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 Salem Street 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, 2012

Item 1. Schedule of Investments

Quarterly Holdings Report

for

Fidelity® Conservative
Income Bond Fund

May 31, 2012

1.924094.101

FCV-QTLY-0712

Investments May 31, 2012 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 63.7%
	Principal Amount		Value
CONSUMER DISCRETIONARY - 6.2%
Automobiles - 6.2%
Daimler Finance North America LLC:
1.2492% 4/10/14 (b)(c)	$ 15,000,000		$ 15,008,100
1.6736% 9/13/13 (b)(c)	21,165,000		21,303,123
1.7992% 7/11/13 (b)(c)	4,600,000		4,637,173
Volkswagen International Finance NV:
0.9182% 10/1/12 (b)(c)	20,810,000		20,825,816
1.0742% 9/22/13 (b)(c)	10,000,000		9,997,460
1.0782% 4/1/14 (b)(c)	1,805,000		1,800,581
1.2242% 3/21/14 (b)(c)	10,000,000		10,003,580
			83,575,833
Textiles, Apparel & Luxury Goods - 0.0%
VF Corp. 1.2169% 8/23/13 (c)	416,000		415,949
TOTAL CONSUMER DISCRETIONARY			83,991,782
CONSUMER STAPLES - 0.1%
Beverages - 0.1%
Miller Brewing Co. 5.5% 8/15/13 (b)	1,663,000		1,744,545
ENERGY - 0.7%
Oil, Gas & Consumable Fuels - 0.7%
Schlumberger Investment SA 1.0236% 9/12/14 (b)(c)	5,500,000		5,505,990
Total Capital Canada Ltd. 1.625% 1/28/14	3,250,000		3,300,967
			8,806,957
FINANCIALS - 45.9%
Capital Markets - 6.8%
BlackRock, Inc. 0.7669% 5/24/13 (c)	5,000,000		5,013,675
Credit Suisse USA, Inc. 0.7192% 4/12/13 (c)	3,676,000		3,659,969
HSBC Bank PLC:
0.8969% 5/15/13 (b)(c)	11,900,000		11,894,633
1.2662% 1/17/14 (b)(c)	13,050,000		13,080,915
JPMorgan Chase & Co. 1.2657% 1/24/14 (c)	48,900,000		48,951,971
The Bank of New York Mellon Corp. 0.7359% 7/28/14 (c)	5,000,000		4,993,095
UBS AG Stamford Branch:
2.25% 8/12/13	1,355,000		1,362,649
2.75% 1/8/13	3,300,000		3,317,599
			92,274,506
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Commercial Banks - 23.1%
ABN AMRO Bank NV 2.2359% 1/30/14 (b)(c)	$ 15,000,000		$ 14,922,105
American Express Bank FSB 0.3888% 6/12/12 (c)	11,081,000		11,081,310
American Express Centurion Bank 0.3888% 6/12/12 (c)	4,878,000		4,878,005
ANZ Banking Group Ltd. 1.1437% 9/24/13 (b)(c)	2,000,000		2,009,290
Bank of Tokyo-Mitsubishi UFJ Ltd. 2.6% 1/22/13 (b)	19,225,000		19,399,390
Barclays Bank PLC 2.5% 1/23/13	39,022,000		39,323,445
BNP Paribas:
0.8692% 4/8/13 (c)	8,290,000		8,202,441
2.125% 12/21/12	21,138,000		21,203,824
Commonwealth Bank of Australia:
1.0237% 3/19/13 (b)(c)	11,740,000		11,786,925
1.1659% 8/7/13 (b)(c)	5,000,000		5,020,940
1.2037% 3/17/14 (b)(c)	6,116,000		6,119,794
Credit Suisse New York Branch:
1.4267% 1/14/14 (c)	6,000,000		6,000,948
5% 5/15/13	32,250,000		33,330,730
Fifth Third Bank 0.5759% 5/17/13 (c)	29,928,000		29,771,626
ING Bank NV:
1.5237% 3/15/13 (b)(c)	18,000,000		17,990,874
2.65% 1/14/13 (b)	5,000,000		5,029,400
National Australia Bank Ltd.:
0.9492% 1/8/13 (b)(c)	7,100,000		7,108,229
2.5% 1/8/13 (b)	855,000		863,535
Nordea Bank AB:
1.3667% 1/14/14 (b)(c)	8,550,000		8,551,791
2.5% 11/13/12 (b)	12,855,000		12,952,158
PNC Funding Corp. 0.6659% 1/31/14 (c)	5,000,000		4,983,190
Rabobank Nederland NV 2.65% 8/17/12 (b)	14,500,000		14,549,982
Royal Bank of Canada 0.7662% 4/17/14 (c)	4,850,000		4,858,987
Svenska Handelsbanken AB 2.875% 9/14/12 (b)	18,488,000		18,600,499
Westpac Banking Corp.:
0.8936% 6/14/13 (b)(c)	5,000,000		5,010,955
1.2046% 12/9/13 (c)	1,730,000		1,737,446
			315,287,819
Consumer Finance - 6.3%
American Express Credit Corp. 1.9398% 6/19/13 (c)	440,000		445,510
American Honda Finance Corp. 0.6869% 8/28/12 (b)(c)	4,335,000		4,336,240
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Consumer Finance - continued
Caterpillar Financial Services Corp. 0.8159% 2/9/15 (c)	$ 10,000,000		$ 10,046,050
General Electric Capital Corp.:
0.5959% 11/1/12 (c)	500,000		500,549
1.1659% 4/24/14 (c)	15,000,000		15,019,650
1.3192% 1/7/14 (c)	11,913,000		11,954,338
3.5% 8/13/12	8,698,000		8,747,857
HSBC Finance Corp.:
0.8157% 7/19/12 (c)	10,000,000		9,999,368
0.8237% 9/14/12 (c)	5,340,000		5,340,208
John Deere Capital Corp. 0.8682% 10/4/13 (c)	10,000,000		10,052,360
Toyota Motor Credit Corp. 0.8662% 1/17/14 (c)	10,000,000		10,042,970
			86,485,100
Diversified Financial Services - 6.7%
Bank of America Corp.:
1.8859% 1/30/14 (c)	10,000,000		9,842,470
4.875% 9/15/12	2,000,000		2,018,798
BP Capital Markets PLC:
1.0736% 3/11/14 (c)	1,160,000		1,167,499
1.1008% 12/6/13 (c)	2,487,000		2,508,398
Citigroup, Inc.:
1.3169% 2/15/13 (c)	10,000,000		9,987,310
2.4669% 8/13/13 (c)	7,000,000		7,048,181
5.5% 8/27/12	13,800,000		13,936,496
5.5% 4/11/13	29,276,000		30,064,520
Deutsche Bank AG London Branch 2.375% 1/11/13	12,933,000		13,001,700
MassMutual Global Funding II 0.9732% 9/27/13 (b)(c)	1,180,000		1,182,142
			90,757,514
Insurance - 1.5%
Metropolitan Life Global Funding I:
1.2192% 1/10/14 (b)(c)	2,600,000		2,601,628
1.5987% 9/17/12 (b)(c)	2,400,000		2,404,438
2.5% 1/11/13 (b)	15,000,000		15,154,815
			20,160,881
Thrifts & Mortgage Finance - 1.5%
Countrywide Financial Corp. 5.8% 6/7/12	20,500,000		20,506,355
TOTAL FINANCIALS			625,472,175
Nonconvertible Bonds - continued
	Principal Amount		Value
HEALTH CARE - 1.9%
Pharmaceuticals - 1.9%
Teva Pharmaceutical Finance Co. BV 1.3659% 11/8/13 (c)	$ 12,000,000		$ 12,089,520
Teva Pharmaceutical Finance III BV 0.9737% 3/21/14 (c)	13,375,000		13,390,716
			25,480,236
INDUSTRIALS - 3.7%
Aerospace & Defense - 3.7%
United Technologies Corp.:
0.7469% 12/2/13 (c)	40,000,000		40,136,640
0.9669% 6/1/15 (c)	10,000,000		10,091,680
			50,228,320
INFORMATION TECHNOLOGY - 1.5%
Office Electronics - 1.5%
Xerox Corp.:
1.2859% 5/16/14 (c)	5,846,000		5,807,767
1.8737% 9/13/13 (c)	15,000,000		15,105,840
			20,913,607
MATERIALS - 1.5%
Metals & Mining - 1.5%
BHP Billiton Financial (USA) Ltd. 0.7369% 2/18/14 (c)	20,000,000		20,069,240
TELECOMMUNICATION SERVICES - 1.1%
Diversified Telecommunication Services - 1.1%
BellSouth Corp. 4.02% 4/26/21 (b)(c)	9,000,000		9,244,647
British Telecommunications PLC 5.15% 1/15/13	6,177,000		6,335,632
			15,580,279
UTILITIES - 1.1%
Electric Utilities - 0.5%
Georgia Power Co. 0.7937% 3/15/13 (c)	4,250,000		4,252,682
Northeast Utilities 1.2242% 9/20/13 (c)	2,908,000		2,917,704
			7,170,386
Nonconvertible Bonds - continued
	Principal Amount		Value
UTILITIES - continued
Multi-Utilities - 0.6%
DTE Energy Co. 1.1797% 6/3/13 (c)	$ 1,715,000		$ 1,717,259
Sempra Energy 1.2337% 3/15/14 (c)	6,541,000		6,541,661
			8,258,920
TOTAL UTILITIES			15,429,306
TOTAL NONCONVERTIBLE BONDS (Cost $866,389,659)		867,716,447
Municipal Securities - 7.1%
Burke County Indl. Dev. Auth. Poll. Cont. Rev. Bonds (Georgia Pwr. Co. Plant Vogtle Proj.) Series 2008, 0.8%, tender 6/21/12 (c)	2,000,000		2,000,480
Clark County Fuel Tax Series 2008 A, 0.75% 6/7/12 (Liquidity Facility Landesbank Baden-Wuert), VRDN (c)(e)	6,700,000		6,700,000
Los Angeles Reg'l. Arpts. Impt. Rev. (Compagne Nationale Air France Int'l. Arpt. Proj.) Series 1991, 0.86% 6/7/12, LOC Societe Generale, VRDN (c)(e)	1,425,000		1,425,000
New York Hsg. Fin. Agcy. Rev. (Related-42nd & 10th Street Proj.) Series 2007 A, 0.61% 6/7/12, LOC Landesbank Baden-Wuert, VRDN (c)(e)	27,000,000		27,000,000
Ohio Hsg. Fin. Agcy. Mtg. Rev.:
(Mtg.-Backed Securities Prog.) Series 2007 E, 0.7% 6/7/12 (Liquidity Facility KBC Bank NV), VRDN (c)(e)	29,200,000		29,200,000
Series 2007 B, 0.75% 6/7/12 (Liquidity Facility KBC Bank NV), VRDN (c)(e)	1,725,000		1,725,000
Parson County Indl. Facilities and Poll. Cont. Fing. Auth. (CertainTeed Gypsum NC, Inc. Proj.) Series 2010, 0.65% 6/7/12, LOC Cr. Industriel et Commercial, VRDN (c)	28,415,000		28,415,000
TOTAL MUNICIPAL SECURITIES (Cost $96,465,000)		96,465,480
Certificates of Deposit - 8.2%
Bank of Nova Scotia yankee:
0.6682% 10/1/12 (c)	4,000,000		4,001,452
0.7869% 2/15/13 (c)	6,400,000		6,410,016
0.8857% 10/18/13 (c)	5,000,000		5,014,660
Certificates of Deposit - continued
	Principal Amount		Value
Bank of Nova Scotia yankee: - continued
0.9659% 2/10/14 (c)	$ 12,000,000		$ 12,001,164
BNP Paribas SA yankee:
1.1497% 3/4/13 (c)	5,000,000		4,976,670
1.1657% 7/23/12 (c)	6,000,000		6,002,250
Canadian Imperial Bank of Commerce yankee:
0.6659% 11/5/12 (c)	5,000,000		5,003,545
0.6682% 10/1/12 (c)	3,000,000		2,999,649
0.6797% 9/4/12 (c)	2,400,000		2,400,533
National Australia Bank yankee 1.6659% 1/30/14 (c)	10,000,000		10,054,990
Nordea Bank Finland PLC yankee:
0.9092% 4/5/13 (c)	5,400,000		5,401,010
0.9246% 3/8/13 (c)	2,000,000		2,000,728
0.9459% 2/7/13 (c)	6,565,000		6,569,852
Svenska Handelsbanken AB yankee:
0.9157% 1/18/13 (c)	6,600,000		6,610,864
0.9237% 3/18/13 (c)	12,400,000		12,428,446
Westpac Banking Corp. yankee:
0.6869% 8/24/12 (c)	175,000		174,881
1.2192% 7/10/13 (c)	19,750,000		19,751,778
TOTAL CERTIFICATES OF DEPOSIT (Cost $111,697,231)		111,802,488
Commercial Paper - 18.8%
Atlantic Asset Securitization Corp. 0.4% 6/22/12 (Liquidity Facility Credit Agricole CIB)	12,000,000		11,998,387
Autobahn Funding Co. LLC 0.38% 7/10/12 (Liquidity Facility DZ BANK AG)	4,750,000		4,748,733
Barclays Bank PLC yankee:
1.3% 7/24/12 (b)	5,000,000		5,003,450
1.3% 7/24/12 (b)	5,000,000		5,003,450
1.3% 7/24/12 (b)	10,000,000		10,006,900
BP Capital Markets PLC yankee:
0.63% 11/27/12	4,000,000		3,994,600
0.78% 6/5/12	5,000,000		4,999,924
0.84% 1/14/13	12,500,000		12,478,150
British Telecommunications PLC 1.5% 5/14/13	20,000,000		19,756,594
Credit Agricole North America yankee 0.56% 8/6/12	6,000,000		5,995,690
Natexis Banques Populaires U.S. Finance Co. LLC yankee 0.61% 8/1/12	4,000,000		3,997,472
Nationwide Building Society yankee:
0.63% 8/29/12	14,000,000		13,983,550
Commercial Paper - continued
	Principal Amount		Value
Nationwide Building Society yankee: - continued
0.65% 8/10/12	$ 7,000,000		$ 6,994,478
PB Finance (Delaware), Inc.:
0.68% 6/1/12	25,000,000		24,999,890
0.7% 6/20/12	8,000,000		7,999,075
0.72% 7/3/12	4,000,000		3,999,076
0.91% 7/25/12	8,000,000		7,995,845
Skandinaviska Enskilda Banken AB yankee:
0.7% 10/5/12	5,000,000		4,989,934
0.75% 10/22/12	15,000,000		14,962,680
Societe Generale North America, Inc. yankee:
0.7% 8/2/12	10,000,000		9,993,508
0.7% 8/6/12	8,000,000		7,994,253
Vodafone Group PLC yankee:
0.97% 12/20/12	7,000,000		6,965,106
0.97% 12/20/12	5,000,000		4,975,076
0.97% 12/20/12	4,000,000		3,980,061
1% 6/11/12	2,500,000		2,499,786
1% 7/9/12	3,000,000		2,998,778
1% 8/23/12	2,000,000		1,997,443
1.02% 2/13/13	1,300,000		1,290,982
1.1% 8/23/12	2,500,000		2,496,803
1.15% 7/9/12	28,000,000		27,988,596
1.25% 3/12/13	5,000,000		4,960,457
Xerox Corp. 0.72% 7/9/12	4,000,000		3,997,721
TOTAL COMMERCIAL PAPER (Cost $255,836,977)		256,046,448

Money Market Funds - 2.1%
	Shares
Fidelity Cash Central Fund, 0.17% (a) (Cost $28,528,006)	28,528,006		28,528,006
Cash Equivalents - 3.7%
	Maturity Amount		Value
With:
Morgan Stanley & Co., Inc. at 1%, dated 5/7/12 due 6/18/12 (Collateralized by Corporate Obligations valued at $32,430,823, 0.22% - 10.25%, 5/20/2051) (d)	30,035,000		$ 30,000,000
RBS Securities, Inc. at 1%, dated 4/17/12 due 6/15/12 (Collateralized by U.S. Government Obligations valued at $20,627,968, 2%, 4/25/2041) (d)	20,032,778		20,000,000
TOTAL CASH EQUIVALENTS (Cost $50,000,000)		50,000,000
TOTAL INVESTMENT PORTFOLIO - 103.6% (Cost $1,408,916,873)			1,410,558,869
NET OTHER ASSETS (LIABILITIES) - (3.6)%			(49,244,373)
NET ASSETS - 100%		$ 1,361,314,496

Legend

(a) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.

(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 $320,655,493 or 23.6% of net assets.

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

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

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

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 Cash Central Fund	$ 3,540

Other Information

The following is a summary of the inputs used, as of May 31, 2012, 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 table 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	$ 867,716,447	$ -	$ 867,716,447	$ -
Municipal Securities	96,465,480	-	96,465,480	-
Certificates of Deposit	111,802,488	-	111,802,488	-
Commercial Paper	256,046,448	-	256,046,448	-
Money Market Funds	28,528,006	28,528,006	-	-
Cash Equivalents	50,000,000	-	50,000,000	-
Total Investments in Securities:	$ 1,410,558,869	$ 28,528,006	$ 1,382,030,863	$ -

Income Tax Information

At May 31, 2012, the cost of investment securities for income tax purposes was $1,408,916,880. Net unrealized appreciation aggregated $1,641,989, of which $2,154,829 related to appreciated investment securities and $512,840 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.

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.

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.

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, 2012

1.907009.102

CBD-QTLY-0712

Investments May 31, 2012 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 85.1%
	Principal Amount		Value
CONSUMER DISCRETIONARY - 6.0%
Auto Components - 0.1%
DaimlerChrysler NA Holding Corp. 6.5% 11/15/13	$ 300,000		$ 322,987
Automobiles - 1.4%
Daimler Finance North America LLC:
1.95% 3/28/14 (b)	450,000		454,851
2.3% 1/9/15 (b)	1,250,000		1,271,246
Volkswagen International Finance NV:
1.875% 4/1/14 (b)	1,130,000		1,141,327
2.375% 3/22/17 (b)	2,050,000		2,089,499
			4,956,923
Hotels, Restaurants & Leisure - 0.4%
McDonald's Corp. 1.875% 5/29/19	1,605,000		1,614,969
Media - 3.2%
Comcast Corp. 6.4% 3/1/40	1,150,000		1,458,159
Discovery Communications LLC 6.35% 6/1/40	221,000		269,642
NBCUniversal Media LLC:
3.65% 4/30/15	129,000		137,387
5.15% 4/30/20	1,625,000		1,885,262
6.4% 4/30/40	390,000		480,019
News America, Inc.:
6.15% 2/15/41	1,285,000		1,477,032
6.9% 8/15/39	300,000		360,949
Time Warner Cable, Inc.:
4% 9/1/21	1,850,000		1,929,835
6.75% 7/1/18	700,000		848,520
Time Warner, Inc.:
4.75% 3/29/21	1,750,000		1,964,016
6.2% 3/15/40	300,000		350,344
Viacom, Inc.:
1.25% 2/27/15	390,000		389,498
3.5% 4/1/17	34,000		36,589
			11,587,252
Specialty Retail - 0.9%
AutoZone, Inc. 3.7% 4/15/22	253,000		261,279
Home Depot, Inc. 5.95% 4/1/41	941,000		1,213,371
Lowe's Companies, Inc.:
3.75% 4/15/21	821,000		881,143
Nonconvertible Bonds - continued
	Principal Amount		Value
CONSUMER DISCRETIONARY - continued
Specialty Retail - continued
Lowe's Companies, Inc.: - continued
3.8% 11/15/21	$ 144,000		$ 155,604
5.125% 11/15/41	650,000		727,384
			3,238,781
TOTAL CONSUMER DISCRETIONARY			21,720,912
CONSUMER STAPLES - 5.9%
Beverages - 3.1%
Beam, Inc.:
1.875% 5/15/17	71,000		71,144
3.25% 5/15/22	84,000		84,419
Diageo Capital PLC 1.5% 5/11/17	2,500,000		2,499,755
FBG Finance Ltd. 5.125% 6/15/15 (b)	282,000		310,378
Fortune Brands, Inc.:
5.375% 1/15/16	1,043,000		1,166,104
5.875% 1/15/36	970,000		1,080,022
6.375% 6/15/14	59,000		64,965
SABMiller Holdings, Inc.:
1.85% 1/15/15 (b)	2,760,000		2,801,116
2.45% 1/15/17 (b)	2,655,000		2,724,837
3.75% 1/15/22 (b)	300,000		318,144
			11,120,884
Food Products - 1.2%
Kraft Foods, Inc.:
5.375% 2/10/20	2,282,000		2,699,307
6.5% 8/11/17	1,274,000		1,543,568
			4,242,875
Tobacco - 1.6%
Altria Group, Inc.:
4.125% 9/11/15	2,100,000		2,285,722
4.75% 5/5/21	650,000		725,466
9.7% 11/10/18	182,000		250,360
Philip Morris International, Inc. 4.375% 11/15/41	2,100,000		2,255,631
Reynolds American, Inc. 6.75% 6/15/17	384,000		462,627
			5,979,806
TOTAL CONSUMER STAPLES			21,343,565
Nonconvertible Bonds - continued
	Principal Amount		Value
ENERGY - 8.5%
Energy Equipment & Services - 0.9%
Cameron International Corp. 1.6% 4/30/15	$ 259,000		$ 259,015
DCP Midstream LLC:
4.75% 9/30/21 (b)	158,000		171,358
5.35% 3/15/20 (b)	116,000		129,909
El Paso Pipeline Partners Operating Co. LLC 6.5% 4/1/20	658,000		761,767
Noble Holding International Ltd.:
2.5% 3/15/17	125,000		126,336
3.05% 3/1/16	450,000		466,734
Transocean, Inc. 6.5% 11/15/20	930,000		1,077,141
Weatherford International Ltd.:
4.95% 10/15/13	78,000		81,518
5.15% 3/15/13	102,000		105,079
			3,178,857
Oil, Gas & Consumable Fuels - 7.6%
Anadarko Petroleum Corp.:
5.95% 9/15/16	393,000		445,752
6.375% 9/15/17	3,626,000		4,241,804
Apache Corp. 4.75% 4/15/43	213,000		234,268
DCP Midstream Operating LP 4.95% 4/1/22	1,925,000		1,982,178
Duke Energy Field Services 5.375% 10/15/15 (b)	54,000		58,342
El Paso Natural Gas Co. 5.95% 4/15/17	492,000		554,518
Enbridge Energy Partners LP 4.2% 9/15/21	140,000		149,532
Encana Holdings Finance Corp. 5.8% 5/1/14	129,000		139,593
Enterprise Products Operating LP 4.05% 2/15/22	1,065,000		1,121,722
Gulf South Pipeline Co. LP 5.75% 8/15/12 (b)	172,000		173,345
Marathon Petroleum Corp.:
3.5% 3/1/16	150,000		158,108
6.5% 3/1/41	785,000		872,910
Midcontinent Express Pipeline LLC 5.45% 9/15/14 (b)	480,000		495,337
Nexen, Inc.:
5.2% 3/10/15	41,000		43,713
6.2% 7/30/19	324,000		382,961
6.4% 5/15/37	860,000		947,278
Petrobras International Finance Co. Ltd.:
3.875% 1/27/16	39,000		40,357
5.75% 1/20/20	3,652,000		3,978,102
Petroleos Mexicanos:
5.5% 1/21/21	545,000		599,500
6% 3/5/20	116,000		130,210
Nonconvertible Bonds - continued
	Principal Amount		Value
ENERGY - continued
Oil, Gas & Consumable Fuels - continued
Petroleos Mexicanos: - continued
6.5% 6/2/41 (b)	$ 260,000		$ 289,900
Phillips 66:
1.95% 3/5/15 (b)	2,088,000		2,107,679
2.95% 5/1/17 (b)	2,767,000		2,821,172
4.3% 4/1/22 (b)	300,000		312,679
5.875% 5/1/42 (b)	498,000		533,021
Plains All American Pipeline LP/PAA Finance Corp. 3.65% 6/1/22	514,000		520,693
Rockies Express Pipeline LLC 6.25% 7/15/13 (b)	121,000		123,723
Spectra Energy Capital, LLC 5.65% 3/1/20	56,000		64,343
Spectra Energy Partners, LP:
2.95% 6/15/16	452,000		459,537
4.6% 6/15/21	414,000		445,664
Talisman Energy, Inc. 5.5% 5/15/42	1,616,000		1,662,483
TransCapitalInvest Ltd. 5.67% 3/5/14 (b)	195,000		204,750
Western Gas Partners LP 5.375% 6/1/21	1,273,000		1,405,074
			27,700,248
TOTAL ENERGY			30,879,105
FINANCIALS - 40.4%
Capital Markets - 3.6%
BlackRock, Inc. 3.375% 6/1/22	316,000		320,152
Goldman Sachs Group, Inc.:
3.625% 2/7/16	1,275,000		1,256,116
5.125% 1/15/15	935,000		963,885
5.25% 7/27/21	1,227,000		1,214,638
5.75% 1/24/22	3,500,000		3,593,478
5.95% 1/18/18	178,000		185,989
6.15% 4/1/18	204,000		213,069
Lazard Group LLC:
6.85% 6/15/17	171,000		187,996
7.125% 5/15/15	1,108,000		1,206,521
Morgan Stanley:
1.4459% 4/29/13 (e)	270,000		265,286
4% 7/24/15	1,947,000		1,882,926
5.5% 7/28/21	1,022,000		957,615
5.625% 9/23/19	219,000		209,078
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Capital Markets - continued
Morgan Stanley: - continued
5.75% 1/25/21	$ 385,000		$ 363,192
6.625% 4/1/18	153,000		155,360
			12,975,301
Commercial Banks - 9.5%
Associated Banc Corp. 5.125% 3/28/16	575,000		614,205
BB&T Corp. 3.95% 3/22/22	1,925,000		2,015,169
Comerica, Inc. 4.8% 5/1/15	487,000		516,814
Credit Suisse New York Branch 6% 2/15/18	122,000		129,758
Discover Bank 7% 4/15/20	2,391,000		2,796,731
Export-Import Bank of Korea 5.5% 10/17/12	101,000		102,407
Fifth Third Bancorp:
3.5% 3/15/22	552,000		561,080
5.45% 1/15/17	709,000		773,302
8.25% 3/1/38	1,848,000		2,616,448
Fifth Third Capital Trust IV 6.5% 4/15/67 (e)	550,000		539,000
HSBC Bank USA N.A. 4.875% 8/24/20	725,000		744,463
HSBC Holdings PLC:
4% 3/30/22	284,000		289,307
5.1% 4/5/21	133,000		147,232
6.5% 9/15/37	100,000		112,126
Huntington Bancshares, Inc. 7% 12/15/20	1,087,000		1,284,441
JPMorgan Chase Bank 6% 10/1/17	2,100,000		2,335,345
KeyBank NA 5.8% 7/1/14	3,725,000		4,017,498
KeyCorp. 5.1% 3/24/21	2,081,000		2,353,157
Marshall & Ilsley Bank:
4.85% 6/16/15	1,222,000		1,310,925
5% 1/17/17	1,027,000		1,113,429
Regions Bank 7.5% 5/15/18	1,095,000		1,226,400
Regions Financial Corp. 0.6437% 6/26/12 (e)	61,000		60,956
SunTrust Banks, Inc.:
3.5% 1/20/17	3,093,000		3,191,401
3.6% 4/15/16	39,000		40,522
UnionBanCal Corp. 5.25% 12/16/13	30,000		31,595
Wachovia Bank NA 6.6% 1/15/38	1,410,000		1,770,286
Wachovia Corp.:
5.25% 8/1/14	2,000,000		2,138,778
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Commercial Banks - continued
Wachovia Corp.: - continued
5.625% 10/15/16	$ 152,000		$ 170,423
Wells Fargo & Co. 3.5% 3/8/22	1,345,000		1,366,115
			34,369,313
Consumer Finance - 6.9%
American Express Credit Corp.:
2.75% 9/15/15	1,452,000		1,499,069
2.8% 9/19/16	557,000		574,012
5.125% 8/25/14	720,000		776,226
American Honda Finance Corp. 1.45% 2/27/15 (b)	3,125,000		3,143,538
Capital One Financial Corp. 2.15% 3/23/15	3,115,000		3,128,637
Discover Financial Services:
5.2% 4/27/22	105,000		111,502
6.45% 6/12/17	107,000		121,826
Ford Motor Credit Co. LLC:
3.875% 1/15/15	2,750,000		2,864,576
5.875% 8/2/21	2,700,000		3,067,016
General Electric Capital Corp.:
2.15% 1/9/15	2,500,000		2,533,005
4.625% 1/7/21	1,000,000		1,092,892
4.65% 10/17/21	1,500,000		1,649,274
5.875% 1/14/38	150,000		171,031
HSBC Finance Corp. 5.9% 6/19/12	104,000		104,190
HSBC USA, Inc. 2.375% 2/13/15	4,226,000		4,239,861
			25,076,655
Diversified Financial Services - 8.9%
Bank of America Corp.:
4.5% 4/1/15	3,200,000		3,272,342
5.75% 12/1/17	1,000,000		1,040,860
6.5% 8/1/16	1,240,000		1,343,107
BP Capital Markets PLC:
3.125% 10/1/15	608,000		640,138
3.245% 5/6/22	1,300,000		1,321,537
3.561% 11/1/21	2,000,000		2,096,338
3.625% 5/8/14	388,000		406,183
4.5% 10/1/20	300,000		335,490
Capital One Capital V 10.25% 8/15/39	880,000		910,800
Capital One Capital VI 8.875% 5/15/40	6,485,000		6,626,937
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Diversified Financial Services - continued
Citigroup, Inc.:
3.953% 6/15/16	$ 653,000		$ 663,722
4.45% 1/10/17	1,250,000		1,289,688
5.375% 8/9/20	750,000		806,653
5.875% 1/30/42	110,000		117,384
6.125% 5/15/18	75,000		81,651
6.5% 8/19/13	2,133,000		2,239,187
6.875% 3/5/38	175,000		205,829
8.5% 5/22/19	100,000		122,544
General Electric Capital Corp. 5.3% 2/11/21	1,460,000		1,626,319
JPMorgan Chase & Co.:
3.45% 3/1/16	1,905,000		1,961,462
4.35% 8/15/21	650,000		679,034
4.5% 1/24/22	1,390,000		1,484,038
4.625% 5/10/21	655,000		694,564
5.4% 1/6/42	1,180,000		1,281,921
MetLife Institutional Funding II 1.3682% 4/4/14 (b)(e)	600,000		601,981
TECO Finance, Inc. 5.15% 3/15/20	114,000		131,141
			31,980,850
Insurance - 5.7%
Allstate Corp. 5.2% 1/15/42	1,646,000		1,834,273
American International Group, Inc.:
3.8% 3/22/17	1,042,000		1,057,864
4.875% 9/15/16	1,390,000		1,466,269
5.85% 1/16/18	1,000,000		1,096,785
Aon Corp.:
3.125% 5/27/16	1,609,000		1,672,742
5% 9/30/20	553,000		627,771
6.25% 9/30/40	253,000		322,169
Assurant, Inc. 5.625% 2/15/14	85,000		89,180
Berkshire Hathaway Finance Corp.:
1.6% 5/15/17	425,000		426,976
4.4% 5/15/42	107,000		107,942
Great-West Life & Annuity Insurance Co. 7.153% 5/16/46 (b)(e)	66,000		65,670
Hartford Financial Services Group, Inc.:
4% 10/15/17	1,600,000		1,608,973
5.125% 4/15/22	143,000		145,817
6.625% 4/15/42	144,000		150,103
Marsh & McLennan Companies, Inc. 4.8% 7/15/21	701,000		774,416
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Insurance - continued
Massachusetts Mutual Life Insurance Co. 5.375% 12/1/41 (b)	$ 148,000		$ 165,202
MetLife, Inc. 4.75% 2/8/21	660,000		727,989
Metropolitan Life Global Funding I 2% 1/9/15 (b)	2,800,000		2,846,376
Monumental Global Funding III 5.5% 4/22/13 (b)	98,000		101,496
Pacific Life Global Funding 5.15% 4/15/13 (b)	152,000		157,134
Pacific LifeCorp 6% 2/10/20 (b)	902,000		1,006,332
Prudential Financial, Inc.:
4.5% 11/16/21	1,025,000		1,083,153
5.625% 5/12/41	1,170,000		1,217,569
QBE Insurance Group Ltd. 5.647% 7/1/23 (b)(e)	58,000		52,105
Symetra Financial Corp. 6.125% 4/1/16 (b)	215,000		220,358
Unum Group:
5.625% 9/15/20	1,315,000		1,438,058
7.125% 9/30/16	106,000		121,676
			20,584,398
Real Estate Investment Trusts - 2.1%
Alexandria Real Estate Equities, Inc. 4.6% 4/1/22	94,000		96,783
Boston Properties, Inc. 3.85% 2/1/23 (d)	241,000		240,467
CommonWealth REIT 5.875% 9/15/20	1,260,000		1,314,784
Developers Diversified Realty Corp.:
4.75% 4/15/18	1,764,000		1,819,222
5.375% 10/15/12	622,000		625,953
Equity One, Inc. 6.25% 12/15/14	223,000		239,916
Federal Realty Investment Trust:
5.95% 8/15/14	100,000		107,817
6% 7/15/12	131,000		131,620
6.2% 1/15/17	1,300,000		1,467,575
Kimco Realty Corp. 6% 11/30/12	1,600,000		1,632,010
Washington (REIT) 5.25% 1/15/14	58,000		60,384
			7,736,531
Real Estate Management & Development - 3.7%
BioMed Realty LP 3.85% 4/15/16	914,000		937,665
Duke Realty LP:
5.4% 8/15/14	126,000		133,789
5.5% 3/1/16	1,300,000		1,407,752
6.75% 3/15/20	1,295,000		1,538,549
ERP Operating LP:
4.625% 12/15/21	458,000		499,668
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Real Estate Management & Development - continued
ERP Operating LP: - continued
4.75% 7/15/20	$ 1,020,000		$ 1,127,568
Liberty Property LP:
4.75% 10/1/20	752,000		800,358
5.125% 3/2/15	141,000		150,067
5.5% 12/15/16	1,816,000		2,003,460
Mack-Cali Realty LP:
4.5% 4/18/22	94,000		97,665
7.75% 8/15/19	126,000		154,657
Prime Property Funding, Inc. 5.7% 4/15/17 (b)	76,000		78,424
Simon Property Group LP:
2.8% 1/30/17	47,000		48,382
4.125% 12/1/21	2,333,000		2,534,275
5.65% 2/1/20	775,000		913,933
Tanger Properties LP:
6.125% 6/1/20	661,000		762,590
6.15% 11/15/15	65,000		72,264
			13,261,066
TOTAL FINANCIALS			145,984,114
HEALTH CARE - 4.7%
Biotechnology - 0.9%
Amgen, Inc.:
3.875% 11/15/21	2,300,000		2,410,338
5.15% 11/15/41	750,000		775,825
			3,186,163
Health Care Providers & Services - 3.4%
Aristotle Holding, Inc.:
2.1% 2/12/15 (b)	4,500,000		4,553,181
4.75% 11/15/21 (b)	530,000		584,673
6.125% 11/15/41 (b)	740,000		896,781
Express Scripts, Inc. 3.125% 5/15/16	1,696,000		1,767,222
UnitedHealth Group, Inc. 4.625% 11/15/41	965,000		1,042,302
WellPoint, Inc.:
2.375% 2/15/17	810,000		831,530
4.625% 5/15/42	2,500,000		2,527,513
			12,203,202
Nonconvertible Bonds - continued
	Principal Amount		Value
HEALTH CARE - continued
Pharmaceuticals - 0.4%
Teva Pharmaceutical Finance IV BV 3.65% 11/10/21	$ 1,360,000		$ 1,426,417
Watson Pharmaceuticals, Inc. 5% 8/15/14	130,000		138,572
			1,564,989
TOTAL HEALTH CARE			16,954,354
INDUSTRIALS - 1.2%
Aerospace & Defense - 0.9%
BAE Systems Holdings, Inc. 4.95% 6/1/14 (b)	103,000		108,718
United Technologies Corp.:
1.8% 6/1/17	342,000		346,716
3.1% 6/1/22	837,000		869,864
4.5% 6/1/42	1,761,000		1,892,425
			3,217,723
Airlines - 0.1%
Continental Airlines, Inc. 6.648% 3/15/19	99,927		106,053
U.S. Airways pass-thru trust certificates:
6.85% 1/30/18	63,887		66,443
8.36% 1/20/19	51,608		54,189
			226,685
Machinery - 0.2%
Caterpillar, Inc. 5.2% 5/27/41	565,000		685,437
TOTAL INDUSTRIALS			4,129,845
INFORMATION TECHNOLOGY - 2.6%
Computers & Peripherals - 0.4%
Hewlett-Packard Co. 2.625% 12/9/14	1,500,000		1,530,768
Electronic Equipment & Components - 0.2%
Tyco Electronics Group SA:
1.6% 2/3/15	152,000		152,640
5.95% 1/15/14	160,000		171,565
6% 10/1/12	173,000		175,968
			500,173
Office Electronics - 1.9%
Xerox Corp.:
1.8737% 9/13/13 (e)	3,200,000		3,222,579
Nonconvertible Bonds - continued
	Principal Amount		Value
INFORMATION TECHNOLOGY - continued
Office Electronics - continued
Xerox Corp.: - continued
2.95% 3/15/17	$ 2,591,000		$ 2,612,599
4.5% 5/15/21	1,075,000		1,109,343
			6,944,521
Software - 0.1%
Oracle Corp. 5.375% 7/15/40	240,000		293,209
TOTAL INFORMATION TECHNOLOGY			9,268,671
MATERIALS - 2.8%
Chemicals - 0.8%
Dow Chemical Co.:
4.125% 11/15/21	696,000		731,076
4.25% 11/15/20	973,000		1,035,456
5.25% 11/15/41	68,000		73,350
7.6% 5/15/14	997,000		1,114,209
			2,954,091
Construction Materials - 0.0%
CRH America, Inc. 6% 9/30/16	82,000		90,278
Metals & Mining - 2.0%
Alcoa, Inc. 5.4% 4/15/21	120,000		123,828
Anglo American Capital PLC 9.375% 4/8/14 (b)	156,000		177,103
ArcelorMittal SA 3.75% 2/25/15	2,350,000		2,357,276
Corporacion Nacional del Cobre de Chile (Codelco) 3.875% 11/3/21 (b)	2,040,000		2,129,556
Vale Overseas Ltd.:
4.375% 1/11/22	2,250,000		2,250,790
6.25% 1/23/17	104,000		117,258
			7,155,811
TOTAL MATERIALS			10,200,180
TELECOMMUNICATION SERVICES - 3.8%
Diversified Telecommunication Services - 2.6%
AT&T, Inc.:
3.875% 8/15/21	1,500,000		1,640,054
5.55% 8/15/41	700,000		822,933
6.3% 1/15/38	970,000		1,203,530
Nonconvertible Bonds - continued
	Principal Amount		Value
TELECOMMUNICATION SERVICES - continued
Diversified Telecommunication Services - continued
CenturyLink, Inc.:
6.45% 6/15/21	$ 775,000		$ 803,389
7.6% 9/15/39	1,033,000		985,375
7.875% 8/15/12	1,000,000		1,012,310
Telefonica Emisiones SAU:
3.992% 2/16/16	200,000		184,585
5.134% 4/27/20	94,000		83,126
Verizon Communications, Inc.:
3.5% 11/1/21	2,000,000		2,128,658
4.6% 4/1/21	460,000		527,410
			9,391,370
Wireless Telecommunication Services - 1.2%
America Movil SAB de CV:
2.375% 9/8/16	1,450,000		1,463,658
3.625% 3/30/15	564,000		597,793
DIRECTV Holdings LLC/DIRECTV Financing, Inc.:
3.5% 3/1/16	220,000		232,055
5% 3/1/21	1,750,000		1,921,194
5.875% 10/1/19	67,000		77,337
			4,292,037
TOTAL TELECOMMUNICATION SERVICES			13,683,407
UTILITIES - 9.2%
Electric Utilities - 4.4%
AmerenUE 6.4% 6/15/17	133,000		161,128
Cleveland Electric Illuminating Co. 5.65% 12/15/13	1,096,000		1,164,165
Commonwealth Edison Co.:
1.95% 9/1/16	83,000		85,176
3.4% 9/1/21	725,000		780,374
4% 8/1/20	800,000		896,166
Duke Capital LLC 5.668% 8/15/14	192,000		207,921
Duke Energy Carolinas LLC 4.25% 12/15/41	106,000		113,499
Duke Energy Corp. 3.55% 9/15/21	1,250,000		1,334,530
Duquesne Light Holdings, Inc.:
5.9% 12/1/21 (b)	500,000		558,900
6.4% 9/15/20 (b)	1,310,000		1,488,488
EDP Finance BV 5.375% 11/2/12 (b)	1,744,000		1,748,360
Entergy Louisiana LLC 1.875% 12/15/14	144,000		147,145
FirstEnergy Corp. 7.375% 11/15/31	1,631,000		2,081,189
Nonconvertible Bonds - continued
	Principal Amount		Value
UTILITIES - continued
Electric Utilities - continued
FirstEnergy Solutions Corp.:
4.8% 2/15/15	$ 2,610,000		$ 2,793,734
6.05% 8/15/21	38,000		42,483
Nevada Power Co.:
6.5% 8/1/18	70,000		86,728
6.65% 4/1/36	500,000		681,688
NextEra Energy Capital Holdings, Inc. 1.611% 6/1/14	581,000		583,214
Pacific Gas & Electric Co. 3.25% 9/15/21	22,000		23,246
Pepco Holdings, Inc. 2.7% 10/1/15	193,000		198,587
Sierra Pacific Power Co. 5.45% 9/1/13	70,000		73,721
Tampa Electric Co. 6.55% 5/15/36	500,000		702,342
			15,952,784
Gas Utilities - 0.6%
Boston Gas Co. 4.487% 2/15/42 (b)	2,000,000		2,169,378
Southern Natural Gas Co. / Southern Natural Issuing Corp. 4.4% 6/15/21	18,000		19,328
			2,188,706
Independent Power Producers & Energy Traders - 0.1%
Southern Power Co. 5.15% 9/15/41	461,000		509,702
Multi-Utilities - 4.1%
Consolidated Edison Co. of New York, Inc. 4.45% 6/15/20	1,141,000		1,331,710
Dominion Resources, Inc.:
1.95% 8/15/16	1,612,000		1,640,578
2.7697% 9/30/66 (e)	2,427,000		2,158,744
7.5% 6/30/66 (e)	145,000		153,700
DTE Energy Co. 1.1797% 6/3/13 (e)	86,000		86,113
NiSource Finance Corp.:
4.45% 12/1/21	91,000		96,157
5.4% 7/15/14	60,000		65,032
5.45% 9/15/20	650,000		739,370
5.95% 6/15/41	1,493,000		1,733,258
6.15% 3/1/13	1,000,000		1,036,055
6.4% 3/15/18	59,000		69,524
Sempra Energy:
2% 3/15/14	2,695,000		2,736,802
2.3% 4/1/17	2,024,000		2,078,832
Nonconvertible Bonds - continued
	Principal Amount		Value
UTILITIES - continued
Multi-Utilities - continued
Wisconsin Energy Corp. 6.25% 5/15/67 (e)	$ 117,000		$ 119,925
Xcel Energy, Inc. 4.8% 9/15/41	554,000		620,032
			14,665,832
TOTAL UTILITIES			33,317,024
TOTAL NONCONVERTIBLE BONDS (Cost $295,553,346)		307,481,177
U.S. Treasury Obligations - 5.7%
U.S. Treasury Bonds:
3.125% 11/15/41	3,343,000		3,671,032
3.75% 8/15/41	7,045,000		8,675,241
U.S. Treasury Notes:
1.25% 4/30/19	1,320,000		1,341,966
2.125% 8/15/21	6,573,000		6,952,998
TOTAL U.S. TREASURY OBLIGATIONS (Cost $19,205,414)		20,641,237
Municipal Securities - 2.8%
American Muni. Pwr.-Ohio, Inc. Rev. (Combined Hydroelectric Proj.) Series 2010 B, 8.084% 2/15/50	280,000		414,588
California Gen. Oblig.:
7.5% 4/1/34	1,165,000		1,466,362
7.55% 4/1/39	5,000		6,457
7.6% 11/1/40	140,000		182,841
7.625% 3/1/40	465,000		603,682
Illinois Gen. Oblig. Series 2011, 5.877% 3/1/19	2,725,000		3,043,771
Muni. Elec. Auth. of Georgia (Plant Vogtle Units 3&4 Proj.) Series 2010 A:
6.637% 4/1/57	3,009,000		3,506,628
6.655% 4/1/57	690,000		794,300
TOTAL MUNICIPAL SECURITIES (Cost $9,262,380)		10,018,629
Foreign Government and Government Agency Obligations - 0.8%
	Principal Amount		Value
Chilean Republic 3.25% 9/14/21	$ 155,000		$ 162,208
Russian Federation:
3.25% 4/4/17 (b)	800,000		800,000
4.5% 4/4/22 (b)	200,000		203,000
5.625% 4/4/42 (b)	1,000,000		1,017,500
United Mexican States:
4.75% 3/8/44	616,000		622,160
6.05% 1/11/40	146,000		177,390
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $2,880,084)		2,982,258
Bank Notes - 0.1%
Wachovia Bank NA 6% 11/15/17 (Cost $438,978)	405,000		467,539

Preferred Securities - 0.0%
FINANCIALS - 0.0%
Diversified Financial Services - 0.0%
MUFG Capital Finance 1 Ltd. 6.346% (c)(e) (Cost $103,589)	102,000		109,475
Money Market Funds - 5.0%
	Shares
Fidelity Cash Central Fund, 0.17% (a) (Cost $18,081,790)	18,081,790		18,081,790
TOTAL INVESTMENT PORTFOLIO - 99.5% (Cost $345,525,581)			359,782,105
NET OTHER ASSETS (LIABILITIES) - 0.5%			1,704,708
NET ASSETS - 100%		$ 361,486,813

Legend

(a) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.

(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 $43,406,867 or 12.0% of net assets.

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

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

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

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 Cash Central Fund	$ 7,380

Other Information

The following is a summary of the inputs used, as of May 31, 2012, 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 table 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	$ 307,481,177	$ -	$ 307,481,177	$ -
U.S. Government and Government Agency Obligations	20,641,237	-	20,641,237	-
Municipal Securities	10,018,629	-	10,018,629	-
Foreign Government and Government Agency Obligations	2,982,258	-	2,982,258	-
Bank Notes	467,539	-	467,539	-
Preferred Securities	109,475	-	109,475	-
Money Market Funds	18,081,790	18,081,790	-	-
Total Investments in Securities:	$ 359,782,105	$ 18,081,790	$ 341,700,315	$ -

Income Tax Information

At May 31, 2012, the cost of investment securities for income tax purposes was $344,508,810. Net unrealized appreciation aggregated $15,273,295, of which $15,753,681 related to appreciated investment securities and $480,386 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 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.

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

May 31, 2012

Class A, Class T, Class C and
Institutional Class
are classes of Fidelity®
Corporate Bond Fund

1.907030.102

ACBD-QTLY-0712

Investments May 31, 2012 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 85.1%
	Principal Amount		Value
CONSUMER DISCRETIONARY - 6.0%
Auto Components - 0.1%
DaimlerChrysler NA Holding Corp. 6.5% 11/15/13	$ 300,000		$ 322,987
Automobiles - 1.4%
Daimler Finance North America LLC:
1.95% 3/28/14 (b)	450,000		454,851
2.3% 1/9/15 (b)	1,250,000		1,271,246
Volkswagen International Finance NV:
1.875% 4/1/14 (b)	1,130,000		1,141,327
2.375% 3/22/17 (b)	2,050,000		2,089,499
			4,956,923
Hotels, Restaurants & Leisure - 0.4%
McDonald's Corp. 1.875% 5/29/19	1,605,000		1,614,969
Media - 3.2%
Comcast Corp. 6.4% 3/1/40	1,150,000		1,458,159
Discovery Communications LLC 6.35% 6/1/40	221,000		269,642
NBCUniversal Media LLC:
3.65% 4/30/15	129,000		137,387
5.15% 4/30/20	1,625,000		1,885,262
6.4% 4/30/40	390,000		480,019
News America, Inc.:
6.15% 2/15/41	1,285,000		1,477,032
6.9% 8/15/39	300,000		360,949
Time Warner Cable, Inc.:
4% 9/1/21	1,850,000		1,929,835
6.75% 7/1/18	700,000		848,520
Time Warner, Inc.:
4.75% 3/29/21	1,750,000		1,964,016
6.2% 3/15/40	300,000		350,344
Viacom, Inc.:
1.25% 2/27/15	390,000		389,498
3.5% 4/1/17	34,000		36,589
			11,587,252
Specialty Retail - 0.9%
AutoZone, Inc. 3.7% 4/15/22	253,000		261,279
Home Depot, Inc. 5.95% 4/1/41	941,000		1,213,371
Lowe's Companies, Inc.:
3.75% 4/15/21	821,000		881,143
Nonconvertible Bonds - continued
	Principal Amount		Value
CONSUMER DISCRETIONARY - continued
Specialty Retail - continued
Lowe's Companies, Inc.: - continued
3.8% 11/15/21	$ 144,000		$ 155,604
5.125% 11/15/41	650,000		727,384
			3,238,781
TOTAL CONSUMER DISCRETIONARY			21,720,912
CONSUMER STAPLES - 5.9%
Beverages - 3.1%
Beam, Inc.:
1.875% 5/15/17	71,000		71,144
3.25% 5/15/22	84,000		84,419
Diageo Capital PLC 1.5% 5/11/17	2,500,000		2,499,755
FBG Finance Ltd. 5.125% 6/15/15 (b)	282,000		310,378
Fortune Brands, Inc.:
5.375% 1/15/16	1,043,000		1,166,104
5.875% 1/15/36	970,000		1,080,022
6.375% 6/15/14	59,000		64,965
SABMiller Holdings, Inc.:
1.85% 1/15/15 (b)	2,760,000		2,801,116
2.45% 1/15/17 (b)	2,655,000		2,724,837
3.75% 1/15/22 (b)	300,000		318,144
			11,120,884
Food Products - 1.2%
Kraft Foods, Inc.:
5.375% 2/10/20	2,282,000		2,699,307
6.5% 8/11/17	1,274,000		1,543,568
			4,242,875
Tobacco - 1.6%
Altria Group, Inc.:
4.125% 9/11/15	2,100,000		2,285,722
4.75% 5/5/21	650,000		725,466
9.7% 11/10/18	182,000		250,360
Philip Morris International, Inc. 4.375% 11/15/41	2,100,000		2,255,631
Reynolds American, Inc. 6.75% 6/15/17	384,000		462,627
			5,979,806
TOTAL CONSUMER STAPLES			21,343,565
Nonconvertible Bonds - continued
	Principal Amount		Value
ENERGY - 8.5%
Energy Equipment & Services - 0.9%
Cameron International Corp. 1.6% 4/30/15	$ 259,000		$ 259,015
DCP Midstream LLC:
4.75% 9/30/21 (b)	158,000		171,358
5.35% 3/15/20 (b)	116,000		129,909
El Paso Pipeline Partners Operating Co. LLC 6.5% 4/1/20	658,000		761,767
Noble Holding International Ltd.:
2.5% 3/15/17	125,000		126,336
3.05% 3/1/16	450,000		466,734
Transocean, Inc. 6.5% 11/15/20	930,000		1,077,141
Weatherford International Ltd.:
4.95% 10/15/13	78,000		81,518
5.15% 3/15/13	102,000		105,079
			3,178,857
Oil, Gas & Consumable Fuels - 7.6%
Anadarko Petroleum Corp.:
5.95% 9/15/16	393,000		445,752
6.375% 9/15/17	3,626,000		4,241,804
Apache Corp. 4.75% 4/15/43	213,000		234,268
DCP Midstream Operating LP 4.95% 4/1/22	1,925,000		1,982,178
Duke Energy Field Services 5.375% 10/15/15 (b)	54,000		58,342
El Paso Natural Gas Co. 5.95% 4/15/17	492,000		554,518
Enbridge Energy Partners LP 4.2% 9/15/21	140,000		149,532
Encana Holdings Finance Corp. 5.8% 5/1/14	129,000		139,593
Enterprise Products Operating LP 4.05% 2/15/22	1,065,000		1,121,722
Gulf South Pipeline Co. LP 5.75% 8/15/12 (b)	172,000		173,345
Marathon Petroleum Corp.:
3.5% 3/1/16	150,000		158,108
6.5% 3/1/41	785,000		872,910
Midcontinent Express Pipeline LLC 5.45% 9/15/14 (b)	480,000		495,337
Nexen, Inc.:
5.2% 3/10/15	41,000		43,713
6.2% 7/30/19	324,000		382,961
6.4% 5/15/37	860,000		947,278
Petrobras International Finance Co. Ltd.:
3.875% 1/27/16	39,000		40,357
5.75% 1/20/20	3,652,000		3,978,102
Petroleos Mexicanos:
5.5% 1/21/21	545,000		599,500
6% 3/5/20	116,000		130,210
Nonconvertible Bonds - continued
	Principal Amount		Value
ENERGY - continued
Oil, Gas & Consumable Fuels - continued
Petroleos Mexicanos: - continued
6.5% 6/2/41 (b)	$ 260,000		$ 289,900
Phillips 66:
1.95% 3/5/15 (b)	2,088,000		2,107,679
2.95% 5/1/17 (b)	2,767,000		2,821,172
4.3% 4/1/22 (b)	300,000		312,679
5.875% 5/1/42 (b)	498,000		533,021
Plains All American Pipeline LP/PAA Finance Corp. 3.65% 6/1/22	514,000		520,693
Rockies Express Pipeline LLC 6.25% 7/15/13 (b)	121,000		123,723
Spectra Energy Capital, LLC 5.65% 3/1/20	56,000		64,343
Spectra Energy Partners, LP:
2.95% 6/15/16	452,000		459,537
4.6% 6/15/21	414,000		445,664
Talisman Energy, Inc. 5.5% 5/15/42	1,616,000		1,662,483
TransCapitalInvest Ltd. 5.67% 3/5/14 (b)	195,000		204,750
Western Gas Partners LP 5.375% 6/1/21	1,273,000		1,405,074
			27,700,248
TOTAL ENERGY			30,879,105
FINANCIALS - 40.4%
Capital Markets - 3.6%
BlackRock, Inc. 3.375% 6/1/22	316,000		320,152
Goldman Sachs Group, Inc.:
3.625% 2/7/16	1,275,000		1,256,116
5.125% 1/15/15	935,000		963,885
5.25% 7/27/21	1,227,000		1,214,638
5.75% 1/24/22	3,500,000		3,593,478
5.95% 1/18/18	178,000		185,989
6.15% 4/1/18	204,000		213,069
Lazard Group LLC:
6.85% 6/15/17	171,000		187,996
7.125% 5/15/15	1,108,000		1,206,521
Morgan Stanley:
1.4459% 4/29/13 (e)	270,000		265,286
4% 7/24/15	1,947,000		1,882,926
5.5% 7/28/21	1,022,000		957,615
5.625% 9/23/19	219,000		209,078
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Capital Markets - continued
Morgan Stanley: - continued
5.75% 1/25/21	$ 385,000		$ 363,192
6.625% 4/1/18	153,000		155,360
			12,975,301
Commercial Banks - 9.5%
Associated Banc Corp. 5.125% 3/28/16	575,000		614,205
BB&T Corp. 3.95% 3/22/22	1,925,000		2,015,169
Comerica, Inc. 4.8% 5/1/15	487,000		516,814
Credit Suisse New York Branch 6% 2/15/18	122,000		129,758
Discover Bank 7% 4/15/20	2,391,000		2,796,731
Export-Import Bank of Korea 5.5% 10/17/12	101,000		102,407
Fifth Third Bancorp:
3.5% 3/15/22	552,000		561,080
5.45% 1/15/17	709,000		773,302
8.25% 3/1/38	1,848,000		2,616,448
Fifth Third Capital Trust IV 6.5% 4/15/67 (e)	550,000		539,000
HSBC Bank USA N.A. 4.875% 8/24/20	725,000		744,463
HSBC Holdings PLC:
4% 3/30/22	284,000		289,307
5.1% 4/5/21	133,000		147,232
6.5% 9/15/37	100,000		112,126
Huntington Bancshares, Inc. 7% 12/15/20	1,087,000		1,284,441
JPMorgan Chase Bank 6% 10/1/17	2,100,000		2,335,345
KeyBank NA 5.8% 7/1/14	3,725,000		4,017,498
KeyCorp. 5.1% 3/24/21	2,081,000		2,353,157
Marshall & Ilsley Bank:
4.85% 6/16/15	1,222,000		1,310,925
5% 1/17/17	1,027,000		1,113,429
Regions Bank 7.5% 5/15/18	1,095,000		1,226,400
Regions Financial Corp. 0.6437% 6/26/12 (e)	61,000		60,956
SunTrust Banks, Inc.:
3.5% 1/20/17	3,093,000		3,191,401
3.6% 4/15/16	39,000		40,522
UnionBanCal Corp. 5.25% 12/16/13	30,000		31,595
Wachovia Bank NA 6.6% 1/15/38	1,410,000		1,770,286
Wachovia Corp.:
5.25% 8/1/14	2,000,000		2,138,778
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Commercial Banks - continued
Wachovia Corp.: - continued
5.625% 10/15/16	$ 152,000		$ 170,423
Wells Fargo & Co. 3.5% 3/8/22	1,345,000		1,366,115
			34,369,313
Consumer Finance - 6.9%
American Express Credit Corp.:
2.75% 9/15/15	1,452,000		1,499,069
2.8% 9/19/16	557,000		574,012
5.125% 8/25/14	720,000		776,226
American Honda Finance Corp. 1.45% 2/27/15 (b)	3,125,000		3,143,538
Capital One Financial Corp. 2.15% 3/23/15	3,115,000		3,128,637
Discover Financial Services:
5.2% 4/27/22	105,000		111,502
6.45% 6/12/17	107,000		121,826
Ford Motor Credit Co. LLC:
3.875% 1/15/15	2,750,000		2,864,576
5.875% 8/2/21	2,700,000		3,067,016
General Electric Capital Corp.:
2.15% 1/9/15	2,500,000		2,533,005
4.625% 1/7/21	1,000,000		1,092,892
4.65% 10/17/21	1,500,000		1,649,274
5.875% 1/14/38	150,000		171,031
HSBC Finance Corp. 5.9% 6/19/12	104,000		104,190
HSBC USA, Inc. 2.375% 2/13/15	4,226,000		4,239,861
			25,076,655
Diversified Financial Services - 8.9%
Bank of America Corp.:
4.5% 4/1/15	3,200,000		3,272,342
5.75% 12/1/17	1,000,000		1,040,860
6.5% 8/1/16	1,240,000		1,343,107
BP Capital Markets PLC:
3.125% 10/1/15	608,000		640,138
3.245% 5/6/22	1,300,000		1,321,537
3.561% 11/1/21	2,000,000		2,096,338
3.625% 5/8/14	388,000		406,183
4.5% 10/1/20	300,000		335,490
Capital One Capital V 10.25% 8/15/39	880,000		910,800
Capital One Capital VI 8.875% 5/15/40	6,485,000		6,626,937
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Diversified Financial Services - continued
Citigroup, Inc.:
3.953% 6/15/16	$ 653,000		$ 663,722
4.45% 1/10/17	1,250,000		1,289,688
5.375% 8/9/20	750,000		806,653
5.875% 1/30/42	110,000		117,384
6.125% 5/15/18	75,000		81,651
6.5% 8/19/13	2,133,000		2,239,187
6.875% 3/5/38	175,000		205,829
8.5% 5/22/19	100,000		122,544
General Electric Capital Corp. 5.3% 2/11/21	1,460,000		1,626,319
JPMorgan Chase & Co.:
3.45% 3/1/16	1,905,000		1,961,462
4.35% 8/15/21	650,000		679,034
4.5% 1/24/22	1,390,000		1,484,038
4.625% 5/10/21	655,000		694,564
5.4% 1/6/42	1,180,000		1,281,921
MetLife Institutional Funding II 1.3682% 4/4/14 (b)(e)	600,000		601,981
TECO Finance, Inc. 5.15% 3/15/20	114,000		131,141
			31,980,850
Insurance - 5.7%
Allstate Corp. 5.2% 1/15/42	1,646,000		1,834,273
American International Group, Inc.:
3.8% 3/22/17	1,042,000		1,057,864
4.875% 9/15/16	1,390,000		1,466,269
5.85% 1/16/18	1,000,000		1,096,785
Aon Corp.:
3.125% 5/27/16	1,609,000		1,672,742
5% 9/30/20	553,000		627,771
6.25% 9/30/40	253,000		322,169
Assurant, Inc. 5.625% 2/15/14	85,000		89,180
Berkshire Hathaway Finance Corp.:
1.6% 5/15/17	425,000		426,976
4.4% 5/15/42	107,000		107,942
Great-West Life & Annuity Insurance Co. 7.153% 5/16/46 (b)(e)	66,000		65,670
Hartford Financial Services Group, Inc.:
4% 10/15/17	1,600,000		1,608,973
5.125% 4/15/22	143,000		145,817
6.625% 4/15/42	144,000		150,103
Marsh & McLennan Companies, Inc. 4.8% 7/15/21	701,000		774,416
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Insurance - continued
Massachusetts Mutual Life Insurance Co. 5.375% 12/1/41 (b)	$ 148,000		$ 165,202
MetLife, Inc. 4.75% 2/8/21	660,000		727,989
Metropolitan Life Global Funding I 2% 1/9/15 (b)	2,800,000		2,846,376
Monumental Global Funding III 5.5% 4/22/13 (b)	98,000		101,496
Pacific Life Global Funding 5.15% 4/15/13 (b)	152,000		157,134
Pacific LifeCorp 6% 2/10/20 (b)	902,000		1,006,332
Prudential Financial, Inc.:
4.5% 11/16/21	1,025,000		1,083,153
5.625% 5/12/41	1,170,000		1,217,569
QBE Insurance Group Ltd. 5.647% 7/1/23 (b)(e)	58,000		52,105
Symetra Financial Corp. 6.125% 4/1/16 (b)	215,000		220,358
Unum Group:
5.625% 9/15/20	1,315,000		1,438,058
7.125% 9/30/16	106,000		121,676
			20,584,398
Real Estate Investment Trusts - 2.1%
Alexandria Real Estate Equities, Inc. 4.6% 4/1/22	94,000		96,783
Boston Properties, Inc. 3.85% 2/1/23 (d)	241,000		240,467
CommonWealth REIT 5.875% 9/15/20	1,260,000		1,314,784
Developers Diversified Realty Corp.:
4.75% 4/15/18	1,764,000		1,819,222
5.375% 10/15/12	622,000		625,953
Equity One, Inc. 6.25% 12/15/14	223,000		239,916
Federal Realty Investment Trust:
5.95% 8/15/14	100,000		107,817
6% 7/15/12	131,000		131,620
6.2% 1/15/17	1,300,000		1,467,575
Kimco Realty Corp. 6% 11/30/12	1,600,000		1,632,010
Washington (REIT) 5.25% 1/15/14	58,000		60,384
			7,736,531
Real Estate Management & Development - 3.7%
BioMed Realty LP 3.85% 4/15/16	914,000		937,665
Duke Realty LP:
5.4% 8/15/14	126,000		133,789
5.5% 3/1/16	1,300,000		1,407,752
6.75% 3/15/20	1,295,000		1,538,549
ERP Operating LP:
4.625% 12/15/21	458,000		499,668
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Real Estate Management & Development - continued
ERP Operating LP: - continued
4.75% 7/15/20	$ 1,020,000		$ 1,127,568
Liberty Property LP:
4.75% 10/1/20	752,000		800,358
5.125% 3/2/15	141,000		150,067
5.5% 12/15/16	1,816,000		2,003,460
Mack-Cali Realty LP:
4.5% 4/18/22	94,000		97,665
7.75% 8/15/19	126,000		154,657
Prime Property Funding, Inc. 5.7% 4/15/17 (b)	76,000		78,424
Simon Property Group LP:
2.8% 1/30/17	47,000		48,382
4.125% 12/1/21	2,333,000		2,534,275
5.65% 2/1/20	775,000		913,933
Tanger Properties LP:
6.125% 6/1/20	661,000		762,590
6.15% 11/15/15	65,000		72,264
			13,261,066
TOTAL FINANCIALS			145,984,114
HEALTH CARE - 4.7%
Biotechnology - 0.9%
Amgen, Inc.:
3.875% 11/15/21	2,300,000		2,410,338
5.15% 11/15/41	750,000		775,825
			3,186,163
Health Care Providers & Services - 3.4%
Aristotle Holding, Inc.:
2.1% 2/12/15 (b)	4,500,000		4,553,181
4.75% 11/15/21 (b)	530,000		584,673
6.125% 11/15/41 (b)	740,000		896,781
Express Scripts, Inc. 3.125% 5/15/16	1,696,000		1,767,222
UnitedHealth Group, Inc. 4.625% 11/15/41	965,000		1,042,302
WellPoint, Inc.:
2.375% 2/15/17	810,000		831,530
4.625% 5/15/42	2,500,000		2,527,513
			12,203,202
Nonconvertible Bonds - continued
	Principal Amount		Value
HEALTH CARE - continued
Pharmaceuticals - 0.4%
Teva Pharmaceutical Finance IV BV 3.65% 11/10/21	$ 1,360,000		$ 1,426,417
Watson Pharmaceuticals, Inc. 5% 8/15/14	130,000		138,572
			1,564,989
TOTAL HEALTH CARE			16,954,354
INDUSTRIALS - 1.2%
Aerospace & Defense - 0.9%
BAE Systems Holdings, Inc. 4.95% 6/1/14 (b)	103,000		108,718
United Technologies Corp.:
1.8% 6/1/17	342,000		346,716
3.1% 6/1/22	837,000		869,864
4.5% 6/1/42	1,761,000		1,892,425
			3,217,723
Airlines - 0.1%
Continental Airlines, Inc. 6.648% 3/15/19	99,927		106,053
U.S. Airways pass-thru trust certificates:
6.85% 1/30/18	63,887		66,443
8.36% 1/20/19	51,608		54,189
			226,685
Machinery - 0.2%
Caterpillar, Inc. 5.2% 5/27/41	565,000		685,437
TOTAL INDUSTRIALS			4,129,845
INFORMATION TECHNOLOGY - 2.6%
Computers & Peripherals - 0.4%
Hewlett-Packard Co. 2.625% 12/9/14	1,500,000		1,530,768
Electronic Equipment & Components - 0.2%
Tyco Electronics Group SA:
1.6% 2/3/15	152,000		152,640
5.95% 1/15/14	160,000		171,565
6% 10/1/12	173,000		175,968
			500,173
Office Electronics - 1.9%
Xerox Corp.:
1.8737% 9/13/13 (e)	3,200,000		3,222,579
Nonconvertible Bonds - continued
	Principal Amount		Value
INFORMATION TECHNOLOGY - continued
Office Electronics - continued
Xerox Corp.: - continued
2.95% 3/15/17	$ 2,591,000		$ 2,612,599
4.5% 5/15/21	1,075,000		1,109,343
			6,944,521
Software - 0.1%
Oracle Corp. 5.375% 7/15/40	240,000		293,209
TOTAL INFORMATION TECHNOLOGY			9,268,671
MATERIALS - 2.8%
Chemicals - 0.8%
Dow Chemical Co.:
4.125% 11/15/21	696,000		731,076
4.25% 11/15/20	973,000		1,035,456
5.25% 11/15/41	68,000		73,350
7.6% 5/15/14	997,000		1,114,209
			2,954,091
Construction Materials - 0.0%
CRH America, Inc. 6% 9/30/16	82,000		90,278
Metals & Mining - 2.0%
Alcoa, Inc. 5.4% 4/15/21	120,000		123,828
Anglo American Capital PLC 9.375% 4/8/14 (b)	156,000		177,103
ArcelorMittal SA 3.75% 2/25/15	2,350,000		2,357,276
Corporacion Nacional del Cobre de Chile (Codelco) 3.875% 11/3/21 (b)	2,040,000		2,129,556
Vale Overseas Ltd.:
4.375% 1/11/22	2,250,000		2,250,790
6.25% 1/23/17	104,000		117,258
			7,155,811
TOTAL MATERIALS			10,200,180
TELECOMMUNICATION SERVICES - 3.8%
Diversified Telecommunication Services - 2.6%
AT&T, Inc.:
3.875% 8/15/21	1,500,000		1,640,054
5.55% 8/15/41	700,000		822,933
6.3% 1/15/38	970,000		1,203,530
Nonconvertible Bonds - continued
	Principal Amount		Value
TELECOMMUNICATION SERVICES - continued
Diversified Telecommunication Services - continued
CenturyLink, Inc.:
6.45% 6/15/21	$ 775,000		$ 803,389
7.6% 9/15/39	1,033,000		985,375
7.875% 8/15/12	1,000,000		1,012,310
Telefonica Emisiones SAU:
3.992% 2/16/16	200,000		184,585
5.134% 4/27/20	94,000		83,126
Verizon Communications, Inc.:
3.5% 11/1/21	2,000,000		2,128,658
4.6% 4/1/21	460,000		527,410
			9,391,370
Wireless Telecommunication Services - 1.2%
America Movil SAB de CV:
2.375% 9/8/16	1,450,000		1,463,658
3.625% 3/30/15	564,000		597,793
DIRECTV Holdings LLC/DIRECTV Financing, Inc.:
3.5% 3/1/16	220,000		232,055
5% 3/1/21	1,750,000		1,921,194
5.875% 10/1/19	67,000		77,337
			4,292,037
TOTAL TELECOMMUNICATION SERVICES			13,683,407
UTILITIES - 9.2%
Electric Utilities - 4.4%
AmerenUE 6.4% 6/15/17	133,000		161,128
Cleveland Electric Illuminating Co. 5.65% 12/15/13	1,096,000		1,164,165
Commonwealth Edison Co.:
1.95% 9/1/16	83,000		85,176
3.4% 9/1/21	725,000		780,374
4% 8/1/20	800,000		896,166
Duke Capital LLC 5.668% 8/15/14	192,000		207,921
Duke Energy Carolinas LLC 4.25% 12/15/41	106,000		113,499
Duke Energy Corp. 3.55% 9/15/21	1,250,000		1,334,530
Duquesne Light Holdings, Inc.:
5.9% 12/1/21 (b)	500,000		558,900
6.4% 9/15/20 (b)	1,310,000		1,488,488
EDP Finance BV 5.375% 11/2/12 (b)	1,744,000		1,748,360
Entergy Louisiana LLC 1.875% 12/15/14	144,000		147,145
FirstEnergy Corp. 7.375% 11/15/31	1,631,000		2,081,189
Nonconvertible Bonds - continued
	Principal Amount		Value
UTILITIES - continued
Electric Utilities - continued
FirstEnergy Solutions Corp.:
4.8% 2/15/15	$ 2,610,000		$ 2,793,734
6.05% 8/15/21	38,000		42,483
Nevada Power Co.:
6.5% 8/1/18	70,000		86,728
6.65% 4/1/36	500,000		681,688
NextEra Energy Capital Holdings, Inc. 1.611% 6/1/14	581,000		583,214
Pacific Gas & Electric Co. 3.25% 9/15/21	22,000		23,246
Pepco Holdings, Inc. 2.7% 10/1/15	193,000		198,587
Sierra Pacific Power Co. 5.45% 9/1/13	70,000		73,721
Tampa Electric Co. 6.55% 5/15/36	500,000		702,342
			15,952,784
Gas Utilities - 0.6%
Boston Gas Co. 4.487% 2/15/42 (b)	2,000,000		2,169,378
Southern Natural Gas Co. / Southern Natural Issuing Corp. 4.4% 6/15/21	18,000		19,328
			2,188,706
Independent Power Producers & Energy Traders - 0.1%
Southern Power Co. 5.15% 9/15/41	461,000		509,702
Multi-Utilities - 4.1%
Consolidated Edison Co. of New York, Inc. 4.45% 6/15/20	1,141,000		1,331,710
Dominion Resources, Inc.:
1.95% 8/15/16	1,612,000		1,640,578
2.7697% 9/30/66 (e)	2,427,000		2,158,744
7.5% 6/30/66 (e)	145,000		153,700
DTE Energy Co. 1.1797% 6/3/13 (e)	86,000		86,113
NiSource Finance Corp.:
4.45% 12/1/21	91,000		96,157
5.4% 7/15/14	60,000		65,032
5.45% 9/15/20	650,000		739,370
5.95% 6/15/41	1,493,000		1,733,258
6.15% 3/1/13	1,000,000		1,036,055
6.4% 3/15/18	59,000		69,524
Sempra Energy:
2% 3/15/14	2,695,000		2,736,802
2.3% 4/1/17	2,024,000		2,078,832
Nonconvertible Bonds - continued
	Principal Amount		Value
UTILITIES - continued
Multi-Utilities - continued
Wisconsin Energy Corp. 6.25% 5/15/67 (e)	$ 117,000		$ 119,925
Xcel Energy, Inc. 4.8% 9/15/41	554,000		620,032
			14,665,832
TOTAL UTILITIES			33,317,024
TOTAL NONCONVERTIBLE BONDS (Cost $295,553,346)		307,481,177
U.S. Treasury Obligations - 5.7%
U.S. Treasury Bonds:
3.125% 11/15/41	3,343,000		3,671,032
3.75% 8/15/41	7,045,000		8,675,241
U.S. Treasury Notes:
1.25% 4/30/19	1,320,000		1,341,966
2.125% 8/15/21	6,573,000		6,952,998
TOTAL U.S. TREASURY OBLIGATIONS (Cost $19,205,414)		20,641,237
Municipal Securities - 2.8%
American Muni. Pwr.-Ohio, Inc. Rev. (Combined Hydroelectric Proj.) Series 2010 B, 8.084% 2/15/50	280,000		414,588
California Gen. Oblig.:
7.5% 4/1/34	1,165,000		1,466,362
7.55% 4/1/39	5,000		6,457
7.6% 11/1/40	140,000		182,841
7.625% 3/1/40	465,000		603,682
Illinois Gen. Oblig. Series 2011, 5.877% 3/1/19	2,725,000		3,043,771
Muni. Elec. Auth. of Georgia (Plant Vogtle Units 3&4 Proj.) Series 2010 A:
6.637% 4/1/57	3,009,000		3,506,628
6.655% 4/1/57	690,000		794,300
TOTAL MUNICIPAL SECURITIES (Cost $9,262,380)		10,018,629
Foreign Government and Government Agency Obligations - 0.8%
	Principal Amount		Value
Chilean Republic 3.25% 9/14/21	$ 155,000		$ 162,208
Russian Federation:
3.25% 4/4/17 (b)	800,000		800,000
4.5% 4/4/22 (b)	200,000		203,000
5.625% 4/4/42 (b)	1,000,000		1,017,500
United Mexican States:
4.75% 3/8/44	616,000		622,160
6.05% 1/11/40	146,000		177,390
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $2,880,084)		2,982,258
Bank Notes - 0.1%
Wachovia Bank NA 6% 11/15/17 (Cost $438,978)	405,000		467,539

Preferred Securities - 0.0%
FINANCIALS - 0.0%
Diversified Financial Services - 0.0%
MUFG Capital Finance 1 Ltd. 6.346% (c)(e) (Cost $103,589)	102,000		109,475
Money Market Funds - 5.0%
	Shares
Fidelity Cash Central Fund, 0.17% (a) (Cost $18,081,790)	18,081,790		18,081,790
TOTAL INVESTMENT PORTFOLIO - 99.5% (Cost $345,525,581)			359,782,105
NET OTHER ASSETS (LIABILITIES) - 0.5%			1,704,708
NET ASSETS - 100%		$ 361,486,813

Legend

(a) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.

(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 $43,406,867 or 12.0% of net assets.

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

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

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

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 Cash Central Fund	$ 7,380

Other Information

The following is a summary of the inputs used, as of May 31, 2012, 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 table 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	$ 307,481,177	$ -	$ 307,481,177	$ -
U.S. Government and Government Agency Obligations	20,641,237	-	20,641,237	-
Municipal Securities	10,018,629	-	10,018,629	-
Foreign Government and Government Agency Obligations	2,982,258	-	2,982,258	-
Bank Notes	467,539	-	467,539	-
Preferred Securities	109,475	-	109,475	-
Money Market Funds	18,081,790	18,081,790	-	-
Total Investments in Securities:	$ 359,782,105	$ 18,081,790	$ 341,700,315	$ -

Income Tax Information

At May 31, 2012, the cost of investment securities for income tax purposes was $344,508,810. Net unrealized appreciation aggregated $15,273,295, of which $15,753,681 related to appreciated investment securities and $480,386 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 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.

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

Fidelity® Intermediate Bond Fund

May 31, 2012

1.804838.108

IBF-QTLY-0712

Investments May 31, 2012 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 38.5%
	Principal Amount (000s)		Value (000s)
CONSUMER DISCRETIONARY - 3.4%
Auto Components - 0.2%
DaimlerChrysler NA Holding Corp. 6.5% 11/15/13	$ 7,592		$ 8,174
Automobiles - 0.4%
Daimler Finance North America LLC:
1.65% 4/10/15 (c)	4,140		4,139
1.95% 3/28/14 (c)	5,578		5,638
Volkswagen International Finance NV 1.625% 3/22/15 (c)	8,100		8,132
			17,909
Diversified Consumer Services - 0.1%
Yale University 2.9% 10/15/14	3,460		3,641
Media - 1.9%
Comcast Corp.:
4.95% 6/15/16	2,432		2,739
5.15% 3/1/20	4,685		5,474
5.7% 5/15/18	355		417
COX Communications, Inc. 4.625% 6/1/13	4,934		5,112
Discovery Communications LLC:
3.7% 6/1/15	5,906		6,278
5.05% 6/1/20	2,181		2,488
NBCUniversal Media LLC:
3.65% 4/30/15	549		585
5.15% 4/30/20	6,800		7,889
News America, Inc.:
5.3% 12/15/14	968		1,063
6.9% 3/1/19	5,426		6,601
Time Warner Cable, Inc.:
5.4% 7/2/12	3,163		3,173
5.85% 5/1/17	4,293		4,993
6.2% 7/1/13	3,008		3,176
6.75% 7/1/18	7,189		8,714
Time Warner, Inc.:
3.15% 7/15/15	204		215
4.875% 3/15/20	5,060		5,706
5.875% 11/15/16	5,025		5,912
Viacom, Inc.:
3.5% 4/1/17	3,145		3,384
6.125% 10/5/17	3,071		3,672
			77,591
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
CONSUMER DISCRETIONARY - continued
Multiline Retail - 0.2%
Target Corp. 3.875% 7/15/20	$ 6,900		$ 7,646
Specialty Retail - 0.6%
AutoZone, Inc. 3.7% 4/15/22	3,290		3,398
Home Depot, Inc. 4.4% 4/1/21	4,240		4,871
Lowe's Companies, Inc. 4.625% 4/15/20	4,793		5,432
Staples, Inc. 7.375% 10/1/12	8,943		9,128
			22,829
TOTAL CONSUMER DISCRETIONARY			137,790
CONSUMER STAPLES - 2.4%
Beverages - 1.1%
Anheuser-Busch InBev Worldwide, Inc.:
1.5% 7/14/14	3,891		3,938
2.5% 3/26/13	9,338		9,459
5.375% 11/15/14	928		1,024
Beam, Inc. 1.875% 5/15/17	863		865
Diageo Capital PLC 1.5% 5/11/17	5,000		5,000
FBG Finance Ltd. 5.125% 6/15/15 (c)	3,800		4,182
Fortune Brands, Inc.:
5.375% 1/15/16	3,214		3,593
6.375% 6/15/14	1,868		2,057
PepsiCo, Inc. 7.9% 11/1/18	5,580		7,485
SABMiller Holdings, Inc. 2.45% 1/15/17 (c)	8,430		8,652
The Coca-Cola Co. 3.15% 11/15/20	670		721
			46,976
Food & Staples Retailing - 0.3%
CVS Caremark Corp. 4.125% 5/15/21	4,367		4,779
Wal-Mart Stores, Inc. 2.25% 7/8/15	5,578		5,797
			10,576
Food Products - 0.4%
Cargill, Inc. 6% 11/27/17 (c)	781		935
General Mills, Inc. 5.2% 3/17/15	3,350		3,720
Kraft Foods Group, Inc. 2.25% 6/5/17 (c)	4,150		4,233
Kraft Foods, Inc.:
5.375% 2/10/20	4,470		5,287
6.5% 8/11/17	1,168		1,415
6.75% 2/19/14	596		651
			16,241
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
CONSUMER STAPLES - continued
Tobacco - 0.6%
Altria Group, Inc. 9.7% 11/10/18	$ 9,728		$ 13,382
Philip Morris International, Inc. 4.5% 3/26/20	6,800		7,874
Reynolds American, Inc. 6.75% 6/15/17	3,818		4,600
			25,856
TOTAL CONSUMER STAPLES			99,649
ENERGY - 4.5%
Energy Equipment & Services - 0.7%
Cameron International Corp. 1.6% 4/30/15	3,136		3,136
DCP Midstream LLC 5.35% 3/15/20 (c)	4,118		4,612
El Paso Pipeline Partners Operating Co. LLC 6.5% 4/1/20	5,067		5,866
Halliburton Co. 6.15% 9/15/19	2,601		3,237
Noble Holding International Ltd. 2.5% 3/15/17	1,741		1,760
Weatherford International Ltd.:
4.95% 10/15/13	2,254		2,356
5.15% 3/15/13	8,620		8,880
			29,847
Oil, Gas & Consumable Fuels - 3.8%
Anadarko Petroleum Corp.:
5.95% 9/15/16	373		423
6.375% 9/15/17	3,957		4,629
Apache Corp. 1.75% 4/15/17	1,146		1,164
BG Energy Capital PLC 2.875% 10/15/16 (c)	4,300		4,518
Canadian Natural Resources Ltd. 5.15% 2/1/13	5,823		5,990
Cenovus Energy, Inc. 5.7% 10/15/19	4,250		5,080
Duke Capital LLC 6.25% 2/15/13	1,104		1,139
Duke Energy Field Services 5.375% 10/15/15 (c)	1,581		1,708
El Paso Natural Gas Co. 5.95% 4/15/17	178		201
Enbridge Energy Partners LP 4.2% 9/15/21	4,308		4,601
Encana Holdings Finance Corp. 5.8% 5/1/14	3,739		4,046
Enterprise Products Operating LP:
4.05% 2/15/22	4,350		4,582
4.6% 8/1/12	4,309		4,336
5.6% 10/15/14	2,531		2,782
5.65% 4/1/13	769		796
Gulf South Pipeline Co. LP 5.75% 8/15/12 (c)	5,000		5,039
Gulfstream Natural Gas System LLC 6.95% 6/1/16 (c)	170		198
Marathon Petroleum Corp. 3.5% 3/1/16	5,906		6,225
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		$ 7,060
Nexen, Inc.:
5.2% 3/10/15	1,177		1,255
6.2% 7/30/19	464		548
Petro-Canada 6.05% 5/15/18	1,874		2,216
Petrobras International Finance Co. Ltd.:
2.875% 2/6/15	4,220		4,282
5.75% 1/20/20	5,269		5,739
7.875% 3/15/19	4,229		5,115
Petroleos Mexicanos:
4.875% 1/24/22 (c)	4,300		4,494
6% 3/5/20	495		556
Phillips 66 2.95% 5/1/17 (c)	8,400		8,564
Plains All American Pipeline LP/PAA Finance Corp.:
3.95% 9/15/15	2,551		2,738
4.25% 9/1/12	6,373		6,418
5.75% 1/15/20	6,268		7,340
Ras Laffan Liquefied Natural Gas Co. Ltd. III:
4.5% 9/30/12 (c)	2,054		2,069
5.832% 9/30/16 (c)	1,236		1,324
Rockies Express Pipeline LLC 6.25% 7/15/13 (c)	3,521		3,600
Southeast Supply Header LLC 4.85% 8/15/14 (c)	5,816		6,140
Spectra Energy Capital, LLC 5.65% 3/1/20	237		272
Suncor Energy, Inc. 6.1% 6/1/18	5,571		6,642
Texas Eastern Transmission LP 6% 9/15/17 (c)	5,603		6,518
TransCapitalInvest Ltd. 5.67% 3/5/14 (c)	4,406		4,626
Transcontinental Gas Pipe Line Corp. 6.4% 4/15/16	1,717		2,006
Western Gas Partners LP 5.375% 6/1/21	4,300		4,746
XTO Energy, Inc.:
5% 1/31/15	1,932		2,161
5.65% 4/1/16	1,325		1,575
			155,461
TOTAL ENERGY			185,308
FINANCIALS - 18.7%
Capital Markets - 2.2%
Bear Stearns Companies, Inc. 5.3% 10/30/15	2,688		2,914
BlackRock, Inc. 4.25% 5/24/21	3,460		3,789
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Capital Markets - continued
Goldman Sachs Group, Inc.:
3.3% 5/3/15	$ 4,160		$ 4,100
3.7% 8/1/15	5,015		4,975
5.25% 7/27/21	5,000		4,950
5.95% 1/18/18	10,163		10,619
6.15% 4/1/18	3,044		3,179
Lazard Group LLC:
6.85% 6/15/17	4,983		5,478
7.125% 5/15/15	1,782		1,940
Merrill Lynch & Co., Inc.:
6.4% 8/28/17	1,406		1,495
6.875% 4/25/18	5,859		6,441
Morgan Stanley:
4% 7/24/15	497		481
4.1% 1/26/15	8,840		8,633
4.75% 4/1/14	1,028		1,014
5.45% 1/9/17	1,019		996
5.625% 9/23/19	933		891
5.75% 1/25/21	4,378		4,130
5.95% 12/28/17	2,475		2,468
6% 4/28/15	1,087		1,106
6.625% 4/1/18	653		663
7.3% 5/13/19	3,668		3,805
Royal Bank of Scotland PLC 4.875% 8/25/14 (c)	8,200		8,396
The Bank of New York Mellon Corp. 2.4% 1/17/17	8,600		8,850
			91,313
Commercial Banks - 5.9%
ANZ Banking Group Ltd. 2.125% 1/10/14 (c)	4,760		4,824
Bank of America NA 5.3% 3/15/17	361		368
Bank of Montreal 2.5% 1/11/17	4,210		4,350
Barclays Bank PLC 2.375% 1/13/14	10,930		10,936
BB&T Corp.:
2.05% 4/28/14	4,200		4,285
3.95% 3/22/22	6,235		6,527
BNP Paribas 2.125% 12/21/12	2,270		2,277
Comerica, Inc. 3% 9/16/15	15		15
Commonwealth Bank of Australia:
1.95% 3/16/15	4,200		4,227
2.9% 9/17/14 (c)	19,580		20,507
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		$ 3,245
6% 2/15/18	9,301		9,892
Danske Bank A/S 3.875% 4/14/16 (c)	6,370		6,208
Fifth Third Bancorp:
3.5% 3/15/22	4,300		4,371
3.625% 1/25/16	2,439		2,571
4.5% 6/1/18	440		467
8.25% 3/1/38	568		804
Fifth Third Bank 4.75% 2/1/15	2,708		2,882
Fifth Third Capital Trust IV 6.5% 4/15/67 (h)	55		54
First Niagara Financial Group, Inc. 6.75% 3/19/20	4,283		4,850
HBOS PLC 6.75% 5/21/18 (c)	3,004		2,754
HSBC Holdings PLC:
4% 3/30/22	3,778		3,849
5.1% 4/5/21	4,270		4,727
Huntington Bancshares, Inc. 7% 12/15/20	1,204		1,423
ING Bank NV 2.65% 1/14/13 (c)	8,720		8,771
JPMorgan Chase Bank 6% 10/1/17	12,071		13,424
KeyBank NA 5.8% 7/1/14	9,272		10,000
KeyCorp. 5.1% 3/24/21	4,303		4,866
Manufacturers & Traders Trust Co. 1.9682% 4/1/13 (h)	1,636		1,638
Marshall & Ilsley Bank:
5% 1/17/17	5,254		5,696
5.25% 9/4/12	47		47
National Australia Bank Ltd. 2% 3/9/15	4,220		4,225
PNC Funding Corp. 3.625% 2/8/15	2,676		2,850
Rabobank (Netherlands) NV 1.85% 1/10/14	12,454		12,549
Regions Bank:
6.45% 6/26/37	514		505
7.5% 5/15/18	2,648		2,966
Regions Financial Corp.:
0.6437% 6/26/12 (h)	260		260
5.75% 6/15/15	31		33
7.75% 11/10/14	168		183
SunTrust Banks, Inc.:
3.5% 1/20/17	4,250		4,385
3.6% 4/15/16	3,630		3,772
Svenska Handelsbanken AB 2.875% 9/14/12 (c)	14,641		14,730
The Toronto Dominion Bank 2.375% 10/19/16	8,600		8,894
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Commercial Banks - continued
UnionBanCal Corp. 5.25% 12/16/13	$ 857		$ 903
Wachovia Bank NA 4.875% 2/1/15	1,823		1,941
Wachovia Corp. 5.625% 10/15/16	4,400		4,933
Wells Fargo & Co.:
1.25% 2/13/15	14,626		14,561
3.5% 3/8/22	4,300		4,368
3.676% 6/15/16	4,260		4,518
Westpac Banking Corp. 1.85% 12/9/13	4,120		4,163
			241,594
Consumer Finance - 2.1%
American Express Credit Corp.:
2.75% 9/15/15	10,038		10,363
2.8% 9/19/16	3,852		3,970
Capital One Financial Corp.:
2.125% 7/15/14	9,294		9,365
2.15% 3/23/15	4,130		4,148
3.15% 7/15/16	4,360		4,527
7.375% 5/23/14	582		640
Discover Financial Services:
5.2% 4/27/22	710		754
6.45% 6/12/17	2,977		3,389
Ford Motor Credit Co. LLC 2.75% 5/15/15	6,250		6,354
General Electric Capital Corp.:
2.1% 1/7/14	976		989
2.15% 1/9/15	5,145		5,213
2.25% 11/9/15	6,196		6,278
2.9% 1/9/17	4,220		4,339
2.95% 5/9/16	1,773		1,829
3.35% 10/17/16	4,270		4,482
3.5% 6/29/15	10,833		11,377
6.375% 11/15/67 (h)	5,670		5,833
HSBC Finance Corp. 5.9% 6/19/12	444		445
HSBC USA, Inc. 2.375% 2/13/15	3,402		3,413
			87,708
Diversified Financial Services - 3.2%
ABB Finance (USA), Inc. 1.625% 5/8/17	1,596		1,593
Bank of America Corp.:
3.875% 3/22/17	326		325
4.5% 4/1/15	10,130		10,359
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Diversified Financial Services - continued
Bank of America Corp.: - continued
5.75% 12/1/17	$ 6,840		$ 7,119
5.875% 1/5/21	5,905		6,170
BP Capital Markets PLC:
2.248% 11/1/16	4,280		4,406
3.125% 10/1/15	503		530
3.2% 3/11/16	4,270		4,517
3.245% 5/6/22	4,160		4,229
Capital One Capital V 10.25% 8/15/39	1,170		1,211
Citigroup, Inc.:
3.953% 6/15/16	1,000		1,016
4.75% 5/19/15	13,271		13,828
5.125% 5/5/14	1,651		1,730
6.125% 5/15/18	321		349
6.5% 8/19/13	21,531		22,603
Deutsche Bank AG London Branch 2.375% 1/11/13	8,750		8,796
JPMorgan Chase & Co.:
3.15% 7/5/16	4,300		4,386
3.4% 6/24/15	17,366		17,927
4.5% 1/24/22	4,210		4,495
5.4% 1/6/42	1,813		1,970
TECO Finance, Inc.:
4% 3/15/16	1,147		1,232
5.15% 3/15/20	1,709		1,966
USAA Capital Corp. 3.5% 7/17/14 (c)	5,832		6,071
ZFS Finance USA Trust IV 5.875% 5/9/62 (c)(h)	2,866		2,862
			129,690
Insurance - 2.4%
American International Group, Inc.:
3% 3/20/15	2,070		2,091
4.25% 9/15/14	6,250		6,471
4.875% 6/1/22	4,038		4,071
Aon Corp.:
3.5% 9/30/15	6,239		6,522
5% 9/30/20	4,000		4,541
Assurant, Inc. 5.625% 2/15/14	2,474		2,596
Axis Capital Holdings Ltd. 5.75% 12/1/14	617		658
Berkshire Hathaway Finance Corp. 1.6% 5/15/17	5,000		5,023
Great-West Life & Annuity Insurance Co. 7.153% 5/16/46 (c)(h)	1,929		1,919
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Insurance - continued
Hartford Financial Services Group, Inc.:
5.125% 4/15/22	$ 1,889		$ 1,926
5.375% 3/15/17	149		158
Liberty Mutual Group, Inc.:
5% 6/1/21 (c)	4,280		4,414
6.5% 3/15/35 (c)	769		817
Marsh & McLennan Companies, Inc. 4.8% 7/15/21	2,565		2,834
MetLife, Inc.:
2.375% 2/6/14	6,330		6,465
5% 6/15/15	1,285		1,410
Metropolitan Life Global Funding I 2.5% 9/29/15 (c)	3,000		3,092
Monumental Global Funding III 5.5% 4/22/13 (c)	2,851		2,953
New York Life Global Funding 2.25% 12/14/12 (c)	4,310		4,343
Northwestern Mutual Life Insurance Co. 6.063% 3/30/40 (c)	401		504
Pacific Life Global Funding 5.15% 4/15/13 (c)	7,724		7,985
Pacific LifeCorp 6% 2/10/20 (c)	428		478
Prudential Financial, Inc.:
3.625% 9/17/12	4,198		4,231
4.5% 11/15/20	4,820		5,090
5.15% 1/15/13	614		629
5.4% 6/13/35	499		512
QBE Insurance Group Ltd. 5.647% 7/1/23 (c)(h)	246		221
Symetra Financial Corp. 6.125% 4/1/16 (c)	6,640		6,805
Unum Group:
5.625% 9/15/20	2,518		2,754
7.125% 9/30/16	4,802		5,512
			97,025
Real Estate Investment Trusts - 0.9%
Alexandria Real Estate Equities, Inc. 4.6% 4/1/22	1,262		1,299
AvalonBay Communities, Inc. 4.95% 3/15/13	405		416
Boston Properties, Inc. 3.85% 2/1/23 (d)	2,814		2,808
BRE Properties, Inc. 5.5% 3/15/17	508		563
Camden Property Trust:
5.375% 12/15/13	2,244		2,364
5.875% 11/30/12	741		758
Developers Diversified Realty Corp.:
4.75% 4/15/18	1,990		2,052
5.375% 10/15/12	1,677		1,688
7.5% 4/1/17	2,748		3,156
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Real Estate Investment Trusts - continued
Duke Realty LP:
4.625% 5/15/13	$ 885		$ 907
5.875% 8/15/12	517		521
Equity One, Inc.:
6% 9/15/17	958		1,046
6.25% 12/15/14	520		559
6.25% 1/15/17	545		591
Equity Residential 5.125% 3/15/16	3,150		3,479
Federal Realty Investment Trust:
5.4% 12/1/13	557		585
5.9% 4/1/20	42		48
6% 7/15/12	3,796		3,814
6.2% 1/15/17	685		773
HRPT Properties Trust:
5.75% 11/1/15	1,526		1,592
6.25% 6/15/17	1,361		1,463
6.65% 1/15/18	792		860
UDR, Inc. 5.5% 4/1/14	4,753		5,026
Washington (REIT) 5.25% 1/15/14	248		258
			36,626
Real Estate Management & Development - 2.0%
AMB Property LP 5.9% 8/15/13	2,849		2,960
BioMed Realty LP:
3.85% 4/15/16	8,587		8,809
6.125% 4/15/20	1,521		1,737
Brandywine Operating Partnership LP 5.7% 5/1/17	2,338		2,496
Colonial Properties Trust 6.875% 8/15/12	717		723
Duke Realty LP:
5.4% 8/15/14	2,777		2,949
6.25% 5/15/13	6,766		7,003
6.75% 3/15/20	291		346
8.25% 8/15/19	57		71
ERP Operating LP:
4.625% 12/15/21	4,280		4,669
4.75% 7/15/20	2,996		3,312
5.375% 8/1/16	1,323		1,481
5.5% 10/1/12	2,159		2,192
5.75% 6/15/17	5,803		6,715
Liberty Property LP:
4.75% 10/1/20	7,111		7,568
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Real Estate Management & Development - continued
Liberty Property LP: - continued
5.125% 3/2/15	$ 1,250		$ 1,330
5.5% 12/15/16	1,941		2,141
6.625% 10/1/17	2,744		3,184
Mack-Cali Realty LP:
4.5% 4/18/22	1,234		1,282
7.75% 8/15/19	539		662
Post Apartment Homes LP 6.3% 6/1/13	4,169		4,337
Prime Property Funding, Inc.:
5.125% 6/1/15 (c)	1,411		1,441
5.5% 1/15/14 (c)	999		1,020
5.7% 4/15/17 (c)	2,195		2,265
Regency Centers LP:
4.95% 4/15/14	675		704
5.25% 8/1/15	2,356		2,525
5.875% 6/15/17	1,166		1,313
Simon Property Group LP:
2.8% 1/30/17	972		1,001
4.2% 2/1/15	1,570		1,674
5.3% 5/30/13	50		52
Tanger Properties LP:
6.125% 6/1/20	4,208		4,855
6.15% 11/15/15	801		891
			83,708
TOTAL FINANCIALS			767,664
HEALTH CARE - 1.5%
Biotechnology - 0.1%
Amgen, Inc. 5.85% 6/1/17	3,264		3,814
Celgene Corp. 2.45% 10/15/15	472		483
			4,297
Health Care Equipment & Supplies - 0.1%
Medtronic, Inc. 4.45% 3/15/20	4,540		5,266
Health Care Providers & Services - 1.0%
Coventry Health Care, Inc.:
5.95% 3/15/17	1,930		2,213
6.3% 8/15/14	3,995		4,360
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
HEALTH CARE - continued
Health Care Providers & Services - continued
Express Scripts, Inc.:
3.125% 5/15/16	$ 3,905		$ 4,069
5.25% 6/15/12	3,081		3,085
6.25% 6/15/14	1,824		1,997
Medco Health Solutions, Inc. 2.75% 9/15/15	8,204		8,465
UnitedHealth Group, Inc. 3.875% 10/15/20	5,296		5,788
WellPoint, Inc.:
3.125% 5/15/22	4,290		4,281
4.35% 8/15/20	5,502		6,101
			40,359
Pharmaceuticals - 0.3%
Merck & Co., Inc. 5% 6/30/19	2,152		2,594
Teva Pharmaceutical Finance II BV 3% 6/15/15	6,900		7,243
Watson Pharmaceuticals, Inc. 5% 8/15/14	554		591
			10,428
TOTAL HEALTH CARE			60,350
INDUSTRIALS - 0.6%
Aerospace & Defense - 0.1%
BAE Systems Holdings, Inc. 4.95% 6/1/14 (c)	440		464
United Technologies Corp. 1.8% 6/1/17	4,029		4,085
			4,549
Airlines - 0.2%
Continental Airlines, Inc.:
6.648% 3/15/19	2,900		3,078
6.795% 2/2/20	143		141
6.9% 7/2/19	890		952
U.S. Airways pass-thru trust certificates:
6.85% 1/30/18	1,850		1,924
8.36% 1/20/19	1,496		1,571
			7,666
Industrial Conglomerates - 0.2%
Covidien International Finance SA:
3.2% 6/15/22	4,391		4,459
6% 10/15/17	3,234		3,910
			8,369
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
INDUSTRIALS - continued
Road & Rail - 0.1%
Burlington Northern Santa Fe LLC 3.45% 9/15/21	$ 4,262		$ 4,482
TOTAL INDUSTRIALS			25,066
INFORMATION TECHNOLOGY - 1.0%
Computers & Peripherals - 0.1%
Hewlett-Packard Co. 2.625% 12/9/14	4,280		4,368
Electronic Equipment & Components - 0.3%
Tyco Electronics Group SA:
1.6% 2/3/15	2,168		2,177
5.95% 1/15/14	3,938		4,223
6% 10/1/12	5,018		5,104
6.55% 10/1/17	2,606		3,128
			14,632
Office Electronics - 0.4%
Xerox Corp. 4.25% 2/15/15	14,142		15,015
Software - 0.2%
Oracle Corp. 3.875% 7/15/20	6,900		7,798
TOTAL INFORMATION TECHNOLOGY			41,813
MATERIALS - 0.9%
Chemicals - 0.2%
Dow Chemical Co.:
4.125% 11/15/21	4,063		4,268
4.25% 11/15/20	2,209		2,351
7.6% 5/15/14	669		748
			7,367
Construction Materials - 0.1%
CRH America, Inc. 6% 9/30/16	2,372		2,611
Metals & Mining - 0.6%
Anglo American Capital PLC:
2.15% 9/27/13 (c)	7,200		7,237
9.375% 4/8/14 (c)	3,434		3,899
9.375% 4/8/19 (c)	3,822		5,103
ArcelorMittal SA 3.75% 3/1/16	396		394
Corporacion Nacional del Cobre de Chile (Codelco):
3.875% 11/3/21 (c)	4,300		4,489
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
MATERIALS - continued
Metals & Mining - continued
Corporacion Nacional del Cobre de Chile (Codelco): - continued
6.375% 11/30/12 (c)	$ 2,211		$ 2,262
Vale Overseas Ltd. 6.25% 1/23/17	3,005		3,388
			26,772
TOTAL MATERIALS			36,750
TELECOMMUNICATION SERVICES - 2.3%
Diversified Telecommunication Services - 1.5%
AT&T Broadband Corp. 8.375% 3/15/13	2,855		3,019
AT&T, Inc.:
2.5% 8/15/15	3,515		3,658
6.7% 11/15/13	1,296		1,411
CenturyLink, Inc. 6.15% 9/15/19	3,860		4,051
Deutsche Telekom International Financial BV:
3.125% 4/11/16 (c)	6,407		6,622
5.25% 7/22/13	2,703		2,830
France Telecom SA 2.125% 9/16/15	1,491		1,495
Qwest Corp. 3.7237% 6/15/13 (h)	7,560		7,615
SBC Communications, Inc. 5.1% 9/15/14	6,685		7,306
Telefonica Emisiones SAU:
3.729% 4/27/15	8,664		8,051
5.134% 4/27/20	401		355
6.421% 6/20/16	1,283		1,261
Verizon Communications, Inc.:
2% 11/1/16	8,797		9,021
3% 4/1/16	4,379		4,672
5.25% 4/15/13	1,400		1,455
			62,822
Wireless Telecommunication Services - 0.8%
America Movil SAB de CV:
2.375% 9/8/16	4,330		4,371
3.625% 3/30/15	5,062		5,365
DIRECTV Holdings LLC/DIRECTV Financing, Inc.:
2.4% 3/15/17	4,504		4,518
4.75% 10/1/14	9,282		10,000
5.875% 10/1/19	287		331
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
TELECOMMUNICATION SERVICES - continued
Wireless Telecommunication Services - continued
Vodafone Group PLC:
4.15% 6/10/14	$ 2,355		$ 2,503
5% 12/16/13	2,972		3,157
			30,245
TOTAL TELECOMMUNICATION SERVICES			93,067
UTILITIES - 3.2%
Electric Utilities - 1.9%
Ameren Illinois Co. 6.125% 11/15/17	455		534
AmerenUE 6.4% 6/15/17	3,867		4,685
Cleveland Electric Illuminating Co. 5.65% 12/15/13	5,324		5,655
Commonwealth Edison Co. 4% 8/1/20	4,400		4,929
Duke Capital LLC 5.668% 8/15/14	2,661		2,882
Duquesne Light Holdings, Inc. 6.4% 9/15/20 (c)	369		419
Edison International 3.75% 9/15/17	2,938		3,109
EDP Finance BV 5.375% 11/2/12 (c)	6,361		6,377
Enel Finance International SA 5.7% 1/15/13 (c)	575		584
Exelon Corp. 4.9% 6/15/15	3,038		3,314
FirstEnergy Corp. 7.375% 11/15/31	463		591
FirstEnergy Solutions Corp.:
4.8% 2/15/15	1,018		1,090
6.05% 8/15/21	4,294		4,801
LG&E and KU Energy LLC:
2.125% 11/15/15	3,294		3,297
3.75% 11/15/20	19		20
Nevada Power Co.:
6.5% 5/15/18	6,784		8,353
6.5% 8/1/18	2,033		2,519
NextEra Energy Capital Holdings, Inc. 1.611% 6/1/14	6,967		6,994
Pacific Gas & Electric Co. 3.25% 9/15/21	662		699
Pennsylvania Electric Co. 6.05% 9/1/17	844		972
Pepco Holdings, Inc. 2.7% 10/1/15	3,115		3,205
Progress Energy, Inc. 4.4% 1/15/21	4,958		5,614
Sierra Pacific Power Co. 5.45% 9/1/13	2,018		2,125
Tampa Electric Co.:
4.1% 6/15/42	721		719
5.4% 5/15/21	1,635		1,981
Wisconsin Electric Power Co. 2.95% 9/15/21	768		805
			76,273
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
UTILITIES - continued
Gas Utilities - 0.0%
Southern Natural Gas Co. / Southern Natural Issuing Corp. 4.4% 6/15/21	$ 1,325		$ 1,423
Independent Power Producers & Energy Traders - 0.3%
Exelon Generation Co. LLC 5.35% 1/15/14	1,687		1,791
PPL Energy Supply LLC 6.3% 7/15/13	8,190		8,661
PSEG Power LLC 2.75% 9/15/16	1,039		1,075
			11,527
Multi-Utilities - 1.0%
Consolidated Edison Co. of New York, Inc. 4.45% 6/15/20	4,620		5,392
Dominion Resources, Inc.:
2.7697% 9/30/66 (h)	4,542		4,040
7.5% 6/30/66 (h)	4,221		4,474
MidAmerican Energy Holdings, Co. 5.875% 10/1/12	3,675		3,737
National Grid PLC 6.3% 8/1/16	1,843		2,137
NiSource Finance Corp.:
5.25% 9/15/17	2,656		2,971
5.4% 7/15/14	1,743		1,889
5.45% 9/15/20	313		356
6.4% 3/15/18	1,717		2,023
Sempra Energy 2.3% 4/1/17	9,715		9,978
Wisconsin Energy Corp. 6.25% 5/15/67 (h)	3,383		3,468
			40,465
TOTAL UTILITIES			129,688
TOTAL NONCONVERTIBLE BONDS (Cost $1,471,835)		1,577,145
U.S. Government and Government Agency Obligations - 35.6%
U.S. Government Agency Obligations - 4.6%
Fannie Mae:
0.375% 3/16/15	5,526		5,504
0.5% 5/27/15	1,387		1,385
0.5% 7/2/15	20,840		20,790
0.625% 10/30/14	1,596		1,602
0.75% 12/19/14	5,725		5,763
0.875% 8/28/14	52,819		53,357
U.S. Government and Government Agency Obligations - continued
	Principal Amount (000s)		Value (000s)
U.S. Government Agency Obligations - continued
Freddie Mac:
0.5% 4/17/15	$ 2,822		$ 2,820
0.625% 12/29/14	1,848		1,854
0.75% 11/25/14	1,886		1,897
1% 8/27/14	29,237		29,649
1.75% 9/10/15	62,973		65,274
U.S. Department of Housing and Urban Development Government guaranteed participation certificates Series 1996-A, 7.66% 8/1/15	9		9
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS			189,904
U.S. Treasury Obligations - 30.8%
U.S. Treasury Notes:
0.875% 11/30/16	53,278		53,956
0.875% 4/30/17	115,190		116,459
1% 9/30/16	33,025		33,626
1.125% 5/31/19	200,312		201,720
1.75% 7/31/15	89,230		93,001
1.875% 9/30/17	101,890		107,852
2% 2/15/22	219,291		228,371
3% 9/30/16	113,994		125,723
3.125% 10/31/16	15,084		16,739
3.125% 1/31/17 (e)	44,686		49,776
3.625% 2/15/20 (e)	198,136		234,771
TOTAL U.S. TREASURY OBLIGATIONS			1,261,994
Other Government Related - 0.2%
National Credit Union Administration Guaranteed Notes Master Trust 1.4% 6/12/15 (NCUA Guaranteed)	6,030		6,138
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $1,379,594)		1,458,036
U.S. Government Agency - Mortgage Securities - 7.2%
Fannie Mae - 5.3%
2.066% 10/1/33 (h)	206		216
2.115% 10/1/35 (h)	250		260
2.15% 3/1/35 (h)	156		165
2.235% 2/1/33 (h)	192		201
U.S. Government Agency - Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Fannie Mae - continued
2.239% 10/1/33 (h)	$ 90		$ 95
2.242% 12/1/34 (h)	176		185
2.257% 7/1/35 (h)	86		91
2.301% 7/1/34 (h)	109		116
2.303% 6/1/36 (h)	159		170
2.332% 3/1/35 (h)	104		109
2.424% 10/1/33 (h)	244		258
2.425% 3/1/35 (h)	26		27
2.426% 7/1/35 (h)	637		672
2.434% 12/1/33 (h)	5,742		6,052
2.564% 11/1/36 (h)	1,164		1,248
2.601% 5/1/35 (h)	412		439
2.612% 4/1/35 (h)	3,610		3,857
2.633% 7/1/37 (h)	352		377
2.678% 7/1/35 (h)	373		398
2.781% 9/1/36 (h)	1,799		1,927
3% 7/1/21 to 11/1/21	63,302		66,628
3.184% 1/1/40 (h)	3,128		3,257
3.483% 3/1/40 (h)	2,377		2,472
3.5% 1/1/26	74,649		78,810
3.524% 12/1/39 (h)	844		886
3.612% 3/1/40 (h)	3,253		3,411
4% 7/1/18	2,436		2,585
4.5% 8/1/18 to 7/1/20	5,459		5,842
5.5% 9/1/17 to 6/1/36	33,621		36,736
6.5% 4/1/13 to 3/1/26	622		661
7% 7/1/25 to 2/1/32	26		29
7.5% 8/1/13 to 8/1/29	320		369
TOTAL FANNIE MAE			218,549
Freddie Mac - 1.8%
2.188% 3/1/36 (h)	293		309
2.301% 4/1/35 (h)	1,667		1,770
2.374% 1/1/35 (h)	114		121
3% 8/1/21	9,166		9,654
3.028% 11/1/35 (h)	571		601
3.135% 3/1/33 (h)	33		36
3.342% 10/1/35 (h)	225		241
3.564% 4/1/40 (h)	1,817		1,902
3.566% 4/1/40 (h)	2,093		2,189
3.609% 2/1/40 (h)	4,079		4,247
U.S. Government Agency - Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Freddie Mac - continued
4.5% 8/1/18	$ 6,946		$ 7,400
5% 3/1/19	8,674		9,295
5.5% 3/1/34 to 7/1/35	32,247		35,348
7.5% 6/1/12 to 1/1/33	128		148
TOTAL FREDDIE MAC			73,261
Ginnie Mae - 0.1%
7% 1/15/28 to 11/15/32	3,743		4,325
7.5% 3/15/28	5		5
8% 7/15/17 to 5/15/22	744		803
TOTAL GINNIE MAE			5,133
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $289,197)		296,943
Asset-Backed Securities - 8.4%
Accredited Mortgage Loan Trust Series 2005-1 Class M1, 0.7088% 4/25/35 (h)	497		262
ACE Securities Corp. Home Equity Loan Trust:
Series 2004-HE1 Class M2, 1.8888% 3/25/34 (h)	325		266
Series 2005-HE2 Class M2, 0.6888% 4/25/35 (h)	45		43
Advanta Business Card Master Trust:
Series 2006-C1 Class C1, 0.6758% 10/20/14 (h)	343		3
Series 2007-D1 Class D, 1.5863% 1/22/13 (c)(h)	4,593		69
Ally Auto Receivables Trust:
Series 2009 B Class A3, 1.98% 10/15/13 (c)	2,115		2,121
Series 2009-A:
Class A3, 2.33% 6/17/13 (c)	269		269
Class A4, 3% 10/15/15 (c)	1,820		1,842
Series 2010-1 Class A4, 2.3% 12/15/14	7,600		7,744
Series 2010-4 Class A4, 1.35% 12/15/15	3,930		3,973
Series 2010-5 Class A4, 1.75% 3/15/16	1,635		1,667
Series 2011-1 Class A4, 2.23% 3/15/16	7,350		7,573
Series 2011-2 Class A3, 1.18% 4/15/15	4,230		4,251
Series 2011-3 Class A3, 0.97% 8/17/15	5,460		5,477
Series 2012-1 Class A2, 0.71% 9/15/14	6,300		6,306
Ally Master Owner Trust:
Series 2010-3 Class A, 2.88% 4/15/15 (c)	2,160		2,190
Series 2011-1 Class A2, 2.15% 1/15/16	15,400		15,673
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
Ally Master Owner Trust: - continued
Series 2011-3 Class A2, 1.81% 5/15/16	$ 8,240		$ 8,347
Series 2011-5 Class A1, 0.8888% 6/15/15 (h)	8,570		8,584
Series 2012-1 Class A2, 1.44% 2/15/17	8,450		8,486
Series 2012-2 Class A, 0.7413% 3/15/16 (h)	4,000		4,000
AmeriCredit Automobile Receivables Trust:
Series 2010-4 Class A3, 1.27% 4/8/15	5,980		6,005
Series 2011-1 Class A3, 1.39% 9/8/15	3,080		3,098
Series 2011-2 Class A3, 1.61% 10/8/15	6,330		6,386
Series 2011-3 Class A3, 1.17% 1/8/16	2,300		2,311
Series 2011-4 Class A/S, 0.92% 3/9/15	5,627		5,632
Series 2011-5 Class A2, 1.19% 8/8/15	2,001		2,006
Series 2012-2 Class A3, 1.05% 10/11/16	2,560		2,559
Ameriquest Mortgage Securities, Inc. pass-thru certificates:
Series 2003-10 Class M1, 0.9388% 12/25/33 (h)	36		28
Series 2004-R2 Class M3, 0.7888% 4/25/34 (h)	60		18
Series 2005-R2 Class M1, 0.6888% 4/25/35 (h)	930		822
Argent Securities, Inc. pass-thru certificates:
Series 2003-W7 Class A2, 1.0188% 3/25/34 (h)	22		15
Series 2004-W11 Class M2, 0.9388% 11/25/34 (h)	253		179
Series 2004-W7 Class M1, 0.7888% 5/25/34 (h)	968		693
Series 2006-W4 Class A2C, 0.3988% 5/25/36 (h)	593		141
Asset Backed Securities Corp. Home Equity Loan Trust:
Series 2004-HE2 Class M1, 1.0638% 4/25/34 (h)	1,094		841
Series 2006-HE2 Class M1, 0.6088% 3/25/36 (h)	67		1
Avis Budget Rental Car Funding (AESOP) LLC Series 2009-1A Class A, 9.31% 10/20/13 (c)	2,500		2,544
Axon Financial Funding Ltd. Series 2007-1 Class A1, 1.0682% 4/4/17 (b)(c)(h)	4,149		0
Bank of America Auto Trust Series 2009-1A Class A4, 3.52% 6/15/16 (c)	2,612		2,639
Bear Stearns Asset Backed Securities I Trust Series 2005-HE2 Class M2, 1.3638% 2/25/35 (h)	1,896		1,108
BMW Vehicle Lease Trust Series 2011-1 Class A3, 1.06% 2/20/14	6,190		6,210
Capital One Multi-Asset Execution Trust Series 2008-A3 Class A3, 5.05% 2/15/16	2,600		2,698
Capital Trust Ltd. Series 2004-1:
Class A2, 0.6898% 7/20/39 (c)(h)	92		72
Class B, 0.9898% 7/20/39 (c)(h)	189		83
Class C, 1.3398% 7/20/39 (c)(h)	243		5
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
Carrington Mortgage Loan Trust Series 2007-RFC1 Class A3, 0.3788% 12/25/36 (h)	$ 812		$ 294
Chase Issuance Trust:
Series 2007-A17 Class A, 5.12% 10/15/14	4,832		4,917
Series 2011-A2 Class A2, 0.3288% 5/15/15 (h)	16,210		16,216
Citibank Credit Card Issuance Trust:
Series 2008-A5 Class A5, 4.85% 4/22/15	5,489		5,696
Series 2009-A5 Class A5, 2.25% 12/23/14	13,500		13,630
CitiFinancial Auto Issuance Trust Series 2009-1 Class A3, 2.59% 10/15/13 (c)	2,111		2,118
Countrywide Asset-Backed Certificates Trust Series 2007-4 Class A1A, 0.3588% 9/25/37 (h)	150		147
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, 1.2088% 4/25/34 (h)	72		26
Series 2004-4 Class M2, 1.0338% 6/25/34 (h)	265		119
Series 2005-3 Class MV1, 0.6588% 8/25/35 (h)	7		7
Discover Card Master Trust Series 2012-A1 Class A1, 0.81% 8/15/17	9,340		9,335
Enterprise Fleet Financing LLC Series 2012-1 Class A2, 1.14% 11/20/17 (c)	5,240		5,232
Fannie Mae Series 2004-T5 Class AB3, 0.6889% 5/28/35 (h)	18		11
Fieldstone Mortgage Investment Corp. Series 2004-3 Class M5, 2.4138% 8/25/34 (h)	208		103
Ford Credit Auto Lease Trust:
Series 2010-B Class A3, 0.91% 7/15/13 (c)	2,891		2,892
Series 2011-A Class A3, 1.03% 7/15/14	7,640		7,669
Ford Credit Auto Owner Trust:
Series 2009-C Class A4, 4.43% 11/15/14	3,490		3,584
Series 2009-D Class A4, 2.98% 8/15/14	4,950		5,028
Series 2010-B Class A4, 1.58% 9/15/15	9,480		9,600
Series 2011-B Class A4, 1.35% 12/15/16	3,640		3,677
Ford Credit Floorplan Master Owner Trust:
Series 2010-5 Class A1, 1.5% 9/15/15	4,390		4,422
Series 2012-2 Class A, 1.92% 1/15/19	8,690		8,799
Fremont Home Loan Trust Series 2005-A:
Class M3, 0.9738% 1/25/35 (h)	427		132
Class M4, 1.2588% 1/25/35 (h)	164		25
GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 0.8469% 2/25/47 (c)(h)	1,457		510
GCO Slims Trust Series 2006-1A, 5.72% 3/1/22 (c)	732		703
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
GE Business Loan Trust:
Series 2003-1 Class A, 0.6688% 4/15/31 (c)(h)	$ 95		$ 89
Series 2006-2A:
Class A, 0.4188% 11/15/34 (c)(h)	1,263		1,095
Class B, 0.5188% 11/15/34 (c)(h)	457		315
Class C, 0.6188% 11/15/34 (c)(h)	758		431
Class D, 0.9888% 11/15/34 (c)(h)	289		89
GE Capital Credit Card Master Note Trust Series 2012-1 Class A, 1.03% 1/15/18	7,770		7,811
GSAMP Trust Series 2004-AR1 Class B4, 3.621% 6/25/34 (c)(h)	240		75
Guggenheim Structured Real Estate Funding Ltd. Series 2006-3 Class C, 0.7888% 9/25/46 (c)(h)	642		608
Home Equity Asset Trust:
Series 2003-2 Class M1, 1.5588% 8/25/33 (h)	284		191
Series 2003-3 Class M1, 1.5288% 8/25/33 (h)	308		219
Series 2003-5 Class A2, 0.9388% 12/25/33 (h)	15		12
Series 2006-1 Class 2A3, 0.4638% 4/25/36 (h)	98		98
Honda Auto Receivables Owner Trust:
Series 2010-1 Class A4, 1.98% 5/23/16	1,770		1,789
Series 2010-2 Class A4, 1.93% 8/18/16	12,444		12,603
Series 2011-1 Class A4, 1.8% 4/17/17	2,270		2,309
Series 2011-2 Class A4, 1.55% 8/18/17	5,790		5,889
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.4288% 1/25/37 (h)	766		267
Hyundai Auto Lease Securitization Trust Series 2011-A Class A3, 1.02% 8/15/14 (c)	4,680		4,693
John Deere Owner Trust Series 2011-A Class A4, 1.96% 4/16/18	1,810		1,848
JPMorgan Mortgage Acquisition Trust:
Series 2006-NC2 Class M2, 0.5388% 7/25/36 (h)	151		3
Series 2007-CH1 Class AV4, 0.3688% 11/25/36 (h)	764		695
Keycorp Student Loan Trust:
Series 1999-A Class A2, 0.8032% 12/27/29 (h)	251		223
Series 2006-A Class 2C, 1.6232% 3/27/42 (h)	2,280		108
Marriott Vacation Club Owner Trust Series 2006-2A:
Class B, 5.442% 10/20/28 (c)	9		9
Class C, 5.691% 10/20/28 (c)	4		4
Class D, 6.01% 10/20/28 (c)	49		49
MASTR Asset Backed Securities Trust Series 2007-HE1 Class M1, 0.5388% 5/25/37 (h)	353		5
Mercedes-Benz Auto Lease Trust:
Series 2011-1A Class A3 1.18% 11/15/13 (c)	8,530		8,550
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
Mercedes-Benz Auto Lease Trust: - continued
Series 2011-B Class A3, 1.07% 8/15/14 (c)	$ 4,600		$ 4,617
Mercedes-Benz Auto Receivables Trust Series 2011-1 Class A3, 0.85% 3/16/15	5,160		5,170
Meritage Mortgage Loan Trust Series 2004-1 Class M1, 0.9888% 7/25/34 (h)	122		74
Merrill Lynch Mortgage Investors Trust:
Series 2003-OPT1 Class M1, 1.2138% 7/25/34 (h)	375		277
Series 2006-FM1 Class A2B, 0.3488% 4/25/37 (h)	807		614
Series 2006-OPT1 Class A1A, 0.4988% 6/25/35 (h)	1,708		1,216
Morgan Stanley ABS Capital I Trust:
Series 2004-HE6 Class A2, 0.5788% 8/25/34 (h)	26		19
Series 2004-HE7 Class B3, 5.4888% 8/25/34 (h)	186		21
Series 2005-NC1 Class M1, 0.6788% 1/25/35 (h)	180		113
Series 2005-NC2 Class B1, 1.4088% 3/25/35 (h)	188		23
Series 2007-HE2 Class M1, 0.4888% 1/25/37 (h)	33		0*
National Collegiate Student Loan Trust:
Series 2004-2 Class AIO, 9.75% 10/27/14 (j)	3,874		174
Series 2006-4 Class D, 1.3388% 5/25/32 (h)	1,745		2
Series 2007-2 Class AIO, 6.7% 7/25/12 (j)	9,211		81
New Century Home Equity Loan Trust Series 2005-4 Class M2, 0.7488% 9/25/35 (h)	642		274
Nissan Auto Lease Trust:
Series 2010-B Class A4, 1.27% 10/15/16	1,980		1,991
Series 2011-A Class A3, 1.04% 8/15/14	6,490		6,514
Series 2011-B Class A3, 0.92% 2/16/15	3,190		3,186
Nissan Auto Receivables Owner Trust Series 2011-A Class A3, 1.18% 2/16/15	3,580		3,602
Ocala Funding LLC:
Series 2005-1A Class A, 1.7398% 3/20/10 (b)(c)(h)	405		0
Series 2006-1A Class A, 1.6398% 3/20/11 (b)(c)(h)	530		0
Option One Mortgage Loan Trust:
Series 2007-5 Class 2A1, 0.3288% 5/25/37 (h)	1		1
Series 2007-6 Class 2A1, 0.2988% 7/25/37 (h)	12		12
Park Place Securities, Inc.:
Series 2004-WCW1:
Class M3, 1.4888% 9/25/34 (h)	240		101
Class M4, 1.6888% 9/25/34 (h)	308		65
Series 2005-WCH1 Class M4, 1.0688% 1/25/36 (h)	665		328
Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 1.0388% 4/25/33 (h)	2		2
Santander Drive Auto Receivables Trust:
Series 2011-4 Class A2, 1.37% 3/16/15	4,143		4,159
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
Santander Drive Auto Receivables Trust: - continued
Series 2012-1 Class A2, 1.25% 4/15/15	$ 3,770		$ 3,784
Series 2012-3 Class A3, 1.08% 4/15/16	2,830		2,833
Saxon Asset Securities Trust Series 2004-1 Class M1, 1.0338% 3/25/35 (h)	590		432
Sierra Receivables Funding Co. Series 2007-1A Class A2, 0.3898% 3/20/19 (FGIC Insured) (c)(h)	238		233
SLM Private Credit Student Loan Trust Series 2004-A Class C, 1.4237% 6/15/33 (h)	572		212
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, 1.9638% 9/25/34 (h)	46		15
SVO VOI Mortgage Corp. Series 2006-AA Class A, 5.28% 2/20/24 (c)	389		399
Terwin Mortgage Trust Series 2003-4HE Class A1, 1.0988% 9/25/34 (h)	168		122
Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 1.0292% 4/6/42 (c)(h)	1,791		22
Volkswagen Auto Lease Trust Series 2010-A:
Class A3, 0.99% 11/20/13	8,289		8,301
Class A4, 1.18% 10/20/15	840		844
WaMu Asset Holdings Corp. Series 2006-8 Class N1, 6.048% 10/25/46 (c)	400		0
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, 2.2657% 10/25/44 (c)(h)	806		468
World Omni Automobile Lease Securitization Trust Series 2011-A, Class A3, 1.49% 10/15/14	3,590		3,610
TOTAL ASSET-BACKED SECURITIES (Cost $341,313)		344,120
Collateralized Mortgage Obligations - 1.6%
Private Sponsor - 0.9%
Arran Residential Mortgages Funding PLC floater Series 2011-1A Class A1C, 1.6794% 11/19/47 (c)(h)	4,714		4,721
Cobalt CMBS Commercial Mortgage Trust Series 2007-C2 Class B, 5.617% 4/15/47 (h)	1,348		541
COMM pass-thru certificates floater Series 2001-J2A Class A2F, 0.7388% 7/16/34 (c)(h)	10		10
Collateralized Mortgage Obligations - continued
	Principal Amount (000s)		Value (000s)
Private Sponsor - continued
Credit Suisse Mortgage Capital Certificates:
floater Series 2011-7R Class A1, 1.4888% 8/28/47 (c)(h)	$ 3,058		$ 3,005
sequential payer Series 2010-16 Class A1, 3% 6/25/50 (c)	2,023		1,977
Granite Master Issuer PLC floater:
Series 2005-4 Class C2, 1.3398% 12/20/54 (h)	151		88
Series 2006-1A:
Class A5, 0.3798% 12/20/54 (c)(h)	4,349		4,148
Class C2, 1.4398% 12/20/54 (c)(h)	3,085		1,789
Series 2006-2 Class C1, 1.1798% 12/20/54 (h)	2,445		1,418
Series 2006-3 Class C2, 0.7398% 12/20/54 (h)	506		293
Series 2006-4:
Class B1, 0.4198% 12/20/54 (h)	2,386		2,004
Class C1, 0.9998% 12/20/54 (h)	1,459		846
Class M1, 0.5798% 12/20/54 (h)	629		469
Series 2007-1:
Class 1C1, 0.8398% 12/20/54 (h)	1,115		647
Class 1M1, 0.5398% 12/20/54 (h)	754		562
Class 2C1, 1.1998% 12/20/54 (h)	506		293
Class 2M1, 0.7398% 12/20/54 (h)	969		722
Series 2007-2 Class 2C1, 1.0988% 12/17/54 (h)	1,341		778
Granite Mortgages Series 2003-2 Class 1A3, 0.9657% 7/20/43 (h)	2,016		1,931
Granite Mortgages PLC floater:
Series 2003-3 Class 1C, 2.9157% 1/20/44 (h)	194		136
Series 2004-1 Class 2A1, 0.7937% 3/20/44 (h)	3,302		3,144
JPMorgan Chase Commercial Mortgage Securities Trust Series 2007-CB18 Class A3, 5.447% 6/12/47 (h)	1,969		2,047
MASTR Adjustable Rate Mortgages Trust Series 2007-3 Class 22A2, 0.4488% 5/25/47 (h)	359		223
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.4088% 2/25/37 (h)	714		480
RESI Finance LP/RESI Finance DE Corp. floater Series 2003-B:
Class B5, 2.5888% 7/10/35 (c)(h)	716		582
Class B6, 3.0888% 7/10/35 (c)(h)	197		158
Residential Funding Securities Corp. floater Series 2003-RP2 Class A1, 0.6888% 6/25/33 (c)(h)	145		136
Salomon Brothers Mortgage Securities VII, Inc. Series 2006-C2 Class H, 6.308% 7/18/33 (c)	170		58
Collateralized Mortgage Obligations - continued
	Principal Amount (000s)		Value (000s)
Private Sponsor - continued
Santander Drive Auto Receivables Trust sequential payer Series 2011-3 Class A2, 1.11% 8/15/14	$ 3,490		$ 3,496
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 1.668% 7/20/34 (h)	16		11
TBW Mortgage-Backed pass-thru certificates floater Series 2006-4 Class A3, 0.4388% 9/25/36 (h)	1,475		1,177
TOTAL PRIVATE SPONSOR			37,890
U.S. Government Agency - 0.7%
Fannie Mae:
planned amortization class Series 2002-9 Class PC, 6% 3/25/17	186		200
sequential payer:
Series 2002-56 Class MC, 5.5% 9/25/17	619		662
Series 2004-86 Class KC, 4.5% 5/25/19	401		414
Series 2010-123 Class DL, 3.5% 11/25/25	2,779		2,898
Series 2010-143 Class B, 3.5% 12/25/25	4,357		4,577
Freddie Mac:
floater Series 3346 Class FA, 0.4688% 2/15/19 (h)	3,960		3,966
planned amortization class:
Series 2356 Class GD, 6% 9/15/16	635		676
Series 2363 Class PF, 6% 9/15/16	826		874
Series 2425 Class JH, 6% 3/15/17	743		802
Series 3777 Class AC, 3.5% 12/15/25	8,155		8,587
Government National Mortgage Association floater sequential payer Series 2011-150 Class D, 3% 4/20/37	3,497		3,594
TOTAL U.S. GOVERNMENT AGENCY			27,250
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $55,132)		65,140
Commercial Mortgage Securities - 5.3%
7 WTC Depositor LLC Trust Series 2012-7WTC Class A, 4.0824% 3/13/31 (c)	5,890		5,894
Asset Securitization Corp. Series 1997-D5:
Class A3, 7.2034% 2/14/43 (h)	325		326
Class A6, 7.5234% 2/14/43 (h)	1,412		1,421
Class PS1, 1.4221% 2/14/43 (h)(j)	1,865		23
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Banc of America Commercial Mortgage Trust:
sequential payer:
Series 2006-2 Class AAB, 5.9026% 5/10/45 (h)	$ 1,083		$ 1,143
Series 2006-5 Class A3, 5.39% 9/10/47	1,683		1,762
Series 2006-6 Class A3, 5.369% 10/10/45	2,414		2,575
Series 2007-4 Class A3, 5.9835% 2/10/51 (h)	1,204		1,255
Series 2006-6 Class E, 5.619% 10/10/45 (c)	697		55
Series 2007-3 Class A3, 5.8366% 6/10/49 (h)	2,016		2,065
Banc of America Commercial Mortgage, Inc.:
sequential payer Series 2004-2:
Class A3, 4.05% 11/10/38	147		149
Class A4, 4.153% 11/10/38	1,531		1,571
Series 2001-3 Class H, 6.562% 4/11/37 (c)	675		674
Series 2001-PB1 Class K, 6.15% 5/11/35 (c)	214		214
Banc of America Large Loan, Inc. floater:
Series 2005-MIB1:
Class C, 0.5488% 3/15/22 (c)(h)	518		508
Class D, 0.5988% 3/15/22 (c)(h)	525		511
Class E, 0.6388% 3/15/22 (c)(h)	434		422
Class F, 0.7088% 3/15/22 (c)(h)	277		269
Class G, 0.7688% 3/15/22 (c)(h)	179		169
Series 2006-BIX1:
Class D, 0.4488% 10/15/19 (c)(h)	525		515
Class E, 0.4788% 10/15/19 (c)(h)	878		838
Class F, 0.5488% 10/15/19 (c)(h)	1,724		1,638
Class G, 0.5688% 10/15/19 (c)(h)	609		572
Bayview Commercial Asset Trust:
floater:
Series 2003-2 Class M1, 1.0888% 12/25/33 (c)(h)	45		32
Series 2004-1:
Class A, 0.5988% 4/25/34 (c)(h)	569		470
Class B, 2.1388% 4/25/34 (c)(h)	64		37
Class M1, 0.7988% 4/25/34 (c)(h)	51		36
Class M2, 1.4388% 4/25/34 (c)(h)	48		34
Series 2005-2A:
Class A1, 0.5488% 8/25/35 (c)(h)	823		568
Class M1, 0.6688% 8/25/35 (c)(h)	35		18
Class M2, 0.7188% 8/25/35 (c)(h)	58		26
Class M3, 0.7388% 8/25/35 (c)(h)	32		13
Series 2005-3A:
Class A2, 0.6388% 11/25/35 (c)(h)	299		189
Class M1, 0.6788% 11/25/35 (c)(h)	48		27
Class M2, 0.7288% 11/25/35 (c)(h)	61		33
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Bayview Commercial Asset Trust: - continued
floater:
Series 2005-3A:
Class M3, 0.7488% 11/25/35 (c)(h)	$ 55		$ 29
Class M4, 0.8388% 11/25/35 (c)(h)	68		33
Series 2005-4A:
Class A2, 0.6288% 1/25/36 (c)(h)	583		405
Class B1, 1.6388% 1/25/36 (c)(h)	80		11
Class M1, 0.6888% 1/25/36 (c)(h)	188		82
Class M2, 0.7088% 1/25/36 (c)(h)	90		35
Class M3, 0.7388% 1/25/36 (c)(h)	82		29
Class M4, 0.8488% 1/25/36 (c)(h)	72		23
Class M5, 0.8888% 1/25/36 (c)(h)	72		19
Class M6, 0.9388% 1/25/36 (c)(h)	77		14
Series 2006-1:
Class A2, 0.5988% 4/25/36 (c)(h)	91		59
Class M1, 0.6188% 4/25/36 (c)(h)	52		30
Class M2, 0.6388% 4/25/36 (c)(h)	55		30
Class M3, 0.6588% 4/25/36 (c)(h)	47		24
Class M4, 0.7588% 4/25/36 (c)(h)	27		12
Class M5, 0.7988% 4/25/36 (c)(h)	26		11
Class M6, 0.8788% 4/25/36 (c)(h)	52		20
Series 2006-2A:
Class A1, 0.4688% 7/25/36 (c)(h)	1,935		1,306
Class A2, 0.5188% 7/25/36 (c)(h)	81		54
Class B1, 1.1088% 7/25/36 (c)(h)	48		5
Class B3, 2.9388% 7/25/36 (c)(h)	59		2
Class M1, 0.5488% 7/25/36 (c)(h)	85		34
Class M2, 0.5688% 7/25/36 (c)(h)	95		34
Class M3, 0.5888% 7/25/36 (c)(h)	79		25
Class M4, 0.6588% 7/25/36 (c)(h)	53		14
Class M5, 0.7088% 7/25/36 (c)(h)	65		12
Class M6, 0.7788% 7/25/36 (c)(h)	98		12
Series 2006-3A:
Class B1, 1.0388% 10/25/36 (c)(h)	38		0*
Class M4, 0.6688% 10/25/36 (c)(h)	105		9
Class M5, 0.7188% 10/25/36 (c)(h)	126		7
Class M6, 0.7988% 10/25/36 (c)(h)	155		5
Series 2006-4A:
Class A1, 0.4688% 12/25/36 (c)(h)	382		247
Class A2, 0.5088% 12/25/36 (c)(h)	2,022		893
Class B1, 0.9388% 12/25/36 (c)(h)	85		3
Class B2, 1.4888% 12/25/36 (c)(h)	34		1
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Bayview Commercial Asset Trust: - continued
floater:
Series 2006-4A:
Class M1, 0.5288% 12/25/36 (c)(h)	$ 179		$ 49
Class M2, 0.5488% 12/25/36 (c)(h)	119		23
Class M3, 0.5788% 12/25/36 (c)(h)	121		16
Class M4, 0.6388% 12/25/36 (c)(h)	145		17
Class M5, 0.6788% 12/25/36 (c)(h)	132		12
Class M6, 0.7588% 12/25/36 (c)(h)	119		8
Series 2007-1 Class A2, 0.5088% 3/25/37 (c)(h)	442		221
Series 2007-2A:
Class A1, 0.5088% 7/25/37 (c)(h)	415		223
Class A2, 0.5588% 7/25/37 (c)(h)	389		130
Class B1, 1.8388% 7/25/37 (c)(h)	153		5
Class M1, 0.6088% 7/25/37 (c)(h)	181		25
Class M2, 0.6488% 7/25/37 (c)(h)	98		8
Class M3, 0.7288% 7/25/37 (c)(h)	99		7
Class M4, 0.8888% 7/25/37 (c)(h)	198		13
Class M5, 0.9888% 7/25/37 (c)(h)	175		9
Class M6, 1.2388% 7/25/37 (c)(h)	222		9
Series 2007-3:
Class A2, 0.5288% 7/25/37 (c)(h)	350		164
Class B1, 1.1888% 7/25/37 (c)(h)	133		10
Class B2, 1.8388% 7/25/37 (c)(h)	251		9
Class B3, 4.2388% 7/25/37 (c)(h)	7		0*
Class M1, 0.5488% 7/25/37 (c)(h)	119		30
Class M2, 0.5788% 7/25/37 (c)(h)	127		23
Class M3, 0.6088% 7/25/37 (c)(h)	200		28
Class M4, 0.7388% 7/25/37 (c)(h)	237		29
Class M5, 0.8388% 7/25/37 (c)(h)	163		18
Class M6, 1.0388% 7/25/37 (c)(h)	124		12
Series 2007-4A:
Class B1, 2.7888% 9/25/37 (c)(h)	63		3
Class M1, 1.1888% 9/25/37 (c)(h)	207		15
Class M2, 1.2888% 9/25/37 (c)(h)	207		11
Class M4, 1.8388% 9/25/37 (c)(h)	402		16
Class M5, 1.9888% 9/25/37 (c)(h)	402		12
Class M6, 2.1888% 9/25/37 (c)(h)	403		8
Series 2004-1, Class IO, 1.25% 4/25/34 (c)(j)	2,184		82
Series 2007-5A, Class IO, 4.1484% 10/25/37 (c)(h)(j)	5,431		497
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Bear Stearns Commercial Mortgage Securities Trust:
floater:
Series 2006-BBA7:
Class H, 0.8888% 3/15/19 (c)(h)	$ 184		$ 177
Class J, 1.0888% 3/15/19 (c)(h)	183		166
Series 2007-BBA8:
Class D, 0.4888% 3/15/22 (c)(h)	349		316
Class E, 0.5388% 3/15/22 (c)(h)	1,818		1,608
Class F, 0.5888% 3/15/22 (c)(h)	1,115		964
Class G, 0.6388% 3/15/22 (c)(h)	376		318
Class H, 0.7888% 3/15/22 (c)(h)	349		274
Class J, 0.9388% 3/15/22 (c)(h)	349		264
sequential payer Series 2004-PWR3 Class A3, 4.487% 2/11/41	316		320
Series 2006-PW14 Class X2, 0.8632% 12/11/38 (c)(h)(j)	12,709		128
Series 2006-T24 Class X2, 0.6233% 10/12/41 (c)(h)(j)	2,533		15
Series 2007-PW18 Class X2, 0.4794% 6/11/50 (c)(h)(j)	84,954		872
Series 2007-T28 Class X2, 0.3209% 9/11/42 (c)(h)(j)	45,707		271
C-BASS Trust floater Series 2006-SC1 Class A, 0.5088% 5/25/36 (c)(h)	323		270
CDC Commercial Mortgage Trust Series 2002-FX1:
Class G, 6.625% 5/15/35 (c)	1,418		1,461
Class XCL, 1.3344% 5/15/35 (c)(h)(j)	4,924		105
Citigroup Commercial Mortgage Trust:
floater Series 2006-FL2:
Class G, 0.5698% 8/15/21 (c)(h)	100		96
Class H, 0.6098% 8/15/21 (c)(h)	218		204
Series 2008-C7 Class A2B, 6.2761% 12/10/49 (h)	1,085		1,103
Citigroup/Deutsche Bank Commercial Mortgage Trust Series 2007-CD4:
Class A3, 5.293% 12/11/49	1,175		1,239
Class C, 5.476% 12/11/49	2,273		500
Cobalt CMBS Commercial Mortgage Trust:
sequential payer Series 2007-C3 Class A3, 6.0104% 5/15/46 (h)	1,207		1,286
Series 2006-C1 Class B, 5.359% 8/15/48	3,621		253
COMM pass-thru certificates:
floater:
Series 2005-F10A:
Class G, 0.7888% 4/15/17 (c)(h)	31		30
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
COMM pass-thru certificates: - continued
floater:
Series 2005-F10A:
Class H, 0.8588% 4/15/17 (c)(h)	$ 78		$ 69
Class J, 1.0888% 4/15/17 (c)(h)	59		44
Series 2005-FL11:
Class C, 0.5388% 11/15/17 (c)(h)	742		704
Class D, 0.5788% 11/15/17 (c)(h)	39		36
Class E, 0.6288% 11/15/17 (c)(h)	137		126
Class F, 0.6888% 11/15/17 (c)(h)	67		61
Class G, 0.7388% 11/15/17 (c)(h)	47		42
Series 2006-FL12 Class AJ, 0.3688% 12/15/20 (c)(h)	1,720		1,557
sequential payer:
Series 2006-C8 Class A3, 5.31% 12/10/46	3,439		3,523
Series 2006-CN2A:
Class A2FX, 5.449% 2/5/19 (c)	2,080		2,019
Class AJFX, 5.478% 2/5/19 (c)	2,590		2,568
Series 2006-C8 Class XP, 0.6588% 12/10/46 (h)(j)	12,404		91
Commercial Mortgage pass-thru certificates:
sequential payer Series 2005-C6 Class A2, 4.999% 6/10/44 (h)	1		1
Series 2004-LB4A Class A5, 4.84% 10/15/37	11,280		11,792
Credit Suisse Commercial Mortgage Trust:
sequential payer:
Series 2007-C2 Class A3, 5.542% 1/15/49 (h)	2,414		2,587
Series 2007-C3:
Class A2, 5.8672% 6/15/39 (h)	499		498
Class A4, 5.8672% 6/15/39 (h)	726		773
Series 2006-C4 Class AAB, 5.439% 9/15/39	1,859		1,882
Series 2006-C5 Class ASP, 0.8651% 12/15/39 (h)(j)	8,291		84
Credit Suisse First Boston Mortgage Capital Certificates floater Series 2007-TF2A Class B, 0.5888% 4/15/22 (c)(h)	4,306		3,248
Credit Suisse First Boston Mortgage Securities Corp.:
sequential payer Series 2004-C1:
Class A3, 4.321% 1/15/37	2		2
Class A4, 4.75% 1/15/37	562		586
Series 2001-CK6 Class AX, 1.2267% 8/15/36 (h)(j)	386		1
Series 2001-CKN5 Class AX, 1.9496% 9/15/34 (c)(h)(j)	1,649		2
Series 2003-C4 Class A4, 5.137% 8/15/36	3,724		3,846
Series 2006-C1 Class A3, 5.5958% 2/15/39 (h)	2,185		2,314
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Credit Suisse Mortgage Capital Certificates:
floater Series 2007-TFL1:
Class B, 0.3888% 2/15/22 (c)(h)	$ 457		$ 420
Class C:
0.4088% 2/15/22 (c)(h)	840		765
0.5088% 2/15/22 (c)(h)	300		267
Class F, 0.5588% 2/15/22 (c)(h)	600		522
Series 2007-C1:
Class ASP, 0.5749% 2/15/40 (h)(j)	17,509		119
Class B, 5.487% 2/15/40 (c)(h)	1,845		309
First Union National Bank-Bank of America Commercial Mortgage Trust Series 2001-C1 Class G, 6.936% 3/15/33 (c)	794		801
Freddie Mac sequential payer Series K017 Class A1, 1.891% 12/25/20	9,112		9,311
Freddie Mac Multi-Class pass-thru certificates Series K707 Class A1, 1.615% 9/25/18	5,651		5,741
GE Capital Commercial Mortgage Corp.:
sequential payer Series 2007-C1 Class A4, 5.543% 12/10/49	6,367		6,947
Series 2001-1 Class X1, 1.7136% 5/15/33 (c)(h)(j)	1,211		11
Series 2007-C1 Class XP, 0.3359% 12/10/49 (h)(j)	16,725		65
GMAC Commercial Mortgage Securities, Inc.:
sequential payer Series 2003-C2 Class A2, 5.6355% 5/10/40 (h)	2,050		2,135
Series 2005-C1 Class X2, 0.7319% 5/10/43 (h)(j)	4,185		0*
Greenwich Capital Commercial Funding Corp.:
floater Series 2006-FL4 Class B, 0.4288% 11/5/21 (c)(h)	454		426
sequential payer Series 2007-GG11 Class A2, 5.597% 12/10/49	2,414		2,480
Series 2006-GG7 Class A3, 6.0811% 7/10/38 (h)	514		514
Series 2007-GG11 Class A1, 0.4392% 12/10/49 (c)(h)(j)	22,967		138
GS Mortgage Securities Corp. II:
floater:
Series 2006-FL8A:
Class E, 0.6088% 6/6/20 (c)(h)	274		269
Class F, 0.6788% 6/6/20 (c)(h)	376		363
Series 2007-EOP:
Class A1, 1.1031% 3/6/20 (c)(h)	5,489		5,447
Class C, 2.0056% 3/6/20 (c)(h)	1,355		1,340
Class D, 2.2018% 3/6/20 (c)(h)	2,650		2,620
Class F, 2.6334% 3/6/20 (c)(h)	112		111
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
GS Mortgage Securities Corp. II: - continued
floater:
Series 2007-EOP:
Class G, 2.7903% 3/6/20 (c)(h)	$ 56		$ 55
Class H, 3.3004% 3/6/20 (c)(h)	44		44
Class J, 4.0852% 3/6/20 (c)(h)	63		63
sequential payer Series 2005-GG4 Class A3, 4.607% 7/10/39	1,467		1,467
Series 2005-GG4 Class XP, 0.8966% 7/10/39 (c)(h)(j)	18,367		0*
GS Mortgage Securities Trust:
sequential payer:
Series 2006-GG8 Class A2, 5.479% 11/10/39	987		990
Series 2007-GG10 Class A2, 5.778% 8/10/45	275		278
Series 2011-GC5 Class A1, 1.468% 8/10/44 (h)	3,395		3,414
Series 2012-GC6 Class A1, 1.282% 1/10/45	1,444		1,447
JPMorgan Chase Commercial Mortgage Securities Corp.:
floater Series 2011-CCHP Class A, 2.6% 7/15/28 (c)(h)	8,000		7,988
sequential payer Series 2003-C1 Class A2, 4.985% 1/12/37	3,348		3,399
Series 2003-CB7 Class A4, 4.879% 1/12/38 (h)	1,625		1,686
JPMorgan Chase Commercial Mortgage Securities Trust:
floater Series 2006-FLA2:
Class B, 0.4088% 11/15/18 (c)(h)	602		586
Class C, 0.4488% 11/15/18 (c)(h)	428		416
Class D, 0.4688% 11/15/18 (c)(h)	144		140
Class E, 0.5188% 11/15/18 (c)(h)	156		148
Class F, 0.5688% 11/15/18 (c)(h)	235		211
Class G, 0.5988% 11/15/18 (c)(h)	203		169
Class H, 0.7388% 11/15/18 (c)(h)	156		127
sequential payer:
Series 2006-LDP9 Class A2, 5.134% 5/15/47 (h)	405		416
Series 2007-LD11 Class A2, 5.9877% 6/15/49 (h)	4,947		4,964
Series 2007-LDPX:
Class A2 S, 5.305% 1/15/49	6,795		6,850
Class A3, 5.42% 1/15/49	3,322		3,650
Series 2005-CB13 Class E, 5.5314% 1/12/43 (c)(h)	611		20
Series 2005-LDP4 Class X2, 0.3649% 10/15/42 (h)(j)	394,141		301
Series 2006-CB17 Class A3, 5.45% 12/12/43	317		320
Series 2007-CB19:
Class B, 5.9254% 2/12/49 (h)	103		31
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
JPMorgan Chase Commercial Mortgage Securities Trust: - continued
Series 2007-CB19:
Class C, 5.9254% 2/12/49 (h)	$ 270		$ 51
Class D, 5.9254% 2/12/49 (h)	284		43
Series 2007-LDP10 Class ES, 5.7393% 1/15/49 (c)(h)	624		35
LB-UBS Commercial Mortgage Trust:
sequential payer:
Series 2006-C1 Class A2, 5.084% 2/15/31	164		164
Series 2006-C7 Class A2, 5.3% 11/15/38	705		709
Series 2007-C1 Class A4, 5.424% 2/15/40	156		175
Series 2007-C2 Class A3, 5.43% 2/15/40	582		637
Series 2005-C3 Class XCP, 0.9022% 7/15/40 (h)(j)	2,746		1
Series 2006-C6 Class XCP, 0.8617% 9/15/39 (h)(j)	5,147		45
Series 2007-C1 Class XCP, 0.6211% 2/15/40 (h)(j)	1,924		14
Series 2007-C7 Class XCP, 0.4289% 9/15/45 (h)(j)	77,504		570
Lehman Brothers Floating Rate Commercial Mortgage Trust floater Series 2006-LLFA:
Class D, 0.4688% 9/15/21 (c)(h)	387		353
Class E, 0.5288% 9/15/21 (c)(h)	1,395		1,230
Class F, 0.5788% 9/15/21 (c)(h)	515		439
Class G, 0.5988% 9/15/21 (c)(h)	1,017		836
Class H, 0.6388% 9/15/21 (c)(h)	263		205
Merrill Lynch Mortgage Trust:
Series 2005-CKI1 Class A3, 5.3909% 11/12/37 (h)	683		685
Series 2005-LC1 Class F, 5.5591% 1/12/44 (c)(h)	1,050		586
Merrill Lynch-CFC Commercial Mortgage Trust:
floater Series 2006-4 Class A2FL, 0.3603% 12/12/49 (h)	122		122
sequential payer:
Series 2006-1 Class A3, 5.6555% 2/12/39 (h)	1,284		1,292
Series 2006-4 Class ASB, 5.133% 12/12/49 (h)	936		980
Series 2007-5:
Class A3, 5.364% 8/12/48	471		483
Class A4, 5.378% 8/12/48	48		51
Class B, 5.479% 8/12/48	3,621		825
Series 2007-9 Class A4, 5.7% 9/12/49	315		342
Series 2006-3 Class ASB, 5.382% 7/12/46 (h)	4,429		4,603
Series 2006-4 Class XP, 0.8105% 12/12/49 (h)(j)	18,224		273
Series 2007-6 Class B, 5.635% 3/12/51 (h)	1,207		340
Series 2007-7 Class B, 5.936% 6/12/50 (h)	105		7
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Morgan Stanley Capital I Trust:
floater:
Series 2006-XLF Class C, 1.439% 7/15/19 (c)(h)	$ 161		$ 93
Series 2007-XLFA:
Class A2, 0.339% 10/15/20 (c)(h)	2,907		2,771
Class C, 0.399% 10/15/20 (c)(h)	693		624
Class D, 0.429% 10/15/20 (c)(h)	300		261
Class E, 0.489% 10/15/20 (c)(h)	376		312
Class F, 0.539% 10/15/20 (c)(h)	225		171
Class G, 0.579% 10/15/20 (c)(h)	279		201
Class H, 0.669% 10/15/20 (c)(h)	176		118
Class J, 0.819% 10/15/20 (c)(h)	103		43
sequential payer:
Series 2003-IQ4 Class A2, 4.07% 5/15/40	1,399		1,423
Series 2005-IQ9 Class A3, 4.54% 7/15/56	1,195		1,208
Series 2006-HQ10 Class X2, 0.691% 11/12/41 (c)(h)(j)	6,519		16
Series 2006-HQ8 Class A3, 5.653% 3/12/44 (h)	399		399
Series 2006-T23 Class A3, 5.9838% 8/12/41 (h)	616		630
Morgan Stanley Dean Witter Capital I Trust sequential payer Series 2003-T11 Class A4, 5.15% 6/13/41	1,740		1,796
Providence Place Group Ltd. Partnership sequential payer Series 2000-C1 Class A1, 7.75% 7/20/16 (c)	844		874
Structured Asset Securities Corp. Series 1997-LLI Class D, 7.15% 10/12/34	44		44
UBS Commercial Mortgage Trust Series 2012-C1 Class A2, 2.18% 5/10/45	3,460		3,520
Wachovia Bank Commercial Mortgage Trust:
floater:
Series 2006-WL7A:
Class A1, 0.3303% 9/15/21 (c)(h)	3,453		3,348
Class E, 0.5198% 9/15/21 (c)(h)	867		688
Class F, 0.5798% 9/15/21 (c)(h)	846		646
Class G, 0.5998% 9/15/21 (c)(h)	801		585
Class J, 0.8398% 9/15/21 (c)(h)	178		82
Series 2007-WHL8:
Class F, 0.7188% 6/15/20 (c)(h)	2,422		1,768
Class LXR1, 0.9388% 6/15/20 (c)(h)	148		119
sequential payer:
Series 2006-C29 Class A3, 5.313% 11/15/48	3,206		3,288
Series 2007-C30:
Class A3, 5.246% 12/15/43	386		386
Class A4, 5.305% 12/15/43	355		377
Class A5, 5.342% 12/15/43	1,291		1,369
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Wachovia Bank Commercial Mortgage Trust: - continued
sequential payer:
Series 2007-C32:
Class A2, 5.9223% 6/15/49 (h)	$ 1,211		$ 1,220
Class A3, 5.9273% 6/15/49 (h)	2,049		2,175
Series 2005-C22 Class F, 5.5332% 12/15/44 (c)(h)	2,013		505
Series 2007-C30:
Class C, 5.483% 12/15/43 (h)	3,621		1,108
Class XP, 0.6679% 12/15/43 (c)(h)(j)	10,446		91
Series 2007-C31 Class C, 5.8735% 4/15/47 (h)	332		70
Series 2007-C31A Class A2, 5.421% 4/15/47	4,106		4,237
Wachovia Bank Commercial Mortgage Trust pass-thru certificates sequential payer Series 2007-C33 Class A5, 6.0975% 2/15/51 (h)	799		886
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $188,988)		215,868
Municipal Securities - 0.4%
California Gen. Oblig. 5.25% 4/1/14	9,000		9,684
Illinois Gen. Oblig.:
Series 2010, 3.321% 1/1/13	6,094		6,180
Series 2011, 5.877% 3/1/19	620		693
TOTAL MUNICIPAL SECURITIES (Cost $15,733)		16,557
Foreign Government and Government Agency Obligations - 1.2%
Brazilian Federative Republic 4.875% 1/22/21	3,820		4,332
Hydro-Quebec 2% 6/30/16	16,000		16,567
New Brunswick Province 2.75% 6/15/18	8,700		9,347
Ontario Province 2.3% 5/10/16	20,000		20,878
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $49,285)		51,124
Bank Notes - 0.5%
National City Bank, Cleveland 0.5875% 3/1/13 (h)	12,421		12,426
Wachovia Bank NA 6% 11/15/17	5,655		6,528
TOTAL BANK NOTES (Cost $18,257)		18,954

Fixed-Income Funds - 0.8%
	Shares		Value (000s)
Fidelity Specialized High Income Central Fund (i) (Cost $33,192)	334,707		$ 34,137
Money Market Funds - 0.3%
Fidelity Cash Central Fund, 0.17% (a) (Cost $11,671)	11,670,586		11,671
TOTAL INVESTMENT PORTFOLIO - 99.8% (Cost $3,854,197)			4,089,695
NET OTHER ASSETS (LIABILITIES) - 0.2%			6,251
NET ASSETS - 100%		$ 4,095,946

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)(g)	Sept. 2037	$ 354	$ (336)
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-C)(f)	Oct. 2034	435	(175)
Receive monthly notional amount multiplied by 1.545% 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)(f)	August 2034	364	(269)
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)(f)	Dec. 2034	1,174	(1,127)
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)(f)	April 2032	184	(142)
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)(f)	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-C)(f)	Oct. 2034	$ 479	$ (376)
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)(f)	Sept. 2034	167	(145)
		$ 3,161	$ (2,574)

Legend

(a) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.

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

(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 $386,660,000 or 9.4% of net assets.

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

(e) 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 $4,525,000.

(f) 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.

(g) 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.

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

(i) 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.

(j) 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 as of the end of the period.

* Amount represents less than $1,000.

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 (Amounts in thousands)
Fidelity Cash Central Fund	$ 15
Fidelity Specialized High Income Central Fund	1,629
Total	$ 1,644

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 Specialized High Income Central Fund	$ 40,165	$ 1,629	$ 8,701	$ 34,137	7.8%

Other Information

The following is a summary of the inputs used, as of May 31, 2012, 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	$ 1,577,145	$ -	$ 1,577,145	$ -
U.S. Government and Government Agency Obligations	1,458,036	-	1,458,036	-
U.S. Government Agency - Mortgage Securities	296,943	-	296,943	-
Asset-Backed Securities	344,120	-	337,642	6,478
Collateralized Mortgage Obligations	65,140	-	63,801	1,339
Commercial Mortgage Securities	215,868	-	197,718	18,150
Municipal Securities	16,557	-	16,557	-
Foreign Government and Government Agency Obligations	51,124	-	51,124	-
Bank Notes	18,954	-	18,954	-
Fixed-Income Funds	34,137	34,137	-	-
Money Market Funds	11,671	11,671	-	-
Total Investments in Securities:	$ 4,089,695	$ 45,808	$ 4,017,920	$ 25,967
Derivative Instruments:
Liabilities
Swap Agreements	$ (2,574)	$ -	$ (336)	$ (2,238)

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	$ 34,815
Total Realized Gain (Loss)	1,226
Total Unrealized Gain (Loss)	(3,776)
Cost of Purchases	13
Proceeds of Sales	(8,640)
Amortization/Accretion	734
Transfers in to Level 3	13,866
Transfers out of Level 3	(12,271)
Ending Balance	$ 25,967
The change in unrealized gain (loss) for the period attributable to Level 3 securities held at May 31, 2012	$ (2,874)
Derivative Instruments:
Swap Agreements
Beginning Balance	$ (2,095)
Total Unrealized Gain (Loss)	(143)
Transfers in to Level 3	-
Transfers out of Level 3	-
Ending Balance	$ (2,238)
Realized gain (loss) on Swap Agreements for the period	$ (54)
The change in unrealized gain (loss) for the period attributable to Level 3 Swap Agreements held at May 31, 2012	$ (143)

The information used in the above reconciliations 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, 2012, the cost of investment securities for income tax purposes was $3,924,878,000. Net unrealized appreciation aggregated $164,817,000, of which $180,079,000 related to appreciated investment securities and $15,262,000 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 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. 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 close out a credit default swap 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. On certain over-the-counter (OTC) derivatives such as credit default swaps, 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 on OTC derivatives, the Fund receives collateral in the form of cash or securities once the Fund's net unrealized appreciation on outstanding derivatives contracts under an ISDA Master Agreement exceed certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the counterparty and the Fund's custodian bank. 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 related to OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to the Fund. The Fund may be required to pledge collateral for the benefit of the counterparties on OTC derivatives in an amount not less than the counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified.

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 $3,161,000 representing 0.08% of net assets.

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® Investment Grade Bond Fund

May 31, 2012

1.804978.108

IGB-QTLY-0712

Investments May 31, 2012 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 20.9%
	Principal Amount (000s)		Value (000s)
CONSUMER DISCRETIONARY - 1.9%
Media - 1.9%
Comcast Corp.:
5.15% 3/1/20	$ 5,596		$ 6,539
5.7% 5/15/18	6,385		7,502
6.5% 1/15/17	4,125		4,906
Discovery Communications LLC 6.35% 6/1/40	3,458		4,219
NBCUniversal Media LLC:
5.15% 4/30/20	5,465		6,340
6.4% 4/30/40	5,000		6,154
News America Holdings, Inc. 7.75% 12/1/45	3,733		4,578
News America, Inc. 6.15% 2/15/41	2,347		2,698
Time Warner Cable, Inc.:
4% 9/1/21	17,000		17,734
5.85% 5/1/17	16,878		19,632
6.75% 7/1/18	5,587		6,772
Time Warner, Inc. 6.2% 3/15/40	5,000		5,839
			92,913
CONSUMER STAPLES - 1.3%
Beverages - 0.4%
Beam, Inc.:
1.875% 5/15/17	1,038		1,040
3.25% 5/15/22	1,231		1,237
FBG Finance Ltd. 5.125% 6/15/15 (c)	5,189		5,711
Fortune Brands, Inc.:
5.375% 1/15/16	470		525
5.875% 1/15/36	3,830		4,264
6.375% 6/15/14	2,462		2,711
SABMiller Holdings, Inc. 3.75% 1/15/22 (c)	3,930		4,168
			19,656
Food Products - 0.2%
Kraft Foods, Inc.:
6.125% 2/1/18	3,631		4,329
6.5% 8/11/17	4,718		5,716
6.5% 2/9/40	992		1,267
			11,312
Tobacco - 0.7%
Altria Group, Inc.:
9.25% 8/6/19	5,257		7,227
9.7% 11/10/18	5,570		7,662
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
CONSUMER STAPLES - continued
Tobacco - continued
Reynolds American, Inc.:
6.75% 6/15/17	$ 7,156		$ 8,621
7.25% 6/15/37	9,654		12,172
			35,682
TOTAL CONSUMER STAPLES			66,650
ENERGY - 2.5%
Energy Equipment & Services - 0.6%
DCP Midstream LLC:
4.75% 9/30/21 (c)	4,849		5,259
5.35% 3/15/20 (c)	4,973		5,569
El Paso Pipeline Partners Operating Co. LLC:
4.1% 11/15/15	6,122		6,372
5% 10/1/21	3,162		3,388
Transocean, Inc.:
5.05% 12/15/16	3,231		3,529
6.375% 12/15/21	4,266		4,902
			29,019
Oil, Gas & Consumable Fuels - 1.9%
Anadarko Petroleum Corp. 6.375% 9/15/17	13,602		15,912
Apache Corp. 3.25% 4/15/22	3,139		3,273
Enbridge Energy Partners LP 4.2% 9/15/21	5,694		6,082
Marathon Petroleum Corp. 5.125% 3/1/21	3,437		3,819
Nakilat, Inc. 6.067% 12/31/33 (c)	2,634		2,858
Nexen, Inc. 6.4% 5/15/37	2,868		3,159
Petro-Canada 6.05% 5/15/18	1,963		2,322
Petrobras International Finance Co. Ltd.:
3.875% 1/27/16	5,695		5,893
5.375% 1/27/21	6,755		7,209
5.75% 1/20/20	4,534		4,939
Petroleos Mexicanos:
4.875% 1/24/22 (c)	4,590		4,797
6.5% 6/2/41 (c)	6,279		7,001
Phillips 66:
4.3% 4/1/22 (c)	4,638		4,834
5.875% 5/1/42 (c)	3,971		4,250
Plains All American Pipeline LP/PAA Finance Corp. 3.65% 6/1/22	777		787
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
ENERGY - continued
Oil, Gas & Consumable Fuels - continued
Ras Laffan Liquefied Natural Gas Co. Ltd. III:
5.5% 9/30/14 (c)	$ 3,906		$ 4,209
6.75% 9/30/19 (c)	2,556		3,016
Spectra Energy Partners, LP:
2.95% 6/15/16	2,003		2,036
4.6% 6/15/21	1,124		1,210
Western Gas Partners LP 5.375% 6/1/21	6,237		6,884
Williams Partners LP 4.125% 11/15/20	1,029		1,086
			95,576
TOTAL ENERGY			124,595
FINANCIALS - 10.3%
Capital Markets - 1.5%
BlackRock, Inc. 3.375% 6/1/22	4,520		4,579
Goldman Sachs Group, Inc.:
5.25% 7/27/21	5,652		5,595
5.75% 1/24/22	10,052		10,320
5.95% 1/18/18	4,817		5,033
6.75% 10/1/37	9,413		9,280
JPMorgan Chase Capital XVII 5.85% 8/1/35	1,820		1,860
JPMorgan Chase Capital XX 6.55% 9/29/36	7,448		7,410
Lazard Group LLC:
6.85% 6/15/17	2,464		2,709
7.125% 5/15/15	7,737		8,425
Morgan Stanley:
4.75% 4/1/14	1,376		1,358
5.5% 7/28/21	4,856		4,550
5.75% 1/25/21	1,847		1,742
6.625% 4/1/18	7,981		8,104
7.3% 5/13/19	4,777		4,955
			75,920
Commercial Banks - 1.7%
Bank of America NA 5.3% 3/15/17	3,698		3,766
Credit Suisse New York Branch 6% 2/15/18	8,405		8,940
Discover Bank:
7% 4/15/20	3,008		3,518
8.7% 11/18/19	5,944		7,588
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Commercial Banks - continued
Fifth Third Bancorp:
4.5% 6/1/18	$ 2,054		$ 2,180
8.25% 3/1/38	2,385		3,377
Fifth Third Bank 4.75% 2/1/15	949		1,010
Fifth Third Capital Trust IV 6.5% 4/15/67 (i)	3,533		3,462
HBOS PLC 6.75% 5/21/18 (c)	3,056		2,801
HSBC Holdings PLC 4% 3/30/22	4,489		4,573
Huntington Bancshares, Inc. 7% 12/15/20	1,597		1,887
JPMorgan Chase Bank 6% 10/1/17	5,986		6,657
KeyBank NA 6.95% 2/1/28	1,344		1,539
Marshall & Ilsley Bank 5% 1/17/17	6,464		7,008
Regions Bank:
6.45% 6/26/37	8,725		8,572
7.5% 5/15/18	7,372		8,257
Regions Financial Corp.:
5.75% 6/15/15	1,094		1,149
7.75% 11/10/14	4,705		5,117
Wachovia Corp. 4.875% 2/15/14	4,283		4,493
			85,894
Consumer Finance - 0.1%
Discover Financial Services 5.2% 4/27/22	4,096		4,350
SLM Corp. 5% 10/1/13	391		399
			4,749
Diversified Financial Services - 1.6%
Bank of America Corp.:
3.875% 3/22/17	3,343		3,333
5.65% 5/1/18	3,745		3,903
5.75% 12/1/17	9,833		10,235
6.5% 8/1/16	5,430		5,882
Capital One Capital V 10.25% 8/15/39	4,709		4,874
Citigroup, Inc.:
3.953% 6/15/16	4,945		5,026
4.5% 1/14/22	3,182		3,267
5.875% 1/30/42	3,861		4,120
6.125% 5/15/18	10,778		11,734
6.5% 8/19/13	1,317		1,383
JPMorgan Chase & Co.:
4.35% 8/15/21	5,680		5,934
4.5% 1/24/22	4,927		5,260
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Diversified Financial Services - continued
JPMorgan Chase & Co.: - continued
4.95% 3/25/20	$ 8,888		$ 9,685
TECO Finance, Inc.:
4% 3/15/16	1,439		1,545
5.15% 3/15/20	2,067		2,378
ZFS Finance USA Trust IV 5.875% 5/9/62 (c)(i)	1,161		1,159
			79,718
Insurance - 1.7%
American International Group, Inc. 4.875% 9/15/16	3,411		3,598
Aon Corp.:
3.125% 5/27/16	4,835		5,027
5% 9/30/20	2,135		2,424
Axis Capital Holdings Ltd. 5.75% 12/1/14	6,279		6,695
Great-West Life & Annuity Insurance Co. 7.153% 5/16/46 (c)(i)	10,398		10,346
Hartford Financial Services Group, Inc.:
5.125% 4/15/22	4,757		4,851
6.625% 4/15/42	3,431		3,576
Liberty Mutual Group, Inc.:
5% 6/1/21 (c)	5,273		5,439
6.7% 8/15/16 (c)	7,459		8,295
Marsh & McLennan Companies, Inc. 4.8% 7/15/21	2,941		3,249
Massachusetts Mutual Life Insurance Co. 5.375% 12/1/41 (c)	2,736		3,054
MetLife, Inc. 6.75% 6/1/16	4,485		5,279
Pacific Life Insurance Co. 9.25% 6/15/39 (c)	4,357		5,671
Prudential Financial, Inc.:
4.5% 11/16/21	2,796		2,955
5.8% 11/16/41	3,662		3,907
6.2% 11/15/40	1,810		2,014
Symetra Financial Corp. 6.125% 4/1/16 (c)	4,900		5,022
Unum Group 5.625% 9/15/20	4,155		4,544
			85,946
Real Estate Investment Trusts - 1.1%
Alexandria Real Estate Equities, Inc. 4.6% 4/1/22	1,475		1,519
Boston Properties, Inc. 3.85% 2/1/23 (d)	3,385		3,378
Camden Property Trust 5.375% 12/15/13	1,818		1,915
Developers Diversified Realty Corp.:
4.75% 4/15/18	4,483		4,623
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Real Estate Investment Trusts - continued
Developers Diversified Realty Corp.: - continued
5.375% 10/15/12	$ 4,283		$ 4,310
7.5% 4/1/17	2,623		3,013
9.625% 3/15/16	3,987		4,856
Duke Realty LP 4.625% 5/15/13	317		325
Equity One, Inc.:
5.375% 10/15/15	585		623
6% 9/15/17	3,250		3,548
6.25% 12/15/14	2,985		3,211
6.25% 1/15/17	2,136		2,318
Federal Realty Investment Trust:
5.4% 12/1/13	2,627		2,759
5.9% 4/1/20	1,389		1,584
6% 7/15/12	1,579		1,586
6.2% 1/15/17	1,215		1,372
HRPT Properties Trust:
5.75% 11/1/15	2,002		2,089
6.65% 1/15/18	2,600		2,822
UDR, Inc. 5.5% 4/1/14	6,383		6,749
United Dominion Realty Trust, Inc. 5.25% 1/15/15	1,736		1,856
			54,456
Real Estate Management & Development - 2.6%
AMB Property LP:
5.9% 8/15/13	4,537		4,714
6.3% 6/1/13	4,607		4,774
BioMed Realty LP:
3.85% 4/15/16	5,000		5,129
6.125% 4/15/20	1,872		2,138
Brandywine Operating Partnership LP 5.7% 5/1/17	2,243		2,395
Colonial Properties Trust:
5.5% 10/1/15	5,995		6,329
6.875% 8/15/12	3,309		3,335
Colonial Realty LP 6.05% 9/1/16	4,436		4,812
Digital Realty Trust LP 4.5% 7/15/15	2,667		2,801
Duke Realty LP:
5.4% 8/15/14	5,135		5,452
5.5% 3/1/16	5,038		5,456
5.95% 2/15/17	1,536		1,716
6.25% 5/15/13	3,807		3,940
6.5% 1/15/18	5,065		5,802
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Real Estate Management & Development - continued
ERP Operating LP:
4.625% 12/15/21	$ 9,810		$ 10,703
5.2% 4/1/13	6,349		6,551
5.5% 10/1/12	6,078		6,172
5.75% 6/15/17	1,259		1,457
Liberty Property LP:
5.5% 12/15/16	3,158		3,484
6.375% 8/15/12	2,174		2,192
6.625% 10/1/17	3,709		4,304
Mack-Cali Realty LP 4.5% 4/18/22	1,473		1,530
Post Apartment Homes LP 6.3% 6/1/13	5,470		5,691
Prime Property Funding, Inc.:
5.125% 6/1/15 (c)	6,741		6,886
5.5% 1/15/14 (c)	4,505		4,599
Reckson Operating Partnership LP 6% 3/31/16	1,224		1,303
Tanger Properties LP:
6.125% 6/1/20	4,725		5,451
6.15% 11/15/15	9,117		10,136
			129,252
TOTAL FINANCIALS			515,935
HEALTH CARE - 0.5%
Biotechnology - 0.1%
Amgen, Inc. 5.15% 11/15/41	5,656		5,851
Health Care Providers & Services - 0.4%
Aristotle Holding, Inc.:
3.5% 11/15/16 (c)	7,074		7,473
4.75% 11/15/21 (c)	5,135		5,665
Express Scripts, Inc.:
3.125% 5/15/16	4,472		4,660
6.25% 6/15/14	1,557		1,704
			19,502
TOTAL HEALTH CARE			25,353
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
INDUSTRIALS - 0.5%
Aerospace & Defense - 0.2%
United Technologies Corp.:
3.1% 6/1/22	$ 5,019		$ 5,216
4.5% 6/1/42	5,019		5,394
			10,610
Airlines - 0.2%
Continental Airlines, Inc.:
6.545% 8/2/20	1,109		1,190
6.795% 2/2/20	308		305
U.S. Airways pass-thru trust certificates:
6.85% 1/30/18	2,045		2,127
8.36% 1/20/19	7,501		7,876
			11,498
Transportation Infrastructure - 0.1%
BNSF Funding Trust I 6.613% 12/15/55 (i)	2,984		3,118
TOTAL INDUSTRIALS			25,226
INFORMATION TECHNOLOGY - 0.2%
Electronic Equipment & Components - 0.2%
Tyco Electronics Group SA:
5.95% 1/15/14	4,695		5,034
6.55% 10/1/17	2,421		2,906
			7,940
Office Electronics - 0.0%
Xerox Corp. 4.5% 5/15/21	1,765		1,821
TOTAL INFORMATION TECHNOLOGY			9,761
MATERIALS - 0.7%
Chemicals - 0.5%
Dow Chemical Co.:
4.125% 11/15/21	4,654		4,889
4.25% 11/15/20	2,512		2,673
5.25% 11/15/41	2,962		3,195
7.6% 5/15/14	13,026		14,557
			25,314
Metals & Mining - 0.2%
ArcelorMittal SA 3.75% 3/1/16	549		546
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
MATERIALS - continued
Metals & Mining - continued
Corporacion Nacional del Cobre de Chile (Codelco) 3.875% 11/3/21 (c)	$ 5,087		$ 5,310
Vale Overseas Ltd. 4.375% 1/11/22	4,000		4,001
			9,857
TOTAL MATERIALS			35,171
TELECOMMUNICATION SERVICES - 0.8%
Diversified Telecommunication Services - 0.5%
AT&T, Inc. 6.8% 5/15/36	5,000		6,476
BellSouth Capital Funding Corp. 7.875% 2/15/30	4,203		5,437
CenturyLink, Inc.:
6.15% 9/15/19	2,073		2,176
6.45% 6/15/21	2,955		3,063
Embarq Corp. 7.995% 6/1/36	2,427		2,492
Telefonica Emisiones SAU 5.855% 2/4/13	1,287		1,293
Verizon Communications, Inc. 6.1% 4/15/18	6,019		7,317
			28,254
Wireless Telecommunication Services - 0.3%
America Movil SAB de CV 2.375% 9/8/16	6,904		6,969
DIRECTV Holdings LLC/DIRECTV Financing, Inc. 5.875% 10/1/19	6,291		7,262
			14,231
TOTAL TELECOMMUNICATION SERVICES			42,485
UTILITIES - 2.2%
Electric Utilities - 1.1%
Cleveland Electric Illuminating Co. 5.65% 12/15/13	5,410		5,746
Duke Capital LLC 5.668% 8/15/14	6,310		6,833
Duquesne Light Holdings, Inc.:
5.9% 12/1/21 (c)	3,318		3,709
6.4% 9/15/20 (c)	9,167		10,416
Edison International 3.75% 9/15/17	3,716		3,933
FirstEnergy Corp. 7.375% 11/15/31	6,758		8,623
FirstEnergy Solutions Corp. 6.05% 8/15/21	3,255		3,639
LG&E and KU Energy LLC 2.125% 11/15/15	4,231		4,235
Pennsylvania Electric Co. 6.05% 9/1/17	4,923		5,668
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
UTILITIES - continued
Electric Utilities - continued
Pepco Holdings, Inc. 2.7% 10/1/15	$ 3,942		$ 4,056
Tampa Electric Co. 4.1% 6/15/42	867		865
			57,723
Gas Utilities - 0.1%
Southern Natural Gas Co. 5.9% 4/1/17 (c)	2,894		3,337
Southern Natural Gas Co. / Southern Natural Issuing Corp. 4.4% 6/15/21	1,522		1,634
			4,971
Independent Power Producers & Energy Traders - 0.2%
PPL Energy Supply LLC:
6.2% 5/15/16	2,534		2,878
6.5% 5/1/18	5,351		6,197
PSEG Power LLC 2.75% 9/15/16	1,192		1,233
			10,308
Multi-Utilities - 0.8%
Dominion Resources, Inc.:
2.7697% 9/30/66 (i)	5,579		4,962
7.5% 6/30/66 (i)	3,654		3,873
NiSource Finance Corp.:
4.45% 12/1/21	2,107		2,226
5.4% 7/15/14	1,393		1,510
5.45% 9/15/20	1,461		1,662
5.8% 2/1/42	2,709		3,086
5.95% 6/15/41	4,935		5,729
6.4% 3/15/18	4,529		5,337
Sempra Energy 2.3% 4/1/17	5,159		5,299
Wisconsin Energy Corp. 6.25% 5/15/67 (i)	4,001		4,101
			37,785
TOTAL UTILITIES			110,787
TOTAL NONCONVERTIBLE BONDS (Cost $971,489)		1,048,876
U.S. Government and Government Agency Obligations - 35.2%
U.S. Government Agency Obligations - 0.4%
Tennessee Valley Authority 5.25% 9/15/39	15,563		20,498
U.S. Government and Government Agency Obligations - continued
	Principal Amount (000s)		Value (000s)
U.S. Treasury Inflation Protected Obligations - 1.1%
U.S. Treasury Inflation-Indexed Bonds:
0.75% 2/15/42	$ 25,103		$ 26,970
2.125% 2/15/40	8		12
2.125% 2/15/41	20,019		29,182
TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS			56,164
U.S. Treasury Obligations - 33.7%
U.S. Treasury Bonds:
3% 5/15/42	14,993		16,071
3.125% 2/15/42	156,078		171,344
4.375% 5/15/41	55,344		75,475
U.S. Treasury Notes:
0.25% 2/28/14	49,320		49,308
0.375% 6/30/13	49,248		49,331
0.625% 7/15/14 (f)	48,980		49,321
0.875% 4/30/17	243,658		246,342
1% 3/31/17	81,400		82,799
1.5% 12/31/13	352,900		359,752
1.75% 5/15/22	25,090		25,506
1.875% 10/31/17	61,182		64,762
2% 2/15/22	239,951		249,886
3.5% 5/31/13	103,340		106,715
3.625% 2/15/20	122,561		145,225
TOTAL U.S. TREASURY OBLIGATIONS			1,691,837
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $1,696,833)		1,768,499
U.S. Government Agency - Mortgage Securities - 21.5%
Fannie Mae - 12.8%
2.303% 6/1/36 (i)	138		148
2.633% 7/1/37 (i)	401		430
2.849% 2/1/35 (i)	2,570		2,753
3% 5/1/27	17,900		18,758
3% 6/1/27 (d)	10,200		10,681
3% 6/1/27 (d)	1,900		1,990
3.5% 1/1/41 to 5/1/42	23,515		24,785
3.5% 6/1/42 (d)	47,700		50,100
U.S. Government Agency - Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Fannie Mae - continued
3.5% 6/1/42 (d)	$ 99,900		$ 104,927
3.5% 6/1/42 (d)	31,000		32,560
3.5% 6/1/42 (d)	1,000		1,050
3.5% 6/1/42 (d)	12,000		12,604
3.5% 6/1/42 (d)	2,000		2,101
3.5% 6/1/42 (d)	1,000		1,050
4% 9/1/26 to 4/1/42	96,927		103,861
4% 9/1/41	229		246
4% 10/1/41	1,797		1,931
4.5% 6/1/18 to 11/1/41	115,451		125,335
4.5% 6/13/42 (d)	7,000		7,511
4.5% 6/13/42 (d)	7,000		7,511
4.5% 6/13/42 (d)	6,600		7,081
5% 4/1/18 to 6/1/40	14,947		16,222
5% 6/1/42 (d)	600		650
5.5% 7/1/28 to 12/1/38	47,604		52,202
6% 3/1/22 to 7/1/41	49,148		54,454
6.5% 2/1/36	165		187
TOTAL FANNIE MAE			641,128
Freddie Mac - 5.3%
3.342% 10/1/35 (i)	195		209
3.5% 4/1/32 to 5/1/42	12,774		13,484
4% 6/1/24 to 4/1/42	33,237		35,683
4% 9/1/41	933		1,000
4% 6/1/42 (d)	9,000		9,554
4.5% 7/1/25 to 10/1/41	86,156		93,318
5% 5/1/35 to 4/1/41	53,795		58,272
5.5% 12/1/27 to 1/1/40	44,222		48,007
6% 7/1/37 to 8/1/37	3,186		3,508
6.5% 9/1/39	4,275		4,787
TOTAL FREDDIE MAC			267,822
Ginnie Mae - 3.4%
3.5% 11/15/41 to 3/15/42	12,675		13,553
4% 1/15/25 to 11/15/41	37,198		40,412
4.5% 5/15/39 to 4/15/41	54,632		60,142
5% 3/15/39 to 9/15/41	36,467		40,541
U.S. Government Agency - Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Ginnie Mae - continued
5.5% 12/20/28 to 12/15/38	$ 8,362		$ 9,302
6% 9/20/38	5,313		5,954
TOTAL GINNIE MAE			169,904
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $1,056,441)		1,078,854
Asset-Backed Securities - 0.4%
Accredited Mortgage Loan Trust Series 2005-1 Class M1, 0.7088% 4/25/35 (i)	698		369
ACE Securities Corp. Home Equity Loan Trust:
Series 2004-HE1 Class M2, 1.8888% 3/25/34 (i)	200		163
Series 2005-HE2 Class M2, 0.6888% 4/25/35 (i)	63		61
Advanta Business Card Master Trust:
Series 2006-C1 Class C1, 0.6758% 10/20/14 (i)	376		4
Series 2007-D1 Class D, 1.5863% 1/22/13 (c)(i)	6,136		92
Airspeed Ltd. Series 2007-1A Class C1, 2.7388% 6/15/32 (c)(i)	5,953		3,066
Ameriquest Mortgage Securities, Inc. pass-thru certificates:
Series 2003-10 Class M1, 0.9388% 12/25/33 (i)	51		39
Series 2004-R2 Class M3, 0.7888% 4/25/34 (i)	85		25
Series 2005-R2 Class M1, 0.6888% 4/25/35 (i)	1,307		1,154
Argent Securities, Inc. pass-thru certificates:
Series 2003-W7 Class A2, 1.0188% 3/25/34 (i)	30		22
Series 2004-W7 Class M1, 0.7888% 5/25/34 (i)	808		578
Series 2006-W4 Class A2C, 0.3988% 5/25/36 (i)	833		198
Axon Financial Funding Ltd. Series 2007-1 Class A1, 1.0682% 4/4/17 (b)(c)(i)	5,160		0
Capital Trust Ltd. Series 2004-1:
Class A2, 0.6898% 7/20/39 (c)(i)	102		80
Class B, 0.9898% 7/20/39 (c)(i)	355		156
Class C, 1.3398% 7/20/39 (c)(i)	456		9
Carrington Mortgage Loan Trust Series 2007-RFC1 Class A3, 0.3788% 12/25/36 (i)	1,140		412
Countrywide Asset-Backed Certificates Trust Series 2007-4 Class A1A, 0.3588% 9/25/37 (i)	92		91
Countrywide Home Loan Trust Series 2006-13 Class N, 7% 8/25/37 (c)	1,666		0
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
Countrywide Home Loans, Inc.:
Series 2003-BC1 Class B1, 5.4888% 3/25/32 (MGIC Investment Corp. Insured) (i)	$ 61		$ 14
Series 2004-3 Class M4, 1.2088% 4/25/34 (i)	101		36
Series 2004-4 Class M2, 1.0338% 6/25/34 (i)	372		168
Series 2005-3 Class MV1, 0.6588% 8/25/35 (i)	9		9
Fannie Mae Series 2004-T5 Class AB3, 0.6889% 5/28/35 (i)	25		15
Fieldstone Mortgage Investment Corp. Series 2004-3 Class M5, 2.4138% 8/25/34 (i)	231		114
First Franklin Mortgage Loan Trust Series 2004-FF2 Class M3, 1.0638% 3/25/34 (i)	13		7
Fremont Home Loan Trust Series 2005-A Class M4, 1.2588% 1/25/35 (i)	231		35
GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 0.8469% 2/25/47 (c)(i)	2,174		761
GCO Slims Trust Series 2006-1A, 5.72% 3/1/22 (c)	832		799
GE Business Loan Trust:
Series 2003-1 Class A, 0.6688% 4/15/31 (c)(i)	133		125
Series 2006-2A:
Class A, 0.4188% 11/15/34 (c)(i)	965		837
Class B, 0.5188% 11/15/34 (c)(i)	349		241
Class C, 0.6188% 11/15/34 (c)(i)	578		329
Class D, 0.9888% 11/15/34 (c)(i)	276		85
GSAMP Trust Series 2004-AR1 Class B4, 3.621% 6/25/34 (c)(i)	259		80
Guggenheim Structured Real Estate Funding Ltd. Series 2006-3 Class C, 0.7888% 9/25/46 (c)(i)	1,131		1,071
Home Equity Asset Trust:
Series 2003-2 Class M1, 1.5588% 8/25/33 (i)	175		118
Series 2003-3 Class M1, 1.5288% 8/25/33 (i)	433		308
Series 2003-5 Class A2, 0.9388% 12/25/33 (i)	21		16
Series 2006-1 Class 2A3, 0.4638% 4/25/36 (i)	116		116
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.4288% 1/25/37 (i)	913		318
JPMorgan Mortgage Acquisition Trust Series 2007-CH1 Class AV4, 0.3688% 11/25/36 (i)	913		831
Keycorp Student Loan Trust:
Series 1999-A Class A2, 0.8032% 12/27/29 (i)	353		313
Series 2006-A Class 2C, 1.6232% 3/27/42 (i)	1,605		76
Marriott Vacation Club Owner Trust Series 2006-2A:
Class B, 5.442% 10/20/28 (c)	10		11
Class C, 5.691% 10/20/28 (c)	5		5
Class D, 6.01% 10/20/28 (c)	45		45
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
MASTR Asset Backed Securities Trust Series 2007-HE1 Class M1, 0.5388% 5/25/37 (i)	$ 496		$ 7
Meritage Mortgage Loan Trust Series 2004-1 Class M1, 0.9888% 7/25/34 (i)	75		45
Merrill Lynch Mortgage Investors Trust:
Series 2003-OPT1 Class M1, 1.2138% 7/25/34 (i)	260		192
Series 2006-FM1 Class A2B, 0.3488% 4/25/37 (i)	960		731
Series 2006-OPT1 Class A1A, 0.4988% 6/25/35 (i)	1,549		1,102
Morgan Stanley ABS Capital I Trust:
Series 2004-HE6 Class A2, 0.5788% 8/25/34 (i)	36		27
Series 2004-NC8 Class M6, 1.4888% 9/25/34 (i)	91		53
Series 2005-NC1 Class M1, 0.6788% 1/25/35 (i)	253		159
Series 2005-NC2 Class B1, 1.4088% 3/25/35 (i)	264		32
National Collegiate Student Loan Trust:
Series 2004-2 Class AIO, 9.75% 10/27/14 (e)	5,500		248
Series 2006-4 Class D, 1.3388% 5/25/32 (i)	1,227		1
Series 2007-2 Class AIO, 6.7% 7/25/12 (e)	14,063		124
New Century Home Equity Loan Trust Series 2005-4 Class M2, 0.7488% 9/25/35 (i)	903		386
Ocala Funding LLC:
Series 2005-1A Class A, 1.7398% 3/20/10 (b)(c)(i)	449		0
Series 2006-1A Class A, 1.6398% 3/20/11 (b)(c)(i)	933		0
Option One Mortgage Loan Trust:
Series 2007-5 Class 2A1, 0.3288% 5/25/37 (i)	3		3
Series 2007-6 Class 2A1, 0.2988% 7/25/37 (i)	37		36
Park Place Securities, Inc. Series 2004-WCW1:
Class M3, 1.4888% 9/25/34 (i)	337		143
Class M4, 1.6888% 9/25/34 (i)	433		91
Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 1.0388% 4/25/33 (i)	3		3
Sierra Receivables Funding Co. Series 2007-1A Class A2, 0.3898% 3/20/19 (FGIC Insured) (c)(i)	283		276
SLM Private Credit Student Loan Trust Series 2004-A Class C, 1.4237% 6/15/33 (i)	805		298
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, 1.9638% 9/25/34 (i)	50		16
SVO VOI Mortgage Corp. Series 2006-AA Class A, 5.28% 2/20/24 (c)	239		246
Terwin Mortgage Trust Series 2003-4HE Class A1, 1.0988% 9/25/34 (i)	18		13
Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 1.0292% 4/6/42 (c)(i)	1,733		22
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
WaMu Asset Holdings Corp. Series 2006-8 Class N1, 6.048% 10/25/46 (c)	$ 704		$ 0
Wells Fargo Home Equity Trust Series 2004-3 Class A, 4.5% 11/27/34 (c)	6		0
TOTAL ASSET-BACKED SECURITIES (Cost $21,238)		17,656
Collateralized Mortgage Obligations - 0.3%
Private Sponsor - 0.3%
Cobalt CMBS Commercial Mortgage Trust Series 2007-C2 Class B, 5.617% 4/15/47 (i)	1,223		491
COMM pass-thru certificates floater Series 2001-J2A Class A2F, 0.7388% 7/16/34 (c)(i)	9		9
Credit Suisse Mortgage Capital Certificates sequential payer Series 2010-16 Class A1, 3% 6/25/50 (c)	2,561		2,502
First Horizon Mortgage pass-thru Trust Series 2004-AR5 Class 2A1, 2.6312% 10/25/34 (i)	664		599
Granite Master Issuer PLC floater:
Series 2006-4:
Class B1, 0.4198% 12/20/54 (i)	2,694		2,263
Class M1, 0.5798% 12/20/54 (i)	710		529
Series 2007-1:
Class 1M1, 0.5398% 12/20/54 (i)	894		666
Class 2M1, 0.7398% 12/20/54 (i)	1,148		855
Granite Mortgages PLC floater Series 2003-3 Class 1C, 2.9157% 1/20/44 (i)	341		241
JPMorgan Chase Commercial Mortgage Securities Trust Series 2007-CB18 Class A3, 5.447% 6/12/47 (i)	1,787		1,857
JPMorgan Mortgage Trust sequential payer Series 2006-A5 Class 3A5, 5.7693% 8/25/36 (i)	1,139		858
MASTR Adjustable Rate Mortgages Trust Series 2007-3 Class 22A2, 0.4488% 5/25/47 (i)	505		313
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.4088% 2/25/37 (i)	852		573
Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 0.5288% 7/25/35 (i)	1,226		966
RESI Finance LP/RESI Finance DE Corp. floater Series 2003-B:
Class B5, 2.5888% 7/10/35 (c)(i)	649		528
Class B6, 3.0888% 7/10/35 (c)(i)	861		690
Residential Funding Securities Corp. floater Series 2003-RP2 Class A1, 0.6888% 6/25/33 (c)(i)	140		132
Collateralized Mortgage Obligations - continued
	Principal Amount (000s)		Value (000s)
Private Sponsor - continued
Salomon Brothers Mortgage Securities VII, Inc. Series 2006-C2 Class H, 6.308% 7/18/33 (c)	$ 194		$ 67
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 1.668% 7/20/34 (i)	22		16
Structured Asset Securities Corp. Series 2003-15A Class 4A, 5.3146% 4/25/33 (i)	216		197
TBW Mortgage-Backed pass-thru certificates floater Series 2006-4 Class A3, 0.4388% 9/25/36 (i)	2,073		1,654
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $11,107)		16,006
Commercial Mortgage Securities - 4.5%
Asset Securitization Corp. Series 1997-D5:
Class A3, 7.2034% 2/14/43 (i)	295		295
Class A6, 7.5234% 2/14/43 (i)	1,281		1,290
Class PS1, 1.4221% 2/14/43 (i)(e)	2,120		27
Banc of America Commercial Mortgage Trust:
sequential payer:
Series 2006-2 Class AAB, 5.9026% 5/10/45 (i)	983		1,038
Series 2006-6 Class A3, 5.369% 10/10/45	2,190		2,336
Series 2007-4 Class A3, 5.9835% 2/10/51 (i)	1,092		1,138
Series 2006-6 Class E, 5.619% 10/10/45 (c)	633		50
Series 2007-3:
Class A3, 5.8366% 6/10/49 (i)	1,828		1,873
Class A4, 5.8366% 6/10/49 (i)	2,283		2,544
Banc of America Commercial Mortgage, Inc.:
sequential payer:
Series 2004-2:
Class A3, 4.05% 11/10/38	134		135
Class A4, 4.153% 11/10/38	1,389		1,425
Series 2005-1 Class A3, 4.877% 11/10/42	412		412
Series 2001-3 Class H, 6.562% 4/11/37 (c)	612		611
Series 2001-PB1 Class K, 6.15% 5/11/35 (c)	194		194
Series 2005-3 Class A3B, 5.09% 7/10/43 (i)	3,402		3,555
Banc of America Large Loan, Inc. floater:
Series 2005-MIB1:
Class C, 0.5488% 3/15/22 (c)(i)	470		461
Class D, 0.5988% 3/15/22 (c)(i)	476		463
Class E, 0.6388% 3/15/22 (c)(i)	393		382
Class F, 0.7088% 3/15/22 (c)(i)	489		474
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Banc of America Large Loan, Inc. floater: - continued
Series 2005-MIB1:
Class G, 0.7688% 3/15/22 (c)(i)	$ 317		$ 298
Series 2006-BIX1:
Class D, 0.4488% 10/15/19 (c)(i)	477		467
Class E, 0.4788% 10/15/19 (c)(i)	797		761
Class F, 0.5488% 10/15/19 (c)(i)	1,885		1,790
Class G, 0.5688% 10/15/19 (c)(i)	1,257		1,182
Class H, 0.6088% 10/15/19 (c)(i)	1,388		1,235
Bayview Commercial Asset Trust floater:
Series 2003-2 Class M1, 1.0888% 12/25/33 (c)(i)	49		36
Series 2004-1:
Class A, 0.5988% 4/25/34 (c)(i)	649		536
Class B, 2.1388% 4/25/34 (c)(i)	73		42
Class M1, 0.7988% 4/25/34 (c)(i)	73		52
Class M2, 1.4388% 4/25/34 (c)(i)	67		47
Series 2005-2A:
Class A1, 0.5488% 8/25/35 (c)(i)	936		646
Class M1, 0.6688% 8/25/35 (c)(i)	62		32
Class M2, 0.7188% 8/25/35 (c)(i)	82		37
Class M3, 0.7388% 8/25/35 (c)(i)	56		22
Series 2005-3A:
Class A2, 0.6388% 11/25/35 (c)(i)	338		213
Class M1, 0.6788% 11/25/35 (c)(i)	91		51
Class M2, 0.7288% 11/25/35 (c)(i)	68		37
Class M3, 0.7488% 11/25/35 (c)(i)	61		32
Class M4, 0.8388% 11/25/35 (c)(i)	76		36
Series 2005-4A:
Class A2, 0.6288% 1/25/36 (c)(i)	819		569
Class B1, 1.6388% 1/25/36 (c)(i)	89		12
Class M1, 0.6888% 1/25/36 (c)(i)	264		116
Class M2, 0.7088% 1/25/36 (c)(i)	99		39
Class M3, 0.7388% 1/25/36 (c)(i)	145		51
Class M4, 0.8488% 1/25/36 (c)(i)	80		25
Class M5, 0.8888% 1/25/36 (c)(i)	80		22
Class M6, 0.9388% 1/25/36 (c)(i)	85		16
Series 2006-1:
Class A2, 0.5988% 4/25/36 (c)(i)	160		103
Class M1, 0.6188% 4/25/36 (c)(i)	97		57
Class M2, 0.6388% 4/25/36 (c)(i)	103		57
Class M3, 0.6588% 4/25/36 (c)(i)	88		45
Class M4, 0.7588% 4/25/36 (c)(i)	50		23
Class M5, 0.7988% 4/25/36 (c)(i)	49		20
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Bayview Commercial Asset Trust floater: - continued
Series 2006-1:
Class M6, 0.8788% 4/25/36 (c)(i)	$ 97		$ 38
Series 2006-2A:
Class A1, 0.4688% 7/25/36 (c)(i)	2,201		1,486
Class A2, 0.5188% 7/25/36 (c)(i)	142		95
Class B1, 1.1088% 7/25/36 (c)(i)	90		9
Class B3, 2.9388% 7/25/36 (c)(i)	66		2
Class M1, 0.5488% 7/25/36 (c)(i)	149		61
Class M2, 0.5688% 7/25/36 (c)(i)	105		38
Class M3, 0.5888% 7/25/36 (c)(i)	87		27
Class M4, 0.6588% 7/25/36 (c)(i)	100		26
Class M5, 0.7088% 7/25/36 (c)(i)	72		13
Class M6, 0.7788% 7/25/36 (c)(i)	108		14
Series 2006-3A:
Class B1, 1.0388% 10/25/36 (c)(i)	42		0*
Class M4, 0.6688% 10/25/36 (c)(i)	117		10
Class M5, 0.7188% 10/25/36 (c)(i)	140		8
Class M6, 0.7988% 10/25/36 (c)(i)	274		9
Series 2006-4A:
Class A1, 0.4688% 12/25/36 (c)(i)	460		297
Class A2, 0.5088% 12/25/36 (c)(i)	2,335		1,030
Class B1, 0.9388% 12/25/36 (c)(i)	145		6
Class B2, 1.4888% 12/25/36 (c)(i)	58		2
Class M1, 0.5288% 12/25/36 (c)(i)	187		52
Class M2, 0.5488% 12/25/36 (c)(i)	125		25
Class M3, 0.5788% 12/25/36 (c)(i)	127		17
Class M4, 0.6388% 12/25/36 (c)(i)	152		18
Class M5, 0.6788% 12/25/36 (c)(i)	139		13
Class M6, 0.7588% 12/25/36 (c)(i)	125		8
Series 2007-1 Class A2, 0.5088% 3/25/37 (c)(i)	493		247
Series 2007-2A:
Class A1, 0.5088% 7/25/37 (c)(i)	1,311		705
Class A2, 0.5588% 7/25/37 (c)(i)	1,227		410
Class B1, 1.8388% 7/25/37 (c)(i)	353		11
Class M1, 0.6088% 7/25/37 (c)(i)	419		58
Class M2, 0.6488% 7/25/37 (c)(i)	273		23
Class M3, 0.7288% 7/25/37 (c)(i)	276		20
Class M4, 0.8888% 7/25/37 (c)(i)	459		29
Class M5, 0.9888% 7/25/37 (c)(i)	405		21
Class M6, 1.2388% 7/25/37 (c)(i)	514		22
Series 2007-3:
Class A2, 0.5288% 7/25/37 (c)(i)	491		231
Class B1, 1.1888% 7/25/37 (c)(i)	296		22
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Bayview Commercial Asset Trust floater: - continued
Series 2007-3:
Class B2, 1.8388% 7/25/37 (c)(i)	$ 762		$ 27
Class B3, 4.2388% 7/25/37 (c)(i)	16		0*
Class M1, 0.5488% 7/25/37 (c)(i)	261		67
Class M2, 0.5788% 7/25/37 (c)(i)	278		52
Class M3, 0.6088% 7/25/37 (c)(i)	448		63
Class M4, 0.7388% 7/25/37 (c)(i)	706		87
Class M5, 0.8388% 7/25/37 (c)(i)	357		39
Class M6, 1.0388% 7/25/37 (c)(i)	271		25
Series 2007-4A:
Class B1, 2.7888% 9/25/37 (c)(i)	66		3
Class M1, 1.1888% 9/25/37 (c)(i)	220		16
Class M2, 1.2888% 9/25/37 (c)(i)	220		12
Class M4, 1.8388% 9/25/37 (c)(i)	448		18
Class M5, 1.9888% 9/25/37 (c)(i)	448		14
Class M6, 2.1888% 9/25/37 (c)(i)	449		9
Bear Stearns Commercial Mortgage Securities Trust:
floater:
Series 2006-BBA7:
Class H, 0.8888% 3/15/19 (c)(i)	324		310
Class J, 1.0888% 3/15/19 (c)(i)	323		294
Series 2007-BBA8:
Class D, 0.4888% 3/15/22 (c)(i)	489		442
Class E, 0.5388% 3/15/22 (c)(i)	2,030		1,796
Class F, 0.5888% 3/15/22 (c)(i)	1,246		1,078
Class G, 0.6388% 3/15/22 (c)(i)	401		339
Class H, 0.7888% 3/15/22 (c)(i)	489		384
Class J, 0.9388% 3/15/22 (c)(i)	489		369
sequential payer Series 2004-PWR3 Class A3, 4.487% 2/11/41	286		290
Series 2006-PW14 Class X2, 0.8632% 12/11/38 (c)(i)(e)	14,447		145
Series 2006-T22 Class A4, 5.7138% 4/12/38 (i)	137		155
Series 2006-T24 Class X2, 0.6233% 10/12/41 (c)(i)(e)	1,956		12
Series 2007-PW18 Class X2, 0.4794% 6/11/50 (c)(i)(e)	96,567		991
Series 2007-T28 Class X2, 0.3209% 9/11/42 (c)(i)(e)	51,956		308
C-BASS Trust floater Series 2006-SC1 Class A, 0.5088% 5/25/36 (c)(i)	453		379
CDC Commercial Mortgage Trust Series 2002-FX1:
Class G, 6.625% 5/15/35 (c)	1,287		1,326
Class XCL, 1.3344% 5/15/35 (c)(i)(e)	5,597		120
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Citigroup Commercial Mortgage Trust:
floater Series 2006-FL2:
Class G, 0.5698% 8/15/21 (c)(i)	$ 119		$ 115
Class H, 0.6098% 8/15/21 (c)(i)	261		244
Series 2007-FL3A Class A2, 0.3788% 4/15/22 (c)(i)	913		868
Series 2008-C7 Class A2B, 6.2761% 12/10/49 (i)	984		1,001
Citigroup/Deutsche Bank Commercial Mortgage Trust Series 2007-CD4:
Class A3, 5.293% 12/11/49	1,066		1,124
Class C, 5.476% 12/11/49	2,061		454
Cobalt CMBS Commercial Mortgage Trust:
sequential payer Series 2007-C3 Class A3, 6.0104% 5/15/46 (i)	1,095		1,167
Series 2006-C1 Class B, 5.359% 8/15/48	3,285		230
COMM pass-thru certificates:
floater:
Series 2005-F10A:
Class G, 0.7888% 4/15/17 (c)(i)	43		42
Class H, 0.8588% 4/15/17 (c)(i)	109		97
Class J, 1.0888% 4/15/17 (c)(i)	104		77
Series 2005-FL11:
Class C, 0.5388% 11/15/17 (c)(i)	673		639
Class D, 0.5788% 11/15/17 (c)(i)	35		33
Class E, 0.6288% 11/15/17 (c)(i)	124		114
Class F, 0.6888% 11/15/17 (c)(i)	95		86
Class G, 0.7388% 11/15/17 (c)(i)	66		59
Series 2006-FL12 Class AJ, 0.3688% 12/15/20 (c)(i)	1,560		1,412
sequential payer:
Series 2006-C8 Class A3, 5.31% 12/10/46	3,121		3,198
Series 2006-CN2A:
Class A2FX, 5.449% 2/5/19 (c)	1,851		1,797
Class AJFX, 5.478% 2/5/19 (c)	3,272		3,245
Series 2006-C8 Class XP, 0.6588% 12/10/46 (i)(e)	9,579		71
Commercial Mortgage pass-thru certificates sequential payer Series 2005-C6 Class A2, 4.999% 6/10/44 (i)	1		1
Credit Suisse Commercial Mortgage Trust:
sequential payer:
Series 2007-C2 Class A3, 5.542% 1/15/49 (i)	2,190		2,347
Series 2007-C3 Class A4, 5.8672% 6/15/39 (i)	658		701
Series 2006-C5 Class ASP, 0.8651% 12/15/39 (i)(e)	6,402		65
Series 2007-C5 Class A4, 5.695% 9/15/40 (i)	991		1,050
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Credit Suisse First Boston Mortgage Capital Certificates floater Series 2007-TF2A Class B, 0.5888% 4/15/22 (c)(i)	$ 3,907		$ 2,947
Credit Suisse First Boston Mortgage Securities Corp.:
sequential payer Series 2004-C1 Class A3, 4.321% 1/15/37	2		2
Series 2001-CK6 Class AX, 1.2267% 8/15/36 (i)(e)	439		1
Series 2001-CKN5 Class AX, 1.9496% 9/15/34 (c)(i)(e)	1,875		3
Series 2006-C1 Class A3, 5.5958% 2/15/39 (i)	3,965		4,198
Credit Suisse Mortgage Capital Certificates:
floater Series 2007-TFL1:
Class B, 0.3888% 2/15/22 (c)(i)	414		381
Class C:
0.4088% 2/15/22 (c)(i)	1,180		1,074
0.5088% 2/15/22 (c)(i)	421		375
Class F, 0.5588% 2/15/22 (c)(i)	843		734
Series 2007-C1:
Class ASP, 0.5749% 2/15/40 (i)(e)	19,902		135
Class B, 5.487% 2/15/40 (c)(i)	1,677		281
First Union National Bank-Bank of America Commercial Mortgage Trust Series 2001-C1 Class G, 6.936% 3/15/33 (c)	903		911
GE Capital Commercial Mortgage Corp.:
sequential payer Series 2007-C1 Class A4, 5.543% 12/10/49	13,416		14,639
Series 2001-1 Class X1, 1.7136% 5/15/33 (c)(i)(e)	1,376		12
Series 2007-C1 Class XP, 0.3359% 12/10/49 (i)(e)	16,232		63
GMAC Commercial Mortgage Securities, Inc. Series 2005-C1 Class X2, 0.7319% 5/10/43 (i)(e)	4,757		0*
Greenwich Capital Commercial Funding Corp.:
floater Series 2006-FL4 Class B, 0.4288% 11/5/21 (c)(i)	412		387
sequential payer Series 2007-GG9 Class A4, 5.444% 3/10/39	3,184		3,472
Series 2007-GG11 Class A1, 0.4392% 12/10/49 (c)(i)(e)	26,107		157
GS Mortgage Securities Corp. II:
floater:
Series 2006-FL8A:
Class E, 0.6088% 6/6/20 (c)(i)	248		243
Class F, 0.6788% 6/6/20 (c)(i)	528		510
Series 2007-EOP:
Class C, 2.0056% 3/6/20 (c)(i)	1,041		1,029
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
GS Mortgage Securities Corp. II: - continued
floater:
Series 2007-EOP:
Class D, 2.2018% 3/6/20 (c)(i)	$ 6,868		$ 6,790
Class F, 2.6334% 3/6/20 (c)(i)	107		106
Class G, 2.7903% 3/6/20 (c)(i)	54		53
Class H, 3.3004% 3/6/20 (c)(i)	479		475
Class J, 4.0852% 3/6/20 (c)(i)	686		683
sequential payer Series 2004-GG2 Class A4, 4.964% 8/10/38	237		239
Series 2005-GG4 Class XP, 0.8966% 7/10/39 (c)(i)(e)	20,878		0*
GS Mortgage Securities Trust sequential payer:
Series 2006-GG8 Class A2, 5.479% 11/10/39	519		521
Series 2007-GG10 Class A2, 5.778% 8/10/45	249		253
JPMorgan Chase Commercial Mortgage Securities Trust:
floater Series 2006-FLA2:
Class B, 0.4088% 11/15/18 (c)(i)	546		532
Class C, 0.4488% 11/15/18 (c)(i)	388		377
Class D, 0.4688% 11/15/18 (c)(i)	153		149
Class E, 0.5188% 11/15/18 (c)(i)	221		209
Class F, 0.5688% 11/15/18 (c)(i)	265		238
Class G, 0.5988% 11/15/18 (c)(i)	230		191
Class H, 0.7388% 11/15/18 (c)(i)	221		179
sequential payer:
Series 2006-LDP9 Class A2, 5.134% 5/15/47 (i)	367		377
Series 2007-LD11 Class A4, 6.0027% 6/15/49 (i)	10,914		11,784
Series 2007-LDPX Class A2 S, 5.305% 1/15/49	1,752		1,767
Series 2005-CB13 Class E, 5.5314% 1/12/43 (c)(i)	694		22
Series 2006-CB17 Class A3, 5.45% 12/12/43	287		291
Series 2007-CB19:
Class B, 5.9254% 2/12/49 (i)	93		28
Class C, 5.9254% 2/12/49 (i)	245		47
Class D, 5.9254% 2/12/49 (i)	257		39
Series 2007-LDP10:
Class BS, 5.437% 1/15/49 (i)	209		54
Class CS, 5.466% 1/15/49 (i)	90		11
Class ES, 5.7393% 1/15/49 (c)(i)	566		31
LB-UBS Commercial Mortgage Trust:
sequential payer:
Series 2006-C1 Class A2, 5.084% 2/15/31	148		149
Series 2006-C6 Class A2, 5.262% 9/15/39 (i)	60		60
Series 2006-C7 Class A2, 5.3% 11/15/38	639		643
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
LB-UBS Commercial Mortgage Trust: - continued
Series 2005-C3 Class XCP, 0.9022% 7/15/40 (i)(e)	$ 3,121		$ 1
Series 2006-C6 Class XCP, 0.8617% 9/15/39 (i)(e)	5,850		52
Series 2007-C1 Class XCP, 0.6211% 2/15/40 (i)(e)	2,187		16
Series 2007-C7:
Class A3, 5.866% 9/15/45	1,162		1,310
Class XCP, 0.4289% 9/15/45 (i)(e)	88,099		648
Lehman Brothers Floating Rate Commercial Mortgage Trust floater Series 2006-LLFA:
Class D, 0.4688% 9/15/21 (c)(i)	351		320
Class E, 0.5288% 9/15/21 (c)(i)	1,265		1,116
Class F, 0.5788% 9/15/21 (c)(i)	723		616
Class G, 0.5988% 9/15/21 (c)(i)	3,017		2,479
Class H, 0.6388% 9/15/21 (c)(i)	369		288
Lehman Large Loan Trust Series 1997-LLI Class E, 7.3% 10/12/34	1,943		1,945
Merrill Lynch Mortgage Trust:
sequential payer Series 2005-CIP1 Class A2, 4.96% 7/12/38	1,479		1,493
Series 2005-CKI1 Class A3, 5.3909% 11/12/37 (i)	620		622
Series 2005-LC1 Class F, 5.5591% 1/12/44 (c)(i)	953		532
Series 2006-C1 Class A2, 5.803% 5/12/39 (i)	1,011		1,034
Series 2007-C1 Class A4, 6.0324% 6/12/50 (i)	4,145		4,581
Series 2008-C1 Class A4, 5.69% 2/12/51	2,338		2,650
Merrill Lynch-CFC Commercial Mortgage Trust:
floater Series 2006-4 Class A2FL, 0.3603% 12/12/49 (i)	111		111
sequential payer:
Series 2006-4 Class ASB, 5.133% 12/12/49 (i)	849		889
Series 2007-5:
Class A3, 5.364% 8/12/48	427		438
Class A4, 5.378% 8/12/48	55		59
Class B, 5.479% 8/12/48	3,285		748
Series 2007-6 Class A4, 5.485% 3/12/51 (i)	2,594		2,788
Series 2007-7 Class A4, 5.81% 6/12/50 (i)	3,832		4,120
Series 2006-4 Class XP, 0.8105% 12/12/49 (i)(e)	19,313		289
Series 2007-6 Class B, 5.635% 3/12/51 (i)	1,095		309
Series 2007-7 Class B, 5.936% 6/12/50 (i)	1,409		88
Series 2007-8 Class A3, 6.1649% 8/12/49 (i)	944		1,037
Morgan Stanley Capital I Trust:
floater:
Series 2006-XLF Class C, 1.439% 7/15/19 (c)(i)	227		131
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Morgan Stanley Capital I Trust: - continued
floater:
Series 2007-XLFA:
Class C, 0.399% 10/15/20 (c)(i)	$ 629		$ 566
Class D, 0.429% 10/15/20 (c)(i)	422		367
Class E, 0.489% 10/15/20 (c)(i)	528		438
Class F, 0.539% 10/15/20 (c)(i)	397		302
Class G, 0.579% 10/15/20 (c)(i)	491		354
Class H, 0.669% 10/15/20 (c)(i)	309		207
Class J, 0.819% 10/15/20 (c)(i)	181		76
sequential payer Series 2005-IQ9 Class A3, 4.54% 7/15/56	1,084		1,096
Series 2006-HQ10 Class X2, 0.691% 11/12/41 (c)(i)(e)	5,033		13
Series 2006-T23 Class A3, 5.9838% 8/12/41 (i)	559		572
Series 2007-HQ12 Class A4, 5.7818% 4/12/49 (i)	5,793		6,062
Series 2007-IQ14:
Class A4, 5.692% 4/15/49 (i)	1,642		1,784
Class B, 5.9075% 4/15/49 (i)	269		74
Structured Asset Securities Corp. Series 1997-LLI Class D, 7.15% 10/12/34	40		40
Wachovia Bank Commercial Mortgage Trust:
floater:
Series 2006-WL7A:
Class E, 0.5198% 9/15/21 (c)(i)	1,099		872
Class F, 0.5798% 9/15/21 (c)(i)	1,189		907
Class G, 0.5998% 9/15/21 (c)(i)	1,126		823
Class J, 0.8398% 9/15/21 (c)(i)	314		145
Series 2007-WHL8:
Class F, 0.7188% 6/15/20 (c)(i)	2,710		1,978
Class LXR1, 0.9388% 6/15/20 (c)(i)	169		135
sequential payer:
Series 2006-C29 Class A3, 5.313% 11/15/48	2,908		2,982
Series 2007-C30:
Class A3, 5.246% 12/15/43	350		350
Class A4, 5.305% 12/15/43	322		342
Class A5, 5.342% 12/15/43	1,172		1,243
Series 2007-C31:
Class A4, 5.509% 4/15/47	2,475		2,663
Class A5, 5.5% 4/15/47	3,710		3,980
Series 2007-C32:
Class A2, 5.9223% 6/15/49 (i)	1,098		1,107
Class A3, 5.9273% 6/15/49 (i)	21,861		23,204
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Wachovia Bank Commercial Mortgage Trust: - continued
Series 2003-C6 Class G, 5.125% 8/15/35 (c)(i)	$ 652		$ 648
Series 2005-C19 Class B, 4.892% 5/15/44	1,095		994
Series 2005-C22:
Class B, 5.5332% 12/15/44 (i)	2,428		1,657
Class F, 5.5332% 12/15/44 (c)(i)	1,826		458
Series 2007-C30:
Class C, 5.483% 12/15/43 (i)	3,285		1,006
Class D, 5.513% 12/15/43 (i)	1,752		403
Class XP, 0.6679% 12/15/43 (c)(i)(e)	11,874		103
Series 2007-C31 Class C, 5.8735% 4/15/47 (i)	4,515		957
Series 2007-C31A Class A2, 5.421% 4/15/47	2,510		2,590
Series 2007-C32:
Class D, 5.9273% 6/15/49 (i)	823		215
Class E, 5.9273% 6/15/49 (i)	1,297		304
Wachovia Bank Commercial Mortgage Trust pass-thru certificates sequential payer Series 2007-C33 Class A4, 6.0975% 2/15/51 (i)	13,576		15,091
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $193,990)		227,590
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)	1,835		1,895
California Gen. Oblig.:
7.5% 4/1/34	6,270		7,892
7.6% 11/1/40	3,285		4,290
7.625% 3/1/40	1,835		2,382
Illinois Gen. Oblig. Series 2011, 5.877% 3/1/19	930		1,039
TOTAL MUNICIPAL SECURITIES (Cost $16,404)		17,498
Foreign Government and Government Agency Obligations - 0.1%
Russian Federation:
4.5% 4/4/22 (c)	2,200		2,233
5.625% 4/4/42 (c)	3,000		3,053
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $5,111)		5,286

Fixed-Income Funds - 18.0%
	Shares		Value (000s)
Fidelity Mortgage Backed Securities Central Fund (j)	7,034,928		$ 768,214
Fidelity Specialized High Income Central Fund (j)	1,316,406		134,260
TOTAL FIXED-INCOME FUNDS (Cost $838,256)		902,474
Money Market Funds - 4.7%
Fidelity Cash Central Fund, 0.17% (a) (Cost $234,470)	234,470,086		234,470
TOTAL INVESTMENT PORTFOLIO - 105.9% (Cost $5,045,339)			5,317,209
NET OTHER ASSETS (LIABILITIES) - (5.9)%			(297,630)
NET ASSETS - 100%		$ 5,019,579
TBA Sale Commitments
	Principal Amount (000s)
Fannie Mae
3.5% 6/1/42	$ (2,000)		(2,101)
3.5% 6/1/42	(12,000)		(12,604)
3.5% 6/1/42	(12,000)		(12,604)
3.5% 6/1/42	(1,000)		(1,050)
3.5% 6/1/42	(2,000)		(2,101)
3.5% 6/1/42	(1,000)		(1,050)
3.5% 6/1/42	(5,000)		(5,252)
3.5% 6/1/42	(7,000)		(7,352)
3.5% 6/1/42	(3,000)		(3,151)
4% 6/1/42	(31,000)		(33,025)
4.5% 6/13/42	(89,100)		(95,600)
4.5% 6/13/42	(7,000)		(7,511)
5.5% 6/1/42	(4,300)		(4,689)
TOTAL FANNIE MAE			(188,090)
Freddie Mac
4.5% 6/1/42	(2,000)		(2,136)
TOTAL TBA SALE COMMITMENTS (Proceeds $189,536)		$ (190,226)

Swap Agreements
	Expiration Date	Notional Amount (000s)	Value (000s)
Credit Default Swaps
Receive from Credit Suisse First Boston upon credit event of Deutsche Bank AG, par value of the notional amount of Deutsche Bank AG, 2.066% 4/11/18, and pay quarterly notional amount multiplied by 1% (Upfront Premium Received/(Paid) $(493,000))	Dec. 2018	$ 6,500	$ 425
Receive from Credit Suisse First Boston upon credit event of National Australia Bank Ltd., par value of the notional amount of National Australia Bank Ltd., 4.625% 2/10/20, and pay quarterly notional amount multiplied by 1% (Upfront Premium Received/(Paid) $(825,000))	Dec. 2018	6,500	765
Receive from Credit Suisse First Boston upon credit event of National Australia Bank Ltd., par value of the notional amount of National Australia Bank Ltd., 4.625% 2/10/20, and pay quarterly notional amount multiplied by 1% (Upfront Premium Received/(Paid) $(649,000))	Dec. 2018	6,500	765
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% (Upfront Premium Received/(Paid) $(177,000))	March 2018	5,500	502
Receive from JPMorgan Chase, Inc. upon credit event of Deutsche Bank AG, par value of the notional amount of Deutsche Bank AG, 5.125% 8/31/17, and pay quarterly notional amount multiplied by 1% (Upfront Premium Received/(Paid) $(347,000))	March 2019	4,085	281
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)(h)	Sept. 2037	4,075	(3,864)
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) $5,250,000)(h)	Sept. 2037	$ 11,074	$ (10,500)
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)(h)	Sept. 2037	2,481	(2,352)
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)(h)	Sept. 2037	8,284	(7,854)
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)(h)	Sept. 2037	4,518	(4,284)
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)(h)	Sept. 2037	7,398	(7,014)
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-C)(g)	Oct. 2034	505	(203)
Swap Agreements - continued
	Expiration Date	Notional Amount (000s)	Value (000s)
Credit Default Swaps - continued
Receive monthly notional amount multiplied by 1.545% 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	$ 518	$ (384)
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	186	(143)
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	(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-C)(g)	Oct. 2034	667	(523)
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	502	(436)
		$ 69,297	$ (34,822)

Legend

(a) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.

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

(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 $225,355,000 or 4.5% of net assets.

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

(e) 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 as of the end of the period.

(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 $42,101,000.

(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 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.

* Amount represents less than $1,000.

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 (Amounts in thousands)
Fidelity Cash Central Fund	$ 169
Fidelity Mortgage Backed Securities Central Fund	16,805
Fidelity Specialized High Income Central Fund	6,327
Total	$ 23,301

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	$ 743,850	$ 16,805	$ -	$ 768,214	5.1%
Fidelity Specialized High Income Central Fund	123,706	6,327	-	134,260	30.1%
Total	$ 867,556	$ 23,132	$ -	$ 902,474

Other Information

The following is a summary of the inputs used, as of May 31, 2012, 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	$ 1,048,876	$ -	$ 1,048,876	$ -
U.S. Government and Government Agency Obligations	1,768,499	-	1,768,499	-
U.S. Government Agency - Mortgage Securities	1,078,854	-	1,078,854	-
Asset-Backed Securities	17,656	-	9,292	8,364
Collateralized Mortgage Obligations	16,006	-	14,230	1,776
Commercial Mortgage Securities	227,590	-	201,781	25,809
Municipal Securities	17,498	-	17,498	-
Foreign Government and Government Agency Obligations	5,286	-	5,286	-
Fixed-Income Funds	902,474	902,474	-	-
Money Market Funds	234,470	234,470	-	-
Total Investments in Securities:	$ 5,317,209	$ 1,136,944	$ 4,144,316	$ 35,949
Derivative Instruments:
Assets
Swap Agreements	$ 2,738	$ -	$ 2,738	$ -
Liabilities
Swap Agreements	$ (37,560)	$ -	$ (35,868)	$ (1,692)
Total Derivative Instruments:	$ (34,822)	$ -	$ (33,130)	$ (1,692)
Other Financial Instruments:
TBA Sale Commitments	$ (190,226)	$ -	$ (190,226)	$ -

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	$ 48,306
Total Realized Gain (Loss)	(3,746)
Total Unrealized Gain (Loss)	(434)
Cost of Purchases	13
Proceeds of Sales	(12,843)
Amortization/Accretion	321
Transfers in to Level 3	20,315
Transfers out of Level 3	(15,983)
Ending Balance	$ 35,949
The change in unrealized gain (loss) for the period attributable to Level 3 securities held at May 31, 2012	$ (3,294)
Derivative Instruments:
Swap Agreements
Beginning Balance	$ (1,315)
Total Unrealized Gain (Loss)	(377)
Transfers in to Level 3	-
Transfers out of Level 3	-
Ending Balance	$ (1,692)
Realized gain (loss) on Swap Agreements for the period	$ 52
The change in unrealized gain (loss) for the period attributable to Level 3 Swap Agreements held at May 31, 2012	$ (377)

The information used in the above reconciliations 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, 2012, the cost of investment securities for income tax purposes was $5,104,434,000. Net unrealized appreciation aggregated $212,775,000, of which $243,276,000 related to appreciated investment securities and $30,501,000 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 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. 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 close out a credit default swap 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. On certain over-the-counter (OTC) derivatives such as credit default swaps, 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 on OTC derivatives, the Fund receives collateral in the form of cash or securities once the Fund's net unrealized appreciation on outstanding derivatives contracts under an ISDA Master Agreement exceed certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the counterparty and the Fund's custodian bank. 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 related to OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to the Fund. The Fund may be required to pledge collateral for the benefit of the counterparties on OTC derivatives in an amount not less than the counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified.

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 $40,212,000 representing 0.80% 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 Advisor® Investment Grade Bond Fund
Class A
Class T
Class B
Class C
Institutional Class

May 31, 2012

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

1.804863.108

AIGB-QTLY-0712

Investments May 31, 2012 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 20.9%
	Principal Amount (000s)		Value (000s)
CONSUMER DISCRETIONARY - 1.9%
Media - 1.9%
Comcast Corp.:
5.15% 3/1/20	$ 5,596		$ 6,539
5.7% 5/15/18	6,385		7,502
6.5% 1/15/17	4,125		4,906
Discovery Communications LLC 6.35% 6/1/40	3,458		4,219
NBCUniversal Media LLC:
5.15% 4/30/20	5,465		6,340
6.4% 4/30/40	5,000		6,154
News America Holdings, Inc. 7.75% 12/1/45	3,733		4,578
News America, Inc. 6.15% 2/15/41	2,347		2,698
Time Warner Cable, Inc.:
4% 9/1/21	17,000		17,734
5.85% 5/1/17	16,878		19,632
6.75% 7/1/18	5,587		6,772
Time Warner, Inc. 6.2% 3/15/40	5,000		5,839
			92,913
CONSUMER STAPLES - 1.3%
Beverages - 0.4%
Beam, Inc.:
1.875% 5/15/17	1,038		1,040
3.25% 5/15/22	1,231		1,237
FBG Finance Ltd. 5.125% 6/15/15 (c)	5,189		5,711
Fortune Brands, Inc.:
5.375% 1/15/16	470		525
5.875% 1/15/36	3,830		4,264
6.375% 6/15/14	2,462		2,711
SABMiller Holdings, Inc. 3.75% 1/15/22 (c)	3,930		4,168
			19,656
Food Products - 0.2%
Kraft Foods, Inc.:
6.125% 2/1/18	3,631		4,329
6.5% 8/11/17	4,718		5,716
6.5% 2/9/40	992		1,267
			11,312
Tobacco - 0.7%
Altria Group, Inc.:
9.25% 8/6/19	5,257		7,227
9.7% 11/10/18	5,570		7,662
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
CONSUMER STAPLES - continued
Tobacco - continued
Reynolds American, Inc.:
6.75% 6/15/17	$ 7,156		$ 8,621
7.25% 6/15/37	9,654		12,172
			35,682
TOTAL CONSUMER STAPLES			66,650
ENERGY - 2.5%
Energy Equipment & Services - 0.6%
DCP Midstream LLC:
4.75% 9/30/21 (c)	4,849		5,259
5.35% 3/15/20 (c)	4,973		5,569
El Paso Pipeline Partners Operating Co. LLC:
4.1% 11/15/15	6,122		6,372
5% 10/1/21	3,162		3,388
Transocean, Inc.:
5.05% 12/15/16	3,231		3,529
6.375% 12/15/21	4,266		4,902
			29,019
Oil, Gas & Consumable Fuels - 1.9%
Anadarko Petroleum Corp. 6.375% 9/15/17	13,602		15,912
Apache Corp. 3.25% 4/15/22	3,139		3,273
Enbridge Energy Partners LP 4.2% 9/15/21	5,694		6,082
Marathon Petroleum Corp. 5.125% 3/1/21	3,437		3,819
Nakilat, Inc. 6.067% 12/31/33 (c)	2,634		2,858
Nexen, Inc. 6.4% 5/15/37	2,868		3,159
Petro-Canada 6.05% 5/15/18	1,963		2,322
Petrobras International Finance Co. Ltd.:
3.875% 1/27/16	5,695		5,893
5.375% 1/27/21	6,755		7,209
5.75% 1/20/20	4,534		4,939
Petroleos Mexicanos:
4.875% 1/24/22 (c)	4,590		4,797
6.5% 6/2/41 (c)	6,279		7,001
Phillips 66:
4.3% 4/1/22 (c)	4,638		4,834
5.875% 5/1/42 (c)	3,971		4,250
Plains All American Pipeline LP/PAA Finance Corp. 3.65% 6/1/22	777		787
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
ENERGY - continued
Oil, Gas & Consumable Fuels - continued
Ras Laffan Liquefied Natural Gas Co. Ltd. III:
5.5% 9/30/14 (c)	$ 3,906		$ 4,209
6.75% 9/30/19 (c)	2,556		3,016
Spectra Energy Partners, LP:
2.95% 6/15/16	2,003		2,036
4.6% 6/15/21	1,124		1,210
Western Gas Partners LP 5.375% 6/1/21	6,237		6,884
Williams Partners LP 4.125% 11/15/20	1,029		1,086
			95,576
TOTAL ENERGY			124,595
FINANCIALS - 10.3%
Capital Markets - 1.5%
BlackRock, Inc. 3.375% 6/1/22	4,520		4,579
Goldman Sachs Group, Inc.:
5.25% 7/27/21	5,652		5,595
5.75% 1/24/22	10,052		10,320
5.95% 1/18/18	4,817		5,033
6.75% 10/1/37	9,413		9,280
JPMorgan Chase Capital XVII 5.85% 8/1/35	1,820		1,860
JPMorgan Chase Capital XX 6.55% 9/29/36	7,448		7,410
Lazard Group LLC:
6.85% 6/15/17	2,464		2,709
7.125% 5/15/15	7,737		8,425
Morgan Stanley:
4.75% 4/1/14	1,376		1,358
5.5% 7/28/21	4,856		4,550
5.75% 1/25/21	1,847		1,742
6.625% 4/1/18	7,981		8,104
7.3% 5/13/19	4,777		4,955
			75,920
Commercial Banks - 1.7%
Bank of America NA 5.3% 3/15/17	3,698		3,766
Credit Suisse New York Branch 6% 2/15/18	8,405		8,940
Discover Bank:
7% 4/15/20	3,008		3,518
8.7% 11/18/19	5,944		7,588
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Commercial Banks - continued
Fifth Third Bancorp:
4.5% 6/1/18	$ 2,054		$ 2,180
8.25% 3/1/38	2,385		3,377
Fifth Third Bank 4.75% 2/1/15	949		1,010
Fifth Third Capital Trust IV 6.5% 4/15/67 (i)	3,533		3,462
HBOS PLC 6.75% 5/21/18 (c)	3,056		2,801
HSBC Holdings PLC 4% 3/30/22	4,489		4,573
Huntington Bancshares, Inc. 7% 12/15/20	1,597		1,887
JPMorgan Chase Bank 6% 10/1/17	5,986		6,657
KeyBank NA 6.95% 2/1/28	1,344		1,539
Marshall & Ilsley Bank 5% 1/17/17	6,464		7,008
Regions Bank:
6.45% 6/26/37	8,725		8,572
7.5% 5/15/18	7,372		8,257
Regions Financial Corp.:
5.75% 6/15/15	1,094		1,149
7.75% 11/10/14	4,705		5,117
Wachovia Corp. 4.875% 2/15/14	4,283		4,493
			85,894
Consumer Finance - 0.1%
Discover Financial Services 5.2% 4/27/22	4,096		4,350
SLM Corp. 5% 10/1/13	391		399
			4,749
Diversified Financial Services - 1.6%
Bank of America Corp.:
3.875% 3/22/17	3,343		3,333
5.65% 5/1/18	3,745		3,903
5.75% 12/1/17	9,833		10,235
6.5% 8/1/16	5,430		5,882
Capital One Capital V 10.25% 8/15/39	4,709		4,874
Citigroup, Inc.:
3.953% 6/15/16	4,945		5,026
4.5% 1/14/22	3,182		3,267
5.875% 1/30/42	3,861		4,120
6.125% 5/15/18	10,778		11,734
6.5% 8/19/13	1,317		1,383
JPMorgan Chase & Co.:
4.35% 8/15/21	5,680		5,934
4.5% 1/24/22	4,927		5,260
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Diversified Financial Services - continued
JPMorgan Chase & Co.: - continued
4.95% 3/25/20	$ 8,888		$ 9,685
TECO Finance, Inc.:
4% 3/15/16	1,439		1,545
5.15% 3/15/20	2,067		2,378
ZFS Finance USA Trust IV 5.875% 5/9/62 (c)(i)	1,161		1,159
			79,718
Insurance - 1.7%
American International Group, Inc. 4.875% 9/15/16	3,411		3,598
Aon Corp.:
3.125% 5/27/16	4,835		5,027
5% 9/30/20	2,135		2,424
Axis Capital Holdings Ltd. 5.75% 12/1/14	6,279		6,695
Great-West Life & Annuity Insurance Co. 7.153% 5/16/46 (c)(i)	10,398		10,346
Hartford Financial Services Group, Inc.:
5.125% 4/15/22	4,757		4,851
6.625% 4/15/42	3,431		3,576
Liberty Mutual Group, Inc.:
5% 6/1/21 (c)	5,273		5,439
6.7% 8/15/16 (c)	7,459		8,295
Marsh & McLennan Companies, Inc. 4.8% 7/15/21	2,941		3,249
Massachusetts Mutual Life Insurance Co. 5.375% 12/1/41 (c)	2,736		3,054
MetLife, Inc. 6.75% 6/1/16	4,485		5,279
Pacific Life Insurance Co. 9.25% 6/15/39 (c)	4,357		5,671
Prudential Financial, Inc.:
4.5% 11/16/21	2,796		2,955
5.8% 11/16/41	3,662		3,907
6.2% 11/15/40	1,810		2,014
Symetra Financial Corp. 6.125% 4/1/16 (c)	4,900		5,022
Unum Group 5.625% 9/15/20	4,155		4,544
			85,946
Real Estate Investment Trusts - 1.1%
Alexandria Real Estate Equities, Inc. 4.6% 4/1/22	1,475		1,519
Boston Properties, Inc. 3.85% 2/1/23 (d)	3,385		3,378
Camden Property Trust 5.375% 12/15/13	1,818		1,915
Developers Diversified Realty Corp.:
4.75% 4/15/18	4,483		4,623
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Real Estate Investment Trusts - continued
Developers Diversified Realty Corp.: - continued
5.375% 10/15/12	$ 4,283		$ 4,310
7.5% 4/1/17	2,623		3,013
9.625% 3/15/16	3,987		4,856
Duke Realty LP 4.625% 5/15/13	317		325
Equity One, Inc.:
5.375% 10/15/15	585		623
6% 9/15/17	3,250		3,548
6.25% 12/15/14	2,985		3,211
6.25% 1/15/17	2,136		2,318
Federal Realty Investment Trust:
5.4% 12/1/13	2,627		2,759
5.9% 4/1/20	1,389		1,584
6% 7/15/12	1,579		1,586
6.2% 1/15/17	1,215		1,372
HRPT Properties Trust:
5.75% 11/1/15	2,002		2,089
6.65% 1/15/18	2,600		2,822
UDR, Inc. 5.5% 4/1/14	6,383		6,749
United Dominion Realty Trust, Inc. 5.25% 1/15/15	1,736		1,856
			54,456
Real Estate Management & Development - 2.6%
AMB Property LP:
5.9% 8/15/13	4,537		4,714
6.3% 6/1/13	4,607		4,774
BioMed Realty LP:
3.85% 4/15/16	5,000		5,129
6.125% 4/15/20	1,872		2,138
Brandywine Operating Partnership LP 5.7% 5/1/17	2,243		2,395
Colonial Properties Trust:
5.5% 10/1/15	5,995		6,329
6.875% 8/15/12	3,309		3,335
Colonial Realty LP 6.05% 9/1/16	4,436		4,812
Digital Realty Trust LP 4.5% 7/15/15	2,667		2,801
Duke Realty LP:
5.4% 8/15/14	5,135		5,452
5.5% 3/1/16	5,038		5,456
5.95% 2/15/17	1,536		1,716
6.25% 5/15/13	3,807		3,940
6.5% 1/15/18	5,065		5,802
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Real Estate Management & Development - continued
ERP Operating LP:
4.625% 12/15/21	$ 9,810		$ 10,703
5.2% 4/1/13	6,349		6,551
5.5% 10/1/12	6,078		6,172
5.75% 6/15/17	1,259		1,457
Liberty Property LP:
5.5% 12/15/16	3,158		3,484
6.375% 8/15/12	2,174		2,192
6.625% 10/1/17	3,709		4,304
Mack-Cali Realty LP 4.5% 4/18/22	1,473		1,530
Post Apartment Homes LP 6.3% 6/1/13	5,470		5,691
Prime Property Funding, Inc.:
5.125% 6/1/15 (c)	6,741		6,886
5.5% 1/15/14 (c)	4,505		4,599
Reckson Operating Partnership LP 6% 3/31/16	1,224		1,303
Tanger Properties LP:
6.125% 6/1/20	4,725		5,451
6.15% 11/15/15	9,117		10,136
			129,252
TOTAL FINANCIALS			515,935
HEALTH CARE - 0.5%
Biotechnology - 0.1%
Amgen, Inc. 5.15% 11/15/41	5,656		5,851
Health Care Providers & Services - 0.4%
Aristotle Holding, Inc.:
3.5% 11/15/16 (c)	7,074		7,473
4.75% 11/15/21 (c)	5,135		5,665
Express Scripts, Inc.:
3.125% 5/15/16	4,472		4,660
6.25% 6/15/14	1,557		1,704
			19,502
TOTAL HEALTH CARE			25,353
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
INDUSTRIALS - 0.5%
Aerospace & Defense - 0.2%
United Technologies Corp.:
3.1% 6/1/22	$ 5,019		$ 5,216
4.5% 6/1/42	5,019		5,394
			10,610
Airlines - 0.2%
Continental Airlines, Inc.:
6.545% 8/2/20	1,109		1,190
6.795% 2/2/20	308		305
U.S. Airways pass-thru trust certificates:
6.85% 1/30/18	2,045		2,127
8.36% 1/20/19	7,501		7,876
			11,498
Transportation Infrastructure - 0.1%
BNSF Funding Trust I 6.613% 12/15/55 (i)	2,984		3,118
TOTAL INDUSTRIALS			25,226
INFORMATION TECHNOLOGY - 0.2%
Electronic Equipment & Components - 0.2%
Tyco Electronics Group SA:
5.95% 1/15/14	4,695		5,034
6.55% 10/1/17	2,421		2,906
			7,940
Office Electronics - 0.0%
Xerox Corp. 4.5% 5/15/21	1,765		1,821
TOTAL INFORMATION TECHNOLOGY			9,761
MATERIALS - 0.7%
Chemicals - 0.5%
Dow Chemical Co.:
4.125% 11/15/21	4,654		4,889
4.25% 11/15/20	2,512		2,673
5.25% 11/15/41	2,962		3,195
7.6% 5/15/14	13,026		14,557
			25,314
Metals & Mining - 0.2%
ArcelorMittal SA 3.75% 3/1/16	549		546
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
MATERIALS - continued
Metals & Mining - continued
Corporacion Nacional del Cobre de Chile (Codelco) 3.875% 11/3/21 (c)	$ 5,087		$ 5,310
Vale Overseas Ltd. 4.375% 1/11/22	4,000		4,001
			9,857
TOTAL MATERIALS			35,171
TELECOMMUNICATION SERVICES - 0.8%
Diversified Telecommunication Services - 0.5%
AT&T, Inc. 6.8% 5/15/36	5,000		6,476
BellSouth Capital Funding Corp. 7.875% 2/15/30	4,203		5,437
CenturyLink, Inc.:
6.15% 9/15/19	2,073		2,176
6.45% 6/15/21	2,955		3,063
Embarq Corp. 7.995% 6/1/36	2,427		2,492
Telefonica Emisiones SAU 5.855% 2/4/13	1,287		1,293
Verizon Communications, Inc. 6.1% 4/15/18	6,019		7,317
			28,254
Wireless Telecommunication Services - 0.3%
America Movil SAB de CV 2.375% 9/8/16	6,904		6,969
DIRECTV Holdings LLC/DIRECTV Financing, Inc. 5.875% 10/1/19	6,291		7,262
			14,231
TOTAL TELECOMMUNICATION SERVICES			42,485
UTILITIES - 2.2%
Electric Utilities - 1.1%
Cleveland Electric Illuminating Co. 5.65% 12/15/13	5,410		5,746
Duke Capital LLC 5.668% 8/15/14	6,310		6,833
Duquesne Light Holdings, Inc.:
5.9% 12/1/21 (c)	3,318		3,709
6.4% 9/15/20 (c)	9,167		10,416
Edison International 3.75% 9/15/17	3,716		3,933
FirstEnergy Corp. 7.375% 11/15/31	6,758		8,623
FirstEnergy Solutions Corp. 6.05% 8/15/21	3,255		3,639
LG&E and KU Energy LLC 2.125% 11/15/15	4,231		4,235
Pennsylvania Electric Co. 6.05% 9/1/17	4,923		5,668
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
UTILITIES - continued
Electric Utilities - continued
Pepco Holdings, Inc. 2.7% 10/1/15	$ 3,942		$ 4,056
Tampa Electric Co. 4.1% 6/15/42	867		865
			57,723
Gas Utilities - 0.1%
Southern Natural Gas Co. 5.9% 4/1/17 (c)	2,894		3,337
Southern Natural Gas Co. / Southern Natural Issuing Corp. 4.4% 6/15/21	1,522		1,634
			4,971
Independent Power Producers & Energy Traders - 0.2%
PPL Energy Supply LLC:
6.2% 5/15/16	2,534		2,878
6.5% 5/1/18	5,351		6,197
PSEG Power LLC 2.75% 9/15/16	1,192		1,233
			10,308
Multi-Utilities - 0.8%
Dominion Resources, Inc.:
2.7697% 9/30/66 (i)	5,579		4,962
7.5% 6/30/66 (i)	3,654		3,873
NiSource Finance Corp.:
4.45% 12/1/21	2,107		2,226
5.4% 7/15/14	1,393		1,510
5.45% 9/15/20	1,461		1,662
5.8% 2/1/42	2,709		3,086
5.95% 6/15/41	4,935		5,729
6.4% 3/15/18	4,529		5,337
Sempra Energy 2.3% 4/1/17	5,159		5,299
Wisconsin Energy Corp. 6.25% 5/15/67 (i)	4,001		4,101
			37,785
TOTAL UTILITIES			110,787
TOTAL NONCONVERTIBLE BONDS (Cost $971,489)		1,048,876
U.S. Government and Government Agency Obligations - 35.2%
U.S. Government Agency Obligations - 0.4%
Tennessee Valley Authority 5.25% 9/15/39	15,563		20,498
U.S. Government and Government Agency Obligations - continued
	Principal Amount (000s)		Value (000s)
U.S. Treasury Inflation Protected Obligations - 1.1%
U.S. Treasury Inflation-Indexed Bonds:
0.75% 2/15/42	$ 25,103		$ 26,970
2.125% 2/15/40	8		12
2.125% 2/15/41	20,019		29,182
TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS			56,164
U.S. Treasury Obligations - 33.7%
U.S. Treasury Bonds:
3% 5/15/42	14,993		16,071
3.125% 2/15/42	156,078		171,344
4.375% 5/15/41	55,344		75,475
U.S. Treasury Notes:
0.25% 2/28/14	49,320		49,308
0.375% 6/30/13	49,248		49,331
0.625% 7/15/14 (f)	48,980		49,321
0.875% 4/30/17	243,658		246,342
1% 3/31/17	81,400		82,799
1.5% 12/31/13	352,900		359,752
1.75% 5/15/22	25,090		25,506
1.875% 10/31/17	61,182		64,762
2% 2/15/22	239,951		249,886
3.5% 5/31/13	103,340		106,715
3.625% 2/15/20	122,561		145,225
TOTAL U.S. TREASURY OBLIGATIONS			1,691,837
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $1,696,833)		1,768,499
U.S. Government Agency - Mortgage Securities - 21.5%
Fannie Mae - 12.8%
2.303% 6/1/36 (i)	138		148
2.633% 7/1/37 (i)	401		430
2.849% 2/1/35 (i)	2,570		2,753
3% 5/1/27	17,900		18,758
3% 6/1/27 (d)	10,200		10,681
3% 6/1/27 (d)	1,900		1,990
3.5% 1/1/41 to 5/1/42	23,515		24,785
3.5% 6/1/42 (d)	47,700		50,100
U.S. Government Agency - Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Fannie Mae - continued
3.5% 6/1/42 (d)	$ 99,900		$ 104,927
3.5% 6/1/42 (d)	31,000		32,560
3.5% 6/1/42 (d)	1,000		1,050
3.5% 6/1/42 (d)	12,000		12,604
3.5% 6/1/42 (d)	2,000		2,101
3.5% 6/1/42 (d)	1,000		1,050
4% 9/1/26 to 4/1/42	96,927		103,861
4% 9/1/41	229		246
4% 10/1/41	1,797		1,931
4.5% 6/1/18 to 11/1/41	115,451		125,335
4.5% 6/13/42 (d)	7,000		7,511
4.5% 6/13/42 (d)	7,000		7,511
4.5% 6/13/42 (d)	6,600		7,081
5% 4/1/18 to 6/1/40	14,947		16,222
5% 6/1/42 (d)	600		650
5.5% 7/1/28 to 12/1/38	47,604		52,202
6% 3/1/22 to 7/1/41	49,148		54,454
6.5% 2/1/36	165		187
TOTAL FANNIE MAE			641,128
Freddie Mac - 5.3%
3.342% 10/1/35 (i)	195		209
3.5% 4/1/32 to 5/1/42	12,774		13,484
4% 6/1/24 to 4/1/42	33,237		35,683
4% 9/1/41	933		1,000
4% 6/1/42 (d)	9,000		9,554
4.5% 7/1/25 to 10/1/41	86,156		93,318
5% 5/1/35 to 4/1/41	53,795		58,272
5.5% 12/1/27 to 1/1/40	44,222		48,007
6% 7/1/37 to 8/1/37	3,186		3,508
6.5% 9/1/39	4,275		4,787
TOTAL FREDDIE MAC			267,822
Ginnie Mae - 3.4%
3.5% 11/15/41 to 3/15/42	12,675		13,553
4% 1/15/25 to 11/15/41	37,198		40,412
4.5% 5/15/39 to 4/15/41	54,632		60,142
5% 3/15/39 to 9/15/41	36,467		40,541
U.S. Government Agency - Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Ginnie Mae - continued
5.5% 12/20/28 to 12/15/38	$ 8,362		$ 9,302
6% 9/20/38	5,313		5,954
TOTAL GINNIE MAE			169,904
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $1,056,441)		1,078,854
Asset-Backed Securities - 0.4%
Accredited Mortgage Loan Trust Series 2005-1 Class M1, 0.7088% 4/25/35 (i)	698		369
ACE Securities Corp. Home Equity Loan Trust:
Series 2004-HE1 Class M2, 1.8888% 3/25/34 (i)	200		163
Series 2005-HE2 Class M2, 0.6888% 4/25/35 (i)	63		61
Advanta Business Card Master Trust:
Series 2006-C1 Class C1, 0.6758% 10/20/14 (i)	376		4
Series 2007-D1 Class D, 1.5863% 1/22/13 (c)(i)	6,136		92
Airspeed Ltd. Series 2007-1A Class C1, 2.7388% 6/15/32 (c)(i)	5,953		3,066
Ameriquest Mortgage Securities, Inc. pass-thru certificates:
Series 2003-10 Class M1, 0.9388% 12/25/33 (i)	51		39
Series 2004-R2 Class M3, 0.7888% 4/25/34 (i)	85		25
Series 2005-R2 Class M1, 0.6888% 4/25/35 (i)	1,307		1,154
Argent Securities, Inc. pass-thru certificates:
Series 2003-W7 Class A2, 1.0188% 3/25/34 (i)	30		22
Series 2004-W7 Class M1, 0.7888% 5/25/34 (i)	808		578
Series 2006-W4 Class A2C, 0.3988% 5/25/36 (i)	833		198
Axon Financial Funding Ltd. Series 2007-1 Class A1, 1.0682% 4/4/17 (b)(c)(i)	5,160		0
Capital Trust Ltd. Series 2004-1:
Class A2, 0.6898% 7/20/39 (c)(i)	102		80
Class B, 0.9898% 7/20/39 (c)(i)	355		156
Class C, 1.3398% 7/20/39 (c)(i)	456		9
Carrington Mortgage Loan Trust Series 2007-RFC1 Class A3, 0.3788% 12/25/36 (i)	1,140		412
Countrywide Asset-Backed Certificates Trust Series 2007-4 Class A1A, 0.3588% 9/25/37 (i)	92		91
Countrywide Home Loan Trust Series 2006-13 Class N, 7% 8/25/37 (c)	1,666		0
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
Countrywide Home Loans, Inc.:
Series 2003-BC1 Class B1, 5.4888% 3/25/32 (MGIC Investment Corp. Insured) (i)	$ 61		$ 14
Series 2004-3 Class M4, 1.2088% 4/25/34 (i)	101		36
Series 2004-4 Class M2, 1.0338% 6/25/34 (i)	372		168
Series 2005-3 Class MV1, 0.6588% 8/25/35 (i)	9		9
Fannie Mae Series 2004-T5 Class AB3, 0.6889% 5/28/35 (i)	25		15
Fieldstone Mortgage Investment Corp. Series 2004-3 Class M5, 2.4138% 8/25/34 (i)	231		114
First Franklin Mortgage Loan Trust Series 2004-FF2 Class M3, 1.0638% 3/25/34 (i)	13		7
Fremont Home Loan Trust Series 2005-A Class M4, 1.2588% 1/25/35 (i)	231		35
GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 0.8469% 2/25/47 (c)(i)	2,174		761
GCO Slims Trust Series 2006-1A, 5.72% 3/1/22 (c)	832		799
GE Business Loan Trust:
Series 2003-1 Class A, 0.6688% 4/15/31 (c)(i)	133		125
Series 2006-2A:
Class A, 0.4188% 11/15/34 (c)(i)	965		837
Class B, 0.5188% 11/15/34 (c)(i)	349		241
Class C, 0.6188% 11/15/34 (c)(i)	578		329
Class D, 0.9888% 11/15/34 (c)(i)	276		85
GSAMP Trust Series 2004-AR1 Class B4, 3.621% 6/25/34 (c)(i)	259		80
Guggenheim Structured Real Estate Funding Ltd. Series 2006-3 Class C, 0.7888% 9/25/46 (c)(i)	1,131		1,071
Home Equity Asset Trust:
Series 2003-2 Class M1, 1.5588% 8/25/33 (i)	175		118
Series 2003-3 Class M1, 1.5288% 8/25/33 (i)	433		308
Series 2003-5 Class A2, 0.9388% 12/25/33 (i)	21		16
Series 2006-1 Class 2A3, 0.4638% 4/25/36 (i)	116		116
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.4288% 1/25/37 (i)	913		318
JPMorgan Mortgage Acquisition Trust Series 2007-CH1 Class AV4, 0.3688% 11/25/36 (i)	913		831
Keycorp Student Loan Trust:
Series 1999-A Class A2, 0.8032% 12/27/29 (i)	353		313
Series 2006-A Class 2C, 1.6232% 3/27/42 (i)	1,605		76
Marriott Vacation Club Owner Trust Series 2006-2A:
Class B, 5.442% 10/20/28 (c)	10		11
Class C, 5.691% 10/20/28 (c)	5		5
Class D, 6.01% 10/20/28 (c)	45		45
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
MASTR Asset Backed Securities Trust Series 2007-HE1 Class M1, 0.5388% 5/25/37 (i)	$ 496		$ 7
Meritage Mortgage Loan Trust Series 2004-1 Class M1, 0.9888% 7/25/34 (i)	75		45
Merrill Lynch Mortgage Investors Trust:
Series 2003-OPT1 Class M1, 1.2138% 7/25/34 (i)	260		192
Series 2006-FM1 Class A2B, 0.3488% 4/25/37 (i)	960		731
Series 2006-OPT1 Class A1A, 0.4988% 6/25/35 (i)	1,549		1,102
Morgan Stanley ABS Capital I Trust:
Series 2004-HE6 Class A2, 0.5788% 8/25/34 (i)	36		27
Series 2004-NC8 Class M6, 1.4888% 9/25/34 (i)	91		53
Series 2005-NC1 Class M1, 0.6788% 1/25/35 (i)	253		159
Series 2005-NC2 Class B1, 1.4088% 3/25/35 (i)	264		32
National Collegiate Student Loan Trust:
Series 2004-2 Class AIO, 9.75% 10/27/14 (e)	5,500		248
Series 2006-4 Class D, 1.3388% 5/25/32 (i)	1,227		1
Series 2007-2 Class AIO, 6.7% 7/25/12 (e)	14,063		124
New Century Home Equity Loan Trust Series 2005-4 Class M2, 0.7488% 9/25/35 (i)	903		386
Ocala Funding LLC:
Series 2005-1A Class A, 1.7398% 3/20/10 (b)(c)(i)	449		0
Series 2006-1A Class A, 1.6398% 3/20/11 (b)(c)(i)	933		0
Option One Mortgage Loan Trust:
Series 2007-5 Class 2A1, 0.3288% 5/25/37 (i)	3		3
Series 2007-6 Class 2A1, 0.2988% 7/25/37 (i)	37		36
Park Place Securities, Inc. Series 2004-WCW1:
Class M3, 1.4888% 9/25/34 (i)	337		143
Class M4, 1.6888% 9/25/34 (i)	433		91
Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 1.0388% 4/25/33 (i)	3		3
Sierra Receivables Funding Co. Series 2007-1A Class A2, 0.3898% 3/20/19 (FGIC Insured) (c)(i)	283		276
SLM Private Credit Student Loan Trust Series 2004-A Class C, 1.4237% 6/15/33 (i)	805		298
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, 1.9638% 9/25/34 (i)	50		16
SVO VOI Mortgage Corp. Series 2006-AA Class A, 5.28% 2/20/24 (c)	239		246
Terwin Mortgage Trust Series 2003-4HE Class A1, 1.0988% 9/25/34 (i)	18		13
Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 1.0292% 4/6/42 (c)(i)	1,733		22
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
WaMu Asset Holdings Corp. Series 2006-8 Class N1, 6.048% 10/25/46 (c)	$ 704		$ 0
Wells Fargo Home Equity Trust Series 2004-3 Class A, 4.5% 11/27/34 (c)	6		0
TOTAL ASSET-BACKED SECURITIES (Cost $21,238)		17,656
Collateralized Mortgage Obligations - 0.3%
Private Sponsor - 0.3%
Cobalt CMBS Commercial Mortgage Trust Series 2007-C2 Class B, 5.617% 4/15/47 (i)	1,223		491
COMM pass-thru certificates floater Series 2001-J2A Class A2F, 0.7388% 7/16/34 (c)(i)	9		9
Credit Suisse Mortgage Capital Certificates sequential payer Series 2010-16 Class A1, 3% 6/25/50 (c)	2,561		2,502
First Horizon Mortgage pass-thru Trust Series 2004-AR5 Class 2A1, 2.6312% 10/25/34 (i)	664		599
Granite Master Issuer PLC floater:
Series 2006-4:
Class B1, 0.4198% 12/20/54 (i)	2,694		2,263
Class M1, 0.5798% 12/20/54 (i)	710		529
Series 2007-1:
Class 1M1, 0.5398% 12/20/54 (i)	894		666
Class 2M1, 0.7398% 12/20/54 (i)	1,148		855
Granite Mortgages PLC floater Series 2003-3 Class 1C, 2.9157% 1/20/44 (i)	341		241
JPMorgan Chase Commercial Mortgage Securities Trust Series 2007-CB18 Class A3, 5.447% 6/12/47 (i)	1,787		1,857
JPMorgan Mortgage Trust sequential payer Series 2006-A5 Class 3A5, 5.7693% 8/25/36 (i)	1,139		858
MASTR Adjustable Rate Mortgages Trust Series 2007-3 Class 22A2, 0.4488% 5/25/47 (i)	505		313
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.4088% 2/25/37 (i)	852		573
Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 0.5288% 7/25/35 (i)	1,226		966
RESI Finance LP/RESI Finance DE Corp. floater Series 2003-B:
Class B5, 2.5888% 7/10/35 (c)(i)	649		528
Class B6, 3.0888% 7/10/35 (c)(i)	861		690
Residential Funding Securities Corp. floater Series 2003-RP2 Class A1, 0.6888% 6/25/33 (c)(i)	140		132
Collateralized Mortgage Obligations - continued
	Principal Amount (000s)		Value (000s)
Private Sponsor - continued
Salomon Brothers Mortgage Securities VII, Inc. Series 2006-C2 Class H, 6.308% 7/18/33 (c)	$ 194		$ 67
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 1.668% 7/20/34 (i)	22		16
Structured Asset Securities Corp. Series 2003-15A Class 4A, 5.3146% 4/25/33 (i)	216		197
TBW Mortgage-Backed pass-thru certificates floater Series 2006-4 Class A3, 0.4388% 9/25/36 (i)	2,073		1,654
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $11,107)		16,006
Commercial Mortgage Securities - 4.5%
Asset Securitization Corp. Series 1997-D5:
Class A3, 7.2034% 2/14/43 (i)	295		295
Class A6, 7.5234% 2/14/43 (i)	1,281		1,290
Class PS1, 1.4221% 2/14/43 (i)(e)	2,120		27
Banc of America Commercial Mortgage Trust:
sequential payer:
Series 2006-2 Class AAB, 5.9026% 5/10/45 (i)	983		1,038
Series 2006-6 Class A3, 5.369% 10/10/45	2,190		2,336
Series 2007-4 Class A3, 5.9835% 2/10/51 (i)	1,092		1,138
Series 2006-6 Class E, 5.619% 10/10/45 (c)	633		50
Series 2007-3:
Class A3, 5.8366% 6/10/49 (i)	1,828		1,873
Class A4, 5.8366% 6/10/49 (i)	2,283		2,544
Banc of America Commercial Mortgage, Inc.:
sequential payer:
Series 2004-2:
Class A3, 4.05% 11/10/38	134		135
Class A4, 4.153% 11/10/38	1,389		1,425
Series 2005-1 Class A3, 4.877% 11/10/42	412		412
Series 2001-3 Class H, 6.562% 4/11/37 (c)	612		611
Series 2001-PB1 Class K, 6.15% 5/11/35 (c)	194		194
Series 2005-3 Class A3B, 5.09% 7/10/43 (i)	3,402		3,555
Banc of America Large Loan, Inc. floater:
Series 2005-MIB1:
Class C, 0.5488% 3/15/22 (c)(i)	470		461
Class D, 0.5988% 3/15/22 (c)(i)	476		463
Class E, 0.6388% 3/15/22 (c)(i)	393		382
Class F, 0.7088% 3/15/22 (c)(i)	489		474
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Banc of America Large Loan, Inc. floater: - continued
Series 2005-MIB1:
Class G, 0.7688% 3/15/22 (c)(i)	$ 317		$ 298
Series 2006-BIX1:
Class D, 0.4488% 10/15/19 (c)(i)	477		467
Class E, 0.4788% 10/15/19 (c)(i)	797		761
Class F, 0.5488% 10/15/19 (c)(i)	1,885		1,790
Class G, 0.5688% 10/15/19 (c)(i)	1,257		1,182
Class H, 0.6088% 10/15/19 (c)(i)	1,388		1,235
Bayview Commercial Asset Trust floater:
Series 2003-2 Class M1, 1.0888% 12/25/33 (c)(i)	49		36
Series 2004-1:
Class A, 0.5988% 4/25/34 (c)(i)	649		536
Class B, 2.1388% 4/25/34 (c)(i)	73		42
Class M1, 0.7988% 4/25/34 (c)(i)	73		52
Class M2, 1.4388% 4/25/34 (c)(i)	67		47
Series 2005-2A:
Class A1, 0.5488% 8/25/35 (c)(i)	936		646
Class M1, 0.6688% 8/25/35 (c)(i)	62		32
Class M2, 0.7188% 8/25/35 (c)(i)	82		37
Class M3, 0.7388% 8/25/35 (c)(i)	56		22
Series 2005-3A:
Class A2, 0.6388% 11/25/35 (c)(i)	338		213
Class M1, 0.6788% 11/25/35 (c)(i)	91		51
Class M2, 0.7288% 11/25/35 (c)(i)	68		37
Class M3, 0.7488% 11/25/35 (c)(i)	61		32
Class M4, 0.8388% 11/25/35 (c)(i)	76		36
Series 2005-4A:
Class A2, 0.6288% 1/25/36 (c)(i)	819		569
Class B1, 1.6388% 1/25/36 (c)(i)	89		12
Class M1, 0.6888% 1/25/36 (c)(i)	264		116
Class M2, 0.7088% 1/25/36 (c)(i)	99		39
Class M3, 0.7388% 1/25/36 (c)(i)	145		51
Class M4, 0.8488% 1/25/36 (c)(i)	80		25
Class M5, 0.8888% 1/25/36 (c)(i)	80		22
Class M6, 0.9388% 1/25/36 (c)(i)	85		16
Series 2006-1:
Class A2, 0.5988% 4/25/36 (c)(i)	160		103
Class M1, 0.6188% 4/25/36 (c)(i)	97		57
Class M2, 0.6388% 4/25/36 (c)(i)	103		57
Class M3, 0.6588% 4/25/36 (c)(i)	88		45
Class M4, 0.7588% 4/25/36 (c)(i)	50		23
Class M5, 0.7988% 4/25/36 (c)(i)	49		20
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Bayview Commercial Asset Trust floater: - continued
Series 2006-1:
Class M6, 0.8788% 4/25/36 (c)(i)	$ 97		$ 38
Series 2006-2A:
Class A1, 0.4688% 7/25/36 (c)(i)	2,201		1,486
Class A2, 0.5188% 7/25/36 (c)(i)	142		95
Class B1, 1.1088% 7/25/36 (c)(i)	90		9
Class B3, 2.9388% 7/25/36 (c)(i)	66		2
Class M1, 0.5488% 7/25/36 (c)(i)	149		61
Class M2, 0.5688% 7/25/36 (c)(i)	105		38
Class M3, 0.5888% 7/25/36 (c)(i)	87		27
Class M4, 0.6588% 7/25/36 (c)(i)	100		26
Class M5, 0.7088% 7/25/36 (c)(i)	72		13
Class M6, 0.7788% 7/25/36 (c)(i)	108		14
Series 2006-3A:
Class B1, 1.0388% 10/25/36 (c)(i)	42		0*
Class M4, 0.6688% 10/25/36 (c)(i)	117		10
Class M5, 0.7188% 10/25/36 (c)(i)	140		8
Class M6, 0.7988% 10/25/36 (c)(i)	274		9
Series 2006-4A:
Class A1, 0.4688% 12/25/36 (c)(i)	460		297
Class A2, 0.5088% 12/25/36 (c)(i)	2,335		1,030
Class B1, 0.9388% 12/25/36 (c)(i)	145		6
Class B2, 1.4888% 12/25/36 (c)(i)	58		2
Class M1, 0.5288% 12/25/36 (c)(i)	187		52
Class M2, 0.5488% 12/25/36 (c)(i)	125		25
Class M3, 0.5788% 12/25/36 (c)(i)	127		17
Class M4, 0.6388% 12/25/36 (c)(i)	152		18
Class M5, 0.6788% 12/25/36 (c)(i)	139		13
Class M6, 0.7588% 12/25/36 (c)(i)	125		8
Series 2007-1 Class A2, 0.5088% 3/25/37 (c)(i)	493		247
Series 2007-2A:
Class A1, 0.5088% 7/25/37 (c)(i)	1,311		705
Class A2, 0.5588% 7/25/37 (c)(i)	1,227		410
Class B1, 1.8388% 7/25/37 (c)(i)	353		11
Class M1, 0.6088% 7/25/37 (c)(i)	419		58
Class M2, 0.6488% 7/25/37 (c)(i)	273		23
Class M3, 0.7288% 7/25/37 (c)(i)	276		20
Class M4, 0.8888% 7/25/37 (c)(i)	459		29
Class M5, 0.9888% 7/25/37 (c)(i)	405		21
Class M6, 1.2388% 7/25/37 (c)(i)	514		22
Series 2007-3:
Class A2, 0.5288% 7/25/37 (c)(i)	491		231
Class B1, 1.1888% 7/25/37 (c)(i)	296		22
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Bayview Commercial Asset Trust floater: - continued
Series 2007-3:
Class B2, 1.8388% 7/25/37 (c)(i)	$ 762		$ 27
Class B3, 4.2388% 7/25/37 (c)(i)	16		0*
Class M1, 0.5488% 7/25/37 (c)(i)	261		67
Class M2, 0.5788% 7/25/37 (c)(i)	278		52
Class M3, 0.6088% 7/25/37 (c)(i)	448		63
Class M4, 0.7388% 7/25/37 (c)(i)	706		87
Class M5, 0.8388% 7/25/37 (c)(i)	357		39
Class M6, 1.0388% 7/25/37 (c)(i)	271		25
Series 2007-4A:
Class B1, 2.7888% 9/25/37 (c)(i)	66		3
Class M1, 1.1888% 9/25/37 (c)(i)	220		16
Class M2, 1.2888% 9/25/37 (c)(i)	220		12
Class M4, 1.8388% 9/25/37 (c)(i)	448		18
Class M5, 1.9888% 9/25/37 (c)(i)	448		14
Class M6, 2.1888% 9/25/37 (c)(i)	449		9
Bear Stearns Commercial Mortgage Securities Trust:
floater:
Series 2006-BBA7:
Class H, 0.8888% 3/15/19 (c)(i)	324		310
Class J, 1.0888% 3/15/19 (c)(i)	323		294
Series 2007-BBA8:
Class D, 0.4888% 3/15/22 (c)(i)	489		442
Class E, 0.5388% 3/15/22 (c)(i)	2,030		1,796
Class F, 0.5888% 3/15/22 (c)(i)	1,246		1,078
Class G, 0.6388% 3/15/22 (c)(i)	401		339
Class H, 0.7888% 3/15/22 (c)(i)	489		384
Class J, 0.9388% 3/15/22 (c)(i)	489		369
sequential payer Series 2004-PWR3 Class A3, 4.487% 2/11/41	286		290
Series 2006-PW14 Class X2, 0.8632% 12/11/38 (c)(i)(e)	14,447		145
Series 2006-T22 Class A4, 5.7138% 4/12/38 (i)	137		155
Series 2006-T24 Class X2, 0.6233% 10/12/41 (c)(i)(e)	1,956		12
Series 2007-PW18 Class X2, 0.4794% 6/11/50 (c)(i)(e)	96,567		991
Series 2007-T28 Class X2, 0.3209% 9/11/42 (c)(i)(e)	51,956		308
C-BASS Trust floater Series 2006-SC1 Class A, 0.5088% 5/25/36 (c)(i)	453		379
CDC Commercial Mortgage Trust Series 2002-FX1:
Class G, 6.625% 5/15/35 (c)	1,287		1,326
Class XCL, 1.3344% 5/15/35 (c)(i)(e)	5,597		120
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Citigroup Commercial Mortgage Trust:
floater Series 2006-FL2:
Class G, 0.5698% 8/15/21 (c)(i)	$ 119		$ 115
Class H, 0.6098% 8/15/21 (c)(i)	261		244
Series 2007-FL3A Class A2, 0.3788% 4/15/22 (c)(i)	913		868
Series 2008-C7 Class A2B, 6.2761% 12/10/49 (i)	984		1,001
Citigroup/Deutsche Bank Commercial Mortgage Trust Series 2007-CD4:
Class A3, 5.293% 12/11/49	1,066		1,124
Class C, 5.476% 12/11/49	2,061		454
Cobalt CMBS Commercial Mortgage Trust:
sequential payer Series 2007-C3 Class A3, 6.0104% 5/15/46 (i)	1,095		1,167
Series 2006-C1 Class B, 5.359% 8/15/48	3,285		230
COMM pass-thru certificates:
floater:
Series 2005-F10A:
Class G, 0.7888% 4/15/17 (c)(i)	43		42
Class H, 0.8588% 4/15/17 (c)(i)	109		97
Class J, 1.0888% 4/15/17 (c)(i)	104		77
Series 2005-FL11:
Class C, 0.5388% 11/15/17 (c)(i)	673		639
Class D, 0.5788% 11/15/17 (c)(i)	35		33
Class E, 0.6288% 11/15/17 (c)(i)	124		114
Class F, 0.6888% 11/15/17 (c)(i)	95		86
Class G, 0.7388% 11/15/17 (c)(i)	66		59
Series 2006-FL12 Class AJ, 0.3688% 12/15/20 (c)(i)	1,560		1,412
sequential payer:
Series 2006-C8 Class A3, 5.31% 12/10/46	3,121		3,198
Series 2006-CN2A:
Class A2FX, 5.449% 2/5/19 (c)	1,851		1,797
Class AJFX, 5.478% 2/5/19 (c)	3,272		3,245
Series 2006-C8 Class XP, 0.6588% 12/10/46 (i)(e)	9,579		71
Commercial Mortgage pass-thru certificates sequential payer Series 2005-C6 Class A2, 4.999% 6/10/44 (i)	1		1
Credit Suisse Commercial Mortgage Trust:
sequential payer:
Series 2007-C2 Class A3, 5.542% 1/15/49 (i)	2,190		2,347
Series 2007-C3 Class A4, 5.8672% 6/15/39 (i)	658		701
Series 2006-C5 Class ASP, 0.8651% 12/15/39 (i)(e)	6,402		65
Series 2007-C5 Class A4, 5.695% 9/15/40 (i)	991		1,050
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Credit Suisse First Boston Mortgage Capital Certificates floater Series 2007-TF2A Class B, 0.5888% 4/15/22 (c)(i)	$ 3,907		$ 2,947
Credit Suisse First Boston Mortgage Securities Corp.:
sequential payer Series 2004-C1 Class A3, 4.321% 1/15/37	2		2
Series 2001-CK6 Class AX, 1.2267% 8/15/36 (i)(e)	439		1
Series 2001-CKN5 Class AX, 1.9496% 9/15/34 (c)(i)(e)	1,875		3
Series 2006-C1 Class A3, 5.5958% 2/15/39 (i)	3,965		4,198
Credit Suisse Mortgage Capital Certificates:
floater Series 2007-TFL1:
Class B, 0.3888% 2/15/22 (c)(i)	414		381
Class C:
0.4088% 2/15/22 (c)(i)	1,180		1,074
0.5088% 2/15/22 (c)(i)	421		375
Class F, 0.5588% 2/15/22 (c)(i)	843		734
Series 2007-C1:
Class ASP, 0.5749% 2/15/40 (i)(e)	19,902		135
Class B, 5.487% 2/15/40 (c)(i)	1,677		281
First Union National Bank-Bank of America Commercial Mortgage Trust Series 2001-C1 Class G, 6.936% 3/15/33 (c)	903		911
GE Capital Commercial Mortgage Corp.:
sequential payer Series 2007-C1 Class A4, 5.543% 12/10/49	13,416		14,639
Series 2001-1 Class X1, 1.7136% 5/15/33 (c)(i)(e)	1,376		12
Series 2007-C1 Class XP, 0.3359% 12/10/49 (i)(e)	16,232		63
GMAC Commercial Mortgage Securities, Inc. Series 2005-C1 Class X2, 0.7319% 5/10/43 (i)(e)	4,757		0*
Greenwich Capital Commercial Funding Corp.:
floater Series 2006-FL4 Class B, 0.4288% 11/5/21 (c)(i)	412		387
sequential payer Series 2007-GG9 Class A4, 5.444% 3/10/39	3,184		3,472
Series 2007-GG11 Class A1, 0.4392% 12/10/49 (c)(i)(e)	26,107		157
GS Mortgage Securities Corp. II:
floater:
Series 2006-FL8A:
Class E, 0.6088% 6/6/20 (c)(i)	248		243
Class F, 0.6788% 6/6/20 (c)(i)	528		510
Series 2007-EOP:
Class C, 2.0056% 3/6/20 (c)(i)	1,041		1,029
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
GS Mortgage Securities Corp. II: - continued
floater:
Series 2007-EOP:
Class D, 2.2018% 3/6/20 (c)(i)	$ 6,868		$ 6,790
Class F, 2.6334% 3/6/20 (c)(i)	107		106
Class G, 2.7903% 3/6/20 (c)(i)	54		53
Class H, 3.3004% 3/6/20 (c)(i)	479		475
Class J, 4.0852% 3/6/20 (c)(i)	686		683
sequential payer Series 2004-GG2 Class A4, 4.964% 8/10/38	237		239
Series 2005-GG4 Class XP, 0.8966% 7/10/39 (c)(i)(e)	20,878		0*
GS Mortgage Securities Trust sequential payer:
Series 2006-GG8 Class A2, 5.479% 11/10/39	519		521
Series 2007-GG10 Class A2, 5.778% 8/10/45	249		253
JPMorgan Chase Commercial Mortgage Securities Trust:
floater Series 2006-FLA2:
Class B, 0.4088% 11/15/18 (c)(i)	546		532
Class C, 0.4488% 11/15/18 (c)(i)	388		377
Class D, 0.4688% 11/15/18 (c)(i)	153		149
Class E, 0.5188% 11/15/18 (c)(i)	221		209
Class F, 0.5688% 11/15/18 (c)(i)	265		238
Class G, 0.5988% 11/15/18 (c)(i)	230		191
Class H, 0.7388% 11/15/18 (c)(i)	221		179
sequential payer:
Series 2006-LDP9 Class A2, 5.134% 5/15/47 (i)	367		377
Series 2007-LD11 Class A4, 6.0027% 6/15/49 (i)	10,914		11,784
Series 2007-LDPX Class A2 S, 5.305% 1/15/49	1,752		1,767
Series 2005-CB13 Class E, 5.5314% 1/12/43 (c)(i)	694		22
Series 2006-CB17 Class A3, 5.45% 12/12/43	287		291
Series 2007-CB19:
Class B, 5.9254% 2/12/49 (i)	93		28
Class C, 5.9254% 2/12/49 (i)	245		47
Class D, 5.9254% 2/12/49 (i)	257		39
Series 2007-LDP10:
Class BS, 5.437% 1/15/49 (i)	209		54
Class CS, 5.466% 1/15/49 (i)	90		11
Class ES, 5.7393% 1/15/49 (c)(i)	566		31
LB-UBS Commercial Mortgage Trust:
sequential payer:
Series 2006-C1 Class A2, 5.084% 2/15/31	148		149
Series 2006-C6 Class A2, 5.262% 9/15/39 (i)	60		60
Series 2006-C7 Class A2, 5.3% 11/15/38	639		643
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
LB-UBS Commercial Mortgage Trust: - continued
Series 2005-C3 Class XCP, 0.9022% 7/15/40 (i)(e)	$ 3,121		$ 1
Series 2006-C6 Class XCP, 0.8617% 9/15/39 (i)(e)	5,850		52
Series 2007-C1 Class XCP, 0.6211% 2/15/40 (i)(e)	2,187		16
Series 2007-C7:
Class A3, 5.866% 9/15/45	1,162		1,310
Class XCP, 0.4289% 9/15/45 (i)(e)	88,099		648
Lehman Brothers Floating Rate Commercial Mortgage Trust floater Series 2006-LLFA:
Class D, 0.4688% 9/15/21 (c)(i)	351		320
Class E, 0.5288% 9/15/21 (c)(i)	1,265		1,116
Class F, 0.5788% 9/15/21 (c)(i)	723		616
Class G, 0.5988% 9/15/21 (c)(i)	3,017		2,479
Class H, 0.6388% 9/15/21 (c)(i)	369		288
Lehman Large Loan Trust Series 1997-LLI Class E, 7.3% 10/12/34	1,943		1,945
Merrill Lynch Mortgage Trust:
sequential payer Series 2005-CIP1 Class A2, 4.96% 7/12/38	1,479		1,493
Series 2005-CKI1 Class A3, 5.3909% 11/12/37 (i)	620		622
Series 2005-LC1 Class F, 5.5591% 1/12/44 (c)(i)	953		532
Series 2006-C1 Class A2, 5.803% 5/12/39 (i)	1,011		1,034
Series 2007-C1 Class A4, 6.0324% 6/12/50 (i)	4,145		4,581
Series 2008-C1 Class A4, 5.69% 2/12/51	2,338		2,650
Merrill Lynch-CFC Commercial Mortgage Trust:
floater Series 2006-4 Class A2FL, 0.3603% 12/12/49 (i)	111		111
sequential payer:
Series 2006-4 Class ASB, 5.133% 12/12/49 (i)	849		889
Series 2007-5:
Class A3, 5.364% 8/12/48	427		438
Class A4, 5.378% 8/12/48	55		59
Class B, 5.479% 8/12/48	3,285		748
Series 2007-6 Class A4, 5.485% 3/12/51 (i)	2,594		2,788
Series 2007-7 Class A4, 5.81% 6/12/50 (i)	3,832		4,120
Series 2006-4 Class XP, 0.8105% 12/12/49 (i)(e)	19,313		289
Series 2007-6 Class B, 5.635% 3/12/51 (i)	1,095		309
Series 2007-7 Class B, 5.936% 6/12/50 (i)	1,409		88
Series 2007-8 Class A3, 6.1649% 8/12/49 (i)	944		1,037
Morgan Stanley Capital I Trust:
floater:
Series 2006-XLF Class C, 1.439% 7/15/19 (c)(i)	227		131
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Morgan Stanley Capital I Trust: - continued
floater:
Series 2007-XLFA:
Class C, 0.399% 10/15/20 (c)(i)	$ 629		$ 566
Class D, 0.429% 10/15/20 (c)(i)	422		367
Class E, 0.489% 10/15/20 (c)(i)	528		438
Class F, 0.539% 10/15/20 (c)(i)	397		302
Class G, 0.579% 10/15/20 (c)(i)	491		354
Class H, 0.669% 10/15/20 (c)(i)	309		207
Class J, 0.819% 10/15/20 (c)(i)	181		76
sequential payer Series 2005-IQ9 Class A3, 4.54% 7/15/56	1,084		1,096
Series 2006-HQ10 Class X2, 0.691% 11/12/41 (c)(i)(e)	5,033		13
Series 2006-T23 Class A3, 5.9838% 8/12/41 (i)	559		572
Series 2007-HQ12 Class A4, 5.7818% 4/12/49 (i)	5,793		6,062
Series 2007-IQ14:
Class A4, 5.692% 4/15/49 (i)	1,642		1,784
Class B, 5.9075% 4/15/49 (i)	269		74
Structured Asset Securities Corp. Series 1997-LLI Class D, 7.15% 10/12/34	40		40
Wachovia Bank Commercial Mortgage Trust:
floater:
Series 2006-WL7A:
Class E, 0.5198% 9/15/21 (c)(i)	1,099		872
Class F, 0.5798% 9/15/21 (c)(i)	1,189		907
Class G, 0.5998% 9/15/21 (c)(i)	1,126		823
Class J, 0.8398% 9/15/21 (c)(i)	314		145
Series 2007-WHL8:
Class F, 0.7188% 6/15/20 (c)(i)	2,710		1,978
Class LXR1, 0.9388% 6/15/20 (c)(i)	169		135
sequential payer:
Series 2006-C29 Class A3, 5.313% 11/15/48	2,908		2,982
Series 2007-C30:
Class A3, 5.246% 12/15/43	350		350
Class A4, 5.305% 12/15/43	322		342
Class A5, 5.342% 12/15/43	1,172		1,243
Series 2007-C31:
Class A4, 5.509% 4/15/47	2,475		2,663
Class A5, 5.5% 4/15/47	3,710		3,980
Series 2007-C32:
Class A2, 5.9223% 6/15/49 (i)	1,098		1,107
Class A3, 5.9273% 6/15/49 (i)	21,861		23,204
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Wachovia Bank Commercial Mortgage Trust: - continued
Series 2003-C6 Class G, 5.125% 8/15/35 (c)(i)	$ 652		$ 648
Series 2005-C19 Class B, 4.892% 5/15/44	1,095		994
Series 2005-C22:
Class B, 5.5332% 12/15/44 (i)	2,428		1,657
Class F, 5.5332% 12/15/44 (c)(i)	1,826		458
Series 2007-C30:
Class C, 5.483% 12/15/43 (i)	3,285		1,006
Class D, 5.513% 12/15/43 (i)	1,752		403
Class XP, 0.6679% 12/15/43 (c)(i)(e)	11,874		103
Series 2007-C31 Class C, 5.8735% 4/15/47 (i)	4,515		957
Series 2007-C31A Class A2, 5.421% 4/15/47	2,510		2,590
Series 2007-C32:
Class D, 5.9273% 6/15/49 (i)	823		215
Class E, 5.9273% 6/15/49 (i)	1,297		304
Wachovia Bank Commercial Mortgage Trust pass-thru certificates sequential payer Series 2007-C33 Class A4, 6.0975% 2/15/51 (i)	13,576		15,091
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $193,990)		227,590
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)	1,835		1,895
California Gen. Oblig.:
7.5% 4/1/34	6,270		7,892
7.6% 11/1/40	3,285		4,290
7.625% 3/1/40	1,835		2,382
Illinois Gen. Oblig. Series 2011, 5.877% 3/1/19	930		1,039
TOTAL MUNICIPAL SECURITIES (Cost $16,404)		17,498
Foreign Government and Government Agency Obligations - 0.1%
Russian Federation:
4.5% 4/4/22 (c)	2,200		2,233
5.625% 4/4/42 (c)	3,000		3,053
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $5,111)		5,286

Fixed-Income Funds - 18.0%
	Shares		Value (000s)
Fidelity Mortgage Backed Securities Central Fund (j)	7,034,928		$ 768,214
Fidelity Specialized High Income Central Fund (j)	1,316,406		134,260
TOTAL FIXED-INCOME FUNDS (Cost $838,256)		902,474
Money Market Funds - 4.7%
Fidelity Cash Central Fund, 0.17% (a) (Cost $234,470)	234,470,086		234,470
TOTAL INVESTMENT PORTFOLIO - 105.9% (Cost $5,045,339)			5,317,209
NET OTHER ASSETS (LIABILITIES) - (5.9)%			(297,630)
NET ASSETS - 100%		$ 5,019,579
TBA Sale Commitments
	Principal Amount (000s)
Fannie Mae
3.5% 6/1/42	$ (2,000)		(2,101)
3.5% 6/1/42	(12,000)		(12,604)
3.5% 6/1/42	(12,000)		(12,604)
3.5% 6/1/42	(1,000)		(1,050)
3.5% 6/1/42	(2,000)		(2,101)
3.5% 6/1/42	(1,000)		(1,050)
3.5% 6/1/42	(5,000)		(5,252)
3.5% 6/1/42	(7,000)		(7,352)
3.5% 6/1/42	(3,000)		(3,151)
4% 6/1/42	(31,000)		(33,025)
4.5% 6/13/42	(89,100)		(95,600)
4.5% 6/13/42	(7,000)		(7,511)
5.5% 6/1/42	(4,300)		(4,689)
TOTAL FANNIE MAE			(188,090)
Freddie Mac
4.5% 6/1/42	(2,000)		(2,136)
TOTAL TBA SALE COMMITMENTS (Proceeds $189,536)		$ (190,226)

Swap Agreements
	Expiration Date	Notional Amount (000s)	Value (000s)
Credit Default Swaps
Receive from Credit Suisse First Boston upon credit event of Deutsche Bank AG, par value of the notional amount of Deutsche Bank AG, 2.066% 4/11/18, and pay quarterly notional amount multiplied by 1% (Upfront Premium Received/(Paid) $(493,000))	Dec. 2018	$ 6,500	$ 425
Receive from Credit Suisse First Boston upon credit event of National Australia Bank Ltd., par value of the notional amount of National Australia Bank Ltd., 4.625% 2/10/20, and pay quarterly notional amount multiplied by 1% (Upfront Premium Received/(Paid) $(825,000))	Dec. 2018	6,500	765
Receive from Credit Suisse First Boston upon credit event of National Australia Bank Ltd., par value of the notional amount of National Australia Bank Ltd., 4.625% 2/10/20, and pay quarterly notional amount multiplied by 1% (Upfront Premium Received/(Paid) $(649,000))	Dec. 2018	6,500	765
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% (Upfront Premium Received/(Paid) $(177,000))	March 2018	5,500	502
Receive from JPMorgan Chase, Inc. upon credit event of Deutsche Bank AG, par value of the notional amount of Deutsche Bank AG, 5.125% 8/31/17, and pay quarterly notional amount multiplied by 1% (Upfront Premium Received/(Paid) $(347,000))	March 2019	4,085	281
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)(h)	Sept. 2037	4,075	(3,864)
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) $5,250,000)(h)	Sept. 2037	$ 11,074	$ (10,500)
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)(h)	Sept. 2037	2,481	(2,352)
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)(h)	Sept. 2037	8,284	(7,854)
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)(h)	Sept. 2037	4,518	(4,284)
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)(h)	Sept. 2037	7,398	(7,014)
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-C)(g)	Oct. 2034	505	(203)
Swap Agreements - continued
	Expiration Date	Notional Amount (000s)	Value (000s)
Credit Default Swaps - continued
Receive monthly notional amount multiplied by 1.545% 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	$ 518	$ (384)
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	186	(143)
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	(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-C)(g)	Oct. 2034	667	(523)
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	502	(436)
		$ 69,297	$ (34,822)

Legend

(a) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.

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

(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 $225,355,000 or 4.5% of net assets.

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

(e) 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 as of the end of the period.

(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 $42,101,000.

(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 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.

* Amount represents less than $1,000.

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 (Amounts in thousands)
Fidelity Cash Central Fund	$ 169
Fidelity Mortgage Backed Securities Central Fund	16,805
Fidelity Specialized High Income Central Fund	6,327
Total	$ 23,301

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	$ 743,850	$ 16,805	$ -	$ 768,214	5.1%
Fidelity Specialized High Income Central Fund	123,706	6,327	-	134,260	30.1%
Total	$ 867,556	$ 23,132	$ -	$ 902,474

Other Information

The following is a summary of the inputs used, as of May 31, 2012, 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	$ 1,048,876	$ -	$ 1,048,876	$ -
U.S. Government and Government Agency Obligations	1,768,499	-	1,768,499	-
U.S. Government Agency - Mortgage Securities	1,078,854	-	1,078,854	-
Asset-Backed Securities	17,656	-	9,292	8,364
Collateralized Mortgage Obligations	16,006	-	14,230	1,776
Commercial Mortgage Securities	227,590	-	201,781	25,809
Municipal Securities	17,498	-	17,498	-
Foreign Government and Government Agency Obligations	5,286	-	5,286	-
Fixed-Income Funds	902,474	902,474	-	-
Money Market Funds	234,470	234,470	-	-
Total Investments in Securities:	$ 5,317,209	$ 1,136,944	$ 4,144,316	$ 35,949
Derivative Instruments:
Assets
Swap Agreements	$ 2,738	$ -	$ 2,738	$ -
Liabilities
Swap Agreements	$ (37,560)	$ -	$ (35,868)	$ (1,692)
Total Derivative Instruments:	$ (34,822)	$ -	$ (33,130)	$ (1,692)
Other Financial Instruments:
TBA Sale Commitments	$ (190,226)	$ -	$ (190,226)	$ -

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	$ 48,306
Total Realized Gain (Loss)	(3,746)
Total Unrealized Gain (Loss)	(434)
Cost of Purchases	13
Proceeds of Sales	(12,843)
Amortization/Accretion	321
Transfers in to Level 3	20,315
Transfers out of Level 3	(15,983)
Ending Balance	$ 35,949
The change in unrealized gain (loss) for the period attributable to Level 3 securities held at May 31, 2012	$ (3,294)
Derivative Instruments:
Swap Agreements
Beginning Balance	$ (1,315)
Total Unrealized Gain (Loss)	(377)
Transfers in to Level 3	-
Transfers out of Level 3	-
Ending Balance	$ (1,692)
Realized gain (loss) on Swap Agreements for the period	$ 52
The change in unrealized gain (loss) for the period attributable to Level 3 Swap Agreements held at May 31, 2012	$ (377)

The information used in the above reconciliations 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, 2012, the cost of investment securities for income tax purposes was $5,104,434,000. Net unrealized appreciation aggregated $212,775,000, of which $243,276,000 related to appreciated investment securities and $30,501,000 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 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. 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 close out a credit default swap 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. On certain over-the-counter (OTC) derivatives such as credit default swaps, 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 on OTC derivatives, the Fund receives collateral in the form of cash or securities once the Fund's net unrealized appreciation on outstanding derivatives contracts under an ISDA Master Agreement exceed certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the counterparty and the Fund's custodian bank. 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 related to OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to the Fund. The Fund may be required to pledge collateral for the benefit of the counterparties on OTC derivatives in an amount not less than the counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified.

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 $40,212,000 representing 0.80% 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® Series Investment Grade
Bond Fund -
Series Investment Grade Bond
Class F

May 31, 2012

1.873112.103

LIG-QTLY-0712

Investments May 31, 2012 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 20.3%
	Principal Amount		Value
CONSUMER DISCRETIONARY - 1.6%
Diversified Consumer Services - 0.1%
Cornell University 5.45% 2/1/19	$ 5,740,000		$ 7,017,322
Trustees of Princeton Univ. 5.7% 3/1/39	8,900,000		12,166,923
			19,184,245
Media - 1.5%
Comcast Corp.:
4.95% 6/15/16	9,131,000		10,284,538
5.15% 3/1/20	1,226,000		1,432,593
5.7% 5/15/18	12,823,000		15,067,076
5.9% 3/15/16	3,813,000		4,405,247
6.4% 3/1/40	21,072,000		26,718,537
6.45% 3/15/37	4,665,000		5,751,987
6.55% 7/1/39	10,000,000		12,464,040
COX Communications, Inc. 4.625% 6/1/13	3,122,000		3,234,751
Discovery Communications LLC:
3.7% 6/1/15	11,423,000		12,141,724
6.35% 6/1/40	10,151,000		12,385,225
NBCUniversal Media LLC:
3.65% 4/30/15	6,432,000		6,850,157
5.15% 4/30/20	28,753,000		33,358,109
6.4% 4/30/40	13,528,000		16,650,519
News America Holdings, Inc. 7.75% 12/1/45	6,709,000		8,228,132
News America, Inc.:
6.15% 3/1/37	8,831,000		9,981,052
6.15% 2/15/41	23,330,000		26,816,459
Time Warner Cable, Inc.:
5.4% 7/2/12	3,410,000		3,421,222
5.85% 5/1/17	17,523,000		20,382,105
6.2% 7/1/13	3,242,000		3,422,541
6.75% 7/1/18	23,280,000		28,219,341
Time Warner, Inc.:
3.15% 7/15/15	12,747,000		13,436,447
5.375% 10/15/41	22,803,000		24,752,200
5.875% 11/15/16	4,039,000		4,751,795
6.2% 3/15/40	15,555,000		18,165,316
6.5% 11/15/36	6,573,000		7,822,297
Viacom, Inc.:
3.5% 4/1/17	15,103,000		16,253,109
6.75% 10/5/37	3,475,000		4,525,058
			350,921,577
Nonconvertible Bonds - continued
	Principal Amount		Value
CONSUMER DISCRETIONARY - continued
Specialty Retail - 0.0%
Staples, Inc. 7.375% 10/1/12	$ 1,561,000		$ 1,593,330
TOTAL CONSUMER DISCRETIONARY			371,699,152
CONSUMER STAPLES - 1.1%
Beverages - 0.3%
Beam, Inc.:
1.875% 5/15/17	5,035,000		5,045,181
3.25% 5/15/22	5,971,000		6,000,783
Bottling Group LLC 6.95% 3/15/14	2,000,000		2,222,476
Diageo Capital PLC 5.2% 1/30/13	1,963,000		2,020,942
FBG Finance Ltd. 5.125% 6/15/15 (c)	11,614,000		12,782,728
Fortune Brands, Inc.:
5.375% 1/15/16	2,195,000		2,454,074
5.875% 1/15/36	15,700,000		17,480,773
6.375% 6/15/14	7,984,000		8,791,246
SABMiller Holdings, Inc. 3.75% 1/15/22 (c)	16,792,000		17,807,580
			74,605,783
Food Products - 0.3%
General Mills, Inc. 5.2% 3/17/15	2,184,000		2,425,061
Kraft Foods, Inc.:
5.375% 2/10/20	17,135,000		20,268,460
6.125% 2/1/18	11,078,000		13,207,701
6.25% 6/1/12	2,162,000		2,162,000
6.5% 8/11/17	28,164,000		34,123,277
6.5% 2/9/40	4,830,000		6,170,707
6.75% 2/19/14	1,258,000		1,374,681
			79,731,887
Tobacco - 0.5%
Altria Group, Inc.:
9.25% 8/6/19	4,577,000		6,292,130
9.7% 11/10/18	43,684,000		60,091,885
Philip Morris International, Inc.:
4.875% 5/16/13	3,627,000		3,776,189
5.65% 5/16/18	2,251,000		2,712,027
Nonconvertible Bonds - continued
	Principal Amount		Value
CONSUMER STAPLES - continued
Tobacco - continued
Reynolds American, Inc.:
6.75% 6/15/17	$ 10,391,000		$ 12,518,640
7.25% 6/15/37	15,680,000		19,770,348
			105,161,219
TOTAL CONSUMER STAPLES			259,498,889
ENERGY - 3.3%
Energy Equipment & Services - 0.5%
DCP Midstream LLC:
4.75% 9/30/21 (c)	21,176,000		22,966,304
5.35% 3/15/20 (c)	11,804,000		13,219,311
6.75% 9/15/37 (c)	2,991,000		3,713,644
El Paso Pipeline Partners Operating Co. LLC:
4.1% 11/15/15	17,654,000		18,374,054
5% 10/1/21	13,430,000		14,390,138
6.5% 4/1/20	2,078,000		2,405,701
Transocean, Inc.:
5.05% 12/15/16	13,734,000		15,001,511
6.375% 12/15/21	18,136,000		20,837,992
Weatherford International Ltd.:
4.95% 10/15/13	2,431,000		2,540,641
5.15% 3/15/13	7,716,000		7,948,900
			121,398,196
Oil, Gas & Consumable Fuels - 2.8%
Anadarko Petroleum Corp.:
5.95% 9/15/16	1,367,000		1,550,491
6.375% 9/15/17	42,765,000		50,027,780
Apache Corp.:
3.25% 4/15/22	15,138,000		15,786,391
4.75% 4/15/43	16,072,000		17,676,789
Canadian Natural Resources Ltd. 5.15% 2/1/13	6,276,000		6,456,479
ConocoPhillips:
4.4% 5/15/13	20,500,000		21,249,132
5.75% 2/1/19	12,956,000		15,941,943
Duke Capital LLC 6.25% 2/15/13	699,000		721,476
Duke Energy Field Services:
5.375% 10/15/15 (c)	1,706,000		1,843,186
6.45% 11/3/36 (c)	7,882,000		9,486,452
El Paso Natural Gas Co. 5.95% 4/15/17	1,304,000		1,469,699
Nonconvertible Bonds - continued
	Principal Amount		Value
ENERGY - continued
Oil, Gas & Consumable Fuels - continued
Enbridge Energy Partners LP 4.2% 9/15/21	$ 24,752,000		$ 26,437,190
Encana Corp. 4.75% 10/15/13	930,000		973,056
Encana Holdings Finance Corp. 5.8% 5/1/14	4,029,000		4,359,861
Enterprise Products Operating LP:
5.6% 10/15/14	1,361,000		1,496,086
5.65% 4/1/13	487,000		504,112
Gulf South Pipeline Co. LP 5.75% 8/15/12 (c)	5,389,000		5,431,137
Gulfstream Natural Gas System LLC 6.95% 6/1/16 (c)	9,551,000		11,110,812
Marathon Petroleum Corp. 5.125% 3/1/21	20,728,000		23,029,658
Midcontinent Express Pipeline LLC 5.45% 9/15/14 (c)	17,029,000		17,573,111
Motiva Enterprises LLC:
5.75% 1/15/20 (c)	6,844,000		8,014,399
6.85% 1/15/40 (c)	8,433,000		10,804,452
Nakilat, Inc. 6.067% 12/31/33 (c)	5,435,000		5,896,975
Nexen, Inc.:
5.2% 3/10/15	1,267,000		1,350,830
5.875% 3/10/35	4,330,000		4,511,921
6.2% 7/30/19	1,700,000		2,009,363
6.4% 5/15/37	7,493,000		8,253,435
Pemex Project Funding Master Trust 1.0797% 12/3/12 (c)(e)	4,867,000		4,842,665
Petro-Canada 6.05% 5/15/18	2,920,000		3,453,496
Petrobras International Finance Co. Ltd.:
3.875% 1/27/16	17,613,000		18,225,827
5.375% 1/27/21	33,457,000		35,705,243
5.75% 1/20/20	28,496,000		31,040,522
7.875% 3/15/19	14,377,000		17,388,608
Petroleos Mexicanos:
4.875% 1/24/22 (c)	17,019,000		17,784,855
5.5% 1/21/21	21,149,000		23,263,900
6% 3/5/20	1,813,000		2,035,093
6.5% 6/2/41 (c)	26,365,000		29,396,975
Phillips 66:
4.3% 4/1/22 (c)	21,152,000		22,045,947
5.875% 5/1/42 (c)	18,112,000		19,385,690
Plains All American Pipeline LP/PAA Finance Corp.:
3.65% 6/1/22	23,890,000		24,201,096
3.95% 9/15/15	8,916,000		9,568,116
4.25% 9/1/12	1,368,000		1,377,643
6.125% 1/15/17	5,000,000		5,829,185
Nonconvertible Bonds - continued
	Principal Amount		Value
ENERGY - continued
Oil, Gas & Consumable Fuels - continued
Ras Laffan Liquefied Natural Gas Co. Ltd. III:
4.5% 9/30/12 (c)	$ 6,678,000		$ 6,728,085
5.5% 9/30/14 (c)	9,333,000		10,056,308
5.832% 9/30/16 (c)	1,284,247		1,376,070
6.75% 9/30/19 (c)	6,109,000		7,208,620
Rockies Express Pipeline LLC 6.25% 7/15/13 (c)	3,795,000		3,880,388
Southeast Supply Header LLC 4.85% 8/15/14 (c)	1,033,000		1,090,479
Spectra Energy Capital, LLC 5.65% 3/1/20	15,101,000		17,350,762
Spectra Energy Partners, LP:
2.95% 6/15/16	3,790,000		3,853,194
4.6% 6/15/21	4,954,000		5,332,902
Suncor Energy, Inc. 6.1% 6/1/18	9,550,000		11,385,625
Talisman Energy, Inc. yankee 6.25% 2/1/38	4,604,000		5,077,365
Texas Eastern Transmission LP 6% 9/15/17 (c)	12,691,000		14,763,402
TransCapitalInvest Ltd. 5.67% 3/5/14 (c)	5,304,000		5,569,200
Transcontinental Gas Pipe Line Corp. 6.4% 4/15/16	2,800,000		3,271,192
Western Gas Partners LP 5.375% 6/1/21	27,148,000		29,964,605
Williams Partners LP 4.125% 11/15/20	4,302,000		4,538,907
XTO Energy, Inc. 6.25% 8/1/17	4,098,000		5,115,099
			676,073,280
TOTAL ENERGY			797,471,476
FINANCIALS - 9.5%
Capital Markets - 1.5%
BlackRock, Inc.:
3.375% 6/1/22	21,893,000		22,180,630
4.25% 5/24/21	5,250,000		5,749,711
Goldman Sachs Group, Inc.:
5.25% 7/27/21	17,979,000		17,797,862
5.75% 1/24/22	81,527,000		83,704,423
5.95% 1/18/18	9,760,000		10,198,048
6% 6/15/20	16,000,000		16,809,648
6.15% 4/1/18	10,942,000		11,428,449
6.75% 10/1/37	13,332,000		13,144,205
JPMorgan Chase Capital XVII 5.85% 8/1/35	1,585,000		1,619,948
JPMorgan Chase Capital XX 6.55% 9/29/36	39,647,000		39,442,223
Lazard Group LLC:
6.85% 6/15/17	7,532,000		8,280,628
7.125% 5/15/15	8,656,000		9,425,674
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Capital Markets - continued
Merrill Lynch & Co., Inc.:
6.11% 1/29/37	$ 8,583,000		$ 8,247,808
6.875% 4/25/18	9,961,000		10,949,749
Morgan Stanley:
4.75% 4/1/14	6,943,000		6,851,470
5.5% 7/28/21	19,857,000		18,606,029
5.625% 9/23/19	16,919,000		16,152,451
5.75% 1/25/21	18,632,000		17,576,628
6% 4/28/15	3,982,000		4,050,578
6.625% 4/1/18	9,869,000		10,021,200
7.3% 5/13/19	22,127,000		22,951,983
			355,189,345
Commercial Banks - 1.4%
Bank of America NA 5.3% 3/15/17	11,902,000		12,120,961
Credit Suisse New York Branch 6% 2/15/18	25,069,000		26,663,238
Discover Bank:
7% 4/15/20	9,043,000		10,577,516
8.7% 11/18/19	16,188,000		20,664,516
Fifth Third Bancorp:
4.5% 6/1/18	2,562,000		2,718,956
8.25% 3/1/38	12,528,000		17,737,481
Fifth Third Bank 4.75% 2/1/15	2,013,000		2,142,074
Fifth Third Capital Trust IV 6.5% 4/15/67 (e)	11,258,000		11,032,840
HBOS PLC 6.75% 5/21/18 (c)	4,594,000		4,211,026
HSBC Holdings PLC 4% 3/30/22	21,390,000		21,789,715
Huntington Bancshares, Inc. 7% 12/15/20	4,459,000		5,268,924
JPMorgan Chase Bank 6% 10/1/17	6,068,000		6,748,035
KeyBank NA:
5.45% 3/3/16	10,925,000		12,106,189
5.8% 7/1/14	14,023,000		15,124,128
6.95% 2/1/28	3,200,000		3,665,382
Marshall & Ilsley Bank:
4.85% 6/16/15	7,539,000		8,087,613
5% 1/17/17	23,263,000		25,220,744
5.25% 9/4/12	5,004,000		5,053,520
Regions Bank:
6.45% 6/26/37	21,383,000		21,008,798
7.5% 5/15/18	9,871,000		11,055,520
Regions Financial Corp.:
0.6437% 6/26/12 (e)	951,000		950,315
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Commercial Banks - continued
Regions Financial Corp.: - continued
5.75% 6/15/15	$ 3,253,000		$ 3,415,650
7.75% 11/10/14	8,459,000		9,199,163
UnionBanCal Corp. 5.25% 12/16/13	925,000		974,194
Wachovia Bank NA:
4.875% 2/1/15	1,893,000		2,015,399
5.85% 2/1/37	7,795,000		8,912,195
Wachovia Corp.:
4.875% 2/15/14	734,000		770,021
5.625% 10/15/16	14,742,000		16,528,789
5.75% 6/15/17	2,050,000		2,378,480
5.75% 2/1/18	4,000,000		4,635,296
Wells Fargo & Co.:
3.625% 4/15/15	8,996,000		9,555,857
3.676% 6/15/16	26,564,000		28,170,644
Wells Fargo Bank NA 5.95% 8/26/36	4,694,000		5,390,289
			335,893,468
Consumer Finance - 0.6%
Discover Financial Services:
5.2% 4/27/22	16,852,000		17,895,526
6.45% 6/12/17	16,773,000		19,097,033
General Electric Capital Corp.:
2.25% 11/9/15	18,930,000		19,181,523
2.95% 5/9/16	5,375,000		5,543,872
3.5% 6/29/15	5,553,000		5,832,016
4.625% 1/7/21	16,818,000		18,380,258
5.625% 9/15/17	3,505,000		4,005,626
5.625% 5/1/18	10,000,000		11,368,940
6% 8/7/19	22,000,000		25,841,728
HSBC Finance Corp. 5.9% 6/19/12	11,627,000		11,648,219
SLM Corp. 5.375% 1/15/13	2,851,000		2,898,903
			141,693,644
Diversified Financial Services - 2.1%
Bank of America Corp.:
3.875% 3/22/17	10,761,000		10,729,277
5.65% 5/1/18	16,400,000		17,089,850
5.7% 1/24/22	12,810,000		13,619,144
5.75% 12/1/17	32,792,000		34,131,881
5.875% 1/5/21	5,000,000		5,223,995
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Diversified Financial Services - continued
Bank of America Corp.: - continued
6.5% 8/1/16	$ 11,950,000		$ 12,943,654
BP Capital Markets PLC:
3.625% 5/8/14	1,176,000		1,231,111
4.5% 10/1/20	11,831,000		13,230,619
4.742% 3/11/21	12,000,000		13,659,912
Capital One Capital V 10.25% 8/15/39	22,477,000		23,263,695
Citigroup, Inc.:
3.953% 6/15/16	21,787,000		22,144,743
4.5% 1/14/22	9,963,000		10,228,255
4.75% 5/19/15	40,390,000		42,085,936
5.875% 1/30/42	36,395,000		38,838,233
6.125% 5/15/18	31,485,000		34,277,216
6.5% 8/19/13	20,989,000		22,033,895
General Electric Capital Corp. 5.3% 2/11/21	19,600,000		21,832,773
JPMorgan Chase & Co.:
3.15% 7/5/16	25,000,000		25,497,900
4.25% 10/15/20	30,000,000		31,132,410
4.35% 8/15/21	52,137,000		54,465,803
4.5% 1/24/22	26,587,000		28,385,690
TECO Finance, Inc.:
4% 3/15/16	9,634,000		10,345,317
5.15% 3/15/20	11,097,000		12,765,534
ZFS Finance USA Trust IV 5.875% 5/9/62 (c)(e)	2,103,000		2,099,858
			501,256,701
Insurance - 1.5%
Allstate Corp. 6.2% 5/16/14	7,894,000		8,724,717
American International Group, Inc. 4.875% 9/15/16	15,786,000		16,652,178
Aon Corp.:
3.125% 5/27/16	20,350,000		21,156,186
3.5% 9/30/15	6,878,000		7,190,007
5% 9/30/20	5,687,000		6,455,934
Axis Capital Holdings Ltd. 5.75% 12/1/14	5,857,000		6,245,425
Berkshire Hathaway Finance Corp. 4.4% 5/15/42	7,703,000		7,770,825
Great-West Life & Annuity Insurance Co. 7.153% 5/16/46 (c)(e)	11,133,000		11,077,335
Hartford Financial Services Group, Inc.:
5.125% 4/15/22	22,972,000		23,424,457
5.375% 3/15/17	546,000		580,225
6.625% 4/15/42	16,567,000		17,269,143
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Insurance - continued
Liberty Mutual Group, Inc.:
5% 6/1/21 (c)	$ 23,174,000		$ 23,901,710
6.5% 3/15/35 (c)	2,797,000		2,970,201
6.7% 8/15/16 (c)	6,494,000		7,222,166
Marsh & McLennan Companies, Inc. 4.8% 7/15/21	13,119,000		14,492,953
Massachusetts Mutual Life Insurance Co. 5.375% 12/1/41 (c)	11,809,000		13,181,560
MetLife, Inc.:
4.75% 2/8/21	6,004,000		6,622,490
5% 6/15/15	813,000		891,897
6.75% 6/1/16	9,220,000		10,851,479
Metropolitan Life Global Funding I:
5.125% 4/10/13 (c)	5,256,000		5,443,991
5.125% 6/10/14 (c)	8,554,000		9,208,321
Monumental Global Funding III 5.5% 4/22/13 (c)	3,073,000		3,182,635
New York Life Global Funding 4.65% 5/9/13 (c)	3,983,000		4,118,514
Northwestern Mutual Life Insurance Co. 6.063% 3/30/40 (c)	10,230,000		12,853,105
Pacific Life Insurance Co. 9.25% 6/15/39 (c)	9,078,000		11,815,816
Pacific LifeCorp 6% 2/10/20 (c)	5,371,000		5,992,247
Prudential Financial, Inc.:
3.625% 9/17/12	13,500,000		13,605,408
4.5% 11/16/21	12,469,000		13,176,429
4.75% 9/17/15	13,500,000		14,607,459
5.15% 1/15/13	3,765,000		3,859,234
5.8% 11/16/41	16,300,000		17,388,384
6.2% 11/15/40	7,705,000		8,574,902
7.375% 6/15/19	3,820,000		4,663,215
Symetra Financial Corp. 6.125% 4/1/16 (c)	11,250,000		11,530,384
Unum Group:
5.625% 9/15/20	18,528,000		20,261,850
7.125% 9/30/16	1,654,000		1,898,602
			368,861,384
Real Estate Investment Trusts - 0.7%
Alexandria Real Estate Equities, Inc. 4.6% 4/1/22	6,540,000		6,733,597
AvalonBay Communities, Inc.:
4.95% 3/15/13	5,057,000		5,198,161
5.375% 4/15/14	2,899,000		3,085,252
6.125% 11/1/12	2,564,000		2,618,300
Boston Properties, Inc. 3.85% 2/1/23 (d)	16,469,000		16,432,604
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Real Estate Investment Trusts - continued
BRE Properties, Inc. 5.5% 3/15/17	$ 1,861,000		$ 2,063,767
Camden Property Trust:
5.375% 12/15/13	5,530,000		5,825,197
5.875% 11/30/12	1,067,000		1,091,546
Developers Diversified Realty Corp.:
4.75% 4/15/18	17,321,000		17,863,234
5.375% 10/15/12	10,023,000		10,086,696
7.5% 4/1/17	9,638,000		11,070,554
Duke Realty LP:
4.625% 5/15/13	1,515,000		1,552,193
5.875% 8/15/12	837,000		844,145
Equity One, Inc.:
5.375% 10/15/15	2,580,000		2,745,675
6% 9/15/17	3,467,000		3,784,771
6.25% 12/15/14	9,619,000		10,348,659
6.25% 1/15/17	2,204,000		2,391,311
Equity Residential 5.125% 3/15/16	8,850,000		9,775,719
Federal Realty Investment Trust:
5.4% 12/1/13	3,666,000		3,849,821
5.9% 4/1/20	3,969,000		4,525,319
6% 7/15/12	5,468,000		5,493,858
6.2% 1/15/17	1,491,000		1,683,196
HRPT Properties Trust:
5.75% 11/1/15	4,573,000		4,771,395
6.25% 6/15/17	861,000		925,628
6.65% 1/15/18	3,483,000		3,780,065
UDR, Inc. 5.5% 4/1/14	17,798,000		18,819,196
United Dominion Realty Trust, Inc. 5.25% 1/15/15	1,548,000		1,654,996
Washington (REIT) 5.25% 1/15/14	907,000		944,278
			159,959,133
Real Estate Management & Development - 1.7%
AMB Property LP:
5.9% 8/15/13	5,754,000		5,978,688
6.3% 6/1/13	4,012,000		4,157,303
BioMed Realty LP:
3.85% 4/15/16	19,180,000		19,676,609
6.125% 4/15/20	5,563,000		6,353,324
Brandywine Operating Partnership LP 5.7% 5/1/17	6,890,000		7,355,537
Colonial Properties Trust:
5.5% 10/1/15	12,454,000		13,148,858
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Real Estate Management & Development - continued
Colonial Properties Trust: - continued
6.875% 8/15/12	$ 4,824,000		$ 4,861,796
Colonial Realty LP 6.05% 9/1/16	3,862,000		4,189,227
Digital Realty Trust LP:
4.5% 7/15/15	7,544,000		7,923,825
5.25% 3/15/21	10,656,000		11,372,882
Duke Realty LP:
5.4% 8/15/14	6,754,000		7,171,532
5.5% 3/1/16	10,207,000		11,053,017
5.95% 2/15/17	9,023,000		10,082,778
6.25% 5/15/13	9,569,000		9,903,637
6.5% 1/15/18	12,019,000		13,767,176
6.75% 3/15/20	1,066,000		1,266,482
8.25% 8/15/19	5,060,000		6,277,998
ERP Operating LP:
4.625% 12/15/21	41,736,000		45,533,100
4.75% 7/15/20	31,427,000		34,741,260
5.375% 8/1/16	4,428,000		4,956,708
5.5% 10/1/12	5,487,000		5,571,582
5.75% 6/15/17	24,188,000		27,989,193
Liberty Property LP:
4.75% 10/1/20	17,245,000		18,353,957
5.125% 3/2/15	1,706,000		1,815,708
5.5% 12/15/16	4,865,000		5,367,199
6.375% 8/15/12	4,758,000		4,798,281
6.625% 10/1/17	12,549,000		14,561,671
Mack-Cali Realty LP:
4.5% 4/18/22	7,126,000		7,403,850
7.75% 8/15/19	1,973,000		2,421,731
Post Apartment Homes LP 6.3% 6/1/13	7,452,000		7,752,442
Prime Property Funding, Inc.:
5.125% 6/1/15 (c)	9,526,000		9,730,247
5.5% 1/15/14 (c)	4,958,000		5,061,969
5.7% 4/15/17 (c)	2,366,000		2,441,468
Reckson Operating Partnership LP 6% 3/31/16	1,066,000		1,134,599
Regency Centers LP:
4.95% 4/15/14	427,000		445,134
5.25% 8/1/15	1,490,000		1,596,757
5.875% 6/15/17	789,000		888,557
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Real Estate Management & Development - continued
Simon Property Group LP:
2.8% 1/30/17	$ 4,731,000		$ 4,870,115
4.125% 12/1/21	13,242,000		14,384,427
4.2% 2/1/15	5,265,000		5,614,085
5.1% 6/15/15	6,421,000		7,033,088
Tanger Properties LP:
6.125% 6/1/20	24,577,000		28,354,264
6.15% 11/15/15	9,801,000		10,896,311
			418,258,372
TOTAL FINANCIALS		2,281,112,047
HEALTH CARE - 0.5%
Biotechnology - 0.1%
Amgen, Inc. 5.15% 11/15/41	23,000,000		23,791,959
Celgene Corp. 2.45% 10/15/15	1,728,000		1,767,412
			25,559,371
Health Care Providers & Services - 0.4%
Aristotle Holding, Inc. 4.75% 11/15/21 (c)	31,840,000		35,124,519
Coventry Health Care, Inc.:
5.95% 3/15/17	1,221,000		1,399,940
6.3% 8/15/14	2,529,000		2,760,335
Express Scripts, Inc.:
3.125% 5/15/16	19,250,000		20,058,385
5.25% 6/15/12	8,958,000		8,968,499
6.25% 6/15/14	3,291,000		3,602,325
Medco Health Solutions, Inc.:
2.75% 9/15/15	3,314,000		3,419,289
4.125% 9/15/20	11,062,000		11,925,732
			87,259,024
Pharmaceuticals - 0.0%
Pfizer, Inc. 6.2% 3/15/19	10,000,000		12,627,710
Watson Pharmaceuticals, Inc. 5% 8/15/14	2,028,000		2,161,718
			14,789,428
TOTAL HEALTH CARE			127,607,823
Nonconvertible Bonds - continued
	Principal Amount		Value
INDUSTRIALS - 0.4%
Aerospace & Defense - 0.3%
BAE Systems Holdings, Inc.:
4.95% 6/1/14 (c)	$ 1,610,000		$ 1,699,371
6.375% 6/1/19 (c)	9,485,000		11,181,961
United Technologies Corp.:
3.1% 6/1/22	24,308,000		25,262,429
4.5% 6/1/42	24,308,000		26,122,130
			64,265,891
Airlines - 0.1%
Continental Airlines, Inc.:
6.545% 8/2/20	965,774		1,035,792
6.648% 3/15/19	3,126,464		3,318,116
6.795% 2/2/20	357,652		354,076
6.9% 7/2/19	959,038		1,025,020
U.S. Airways pass-thru trust certificates:
6.85% 1/30/18	3,774,849		3,925,842
8.36% 1/20/19	8,143,218		8,550,379
			18,209,225
Industrial Conglomerates - 0.0%
General Electric Co. 5.25% 12/6/17	8,512,000		9,931,274
Transportation Infrastructure - 0.0%
BNSF Funding Trust I 6.613% 12/15/55 (e)	2,599,000		2,715,955
TOTAL INDUSTRIALS			95,122,345
INFORMATION TECHNOLOGY - 0.1%
Electronic Equipment & Components - 0.1%
Tyco Electronics Group SA:
5.95% 1/15/14	8,642,000		9,266,678
6% 10/1/12	5,409,000		5,501,802
6.55% 10/1/17	3,075,000		3,691,531
			18,460,011
Office Electronics - 0.0%
Xerox Corp.:
4.25% 2/15/15	1,037,000		1,101,029
4.5% 5/15/21	7,383,000		7,618,865
			8,719,894
TOTAL INFORMATION TECHNOLOGY			27,179,905
Nonconvertible Bonds - continued
	Principal Amount		Value
MATERIALS - 0.6%
Chemicals - 0.3%
Dow Chemical Co.:
4.125% 11/15/21	$ 19,768,000		$ 20,764,228
4.25% 11/15/20	10,672,000		11,357,025
5.25% 11/15/41	6,786,000		7,319,916
7.6% 5/15/14	27,938,000		31,222,447
			70,663,616
Construction Materials - 0.0%
CRH America, Inc. 6% 9/30/16	2,557,000		2,815,147
Metals & Mining - 0.3%
Anglo American Capital PLC 9.375% 4/8/14 (c)	9,430,000		10,705,643
ArcelorMittal SA 3.75% 3/1/16	1,843,000		1,833,842
Corporacion Nacional del Cobre de Chile (Codelco):
3.875% 11/3/21 (c)	22,911,000		23,916,793
6.375% 11/30/12 (c)	2,818,000		2,882,665
Vale Overseas Ltd.:
4.375% 1/11/22	22,000,000		22,007,722
6.25% 1/23/17	3,240,000		3,653,032
			64,999,697
TOTAL MATERIALS			138,478,460
TELECOMMUNICATION SERVICES - 1.2%
Diversified Telecommunication Services - 0.9%
AT&T, Inc.:
5.35% 9/1/40	8,247,000		9,322,145
5.55% 8/15/41	30,000,000		35,268,540
6.3% 1/15/38	40,737,000		50,544,555
6.8% 5/15/36	7,223,000		9,355,439
BellSouth Capital Funding Corp. 7.875% 2/15/30	3,658,000		4,731,971
CenturyLink, Inc.:
6.15% 9/15/19	7,618,000		7,994,695
6.45% 6/15/21	17,439,000		18,077,808
Deutsche Telekom International Financial BV 5.875% 8/20/13	4,299,000		4,543,789
Embarq Corp. 7.995% 6/1/36	7,935,000		8,147,864
Telefonica Emisiones SAU:
5.134% 4/27/20	1,471,000		1,300,832
5.462% 2/16/21	12,361,000		11,047,533
5.855% 2/4/13	1,120,000		1,124,947
6.421% 6/20/16	753,000		740,123
Nonconvertible Bonds - continued
	Principal Amount		Value
TELECOMMUNICATION SERVICES - continued
Diversified Telecommunication Services - continued
Verizon Communications, Inc.:
5.25% 4/15/13	$ 3,032,000		$ 3,151,358
6.1% 4/15/18	23,353,000		28,389,331
6.35% 4/1/19	7,155,000		8,964,414
6.9% 4/15/38	18,370,000		25,076,850
			227,782,194
Wireless Telecommunication Services - 0.3%
America Movil SAB de CV:
2.375% 9/8/16	29,726,000		30,005,989
3.625% 3/30/15	2,060,000		2,183,427
DIRECTV Holdings LLC/DIRECTV Financing, Inc.:
5.15% 3/15/42	8,464,000		8,454,233
5.875% 10/1/19	16,408,000		18,939,377
6.35% 3/15/40	5,301,000		6,082,129
Vodafone Group PLC 5% 12/16/13	3,204,000		3,402,924
			69,068,079
TOTAL TELECOMMUNICATION SERVICES			296,850,273
UTILITIES - 2.0%
Electric Utilities - 1.1%
Alabama Power Co. 3.375% 10/1/20	8,620,000		9,284,154
Ameren Illinois Co. 6.125% 11/15/17	289,000		339,407
AmerenUE 6.4% 6/15/17	5,870,000		7,111,429
Cleveland Electric Illuminating Co. 5.65% 12/15/13	10,449,000		11,098,865
Duke Capital LLC 5.668% 8/15/14	8,362,000		9,055,394
Duquesne Light Holdings, Inc.:
5.9% 12/1/21 (c)	14,630,000		16,353,414
6.4% 9/15/20 (c)	26,489,000		30,098,126
Edison International 3.75% 9/15/17	9,811,000		10,382,667
Enel Finance International SA 5.7% 1/15/13 (c)	581,000		590,332
FirstEnergy Corp. 7.375% 11/15/31	26,676,000		34,039,110
FirstEnergy Solutions Corp.:
4.8% 2/15/15	3,098,000		3,316,087
6.05% 8/15/21	14,527,000		16,240,881
Florida Power Corp. 5.65% 6/15/18	2,323,000		2,815,146
LG&E and KU Energy LLC:
2.125% 11/15/15	11,341,000		11,351,059
3.75% 11/15/20	2,232,000		2,327,219
Nonconvertible Bonds - continued
	Principal Amount		Value
UTILITIES - continued
Electric Utilities - continued
Nevada Power Co.:
6.5% 5/15/18	$ 15,159,000		$ 18,665,883
6.5% 8/1/18	1,094,000		1,355,430
Pacific Gas & Electric Co. 3.25% 9/15/21	3,308,000		3,495,352
Pennsylvania Electric Co. 6.05% 9/1/17	4,822,000		5,552,041
Pepco Holdings, Inc. 2.7% 10/1/15	10,408,000		10,709,301
Progress Energy, Inc. 4.4% 1/15/21	40,776,000		46,169,768
Public Service Co. of Colorado 6.25% 9/1/37	3,400,000		4,711,747
Sierra Pacific Power Co. 5.45% 9/1/13	2,177,000		2,292,725
Tampa Electric Co. 4.1% 6/15/42	4,219,000		4,207,356
			261,562,893
Gas Utilities - 0.0%
Southern Natural Gas Co. 5.9% 4/1/17 (c)	2,827,000		3,259,319
Southern Natural Gas Co. / Southern Natural Issuing Corp. 4.4% 6/15/21	6,702,000		7,196,581
			10,455,900
Independent Power Producers & Energy Traders - 0.1%
PPL Energy Supply LLC:
6.2% 5/15/16	2,207,000		2,506,364
6.3% 7/15/13	5,310,000		5,615,245
6.5% 5/1/18	6,905,000		7,996,487
PSEG Power LLC 2.75% 9/15/16	5,204,000		5,382,227
			21,500,323
Multi-Utilities - 0.8%
Consolidated Edison Co. of New York, Inc. 5.7% 6/15/40	5,881,000		7,619,488
Dominion Resources, Inc.:
2.7697% 9/30/66 (e)	33,906,000		30,158,370
7.5% 6/30/66 (e)	7,991,000		8,470,460
MidAmerican Energy Holdings, Co. 5.875% 10/1/12	3,690,000		3,752,047
National Grid PLC 6.3% 8/1/16	17,348,000		20,110,860
NiSource Finance Corp.:
4.45% 12/1/21	8,962,000		9,469,850
5.25% 9/15/17	590,000		660,069
5.4% 7/15/14	3,094,000		3,353,485
5.45% 9/15/20	1,330,000		1,512,864
5.8% 2/1/42	11,523,000		13,128,477
5.95% 6/15/41	21,763,000		25,265,167
6.4% 3/15/18	9,293,000		10,950,676
Nonconvertible Bonds - continued
	Principal Amount		Value
UTILITIES - continued
Multi-Utilities - continued
NiSource Finance Corp.: - continued
6.8% 1/15/19	$ 6,774,000		$ 8,185,031
Sempra Energy 2.3% 4/1/17	24,264,000		24,921,336
Wisconsin Energy Corp. 6.25% 5/15/67 (e)	13,102,000		13,429,550
			180,987,730
TOTAL UTILITIES			474,506,846
TOTAL NONCONVERTIBLE BONDS (Cost $4,363,536,316)		4,869,527,216
U.S. Government and Government Agency Obligations - 33.8%
U.S. Government Agency Obligations - 0.3%
Fannie Mae:
0.5% 7/2/15	10,372,000		10,347,035
5.375% 6/12/17	21,675,000		26,329,424
Freddie Mac 1.75% 9/10/15	38,164,000		39,558,589
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS			76,235,048
U.S. Treasury Inflation Protected Obligations - 1.9%
U.S. Treasury Inflation-Indexed Bonds:
2.125% 2/15/40	6,918,111		10,031,956
2.125% 2/15/41	255,157,932		371,943,222
2.5% 1/15/29	48,456,464		68,518,394
TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS			450,493,572
U.S. Treasury Obligations - 31.6%
U.S. Treasury Bonds:
3.125% 2/15/42	34,891,000		38,303,758
4.375% 5/15/41	791,207,000		1,079,008,546
U.S. Treasury Notes:
0.125% 12/31/13	42,978,000		42,885,683
0.25% 1/31/14	242,782,000		242,744,126
0.25% 9/15/14	44,111,000		44,066,183
0.375% 3/15/15	800,800,000		801,487,887
0.5% 8/15/14	224,959,000		225,978,289
U.S. Government and Government Agency Obligations - continued
	Principal Amount		Value
U.S. Treasury Obligations - continued
U.S. Treasury Notes: - continued
0.625% 7/15/14	$ 764,682,000		$ 769,998,834
0.75% 6/15/14	60,680,000		61,248,875
0.875% 11/30/16	23,685,000		23,986,605
0.875% 4/30/17	811,224,000		820,160,444
1% 3/31/17	133,206,000		135,495,545
1.125% 5/31/19	256,977,000		258,783,805
1.375% 11/30/15	5,000		5,158
1.875% 10/31/17	100,143,000		106,002,968
2% 2/15/22	1,356,476,000		1,412,642,243
2.375% 8/31/14	100,000,000		104,625,000
2.375% 2/28/15	205,375,000		216,670,625
2.625% 7/31/14	304,537,000		319,787,604
2.625% 12/31/14	587,750,000		622,463,691
3.125% 4/30/17	118,350,000		132,330,094
3.25% 3/31/17	119,160,000		133,784,983
TOTAL U.S. TREASURY OBLIGATIONS		7,592,460,946
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $7,640,511,497)		8,119,189,566
U.S. Government Agency - Mortgage Securities - 9.9%
Fannie Mae - 5.8%
2.066% 10/1/33 (e)	137,006		143,814
2.115% 10/1/35 (e)	166,229		173,074
2.15% 3/1/35 (e)	104,611		110,402
2.235% 2/1/33 (e)	127,265		133,603
2.239% 10/1/33 (e)	59,797		62,832
2.242% 12/1/34 (e)	117,407		123,125
2.257% 7/1/35 (e)	57,266		60,324
2.301% 7/1/34 (e)	83,506		88,543
2.303% 6/1/36 (e)	224,675		240,659
2.332% 3/1/35 (e)	68,980		72,687
2.424% 10/1/33 (e)	107,230		113,357
2.425% 3/1/35 (e)	17,343		17,960
2.434% 12/1/33 (e)	3,816,938		4,023,133
U.S. Government Agency - Mortgage Securities - continued
	Principal Amount		Value
Fannie Mae - continued
2.564% 11/1/36 (e)	$ 772,608		$ 827,897
2.601% 5/1/35 (e)	273,978		291,563
2.633% 7/1/37 (e)	568,698		609,395
2.678% 7/1/35 (e)	298,114		318,736
2.781% 9/1/36 (e)	1,169,258		1,252,932
3% 11/1/25 to 6/1/27	70,499,988		73,879,608
3% 6/1/27 (d)	39,900,000		41,783,005
3% 6/1/27 (d)	7,600,000		7,958,668
3.5% 12/1/40 to 3/1/42	12,552,538		13,298,533
3.5% 6/1/42 (d)	6,300,000		6,617,025
3.5% 6/1/42	16,000,000		16,805,142
4% 9/1/26 to 4/1/42	202,298,425		217,368,351
4% 10/1/41	10,782,968		11,590,070
4% 10/1/41	247,248		265,755
4% 6/1/42	1,000,000		1,065,318
4.5% 6/1/18 to 11/1/41	303,134,594		328,440,753
4.5% 6/13/42 (d)	17,000,000		18,240,125
4.5% 6/13/42 (d)	17,000,000		18,240,125
4.5% 6/13/42 (d)	36,300,000		38,948,031
5% 5/1/23 to 6/1/40	147,095,921		159,639,734
5.5% 9/1/17 to 3/1/40	178,038,492		195,002,531
6% 3/1/22 to 7/1/41	216,432,309		238,682,048
6.5% 4/1/13 to 1/1/36	690,757		746,596
7% 9/1/12 to 6/1/33	261,172		296,474
7.5% 8/1/13 to 8/1/29	256,512		296,309
8.5% 5/1/21 to 9/1/25	13,229		15,305
9.5% 2/1/25	1,116		1,186
10.5% 8/1/20	3,513		4,135
12.5% 12/1/13 to 4/1/15	1,268		1,373
TOTAL FANNIE MAE		1,397,850,236
Freddie Mac - 2.1%
2.188% 3/1/36 (e)	172,282		181,196
2.301% 4/1/35 (e)	1,107,424		1,175,270
2.374% 1/1/35 (e)	94,047		99,203
3.028% 11/1/35 (e)	335,322		353,033
3.135% 3/1/33 (e)	22,227		23,644
3.342% 10/1/35 (e)	318,285		341,062
3.5% 4/1/32 to 5/1/42	33,873,892		35,754,955
4% 6/1/24 to 4/1/42	45,892,486		48,831,581
U.S. Government Agency - Mortgage Securities - continued
	Principal Amount		Value
Freddie Mac - continued
4% 9/1/41	$ 2,799,963		$ 3,000,570
4% 6/1/42 (d)	64,000,000		67,940,378
4.5% 7/1/25 to 10/1/41	130,727,148		140,549,806
4.5% 6/1/42 (d)	700,000		747,673
5% 3/1/19 to 9/1/40	86,880,650		94,076,814
5.5% 9/1/34 to 5/1/40	86,894,706		94,330,694
6% 7/1/37 to 8/1/37	3,546,330		3,904,768
7.5% 6/1/12 to 1/1/33	74,915		86,754
8.5% 9/1/24 to 8/1/27	15,241		18,162
11.5% 10/1/15	541		577
TOTAL FREDDIE MAC			491,416,140
Ginnie Mae - 2.0%
3.5% 1/15/42 to 4/15/42	51,909,254		55,504,837
3.5% 6/1/42 (d)	43,000,000		45,926,399
4% 1/15/25 to 12/15/41	97,096,046		106,079,073
4% 7/15/41	30,127		33,130
4% 6/1/42 (d)	1,900,000		2,076,652
4% 6/1/42 (d)	36,700,000		40,072,029
4.5% 5/15/39 to 4/15/41	103,635,301		114,179,362
5% 3/15/39 to 9/15/41	81,980,596		91,063,951
5.5% 12/20/28 to 7/20/37	4,290,791		4,763,031
6% 6/15/36 to 9/20/38	13,442,190		15,081,978
7% 1/15/28 to 11/15/32	2,245,669		2,594,661
7.5% 3/15/28 to 10/15/28	3,983		4,632
8% 7/15/17 to 11/15/17	436,448		471,208
8.5% 10/15/21	11,709		13,532
11% 7/20/19 to 8/20/19	906		1,021
TOTAL GINNIE MAE			477,865,496
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $2,325,783,919)		2,367,131,872
Asset-Backed Securities - 2.0%
Accredited Mortgage Loan Trust Series 2005-1 Class M1, 0.7088% 4/25/35 (e)	934,480		493,253
ACE Securities Corp. Home Equity Loan Trust:
Series 2004-HE1 Class M2, 1.8888% 3/25/34 (e)	382,933		313,325
Asset-Backed Securities - continued
	Principal Amount		Value
ACE Securities Corp. Home Equity Loan Trust: - continued
Series 2005-HE2 Class M2, 0.6888% 4/25/35 (e)	$ 80,833		$ 78,513
Advanta Business Card Master Trust:
Series 2006-C1 Class C1, 0.6758% 10/20/14 (e)	549,000		5,490
Series 2007-D1 Class D, 1.5863% 1/22/13 (c)(e)	7,316,000		109,740
Airspeed Ltd. Series 2007-1A Class C1, 2.7388% 6/15/32 (c)(e)	4,136,835		2,130,470
Ally Auto Receivables Trust:
Series 2009-A:
Class A3, 2.33% 6/17/13 (c)	761,296		762,733
Class A4, 3% 10/15/15 (c)	9,105,000		9,213,268
Series 2010-5 Class A4, 1.75% 3/15/16	7,090,000		7,229,286
Series 2011-1 Class A4, 2.23% 3/15/16	31,910,000		32,878,759
Ally Master Owner Trust:
Series 2010-3 Class A, 2.88% 4/15/15 (c)	13,770,000		13,963,906
Series 2011-1 Class A2, 2.15% 1/15/16	14,883,000		15,146,928
Series 2011-3 Class A2, 1.81% 5/15/16	15,410,000		15,609,815
Series 2012-1 Class A2, 1.44% 2/15/17	23,330,000		23,429,677
AmeriCredit Automobile Receivables Trust Series 2011-1 Class A3, 1.39% 9/8/15	13,060,000		13,135,572
Ameriquest Mortgage Securities, Inc. pass-thru certificates:
Series 2003-10 Class M1, 0.9388% 12/25/33 (e)	66,168		50,578
Series 2004-R2 Class M3, 0.7888% 4/25/34 (e)	109,017		32,612
Series 2005-R2 Class M1, 0.6888% 4/25/35 (e)	1,743,000		1,539,433
Argent Securities, Inc. pass-thru certificates:
Series 2003-W7 Class A2, 1.0188% 3/25/34 (e)	40,480		28,945
Series 2004-W11 Class M2, 0.9388% 11/25/34 (e)	457,000		323,200
Series 2004-W7 Class M1, 0.7888% 5/25/34 (e)	1,310,000		938,368
Series 2006-W4 Class A2C, 0.3988% 5/25/36 (e)	1,073,600		255,179
Asset Backed Securities Corp. Home Equity Loan Trust:
Series 2004-HE2 Class M1, 1.0638% 4/25/34 (e)	2,050,381		1,576,461
Series 2006-HE2 Class M1, 0.6088% 3/25/36 (e)	79,341		747
Axon Financial Funding Ltd. Series 2007-1 Class A1, 1.0682% 4/4/17 (b)(c)(e)	6,174,000		1
Bank of America Auto Trust Series 2009-1A Class A4, 3.52% 6/15/16 (c)	21,835,920		22,066,088
Bear Stearns Asset Backed Securities I Trust Series 2005-HE2 Class M2, 1.3638% 2/25/35 (e)	1,257,000		734,357
BMW Vehicle Lease Trust:
Series 2010-1 Class A3, 0.82% 4/15/13	10,025,463		10,030,770
Series 2011-1 Class A4, 1.4% 8/20/14	20,280,000		20,379,319
Asset-Backed Securities - continued
	Principal Amount		Value
Capital One Multi-Asset Execution Trust Series 2008-A3 Class A3, 5.05% 2/15/16	$ 13,676,000		$ 14,190,271
Capital Trust Ltd. Series 2004-1 Class A2, 0.6898% 7/20/39 (c)(e)	70,637		55,803
Carmax Auto Owner Trust Series 2011-1 Class A3, 1.29% 9/15/15	15,090,000		15,173,485
Carrington Mortgage Loan Trust Series 2007-RFC1 Class A3, 0.3788% 12/25/36 (e)	1,471,000		532,087
Chase Issuance Trust Series 2007-A17 Class A, 5.12% 10/15/14	7,400,000		7,529,983
Chrysler Financial Auto Securitization Trust Series 2010-A Class A3, 0.91% 8/8/13	19,252,793		19,263,393
Citibank Credit Card Issuance Trust Series 2009-A5 Class A5, 2.25% 12/23/14	48,200,000		48,662,469
Countrywide Asset-Backed Certificates Trust Series 2007-4 Class A1A, 0.3588% 9/25/37 (e)	176,791		173,564
Countrywide Home Loan Trust Series 2006-13 Class N, 7% 8/25/37 (c)	1,245,451		0
Countrywide Home Loans, Inc.:
Series 2004-3 Class M4, 1.2088% 4/25/34 (e)	131,909		47,437
Series 2004-4 Class M2, 1.0338% 6/25/34 (e)	496,195		223,534
Series 2005-3 Class MV1, 0.6588% 8/25/35 (e)	12,340		12,271
Fannie Mae Series 2004-T5 Class AB3, 0.6889% 5/28/35 (e)	31,732		19,855
Fieldstone Mortgage Investment Corp. Series 2004-3 Class M5, 2.4138% 8/25/34 (e)	160,000		78,973
First Franklin Mortgage Loan Trust Series 2004-FF2 Class M3, 1.0638% 3/25/34 (e)	19,043		9,424
Ford Credit Auto Owner Trust:
Series 2009-D:
Class A3, 2.17% 10/15/13	952,623		955,050
Class A4, 2.98% 8/15/14	5,800,000		5,891,413
Series 2010-B Class A3, 0.98% 10/15/14	9,028,983		9,049,043
Ford Credit Floorplan Master Owner Trust Series 2010-5 Class A1, 1.5% 9/15/15	14,820,000		14,926,763
Fremont Home Loan Trust Series 2005-A:
Class M3, 0.9738% 1/25/35 (e)	801,000		247,925
Class M4, 1.2588% 1/25/35 (e)	296,000		44,380
GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 0.8469% 2/25/47 (c)(e)	2,392,000		837,200
GCO Slims Trust Series 2006-1A, 5.72% 3/1/22 (c)	1,052,345		1,010,251
GE Business Loan Trust:
Series 2003-1 Class A, 0.6688% 4/15/31 (c)(e)	171,495		160,911
Asset-Backed Securities - continued
	Principal Amount		Value
GE Business Loan Trust: - continued
Series 2006-2A:
Class A, 0.4188% 11/15/34 (c)(e)	$ 1,655,204		$ 1,435,528
Class B, 0.5188% 11/15/34 (c)(e)	598,415		412,565
Class C, 0.6188% 11/15/34 (c)(e)	992,604		563,909
Class D, 0.9888% 11/15/34 (c)(e)	377,332		115,851
GSAMP Trust Series 2004-AR1 Class B4, 3.621% 6/25/34 (c)(e)	384,545		119,707
Guggenheim Structured Real Estate Funding Ltd. Series 2006-3 Class C, 0.7888% 9/25/46 (c)(e)	1,162,731		1,100,874
Home Equity Asset Trust:
Series 2003-2 Class M1, 1.5588% 8/25/33 (e)	335,004		225,818
Series 2003-3 Class M1, 1.5288% 8/25/33 (e)	577,439		410,153
Series 2003-5 Class A2, 0.9388% 12/25/33 (e)	27,804		21,965
Series 2006-1 Class 2A3, 0.4638% 4/25/36 (e)	164,896		164,126
Honda Auto Receivables Owner Trust:
Series 2009-3 Class A3, 2.31% 5/15/13	360,189		360,547
Series 2011-1 Class A4, 1.8% 4/17/17	10,400,000		10,579,638
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.4288% 1/25/37 (e)	1,292,000		450,540
Hyundai Auto Receivables Trust Series 2009-A Class A3, 2.03% 8/15/13	760,535		761,705
John Deere Owner Trust Series 2011-A Class A4, 1.96% 4/16/18	8,830,000		9,013,371
JPMorgan Mortgage Acquisition Trust:
Series 2006-NC2 Class M2, 0.5388% 7/25/36 (e)	178,000		3,564
Series 2007-CH1 Class AV4, 0.3688% 11/25/36 (e)	1,255,000		1,141,811
Keycorp Student Loan Trust:
Series 1999-A Class A2, 0.8032% 12/27/29 (e)	470,736		418,275
Series 2006-A Class 2C, 1.6232% 3/27/42 (e)	2,867,000		135,525
Marriott Vacation Club Owner Trust Series 2006-2A:
Class B, 5.442% 10/20/28 (c)	13,276		13,414
Class C, 5.691% 10/20/28 (c)	5,923		5,962
Class D, 6.01% 10/20/28 (c)	70,874		71,103
MASTR Asset Backed Securities Trust Series 2007-HE1 Class M1, 0.5388% 5/25/37 (e)	641,000		8,410
Mercedes-Benz Auto Lease Trust Series 2011-1A Class A3 1.18% 11/15/13 (c)	38,910,000		38,999,629
Meritage Mortgage Loan Trust Series 2004-1 Class M1, 0.9888% 7/25/34 (e)	143,541		86,906
Merrill Lynch Mortgage Investors Trust:
Series 2003-OPT1 Class M1, 1.2138% 7/25/34 (e)	465,014		343,629
Series 2006-FM1 Class A2B, 0.3488% 4/25/37 (e)	1,359,726		1,035,512
Asset-Backed Securities - continued
	Principal Amount		Value
Merrill Lynch Mortgage Investors Trust: - continued
Series 2006-OPT1 Class A1A, 0.4988% 6/25/35 (e)	$ 2,452,234		$ 1,745,425
Morgan Stanley ABS Capital I Trust:
Series 2004-HE6 Class A2, 0.5788% 8/25/34 (e)	48,462		35,913
Series 2005-NC1 Class M1, 0.6788% 1/25/35 (e)	326,000		204,537
Series 2005-NC2 Class B1, 1.4088% 3/25/35 (e)	339,222		40,907
Series 2007-HE2 Class M1, 0.4888% 1/25/37 (e)	38,816		60
National Collegiate Student Loan Trust:
Series 2004-2 Class AIO, 9.75% 10/27/14 (g)	10,188,500		458,483
Series 2006-4 Class D, 1.3388% 5/25/32 (e)	2,193,000		2,218
Series 2007-2 Class AIO, 6.7% 7/25/12 (g)	29,457,235		260,131
New Century Home Equity Loan Trust Series 2005-4 Class M2, 0.7488% 9/25/35 (e)	1,164,000		496,954
Nissan Auto Receivables Owner Trust:
Series 2010-A Class A4, 1.31% 9/15/16	8,720,000		8,791,792
Series 2011-A Class A4, 1.94% 9/15/17	21,550,000		22,099,301
Nissan Master Owner Trust Receivables Series 2012-A Class A, 0.71% 5/15/17 (e)	20,000,000		19,999,740
Ocala Funding LLC:
Series 2005-1A Class A, 1.7398% 3/20/10 (b)(c)(e)	317,000		0
Series 2006-1A Class A, 1.6398% 3/20/11 (b)(c)(e)	962,000		0
Option One Mortgage Loan Trust:
Series 2007-5 Class 2A1, 0.3288% 5/25/37 (e)	3,042		3,034
Series 2007-6 Class 2A1, 0.2988% 7/25/37 (e)	39,807		39,203
Park Place Securities, Inc.:
Series 2004-WCW1:
Class M3, 1.4888% 9/25/34 (e)	435,000		183,792
Class M4, 1.6888% 9/25/34 (e)	558,000		117,765
Series 2005-WCH1 Class M4, 1.0688% 1/25/36 (e)	1,245,000		613,418
Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 1.0388% 4/25/33 (e)	4,173		3,441
Santander Drive Auto Receivables Trust Series 2012-2 Class A3, 1.22% 12/15/15	18,360,000		18,366,400
Saxon Asset Securities Trust Series 2004-1 Class M1, 1.0338% 3/25/35 (e)	1,072,015		785,724
Sierra Receivables Funding Co. Series 2007-1A Class A2, 0.3898% 3/20/19 (FGIC Insured) (c)(e)	390,497		381,426
SLM Private Credit Student Loan Trust Series 2004-A Class C, 1.4237% 6/15/33 (e)	1,043,000		386,189
Specialty Underwriting & Residential Finance Trust Series 2006-AB2 Class N1, 5.75% 6/25/37 (c)	571,164		0
Structured Asset Investment Loan Trust Series 2004-8 Class M5, 1.9638% 9/25/34 (e)	35,114		11,351
Asset-Backed Securities - continued
	Principal Amount		Value
SVO VOI Mortgage Corp. Series 2006-AA Class A, 5.28% 2/20/24 (c)	$ 458,659		$ 471,059
Terwin Mortgage Trust Series 2003-4HE Class A1, 1.0988% 9/25/34 (e)	115,176		83,688
Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 1.0292% 4/6/42 (c)(e)	2,360,563		29,507
WaMu Asset Holdings Corp. Series 2006-8 Class N1, 6.048% 10/25/46 (c)	749,203		0
Wells Fargo Home Equity Trust Series 2004-3 Class A, 4.5% 11/27/34 (c)	6,399		0
Whinstone Capital Management Ltd. Series 1A Class B3, 2.2657% 10/25/44 (c)(e)	1,459,789		846,677
TOTAL ASSET-BACKED SECURITIES (Cost $466,779,740)		476,010,450
Collateralized Mortgage Obligations - 0.3%
Private Sponsor - 0.3%
Bayview Commercial Asset Trust Series 2006-3A, Class IO, 3.9269% 10/25/36 (c)(e)(g)	18,237,442		723,707
BCAP LLC Trust sequential payer Series 2010-RR12 Class 3A5, 5% 8/26/37 (c)	7,765,243		7,754,878
Bear Stearns ALT-A Trust floater Series 2005-1 Class A1, 0.7988% 1/25/35 (e)	1,564,763		1,240,749
Cobalt CMBS Commercial Mortgage Trust Series 2007-C2 Class B, 5.617% 4/15/47 (e)	1,937,000		777,990
COMM pass-thru certificates floater Series 2001-J2A Class A2F, 0.7388% 7/16/34 (c)(e)	14,441		14,434
First Horizon Mortgage pass-thru Trust Series 2004-AR5 Class 2A1, 2.6312% 10/25/34 (e)	577,995		521,649
Granite Master Issuer PLC floater:
Series 2005-4 Class C2, 1.3398% 12/20/54 (e)	178,650		103,617
Series 2006-1A:
Class A5, 0.3798% 12/20/54 (c)(e)	25,253,987		24,084,728
Class C2, 1.4398% 12/20/54 (c)(e)	5,526,000		3,205,080
Series 2006-2 Class C1, 1.1798% 12/20/54 (e)	4,563,000		2,646,540
Series 2006-3 Class C2, 0.7398% 12/20/54 (e)	922,000		534,760
Series 2006-4:
Class B1, 0.4198% 12/20/54 (e)	3,812,000		3,202,080
Class C1, 0.9998% 12/20/54 (e)	2,331,000		1,351,980
Class M1, 0.5798% 12/20/54 (e)	1,006,000		749,470
Series 2007-1:
Class 1C1, 0.8398% 12/20/54 (e)	1,847,000		1,071,260
Collateralized Mortgage Obligations - continued
	Principal Amount		Value
Private Sponsor - continued
Granite Master Issuer PLC floater: - continued
Series 2007-1:
Class 1M1, 0.5398% 12/20/54 (e)	$ 1,238,000		$ 922,310
Class 2C1, 1.1998% 12/20/54 (e)	842,000		488,360
Class 2M1, 0.7398% 12/20/54 (e)	1,589,000		1,183,805
Series 2007-2 Class 2C1, 1.0988% 12/17/54 (e)	2,199,000		1,275,420
Granite Mortgages PLC floater Series 2003-3 Class 1C, 2.9157% 1/20/44 (e)	365,737		257,827
JPMorgan Chase Commercial Mortgage Securities Trust Series 2007-CB18 Class A3, 5.447% 6/12/47 (e)	2,829,840		2,940,971
JPMorgan Mortgage Trust sequential payer Series 2006-A5 Class 3A5, 5.7693% 8/25/36 (e)	991,735		747,288
LB-UBS Commercial Mortgage Trust sequential payer Series 2006-C6 Class A4, 5.372% 9/15/39	780,000		881,634
MASTR Adjustable Rate Mortgages Trust Series 2007-3 Class 22A2, 0.4488% 5/25/47 (e)	672,699		417,279
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.4088% 2/25/37 (e)	1,204,972		809,749
Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 0.5288% 7/25/35 (e)	1,635,594		1,288,743
RESI Finance LP/RESI Finance DE Corp. floater Series 2003-B:
Class B5, 2.5888% 7/10/35 (c)(e)	1,011,336		822,685
Class B6, 3.0888% 7/10/35 (c)(e)	944,778		757,774
Residential Funding Securities Corp. floater Series 2003-RP2 Class A1, 0.6888% 6/25/33 (c)(e)	215,935		202,609
Salomon Brothers Mortgage Securities VII, Inc. Series 2006-C2 Class H, 6.308% 7/18/33 (c)	245,000		84,095
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 1.668% 7/20/34 (e)	28,506		20,755
Structured Asset Securities Corp. Series 2003-15A Class 4A, 5.3146% 4/25/33 (e)	187,697		171,516
TBW Mortgage-Backed pass-thru certificates floater Series 2006-4 Class A3, 0.4388% 9/25/36 (e)	2,763,000		2,205,066
WaMu Mortgage pass-thru certificates Series 2005-AR14 Class 1A1, 2.4572% 12/25/35 (e)	839,590		824,312
TOTAL PRIVATE SPONSOR			64,285,120
U.S. Government Agency - 0.0%
Fannie Mae:
planned amortization class Series 2002-9 Class PC, 6% 3/25/17	123,306		132,510
Collateralized Mortgage Obligations - continued
	Principal Amount		Value
U.S. Government Agency - continued
Fannie Mae: - continued
sequential payer:
Series 2002-56 Class MC, 5.5% 9/25/17	$ 411,212		$ 439,836
Series 2004-86 Class KC, 4.5% 5/25/19	265,461		273,966
Freddie Mac planned amortization class:
Series 2356 Class GD, 6% 9/15/16	421,729		448,995
Series 2363 Class PF, 6% 9/15/16	548,989		580,987
Series 2425 Class JH, 6% 3/15/17	436,536		471,037
TOTAL U.S. GOVERNMENT AGENCY			2,347,331
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $48,192,345)		66,632,451
Commercial Mortgage Securities - 4.8%
Asset Securitization Corp. Series 1997-D5:
Class A3, 7.2034% 2/14/43 (e)	467,544		468,160
Class A6, 7.5234% 2/14/43 (e)	2,029,000		2,042,511
Class PS1, 1.4221% 2/14/43 (e)(g)	2,679,904		33,595
Banc of America Commercial Mortgage Trust:
sequential payer:
Series 2006-2 Class AAB, 5.9026% 5/10/45 (e)	1,556,302		1,642,052
Series 2006-5:
Class A2, 5.317% 9/10/47	6,771,346		6,776,295
Class A3, 5.39% 9/10/47	2,418,000		2,531,743
Series 2006-6 Class A3, 5.369% 10/10/45	3,468,000		3,698,834
Series 2007-4 Class A3, 5.9835% 2/10/51 (e)	1,729,000		1,801,808
Series 2006-6 Class E, 5.619% 10/10/45 (c)	1,002,000		78,852
Series 2007-3:
Class A3, 5.8366% 6/10/49 (e)	2,896,000		2,967,007
Class A4, 5.8366% 6/10/49 (e)	3,615,000		4,028,520
Banc of America Commercial Mortgage, Inc.:
sequential payer:
Series 2001-1 Class A4, 5.451% 1/15/49	3,797,000		4,258,529
Series 2004-2:
Class A3, 4.05% 11/10/38	211,597		213,406
Class A4, 4.153% 11/10/38	2,199,000		2,256,392
Series 2005-1 Class A3, 4.877% 11/10/42	653,182		652,661
Series 2001-3 Class H, 6.562% 4/11/37 (c)	969,000		967,519
Series 2001-PB1 Class K, 6.15% 5/11/35 (c)	306,890		306,751
Series 2005-3 Class A3B, 5.09% 7/10/43 (e)	5,387,000		5,628,682
Commercial Mortgage Securities - continued
	Principal Amount		Value
Banc of America Large Loan, Inc. floater:
2006-BIX1 Class J, 0.8188% 10/15/19 (c)(e)	$ 3,566,622		$ 2,781,965
Series 2005-MIB1:
Class C, 0.5488% 3/15/22 (c)(e)	745,000		730,174
Class D, 0.5988% 3/15/22 (c)(e)	754,000		733,340
Class E, 0.6388% 3/15/22 (c)(e)	623,000		605,306
Class F, 0.7088% 3/15/22 (c)(e)	502,000		486,990
Class G, 0.7688% 3/15/22 (c)(e)	5,066,000		4,762,542
Class H, 1.0188% 3/15/22 (c)(e)	8,850,000		8,187,126
Series 2006-BIX1:
Class D, 0.4488% 10/15/19 (c)(e)	754,726		739,631
Class E, 0.4788% 10/15/19 (c)(e)	1,261,000		1,204,255
Class F, 0.5488% 10/15/19 (c)(e)	2,713,000		2,577,350
Class G, 0.5688% 10/15/19 (c)(e)	3,234,000		3,039,960
Class H, 0.6088% 10/15/19 (c)(e)	6,167,000		5,488,630
Bayview Commercial Asset Trust:
floater:
Series 2003-2 Class M1, 1.0888% 12/25/33 (c)(e)	34,412		24,793
Series 2004-1:
Class A, 0.5988% 4/25/34 (c)(e)	934,398		771,105
Class B, 2.1388% 4/25/34 (c)(e)	102,202		59,582
Class M1, 0.7988% 4/25/34 (c)(e)	81,727		58,032
Class M2, 1.4388% 4/25/34 (c)(e)	75,654		53,095
Series 2005-2A:
Class A1, 0.5488% 8/25/35 (c)(e)	1,348,445		930,983
Class M1, 0.6688% 8/25/35 (c)(e)	63,575		32,748
Class M2, 0.7188% 8/25/35 (c)(e)	104,755		47,285
Class M3, 0.7388% 8/25/35 (c)(e)	58,157		22,856
Series 2005-3A:
Class A2, 0.6388% 11/25/35 (c)(e)	477,556		301,050
Class M2, 0.7288% 11/25/35 (c)(e)	47,132		25,571
Class M3, 0.7488% 11/25/35 (c)(e)	42,458		22,067
Class M4, 0.8388% 11/25/35 (c)(e)	52,586		25,050
Series 2005-4A:
Class A2, 0.6288% 1/25/36 (c)(e)	1,055,687		732,677
Class B1, 1.6388% 1/25/36 (c)(e)	61,520		8,558
Class M1, 0.6888% 1/25/36 (c)(e)	340,412		148,863
Class M2, 0.7088% 1/25/36 (c)(e)	68,903		26,980
Class M3, 0.7388% 1/25/36 (c)(e)	149,289		52,684
Class M4, 0.8488% 1/25/36 (c)(e)	55,778		17,369
Class M5, 0.8888% 1/25/36 (c)(e)	55,778		15,037
Class M6, 0.9388% 1/25/36 (c)(e)	59,059		10,848
Series 2006-1 Class A2, 0.5988% 4/25/36 (c)(e)	165,405		106,702
Commercial Mortgage Securities - continued
	Principal Amount		Value
Bayview Commercial Asset Trust: - continued
floater:
Series 2006-2A:
Class A1, 0.4688% 7/25/36 (c)(e)	$ 3,172,048		$ 2,141,043
Class A2, 0.5188% 7/25/36 (c)(e)	146,111		97,087
Class B3, 2.9388% 7/25/36 (c)(e)	45,755		1,617
Class M1, 0.5488% 7/25/36 (c)(e)	153,326		62,249
Class M2, 0.5688% 7/25/36 (c)(e)	73,055		26,017
Class M3, 0.5888% 7/25/36 (c)(e)	60,880		18,942
Class M5, 0.7088% 7/25/36 (c)(e)	50,507		8,963
Class M6, 0.7788% 7/25/36 (c)(e)	75,310		9,622
Series 2006-3A:
Class B1, 1.0388% 10/25/36 (c)(e)	29,294		341
Class M4, 0.6688% 10/25/36 (c)(e)	81,033		6,865
Class M5, 0.7188% 10/25/36 (c)(e)	96,888		5,685
Class M6, 0.7988% 10/25/36 (c)(e)	281,007		9,060
Series 2006-4A:
Class A1, 0.4688% 12/25/36 (c)(e)	632,600		409,515
Class A2, 0.5088% 12/25/36 (c)(e)	3,341,946		1,476,211
Class B1, 0.9388% 12/25/36 (c)(e)	17,410		679
Class B2, 1.4888% 12/25/36 (c)(e)	6,334		175
Class M1, 0.5288% 12/25/36 (c)(e)	153,786		42,408
Class M2, 0.5488% 12/25/36 (c)(e)	102,137		19,986
Class M3, 0.5788% 12/25/36 (c)(e)	103,878		13,951
Class M4, 0.6388% 12/25/36 (c)(e)	124,189		14,454
Class M5, 0.6788% 12/25/36 (c)(e)	114,323		10,712
Class M6, 0.7588% 12/25/36 (c)(e)	102,137		6,642
Series 2007-1 Class A2, 0.5088% 3/25/37 (c)(e)	702,209		350,891
Series 2007-2A:
Class A1, 0.5088% 7/25/37 (c)(e)	1,396,925		750,911
Class A2, 0.5588% 7/25/37 (c)(e)	1,308,706		436,976
Class B1, 1.8388% 7/25/37 (c)(e)	339,774		10,579
Class M1, 0.6088% 7/25/37 (c)(e)	400,996		55,988
Class M2, 0.6488% 7/25/37 (c)(e)	209,247		17,568
Class M3, 0.7288% 7/25/37 (c)(e)	211,434		15,034
Class M4, 0.8888% 7/25/37 (c)(e)	440,367		28,196
Class M5, 0.9888% 7/25/37 (c)(e)	389,331		20,541
Class M6, 1.2388% 7/25/37 (c)(e)	494,319		20,710
Series 2007-3:
Class A2, 0.5288% 7/25/37 (c)(e)	633,680		297,790
Class B1, 1.1888% 7/25/37 (c)(e)	284,697		20,917
Class B2, 1.8388% 7/25/37 (c)(e)	817,355		28,785
Class B3, 4.2388% 7/25/37 (c)(e)	15,118		166
Class M1, 0.5488% 7/25/37 (c)(e)	251,980		64,511
Commercial Mortgage Securities - continued
	Principal Amount		Value
Bayview Commercial Asset Trust: - continued
floater:
Series 2007-3:
Class M2, 0.5788% 7/25/37 (c)(e)	$ 268,625		$ 49,776
Class M3, 0.6088% 7/25/37 (c)(e)	433,359		61,052
Class M4, 0.7388% 7/25/37 (c)(e)	760,530		93,322
Class M5, 0.8388% 7/25/37 (c)(e)	346,113		37,699
Class M6, 1.0388% 7/25/37 (c)(e)	262,885		24,578
Series 2007-4A:
Class B1, 2.7888% 9/25/37 (c)(e)	59,973		2,419
Class M1, 1.1888% 9/25/37 (c)(e)	197,743		14,490
Class M2, 1.2888% 9/25/37 (c)(e)	197,743		10,777
Class M4, 1.8388% 9/25/37 (c)(e)	635,940		25,791
Class M5, 1.9888% 9/25/37 (c)(e)	635,940		19,572
Class M6, 2.1888% 9/25/37 (c)(e)	639,104		12,214
Series 2004-1, Class IO, 1.25% 4/25/34 (c)(g)	3,137,835		118,296
Series 2007-5A, Class IO, 4.1484% 10/25/37 (c)(e)(g)	7,801,532		713,403
Bear Stearns Commercial Mortgage Securities Trust:
floater:
Series 2006-BBA7:
Class H, 0.8888% 3/15/19 (c)(e)	333,272		319,223
Class J, 1.0888% 3/15/19 (c)(e)	332,000		301,820
Series 2007-BBA8:
Class D, 0.4888% 3/15/22 (c)(e)	554,000		501,105
Class E, 0.5388% 3/15/22 (c)(e)	2,884,000		2,550,959
Class F, 0.5888% 3/15/22 (c)(e)	1,770,000		1,530,202
Class G, 0.6388% 3/15/22 (c)(e)	364,000		307,406
Class H, 0.7888% 3/15/22 (c)(e)	554,000		434,625
Class J, 0.9388% 3/15/22 (c)(e)	554,000		418,005
sequential payer:
Series 2004-PWR3 Class A3, 4.487% 2/11/41	453,410		458,906
Series 2007-PW15 Class A4, 5.331% 2/11/44	10,000,000		10,735,120
Series 2007-PW16 Class A4, 5.9046% 6/11/40 (e)	2,484,000		2,809,809
Series 2007-PW18:
Class A2, 5.613% 6/11/50	508,432		523,192
Class A4, 5.7% 6/11/50	20,000,000		22,868,240
Series 2006-PW13 Class A3, 5.518% 9/11/41	6,120,000		6,391,563
Series 2006-PW14 Class X2, 0.8632% 12/11/38 (c)(e)(g)	18,258,424		183,714
Series 2006-T22 Class A4, 5.7138% 4/12/38 (e)	217,000		245,117
Series 2006-T24 Class X2, 0.6233% 10/12/41 (c)(e)(g)	2,989,223		18,240
Commercial Mortgage Securities - continued
	Principal Amount		Value
Bear Stearns Commercial Mortgage Securities Trust: - continued
Series 2007-PW18 Class X2, 0.4794% 6/11/50 (c)(e)(g)	$ 122,045,910		$ 1,252,557
Series 2007-T28 Class X2, 0.3209% 9/11/42 (c)(e)(g)	65,663,656		389,320
C-BASS Trust floater Series 2006-SC1 Class A, 0.5088% 5/25/36 (c)(e)	584,859		489,140
CDC Commercial Mortgage Trust Series 2002-FX1:
Class G, 6.625% 5/15/35 (c)	2,037,000		2,099,448
Class XCL, 1.3344% 5/15/35 (c)(e)(g)	7,073,920		151,127
Citigroup Commercial Mortgage Trust:
floater Series 2006-FL2:
Class G, 0.5698% 8/15/21 (c)(e)	168,660		162,398
Class H, 0.6098% 8/15/21 (c)(e)	368,000		343,479
Series 2007-C6 Class A2, 5.8852% 12/10/49 (e)	1,980,685		1,979,839
Series 2007-FL3A Class A2, 0.3788% 4/15/22 (c)(e)	794,571		755,951
Series 2008-C7 Class A2B, 6.2761% 12/10/49 (e)	1,558,664		1,584,461
Citigroup/Deutsche Bank Commercial Mortgage Trust:
sequential payer:
Series 2006-CD3 Class A3, 5.607% 10/15/48	1,905,591		1,913,383
Series 2007-CD4 Class A4, 5.322% 12/11/49	37,721,000		41,436,858
Series 2007-CD4:
Class A3, 5.293% 12/11/49	1,688,000		1,780,573
Class C, 5.476% 12/11/49	3,265,000		718,545
Cobalt CMBS Commercial Mortgage Trust:
sequential payer Series 2007-C3 Class A3, 6.0104% 5/15/46 (e)	1,734,000		1,847,539
Series 2006-C1 Class B, 5.359% 8/15/48	5,202,000		364,140
COMM pass-thru certificates:
floater:
Series 2005-F10A:
Class G, 0.7888% 4/15/17 (c)(e)	55,348		54,072
Class H, 0.8588% 4/15/17 (c)(e)	140,000		124,600
Class J, 1.0888% 4/15/17 (c)(e)	108,000		79,920
Series 2005-FL11:
Class C, 0.5388% 11/15/17 (c)(e)	1,065,225		1,011,153
Class D, 0.5788% 11/15/17 (c)(e)	55,416		51,495
Class E, 0.6288% 11/15/17 (c)(e)	196,500		180,631
Class F, 0.6888% 11/15/17 (c)(e)	122,077		111,302
Class G, 0.7388% 11/15/17 (c)(e)	84,865		76,738
Series 2006-CN2A:
Class A2FL, 0.4588% 2/5/19 (c)(e)	4,120,000		3,893,124
Commercial Mortgage Securities - continued
	Principal Amount		Value
COMM pass-thru certificates: - continued
floater:
Series 2006:
Class AJFL, 0.4988% 2/5/19 (e)	$ 1,890,000		$ 1,828,688
Series 2006-FL12 Class AJ, 0.3688% 12/15/20 (c)(e)	2,471,000		2,236,930
sequential payer:
Series 2006-C8 Class A3, 5.31% 12/10/46	4,941,000		5,062,129
Series 2006-CN2A:
Class A2FX, 5.449% 2/5/19 (c)	3,071,000		2,981,130
Class AJFX, 5.478% 2/5/19 (c)	8,710,000		8,636,914
Series 2006-C8 Class XP, 0.6588% 12/10/46 (e)(g)	14,640,607		107,901
Commercial Mortgage pass-thru certificates:
sequential payer Series 2005-C6 Class A2, 4.999% 6/10/44 (e)	1,304		1,303
Series 2004-LB4A Class A5, 4.84% 10/15/37	20,000,000		20,906,940
Credit Suisse Commercial Mortgage Trust:
sequential payer:
Series 2007-C2:
Class A2, 5.448% 1/15/49 (e)	3,479,968		3,513,170
Class A3, 5.542% 1/15/49 (e)	3,468,000		3,716,201
Series 2007-C3 Class A4, 5.8672% 6/15/39 (e)	51,983,000		55,364,130
Series 2006-C4 Class AAB, 5.439% 9/15/39	5,340,222		5,408,032
Series 2006-C5 Class ASP, 0.8651% 12/15/39 (e)(g)	9,786,016		98,623
Series 2007-C5 Class A4, 5.695% 9/15/40 (e)	19,378,000		20,526,980
Credit Suisse First Boston Mortgage Capital Certificates floater Series 2007-TF2A Class B, 0.5888% 4/15/22 (c)(e)	6,186,000		4,665,599
Credit Suisse First Boston Mortgage Securities Corp.:
sequential payer Series 2004-C1:
Class A3, 4.321% 1/15/37	2,964		2,961
Class A4, 4.75% 1/15/37	807,000		841,937
Series 2001-CK6 Class AX, 1.2267% 8/15/36 (e)(g)	554,825		1,296
Series 2001-CKN5 Class AX, 1.9496% 9/15/34 (c)(e)(g)	2,369,484		3,405
Series 2006-C1 Class A3, 5.5958% 2/15/39 (e)	6,279,578		6,648,993
Credit Suisse Mortgage Capital Certificates:
floater Series 2007-TFL1:
Class B, 0.3888% 2/15/22 (c)(e)	656,000		603,520
Class C:
0.4088% 2/15/22 (c)(e)	1,521,000		1,384,110
0.5088% 2/15/22 (c)(e)	543,000		483,270
Class F, 0.5588% 2/15/22 (c)(e)	1,086,000		944,820
Series 2007-C1:
Class ASP, 0.5749% 2/15/40 (e)(g)	25,153,711		170,341
Commercial Mortgage Securities - continued
	Principal Amount		Value
Credit Suisse Mortgage Capital Certificates: - continued
Series 2007-C1:
Class B, 5.487% 2/15/40 (c)(e)	$ 2,651,000		$ 444,668
First Union National Bank-Bank of America Commercial Mortgage Trust Series 2001-C1 Class G, 6.936% 3/15/33 (c)	1,141,000		1,150,861
GE Capital Commercial Mortgage Corp.:
sequential payer Series 2007-C1 Class A4, 5.543% 12/10/49	56,230,705		61,354,672
Series 2001-1 Class X1, 1.7136% 5/15/33 (c)(e)(g)	1,739,280		15,780
Series 2007-C1 Class XP, 0.3359% 12/10/49 (e)(g)	22,072,917		85,952
GMAC Commercial Mortgage Securities, Inc. Series 2005-C1 Class X2, 0.7319% 5/10/43 (e)(g)	6,012,669		60
Greenwich Capital Commercial Funding Corp.:
floater Series 2006-FL4 Class B, 0.4288% 11/5/21 (c)(e)	652,000		612,040
sequential payer:
Series 2007-GG11 Class A2, 5.597% 12/10/49	3,468,000		3,562,527
Series 2007-GG9 Class A4, 5.444% 3/10/39	16,142,000		17,604,465
Series 2006-GG7 Class A3, 6.0811% 7/10/38 (e)	1,477,144		1,476,321
Series 2007-GG11 Class A1, 0.4392% 12/10/49 (c)(e)(g)	32,994,774		198,101
GS Mortgage Securities Corp. II:
floater:
Series 2006-FL8A:
Class E, 0.6088% 6/6/20 (c)(e)	393,042		385,962
Class F, 0.6788% 6/6/20 (c)(e)	681,000		657,305
Series 2007-EOP:
Class C, 2.0056% 3/6/20 (c)(e)	1,781,000		1,760,818
Class D, 2.2018% 3/6/20 (c)(e)	7,692,000		7,604,180
Class F, 2.6334% 3/6/20 (c)(e)	146,000		144,356
Class G, 2.7903% 3/6/20 (c)(e)	74,000		73,136
Class H, 3.3004% 3/6/20 (c)(e)	446,000		441,908
Class J, 4.0852% 3/6/20 (c)(e)	639,000		636,169
sequential payer:
Series 2004-GG2 Class A4, 4.964% 8/10/38	375,784		379,126
Series 2005-GG4 Class A3, 4.607% 7/10/39	4,960,464		4,957,820
Series 2005-GG4 Class XP, 0.8966% 7/10/39 (c)(e)(g)	26,387,173		264
Series 2006-GG6:
Class A2, 5.506% 4/10/38	4,990,655		4,995,601
Class A3, 5.7535% 4/10/38 (e)	20,000,000		21,180,060
GS Mortgage Securities Trust sequential payer:
Series 2006-GG8 Class A2, 5.479% 11/10/39	3,013,825		3,023,177
Commercial Mortgage Securities - continued
	Principal Amount		Value
GS Mortgage Securities Trust sequential payer: - continued
Series 2007-GG10 Class A2, 5.778% 8/10/45	$ 394,337		$ 399,714
JPMorgan Chase Commercial Mortgage Securities Trust:
floater Series 2006-FLA2:
Class B, 0.4088% 11/15/18 (c)(e)	865,503		842,784
Class C, 0.4488% 11/15/18 (c)(e)	614,706		597,225
Class D, 0.4688% 11/15/18 (c)(e)	136,515		132,283
Class E, 0.5188% 11/15/18 (c)(e)	249,627		236,209
Class F, 0.5688% 11/15/18 (c)(e)	374,050		336,645
Class G, 0.5988% 11/15/18 (c)(e)	325,295		269,995
Class H, 0.7388% 11/15/18 (c)(e)	249,683		202,243
sequential payer:
Series 2006-CB14 Class A3B, 5.674% 12/12/44 (e)	4,261,003		4,366,897
Series 2006-LDP9:
Class A2, 5.134% 5/15/47 (e)	581,938		598,079
Class A3, 5.336% 5/15/47	10,293,000		11,171,878
Series 2007-CB18 Class A4, 5.44% 6/12/47	10,100,000		11,209,051
Series 2007-CB19 Class A4, 5.9254% 2/12/49 (e)	16,081,000		18,057,281
Series 2007-LD11:
Class A2, 5.9877% 6/15/49 (e)	4,320,180		4,334,760
Class A4, 6.0027% 6/15/49 (e)	60,756,000		65,601,352
Series 2007-LDPX:
Class A2 S, 5.305% 1/15/49	2,768,788		2,791,177
Class A3, 5.42% 1/15/49	17,230,000		18,932,738
Series 2005-CB13 Class E, 5.5314% 1/12/43 (c)(e)	877,000		28,004
Series 2006-CB17 Class A3, 5.45% 12/12/43	455,032		460,094
Series 2007-CB19:
Class B, 5.9254% 2/12/49 (e)	148,000		44,433
Class C, 5.9254% 2/12/49 (e)	388,000		73,766
Class D, 5.9254% 2/12/49 (e)	407,000		61,083
Series 2007-LDP10:
Class BS, 5.437% 1/15/49 (e)	331,000		84,963
Class CS, 5.466% 1/15/49 (e)	143,000		17,544
Class ES, 5.7393% 1/15/49 (c)(e)	896,000		49,632
LB Commercial Conduit Mortgage Trust sequential payer Series 2007-C3 Class A4, 6.1105% 7/15/44 (e)	1,403,000		1,603,709
LB-UBS Commercial Mortgage Trust:
sequential payer:
Series 2006-C1 Class A2, 5.084% 2/15/31	235,031		236,267
Series 2006-C6 Class A2, 5.262% 9/15/39 (e)	95,608		95,668
Commercial Mortgage Securities - continued
	Principal Amount		Value
LB-UBS Commercial Mortgage Trust: - continued
sequential payer:
Series 2006-C7:
Class A2, 5.3% 11/15/38	$ 1,012,161		$ 1,018,409
Class A3, 5.347% 11/15/38	3,172,000		3,549,579
Series 2007-C1 Class A4, 5.424% 2/15/40	20,427,000		22,955,679
Series 2007-C2 Class A3, 5.43% 2/15/40	4,646,000		5,084,982
Series 2005-C3 Class XCP, 0.9022% 7/15/40 (e)(g)	3,944,883		990
Series 2006-C6 Class XCP, 0.8617% 9/15/39 (e)(g)	7,393,961		65,126
Series 2007-C1 Class XCP, 0.6211% 2/15/40 (e)(g)	2,764,381		20,036
Series 2007-C6 Class A4, 5.858% 7/15/40 (e)	3,957,000		4,484,725
Series 2007-C7:
Class A3, 5.866% 9/15/45	26,850,000		30,271,146
Class XCP, 0.4289% 9/15/45 (e)(g)	111,343,996		819,269
Lehman Brothers Floating Rate Commercial Mortgage Trust floater Series 2006-LLFA:
Class D, 0.4688% 9/15/21 (c)(e)	555,142		506,158
Class E, 0.5288% 9/15/21 (c)(e)	2,003,583		1,766,685
Class F, 0.5788% 9/15/21 (c)(e)	4,709,782		4,011,618
Class G, 0.5988% 9/15/21 (c)(e)	8,942,386		7,348,522
Class H, 0.6388% 9/15/21 (c)(e)	492,207		384,789
Lehman Large Loan Trust Series 1997-LLI Class E, 7.3% 10/12/34	3,078,000		3,081,118
Merrill Lynch Mortgage Trust:
sequential payer Series 2005-MKB2 Class A2, 4.806% 9/12/42	1,216,319		1,214,739
Series 2005-CKI1 Class A3, 5.3909% 11/12/37 (e)	981,539		984,462
Series 2005-LC1 Class F, 5.5591% 1/12/44 (c)(e)	1,509,000		841,865
Series 2006-C1 Class A2, 5.803% 5/12/39 (e)	1,600,898		1,637,128
Series 2007-C1:
Class A3, 6.0324% 6/12/50 (e)	7,212,000		7,428,187
Class A4, 6.0324% 6/12/50 (e)	6,564,000		7,253,857
Series 2008-C1 Class A4, 5.69% 2/12/51	3,701,000		4,194,558
Merrill Lynch-CFC Commercial Mortgage Trust:
floater Series 2006-4 Class A2FL, 0.3603% 12/12/49 (e)	175,997		175,520
sequential payer:
Series 2006-1 Class A3, 5.6555% 2/12/39 (e)	1,845,000		1,856,898
Series 2006-4 Class ASB, 5.133% 12/12/49 (e)	1,344,677		1,407,471
Series 2007-5:
Class A3, 5.364% 8/12/48	676,000		693,093
Class A4, 5.378% 8/12/48	44,314,000		47,300,675
Class B, 5.479% 8/12/48	5,202,000		1,184,870
Commercial Mortgage Securities - continued
	Principal Amount		Value
Merrill Lynch-CFC Commercial Mortgage Trust: - continued
sequential payer:
Series 2007-6:
Class A2, 5.331% 3/12/51	$ 10,013,550		$ 10,247,006
Class A4, 5.485% 3/12/51 (e)	24,350,000		26,172,695
Series 2007-7 Class A4, 5.81% 6/12/50 (e)	6,069,000		6,525,013
Series 2007-9:
Class A2, 5.59% 9/12/49	5,906,097		5,913,101
Class A4, 5.7% 9/12/49	185,000		201,137
Class ASB, 5.644% 9/12/49	12,500,000		13,130,875
Series 2006-3 Class ASB, 5.382% 7/12/46 (e)	6,362,782		6,612,826
Series 2006-4 Class XP, 0.8105% 12/12/49 (e)(g)	25,194,740		377,064
Series 2007-6 Class B, 5.635% 3/12/51 (e)	1,734,000		488,659
Series 2007-7 Class B, 5.936% 6/12/50 (e)	1,295,000		81,007
Series 2007-8 Class A3, 6.1649% 8/12/49 (e)	1,496,000		1,643,604
Morgan Stanley Capital I Trust:
floater:
Series 2006-XLF Class C, 1.439% 7/15/19 (c)(e)	291,739		169,209
Series 2007-XLFA:
Class C, 0.399% 10/15/20 (c)(e)	6,487,000		5,838,300
Class D, 0.429% 10/15/20 (c)(e)	4,105,000		3,571,350
Class E, 0.489% 10/15/20 (c)(e)	8,181,000		6,790,230
Class F, 0.539% 10/15/20 (c)(e)	9,173,000		6,971,480
Class G, 0.579% 10/15/20 (c)(e)	505,000		363,600
Class H, 0.669% 10/15/20 (c)(e)	318,000		213,060
Class J, 0.819% 10/15/20 (c)(e)	186,032		78,391
sequential payer:
Series 2005-IQ9 Class A3, 4.54% 7/15/56	1,716,789		1,736,247
Series 2007-HQ11 Class A31, 5.439% 2/12/44 (e)	7,959,000		8,367,830
Series 2006-HQ10 Class X2, 0.691% 11/12/41 (c)(e)(g)	7,693,875		19,466
Series 2006-HQ8 Class A3, 5.653% 3/12/44 (e)	573,040		572,457
Series 2006-IQ11:
Class A3, 5.8615% 10/15/42 (e)	1,070,177		1,100,512
Class A4, 5.8975% 10/15/42 (e)	520,000		585,190
Series 2006-T23 Class A3, 5.9838% 8/12/41 (e)	885,000		905,357
Series 2007-IQ14:
Class A4, 5.692% 4/15/49 (e)	2,601,000		2,825,856
Class AAB, 5.654% 4/15/49	4,937,457		5,277,584
Class B, 5.9075% 4/15/49 (e)	426,000		117,589
Providence Place Group Ltd. Partnership sequential payer Series 2000-C1 Class A1, 7.75% 7/20/16 (c)	2,834,329		2,934,380
Commercial Mortgage Securities - continued
	Principal Amount		Value
Structured Asset Securities Corp. Series 1997-LLI Class D, 7.15% 10/12/34	$ 62,776		$ 62,848
Wachovia Bank Commercial Mortgage Trust:
floater:
Series 2006-WL7A:
Class E, 0.5198% 9/15/21 (c)(e)	1,481,000		1,174,803
Class F, 0.5798% 9/15/21 (c)(e)	1,532,000		1,169,299
Class G, 0.5998% 9/15/21 (c)(e)	1,452,000		1,061,049
Class J, 0.8398% 9/15/21 (c)(e)	323,000		148,822
Series 2007-WHL8:
Class F, 0.7188% 6/15/20 (c)(e)	3,844,000		2,806,120
Class LXR1, 0.9388% 6/15/20 (c)(e)	212,473		169,979
sequential payer:
Series 2003-C7 Class A1, 4.241% 10/15/35 (c)	1,373,609		1,383,417
Series 2003-C8 Class A3, 4.445% 11/15/35	6,123,933		6,166,843
Series 2006-C29 Class A3, 5.313% 11/15/48	4,606,000		4,723,735
Series 2007-C30:
Class A3, 5.246% 12/15/43	554,879		555,058
Class A4, 5.305% 12/15/43	510,000		541,958
Class A5, 5.342% 12/15/43	40,290,000		42,715,579
Series 2007-C31 Class A4, 5.509% 4/15/47	55,116,176		59,306,714
Series 2007-C32:
Class A2, 5.9223% 6/15/49 (e)	1,739,684		1,752,940
Class A3, 5.9273% 6/15/49 (e)	28,312,000		30,050,895
Series 2003-C6 Class G, 5.125% 8/15/35 (c)(e)	824,000		819,087
Series 2005-C19 Class B, 4.892% 5/15/44	1,734,000		1,573,598
Series 2005-C22:
Class B, 5.5332% 12/15/44 (e)	3,845,000		2,623,444
Class F, 5.5332% 12/15/44 (c)(e)	2,892,000		725,314
Series 2007-C30:
Class C, 5.483% 12/15/43 (e)	5,202,000		1,592,395
Class D, 5.513% 12/15/43 (e)	2,774,000		637,435
Class XP, 0.6679% 12/15/43 (c)(e)(g)	15,007,832		130,253
Series 2007-C31 Class C, 5.8735% 4/15/47 (e)	4,147,000		878,749
Series 2007-C31A Class A2, 5.421% 4/15/47	12,132,906		12,518,077
Series 2007-C32:
Class D, 5.9273% 6/15/49 (e)	1,303,000		340,995
Class E, 5.9273% 6/15/49 (e)	2,054,000		481,973
Commercial Mortgage Securities - continued
	Principal Amount		Value
Wachovia Bank Commercial Mortgage Trust pass-thru certificates sequential payer Series 2007-C33:
Class A4, 6.0975% 2/15/51 (e)	$ 45,972,848		$ 51,103,372
Class A5, 6.0975% 2/15/51 (e)	12,818,000		14,220,174
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $977,923,592)		1,140,847,016
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 (e)	5,700,000		5,885,820
California Gen. Oblig.:
5.25% 4/1/14	9,500,000		10,221,715
7.5% 4/1/34	18,570,000		23,373,688
7.55% 4/1/39	5,275,000		6,812,241
7.6% 11/1/40	14,980,000		19,564,030
7.625% 3/1/40	8,000,000		10,385,920
Illinois Gen. Oblig.:
Series 2010, 4.421% 1/1/15	9,780,000		10,312,619
Series 2011, 5.877% 3/1/19	4,650,000		5,193,957
TOTAL MUNICIPAL SECURITIES (Cost $86,880,058)		91,749,990
Foreign Government and Government Agency Obligations - 0.2%
Russian Federation:
4.5% 4/4/22 (c)	10,600,000		10,759,000
5.625% 4/4/42 (c)	15,600,000		15,873,000
United Mexican States 4.75% 3/8/44	27,584,000		27,859,840
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $52,928,145)		54,491,840
Bank Notes - 0.0%
Wachovia Bank NA 6% 11/15/17 (Cost $6,850,228)	6,320,000		7,295,922

Fixed-Income Funds - 27.2%
	Shares		Value
Fidelity Mortgage Backed Securities Central Fund (f)	57,845,256		$ 6,316,701,973
Fidelity Specialized High Income Central Fund (f)	2,057,791		209,874,060
TOTAL FIXED-INCOME FUNDS (Cost $6,195,119,810)		6,526,576,033
Money Market Funds - 6.0%
Fidelity Cash Central Fund, 0.17% (a) (Cost $1,450,893,680)	1,450,893,680		1,450,893,680
TOTAL INVESTMENT PORTFOLIO - 104.9% (Cost $23,615,399,330)		25,170,346,036
NET OTHER ASSETS (LIABILITIES) - (4.9)%		(1,165,341,122)
NET ASSETS - 100%		$ 24,005,004,914
TBA Sale Commitments
	Principal Amount
Fannie Mae
3.5% 6/1/42	$ (1,000,000)		(1,050,321)
3.5% 6/1/42	(2,000,000)		(2,100,643)
3.5% 6/1/42	(17,000,000)		(17,855,464)
3.5% 6/1/42	(10,000,000)		(10,503,214)
4% 6/1/42	(16,000,000)		(17,045,094)
4.5% 6/13/42	(37,000,000)		(39,699,094)
4.5% 6/13/42	(17,000,000)		(18,240,125)
TOTAL TBA SALE COMMITMENTS (Proceeds $106,115,899)		$ (106,493,955)

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	$ 1,684,345

Legend

(a) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.

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

(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 $877,611,811 or 3.7% of net assets.

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

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

(f) 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.

(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 as of the end of the period.

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 Cash Central Fund	$ 952,924
Fidelity Mortgage Backed Securities Central Fund	118,484,481
Fidelity Specialized High Income Central Fund	9,889,534
Total	$ 129,326,939

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 Mortgage Backed Securities Central Fund	$ 5,244,512,062	$ 1,018,896,798	$ -	$ 6,316,701,973	42.3%
Fidelity Specialized High Income Central Fund	193,376,114	9,889,533	-	209,874,060	47.1%
Total	$ 5,437,888,176	$ 1,028,786,331	$ -	$ 6,526,576,033

Other Information

The following is a summary of the inputs used, as of May 31, 2012, 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	$ 4,869,527,216	$ -	$ 4,869,527,216	$ -
U.S. Government and Government Agency Obligations	8,119,189,566	-	8,119,189,566	-
U.S. Government Agency - Mortgage Securities	2,367,131,872	-	2,367,131,872	-
Asset-Backed Securities	476,010,450	-	464,483,870	11,526,580
Collateralized Mortgage Obligations	66,632,451	-	64,189,907	2,442,544
Commercial Mortgage Securities	1,140,847,016	-	1,068,143,905	72,703,111
Municipal Securities	91,749,990	-	91,749,990	-
Foreign Government and Government Agency Obligations	54,491,840	-	54,491,840	-
Bank Notes	7,295,922	-	7,295,922	-
Fixed-Income Funds	6,526,576,033	6,526,576,033	-	-
Money Market Funds	1,450,893,680	1,450,893,680	-	-
Total Investments in Securities:	$ 25,170,346,036	$ 7,977,469,713	$ 17,106,204,088	$ 86,672,235
Valuation Inputs at Reporting Date:
Description	Total	Level 1	Level 2	Level 3
Derivative Instruments:
Assets
Swap Agreements	$ 1,684,345	$ -	$ 1,684,345	$ -
Other Financial Instruments:
TBA Sale Commitments	$ (106,493,955)	$ -	$ (106,493,955)	$ -

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

Investments in Securities:
Beginning Balance	$ 84,732,597
Total Realized Gain (Loss)	2,556,756
Total Unrealized Gain (Loss)	(9,810,781)
Cost of Purchases	-
Proceeds of Sales	(13,201,468)
Amortization/Accretion	1,368,606
Transfers in to Level 3	44,705,217
Transfers out of Level 3	(23,678,692)
Ending Balance	$ 86,672,235
The change in unrealized gain (loss) for the period attributable to Level 3 securities held at May 31, 2012	$ (7,448,176)

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, 2012, the cost of investment securities for income tax purposes was $23,544,818,151. Net unrealized appreciation aggregated $1,625,527,885, of which $1,646,803,893 related to appreciated investment securities and $21,276,008 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 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. 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® Short-Term Bond Fund -
Short-Term Bond
Class F

May 31, 2012

1.804842.108

STP-QTLY-0712

Investments May 31, 2012 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 33.3%
	Principal Amount (000s)		Value (000s)
CONSUMER DISCRETIONARY - 2.0%
Auto Components - 0.1%
DaimlerChrysler NA Holding Corp. 6.5% 11/15/13	$ 6,814		$ 7,336
Automobiles - 0.7%
Daimler Finance North America LLC:
1.65% 4/10/15 (d)	8,910		8,908
1.875% 9/15/14 (d)	8,785		8,838
1.95% 3/28/14 (d)	16,316		16,492
2.3% 1/9/15 (d)	8,860		9,011
Volkswagen International Finance NV 1.625% 3/22/15 (d)	16,952		17,020
			60,269
Diversified Consumer Services - 0.1%
Yale University 2.9% 10/15/14	5,340		5,620
Media - 1.0%
COX Communications, Inc. 7.125% 10/1/12	18,400		18,774
NBCUniversal Media LLC:
2.875% 4/1/16	8,800		9,214
3.65% 4/30/15	7,820		8,328
News America, Inc. 5.3% 12/15/14	9,474		10,407
Time Warner Cable, Inc. 5.4% 7/2/12	20,680		20,748
Time Warner, Inc. 3.15% 7/15/15	11,388		12,004
Viacom, Inc. 1.25% 2/27/15	10,835		10,821
			90,296
Specialty Retail - 0.1%
Staples, Inc. 7.375% 10/1/12	6,373		6,505
Textiles, Apparel & Luxury Goods - 0.0%
VF Corp. 1.2169% 8/23/13 (h)	5,238		5,237
TOTAL CONSUMER DISCRETIONARY			175,263
CONSUMER STAPLES - 2.1%
Beverages - 0.9%
Anheuser-Busch InBev Worldwide, Inc.:
1.5% 7/14/14	12,500		12,652
2.5% 3/26/13	17,822		18,053
Beam, Inc. 1.875% 5/15/17	1,846		1,850
Coca-Cola Enterprises, Inc. 1.125% 11/12/13	8,628		8,672
Diageo Capital PLC 1.5% 5/11/17	10,000		9,999
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
CONSUMER STAPLES - continued
Beverages - continued
FBG Finance Ltd. 5.125% 6/15/15 (d)	$ 6,866		$ 7,557
SABMiller Holdings, Inc. 2.45% 1/15/17 (d)	18,776		19,270
			78,053
Food & Staples Retailing - 0.1%
Wal-Mart Stores, Inc. 2.25% 7/8/15	9,508		9,881
Food Products - 0.8%
Cargill, Inc. 5.2% 1/22/13 (d)	2,175		2,236
General Mills, Inc. 1.55% 5/16/14	9,300		9,417
Kraft Foods Group, Inc. 1.625% 6/4/15 (d)	17,580		17,800
Kraft Foods, Inc.:
1.3442% 7/10/13 (h)	10,050		10,101
2.625% 5/8/13	27,534		27,959
			67,513
Tobacco - 0.3%
Altria Group, Inc. 4.125% 9/11/15	19,900		21,660
Reynolds American, Inc. 6.75% 6/15/17	6,891		8,302
			29,962
TOTAL CONSUMER STAPLES			185,409
ENERGY - 1.9%
Energy Equipment & Services - 0.1%
Cameron International Corp. 1.6% 4/30/15	6,703		6,703
Weatherford International Ltd. 5.15% 3/15/13	401		413
			7,116
Oil, Gas & Consumable Fuels - 1.8%
BG Energy Capital PLC 2.875% 10/15/16 (d)	8,959		9,414
Canadian Natural Resources Ltd. 1.45% 11/14/14	16,337		16,492
Cenovus Energy, Inc. 4.5% 9/15/14	11,287		12,085
Enterprise Products Operating LP:
4.6% 8/1/12	9,289		9,347
5.65% 4/1/13	8,773		9,081
Gazstream SA 5.625% 7/22/13 (d)	2,321		2,376
Marathon Petroleum Corp. 3.5% 3/1/16	11,885		12,527
Petrobras International Finance Co. Ltd.:
2.875% 2/6/15	8,790		8,920
3.875% 1/27/16	8,216		8,502
Phillips 66:
1.95% 3/5/15 (d)	18,490		18,664
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
ENERGY - continued
Oil, Gas & Consumable Fuels - continued
Phillips 66: - continued
2.95% 5/1/17 (d)	$ 4,000		$ 4,078
Plains All American Pipeline LP/PAA Finance Corp. 4.25% 9/1/12	9,200		9,265
Ras Laffan Liquefied Natural Gas Co. Ltd. III 4.5% 9/30/12 (d)	3,544		3,571
Rockies Express Pipeline LLC 6.25% 7/15/13 (d)	8,777		8,974
Southeast Supply Header LLC 4.85% 8/15/14 (d)	10,282		10,854
Spectra Energy Partners, LP 2.95% 6/15/16	4,126		4,195
Total Capital Canada Ltd. 1.625% 1/28/14	8,680		8,816
			157,161
TOTAL ENERGY			164,277
FINANCIALS - 19.1%
Capital Markets - 2.2%
Goldman Sachs Group, Inc.:
3.625% 2/7/16	10,300		10,147
3.7% 8/1/15	13,094		12,990
5.125% 1/15/15	26,483		27,301
HSBC Bank PLC 3.1% 5/24/16 (d)	8,670		8,945
JPMorgan Chase & Co. 1.2657% 1/24/14 (h)	23,000		23,024
Merrill Lynch & Co., Inc. 5.45% 7/15/14	4,605		4,824
Morgan Stanley:
2.875% 1/24/14	8,670		8,466
2.875% 7/28/14	10,008		9,725
4.2% 11/20/14	4,995		4,913
6% 5/13/14	12,430		12,646
Royal Bank of Scotland PLC 4.875% 8/25/14 (d)	16,500		16,893
State Street Corp. 4.3% 5/30/14	9,030		9,630
The Bank of New York Mellon Corp. 1.7% 11/24/14	21,244		21,536
UBS AG Stamford Branch:
1.4659% 1/28/14 (h)	6,500		6,455
2.25% 1/28/14	16,500		16,522
			194,017
Commercial Banks - 8.0%
ANZ Banking Group Ltd. 2.125% 1/10/14 (d)	8,540		8,655
Bank of England 0.5% 3/6/15 (d)	12,018		12,009
Bank of Montreal:
0.9359% 4/29/14 (h)	8,000		8,020
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Commercial Banks - continued
Bank of Montreal: - continued
2.125% 6/28/13	$ 15,550		$ 15,775
Bank of Nova Scotia 1.85% 1/12/15	29,920		30,496
Bank of Tokyo-Mitsubishi UFJ Ltd. 2.6% 1/22/13 (d)	13,006		13,124
Barclays Bank PLC:
2.375% 1/13/14	22,100		22,112
2.5% 1/23/13	8,290		8,354
BB&T Corp.:
2.05% 4/28/14	15,000		15,305
3.2% 3/15/16	5,000		5,299
BNP Paribas:
0.8692% 4/8/13 (h)	8,035		7,950
2.125% 12/21/12	11,280		11,315
Canadian Imperial Bank of Commerce 1.45% 9/13/13	13,791		13,929
Commonwealth Bank of Australia:
1.1659% 8/7/13 (d)(h)	7,000		7,029
1.2037% 3/17/14 (d)(h)	2,931		2,933
1.95% 3/16/15	8,750		8,807
3.5% 3/19/15 (d)	15,000		15,684
Credit Suisse New York Branch:
1.4267% 1/14/14 (h)	6,000		6,001
2.2% 1/14/14	31,458		31,743
5% 5/15/13	10,000		10,335
Danske Bank A/S 1.5167% 4/14/14 (d)(h)	12,690		12,394
Fifth Third Bancorp 3.625% 1/25/16	4,799		5,059
Fifth Third Bank 0.5759% 5/17/13 (h)	6,500		6,466
ING Bank NV:
2% 10/18/13 (d)	5,000		4,975
2.65% 1/14/13 (d)	14,190		14,273
KeyBank NA 5.8% 7/1/14	24,452		26,372
KeyCorp. 6.5% 5/14/13	7,000		7,351
Manufacturers & Traders Trust Co. 1.9682% 4/1/13 (h)	11,532		11,547
National Australia Bank Ltd. 2% 3/9/15	8,730		8,740
Nordea Bank AB 1.75% 10/4/13 (d)	12,260		12,257
PNC Funding Corp.:
3% 5/19/14	8,490		8,807
3.625% 2/8/15	8,119		8,647
Rabobank (Netherlands) NV 1.85% 1/10/14	34,061		34,320
Regions Financial Corp. 4.875% 4/26/13	7,700		7,816
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Commercial Banks - continued
Royal Bank of Canada:
0.7662% 4/17/14 (h)	$ 8,000		$ 8,015
1.125% 1/15/14	10,316		10,395
1.45% 10/30/14	11,000		11,121
Santander U.S. Debt SA Unipersonal 2.485% 1/18/13 (d)	13,200		12,979
Sumitomo Mitsui Banking Corp.:
1.9% 1/12/15 (d)	10,070		10,173
1.95% 1/14/14 (d)	18,000		18,183
SunTrust Bank 5% 9/1/15	7,068		7,490
SunTrust Banks, Inc. 3.6% 4/15/16	7,229		7,511
Svenska Handelsbanken AB 2.875% 9/14/12 (d)	30,266		30,450
The Toronto Dominion Bank:
0.9159% 11/1/13 (h)	10,100		10,155
1.375% 7/14/14	22,000		22,326
U.S. Bancorp 4.2% 5/15/14	8,510		9,073
Union Bank NA 2.125% 12/16/13	21,794		22,110
Wachovia Bank NA 0.8459% 11/3/14 (h)	13,000		12,685
Wells Fargo & Co.:
0.6659% 10/28/15 (h)	23,000		22,544
1.25% 2/13/15	21,287		21,193
3.625% 4/15/15	17,400		18,483
Westpac Banking Corp.:
1.1997% 3/31/14 (d)(h)	9,700		9,718
1.85% 12/9/13	10,339		10,446
2.1% 8/2/13	3,181		3,224
			702,173
Consumer Finance - 3.4%
American Express Credit Corp.:
1.3237% 6/24/14 (h)	21,521		21,532
2.75% 9/15/15	14,274		14,737
2.8% 9/19/16	5,476		5,643
American Honda Finance Corp.:
0.9159% 5/8/14 (d)(h)	7,500		7,510
1.45% 2/27/15 (d)	8,795		8,847
Capital One Financial Corp.:
1.6167% 7/15/14 (h)	3,250		3,225
2.125% 7/15/14	18,863		19,006
2.15% 3/23/15	8,820		8,859
7.375% 5/23/14	13,000		14,305
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Consumer Finance - continued
Ford Motor Credit Co. LLC 2.75% 5/15/15	$ 13,438		$ 13,663
General Electric Capital Corp.:
1.1659% 4/24/14 (h)	18,100		18,124
2.1% 1/7/14	7,727		7,833
2.15% 1/9/15	73,708		74,681
2.25% 11/9/15	4,902		4,967
2.95% 5/9/16	1,460		1,506
3.5% 6/29/15	3,508		3,684
5.4% 9/20/13	34,426		36,380
HSBC Finance Corp. 5.9% 6/19/12	6,125		6,136
HSBC USA, Inc. 2.375% 2/13/15	15,658		15,709
Toyota Motor Credit Corp. 0.8662% 1/17/14 (h)	17,000		17,073
			303,420
Diversified Financial Services - 3.6%
ABB Finance (USA), Inc. 1.625% 5/8/17	3,415		3,409
Bank of America Corp.:
2.0192% 7/11/14 (h)	17,700		17,390
3.7% 9/1/15	10,610		10,617
4.9% 5/1/13	23,620		24,188
BP Capital Markets PLC:
0.9258% 6/6/13 (h)	3,775		3,790
1.0736% 3/11/14 (h)	15,507		15,607
1.7% 12/5/14	10,290		10,415
2.248% 11/1/16	9,110		9,379
Citigroup, Inc.:
1.3982% 4/1/14 (h)	8,500		8,333
1.9187% 1/13/14 (h)	23,691		23,516
2.4669% 8/13/13 (h)	4,050		4,078
2.65% 3/2/15	31,563		31,316
4.75% 5/19/15	8,020		8,357
5.125% 5/5/14	4,158		4,358
6.375% 8/12/14	19,196		20,587
6.5% 8/19/13	9		9
Deutsche Bank AG London Branch 2.375% 1/11/13	31,170		31,336
Export Development Canada 1.5% 5/15/14	5,655		5,774
JPMorgan Chase & Co.:
3.4% 6/24/15	11,433		11,802
3.7% 1/20/15	34,170		35,445
MassMutual Global Funding II:
0.8467% 1/14/14 (d)(h)	12,292		12,291
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Diversified Financial Services - continued
MassMutual Global Funding II: - continued
3.625% 7/16/12 (d)	$ 4,300		$ 4,314
MetLife Institutional Funding II 1.3682% 4/4/14 (d)(h)	9,000		9,030
OAO Industry & Construction Bank 5.01% 9/29/15 (Issued by Or-ICB SA for OAO Industry & Construction Bank) (h)	1,425		1,377
USAA Capital Corp. 3.5% 7/17/14 (d)	9,044		9,415
ZFS Finance USA Trust IV 5.875% 5/9/62 (d)(h)	500		499
			316,632
Insurance - 1.4%
American International Group, Inc.:
3% 3/20/15	4,420		4,464
4.25% 9/15/14	16,573		17,160
Aon Corp. 3.5% 9/30/15	6,775		7,082
Berkshire Hathaway Finance Corp. 1.6% 5/15/17	10,000		10,047
Berkshire Hathaway, Inc. 1.1669% 8/15/14 (h)	10,000		10,111
Metropolitan Life Global Funding I:
2% 1/9/15 (d)	23,161		23,545
2.5% 9/29/15 (d)	5,000		5,153
New York Life Global Funding:
2.25% 12/14/12 (d)	6,570		6,621
5.25% 10/16/12 (d)	10,930		11,109
Pricoa Global Funding I 5.45% 6/11/14 (d)	5,730		6,143
Prudential Financial, Inc.:
3.625% 9/17/12	14,839		14,955
5.15% 1/15/13	4,416		4,527
			120,917
Real Estate Investment Trusts - 0.2%
AvalonBay Communities, Inc. 6.125% 11/1/12	4,379		4,472
Developers Diversified Realty Corp. 5.375% 10/15/12	5,783		5,820
Duke Realty LP 4.625% 5/15/13	114		117
Equity One, Inc.:
5.375% 10/15/15	1,026		1,092
6.25% 12/15/14	8,778		9,444
Federal Realty Investment Trust 5.4% 12/1/13	150		158
			21,103
Real Estate Management & Development - 0.3%
ERP Operating LP:
5.2% 4/1/13	3,570		3,684
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Real Estate Management & Development - continued
ERP Operating LP: - continued
5.5% 10/1/12	$ 117		$ 119
Liberty Property LP 6.375% 8/15/12	7,473		7,536
Prime Property Funding, Inc.:
5.125% 6/1/15 (d)	1,059		1,082
5.5% 1/15/14 (d)	144		147
Simon Property Group LP:
4.2% 2/1/15	2,715		2,895
5.3% 5/30/13	7,322		7,601
Tanger Properties LP 6.15% 11/15/15	2,689		2,990
			26,054
TOTAL FINANCIALS			1,684,316
HEALTH CARE - 0.8%
Biotechnology - 0.1%
Amgen, Inc. 1.875% 11/15/14	9,340		9,504
Health Care Providers & Services - 0.3%
Aristotle Holding, Inc. 2.1% 2/12/15 (d)	14,095		14,262
Express Scripts, Inc. 5.25% 6/15/12	10,265		10,277
			24,539
Pharmaceuticals - 0.4%
Sanofi SA:
1.2% 9/30/14	5,963		6,028
2.625% 3/29/16	8,904		9,343
Teva Pharmaceutical Finance III BV:
0.9737% 3/21/14 (h)	3,875		3,880
1.7% 3/21/14	8,730		8,851
Teva Pharmaceutical Finance IV LLC 1.7% 11/10/14	8,705		8,845
			36,947
TOTAL HEALTH CARE			70,990
INDUSTRIALS - 0.4%
Aerospace & Defense - 0.3%
BAE Systems Holdings, Inc. 4.95% 6/1/14 (d)	7,300		7,705
United Technologies Corp. 1.2% 6/1/15	14,580		14,731
			22,436
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
INDUSTRIALS - continued
Airlines - 0.0%
Continental Airlines, Inc. 6.795% 2/2/20	$ 126		$ 125
Iberbond 2004 PLC 4.826% 12/24/17 (k)	4,294		4,251
			4,376
Industrial Conglomerates - 0.1%
Covidien International Finance SA 1.875% 6/15/13	7,770		7,838
TOTAL INDUSTRIALS			34,650
INFORMATION TECHNOLOGY - 1.0%
Computers & Peripherals - 0.2%
Hewlett-Packard Co.:
1.25% 9/13/13	8,098		8,081
2.625% 12/9/14	9,430		9,623
			17,704
Electronic Equipment & Components - 0.1%
Tyco Electronics Group SA 1.6% 2/3/15	4,513		4,532
IT Services - 0.2%
IBM Corp. 1.95% 7/22/16	11,579		12,017
The Western Union Co. 1.0546% 3/7/13 (h)	8,690		8,729
			20,746
Office Electronics - 0.5%
Xerox Corp.:
1.2859% 5/16/14 (h)	33,233		33,016
4.25% 2/15/15	8,040		8,536
			41,552
TOTAL INFORMATION TECHNOLOGY			84,534
MATERIALS - 0.5%
Metals & Mining - 0.5%
Anglo American Capital PLC 2.15% 9/27/13 (d)	16,540		16,626
BHP Billiton Financial (USA) Ltd. 1.125% 11/21/14	13,150		13,214
Corporacion Nacional del Cobre de Chile (Codelco) 6.375% 11/30/12 (d)	3,300		3,376
Rio Tinto Finance Ltd. (United States) 8.95% 5/1/14	6,662		7,631
			40,847
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
TELECOMMUNICATION SERVICES - 2.1%
Diversified Telecommunication Services - 1.5%
AT&T Broadband Corp. 8.375% 3/15/13	$ 3,140		$ 3,320
AT&T, Inc.:
2.5% 8/15/15	15,110		15,725
2.95% 5/15/16	8,570		9,108
4.95% 1/15/13	10,874		11,174
6.7% 11/15/13	2,385		2,597
British Telecommunications PLC 5.15% 1/15/13	2,730		2,800
Deutsche Telekom International Financial BV 3.125% 4/11/16 (d)	8,640		8,929
Qwest Corp. 3.7237% 6/15/13 (h)	23,280		23,449
SBC Communications, Inc. 5.1% 9/15/14	7,403		8,091
Telefonica Emisiones SAU 2.582% 4/26/13	22,310		22,005
Verizon Communications, Inc.:
2% 11/1/16	18,076		18,536
5.25% 4/15/13	6,850		7,120
			132,854
Wireless Telecommunication Services - 0.6%
America Movil SAB de CV 2.375% 9/8/16	12,066		12,180
DIRECTV Holdings LLC/DIRECTV Financing, Inc. 4.75% 10/1/14	14,442		15,559
Verizon Wireless Capital LLC 5.55% 2/1/14	21,940		23,557
Vodafone Group PLC 4.15% 6/10/14	3,995		4,246
			55,542
TOTAL TELECOMMUNICATION SERVICES			188,396
UTILITIES - 3.4%
Electric Utilities - 2.1%
Alabama Power Co. 4.85% 12/15/12	11,341		11,599
Cleveland Electric Illuminating Co. 5.65% 12/15/13	8,200		8,710
Commonwealth Edison Co. 1.625% 1/15/14	15,206		15,429
EDP Finance BV 5.375% 11/2/12 (d)	18,575		18,621
Entergy Louisiana LLC 1.875% 12/15/14	4,914		5,021
FirstEnergy Solutions Corp. 4.8% 2/15/15	14,720		15,756
LG&E and KU Energy LLC 2.125% 11/15/15	15,668		15,682
NextEra Energy Capital Holdings, Inc. 1.611% 6/1/14	14,889		14,946
Niagara Mohawk Power Corp. 3.553% 10/1/14 (d)	14,230		15,039
Northeast Utilities 1.2242% 9/20/13 (h)	23,577		23,656
Pacific Gas & Electric Co. 6.25% 12/1/13	8,741		9,447
Pepco Holdings, Inc. 2.7% 10/1/15	7,191		7,399
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
UTILITIES - continued
Electric Utilities - continued
Progress Energy, Inc. 6.05% 3/15/14	$ 8,651		$ 9,400
Southern Co.:
2.375% 9/15/15	9,325		9,661
4.15% 5/15/14	1,976		2,091
			182,457
Independent Power Producers & Energy Traders - 0.2%
PSEG Power LLC 2.5% 4/15/13	16,066		16,300
Multi-Utilities - 1.1%
Dominion Resources, Inc.:
1.95% 8/15/16	5,976		6,082
2.25% 9/1/15	13,949		14,481
2.7697% 9/30/66 (h)	7,611		6,770
6.25% 6/30/12	8,000		8,031
DTE Energy Co. 1.1797% 6/3/13 (h)	21,449		21,477
NiSource Finance Corp. 6.15% 3/1/13	12,000		12,433
PG&E Corp. 5.75% 4/1/14	4,180		4,528
Sempra Energy:
1.2337% 3/15/14 (h)	2,500		2,500
2% 3/15/14	17,216		17,483
2.3% 4/1/17	8,835		9,074
			102,859
TOTAL UTILITIES			301,616
TOTAL NONCONVERTIBLE BONDS (Cost $2,896,751)		2,930,298
U.S. Government and Government Agency Obligations - 36.8%
U.S. Government Agency Obligations - 11.2%
Fannie Mae:
0.375% 3/16/15	95,094		94,722
0.5% 5/27/15	119,842		119,637
0.5% 7/2/15	44,640		44,533
0.625% 10/30/14	12,000		12,048
0.75% 12/19/14	78,025		78,542
0.875% 8/28/14	244,214		246,700
Freddie Mac:
0.5% 4/17/15	30,874		30,856
U.S. Government and Government Agency Obligations - continued
	Principal Amount (000s)		Value (000s)
U.S. Government Agency Obligations - continued
Freddie Mac: - continued
0.625% 12/29/14	$ 52,431		$ 52,608
0.75% 11/25/14	50,148		50,436
1% 7/30/14	99,875		101,167
1% 8/27/14	109,986		111,536
1.75% 9/10/15	39,000		40,425
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS			983,210
U.S. Treasury Obligations - 25.5%
U.S. Treasury Notes:
0.25% 9/15/14	144,095		143,949
0.25% 1/15/15	180,000		179,648
0.375% 11/15/14	180,559		180,827
0.5% 8/15/14	404,272		406,104
0.625% 7/15/14	972,352		979,118
1.375% 11/30/15	175,000		180,537
1.75% 7/31/15 (e)(f)	79,925		83,303
2.375% 9/30/14	23,131		24,250
2.375% 10/31/14	63,074		66,188
TOTAL U.S. TREASURY OBLIGATIONS			2,243,924
Other Government Related - 0.1%
National Credit Union Administration Guaranteed Notes Master Trust 1.4% 6/12/15 (NCUA Guaranteed)	12,000		12,215
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $3,221,225)		3,239,349
U.S. Government Agency - Mortgage Securities - 5.5%
Fannie Mae - 4.3%
2.066% 10/1/33 (h)	224		235
2.115% 10/1/35 (h)	352		366
2.15% 3/1/35 (h)	182		192
2.235% 2/1/33 (h)	215		226
2.239% 10/1/33 (h)	116		121
2.242% 12/1/34 (h)	196		206
2.257% 7/1/35 (h)	94		99
2.301% 7/1/34 (h)	120		127
U.S. Government Agency - Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Fannie Mae - continued
2.303% 6/1/36 (h)	$ 220		$ 236
2.321% 5/1/33 (h)	48		51
2.332% 3/1/35 (h)	110		115
2.37% 5/1/35 (h)	2,710		2,853
2.375% 11/1/34 (h)	1,418		1,512
2.424% 10/1/33 (h)	306		323
2.425% 3/1/35 (h)	29		30
2.425% 11/1/36 (h)	410		435
2.426% 7/1/35 (h)	2,278		2,402
2.427% 12/1/34 (h)	1,585		1,677
2.434% 12/1/33 (h)	1,325		1,397
2.438% 8/1/35 (h)	2,057		2,202
2.493% 3/1/35 (h)	2,126		2,246
2.496% 11/1/34 (h)	11,771		12,477
2.498% 10/1/35 (h)	10,458		11,119
2.561% 2/1/35 (h)	2,862		3,051
2.564% 11/1/36 (h)	3,109		3,331
2.571% 10/1/41 (h)	6,758		7,050
2.612% 4/1/35 (h)	4,634		4,950
2.678% 7/1/35 (h)	889		950
2.696% 9/1/41 (h)	8,551		8,942
2.866% 10/1/35 (h)	552		592
3% 7/1/21 to 11/1/21	129,171		135,960
3.033% 8/1/41 (h)	3,071		3,208
3.184% 1/1/40 (h)	5,041		5,248
3.268% 2/1/40 (h)	8,145		8,479
3.299% 1/1/40 (h)	11,749		12,323
3.483% 3/1/40 (h)	4,738		4,926
3.5% 5/1/27	36,831		39,368
3.524% 12/1/39 (h)	1,334		1,401
3.548% 2/1/40 (h)	2,800		2,941
3.612% 3/1/40 (h)	5,407		5,669
4.5% 8/1/18 to 7/1/20	25,624		27,420
5.5% 10/1/17 to 11/1/34	50,162		54,950
6.5% 9/1/12 to 8/1/17	2,648		2,773
7% 9/1/14 to 11/1/18	670		717
7.5% 8/1/12 to 11/1/31	6		7
TOTAL FANNIE MAE			374,903
Freddie Mac - 1.2%
2.374% 1/1/35 (h)	127		134
U.S. Government Agency - Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Freddie Mac - continued
2.415% 11/1/35 (h)	$ 1,570		$ 1,660
2.551% 4/1/35 (h)	3,459		3,680
2.61% 8/1/34 (h)	827		886
2.71% 8/1/36 (h)	1,125		1,205
2.752% 6/1/37 (h)	2,072		2,220
2.992% 8/1/41 (h)	6,209		6,508
3% 8/1/21	18,334		19,311
3.076% 9/1/41 (h)	3,768		3,956
3.135% 3/1/33 (h)	36		39
3.342% 10/1/35 (h)	314		336
3.564% 4/1/40 (h)	3,033		3,175
3.566% 4/1/40 (h)	3,497		3,659
3.609% 2/1/40 (h)	6,588		6,860
4% 9/1/25 to 4/1/26	16,076		17,299
4.5% 8/1/18 to 11/1/18	20,644		22,004
5% 4/1/20	9,018		9,679
8.5% 5/1/27 to 7/1/28	241		288
12% 11/1/19	5		5
TOTAL FREDDIE MAC			102,904
Ginnie Mae - 0.0%
7% 11/15/27 to 8/15/32	2,105		2,424
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $470,326)		480,231
Asset-Backed Securities - 12.2%
Accredited Mortgage Loan Trust:
Series 2003-3 Class A1, 4.46% 1/25/34 (AMBAC Insured)	1,910		1,591
Series 2005-1 Class M1, 0.7088% 4/25/35 (h)	743		392
ACE Securities Corp. Home Equity Loan Trust:
Series 2004-HE1 Class M2, 1.8888% 3/25/34 (h)	105		86
Series 2005-HE2 Class M2, 0.6888% 4/25/35 (h)	67		65
Series 2006-OP1 Class M1, 0.5188% 4/25/36 (h)	8,000		580
Advanta Business Card Master Trust Series 2006-C1 Class C1, 0.6758% 10/20/14 (h)	352		4
Ally Auto Receivables Trust:
Series 2010-1 Class A4, 2.3% 12/15/14	12,920		13,165
Series 2011-1 Class A3, 1.38% 1/15/15	9,980		10,039
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
Ally Auto Receivables Trust: - continued
Series 2011-2 Class A3, 1.18% 4/15/15	$ 8,520		$ 8,562
Series 2011-3 Class A3, 0.97% 8/17/15	10,980		11,014
Series 2012-1 Class A2, 0.71% 9/15/14	14,300		14,313
Ally Master Owner Trust:
Series 2010-3 Class A, 2.88% 4/15/15 (d)	2,980		3,022
Series 2011-1 Class A2, 2.15% 1/15/16	26,800		27,275
Series 2011-3 Class A2, 1.81% 5/15/16	23,340		23,643
Series 2011-5 Class A1, 0.8888% 6/15/15 (h)	17,700		17,728
Series 2012-1 Class A2, 1.44% 2/15/17	17,510		17,585
Series 2012-2 Class A, 0.7413% 3/15/16 (h)	10,830		10,830
AmeriCredit Automobile Receivables Trust:
Series 2010-4 Class A3, 1.27% 4/8/15	10,300		10,344
Series 2010-B Class A2, 1.18% 2/6/14 (Assured Guaranty Corp. Insured)	296		296
Series 2011-1 Class A3, 1.39% 9/8/15	6,060		6,095
Series 2011-2 Class A3, 1.61% 10/8/15	12,680		12,793
Series 2011-3 Class A3, 1.17% 1/8/16	4,620		4,643
Series 2011-4 Class A/S, 0.92% 3/9/15	11,325		11,336
Series 2011-5 Class A2, 1.19% 8/8/15	4,089		4,100
Series 2012-1 Class A2, 0.91% 10/8/15	5,000		5,006
Series 2012-2 Class A3, 1.05% 10/11/16	5,480		5,478
Ameriquest Mortgage Securities, Inc. pass-thru certificates:
Series 2004-R2 Class M3, 0.7888% 4/25/34 (h)	90		27
Series 2005-R2 Class M1, 0.6888% 4/25/35 (h)	1,390		1,228
Argent Securities, Inc. pass-thru certificates:
Series 2003-W7 Class A2, 1.0188% 3/25/34 (h)	378		270
Series 2004-W7 Class M1, 0.7888% 5/25/34 (h)	227		163
Series 2006-W4 Class A2C, 0.3988% 5/25/36 (h)	886		211
Asset Backed Securities Corp. Home Equity Loan Trust Series 2006-HE2 Class M1, 0.6088% 3/25/36 (h)	22		0*
Avis Budget Rental Car Funding (AESOP) LLC Series 2009-1A Class A, 9.31% 10/20/13 (d)	12,921		13,148
Axon Financial Funding Ltd. Series 2007-1 Class A1, 1.0682% 4/4/17 (b)(d)(h)	2,749		0
Bank of America Automobile Trust Series 2012-1 Class A3, 0.78% 6/15/16	12,370		12,340
Bank of America Credit Card Master Trust Series 2008-B1 Class B1, 1.7388% 6/15/15 (h)	10,000		10,072
Bank One Issuance Trust Series 2003-A8, 0.4888% 5/16/16 (h)	9,000		9,033
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
BMW Vehicle Lease Trust:
Series 2011-1 Class A3, 1.06% 2/20/14	$ 12,450		$ 12,490
Series 2012-1 Class A3, 1.02% 2/20/15	9,480		9,469
BMW Vehicle Owner Trust Series 2011-A Class A3, 0.76% 8/25/15	7,890		7,891
Capital Auto Receivables Asset Trust Series 2008-A Class B, 6.89% 1/15/15 (d)	9,553		9,909
Capital One Multi-Asset Execution Trust Series 2008-A3 Class A3, 5.05% 2/15/16	4,100		4,254
Capital Trust Ltd. Series 2004-1:
Class A2, 0.6898% 7/20/39 (d)(h)	86		68
Class B, 0.9898% 7/20/39 (d)(h)	178		78
Class C, 1.3398% 7/20/39 (d)(h)	229		5
Carrington Mortgage Loan Trust Series 2007-RFC1 Class A3, 0.3788% 12/25/36 (h)	1,214		439
Chase Issuance Trust:
Series 2007-A17 Class A, 5.12% 10/15/14	19,008		19,342
Series 2008-A4 Class A4, 4.65% 3/15/15	7,180		7,412
Series 2011-A1 Class A1, 0.4288% 3/16/15 (h)	20,170		20,193
Series 2011-A2 Class A2, 0.3288% 5/15/15 (h)	32,650		32,663
Series 2011-A3 Class A3, 0.3588% 12/15/15 (h)	30,000		30,000
CIT Equipment Collateral Series 2012-VT1 Class A3, 1.1% 8/22/16 (d)	12,070		12,057
Citibank Credit Card Issuance Trust:
Series 2008-A5 Class A5, 4.85% 4/22/15	28,416		29,488
Series 2009-A5 Class A5, 2.25% 12/23/14	35,560		35,901
Countrywide Asset-Backed Certificates Trust Series 2007-4 Class A1A, 0.3588% 9/25/37 (h)	49		48
Countrywide Home Loan Trust Series 2006-13 Class N, 7% 8/25/37 (d)	222		0
Countrywide Home Loans, Inc.:
Series 2004-2 Class 3A4, 0.7388% 7/25/34 (h)	302		239
Series 2004-3 Class M4, 1.2088% 4/25/34 (h)	107		39
Series 2004-4 Class M2, 1.0338% 6/25/34 (h)	396		178
Series 2005-3 Class MV1, 0.6588% 8/25/35 (h)	10		10
Discover Card Master Trust:
Series 2011-A2 Class A2, 0.4488% 11/16/15 (h)	15,310		15,334
Series 2012-A1 Class A1, 0.81% 8/15/17	19,410		19,399
Series 2012-A2 Class A2, 0.3903% 10/17/16 (h)	20,000		19,985
Enterprise Fleet Financing LLC Series 2012-1 Class A2, 1.14% 11/20/17 (d)	11,240		11,223
Fannie Mae Series 2004-T5:
Class AB1, 0.7418% 5/28/35 (h)	634		455
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
Fannie Mae Series 2004-T5: - continued
Class AB3, 0.6889% 5/28/35 (h)	$ 273		$ 171
Fieldstone Mortgage Investment Corp. Series 2004-3 Class M5, 2.4138% 8/25/34 (h)	196		97
Ford Credit Auto Lease Trust:
Series 2011-B Class A3, 1.05% 10/15/14	13,750		13,789
Series 2011-A Class A3, 1.03% 7/15/14	15,460		15,518
Ford Credit Auto Owner Trust:
Series 2009-C Class A4, 4.43% 11/15/14	6,210		6,377
Series 2011-B Class A3, 0.84% 6/15/15	7,140		7,154
Series 2012-A Class A2, 0.62% 9/15/14	8,840		8,841
Series 2012-B Class A3, 1.01% 12/15/16	13,080		13,069
Ford Credit Automobile Lease Trust Series 2012-A Class A3, 0.85% 1/15/15	5,450		5,445
Ford Credit Floorplan Master Owner Trust:
Series 2010-1 Class A, 1.8888% 12/15/14 (d)(h)	7,380		7,441
Series 2010-5 Class A1, 1.5% 9/15/15	7,430		7,484
Series 2012-1 Class A, 0.7103% 1/15/16 (h)	30,000		30,095
Fremont Home Loan Trust:
Series 2004-D:
Class M4, 1.6638% 11/25/34 (h)	410		34
Class M5, 1.7388% 11/25/34 (h)	262		10
Series 2005-A:
Class M3, 0.9738% 1/25/35 (h)	639		198
Class M4, 1.2588% 1/25/35 (h)	245		37
Series 2006-A Class M1, 0.5388% 5/25/36 (h)	5,133		33
GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 0.8469% 2/25/47 (d)(h)	1,714		600
GCO Slims Trust Series 2006-1A, 5.72% 3/1/22 (d)	1,605		1,541
GE Business Loan Trust:
Series 2003-1 Class A, 0.6688% 4/15/31 (d)(h)	142		133
Series 2006-2A:
Class A, 0.4188% 11/15/34 (d)(h)	202		175
Class B, 0.5188% 11/15/34 (d)(h)	73		50
Class C, 0.6188% 11/15/34 (d)(h)	121		69
Class D, 0.9888% 11/15/34 (d)(h)	46		14
GE Capital Credit Card Master Note Trust Series 2012-1 Class A, 1.03% 1/15/18	16,310		16,397
GE Equipment Small Ticket LLC Series 2012-1 Class A3, 1.04% 9/21/15 (d)	6,910		6,909
GE Equipment Transportation LLC Series 2012-1 Class A2, 0.74% 9/22/14	9,780		9,779
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
Guggenheim Structured Real Estate Funding Ltd. Series 2006-3 Class C, 0.7888% 9/25/46 (d)(h)	$ 8,805		$ 8,337
Home Equity Asset Trust:
Series 2003-2 Class M1, 1.5588% 8/25/33 (h)	92		62
Series 2003-3 Class M1, 1.5288% 8/25/33 (h)	461		327
Series 2003-5 Class A2, 0.9388% 12/25/33 (h)	205		162
Series 2004-1 Class M2, 1.9388% 6/25/34 (h)	374		247
Series 2006-1 Class 2A3, 0.4638% 4/25/36 (h)	115		114
Honda Auto Receivables Owner Trust Series 2011-3 Class A2, 0.67% 4/21/14	10,420		10,427
Honda Auto Receivables Owner Trust:
Series 2010-1 Class A4, 1.98% 5/23/16	2,870		2,901
Series 2010-3 Class A3, 0.7% 4/21/14	13,301		13,309
Series 2011-1 Class A4, 1.8% 4/17/17	4,540		4,618
Series 2011-2 Class A3, 0.94% 3/18/15	11,080		11,110
Honda Automobiles Receivables Trust Series 2012-2 Class A3, 0.7% 2/16/16	10,780		10,769
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.4288% 1/25/37 (h)	902		314
Huntington Auto Trust Series 2012-1 Class A2, 0.54% 11/17/14	8,500		8,493
Hyundai Auto Lease Securitization Trust Series 2011-A Class A3, 1.02% 8/15/14 (d)	9,680		9,706
Hyundai Auto Receivables Trust:
Series 2009-A Class A4, 3.15% 3/15/16	1,490		1,523
Series 2011-A Class A3, 1.16% 4/15/15	5,780		5,808
John Deere Owner Trust Seires 2011-A Class A3, 1.29% 1/15/16	12,090		12,163
JPMorgan Mortgage Acquisition Trust:
Series 2006-NC2 Class M2, 0.5388% 7/25/36 (h)	49		1
Series 2007-CH1 Class AV4, 0.3688% 11/25/36 (h)	903		822
Keycorp Student Loan Trust:
Series 1999-A Class A2, 0.8032% 12/27/29 (h)	375		333
Series 2006-A Class 2C, 1.6232% 3/27/42 (h)	516		24
Long Beach Mortgage Loan Trust Series 2006-6 Class 2A3, 0.3888% 7/25/36 (h)	9,653		2,882
Marriott Vacation Club Owner Trust:
Series 2005-2 Class A, 5.25% 10/20/27 (d)	624		628
Series 2006-1A:
Class B, 5.827% 4/20/28 (d)	273		277
Class C, 6.125% 4/20/28 (d)	273		276
MASTR Asset Backed Securities Trust Series 2007-HE1 Class M1, 0.5388% 5/25/37 (h)	528		7
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
Mercedes-Benz Auto Lease Trust:
Series 2011-1A Class A3 1.18% 11/15/13 (d)	$ 17,060		$ 17,099
Series 2011-B Class A3, 1.07% 8/15/14 (d)	9,390		9,424
Series 2012-A Class A3, 0.88% 11/17/14	8,740		8,739
Mercedes-Benz Auto Receivables Trust Series 2011-1 Class A3, 0.85% 3/16/15	10,480		10,501
Meritage Mortgage Loan Trust Series 2004-1 Class M1, 0.9888% 7/25/34 (h)	39		24
Merrill Lynch Mortgage Investors Trust:
Series 2003-OPT1 Class M1, 1.2138% 7/25/34 (h)	110		81
Series 2006-FM1 Class A2B, 0.3488% 4/25/37 (h)	949		723
Series 2006-OPT1 Class A1A, 0.4988% 6/25/35 (h)	1,290		918
Morgan Stanley ABS Capital I Trust:
Series 2004-HE6 Class A2, 0.5788% 8/25/34 (h)	367		272
Series 2005-NC1 Class M1, 0.6788% 1/25/35 (h)	269		169
Series 2005-NC2 Class B1, 1.4088% 3/25/35 (h)	280		34
Series 2006-NC4 Class A2D, 0.4788% 6/25/36 (h)	7,135		2,309
Series 2007-HE2 Class M1, 0.4888% 1/25/37 (h)	11		0*
National Collegiate Student Loan Trust:
Series 2004-2 Class AIO, 9.75% 10/27/14 (j)	3,708		167
Series 2006-4 Class D, 1.3388% 5/25/32 (h)	398		0*
Series 2007-2 Class AIO, 6.7% 7/25/12 (j)	256		2
Nissan Auto Lease Trust:
Series 2010-B Class A4, 1.27% 10/15/16	3,970		3,993
Series 2011-A Class A3, 1.04% 8/15/14	13,170		13,219
Series 2011-B Class A3, 0.92% 2/16/15	6,510		6,502
Nissan Auto Receivables Owner Trust:
Series 2010-A Class A4, 1.31% 9/15/16	5,520		5,565
Series 2011-A Class A3, 1.18% 2/16/15	7,200		7,244
Series 2011-B Class A3, 0.95% 2/16/16	6,300		6,322
Nissan Master Owner Trust Receivables Series 2012-A Class A, 0.71% 5/15/17 (h)	18,000		18,000
Northstar Education Finance, Inc., Delaware Series 2005-1 Class A5, 1.3031% 10/30/45 (h)	4,140		3,865
Ocala Funding LLC:
Series 2005-1A Class A, 1.7398% 3/20/10 (b)(d)(h)	381		0
Series 2006-1A Class A, 1.6398% 3/20/11 (b)(d)(h)	792		0
Option One Mortgage Loan Trust:
Series 2007-5 Class 2A1, 0.3288% 5/25/37 (h)	0*		0*
Series 2007-6 Class 2A1, 0.2988% 7/25/37 (h)	4		4
Park Place Securities, Inc.:
Series 2004-WCW1:
Class M3, 1.4888% 9/25/34 (h)	3,309		1,398
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
Park Place Securities, Inc.: - continued
Class M4, 1.6888% 9/25/34 (h)	$ 460		$ 97
Series 2005-WCH1 Class M4, 1.0688% 1/25/36 (h)	994		490
Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 1.0388% 4/25/33 (h)	3		3
Santander Drive Auto Receivables Trust:
Series 2010-2 Class A2, 0.95% 8/15/13	2,151		2,151
Series 2010-3 Class A2, 0.93% 6/17/13	317		317
Series 2011-1, Class A2, 0.94% 2/18/14	5,603		5,601
Series 2011-4 Class A2, 1.37% 3/16/15	8,454		8,487
Series 2012-1 Class A2, 1.25% 4/15/15	7,860		7,889
Series 2012-2 Class A2, 0.91% 5/15/15	13,000		12,996
Series 2012-3 Class A3, 1.08% 4/15/16	6,050		6,057
Saxon Asset Securities Trust Series 2004-1 Class M1, 1.0338% 3/25/35 (h)	881		646
Sierra Receivables Funding Co. Series 2007-1A Class A2, 0.3898% 3/20/19 (FGIC Insured) (d)(h)	279		272
SLM Private Credit Student Loan Trust:
Series 2004 B Class A2, 0.6737% 6/15/21 (h)	6,391		6,139
Series 2004-A:
Class B, 1.0537% 6/15/33 (h)	1,755		1,130
Class C, 1.4237% 6/15/33 (h)	5,771		2,137
Series 2004-B Class C, 1.3437% 9/15/33 (h)	8,600		4,456
Specialty Underwriting & Residential Finance Trust Series 2006-AB2 Class N1, 5.75% 6/25/37 (d)	157		0
Structured Asset Investment Loan Trust Series 2004-8 Class M5, 1.9638% 9/25/34 (h)	43		14
SVO VOI Mortgage Corp. Series 2006-AA Class A, 5.28% 2/20/24 (d)	126		130
Terwin Mortgage Trust Series 2003-4HE Class A1, 1.0988% 9/25/34 (h)	386		281
Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 1.0292% 4/6/42 (d)(h)	268		3
Volkswagen Auto Lease Trust:
Series 2010-A:
Class A3, 0.99% 11/20/13	14,330		14,351
Class A4, 1.18% 10/20/15	5,990		6,016
Series 2011-A Class A2, 1% 2/20/14	6,220		6,233
Volkswagen Auto Loan Enhanced Trust:
Series 2011-1 Class A3, 1.22% 6/22/15	22,960		23,110
Series 2012-1 Series A2, 0.61% 10/20/14	8,560		8,562
Wachovia Auto Owner Trust Series 2008-A Class A4B, 1.3898% 3/20/14 (h)	2,596		2,597
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
WaMu Asset Holdings Corp. Series 2006-8 Class N1, 6.048% 10/25/46 (d)	$ 598		$ 0
Wells Fargo Home Equity Trust Series 2004-3 Class A, 4.5% 11/27/34 (d)	5		0
Whinstone Capital Management Ltd. Series 1A Class B3, 2.2657% 10/25/44 (d)(h)	5,586		3,240
World Omni Automobile Lease Securitization Trust Series 2011-A, Class A3, 1.49% 10/15/14	7,210		7,250
TOTAL ASSET-BACKED SECURITIES (Cost $1,110,498)		1,069,375
Collateralized Mortgage Obligations - 4.6%
Private Sponsor - 1.8%
Arkle Master Issuer PLC floater Series 2010-1A Class 2A, 1.6159% 5/17/60 (d)(h)	7,000		7,017
Arran Residential Mortgages Funding PLC floater Series 2011-1A Class A1C, 1.6794% 11/19/47 (d)(h)	9,452		9,467
Banc of America Funding Trust sequential payer Series 2009-R1 Class A1, 5.0032% 5/20/36 (h)	977		982
Countrywide Alternative Loan Trust Series 2006-OC5N Class N, 7.25% 7/25/37 (d)	2,020		0
Credit Suisse Mortgage Capital Certificates:
floater Series 2011-7R Class A1, 1.4888% 8/28/47 (d)(h)	6,159		6,051
sequential payer Series 2010-16 Class A1, 3% 6/25/50 (d)	3,427		3,348
Gracechurch Mortgage Financing PLC floater Series 2006-1 Class A6, 0.5669% 11/20/56 (d)(h)	9,095		9,071
Granite Master Issuer PLC floater:
Series 2005-4 Class C2, 1.3398% 12/20/54 (h)	49		28
Series 2006-1A:
Class A5, 0.3798% 12/20/54 (d)(h)	9,313		8,881
Class C2, 1.4398% 12/20/54 (d)(h)	4,170		2,419
Series 2006-2:
Class C1, 1.1798% 12/20/54 (h)	15,090		8,752
Class M2, 0.6998% 12/20/54 (h)	3,000		2,235
Series 2006-3 Class C2, 0.7398% 12/20/54 (h)	6,611		3,834
Series 2006-4:
Class B1, 0.4198% 12/20/54 (h)	13,366		11,227
Class C1, 0.9998% 12/20/54 (h)	8,172		4,740
Class M1, 0.5798% 12/20/54 (h)	3,521		2,623
Collateralized Mortgage Obligations - continued
	Principal Amount (000s)		Value (000s)
Private Sponsor - continued
Granite Master Issuer PLC floater: - continued
Series 2007-1:
Class 1C1, 0.8398% 12/20/54 (h)	$ 1,340		$ 777
Class 1M1, 0.5398% 12/20/54 (h)	881		656
Class 2C1, 1.1998% 12/20/54 (h)	610		354
Class 2M1, 0.7398% 12/20/54 (h)	1,132		843
Series 2007-2 Class 2C1, 1.0988% 12/17/54 (h)	1,568		909
Granite Mortgages Series 2003-2 Class 1A3, 0.9657% 7/20/43 (h)	4,500		4,310
Granite Mortgages PLC floater:
Series 2003-3:
Class 1A3, 0.8657% 1/20/44 (h)	2,690		2,574
Class 1C, 2.9157% 1/20/44 (h)	2,644		1,864
Series 2004-1 Class 2A1, 0.7937% 3/20/44 (h)	10,710		10,196
Series 2004-3 Class 2A1, 0.7537% 9/20/44 (h)	8,815		8,387
Holmes Master Issuer PLC floater:
Series 2007-2A Class 4A, 0.5667% 7/15/20 (h)	16,530		16,522
Series 2012-1A Class A1, 0.4403% 1/15/13 (d)(h)	14,130		14,138
MASTR Adjustable Rate Mortgages Trust Series 2007-3 Class 22A2, 0.4488% 5/25/47 (h)	537		333
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.4088% 2/25/37 (h)	843		566
Morgan Stanley Reremic Trust Series 2010-R3 Class 3A, 0.4788% 6/26/36 (d)(h)	3,164		3,151
RESI Finance LP/RESI Finance DE Corp. floater Series 2003-B:
Class B5, 2.5888% 7/10/35 (d)(h)	541		440
Class B6, 3.0888% 7/10/35 (d)(h)	64		51
Residential Funding Securities Corp. floater Series 2003-RP2 Class A1, 0.6888% 6/25/33 (d)(h)	122		115
Santander Drive Auto Receivables Trust sequential payer Series 2011-3 Class A2, 1.11% 8/15/14	7,013		7,026
Sasco Net Interest Margin Trust Series 2006-BC1A Class A, 6.25% 3/27/36 (d)	1,466		0
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 1.668% 7/20/34 (h)	24		17
Structured Asset Securities Corp. Series 2004-21XS Class 2A3, 4.32% 12/25/34	384		382
TBW Mortgage-Backed pass-thru certificates floater Series 2006-4 Class A3, 0.4388% 9/25/36 (h)	2,204		1,759
TOTAL PRIVATE SPONSOR			156,045
Collateralized Mortgage Obligations - continued
	Principal Amount (000s)		Value (000s)
U.S. Government Agency - 2.8%
Fannie Mae:
floater:
Series 2008-76 Class EF, 0.7388% 9/25/23 (h)	$ 1,739		$ 1,744
Series 2010-86 Class FE, 0.6888% 8/25/25 (h)	6,594		6,618
floater planned amortization Series 2005-90 Class FC, 0.4888% 10/25/35 (h)	6,609		6,597
planned amortization class:
Series 1993-187 Class L, 6.5% 7/25/23	266		266
Series 2006-53 Class WB, 6% 12/25/31	2,458		2,472
Series 2006-54 Class PE, 6% 2/25/33	2,447		2,601
sequential payer:
Series 2001-40 Class Z, 6% 8/25/31	1,549		1,720
Series 2002-56 Class MC, 5.5% 9/25/17	787		841
Series 2003-129 Class GF, 0.6388% 4/25/30 (h)	145		145
Series 2003-76 Class BA, 4.5% 3/25/18	2,848		2,971
Series 2009-31 Class A, 4% 2/25/24	3,069		3,201
Series 2010-135 Class DE, 2.25% 4/25/24	10,859		11,034
Series 2011-16 Class FB, 0.3888% 3/25/31 (h)	19,493		19,479
Series 2010-123 Class DL, 3.5% 11/25/25	4,713		4,915
Series 2010-143 Class B, 3.5% 12/25/25	7,431		7,806
Series 2011-23 Class AB, 2.75% 6/25/20	5,873		6,099
Series 2011-88 Class AB, 2.5% 9/25/26	8,117		8,344
Federal Home Loan Mortgage Corp. floater sequential payer Series 3943 Class EF 0.4888% 2/15/26 (h)	10,650		10,632
Freddie Mac:
floater:
Series 2711 Class FC, 1.1388% 2/15/33 (h)	13,557		13,774
Series 3346 Class FA, 0.4688% 2/15/19 (h)	29,602		29,643
floater planned amortization Series 3117 Class JF, 0.5388% 2/15/36 (h)	7,441		7,447
floater sequential payer Series 3387 Class DF, 0.4188% 10/15/17 (h)	8,635		8,634
planned amortization class:
Series 2382 Class MB, 6% 11/15/16	1,517		1,628
Series 2394 Class KD, 6% 12/15/16	790		835
Series 2417 Class EH, 6% 2/15/17	465		501
Series 2535 Class PC, 6% 9/15/32	1,477		1,563
Series 2770 Class UD, 4.5% 5/15/17	2,226		2,243
Series 2866 Class XE, 4% 12/15/18	5,545		5,737
Series 2901 Class UM, 4.5% 1/15/30	1,143		1,147
Series 3792 Class DF, 0.6388% 11/15/40 (h)	22,846		22,887
Collateralized Mortgage Obligations - continued
	Principal Amount (000s)		Value (000s)
U.S. Government Agency - continued
Freddie Mac: - continued
sequential payer:
Series 2635 Class DG, 4.5% 1/15/18	$ 3,001		$ 3,109
Series 2915 Class DC, 4.5% 3/15/19	2,470		2,522
Series 3560 Class LA, 2% 8/15/14	2,448		2,464
Series 3573 Class LC, 1.85% 8/15/14	5,062		5,093
Series 3659 Class EJ 3% 6/15/18	13,443		13,877
Series 3696 Class AE, 1.2% 7/15/15	6,338		6,352
Ginnie Mae guaranteed REMIC pass-thru certificates floater sequential payer Series 2010-120 Class FB 0.5398% 9/20/35 (h)	12,222		12,232
Government National Mortgage Association floater sequential payer Series 2011-150 Class D, 3% 4/20/37	7,516		7,724
TOTAL U.S. GOVERNMENT AGENCY			246,897
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $409,824)		402,942
Commercial Mortgage Securities - 5.6%
Asset Securitization Corp. Series 1997-D5 Class PS1, 1.4221% 2/14/43 (h)(j)	8,223		103
Banc of America Commercial Mortgage, Inc.:
sequential payer Series 2007-1 Class A2, 5.381% 1/15/49	440		440
Series 2005-4 Class XP, 0.3455% 7/10/45 (h)(j)	32,225		26
Banc of America Large Loan, Inc. floater:
Series 2005-MIB1:
Class F, 0.7088% 3/15/22 (d)(h)	415		402
Class G, 0.7688% 3/15/22 (d)(h)	2,159		2,029
Class H, 1.0188% 3/15/22 (d)(h)	3,540		3,275
Series 2006-BIX1:
Class F, 0.5488% 10/15/19 (d)(h)	1,104		1,049
Class G, 0.5688% 10/15/19 (d)(h)	1,645		1,546
Bayview Commercial Asset Trust:
floater:
Series 2003-2 Class M1, 1.0888% 12/25/33 (d)(h)	42		30
Series 2004-1:
Class A, 0.5988% 4/25/34 (d)(h)	1,964		1,620
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Bayview Commercial Asset Trust: - continued
floater:
Series 2004-1:
Class B, 2.1388% 4/25/34 (d)(h)	$ 209		$ 122
Class M1, 0.7988% 4/25/34 (d)(h)	178		126
Class M2, 1.4388% 4/25/34 (d)(h)	156		109
Series 2005-2A:
Class A1, 0.5488% 8/25/35 (d)(h)	759		524
Class M1, 0.6688% 8/25/35 (d)(h)	53		27
Class M2, 0.7188% 8/25/35 (d)(h)	87		39
Class M3, 0.7388% 8/25/35 (d)(h)	48		19
Series 2005-3A:
Class A2, 0.6388% 11/25/35 (d)(h)	268		169
Class M1, 0.6788% 11/25/35 (d)(h)	46		26
Class M2, 0.7288% 11/25/35 (d)(h)	58		31
Class M3, 0.7488% 11/25/35 (d)(h)	52		27
Class M4, 0.8388% 11/25/35 (d)(h)	64		31
Series 2005-4A:
Class A2, 0.6288% 1/25/36 (d)(h)	3,578		2,483
Class B1, 1.6388% 1/25/36 (d)(h)	280		39
Class M1, 0.6888% 1/25/36 (d)(h)	1,142		500
Class M2, 0.7088% 1/25/36 (d)(h)	371		145
Class M3, 0.7388% 1/25/36 (d)(h)	492		174
Class M4, 0.8488% 1/25/36 (d)(h)	273		85
Class M5, 0.8888% 1/25/36 (d)(h)	273		74
Class M6, 0.9388% 1/25/36 (d)(h)	277		51
Series 2006-1:
Class A2, 0.5988% 4/25/36 (d)(h)	1,215		784
Class M1, 0.6188% 4/25/36 (d)(h)	377		222
Class M2, 0.6388% 4/25/36 (d)(h)	399		220
Class M3, 0.6588% 4/25/36 (d)(h)	343		173
Class M4, 0.7588% 4/25/36 (d)(h)	195		90
Class M5, 0.7988% 4/25/36 (d)(h)	188		77
Class M6, 0.8788% 4/25/36 (d)(h)	409		161
Series 2006-2A:
Class A1, 0.4688% 7/25/36 (d)(h)	1,338		903
Class A2, 0.5188% 7/25/36 (d)(h)	991		659
Class B1, 1.1088% 7/25/36 (d)(h)	359		36
Class B3, 2.9388% 7/25/36 (d)(h)	484		17
Class M1, 0.5488% 7/25/36 (d)(h)	1,040		422
Class M2, 0.5688% 7/25/36 (d)(h)	732		261
Class M3, 0.5888% 7/25/36 (d)(h)	579		180
Class M4, 0.6588% 7/25/36 (d)(h)	388		102
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Bayview Commercial Asset Trust: - continued
floater:
Series 2006-3A:
Class M5, 0.7088% 7/25/36 (d)(h)	$ 479		$ 85
Class M6, 0.7788% 7/25/36 (d)(h)	752		96
Class B1, 1.0388% 10/25/36 (d)(h)	36		0*
Class M4, 0.6688% 10/25/36 (d)(h)	99		8
Class M5, 0.7188% 10/25/36 (d)(h)	119		7
Class M6, 0.7988% 10/25/36 (d)(h)	232		7
Series 2006-4A:
Class A1, 0.4688% 12/25/36 (d)(h)	456		295
Class A2, 0.5088% 12/25/36 (d)(h)	2,067		913
Class B1, 0.9388% 12/25/36 (d)(h)	71		3
Class B2, 1.4888% 12/25/36 (d)(h)	29		1
Class M1, 0.5288% 12/25/36 (d)(h)	149		41
Class M2, 0.5488% 12/25/36 (d)(h)	99		19
Class M3, 0.5788% 12/25/36 (d)(h)	101		14
Class M4, 0.6388% 12/25/36 (d)(h)	121		14
Class M5, 0.6788% 12/25/36 (d)(h)	111		10
Class M6, 0.7588% 12/25/36 (d)(h)	99		6
Series 2007-1 Class A2, 0.5088% 3/25/37 (d)(h)	2,095		1,047
Series 2007-2A:
Class A1, 0.5088% 7/25/37 (d)(h)	375		202
Class A2, 0.5588% 7/25/37 (d)(h)	351		117
Class B1, 1.8388% 7/25/37 (d)(h)	105		3
Class M1, 0.6088% 7/25/37 (d)(h)	125		17
Class M2, 0.6488% 7/25/37 (d)(h)	70		6
Class M3, 0.7288% 7/25/37 (d)(h)	70		5
Class M4, 0.8888% 7/25/37 (d)(h)	137		9
Class M5, 0.9888% 7/25/37 (d)(h)	120		6
Class M6, 1.2388% 7/25/37 (d)(h)	153		6
Series 2007-3:
Class A2, 0.5288% 7/25/37 (d)(h)	523		246
Class B1, 1.1888% 7/25/37 (d)(h)	456		33
Class B2, 1.8388% 7/25/37 (d)(h)	1,175		41
Class B3, 4.2388% 7/25/37 (d)(h)	24		0*
Class M1, 0.5488% 7/25/37 (d)(h)	394		101
Class M2, 0.5788% 7/25/37 (d)(h)	422		78
Class M3, 0.6088% 7/25/37 (d)(h)	686		97
Class M4, 0.7388% 7/25/37 (d)(h)	1,075		132
Class M5, 0.8388% 7/25/37 (d)(h)	545		59
Class M6, 1.0388% 7/25/37 (d)(h)	415		39
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Bayview Commercial Asset Trust: - continued
floater:
Series 2007-4A:
Class A2, 0.7888% 9/25/37 (d)(h)	$ 4,398		$ 740
Class B1, 2.7888% 9/25/37 (d)(h)	216		9
Class M1, 1.1888% 9/25/37 (d)(h)	693		51
Class M2, 1.2888% 9/25/37 (d)(h)	693		38
Class M4, 1.8388% 9/25/37 (d)(h)	1,822		74
Class M5, 1.9888% 9/25/37 (d)(h)	1,822		56
Class M6, 2.1888% 9/25/37 (d)(h)	1,822		35
Series 2004-1, Class IO, 1.25% 4/25/34 (d)(j)	14,137		533
Series 2006-2A Class IO, 3.1745% 7/25/36 (c)(d)(j)	37,965		1,017
Bear Stearns Commercial Mortgage Securities, Inc. Series 2006-PW11 Class AAB, 5.6195% 3/11/39 (h)	5,638		5,896
Bear Stearns Commercial Mortgage Securities Trust:
floater:
Series 2006-BBA7:
Class H, 0.8888% 3/15/19 (d)(h)	275		264
Class J, 1.0888% 3/15/19 (d)(h)	274		249
Series 2007-BBA8:
Class A2, 0.3888% 3/15/22 (d)(h)	4,677		4,604
Class D, 0.4888% 3/15/22 (d)(h)	303		274
Class E, 0.5388% 3/15/22 (d)(h)	1,576		1,394
Class F, 0.5888% 3/15/22 (d)(h)	967		836
Class G, 0.6388% 3/15/22 (d)(h)	248		209
Class H, 0.7888% 3/15/22 (d)(h)	303		238
Class J, 0.9388% 3/15/22 (d)(h)	303		229
sequential payer:
Series 2005-PWR8 Class A4, 4.674% 6/11/41	8,790		9,516
Series 2007-PW17 Class A2, 5.574% 6/11/50	1,458		1,460
Series 2004-PWR6 Class X2, 0.8478% 11/11/41 (h)(j)	16,353		59
Series 2005-PWR9 Class X2, 0.5337% 9/11/42 (d)(h)(j)	103,285		521
Series 2005-T18 Class A4, 4.933% 2/13/42	12,590		13,608
Series 2006-T24 Class X2, 0.6233% 10/12/41 (d)(h)(j)	821		5
C-BASS Trust floater Series 2006-SC1 Class A, 0.5088% 5/25/36 (d)(h)	4,449		3,721
CDC Commercial Mortgage Trust Series 2002-FX1 Class XCL, 1.3344% 5/15/35 (d)(h)(j)	35,512		759
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Citigroup Commercial Mortgage Trust floater Series 2006-FL2:
Class G, 0.5698% 8/15/21 (d)(h)	$ 118		$ 114
Class H, 0.6098% 8/15/21 (d)(h)	258		241
Citigroup/Deutsche Bank Commercial Mortgage Trust Series 2006-CD3 Class X3, 0.6723% 10/15/48 (h)(j)	221,263		1,551
COMM pass-thru certificates:
floater:
Series 2005-F10A:
Class G, 0.7888% 4/15/17 (d)(h)	46		45
Class H, 0.8588% 4/15/17 (d)(h)	116		103
Class J, 1.0888% 4/15/17 (d)(h)	89		66
Series 2005-FL11:
Class F, 0.6888% 11/15/17 (d)(h)	101		92
Class G, 0.7388% 11/15/17 (d)(h)	70		63
Series 2006-CN2A Class A2FL, 0.4588% 2/5/19 (d)(h)	3,060		2,891
sequential payer Series 2006-CN2A:
Class A2FX, 5.449% 2/5/19 (d)	7,645		7,421
Class AJFX, 5.478% 2/5/19 (d)	4,380		4,343
Series 2006-C8 Class XP, 0.6588% 12/10/46 (h)(j)	4,023		30
Series 2006-CN2A Class E, 5.7556% 2/5/19 (d)(h)	4,440		4,203
Commercial Mortgage pass-thru certificates:
Series 2004-LB4A Class A5, 4.84% 10/15/37	23,330		24,388
Series 2011-STRT Class A, 2.555% 12/10/24 (d)	7,700		7,727
Credit Suisse Commercial Mortgage Trust:
sequential payer Series 2007-C3 Class A2, 5.8672% 6/15/39 (h)	1,005		1,005
Series 2006-C5 Class ASP, 0.8651% 12/15/39 (h)(j)	181,365		1,828
Credit Suisse First Boston Mortgage Securities Corp.:
Series 2001-CK6 Class AX, 1.2267% 8/15/36 (h)(j)	12,138		28
Series 2003-C4 Class A4, 5.137% 8/15/36	7,580		7,827
Credit Suisse Mortgage Capital Certificates floater Series 2007-TFL1:
Class C:
0.4088% 2/15/22 (d)(h)	1,256		1,143
0.5088% 2/15/22 (d)(h)	448		399
Class F, 0.5588% 2/15/22 (d)(h)	897		780
DBUBS 2011 LC3 Series 2011-LC3A Class A1, 2.238% 8/10/44	2,840		2,908
Freddie Mac pass-thru certificates Series K708 Class A1, 1.67% 10/25/18	8,720		8,870
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Freddie Mac Multi-Class pass-thru certificates:
sequential payer Series K501 Class A1, 1.337% 6/25/16	$ 11,373		$ 11,469
Series K707 Class A1, 1.615% 9/25/18	12,110		12,302
GE Capital Commercial Mortgage Corp.:
sequential payer Series 2006-C1 Class A4, 5.5076% 3/10/44 (h)	11,890		13,175
Series 2001-1 Class X1, 1.7136% 5/15/33 (d)(h)(j)	7,022		64
Series 2007-C1 Class XP, 0.3359% 12/10/49 (h)(j)	2,473		10
GMAC Commercial Mortgage Securities, Inc.:
sequential payer Series 2003-C2:
Class A1, 4.576% 5/10/40	2,335		2,370
Class A2, 5.6355% 5/10/40 (h)	4,180		4,353
Series 2004-C2 Class A4, 5.301% 8/10/38	8,290		8,765
Greenwich Capital Commercial Funding Corp.:
floater Series 2006-FL4 Class B, 0.4288% 11/5/21 (d)(h)	8,330		7,819
sequential payer Series 2005-GG3 Class A2, 4.305% 8/10/42 (h)	5,155		5,152
GS Mortgage Securities Corp. II:
floater:
Series 2006-FL8A Class F, 0.6788% 6/6/20 (d)(h)	562		543
Series 2007-EOP:
Class A1, 1.1031% 3/6/20 (d)(h)	14,724		14,612
Class C, 2.0056% 3/6/20 (d)(h)	4,021		3,975
Class D, 2.2018% 3/6/20 (d)(h)	1,390		1,374
Class E, 2.4764% 3/6/20 (d)(h)	1,905		1,884
Class F, 2.6334% 3/6/20 (d)(h)	967		956
Class G, 2.7903% 3/6/20 (d)(h)	479		473
Class H, 3.3004% 3/6/20 (d)(h)	799		792
Class J, 4.0852% 3/6/20 (d)(h)	1,146		1,141
sequential payer:
Series 2005-GG4 Class A3, 4.607% 7/10/39	2,485		2,484
Serries 2004-GG2 Class A6, 5.396% 8/10/38 (h)	9,160		9,817
Series 2006-GG6 Class A2, 5.506% 4/10/38	5,726		5,732
GS Mortgage Securities Trust:
sequential payer Series 2006-GG8 Class A2, 5.479% 11/10/39	8,674		8,701
Series 2011-GC5 Class A1, 1.468% 8/10/44 (h)	6,921		6,960
Series 2012-GC6 Class A1, 1.282% 1/10/45	3,022		3,028
JP Morgan Chase Commercial Mortgage Securities Corp. Series 2012-C6 Class A1, 1.0305% 5/15/45	8,295		8,288
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
JPMorgan Chase Commercial Mortgage Securities Corp.:
floater Series 2011-CCHP Class A, 2.6% 7/15/28 (d)(h)	$ 23,980		$ 23,943
sequential payer Series 2003-C1 Class A2, 4.985% 1/12/37	6,805		6,909
Series 2003-CB7 Class A4, 4.879% 1/12/38 (h)	3,316		3,440
Series 2006-LDP7 Class A2, 6.0509% 4/15/45 (h)	190		190
JPMorgan Chase Commercial Mortgage Securities Trust:
floater Series 2006-FLA2:
Class A2, 0.3688% 11/15/18 (d)(h)	2,865		2,792
Class D, 0.4688% 11/15/18 (d)(h)	99		96
Class E, 0.5188% 11/15/18 (d)(h)	142		134
Class F, 0.5688% 11/15/18 (d)(h)	212		191
Class G, 0.5988% 11/15/18 (d)(h)	185		153
Class H, 0.7388% 11/15/18 (d)(h)	142		115
sequential payer:
Series 2005-LDP5 Class A2, 5.198% 12/15/44	5,688		5,711
Series 2007-LD11 Class A2, 5.9877% 6/15/49 (h)	7,005		7,028
Series 2007-LDPX Class A2 S, 5.305% 1/15/49	2,338		2,357
LB-UBS Commercial Mortgage Trust:
sequential payer:
Series 2003-C3 Class A4, 4.166% 5/15/32	2,850		2,909
Series 2006-C1 Class A2, 5.084% 2/15/31	4,641		4,665
Series 2006-C6 Class A2, 5.262% 9/15/39 (h)	70		70
Series 2007-C6 Class A2, 5.845% 7/15/40	4,400		4,493
Series 2004-C8, 4.799% 12/15/29	8,479		9,035
Series 2006-C1 Class XCP, 0.5141% 2/15/41 (h)(j)	144,241		368
Series 2006-C6 Class XCP, 0.8617% 9/15/39 (h)(j)	96,509		850
Series 2007-C1 Class XCP, 0.6211% 2/15/40 (h)(j)	35,998		261
Series 2007-C2 Class XCP, 0.6794% 2/15/40 (h)(j)	175,476		1,626
Lehman Brothers Floating Rate Commercial Mortgage Trust floater Series 2006-LLFA:
Class F, 0.5788% 9/15/21 (d)(h)	2,254		1,920
Class G, 0.5988% 9/15/21 (d)(h)	1,521		1,249
Class H, 0.6388% 9/15/21 (d)(h)	392		307
Merrill Lynch Mortgage Trust:
sequential payer Series 2005-MKB2 Class A2, 4.806% 9/12/42	633		632
Series 2005-MCP1 Class XP, 0.8281% 6/12/43 (h)(j)	29,906		206
Series 2005-MKB2 Class XP, 0.43% 9/12/42 (h)(j)	13,067		29
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Merrill Lynch-CFC Commercial Mortgage Trust:
sequential payer Series 2007-9 Class A2, 5.59% 9/12/49	$ 3,226		$ 3,229
Series 2006-4 Class XP, 0.8105% 12/12/49 (h)(j)	72,117		1,079
Morgan Stanley Capital I Trust:
floater:
Series 2006-XLF Class C, 1.439% 7/15/19 (d)(h)	241		140
Series 2007-XLFA:
Class A2, 0.339% 10/15/20 (d)(h)	8,433		8,038
Class B, 0.369% 10/15/20 (d)(h)	202		186
Class C, 0.399% 10/15/20 (d)(h)	2,400		2,160
Class D, 0.429% 10/15/20 (d)(h)	1,889		1,644
Class E, 0.489% 10/15/20 (d)(h)	562		466
Class F, 0.539% 10/15/20 (d)(h)	337		256
Class G, 0.579% 10/15/20 (d)(h)	417		300
Class H, 0.669% 10/15/20 (d)(h)	262		176
Class J, 0.819% 10/15/20 (d)(h)	154		65
sequential payer:
Series 2003-IQ4 Class A2, 4.07% 5/15/40	2,833		2,882
Series 2007-IQ14 Class A2, 5.61% 4/15/49	9,254		9,517
Series 2012-C4 Class A1, 1.085% 3/15/45	8,263		8,259
Series 2005-HQ5 Class X2, 0.4011% 1/14/42 (h)(j)	30,658		64
Series 2005-TOP17 Class X2, 0.802% 12/13/41 (h)(j)	24,549		95
Series 2006-HQ10 Class X2, 0.691% 11/12/41 (d)(h)(j)	2,115		5
Series 2011-C3 Class A1, 2.178% 7/15/49	15,733		16,086
Morgan Stanley Dean Witter Capital I Trust sequential payer Series 2003-T11 Class A4, 5.15% 6/13/41	3,539		3,652
Structured Asset Securities Corp. Series 1997-LLI Class F, 7.3% 10/12/34 (d)	3,490		3,491
UBS Commercial Mortgage Trust Series 2012-C1 Class A1, 1.032% 5/10/45	5,440		5,431
Wachovia Bank Commercial Mortgage Trust:
floater:
Series 2006-WL7A:
Class A1, 0.3303% 9/15/21 (d)(h)	16,421		15,919
Class E, 0.5198% 9/15/21 (d)(h)	938		744
Class F, 0.5798% 9/15/21 (d)(h)	1,264		965
Class G, 0.5998% 9/15/21 (d)(h)	1,198		875
Class J, 0.8398% 9/15/21 (d)(h)	266		123
Series 2007-WHL8 Class F, 0.7188% 6/15/20 (d)(h)	2,172		1,586
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Wachovia Bank Commercial Mortgage Trust: - continued
Series 2003-C9 Class A4, 5.012% 12/15/35	$ 10,660		$ 11,108
Series 2006-C23:
Class A5, 5.416% 1/15/45 (h)	15,350		17,110
Class X, 0.2586% 1/15/45 (d)(h)(j)	813,230		857
Series 2007-C30 Class XP, 0.6679% 12/15/43 (d)(h)(j)	189,070		1,641
Series 2007-C31A Class A2, 5.421% 4/15/47	7,376		7,610
WF-RBS Commercial Mortgage Trust sequential payer Series 2011-C5 Class A1, 1.456% 11/15/44	2,689		2,706
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $520,152)		494,235
Municipal Securities - 0.6%
California Poll. Cont. Fing. Auth. Solid Waste Disp. Rev. Bonds (Republic Svcs., Inc. Proj.) Series 2010 A, 0.65%, tender 8/1/12 (h)(i)	1,000		1,000
Illinois Gen. Oblig. Series 2010, 3.321% 1/1/13	9,917		10,057
Indiana Fin. Auth.'s Econ. Dev. Bonds (Republic Svcs., Inc. Proj.) Series A, 0.6%, tender 9/4/12 (h)(i)	11,350		11,350
Kentucky Econ. Dev. Fin. Auth. Solid Waste Disp. Rev. Bonds (Republic Svcs., Inc. Proj.):
Series A, 0.6%, tender 9/4/12 (h)(i)	4,420		4,420
Series B, 0.45%, tender 7/2/12 (h)	6,100		6,100
Louisville/Jefferson County Metropolitan Govt. Poll. Cont. Rev. Bonds (Louisville Gas and Electronic Co. Proj.) Series 2007 B, 1.9%, tender 6/1/12 (h)	3,000		3,000
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 (h)(i)	15,900		15,957
Pennsylvania Econ. Dev. Fing. Auth. Solid Waste Disp. Rev. Bonds (Republic Svcs., Inc. Proj.) Series 2010 A, 0.6%, tender 7/2/12 (h)(i)	5,000		5,001
TOTAL MUNICIPAL SECURITIES (Cost $56,679)		56,885
Foreign Government and Government Agency Obligations - 0.4%
	Principal Amount (000s)		Value (000s)
Ontario Province 0.95% 5/26/15	$ 28,300		$ 28,365
United Mexican States 6.625% 3/3/15	8,200		9,315
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $37,498)		37,680
Bank Notes - 0.1%
National City Bank, Cleveland 0.5875% 3/1/13 (h) (Cost $5,443)	5,470		5,472
Commercial Paper - 0.5%
British Telecommunications PLC 1.5% 5/14/13	15,000		14,817
Vodafone Group PLC yankee:
1% 6/11/12	7,000		6,999
1% 2/1/13	12,000		11,922
1.25% 3/12/13	13,000		12,897
TOTAL COMMERCIAL PAPER (Cost $46,570)		46,635

Money Market Funds - 0.3%
	Shares
Fidelity Cash Central Fund, 0.17% (a) (Cost $22,215)	22,215,473		22,215
TOTAL INVESTMENT PORTFOLIO - 99.9% (Cost $8,797,181)			8,785,317
NET OTHER ASSETS (LIABILITIES) - 0.1%			6,082
NET ASSETS - 100%		$ 8,791,399

Futures Contracts
	Expiration Date	Underlying Face Amount at Value (000s)	Unrealized Appreciation/ (Depreciation) (000s)
Purchased
Eurodollar Contracts
100 Eurodollar 90 Day Index Contracts	June 2012	$ 99,881	$ 15

The face value of futures purchased as a percentage of net assets is 1.1%

Swap Agreements
		Notional Amount (000s)	Value (000s)
Credit Default Swaps
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-C)(g)	Oct. 2034	$ 305	$ (122)
Receive monthly notional amount multiplied by 1.545% 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	255	(189)
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	129	(99)
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
		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-C)(g)	Oct. 2034	$ 334	$ (262)
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	247	(214)
		$ 1,274	$ (890)

Legend

(a) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.

(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 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 $918,463,000 or 10.4% of net assets.

(e) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the period end, the value of securities pledged amounted to $52,000.

(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 $1,449,000.

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

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

(j) 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 as of the end of the period.

(k) 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 $4,251,000 or 0.0% 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	$ 4,165

* Amount represents less than $1,000.

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 (Amount in thousands)
Fidelity Cash Central Fund	$ 32

Other Information

The following is a summary of the inputs used, as of May 31, 2012, 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	$ 2,930,298	$ -	$ 2,926,047	$ 4,251
U.S. Government and Government Agency Obligations	3,239,349	-	3,239,349	-
U.S. Government Agency - Mortgage Securities	480,231	-	480,231	-
Asset-Backed Securities	1,069,375	-	1,049,884	19,491
Collateralized Mortgage Obligations	402,942	-	402,451	491
Commercial Mortgage Securities	494,235	-	470,798	23,437
Municipal Securities	56,885	-	56,885	-
Foreign Government and Government Agency Obligations	37,680	-	37,680	-
Bank Notes	5,472	-	5,472	-
Commercial Paper	46,635	-	46,635	-
Money Market Funds	22,215	22,215	-	-
Total Investments in Securities:	$ 8,785,317	$ 22,215	$ 8,715,432	$ 47,670
Derivative Instruments:
Assets
Futures Contracts	$ 15	$ 15	$ -	$ -
Liabilities
Swap Agreements	$ (890)	$ -	$ -	$ (890)
Total Derivative Instruments:	$ (875)	$ 15	$ -	$ (890)

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	$ 75,191
Total Realized Gain (Loss)	(12,893)
Total Unrealized Gain (Loss)	16,679
Cost of Purchases	2
Proceeds of Sales	(16,102)
Amortization/Accretion	625
Transfers in to Level 3	18,043
Transfers out of Level 3	(33,875)
Ending Balance	$ 47,670
The change in unrealized gain (loss) for the period attributable to Level 3 securities held at May 31, 2012	$ 3,117
Derivative Instruments:
Swap Agreements
Beginning Balance	$ (698)
Total Unrealized Gain (Loss)	(192)
Transfers in to Level 3	-
Transfers out of Level 3	-
Ending Balance	$ (890)
Realized gain (loss) on Swap Agreements for the period	$ 28
The change in unrealized gain (loss) for the period attributable to Level 3 Swap Agreements held at May 31, 2012	$ (192)

The information used in the above reconciliations 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, 2012, the cost of investment securities for income tax purposes was $8,799,116,000. Net unrealized depreciation aggregated $13,799,000, of which $93,228,000 related to appreciated investment securities and $107,027,000 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 commercial paper, 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. 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.

Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. 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 close out a credit default swap 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. On certain over-the-counter (OTC) derivatives such as credit default swaps, 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 on OTC derivatives, the Fund receives collateral in the form of cash or securities once the Fund's net unrealized appreciation on outstanding derivatives contracts under an ISDA Master Agreement exceed certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the counterparty and the Fund's custodian bank. 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 related to OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to the Fund. The Fund may be required to pledge collateral for the benefit of the counterparties on OTC derivatives in an amount not less than the counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified.

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 $1,274,000 representing .01% of net assets.

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

Spartan® U.S. Bond Index Fund

May 31, 2012

1.816026.107

UBI-QTLY-0712

Investments May 31, 2012 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 21.5%
	Principal Amount (000s)		Value (000s)
CONSUMER DISCRETIONARY - 1.4%
Diversified Consumer Services - 0.0%
University Southern California 5.25% 10/1/11	$ 2,000		$ 2,575
Hotels, Restaurants & Leisure - 0.1%
McDonald's Corp.:
5.35% 3/1/18	2,317		2,800
6.3% 3/1/38	7,045		9,852
Yum! Brands, Inc.:
4.25% 9/15/15	2,000		2,172
5.3% 9/15/19	2,000		2,333
			17,157
Media - 0.8%
AOL Time Warner, Inc. 7.625% 4/15/31	3,250		4,242
Comcast Corp.:
4.95% 6/15/16	1,862		2,097
5.7% 5/15/18	2,940		3,455
5.7% 7/1/19	8,500		10,132
6.4% 3/1/40	1,000		1,268
6.55% 7/1/39	3,000		3,739
6.95% 8/15/37	6,700		8,643
COX Communications, Inc. 4.625% 6/1/13	4,425		4,585
Discovery Communications LLC 5.05% 6/1/20	3,200		3,651
NBCUniversal Media LLC:
3.65% 4/30/15	2,248		2,394
6.4% 4/30/40	3,000		3,692
News America Holdings, Inc. 7.75% 12/1/45	3,160		3,876
News America, Inc.:
5.3% 12/15/14	868		953
5.65% 8/15/20	1,000		1,152
6.15% 3/1/37	3,955		4,470
6.9% 3/1/19	2,110		2,567
6.9% 8/15/39	2,000		2,406
Thomson Reuters Corp. 4.7% 10/15/19	4,000		4,574
Time Warner Cable, Inc.:
5.4% 7/2/12	2,421		2,429
5.85% 5/1/17	5,801		6,748
6.2% 7/1/13	2,302		2,430
6.75% 7/1/18	1,162		1,409
7.3% 7/1/38	4,000		5,105
8.75% 2/14/19	2,368		3,139
Time Warner, Inc.:
3.15% 7/15/15	5,000		5,270
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
CONSUMER DISCRETIONARY - continued
Media - continued
Time Warner, Inc.: - continued
4% 1/15/22	$ 1,000		$ 1,060
5.875% 11/15/16	2,131		2,507
6.5% 11/15/36	5,724		6,812
Viacom, Inc.:
4.375% 9/15/14	2,000		2,141
5.625% 9/15/19	1,000		1,186
6.125% 10/5/17	5,420		6,481
6.75% 10/5/37	1,865		2,429
Walt Disney Co.:
1.125% 2/15/17	2,760		2,745
2.55% 2/15/22	2,810		2,827
5.5% 3/15/19	2,000		2,449
			125,063
Multiline Retail - 0.1%
Target Corp.:
3.875% 7/15/20	3,000		3,324
5.875% 7/15/16	2,100		2,498
7% 1/15/38	3,100		4,456
			10,278
Specialty Retail - 0.4%
AutoZone, Inc. 3.7% 4/15/22	5,500		5,680
Home Depot, Inc.:
5.4% 3/1/16	6,400		7,377
5.875% 12/16/36	4,700		5,943
Lowe's Companies, Inc.:
1.625% 4/15/17	10,300		10,349
4.625% 4/15/20	2,000		2,266
4.65% 4/15/42	6,500		6,847
5.8% 4/15/40	2,000		2,415
Staples, Inc. 9.75% 1/15/14	10,000		11,262
			52,139
TOTAL CONSUMER DISCRETIONARY			207,212
CONSUMER STAPLES - 1.7%
Beverages - 0.5%
Anheuser-Busch Companies, Inc. 6.45% 9/1/37	4,073		5,611
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
CONSUMER STAPLES - continued
Beverages - continued
Anheuser-Busch InBev Worldwide, Inc.:
1.5% 7/14/14	$ 7,900		$ 7,996
4.125% 1/15/15	5,700		6,154
5.375% 1/15/20	1,500		1,808
8.2% 1/15/39	2,800		4,599
Diageo Capital PLC:
1.5% 5/11/17	1,700		1,700
5.2% 1/30/13	1,028		1,058
5.75% 10/23/17	5,185		6,251
Fortune Brands, Inc. 5.875% 1/15/36	10,000		11,134
PepsiCo, Inc.:
3.1% 1/15/15	10,300		10,911
4.875% 11/1/40	2,300		2,632
7.9% 11/1/18	6,000		8,049
The Coca-Cola Co.:
1.5% 11/15/15	3,770		3,861
3.15% 11/15/20	3,700		3,984
			75,748
Food & Staples Retailing - 0.4%
CVS Caremark Corp.:
5.75% 5/15/41	6,000		7,144
6.125% 9/15/39	1,000		1,236
Kroger Co. 3.9% 10/1/15	9,000		9,744
Safeway, Inc. 5% 8/15/19	1,000		1,061
Wal-Mart Stores, Inc.:
2.8% 4/15/16	6,700		7,152
3.2% 5/15/14	10,000		10,499
5.625% 4/1/40	2,000		2,552
5.625% 4/15/41	4,600		5,875
6.5% 8/15/37	8,275		11,365
			56,628
Food Products - 0.4%
ConAgra Foods, Inc. 5.875% 4/15/14	4,000		4,338
General Mills, Inc. 5.65% 2/15/19	13,501		16,423
Kellogg Co.:
3.125% 5/17/22	1,875		1,889
3.25% 5/21/18	2,800		3,002
4.45% 5/30/16	2,000		2,218
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
CONSUMER STAPLES - continued
Food Products - continued
Kraft Foods Group, Inc.:
3.5% 6/6/22 (b)	$ 3,750		$ 3,836
5% 6/4/42 (b)	2,825		2,943
Kraft Foods, Inc.:
6% 2/11/13	7,895		8,166
6.125% 2/1/18	5,497		6,554
6.75% 2/19/14	535		585
6.875% 2/1/38	5,250		6,925
			56,879
Household Products - 0.1%
Kimberly-Clark Corp. 2.4% 3/1/22	5,200		5,209
Procter & Gamble Co.:
1.8% 11/15/15	5,000		5,187
2.3% 2/6/22	4,700		4,732
3.15% 9/1/15	4,500		4,845
			19,973
Tobacco - 0.3%
Altria Group, Inc. 9.7% 11/10/18	6,065		8,343
Philip Morris International, Inc.:
4.5% 3/26/20	2,000		2,316
4.875% 5/16/13	8,937		9,305
5.65% 5/16/18	6,789		8,179
6.375% 5/16/38	1,450		1,980
Reynolds American, Inc.:
6.75% 6/15/17	2,899		3,493
7.25% 6/15/37	7,220		9,103
			42,719
TOTAL CONSUMER STAPLES			251,947
ENERGY - 2.1%
Energy Equipment & Services - 0.2%
Baker Hughes, Inc. 5.125% 9/15/40	2,000		2,331
Halliburton Co.:
6.15% 9/15/19	2,000		2,489
7.45% 9/15/39	1,500		2,177
Noble Holding International Ltd.:
2.5% 3/15/17	4,650		4,700
3.05% 3/1/16	1,020		1,058
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
ENERGY - continued
Energy Equipment & Services - continued
Noble Holding International Ltd.: - continued
4.625% 3/1/21	$ 1,340		$ 1,449
5.25% 3/15/42	3,100		3,153
Weatherford International Ltd.:
4.95% 10/15/13	1,726		1,804
5.15% 3/15/13	2,255		2,323
7% 3/15/38	5,580		6,480
			27,964
Oil, Gas & Consumable Fuels - 1.9%
Anadarko Petroleum Co. 6.2% 3/15/40	2,000		2,296
Anadarko Petroleum Corp.:
5.75% 6/15/14	5,000		5,390
6.45% 9/15/36	2,675		3,134
Apache Corp. 5.1% 9/1/40	3,000		3,424
Boardwalk Pipelines LP 5.75% 9/15/19	1,000		1,130
Canadian Natural Resources Ltd.:
5.15% 2/1/13	4,456		4,584
5.7% 5/15/17	1,148		1,347
Cenovus Energy, Inc. 6.75% 11/15/39	2,000		2,563
ConocoPhillips:
4.6% 1/15/15	3,000		3,290
5.75% 2/1/19	2,902		3,571
6.5% 2/1/39	7,529		10,370
Devon Energy Corp. 5.625% 1/15/14	2,321		2,491
El Paso Natural Gas Co. 5.95% 4/15/17	926		1,044
Enbridge Energy Partners LP:
4.2% 9/15/21	8,700		9,292
5.875% 12/15/16	1,000		1,156
6.5% 4/15/18	1,000		1,219
Encana Holdings Finance Corp. 5.8% 5/1/14	2,861		3,096
Enterprise Products Operating LP:
4.05% 2/15/22	9,325		9,822
4.6% 8/1/12	5,000		5,031
4.85% 8/15/42	2,500		2,501
5.6% 10/15/14	1,937		2,129
5.65% 4/1/13	690		714
5.7% 2/15/42	2,000		2,233
6.65% 4/15/18	2,000		2,405
7.55% 4/15/38	2,000		2,662
EOG Resources, Inc. 5.625% 6/1/19	1,000		1,212
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
ENERGY - continued
Oil, Gas & Consumable Fuels - continued
Hess Corp. 5.6% 2/15/41	$ 3,400		$ 3,667
Kinder Morgan Energy Partners LP:
3.95% 9/1/22	7,000		7,075
5% 12/15/13	5,000		5,261
5.625% 9/1/41	1,000		1,064
6.55% 9/15/40	3,000		3,523
Magellan Midstream Partners LP 6.55% 7/15/19	4,592		5,586
Marathon Petroleum Corp.:
3.5% 3/1/16	1,000		1,054
5.125% 3/1/21	1,000		1,111
6.5% 3/1/41	1,000		1,112
Nexen, Inc.:
5.2% 3/10/15	900		960
5.875% 3/10/35	3,710		3,866
Occidental Petroleum Corp.:
1.75% 2/15/17	2,000		2,040
3.125% 2/15/22	2,000		2,096
Petro-Canada:
6.05% 5/15/18	3,650		4,317
6.8% 5/15/38	8,445		10,645
Petrobras International Finance Co. Ltd.:
5.375% 1/27/21	7,775		8,297
6.75% 1/27/41	3,650		4,206
7.875% 3/15/19	12,228		14,789
Petroleos Mexicanos 4.875% 1/24/22 (b)	18,010		18,820
Phillips 66 5.875% 5/1/42 (b)	9,500		10,168
Plains All American Pipeline LP/PAA Finance Corp.:
3.95% 9/15/15	2,000		2,146
5.75% 1/15/20	1,000		1,171
6.125% 1/15/17	1,795		2,093
6.65% 1/15/37	2,795		3,422
Shell International Finance BV:
1.875% 3/25/13	7,000		7,086
6.375% 12/15/38	4,200		5,824
Spectra Energy Capital, LLC 5.65% 3/1/20	2,000		2,298
StatoilHydro ASA:
2.9% 10/15/14	1,500		1,577
5.1% 8/17/40	2,000		2,390
Suncor Energy, Inc.:
6.1% 6/1/18	11,244		13,405
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
ENERGY - continued
Oil, Gas & Consumable Fuels - continued
Suncor Energy, Inc.: - continued
6.85% 6/1/39	$ 2,000		$ 2,549
Talisman Energy, Inc.:
5.5% 5/15/42	7,300		7,510
5.85% 2/1/37	5,000		5,321
Total Capital International SA 2.875% 2/17/22	4,175		4,230
TransCanada PipeLines Ltd.:
3.4% 6/1/15	1,000		1,067
6.1% 6/1/40	6,700		8,788
Valero Energy Corp. 6.625% 6/15/37	5,420		6,040
XTO Energy, Inc.:
5% 1/31/15	1,733		1,938
5.65% 4/1/16	1,189		1,413
			278,031
TOTAL ENERGY			305,995
FINANCIALS - 8.5%
Capital Markets - 1.3%
Bear Stearns Companies, Inc. 5.3% 10/30/15	1,159		1,256
BlackRock, Inc.:
1.375% 6/1/15	3,000		3,013
4.25% 5/24/21	6,500		7,119
Goldman Sachs Group, Inc.:
3.3% 5/3/15	2,225		2,193
3.625% 2/7/16	5,000		4,926
3.7% 8/1/15	7,848		7,786
5.125% 1/15/15	1,500		1,546
5.25% 7/27/21	4,500		4,455
5.625% 1/15/17	7,000		7,183
5.75% 1/24/22	2,400		2,464
6% 6/15/20	1,650		1,733
6.15% 4/1/18	1,951		2,038
6.25% 2/1/41	2,000		2,019
6.75% 10/1/37	14,510		14,306
JPMorgan Chase & Co. 1.875% 3/20/15	4,000		3,997
JPMorgan Chase Capital XX 6.55% 9/29/36	14,550		14,475
Lazard Group LLC:
6.85% 6/15/17	3,804		4,182
7.125% 5/15/15	1,364		1,485
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Capital Markets - continued
Merrill Lynch & Co., Inc.:
6.4% 8/28/17	$ 3,140		$ 3,338
6.875% 4/25/18	6,991		7,685
Morgan Stanley:
2.875% 1/24/14	5,000		4,883
2.875% 7/28/14	1,000		972
4.2% 11/20/14	7,250		7,131
4.75% 4/1/14	4,287		4,230
5.45% 1/9/17	236		231
5.5% 7/28/21	3,400		3,186
5.625% 9/23/19	2,000		1,909
5.75% 1/25/21	5,000		4,717
5.95% 12/28/17	5,745		5,728
6% 5/13/14	3,242		3,298
6% 4/28/15	5,666		5,764
6.625% 4/1/18	5,055		5,133
7.3% 5/13/19	3,000		3,112
Royal Bank of Scotland PLC:
3.95% 9/21/15	6,500		6,483
4.875% 3/16/15	5,000		5,133
6.125% 1/11/21	3,700		3,951
State Street Corp. 2.875% 3/7/16	3,340		3,531
The Bank of New York Mellon Corp.:
1.7% 11/24/14	9,828		9,963
2.3% 7/28/16	1,000		1,034
5.45% 5/15/19	2,000		2,359
UBS AG Stamford Branch:
2.25% 1/28/14	1,300		1,302
3.875% 1/15/15	2,000		2,065
5.75% 4/25/18	1,700		1,863
5.875% 12/20/17	3,500		3,848
			189,025
Commercial Banks - 2.3%
African Development Bank 1.125% 3/15/17	1,300		1,314
American Express Bank FSB 6% 9/13/17	615		722
Asian Development Bank 1.125% 3/15/17	5,000		5,069
Bank of America NA:
5.3% 3/15/17	3,500		3,564
6% 10/15/36	2,419		2,377
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Commercial Banks - continued
Bank of Nova Scotia:
2.05% 10/7/15	$ 4,000		$ 4,105
4.375% 1/13/21	1,000		1,132
Barclays Bank PLC:
3.9% 4/7/15	6,600		6,806
5.2% 7/10/14	2,000		2,105
BB&T Capital Trust IV 6.82% 6/12/77 (e)	3,510		3,528
BB&T Corp. 2.05% 4/28/14	2,000		2,041
BNP Paribas:
2.125% 12/21/12	2,000		2,006
3.6% 2/23/16	10,380		10,357
Canadian Imperial Bank of Commerce 1.45% 9/13/13	1,000		1,010
Comerica, Inc. 3% 9/16/15	1,268		1,308
Corporacion Andina de Fomento 3.75% 1/15/16	5,425		5,650
Council of Europe Development Bank 2.625% 2/16/16	4,250		4,447
Credit Suisse New York Branch:
2.2% 1/14/14	7,948		8,020
6% 2/15/18	15,651		16,646
European Bank for Reconstruction and Development:
1.625% 9/3/15	4,750		4,874
2.5% 3/15/16	3,800		4,031
European Investment Bank:
1.625% 6/15/17	4,640		4,642
1.75% 3/15/17	5,000		5,053
2.875% 9/15/20	9,000		9,378
Export-Import Bank of Korea:
4% 1/11/17	11,380		11,951
5% 4/11/22	6,170		6,722
Fifth Third Bancorp:
3.5% 3/15/22	1,650		1,677
3.625% 1/25/16	2,000		2,108
4.5% 6/1/18	824		874
8.25% 3/1/38	2,079		2,944
Fifth Third Bank 4.75% 2/1/15	3,422		3,641
HSBC Holdings PLC:
4.875% 1/14/22	10,100		11,069
5.1% 4/5/21	2,800		3,100
6.5% 9/15/37	10,000		11,213
Inter-American Development Bank:
0.5% 8/17/15	1,900		1,895
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Commercial Banks - continued
Inter-American Development Bank: - continued
1.125% 3/15/17	$ 17,100		$ 17,236
3% 4/22/14	7,700		8,071
International Bank for Reconstruction & Development:
0.875% 4/17/17	8,050		8,006
1% 9/15/16	9,000		9,064
2.375% 5/26/15	12,300		12,935
JPMorgan Chase Bank 6% 10/1/17	7,075		7,868
KeyBank NA 5.8% 7/1/14	1,109		1,196
KeyCorp. 3.75% 8/13/15	7,000		7,377
PNC Funding Corp.:
2.7% 9/19/16	11,300		11,704
6.7% 6/10/19	2,500		3,117
Rabobank (Netherlands) NV:
2.125% 10/13/15	1,000		1,008
4.5% 1/11/21	1,000		1,060
5.25% 5/24/41	3,000		3,241
Regions Bank 7.5% 5/15/18	2,000		2,240
Royal Bank of Canada 2.3% 7/20/16	5,500		5,684
The Toronto Dominion Bank:
2.375% 10/19/16	1,200		1,241
2.5% 7/14/16	1,200		1,247
U.S. Bancorp:
3.15% 3/4/15	5,000		5,280
4.125% 5/24/21	3,000		3,366
UnionBanCal Corp. 5.25% 12/16/13	656		691
Wachovia Bank NA:
4.875% 2/1/15	1,394		1,484
6.6% 1/15/38	10,000		12,555
Wachovia Corp.:
5.5% 5/1/13	14,000		14,595
5.625% 10/15/16	3,367		3,775
5.75% 6/15/17	2,905		3,370
Wells Fargo & Co.:
2.1% 5/8/17	2,725		2,698
5.625% 12/11/17	5,972		6,931
Westpac Banking Corp.:
1.85% 12/9/13	9,800		9,902
4.875% 11/19/19	3,700		4,052
			338,373
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Consumer Finance - 1.3%
American Express Co.:
7.25% 5/20/14	$ 1,500		$ 1,662
8.15% 3/19/38	8,500		13,482
American Express Credit Corp. 2.75% 9/15/15	5,000		5,162
Capital One Bank (USA) NA 8.8% 7/15/19	2,020		2,566
Capital One Financial Corp.:
4.75% 7/15/21	4,000		4,397
7.375% 5/23/14	1,578		1,736
Caterpillar Financial Services Corp.:
2% 4/5/13	8,104		8,200
2.75% 6/24/15	1,500		1,568
2.85% 6/1/22	4,000		4,056
Discover Financial Services:
5.2% 4/27/22	1,000		1,062
6.45% 6/12/17	2,263		2,577
Ford Motor Credit Co. LLC:
2.75% 5/15/15	11,400		11,590
4.25% 2/3/17	7,600		8,102
5.875% 8/2/21	7,600		8,633
General Electric Capital Corp.:
2.25% 11/9/15	6,228		6,311
2.95% 5/9/16	11,691		12,058
3.5% 6/29/15	12,081		12,688
4.65% 10/17/21	2,000		2,199
5.625% 9/15/17	7,044		8,050
5.625% 5/1/18	15,000		17,053
5.875% 1/14/38	4,000		4,561
6.375% 11/15/67 (e)	9,000		9,259
6.875% 1/10/39	4,000		5,134
HSBC Finance Corp. 5.5% 1/19/16	11,200		12,149
John Deere Capital Corp.:
1.6% 3/3/14	8,400		8,536
2.25% 4/17/19	10,250		10,499
PACCAR Financial Corp. 1.95% 12/17/12	2,000		2,017
Toyota Motor Credit Corp.:
1% 2/17/15	1,600		1,601
2.05% 1/12/17	9,000		9,214
			196,122
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Diversified Financial Services - 2.3%
Bank of America Corp.:
4.5% 4/1/15	$ 16,765		$ 17,144
5% 5/13/21	4,000		4,017
5.7% 1/24/22	5,350		5,688
5.75% 12/1/17	5,855		6,094
5.875% 1/5/21	6,640		6,937
6.5% 8/1/16	15,000		16,247
BP Capital Markets PLC:
3.125% 10/1/15	2,500		2,632
3.245% 5/6/22	7,750		7,878
3.875% 3/10/15	2,000		2,138
4.5% 10/1/20	2,000		2,237
4.75% 3/10/19	1,000		1,136
Capital One Capital V 10.25% 8/15/39	3,557		3,681
Capital One Capital VI 8.875% 5/15/40	1,000		1,022
Citigroup, Inc.:
2.65% 3/2/15	13,899		13,790
3.953% 6/15/16	1,450		1,474
4.45% 1/10/17	5,000		5,159
4.75% 5/19/15	15,244		15,884
5.875% 1/30/42	4,500		4,802
6.125% 5/15/18	5,731		6,239
6.5% 8/19/13	6,095		6,398
8.125% 7/15/39	8,000		10,638
8.5% 5/22/19	2,000		2,451
CME Group, Inc. 5.75% 2/15/14	501		541
Deutsche Bank AG London Branch:
3.45% 3/30/15	2,000		2,074
3.875% 8/18/14	5,000		5,202
Export Development Canada 1.25% 10/27/15	3,000		3,066
GlaxoSmithKline Capital, Inc.:
5.65% 5/15/18	8,585		10,327
6.375% 5/15/38	7,218		9,902
International Finance Corp.:
2.25% 4/11/16	5,700		6,043
2.75% 4/20/15	6,625		7,041
JPMorgan Chase & Co.:
3.15% 7/5/16	1,500		1,530
3.4% 6/24/15	10,710		11,056
3.7% 1/20/15	5,000		5,187
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Diversified Financial Services - continued
JPMorgan Chase & Co.: - continued
4.35% 8/15/21	$ 2,000		$ 2,089
4.5% 1/24/22	13,000		13,879
4.625% 5/10/21	1,500		1,591
5.5% 10/15/40	5,700		6,087
5.6% 7/15/41	1,500		1,638
6.3% 4/23/19	10,000		11,626
KfW:
1% 1/12/15	38,700		38,959
1.875% 1/14/13	3,100		3,127
4% 1/27/20	3,000		3,437
4.875% 6/17/19	25,000		30,276
National Rural Utils. Coop. Finance Corp.:
2.625% 9/16/12	3,000		3,018
3.875% 9/16/15	4,000		4,372
Svensk Exportkredit AB 1.75% 5/30/17	4,750		4,754
TECO Finance, Inc. 4% 3/15/16	2,875		3,087
			333,595
Insurance - 0.9%
Ace INA Holdings, Inc. 5.9% 6/15/19	3,000		3,706
Allstate Corp.:
5.95% 4/1/36	3,100		3,780
6.2% 5/16/14	4,000		4,421
7.45% 5/16/19	3,000		3,858
American International Group, Inc.:
3.65% 1/15/14	3,700		3,769
3.8% 3/22/17	16,400		16,650
4.875% 9/15/16	5,400		5,696
4.875% 6/1/22	3,000		3,025
5.05% 10/1/15	3,000		3,174
5.85% 1/16/18	2,000		2,194
6.4% 12/15/20	2,900		3,256
8.25% 8/15/18	4,000		4,812
Aon Corp. 3.125% 5/27/16	8,000		8,317
Assurant, Inc. 5.625% 2/15/14	1,894		1,987
Axis Capital Holdings Ltd. 5.75% 12/1/14	553		590
Berkshire Hathaway Finance Corp. 5.75% 1/15/40	5,000		6,057
Marsh & McLennan Companies, Inc. 2.3% 4/1/17	5,000		5,020
MetLife, Inc.:
2.375% 2/6/14	3,000		3,064
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Insurance - continued
MetLife, Inc.: - continued
5% 6/15/15	$ 1,153		$ 1,265
5.875% 2/6/41	2,400		2,961
7.717% 2/15/19	9,000		11,450
Prudential Financial, Inc.:
5.15% 1/15/13	3,146		3,225
5.4% 6/13/35	447		458
5.5% 3/15/16	421		466
5.625% 5/12/41	2,000		2,081
5.7% 12/14/36	380		402
6.2% 1/15/15	1,340		1,474
6.2% 11/15/40	2,400		2,671
7.375% 6/15/19	3,000		3,662
8.875% 6/15/38 (e)	2,944		3,503
The Chubb Corp.:
5.75% 5/15/18	4,175		5,124
6.5% 5/15/38	3,510		4,843
The Travelers Companies, Inc. 6.25% 6/15/37	8,350		10,990
			137,951
Real Estate Investment Trusts - 0.0%
AvalonBay Communities, Inc. 6.125% 11/1/12	527		538
Boston Properties, Inc. 4.125% 5/15/21	2,100		2,210
HRPT Properties Trust:
5.75% 11/1/15	881		919
6.25% 6/15/17	1,221		1,313
6.65% 1/15/18	612		664
Kimco Realty Corp. 6.875% 10/1/19	1,000		1,191
			6,835
Real Estate Management & Development - 0.4%
Digital Realty Trust LP 4.5% 7/15/15	2,000		2,101
Duke Realty LP:
5.4% 8/15/14	5,172		5,492
5.95% 2/15/17	630		704
6.25% 5/15/13	1,000		1,035
6.5% 1/15/18	1,000		1,145
ERP Operating LP:
4.625% 12/15/21	5,700		6,219
5.5% 10/1/12	3,403		3,455
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Real Estate Management & Development - continued
Liberty Property LP:
4.75% 10/1/20	$ 1,000		$ 1,064
5.125% 3/2/15	840		894
5.5% 12/15/16	1,000		1,103
Mack-Cali Realty LP 4.5% 4/18/22	4,210		4,374
Regency Centers LP:
5.25% 8/1/15	2,113		2,264
5.875% 6/15/17	1,046		1,178
Simon Property Group LP:
2.8% 1/30/17	4,700		4,838
4.125% 12/1/21	3,200		3,476
4.2% 2/1/15	1,820		1,941
5.65% 2/1/20	4,300		5,071
Tanger Properties LP:
6.125% 6/1/20	4,408		5,085
6.15% 11/15/15	24		27
			51,466
TOTAL FINANCIALS			1,253,367
HEALTH CARE - 1.4%
Biotechnology - 0.2%
Amgen, Inc.:
1.875% 11/15/14	3,100		3,154
2.5% 11/15/16	2,000		2,052
3.875% 11/15/21	9,600		10,061
5.15% 11/15/41	11,150		11,534
5.85% 6/1/17	2,928		3,421
			30,222
Health Care Equipment & Supplies - 0.1%
Baxter International, Inc. 4.5% 8/15/19	3,000		3,446
Medtronic, Inc.:
2.625% 3/15/16	2,330		2,464
4.125% 3/15/21	2,800		3,145
St. Jude Medical, Inc. 3.75% 7/15/14	1,000		1,058
			10,113
Health Care Providers & Services - 0.5%
Aetna, Inc. 4.125% 6/1/21	7,000		7,762
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
HEALTH CARE - continued
Health Care Providers & Services - continued
Aristotle Holding, Inc.:
2.1% 2/12/15 (b)	$ 5,093		$ 5,153
3.9% 2/15/22 (b)	10,400		10,800
CIGNA Corp. 4% 2/15/22	4,600		4,784
Coventry Health Care, Inc.:
5.95% 3/15/17	1,731		1,985
6.3% 8/15/14	3,584		3,912
Express Scripts, Inc.:
5.25% 6/15/12	2,000		2,002
6.25% 6/15/14	2,000		2,189
7.25% 6/15/19	2,000		2,523
Medco Health Solutions, Inc. 2.75% 9/15/15	2,000		2,064
UnitedHealth Group, Inc. 4.375% 3/15/42	11,800		12,253
WellPoint, Inc.:
4.625% 5/15/42	2,600		2,629
5% 12/15/14	7,200		7,854
5.8% 8/15/40	4,000		4,720
			70,630
Life Sciences Tools & Services - 0.0%
Agilent Technologies, Inc. 5.5% 9/14/15	1,000		1,124
Pharmaceuticals - 0.6%
Abbott Laboratories 4.125% 5/27/20	9,500		10,891
AstraZeneca PLC:
5.9% 9/15/17	4,505		5,399
6.45% 9/15/37	3,250		4,447
Bristol-Myers Squibb Co. 5.45% 5/1/18	2,905		3,505
Hospira, Inc. 6.4% 5/15/15	2,000		2,232
Johnson & Johnson:
1.2% 5/15/14	4,700		4,780
4.85% 5/15/41	4,260		5,367
Merck & Co., Inc.:
2.25% 1/15/16	1,000		1,047
3.875% 1/15/21	1,000		1,137
4% 6/30/15	3,000		3,295
5% 6/30/19	5,970		7,198
5.85% 6/30/39	1,000		1,354
Novartis Capital Corp. 4.125% 2/10/14	12,903		13,634
Pfizer, Inc.:
5.35% 3/15/15	4,000		4,493
6.2% 3/15/19	4,000		5,051
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
HEALTH CARE - continued
Pharmaceuticals - continued
Pfizer, Inc.: - continued
7.2% 3/15/39	$ 5,400		$ 8,239
Teva Pharmaceutical Finance LLC 5.55% 2/1/16	949		1,087
Watson Pharmaceuticals, Inc.:
5% 8/15/14	1,000		1,066
6.125% 8/15/19	1,000		1,152
Wyeth 5.5% 2/1/14	5,400		5,838
			91,212
TOTAL HEALTH CARE			203,301
INDUSTRIALS - 1.2%
Aerospace & Defense - 0.3%
Boeing Capital Corp. 2.125% 8/15/16	4,500		4,698
General Dynamics Corp. 2.25% 7/15/16	2,400		2,509
Honeywell International, Inc.:
5.375% 3/1/41	1,400		1,728
5.4% 3/15/16	3,400		3,917
Lockheed Martin Corp.:
2.125% 9/15/16	3,000		3,080
4.85% 9/15/41	2,700		2,942
Raytheon Co.:
1.625% 10/15/15	1,000		1,029
3.125% 10/15/20	2,000		2,106
4.875% 10/15/40	1,000		1,103
The Boeing Co.:
5% 3/15/14	3,000		3,233
6% 3/15/19	1,000		1,257
6.875% 3/15/39	3,300		4,924
United Technologies Corp.:
3.1% 6/1/22	2,875		2,988
4.5% 4/15/20	4,000		4,614
4.5% 6/1/42	3,000		3,224
5.7% 4/15/40	2,000		2,487
6.125% 2/1/19	4,000		4,964
			50,803
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
INDUSTRIALS - continued
Air Freight & Logistics - 0.1%
United Parcel Service, Inc.:
3.875% 4/1/14	$ 3,900		$ 4,119
6.2% 1/15/38	2,500		3,427
			7,546
Airlines - 0.0%
Continental Airlines, Inc.:
6.648% 3/15/19	2,220		2,356
6.9% 7/2/19	681		728
			3,084
Commercial Services & Supplies - 0.0%
Republic Services, Inc. 5.5% 9/15/19	4,000		4,666
Industrial Conglomerates - 0.3%
Covidien International Finance SA:
3.2% 6/15/22	2,150		2,183
5.45% 10/15/12	613		624
6% 10/15/17	2,902		3,509
6.55% 10/15/37	4,250		5,720
Danaher Corp.:
1.3% 6/23/14	2,900		2,945
3.9% 6/23/21	2,900		3,268
General Electric Co. 5.25% 12/6/17	18,540		21,631
Tyco International Ltd./Tyco International Finance SA 6.875% 1/15/21	1,600		2,059
			41,939
Machinery - 0.1%
Caterpillar, Inc. 5.3% 9/15/35	7,000		8,604
Deere & Co. 5.375% 10/16/29	1,000		1,273
			9,877
Road & Rail - 0.4%
Burlington Northern Santa Fe Corp. 4.7% 10/1/19	5,000		5,732
Burlington Northern Santa Fe LLC 3.05% 3/15/22	10,000		10,149
Canadian National Railway Co. 2.85% 12/15/21	5,000		5,212
CSX Corp. 7.375% 2/1/19	10,000		12,795
Norfolk Southern Corp.:
3% 4/1/22	7,500		7,638
3.25% 12/1/21	5,000		5,228
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
INDUSTRIALS - continued
Road & Rail - continued
Norfolk Southern Corp.: - continued
5.75% 1/15/16	$ 10,000		$ 11,564
Union Pacific Corp. 4.75% 9/15/41	2,800		3,008
			61,326
TOTAL INDUSTRIALS			179,241
INFORMATION TECHNOLOGY - 0.9%
Communications Equipment - 0.2%
Cisco Systems, Inc.:
2.9% 11/17/14	3,000		3,159
4.45% 1/15/20	2,000		2,312
4.95% 2/15/19	3,479		4,107
5.9% 2/15/39	12,416		15,767
			25,345
Computers & Peripherals - 0.1%
Dell, Inc. 5.625% 4/15/14	2,000		2,178
Hewlett-Packard Co.:
2.35% 3/15/15	2,000		2,018
3.3% 12/9/16	5,250		5,421
4.3% 6/1/21	2,780		2,828
4.75% 6/2/14	8,300		8,784
6% 9/15/41	1,500		1,637
			22,866
Electronic Equipment & Components - 0.1%
Tyco Electronics Group SA:
5.95% 1/15/14	2,922		3,133
6% 10/1/12	3,840		3,906
6.55% 10/1/17	2,338		2,807
7.125% 10/1/37	2,475		3,401
			13,247
Internet Software & Services - 0.1%
Google, Inc.:
1.25% 5/19/14	4,720		4,792
3.625% 5/19/21	3,780		4,199
			8,991
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
INFORMATION TECHNOLOGY - continued
IT Services - 0.2%
IBM Corp.:
1.25% 2/6/17	$ 11,250		$ 11,218
1.95% 7/22/16	1,500		1,557
7.625% 10/15/18	13,000		17,327
			30,102
Office Electronics - 0.1%
Xerox Corp.:
4.25% 2/15/15	1,000		1,062
4.5% 5/15/21	4,000		4,128
5.625% 12/15/19	1,000		1,138
8.25% 5/15/14	3,902		4,375
			10,703
Software - 0.1%
Microsoft Corp.:
2.5% 2/8/16	2,000		2,126
2.95% 6/1/14	2,000		2,097
4.2% 6/1/19	2,000		2,348
5.3% 2/8/41	1,500		1,923
Oracle Corp.:
5.375% 7/15/40	4,000		4,887
5.75% 4/15/18	7,400		8,977
			22,358
TOTAL INFORMATION TECHNOLOGY			133,612
MATERIALS - 1.2%
Chemicals - 0.4%
Air Products & Chemicals, Inc. 4.375% 8/21/19	1,000		1,151
Dow Chemical Co.:
4.125% 11/15/21	5,000		5,252
5.9% 2/15/15	2,500		2,800
7.6% 5/15/14	3,000		3,353
8.55% 5/15/19	2,358		3,121
9.4% 5/15/39	3,000		4,768
E.I. du Pont de Nemours & Co.:
3.25% 1/15/15	4,000		4,267
3.625% 1/15/21	5,000		5,458
4.625% 1/15/20	3,000		3,537
Lubrizol Corp. 8.875% 2/1/19	919		1,285
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
MATERIALS - continued
Chemicals - continued
Potash Corp. of Saskatchewan, Inc.:
3.25% 12/1/17	$ 3,800		$ 4,078
3.75% 9/30/15	2,000		2,145
4.875% 3/30/20	1,500		1,749
5.625% 12/1/40	1,800		2,278
Praxair, Inc.:
2.45% 2/15/22	4,650		4,602
3.25% 9/15/15	3,200		3,443
			53,287
Construction Materials - 0.0%
CRH America, Inc. 6% 9/30/16	1,816		1,999
Containers & Packaging - 0.0%
Bemis Co., Inc.:
5.65% 8/1/14	3,000		3,259
6.8% 8/1/19	3,000		3,630
			6,889
Metals & Mining - 0.7%
Alcoa, Inc. 5.4% 4/15/21	12,100		12,486
ArcelorMittal SA:
3.75% 8/5/15	7,800		7,815
7% 10/15/39	4,400		4,246
9.85% 6/1/19	2,000		2,369
Barrick Gold Corp.:
3.85% 4/1/22 (b)	8,000		8,251
5.25% 4/1/42 (b)	4,500		4,814
BHP Billiton Financial (USA) Ltd.:
2.875% 2/24/22	9,300		9,414
5.5% 4/1/14	2,500		2,713
6.5% 4/1/19	2,500		3,192
Freeport-McMoRan Copper & Gold, Inc. 3.55% 3/1/22	5,125		5,087
Newmont Mining Corp.:
5.125% 10/1/19	1,000		1,143
6.25% 10/1/39	1,600		1,794
Rio Tinto Finance Ltd. (United States):
2.25% 9/20/16	1,200		1,241
3.75% 9/20/21	3,200		3,423
5.2% 11/2/40	1,000		1,166
6.5% 7/15/18	1,398		1,726
7.125% 7/15/28	2,000		2,755
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
MATERIALS - continued
Metals & Mining - continued
Rio Tinto Finance Ltd. (United States): - continued
8.95% 5/1/14	$ 4,000		$ 4,582
Teck Resources Ltd.:
4.75% 1/15/22	3,850		4,116
5.2% 3/1/42	5,200		5,026
Vale Overseas Ltd.:
5.625% 9/15/19	6,210		6,815
6.25% 1/23/17	9,395		10,593
			104,767
Paper & Forest Products - 0.1%
International Paper Co. 4.75% 2/15/22	11,500		12,294
TOTAL MATERIALS			179,236
TELECOMMUNICATION SERVICES - 1.5%
Diversified Telecommunication Services - 1.2%
AT&T Broadband Corp. 8.375% 3/15/13	2,560		2,707
AT&T, Inc.:
2.4% 8/15/16	12,800		13,366
5.55% 8/15/41	7,300		8,582
5.8% 2/15/19	4,000		4,872
6.3% 1/15/38	838		1,040
6.7% 11/15/13	1,162		1,266
BellSouth Capital Funding Corp. 7.875% 2/15/30	2,477		3,204
British Telecommunications PLC 9.625% 12/15/30	4,515		6,839
CenturyLink, Inc.:
6.15% 9/15/19	5,000		5,247
6.45% 6/15/21	5,250		5,442
7.6% 9/15/39	2,500		2,385
Deutsche Telekom International Financial BV:
5.25% 7/22/13	2,425		2,539
5.875% 8/20/13	10,000		10,569
6.75% 8/20/18	3,595		4,306
France Telecom SA:
2.125% 9/16/15	1,000		1,003
5.375% 7/8/19	4,000		4,534
SBC Communications, Inc.:
5.1% 9/15/14	2,149		2,349
6.15% 9/15/34	5,270		6,288
6.45% 6/15/34	11,795		14,502
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
TELECOMMUNICATION SERVICES - continued
Diversified Telecommunication Services - continued
Telecom Italia Capital SA:
4.95% 9/30/14	$ 3,178		$ 3,099
5.25% 10/1/15	4,571		4,434
6.999% 6/4/18	1,776		1,769
7.175% 6/18/19	6,000		5,978
Telefonica Emisiones SAU:
3.992% 2/16/16	3,850		3,553
4.949% 1/15/15	3,000		2,897
5.462% 2/16/21	2,700		2,413
5.877% 7/15/19	2,000		1,868
6.421% 6/20/16	1,151		1,131
7.045% 6/20/36	2,600		2,312
Verizon Communications, Inc.:
1.25% 11/3/14	8,400		8,481
2% 11/1/16	9,600		9,844
4.75% 11/1/41	1,000		1,095
6.25% 4/1/37	3,121		3,967
6.35% 4/1/19	6,000		7,517
6.9% 4/15/38	6,025		8,225
Verizon Global Funding Corp. 5.85% 9/15/35	3,190		3,914
			173,537
Wireless Telecommunication Services - 0.3%
America Movil SAB de CV 6.125% 11/15/37	8,365		9,918
DIRECTV Holdings LLC/DIRECTV Financing, Inc.:
3.5% 3/1/16	4,400		4,641
4.75% 10/1/14	4,500		4,848
5.875% 10/1/19	2,905		3,353
6.35% 3/15/40	1,000		1,147
6.375% 3/1/41	2,100		2,412
Verizon Wireless Capital LLC:
5.55% 2/1/14	2,352		2,525
8.5% 11/15/18	3,486		4,771
Vodafone Group PLC:
2.875% 3/16/16	440		462
3.375% 11/24/15	1,000		1,070
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		$ 2,416
5.45% 6/10/19	6,000		7,209
			44,772
TOTAL TELECOMMUNICATION SERVICES			218,309
UTILITIES - 1.6%
Electric Utilities - 1.1%
Alabama Power Co. 5.2% 6/1/41	3,850		4,641
Ameren Illinois Co. 6.125% 11/15/17	3,364		3,951
AmerenUE 6.4% 6/15/17	2,959		3,585
Carolina Power & Light Co. 2.8% 5/15/22	4,350		4,441
Cleveland Electric Illuminating Co.:
5.65% 12/15/13	4,074		4,327
8.875% 11/15/18	2,000		2,641
Commonwealth Edison Co.:
1.625% 1/15/14	6,418		6,512
3.4% 9/1/21	1,000		1,076
5.8% 3/15/18	9,945		12,050
Consumers Energy Co. 2.85% 5/15/22	6,650		6,783
Duke Capital LLC 5.668% 8/15/14	2,036		2,205
Duke Energy Carolinas LLC:
5.25% 1/15/18	4,355		5,168
6% 1/15/38	3,450		4,585
Duke Energy Corp. 3.95% 9/15/14	4,500		4,786
Edison International 3.75% 9/15/17	3,000		3,175
FirstEnergy Solutions Corp.:
4.8% 2/15/15	9,000		9,634
6.8% 8/15/39	3,500		3,824
FPL Group Capital, Inc. 7.875% 12/15/15	1,532		1,849
Mississippi Power Co. 4.25% 3/15/42	1,840		1,872
Nevada Power Co. 6.5% 8/1/18	1,555		1,927
Northern States Power Co. 5.25% 3/1/18	10,500		12,554
Pacific Gas & Electric Co. 5.4% 1/15/40	4,000		4,857
PacifiCorp 6% 1/15/39	6,193		8,214
Pennsylvania Electric Co. 6.05% 9/1/17	757		872
Potomac Electric Power Co. 6.5% 11/15/37	3,806		5,319
Progress Energy, Inc.:
4.875% 12/1/19	1,700		1,969
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
UTILITIES - continued
Electric Utilities - continued
Progress Energy, Inc.: - continued
6% 12/1/39	$ 3,200		$ 4,014
Public Service Electric & Gas Co. 2.7% 5/1/15	2,000		2,108
Sierra Pacific Power Co. 5.45% 9/1/13	1,545		1,627
Southern California Edison Co. 4.5% 9/1/40	7,190		8,061
Tampa Electric Co.:
6.15% 5/15/37	6,260		8,436
6.55% 5/15/36	5,500		7,726
Virginia Electric & Power Co.:
5% 6/30/19	5,000		5,959
6% 5/15/37	2,000		2,629
Wisconsin Electric Power Co. 6.25% 12/1/15	2,983		3,480
Wisconsin Power & Light Co. 5% 7/15/19	1,000		1,187
			168,044
Gas Utilities - 0.0%
ONEOK, Inc. 4.25% 2/1/22	1,200		1,261
Southern Natural Gas Co. 5.9% 4/1/17 (b)	438		505
			1,766
Independent Power Producers & Energy Traders - 0.1%
Exelon Generation Co. LLC 5.35% 1/15/14	1,513		1,606
PPL Energy Supply LLC 6.5% 5/1/18	6,485		7,510
			9,116
Multi-Utilities - 0.4%
CenterPoint Energy, Inc. 5.95% 2/1/17	1,181		1,356
Consolidated Edison Co. of New York, Inc.:
4.45% 6/15/20	2,000		2,334
5.5% 12/1/39	2,500		3,148
Dominion Resources, Inc.:
2.25% 9/1/15	1,000		1,038
2.7697% 9/30/66 (e)	1,000		889
4.9% 8/1/41	2,000		2,253
7.5% 6/30/66 (e)	1,000		1,060
MidAmerican Energy Holdings, Co.:
5.75% 4/1/18	3,750		4,460
5.875% 10/1/12	2,893		2,942
6.5% 9/15/37	7,605		10,172
National Grid PLC 6.3% 8/1/16	1,463		1,696
NiSource Finance Corp.:
5.25% 9/15/17	835		934
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
UTILITIES - continued
Multi-Utilities - continued
NiSource Finance Corp.: - continued
5.4% 7/15/14	$ 1,334		$ 1,446
5.45% 9/15/20	5,111		5,814
6.25% 12/15/40	2,453		2,876
6.4% 3/15/18	1,532		1,805
San Diego Gas & Electric Co. 4.5% 8/15/40	1,000		1,149
Sempra Energy:
6% 10/15/39	1,000		1,272
6.5% 6/1/16	3,000		3,571
Wisconsin Energy Corp. 6.25% 5/15/67 (e)	4,228		4,334
			54,549
TOTAL UTILITIES			233,475
TOTAL NONCONVERTIBLE BONDS (Cost $2,872,963)		3,165,695
U.S. Government and Government Agency Obligations - 41.7%
U.S. Government Agency Obligations - 3.9%
Fannie Mae:
0.5% 8/9/13	9,861		9,888
0.875% 8/28/14	68,669		69,368
1.75% 2/22/13	22,745		22,985
3.625% 2/12/13	55,295		56,586
Federal Farm Credit Bank 3% 9/22/14	50,000		52,891
Federal Home Loan Bank:
0.375% 11/27/13	10,095		10,106
0.375% 1/29/14	20,085		20,103
1% 6/21/17	35,300		35,378
5% 11/17/17	33,300		40,351
Freddie Mac:
0.75% 3/28/13	31,355		31,490
1% 8/27/14	13,211		13,397
1% 6/29/17	2,660		2,660
1.75% 9/10/15	20,385		21,130
2.375% 1/13/22	13,000		13,390
3.75% 3/27/19	2,300		2,654
4.875% 6/13/18	66,960		81,215
6.25% 7/15/32	7,700		11,549
U.S. Government and Government Agency Obligations - continued
	Principal Amount (000s)		Value (000s)
U.S. Government Agency Obligations - continued
Freddie Mac: - continued
6.75% 3/15/31	$ 26,000		$ 40,266
Tennessee Valley Authority:
5.25% 9/15/39	20,000		26,342
5.375% 4/1/56	5,395		7,579
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS			569,328
U.S. Treasury Obligations - 37.8%
U.S. Treasury Bonds:
3.125% 11/15/41	30,650		33,658
3.125% 2/15/42	31,955		35,081
3.5% 2/15/39	12,115		14,318
3.75% 8/15/41	19,280		23,742
3.875% 8/15/40	30,080		37,821
4.25% 5/15/39	26,000		34,673
4.25% 11/15/40	811		1,084
4.375% 2/15/38	8,200		11,106
4.375% 11/15/39	100		136
4.375% 5/15/40	8,000		10,891
4.375% 5/15/41	57,765		78,777
4.5% 2/15/36	18,000		24,652
4.5% 5/15/38	15,000		20,712
4.5% 8/15/39	39,000		54,021
4.625% 2/15/40	21,500		30,372
4.75% 2/15/37	11,000		15,644
4.75% 2/15/41	54,830		79,092
5% 5/15/37	11,000		16,199
5.375% 2/15/31	49,760		73,808
6.25% 5/15/30	86,360		138,702
8% 11/15/21	75,392		119,490
8.75% 5/15/17	8,000		11,162
8.875% 8/15/17	5,000		7,102
8.875% 2/15/19	6,960		10,582
9% 11/15/18	4,000		6,056
9.125% 5/15/18	3,000		4,464
U.S. Treasury Notes:
0.125% 8/31/13	175,690		175,464
0.125% 9/30/13	116,470		116,293
0.125% 12/31/13	151,950		151,624
0.25% 10/31/13	112,680		112,689
0.25% 11/30/13	152,110		152,098
U.S. Government and Government Agency Obligations - continued
	Principal Amount (000s)		Value (000s)
U.S. Treasury Obligations - continued
U.S. Treasury Notes: - continued
0.25% 1/31/14	$ 81,560		$ 81,547
0.25% 2/28/14	218,600		218,549
0.25% 3/31/14	72,750		72,727
0.25% 4/30/14	76,750		76,729
0.25% 9/15/14	16,970		16,953
0.25% 12/15/14	240		240
0.25% 2/15/15	112,410		112,138
0.25% 5/15/15	32,500		32,406
0.375% 7/31/13	152,640		152,896
0.375% 11/15/14	11,080		11,096
0.375% 3/15/15	6,040		6,045
0.375% 4/15/15	5,240		5,245
0.5% 8/15/14	17,980		18,061
0.75% 12/15/13	980		987
0.75% 6/15/14	72,190		72,867
0.875% 11/30/16	43,120		43,669
0.875% 12/31/16	12,063		12,209
0.875% 1/31/17	54,880		55,532
0.875% 2/28/17	109,294		110,592
0.875% 4/30/17	68,300		69,052
1% 5/15/14	44,750		45,372
1% 8/31/16	100,010		101,854
1% 9/30/16	46,030		46,868
1% 10/31/16	86,750		88,309
1% 3/31/17	45,115		45,890
1.25% 3/15/14	330		336
1.25% 4/15/14	51,073		51,995
1.25% 8/31/15	92,000		94,508
1.25% 9/30/15	6,000		6,163
1.25% 10/31/15	39,660		40,741
1.25% 4/30/19	4,550		4,626
1.375% 9/30/18	25,650		26,387
1.375% 2/28/19	98,500		101,178
1.5% 12/31/13	1,300		1,325
1.5% 6/30/16	86,270		89,600
1.5% 7/31/16	31,340		32,564
1.5% 8/31/18	42,320		43,881
1.5% 3/31/19	12,800		13,236
1.75% 1/31/14	13,759		14,098
1.75% 3/31/14	950		976
U.S. Government and Government Agency Obligations - continued
	Principal Amount (000s)		Value (000s)
U.S. Treasury Obligations - continued
U.S. Treasury Notes: - continued
1.75% 7/31/15	$ 53,000		$ 55,240
1.75% 5/31/16	13,840		14,509
1.75% 10/31/18	10		11
1.75% 5/15/22	47,885		48,678
1.875% 2/28/14	1,660		1,706
1.875% 4/30/14	23,821		24,543
1.875% 6/30/15	60,900		63,660
1.875% 8/31/17	25,000		26,459
1.875% 10/31/17	13,000		13,761
2% 4/30/16	49,100		51,912
2% 11/15/21	1,140		1,190
2% 2/15/22	9,350		9,737
2.125% 5/31/15	86,030		90,500
2.125% 12/31/15	18,710		19,817
2.125% 2/29/16	145,700		154,533
2.125% 8/15/21	90,750		95,996
2.25% 5/31/14	20,570		21,374
2.25% 3/31/16	54,000		57,594
2.25% 11/30/17	11,000		11,875
2.375% 2/28/15	9,084		9,584
2.375% 7/31/17	25,000		27,088
2.5% 3/31/15	52,000		55,120
2.5% 4/30/15	50,580		53,694
2.5% 6/30/17	2,000		2,179
2.625% 6/30/14	31,801		33,351
2.625% 7/31/14	11,830		12,422
2.625% 12/31/14	49,640		52,572
2.625% 2/29/16	13,600		14,666
2.625% 4/30/18	10,200		11,258
2.625% 8/15/20	141,000		156,190
2.625% 11/15/20	94,180		104,209
2.75% 11/30/16	25,000		27,369
2.75% 12/31/17	3,000		3,323
3% 8/31/16	12,402		13,663
3% 9/30/16	22,000		24,264
3.125% 10/31/16	23,900		26,522
3.125% 5/15/21	50,876		58,317
3.25% 5/31/16	14,200		15,719
3.25% 12/31/16	25,000		27,955
3.375% 11/15/19	27,740		32,326
U.S. Government and Government Agency Obligations - continued
	Principal Amount (000s)		Value (000s)
U.S. Treasury Obligations - continued
U.S. Treasury Notes: - continued
3.5% 2/15/18	$ 4,000		$ 4,601
3.5% 5/15/20	81,800		96,224
3.625% 8/15/19	10		12
3.625% 2/15/20	59,600		70,621
3.625% 2/15/21	39,800		47,300
3.875% 5/15/18	8,000		9,422
4% 2/15/14	11,600		12,335
4% 2/15/15	9,600		10,541
4% 8/15/18	22,000		26,220
4.125% 5/15/15	19,300		21,423
4.25% 8/15/13	5,600		5,870
4.25% 11/15/13	12,007		12,702
4.25% 11/15/17	16,000		18,990
4.5% 5/15/17	13,000		15,426
4.625% 11/15/16	15,000		17,648
4.625% 2/15/17	14,000		16,585
4.75% 8/15/17	14,000		16,898
5.125% 5/15/16	13,100		15,455
TOTAL U.S. TREASURY OBLIGATIONS			5,564,119
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $5,717,844)		6,133,447
U.S. Government Agency - Mortgage Securities - 30.9%
Fannie Mae - 19.5%
2.294% 11/1/34 (e)	23,983		25,422
2.5% 3/1/27	460		475
2.5% 3/1/27 to 5/1/27	9,975		10,307
2.5% 6/1/27 (d)	5,000		5,161
2.5% 6/1/27 (d)	540		558
3% 9/1/26 to 4/1/42 (d)	72,495		75,863
3% 6/1/27 (d)	38,300		40,107
3% 6/1/27 (d)	7,200		7,540
3% 6/1/27 (d)	12,000		12,566
3% 6/1/42 (d)	2,000		2,050
3.084% 4/1/41 (e)	18,705		19,516
3.5% 10/1/18 to 6/1/27 (d)	137,295		144,985
U.S. Government Agency - Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Fannie Mae - continued
3.5% 9/1/25 (d)	$ 532		$ 562
3.5% 1/1/26	452		477
3.5% 3/1/26 (d)	1,129		1,192
3.5% 8/1/26 (d)	364		385
3.5% 9/1/26 (d)	226		239
3.5% 5/1/27 (d)	1,000		1,057
3.5% 6/1/27 (d)	1,000		1,056
3.5% 6/1/42 (d)	115,000		120,787
3.5% 6/1/42 (d)	30,000		31,510
4% 8/1/18 to 4/1/42	463,376		494,706
4% 6/1/27 (d)	1,000		1,062
4% 10/1/41	346		372
4% 6/1/42 (d)	13,200		14,062
4% 6/1/42 (d)	20,000		21,306
4% 6/1/42 (d)	7,000		7,457
4% 7/1/42 (d)	13,200		14,033
4% 7/1/42 (d)	20,000		21,262
4.496% 11/1/34 (e)	3,535		3,738
4.5% 4/1/18 to 11/1/41	530,860		572,004
4.5% 6/1/27 (d)	2,000		2,142
4.5% 6/13/42 (d)	8,000		8,584
4.5% 6/13/42 (d)	2,000		2,146
5% 6/1/13 to 4/1/41	395,366		428,500
5% 6/1/42 (d)	6,000		6,501
5% 6/1/42 (d)	3,000		3,251
5.5% 8/1/14 to 6/1/40 (d)	290,950		318,306
5.5% 6/1/42 (d)	31,000		33,801
5.5% 6/1/42 (d)	31,000		33,801
5.5% 6/1/42 (d)	2,000		2,181
6% 8/1/22 to 7/1/41	242,635		268,221
6% 6/1/42 (d)	2,000		2,202
6.5% 4/1/19 to 10/1/39	93,379		105,245
6.5% 6/1/42 (d)	1,000		1,125
TOTAL FANNIE MAE			2,867,823
Freddie Mac - 4.4%
1.853% 3/1/36 (e)	9,983		10,300
2.358% 12/1/35 (e)	9,335		9,873
3.5% 4/1/42	72,310		75,827
4% 10/1/40 to 1/1/42	96,606		103,036
4% 6/1/42 (d)	21,300		22,611
U.S. Government Agency - Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Freddie Mac - continued
4.5% 6/1/25 to 10/1/41	$ 166,960		$ 178,761
4.774% 9/1/37 (e)	3,791		4,032
4.818% 3/1/35 (e)	8,960		9,528
5% 4/1/23 to 9/1/40	100,885		109,443
5.5% 3/1/34 to 12/1/39	107,105		116,611
6% 4/1/32 to 8/1/37	5,401		6,005
6.5% 8/1/36 to 12/1/37	3,361		3,772
11.75% 9/1/13	1		1
TOTAL FREDDIE MAC			649,800
Ginnie Mae - 7.0%
3.5% 3/15/39 to 5/15/42	33,353		35,663
3.5% 6/1/42 (d)	15,000		16,021
3.5% 6/1/42 (d)	19,000		20,293
3.5% 6/1/42 (d)	22,000		23,497
4% 1/15/25 to 12/15/41	161,732		177,049
4% 7/15/41	492		541
4% 6/1/42 (d)	22,500		24,592
4% 6/1/42 (d)	6,000		6,558
4.5% 9/15/33 to 10/15/41	297,588		327,612
4.5% 6/1/42 (d)	2,000		2,196
5% 3/15/39 to 9/15/41	194,349		216,730
5.5% 10/15/35 to 4/15/41	82,526		91,854
6% 5/20/34 to 12/15/40	53,013		59,538
6.5% 8/20/36 to 2/15/39	20,168		23,022
TOTAL GINNIE MAE			1,025,166
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $4,397,508)		4,542,789
Asset-Backed Securities - 0.2%
Capital One Multi-Asset Execution Trust Series 2008-A3 Class A3, 5.05% 2/15/16	5,000		5,188
Chase Issuance Trust Series 2008-A4 Class A4, 4.65% 3/15/15	5,000		5,162
Citibank Credit Card Issuance Trust:
Series 2009-A4 Class A4, 4.9% 6/23/16	1,000		1,085
Series 2009-A5 Class A5, 2.25% 12/23/14	6,000		6,058
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
Detroit Edison Securitization Funding LLC Series 2001-1 Class A6, 6.62% 3/1/16	$ 6,000		$ 6,706
GCO Slims Trust Series 2006-1A, 5.72% 3/1/22 (b)	769		739
Option One Mortgage Loan Trust:
Series 2007-5 Class 2A1, 0.3288% 5/25/37 (e)	5		5
Series 2007-6 Class 2A1, 0.2988% 7/25/37 (e)	66		65
TOTAL ASSET-BACKED SECURITIES (Cost $24,693)		25,008
Collateralized Mortgage Obligations - 0.0%
Private Sponsor - 0.0%
Cobalt CMBS Commercial Mortgage Trust Series 2007-C2 Class B, 5.617% 4/15/47 (e)	1,416		569
COMM pass-thru certificates floater Series 2001-J2A Class A2F, 0.7388% 7/16/34 (b)(e)	11		11
JPMorgan Chase Commercial Mortgage Securities Trust Series 2007-CB18 Class A3, 5.447% 6/12/47 (e)	2,069		2,151
LB-UBS Commercial Mortgage Trust sequential payer Series 2006-C6 Class A4, 5.372% 9/15/39	571		645
Salomon Brothers Mortgage Securities VII, Inc. Series 2006-C2 Class H, 6.308% 7/18/33 (b)	179		61
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $2,128)		3,437
Commercial Mortgage Securities - 2.1%
Banc of America Commercial Mortgage Trust:
sequential payer:
Series 2006-2 Class AAB, 5.9026% 5/10/45 (e)	1,138		1,201
Series 2006-5:
Class A2, 5.317% 9/10/47	4,026		4,029
Class A3, 5.39% 9/10/47	1,768		1,851
Series 2006-6 Class A3, 5.369% 10/10/45	2,536		2,705
Series 2007-4 Class A3, 5.9835% 2/10/51 (e)	1,265		1,318
Series 2006-6 Class E, 5.619% 10/10/45 (b)	733		58
Series 2007-3:
Class A3, 5.8366% 6/10/49 (e)	2,118		2,170
Class A4, 5.8366% 6/10/49 (e)	2,643		2,945
Banc of America Commercial Mortgage, Inc.:
sequential payer:
Series 2001-1 Class A4, 5.451% 1/15/49	2,777		3,115
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Banc of America Commercial Mortgage, Inc.: - continued
sequential payer:
Series 2004-2:
Class A3, 4.05% 11/10/38	$ 155		$ 156
Class A4, 4.153% 11/10/38	1,608		1,650
Series 2005-1 Class A3, 4.877% 11/10/42	478		477
Series 2001-3 Class H, 6.562% 4/11/37 (b)	709		708
Series 2001-PB1 Class K, 6.15% 5/11/35 (b)	225		225
Series 2005-3 Class A3B, 5.09% 7/10/43 (e)	3,939		4,116
Bayview Commercial Asset Trust:
Series 2004-1, Class IO, 1.25% 4/25/34 (b)(f)	2,295		87
Series 2007-5A, Class IO, 4.1484% 10/25/37 (b)(e)(f)	5,705		522
Bear Stearns Commercial Mortgage Securities Trust:
sequential payer Series 2007-PW16 Class A4, 5.9046% 6/11/40 (e)	16,612		18,791
Series 2006-PW13 Class A3, 5.518% 9/11/41	4,475		4,674
Series 2006-T22 Class A4, 5.7138% 4/12/38 (e)	159		180
CDC Commercial Mortgage Trust Series 2002-FX1 Class G, 6.625% 5/15/35 (b)	1,490		1,536
Citigroup Commercial Mortgage Trust:
sequential payer Series 2006-C5 Class A4, 5.431% 10/15/49	9,390		10,535
Series 2007-C6 Class A4, 5.8852% 12/10/49 (e)	9,950		11,374
Series 2008-C7 Class A2B, 6.2761% 12/10/49 (e)	1,140		1,159
Citigroup/Deutsche Bank Commercial Mortgage Trust:
sequential payer Series 2007-CD4 Class A4, 5.322% 12/11/49	2,212		2,430
Series 2007-CD4:
Class A3, 5.293% 12/11/49	1,234		1,302
Class C, 5.476% 12/11/49	2,387		525
Cobalt CMBS Commercial Mortgage Trust:
sequential payer Series 2007-C3 Class A3, 6.0104% 5/15/46 (e)	1,268		1,351
Series 2006-C1 Class B, 5.359% 8/15/48	3,804		266
COMM pass-thru certificates sequential payer:
Series 2006-C8 Class A3, 5.31% 12/10/46	3,613		3,702
Series 2007-C9 Class A4, 6.0063% 12/10/49 (e)	2,805		3,226
Commercial Mortgage pass-thru certificates sequential payer Series 2005-C6 Class A2, 4.999% 6/10/44 (e)	1		1
Credit Suisse Commercial Mortgage Trust:
sequential payer:
Series 2006-C4 Class A3, 5.467% 9/15/39	6,558		7,190
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Credit Suisse Commercial Mortgage Trust: - continued
sequential payer:
Series 2007-C2 Class A3, 5.542% 1/15/49 (e)	$ 2,536		$ 2,717
Series 2007-C3 Class A4, 5.8672% 6/15/39 (e)	10,213		10,877
Series 2006-C4 Class AAB, 5.439% 9/15/39	3,905		3,955
Series 2007-C5 Class A4, 5.695% 9/15/40 (e)	1,148		1,216
Credit Suisse First Boston Mortgage Capital Certificates floater Series 2007-TF2A Class B, 0.5888% 4/15/22 (b)(e)	4,524		3,412
Credit Suisse First Boston Mortgage Securities Corp.:
sequential payer Series 2004-C1:
Class A3, 4.321% 1/15/37	2		2
Class A4, 4.75% 1/15/37	590		616
Series 2006-C1 Class A3, 5.5958% 2/15/39 (e)	4,592		4,862
Credit Suisse Mortgage Capital Certificates:
floater Series 2007-TFL1 Class B, 0.3888% 2/15/22 (b)(e)	480		442
Series 2007-C1 Class B, 5.487% 2/15/40 (b)(e)	1,938		325
First Union National Bank-Bank of America Commercial Mortgage Trust Series 2001-C1 Class G, 6.936% 3/15/33 (b)	834		841
GE Capital Commercial Mortgage Corp. sequential payer Series 2007-C1 Class A4, 5.543% 12/10/49	13,264		14,473
Greenwich Capital Commercial Funding Corp.:
floater Series 2006-FL4 Class B, 0.4288% 11/5/21 (b)(e)	477		448
sequential payer:
Series 2007-GG11 Class A2, 5.597% 12/10/49	2,536		2,605
Series 2007-GG9 Class A4, 5.444% 3/10/39	3,687		4,021
Series 2006-GG7:
Class A3, 6.0811% 7/10/38 (e)	1,080		1,079
Class A4, 6.0811% 7/10/38 (e)	10,980		12,391
GS Mortgage Securities Corp. II sequential payer Series 2004-GG2 Class A4, 4.964% 8/10/38	275		277
GS Mortgage Securities Trust sequential payer Series 2007-GG10 Class A2, 5.778% 8/10/45	288		292
JPMorgan Chase Commercial Mortgage Securities Trust:
sequential payer:
Series 2006-CB14 Class A3B, 5.674% 12/12/44 (e)	3,116		3,193
Series 2006-LDP8 Class A4, 5.399% 5/15/45	808		913
Series 2006-LDP9:
Class A2, 5.134% 5/15/47 (e)	425		437
Class A3, 5.336% 5/15/47	529		574
Series 2007-CB19 Class A4, 5.9254% 2/12/49 (e)	17,057		19,153
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
JPMorgan Chase Commercial Mortgage Securities Trust: - continued
sequential payer:
Series 2007-LD11 Class A2, 5.9877% 6/15/49 (e)	$ 3,159		$ 3,170
Series 2007-LDPX Class A3, 5.42% 1/15/49	5,440		5,978
Series 2005-CB13 Class E, 5.5314% 1/12/43 (b)(e)	642		20
Series 2007-CB19:
Class B, 5.9254% 2/12/49 (e)	108		32
Class C, 5.9254% 2/12/49 (e)	283		54
Class D, 5.9254% 2/12/49 (e)	298		45
Series 2007-LDP10 Class ES, 5.7393% 1/15/49 (b)(e)	656		36
LB Commercial Conduit Mortgage Trust sequential payer Series 2007-C3 Class A4, 6.1105% 7/15/44 (e)	3,327		3,803
LB-UBS Commercial Mortgage Trust:
sequential payer:
Series 2006-C1 Class A2, 5.084% 2/15/31	172		173
Series 2006-C7 Class A3, 5.347% 11/15/38	945		1,057
Series 2007-C1:
Class A3, 5.398% 2/15/40	5,000		5,149
Class A4, 5.424% 2/15/40	1,163		1,307
Series 2007-C2 Class A3, 5.43% 2/15/40	611		669
Series 2007-C6 Class A4, 5.858% 7/15/40 (e)	1,584		1,795
Series 2007-C7 Class A3, 5.866% 9/15/45	4,146		4,674
Lehman Brothers Floating Rate Commercial Mortgage Trust floater Series 2006-LLFA:
Class D, 0.4688% 9/15/21 (b)(e)	406		370
Class E, 0.5288% 9/15/21 (b)(e)	1,465		1,292
Merrill Lynch Mortgage Trust:
Series 2005-CKI1 Class A3, 5.3909% 11/12/37 (e)	718		720
Series 2005-LC1 Class F, 5.5591% 1/12/44 (b)(e)	1,103		615
Series 2006-C1 Class A2, 5.803% 5/12/39 (e)	1,171		1,197
Series 2007-C1 Class A4, 6.0324% 6/12/50 (e)	4,800		5,304
Series 2008-C1 Class A4, 5.69% 2/12/51	2,707		3,068
Merrill Lynch-CFC Commercial Mortgage Trust:
floater Series 2006-4 Class A2FL, 0.3603% 12/12/49 (e)	129		128
sequential payer:
Series 2006-4 Class ASB, 5.133% 12/12/49 (e)	984		1,030
Series 2007-5:
Class A3, 5.364% 8/12/48	495		508
Class A4, 5.378% 8/12/48	51		54
Class B, 5.479% 8/12/48	3,804		866
Series 2007-6 Class A4, 5.485% 3/12/51 (e)	2,000		2,150
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Merrill Lynch-CFC Commercial Mortgage Trust: - continued
sequential payer:
Series 2007-7 Class A4, 5.81% 6/12/50 (e)	$ 4,438		$ 4,771
Series 2006-3 Class ASB, 5.382% 7/12/46 (e)	4,653		4,836
Series 2007-6 Class B, 5.635% 3/12/51 (e)	1,268		357
Series 2007-8 Class A3, 6.1649% 8/12/49 (e)	1,094		1,202
Morgan Stanley Capital I Trust:
floater Series 2007-XLFA Class C, 0.399% 10/15/20 (b)(e)	728		655
sequential payer:
Series 2005-IQ9 Class A3, 4.54% 7/15/56	1,255		1,270
Series 2007-HQ11 Class A31, 5.439% 2/12/44 (e)	642		675
Series 2007-IQ13 Class A4, 5.364% 3/15/44	5,000		5,563
Series 2006-IQ11:
Class A3, 5.8615% 10/15/42 (e)	782		805
Class A4, 5.8975% 10/15/42 (e)	380		428
Series 2006-T23 Class A3, 5.9838% 8/12/41 (e)	647		662
Series 2007-IQ14 Class A4, 5.692% 4/15/49 (e)	1,902		2,066
Structured Asset Securities Corp. Series 1997-LLI Class D, 7.15% 10/12/34	46		46
Wachovia Bank Commercial Mortgage Trust:
floater Series 2006-WL7A Class E, 0.5198% 9/15/21 (b)(e)	252		200
sequential payer:
Series 2003-C7 Class A1, 4.241% 10/15/35 (b)	908		915
Series 2003-C8 Class A3, 4.445% 11/15/35	4,478		4,509
Series 2006-C29 Class A3, 5.313% 11/15/48	3,368		3,454
Series 2007-C30:
Class A3, 5.246% 12/15/43	406		406
Class A4, 5.305% 12/15/43	373		396
Class A5, 5.342% 12/15/43	1,357		1,439
Series 2007-C31 Class A4, 5.509% 4/15/47	8,483		9,128
Series 2007-C32:
Class A2, 5.9223% 6/15/49 (e)	8,044		8,105
Class A3, 5.9273% 6/15/49 (e)	7,152		7,591
Series 2003-C6 Class G, 5.125% 8/15/35 (b)(e)	602		598
Series 2005-C19 Class B, 4.892% 5/15/44	1,268		1,151
Series 2005-C22:
Class B, 5.5332% 12/15/44 (e)	2,812		1,919
Class F, 5.5332% 12/15/44 (b)(e)	2,115		530
Series 2006-C23 Class A5, 5.416% 1/15/45 (e)	7,395		8,243
Series 2006-C25 Class AM, 5.9222% 5/15/43 (e)	664		713
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Wachovia Bank Commercial Mortgage Trust: - continued
Series 2007-C30 Class C, 5.483% 12/15/43 (e)	$ 3,804		$ 1,164
Wachovia Bank Commercial Mortgage Trust pass-thru certificates sequential payer Series 2007-C33 Class A5, 6.0975% 2/15/51 (e)	839		931
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $225,122)		304,688
Municipal Securities - 0.8%
American Muni. Pwr.-Ohio, Inc. Rev. (Combined Hydroelectric Proj.) Series 2010 B, 8.084% 2/15/50	9,720		14,392
Bay Area Toll Auth. San Francisco Bay Toll Bridge Rev. Series 2010 S1, 7.043% 4/1/50	2,375		3,377
California Gen. Oblig.:
5.25% 4/1/14	5,000		5,380
7.55% 4/1/39	15,000		19,371
Illinois Gen. Oblig.:
Series 2010, 4.421% 1/1/15	7,460		7,866
Series 2011, 5.877% 3/1/19	3,500		3,909
4.511% 3/1/15	1,590		1,685
4.961% 3/1/16	2,830		3,064
5.365% 3/1/17	1,875		2,064
Kaiser Foundation Hospitals 4.875% 4/1/42	1,800		1,967
Los Angeles Dept. Arpt. Rev. Series 2009 C, 6.582% 5/15/39	4,985		6,448
New York City Muni. Wtr. Fin. Auth. Wtr. & Swr. Sys. Rev. Series 2010 DD, 5.952% 6/15/42	9,025		11,833
New York City Transitional Fin. Auth. Rev. Series 2011 A, 5.508% 8/1/37	10,725		13,277
New York Metropolitan Trans. Auth. Rev. Series 2010 A, 6.668% 11/15/39	5,235		6,723
San Francisco Pub. Utils. Commission Wtr. Rev. Series 2010 E, 6% 11/1/40	6,320		7,790
Univ. of California Revs. Series 2009 R, 5.77% 5/15/43	1,000		1,222
Univ. of Texas Board of Regents Sys. Rev. Series 2010 C, 4.794% 8/15/46	9,640		11,727
TOTAL MUNICIPAL SECURITIES (Cost $105,909)		122,095

Foreign Government and Government Agency Obligations - 1.6%
	Principal Amount (000s)		Value (000s)
Brazilian Federative Republic:
4.875% 1/22/21	$ 15,540		$ 17,622
5.625% 1/7/41	13,000		15,178
6% 1/17/17	3,000		3,521
Canadian Government:
0.875% 2/14/17	2,200		2,205
2.375% 9/10/14	3,000		3,135
Chilean Republic 3.25% 9/14/21	9,000		9,419
Export Development Canada 1.25% 10/26/16	1,000		1,022
Hydro-Quebec 2% 6/30/16	7,310		7,569
Israeli State 4% 6/30/22	7,000		7,140
Italian Republic:
3.125% 1/26/15	16,000		15,391
6.875% 9/27/23	6,000		6,107
Korean Republic 7.125% 4/16/19	6,650		8,352
Manitoba Province 1.3% 4/3/17	3,420		3,475
New Brunswick Province 2.75% 6/15/18	4,350		4,674
Ontario Province:
0.95% 5/26/15	17,000		17,039
4% 10/7/19	15,000		17,126
Polish Government:
3.875% 7/16/15	4,350		4,513
5% 10/19/15	3,050		3,277
5% 3/23/22	14,500		15,189
Province of British Columbia:
1.2% 4/25/17	3,800		3,841
2.1% 5/18/16	3,800		3,980
Province of Quebec 2.75% 8/25/21	20,000		20,896
South African Republic:
5.875% 5/30/22	1,900		2,171
6.875% 5/27/19	5,700		6,812
United Mexican States:
3.625% 3/15/22	3,000		3,072
4.75% 3/8/44	1,250		1,263
5.125% 1/15/20	23,500		26,790
6.05% 1/11/40	6,000		7,290
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $225,811)		238,069

Supranational Obligations - 1.0%
	Principal Amount (000s)		Value (000s)
African Development Bank euro 3% 5/27/14	$ 5,000		$ 5,248
Asian Development Bank 2.75% 5/21/14	30,000		31,343
Corporacion Andina de Fomento 8.125% 6/4/19	6,925		8,676
European Investment Bank:
1.625% 3/15/13	3,000		3,026
2.875% 1/15/15	5,000		5,244
3.125% 6/4/14	72,000		75,131
Inter-American Development Bank 3.875% 9/17/19	5,000		5,838
International Bank for Reconstruction & Development 1.75% 7/15/13	4,000		4,061
TOTAL SUPRANATIONAL OBLIGATIONS (Cost $131,754)		138,567
Preferred Securities - 0.0%
FINANCIALS - 0.0%
Diversified Financial Services - 0.0%
MUFG Capital Finance 1 Ltd. 6.346% (c)(e) (Cost $1,144)	1,725		1,851
Money Market Funds - 5.1%
	Shares
Fidelity Cash Central Fund, 0.17% (a) (Cost $742,449)	742,448,781		742,449
Cash Equivalents - 0.1%
	Maturity Amount (000s)		Value (000s)
Investments in repurchase agreements in a joint trading account at 0.19%, dated 5/31/12 due 6/1/12 (Collateralized by U.S. Government Obligations) # (Cost $9,220)	$ 9,220		$ 9,220
TOTAL INVESTMENT PORTFOLIO - 105.0% (Cost $14,456,545)		15,427,315
NET OTHER ASSETS (LIABILITIES) - (5.0)%		(728,862)
NET ASSETS - 100%		$ 14,698,453
TBA Sale Commitments
	Principal Amount (000s)
Fannie Mae
4% 6/1/42	$ (13,200)		(14,062)
4% 6/1/42	(20,000)		(21,306)
5.5% 6/1/42	(31,000)		(33,801)
5.5% 6/1/42	(31,000)		(33,801)
TOTAL TBA SALE COMMITMENTS (Proceeds $102,934)		$ (102,970)

Legend

(a) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.

(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 $79,936,000 or 0.5% of net assets.

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

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

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

(f) 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 as of the end of the period.

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

Repurchase Agreement / Counterparty	Value (Amounts in thousands)
$9,220,000 due 6/01/12 at 0.19%
Barclays Capital, Inc.	$ 2,572
Merrill Lynch, Pierce, Fenner & Smith, Inc.	1,812
UBS Securities LLC	4,836
	$ 9,220

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 (Amount in thousands)
Fidelity Cash Central Fund	$ 421

Other Information

The following is a summary of the inputs used, as of May 31, 2012, 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	$ 3,165,695	$ -	$ 3,165,695	$ -
U.S. Government and Government Agency Obligations	6,133,447	-	6,133,447	-
U.S. Government Agency - Mortgage Securities	4,542,789	-	4,542,789	-
Asset-Backed Securities	25,008	-	24,269	739
Collateralized Mortgage Obligations	3,437	-	2,807	630
Commercial Mortgage Securities	304,688	-	295,374	9,314
Municipal Securities	122,095	-	122,095	-
Foreign Government and Government Agency Obligations	238,069	-	238,069	-
Supranational Obligations	138,567	-	138,567	-
Preferred Securities	1,851	-	1,851	-
Money Market Funds	742,449	742,449	-	-
Cash Equivalents	9,220	-	9,220	-
Total Investments in Securities:	$ 15,427,315	$ 742,449	$ 14,674,183	$ 10,683
Other Financial Instruments:
TBA Sale Commitments	$ (102,970)	$ -	$ (102,970)	$ -

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	$ 13,100
Total Realized Gain (Loss)	525
Total Unrealized Gain (Loss)	(2,305)
Cost of Purchases	-
Proceeds of Sales	(978)
Amortization/Accretion	(175)
Transfers in to Level 3	2,059
Transfers out of Level 3	(1,543)
Ending Balance	$ 10,683
The change in unrealized gain (loss) for the period attributable to Level 3 securities held at May 31, 2012	$ (1,722)

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, 2012, the cost of investment securities for income tax purposes was $14,521,682,000. Net unrealized appreciation aggregated $905,633,000, of which $913,832,000 related to appreciated investment securities and $8,199,000 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, 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. 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. 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.

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

Item 2. Controls and Procedures

(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the Fidelity Salem Street 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 Salem Street Trust

By:	/s/John R. Hebble
	John R. Hebble
	President and Treasurer
Date:	July 30, 2012

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 30, 2012
By:	/s/Christine Reynolds
	Christine Reynolds
	Chief Financial Officer
Date:	July 30, 2012