N-Q 1 main.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 811-4085

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

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

Scott C. Goebel, Secretary

82 Devonshire St.

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

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

Date of fiscal year end:

August 31

 

 

Date of reporting period:

November 30, 2010

Item 1. Schedule of Investments

Quarterly Holdings Report

for

Fidelity ® Advisor Total Bond Fund
Class A
Class T
Class B
Class C
Institutional Class

November 30, 2010 

1.809539.106

ATB-QTLY-0111

Investments November 30, 2010 (Unaudited)

Showing Percentage of Net Assets

Corporate Bonds - 23.7%

 

Principal Amount (d)

Value

Convertible Bonds - 0.0%

ENERGY - 0.0%

Oil, Gas & Consumable Fuels - 0.0%

Massey Energy Co. 3.25% 8/1/15

$ 1,970,000

$ 1,919,568

FINANCIALS - 0.0%

Real Estate Investment Trusts - 0.0%

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

270,000

267,975

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

233,000

233,000

 

500,975

INFORMATION TECHNOLOGY - 0.0%

Communications Equipment - 0.0%

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

2,841,800

2,697,934

TOTAL CONVERTIBLE BONDS

5,118,477

Nonconvertible Bonds - 23.7%

CONSUMER DISCRETIONARY - 2.7%

Auto Components - 0.1%

American Axle & Manufacturing, Inc. 7.875% 3/1/17

1,040,000

1,027,000

DaimlerChrysler NA Holding Corp.:

5.75% 9/8/11

5,595,000

5,803,839

5.875% 3/15/11

2,077,000

2,107,931

Tenneco, Inc. 7.75% 8/15/18 (h)

1,400,000

1,473,500

 

10,412,270

Diversified Consumer Services - 0.0%

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

2,935,000

3,096,425

Visant Corp. 10% 10/1/17 (h)

1,320,000

1,382,700

 

4,479,125

Hotels, Restaurants & Leisure - 0.3%

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

765,000

498,206

GWR Operating Partnership LLP/Great Wolf Finance Corp. 10.875% 4/1/17

1,635,000

1,700,400

Host Marriott LP 6.375% 3/15/15

250,000

253,750

ITT Corp. 7.375% 11/15/15

250,000

282,813

Las Vegas Sands Corp. 6.375% 2/15/15

1,170,000

1,181,700

MCE Finance Ltd. 10.25% 5/15/18 (h)

3,040,000

3,435,200

MGM Mirage, Inc.:

5.875% 2/27/14

1,050,000

929,250

Corporate Bonds - continued

 

Principal Amount (d)

Value

Nonconvertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Hotels, Restaurants & Leisure - continued

MGM Mirage, Inc.: - continued

6.625% 7/15/15

$ 1,870,000

$ 1,617,550

7.5% 6/1/16

1,160,000

1,009,200

MGM Resorts International 11.375% 3/1/18

910,000

925,925

NCL Corp. Ltd.:

9.5% 11/15/18 (h)

350,000

347,375

11.75% 11/15/16

1,375,000

1,562,344

Royal Caribbean Cruises Ltd.:

7.25% 3/15/18

465,000

496,388

11.875% 7/15/15

1,450,000

1,769,000

yankee:

7.25% 6/15/16

5,365,000

5,807,613

7.5% 10/15/27

3,070,000

3,016,275

Scientific Games Corp.:

7.875% 6/15/16 (h)

2,145,000

2,169,024

9.25% 6/15/19

1,205,000

1,253,200

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

348,133

360,318

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

2,270,000

2,184,875

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

8.875% 11/15/15

1,210,000

1,276,550

10.875% 11/15/16

1,045,000

1,133,825

Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. 7.75% 8/15/20

2,300,000

2,438,000

 

35,648,781

Household Durables - 0.3%

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

775,000

883,500

Fortune Brands, Inc.:

5.875% 1/15/36

13,297,000

11,795,237

6.375% 6/15/14

9,424,000

10,222,759

Jarden Corp. 6.125% 11/15/22

795,000

771,150

Lennar Corp. 12.25% 6/1/17

1,610,000

1,915,900

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

3,055,000

3,207,750

Standard Pacific Corp.:

7% 8/15/15

1,050,000

1,102,500

8.375% 5/15/18

1,475,000

1,508,188

10.75% 9/15/16

2,370,000

2,713,650

 

34,120,634

Corporate Bonds - continued

 

Principal Amount (d)

Value

Nonconvertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Media - 1.9%

Allbritton Communications Co. 8% 5/15/18

$ 2,630,000

$ 2,597,125

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

500,000

603,828

Belo Corp. 8% 11/15/16

1,665,000

1,827,338

Cablevision Systems Corp.:

7.75% 4/15/18

1,440,000

1,526,400

8.625% 9/15/17

2,915,000

3,148,200

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

2,835,000

3,019,275

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

7,580,000

7,845,300

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

1,694,103

1,992,689

Checkout Holding Corp. 0% 11/15/15 (h)

800,000

484,000

Clear Channel Worldwide Holdings, Inc. Series A, 9.25% 12/15/17

555,000

588,300

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

511,000

515,884

Comcast Corp.:

4.95% 6/15/16

1,879,000

2,071,968

5.5% 3/15/11

382,000

387,153

5.7% 5/15/18

14,168,000

15,948,974

6.4% 3/1/40

4,490,000

4,784,822

6.45% 3/15/37

2,196,000

2,357,900

6.55% 7/1/39

9,000,000

9,744,939

COX Communications, Inc. 4.625% 6/1/13

4,467,000

4,808,583

CSC Holdings LLC:

8.5% 6/15/15

1,055,000

1,144,675

8.625% 2/15/19

860,000

984,700

Discovery Communications LLC:

3.7% 6/1/15

6,861,000

7,217,902

6.35% 6/1/40

6,392,000

6,962,575

EchoStar Communications Corp. 7.125% 2/1/16

1,230,000

1,266,900

Entravision Communication Corp. 8.75% 8/1/17 (h)

1,020,000

1,055,700

Globo Comunicacoes e Participacoes SA 6.25% (f)(h)

3,235,000

3,332,050

Insight Communications, Inc. 9.375% 7/15/18 (h)

3,750,000

3,956,250

Kabel Deutschland GmbH 10.625% 7/1/14

4,825,000

5,024,031

Liberty Media Corp. 8.25% 2/1/30

245,000

241,325

NBC Universal, Inc.:

3.65% 4/30/15 (h)

2,800,000

2,931,183

Corporate Bonds - continued

 

Principal Amount (d)

Value

Nonconvertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Media - continued

NBC Universal, Inc.: - continued

5.15% 4/30/20 (h)

$ 11,614,000

$ 12,380,071

6.4% 4/30/40 (h)

18,278,000

19,439,092

Net Servicos de Comunicacao SA 7.5% 1/27/20

735,000

832,388

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

170,000

200,808

News America, Inc.:

6.15% 3/1/37

2,970,000

3,108,928

6.2% 12/15/34

5,330,000

5,611,541

Nexstar Broadcasting, Inc./Mission, Inc. 8.875% 4/15/17 (h)

2,140,000

2,225,600

Nielsen Finance LLC/Nielsen Finance Co.:

0% 8/1/16 (e)

7,805,000

7,902,563

7.75% 10/15/18 (h)

4,130,000

4,202,275

11.5% 5/1/16

2,225,000

2,536,500

11.625% 2/1/14

2,325,000

2,650,500

ProQuest LLC/ProQuest Notes Co. 9% 10/15/18 (h)

2,915,000

2,987,875

Quebecor Media, Inc.:

7.75% 3/15/16

4,032,000

4,152,960

7.75% 3/15/16

2,485,000

2,559,550

QVC, Inc. 7.125% 4/15/17 (h)

1,330,000

1,396,500

Time Warner Cable, Inc.:

5.4% 7/2/12

2,444,000

2,602,975

5.85% 5/1/17

7,607,000

8,681,641

6.2% 7/1/13

2,324,000

2,601,909

6.75% 7/1/18

13,473,000

15,980,433

Time Warner, Inc.:

3.15% 7/15/15

2,850,000

2,939,558

6.2% 3/15/40

10,492,000

11,180,695

6.5% 11/15/36

9,243,000

10,126,252

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

5,278,131

5,463,085

Univision Communications, Inc. 8.5% 5/15/21 (h)

1,820,000

1,747,200

Viacom, Inc.:

6.125% 10/5/17

2,051,000

2,382,585

6.25% 4/30/16

5,600,000

6,539,943

6.75% 10/5/37

1,460,000

1,659,620

Videotron Ltd. 9.125% 4/15/18

1,965,000

2,166,413

 

244,629,429

Corporate Bonds - continued

 

Principal Amount (d)

Value

Nonconvertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Multiline Retail - 0.0%

Sears Holdings Corp. 6.625% 10/15/18 (h)

$ 2,890,000

$ 2,687,700

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

965,000

969,825

 

3,657,525

Specialty Retail - 0.1%

AutoNation, Inc. 6.75% 4/15/18

2,040,000

2,060,400

PETCO Animal Supplies, Inc. 9.25% 12/1/18 (h)

1,830,000

1,848,300

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

5,060,000

5,641,900

Toys 'R' Us, Inc. 7.375% 9/1/16 (h)

1,200,000

1,236,000

 

10,786,600

Textiles, Apparel & Luxury Goods - 0.0%

Hanesbrands, Inc. 6.375% 12/15/20 (h)

885,000

842,963

TOTAL CONSUMER DISCRETIONARY

344,577,327

CONSUMER STAPLES - 1.2%

Beverages - 0.2%

Anheuser-Busch InBev Worldwide, Inc.:

2.5% 3/26/13

8,294,000

8,518,477

7.75% 1/15/19 (h)

4,750,000

6,095,604

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

225,000

230,063

Diageo Capital PLC 5.2% 1/30/13

1,037,000

1,129,508

FBG Finance Ltd. 5.125% 6/15/15 (h)

2,936,000

3,209,515

PepsiCo, Inc. 4.875% 11/1/40

7,541,000

7,384,509

 

26,567,676

Food & Staples Retailing - 0.1%

Albertsons, Inc.:

7.45% 8/1/29

250,000

193,125

7.75% 6/15/26

600,000

463,500

8% 5/1/31

2,385,000

1,848,375

C&S Group Enterprises LLC 8.375% 5/1/17 (h)

1,930,000

1,905,875

CVS Caremark Corp. 6.302% 6/1/37 (o)

9,771,000

9,270,236

SUPERVALU, Inc. 8% 5/1/16

2,260,000

2,214,800

Tops Markets LLC 10.125% 10/15/15

1,825,000

1,934,500

 

17,830,411

Food Products - 0.4%

Cargill, Inc. 6% 11/27/17 (h)

9,457,000

11,033,350

Corporate Bonds - continued

 

Principal Amount (d)

Value

Nonconvertible Bonds - continued

CONSUMER STAPLES - continued

Food Products - continued

Harbinger Group, Inc. 10.625% 11/15/15 (h)

$ 635,000

$ 619,125

Kraft Foods, Inc.:

5.375% 2/10/20

10,631,000

11,822,629

5.625% 11/1/11

3,660,000

3,817,138

6.125% 2/1/18

10,623,000

12,504,843

6.5% 8/11/17

8,720,000

10,408,166

6.75% 2/19/14

540,000

625,605

 

50,830,856

Personal Products - 0.0%

NBTY, Inc. 9% 10/1/18 (h)

1,340,000

1,410,350

Tobacco - 0.5%

Altria Group, Inc. 9.7% 11/10/18

22,622,000

30,385,780

Philip Morris International, Inc.:

4.875% 5/16/13

9,347,000

10,206,859

5.65% 5/16/18

7,161,000

8,365,258

Reynolds American, Inc.:

6.75% 6/15/17

2,994,000

3,410,552

7.25% 6/15/37

4,941,000

5,250,292

 

57,618,741

TOTAL CONSUMER STAPLES

154,258,034

ENERGY - 2.9%

Energy Equipment & Services - 0.3%

Calfrac Holdings LP 7.5% 12/1/20 (h)

885,000

880,575

DCP Midstream LLC 5.35% 3/15/20 (h)

8,730,000

9,301,055

El Paso Pipeline Partners Operating Co. LLC 4.1% 11/15/15

10,806,000

10,846,188

Exterran Holdings, Inc. 7.25% 12/1/18 (h)

2,250,000

2,238,750

Frac Tech Services LLLC/Frac Tech Finance, Inc. 7.125% 11/15/18 (h)

535,000

529,650

Parker Drilling Co. 9.125% 4/1/18

880,000

915,200

Precision Drilling Corp. 6.625% 11/15/20 (h)

975,000

992,063

Weatherford International Ltd.:

4.95% 10/15/13

1,742,000

1,865,555

5.15% 3/15/13

2,277,000

2,421,794

 

29,990,830

Corporate Bonds - continued

 

Principal Amount (d)

Value

Nonconvertible Bonds - continued

ENERGY - continued

Oil, Gas & Consumable Fuels - 2.6%

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

$ 1,165,000

$ 1,231,988

Anadarko Petroleum Corp. 6.375% 9/15/17

9,443,000

10,196,759

Antero Resources Finance Corp. 9.375% 12/1/17

3,190,000

3,309,625

Apache Corp. 5.1% 9/1/40

8,822,000

8,597,083

Arch Coal, Inc.:

7.25% 10/1/20

450,000

481,500

8.75% 8/1/16

1,030,000

1,138,150

BW Group Ltd. 6.625% 6/28/17 (h)

2,957,000

3,014,866

Canadian Natural Resources Ltd.:

5.15% 2/1/13

4,498,000

4,855,146

5.7% 5/15/17

16,009,000

18,536,613

ConocoPhillips:

4.6% 1/15/15

10,000,000

11,118,640

5.75% 2/1/19

2,930,000

3,455,853

CONSOL Energy, Inc.:

8% 4/1/17 (h)

2,320,000

2,482,400

8.25% 4/1/20 (h)

1,545,000

1,676,325

Continental Resources, Inc. 7.125% 4/1/21 (h)

1,740,000

1,827,000

Drummond Co., Inc.:

7.375% 2/15/16

5,575,000

5,686,500

9% 10/15/14 (h)

2,455,000

2,602,300

DTEK Finance BV 9.5% 4/28/15 (h)

850,000

862,750

Duke Capital LLC 6.25% 2/15/13

1,000,000

1,090,394

Duke Energy Field Services:

5.375% 10/15/15 (h)

1,222,000

1,354,446

6.45% 11/3/36 (h)

1,801,000

1,852,917

6.875% 2/1/11

2,313,000

2,335,191

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

935,000

1,019,531

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

2,888,000

3,246,441

Energy Transfer Equity LP 7.5% 10/15/20

2,155,000

2,225,038

Enterprise Products Operating LP 5.65% 4/1/13

697,000

754,224

Frontier Oil Corp.:

6.875% 11/15/18

930,000

943,950

8.5% 9/15/16

1,950,000

2,047,500

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

3,863,000

4,099,018

KazMunaiGaz Finance Sub BV:

6.375% 4/9/21 (h)

850,000

828,750

7% 5/5/20 (h)

1,380,000

1,407,600

8.375% 7/2/13 (h)

1,420,000

1,533,600

Corporate Bonds - continued

 

Principal Amount (d)

Value

Nonconvertible Bonds - continued

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

KazMunaiGaz Finance Sub BV: - continued

9.125% 7/2/18 (h)

$ 1,340,000

$ 1,527,600

11.75% 1/23/15 (h)

1,860,000

2,259,900

LINN Energy LLC:

7.75% 2/1/21 (h)

1,950,000

1,989,000

8.625% 4/15/20 (h)

2,685,000

2,846,100

Massey Energy Co. 6.875% 12/15/13

1,515,000

1,526,363

Midcontinent Express Pipel LLC 5.45% 9/15/14 (h)

10,000,000

10,807,780

Motiva Enterprises LLC:

5.75% 1/15/20 (h)

3,578,000

4,080,476

6.85% 1/15/40 (h)

13,582,000

15,830,812

Naftogaz of Ukraine NJSC 9.5% 9/30/14

1,450,000

1,527,938

Nakilat, Inc.:

6.067% 12/31/33 (h)

1,975,000

2,103,375

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

735,000

779,100

Nexen, Inc.:

5.05% 11/20/13

3,845,000

4,174,340

5.2% 3/10/15

909,000

995,562

5.875% 3/10/35

240,000

240,006

6.4% 5/15/37

3,645,000

3,900,664

NGPL PipeCo LLC 6.514% 12/15/12 (h)

8,163,000

8,791,363

OPTI Canada, Inc. 8.25% 12/15/14

2,255,000

1,578,500

Overseas Shipholding Group, Inc.:

7.5% 2/15/24

500,000

435,000

8.125% 3/30/18

2,530,000

2,605,900

Pacific Rubiales Energy Corp. 8.75% 11/10/16

793,000

888,160

Pan American Energy LLC 7.875% 5/7/21 (h)

4,020,000

4,281,300

Pemex Project Funding Master Trust 6.625% 6/15/35

945,000

981,619

Petro-Canada:

6.05% 5/15/18

3,850,000

4,445,179

6.8% 5/15/38

8,950,000

10,206,616

Petrobras International Finance Co. Ltd.:

5.75% 1/20/20

12,170,000

13,141,908

6.875% 1/20/40

17,027,000

18,389,160

7.875% 3/15/19

10,219,000

12,524,917

8.375% 12/10/18

420,000

524,207

Petrohawk Energy Corp.:

7.25% 8/15/18

2,020,000

2,014,950

7.875% 6/1/15

1,485,000

1,529,550

Corporate Bonds - continued

 

Principal Amount (d)

Value

Nonconvertible Bonds - continued

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Petrohawk Energy Corp.: - continued

10.5% 8/1/14

$ 3,025,000

$ 3,418,250

Petroleos de Venezuela SA:

4.9% 10/28/14

1,120,000

672,000

5.25% 4/12/17

2,040,000

1,086,300

5.375% 4/12/27

8,715,000

3,899,963

5.5% 4/12/37

1,120,000

490,000

Petroleos de Venezuela SA 144 8.5% 11/2/17 (h)

860,000

548,250

Petroleos Mexicanos:

5.5% 1/21/21

500,000

516,250

6% 3/5/20

465,000

502,200

6.625% (h)

1,725,000

1,737,938

8% 5/3/19

420,000

517,650

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

1,001,458

1,011,473

Pioneer Natural Resources Co. 6.65% 3/15/17

4,605,000

4,858,275

Plains All American Pipeline LP 7.75% 10/15/12

2,358,000

2,601,680

Plains All American Pipeline LP/PAA Finance Corp.:

3.95% 9/15/15

5,769,000

6,029,655

6.125% 1/15/17

6,185,000

6,931,313

Plains Exploration & Production Co.:

7% 3/15/17

2,045,000

2,070,563

10% 3/1/16

1,340,000

1,480,700

Quicksilver Resources, Inc.:

7.125% 4/1/16

2,960,000

2,826,800

9.125% 8/15/19

2,040,000

2,182,800

11.75% 1/1/16

2,255,000

2,576,338

Range Resources Corp. 6.75% 8/1/20

1,295,000

1,340,325

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

2,090,900

2,305,217

Ras Laffan Liquefied Natural Gas Co. Ltd. III:

4.5% 9/30/12 (h)

4,773,000

5,011,526

5.5% 9/30/14 (h)

6,670,000

7,281,672

5.832% 9/30/16 (h)

1,198,225

1,322,217

6.332% 9/30/27 (h)

1,840,000

2,016,677

6.75% 9/30/19 (h)

4,366,000

5,137,298

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

2,720,000

2,940,287

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

2,065,000

2,101,138

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

10,851,000

12,611,293

Corporate Bonds - continued

 

Principal Amount (d)

Value

Nonconvertible Bonds - continued

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Targa Resources Partners LP/Targa Resources Partners Finance Corp. 7.875% 10/15/18 (h)

$ 2,205,000

$ 2,315,250

TNK-BP Finance SA 7.5% 7/18/16

890,000

973,438

XTO Energy, Inc.:

5% 1/31/15

1,749,000

1,985,764

5.65% 4/1/16

1,200,000

1,412,689

YPF SA 10% 11/2/28

1,570,000

1,766,250

 

339,218,882

TOTAL ENERGY

369,209,712

FINANCIALS - 9.3%

Capital Markets - 1.6%

Bear Stearns Companies, Inc. 5.3% 10/30/15

1,170,000

1,290,301

BlackRock, Inc. 6.25% 9/15/17

6,062,000

6,995,360

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

970,000

1,011,225

Goldman Sachs Group, Inc.:

3.7% 8/1/15

8,571,000

8,752,397

5.625% 1/15/17

3,200,000

3,369,104

5.95% 1/18/18

3,989,000

4,325,815

6.15% 4/1/18

4,275,000

4,678,992

6.75% 10/1/37

9,643,000

9,653,675

7.5% 2/15/19

1,757,000

2,046,972

Janus Capital Group, Inc.:

6.125% 9/15/11 (f)

2,473,000

2,497,755

6.5% 6/15/12

4,266,000

4,455,547

JPMorgan Chase Capital XX 6.55% 9/29/36

17,904,000

17,782,736

JPMorgan Chase Capital XXV 6.8% 10/1/37

7,405,000

7,382,311

Lazard Group LLC:

6.85% 6/15/17

3,867,000

4,105,470

7.125% 5/15/15

1,377,000

1,514,010

Merrill Lynch & Co., Inc.:

5.45% 2/5/13

12,383,000

13,035,250

6.4% 8/28/17

7,407,000

7,937,038

6.875% 4/25/18

6,836,000

7,504,520

Morgan Stanley:

4% 7/24/15

15,887,000

16,117,187

4.75% 4/1/14

2,429,000

2,523,410

5.625% 9/23/19

11,500,000

11,682,413

Corporate Bonds - continued

 

Principal Amount (d)

Value

Nonconvertible Bonds - continued

FINANCIALS - continued

Capital Markets - continued

Morgan Stanley: - continued

5.95% 12/28/17

$ 5,050,000

$ 5,329,886

6% 5/13/14

17,110,000

18,652,330

6.625% 4/1/18

15,268,000

16,671,694

7.3% 5/13/19

8,304,000

9,322,826

Nuveen Investments, Inc.:

5.5% 9/15/15

2,065,000

1,729,438

10.5% 11/15/15

900,000

893,250

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

3,864,000

4,163,993

UBS AG Stamford Branch 5.75% 4/25/18

4,505,000

4,983,796

 

200,408,701

Commercial Banks - 1.7%

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

1,040,000

1,164,800

Akbank T. A. S. 5.125% 7/22/15 (h)

855,000

844,313

Ally Financial, Inc.:

6.25% 12/1/17 (h)

2,735,000

2,652,950

7.5% 9/15/20 (h)

2,645,000

2,645,000

Banco Bradesco SA 5.9% 1/16/21 (h)

620,000

626,200

Banco de Credito del Peru 5.375% 9/16/20 (h)

510,000

510,000

Banco do Nordeste do Brasil SA 3.625% 11/9/15 (h)

500,000

488,125

BanColombia SA 6.125% 7/26/20

515,000

525,300

Bank of America NA 5.3% 3/15/17

3,315,000

3,355,877

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

2,330,000

2,300,875

CIT Group, Inc.:

7% 5/1/13

362,745

364,559

7% 5/1/14

2,039,117

2,016,177

7% 5/1/15

2,334,117

2,299,105

7% 5/1/16

2,651,861

2,598,824

7% 5/1/17

4,684,604

4,590,912

Comerica, Inc. 3% 9/16/15

1,191,000

1,195,648

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

16,107,000

17,556,372

DBS Bank Ltd. (Singapore) 0.5044% 5/16/17 (h)(o)

3,914,986

3,787,749

Development Bank of Philippines 8.375% (o)

1,555,000

1,733,825

Discover Bank 8.7% 11/18/19

12,480,000

14,895,304

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

5,750,000

5,764,375

Export-Import Bank of Korea:

5.125% 2/14/11

2,920,000

2,942,496

Corporate Bonds - continued

 

Principal Amount (d)

Value

Nonconvertible Bonds - continued

FINANCIALS - continued

Commercial Banks - continued

Export-Import Bank of Korea: - continued

5.25% 2/10/14 (h)

$ 565,000

$ 605,200

5.5% 10/17/12

2,256,000

2,393,853

Fifth Third Bancorp:

4.5% 6/1/18

798,000

785,047

8.25% 3/1/38

3,929,000

4,511,647

Fifth Third Bank 4.75% 2/1/15

1,329,000

1,400,415

Fifth Third Capital Trust IV 6.5% 4/15/67 (o)

6,252,000

5,814,360

HBOS PLC 6.75% 5/21/18 (h)

6,067,000

5,806,847

HSBK (Europe) BV:

7.25% 5/3/17 (h)

510,000

502,350

9.25% 10/16/13 (h)

2,095,000

2,267,838

Itau Unibanco Holding SA 5.75% 1/22/21 (h)

530,000

533,975

JPMorgan Chase Bank 6% 10/1/17

10,795,000

12,126,973

Kazkommerts International BV 8.5% 4/16/13 (h)

1,245,000

1,195,200

KeyBank NA:

5.8% 7/1/14

8,672,000

9,431,633

6.95% 2/1/28

1,977,000

2,054,400

7% 2/1/11

1,124,000

1,134,297

KeyBank NA, Cleveland 5.45% 3/3/16

3,939,000

4,237,127

Manufacturers & Traders Trust Co. 1.79% 4/1/13 (o)

720,797

711,853

Marshall & Ilsley Bank:

4.85% 6/16/15

4,206,000

3,777,686

5% 1/17/17

6,668,000

5,821,937

5.25% 9/4/12

3,100,000

3,143,791

PNC Funding Corp. 3.625% 2/8/15

2,779,000

2,893,100

Regions Bank:

6.45% 6/26/37

9,989,000

8,390,760

7.5% 5/15/18

6,622,000

6,381,953

Regions Financial Corp.:

4.875% 4/26/13

1,135,000

1,061,225

5.75% 6/15/15

1,964,000

1,831,430

7.75% 11/10/14

6,185,000

6,030,375

RSHB Capital SA 9% 6/11/14 (h)

405,000

454,005

SVB Financial Group 5.375% 9/15/20

1,506,000

1,501,920

The State Export-Import Bank of Ukraine JSC 8.4% 2/9/16 (Issued by Credit Suisse First Boston International for The State Export-Import Bank of Ukraine JSC) (f)

1,010,000

979,700

Corporate Bonds - continued

 

Principal Amount (d)

Value

Nonconvertible Bonds - continued

FINANCIALS - continued

Commercial Banks - continued

Trade & Development Bank of Mong LLC 8.5% 10/25/13

$ 555,000

$ 556,388

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

1,437,000

1,411,647

UnionBanCal Corp. 5.25% 12/16/13

662,000

722,571

Vimpel Communications 8.25% 5/23/16 (Reg. S) (Issued by UBS Luxembourg SA for Vimpel Communications)

750,000

815,625

Wachovia Bank NA:

4.875% 2/1/15

1,408,000

1,509,356

6.6% 1/15/38

9,000,000

9,804,348

Wachovia Corp.:

5.625% 10/15/16

3,399,000

3,810,208

5.75% 6/15/17

2,933,000

3,283,752

Wells Fargo & Co.:

3.625% 4/15/15

10,194,000

10,700,785

3.75% 10/1/14

4,016,000

4,237,772

Zions Bancorp. 7.75% 9/23/14

3,590,000

3,786,007

 

213,278,142

Consumer Finance - 1.0%

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

5,251,000

5,437,531

Discover Financial Services:

6.45% 6/12/17

9,775,000

10,421,958

10.25% 7/15/19

11,089,000

13,906,038

Ford Motor Credit Co. LLC:

6.625% 8/15/17

3,250,000

3,363,750

8% 6/1/14

1,065,000

1,160,850

8% 12/15/16

2,730,000

2,999,246

12% 5/15/15

3,440,000

4,248,400

General Electric Capital Corp.:

5.625% 9/15/17

5,858,000

6,449,336

5.625% 5/1/18

25,000,000

27,235,075

5.875% 1/14/38

14,000,000

13,674,416

6.375% 11/15/67 (o)

9,000,000

8,887,500

GMAC LLC:

6.75% 12/1/14

4,595,000

4,652,438

8% 12/31/18

975,000

984,750

8% 11/1/31

1,190,000

1,222,725

Household Finance Corp. 6.375% 10/15/11

1,860,000

1,944,053

Corporate Bonds - continued

 

Principal Amount (d)

Value

Nonconvertible Bonds - continued

FINANCIALS - continued

Consumer Finance - continued

HSBC Finance Corp. 5.25% 1/14/11

$ 1,308,000

$ 1,314,256

National Money Mart Co. 10.375% 12/15/16

2,975,000

3,138,625

ORIX Corp. 5.48% 11/22/11

385,000

396,139

SLM Corp.:

0.4922% 3/15/11 (o)

112,000

110,882

0.5184% 10/25/11 (o)

12,343,000

12,110,717

8% 3/25/20

5,103,000

5,128,515

 

128,787,200

Diversified Financial Services - 1.8%

Azovstal Capital BV 9.125% 2/28/11

375,000

375,938

Bank of America Corp.:

5.75% 12/1/17

22,845,000

23,652,662

8% (o)

970,000

955,450

8.125% (o)

1,290,000

1,277,100

Bank of Georgia JSC 9% 2/8/12 (Issued by BG Finance BV for Bank of Georgia JSC)

540,000

542,700

BP Capital Markets PLC 3.125% 10/1/15

10,174,000

10,230,313

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

2,835,000

2,962,575

Capital One Capital V 10.25% 8/15/39

3,745,000

3,960,338

CCO Holdings LLC/CCO Holdings Capital Corp.:

7.25% 10/30/17 (h)

3,055,000

3,085,550

7.875% 4/30/18 (h)

865,000

897,438

Citigroup, Inc.:

4.75% 5/19/15

30,435,000

31,742,275

5.375% 8/9/20

10,933,000

11,168,715

5.5% 4/11/13

13,549,000

14,523,105

6.125% 5/15/18

15,634,000

17,036,651

6.5% 1/18/11

1,307,000

1,316,620

6.5% 8/19/13

10,774,000

11,882,386

City of Buenos Aires 12.5% 4/6/15 (h)

2,210,000

2,397,850

GMAC LLC 8% 3/15/20 (h)

2,700,000

2,754,000

Icahn Enterprises LP/Icahn Enterprises Finance Corp.:

7.75% 1/15/16

2,605,000

2,618,025

7.75% 1/15/16 (h)

1,495,000

1,502,475

8% 1/15/18

4,655,000

4,678,275

8% 1/15/18 (h)

1,495,000

1,502,475

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

1,250,000

943,750

Corporate Bonds - continued

 

Principal Amount (d)

Value

Nonconvertible Bonds - continued

FINANCIALS - continued

Diversified Financial Services - continued

International Lease Finance Corp.:

5.625% 9/20/13

$ 380,000

$ 374,300

5.65% 6/1/14

1,300,000

1,261,000

6.375% 3/25/13

355,000

356,775

6.625% 11/15/13

1,560,000

1,563,900

JPMorgan Chase & Co.:

4.25% 10/15/20

10,500,000

10,244,325

4.95% 3/25/20

17,148,000

17,658,650

LBI Escrow Corp. 8% 11/1/17 (h)

3,045,000

3,311,438

Myriad International Holding BV 6.375% 7/28/17 (h)

855,000

887,063

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

9,115,000

8,226,288

Offshore Group Investment Ltd. 11.5% 8/1/15 (h)

3,155,000

3,328,525

PHH Corp. 9.25% 3/1/16 (h)

1,610,000

1,650,250

Prime Property Funding, Inc.:

5.125% 6/1/15 (h)

1,090,000

1,059,597

5.5% 1/15/14 (h)

695,000

699,574

5.7% 4/15/17 (h)

1,696,000

1,534,736

Rearden G Holdings Eins GmbH 7.875% 3/30/20 (h)

715,000

760,581

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

364,436

309,770

TECO Finance, Inc.:

4% 3/15/16

2,562,000

2,671,446

5.15% 3/15/20

3,681,000

3,935,622

TMK Capital SA 10% 7/29/11

1,700,000

1,755,250

Trans Union LLC/Trans Union Financing Corp. 11.375% 6/15/18 (h)

2,310,000

2,627,625

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

3,238,000

3,419,943

UPC Germany GmbH 8.125% 12/1/17 (h)

1,950,000

2,013,375

Vnesheconombank Via VEB Finance Ltd. 6.8% 11/22/25 (h)

605,000

583,825

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

5,121,570

5,442,700

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

5,755,000

5,611,125

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

1,673,000

1,599,957

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

3,125,000

3,039,063

Zhaikmunai Finance BV 10.5% 10/19/15 (h)

520,000

491,400

 

238,424,769

Corporate Bonds - continued

 

Principal Amount (d)

Value

Nonconvertible Bonds - continued

FINANCIALS - continued

Insurance - 1.3%

Allstate Corp.:

5.55% 5/9/35

$ 7,505,000

$ 7,667,994

6.2% 5/16/14

6,893,000

7,942,439

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

7,875,000

8,032,500

Aon Corp.:

3.5% 9/30/15

4,219,000

4,278,429

5% 9/30/20

4,848,000

4,955,097

6.25% 9/30/40

3,160,000

3,203,829

Assurant, Inc. 5.625% 2/15/14

1,912,000

2,018,246

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

558,000

599,129

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

1,491,000

1,472,363

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

753,000

819,511

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

594,000

530,902

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

7,475,000

9,983,677

MetLife, Inc.:

2.375% 2/6/14

5,900,000

5,965,071

4.75% 2/8/21

4,032,000

4,183,390

5% 6/15/15

1,163,000

1,275,954

5.875% 2/6/41

3,113,000

3,192,739

6.125% 12/1/11

990,000

1,039,608

6.75% 6/1/16

7,610,000

9,013,553

Metropolitan Life Global Funding I:

5.125% 4/10/13 (h)

559,000

605,358

5.125% 6/10/14 (h)

6,751,000

7,482,626

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

1,652,000

1,685,995

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

2,202,000

2,377,654

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

3,590,000

4,255,033

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

5,160,000

5,600,793

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

11,281,000

12,126,782

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

6,756,000

8,606,759

Pacific LifeCorp 6% 2/10/20 (h)

5,766,000

6,267,884

Prudential Financial, Inc.:

3.625% 9/17/12

11,000,000

11,438,812

4.75% 9/17/15

11,000,000

11,889,119

5.15% 1/15/13

2,167,000

2,321,908

Corporate Bonds - continued

 

Principal Amount (d)

Value

Nonconvertible Bonds - continued

FINANCIALS - continued

Insurance - continued

Prudential Financial, Inc.: - continued

7.375% 6/15/19

$ 3,230,000

$ 3,870,041

8.875% 6/15/38 (o)

1,915,000

2,202,250

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

5,181,000

5,346,611

The Chubb Corp. 5.75% 5/15/18

4,035,000

4,589,373

Unum Group 5.625% 9/15/20

5,659,000

5,728,526

 

172,569,955

Real Estate Investment Trusts - 0.4%

AvalonBay Communities, Inc.:

4.95% 3/15/13

367,000

394,365

5.5% 1/15/12

1,759,000

1,839,362

Camden Property Trust:

5.375% 12/15/13

4,073,000

4,402,339

5.875% 11/30/12

670,000

717,315

Developers Diversified Realty Corp.:

5.25% 4/15/11

3,363,000

3,402,280

5.375% 10/15/12

3,206,000

3,301,257

7.5% 4/1/17

4,686,000

5,258,292

7.875% 9/1/20

323,000

369,625

Duke Realty LP:

4.625% 5/15/13

949,000

987,017

5.875% 8/15/12

1,017,000

1,076,285

Equity One, Inc.:

6% 9/15/17

890,000

907,930

6.25% 12/15/14

5,464,000

5,862,440

6.25% 1/15/17

494,000

513,577

Federal Realty Investment Trust:

5.4% 12/1/13

441,000

477,667

5.9% 4/1/20

2,450,000

2,692,418

6% 7/15/12

2,933,000

3,124,481

6.2% 1/15/17

620,000

704,043

HMB Capital Trust V 3.8922% 12/15/36 (c)(h)(o)

270,000

0

HRPT Properties Trust:

5.75% 11/1/15

890,000

939,294

6.25% 6/15/17

1,232,000

1,294,821

6.65% 1/15/18

867,000

928,034

Omega Healthcare Investors, Inc.:

6.75% 10/15/22 (h)

1,260,000

1,263,150

Corporate Bonds - continued

 

Principal Amount (d)

Value

Nonconvertible Bonds - continued

FINANCIALS - continued

Real Estate Investment Trusts - continued

Omega Healthcare Investors, Inc.: - continued

7% 1/15/16

$ 3,060,000

$ 3,098,250

Senior Housing Properties Trust:

6.75% 4/15/20

1,575,000

1,669,500

8.625% 1/15/12

250,000

262,500

UDR, Inc. 5.5% 4/1/14

5,222,000

5,609,769

Washington (REIT) 5.95% 6/15/11

3,701,000

3,779,565

 

54,875,576

Real Estate Management & Development - 1.2%

AMB Property LP 5.9% 8/15/13

2,580,000

2,755,953

Arden Realty LP 5.2% 9/1/11

1,339,000

1,382,093

BioMed Realty LP 6.125% 4/15/20 (h)

3,359,000

3,624,314

Brandywine Operating Partnership LP:

5.625% 12/15/10

4,192,000

4,197,077

5.7% 5/1/17

6,962,000

7,076,859

5.75% 4/1/12

2,512,000

2,591,799

CB Richard Ellis Services, Inc. 6.625% 10/15/20 (h)

595,000

592,025

Colonial Properties Trust 6.875% 8/15/12

4,000,000

4,176,584

Colonial Realty LP 6.05% 9/1/16

2,000,000

1,943,514

Digital Realty Trust LP 4.5% 7/15/15 (h)

4,981,000

5,113,161

Duke Realty LP:

5.4% 8/15/14

5,421,000

5,769,874

5.625% 8/15/11

3,706,000

3,790,975

5.95% 2/15/17

1,109,000

1,181,659

6.25% 5/15/13

14,494,000

15,645,761

6.5% 1/15/18

3,795,000

4,145,624

6.75% 3/15/20

10,000,000

11,091,870

ERP Operating LP:

4.75% 7/15/20

7,569,000

7,821,661

5.25% 9/15/14

1,310,000

1,445,817

5.375% 8/1/16

2,768,000

3,075,168

5.5% 10/1/12

3,690,000

3,967,160

5.75% 6/15/17

11,387,000

12,721,636

Forest City Enterprises, Inc.:

6.5% 2/1/17

250,000

217,500

7.625% 6/1/15

100,000

92,000

Highwoods/Forsyth LP 5.85% 3/15/17

615,000

643,467

Corporate Bonds - continued

 

Principal Amount (d)

Value

Nonconvertible Bonds - continued

FINANCIALS - continued

Real Estate Management & Development - continued

Host Hotels & Resorts LP:

6% 11/1/20 (h)

$ 1,075,000

$ 1,056,188

9% 5/15/17

2,135,000

2,396,538

Liberty Property LP:

4.75% 10/1/20

11,435,000

11,677,308

5.125% 3/2/15

1,190,000

1,294,145

5.5% 12/15/16

1,523,000

1,682,412

6.625% 10/1/17

4,835,000

5,631,344

Mack-Cali Realty LP 7.75% 2/15/11

976,000

989,762

Post Apartment Homes LP 6.3% 6/1/13

3,812,000

4,089,361

Reckson Operating Partnership LP 6% 3/31/16

3,651,000

3,656,228

Regency Centers LP:

4.95% 4/15/14

611,000

644,441

5.25% 8/1/15

2,133,000

2,273,861

5.875% 6/15/17

1,089,000

1,195,495

Simon Property Group LP 4.2% 2/1/15

3,659,000

3,904,768

Tanger Properties LP:

6.125% 6/1/20

4,395,000

4,831,366

6.15% 11/15/15

1,761,000

1,953,673

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

2,455,000

2,590,025

Ventas Realty LP:

6.5% 6/1/16

105,000

109,725

6.5% 6/1/16

450,000

470,250

6.75% 4/1/17

250,000

267,500

 

155,777,941

Thrifts & Mortgage Finance - 0.3%

Bank of America Corp.:

3.7% 9/1/15

4,630,000

4,569,120

5.65% 5/1/18

12,000,000

12,296,424

6.5% 8/1/16

9,000,000

9,772,407

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

7,600,000

8,191,516

Independence Community Bank Corp. 2.11% 4/1/14 (o)

4,218,000

4,139,212

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

100,000

30,000

 

38,998,679

TOTAL FINANCIALS

1,203,120,963

Corporate Bonds - continued

 

Principal Amount (d)

Value

Nonconvertible Bonds - continued

HEALTH CARE - 0.7%

Health Care Equipment & Supplies - 0.0%

Biomet, Inc.:

10% 10/15/17

$ 3,230,000

$ 3,504,550

10.375% 10/15/17 pay-in-kind (o)

1,505,000

1,636,688

 

5,141,238

Health Care Providers & Services - 0.5%

Coventry Health Care, Inc.:

5.95% 3/15/17

1,747,000

1,765,967

6.3% 8/15/14

3,618,000

3,823,184

DASA Finance Corp. 8.75% 5/29/18 (h)

930,000

1,060,200

DaVita, Inc.:

6.375% 11/1/18

1,180,000

1,168,200

6.625% 11/1/20

1,020,000

1,014,900

Express Scripts, Inc.:

5.25% 6/15/12

7,157,000

7,587,214

6.25% 6/15/14

2,629,000

2,988,182

HCA Holdings, Inc. 7.75% 5/15/21 (h)

2,420,000

2,377,650

HCA, Inc.:

9.125% 11/15/14

3,905,000

4,070,963

9.25% 11/15/16

4,905,000

5,113,463

9.625% 11/15/16 pay-in-kind (o)

11,255,066

11,986,645

HealthSouth Corp.:

7.25% 10/1/18

1,695,000

1,741,613

7.75% 9/15/22

905,000

938,938

Medco Health Solutions, Inc. 4.125% 9/15/20

7,486,000

7,488,553

Rural/Metro Corp. 12.75% 3/15/16

995,000

1,064,650

Sabra Health Care LP/Sabra Capital Corp. 8.125% 11/1/18 (h)

190,000

192,850

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

164,000

168,100

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

10,000

10,750

Vanguard Health Holding Co. II LLC/Vanguard Health Holding Co. II, Inc.:

8% 2/1/18

5,155,000

5,206,550

8% 2/1/18 (h)

2,330,000

2,353,300

 

62,121,872

Health Care Technology - 0.1%

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

6,090,000

6,638,100

Corporate Bonds - continued

 

Principal Amount (d)

Value

Nonconvertible Bonds - continued

HEALTH CARE - continued

Pharmaceuticals - 0.1%

Endo Pharmaceuticals Holdings, Inc. 7% 12/15/20 (h)

$ 1,120,000

$ 1,136,800

Mylan, Inc.:

6% 11/15/18 (h)

2,185,000

2,141,300

7.625% 7/15/17 (h)

1,115,000

1,179,113

7.875% 7/15/20 (h)

995,000

1,064,650

Novartis Capital Corp. 4.125% 2/10/14

2,930,000

3,168,745

Roche Holdings, Inc. 5% 3/1/14 (h)

5,943,000

6,622,190

Valeant Pharmaceuticals International 6.875% 12/1/18 (h)

2,745,000

2,722,766

 

18,035,564

TOTAL HEALTH CARE

91,936,774

INDUSTRIALS - 1.2%

Aerospace & Defense - 0.1%

Alliant Techsystems, Inc. 6.875% 9/15/20

1,695,000

1,728,900

BAE Systems Holdings, Inc.:

6.375% 6/1/19 (h)

8,071,000

9,276,985

6.4% 12/15/11 (h)

818,000

854,403

BE Aerospace, Inc.:

6.875% 10/1/20

1,120,000

1,145,200

8.5% 7/1/18

3,470,000

3,773,625

Esterline Technologies Corp. 7% 8/1/20 (h)

1,105,000

1,143,675

 

17,922,788

Airlines - 0.3%

Air Canada 9.25% 8/1/15 (h)

4,265,000

4,478,250

American Airlines, Inc. 10.5% 10/15/12

3,200,000

3,480,000

American Airlines, Inc. pass-thru trust certificates:

6.978% 10/1/12

63,163

64,186

8.608% 10/1/12

960,000

969,600

10.375% 7/2/19

1,878,805

2,235,779

AMR Corp. 9% 8/1/12

485,000

495,913

Continental Airlines, Inc.:

pass-thru trust certificates 9.798% 4/1/21

374,725

383,156

6.648% 3/15/19

2,820,535

2,957,331

6.75% 9/15/15 (h)

3,405,000

3,502,724

6.82% 5/1/18

221,731

234,703

6.9% 7/2/19

817,032

872,182

Corporate Bonds - continued

 

Principal Amount (d)

Value

Nonconvertible Bonds - continued

INDUSTRIALS - continued

Airlines - continued

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

$ 2,906,574

$ 3,139,100

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

6.821% 8/10/22

338,024

359,151

8.021% 8/10/22

1,640,643

1,716,113

8.954% 8/10/14

2,174,767

2,285,680

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

824,124

832,365

U.S. Airways pass-thru trust certificates:

6.85% 7/30/19

1,918,309

1,857,882

8.36% 7/20/20

1,320,837

1,345,273

United Air Lines, Inc.:

9.875% 8/1/13 (h)

785,000

852,667

12% 11/1/13 (h)

995,000

1,099,475

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

Class B, 7.336% 7/2/19

838,014

808,683

9.75% 1/15/17

2,284,141

2,640,924

12% 1/15/16 (h)

828,962

946,012

 

37,557,149

Building Products - 0.0%

Building Materials Corp. of America 6.875% 8/15/18 (h)

2,550,000

2,499,000

Commercial Services & Supplies - 0.2%

ARAMARK Corp.:

3.7869% 2/1/15 (o)

5,440,000

5,154,400

8.5% 2/1/15

1,775,000

1,832,688

Covanta Holding Corp. 7.25% 12/1/20 (j)

1,190,000

1,214,551

EnergySolutions, Inc. / EnergySolutions LLC 10.75% 8/15/18 (h)

955,000

1,043,338

International Lease Finance Corp.:

6.5% 9/1/14 (h)

1,620,000

1,701,000

6.75% 9/1/16 (h)

1,620,000

1,717,200

8.625% 9/15/15 (h)

2,745,000

2,909,700

8.75% 3/15/17 (h)

3,990,000

4,259,325

8.875% 9/1/17

4,870,000

5,162,200

 

24,994,402

Construction & Engineering - 0.0%

Amsted Industries, Inc. 8.125% 3/15/18 (h)

2,535,000

2,566,688

Corporate Bonds - continued

 

Principal Amount (d)

Value

Nonconvertible Bonds - continued

INDUSTRIALS - continued

Construction & Engineering - continued

Odebrecht Finance Ltd. 7% 4/21/20 (h)

$ 460,000

$ 496,800

Odebrecht Overseas Ltd. 9.625%

250,000

250,000

 

3,313,488

Industrial Conglomerates - 0.2%

General Electric Co. 5.25% 12/6/17

17,730,000

19,390,255

Sequa Corp. 13.5% 12/1/15 pay-in-kind (h)

901,711

978,356

 

20,368,611

Machinery - 0.1%

Accuride Corp. 9.5% 8/1/18 (h)

2,230,000

2,374,950

ArvinMeritor, Inc. 8.125% 9/15/15

3,250,000

3,323,125

Navistar International Corp. 8.25% 11/1/21

2,655,000

2,814,300

RBS Global, Inc./Rexnord Corp. 8.5% 5/1/18

2,245,000

2,312,350

 

10,824,725

Marine - 0.1%

Navios Maritime Acquisition Corp./Navios Acquisition Finance US, Inc. 8.625% 11/1/17 (h)

680,000

685,984

Navios Maritime Holdings, Inc.:

8.875% 11/1/17

1,970,000

2,102,975

9.5% 12/15/14

3,070,000

3,177,450

SCF Capital Ltd. 5.375% 10/27/17 (h)

480,000

465,600

 

6,432,009

Professional Services - 0.0%

FTI Consulting, Inc. 6.75% 10/1/20 (h)

2,515,000

2,496,138

Road & Rail - 0.2%

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

7.625% 5/15/14

4,105,000

4,146,050

7.75% 5/15/16

3,025,000

3,025,000

Georgian Railway Ltd. 9.875% 7/22/15

475,000

504,688

Hertz Corp.:

7.5% 10/15/18 (h)

5,260,000

5,286,300

8.875% 1/1/14

6,065,000

6,186,300

10.5% 1/1/16

2,240,000

2,352,000

Kansas City Southern de Mexico, SA de CV 12.5% 4/1/16

1,235,000

1,512,875

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

2,965,000

3,142,900

 

26,156,113

Corporate Bonds - continued

 

Principal Amount (d)

Value

Nonconvertible Bonds - continued

INDUSTRIALS - continued

Trading Companies & Distributors - 0.0%

Aircastle Ltd. 9.75% 8/1/18

$ 495,000

$ 540,788

TOTAL INDUSTRIALS

153,105,211

INFORMATION TECHNOLOGY - 0.5%

Communications Equipment - 0.1%

Avaya, Inc.:

9.75% 11/1/15

1,290,000

1,270,650

10.125% 11/1/15 pay-in-kind (o)

4,012,385

3,962,230

Lucent Technologies, Inc.:

6.45% 3/15/29

5,400,000

4,374,000

6.5% 1/15/28

1,940,000

1,571,400

 

11,178,280

Electronic Equipment & Components - 0.1%

Jabil Circuit, Inc.:

5.625% 12/15/20

710,000

697,575

7.75% 7/15/16

2,915,000

3,257,513

8.25% 3/15/18

1,025,000

1,168,500

Tyco Electronics Group SA:

5.95% 1/15/14

2,950,000

3,274,226

6% 10/1/12

3,877,000

4,156,675

6.55% 10/1/17

1,383,000

1,586,460

 

14,140,949

Internet Software & Services - 0.1%

Equinix, Inc. 8.125% 3/1/18

2,530,000

2,650,175

Terremark Worldwide, Inc.:

9.5% 11/15/13 (h)

990,000

980,100

12% 6/15/17

4,050,000

4,536,000

 

8,166,275

IT Services - 0.1%

Fidelity National Information Services, Inc.:

7.625% 7/15/17 (h)

800,000

844,000

7.875% 7/15/20 (h)

1,070,000

1,142,225

SunGard Data Systems, Inc.:

7.375% 11/15/18 (h)

1,095,000

1,084,050

Corporate Bonds - continued

 

Principal Amount (d)

Value

Nonconvertible Bonds - continued

INFORMATION TECHNOLOGY - continued

IT Services - continued

SunGard Data Systems, Inc.: - continued

7.625% 11/15/20 (h)

$ 1,095,000

$ 1,089,525

10.25% 8/15/15

3,795,000

3,946,800

 

8,106,600

Office Electronics - 0.0%

Xerox Capital Trust I 8% 2/1/27

6,230,000

6,318,260

Xerox Corp. 5.5% 5/15/12

1,602,000

1,693,296

 

8,011,556

Semiconductors & Semiconductor Equipment - 0.1%

Advanced Micro Devices, Inc. 7.75% 8/1/20 (h)

2,085,000

2,147,550

Amkor Technology, Inc. 7.375% 5/1/18

2,060,000

2,101,200

Freescale Semiconductor, Inc.:

9.125% 12/15/14 pay-in-kind (o)

1,966,560

1,971,476

9.25% 4/15/18 (h)

2,385,000

2,498,288

10.125% 12/15/16

3,320,000

3,137,400

Spansion LLC 7.875% 11/15/17 (h)

1,620,000

1,605,825

Viasystems, Inc. 12% 1/15/15 (h)

1,590,000

1,780,800

 

15,242,539

TOTAL INFORMATION TECHNOLOGY

64,846,199

MATERIALS - 1.1%

Chemicals - 0.6%

Berry Plastics Corp.:

5.0391% 2/15/15 (o)

1,975,000

1,876,250

8.25% 11/15/15

2,660,000

2,773,050

9.5% 5/15/18

1,725,000

1,673,250

Braskem Finance Ltd. 7% 5/7/20 (h)

860,000

885,800

Celanese US Holdings LLC 6.625% 10/15/18 (h)

1,185,000

1,211,663

Dow Chemical Co.:

4.25% 11/15/20

10,205,000

9,937,915

4.85% 8/15/12

9,460,000

10,027,335

7.6% 5/15/14

16,104,000

18,806,895

Huntsman International LLC:

5.5% 6/30/16

3,195,000

3,067,200

8.625% 3/15/20

1,700,000

1,814,750

8.625% 3/15/21 (h)

2,535,000

2,737,800

Ineos Finance PLC 9% 5/15/15 (h)

1,715,000

1,787,888

Corporate Bonds - continued

 

Principal Amount (d)

Value

Nonconvertible Bonds - continued

MATERIALS - continued

Chemicals - continued

Inergy LP/Inergy Finance Corp. 7% 10/1/18 (h)

$ 1,865,000

$ 1,846,350

Lyondell Chemical Co. 11% 5/1/18

3,955,000

4,399,938

NOVA Chemicals Corp.:

3.5678% 11/15/13 (o)

2,720,000

2,638,400

6.5% 1/15/12

2,290,000

2,364,425

8.375% 11/1/16

2,825,000

3,029,813

8.625% 11/1/19

1,935,000

2,113,988

 

72,992,710

Construction Materials - 0.0%

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

1,833,000

2,018,831

Containers & Packaging - 0.0%

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

4,250,000

4,377,500

Metals & Mining - 0.4%

Anglo American Capital PLC:

4.45% 9/27/20 (h)

2,556,000

2,631,739

9.375% 4/8/14 (h)

5,953,000

7,283,507

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

1,975,000

2,081,026

Corporacion Nacional del Cobre (Codelco):

3.75% 11/4/20 (h)

3,317,000

3,242,621

6.375% 11/30/12 (h)

2,002,000

2,184,066

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

830,000

896,400

Edgen Murray Corp. 12.25% 1/15/15

3,960,000

3,326,400

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

2,990,000

3,057,275

Evraz Group SA:

8.25% 11/10/15 (h)

505,000

525,831

8.875% 4/24/13 (h)

1,665,000

1,760,738

FMG Resources (August 2006) Pty Ltd. 7% 11/1/15 (h)

875,000

888,125

Gerdau Trade, Inc. 5.75% 1/30/21 (h)

530,000

535,300

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

5,660,000

5,178,900

Metinvest BV 10.25% 5/20/15 (h)

810,000

828,225

Rain CII Carbon LLC/CII Carbon Corp. 8% 12/1/18 (h)

830,000

850,750

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

2,940,000

3,057,600

Southern Copper Corp. 6.75% 4/16/40

1,690,000

1,747,798

Steel Capital SA 6.7% 10/25/17 (h)

535,000

523,631

Steel Dynamics, Inc. 6.75% 4/1/15

2,240,000

2,251,200

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

1,700,000

1,751,000

Corporate Bonds - continued

 

Principal Amount (d)

Value

Nonconvertible Bonds - continued

MATERIALS - continued

Metals & Mining - continued

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

$ 2,648,000

$ 2,300,450

Vale Overseas Ltd. 6.25% 1/23/17

5,007,000

5,684,512

 

52,587,094

Paper & Forest Products - 0.1%

Boise Paper LLC/Boise Co-Issuer Co. 8% 4/1/20

1,165,000

1,258,200

Verso Paper Holdings LLC/Verso Paper, Inc.:

9.125% 8/1/14

1,345,000

1,324,825

11.5% 7/1/14

2,880,000

3,139,200

 

5,722,225

TOTAL MATERIALS

137,698,360

TELECOMMUNICATION SERVICES - 2.1%

Diversified Telecommunication Services - 1.2%

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

1,185,000

1,344,975

AT&T, Inc.:

2.5% 8/15/15

7,000,000

7,072,520

5.35% 9/1/40 (h)

10,000,000

9,467,610

6.3% 1/15/38

10,671,000

11,343,273

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

899,000

1,100,797

British Telecommunications PLC 9.375% 12/15/10 (f)

2,717,000

2,724,070

CenturyLink, Inc. 7.6% 9/15/39

7,184,000

7,204,518

Citizens Communications Co.:

7.875% 1/15/27

925,000

906,500

9% 8/15/31

2,260,000

2,367,350

Frontier Communications Corp.:

7.875% 4/15/15

1,545,000

1,680,188

8.125% 10/1/18

3,615,000

3,976,500

8.25% 4/15/17

2,270,000

2,479,975

8.5% 4/15/20

775,000

852,500

Global Crossing Ltd.:

9% 11/15/19 (h)

1,820,000

1,806,350

12% 9/15/15

2,160,000

2,408,400

Indosat Palapa Co. BV 7.375% 7/29/20 (h)

485,000

527,438

Intelsat Bermuda Ltd.:

11.25% 2/4/17

1,215,000

1,260,563

12% 2/4/17 pay-in-kind (o)

7,164,320

7,459,848

Corporate Bonds - continued

 

Principal Amount (d)

Value

Nonconvertible Bonds - continued

TELECOMMUNICATION SERVICES - continued

Diversified Telecommunication Services - continued

Intelsat Ltd.:

6.5% 11/1/13

$ 3,700,000

$ 3,663,000

7.625% 4/15/12

2,475,000

2,512,125

11.25% 6/15/16

1,635,000

1,741,275

Qwest Communications International, Inc.:

Series B 7.5% 2/15/14

1,310,000

1,323,100

7.125% 4/1/18 (h)

2,450,000

2,548,000

8% 10/1/15

2,050,000

2,178,125

Sprint Capital Corp. 6.875% 11/15/28

15,285,000

12,992,250

Telecom Italia Capital SA:

4.95% 9/30/14

3,208,000

3,353,601

5.25% 10/1/15

1,177,000

1,248,050

6.999% 6/4/18

1,793,000

1,993,633

7.2% 7/18/36

14,240,000

13,639,699

Telefonica Emisiones SAU:

5.134% 4/27/20

10,000,000

10,128,970

6.421% 6/20/16

1,162,000

1,312,021

Telemar Norte Leste SA 5.5% 10/23/20 (h)

530,000

526,025

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

3,760,000

3,741,200

Verizon Communications, Inc.:

6.1% 4/15/18

6,000,000

7,030,500

6.25% 4/1/37

2,348,000

2,572,459

6.9% 4/15/38

6,295,000

7,409,612

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

891,000

929,766

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

2,653,000

2,842,947

Wind Acquisition Finance SA:

7.25% 2/15/18 (h)

1,155,000

1,143,450

11.75% 7/15/17 (h)

4,535,000

4,965,825

 

155,779,008

Wireless Telecommunication Services - 0.9%

Cleveland Unlimited, Inc. 13.5% 12/15/10 (h)(o)

1,260,000

1,197,000

Cricket Communications, Inc. 7.75% 10/15/20 (h)

1,825,000

1,688,125

Digicel Group Ltd.:

8.25% 9/1/17 (h)

2,020,000

2,131,100

8.875% 1/15/15 (h)

4,030,000

4,060,225

9.125% 1/15/15 pay-in-kind (h)(o)

3,070,000

3,093,025

12% 4/1/14 (h)

3,545,000

4,138,788

Corporate Bonds - continued

 

Principal Amount (d)

Value

Nonconvertible Bonds - continued

TELECOMMUNICATION SERVICES - continued

Wireless Telecommunication Services - continued

DIRECTV Holdings LLC/DIRECTV Financing, Inc.:

4.75% 10/1/14

$ 9,282,000

$ 10,033,898

5.875% 10/1/19

11,570,000

12,860,148

6.35% 3/15/40

3,541,000

3,673,589

Intelsat Jackson Holdings Ltd.:

9.5% 6/15/16

2,770,000

2,922,350

11.5% 6/15/16

7,175,000

7,641,375

Intelsat Jackson Holdings SA 7.25% 10/15/20 (h)

3,485,000

3,476,288

Intelsat Subsidiary Holding Co. Ltd.:

8.875% 1/15/15 (h)

550,000

561,000

8.875% 1/15/15

6,110,000

6,262,750

MetroPCS Wireless, Inc.:

6.625% 11/15/20

1,825,000

1,740,503

7.875% 9/1/18

2,925,000

3,085,875

Millicom International Cellular SA 10% 12/1/13

3,530,000

3,587,363

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

813,000

853,650

MTS International Funding Ltd. 8.625% 6/22/20 (h)

1,055,000

1,169,784

Nextel Communications, Inc.:

5.95% 3/15/14

6,545,000

6,315,925

6.875% 10/31/13

9,105,000

9,093,619

7.375% 8/1/15

4,995,000

4,820,175

NII Capital Corp.:

8.875% 12/15/19

2,695,000

2,910,600

10% 8/15/16

3,560,000

3,951,600

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

2,735,000

2,488,850

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

3,170,000

3,170,000

Sprint Nextel Corp. 6% 12/1/16

5,715,000

5,357,813

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

1,065,000

1,066,331

Telemovil Finance Co. Ltd. 8% 10/1/17 (h)

1,195,000

1,218,900

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

1,545,000

1,666,669

Corporate Bonds - continued

 

Principal Amount (d)

Value

Nonconvertible Bonds - continued

TELECOMMUNICATION SERVICES - continued

Wireless Telecommunication Services - continued

Vodafone Group PLC:

5% 12/16/13

$ 2,296,000

$ 2,513,833

5.5% 6/15/11

2,760,000

2,830,228

 

121,581,379

TOTAL TELECOMMUNICATION SERVICES

277,360,387

UTILITIES - 2.0%

Electric Utilities - 1.1%

Alabama Power Co. 3.375% 10/1/20

5,927,000

5,836,542

Ameren Illinois Co. 6.125% 11/15/17

3,112,000

3,568,639

AmerenUE 6.4% 6/15/17

1,753,000

2,013,384

Commonwealth Edison Co. 5.4% 12/15/11

2,948,000

3,086,919

Duquesne Light Holdings, Inc. 6.4% 9/15/20 (h)

15,951,000

16,168,827

Edison International 3.75% 9/15/17

6,565,000

6,700,502

EDP Finance BV:

4.9% 10/1/19 (h)

6,700,000

5,983,683

6% 2/2/18 (h)

6,262,000

6,250,584

Empresa Distribuidora y Comercializadora Norte SA 9.75% 10/25/22 (h)

345,000

366,563

FirstEnergy Corp. 7.375% 11/15/31

6,353,000

6,739,847

FirstEnergy Solutions Corp.:

4.8% 2/15/15

2,432,000

2,601,851

6.05% 8/15/21

7,817,000

8,283,839

Intergen NV 9% 6/30/17 (h)

5,270,000

5,467,625

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

4,440,000

4,773,000

Kentucky Utilities Co.:

3.25% 11/1/20 (h)

785,000

768,023

5.125% 11/1/40 (h)

5,606,000

5,649,497

LG&E and KU Energy LLC:

2.125% 11/15/15 (h)

7,247,000

7,115,851

3.75% 11/15/20 (h)

1,426,000

1,393,511

Louisville Gas & Electric Co. 5.125% 11/15/40 (h)

1,682,000

1,697,681

Majapahit Holding BV:

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

1,540,000

1,801,800

7.75% 1/20/20 (h)

850,000

1,007,250

8% 8/7/19 (h)

635,000

758,825

Corporate Bonds - continued

 

Principal Amount (d)

Value

Nonconvertible Bonds - continued

UTILITIES - continued

Electric Utilities - continued

Mirant Americas Generation LLC:

8.5% 10/1/21

$ 3,570,000

$ 3,427,200

9.125% 5/1/31

3,775,000

3,605,125

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

540,000

629,100

Nevada Power Co. 6.5% 5/15/18

790,000

937,957

NV Energy, Inc. 6.25% 11/15/20

2,245,000

2,267,450

Otter Tail Corp. 9% 12/15/16

2,410,000

2,578,700

Pennsylvania Electric Co. 6.05% 9/1/17

764,000

850,477

Pepco Holdings, Inc. 2.7% 10/1/15

6,931,000

6,910,311

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

507,000

495,593

Progress Energy, Inc.:

6% 12/1/39

10,303,000

11,197,125

7.1% 3/1/11

3,385,000

3,439,119

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

1,560,000

1,711,495

 

136,083,895

Gas Utilities - 0.1%

Dynegy Holdings, Inc. 7.5% 6/1/15

2,940,000

2,182,950

Intergas Finance BV 6.375% 5/14/17 (Reg. S)

665,000

704,900

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

442,000

480,530

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

3,100,000

3,100,000

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

1,220,000

1,216,950

 

7,685,330

Independent Power Producers & Energy Traders - 0.4%

AES Corp.:

7.75% 10/15/15

3,210,000

3,402,600

8% 10/15/17

2,575,000

2,678,000

9.75% 4/15/16

1,475,000

1,637,250

Duke Capital LLC 5.668% 8/15/14

2,055,000

2,294,066

Energy Future Intermediate Holding Co. LLC / EFIH Finance, Inc. 10% 12/1/20

3,620,000

3,683,350

Exelon Generation Co. LLC:

4% 10/1/20

16,000,000

15,605,248

5.35% 1/15/14

1,528,000

1,682,566

GenOn Escrow Corp.:

9.5% 10/15/18 (h)

1,685,000

1,600,750

9.875% 10/15/20 (h)

1,625,000

1,543,750

NRG Energy, Inc.:

7.375% 2/1/16

2,840,000

2,840,000

Corporate Bonds - continued

 

Principal Amount (d)

Value

Nonconvertible Bonds - continued

UTILITIES - continued

Independent Power Producers & Energy Traders - continued

NRG Energy, Inc.: - continued

7.375% 1/15/17

$ 3,225,000

$ 3,257,250

Power Sector Assets and Liabilities Management Corp.:

7.25% 5/27/19 (h)

720,000

858,600

7.39% 12/2/24 (h)

750,000

905,625

PPL Energy Supply LLC 6.5% 5/1/18

6,895,000

7,914,612

RRI Energy, Inc. 7.625% 6/15/14

8,000,000

8,000,000

 

57,903,667

Multi-Utilities - 0.4%

Consolidated Edison Co. of New York, Inc. 5.7% 6/15/40

3,771,000

4,039,593

Dominion Resources, Inc.:

4.75% 12/15/10

3,931,000

3,935,080

6.3% 9/30/66 (o)

4,887,000

4,728,173

7.5% 6/30/66 (o)

9,539,000

9,920,560

DTE Energy Co. 7.05% 6/1/11

984,000

1,014,232

MidAmerican Energy Holdings, Co.:

5.875% 10/1/12

2,921,000

3,169,259

6.5% 9/15/37

7,097,000

8,223,954

National Grid PLC 6.3% 8/1/16

1,314,000

1,536,963

NiSource Finance Corp.:

5.25% 9/15/17

843,000

902,566

5.4% 7/15/14

1,347,000

1,490,831

5.45% 9/15/20

854,000

914,924

6.4% 3/15/18

1,326,000

1,509,717

6.8% 1/15/19

6,774,000

7,870,650

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

3,916,000

3,837,680

 

53,094,182

TOTAL UTILITIES

254,767,074

TOTAL NONCONVERTIBLE BONDS

3,050,880,041

TOTAL CORPORATE BONDS

(Cost $2,792,812,469)

3,055,998,518

U.S. Government and Government Agency Obligations - 32.1%

 

Principal Amount (d)

Value

U.S. Government Agency Obligations - 1.6%

Fannie Mae:

0.375% 12/28/12

$ 10,710,000

$ 10,654,554

0.5% 10/30/12

668,000

666,921

0.75% 12/18/13

23,717,000

23,576,999

1% 4/4/12

1,230,000

1,238,252

1% 9/23/13

30,152,000

30,260,004

1.25% 8/20/13

24,381,000

24,648,557

5% 2/16/12

1,090,000

1,148,640

Federal Home Loan Bank:

0.875% 12/27/13

5,100,000

5,093,324

1.625% 11/21/12

30,360,000

30,959,671

1.625% 3/20/13

23,140,000

23,628,740

Freddie Mac:

0.375% 11/30/12

1,534,000

1,526,539

1.125% 7/27/12

230,000

232,221

1.75% 6/15/12

505,000

514,371

1.75% 9/10/15

40,525,000

40,668,904

2.125% 3/23/12

75,000

76,563

5.25% 7/18/11

10,730,000

11,064,529

Tennessee Valley Authority 5.375% 4/1/56

385,000

434,965

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS

206,393,754

U.S. Treasury Inflation Protected Obligations - 3.0%

U.S. Treasury Inflation-Indexed Bonds:

2.125% 2/15/40

78,424,112

87,383,443

2.5% 1/15/29

20,348,000

24,030,240

U.S. Treasury Inflation-Indexed Notes 1.375% 1/15/20

255,681,574

273,104,009

TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS

384,517,692

U.S. Treasury Obligations - 27.3%

U.S. Treasury Bonds:

3.875% 8/15/40

269,285,000

257,840,388

4.25% 5/15/39

32,150,000

32,903,532

4.375% 11/15/39

19,090,000

19,937,119

U.S. Treasury Notes:

0.375% 9/30/12

487,000

486,410

0.75% 11/30/11

171,564,000

172,307,902

1.375% 11/30/15

200,000,000

199,125,000

1.75% 3/31/14 (l)

125,000,000

128,711,000

1.875% 4/30/14 (l)

42,760,000

44,209,821

U.S. Government and Government Agency Obligations - continued

 

Principal Amount (d)

Value

U.S. Treasury Obligations - continued

U.S. Treasury Notes: - continued

1.875% 6/30/15

$ 50,250,000

$ 51,502,331

2.375% 9/30/14

171,534,000

180,177,770

2.375% 2/28/15

667,385,000

699,973,359

2.5% 3/31/15

100,000,000

105,445,000

2.5% 4/30/15

100,000,000

105,382,800

2.625% 7/31/14

625,000,000

662,158,125

2.625% 12/31/14 (l)

329,010,000

348,724,937

2.625% 11/15/20 (g)

200,000,000

196,812,400

2.75% 2/15/19

80,000,000

81,818,720

3.125% 4/30/17

87,265,000

93,346,323

3.25% 3/31/17

80,260,000

86,530,313

3.5% 5/15/20

21,386,000

22,802,823

3.625% 2/15/20

26,742,000

28,862,560

TOTAL U.S. TREASURY OBLIGATIONS

3,519,058,633

Other Government Related - 0.2%

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

32,000,000

32,835,488

TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $4,011,340,472)

4,142,805,567

U.S. Government Agency - Mortgage Securities - 9.4%

 

Fannie Mae - 7.1%

2.335% 10/1/33 (o)

1,125,500

1,167,923

2.577% 6/1/36 (o)

167,830

174,606

3% 12/1/25 (j)

21,000,000

20,962,891

3.466% 7/1/37 (o)

469,750

492,193

3.5% 12/1/25 (j)(k)

18,000,000

18,399,087

3.5% 12/1/25 (j)(k)

19,000,000

19,421,259

3.5% 12/1/40 (j)(k)

31,000,000

30,442,784

4% 12/1/25 (j)

6,000,000

6,236,600

4% 8/1/39 to 10/1/40

31,078,813

31,600,345

4% 12/1/40 (j)

20,000,000

20,292,554

4.5% 6/1/24 to 11/1/40

71,494,808

74,673,237

4.5% 12/1/25 (j)

7,000,000

7,375,160

4.5% 12/1/40 (j)

21,500,000

22,364,214

U.S. Government Agency - Mortgage Securities - continued

 

Principal Amount (d)

Value

Fannie Mae - continued

5% 5/1/19 to 9/1/40 (k)

$ 103,509,267

$ 110,119,615

5% 12/1/40 (j)

50,000,000

52,979,555

5% 12/1/40 (j)(k)

9,000,000

9,536,320

5.214% 12/1/35 (o)

719,153

750,323

5.298% 2/1/36 (o)

1,155,264

1,205,447

5.5% 3/1/18 to 12/1/39

122,449,582

131,795,762

5.5% 12/1/40 (j)

3,000,000

3,223,131

5.5% 12/1/40 (j)

58,000,000

62,313,860

5.5% 12/1/40 (j)(k)

30,500,000

32,768,495

6% 1/1/21 to 9/1/39

85,919,058

94,340,648

6% 11/1/40 (j)(k)

11,000,000

11,988,209

6% 12/1/40 (j)(k)

7,000,000

7,615,462

6% 12/1/40 (j)(k)

12,500,000

13,599,039

6% 12/1/40 (j)(k)

33,000,000

35,901,462

6% 1/1/41 (j)

45,500,000

49,411,635

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

41,103,655

46,213,306

TOTAL FANNIE MAE

917,365,122

Freddie Mac - 1.0%

3.119% 11/1/35 (o)

4,680,555

4,890,103

4.361% 10/1/35 (o)

242,253

256,637

4.5% 7/1/25 to 10/1/40

11,067,992

11,598,040

5% 4/1/38 to 9/1/40

42,307,100

44,817,830

5% 12/1/40 (j)(k)

2,000,000

2,112,620

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

17,363,251

18,718,436

6% 7/1/37

160,437

175,283

6% 12/1/40 (j)

24,000,000

26,020,154

6.5% 10/1/37 to 1/1/39

13,702,132

15,198,346

TOTAL FREDDIE MAC

123,787,449

Ginnie Mae - 1.3%

4% 1/15/25 to 3/15/40

59,060,367

62,146,164

4% 11/1/40 (j)(k)

8,000,000

8,211,709

4% 12/1/40 (j)

18,000,000

18,455,625

4% 12/1/40 (j)

7,000,000

7,177,188

U.S. Government Agency - Mortgage Securities - continued

 

Principal Amount (d)

Value

Ginnie Mae - continued

4% 12/1/40 (j)

$ 6,000,000

$ 6,151,875

4.5% 3/15/39 to 9/20/40

67,868,823

71,488,270

TOTAL GINNIE MAE

173,630,831

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $1,205,402,417)

1,214,783,402

Asset-Backed Securities - 2.5%

 

Accredited Mortgage Loan Trust Series 2005-1 Class M1, 0.7234% 4/25/35 (o)

1,821,633

1,030,304

ACE Securities Corp. Home Equity Loan Trust:

Series 2004-HE1:

Class M1, 1.0034% 3/25/34 (o)

96,601

94,740

Class M2, 1.9034% 3/25/34 (o)

483,000

383,336

Series 2005-HE2 Class M2, 0.7034% 4/25/35 (o)

180,737

169,739

Series 2006-OP1:

Class M4, 0.6234% 4/25/36 (o)

170,200

1,945

Class M5, 0.6434% 4/25/36 (o)

32,605

66

Advanta Business Card Master Trust:

Series 2005-A2 Class A2, 0.3834% 5/20/13 (o)

88,777

88,712

Series 2006-A6 Class A6, 0.2834% 9/20/13 (o)

175,424

175,295

Series 2006-A7 Class A7, 0.2734% 10/20/12 (o)

96,589

96,519

Series 2006-C1 Class C1, 0.7334% 10/20/14 (o)

102,300

18,926

Series 2007-A1 Class A, 0.3034% 1/20/15 (o)

64,807

64,760

Series 2007-A4 Class A4, 0.2834% 4/22/13 (o)

77,449

77,392

Series 2007-D1 Class D, 1.6534% 1/22/13 (h)(o)

2,590,000

25,900

Airspeed Ltd. Series 2007-1A Class C1, 2.7534% 6/15/32 (h)(o)

4,310,611

1,875,116

Ally Auto Receivables Trust Series 2009-A:

Class A3, 2.33% 6/17/13 (h)

4,310,000

4,372,888

Class A4, 3% 10/15/15 (h)

4,280,000

4,431,480

Ally Master Owner Trust Series 2010-3 Class A, 2.88% 4/15/15 (h)

20,570,000

21,111,355

AmeriCredit Prime Automobile Receivables Trust Series 2007-1:

Class D, 5.62% 9/8/14

1,125,000

1,151,696

Class E, 6.96% 3/8/16 (h)

2,052,284

1,986,190

Ameriquest Mortgage Securities, Inc. pass-thru certificates:

Series 2003-10 Class M1, 0.9534% 12/25/33 (o)

102,470

75,050

Asset-Backed Securities - continued

 

Principal Amount (d)

Value

Ameriquest Mortgage Securities, Inc. pass-thru certificates: - continued

Series 2004-R2 Class M3, 0.8034% 4/25/34 (o)

$ 135,858

$ 27,467

Series 2005-R2 Class M1, 0.7034% 4/25/35 (o)

2,064,696

1,742,495

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

123,000

110,047

Anthracite CDO II Ltd. Series 2002-2A:

Class F, 7.6% 12/24/37 (h)

160,000

24,000

Class G, 9.75% 12/24/37 (h)

211,548

14,808

Anthracite CDO III Ltd./Anthracite CDO III Corp. Series 2004-1A Class A, 0.6134% 3/23/19 (h)(o)

234,046

177,875

Argent Securities, Inc. pass-thru certificates:

Series 2003-W7 Class A2, 1.0363% 3/25/34 (o)

47,932

34,190

Series 2004-W11 Class M2, 0.9534% 11/25/34 (o)

561,149

403,408

Series 2004-W7 Class M1, 0.8034% 5/25/34 (o)

1,542,998

847,753

Series 2006-W4 Class A2C, 0.4134% 5/25/36 (o)

1,419,587

493,482

Asset Backed Securities Corp. Home Equity Loan Trust:

Series 2004-HE2 Class M1, 1.0784% 4/25/34 (o)

2,668,736

1,911,162

Series 2006-HE2 Class M1, 0.6234% 3/25/36 (o)

262,000

6,718

Axon Financial Funding Ltd. 2.025% 4/4/17 (c)(h)(o)

7,217,000

72

Bank of America Auto Trust Series 2009-1A:

Class A3, 2.67% 7/15/13 (h)

8,682,265

8,775,437

Class A4, 3.52% 6/15/16 (h)

8,300,000

8,625,615

BMW Vehicle Lease Trust Series 2010-1 Class A3, 0.82% 4/15/13

14,030,000

14,014,164

Brascan Real Estate CDO Ltd./Brascan Real Estate CDO Corp. Series 2004-1A Class A, 0.6391% 1/20/40 (h)(o)

184,577

178,117

Brazos Higher Education Authority, Inc. Student Loan Rev. Series 2006 A2R, 1.0394% 12/1/41 (o)

860,559

859,294

Brazos Higher Education Authority, Inc. Series 2006-2 Class A9, 0.2994% 12/26/24 (o)

1,806,310

1,715,994

C-BASS Trust Series 2006-CB7 Class A2, 0.3134% 10/25/36 (o)

196,075

193,998

Capital Auto Receivables Asset Trust:

Series 2006-2:

Class B, 5.07% 12/15/11

819,937

822,898

Class C, 5.31% 6/15/12

1,634,000

1,667,144

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

582,000

603,925

Capital One Multi-Asset Execution Trust:

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

5,700,000

6,203,881

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

10,000,000

10,129,421

Capital Trust Ltd. Series 2004-1:

Class A2, 0.7034% 7/20/39 (h)(o)

457,498

94,931

Asset-Backed Securities - continued

 

Principal Amount (d)

Value

Capital Trust Ltd. Series 2004-1: - continued

Class B, 1.0034% 7/20/39 (h)(o)

$ 263,810

$ 23,822

Class C, 1.3534% 7/20/39 (h)(o)

339,379

3,394

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

1,000,000

992,500

CapitalSource Real Estate Loan Trust Series 2006-1A Class A2A, 0.7713% 1/20/37 (h)(o)

186,189

122,885

Capmark VII Ltd. Series 2006-7A Class H, 1.8034% 8/15/36 (h)(o)

516,641

20

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

928,000

946,719

Carrington Mortgage Loan Trust:

Series 2006-FRE1 Class M1, 0.5534% 7/25/36 (o)

1,140,851

106,791

Series 2006-NC2 Class M7, 1.1034% 6/25/36 (o)

425,500

16,216

Series 2006-NC4 Class M1, 0.5534% 10/25/36 (o)

224,000

30,178

Series 2006-RFC1 Class M9, 2.1234% 5/25/36 (o)

186,369

11,192

Series 2007-RFC1 Class A3, 0.3934% 12/25/36 (o)

1,802,588

610,623

Cbre Realty Finance Cdo 2007-1/LLC 0.54% 4/7/52 (h)(o)

499,838

314,898

Cendant Timeshare Receivables Funding LLC:

Series 2005 1A Class 2A2, 0.4334% 5/20/17 (FGIC Insured) (h)(o)

129,202

116,419

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

406,995

410,087

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

5,000,000

5,395,286

Chrysler Financial Auto Securitization Trust Series 2010-A Class A3, 0.91% 8/8/13

17,510,000

17,456,178

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

12,605,182

12,625,883

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

35,600,000

36,447,113

Citigroup Mortgage Loan Trust Series 2007-AMC4 Class M1, 0.5234% 5/25/37 (o)

765,389

32,129

Countrywide Asset-Backed Certificates Trust:

Series 2007-11 Class 2A1, 0.3134% 6/25/47 (o)

83,289

80,790

Series 2007-4 Class A1A, 0.3763% 9/25/37 (o)

556,879

521,910

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

811,000

0

Countrywide Home Loans, Inc.:

Series 2003-BC1 Class B1, 5.5063% 3/25/32 (MGIC Investment Corp. Insured) (o)

11,800

4,769

Series 2004-3 Class M4, 1.2234% 4/25/34 (o)

159,665

61,575

Series 2004-4 Class M2, 1.0484% 6/25/34 (o)

587,945

320,157

Asset-Backed Securities - continued

 

Principal Amount (d)

Value

Countrywide Home Loans, Inc.: - continued

Series 2005-3 Class MV1, 0.6734% 8/25/35 (o)

$ 1,014,947

$ 962,717

Series 2005-AB1 Class A2, 0.4634% 8/25/35 (o)

136,795

134,873

CPS Auto Receivables Trust:

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

506,134

515,725

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

14,739

14,766

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

Class B1, 6.065% 12/28/35 (h)

500,000

365,020

Class B2, 1.6394% 12/28/35 (h)(o)

500,000

305,020

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

200,000

56,000

Crest G-Star LP/Crest G-Star Corp. Series 2001-1A Class A, 0.7619% 11/28/16 (h)(o)

395,975

376,191

Crest Ltd. Series 2002-IGA Class A, 0.7384% 7/28/17 (h)(o)

256,575

252,727

Deutsche Financial Capital Securitization LLC Series 1997-I Class M, 7.275% 9/15/27

540,000

471,510

Fannie Mae subordinate REMIC pass-thru certificates Series 2004-T5 Class AB3, 0.7503% 5/28/35 (o)

38,916

28,048

Fieldstone Mortgage Investment Corp.:

Series 2004-3 Class M5, 2.4284% 8/25/34 (o)

290,872

160,881

Series 2006-3 Class 2A3, 0.4134% 11/25/36 (o)

6,074,620

2,355,807

First Franklin Mortgage Loan Trust Series 2004-FF2 Class M3, 1.0784% 3/25/34 (o)

23,929

6,875

Ford Credit Auto Lease Trust Series 2010-B Class A3, 0.8% 7/15/13 (h)

14,200,000

14,159,529

Ford Credit Auto Owner Trust:

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

1,175,000

1,193,089

Series 2006-C:

Class B, 5.3% 6/15/12

649,000

665,411

Class D, 6.89% 5/15/13 (h)

915,000

943,118

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

970,000

1,015,271

Series 2009-D:

Class A3, 2.17% 10/15/13

5,400,000

5,460,754

Class A4, 2.98% 8/15/14

4,800,000

4,982,746

Series 2010-B Class A3, 0.98% 10/15/14

9,710,000

9,725,967

Ford Credit Floorplan Master Owner Trust:

Series 2006-4 Class B, 0.8034% 6/15/13 (o)

772,000

763,196

Series 2010-5 Class A1, 1.5% 9/15/15

10,710,000

10,671,073

Franklin Auto Trust:

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

72,000

72,512

Asset-Backed Securities - continued

 

Principal Amount (d)

Value

Franklin Auto Trust: - continued

Series 2007-1:

Class A4, 5.03% 2/16/15

$ 362,301

$ 362,632

Class C, 5.43% 2/16/15

614,000

610,822

Fremont Home Loan Trust:

Series 2005-A:

Class M3, 0.7434% 1/25/35 (o)

948,695

460,117

Class M4, 0.9334% 1/25/35 (o)

363,547

67,983

Series 2006-D Class M1, 0.4834% 11/25/36 (o)

324,000

10,247

GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 0.6675% 2/25/47 (h)(o)

2,892,000

1,735,200

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

2,000,434

1,592,345

GE Business Loan Trust:

Series 2003-1 Class A, 0.6834% 4/15/31 (h)(o)

262,151

230,692

Series 2006-2A:

Class A, 0.4334% 11/15/34 (h)(o)

2,323,910

1,882,367

Class B, 0.5334% 11/15/34 (h)(o)

839,466

528,864

Class C, 0.6334% 11/15/34 (h)(o)

1,395,159

599,918

Class D, 1.0034% 11/15/34 (h)(o)

529,787

127,149

GE Equipment Midticket LLC Series 2006-1 Class B, 0.4034% 9/15/17 (o)

1,151,000

1,138,401

Goal Capital Funding Trust Series 2007-1 Class C1, 0.6894% 6/25/42 (o)

739,000

607,862

GS Auto Loan Trust Series 2007-1:

Class B, 5.53% 12/15/14

46,300

47,134

Class C, 5.74% 12/15/14

93,515

94,737

GSAMP Trust:

Series 2004-AR1:

Class B4, 5% 6/25/34 (h)(o)

239,626

49,305

Class M1, 0.9034% 6/25/34 (o)

2,723,367

1,873,184

Series 2007-HE1 Class M1, 0.5034% 3/25/47 (o)

1,096,059

61,268

GSR Mortgage Loan Trust Series 2006-FM1 Class M3, 0.6034% 4/25/36 (o)

112,751

2,600

Guggenheim Structured Real Estate Funding Ltd.:

Series 2005-1 Class C, 1.3334% 5/25/30 (h)(o)

650,241

331,623

Series 2006-3:

Class B, 0.6534% 9/25/46 (h)(o)

654,930

130,986

Class C, 0.8034% 9/25/46 (h)(o)

1,526,694

229,004

Class E, 1.9034% 9/25/46 (h)(o)

254,633

30,556

Home Equity Asset Trust:

Series 2003-2 Class M1, 1.5734% 8/25/33 (o)

440,992

309,722

Series 2003-3 Class M1, 1.5434% 8/25/33 (o)

798,324

561,844

Series 2003-5 Class A2, 0.9534% 12/25/33 (o)

32,929

19,473

Asset-Backed Securities - continued

 

Principal Amount (d)

Value

Home Equity Asset Trust: - continued

Series 2005-5 Class 2A2, 0.5034% 11/25/35 (o)

$ 115,552

$ 114,411

Series 2006-1 Class 2A3, 0.4784% 4/25/36 (o)

1,556,435

1,505,348

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

250,000

0

Series 2006-8 Class 2A1, 0.3034% 3/25/37 (o)

7,698

7,568

HSBC Home Equity Loan Trust Series 2006-2 Class M2, 0.5434% 3/20/36 (o)

769,613

633,083

HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.4434% 1/25/37 (o)

1,522,035

591,458

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

5,450,000

5,510,724

JPMorgan Mortgage Acquisition Trust:

Series 2006-NC2 Class M2, 0.5534% 7/25/36 (o)

204,000

8,349

Series 2007-CH1:

Class AV4, 0.3834% 11/25/36 (o)

1,520,141

1,255,527

Class MV1, 0.4834% 11/25/36 (o)

1,234,797

738,459

Series 2007-CH3 Class M1, 0.5534% 3/25/37 (o)

573,000

28,627

Keycorp Student Loan Trust:

Series 1999-A Class A2, 0.6194% 12/27/29 (o)

790,689

677,124

Series 2006-A Class 2C, 1.4394% 3/27/42 (o)

3,243,000

544,433

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

2,090,065

2,120,792

Long Beach Mortgage Loan Trust Series 2004-2 Class M2, 1.3334% 6/25/34 (o)

106,647

75,170

Marathon Real Estate CDO Ltd. Series 2006-1A Class B, 0.6834% 5/25/46 (h)(o)

250,000

60,000

Marriott Vacation Club Owner Trust Series 2006-2A:

Class B, 5.442% 10/20/28 (h)

22,764

21,193

Class C, 5.691% 10/20/28 (h)

10,118

8,567

Class D, 6.01% 10/20/28 (h)

120,462

96,155

MASTR Asset Backed Securities Trust:

Series 2006-AM3 Class M1, 0.5134% 10/25/36 (o)

545,328

30,471

Series 2007-HE1 Class M1, 0.5534% 5/25/37 (o)

784,792

39,802

Meritage Mortgage Loan Trust Series 2004-1 Class M1, 1.0034% 7/25/34 (o)

185,677

122,148

Merrill Auto Trust Securitization Series 2007-1 Class B, 5.79% 12/15/13

173,214

174,667

Merrill Lynch Mortgage Investors Trust:

Series 2003-OPT1 Class M1, 0.9034% 7/25/34 (o)

621,161

478,130

Series 2006-FM1 Class A2B, 0.3634% 4/25/37 (o)

2,159,683

1,909,452

Series 2006-MLN1 Class A2A, 0.3234% 7/25/37 (o)

15,799

15,633

Series 2006-OPT1 Class A1A, 0.5134% 6/25/35 (o)

3,244,060

2,586,664

Asset-Backed Securities - continued

 

Principal Amount (d)

Value

Morgan Stanley ABS Capital I Trust:

Series 2004-HE6 Class A2, 0.5934% 8/25/34 (o)

$ 57,368

$ 41,024

Series 2004-NC8 Class M6, 1.5034% 9/25/34 (o)

32,033

17,148

Series 2005-NC1 Class M1, 0.6934% 1/25/35 (o)

399,800

211,833

Series 2005-NC2 Class B1, 1.4234% 3/25/35 (o)

416,362

60,447

Series 2007-HE2 Class M1, 0.5034% 1/25/37 (o)

263,000

7,047

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

Class B1, 1.9669% 8/28/38 (h)(o)

220,000

140,809

Class C1B, 7.696% 8/28/38 (h)

63,000

38,329

National Collegiate Student Loan Trust:

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

9,181,200

1,055,838

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

15,668,831

292,633

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

7,251,000

252,444

Series 2006-3 Class AIO, 7.1% 1/25/12 (q)

37,932,000

2,370,750

Series 2006-4:

Class A1, 0.2834% 3/25/25 (o)

385,106

379,248

Class AIO, 6.35% 2/27/12 (q)

28,242,000

1,918,750

Class D, 1.3534% 5/25/32 (o)

2,481,000

19,352

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

33,769,000

3,005,441

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

24,991,000

2,460,806

New Century Home Equity Loan Trust:

Series 2005-4 Class M2, 0.7634% 9/25/35 (o)

1,426,957

980,972

Series 2005-D Class M2, 0.7234% 2/25/36 (o)

827,339

73,828

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

8,500,000

8,559,071

Nissan Auto Receivables Owner Trust Series 2010-A Class A4, 1.31% 9/15/16

5,950,000

5,947,487

Ocala Funding LLC Series 2006-1A Class A, 1.6534% 3/20/11 (c)(h)(o)

1,176,000

435,120

Option One Mortgage Loan Trust:

Series 2007-5 Class 2A1, 0.3434% 5/25/37 (o)

87,144

84,601

Series 2007-6 Class 2A1, 0.3134% 7/25/37 (o)

180,331

175,337

Park Place Securities, Inc.:

Series 2004-WCW1:

Class M3, 1.5034% 9/25/34 (o)

532,896

253,793

Class M4, 1.7034% 9/25/34 (o)

683,353

166,012

Series 2005-WCH1:

Class M2, 0.7734% 1/25/36 (o)

2,548,346

2,244,683

Class M3, 0.8134% 1/25/36 (o)

478,432

331,745

Class M4, 1.0834% 1/25/36 (o)

1,475,804

598,468

Series 2005-WHQ2:

Class M7, 1.5034% 5/25/35 (o)

1,883,145

55,552

Class M9, 2.1334% 5/25/35 (o)

210,462

668

Asset-Backed Securities - continued

 

Principal Amount (d)

Value

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

Class A2, 4.646% 7/24/39 (h)

$ 387,753

$ 364,488

Class B, 4.846% 7/24/39 (h)

180,000

140,400

Class C, 5.08% 7/24/39 (h)

185,000

118,400

Providian Master Note Trust Series 2006-C1A Class C1, 0.8034% 3/15/15 (h)(o)

3,406,919

3,401,593

Residential Asset Mortgage Products, Inc. Series 2006-EFC2 Class M1, 0.4834% 12/25/36 (o)

566,000

17,267

Residential Asset Securities Corp. Series 2007-KS2 Class AI1, 0.3234% 2/25/37 (o)

451,093

442,996

Resource Real Estate Funding CDO Series 2007-1A Class J, 3.2034% 9/25/46 (h)(o)

250,000

37,500

Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 1.0534% 4/25/33 (o)

5,108

4,466

Saxon Asset Securities Trust Series 2004-1 Class M1, 1.0484% 3/25/35 (o)

1,600,278

1,316,008

Securitized Asset Backed Receivables LLC Trust:

Series 2005-FR4 Class B3, 1.9734% 1/25/36 (o)

96,000

3,167

Series 2006-FR4 Class A2A, 0.3334% 8/25/36 (o)

47,548

21,662

Series 2007-NC1 Class A2A, 0.3034% 12/25/36 (o)

17,397

17,086

Sierra Receivables Funding Co. Series 2007-1A Class A2, 0.4063% 3/20/19 (FGIC Insured) (h)(o)

801,397

753,301

SLM Private Credit Student Loan Trust Series 2004-A Class C, 1.2422% 6/15/33 (o)

1,272,000

74,491

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

656,637

0

Structured Asset Investment Loan Trust Series 2004-8 Class M5, 1.4034% 9/25/34 (o)

72,752

35,676

Structured Asset Securities Corp. Mortgage Loan Trust Series 2007-OSI Class A2, 0.3434% 6/25/37 (o)

1,432,925

1,191,509

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

921,345

948,985

Terwin Mortgage Trust Series 2003-4HE Class A1, 1.1134% 9/25/34 (o)

28,819

20,159

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

Series 2002-1A:

Class IIFX, 6.77% 5/22/37 (h)

349,000

331,550

Class IV, 6.84% 5/22/37 (h)

235,000

152,750

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

111,000

77,700

Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 0.8506% 4/6/42 (h)(o)

2,604,146

130,207

Asset-Backed Securities - continued

 

Principal Amount (d)

Value

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

$ 544,516

$ 562,629

Wachovia Auto Loan Owner Trust Series 2006-2A:

Class B, 5.29% 6/20/12 (h)

96,026

96,281

Class D, 5.54% 12/20/12 (h)

583,000

590,197

Class E, 7.05% 5/20/14 (h)

1,390,000

1,413,350

Wachovia Ltd./Wachovia LLC:

Series 2006-1 Class 1ML, 5.7894% 9/25/26 (h)(o)

400,000

108,000

Series 2006-1A:

Class A1A, 0.5494% 9/25/26 (h)(o)

330,000

273,900

Class A1B, 0.6194% 9/25/26 (h)(o)

705,000

556,978

Class A2A, 0.5094% 9/25/26 (h)(o)

1,186,000

984,380

Class F, 1.4394% 9/25/26 (h)(o)

250,000

140,000

Class G, 1.6394% 9/25/26 (h)(o)

250,000

132,500

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

887,552

0

WaMu Master Note Trust Series 2006-C2A Class C2, 0.7534% 8/15/15 (h)(o)

8,530,177

8,479,358

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

7,576

0

Whinstone Capital Management Ltd. Series 1A Class B3, 2.0884% 10/25/44 (h)(o)

1,789,540

662,130

Wrightwood Capital Real Estate CDO Ltd. Series 2005-1A Class D, 1.1344% 11/21/40 (h)(o)

305,000

76,250

TOTAL ASSET-BACKED SECURITIES

(Cost $308,740,787)

318,126,605

Collateralized Mortgage Obligations - 1.8%

 

Private Sponsor - 1.8%

ABN AMRO Mortgage Corp.:

Series 2003-2 Class B4, 5.3305% 3/25/18 (o)

110,002

66,001

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

203,265

20,326

Arran Residential Mortgages Funding No. 1 PLC floater Series 2006-1A Class DB, 0.7191% 4/12/56 (h)(o)

1,428,375

1,383,404

Banc of America Commercial Mortgage Trust Series 2007-2:

Class B, 5.6987% 4/10/49 (o)

106,000

26,248

Class C, 5.6987% 4/10/49 (o)

281,000

48,619

Class D, 5.6987% 4/10/49 (o)

141,000

21,491

Banc of America Large Loan, Inc. Series 2005-MIB1 Class A2, 0.4634% 3/15/22 (h)(o)

933,056

903,967

Collateralized Mortgage Obligations - continued

 

Principal Amount (d)

Value

Private Sponsor - continued

Banc of America Mortgage Securities, Inc.:

Series 2003-L Class 2A1, 3.4944% 1/25/34 (o)

$ 1,999,238

$ 1,845,654

Series 2004-1 Class 2A2, 3.2348% 10/25/34 (o)

2,174,218

1,938,327

Series 2004-A Class 2A2, 3.516% 2/25/34 (o)

1,215,391

1,072,544

Series 2004-B:

Class 1A1, 2.9237% 3/25/34 (o)

143,553

123,757

Class 2A2, 3.0591% 3/25/34 (o)

5,782,087

5,491,147

Series 2004-D Class 2A2, 2.957% 5/25/34 (o)

1,932,876

1,754,614

Series 2004-G Class 2A7, 2.9642% 8/25/34 (o)

1,759,292

1,557,245

Series 2004-H Class 2A1, 3.1633% 9/25/34 (o)

1,577,496

1,402,917

Bayview Commercial Asset Trust Series 2006-3A Class IO, 3.2127% 10/25/36 (h)(o)(q)

11,716,610

898,664

Bear Stearns ALT-A Trust floater Series 2005-1 Class A1, 0.5334% 1/25/35 (o)

2,210,029

1,774,220

Bear Stearns Commercial Mortgage Securities Trust:

Series 2006-BBA7 Class C, 0.4934% 3/15/19 (h)(o)

350,000

299,688

Series 2006-T24 Class X2, 0.4274% 10/12/41 (h)(o)(q)

3,690,559

46,002

Chase Mortgage Finance Trust:

Series 2007-A1 Class 1A5, 3.1105% 2/25/37 (o)

1,556,757

1,513,581

Series 2007-A2 Class 2A1, 3.1848% 7/25/37 (o)

367,706

365,989

Citigroup Commercial Mortgage Trust Series 2008-C7 Class A2B, 6.0905% 12/10/49 (o)

1,902,000

2,023,629

Citigroup Mortgage Loan Trust Series 2004-UST1 Class A4, 2.5181% 8/25/34 (o)

1,424,823

1,421,274

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

2,125,000

488,750

COMM pass-thru certificates floater Series 2001-J2A Class A2F, 0.7534% 7/16/34 (h)(o)

1,902,000

1,897,450

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

78,237

0

Countrywide Home Loans, Inc.:

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

67,928

8,151

Series 2003-35 Class B, 4.6393% 9/25/18 (o)

114,058

9,125

Credit Suisse First Boston Mortgage Securities Corp.:

floater Series 2007-AR7 Class 2A1, 2.9126% 11/25/34 (o)

1,262,366

1,162,542

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

299,339

53,881

Series 2004-3 Class DB4, 5.8279% 4/25/34 (o)

75,124

1,878

CWALT, Inc.:

floater Series 2005-56:

Class 1A1, 0.9834% 11/25/35 (o)

34,245,180

19,402,079

Collateralized Mortgage Obligations - continued

 

Principal Amount (d)

Value

Private Sponsor - continued

CWALT, Inc.: - continued

floater Series 2005-56:

Class 2A3, 1.8525% 11/25/35 (o)

$ 8,311,982

$ 4,603,336

Series 2005-56:

Class 4A1, 0.5634% 11/25/35 (o)

6,733,460

3,857,919

Class 5A1, 0.5734% 11/25/35 (o)

9,962,032

5,281,643

First Horizon Mortgage pass-thru Trust Series 2004-AR5 Class 2A1, 2.8756% 10/25/34 (o)

1,872,212

1,775,849

Fosse Master Issuer PLC floater Series 2006-1A:

Class B2, 0.4491% 10/18/54 (h)(o)

3,491,000

3,439,682

Class C2, 0.7591% 10/18/54 (h)(o)

1,170,000

1,146,600

Class M2, 0.5391% 10/18/54 (h)(o)

2,005,000

1,967,707

FREMF Mortgage Trust:

Series 2010 K7 Class B, 5.4343% 4/25/20 (h)(o)

300,000

273,000

Series 2010-K6 Class B, 5.3575% 12/26/46 (h)(o)

550,000

472,604

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

254,201

636

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

105,539

10,554

Gracechurch Mortgage Financing PLC floater Series 2006-1 Class D2, 0.7544% 11/20/56 (h)(o)

2,852,000

2,738,753

Gracechurch Mortgage Funding PLC floater Series 1A Class DB, 0.7591% 10/11/41 (h)(o)

3,114,000

3,093,697

Granite Master Issuer PLC floater:

Series 2005-4 Class C2, 1.3534% 12/20/54 (o)

205,017

105,584

Series 2006-1A Class C2, 0.8534% 12/20/54 (h)(o)

6,523,000

3,383,806

Series 2006-2 Class C1, 0.7234% 12/20/54 (o)

5,398,000

2,941,910

Series 2006-3 Class C2, 0.7534% 12/20/54 (o)

1,124,000

618,985

Series 2006-4:

Class B1, 0.3434% 12/20/54 (o)

4,521,000

3,565,939

Class C1, 0.6334% 12/20/54 (o)

2,767,000

1,435,381

Class M1, 0.4234% 12/20/54 (o)

1,190,000

818,125

Series 2007-1:

Class 1C1, 0.8534% 12/20/54 (o)

2,234,000

1,217,530

Class 1M1, 0.5534% 12/20/54 (o)

1,493,000

1,022,705

Class 2C1, 1.2134% 12/20/54 (o)

1,015,000

553,175

Class 2M1, 0.7534% 12/20/54 (o)

1,917,000

1,313,145

Series 2007-2 Class 2C1, 0.6834% 12/17/54 (o)

2,654,000

1,366,810

Granite Mortgages PLC floater Series 2003-3 Class 1C, 2.7391% 1/20/44 (o)

430,241

292,707

GSR Mortgage Loan Trust:

floater Series 2007-AR1 Class 6A1, 4.7578% 3/25/37 (o)

9,186,447

9,024,196

Collateralized Mortgage Obligations - continued

 

Principal Amount (d)

Value

Private Sponsor - continued

GSR Mortgage Loan Trust: - continued

Series 2007-AR2 Class 2A1, 3.0969% 4/25/35 (o)

$ 765,138

$ 663,508

Harborview Mortgage Loan Trust floater Series 2005-2 Class 2A1A, 0.4734% 5/19/35 (o)

376,897

237,036

JPMorgan Chase Commercial Mortgage Securities Trust Series 2007-CB18:

Class A1, 5.32% 6/12/47 (o)

107,298

109,295

Class A3, 5.447% 6/12/47 (o)

3,606,000

3,753,038

JPMorgan Mortgage Trust:

sequential payer Series 2006-A5 Class 3A5, 5.9132% 8/25/36 (o)

2,600,000

2,159,011

Series 2004-A3 Class 4A1, 4.2989% 7/25/34 (o)

1,778,080

1,728,571

Series 2004-A5 Class 2A1, 2.6088% 12/25/34 (o)

1,973,780

1,811,736

Series 2006-A2 Class 5A1, 3.0784% 11/25/33 (o)

3,175,710

3,017,831

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

22,425

22,574

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

857,000

919,131

Luminent Mortgage Trust:

floater Series 2006-1 Class A1, 0.4934% 4/25/36 (o)

18,258,447

10,203,383

Series 2006-5 Class A1A, 0.4434% 7/25/36 (o)

14,091,954

7,733,363

MASTR Adjustable Rate Mortgages Trust Series 2007-3 Class 22A2, 0.4634% 5/25/47 (o)

3,424,710

2,152,038

MASTR Asset Backed Securities Trust Series 2006-NC3 Class M1, 0.4834% 10/25/36 (o)

547,000

2,428

Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.4234% 2/25/37 (o)

8,178,665

5,553,427

Merrill Lynch Floating Trust floater Series 2006-1:

Class B, 0.423% 6/15/22 (h)(o)

251,984

228,046

Class C, 0.443% 6/15/22 (h)(o)

1,559,607

1,341,262

Class D, 0.453% 6/15/22 (h)(o)

600,006

504,005

Class E, 0.463% 6/15/22 (h)(o)

959,771

787,012

Class F, 0.493% 6/15/22 (h)(o)

1,545,171

1,236,137

Class G, 0.563% 6/15/22 (h)(o)

359,765

280,617

Class H, 0.583% 6/15/22 (h)(o)

720,211

554,562

Class J, 0.623% 6/15/22 (h)(o)

840,246

604,977

Class TM, 0.753% 6/15/22 (h)(o)

1,670,468

1,539,003

Merrill Lynch Mortgage Investors Trust:

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

930,000

940,881

Series 2004-A4 Class A1, 2.7858% 8/25/34 (o)

2,236,991

2,137,995

Series 2005-A2 Class A7, 2.7997% 2/25/35 (o)

1,793,117

1,657,497

Collateralized Mortgage Obligations - continued

 

Principal Amount (d)

Value

Private Sponsor - continued

Merrill Lynch Mortgage Investors Trust: - continued

Series 2006-A6 Class A4, 3.1798% 10/25/33 (o)

$ 1,572,860

$ 1,491,740

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

101,000

103,956

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

8,143,000

8,693,327

Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 0.5434% 7/25/35 (o)

2,372,339

1,920,282

Option One Mortgage Loan Trust floater Series 2007-CP1 Class M1, 0.5534% 3/25/37 (o)

2,994,072

191,997

Provident Funding Mortgage Loan Trust Series 2005-2 Class 3A, 2.86% 10/25/35 (o)

3,435,077

2,987,727

RESI Finance LP/RESI Finance DE Corp. floater Series 2003-B:

Class B5, 2.6034% 7/10/35 (h)(o)

1,872,741

1,300,057

Class B6, 3.1034% 7/10/35 (h)(o)

417,553

264,562

Residential Accredit Loans, Inc. floater Series 2005-QO5 Class A1, 1.3525% 1/25/46 (o)

14,675,219

7,830,020

Residential Asset Mortgage Products, Inc. sequential payer:

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

1,055,778

1,089,137

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

69,864

68,158

Residential Funding Securities Corp. floater Series 2003-RP2 Class A1, 0.7034% 6/25/33 (h)(o)

461,331

395,189

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

268,000

267,317

Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 1.1948% 7/20/34 (o)

40,176

29,195

Structured Asset Mortgage Investments, Inc. floater Series 2006-AR6 Class 2A1, 0.4434% 7/25/46 (o)

28,599,682

17,187,657

Structured Asset Securities Corp.:

Series 2003-15A Class 4A, 5.3791% 4/25/33 (o)

647,173

638,444

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

548,633

561,252

TBW Mortgage-Backed pass-thru certificates floater Series 2006-4 Class A3, 0.4563% 9/25/36 (o)

3,273,627

1,812,948

WaMu Mortgage pass-thru certificates:

Series 2003-AR8 Class A, 2.719% 8/25/33 (o)

1,143,548

1,066,188

Series 2005-AR3 Class A2, 2.7245% 3/25/35 (o)

3,045,280

2,667,768

Wells Fargo Mortgage Backed Securities Trust:

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

205,531

41,106

Series 2004-EE Class 2A2, 2.8648% 12/25/34 (o)

1,008,402

958,616

Series 2004-H Class A1, 4.5322% 6/25/34 (o)

1,975,755

1,932,083

Collateralized Mortgage Obligations - continued

 

Principal Amount (d)

Value

Private Sponsor - continued

Wells Fargo Mortgage Backed Securities Trust: - continued

Series 2004-W Class A9, 2.7879% 11/25/34 (o)

$ 3,483,000

$ 3,355,661

Series 2005-AR10 Class 2A2, 2.874% 6/25/35 (o)

2,423,400

2,351,883

Series 2005-AR12:

Class 2A5, 2.8758% 7/25/35 (o)

9,260,000

8,787,726

Class 2A6, 2.8758% 7/25/35 (o)

1,051,362

978,287

Series 2005-AR2:

Class 1A2, 2.8589% 3/25/35 (o)

3,667,507

2,163,286

Class 2A2, 2.8576% 3/25/35 (o)

2,960,764

2,772,374

Series 2005-AR3 Class 2A1, 2.8796% 3/25/35 (o)

1,731,853

1,562,662

TOTAL PRIVATE SPONSOR

232,694,111

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

350,912

379,969

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $196,529,344)

233,074,080

Commercial Mortgage Securities - 6.4%

 

Asset Securitization Corp.:

Series 1996-D2 Class B1A, 8.627% 2/14/29 (h)(o)

800,000

814,160

Series 1997-D4:

Class B1, 7.525% 4/14/29

210,000

218,183

Class B2, 7.525% 4/14/29

1,498,104

1,539,757

Class B5, 7.525% 4/14/29

129,000

95,541

Series 1997-D5:

Class A2, 6.8147% 2/14/43 (o)

1,399,000

1,502,795

Class A3, 6.8647% 2/14/43 (o)

1,510,000

1,621,105

Class A5, 6.9347% 2/14/43 (o)

256,000

274,838

Class A6, 7.1847% 2/14/43 (o)

2,470,000

2,644,447

Class A7, 7.4247% 2/14/43 (o)

820,000

868,507

Class PS1, 1.3859% 2/14/43 (o)(q)

5,753,474

152,906

Banc of America Commercial Mortgage Trust:

sequential payer:

Series 2006-2 Class AAB, 5.722% 5/10/45 (o)

2,221,000

2,399,014

Series 2006-5:

Class A1, 5.185% 9/10/47

691,620

693,290

Class A2, 5.317% 9/10/47

7,342,000

7,557,676

Commercial Mortgage Securities - continued

 

Principal Amount (d)

Value

Banc of America Commercial Mortgage Trust: - continued

Series 2006-5:

Class A3, 5.39% 9/10/47

$ 2,653,000

$ 2,860,610

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

3,804,000

3,971,281

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

408,285

417,556

Series 2007-4 Class A3, 5.8083% 2/10/51 (o)

1,897,000

2,002,184

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

1,098,000

206,532

Series 2007-3:

Class A3, 5.6579% 6/10/49 (o)

3,176,000

3,341,436

Class A4, 5.6579% 6/10/49 (o)

3,965,000

4,090,765

Series 2008-1 Class D, 6.1942% 2/10/51 (h)(o)

125,000

41,082

Banc of America Commercial Mortgage, Inc.:

sequential payer:

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

4,166,000

4,379,183

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

415,000

427,984

Series 2004-2:

Class A3, 4.05% 11/10/38

626,686

637,201

Class A4, 4.153% 11/10/38

2,412,000

2,480,754

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

3,426,451

3,439,406

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

826,059

825,640

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

4,040,000

4,131,973

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

1,472,000

1,469,637

Series 2001-PB1:

Class J, 7.166% 5/11/35 (h)

474,000

463,304

Class K, 6.15% 5/11/35 (h)

885,000

822,354

Series 2003-1 Class G, 5.608% 9/11/36 (h)

310,000

301,561

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

185,000

144,446

Series 2004-4:

Class K, 4.637% 7/10/42 (h)(o)

300,000

1,500

Class L, 4.637% 7/10/42 (h)(o)

280,000

1,400

Series 2004-5 Class G, 5.3152% 11/10/41 (h)(o)

195,000

129,144

Series 2005-1 Class CJ, 5.1815% 11/10/42 (o)

550,000

554,905

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

5,908,000

6,264,103

Series 2005-6 Class AJ, 5.19% 9/10/47 (o)

300,000

294,746

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

1,146,000

589,545

Banc of America Large Loan, Inc. floater:

Series 2005-MIB1:

Class B, 0.5134% 3/15/22 (h)(o)

390,000

371,904

Class C, 0.5634% 3/15/22 (h)(o)

817,000

727,130

Class D, 0.6134% 3/15/22 (h)(o)

826,000

702,100

Class E, 0.6534% 3/15/22 (h)(o)

684,000

571,140

Class F, 0.7234% 3/15/22 (h)(o)

615,784

491,088

Class G, 0.7834% 3/15/22 (h)(o)

399,119

279,383

Commercial Mortgage Securities - continued

 

Principal Amount (d)

Value

Banc of America Large Loan, Inc. floater: - continued

Series 2005-MIB1:

Class J, 1.3034% 3/15/22 (h)(o)

$ 288,000

$ 184,320

Class K, 2.2534% 3/15/22 (h)(o)

288,000

158,400

Series 2006-BIX1:

Class C, 0.4334% 10/15/19 (h)(o)

1,222,000

1,132,183

Class D, 0.4634% 10/15/19 (h)(o)

1,494,000

1,342,957

Class E, 0.4934% 10/15/19 (h)(o)

1,385,000

1,220,462

Class F, 0.5634% 10/15/19 (h)(o)

3,150,730

2,688,833

Class G, 0.5834% 10/15/19 (h)(o)

1,245,579

987,869

Bayview Commercial Asset Trust:

floater:

Series 2003-2 Class M1, 1.1034% 12/25/33 (h)(o)

78,776

54,355

Series 2004-1:

Class A, 0.6134% 4/25/34 (h)(o)

1,358,061

1,086,449

Class B, 2.1534% 4/25/34 (h)(o)

152,258

70,039

Class M1, 0.8134% 4/25/34 (h)(o)

122,246

79,460

Class M2, 1.4534% 4/25/34 (h)(o)

112,939

62,116

Series 2004-2:

Class A, 0.6834% 8/25/34 (h)(o)

1,119,272

928,996

Class M1, 0.8334% 8/25/34 (h)(o)

188,405

128,115

Series 2004-3:

Class A1, 0.6234% 1/25/35 (h)(o)

2,516,214

2,000,390

Class A2, 0.6734% 1/25/35 (h)(o)

361,074

259,973

Class M1, 0.7534% 1/25/35 (h)(o)

434,357

299,706

Class M2, 1.2534% 1/25/35 (h)(o)

201,271

130,826

Series 2005-2A:

Class A1, 0.5634% 8/25/35 (h)(o)

1,910,571

1,530,368

Class M1, 0.6834% 8/25/35 (h)(o)

95,149

52,988

Class M2, 0.7334% 8/25/35 (h)(o)

156,931

84,115

Class M3, 0.7534% 8/25/35 (h)(o)

86,826

44,090

Class M4, 0.8634% 8/25/35 (h)(o)

79,703

39,054

Series 2005-3A:

Class A1, 0.5734% 11/25/35 (h)(o)

707,828

545,523

Class A2, 0.6534% 11/25/35 (h)(o)

701,455

519,077

Class M1, 0.6934% 11/25/35 (h)(o)

83,718

46,664

Class M2, 0.7434% 11/25/35 (h)(o)

106,289

53,889

Class M3, 0.7634% 11/25/35 (h)(o)

95,127

44,843

Class M4, 0.8534% 11/25/35 (h)(o)

118,519

53,784

Series 2005-4A:

Class A2, 0.6434% 1/25/36 (h)(o)

1,631,738

1,125,899

Class B1, 1.6534% 1/25/36 (h)(o)

141,010

49,353

Class M1, 0.7034% 1/25/36 (h)(o)

526,367

278,975

Commercial Mortgage Securities - continued

 

Principal Amount (d)

Value

Bayview Commercial Asset Trust: - continued

floater:

Series 2005-4A:

Class M2, 0.7234% 1/25/36 (h)(o)

$ 157,910

$ 78,955

Class M3, 0.7534% 1/25/36 (h)(o)

230,616

106,083

Class M4, 0.8634% 1/25/36 (h)(o)

127,543

52,293

Class M5, 0.9034% 1/25/36 (h)(o)

127,543

49,742

Class M6, 0.9534% 1/25/36 (h)(o)

135,465

50,122

Series 2006-1:

Class A2, 0.6134% 4/25/36 (h)(o)

250,302

177,564

Class M1, 0.6334% 4/25/36 (h)(o)

89,523

41,709

Class M2, 0.6534% 4/25/36 (h)(o)

94,586

40,795

Class M3, 0.6734% 4/25/36 (h)(o)

81,384

32,253

Class M4, 0.7734% 4/25/36 (h)(o)

46,118

16,662

Class M5, 0.8134% 4/25/36 (h)(o)

44,761

15,599

Class M6, 0.8934% 4/25/36 (h)(o)

89,251

29,444

Series 2006-2A:

Class A1, 0.4834% 7/25/36 (h)(o)

4,497,699

3,474,473

Class A2, 0.5334% 7/25/36 (h)(o)

222,517

157,052

Class B1, 1.1234% 7/25/36 (h)(o)

83,313

23,119

Class B3, 2.9534% 7/25/36 (h)(o)

125,874

28,737

Class M1, 0.5634% 7/25/36 (h)(o)

233,467

123,737

Class M2, 0.5834% 7/25/36 (h)(o)

164,722

68,854

Class M3, 0.6034% 7/25/36 (h)(o)

136,633

53,014

Class M4, 0.6734% 7/25/36 (h)(o)

92,263

33,556

Class M5, 0.7234% 7/25/36 (h)(o)

113,401

38,545

Class M6, 0.7934% 7/25/36 (h)(o)

169,197

50,150

Series 2006-3A:

Class B1, 1.0534% 10/25/36 (h)(o)

150,215

31,545

Class B2, 1.6034% 10/25/36 (h)(o)

108,344

18,419

Class B3, 2.8534% 10/25/36 (h)(o)

176,312

24,684

Class M4, 0.6834% 10/25/36 (h)(o)

166,015

66,406

Class M5, 0.7334% 10/25/36 (h)(o)

198,744

69,560

Class M6, 0.8134% 10/25/36 (h)(o)

389,023

108,927

Series 2006-4A:

Class A1, 0.4834% 12/25/36 (h)(o)

860,337

669,256

Class A2, 0.5234% 12/25/36 (h)(o)

4,377,616

3,080,528

Class B1, 0.9534% 12/25/36 (h)(o)

133,849

33,609

Class B2, 1.5034% 12/25/36 (h)(o)

136,432

30,042

Class B3, 2.7034% 12/25/36 (h)(o)

232,334

48,674

Class M1, 0.5434% 12/25/36 (h)(o)

280,034

128,256

Class M2, 0.5634% 12/25/36 (h)(o)

186,689

78,391

Class M3, 0.5934% 12/25/36 (h)(o)

189,300

74,490

Commercial Mortgage Securities - continued

 

Principal Amount (d)

Value

Bayview Commercial Asset Trust: - continued

floater:

Series 2006-4A:

Class M4, 0.6534% 12/25/36 (h)(o)

$ 226,508

$ 84,238

Class M5, 0.6934% 12/25/36 (h)(o)

208,230

65,884

Class M6, 0.7734% 12/25/36 (h)(o)

186,689

52,908

Series 2007-1:

Class A2, 0.5234% 3/25/37 (h)(o)

960,212

643,342

Class B1, 0.9234% 3/25/37 (h)(o)

305,503

58,046

Class B2, 1.4034% 3/25/37 (h)(o)

221,505

39,871

Class B3, 3.6034% 3/25/37 (h)(o)

606,523

84,913

Class M1, 0.5234% 3/25/37 (h)(o)

268,807

134,403

Class M2, 0.5434% 3/25/37 (h)(o)

200,768

80,307

Class M3, 0.5734% 3/25/37 (h)(o)

178,054

62,319

Class M4, 0.6234% 3/25/37 (h)(o)

143,098

45,791

Class M5, 0.6734% 3/25/37 (h)(o)

223,379

64,780

Class M6, 0.7534% 3/25/37 (h)(o)

312,745

71,931

Series 2007-2A:

Class A1, 0.5234% 7/25/37 (h)(o)

856,455

625,213

Class A2, 0.5734% 7/25/37 (h)(o)

800,242

400,121

Class B1, 1.8534% 7/25/37 (h)(o)

246,452

32,039

Class B2, 2.5034% 7/25/37 (h)(o)

213,372

23,471

Class B3, 3.6034% 7/25/37 (h)(o)

239,893

23,989

Class M1, 0.6234% 7/25/37 (h)(o)

281,000

89,920

Class M2, 0.6634% 7/25/37 (h)(o)

153,550

36,084

Class M3, 0.7434% 7/25/37 (h)(o)

155,691

31,138

Class M4, 0.9034% 7/25/37 (h)(o)

307,387

55,330

Class M5, 1.0034% 7/25/37 (h)(o)

270,968

43,355

Class M6, 1.2534% 7/25/37 (h)(o)

343,569

49,818

Series 2007-3:

Class A2, 0.5434% 7/25/37 (h)(o)

893,891

571,464

Class B1, 1.2034% 7/25/37 (h)(o)

217,266

48,255

Class B2, 1.8534% 7/25/37 (h)(o)

543,699

94,332

Class B3, 4.2534% 7/25/37 (h)(o)

288,835

44,018

Class M1, 0.5634% 7/25/37 (h)(o)

194,145

88,938

Class M2, 0.5934% 7/25/37 (h)(o)

208,088

74,329

Class M3, 0.6234% 7/25/37 (h)(o)

327,895

106,336

Class M4, 0.7534% 7/25/37 (h)(o)

514,844

152,136

Class M5, 0.8534% 7/25/37 (h)(o)

267,049

74,480

Class M6, 1.0534% 7/25/37 (h)(o)

203,632

46,163

Series 2007-4A:

Class B1, 2.8034% 9/25/37 (h)(o)

326,004

22,820

Class B2, 3.7034% 9/25/37 (h)(o)

1,186,108

71,166

Commercial Mortgage Securities - continued

 

Principal Amount (d)

Value

Bayview Commercial Asset Trust: - continued

floater:

Series 2007-4A:

Class M1, 1.2034% 9/25/37 (h)(o)

$ 313,477

$ 65,830

Class M2, 1.3034% 9/25/37 (h)(o)

313,477

53,291

Class M4, 1.8534% 9/25/37 (h)(o)

801,768

104,230

Class M5, 2.0034% 9/25/37 (h)(o)

801,768

84,186

Class M6, 2.2034% 9/25/37 (h)(o)

803,325

72,299

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

4,362,410

141,778

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

10,469,998

1,125,525

Bear Stearns Commercial Mortgage Securities, Inc. Series 2006-PW11 Class AJ, 5.456% 3/11/39 (o)

450,000

407,735

Bear Stearns Commercial Mortgage Securities Trust:

floater:

Series 2006-BBA7:

Class D, 0.5134% 3/15/19 (h)(o)

200,000

165,260

Class E, 0.5734% 3/15/19 (h)(o)

365,000

293,573

Class F, 0.5934% 3/15/19 (h)(o)

160,000

125,102

Class G, 0.6934% 3/15/19 (h)(o)

1,020,386

744,043

Class H, 0.9034% 3/15/19 (h)(o)

541,917

301,098

Class J, 1.1034% 3/15/19 (h)(o)

407,118

212,722

Series 2007-BBA8:

Class D, 0.5034% 3/15/22 (h)(o)

655,330

471,838

Class E, 0.5534% 3/15/22 (h)(o)

3,607,157

2,416,795

Class F, 0.6034% 3/15/22 (h)(o)

2,235,922

1,386,272

Class G, 0.6534% 3/15/22 (h)(o)

537,549

306,403

Class H, 0.8034% 3/15/22 (h)(o)

655,330

327,665

Class J, 0.9534% 3/15/22 (h)(o)

655,330

275,239

sequential payer:

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

591,487

601,399

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

1,208,800

1,230,366

Series 2006-PW14 Class AM, 5.243% 12/11/38

600,000

592,865

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

1,405,658

1,424,230

Series 2007-PW16 Class A4, 5.717% 6/11/40 (o)

1,112,000

1,183,873

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

828,567

842,638

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

460,977

473,780

Series 1999-C1:

Class G, 5.64% 2/14/31 (h)

70,000

63,987

Class I, 5.64% 2/14/31 (h)

205,000

66,597

Series 2003-PWR2 Class X2, 0.5307% 5/11/39 (h)(o)(q)

13,423,075

59,063

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

6,714,000

7,101,905

Series 2006-PW14 Class X2, 0.6529% 12/11/38 (h)(o)(q)

25,773,245

421,462

Commercial Mortgage Securities - continued

 

Principal Amount (d)

Value

Bear Stearns Commercial Mortgage Securities Trust: - continued

floater:

Series 2006-T22:

Class A4, 5.5118% 4/12/38 (o)

$ 237,000

$ 259,736

Class B, 5.5118% 4/12/38 (h)(o)

200,000

152,380

Series 2007-BBA8:

Class K, 1.4534% 3/15/22 (h)(o)

120,000

38,400

Class L, 2.1534% 3/15/22 (h)(o)

253,568

68,463

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

352,965

358,948

Series 2007-PW16:

Class B, 5.717% 6/11/40 (h)(o)

304,000

130,590

Class C, 5.717% 6/11/40 (h)(o)

255,000

98,715

Class D, 5.717% 6/11/40 (h)(o)

255,000

87,892

Series 2007-PW18 Class X2, 0.3205% 6/11/50 (h)(o)(q)

177,669,388

2,286,676

Series 2007-T28:

Class A1, 5.422% 9/11/42

239,932

246,132

Class X2, 0.1749% 9/11/42 (h)(o)(q)

81,712,551

652,213

C-BASS Trust floater Series 2006-SC1 Class A, 0.5234% 5/25/36 (h)(o)

903,181

693,827

CDC Commercial Mortgage Trust Series 2002-FX1:

Class G, 6.625% 5/15/35 (h)

2,235,000

2,398,138

Class XCL, 2.1162% 5/15/35 (h)(o)(q)

24,656,763

567,401

Chase Commercial Mortgage Securities Corp.:

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

800,000

605,853

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

489,102

96,598

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

290,000

299,316

Citigroup Commercial Mortgage Trust:

floater:

Series 2006-FL2:

Class F, 0.5634% 8/15/21 (h)(o)

678,000

632,723

Class G, 0.5834% 8/15/21 (h)(o)

542,222

471,988

Class H, 0.6234% 8/15/21 (h)(o)

433,548

355,869

Series 2007-FL3A:

Class MLA1, 1.0534% 4/15/22 (h)(o)

232,363

198,774

Classs MLA2, 1.3034% 4/15/22 (h)(o)

102,753

87,743

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

9,955,000

10,555,096

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

3,183,422

2,960,197

Series 2007-C6:

Class A1, 5.622% 12/10/49 (o)

9,841,062

9,907,699

Class A4, 5.6985% 12/10/49 (o)

5,830,000

6,184,788

Series 2007-FL3A Class A2, 0.3934% 4/15/22 (h)(o)

6,878,000

6,175,222

Commercial Mortgage Securities - continued

 

Principal Amount (d)

Value

Citigroup/Deutsche Bank Commercial Mortgage Trust:

sequential payer Series 2007-CD4:

Class A1, 4.977% 12/11/49

$ 251,992

$ 253,649

Class A2A, 5.237% 12/11/49

11,693,000

11,935,675

Class A4, 5.322% 12/11/49

14,623,000

15,042,506

Series 2007-CD4:

Class A3, 5.293% 12/11/49

1,852,000

1,912,160

Class C, 5.476% 12/11/49

3,581,000

644,580

Claregold Trust Series 2007-2A:

Class F, 5.01% 5/15/44 (h)(o)

CAD

138,000

74,196

Class G, 5.01% 5/15/44 (h)(o)

CAD

30,000

14,512

Class H, 5.01% 5/15/44 (h)(o)

CAD

20,000

8,189

Class J, 5.01% 5/15/44 (h)(o)

CAD

20,000

7,475

Class K, 5.01% 5/15/44 (h)(o)

CAD

10,000

3,140

Class L, 5.01% 5/15/44 (h)(o)

CAD

36,000

10,404

Class M, 5.01% 5/15/44 (h)(o)

CAD

165,000

44,011

Cobalt CMBS Commercial Mortgage Trust:

sequential payer Series 2007-C3 Class A3, 5.818% 5/15/46 (o)

1,902,000

2,034,470

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

5,706,000

1,426,500

COMM pass-thru certificates:

floater:

Series 2005-F10A:

Class B, 0.4834% 4/15/17 (h)(o)

5,171,000

4,653,900

Class C, 0.5234% 4/15/17 (h)(o)

1,531,000

1,331,970

Class D, 0.5634% 4/15/17 (h)(o)

950,056

793,297

Class E, 0.6234% 4/15/17 (h)(o)

802,445

641,956

Class F, 0.6634% 4/15/17 (h)(o)

171,562

125,240

Class G, 0.8034% 4/15/17 (h)(o)

171,562

114,947

Class H, 0.8734% 4/15/17 (h)(o)

171,562

97,790

Class J, 1.1034% 4/15/17 (h)(o)

131,565

61,836

Series 2005-FL11:

Class B, 0.5034% 11/15/17 (h)(o)

176,254

169,204

Class C, 0.5534% 11/15/17 (h)(o)

1,451,600

1,364,504

Class D, 0.5934% 11/15/17 (h)(o)

75,490

69,451

Class E, 0.6434% 11/15/17 (h)(o)

268,371

238,851

Class F, 0.7034% 11/15/17 (h)(o)

185,934

159,903

Class G, 0.7534% 11/15/17 (h)(o)

128,880

104,393

Series 2006-FL12 Class AJ, 0.3834% 12/15/20 (h)(o)

2,710,000

2,357,700

sequential payer:

Series 2003-LB1A Class D, 4.278% 6/10/38

550,000

542,290

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

18,978

18,967

Commercial Mortgage Securities - continued

 

Principal Amount (d)

Value

COMM pass-thru certificates: - continued

sequential payer:

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

$ 5,420,000

$ 5,631,525

Series 2006-CN2A:

Class A2FX, 5.449% 2/5/19 (h)

3,306,000

3,309,275

Class AJFX, 5.478% 2/5/19 (h)

5,750,000

5,693,323

Series 2007-C9 Class A4, 5.8145% 12/10/49 (o)

4,209,000

4,525,499

Series 2001-J1A Class F, 6.958% 2/16/34 (h)

600,000

601,458

Series 2001-J2A Class F, 7.0306% 7/16/34 (h)(o)

199,000

174,580

Series 2004-LBN2 Class X2, 0.8517% 3/10/39 (h)(o)(q)

3,239,345

6,989

Series 2006-C8:

Class B, 5.44% 12/10/46

3,294,000

933,382

Class XP, 0.4812% 12/10/46 (o)(q)

20,651,829

276,125

Commercial Mortgage Acceptance Corp.:

Series 1998-C1:

Class F, 6.23% 7/15/31 (h)

94,994

96,923

Class G, 6.21% 7/15/31 (h)

554,000

564,792

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

204,930

209,721

Commercial Mortgage Asset Trust:

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

550,000

466,688

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

302,000

286,421

Credit Suisse Commercial Mortgage Trust:

sequential payer:

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

17,590,000

18,574,440

Series 2007-C2:

Class A1, 5.269% 1/15/49

17,830

17,847

Class A2, 5.448% 1/15/49 (o)

10,150,000

10,375,424

Class A3, 5.542% 1/15/49 (o)

3,804,000

3,909,722

Series 2007-C3 Class A4, 5.721% 6/15/39 (o)

1,144,000

1,182,804

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

10,824,000

11,567,252

Series 2006-C5 Class ASP, 0.6706% 12/15/39 (o)(q)

13,910,240

236,893

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

1,722,000

1,767,889

Credit Suisse First Boston Mortgage Capital Certificates floater Series 2007-TF2A Class B, 0.6034% 4/15/22 (h)(o)

6,783,000

3,730,650

Credit Suisse First Boston Mortgage Securities Corp.:

floater Series 2006-TF2A Class KER, 0.8534% 9/15/21 (h)(o)

270,225

211,213

sequential payer:

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

1,902,000

1,970,296

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

127,772

129,660

Commercial Mortgage Securities - continued

 

Principal Amount (d)

Value

Credit Suisse First Boston Mortgage Securities Corp.: - continued

sequential payer:

Series 2004-C1:

Class A3, 4.321% 1/15/37

$ 382,189

$ 386,341

Class A4, 4.75% 1/15/37

884,000

932,425

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

929,000

1,018,942

Series 1998-C1:

Class D, 7.17% 5/17/40

36,375

36,448

Class F, 6% 5/17/40 (h)

659,000

655,468

Class H, 6% 5/17/40 (h)

130,000

11,631

Series 1998-C2 Class F, 6.75% 11/11/30 (h)

470,000

505,728

Series 2001-CK6 Class AX, 0.8917% 8/15/36 (o)(q)

4,937,708

28,366

Series 2001-CKN5 Class AX, 1.963% 9/15/34 (h)(o)(q)

14,358,710

112,641

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

230,000

223,569

Series 2003-C3:

Class D, 4.131% 5/15/38

120,000

118,761

Class J, 4.231% 5/15/38 (h)

300,000

199,246

Series 2006-C1 Class A3, 5.5465% 2/15/39 (o)

10,043,000

10,641,486

Credit Suisse Mortgage Capital Certificates:

floater Series 2007-TFL1:

Class B, 0.4034% 2/15/22 (h)(o)

721,000

497,490

Class C:

0.4234% 2/15/22 (h)(o)

1,864,711

1,100,179

0.5234% 2/15/22 (h)(o)

665,993

319,677

Class F, 0.5734% 2/15/22 (h)(o)

1,331,815

572,680

Class L, 2.1534% 2/15/22 (h)(o)

100,000

2,000

sequential payer Series 2007-C1:

Class A1, 5.227% 2/15/40

92,621

93,636

Class A2, 5.268% 2/15/40

18,300,000

18,564,664

Series 2007-C1:

Class ASP, 0.4158% 2/15/40 (o)(q)

35,608,965

379,086

Class B, 5.487% 2/15/40 (h)(o)

2,907,000

348,840

Credit Suisse/Morgan Stanley Commercial Mortgage Trust:

floater Series 2006-HC1A:

Class A2, 0.5134% 5/15/23 (h)(o)

450,000

433,295

Class D, 0.7234% 5/15/23 (h)(o)

170,000

157,985

Class F, 0.8534% 5/15/23 (h)(o)

140,000

127,558

Series 2006-HC1A Class C, 0.6534% 5/15/23 (h)(o)

355,000

332,057

CRESI Finance Ltd. Partnership floater Series 2006-A Class E, 1.9034% 3/25/17 (h)(o)

160,000

132,800

Commercial Mortgage Securities - continued

 

Principal Amount (d)

Value

CRESIX Finance Ltd. Series 2006-AA Class F, 4.4534% 3/25/17 (h)(o)

$ 260,000

$ 206,700

Crest Ltd. Series 2001-1A Class C, 9% 2/25/34 (h)

500,000

275,000

Deutsche Mortgage & Asset Receiving Corp. Series 1998-C1 Class J, 6.22% 6/15/31

400,000

332,942

DLJ Commercial Mortgage Corp.:

Series 1998-CG1 Class B4, 7.2259% 6/10/31 (h)(o)

891,000

960,309

Series 2000-CKP1 Class B3, 8.0654% 11/10/33 (o)

230,000

229,563

Extended Stay America Trust Series 2010-ESHA Class D, 5.4983% 11/5/27 (h)

1,500,000

1,486,600

First Union National Bank Commercial Mortgage Trust Series 2001-C4:

Class H, 7.036% 12/12/33 (h)

770,000

783,145

Class K, 6% 12/12/33 (h)

520,000

516,811

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

Class D, 6.484% 3/15/33

679,000

680,531

Class G, 6.936% 3/15/33 (h)

1,642,000

1,641,208

Class H, 7.039% 3/15/33 (h)

63,000

62,933

First Union-Lehman Brothers-Bank of America Commercial Mortgage Trust sequential payer Series 1998-C2 Class G, 7% 11/18/35 (h)(o)

443,000

458,716

Four Times Square Trust sequential payer Series 2006-4TS Class A, 5.401% 12/13/28 (h)

200,000

213,677

FREMF Mortgage Trust Series 2010-K9 Class B, 5.1633% 8/25/20 (o)

1,290,000

1,099,725

G-Force LLC sequential payer Series 2005-RRA Class A2, 4.83% 8/22/36 (h)

625,000

590,000

GE Capital Commercial Mortgage Corp.:

sequential payer:

Series 2000-1 Class A2, 6.496% 1/15/33

42,728

42,703

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

11,404,000

11,744,649

Series 2001-1 Class X1, 0.99% 5/15/33 (h)(o)(q)

14,767,518

43,495

Series 2001-3 Class C, 6.51% 6/10/38

287,000

296,081

Series 2002-1A Class H, 7.154% 12/10/35 (h)(o)

65,000

63,972

Series 2004-C1 Class X2, 1.1123% 11/10/38 (h)(o)(q)

9,952,834

9,801

Series 2007-C1 Class XP, 0.1995% 12/10/49 (o)(q)

36,234,657

207,809

GMAC Commercial Mortgage Securities, Inc.:

Series 1997-C1 Class H, 6.6% 7/15/29

468,006

117,726

Series 1997-C2:

Class F, 6.75% 4/15/29 (o)

1,052,040

1,101,801

Class G, 6.75% 4/15/29 (o)

504,000

498,345

Series 1999-C1 Class F, 6.02% 5/15/33 (h)

540,000

555,649

Commercial Mortgage Securities - continued

 

Principal Amount (d)

Value

GMAC Commercial Mortgage Securities, Inc.: - continued

Series 1999-C2I Class K, 6.481% 9/15/33 (r)

$ 385,000

$ 13,475

Series 1999-C3:

Class G, 6.974% 8/15/36 (h)

139,240

139,188

Class J, 6.974% 8/15/36 (h)

226,000

224,521

Class K, 6.974% 8/15/36 (h)

427,000

149,885

Series 2000-C1:

Class H, 7% 3/15/33 (h)

27,142

27,423

Class K, 7% 3/15/33

90,000

65,035

Series 2002-C3 Class B, 5.101% 7/10/39

285,000

298,393

Series 2003-C3 Class X2, 0.6751% 4/10/40 (h)(o)(q)

10,107,146

191

Series 2005-C1 Class X2, 0.5556% 5/10/43 (o)(q)

7,558,172

63,421

Greenwich Capital Commercial Funding Corp.:

floater Series 2006-FL4 Class B, 0.4438% 11/5/21 (h)(o)

715,000

649,265

sequential payer:

Series 2003-C1 Class D, 4.29% 7/5/35 (h)

490,000

499,565

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

281,926

283,133

Series 2007-GG11 Class A2, 5.597% 12/10/49

3,804,000

3,979,404

Series 2007-GG9 Class A4, 5.444% 3/10/39

5,530,000

5,783,763

Series 2002-C1:

Class H, 5.903% 1/11/35 (h)

97,000

97,089

Class J, 6.306% 1/11/35 (h)

760,000

748,858

Series 2003-C2:

Class J, 5.234% 1/5/36 (h)(o)

250,000

201,314

Class XP, 0.8817% 1/5/36 (h)(o)(q)

12,076,264

291

Series 2005-GG3 Class XP, 0.6907% 8/10/42 (h)(o)(q)

35,228,621

257,563

Series 2006-GG7:

Class A3, 5.8828% 7/10/38 (o)

5,013,000

5,443,177

Class A4, 5.8828% 7/10/38 (o)

9,540,000

10,455,715

Series 2007-GG11 Class A1, 0.4798% 12/10/49 (h)(q)

43,800,959

435,574

GS Mortgage Securities Corp. II:

floater:

Series 2006-FL8A:

Class C, 0.4934% 6/6/20 (h)(o)

96,000

89,575

Class D, 0.5334% 6/6/20 (h)(o)

453,000

405,956

Class E, 0.6234% 6/6/20 (h)(o)

526,000

457,662

Class F, 0.6934% 6/6/20 (h)(o)

835,001

705,301

Class J, 2.0034% 6/6/20 (h)(o)

250,000

145,721

Commercial Mortgage Securities - continued

 

Principal Amount (d)

Value

GS Mortgage Securities Corp. II: - continued

floater:

Series 2007-EOP:

Class C, 0.5734% 3/6/20 (h)(o)

$ 1,994,000

$ 1,794,600

Class D, 0.6234% 3/6/20 (h)(o)

4,004,000

3,523,520

Class F, 0.7334% 3/6/20 (h)(o)

164,000

141,860

Class G, 0.7734% 3/6/20 (h)(o)

81,000

68,445

Class H, 0.9034% 3/6/20 (h)(o)

60,000

50,706

Class J, 1.1034% 3/6/20 (h)(o)

86,000

72,240

Class L, 1.5534% 3/1/20 (h)(o)

400,000

328,000

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

590,000

614,900

Series 1997-GL:

Class G, 7.5095% 7/13/30 (o)

822,763

921,906

Class H, 7.7995% 7/13/30 (h)(o)

230,000

243,662

Series 1998-GLII Class G, 7.6604% 4/13/31 (h)(o)

600,000

559,536

Series 2001-GL3A Class JGGP, 7.397% 8/5/18 (h)(o)

350,000

280,000

Series 2005-GG4 Class XP, 0.7093% 7/10/39 (h)(o)(q)

35,965,435

364,431

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

9,902,757

9,977,645

Series 2006-RR2:

Class M, 5.674% 6/1/46 (h)(o)

100,000

0

Class N, 5.674% 6/1/46 (h)(o)

100,000

0

Series 2010-C1 Class X, 1.5898% 8/10/43 (h)(o)(q)

6,373,709

580,008

GS Mortgage Securities Trust sequential payer:

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

2,852,000

2,905,160

Series 2007-GG10:

Class A1, 5.69% 8/10/45

179,955

183,495

Class A2, 5.778% 8/10/45

13,561,000

13,997,049

Class A4, 5.8078% 8/10/45 (o)

9,090,000

9,474,549

HVB Mortgage Capital Corp. floater Series 2003-FL1A Class K, 3.1034% 9/10/22 (h)(o)

1,120,000

1,041,714

JP Morgan Chase Commercial Mortgage Securities Corp.:

Series 2009-IWST Class D, 7.4453% 12/5/27 (h)(o)

250,000

264,139

Series 2010-CNTR Class D, 6.1838% 8/5/32 (h)(o)

460,000

436,162

JP Morgan Chase Commercial Mortgage Securities Trust Series 2010-C2:

Class D, 5.715% 11/15/43 (h)(o)

220,000

200,703

Class XB, 0.7549% 11/15/43 (h)(q)

3,600,000

133,602

JPMorgan Chase Commercial Mortgage Securities Corp.:

Series 2002-C1 Class E, 6.135% 7/12/37 (h)

201,000

198,830

Commercial Mortgage Securities - continued

 

Principal Amount (d)

Value

JPMorgan Chase Commercial Mortgage Securities Corp.: - continued

Series 2003-C1:

Class CM1, 5.5061% 1/12/37 (h)(o)

$ 205,398

$ 178,697

Class D, 5.192% 1/12/37

230,000

230,497

Series 2004-C1 Class X2, 0.9167% 1/15/38 (h)(o)(q)

2,942,268

5,490

Series 2004-CB8 Class X2, 1.0315% 1/12/39 (h)(o)(q)

2,940,154

8,556

JPMorgan Chase Commercial Mortgage Securities Trust:

floater:

Series 2005-FL1A Class A2, 0.4334% 2/15/19 (h)(o)

362,918

355,673

Series 2006-FL1A Class E, 0.6234% 2/15/20 (h)(o)

144,283

118,642

Series 2006-FLA2:

Class A2, 0.3834% 11/15/18 (h)(o)

10,000,000

9,200,000

Class B, 0.4234% 11/15/18 (h)(o)

1,402,023

1,233,780

Class C, 0.4634% 11/15/18 (h)(o)

996,098

846,684

Class D, 0.4834% 11/15/18 (h)(o)

303,433

248,815

Class E, 0.5334% 11/15/18 (h)(o)

437,718

350,174

Class F, 0.5834% 11/15/18 (h)(o)

655,376

511,194

Class G, 0.6134% 11/15/18 (h)(o)

569,467

427,100

Class H, 0.7534% 11/15/18 (h)(o)

437,718

319,534

sequential payer:

Series 2006-CB14 Class A3B, 5.4835% 12/12/44 (o)

5,657,000

5,980,012

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

1,210,000

1,303,816

Series 2006-LDP9:

Class A2, 5.134% 5/15/47 (o)

903,000

946,075

Class A3, 5.336% 5/15/47

9,409,000

9,813,494

Series 2007-CB19 Class A4, 5.7421% 2/12/49 (o)

6,670,000

7,051,718

Series 2007-LD11 Class A2, 5.8025% 6/15/49 (o)

5,340,000

5,562,295

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

45,032

45,414

Series 2007-LDPX:

Class A2 S, 5.305% 1/15/49

4,299,000

4,383,875

Class A3, 5.412% 1/15/49

8,142,000

8,492,331

Series 2004-CBX Class D, 5.097% 1/12/37 (o)

170,000

145,059

Series 2004-LN2 Class D, 5.2099% 7/15/41 (o)

420,000

372,498

Series 2005-CB13 Class E, 5.3509% 1/12/43 (h)(o)

963,000

76,077

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

10,527,952

10,886,836

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

543,000

559,583

Commercial Mortgage Securities - continued

 

Principal Amount (d)

Value

JPMorgan Chase Commercial Mortgage Securities Trust: - continued

Series 2007-CB19:

Class B, 5.7421% 2/12/49 (o)

$ 165,000

$ 60,991

Class C, 5.7421% 2/12/49 (o)

424,000

148,257

Class D, 5.7421% 2/12/49 (o)

447,000

135,061

Series 2007-LDP10:

Class BS, 5.437% 1/15/49 (o)

364,000

127,396

Class CS, 5.466% 1/15/49 (o)

157,000

50,208

Class ES, 5.5411% 1/15/49 (h)(o)

983,000

63,958

JPMorgan Commercial Mortgage Finance Corp.:

Series 1997-C5 Class F, 7.5605% 9/15/29

1,258,774

1,322,765

Series 2000-C9 Class G, 6.25% 10/15/32 (h)

664,828

670,486

LB Commercial Conduit Mortgage Trust:

sequential payer Series 2007-C3 Class A4, 5.9501% 7/15/44 (o)

21,615,000

22,947,725

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

638,774

640,852

Series 1998-C4 Class G, 5.6% 10/15/35 (h)

583,000

599,790

LB-UBS Commercial Mortgage Trust:

sequential payer:

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

307,938

309,619

Series 2004-C2 Class E, 4.487% 3/15/36

150,000

141,928

Series 2005-C7:

Class AJ, 5.323% 11/15/40

500,000

484,772

Class AM, 5.263% 11/15/40 (o)

67,000

69,091

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

487,929

490,197

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

22,591

22,614

Series 2006-C6:

Class A1, 5.23% 9/15/39

180,498

180,610

Class A2, 5.262% 9/15/39 (o)

11,694,000

11,852,800

Series 2006-C7:

Class A1, 5.279% 11/15/38

391,207

396,437

Class A2, 5.3% 11/15/38

2,092,000

2,136,952

Class A3, 5.347% 11/15/38

1,417,000

1,498,110

Class AM, 5.378% 11/15/38

160,000

157,582

Series 2007-C1:

Class A1, 5.391% 2/15/40 (o)

188,034

191,398

Class A3, 5.398% 2/15/40

10,000,000

10,611,509

Class A4, 5.424% 2/15/40

5,434,000

5,737,982

Series 2007-C2 Class A3, 5.43% 2/15/40

3,967,000

4,123,035

Series 2007-C6 Class A2, 5.845% 7/15/40

9,937,008

10,326,641

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

134,000

134,057

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

3,676,000

3,766,439

Commercial Mortgage Securities - continued

 

Principal Amount (d)

Value

LB-UBS Commercial Mortgage Trust: - continued

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

$ 2,092,000

$ 2,142,691

Series 2002-C1 Class J, 6.95% 3/15/34 (h)(o)

86,000

88,268

Series 2003-C7 Class L, 5.1129% 7/15/37 (h)(o)

284,000

186,214

Series 2004-C2:

Class G, 4.595% 3/15/36 (h)(o)

225,000

182,540

Class K, 5.2545% 3/15/36 (h)(o)

500,000

223,851

Class XCP, 1.0453% 3/15/36 (h)(o)(q)

22,208,334

64,071

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

218,569

219,577

Series 2005-C2 Class AJ, 5.205% 4/15/30 (o)

740,000

742,636

Series 2005-C3 Class XCP, 0.7546% 7/15/40 (o)(q)

5,887,328

57,762

Series 2005-C5 Class A2, 4.885% 9/15/30

473,899

486,963

Series 2005-C7 Class C, 5.35% 11/15/40 (o)

686,000

561,015

Series 2006-C4:

Class AJ, 5.9009% 6/15/38 (o)

480,000

449,518

Class AM, 5.9009% 6/15/38 (o)

500,000

521,583

Series 2006-C6 Class XCP, 0.6752% 9/15/39 (o)(q)

8,763,693

157,909

Series 2007-C1:

Class C, 5.533% 2/15/40 (o)

4,185,000

1,770,890

Class D, 5.563% 2/15/40 (o)

760,000

274,221

Class E, 5.582% 2/15/40 (o)

381,000

103,111

Class XCP, 0.477% 2/15/40 (o)(q)

4,345,108

45,600

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

2,376,000

2,490,096

Series 2007-C7:

Class A3, 5.866% 9/15/45

2,029,000

2,152,742

Class XCP, 0.29% 9/15/45 (o)(q)

145,958,021

1,526,619

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

Class D, 0.4834% 9/15/21 (h)(o)

608,683

462,599

Class E, 0.5434% 9/15/21 (h)(o)

2,196,145

1,625,147

Class F, 0.5934% 9/15/21 (h)(o)

1,143,094

823,028

Class G, 0.6134% 9/15/21 (h)(o)

2,258,211

1,580,748

Class H, 0.6534% 9/15/21 (h)(o)

582,579

372,850

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

3,377,000

3,490,437

LNR CFL Series 2004-1:

Class I10, 7.72% 2/26/28 (h)

180,000

177,318

Class I11, 7.72% 2/26/28 (h)

100,000

92,560

Class I12, 7.72% 2/26/28 (h)

100,000

88,830

Class I9, 7.72% 2/26/28 (h)

153,200

154,732

Merrill Lynch Financial Asset, Inc. Series 2006-CA20 Class E, 5.4345% 10/12/39 (h)

CAD

320,000

219,015

Commercial Mortgage Securities - continued

 

Principal Amount (d)

Value

Merrill Lynch Mortgage Investors Trust:

Series 1997-C2 Class F, 6.25% 12/10/29 (o)

$ 620,000

$ 641,007

Series 1998-C3 Class E, 6.8552% 12/15/30 (o)

173,000

186,960

Merrill Lynch Mortgage Trust:

sequential payer:

Series 2004-MKB1 Class A2, 4.353% 2/12/42

217,881

218,053

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

300,815

302,517

Series 2004-MKB1 Class F, 5.5091% 2/12/42 (h)(o)

180,000

172,694

Series 2005-CKI1 Class A3, 5.2413% 11/12/37 (o)

3,122,000

3,228,469

Series 2005-LC1 Class F, 5.3852% 1/12/44 (h)(o)

1,655,000

832,636

Series 2006-C1:

Class A2, 5.6095% 5/12/39 (o)

2,650,012

2,727,048

Class AJ, 5.6545% 5/12/39 (o)

160,000

140,870

Class AM, 5.6545% 5/12/39 (o)

100,000

100,570

Series 2006-KEY2:
Class K, 5.091% 8/12/39 (h)(o)

100,000

2,450

Class L, 5.091% 8/12/39 (h)

300,000

4,350

Series 2007-C1 Class A4, 5.8258% 6/12/50 (o)

7,199,517

7,730,943

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

4,059,000

4,284,294

Merrill Lynch-CFC Commercial Mortgage Trust:

floater Series 2006-4 Class A2FL, 0.3763% 12/12/49 (o)

882,527

858,670

sequential payer:

Series 2006-1 CLass A3, 5.4657% 2/12/39 (o)

2,024,000

2,117,587

Series 2006-4:

Class A2, 5.112% 12/12/49 (o)

1,069,579

1,087,590

Class ASB, 5.133% 12/12/49 (o)

1,636,000

1,726,397

Series 2007-5:

Class A1, 4.275% 8/12/48

27,210

27,279

Class A3, 5.364% 8/12/48

11,417,000

11,714,947

Class A4, 5.378% 8/12/48

76,000

77,018

Class B, 5.479% 2/12/17

5,706,000

904,663

Series 2007-6:

Class A1, 5.175% 3/12/51

82,962

83,912

Class A4, 5.485% 3/12/51 (o)

14,650,000

14,975,554

Series 2007-7 Class A4, 5.7475% 6/12/50 (o)

6,656,000

6,840,111

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

352,416

358,650

Series 2006-4 Class XP, 0.6252% 12/12/49 (o)(q)

38,955,674

704,626

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

1,902,000

580,591

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

166,000

28,324

Series 2007-8 Class A3, 5.9646% 8/12/49 (o)

1,640,000

1,765,683

Commercial Mortgage Securities - continued

 

Principal Amount (d)

Value

Morgan Stanley Capital I Trust:

floater:

Series 2006-XLF:

Class C, 1.454% 7/15/19 (h)(o)

$ 822,747

$ 98,730

Class G, 0.614% 7/15/19 (h)(o)

540,149

502,339

Class H, 0.634% 7/15/19 (h)(o)

550,000

473,000

Class J, 0.684% 7/15/19 (h)(o)

354,000

233,640

Series 2007-XCLA Class A1, 0.454% 7/17/17 (h)(o)

2,411,770

1,742,504

Series 2007-XLCA Class B, 0.754% 7/17/17 (h)(o)

2,408,057

282,947

Series 2007-XLFA:

Class C, 0.414% 10/15/20 (h)(o)

1,092,000

469,560

Class D, 0.444% 10/15/20 (h)(o)

667,354

240,247

Class E, 0.504% 10/15/20 (h)(o)

834,661

175,279

Class F, 0.554% 10/15/20 (h)(o)

500,899

70,126

Class G, 0.594% 10/15/20 (h)(o)

619,188

43,343

Class H, 0.684% 10/15/20 (h)(o)

389,758

23,385

Class J, 0.834% 10/15/20 (h)(o)

444,903

17,796

Class MHRO, 0.944% 10/15/20 (h)(o)

605,197

151,299

Class MJPM, 1.254% 10/15/20 (h)(o)

183,182

137,386

Class MSTR, 0.954% 10/15/20 (h)(o)

343,918

85,979

Class NHRO, 1.144% 10/15/20 (h)(o)

918,469

137,770

Class NSTR, 1.104% 10/15/20 (h)(o)

315,384

47,308

sequential payer:

Series 2003-IQ5 Class X2, 0.9113% 4/15/38 (h)(o)(q)

5,235,674

36,512

Series 2004-RR2 Class A2, 5.45% 10/28/33 (h)

432,027

430,947

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

2,826,000

2,910,533

Series 2006-HQ10 Class AM, 5.36% 11/12/41

620,000

614,032

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

440,169

443,984

Series 2007-HQ11:

Class A1, 5.246% 2/12/44

203,904

206,301

Class A31, 5.439% 2/12/44 (o)

964,000

1,003,713

Series 2007-IQ13:

Class A1, 5.05% 3/15/44

340,218

344,050

Class A4, 5.364% 3/15/44

10,000,000

10,370,586

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

840,080

857,538

Series 2007-T25 Class A1, 5.391% 11/12/49

247,651

252,890

Series 1997-RR Class F, 7.4488% 4/30/39 (h)(o)

201,960

193,882

Series 1998-CF1 Class G, 7.35% 7/15/32 (h)

223,000

132,128

Series 1999-WF1:

Class N, 5.91% 11/15/31 (h)

210,000

156,627

Class O, 5.91% 11/15/31 (h)

291,809

62,783

Commercial Mortgage Securities - continued

 

Principal Amount (d)

Value

Morgan Stanley Capital I Trust: - continued

Series 2003-IQ6 Class X2, 0.5796% 12/15/41 (h)(o)(q)

$ 12,306,129

$ 71,225

Series 2004-IQ7 Class E, 5.4003% 6/15/38 (h)(o)

120,000

66,528

Series 2004-RR2 Class C, 5.88% 10/28/33 (h)(o)

280,000

219,100

Series 2005-IQ9 Class X2, 1.0925% 7/15/56 (h)(o)(q)

21,165,292

245,900

Series 2006-HQ10 Class X2, 0.4955% 11/12/41 (h)(o)(q)

9,538,606

98,667

Series 2006-HQ8 Class A3, 5.4406% 3/12/44 (o)

2,950,000

2,993,988

Series 2006-IQ11:

Class A3, 5.7248% 10/15/42 (o)

3,125,272

3,282,977

Class A4, 5.7608% 10/15/42 (o)

570,000

629,449

Series 2006-IQ12:

Class AMFX, 5.37% 12/15/43

719,000

701,018

Class B, 5.468% 12/15/43

1,902,000

692,708

Series 2006-T23 Class A3, 5.8053% 8/12/41 (o)

972,000

1,045,792

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

3,448,000

1,588,494

Series 2007-HQ12 Class A2, 5.6352% 4/12/49 (o)

12,589,082

12,781,132

Series 2007-IQ14:

Class A4, 5.692% 4/15/49 (o)

2,852,000

2,990,756

Class B, 5.7278% 4/15/49 (o)

469,000

163,958

Series 2007-XLC1:

Class C, 0.854% 7/17/17 (h)(o)

3,248,037

89,321

Class D, 0.954% 7/17/17 (h)(o)

1,527,378

19,092

Class E, 1.054% 7/17/17 (h)(o)

1,240,783

15,510

Morgan Stanley Dean Witter Capital I Trust:

sequential payer Series 2001-PPM Class A2, 6.4% 2/15/31

32

32

Series 2000-PRIN Class C, 7.9523% 2/23/34 (o)

466,000

517,531

Series 2001-IQA Class F, 6.79% 12/18/32 (h)

194,900

196,810

Series 2001-TOP3 Class E, 7.1804% 7/15/33 (h)(o)

150,000

153,105

Series 2003-TOP9 Class E, 5.7428% 11/13/36 (h)(o)

78,000

70,748

Multi Security Asset Trust sequential payer Series 2005-RR4A Class A2, 4.83% 11/28/35 (h)

171,192

161,723

NationsLink Funding Corp. Series 1998-2:

Class F, 7.105% 8/20/30 (h)

575,950

617,698

Class G, 5% 8/20/30 (h)

361,875

375,430

Class J, 5% 8/20/30 (h)

195,000

181,545

Nomura Asset Securities Corp. Series 1998-D6 Class B1, 6% 3/15/30 (h)

1,050,000

1,062,511

Commercial Mortgage Securities - continued

 

Principal Amount (d)

Value

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

$ 687,257

$ 711,311

Prudential Securities Secured Financing Corp. Series 1999-NRF1 Class F, 6.074% 11/1/31 (h)

4,630

4,757

RBSCF Trust Series 2010-MB1 Class D, 4.6658% 4/15/24 (h)(o)

480,000

466,896

Real Estate Asset Liquidity Trust:

Series 2006-2:

Class F, 4.456% 9/12/38 (h)

CAD

107,000

68,690

Class G, 4.456% 9/12/38 (h)

CAD

54,000

32,984

Class H, 4.456% 9/12/38 (h)

CAD

36,000

20,934

Class J, 4.456% 9/12/38 (h)

CAD

36,000

19,860

Class K, 4.456% 9/12/38 (h)

CAD

18,000

8,837

Class L, 4.456% 9/12/38 (h)

CAD

26,000

12,096

Class M, 4.456% 9/12/38 (h)

CAD

128,859

31,629

Series 2007-1:

Class F, 4.57% 4/12/23

CAD

126,000

81,500

Class G, 4.57% 4/12/23

CAD

42,000

25,853

Class H, 4.57% 4/12/23

CAD

42,000

24,617

Class J, 4.57% 4/12/23

CAD

42,000

23,452

Class K, 4.57% 4/12/23

CAD

21,000

11,177

Class L, 4.57% 4/12/23

CAD

63,000

31,981

Class M, 4.57% 4/12/23

CAD

185,000

41,639

Salomon Brothers Mortgage Securities VII, Inc.:

Series 2001-C1 Class E, 6.31% 12/18/35

135,000

134,886

Series 2001-MMA:

Class E6, 6.5% 2/18/34 (h)(o)

192,000

169,670

Class F6, 6.5% 2/18/34 (h)(o)

43,000

36,172

Structured Asset Securities Corp. Series 1997-LLI:

Class D, 7.15% 10/12/34

195,036

200,220

Class F, 7.3% 10/12/34 (h)

473,000

488,889

TIAA Seasoned Commercial Mortgage Trust sequential payer Series 2007-C4 Class AJ, 6.0429% 8/15/39 (o)

170,000

171,289

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

1,616,000

1,642,884

UBS Commercial Mortgage Trust Series 2007-FL1:

Class F, 0.8284% 7/15/24 (h)(o)

110,000

32,086

Class G, 0.8284% 7/15/24 (h)(o)

200,000

56,219

Vornado DP LLC Series 2010-VNO Class D, 6.3555% 9/13/20 (h)

180,000

184,654

Commercial Mortgage Securities - continued

 

Principal Amount (d)

Value

Wachovia Bank Commercial Mortgage Trust:

floater:

Series 2005-WL5A Class K, 1.4534% 1/15/18 (h)(o)

$ 1,276,330

$ 1,225,677

Series 2006-WL7A:

Class E, 0.5363% 9/15/21 (h)(o)

1,770,598

1,133,380

Class F, 0.5963% 8/11/18 (h)(o)

1,877,987

890,134

Class G, 0.6163% 8/11/18 (h)(o)

1,779,101

823,138

Class J, 0.8563% 8/11/18 (h)(o)

395,545

123,221

Series 2007-WHL8:

Class AP1, 0.9534% 6/15/20 (h)(o)

140,220

84,132

Class AP2, 1.0534% 6/15/20 (h)(o)

235,007

129,254

Class F, 0.7334% 6/15/20 (h)(o)

4,565,501

2,282,751

Class LXR1, 0.9534% 6/15/20 (h)(o)

233,916

164,910

Class LXR2, 1.0534% 6/15/20 (h)(o)

3,111,858

2,022,708

sequential payer:

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

2,767,208

2,788,542

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

8,283,000

8,534,783

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

1,569,865

1,598,110

Series 2006-C29:

Class A1, 5.11% 11/15/48

548,644

554,303

Class A3, 5.313% 11/15/48

5,051,000

5,378,725

Series 2007-C30:

Class A1, 5.031% 12/15/43

45,576

45,678

Class A3, 5.246% 12/15/43

1,633,000

1,654,483

Class A4, 5.305% 12/15/43

8,604,000

8,629,210

Class A5, 5.342% 12/15/43

2,036,000

2,041,554

Series 2007-C31:

Class A1, 5.14% 4/15/47

155,882

157,043

Class A4, 5.509% 4/15/47

4,299,000

4,396,721

Series 2007-C32:

Class A2, 5.739% 6/15/49 (o)

15,568,000

16,131,867

Class A3, 5.744% 6/15/49 (o)

3,229,000

3,332,819

Series 2003-C6 Class G, 5.125% 8/15/35 (h)(o)

903,000

882,346

Series 2003-C9 Class XP, 0.4498% 12/15/35 (h)(o)(q)

5,330,128

58

Series 2004-C10 Class E, 4.931% 2/15/41

340,000

317,042

Series 2004-C11:

Class D, 5.3114% 1/15/41 (o)

360,000

321,406

Class E, 5.3614% 1/15/41 (o)

327,000

265,822

Series 2004-C12 Class D, 5.3052% 7/15/41 (o)

280,000

252,428

Series 2004-C14:

Class B, 5.17% 8/15/41

258,500

252,187

Commercial Mortgage Securities - continued

 

Principal Amount (d)

Value

Wachovia Bank Commercial Mortgage Trust: - continued

Series 2004-C14:

Class C, 5.21% 8/15/41

$ 170,000

$ 159,596

Series 2004-C15:

Class 180A, 5.3979% 10/15/41 (h)(o)

1,464,000

1,405,440

Class 180B, 5.3979% 10/15/41 (h)(o)

666,000

626,040

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

1,902,000

1,598,954

Series 2005-C22:

Class B, 5.3588% 12/15/44 (o)

4,218,000

3,466,547

Class F, 5.3588% 12/15/44 (h)(o)

3,171,000

1,305,513

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

7,870,000

8,444,659

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

1,902,000

603,568

Series 2007-C30:

Class B, 5.463% 12/15/43 (o)

10,505,000

2,376,967

Class C, 5.483% 12/15/43 (o)

5,706,000

975,412

Class D, 5.513% 12/15/43 (o)

3,044,000

266,380

Class XP, 0.4396% 12/15/43 (h)(o)(q)

21,123,634

276,557

Series 2007-C31 Class C, 5.6934% 4/15/47 (o)

522,000

113,474

Series 2007-C32:

Class D, 5.744% 6/15/49 (o)

1,431,000

291,870

Class E, 5.744% 6/15/49 (o)

2,252,000

394,207

Wachovia Bank Commercial Mortgage Trust pass-thru certificates:

sequential payer Series 2007-C33 Class A5, 5.9025% 2/15/51 (o)

1,259,000

1,310,277

Series 2007-C33 Class B, 5.9025% 2/15/51 (o)

3,198,000

1,061,239

Wells Fargo Commercial Mortgage Trust Series 2010-C1 Class XB, 0.5792% 10/15/57 (h)(q)

10,192,000

378,123

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $700,845,273)

820,350,367

Municipal Securities - 0.2%

 

California Gen. Oblig.:

6.2% 3/1/19

5,000,000

5,271,450

7.5% 4/1/34

5,600,000

5,737,256

7.55% 4/1/39

8,202,000

8,446,584

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

6,825,000

7,097,113

TOTAL MUNICIPAL SECURITIES

(Cost $25,831,730)

26,552,403

Foreign Government and Government Agency Obligations - 1.7%

 

Principal Amount (d)

Value

Arab Republic of Egypt:

5.75% 4/29/20 (h)

$ 1,450,000

$ 1,566,000

6.875% 4/30/40 (h)

1,585,000

1,751,425

Argentine Republic:

discount (with partial capitalization through 12/31/13) 8.28% 12/31/33

3,420,213

3,043,989

par 2.5% 12/31/38 (f)

3,210,000

1,364,250

0.6586% 8/3/12 (o)

6,201,250

5,765,878

7% 3/28/11

16,280,000

16,409,788

7% 9/12/13

15,235,000

14,775,411

7% 10/3/15

1,340,000

1,199,188

Aruba Government 6.4% 9/6/15 (h)

300,000

315,000

Bahamian Republic 6.95% 11/20/29 (h)

805,000

845,250

Barbados Government 7.25% 12/15/21 (h)

647,000

689,055

Belarus Republic 8.75% 8/3/15

1,530,000

1,545,300

Bermuda Government 5.603% 7/20/20 (h)

470,000

500,550

Brazilian Federative Republic:

5.625% 1/7/41

1,135,000

1,170,753

6% 9/15/13

200,007

209,507

8.75% 2/4/25

545,000

773,900

10.125% 5/15/27

340,000

535,500

12.25% 3/6/30

455,000

850,850

Buenos Aires Province 11.75% 10/5/15 (h)

690,000

683,100

Bulgarian Republic 8.25% 1/15/15 (Reg. S)

1,340,000

1,564,450

Cayman Island Government 5.95% 11/24/19 (h)

500,000

522,500

Chilean Republic 7.125% 1/11/12

3,045,000

3,227,700

Colombian Republic:

6.125% 1/18/41

1,200,000

1,272,000

7.375% 9/18/37

2,130,000

2,619,900

10.375% 1/28/33

965,000

1,486,100

11.75% 2/25/20

950,000

1,463,000

Congo Republic 3% 6/30/29 (f)

2,479,500

1,512,495

Croatia Republic:

6.625% 7/14/20 (h)

855,000

898,819

6.75% 11/5/19 (h)

1,455,000

1,544,206

Democratic Socialist Republic of Sri Lanka:

7.4% 1/22/15 (h)

1,260,000

1,397,025

8.25% 10/24/12 (h)

1,070,000

1,158,275

Dominican Republic:

1.2713% 8/30/24 (o)

1,350,000

1,208,250

7.5% 5/6/21 (h)

1,140,000

1,234,050

9.04% 1/23/18 (h)

967,284

1,131,723

Ecuador Republic 5% 2/28/25

218,000

159,140

Foreign Government and Government Agency Obligations - continued

 

Principal Amount (d)

Value

El Salvador Republic:

7.375% 12/1/19 (h)

$ 745,000

$ 819,500

7.65% 6/15/35 (Reg. S)

1,265,000

1,359,875

7.75% 1/24/23 (Reg. S)

1,070,000

1,198,400

8.25% 4/10/32 (Reg. S)

375,000

423,750

Gabonese Republic 8.2% 12/12/17 (h)

1,310,000

1,532,700

Georgia Republic 7.5% 4/15/13

2,470,000

2,550,275

Ghana Republic 8.5% 10/4/17 (h)

1,475,000

1,666,750

Government of the Democratic Socialist Republic of Sri Lanka 6.25% 10/4/20 (h)

1,335,000

1,366,706

Hungarian Republic:

4.75% 2/3/15

530,000

519,400

6.25% 1/29/20

2,250,000

2,182,500

Indonesian Republic:

5.875% 3/13/20 (h)

1,560,000

1,755,000

6.625% 2/17/37 (h)

1,000,000

1,137,500

6.875% 1/17/18 (h)

980,000

1,173,550

7.5% 1/15/16 (h)

485,000

579,575

7.75% 1/17/38 (h)

1,490,000

1,884,850

8.5% 10/12/35 (Reg. S)

1,360,000

1,856,400

11.625% 3/4/19 (h)

1,070,000

1,626,400

Islamic Republic of Pakistan 7.125% 3/31/16 (h)

3,860,000

3,512,600

Ivory Coast 2.5% 12/31/32 (f)

1,825,000

1,058,500

Lebanese Republic 4% 12/31/17

2,257,500

2,201,063

Lithuanian Republic:

5.125% 9/14/17 (h)

430,000

421,400

6.75% 1/15/15 (h)

1,585,000

1,695,950

7.375% 2/11/20 (h)

1,685,000

1,853,500

Perusahaan Penerbit SBSN Indonesia 8.8% 4/23/14 (h)

560,000

660,800

Peruvian Republic:

3% 3/7/27 (f)

435,000

378,450

5.625% 11/18/50 (h)

1,255,000

1,201,663

7.35% 7/21/25

950,000

1,180,375

8.75% 11/21/33

1,120,000

1,590,400

Philippine Republic:

6.375% 10/23/34

465,000

512,663

6.5% 1/20/20

805,000

952,959

10.625% 3/16/25

520,000

824,200

Polish Government 3.875% 7/16/15

840,000

840,000

Provincia de Cordoba 12.375% 8/17/17 (h)

1,490,000

1,493,725

Republic of Iraq 5.8% 1/15/28 (Reg. S)

3,650,000

3,212,000

Republic of Serbia 6.75% 11/1/24 (h)

6,822,667

6,686,214

Foreign Government and Government Agency Obligations - continued

 

Principal Amount (d)

Value

Russian Federation:

3.625% 4/29/15 (h)

$ 800,000

$ 798,800

5% 4/29/20 (h)

1,900,000

1,893,350

7.5% 3/31/30 (Reg. S)

9,685,690

11,157,915

11% 7/24/18 (Reg. S)

335,000

469,000

12.75% 6/24/28 (Reg. S)

1,800,000

3,132,000

Turkish Republic:

5.625% 3/30/21

815,000

871,072

6.75% 4/3/18

1,395,000

1,625,873

6.75% 5/30/40

805,000

907,638

6.875% 3/17/36

2,920,000

3,339,896

7% 9/26/16

1,360,000

1,589,024

7.25% 3/15/15

730,000

845,924

7.25% 3/5/38

1,400,000

1,681,820

7.375% 2/5/25

3,590,000

4,357,542

7.5% 7/14/17

1,285,000

1,545,984

7.5% 11/7/19

745,000

909,943

11.875% 1/15/30

860,000

1,502,850

Ukraine Cabinet of Ministers 6.875% 3/4/11 (Reg. S)

6,830,000

6,850,490

Ukraine Financing of Infrastructure Projects State Enterprise 8.375% 11/3/17 (h)

840,000

831,600

Ukraine Government:

6.385% 6/26/12 (h)

660,000

657,525

6.75% 11/14/17 (h)

2,295,000

2,197,463

6.875% 9/23/15 (h)

430,000

417,100

7.75% 9/23/20 (h)

880,000

851,400

United Mexican States:

5.125% 1/15/20

468,000

499,590

5.625% 1/15/17

740,000

830,650

5.75% 10/12/10

964,000

879,650

6.05% 1/11/40

1,788,000

1,895,280

6.75% 9/27/34

720,000

835,200

7.5% 4/8/33

425,000

534,438

8.3% 8/15/31

420,000

569,100

Uruguay Republic:

6.875% 9/28/25

585,000

688,838

7.875% 1/15/33 pay-in-kind

970,000

1,224,625

8% 11/18/22

2,566,902

3,285,635

Venezuelan Republic:

1.2884% 4/20/11 (Reg. S) (o)

9,895,000

9,647,625

6% 12/9/20

860,000

466,550

7% 3/31/38

815,000

427,875

Foreign Government and Government Agency Obligations - continued

 

Principal Amount (d)

Value

Venezuelan Republic: - continued

8.5% 10/8/14

$ 960,000

$ 780,000

9% 5/7/23 (Reg. S)

3,675,000

2,307,900

9.25% 9/15/27

3,280,000

2,222,200

9.375% 1/13/34

985,000

615,625

10.75% 9/19/13

2,750,000

2,516,250

12.75% 8/23/22

3,150,000

2,583,000

13.625% 8/15/18

2,328,000

2,165,040

Vietnamese Socialist Republic:

1.2997% 3/12/16 (o)

908,696

840,544

4% 3/12/28 (f)

3,040,000

2,538,400

6.75% 1/29/20 (h)

1,405,000

1,536,789

6.875% 1/15/16 (h)

1,230,000

1,360,749

TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $198,917,324)

219,989,682

Supranational Obligations - 0.0%

 

Corporacion Andina de Fomento 5.2% 5/21/13

242,000

263,165

Eurasian Development Bank 7.375% 9/29/14 (h)

1,100,000

1,182,500

TOTAL SUPRANATIONAL OBLIGATIONS

(Cost $1,335,763)

1,445,665

Common Stocks - 0.0%

Shares

 

FINANCIALS - 0.0%

Thrifts & Mortgage Finance - 0.0%

Wrightwood Capital LLC warrants 7/31/14 (a)(h)

(Cost $15)

1,517

15

Preferred Stocks - 0.1%

 

 

 

 

Convertible Preferred Stocks - 0.1%

CONSUMER DISCRETIONARY - 0.1%

Automobiles - 0.1%

General Motors Co. 4.75% (a)

62,000

3,143,400

Preferred Stocks - continued

Shares

Value

Convertible Preferred Stocks - continued

UTILITIES - 0.0%

Electric Utilities - 0.0%

AES Trust III 6.75%

28,100

$ 1,355,263

TOTAL CONVERTIBLE PREFERRED STOCKS

4,498,663

Nonconvertible Preferred Stocks - 0.0%

FINANCIALS - 0.0%

Diversified Financial Services - 0.0%

GMAC LLC 7.00% (h)

3,095

2,684,913

TOTAL PREFERRED STOCKS

(Cost $7,078,136)

7,183,576

Floating Rate Loans - 0.3%

 

Principal Amount (d)

 

CONSUMER DISCRETIONARY - 0.1%

Auto Components - 0.0%

Federal-Mogul Corp.:

Tranche B, term loan 2.1875% 12/27/14 (o)

$ 3,395,303

3,055,773

Tranche C, term loan 2.1875% 12/27/15 (o)

2,132,680

1,903,417

 

4,959,190

Diversified Consumer Services - 0.0%

Visant Corp. Tranche B, term loan 7% 12/22/16 (o)

1,245,000

1,255,894

Hotels, Restaurants & Leisure - 0.0%

Extended Stay America, Inc. term loan 9.75% 11/1/15

1,000,000

997,500

Las Vegas Sands LLC:

Tranche B, term loan 3.03% 11/23/16 (o)

2,448,322

2,298,362

Tranche I, term loan 3.03% 11/23/16 (o)

503,028

472,217

 

3,768,079

Media - 0.1%

Clear Channel Capital I LLC Tranche B, term loan 3.9034% 1/29/16 (o)

2,045,000

1,615,550

Floating Rate Loans - continued

 

Principal Amount (d)

Value

CONSUMER DISCRETIONARY - continued

Media - continued

Newsday LLC term loan 10.5% 8/1/13

$ 3,505,000

$ 3,715,300

Univision Communications, Inc. term loan 4.5063% 3/31/17 (o)

3,393,411

3,160,114

 

8,490,964

TOTAL CONSUMER DISCRETIONARY

18,474,127

FINANCIALS - 0.0%

Diversified Financial Services - 0.0%

AWAS Aviation Acquisitions Ltd. term loan 7.75% 6/10/16 (o)

3,865,000

3,956,794

INDUSTRIALS - 0.1%

Airlines - 0.1%

Delta Air Lines, Inc. Tranche 2LN, term loan 3.5391% 4/30/14 (o)

4,161,064

3,984,219

US Airways Group, Inc. term loan 2.7884% 3/23/14 (o)

1,055,000

941,588

 

4,925,807

Machinery - 0.0%

Dresser, Inc. Tranche 2LN, term loan 6.0344% 5/4/15 pay-in-kind (o)

2,335,000

2,323,325

TOTAL INDUSTRIALS

7,249,132

INFORMATION TECHNOLOGY - 0.0%

Communications Equipment - 0.0%

Avaya, Inc. term loan 3.0344% 10/24/14 (o)

2,073,858

1,882,026

MATERIALS - 0.0%

Containers & Packaging - 0.0%

Anchor Glass Container Corp. Tranche 2LN, term loan 10% 9/2/16 (o)

2,065,000

2,054,675

TELECOMMUNICATION SERVICES - 0.0%

Wireless Telecommunication Services - 0.0%

Asurion Corp. Tranche 2LN, term loan 6.7534% 7/3/15 (o)

3,685,000

3,445,475

Intelsat Jackson Holdings Ltd. term loan 3.29% 2/1/14 (o)

2,425,000

2,297,688

 

5,743,163

Floating Rate Loans - continued

 

Principal Amount (d)

Value

UTILITIES - 0.1%

Multi-Utilities - 0.1%

Ashmore Energy International:

Revolving Credit-Linked Deposit 3.2894% 3/30/12 (o)

$ 789,624

$ 775,806

term loan 3.2894% 3/30/14 (o)

5,135,066

5,045,202

 

5,821,008

TOTAL FLOATING RATE LOANS

(Cost $41,565,465)

45,180,925

Sovereign Loan Participations - 0.0%

 

Indonesian Republic:

loan participation - Citibank 1.25% 12/14/19 (o)

1,781,006

1,656,336

1.25% 12/14/19 (o)(j)

124,000

115,320

TOTAL SOVEREIGN LOAN PARTICIPATIONS

(Cost $1,451,698)

1,771,656

Bank Notes - 0.0%

 

National City Bank, Cleveland 0.3969% 3/1/13 (o)
(Cost $859,728)

978,000

969,307

Fixed-Income Funds - 15.9%

Shares

 

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

1,615,765

176,183,010

Fidelity Floating Rate Central Fund (p)

3,905,566

384,542,073

Fidelity Mortgage Backed Securities Central Fund (p)

14,139,281

1,494,663,413

TOTAL FIXED-INCOME FUNDS

(Cost $1,898,023,222)

2,055,388,496

Preferred Securities - 0.1%

Principal Amount (d)

 

CONSUMER DISCRETIONARY - 0.0%

Media - 0.0%

Net Servicos de Comunicacao SA 9.25% (h)

3,658,000

3,693,680

Preferred Securities - continued

Principal Amount (d)

Value

FINANCIALS - 0.1%

Diversified Financial Services - 0.1%

ING Groep NV 5.775% (o)

1,052,000

$ 912,729

MUFG Capital Finance 1 Ltd. 6.346% (o)

3,261,000

3,333,378

 

4,246,107

TOTAL PREFERRED SECURITIES

(Cost $6,036,074)

7,939,787

Cash Equivalents - 10.5%

Maturity Amount

 

Investments in repurchase agreements in a joint trading account at:

0.24%, dated 11/30/10 due 12/1/10 (Collateralized by U.S. Government Obligations) #

$ 3,539,024

3,539,000

0.25%, dated 11/30/10 due 12/1/10:

(Collateralized by U.S. Government Obligations) #

1,148,267,072

1,148,259,000

(Collateralized by U.S. Government Obligations) # (b)

200,501,392

200,500,000

TOTAL CASH EQUIVALENTS

(Cost $1,352,298,000)

1,352,298,000

TOTAL INVESTMENT PORTFOLIO - 104.7%

(Cost $12,749,067,917)

13,503,858,051

NET OTHER ASSETS (LIABILITIES) - (4.7)%

(601,728,094)

NET ASSETS - 100%

12,902,129,957

Swap Agreements

 

Expiration Date

Notional Amount

Value

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 Made/(Received) $480,000) (n)

Sept. 2037

$ 2,880,126

$ (2,693,518)

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 Made/(Received) $1,058,000) (n)

Sept. 2037

3,312,145

(3,097,545)

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 Made/(Received) $651,000) (n)

Sept. 2037

2,016,088

(1,885,462)

Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to UBS upon each credit event of one of the issues of ABX AA 07-1 Index, par value of the proportional notional amount (Rating-C) (Upfront Payment Made/(Received) $936,000) (n)

Sept. 2037

5,184,226

(4,848,332)

Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to UBS upon each credit event of one of the issues of ABX AA 07-1 Index, par value of the proportional notional amount (Rating-C) (Upfront Payment Made/(Received) $347,750) (n)

Sept. 2037

1,872,082

(1,750,786)

Receive monthly notional amount multiplied by .82% and pay UBS upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC6 Class M3, 5.6413% 7/25/34 (m)

August 2034

26,248

(14,577)

Swap Agreements - continued

 

Expiration Date

Notional
Amount

Value

Credit Default Swaps - continued

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) (m)

Feb. 2034

$ 787

$ (742)

Receive monthly notional amount multiplied by 3.35% and pay Morgan Stanley, Inc. upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-HE7, Class B3, 9.01% 8/25/34 (Rating-C) (m)

Sept. 2034

26,020

(19,671)

TOTAL CREDIT DEFAULT SWAPS

 

$ 15,317,722

$ (14,310,633)

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

 

$ 200,000,000

$ 3,044,180

 

$ 215,317,722

$ (11,266,453)

Currency Abbreviations

CAD

-

Canadian dollar

Legend

(a) Non-income producing

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

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

(d) Principal amount is stated in United States dollars unless otherwise noted.

(e) Security initially issued in zero coupon form which converts to coupon form at a specified rate and date. The rate shown is the rate at period end.

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

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

(h) 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 $1,044,575,917 or 8.1% of net assets.

(i) 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 $32,835,488 or 0.3% of net assets.

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

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

(l) Security or a portion of the security has been segregated as collateral for open swap agreements. At the period end, the value of securities pledged amounted to $14,165,509.

(m) 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.

(n) Represents a credit default swap based on a tradable index of home equity asset-backed debt securities. The value of each credit default swap and the credit rating can be measures of the current payment/ performance risk. In addition, the swap representsa 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.

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

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

(q) 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.

(r) Restricted securities - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $13,475 or 0.0% of net assets.

Additional information on each holding is as follows:

Security

Acquisition Date

Acquisition Cost

GMAC Commercial Mortgage Securities, Inc. Series 1999-C2I Class K, 6.481% 9/15/33

3/23/07 - 12/4/09

$ 173,625

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

Repurchase Agreement / Counterparty

Value

$3,539,000 due 12/01/10 at 0.24%

BNP Paribas Securities Corp.

$ 1,669,244

Barclays Capital, Inc.

1,231,398

Merrill Lynch, Pierce, Fenner & Smith, Inc.

638,358

 

$ 3,539,000

$1,148,259,000 due 12/01/10 at 0.25%

BNP Paribas Securities Corp.

$ 100,250,123

Barclays Capital, Inc.

199,805,783

J.P. Morgan Securities, Inc.

61,325,006

Merrill Lynch Government Securities, Inc.

110,661,665

Merrill Lynch, Pierce, Fenner & Smith, Inc.

122,908,099

Mizuho Securities USA, Inc.

553,308,324

 

$ 1,148,259,000

$200,500,000 due 12/01/10 at 0.25%

J.P. Morgan Securities, Inc.

200,500,000

 

$ 200,500,000

Affiliated Central Funds

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

Fund

Income earned

Fidelity Corporate Bond 1-10 Year Central Fund

$ 2,071,734

Fidelity Floating Rate Central Fund

4,300,370

Fidelity Mortgage Backed Securities Central Fund

12,871,492

Total

$ 19,243,596

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

Fund

Value, beginning of period

Purchases

Sales Proceeds

Value, end of period

% ownership, end of period

Fidelity Corporate Bond 1-10 Year Central Fund

$ 176,393,059

$ -

$ -

$ 176,183,010

8.7%

Fidelity Floating Rate Central Fund

392,753,749

4,300,370

25,008,160

384,542,073

13.5%

Fidelity Mortgage Backed Securities Central Fund

1,486,994,027

12,871,492

-

1,494,663,413

21.2%

Total

$ 2,056,140,835

$ 17,171,862

$ 25,008,160

$ 2,055,388,496

Other Information

The following is a summary of the inputs used, as of November 30, 2010, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs and their aggregation into the levels used in the tables below, please refer to the Investment Valuation section at the end of this listing.

Valuation Inputs at Reporting Date:

Description

Total

Level 1

Level 2

Level 3

Investments in Securities:

Equities:

Consumer Discretionary

$ 3,143,400

$ 3,143,400

$ -

$ -

Financials

2,684,928

-

2,684,913

15

Utilities

1,355,263

-

1,355,263

-

Corporate Bonds

3,055,998,518

-

3,055,658,748

339,770

U.S. Government and Government Agency Obligations

4,142,805,567

-

4,142,805,567

-

U.S. Government Agency - Mortgage Securities

1,214,783,402

-

1,214,783,402

-

Asset-Backed Securities

318,126,605

-

300,111,163

18,015,442

Collateralized Mortgage Obligations

233,074,080

-

231,311,970

1,762,110

Commercial Mortgage Securities

820,350,367

-

777,991,742

42,358,625

Municipal Securities

26,552,403

-

26,552,403

-

Foreign Government and Government Agency Obligations

219,989,682

-

219,401,725

587,957

Supranational Obligations

1,445,665

-

1,445,665

-

Floating Rate Loans

45,180,925

-

44,183,425

997,500

Sovereign Loan Participations

1,771,656

-

1,771,656

-

Bank Notes

969,307

-

969,307

-

Fixed-Income Funds

2,055,388,496

2,055,388,496

-

-

Preferred Securities

7,939,787

-

7,939,787

-

Cash Equivalents

1,352,298,000

-

1,352,298,000

-

Total Investments in Securities:

$ 13,503,858,051

$ 2,058,531,896

$ 11,381,264,736

$ 64,061,419

Derivative Instruments:

Assets

Swap Agreements

$ 3,044,180

$ -

$ 3,044,180

$ -

Liabilities

Swap Agreements

$ (14,310,633)

$ -

$ (14,290,220)

$ (20,413)

Total Derivative Instruments:

$ (11,266,453)

$ -

$ (11,246,040)

$ (20,413)

Other Financial Instruments:

Forward Commitments

$ 776,870

$ -

$ 776,870

$ -

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

Investments in Securities:

Beginning Balance

$ 101,440,167

Total Realized Gain (Loss)

41,463

Total Unrealized Gain (Loss)

3,355,247

Cost of Purchases

3,294,323

Proceeds of Sales

(2,024,182)

Amortization/Accretion

362,031

Transfers in to Level 3

12,299,066

Transfers out of Level 3

(54,706,696)

Ending Balance

$ 64,061,419

The change in unrealized gain (loss) for the period attributable to Level 3 securities held at November 30, 2010

$ 2,884,148

Derivative Instruments:

Swap Agreements

Beginning Balance

$ (38,198)

Total Unrealized Gain (Loss)

1,606

Transfers in to Level 3

-

Transfers out of Level 3

16,179

Ending Balance

$ (20,413)

Realized gain (loss) on Swap Agreements for the period

$ 403

The change in unrealized gain (loss) for the period attributable to Level 3 Swap Agreements held at November 30, 2010

$ 1,606

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

Income Tax Information

At November 30, 2010, the cost of investment securities for income tax purposes was $12,945,080,893. Net unrealized appreciation aggregated $558,777,158, of which $651,156,253 related to appreciated investment securities and $92,379,095 related to depreciated investment securities.

Investment Valuation

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

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

For asset backed securities, collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities, pricing services utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices and, accordingly, such securities are generally categorized as Level 2 in the hierarchy. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates fair value and are categorized as Level 2 in the hierarchy. Swaps are marked-to-market daily based on valuations from independent pricing services or dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Pricing services utilize matrix pricing which considers comparisons to interest rate curves, credit spread curves, default possibilities and recovery rates and, as a result, swaps are generally categorized as Level 2 in the hierarchy. When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing matrices which consider similar factors that would be used by independent pricing services. These are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

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 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.

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

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

Credit Default Swap Agreements

The Fund entered into credit default swaps, which are agreements with a counterparty that enable the Fund to buy or sell protection on a debt security or a basket of securities against a defined credit event. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller acts as a guarantor of the creditworthiness of a reference obligation. The Fund 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 swaps in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. Counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. The Fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association (ISDA) Master Agreement on a bilateral basis with each of its counterparties. The ISDA Master Agreement gives 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 $15,317,722 representing 0.12% of net assets.

Credit Risk

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

.

Quarterly Report

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

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

or an affiliate.

Quarterly Report

Quarterly Holdings Report

for

Fidelity ® Total Bond Fund -
Total Bond
Class F

November 30, 2010 

1.824865.106

TBD-QTLY-0111

Investments November 30, 2010 (Unaudited)

Showing Percentage of Net Assets

Corporate Bonds - 23.7%

 

Principal Amount (d)

Value

Convertible Bonds - 0.0%

ENERGY - 0.0%

Oil, Gas & Consumable Fuels - 0.0%

Massey Energy Co. 3.25% 8/1/15

$ 1,970,000

$ 1,919,568

FINANCIALS - 0.0%

Real Estate Investment Trusts - 0.0%

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

270,000

267,975

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

233,000

233,000

 

500,975

INFORMATION TECHNOLOGY - 0.0%

Communications Equipment - 0.0%

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

2,841,800

2,697,934

TOTAL CONVERTIBLE BONDS

5,118,477

Nonconvertible Bonds - 23.7%

CONSUMER DISCRETIONARY - 2.7%

Auto Components - 0.1%

American Axle & Manufacturing, Inc. 7.875% 3/1/17

1,040,000

1,027,000

DaimlerChrysler NA Holding Corp.:

5.75% 9/8/11

5,595,000

5,803,839

5.875% 3/15/11

2,077,000

2,107,931

Tenneco, Inc. 7.75% 8/15/18 (h)

1,400,000

1,473,500

 

10,412,270

Diversified Consumer Services - 0.0%

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

2,935,000

3,096,425

Visant Corp. 10% 10/1/17 (h)

1,320,000

1,382,700

 

4,479,125

Hotels, Restaurants & Leisure - 0.3%

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

765,000

498,206

GWR Operating Partnership LLP/Great Wolf Finance Corp. 10.875% 4/1/17

1,635,000

1,700,400

Host Marriott LP 6.375% 3/15/15

250,000

253,750

ITT Corp. 7.375% 11/15/15

250,000

282,813

Las Vegas Sands Corp. 6.375% 2/15/15

1,170,000

1,181,700

MCE Finance Ltd. 10.25% 5/15/18 (h)

3,040,000

3,435,200

MGM Mirage, Inc.:

5.875% 2/27/14

1,050,000

929,250

Corporate Bonds - continued

 

Principal Amount (d)

Value

Nonconvertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Hotels, Restaurants & Leisure - continued

MGM Mirage, Inc.: - continued

6.625% 7/15/15

$ 1,870,000

$ 1,617,550

7.5% 6/1/16

1,160,000

1,009,200

MGM Resorts International 11.375% 3/1/18

910,000

925,925

NCL Corp. Ltd.:

9.5% 11/15/18 (h)

350,000

347,375

11.75% 11/15/16

1,375,000

1,562,344

Royal Caribbean Cruises Ltd.:

7.25% 3/15/18

465,000

496,388

11.875% 7/15/15

1,450,000

1,769,000

yankee:

7.25% 6/15/16

5,365,000

5,807,613

7.5% 10/15/27

3,070,000

3,016,275

Scientific Games Corp.:

7.875% 6/15/16 (h)

2,145,000

2,169,024

9.25% 6/15/19

1,205,000

1,253,200

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

348,133

360,318

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

2,270,000

2,184,875

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

8.875% 11/15/15

1,210,000

1,276,550

10.875% 11/15/16

1,045,000

1,133,825

Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. 7.75% 8/15/20

2,300,000

2,438,000

 

35,648,781

Household Durables - 0.3%

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

775,000

883,500

Fortune Brands, Inc.:

5.875% 1/15/36

13,297,000

11,795,237

6.375% 6/15/14

9,424,000

10,222,759

Jarden Corp. 6.125% 11/15/22

795,000

771,150

Lennar Corp. 12.25% 6/1/17

1,610,000

1,915,900

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

3,055,000

3,207,750

Standard Pacific Corp.:

7% 8/15/15

1,050,000

1,102,500

8.375% 5/15/18

1,475,000

1,508,188

10.75% 9/15/16

2,370,000

2,713,650

 

34,120,634

Corporate Bonds - continued

 

Principal Amount (d)

Value

Nonconvertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Media - 1.9%

Allbritton Communications Co. 8% 5/15/18

$ 2,630,000

$ 2,597,125

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

500,000

603,828

Belo Corp. 8% 11/15/16

1,665,000

1,827,338

Cablevision Systems Corp.:

7.75% 4/15/18

1,440,000

1,526,400

8.625% 9/15/17

2,915,000

3,148,200

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

2,835,000

3,019,275

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

7,580,000

7,845,300

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

1,694,103

1,992,689

Checkout Holding Corp. 0% 11/15/15 (h)

800,000

484,000

Clear Channel Worldwide Holdings, Inc. Series A, 9.25% 12/15/17

555,000

588,300

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

511,000

515,884

Comcast Corp.:

4.95% 6/15/16

1,879,000

2,071,968

5.5% 3/15/11

382,000

387,153

5.7% 5/15/18

14,168,000

15,948,974

6.4% 3/1/40

4,490,000

4,784,822

6.45% 3/15/37

2,196,000

2,357,900

6.55% 7/1/39

9,000,000

9,744,939

COX Communications, Inc. 4.625% 6/1/13

4,467,000

4,808,583

CSC Holdings LLC:

8.5% 6/15/15

1,055,000

1,144,675

8.625% 2/15/19

860,000

984,700

Discovery Communications LLC:

3.7% 6/1/15

6,861,000

7,217,902

6.35% 6/1/40

6,392,000

6,962,575

EchoStar Communications Corp. 7.125% 2/1/16

1,230,000

1,266,900

Entravision Communication Corp. 8.75% 8/1/17 (h)

1,020,000

1,055,700

Globo Comunicacoes e Participacoes SA 6.25% (f)(h)

3,235,000

3,332,050

Insight Communications, Inc. 9.375% 7/15/18 (h)

3,750,000

3,956,250

Kabel Deutschland GmbH 10.625% 7/1/14

4,825,000

5,024,031

Liberty Media Corp. 8.25% 2/1/30

245,000

241,325

NBC Universal, Inc.:

3.65% 4/30/15 (h)

2,800,000

2,931,183

Corporate Bonds - continued

 

Principal Amount (d)

Value

Nonconvertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Media - continued

NBC Universal, Inc.: - continued

5.15% 4/30/20 (h)

$ 11,614,000

$ 12,380,071

6.4% 4/30/40 (h)

18,278,000

19,439,092

Net Servicos de Comunicacao SA 7.5% 1/27/20

735,000

832,388

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

170,000

200,808

News America, Inc.:

6.15% 3/1/37

2,970,000

3,108,928

6.2% 12/15/34

5,330,000

5,611,541

Nexstar Broadcasting, Inc./Mission, Inc. 8.875% 4/15/17 (h)

2,140,000

2,225,600

Nielsen Finance LLC/Nielsen Finance Co.:

0% 8/1/16 (e)

7,805,000

7,902,563

7.75% 10/15/18 (h)

4,130,000

4,202,275

11.5% 5/1/16

2,225,000

2,536,500

11.625% 2/1/14

2,325,000

2,650,500

ProQuest LLC/ProQuest Notes Co. 9% 10/15/18 (h)

2,915,000

2,987,875

Quebecor Media, Inc.:

7.75% 3/15/16

4,032,000

4,152,960

7.75% 3/15/16

2,485,000

2,559,550

QVC, Inc. 7.125% 4/15/17 (h)

1,330,000

1,396,500

Time Warner Cable, Inc.:

5.4% 7/2/12

2,444,000

2,602,975

5.85% 5/1/17

7,607,000

8,681,641

6.2% 7/1/13

2,324,000

2,601,909

6.75% 7/1/18

13,473,000

15,980,433

Time Warner, Inc.:

3.15% 7/15/15

2,850,000

2,939,558

6.2% 3/15/40

10,492,000

11,180,695

6.5% 11/15/36

9,243,000

10,126,252

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

5,278,131

5,463,085

Univision Communications, Inc. 8.5% 5/15/21 (h)

1,820,000

1,747,200

Viacom, Inc.:

6.125% 10/5/17

2,051,000

2,382,585

6.25% 4/30/16

5,600,000

6,539,943

6.75% 10/5/37

1,460,000

1,659,620

Videotron Ltd. 9.125% 4/15/18

1,965,000

2,166,413

 

244,629,429

Corporate Bonds - continued

 

Principal Amount (d)

Value

Nonconvertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Multiline Retail - 0.0%

Sears Holdings Corp. 6.625% 10/15/18 (h)

$ 2,890,000

$ 2,687,700

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

965,000

969,825

 

3,657,525

Specialty Retail - 0.1%

AutoNation, Inc. 6.75% 4/15/18

2,040,000

2,060,400

PETCO Animal Supplies, Inc. 9.25% 12/1/18 (h)

1,830,000

1,848,300

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

5,060,000

5,641,900

Toys 'R' Us, Inc. 7.375% 9/1/16 (h)

1,200,000

1,236,000

 

10,786,600

Textiles, Apparel & Luxury Goods - 0.0%

Hanesbrands, Inc. 6.375% 12/15/20 (h)

885,000

842,963

TOTAL CONSUMER DISCRETIONARY

344,577,327

CONSUMER STAPLES - 1.2%

Beverages - 0.2%

Anheuser-Busch InBev Worldwide, Inc.:

2.5% 3/26/13

8,294,000

8,518,477

7.75% 1/15/19 (h)

4,750,000

6,095,604

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

225,000

230,063

Diageo Capital PLC 5.2% 1/30/13

1,037,000

1,129,508

FBG Finance Ltd. 5.125% 6/15/15 (h)

2,936,000

3,209,515

PepsiCo, Inc. 4.875% 11/1/40

7,541,000

7,384,509

 

26,567,676

Food & Staples Retailing - 0.1%

Albertsons, Inc.:

7.45% 8/1/29

250,000

193,125

7.75% 6/15/26

600,000

463,500

8% 5/1/31

2,385,000

1,848,375

C&S Group Enterprises LLC 8.375% 5/1/17 (h)

1,930,000

1,905,875

CVS Caremark Corp. 6.302% 6/1/37 (o)

9,771,000

9,270,236

SUPERVALU, Inc. 8% 5/1/16

2,260,000

2,214,800

Tops Markets LLC 10.125% 10/15/15

1,825,000

1,934,500

 

17,830,411

Food Products - 0.4%

Cargill, Inc. 6% 11/27/17 (h)

9,457,000

11,033,350

Corporate Bonds - continued

 

Principal Amount (d)

Value

Nonconvertible Bonds - continued

CONSUMER STAPLES - continued

Food Products - continued

Harbinger Group, Inc. 10.625% 11/15/15 (h)

$ 635,000

$ 619,125

Kraft Foods, Inc.:

5.375% 2/10/20

10,631,000

11,822,629

5.625% 11/1/11

3,660,000

3,817,138

6.125% 2/1/18

10,623,000

12,504,843

6.5% 8/11/17

8,720,000

10,408,166

6.75% 2/19/14

540,000

625,605

 

50,830,856

Personal Products - 0.0%

NBTY, Inc. 9% 10/1/18 (h)

1,340,000

1,410,350

Tobacco - 0.5%

Altria Group, Inc. 9.7% 11/10/18

22,622,000

30,385,780

Philip Morris International, Inc.:

4.875% 5/16/13

9,347,000

10,206,859

5.65% 5/16/18

7,161,000

8,365,258

Reynolds American, Inc.:

6.75% 6/15/17

2,994,000

3,410,552

7.25% 6/15/37

4,941,000

5,250,292

 

57,618,741

TOTAL CONSUMER STAPLES

154,258,034

ENERGY - 2.9%

Energy Equipment & Services - 0.3%

Calfrac Holdings LP 7.5% 12/1/20 (h)

885,000

880,575

DCP Midstream LLC 5.35% 3/15/20 (h)

8,730,000

9,301,055

El Paso Pipeline Partners Operating Co. LLC 4.1% 11/15/15

10,806,000

10,846,188

Exterran Holdings, Inc. 7.25% 12/1/18 (h)

2,250,000

2,238,750

Frac Tech Services LLLC/Frac Tech Finance, Inc. 7.125% 11/15/18 (h)

535,000

529,650

Parker Drilling Co. 9.125% 4/1/18

880,000

915,200

Precision Drilling Corp. 6.625% 11/15/20 (h)

975,000

992,063

Weatherford International Ltd.:

4.95% 10/15/13

1,742,000

1,865,555

5.15% 3/15/13

2,277,000

2,421,794

 

29,990,830

Corporate Bonds - continued

 

Principal Amount (d)

Value

Nonconvertible Bonds - continued

ENERGY - continued

Oil, Gas & Consumable Fuels - 2.6%

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

$ 1,165,000

$ 1,231,988

Anadarko Petroleum Corp. 6.375% 9/15/17

9,443,000

10,196,759

Antero Resources Finance Corp. 9.375% 12/1/17

3,190,000

3,309,625

Apache Corp. 5.1% 9/1/40

8,822,000

8,597,083

Arch Coal, Inc.:

7.25% 10/1/20

450,000

481,500

8.75% 8/1/16

1,030,000

1,138,150

BW Group Ltd. 6.625% 6/28/17 (h)

2,957,000

3,014,866

Canadian Natural Resources Ltd.:

5.15% 2/1/13

4,498,000

4,855,146

5.7% 5/15/17

16,009,000

18,536,613

ConocoPhillips:

4.6% 1/15/15

10,000,000

11,118,640

5.75% 2/1/19

2,930,000

3,455,853

CONSOL Energy, Inc.:

8% 4/1/17 (h)

2,320,000

2,482,400

8.25% 4/1/20 (h)

1,545,000

1,676,325

Continental Resources, Inc. 7.125% 4/1/21 (h)

1,740,000

1,827,000

Drummond Co., Inc.:

7.375% 2/15/16

5,575,000

5,686,500

9% 10/15/14 (h)

2,455,000

2,602,300

DTEK Finance BV 9.5% 4/28/15 (h)

850,000

862,750

Duke Capital LLC 6.25% 2/15/13

1,000,000

1,090,394

Duke Energy Field Services:

5.375% 10/15/15 (h)

1,222,000

1,354,446

6.45% 11/3/36 (h)

1,801,000

1,852,917

6.875% 2/1/11

2,313,000

2,335,191

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

935,000

1,019,531

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

2,888,000

3,246,441

Energy Transfer Equity LP 7.5% 10/15/20

2,155,000

2,225,038

Enterprise Products Operating LP 5.65% 4/1/13

697,000

754,224

Frontier Oil Corp.:

6.875% 11/15/18

930,000

943,950

8.5% 9/15/16

1,950,000

2,047,500

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

3,863,000

4,099,018

KazMunaiGaz Finance Sub BV:

6.375% 4/9/21 (h)

850,000

828,750

7% 5/5/20 (h)

1,380,000

1,407,600

8.375% 7/2/13 (h)

1,420,000

1,533,600

Corporate Bonds - continued

 

Principal Amount (d)

Value

Nonconvertible Bonds - continued

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

KazMunaiGaz Finance Sub BV: - continued

9.125% 7/2/18 (h)

$ 1,340,000

$ 1,527,600

11.75% 1/23/15 (h)

1,860,000

2,259,900

LINN Energy LLC:

7.75% 2/1/21 (h)

1,950,000

1,989,000

8.625% 4/15/20 (h)

2,685,000

2,846,100

Massey Energy Co. 6.875% 12/15/13

1,515,000

1,526,363

Midcontinent Express Pipel LLC 5.45% 9/15/14 (h)

10,000,000

10,807,780

Motiva Enterprises LLC:

5.75% 1/15/20 (h)

3,578,000

4,080,476

6.85% 1/15/40 (h)

13,582,000

15,830,812

Naftogaz of Ukraine NJSC 9.5% 9/30/14

1,450,000

1,527,938

Nakilat, Inc.:

6.067% 12/31/33 (h)

1,975,000

2,103,375

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

735,000

779,100

Nexen, Inc.:

5.05% 11/20/13

3,845,000

4,174,340

5.2% 3/10/15

909,000

995,562

5.875% 3/10/35

240,000

240,006

6.4% 5/15/37

3,645,000

3,900,664

NGPL PipeCo LLC 6.514% 12/15/12 (h)

8,163,000

8,791,363

OPTI Canada, Inc. 8.25% 12/15/14

2,255,000

1,578,500

Overseas Shipholding Group, Inc.:

7.5% 2/15/24

500,000

435,000

8.125% 3/30/18

2,530,000

2,605,900

Pacific Rubiales Energy Corp. 8.75% 11/10/16

793,000

888,160

Pan American Energy LLC 7.875% 5/7/21 (h)

4,020,000

4,281,300

Pemex Project Funding Master Trust 6.625% 6/15/35

945,000

981,619

Petro-Canada:

6.05% 5/15/18

3,850,000

4,445,179

6.8% 5/15/38

8,950,000

10,206,616

Petrobras International Finance Co. Ltd.:

5.75% 1/20/20

12,170,000

13,141,908

6.875% 1/20/40

17,027,000

18,389,160

7.875% 3/15/19

10,219,000

12,524,917

8.375% 12/10/18

420,000

524,207

Petrohawk Energy Corp.:

7.25% 8/15/18

2,020,000

2,014,950

7.875% 6/1/15

1,485,000

1,529,550

Corporate Bonds - continued

 

Principal Amount (d)

Value

Nonconvertible Bonds - continued

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Petrohawk Energy Corp.: - continued

10.5% 8/1/14

$ 3,025,000

$ 3,418,250

Petroleos de Venezuela SA:

4.9% 10/28/14

1,120,000

672,000

5.25% 4/12/17

2,040,000

1,086,300

5.375% 4/12/27

8,715,000

3,899,963

5.5% 4/12/37

1,120,000

490,000

Petroleos de Venezuela SA 144 8.5% 11/2/17 (h)

860,000

548,250

Petroleos Mexicanos:

5.5% 1/21/21

500,000

516,250

6% 3/5/20

465,000

502,200

6.625% (h)

1,725,000

1,737,938

8% 5/3/19

420,000

517,650

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

1,001,458

1,011,473

Pioneer Natural Resources Co. 6.65% 3/15/17

4,605,000

4,858,275

Plains All American Pipeline LP 7.75% 10/15/12

2,358,000

2,601,680

Plains All American Pipeline LP/PAA Finance Corp.:

3.95% 9/15/15

5,769,000

6,029,655

6.125% 1/15/17

6,185,000

6,931,313

Plains Exploration & Production Co.:

7% 3/15/17

2,045,000

2,070,563

10% 3/1/16

1,340,000

1,480,700

Quicksilver Resources, Inc.:

7.125% 4/1/16

2,960,000

2,826,800

9.125% 8/15/19

2,040,000

2,182,800

11.75% 1/1/16

2,255,000

2,576,338

Range Resources Corp. 6.75% 8/1/20

1,295,000

1,340,325

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

2,090,900

2,305,217

Ras Laffan Liquefied Natural Gas Co. Ltd. III:

4.5% 9/30/12 (h)

4,773,000

5,011,526

5.5% 9/30/14 (h)

6,670,000

7,281,672

5.832% 9/30/16 (h)

1,198,225

1,322,217

6.332% 9/30/27 (h)

1,840,000

2,016,677

6.75% 9/30/19 (h)

4,366,000

5,137,298

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

2,720,000

2,940,287

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

2,065,000

2,101,138

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

10,851,000

12,611,293

Corporate Bonds - continued

 

Principal Amount (d)

Value

Nonconvertible Bonds - continued

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Targa Resources Partners LP/Targa Resources Partners Finance Corp. 7.875% 10/15/18 (h)

$ 2,205,000

$ 2,315,250

TNK-BP Finance SA 7.5% 7/18/16

890,000

973,438

XTO Energy, Inc.:

5% 1/31/15

1,749,000

1,985,764

5.65% 4/1/16

1,200,000

1,412,689

YPF SA 10% 11/2/28

1,570,000

1,766,250

 

339,218,882

TOTAL ENERGY

369,209,712

FINANCIALS - 9.3%

Capital Markets - 1.6%

Bear Stearns Companies, Inc. 5.3% 10/30/15

1,170,000

1,290,301

BlackRock, Inc. 6.25% 9/15/17

6,062,000

6,995,360

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

970,000

1,011,225

Goldman Sachs Group, Inc.:

3.7% 8/1/15

8,571,000

8,752,397

5.625% 1/15/17

3,200,000

3,369,104

5.95% 1/18/18

3,989,000

4,325,815

6.15% 4/1/18

4,275,000

4,678,992

6.75% 10/1/37

9,643,000

9,653,675

7.5% 2/15/19

1,757,000

2,046,972

Janus Capital Group, Inc.:

6.125% 9/15/11 (f)

2,473,000

2,497,755

6.5% 6/15/12

4,266,000

4,455,547

JPMorgan Chase Capital XX 6.55% 9/29/36

17,904,000

17,782,736

JPMorgan Chase Capital XXV 6.8% 10/1/37

7,405,000

7,382,311

Lazard Group LLC:

6.85% 6/15/17

3,867,000

4,105,470

7.125% 5/15/15

1,377,000

1,514,010

Merrill Lynch & Co., Inc.:

5.45% 2/5/13

12,383,000

13,035,250

6.4% 8/28/17

7,407,000

7,937,038

6.875% 4/25/18

6,836,000

7,504,520

Morgan Stanley:

4% 7/24/15

15,887,000

16,117,187

4.75% 4/1/14

2,429,000

2,523,410

5.625% 9/23/19

11,500,000

11,682,413

Corporate Bonds - continued

 

Principal Amount (d)

Value

Nonconvertible Bonds - continued

FINANCIALS - continued

Capital Markets - continued

Morgan Stanley: - continued

5.95% 12/28/17

$ 5,050,000

$ 5,329,886

6% 5/13/14

17,110,000

18,652,330

6.625% 4/1/18

15,268,000

16,671,694

7.3% 5/13/19

8,304,000

9,322,826

Nuveen Investments, Inc.:

5.5% 9/15/15

2,065,000

1,729,438

10.5% 11/15/15

900,000

893,250

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

3,864,000

4,163,993

UBS AG Stamford Branch 5.75% 4/25/18

4,505,000

4,983,796

 

200,408,701

Commercial Banks - 1.7%

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

1,040,000

1,164,800

Akbank T. A. S. 5.125% 7/22/15 (h)

855,000

844,313

Ally Financial, Inc.:

6.25% 12/1/17 (h)

2,735,000

2,652,950

7.5% 9/15/20 (h)

2,645,000

2,645,000

Banco Bradesco SA 5.9% 1/16/21 (h)

620,000

626,200

Banco de Credito del Peru 5.375% 9/16/20 (h)

510,000

510,000

Banco do Nordeste do Brasil SA 3.625% 11/9/15 (h)

500,000

488,125

BanColombia SA 6.125% 7/26/20

515,000

525,300

Bank of America NA 5.3% 3/15/17

3,315,000

3,355,877

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

2,330,000

2,300,875

CIT Group, Inc.:

7% 5/1/13

362,745

364,559

7% 5/1/14

2,039,117

2,016,177

7% 5/1/15

2,334,117

2,299,105

7% 5/1/16

2,651,861

2,598,824

7% 5/1/17

4,684,604

4,590,912

Comerica, Inc. 3% 9/16/15

1,191,000

1,195,648

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

16,107,000

17,556,372

DBS Bank Ltd. (Singapore) 0.5044% 5/16/17 (h)(o)

3,914,986

3,787,749

Development Bank of Philippines 8.375% (o)

1,555,000

1,733,825

Discover Bank 8.7% 11/18/19

12,480,000

14,895,304

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

5,750,000

5,764,375

Export-Import Bank of Korea:

5.125% 2/14/11

2,920,000

2,942,496

Corporate Bonds - continued

 

Principal Amount (d)

Value

Nonconvertible Bonds - continued

FINANCIALS - continued

Commercial Banks - continued

Export-Import Bank of Korea: - continued

5.25% 2/10/14 (h)

$ 565,000

$ 605,200

5.5% 10/17/12

2,256,000

2,393,853

Fifth Third Bancorp:

4.5% 6/1/18

798,000

785,047

8.25% 3/1/38

3,929,000

4,511,647

Fifth Third Bank 4.75% 2/1/15

1,329,000

1,400,415

Fifth Third Capital Trust IV 6.5% 4/15/67 (o)

6,252,000

5,814,360

HBOS PLC 6.75% 5/21/18 (h)

6,067,000

5,806,847

HSBK (Europe) BV:

7.25% 5/3/17 (h)

510,000

502,350

9.25% 10/16/13 (h)

2,095,000

2,267,838

Itau Unibanco Holding SA 5.75% 1/22/21 (h)

530,000

533,975

JPMorgan Chase Bank 6% 10/1/17

10,795,000

12,126,973

Kazkommerts International BV 8.5% 4/16/13 (h)

1,245,000

1,195,200

KeyBank NA:

5.8% 7/1/14

8,672,000

9,431,633

6.95% 2/1/28

1,977,000

2,054,400

7% 2/1/11

1,124,000

1,134,297

KeyBank NA, Cleveland 5.45% 3/3/16

3,939,000

4,237,127

Manufacturers & Traders Trust Co. 1.79% 4/1/13 (o)

720,797

711,853

Marshall & Ilsley Bank:

4.85% 6/16/15

4,206,000

3,777,686

5% 1/17/17

6,668,000

5,821,937

5.25% 9/4/12

3,100,000

3,143,791

PNC Funding Corp. 3.625% 2/8/15

2,779,000

2,893,100

Regions Bank:

6.45% 6/26/37

9,989,000

8,390,760

7.5% 5/15/18

6,622,000

6,381,953

Regions Financial Corp.:

4.875% 4/26/13

1,135,000

1,061,225

5.75% 6/15/15

1,964,000

1,831,430

7.75% 11/10/14

6,185,000

6,030,375

RSHB Capital SA 9% 6/11/14 (h)

405,000

454,005

SVB Financial Group 5.375% 9/15/20

1,506,000

1,501,920

The State Export-Import Bank of Ukraine JSC 8.4% 2/9/16 (Issued by Credit Suisse First Boston International for The State Export-Import Bank of Ukraine JSC) (f)

1,010,000

979,700

Corporate Bonds - continued

 

Principal Amount (d)

Value

Nonconvertible Bonds - continued

FINANCIALS - continued

Commercial Banks - continued

Trade & Development Bank of Mong LLC 8.5% 10/25/13

$ 555,000

$ 556,388

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

1,437,000

1,411,647

UnionBanCal Corp. 5.25% 12/16/13

662,000

722,571

Vimpel Communications 8.25% 5/23/16 (Reg. S) (Issued by UBS Luxembourg SA for Vimpel Communications)

750,000

815,625

Wachovia Bank NA:

4.875% 2/1/15

1,408,000

1,509,356

6.6% 1/15/38

9,000,000

9,804,348

Wachovia Corp.:

5.625% 10/15/16

3,399,000

3,810,208

5.75% 6/15/17

2,933,000

3,283,752

Wells Fargo & Co.:

3.625% 4/15/15

10,194,000

10,700,785

3.75% 10/1/14

4,016,000

4,237,772

Zions Bancorp. 7.75% 9/23/14

3,590,000

3,786,007

 

213,278,142

Consumer Finance - 1.0%

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

5,251,000

5,437,531

Discover Financial Services:

6.45% 6/12/17

9,775,000

10,421,958

10.25% 7/15/19

11,089,000

13,906,038

Ford Motor Credit Co. LLC:

6.625% 8/15/17

3,250,000

3,363,750

8% 6/1/14

1,065,000

1,160,850

8% 12/15/16

2,730,000

2,999,246

12% 5/15/15

3,440,000

4,248,400

General Electric Capital Corp.:

5.625% 9/15/17

5,858,000

6,449,336

5.625% 5/1/18

25,000,000

27,235,075

5.875% 1/14/38

14,000,000

13,674,416

6.375% 11/15/67 (o)

9,000,000

8,887,500

GMAC LLC:

6.75% 12/1/14

4,595,000

4,652,438

8% 12/31/18

975,000

984,750

8% 11/1/31

1,190,000

1,222,725

Household Finance Corp. 6.375% 10/15/11

1,860,000

1,944,053

Corporate Bonds - continued

 

Principal Amount (d)

Value

Nonconvertible Bonds - continued

FINANCIALS - continued

Consumer Finance - continued

HSBC Finance Corp. 5.25% 1/14/11

$ 1,308,000

$ 1,314,256

National Money Mart Co. 10.375% 12/15/16

2,975,000

3,138,625

ORIX Corp. 5.48% 11/22/11

385,000

396,139

SLM Corp.:

0.4922% 3/15/11 (o)

112,000

110,882

0.5184% 10/25/11 (o)

12,343,000

12,110,717

8% 3/25/20

5,103,000

5,128,515

 

128,787,200

Diversified Financial Services - 1.8%

Azovstal Capital BV 9.125% 2/28/11

375,000

375,938

Bank of America Corp.:

5.75% 12/1/17

22,845,000

23,652,662

8% (o)

970,000

955,450

8.125% (o)

1,290,000

1,277,100

Bank of Georgia JSC 9% 2/8/12 (Issued by BG Finance BV for Bank of Georgia JSC)

540,000

542,700

BP Capital Markets PLC 3.125% 10/1/15

10,174,000

10,230,313

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

2,835,000

2,962,575

Capital One Capital V 10.25% 8/15/39

3,745,000

3,960,338

CCO Holdings LLC/CCO Holdings Capital Corp.:

7.25% 10/30/17 (h)

3,055,000

3,085,550

7.875% 4/30/18 (h)

865,000

897,438

Citigroup, Inc.:

4.75% 5/19/15

30,435,000

31,742,275

5.375% 8/9/20

10,933,000

11,168,715

5.5% 4/11/13

13,549,000

14,523,105

6.125% 5/15/18

15,634,000

17,036,651

6.5% 1/18/11

1,307,000

1,316,620

6.5% 8/19/13

10,774,000

11,882,386

City of Buenos Aires 12.5% 4/6/15 (h)

2,210,000

2,397,850

GMAC LLC 8% 3/15/20 (h)

2,700,000

2,754,000

Icahn Enterprises LP/Icahn Enterprises Finance Corp.:

7.75% 1/15/16

2,605,000

2,618,025

7.75% 1/15/16 (h)

1,495,000

1,502,475

8% 1/15/18

4,655,000

4,678,275

8% 1/15/18 (h)

1,495,000

1,502,475

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

1,250,000

943,750

Corporate Bonds - continued

 

Principal Amount (d)

Value

Nonconvertible Bonds - continued

FINANCIALS - continued

Diversified Financial Services - continued

International Lease Finance Corp.:

5.625% 9/20/13

$ 380,000

$ 374,300

5.65% 6/1/14

1,300,000

1,261,000

6.375% 3/25/13

355,000

356,775

6.625% 11/15/13

1,560,000

1,563,900

JPMorgan Chase & Co.:

4.25% 10/15/20

10,500,000

10,244,325

4.95% 3/25/20

17,148,000

17,658,650

LBI Escrow Corp. 8% 11/1/17 (h)

3,045,000

3,311,438

Myriad International Holding BV 6.375% 7/28/17 (h)

855,000

887,063

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

9,115,000

8,226,288

Offshore Group Investment Ltd. 11.5% 8/1/15 (h)

3,155,000

3,328,525

PHH Corp. 9.25% 3/1/16 (h)

1,610,000

1,650,250

Prime Property Funding, Inc.:

5.125% 6/1/15 (h)

1,090,000

1,059,597

5.5% 1/15/14 (h)

695,000

699,574

5.7% 4/15/17 (h)

1,696,000

1,534,736

Rearden G Holdings Eins GmbH 7.875% 3/30/20 (h)

715,000

760,581

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

364,436

309,770

TECO Finance, Inc.:

4% 3/15/16

2,562,000

2,671,446

5.15% 3/15/20

3,681,000

3,935,622

TMK Capital SA 10% 7/29/11

1,700,000

1,755,250

Trans Union LLC/Trans Union Financing Corp. 11.375% 6/15/18 (h)

2,310,000

2,627,625

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

3,238,000

3,419,943

UPC Germany GmbH 8.125% 12/1/17 (h)

1,950,000

2,013,375

Vnesheconombank Via VEB Finance Ltd. 6.8% 11/22/25 (h)

605,000

583,825

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

5,121,570

5,442,700

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

5,755,000

5,611,125

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

1,673,000

1,599,957

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

3,125,000

3,039,063

Zhaikmunai Finance BV 10.5% 10/19/15 (h)

520,000

491,400

 

238,424,769

Corporate Bonds - continued

 

Principal Amount (d)

Value

Nonconvertible Bonds - continued

FINANCIALS - continued

Insurance - 1.3%

Allstate Corp.:

5.55% 5/9/35

$ 7,505,000

$ 7,667,994

6.2% 5/16/14

6,893,000

7,942,439

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

7,875,000

8,032,500

Aon Corp.:

3.5% 9/30/15

4,219,000

4,278,429

5% 9/30/20

4,848,000

4,955,097

6.25% 9/30/40

3,160,000

3,203,829

Assurant, Inc. 5.625% 2/15/14

1,912,000

2,018,246

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

558,000

599,129

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

1,491,000

1,472,363

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

753,000

819,511

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

594,000

530,902

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

7,475,000

9,983,677

MetLife, Inc.:

2.375% 2/6/14

5,900,000

5,965,071

4.75% 2/8/21

4,032,000

4,183,390

5% 6/15/15

1,163,000

1,275,954

5.875% 2/6/41

3,113,000

3,192,739

6.125% 12/1/11

990,000

1,039,608

6.75% 6/1/16

7,610,000

9,013,553

Metropolitan Life Global Funding I:

5.125% 4/10/13 (h)

559,000

605,358

5.125% 6/10/14 (h)

6,751,000

7,482,626

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

1,652,000

1,685,995

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

2,202,000

2,377,654

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

3,590,000

4,255,033

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

5,160,000

5,600,793

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

11,281,000

12,126,782

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

6,756,000

8,606,759

Pacific LifeCorp 6% 2/10/20 (h)

5,766,000

6,267,884

Prudential Financial, Inc.:

3.625% 9/17/12

11,000,000

11,438,812

4.75% 9/17/15

11,000,000

11,889,119

5.15% 1/15/13

2,167,000

2,321,908

Corporate Bonds - continued

 

Principal Amount (d)

Value

Nonconvertible Bonds - continued

FINANCIALS - continued

Insurance - continued

Prudential Financial, Inc.: - continued

7.375% 6/15/19

$ 3,230,000

$ 3,870,041

8.875% 6/15/38 (o)

1,915,000

2,202,250

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

5,181,000

5,346,611

The Chubb Corp. 5.75% 5/15/18

4,035,000

4,589,373

Unum Group 5.625% 9/15/20

5,659,000

5,728,526

 

172,569,955

Real Estate Investment Trusts - 0.4%

AvalonBay Communities, Inc.:

4.95% 3/15/13

367,000

394,365

5.5% 1/15/12

1,759,000

1,839,362

Camden Property Trust:

5.375% 12/15/13

4,073,000

4,402,339

5.875% 11/30/12

670,000

717,315

Developers Diversified Realty Corp.:

5.25% 4/15/11

3,363,000

3,402,280

5.375% 10/15/12

3,206,000

3,301,257

7.5% 4/1/17

4,686,000

5,258,292

7.875% 9/1/20

323,000

369,625

Duke Realty LP:

4.625% 5/15/13

949,000

987,017

5.875% 8/15/12

1,017,000

1,076,285

Equity One, Inc.:

6% 9/15/17

890,000

907,930

6.25% 12/15/14

5,464,000

5,862,440

6.25% 1/15/17

494,000

513,577

Federal Realty Investment Trust:

5.4% 12/1/13

441,000

477,667

5.9% 4/1/20

2,450,000

2,692,418

6% 7/15/12

2,933,000

3,124,481

6.2% 1/15/17

620,000

704,043

HMB Capital Trust V 3.8922% 12/15/36 (c)(h)(o)

270,000

0

HRPT Properties Trust:

5.75% 11/1/15

890,000

939,294

6.25% 6/15/17

1,232,000

1,294,821

6.65% 1/15/18

867,000

928,034

Omega Healthcare Investors, Inc.:

6.75% 10/15/22 (h)

1,260,000

1,263,150

Corporate Bonds - continued

 

Principal Amount (d)

Value

Nonconvertible Bonds - continued

FINANCIALS - continued

Real Estate Investment Trusts - continued

Omega Healthcare Investors, Inc.: - continued

7% 1/15/16

$ 3,060,000

$ 3,098,250

Senior Housing Properties Trust:

6.75% 4/15/20

1,575,000

1,669,500

8.625% 1/15/12

250,000

262,500

UDR, Inc. 5.5% 4/1/14

5,222,000

5,609,769

Washington (REIT) 5.95% 6/15/11

3,701,000

3,779,565

 

54,875,576

Real Estate Management & Development - 1.2%

AMB Property LP 5.9% 8/15/13

2,580,000

2,755,953

Arden Realty LP 5.2% 9/1/11

1,339,000

1,382,093

BioMed Realty LP 6.125% 4/15/20 (h)

3,359,000

3,624,314

Brandywine Operating Partnership LP:

5.625% 12/15/10

4,192,000

4,197,077

5.7% 5/1/17

6,962,000

7,076,859

5.75% 4/1/12

2,512,000

2,591,799

CB Richard Ellis Services, Inc. 6.625% 10/15/20 (h)

595,000

592,025

Colonial Properties Trust 6.875% 8/15/12

4,000,000

4,176,584

Colonial Realty LP 6.05% 9/1/16

2,000,000

1,943,514

Digital Realty Trust LP 4.5% 7/15/15 (h)

4,981,000

5,113,161

Duke Realty LP:

5.4% 8/15/14

5,421,000

5,769,874

5.625% 8/15/11

3,706,000

3,790,975

5.95% 2/15/17

1,109,000

1,181,659

6.25% 5/15/13

14,494,000

15,645,761

6.5% 1/15/18

3,795,000

4,145,624

6.75% 3/15/20

10,000,000

11,091,870

ERP Operating LP:

4.75% 7/15/20

7,569,000

7,821,661

5.25% 9/15/14

1,310,000

1,445,817

5.375% 8/1/16

2,768,000

3,075,168

5.5% 10/1/12

3,690,000

3,967,160

5.75% 6/15/17

11,387,000

12,721,636

Forest City Enterprises, Inc.:

6.5% 2/1/17

250,000

217,500

7.625% 6/1/15

100,000

92,000

Highwoods/Forsyth LP 5.85% 3/15/17

615,000

643,467

Corporate Bonds - continued

 

Principal Amount (d)

Value

Nonconvertible Bonds - continued

FINANCIALS - continued

Real Estate Management & Development - continued

Host Hotels & Resorts LP:

6% 11/1/20 (h)

$ 1,075,000

$ 1,056,188

9% 5/15/17

2,135,000

2,396,538

Liberty Property LP:

4.75% 10/1/20

11,435,000

11,677,308

5.125% 3/2/15

1,190,000

1,294,145

5.5% 12/15/16

1,523,000

1,682,412

6.625% 10/1/17

4,835,000

5,631,344

Mack-Cali Realty LP 7.75% 2/15/11

976,000

989,762

Post Apartment Homes LP 6.3% 6/1/13

3,812,000

4,089,361

Reckson Operating Partnership LP 6% 3/31/16

3,651,000

3,656,228

Regency Centers LP:

4.95% 4/15/14

611,000

644,441

5.25% 8/1/15

2,133,000

2,273,861

5.875% 6/15/17

1,089,000

1,195,495

Simon Property Group LP 4.2% 2/1/15

3,659,000

3,904,768

Tanger Properties LP:

6.125% 6/1/20

4,395,000

4,831,366

6.15% 11/15/15

1,761,000

1,953,673

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

2,455,000

2,590,025

Ventas Realty LP:

6.5% 6/1/16

105,000

109,725

6.5% 6/1/16

450,000

470,250

6.75% 4/1/17

250,000

267,500

 

155,777,941

Thrifts & Mortgage Finance - 0.3%

Bank of America Corp.:

3.7% 9/1/15

4,630,000

4,569,120

5.65% 5/1/18

12,000,000

12,296,424

6.5% 8/1/16

9,000,000

9,772,407

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

7,600,000

8,191,516

Independence Community Bank Corp. 2.11% 4/1/14 (o)

4,218,000

4,139,212

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

100,000

30,000

 

38,998,679

TOTAL FINANCIALS

1,203,120,963

Corporate Bonds - continued

 

Principal Amount (d)

Value

Nonconvertible Bonds - continued

HEALTH CARE - 0.7%

Health Care Equipment & Supplies - 0.0%

Biomet, Inc.:

10% 10/15/17

$ 3,230,000

$ 3,504,550

10.375% 10/15/17 pay-in-kind (o)

1,505,000

1,636,688

 

5,141,238

Health Care Providers & Services - 0.5%

Coventry Health Care, Inc.:

5.95% 3/15/17

1,747,000

1,765,967

6.3% 8/15/14

3,618,000

3,823,184

DASA Finance Corp. 8.75% 5/29/18 (h)

930,000

1,060,200

DaVita, Inc.:

6.375% 11/1/18

1,180,000

1,168,200

6.625% 11/1/20

1,020,000

1,014,900

Express Scripts, Inc.:

5.25% 6/15/12

7,157,000

7,587,214

6.25% 6/15/14

2,629,000

2,988,182

HCA Holdings, Inc. 7.75% 5/15/21 (h)

2,420,000

2,377,650

HCA, Inc.:

9.125% 11/15/14

3,905,000

4,070,963

9.25% 11/15/16

4,905,000

5,113,463

9.625% 11/15/16 pay-in-kind (o)

11,255,066

11,986,645

HealthSouth Corp.:

7.25% 10/1/18

1,695,000

1,741,613

7.75% 9/15/22

905,000

938,938

Medco Health Solutions, Inc. 4.125% 9/15/20

7,486,000

7,488,553

Rural/Metro Corp. 12.75% 3/15/16

995,000

1,064,650

Sabra Health Care LP/Sabra Capital Corp. 8.125% 11/1/18 (h)

190,000

192,850

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

164,000

168,100

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

10,000

10,750

Vanguard Health Holding Co. II LLC/Vanguard Health Holding Co. II, Inc.:

8% 2/1/18

5,155,000

5,206,550

8% 2/1/18 (h)

2,330,000

2,353,300

 

62,121,872

Health Care Technology - 0.1%

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

6,090,000

6,638,100

Corporate Bonds - continued

 

Principal Amount (d)

Value

Nonconvertible Bonds - continued

HEALTH CARE - continued

Pharmaceuticals - 0.1%

Endo Pharmaceuticals Holdings, Inc. 7% 12/15/20 (h)

$ 1,120,000

$ 1,136,800

Mylan, Inc.:

6% 11/15/18 (h)

2,185,000

2,141,300

7.625% 7/15/17 (h)

1,115,000

1,179,113

7.875% 7/15/20 (h)

995,000

1,064,650

Novartis Capital Corp. 4.125% 2/10/14

2,930,000

3,168,745

Roche Holdings, Inc. 5% 3/1/14 (h)

5,943,000

6,622,190

Valeant Pharmaceuticals International 6.875% 12/1/18 (h)

2,745,000

2,722,766

 

18,035,564

TOTAL HEALTH CARE

91,936,774

INDUSTRIALS - 1.2%

Aerospace & Defense - 0.1%

Alliant Techsystems, Inc. 6.875% 9/15/20

1,695,000

1,728,900

BAE Systems Holdings, Inc.:

6.375% 6/1/19 (h)

8,071,000

9,276,985

6.4% 12/15/11 (h)

818,000

854,403

BE Aerospace, Inc.:

6.875% 10/1/20

1,120,000

1,145,200

8.5% 7/1/18

3,470,000

3,773,625

Esterline Technologies Corp. 7% 8/1/20 (h)

1,105,000

1,143,675

 

17,922,788

Airlines - 0.3%

Air Canada 9.25% 8/1/15 (h)

4,265,000

4,478,250

American Airlines, Inc. 10.5% 10/15/12

3,200,000

3,480,000

American Airlines, Inc. pass-thru trust certificates:

6.978% 10/1/12

63,163

64,186

8.608% 10/1/12

960,000

969,600

10.375% 7/2/19

1,878,805

2,235,779

AMR Corp. 9% 8/1/12

485,000

495,913

Continental Airlines, Inc.:

pass-thru trust certificates 9.798% 4/1/21

374,725

383,156

6.648% 3/15/19

2,820,535

2,957,331

6.75% 9/15/15 (h)

3,405,000

3,502,724

6.82% 5/1/18

221,731

234,703

6.9% 7/2/19

817,032

872,182

Corporate Bonds - continued

 

Principal Amount (d)

Value

Nonconvertible Bonds - continued

INDUSTRIALS - continued

Airlines - continued

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

$ 2,906,574

$ 3,139,100

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

6.821% 8/10/22

338,024

359,151

8.021% 8/10/22

1,640,643

1,716,113

8.954% 8/10/14

2,174,767

2,285,680

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

824,124

832,365

U.S. Airways pass-thru trust certificates:

6.85% 7/30/19

1,918,309

1,857,882

8.36% 7/20/20

1,320,837

1,345,273

United Air Lines, Inc.:

9.875% 8/1/13 (h)

785,000

852,667

12% 11/1/13 (h)

995,000

1,099,475

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

Class B, 7.336% 7/2/19

838,014

808,683

9.75% 1/15/17

2,284,141

2,640,924

12% 1/15/16 (h)

828,962

946,012

 

37,557,149

Building Products - 0.0%

Building Materials Corp. of America 6.875% 8/15/18 (h)

2,550,000

2,499,000

Commercial Services & Supplies - 0.2%

ARAMARK Corp.:

3.7869% 2/1/15 (o)

5,440,000

5,154,400

8.5% 2/1/15

1,775,000

1,832,688

Covanta Holding Corp. 7.25% 12/1/20 (j)

1,190,000

1,214,551

EnergySolutions, Inc. / EnergySolutions LLC 10.75% 8/15/18 (h)

955,000

1,043,338

International Lease Finance Corp.:

6.5% 9/1/14 (h)

1,620,000

1,701,000

6.75% 9/1/16 (h)

1,620,000

1,717,200

8.625% 9/15/15 (h)

2,745,000

2,909,700

8.75% 3/15/17 (h)

3,990,000

4,259,325

8.875% 9/1/17

4,870,000

5,162,200

 

24,994,402

Construction & Engineering - 0.0%

Amsted Industries, Inc. 8.125% 3/15/18 (h)

2,535,000

2,566,688

Corporate Bonds - continued

 

Principal Amount (d)

Value

Nonconvertible Bonds - continued

INDUSTRIALS - continued

Construction & Engineering - continued

Odebrecht Finance Ltd. 7% 4/21/20 (h)

$ 460,000

$ 496,800

Odebrecht Overseas Ltd. 9.625%

250,000

250,000

 

3,313,488

Industrial Conglomerates - 0.2%

General Electric Co. 5.25% 12/6/17

17,730,000

19,390,255

Sequa Corp. 13.5% 12/1/15 pay-in-kind (h)

901,711

978,356

 

20,368,611

Machinery - 0.1%

Accuride Corp. 9.5% 8/1/18 (h)

2,230,000

2,374,950

ArvinMeritor, Inc. 8.125% 9/15/15

3,250,000

3,323,125

Navistar International Corp. 8.25% 11/1/21

2,655,000

2,814,300

RBS Global, Inc./Rexnord Corp. 8.5% 5/1/18

2,245,000

2,312,350

 

10,824,725

Marine - 0.1%

Navios Maritime Acquisition Corp./Navios Acquisition Finance US, Inc. 8.625% 11/1/17 (h)

680,000

685,984

Navios Maritime Holdings, Inc.:

8.875% 11/1/17

1,970,000

2,102,975

9.5% 12/15/14

3,070,000

3,177,450

SCF Capital Ltd. 5.375% 10/27/17 (h)

480,000

465,600

 

6,432,009

Professional Services - 0.0%

FTI Consulting, Inc. 6.75% 10/1/20 (h)

2,515,000

2,496,138

Road & Rail - 0.2%

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

7.625% 5/15/14

4,105,000

4,146,050

7.75% 5/15/16

3,025,000

3,025,000

Georgian Railway Ltd. 9.875% 7/22/15

475,000

504,688

Hertz Corp.:

7.5% 10/15/18 (h)

5,260,000

5,286,300

8.875% 1/1/14

6,065,000

6,186,300

10.5% 1/1/16

2,240,000

2,352,000

Kansas City Southern de Mexico, SA de CV 12.5% 4/1/16

1,235,000

1,512,875

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

2,965,000

3,142,900

 

26,156,113

Corporate Bonds - continued

 

Principal Amount (d)

Value

Nonconvertible Bonds - continued

INDUSTRIALS - continued

Trading Companies & Distributors - 0.0%

Aircastle Ltd. 9.75% 8/1/18

$ 495,000

$ 540,788

TOTAL INDUSTRIALS

153,105,211

INFORMATION TECHNOLOGY - 0.5%

Communications Equipment - 0.1%

Avaya, Inc.:

9.75% 11/1/15

1,290,000

1,270,650

10.125% 11/1/15 pay-in-kind (o)

4,012,385

3,962,230

Lucent Technologies, Inc.:

6.45% 3/15/29

5,400,000

4,374,000

6.5% 1/15/28

1,940,000

1,571,400

 

11,178,280

Electronic Equipment & Components - 0.1%

Jabil Circuit, Inc.:

5.625% 12/15/20

710,000

697,575

7.75% 7/15/16

2,915,000

3,257,513

8.25% 3/15/18

1,025,000

1,168,500

Tyco Electronics Group SA:

5.95% 1/15/14

2,950,000

3,274,226

6% 10/1/12

3,877,000

4,156,675

6.55% 10/1/17

1,383,000

1,586,460

 

14,140,949

Internet Software & Services - 0.1%

Equinix, Inc. 8.125% 3/1/18

2,530,000

2,650,175

Terremark Worldwide, Inc.:

9.5% 11/15/13 (h)

990,000

980,100

12% 6/15/17

4,050,000

4,536,000

 

8,166,275

IT Services - 0.1%

Fidelity National Information Services, Inc.:

7.625% 7/15/17 (h)

800,000

844,000

7.875% 7/15/20 (h)

1,070,000

1,142,225

SunGard Data Systems, Inc.:

7.375% 11/15/18 (h)

1,095,000

1,084,050

Corporate Bonds - continued

 

Principal Amount (d)

Value

Nonconvertible Bonds - continued

INFORMATION TECHNOLOGY - continued

IT Services - continued

SunGard Data Systems, Inc.: - continued

7.625% 11/15/20 (h)

$ 1,095,000

$ 1,089,525

10.25% 8/15/15

3,795,000

3,946,800

 

8,106,600

Office Electronics - 0.0%

Xerox Capital Trust I 8% 2/1/27

6,230,000

6,318,260

Xerox Corp. 5.5% 5/15/12

1,602,000

1,693,296

 

8,011,556

Semiconductors & Semiconductor Equipment - 0.1%

Advanced Micro Devices, Inc. 7.75% 8/1/20 (h)

2,085,000

2,147,550

Amkor Technology, Inc. 7.375% 5/1/18

2,060,000

2,101,200

Freescale Semiconductor, Inc.:

9.125% 12/15/14 pay-in-kind (o)

1,966,560

1,971,476

9.25% 4/15/18 (h)

2,385,000

2,498,288

10.125% 12/15/16

3,320,000

3,137,400

Spansion LLC 7.875% 11/15/17 (h)

1,620,000

1,605,825

Viasystems, Inc. 12% 1/15/15 (h)

1,590,000

1,780,800

 

15,242,539

TOTAL INFORMATION TECHNOLOGY

64,846,199

MATERIALS - 1.1%

Chemicals - 0.6%

Berry Plastics Corp.:

5.0391% 2/15/15 (o)

1,975,000

1,876,250

8.25% 11/15/15

2,660,000

2,773,050

9.5% 5/15/18

1,725,000

1,673,250

Braskem Finance Ltd. 7% 5/7/20 (h)

860,000

885,800

Celanese US Holdings LLC 6.625% 10/15/18 (h)

1,185,000

1,211,663

Dow Chemical Co.:

4.25% 11/15/20

10,205,000

9,937,915

4.85% 8/15/12

9,460,000

10,027,335

7.6% 5/15/14

16,104,000

18,806,895

Huntsman International LLC:

5.5% 6/30/16

3,195,000

3,067,200

8.625% 3/15/20

1,700,000

1,814,750

8.625% 3/15/21 (h)

2,535,000

2,737,800

Ineos Finance PLC 9% 5/15/15 (h)

1,715,000

1,787,888

Corporate Bonds - continued

 

Principal Amount (d)

Value

Nonconvertible Bonds - continued

MATERIALS - continued

Chemicals - continued

Inergy LP/Inergy Finance Corp. 7% 10/1/18 (h)

$ 1,865,000

$ 1,846,350

Lyondell Chemical Co. 11% 5/1/18

3,955,000

4,399,938

NOVA Chemicals Corp.:

3.5678% 11/15/13 (o)

2,720,000

2,638,400

6.5% 1/15/12

2,290,000

2,364,425

8.375% 11/1/16

2,825,000

3,029,813

8.625% 11/1/19

1,935,000

2,113,988

 

72,992,710

Construction Materials - 0.0%

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

1,833,000

2,018,831

Containers & Packaging - 0.0%

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

4,250,000

4,377,500

Metals & Mining - 0.4%

Anglo American Capital PLC:

4.45% 9/27/20 (h)

2,556,000

2,631,739

9.375% 4/8/14 (h)

5,953,000

7,283,507

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

1,975,000

2,081,026

Corporacion Nacional del Cobre (Codelco):

3.75% 11/4/20 (h)

3,317,000

3,242,621

6.375% 11/30/12 (h)

2,002,000

2,184,066

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

830,000

896,400

Edgen Murray Corp. 12.25% 1/15/15

3,960,000

3,326,400

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

2,990,000

3,057,275

Evraz Group SA:

8.25% 11/10/15 (h)

505,000

525,831

8.875% 4/24/13 (h)

1,665,000

1,760,738

FMG Resources (August 2006) Pty Ltd. 7% 11/1/15 (h)

875,000

888,125

Gerdau Trade, Inc. 5.75% 1/30/21 (h)

530,000

535,300

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

5,660,000

5,178,900

Metinvest BV 10.25% 5/20/15 (h)

810,000

828,225

Rain CII Carbon LLC/CII Carbon Corp. 8% 12/1/18 (h)

830,000

850,750

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

2,940,000

3,057,600

Southern Copper Corp. 6.75% 4/16/40

1,690,000

1,747,798

Steel Capital SA 6.7% 10/25/17 (h)

535,000

523,631

Steel Dynamics, Inc. 6.75% 4/1/15

2,240,000

2,251,200

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

1,700,000

1,751,000

Corporate Bonds - continued

 

Principal Amount (d)

Value

Nonconvertible Bonds - continued

MATERIALS - continued

Metals & Mining - continued

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

$ 2,648,000

$ 2,300,450

Vale Overseas Ltd. 6.25% 1/23/17

5,007,000

5,684,512

 

52,587,094

Paper & Forest Products - 0.1%

Boise Paper LLC/Boise Co-Issuer Co. 8% 4/1/20

1,165,000

1,258,200

Verso Paper Holdings LLC/Verso Paper, Inc.:

9.125% 8/1/14

1,345,000

1,324,825

11.5% 7/1/14

2,880,000

3,139,200

 

5,722,225

TOTAL MATERIALS

137,698,360

TELECOMMUNICATION SERVICES - 2.1%

Diversified Telecommunication Services - 1.2%

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

1,185,000

1,344,975

AT&T, Inc.:

2.5% 8/15/15

7,000,000

7,072,520

5.35% 9/1/40 (h)

10,000,000

9,467,610

6.3% 1/15/38

10,671,000

11,343,273

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

899,000

1,100,797

British Telecommunications PLC 9.375% 12/15/10 (f)

2,717,000

2,724,070

CenturyLink, Inc. 7.6% 9/15/39

7,184,000

7,204,518

Citizens Communications Co.:

7.875% 1/15/27

925,000

906,500

9% 8/15/31

2,260,000

2,367,350

Frontier Communications Corp.:

7.875% 4/15/15

1,545,000

1,680,188

8.125% 10/1/18

3,615,000

3,976,500

8.25% 4/15/17

2,270,000

2,479,975

8.5% 4/15/20

775,000

852,500

Global Crossing Ltd.:

9% 11/15/19 (h)

1,820,000

1,806,350

12% 9/15/15

2,160,000

2,408,400

Indosat Palapa Co. BV 7.375% 7/29/20 (h)

485,000

527,438

Intelsat Bermuda Ltd.:

11.25% 2/4/17

1,215,000

1,260,563

12% 2/4/17 pay-in-kind (o)

7,164,320

7,459,848

Corporate Bonds - continued

 

Principal Amount (d)

Value

Nonconvertible Bonds - continued

TELECOMMUNICATION SERVICES - continued

Diversified Telecommunication Services - continued

Intelsat Ltd.:

6.5% 11/1/13

$ 3,700,000

$ 3,663,000

7.625% 4/15/12

2,475,000

2,512,125

11.25% 6/15/16

1,635,000

1,741,275

Qwest Communications International, Inc.:

Series B 7.5% 2/15/14

1,310,000

1,323,100

7.125% 4/1/18 (h)

2,450,000

2,548,000

8% 10/1/15

2,050,000

2,178,125

Sprint Capital Corp. 6.875% 11/15/28

15,285,000

12,992,250

Telecom Italia Capital SA:

4.95% 9/30/14

3,208,000

3,353,601

5.25% 10/1/15

1,177,000

1,248,050

6.999% 6/4/18

1,793,000

1,993,633

7.2% 7/18/36

14,240,000

13,639,699

Telefonica Emisiones SAU:

5.134% 4/27/20

10,000,000

10,128,970

6.421% 6/20/16

1,162,000

1,312,021

Telemar Norte Leste SA 5.5% 10/23/20 (h)

530,000

526,025

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

3,760,000

3,741,200

Verizon Communications, Inc.:

6.1% 4/15/18

6,000,000

7,030,500

6.25% 4/1/37

2,348,000

2,572,459

6.9% 4/15/38

6,295,000

7,409,612

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

891,000

929,766

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

2,653,000

2,842,947

Wind Acquisition Finance SA:

7.25% 2/15/18 (h)

1,155,000

1,143,450

11.75% 7/15/17 (h)

4,535,000

4,965,825

 

155,779,008

Wireless Telecommunication Services - 0.9%

Cleveland Unlimited, Inc. 13.5% 12/15/10 (h)(o)

1,260,000

1,197,000

Cricket Communications, Inc. 7.75% 10/15/20 (h)

1,825,000

1,688,125

Digicel Group Ltd.:

8.25% 9/1/17 (h)

2,020,000

2,131,100

8.875% 1/15/15 (h)

4,030,000

4,060,225

9.125% 1/15/15 pay-in-kind (h)(o)

3,070,000

3,093,025

12% 4/1/14 (h)

3,545,000

4,138,788

Corporate Bonds - continued

 

Principal Amount (d)

Value

Nonconvertible Bonds - continued

TELECOMMUNICATION SERVICES - continued

Wireless Telecommunication Services - continued

DIRECTV Holdings LLC/DIRECTV Financing, Inc.:

4.75% 10/1/14

$ 9,282,000

$ 10,033,898

5.875% 10/1/19

11,570,000

12,860,148

6.35% 3/15/40

3,541,000

3,673,589

Intelsat Jackson Holdings Ltd.:

9.5% 6/15/16

2,770,000

2,922,350

11.5% 6/15/16

7,175,000

7,641,375

Intelsat Jackson Holdings SA 7.25% 10/15/20 (h)

3,485,000

3,476,288

Intelsat Subsidiary Holding Co. Ltd.:

8.875% 1/15/15 (h)

550,000

561,000

8.875% 1/15/15

6,110,000

6,262,750

MetroPCS Wireless, Inc.:

6.625% 11/15/20

1,825,000

1,740,503

7.875% 9/1/18

2,925,000

3,085,875

Millicom International Cellular SA 10% 12/1/13

3,530,000

3,587,363

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

813,000

853,650

MTS International Funding Ltd. 8.625% 6/22/20 (h)

1,055,000

1,169,784

Nextel Communications, Inc.:

5.95% 3/15/14

6,545,000

6,315,925

6.875% 10/31/13

9,105,000

9,093,619

7.375% 8/1/15

4,995,000

4,820,175

NII Capital Corp.:

8.875% 12/15/19

2,695,000

2,910,600

10% 8/15/16

3,560,000

3,951,600

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

2,735,000

2,488,850

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

3,170,000

3,170,000

Sprint Nextel Corp. 6% 12/1/16

5,715,000

5,357,813

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

1,065,000

1,066,331

Telemovil Finance Co. Ltd. 8% 10/1/17 (h)

1,195,000

1,218,900

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

1,545,000

1,666,669

Corporate Bonds - continued

 

Principal Amount (d)

Value

Nonconvertible Bonds - continued

TELECOMMUNICATION SERVICES - continued

Wireless Telecommunication Services - continued

Vodafone Group PLC:

5% 12/16/13

$ 2,296,000

$ 2,513,833

5.5% 6/15/11

2,760,000

2,830,228

 

121,581,379

TOTAL TELECOMMUNICATION SERVICES

277,360,387

UTILITIES - 2.0%

Electric Utilities - 1.1%

Alabama Power Co. 3.375% 10/1/20

5,927,000

5,836,542

Ameren Illinois Co. 6.125% 11/15/17

3,112,000

3,568,639

AmerenUE 6.4% 6/15/17

1,753,000

2,013,384

Commonwealth Edison Co. 5.4% 12/15/11

2,948,000

3,086,919

Duquesne Light Holdings, Inc. 6.4% 9/15/20 (h)

15,951,000

16,168,827

Edison International 3.75% 9/15/17

6,565,000

6,700,502

EDP Finance BV:

4.9% 10/1/19 (h)

6,700,000

5,983,683

6% 2/2/18 (h)

6,262,000

6,250,584

Empresa Distribuidora y Comercializadora Norte SA 9.75% 10/25/22 (h)

345,000

366,563

FirstEnergy Corp. 7.375% 11/15/31

6,353,000

6,739,847

FirstEnergy Solutions Corp.:

4.8% 2/15/15

2,432,000

2,601,851

6.05% 8/15/21

7,817,000

8,283,839

Intergen NV 9% 6/30/17 (h)

5,270,000

5,467,625

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

4,440,000

4,773,000

Kentucky Utilities Co.:

3.25% 11/1/20 (h)

785,000

768,023

5.125% 11/1/40 (h)

5,606,000

5,649,497

LG&E and KU Energy LLC:

2.125% 11/15/15 (h)

7,247,000

7,115,851

3.75% 11/15/20 (h)

1,426,000

1,393,511

Louisville Gas & Electric Co. 5.125% 11/15/40 (h)

1,682,000

1,697,681

Majapahit Holding BV:

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

1,540,000

1,801,800

7.75% 1/20/20 (h)

850,000

1,007,250

8% 8/7/19 (h)

635,000

758,825

Corporate Bonds - continued

 

Principal Amount (d)

Value

Nonconvertible Bonds - continued

UTILITIES - continued

Electric Utilities - continued

Mirant Americas Generation LLC:

8.5% 10/1/21

$ 3,570,000

$ 3,427,200

9.125% 5/1/31

3,775,000

3,605,125

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

540,000

629,100

Nevada Power Co. 6.5% 5/15/18

790,000

937,957

NV Energy, Inc. 6.25% 11/15/20

2,245,000

2,267,450

Otter Tail Corp. 9% 12/15/16

2,410,000

2,578,700

Pennsylvania Electric Co. 6.05% 9/1/17

764,000

850,477

Pepco Holdings, Inc. 2.7% 10/1/15

6,931,000

6,910,311

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

507,000

495,593

Progress Energy, Inc.:

6% 12/1/39

10,303,000

11,197,125

7.1% 3/1/11

3,385,000

3,439,119

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

1,560,000

1,711,495

 

136,083,895

Gas Utilities - 0.1%

Dynegy Holdings, Inc. 7.5% 6/1/15

2,940,000

2,182,950

Intergas Finance BV 6.375% 5/14/17 (Reg. S)

665,000

704,900

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

442,000

480,530

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

3,100,000

3,100,000

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

1,220,000

1,216,950

 

7,685,330

Independent Power Producers & Energy Traders - 0.4%

AES Corp.:

7.75% 10/15/15

3,210,000

3,402,600

8% 10/15/17

2,575,000

2,678,000

9.75% 4/15/16

1,475,000

1,637,250

Duke Capital LLC 5.668% 8/15/14

2,055,000

2,294,066

Energy Future Intermediate Holding Co. LLC / EFIH Finance, Inc. 10% 12/1/20

3,620,000

3,683,350

Exelon Generation Co. LLC:

4% 10/1/20

16,000,000

15,605,248

5.35% 1/15/14

1,528,000

1,682,566

GenOn Escrow Corp.:

9.5% 10/15/18 (h)

1,685,000

1,600,750

9.875% 10/15/20 (h)

1,625,000

1,543,750

NRG Energy, Inc.:

7.375% 2/1/16

2,840,000

2,840,000

Corporate Bonds - continued

 

Principal Amount (d)

Value

Nonconvertible Bonds - continued

UTILITIES - continued

Independent Power Producers & Energy Traders - continued

NRG Energy, Inc.: - continued

7.375% 1/15/17

$ 3,225,000

$ 3,257,250

Power Sector Assets and Liabilities Management Corp.:

7.25% 5/27/19 (h)

720,000

858,600

7.39% 12/2/24 (h)

750,000

905,625

PPL Energy Supply LLC 6.5% 5/1/18

6,895,000

7,914,612

RRI Energy, Inc. 7.625% 6/15/14

8,000,000

8,000,000

 

57,903,667

Multi-Utilities - 0.4%

Consolidated Edison Co. of New York, Inc. 5.7% 6/15/40

3,771,000

4,039,593

Dominion Resources, Inc.:

4.75% 12/15/10

3,931,000

3,935,080

6.3% 9/30/66 (o)

4,887,000

4,728,173

7.5% 6/30/66 (o)

9,539,000

9,920,560

DTE Energy Co. 7.05% 6/1/11

984,000

1,014,232

MidAmerican Energy Holdings, Co.:

5.875% 10/1/12

2,921,000

3,169,259

6.5% 9/15/37

7,097,000

8,223,954

National Grid PLC 6.3% 8/1/16

1,314,000

1,536,963

NiSource Finance Corp.:

5.25% 9/15/17

843,000

902,566

5.4% 7/15/14

1,347,000

1,490,831

5.45% 9/15/20

854,000

914,924

6.4% 3/15/18

1,326,000

1,509,717

6.8% 1/15/19

6,774,000

7,870,650

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

3,916,000

3,837,680

 

53,094,182

TOTAL UTILITIES

254,767,074

TOTAL NONCONVERTIBLE BONDS

3,050,880,041

TOTAL CORPORATE BONDS

(Cost $2,792,812,469)

3,055,998,518

U.S. Government and Government Agency Obligations - 32.1%

 

Principal Amount (d)

Value

U.S. Government Agency Obligations - 1.6%

Fannie Mae:

0.375% 12/28/12

$ 10,710,000

$ 10,654,554

0.5% 10/30/12

668,000

666,921

0.75% 12/18/13

23,717,000

23,576,999

1% 4/4/12

1,230,000

1,238,252

1% 9/23/13

30,152,000

30,260,004

1.25% 8/20/13

24,381,000

24,648,557

5% 2/16/12

1,090,000

1,148,640

Federal Home Loan Bank:

0.875% 12/27/13

5,100,000

5,093,324

1.625% 11/21/12

30,360,000

30,959,671

1.625% 3/20/13

23,140,000

23,628,740

Freddie Mac:

0.375% 11/30/12

1,534,000

1,526,539

1.125% 7/27/12

230,000

232,221

1.75% 6/15/12

505,000

514,371

1.75% 9/10/15

40,525,000

40,668,904

2.125% 3/23/12

75,000

76,563

5.25% 7/18/11

10,730,000

11,064,529

Tennessee Valley Authority 5.375% 4/1/56

385,000

434,965

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS

206,393,754

U.S. Treasury Inflation Protected Obligations - 3.0%

U.S. Treasury Inflation-Indexed Bonds:

2.125% 2/15/40

78,424,112

87,383,443

2.5% 1/15/29

20,348,000

24,030,240

U.S. Treasury Inflation-Indexed Notes 1.375% 1/15/20

255,681,574

273,104,009

TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS

384,517,692

U.S. Treasury Obligations - 27.3%

U.S. Treasury Bonds:

3.875% 8/15/40

269,285,000

257,840,388

4.25% 5/15/39

32,150,000

32,903,532

4.375% 11/15/39

19,090,000

19,937,119

U.S. Treasury Notes:

0.375% 9/30/12

487,000

486,410

0.75% 11/30/11

171,564,000

172,307,902

1.375% 11/30/15

200,000,000

199,125,000

1.75% 3/31/14 (l)

125,000,000

128,711,000

1.875% 4/30/14 (l)

42,760,000

44,209,821

U.S. Government and Government Agency Obligations - continued

 

Principal Amount (d)

Value

U.S. Treasury Obligations - continued

U.S. Treasury Notes: - continued

1.875% 6/30/15

$ 50,250,000

$ 51,502,331

2.375% 9/30/14

171,534,000

180,177,770

2.375% 2/28/15

667,385,000

699,973,359

2.5% 3/31/15

100,000,000

105,445,000

2.5% 4/30/15

100,000,000

105,382,800

2.625% 7/31/14

625,000,000

662,158,125

2.625% 12/31/14 (l)

329,010,000

348,724,937

2.625% 11/15/20 (g)

200,000,000

196,812,400

2.75% 2/15/19

80,000,000

81,818,720

3.125% 4/30/17

87,265,000

93,346,323

3.25% 3/31/17

80,260,000

86,530,313

3.5% 5/15/20

21,386,000

22,802,823

3.625% 2/15/20

26,742,000

28,862,560

TOTAL U.S. TREASURY OBLIGATIONS

3,519,058,633

Other Government Related - 0.2%

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

32,000,000

32,835,488

TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $4,011,340,472)

4,142,805,567

U.S. Government Agency - Mortgage Securities - 9.4%

 

Fannie Mae - 7.1%

2.335% 10/1/33 (o)

1,125,500

1,167,923

2.577% 6/1/36 (o)

167,830

174,606

3% 12/1/25 (j)

21,000,000

20,962,891

3.466% 7/1/37 (o)

469,750

492,193

3.5% 12/1/25 (j)(k)

18,000,000

18,399,087

3.5% 12/1/25 (j)(k)

19,000,000

19,421,259

3.5% 12/1/40 (j)(k)

31,000,000

30,442,784

4% 12/1/25 (j)

6,000,000

6,236,600

4% 8/1/39 to 10/1/40

31,078,813

31,600,345

4% 12/1/40 (j)

20,000,000

20,292,554

4.5% 6/1/24 to 11/1/40

71,494,808

74,673,237

4.5% 12/1/25 (j)

7,000,000

7,375,160

4.5% 12/1/40 (j)

21,500,000

22,364,214

U.S. Government Agency - Mortgage Securities - continued

 

Principal Amount (d)

Value

Fannie Mae - continued

5% 5/1/19 to 9/1/40 (k)

$ 103,509,267

$ 110,119,615

5% 12/1/40 (j)

50,000,000

52,979,555

5% 12/1/40 (j)(k)

9,000,000

9,536,320

5.214% 12/1/35 (o)

719,153

750,323

5.298% 2/1/36 (o)

1,155,264

1,205,447

5.5% 3/1/18 to 12/1/39

122,449,582

131,795,762

5.5% 12/1/40 (j)

3,000,000

3,223,131

5.5% 12/1/40 (j)

58,000,000

62,313,860

5.5% 12/1/40 (j)(k)

30,500,000

32,768,495

6% 1/1/21 to 9/1/39

85,919,058

94,340,648

6% 11/1/40 (j)(k)

11,000,000

11,988,209

6% 12/1/40 (j)(k)

7,000,000

7,615,462

6% 12/1/40 (j)(k)

12,500,000

13,599,039

6% 12/1/40 (j)(k)

33,000,000

35,901,462

6% 1/1/41 (j)

45,500,000

49,411,635

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

41,103,655

46,213,306

TOTAL FANNIE MAE

917,365,122

Freddie Mac - 1.0%

3.119% 11/1/35 (o)

4,680,555

4,890,103

4.361% 10/1/35 (o)

242,253

256,637

4.5% 7/1/25 to 10/1/40

11,067,992

11,598,040

5% 4/1/38 to 9/1/40

42,307,100

44,817,830

5% 12/1/40 (j)(k)

2,000,000

2,112,620

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

17,363,251

18,718,436

6% 7/1/37

160,437

175,283

6% 12/1/40 (j)

24,000,000

26,020,154

6.5% 10/1/37 to 1/1/39

13,702,132

15,198,346

TOTAL FREDDIE MAC

123,787,449

Ginnie Mae - 1.3%

4% 1/15/25 to 3/15/40

59,060,367

62,146,164

4% 11/1/40 (j)(k)

8,000,000

8,211,709

4% 12/1/40 (j)

18,000,000

18,455,625

4% 12/1/40 (j)

7,000,000

7,177,188

U.S. Government Agency - Mortgage Securities - continued

 

Principal Amount (d)

Value

Ginnie Mae - continued

4% 12/1/40 (j)

$ 6,000,000

$ 6,151,875

4.5% 3/15/39 to 9/20/40

67,868,823

71,488,270

TOTAL GINNIE MAE

173,630,831

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $1,205,402,417)

1,214,783,402

Asset-Backed Securities - 2.5%

 

Accredited Mortgage Loan Trust Series 2005-1 Class M1, 0.7234% 4/25/35 (o)

1,821,633

1,030,304

ACE Securities Corp. Home Equity Loan Trust:

Series 2004-HE1:

Class M1, 1.0034% 3/25/34 (o)

96,601

94,740

Class M2, 1.9034% 3/25/34 (o)

483,000

383,336

Series 2005-HE2 Class M2, 0.7034% 4/25/35 (o)

180,737

169,739

Series 2006-OP1:

Class M4, 0.6234% 4/25/36 (o)

170,200

1,945

Class M5, 0.6434% 4/25/36 (o)

32,605

66

Advanta Business Card Master Trust:

Series 2005-A2 Class A2, 0.3834% 5/20/13 (o)

88,777

88,712

Series 2006-A6 Class A6, 0.2834% 9/20/13 (o)

175,424

175,295

Series 2006-A7 Class A7, 0.2734% 10/20/12 (o)

96,589

96,519

Series 2006-C1 Class C1, 0.7334% 10/20/14 (o)

102,300

18,926

Series 2007-A1 Class A, 0.3034% 1/20/15 (o)

64,807

64,760

Series 2007-A4 Class A4, 0.2834% 4/22/13 (o)

77,449

77,392

Series 2007-D1 Class D, 1.6534% 1/22/13 (h)(o)

2,590,000

25,900

Airspeed Ltd. Series 2007-1A Class C1, 2.7534% 6/15/32 (h)(o)

4,310,611

1,875,116

Ally Auto Receivables Trust Series 2009-A:

Class A3, 2.33% 6/17/13 (h)

4,310,000

4,372,888

Class A4, 3% 10/15/15 (h)

4,280,000

4,431,480

Ally Master Owner Trust Series 2010-3 Class A, 2.88% 4/15/15 (h)

20,570,000

21,111,355

AmeriCredit Prime Automobile Receivables Trust Series 2007-1:

Class D, 5.62% 9/8/14

1,125,000

1,151,696

Class E, 6.96% 3/8/16 (h)

2,052,284

1,986,190

Ameriquest Mortgage Securities, Inc. pass-thru certificates:

Series 2003-10 Class M1, 0.9534% 12/25/33 (o)

102,470

75,050

Asset-Backed Securities - continued

 

Principal Amount (d)

Value

Ameriquest Mortgage Securities, Inc. pass-thru certificates: - continued

Series 2004-R2 Class M3, 0.8034% 4/25/34 (o)

$ 135,858

$ 27,467

Series 2005-R2 Class M1, 0.7034% 4/25/35 (o)

2,064,696

1,742,495

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

123,000

110,047

Anthracite CDO II Ltd. Series 2002-2A:

Class F, 7.6% 12/24/37 (h)

160,000

24,000

Class G, 9.75% 12/24/37 (h)

211,548

14,808

Anthracite CDO III Ltd./Anthracite CDO III Corp. Series 2004-1A Class A, 0.6134% 3/23/19 (h)(o)

234,046

177,875

Argent Securities, Inc. pass-thru certificates:

Series 2003-W7 Class A2, 1.0363% 3/25/34 (o)

47,932

34,190

Series 2004-W11 Class M2, 0.9534% 11/25/34 (o)

561,149

403,408

Series 2004-W7 Class M1, 0.8034% 5/25/34 (o)

1,542,998

847,753

Series 2006-W4 Class A2C, 0.4134% 5/25/36 (o)

1,419,587

493,482

Asset Backed Securities Corp. Home Equity Loan Trust:

Series 2004-HE2 Class M1, 1.0784% 4/25/34 (o)

2,668,736

1,911,162

Series 2006-HE2 Class M1, 0.6234% 3/25/36 (o)

262,000

6,718

Axon Financial Funding Ltd. 2.025% 4/4/17 (c)(h)(o)

7,217,000

72

Bank of America Auto Trust Series 2009-1A:

Class A3, 2.67% 7/15/13 (h)

8,682,265

8,775,437

Class A4, 3.52% 6/15/16 (h)

8,300,000

8,625,615

BMW Vehicle Lease Trust Series 2010-1 Class A3, 0.82% 4/15/13

14,030,000

14,014,164

Brascan Real Estate CDO Ltd./Brascan Real Estate CDO Corp. Series 2004-1A Class A, 0.6391% 1/20/40 (h)(o)

184,577

178,117

Brazos Higher Education Authority, Inc. Student Loan Rev. Series 2006 A2R, 1.0394% 12/1/41 (o)

860,559

859,294

Brazos Higher Education Authority, Inc. Series 2006-2 Class A9, 0.2994% 12/26/24 (o)

1,806,310

1,715,994

C-BASS Trust Series 2006-CB7 Class A2, 0.3134% 10/25/36 (o)

196,075

193,998

Capital Auto Receivables Asset Trust:

Series 2006-2:

Class B, 5.07% 12/15/11

819,937

822,898

Class C, 5.31% 6/15/12

1,634,000

1,667,144

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

582,000

603,925

Capital One Multi-Asset Execution Trust:

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

5,700,000

6,203,881

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

10,000,000

10,129,421

Capital Trust Ltd. Series 2004-1:

Class A2, 0.7034% 7/20/39 (h)(o)

457,498

94,931

Asset-Backed Securities - continued

 

Principal Amount (d)

Value

Capital Trust Ltd. Series 2004-1: - continued

Class B, 1.0034% 7/20/39 (h)(o)

$ 263,810

$ 23,822

Class C, 1.3534% 7/20/39 (h)(o)

339,379

3,394

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

1,000,000

992,500

CapitalSource Real Estate Loan Trust Series 2006-1A Class A2A, 0.7713% 1/20/37 (h)(o)

186,189

122,885

Capmark VII Ltd. Series 2006-7A Class H, 1.8034% 8/15/36 (h)(o)

516,641

20

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

928,000

946,719

Carrington Mortgage Loan Trust:

Series 2006-FRE1 Class M1, 0.5534% 7/25/36 (o)

1,140,851

106,791

Series 2006-NC2 Class M7, 1.1034% 6/25/36 (o)

425,500

16,216

Series 2006-NC4 Class M1, 0.5534% 10/25/36 (o)

224,000

30,178

Series 2006-RFC1 Class M9, 2.1234% 5/25/36 (o)

186,369

11,192

Series 2007-RFC1 Class A3, 0.3934% 12/25/36 (o)

1,802,588

610,623

Cbre Realty Finance Cdo 2007-1/LLC 0.54% 4/7/52 (h)(o)

499,838

314,898

Cendant Timeshare Receivables Funding LLC:

Series 2005 1A Class 2A2, 0.4334% 5/20/17 (FGIC Insured) (h)(o)

129,202

116,419

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

406,995

410,087

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

5,000,000

5,395,286

Chrysler Financial Auto Securitization Trust Series 2010-A Class A3, 0.91% 8/8/13

17,510,000

17,456,178

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

12,605,182

12,625,883

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

35,600,000

36,447,113

Citigroup Mortgage Loan Trust Series 2007-AMC4 Class M1, 0.5234% 5/25/37 (o)

765,389

32,129

Countrywide Asset-Backed Certificates Trust:

Series 2007-11 Class 2A1, 0.3134% 6/25/47 (o)

83,289

80,790

Series 2007-4 Class A1A, 0.3763% 9/25/37 (o)

556,879

521,910

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

811,000

0

Countrywide Home Loans, Inc.:

Series 2003-BC1 Class B1, 5.5063% 3/25/32 (MGIC Investment Corp. Insured) (o)

11,800

4,769

Series 2004-3 Class M4, 1.2234% 4/25/34 (o)

159,665

61,575

Series 2004-4 Class M2, 1.0484% 6/25/34 (o)

587,945

320,157

Asset-Backed Securities - continued

 

Principal Amount (d)

Value

Countrywide Home Loans, Inc.: - continued

Series 2005-3 Class MV1, 0.6734% 8/25/35 (o)

$ 1,014,947

$ 962,717

Series 2005-AB1 Class A2, 0.4634% 8/25/35 (o)

136,795

134,873

CPS Auto Receivables Trust:

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

506,134

515,725

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

14,739

14,766

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

Class B1, 6.065% 12/28/35 (h)

500,000

365,020

Class B2, 1.6394% 12/28/35 (h)(o)

500,000

305,020

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

200,000

56,000

Crest G-Star LP/Crest G-Star Corp. Series 2001-1A Class A, 0.7619% 11/28/16 (h)(o)

395,975

376,191

Crest Ltd. Series 2002-IGA Class A, 0.7384% 7/28/17 (h)(o)

256,575

252,727

Deutsche Financial Capital Securitization LLC Series 1997-I Class M, 7.275% 9/15/27

540,000

471,510

Fannie Mae subordinate REMIC pass-thru certificates Series 2004-T5 Class AB3, 0.7503% 5/28/35 (o)

38,916

28,048

Fieldstone Mortgage Investment Corp.:

Series 2004-3 Class M5, 2.4284% 8/25/34 (o)

290,872

160,881

Series 2006-3 Class 2A3, 0.4134% 11/25/36 (o)

6,074,620

2,355,807

First Franklin Mortgage Loan Trust Series 2004-FF2 Class M3, 1.0784% 3/25/34 (o)

23,929

6,875

Ford Credit Auto Lease Trust Series 2010-B Class A3, 0.8% 7/15/13 (h)

14,200,000

14,159,529

Ford Credit Auto Owner Trust:

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

1,175,000

1,193,089

Series 2006-C:

Class B, 5.3% 6/15/12

649,000

665,411

Class D, 6.89% 5/15/13 (h)

915,000

943,118

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

970,000

1,015,271

Series 2009-D:

Class A3, 2.17% 10/15/13

5,400,000

5,460,754

Class A4, 2.98% 8/15/14

4,800,000

4,982,746

Series 2010-B Class A3, 0.98% 10/15/14

9,710,000

9,725,967

Ford Credit Floorplan Master Owner Trust:

Series 2006-4 Class B, 0.8034% 6/15/13 (o)

772,000

763,196

Series 2010-5 Class A1, 1.5% 9/15/15

10,710,000

10,671,073

Franklin Auto Trust:

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

72,000

72,512

Asset-Backed Securities - continued

 

Principal Amount (d)

Value

Franklin Auto Trust: - continued

Series 2007-1:

Class A4, 5.03% 2/16/15

$ 362,301

$ 362,632

Class C, 5.43% 2/16/15

614,000

610,822

Fremont Home Loan Trust:

Series 2005-A:

Class M3, 0.7434% 1/25/35 (o)

948,695

460,117

Class M4, 0.9334% 1/25/35 (o)

363,547

67,983

Series 2006-D Class M1, 0.4834% 11/25/36 (o)

324,000

10,247

GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 0.6675% 2/25/47 (h)(o)

2,892,000

1,735,200

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

2,000,434

1,592,345

GE Business Loan Trust:

Series 2003-1 Class A, 0.6834% 4/15/31 (h)(o)

262,151

230,692

Series 2006-2A:

Class A, 0.4334% 11/15/34 (h)(o)

2,323,910

1,882,367

Class B, 0.5334% 11/15/34 (h)(o)

839,466

528,864

Class C, 0.6334% 11/15/34 (h)(o)

1,395,159

599,918

Class D, 1.0034% 11/15/34 (h)(o)

529,787

127,149

GE Equipment Midticket LLC Series 2006-1 Class B, 0.4034% 9/15/17 (o)

1,151,000

1,138,401

Goal Capital Funding Trust Series 2007-1 Class C1, 0.6894% 6/25/42 (o)

739,000

607,862

GS Auto Loan Trust Series 2007-1:

Class B, 5.53% 12/15/14

46,300

47,134

Class C, 5.74% 12/15/14

93,515

94,737

GSAMP Trust:

Series 2004-AR1:

Class B4, 5% 6/25/34 (h)(o)

239,626

49,305

Class M1, 0.9034% 6/25/34 (o)

2,723,367

1,873,184

Series 2007-HE1 Class M1, 0.5034% 3/25/47 (o)

1,096,059

61,268

GSR Mortgage Loan Trust Series 2006-FM1 Class M3, 0.6034% 4/25/36 (o)

112,751

2,600

Guggenheim Structured Real Estate Funding Ltd.:

Series 2005-1 Class C, 1.3334% 5/25/30 (h)(o)

650,241

331,623

Series 2006-3:

Class B, 0.6534% 9/25/46 (h)(o)

654,930

130,986

Class C, 0.8034% 9/25/46 (h)(o)

1,526,694

229,004

Class E, 1.9034% 9/25/46 (h)(o)

254,633

30,556

Home Equity Asset Trust:

Series 2003-2 Class M1, 1.5734% 8/25/33 (o)

440,992

309,722

Series 2003-3 Class M1, 1.5434% 8/25/33 (o)

798,324

561,844

Series 2003-5 Class A2, 0.9534% 12/25/33 (o)

32,929

19,473

Asset-Backed Securities - continued

 

Principal Amount (d)

Value

Home Equity Asset Trust: - continued

Series 2005-5 Class 2A2, 0.5034% 11/25/35 (o)

$ 115,552

$ 114,411

Series 2006-1 Class 2A3, 0.4784% 4/25/36 (o)

1,556,435

1,505,348

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

250,000

0

Series 2006-8 Class 2A1, 0.3034% 3/25/37 (o)

7,698

7,568

HSBC Home Equity Loan Trust Series 2006-2 Class M2, 0.5434% 3/20/36 (o)

769,613

633,083

HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.4434% 1/25/37 (o)

1,522,035

591,458

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

5,450,000

5,510,724

JPMorgan Mortgage Acquisition Trust:

Series 2006-NC2 Class M2, 0.5534% 7/25/36 (o)

204,000

8,349

Series 2007-CH1:

Class AV4, 0.3834% 11/25/36 (o)

1,520,141

1,255,527

Class MV1, 0.4834% 11/25/36 (o)

1,234,797

738,459

Series 2007-CH3 Class M1, 0.5534% 3/25/37 (o)

573,000

28,627

Keycorp Student Loan Trust:

Series 1999-A Class A2, 0.6194% 12/27/29 (o)

790,689

677,124

Series 2006-A Class 2C, 1.4394% 3/27/42 (o)

3,243,000

544,433

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

2,090,065

2,120,792

Long Beach Mortgage Loan Trust Series 2004-2 Class M2, 1.3334% 6/25/34 (o)

106,647

75,170

Marathon Real Estate CDO Ltd. Series 2006-1A Class B, 0.6834% 5/25/46 (h)(o)

250,000

60,000

Marriott Vacation Club Owner Trust Series 2006-2A:

Class B, 5.442% 10/20/28 (h)

22,764

21,193

Class C, 5.691% 10/20/28 (h)

10,118

8,567

Class D, 6.01% 10/20/28 (h)

120,462

96,155

MASTR Asset Backed Securities Trust:

Series 2006-AM3 Class M1, 0.5134% 10/25/36 (o)

545,328

30,471

Series 2007-HE1 Class M1, 0.5534% 5/25/37 (o)

784,792

39,802

Meritage Mortgage Loan Trust Series 2004-1 Class M1, 1.0034% 7/25/34 (o)

185,677

122,148

Merrill Auto Trust Securitization Series 2007-1 Class B, 5.79% 12/15/13

173,214

174,667

Merrill Lynch Mortgage Investors Trust:

Series 2003-OPT1 Class M1, 0.9034% 7/25/34 (o)

621,161

478,130

Series 2006-FM1 Class A2B, 0.3634% 4/25/37 (o)

2,159,683

1,909,452

Series 2006-MLN1 Class A2A, 0.3234% 7/25/37 (o)

15,799

15,633

Series 2006-OPT1 Class A1A, 0.5134% 6/25/35 (o)

3,244,060

2,586,664

Asset-Backed Securities - continued

 

Principal Amount (d)

Value

Morgan Stanley ABS Capital I Trust:

Series 2004-HE6 Class A2, 0.5934% 8/25/34 (o)

$ 57,368

$ 41,024

Series 2004-NC8 Class M6, 1.5034% 9/25/34 (o)

32,033

17,148

Series 2005-NC1 Class M1, 0.6934% 1/25/35 (o)

399,800

211,833

Series 2005-NC2 Class B1, 1.4234% 3/25/35 (o)

416,362

60,447

Series 2007-HE2 Class M1, 0.5034% 1/25/37 (o)

263,000

7,047

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

Class B1, 1.9669% 8/28/38 (h)(o)

220,000

140,809

Class C1B, 7.696% 8/28/38 (h)

63,000

38,329

National Collegiate Student Loan Trust:

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

9,181,200

1,055,838

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

15,668,831

292,633

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

7,251,000

252,444

Series 2006-3 Class AIO, 7.1% 1/25/12 (q)

37,932,000

2,370,750

Series 2006-4:

Class A1, 0.2834% 3/25/25 (o)

385,106

379,248

Class AIO, 6.35% 2/27/12 (q)

28,242,000

1,918,750

Class D, 1.3534% 5/25/32 (o)

2,481,000

19,352

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

33,769,000

3,005,441

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

24,991,000

2,460,806

New Century Home Equity Loan Trust:

Series 2005-4 Class M2, 0.7634% 9/25/35 (o)

1,426,957

980,972

Series 2005-D Class M2, 0.7234% 2/25/36 (o)

827,339

73,828

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

8,500,000

8,559,071

Nissan Auto Receivables Owner Trust Series 2010-A Class A4, 1.31% 9/15/16

5,950,000

5,947,487

Ocala Funding LLC Series 2006-1A Class A, 1.6534% 3/20/11 (c)(h)(o)

1,176,000

435,120

Option One Mortgage Loan Trust:

Series 2007-5 Class 2A1, 0.3434% 5/25/37 (o)

87,144

84,601

Series 2007-6 Class 2A1, 0.3134% 7/25/37 (o)

180,331

175,337

Park Place Securities, Inc.:

Series 2004-WCW1:

Class M3, 1.5034% 9/25/34 (o)

532,896

253,793

Class M4, 1.7034% 9/25/34 (o)

683,353

166,012

Series 2005-WCH1:

Class M2, 0.7734% 1/25/36 (o)

2,548,346

2,244,683

Class M3, 0.8134% 1/25/36 (o)

478,432

331,745

Class M4, 1.0834% 1/25/36 (o)

1,475,804

598,468

Series 2005-WHQ2:

Class M7, 1.5034% 5/25/35 (o)

1,883,145

55,552

Class M9, 2.1334% 5/25/35 (o)

210,462

668

Asset-Backed Securities - continued

 

Principal Amount (d)

Value

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

Class A2, 4.646% 7/24/39 (h)

$ 387,753

$ 364,488

Class B, 4.846% 7/24/39 (h)

180,000

140,400

Class C, 5.08% 7/24/39 (h)

185,000

118,400

Providian Master Note Trust Series 2006-C1A Class C1, 0.8034% 3/15/15 (h)(o)

3,406,919

3,401,593

Residential Asset Mortgage Products, Inc. Series 2006-EFC2 Class M1, 0.4834% 12/25/36 (o)

566,000

17,267

Residential Asset Securities Corp. Series 2007-KS2 Class AI1, 0.3234% 2/25/37 (o)

451,093

442,996

Resource Real Estate Funding CDO Series 2007-1A Class J, 3.2034% 9/25/46 (h)(o)

250,000

37,500

Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 1.0534% 4/25/33 (o)

5,108

4,466

Saxon Asset Securities Trust Series 2004-1 Class M1, 1.0484% 3/25/35 (o)

1,600,278

1,316,008

Securitized Asset Backed Receivables LLC Trust:

Series 2005-FR4 Class B3, 1.9734% 1/25/36 (o)

96,000

3,167

Series 2006-FR4 Class A2A, 0.3334% 8/25/36 (o)

47,548

21,662

Series 2007-NC1 Class A2A, 0.3034% 12/25/36 (o)

17,397

17,086

Sierra Receivables Funding Co. Series 2007-1A Class A2, 0.4063% 3/20/19 (FGIC Insured) (h)(o)

801,397

753,301

SLM Private Credit Student Loan Trust Series 2004-A Class C, 1.2422% 6/15/33 (o)

1,272,000

74,491

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

656,637

0

Structured Asset Investment Loan Trust Series 2004-8 Class M5, 1.4034% 9/25/34 (o)

72,752

35,676

Structured Asset Securities Corp. Mortgage Loan Trust Series 2007-OSI Class A2, 0.3434% 6/25/37 (o)

1,432,925

1,191,509

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

921,345

948,985

Terwin Mortgage Trust Series 2003-4HE Class A1, 1.1134% 9/25/34 (o)

28,819

20,159

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

Series 2002-1A:

Class IIFX, 6.77% 5/22/37 (h)

349,000

331,550

Class IV, 6.84% 5/22/37 (h)

235,000

152,750

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

111,000

77,700

Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 0.8506% 4/6/42 (h)(o)

2,604,146

130,207

Asset-Backed Securities - continued

 

Principal Amount (d)

Value

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

$ 544,516

$ 562,629

Wachovia Auto Loan Owner Trust Series 2006-2A:

Class B, 5.29% 6/20/12 (h)

96,026

96,281

Class D, 5.54% 12/20/12 (h)

583,000

590,197

Class E, 7.05% 5/20/14 (h)

1,390,000

1,413,350

Wachovia Ltd./Wachovia LLC:

Series 2006-1 Class 1ML, 5.7894% 9/25/26 (h)(o)

400,000

108,000

Series 2006-1A:

Class A1A, 0.5494% 9/25/26 (h)(o)

330,000

273,900

Class A1B, 0.6194% 9/25/26 (h)(o)

705,000

556,978

Class A2A, 0.5094% 9/25/26 (h)(o)

1,186,000

984,380

Class F, 1.4394% 9/25/26 (h)(o)

250,000

140,000

Class G, 1.6394% 9/25/26 (h)(o)

250,000

132,500

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

887,552

0

WaMu Master Note Trust Series 2006-C2A Class C2, 0.7534% 8/15/15 (h)(o)

8,530,177

8,479,358

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

7,576

0

Whinstone Capital Management Ltd. Series 1A Class B3, 2.0884% 10/25/44 (h)(o)

1,789,540

662,130

Wrightwood Capital Real Estate CDO Ltd. Series 2005-1A Class D, 1.1344% 11/21/40 (h)(o)

305,000

76,250

TOTAL ASSET-BACKED SECURITIES

(Cost $308,740,787)

318,126,605

Collateralized Mortgage Obligations - 1.8%

 

Private Sponsor - 1.8%

ABN AMRO Mortgage Corp.:

Series 2003-2 Class B4, 5.3305% 3/25/18 (o)

110,002

66,001

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

203,265

20,326

Arran Residential Mortgages Funding No. 1 PLC floater Series 2006-1A Class DB, 0.7191% 4/12/56 (h)(o)

1,428,375

1,383,404

Banc of America Commercial Mortgage Trust Series 2007-2:

Class B, 5.6987% 4/10/49 (o)

106,000

26,248

Class C, 5.6987% 4/10/49 (o)

281,000

48,619

Class D, 5.6987% 4/10/49 (o)

141,000

21,491

Banc of America Large Loan, Inc. Series 2005-MIB1 Class A2, 0.4634% 3/15/22 (h)(o)

933,056

903,967

Collateralized Mortgage Obligations - continued

 

Principal Amount (d)

Value

Private Sponsor - continued

Banc of America Mortgage Securities, Inc.:

Series 2003-L Class 2A1, 3.4944% 1/25/34 (o)

$ 1,999,238

$ 1,845,654

Series 2004-1 Class 2A2, 3.2348% 10/25/34 (o)

2,174,218

1,938,327

Series 2004-A Class 2A2, 3.516% 2/25/34 (o)

1,215,391

1,072,544

Series 2004-B:

Class 1A1, 2.9237% 3/25/34 (o)

143,553

123,757

Class 2A2, 3.0591% 3/25/34 (o)

5,782,087

5,491,147

Series 2004-D Class 2A2, 2.957% 5/25/34 (o)

1,932,876

1,754,614

Series 2004-G Class 2A7, 2.9642% 8/25/34 (o)

1,759,292

1,557,245

Series 2004-H Class 2A1, 3.1633% 9/25/34 (o)

1,577,496

1,402,917

Bayview Commercial Asset Trust Series 2006-3A Class IO, 3.2127% 10/25/36 (h)(o)(q)

11,716,610

898,664

Bear Stearns ALT-A Trust floater Series 2005-1 Class A1, 0.5334% 1/25/35 (o)

2,210,029

1,774,220

Bear Stearns Commercial Mortgage Securities Trust:

Series 2006-BBA7 Class C, 0.4934% 3/15/19 (h)(o)

350,000

299,688

Series 2006-T24 Class X2, 0.4274% 10/12/41 (h)(o)(q)

3,690,559

46,002

Chase Mortgage Finance Trust:

Series 2007-A1 Class 1A5, 3.1105% 2/25/37 (o)

1,556,757

1,513,581

Series 2007-A2 Class 2A1, 3.1848% 7/25/37 (o)

367,706

365,989

Citigroup Commercial Mortgage Trust Series 2008-C7 Class A2B, 6.0905% 12/10/49 (o)

1,902,000

2,023,629

Citigroup Mortgage Loan Trust Series 2004-UST1 Class A4, 2.5181% 8/25/34 (o)

1,424,823

1,421,274

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

2,125,000

488,750

COMM pass-thru certificates floater Series 2001-J2A Class A2F, 0.7534% 7/16/34 (h)(o)

1,902,000

1,897,450

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

78,237

0

Countrywide Home Loans, Inc.:

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

67,928

8,151

Series 2003-35 Class B, 4.6393% 9/25/18 (o)

114,058

9,125

Credit Suisse First Boston Mortgage Securities Corp.:

floater Series 2007-AR7 Class 2A1, 2.9126% 11/25/34 (o)

1,262,366

1,162,542

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

299,339

53,881

Series 2004-3 Class DB4, 5.8279% 4/25/34 (o)

75,124

1,878

CWALT, Inc.:

floater Series 2005-56:

Class 1A1, 0.9834% 11/25/35 (o)

34,245,180

19,402,079

Collateralized Mortgage Obligations - continued

 

Principal Amount (d)

Value

Private Sponsor - continued

CWALT, Inc.: - continued

floater Series 2005-56:

Class 2A3, 1.8525% 11/25/35 (o)

$ 8,311,982

$ 4,603,336

Series 2005-56:

Class 4A1, 0.5634% 11/25/35 (o)

6,733,460

3,857,919

Class 5A1, 0.5734% 11/25/35 (o)

9,962,032

5,281,643

First Horizon Mortgage pass-thru Trust Series 2004-AR5 Class 2A1, 2.8756% 10/25/34 (o)

1,872,212

1,775,849

Fosse Master Issuer PLC floater Series 2006-1A:

Class B2, 0.4491% 10/18/54 (h)(o)

3,491,000

3,439,682

Class C2, 0.7591% 10/18/54 (h)(o)

1,170,000

1,146,600

Class M2, 0.5391% 10/18/54 (h)(o)

2,005,000

1,967,707

FREMF Mortgage Trust:

Series 2010 K7 Class B, 5.4343% 4/25/20 (h)(o)

300,000

273,000

Series 2010-K6 Class B, 5.3575% 12/26/46 (h)(o)

550,000

472,604

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

254,201

636

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

105,539

10,554

Gracechurch Mortgage Financing PLC floater Series 2006-1 Class D2, 0.7544% 11/20/56 (h)(o)

2,852,000

2,738,753

Gracechurch Mortgage Funding PLC floater Series 1A Class DB, 0.7591% 10/11/41 (h)(o)

3,114,000

3,093,697

Granite Master Issuer PLC floater:

Series 2005-4 Class C2, 1.3534% 12/20/54 (o)

205,017

105,584

Series 2006-1A Class C2, 0.8534% 12/20/54 (h)(o)

6,523,000

3,383,806

Series 2006-2 Class C1, 0.7234% 12/20/54 (o)

5,398,000

2,941,910

Series 2006-3 Class C2, 0.7534% 12/20/54 (o)

1,124,000

618,985

Series 2006-4:

Class B1, 0.3434% 12/20/54 (o)

4,521,000

3,565,939

Class C1, 0.6334% 12/20/54 (o)

2,767,000

1,435,381

Class M1, 0.4234% 12/20/54 (o)

1,190,000

818,125

Series 2007-1:

Class 1C1, 0.8534% 12/20/54 (o)

2,234,000

1,217,530

Class 1M1, 0.5534% 12/20/54 (o)

1,493,000

1,022,705

Class 2C1, 1.2134% 12/20/54 (o)

1,015,000

553,175

Class 2M1, 0.7534% 12/20/54 (o)

1,917,000

1,313,145

Series 2007-2 Class 2C1, 0.6834% 12/17/54 (o)

2,654,000

1,366,810

Granite Mortgages PLC floater Series 2003-3 Class 1C, 2.7391% 1/20/44 (o)

430,241

292,707

GSR Mortgage Loan Trust:

floater Series 2007-AR1 Class 6A1, 4.7578% 3/25/37 (o)

9,186,447

9,024,196

Collateralized Mortgage Obligations - continued

 

Principal Amount (d)

Value

Private Sponsor - continued

GSR Mortgage Loan Trust: - continued

Series 2007-AR2 Class 2A1, 3.0969% 4/25/35 (o)

$ 765,138

$ 663,508

Harborview Mortgage Loan Trust floater Series 2005-2 Class 2A1A, 0.4734% 5/19/35 (o)

376,897

237,036

JPMorgan Chase Commercial Mortgage Securities Trust Series 2007-CB18:

Class A1, 5.32% 6/12/47 (o)

107,298

109,295

Class A3, 5.447% 6/12/47 (o)

3,606,000

3,753,038

JPMorgan Mortgage Trust:

sequential payer Series 2006-A5 Class 3A5, 5.9132% 8/25/36 (o)

2,600,000

2,159,011

Series 2004-A3 Class 4A1, 4.2989% 7/25/34 (o)

1,778,080

1,728,571

Series 2004-A5 Class 2A1, 2.6088% 12/25/34 (o)

1,973,780

1,811,736

Series 2006-A2 Class 5A1, 3.0784% 11/25/33 (o)

3,175,710

3,017,831

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

22,425

22,574

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

857,000

919,131

Luminent Mortgage Trust:

floater Series 2006-1 Class A1, 0.4934% 4/25/36 (o)

18,258,447

10,203,383

Series 2006-5 Class A1A, 0.4434% 7/25/36 (o)

14,091,954

7,733,363

MASTR Adjustable Rate Mortgages Trust Series 2007-3 Class 22A2, 0.4634% 5/25/47 (o)

3,424,710

2,152,038

MASTR Asset Backed Securities Trust Series 2006-NC3 Class M1, 0.4834% 10/25/36 (o)

547,000

2,428

Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.4234% 2/25/37 (o)

8,178,665

5,553,427

Merrill Lynch Floating Trust floater Series 2006-1:

Class B, 0.423% 6/15/22 (h)(o)

251,984

228,046

Class C, 0.443% 6/15/22 (h)(o)

1,559,607

1,341,262

Class D, 0.453% 6/15/22 (h)(o)

600,006

504,005

Class E, 0.463% 6/15/22 (h)(o)

959,771

787,012

Class F, 0.493% 6/15/22 (h)(o)

1,545,171

1,236,137

Class G, 0.563% 6/15/22 (h)(o)

359,765

280,617

Class H, 0.583% 6/15/22 (h)(o)

720,211

554,562

Class J, 0.623% 6/15/22 (h)(o)

840,246

604,977

Class TM, 0.753% 6/15/22 (h)(o)

1,670,468

1,539,003

Merrill Lynch Mortgage Investors Trust:

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

930,000

940,881

Series 2004-A4 Class A1, 2.7858% 8/25/34 (o)

2,236,991

2,137,995

Series 2005-A2 Class A7, 2.7997% 2/25/35 (o)

1,793,117

1,657,497

Collateralized Mortgage Obligations - continued

 

Principal Amount (d)

Value

Private Sponsor - continued

Merrill Lynch Mortgage Investors Trust: - continued

Series 2006-A6 Class A4, 3.1798% 10/25/33 (o)

$ 1,572,860

$ 1,491,740

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

101,000

103,956

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

8,143,000

8,693,327

Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 0.5434% 7/25/35 (o)

2,372,339

1,920,282

Option One Mortgage Loan Trust floater Series 2007-CP1 Class M1, 0.5534% 3/25/37 (o)

2,994,072

191,997

Provident Funding Mortgage Loan Trust Series 2005-2 Class 3A, 2.86% 10/25/35 (o)

3,435,077

2,987,727

RESI Finance LP/RESI Finance DE Corp. floater Series 2003-B:

Class B5, 2.6034% 7/10/35 (h)(o)

1,872,741

1,300,057

Class B6, 3.1034% 7/10/35 (h)(o)

417,553

264,562

Residential Accredit Loans, Inc. floater Series 2005-QO5 Class A1, 1.3525% 1/25/46 (o)

14,675,219

7,830,020

Residential Asset Mortgage Products, Inc. sequential payer:

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

1,055,778

1,089,137

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

69,864

68,158

Residential Funding Securities Corp. floater Series 2003-RP2 Class A1, 0.7034% 6/25/33 (h)(o)

461,331

395,189

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

268,000

267,317

Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 1.1948% 7/20/34 (o)

40,176

29,195

Structured Asset Mortgage Investments, Inc. floater Series 2006-AR6 Class 2A1, 0.4434% 7/25/46 (o)

28,599,682

17,187,657

Structured Asset Securities Corp.:

Series 2003-15A Class 4A, 5.3791% 4/25/33 (o)

647,173

638,444

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

548,633

561,252

TBW Mortgage-Backed pass-thru certificates floater Series 2006-4 Class A3, 0.4563% 9/25/36 (o)

3,273,627

1,812,948

WaMu Mortgage pass-thru certificates:

Series 2003-AR8 Class A, 2.719% 8/25/33 (o)

1,143,548

1,066,188

Series 2005-AR3 Class A2, 2.7245% 3/25/35 (o)

3,045,280

2,667,768

Wells Fargo Mortgage Backed Securities Trust:

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

205,531

41,106

Series 2004-EE Class 2A2, 2.8648% 12/25/34 (o)

1,008,402

958,616

Series 2004-H Class A1, 4.5322% 6/25/34 (o)

1,975,755

1,932,083

Collateralized Mortgage Obligations - continued

 

Principal Amount (d)

Value

Private Sponsor - continued

Wells Fargo Mortgage Backed Securities Trust: - continued

Series 2004-W Class A9, 2.7879% 11/25/34 (o)

$ 3,483,000

$ 3,355,661

Series 2005-AR10 Class 2A2, 2.874% 6/25/35 (o)

2,423,400

2,351,883

Series 2005-AR12:

Class 2A5, 2.8758% 7/25/35 (o)

9,260,000

8,787,726

Class 2A6, 2.8758% 7/25/35 (o)

1,051,362

978,287

Series 2005-AR2:

Class 1A2, 2.8589% 3/25/35 (o)

3,667,507

2,163,286

Class 2A2, 2.8576% 3/25/35 (o)

2,960,764

2,772,374

Series 2005-AR3 Class 2A1, 2.8796% 3/25/35 (o)

1,731,853

1,562,662

TOTAL PRIVATE SPONSOR

232,694,111

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

350,912

379,969

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $196,529,344)

233,074,080

Commercial Mortgage Securities - 6.4%

 

Asset Securitization Corp.:

Series 1996-D2 Class B1A, 8.627% 2/14/29 (h)(o)

800,000

814,160

Series 1997-D4:

Class B1, 7.525% 4/14/29

210,000

218,183

Class B2, 7.525% 4/14/29

1,498,104

1,539,757

Class B5, 7.525% 4/14/29

129,000

95,541

Series 1997-D5:

Class A2, 6.8147% 2/14/43 (o)

1,399,000

1,502,795

Class A3, 6.8647% 2/14/43 (o)

1,510,000

1,621,105

Class A5, 6.9347% 2/14/43 (o)

256,000

274,838

Class A6, 7.1847% 2/14/43 (o)

2,470,000

2,644,447

Class A7, 7.4247% 2/14/43 (o)

820,000

868,507

Class PS1, 1.3859% 2/14/43 (o)(q)

5,753,474

152,906

Banc of America Commercial Mortgage Trust:

sequential payer:

Series 2006-2 Class AAB, 5.722% 5/10/45 (o)

2,221,000

2,399,014

Series 2006-5:

Class A1, 5.185% 9/10/47

691,620

693,290

Class A2, 5.317% 9/10/47

7,342,000

7,557,676

Commercial Mortgage Securities - continued

 

Principal Amount (d)

Value

Banc of America Commercial Mortgage Trust: - continued

Series 2006-5:

Class A3, 5.39% 9/10/47

$ 2,653,000

$ 2,860,610

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

3,804,000

3,971,281

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

408,285

417,556

Series 2007-4 Class A3, 5.8083% 2/10/51 (o)

1,897,000

2,002,184

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

1,098,000

206,532

Series 2007-3:

Class A3, 5.6579% 6/10/49 (o)

3,176,000

3,341,436

Class A4, 5.6579% 6/10/49 (o)

3,965,000

4,090,765

Series 2008-1 Class D, 6.1942% 2/10/51 (h)(o)

125,000

41,082

Banc of America Commercial Mortgage, Inc.:

sequential payer:

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

4,166,000

4,379,183

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

415,000

427,984

Series 2004-2:

Class A3, 4.05% 11/10/38

626,686

637,201

Class A4, 4.153% 11/10/38

2,412,000

2,480,754

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

3,426,451

3,439,406

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

826,059

825,640

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

4,040,000

4,131,973

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

1,472,000

1,469,637

Series 2001-PB1:

Class J, 7.166% 5/11/35 (h)

474,000

463,304

Class K, 6.15% 5/11/35 (h)

885,000

822,354

Series 2003-1 Class G, 5.608% 9/11/36 (h)

310,000

301,561

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

185,000

144,446

Series 2004-4:

Class K, 4.637% 7/10/42 (h)(o)

300,000

1,500

Class L, 4.637% 7/10/42 (h)(o)

280,000

1,400

Series 2004-5 Class G, 5.3152% 11/10/41 (h)(o)

195,000

129,144

Series 2005-1 Class CJ, 5.1815% 11/10/42 (o)

550,000

554,905

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

5,908,000

6,264,103

Series 2005-6 Class AJ, 5.19% 9/10/47 (o)

300,000

294,746

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

1,146,000

589,545

Banc of America Large Loan, Inc. floater:

Series 2005-MIB1:

Class B, 0.5134% 3/15/22 (h)(o)

390,000

371,904

Class C, 0.5634% 3/15/22 (h)(o)

817,000

727,130

Class D, 0.6134% 3/15/22 (h)(o)

826,000

702,100

Class E, 0.6534% 3/15/22 (h)(o)

684,000

571,140

Class F, 0.7234% 3/15/22 (h)(o)

615,784

491,088

Class G, 0.7834% 3/15/22 (h)(o)

399,119

279,383

Commercial Mortgage Securities - continued

 

Principal Amount (d)

Value

Banc of America Large Loan, Inc. floater: - continued

Series 2005-MIB1:

Class J, 1.3034% 3/15/22 (h)(o)

$ 288,000

$ 184,320

Class K, 2.2534% 3/15/22 (h)(o)

288,000

158,400

Series 2006-BIX1:

Class C, 0.4334% 10/15/19 (h)(o)

1,222,000

1,132,183

Class D, 0.4634% 10/15/19 (h)(o)

1,494,000

1,342,957

Class E, 0.4934% 10/15/19 (h)(o)

1,385,000

1,220,462

Class F, 0.5634% 10/15/19 (h)(o)

3,150,730

2,688,833

Class G, 0.5834% 10/15/19 (h)(o)

1,245,579

987,869

Bayview Commercial Asset Trust:

floater:

Series 2003-2 Class M1, 1.1034% 12/25/33 (h)(o)

78,776

54,355

Series 2004-1:

Class A, 0.6134% 4/25/34 (h)(o)

1,358,061

1,086,449

Class B, 2.1534% 4/25/34 (h)(o)

152,258

70,039

Class M1, 0.8134% 4/25/34 (h)(o)

122,246

79,460

Class M2, 1.4534% 4/25/34 (h)(o)

112,939

62,116

Series 2004-2:

Class A, 0.6834% 8/25/34 (h)(o)

1,119,272

928,996

Class M1, 0.8334% 8/25/34 (h)(o)

188,405

128,115

Series 2004-3:

Class A1, 0.6234% 1/25/35 (h)(o)

2,516,214

2,000,390

Class A2, 0.6734% 1/25/35 (h)(o)

361,074

259,973

Class M1, 0.7534% 1/25/35 (h)(o)

434,357

299,706

Class M2, 1.2534% 1/25/35 (h)(o)

201,271

130,826

Series 2005-2A:

Class A1, 0.5634% 8/25/35 (h)(o)

1,910,571

1,530,368

Class M1, 0.6834% 8/25/35 (h)(o)

95,149

52,988

Class M2, 0.7334% 8/25/35 (h)(o)

156,931

84,115

Class M3, 0.7534% 8/25/35 (h)(o)

86,826

44,090

Class M4, 0.8634% 8/25/35 (h)(o)

79,703

39,054

Series 2005-3A:

Class A1, 0.5734% 11/25/35 (h)(o)

707,828

545,523

Class A2, 0.6534% 11/25/35 (h)(o)

701,455

519,077

Class M1, 0.6934% 11/25/35 (h)(o)

83,718

46,664

Class M2, 0.7434% 11/25/35 (h)(o)

106,289

53,889

Class M3, 0.7634% 11/25/35 (h)(o)

95,127

44,843

Class M4, 0.8534% 11/25/35 (h)(o)

118,519

53,784

Series 2005-4A:

Class A2, 0.6434% 1/25/36 (h)(o)

1,631,738

1,125,899

Class B1, 1.6534% 1/25/36 (h)(o)

141,010

49,353

Class M1, 0.7034% 1/25/36 (h)(o)

526,367

278,975

Commercial Mortgage Securities - continued

 

Principal Amount (d)

Value

Bayview Commercial Asset Trust: - continued

floater:

Series 2005-4A:

Class M2, 0.7234% 1/25/36 (h)(o)

$ 157,910

$ 78,955

Class M3, 0.7534% 1/25/36 (h)(o)

230,616

106,083

Class M4, 0.8634% 1/25/36 (h)(o)

127,543

52,293

Class M5, 0.9034% 1/25/36 (h)(o)

127,543

49,742

Class M6, 0.9534% 1/25/36 (h)(o)

135,465

50,122

Series 2006-1:

Class A2, 0.6134% 4/25/36 (h)(o)

250,302

177,564

Class M1, 0.6334% 4/25/36 (h)(o)

89,523

41,709

Class M2, 0.6534% 4/25/36 (h)(o)

94,586

40,795

Class M3, 0.6734% 4/25/36 (h)(o)

81,384

32,253

Class M4, 0.7734% 4/25/36 (h)(o)

46,118

16,662

Class M5, 0.8134% 4/25/36 (h)(o)

44,761

15,599

Class M6, 0.8934% 4/25/36 (h)(o)

89,251

29,444

Series 2006-2A:

Class A1, 0.4834% 7/25/36 (h)(o)

4,497,699

3,474,473

Class A2, 0.5334% 7/25/36 (h)(o)

222,517

157,052

Class B1, 1.1234% 7/25/36 (h)(o)

83,313

23,119

Class B3, 2.9534% 7/25/36 (h)(o)

125,874

28,737

Class M1, 0.5634% 7/25/36 (h)(o)

233,467

123,737

Class M2, 0.5834% 7/25/36 (h)(o)

164,722

68,854

Class M3, 0.6034% 7/25/36 (h)(o)

136,633

53,014

Class M4, 0.6734% 7/25/36 (h)(o)

92,263

33,556

Class M5, 0.7234% 7/25/36 (h)(o)

113,401

38,545

Class M6, 0.7934% 7/25/36 (h)(o)

169,197

50,150

Series 2006-3A:

Class B1, 1.0534% 10/25/36 (h)(o)

150,215

31,545

Class B2, 1.6034% 10/25/36 (h)(o)

108,344

18,419

Class B3, 2.8534% 10/25/36 (h)(o)

176,312

24,684

Class M4, 0.6834% 10/25/36 (h)(o)

166,015

66,406

Class M5, 0.7334% 10/25/36 (h)(o)

198,744

69,560

Class M6, 0.8134% 10/25/36 (h)(o)

389,023

108,927

Series 2006-4A:

Class A1, 0.4834% 12/25/36 (h)(o)

860,337

669,256

Class A2, 0.5234% 12/25/36 (h)(o)

4,377,616

3,080,528

Class B1, 0.9534% 12/25/36 (h)(o)

133,849

33,609

Class B2, 1.5034% 12/25/36 (h)(o)

136,432

30,042

Class B3, 2.7034% 12/25/36 (h)(o)

232,334

48,674

Class M1, 0.5434% 12/25/36 (h)(o)

280,034

128,256

Class M2, 0.5634% 12/25/36 (h)(o)

186,689

78,391

Class M3, 0.5934% 12/25/36 (h)(o)

189,300

74,490

Commercial Mortgage Securities - continued

 

Principal Amount (d)

Value

Bayview Commercial Asset Trust: - continued

floater:

Series 2006-4A:

Class M4, 0.6534% 12/25/36 (h)(o)

$ 226,508

$ 84,238

Class M5, 0.6934% 12/25/36 (h)(o)

208,230

65,884

Class M6, 0.7734% 12/25/36 (h)(o)

186,689

52,908

Series 2007-1:

Class A2, 0.5234% 3/25/37 (h)(o)

960,212

643,342

Class B1, 0.9234% 3/25/37 (h)(o)

305,503

58,046

Class B2, 1.4034% 3/25/37 (h)(o)

221,505

39,871

Class B3, 3.6034% 3/25/37 (h)(o)

606,523

84,913

Class M1, 0.5234% 3/25/37 (h)(o)

268,807

134,403

Class M2, 0.5434% 3/25/37 (h)(o)

200,768

80,307

Class M3, 0.5734% 3/25/37 (h)(o)

178,054

62,319

Class M4, 0.6234% 3/25/37 (h)(o)

143,098

45,791

Class M5, 0.6734% 3/25/37 (h)(o)

223,379

64,780

Class M6, 0.7534% 3/25/37 (h)(o)

312,745

71,931

Series 2007-2A:

Class A1, 0.5234% 7/25/37 (h)(o)

856,455

625,213

Class A2, 0.5734% 7/25/37 (h)(o)

800,242

400,121

Class B1, 1.8534% 7/25/37 (h)(o)

246,452

32,039

Class B2, 2.5034% 7/25/37 (h)(o)

213,372

23,471

Class B3, 3.6034% 7/25/37 (h)(o)

239,893

23,989

Class M1, 0.6234% 7/25/37 (h)(o)

281,000

89,920

Class M2, 0.6634% 7/25/37 (h)(o)

153,550

36,084

Class M3, 0.7434% 7/25/37 (h)(o)

155,691

31,138

Class M4, 0.9034% 7/25/37 (h)(o)

307,387

55,330

Class M5, 1.0034% 7/25/37 (h)(o)

270,968

43,355

Class M6, 1.2534% 7/25/37 (h)(o)

343,569

49,818

Series 2007-3:

Class A2, 0.5434% 7/25/37 (h)(o)

893,891

571,464

Class B1, 1.2034% 7/25/37 (h)(o)

217,266

48,255

Class B2, 1.8534% 7/25/37 (h)(o)

543,699

94,332

Class B3, 4.2534% 7/25/37 (h)(o)

288,835

44,018

Class M1, 0.5634% 7/25/37 (h)(o)

194,145

88,938

Class M2, 0.5934% 7/25/37 (h)(o)

208,088

74,329

Class M3, 0.6234% 7/25/37 (h)(o)

327,895

106,336

Class M4, 0.7534% 7/25/37 (h)(o)

514,844

152,136

Class M5, 0.8534% 7/25/37 (h)(o)

267,049

74,480

Class M6, 1.0534% 7/25/37 (h)(o)

203,632

46,163

Series 2007-4A:

Class B1, 2.8034% 9/25/37 (h)(o)

326,004

22,820

Class B2, 3.7034% 9/25/37 (h)(o)

1,186,108

71,166

Commercial Mortgage Securities - continued

 

Principal Amount (d)

Value

Bayview Commercial Asset Trust: - continued

floater:

Series 2007-4A:

Class M1, 1.2034% 9/25/37 (h)(o)

$ 313,477

$ 65,830

Class M2, 1.3034% 9/25/37 (h)(o)

313,477

53,291

Class M4, 1.8534% 9/25/37 (h)(o)

801,768

104,230

Class M5, 2.0034% 9/25/37 (h)(o)

801,768

84,186

Class M6, 2.2034% 9/25/37 (h)(o)

803,325

72,299

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

4,362,410

141,778

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

10,469,998

1,125,525

Bear Stearns Commercial Mortgage Securities, Inc. Series 2006-PW11 Class AJ, 5.456% 3/11/39 (o)

450,000

407,735

Bear Stearns Commercial Mortgage Securities Trust:

floater:

Series 2006-BBA7:

Class D, 0.5134% 3/15/19 (h)(o)

200,000

165,260

Class E, 0.5734% 3/15/19 (h)(o)

365,000

293,573

Class F, 0.5934% 3/15/19 (h)(o)

160,000

125,102

Class G, 0.6934% 3/15/19 (h)(o)

1,020,386

744,043

Class H, 0.9034% 3/15/19 (h)(o)

541,917

301,098

Class J, 1.1034% 3/15/19 (h)(o)

407,118

212,722

Series 2007-BBA8:

Class D, 0.5034% 3/15/22 (h)(o)

655,330

471,838

Class E, 0.5534% 3/15/22 (h)(o)

3,607,157

2,416,795

Class F, 0.6034% 3/15/22 (h)(o)

2,235,922

1,386,272

Class G, 0.6534% 3/15/22 (h)(o)

537,549

306,403

Class H, 0.8034% 3/15/22 (h)(o)

655,330

327,665

Class J, 0.9534% 3/15/22 (h)(o)

655,330

275,239

sequential payer:

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

591,487

601,399

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

1,208,800

1,230,366

Series 2006-PW14 Class AM, 5.243% 12/11/38

600,000

592,865

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

1,405,658

1,424,230

Series 2007-PW16 Class A4, 5.717% 6/11/40 (o)

1,112,000

1,183,873

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

828,567

842,638

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

460,977

473,780

Series 1999-C1:

Class G, 5.64% 2/14/31 (h)

70,000

63,987

Class I, 5.64% 2/14/31 (h)

205,000

66,597

Series 2003-PWR2 Class X2, 0.5307% 5/11/39 (h)(o)(q)

13,423,075

59,063

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

6,714,000

7,101,905

Series 2006-PW14 Class X2, 0.6529% 12/11/38 (h)(o)(q)

25,773,245

421,462

Commercial Mortgage Securities - continued

 

Principal Amount (d)

Value

Bear Stearns Commercial Mortgage Securities Trust: - continued

floater:

Series 2006-T22:

Class A4, 5.5118% 4/12/38 (o)

$ 237,000

$ 259,736

Class B, 5.5118% 4/12/38 (h)(o)

200,000

152,380

Series 2007-BBA8:

Class K, 1.4534% 3/15/22 (h)(o)

120,000

38,400

Class L, 2.1534% 3/15/22 (h)(o)

253,568

68,463

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

352,965

358,948

Series 2007-PW16:

Class B, 5.717% 6/11/40 (h)(o)

304,000

130,590

Class C, 5.717% 6/11/40 (h)(o)

255,000

98,715

Class D, 5.717% 6/11/40 (h)(o)

255,000

87,892

Series 2007-PW18 Class X2, 0.3205% 6/11/50 (h)(o)(q)

177,669,388

2,286,676

Series 2007-T28:

Class A1, 5.422% 9/11/42

239,932

246,132

Class X2, 0.1749% 9/11/42 (h)(o)(q)

81,712,551

652,213

C-BASS Trust floater Series 2006-SC1 Class A, 0.5234% 5/25/36 (h)(o)

903,181

693,827

CDC Commercial Mortgage Trust Series 2002-FX1:

Class G, 6.625% 5/15/35 (h)

2,235,000

2,398,138

Class XCL, 2.1162% 5/15/35 (h)(o)(q)

24,656,763

567,401

Chase Commercial Mortgage Securities Corp.:

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

800,000

605,853

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

489,102

96,598

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

290,000

299,316

Citigroup Commercial Mortgage Trust:

floater:

Series 2006-FL2:

Class F, 0.5634% 8/15/21 (h)(o)

678,000

632,723

Class G, 0.5834% 8/15/21 (h)(o)

542,222

471,988

Class H, 0.6234% 8/15/21 (h)(o)

433,548

355,869

Series 2007-FL3A:

Class MLA1, 1.0534% 4/15/22 (h)(o)

232,363

198,774

Classs MLA2, 1.3034% 4/15/22 (h)(o)

102,753

87,743

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

9,955,000

10,555,096

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

3,183,422

2,960,197

Series 2007-C6:

Class A1, 5.622% 12/10/49 (o)

9,841,062

9,907,699

Class A4, 5.6985% 12/10/49 (o)

5,830,000

6,184,788

Series 2007-FL3A Class A2, 0.3934% 4/15/22 (h)(o)

6,878,000

6,175,222

Commercial Mortgage Securities - continued

 

Principal Amount (d)

Value

Citigroup/Deutsche Bank Commercial Mortgage Trust:

sequential payer Series 2007-CD4:

Class A1, 4.977% 12/11/49

$ 251,992

$ 253,649

Class A2A, 5.237% 12/11/49

11,693,000

11,935,675

Class A4, 5.322% 12/11/49

14,623,000

15,042,506

Series 2007-CD4:

Class A3, 5.293% 12/11/49

1,852,000

1,912,160

Class C, 5.476% 12/11/49

3,581,000

644,580

Claregold Trust Series 2007-2A:

Class F, 5.01% 5/15/44 (h)(o)

CAD

138,000

74,196

Class G, 5.01% 5/15/44 (h)(o)

CAD

30,000

14,512

Class H, 5.01% 5/15/44 (h)(o)

CAD

20,000

8,189

Class J, 5.01% 5/15/44 (h)(o)

CAD

20,000

7,475

Class K, 5.01% 5/15/44 (h)(o)

CAD

10,000

3,140

Class L, 5.01% 5/15/44 (h)(o)

CAD

36,000

10,404

Class M, 5.01% 5/15/44 (h)(o)

CAD

165,000

44,011

Cobalt CMBS Commercial Mortgage Trust:

sequential payer Series 2007-C3 Class A3, 5.818% 5/15/46 (o)

1,902,000

2,034,470

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

5,706,000

1,426,500

COMM pass-thru certificates:

floater:

Series 2005-F10A:

Class B, 0.4834% 4/15/17 (h)(o)

5,171,000

4,653,900

Class C, 0.5234% 4/15/17 (h)(o)

1,531,000

1,331,970

Class D, 0.5634% 4/15/17 (h)(o)

950,056

793,297

Class E, 0.6234% 4/15/17 (h)(o)

802,445

641,956

Class F, 0.6634% 4/15/17 (h)(o)

171,562

125,240

Class G, 0.8034% 4/15/17 (h)(o)

171,562

114,947

Class H, 0.8734% 4/15/17 (h)(o)

171,562

97,790

Class J, 1.1034% 4/15/17 (h)(o)

131,565

61,836

Series 2005-FL11:

Class B, 0.5034% 11/15/17 (h)(o)

176,254

169,204

Class C, 0.5534% 11/15/17 (h)(o)

1,451,600

1,364,504

Class D, 0.5934% 11/15/17 (h)(o)

75,490

69,451

Class E, 0.6434% 11/15/17 (h)(o)

268,371

238,851

Class F, 0.7034% 11/15/17 (h)(o)

185,934

159,903

Class G, 0.7534% 11/15/17 (h)(o)

128,880

104,393

Series 2006-FL12 Class AJ, 0.3834% 12/15/20 (h)(o)

2,710,000

2,357,700

sequential payer:

Series 2003-LB1A Class D, 4.278% 6/10/38

550,000

542,290

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

18,978

18,967

Commercial Mortgage Securities - continued

 

Principal Amount (d)

Value

COMM pass-thru certificates: - continued

sequential payer:

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

$ 5,420,000

$ 5,631,525

Series 2006-CN2A:

Class A2FX, 5.449% 2/5/19 (h)

3,306,000

3,309,275

Class AJFX, 5.478% 2/5/19 (h)

5,750,000

5,693,323

Series 2007-C9 Class A4, 5.8145% 12/10/49 (o)

4,209,000

4,525,499

Series 2001-J1A Class F, 6.958% 2/16/34 (h)

600,000

601,458

Series 2001-J2A Class F, 7.0306% 7/16/34 (h)(o)

199,000

174,580

Series 2004-LBN2 Class X2, 0.8517% 3/10/39 (h)(o)(q)

3,239,345

6,989

Series 2006-C8:

Class B, 5.44% 12/10/46

3,294,000

933,382

Class XP, 0.4812% 12/10/46 (o)(q)

20,651,829

276,125

Commercial Mortgage Acceptance Corp.:

Series 1998-C1:

Class F, 6.23% 7/15/31 (h)

94,994

96,923

Class G, 6.21% 7/15/31 (h)

554,000

564,792

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

204,930

209,721

Commercial Mortgage Asset Trust:

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

550,000

466,688

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

302,000

286,421

Credit Suisse Commercial Mortgage Trust:

sequential payer:

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

17,590,000

18,574,440

Series 2007-C2:

Class A1, 5.269% 1/15/49

17,830

17,847

Class A2, 5.448% 1/15/49 (o)

10,150,000

10,375,424

Class A3, 5.542% 1/15/49 (o)

3,804,000

3,909,722

Series 2007-C3 Class A4, 5.721% 6/15/39 (o)

1,144,000

1,182,804

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

10,824,000

11,567,252

Series 2006-C5 Class ASP, 0.6706% 12/15/39 (o)(q)

13,910,240

236,893

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

1,722,000

1,767,889

Credit Suisse First Boston Mortgage Capital Certificates floater Series 2007-TF2A Class B, 0.6034% 4/15/22 (h)(o)

6,783,000

3,730,650

Credit Suisse First Boston Mortgage Securities Corp.:

floater Series 2006-TF2A Class KER, 0.8534% 9/15/21 (h)(o)

270,225

211,213

sequential payer:

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

1,902,000

1,970,296

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

127,772

129,660

Commercial Mortgage Securities - continued

 

Principal Amount (d)

Value

Credit Suisse First Boston Mortgage Securities Corp.: - continued

sequential payer:

Series 2004-C1:

Class A3, 4.321% 1/15/37

$ 382,189

$ 386,341

Class A4, 4.75% 1/15/37

884,000

932,425

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

929,000

1,018,942

Series 1998-C1:

Class D, 7.17% 5/17/40

36,375

36,448

Class F, 6% 5/17/40 (h)

659,000

655,468

Class H, 6% 5/17/40 (h)

130,000

11,631

Series 1998-C2 Class F, 6.75% 11/11/30 (h)

470,000

505,728

Series 2001-CK6 Class AX, 0.8917% 8/15/36 (o)(q)

4,937,708

28,366

Series 2001-CKN5 Class AX, 1.963% 9/15/34 (h)(o)(q)

14,358,710

112,641

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

230,000

223,569

Series 2003-C3:

Class D, 4.131% 5/15/38

120,000

118,761

Class J, 4.231% 5/15/38 (h)

300,000

199,246

Series 2006-C1 Class A3, 5.5465% 2/15/39 (o)

10,043,000

10,641,486

Credit Suisse Mortgage Capital Certificates:

floater Series 2007-TFL1:

Class B, 0.4034% 2/15/22 (h)(o)

721,000

497,490

Class C:

0.4234% 2/15/22 (h)(o)

1,864,711

1,100,179

0.5234% 2/15/22 (h)(o)

665,993

319,677

Class F, 0.5734% 2/15/22 (h)(o)

1,331,815

572,680

Class L, 2.1534% 2/15/22 (h)(o)

100,000

2,000

sequential payer Series 2007-C1:

Class A1, 5.227% 2/15/40

92,621

93,636

Class A2, 5.268% 2/15/40

18,300,000

18,564,664

Series 2007-C1:

Class ASP, 0.4158% 2/15/40 (o)(q)

35,608,965

379,086

Class B, 5.487% 2/15/40 (h)(o)

2,907,000

348,840

Credit Suisse/Morgan Stanley Commercial Mortgage Trust:

floater Series 2006-HC1A:

Class A2, 0.5134% 5/15/23 (h)(o)

450,000

433,295

Class D, 0.7234% 5/15/23 (h)(o)

170,000

157,985

Class F, 0.8534% 5/15/23 (h)(o)

140,000

127,558

Series 2006-HC1A Class C, 0.6534% 5/15/23 (h)(o)

355,000

332,057

CRESI Finance Ltd. Partnership floater Series 2006-A Class E, 1.9034% 3/25/17 (h)(o)

160,000

132,800

Commercial Mortgage Securities - continued

 

Principal Amount (d)

Value

CRESIX Finance Ltd. Series 2006-AA Class F, 4.4534% 3/25/17 (h)(o)

$ 260,000

$ 206,700

Crest Ltd. Series 2001-1A Class C, 9% 2/25/34 (h)

500,000

275,000

Deutsche Mortgage & Asset Receiving Corp. Series 1998-C1 Class J, 6.22% 6/15/31

400,000

332,942

DLJ Commercial Mortgage Corp.:

Series 1998-CG1 Class B4, 7.2259% 6/10/31 (h)(o)

891,000

960,309

Series 2000-CKP1 Class B3, 8.0654% 11/10/33 (o)

230,000

229,563

Extended Stay America Trust Series 2010-ESHA Class D, 5.4983% 11/5/27 (h)

1,500,000

1,486,600

First Union National Bank Commercial Mortgage Trust Series 2001-C4:

Class H, 7.036% 12/12/33 (h)

770,000

783,145

Class K, 6% 12/12/33 (h)

520,000

516,811

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

Class D, 6.484% 3/15/33

679,000

680,531

Class G, 6.936% 3/15/33 (h)

1,642,000

1,641,208

Class H, 7.039% 3/15/33 (h)

63,000

62,933

First Union-Lehman Brothers-Bank of America Commercial Mortgage Trust sequential payer Series 1998-C2 Class G, 7% 11/18/35 (h)(o)

443,000

458,716

Four Times Square Trust sequential payer Series 2006-4TS Class A, 5.401% 12/13/28 (h)

200,000

213,677

FREMF Mortgage Trust Series 2010-K9 Class B, 5.1633% 8/25/20 (o)

1,290,000

1,099,725

G-Force LLC sequential payer Series 2005-RRA Class A2, 4.83% 8/22/36 (h)

625,000

590,000

GE Capital Commercial Mortgage Corp.:

sequential payer:

Series 2000-1 Class A2, 6.496% 1/15/33

42,728

42,703

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

11,404,000

11,744,649

Series 2001-1 Class X1, 0.99% 5/15/33 (h)(o)(q)

14,767,518

43,495

Series 2001-3 Class C, 6.51% 6/10/38

287,000

296,081

Series 2002-1A Class H, 7.154% 12/10/35 (h)(o)

65,000

63,972

Series 2004-C1 Class X2, 1.1123% 11/10/38 (h)(o)(q)

9,952,834

9,801

Series 2007-C1 Class XP, 0.1995% 12/10/49 (o)(q)

36,234,657

207,809

GMAC Commercial Mortgage Securities, Inc.:

Series 1997-C1 Class H, 6.6% 7/15/29

468,006

117,726

Series 1997-C2:

Class F, 6.75% 4/15/29 (o)

1,052,040

1,101,801

Class G, 6.75% 4/15/29 (o)

504,000

498,345

Series 1999-C1 Class F, 6.02% 5/15/33 (h)

540,000

555,649

Commercial Mortgage Securities - continued

 

Principal Amount (d)

Value

GMAC Commercial Mortgage Securities, Inc.: - continued

Series 1999-C2I Class K, 6.481% 9/15/33 (r)

$ 385,000

$ 13,475

Series 1999-C3:

Class G, 6.974% 8/15/36 (h)

139,240

139,188

Class J, 6.974% 8/15/36 (h)

226,000

224,521

Class K, 6.974% 8/15/36 (h)

427,000

149,885

Series 2000-C1:

Class H, 7% 3/15/33 (h)

27,142

27,423

Class K, 7% 3/15/33

90,000

65,035

Series 2002-C3 Class B, 5.101% 7/10/39

285,000

298,393

Series 2003-C3 Class X2, 0.6751% 4/10/40 (h)(o)(q)

10,107,146

191

Series 2005-C1 Class X2, 0.5556% 5/10/43 (o)(q)

7,558,172

63,421

Greenwich Capital Commercial Funding Corp.:

floater Series 2006-FL4 Class B, 0.4438% 11/5/21 (h)(o)

715,000

649,265

sequential payer:

Series 2003-C1 Class D, 4.29% 7/5/35 (h)

490,000

499,565

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

281,926

283,133

Series 2007-GG11 Class A2, 5.597% 12/10/49

3,804,000

3,979,404

Series 2007-GG9 Class A4, 5.444% 3/10/39

5,530,000

5,783,763

Series 2002-C1:

Class H, 5.903% 1/11/35 (h)

97,000

97,089

Class J, 6.306% 1/11/35 (h)

760,000

748,858

Series 2003-C2:

Class J, 5.234% 1/5/36 (h)(o)

250,000

201,314

Class XP, 0.8817% 1/5/36 (h)(o)(q)

12,076,264

291

Series 2005-GG3 Class XP, 0.6907% 8/10/42 (h)(o)(q)

35,228,621

257,563

Series 2006-GG7:

Class A3, 5.8828% 7/10/38 (o)

5,013,000

5,443,177

Class A4, 5.8828% 7/10/38 (o)

9,540,000

10,455,715

Series 2007-GG11 Class A1, 0.4798% 12/10/49 (h)(q)

43,800,959

435,574

GS Mortgage Securities Corp. II:

floater:

Series 2006-FL8A:

Class C, 0.4934% 6/6/20 (h)(o)

96,000

89,575

Class D, 0.5334% 6/6/20 (h)(o)

453,000

405,956

Class E, 0.6234% 6/6/20 (h)(o)

526,000

457,662

Class F, 0.6934% 6/6/20 (h)(o)

835,001

705,301

Class J, 2.0034% 6/6/20 (h)(o)

250,000

145,721

Commercial Mortgage Securities - continued

 

Principal Amount (d)

Value

GS Mortgage Securities Corp. II: - continued

floater:

Series 2007-EOP:

Class C, 0.5734% 3/6/20 (h)(o)

$ 1,994,000

$ 1,794,600

Class D, 0.6234% 3/6/20 (h)(o)

4,004,000

3,523,520

Class F, 0.7334% 3/6/20 (h)(o)

164,000

141,860

Class G, 0.7734% 3/6/20 (h)(o)

81,000

68,445

Class H, 0.9034% 3/6/20 (h)(o)

60,000

50,706

Class J, 1.1034% 3/6/20 (h)(o)

86,000

72,240

Class L, 1.5534% 3/1/20 (h)(o)

400,000

328,000

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

590,000

614,900

Series 1997-GL:

Class G, 7.5095% 7/13/30 (o)

822,763

921,906

Class H, 7.7995% 7/13/30 (h)(o)

230,000

243,662

Series 1998-GLII Class G, 7.6604% 4/13/31 (h)(o)

600,000

559,536

Series 2001-GL3A Class JGGP, 7.397% 8/5/18 (h)(o)

350,000

280,000

Series 2005-GG4 Class XP, 0.7093% 7/10/39 (h)(o)(q)

35,965,435

364,431

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

9,902,757

9,977,645

Series 2006-RR2:

Class M, 5.674% 6/1/46 (h)(o)

100,000

0

Class N, 5.674% 6/1/46 (h)(o)

100,000

0

Series 2010-C1 Class X, 1.5898% 8/10/43 (h)(o)(q)

6,373,709

580,008

GS Mortgage Securities Trust sequential payer:

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

2,852,000

2,905,160

Series 2007-GG10:

Class A1, 5.69% 8/10/45

179,955

183,495

Class A2, 5.778% 8/10/45

13,561,000

13,997,049

Class A4, 5.8078% 8/10/45 (o)

9,090,000

9,474,549

HVB Mortgage Capital Corp. floater Series 2003-FL1A Class K, 3.1034% 9/10/22 (h)(o)

1,120,000

1,041,714

JP Morgan Chase Commercial Mortgage Securities Corp.:

Series 2009-IWST Class D, 7.4453% 12/5/27 (h)(o)

250,000

264,139

Series 2010-CNTR Class D, 6.1838% 8/5/32 (h)(o)

460,000

436,162

JP Morgan Chase Commercial Mortgage Securities Trust Series 2010-C2:

Class D, 5.715% 11/15/43 (h)(o)

220,000

200,703

Class XB, 0.7549% 11/15/43 (h)(q)

3,600,000

133,602

JPMorgan Chase Commercial Mortgage Securities Corp.:

Series 2002-C1 Class E, 6.135% 7/12/37 (h)

201,000

198,830

Commercial Mortgage Securities - continued

 

Principal Amount (d)

Value

JPMorgan Chase Commercial Mortgage Securities Corp.: - continued

Series 2003-C1:

Class CM1, 5.5061% 1/12/37 (h)(o)

$ 205,398

$ 178,697

Class D, 5.192% 1/12/37

230,000

230,497

Series 2004-C1 Class X2, 0.9167% 1/15/38 (h)(o)(q)

2,942,268

5,490

Series 2004-CB8 Class X2, 1.0315% 1/12/39 (h)(o)(q)

2,940,154

8,556

JPMorgan Chase Commercial Mortgage Securities Trust:

floater:

Series 2005-FL1A Class A2, 0.4334% 2/15/19 (h)(o)

362,918

355,673

Series 2006-FL1A Class E, 0.6234% 2/15/20 (h)(o)

144,283

118,642

Series 2006-FLA2:

Class A2, 0.3834% 11/15/18 (h)(o)

10,000,000

9,200,000

Class B, 0.4234% 11/15/18 (h)(o)

1,402,023

1,233,780

Class C, 0.4634% 11/15/18 (h)(o)

996,098

846,684

Class D, 0.4834% 11/15/18 (h)(o)

303,433

248,815

Class E, 0.5334% 11/15/18 (h)(o)

437,718

350,174

Class F, 0.5834% 11/15/18 (h)(o)

655,376

511,194

Class G, 0.6134% 11/15/18 (h)(o)

569,467

427,100

Class H, 0.7534% 11/15/18 (h)(o)

437,718

319,534

sequential payer:

Series 2006-CB14 Class A3B, 5.4835% 12/12/44 (o)

5,657,000

5,980,012

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

1,210,000

1,303,816

Series 2006-LDP9:

Class A2, 5.134% 5/15/47 (o)

903,000

946,075

Class A3, 5.336% 5/15/47

9,409,000

9,813,494

Series 2007-CB19 Class A4, 5.7421% 2/12/49 (o)

6,670,000

7,051,718

Series 2007-LD11 Class A2, 5.8025% 6/15/49 (o)

5,340,000

5,562,295

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

45,032

45,414

Series 2007-LDPX:

Class A2 S, 5.305% 1/15/49

4,299,000

4,383,875

Class A3, 5.412% 1/15/49

8,142,000

8,492,331

Series 2004-CBX Class D, 5.097% 1/12/37 (o)

170,000

145,059

Series 2004-LN2 Class D, 5.2099% 7/15/41 (o)

420,000

372,498

Series 2005-CB13 Class E, 5.3509% 1/12/43 (h)(o)

963,000

76,077

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

10,527,952

10,886,836

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

543,000

559,583

Commercial Mortgage Securities - continued

 

Principal Amount (d)

Value

JPMorgan Chase Commercial Mortgage Securities Trust: - continued

Series 2007-CB19:

Class B, 5.7421% 2/12/49 (o)

$ 165,000

$ 60,991

Class C, 5.7421% 2/12/49 (o)

424,000

148,257

Class D, 5.7421% 2/12/49 (o)

447,000

135,061

Series 2007-LDP10:

Class BS, 5.437% 1/15/49 (o)

364,000

127,396

Class CS, 5.466% 1/15/49 (o)

157,000

50,208

Class ES, 5.5411% 1/15/49 (h)(o)

983,000

63,958

JPMorgan Commercial Mortgage Finance Corp.:

Series 1997-C5 Class F, 7.5605% 9/15/29

1,258,774

1,322,765

Series 2000-C9 Class G, 6.25% 10/15/32 (h)

664,828

670,486

LB Commercial Conduit Mortgage Trust:

sequential payer Series 2007-C3 Class A4, 5.9501% 7/15/44 (o)

21,615,000

22,947,725

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

638,774

640,852

Series 1998-C4 Class G, 5.6% 10/15/35 (h)

583,000

599,790

LB-UBS Commercial Mortgage Trust:

sequential payer:

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

307,938

309,619

Series 2004-C2 Class E, 4.487% 3/15/36

150,000

141,928

Series 2005-C7:

Class AJ, 5.323% 11/15/40

500,000

484,772

Class AM, 5.263% 11/15/40 (o)

67,000

69,091

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

487,929

490,197

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

22,591

22,614

Series 2006-C6:

Class A1, 5.23% 9/15/39

180,498

180,610

Class A2, 5.262% 9/15/39 (o)

11,694,000

11,852,800

Series 2006-C7:

Class A1, 5.279% 11/15/38

391,207

396,437

Class A2, 5.3% 11/15/38

2,092,000

2,136,952

Class A3, 5.347% 11/15/38

1,417,000

1,498,110

Class AM, 5.378% 11/15/38

160,000

157,582

Series 2007-C1:

Class A1, 5.391% 2/15/40 (o)

188,034

191,398

Class A3, 5.398% 2/15/40

10,000,000

10,611,509

Class A4, 5.424% 2/15/40

5,434,000

5,737,982

Series 2007-C2 Class A3, 5.43% 2/15/40

3,967,000

4,123,035

Series 2007-C6 Class A2, 5.845% 7/15/40

9,937,008

10,326,641

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

134,000

134,057

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

3,676,000

3,766,439

Commercial Mortgage Securities - continued

 

Principal Amount (d)

Value

LB-UBS Commercial Mortgage Trust: - continued

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

$ 2,092,000

$ 2,142,691

Series 2002-C1 Class J, 6.95% 3/15/34 (h)(o)

86,000

88,268

Series 2003-C7 Class L, 5.1129% 7/15/37 (h)(o)

284,000

186,214

Series 2004-C2:

Class G, 4.595% 3/15/36 (h)(o)

225,000

182,540

Class K, 5.2545% 3/15/36 (h)(o)

500,000

223,851

Class XCP, 1.0453% 3/15/36 (h)(o)(q)

22,208,334

64,071

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

218,569

219,577

Series 2005-C2 Class AJ, 5.205% 4/15/30 (o)

740,000

742,636

Series 2005-C3 Class XCP, 0.7546% 7/15/40 (o)(q)

5,887,328

57,762

Series 2005-C5 Class A2, 4.885% 9/15/30

473,899

486,963

Series 2005-C7 Class C, 5.35% 11/15/40 (o)

686,000

561,015

Series 2006-C4:

Class AJ, 5.9009% 6/15/38 (o)

480,000

449,518

Class AM, 5.9009% 6/15/38 (o)

500,000

521,583

Series 2006-C6 Class XCP, 0.6752% 9/15/39 (o)(q)

8,763,693

157,909

Series 2007-C1:

Class C, 5.533% 2/15/40 (o)

4,185,000

1,770,890

Class D, 5.563% 2/15/40 (o)

760,000

274,221

Class E, 5.582% 2/15/40 (o)

381,000

103,111

Class XCP, 0.477% 2/15/40 (o)(q)

4,345,108

45,600

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

2,376,000

2,490,096

Series 2007-C7:

Class A3, 5.866% 9/15/45

2,029,000

2,152,742

Class XCP, 0.29% 9/15/45 (o)(q)

145,958,021

1,526,619

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

Class D, 0.4834% 9/15/21 (h)(o)

608,683

462,599

Class E, 0.5434% 9/15/21 (h)(o)

2,196,145

1,625,147

Class F, 0.5934% 9/15/21 (h)(o)

1,143,094

823,028

Class G, 0.6134% 9/15/21 (h)(o)

2,258,211

1,580,748

Class H, 0.6534% 9/15/21 (h)(o)

582,579

372,850

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

3,377,000

3,490,437

LNR CFL Series 2004-1:

Class I10, 7.72% 2/26/28 (h)

180,000

177,318

Class I11, 7.72% 2/26/28 (h)

100,000

92,560

Class I12, 7.72% 2/26/28 (h)

100,000

88,830

Class I9, 7.72% 2/26/28 (h)

153,200

154,732

Merrill Lynch Financial Asset, Inc. Series 2006-CA20 Class E, 5.4345% 10/12/39 (h)

CAD

320,000

219,015

Commercial Mortgage Securities - continued

 

Principal Amount (d)

Value

Merrill Lynch Mortgage Investors Trust:

Series 1997-C2 Class F, 6.25% 12/10/29 (o)

$ 620,000

$ 641,007

Series 1998-C3 Class E, 6.8552% 12/15/30 (o)

173,000

186,960

Merrill Lynch Mortgage Trust:

sequential payer:

Series 2004-MKB1 Class A2, 4.353% 2/12/42

217,881

218,053

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

300,815

302,517

Series 2004-MKB1 Class F, 5.5091% 2/12/42 (h)(o)

180,000

172,694

Series 2005-CKI1 Class A3, 5.2413% 11/12/37 (o)

3,122,000

3,228,469

Series 2005-LC1 Class F, 5.3852% 1/12/44 (h)(o)

1,655,000

832,636

Series 2006-C1:

Class A2, 5.6095% 5/12/39 (o)

2,650,012

2,727,048

Class AJ, 5.6545% 5/12/39 (o)

160,000

140,870

Class AM, 5.6545% 5/12/39 (o)

100,000

100,570

Series 2006-KEY2:
Class K, 5.091% 8/12/39 (h)(o)

100,000

2,450

Class L, 5.091% 8/12/39 (h)

300,000

4,350

Series 2007-C1 Class A4, 5.8258% 6/12/50 (o)

7,199,517

7,730,943

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

4,059,000

4,284,294

Merrill Lynch-CFC Commercial Mortgage Trust:

floater Series 2006-4 Class A2FL, 0.3763% 12/12/49 (o)

882,527

858,670

sequential payer:

Series 2006-1 CLass A3, 5.4657% 2/12/39 (o)

2,024,000

2,117,587

Series 2006-4:

Class A2, 5.112% 12/12/49 (o)

1,069,579

1,087,590

Class ASB, 5.133% 12/12/49 (o)

1,636,000

1,726,397

Series 2007-5:

Class A1, 4.275% 8/12/48

27,210

27,279

Class A3, 5.364% 8/12/48

11,417,000

11,714,947

Class A4, 5.378% 8/12/48

76,000

77,018

Class B, 5.479% 2/12/17

5,706,000

904,663

Series 2007-6:

Class A1, 5.175% 3/12/51

82,962

83,912

Class A4, 5.485% 3/12/51 (o)

14,650,000

14,975,554

Series 2007-7 Class A4, 5.7475% 6/12/50 (o)

6,656,000

6,840,111

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

352,416

358,650

Series 2006-4 Class XP, 0.6252% 12/12/49 (o)(q)

38,955,674

704,626

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

1,902,000

580,591

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

166,000

28,324

Series 2007-8 Class A3, 5.9646% 8/12/49 (o)

1,640,000

1,765,683

Commercial Mortgage Securities - continued

 

Principal Amount (d)

Value

Morgan Stanley Capital I Trust:

floater:

Series 2006-XLF:

Class C, 1.454% 7/15/19 (h)(o)

$ 822,747

$ 98,730

Class G, 0.614% 7/15/19 (h)(o)

540,149

502,339

Class H, 0.634% 7/15/19 (h)(o)

550,000

473,000

Class J, 0.684% 7/15/19 (h)(o)

354,000

233,640

Series 2007-XCLA Class A1, 0.454% 7/17/17 (h)(o)

2,411,770

1,742,504

Series 2007-XLCA Class B, 0.754% 7/17/17 (h)(o)

2,408,057

282,947

Series 2007-XLFA:

Class C, 0.414% 10/15/20 (h)(o)

1,092,000

469,560

Class D, 0.444% 10/15/20 (h)(o)

667,354

240,247

Class E, 0.504% 10/15/20 (h)(o)

834,661

175,279

Class F, 0.554% 10/15/20 (h)(o)

500,899

70,126

Class G, 0.594% 10/15/20 (h)(o)

619,188

43,343

Class H, 0.684% 10/15/20 (h)(o)

389,758

23,385

Class J, 0.834% 10/15/20 (h)(o)

444,903

17,796

Class MHRO, 0.944% 10/15/20 (h)(o)

605,197

151,299

Class MJPM, 1.254% 10/15/20 (h)(o)

183,182

137,386

Class MSTR, 0.954% 10/15/20 (h)(o)

343,918

85,979

Class NHRO, 1.144% 10/15/20 (h)(o)

918,469

137,770

Class NSTR, 1.104% 10/15/20 (h)(o)

315,384

47,308

sequential payer:

Series 2003-IQ5 Class X2, 0.9113% 4/15/38 (h)(o)(q)

5,235,674

36,512

Series 2004-RR2 Class A2, 5.45% 10/28/33 (h)

432,027

430,947

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

2,826,000

2,910,533

Series 2006-HQ10 Class AM, 5.36% 11/12/41

620,000

614,032

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

440,169

443,984

Series 2007-HQ11:

Class A1, 5.246% 2/12/44

203,904

206,301

Class A31, 5.439% 2/12/44 (o)

964,000

1,003,713

Series 2007-IQ13:

Class A1, 5.05% 3/15/44

340,218

344,050

Class A4, 5.364% 3/15/44

10,000,000

10,370,586

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

840,080

857,538

Series 2007-T25 Class A1, 5.391% 11/12/49

247,651

252,890

Series 1997-RR Class F, 7.4488% 4/30/39 (h)(o)

201,960

193,882

Series 1998-CF1 Class G, 7.35% 7/15/32 (h)

223,000

132,128

Series 1999-WF1:

Class N, 5.91% 11/15/31 (h)

210,000

156,627

Class O, 5.91% 11/15/31 (h)

291,809

62,783

Commercial Mortgage Securities - continued

 

Principal Amount (d)

Value

Morgan Stanley Capital I Trust: - continued

Series 2003-IQ6 Class X2, 0.5796% 12/15/41 (h)(o)(q)

$ 12,306,129

$ 71,225

Series 2004-IQ7 Class E, 5.4003% 6/15/38 (h)(o)

120,000

66,528

Series 2004-RR2 Class C, 5.88% 10/28/33 (h)(o)

280,000

219,100

Series 2005-IQ9 Class X2, 1.0925% 7/15/56 (h)(o)(q)

21,165,292

245,900

Series 2006-HQ10 Class X2, 0.4955% 11/12/41 (h)(o)(q)

9,538,606

98,667

Series 2006-HQ8 Class A3, 5.4406% 3/12/44 (o)

2,950,000

2,993,988

Series 2006-IQ11:

Class A3, 5.7248% 10/15/42 (o)

3,125,272

3,282,977

Class A4, 5.7608% 10/15/42 (o)

570,000

629,449

Series 2006-IQ12:

Class AMFX, 5.37% 12/15/43

719,000

701,018

Class B, 5.468% 12/15/43

1,902,000

692,708

Series 2006-T23 Class A3, 5.8053% 8/12/41 (o)

972,000

1,045,792

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

3,448,000

1,588,494

Series 2007-HQ12 Class A2, 5.6352% 4/12/49 (o)

12,589,082

12,781,132

Series 2007-IQ14:

Class A4, 5.692% 4/15/49 (o)

2,852,000

2,990,756

Class B, 5.7278% 4/15/49 (o)

469,000

163,958

Series 2007-XLC1:

Class C, 0.854% 7/17/17 (h)(o)

3,248,037

89,321

Class D, 0.954% 7/17/17 (h)(o)

1,527,378

19,092

Class E, 1.054% 7/17/17 (h)(o)

1,240,783

15,510

Morgan Stanley Dean Witter Capital I Trust:

sequential payer Series 2001-PPM Class A2, 6.4% 2/15/31

32

32

Series 2000-PRIN Class C, 7.9523% 2/23/34 (o)

466,000

517,531

Series 2001-IQA Class F, 6.79% 12/18/32 (h)

194,900

196,810

Series 2001-TOP3 Class E, 7.1804% 7/15/33 (h)(o)

150,000

153,105

Series 2003-TOP9 Class E, 5.7428% 11/13/36 (h)(o)

78,000

70,748

Multi Security Asset Trust sequential payer Series 2005-RR4A Class A2, 4.83% 11/28/35 (h)

171,192

161,723

NationsLink Funding Corp. Series 1998-2:

Class F, 7.105% 8/20/30 (h)

575,950

617,698

Class G, 5% 8/20/30 (h)

361,875

375,430

Class J, 5% 8/20/30 (h)

195,000

181,545

Nomura Asset Securities Corp. Series 1998-D6 Class B1, 6% 3/15/30 (h)

1,050,000

1,062,511

Commercial Mortgage Securities - continued

 

Principal Amount (d)

Value

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

$ 687,257

$ 711,311

Prudential Securities Secured Financing Corp. Series 1999-NRF1 Class F, 6.074% 11/1/31 (h)

4,630

4,757

RBSCF Trust Series 2010-MB1 Class D, 4.6658% 4/15/24 (h)(o)

480,000

466,896

Real Estate Asset Liquidity Trust:

Series 2006-2:

Class F, 4.456% 9/12/38 (h)

CAD

107,000

68,690

Class G, 4.456% 9/12/38 (h)

CAD

54,000

32,984

Class H, 4.456% 9/12/38 (h)

CAD

36,000

20,934

Class J, 4.456% 9/12/38 (h)

CAD

36,000

19,860

Class K, 4.456% 9/12/38 (h)

CAD

18,000

8,837

Class L, 4.456% 9/12/38 (h)

CAD

26,000

12,096

Class M, 4.456% 9/12/38 (h)

CAD

128,859

31,629

Series 2007-1:

Class F, 4.57% 4/12/23

CAD

126,000

81,500

Class G, 4.57% 4/12/23

CAD

42,000

25,853

Class H, 4.57% 4/12/23

CAD

42,000

24,617

Class J, 4.57% 4/12/23

CAD

42,000

23,452

Class K, 4.57% 4/12/23

CAD

21,000

11,177

Class L, 4.57% 4/12/23

CAD

63,000

31,981

Class M, 4.57% 4/12/23

CAD

185,000

41,639

Salomon Brothers Mortgage Securities VII, Inc.:

Series 2001-C1 Class E, 6.31% 12/18/35

135,000

134,886

Series 2001-MMA:

Class E6, 6.5% 2/18/34 (h)(o)

192,000

169,670

Class F6, 6.5% 2/18/34 (h)(o)

43,000

36,172

Structured Asset Securities Corp. Series 1997-LLI:

Class D, 7.15% 10/12/34

195,036

200,220

Class F, 7.3% 10/12/34 (h)

473,000

488,889

TIAA Seasoned Commercial Mortgage Trust sequential payer Series 2007-C4 Class AJ, 6.0429% 8/15/39 (o)

170,000

171,289

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

1,616,000

1,642,884

UBS Commercial Mortgage Trust Series 2007-FL1:

Class F, 0.8284% 7/15/24 (h)(o)

110,000

32,086

Class G, 0.8284% 7/15/24 (h)(o)

200,000

56,219

Vornado DP LLC Series 2010-VNO Class D, 6.3555% 9/13/20 (h)

180,000

184,654

Commercial Mortgage Securities - continued

 

Principal Amount (d)

Value

Wachovia Bank Commercial Mortgage Trust:

floater:

Series 2005-WL5A Class K, 1.4534% 1/15/18 (h)(o)

$ 1,276,330

$ 1,225,677

Series 2006-WL7A:

Class E, 0.5363% 9/15/21 (h)(o)

1,770,598

1,133,380

Class F, 0.5963% 8/11/18 (h)(o)

1,877,987

890,134

Class G, 0.6163% 8/11/18 (h)(o)

1,779,101

823,138

Class J, 0.8563% 8/11/18 (h)(o)

395,545

123,221

Series 2007-WHL8:

Class AP1, 0.9534% 6/15/20 (h)(o)

140,220

84,132

Class AP2, 1.0534% 6/15/20 (h)(o)

235,007

129,254

Class F, 0.7334% 6/15/20 (h)(o)

4,565,501

2,282,751

Class LXR1, 0.9534% 6/15/20 (h)(o)

233,916

164,910

Class LXR2, 1.0534% 6/15/20 (h)(o)

3,111,858

2,022,708

sequential payer:

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

2,767,208

2,788,542

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

8,283,000

8,534,783

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

1,569,865

1,598,110

Series 2006-C29:

Class A1, 5.11% 11/15/48

548,644

554,303

Class A3, 5.313% 11/15/48

5,051,000

5,378,725

Series 2007-C30:

Class A1, 5.031% 12/15/43

45,576

45,678

Class A3, 5.246% 12/15/43

1,633,000

1,654,483

Class A4, 5.305% 12/15/43

8,604,000

8,629,210

Class A5, 5.342% 12/15/43

2,036,000

2,041,554

Series 2007-C31:

Class A1, 5.14% 4/15/47

155,882

157,043

Class A4, 5.509% 4/15/47

4,299,000

4,396,721

Series 2007-C32:

Class A2, 5.739% 6/15/49 (o)

15,568,000

16,131,867

Class A3, 5.744% 6/15/49 (o)

3,229,000

3,332,819

Series 2003-C6 Class G, 5.125% 8/15/35 (h)(o)

903,000

882,346

Series 2003-C9 Class XP, 0.4498% 12/15/35 (h)(o)(q)

5,330,128

58

Series 2004-C10 Class E, 4.931% 2/15/41

340,000

317,042

Series 2004-C11:

Class D, 5.3114% 1/15/41 (o)

360,000

321,406

Class E, 5.3614% 1/15/41 (o)

327,000

265,822

Series 2004-C12 Class D, 5.3052% 7/15/41 (o)

280,000

252,428

Series 2004-C14:

Class B, 5.17% 8/15/41

258,500

252,187

Commercial Mortgage Securities - continued

 

Principal Amount (d)

Value

Wachovia Bank Commercial Mortgage Trust: - continued

Series 2004-C14:

Class C, 5.21% 8/15/41

$ 170,000

$ 159,596

Series 2004-C15:

Class 180A, 5.3979% 10/15/41 (h)(o)

1,464,000

1,405,440

Class 180B, 5.3979% 10/15/41 (h)(o)

666,000

626,040

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

1,902,000

1,598,954

Series 2005-C22:

Class B, 5.3588% 12/15/44 (o)

4,218,000

3,466,547

Class F, 5.3588% 12/15/44 (h)(o)

3,171,000

1,305,513

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

7,870,000

8,444,659

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

1,902,000

603,568

Series 2007-C30:

Class B, 5.463% 12/15/43 (o)

10,505,000

2,376,967

Class C, 5.483% 12/15/43 (o)

5,706,000

975,412

Class D, 5.513% 12/15/43 (o)

3,044,000

266,380

Class XP, 0.4396% 12/15/43 (h)(o)(q)

21,123,634

276,557

Series 2007-C31 Class C, 5.6934% 4/15/47 (o)

522,000

113,474

Series 2007-C32:

Class D, 5.744% 6/15/49 (o)

1,431,000

291,870

Class E, 5.744% 6/15/49 (o)

2,252,000

394,207

Wachovia Bank Commercial Mortgage Trust pass-thru certificates:

sequential payer Series 2007-C33 Class A5, 5.9025% 2/15/51 (o)

1,259,000

1,310,277

Series 2007-C33 Class B, 5.9025% 2/15/51 (o)

3,198,000

1,061,239

Wells Fargo Commercial Mortgage Trust Series 2010-C1 Class XB, 0.5792% 10/15/57 (h)(q)

10,192,000

378,123

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $700,845,273)

820,350,367

Municipal Securities - 0.2%

 

California Gen. Oblig.:

6.2% 3/1/19

5,000,000

5,271,450

7.5% 4/1/34

5,600,000

5,737,256

7.55% 4/1/39

8,202,000

8,446,584

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

6,825,000

7,097,113

TOTAL MUNICIPAL SECURITIES

(Cost $25,831,730)

26,552,403

Foreign Government and Government Agency Obligations - 1.7%

 

Principal Amount (d)

Value

Arab Republic of Egypt:

5.75% 4/29/20 (h)

$ 1,450,000

$ 1,566,000

6.875% 4/30/40 (h)

1,585,000

1,751,425

Argentine Republic:

discount (with partial capitalization through 12/31/13) 8.28% 12/31/33

3,420,213

3,043,989

par 2.5% 12/31/38 (f)

3,210,000

1,364,250

0.6586% 8/3/12 (o)

6,201,250

5,765,878

7% 3/28/11

16,280,000

16,409,788

7% 9/12/13

15,235,000

14,775,411

7% 10/3/15

1,340,000

1,199,188

Aruba Government 6.4% 9/6/15 (h)

300,000

315,000

Bahamian Republic 6.95% 11/20/29 (h)

805,000

845,250

Barbados Government 7.25% 12/15/21 (h)

647,000

689,055

Belarus Republic 8.75% 8/3/15

1,530,000

1,545,300

Bermuda Government 5.603% 7/20/20 (h)

470,000

500,550

Brazilian Federative Republic:

5.625% 1/7/41

1,135,000

1,170,753

6% 9/15/13

200,007

209,507

8.75% 2/4/25

545,000

773,900

10.125% 5/15/27

340,000

535,500

12.25% 3/6/30

455,000

850,850

Buenos Aires Province 11.75% 10/5/15 (h)

690,000

683,100

Bulgarian Republic 8.25% 1/15/15 (Reg. S)

1,340,000

1,564,450

Cayman Island Government 5.95% 11/24/19 (h)

500,000

522,500

Chilean Republic 7.125% 1/11/12

3,045,000

3,227,700

Colombian Republic:

6.125% 1/18/41

1,200,000

1,272,000

7.375% 9/18/37

2,130,000

2,619,900

10.375% 1/28/33

965,000

1,486,100

11.75% 2/25/20

950,000

1,463,000

Congo Republic 3% 6/30/29 (f)

2,479,500

1,512,495

Croatia Republic:

6.625% 7/14/20 (h)

855,000

898,819

6.75% 11/5/19 (h)

1,455,000

1,544,206

Democratic Socialist Republic of Sri Lanka:

7.4% 1/22/15 (h)

1,260,000

1,397,025

8.25% 10/24/12 (h)

1,070,000

1,158,275

Dominican Republic:

1.2713% 8/30/24 (o)

1,350,000

1,208,250

7.5% 5/6/21 (h)

1,140,000

1,234,050

9.04% 1/23/18 (h)

967,284

1,131,723

Ecuador Republic 5% 2/28/25

218,000

159,140

Foreign Government and Government Agency Obligations - continued

 

Principal Amount (d)

Value

El Salvador Republic:

7.375% 12/1/19 (h)

$ 745,000

$ 819,500

7.65% 6/15/35 (Reg. S)

1,265,000

1,359,875

7.75% 1/24/23 (Reg. S)

1,070,000

1,198,400

8.25% 4/10/32 (Reg. S)

375,000

423,750

Gabonese Republic 8.2% 12/12/17 (h)

1,310,000

1,532,700

Georgia Republic 7.5% 4/15/13

2,470,000

2,550,275

Ghana Republic 8.5% 10/4/17 (h)

1,475,000

1,666,750

Government of the Democratic Socialist Republic of Sri Lanka 6.25% 10/4/20 (h)

1,335,000

1,366,706

Hungarian Republic:

4.75% 2/3/15

530,000

519,400

6.25% 1/29/20

2,250,000

2,182,500

Indonesian Republic:

5.875% 3/13/20 (h)

1,560,000

1,755,000

6.625% 2/17/37 (h)

1,000,000

1,137,500

6.875% 1/17/18 (h)

980,000

1,173,550

7.5% 1/15/16 (h)

485,000

579,575

7.75% 1/17/38 (h)

1,490,000

1,884,850

8.5% 10/12/35 (Reg. S)

1,360,000

1,856,400

11.625% 3/4/19 (h)

1,070,000

1,626,400

Islamic Republic of Pakistan 7.125% 3/31/16 (h)

3,860,000

3,512,600

Ivory Coast 2.5% 12/31/32 (f)

1,825,000

1,058,500

Lebanese Republic 4% 12/31/17

2,257,500

2,201,063

Lithuanian Republic:

5.125% 9/14/17 (h)

430,000

421,400

6.75% 1/15/15 (h)

1,585,000

1,695,950

7.375% 2/11/20 (h)

1,685,000

1,853,500

Perusahaan Penerbit SBSN Indonesia 8.8% 4/23/14 (h)

560,000

660,800

Peruvian Republic:

3% 3/7/27 (f)

435,000

378,450

5.625% 11/18/50 (h)

1,255,000

1,201,663

7.35% 7/21/25

950,000

1,180,375

8.75% 11/21/33

1,120,000

1,590,400

Philippine Republic:

6.375% 10/23/34

465,000

512,663

6.5% 1/20/20

805,000

952,959

10.625% 3/16/25

520,000

824,200

Polish Government 3.875% 7/16/15

840,000

840,000

Provincia de Cordoba 12.375% 8/17/17 (h)

1,490,000

1,493,725

Republic of Iraq 5.8% 1/15/28 (Reg. S)

3,650,000

3,212,000

Republic of Serbia 6.75% 11/1/24 (h)

6,822,667

6,686,214

Foreign Government and Government Agency Obligations - continued

 

Principal Amount (d)

Value

Russian Federation:

3.625% 4/29/15 (h)

$ 800,000

$ 798,800

5% 4/29/20 (h)

1,900,000

1,893,350

7.5% 3/31/30 (Reg. S)

9,685,690

11,157,915

11% 7/24/18 (Reg. S)

335,000

469,000

12.75% 6/24/28 (Reg. S)

1,800,000

3,132,000

Turkish Republic:

5.625% 3/30/21

815,000

871,072

6.75% 4/3/18

1,395,000

1,625,873

6.75% 5/30/40

805,000

907,638

6.875% 3/17/36

2,920,000

3,339,896

7% 9/26/16

1,360,000

1,589,024

7.25% 3/15/15

730,000

845,924

7.25% 3/5/38

1,400,000

1,681,820

7.375% 2/5/25

3,590,000

4,357,542

7.5% 7/14/17

1,285,000

1,545,984

7.5% 11/7/19

745,000

909,943

11.875% 1/15/30

860,000

1,502,850

Ukraine Cabinet of Ministers 6.875% 3/4/11 (Reg. S)

6,830,000

6,850,490

Ukraine Financing of Infrastructure Projects State Enterprise 8.375% 11/3/17 (h)

840,000

831,600

Ukraine Government:

6.385% 6/26/12 (h)

660,000

657,525

6.75% 11/14/17 (h)

2,295,000

2,197,463

6.875% 9/23/15 (h)

430,000

417,100

7.75% 9/23/20 (h)

880,000

851,400

United Mexican States:

5.125% 1/15/20

468,000

499,590

5.625% 1/15/17

740,000

830,650

5.75% 10/12/10

964,000

879,650

6.05% 1/11/40

1,788,000

1,895,280

6.75% 9/27/34

720,000

835,200

7.5% 4/8/33

425,000

534,438

8.3% 8/15/31

420,000

569,100

Uruguay Republic:

6.875% 9/28/25

585,000

688,838

7.875% 1/15/33 pay-in-kind

970,000

1,224,625

8% 11/18/22

2,566,902

3,285,635

Venezuelan Republic:

1.2884% 4/20/11 (Reg. S) (o)

9,895,000

9,647,625

6% 12/9/20

860,000

466,550

7% 3/31/38

815,000

427,875

Foreign Government and Government Agency Obligations - continued

 

Principal Amount (d)

Value

Venezuelan Republic: - continued

8.5% 10/8/14

$ 960,000

$ 780,000

9% 5/7/23 (Reg. S)

3,675,000

2,307,900

9.25% 9/15/27

3,280,000

2,222,200

9.375% 1/13/34

985,000

615,625

10.75% 9/19/13

2,750,000

2,516,250

12.75% 8/23/22

3,150,000

2,583,000

13.625% 8/15/18

2,328,000

2,165,040

Vietnamese Socialist Republic:

1.2997% 3/12/16 (o)

908,696

840,544

4% 3/12/28 (f)

3,040,000

2,538,400

6.75% 1/29/20 (h)

1,405,000

1,536,789

6.875% 1/15/16 (h)

1,230,000

1,360,749

TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $198,917,324)

219,989,682

Supranational Obligations - 0.0%

 

Corporacion Andina de Fomento 5.2% 5/21/13

242,000

263,165

Eurasian Development Bank 7.375% 9/29/14 (h)

1,100,000

1,182,500

TOTAL SUPRANATIONAL OBLIGATIONS

(Cost $1,335,763)

1,445,665

Common Stocks - 0.0%

Shares

 

FINANCIALS - 0.0%

Thrifts & Mortgage Finance - 0.0%

Wrightwood Capital LLC warrants 7/31/14 (a)(h)

(Cost $15)

1,517

15

Preferred Stocks - 0.1%

 

 

 

 

Convertible Preferred Stocks - 0.1%

CONSUMER DISCRETIONARY - 0.1%

Automobiles - 0.1%

General Motors Co. 4.75% (a)

62,000

3,143,400

Preferred Stocks - continued

Shares

Value

Convertible Preferred Stocks - continued

UTILITIES - 0.0%

Electric Utilities - 0.0%

AES Trust III 6.75%

28,100

$ 1,355,263

TOTAL CONVERTIBLE PREFERRED STOCKS

4,498,663

Nonconvertible Preferred Stocks - 0.0%

FINANCIALS - 0.0%

Diversified Financial Services - 0.0%

GMAC LLC 7.00% (h)

3,095

2,684,913

TOTAL PREFERRED STOCKS

(Cost $7,078,136)

7,183,576

Floating Rate Loans - 0.3%

 

Principal Amount (d)

 

CONSUMER DISCRETIONARY - 0.1%

Auto Components - 0.0%

Federal-Mogul Corp.:

Tranche B, term loan 2.1875% 12/27/14 (o)

$ 3,395,303

3,055,773

Tranche C, term loan 2.1875% 12/27/15 (o)

2,132,680

1,903,417

 

4,959,190

Diversified Consumer Services - 0.0%

Visant Corp. Tranche B, term loan 7% 12/22/16 (o)

1,245,000

1,255,894

Hotels, Restaurants & Leisure - 0.0%

Extended Stay America, Inc. term loan 9.75% 11/1/15

1,000,000

997,500

Las Vegas Sands LLC:

Tranche B, term loan 3.03% 11/23/16 (o)

2,448,322

2,298,362

Tranche I, term loan 3.03% 11/23/16 (o)

503,028

472,217

 

3,768,079

Media - 0.1%

Clear Channel Capital I LLC Tranche B, term loan 3.9034% 1/29/16 (o)

2,045,000

1,615,550

Floating Rate Loans - continued

 

Principal Amount (d)

Value

CONSUMER DISCRETIONARY - continued

Media - continued

Newsday LLC term loan 10.5% 8/1/13

$ 3,505,000

$ 3,715,300

Univision Communications, Inc. term loan 4.5063% 3/31/17 (o)

3,393,411

3,160,114

 

8,490,964

TOTAL CONSUMER DISCRETIONARY

18,474,127

FINANCIALS - 0.0%

Diversified Financial Services - 0.0%

AWAS Aviation Acquisitions Ltd. term loan 7.75% 6/10/16 (o)

3,865,000

3,956,794

INDUSTRIALS - 0.1%

Airlines - 0.1%

Delta Air Lines, Inc. Tranche 2LN, term loan 3.5391% 4/30/14 (o)

4,161,064

3,984,219

US Airways Group, Inc. term loan 2.7884% 3/23/14 (o)

1,055,000

941,588

 

4,925,807

Machinery - 0.0%

Dresser, Inc. Tranche 2LN, term loan 6.0344% 5/4/15 pay-in-kind (o)

2,335,000

2,323,325

TOTAL INDUSTRIALS

7,249,132

INFORMATION TECHNOLOGY - 0.0%

Communications Equipment - 0.0%

Avaya, Inc. term loan 3.0344% 10/24/14 (o)

2,073,858

1,882,026

MATERIALS - 0.0%

Containers & Packaging - 0.0%

Anchor Glass Container Corp. Tranche 2LN, term loan 10% 9/2/16 (o)

2,065,000

2,054,675

TELECOMMUNICATION SERVICES - 0.0%

Wireless Telecommunication Services - 0.0%

Asurion Corp. Tranche 2LN, term loan 6.7534% 7/3/15 (o)

3,685,000

3,445,475

Intelsat Jackson Holdings Ltd. term loan 3.29% 2/1/14 (o)

2,425,000

2,297,688

 

5,743,163

Floating Rate Loans - continued

 

Principal Amount (d)

Value

UTILITIES - 0.1%

Multi-Utilities - 0.1%

Ashmore Energy International:

Revolving Credit-Linked Deposit 3.2894% 3/30/12 (o)

$ 789,624

$ 775,806

term loan 3.2894% 3/30/14 (o)

5,135,066

5,045,202

 

5,821,008

TOTAL FLOATING RATE LOANS

(Cost $41,565,465)

45,180,925

Sovereign Loan Participations - 0.0%

 

Indonesian Republic:

loan participation - Citibank 1.25% 12/14/19 (o)

1,781,006

1,656,336

1.25% 12/14/19 (o)(j)

124,000

115,320

TOTAL SOVEREIGN LOAN PARTICIPATIONS

(Cost $1,451,698)

1,771,656

Bank Notes - 0.0%

 

National City Bank, Cleveland 0.3969% 3/1/13 (o)
(Cost $859,728)

978,000

969,307

Fixed-Income Funds - 15.9%

Shares

 

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

1,615,765

176,183,010

Fidelity Floating Rate Central Fund (p)

3,905,566

384,542,073

Fidelity Mortgage Backed Securities Central Fund (p)

14,139,281

1,494,663,413

TOTAL FIXED-INCOME FUNDS

(Cost $1,898,023,222)

2,055,388,496

Preferred Securities - 0.1%

Principal Amount (d)

 

CONSUMER DISCRETIONARY - 0.0%

Media - 0.0%

Net Servicos de Comunicacao SA 9.25% (h)

3,658,000

3,693,680

Preferred Securities - continued

Principal Amount (d)

Value

FINANCIALS - 0.1%

Diversified Financial Services - 0.1%

ING Groep NV 5.775% (o)

1,052,000

$ 912,729

MUFG Capital Finance 1 Ltd. 6.346% (o)

3,261,000

3,333,378

 

4,246,107

TOTAL PREFERRED SECURITIES

(Cost $6,036,074)

7,939,787

Cash Equivalents - 10.5%

Maturity Amount

 

Investments in repurchase agreements in a joint trading account at:

0.24%, dated 11/30/10 due 12/1/10 (Collateralized by U.S. Government Obligations) #

$ 3,539,024

3,539,000

0.25%, dated 11/30/10 due 12/1/10:

(Collateralized by U.S. Government Obligations) #

1,148,267,072

1,148,259,000

(Collateralized by U.S. Government Obligations) # (b)

200,501,392

200,500,000

TOTAL CASH EQUIVALENTS

(Cost $1,352,298,000)

1,352,298,000

TOTAL INVESTMENT PORTFOLIO - 104.7%

(Cost $12,749,067,917)

13,503,858,051

NET OTHER ASSETS (LIABILITIES) - (4.7)%

(601,728,094)

NET ASSETS - 100%

12,902,129,957

Swap Agreements

 

Expiration Date

Notional Amount

Value

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 Made/(Received) $480,000) (n)

Sept. 2037

$ 2,880,126

$ (2,693,518)

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 Made/(Received) $1,058,000) (n)

Sept. 2037

3,312,145

(3,097,545)

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 Made/(Received) $651,000) (n)

Sept. 2037

2,016,088

(1,885,462)

Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to UBS upon each credit event of one of the issues of ABX AA 07-1 Index, par value of the proportional notional amount (Rating-C) (Upfront Payment Made/(Received) $936,000) (n)

Sept. 2037

5,184,226

(4,848,332)

Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to UBS upon each credit event of one of the issues of ABX AA 07-1 Index, par value of the proportional notional amount (Rating-C) (Upfront Payment Made/(Received) $347,750) (n)

Sept. 2037

1,872,082

(1,750,786)

Receive monthly notional amount multiplied by .82% and pay UBS upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC6 Class M3, 5.6413% 7/25/34 (m)

August 2034

26,248

(14,577)

Swap Agreements - continued

 

Expiration Date

Notional
Amount

Value

Credit Default Swaps - continued

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) (m)

Feb. 2034

$ 787

$ (742)

Receive monthly notional amount multiplied by 3.35% and pay Morgan Stanley, Inc. upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-HE7, Class B3, 9.01% 8/25/34 (Rating-C) (m)

Sept. 2034

26,020

(19,671)

TOTAL CREDIT DEFAULT SWAPS

 

$ 15,317,722

$ (14,310,633)

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

 

$ 200,000,000

$ 3,044,180

 

$ 215,317,722

$ (11,266,453)

Currency Abbreviations

CAD

-

Canadian dollar

Legend

(a) Non-income producing

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

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

(d) Principal amount is stated in United States dollars unless otherwise noted.

(e) Security initially issued in zero coupon form which converts to coupon form at a specified rate and date. The rate shown is the rate at period end.

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

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

(h) 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 $1,044,575,917 or 8.1% of net assets.

(i) 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 $32,835,488 or 0.3% of net assets.

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

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

(l) Security or a portion of the security has been segregated as collateral for open swap agreements. At the period end, the value of securities pledged amounted to $14,165,509.

(m) 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.

(n) Represents a credit default swap based on a tradable index of home equity asset-backed debt securities. The value of each credit default swap and the credit rating can be measures of the current payment/ performance risk. In addition, the swap representsa 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.

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

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

(q) 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.

(r) Restricted securities - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $13,475 or 0.0% of net assets.

Additional information on each holding is as follows:

Security

Acquisition Date

Acquisition Cost

GMAC Commercial Mortgage Securities, Inc. Series 1999-C2I Class K, 6.481% 9/15/33

3/23/07 - 12/4/09

$ 173,625

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

Repurchase Agreement / Counterparty

Value

$3,539,000 due 12/01/10 at 0.24%

BNP Paribas Securities Corp.

$ 1,669,244

Barclays Capital, Inc.

1,231,398

Merrill Lynch, Pierce, Fenner & Smith, Inc.

638,358

 

$ 3,539,000

$1,148,259,000 due 12/01/10 at 0.25%

BNP Paribas Securities Corp.

$ 100,250,123

Barclays Capital, Inc.

199,805,783

J.P. Morgan Securities, Inc.

61,325,006

Merrill Lynch Government Securities, Inc.

110,661,665

Merrill Lynch, Pierce, Fenner & Smith, Inc.

122,908,099

Mizuho Securities USA, Inc.

553,308,324

 

$ 1,148,259,000

$200,500,000 due 12/01/10 at 0.25%

J.P. Morgan Securities, Inc.

200,500,000

 

$ 200,500,000

Affiliated Central Funds

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

Fund

Income earned

Fidelity Corporate Bond 1-10 Year Central Fund

$ 2,071,734

Fidelity Floating Rate Central Fund

4,300,370

Fidelity Mortgage Backed Securities Central Fund

12,871,492

Total

$ 19,243,596

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

Fund

Value, beginning of period

Purchases

Sales Proceeds

Value, end of period

% ownership, end of period

Fidelity Corporate Bond 1-10 Year Central Fund

$ 176,393,059

$ -

$ -

$ 176,183,010

8.7%

Fidelity Floating Rate Central Fund

392,753,749

4,300,370

25,008,160

384,542,073

13.5%

Fidelity Mortgage Backed Securities Central Fund

1,486,994,027

12,871,492

-

1,494,663,413

21.2%

Total

$ 2,056,140,835

$ 17,171,862

$ 25,008,160

$ 2,055,388,496

Other Information

The following is a summary of the inputs used, as of November 30, 2010, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs and their aggregation into the levels used in the tables below, please refer to the Investment Valuation section at the end of this listing.

Valuation Inputs at Reporting Date:

Description

Total

Level 1

Level 2

Level 3

Investments in Securities:

Equities:

Consumer Discretionary

$ 3,143,400

$ 3,143,400

$ -

$ -

Financials

2,684,928

-

2,684,913

15

Utilities

1,355,263

-

1,355,263

-

Corporate Bonds

3,055,998,518

-

3,055,658,748

339,770

U.S. Government and Government Agency Obligations

4,142,805,567

-

4,142,805,567

-

U.S. Government Agency - Mortgage Securities

1,214,783,402

-

1,214,783,402

-

Asset-Backed Securities

318,126,605

-

300,111,163

18,015,442

Collateralized Mortgage Obligations

233,074,080

-

231,311,970

1,762,110

Commercial Mortgage Securities

820,350,367

-

777,991,742

42,358,625

Municipal Securities

26,552,403

-

26,552,403

-

Foreign Government and Government Agency Obligations

219,989,682

-

219,401,725

587,957

Supranational Obligations

1,445,665

-

1,445,665

-

Floating Rate Loans

45,180,925

-

44,183,425

997,500

Sovereign Loan Participations

1,771,656

-

1,771,656

-

Bank Notes

969,307

-

969,307

-

Fixed-Income Funds

2,055,388,496

2,055,388,496

-

-

Preferred Securities

7,939,787

-

7,939,787

-

Cash Equivalents

1,352,298,000

-

1,352,298,000

-

Total Investments in Securities:

$ 13,503,858,051

$ 2,058,531,896

$ 11,381,264,736

$ 64,061,419

Derivative Instruments:

Assets

Swap Agreements

$ 3,044,180

$ -

$ 3,044,180

$ -

Liabilities

Swap Agreements

$ (14,310,633)

$ -

$ (14,290,220)

$ (20,413)

Total Derivative Instruments:

$ (11,266,453)

$ -

$ (11,246,040)

$ (20,413)

Other Financial Instruments:

Forward Commitments

$ 776,870

$ -

$ 776,870

$ -

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

Investments in Securities:

Beginning Balance

$ 101,440,167

Total Realized Gain (Loss)

41,463

Total Unrealized Gain (Loss)

3,355,247

Cost of Purchases

3,294,323

Proceeds of Sales

(2,024,182)

Amortization/Accretion

362,031

Transfers in to Level 3

12,299,066

Transfers out of Level 3

(54,706,696)

Ending Balance

$ 64,061,419

The change in unrealized gain (loss) for the period attributable to Level 3 securities held at November 30, 2010

$ 2,884,148

Derivative Instruments:

Swap Agreements

Beginning Balance

$ (38,198)

Total Unrealized Gain (Loss)

1,606

Transfers in to Level 3

-

Transfers out of Level 3

16,179

Ending Balance

$ (20,413)

Realized gain (loss) on Swap Agreements for the period

$ 403

The change in unrealized gain (loss) for the period attributable to Level 3 Swap Agreements held at November 30, 2010

$ 1,606

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

Income Tax Information

At November 30, 2010, the cost of investment securities for income tax purposes was $12,945,080,893. Net unrealized appreciation aggregated $558,777,158, of which $651,156,253 related to appreciated investment securities and $92,379,095 related to depreciated investment securities.

Investment Valuation

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

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

For asset backed securities, collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities, pricing services utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices and, accordingly, such securities are generally categorized as Level 2 in the hierarchy. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates fair value and are categorized as Level 2 in the hierarchy. Swaps are marked-to-market daily based on valuations from independent pricing services or dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Pricing services utilize matrix pricing which considers comparisons to interest rate curves, credit spread curves, default possibilities and recovery rates and, as a result, swaps are generally categorized as Level 2 in the hierarchy. When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing matrices which consider similar factors that would be used by independent pricing services. These are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

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 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.

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

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

Credit Default Swap Agreements

The Fund entered into credit default swaps, which are agreements with a counterparty that enable the Fund to buy or sell protection on a debt security or a basket of securities against a defined credit event. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller acts as a guarantor of the creditworthiness of a reference obligation. The Fund 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 swaps in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. Counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. The Fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association (ISDA) Master Agreement on a bilateral basis with each of its counterparties. The ISDA Master Agreement gives 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 $15,317,722 representing 0.12% of net assets.

Credit Risk

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

.

Quarterly Report

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

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

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

or an affiliate.

Quarterly Report

Item 2. Controls and Procedures

(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the Fidelity Income Fund'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 Income Fund

By:

/s/John R. Hebble

 

John R. Hebble

 

President and Treasurer

 

 

Date:

January 31, 2011

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

By:

/s/John R. Hebble

 

John R. Hebble

 

President and Treasurer

 

 

Date:

January 31, 2011

By:

/s/Christine Reynolds

 

Christine Reynolds

 

Chief Financial Officer

 

 

Date:

January 31, 2011