15/48	5,427		5,930
Series 2006-C29:
Class A1, 5.11% 11/15/48	69		69
Class A3, 5.313% 11/15/48	2,908		3,130
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Wachovia Bank Commercial Mortgage Trust: - continued
sequential payer:
Series 2007-C30:
Class A3, 5.246% 12/15/43	$ 940		$ 963
Class A4, 5.305% 12/15/43	322		332
Class A5, 5.342% 12/15/43	1,172		1,242
Series 2007-C31 Class A4, 5.509% 4/15/47	2,475		2,628
Series 2007-C32:
Class A2, 5.9267% 6/15/49 (j)	1,224		1,275
Class A3, 5.9317% 6/15/49 (j)	15,651		16,922
Series 2003-C6 Class G, 5.125% 8/15/35 (c)(j)	652		655
Series 2004-C15:
Class 180A, 5.5782% 10/15/41 (c)(j)	1,055		1,058
Class 180B, 5.5782% 10/15/41 (c)(j)	480		480
Series 2005-C19 Class B, 4.892% 5/15/44	1,095		1,034
Series 2005-C22:
Class B, 5.5358% 12/15/44 (j)	2,428		2,226
Class F, 5.5358% 12/15/44 (c)(j)	1,826		1,074
Series 2007-C30:
Class C, 5.483% 12/15/43 (j)	3,285		1,774
Class D, 5.513% 12/15/43 (j)	1,752		738
Class XP, 0.6357% 12/15/43 (c)(j)(l)	14,659		166
Series 2007-C31 Class C, 5.8836% 4/15/47 (j)	4,515		2,403
Series 2007-C31A Class A2, 5.421% 4/15/47	3,482		3,632
Series 2007-C32:
Class D, 5.9317% 6/15/49 (j)	823		393
Class E, 5.9317% 6/15/49 (j)	1,297		464
Wachovia Bank Commercial Mortgage Trust pass-thru certificates sequential payer Series 2007-C33 Class A5, 6.0966% 2/15/51 (j)	12,495		13,616
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $326,382)		406,370
Municipal Securities - 0.4%
Beaver County Indl. Dev. Auth. Poll. Cont. Rev. Bonds (FirstEnergy Nuclear Generation Corp. Proj.) Series 2005 A, 3.375%, tender 7/1/15 (j)	1,835		1,826
California Gen. Oblig.:
7.5% 4/1/34	6,295		7,332
7.55% 4/1/39	4,599		5,419
Illinois Gen. Oblig.:
5.665% 3/1/18	3,235		3,412
5.877% 3/1/19	2,885		3,029
TOTAL MUNICIPAL SECURITIES (Cost $18,909)		21,018
Foreign Government and Government Agency Obligations - 0.1%
	Principal Amount (000s)		Value (000s)
United Mexican States 6.05% 1/11/40 (Cost $3,523)	$ 3,476		$ 3,693
Supranational Obligations - 0.0%
Corporacion Andina de Fomento 5.2% 5/21/13 (Cost $410)	412		440

Fixed-Income Funds - 17.3%
	Shares
Fidelity Mortgage Backed Securities Central Fund (k)	6,821,842		727,072
Fidelity Specialized High Income Central Fund (k)	1,233,173		126,363
TOTAL FIXED-INCOME FUNDS (Cost $806,828)		853,435
Cash Equivalents - 2.2%
	Maturity Amount (000s)
Investments in repurchase agreements in a joint trading account at 0.14%, dated 5/31/11 due 6/1/11 (Collateralized by U.S. Government Obligations) # (Cost $107,897)	$ 107,897		107,897
TOTAL INVESTMENT PORTFOLIO - 107.5% (Cost $5,041,916)			5,300,748
NET OTHER ASSETS (LIABILITIES) - (7.5)%			(369,821)
NET ASSETS - 100%		$ 4,930,927

Swap Agreements
	Expiration Date	Notional Amount (000s)
Credit Default Swaps
Receive from Credit Suisse First Boston, upon credit event of UFJ Finance Aruba AEC, par value of the notional amount of UFJ Finance Aruba AEC 6.75% 7/15/13, and pay quarterly notional amount multiplied by 1% (Rating-Aa3) (Upfront Premium Received/(Paid) ($177,000)) (h)	March 2018	$ 5,500	296
Swap Agreements - continued
	Expiration Date	Notional Amount (000s)	Value (000s)
Credit Default Swaps - continued
Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to Credit Suisse First Boston upon each credit event of one of the issues of ABX AA 07-01 Index, par value of the proportional notional amount (Rating-C) (Upfront Premium Received/(Paid) $2,116,000) (i)	Sept. 2037	$ 5,788	$ (5,408)
Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to Credit Suisse First Boston upon each credit event of one of the issues of ABX AA 07-01 Index, par value of the proportional notional amount (Rating-C) (Upfront Premium Received/(Paid) $5,250,000) (i)	Sept. 2037	15,728	(14,696)
Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to JPMorgan Chase, Inc. upon each credit event of one of the issues of ABX AA 07-01 Index, par value of the proportional notional amount (Rating-C) (Upfront Premium Received/(Paid) $1,302,000) (i)	Sept. 2037	3,523	(3,292)
Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to JPMorgan Chase, Inc. upon each credit event of one of the issues of ABX AA 07-01 Index, par value of the proportional notional amount (Rating-C) (Upfront Premium Received/(Paid) $4,231,000) (i)	Sept. 2037	11,765	(10,992)
Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to Morgan Stanley, Inc. upon each credit event of one of the issues of ABX AA 07-01 Index, par value of the proportional notional amount (Rating-C) (Upfront Premium Received/(Paid) $2,754,000) (i)	Sept. 2037	6,417	(5,996)
Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to UBS upon each credit event of one of the issues of ABX AA 07-1 Index, par value of the proportional notional amount (Rating-C) (Upfront Premium Received/(Paid) $3,716,000) (i)	Sept. 2037	10,506	(9,817)
Swap Agreements - continued
	Expiration Date	Notional Amount (000s)	Value (000s)
Credit Default Swaps - continued
Receive monthly notional amount multiplied by .82% and pay UBS upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC6 Class M3, 5.6413% 7/25/34 (Rating-Ca) (h)	August 2034	$ 561	$ (311)
Receive monthly notional amount multiplied by .85% and pay UBS upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC8 Class M6, 5.4413% 9/25/34 (Rating-Ca) (h)	Oct. 2034	554	(231)
Receive monthly notional amount multiplied by 2.54% and pay Merrill Lynch upon credit event of Countrywide Home Loans, Inc., par value of the notional amount of Countrywide Home Loans, Inc. Series 2003-BC1 Class B1, 7.6913% 3/25/32 (Rating-Ca) (h)	April 2032	186	(109)
Receive monthly notional amount multiplied by 2.61% and pay Goldman Sachs upon credit event of Fremont Home Loan Trust, par value of the notional amount of Fremont Home Loan Trust Series 2004-A Class B3, 7.0413% 1/25/34 (Rating-C) (h)	Feb. 2034	4	(3)
Receive monthly notional amount multiplied by 3.05% and pay Merrill Lynch upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC8, Class B3, 7.2913% 9/25/34 (Rating-Ca) (h)	Oct. 2034	731	(276)
Swap Agreements - continued
	Expiration Date	Notional Amount (000s)	Value (000s)
Credit Default Swaps - continued
Receive monthly notional amount multiplied by 3.35% and pay Morgan Stanley, Inc. upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-HE7, Class B3, 9.01% 8/25/34 (Rating-C) (h)	Sept. 2034	$ 550	$ (415)
Receive quarterly notional amount multiplied by 4% and pay Morgan Stanley, Inc. upon credit event of Developers Diversified Realty Corp., par value of the notional amount of Developers Diversified Realty Corp. 5.375% 10/15/12 (Rating-Baa3) (h)	March 2013	13,500	897
TOTAL CREDIT DEFAULT SWAPS		$ 75,313	$ (50,353)
Interest Rate Swaps
Receive quarterly a floating rate based on 3-month LIBOR and pay semi-annually a fixed rate equal to 4.5176% with JPMorgan Chase, Inc.	Feb. 2041	52,089	(5,803)
		$ 127,402	$ (56,156)

Legend

(a) Non-income producing - Security is in default.

(b) Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end.

(c) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $314,127,000 or 6.4% of net assets.

(d) Security is perpetual in nature with no stated maturity date.

(e) Security or a portion of the security purchased on a delayed delivery or when-issued basis.

(f) A portion of the security is subject to a forward commitment to sell.

(g) Security or a portion of the security has been segregated as collateral for open swap agreements. At the period end, the value of securities pledged amounted to $60,694,000.

(h) Represents a credit default swap contract in which the Fund has sold protection on the underlying reference entity. The value of each credit default swap and the credit rating can be measures of the current payment/performance risk. For the underlying reference entity, ratings disclosed are from Moody's Investors Service, Inc. Where Moody's ratings are not available, S&P ratings are disclosed and are indicated as such. All ratings are as of the report date and do not reflect subsequent changes. Where a credit rating is not disclosed, the value is used as the measure of the payment/performance risk.

(i) Represents a credit default swap based on a tradable index of home equity asset-backed debt securities. The value of each credit default swap and the credit rating can be measures of the current payment/performance risk. In addition, the swap represents a contract in which the Fund has sold protection on the index of underlying securities. Ratings represent a weighted average of the ratings of all securities included in the index. Ratings used in the weighted average are from Moody's Investors Service, Inc., or S&P where Moody's ratings are not available. All ratings are as of the report date and do not reflect subsequent changes.

(j) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.

(k) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. A complete unaudited schedule of portfolio holdings for each Fidelity Central Fund is filed with the SEC for the first and third quarters of each fiscal year on Form N-Q and is available upon request or at the SEC's web site at www.sec.gov. An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro rata share of 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. In addition, each Fidelity Central Fund's financial statements are available on the SEC's web site or upon request.

(l) Security represents right to receive monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool held as of the end of the period.

* Amount represents less than $1,000.

Quarterly Report

Investments (Unaudited) - continued

# Additional information on each counterparty to the repurchase agreement is as follows:

Repurchase Agreement / Counterparty	Value (Amounts in thousands)
$107,897,000 due 6/01/11 at 0.14%
Goldman, Sachs & Co.	$ 3,241
HSBC Securities (USA), Inc.	19,445
Merrill Lynch, Pierce, Fenner & Smith, Inc.	5,119
Mizuho Securities USA, Inc.	58,336
Societe Generale	6,161
Wells Fargo Securities LLC	15,595
	$ 107,897

Affiliated Central Funds

Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows:

Fund	Income earned (Amounts in thousands)
Fidelity Mortgage Backed Securities Central Fund	$ 19,155
Fidelity Specialized High Income Central Fund	7,081
Total	$ 26,236

Additional information regarding the Fund's fiscal year to date purchases and sales, including the ownership percentage, of the non Money Market Central Funds is as follows:

Fund (Amounts in thousands)	Value, beginning of period	Purchases	Sales Proceeds*	Value, end of period	% ownership, end of period
Fidelity Mortgage Backed Securities Central Fund	$ 885,153	$ 17,790	$ 178,562	$ 727,072	6.4%
Fidelity Specialized High Income Central Fund	143,843	6,443	30,782	126,363	28.1%
Total	$ 1,028,996	$ 24,233	$ 209,344	$ 853,435

* Includes the value of shares redeemed through in-kind transactions.

Other Information

The following is a summary of the inputs used, as of May 31, 2011, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the tables below, please refer to the Investment Valuation section at the end of this listing.

Valuation Inputs at Reporting Date:
Description (Amounts in thousands)	Total	Level 1	Level 2	Level 3
Investments in Securities:
Corporate Bonds	$ 1,059,529	$ -	$ 1,059,529	$ -
U.S. Government and Government Agency Obligations	1,580,177	-	1,580,177	-
U.S. Government Agency - Mortgage Securities	1,131,764	-	1,131,764	-
Asset-Backed Securities	68,917	-	57,192	11,725
Collateralized Mortgage Obligations	67,508	-	62,300	5,208
Commercial Mortgage Securities	406,370	-	370,962	35,408
Municipal Securities	21,018	-	21,018	-
Foreign Government and Government Agency Obligations	3,693	-	3,693	-
Supranational Obligations	440	-	440	-
Fixed-Income Funds	853,435	853,435	-	-
Cash Equivalents	107,897	-	107,897	-
Total Investments in Securities:	$ 5,300,748	$ 853,435	$ 4,394,972	$ 52,341
Derivative Instruments:
Assets
Swap Agreements	$ 1,193	$ -	$ 1,193	$ -
Liabilities
Swap Agreements	$ (57,349)	$ -	$ (56,003)	$ (1,346)
Total Derivative Instruments:	$ (56,156)	$ -	$ (54,810)	$ (1,346)
Other Financial Instruments:
Forward Commitments	$ (936)	$ -	$ (936)	$ -

The following is a reconciliation of Investments in Securities and Derivative Instruments for which Level 3 inputs were used in determining value:

(Amounts in thousands)
Investments in Securities:
Beginning Balance	$ 68,258
Total Realized Gain (Loss)	(1,594)
Total Unrealized Gain (Loss)	18,757
Cost of Purchases	5,600
Proceeds of Sales	(19,389)
Amortization/Accretion	(255)
Transfers in to Level 3	7,435
Transfers out of Level 3	(26,471)
Ending Balance	$ 52,341
The change in unrealized gain (loss) for the period attributable to Level 3 securities held at May 31, 2011	$ 18,640
Derivative Instruments:
Swap Agreements
Beginning Balance	$ (1,687)
Total Unrealized Gain (Loss)	341
Transfers in to Level 3	-
Transfers out of Level 3	-
Ending Balance	$ (1,346)
Realized gain (loss) on Swap Agreements for the period	$ 55
The change in unrealized gain (loss) for the period attributable to Level 3 Swap Agreements held at May 31, 2011	$ 341

The information used in the above reconciliation represents fiscal year to date activity for any Investments in Securities and Derivative Instruments identified as using Level 3 inputs at either the beginning or the end of the current fiscal period and includes the value of securities delivered through affiliated in-kind transactions. Transfers in or out of Level 3 represent the beginning value of any Security or Instrument where a change in the pricing level occurred from the beginning to the end of the period. The cost of purchases and the proceeds of sales may include securities received or delivered through corporate actions or exchanges.

Income Tax Information

At May 31, 2011, the cost of investment securities for income tax purposes was $5,123,306,000. Net unrealized appreciation aggregated $177,442,000, of which $219,537,000 related to appreciated investment securities and $42,095,000 related to depreciated investment securities.

Investment Valuation

Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Security transactions are accounted for as of trade date. The Fund uses independent pricing services approved by the Board of Trustees to value its investments. When current market prices or quotations are not readily available or reliable, valuations may be determined in good faith in accordance with procedures adopted by the Board of Trustees. Factors used in determining value may include market or security specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The value used for net asset value calculation under these procedures may differ from published prices for the same securities. The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels: Level 1 - quoted prices in active markets for identical investments. Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds etc.). Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available). Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. Valuation techniques used to value the Fund's investments by major category are as follows:

Debt securities, including restricted securities, are valued based on evaluated prices received from independent pricing services or from dealers who make markets in such securities. For corporate bonds, foreign government and government agency obligations, municipal securities, supranational obligations and U.S. government and government agency obligations, pricing services utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices and are generally categorized as Level 2 in the hierarchy.

For asset backed securities, collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities, pricing services utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices and, accordingly, such securities are generally categorized as Level 2 in the hierarchy. Short-term securities with remaining maturities of sixty days or less may be valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy. Swaps are marked-to-market daily based on valuations from independent pricing services or dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Pricing services utilize matrix pricing which considers comparisons to interest rate curves, credit spread curves, default possibilities and recovery rates and, as a result, swaps are generally categorized as Level 2 in the hierarchy. When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing matrices which consider similar factors that would be used by independent pricing services. These are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day and are categorized as Level 1 in the hierarchy.

For additional information on the Fund's policy regarding valuation of investments and other significant accounting policies, please refer to the Fund's most recent semiannual or annual shareholder report.

Credit Default Swap Agreements

The Fund entered into credit default swaps, which are agreements with a counterparty that enable the Fund to buy or sell protection on a debt security or a basket of securities against a defined credit event. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller acts as a guarantor of the creditworthiness of a reference obligation. The Fund enters into credit default swaps as a seller to gain credit exposure to an issuer and/or as a buyer to provide a measure of protection against defaults of an issuer. The issuer may be either a single issuer or a basket of issuers. Periodic payments are made over the life of the contract provided that no credit event occurs.

For credit default swaps on most corporate and sovereign issuers, credit events include bankruptcy, failure to pay, obligation acceleration or repudiation/moratorium. For credit default swaps on corporate or sovereign issuers, the obligation that may be put to the seller is not limited to the specific reference obligation described. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swaps on asset-backed securities, the reference obligation described represents the security that may be put to the seller.

As a seller, if an underlying credit event occurs, the Fund will either pay the buyer an amount equal to the notional amount of the swap and take delivery of the reference obligation or underlying securities comprising an index or pay a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. As a buyer, if an underlying credit event occurs, the Fund will either receive from the seller an amount equal to the notional amount of the swap and deliver the reference obligation or underlying securities comprising an index or receive a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index.

Credit default swaps are marked-to-market daily and changes in value are recorded as unrealized appreciation or (depreciation). Any upfront premiums paid or received upon entering a swap to compensate for differences between stated terms of the agreement and prevailing market conditions (e.g. credit spreads, interest rates or other factors) are recorded as realized gain or (loss) ratably over the term of the swap. Payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gain or (loss). Realized gain or (loss) is also recorded in the event of an early termination of a swap.

The Fund is exposed to additional risks from investing in credit default swaps, such as liquidity risk and counterparty risk. Liquidity risk is the risk that the Fund will be unable to sell a credit default swaps in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. Counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. The Fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association (ISDA) Master Agreement on a bilateral basis with each of its counterparties. The ISDA Master Agreement gives the Fund the right to terminate all transactions traded under such agreement if there is a certain deterioration in the credit quality of the counterparty. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk, the Fund offsets certain payables and/or receivables with collateral. Collateral, in the form of cash or securities, may be required to be held in segregated accounts with the Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the swap counterparty and the Fund's custodian bank and, if required, is identified. The Fund could experience delays and costs in gaining access to the collateral even though it is held by the Fund's custodian bank. The Fund's maximum risk of loss from counterparty credit risk is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to the Fund.

Typically, the value of each credit default swap and credit rating disclosed for each reference obligation, where the Fund is the seller, can be used as measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. In addition to these measures, FMR monitors a variety of factors including cash flow assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/performance risk.

The notional amount of credit default swaps approximates the maximum potential amount of future payments that the Fund could be required to make if the Fund is the seller and a credit event were to occur. The total notional amount of all credit default swaps open at period end where the Fund is the seller amounted to $69,813,000 representing 1.4% of net assets.

Credit Risk

The Fund invests a portion of its assets in structured securities of issuers backed by residential mortgage loans, credit card receivables and automotive loans. The value and related income of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults.

Quarterly Report

The fund's schedule of investments as of the date on the cover of this report has not been audited. This report is provided for the general information of the fund's shareholders. For more information regarding the fund and its holdings, please visit advisor.fidelity.com or call Fidelity at 1-877-208-0098 for a free copy of the fund's most recent prospectus and annual report.

Third party trademarks and service marks are the property of their respective owners. All other trademarks and service marks are the property of FMR LLC

or an affiliate.

Quarterly Report

Quarterly Holdings Report

for

Fidelity ® Investment Grade Bond Fund

May 31, 2011

1.804978.107

IGB-QTLY-0711

Investments May 31, 2011 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 21.5%
	Principal Amount (000s)		Value (000s)
CONSUMER DISCRETIONARY - 1.7%
Household Durables - 0.3%
Fortune Brands, Inc.:
5.375% 1/15/16	$ 2,596		$ 2,820
5.875% 1/15/36	3,062		2,963
6.375% 6/15/14	7,614		8,492
			14,275
Media - 1.4%
Comcast Corp.:
5.7% 5/15/18	6,385		7,152
6.55% 7/1/39	4,789		5,294
Discovery Communications LLC:
3.7% 6/1/15	3,783		3,988
6.35% 6/1/40	3,458		3,729
Liberty Media Corp. 8.25% 2/1/30	2,435		2,371
NBC Universal, Inc.:
3.65% 4/30/15 (c)	4,134		4,347
5.15% 4/30/20 (c)	5,465		5,814
6.4% 4/30/40 (c)	5,000		5,433
News America Holdings, Inc. 7.75% 12/1/45	2,832		3,458
Time Warner Cable, Inc.:
5.85% 5/1/17	12,691		14,200
6.75% 7/1/18	5,587		6,495
Time Warner, Inc. 6.2% 3/15/40	5,000		5,210
			67,491
TOTAL CONSUMER DISCRETIONARY			81,766
CONSUMER STAPLES - 1.2%
Beverages - 0.1%
FBG Finance Ltd. 5.125% 6/15/15 (c)	5,189		5,669
Food & Staples Retailing - 0.1%
CVS Caremark Corp.:
4.125% 5/15/21	4,994		4,912
6.302% 6/1/37 (j)	1,442		1,428
			6,340
Food Products - 0.3%
Kraft Foods, Inc.:
6.5% 8/11/17	4,718		5,541
6.875% 2/1/38	5,289		6,192
			11,733
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
CONSUMER STAPLES - continued
Tobacco - 0.7%
Altria Group, Inc.:
9.25% 8/6/19	$ 5,257		$ 6,944
9.7% 11/10/18	5,570		7,439
Reynolds American, Inc.:
6.75% 6/15/17	7,156		8,370
7.25% 6/15/37	9,654		10,793
			33,546
TOTAL CONSUMER STAPLES			57,288
ENERGY - 1.8%
Energy Equipment & Services - 0.2%
DCP Midstream LLC 5.35% 3/15/20 (c)	4,973		5,313
El Paso Pipeline Partners Operating Co. LLC 4.1% 11/15/15	6,122		6,417
Weatherford International Ltd. 5.15% 3/15/13	976		1,037
			12,767
Oil, Gas & Consumable Fuels - 1.6%
Anadarko Petroleum Corp. 6.375% 9/15/17	9,817		11,287
Kaneb Pipe Line Operations Participation LP 7.75% 2/15/12	6,497		6,754
Marathon Petroleum Corp. 5.125% 3/1/21 (c)	3,437		3,585
Nakilat, Inc. 6.067% 12/31/33 (c)	2,634		2,674
Nexen, Inc. 6.4% 5/15/37	8,585		8,878
Petro-Canada 6.05% 5/15/18	1,963		2,253
Petrobras International Finance Co. Ltd.:
3.875% 1/27/16	5,695		5,828
5.75% 1/20/20	16,071		17,045
6.875% 1/20/40	3,862		4,190
Ras Laffan Liquefied Natural Gas Co. Ltd. III:
4.5% 9/30/12 (c)	2,794		2,899
5.5% 9/30/14 (c)	3,906		4,258
6.75% 9/30/19 (c)	2,556		2,933
Western Gas Partners LP 5.375% 6/1/21	4,907		5,074
			77,658
TOTAL ENERGY			90,425
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - 12.4%
Capital Markets - 1.8%
Goldman Sachs Group, Inc.:
5.95% 1/18/18	$ 4,817		$ 5,218
6% 6/15/20	2,500		2,687
6.15% 4/1/18	4,469		4,900
6.25% 2/1/41	4,212		4,257
6.75% 10/1/37	4,560		4,582
Janus Capital Group, Inc. 5.875% 9/15/11 (b)	2,730		2,755
JPMorgan Chase Capital XVII 5.85% 8/1/35	1,820		1,842
JPMorgan Chase Capital XX 6.55% 9/29/36	7,448		7,638
Lazard Group LLC:
6.85% 6/15/17	2,464		2,758
7.125% 5/15/15	7,737		8,719
Morgan Stanley:
4.1% 1/26/15	5,004		5,213
4.75% 4/1/14	1,376		1,451
5.45% 1/9/17	5,100		5,499
6% 5/13/14	5,474		6,009
6.625% 4/1/18	7,981		8,984
7.3% 5/13/19	4,777		5,501
UBS AG Stamford Branch 3.875% 1/15/15	8,300		8,768
			86,781
Commercial Banks - 2.4%
Bank of America NA 5.3% 3/15/17	6,133		6,485
BB&T Capital Trust IV 6.82% 6/12/77 (j)	583		596
Credit Suisse (Guernsey) Ltd. 5.86% (d)(j)	6,365		6,190
Credit Suisse New York Branch 6% 2/15/18	8,405		9,251
DBS Bank Ltd. (Singapore) 0.4808% 5/16/17 (c)(j)	1,517		1,498
Discover Bank:
7% 4/15/20	2,536		2,891
8.7% 11/18/19	5,944		7,416
Export-Import Bank of Korea 5.25% 2/10/14 (c)	3,402		3,660
Fifth Third Bancorp:
3.625% 1/25/16	3,326		3,402
4.5% 6/1/18	2,054		2,050
8.25% 3/1/38	2,385		2,975
Fifth Third Bank 4.75% 2/1/15	949		1,009
Fifth Third Capital Trust IV 6.5% 4/15/67 (j)	2,462		2,444
HBOS PLC 6.75% 5/21/18 (c)	3,056		3,084
Huntington Bancshares, Inc. 7% 12/15/20	1,597		1,841
JPMorgan Chase Bank 6% 10/1/17	5,986		6,730
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Commercial Banks - continued
KeyBank NA:
5.45% 3/3/16	$ 2,190		$ 2,392
5.8% 7/1/14	4,173		4,596
6.95% 2/1/28	1,344		1,523
KeyCorp. 5.1% 3/24/21	2,442		2,542
Korea Development Bank 5.75% 9/10/13	3,220		3,497
Manufacturers & Traders Trust Co. 1.8045% 4/1/13 (j)	572		572
Marshall & Ilsley Bank:
4.85% 6/16/15	2,284		2,468
5% 1/17/17	3,713		4,040
5.25% 9/4/12	1,692		1,761
6.375% 9/1/11	6,820		6,892
Regions Bank:
6.45% 6/26/37	8,147		7,608
7.5% 5/15/18	3,713		4,019
Regions Financial Corp.:
5.75% 6/15/15	1,094		1,119
7.75% 11/10/14	4,705		5,158
SunTrust Banks, Inc. 3.6% 4/15/16	4,164		4,263
Wachovia Corp. 4.875% 2/15/14	4,283		4,611
			118,583
Consumer Finance - 0.2%
Discover Financial Services 10.25% 7/15/19	3,781		5,042
SLM Corp.:
0.5038% 10/25/11 (j)	1,848		1,843
0.5738% 1/27/14 (j)	1,055		1,005
5% 10/1/13	391		407
			8,297
Diversified Financial Services - 2.4%
Bank of America Corp. 5.75% 12/1/17	12,613		13,679
BP Capital Markets PLC:
3.125% 10/1/15	5,742		5,881
3.625% 5/8/14	5,058		5,322
4.742% 3/11/21	4,290		4,439
Capital One Capital V 10.25% 8/15/39	2,114		2,249
Citigroup, Inc.:
5.5% 4/11/13	20,020		21,414
6.125% 5/15/18	17,793		19,849
6.5% 8/19/13	1,317		1,448
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Diversified Financial Services - continued
JPMorgan Chase & Co.:
4.625% 5/10/21	$ 11,000		$ 11,039
4.95% 3/25/20	8,888		9,268
Prime Property Funding, Inc.:
5.125% 6/1/15 (c)	6,138		6,428
5.35% 4/15/12 (c)	1,530		1,570
5.5% 1/15/14 (c)	4,505		4,849
TECO Finance, Inc.:
4% 3/15/16	1,439		1,507
5.15% 3/15/20	2,067		2,217
ZFS Finance USA Trust II 6.45% 12/15/65 (c)(j)	3,532		3,691
ZFS Finance USA Trust IV 5.875% 5/9/62 (c)(j)	1,161		1,173
ZFS Finance USA Trust V 6.5% 5/9/67 (c)(j)	2,033		2,099
			118,122
Insurance - 1.9%
Aon Corp.:
3.125% 5/27/16	2,379		2,391
3.5% 9/30/15	2,336		2,412
5% 9/30/20	2,730		2,826
6.25% 9/30/40	1,748		1,882
Assurant, Inc. 5.625% 2/15/14	4,022		4,320
Axis Capital Holdings Ltd. 5.75% 12/1/14	6,279		6,832
Great-West Life & Annuity Insurance Co. 7.153% 5/16/46 (c)(j)	10,398		10,918
Liberty Mutual Group, Inc.:
5% 6/1/21 (c)	4,901		4,818
6.7% 8/15/16 (c)	7,459		8,272
10.75% 6/15/88 (c)(j)	4,022		5,450
Lincoln National Corp. 7% 5/17/66 (j)	1,136		1,164
Massachusetts Mutual Life Insurance Co. 8.875% 6/1/39 (c)	2,269		3,271
MetLife, Inc. 6.75% 6/1/16	4,485		5,298
Metropolitan Life Global Funding I:
5.125% 4/10/13 (c)	5,619		5,998
5.125% 6/10/14 (c)	3,959		4,335
Monumental Global Funding II 5.65% 7/14/11 (c)	3,801		3,817
Pacific Life Global Funding 5.15% 4/15/13 (c)	4,733		5,033
Pacific Life Insurance Co. 9.25% 6/15/39 (c)	4,357		5,943
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Insurance - continued
Symetra Financial Corp. 6.125% 4/1/16 (c)	$ 4,900		$ 5,147
Unum Group 5.625% 9/15/20	3,183		3,377
			93,504
Real Estate Investment Trusts - 1.1%
AvalonBay Communities, Inc.:
5.5% 1/15/12	770		792
6.125% 11/1/12	1,160		1,242
Camden Property Trust:
5.375% 12/15/13	1,818		1,958
5.875% 11/30/12	687		728
Developers Diversified Realty Corp.:
4.75% 4/15/18	2,631		2,630
5.375% 10/15/12	4,283		4,437
7.5% 4/1/17	2,623		3,047
9.625% 3/15/16	3,987		4,905
Duke Realty LP:
4.625% 5/15/13	317		333
5.875% 8/15/12	571		601
Equity One, Inc.:
6% 9/15/17	3,250		3,480
6.25% 12/15/14	2,985		3,273
6.25% 1/15/17	2,136		2,318
Federal Realty Investment Trust:
5.4% 12/1/13	2,627		2,842
5.9% 4/1/20	1,389		1,543
6% 7/15/12	1,579		1,661
6.2% 1/15/17	1,215		1,384
HRPT Properties Trust:
5.75% 11/1/15	1,378		1,490
6.65% 1/15/18	3,200		3,611
UDR, Inc. 5.5% 4/1/14	6,383		6,825
United Dominion Realty Trust, Inc. 5.25% 1/15/15	1,736		1,863
Washington (REIT) 5.95% 6/15/11	5,055		5,062
			56,025
Real Estate Management & Development - 2.4%
AMB Property LP:
5.9% 8/15/13	4,537		4,815
6.3% 6/1/13	4,607		4,967
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Real Estate Management & Development - continued
BioMed Realty LP:
3.85% 4/15/16	$ 5,000		$ 5,070
6.125% 4/15/20	1,872		2,025
Brandywine Operating Partnership LP:
5.7% 5/1/17	2,243		2,435
5.75% 4/1/12	3,189		3,306
Colonial Properties Trust:
5.5% 10/1/15	5,995		6,246
6.875% 8/15/12	3,309		3,440
Colonial Realty LP 6.05% 9/1/16	4,436		4,638
Digital Realty Trust LP 4.5% 7/15/15	2,667		2,789
Duke Realty LP:
5.4% 8/15/14	5,135		5,575
5.5% 3/1/16	5,038		5,467
5.625% 8/15/11	3,493		3,524
5.95% 2/15/17	1,536		1,699
6.25% 5/15/13	3,807		4,128
6.5% 1/15/18	5,065		5,758
ERP Operating LP:
5.2% 4/1/13	6,349		6,787
5.5% 10/1/12	6,078		6,428
6.625% 3/15/12	1,111		1,160
Liberty Property LP:
5.5% 12/15/16	3,158		3,491
6.375% 8/15/12	2,174		2,291
6.625% 10/1/17	3,709		4,315
Post Apartment Homes LP 6.3% 6/1/13	5,470		5,878
Reckson Operating Partnership LP 6% 3/31/16	1,224		1,331
Regency Centers LP 6.75% 1/15/12	5,856		6,058
Tanger Properties LP:
6.125% 6/1/20	3,058		3,429
6.15% 11/15/15	9,117		10,238
			117,288
Thrifts & Mortgage Finance - 0.2%
Bank of America Corp. 6.5% 8/1/16	5,430		6,143
First Niagara Financial Group, Inc. 6.75% 3/19/20	4,247		4,747
			10,890
TOTAL FINANCIALS			609,490
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
HEALTH CARE - 0.1%
Health Care Providers & Services - 0.1%
Express Scripts, Inc.:
3.125% 5/15/16	$ 4,472		$ 4,520
6.25% 6/15/14	1,557		1,760
			6,280
INDUSTRIALS - 0.3%
Airlines - 0.2%
Continental Airlines, Inc.:
6.545% 8/2/20	1,177		1,240
6.795% 2/2/20	408		403
U.S. Airways pass-thru trust certificates:
6.85% 7/30/19	2,365		2,271
8.36% 1/20/19	8,048		8,491
			12,405
Transportation Infrastructure - 0.1%
BNSF Funding Trust I 6.613% 12/15/55 (j)	2,984		3,100
TOTAL INDUSTRIALS			15,505
INFORMATION TECHNOLOGY - 0.2%
Electronic Equipment & Components - 0.2%
Tyco Electronics Group SA:
5.95% 1/15/14	4,695		5,194
6.55% 10/1/17	2,421		2,872
			8,066
MATERIALS - 0.4%
Chemicals - 0.3%
Dow Chemical Co. 7.6% 5/15/14	13,026		15,188
Metals & Mining - 0.1%
ArcelorMittal SA 3.75% 3/1/16	1,580		1,605
Corporacion Nacional del Cobre (Codelco) 6.375% 11/30/12 (c)	4,183		4,478
			6,083
TOTAL MATERIALS			21,271
TELECOMMUNICATION SERVICES - 1.4%
Diversified Telecommunication Services - 0.8%
AT&T, Inc. 6.8% 5/15/36	5,000		5,630
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
TELECOMMUNICATION SERVICES - continued
Diversified Telecommunication Services - continued
BellSouth Capital Funding Corp. 7.875% 2/15/30	$ 4,203		$ 5,277
CenturyLink, Inc.:
6.15% 9/15/19	2,073		2,197
7.6% 9/15/39	3,890		3,979
Deutsche Telekom International Financial BV 5.875% 8/20/13	4,937		5,421
Telecom Italia Capital SA:
4.95% 9/30/14	5,297		5,609
5.25% 10/1/15	2,409		2,553
Telefonica Emisiones SAU 5.855% 2/4/13	1,287		1,376
Verizon Communications, Inc. 6.1% 4/15/18	6,019		6,938
			38,980
Wireless Telecommunication Services - 0.6%
DIRECTV Holdings LLC/DIRECTV Financing, Inc.:
4.75% 10/1/14	8,998		9,860
5.875% 10/1/19	6,291		7,033
6.35% 3/15/40	1,971		2,117
Sprint Nextel Corp. 6% 12/1/16	10,058		10,234
			29,244
TOTAL TELECOMMUNICATION SERVICES			68,224
UTILITIES - 2.0%
Electric Utilities - 1.0%
Cleveland Electric Illuminating Co. 5.65% 12/15/13	5,410		5,893
Duquesne Light Holdings, Inc.:
5.9% 12/1/21 (c)	2,695		2,726
6.4% 9/15/20 (c)	8,975		9,421
Edison International 3.75% 9/15/17	3,716		3,749
EDP Finance BV 6% 2/2/18 (c)	7,773		7,564
FirstEnergy Corp. 7.375% 11/15/31	5,741		6,675
FirstEnergy Solutions Corp. 6.05% 8/15/21	2,439		2,682
LG&E and KU Energy LLC 2.125% 11/15/15 (c)	4,231		4,123
Pennsylvania Electric Co. 6.05% 9/1/17	4,923		5,508
Pepco Holdings, Inc. 2.7% 10/1/15	3,942		3,968
			52,309
Gas Utilities - 0.1%
Southern Natural Gas Co. 5.9% 4/1/17 (c)	2,894		3,317
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
UTILITIES - continued
Independent Power Producers & Energy Traders - 0.5%
Duke Capital LLC 5.668% 8/15/14	$ 6,310		$ 7,025
Exelon Generation Co. LLC:
4% 10/1/20	4,789		4,607
5.35% 1/15/14	5,292		5,753
PPL Energy Supply LLC:
6.2% 5/15/16	2,534		2,850
6.5% 5/1/18	5,351		6,099
			26,334
Multi-Utilities - 0.4%
Dominion Resources, Inc.:
6.3% 9/30/66 (j)	1,637		1,621
7.5% 6/30/66 (j)	3,654		3,873
NiSource Finance Corp.:
5.4% 7/15/14	1,393		1,537
5.45% 9/15/20	1,461		1,565
6.25% 12/15/40	1,327		1,411
6.4% 3/15/18	4,529		5,196
Wisconsin Energy Corp. 6.25% 5/15/67 (j)	4,001		4,051
			19,254
TOTAL UTILITIES			101,214
TOTAL NONCONVERTIBLE BONDS (Cost $981,575)		1,059,529
U.S. Government and Government Agency Obligations - 32.0%
U.S. Government Agency Obligations - 0.3%
Tennessee Valley Authority 5.25% 9/15/39	15,563		17,002
U.S. Treasury Inflation Protected Obligations - 2.1%
U.S. Treasury Inflation-Indexed Bonds:
2.125% 2/15/41	59,266		63,814
2.125% 2/15/40	36,979		39,892
TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS			103,706
U.S. Treasury Obligations - 29.6%
U.S. Treasury Bonds 4.75% 2/15/41	151,378		165,286
U.S. Government and Government Agency Obligations - continued
	Principal Amount (000s)		Value (000s)
U.S. Treasury Obligations - continued
U.S. Treasury Notes:
1.5% 12/31/13	$ 400,000		$ 408,774
1.75% 5/31/16	249,727		250,469
2.375% 9/30/14 (g)	83,800		87,774
2.625% 7/31/14 (g)	103,287		109,000
3.625% 2/15/20	122,561		130,499
3.625% 2/15/21	292,581		307,667
TOTAL U.S. TREASURY OBLIGATIONS			1,459,469
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $1,554,751)		1,580,177
U.S. Government Agency - Mortgage Securities - 23.0%
Fannie Mae - 15.5%
2.575% 2/1/35 (j)	2,861		3,002
2.589% 6/1/36 (j)	155		161
3.5% 11/1/25 to 3/1/41	37,905		37,011
3.533% 7/1/37 (j)	443		465
4% 2/1/35 to 4/1/41	45,686		46,072
4% 6/1/41 (e)(f)	15,000		15,104
4.5% 6/1/24 to 5/1/41 (f)	241,531		251,296
4.5% 6/1/26 (e)	5,000		5,301
5% 4/1/18 to 9/1/40	114,866		122,845
5% 6/1/41 (e)(f)	25,000		26,612
5% 6/1/41 (e)(f)	11,000		11,709
5% 6/1/41 (e)(f)	20,000		21,289
5% 6/1/41 (e)	15,000		15,967
5% 6/1/41 (e)(f)	17,000		18,096
5.5% 12/1/30 to 8/1/37	18,188		19,792
5.5% 6/1/41 (e)(f)	11,600		12,576
5.5% 6/1/41 (e)	12,000		13,009
6% 7/1/21 to 9/1/39	105,995		116,823
6% 6/1/41 (e)(f)	12,100		13,312
6% 6/1/41 (e)(f)	14,000		15,402
6.5% 2/1/36	213		240
TOTAL FANNIE MAE			766,084
U.S. Government Agency - Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Freddie Mac - 4.3%
3.281% 10/1/35 (j)	$ 223		$ 237
4% 6/1/41 (e)	5,000		5,029
4.5% 7/1/25 to 4/1/41	10,751		11,207
4.5% 6/1/41 (e)	40,700		42,231
5% 9/1/35 to 4/1/41	32,891		35,057
5% 6/1/41 (e)	13,000		13,824
5% 6/1/41 (e)	7,000		7,444
5.5% 12/1/27 to 2/1/40	73,400		79,520
5.5% 6/1/41 (e)	10,600		11,479
6% 7/1/37 to 8/1/37	4,458		4,913
TOTAL FREDDIE MAC			210,941
Ginnie Mae - 3.2%
4% 1/15/25 to 10/20/25	29,588		31,248
4.5% 3/15/41	8,970		9,506
4.5% 6/1/41 (e)(f)	38,000		40,179
4.5% 6/1/41 (e)	29,000		30,663
5% 6/1/41 (e)	12,000		12,995
5% 6/1/41 (e)	6,000		6,497
5% 6/1/41 (e)	11,000		11,912
5.5% 12/20/28 to 12/15/38	10,630		11,739
TOTAL GINNIE MAE			154,739
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $1,115,817)		1,131,764
Asset-Backed Securities - 1.4%
Accredited Mortgage Loan Trust Series 2005-1 Class M1, 0.664% 4/25/35 (j)	1,004		703
ACE Securities Corp. Home Equity Loan Trust:
Series 2004-HE1:
Class M1, 0.944% 3/25/34 (j)	21		20
Class M2, 1.844% 3/25/34 (j)	219		176
Series 2005-HE2 Class M2, 0.644% 4/25/35 (j)	98		94
Series 2006-OP1 Class M4, 0.564% 4/25/36 (j)	91		0*
Advanta Business Card Master Trust:
Series 2006-C1 Class C1, 0.6758% 10/20/14	376		4
Series 2007-D1 Class D, 1.5958% 1/22/13 (c)(j)	6,136		92
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
Airspeed Ltd. Series 2007-1A Class C1, 2.698% 6/15/32 (c)(j)	$ 6,122		$ 2,816
Ally Master Owner Trust:
Series 2010-3 Class A, 2.88% 4/15/15 (c)	4,884		5,032
Series 2011-3 Class A2, 1.87% 5/15/16	3,550		3,558
AmeriCredit Prime Automobile Receivables Trust Series 2007-1:
Class D, 5.62% 9/8/14	648		661
Class E, 6.96% 3/8/16 (c)	2,566		2,623
Ameriquest Mortgage Securities, Inc. pass-thru certificates:
Series 2003-10 Class M1, 0.894% 12/25/33 (j)	57		46
Series 2004-R2 Class M3, 0.744% 4/25/34 (j)	85		24
Series 2005-R2 Class M1, 0.644% 4/25/35 (j)	1,307		1,128
Argent Securities, Inc. pass-thru certificates:
Series 2003-W7 Class A2, 0.9926% 3/25/34 (j)	30		23
Series 2004-W7 Class M1, 0.744% 5/25/34 (j)	808		614
Series 2006-W4 Class A2C, 0.354% 5/25/36 (j)	872		267
Asset Backed Securities Corp. Home Equity Loan Trust:
Series 2004-HE2 Class M1, 1.019% 4/25/34 (j)	1,690		1,354
Series 2006-HE2 Class M1, 0.564% 3/25/36 (j)	120		2
Axon Financial Funding Ltd. 0.873% 4/4/17 (a)(c)(j)	5,160		0
Bank of America Auto Trust Series 2009-1A Class A4, 3.52% 6/15/16 (c)	4,230		4,364
Brazos Higher Education Authority, Inc. Series 2006-2 Class A9, 0.318% 12/25/24 (j)	1,019		922
C-BASS Trust Series 2006-CB7 Class A2, 0.254% 10/25/36 (j)	40		40
Capital Auto Receivables Asset Trust:
Series 2006-2 Class C, 5.31% 6/15/12	474		478
Series 2007-1 Class C, 5.38% 11/15/12	264		271
Capital Trust Ltd. Series 2004-1:
Class A2, 0.6458% 7/20/39 (c)(j)	344		275
Class B, 0.9458% 7/20/39 (c)(j)	355		145
Class C, 1.2958% 7/20/39 (c)(j)	456		23
CarMax Auto Owner Trust Series 2007-2 Class C, 5.61% 11/15/13	535		539
Carrington Mortgage Loan Trust:
Series 2006-FRE1 Class M1, 0.494% 7/25/36 (j)	722		30
Series 2006-NC4 Class M1, 0.494% 10/25/36 (j)	127		9
Series 2007-RFC1 Class A3, 0.334% 12/25/36 (j)	1,140		400
Citigroup Mortgage Loan Trust Series 2007-AMC4 Class M1, 0.464% 5/25/37 (j)	484		28
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
Countrywide Asset-Backed Certificates Trust:
Series 2007-11 Class 2A1, 0.254% 6/25/47 (j)	$ 24		$ 23
Series 2007-4 Class A1A, 0.3326% 9/25/37 (j)	200		192
Countrywide Home Loan Trust Series 2006-13 Class N, 7% 8/25/37 (c)	1,666		0
Countrywide Home Loans, Inc.:
Series 2003-BC1 Class B1, 5.4995% 3/25/32 (MGIC Investment Corp. Insured) (j)	61		24
Series 2004-3 Class M4, 1.164% 4/25/34 (j)	101		49
Series 2004-4 Class M2, 0.989% 6/25/34 (j)	372		209
Series 2005-3 Class MV1, 0.614% 8/25/35 (j)	450		433
Series 2005-AB1 Class A2, 0.404% 8/25/35 (j)	46		45
CPS Auto Receivables Trust Series 2006-D Class A4, 5.115% 8/15/13 (FSA Insured) (c)	191		192
Fannie Mae subordinate REMIC pass-thru certificates Series 2004-T5 Class AB3, 0.7199% 5/28/35 (j)	25		17
Fieldstone Mortgage Investment Corp.:
Series 2004-3 Class M5, 2.369% 8/25/34 (j)	231		134
Series 2006-3 Class 2A3, 0.354% 11/25/36 (j)	3,565		1,437
First Franklin Mortgage Loan Trust Series 2004-FF2 Class M3, 1.019% 3/25/34 (j)	14		5
Ford Credit Auto Owner Trust:
Series 2006-C:
Class B, 5.3% 6/15/12	383		386
Class D, 6.89% 5/15/13 (c)	1,938		1,959
Series 2007-A Class D, 7.05% 12/15/13 (c)	1,100		1,133
Ford Credit Floorplan Master Owner Trust:
Series 2006-4 Class B, 0.748% 6/15/13 (j)	488		488
Series 2010-5 Class A1, 1.5% 9/15/15	5,563		5,591
Franklin Auto Trust:
Series 2006-1 Class B, 5.14% 7/21/14	17		17
Series 2007-1:
Class A4, 5.03% 2/16/15	64		64
Class C, 5.43% 2/16/15	279		279
Fremont Home Loan Trust:
Series 2005-A:
Class M3, 0.684% 1/25/35 (j)	600		294
Class M4, 0.874% 1/25/35 (j)	231		73
Series 2006-D Class M1, 0.424% 11/25/36 (j)	133		4
GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 0.6368% 2/25/47 (c)(j)	2,174		1,283
GCO Slims Trust Series 2006-1A, 5.72% 3/1/22 (c)	1,282		1,021
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
GE Business Loan Trust:
Series 2003-1 Class A, 0.628% 4/15/31 (c)(j)	$ 152		$ 142
Series 2006-2A:
Class A, 0.378% 11/15/34 (c)(j)	1,154		958
Class B, 0.478% 11/15/34 (c)(j)	418		272
Class C, 0.578% 11/15/34 (c)(j)	692		346
Class D, 0.948% 11/15/34 (c)(j)	330		83
Goal Capital Funding Trust Series 2007-1 Class C1, 0.708% 6/25/42 (j)	421		408
GS Auto Loan Trust Series 2007-1 Class B, 5.53% 12/15/14	15		16
GSAMP Trust:
Series 2004-AR1:
Class B4, 5% 6/25/34 (c)(j)	274		76
Class M1, 0.844% 6/25/34 (j)	1,630		1,099
Series 2007-HE1 Class M1, 0.444% 3/25/47 (j)	660		39
Guggenheim Structured Real Estate Funding Ltd. Series 2006-3:
Class B, 0.594% 9/25/46 (c)(j)	519		270
Class C, 0.744% 9/25/46 (c)(j)	1,211		242
Home Equity Asset Trust:
Series 2003-2 Class M1, 1.514% 8/25/33 (j)	192		137
Series 2003-3 Class M1, 1.484% 8/25/33 (j)	473		387
Series 2003-5 Class A2, 0.894% 12/25/33 (j)	21		15
Series 2005-5 Class 2A2, 0.444% 11/25/35 (j)	42		42
Series 2006-1 Class 2A3, 0.419% 4/25/36 (j)	637		623
Series 2006-8 Class 2A1, 0.244% 3/25/37 (j)	2		2
HSBC Home Equity Loan Trust Series 2006-2 Class M2, 0.4858% 3/20/36 (j)	441		374
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.384% 1/25/37 (j)	913		423
JPMorgan Mortgage Acquisition Trust:
Series 2006-NC2 Class M2, 0.494% 7/25/36 (j)	116		4
Series 2007-CH1:
Class AV4, 0.324% 11/25/36 (j)	913		777
Class MV1, 0.424% 11/25/36 (j)	741		485
Series 2007-CH3 Class M1, 0.494% 3/25/37 (j)	326		17
Keycorp Student Loan Trust:
Series 1999-A Class A2, 0.6385% 12/27/29 (j)	449		386
Series 2006-A Class 2C, 1.4585% 3/27/42 (j)	1,605		324
Long Beach Auto Receivables Trust Series 2007-A Class A4, 5.025% 1/15/14 (FSA Insured)	729		735
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
Long Beach Mortgage Loan Trust Series 2004-2 Class M2, 1.274% 6/25/34 (j)	$ 58		$ 41
Marriott Vacation Club Owner Trust Series 2006-2A:
Class B, 5.442% 10/20/28 (c)	15		15
Class C, 5.691% 10/20/28 (c)	7		7
Class D, 6.01% 10/20/28 (c)	64		65
MASTR Asset Backed Securities Trust:
Series 2006-AM3 Class M1, 0.454% 10/25/36 (j)	327		19
Series 2007-HE1 Class M1, 0.494% 5/25/37 (j)	496		26
Meritage Mortgage Loan Trust Series 2004-1 Class M1, 0.944% 7/25/34 (j)	82		53
Merrill Auto Trust Securitization Series 2007-1 Class B, 5.79% 12/15/13	13		13
Merrill Lynch Mortgage Investors Trust:
Series 2003-OPT1 Class M1, 1.169% 7/25/34 (j)	299		205
Series 2006-FM1 Class A2B, 0.304% 4/25/37 (j)	1,172		1,009
Series 2006-MLN1 Class A2A, 0.264% 7/25/37 (j)	5		5
Series 2006-OPT1 Class A1A, 0.454% 6/25/35 (j)	1,706		1,365
Morgan Stanley ABS Capital I Trust:
Series 2004-HE6 Class A2, 0.534% 8/25/34 (j)	36		29
Series 2004-NC8 Class M6, 1.444% 9/25/34 (j)	100		44
Series 2005-NC1 Class M1, 0.634% 1/25/35 (j)	253		172
Series 2005-NC2 Class B1, 1.364% 3/25/35 (j)	264		37
Series 2007-HE2 Class M1, 0.444% 1/25/37 (j)	150		4
National Collegiate Student Loan Trust:
Series 2004-2 Class AIO, 9.75% 10/27/14 (l)	6,600		759
Series 2006-2 Class AIO, 6% 8/25/11 (l)	4,480		43
Series 2006-3 Class AIO, 7.1% 1/25/12 (l)	25,470		828
Series 2006-4:
Class A1, 0.224% 3/25/25 (j)	44		44
Class AIO, 6.35% 2/27/12 (l)	20,073		774
Class D, 1.294% 5/25/32 (j)	1,227		9
Series 2007-1 Class AIO, 7.27% 4/25/12 (l)	23,975		1,379
Series 2007-2 Class AIO, 6.7% 7/25/12 (l)	17,719		1,207
New Century Home Equity Loan Trust:
Series 2005-4 Class M2, 0.704% 9/25/35 (j)	903		584
Series 2005-D Class M2, 0.664% 2/25/36 (j)	429		126
Ocala Funding LLC:
Series 2005-1A Class A, 1.6958% 3/20/10 (a)(c)(j)	449		0
Series 2006-1A Class A, 1.5958% 3/20/11 (a)(c)(j)	933		0
Option One Mortgage Loan Trust:
Series 2007-5 Class 2A1, 0.284% 5/25/37 (j)	30		30
Series 2007-6 Class 2A1, 0.254% 7/25/37 (j)	69		67
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
Park Place Securities, Inc.:
Series 2004-WCW1:
Class M3, 1.444% 9/25/34 (j)	$ 337		$ 206
Class M4, 1.644% 9/25/34 (j)	433		136
Series 2005-WCH1:
Class M2, 0.714% 1/25/36 (j)	1,296		1,215
Class M3, 0.754% 1/25/36 (j)	302		209
Class M4, 1.024% 1/25/36 (j)	935		493
Series 2005-WHQ2 Class M7, 1.444% 5/25/35 (j)	1,149		15
Residential Asset Mortgage Products, Inc. Series 2006-EFC2 Class M1, 0.424% 12/25/36 (j)	407		13
Residential Asset Securities Corp. Series 2007-KS2 Class AI1, 0.264% 2/25/37 (j)	18		18
Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 0.994% 4/25/33 (j)	3		3
Saxon Asset Securities Trust Series 2004-1 Class M1, 0.989% 3/25/35 (j)	937		747
Securitized Asset Backed Receivables LLC Trust:
Series 2005-FR4 Class B3, 1.914% 1/25/36 (j)	28		0*
Series 2006-FR4 Class A2A, 0.274% 8/25/36 (j)	21		8
Series 2007-NC1 Class A2A, 0.244% 12/25/36 (j)	6		6
Sierra Receivables Funding Co. Series 2007-1A Class A2, 0.363% 3/20/19 (FGIC Insured) (c)(j)	414		394
SLM Private Credit Student Loan Trust Series 2004-A Class C, 1.2595% 6/15/33 (j)	805		132
Specialty Underwriting & Residential Finance Trust Series 2006-AB2 Class N1, 5.75% 6/25/37 (c)	374		0
Structured Asset Investment Loan Trust Series 2004-8 Class M5, 1.344% 9/25/34 (j)	55		25
SVO VOI Mortgage Corp. Series 2006-AA Class A, 5.28% 2/20/24 (c)	348		357
Terwin Mortgage Trust Series 2003-4HE Class A1, 1.054% 9/25/34 (j)	18		14
Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 0.8568% 4/6/42 (c)(j)	1,717		52
WaMu Asset Holdings Corp. Series 2006-8 Class N1, 6.048% 10/25/46 (c)	704		0
WaMu Master Note Trust Series 2006-C2A Class C2, 0.698% 8/15/15 (c)(j)	5,126		5,120
Wells Fargo Home Equity Trust Series 2004-3 Class A, 4.5% 11/27/34 (c)	6		0
TOTAL ASSET-BACKED SECURITIES (Cost $65,930)		68,917
Collateralized Mortgage Obligations - 1.4%
	Principal Amount (000s)		Value (000s)
Private Sponsor - 1.4%
Banc of America Commercial Mortgage Trust Series 2007-2:
Class B, 5.6578% 4/10/49 (j)	$ 896		$ 595
Class C, 5.8361% 4/10/49 (j)	2,392		1,354
Class D, 5.8361% 4/10/49 (j)	1,197		518
Banc of America Funding Corp. sequential payer Series 2010-R4 Class 2A1, 4.5% 3/26/37 (c)	2,637		2,689
Banc of America Mortgage Securities, Inc.:
Series 2003-L Class 2A1, 2.9037% 1/25/34 (j)	872		819
Series 2004-1 Class 2A2, 3.2308% 10/25/34 (j)	913		825
Series 2004-A Class 2A2, 2.8609% 2/25/34 (j)	114		101
Series 2004-B:
Class 1A1, 2.7465% 3/25/34 (j)	74		67
Class 2A2, 2.8678% 3/25/34 (j)	540		514
Series 2004-D Class 2A2, 2.8778% 5/25/34 (j)	803		736
Series 2004-G Class 2A7, 3.021% 8/25/34 (j)	753		676
Series 2004-H Class 2A1, 3.1658% 9/25/34 (j)	657		588
Bayview Commercial Asset Trust Series 2006-3A Class IO, 3.2127% 10/25/36 (c)(j)(l)	31,278		2,143
Bear Stearns ALT-A Trust floater Series 2005-1 Class A1, 0.754% 1/25/35 (j)	1,333		1,070
Bear Stearns Commercial Mortgage Securities Trust Series 2006-T24 Class X2, 0.6062% 10/12/41 (c)(j)(l)	2,101		22
Chase Mortgage Finance Trust:
Series 2007-A1 Class 1A5, 2.938% 2/25/37 (j)	802		794
Series 2007-A2 Class 2A1, 3.0641% 7/25/37 (j)	961		959
Citigroup Commercial Mortgage Trust Series 2008-C7 Class A2B, 6.2942% 12/10/49 (j)	1,095		1,150
Citigroup Mortgage Loan Trust Series 2004-UST1 Class A4, 2.3824% 8/25/34 (j)	666		664
Cobalt CMBS Commercial Mortgage Trust Series 2007-C2 Class B, 5.617% 4/15/47 (j)	1,223		477
COMM pass-thru certificates floater Series 2001-J2A Class A2F, 0.698% 7/16/34 (c)(j)	149		149
Credit Suisse First Boston Mortgage Securities Corp. floater Series 2007-AR7 Class 2A1, 2.8944% 11/25/34 (j)	980		914
Credit Suisse Mortgage Capital Certificates sequential payer Series 2010-16 Class A1, 3% 6/25/50 (c)	4,182		4,202
First Horizon Mortgage pass-thru Trust Series 2004-AR5 Class 2A1, 2.8757% 10/25/34 (j)	773		743
Collateralized Mortgage Obligations - continued
	Principal Amount (000s)		Value (000s)
Private Sponsor - continued
Fosse Master Issuer PLC floater Series 2006-1A:
Class B2, 0.4355% 10/18/54 (c)(j)	$ 706		$ 705
Class C2, 0.7455% 10/18/54 (c)(j)	237		235
Class M2, 0.5255% 10/18/54 (c)(j)	405		404
Gracechurch Mortgage Financing PLC floater Series 2006-1 Class D2, 0.73% 11/20/56 (c)(j)	1,711		1,689
Granite Master Issuer PLC floater:
Series 2006-4:
Class B1, 0.2858% 12/20/54 (j)	2,694		2,317
Class M1, 0.3658% 12/20/54 (j)	710		543
Series 2007-1:
Class 1M1, 0.4958% 12/20/54 (j)	894		684
Class 2M1, 0.6958% 12/20/54 (j)	1,148		878
Granite Mortgages PLC floater Series 2003-3 Class 1C, 2.724% 1/20/44 (j)	341		263
GSR Mortgage Loan Trust Series 2007-AR2 Class 2A1, 2.7448% 4/25/35 (j)	356		306
Harborview Mortgage Loan Trust floater Series 2005-2 Class 2A1A, 0.417% 5/19/35 (j)	227		151
JPMorgan Chase Commercial Mortgage Securities Trust Series 2007-CB18 Class A3, 5.447% 6/12/47 (j)	2,077		2,173
JPMorgan Mortgage Trust:
sequential payer Series 2006-A5 Class 3A5, 5.8553% 8/25/36 (j)	1,303		1,051
Series 2004-A3 Class 4A1, 4.2606% 7/25/34 (j)	781		756
Series 2006-A2 Class 5A1, 2.9729% 11/25/33 (j)	912		874
LB-UBS Commercial Mortgage Trust sequential payer Series 2006-C6 Class A4, 5.372% 9/15/39	492		540
MASTR Adjustable Rate Mortgages Trust Series 2007-3 Class 22A2, 0.404% 5/25/47 (j)	596		421
MASTR Asset Backed Securities Trust Series 2006-NC3 Class M1, 0.424% 10/25/36 (j)	61		0
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.364% 2/25/37 (j)	1,042		725
Merrill Lynch Floating Trust floater Series 2006-1:
Class B, 0.368% 6/15/22 (c)(j)	190		185
Class C, 0.388% 6/15/22 (c)(j)	936		880
Class D, 0.398% 6/15/22 (c)(j)	452		422
Class E, 0.408% 6/15/22 (c)(j)	576		532
Class F, 0.438% 6/15/22 (c)(j)	955		874
Class G, 0.508% 6/15/22 (c)(j)	271		242
Class H, 0.528% 6/15/22 (c)(j)	433		380
Collateralized Mortgage Obligations - continued
	Principal Amount (000s)		Value (000s)
Private Sponsor - continued
Merrill Lynch Floating Trust floater Series 2006-1: - continued
Class J, 0.568% 6/15/22 (c)(j)	$ 505		$ 438
Merrill Lynch Mortgage Investors Trust:
Series 2004-A4 Class A1, 2.7498% 8/25/34 (j)	1,081		1,033
Series 2005-A2 Class A7, 2.6245% 2/25/35 (j)	708		665
Series 2006-A6 Class A4, 3.1889% 10/25/33 (j)	725		694
Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 0.484% 7/25/35 (j)	1,381		1,108
Option One Mortgage Loan Trust floater Series 2007-CP1 Class M1, 0.494% 3/25/37 (j)	1,797		121
Provident Funding Mortgage Loan Trust Series 2005-2 Class 3A, 2.8085% 10/25/35 (j)	2,458		2,111
RESI Finance LP/RESI Finance DE Corp. floater Series 2003-B:
Class B5, 2.5539% 7/10/35 (c)(j)	860		702
Class B6, 3.0539% 7/10/35 (c)(j)	1,139		878
Residential Asset Mortgage Products, Inc. sequential payer:
Series 2003-SL1 Class A31, 7.125% 4/25/31	464		495
Series 2004-SL3 Class A1, 7% 8/25/16	24		25
Residential Funding Securities Corp. floater Series 2003-RP2 Class A1, 0.644% 6/25/33 (c)(j)	220		203
Salomon Brothers Mortgage Securities VII, Inc. Series 2006-C2 Class H, 6.308% 7/18/33 (c)	194		68
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 0.8997% 7/20/34 (j)	24		18
Structured Asset Securities Corp.:
Series 2003-15A Class 4A, 5.3739% 4/25/33 (j)	326		314
Series 2003-20 Class 1A1, 5.5% 7/25/33	235		239
TBW Mortgage-Backed pass-thru certificates floater Series 2006-4 Class A3, 0.4126% 9/25/36 (j)	2,073		1,475
WaMu Mortgage pass-thru certificates:
Series 2003-AR8 Class A, 2.7161% 8/25/33 (j)	542		531
Series 2005-AR3 Class A2, 2.5752% 3/25/35 (j)	1,466		1,315
Wells Fargo Mortgage Backed Securities Trust:
Series 2004-W Class A9, 2.7613% 11/25/34 (j)	1,658		1,608
Series 2005-AR12 Class 2A6, 2.7836% 7/25/35 (j)	1,835		1,739
Series 2005-AR2 Class 2A2, 2.7435% 3/25/35 (j)	1,239		1,145
Collateralized Mortgage Obligations - continued
	Principal Amount (000s)		Value (000s)
Private Sponsor - continued
Wells Fargo Mortgage Backed Securities Trust: - continued
Series 2005-AR3 Class 2A1, 2.8729% 3/25/35 (j)	$ 1,014		$ 929
Series 2006-AR8 Class 3A1, 2.7717% 4/25/36 (j)	10,136		8,655
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $59,894)		67,508
Commercial Mortgage Securities - 8.2%
Asset Securitization Corp. Series 1997-D5:
Class A2, 7.0825% 2/14/43 (j)	805		846
Class A3, 7.1325% 2/14/43 (j)	869		929
Class A6, 7.4525% 2/14/43 (j)	1,281		1,353
Class PS1, 1.4533% 2/14/43 (j)(l)	3,973		81
Banc of America Commercial Mortgage Trust:
sequential payer:
Series 2006-2 Class AAB, 5.9114% 5/10/45 (j)	1,279		1,365
Series 2006-3 Class A4, 5.889% 7/10/44	6,816		7,519
Series 2006-6 Class A3, 5.369% 10/10/45	2,190		2,314
Series 2007-4 Class A3, 5.9998% 2/10/51 (j)	1,092		1,168
Series 2006-6 Class E, 5.619% 10/10/45 (c)	633		127
Series 2007-3:
Class A3, 5.8018% 6/10/49 (j)	1,828		1,932
Class A4, 5.8018% 6/10/49 (j)	2,283		2,484
Banc of America Commercial Mortgage, Inc.:
sequential payer:
Series 2001-1 Class A4, 5.451% 1/15/49	2,398		2,594
Series 2004-2:
Class A3, 4.05% 11/10/38	200		203
Class A4, 4.153% 11/10/38	1,389		1,449
Series 2005-1 Class A3, 4.877% 11/10/42	954		954
Series 2001-3 Class H, 6.562% 4/11/37 (c)	612		615
Series 2001-PB1:
Class J, 7.166% 5/11/35 (c)	343		341
Class K, 6.15% 5/11/35 (c)	509		497
Series 2005-3 Series A3B, 5.09% 7/10/43 (j)	3,402		3,575
Banc of America Large Loan, Inc. floater:
Series 2005-MIB1:
Class C, 0.508% 3/15/22 (c)(j)	470		470
Class D, 0.558% 3/15/22 (c)(j)	476		476
Class E, 0.598% 3/15/22 (c)(j)	393		386
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Banc of America Large Loan, Inc. floater: - continued
Series 2005-MIB1:
Class F, 0.668% 3/15/22 (c)(j)	$ 489		$ 477
Class G, 0.728% 3/15/22 (c)(j)	317		299
Series 2006-BIX1:
Class C, 0.378% 10/15/19 (c)(j)	704		683
Class D, 0.408% 10/15/19 (c)(j)	860		821
Class E, 0.438% 10/15/19 (c)(j)	797		749
Class F, 0.508% 10/15/19 (c)(j)	1,885		1,767
Class G, 0.528% 10/15/19 (c)(j)	759		668
Bayview Commercial Asset Trust:
floater:
Series 2003-2 Class M1, 1.044% 12/25/33 (c)(j)	59		43
Series 2004-1:
Class A, 0.554% 4/25/34 (c)(j)	755		660
Class B, 2.094% 4/25/34 (c)(j)	84		45
Class M1, 0.754% 4/25/34 (c)(j)	85		65
Class M2, 1.394% 4/25/34 (c)(j)	78		53
Series 2004-2:
Class A, 0.624% 8/25/34 (c)(j)	617		536
Class M1, 0.774% 8/25/34 (c)(j)	140		101
Series 2004-3:
Class A1, 0.564% 1/25/35 (c)(j)	1,381		1,225
Class A2, 0.614% 1/25/35 (c)(j)	198		175
Class M1, 0.694% 1/25/35 (c)(j)	239		168
Class M2, 1.194% 1/25/35 (c)(j)	120		81
Series 2005-2A:
Class A1, 0.504% 8/25/35 (c)(j)	1,059		873
Class M1, 0.624% 8/25/35 (c)(j)	70		46
Class M2, 0.674% 8/25/35 (c)(j)	92		55
Class M3, 0.694% 8/25/35 (c)(j)	64		36
Class M4, 0.804% 8/25/35 (c)(j)	58		32
Series 2005-3A:
Class A1, 0.514% 11/25/35 (c)(j)	417		347
Class A2, 0.594% 11/25/35 (c)(j)	390		326
Class M1, 0.634% 11/25/35 (c)(j)	105		69
Class M2, 0.684% 11/25/35 (c)(j)	79		47
Class M3, 0.704% 11/25/35 (c)(j)	70		40
Class M4, 0.794% 11/25/35 (c)(j)	88		44
Series 2005-4A:
Class A2, 0.584% 1/25/36 (c)(j)	981		828
Class B1, 1.594% 1/25/36 (c)(j)	106		37
Class M1, 0.644% 1/25/36 (c)(j)	316		205
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Bayview Commercial Asset Trust: - continued
floater:
Series 2005-4A:
Class M2, 0.664% 1/25/36 (c)(j)	$ 119		$ 73
Class M3, 0.694% 1/25/36 (c)(j)	174		97
Class M4, 0.804% 1/25/36 (c)(j)	96		49
Class M5, 0.844% 1/25/36 (c)(j)	96		46
Class M6, 0.894% 1/25/36 (c)(j)	102		43
Series 2006-1:
Class A2, 0.554% 4/25/36 (c)(j)	186		154
Class M1, 0.574% 4/25/36 (c)(j)	113		80
Class M2, 0.594% 4/25/36 (c)(j)	119		78
Class M3, 0.614% 4/25/36 (c)(j)	103		64
Class M4, 0.714% 4/25/36 (c)(j)	58		35
Class M5, 0.754% 4/25/36 (c)(j)	56		31
Class M6, 0.834% 4/25/36 (c)(j)	113		54
Series 2006-2A:
Class A1, 0.424% 7/25/36 (c)(j)	2,586		2,058
Class A2, 0.474% 7/25/36 (c)(j)	167		131
Class B1, 1.064% 7/25/36 (c)(j)	106		39
Class B3, 2.894% 7/25/36 (c)(j)	95		29
Class M1, 0.504% 7/25/36 (c)(j)	175		115
Class M2, 0.524% 7/25/36 (c)(j)	124		76
Class M3, 0.544% 7/25/36 (c)(j)	102		62
Class M4, 0.614% 7/25/36 (c)(j)	117		68
Class M5, 0.664% 7/25/36 (c)(j)	85		48
Class M6, 0.734% 7/25/36 (c)(j)	127		53
Series 2006-3A:
Class B1, 0.994% 10/25/36 (c)(j)	114		15
Class B2, 1.544% 10/25/36 (c)(j)	139		14
Class B3, 2.794% 10/25/36 (c)(j)	134		7
Class M4, 0.624% 10/25/36 (c)(j)	126		43
Class M5, 0.674% 10/25/36 (c)(j)	151		45
Class M6, 0.754% 10/25/36 (c)(j)	295		65
Series 2006-4A:
Class A1, 0.424% 12/25/36 (c)(j)	496		402
Class A2, 0.464% 12/25/36 (c)(j)	2,519		1,864
Class B1, 0.894% 12/25/36 (c)(j)	156		25
Class B2, 1.444% 12/25/36 (c)(j)	160		21
Class B3, 2.644% 12/25/36 (c)(j)	168		15
Class M1, 0.484% 12/25/36 (c)(j)	202		91
Class M2, 0.504% 12/25/36 (c)(j)	135		55
Class M3, 0.534% 12/25/36 (c)(j)	137		48
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Bayview Commercial Asset Trust: - continued
floater:
Series 2006-4A:
Class M4, 0.594% 12/25/36 (c)(j)	$ 164		$ 49
Class M5, 0.634% 12/25/36 (c)(j)	150		37
Class M6, 0.714% 12/25/36 (c)(j)	135		28
Series 2007-1:
Class A2, 0.464% 3/25/37 (c)(j)	544		362
Class B1, 0.864% 3/25/37 (c)(j)	217		32
Class B2, 1.344% 3/25/37 (c)(j)	157		18
Class B3, 3.544% 3/25/37 (c)(j)	274		15
Class M1, 0.464% 3/25/37 (c)(j)	191		78
Class M2, 0.484% 3/25/37 (c)(j)	143		49
Class M3, 0.514% 3/25/37 (c)(j)	189		59
Class M4, 0.564% 3/25/37 (c)(j)	154		40
Class M5, 0.614% 3/25/37 (c)(j)	160		35
Class M6, 0.694% 3/25/37 (c)(j)	223		42
Series 2007-2A:
Class A1, 0.464% 7/25/37 (c)(j)	1,383		1,025
Class A2, 0.514% 7/25/37 (c)(j)	1,295		824
Class B1, 1.794% 7/25/37 (c)(j)	387		37
Class B2, 2.444% 7/25/37 (c)(j)	338		23
Class B3, 3.544% 7/25/37 (c)(j)	379		19
Class M1, 0.564% 7/25/37 (c)(j)	442		153
Class M2, 0.604% 7/25/37 (c)(j)	288		77
Class M3, 0.684% 7/25/37 (c)(j)	291		59
Class M4, 0.844% 7/25/37 (c)(j)	484		81
Class M5, 0.944% 7/25/37 (c)(j)	428		63
Class M6, 1.194% 7/25/37 (c)(j)	543		67
Series 2007-3:
Class A2, 0.484% 7/25/37 (c)(j)	541		361
Class B1, 1.144% 7/25/37 (c)(j)	326		48
Class B2, 1.794% 7/25/37 (c)(j)	839		96
Class B3, 4.194% 7/25/37 (c)(j)	436		28
Class M1, 0.504% 7/25/37 (c)(j)	287		111
Class M2, 0.534% 7/25/37 (c)(j)	306		99
Class M3, 0.564% 7/25/37 (c)(j)	493		134
Class M4, 0.694% 7/25/37 (c)(j)	776		185
Class M5, 0.794% 7/25/37 (c)(j)	393		83
Class M6, 0.994% 7/25/37 (c)(j)	298		54
Series 2007-4A:
Class B1, 2.744% 9/25/37 (c)(j)	238		10
Class B2, 3.644% 9/25/37 (c)(j)	689		21
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Bayview Commercial Asset Trust: - continued
floater:
Series 2007-4A:
Class M1, 1.144% 9/25/37 (c)(j)	$ 229		$ 41
Class M2, 1.244% 9/25/37 (c)(j)	229		32
Class M4, 1.794% 9/25/37 (c)(j)	467		37
Class M5, 1.944% 9/25/37 (c)(j)	467		33
Class M6, 2.144% 9/25/37 (c)(j)	468		28
Series 2004-1 Class IO, 1.25% 4/25/34 (c)(l)	2,911		116
Series 2007-5A Class IO, 3.047% 10/25/37 (c)(j)(l)	7,067		763
Bear Stearns Commercial Mortgage Securities Trust:
floater:
Series 2006-BBA7:
Class G, 0.638% 3/15/19 (c)(j)	510		459
Class H, 0.848% 3/15/19 (c)(j)	429		365
Class J, 1.048% 3/15/19 (c)(j)	323		275
Series 2007-BBA8:
Class D, 0.448% 3/15/22 (c)(j)	489		446
Class E, 0.498% 3/15/22 (c)(j)	2,030		1,833
Class F, 0.548% 3/15/22 (c)(j)	1,246		1,101
Class G, 0.598% 3/15/22 (c)(j)	401		342
Class H, 0.748% 3/15/22 (c)(j)	489		407
Class J, 0.898% 3/15/22 (c)(j)	489		374
sequential payer:
Series 2003-PWR2 Class A3, 4.834% 5/11/39	244		247
Series 2004-PWR3 Class A3, 4.487% 2/11/41	430		442
Series 2007-PW16 Class A4, 5.9055% 6/11/40 (j)	641		711
Series 2007-PW17 Class A1, 5.282% 6/11/50	328		336
Series 2007-T26 Class A1, 5.145% 1/12/45	165		168
Series 2003-PWR2 Class X2, 0.6817% 5/11/39 (c)(j)(l)	9,682		15
Series 2006-PW13 Class A3, 5.518% 9/11/41	3,864		4,029
Series 2006-PW14 Class X2, 0.8477% 12/11/38 (c)(j)(l)	15,640		253
Series 2006-T22 Class A4, 5.7046% 4/12/38 (j)	137		152
Series 2007-PW16:
Class B, 5.716% 6/11/40 (c)(j)	176		113
Class C, 5.716% 6/11/40 (c)(j)	146		79
Class D, 5.716% 6/11/40 (c)(j)	146		73
Series 2007-PW18 Class X2, 0.4827% 6/11/50 (c)(j)(l)	119,638		1,352
Series 2007-T28 Class X2, 0.3378% 9/11/42 (c)(j)(l)	58,943		423
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
C-BASS Trust floater Series 2006-SC1 Class A, 0.464% 5/25/36 (c)(j)	$ 523		$ 405
CDC Commercial Mortgage Trust Series 2002-FX1:
Class G, 6.625% 5/15/35 (c)	1,287		1,374
Class XCL, 2.4992% 5/15/35 (c)(j)(l)	10,783		225
Chase Commercial Mortgage Securities Corp. Series 2000-3 Class G 6.887% 10/15/32 (c)	3,937		3,933
Citigroup Commercial Mortgage Trust:
floater Series 2006-FL2:
Class F, 0.5071% 8/15/21 (c)(j)	391		388
Class G, 0.5271% 8/15/21 (c)(j)	326		325
Class H, 0.5671% 8/15/21 (c)(j)	261		257
Series 2006-C5 Class AMP2, 5.5005% 10/15/49 (c)	1,647		1,531
Series 2007-C6:
Class A1, 5.622% 12/10/49 (j)	260		260
Class A2, 5.8862% 12/10/49 (j)	1,093		1,125
Class A4, 5.8862% 12/10/49 (j)	3,631		4,028
Series 2007-FL3A Class A2, 0.338% 4/15/22 (c)(j)	3,955		3,749
Citigroup/Deutsche Bank Commercial Mortgage Trust:
sequential payer Series 2007-CD4:
Class A2A, 5.237% 12/11/49	677		682
Class A4, 5.322% 12/11/49	12,679		13,536
Series 2007-CD4:
Class A3, 5.293% 12/11/49	1,066		1,105
Class C, 5.476% 12/11/49	2,061		721
Cobalt CMBS Commercial Mortgage Trust:
sequential payer Series 2007-C3 Class A3, 6.0102% 5/15/46 (j)	1,095		1,173
Series 2006-C1 Class B, 5.359% 8/15/48	3,285		1,577
COMM pass-thru certificates:
floater:
Series 2005-F10A:
Class B, 0.428% 4/15/17 (c)(j)	4,971		4,729
Class C, 0.468% 4/15/17 (c)(j)	881		829
Class D, 0.508% 4/15/17 (c)(j)	601		554
Class E, 0.568% 4/15/17 (c)(j)	192		173
Class F, 0.608% 4/15/17 (c)(j)	109		96
Class G, 0.748% 4/15/17 (c)(j)	109		92
Class H, 0.818% 4/15/17 (c)(j)	109		87
Class J, 1.048% 4/15/17 (c)(j)	104		73
Series 2005-FL11:
Class C, 0.498% 11/15/17 (c)(j)	836		809
Class D, 0.538% 11/15/17 (c)(j)	44		42
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
COMM pass-thru certificates: - continued
floater:
Series 2005-FL11:
Class E, 0.588% 11/15/17 (c)(j)	$ 154		$ 147
Class F, 0.648% 11/15/17 (c)(j)	118		109
Class G, 0.698% 11/15/17 (c)(j)	81		74
Series 2006-FL12 Class AJ, 0.328% 12/15/20 (c)(j)	1,560		1,451
sequential payer:
Series 2005-C6 Class A2, 4.999% 6/10/44 (j)	11		11
Series 2006-C8:
Class A3, 5.31% 12/10/46	3,121		3,253
Class A4, 5.306% 12/10/46	14,677		15,805
Series 2006-CN2A:
Class A2FX, 5.449% 2/5/19 (c)	1,851		1,853
Class AJFX, 5.478% 2/5/19 (c)	3,272		3,299
Series 2007-C9 Class A4, 6.0084% 12/10/49 (j)	2,423		2,702
Series 2006-C8 Class XP, 0.6858% 12/10/46 (j)(l)	11,356		122
Credit Suisse Commercial Mortgage Trust:
sequential payer:
Series 2006-C4 Class A3, 5.467% 9/15/39	5,651		6,126
Series 2007-C2 Class A3, 5.542% 1/15/49 (j)	2,190		2,334
Series 2007-C3 Class A4, 5.9052% 6/15/39 (j)	658		715
Series 2006-C4 Class AAB, 5.439% 9/15/39	6,232		6,484
Series 2006-C5 Class ASP, 0.8755% 12/15/39 (j)(l)	6,913		112
Series 2007-C5 Class A4, 5.695% 9/15/40 (j)	991		1,065
Credit Suisse First Boston Mortgage Capital Certificates floater Series 2007-TF2A Class B, 0.548% 4/15/22 (c)(j)	3,907		3,126
Credit Suisse First Boston Mortgage Securities Corp.:
sequential payer:
Series 2001-CK6 Class B, 6.582% 8/15/36	1,095		1,109
Series 2002-CP5 Class A1, 4.106% 12/15/35	40		40
Series 2004-C1:
Class A3, 4.321% 1/15/37	150		151
Class A4, 4.75% 1/15/37	510		540
Series 2001-CK6 Class AX, 1.1234% 8/15/36 (j)(l)	2,781		6
Series 2001-CKN5 Class AX, 2.1724% 9/15/34 (c)(j)(l)	5,886		10
Series 2006-C1 Class A3, 5.711% 2/15/39 (j)	5,781		6,106
Credit Suisse Mortgage Capital Certificates:
floater Series 2007-TFL1:
Class B, 0.348% 2/15/22 (c)(j)	414		377
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Credit Suisse Mortgage Capital Certificates: - continued
floater Series 2007-TFL1:
Class C:
0.368% 2/15/22 (c)(j)	$ 1,180		$ 1,062
0.468% 2/15/22 (c)(j)	421		362
Class F, 0.518% 2/15/22 (c)(j)	843		708
Series 2007-C1:
Class ASP, 0.61% 2/15/40 (j)(l)	21,431		225
Class B, 5.487% 2/15/40 (c)(j)	1,677		335
First Union National Bank-Bank of America Commercial Mortgage Trust Series 2001-C1:
Class D, 6.484% 3/15/33	375		375
Class G, 6.936% 3/15/33 (c)	903		897
GE Capital Commercial Mortgage Corp.:
sequential payer Series 2007-C1 Class A4, 5.543% 12/10/49	5,444		5,855
Series 2001-1 Class X1, 1.2156% 5/15/33 (c)(j)(l)	2,534		15
Series 2007-C1 Class XP, 0.3797% 12/10/49 (j)(l)	21,948		110
GMAC Commercial Mortgage Securities, Inc.:
Series 2004-C3 Class X2, 0.7915% 12/10/41 (j)(l)	4,597		12
Series 2005-C1 Class X2, 0.7311% 5/10/43 (j)(l)	5,224		31
Greenwich Capital Commercial Funding Corp.:
floater Series 2006-FL4 Class B, 0.3995% 11/5/21 (c)(j)	412		380
sequential payer:
Series 2007-GG11 Class A2, 5.597% 12/10/49	2,190		2,286
Series 2007-GG9 Class A4, 5.444% 3/10/39	3,184		3,448
Series 2005-GG3 Class XP, 0.6789% 8/10/42 (c)(j)(l)	22,962		105
Series 2006-GG7 Class A3, 5.881% 7/10/38 (j)	2,887		3,057
Series 2007-GG11 Class A1, 0.4589% 12/10/49 (c)(j)(l)	30,603		254
GS Mortgage Securities Corp. II:
floater:
Series 2006-FL8A:
Class C, 0.449% 6/6/20 (c)(j)	45		44
Class D, 0.489% 6/6/20 (c)(j)	261		246
Class E, 0.579% 6/6/20 (c)(j)	302		277
Class F, 0.649% 6/6/20 (c)(j)	528		480
Series 2007-EOP:
Class C, 2.1455% 3/6/20 (c)(j)	1,041		1,026
Class D, 2.3636% 3/6/20 (c)(j)	6,868		6,773
Class F, 2.8433% 3/6/20 (c)(j)	107		105
Class G, 3.0177% 3/6/20 (c)(j)	54		53
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
GS Mortgage Securities Corp. II: - continued
floater:
Series 2007-EOP:
Class H, 3.5846% 3/6/20 (c)(j)	$ 479		$ 475
Class J, 4.4568% 3/6/20 (c)(j)	686		683
sequential payer Series 2004-GG2 Class A4, 4.964% 8/10/38	339		342
Series 2005-GG4 Class XP, 0.7099% 7/10/39 (c)(j)(l)	24,991		171
GS Mortgage Securities Trust sequential payer:
Series 2006-GG8 Class A2, 5.479% 11/10/39	989		994
Series 2007-GG10 Class A2, 5.778% 8/10/45	504		516
JP Morgan Chase Commercial Mortgage Securities Trust Series 2005-CB13 Class E, 5.5268% 1/12/43 (c)(j)	694		72
JP Morgan Commercial Mortgage Finance Corp. Series 2000-C9 Class G, 6.25% 10/15/32 (c)	357		358
JPMorgan Chase Commercial Mortgage Securities Corp. Series 2006-LDP7 Class A4, 6.061% 4/15/45 (j)	2,953		3,299
JPMorgan Chase Commercial Mortgage Securities Trust:
floater Series 2006-FLA2:
Class B, 0.368% 11/15/18 (c)(j)	711		668
Class C, 0.408% 11/15/18 (c)(j)	505		470
Class D, 0.428% 11/15/18 (c)(j)	200		180
Class E, 0.478% 11/15/18 (c)(j)	288		262
Class F, 0.528% 11/15/18 (c)(j)	344		307
Class G, 0.558% 11/15/18 (c)(j)	300		258
Class H, 0.698% 11/15/18 (c)(j)	288		236
sequential payer:
Series 2006-LDP8 Class A4, 5.399% 5/15/45	698		762
Series 2006-LDP9:
Class A2, 5.134% 5/15/47 (j)	505		525
Class A3, 5.336% 5/15/47	457		493
Series 2007-CB19 Class A4, 5.9318% 2/12/49 (j)	3,840		4,231
Series 2007-CB20 Class A4, 5.794% 2/12/51	5,462		6,006
Series 2007-LD11 Class A2, 5.9901% 6/15/49 (j)	3,074		3,165
Series 2007-LDPX:
Class A2 S, 5.305% 1/15/49	2,481		2,520
Class A3, 5.42% 1/15/49	17,842		19,346
Series 2006-CB17 Class A3, 5.45% 12/12/43	312		321
Series 2007-CB19:
Class B, 5.9318% 2/12/49 (j)	93		69
Class C, 5.9318% 2/12/49 (j)	245		154
Class D, 5.9318% 2/12/49 (j)	257		129
Series 2007-LDP10 Class BS, 5.437% 1/15/49 (j)	209		121
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
JPMorgan Chase Commercial Mortgage Securities Trust: - continued
Series 2007-LDP10:
Class CS, 5.466% 1/15/49 (j)	$ 90		$ 41
Class ES, 5.7307% 1/15/49 (c)(j)	566		119
LB Commercial Conduit Mortgage Trust Series 1998-C1 Class D, 6.98% 2/18/30	285		285
LB-UBS Commercial Mortgage Trust:
sequential payer:
Series 2006-C1 Class A2, 5.084% 2/15/31	267		267
Series 2006-C6 Class A2, 5.262% 9/15/39 (j)	948		951
Series 2006-C7:
Class A1, 5.279% 11/15/38	15		15
Class A2, 5.3% 11/15/38	1,204		1,215
Class A3, 5.347% 11/15/38	816		889
Series 2007-C1:
Class A1, 5.391% 2/15/40 (j)	63		64
Class A4, 5.424% 2/15/40	6,667		7,277
Series 2007-C2 Class A3, 5.43% 2/15/40	1,996		2,163
Series 2001-C3 Class B, 6.512% 6/15/36	2,117		2,126
Series 2001-C7 Class D, 6.514% 11/15/33	1,204		1,220
Series 2005-C3 Class XCP, 0.9427% 7/15/40 (j)(l)	4,247		26
Series 2006-C6 Class XCP, 0.8631% 9/15/39 (j)(l)	6,323		95
Series 2007-C1 Class XCP, 0.6707% 2/15/40 (j)(l)	2,356		27
Series 2007-C6 Class A4, 5.858% 7/15/40 (j)	1,368		1,482
Series 2007-C7:
Class A3, 5.866% 9/15/45	1,162		1,283
Class XCP, 0.4375% 9/15/45 (j)(l)	102,957		958
Lehman Brothers Floating Rate Commercial Mortgage Trust floater Series 2006-LLFA:
Class D, 0.428% 9/15/21 (c)(j)	351		320
Class E, 0.488% 9/15/21 (c)(j)	1,265		1,126
Class F, 0.538% 9/15/21 (c)(j)	723		622
Class G, 0.558% 9/15/21 (c)(j)	1,429		1,172
Class H, 0.598% 9/15/21 (c)(j)	369		291
Lehman Large Loan Trust Series 1997-LLI Class E, 7.3% 10/12/34	1,943		1,971
Merrill Lynch Mortgage Trust:
sequential payer Series 2005-CIP1 Class A2, 4.96% 7/12/38	2,523		2,545
Series 2005-CKI1 Class A3, 5.3967% 11/12/37 (j)	858		875
Series 2005-LC1 Class F, 5.5633% 1/12/44 (c)(j)	953		507
Series 2006-C1 Class A2, 5.8093% 5/12/39 (j)	1,077		1,109
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Merrill Lynch Mortgage Trust: - continued
Series 2007-C1 Class A4, 6.02% 6/12/50 (j)	$ 4,145		$ 4,576
Series 2008-C1 Class A4, 5.69% 2/12/51	2,338		2,573
Merrill Lynch-CFC Commercial Mortgage Trust:
floater Series 2006-4 Class A2FL, 0.3465% 12/12/49 (j)	489		479
sequential payer:
Series 2006-1 CLass A3, 5.4822% 2/12/39 (j)	1,165		1,201
Series 2006-4 Class ASB, 5.133% 12/12/49 (j)	941		1,000
Series 2007-5:
Class A3, 5.364% 8/12/48	427		440
Class A4, 5.378% 8/12/48	55		59
Class B, 5.479% 8/12/48	3,285		1,520
Series 2007-6:
Class A1, 5.175% 3/12/51	25		25
Class A4, 5.485% 3/12/51 (j)	2,594		2,797
Series 2007-7 Class A4, 5.81% 6/12/50 (j)	3,832		4,150
Series 2007-8 Class A1, 4.622% 8/12/49	130		131
Series 2006-4 Class XP, 0.829% 12/12/49 (j)(l)	23,869		420
Series 2007-6 Class B, 5.635% 3/12/51 (j)	1,095		560
Series 2007-7 Class B, 5.9352% 6/12/50 (j)	1,409		394
Series 2007-8 Class A3, 6.1636% 8/12/49 (j)	944		1,040
Morgan Stanley Capital I Trust:
floater:
Series 2006-XLF Class C, 1.398% 7/15/19 (c)(j)	227		113
Series 2007-XCLA Class A1, 0.398% 7/17/17 (c)(j)	872		802
Series 2007-XLFA:
Class C, 0.358% 10/15/20 (c)(j)	629		586
Class D, 0.388% 10/15/20 (c)(j)	422		380
Class E, 0.448% 10/15/20 (c)(j)	528		469
Class F, 0.498% 10/15/20 (c)(j)	397		346
Class G, 0.538% 10/15/20 (c)(j)	491		391
Class H, 0.628% 10/15/20 (c)(j)	309		222
Class J, 0.778% 10/15/20 (c)(j)	353		186
Class MHRO, 0.888% 10/15/20 (c)(j)	417		358
Class MJPM, 1.198% 10/15/20 (c)(j)	25		23
Class NHRO, 1.088% 10/15/20 (c)(j)	503		412
sequential payer:
Series 2003-IQ5 Class X2, 1.0242% 4/15/38 (c)(j)(l)	3,689		9
Series 2005-IQ9 Class A3, 4.54% 7/15/56	1,626		1,665
Series 2007-HQ11:
Class A1, 5.246% 2/12/44	52		52
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Morgan Stanley Capital I Trust: - continued
sequential payer:
Series 2007-HQ11:
Class A31, 5.439% 2/12/44 (j)	$ 8,687		$ 9,027
Series 2007-IQ13 Class A1, 5.05% 3/15/44	140		141
Series 2007-IQ15 Class A4, 5.8785% 6/11/49 (j)	4,988		5,507
Series 2007-T25 Class A1, 5.391% 11/12/49	97		98
Series 2007-T27 Class A4, 5.7946% 6/11/42 (j)	4,010		4,507
Series 2003-IQ6 Class X2, 0.7293% 12/15/41 (c)(j)(l)	8,119		26
Series 2005-IQ9 Class X2, 1.2137% 7/15/56 (c)(j)(l)	14,512		97
Series 2006-HQ10 Class X2, 0.6882% 11/12/41 (c)(j)(l)	5,430		43
Series 2006-HQ8 Class A3, 5.6465% 3/12/44 (j)	691		698
Series 2006-IQ11 Class A4, 5.8976% 10/15/42 (j)	329		365
Series 2006-T23 Class A3, 5.9755% 8/12/41 (j)	559		601
Series 2007-HQ12 Class A4, 5.7773% 4/12/49 (j)	5,793		6,045
Series 2007-IQ14:
Class A4, 5.692% 4/15/49 (j)	1,642		1,774
Class AAB, 5.654% 4/15/49	2,402		2,550
Class B, 5.9112% 4/15/49 (j)	269		151
Structured Asset Securities Corp. Series 1997-LLI Class D, 7.15% 10/12/34	89		90
Wachovia Bank Commercial Mortgage Trust:
floater:
Series 2005-WL5A Class K, 1.398% 1/15/18 (c)(j)	809		776
Series 2006-WL7A:
Class E, 0.4771% 9/15/21 (c)(j)	1,099		936
Class F, 0.5371% 8/11/18 (c)(j)	1,189		970
Class G, 0.5571% 8/11/18 (c)(j)	1,126		764
Class J, 0.7971% 8/11/18 (c)(j)	314		171
Series 2007-WHL8:
Class AP1, 0.898% 6/15/20 (c)(j)	105		79
Class AP2, 0.998% 6/15/20 (c)(j)	175		122
Class F, 0.678% 6/15/20 (c)(j)	2,710		2,222
Class LXR1, 0.898% 6/15/20 (c)(j)	169		143
sequential payer:
Series 2003-C7 Class A1, 4.241% 10/15/35 (c)	1,330		1,338
Series 2006-C27 Class A2, 5.624% 7/15/45	824		827
Series 2006-C28 Class A4, 5.572% 10/15/48	5,427		5,930
Series 2006-C29:
Class A1, 5.11% 11/15/48	69		69
Class A3, 5.313% 11/15/48	2,908		3,130
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Wachovia Bank Commercial Mortgage Trust: - continued
sequential payer:
Series 2007-C30:
Class A3, 5.246% 12/15/43	$ 940		$ 963
Class A4, 5.305% 12/15/43	322		332
Class A5, 5.342% 12/15/43	1,172		1,242
Series 2007-C31 Class A4, 5.509% 4/15/47	2,475		2,628
Series 2007-C32:
Class A2, 5.9267% 6/15/49 (j)	1,224		1,275
Class A3, 5.9317% 6/15/49 (j)	15,651		16,922
Series 2003-C6 Class G, 5.125% 8/15/35 (c)(j)	652		655
Series 2004-C15:
Class 180A, 5.5782% 10/15/41 (c)(j)	1,055		1,058
Class 180B, 5.5782% 10/15/41 (c)(j)	480		480
Series 2005-C19 Class B, 4.892% 5/15/44	1,095		1,034
Series 2005-C22:
Class B, 5.5358% 12/15/44 (j)	2,428		2,226
Class F, 5.5358% 12/15/44 (c)(j)	1,826		1,074
Series 2007-C30:
Class C, 5.483% 12/15/43 (j)	3,285		1,774
Class D, 5.513% 12/15/43 (j)	1,752		738
Class XP, 0.6357% 12/15/43 (c)(j)(l)	14,659		166
Series 2007-C31 Class C, 5.8836% 4/15/47 (j)	4,515		2,403
Series 2007-C31A Class A2, 5.421% 4/15/47	3,482		3,632
Series 2007-C32:
Class D, 5.9317% 6/15/49 (j)	823		393
Class E, 5.9317% 6/15/49 (j)	1,297		464
Wachovia Bank Commercial Mortgage Trust pass-thru certificates sequential payer Series 2007-C33 Class A5, 6.0966% 2/15/51 (j)	12,495		13,616
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $326,382)		406,370
Municipal Securities - 0.4%
Beaver County Indl. Dev. Auth. Poll. Cont. Rev. Bonds (FirstEnergy Nuclear Generation Corp. Proj.) Series 2005 A, 3.375%, tender 7/1/15 (j)	1,835		1,826
California Gen. Oblig.:
7.5% 4/1/34	6,295		7,332
7.55% 4/1/39	4,599		5,419
Illinois Gen. Oblig.:
5.665% 3/1/18	3,235		3,412
5.877% 3/1/19	2,885		3,029
TOTAL MUNICIPAL SECURITIES (Cost $18,909)		21,018
Foreign Government and Government Agency Obligations - 0.1%
	Principal Amount (000s)		Value (000s)
United Mexican States 6.05% 1/11/40 (Cost $3,523)	$ 3,476		$ 3,693
Supranational Obligations - 0.0%
Corporacion Andina de Fomento 5.2% 5/21/13 (Cost $410)	412		440

Fixed-Income Funds - 17.3%
	Shares
Fidelity Mortgage Backed Securities Central Fund (k)	6,821,842		727,072
Fidelity Specialized High Income Central Fund (k)	1,233,173		126,363
TOTAL FIXED-INCOME FUNDS (Cost $806,828)		853,435
Cash Equivalents - 2.2%
	Maturity Amount (000s)
Investments in repurchase agreements in a joint trading account at 0.14%, dated 5/31/11 due 6/1/11 (Collateralized by U.S. Government Obligations) # (Cost $107,897)	$ 107,897		107,897
TOTAL INVESTMENT PORTFOLIO - 107.5% (Cost $5,041,916)			5,300,748
NET OTHER ASSETS (LIABILITIES) - (7.5)%			(369,821)
NET ASSETS - 100%		$ 4,930,927

Swap Agreements
	Expiration Date	Notional Amount (000s)
Credit Default Swaps
Receive from Credit Suisse First Boston, upon credit event of UFJ Finance Aruba AEC, par value of the notional amount of UFJ Finance Aruba AEC 6.75% 7/15/13, and pay quarterly notional amount multiplied by 1% (Rating-Aa3) (Upfront Premium Received/(Paid) ($177,000)) (h)	March 2018	$ 5,500	296
Swap Agreements - continued
	Expiration Date	Notional Amount (000s)	Value (000s)
Credit Default Swaps - continued
Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to Credit Suisse First Boston upon each credit event of one of the issues of ABX AA 07-01 Index, par value of the proportional notional amount (Rating-C) (Upfront Premium Received/(Paid) $2,116,000) (i)	Sept. 2037	$ 5,788	$ (5,408)
Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to Credit Suisse First Boston upon each credit event of one of the issues of ABX AA 07-01 Index, par value of the proportional notional amount (Rating-C) (Upfront Premium Received/(Paid) $5,250,000) (i)	Sept. 2037	15,728	(14,696)
Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to JPMorgan Chase, Inc. upon each credit event of one of the issues of ABX AA 07-01 Index, par value of the proportional notional amount (Rating-C) (Upfront Premium Received/(Paid) $1,302,000) (i)	Sept. 2037	3,523	(3,292)
Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to JPMorgan Chase, Inc. upon each credit event of one of the issues of ABX AA 07-01 Index, par value of the proportional notional amount (Rating-C) (Upfront Premium Received/(Paid) $4,231,000) (i)	Sept. 2037	11,765	(10,992)
Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to Morgan Stanley, Inc. upon each credit event of one of the issues of ABX AA 07-01 Index, par value of the proportional notional amount (Rating-C) (Upfront Premium Received/(Paid) $2,754,000) (i)	Sept. 2037	6,417	(5,996)
Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to UBS upon each credit event of one of the issues of ABX AA 07-1 Index, par value of the proportional notional amount (Rating-C) (Upfront Premium Received/(Paid) $3,716,000) (i)	Sept. 2037	10,506	(9,817)
Swap Agreements - continued
	Expiration Date	Notional Amount (000s)	Value (000s)
Credit Default Swaps - continued
Receive monthly notional amount multiplied by .82% and pay UBS upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC6 Class M3, 5.6413% 7/25/34 (Rating-Ca) (h)	August 2034	$ 561	$ (311)
Receive monthly notional amount multiplied by .85% and pay UBS upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC8 Class M6, 5.4413% 9/25/34 (Rating-Ca) (h)	Oct. 2034	554	(231)
Receive monthly notional amount multiplied by 2.54% and pay Merrill Lynch upon credit event of Countrywide Home Loans, Inc., par value of the notional amount of Countrywide Home Loans, Inc. Series 2003-BC1 Class B1, 7.6913% 3/25/32 (Rating-Ca) (h)	April 2032	186	(109)
Receive monthly notional amount multiplied by 2.61% and pay Goldman Sachs upon credit event of Fremont Home Loan Trust, par value of the notional amount of Fremont Home Loan Trust Series 2004-A Class B3, 7.0413% 1/25/34 (Rating-C) (h)	Feb. 2034	4	(3)
Receive monthly notional amount multiplied by 3.05% and pay Merrill Lynch upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC8, Class B3, 7.2913% 9/25/34 (Rating-Ca) (h)	Oct. 2034	731	(276)
Swap Agreements - continued
	Expiration Date	Notional Amount (000s)	Value (000s)
Credit Default Swaps - continued
Receive monthly notional amount multiplied by 3.35% and pay Morgan Stanley, Inc. upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-HE7, Class B3, 9.01% 8/25/34 (Rating-C) (h)	Sept. 2034	$ 550	$ (415)
Receive quarterly notional amount multiplied by 4% and pay Morgan Stanley, Inc. upon credit event of Developers Diversified Realty Corp., par value of the notional amount of Developers Diversified Realty Corp. 5.375% 10/15/12 (Rating-Baa3) (h)	March 2013	13,500	897
TOTAL CREDIT DEFAULT SWAPS		$ 75,313	$ (50,353)
Interest Rate Swaps
Receive quarterly a floating rate based on 3-month LIBOR and pay semi-annually a fixed rate equal to 4.5176% with JPMorgan Chase, Inc.	Feb. 2041	52,089	(5,803)
		$ 127,402	$ (56,156)

Legend

(a) Non-income producing - Security is in default.

(b) Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end.

(c) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $314,127,000 or 6.4% of net assets.

(d) Security is perpetual in nature with no stated maturity date.

(e) Security or a portion of the security purchased on a delayed delivery or when-issued basis.

(f) A portion of the security is subject to a forward commitment to sell.

(g) Security or a portion of the security has been segregated as collateral for open swap agreements. At the period end, the value of securities pledged amounted to $60,694,000.

(h) Represents a credit default swap contract in which the Fund has sold protection on the underlying reference entity. The value of each credit default swap and the credit rating can be measures of the current payment/performance risk. For the underlying reference entity, ratings disclosed are from Moody's Investors Service, Inc. Where Moody's ratings are not available, S&P ratings are disclosed and are indicated as such. All ratings are as of the report date and do not reflect subsequent changes. Where a credit rating is not disclosed, the value is used as the measure of the payment/performance risk.

(i) Represents a credit default swap based on a tradable index of home equity asset-backed debt securities. The value of each credit default swap and the credit rating can be measures of the current payment/performance risk. In addition, the swap represents a contract in which the Fund has sold protection on the index of underlying securities. Ratings represent a weighted average of the ratings of all securities included in the index. Ratings used in the weighted average are from Moody's Investors Service, Inc., or S&P where Moody's ratings are not available. All ratings are as of the report date and do not reflect subsequent changes.

(j) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.

(k) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. A complete unaudited schedule of portfolio holdings for each Fidelity Central Fund is filed with the SEC for the first and third quarters of each fiscal year on Form N-Q and is available upon request or at the SEC's web site at www.sec.gov. An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro rata share of 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. In addition, each Fidelity Central Fund's financial statements are available on the SEC's web site or upon request.

(l) Security represents right to receive monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool held as of the end of the period.

* Amount represents less than $1,000.

Quarterly Report

Investments (Unaudited) - continued

# Additional information on each counterparty to the repurchase agreement is as follows:

Repurchase Agreement / Counterparty	Value (Amounts in thousands)
$107,897,000 due 6/01/11 at 0.14%
Goldman, Sachs & Co.	$ 3,241
HSBC Securities (USA), Inc.	19,445
Merrill Lynch, Pierce, Fenner & Smith, Inc.	5,119
Mizuho Securities USA, Inc.	58,336
Societe Generale	6,161
Wells Fargo Securities LLC	15,595
	$ 107,897

Affiliated Central Funds

Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows:

Fund	Income earned (Amounts in thousands)
Fidelity Mortgage Backed Securities Central Fund	$ 19,155
Fidelity Specialized High Income Central Fund	7,081
Total	$ 26,236

Additional information regarding the Fund's fiscal year to date purchases and sales, including the ownership percentage, of the non Money Market Central Funds is as follows:

Fund (Amounts in thousands)	Value, beginning of period	Purchases	Sales Proceeds*	Value, end of period	% ownership, end of period
Fidelity Mortgage Backed Securities Central Fund	$ 885,153	$ 17,790	$ 178,562	$ 727,072	6.4%
Fidelity Specialized High Income Central Fund	143,843	6,443	30,782	126,363	28.1%
Total	$ 1,028,996	$ 24,233	$ 209,344	$ 853,435

* Includes the value of shares redeemed through in-kind transactions.

Other Information

The following is a summary of the inputs used, as of May 31, 2011, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the tables below, please refer to the Investment Valuation section at the end of this listing.

Valuation Inputs at Reporting Date:
Description (Amounts in thousands)	Total	Level 1	Level 2	Level 3
Investments in Securities:
Corporate Bonds	$ 1,059,529	$ -	$ 1,059,529	$ -
U.S. Government and Government Agency Obligations	1,580,177	-	1,580,177	-
U.S. Government Agency - Mortgage Securities	1,131,764	-	1,131,764	-
Asset-Backed Securities	68,917	-	57,192	11,725
Collateralized Mortgage Obligations	67,508	-	62,300	5,208
Commercial Mortgage Securities	406,370	-	370,962	35,408
Municipal Securities	21,018	-	21,018	-
Foreign Government and Government Agency Obligations	3,693	-	3,693	-
Supranational Obligations	440	-	440	-
Fixed-Income Funds	853,435	853,435	-	-
Cash Equivalents	107,897	-	107,897	-
Total Investments in Securities:	$ 5,300,748	$ 853,435	$ 4,394,972	$ 52,341
Derivative Instruments:
Assets
Swap Agreements	$ 1,193	$ -	$ 1,193	$ -
Liabilities
Swap Agreements	$ (57,349)	$ -	$ (56,003)	$ (1,346)
Total Derivative Instruments:	$ (56,156)	$ -	$ (54,810)	$ (1,346)
Other Financial Instruments:
Forward Commitments	$ (936)	$ -	$ (936)	$ -

The following is a reconciliation of Investments in Securities and Derivative Instruments for which Level 3 inputs were used in determining value:

(Amounts in thousands)
Investments in Securities:
Beginning Balance	$ 68,258
Total Realized Gain (Loss)	(1,594)
Total Unrealized Gain (Loss)	18,757
Cost of Purchases	5,600
Proceeds of Sales	(19,389)
Amortization/Accretion	(255)
Transfers in to Level 3	7,435
Transfers out of Level 3	(26,471)
Ending Balance	$ 52,341
The change in unrealized gain (loss) for the period attributable to Level 3 securities held at May 31, 2011	$ 18,640
Derivative Instruments:
Swap Agreements
Beginning Balance	$ (1,687)
Total Unrealized Gain (Loss)	341
Transfers in to Level 3	-
Transfers out of Level 3	-
Ending Balance	$ (1,346)
Realized gain (loss) on Swap Agreements for the period	$ 55
The change in unrealized gain (loss) for the period attributable to Level 3 Swap Agreements held at May 31, 2011	$ 341

The information used in the above reconciliation represents fiscal year to date activity for any Investments in Securities and Derivative Instruments identified as using Level 3 inputs at either the beginning or the end of the current fiscal period and includes the value of securities delivered through affiliated in-kind transactions. Transfers in or out of Level 3 represent the beginning value of any Security or Instrument where a change in the pricing level occurred from the beginning to the end of the period. The cost of purchases and the proceeds of sales may include securities received or delivered through corporate actions or exchanges.

Income Tax Information

At May 31, 2011, the cost of investment securities for income tax purposes was $5,123,306,000. Net unrealized appreciation aggregated $177,442,000, of which $219,537,000 related to appreciated investment securities and $42,095,000 related to depreciated investment securities.

Investment Valuation

Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Security transactions are accounted for as of trade date. The Fund uses independent pricing services approved by the Board of Trustees to value its investments. When current market prices or quotations are not readily available or reliable, valuations may be determined in good faith in accordance with procedures adopted by the Board of Trustees. Factors used in determining value may include market or security specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The value used for net asset value calculation under these procedures may differ from published prices for the same securities. The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels: Level 1 - quoted prices in active markets for identical investments. Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds etc.). Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available). Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. Valuation techniques used to value the Fund's investments by major category are as follows:

Debt securities, including restricted securities, are valued based on evaluated prices received from independent pricing services or from dealers who make markets in such securities. For corporate bonds, foreign government and government agency obligations, municipal securities, supranational obligations and U.S. government and government agency obligations, pricing services utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices and are generally categorized as Level 2 in the hierarchy.

For asset backed securities, collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities, pricing services utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices and, accordingly, such securities are generally categorized as Level 2 in the hierarchy. Short-term securities with remaining maturities of sixty days or less may be valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy. Swaps are marked-to-market daily based on valuations from independent pricing services or dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Pricing services utilize matrix pricing which considers comparisons to interest rate curves, credit spread curves, default possibilities and recovery rates and, as a result, swaps are generally categorized as Level 2 in the hierarchy. When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing matrices which consider similar factors that would be used by independent pricing services. These are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day and are categorized as Level 1 in the hierarchy.

For additional information on the Fund's policy regarding valuation of investments and other significant accounting policies, please refer to the Fund's most recent semiannual or annual shareholder report.

Credit Default Swap Agreements

The Fund entered into credit default swaps, which are agreements with a counterparty that enable the Fund to buy or sell protection on a debt security or a basket of securities against a defined credit event. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller acts as a guarantor of the creditworthiness of a reference obligation. The Fund enters into credit default swaps as a seller to gain credit exposure to an issuer and/or as a buyer to provide a measure of protection against defaults of an issuer. The issuer may be either a single issuer or a basket of issuers. Periodic payments are made over the life of the contract provided that no credit event occurs.

For credit default swaps on most corporate and sovereign issuers, credit events include bankruptcy, failure to pay, obligation acceleration or repudiation/moratorium. For credit default swaps on corporate or sovereign issuers, the obligation that may be put to the seller is not limited to the specific reference obligation described. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swaps on asset-backed securities, the reference obligation described represents the security that may be put to the seller.

As a seller, if an underlying credit event occurs, the Fund will either pay the buyer an amount equal to the notional amount of the swap and take delivery of the reference obligation or underlying securities comprising an index or pay a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. As a buyer, if an underlying credit event occurs, the Fund will either receive from the seller an amount equal to the notional amount of the swap and deliver the reference obligation or underlying securities comprising an index or receive a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index.

Credit default swaps are marked-to-market daily and changes in value are recorded as unrealized appreciation or (depreciation). Any upfront premiums paid or received upon entering a swap to compensate for differences between stated terms of the agreement and prevailing market conditions (e.g. credit spreads, interest rates or other factors) are recorded as realized gain or (loss) ratably over the term of the swap. Payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gain or (loss). Realized gain or (loss) is also recorded in the event of an early termination of a swap.

The Fund is exposed to additional risks from investing in credit default swaps, such as liquidity risk and counterparty risk. Liquidity risk is the risk that the Fund will be unable to sell a credit default swaps in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. Counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. The Fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association (ISDA) Master Agreement on a bilateral basis with each of its counterparties. The ISDA Master Agreement gives the Fund the right to terminate all transactions traded under such agreement if there is a certain deterioration in the credit quality of the counterparty. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk, the Fund offsets certain payables and/or receivables with collateral. Collateral, in the form of cash or securities, may be required to be held in segregated accounts with the Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the swap counterparty and the Fund's custodian bank and, if required, is identified. The Fund could experience delays and costs in gaining access to the collateral even though it is held by the Fund's custodian bank. The Fund's maximum risk of loss from counterparty credit risk is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to the Fund.

Typically, the value of each credit default swap and credit rating disclosed for each reference obligation, where the Fund is the seller, can be used as measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. In addition to these measures, FMR monitors a variety of factors including cash flow assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/performance risk.

The notional amount of credit default swaps approximates the maximum potential amount of future payments that the Fund could be required to make if the Fund is the seller and a credit event were to occur. The total notional amount of all credit default swaps open at period end where the Fund is the seller amounted to $69,813,000 representing 1.4% of net assets.

Credit Risk

The Fund invests a portion of its assets in structured securities of issuers backed by residential mortgage loans, credit card receivables and automotive loans. The value and related income of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults.

Quarterly Report

The fund's schedule of investments as of the date on the cover of this report has not been audited. This report is provided for the general information of the fund's shareholders. For more information regarding the fund and its holdings, please

see the fund's most recent prospectus and annual report.

Third party trademarks and service marks are the property of their respective owners. All other trademarks and service marks are the property of FMR LLC

or an affiliate.

Quarterly Report

Item 2. Controls and Procedures

(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the Fidelity Fixed-Income Trust's (the "Trust") disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable assurances that material information relating to the Trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.

(a)(ii) There was no change in the Trust's internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the Trust's last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the Trust's internal control over financial reporting.

Item 3. Exhibits

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

SIGNATURES

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

Fidelity Fixed-Income Trust

By:	/s/John R. Hebble
	John R. Hebble
	President and Treasurer
Date:	July 29, 2011

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

By:	/s/John R. Hebble
	John R. Hebble
	President and Treasurer
Date:	July 29, 2011
By:	/s/Christine Reynolds
	Christine Reynolds
	Chief Financial Officer
Date:	July 29, 2011