N-Q 1 adv1.htm

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 811-3785

Fidelity Advisor Series I
 (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, 2010

Item 1. Schedule of Investments

Quarterly Holdings Report

for

Fidelity ® Advisor Balanced Fund
Class A
Class T
Class B
Class C
Institutional Class

May 31, 2010 

1.797921.106

AIG-QTLY-0710

Investments May 31, 2010 (Unaudited)

Showing Percentage of Net Assets

Common Stocks - 59.1%

Shares

Value (000s)

CONSUMER DISCRETIONARY - 6.1%

Auto Components - 0.2%

Johnson Controls, Inc.

62,200

$ 1,775

TRW Automotive Holdings Corp. (a)

16,575

499

 

2,274

Automobiles - 0.4%

Daimler AG (United States) (a)

10,600

521

Ford Motor Co. (a)

110,115

1,292

Harley-Davidson, Inc.

36,700

1,109

Toyota Motor Corp. sponsored ADR

6,600

477

 

3,399

Distributors - 0.1%

Li & Fung Ltd.

133,000

577

Diversified Consumer Services - 0.0%

Educomp Solutions Ltd.

19,762

228

Hotels, Restaurants & Leisure - 1.0%

Darden Restaurants, Inc.

16,000

686

Las Vegas Sands Corp. (a)

28,900

679

Marriott International, Inc. Class A

34,800

1,164

McDonald's Corp.

74,300

4,968

Royal Caribbean Cruises Ltd. (a)

20,400

592

Starwood Hotels & Resorts Worldwide, Inc.

31,000

1,434

 

9,523

Household Durables - 0.2%

D.R. Horton, Inc.

46,500

567

M.D.C. Holdings, Inc.

19,169

602

Newell Rubbermaid, Inc.

35,000

583

Stanley Black & Decker, Inc.

12,196

680

 

2,432

Internet & Catalog Retail - 0.4%

Amazon.com, Inc. (a)

18,117

2,273

Expedia, Inc.

41,462

894

Rakuten, Inc.

445

310

 

3,477

Leisure Equipment & Products - 0.1%

Brunswick Corp.

24,774

433

Eastman Kodak Co. (a)

59,300

334

 

767

Media - 1.8%

DIRECTV (a)

84,900

3,200

Common Stocks - continued

Shares

Value (000s)

CONSUMER DISCRETIONARY - continued

Media - continued

Liberty Global, Inc. Class A (a)

24,700

$ 637

Naspers Ltd. Class N

8,500

333

The Walt Disney Co.

156,100

5,217

Time Warner Cable, Inc.

39,576

2,166

Time Warner, Inc.

101,653

3,150

Viacom, Inc. Class B (non-vtg.) (a)

67,344

2,263

 

16,966

Multiline Retail - 0.3%

Target Corp.

56,500

3,081

Specialty Retail - 1.5%

Best Buy Co., Inc.

36,417

1,539

Hengdeli Holdings Ltd.

796,000

330

Home Depot, Inc.

130,600

4,422

Inditex SA

11,903

665

Lowe's Companies, Inc.

125,700

3,111

Ross Stores, Inc.

14,479

759

Sally Beauty Holdings, Inc. (a)

73,100

688

Tiffany & Co., Inc.

14,600

663

TJX Companies, Inc.

42,400

1,928

Urban Outfitters, Inc. (a)

16,300

592

 

14,697

Textiles, Apparel & Luxury Goods - 0.1%

LVMH Moet Hennessy - Louis Vuitton

4,541

482

Ports Design Ltd.

69,000

167

Trinity Ltd.

318,000

207

 

856

TOTAL CONSUMER DISCRETIONARY

58,277

CONSUMER STAPLES - 6.5%

Beverages - 2.3%

Anheuser-Busch InBev SA NV

35,499

1,716

Coca-Cola Bottling Co. Consolidated

6,384

318

Coca-Cola FEMSA SAB de CV sponsored ADR

5,062

337

Coca-Cola Icecek AS

18,254

169

Companhia de Bebidas das Americas (AmBev) (PN) sponsored ADR

3,534

340

Constellation Brands, Inc. Class A (sub. vtg.) (a)

103,058

1,717

Diageo PLC sponsored ADR

23,758

1,456

Embotelladora Andina SA sponsored ADR

16,639

342

Common Stocks - continued

Shares

Value (000s)

CONSUMER STAPLES - continued

Beverages - continued

Molson Coors Brewing Co. Class B

64,093

$ 2,630

PepsiCo, Inc.

62,211

3,912

The Coca-Cola Co.

175,010

8,996

 

21,933

Food & Staples Retailing - 1.5%

BJ's Wholesale Club, Inc. (a)

27,720

1,111

CVS Caremark Corp.

104,607

3,623

Kroger Co.

53,105

1,069

Safeway, Inc.

42,281

936

Wal-Mart Stores, Inc.

75,232

3,804

Walgreen Co.

120,578

3,863

 

14,406

Food Products - 0.7%

Archer Daniels Midland Co.

38,133

964

Ausnutria Dairy Hunan Co. Ltd. Class H

254,000

168

Bunge Ltd.

3,357

164

Dean Foods Co. (a)

139,085

1,481

Green Mountain Coffee Roasters, Inc. (a)

19,560

463

Nestle SA

31,502

1,429

Unilever NV (NY Shares) unit

59,318

1,620

Viterra, Inc. (a)

22,100

165

 

6,454

Household Products - 1.0%

Colgate-Palmolive Co.

7,086

553

Energizer Holdings, Inc. (a)

13,199

742

Procter & Gamble Co.

146,743

8,965

 

10,260

Personal Products - 0.3%

Avon Products, Inc.

100,090

2,651

Tobacco - 0.7%

Altria Group, Inc.

95,418

1,936

British American Tobacco PLC sponsored ADR

56,027

3,280

Philip Morris International, Inc.

39,900

1,760

Souza Cruz Industria Comerico

4,750

172

 

7,148

TOTAL CONSUMER STAPLES

62,852

Common Stocks - continued

Shares

Value (000s)

ENERGY - 6.3%

Energy Equipment & Services - 1.3%

Baker Hughes, Inc.

99,260

$ 3,786

Cameron International Corp. (a)

4,400

159

Ensco International Ltd. ADR

11,566

433

Halliburton Co.

77,000

1,912

National Oilwell Varco, Inc.

11,688

446

Pride International, Inc. (a)

43,635

1,081

Saipem SpA

33,002

1,037

Schlumberger Ltd.

3,800

213

Smith International, Inc.

36,852

1,384

Transocean Ltd. (a)

17,593

999

Weatherford International Ltd. (a)

78,696

1,111

 

12,561

Oil, Gas & Consumable Fuels - 5.0%

Alpha Natural Resources, Inc. (a)

5,400

207

Anadarko Petroleum Corp.

23,309

1,220

Apache Corp.

11,400

1,021

Arch Coal, Inc.

43,250

932

BG Group PLC

134,101

2,069

BP PLC

42,300

304

BP PLC sponsored ADR

19,100

820

Chevron Corp.

97,017

7,167

China Shenhua Energy Co. Ltd. (H Shares)

57,500

232

Concho Resources, Inc. (a)

12,963

675

ConocoPhillips

8,645

448

Denbury Resources, Inc. (a)

109,650

1,804

Ellora Energy, Inc. (a)(e)

106,700

980

EXCO Resources, Inc.

16,616

287

Exxon Mobil Corp.

12,375

748

Falkland Oil & Gas Ltd. (a)

58,800

165

Frontier Oil Corp.

19,400

270

Imperial Oil Ltd.

13,500

524

InterOil Corp. (a)

5,700

281

Marathon Oil Corp.

80,216

2,494

Massey Energy Co.

16,500

546

Occidental Petroleum Corp.

27,169

2,242

OPTI Canada, Inc. (a)

37,700

71

Peabody Energy Corp.

5,600

218

Petrobank Energy & Resources Ltd. (a)

24,600

1,062

Petrohawk Energy Corp. (a)

58,365

1,122

Pioneer Natural Resources Co.

6,300

401

Common Stocks - continued

Shares

Value (000s)

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Plains Exploration & Production Co. (a)

31,936

$ 706

Range Resources Corp.

7,550

339

Royal Dutch Shell PLC Class B ADR

110,400

5,591

Southwestern Energy Co. (a)

59,903

2,253

Suncor Energy, Inc.

93,880

2,924

Talisman Energy, Inc.

104,100

1,796

Ultra Petroleum Corp. (a)

19,478

896

Whiting Petroleum Corp. (a)

17,358

1,453

XTO Energy, Inc.

78,700

3,364

 

47,632

TOTAL ENERGY

60,193

FINANCIALS - 9.6%

Capital Markets - 1.4%

Ameriprise Financial, Inc.

36,843

1,466

Bank of New York Mellon Corp.

7,254

197

Charles Schwab Corp.

68,750

1,123

Evercore Partners, Inc. Class A

6,500

212

Franklin Resources, Inc.

7,691

754

Goldman Sachs Group, Inc.

890

128

Invesco Ltd.

42,062

781

Morgan Stanley

196,097

5,316

State Street Corp.

81,365

3,106

TD Ameritrade Holding Corp. (a)

21,000

372

 

13,455

Commercial Banks - 2.7%

BB&T Corp.

37,551

1,136

East West Bancorp, Inc.

31,612

537

FirstMerit Corp.

43,597

813

Huntington Bancshares, Inc.

189,263

1,166

KeyCorp

82,952

665

PNC Financial Services Group, Inc.

104,040

6,529

Regions Financial Corp.

131,000

1,000

Sumitomo Mitsui Financial Group, Inc.

57,700

1,712

SunTrust Banks, Inc.

45,951

1,238

U.S. Bancorp, Delaware

81,400

1,950

Wells Fargo & Co.

318,831

9,147

 

25,893

Common Stocks - continued

Shares

Value (000s)

FINANCIALS - continued

Consumer Finance - 0.7%

American Express Co.

84,783

$ 3,380

Capital One Financial Corp.

40,900

1,689

Discover Financial Services

113,141

1,522

Promise Co. Ltd.

41,300

268

 

6,859

Diversified Financial Services - 2.7%

Bank of America Corp.

385,137

6,062

Citigroup, Inc. (a)

1,426,787

5,650

CME Group, Inc.

4,418

1,399

IntercontinentalExchange, Inc. (a)

3,752

436

JPMorgan Chase & Co.

304,699

12,060

NBH Holdings Corp. Class A (a)(e)

28,500

556

 

26,163

Insurance - 1.5%

Aegon NV (a)

43,984

251

Allstate Corp.

46,184

1,415

Aon Corp.

9,500

375

Berkshire Hathaway, Inc. Class B (a)

14,491

1,022

CNO Financial Group, Inc. (a)

141,057

791

Genworth Financial, Inc. Class A (a)

42,700

666

MetLife, Inc.

127,809

5,175

Progressive Corp.

52,190

1,022

Protective Life Corp.

34,300

738

Sony Financial Holdings, Inc.

219

758

The First American Corp.

27,374

932

Unum Group

53,900

1,245

 

14,390

Real Estate Investment Trusts - 0.4%

Digital Realty Trust, Inc. (d)

8,700

495

ProLogis Trust

71,394

812

SL Green Realty Corp.

9,600

598

Sunstone Hotel Investors, Inc. (a)

35,184

388

The Macerich Co.

9,900

409

U-Store-It Trust

50,145

412

Ventas, Inc.

16,303

765

 

3,879

Real Estate Management & Development - 0.1%

BR Malls Participacoes SA

52,400

661

Common Stocks - continued

Shares

Value (000s)

FINANCIALS - continued

Real Estate Management & Development - continued

Forest City Enterprises, Inc. Class A (a)

9,417

$ 125

Indiabulls Real Estate Ltd. (a)

186,776

635

 

1,421

Thrifts & Mortgage Finance - 0.1%

Ocwen Financial Corp. (a)

72,900

886

Washington Mutual, Inc. (a)

130,000

16

 

902

TOTAL FINANCIALS

92,962

HEALTH CARE - 6.6%

Biotechnology - 1.0%

Acorda Therapeutics, Inc. (a)

8,700

299

AMAG Pharmaceuticals, Inc. (a)

12,900

411

Amgen, Inc. (a)

27,320

1,415

AVEO Pharmaceuticals, Inc.

18,800

151

Biogen Idec, Inc. (a)

44,900

2,130

BioMarin Pharmaceutical, Inc. (a)

41,205

804

Genzyme Corp. (a)

54,028

2,628

Gilead Sciences, Inc. (a)

37,286

1,339

Human Genome Sciences, Inc. (a)

14,100

349

United Therapeutics Corp. (a)

6,800

348

 

9,874

Health Care Equipment & Supplies - 1.2%

American Medical Systems Holdings, Inc. (a)

18,997

429

C. R. Bard, Inc.

12,662

1,025

CareFusion Corp. (a)

50,000

1,271

Covidien PLC

51,941

2,202

Edwards Lifesciences Corp. (a)

37,136

1,876

ev3, Inc. (a)

43,998

832

Mako Surgical Corp. (a)

42,311

557

Quidel Corp. (a)

47,670

558

Stryker Corp.

30,000

1,591

Thoratec Corp. (a)

8,500

373

William Demant Holding AS (a)

12,406

884

 

11,598

Health Care Providers & Services - 1.4%

CIGNA Corp.

52,439

1,755

Express Scripts, Inc. (a)

31,874

3,207

Common Stocks - continued

Shares

Value (000s)

HEALTH CARE - continued

Health Care Providers & Services - continued

Henry Schein, Inc. (a)

34,500

$ 1,946

Medco Health Solutions, Inc. (a)

58,414

3,368

UnitedHealth Group, Inc.

93,769

2,726

 

13,002

Health Care Technology - 0.1%

Allscripts-Misys Healthcare Solutions, Inc. (a)

62,900

1,183

Life Sciences Tools & Services - 0.5%

Covance, Inc. (a)

15,907

839

Illumina, Inc. (a)

29,659

1,247

Life Technologies Corp. (a)

30,355

1,520

QIAGEN NV (a)

48,830

1,029

 

4,635

Pharmaceuticals - 2.4%

Abbott Laboratories

52,878

2,515

Allergan, Inc.

40,852

2,459

Johnson & Johnson

44,326

2,584

Merck & Co., Inc.

185,596

6,253

Novo Nordisk AS Series B

13,982

1,081

Perrigo Co.

10,441

620

Pfizer, Inc.

405,584

6,177

Shire PLC sponsored ADR

21,233

1,300

 

22,989

TOTAL HEALTH CARE

63,281

INDUSTRIALS - 6.9%

Aerospace & Defense - 1.4%

Goodrich Corp.

29,662

2,059

Honeywell International, Inc.

24,100

1,031

Precision Castparts Corp.

11,279

1,316

Raytheon Co.

45,872

2,404

The Boeing Co.

42,100

2,702

United Technologies Corp.

65,367

4,404

 

13,916

Air Freight & Logistics - 0.2%

FedEx Corp.

24,600

2,054

Airlines - 0.2%

Southwest Airlines Co.

112,921

1,405

Common Stocks - continued

Shares

Value (000s)

INDUSTRIALS - continued

Building Products - 0.2%

Armstrong World Industries, Inc. (a)

12,444

$ 467

Masco Corp.

54,479

727

Owens Corning (a)

22,744

758

 

1,952

Commercial Services & Supplies - 0.0%

Republic Services, Inc.

10,600

309

Construction & Engineering - 0.2%

Fluor Corp.

22,800

1,070

Granite Construction, Inc.

7,716

229

Jacobs Engineering Group, Inc. (a)

10,382

434

KBR, Inc.

15,002

330

 

2,063

Electrical Equipment - 1.1%

Cooper Industries PLC Class A

33,720

1,584

First Solar, Inc. (a)(d)

41,482

4,661

JA Solar Holdings Co. Ltd. ADR (a)

182,282

888

Regal-Beloit Corp.

26,665

1,608

Saft Groupe SA

13,700

425

Solarfun Power Holdings Co. Ltd. ADR (a)

101,720

759

Vestas Wind Systems AS (a)

4,200

201

 

10,126

Industrial Conglomerates - 1.3%

Carlisle Companies, Inc.

13,303

517

General Electric Co.

580,863

9,497

Textron, Inc.

57,500

1,189

Tyco International Ltd.

33,800

1,223

 

12,426

Machinery - 1.6%

Caterpillar, Inc.

39,900

2,424

Cummins, Inc.

39,629

2,694

Danaher Corp.

36,474

2,895

Deere & Co.

42,000

2,423

Dover Corp.

11,900

534

Eaton Corp.

9,552

668

Ingersoll-Rand Co. Ltd.

34,800

1,298

Navistar International Corp. (a)

29,200

1,582

NSK Ltd.

26,000

190

Timken Co.

8,300

239

Common Stocks - continued

Shares

Value (000s)

INDUSTRIALS - continued

Machinery - continued

Toro Co.

9,275

$ 496

Vallourec SA

2,119

397

 

15,840

Road & Rail - 0.7%

CSX Corp.

55,370

2,893

Union Pacific Corp.

52,700

3,764

 

6,657

TOTAL INDUSTRIALS

66,748

INFORMATION TECHNOLOGY - 11.2%

Communications Equipment - 0.3%

Aruba Networks, Inc. (a)(d)

80,998

1,085

Ciena Corp. (a)

69,026

1,075

Meru Networks, Inc. (a)

20,799

272

Sycamore Networks, Inc.

21,611

381

 

2,813

Computers & Peripherals - 2.4%

A-DATA Technology Co. Ltd. (a)

178,000

387

Apple, Inc. (a)

55,845

14,361

HTC Corp.

67,000

911

SanDisk Corp. (a)

158,825

7,404

 

23,063

Electronic Equipment & Components - 0.3%

Agilent Technologies, Inc. (a)

67,819

2,195

BYD Co. Ltd. (H Shares)

54,500

457

Tyco Electronics Ltd.

14,533

419

 

3,071

Internet Software & Services - 0.8%

eBay, Inc. (a)

148,042

3,170

Google, Inc. Class A (a)

2,332

1,131

Monster Worldwide, Inc. (a)

30,115

445

WebMD Health Corp. (a)

63,704

2,900

 

7,646

IT Services - 0.1%

Heartland Payment Systems, Inc.

10,444

172

Visa, Inc. Class A

12,536

908

 

1,080

Common Stocks - continued

Shares

Value (000s)

INFORMATION TECHNOLOGY - continued

Semiconductors & Semiconductor Equipment - 5.7%

Analog Devices, Inc.

138,869

$ 4,051

Applied Materials, Inc.

512,122

6,611

ASAT Holdings Ltd. (a)

6,352

0*

ASAT Holdings Ltd. warrants 7/24/11 (a)

173

0*

ASML Holding NV (NY Shares)

247,011

6,981

ATMI, Inc. (a)

58,190

943

Avago Technologies Ltd.

47,531

982

Broadcom Corp. Class A

61,546

2,125

Brooks Automation, Inc. (a)

121,500

1,011

Entegris, Inc. (a)

112,483

607

Inotera Memories, Inc. (a)

2,855,205

1,709

Intel Corp.

225,339

4,827

KLA-Tencor Corp.

130,400

4,012

Lam Research Corp. (a)

103,400

3,915

LDK Solar Co. Ltd. sponsored ADR (a)

3,200

19

Linear Technology Corp.

4,700

131

Marvell Technology Group Ltd. (a)

134,757

2,558

Micron Technology, Inc. (a)

779,900

7,089

Nanya Technology Corp. (a)

626,000

516

Photronics, Inc. (a)

65,921

334

ReneSola Ltd. sponsored ADR (a)(d)

37,219

230

Samsung Electronics Co. Ltd.

6,966

4,497

Skyworks Solutions, Inc. (a)

15,800

252

Varian Semiconductor Equipment Associates, Inc. (a)

59,404

1,847

 

55,247

Software - 1.6%

Microsoft Corp.

577,823

14,908

Nuance Communications, Inc. (a)

25,700

438

 

15,346

TOTAL INFORMATION TECHNOLOGY

108,266

MATERIALS - 2.0%

Chemicals - 1.0%

Air Products & Chemicals, Inc.

9,896

683

Albemarle Corp.

30,699

1,322

CF Industries Holdings, Inc.

2,500

171

Clariant AG (Reg.) (a)

26,017

303

Dow Chemical Co.

97,756

2,631

E.I. du Pont de Nemours & Co.

18,700

676

Common Stocks - continued

Shares

Value (000s)

MATERIALS - continued

Chemicals - continued

Lubrizol Corp.

1,200

$ 106

LyondellBasell Industries NV:

Class A (a)

6,208

110

Class B (a)

5,414

96

Monsanto Co.

27,797

1,414

Praxair, Inc.

14,000

1,086

Solutia, Inc. (a)

42,280

641

The Mosaic Co.

8,854

409

Wacker Chemie AG

3,800

477

 

10,125

Construction Materials - 0.0%

HeidelbergCement AG

4,736

257

Martin Marietta Materials, Inc. (d)

700

65

 

322

Containers & Packaging - 0.2%

Ball Corp.

7,600

374

Owens-Illinois, Inc. (a)

26,500

804

Pactiv Corp. (a)

10,000

286

Rexam PLC

91,200

417

 

1,881

Metals & Mining - 0.7%

Alcoa, Inc.

1,700

20

AngloGold Ashanti Ltd. sponsored ADR

47,488

1,991

ArcelorMittal SA (NY Shares) Class A unit

2,200

67

Carpenter Technology Corp.

13,300

518

Commercial Metals Co.

29,509

459

Freeport-McMoRan Copper & Gold, Inc.

24,500

1,716

Globe Specialty Metals, Inc.

64,415

752

Ivanhoe Mines Ltd. (a)

18,200

265

Nucor Corp.

13,500

581

 

6,369

Paper & Forest Products - 0.1%

Weyerhaeuser Co.

20,300

864

TOTAL MATERIALS

19,561

Common Stocks - continued

Shares

Value (000s)

TELECOMMUNICATION SERVICES - 1.8%

Diversified Telecommunication Services - 0.8%

AT&T, Inc.

61,400

$ 1,492

Qwest Communications International, Inc.

1,170,369

6,133

 

7,625

Wireless Telecommunication Services - 1.0%

America Movil SAB de CV Series L sponsored ADR

28,500

1,349

American Tower Corp. Class A (a)

91,064

3,691

Clearwire Corp.:

rights 6/21/10 (a)

134,746

45

Class A (a)

144,501

1,176

NII Holdings, Inc. (a)

54,263

1,979

Sprint Nextel Corp. (a)

320,700

1,645

 

9,885

TOTAL TELECOMMUNICATION SERVICES

17,510

UTILITIES - 2.1%

Electric Utilities - 1.1%

American Electric Power Co., Inc.

87,304

2,790

Entergy Corp.

32,898

2,470

FPL Group, Inc.

73,127

3,651

PPL Corp.

39,774

1,027

Southern Co.

10,824

354

 

10,292

Independent Power Producers & Energy Traders - 0.0%

AES Corp. (a)

40,500

416

Multi-Utilities - 1.0%

CenterPoint Energy, Inc.

32,740

446

CMS Energy Corp.

91,489

1,343

PG&E Corp.

98,966

4,107

Sempra Energy

31,047

1,428

TECO Energy, Inc.

81,529

1,268

Wisconsin Energy Corp.

18,700

916

 

9,508

TOTAL UTILITIES

20,216

TOTAL COMMON STOCKS

(Cost $523,988)

569,866

Preferred Stocks - 0.1%

Shares

Value (000s)

Convertible Preferred Stocks - 0.0%

INFORMATION TECHNOLOGY - 0.0%

Semiconductors & Semiconductor Equipment - 0.0%

ASAT Holdings Ltd. 13.00% (a)

173

$ 0*

Nonconvertible Preferred Stocks - 0.1%

CONSUMER DISCRETIONARY - 0.1%

Automobiles - 0.1%

Porsche Automobil Holding SE

6,300

274

Volkswagen AG

5,664

500

 

774

TOTAL PREFERRED STOCKS

(Cost $938)

$ 774

Nonconvertible Bonds - 7.2%

 

Principal Amount (000s)

 

CONSUMER DISCRETIONARY - 0.7%

Household Durables - 0.1%

Fortune Brands, Inc.:

5.875% 1/15/36

$ 101

94

6.375% 6/15/14

1,000

1,103

 

1,197

Media - 0.6%

AOL Time Warner, Inc. 7.625% 4/15/31

500

575

Comcast Corp.:

6.4% 3/1/40

487

512

6.45% 3/15/37

238

249

Discovery Communications LLC:

3.7% 6/1/15 (g)

251

252

6.35% 6/1/40 ( g)

236

238

NBC Universal, Inc.:

3.65% 4/30/15 (e)

114

115

5.15% 4/30/20 (e)

431

440

6.4% 4/30/40 (e)

309

321

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

510

616

News America, Inc. 6.15% 3/1/37

235

238

Time Warner Cable, Inc.:

5% 2/1/20

25

25

5.85% 5/1/17

363

394

6.75% 7/1/18

430

484

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

232

240

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

CONSUMER DISCRETIONARY - continued

Media - continued

Viacom, Inc.:

4.375% 9/15/14

$ 757

$ 795

6.125% 10/5/17

150

167

6.75% 10/5/37

105

113

 

5,774

TOTAL CONSUMER DISCRETIONARY

6,971

CONSUMER STAPLES - 0.5%

Beverages - 0.1%

Anheuser-Busch InBev Worldwide, Inc.:

5.375% 11/15/14 (e)

319

346

7.75% 1/15/19 (e)

500

593

 

939

Food & Staples Retailing - 0.1%

CVS Caremark Corp. 6.302% 6/1/37 (k)

578

523

Food Products - 0.1%

Kraft Foods, Inc.:

5.375% 2/10/20

387

402

6.125% 2/1/18

416

459

6.5% 8/11/17

326

369

 

1,230

Tobacco - 0.2%

Altria Group, Inc.:

9.7% 11/10/18

930

1,128

9.95% 11/10/38

260

333

Philip Morris International, Inc. 4.875% 5/16/13

291

314

Reynolds American, Inc. 7.25% 6/15/37

437

427

 

2,202

TOTAL CONSUMER STAPLES

4,894

ENERGY - 0.9%

Energy Equipment & Services - 0.0%

DCP Midstream LLC 5.35% 3/15/20 (e)

324

324

Weatherford International Ltd. 7% 3/15/38

245

239

 

563

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

ENERGY - continued

Oil, Gas & Consumable Fuels - 0.9%

Cenovus Energy, Inc. 6.75% 11/15/39 (e)

$ 120

$ 130

Duke Energy Field Services 6.45% 11/3/36 (e)

375

369

Kinder Morgan Energy Partners LP:

5.3% 9/15/20

417

412

6.55% 9/15/40

118

116

Motiva Enterprises LLC:

5.75% 1/15/20 (e)

136

144

6.85% 1/15/40 (e)

510

564

Nakilat, Inc. 6.067% 12/31/33 (e)

515

484

Nexen, Inc.:

5.05% 11/20/13

757

810

5.875% 3/10/35

355

333

6.4% 5/15/37

290

291

NGPL PipeCo LLC 6.514% 12/15/12 (e)

245

251

Pemex Project Funding Master Trust 0.8517% 12/3/12 (e)(k)

200

198

Petro-Canada:

6.05% 5/15/18

150

164

6.8% 5/15/38

395

427

Petrobras International Finance Co. Ltd.:

5.75% 1/20/20

230

228

6.875% 1/20/40

350

351

7.875% 3/15/19

389

440

Plains All American Pipeline LP 6.125% 1/15/17

205

219

Ras Laffan Liquefied Natural Gas Co. Ltd. III:

4.5% 9/30/12 (e)

250

258

5.5% 9/30/14 (e)

250

267

6.332% 9/30/27 (e)

380

390

6.75% 9/30/19 (e)

250

272

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

385

422

Texas Eastern Transmission LP 6% 9/15/17 (e)

326

365

TransCanada PipeLines Ltd.:

3.4% 6/1/15

98

99

6.1% 6/1/40

390

387

 

8,391

TOTAL ENERGY

8,954

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

FINANCIALS - 3.5%

Capital Markets - 0.7%

BlackRock, Inc. 6.25% 9/15/17

$ 278

$ 315

Goldman Sachs Group, Inc.:

5.625% 1/15/17

500

498

6.75% 10/1/37

187

175

7.5% 2/15/19

849

937

JPMorgan Chase Capital XX 6.55% 9/29/36

235

220

JPMorgan Chase Capital XXV 6.8% 10/1/37

1,000

967

Merrill Lynch & Co., Inc.:

5.45% 2/5/13

170

177

6.875% 4/25/18

83

85

Morgan Stanley:

4.75% 4/1/14

220

218

5.45% 1/9/17

100

97

6% 5/13/14

2,100

2,177

6.625% 4/1/18

600

616

Northern Trust Corp. 5.5% 8/15/13

90

100

UBS AG Stamford Branch 5.75% 4/25/18

175

178

 

6,760

Commercial Banks - 0.7%

Bank of America NA 5.3% 3/15/17

800

785

Barclays Bank PLC 5% 9/22/16

270

267

Credit Suisse New York Branch:

5% 5/15/13

243

258

6% 2/15/18

610

623

Discover Bank 8.7% 11/18/19

445

487

Fifth Third Bancorp 8.25% 3/1/38

70

75

HBOS PLC 6.75% 5/21/18 (e)

180

170

HSBC Holdings PLC 6.5% 9/15/37

575

584

KeyBank NA 5.8% 7/1/14

322

342

KeyBank NA, Cleveland 5.45% 3/3/16

294

301

Lloyds TSB Bank PLC 5.8% 1/13/20 (e)

190

178

Manufacturers & Traders Trust Co. 1.7909% 4/1/13 (e)(k)

33

32

Marshall & Ilsley Bank 5.25% 9/4/12

110

109

PNC Funding Corp. 3.625% 2/8/15

107

109

Regions Bank 6.45% 6/26/37

321

273

Regions Financial Corp.:

5.75% 6/15/15

73

72

7.75% 11/10/14

222

236

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

142

149

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

FINANCIALS - continued

Commercial Banks - continued

Wachovia Bank NA 6.6% 1/15/38

$ 1,000

$ 1,043

Wells Fargo & Co. 3.625% 4/15/15

378

383

 

6,476

Consumer Finance - 0.5%

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

257

306

Capital One Financial Corp. 5.7% 9/15/11

193

201

Discover Financial Services 6.45% 6/12/17

1,000

999

General Electric Capital Corp.:

5.625% 9/15/17

325

344

5.9% 5/13/14

1,000

1,093

6% 8/7/19

1,000

1,059

6.375% 11/15/67 (k)

500

463

 

4,465

Diversified Financial Services - 0.5%

Bank of America Corp. 5.75% 12/1/17

620

628

Citigroup, Inc.:

4.75% 5/19/15

139

137

5.3% 10/17/12

183

190

5.5% 4/11/13

120

124

6.125% 5/15/18

877

897

6.5% 8/19/13

87

92

8.5% 5/22/19

750

879

International Lease Finance Corp. 5.65% 6/1/14

590

507

JPMorgan Chase & Co. 4.95% 3/25/20

661

661

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

220

242

TECO Finance, Inc.:

4% 3/15/16

96

97

5.15% 3/15/20

138

140

 

4,594

Insurance - 0.5%

Allstate Corp. 6.2% 5/16/14

264

297

American International Group, Inc. 8.175% 5/15/68 (k)

305

238

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

281

369

Merna Reinsurance Ltd. Series 2007-1 Class B, 2.0401% 6/30/12 (e)(k)

508

506

MetLife, Inc.:

6.75% 6/1/16

290

322

7.717% 2/15/19

191

221

Metropolitan Life Global Funding I 5.125% 6/10/14 (e)

255

274

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

FINANCIALS - continued

Insurance - continued

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

$ 158

$ 174

Northwestern Mutual Life Insurance Co. 6.063% 3/30/40 (e)

190

192

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

274

341

Pacific LifeCorp 6% 2/10/20 (e)

212

221

Prudential Financial, Inc.:

3.625% 9/17/12

500

511

4.75% 9/17/15

500

514

6.2% 1/15/15

50

55

7.375% 6/15/19

120

137

The Chubb Corp. 5.75% 5/15/18

160

176

 

4,548

Real Estate Investment Trusts - 0.2%

Camden Property Trust 5% 6/15/15

293

298

Developers Diversified Realty Corp.:

5.375% 10/15/12

70

69

7.5% 4/1/17

174

173

Equity One, Inc. 6.25% 12/15/14

918

949

Federal Realty Investment Trust 5.9% 4/1/20

93

97

UDR, Inc. 5.5% 4/1/14

498

518

 

2,104

Real Estate Management & Development - 0.3%

BioMed Realty LP 6.125% 4/15/20 (e)

124

127

Brandywine Operating Partnership LP:

5.7% 5/1/17

1,000

987

5.75% 4/1/12

24

25

Duke Realty LP:

5.4% 8/15/14

212

218

5.95% 2/15/17

43

43

6.25% 5/15/13

277

296

6.5% 1/15/18

285

300

8.25% 8/15/19

125

142

ERP Operating LP:

5.375% 8/1/16

114

120

5.5% 10/1/12

138

148

5.75% 6/15/17

410

434

Liberty Property LP 6.625% 10/1/17

247

261

Simon Property Group LP:

4.2% 2/1/15

138

141

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

FINANCIALS - continued

Real Estate Management & Development - continued

Simon Property Group LP: - continued

6.75% 2/1/40

$ 233

$ 247

 

3,489

Thrifts & Mortgage Finance - 0.1%

Bank of America Corp.:

5.65% 5/1/18

442

445

6.5% 8/1/16

300

320

7.375% 5/15/14

75

83

First Niagara Financial Group, Inc. 6.75% 3/19/20

270

283

 

1,131

TOTAL FINANCIALS

33,567

HEALTH CARE - 0.1%

Health Care Providers & Services - 0.1%

Express Scripts, Inc.:

5.25% 6/15/12

267

286

6.25% 6/15/14

158

177

 

463

Pharmaceuticals - 0.0%

Abbott Laboratories 5.3% 5/27/40

200

196

TOTAL HEALTH CARE

659

INDUSTRIALS - 0.1%

Aerospace & Defense - 0.0%

BAE Systems Holdings, Inc. 6.375% 6/1/19 (e)

309

349

Airlines - 0.1%

Delta Air Lines, Inc. pass-thru trust certificates 7.57% 11/18/10

470

475

TOTAL INDUSTRIALS

824

INFORMATION TECHNOLOGY - 0.1%

Electronic Equipment & Components - 0.1%

Tyco Electronics Group SA 6% 10/1/12

757

816

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

INFORMATION TECHNOLOGY - continued

Semiconductors & Semiconductor Equipment - 0.0%

National Semiconductor Corp. 0.507% 6/15/10 (k)

$ 140

$ 140

TOTAL INFORMATION TECHNOLOGY

956

MATERIALS - 0.3%

Chemicals - 0.1%

Dow Chemical Co.:

4.85% 8/15/12

350

368

7.6% 5/15/14

473

542

 

910

Metals & Mining - 0.2%

Anglo American Capital PLC 9.375% 4/8/14 (e)

211

248

Rio Tinto Finance (USA) Ltd.:

6.5% 7/15/18

114

126

7.125% 7/15/28

346

386

8.95% 5/1/14

266

320

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

261

228

Vale Overseas Ltd. 6.25% 1/23/17

485

521

 

1,829

TOTAL MATERIALS

2,739

TELECOMMUNICATION SERVICES - 0.6%

Diversified Telecommunication Services - 0.5%

AT&T, Inc.:

6.3% 1/15/38

548

571

6.7% 11/15/13

947

1,083

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

72

84

CenturyTel, Inc. 7.6% 9/15/39

268

252

Sprint Capital Corp. 6.875% 11/15/28

1,149

955

Telecom Italia Capital SA:

4.95% 9/30/14

757

751

5.25% 10/1/15

20

20

7.2% 7/18/36

375

363

Telefonica Emisiones SAU 5.134% 4/27/20

380

367

Verizon Communications, Inc.:

6.25% 4/1/37

187

193

6.9% 4/15/38

260

291

 

4,930

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

TELECOMMUNICATION SERVICES - continued

Wireless Telecommunication Services - 0.1%

DIRECTV Holdings LLC/DIRECTV Financing, Inc.:

4.75% 10/1/14

$ 345

$ 365

5.875% 10/1/19

428

455

6.35% 3/15/40 (e)

131

134

Sprint Nextel Corp. 6% 12/1/16

105

93

 

1,047

TOTAL TELECOMMUNICATION SERVICES

5,977

UTILITIES - 0.4%

Electric Utilities - 0.2%

Commonwealth Edison Co. 5.4% 12/15/11

258

273

EDP Finance BV:

4.9% 10/1/19 (e)

100

91

6% 2/2/18 (e)

380

379

FirstEnergy Solutions Corp.:

4.8% 2/15/15

92

95

6.05% 8/15/21

134

133

Illinois Power Co. 6.125% 11/15/17

165

181

Nevada Power Co. 6.5% 5/15/18

165

186

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

235

206

Progress Energy, Inc. 6% 12/1/39

368

368

 

1,912

Independent Power Producers & Energy Traders - 0.0%

PPL Energy Supply LLC 6.5% 5/1/18

310

338

Multi-Utilities - 0.2%

MidAmerican Energy Holdings, Co.:

5.75% 4/1/18

267

291

6.5% 9/15/37

181

198

National Grid PLC 6.3% 8/1/16

174

196

NiSource Finance Corp.:

5.45% 9/15/20

148

149

6.8% 1/15/19

677

749

 

1,583

TOTAL UTILITIES

3,833

TOTAL NONCONVERTIBLE BONDS

(Cost $65,741)

69,374

U.S. Government and Government Agency Obligations - 15.0%

 

Principal Amount (000s)

Value (000s)

U.S. Government Agency Obligations - 1.4%

Fannie Mae:

1% 4/4/12

$ 1,764

$ 1,766

1.25% 6/22/12

891

895

1.75% 2/22/13

2,658

2,683

5% 2/16/12

270

289

Federal Home Loan Bank:

1.625% 11/21/12

765

772

1.625% 3/20/13

440

442

3.625% 5/29/13

3,350

3,561

Freddie Mac:

1.125% 7/27/12

90

90

1.625% 4/15/13

1,397

1,404

1.75% 6/15/12

858

870

2.125% 3/23/12

71

73

5.25% 7/18/11

406

427

Tennessee Valley Authority 5.375% 4/1/56

405

432

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS

13,704

U.S. Treasury Inflation Protected Obligations - 1.3%

U.S. Treasury Inflation-Indexed Bonds 2.5% 1/15/29

1,014

1,128

U.S. Treasury Inflation-Indexed Notes:

1.375% 1/15/20

9,087

9,162

2.125% 2/15/40

383

410

2.625% 7/15/17

2,100

2,339

TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS

13,039

U.S. Treasury Obligations - 12.1%

U.S. Treasury Bills, yield at date of purchase 0.15% to 0.16% 7/8/10 to 8/12/10

600

600

U.S. Treasury Bonds:

4.375% 11/15/39

2,645

2,711

4.375% 5/15/40

3,245

3,332

4.5% 8/15/39

2,886

3,019

4.625% 2/15/40

1,180

1,260

U.S. Treasury Notes:

1% 3/31/12

11,145

11,200

1.75% 3/31/14

2,433

2,438

1.875% 6/15/12

3,880

3,967

2.375% 8/31/14

20,000

20,414

2.375% 2/28/15

20,023

20,345

U.S. Government and Government Agency Obligations - continued

 

Principal Amount (000s)

Value (000s)

U.S. Treasury Obligations - continued

U.S. Treasury Notes: - continued

2.5% 4/30/15

$ 4,000

$ 4,081

2.625% 7/31/14

18,000

18,570

3.125% 5/15/19

5,000

4,954

3.375% 6/30/13

13,554

14,412

3.625% 2/15/20

4,846

4,971

TOTAL U.S. TREASURY OBLIGATIONS

116,274

Other Government Related - 0.2%

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

1,790

1,825

TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $140,543)

144,842

U.S. Government Agency - Mortgage Securities - 1.0%

 

Fannie Mae - 0.9%

4.278% 6/1/36 (k)

19

20

4.5% 6/1/25 (g)

100

105

5% 9/1/39 to 10/1/39

1,544

1,620

5% 6/1/40 (g)(h)

2,300

2,407

5.496% 7/1/37 (k)

48

51

5.5% 3/1/40

980

1,053

6% 11/1/35

181

197

6% 6/1/40 (g)(h)

2,700

2,908

TOTAL FANNIE MAE

8,361

Freddie Mac - 0.0%

5.585% 10/1/35 (k)

34

36

Government National Mortgage Association - 0.1%

4% 2/15/40

499

499

4.5% 6/1/40 (g)

1,000

1,024

TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION

1,523

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $9,810)

9,920

Asset-Backed Securities - 1.0%

 

Principal Amount (000s)

Value (000s)

Accredited Mortgage Loan Trust Series 2005-1 Class M1, 0.8128% 4/25/35 (k)

$ 82

$ 48

ACE Securities Corp. Series 2006-NC2 Class M7, 1.0928% 7/25/36 (k)

5

0*

ACE Securities Corp. Home Equity Loan Trust:

Series 2004-HE1 Class M1, 1.0928% 3/25/34 (k)

5

5

Series 2005-HE2 Class M2, 0.7928% 4/25/35 (k)

10

9

Series 2006-HE2 Class M3, 0.6828% 5/25/36 (k)

4

0*

Series 2006-OP1:

Class M4, 0.7128% 4/25/36 (k)

8

0*

Class M5, 0.7328% 4/25/36 (k)

2

0*

Advanta Business Card Master Trust:

Series 2006-A6 Class A6, 0.3697% 9/20/13 (k)

34

33

Series 2006-C1 Class C1, 0.8197% 10/20/14 (k)

7

0*

Series 2007-A1 Class A, 0.3897% 1/20/15 (k)

87

86

Series 2007-A4 Class A4, 0.3697% 4/22/13 (k)

30

30

ALG Student Loan Trust I Series 2006-1 Class A1, 0.3338% 10/28/18 (e)(k)

7

7

Ally Auto Receivables Trust Series 2009-A:

Class A3, 2.33% 6/17/13 (e)

160

162

Class A4, 3% 10/15/15 (e)

160

164

Ally Master Owner Trust:

Series 2010-2 Class A, 4.25% 4/15/17 (e)

380

389

Series 2010-3 Class A, 2.88% 4/15/15 (e)

340

341

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

6

6

AmeriCredit Prime Automobile Receivables Trust
Series 2007-1 Class D, 5.62% 9/30/14

44

44

Ameriquest Mortgage Securities, Inc. pass-thru certificates:

Series 2003-10 Class M1, 1.0428% 12/25/33 (k)

5

3

Series 2004-R2 Class M3, 0.8928% 4/25/34 (k)

7

1

Series 2005-R2 Class M1, 0.7928% 4/25/35 (k)

93

70

Argent Securities, Inc. pass-thru certificates:

Series 2003-W7 Class A2, 0.6525% 3/1/34 (k)

2

2

Series 2004-W11 Class M2, 1.0428% 11/25/34 (k)

25

15

Series 2004-W7 Class M1, 0.8928% 5/25/34 (k)

27

13

Series 2006-W4 Class A2C, 0.5028% 5/25/36 (k)

67

21

Asset Backed Securities Corp. Home Equity Loan Trust Series 2004-HE2 Class M1, 1.1678% 4/25/34 (k)

121

74

Axon Financial Funding Ltd. 5.96% 4/4/17 (c)(e)(k)

229

0*

Bank of America Auto Trust:

Series 2009-1A Class A4, 3.52% 6/15/16 (e)

300

312

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

Bank of America Auto Trust: - continued

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

$ 300

$ 303

Brazos Higher Education Authority, Inc. Series 2006-2 Class A9, 0.2935% 12/26/24 (k)

99

94

C-BASS Trust Series 2006-CB7 Class A2, 0.4028% 10/25/36 (k)

12

12

Capital Auto Receivables Trust Series 2007-2 Class A4A, 5.39% 2/18/14

240

248

Capital One Multi-Asset Execution Trust:

Series 2007-C3 Class C3, 0.6269% 4/15/13 (e)(k)

131

131

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

1,000

1,021

Capital Trust Ltd. Series 2004-1:

Class A2, 0.7897% 7/20/39 (e)(k)

21

3

Class B, 1.0897% 7/20/39 (e)(k)

12

1

Class C, 1.4397% 7/20/39 (e)(k)

15

0*

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

37

38

Carrington Mortgage Loan Trust:

Series 2006-FRE1 Class M1, 0.6428% 7/25/36 (k)

52

10

Series 2006-NC2 Class M7, 1.1928% 6/25/36 (k)

19

0*

Series 2006-RFC1 Class M9, 2.2128% 5/25/36 (k)

8

0*

Series 2007-RFC1 Class A3, 0.4828% 12/25/36 (k)

82

29

Cendant Timeshare Receivables Funding LLC
Series 2005 1A Class 2A2, 0.5197% 5/20/17 (e)(k)

7

6

Chrysler Financial Lease Trust Series 2010-A Class A2, 1.78% 6/15/11 (e)

750

749

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

1,000

1,012

Citigroup Mortgage Loan Trust Series 2007-AMC4
Class M1, 0.6128% 5/25/37 (k)

35

1

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

15

0*

Countrywide Home Loans, Inc.:

Series 2004-3 Class M4, 1.3128% 4/25/34 (k)

7

3

Series 2004-4 Class M2, 1.1378% 6/25/34 (k)

27

9

Series 2005-3 Class MV1, 0.7628% 8/25/35 (k)

64

58

Series 2005-AB1 Class A2, 0.5528% 8/25/35 (k)

10

10

CPS Auto Receivables Trust Series 2006-D Class A4, 5.115% 8/15/13 (e)

27

28

Fannie Mae subordinate REMIC pass-thru certificates Series 2004-T5 Class AB3, 0.585% 5/28/35 (k)

2

2

Fieldstone Mortgage Investment Corp.:

Series 2004-3 Class M5, 2.5178% 8/25/34 (k)

13

5

Series 2006-3 Class 2A3, 0.5028% 11/25/36 (k)

204

65

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

First Franklin Mortgage Loan Trust:

Series 2004-FF2 Class M3, 1.1678% 3/25/34 (k)

$ 1

$ 0*

Series 2005-FF9 Class A3, 0.6228% 10/25/35 (k)

178

158

Series 2006-FF12 Class A2, 0.3828% 9/25/36 (k)

0 *

0*

Ford Credit Auto Owner Trust:

Series 2006-C Class B, 5.3% 6/15/12

10

10

Series 2009-D:

Class A3, 2.17% 10/15/13

200

202

Class A4, 2.98% 8/15/14

200

206

Ford Credit Floorplan Master Owner Trust Series 2006-4 Class B, 0.8869% 6/15/13 (k)

34

33

Fremont Home Loan Trust Series 2005-A:

Class M3, 0.8328% 1/25/35 (k)

43

15

Class M4, 1.0228% 1/25/35 (k)

16

2

GCO Education Loan Funding Master Trust II
Series 2007-1A Class C1L, 0.8769% 2/25/47 (e)(k)

106

73

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

90

72

GE Business Loan Trust:

Series 2003-1 Class A, 0.7669% 4/15/31 (e)(k)

13

11

Series 2006-2A:

Class A, 0.5169% 11/15/34 (e)(k)

51

41

Class B, 0.6169% 11/15/34 (e)(k)

18

11

Class C, 0.7169% 11/15/34 (e)(k)

31

12

Class D, 1.0869% 11/15/34 (e)(k)

12

3

GE Equipment Midticket LLC Series 2006-1 Class B, 0.4869% 9/15/17 (k)

25

25

GSAMP Trust:

Series 2004-AR1 Class M1, 0.9928% 6/25/34 (k)

99

61

Series 2007-HE1 Class M1, 0.5928% 3/25/47 (k)

41

2

GSR Mortgage Loan Trust Series 2006-FM1 Class M3, 0.6928% 4/25/36 (k)

17

0*

Guggenheim Structured Real Estate Funding Ltd.:

Series 2005-1 Class C, 1.4228% 5/25/30 (e)(k)

30

7

Series 2006-3:

Class B, 0.7428% 9/25/46 (e)(k)

30

6

Class C, 0.8928% 9/25/46 (e)(k)

69

10

Home Equity Asset Trust:

Series 2003-3 Class M1, 1.6328% 8/25/33 (k)

38

26

Series 2003-5 Class A2, 1.0428% 12/25/33 (k)

1

1

Series 2005-5 Class 2A2, 0.5928% 11/25/35 (k)

7

7

Series 2006-1 Class 2A3, 0.5678% 4/25/36 (k)

79

76

HSBC Home Equity Loan Trust Series 2006-2 Class M2, 0.6297% 3/20/36 (k)

38

28

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.5328% 1/25/37 (k)

$ 56

$ 20

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

200

202

JPMorgan Mortgage Acquisition Trust Series 2007-CH1:

Class AV4, 0.4728% 10/25/36 (k)

56

45

Class MV1, 0.5728% 10/25/36 (k)

46

17

Keycorp Student Loan Trust:

Series 1999-A Class A2, 0.6178% 12/27/29 (k)

40

33

Series 2006-A Class 2C, 1.4379% 3/27/42 (k)

43

10

Lancer Funding Ltd. Series 2006-1A Class A3, 1.9915% 4/6/46 (e)(k)

13

0*

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

56

57

Long Beach Mortgage Loan Trust Series 2004-2
Class M2, 1.4228% 6/25/34 (k)

9

6

Marriott Vacation Club Owner Trust Series 2006-2A:

Class B, 5.442% 10/20/28 (e)

1

1

Class C, 5.691% 10/20/28 (e)

0 *

0*

Class D, 6.01% 10/20/28 (e)

5

4

MASTR Asset Backed Securities Trust:

Series 2006-AM3 Class M1, 0.6028% 10/25/36 (k)

20

1

Series 2007-HE1 Class M1, 0.6428% 5/25/37 (k)

36

2

Merrill Lynch Mortgage Investors Trust:

Series 2003-OPT1 Class M1, 0.9928% 7/25/34 (k)

5

4

Series 2006-FM1 Class A2B, 0.4528% 4/25/37 (k)

83

73

Series 2006-OPT1 Class A1A, 0.6028% 6/25/35 (k)

75

49

Morgan Stanley ABS Capital I Trust:

Series 2004-HE6 Class A2, 0.6828% 8/25/34 (k)

3

2

Series 2005-NC1 Class M1, 0.7828% 1/25/35 (k)

18

9

Series 2005-NC2 Class B1, 1.5128% 3/25/35 (k)

19

4

National Collegiate Student Loan Trust:

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

150

27

Series 2006-3 Class A1, 0.3728% 9/25/19 (k)

2

2

Series 2006-4:

Class A1, 0.3728% 3/25/25 (k)

23

23

Class D, 1.4428% 5/25/32 (k)

32

1

New Century Home Equity Loan Trust:

Series 2005-4 Class M2, 0.8528% 9/25/35 (k)

65

27

Series 2005-D Class M2, 0.8128% 2/25/36 (k)

13

1

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

310

313

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

Nomura Home Equity Loan Trust Series 2006-HE2
Class A2, 0.4628% 3/25/36 (k)

$ 6

$ 6

Ocala Funding LLC Series 2006-1A Class A, 1.7397% 3/20/11 (c)(e)(k)

53

20

Option One Mortgage Loan Trust:

Series 2007-5 Class 2A1, 0.4328% 5/25/37 (k)

4

4

Series 2007-6 Class 2A1, 0.4028% 7/25/37 (k)

6

6

Park Place Securities, Inc.:

Series 2004-WCW1:

Class M3, 1.5928% 9/25/34 (k)

24

10

Class M4, 1.7928% 9/25/34 (k)

31

5

Series 2005-WCH1:

Class M2, 0.8628% 1/25/36 (k)

35

28

Class M3, 0.9028% 1/25/36 (k)

22

13

Class M4, 1.1728% 1/25/36 (k)

67

20

Series 2005-WHQ2:

Class M7, 1.5928% 5/25/35 (k)

79

1

Class M9, 2.2228% 5/25/35 (k)

13

0*

Providian Master Note Trust Series 2006-C1A Class C1, 0.8869% 3/16/15 (e)(k)

94

94

Residential Asset Mortgage Products, Inc. Series 2006-EFC2 Class M1, 0.5728% 12/25/36 (k)

22

1

Residential Asset Securities Corp. Series 2007-KS2
Class AI1, 0.4128% 2/25/37 (k)

7

7

Salomon Brothers Mortgage Securities VII, Inc.
Series 2003-HE1 Class A, 1.1428% 4/25/33 (k)

0 *

0*

Saxon Asset Securities Trust Series 2004-1 Class M1, 1.1378% 3/25/35 (k)

77

51

Sierra Receivables Funding Co. Series 2007-1A
Class A2, 0.4056% 3/20/19 (e)(k)

34

31

SLM Private Credit Student Loan Trust Series 2004-A Class C, 1.207% 6/15/33 (k)

57

7

Structured Asset Investment Loan Trust Series 2004-8 Class M5, 1.4928% 9/25/34 (k)

3

1

Structured Asset Securities Corp. Series 2007-BC4
Class A3, 0.5125% 11/25/37 (k)

101

94

Structured Asset Securities Corp. Mortgage Loan Trust Series 2007-OSI Class A2, 0.4328% 6/25/37 (k)

55

46

Swift Master Auto Receivables Trust Series 2007-1
Class A, 0.4369% 6/15/12 (k)

130

130

Terwin Mortgage Trust Series 2003-4HE Class A1, 1.2028% 9/25/34 (k)

1

1

Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 0.8515% 4/6/42 (e)(k)

58

3

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

Triad Auto Receivables Owner Trust Series 2006-C
Class A4, 5.31% 5/13/13

$ 30

$ 31

Turquoise Card Backed Securities PLC Series 2007-1 Class C, 0.7069% 6/15/12 (k)

166

166

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

40

0*

WaMu Asset-Backed Certificates Series 2006-HE3
Class M4, 0.7228% 8/25/36 (k)

3

0*

WaMu Master Note Trust:

Series 2006-C2A Class C2, 0.8369% 8/15/15 (e)(k)

317

313

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

400

406

Series 2007-A5A Class A5, 1.0869% 10/15/14 (e)(k)

60

60

Wells Fargo Home Equity Trust Series 2004-3 Class A, 4.5% 11/27/34 (a)(e)

0*

0

Whinstone Capital Management Ltd. Series 1A Class B3, 1.2158% 10/25/44 (e)(k)

81

27

TOTAL ASSET-BACKED SECURITIES

(Cost $8,612)

9,286

Collateralized Mortgage Obligations - 0.5%

 

Private Sponsor - 0.5%

Arran Residential Mortgages Funding No. 1 PLC floater Series 2006-1A Class DB, 0.724% 4/12/56 (e)(k)

64

35

Banc of America Commercial Mortgage Trust
Series 2007-2:

Class B, 5.8772% 4/10/49 (k)

4

1

Class C, 5.8772% 4/10/49 (k)

11

3

Class D, 5.8772% 4/10/49 (k)

6

1

Banc of America Mortgage Securities, Inc.:

Series 2003-L Class 2A1, 3.5048% 1/25/34 (k)

26

24

Series 2004-1 Class 2A2, 3.6766% 10/25/34 (k)

44

39

Series 2004-A Class 2A2, 3.5164% 2/25/34 (k)

41

36

Series 2004-B:

Class 1A1, 2.9236% 3/25/34 (k)

3

2

Class 2A2, 3.0591% 3/25/34 (k)

15

14

Bear Stearns ALT-A Trust floater Series 2005-1 Class A1, 0.6228% 1/25/35 (k)

107

80

Chase Mortgage Finance Trust:

Series 2007-A1 Class 1A5, 3.5182% 2/25/37 (k)

70

66

Series 2007-A2 Class 2A1, 3.5609% 7/25/37 (k)

15

14

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

Private Sponsor - continued

Citigroup Commercial Mortgage Trust Series 2008-C7 Class A2B, 6.0935% 12/10/49 (k)

$ 75

$ 77

Citigroup Mortgage Loan Trust Series 2004-UST1:

Class A3, 3.0088% 8/25/34 (k)

68

64

Class A4, 2.803% 8/25/34 (k)

57

54

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

84

17

COMM pass-thru certificates floater Series 2001-J2A Class A2F, 0.8369% 7/16/34 (e)(k)

75

73

Countrywide Alternative Loan Trust planned amortization class Series 2003-5T2 Class A2, 0.7428% 5/25/33 (k)

1

1

Credit Suisse First Boston Mortgage Securities Corp. floater Series 2007-AR7 Class 2A1, 3.5454% 11/25/34 (k)

77

74

DSLA Mortgage Loan Trust Series 2006-AR2
Class 2AB1, 0.4289% 11/19/37 (k)

6

6

First Horizon Mortgage pass-thru Trust Series 2004-AR5 Class 2A1, 3.0096% 10/25/34 (k)

70

66

Fosse Master Issuer PLC floater Series 2006-1A:

Class B2, 0.4644% 10/18/54 (e)(k)

129

126

Class C2, 0.7744% 10/18/54 (e)(k)

43

41

Class M2, 0.5544% 10/18/54 (e)(k)

74

71

Gracechurch Mortgage Financing PLC floater Series 2006-1 Class D2, 0.9347% 11/20/56 (e)(k)

110

103

Gracechurch Mortgage Funding PLC floater Series 1A Class DB, 0.764% 10/11/41 (e)(k)

140

136

Granite Master Issuer PLC floater:

Series 2006-1A Class C2, 0.9397% 12/20/54 (e)(k)

271

125

Series 2006-2 Class C1, 0.8097% 12/20/54 (k)

242

99

Series 2006-3 Class C2, 0.8397% 12/20/54 (k)

50

22

Series 2006-4:

Class B1, 0.4297% 12/20/54 (k)

169

125

Class C1, 0.7197% 12/20/54 (k)

103

44

Class M1, 0.5097% 12/20/54 (k)

44

28

Series 2007-1:

Class 1C1, 0.6397% 12/20/54 (k)

84

35

Class 1M1, 0.4897% 12/20/54 (k)

54

33

Class 2C1, 0.7697% 12/20/54 (k)

38

16

Class 2M1, 0.5897% 12/20/54 (k)

70

43

Series 2007-2 Class 2C1, 0.7669% 12/17/54 (k)

97

41

Granite Mortgages PLC floater Series 2003-3 Class 1C, 2.7553% 1/20/44 (k)

19

11

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

Private Sponsor - continued

GSR Mortgage Loan Trust Series 2007-AR2 Class 2A1, 3.1197% 4/25/35 (k)

$ 21

$ 18

Harborview Mortgage Loan Trust floater Series 2005-2 Class 2A1A, 0.5589% 5/19/35 (k)

18

11

JPMorgan Chase Commercial Mortgage Securities Trust Series 2007-CB18:

Class A1, 5.32% 6/12/47 (k)

6

6

Class A3, 5.447% 6/12/47 (k)

142

143

JPMorgan Mortgage Trust:

sequential payer Series 2006-A5 Class 3A5, 5.946% 8/25/36 (k)

90

72

Series 2004-A3 Class 4A1, 4.2708% 7/25/34 (k)

99

96

Series 2004-A5 Class 2A1, 2.9631% 12/25/34 (k)

79

76

Series 2006-A2 Class 5A1, 3.423% 11/25/33 (k)

196

184

LB-UBS Commercial Mortgage Trust sequential payer Series 2006-C6 Class A4, 5.372% 9/15/39

34

34

MASTR Adjustable Rate Mortgages Trust Series 2007-3 Class 22A2, 0.5528% 5/25/47 (k)

54

33

Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.5128% 2/25/37 (k)

73

41

Merrill Lynch Floating Trust floater Series 2006-1:

Class B, 0.507% 6/15/22 (e)(k)

9

8

Class C, 0.527% 6/15/22 (e)(k)

58

50

Class D, 0.537% 6/15/22 (e)(k)

22

19

Class E, 0.547% 6/15/22 (e)(k)

35

28

Class F, 0.577% 6/15/22 (e)(k)

64

47

Class G, 0.647% 6/15/22 (e)(k)

13

9

Class H, 0.667% 6/15/22 (e)(k)

27

17

Class J, 0.707% 6/15/22 (e)(k)

31

17

Merrill Lynch Mortgage Investors Trust:

Series 2004-A4 Class A1, 2.9738% 8/25/34 (k)

97

91

Series 2005-A2 Class A7, 2.8011% 2/25/35 (k)

73

67

Series 2006-A6 Class A4, 3.6176% 10/25/33 (k)

63

57

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

321

333

Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 0.6328% 7/25/35 (k)

117

87

Option One Mortgage Loan Trust floater Series 2007-CP1 Class M1, 0.6428% 3/25/37 (k)

111

7

Permanent Financing No. 8 PLC floater Class 3C, 0.7743% 6/10/42 (k)

92

92

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

Private Sponsor - continued

Provident Funding Mortgage Loan Trust Series 2005-2 Class 3A, 3.93% 10/25/35 (k)

$ 192

$ 167

RESI Finance LP/RESI Finance DE Corp. floater:

Series 2003-B Class B5, 2.6471% 7/10/35 (e)(k)

46

25

Series 2004-A:

Class B4, 1.4971% 2/10/36 (e)(k)

30

16

Class B5, 1.9971% 2/10/36 (e)(k)

20

10

Series 2004-B:

Class B4, 1.3971% 2/10/36 (e)(k)

13

7

Class B5, 1.8471% 2/10/36 (e)(k)

10

4

Class B6, 2.2971% 2/10/36 (e)(k)

4

1

Series 2004-C:

Class B4, 1.2471% 9/10/36 (e)(k)

18

9

Class B5, 1.6471% 9/10/36 (e)(k)

20

9

Class B6, 2.0471% 9/10/36 (e)(k)

4

1

Residential Asset Mortgage Products, Inc. sequential payer Series 2003-SL1 Class A31, 7.125% 4/25/31

8

8

Residential Funding Securities Corp. floater Series 2003-RP2 Class A1, 0.7928% 6/25/33 (e)(k)

12

10

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

2

1

Structured Asset Securities Corp.:

Series 2003-15A Class 4A, 5.3508% 4/25/33 (k)

27

25

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

27

27

TBW Mortgage-Backed pass-thru certificates floater Series 2006-4 Class A3, 0.4625% 9/25/36 (k)

148

78

WaMu Mortgage pass-thru certificates:

Series 2003-AR8 Class A, 2.8459% 8/25/33 (k)

48

45

Series 2005-AR3 Class A2, 2.7272% 3/25/35 (k)

126

111

Wells Fargo Mortgage Backed Securities Trust:

Series 2004-EE Class 2A2, 3.0855% 12/25/34 (k)

42

41

Series 2004-H Class A1, 4.5375% 6/25/34 (k)

87

86

Series 2004-W Class A9, 2.9943% 11/25/34 (k)

120

113

Series 2005-AR10 Class 2A2, 2.9762% 6/25/35 (k)

102

98

Series 2005-AR12 Class 2A6, 2.9646% 7/25/35 (k)

150

138

Series 2005-AR3 Class 2A1, 3.2394% 3/25/35 (k)

90

82

TOTAL PRIVATE SPONSOR

4,601

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

U.S. Government Agency - 0.0%

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

$ 32

$ 35

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $3,431)

4,636

Commercial Mortgage Securities - 2.9%

 

Asset Securitization Corp. Series 1997-D5:

Class A6, 7.1896% 2/14/43 (k)

88

93

Class A2, 7.1508% 2/14/43 (k)

55

60

Class A3, 7.2008% 2/14/43 (k)

60

65

Class PS1, 1.5207% 2/14/43 (k)(n)

236

8

Banc of America Commercial Mortgage Trust:

sequential payer:

Series 2006-2 Class AAB, 5.91% 5/10/45 (k)

88

93

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

13

13

Series 2006-5:

Class A1, 5.185% 9/10/47

31

32

Class A2, 5.317% 9/10/47

289

295

Class A3, 5.39% 9/10/47

105

105

Series 2006-6 Class A3, 5.369% 10/10/45

150

152

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

11

11

Series 2007-4 Class A3, 6.0019% 2/10/51 (k)

75

77

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

43

7

Series 2007-3:

Class A3, 5.837% 6/10/49 (k)

125

129

Class A4, 5.837% 6/10/49 (k)

156

148

Banc of America Commercial Mortgage, Inc.:

sequential payer:

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

5

5

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

164

159

Series 2004-2:

Class A3, 4.05% 11/10/38

93

94

Class A4, 4.153% 11/10/38

95

96

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

12

12

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

142

142

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

35

36

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

175

178

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

42

41

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Banc of America Commercial Mortgage, Inc.: - continued

Series 2001-PB1:

Class J, 7.166% 5/11/35 (e)

$ 19

$ 18

Class K, 6.15% 5/11/35 (e)

35

31

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

233

237

Series 2005-6 Class A3, 5.3503% 9/10/47 (k)

135

138

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

45

14

Banc of America Large Loan, Inc. floater:

Series 2005-MIB1:

Class C, 0.6469% 3/15/22 (e)(k)

32

28

Class D, 0.6969% 3/15/22 (e)(k)

33

28

Class E, 0.7369% 3/15/22 (e)(k)

27

23

Class F, 0.8069% 3/15/22 (e)(k)

28

22

Class G, 0.8669% 3/15/22 (e)(k)

18

13

Series 2006-BIX1:

Class C, 0.5169% 10/15/19 (e)(k)

48

42

Class D, 0.5469% 10/15/19 (e)(k)

59

50

Class E, 0.5769% 10/15/19 (e)(k)

55

46

Class F, 0.6469% 10/15/19 (e)(k)

128

98

Class G, 0.6669% 10/15/19 (e)(k)

49

33

Bayview Commercial Asset Trust:

floater:

Series 2003-2 Class M1, 1.1928% 12/25/33 (e)(k)

4

2

Series 2004-1:

Class A, 0.7028% 4/25/34 (e)(k)

52

41

Class B, 2.2428% 4/25/34 (e)(k)

6

3

Class M1, 0.9028% 4/25/34 (e)(k)

5

3

Class M2, 1.5428% 4/25/34 (e)(k)

4

2

Series 2004-2:

Class A, 0.7728% 8/25/34 (e)(k)

38

30

Class M1, 0.9228% 8/25/34 (e)(k)

9

6

Series 2004-3:

Class A1, 0.7128% 1/25/35 (e)(k)

84

66

Class A2, 0.7628% 1/25/35 (e)(k)

12

8

Class M1, 0.8428% 1/25/35 (e)(k)

15

9

Class M2, 1.3428% 1/25/35 (e)(k)

9

6

Series 2005-2A:

Class A1, 0.6528% 8/25/35 (e)(k)

77

54

Class M1, 0.7728% 8/25/35 (e)(k)

5

2

Class M2, 0.8228% 8/25/35 (e)(k)

8

4

Class M3, 0.8428% 8/25/35 (e)(k)

4

2

Class M4, 0.9528% 8/25/35 (e)(k)

4

2

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Bayview Commercial Asset Trust: - continued

floater:

Series 2005-3A:

Class A1, 0.6628% 11/25/35 (e)(k)

$ 34

$ 24

Class A2, 0.7428% 11/25/35 (e)(k)

28

19

Class M1, 0.7828% 11/25/35 (e)(k)

4

2

Class M2, 0.8328% 11/25/35 (e)(k)

5

2

Class M3, 0.8528% 11/25/35 (e)(k)

5

2

Class M4, 0.9428% 11/25/35 (e)(k)

6

2

Series 2005-4A:

Class A2, 0.7328% 1/25/36 (e)(k)

78

52

Class B1, 1.7428% 1/25/36 (e)(k)

7

2

Class M1, 0.7928% 1/25/36 (e)(k)

25

14

Class M2, 0.8128% 1/25/36 (e)(k)

8

4

Class M3, 0.8428% 1/25/36 (e)(k)

11

5

Class M4, 0.9528% 1/25/36 (e)(k)

6

3

Class M5, 0.9928% 1/25/36 (e)(k)

6

2

Class M6, 1.0428% 1/25/36 (e)(k)

6

2

Series 2006-1:

Class A2, 0.7028% 4/25/36 (e)(k)

12

7

Class M1, 0.7228% 4/25/36 (e)(k)

4

2

Class M2, 0.7428% 4/25/36 (e)(k)

5

2

Class M3, 0.7628% 4/25/36 (e)(k)

4

2

Class M4, 0.8628% 4/25/36 (e)(k)

2

1

Class M5, 0.9028% 4/25/36 (e)(k)

2

1

Class M6, 0.9828% 4/25/36 (e)(k)

4

1

Series 2006-2A:

Class A1, 0.5728% 7/25/36 (e)(k)

205

142

Class A2, 0.6228% 7/25/36 (e)(k)

11

7

Class B1, 1.2128% 7/25/36 (e)(k)

4

1

Class B3, 3.0428% 7/25/36 (e)(k)

6

2

Class M1, 0.6528% 7/25/36 (e)(k)

11

5

Class M2, 0.6728% 7/25/36 (e)(k)

8

3

Class M3, 0.6928% 7/25/36 (e)(k)

7

3

Class M4, 0.7628% 7/25/36 (e)(k)

4

2

Class M5, 0.8128% 7/25/36 (e)(k)

5

2

Class M6, 0.8828% 7/25/36 (e)(k)

8

3

Series 2006-3A:

Class B1, 1.1428% 10/25/36 (e)(k)

7

1

Class B2, 1.6928% 10/25/36 (e)(k)

5

1

Class B3, 2.9428% 10/25/36 (e)(k)

8

1

Class M4, 0.7728% 10/25/36 (e)(k)

8

2

Class M5, 0.8228% 10/25/36 (e)(k)

9

3

Class M6, 0.9028% 10/25/36 (e)(k)

18

4

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Bayview Commercial Asset Trust: - continued

floater:

Series 2006-4A:

Class A1, 0.5728% 12/25/36 (e)(k)

$ 33

$ 23

Class A2, 0.6128% 12/25/36 (e)(k)

169

83

Class B1, 1.0428% 12/25/36 (e)(k)

5

1

Class B2, 1.5928% 12/25/36 (e)(k)

5

1

Class B3, 2.7928% 12/25/36 (e)(k)

9

2

Class M1, 0.6328% 12/25/36 (e)(k)

11

4

Class M2, 0.6528% 12/25/36 (e)(k)

7

2

Class M3, 0.6828% 12/25/36 (e)(k)

7

2

Class M4, 0.7428% 12/25/36 (e)(k)

9

2

Class M5, 0.7828% 12/25/36 (e)(k)

7

2

Class M6, 0.8628% 12/25/36 (e)(k)

7

2

Series 2007-1:

Class A2, 0.6128% 3/25/37 (e)(k)

37

24

Class B1, 1.0128% 3/25/37 (e)(k)

12

3

Class B2, 1.4928% 3/25/37 (e)(k)

8

2

Class B3, 3.6928% 3/25/37 (e)(k)

23

4

Class M1, 0.6128% 3/25/37 (e)(k)

10

4

Class M2, 0.6328% 3/25/37 (e)(k)

8

3

Class M3, 0.6628% 3/25/37 (e)(k)

7

2

Class M4, 0.7128% 3/25/37 (e)(k)

6

2

Class M5, 0.7628% 3/25/37 (e)(k)

9

3

Class M6, 0.8428% 3/25/37 (e)(k)

12

3

Series 2007-2A:

Class A1, 0.6128% 7/25/37 (e)(k)

34

24

Class A2, 0.6628% 7/25/37 (e)(k)

31

16

Class B1, 1.9428% 7/25/37 (e)(k)

9

2

Class B2, 2.5928% 7/25/37 (e)(k)

8

1

Class B3, 3.6928% 7/25/37 (e)(k)

9

2

Class M1, 0.7128% 7/25/37 (e)(k)

11

4

Class M2, 0.7528% 7/25/37 (e)(k)

6

2

Class M3, 0.8328% 7/25/37 (e)(k)

6

2

Class M4, 0.9928% 7/25/37 (e)(k)

12

3

Class M5, 1.0928% 7/25/37 (e)(k)

11

2

Class M6, 1.3428% 7/25/37 (e)(k)

13

2

Series 2007-3:

Class A2, 0.6328% 7/25/37 (e)(k)

42

22

Class B1, 1.2928% 7/25/37 (e)(k)

8

2

Class B2, 1.9428% 7/25/37 (e)(k)

21

4

Class B3, 4.3428% 7/25/37 (e)(k)

11

2

Class M1, 0.6528% 7/25/37 (e)(k)

8

3

Class M2, 0.6828% 7/25/37 (e)(k)

8

3

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Bayview Commercial Asset Trust: - continued

floater:

Class M3, 0.7128% 7/25/37 (e)(k)

$ 13

$ 4

Class M4, 0.8428% 7/25/37 (e)(k)

20

6

Class M5, 0.9428% 7/25/37 (e)(k)

10

3

Class M6, 1.1428% 7/25/37 (e)(k)

8

2

Series 2007-4A:

Class B1, 2.8928% 9/25/37 (e)(k)

12

2

Class B2, 3.7928% 9/25/37 (e)(k)

45

5

Class M1, 1.2928% 9/25/37 (e)(k)

12

3

Class M2, 1.3928% 9/25/37 (e)(k)

12

3

Class M4, 1.9428% 9/25/37 (e)(k)

31

5

Class M5, 2.0928% 9/25/37 (e)(k)

31

5

Class M6, 2.2928% 9/25/37 (e)(k)

31

4

Series 2004-1 Class IO, 1.25% 4/25/34 (e)(n)

192

7

Series 2007-5A Class IO, 3.047% 10/25/37 (e)(k)(n)

437

47

Bear Stearns Commercial Mortgage Securities Trust:

floater:

Series 2006-BBA7:

Class G, 0.7769% 3/15/19 (e)(k)

36

18

Class H, 0.9869% 3/15/19 (e)(k)

25

10

Class J, 1.1869% 3/15/19 (e)(k)

18

7

Series 2007-BBA8:

Class D, 0.5869% 3/15/22 (e)(k)

25

16

Class E, 0.6369% 3/15/22 (e)(k)

128

79

Class F, 0.6869% 3/15/22 (e)(k)

78

45

Class G, 0.7369% 3/15/22 (e)(k)

20

11

Class H, 0.8869% 3/15/22 (e)(k)

25

12

Class J, 1.0369% 3/15/22 (e)(k)

25

10

sequential payer:

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

30

30

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

79

81

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

54

55

Series 2007-PW16 Class A4, 5.9076% 6/11/40 (k)

44

44

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

21

22

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

21

22

Series 2003-PWR2 Class X2, 0.5984% 5/11/39 (e)(k)(n)

581

4

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

265

274

Series 2006-PW14 Class X2, 0.8482% 12/11/38 (e)(k)(n)

1,017

20

Series 2006-T22:

Class A1, 5.415% 4/12/38 (k)

8

8

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Bear Stearns Commercial Mortgage Securities Trust: - continued

Series 2006-T22:

Class A4, 5.6286% 4/12/38 (k)

$ 9

$ 9

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

10

11

Series 2007-PW16:

Class B, 5.9076% 6/11/40 (e)(k)

12

4

Class C, 5.9076% 6/11/40 (e)(k)

10

3

Class D, 5.9076% 6/11/40 (e)(k)

10

3

Series 2007-PW18 Class X2, 0.4862% 6/11/50 (e)(k)(n)

7,006

94

Series 2007-T28:

Class A1, 5.422% 9/11/42

12

13

Class X2, 0.3328% 9/11/42 (e)(k)(n)

3,504

29

C-BASS Trust floater Series 2006-SC1 Class A, 0.6128% 5/25/36 (e)(k)

44

27

CDC Commercial Mortgage Trust Series 2002-FX1:

Class G, 6.625% 5/15/35 (e)

88

93

Class XCL, 2.3619% 5/15/35 (e)(k)(n)

1,024

33

Chase Commercial Mortgage Securities Corp.:

Series 1999-2:

Class E, 7.734% 1/15/32

30

30

Class F, 7.734% 1/15/32

16

16

Series 2001-245 Class A2, 6.4842% 2/12/16 (e)(k)

75

77

Citigroup Commercial Mortgage Trust:

floater Series 2006-FL2:

Class F, 0.6469% 8/16/21 (e)(k)

27

22

Class G, 0.6669% 8/15/21 (e)(k)

20

15

Class H, 0.7069% 8/15/21 (e)(k)

16

11

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

430

432

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

127

111

Series 2007-C6:

Class A1, 5.622% 12/10/49 (k)

685

701

Class A4, 5.8882% 12/10/49 (k)

249

246

Citigroup/Deutsche Bank Commercial Mortgage Trust:

sequential payer Series 2007-CD4:

Class A1, 4.977% 12/11/49

15

15

Class A2A, 5.237% 12/11/49

67

68

Class A4, 5.322% 12/11/49

110

104

Series 2007-CD4:

Class A3, 5.293% 12/11/49

73

72

Class C, 5.476% 12/11/49

141

39

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Cobalt CMBS Commercial Mortgage Trust:

sequential payer Series 2007-C3 Class A3, 6.0152% 5/15/46 (k)

$ 75

$ 77

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

225

41

COMM pass-thru certificates:

floater:

Series 2005-F10A:

Class B, 0.5669% 4/15/17 (e)(k)

168

136

Class C, 0.6069% 4/15/17 (e)(k)

60

47

Class D, 0.6469% 4/15/17 (e)(k)

43

33

Class E, 0.7069% 4/15/17 (e)(k)

14

10

Class F, 0.7469% 4/15/17 (e)(k)

8

5

Class G, 0.8869% 4/15/17 (e)(k)

8

4

Class H, 0.9569% 4/15/17 (e)(k)

8

3

Class J, 1.1869% 4/15/17 (e)(k)

6

2

Series 2005-FL11:

Class C, 0.6369% 11/15/17 (e)(k)

76

68

Class D, 0.6769% 11/15/17 (e)(k)

4

4

Class E, 0.7269% 11/15/17 (e)(k)

14

12

Class F, 0.7869% 11/15/17 (e)(k)

11

9

Class G, 0.8369% 11/15/17 (e)(k)

8

5

Series 2006-FL12 Class AJ, 0.4669% 12/15/20 (e)(k)

107

88

sequential payer:

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

2

2

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

214

215

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

127

127

Series 2007-C9 Class A4, 6.0098% 12/10/49 (k)

166

167

Series 2006-C8 Class B, 5.44% 12/10/46

130

46

Commercial Mortgage Asset Trust sequential payer Series 1999-C2 Class A2, 7.546% 11/17/32 (k)

4

4

Credit Suisse Commercial Mortgage Trust:

sequential payer:

Series 2006-C4 Class A3, 5.467% 9/15/39

93

90

Series 2006-C5 Class AJ, 5.373% 12/15/39

152

79

Series 2007-C2:

Class A1, 5.269% 1/15/49

2

2

Class A2, 5.448% 1/15/49 (k)

435

444

Class A3, 5.542% 1/15/49 (k)

150

137

Series 2007-C3:

Class A1, 5.664% 6/15/39 (k)

5

5

Class A4, 5.9118% 6/15/39 (k)

45

41

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Credit Suisse Commercial Mortgage Trust: - continued

sequential payer:

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

$ 427

$ 443

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

68

61

Credit Suisse First Boston Mortgage Capital Certificates floater Series 2007-TF2A Class B, 0.6869% 4/15/22 (e)(k)

268

105

Credit Suisse First Boston Mortgage Securities Corp.:

sequential payer:

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

75

79

Series 2004-C1:

Class A3, 4.321% 1/15/37

20

21

Class A4, 4.75% 1/15/37

35

36

Series 1998-C1 Class D, 7.17% 5/17/40

7

7

Series 1999-C1 Class E, 8.1581% 9/15/41 (k)

33

33

Series 2001-CK6 Class AX, 1.1925% 8/15/36 (k)(n)

201

2

Series 2001-CKN5 Class AX, 2.3088% 9/15/34 (e)(k)(n)

610

11

Series 2004-C1 Class ASP, 1.1321% 1/15/37 (e)(k)(n)

4,150

31

Series 2006-C1 Class A3, 5.711% 2/15/39 (k)

396

404

Credit Suisse Mortgage Capital Certificates:

floater:

Series 200-TFL1 Class B, 0.4869% 2/15/22 (e)(k)

28

18

Series 2007-TFL1:

Class C:

0.5069% 2/15/22 (e)(k)

84

46

0.6069% 2/15/22 (e)(k)

30

14

Class F, 0.6569% 2/15/22 (e)(k)

60

24

sequential payer Series 2007-C1:

Class A1, 5.227% 2/15/40

5

5

Class A2, 5.268% 2/15/40

1,760

1,799

Series 2007-C1:

Class ASP, 0.6107% 2/15/40 (k)(n)

1,404

19

Class B, 5.487% 2/15/40 (e)(k)

115

13

First Union National Bank-Bank of America Commercial Mortgage Trust Series 2001-C1:

Class D, 6.484% 3/15/33

27

26

Class G, 6.936% 3/15/33 (e)

49

47

GE Capital Commercial Mortgage Corp.:

sequential payer Series 2007-C1 Class A4, 5.543% 12/10/49

443

406

Series 2001-1 Class X1, 1.255% 5/15/33 (e)(k)(n)

754

5

Series 2005-C1 Class B, 4.846% 6/10/48 (k)

21

16

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

GE Capital Commercial Mortgage Corp.: - continued

sequential payer:

Series 2007-C1 Class XP, 0.3803% 12/10/49 (k)(n)

$ 872

$ 6

GMAC Commercial Mortgage Securities, Inc. Series 2005-C1 Class X2, 0.8502% 5/10/43 (k)(n)

343

3

Greenwich Capital Commercial Funding Corp.:

floater Series 2006-FL4 Class B, 0.47% 11/5/21 (e)(k)

28

19

sequential payer:

Series 2004-GG1 Class A4, 4.755% 6/10/36

36

36

Series 2007-GG11:

Class A1, 5.358% 12/10/49

44

46

Class A2, 5.597% 12/10/49

150

154

Series 2007-GG9:

Class A1, 5.233% 3/10/39

0*

0*

Class A4, 5.444% 3/10/39

218

211

Series 2005-GG3 Class XP, 0.6925% 8/10/42 (e)(k)(n)

1,442

18

Series 2006-GG7:

Class A3, 6.0847% 7/10/38 (k)

198

203

Class A4, 6.0847% 7/10/38 (k)

350

355

Series 2007-GG11 Class A1, 0.4798% 12/10/49 (e)(n)

1,782

20

GS Mortgage Securities Corp. II:

floater:

Series 2006-FL8A:

Class C, 0.5247% 6/6/20 (e)(k)

4

3

Class D, 0.5647% 6/6/20 (e)(k)

18

11

Class E, 0.6547% 6/6/20 (e)(k)

21

13

Class F, 0.7247% 6/6/20 (e)(k)

38

22

Series 2007-EOP:

Class C, 0.6047% 3/6/20 (e)(k)

44

39

Class D, 0.6547% 3/6/20 (e)(k)

117

103

Class F, 0.7647% 3/6/20 (e)(k)

4

3

Class G, 0.8047% 3/6/20 (e)(k)

2

2

sequential payer Series 2004-GG2 Class A4, 4.964% 8/10/38

23

24

Series 2005-GG4 Class XP, 0.7072% 7/10/39 (e)(k)(n)

1,472

20

Series 2006-GG6 Class A2, 5.506% 4/10/38

440

446

GS Mortgage Securities Trust sequential payer:

Series 2006-GG8 Class A2, 5.479% 11/10/39

113

115

Series 2007-GG10:

Class A1, 5.69% 8/10/45

13

13

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

GS Mortgage Securities Trust sequential payer: - continued

Class A2, 5.778% 8/10/45

$ 36

$ 37

Class A4, 5.9988% 8/10/45 (k)

576

541

JPMorgan Chase Commercial Mortgage Securities Trust:

floater Series 2006-FLA2:

Class B, 0.5069% 11/15/18 (e)(k)

63

44

Class C, 0.5469% 11/15/18 (e)(k)

44

29

Class D, 0.5669% 11/15/18 (e)(k)

13

8

Class E, 0.6169% 11/15/18 (e)(k)

19

11

Class F, 0.6669% 11/15/18 (e)(k)

28

15

Class G, 0.6969% 11/15/18 (e)(k)

24

12

Class H, 0.8369% 11/15/18 (e)(k)

19

9

sequential payer:

Series 2006-CB14 Class A3B, 5.6694% 12/12/44 (k)

223

228

Series 2006-CB15 Class A3, 5.819% 6/12/43 (k)

113

116

Series 2006-LDP8 Class A4, 5.399% 5/15/45

48

48

Series 2006-LDP9:

Class A2, 5.134% 5/15/47 (k)

36

36

Class A3, 5.336% 5/15/47

31

30

Series 2007-CB19 Class A4, 5.9366% 2/12/49 (k)

263

254

Series 2007-LD11 Class A2, 5.9913% 6/15/49 (k)

211

216

Series 2007-LDP10 Class A1, 5.122% 1/15/49

5

5

Series 2007-LDPX Class A3, 5.412% 1/15/49

206

193

Series 2004-LDP4 Class D, 5.2913% 10/15/42 (k)

68

38

Series 2005-CB13 Class E, 5.5269% 1/12/43 (e)(k)

38

13

Series 2005-LDP3 Class A3, 4.959% 8/15/42

480

487

Series 2006-CB17 Class A3, 5.45% 12/12/43

21

22

Series 2007-CB19:

Class B, 5.9366% 2/12/49 (k)

6

2

Class C, 5.9366% 2/12/49 (k)

17

6

Class D, 5.9366% 2/12/49 (k)

18

6

Series 2007-LDP10:

Class BS, 5.437% 1/15/49 (k)

14

2

Class CS, 5.466% 1/15/49 (k)

6

1

Class ES, 5.5451% 1/15/49 (e)(k)

39

2

JPMorgan Commercial Mortgage Finance Corp. Series 2000-C9 Class G, 6.25% 10/15/32 (e)

31

31

LB Commercial Conduit Mortgage Trust:

sequential payer Series 2007-C3 Class A4, 6.1496% 7/15/44 (k)

58

56

Series 1998-C1 Class D, 6.98% 2/18/30

31

31

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

LB-UBS Commercial Mortgage Trust:

sequential payer:

Series 2001-C2 Class A2, 6.653% 11/15/27

$ 14

$ 14

Series 2001-C3 Class A1, 6.058% 6/15/20

2

2

Series 2006-C1 Class A2, 5.084% 2/15/31

34

35

Series 2006-C3 Class A1, 5.478% 3/15/32

3

3

Series 2006-C6:

Class A1, 5.23% 9/15/39

9

9

Class A2, 5.262% 9/15/39 (k)

131

134

Series 2006-C7:

Class A1, 5.279% 11/15/38

55

56

Class A2, 5.3% 11/15/38

83

85

Class A3, 5.347% 11/15/38

56

56

Series 2007-C1:

Class A1, 5.391% 2/15/40 (k)

5

6

Class A4, 5.424% 2/15/40

210

204

Series 2007-C2:

Class A1, 5.226% 2/15/40

4

4

Class A3, 5.43% 2/15/40

146

140

Series 2000-C5 Class E, 7.29% 12/15/32

5

5

Series 2001-C3 Class B, 6.512% 6/15/36

145

150

Series 2001-C7 Class D, 6.514% 11/15/33

83

83

Series 2004-C4 Class A2, 4.567% 6/15/29 (k)

5

5

Series 2005-C3 Class XCP, 0.9157% 7/15/40 (k)(n)

253

3

Series 2006-C6 Class XCP, 0.8541% 9/15/39 (k)(n)

426

8

Series 2007-C1:

Class C, 5.533% 2/15/40 (k)

165

35

Class D, 5.563% 2/15/40 (k)

30

5

Class E, 5.582% 2/15/40 (k)

15

2

Class XCP, 0.5131% 2/15/40 (k)(n)

171

2

Series 2007-C6 Class A4, 5.858% 7/15/40 (k)

94

91

Series 2007-C7:

Class A3, 5.866% 9/15/45

245

240

Class XCP, 0.4535% 9/15/45 (k)(n)

5,887

69

LB-UBS Westfield Trust Series 2001-WM, 6.754% 7/14/16 (e)

21

22

Leafs CMBS I Ltd./Leafs CMBS I Corp. Series 2002-1A:

Class B, 4.13% 11/20/37 (e)

114

100

Class C, 4.13% 11/20/37 (e)

324

275

Lehman Brothers Floating Rate Commercial Mortgage Trust floater Series 2006-LLFA:

Class D, 0.5669% 9/15/21 (e)(k)

24

20

Class E, 0.6269% 9/15/21 (e)(k)

86

68

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Lehman Brothers Floating Rate Commercial Mortgage Trust floater Series 2006-LLFA: - continued

Class F, 0.6769% 9/15/21 (e)(k)

$ 52

$ 38

Class G, 0.6969% 9/15/21 (e)(k)

102

67

Class H, 0.7369% 9/15/21 (e)(k)

26

10

Lehman Large Loan Trust Series 1997-LLI Class E, 7.3% 10/12/34

133

140

Merrill Lynch Mortgage Trust:

sequential payer Series 2007-C1 Class A1, 4.533% 6/12/50

12

12

Series 2005-CKL1 Class A3, 5.405% 11/12/37 (k)

123

125

Series 2005-LC1 Class F, 5.5536% 1/12/44 (e)(k)

65

23

Series 2006-C1 Class A2, 5.7934% 5/12/39 (k)

106

110

Series 2007-C1 Class A4, 6.0197% 6/12/50 (k)

284

280

Series 2008-C1 Class A4, 5.69% 2/12/51

160

156

Merrill Lynch-CFC Commercial Mortgage Trust:

floater Series 2006-4 Class A2FL, 0.3701% 12/12/49 (k)

35

32

sequential payer:

Series 2006-1 CLass A3, 5.6441% 2/12/39 (k)

80

82

Series 2006-4 Class ASB, 5.133% 12/12/49 (k)

64

66

Series 2007-5:

Class A1, 4.275% 8/12/48

3

4

Class A3, 5.364% 8/12/48

499

490

Class A4, 5.378% 8/12/48

3

3

Class B, 5.479% 2/12/17

225

16

Series 2007-6:

Class A1, 5.175% 3/12/51

5

5

Class A4, 5.485% 3/12/51 (k)

550

509

Series 2007-7 Class A4, 5.81% 6/12/50 (k)

263

251

Series 2007-8 Class A1, 4.622% 8/12/49

10

10

Series 2006-4 Class XP, 0.816% 12/12/49 (k)(n)

1,291

26

Series 2007-6 Class B, 5.635% 3/12/51 (k)

75

21

Series 2007-7 Class B, 5.75% 6/12/50

7

1

Series 2007-8 Class A3, 6.1549% 8/12/49 (k)

65

65

Morgan Stanley Capital I Trust:

floater:

Series 2005-XLF Class J, 0.797% 8/15/19 (e)(k)

2

2

Series 2006-XLF:

Class C, 1.537% 7/15/19 (e)(k)

37

5

Class F, 0.657% 7/15/19 (e)(k)

72

65

Class G, 0.697% 7/15/19 (e)(k)

41

29

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Morgan Stanley Capital I Trust: - continued

floater: - continued

Series 2007-XCLA Class A1, 0.537% 7/17/17 (e)(k)

$ 115

$ 48

Series 2007-XLCA Class B, 0.837% 7/17/17 (e)(k)

89

3

Series 2007-XLFA:

Class C, 0.497% 10/15/20 (e)(k)

43

17

Class D, 0.527% 10/15/20 (e)(k)

30

7

Class E, 0.587% 10/15/20 (e)(k)

38

5

Class F, 0.637% 10/15/20 (e)(k)

23

2

Class G, 0.677% 10/15/20 (e)(k)

28

2

Class H, 0.767% 10/15/20 (e)(k)

18

1

Class J, 0.917% 10/15/20 (e)(k)

20

0*

Class MHRO, 1.027% 10/15/20 (e)(k)

18

3

Class MJPM, 1.337% 10/15/20 (e)(k)

6

4

Class MSTR, 1.037% 10/15/20 (e)(k)

11

2

Class NHRO, 1.227% 10/15/20 (e)(k)

27

4

Class NSTR, 1.187% 10/15/20 (e)(k)

9

1

sequential payer:

Series 2003-IQ5 Class X2, 0.9866% 4/15/38 (e)(k)(n)

231

2

Series 2005-IQ9 Class A3, 4.54% 7/15/56

111

111

Series 2006-HQ10 Class A1, 5.131% 11/12/41

17

18

Series 2006-T23 Class A1, 5.682% 8/12/41

51

52

Series 2007-HQ11:

Class A1, 5.246% 2/12/44

9

9

Class A31, 5.439% 2/12/44 (k)

38

38

Series 2007-IQ13 Class A1, 5.05% 3/15/44

10

10

Series 2007-IQ14 Class A1, 5.38% 4/15/49

22

23

Series 2007-T25 Class A2, 5.507% 11/12/49

74

78

Series 2003-IQ6 Class X2, 0.7193% 12/15/41 (e)(k)(n)

485

4

Series 2005-IQ9 Class X2, 1.2108% 7/15/56 (e)(k)(n)

882

14

Series 2006-HQ8 Class A3, 5.61% 3/12/44 (k)

116

119

Series 2006-HQ9 Class B, 5.832% 7/12/44 (k)

111

72

Series 2006-IQ11:

Class A3, 5.9045% 10/15/42 (k)

124

129

Class A4, 5.9405% 10/15/42 (k)

23

24

Series 2006-IQ12 Class B, 5.468% 12/15/43

75

26

Series 2006-T23 Class A3, 5.9806% 8/12/41 (k)

38

40

Series 2007-HQ11 Class B, 5.538% 2/20/44 (k)

136

48

Series 2007-HQ12 Class A2, 5.8121% 4/12/49 (k)

535

536

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Morgan Stanley Capital I Trust: - continued

Series 2007-IQ14:

Class A4, 5.692% 4/15/49 (k)

$ 113

$ 104

Class B, 5.9135% 4/15/49 (k)

18

5

Series 2007-XLC1:

Class C, 0.937% 7/17/17 (e)(k)

121

4

Class D, 1.037% 7/17/17 (e)(k)

57

2

Class E, 1.137% 7/17/17 (e)(k)

47

1

Morgan Stanley Dean Witter Capital I Trust sequential payer Series 2001-PPM Class A2, 6.4% 2/15/31

1

1

Providence Place Group Ltd. Partnership Series 2000-C1 Class A2, 7.75% 7/20/28 (e)

474

451

Salomon Brothers Mortgage Securities VII, Inc. sequential payer Series 2000-C3 Class A2, 6.592% 12/18/33

51

52

Structured Asset Securities Corp. Series 1997-LLI
Class D, 7.15% 10/12/34

9

9

TrizecHahn Office Properties Trust Series 2001-TZHA Class C4, 6.893% 5/15/16 (e)

64

65

Wachovia Bank Commercial Mortgage Trust:

floater:

Series 2005-WL5A Class K, 1.5369% 1/15/18 (e)(k)

58

58

Series 2006-WL7A:

Class E, 0.6169% 9/15/21 (e)(k)

78

42

Class F, 0.6769% 8/11/18 (e)(k)

85

42

Class G, 0.6969% 8/11/18 (e)(k)

80

39

Class J, 0.9369% 8/11/18 (e)(k)

18

4

Series 2007-WHL8:

Class AP1, 1.0369% 6/15/20 (e)(k)

5

3

Class AP2, 1.1369% 6/15/20 (e)(k)

9

4

Class F, 0.8169% 6/15/20 (e)(k)

168

42

Class LXR1, 1.0369% 6/15/20 (e)(k)

9

4

Class LXR2, 1.1369% 6/15/20 (e)(k)

115

46

sequential payer:

Series 2003-C6 Class A2, 4.498% 8/15/35

19

19

Series 2003-C7 Class A1, 4.241% 10/15/35 (e)

125

127

Series 2003-C8 Class A3, 4.445% 11/15/35

327

333

Series 2006-C27 Class A2, 5.624% 7/15/45

67

68

Series 2006-C29 Class A3, 5.313% 11/15/48

199

202

Series 2007-C30:

Class A1, 5.031% 12/15/43

8

8

Class A3, 5.246% 12/15/43

64

64

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Wachovia Bank Commercial Mortgage Trust: - continued

sequential payer:

Series 2007-C30:

Class A4, 5.305% 12/15/43

$ 377

$ 363

Class A5, 5.342% 12/15/43

80

71

Series 2007-C31:

Class A1, 5.14% 4/15/47

4

4

Class A4, 5.509% 4/15/47

170

155

Series 2007-C32:

Class A2, 5.7351% 6/15/49 (k)

230

236

Class A3, 5.9286% 6/15/49 (k)

127

121

Series 2003-C6 Class G, 5.125% 8/15/35 (e)(k)

36

30

Series 2004-C15:

Class 180A, 5.5782% 10/15/41 (e)(k)

58

54

Class 180B, 5.5782% 10/15/41 (e)(k)

26

23

Series 2005-C19 Class B, 4.892% 5/15/44

75

51

Series 2005-C22:

Class B, 5.5348% 12/15/44 (k)

166

91

Class F, 5.5348% 12/15/44 (e)(k)

125

33

Series 2006-C23 Class A5, 5.416% 1/15/45 (k)

350

352

Series 2006-C29 Class E, 5.516% 11/15/48 (k)

75

22

Series 2007-C30:

Class C, 5.483% 12/15/43 (k)

225

36

Class D, 5.513% 12/15/43 (k)

120

14

Class XP, 0.6284% 12/15/43 (e)(k)(n)

864

13

Series 2007-C31 Class C, 5.8829% 4/15/47 (k)

21

4

Series 2007-C31A Class A2, 5.421% 4/15/47

2,000

2,040

Series 2007-C32:

Class D, 5.9286% 6/15/49 (k)

56

10

Class E, 5.9286% 6/15/49 (k)

89

15

Wachovia Bank Commercial Mortgage Trust pass-thru certificates:

sequential payer Series 2007-C33 Class A5, 6.0995% 2/15/51 (k)

50

47

Series 2007-C33 Class B, 6.0995% 2/15/51 (k)

126

39

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $24,497)

28,494

Municipal Securities - 0.1%

 

California Gen. Oblig.:

6.2% 3/1/19

300

311

7.5% 4/1/34

240

252

Municipal Securities - continued

 

Principal Amount (000s)

Value (000s)

California Gen. Oblig.: - continued

7.55% 4/1/39

$ 360

$ 381

Illinois Gen. Oblig. Series 2010, 4.421% 1/1/15

260

263

TOTAL MUNICIPAL SECURITIES

(Cost $1,170)

1,207

Fixed-Income Funds - 11.8%

Shares

 

Fidelity Corporate Bond 1-10 Year Central Fund (l)

99,324

10,487

Fidelity High Income Central Fund 2 (l)

198,618

20,432

Fidelity Mortgage Backed Securities Central Fund (l)

794,909

82,861

TOTAL FIXED-INCOME FUNDS

(Cost $109,774)

113,780

Money Market Funds - 4.8%

 

 

 

 

Fidelity Cash Central Fund, 0.23% (m)

40,418,184

40,418

Fidelity Securities Lending Cash Central Fund, 0.24% (b)(m)

5,945,190

5,945

TOTAL MONEY MARKET FUNDS

(Cost $46,363)

46,363

Cash Equivalents - 0.0%

Maturity Amount (000s)

 

Investments in repurchase agreements in a joint trading account at 0.2%, dated 5/28/10 due 6/1/10 (Collateralized by U.S. Treasury Obligations) #
(Cost $35)

$ 35

35

TOTAL INVESTMENT PORTFOLIO - 103.5%

(Cost $934,902)

998,577

NET OTHER ASSETS - (3.5)%

(33,789)

NET ASSETS - 100%

$ 964,788

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 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 Payment $69,000) (j)

Sept. 2037

$ 243

$ (230)

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 Payment $46,500) (j)

Sept. 2037

162

(153)

Receive monthly notional amount multiplied by 2.4% and pay Deutsche Bank upon credit event of Fremont Home Loan Trust, par value of the notional amount of Fremont Home Loan Trust Series 2004-A Class B3, 7.2288% 1/25/34 (Rating-C)(i)

Feb. 2034

1

(1)

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)(i)

Dec. 2034

79

(77)

TOTAL CREDIT DEFAULT SWAPS

$ 485

$ (461)

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

7,613

8

TOTAL INTEREST RATE SWAPS

$ 7,613

$ 8

 

 

$ 8,098

$ (453)

Legend

(a) Non-income producing

(b) Investment made with cash collateral received from securities on loan.

(c) Non-income producing - Issuer is in default.

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

(e) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $21,758,000 or 2.3% of net assets.

(f) Under the Temporary Liquidity Guarantee Program, the Federal Deposit Insurance Corporation guarantees principal and interest in the event of payment default or bankruptcy until the earlier of maturity date of the debt or until June 30, 2012. At the end of the period these securities amounted to $1,825,000 or 0.2% of net assets.

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

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

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

(j) Represents a credit default swap based on a tradable index of home equity asset-backed debt securities. 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.

(k) The coupon rate shown on floating or adjustable rate securities represents the rate at period end.

(l) 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 advisor.fidelity.com. In addition, each Fidelity Central Fund's financial statements are available on the SEC's web site or upon request.

(m) 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.

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

* Amount represents less than $1,000

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

Repurchase Agreement / Counterparty

Value
(Amounts in thousands)

$35,000 due 6/01/10 at 0.20%

BNP Paribas Securities Corp.

$ 16

Bank of America, NA

6

Barclays Capital, Inc.

10

Deutsche Bank Securities, Inc.

1

Mizuho Securities USA, Inc.

2

 

$ 35

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

$ 58

Fidelity Corporate Bond 1-10 Year Central Fund

690

Fidelity High Income Central Fund 2

1,192

Fidelity Mortgage Backed Securities Central Fund

2,387

Fidelity Securities Lending Cash Central Fund

20

Total

$ 4,347

Affiliated Central Funds - continued

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

Fund
(Amounts in thousands)

Value, beginning of period

Purchases

Sales Proceeds

Value,
end of
period

% ownership, end of period

Fidelity Corporate Bond 1-10 Year Central Fund

$ 24,590

$ -

$ 14,990

$ 10,487

0.4%

Fidelity High Income Central Fund 2

19,042

6,241

6,499

20,432

4.0%

Fidelity Mortgage Backed Securities Central Fund

78,650

2,387

-

82,861

1.0%

Total

$ 122,282

$ 8,628

$ 21,489

$ 113,780

Other Information

The following is a summary of the inputs used, as of May 31, 2010, involving the Fund's assets and liabilities carried at 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:

Equities:

Consumer Discretionary

$ 59,051

$ 59,051

$ -

$ -

Consumer Staples

62,852

62,852

-

-

Energy

60,193

59,213

-

980

Financials

92,962

92,406

-

556

Health Care

63,281

63,281

-

-

Industrials

66,748

66,748

-

-

Information Technology

108,266

108,266

-

-

Materials

19,561

19,561

-

-

Telecommunication Services

17,510

17,510

-

-

Utilities

20,216

20,216

-

-

Corporate Bonds

69,374

-

69,374

-

U.S. Government and Government Agency Obligations

144,842

-

144,842

-

U.S. Government Agency - Mortgage Securities

9,920

-

9,920

-

Asset-Backed Securities

9,286

-

8,818

468

Collateralized Mortgage Obligations

4,636

-

4,586

50

Commercial Mortgage Securities

28,494

-

27,011

1,483

Municipal Securities

1,207

-

1,207

-

Fixed-Income Funds

113,780

113,780

-

-

Money Market Funds

46,363

46,363

-

-

Cash Equivalents

35

-

35

-

Total Investments in Securities:

$ 998,577

$ 729,247

$ 265,793

$ 3,537

Derivative Instruments:

Assets

Swap Agreements

$ 8

$ -

$ 8

$ -

Liabilities

Swap Agreements

$ (461)

$ -

$ (383)

$ (78)

Total Derivative Instruments:

$ (453)

$ -

$ (375)

$ (78)

Other Financial Instruments

Forward Commitments:

$ (82)

$ -

$ (82)

$ -

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

$ 4,016

Total Realized Gain (Loss)

61

Total Unrealized Gain (Loss)

568

Cost of Purchases

578

Proceeds of Sales

(391)

Amortization/Accretion

77

Transfers in to Level 3

468

Transfers out of Level 3

(1,840)

Ending Balance

$ 3,537

The change in unrealized gain (loss) for the period attributable to Level 3 securities held at May 31, 2010

$ 558

Derivative Instruments:

Swap Agreements

Beginning Balance

$ (78)

Total Unrealized Gain (Loss)

-

Transfers in to Level 3

-

Transfers out of Level 3

-

Ending Balance

$ (78)

Realized gain (loss) on Swap Agreements for the period

$ 2

The change in unrealized gain (loss) for the period attributable to Level 3 Swap Agreements held at May 31, 2010

$ (2)

The information used in the above reconciliation represents fiscal year to date activity for any Investments in Securities and Derivative Instruments identified as using Level 3 inputs at either the beginning or the end of the current fiscal period. Transfers in or out of Level 3 represents 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, 2010, the cost of investment securities for income tax purposes was $945,383,000. Net unrealized appreciation aggregated $53,194,000, of which $83,971,000 related to appreciated investment securities and $30,777,000 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.

Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by an independent pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when significant market or security specific events arise, comparisons to the valuation of American Depositary Receipts, futures contracts, Exchange-traded funds (ETFs) and certain indexes as well as quoted prices for similar securities are used and are categorized as Level 2 in the hierarchy in these circumstances. Utilizing these techniques may result in transfers between Level 1 and Level 2. For restricted equity securities and private placements where observable inputs are limited, assumptions about market activity and risk are used and are categorized as Level 3 in the hierarchy.

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 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), and as a result, swaps are generally categorized as Level 2 in the hierarchy. Pricing services utilize matrix pricing which considers comparisons to interest rate curves, credit spread curves, default possibilities and recovery rates.

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 for which quotations are not readily available are valued at amortized cost, which approximates value and are categorized as Level 2 in the hierarchy.

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

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

Credit Default Swap Agreements

The Fund entered into credit default swaps, which are agreements with a counterparty that enable the Fund to buy or sell protection on a debt security or a basket of securities against a defined credit event. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller acts as a guarantor of the creditworthiness of a reference obligation. The Fund entered 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 payments made or received upon entering a swap to compensate for differences between stated terms of the agreement and prevailing market conditions (e.g. credit spreads, interest rates or other factors) are recorded as realized gain or (loss) ratably over the term of the swap. Payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gain or (loss). Realized gain or (loss) is also recorded in the event of an early termination of a swap.

The fund is exposed to additional risks from investing in credit default swaps, such as liquidity risk and counterparty risk. Liquidity risk is the risk that the Fund will be unable to sell a credit default 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. 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 each counterparty the right to terminate all transactions traded under such agreement if there is a certain deterioration in the credit quality of the other party. The ISDA Master Agreement gives the Fund the right, upon an event of default by the applicable counterparty or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk, the Fund offsets certain payables and/or receivables with collateral. Collateral, in the form of cash or securities, may be required to be held in segregated accounts with the Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the swap counterparty and the Fund's custodian bank and, if required, is identified. The Fund could experience delays and costs in gaining access to the collateral even though it is held by the Fund's custodian bank. The Fund's maximum risk of loss from counterparty credit risk is generally the aggregate unrealized appreciation and unpaid counterparty fees in excess of any collateral pledged by the counterparty to the Fund.

Typically, the value of each credit default swap and credit rating disclosed for each reference obligation, where the Fund is the seller, can be used as measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. Any current or future declines in the value of the swap may be partially offset by upfront payments received by the Fund as the seller if applicable. 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 $485 representing .05% 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 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

Item 2. Controls and Procedures

(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the Fidelity Advisor Series I'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 Advisor Series I

By:

/s/Kenneth B. Robins

 

Kenneth B. Robins

 

President and Treasurer

 

 

Date:

July 30, 2010

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/Kenneth B. Robins

 

Kenneth B. Robins

 

President and Treasurer

 

 

Date:

July 30, 2010

By:

/s/Christine Reynolds

 

Christine Reynolds

 

Chief Financial Officer

 

 

Date:

July 30, 2010