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, 2011

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, 2011 

1.809539.107

ATB-QTLY-0112

Investments November 30, 2011 (Unaudited)

Showing Percentage of Net Assets

Corporate Bonds - 24.5%

 

Principal Amount (c)

Value

Convertible Bonds - 0.0%

FINANCIALS - 0.0%

Real Estate Investment Trusts - 0.0%

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

$ 270,000

$ 268,313

Nonconvertible Bonds - 24.5%

CONSUMER DISCRETIONARY - 2.6%

Auto Components - 0.1%

American Axle & Manufacturing, Inc. 7.75% 11/15/19

2,845,000

2,731,200

Dana Holding Corp.:

6.5% 2/15/19

2,755,000

2,672,350

6.75% 2/15/21

3,675,000

3,564,750

Delphi Corp.:

5.875% 5/15/19 (e)

1,685,000

1,685,000

6.125% 5/15/21 (e)

1,615,000

1,615,000

Tenneco, Inc.:

6.875% 12/15/20

1,505,000

1,505,000

7.75% 8/15/18

1,400,000

1,435,000

 

15,208,300

Automobiles - 0.1%

Automotores Gildemeister SA 8.25% 5/24/21 (e)

575,000

586,500

Chrysler Group LLC/CG Co-Issuer, Inc.:

8% 6/15/19 (e)

3,090,000

2,634,225

8.25% 6/15/21 (e)

4,610,000

3,918,500

Ford Motor Co. 7.45% 7/16/31

5,655,000

6,630,488

 

13,769,713

Distributors - 0.0%

AmeriGas Partners LP/AmeriGas Finance Corp.:

6.25% 8/20/19

1,255,000

1,217,350

6.5% 5/20/21

790,000

766,300

Ferrellgas LP/Ferrellgas Finance Corp. 6.5% 5/1/21

1,840,000

1,596,200

 

3,579,850

Diversified Consumer Services - 0.0%

Visant Corp. 10% 10/1/17

1,320,000

1,191,300

Hotels, Restaurants & Leisure - 0.4%

Ameristar Casinos, Inc. 7.5% 4/15/21

2,570,000

2,570,000

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

325,000

183,625

CityCenter Holdings LLC/CityCenter Finance Corp.:

7.625% 1/15/16 (e)

3,590,000

3,616,925

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Hotels, Restaurants & Leisure - continued

CityCenter Holdings LLC/CityCenter Finance Corp.: - continued

11.5% 1/15/17 pay-in-kind (e)(k)

$ 1,902,794

$ 1,796,845

FelCor Lodging LP 6.75% 6/1/19

4,675,000

4,347,750

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

1,635,000

1,737,188

Host Marriott LP 6.375% 3/15/15

250,000

254,375

ITT Corp. 7.375% 11/15/15

250,000

277,188

MGM Mirage, Inc.:

6.625% 7/15/15

7,475,000

7,026,500

7.5% 6/1/16

4,130,000

3,913,175

7.625% 1/15/17

5,355,000

5,033,700

11.375% 3/1/18

2,460,000

2,669,100

MTR Gaming Group, Inc. 11.5% 8/1/19 pay-in-kind (e)(k)

1,595,000

1,339,800

NCL Corp. Ltd. 9.5% 11/15/18

1,125,000

1,186,875

Royal Caribbean Cruises Ltd.:

7.25% 3/15/18

465,000

489,971

yankee:

7.25% 6/15/16

3,985,000

4,303,800

7.5% 10/15/27

3,070,000

3,008,600

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

871,284

922,120

Universal City Development Partners Ltd./UCDP Finance, Inc. 8.875% 11/15/15

784,000

871,220

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

970,000

1,045,175

 

46,593,932

Household Durables - 0.1%

KB Home 7.25% 6/15/18

1,430,000

1,201,200

Lennar Corp.:

6.95% 6/1/18

4,640,000

4,500,800

12.25% 6/1/17

1,135,000

1,339,300

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

2,125,000

2,273,750

Standard Pacific Corp.:

8.375% 5/15/18

6,495,000

6,040,350

10.75% 9/15/16

2,370,000

2,417,400

 

17,772,800

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Media - 1.7%

Allbritton Communications Co. 8% 5/15/18

$ 2,630,000

$ 2,498,500

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

500,000

613,744

Cablevision Systems Corp.:

7.75% 4/15/18

2,305,000

2,328,050

8.625% 9/15/17

3,505,000

3,653,963

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

2,835,000

2,810,194

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

10,180,000

10,383,600

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

800,000

392,000

Comcast Corp.:

4.95% 6/15/16

2,344,000

2,581,419

5.15% 3/1/20

435,000

483,332

5.7% 5/15/18

14,629,000

16,597,449

6.4% 3/1/40

4,490,000

5,162,934

6.45% 3/15/37

2,196,000

2,490,929

6.55% 7/1/39

9,000,000

10,413,549

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

4,467,000

4,675,283

CSC Holdings LLC:

6.75% 11/15/21 (e)

2,260,000

2,254,350

8.625% 2/15/19

1,350,000

1,505,250

Discovery Communications LLC:

3.7% 6/1/15

7,129,000

7,457,854

6.35% 6/1/40

6,392,000

7,380,242

Houghton Mifflin Harcourt Publishing Co. 10.5% 6/1/19 (e)

690,000

448,500

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

2,030,000

2,293,900

Kabel BW Erste Beteiligungs GmbH/Kabel Baden-Wurttemberg GmbH & Co. KG 7.5% 3/15/19 (e)

660,000

663,300

NBCUniversal Media LLC:

3.65% 4/30/15

3,514,000

3,684,127

5.15% 4/30/20

11,614,000

12,558,752

6.4% 4/30/40

18,278,000

20,936,882

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

663,000

766,510

News America, Inc.:

6.15% 3/1/37

4,759,000

4,982,364

6.15% 2/15/41

13,539,000

14,494,136

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Media - continued

Nielsen Finance LLC/Nielsen Finance Co. 7.75% 10/15/18

$ 2,770,000

$ 2,908,500

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

2,915,000

2,332,000

Quebecor Media, Inc.:

7.75% 3/15/16

4,032,000

4,102,560

7.75% 3/15/16

2,485,000

2,528,488

Time Warner Cable, Inc.:

5.4% 7/2/12

3,048,000

3,122,746

5.85% 5/1/17

7,607,000

8,565,535

6.2% 7/1/13

2,898,000

3,117,871

6.75% 7/1/18

13,763,000

15,991,299

Time Warner, Inc.:

3.15% 7/15/15

3,115,000

3,221,969

5.375% 10/15/41

3,115,000

3,115,716

5.875% 11/15/16

368,000

422,727

6.2% 3/15/40

11,792,000

12,854,896

6.5% 11/15/36

9,243,000

10,376,340

TV Azteca SA de CV 7.5% 5/25/18 (Reg. S)

850,000

845,750

Univision Communications, Inc.:

6.875% 5/15/19 (e)

1,300,000

1,205,750

8.5% 5/15/21 (e)

4,695,000

3,920,325

UPCB Finance V Ltd. 7.25% 11/15/21 (e)

995,000

985,050

Viacom, Inc.:

3.5% 4/1/17

7,993,000

8,181,675

6.75% 10/5/37

1,460,000

1,700,342

 

234,010,652

Multiline Retail - 0.0%

Sears Holdings Corp. 6.625% 10/15/18

1,500,000

1,158,750

Specialty Retail - 0.2%

AutoNation, Inc. 6.75% 4/15/18

1,105,000

1,140,913

Burlington Coat Factory Warehouse Corp. 10% 2/15/19 (e)

2,414,000

2,323,475

J. Crew Group, Inc. 8.125% 3/1/19

4,694,000

4,312,613

Lowe's Companies, Inc. 3.8% 11/15/21

7,730,000

7,717,276

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

5,260,000

5,588,750

Sally Holdings LLC 6.875% 11/15/19 (e)

725,000

733,193

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Specialty Retail - continued

Staples, Inc. 7.375% 10/1/12

$ 554,000

$ 580,040

Toys 'R' Us, Inc. 7.375% 9/1/16 (e)

3,175,000

3,095,625

 

25,491,885

Textiles, Apparel & Luxury Goods - 0.0%

Hanesbrands, Inc. 6.375% 12/15/20

2,500,000

2,437,500

TOTAL CONSUMER DISCRETIONARY

361,214,682

CONSUMER STAPLES - 1.2%

Beverages - 0.3%

Anheuser-Busch InBev Worldwide, Inc.:

2.5% 3/26/13

8,433,000

8,601,609

5.375% 11/15/14

1,207,000

1,344,691

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

225,000

231,750

Diageo Capital PLC 5.2% 1/30/13

1,037,000

1,088,773

FBG Finance Ltd. 5.125% 6/15/15 (e)

3,662,000

3,991,108

Fortune Brands, Inc.:

5.375% 1/15/16

321,000

348,767

5.875% 1/15/36

16,159,000

16,120,622

6.375% 6/15/14

3,374,000

3,692,651

 

35,419,971

Food & Staples Retailing - 0.1%

Albertsons, Inc.:

7.45% 8/1/29

155,000

118,963

8% 5/1/31

765,000

613,913

BFF International Ltd. 7.25% 1/28/20 (e)

800,000

880,000

Rite Aid Corp.:

8.625% 3/1/15

380,000

353,400

9.375% 12/15/15

955,000

861,888

9.5% 6/15/17

3,945,000

3,392,700

SUPERVALU, Inc. 8% 5/1/16

865,000

865,000

US Foodservice, Inc. 8.5% 6/30/19 (e)

3,625,000

3,461,875

 

10,547,739

Food Products - 0.4%

Cargill, Inc. 6% 11/27/17 (e)

9,457,000

11,097,250

Gruma SAB de CV 7.75% (Reg. S) (f)

1,185,000

1,173,150

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

CONSUMER STAPLES - continued

Food Products - continued

Kraft Foods, Inc.:

5.375% 2/10/20

$ 10,631,000

$ 11,798,231

6.125% 2/1/18

10,623,000

12,262,671

6.5% 8/11/17

10,238,000

12,000,093

6.75% 2/19/14

540,000

603,418

MHP SA 10.25% 4/29/15 (e)

985,000

876,650

 

49,811,463

Personal Products - 0.0%

NBTY, Inc. 9% 10/1/18

2,065,000

2,188,900

Tobacco - 0.4%

Altria Group, Inc.:

8.5% 11/10/13

326,000

369,875

9.7% 11/10/18

23,631,000

30,925,913

Philip Morris International, Inc.:

4.875% 5/16/13

9,347,000

9,892,809

5.65% 5/16/18

7,161,000

8,320,445

Reynolds American, Inc.:

6.75% 6/15/17

3,719,000

4,218,506

7.25% 6/15/37

5,056,000

5,631,985

 

59,359,533

TOTAL CONSUMER STAPLES

157,327,606

ENERGY - 3.9%

Energy Equipment & Services - 0.7%

Calfrac Holdings LP 7.5% 12/1/20 (e)

3,570,000

3,462,900

Chesapeake Oilfield Operating LLC 6.625% 11/15/19 (e)

1,260,000

1,260,000

DCP Midstream LLC:

4.75% 9/30/21 (e)

11,333,000

11,709,573

5.35% 3/15/20 (e)

8,816,000

9,435,386

El Paso Pipeline Partners Operating Co. LLC:

4.1% 11/15/15

10,806,000

11,056,364

5% 10/1/21

7,366,000

7,320,161

6.5% 4/1/20

738,000

810,965

Expro Finance Luxembourg SCA 8.5% 12/15/16 (e)

3,800,000

3,268,000

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

6,485,000

6,225,600

Forbes Energy Services Ltd. 9% 6/15/19

1,590,000

1,478,700

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

ENERGY - continued

Energy Equipment & Services - continued

Hornbeck Offshore Services, Inc. 8% 9/1/17

$ 1,605,000

$ 1,637,100

Noble Holding International Ltd. 3.45% 8/1/15

632,000

661,495

Oil States International, Inc. 6.5% 6/1/19

2,850,000

2,828,625

Petroleum Geo-Services ASA 7.375% 12/15/18 (e)

2,245,000

2,233,775

Precision Drilling Corp.:

6.5% 12/15/21 (e)

170,000

170,000

6.625% 11/15/20

1,890,000

1,908,900

SESI LLC 7.125% 12/15/21 (e)(g)

2,980,000

3,054,500

Transocean, Inc.:

5.05% 12/15/16

7,572,000

7,564,882

6.375% 12/15/21

9,999,000

9,993,601

7.35% 12/15/41

1,890,000

1,889,924

Weatherford International Ltd.:

4.95% 10/15/13

2,173,000

2,286,331

5.15% 3/15/13

2,840,000

2,959,098

 

93,215,880

Oil, Gas & Consumable Fuels - 3.2%

Afren PLC 11.5% 2/1/16 (e)

520,000

504,400

Anadarko Petroleum Corp.:

5.95% 9/15/16

485,000

542,126

6.375% 9/15/17

19,790,000

22,668,159

Antero Resources Finance Corp.:

7.25% 8/1/19 (e)

1,580,000

1,572,100

9.375% 12/1/17

2,915,000

3,089,900

BW Group Ltd. 6.625% 6/28/17 (e)

1,748,000

1,586,747

Canadian Natural Resources Ltd.:

5.15% 2/1/13

5,610,000

5,871,555

5.7% 5/15/17

16,295,000

18,946,180

Chesapeake Energy Corp.:

6.125% 2/15/21

3,040,000

3,040,000

6.875% 11/15/20

2,635,000

2,766,750

Chesapeake Midstream Partners LP/CHKM Finance Corp. 5.875% 4/15/21 (e)

676,000

655,720

Clayton Williams Energy, Inc. 7.75% 4/1/19 (e)

545,000

501,400

ConocoPhillips:

4.6% 1/15/15

10,000,000

11,062,290

5.75% 2/1/19

2,930,000

3,470,143

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

CONSOL Energy, Inc.:

8% 4/1/17

$ 3,515,000

$ 3,761,050

8.25% 4/1/20

650,000

702,000

Crestwood Midstream Partners LP / Finance Corp. 7.75% 4/1/19 (e)

800,000

784,000

Denbury Resources, Inc. 6.375% 8/15/21

1,935,000

1,944,675

DTEK Finance BV 9.5% 4/28/15 (e)

800,000

768,000

Duke Capital LLC 6.25% 2/15/13

1,000,000

1,051,611

Duke Energy Field Services:

5.375% 10/15/15 (e)

1,524,000

1,656,949

6.45% 11/3/36 (e)

1,801,000

2,046,646

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

1,166,000

1,312,611

Enbridge Energy Partners LP 4.2% 9/15/21

13,331,000

13,565,959

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

3,602,000

3,913,317

Energy Transfer Equity LP 7.5% 10/15/20

2,155,000

2,230,425

Enterprise Products Operating LP:

5.6% 10/15/14

483,000

530,454

5.65% 4/1/13

697,000

732,094

EQT Corp. 4.875% 11/15/21

5,066,000

5,012,675

EV Energy Partners LP/EV Energy Finance Corp. 8% 4/15/19

1,650,000

1,633,500

Frontier Oil Corp.:

6.875% 11/15/18

485,000

485,000

8.5% 9/15/16

1,950,000

2,042,625

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

4,818,000

4,940,184

Gulfstream Natural Gas System LLC 6.95% 6/1/16 (e)

221,000

256,741

KazMunaiGaz Finance Sub BV:

6.375% 4/9/21 (e)

850,000

884,000

7% 5/5/20 (e)

1,635,000

1,765,800

8.375% 7/2/13 (e)

1,420,000

1,501,650

9.125% 7/2/18 (e)

1,855,000

2,216,725

11.75% 1/23/15 (e)

1,860,000

2,227,350

LINN Energy LLC/LINN Energy Finance Corp.:

6.5% 5/15/19 (e)

3,790,000

3,543,650

7.75% 2/1/21

1,950,000

1,950,000

8.625% 4/15/20

2,685,000

2,805,825

Marathon Petroleum Corp. 5.125% 3/1/21

6,178,000

6,289,019

Markwest Energy Partners LP/Markwest Energy Finance Corp. 6.25% 6/15/22

2,120,000

2,146,500

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Midcontinent Express Pipeline LLC 5.45% 9/15/14 (e)

$ 10,834,000

$ 11,626,897

Motiva Enterprises LLC:

5.75% 1/15/20 (e)

4,187,000

4,805,663

6.85% 1/15/40 (e)

5,937,000

7,486,563

Nakilat, Inc. 6.067% 12/31/33 (e)

1,975,000

2,142,875

Nexen, Inc.:

5.2% 3/10/15

1,133,000

1,217,351

5.875% 3/10/35

240,000

231,204

6.2% 7/30/19

603,000

686,268

6.4% 5/15/37

4,379,000

4,471,502

NGPL PipeCo LLC 6.514% 12/15/12 (e)

10,209,000

10,311,090

OGX Petroleo e Gas Participacoes SA 8.5% 6/1/18 (e)

955,000

909,638

Overseas Shipholding Group, Inc.:

7.5% 2/15/24

500,000

292,500

8.125% 3/30/18

2,530,000

1,796,300

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

1,093,000

1,213,230

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

4,370,000

4,370,000

Peabody Energy Corp. 6% 11/15/18 (e)

1,495,000

1,483,788

Pemex Project Funding Master Trust:

5.75% 3/1/18

645,000

703,050

6.625% 6/15/35

945,000

1,034,775

Petro-Canada:

6.05% 5/15/18

3,850,000

4,513,671

6.8% 5/15/38

8,950,000

10,698,642

Petrobras International Finance Co. Ltd.:

3.875% 1/27/16

10,192,000

10,339,488

5.75% 1/20/20

18,708,000

19,419,203

6.875% 1/20/40

470,000

519,350

7.875% 3/15/19

10,517,000

12,299,547

8.375% 12/10/18

495,000

591,195

Petrohawk Energy Corp.:

6.25% 6/1/19

1,290,000

1,406,100

7.25% 8/15/18

1,330,000

1,489,600

Petroleos de Venezuela SA:

4.9% 10/28/14

4,265,000

3,305,375

5% 10/28/15

380,000

266,000

5.375% 4/12/27

5,085,000

2,453,513

5.5% 4/12/37

2,670,000

1,248,225

8% 11/17/13

975,000

921,375

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Petroleos de Venezuela SA: - continued

8.5% 11/2/17 (e)

$ 6,055,000

$ 4,526,113

12.75% 2/17/22 (e)

3,580,000

2,917,700

Petroleos Mexicanos:

5.5% 1/21/21

12,069,000

12,823,313

6% 3/5/20

1,108,000

1,221,570

6.5% 6/2/41

350,000

378,000

6.5% 6/2/41 (e)

15,185,000

16,361,838

6.625% (e)(f)

2,565,000

2,571,413

8% 5/3/19

420,000

517,650

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

608,125

589,881

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

4,605,000

5,111,550

Plains All American Pipeline LP/PAA Finance Corp.:

3.95% 9/15/15

5,869,000

6,192,024

4.25% 9/1/12

485,000

495,891

5% 2/1/21

5,217,000

5,531,236

6.125% 1/15/17

6,185,000

6,949,008

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

500,000

530,000

PT Pertamina Persero:

5.25% 5/23/21 (e)

815,000

810,925

6.5% 5/27/41 (e)

595,000

595,000

Quicksilver Resources, Inc.:

7.125% 4/1/16

4,415,000

4,271,513

11.75% 1/1/16

2,255,000

2,536,875

Ras Laffan Liquefied Natural Gas Co. Ltd. III:

4.5% 9/30/12 (e)

4,773,000

4,862,494

5.5% 9/30/14 (e)

6,670,000

7,170,250

5.832% 9/30/16 (e)

1,299,465

1,390,428

6.332% 9/30/27 (e)

1,840,000

1,958,367

6.75% 9/30/19 (e)

4,366,000

5,217,370

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

3,392,000

3,589,482

Schlumberger Investment SA 3.3% 9/14/21 (e)

7,355,000

7,422,247

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

2,065,000

1,858,500

Southeast Supply Header LLC 4.85% 8/15/14 (e)

367,000

391,442

Spectra Energy Capital, LLC 5.65% 3/1/20

308,000

337,015

Spectra Energy Partners, LP:

2.95% 6/15/16

4,717,000

4,793,939

4.6% 6/15/21

2,694,000

2,760,838

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

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

$ 11,154,000

$ 13,050,024

Targa Resources Partners LP/Targa Resources Partners Finance Corp.:

6.875% 2/1/21 (e)

685,000

685,000

7.875% 10/15/18

2,205,000

2,249,100

Teekay Corp. 8.5% 1/15/20

675,000

642,938

Venoco, Inc. 8.875% 2/15/19

1,745,000

1,587,950

Western Gas Partners LP 5.375% 6/1/21

14,766,000

14,825,802

Williams Partners LP 4.125% 11/15/20

2,399,000

2,415,925

WPX Energy, Inc.:

5.25% 1/15/17 (e)

975,000

957,938

6% 1/15/22 (e)

1,535,000

1,523,488

XTO Energy, Inc.:

4.9% 2/1/14

267,000

290,550

5% 1/31/15

1,749,000

1,971,041

5.65% 4/1/16

1,200,000

1,423,354

YPF SA 10% 11/2/28

445,000

487,275

 

434,026,740

TOTAL ENERGY

527,242,620

FINANCIALS - 9.3%

Capital Markets - 1.3%

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

1,685,000

1,796,842

BlackRock, Inc. 4.25% 5/24/21

5,000,000

5,105,585

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

2,020,000

2,040,200

Goldman Sachs Group, Inc.:

3.7% 8/1/15

10,365,000

9,997,820

5.25% 7/27/21

27,721,000

25,582,020

5.625% 1/15/17

3,200,000

3,104,438

5.95% 1/18/18

4,975,000

4,941,956

6.75% 10/1/37

9,643,000

8,578,827

JPMorgan Chase Capital XX 6.55% 9/29/36

17,904,000

17,837,612

JPMorgan Chase Capital XXV 6.8% 10/1/37

7,405,000

7,375,491

Lazard Group LLC:

6.85% 6/15/17

4,817,000

5,049,473

7.125% 5/15/15

1,717,000

1,844,644

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

FINANCIALS - continued

Capital Markets - continued

Merrill Lynch & Co., Inc.:

5.45% 2/5/13

$ 13,533,000

$ 13,494,472

6.11% 1/29/37

4,768,000

3,695,381

6.4% 8/28/17

7,843,000

7,510,441

Morgan Stanley:

4.75% 4/1/14

5,820,000

5,585,600

5.5% 7/28/21

26,091,000

22,745,168

5.625% 9/23/19

12,714,000

11,098,724

6% 4/28/15

1,414,000

1,375,258

6.625% 4/1/18

16,118,000

15,161,510

 

173,921,462

Commercial Banks - 1.6%

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

490,000

524,300

Akbank T.A.S. 5.125% 7/22/15 (e)

1,265,000

1,215,981

Banco Nacional de Desenvolvimento Economico e Social:

5.5% 7/12/20 (e)

520,000

555,750

6.5% 6/10/19 (e)

325,000

366,763

Bank of America NA:

5.3% 3/15/17

6,601,000

5,789,051

6.1% 6/15/17

382,000

338,878

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

2,330,000

2,324,175

BBVA Paraguay SA 9.75% 2/11/16 (e)

1,145,000

1,202,250

CIT Group, Inc.:

7% 5/1/15

117

116

7% 5/4/15 (e)

5,689,000

5,575,220

7% 5/1/16

861

850

7% 5/2/16 (e)

3,596,000

3,488,120

7% 5/2/17 (e)

6,459,000

6,265,230

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

16,785,000

16,252,916

Development Bank of Kazakhstan JSC 5.5% 12/20/15 (e)

895,000

917,375

Development Bank of Philippines 8.375% (f)(k)

1,655,000

1,779,125

Discover Bank:

7% 4/15/20

2,458,000

2,515,382

8.7% 11/18/19

12,480,000

13,933,708

Eastern and Southern African Trade and Development Bank 6.875% 1/9/16 (Reg. S)

870,000

783,000

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

FINANCIALS - continued

Commercial Banks - continued

Export-Import Bank of Korea:

5.25% 2/10/14 (e)

$ 565,000

$ 593,350

5.5% 10/17/12

2,813,000

2,885,843

Fifth Third Bancorp:

3.625% 1/25/16

5,953,000

5,966,216

4.5% 6/1/18

798,000

772,680

8.25% 3/1/38

4,667,000

5,598,617

Fifth Third Bank 4.75% 2/1/15

1,329,000

1,371,501

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

6,912,000

6,670,080

HBOS PLC 6.75% 5/21/18 (e)

6,067,000

4,842,085

HSBK (Europe) BV:

7.25% 5/3/17 (e)

1,435,000

1,417,063

9.25% 10/16/13 (e)

1,285,000

1,352,463

Huntington Bancshares, Inc. 7% 12/15/20

2,851,000

3,156,322

JPMorgan Chase Bank 6% 10/1/17

11,313,000

12,097,602

KeyBank NA:

5.45% 3/3/16

3,939,000

4,211,118

5.8% 7/1/14

9,490,000

10,131,657

6.95% 2/1/28

1,977,000

2,153,673

KeyCorp. 5.1% 3/24/21

5,572,000

5,641,589

Manufacturers & Traders Trust Co. 1.8721% 4/1/13 (k)

720,797

719,368

Marshall & Ilsley Bank:

4.85% 6/16/15

4,520,000

4,718,509

5% 1/17/17

13,700,000

14,375,492

5.25% 9/4/12

3,162,000

3,261,473

PrivatBank 5.799% 2/9/16 (Issued by Standard Bank PLC for PrivatBank) (k)

240,000

135,600

Regions Bank:

6.45% 6/26/37

10,658,000

8,739,560

7.5% 5/15/18

6,622,000

6,357,120

Regions Financial Corp.:

0.5281% 6/26/12 (k)

338,000

328,584

5.75% 6/15/15

2,005,000

1,917,281

7.75% 11/10/14

6,404,000

6,484,050

RSHB Capital SA 6% 6/3/21 (e)

555,000

491,175

SunTrust Banks, Inc. 3.6% 4/15/16

9,501,000

9,525,076

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

FINANCIALS - continued

Commercial Banks - continued

The State Export-Import Bank of Ukraine JSC 5.7928% 2/9/16 (Issued by Credit Suisse First Boston International for The State Export-Import Bank of Ukraine JSC) (d)

$ 1,335,000

$ 907,800

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

555,000

521,700

Turkiye Garanti Bankasi A/S 2.9092% 4/20/16 (e)(k)

945,000

850,500

Turkiye Is Bankasi A/S 5.1% 2/1/16 (e)

910,000

872,235

UniCredit Luxembourg Finance SA 5.584% 1/13/17 (e)(k)

2,162,000

1,919,493

UnionBanCal Corp. 5.25% 12/16/13

826,000

850,683

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

2,800,000

2,786,000

Wachovia Bank NA:

4.8% 11/1/14

372,000

394,152

4.875% 2/1/15

1,756,000

1,841,607

Wachovia Corp.:

5.625% 10/15/16

4,239,000

4,523,755

5.75% 6/15/17

2,933,000

3,306,617

Wells Fargo & Co.:

3.625% 4/15/15

5,893,000

6,156,500

3.676% 6/15/16

4,301,000

4,500,089

3.75% 10/1/14

4,016,000

4,246,872

 

223,421,340

Consumer Finance - 0.7%

Ally Financial, Inc. 3.6492% 2/11/14 (k)

2,895,000

2,605,500

Discover Financial Services:

6.45% 6/12/17

10,366,000

10,701,910

10.25% 7/15/19

11,672,000

13,811,209

Ford Motor Credit Co. LLC:

3.875% 1/15/15

5,780,000

5,665,492

5% 5/15/18

5,670,000

5,571,915

5.875% 8/2/21

3,490,000

3,565,764

12% 5/15/15

3,440,000

4,205,400

General Electric Capital Corp.:

2.25% 11/9/15

314,000

310,892

4.625% 1/7/21

5,706,000

5,661,927

5.625% 9/15/17

5,858,000

6,427,925

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

FINANCIALS - continued

Consumer Finance - continued

General Electric Capital Corp.: - continued

5.625% 5/1/18

$ 25,000,000

$ 27,304,175

6.375% 11/15/67 (k)

9,000,000

8,679,375

HSBC Finance Corp. 5.9% 6/19/12

578,000

590,307

 

95,101,791

Diversified Financial Services - 2.1%

Aquarius Investments Luxemburg 8.25% 2/18/16

1,025,000

1,025,000

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

27,955,000

25,482,995

Biz Finance PLC 8.375% 4/27/15 (Reg. S)

1,425,000

1,264,688

BP Capital Markets PLC:

3.125% 10/1/15

10,828,000

11,170,522

3.625% 5/8/14

711,000

746,043

4.5% 10/1/20

650,000

698,942

4.742% 3/11/21

8,800,000

9,709,480

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

2,655,000

2,820,938

Capital One Capital V 10.25% 8/15/39

5,267,000

5,464,513

CCO Holdings LLC/CCO Holdings Capital Corp.:

6.5% 4/30/21

3,975,000

3,830,906

7% 1/15/19

8,610,000

8,653,050

7.25% 10/30/17

3,380,000

3,456,050

7.375% 6/1/20 (g)

1,225,000

1,225,000

7.875% 4/30/18

865,000

896,356

CIT Group, Inc. 6.625% 4/1/18 (e)

1,215,000

1,227,150

Citigroup, Inc.:

3.953% 6/15/16

11,847,000

11,614,455

4.75% 5/19/15

32,881,000

33,040,374

5.5% 4/11/13

13,549,000

13,877,739

6.125% 5/15/18

8,677,000

9,034,371

6.5% 8/19/13

13,174,000

13,709,022

City of Buenos Aires 12.5% 4/6/15 (e)

3,155,000

3,186,550

Fibria Overseas Finance Ltd. 7.5% 5/4/20 (e)

550,000

541,750

General Motors Financial Co., Inc. 6.75% 6/1/18 (e)

1,500,000

1,511,250

Icahn Enterprises LP/Icahn Enterprises Finance Corp.:

7.75% 1/15/16

3,715,000

3,831,094

8% 1/15/18

4,960,000

5,059,200

ILFC E-Capital Trust II 6.25% 12/21/65 (e)(k)

1,250,000

821,875

Indo Energy Finance BV 7% 5/7/18 (e)

525,000

519,750

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

FINANCIALS - continued

Diversified Financial Services - continued

JPMorgan Chase & Co.:

3.15% 7/5/16

$ 13,000,000

$ 12,799,930

3.4% 6/24/15

642,000

652,190

4.35% 8/15/21

13,339,000

13,008,366

4.95% 3/25/20

17,148,000

17,640,816

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

9,415,000

9,320,850

Offshore Group Investment Ltd. 11.5% 8/1/15

3,475,000

3,770,375

Prime Property Funding, Inc.:

5.125% 6/1/15 (e)

2,806,000

2,842,506

5.5% 1/15/14 (e)

867,000

886,053

5.7% 4/15/17 (e)

2,115,000

2,137,569

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

915,000

915,000

Reynolds Group DL Escrow LLC 8.75% 10/15/16 (e)

3,000,000

3,097,500

Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA 9% 5/15/18 (e)

970,000

875,425

Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA:

7.875% 8/15/19 (e)

3,760,000

3,778,800

9.875% 8/15/19 (e)

1,670,000

1,523,875

Steel Capital SA Ln Partner Net Program 6.25% 7/26/16 (e)

1,145,000

1,067,713

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

364,436

317,059

T2 Capital Finance Co. SA 6.95% 2/6/17 (Reg. S) (d)

878,000

873,610

TECO Finance, Inc.:

4% 3/15/16

2,562,000

2,688,637

5.15% 3/15/20

3,761,000

4,138,134

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

4,317,000

4,489,680

Unitymedia Hessen GmbH & Co. KG / Unitymedia NRW GmbH 8.125% 12/1/17 (e)

370,000

382,950

UPCB Finance III Ltd. 6.625% 7/1/20 (e)

3,305,000

3,156,275

Vnesheconombank Via VEB Finance PLC 6.8% 11/22/25 (e)

605,000

603,488

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

5,768,176

4,210,648

WM Finance Corp. 11.5% 10/1/18 (e)

755,000

739,900

ZFS Finance USA Trust II 6.45% 12/15/65 (e)(k)

5,755,000

5,280,213

ZFS Finance USA Trust IV 5.875% 5/9/62 (e)(k)

1,673,000

1,622,810

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

FINANCIALS - continued

Diversified Financial Services - continued

ZFS Finance USA Trust V 6.5% 5/9/67 (e)(k)

$ 3,125,000

$ 2,781,250

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

1,885,000

1,866,150

 

281,886,835

Insurance - 1.5%

Allstate Corp.:

5.55% 5/9/35

7,505,000

7,680,504

6.2% 5/16/14

6,893,000

7,692,202

American International Group, Inc. 4.875% 9/15/16

12,796,000

11,969,263

Aon Corp.:

3.125% 5/27/16

11,274,000

11,301,576

3.5% 9/30/15

4,451,000

4,544,182

5% 9/30/20

3,854,000

4,108,325

6.25% 9/30/40

3,160,000

3,736,008

Assurant, Inc. 5.625% 2/15/14

2,384,000

2,481,470

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

558,000

585,314

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

1,859,000

1,784,640

Hartford Financial Services Group, Inc. 5.375% 3/15/17

194,000

191,177

Liberty Mutual Group, Inc.:

5% 6/1/21 (e)

11,772,000

11,149,579

6.5% 3/15/35 (e)

1,741,000

1,667,822

Marsh & McLennan Companies, Inc. 4.8% 7/15/21

7,090,000

7,483,906

MetLife, Inc.:

4.75% 2/8/21

4,032,000

4,202,304

5% 6/15/15

1,163,000

1,261,160

5.875% 2/6/41

3,113,000

3,308,213

6.125% 12/1/11

990,000

990,000

6.75% 6/1/16

7,610,000

8,640,638

Metropolitan Life Global Funding I:

5.125% 4/10/13 (e)

559,000

584,243

5.125% 6/10/14 (e)

6,751,000

7,247,469

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

2,746,000

2,900,215

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

3,590,000

4,397,057

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

5,682,000

6,438,132

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

12,118,000

12,689,970

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

5,674,000

7,399,741

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

FINANCIALS - continued

Insurance - continued

Pacific LifeCorp 6% 2/10/20 (e)

$ 6,323,000

$ 6,643,127

Prudential Financial, Inc.:

3.625% 9/17/12

11,000,000

11,160,930

4.5% 11/16/21

8,000,000

7,762,472

4.75% 9/17/15

11,000,000

11,548,031

5.15% 1/15/13

2,966,000

3,079,349

5.8% 11/16/41

8,000,000

7,689,344

7.375% 6/15/19

3,230,000

3,704,096

8.875% 6/15/38 (k)

1,915,000

2,144,800

QBE Insurance Group Ltd. 5.647% 7/1/23 (e)(k)

320,000

296,939

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

6,375,000

6,388,445

The Chubb Corp. 5.75% 5/15/18

4,035,000

4,711,625

Unum Group:

5.625% 9/15/20

5,753,000

5,972,339

7.125% 9/30/16

587,000

673,119

 

208,209,726

Real Estate Investment Trusts - 0.5%

AvalonBay Communities, Inc.:

4.95% 3/15/13

367,000

380,306

5.5% 1/15/12

2,071,000

2,079,626

BRE Properties, Inc. 5.5% 3/15/17

661,000

703,958

Camden Property Trust:

5.375% 12/15/13

4,073,000

4,262,056

5.875% 11/30/12

670,000

690,375

Developers Diversified Realty Corp.:

4.75% 4/15/18

8,570,000

8,014,090

5.375% 10/15/12

5,101,000

5,138,931

7.5% 4/1/17

5,574,000

6,050,728

7.875% 9/1/20

323,000

349,301

Duke Realty LP:

4.625% 5/15/13

1,106,000

1,132,338

5.875% 8/15/12

1,017,000

1,041,449

Equity One, Inc.:

5.375% 10/15/15

1,403,000

1,439,684

6% 9/15/17

890,000

908,332

6.25% 12/15/14

6,140,000

6,457,561

6.25% 1/15/17

494,000

514,156

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

FINANCIALS - continued

Real Estate Investment Trusts - continued

Federal Realty Investment Trust:

5.4% 12/1/13

$ 441,000

$ 460,607

5.9% 4/1/20

2,504,000

2,673,250

6% 7/15/12

3,658,000

3,730,622

6.2% 1/15/17

620,000

683,480

HMB Capital Trust V 3.9471% 12/15/36 (b)(e)(k)

270,000

0

HRPT Properties Trust:

5.75% 11/1/15

2,386,000

2,478,980

6.25% 6/15/17

1,232,000

1,294,883

6.65% 1/15/18

867,000

922,711

MPT Operating Partnership LP/MPT Finance Corp. 6.875% 5/1/21

1,760,000

1,751,200

Omega Healthcare Investors, Inc.:

6.75% 10/15/22

3,190,000

3,118,225

7% 1/15/16

3,060,000

3,113,550

Senior Housing Properties Trust:

6.75% 4/15/20

940,000

999,697

8.625% 1/15/12

250,000

251,599

UDR, Inc. 5.5% 4/1/14

5,222,000

5,523,591

Washington (REIT) 5.25% 1/15/14

322,000

339,791

 

66,505,077

Real Estate Management & Development - 1.4%

AMB Property LP 5.9% 8/15/13

2,580,000

2,674,041

BioMed Realty LP:

3.85% 4/15/16

11,000,000

10,819,193

6.125% 4/15/20

3,429,000

3,515,404

Brandywine Operating Partnership LP:

5.7% 5/1/17

7,049,000

7,220,848

5.75% 4/1/12

2,972,000

2,997,256

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

5,165,000

5,203,738

Colonial Properties Trust 6.875% 8/15/12

5,706,000

5,808,600

Colonial Realty LP 6.05% 9/1/16

2,000,000

2,039,632

Digital Realty Trust LP:

4.5% 7/15/15

4,981,000

5,056,079

5.25% 3/15/21

5,708,000

5,596,763

Duke Realty LP:

5.4% 8/15/14

5,561,000

5,795,780

5.95% 2/15/17

1,109,000

1,170,788

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

FINANCIALS - continued

Real Estate Management & Development - continued

Duke Realty LP: - continued

6.25% 5/15/13

$ 14,494,000

$ 15,155,129

6.5% 1/15/18

3,795,000

4,074,817

6.75% 3/15/20

10,379,000

11,046,795

8.25% 8/15/19

75,000

87,175

ERP Operating LP:

4.75% 7/15/20

7,700,000

7,754,216

5.25% 9/15/14

1,310,000

1,387,718

5.375% 8/1/16

2,768,000

2,984,607

5.5% 10/1/12

3,690,000

3,797,268

5.75% 6/15/17

14,407,000

15,634,174

Forest City Enterprises, Inc.:

6.5% 2/1/17

450,000

420,750

7.625% 6/1/15

100,000

98,500

Highwoods/Forsyth LP 5.85% 3/15/17

615,000

645,735

Host Hotels & Resorts LP:

5.875% 6/15/19 (e)

2,150,000

2,166,125

6% 11/1/20

105,000

105,788

6% 10/1/21 (e)

825,000

831,188

Liberty Property LP:

4.75% 10/1/20

11,627,000

11,642,871

5.125% 3/2/15

1,405,000

1,494,573

5.5% 12/15/16

1,891,000

2,026,477

6.625% 10/1/17

4,835,000

5,441,043

Mack-Cali Realty LP 7.75% 8/15/19

700,000

825,060

Post Apartment Homes LP 6.3% 6/1/13

3,812,000

3,976,358

Realogy Corp. 7.875% 2/15/19 (e)

2,880,000

2,462,400

Reckson Operating Partnership LP 6% 3/31/16

3,651,000

3,781,961

Regency Centers LP:

4.95% 4/15/14

611,000

639,963

5.25% 8/1/15

2,133,000

2,262,499

5.875% 6/15/17

1,089,000

1,180,034

Simon Property Group LP:

2.8% 1/30/17

2,603,000

2,607,675

4.125% 12/1/21

7,287,000

7,266,043

4.2% 2/1/15

3,659,000

3,866,370

Tanger Properties LP:

6.125% 6/1/20

13,473,000

14,676,220

6.15% 11/15/15

1,777,000

1,961,726

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

FINANCIALS - continued

Real Estate Management & Development - continued

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

$ 2,875,000

$ 2,935,088

Ventas Realty LP 6.75% 4/1/17

250,000

259,697

 

193,394,165

Thrifts & Mortgage Finance - 0.2%

Bank of America Corp.:

3.75% 7/12/16

5,755,000

5,005,572

5.65% 5/1/18

8,780,000

7,724,495

6.5% 8/1/16

9,000,000

8,696,331

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

7,993,000

8,716,718

Wrightwood Capital LLC 1.9% 4/20/20

112,350

38,648

 

30,181,764

TOTAL FINANCIALS

1,272,622,160

HEALTH CARE - 0.7%

Biotechnology - 0.1%

Amgen, Inc. 5.15% 11/15/41

12,000,000

11,568,564

Celgene Corp. 2.45% 10/15/15

613,000

622,828

 

12,191,392

Health Care Equipment & Supplies - 0.0%

Aviv Healthcare Properties LP/Aviv Healthcare Capital Corp. 7.75% 2/15/19

260,000

245,700

Health Care Providers & Services - 0.5%

Aristotle Holding, Inc. 4.75% 11/15/21 (e)

12,009,000

12,122,677

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

1,120,000

1,146,656

Coventry Health Care, Inc.:

5.95% 3/15/17

1,747,000

1,950,097

6.3% 8/15/14

3,618,000

3,934,825

Emergency Medical Services Corp. 8.125% 6/1/19

4,610,000

4,529,325

Express Scripts, Inc.:

3.125% 5/15/16

10,525,000

10,442,421

5.25% 6/15/12

7,157,000

7,314,461

6.25% 6/15/14

2,629,000

2,876,058

HCA, Inc.:

6.5% 2/15/20

2,705,000

2,698,238

7.25% 9/15/20

115,000

116,438

HealthSouth Corp. 7.25% 10/1/18

2,705,000

2,630,613

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

HEALTH CARE - continued

Health Care Providers & Services - continued

IASIS Healthcare LLC/IASIS Capital Corp. 8.375% 5/15/19 (e)

$ 4,395,000

$ 3,647,850

Medco Health Solutions, Inc.:

2.75% 9/15/15

1,176,000

1,164,880

4.125% 9/15/20

7,486,000

7,347,711

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

2,580,000

2,521,950

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

164,000

154,160

Tenet Healthcare Corp. 6.25% 11/1/18 (e)

1,650,000

1,617,000

 

66,215,360

Health Care Technology - 0.0%

DJO Finance LLC/DJO Finance Corp.:

7.75% 4/15/18

925,000

749,250

10.875% 11/15/14

4,115,000

3,868,100

 

4,617,350

Pharmaceuticals - 0.1%

Endo Pharmaceuticals Holdings, Inc.:

7% 7/15/19 (e)

860,000

879,350

7.25% 1/15/22 (e)

860,000

879,350

Mylan, Inc.:

6% 11/15/18 (e)

3,030,000

3,037,575

7.625% 7/15/17 (e)

1,115,000

1,229,288

Valeant Pharmaceuticals International:

6.5% 7/15/16 (e)

4,500,000

4,387,500

6.875% 12/1/18 (e)

3,440,000

3,336,800

7% 10/1/20 (e)

255,000

242,250

Watson Pharmaceuticals, Inc. 5% 8/15/14

720,000

773,496

 

14,765,609

TOTAL HEALTH CARE

98,035,411

INDUSTRIALS - 1.0%

Aerospace & Defense - 0.1%

BAE Systems Holdings, Inc.:

4.95% 6/1/14 (e)

572,000

605,020

6.375% 6/1/19 (e)

8,071,000

9,034,936

6.4% 12/15/11 (e)

818,000

819,151

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

INDUSTRIALS - continued

Aerospace & Defense - continued

BE Aerospace, Inc. 6.875% 10/1/20

$ 2,090,000

$ 2,220,625

Huntington Ingalls Industries, Inc. 6.875% 3/15/18 (e)

3,100,000

3,007,000

 

15,686,732

Airlines - 0.2%

Continental Airlines, Inc.:

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

350,394

357,402

6.648% 3/15/19

3,249,044

3,301,679

6.75% 9/15/15 (e)

4,585,000

4,550,613

6.9% 7/2/19

942,455

967,148

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

2,564,970

2,641,919

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

6.375% 1/2/16

1,515,000

1,378,650

6.75% 11/23/15

1,515,000

1,393,800

8.021% 8/10/22

1,444,844

1,379,826

8.954% 8/10/14

1,981,876

1,942,238

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

700,470

679,456

U.S. Airways pass-thru trust certificates:

6.85% 1/30/18

1,905,565

1,886,509

8.36% 1/20/19

1,441,215

1,426,803

United Air Lines, Inc. 9.875% 8/1/13 (e)

707,000

733,513

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

Class B, 7.336% 7/2/19

806,507

725,856

9.75% 1/15/17

2,134,421

2,305,174

12% 1/15/16 (e)

730,061

763,790

 

26,434,376

Building Products - 0.1%

Building Materials Corp. of America:

6.75% 5/1/21 (e)

4,910,000

4,885,450

6.875% 8/15/18 (e)

3,715,000

3,752,150

Griffon Corp. 7.125% 4/1/18

2,220,000

2,131,200

 

10,768,800

Commercial Services & Supplies - 0.2%

ARAMARK Corp.:

3.9294% 2/1/15 (k)

5,440,000

5,127,200

8.5% 2/1/15

2,000,000

2,055,000

ARAMARK Holdings Corp. 8.625% 5/1/16 pay-in-kind (e)(k)

7,325,000

7,471,500

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

INDUSTRIALS - continued

Commercial Services & Supplies - continued

Covanta Holding Corp. 7.25% 12/1/20

$ 4,950,000

$ 5,063,964

International Lease Finance Corp.:

5.75% 5/15/16

1,330,000

1,197,000

6.75% 9/1/16 (e)

1,620,000

1,640,250

8.625% 9/15/15

2,745,000

2,724,413

8.75% 3/15/17

2,865,000

2,879,325

8.875% 9/1/17

1,665,000

1,681,650

WP Rocket Merger Sub, Inc. 10.125% 7/15/19 (e)

2,855,000

2,569,500

 

32,409,802

Construction & Engineering - 0.0%

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

2,535,000

2,649,075

Odebrecht Finance Ltd. 7.5% (e)(f)

2,455,000

2,393,625

 

5,042,700

Electrical Equipment - 0.0%

Sensata Technologies BV 6.5% 5/15/19 (e)

2,060,000

1,998,200

Industrial Conglomerates - 0.2%

General Electric Co. 5.25% 12/6/17

17,730,000

19,817,743

Marine - 0.0%

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

280,000

208,600

Navios Maritime Holdings, Inc. 8.875% 11/1/17

700,000

651,000

SCF Capital Ltd. 5.375% 10/27/17 (e)

480,000

428,400

 

1,288,000

Professional Services - 0.0%

FTI Consulting, Inc. 6.75% 10/1/20

2,515,000

2,533,863

Road & Rail - 0.2%

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

7.625% 5/15/14

1,202,000

1,205,005

7.75% 5/15/16

1,935,000

1,903,460

Georgian Railway Ltd. 9.875% 7/22/15

575,000

573,563

Hertz Corp.:

6.75% 4/15/19

3,920,000

3,802,400

7.5% 10/15/18

8,330,000

8,350,825

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

1,335,000

1,548,600

Swift Services Holdings, Inc. 10% 11/15/18

3,835,000

3,978,813

 

21,362,666

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

INDUSTRIALS - continued

Trading Companies & Distributors - 0.0%

Aircastle Ltd. 9.75% 8/1/18

$ 1,575,000

$ 1,645,875

Transportation Infrastructure - 0.0%

Aeropuertos Argentina 2000 SA 10.75% 12/1/20 (e)

852,630

865,419

TOTAL INDUSTRIALS

139,854,176

INFORMATION TECHNOLOGY - 0.4%

Communications Equipment - 0.1%

Avaya, Inc.:

9.75% 11/1/15

1,155,000

889,350

10.125% 11/1/15 pay-in-kind (k)

1,120,000

868,000

Lucent Technologies, Inc.:

6.45% 3/15/29

8,010,000

5,767,200

6.5% 1/15/28

1,240,000

892,800

 

8,417,350

Computers & Peripherals - 0.0%

CDW Escrow Corp. 8.5% 4/1/19 (e)

2,855,000

2,697,975

Seagate HDD Cayman:

6.875% 5/1/20

575,000

576,438

7% 11/1/21 (e)

1,870,000

1,870,000

 

5,144,413

Electronic Equipment & Components - 0.1%

Jabil Circuit, Inc. 5.625% 12/15/20

935,000

925,650

Sanmina-SCI Corp. 7% 5/15/19 (e)

7,945,000

7,349,125

Tyco Electronics Group SA:

5.95% 1/15/14

3,835,000

4,105,636

6% 10/1/12

4,835,000

5,033,303

6.55% 10/1/17

1,383,000

1,594,234

 

19,007,948

Internet Software & Services - 0.0%

Equinix, Inc. 8.125% 3/1/18

4,300,000

4,601,000

IT Services - 0.0%

Audatex North America, Inc. 6.75% 6/15/18 (e)

380,000

383,800

Ceridian Corp.:

11.25% 11/15/15

1,110,000

846,375

12.25% 11/15/15 pay-in-kind (k)

795,000

596,250

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

INFORMATION TECHNOLOGY - continued

IT Services - continued

SunGard Data Systems, Inc.:

7.375% 11/15/18

$ 1,095,000

$ 1,079,889

10.25% 8/15/15

1,765,000

1,826,775

 

4,733,089

Office Electronics - 0.1%

Xerox Corp.:

4.25% 2/15/15

368,000

382,515

4.5% 5/15/21

4,102,000

4,076,965

5.5% 5/15/12

1,998,000

2,037,954

 

6,497,434

Semiconductors & Semiconductor Equipment - 0.1%

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

970,000

966,314

Amkor Technology, Inc.:

6.625% 6/1/21

4,061,000

3,725,968

7.375% 5/1/18

2,060,000

2,049,700

Spansion LLC 7.875% 11/15/17 (e)

3,465,000

3,326,400

 

10,068,382

TOTAL INFORMATION TECHNOLOGY

58,469,616

MATERIALS - 1.2%

Chemicals - 0.5%

Braskem America Finance Co. 7.125% 7/22/41 (e)

735,000

716,625

Braskem Finance Ltd.:

5.75% 4/15/21 (e)

515,000

509,850

7% 5/7/20 (e)

460,000

485,300

Celanese US Holdings LLC 6.625% 10/15/18

1,935,000

2,041,425

Dow Chemical Co.:

4.125% 11/15/21

10,888,000

10,778,293

4.25% 11/15/20

5,898,000

5,928,422

4.85% 8/15/12

11,805,000

12,106,157

5.25% 11/15/41

5,421,000

5,282,694

7.6% 5/15/14

16,974,000

19,188,581

Huntsman International LLC 8.625% 3/15/20

1,160,000

1,177,400

Inergy LP/Inergy Finance Corp.:

6.875% 8/1/21

685,000

657,600

7% 10/1/18

1,865,000

1,827,700

Kinove German Bondco GmbH 9.625% 6/15/18 (e)

1,250,000

1,131,250

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

MATERIALS - continued

Chemicals - continued

Lyondell Chemical Co.:

8% 11/1/17

$ 853,000

$ 927,638

11% 5/1/18

1,295,163

1,395,538

LyondellBasell Industries NV 6% 11/15/21 (e)

700,000

712,250

NOVA Chemicals Corp. 3.7836% 11/15/13 (k)

2,720,000

2,658,800

 

67,525,523

Construction Materials - 0.0%

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

2,286,000

2,423,165

Headwaters, Inc. 7.625% 4/1/19

1,580,000

1,339,050

 

3,762,215

Containers & Packaging - 0.1%

Ardagh Packaging Finance PLC 7.375% 10/15/17 (e)

2,500,000

2,537,500

Sealed Air Corp.:

8.125% 9/15/19 (e)

5,155,000

5,412,750

8.375% 9/15/21 (e)

1,325,000

1,407,813

 

9,358,063

Metals & Mining - 0.6%

Alrosa Finance SA:

(Reg. S) 8.875% 11/17/14

1,185,000

1,282,763

7.75% 11/3/20 (e)

700,000

701,750

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

6,817,000

7,843,068

ArcelorMittal SA 3.75% 3/1/16

2,911,000

2,703,224

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

1,975,000

2,002,782

Boart Longyear Management Pty Ltd. 7% 4/1/21 (e)

930,000

943,950

Corporacion Nacional del Cobre de Chile (Codelco):

3.875% 11/3/21 (e)

11,456,000

11,456,000

6.375% 11/30/12 (e)

2,002,000

2,096,000

Edgen Murray Corp. 12.25% 1/15/15

4,450,000

3,938,250

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

2,990,000

2,833,025

EVRAZ Group SA:

8.25% 11/10/15 (e)

1,255,000

1,276,963

9.5% 4/24/18 (Reg. S)

680,000

699,550

FMG Resources (August 2006) Pty Ltd.:

6.375% 2/1/16 (e)

710,000

670,950

6.875% 2/1/18 (e)

580,000

533,600

7% 11/1/15 (e)

4,075,000

3,973,125

8.25% 11/1/19 (e)

3,295,000

3,237,338

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

MATERIALS - continued

Metals & Mining - continued

JMC Steel Group, Inc. 8.25% 3/15/18 (e)

$ 3,180,000

$ 2,989,200

McJunkin Red Man Corp. 9.5% 12/15/16

4,770,000

4,704,413

Metinvest BV 10.25% 5/20/15 (e)

935,000

897,600

Rio Tinto Finance (USA) Ltd. 3.75% 9/20/21

7,654,000

7,741,409

Severstal Columbus LLC 10.25% 2/15/18

4,610,000

4,748,300

Southern Copper Corp. 6.75% 4/16/40

1,690,000

1,718,037

Steel Dynamics, Inc.:

6.75% 4/1/15

720,000

723,600

7.625% 3/15/20

2,350,000

2,397,000

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

1,700,000

1,712,750

Vale Overseas Ltd. 6.25% 1/23/17

5,581,000

6,167,474

Vedanta Resources PLC:

6.75% 6/7/16 (e)

3,090,000

2,611,050

8.25% 6/7/21 (e)

1,600,000

1,280,000

Votorantim Cimentos SA 7.25% 4/5/41 (e)

515,000

493,113

 

84,376,284

Paper & Forest Products - 0.0%

Sino-Forest Corp. 6.25% 10/21/17 (e)

1,295,000

453,250

TOTAL MATERIALS

165,475,335

TELECOMMUNICATION SERVICES - 1.8%

Diversified Telecommunication Services - 1.0%

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

1,635,000

1,810,763

AT&T, Inc.:

2.5% 8/15/15

7,670,000

7,884,277

3.875% 8/15/21

8,800,000

8,902,652

5.35% 9/1/40

4,006,000

4,191,253

6.3% 1/15/38

16,665,000

19,390,711

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

742,000

963,954

CenturyLink, Inc.:

6.15% 9/15/19

4,793,000

4,612,179

6.45% 6/15/21

16,521,000

15,918,529

7.6% 9/15/39

1,274,000

1,198,061

Embarq Corp. 7.995% 6/1/36

4,717,000

4,743,217

Frontier Communications Corp. 8.125% 10/1/18

805,000

768,775

Intelsat Ltd. 11.25% 6/15/16

2,570,000

2,672,800

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

TELECOMMUNICATION SERVICES - continued

Diversified Telecommunication Services - continued

Intelsat Luxembourg SA:

11.25% 2/4/17

$ 4,215,000

$ 3,856,725

11.5% 2/4/17 pay-in-kind (e)(k)

1,860,000

1,674,000

11.5% 2/4/17 pay-in-kind (k)

8,308,205

7,602,008

Sprint Capital Corp. 8.75% 3/15/32

885,000

688,088

Telefonica Emisiones SAU:

5.134% 4/27/20

10,522,000

9,272,313

5.462% 2/16/21

6,967,000

6,213,658

6.421% 6/20/16

1,162,000

1,178,122

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

530,000

523,375

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

3,760,000

3,703,600

Verizon Communications, Inc.:

3.5% 11/1/21

12,600,000

12,526,693

6.1% 4/15/18

6,000,000

7,088,634

6.25% 4/1/37

2,348,000

2,758,045

6.9% 4/15/38

6,295,000

7,945,499

Wind Acquisition Finance SA:

7.25% 2/15/18 (e)

830,000

724,175

11.75% 7/15/17 (e)

2,220,000

1,914,750

 

140,726,856

Wireless Telecommunication Services - 0.8%

America Movil SAB de CV:

2.375% 9/8/16

15,982,000

15,600,094

3.625% 3/30/15

731,000

761,386

Digicel Group Ltd.:

8.25% 9/1/17 (e)

3,400,000

3,332,000

8.875% 1/15/15 (e)

5,755,000

5,639,900

9.125% 1/15/15 pay-in-kind (e)(k)

3,770,000

3,704,025

DIRECTV Holdings LLC/DIRECTV Financing, Inc.:

4.75% 10/1/14

10,517,000

11,374,009

5.875% 10/1/19

11,944,000

13,156,567

6.35% 3/15/40

3,541,000

3,855,147

Intelsat Jackson Holdings SA:

7.25% 4/1/19 (e)

2,445,000

2,383,875

9.5% 6/15/16

2,935,000

3,034,203

MetroPCS Wireless, Inc. 7.875% 9/1/18

1,935,000

1,838,250

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

1,780,000

1,880,036

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

TELECOMMUNICATION SERVICES - continued

Wireless Telecommunication Services - continued

Nextel Communications, Inc.:

5.95% 3/15/14

$ 7,720,000

$ 7,063,800

6.875% 10/31/13

9,105,000

8,877,375

7.375% 8/1/15

4,995,000

4,395,600

NII Capital Corp.:

7.625% 4/1/21

390,000

386,100

10% 8/15/16

750,000

851,250

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

2,970,000

2,776,950

Sprint Nextel Corp.:

6% 12/1/16

3,725,000

2,970,688

9% 11/15/18 (e)

1,050,000

1,061,760

11.5% 11/15/21 (e)

1,320,000

1,244,100

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

1,545,000

1,575,900

VimpelCom Holdings BV:

4.3652% 6/29/14 (e)(k)

1,925,000

1,848,000

7.5043% 3/1/22 (e)

5,225,000

4,545,750

VIP Finance Ireland Ltd. 7.748% 2/2/21 (e)

600,000

534,000

Vodafone Group PLC 5% 12/16/13

2,864,000

3,072,198

 

107,762,963

TOTAL TELECOMMUNICATION SERVICES

248,489,819

UTILITIES - 2.4%

Electric Utilities - 1.2%

Alabama Power Co. 3.375% 10/1/20

5,927,000

6,201,070

Ameren Illinois Co. 6.125% 11/15/17

3,112,000

3,625,664

AmerenUE 6.4% 6/15/17

2,491,000

2,966,108

Cleveland Electric Illuminating Co. 5.65% 12/15/13

1,016,000

1,091,262

Commonwealth Edison Co. 1.625% 1/15/14

8,924,000

8,984,906

Duquesne Light Holdings, Inc.:

5.9% 12/1/21 (e)

6,944,000

7,059,180

6.4% 9/15/20 (e)

16,661,000

17,479,388

Edison International 3.75% 9/15/17

6,674,000

6,824,912

EDP Finance BV:

4.9% 10/1/19 (e)

6,700,000

4,923,837

6% 2/2/18 (e)

6,852,000

5,591,986

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

470,000

380,700

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

UTILITIES - continued

Electric Utilities - continued

Enel Finance International SA 5.7% 1/15/13 (e)

$ 206,000

$ 209,180

FirstEnergy Corp. 7.375% 11/15/31

13,130,000

15,394,452

FirstEnergy Solutions Corp.:

4.8% 2/15/15

2,432,000

2,599,844

6.05% 8/15/21

9,801,000

10,725,078

InterGen NV 9% 6/30/17 (e)

5,270,000

5,480,800

IPALCO Enterprises, Inc. 5% 5/1/18 (e)

2,895,000

2,779,779

LG&E and KU Energy LLC:

2.125% 11/15/15

7,369,000

7,220,618

3.75% 11/15/20

1,450,000

1,446,700

Majapahit Holding BV:

7.75% 1/20/20 (e)

850,000

969,000

8% 8/7/19 (e)

485,000

557,750

Mirant Americas Generation LLC:

8.5% 10/1/21

3,430,000

3,121,300

9.125% 5/1/31

3,010,000

2,678,900

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

390,000

442,650

Nevada Power Co.:

6.5% 5/15/18

790,000

941,727

6.5% 8/1/18

388,000

464,701

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

2,245,000

2,301,125

Otter Tail Corp. 9% 12/15/16

2,410,000

2,590,750

Pacific Gas & Electric Co. 3.25% 9/15/21

1,773,000

1,768,520

Pennsylvania Electric Co. 6.05% 9/1/17

764,000

870,156

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

7,047,000

7,093,834

Progress Energy, Inc.:

4.4% 1/15/21

12,059,000

13,016,280

6% 12/1/39

7,150,000

8,661,353

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

1,945,000

2,076,054

Wisconsin Electric Power Co. 2.95% 9/15/21

2,058,000

2,061,420

 

160,600,984

Gas Utilities - 0.0%

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

665,000

704,900

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

442,000

504,225

Southern Natural Gas Co. / Southern Natural Issuing Corp. 4.4% 6/15/21

3,646,000

3,637,523

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

1,945,000

1,731,050

 

6,577,698

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

UTILITIES - continued

Independent Power Producers & Energy Traders - 0.5%

Atlantic Power Corp. 9% 11/15/18 (e)

$ 2,015,000

$ 1,994,850

Dolphin Subsidiary II, Inc.:

6.5% 10/15/16 (e)

5,275,000

5,472,813

7.25% 10/15/21 (e)

3,430,000

3,592,925

Duke Capital LLC 5.668% 8/15/14

2,563,000

2,808,607

Exelon Generation Co. LLC:

4% 10/1/20

16,870,000

17,209,036

5.35% 1/15/14

1,528,000

1,635,036

GenOn Energy, Inc.:

9.5% 10/15/18

2,295,000

2,257,592

9.875% 10/15/20

1,185,000

1,176,113

Kinder Morgan Finance Co. LLC 6% 1/15/18 (e)

3,030,000

3,045,150

Power Sector Assets and Liabilities Management Corp.:

7.25% 5/27/19 (e)

820,000

984,000

7.39% 12/2/24 (e)

750,000

912,225

PPL Energy Supply LLC 6.5% 5/1/18

6,895,000

7,847,744

PSEG Power LLC 2.75% 9/15/16

2,786,000

2,783,961

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

8,000,000

7,960,000

The AES Corp.:

7.375% 7/1/21 (e)

1,615,000

1,683,638

7.75% 10/15/15

2,345,000

2,485,700

8% 10/15/17

4,575,000

4,883,813

 

68,733,203

Multi-Utilities - 0.7%

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

3,771,000

4,603,328

Dominion Resources, Inc.:

2.6686% 9/30/66 (k)

13,037,000

11,021,949

7.5% 6/30/66 (k)

10,345,000

10,862,250

MidAmerican Energy Holdings, Co.:

5.875% 10/1/12

3,506,000

3,645,374

6.5% 9/15/37

7,097,000

8,878,382

National Grid PLC 6.3% 8/1/16

1,589,000

1,822,178

NiSource Finance Corp.:

4.45% 12/1/21

4,928,000

4,974,653

5.25% 9/15/17

843,000

925,717

5.4% 7/15/14

1,680,000

1,820,285

5.45% 9/15/20

854,000

926,417

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

UTILITIES - continued

Multi-Utilities - continued

NiSource Finance Corp.: - continued

5.8% 2/1/42

$ 6,336,000

$ 6,478,870

5.95% 6/15/41

11,832,000

12,007,682

6.25% 12/15/40

2,345,000

2,477,593

6.4% 3/15/18

1,654,000

1,899,027

6.8% 1/15/19

6,774,000

7,878,311

Puget Energy, Inc.:

6% 9/1/21

2,464,000

2,460,132

6.5% 12/15/20

2,275,000

2,371,688

San Diego Gas & Electric Co. 3% 8/15/21

3,009,000

3,090,658

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

3,860,000

3,860,000

 

92,004,494

Water Utilities - 0.0%

Companhia de Saneamento Basico do Estado de Sao Paulo (SABESP) 6.25% 12/16/20 (e)

485,000

495,913

TOTAL UTILITIES

328,412,292

TOTAL NONCONVERTIBLE BONDS

3,357,143,717

TOTAL CORPORATE BONDS

(Cost $3,217,403,063)

3,357,412,030

U.S. Government and Government Agency Obligations - 24.4%

 

U.S. Government Agency Obligations - 1.2%

Fannie Mae Guaranteed Mortgage pass-thru certificates:

0.5% 8/9/13

74,712,000

74,864,786

0.625% 10/30/14

10,673,000

10,637,736

0.75% 12/19/14

2,894,000

2,889,236

1.125% 6/27/14

4,680,000

4,739,291

Freddie Mac:

1% 7/30/14

17,037,000

17,158,286

1% 8/27/14

12,283,000

12,395,033

U.S. Government and Government Agency Obligations - continued

 

Principal Amount (c)

Value

U.S. Government Agency Obligations - continued

Freddie Mac: - continued

1.75% 9/10/15

$ 40,525,000

$ 41,676,477

Tennessee Valley Authority 5.375% 4/1/56

385,000

511,142

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS

164,871,987

U.S. Treasury Inflation Protected Obligations - 3.0%

U.S. Treasury Inflation-Indexed Bonds:

2.125% 2/15/40

74,012,937

98,869,803

2.125% 2/15/41

33,691,045

45,311,816

2.5% 1/15/29

21,134,400

28,014,312

U.S. Treasury Inflation-Indexed Notes:

1.125% 1/15/21

175,183,317

194,380,736

1.375% 1/15/20

31,422,342

35,622,208

TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS

402,198,875

U.S. Treasury Obligations - 20.2%

U.S. Treasury Bonds:

3.125% 11/15/41

754,000

762,954

4.375% 5/15/41

447,801,000

564,858,820

U.S. Treasury Notes:

0.25% 9/15/14

8,048,000

8,020,331

0.625% 7/15/14

138,350,000

139,322,739

0.75% 6/15/14

11,299,000

11,413,753

0.875% 11/30/16

2,907,000

2,894,055

1.375% 11/30/15

88,617,000

91,053,968

1.75% 10/31/18

86,185,000

87,504,665

2% 11/15/21

128,740,000

127,814,617

2.125% 8/15/21

25,159,000

25,308,394

2.375% 2/28/15 (h)

499,922,000

530,386,247

2.625% 7/31/14

316,140,000

335,034,423

2.625% 12/31/14 (h)

486,380,000

518,868,725

3.125% 5/15/21

301,779,000

330,943,224

TOTAL U.S. TREASURY OBLIGATIONS

2,774,186,915

TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $3,087,466,410)

3,341,257,777

U.S. Government Agency - Mortgage Securities - 16.4%

 

Principal Amount (c)

Value

Fannie Mae Guaranteed Mortgage pass-thru certificates - 11.0%

2.132% 10/1/33 (k)

$ 948,777

$ 986,898

2.303% 6/1/36 (k)

147,544

155,390

2.55% 2/1/36 (k)

877,315

913,759

2.636% 7/1/37 (k)

401,922

426,324

2.695% 12/1/35 (k)

575,582

609,766

3% 12/1/26 (g)

18,000,000

18,429,955

3.5% 1/1/26 to 3/1/41

37,128,337

38,564,221

3.79% 6/1/40 (k)

4,289,555

4,478,049

4% 11/1/26 to 11/1/41

150,485,358

157,146,287

4% 12/1/26 (g)

24,000,000

25,193,191

4% 12/1/26 (g)

11,365,910

11,930,981

4% 9/1/41

197,760

206,314

4% 10/1/41

7,525,286

7,870,775

4% 12/1/41 (g)

69,800,000

72,710,081

4% 12/1/41 (g)

44,300,000

46,146,942

4% 12/1/41 (g)

29,900,000

31,146,582

4.5% 4/1/18 to 11/1/41 (g)

250,404,470

265,850,364

4.5% 12/1/26 (g)

500,000

531,510

4.5% 12/1/41 (g)

92,100,000

97,362,262

5% 5/1/19 to 6/1/40

120,410,935

129,486,515

5% 12/1/41 (g)

29,000,000

31,166,303

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

135,585,942

147,385,917

5.5% 12/1/41 (g)

4,700,000

5,101,587

6% 1/1/21 to 2/1/40

192,509,774

211,467,990

6% 12/1/41 (g)

104,900,000

114,979,778

6% 12/1/41 (g)

65,700,000

72,013,074

6% 12/1/41 (g)

17,700,000

19,400,782

6.5% 11/1/35

390,524

433,696

TOTAL FANNIE MAE GUARANTEED MORTGAGE PASS-THRU CERTIFICATES

1,512,095,293

Freddie Mac - 2.1%

3.171% 10/1/35 (k)

210,189

223,950

4% 12/1/40 to 10/1/41

23,698,935

24,850,966

4% 9/1/41

1,908,840

1,994,686

4% 12/1/41 (g)

28,000,000

29,117,054

4% 1/1/42 (g)

28,000,000

29,059,086

4.5% 7/1/25 to 10/1/41

116,817,901

123,705,761

5% 7/1/35 to 8/1/40

29,636,227

31,861,369

U.S. Government Agency - Mortgage Securities - continued

 

Principal Amount (c)

Value

Freddie Mac - continued

5.5% 11/1/17 to 1/1/40

$ 37,507,333

$ 40,568,017

6% 7/1/37 to 8/1/37

5,659,518

6,200,672

TOTAL FREDDIE MAC

287,581,561

Ginnie Mae - 3.3%

3.5% 12/15/40

251,834

261,423

3.5% 12/1/41 (g)

18,000,000

18,657,254

3.5% 1/1/42 (g)

18,000,000

18,599,596

4% 1/15/25 to 11/15/41

92,455,319

98,839,404

4% 12/1/41 (g)

42,400,000

45,207,855

4% 12/1/41 (g)

42,400,000

45,207,855

4% 12/1/41 (g)

38,200,000

40,729,719

4% 12/1/41 (g)

4,200,000

4,478,137

4% 1/1/42 (g)

38,200,000

40,619,298

4.5% 11/20/33 to 7/20/41

50,708,759

55,162,305

4.5% 12/1/41 (g)

500,000

543,256

4.5% 12/1/41 (g)

2,100,000

2,281,674

4.5% 12/1/41 (g)

1,900,000

2,064,372

4.5% 1/1/42 (g)

2,400,000

2,602,284

5% 8/15/39 to 9/15/40

35,698,878

39,358,197

5% 12/1/41 (g)

12,500,000

13,757,970

5% 12/1/41 (g)

12,500,000

13,757,970

5% 1/1/42 (g)

12,500,000

13,731,604

TOTAL GINNIE MAE

455,860,173

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $2,237,676,137)

2,255,537,027

Asset-Backed Securities - 2.2%

 

Accredited Mortgage Loan Trust Series 2005-1 Class M1, 0.7272% 4/25/35 (k)

1,314,860

848,142

ACE Securities Corp. Home Equity Loan Trust:

Series 2004-HE1 Class M2, 1.9072% 3/25/34 (k)

467,626

350,257

Series 2005-HE2 Class M2, 0.7072% 4/25/35 (k)

122,628

118,765

Series 2006-OP1 Class M4, 0.6272% 4/25/36 (k)

82,109

347

Advanta Business Card Master Trust:

Series 2006-C1 Class C1, 0.6758% 10/20/14 (k)

642,000

6,420

Series 2007-D1 Class D, 1.5863% 1/22/13 (e)(k)

2,590,000

38,850

Asset-Backed Securities - continued

 

Principal Amount (c)

Value

Airspeed Ltd. Series 2007-1A Class C1, 2.7479% 6/15/32 (e)(k)

$ 4,289,863

$ 2,209,279

Ally Auto Receivables Trust:

Series 2009-A:

Class A3, 2.33% 6/17/13 (e)

2,294,369

2,306,556

Class A4, 3% 10/15/15 (e)

4,280,000

4,373,893

Series 2010-5 Class A4, 1.75% 3/15/16

4,050,000

4,100,709

Series 2011-1 Class A4, 2.23% 3/15/16

18,200,000

18,655,189

Ally Master Owner Trust:

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

8,910,000

9,070,263

Series 2011-1 Class A2, 2.15% 1/15/16

8,870,000

8,979,535

Series 2011-3 Class A2, 1.81% 5/15/16

8,490,000

8,540,110

AmeriCredit Automobile Receivables Trust Series 2011-1 Class A3, 1.39% 9/8/15

7,520,000

7,521,715

AmeriCredit Prime Automobile Receivables Trust Series 2007-1:

Class D, 5.62% 9/8/14

1,125,000

1,126,098

Class E, 6.96% 3/8/16 (e)

2,052,284

2,054,557

Ameriquest Mortgage Securities, Inc. pass-thru certificates:

Series 2003-10 Class M1, 0.9572% 12/25/33 (k)

85,315

66,978

Series 2004-R2 Class M3, 0.8072% 4/25/34 (k)

133,684

42,501

Series 2005-R2 Class M1, 0.7072% 4/25/35 (k)

2,064,696

1,819,794

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

171,000

167,580

Anthracite CDO III Ltd./Anthracite CDO III Corp. Series 2004-1A Class A, 0.6167% 3/23/19 (e)(k)

178,646

146,490

Argent Securities, Inc. pass-thru certificates:

Series 2003-W7 Class A2, 1.0247% 3/25/34 (k)

47,932

32,479

Series 2004-W11 Class M2, 0.9572% 11/25/34 (k)

561,149

463,820

Series 2004-W7 Class M1, 0.8072% 5/25/34 (k)

1,542,998

1,113,665

Series 2006-W4 Class A2C, 0.4172% 5/25/36 (k)

1,348,517

348,877

Asset Backed Securities Corp. Home Equity Loan Trust:

Series 2004-HE2 Class M1, 1.0822% 4/25/34 (k)

2,589,582

1,773,517

Series 2006-HE2 Class M1, 0.6272% 3/25/36 (k)

140,625

1,407

Axon Financial Funding Ltd. 0.9743% 4/4/17 (b)(e)(k)

7,217,000

1

Bank of America Auto Trust Series 2009-1A:

Class A3, 2.67% 7/15/13 (e)

1,572,354

1,576,965

Class A4, 3.52% 6/15/16 (e)

8,300,000

8,460,411

BMW Vehicle Lease Trust:

Series 2010-1 Class A3, 0.82% 4/15/13

14,660,000

14,660,082

Series 2011-1 Class A4, 1.4% 8/20/14

11,060,000

11,129,957

Asset-Backed Securities - continued

 

Principal Amount (c)

Value

Brazos Higher Education Authority, Inc. Series 2006-2 Class A9, 0.3681% 12/25/24 (k)

$ 1,400,411

$ 1,232,361

Capital Auto Receivables Asset Trust Series 2007-1 Class C, 5.38% 11/15/12

582,000

589,945

Capital One Multi-Asset Execution Trust Series 2008-A3 Class A3, 5.05% 2/15/16

5,700,000

6,026,122

Capital Trust Ltd. Series 2004-1:

Class A2, 0.7048% 7/20/39 (e)(k)

280,437

203,317

Class B, 1.0048% 7/20/39 (e)(k)

263,810

104,205

Class C, 1.3548% 7/20/39 (e)(k)

339,379

10,181

Capital Trust RE CDO Ltd./Capital Trust RE CDO Corp. Series 2005-3A:

Class A2, 5.16% 6/25/35 (e)

942,936

934,921

Class B, 5.267% 6/25/35 (e)

1,000,000

940,000

CapitalSource Real Estate Loan Trust Series 2006-1A Class A2A, 0.4358% 1/20/37 (e)(k)

186,189

145,808

Capmark VII Ltd. Series 2006-7A Class H, 1.799% 8/15/36 (e)(k)

526,043

0

Carmax Auto Owner Trust Series 2011-1 Class A3, 1.29% 9/15/15

8,210,000

8,263,844

Carrington Mortgage Loan Trust:

Series 2006-FRE1 Class M1, 0.5572% 7/25/36 (k)

1,140,851

48,441

Series 2006-NC4 Class M1, 0.5572% 10/25/36 (k)

224,000

2,820

Series 2007-RFC1 Class A3, 0.3972% 12/25/36 (k)

1,802,588

550,103

CBRE Realty Finance CDO 2007-1/LLC 0.6336% 4/7/52 (e)(k)

1,544,611

944,143

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

5,000,000

5,196,815

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

17,510,000

17,521,879

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

35,600,000

36,197,621

Countrywide Asset-Backed Certificates Trust:

Series 2007-11 Class 2A1, 0.3172% 6/25/47 (k)

26,925

26,550

Series 2007-4 Class A1A, 0.4596% 9/25/37 (k)

337,250

320,905

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

811,000

0

Countrywide Home Loans, Inc.:

Series 2003-BC1 Class B1, 5.3008% 3/25/32 (MGIC Investment Corp. Insured) (k)

11,800

937

Series 2004-3 Class M4, 1.2272% 4/25/34 (k)

159,665

78,305

Series 2004-4 Class M2, 1.0522% 6/25/34 (k)

587,945

255,223

Series 2005-3 Class MV1, 0.6772% 8/25/35 (k)

417,161

406,809

Series 2005-AB1 Class A2, 0.4672% 8/25/35 (k)

18,041

17,897

Asset-Backed Securities - continued

 

Principal Amount (c)

Value

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

$ 197,243

$ 197,567

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

Class B1, 6.065% 12/28/35 (e)

500,000

415,000

Class B2, 1.7128% 12/28/35 (e)(k)

500,000

350,000

Crest Dartmouth Street Ltd./Crest Dartmouth Street Corp. Series 2003-1A:

Class B1, 1.8628% 6/28/38 (e)(k)

100,000

85,000

Class D, 9% 6/28/38 (e)

200,000

140,000

Crest Ltd. Series 2002-IGA Class A, 0.8747% 7/28/17 (e)(k)

5,180

5,121

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

540,000

488,444

Fannie Mae subordinate REMIC pass-thru certificates Series 2004-T5 Class AB3, 0.715% 5/28/35 (k)

38,916

25,193

Fieldstone Mortgage Investment Corp. Series 2004-3 Class M5, 2.4322% 8/25/34 (k)

290,872

169,115

First Franklin Mortgage Loan Trust Series 2004-FF2 Class M3, 1.0822% 3/25/34 (k)

22,872

4,436

Ford Credit Auto Lease Trust Series 2010-B Class A3, 0.91% 7/15/13 (e)

14,200,000

14,209,018

Ford Credit Auto Owner Trust:

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

970,000

972,534

Series 2009-D:

Class A3, 2.17% 10/15/13

2,232,721

2,245,719

Class A4, 2.98% 8/15/14

4,800,000

4,921,633

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

9,710,000

9,733,439

Ford Credit Floorplan Master Owner Trust Series 2010-5 Class A1, 1.5% 9/15/15

10,710,000

10,741,607

Franklin Auto Trust Series 2007-1 Class C, 5.43% 2/16/15

614,000

614,154

Fremont Home Loan Trust:

Series 2005-A:

Class M3, 0.7472% 1/25/35 (k)

948,695

298,988

Class M4, 0.9372% 1/25/35 (k)

363,547

84,711

Series 2006-D Class M1, 0.4872% 11/25/36 (k)

117,703

587

GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 0.8861% 2/25/47 (e)(k)

2,892,000

1,446,000

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

1,297,952

1,194,116

GE Business Loan Trust:

Series 2003-1 Class A, 0.679% 4/15/31 (e)(k)

230,257

218,941

Series 2006-2A:

Class A, 0.429% 11/15/34 (e)(k)

1,987,084

1,644,312

Asset-Backed Securities - continued

 

Principal Amount (c)

Value

GE Business Loan Trust: - continued

Series 2006-2A:

Class B, 0.529% 11/15/34 (e)(k)

$ 717,795

$ 462,977

Class C, 0.629% 11/15/34 (e)(k)

1,192,945

590,508

Class D, 0.999% 11/15/34 (e)(k)

453,000

99,660

Goal Capital Funding Trust Series 2007-1 Class C1, 0.7581% 6/25/42 (k)

558,350

435,769

GSAMP Trust:

Series 2004-AR1:

Class B4, 5% 6/25/34 (e)(k)

218,418

60,593

Class M1, 0.9072% 6/25/34 (k)

2,723,367

1,675,799

Series 2007-HE1 Class M1, 0.5072% 3/25/47 (k)

1,096,059

45,325

Guggenheim Structured Real Estate Funding Ltd. Series 2006-3:

Class B, 0.6572% 9/25/46 (e)(k)

325,910

172,951

Class C, 0.8072% 9/25/46 (e)(k)

1,526,694

201,020

Class E, 1.9072% 9/25/46 (e)(k)

250,000

4,656

Home Equity Asset Trust:

Series 2003-2 Class M1, 1.5772% 8/25/33 (k)

400,674

277,628

Series 2003-3 Class M1, 1.5472% 8/25/33 (k)

709,087

558,505

Series 2003-5 Class A2, 0.9572% 12/25/33 (k)

32,929

22,908

Series 2005-5 Class 2A2, 0.5072% 11/25/35 (k)

26,996

26,795

Series 2006-1 Class 2A3, 0.4822% 4/25/36 (k)

623,035

606,034

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

250,000

0

HSBC Home Equity Loan Trust Series 2006-2 Class M2, 0.5448% 3/20/36 (k)

634,668

514,188

HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.4472% 1/25/37 (k)

1,522,035

509,789

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

2,512,397

2,523,918

John Deere Owner Trust Series 2011-A Class A4, 1.96% 4/16/18

4,810,000

4,922,430

JPMorgan Mortgage Acquisition Trust:

Series 2006-NC2 Class M2, 0.5572% 7/25/36 (k)

204,000

4,414

Series 2007-CH1:

Class AV4, 0.3872% 11/25/36 (k)

1,520,141

1,276,037

Class MV1, 0.4872% 11/25/36 (k)

1,234,797

604,117

Series 2007-CH3 Class M1, 0.5572% 3/25/37 (k)

573,000

64,550

Keycorp Student Loan Trust:

Series 1999-A Class A2, 0.6902% 12/27/29 (k)

629,794

552,379

Series 2006-A Class 2C, 1.5102% 3/27/42 (k)

3,243,000

862,868

Long Beach Mortgage Loan Trust:

Series 2004-2 Class M2, 1.3372% 6/25/34 (k)

87,289

53,751

Series 2006-10 Class 2A3, 0.4172% 11/25/36 (k)

5,606,478

1,717,242

Asset-Backed Securities - continued

 

Principal Amount (c)

Value

Marathon Real Estate CDO Ltd. Series 2006-1A Class B, 0.6872% 5/25/46 (e)(k)

$ 250,000

$ 100,000

Marriott Vacation Club Owner Trust Series 2006-2A:

Class B, 5.442% 10/20/28 (e)

17,791

18,113

Class C, 5.691% 10/20/28 (e)

7,907

8,003

Class D, 6.01% 10/20/28 (e)

94,146

94,782

MASTR Asset Backed Securities Trust:

Series 2006-AM3 Class M1, 0.5172% 10/25/36 (k)

545,328

16,224

Series 2007-HE1 Class M1, 0.5572% 5/25/37 (k)

784,792

20,505

Meritage Mortgage Loan Trust Series 2004-1 Class M1, 1.0072% 7/25/34 (k)

171,726

107,857

Merrill Lynch Mortgage Investors Trust:

Series 2003-OPT1 Class M1, 1.2322% 7/25/34 (k)

587,792

396,117

Series 2006-FM1 Class A2B, 0.3672% 4/25/37 (k)

1,795,053

1,284,899

Series 2006-OPT1 Class A1A, 0.5172% 6/25/35 (k)

3,041,305

2,177,036

Morgan Stanley ABS Capital I Trust:

Series 2004-HE6 Class A2, 0.5972% 8/25/34 (k)

57,368

42,969

Series 2004-NC8 Class M6, 1.5072% 9/25/34 (k)

28,983

14,575

Series 2005-NC1 Class M1, 0.6972% 1/25/35 (k)

399,800

255,180

Series 2005-NC2 Class B1, 1.4272% 3/25/35 (k)

416,362

52,418

Series 2007-HE2 Class M1, 0.5072% 1/25/37 (k)

188,100

804

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

Class B1, 2.1867% 8/28/38 (e)(k)

220,000

189,200

Class C1B, 7.696% 8/28/38 (e)

64,212

48,865

National Collegiate Student Loan Trust:

Series 2004-2 Class AIO, 9.75% 10/27/14 (m)

7,651,000

669,463

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

23,566,770

176,751

Series 2006-4:

Class AIO, 6.35% 2/27/12 (m)

26,688,690

198,252

Class D, 1.3572% 5/25/32 (k)

2,481,000

5,274

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

33,769,000

945,532

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

24,991,000

892,176

New Century Home Equity Loan Trust:

Series 2005-4 Class M2, 0.7672% 9/25/35 (k)

1,426,957

657,449

Series 2005-D Class M2, 0.7272% 2/25/36 (k)

827,339

81,977

Nissan Auto Receivables Owner Trust:

Series 2010-A Class A4, 1.31% 9/15/16

5,950,000

5,997,890

Series 2011-A Class A4, 1.94% 9/15/17

11,750,000

12,033,698

Ocala Funding LLC:

Series 2005-1A Class A, 1.7548% 3/20/10 (b)(e)(k)

566,000

0

Series 2006-1A Class A, 1.6548% 3/20/11 (b)(e)(k)

1,176,000

0

Option One Mortgage Loan Trust:

Series 2007-5 Class 2A1, 0.3472% 5/25/37 (k)

32,945

32,094

Asset-Backed Securities - continued

 

Principal Amount (c)

Value

Option One Mortgage Loan Trust: - continued

Series 2007-6 Class 2A1, 0.3172% 7/25/37 (k)

$ 103,760

$ 100,098

Park Place Securities, Inc.:

Series 2004-WCW1:

Class M3, 1.5072% 9/25/34 (k)

532,896

182,492

Class M4, 1.7072% 9/25/34 (k)

683,353

153,518

Series 2005-WCH1:

Class M2, 0.7772% 1/25/36 (k)

2,548,346

2,177,893

Class M3, 0.8172% 1/25/36 (k)

478,432

297,118

Class M4, 1.0872% 1/25/36 (k)

1,475,804

569,888

Series 2005-WHQ2 Class M7, 1.5072% 5/25/35 (k)

1,404,169

10,299

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

Class A2, 4.646% 7/24/39 (e)

7,586

7,577

Class B, 4.846% 7/24/39 (e)

180,000

173,250

Class C, 5.08% 7/24/39 (e)

185,000

175,750

Class D, 5.194% 7/24/39 (e)

320,000

296,000

Residential Asset Mortgage Products, Inc. Series 2006-EFC2 Class M1, 0.4872% 12/25/36 (k)

566,000

13,411

Resource Real Estate Funding CDO Series 2007-1A Class J, 3.2072% 9/25/46 (e)(k)

250,000

37,500

Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 1.0572% 4/25/33 (k)

5,108

4,133

Saxon Asset Securities Trust Series 2004-1 Class M1, 1.0522% 3/25/35 (k)

1,377,933

857,107

Securitized Asset Backed Receivables LLC Trust Series 2005-FR4 Class B3, 1.9772% 1/25/36 (k)

12,559

39

Sierra Receivables Funding Co. Series 2007-1A Class A2, 0.3947% 3/20/19 (FGIC Insured) (e)(k)

593,060

567,374

SLM Private Credit Student Loan Trust Series 2004-A Class C, 1.2971% 6/15/33 (k)

1,272,000

613,098

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

656,637

0

Structured Asset Investment Loan Trust Series 2004-8 Class M5, 1.9822% 9/25/34 (k)

66,716

26,109

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

637,439

659,865

Terwin Mortgage Trust Series 2003-4HE Class A1, 1.1172% 9/25/34 (k)

28,819

18,955

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

Series 2002-1A:

Class IIFX, 6.77% 5/22/37 (e)

310,742

309,965

Class IV, 6.84% 5/22/37 (e)

235,000

207,975

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

111,000

87,690

Asset-Backed Securities - continued

 

Principal Amount (c)

Value

Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 0.9409% 4/6/42 (e)(k)

$ 2,626,498

$ 78,795

Wachovia Ltd./Wachovia LLC:

Series 2006-1 Class 1ML, 0% 9/25/26 (e)(k)

400,000

160,000

Series 2006-1A:

Class A1A, 0.6181% 9/25/26 (e)(k)

1,383,511

1,092,974

Class A1B, 0.6881% 9/25/26 (e)(k)

1,033,000

754,090

Class A2A, 0.5781% 9/25/26 (e)(k)

1,183,705

994,313

Class A2B, 0.6681% 9/25/26 (e)(k)

250,000

190,000

Class B, 0.7181% 9/25/26 (e)(k)

250,000

185,000

Class F, 1.5081% 9/25/26 (e)(k)

250,000

162,500

Class G, 1.7081% 9/25/26 (e)(k)

320,000

200,000

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

887,552

0

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

7,576

0

Whinstone Capital Management Ltd. Series 1A Class B3, 2.2183% 10/25/44 (e)(k)

1,789,540

787,397

Wrightwood Capital Real Estate CDO Ltd. Series 2005-1A:

Class A1, 0.7994% 11/21/40 (e)(k)

500,000

385,000

Class D, 1.3294% 11/21/40 (e)(k)

305,000

91,500

TOTAL ASSET-BACKED SECURITIES

(Cost $296,172,350)

300,323,583

Collateralized Mortgage Obligations - 1.2%

 

Private Sponsor - 1.2%

ABN AMRO Mortgage Corp. Series 2003-9 Class B5, 4.5164% 8/25/18 (e)

179,655

23,355

Banc of America Large Loan, Inc. Series 2005-MIB1 Class A2, 0.459% 3/15/22 (e)(k)

41,850

41,795

Banc of America Mortgage Securities, Inc.:

Series 2003-L Class 2A1, 2.8978% 1/25/34 (k)

1,782,097

1,529,680

Series 2004-1 Class 2A2, 2.7468% 10/25/34 (k)

1,794,567

1,523,166

Series 2004-A Class 2A2, 2.8465% 2/25/34 (k)

991,592

841,860

Series 2004-B:

Class 1A1, 2.7465% 3/25/34 (k)

138,109

116,556

Class 2A2, 2.8579% 3/25/34 (k)

4,860,266

4,291,427

Series 2004-D Class 2A2, 2.8816% 5/25/34 (k)

1,622,628

1,396,383

Series 2004-G Class 2A7, 2.8232% 8/25/34 (k)

1,527,926

1,143,660

Series 2004-H Class 2A1, 2.7576% 9/25/34 (k)

1,333,862

1,094,330

Collateralized Mortgage Obligations - continued

 

Principal Amount (c)

Value

Private Sponsor - continued

Bayview Commercial Asset Trust Series 2006-3A, Class IO, 4.2221% 10/25/36 (e)(k)(m)

$ 9,828,110

$ 550,374

Bear Stearns ALT-A Trust floater Series 2005-1 Class A1, 0.8172% 1/25/35 (k)

2,003,529

1,411,925

Chase Mortgage Finance Trust:

Series 2007-A1 Class 1A5, 2.7783% 2/25/37 (k)

1,278,715

1,143,758

Series 2007-A2 Class 2A1, 2.8024% 7/25/37 (k)

311,916

308,099

Citigroup Mortgage Loan Trust Series 2004-UST1 Class A4, 2.2676% 8/25/34 (k)

1,215,171

1,193,782

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

2,125,000

446,250

COMM pass-thru certificates floater Series 2001-J2A Class A2F, 0.7502% 7/16/34 (e)(k)

24,874

24,844

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

78,237

0

Countrywide Home Loans, Inc.:

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

56,321

28,612

Series 2003-35 Class B, 4.6375% 9/25/18 (k)

91,396

9,140

Credit Suisse First Boston Mortgage Securities Corp.:

floater Series 2007-AR7 Class 2A1, 2.7757% 11/25/34 (k)

1,124,683

967,081

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

245,810

54,078

Series 2004-3 Class DB4, 5.8246% 4/25/34 (k)

57,255

143

CWALT, Inc.:

floater Series 2005-56:

Class 1A1, 0.9872% 11/25/35 (k)

32,001,991

15,776,684

Class 2A3, 1.7304% 11/25/35 (k)

7,709,640

4,076,549

Series 2005-56 Class 5A1, 0.5772% 11/25/35 (k)

9,377,289

4,558,474

First Horizon Mortgage pass-thru Trust Series 2004-AR5 Class 2A1, 2.631% 10/25/34 (k)

1,472,757

1,296,047

FREMF Mortgage Trust:

Series 2010 K7 Class B, 5.4349% 4/25/20 (e)(k)

1,000,000

924,240

Series 2010-K6 Class B, 5.3578% 12/25/46 (e)(k)

910,000

870,921

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

94,341

31

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

73,898

14,780

Granite Master Issuer PLC floater:

Series 2005-4 Class C2, 1.3548% 12/20/54 (k)

205,017

98,579

Series 2006-1A Class C2, 1.4548% 12/20/54 (e)(k)

6,523,000

3,098,425

Series 2006-2 Class C1, 1.1948% 12/20/54 (k)

21,543,000

10,232,925

Series 2006-3 Class C2, 0.7548% 12/20/54 (k)

1,124,000

533,900

Collateralized Mortgage Obligations - continued

 

Principal Amount (c)

Value

Private Sponsor - continued

Granite Master Issuer PLC floater: - continued

Series 2006-4:

Class B1, 0.3448% 12/20/54 (k)

$ 4,521,000

$ 3,616,800

Class C1, 0.6348% 12/20/54 (k)

2,767,000

1,314,325

Class M1, 0.4248% 12/20/54 (k)

1,190,000

821,100

Series 2007-1:

Class 1C1, 0.8548% 12/20/54 (k)

2,234,000

1,061,150

Class 1M1, 0.5548% 12/20/54 (k)

1,493,000

1,030,170

Class 2C1, 1.2148% 12/20/54 (k)

1,015,000

482,125

Class 2M1, 0.7548% 12/20/54 (k)

1,917,000

1,322,730

Series 2007-2 Class 2C1, 0.6817% 12/17/54 (k)

2,654,000

1,260,650

Granite Mortgages PLC floater Series 2003-3 Class 1C, 2.8592% 1/20/44 (k)

430,241

271,267

GSR Mortgage Loan Trust floater Series 2007-AR1 Class 6A1, 4.7407% 3/25/37 (k)

6,212,474

6,061,548

JPMorgan Chase Commercial Mortgage Securities Trust Series 2007-CB18 Class A3, 5.447% 6/12/47 (k)

3,606,000

3,777,934

JPMorgan Mortgage Trust:

sequential payer Series 2006-A5 Class 3A5, 5.8352% 8/25/36 (k)

2,430,368

1,799,350

Series 2004-A3 Class 4A1, 2.7488% 7/25/34 (k)

1,422,984

1,356,714

Series 2004-A5 Class 2A1, 2.3661% 12/25/34 (k)

1,675,017

1,483,110

Series 2006-A2 Class 5A1, 2.7145% 11/25/33 (k)

2,714,472

2,433,465

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

5,623

5,625

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

857,000

941,615

Luminent Mortgage Trust:

floater Series 2006-1 Class A1, 0.4972% 4/25/36 (k)

17,073,086

8,363,147

Series 2006-5 Class A1A, 0.4472% 7/25/36 (k)

12,782,193

5,601,278

MASTR Adjustable Rate Mortgages Trust Series 2007-3 Class 22A2, 0.4672% 5/25/47 (k)

2,790,480

1,755,534

Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.4272% 2/25/37 (k)

6,917,300

4,497,142

Merrill Lynch Floating Trust floater Series 2006-1:

Class B, 0.419% 6/15/22 (e)(k)

251,984

236,865

Class C, 0.439% 6/15/22 (e)(k)

1,559,607

1,458,233

Class D, 0.449% 6/15/22 (e)(k)

600,006

558,006

Class E, 0.459% 6/15/22 (e)(k)

959,771

887,788

Class F, 0.489% 6/15/22 (e)(k)

1,545,171

1,413,831

Class G, 0.559% 6/15/22 (e)(k)

359,765

323,789

Collateralized Mortgage Obligations - continued

 

Principal Amount (c)

Value

Private Sponsor - continued

Merrill Lynch Floating Trust floater Series 2006-1: - continued

Class H, 0.579% 6/15/22 (e)(k)

$ 720,211

$ 640,988

Class J, 0.619% 6/15/22 (e)(k)

840,246

739,416

Merrill Lynch Mortgage Investors Trust:

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

930,000

948,135

Series 2004-A4 Class A1, 2.6121% 8/25/34 (k)

1,933,843

1,749,050

Series 2005-A2 Class A7, 2.6206% 2/25/35 (k)

1,150,409

1,077,955

Series 2006-A6 Class A4, 2.7758% 10/25/33 (k)

1,372,889

1,207,934

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

101,000

100,959

Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 0.5472% 7/25/35 (k)

2,056,072

1,555,490

Option One Mortgage Loan Trust floater Series 2007-CP1 Class M1, 0.5572% 3/25/37 (k)

2,994,072

117,962

Provident Funding Mortgage Loan Trust Series 2005-2 Class 3A, 2.6593% 10/25/35 (k)

3,034,889

2,264,727

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

Class B5, 2.5978% 7/10/35 (e)(k)

1,417,088

991,962

Class B6, 3.0978% 7/10/35 (e)(k)

315,959

198,991

Residential Asset Mortgage Products, Inc. sequential payer:

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

894,725

944,657

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

46,751

46,749

Residential Funding Securities Corp. floater Series 2003-RP2 Class A1, 0.7072% 6/25/33 (e)(k)

329,351

303,194

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

268,000

96,222

Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 1.275% 7/20/34 (k)

35,934

23,934

Structured Asset Mortgage Investments, Inc. floater Series 2006-AR6 Class 2A1, 0.4472% 7/25/46 (k)

26,325,171

13,332,673

Structured Asset Securities Corp.:

Series 2003-15A Class 4A, 5.3214% 4/25/33 (k)

510,018

451,694

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

399,639

403,887

TBW Mortgage-Backed pass-thru certificates floater Series 2006-4 Class A3, 0.4184% 9/25/36 (k)

3,273,627

2,364,506

WaMu Mortgage pass-thru certificates:

Series 2003-AR8 Class A, 2.476% 8/25/33 (k)

956,281

919,501

Series 2005-AR3 Class A2, 2.5815% 3/25/35 (k)

2,668,549

2,174,345

Collateralized Mortgage Obligations - continued

 

Principal Amount (c)

Value

Private Sponsor - continued

Wells Fargo Mortgage Backed Securities Trust:

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

$ 151,305

$ 48,418

Series 2004-EE Class 2A2, 2.7143% 12/25/34 (k)

823,478

783,712

Series 2004-H Class A1, 2.7287% 6/25/34 (k)

1,492,878

1,394,199

Series 2004-W Class A9, 2.6198% 11/25/34 (k)

3,104,889

2,761,011

Series 2005-AR10 Class 2A2, 2.7102% 6/25/35 (k)

2,011,238

1,778,397

Series 2005-AR12:

Class 2A5, 2.7172% 7/25/35 (k)

8,268,304

7,219,740

Class 2A6, 2.7172% 7/25/35 (k)

897,406

773,097

Series 2005-AR2:

Class 1A2, 2.7294% 3/25/35 (k)

3,255,169

1,288,607

Class 2A2, 2.7259% 3/25/35 (k)

2,501,091

2,050,678

Series 2005-AR3 Class 2A1, 2.7113% 3/25/35 (k)

1,466,555

1,253,754

TOTAL PRIVATE SPONSOR

165,763,688

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

247,624

266,313

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $159,738,359)

166,030,001

Commercial Mortgage Securities - 5.7%

 

ACGS Series 2004-1 Class P, 7.4651% 8/1/19 (n)

602,135

580,684

Americold LLC Trust Series 2010-ARTA Class D, 7.443% 1/14/29 (e)

180,000

185,119

Asset Securitization Corp.:

Series 1996-D2 Class B1A, 8.7597% 2/14/29 (e)(k)

800,000

800,000

Series 1997-D4:

Class B1, 7.525% 4/14/29

210,000

211,673

Class B2, 7.525% 4/14/29

1,498,104

1,518,204

Class B5, 7.525% 4/14/29

129,000

105,555

Series 1997-D5:

Class A2, 6.8296% 2/14/43 (k)

1,399,000

1,429,972

Class A3, 6.8796% 2/14/43 (k)

1,510,000

1,551,495

Class A5, 6.9496% 2/14/43 (k)

256,000

263,176

Class A6, 7.45% 2/14/43 (k)

2,470,000

2,530,690

Class A7, 7.69% 2/14/43 (k)

820,000

827,849

Class PS1, 1.3848% 2/14/43 (k)(m)

5,222,431

75,616

Commercial Mortgage Securities - continued

 

Principal Amount (c)

Value

Banc of America Commercial Mortgage Trust:

sequential payer:

Series 2006-2 Class AAB, 5.7126% 5/10/45 (k)

$ 1,993,802

$ 2,109,544

Series 2006-5:

Class A2, 5.317% 9/10/47

6,257,523

6,312,683

Class A3, 5.39% 9/10/47

2,653,000

2,733,816

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

3,804,000

4,004,056

Series 2007-4 Class A3, 5.7926% 2/10/51 (k)

1,897,000

1,993,051

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

1,098,000

195,249

Series 2007-2:

Class B, 5.8173% 4/10/49 (k)

106,000

34,037

Class C, 5.655% 4/10/49 (k)

281,000

70,156

Class D, 5.655% 4/10/49 (k)

141,000

15,320

Series 2007-3:

Class A3, 5.6235% 6/10/49 (k)

3,176,000

3,301,773

Class A4, 5.6235% 6/10/49 (k)

3,965,000

4,185,962

Series 2008-1 Class D, 6.2484% 2/10/51 (e)(k)

125,000

72,516

Banc of America Commercial Mortgage, Inc.:

sequential payer:

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

4,166,000

4,439,106

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

415,000

418,077

Series 2004-2:

Class A3, 4.05% 11/10/38

288,423

291,648

Class A4, 4.153% 11/10/38

2,412,000

2,501,927

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

1,627,777

1,627,198

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

2,027,692

2,027,988

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

1,472,000

1,472,013

Series 2001-PB1:

Class J, 7.166% 5/11/35 (e)

474,000

470,339

Class K, 6.15% 5/11/35 (e)

885,000

875,084

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

310,000

313,516

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

185,000

145,685

Series 2004-4:

Class K, 4.637% 7/10/42 (e)(k)

300,000

940

Class L, 4.637% 7/10/42 (e)(k)

280,000

560

Series 2004-5 Class G, 5.5535% 11/10/41 (e)(k)

195,000

125,664

Series 2005-1 Class CJ, 5.1861% 11/10/42 (k)

550,000

539,554

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

5,908,000

6,164,968

Series 2005-6 Class AJ, 5.1939% 9/10/47 (k)

300,000

278,810

Banc of America Large Loan Trust floater Series 2010-HLTN Class HLTN, 1.999% 11/15/15 (e)(k)

864,021

790,580

Commercial Mortgage Securities - continued

 

Principal Amount (c)

Value

Banc of America Large Loan, Inc. floater:

Series 2005-MIB1:

Class B, 0.509% 3/15/22 (e)(k)

$ 390,000

$ 376,350

Class C, 0.559% 3/15/22 (e)(k)

1,357,000

1,309,505

Class D, 0.609% 3/15/22 (e)(k)

826,000

797,090

Class E, 0.649% 3/15/22 (e)(k)

684,000

660,060

Class F, 0.719% 3/15/22 (e)(k)

615,784

584,995

Class G, 0.779% 3/15/22 (e)(k)

399,119

371,181

Class J, 1.299% 3/15/22 (e)(k)

438,000

372,300

Class K, 2.249% 3/15/22 (e)(k)

427,499

333,449

Series 2006-BIX1:

Class D, 0.459% 10/15/19 (e)(k)

1,395,514

1,332,716

Class E, 0.489% 10/15/19 (e)(k)

1,385,000

1,301,900

Class F, 0.559% 10/15/19 (e)(k)

3,150,730

2,930,179

Class G, 0.579% 10/15/19 (e)(k)

1,245,579

1,102,337

Bayview Commercial Asset Trust:

floater:

Series 2003-2 Class M1, 1.1072% 12/25/33 (e)(k)

69,265

48,789

Series 2004-1:

Class A, 0.6172% 4/25/34 (e)(k)

1,183,384

983,398

Class B, 2.1572% 4/25/34 (e)(k)

132,674

74,931

Class M1, 0.8172% 4/25/34 (e)(k)

106,522

75,529

Class M2, 1.4572% 4/25/34 (e)(k)

98,412

68,009

Series 2004-2:

Class A, 0.6872% 8/25/34 (e)(k)

964,061

789,675

Class M1, 0.8372% 8/25/34 (e)(k)

162,278

117,946

Series 2004-3:

Class A1, 0.6272% 1/25/35 (e)(k)

2,156,623

1,620,228

Class A2, 0.6772% 1/25/35 (e)(k)

309,473

216,973

Class M1, 0.7572% 1/25/35 (e)(k)

372,283

214,913

Class M2, 1.2572% 1/25/35 (e)(k)

172,508

83,567

Series 2005-2A:

Class A1, 0.5672% 8/25/35 (e)(k)

1,664,374

1,272,043

Class M1, 0.6872% 8/25/35 (e)(k)

82,888

47,722

Class M2, 0.7372% 8/25/35 (e)(k)

136,709

73,301

Class M3, 0.7572% 8/25/35 (e)(k)

75,638

39,983

Class M4, 0.8672% 8/25/35 (e)(k)

69,432

34,706

Series 2005-3A:

Class A1, 0.5772% 11/25/35 (e)(k)

615,107

459,776

Class A2, 0.6572% 11/25/35 (e)(k)

609,568

457,974

Class M1, 0.6972% 11/25/35 (e)(k)

72,752

43,619

Class M2, 0.7472% 11/25/35 (e)(k)

92,366

52,187

Class M3, 0.7672% 11/25/35 (e)(k)

82,666

45,153

Commercial Mortgage Securities - continued

 

Principal Amount (c)

Value

Bayview Commercial Asset Trust: - continued

floater:

Series 2005-3A:

Class M4, 0.8572% 11/25/35 (e)(k)

$ 102,993

$ 49,801

Series 2005-4A:

Class A2, 0.6472% 1/25/36 (e)(k)

1,396,208

989,505

Class B1, 1.6572% 1/25/36 (e)(k)

120,656

21,364

Class M1, 0.7072% 1/25/36 (e)(k)

450,389

249,775

Class M2, 0.7272% 1/25/36 (e)(k)

135,117

68,699

Class M3, 0.7572% 1/25/36 (e)(k)

197,328

92,192

Class M4, 0.8672% 1/25/36 (e)(k)

109,133

48,056

Class M5, 0.9072% 1/25/36 (e)(k)

109,133

40,992

Class M6, 0.9572% 1/25/36 (e)(k)

115,911

31,846

Series 2006-1:

Class A2, 0.6172% 4/25/36 (e)(k)

215,049

157,555

Class M1, 0.6372% 4/25/36 (e)(k)

76,914

43,911

Class M2, 0.6572% 4/25/36 (e)(k)

81,265

43,197

Class M3, 0.6772% 4/25/36 (e)(k)

69,922

34,640

Class M4, 0.7772% 4/25/36 (e)(k)

39,622

17,904

Class M5, 0.8172% 4/25/36 (e)(k)

38,457

15,392

Class M6, 0.8972% 4/25/36 (e)(k)

76,681

28,914

Series 2006-2A:

Class A1, 0.4872% 7/25/36 (e)(k)

3,816,258

2,810,563

Class A2, 0.5372% 7/25/36 (e)(k)

188,804

121,611

Class B1, 1.1272% 7/25/36 (e)(k)

70,690

20,203

Class B3, 2.9572% 7/25/36 (e)(k)

106,803

18,388

Class M1, 0.5672% 7/25/36 (e)(k)

198,094

111,429

Class M2, 0.5872% 7/25/36 (e)(k)

139,765

71,759

Class M3, 0.6072% 7/25/36 (e)(k)

115,932

57,627

Class M4, 0.6772% 7/25/36 (e)(k)

78,285

36,339

Class M5, 0.7272% 7/25/36 (e)(k)

96,220

40,374

Class M6, 0.7972% 7/25/36 (e)(k)

143,562

42,910

Series 2006-3A:

Class B1, 1.0572% 10/25/36 (e)(k)

139,211

9,261

Class B2, 1.6072% 10/25/36 (e)(k)

81,855

1,975

Class M4, 0.6872% 10/25/36 (e)(k)

153,853

20,001

Class M5, 0.7372% 10/25/36 (e)(k)

184,185

19,339

Class M6, 0.8172% 10/25/36 (e)(k)

360,525

27,039

Series 2006-4A:

Class A1, 0.4872% 12/25/36 (e)(k)

791,101

504,880

Class A2, 0.5272% 12/25/36 (e)(k)

4,025,321

2,393,859

Class B1, 0.9572% 12/25/36 (e)(k)

123,077

13,995

Class B2, 1.5072% 12/25/36 (e)(k)

125,452

10,061

Class B3, 2.7072% 12/25/36 (e)(k)

205,732

8,321

Class M1, 0.5472% 12/25/36 (e)(k)

257,498

104,427

Commercial Mortgage Securities - continued

 

Principal Amount (c)

Value

Bayview Commercial Asset Trust: - continued

floater:

Series 2006-4A:

Class M2, 0.5672% 12/25/36 (e)(k)

$ 171,665

$ 62,716

Class M3, 0.5972% 12/25/36 (e)(k)

174,066

56,690

Class M4, 0.6572% 12/25/36 (e)(k)

208,279

55,811

Class M5, 0.6972% 12/25/36 (e)(k)

191,473

34,749

Class M6, 0.7772% 12/25/36 (e)(k)

171,665

24,127

Series 2007-1:

Class A2, 0.5272% 3/25/37 (e)(k)

886,390

487,514

Class B1, 0.9272% 3/25/37 (e)(k)

282,015

25,381

Class B2, 1.4072% 3/25/37 (e)(k)

204,476

11,246

Class B3, 3.6072% 3/25/37 (e)(k)

157,299

3,932

Class M1, 0.5272% 3/25/37 (e)(k)

248,141

89,331

Class M2, 0.5472% 3/25/37 (e)(k)

185,333

52,820

Class M3, 0.5772% 3/25/37 (e)(k)

164,365

36,160

Class M4, 0.6272% 3/25/37 (e)(k)

132,096

23,777

Class M5, 0.6772% 3/25/37 (e)(k)

206,205

30,931

Class M6, 0.7572% 3/25/37 (e)(k)

288,701

34,644

Series 2007-2A:

Class A1, 0.5272% 7/25/37 (e)(k)

808,888

430,473

Class A2, 0.5772% 7/25/37 (e)(k)

755,797

277,499

Class B1, 1.8572% 7/25/37 (e)(k)

232,764

10,020

Class B2, 2.5072% 7/25/37 (e)(k)

159,568

2,759

Class M1, 0.6272% 7/25/37 (e)(k)

265,393

47,276

Class M2, 0.6672% 7/25/37 (e)(k)

145,022

19,742

Class M3, 0.7472% 7/25/37 (e)(k)

147,044

17,477

Class M4, 0.9072% 7/25/37 (e)(k)

290,315

26,798

Class M5, 1.0072% 7/25/37 (e)(k)

255,918

19,590

Class M6, 1.2572% 7/25/37 (e)(k)

324,488

19,667

Series 2007-3:

Class A2, 0.5472% 7/25/37 (e)(k)

820,213

464,863

Class B1, 1.2072% 7/25/37 (e)(k)

199,358

16,694

Class B2, 1.8572% 7/25/37 (e)(k)

498,886

28,533

Class B3, 4.2572% 7/25/37 (e)(k)

144,001

3,892

Class M1, 0.5672% 7/25/37 (e)(k)

178,143

38,967

Class M2, 0.5972% 7/25/37 (e)(k)

190,936

35,818

Class M3, 0.6272% 7/25/37 (e)(k)

300,869

49,397

Class M4, 0.7572% 7/25/37 (e)(k)

472,409

70,821

Class M5, 0.8572% 7/25/37 (e)(k)

245,038

33,426

Class M6, 1.0572% 7/25/37 (e)(k)

186,848

19,931

Series 2007-4A:

Class B1, 2.8072% 9/25/37 (e)(k)

311,771

4,677

Class B2, 3.7072% 9/25/37 (e)(k)

179,956

1,800

Class M1, 1.2072% 9/25/37 (e)(k)

299,791

28,480

Commercial Mortgage Securities - continued

 

Principal Amount (c)

Value

Bayview Commercial Asset Trust: - continued

floater:

Series 2007-4A:

Class M2, 1.3072% 9/25/37 (e)(k)

$ 299,791

$ 22,484

Class M4, 1.8572% 9/25/37 (e)(k)

766,764

30,671

Class M5, 2.0072% 9/25/37 (e)(k)

766,764

23,003

Class M6, 2.2072% 9/25/37 (e)(k)

768,253

15,365

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

3,706,733

129,736

Series 2007-5A, Class IO, 4.1484% 10/25/37 (e)(k)(m)

9,055,091

871,100

Bear Stearns Commercial Mortgage Securities, Inc. Series 2006-PW11 Class AJ, 5.4522% 3/11/39 (k)

450,000

389,238

Bear Stearns Commercial Mortgage Securities Trust:

floater:

Series 2006-BBA7:

Class H, 0.899% 3/15/19 (e)(k)

425,171

406,496

Class J, 1.099% 3/15/19 (e)(k)

407,118

348,443

Series 2007-BBA8:

Class D, 0.499% 3/15/22 (e)(k)

655,330

600,322

Class E, 0.549% 3/15/22 (e)(k)

3,607,157

3,279,126

Class F, 0.599% 3/15/22 (e)(k)

2,235,922

1,990,107

Class G, 0.649% 3/15/22 (e)(k)

537,549

472,377

Class H, 0.799% 3/15/22 (e)(k)

655,330

562,772

Class J, 0.949% 3/15/22 (e)(k)

655,330

516,899

sequential payer:

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

184,823

185,610

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

620,187

633,442

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

600,000

593,015

Series 2006-T22 Class AJ, 5.5329% 4/12/38 (k)

400,000

375,772

Series 2007-PW16 Class A4, 5.7153% 6/11/40 (k)

1,112,000

1,195,144

Series 1999-C1:

Class G, 5.64% 2/14/31 (e)

70,000

71,023

Class I, 5.64% 2/14/31 (e)

198,779

134,389

Series 2003-T10 Class B, 4.84% 3/13/40

1,000,000

1,016,739

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

6,714,000

7,038,474

Series 2006-PW14 Class X2, 0.6503% 12/11/38 (e)(k)(m)

21,680,723

294,335

Series 2006-T22:

Class A4, 5.5329% 4/12/38 (k)

237,000

264,867

Class B, 5.5329% 4/12/38 (e)(k)

200,000

163,290

Series 2006-T24 Class X2, 0.4418% 10/12/41 (e)(k)(m)

3,435,357

29,589

Series 2007-BBA8:

Class K, 1.449% 3/15/22 (e)(k)

120,000

65,491

Commercial Mortgage Securities - continued

 

Principal Amount (c)

Value

Bear Stearns Commercial Mortgage Securities Trust: - continued

Series 2007-BBA8:

Class L, 2.149% 3/15/22 (e)(k)

$ 253,498

$ 83,451

Series 2007-PW16:

Class B, 5.7153% 6/11/40 (e)(k)

304,000

138,220

Class C, 5.7153% 6/11/40 (e)(k)

255,000

84,150

Class D, 5.7153% 6/11/40 (e)(k)

255,000

63,750

Series 2007-PW18 Class X2, 0.315% 6/11/50 (e)(k)(m)

165,852,612

1,606,448

Series 2007-T28:

Class A1, 5.422% 9/11/42

7,737

7,734

Class X2, 0.1653% 9/11/42 (e)(k)(m)

72,025,455

505,835

Beckman Coulter, Inc. sequential payer Series 2000-A Class A, 7.4975% 12/15/18 (e)

331,305

329,649

C-BASS Trust floater Series 2006-SC1 Class A, 0.5272% 5/25/36 (e)(k)

765,717

545,213

CDC Commercial Mortgage Trust Series 2002-FX1:

Class G, 6.625% 5/15/35 (e)

2,235,000

2,317,248

Class XCL, 2.2133% 5/15/35 (e)(k)(m)

7,869,731

200,418

Chase Commercial Mortgage Securities Corp.:

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

800,000

656,738

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

489,102

164,092

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

182,403

187,862

Citigroup Commercial Mortgage Trust:

floater Series 2006-FL2:

Class F, 0.5578% 8/15/21 (e)(k)

311,961

307,380

Class G, 0.5778% 8/15/21 (e)(k)

542,222

525,622

Class H, 0.6178% 8/15/21 (e)(k)

433,548

401,439

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

9,955,000

10,809,209

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

2,832,883

2,662,157

Series 2007-C6:

Class A1, 5.622% 12/10/49 (k)

6,710,619

6,708,431

Class A4, 5.6972% 12/10/49 (k)

5,830,000

6,314,858

Series 2007-FL3A Class A2, 0.389% 4/15/22 (e)(k)

6,878,000

6,477,790

Series 2008-C7 Class A2B, 6.072% 12/10/49 (k)

1,902,000

1,959,536

Citigroup/Deutsche Bank Commercial Mortgage Trust:

sequential payer Series 2007-CD4 Class A4, 5.322% 12/11/49

14,623,000

15,118,530

Series 2006-CD2 Class VPM2, 5.6179% 1/15/46 (e)(k)

320,000

278,670

Commercial Mortgage Securities - continued

 

Principal Amount (c)

Value

Citigroup/Deutsche Bank Commercial Mortgage Trust: - continued

Series 2007-CD4:

Class A3, 5.293% 12/11/49

$ 1,852,000

$ 1,964,153

Class C, 5.476% 12/11/49

3,581,000

487,854

Claregold Trust Series 2007-2A:

Class F, 5.01% 5/15/44 (e)(k)

CAD

138,000

100,193

Class G, 5.01% 5/15/44 (e)(k)

CAD

30,000

19,777

Class H, 5.01% 5/15/44 (e)(k)

CAD

20,000

11,298

Class J, 5.01% 5/15/44 (e)(k)

CAD

20,000

10,342

Class K, 5.01% 5/15/44 (e)(k)

CAD

10,000

4,360

Class L, 5.01% 5/15/44 (e)(k)

CAD

36,000

14,454

Class M, 5.01% 5/15/44 (e)(k)

CAD

165,000

61,132

Cobalt CMBS Commercial Mortgage Trust:

sequential payer Series 2007-C3 Class A3, 5.8157% 5/15/46 (k)

1,902,000

1,986,274

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

5,706,000

456,480

COMM pass-thru certificates:

floater:

Series 2005-F10A:

Class G, 0.799% 4/15/17 (e)(k)

80,231

71,496

Class H, 0.869% 4/15/17 (e)(k)

171,562

140,873

Class J, 1.099% 4/15/17 (e)(k)

131,565

94,727

Series 2005-FL11:

Class B, 0.499% 11/15/17 (e)(k)

175,588

161,541

Class C, 0.549% 11/15/17 (e)(k)

1,451,600

1,320,956

Class D, 0.589% 11/15/17 (e)(k)

75,490

67,941

Class E, 0.639% 11/15/17 (e)(k)

268,371

238,851

Class F, 0.699% 11/15/17 (e)(k)

185,934

163,621

Class G, 0.749% 11/15/17 (e)(k)

128,880

112,125

Series 2006-FL12 Class AJ, 0.379% 12/15/20 (e)(k)

2,710,000

2,457,897

sequential payer:

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

550,000

529,971

Series 2004-RS1 Class A, 5.648% 3/3/41 (e)

912,767

871,692

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

18,749

18,814

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

5,420,000

5,604,947

Series 2006-CN2A:

Class A2FX, 5.449% 2/5/19 (e)

3,306,000

3,211,425

Class AJFX, 5.478% 2/5/19 (e)

5,750,000

5,708,468

Series 2007-C9 Class A4, 5.8137% 12/10/49 (k)

4,209,000

4,603,303

Series 2001-J2A Class F, 6.9937% 7/16/34 (e)(k)

199,000

203,467

Series 2005 C6 Class B, 5.2418% 6/10/44 (k)

905,000

617,232

Commercial Mortgage Securities - continued

 

Principal Amount (c)

Value

COMM pass-thru certificates: - continued

Series 2006-C8 Class XP, 0.4626% 12/10/46 (k)(m)

$ 17,446,965

$ 168,747

Commercial Mortgage Acceptance Corp.:

Series 1998-C1:

Class F, 6.23% 7/15/31 (e)

41,101

42,357

Class G, 6.21% 7/15/31 (e)

554,000

567,334

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

166,049

172,533

Commercial Mortgage Asset Trust:

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

550,000

465,719

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

302,000

217,057

Communication Mortgage Trust Series 2011-THL:

Class E, 5.949% 6/9/28 (e)

440,000

436,671

Class F, 4.867% 6/9/28 (e)

645,000

527,598

Credit Suisse Commercial Mortgage Trust:

sequential payer:

Series 2007-C2:

Class A2, 5.448% 1/15/49 (k)

9,909,444

9,913,379

Class A3, 5.542% 1/15/49 (k)

3,804,000

3,888,810

Series 2007-C3 Class A4, 5.7135% 6/15/39 (k)

28,438,000

29,387,460

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

6,988,018

7,142,132

Series 2006-C5 Class ASP, 0.6678% 12/15/39 (k)(m)

12,142,531

154,417

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

1,722,000

1,771,936

Credit Suisse First Boston Mortgage Capital Certificates floater Series 2007-TF2A Class B, 0.599% 4/15/22 (e)(k)

6,783,000

4,883,760

Credit Suisse First Boston Mortgage Securities Corp.:

floater Series 2006-TF2A Class KER, 0.849% 9/15/21 (e)(k)

259,777

168,855

sequential payer:

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

41,885

41,975

Series 2004-C1:

Class A3, 4.321% 1/15/37

136,724

137,420

Class A4, 4.75% 1/15/37

884,000

927,026

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

929,000

978,820

Series 1998-C1:

Class F, 6% 5/17/40 (e)

2,109,000

2,159,719

Class H, 6% 5/17/40 (e)

90,318

7,680

Series 1998-C2:

Class F, 6.75% 11/15/30 (e)

1,156,000

1,201,535

Class G, 6.75% 11/15/30 (e)

180,000

181,310

Series 2001-CK6 Class AX, 0.7797% 8/15/36 (k)(m)

1,138,991

2,204

Commercial Mortgage Securities - continued

 

Principal Amount (c)

Value

Credit Suisse First Boston Mortgage Securities Corp.: - continued

Series 2001-CKN5 Class AX, 1.7172% 9/15/34 (e)(k)(m)

$ 3,218,660

$ 5,198

Series 2003-C3:

Class D, 4.131% 5/15/38

120,000

117,224

Class J, 4.231% 5/15/38 (e)

300,000

164,010

Series 2006-C1 Class A3, 5.4197% 2/15/39 (k)

7,052,699

7,440,217

Credit Suisse Mortgage Capital Certificates:

floater Series 2007-TFL1:

Class B, 0.399% 2/15/22 (e)(k)

721,000

605,640

Class C:

0.419% 2/15/22 (e)(k)

1,864,711

1,501,588

0.519% 2/15/22 (e)(k)

665,993

498,903

Class F, 0.569% 2/15/22 (e)(k)

1,331,815

972,097

Class L, 2.149% 2/15/22 (e)(k)

100,000

41,000

sequential payer Series 2007-C1 Class A2, 5.268% 2/15/40

8,418,959

8,409,049

Series 2007-C1:

Class ASP, 0.3867% 2/15/40 (k)(m)

29,709,955

248,940

Class B, 5.487% 2/15/40 (e)(k)

2,907,000

436,050

CRESI Finance Ltd. Partnership floater Series 2006-A Class E, 1.9072% 3/25/17 (e)(k)

160,000

112,800

CRESIX Finance Ltd. Series 2006-AA Class F, 4.4572% 3/25/17 (e)(k)

260,000

170,300

DBUBS Mortgage Trust Series 2011-LC1A:

Class D, 5.557% 11/10/46 (e)(k)

500,000

411,834

Class E, 5.557% 11/10/46 (e)(k)

260,000

210,645

Class F, 5.557% 11/10/46 (e)(k)

710,000

445,017

Class XB, 0.2464% 11/10/46 (e)(k)(m)

20,920,000

320,787

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

400,000

323,758

DLJ Commercial Mortgage Corp.:

Series 1998-CG1 Class B4, 7.2193% 6/10/31 (e)(k)

891,000

934,799

Series 2000-CKP1 Class B3, 7.9041% 11/10/33 (k)

230,000

227,869

Extended Stay America Trust:

Series 2010-ESHA Class D, 5.4983% 11/5/27 (e)

1,500,000

1,485,812

Series 2010-ESHA, Class C4, 4.8603% 11/5/27 (e)

320,000

321,387

FHMLC Multi-class participation certificates guaranteed:

Series K013 Class X3, 2.7897% 1/25/43 (k)(m)

820,000

141,658

Series KAIV Class X2, 3.6146% 6/25/46 (k)(m)

420,000

88,203

Commercial Mortgage Securities - continued

 

Principal Amount (c)

Value

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

Class H, 7.036% 12/12/33 (e)

$ 770,000

$ 768,497

Class K, 6% 12/12/33 (e)

520,000

517,253

First Union National Bank-Bank of America Commercial Mortgage Trust Series 2001-C1 Class G, 6.936% 3/15/33 (e)

1,692,000

1,687,643

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

443,000

463,168

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

200,000

224,034

Freddie Mac Multi-class participation certificates guaranteed:

Series K011 Class X3, 2.5747% 12/25/43 (k)(m)

1,640,000

263,591

Series K012 Class X3, 2.2876% 1/25/41 (k)(m)

1,800,000

248,780

FREMF Mortgage Trust:

Series 2010-K9 Class B, 5.1636% 9/25/45 (e)(k)

1,290,000

1,209,647

Series 2011-K10 Class B, 4.5977% 11/25/49 (e)(k)

240,000

215,011

Series 2011-K11 Class B, 4.4199% 12/25/48 (e)(k)

750,000

660,701

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

1,417,411

1,304,018

GE Capital Commercial Mortgage Corp.:

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

11,404,000

11,745,162

Series 2001-1 Class X1, 1.2539% 5/15/33 (e)(k)(m)

2,349,967

20,938

Series 2002-1A Class H, 7.1095% 12/10/35 (e)(k)

65,000

64,748

Series 2007-C1 Class XP, 0.192% 12/10/49 (k)(m)

25,541,983

125,973

GMAC Commercial Mortgage Securities, Inc.:

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

411,904

157,819

Series 1997-C2:

Class F, 6.75% 4/15/29 (k)

670,210

698,347

Class G, 6.75% 4/15/29 (k)

504,000

544,397

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

235,640

241,551

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

385,000

176,276

Series 1999-C3:

Class G, 6.974% 8/15/36 (e)

64,795

64,350

Class J, 6.974% 8/15/36

226,000

217,056

Class K, 6.974% 8/15/36

427,000

134,277

Series 2000-C1 Class K, 7% 3/15/33

90,000

61,223

Series 2005-C1 Class X2, 0.5531% 5/10/43 (k)(m)

6,942,902

21,349

Greenwich Capital Commercial Funding Corp.:

floater Series 2006-FL4 Class B, 0.4375% 11/5/21 (e)(k)

715,000

688,242

Commercial Mortgage Securities - continued

 

Principal Amount (c)

Value

Greenwich Capital Commercial Funding Corp.: - continued

sequential payer:

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

$ 490,000

$ 497,963

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

3,804,000

3,901,424

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

5,530,000

5,837,606

Series 2002-C1:

Class H, 5.903% 1/11/35 (e)

97,000

97,004

Class J, 6.306% 1/11/35 (e)

760,000

739,698

Series 2003-C2 Class J, 5.234% 1/5/36 (e)(k)

250,000

213,195

Series 2005-GG3 Class XP, 0.6577% 8/10/42 (e)(k)(m)

24,279,183

35,108

Series 2006-GG7:

Class A3, 5.8769% 7/10/38 (k)

5,013,000

5,010,724

Class A4, 5.8769% 7/10/38 (k)

9,540,000

10,456,107

Series 2007-GG11 Class A1, 0.2869% 12/10/49 (e)(k)(m)

40,350,265

282,452

GS Mortgage Securities Corp. II:

floater:

Series 2006-FL8A:

Class E, 0.6175% 6/6/20 (e)(k)

431,608

404,668

Class F, 0.6875% 6/6/20 (e)(k)

835,001

774,782

Class J, 1.9975% 6/6/20 (e)(k)

250,000

200,671

Series 2007-EOP:

Class C, 2.1455% 3/6/20 (e)(k)

1,994,000

1,916,760

Class D, 2.3636% 3/6/20 (e)(k)

4,004,000

3,828,881

Class F, 2.8433% 3/6/20 (e)(k)

164,000

156,991

Class G, 3.0177% 3/6/20 (e)(k)

81,000

77,546

Class H, 3.5846% 3/6/20 (e)(k)

60,000

57,682

Class J, 4.4568% 3/6/20 (e)(k)

86,000

83,322

Class L, 6.4193% 3/6/20 (e)(k)

400,000

392,746

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

507,023

509,347

Series 1997-GL:

Class G, 7.5095% 7/13/30 (k)

797,117

877,227

Class H, 7.7995% 7/13/30 (e)(k)

230,000

244,950

Series 2005-GG4 Class XP, 0.7107% 7/10/39 (e)(k)(m)

31,360,336

118,417

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

6,095,519

6,143,759

Series 2006-RR2:

Class M, 5.6187% 6/23/46 (e)(k)

100,000

0

Class N, 5.6187% 6/23/46 (e)(k)

100,000

0

Commercial Mortgage Securities - continued

 

Principal Amount (c)

Value

GS Mortgage Securities Corp. II: - continued

Series 2010-C1:

Class D, 6.0005% 8/10/43 (e)(k)

$ 290,000

$ 236,447

Class E, 4% 8/10/43 (e)

1,200,000

697,800

Class X, 1.57% 8/10/43 (e)(k)(m)

6,270,494

534,873

GS Mortgage Securities Corp. Trust Series 2011-ALF Class E, 4.953% 2/10/21 (e)

500,000

469,700

GS Mortgage Securities Trust:

sequential payer:

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

928,100

932,740

Series 2007-GG10 Class A2, 5.778% 8/10/45

12,952,733

13,179,303

Series 2010-C2 Class XA, 0.6918% 12/10/43 (e)(k)

5,607,075

153,634

Series 2011-GC5 Class C, 5.475% 8/10/44 (e)(k)

1,050,000

853,470

HVB Mortgage Capital Corp. floater Series 2003-FL1A Class K, 3.0978% 9/10/22 (e)(k)

1,120,000

1,091,589

JPMorgan Chase Commercial Mortgage Securities Corp.:

floater Series 2011-CCHP Class E, 5.15% 7/15/28 (e)(k)

500,000

485,327

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

201,000

199,893

Series 2003-C1:

Class CM1, 5.5061% 1/12/37 (e)(k)

201,217

196,086

Class D, 5.192% 1/12/37

270,000

262,570

Series 2009-IWST Class D, 7.4453% 12/5/27 (e)(k)

1,025,000

1,010,376

Series 2010-CNTR Class D, 6.1838% 8/5/32 (e)(k)

695,000

623,263

Series 2011-C4 Class E, 5.3889% 7/15/46 (e)(k)

370,000

270,247

JPMorgan Chase Commercial Mortgage Securities Trust:

floater:

Series 2006-FL1A Class E, 0.619% 2/15/20 (e)(k)

144,283

133,576

Series 2006-FLA2:

Class A2, 0.379% 11/15/18 (e)(k)

8,393,781

7,890,155

Class B, 0.419% 11/15/18 (e)(k)

1,079,578

982,416

Class C, 0.459% 11/15/18 (e)(k)

767,010

682,639

Class D, 0.479% 11/15/18 (e)(k)

233,648

203,274

Class E, 0.529% 11/15/18 (e)(k)

337,049

283,121

Class F, 0.579% 11/15/18 (e)(k)

504,649

418,859

Class G, 0.609% 11/15/18 (e)(k)

438,498

350,798

Class H, 0.749% 11/15/18 (e)(k)

337,125

256,215

sequential payer:

Series 2006-CB14 Class A3B, 5.4927% 12/12/44 (k)

4,674,131

4,838,048

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

1,210,000

1,327,917

Commercial Mortgage Securities - continued

 

Principal Amount (c)

Value

JPMorgan Chase Commercial Mortgage Securities Trust: - continued

sequential payer:

Series 2006-LDP9:

Class A2, 5.134% 5/15/47 (k)

$ 756,883

$ 778,422

Class A3, 5.336% 5/15/47

9,409,000

9,776,007

Series 2007-CB19 Class A4, 5.7385% 2/12/49 (k)

6,670,000

7,101,642

Series 2007-LD11 Class A2, 5.8017% 6/15/49 (k)

5,323,882

5,392,342

Series 2007-LDPX:

Class A2 S, 5.305% 1/15/49

4,299,000

4,325,344

Class A3, 5.42% 1/15/49

25,732,000

27,171,011

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

170,000

130,050

Series 2004-LN2 Class D, 5.2226% 7/15/41 (k)

420,000

300,838

Series 2005-CB13 Class E, 5.3476% 1/12/43 (e)(k)

963,000

37,919

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

10,011,998

10,267,204

Series 2005-LDP5 Class AJ, 5.3264% 12/15/44 (k)

360,000

329,426

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

533,290

537,543

Series 2007-CB18 Class A1, 5.32% 6/12/47 (k)

2,397

2,395

Series 2007-CB19:

Class B, 5.7385% 2/12/49 (k)

165,000

59,904

Class C, 5.7385% 2/12/49 (k)

424,000

128,516

Class D, 5.7385% 2/12/49 (k)

447,000

100,333

Series 2007-LDP10:

Class BS, 5.437% 1/15/49 (k)

364,000

48,976

Class CS, 5.466% 1/15/49 (k)

157,000

19,049

Class ES, 5.5379% 1/15/49 (e)(k)

983,000

52,491

Series 2010-C2:

Class D, 5.5308% 11/15/43 (e)(k)

645,000

558,444

Class XB, 0.7537% 11/15/43 (e)(k)(m)

3,600,000

135,538

JPMorgan Chase Commercial Mortgage Security Trust Series 2011-C5:

Class B. 5.3139% 8/15/46 (e)(k)

980,000

926,494

Class C, 5.3139% 8/15/46 (e)(k)

250,000

196,754

JPMorgan Commercial Mortgage Finance Corp.:

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

662,943

677,029

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

72,111

72,131

LB Commercial Conduit Mortgage Trust:

sequential payer Series 2007-C3 Class A4, 5.942% 7/15/44 (k)

21,615,000

23,454,026

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

349,999

357,221

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

583,000

602,349

LB-UBS Commercial Mortgage Trust:

sequential payer:

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

150,000

142,628

Commercial Mortgage Securities - continued

 

Principal Amount (c)

Value

LB-UBS Commercial Mortgage Trust: - continued

sequential payer:

Series 2005-C3 Class AJ, 4.843% 7/15/40

$ 900,000

$ 836,113

Series 2005-C7:

Class AJ, 5.323% 11/15/40

1,210,000

1,116,377

Class AM, 5.263% 11/15/40 (k)

67,000

70,764

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

257,912

260,710

Series 2006-C6 Class A2, 5.262% 9/15/39 (k)

834,845

835,416

Series 2006-C7:

Class A2, 5.3% 11/15/38

1,329,460

1,331,769

Class A3, 5.347% 11/15/38

1,417,000

1,519,418

Class AM, 5.378% 11/15/38

160,000

143,734

Series 2007-C1:

Class A3, 5.398% 2/15/40

10,000,000

10,328,030

Class A4, 5.424% 2/15/40

5,434,000

5,839,980

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

3,967,000

4,166,631

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

9,597,104

9,723,930

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

527,599

530,810

Series 2002-C1 Class J, 6.95% 3/15/34 (e)(k)

86,000

86,194

Series 2003-C7 Class L, 5.1147% 7/15/37 (e)(k)

284,000

169,050

Series 2004-C2 Class G, 4.595% 3/15/36 (e)(k)

225,000

190,002

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

740,000

720,841

Series 2005-C3 Class XCP, 0.7121% 7/15/40 (k)(m)

4,326,994

15,456

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

866,000

631,339

Series 2006-C4:

Class AJ, 6.0868% 6/15/38 (k)

480,000

382,763

Class AM, 6.0868% 6/15/38 (k)

500,000

503,953

Series 2006-C6 Class XCP, 0.6749% 9/15/39 (k)(m)

8,109,240

101,455

Series 2007-C1 Class XCP, 0.4209% 2/15/40 (k)(m)

3,265,697

29,123

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

2,376,000

2,543,335

Series 2007-C7:

Class A3, 5.866% 9/15/45

2,029,000

2,172,848

Class XCP, 0.2822% 9/15/45 (k)(m)

139,001,656

1,106,314

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

Class D, 0.479% 9/15/21 (e)(k)

608,683

535,641

Class E, 0.539% 9/15/21 (e)(k)

2,196,145

1,910,646

Class F, 0.589% 9/15/21 (e)(k)

1,143,094

983,061

Class G, 0.609% 9/15/21 (e)(k)

2,258,211

1,783,987

Class H, 0.649% 9/15/21 (e)(k)

582,579

436,934

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

3,377,000

3,381,306

Lstar Commercial Mortgage Trust:

Series 2011-1 Class D, 5.728% 6/25/43 (e)(k)

310,000

226,333

Commercial Mortgage Securities - continued

 

Principal Amount (c)

Value

Lstar Commercial Mortgage Trust: - continued

Series 2011-1 Class B, 5.728% 6/25/43 (e)(k)

$ 540,000

$ 514,237

Merrill Lynch Financial Asset, Inc. Series 2006-CA20 Class E, 5.4341% 10/12/39 (e)(k)

CAD

320,000

276,530

Merrill Lynch Mortgage Investors Trust:

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

509,553

527,938

Series 1998-C3 Class E, 6.8299% 12/15/30 (k)

173,000

180,442

Merrill Lynch Mortgage Trust:

Series 05-LC1 Class AJ, 5.3256% 1/12/44 (k)

220,000

201,960

Series 2004-MKB1 Class F, 5.6507% 2/12/42 (e)(k)

180,000

169,262

Series 2005-CKI1 Class A3, 5.2202% 11/12/37 (k)

1,288,965

1,302,826

Series 2005-LC1 Class F, 5.3796% 1/12/44 (e)(k)

1,655,000

836,621

Series 2006-C1:

Class A2, 5.6206% 5/12/39 (k)

1,840,323

1,887,671

Class AJ, 5.6656% 5/12/39 (k)

160,000

131,482

Class AM, 5.6656% 5/12/39 (k)

100,000

102,209

Series 2007-C1 Class A4, 5.8279% 6/12/50 (k)

7,199,517

7,781,670

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

4,059,000

4,357,953

Merrill Lynch-CFC Commercial Mortgage Trust:

floater Series 2006-4 Class A2FL, 0.363% 12/12/49 (k)

375,876

374,242

sequential payer:

Series 2006-1 CLass A3, 5.4769% 2/12/39 (k)

2,024,000

2,058,764

Series 2006-4:

Class A2, 5.112% 12/12/49 (k)

455,543

455,120

Class ASB, 5.133% 12/12/49 (k)

1,636,000

1,730,590

Series 2007-5:

Class A3, 5.364% 8/12/48

11,417,000

11,801,764

Class A4, 5.378% 8/12/48

76,000

78,105

Class B, 5.479% 8/12/48

5,706,000

2,032,529

Series 2007-6:

Class A1, 5.175% 3/12/51

6,791

6,785

Class A4, 5.485% 3/12/51 (k)

14,650,000

15,042,400

Series 2007-7 Class A4, 5.7419% 6/12/50 (k)

6,656,000

6,935,885

Series 2006-3 Class ASB, 5.382% 7/12/46 (k)

7,876,757

8,259,450

Series 2006-4 Class XP, 0.6162% 12/12/49 (k)(m)

28,864,465

502,704

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

1,902,000

585,962

Series 2007-7 Class B, 5.7419% 6/12/50 (k)

166,000

24,900

Series 2007-8 Class A3, 5.966% 8/12/49 (k)

1,640,000

1,765,911

Morgan Stanley Capital I Trust:

floater:

Series 2006-XLF:

Class C, 1.449% 7/15/19 (e)(k)

357,716

211,052

Commercial Mortgage Securities - continued

 

Principal Amount (c)

Value

Morgan Stanley Capital I Trust: - continued

floater:

Class H, 0.629% 7/15/19 (e)(k)

$ 142,675

$ 142,335

Class J, 0.679% 7/15/19 (e)(k)

354,000

314,216

Series 2007-XCLA Class A1, 0.449% 7/17/17 (e)(k)

277,997

255,758

Series 2007-XLFA:

Class C, 0.409% 10/15/20 (e)(k)

1,092,000

1,008,959

Class D, 0.439% 10/15/20 (e)(k)

667,354

606,595

Class E, 0.499% 10/15/20 (e)(k)

834,661

750,323

Class F, 0.549% 10/15/20 (e)(k)

500,899

430,250

Class G, 0.589% 10/15/20 (e)(k)

619,188

525,663

Class H, 0.679% 10/15/20 (e)(k)

389,758

291,911

Class J, 0.829% 10/15/20 (e)(k)

228,006

136,566

Class MHRO, 0.939% 10/15/20 (e)(k)

594,748

487,693

Class NHRO, 1.139% 10/15/20 (e)(k)

902,610

722,088

sequential payer:

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

299,816

298,038

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

2,024,660

2,050,902

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

620,000

603,517

Series 2007-HQ11 Class A31, 5.439% 2/12/44 (k)

964,000

1,004,424

Series 2007-IQ13:

Class A1, 5.05% 3/15/44

45,321

45,301

Class A4, 5.364% 3/15/44

10,000,000

10,422,780

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

95,433

95,364

Series 1997-RR Class F, 7.4009% 4/30/39 (e)(k)

162,490

151,116

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

205,756

94,648

Series 1999-WF1:

Class N, 5.91% 11/15/31 (e)

210,000

173,311

Class O, 5.91% 11/15/31 (e)

197,950

53,179

Series 2003-IQ6 Class X2, 0.5872% 12/15/41 (e)(k)(m)

11,254,806

180

Series 2004-IQ7 Class E, 5.4081% 6/15/38 (e)(k)

120,000

81,600

Series 2004-RR2 Class C, 5.88% 10/28/33 (e)(k)

280,000

204,400

Series 2005-IQ9 Class X2, 1.0813% 7/15/56 (e)(k)(m)

16,930,454

34,352

Series 2006-HQ10 Class X2, 0.4922% 11/12/41 (e)(k)(m)

8,845,165

48,127

Series 2006-HQ8 Class A3, 5.4703% 3/12/44 (k)

891,614

897,150

Series 2006-IQ11:

Class A3, 5.6935% 10/15/42 (k)

2,033,257

2,092,513

Class A4, 5.7295% 10/15/42 (k)

570,000

633,383

Series 2006-IQ12 Class AMFX, 5.37% 12/15/43

719,000

665,722

Commercial Mortgage Securities - continued

 

Principal Amount (c)

Value

Morgan Stanley Capital I Trust: - continued

Series 2006-T23 Class A3, 5.8123% 8/12/41 (k)

$ 972,000

$ 987,127

Series 2007-HQ12 Class A2, 5.5905% 4/12/49 (k)

11,654,870

11,855,544

Series 2007-IQ14:

Class A4, 5.692% 4/15/49 (k)

2,852,000

2,972,782

Class B, 5.7222% 4/15/49 (k)

469,000

98,269

Series 2011-C1:

Class D, 5.2557% 9/15/47 (e)(k)

590,000

480,351

Class E, 5.2557% 9/15/47 (e)(k)

573,100

441,953

Series 2011-C2:

Class D, 5.3189% 6/15/44 (e)(k)

580,000

473,390

Class E, 5.3189% 6/15/44 (e)(k)

600,000

460,368

Class F, 5.3189% 6/15/44 (e)(k)

550,000

371,652

Class XB, 0.4651% 6/15/44 (e)(k)(m)

9,001,008

267,960

Series 2011-C3:

Class D, 5.357% 7/15/49 (e)

1,130,000

888,704

Class E, 5.357% 7/15/49 (e)(k)

400,000

273,765

Morgan Stanley Dean Witter Capital I Trust:

Series 2000-PRIN Class C, 7.9023% 2/23/34 (k)

466,000

520,481

Series 2001-TOP3 Class E, 7.3283% 7/15/33 (e)(k)

150,000

127,265

Series 2003-TOP9 Class E, 5.7302% 11/13/36 (e)(k)

78,000

75,946

NationsLink Funding Corp.:

Series 1998-2:

Class F, 7.105% 8/20/30 (e)

499,681

519,703

Class G, 5% 8/20/30 (e)

361,875

366,217

Class J, 5% 8/20/30 (e)

195,000

184,626

Series 1999-SL Class X, 76.44% 11/10/30 (k)(m)

138,935

121,221

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

1,050,000

1,077,590

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

741,551

759,645

RBSCF Trust Series 2010-MB1 Class D, 4.6717% 4/15/24 (e)(k)

480,000

440,625

Real Estate Asset Liquidity Trust:

Series 2006-2:

Class F, 4.456% 9/12/38 (e)

CAD

107,000

85,633

Class G, 4.456% 9/12/38 (e)

CAD

54,000

41,323

Class H, 4.456% 9/12/38 (e)

CAD

36,000

25,777

Class J, 4.456% 9/12/38 (e)

CAD

36,000

24,059

Class K, 4.456% 9/12/38 (e)

CAD

18,000

10,586

Class L, 4.456% 9/12/38 (e)

CAD

26,000

14,200

Class M, 4.456% 9/12/38 (e)

CAD

128,859

35,375

Commercial Mortgage Securities - continued

 

Principal Amount (c)

Value

Real Estate Asset Liquidity Trust: - continued

Series 2007-1:

Class F, 4.57% 4/12/23

CAD

$ 126,000

$ 90,783

Class G, 4.57% 4/12/23

CAD

42,000

28,967

Class H, 4.57% 4/12/23

CAD

42,000

27,740

Class J, 4.57% 4/12/23

CAD

42,000

26,575

Class K, 4.57% 4/12/23

CAD

21,000

12,735

Class L, 4.57% 4/12/23

CAD

63,000

36,630

Class M, 4.57% 4/12/23

CAD

185,000

48,345

Salomon Brothers Mortgage Securities VII, Inc. Series 2001-MMA:

Class E3, 6.5% 2/18/34 (e)(k)

200,000

209,013

Class E5, 6.5% 2/18/34 (e)(k)

900,000

907,646

Structured Asset Securities Corp. Series 1997-LLI:

Class D, 7.15% 10/12/34

112,823

112,973

Class F, 7.3% 10/12/34 (e)

473,000

473,231

TIAA Seasoned Commercial Mortgage Trust:

sequential payer Series 2007-C4 Class AJ, 5.9076% 8/15/39 (k)

170,000

160,250

Series 2007-C4 Class F, 5.9076% 8/15/39 (k)

820,000

554,435

TimberStar Trust I Series 2006-1 Class F, 7.5296% 10/15/36 (e)

270,000

247,862

UBS Commercial Mortgage Trust Series 2007-FL1:

Class F, 0.824% 7/15/24 (e)(k)

110,000

73,537

Class G, 0.824% 7/15/24 (e)(k)

200,000

122,703

Vornado DP LLC Series 2010-VNO Class D, 6.3555% 9/13/28 (e)

180,000

169,950

Wachovia Bank Commercial Mortgage Trust:

floater:

Series 2006-WL7A:

Class E, 0.5233% 9/15/21 (e)(k)

1,770,598

1,342,087

Class F, 0.5833% 9/15/21 (e)(k)

1,877,987

1,335,221

Class G, 0.6033% 9/15/21 (e)(k)

1,779,101

1,211,541

Class J, 0.8433% 9/15/21 (e)(k)

395,545

241,672

Series 2007-WHL8:

Class AP1, 0.949% 6/15/20 (e)(k)

140,220

126,198

Class AP2, 1.049% 6/15/20 (e)(k)

235,007

206,806

Class F, 0.729% 6/15/20 (e)(k)

4,565,501

2,967,576

Class LXR1, 0.949% 6/15/20 (e)(k)

233,916

189,472

sequential payer:

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

2,176,567

2,186,912

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

6,982,294

7,004,065

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

5,051,000

5,203,412

Commercial Mortgage Securities - continued

 

Principal Amount (c)

Value

Wachovia Bank Commercial Mortgage Trust: - continued

sequential payer:

Series 2007-C30:

Class A3, 5.246% 12/15/43

$ 1,633,000

$ 1,647,419

Class A4, 5.305% 12/15/43

8,604,000

8,877,960

Class A5, 5.342% 12/15/43

2,036,000

2,095,907

Series 2007-C31 Class A4, 5.509% 4/15/47

13,599,000

14,113,763

Series 2007-C32:

Class A2, 5.7374% 6/15/49 (k)

13,743,083

14,007,624

Class A3, 5.7424% 6/15/49 (k)

3,229,000

3,344,078

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

903,000

886,378

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

340,000

332,748

Series 2004-C11:

Class D, 5.3661% 1/15/41 (k)

360,000

330,602

Class E, 5.4161% 1/15/41 (k)

327,000

280,349

Series 2004-C12 Class D, 5.3163% 7/15/41 (k)

280,000

262,329

Series 2004-C14:

Class B, 5.17% 8/15/41

258,500

248,458

Class C, 5.21% 8/15/41

170,000

159,614

Series 2004-C15 Class 175C, 5.8479% 10/15/41 (e)(k)

500,000

485,722

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

1,902,000

1,757,726

Series 2005-C22:

Class B, 5.3591% 12/15/44 (k)

4,218,000

3,045,695

Class F, 5.3591% 12/15/44 (e)(k)

3,171,000

1,208,601

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

7,870,000

8,636,436

Series 2007-C30:

Class B, 5.463% 12/15/43 (k)

10,505,000

4,907,516

Class C, 5.483% 12/15/43 (k)

5,706,000

2,448,176

Class D, 5.513% 12/15/43 (k)

3,044,000

938,112

Class XP, 0.437% 12/15/43 (e)(k)(m)

17,012,943

186,088

Series 2007-C31 Class C, 5.6857% 4/15/47 (k)

522,000

97,562

Series 2007-C32:

Class D, 5.7424% 6/15/49 (k)

1,431,000

453,484

Class E, 5.7424% 6/15/49 (k)

2,252,000

562,324

Wachovia Bank Commercial Mortgage Trust pass-thru certificates sequential payer Series 2007-C33 Class A5, 5.899% 2/15/51 (k)

19,259,000

19,927,653

Wells Fargo Commercial Mortgage Trust Series 2010-C1 Class XB, 0.5792% 11/15/43 (e)(m)

10,192,000

348,668

WF-RBS Commercial Mortgage Trust:

Series 2011-C4 Class E, 5.4179% 6/15/44 (e)

320,000

245,181

Commercial Mortgage Securities - continued

 

Principal Amount (c)

Value

WF-RBS Commercial Mortgage Trust: - continued

Series 2011-C5:

Class C, 5.6369% 11/15/44 (e)(k)

$ 260,000

$ 231,759

Class D, 5.6369% 11/15/44 (e)(k)

200,000

159,818

Class XA, 2.0986% 11/15/44 (e)(k)(m)

5,260,000

629,780

WFDB Commercial Mortgage Trust Series 2011-BXR Class D, 5.914% 7/5/24 (e)

1,500,000

1,500,912

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $675,091,668)

781,013,472

Municipal Securities - 0.2%

 

Beaver County Indl. Dev. Auth. Poll. Cont. Rev. Bonds (FirstEnergy Nuclear Generation Corp. Proj.) Series 2005 A, 3.375%, tender 7/1/15 (k)

3,300,000

3,362,898

California Gen. Oblig. 7.5% 4/1/34

4,890,000

5,733,281

Illinois Gen. Oblig.:

Series 2010, 4.421% 1/1/15

6,825,000

7,052,682

Series 2011:

5.665% 3/1/18

5,425,000

5,732,435

5.877% 3/1/19

5,175,000

5,490,572

TOTAL MUNICIPAL SECURITIES

(Cost $25,567,985)

27,371,868

Foreign Government and Government Agency Obligations - 1.9%

 

Argentine Republic:

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

4,758,013

3,425,769

2.5% 12/31/38 (d)

3,210,000

1,091,400

7% 9/12/13

6,980,000

6,738,221

7% 10/3/15

10,420,000

9,070,031

Bahamian Republic 6.95% 11/20/29 (e)

855,000

957,600

Bahrain Kingdom 5.5% 3/31/20

550,000

510,813

Banco Nacional de Desenvolvimento Economico e Social 6.369% 6/16/18 (e)

325,000

360,750

Belarus Republic:

8.75% 8/3/15 (Reg. S)

4,445,000

3,867,150

8.95% 1/26/18

1,085,000

927,675

Bermuda Government 5.603% 7/20/20 (e)

470,000

518,175

Brazilian Federative Republic:

5.625% 1/7/41

5,820,000

6,591,150

Foreign Government and Government Agency Obligations - continued

 

Principal Amount (c)

Value

Brazilian Federative Republic: - continued

6% 1/17/17

$ 505,000

$ 580,750

7.125% 1/20/37

540,000

723,600

8.25% 1/20/34

290,000

426,300

8.75% 2/4/25

545,000

803,875

8.875% 10/14/19

370,000

512,450

10.125% 5/15/27

1,215,000

1,965,263

12.25% 3/6/30

735,000

1,385,475

Chilean Republic:

3.25% 9/14/21

12,540,000

12,571,350

7.125% 1/11/12

3,045,000

3,065,554

Colombian Republic:

4.375% 7/12/21

1,745,000

1,819,163

7.375% 1/27/17

1,350,000

1,620,000

7.375% 3/18/19

1,070,000

1,340,175

7.375% 9/18/37

2,130,000

2,886,150

10.375% 1/28/33

2,150,000

3,547,500

11.75% 2/25/20

1,050,000

1,632,750

Congo Republic 3% 6/30/29 (d)

1,781,250

1,255,781

Croatia Republic:

6.375% 3/24/21 (e)

1,725,000

1,530,938

6.625% 7/14/20 (e)

2,195,000

1,975,500

6.75% 11/5/19 (e)

2,755,000

2,534,600

Democratic Socialist Republic of Sri Lanka:

6.25% 10/4/20 (e)

2,235,000

2,246,175

6.25% 7/27/21 (e)

1,610,000

1,585,850

7.4% 1/22/15 (e)

1,635,000

1,724,925

Dominican Republic:

1.5522% 8/30/24 (k)

1,350,000

1,174,500

7.5% 5/6/21 (e)

2,180,000

2,180,000

9.04% 1/23/18 (e)

967,284

1,064,013

El Salvador Republic:

7.375% 12/1/19 (e)

745,000

808,325

7.625% 2/1/41 (e)

525,000

527,625

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

1,265,000

1,302,950

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

1,070,000

1,160,950

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

575,000

625,313

Export Credit Bank of Turkey 5.375% 11/4/16 (e)

540,000

534,600

Gabonese Republic 8.2% 12/12/17 (e)

1,185,000

1,359,788

Georgia Republic 6.875% 4/12/21 (e)

2,020,000

2,060,400

Ghana Republic 8.5% 10/4/17 (e)

1,625,000

1,787,500

Foreign Government and Government Agency Obligations - continued

 

Principal Amount (c)

Value

Hungarian Republic:

4.75% 2/3/15

$ 940,000

$ 869,500

6.25% 1/29/20

2,250,000

2,047,500

6.375% 3/29/21

2,933,000

2,720,358

7.625% 3/29/41

1,488,000

1,383,840

Indonesian Republic:

4.875% 5/5/21 (e)

1,095,000

1,148,436

5.875% 3/13/20 (e)

1,660,000

1,842,600

6.625% 2/17/37 (e)

1,100,000

1,303,500

6.875% 1/17/18 (e)

1,105,000

1,287,325

7.75% 1/17/38 (e)

1,690,000

2,247,700

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

1,360,000

1,938,000

11.625% 3/4/19 (e)

1,720,000

2,511,200

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

3,610,000

2,779,700

Jordanian Kingdom 3.875% 11/12/15

820,000

762,600

Lebanese Republic:

4% 12/31/17

3,630,250

3,575,796

5.15% 11/12/18

550,000

547,250

Lithuanian Republic:

5.125% 9/14/17 (e)

430,000

417,100

6.125% 3/9/21 (e)

1,460,000

1,394,300

6.75% 1/15/15 (e)

1,215,000

1,263,600

7.375% 2/11/20 (e)

2,485,000

2,634,100

Namibia Republic of 5.5% 11/3/21 (e)

1,340,000

1,346,700

Peruvian Republic:

3% 3/7/27 (d)

1,210,000

1,040,600

5.625% 11/18/50

1,265,000

1,337,738

7.35% 7/21/25

1,550,000

2,011,125

8.75% 11/21/33

2,865,000

4,218,713

Philippine Republic:

5.5% 3/30/26

515,000

566,500

6.375% 1/15/32

515,000

607,700

6.375% 10/23/34

460,000

548,550

6.5% 1/20/20

805,000

957,950

7.5% 9/25/24

290,000

369,025

7.75% 1/14/31

390,000

519,675

9.5% 2/2/30

1,560,000

2,379,000

9.875% 1/15/19

640,000

889,600

10.625% 3/16/25

1,320,000

2,077,416

Polish Government:

3.875% 7/16/15

840,000

842,100

5.125% 4/21/21

825,000

820,875

Foreign Government and Government Agency Obligations - continued

 

Principal Amount (c)

Value

Polish Government: - continued

6.375% 7/15/19

$ 2,200,000

$ 2,409,000

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

1,360,000

1,122,000

Provincia de Neuquen Argentina 7.875% 4/26/21 (e)

520,000

514,800

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

5,150,000

4,197,250

Republic of Nigeria 6.75% 1/28/21 (e)

1,555,000

1,619,144

Republic of Senegal 8.75% 5/13/21 (e)

900,000

900,000

Republic of Serbia 6.75% 11/1/24 (e)

7,310,335

6,835,163

Russian Federation:

3.625% 4/29/15 (e)

900,000

920,250

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

8,234,770

9,717,029

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

385,000

528,413

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

1,800,000

3,127,500

State of Qatar:

3.125% 1/20/17 (e)

895,000

893,210

5.75% 1/20/42 (e)

745,000

758,783

Turkish Republic:

5.125% 3/25/22

735,000

703,763

5.625% 3/30/21

815,000

833,338

6% 1/14/41

350,000

336,455

6.75% 4/3/18

1,395,000

1,534,500

6.75% 5/30/40

805,000

849,275

6.875% 3/17/36

2,795,000

3,004,625

7% 9/26/16

1,360,000

1,506,200

7.25% 3/15/15

730,000

801,175

7.25% 3/5/38

1,400,000

1,562,820

7.375% 2/5/25

2,890,000

3,323,500

7.5% 7/14/17

1,285,000

1,458,475

7.5% 11/7/19

745,000

854,888

11.875% 1/15/30

960,000

1,588,800

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

1,690,000

1,428,050

Ukraine Government:

6.25% 6/17/16 (e)

2,080,000

1,801,904

6.385% 6/26/12 (e)

3,670,000

3,596,600

6.7% 12/21/11

2,315,000

2,306,319

6.75% 11/14/17 (e)

1,895,000

1,629,700

6.875% 9/23/15 (e)

1,630,000

1,487,375

7.65% 6/11/13 (e)

2,965,000

2,857,667

7.75% 9/23/20 (e)

1,430,000

1,244,100

7.95% 2/23/21 (e)

1,425,000

1,254,000

United Arab Emirates 7.75% 10/5/20 (Reg. S)

545,000

555,900

Foreign Government and Government Agency Obligations - continued

 

Principal Amount (c)

Value

United Mexican States:

5.125% 1/15/20

$ 920,000

$ 1,029,020

5.625% 1/15/17

490,000

554,190

5.75% 10/12/10

756,000

776,790

5.95% 3/19/19

300,000

351,300

6.05% 1/11/40

9,454,000

11,179,355

6.75% 9/27/34

720,000

914,400

7.5% 4/8/33

425,000

583,313

8.3% 8/15/31

420,000

616,350

Uruguay Republic:

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

1,970,000

2,669,350

8% 11/18/22

2,566,902

3,413,980

Venezuelan Republic:

6% 12/9/20

620,000

368,900

7% 3/31/38

625,000

348,438

7.75% 10/13/19 (Reg. S)

800,000

556,000

8.5% 10/8/14

735,000

679,875

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

2,490,000

1,699,425

9.25% 9/15/27

1,575,000

1,106,438

9.25% 5/7/28 (Reg. S)

990,000

658,350

9.375% 1/13/34

1,035,000

685,688

10.75% 9/19/13

1,300,000

1,306,500

11.75% 10/21/26 (Reg. S)

470,000

376,000

11.95% 8/5/31 (Reg. S)

1,890,000

1,502,550

12.75% 8/23/22

4,180,000

3,667,950

13.625% 8/15/18

1,078,000

1,034,880

Vietnamese Socialist Republic:

1.3258% 3/12/16 (k)

743,478

631,956

4% 3/12/28 (d)

3,195,000

2,619,900

6.75% 1/29/20 (e)

835,000

835,000

6.875% 1/15/16 (e)

2,430,000

2,502,900

TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $248,557,565)

262,317,263

Supranational Obligations - 0.0%

 

Corporacion Andina de Fomento 5.2% 5/21/13
(Cost $231,216)

242,000

253,782

Common Stocks - 0.0%

Shares

Value

TELECOMMUNICATION SERVICES - 0.0%

Wireless Telecommunication Services - 0.0%

CUI Acquisition Corp. Class E (e)

1

$ 863,100

TOTAL COMMON STOCKS

(Cost $1,258,919)

863,100

Preferred Stocks - 0.1%

 

 

 

 

Convertible Preferred Stocks - 0.1%

CONSUMER DISCRETIONARY - 0.1%

Automobiles - 0.1%

General Motors Co. 4.75%

80,100

2,734,614

FINANCIALS - 0.0%

Real Estate Investment Trusts - 0.0%

Alexandria Real Estate Equities, Inc. Series D 7.00%

9,000

206,438

UTILITIES - 0.0%

Electric Utilities - 0.0%

AES Trust III 6.75%

25,200

1,237,068

TOTAL CONVERTIBLE PREFERRED STOCKS

4,178,120

Nonconvertible Preferred Stocks - 0.0%

FINANCIALS - 0.0%

Real Estate Investment Trusts - 0.0%

Apartment Investment & Management Co. Series U, 7.75%

5,000

125,700

CBL & Associates Properties, Inc. 7.375%

7,720

182,424

Cedar Shopping Centers, Inc. 8.875%

5,000

116,050

Corporate Office Properties Trust Series H, 7.50%

5,000

124,900

Digital Realty Trust, Inc. Series E, 7.00%

10,000

253,600

Equity Lifestyle Properties, Inc. 8.034%

22,162

564,909

Essex Property Trust, Inc. Series H, 7.125%

9,354

236,656

Hersha Hospitality Trust Series B, 8.00%

10,300

236,900

LaSalle Hotel Properties Series H, 7.50%

10,000

245,700

PS Business Parks, Inc. 6.875%

10,000

259,500

Public Storage:

Series P, 6.50%

12,000

322,080

Preferred Stocks - continued

Shares

Value

Nonconvertible Preferred Stocks - continued

FINANCIALS - continued

Real Estate Investment Trusts - continued

Public Storage: - continued

Series R, 6.35%

10,500

$ 277,725

Stag Industrial, Inc. Series A, 9.00% (a)

20,000

510,000

 

3,456,144

TOTAL PREFERRED STOCKS

(Cost $8,548,878)

7,634,264

Floating Rate Loans - 0.6%

 

Principal Amount (c)

 

CONSUMER DISCRETIONARY - 0.3%

Auto Components - 0.1%

Federal-Mogul Corp.:

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

$ 3,360,390

3,108,360

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

2,110,750

1,952,444

 

5,060,804

Automobiles - 0.0%

Chrysler Group LLC Tranche B, term loan 6% 5/24/17 (k)

2,797,988

2,581,143

Diversified Consumer Services - 0.0%

Visant Corp. Tranche B, term loan 5.25% 12/22/16 (k)

2,123,950

1,996,513

Hotels, Restaurants & Leisure - 0.1%

Ameristar Casinos, Inc. Tranche B, term loan 4% 4/14/18 (k)

915,400

910,823

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

1,000,000

982,500

MGM Mirage, Inc. Tranche B, term loan 7% 2/21/14 (k)

1,435,000

1,388,363

Six Flags, Inc. Tranche B, term loan 5.3684% 6/30/16 (k)

1,295,000

1,282,050

 

4,563,736

Leisure Equipment & Products - 0.0%

SRAM LLC.:

2nd LN, term loan 8.5% 12/7/18 (k)

265,000

265,000

Tranche B 1LN, term loan 4.7635% 6/7/18 (k)

801,025

793,015

 

1,058,015

Media - 0.1%

Clear Channel Capital I LLC Tranche B, term loan 3.91% 1/29/16 (k)

5,481,432

4,097,370

Floating Rate Loans - continued

 

Principal Amount (c)

Value

CONSUMER DISCRETIONARY - continued

Media - continued

Harron Communications LP Tranche B, term loan 5.25% 10/6/17 (k)

$ 2,110,213

$ 2,078,559

Newsday LLC term loan 10.5% 8/1/13

3,505,000

3,601,388

Univision Communications, Inc. term loan 4.51% 3/31/17 (k)

4,421,098

3,912,671

UPC Broadband Holding BV Tranche AB, term loan 4.75% 12/31/17 (k)

1,250,000

1,225,000

 

14,914,988

Multiline Retail - 0.0%

Neiman Marcus Group, Inc. Tranche B, term loan 4.75% 5/16/18 (k)

3,680,000

3,523,600

Specialty Retail - 0.0%

PETCO Animal Supplies, Inc. term loan 4.5% 11/24/17 (k)

341,550

330,450

TOTAL CONSUMER DISCRETIONARY

34,029,249

CONSUMER STAPLES - 0.0%

Food & Staples Retailing - 0.0%

SUPERVALU, Inc. Tranche B 3LN, term loan 4.5% 4/29/18 (k)

1,407,925

1,355,128

U.S. Foodservice term loan 5.75% 3/31/17 (k)

4,883,355

4,590,354

 

5,945,482

ENERGY - 0.0%

Oil, Gas & Consumable Fuels - 0.0%

Frac Tech Holdings LLC Tranche B, term loan 6.25% 5/6/16 (k)

2,988,581

2,928,810

FINANCIALS - 0.0%

Diversified Financial Services - 0.0%

Capital Automotive LP term loan 5% 3/11/17 (k)

636,336

618,837

Real Estate Management & Development - 0.0%

CityCenter term loan 8.75% 7/1/13 (k)

1,000,000

970,000

TOTAL FINANCIALS

1,588,837

HEALTH CARE - 0.0%

Health Care Providers & Services - 0.0%

Quintiles Transnational Corp. Tranche B, term loan 5% 6/8/18 (k)

2,238,363

2,176,808

Floating Rate Loans - continued

 

Principal Amount (c)

Value

HEALTH CARE - continued

Pharmaceuticals - 0.0%

Endo Pharmaceuticals Holdings, Inc. Tranche B, term loan 4% 6/17/18 (k)

$ 535,088

$ 535,756

TOTAL HEALTH CARE

2,712,564

INDUSTRIALS - 0.1%

Airlines - 0.1%

Delta Air Lines, Inc. Tranche B, term loan 5.5% 4/20/17 (k)

2,788,013

2,648,612

US Airways Group, Inc. term loan 2.76% 3/23/14 (k)

2,810,347

2,416,899

 

5,065,511

Construction & Engineering - 0.0%

Drumm Investors LLC Tranche B, term loan 5% 5/4/18 (k)

543,605

462,064

Machinery - 0.0%

Colfax Corp. Tranche B, term loan 9/12/18 (k)

2,530,000

2,533,163

Husky Intermediate, Inc. Tranche B, term loan 6.5% 6/30/18 (k)

2,289,263

2,266,370

 

4,799,533

TOTAL INDUSTRIALS

10,327,108

INFORMATION TECHNOLOGY - 0.0%

Internet Software & Services - 0.0%

Godaddy.Com, Inc. Tranche B, term loan 7% 9/23/18 (k)

880,000

877,800

MATERIALS - 0.1%

Chemicals - 0.0%

Ashland, Inc. Tranche B, term loan 3.75% 8/23/18 (k)

2,075,000

2,080,188

Containers & Packaging - 0.1%

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

2,065,000

2,049,513

Sealed Air Corp. Tranche B, term loan 4.75% 10/3/18 (k)

1,476,313

1,491,076

 

3,540,589

Metals & Mining - 0.0%

JMC Steel Group, Inc. term loan 4.75% 4/1/17 (k)

1,467,625

1,452,949

TOTAL MATERIALS

7,073,726

Floating Rate Loans - continued

 

Principal Amount (c)

Value

TELECOMMUNICATION SERVICES - 0.1%

Wireless Telecommunication Services - 0.1%

Asurion LLC:

term loan 9% 5/24/19 (k)

$ 3,255,000

$ 3,137,169

Tranche B, term loan 5.5% 5/24/18 (k)

1,555,909

1,505,342

Intelsat Jackson Holdings SA term loan 3.3911% 2/1/14 (k)

2,425,000

2,285,563

MetroPCS Wireless, Inc. Tranche B 3LN, term loan 4.0279% 3/17/18 (k)

4,074,552

3,972,688

TowerCo Finance LLC Tranche B, term loan 5.25% 2/2/17 (k)

2,258,650

2,255,827

 

13,156,589

UTILITIES - 0.0%

Independent Power Producers & Energy Traders - 0.0%

The AES Corp. Tranche B, term loan 4.25% 5/27/18 (k)

373,125

370,327

TOTAL FLOATING RATE LOANS

(Cost $79,470,481)

79,010,492

Sovereign Loan Participations - 0.0%

 

Indonesian Republic loan participation:

Citibank 1.25% 12/14/19 (k)

1,724,850

1,621,359

Goldman Sachs 1.25% 12/14/19 (k)

1,478,241

1,389,546

1.25% 12/14/19 (k)

114,036

107,194

TOTAL SOVEREIGN LOAN PARTICIPATIONS

(Cost $2,849,293)

3,118,099

Bank Notes - 0.0%

 

Wachovia Bank NA 6% 11/15/17
(Cost $2,446,427)

2,243,000

2,496,241

Fixed-Income Funds - 24.6%

Shares

 

Fidelity Floating Rate Central Fund (l)

5,663,128

552,834,598

Fidelity Mortgage Backed Securities Central Fund (l)

26,225,529

2,825,276,284

TOTAL FIXED-INCOME FUNDS

(Cost $3,179,829,822)

3,378,110,882

Preferred Securities - 0.0%

Principal Amount (c)

Value

CONSUMER DISCRETIONARY - 0.0%

Media - 0.0%

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

$ 2,360,000

$ 2,488,533

FINANCIALS - 0.0%

Diversified Financial Services - 0.0%

ING Groep NV 5.775% (f)(k)

1,312,000

915,268

MATERIALS - 0.0%

Metals & Mining - 0.0%

CSN Islands XII Corp. 7% (Reg. S) (f)

1,880,000

1,829,385

TOTAL PREFERRED SECURITIES

(Cost $4,869,660)

5,233,186

Cash Equivalents - 4.6%

Maturity Amount

 

Investments in repurchase agreements in a joint trading account at 0.14%, dated 11/30/11 due 12/1/11 (Collateralized by U.S. Government Obligations) #
(Cost $635,909,000)

$ 635,911,444

635,909,000

TOTAL INVESTMENT PORTFOLIO - 106.4%

(Cost $13,863,087,233)

14,603,892,067

NET OTHER ASSETS (LIABILITIES) - (6.4)%

(880,000,928)

NET ASSETS - 100%

$ 13,723,891,139

TBA Sale Commitments

 

Principal Amount

 

Fannie Mae Guaranteed Mortgage pass-thru certificates

3.5% 12/1/26

$ (9,700,000)

(10,078,454)

3.5% 12/1/26

(21,000,000)

(21,819,334)

4% 12/1/26

(12,600,000)

(13,226,425)

4% 12/1/26

(11,400,000)

(11,966,766)

4% 12/1/41

(28,600,000)

(29,792,383)

4.5% 12/1/41

(5,500,000)

(5,814,250)

TBA Sale Commitments - continued

 

Principal Amount

Value

Fannie Mae Guaranteed Mortgage pass-thru certificates - continued

4.5% 12/1/41

$ (29,000,000)

$ (30,656,956)

4.5% 12/1/41

(3,200,000)

(3,382,836)

4.5% 12/1/41

(1,200,000)

(1,268,564)

5% 12/1/41

(700,000)

(752,290)

5% 12/1/41

(16,000,000)

(17,195,202)

6% 12/1/41

(65,700,000)

(72,013,074)

6% 12/1/41

(65,700,000)

(72,013,074)

6% 12/1/41

(21,500,000)

(23,565,922)

6% 12/1/41

(17,700,000)

(19,400,782)

6% 12/1/41

(17,700,000)

(19,400,782)

TOTAL FANNIE MAE GUARANTEED MORTGAGE PASS-THRU CERTIFICATES

(352,347,094)

Freddie Mac

4% 12/1/41

(28,000,000)

(29,117,054)

5.5% 12/1/41

(5,500,000)

(5,937,285)

TOTAL FREDDIE MAC

(35,054,339)

Ginnie Mae

3.5% 12/1/41

(18,000,000)

(18,657,254)

4% 12/1/41

(42,400,000)

(45,207,855)

4% 12/1/41

(4,200,000)

(4,478,137)

4% 12/1/41

(38,200,000)

(40,729,719)

4% 12/1/41

(2,200,000)

(2,345,691)

4% 12/1/41

(38,200,000)

(40,729,719)

4% 12/1/41

(4,200,000)

(4,478,137)

4% 12/1/41

(1,000,000)

(1,066,223)

4% 12/1/41

(1,000,000)

(1,066,223)

4% 1/1/42

(600,000)

(637,999)

4.5% 12/1/41

(200,000)

(217,302)

4.5% 12/1/41

(2,400,000)

(2,607,627)

4.5% 12/1/41

(1,900,000)

(2,064,372)

4.5% 1/1/42

(100,000)

(108,427)

5% 12/1/41

(12,500,000)

(13,757,970)

5% 12/1/41

(12,500,000)

(13,757,970)

5% 1/1/42

(1,400,000)

(1,537,940)

TOTAL GINNIE MAE

(193,448,565)

TOTAL TBA SALE COMMITMENTS

(Proceeds $579,743,797)

$ (580,849,998)

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 Premium Received/(Paid) $480,000) (j)

Sept. 2037

$ 2,333,561

$ (2,202,226)

Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to Credit Suisse First Boston upon each credit event of one of the issues of ABX AA 07-01 Index, par value of the proportional notional amount (Rating-C) (Upfront Premium Received/(Paid) $1,058,000) (j)

Sept. 2037

2,683,595

(2,532,560)

Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to JPMorgan Chase, Inc. upon each credit event of one of the issues of ABX AA 07-01 Index, par value of the proportional notional amount (Rating-C) (Upfront Premium Received/(Paid) $651,000) (j)

Sept. 2037

1,633,493

(1,541,558)

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

Sept. 2037

4,200,410

(3,964,007)

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

Sept. 2037

1,516,815

(1,431,447)

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

August 2034

24,301

(13,495)

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) (i)

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) (i)

Sept. 2034

24,272

(18,328)

TOTAL CREDIT DEFAULT SWAPS

 

$ 12,417,234

$ (11,704,363)

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

1,839,600

 

$ 212,417,234

$ (9,864,763)

Currency Abbreviations

CAD

-

Canadian dollar

Legend

(a) Non-income producing

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

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

(d) 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.

(e) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $1,014,836,498 or 7.4% of net assets.

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

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

(h) 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 $11,264,429.

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

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

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

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

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

(n) 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 $756,960 or 0.0% of net assets.

Additional information on each restricted holding is as follows:

Security

Acquisition Date

Acquisition Cost

ACGS Series 2004-1 Class P, 7.4651% 8/1/19

2/17/11

$ 583,086

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

$635,909,000 due 12/01/11 at 0.14%

Commerz Markets LLC

$ 55,992,031

ING Financial Markets LLC

190,372,906

Mizuho Securities USA, Inc.

381,826,793

RBC Capital Markets Corp.

7,717,270

 

$ 635,909,000

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 Floating Rate Central Fund

$ 6,333,531

Fidelity Mortgage Backed Securities Central Fund

22,425,087

Total

$ 28,758,618

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 Floating Rate Central Fund

$ 389,816,805

$ 155,952,894

$ -

$ 552,834,598

19.9%

Fidelity Mortgage Backed Securities Central Fund

2,813,030,905

22,425,089

-

2,825,276,284

22.0%

Total

$ 3,202,847,710

$ 178,377,983

$ -

$ 3,378,110,882

Other Information

The following is a summary of the inputs used, as of November 30, 2011, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the tables below, please refer to the Investment Valuation section at the end of this listing.

Valuation Inputs at Reporting Date:

Description

Total

Level 1

Level 2

Level 3

Investments in Securities:

Equities:

Consumer Discretionary

$ 2,734,614

$ 2,734,614

$ -

$ -

Financials

3,662,582

3,456,144

206,438

-

Telecommunication Services

863,100

-

-

863,100

Utilities

1,237,068

1,237,068

-

-

Corporate Bonds

3,357,412,030

-

3,357,056,323

355,707

U.S. Government and Government Agency Obligations

3,341,257,777

-

3,341,257,777

-

U.S. Government Agency - Mortgage Securities

2,255,537,027

-

2,255,537,027

-

Asset-Backed Securities

300,323,583

-

272,818,081

27,505,502

Collateralized Mortgage Obligations

166,030,001

-

163,352,029

2,677,972

Commercial Mortgage Securities

781,013,472

-

722,198,571

58,814,901

Municipal Securities

27,371,868

-

27,371,868

-

Foreign Government and Government Agency Obligations

262,317,263

-

261,276,663

1,040,600

Supranational Obligations

253,782

-

253,782

-

Floating Rate Loans

79,010,492

-

77,057,992

1,952,500

Sovereign Loan Participations

3,118,099

-

3,118,099

-

Bank Notes

2,496,241

-

2,496,241

-

Fixed-Income Funds

3,378,110,882

3,378,110,882

-

-

Preferred Securities

5,233,186

-

5,233,186

-

Cash Equivalents

635,909,000

-

635,909,000

-

Total Investments in Securities:

$ 14,603,892,067

$ 3,385,538,708

$ 11,125,143,077

$ 93,210,282

Derivative Instruments:

Assets

Swap Agreements

$ 1,839,600

$ -

$ 1,839,600

$ -

Liabilities

Swap Agreements

$ (11,704,363)

$ -

$ (11,671,799)

$ (32,564)

Total Derivative Instruments:

$ (9,864,763)

$ -

$ (9,832,199)

$ (32,564)

Other Financial Instruments:

TBA Sale Commitments

$ (580,849,998)

$ -

$ (580,849,998)

$ -

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

$ 93,393,811

Total Realized Gain (Loss)

471,058

Total Unrealized Gain (Loss)

(6,398,389)

Cost of Purchases

970,246

Proceeds of Sales

(3,850,545)

Amortization/Accretion

(65,603)

Transfers in to Level 3

16,025,210

Transfers out of Level 3

(7,335,506)

Ending Balance

$ 93,210,282

The change in unrealized gain (loss) for the period attributable to Level 3 securities held at November 30, 2011

$ (6,707,828)

Derivative Instruments:

Swap Agreements

Beginning Balance

$ (32,859)

Total Unrealized Gain (Loss)

295

Transfers in to Level 3

-

Transfers out of Level 3

-

Ending Balance

$ (32,564)

Realized gain (loss) on Swap Agreements for the period

$ 337

The change in unrealized gain (loss) for the period attributable to Level 3 Swap Agreements held at November 30, 2011

$ 295

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, 2011, the cost of investment securities for income tax purposes was $13,989,952,334. Net unrealized appreciation aggregated $613,939,733, of which $742,070,013 related to appreciated investment securities and $128,130,280 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, U.S. government and government agency obligations and sovereign loan participations, pricing services utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices and are generally categorized as Level 2 in the hierarchy.

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

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. 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. Short-term securities with remaining maturities of sixty days or less may be valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy.

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

Credit Default Swap Agreements

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

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

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

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

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

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

The notional amount of credit default swaps approximates the maximum potential amount of future payments that the Fund could be required to make if the Fund is the seller and a credit event were to occur. The total notional amount of all credit default swaps open at period end where the Fund is the seller amounted to $12,417,234 representing 0.09% 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

November 30, 2011 

1.824865.107

TBD-QTLY-0112

Investments November 30, 2011 (Unaudited)

Showing Percentage of Net Assets

Corporate Bonds - 24.5%

 

Principal Amount (c)

Value

Convertible Bonds - 0.0%

FINANCIALS - 0.0%

Real Estate Investment Trusts - 0.0%

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

$ 270,000

$ 268,313

Nonconvertible Bonds - 24.5%

CONSUMER DISCRETIONARY - 2.6%

Auto Components - 0.1%

American Axle & Manufacturing, Inc. 7.75% 11/15/19

2,845,000

2,731,200

Dana Holding Corp.:

6.5% 2/15/19

2,755,000

2,672,350

6.75% 2/15/21

3,675,000

3,564,750

Delphi Corp.:

5.875% 5/15/19 (e)

1,685,000

1,685,000

6.125% 5/15/21 (e)

1,615,000

1,615,000

Tenneco, Inc.:

6.875% 12/15/20

1,505,000

1,505,000

7.75% 8/15/18

1,400,000

1,435,000

 

15,208,300

Automobiles - 0.1%

Automotores Gildemeister SA 8.25% 5/24/21 (e)

575,000

586,500

Chrysler Group LLC/CG Co-Issuer, Inc.:

8% 6/15/19 (e)

3,090,000

2,634,225

8.25% 6/15/21 (e)

4,610,000

3,918,500

Ford Motor Co. 7.45% 7/16/31

5,655,000

6,630,488

 

13,769,713

Distributors - 0.0%

AmeriGas Partners LP/AmeriGas Finance Corp.:

6.25% 8/20/19

1,255,000

1,217,350

6.5% 5/20/21

790,000

766,300

Ferrellgas LP/Ferrellgas Finance Corp. 6.5% 5/1/21

1,840,000

1,596,200

 

3,579,850

Diversified Consumer Services - 0.0%

Visant Corp. 10% 10/1/17

1,320,000

1,191,300

Hotels, Restaurants & Leisure - 0.4%

Ameristar Casinos, Inc. 7.5% 4/15/21

2,570,000

2,570,000

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

325,000

183,625

CityCenter Holdings LLC/CityCenter Finance Corp.:

7.625% 1/15/16 (e)

3,590,000

3,616,925

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Hotels, Restaurants & Leisure - continued

CityCenter Holdings LLC/CityCenter Finance Corp.: - continued

11.5% 1/15/17 pay-in-kind (e)(k)

$ 1,902,794

$ 1,796,845

FelCor Lodging LP 6.75% 6/1/19

4,675,000

4,347,750

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

1,635,000

1,737,188

Host Marriott LP 6.375% 3/15/15

250,000

254,375

ITT Corp. 7.375% 11/15/15

250,000

277,188

MGM Mirage, Inc.:

6.625% 7/15/15

7,475,000

7,026,500

7.5% 6/1/16

4,130,000

3,913,175

7.625% 1/15/17

5,355,000

5,033,700

11.375% 3/1/18

2,460,000

2,669,100

MTR Gaming Group, Inc. 11.5% 8/1/19 pay-in-kind (e)(k)

1,595,000

1,339,800

NCL Corp. Ltd. 9.5% 11/15/18

1,125,000

1,186,875

Royal Caribbean Cruises Ltd.:

7.25% 3/15/18

465,000

489,971

yankee:

7.25% 6/15/16

3,985,000

4,303,800

7.5% 10/15/27

3,070,000

3,008,600

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

871,284

922,120

Universal City Development Partners Ltd./UCDP Finance, Inc. 8.875% 11/15/15

784,000

871,220

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

970,000

1,045,175

 

46,593,932

Household Durables - 0.1%

KB Home 7.25% 6/15/18

1,430,000

1,201,200

Lennar Corp.:

6.95% 6/1/18

4,640,000

4,500,800

12.25% 6/1/17

1,135,000

1,339,300

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

2,125,000

2,273,750

Standard Pacific Corp.:

8.375% 5/15/18

6,495,000

6,040,350

10.75% 9/15/16

2,370,000

2,417,400

 

17,772,800

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Media - 1.7%

Allbritton Communications Co. 8% 5/15/18

$ 2,630,000

$ 2,498,500

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

500,000

613,744

Cablevision Systems Corp.:

7.75% 4/15/18

2,305,000

2,328,050

8.625% 9/15/17

3,505,000

3,653,963

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

2,835,000

2,810,194

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

10,180,000

10,383,600

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

800,000

392,000

Comcast Corp.:

4.95% 6/15/16

2,344,000

2,581,419

5.15% 3/1/20

435,000

483,332

5.7% 5/15/18

14,629,000

16,597,449

6.4% 3/1/40

4,490,000

5,162,934

6.45% 3/15/37

2,196,000

2,490,929

6.55% 7/1/39

9,000,000

10,413,549

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

4,467,000

4,675,283

CSC Holdings LLC:

6.75% 11/15/21 (e)

2,260,000

2,254,350

8.625% 2/15/19

1,350,000

1,505,250

Discovery Communications LLC:

3.7% 6/1/15

7,129,000

7,457,854

6.35% 6/1/40

6,392,000

7,380,242

Houghton Mifflin Harcourt Publishing Co. 10.5% 6/1/19 (e)

690,000

448,500

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

2,030,000

2,293,900

Kabel BW Erste Beteiligungs GmbH/Kabel Baden-Wurttemberg GmbH & Co. KG 7.5% 3/15/19 (e)

660,000

663,300

NBCUniversal Media LLC:

3.65% 4/30/15

3,514,000

3,684,127

5.15% 4/30/20

11,614,000

12,558,752

6.4% 4/30/40

18,278,000

20,936,882

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

663,000

766,510

News America, Inc.:

6.15% 3/1/37

4,759,000

4,982,364

6.15% 2/15/41

13,539,000

14,494,136

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Media - continued

Nielsen Finance LLC/Nielsen Finance Co. 7.75% 10/15/18

$ 2,770,000

$ 2,908,500

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

2,915,000

2,332,000

Quebecor Media, Inc.:

7.75% 3/15/16

4,032,000

4,102,560

7.75% 3/15/16

2,485,000

2,528,488

Time Warner Cable, Inc.:

5.4% 7/2/12

3,048,000

3,122,746

5.85% 5/1/17

7,607,000

8,565,535

6.2% 7/1/13

2,898,000

3,117,871

6.75% 7/1/18

13,763,000

15,991,299

Time Warner, Inc.:

3.15% 7/15/15

3,115,000

3,221,969

5.375% 10/15/41

3,115,000

3,115,716

5.875% 11/15/16

368,000

422,727

6.2% 3/15/40

11,792,000

12,854,896

6.5% 11/15/36

9,243,000

10,376,340

TV Azteca SA de CV 7.5% 5/25/18 (Reg. S)

850,000

845,750

Univision Communications, Inc.:

6.875% 5/15/19 (e)

1,300,000

1,205,750

8.5% 5/15/21 (e)

4,695,000

3,920,325

UPCB Finance V Ltd. 7.25% 11/15/21 (e)

995,000

985,050

Viacom, Inc.:

3.5% 4/1/17

7,993,000

8,181,675

6.75% 10/5/37

1,460,000

1,700,342

 

234,010,652

Multiline Retail - 0.0%

Sears Holdings Corp. 6.625% 10/15/18

1,500,000

1,158,750

Specialty Retail - 0.2%

AutoNation, Inc. 6.75% 4/15/18

1,105,000

1,140,913

Burlington Coat Factory Warehouse Corp. 10% 2/15/19 (e)

2,414,000

2,323,475

J. Crew Group, Inc. 8.125% 3/1/19

4,694,000

4,312,613

Lowe's Companies, Inc. 3.8% 11/15/21

7,730,000

7,717,276

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

5,260,000

5,588,750

Sally Holdings LLC 6.875% 11/15/19 (e)

725,000

733,193

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Specialty Retail - continued

Staples, Inc. 7.375% 10/1/12

$ 554,000

$ 580,040

Toys 'R' Us, Inc. 7.375% 9/1/16 (e)

3,175,000

3,095,625

 

25,491,885

Textiles, Apparel & Luxury Goods - 0.0%

Hanesbrands, Inc. 6.375% 12/15/20

2,500,000

2,437,500

TOTAL CONSUMER DISCRETIONARY

361,214,682

CONSUMER STAPLES - 1.2%

Beverages - 0.3%

Anheuser-Busch InBev Worldwide, Inc.:

2.5% 3/26/13

8,433,000

8,601,609

5.375% 11/15/14

1,207,000

1,344,691

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

225,000

231,750

Diageo Capital PLC 5.2% 1/30/13

1,037,000

1,088,773

FBG Finance Ltd. 5.125% 6/15/15 (e)

3,662,000

3,991,108

Fortune Brands, Inc.:

5.375% 1/15/16

321,000

348,767

5.875% 1/15/36

16,159,000

16,120,622

6.375% 6/15/14

3,374,000

3,692,651

 

35,419,971

Food & Staples Retailing - 0.1%

Albertsons, Inc.:

7.45% 8/1/29

155,000

118,963

8% 5/1/31

765,000

613,913

BFF International Ltd. 7.25% 1/28/20 (e)

800,000

880,000

Rite Aid Corp.:

8.625% 3/1/15

380,000

353,400

9.375% 12/15/15

955,000

861,888

9.5% 6/15/17

3,945,000

3,392,700

SUPERVALU, Inc. 8% 5/1/16

865,000

865,000

US Foodservice, Inc. 8.5% 6/30/19 (e)

3,625,000

3,461,875

 

10,547,739

Food Products - 0.4%

Cargill, Inc. 6% 11/27/17 (e)

9,457,000

11,097,250

Gruma SAB de CV 7.75% (Reg. S) (f)

1,185,000

1,173,150

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

CONSUMER STAPLES - continued

Food Products - continued

Kraft Foods, Inc.:

5.375% 2/10/20

$ 10,631,000

$ 11,798,231

6.125% 2/1/18

10,623,000

12,262,671

6.5% 8/11/17

10,238,000

12,000,093

6.75% 2/19/14

540,000

603,418

MHP SA 10.25% 4/29/15 (e)

985,000

876,650

 

49,811,463

Personal Products - 0.0%

NBTY, Inc. 9% 10/1/18

2,065,000

2,188,900

Tobacco - 0.4%

Altria Group, Inc.:

8.5% 11/10/13

326,000

369,875

9.7% 11/10/18

23,631,000

30,925,913

Philip Morris International, Inc.:

4.875% 5/16/13

9,347,000

9,892,809

5.65% 5/16/18

7,161,000

8,320,445

Reynolds American, Inc.:

6.75% 6/15/17

3,719,000

4,218,506

7.25% 6/15/37

5,056,000

5,631,985

 

59,359,533

TOTAL CONSUMER STAPLES

157,327,606

ENERGY - 3.9%

Energy Equipment & Services - 0.7%

Calfrac Holdings LP 7.5% 12/1/20 (e)

3,570,000

3,462,900

Chesapeake Oilfield Operating LLC 6.625% 11/15/19 (e)

1,260,000

1,260,000

DCP Midstream LLC:

4.75% 9/30/21 (e)

11,333,000

11,709,573

5.35% 3/15/20 (e)

8,816,000

9,435,386

El Paso Pipeline Partners Operating Co. LLC:

4.1% 11/15/15

10,806,000

11,056,364

5% 10/1/21

7,366,000

7,320,161

6.5% 4/1/20

738,000

810,965

Expro Finance Luxembourg SCA 8.5% 12/15/16 (e)

3,800,000

3,268,000

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

6,485,000

6,225,600

Forbes Energy Services Ltd. 9% 6/15/19

1,590,000

1,478,700

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

ENERGY - continued

Energy Equipment & Services - continued

Hornbeck Offshore Services, Inc. 8% 9/1/17

$ 1,605,000

$ 1,637,100

Noble Holding International Ltd. 3.45% 8/1/15

632,000

661,495

Oil States International, Inc. 6.5% 6/1/19

2,850,000

2,828,625

Petroleum Geo-Services ASA 7.375% 12/15/18 (e)

2,245,000

2,233,775

Precision Drilling Corp.:

6.5% 12/15/21 (e)

170,000

170,000

6.625% 11/15/20

1,890,000

1,908,900

SESI LLC 7.125% 12/15/21 (e)(g)

2,980,000

3,054,500

Transocean, Inc.:

5.05% 12/15/16

7,572,000

7,564,882

6.375% 12/15/21

9,999,000

9,993,601

7.35% 12/15/41

1,890,000

1,889,924

Weatherford International Ltd.:

4.95% 10/15/13

2,173,000

2,286,331

5.15% 3/15/13

2,840,000

2,959,098

 

93,215,880

Oil, Gas & Consumable Fuels - 3.2%

Afren PLC 11.5% 2/1/16 (e)

520,000

504,400

Anadarko Petroleum Corp.:

5.95% 9/15/16

485,000

542,126

6.375% 9/15/17

19,790,000

22,668,159

Antero Resources Finance Corp.:

7.25% 8/1/19 (e)

1,580,000

1,572,100

9.375% 12/1/17

2,915,000

3,089,900

BW Group Ltd. 6.625% 6/28/17 (e)

1,748,000

1,586,747

Canadian Natural Resources Ltd.:

5.15% 2/1/13

5,610,000

5,871,555

5.7% 5/15/17

16,295,000

18,946,180

Chesapeake Energy Corp.:

6.125% 2/15/21

3,040,000

3,040,000

6.875% 11/15/20

2,635,000

2,766,750

Chesapeake Midstream Partners LP/CHKM Finance Corp. 5.875% 4/15/21 (e)

676,000

655,720

Clayton Williams Energy, Inc. 7.75% 4/1/19 (e)

545,000

501,400

ConocoPhillips:

4.6% 1/15/15

10,000,000

11,062,290

5.75% 2/1/19

2,930,000

3,470,143

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

CONSOL Energy, Inc.:

8% 4/1/17

$ 3,515,000

$ 3,761,050

8.25% 4/1/20

650,000

702,000

Crestwood Midstream Partners LP / Finance Corp. 7.75% 4/1/19 (e)

800,000

784,000

Denbury Resources, Inc. 6.375% 8/15/21

1,935,000

1,944,675

DTEK Finance BV 9.5% 4/28/15 (e)

800,000

768,000

Duke Capital LLC 6.25% 2/15/13

1,000,000

1,051,611

Duke Energy Field Services:

5.375% 10/15/15 (e)

1,524,000

1,656,949

6.45% 11/3/36 (e)

1,801,000

2,046,646

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

1,166,000

1,312,611

Enbridge Energy Partners LP 4.2% 9/15/21

13,331,000

13,565,959

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

3,602,000

3,913,317

Energy Transfer Equity LP 7.5% 10/15/20

2,155,000

2,230,425

Enterprise Products Operating LP:

5.6% 10/15/14

483,000

530,454

5.65% 4/1/13

697,000

732,094

EQT Corp. 4.875% 11/15/21

5,066,000

5,012,675

EV Energy Partners LP/EV Energy Finance Corp. 8% 4/15/19

1,650,000

1,633,500

Frontier Oil Corp.:

6.875% 11/15/18

485,000

485,000

8.5% 9/15/16

1,950,000

2,042,625

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

4,818,000

4,940,184

Gulfstream Natural Gas System LLC 6.95% 6/1/16 (e)

221,000

256,741

KazMunaiGaz Finance Sub BV:

6.375% 4/9/21 (e)

850,000

884,000

7% 5/5/20 (e)

1,635,000

1,765,800

8.375% 7/2/13 (e)

1,420,000

1,501,650

9.125% 7/2/18 (e)

1,855,000

2,216,725

11.75% 1/23/15 (e)

1,860,000

2,227,350

LINN Energy LLC/LINN Energy Finance Corp.:

6.5% 5/15/19 (e)

3,790,000

3,543,650

7.75% 2/1/21

1,950,000

1,950,000

8.625% 4/15/20

2,685,000

2,805,825

Marathon Petroleum Corp. 5.125% 3/1/21

6,178,000

6,289,019

Markwest Energy Partners LP/Markwest Energy Finance Corp. 6.25% 6/15/22

2,120,000

2,146,500

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Midcontinent Express Pipeline LLC 5.45% 9/15/14 (e)

$ 10,834,000

$ 11,626,897

Motiva Enterprises LLC:

5.75% 1/15/20 (e)

4,187,000

4,805,663

6.85% 1/15/40 (e)

5,937,000

7,486,563

Nakilat, Inc. 6.067% 12/31/33 (e)

1,975,000

2,142,875

Nexen, Inc.:

5.2% 3/10/15

1,133,000

1,217,351

5.875% 3/10/35

240,000

231,204

6.2% 7/30/19

603,000

686,268

6.4% 5/15/37

4,379,000

4,471,502

NGPL PipeCo LLC 6.514% 12/15/12 (e)

10,209,000

10,311,090

OGX Petroleo e Gas Participacoes SA 8.5% 6/1/18 (e)

955,000

909,638

Overseas Shipholding Group, Inc.:

7.5% 2/15/24

500,000

292,500

8.125% 3/30/18

2,530,000

1,796,300

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

1,093,000

1,213,230

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

4,370,000

4,370,000

Peabody Energy Corp. 6% 11/15/18 (e)

1,495,000

1,483,788

Pemex Project Funding Master Trust:

5.75% 3/1/18

645,000

703,050

6.625% 6/15/35

945,000

1,034,775

Petro-Canada:

6.05% 5/15/18

3,850,000

4,513,671

6.8% 5/15/38

8,950,000

10,698,642

Petrobras International Finance Co. Ltd.:

3.875% 1/27/16

10,192,000

10,339,488

5.75% 1/20/20

18,708,000

19,419,203

6.875% 1/20/40

470,000

519,350

7.875% 3/15/19

10,517,000

12,299,547

8.375% 12/10/18

495,000

591,195

Petrohawk Energy Corp.:

6.25% 6/1/19

1,290,000

1,406,100

7.25% 8/15/18

1,330,000

1,489,600

Petroleos de Venezuela SA:

4.9% 10/28/14

4,265,000

3,305,375

5% 10/28/15

380,000

266,000

5.375% 4/12/27

5,085,000

2,453,513

5.5% 4/12/37

2,670,000

1,248,225

8% 11/17/13

975,000

921,375

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Petroleos de Venezuela SA: - continued

8.5% 11/2/17 (e)

$ 6,055,000

$ 4,526,113

12.75% 2/17/22 (e)

3,580,000

2,917,700

Petroleos Mexicanos:

5.5% 1/21/21

12,069,000

12,823,313

6% 3/5/20

1,108,000

1,221,570

6.5% 6/2/41

350,000

378,000

6.5% 6/2/41 (e)

15,185,000

16,361,838

6.625% (e)(f)

2,565,000

2,571,413

8% 5/3/19

420,000

517,650

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

608,125

589,881

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

4,605,000

5,111,550

Plains All American Pipeline LP/PAA Finance Corp.:

3.95% 9/15/15

5,869,000

6,192,024

4.25% 9/1/12

485,000

495,891

5% 2/1/21

5,217,000

5,531,236

6.125% 1/15/17

6,185,000

6,949,008

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

500,000

530,000

PT Pertamina Persero:

5.25% 5/23/21 (e)

815,000

810,925

6.5% 5/27/41 (e)

595,000

595,000

Quicksilver Resources, Inc.:

7.125% 4/1/16

4,415,000

4,271,513

11.75% 1/1/16

2,255,000

2,536,875

Ras Laffan Liquefied Natural Gas Co. Ltd. III:

4.5% 9/30/12 (e)

4,773,000

4,862,494

5.5% 9/30/14 (e)

6,670,000

7,170,250

5.832% 9/30/16 (e)

1,299,465

1,390,428

6.332% 9/30/27 (e)

1,840,000

1,958,367

6.75% 9/30/19 (e)

4,366,000

5,217,370

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

3,392,000

3,589,482

Schlumberger Investment SA 3.3% 9/14/21 (e)

7,355,000

7,422,247

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

2,065,000

1,858,500

Southeast Supply Header LLC 4.85% 8/15/14 (e)

367,000

391,442

Spectra Energy Capital, LLC 5.65% 3/1/20

308,000

337,015

Spectra Energy Partners, LP:

2.95% 6/15/16

4,717,000

4,793,939

4.6% 6/15/21

2,694,000

2,760,838

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

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

$ 11,154,000

$ 13,050,024

Targa Resources Partners LP/Targa Resources Partners Finance Corp.:

6.875% 2/1/21 (e)

685,000

685,000

7.875% 10/15/18

2,205,000

2,249,100

Teekay Corp. 8.5% 1/15/20

675,000

642,938

Venoco, Inc. 8.875% 2/15/19

1,745,000

1,587,950

Western Gas Partners LP 5.375% 6/1/21

14,766,000

14,825,802

Williams Partners LP 4.125% 11/15/20

2,399,000

2,415,925

WPX Energy, Inc.:

5.25% 1/15/17 (e)

975,000

957,938

6% 1/15/22 (e)

1,535,000

1,523,488

XTO Energy, Inc.:

4.9% 2/1/14

267,000

290,550

5% 1/31/15

1,749,000

1,971,041

5.65% 4/1/16

1,200,000

1,423,354

YPF SA 10% 11/2/28

445,000

487,275

 

434,026,740

TOTAL ENERGY

527,242,620

FINANCIALS - 9.3%

Capital Markets - 1.3%

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

1,685,000

1,796,842

BlackRock, Inc. 4.25% 5/24/21

5,000,000

5,105,585

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

2,020,000

2,040,200

Goldman Sachs Group, Inc.:

3.7% 8/1/15

10,365,000

9,997,820

5.25% 7/27/21

27,721,000

25,582,020

5.625% 1/15/17

3,200,000

3,104,438

5.95% 1/18/18

4,975,000

4,941,956

6.75% 10/1/37

9,643,000

8,578,827

JPMorgan Chase Capital XX 6.55% 9/29/36

17,904,000

17,837,612

JPMorgan Chase Capital XXV 6.8% 10/1/37

7,405,000

7,375,491

Lazard Group LLC:

6.85% 6/15/17

4,817,000

5,049,473

7.125% 5/15/15

1,717,000

1,844,644

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

FINANCIALS - continued

Capital Markets - continued

Merrill Lynch & Co., Inc.:

5.45% 2/5/13

$ 13,533,000

$ 13,494,472

6.11% 1/29/37

4,768,000

3,695,381

6.4% 8/28/17

7,843,000

7,510,441

Morgan Stanley:

4.75% 4/1/14

5,820,000

5,585,600

5.5% 7/28/21

26,091,000

22,745,168

5.625% 9/23/19

12,714,000

11,098,724

6% 4/28/15

1,414,000

1,375,258

6.625% 4/1/18

16,118,000

15,161,510

 

173,921,462

Commercial Banks - 1.6%

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

490,000

524,300

Akbank T.A.S. 5.125% 7/22/15 (e)

1,265,000

1,215,981

Banco Nacional de Desenvolvimento Economico e Social:

5.5% 7/12/20 (e)

520,000

555,750

6.5% 6/10/19 (e)

325,000

366,763

Bank of America NA:

5.3% 3/15/17

6,601,000

5,789,051

6.1% 6/15/17

382,000

338,878

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

2,330,000

2,324,175

BBVA Paraguay SA 9.75% 2/11/16 (e)

1,145,000

1,202,250

CIT Group, Inc.:

7% 5/1/15

117

116

7% 5/4/15 (e)

5,689,000

5,575,220

7% 5/1/16

861

850

7% 5/2/16 (e)

3,596,000

3,488,120

7% 5/2/17 (e)

6,459,000

6,265,230

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

16,785,000

16,252,916

Development Bank of Kazakhstan JSC 5.5% 12/20/15 (e)

895,000

917,375

Development Bank of Philippines 8.375% (f)(k)

1,655,000

1,779,125

Discover Bank:

7% 4/15/20

2,458,000

2,515,382

8.7% 11/18/19

12,480,000

13,933,708

Eastern and Southern African Trade and Development Bank 6.875% 1/9/16 (Reg. S)

870,000

783,000

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

FINANCIALS - continued

Commercial Banks - continued

Export-Import Bank of Korea:

5.25% 2/10/14 (e)

$ 565,000

$ 593,350

5.5% 10/17/12

2,813,000

2,885,843

Fifth Third Bancorp:

3.625% 1/25/16

5,953,000

5,966,216

4.5% 6/1/18

798,000

772,680

8.25% 3/1/38

4,667,000

5,598,617

Fifth Third Bank 4.75% 2/1/15

1,329,000

1,371,501

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

6,912,000

6,670,080

HBOS PLC 6.75% 5/21/18 (e)

6,067,000

4,842,085

HSBK (Europe) BV:

7.25% 5/3/17 (e)

1,435,000

1,417,063

9.25% 10/16/13 (e)

1,285,000

1,352,463

Huntington Bancshares, Inc. 7% 12/15/20

2,851,000

3,156,322

JPMorgan Chase Bank 6% 10/1/17

11,313,000

12,097,602

KeyBank NA:

5.45% 3/3/16

3,939,000

4,211,118

5.8% 7/1/14

9,490,000

10,131,657

6.95% 2/1/28

1,977,000

2,153,673

KeyCorp. 5.1% 3/24/21

5,572,000

5,641,589

Manufacturers & Traders Trust Co. 1.8721% 4/1/13 (k)

720,797

719,368

Marshall & Ilsley Bank:

4.85% 6/16/15

4,520,000

4,718,509

5% 1/17/17

13,700,000

14,375,492

5.25% 9/4/12

3,162,000

3,261,473

PrivatBank 5.799% 2/9/16 (Issued by Standard Bank PLC for PrivatBank) (k)

240,000

135,600

Regions Bank:

6.45% 6/26/37

10,658,000

8,739,560

7.5% 5/15/18

6,622,000

6,357,120

Regions Financial Corp.:

0.5281% 6/26/12 (k)

338,000

328,584

5.75% 6/15/15

2,005,000

1,917,281

7.75% 11/10/14

6,404,000

6,484,050

RSHB Capital SA 6% 6/3/21 (e)

555,000

491,175

SunTrust Banks, Inc. 3.6% 4/15/16

9,501,000

9,525,076

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

FINANCIALS - continued

Commercial Banks - continued

The State Export-Import Bank of Ukraine JSC 5.7928% 2/9/16 (Issued by Credit Suisse First Boston International for The State Export-Import Bank of Ukraine JSC) (d)

$ 1,335,000

$ 907,800

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

555,000

521,700

Turkiye Garanti Bankasi A/S 2.9092% 4/20/16 (e)(k)

945,000

850,500

Turkiye Is Bankasi A/S 5.1% 2/1/16 (e)

910,000

872,235

UniCredit Luxembourg Finance SA 5.584% 1/13/17 (e)(k)

2,162,000

1,919,493

UnionBanCal Corp. 5.25% 12/16/13

826,000

850,683

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

2,800,000

2,786,000

Wachovia Bank NA:

4.8% 11/1/14

372,000

394,152

4.875% 2/1/15

1,756,000

1,841,607

Wachovia Corp.:

5.625% 10/15/16

4,239,000

4,523,755

5.75% 6/15/17

2,933,000

3,306,617

Wells Fargo & Co.:

3.625% 4/15/15

5,893,000

6,156,500

3.676% 6/15/16

4,301,000

4,500,089

3.75% 10/1/14

4,016,000

4,246,872

 

223,421,340

Consumer Finance - 0.7%

Ally Financial, Inc. 3.6492% 2/11/14 (k)

2,895,000

2,605,500

Discover Financial Services:

6.45% 6/12/17

10,366,000

10,701,910

10.25% 7/15/19

11,672,000

13,811,209

Ford Motor Credit Co. LLC:

3.875% 1/15/15

5,780,000

5,665,492

5% 5/15/18

5,670,000

5,571,915

5.875% 8/2/21

3,490,000

3,565,764

12% 5/15/15

3,440,000

4,205,400

General Electric Capital Corp.:

2.25% 11/9/15

314,000

310,892

4.625% 1/7/21

5,706,000

5,661,927

5.625% 9/15/17

5,858,000

6,427,925

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

FINANCIALS - continued

Consumer Finance - continued

General Electric Capital Corp.: - continued

5.625% 5/1/18

$ 25,000,000

$ 27,304,175

6.375% 11/15/67 (k)

9,000,000

8,679,375

HSBC Finance Corp. 5.9% 6/19/12

578,000

590,307

 

95,101,791

Diversified Financial Services - 2.1%

Aquarius Investments Luxemburg 8.25% 2/18/16

1,025,000

1,025,000

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

27,955,000

25,482,995

Biz Finance PLC 8.375% 4/27/15 (Reg. S)

1,425,000

1,264,688

BP Capital Markets PLC:

3.125% 10/1/15

10,828,000

11,170,522

3.625% 5/8/14

711,000

746,043

4.5% 10/1/20

650,000

698,942

4.742% 3/11/21

8,800,000

9,709,480

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

2,655,000

2,820,938

Capital One Capital V 10.25% 8/15/39

5,267,000

5,464,513

CCO Holdings LLC/CCO Holdings Capital Corp.:

6.5% 4/30/21

3,975,000

3,830,906

7% 1/15/19

8,610,000

8,653,050

7.25% 10/30/17

3,380,000

3,456,050

7.375% 6/1/20 (g)

1,225,000

1,225,000

7.875% 4/30/18

865,000

896,356

CIT Group, Inc. 6.625% 4/1/18 (e)

1,215,000

1,227,150

Citigroup, Inc.:

3.953% 6/15/16

11,847,000

11,614,455

4.75% 5/19/15

32,881,000

33,040,374

5.5% 4/11/13

13,549,000

13,877,739

6.125% 5/15/18

8,677,000

9,034,371

6.5% 8/19/13

13,174,000

13,709,022

City of Buenos Aires 12.5% 4/6/15 (e)

3,155,000

3,186,550

Fibria Overseas Finance Ltd. 7.5% 5/4/20 (e)

550,000

541,750

General Motors Financial Co., Inc. 6.75% 6/1/18 (e)

1,500,000

1,511,250

Icahn Enterprises LP/Icahn Enterprises Finance Corp.:

7.75% 1/15/16

3,715,000

3,831,094

8% 1/15/18

4,960,000

5,059,200

ILFC E-Capital Trust II 6.25% 12/21/65 (e)(k)

1,250,000

821,875

Indo Energy Finance BV 7% 5/7/18 (e)

525,000

519,750

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

FINANCIALS - continued

Diversified Financial Services - continued

JPMorgan Chase & Co.:

3.15% 7/5/16

$ 13,000,000

$ 12,799,930

3.4% 6/24/15

642,000

652,190

4.35% 8/15/21

13,339,000

13,008,366

4.95% 3/25/20

17,148,000

17,640,816

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

9,415,000

9,320,850

Offshore Group Investment Ltd. 11.5% 8/1/15

3,475,000

3,770,375

Prime Property Funding, Inc.:

5.125% 6/1/15 (e)

2,806,000

2,842,506

5.5% 1/15/14 (e)

867,000

886,053

5.7% 4/15/17 (e)

2,115,000

2,137,569

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

915,000

915,000

Reynolds Group DL Escrow LLC 8.75% 10/15/16 (e)

3,000,000

3,097,500

Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA 9% 5/15/18 (e)

970,000

875,425

Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA:

7.875% 8/15/19 (e)

3,760,000

3,778,800

9.875% 8/15/19 (e)

1,670,000

1,523,875

Steel Capital SA Ln Partner Net Program 6.25% 7/26/16 (e)

1,145,000

1,067,713

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

364,436

317,059

T2 Capital Finance Co. SA 6.95% 2/6/17 (Reg. S) (d)

878,000

873,610

TECO Finance, Inc.:

4% 3/15/16

2,562,000

2,688,637

5.15% 3/15/20

3,761,000

4,138,134

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

4,317,000

4,489,680

Unitymedia Hessen GmbH & Co. KG / Unitymedia NRW GmbH 8.125% 12/1/17 (e)

370,000

382,950

UPCB Finance III Ltd. 6.625% 7/1/20 (e)

3,305,000

3,156,275

Vnesheconombank Via VEB Finance PLC 6.8% 11/22/25 (e)

605,000

603,488

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

5,768,176

4,210,648

WM Finance Corp. 11.5% 10/1/18 (e)

755,000

739,900

ZFS Finance USA Trust II 6.45% 12/15/65 (e)(k)

5,755,000

5,280,213

ZFS Finance USA Trust IV 5.875% 5/9/62 (e)(k)

1,673,000

1,622,810

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

FINANCIALS - continued

Diversified Financial Services - continued

ZFS Finance USA Trust V 6.5% 5/9/67 (e)(k)

$ 3,125,000

$ 2,781,250

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

1,885,000

1,866,150

 

281,886,835

Insurance - 1.5%

Allstate Corp.:

5.55% 5/9/35

7,505,000

7,680,504

6.2% 5/16/14

6,893,000

7,692,202

American International Group, Inc. 4.875% 9/15/16

12,796,000

11,969,263

Aon Corp.:

3.125% 5/27/16

11,274,000

11,301,576

3.5% 9/30/15

4,451,000

4,544,182

5% 9/30/20

3,854,000

4,108,325

6.25% 9/30/40

3,160,000

3,736,008

Assurant, Inc. 5.625% 2/15/14

2,384,000

2,481,470

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

558,000

585,314

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

1,859,000

1,784,640

Hartford Financial Services Group, Inc. 5.375% 3/15/17

194,000

191,177

Liberty Mutual Group, Inc.:

5% 6/1/21 (e)

11,772,000

11,149,579

6.5% 3/15/35 (e)

1,741,000

1,667,822

Marsh & McLennan Companies, Inc. 4.8% 7/15/21

7,090,000

7,483,906

MetLife, Inc.:

4.75% 2/8/21

4,032,000

4,202,304

5% 6/15/15

1,163,000

1,261,160

5.875% 2/6/41

3,113,000

3,308,213

6.125% 12/1/11

990,000

990,000

6.75% 6/1/16

7,610,000

8,640,638

Metropolitan Life Global Funding I:

5.125% 4/10/13 (e)

559,000

584,243

5.125% 6/10/14 (e)

6,751,000

7,247,469

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

2,746,000

2,900,215

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

3,590,000

4,397,057

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

5,682,000

6,438,132

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

12,118,000

12,689,970

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

5,674,000

7,399,741

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

FINANCIALS - continued

Insurance - continued

Pacific LifeCorp 6% 2/10/20 (e)

$ 6,323,000

$ 6,643,127

Prudential Financial, Inc.:

3.625% 9/17/12

11,000,000

11,160,930

4.5% 11/16/21

8,000,000

7,762,472

4.75% 9/17/15

11,000,000

11,548,031

5.15% 1/15/13

2,966,000

3,079,349

5.8% 11/16/41

8,000,000

7,689,344

7.375% 6/15/19

3,230,000

3,704,096

8.875% 6/15/38 (k)

1,915,000

2,144,800

QBE Insurance Group Ltd. 5.647% 7/1/23 (e)(k)

320,000

296,939

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

6,375,000

6,388,445

The Chubb Corp. 5.75% 5/15/18

4,035,000

4,711,625

Unum Group:

5.625% 9/15/20

5,753,000

5,972,339

7.125% 9/30/16

587,000

673,119

 

208,209,726

Real Estate Investment Trusts - 0.5%

AvalonBay Communities, Inc.:

4.95% 3/15/13

367,000

380,306

5.5% 1/15/12

2,071,000

2,079,626

BRE Properties, Inc. 5.5% 3/15/17

661,000

703,958

Camden Property Trust:

5.375% 12/15/13

4,073,000

4,262,056

5.875% 11/30/12

670,000

690,375

Developers Diversified Realty Corp.:

4.75% 4/15/18

8,570,000

8,014,090

5.375% 10/15/12

5,101,000

5,138,931

7.5% 4/1/17

5,574,000

6,050,728

7.875% 9/1/20

323,000

349,301

Duke Realty LP:

4.625% 5/15/13

1,106,000

1,132,338

5.875% 8/15/12

1,017,000

1,041,449

Equity One, Inc.:

5.375% 10/15/15

1,403,000

1,439,684

6% 9/15/17

890,000

908,332

6.25% 12/15/14

6,140,000

6,457,561

6.25% 1/15/17

494,000

514,156

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

FINANCIALS - continued

Real Estate Investment Trusts - continued

Federal Realty Investment Trust:

5.4% 12/1/13

$ 441,000

$ 460,607

5.9% 4/1/20

2,504,000

2,673,250

6% 7/15/12

3,658,000

3,730,622

6.2% 1/15/17

620,000

683,480

HMB Capital Trust V 3.9471% 12/15/36 (b)(e)(k)

270,000

0

HRPT Properties Trust:

5.75% 11/1/15

2,386,000

2,478,980

6.25% 6/15/17

1,232,000

1,294,883

6.65% 1/15/18

867,000

922,711

MPT Operating Partnership LP/MPT Finance Corp. 6.875% 5/1/21

1,760,000

1,751,200

Omega Healthcare Investors, Inc.:

6.75% 10/15/22

3,190,000

3,118,225

7% 1/15/16

3,060,000

3,113,550

Senior Housing Properties Trust:

6.75% 4/15/20

940,000

999,697

8.625% 1/15/12

250,000

251,599

UDR, Inc. 5.5% 4/1/14

5,222,000

5,523,591

Washington (REIT) 5.25% 1/15/14

322,000

339,791

 

66,505,077

Real Estate Management & Development - 1.4%

AMB Property LP 5.9% 8/15/13

2,580,000

2,674,041

BioMed Realty LP:

3.85% 4/15/16

11,000,000

10,819,193

6.125% 4/15/20

3,429,000

3,515,404

Brandywine Operating Partnership LP:

5.7% 5/1/17

7,049,000

7,220,848

5.75% 4/1/12

2,972,000

2,997,256

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

5,165,000

5,203,738

Colonial Properties Trust 6.875% 8/15/12

5,706,000

5,808,600

Colonial Realty LP 6.05% 9/1/16

2,000,000

2,039,632

Digital Realty Trust LP:

4.5% 7/15/15

4,981,000

5,056,079

5.25% 3/15/21

5,708,000

5,596,763

Duke Realty LP:

5.4% 8/15/14

5,561,000

5,795,780

5.95% 2/15/17

1,109,000

1,170,788

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

FINANCIALS - continued

Real Estate Management & Development - continued

Duke Realty LP: - continued

6.25% 5/15/13

$ 14,494,000

$ 15,155,129

6.5% 1/15/18

3,795,000

4,074,817

6.75% 3/15/20

10,379,000

11,046,795

8.25% 8/15/19

75,000

87,175

ERP Operating LP:

4.75% 7/15/20

7,700,000

7,754,216

5.25% 9/15/14

1,310,000

1,387,718

5.375% 8/1/16

2,768,000

2,984,607

5.5% 10/1/12

3,690,000

3,797,268

5.75% 6/15/17

14,407,000

15,634,174

Forest City Enterprises, Inc.:

6.5% 2/1/17

450,000

420,750

7.625% 6/1/15

100,000

98,500

Highwoods/Forsyth LP 5.85% 3/15/17

615,000

645,735

Host Hotels & Resorts LP:

5.875% 6/15/19 (e)

2,150,000

2,166,125

6% 11/1/20

105,000

105,788

6% 10/1/21 (e)

825,000

831,188

Liberty Property LP:

4.75% 10/1/20

11,627,000

11,642,871

5.125% 3/2/15

1,405,000

1,494,573

5.5% 12/15/16

1,891,000

2,026,477

6.625% 10/1/17

4,835,000

5,441,043

Mack-Cali Realty LP 7.75% 8/15/19

700,000

825,060

Post Apartment Homes LP 6.3% 6/1/13

3,812,000

3,976,358

Realogy Corp. 7.875% 2/15/19 (e)

2,880,000

2,462,400

Reckson Operating Partnership LP 6% 3/31/16

3,651,000

3,781,961

Regency Centers LP:

4.95% 4/15/14

611,000

639,963

5.25% 8/1/15

2,133,000

2,262,499

5.875% 6/15/17

1,089,000

1,180,034

Simon Property Group LP:

2.8% 1/30/17

2,603,000

2,607,675

4.125% 12/1/21

7,287,000

7,266,043

4.2% 2/1/15

3,659,000

3,866,370

Tanger Properties LP:

6.125% 6/1/20

13,473,000

14,676,220

6.15% 11/15/15

1,777,000

1,961,726

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

FINANCIALS - continued

Real Estate Management & Development - continued

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

$ 2,875,000

$ 2,935,088

Ventas Realty LP 6.75% 4/1/17

250,000

259,697

 

193,394,165

Thrifts & Mortgage Finance - 0.2%

Bank of America Corp.:

3.75% 7/12/16

5,755,000

5,005,572

5.65% 5/1/18

8,780,000

7,724,495

6.5% 8/1/16

9,000,000

8,696,331

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

7,993,000

8,716,718

Wrightwood Capital LLC 1.9% 4/20/20

112,350

38,648

 

30,181,764

TOTAL FINANCIALS

1,272,622,160

HEALTH CARE - 0.7%

Biotechnology - 0.1%

Amgen, Inc. 5.15% 11/15/41

12,000,000

11,568,564

Celgene Corp. 2.45% 10/15/15

613,000

622,828

 

12,191,392

Health Care Equipment & Supplies - 0.0%

Aviv Healthcare Properties LP/Aviv Healthcare Capital Corp. 7.75% 2/15/19

260,000

245,700

Health Care Providers & Services - 0.5%

Aristotle Holding, Inc. 4.75% 11/15/21 (e)

12,009,000

12,122,677

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

1,120,000

1,146,656

Coventry Health Care, Inc.:

5.95% 3/15/17

1,747,000

1,950,097

6.3% 8/15/14

3,618,000

3,934,825

Emergency Medical Services Corp. 8.125% 6/1/19

4,610,000

4,529,325

Express Scripts, Inc.:

3.125% 5/15/16

10,525,000

10,442,421

5.25% 6/15/12

7,157,000

7,314,461

6.25% 6/15/14

2,629,000

2,876,058

HCA, Inc.:

6.5% 2/15/20

2,705,000

2,698,238

7.25% 9/15/20

115,000

116,438

HealthSouth Corp. 7.25% 10/1/18

2,705,000

2,630,613

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

HEALTH CARE - continued

Health Care Providers & Services - continued

IASIS Healthcare LLC/IASIS Capital Corp. 8.375% 5/15/19 (e)

$ 4,395,000

$ 3,647,850

Medco Health Solutions, Inc.:

2.75% 9/15/15

1,176,000

1,164,880

4.125% 9/15/20

7,486,000

7,347,711

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

2,580,000

2,521,950

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

164,000

154,160

Tenet Healthcare Corp. 6.25% 11/1/18 (e)

1,650,000

1,617,000

 

66,215,360

Health Care Technology - 0.0%

DJO Finance LLC/DJO Finance Corp.:

7.75% 4/15/18

925,000

749,250

10.875% 11/15/14

4,115,000

3,868,100

 

4,617,350

Pharmaceuticals - 0.1%

Endo Pharmaceuticals Holdings, Inc.:

7% 7/15/19 (e)

860,000

879,350

7.25% 1/15/22 (e)

860,000

879,350

Mylan, Inc.:

6% 11/15/18 (e)

3,030,000

3,037,575

7.625% 7/15/17 (e)

1,115,000

1,229,288

Valeant Pharmaceuticals International:

6.5% 7/15/16 (e)

4,500,000

4,387,500

6.875% 12/1/18 (e)

3,440,000

3,336,800

7% 10/1/20 (e)

255,000

242,250

Watson Pharmaceuticals, Inc. 5% 8/15/14

720,000

773,496

 

14,765,609

TOTAL HEALTH CARE

98,035,411

INDUSTRIALS - 1.0%

Aerospace & Defense - 0.1%

BAE Systems Holdings, Inc.:

4.95% 6/1/14 (e)

572,000

605,020

6.375% 6/1/19 (e)

8,071,000

9,034,936

6.4% 12/15/11 (e)

818,000

819,151

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

INDUSTRIALS - continued

Aerospace & Defense - continued

BE Aerospace, Inc. 6.875% 10/1/20

$ 2,090,000

$ 2,220,625

Huntington Ingalls Industries, Inc. 6.875% 3/15/18 (e)

3,100,000

3,007,000

 

15,686,732

Airlines - 0.2%

Continental Airlines, Inc.:

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

350,394

357,402

6.648% 3/15/19

3,249,044

3,301,679

6.75% 9/15/15 (e)

4,585,000

4,550,613

6.9% 7/2/19

942,455

967,148

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

2,564,970

2,641,919

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

6.375% 1/2/16

1,515,000

1,378,650

6.75% 11/23/15

1,515,000

1,393,800

8.021% 8/10/22

1,444,844

1,379,826

8.954% 8/10/14

1,981,876

1,942,238

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

700,470

679,456

U.S. Airways pass-thru trust certificates:

6.85% 1/30/18

1,905,565

1,886,509

8.36% 1/20/19

1,441,215

1,426,803

United Air Lines, Inc. 9.875% 8/1/13 (e)

707,000

733,513

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

Class B, 7.336% 7/2/19

806,507

725,856

9.75% 1/15/17

2,134,421

2,305,174

12% 1/15/16 (e)

730,061

763,790

 

26,434,376

Building Products - 0.1%

Building Materials Corp. of America:

6.75% 5/1/21 (e)

4,910,000

4,885,450

6.875% 8/15/18 (e)

3,715,000

3,752,150

Griffon Corp. 7.125% 4/1/18

2,220,000

2,131,200

 

10,768,800

Commercial Services & Supplies - 0.2%

ARAMARK Corp.:

3.9294% 2/1/15 (k)

5,440,000

5,127,200

8.5% 2/1/15

2,000,000

2,055,000

ARAMARK Holdings Corp. 8.625% 5/1/16 pay-in-kind (e)(k)

7,325,000

7,471,500

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

INDUSTRIALS - continued

Commercial Services & Supplies - continued

Covanta Holding Corp. 7.25% 12/1/20

$ 4,950,000

$ 5,063,964

International Lease Finance Corp.:

5.75% 5/15/16

1,330,000

1,197,000

6.75% 9/1/16 (e)

1,620,000

1,640,250

8.625% 9/15/15

2,745,000

2,724,413

8.75% 3/15/17

2,865,000

2,879,325

8.875% 9/1/17

1,665,000

1,681,650

WP Rocket Merger Sub, Inc. 10.125% 7/15/19 (e)

2,855,000

2,569,500

 

32,409,802

Construction & Engineering - 0.0%

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

2,535,000

2,649,075

Odebrecht Finance Ltd. 7.5% (e)(f)

2,455,000

2,393,625

 

5,042,700

Electrical Equipment - 0.0%

Sensata Technologies BV 6.5% 5/15/19 (e)

2,060,000

1,998,200

Industrial Conglomerates - 0.2%

General Electric Co. 5.25% 12/6/17

17,730,000

19,817,743

Marine - 0.0%

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

280,000

208,600

Navios Maritime Holdings, Inc. 8.875% 11/1/17

700,000

651,000

SCF Capital Ltd. 5.375% 10/27/17 (e)

480,000

428,400

 

1,288,000

Professional Services - 0.0%

FTI Consulting, Inc. 6.75% 10/1/20

2,515,000

2,533,863

Road & Rail - 0.2%

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

7.625% 5/15/14

1,202,000

1,205,005

7.75% 5/15/16

1,935,000

1,903,460

Georgian Railway Ltd. 9.875% 7/22/15

575,000

573,563

Hertz Corp.:

6.75% 4/15/19

3,920,000

3,802,400

7.5% 10/15/18

8,330,000

8,350,825

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

1,335,000

1,548,600

Swift Services Holdings, Inc. 10% 11/15/18

3,835,000

3,978,813

 

21,362,666

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

INDUSTRIALS - continued

Trading Companies & Distributors - 0.0%

Aircastle Ltd. 9.75% 8/1/18

$ 1,575,000

$ 1,645,875

Transportation Infrastructure - 0.0%

Aeropuertos Argentina 2000 SA 10.75% 12/1/20 (e)

852,630

865,419

TOTAL INDUSTRIALS

139,854,176

INFORMATION TECHNOLOGY - 0.4%

Communications Equipment - 0.1%

Avaya, Inc.:

9.75% 11/1/15

1,155,000

889,350

10.125% 11/1/15 pay-in-kind (k)

1,120,000

868,000

Lucent Technologies, Inc.:

6.45% 3/15/29

8,010,000

5,767,200

6.5% 1/15/28

1,240,000

892,800

 

8,417,350

Computers & Peripherals - 0.0%

CDW Escrow Corp. 8.5% 4/1/19 (e)

2,855,000

2,697,975

Seagate HDD Cayman:

6.875% 5/1/20

575,000

576,438

7% 11/1/21 (e)

1,870,000

1,870,000

 

5,144,413

Electronic Equipment & Components - 0.1%

Jabil Circuit, Inc. 5.625% 12/15/20

935,000

925,650

Sanmina-SCI Corp. 7% 5/15/19 (e)

7,945,000

7,349,125

Tyco Electronics Group SA:

5.95% 1/15/14

3,835,000

4,105,636

6% 10/1/12

4,835,000

5,033,303

6.55% 10/1/17

1,383,000

1,594,234

 

19,007,948

Internet Software & Services - 0.0%

Equinix, Inc. 8.125% 3/1/18

4,300,000

4,601,000

IT Services - 0.0%

Audatex North America, Inc. 6.75% 6/15/18 (e)

380,000

383,800

Ceridian Corp.:

11.25% 11/15/15

1,110,000

846,375

12.25% 11/15/15 pay-in-kind (k)

795,000

596,250

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

INFORMATION TECHNOLOGY - continued

IT Services - continued

SunGard Data Systems, Inc.:

7.375% 11/15/18

$ 1,095,000

$ 1,079,889

10.25% 8/15/15

1,765,000

1,826,775

 

4,733,089

Office Electronics - 0.1%

Xerox Corp.:

4.25% 2/15/15

368,000

382,515

4.5% 5/15/21

4,102,000

4,076,965

5.5% 5/15/12

1,998,000

2,037,954

 

6,497,434

Semiconductors & Semiconductor Equipment - 0.1%

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

970,000

966,314

Amkor Technology, Inc.:

6.625% 6/1/21

4,061,000

3,725,968

7.375% 5/1/18

2,060,000

2,049,700

Spansion LLC 7.875% 11/15/17 (e)

3,465,000

3,326,400

 

10,068,382

TOTAL INFORMATION TECHNOLOGY

58,469,616

MATERIALS - 1.2%

Chemicals - 0.5%

Braskem America Finance Co. 7.125% 7/22/41 (e)

735,000

716,625

Braskem Finance Ltd.:

5.75% 4/15/21 (e)

515,000

509,850

7% 5/7/20 (e)

460,000

485,300

Celanese US Holdings LLC 6.625% 10/15/18

1,935,000

2,041,425

Dow Chemical Co.:

4.125% 11/15/21

10,888,000

10,778,293

4.25% 11/15/20

5,898,000

5,928,422

4.85% 8/15/12

11,805,000

12,106,157

5.25% 11/15/41

5,421,000

5,282,694

7.6% 5/15/14

16,974,000

19,188,581

Huntsman International LLC 8.625% 3/15/20

1,160,000

1,177,400

Inergy LP/Inergy Finance Corp.:

6.875% 8/1/21

685,000

657,600

7% 10/1/18

1,865,000

1,827,700

Kinove German Bondco GmbH 9.625% 6/15/18 (e)

1,250,000

1,131,250

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

MATERIALS - continued

Chemicals - continued

Lyondell Chemical Co.:

8% 11/1/17

$ 853,000

$ 927,638

11% 5/1/18

1,295,163

1,395,538

LyondellBasell Industries NV 6% 11/15/21 (e)

700,000

712,250

NOVA Chemicals Corp. 3.7836% 11/15/13 (k)

2,720,000

2,658,800

 

67,525,523

Construction Materials - 0.0%

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

2,286,000

2,423,165

Headwaters, Inc. 7.625% 4/1/19

1,580,000

1,339,050

 

3,762,215

Containers & Packaging - 0.1%

Ardagh Packaging Finance PLC 7.375% 10/15/17 (e)

2,500,000

2,537,500

Sealed Air Corp.:

8.125% 9/15/19 (e)

5,155,000

5,412,750

8.375% 9/15/21 (e)

1,325,000

1,407,813

 

9,358,063

Metals & Mining - 0.6%

Alrosa Finance SA:

(Reg. S) 8.875% 11/17/14

1,185,000

1,282,763

7.75% 11/3/20 (e)

700,000

701,750

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

6,817,000

7,843,068

ArcelorMittal SA 3.75% 3/1/16

2,911,000

2,703,224

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

1,975,000

2,002,782

Boart Longyear Management Pty Ltd. 7% 4/1/21 (e)

930,000

943,950

Corporacion Nacional del Cobre de Chile (Codelco):

3.875% 11/3/21 (e)

11,456,000

11,456,000

6.375% 11/30/12 (e)

2,002,000

2,096,000

Edgen Murray Corp. 12.25% 1/15/15

4,450,000

3,938,250

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

2,990,000

2,833,025

EVRAZ Group SA:

8.25% 11/10/15 (e)

1,255,000

1,276,963

9.5% 4/24/18 (Reg. S)

680,000

699,550

FMG Resources (August 2006) Pty Ltd.:

6.375% 2/1/16 (e)

710,000

670,950

6.875% 2/1/18 (e)

580,000

533,600

7% 11/1/15 (e)

4,075,000

3,973,125

8.25% 11/1/19 (e)

3,295,000

3,237,338

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

MATERIALS - continued

Metals & Mining - continued

JMC Steel Group, Inc. 8.25% 3/15/18 (e)

$ 3,180,000

$ 2,989,200

McJunkin Red Man Corp. 9.5% 12/15/16

4,770,000

4,704,413

Metinvest BV 10.25% 5/20/15 (e)

935,000

897,600

Rio Tinto Finance (USA) Ltd. 3.75% 9/20/21

7,654,000

7,741,409

Severstal Columbus LLC 10.25% 2/15/18

4,610,000

4,748,300

Southern Copper Corp. 6.75% 4/16/40

1,690,000

1,718,037

Steel Dynamics, Inc.:

6.75% 4/1/15

720,000

723,600

7.625% 3/15/20

2,350,000

2,397,000

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

1,700,000

1,712,750

Vale Overseas Ltd. 6.25% 1/23/17

5,581,000

6,167,474

Vedanta Resources PLC:

6.75% 6/7/16 (e)

3,090,000

2,611,050

8.25% 6/7/21 (e)

1,600,000

1,280,000

Votorantim Cimentos SA 7.25% 4/5/41 (e)

515,000

493,113

 

84,376,284

Paper & Forest Products - 0.0%

Sino-Forest Corp. 6.25% 10/21/17 (e)

1,295,000

453,250

TOTAL MATERIALS

165,475,335

TELECOMMUNICATION SERVICES - 1.8%

Diversified Telecommunication Services - 1.0%

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

1,635,000

1,810,763

AT&T, Inc.:

2.5% 8/15/15

7,670,000

7,884,277

3.875% 8/15/21

8,800,000

8,902,652

5.35% 9/1/40

4,006,000

4,191,253

6.3% 1/15/38

16,665,000

19,390,711

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

742,000

963,954

CenturyLink, Inc.:

6.15% 9/15/19

4,793,000

4,612,179

6.45% 6/15/21

16,521,000

15,918,529

7.6% 9/15/39

1,274,000

1,198,061

Embarq Corp. 7.995% 6/1/36

4,717,000

4,743,217

Frontier Communications Corp. 8.125% 10/1/18

805,000

768,775

Intelsat Ltd. 11.25% 6/15/16

2,570,000

2,672,800

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

TELECOMMUNICATION SERVICES - continued

Diversified Telecommunication Services - continued

Intelsat Luxembourg SA:

11.25% 2/4/17

$ 4,215,000

$ 3,856,725

11.5% 2/4/17 pay-in-kind (e)(k)

1,860,000

1,674,000

11.5% 2/4/17 pay-in-kind (k)

8,308,205

7,602,008

Sprint Capital Corp. 8.75% 3/15/32

885,000

688,088

Telefonica Emisiones SAU:

5.134% 4/27/20

10,522,000

9,272,313

5.462% 2/16/21

6,967,000

6,213,658

6.421% 6/20/16

1,162,000

1,178,122

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

530,000

523,375

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

3,760,000

3,703,600

Verizon Communications, Inc.:

3.5% 11/1/21

12,600,000

12,526,693

6.1% 4/15/18

6,000,000

7,088,634

6.25% 4/1/37

2,348,000

2,758,045

6.9% 4/15/38

6,295,000

7,945,499

Wind Acquisition Finance SA:

7.25% 2/15/18 (e)

830,000

724,175

11.75% 7/15/17 (e)

2,220,000

1,914,750

 

140,726,856

Wireless Telecommunication Services - 0.8%

America Movil SAB de CV:

2.375% 9/8/16

15,982,000

15,600,094

3.625% 3/30/15

731,000

761,386

Digicel Group Ltd.:

8.25% 9/1/17 (e)

3,400,000

3,332,000

8.875% 1/15/15 (e)

5,755,000

5,639,900

9.125% 1/15/15 pay-in-kind (e)(k)

3,770,000

3,704,025

DIRECTV Holdings LLC/DIRECTV Financing, Inc.:

4.75% 10/1/14

10,517,000

11,374,009

5.875% 10/1/19

11,944,000

13,156,567

6.35% 3/15/40

3,541,000

3,855,147

Intelsat Jackson Holdings SA:

7.25% 4/1/19 (e)

2,445,000

2,383,875

9.5% 6/15/16

2,935,000

3,034,203

MetroPCS Wireless, Inc. 7.875% 9/1/18

1,935,000

1,838,250

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

1,780,000

1,880,036

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

TELECOMMUNICATION SERVICES - continued

Wireless Telecommunication Services - continued

Nextel Communications, Inc.:

5.95% 3/15/14

$ 7,720,000

$ 7,063,800

6.875% 10/31/13

9,105,000

8,877,375

7.375% 8/1/15

4,995,000

4,395,600

NII Capital Corp.:

7.625% 4/1/21

390,000

386,100

10% 8/15/16

750,000

851,250

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

2,970,000

2,776,950

Sprint Nextel Corp.:

6% 12/1/16

3,725,000

2,970,688

9% 11/15/18 (e)

1,050,000

1,061,760

11.5% 11/15/21 (e)

1,320,000

1,244,100

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

1,545,000

1,575,900

VimpelCom Holdings BV:

4.3652% 6/29/14 (e)(k)

1,925,000

1,848,000

7.5043% 3/1/22 (e)

5,225,000

4,545,750

VIP Finance Ireland Ltd. 7.748% 2/2/21 (e)

600,000

534,000

Vodafone Group PLC 5% 12/16/13

2,864,000

3,072,198

 

107,762,963

TOTAL TELECOMMUNICATION SERVICES

248,489,819

UTILITIES - 2.4%

Electric Utilities - 1.2%

Alabama Power Co. 3.375% 10/1/20

5,927,000

6,201,070

Ameren Illinois Co. 6.125% 11/15/17

3,112,000

3,625,664

AmerenUE 6.4% 6/15/17

2,491,000

2,966,108

Cleveland Electric Illuminating Co. 5.65% 12/15/13

1,016,000

1,091,262

Commonwealth Edison Co. 1.625% 1/15/14

8,924,000

8,984,906

Duquesne Light Holdings, Inc.:

5.9% 12/1/21 (e)

6,944,000

7,059,180

6.4% 9/15/20 (e)

16,661,000

17,479,388

Edison International 3.75% 9/15/17

6,674,000

6,824,912

EDP Finance BV:

4.9% 10/1/19 (e)

6,700,000

4,923,837

6% 2/2/18 (e)

6,852,000

5,591,986

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

470,000

380,700

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

UTILITIES - continued

Electric Utilities - continued

Enel Finance International SA 5.7% 1/15/13 (e)

$ 206,000

$ 209,180

FirstEnergy Corp. 7.375% 11/15/31

13,130,000

15,394,452

FirstEnergy Solutions Corp.:

4.8% 2/15/15

2,432,000

2,599,844

6.05% 8/15/21

9,801,000

10,725,078

InterGen NV 9% 6/30/17 (e)

5,270,000

5,480,800

IPALCO Enterprises, Inc. 5% 5/1/18 (e)

2,895,000

2,779,779

LG&E and KU Energy LLC:

2.125% 11/15/15

7,369,000

7,220,618

3.75% 11/15/20

1,450,000

1,446,700

Majapahit Holding BV:

7.75% 1/20/20 (e)

850,000

969,000

8% 8/7/19 (e)

485,000

557,750

Mirant Americas Generation LLC:

8.5% 10/1/21

3,430,000

3,121,300

9.125% 5/1/31

3,010,000

2,678,900

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

390,000

442,650

Nevada Power Co.:

6.5% 5/15/18

790,000

941,727

6.5% 8/1/18

388,000

464,701

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

2,245,000

2,301,125

Otter Tail Corp. 9% 12/15/16

2,410,000

2,590,750

Pacific Gas & Electric Co. 3.25% 9/15/21

1,773,000

1,768,520

Pennsylvania Electric Co. 6.05% 9/1/17

764,000

870,156

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

7,047,000

7,093,834

Progress Energy, Inc.:

4.4% 1/15/21

12,059,000

13,016,280

6% 12/1/39

7,150,000

8,661,353

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

1,945,000

2,076,054

Wisconsin Electric Power Co. 2.95% 9/15/21

2,058,000

2,061,420

 

160,600,984

Gas Utilities - 0.0%

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

665,000

704,900

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

442,000

504,225

Southern Natural Gas Co. / Southern Natural Issuing Corp. 4.4% 6/15/21

3,646,000

3,637,523

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

1,945,000

1,731,050

 

6,577,698

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

UTILITIES - continued

Independent Power Producers & Energy Traders - 0.5%

Atlantic Power Corp. 9% 11/15/18 (e)

$ 2,015,000

$ 1,994,850

Dolphin Subsidiary II, Inc.:

6.5% 10/15/16 (e)

5,275,000

5,472,813

7.25% 10/15/21 (e)

3,430,000

3,592,925

Duke Capital LLC 5.668% 8/15/14

2,563,000

2,808,607

Exelon Generation Co. LLC:

4% 10/1/20

16,870,000

17,209,036

5.35% 1/15/14

1,528,000

1,635,036

GenOn Energy, Inc.:

9.5% 10/15/18

2,295,000

2,257,592

9.875% 10/15/20

1,185,000

1,176,113

Kinder Morgan Finance Co. LLC 6% 1/15/18 (e)

3,030,000

3,045,150

Power Sector Assets and Liabilities Management Corp.:

7.25% 5/27/19 (e)

820,000

984,000

7.39% 12/2/24 (e)

750,000

912,225

PPL Energy Supply LLC 6.5% 5/1/18

6,895,000

7,847,744

PSEG Power LLC 2.75% 9/15/16

2,786,000

2,783,961

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

8,000,000

7,960,000

The AES Corp.:

7.375% 7/1/21 (e)

1,615,000

1,683,638

7.75% 10/15/15

2,345,000

2,485,700

8% 10/15/17

4,575,000

4,883,813

 

68,733,203

Multi-Utilities - 0.7%

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

3,771,000

4,603,328

Dominion Resources, Inc.:

2.6686% 9/30/66 (k)

13,037,000

11,021,949

7.5% 6/30/66 (k)

10,345,000

10,862,250

MidAmerican Energy Holdings, Co.:

5.875% 10/1/12

3,506,000

3,645,374

6.5% 9/15/37

7,097,000

8,878,382

National Grid PLC 6.3% 8/1/16

1,589,000

1,822,178

NiSource Finance Corp.:

4.45% 12/1/21

4,928,000

4,974,653

5.25% 9/15/17

843,000

925,717

5.4% 7/15/14

1,680,000

1,820,285

5.45% 9/15/20

854,000

926,417

Corporate Bonds - continued

 

Principal Amount (c)

Value

Nonconvertible Bonds - continued

UTILITIES - continued

Multi-Utilities - continued

NiSource Finance Corp.: - continued

5.8% 2/1/42

$ 6,336,000

$ 6,478,870

5.95% 6/15/41

11,832,000

12,007,682

6.25% 12/15/40

2,345,000

2,477,593

6.4% 3/15/18

1,654,000

1,899,027

6.8% 1/15/19

6,774,000

7,878,311

Puget Energy, Inc.:

6% 9/1/21

2,464,000

2,460,132

6.5% 12/15/20

2,275,000

2,371,688

San Diego Gas & Electric Co. 3% 8/15/21

3,009,000

3,090,658

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

3,860,000

3,860,000

 

92,004,494

Water Utilities - 0.0%

Companhia de Saneamento Basico do Estado de Sao Paulo (SABESP) 6.25% 12/16/20 (e)

485,000

495,913

TOTAL UTILITIES

328,412,292

TOTAL NONCONVERTIBLE BONDS

3,357,143,717

TOTAL CORPORATE BONDS

(Cost $3,217,403,063)

3,357,412,030

U.S. Government and Government Agency Obligations - 24.4%

 

U.S. Government Agency Obligations - 1.2%

Fannie Mae Guaranteed Mortgage pass-thru certificates:

0.5% 8/9/13

74,712,000

74,864,786

0.625% 10/30/14

10,673,000

10,637,736

0.75% 12/19/14

2,894,000

2,889,236

1.125% 6/27/14

4,680,000

4,739,291

Freddie Mac:

1% 7/30/14

17,037,000

17,158,286

1% 8/27/14

12,283,000

12,395,033

U.S. Government and Government Agency Obligations - continued

 

Principal Amount (c)

Value

U.S. Government Agency Obligations - continued

Freddie Mac: - continued

1.75% 9/10/15

$ 40,525,000

$ 41,676,477

Tennessee Valley Authority 5.375% 4/1/56

385,000

511,142

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS

164,871,987

U.S. Treasury Inflation Protected Obligations - 3.0%

U.S. Treasury Inflation-Indexed Bonds:

2.125% 2/15/40

74,012,937

98,869,803

2.125% 2/15/41

33,691,045

45,311,816

2.5% 1/15/29

21,134,400

28,014,312

U.S. Treasury Inflation-Indexed Notes:

1.125% 1/15/21

175,183,317

194,380,736

1.375% 1/15/20

31,422,342

35,622,208

TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS

402,198,875

U.S. Treasury Obligations - 20.2%

U.S. Treasury Bonds:

3.125% 11/15/41

754,000

762,954

4.375% 5/15/41

447,801,000

564,858,820

U.S. Treasury Notes:

0.25% 9/15/14

8,048,000

8,020,331

0.625% 7/15/14

138,350,000

139,322,739

0.75% 6/15/14

11,299,000

11,413,753

0.875% 11/30/16

2,907,000

2,894,055

1.375% 11/30/15

88,617,000

91,053,968

1.75% 10/31/18

86,185,000

87,504,665

2% 11/15/21

128,740,000

127,814,617

2.125% 8/15/21

25,159,000

25,308,394

2.375% 2/28/15 (h)

499,922,000

530,386,247

2.625% 7/31/14

316,140,000

335,034,423

2.625% 12/31/14 (h)

486,380,000

518,868,725

3.125% 5/15/21

301,779,000

330,943,224

TOTAL U.S. TREASURY OBLIGATIONS

2,774,186,915

TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $3,087,466,410)

3,341,257,777

U.S. Government Agency - Mortgage Securities - 16.4%

 

Principal Amount (c)

Value

Fannie Mae Guaranteed Mortgage pass-thru certificates - 11.0%

2.132% 10/1/33 (k)

$ 948,777

$ 986,898

2.303% 6/1/36 (k)

147,544

155,390

2.55% 2/1/36 (k)

877,315

913,759

2.636% 7/1/37 (k)

401,922

426,324

2.695% 12/1/35 (k)

575,582

609,766

3% 12/1/26 (g)

18,000,000

18,429,955

3.5% 1/1/26 to 3/1/41

37,128,337

38,564,221

3.79% 6/1/40 (k)

4,289,555

4,478,049

4% 11/1/26 to 11/1/41

150,485,358

157,146,287

4% 12/1/26 (g)

24,000,000

25,193,191

4% 12/1/26 (g)

11,365,910

11,930,981

4% 9/1/41

197,760

206,314

4% 10/1/41

7,525,286

7,870,775

4% 12/1/41 (g)

69,800,000

72,710,081

4% 12/1/41 (g)

44,300,000

46,146,942

4% 12/1/41 (g)

29,900,000

31,146,582

4.5% 4/1/18 to 11/1/41 (g)

250,404,470

265,850,364

4.5% 12/1/26 (g)

500,000

531,510

4.5% 12/1/41 (g)

92,100,000

97,362,262

5% 5/1/19 to 6/1/40

120,410,935

129,486,515

5% 12/1/41 (g)

29,000,000

31,166,303

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

135,585,942

147,385,917

5.5% 12/1/41 (g)

4,700,000

5,101,587

6% 1/1/21 to 2/1/40

192,509,774

211,467,990

6% 12/1/41 (g)

104,900,000

114,979,778

6% 12/1/41 (g)

65,700,000

72,013,074

6% 12/1/41 (g)

17,700,000

19,400,782

6.5% 11/1/35

390,524

433,696

TOTAL FANNIE MAE GUARANTEED MORTGAGE PASS-THRU CERTIFICATES

1,512,095,293

Freddie Mac - 2.1%

3.171% 10/1/35 (k)

210,189

223,950

4% 12/1/40 to 10/1/41

23,698,935

24,850,966

4% 9/1/41

1,908,840

1,994,686

4% 12/1/41 (g)

28,000,000

29,117,054

4% 1/1/42 (g)

28,000,000

29,059,086

4.5% 7/1/25 to 10/1/41

116,817,901

123,705,761

5% 7/1/35 to 8/1/40

29,636,227

31,861,369

U.S. Government Agency - Mortgage Securities - continued

 

Principal Amount (c)

Value

Freddie Mac - continued

5.5% 11/1/17 to 1/1/40

$ 37,507,333

$ 40,568,017

6% 7/1/37 to 8/1/37

5,659,518

6,200,672

TOTAL FREDDIE MAC

287,581,561

Ginnie Mae - 3.3%

3.5% 12/15/40

251,834

261,423

3.5% 12/1/41 (g)

18,000,000

18,657,254

3.5% 1/1/42 (g)

18,000,000

18,599,596

4% 1/15/25 to 11/15/41

92,455,319

98,839,404

4% 12/1/41 (g)

42,400,000

45,207,855

4% 12/1/41 (g)

42,400,000

45,207,855

4% 12/1/41 (g)

38,200,000

40,729,719

4% 12/1/41 (g)

4,200,000

4,478,137

4% 1/1/42 (g)

38,200,000

40,619,298

4.5% 11/20/33 to 7/20/41

50,708,759

55,162,305

4.5% 12/1/41 (g)

500,000

543,256

4.5% 12/1/41 (g)

2,100,000

2,281,674

4.5% 12/1/41 (g)

1,900,000

2,064,372

4.5% 1/1/42 (g)

2,400,000

2,602,284

5% 8/15/39 to 9/15/40

35,698,878

39,358,197

5% 12/1/41 (g)

12,500,000

13,757,970

5% 12/1/41 (g)

12,500,000

13,757,970

5% 1/1/42 (g)

12,500,000

13,731,604

TOTAL GINNIE MAE

455,860,173

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $2,237,676,137)

2,255,537,027

Asset-Backed Securities - 2.2%

 

Accredited Mortgage Loan Trust Series 2005-1 Class M1, 0.7272% 4/25/35 (k)

1,314,860

848,142

ACE Securities Corp. Home Equity Loan Trust:

Series 2004-HE1 Class M2, 1.9072% 3/25/34 (k)

467,626

350,257

Series 2005-HE2 Class M2, 0.7072% 4/25/35 (k)

122,628

118,765

Series 2006-OP1 Class M4, 0.6272% 4/25/36 (k)

82,109

347

Advanta Business Card Master Trust:

Series 2006-C1 Class C1, 0.6758% 10/20/14 (k)

642,000

6,420

Series 2007-D1 Class D, 1.5863% 1/22/13 (e)(k)

2,590,000

38,850

Asset-Backed Securities - continued

 

Principal Amount (c)

Value

Airspeed Ltd. Series 2007-1A Class C1, 2.7479% 6/15/32 (e)(k)

$ 4,289,863

$ 2,209,279

Ally Auto Receivables Trust:

Series 2009-A:

Class A3, 2.33% 6/17/13 (e)

2,294,369

2,306,556

Class A4, 3% 10/15/15 (e)

4,280,000

4,373,893

Series 2010-5 Class A4, 1.75% 3/15/16

4,050,000

4,100,709

Series 2011-1 Class A4, 2.23% 3/15/16

18,200,000

18,655,189

Ally Master Owner Trust:

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

8,910,000

9,070,263

Series 2011-1 Class A2, 2.15% 1/15/16

8,870,000

8,979,535

Series 2011-3 Class A2, 1.81% 5/15/16

8,490,000

8,540,110

AmeriCredit Automobile Receivables Trust Series 2011-1 Class A3, 1.39% 9/8/15

7,520,000

7,521,715

AmeriCredit Prime Automobile Receivables Trust Series 2007-1:

Class D, 5.62% 9/8/14

1,125,000

1,126,098

Class E, 6.96% 3/8/16 (e)

2,052,284

2,054,557

Ameriquest Mortgage Securities, Inc. pass-thru certificates:

Series 2003-10 Class M1, 0.9572% 12/25/33 (k)

85,315

66,978

Series 2004-R2 Class M3, 0.8072% 4/25/34 (k)

133,684

42,501

Series 2005-R2 Class M1, 0.7072% 4/25/35 (k)

2,064,696

1,819,794

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

171,000

167,580

Anthracite CDO III Ltd./Anthracite CDO III Corp. Series 2004-1A Class A, 0.6167% 3/23/19 (e)(k)

178,646

146,490

Argent Securities, Inc. pass-thru certificates:

Series 2003-W7 Class A2, 1.0247% 3/25/34 (k)

47,932

32,479

Series 2004-W11 Class M2, 0.9572% 11/25/34 (k)

561,149

463,820

Series 2004-W7 Class M1, 0.8072% 5/25/34 (k)

1,542,998

1,113,665

Series 2006-W4 Class A2C, 0.4172% 5/25/36 (k)

1,348,517

348,877

Asset Backed Securities Corp. Home Equity Loan Trust:

Series 2004-HE2 Class M1, 1.0822% 4/25/34 (k)

2,589,582

1,773,517

Series 2006-HE2 Class M1, 0.6272% 3/25/36 (k)

140,625

1,407

Axon Financial Funding Ltd. 0.9743% 4/4/17 (b)(e)(k)

7,217,000

1

Bank of America Auto Trust Series 2009-1A:

Class A3, 2.67% 7/15/13 (e)

1,572,354

1,576,965

Class A4, 3.52% 6/15/16 (e)

8,300,000

8,460,411

BMW Vehicle Lease Trust:

Series 2010-1 Class A3, 0.82% 4/15/13

14,660,000

14,660,082

Series 2011-1 Class A4, 1.4% 8/20/14

11,060,000

11,129,957

Asset-Backed Securities - continued

 

Principal Amount (c)

Value

Brazos Higher Education Authority, Inc. Series 2006-2 Class A9, 0.3681% 12/25/24 (k)

$ 1,400,411

$ 1,232,361

Capital Auto Receivables Asset Trust Series 2007-1 Class C, 5.38% 11/15/12

582,000

589,945

Capital One Multi-Asset Execution Trust Series 2008-A3 Class A3, 5.05% 2/15/16

5,700,000

6,026,122

Capital Trust Ltd. Series 2004-1:

Class A2, 0.7048% 7/20/39 (e)(k)

280,437

203,317

Class B, 1.0048% 7/20/39 (e)(k)

263,810

104,205

Class C, 1.3548% 7/20/39 (e)(k)

339,379

10,181

Capital Trust RE CDO Ltd./Capital Trust RE CDO Corp. Series 2005-3A:

Class A2, 5.16% 6/25/35 (e)

942,936

934,921

Class B, 5.267% 6/25/35 (e)

1,000,000

940,000

CapitalSource Real Estate Loan Trust Series 2006-1A Class A2A, 0.4358% 1/20/37 (e)(k)

186,189

145,808

Capmark VII Ltd. Series 2006-7A Class H, 1.799% 8/15/36 (e)(k)

526,043

0

Carmax Auto Owner Trust Series 2011-1 Class A3, 1.29% 9/15/15

8,210,000

8,263,844

Carrington Mortgage Loan Trust:

Series 2006-FRE1 Class M1, 0.5572% 7/25/36 (k)

1,140,851

48,441

Series 2006-NC4 Class M1, 0.5572% 10/25/36 (k)

224,000

2,820

Series 2007-RFC1 Class A3, 0.3972% 12/25/36 (k)

1,802,588

550,103

CBRE Realty Finance CDO 2007-1/LLC 0.6336% 4/7/52 (e)(k)

1,544,611

944,143

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

5,000,000

5,196,815

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

17,510,000

17,521,879

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

35,600,000

36,197,621

Countrywide Asset-Backed Certificates Trust:

Series 2007-11 Class 2A1, 0.3172% 6/25/47 (k)

26,925

26,550

Series 2007-4 Class A1A, 0.4596% 9/25/37 (k)

337,250

320,905

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

811,000

0

Countrywide Home Loans, Inc.:

Series 2003-BC1 Class B1, 5.3008% 3/25/32 (MGIC Investment Corp. Insured) (k)

11,800

937

Series 2004-3 Class M4, 1.2272% 4/25/34 (k)

159,665

78,305

Series 2004-4 Class M2, 1.0522% 6/25/34 (k)

587,945

255,223

Series 2005-3 Class MV1, 0.6772% 8/25/35 (k)

417,161

406,809

Series 2005-AB1 Class A2, 0.4672% 8/25/35 (k)

18,041

17,897

Asset-Backed Securities - continued

 

Principal Amount (c)

Value

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

$ 197,243

$ 197,567

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

Class B1, 6.065% 12/28/35 (e)

500,000

415,000

Class B2, 1.7128% 12/28/35 (e)(k)

500,000

350,000

Crest Dartmouth Street Ltd./Crest Dartmouth Street Corp. Series 2003-1A:

Class B1, 1.8628% 6/28/38 (e)(k)

100,000

85,000

Class D, 9% 6/28/38 (e)

200,000

140,000

Crest Ltd. Series 2002-IGA Class A, 0.8747% 7/28/17 (e)(k)

5,180

5,121

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

540,000

488,444

Fannie Mae subordinate REMIC pass-thru certificates Series 2004-T5 Class AB3, 0.715% 5/28/35 (k)

38,916

25,193

Fieldstone Mortgage Investment Corp. Series 2004-3 Class M5, 2.4322% 8/25/34 (k)

290,872

169,115

First Franklin Mortgage Loan Trust Series 2004-FF2 Class M3, 1.0822% 3/25/34 (k)

22,872

4,436

Ford Credit Auto Lease Trust Series 2010-B Class A3, 0.91% 7/15/13 (e)

14,200,000

14,209,018

Ford Credit Auto Owner Trust:

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

970,000

972,534

Series 2009-D:

Class A3, 2.17% 10/15/13

2,232,721

2,245,719

Class A4, 2.98% 8/15/14

4,800,000

4,921,633

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

9,710,000

9,733,439

Ford Credit Floorplan Master Owner Trust Series 2010-5 Class A1, 1.5% 9/15/15

10,710,000

10,741,607

Franklin Auto Trust Series 2007-1 Class C, 5.43% 2/16/15

614,000

614,154

Fremont Home Loan Trust:

Series 2005-A:

Class M3, 0.7472% 1/25/35 (k)

948,695

298,988

Class M4, 0.9372% 1/25/35 (k)

363,547

84,711

Series 2006-D Class M1, 0.4872% 11/25/36 (k)

117,703

587

GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 0.8861% 2/25/47 (e)(k)

2,892,000

1,446,000

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

1,297,952

1,194,116

GE Business Loan Trust:

Series 2003-1 Class A, 0.679% 4/15/31 (e)(k)

230,257

218,941

Series 2006-2A:

Class A, 0.429% 11/15/34 (e)(k)

1,987,084

1,644,312

Asset-Backed Securities - continued

 

Principal Amount (c)

Value

GE Business Loan Trust: - continued

Series 2006-2A:

Class B, 0.529% 11/15/34 (e)(k)

$ 717,795

$ 462,977

Class C, 0.629% 11/15/34 (e)(k)

1,192,945

590,508

Class D, 0.999% 11/15/34 (e)(k)

453,000

99,660

Goal Capital Funding Trust Series 2007-1 Class C1, 0.7581% 6/25/42 (k)

558,350

435,769

GSAMP Trust:

Series 2004-AR1:

Class B4, 5% 6/25/34 (e)(k)

218,418

60,593

Class M1, 0.9072% 6/25/34 (k)

2,723,367

1,675,799

Series 2007-HE1 Class M1, 0.5072% 3/25/47 (k)

1,096,059

45,325

Guggenheim Structured Real Estate Funding Ltd. Series 2006-3:

Class B, 0.6572% 9/25/46 (e)(k)

325,910

172,951

Class C, 0.8072% 9/25/46 (e)(k)

1,526,694

201,020

Class E, 1.9072% 9/25/46 (e)(k)

250,000

4,656

Home Equity Asset Trust:

Series 2003-2 Class M1, 1.5772% 8/25/33 (k)

400,674

277,628

Series 2003-3 Class M1, 1.5472% 8/25/33 (k)

709,087

558,505

Series 2003-5 Class A2, 0.9572% 12/25/33 (k)

32,929

22,908

Series 2005-5 Class 2A2, 0.5072% 11/25/35 (k)

26,996

26,795

Series 2006-1 Class 2A3, 0.4822% 4/25/36 (k)

623,035

606,034

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

250,000

0

HSBC Home Equity Loan Trust Series 2006-2 Class M2, 0.5448% 3/20/36 (k)

634,668

514,188

HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.4472% 1/25/37 (k)

1,522,035

509,789

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

2,512,397

2,523,918

John Deere Owner Trust Series 2011-A Class A4, 1.96% 4/16/18

4,810,000

4,922,430

JPMorgan Mortgage Acquisition Trust:

Series 2006-NC2 Class M2, 0.5572% 7/25/36 (k)

204,000

4,414

Series 2007-CH1:

Class AV4, 0.3872% 11/25/36 (k)

1,520,141

1,276,037

Class MV1, 0.4872% 11/25/36 (k)

1,234,797

604,117

Series 2007-CH3 Class M1, 0.5572% 3/25/37 (k)

573,000

64,550

Keycorp Student Loan Trust:

Series 1999-A Class A2, 0.6902% 12/27/29 (k)

629,794

552,379

Series 2006-A Class 2C, 1.5102% 3/27/42 (k)

3,243,000

862,868

Long Beach Mortgage Loan Trust:

Series 2004-2 Class M2, 1.3372% 6/25/34 (k)

87,289

53,751

Series 2006-10 Class 2A3, 0.4172% 11/25/36 (k)

5,606,478

1,717,242

Asset-Backed Securities - continued

 

Principal Amount (c)

Value

Marathon Real Estate CDO Ltd. Series 2006-1A Class B, 0.6872% 5/25/46 (e)(k)

$ 250,000

$ 100,000

Marriott Vacation Club Owner Trust Series 2006-2A:

Class B, 5.442% 10/20/28 (e)

17,791

18,113

Class C, 5.691% 10/20/28 (e)

7,907

8,003

Class D, 6.01% 10/20/28 (e)

94,146

94,782

MASTR Asset Backed Securities Trust:

Series 2006-AM3 Class M1, 0.5172% 10/25/36 (k)

545,328

16,224

Series 2007-HE1 Class M1, 0.5572% 5/25/37 (k)

784,792

20,505

Meritage Mortgage Loan Trust Series 2004-1 Class M1, 1.0072% 7/25/34 (k)

171,726

107,857

Merrill Lynch Mortgage Investors Trust:

Series 2003-OPT1 Class M1, 1.2322% 7/25/34 (k)

587,792

396,117

Series 2006-FM1 Class A2B, 0.3672% 4/25/37 (k)

1,795,053

1,284,899

Series 2006-OPT1 Class A1A, 0.5172% 6/25/35 (k)

3,041,305

2,177,036

Morgan Stanley ABS Capital I Trust:

Series 2004-HE6 Class A2, 0.5972% 8/25/34 (k)

57,368

42,969

Series 2004-NC8 Class M6, 1.5072% 9/25/34 (k)

28,983

14,575

Series 2005-NC1 Class M1, 0.6972% 1/25/35 (k)

399,800

255,180

Series 2005-NC2 Class B1, 1.4272% 3/25/35 (k)

416,362

52,418

Series 2007-HE2 Class M1, 0.5072% 1/25/37 (k)

188,100

804

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

Class B1, 2.1867% 8/28/38 (e)(k)

220,000

189,200

Class C1B, 7.696% 8/28/38 (e)

64,212

48,865

National Collegiate Student Loan Trust:

Series 2004-2 Class AIO, 9.75% 10/27/14 (m)

7,651,000

669,463

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

23,566,770

176,751

Series 2006-4:

Class AIO, 6.35% 2/27/12 (m)

26,688,690

198,252

Class D, 1.3572% 5/25/32 (k)

2,481,000

5,274

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

33,769,000

945,532

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

24,991,000

892,176

New Century Home Equity Loan Trust:

Series 2005-4 Class M2, 0.7672% 9/25/35 (k)

1,426,957

657,449

Series 2005-D Class M2, 0.7272% 2/25/36 (k)

827,339

81,977

Nissan Auto Receivables Owner Trust:

Series 2010-A Class A4, 1.31% 9/15/16

5,950,000

5,997,890

Series 2011-A Class A4, 1.94% 9/15/17

11,750,000

12,033,698

Ocala Funding LLC:

Series 2005-1A Class A, 1.7548% 3/20/10 (b)(e)(k)

566,000

0

Series 2006-1A Class A, 1.6548% 3/20/11 (b)(e)(k)

1,176,000

0

Option One Mortgage Loan Trust:

Series 2007-5 Class 2A1, 0.3472% 5/25/37 (k)

32,945

32,094

Asset-Backed Securities - continued

 

Principal Amount (c)

Value

Option One Mortgage Loan Trust: - continued

Series 2007-6 Class 2A1, 0.3172% 7/25/37 (k)

$ 103,760

$ 100,098

Park Place Securities, Inc.:

Series 2004-WCW1:

Class M3, 1.5072% 9/25/34 (k)

532,896

182,492

Class M4, 1.7072% 9/25/34 (k)

683,353

153,518

Series 2005-WCH1:

Class M2, 0.7772% 1/25/36 (k)

2,548,346

2,177,893

Class M3, 0.8172% 1/25/36 (k)

478,432

297,118

Class M4, 1.0872% 1/25/36 (k)

1,475,804

569,888

Series 2005-WHQ2 Class M7, 1.5072% 5/25/35 (k)

1,404,169

10,299

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

Class A2, 4.646% 7/24/39 (e)

7,586

7,577

Class B, 4.846% 7/24/39 (e)

180,000

173,250

Class C, 5.08% 7/24/39 (e)

185,000

175,750

Class D, 5.194% 7/24/39 (e)

320,000

296,000

Residential Asset Mortgage Products, Inc. Series 2006-EFC2 Class M1, 0.4872% 12/25/36 (k)

566,000

13,411

Resource Real Estate Funding CDO Series 2007-1A Class J, 3.2072% 9/25/46 (e)(k)

250,000

37,500

Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 1.0572% 4/25/33 (k)

5,108

4,133

Saxon Asset Securities Trust Series 2004-1 Class M1, 1.0522% 3/25/35 (k)

1,377,933

857,107

Securitized Asset Backed Receivables LLC Trust Series 2005-FR4 Class B3, 1.9772% 1/25/36 (k)

12,559

39

Sierra Receivables Funding Co. Series 2007-1A Class A2, 0.3947% 3/20/19 (FGIC Insured) (e)(k)

593,060

567,374

SLM Private Credit Student Loan Trust Series 2004-A Class C, 1.2971% 6/15/33 (k)

1,272,000

613,098

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

656,637

0

Structured Asset Investment Loan Trust Series 2004-8 Class M5, 1.9822% 9/25/34 (k)

66,716

26,109

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

637,439

659,865

Terwin Mortgage Trust Series 2003-4HE Class A1, 1.1172% 9/25/34 (k)

28,819

18,955

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

Series 2002-1A:

Class IIFX, 6.77% 5/22/37 (e)

310,742

309,965

Class IV, 6.84% 5/22/37 (e)

235,000

207,975

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

111,000

87,690

Asset-Backed Securities - continued

 

Principal Amount (c)

Value

Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 0.9409% 4/6/42 (e)(k)

$ 2,626,498

$ 78,795

Wachovia Ltd./Wachovia LLC:

Series 2006-1 Class 1ML, 0% 9/25/26 (e)(k)

400,000

160,000

Series 2006-1A:

Class A1A, 0.6181% 9/25/26 (e)(k)

1,383,511

1,092,974

Class A1B, 0.6881% 9/25/26 (e)(k)

1,033,000

754,090

Class A2A, 0.5781% 9/25/26 (e)(k)

1,183,705

994,313

Class A2B, 0.6681% 9/25/26 (e)(k)

250,000

190,000

Class B, 0.7181% 9/25/26 (e)(k)

250,000

185,000

Class F, 1.5081% 9/25/26 (e)(k)

250,000

162,500

Class G, 1.7081% 9/25/26 (e)(k)

320,000

200,000

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

887,552

0

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

7,576

0

Whinstone Capital Management Ltd. Series 1A Class B3, 2.2183% 10/25/44 (e)(k)

1,789,540

787,397

Wrightwood Capital Real Estate CDO Ltd. Series 2005-1A:

Class A1, 0.7994% 11/21/40 (e)(k)

500,000

385,000

Class D, 1.3294% 11/21/40 (e)(k)

305,000

91,500

TOTAL ASSET-BACKED SECURITIES

(Cost $296,172,350)

300,323,583

Collateralized Mortgage Obligations - 1.2%

 

Private Sponsor - 1.2%

ABN AMRO Mortgage Corp. Series 2003-9 Class B5, 4.5164% 8/25/18 (e)

179,655

23,355

Banc of America Large Loan, Inc. Series 2005-MIB1 Class A2, 0.459% 3/15/22 (e)(k)

41,850

41,795

Banc of America Mortgage Securities, Inc.:

Series 2003-L Class 2A1, 2.8978% 1/25/34 (k)

1,782,097

1,529,680

Series 2004-1 Class 2A2, 2.7468% 10/25/34 (k)

1,794,567

1,523,166

Series 2004-A Class 2A2, 2.8465% 2/25/34 (k)

991,592

841,860

Series 2004-B:

Class 1A1, 2.7465% 3/25/34 (k)

138,109

116,556

Class 2A2, 2.8579% 3/25/34 (k)

4,860,266

4,291,427

Series 2004-D Class 2A2, 2.8816% 5/25/34 (k)

1,622,628

1,396,383

Series 2004-G Class 2A7, 2.8232% 8/25/34 (k)

1,527,926

1,143,660

Series 2004-H Class 2A1, 2.7576% 9/25/34 (k)

1,333,862

1,094,330

Collateralized Mortgage Obligations - continued

 

Principal Amount (c)

Value

Private Sponsor - continued

Bayview Commercial Asset Trust Series 2006-3A, Class IO, 4.2221% 10/25/36 (e)(k)(m)

$ 9,828,110

$ 550,374

Bear Stearns ALT-A Trust floater Series 2005-1 Class A1, 0.8172% 1/25/35 (k)

2,003,529

1,411,925

Chase Mortgage Finance Trust:

Series 2007-A1 Class 1A5, 2.7783% 2/25/37 (k)

1,278,715

1,143,758

Series 2007-A2 Class 2A1, 2.8024% 7/25/37 (k)

311,916

308,099

Citigroup Mortgage Loan Trust Series 2004-UST1 Class A4, 2.2676% 8/25/34 (k)

1,215,171

1,193,782

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

2,125,000

446,250

COMM pass-thru certificates floater Series 2001-J2A Class A2F, 0.7502% 7/16/34 (e)(k)

24,874

24,844

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

78,237

0

Countrywide Home Loans, Inc.:

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

56,321

28,612

Series 2003-35 Class B, 4.6375% 9/25/18 (k)

91,396

9,140

Credit Suisse First Boston Mortgage Securities Corp.:

floater Series 2007-AR7 Class 2A1, 2.7757% 11/25/34 (k)

1,124,683

967,081

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

245,810

54,078

Series 2004-3 Class DB4, 5.8246% 4/25/34 (k)

57,255

143

CWALT, Inc.:

floater Series 2005-56:

Class 1A1, 0.9872% 11/25/35 (k)

32,001,991

15,776,684

Class 2A3, 1.7304% 11/25/35 (k)

7,709,640

4,076,549

Series 2005-56 Class 5A1, 0.5772% 11/25/35 (k)

9,377,289

4,558,474

First Horizon Mortgage pass-thru Trust Series 2004-AR5 Class 2A1, 2.631% 10/25/34 (k)

1,472,757

1,296,047

FREMF Mortgage Trust:

Series 2010 K7 Class B, 5.4349% 4/25/20 (e)(k)

1,000,000

924,240

Series 2010-K6 Class B, 5.3578% 12/25/46 (e)(k)

910,000

870,921

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

94,341

31

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

73,898

14,780

Granite Master Issuer PLC floater:

Series 2005-4 Class C2, 1.3548% 12/20/54 (k)

205,017

98,579

Series 2006-1A Class C2, 1.4548% 12/20/54 (e)(k)

6,523,000

3,098,425

Series 2006-2 Class C1, 1.1948% 12/20/54 (k)

21,543,000

10,232,925

Series 2006-3 Class C2, 0.7548% 12/20/54 (k)

1,124,000

533,900

Collateralized Mortgage Obligations - continued

 

Principal Amount (c)

Value

Private Sponsor - continued

Granite Master Issuer PLC floater: - continued

Series 2006-4:

Class B1, 0.3448% 12/20/54 (k)

$ 4,521,000

$ 3,616,800

Class C1, 0.6348% 12/20/54 (k)

2,767,000

1,314,325

Class M1, 0.4248% 12/20/54 (k)

1,190,000

821,100

Series 2007-1:

Class 1C1, 0.8548% 12/20/54 (k)

2,234,000

1,061,150

Class 1M1, 0.5548% 12/20/54 (k)

1,493,000

1,030,170

Class 2C1, 1.2148% 12/20/54 (k)

1,015,000

482,125

Class 2M1, 0.7548% 12/20/54 (k)

1,917,000

1,322,730

Series 2007-2 Class 2C1, 0.6817% 12/17/54 (k)

2,654,000

1,260,650

Granite Mortgages PLC floater Series 2003-3 Class 1C, 2.8592% 1/20/44 (k)

430,241

271,267

GSR Mortgage Loan Trust floater Series 2007-AR1 Class 6A1, 4.7407% 3/25/37 (k)

6,212,474

6,061,548

JPMorgan Chase Commercial Mortgage Securities Trust Series 2007-CB18 Class A3, 5.447% 6/12/47 (k)

3,606,000

3,777,934

JPMorgan Mortgage Trust:

sequential payer Series 2006-A5 Class 3A5, 5.8352% 8/25/36 (k)

2,430,368

1,799,350

Series 2004-A3 Class 4A1, 2.7488% 7/25/34 (k)

1,422,984

1,356,714

Series 2004-A5 Class 2A1, 2.3661% 12/25/34 (k)

1,675,017

1,483,110

Series 2006-A2 Class 5A1, 2.7145% 11/25/33 (k)

2,714,472

2,433,465

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

5,623

5,625

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

857,000

941,615

Luminent Mortgage Trust:

floater Series 2006-1 Class A1, 0.4972% 4/25/36 (k)

17,073,086

8,363,147

Series 2006-5 Class A1A, 0.4472% 7/25/36 (k)

12,782,193

5,601,278

MASTR Adjustable Rate Mortgages Trust Series 2007-3 Class 22A2, 0.4672% 5/25/47 (k)

2,790,480

1,755,534

Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.4272% 2/25/37 (k)

6,917,300

4,497,142

Merrill Lynch Floating Trust floater Series 2006-1:

Class B, 0.419% 6/15/22 (e)(k)

251,984

236,865

Class C, 0.439% 6/15/22 (e)(k)

1,559,607

1,458,233

Class D, 0.449% 6/15/22 (e)(k)

600,006

558,006

Class E, 0.459% 6/15/22 (e)(k)

959,771

887,788

Class F, 0.489% 6/15/22 (e)(k)

1,545,171

1,413,831

Class G, 0.559% 6/15/22 (e)(k)

359,765

323,789

Collateralized Mortgage Obligations - continued

 

Principal Amount (c)

Value

Private Sponsor - continued

Merrill Lynch Floating Trust floater Series 2006-1: - continued

Class H, 0.579% 6/15/22 (e)(k)

$ 720,211

$ 640,988

Class J, 0.619% 6/15/22 (e)(k)

840,246

739,416

Merrill Lynch Mortgage Investors Trust:

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

930,000

948,135

Series 2004-A4 Class A1, 2.6121% 8/25/34 (k)

1,933,843

1,749,050

Series 2005-A2 Class A7, 2.6206% 2/25/35 (k)

1,150,409

1,077,955

Series 2006-A6 Class A4, 2.7758% 10/25/33 (k)

1,372,889

1,207,934

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

101,000

100,959

Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 0.5472% 7/25/35 (k)

2,056,072

1,555,490

Option One Mortgage Loan Trust floater Series 2007-CP1 Class M1, 0.5572% 3/25/37 (k)

2,994,072

117,962

Provident Funding Mortgage Loan Trust Series 2005-2 Class 3A, 2.6593% 10/25/35 (k)

3,034,889

2,264,727

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

Class B5, 2.5978% 7/10/35 (e)(k)

1,417,088

991,962

Class B6, 3.0978% 7/10/35 (e)(k)

315,959

198,991

Residential Asset Mortgage Products, Inc. sequential payer:

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

894,725

944,657

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

46,751

46,749

Residential Funding Securities Corp. floater Series 2003-RP2 Class A1, 0.7072% 6/25/33 (e)(k)

329,351

303,194

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

268,000

96,222

Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 1.275% 7/20/34 (k)

35,934

23,934

Structured Asset Mortgage Investments, Inc. floater Series 2006-AR6 Class 2A1, 0.4472% 7/25/46 (k)

26,325,171

13,332,673

Structured Asset Securities Corp.:

Series 2003-15A Class 4A, 5.3214% 4/25/33 (k)

510,018

451,694

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

399,639

403,887

TBW Mortgage-Backed pass-thru certificates floater Series 2006-4 Class A3, 0.4184% 9/25/36 (k)

3,273,627

2,364,506

WaMu Mortgage pass-thru certificates:

Series 2003-AR8 Class A, 2.476% 8/25/33 (k)

956,281

919,501

Series 2005-AR3 Class A2, 2.5815% 3/25/35 (k)

2,668,549

2,174,345

Collateralized Mortgage Obligations - continued

 

Principal Amount (c)

Value

Private Sponsor - continued

Wells Fargo Mortgage Backed Securities Trust:

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

$ 151,305

$ 48,418

Series 2004-EE Class 2A2, 2.7143% 12/25/34 (k)

823,478

783,712

Series 2004-H Class A1, 2.7287% 6/25/34 (k)

1,492,878

1,394,199

Series 2004-W Class A9, 2.6198% 11/25/34 (k)

3,104,889

2,761,011

Series 2005-AR10 Class 2A2, 2.7102% 6/25/35 (k)

2,011,238

1,778,397

Series 2005-AR12:

Class 2A5, 2.7172% 7/25/35 (k)

8,268,304

7,219,740

Class 2A6, 2.7172% 7/25/35 (k)

897,406

773,097

Series 2005-AR2:

Class 1A2, 2.7294% 3/25/35 (k)

3,255,169

1,288,607

Class 2A2, 2.7259% 3/25/35 (k)

2,501,091

2,050,678

Series 2005-AR3 Class 2A1, 2.7113% 3/25/35 (k)

1,466,555

1,253,754

TOTAL PRIVATE SPONSOR

165,763,688

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

247,624

266,313

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $159,738,359)

166,030,001

Commercial Mortgage Securities - 5.7%

 

ACGS Series 2004-1 Class P, 7.4651% 8/1/19 (n)

602,135

580,684

Americold LLC Trust Series 2010-ARTA Class D, 7.443% 1/14/29 (e)

180,000

185,119

Asset Securitization Corp.:

Series 1996-D2 Class B1A, 8.7597% 2/14/29 (e)(k)

800,000

800,000

Series 1997-D4:

Class B1, 7.525% 4/14/29

210,000

211,673

Class B2, 7.525% 4/14/29

1,498,104

1,518,204

Class B5, 7.525% 4/14/29

129,000

105,555

Series 1997-D5:

Class A2, 6.8296% 2/14/43 (k)

1,399,000

1,429,972

Class A3, 6.8796% 2/14/43 (k)

1,510,000

1,551,495

Class A5, 6.9496% 2/14/43 (k)

256,000

263,176

Class A6, 7.45% 2/14/43 (k)

2,470,000

2,530,690

Class A7, 7.69% 2/14/43 (k)

820,000

827,849

Class PS1, 1.3848% 2/14/43 (k)(m)

5,222,431

75,616

Commercial Mortgage Securities - continued

 

Principal Amount (c)

Value

Banc of America Commercial Mortgage Trust:

sequential payer:

Series 2006-2 Class AAB, 5.7126% 5/10/45 (k)

$ 1,993,802

$ 2,109,544

Series 2006-5:

Class A2, 5.317% 9/10/47

6,257,523

6,312,683

Class A3, 5.39% 9/10/47

2,653,000

2,733,816

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

3,804,000

4,004,056

Series 2007-4 Class A3, 5.7926% 2/10/51 (k)

1,897,000

1,993,051

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

1,098,000

195,249

Series 2007-2:

Class B, 5.8173% 4/10/49 (k)

106,000

34,037

Class C, 5.655% 4/10/49 (k)

281,000

70,156

Class D, 5.655% 4/10/49 (k)

141,000

15,320

Series 2007-3:

Class A3, 5.6235% 6/10/49 (k)

3,176,000

3,301,773

Class A4, 5.6235% 6/10/49 (k)

3,965,000

4,185,962

Series 2008-1 Class D, 6.2484% 2/10/51 (e)(k)

125,000

72,516

Banc of America Commercial Mortgage, Inc.:

sequential payer:

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

4,166,000

4,439,106

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

415,000

418,077

Series 2004-2:

Class A3, 4.05% 11/10/38

288,423

291,648

Class A4, 4.153% 11/10/38

2,412,000

2,501,927

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

1,627,777

1,627,198

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

2,027,692

2,027,988

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

1,472,000

1,472,013

Series 2001-PB1:

Class J, 7.166% 5/11/35 (e)

474,000

470,339

Class K, 6.15% 5/11/35 (e)

885,000

875,084

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

310,000

313,516

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

185,000

145,685

Series 2004-4:

Class K, 4.637% 7/10/42 (e)(k)

300,000

940

Class L, 4.637% 7/10/42 (e)(k)

280,000

560

Series 2004-5 Class G, 5.5535% 11/10/41 (e)(k)

195,000

125,664

Series 2005-1 Class CJ, 5.1861% 11/10/42 (k)

550,000

539,554

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

5,908,000

6,164,968

Series 2005-6 Class AJ, 5.1939% 9/10/47 (k)

300,000

278,810

Banc of America Large Loan Trust floater Series 2010-HLTN Class HLTN, 1.999% 11/15/15 (e)(k)

864,021

790,580

Commercial Mortgage Securities - continued

 

Principal Amount (c)

Value

Banc of America Large Loan, Inc. floater:

Series 2005-MIB1:

Class B, 0.509% 3/15/22 (e)(k)

$ 390,000

$ 376,350

Class C, 0.559% 3/15/22 (e)(k)

1,357,000

1,309,505

Class D, 0.609% 3/15/22 (e)(k)

826,000

797,090

Class E, 0.649% 3/15/22 (e)(k)

684,000

660,060

Class F, 0.719% 3/15/22 (e)(k)

615,784

584,995

Class G, 0.779% 3/15/22 (e)(k)

399,119

371,181

Class J, 1.299% 3/15/22 (e)(k)

438,000

372,300

Class K, 2.249% 3/15/22 (e)(k)

427,499

333,449

Series 2006-BIX1:

Class D, 0.459% 10/15/19 (e)(k)

1,395,514

1,332,716

Class E, 0.489% 10/15/19 (e)(k)

1,385,000

1,301,900

Class F, 0.559% 10/15/19 (e)(k)

3,150,730

2,930,179

Class G, 0.579% 10/15/19 (e)(k)

1,245,579

1,102,337

Bayview Commercial Asset Trust:

floater:

Series 2003-2 Class M1, 1.1072% 12/25/33 (e)(k)

69,265

48,789

Series 2004-1:

Class A, 0.6172% 4/25/34 (e)(k)

1,183,384

983,398

Class B, 2.1572% 4/25/34 (e)(k)

132,674

74,931

Class M1, 0.8172% 4/25/34 (e)(k)

106,522

75,529

Class M2, 1.4572% 4/25/34 (e)(k)

98,412

68,009

Series 2004-2:

Class A, 0.6872% 8/25/34 (e)(k)

964,061

789,675

Class M1, 0.8372% 8/25/34 (e)(k)

162,278

117,946

Series 2004-3:

Class A1, 0.6272% 1/25/35 (e)(k)

2,156,623

1,620,228

Class A2, 0.6772% 1/25/35 (e)(k)

309,473

216,973

Class M1, 0.7572% 1/25/35 (e)(k)

372,283

214,913

Class M2, 1.2572% 1/25/35 (e)(k)

172,508

83,567

Series 2005-2A:

Class A1, 0.5672% 8/25/35 (e)(k)

1,664,374

1,272,043

Class M1, 0.6872% 8/25/35 (e)(k)

82,888

47,722

Class M2, 0.7372% 8/25/35 (e)(k)

136,709

73,301

Class M3, 0.7572% 8/25/35 (e)(k)

75,638

39,983

Class M4, 0.8672% 8/25/35 (e)(k)

69,432

34,706

Series 2005-3A:

Class A1, 0.5772% 11/25/35 (e)(k)

615,107

459,776

Class A2, 0.6572% 11/25/35 (e)(k)

609,568

457,974

Class M1, 0.6972% 11/25/35 (e)(k)

72,752

43,619

Class M2, 0.7472% 11/25/35 (e)(k)

92,366

52,187

Class M3, 0.7672% 11/25/35 (e)(k)

82,666

45,153

Commercial Mortgage Securities - continued

 

Principal Amount (c)

Value

Bayview Commercial Asset Trust: - continued

floater:

Series 2005-3A:

Class M4, 0.8572% 11/25/35 (e)(k)

$ 102,993

$ 49,801

Series 2005-4A:

Class A2, 0.6472% 1/25/36 (e)(k)

1,396,208

989,505

Class B1, 1.6572% 1/25/36 (e)(k)

120,656

21,364

Class M1, 0.7072% 1/25/36 (e)(k)

450,389

249,775

Class M2, 0.7272% 1/25/36 (e)(k)

135,117

68,699

Class M3, 0.7572% 1/25/36 (e)(k)

197,328

92,192

Class M4, 0.8672% 1/25/36 (e)(k)

109,133

48,056

Class M5, 0.9072% 1/25/36 (e)(k)

109,133

40,992

Class M6, 0.9572% 1/25/36 (e)(k)

115,911

31,846

Series 2006-1:

Class A2, 0.6172% 4/25/36 (e)(k)

215,049

157,555

Class M1, 0.6372% 4/25/36 (e)(k)

76,914

43,911

Class M2, 0.6572% 4/25/36 (e)(k)

81,265

43,197

Class M3, 0.6772% 4/25/36 (e)(k)

69,922

34,640

Class M4, 0.7772% 4/25/36 (e)(k)

39,622

17,904

Class M5, 0.8172% 4/25/36 (e)(k)

38,457

15,392

Class M6, 0.8972% 4/25/36 (e)(k)

76,681

28,914

Series 2006-2A:

Class A1, 0.4872% 7/25/36 (e)(k)

3,816,258

2,810,563

Class A2, 0.5372% 7/25/36 (e)(k)

188,804

121,611

Class B1, 1.1272% 7/25/36 (e)(k)

70,690

20,203

Class B3, 2.9572% 7/25/36 (e)(k)

106,803

18,388

Class M1, 0.5672% 7/25/36 (e)(k)

198,094

111,429

Class M2, 0.5872% 7/25/36 (e)(k)

139,765

71,759

Class M3, 0.6072% 7/25/36 (e)(k)

115,932

57,627

Class M4, 0.6772% 7/25/36 (e)(k)

78,285

36,339

Class M5, 0.7272% 7/25/36 (e)(k)

96,220

40,374

Class M6, 0.7972% 7/25/36 (e)(k)

143,562

42,910

Series 2006-3A:

Class B1, 1.0572% 10/25/36 (e)(k)

139,211

9,261

Class B2, 1.6072% 10/25/36 (e)(k)

81,855

1,975

Class M4, 0.6872% 10/25/36 (e)(k)

153,853

20,001

Class M5, 0.7372% 10/25/36 (e)(k)

184,185

19,339

Class M6, 0.8172% 10/25/36 (e)(k)

360,525

27,039

Series 2006-4A:

Class A1, 0.4872% 12/25/36 (e)(k)

791,101

504,880

Class A2, 0.5272% 12/25/36 (e)(k)

4,025,321

2,393,859

Class B1, 0.9572% 12/25/36 (e)(k)

123,077

13,995

Class B2, 1.5072% 12/25/36 (e)(k)

125,452

10,061

Class B3, 2.7072% 12/25/36 (e)(k)

205,732

8,321

Class M1, 0.5472% 12/25/36 (e)(k)

257,498

104,427

Commercial Mortgage Securities - continued

 

Principal Amount (c)

Value

Bayview Commercial Asset Trust: - continued

floater:

Series 2006-4A:

Class M2, 0.5672% 12/25/36 (e)(k)

$ 171,665

$ 62,716

Class M3, 0.5972% 12/25/36 (e)(k)

174,066

56,690

Class M4, 0.6572% 12/25/36 (e)(k)

208,279

55,811

Class M5, 0.6972% 12/25/36 (e)(k)

191,473

34,749

Class M6, 0.7772% 12/25/36 (e)(k)

171,665

24,127

Series 2007-1:

Class A2, 0.5272% 3/25/37 (e)(k)

886,390

487,514

Class B1, 0.9272% 3/25/37 (e)(k)

282,015

25,381

Class B2, 1.4072% 3/25/37 (e)(k)

204,476

11,246

Class B3, 3.6072% 3/25/37 (e)(k)

157,299

3,932

Class M1, 0.5272% 3/25/37 (e)(k)

248,141

89,331

Class M2, 0.5472% 3/25/37 (e)(k)

185,333

52,820

Class M3, 0.5772% 3/25/37 (e)(k)

164,365

36,160

Class M4, 0.6272% 3/25/37 (e)(k)

132,096

23,777

Class M5, 0.6772% 3/25/37 (e)(k)

206,205

30,931

Class M6, 0.7572% 3/25/37 (e)(k)

288,701

34,644

Series 2007-2A:

Class A1, 0.5272% 7/25/37 (e)(k)

808,888

430,473

Class A2, 0.5772% 7/25/37 (e)(k)

755,797

277,499

Class B1, 1.8572% 7/25/37 (e)(k)

232,764

10,020

Class B2, 2.5072% 7/25/37 (e)(k)

159,568

2,759

Class M1, 0.6272% 7/25/37 (e)(k)

265,393

47,276

Class M2, 0.6672% 7/25/37 (e)(k)

145,022

19,742

Class M3, 0.7472% 7/25/37 (e)(k)

147,044

17,477

Class M4, 0.9072% 7/25/37 (e)(k)

290,315

26,798

Class M5, 1.0072% 7/25/37 (e)(k)

255,918

19,590

Class M6, 1.2572% 7/25/37 (e)(k)

324,488

19,667

Series 2007-3:

Class A2, 0.5472% 7/25/37 (e)(k)

820,213

464,863

Class B1, 1.2072% 7/25/37 (e)(k)

199,358

16,694

Class B2, 1.8572% 7/25/37 (e)(k)

498,886

28,533

Class B3, 4.2572% 7/25/37 (e)(k)

144,001

3,892

Class M1, 0.5672% 7/25/37 (e)(k)

178,143

38,967

Class M2, 0.5972% 7/25/37 (e)(k)

190,936

35,818

Class M3, 0.6272% 7/25/37 (e)(k)

300,869

49,397

Class M4, 0.7572% 7/25/37 (e)(k)

472,409

70,821

Class M5, 0.8572% 7/25/37 (e)(k)

245,038

33,426

Class M6, 1.0572% 7/25/37 (e)(k)

186,848

19,931

Series 2007-4A:

Class B1, 2.8072% 9/25/37 (e)(k)

311,771

4,677

Class B2, 3.7072% 9/25/37 (e)(k)

179,956

1,800

Class M1, 1.2072% 9/25/37 (e)(k)

299,791

28,480

Commercial Mortgage Securities - continued

 

Principal Amount (c)

Value

Bayview Commercial Asset Trust: - continued

floater:

Series 2007-4A:

Class M2, 1.3072% 9/25/37 (e)(k)

$ 299,791

$ 22,484

Class M4, 1.8572% 9/25/37 (e)(k)

766,764

30,671

Class M5, 2.0072% 9/25/37 (e)(k)

766,764

23,003

Class M6, 2.2072% 9/25/37 (e)(k)

768,253

15,365

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

3,706,733

129,736

Series 2007-5A, Class IO, 4.1484% 10/25/37 (e)(k)(m)

9,055,091

871,100

Bear Stearns Commercial Mortgage Securities, Inc. Series 2006-PW11 Class AJ, 5.4522% 3/11/39 (k)

450,000

389,238

Bear Stearns Commercial Mortgage Securities Trust:

floater:

Series 2006-BBA7:

Class H, 0.899% 3/15/19 (e)(k)

425,171

406,496

Class J, 1.099% 3/15/19 (e)(k)

407,118

348,443

Series 2007-BBA8:

Class D, 0.499% 3/15/22 (e)(k)

655,330

600,322

Class E, 0.549% 3/15/22 (e)(k)

3,607,157

3,279,126

Class F, 0.599% 3/15/22 (e)(k)

2,235,922

1,990,107

Class G, 0.649% 3/15/22 (e)(k)

537,549

472,377

Class H, 0.799% 3/15/22 (e)(k)

655,330

562,772

Class J, 0.949% 3/15/22 (e)(k)

655,330

516,899

sequential payer:

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

184,823

185,610

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

620,187

633,442

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

600,000

593,015

Series 2006-T22 Class AJ, 5.5329% 4/12/38 (k)

400,000

375,772

Series 2007-PW16 Class A4, 5.7153% 6/11/40 (k)

1,112,000

1,195,144

Series 1999-C1:

Class G, 5.64% 2/14/31 (e)

70,000

71,023

Class I, 5.64% 2/14/31 (e)

198,779

134,389

Series 2003-T10 Class B, 4.84% 3/13/40

1,000,000

1,016,739

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

6,714,000

7,038,474

Series 2006-PW14 Class X2, 0.6503% 12/11/38 (e)(k)(m)

21,680,723

294,335

Series 2006-T22:

Class A4, 5.5329% 4/12/38 (k)

237,000

264,867

Class B, 5.5329% 4/12/38 (e)(k)

200,000

163,290

Series 2006-T24 Class X2, 0.4418% 10/12/41 (e)(k)(m)

3,435,357

29,589

Series 2007-BBA8:

Class K, 1.449% 3/15/22 (e)(k)

120,000

65,491

Commercial Mortgage Securities - continued

 

Principal Amount (c)

Value

Bear Stearns Commercial Mortgage Securities Trust: - continued

Series 2007-BBA8:

Class L, 2.149% 3/15/22 (e)(k)

$ 253,498

$ 83,451

Series 2007-PW16:

Class B, 5.7153% 6/11/40 (e)(k)

304,000

138,220

Class C, 5.7153% 6/11/40 (e)(k)

255,000

84,150

Class D, 5.7153% 6/11/40 (e)(k)

255,000

63,750

Series 2007-PW18 Class X2, 0.315% 6/11/50 (e)(k)(m)

165,852,612

1,606,448

Series 2007-T28:

Class A1, 5.422% 9/11/42

7,737

7,734

Class X2, 0.1653% 9/11/42 (e)(k)(m)

72,025,455

505,835

Beckman Coulter, Inc. sequential payer Series 2000-A Class A, 7.4975% 12/15/18 (e)

331,305

329,649

C-BASS Trust floater Series 2006-SC1 Class A, 0.5272% 5/25/36 (e)(k)

765,717

545,213

CDC Commercial Mortgage Trust Series 2002-FX1:

Class G, 6.625% 5/15/35 (e)

2,235,000

2,317,248

Class XCL, 2.2133% 5/15/35 (e)(k)(m)

7,869,731

200,418

Chase Commercial Mortgage Securities Corp.:

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

800,000

656,738

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

489,102

164,092

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

182,403

187,862

Citigroup Commercial Mortgage Trust:

floater Series 2006-FL2:

Class F, 0.5578% 8/15/21 (e)(k)

311,961

307,380

Class G, 0.5778% 8/15/21 (e)(k)

542,222

525,622

Class H, 0.6178% 8/15/21 (e)(k)

433,548

401,439

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

9,955,000

10,809,209

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

2,832,883

2,662,157

Series 2007-C6:

Class A1, 5.622% 12/10/49 (k)

6,710,619

6,708,431

Class A4, 5.6972% 12/10/49 (k)

5,830,000

6,314,858

Series 2007-FL3A Class A2, 0.389% 4/15/22 (e)(k)

6,878,000

6,477,790

Series 2008-C7 Class A2B, 6.072% 12/10/49 (k)

1,902,000

1,959,536

Citigroup/Deutsche Bank Commercial Mortgage Trust:

sequential payer Series 2007-CD4 Class A4, 5.322% 12/11/49

14,623,000

15,118,530

Series 2006-CD2 Class VPM2, 5.6179% 1/15/46 (e)(k)

320,000

278,670

Commercial Mortgage Securities - continued

 

Principal Amount (c)

Value

Citigroup/Deutsche Bank Commercial Mortgage Trust: - continued

Series 2007-CD4:

Class A3, 5.293% 12/11/49

$ 1,852,000

$ 1,964,153

Class C, 5.476% 12/11/49

3,581,000

487,854

Claregold Trust Series 2007-2A:

Class F, 5.01% 5/15/44 (e)(k)

CAD

138,000

100,193

Class G, 5.01% 5/15/44 (e)(k)

CAD

30,000

19,777

Class H, 5.01% 5/15/44 (e)(k)

CAD

20,000

11,298

Class J, 5.01% 5/15/44 (e)(k)

CAD

20,000

10,342

Class K, 5.01% 5/15/44 (e)(k)

CAD

10,000

4,360

Class L, 5.01% 5/15/44 (e)(k)

CAD

36,000

14,454

Class M, 5.01% 5/15/44 (e)(k)

CAD

165,000

61,132

Cobalt CMBS Commercial Mortgage Trust:

sequential payer Series 2007-C3 Class A3, 5.8157% 5/15/46 (k)

1,902,000

1,986,274

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

5,706,000

456,480

COMM pass-thru certificates:

floater:

Series 2005-F10A:

Class G, 0.799% 4/15/17 (e)(k)

80,231

71,496

Class H, 0.869% 4/15/17 (e)(k)

171,562

140,873

Class J, 1.099% 4/15/17 (e)(k)

131,565

94,727

Series 2005-FL11:

Class B, 0.499% 11/15/17 (e)(k)

175,588

161,541

Class C, 0.549% 11/15/17 (e)(k)

1,451,600

1,320,956

Class D, 0.589% 11/15/17 (e)(k)

75,490

67,941

Class E, 0.639% 11/15/17 (e)(k)

268,371

238,851

Class F, 0.699% 11/15/17 (e)(k)

185,934

163,621

Class G, 0.749% 11/15/17 (e)(k)

128,880

112,125

Series 2006-FL12 Class AJ, 0.379% 12/15/20 (e)(k)

2,710,000

2,457,897

sequential payer:

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

550,000

529,971

Series 2004-RS1 Class A, 5.648% 3/3/41 (e)

912,767

871,692

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

18,749

18,814

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

5,420,000

5,604,947

Series 2006-CN2A:

Class A2FX, 5.449% 2/5/19 (e)

3,306,000

3,211,425

Class AJFX, 5.478% 2/5/19 (e)

5,750,000

5,708,468

Series 2007-C9 Class A4, 5.8137% 12/10/49 (k)

4,209,000

4,603,303

Series 2001-J2A Class F, 6.9937% 7/16/34 (e)(k)

199,000

203,467

Series 2005 C6 Class B, 5.2418% 6/10/44 (k)

905,000

617,232

Commercial Mortgage Securities - continued

 

Principal Amount (c)

Value

COMM pass-thru certificates: - continued

Series 2006-C8 Class XP, 0.4626% 12/10/46 (k)(m)

$ 17,446,965

$ 168,747

Commercial Mortgage Acceptance Corp.:

Series 1998-C1:

Class F, 6.23% 7/15/31 (e)

41,101

42,357

Class G, 6.21% 7/15/31 (e)

554,000

567,334

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

166,049

172,533

Commercial Mortgage Asset Trust:

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

550,000

465,719

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

302,000

217,057

Communication Mortgage Trust Series 2011-THL:

Class E, 5.949% 6/9/28 (e)

440,000

436,671

Class F, 4.867% 6/9/28 (e)

645,000

527,598

Credit Suisse Commercial Mortgage Trust:

sequential payer:

Series 2007-C2:

Class A2, 5.448% 1/15/49 (k)

9,909,444

9,913,379

Class A3, 5.542% 1/15/49 (k)

3,804,000

3,888,810

Series 2007-C3 Class A4, 5.7135% 6/15/39 (k)

28,438,000

29,387,460

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

6,988,018

7,142,132

Series 2006-C5 Class ASP, 0.6678% 12/15/39 (k)(m)

12,142,531

154,417

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

1,722,000

1,771,936

Credit Suisse First Boston Mortgage Capital Certificates floater Series 2007-TF2A Class B, 0.599% 4/15/22 (e)(k)

6,783,000

4,883,760

Credit Suisse First Boston Mortgage Securities Corp.:

floater Series 2006-TF2A Class KER, 0.849% 9/15/21 (e)(k)

259,777

168,855

sequential payer:

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

41,885

41,975

Series 2004-C1:

Class A3, 4.321% 1/15/37

136,724

137,420

Class A4, 4.75% 1/15/37

884,000

927,026

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

929,000

978,820

Series 1998-C1:

Class F, 6% 5/17/40 (e)

2,109,000

2,159,719

Class H, 6% 5/17/40 (e)

90,318

7,680

Series 1998-C2:

Class F, 6.75% 11/15/30 (e)

1,156,000

1,201,535

Class G, 6.75% 11/15/30 (e)

180,000

181,310

Series 2001-CK6 Class AX, 0.7797% 8/15/36 (k)(m)

1,138,991

2,204

Commercial Mortgage Securities - continued

 

Principal Amount (c)

Value

Credit Suisse First Boston Mortgage Securities Corp.: - continued

Series 2001-CKN5 Class AX, 1.7172% 9/15/34 (e)(k)(m)

$ 3,218,660

$ 5,198

Series 2003-C3:

Class D, 4.131% 5/15/38

120,000

117,224

Class J, 4.231% 5/15/38 (e)

300,000

164,010

Series 2006-C1 Class A3, 5.4197% 2/15/39 (k)

7,052,699

7,440,217

Credit Suisse Mortgage Capital Certificates:

floater Series 2007-TFL1:

Class B, 0.399% 2/15/22 (e)(k)

721,000

605,640

Class C:

0.419% 2/15/22 (e)(k)

1,864,711

1,501,588

0.519% 2/15/22 (e)(k)

665,993

498,903

Class F, 0.569% 2/15/22 (e)(k)

1,331,815

972,097

Class L, 2.149% 2/15/22 (e)(k)

100,000

41,000

sequential payer Series 2007-C1 Class A2, 5.268% 2/15/40

8,418,959

8,409,049

Series 2007-C1:

Class ASP, 0.3867% 2/15/40 (k)(m)

29,709,955

248,940

Class B, 5.487% 2/15/40 (e)(k)

2,907,000

436,050

CRESI Finance Ltd. Partnership floater Series 2006-A Class E, 1.9072% 3/25/17 (e)(k)

160,000

112,800

CRESIX Finance Ltd. Series 2006-AA Class F, 4.4572% 3/25/17 (e)(k)

260,000

170,300

DBUBS Mortgage Trust Series 2011-LC1A:

Class D, 5.557% 11/10/46 (e)(k)

500,000

411,834

Class E, 5.557% 11/10/46 (e)(k)

260,000

210,645

Class F, 5.557% 11/10/46 (e)(k)

710,000

445,017

Class XB, 0.2464% 11/10/46 (e)(k)(m)

20,920,000

320,787

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

400,000

323,758

DLJ Commercial Mortgage Corp.:

Series 1998-CG1 Class B4, 7.2193% 6/10/31 (e)(k)

891,000

934,799

Series 2000-CKP1 Class B3, 7.9041% 11/10/33 (k)

230,000

227,869

Extended Stay America Trust:

Series 2010-ESHA Class D, 5.4983% 11/5/27 (e)

1,500,000

1,485,812

Series 2010-ESHA, Class C4, 4.8603% 11/5/27 (e)

320,000

321,387

FHMLC Multi-class participation certificates guaranteed:

Series K013 Class X3, 2.7897% 1/25/43 (k)(m)

820,000

141,658

Series KAIV Class X2, 3.6146% 6/25/46 (k)(m)

420,000

88,203

Commercial Mortgage Securities - continued

 

Principal Amount (c)

Value

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

Class H, 7.036% 12/12/33 (e)

$ 770,000

$ 768,497

Class K, 6% 12/12/33 (e)

520,000

517,253

First Union National Bank-Bank of America Commercial Mortgage Trust Series 2001-C1 Class G, 6.936% 3/15/33 (e)

1,692,000

1,687,643

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

443,000

463,168

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

200,000

224,034

Freddie Mac Multi-class participation certificates guaranteed:

Series K011 Class X3, 2.5747% 12/25/43 (k)(m)

1,640,000

263,591

Series K012 Class X3, 2.2876% 1/25/41 (k)(m)

1,800,000

248,780

FREMF Mortgage Trust:

Series 2010-K9 Class B, 5.1636% 9/25/45 (e)(k)

1,290,000

1,209,647

Series 2011-K10 Class B, 4.5977% 11/25/49 (e)(k)

240,000

215,011

Series 2011-K11 Class B, 4.4199% 12/25/48 (e)(k)

750,000

660,701

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

1,417,411

1,304,018

GE Capital Commercial Mortgage Corp.:

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

11,404,000

11,745,162

Series 2001-1 Class X1, 1.2539% 5/15/33 (e)(k)(m)

2,349,967

20,938

Series 2002-1A Class H, 7.1095% 12/10/35 (e)(k)

65,000

64,748

Series 2007-C1 Class XP, 0.192% 12/10/49 (k)(m)

25,541,983

125,973

GMAC Commercial Mortgage Securities, Inc.:

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

411,904

157,819

Series 1997-C2:

Class F, 6.75% 4/15/29 (k)

670,210

698,347

Class G, 6.75% 4/15/29 (k)

504,000

544,397

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

235,640

241,551

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

385,000

176,276

Series 1999-C3:

Class G, 6.974% 8/15/36 (e)

64,795

64,350

Class J, 6.974% 8/15/36

226,000

217,056

Class K, 6.974% 8/15/36

427,000

134,277

Series 2000-C1 Class K, 7% 3/15/33

90,000

61,223

Series 2005-C1 Class X2, 0.5531% 5/10/43 (k)(m)

6,942,902

21,349

Greenwich Capital Commercial Funding Corp.:

floater Series 2006-FL4 Class B, 0.4375% 11/5/21 (e)(k)

715,000

688,242

Commercial Mortgage Securities - continued

 

Principal Amount (c)

Value

Greenwich Capital Commercial Funding Corp.: - continued

sequential payer:

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

$ 490,000

$ 497,963

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

3,804,000

3,901,424

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

5,530,000

5,837,606

Series 2002-C1:

Class H, 5.903% 1/11/35 (e)

97,000

97,004

Class J, 6.306% 1/11/35 (e)

760,000

739,698

Series 2003-C2 Class J, 5.234% 1/5/36 (e)(k)

250,000

213,195

Series 2005-GG3 Class XP, 0.6577% 8/10/42 (e)(k)(m)

24,279,183

35,108

Series 2006-GG7:

Class A3, 5.8769% 7/10/38 (k)

5,013,000

5,010,724

Class A4, 5.8769% 7/10/38 (k)

9,540,000

10,456,107

Series 2007-GG11 Class A1, 0.2869% 12/10/49 (e)(k)(m)

40,350,265

282,452

GS Mortgage Securities Corp. II:

floater:

Series 2006-FL8A:

Class E, 0.6175% 6/6/20 (e)(k)

431,608

404,668

Class F, 0.6875% 6/6/20 (e)(k)

835,001

774,782

Class J, 1.9975% 6/6/20 (e)(k)

250,000

200,671

Series 2007-EOP:

Class C, 2.1455% 3/6/20 (e)(k)

1,994,000

1,916,760

Class D, 2.3636% 3/6/20 (e)(k)

4,004,000

3,828,881

Class F, 2.8433% 3/6/20 (e)(k)

164,000

156,991

Class G, 3.0177% 3/6/20 (e)(k)

81,000

77,546

Class H, 3.5846% 3/6/20 (e)(k)

60,000

57,682

Class J, 4.4568% 3/6/20 (e)(k)

86,000

83,322

Class L, 6.4193% 3/6/20 (e)(k)

400,000

392,746

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

507,023

509,347

Series 1997-GL:

Class G, 7.5095% 7/13/30 (k)

797,117

877,227

Class H, 7.7995% 7/13/30 (e)(k)

230,000

244,950

Series 2005-GG4 Class XP, 0.7107% 7/10/39 (e)(k)(m)

31,360,336

118,417

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

6,095,519

6,143,759

Series 2006-RR2:

Class M, 5.6187% 6/23/46 (e)(k)

100,000

0

Class N, 5.6187% 6/23/46 (e)(k)

100,000

0

Commercial Mortgage Securities - continued

 

Principal Amount (c)

Value

GS Mortgage Securities Corp. II: - continued

Series 2010-C1:

Class D, 6.0005% 8/10/43 (e)(k)

$ 290,000

$ 236,447

Class E, 4% 8/10/43 (e)

1,200,000

697,800

Class X, 1.57% 8/10/43 (e)(k)(m)

6,270,494

534,873

GS Mortgage Securities Corp. Trust Series 2011-ALF Class E, 4.953% 2/10/21 (e)

500,000

469,700

GS Mortgage Securities Trust:

sequential payer:

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

928,100

932,740

Series 2007-GG10 Class A2, 5.778% 8/10/45

12,952,733

13,179,303

Series 2010-C2 Class XA, 0.6918% 12/10/43 (e)(k)

5,607,075

153,634

Series 2011-GC5 Class C, 5.475% 8/10/44 (e)(k)

1,050,000

853,470

HVB Mortgage Capital Corp. floater Series 2003-FL1A Class K, 3.0978% 9/10/22 (e)(k)

1,120,000

1,091,589

JPMorgan Chase Commercial Mortgage Securities Corp.:

floater Series 2011-CCHP Class E, 5.15% 7/15/28 (e)(k)

500,000

485,327

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

201,000

199,893

Series 2003-C1:

Class CM1, 5.5061% 1/12/37 (e)(k)

201,217

196,086

Class D, 5.192% 1/12/37

270,000

262,570

Series 2009-IWST Class D, 7.4453% 12/5/27 (e)(k)

1,025,000

1,010,376

Series 2010-CNTR Class D, 6.1838% 8/5/32 (e)(k)

695,000

623,263

Series 2011-C4 Class E, 5.3889% 7/15/46 (e)(k)

370,000

270,247

JPMorgan Chase Commercial Mortgage Securities Trust:

floater:

Series 2006-FL1A Class E, 0.619% 2/15/20 (e)(k)

144,283

133,576

Series 2006-FLA2:

Class A2, 0.379% 11/15/18 (e)(k)

8,393,781

7,890,155

Class B, 0.419% 11/15/18 (e)(k)

1,079,578

982,416

Class C, 0.459% 11/15/18 (e)(k)

767,010

682,639

Class D, 0.479% 11/15/18 (e)(k)

233,648

203,274

Class E, 0.529% 11/15/18 (e)(k)

337,049

283,121

Class F, 0.579% 11/15/18 (e)(k)

504,649

418,859

Class G, 0.609% 11/15/18 (e)(k)

438,498

350,798

Class H, 0.749% 11/15/18 (e)(k)

337,125

256,215

sequential payer:

Series 2006-CB14 Class A3B, 5.4927% 12/12/44 (k)

4,674,131

4,838,048

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

1,210,000

1,327,917

Commercial Mortgage Securities - continued

 

Principal Amount (c)

Value

JPMorgan Chase Commercial Mortgage Securities Trust: - continued

sequential payer:

Series 2006-LDP9:

Class A2, 5.134% 5/15/47 (k)

$ 756,883

$ 778,422

Class A3, 5.336% 5/15/47

9,409,000

9,776,007

Series 2007-CB19 Class A4, 5.7385% 2/12/49 (k)

6,670,000

7,101,642

Series 2007-LD11 Class A2, 5.8017% 6/15/49 (k)

5,323,882

5,392,342

Series 2007-LDPX:

Class A2 S, 5.305% 1/15/49

4,299,000

4,325,344

Class A3, 5.42% 1/15/49

25,732,000

27,171,011

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

170,000

130,050

Series 2004-LN2 Class D, 5.2226% 7/15/41 (k)

420,000

300,838

Series 2005-CB13 Class E, 5.3476% 1/12/43 (e)(k)

963,000

37,919

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

10,011,998

10,267,204

Series 2005-LDP5 Class AJ, 5.3264% 12/15/44 (k)

360,000

329,426

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

533,290

537,543

Series 2007-CB18 Class A1, 5.32% 6/12/47 (k)

2,397

2,395

Series 2007-CB19:

Class B, 5.7385% 2/12/49 (k)

165,000

59,904

Class C, 5.7385% 2/12/49 (k)

424,000

128,516

Class D, 5.7385% 2/12/49 (k)

447,000

100,333

Series 2007-LDP10:

Class BS, 5.437% 1/15/49 (k)

364,000

48,976

Class CS, 5.466% 1/15/49 (k)

157,000

19,049

Class ES, 5.5379% 1/15/49 (e)(k)

983,000

52,491

Series 2010-C2:

Class D, 5.5308% 11/15/43 (e)(k)

645,000

558,444

Class XB, 0.7537% 11/15/43 (e)(k)(m)

3,600,000

135,538

JPMorgan Chase Commercial Mortgage Security Trust Series 2011-C5:

Class B. 5.3139% 8/15/46 (e)(k)

980,000

926,494

Class C, 5.3139% 8/15/46 (e)(k)

250,000

196,754

JPMorgan Commercial Mortgage Finance Corp.:

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

662,943

677,029

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

72,111

72,131

LB Commercial Conduit Mortgage Trust:

sequential payer Series 2007-C3 Class A4, 5.942% 7/15/44 (k)

21,615,000

23,454,026

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

349,999

357,221

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

583,000

602,349

LB-UBS Commercial Mortgage Trust:

sequential payer:

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

150,000

142,628

Commercial Mortgage Securities - continued

 

Principal Amount (c)

Value

LB-UBS Commercial Mortgage Trust: - continued

sequential payer:

Series 2005-C3 Class AJ, 4.843% 7/15/40

$ 900,000

$ 836,113

Series 2005-C7:

Class AJ, 5.323% 11/15/40

1,210,000

1,116,377

Class AM, 5.263% 11/15/40 (k)

67,000

70,764

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

257,912

260,710

Series 2006-C6 Class A2, 5.262% 9/15/39 (k)

834,845

835,416

Series 2006-C7:

Class A2, 5.3% 11/15/38

1,329,460

1,331,769

Class A3, 5.347% 11/15/38

1,417,000

1,519,418

Class AM, 5.378% 11/15/38

160,000

143,734

Series 2007-C1:

Class A3, 5.398% 2/15/40

10,000,000

10,328,030

Class A4, 5.424% 2/15/40

5,434,000

5,839,980

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

3,967,000

4,166,631

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

9,597,104

9,723,930

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

527,599

530,810

Series 2002-C1 Class J, 6.95% 3/15/34 (e)(k)

86,000

86,194

Series 2003-C7 Class L, 5.1147% 7/15/37 (e)(k)

284,000

169,050

Series 2004-C2 Class G, 4.595% 3/15/36 (e)(k)

225,000

190,002

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

740,000

720,841

Series 2005-C3 Class XCP, 0.7121% 7/15/40 (k)(m)

4,326,994

15,456

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

866,000

631,339

Series 2006-C4:

Class AJ, 6.0868% 6/15/38 (k)

480,000

382,763

Class AM, 6.0868% 6/15/38 (k)

500,000

503,953

Series 2006-C6 Class XCP, 0.6749% 9/15/39 (k)(m)

8,109,240

101,455

Series 2007-C1 Class XCP, 0.4209% 2/15/40 (k)(m)

3,265,697

29,123

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

2,376,000

2,543,335

Series 2007-C7:

Class A3, 5.866% 9/15/45

2,029,000

2,172,848

Class XCP, 0.2822% 9/15/45 (k)(m)

139,001,656

1,106,314

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

Class D, 0.479% 9/15/21 (e)(k)

608,683

535,641

Class E, 0.539% 9/15/21 (e)(k)

2,196,145

1,910,646

Class F, 0.589% 9/15/21 (e)(k)

1,143,094

983,061

Class G, 0.609% 9/15/21 (e)(k)

2,258,211

1,783,987

Class H, 0.649% 9/15/21 (e)(k)

582,579

436,934

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

3,377,000

3,381,306

Lstar Commercial Mortgage Trust:

Series 2011-1 Class D, 5.728% 6/25/43 (e)(k)

310,000

226,333

Commercial Mortgage Securities - continued

 

Principal Amount (c)

Value

Lstar Commercial Mortgage Trust: - continued

Series 2011-1 Class B, 5.728% 6/25/43 (e)(k)

$ 540,000

$ 514,237

Merrill Lynch Financial Asset, Inc. Series 2006-CA20 Class E, 5.4341% 10/12/39 (e)(k)

CAD

320,000

276,530

Merrill Lynch Mortgage Investors Trust:

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

509,553

527,938

Series 1998-C3 Class E, 6.8299% 12/15/30 (k)

173,000

180,442

Merrill Lynch Mortgage Trust:

Series 05-LC1 Class AJ, 5.3256% 1/12/44 (k)

220,000

201,960

Series 2004-MKB1 Class F, 5.6507% 2/12/42 (e)(k)

180,000

169,262

Series 2005-CKI1 Class A3, 5.2202% 11/12/37 (k)

1,288,965

1,302,826

Series 2005-LC1 Class F, 5.3796% 1/12/44 (e)(k)

1,655,000

836,621

Series 2006-C1:

Class A2, 5.6206% 5/12/39 (k)

1,840,323

1,887,671

Class AJ, 5.6656% 5/12/39 (k)

160,000

131,482

Class AM, 5.6656% 5/12/39 (k)

100,000

102,209

Series 2007-C1 Class A4, 5.8279% 6/12/50 (k)

7,199,517

7,781,670

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

4,059,000

4,357,953

Merrill Lynch-CFC Commercial Mortgage Trust:

floater Series 2006-4 Class A2FL, 0.363% 12/12/49 (k)

375,876

374,242

sequential payer:

Series 2006-1 CLass A3, 5.4769% 2/12/39 (k)

2,024,000

2,058,764

Series 2006-4:

Class A2, 5.112% 12/12/49 (k)

455,543

455,120

Class ASB, 5.133% 12/12/49 (k)

1,636,000

1,730,590

Series 2007-5:

Class A3, 5.364% 8/12/48

11,417,000

11,801,764

Class A4, 5.378% 8/12/48

76,000

78,105

Class B, 5.479% 8/12/48

5,706,000

2,032,529

Series 2007-6:

Class A1, 5.175% 3/12/51

6,791

6,785

Class A4, 5.485% 3/12/51 (k)

14,650,000

15,042,400

Series 2007-7 Class A4, 5.7419% 6/12/50 (k)

6,656,000

6,935,885

Series 2006-3 Class ASB, 5.382% 7/12/46 (k)

7,876,757

8,259,450

Series 2006-4 Class XP, 0.6162% 12/12/49 (k)(m)

28,864,465

502,704

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

1,902,000

585,962

Series 2007-7 Class B, 5.7419% 6/12/50 (k)

166,000

24,900

Series 2007-8 Class A3, 5.966% 8/12/49 (k)

1,640,000

1,765,911

Morgan Stanley Capital I Trust:

floater:

Series 2006-XLF:

Class C, 1.449% 7/15/19 (e)(k)

357,716

211,052

Commercial Mortgage Securities - continued

 

Principal Amount (c)

Value

Morgan Stanley Capital I Trust: - continued

floater:

Class H, 0.629% 7/15/19 (e)(k)

$ 142,675

$ 142,335

Class J, 0.679% 7/15/19 (e)(k)

354,000

314,216

Series 2007-XCLA Class A1, 0.449% 7/17/17 (e)(k)

277,997

255,758

Series 2007-XLFA:

Class C, 0.409% 10/15/20 (e)(k)

1,092,000

1,008,959

Class D, 0.439% 10/15/20 (e)(k)

667,354

606,595

Class E, 0.499% 10/15/20 (e)(k)

834,661

750,323

Class F, 0.549% 10/15/20 (e)(k)

500,899

430,250

Class G, 0.589% 10/15/20 (e)(k)

619,188

525,663

Class H, 0.679% 10/15/20 (e)(k)

389,758

291,911

Class J, 0.829% 10/15/20 (e)(k)

228,006

136,566

Class MHRO, 0.939% 10/15/20 (e)(k)

594,748

487,693

Class NHRO, 1.139% 10/15/20 (e)(k)

902,610

722,088

sequential payer:

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

299,816

298,038

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

2,024,660

2,050,902

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

620,000

603,517

Series 2007-HQ11 Class A31, 5.439% 2/12/44 (k)

964,000

1,004,424

Series 2007-IQ13:

Class A1, 5.05% 3/15/44

45,321

45,301

Class A4, 5.364% 3/15/44

10,000,000

10,422,780

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

95,433

95,364

Series 1997-RR Class F, 7.4009% 4/30/39 (e)(k)

162,490

151,116

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

205,756

94,648

Series 1999-WF1:

Class N, 5.91% 11/15/31 (e)

210,000

173,311

Class O, 5.91% 11/15/31 (e)

197,950

53,179

Series 2003-IQ6 Class X2, 0.5872% 12/15/41 (e)(k)(m)

11,254,806

180

Series 2004-IQ7 Class E, 5.4081% 6/15/38 (e)(k)

120,000

81,600

Series 2004-RR2 Class C, 5.88% 10/28/33 (e)(k)

280,000

204,400

Series 2005-IQ9 Class X2, 1.0813% 7/15/56 (e)(k)(m)

16,930,454

34,352

Series 2006-HQ10 Class X2, 0.4922% 11/12/41 (e)(k)(m)

8,845,165

48,127

Series 2006-HQ8 Class A3, 5.4703% 3/12/44 (k)

891,614

897,150

Series 2006-IQ11:

Class A3, 5.6935% 10/15/42 (k)

2,033,257

2,092,513

Class A4, 5.7295% 10/15/42 (k)

570,000

633,383

Series 2006-IQ12 Class AMFX, 5.37% 12/15/43

719,000

665,722

Commercial Mortgage Securities - continued

 

Principal Amount (c)

Value

Morgan Stanley Capital I Trust: - continued

Series 2006-T23 Class A3, 5.8123% 8/12/41 (k)

$ 972,000

$ 987,127

Series 2007-HQ12 Class A2, 5.5905% 4/12/49 (k)

11,654,870

11,855,544

Series 2007-IQ14:

Class A4, 5.692% 4/15/49 (k)

2,852,000

2,972,782

Class B, 5.7222% 4/15/49 (k)

469,000

98,269

Series 2011-C1:

Class D, 5.2557% 9/15/47 (e)(k)

590,000

480,351

Class E, 5.2557% 9/15/47 (e)(k)

573,100

441,953

Series 2011-C2:

Class D, 5.3189% 6/15/44 (e)(k)

580,000

473,390

Class E, 5.3189% 6/15/44 (e)(k)

600,000

460,368

Class F, 5.3189% 6/15/44 (e)(k)

550,000

371,652

Class XB, 0.4651% 6/15/44 (e)(k)(m)

9,001,008

267,960

Series 2011-C3:

Class D, 5.357% 7/15/49 (e)

1,130,000

888,704

Class E, 5.357% 7/15/49 (e)(k)

400,000

273,765

Morgan Stanley Dean Witter Capital I Trust:

Series 2000-PRIN Class C, 7.9023% 2/23/34 (k)

466,000

520,481

Series 2001-TOP3 Class E, 7.3283% 7/15/33 (e)(k)

150,000

127,265

Series 2003-TOP9 Class E, 5.7302% 11/13/36 (e)(k)

78,000

75,946

NationsLink Funding Corp.:

Series 1998-2:

Class F, 7.105% 8/20/30 (e)

499,681

519,703

Class G, 5% 8/20/30 (e)

361,875

366,217

Class J, 5% 8/20/30 (e)

195,000

184,626

Series 1999-SL Class X, 76.44% 11/10/30 (k)(m)

138,935

121,221

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

1,050,000

1,077,590

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

741,551

759,645

RBSCF Trust Series 2010-MB1 Class D, 4.6717% 4/15/24 (e)(k)

480,000

440,625

Real Estate Asset Liquidity Trust:

Series 2006-2:

Class F, 4.456% 9/12/38 (e)

CAD

107,000

85,633

Class G, 4.456% 9/12/38 (e)

CAD

54,000

41,323

Class H, 4.456% 9/12/38 (e)

CAD

36,000

25,777

Class J, 4.456% 9/12/38 (e)

CAD

36,000

24,059

Class K, 4.456% 9/12/38 (e)

CAD

18,000

10,586

Class L, 4.456% 9/12/38 (e)

CAD

26,000

14,200

Class M, 4.456% 9/12/38 (e)

CAD

128,859

35,375

Commercial Mortgage Securities - continued

 

Principal Amount (c)

Value

Real Estate Asset Liquidity Trust: - continued

Series 2007-1:

Class F, 4.57% 4/12/23

CAD

$ 126,000

$ 90,783

Class G, 4.57% 4/12/23

CAD

42,000

28,967

Class H, 4.57% 4/12/23

CAD

42,000

27,740

Class J, 4.57% 4/12/23

CAD

42,000

26,575

Class K, 4.57% 4/12/23

CAD

21,000

12,735

Class L, 4.57% 4/12/23

CAD

63,000

36,630

Class M, 4.57% 4/12/23

CAD

185,000

48,345

Salomon Brothers Mortgage Securities VII, Inc. Series 2001-MMA:

Class E3, 6.5% 2/18/34 (e)(k)

200,000

209,013

Class E5, 6.5% 2/18/34 (e)(k)

900,000

907,646

Structured Asset Securities Corp. Series 1997-LLI:

Class D, 7.15% 10/12/34

112,823

112,973

Class F, 7.3% 10/12/34 (e)

473,000

473,231

TIAA Seasoned Commercial Mortgage Trust:

sequential payer Series 2007-C4 Class AJ, 5.9076% 8/15/39 (k)

170,000

160,250

Series 2007-C4 Class F, 5.9076% 8/15/39 (k)

820,000

554,435

TimberStar Trust I Series 2006-1 Class F, 7.5296% 10/15/36 (e)

270,000

247,862

UBS Commercial Mortgage Trust Series 2007-FL1:

Class F, 0.824% 7/15/24 (e)(k)

110,000

73,537

Class G, 0.824% 7/15/24 (e)(k)

200,000

122,703

Vornado DP LLC Series 2010-VNO Class D, 6.3555% 9/13/28 (e)

180,000

169,950

Wachovia Bank Commercial Mortgage Trust:

floater:

Series 2006-WL7A:

Class E, 0.5233% 9/15/21 (e)(k)

1,770,598

1,342,087

Class F, 0.5833% 9/15/21 (e)(k)

1,877,987

1,335,221

Class G, 0.6033% 9/15/21 (e)(k)

1,779,101

1,211,541

Class J, 0.8433% 9/15/21 (e)(k)

395,545

241,672

Series 2007-WHL8:

Class AP1, 0.949% 6/15/20 (e)(k)

140,220

126,198

Class AP2, 1.049% 6/15/20 (e)(k)

235,007

206,806

Class F, 0.729% 6/15/20 (e)(k)

4,565,501

2,967,576

Class LXR1, 0.949% 6/15/20 (e)(k)

233,916

189,472

sequential payer:

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

2,176,567

2,186,912

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

6,982,294

7,004,065

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

5,051,000

5,203,412

Commercial Mortgage Securities - continued

 

Principal Amount (c)

Value

Wachovia Bank Commercial Mortgage Trust: - continued

sequential payer:

Series 2007-C30:

Class A3, 5.246% 12/15/43

$ 1,633,000

$ 1,647,419

Class A4, 5.305% 12/15/43

8,604,000

8,877,960

Class A5, 5.342% 12/15/43

2,036,000

2,095,907

Series 2007-C31 Class A4, 5.509% 4/15/47

13,599,000

14,113,763

Series 2007-C32:

Class A2, 5.7374% 6/15/49 (k)

13,743,083

14,007,624

Class A3, 5.7424% 6/15/49 (k)

3,229,000

3,344,078

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

903,000

886,378

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

340,000

332,748

Series 2004-C11:

Class D, 5.3661% 1/15/41 (k)

360,000

330,602

Class E, 5.4161% 1/15/41 (k)

327,000

280,349

Series 2004-C12 Class D, 5.3163% 7/15/41 (k)

280,000

262,329

Series 2004-C14:

Class B, 5.17% 8/15/41

258,500

248,458

Class C, 5.21% 8/15/41

170,000

159,614

Series 2004-C15 Class 175C, 5.8479% 10/15/41 (e)(k)

500,000

485,722

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

1,902,000

1,757,726

Series 2005-C22:

Class B, 5.3591% 12/15/44 (k)

4,218,000

3,045,695

Class F, 5.3591% 12/15/44 (e)(k)

3,171,000

1,208,601

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

7,870,000

8,636,436

Series 2007-C30:

Class B, 5.463% 12/15/43 (k)

10,505,000

4,907,516

Class C, 5.483% 12/15/43 (k)

5,706,000

2,448,176

Class D, 5.513% 12/15/43 (k)

3,044,000

938,112

Class XP, 0.437% 12/15/43 (e)(k)(m)

17,012,943

186,088

Series 2007-C31 Class C, 5.6857% 4/15/47 (k)

522,000

97,562

Series 2007-C32:

Class D, 5.7424% 6/15/49 (k)

1,431,000

453,484

Class E, 5.7424% 6/15/49 (k)

2,252,000

562,324

Wachovia Bank Commercial Mortgage Trust pass-thru certificates sequential payer Series 2007-C33 Class A5, 5.899% 2/15/51 (k)

19,259,000

19,927,653

Wells Fargo Commercial Mortgage Trust Series 2010-C1 Class XB, 0.5792% 11/15/43 (e)(m)

10,192,000

348,668

WF-RBS Commercial Mortgage Trust:

Series 2011-C4 Class E, 5.4179% 6/15/44 (e)

320,000

245,181

Commercial Mortgage Securities - continued

 

Principal Amount (c)

Value

WF-RBS Commercial Mortgage Trust: - continued

Series 2011-C5:

Class C, 5.6369% 11/15/44 (e)(k)

$ 260,000

$ 231,759

Class D, 5.6369% 11/15/44 (e)(k)

200,000

159,818

Class XA, 2.0986% 11/15/44 (e)(k)(m)

5,260,000

629,780

WFDB Commercial Mortgage Trust Series 2011-BXR Class D, 5.914% 7/5/24 (e)

1,500,000

1,500,912

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $675,091,668)

781,013,472

Municipal Securities - 0.2%

 

Beaver County Indl. Dev. Auth. Poll. Cont. Rev. Bonds (FirstEnergy Nuclear Generation Corp. Proj.) Series 2005 A, 3.375%, tender 7/1/15 (k)

3,300,000

3,362,898

California Gen. Oblig. 7.5% 4/1/34

4,890,000

5,733,281

Illinois Gen. Oblig.:

Series 2010, 4.421% 1/1/15

6,825,000

7,052,682

Series 2011:

5.665% 3/1/18

5,425,000

5,732,435

5.877% 3/1/19

5,175,000

5,490,572

TOTAL MUNICIPAL SECURITIES

(Cost $25,567,985)

27,371,868

Foreign Government and Government Agency Obligations - 1.9%

 

Argentine Republic:

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

4,758,013

3,425,769

2.5% 12/31/38 (d)

3,210,000

1,091,400

7% 9/12/13

6,980,000

6,738,221

7% 10/3/15

10,420,000

9,070,031

Bahamian Republic 6.95% 11/20/29 (e)

855,000

957,600

Bahrain Kingdom 5.5% 3/31/20

550,000

510,813

Banco Nacional de Desenvolvimento Economico e Social 6.369% 6/16/18 (e)

325,000

360,750

Belarus Republic:

8.75% 8/3/15 (Reg. S)

4,445,000

3,867,150

8.95% 1/26/18

1,085,000

927,675

Bermuda Government 5.603% 7/20/20 (e)

470,000

518,175

Brazilian Federative Republic:

5.625% 1/7/41

5,820,000

6,591,150

Foreign Government and Government Agency Obligations - continued

 

Principal Amount (c)

Value

Brazilian Federative Republic: - continued

6% 1/17/17

$ 505,000

$ 580,750

7.125% 1/20/37

540,000

723,600

8.25% 1/20/34

290,000

426,300

8.75% 2/4/25

545,000

803,875

8.875% 10/14/19

370,000

512,450

10.125% 5/15/27

1,215,000

1,965,263

12.25% 3/6/30

735,000

1,385,475

Chilean Republic:

3.25% 9/14/21

12,540,000

12,571,350

7.125% 1/11/12

3,045,000

3,065,554

Colombian Republic:

4.375% 7/12/21

1,745,000

1,819,163

7.375% 1/27/17

1,350,000

1,620,000

7.375% 3/18/19

1,070,000

1,340,175

7.375% 9/18/37

2,130,000

2,886,150

10.375% 1/28/33

2,150,000

3,547,500

11.75% 2/25/20

1,050,000

1,632,750

Congo Republic 3% 6/30/29 (d)

1,781,250

1,255,781

Croatia Republic:

6.375% 3/24/21 (e)

1,725,000

1,530,938

6.625% 7/14/20 (e)

2,195,000

1,975,500

6.75% 11/5/19 (e)

2,755,000

2,534,600

Democratic Socialist Republic of Sri Lanka:

6.25% 10/4/20 (e)

2,235,000

2,246,175

6.25% 7/27/21 (e)

1,610,000

1,585,850

7.4% 1/22/15 (e)

1,635,000

1,724,925

Dominican Republic:

1.5522% 8/30/24 (k)

1,350,000

1,174,500

7.5% 5/6/21 (e)

2,180,000

2,180,000

9.04% 1/23/18 (e)

967,284

1,064,013

El Salvador Republic:

7.375% 12/1/19 (e)

745,000

808,325

7.625% 2/1/41 (e)

525,000

527,625

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

1,265,000

1,302,950

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

1,070,000

1,160,950

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

575,000

625,313

Export Credit Bank of Turkey 5.375% 11/4/16 (e)

540,000

534,600

Gabonese Republic 8.2% 12/12/17 (e)

1,185,000

1,359,788

Georgia Republic 6.875% 4/12/21 (e)

2,020,000

2,060,400

Ghana Republic 8.5% 10/4/17 (e)

1,625,000

1,787,500

Foreign Government and Government Agency Obligations - continued

 

Principal Amount (c)

Value

Hungarian Republic:

4.75% 2/3/15

$ 940,000

$ 869,500

6.25% 1/29/20

2,250,000

2,047,500

6.375% 3/29/21

2,933,000

2,720,358

7.625% 3/29/41

1,488,000

1,383,840

Indonesian Republic:

4.875% 5/5/21 (e)

1,095,000

1,148,436

5.875% 3/13/20 (e)

1,660,000

1,842,600

6.625% 2/17/37 (e)

1,100,000

1,303,500

6.875% 1/17/18 (e)

1,105,000

1,287,325

7.75% 1/17/38 (e)

1,690,000

2,247,700

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

1,360,000

1,938,000

11.625% 3/4/19 (e)

1,720,000

2,511,200

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

3,610,000

2,779,700

Jordanian Kingdom 3.875% 11/12/15

820,000

762,600

Lebanese Republic:

4% 12/31/17

3,630,250

3,575,796

5.15% 11/12/18

550,000

547,250

Lithuanian Republic:

5.125% 9/14/17 (e)

430,000

417,100

6.125% 3/9/21 (e)

1,460,000

1,394,300

6.75% 1/15/15 (e)

1,215,000

1,263,600

7.375% 2/11/20 (e)

2,485,000

2,634,100

Namibia Republic of 5.5% 11/3/21 (e)

1,340,000

1,346,700

Peruvian Republic:

3% 3/7/27 (d)

1,210,000

1,040,600

5.625% 11/18/50

1,265,000

1,337,738

7.35% 7/21/25

1,550,000

2,011,125

8.75% 11/21/33

2,865,000

4,218,713

Philippine Republic:

5.5% 3/30/26

515,000

566,500

6.375% 1/15/32

515,000

607,700

6.375% 10/23/34

460,000

548,550

6.5% 1/20/20

805,000

957,950

7.5% 9/25/24

290,000

369,025

7.75% 1/14/31

390,000

519,675

9.5% 2/2/30

1,560,000

2,379,000

9.875% 1/15/19

640,000

889,600

10.625% 3/16/25

1,320,000

2,077,416

Polish Government:

3.875% 7/16/15

840,000

842,100

5.125% 4/21/21

825,000

820,875

Foreign Government and Government Agency Obligations - continued

 

Principal Amount (c)

Value

Polish Government: - continued

6.375% 7/15/19

$ 2,200,000

$ 2,409,000

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

1,360,000

1,122,000

Provincia de Neuquen Argentina 7.875% 4/26/21 (e)

520,000

514,800

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

5,150,000

4,197,250

Republic of Nigeria 6.75% 1/28/21 (e)

1,555,000

1,619,144

Republic of Senegal 8.75% 5/13/21 (e)

900,000

900,000

Republic of Serbia 6.75% 11/1/24 (e)

7,310,335

6,835,163

Russian Federation:

3.625% 4/29/15 (e)

900,000

920,250

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

8,234,770

9,717,029

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

385,000

528,413

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

1,800,000

3,127,500

State of Qatar:

3.125% 1/20/17 (e)

895,000

893,210

5.75% 1/20/42 (e)

745,000

758,783

Turkish Republic:

5.125% 3/25/22

735,000

703,763

5.625% 3/30/21

815,000

833,338

6% 1/14/41

350,000

336,455

6.75% 4/3/18

1,395,000

1,534,500

6.75% 5/30/40

805,000

849,275

6.875% 3/17/36

2,795,000

3,004,625

7% 9/26/16

1,360,000

1,506,200

7.25% 3/15/15

730,000

801,175

7.25% 3/5/38

1,400,000

1,562,820

7.375% 2/5/25

2,890,000

3,323,500

7.5% 7/14/17

1,285,000

1,458,475

7.5% 11/7/19

745,000

854,888

11.875% 1/15/30

960,000

1,588,800

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

1,690,000

1,428,050

Ukraine Government:

6.25% 6/17/16 (e)

2,080,000

1,801,904

6.385% 6/26/12 (e)

3,670,000

3,596,600

6.7% 12/21/11

2,315,000

2,306,319

6.75% 11/14/17 (e)

1,895,000

1,629,700

6.875% 9/23/15 (e)

1,630,000

1,487,375

7.65% 6/11/13 (e)

2,965,000

2,857,667

7.75% 9/23/20 (e)

1,430,000

1,244,100

7.95% 2/23/21 (e)

1,425,000

1,254,000

United Arab Emirates 7.75% 10/5/20 (Reg. S)

545,000

555,900

Foreign Government and Government Agency Obligations - continued

 

Principal Amount (c)

Value

United Mexican States:

5.125% 1/15/20

$ 920,000

$ 1,029,020

5.625% 1/15/17

490,000

554,190

5.75% 10/12/10

756,000

776,790

5.95% 3/19/19

300,000

351,300

6.05% 1/11/40

9,454,000

11,179,355

6.75% 9/27/34

720,000

914,400

7.5% 4/8/33

425,000

583,313

8.3% 8/15/31

420,000

616,350

Uruguay Republic:

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

1,970,000

2,669,350

8% 11/18/22

2,566,902

3,413,980

Venezuelan Republic:

6% 12/9/20

620,000

368,900

7% 3/31/38

625,000

348,438

7.75% 10/13/19 (Reg. S)

800,000

556,000

8.5% 10/8/14

735,000

679,875

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

2,490,000

1,699,425

9.25% 9/15/27

1,575,000

1,106,438

9.25% 5/7/28 (Reg. S)

990,000

658,350

9.375% 1/13/34

1,035,000

685,688

10.75% 9/19/13

1,300,000

1,306,500

11.75% 10/21/26 (Reg. S)

470,000

376,000

11.95% 8/5/31 (Reg. S)

1,890,000

1,502,550

12.75% 8/23/22

4,180,000

3,667,950

13.625% 8/15/18

1,078,000

1,034,880

Vietnamese Socialist Republic:

1.3258% 3/12/16 (k)

743,478

631,956

4% 3/12/28 (d)

3,195,000

2,619,900

6.75% 1/29/20 (e)

835,000

835,000

6.875% 1/15/16 (e)

2,430,000

2,502,900

TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $248,557,565)

262,317,263

Supranational Obligations - 0.0%

 

Corporacion Andina de Fomento 5.2% 5/21/13
(Cost $231,216)

242,000

253,782

Common Stocks - 0.0%

Shares

Value

TELECOMMUNICATION SERVICES - 0.0%

Wireless Telecommunication Services - 0.0%

CUI Acquisition Corp. Class E (e)

1

$ 863,100

TOTAL COMMON STOCKS

(Cost $1,258,919)

863,100

Preferred Stocks - 0.1%

 

 

 

 

Convertible Preferred Stocks - 0.1%

CONSUMER DISCRETIONARY - 0.1%

Automobiles - 0.1%

General Motors Co. 4.75%

80,100

2,734,614

FINANCIALS - 0.0%

Real Estate Investment Trusts - 0.0%

Alexandria Real Estate Equities, Inc. Series D 7.00%

9,000

206,438

UTILITIES - 0.0%

Electric Utilities - 0.0%

AES Trust III 6.75%

25,200

1,237,068

TOTAL CONVERTIBLE PREFERRED STOCKS

4,178,120

Nonconvertible Preferred Stocks - 0.0%

FINANCIALS - 0.0%

Real Estate Investment Trusts - 0.0%

Apartment Investment & Management Co. Series U, 7.75%

5,000

125,700

CBL & Associates Properties, Inc. 7.375%

7,720

182,424

Cedar Shopping Centers, Inc. 8.875%

5,000

116,050

Corporate Office Properties Trust Series H, 7.50%

5,000

124,900

Digital Realty Trust, Inc. Series E, 7.00%

10,000

253,600

Equity Lifestyle Properties, Inc. 8.034%

22,162

564,909

Essex Property Trust, Inc. Series H, 7.125%

9,354

236,656

Hersha Hospitality Trust Series B, 8.00%

10,300

236,900

LaSalle Hotel Properties Series H, 7.50%

10,000

245,700

PS Business Parks, Inc. 6.875%

10,000

259,500

Public Storage:

Series P, 6.50%

12,000

322,080

Preferred Stocks - continued

Shares

Value

Nonconvertible Preferred Stocks - continued

FINANCIALS - continued

Real Estate Investment Trusts - continued

Public Storage: - continued

Series R, 6.35%

10,500

$ 277,725

Stag Industrial, Inc. Series A, 9.00% (a)

20,000

510,000

 

3,456,144

TOTAL PREFERRED STOCKS

(Cost $8,548,878)

7,634,264

Floating Rate Loans - 0.6%

 

Principal Amount (c)

 

CONSUMER DISCRETIONARY - 0.3%

Auto Components - 0.1%

Federal-Mogul Corp.:

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

$ 3,360,390

3,108,360

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

2,110,750

1,952,444

 

5,060,804

Automobiles - 0.0%

Chrysler Group LLC Tranche B, term loan 6% 5/24/17 (k)

2,797,988

2,581,143

Diversified Consumer Services - 0.0%

Visant Corp. Tranche B, term loan 5.25% 12/22/16 (k)

2,123,950

1,996,513

Hotels, Restaurants & Leisure - 0.1%

Ameristar Casinos, Inc. Tranche B, term loan 4% 4/14/18 (k)

915,400

910,823

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

1,000,000

982,500

MGM Mirage, Inc. Tranche B, term loan 7% 2/21/14 (k)

1,435,000

1,388,363

Six Flags, Inc. Tranche B, term loan 5.3684% 6/30/16 (k)

1,295,000

1,282,050

 

4,563,736

Leisure Equipment & Products - 0.0%

SRAM LLC.:

2nd LN, term loan 8.5% 12/7/18 (k)

265,000

265,000

Tranche B 1LN, term loan 4.7635% 6/7/18 (k)

801,025

793,015

 

1,058,015

Media - 0.1%

Clear Channel Capital I LLC Tranche B, term loan 3.91% 1/29/16 (k)

5,481,432

4,097,370

Floating Rate Loans - continued

 

Principal Amount (c)

Value

CONSUMER DISCRETIONARY - continued

Media - continued

Harron Communications LP Tranche B, term loan 5.25% 10/6/17 (k)

$ 2,110,213

$ 2,078,559

Newsday LLC term loan 10.5% 8/1/13

3,505,000

3,601,388

Univision Communications, Inc. term loan 4.51% 3/31/17 (k)

4,421,098

3,912,671

UPC Broadband Holding BV Tranche AB, term loan 4.75% 12/31/17 (k)

1,250,000

1,225,000

 

14,914,988

Multiline Retail - 0.0%

Neiman Marcus Group, Inc. Tranche B, term loan 4.75% 5/16/18 (k)

3,680,000

3,523,600

Specialty Retail - 0.0%

PETCO Animal Supplies, Inc. term loan 4.5% 11/24/17 (k)

341,550

330,450

TOTAL CONSUMER DISCRETIONARY

34,029,249

CONSUMER STAPLES - 0.0%

Food & Staples Retailing - 0.0%

SUPERVALU, Inc. Tranche B 3LN, term loan 4.5% 4/29/18 (k)

1,407,925

1,355,128

U.S. Foodservice term loan 5.75% 3/31/17 (k)

4,883,355

4,590,354

 

5,945,482

ENERGY - 0.0%

Oil, Gas & Consumable Fuels - 0.0%

Frac Tech Holdings LLC Tranche B, term loan 6.25% 5/6/16 (k)

2,988,581

2,928,810

FINANCIALS - 0.0%

Diversified Financial Services - 0.0%

Capital Automotive LP term loan 5% 3/11/17 (k)

636,336

618,837

Real Estate Management & Development - 0.0%

CityCenter term loan 8.75% 7/1/13 (k)

1,000,000

970,000

TOTAL FINANCIALS

1,588,837

HEALTH CARE - 0.0%

Health Care Providers & Services - 0.0%

Quintiles Transnational Corp. Tranche B, term loan 5% 6/8/18 (k)

2,238,363

2,176,808

Floating Rate Loans - continued

 

Principal Amount (c)

Value

HEALTH CARE - continued

Pharmaceuticals - 0.0%

Endo Pharmaceuticals Holdings, Inc. Tranche B, term loan 4% 6/17/18 (k)

$ 535,088

$ 535,756

TOTAL HEALTH CARE

2,712,564

INDUSTRIALS - 0.1%

Airlines - 0.1%

Delta Air Lines, Inc. Tranche B, term loan 5.5% 4/20/17 (k)

2,788,013

2,648,612

US Airways Group, Inc. term loan 2.76% 3/23/14 (k)

2,810,347

2,416,899

 

5,065,511

Construction & Engineering - 0.0%

Drumm Investors LLC Tranche B, term loan 5% 5/4/18 (k)

543,605

462,064

Machinery - 0.0%

Colfax Corp. Tranche B, term loan 9/12/18 (k)

2,530,000

2,533,163

Husky Intermediate, Inc. Tranche B, term loan 6.5% 6/30/18 (k)

2,289,263

2,266,370

 

4,799,533

TOTAL INDUSTRIALS

10,327,108

INFORMATION TECHNOLOGY - 0.0%

Internet Software & Services - 0.0%

Godaddy.Com, Inc. Tranche B, term loan 7% 9/23/18 (k)

880,000

877,800

MATERIALS - 0.1%

Chemicals - 0.0%

Ashland, Inc. Tranche B, term loan 3.75% 8/23/18 (k)

2,075,000

2,080,188

Containers & Packaging - 0.1%

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

2,065,000

2,049,513

Sealed Air Corp. Tranche B, term loan 4.75% 10/3/18 (k)

1,476,313

1,491,076

 

3,540,589

Metals & Mining - 0.0%

JMC Steel Group, Inc. term loan 4.75% 4/1/17 (k)

1,467,625

1,452,949

TOTAL MATERIALS

7,073,726

Floating Rate Loans - continued

 

Principal Amount (c)

Value

TELECOMMUNICATION SERVICES - 0.1%

Wireless Telecommunication Services - 0.1%

Asurion LLC:

term loan 9% 5/24/19 (k)

$ 3,255,000

$ 3,137,169

Tranche B, term loan 5.5% 5/24/18 (k)

1,555,909

1,505,342

Intelsat Jackson Holdings SA term loan 3.3911% 2/1/14 (k)

2,425,000

2,285,563

MetroPCS Wireless, Inc. Tranche B 3LN, term loan 4.0279% 3/17/18 (k)

4,074,552

3,972,688

TowerCo Finance LLC Tranche B, term loan 5.25% 2/2/17 (k)

2,258,650

2,255,827

 

13,156,589

UTILITIES - 0.0%

Independent Power Producers & Energy Traders - 0.0%

The AES Corp. Tranche B, term loan 4.25% 5/27/18 (k)

373,125

370,327

TOTAL FLOATING RATE LOANS

(Cost $79,470,481)

79,010,492

Sovereign Loan Participations - 0.0%

 

Indonesian Republic loan participation:

Citibank 1.25% 12/14/19 (k)

1,724,850

1,621,359

Goldman Sachs 1.25% 12/14/19 (k)

1,478,241

1,389,546

1.25% 12/14/19 (k)

114,036

107,194

TOTAL SOVEREIGN LOAN PARTICIPATIONS

(Cost $2,849,293)

3,118,099

Bank Notes - 0.0%

 

Wachovia Bank NA 6% 11/15/17
(Cost $2,446,427)

2,243,000

2,496,241

Fixed-Income Funds - 24.6%

Shares

 

Fidelity Floating Rate Central Fund (l)

5,663,128

552,834,598

Fidelity Mortgage Backed Securities Central Fund (l)

26,225,529

2,825,276,284

TOTAL FIXED-INCOME FUNDS

(Cost $3,179,829,822)

3,378,110,882

Preferred Securities - 0.0%

Principal Amount (c)

Value

CONSUMER DISCRETIONARY - 0.0%

Media - 0.0%

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

$ 2,360,000

$ 2,488,533

FINANCIALS - 0.0%

Diversified Financial Services - 0.0%

ING Groep NV 5.775% (f)(k)

1,312,000

915,268

MATERIALS - 0.0%

Metals & Mining - 0.0%

CSN Islands XII Corp. 7% (Reg. S) (f)

1,880,000

1,829,385

TOTAL PREFERRED SECURITIES

(Cost $4,869,660)

5,233,186

Cash Equivalents - 4.6%

Maturity Amount

 

Investments in repurchase agreements in a joint trading account at 0.14%, dated 11/30/11 due 12/1/11 (Collateralized by U.S. Government Obligations) #
(Cost $635,909,000)

$ 635,911,444

635,909,000

TOTAL INVESTMENT PORTFOLIO - 106.4%

(Cost $13,863,087,233)

14,603,892,067

NET OTHER ASSETS (LIABILITIES) - (6.4)%

(880,000,928)

NET ASSETS - 100%

$ 13,723,891,139

TBA Sale Commitments

 

Principal Amount

 

Fannie Mae Guaranteed Mortgage pass-thru certificates

3.5% 12/1/26

$ (9,700,000)

(10,078,454)

3.5% 12/1/26

(21,000,000)

(21,819,334)

4% 12/1/26

(12,600,000)

(13,226,425)

4% 12/1/26

(11,400,000)

(11,966,766)

4% 12/1/41

(28,600,000)

(29,792,383)

4.5% 12/1/41

(5,500,000)

(5,814,250)

TBA Sale Commitments - continued

 

Principal Amount

Value

Fannie Mae Guaranteed Mortgage pass-thru certificates - continued

4.5% 12/1/41

$ (29,000,000)

$ (30,656,956)

4.5% 12/1/41

(3,200,000)

(3,382,836)

4.5% 12/1/41

(1,200,000)

(1,268,564)

5% 12/1/41

(700,000)

(752,290)

5% 12/1/41

(16,000,000)

(17,195,202)

6% 12/1/41

(65,700,000)

(72,013,074)

6% 12/1/41

(65,700,000)

(72,013,074)

6% 12/1/41

(21,500,000)

(23,565,922)

6% 12/1/41

(17,700,000)

(19,400,782)

6% 12/1/41

(17,700,000)

(19,400,782)

TOTAL FANNIE MAE GUARANTEED MORTGAGE PASS-THRU CERTIFICATES

(352,347,094)

Freddie Mac

4% 12/1/41

(28,000,000)

(29,117,054)

5.5% 12/1/41

(5,500,000)

(5,937,285)

TOTAL FREDDIE MAC

(35,054,339)

Ginnie Mae

3.5% 12/1/41

(18,000,000)

(18,657,254)

4% 12/1/41

(42,400,000)

(45,207,855)

4% 12/1/41

(4,200,000)

(4,478,137)

4% 12/1/41

(38,200,000)

(40,729,719)

4% 12/1/41

(2,200,000)

(2,345,691)

4% 12/1/41

(38,200,000)

(40,729,719)

4% 12/1/41

(4,200,000)

(4,478,137)

4% 12/1/41

(1,000,000)

(1,066,223)

4% 12/1/41

(1,000,000)

(1,066,223)

4% 1/1/42

(600,000)

(637,999)

4.5% 12/1/41

(200,000)

(217,302)

4.5% 12/1/41

(2,400,000)

(2,607,627)

4.5% 12/1/41

(1,900,000)

(2,064,372)

4.5% 1/1/42

(100,000)

(108,427)

5% 12/1/41

(12,500,000)

(13,757,970)

5% 12/1/41

(12,500,000)

(13,757,970)

5% 1/1/42

(1,400,000)

(1,537,940)

TOTAL GINNIE MAE

(193,448,565)

TOTAL TBA SALE COMMITMENTS

(Proceeds $579,743,797)

$ (580,849,998)

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 Premium Received/(Paid) $480,000) (j)

Sept. 2037

$ 2,333,561

$ (2,202,226)

Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to Credit Suisse First Boston upon each credit event of one of the issues of ABX AA 07-01 Index, par value of the proportional notional amount (Rating-C) (Upfront Premium Received/(Paid) $1,058,000) (j)

Sept. 2037

2,683,595

(2,532,560)

Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to JPMorgan Chase, Inc. upon each credit event of one of the issues of ABX AA 07-01 Index, par value of the proportional notional amount (Rating-C) (Upfront Premium Received/(Paid) $651,000) (j)

Sept. 2037

1,633,493

(1,541,558)

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

Sept. 2037

4,200,410

(3,964,007)

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

Sept. 2037

1,516,815

(1,431,447)

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

August 2034

24,301

(13,495)

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) (i)

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) (i)

Sept. 2034

24,272

(18,328)

TOTAL CREDIT DEFAULT SWAPS

 

$ 12,417,234

$ (11,704,363)

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

1,839,600

 

$ 212,417,234

$ (9,864,763)

Currency Abbreviations

CAD

-

Canadian dollar

Legend

(a) Non-income producing

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

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

(d) 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.

(e) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $1,014,836,498 or 7.4% of net assets.

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

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

(h) 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 $11,264,429.

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

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

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

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

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

(n) 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 $756,960 or 0.0% of net assets.

Additional information on each restricted holding is as follows:

Security

Acquisition Date

Acquisition Cost

ACGS Series 2004-1 Class P, 7.4651% 8/1/19

2/17/11

$ 583,086

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

$635,909,000 due 12/01/11 at 0.14%

Commerz Markets LLC

$ 55,992,031

ING Financial Markets LLC

190,372,906

Mizuho Securities USA, Inc.

381,826,793

RBC Capital Markets Corp.

7,717,270

 

$ 635,909,000

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 Floating Rate Central Fund

$ 6,333,531

Fidelity Mortgage Backed Securities Central Fund

22,425,087

Total

$ 28,758,618

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 Floating Rate Central Fund

$ 389,816,805

$ 155,952,894

$ -

$ 552,834,598

19.9%

Fidelity Mortgage Backed Securities Central Fund

2,813,030,905

22,425,089

-

2,825,276,284

22.0%

Total

$ 3,202,847,710

$ 178,377,983

$ -

$ 3,378,110,882

Other Information

The following is a summary of the inputs used, as of November 30, 2011, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the tables below, please refer to the Investment Valuation section at the end of this listing.

Valuation Inputs at Reporting Date:

Description

Total

Level 1

Level 2

Level 3

Investments in Securities:

Equities:

Consumer Discretionary

$ 2,734,614

$ 2,734,614

$ -

$ -

Financials

3,662,582

3,456,144

206,438

-

Telecommunication Services

863,100

-

-

863,100

Utilities

1,237,068

1,237,068

-

-

Corporate Bonds

3,357,412,030

-

3,357,056,323

355,707

U.S. Government and Government Agency Obligations

3,341,257,777

-

3,341,257,777

-

U.S. Government Agency - Mortgage Securities

2,255,537,027

-

2,255,537,027

-

Asset-Backed Securities

300,323,583

-

272,818,081

27,505,502

Collateralized Mortgage Obligations

166,030,001

-

163,352,029

2,677,972

Commercial Mortgage Securities

781,013,472

-

722,198,571

58,814,901

Municipal Securities

27,371,868

-

27,371,868

-

Foreign Government and Government Agency Obligations

262,317,263

-

261,276,663

1,040,600

Supranational Obligations

253,782

-

253,782

-

Floating Rate Loans

79,010,492

-

77,057,992

1,952,500

Sovereign Loan Participations

3,118,099

-

3,118,099

-

Bank Notes

2,496,241

-

2,496,241

-

Fixed-Income Funds

3,378,110,882

3,378,110,882

-

-

Preferred Securities

5,233,186

-

5,233,186

-

Cash Equivalents

635,909,000

-

635,909,000

-

Total Investments in Securities:

$ 14,603,892,067

$ 3,385,538,708

$ 11,125,143,077

$ 93,210,282

Derivative Instruments:

Assets

Swap Agreements

$ 1,839,600

$ -

$ 1,839,600

$ -

Liabilities

Swap Agreements

$ (11,704,363)

$ -

$ (11,671,799)

$ (32,564)

Total Derivative Instruments:

$ (9,864,763)

$ -

$ (9,832,199)

$ (32,564)

Other Financial Instruments:

TBA Sale Commitments

$ (580,849,998)

$ -

$ (580,849,998)

$ -

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

$ 93,393,811

Total Realized Gain (Loss)

471,058

Total Unrealized Gain (Loss)

(6,398,389)

Cost of Purchases

970,246

Proceeds of Sales

(3,850,545)

Amortization/Accretion

(65,603)

Transfers in to Level 3

16,025,210

Transfers out of Level 3

(7,335,506)

Ending Balance

$ 93,210,282

The change in unrealized gain (loss) for the period attributable to Level 3 securities held at November 30, 2011

$ (6,707,828)

Derivative Instruments:

Swap Agreements

Beginning Balance

$ (32,859)

Total Unrealized Gain (Loss)

295

Transfers in to Level 3

-

Transfers out of Level 3

-

Ending Balance

$ (32,564)

Realized gain (loss) on Swap Agreements for the period

$ 337

The change in unrealized gain (loss) for the period attributable to Level 3 Swap Agreements held at November 30, 2011

$ 295

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, 2011, the cost of investment securities for income tax purposes was $13,989,952,334. Net unrealized appreciation aggregated $613,939,733, of which $742,070,013 related to appreciated investment securities and $128,130,280 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, U.S. government and government agency obligations and sovereign loan participations, pricing services utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices and are generally categorized as Level 2 in the hierarchy.

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

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. 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. Short-term securities with remaining maturities of sixty days or less may be valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy.

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

Credit Default Swap Agreements

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

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

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

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

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

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

The notional amount of credit default swaps approximates the maximum potential amount of future payments that the Fund could be required to make if the Fund is the seller and a credit event were to occur. The total notional amount of all credit default swaps open at period end where the Fund is the seller amounted to $12,417,234 representing 0.09% of net assets.

Credit Risk

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

Quarterly Report

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

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

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

or an affiliate.

Quarterly Report

Quarterly Holdings Report

for

Fidelity ® Advisor Government
Income Fund
Class A
Class T
Class B
Class C
Institutional Class

November 30, 2011

Class A, Class T, Class B, Class C and
Institutional Class
are classes of
Fidelity Government Income Fund 

1.859105.104

AGVT-QTLY-0112

Investments November 30, 2011 (Unaudited)

Showing Percentage of Net Assets

U.S. Government and Government Agency Obligations - 65.1%

 

Principal Amount (000s)

Value (000s)

U.S. Government Agency Obligations - 8.3%

Fannie Mae Guaranteed Mortgage pass-thru certificates:

0.375% 12/28/12

$ 50,670

$ 50,778

0.5% 8/9/13

48,720

48,820

0.625% 10/30/14

3,404

3,393

0.75% 12/18/13

7,805

7,831

0.75% 12/19/14

923

921

1.125% 6/27/14

10,214

10,343

4.75% 11/19/12

2,000

2,087

Federal Home Loan Bank:

0.375% 11/27/13

38,800

38,736

0.875% 8/22/12

8,580

8,619

Freddie Mac:

0.75% 11/25/14

133,882

133,931

1% 8/27/14

15,111

15,249

Overseas Private Investment Corp. U.S. Government guaranteed participation certificates 6.77% 11/15/13

2,046

2,154

Private Export Funding Corp. secured:

4.974% 8/15/13

22,940

24,639

5.685% 5/15/12

24,035

24,641

Small Business Administration guaranteed development participation certificates:

Series 2002-20J Class 1, 4.75% 10/1/22

3,630

3,932

Series 2002-20K Class 1, 5.08% 11/1/22

7,244

7,904

Series 2003-P10B, Class 1 5.136% 8/10/13

2,090

2,190

Series 2004-20H Class 1, 5.17% 8/1/24

2,248

2,470

Tennessee Valley Authority:

3.875% 2/15/21

33,790

37,732

5.25% 9/15/39

12,000

15,060

5.375% 4/1/56

8,429

11,191

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS

452,621

U.S. Treasury Inflation Protected Obligations - 0.4%

U.S. Treasury Inflation-Indexed Bonds 2.125% 2/15/41

15,791

21,237

U.S. Treasury Obligations - 50.2%

U.S. Treasury Bonds:

3.125% 11/15/41

15,000

15,178

3.75% 8/15/41

42,345

48,167

4.375% 2/15/38

14,154

17,763

4.375% 5/15/41

130,287

164,345

U.S. Government and Government Agency Obligations - continued

 

Principal Amount (000s)

Value (000s)

U.S. Treasury Obligations - continued

U.S. Treasury Bonds: - continued

5% 5/15/37 (c)

$ 60,700

$ 83,074

5.25% 2/15/29

15,569

20,999

6.125% 11/15/27

77,365

112,506

6.125% 8/15/29

2,877

4,257

8% 11/15/21

14,605

22,530

9.875% 11/15/15

10,285

13,998

U.S. Treasury Notes:

0.125% 8/31/13

332,800

332,101

0.25% 9/15/14

71,417

71,171

0.375% 7/31/13

11,710

11,737

0.375% 11/15/14

30,000

29,981

0.5% 5/31/13

51,764

51,980

0.5% 8/15/14

83,265

83,558

0.5% 10/15/14

90,000

90,274

0.625% 7/15/14

86,384

86,991

0.75% 6/15/14

30,071

30,376

0.875% 11/30/16

156,337

155,641

1% 4/30/12

602

604

1% 9/30/16

148,969

149,528

1% 10/31/16

47,700

47,834

1.25% 10/31/15

29,580

30,246

1.375% 11/15/12

9,743

9,856

1.375% 11/30/15

470

483

1.375% 11/30/18

5,000

4,947

1.75% 7/31/15

28,800

30,008

1.75% 10/31/18

305,619

310,299

1.875% 8/31/17

47,000

48,792

1.875% 9/30/17

87,400

90,643

2% 11/15/21

27,000

26,806

2.125% 11/30/14

61,500

64,613

2.125% 5/31/15

18,669

19,690

2.125% 8/15/21

62,600

62,972

2.375% 8/31/14

20,000

21,086

2.375% 9/30/14

13,017

13,741

2.375% 10/31/14

77,497

81,923

2.5% 6/30/17

10,000

10,741

2.625% 7/31/14 (d)

16,179

17,146

2.75% 11/30/16

18,530

20,128

3.125% 1/31/17

60,773

67,211

3.125% 5/15/21

32,410

35,542

U.S. Government and Government Agency Obligations - continued

 

Principal Amount (000s)

Value (000s)

U.S. Treasury Obligations - continued

U.S. Treasury Notes: - continued

3.625% 8/15/19

$ 33,225

$ 37,952

4% 2/15/15

12,619

14,030

4.25% 11/15/17

27,475

32,283

4.5% 5/15/17

24,685

29,136

4.75% 8/15/17

12,983

15,571

TOTAL U.S. TREASURY OBLIGATIONS

2,740,438

Other Government Related - 6.2%

Bank of America Corp.:

2.1% 4/30/12 (FDIC Guaranteed) (a)

6,060

6,112

3.125% 6/15/12 (FDIC Guaranteed) (a)

3,719

3,780

Citibank NA:

1.875% 5/7/12 (FDIC Guaranteed) (a)

87,150

87,836

1.875% 6/4/12 (FDIC Guaranteed) (a)

33,000

33,305

Citigroup Funding, Inc.:

1.875% 10/22/12 (FDIC Guaranteed) (a)

40,500

41,138

1.875% 11/15/12 (FDIC Guaranteed) (a)

18,920

19,241

2% 3/30/12 (FDIC Guaranteed) (a)

16,000

16,099

2.125% 7/12/12 (FDIC Guaranteed) (a)

8,784

8,894

General Electric Capital Corp.:

2% 9/28/12 (FDIC Guaranteed) (a)

11,000

11,169

2.625% 12/28/12 (FDIC Guaranteed) (a)

16,154

16,587

3% 12/9/11 (FDIC Guaranteed) (a)

4,720

4,722

GMAC, Inc. 1.75% 10/30/12 (FDIC Guaranteed) (a)

51,106

51,888

Goldman Sachs Group, Inc. 3.25% 6/15/12 (FDIC Guaranteed) (a)

3,714

3,776

JPMorgan Chase & Co.:

2.2% 6/15/12 (FDIC Guaranteed) (a)

9,200

9,306

3.125% 12/1/11 (FDIC Guaranteed) (a)

790

790

U.S. Government and Government Agency Obligations - continued

 

Principal Amount (000s)

Value (000s)

Other Government Related - continued

National Credit Union Administration Guaranteed Notes:

Series 2010-A1 Class A, 0.5978% 12/7/20 (NCUA Guaranteed) (e)

$ 11,241

$ 11,272

Series 2011-R4 Class 1A, 0.6211% 3/6/20 (NCUA Guaranteed) (e)

11,270

11,273

TOTAL OTHER GOVERNMENT RELATED

337,188

TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $3,421,950)

3,551,484

U.S. Government Agency - Mortgage Securities - 5.2%

 

Fannie Mae Guaranteed Mortgage pass-thru certificates - 3.8%

1.888% 2/1/33 (e)

308

321

1.918% 12/1/34 (e)

330

342

1.929% 10/1/33 (e)

286

296

1.946% 7/1/35 (e)

138

144

1.952% 3/1/35 (e)

265

275

1.96% 10/1/33 (e)

143

148

2.05% 3/1/35 (e)

58

60

2.299% 11/1/33 (e)

813

854

2.301% 7/1/34 (e)

172

181

2.303% 6/1/36 (e)

228

240

2.442% 10/1/33 (e)

245

258

2.457% 3/1/35 (e)

178

187

2.48% 11/1/36 (e)

199

210

2.503% 7/1/35 (e)

551

583

2.508% 2/1/36 (e)

688

727

2.605% 5/1/36 (e)

434

456

3.462% 3/1/40 (e)

9,335

9,707

3.79% 6/1/40 (e)

5,787

6,041

4% 9/1/13 to 11/1/41

5,247

5,475

4% 12/1/41 (b)

131,000

136,462

4.5% 3/1/41 to 9/1/41

34,205

36,419

5% 2/1/16 to 12/1/25

358

380

5% 12/1/41 (b)

3,500

3,761

5.719% 3/1/36 (e)

2,194

2,316

5.954% 3/1/37 (e)

476

518

6.5% 2/1/17 to 5/1/27

1,587

1,756

U.S. Government Agency - Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Fannie Mae Guaranteed Mortgage pass-thru certificates - continued

7% 7/1/13

$ 1

$ 1

9% 5/1/14

117

121

9.5% 10/1/20

43

50

11.25% 5/1/14

1

1

11.5% 6/15/19 to 1/15/21

218

234

 

208,524

Freddie Mac - 0.3%

1.847% 3/1/35 (e)

1,051

1,083

2.037% 5/1/37 (e)

588

611

2.593% 6/1/35 (e)

768

814

2.65% 2/1/36 (e)

112

118

2.795% 7/1/36 (e)

769

813

2.798% 7/1/35 (e)

1,846

1,951

2.906% 3/1/33 (e)

56

60

3.171% 10/1/35 (e)

323

344

4.5% 5/1/39 to 10/1/41

9,843

10,414

5.138% 4/1/35 (e)

290

306

5.5% 12/1/27 to 7/1/29

478

518

9% 9/1/14

0*

0*

9.5% 5/1/17 to 8/1/21

96

108

9.75% 8/1/14

75

83

11% 5/1/14

22

23

12% 3/1/15

0*

0*

12.5% 2/1/14 to 6/1/15

2

2

13% 6/1/14 to 10/1/14

0*

0*

 

17,248

Ginnie Mae - 1.1%

5.492% 4/20/60 (i)

23,451

26,315

5.493% 11/20/59 (i)

27,619

30,558

 

56,873

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $278,305)

282,645

Collateralized Mortgage Obligations - 5.1%

 

U.S. Government Agency - 5.1%

Fannie Mae Guaranteed Mortgage pass-thru certificates:

planned amortization class:

Series 1993-240 Class PD, 6.25% 12/25/13

797

824

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

U.S. Government Agency - continued

Fannie Mae Guaranteed Mortgage pass-thru certificates: - continued

planned amortization class:

Series 2006-45 Class PO, 6/25/36 (h)

$ 4,108

$ 3,607

Series 2010-118 Class PB, 4.5% 10/25/40

7,053

7,606

sequential payer:

Series 2007-113 Class DB, 4.5% 12/25/22

12,440

13,746

Series 2009-14 Class EB, 4.5% 3/25/24

7,840

8,555

Series 2010-97 Class CX, 4.5% 9/25/25

10,813

12,008

Series 2007-113 Class JD, 4.5% 12/25/22

12,766

14,100

Series 2010-109 Class IM, 5.5% 9/25/40 (g)

20,906

3,607

Series 2010-97 Class CI, 4.5% 8/25/25 (g)

11,813

1,259

Fannie Mae subordinate REMIC pass-thru certificates:

floater:

Series 2001-38 Class QF, 1.2372% 8/25/31 (e)

320

324

Series 2002-49 Class FB, 0.8517% 11/18/31 (e)

398

399

Series 2002-60 Class FV, 1.2572% 4/25/32 (e)

169

172

Series 2002-75 Class FA, 1.2572% 11/25/32 (e)

346

352

planned amortization class Series 2003-113 Class PE, 4% 11/25/18

7,545

8,116

sequential payer:

Series 2004-91 Class Z, 5% 12/25/34

9,359

10,492

Series 2005-117, Class JN, 4.5% 1/25/36

645

702

Series 2005-47 Class HK, 4.5% 6/25/20

7,798

8,490

Series 2006-72 Class CY, 6% 8/25/26

10,215

11,602

Series 2009-85 Class IB, 4.5% 8/25/24 (g)

3,211

287

Series 2009-93 Class IC, 4.5% 9/25/24 (g)

5,849

499

Series 2010-139 Class NI, 4.5% 2/25/40 (g)

11,814

1,817

Freddie Mac planned amortization class Series 2115 Class PE, 6% 1/15/14

153

158

Freddie Mac Multi-class participation certificates guaranteed:

floater:

Series 2530 Class FE, 0.8479% 2/15/32 (e)

232

234

Series 2630 Class FL, 0.7479% 6/15/18 (e)

384

387

Series 3008 Class SM, 0% 7/15/35 (e)

111

108

planned amortization class:

Series 1141 Class G, 9% 9/15/21

179

203

Series 2356 Class GD, 6% 9/15/16

174

187

Series 2376 Class JE, 5.5% 11/15/16

1,219

1,305

Series 2381 Class OG, 5.5% 11/15/16

783

834

Series 2640 Class GE, 4.5% 7/15/18

7,310

7,809

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

U.S. Government Agency - continued

Freddie Mac Multi-class participation certificates guaranteed: - continued

planned amortization class:

Series 2672 Class MG, 5% 9/15/23

$ 7,120

$ 7,995

Series 2682 Class LD, 4.5% 10/15/33

777

851

Series 2810 Class PD, 6% 6/15/33

593

620

sequential payer:

Series 2570 Class CU, 4.5% 7/15/17

215

218

Series 2587 Class AD, 4.71% 3/15/33

5,785

6,583

Series 2773 Class HC, 4.5% 4/15/19

704

776

Series 2877 Class ZD, 5% 10/15/34

12,146

13,606

Series 2987 Class HE, 4.5% 6/15/20

11,260

12,078

Series 3007 Class EW, 5.5% 7/15/25

8,875

10,138

Series 3277 Class B, 4% 2/15/22

5,900

6,394

Series 3578, Class B, 4.5% 9/15/24

7,927

8,704

Series 2863 Class DB, 4% 9/15/14

264

265

Ginnie Mae guaranteed REMIC pass-thru certificates:

planned amortization Series 2011-61 Class OP, 5/20/40 (h)

10,800

9,099

sequential payer Series 2011-69 Class GX, 4.5% 5/16/40

10,205

10,997

Series 2010-42 Class PO, 4/20/40 (h)

24,454

19,574

Series 2011-71:

Class ZB, 5.5% 8/20/34

20,466

24,277

Class ZC, 5.5% 7/16/34

23,333

27,541

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $268,308)

279,505

Foreign Government and Government Agency Obligations - 1.4%

 

Israeli State (guaranteed by U.S. Government through Agency for International Development):

5.5% 9/18/23

59,862

75,235

6.8% 2/15/12

4,203

4,232

TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $65,238)

79,467

Fixed-Income Funds - 24.6%

Shares

Value (000s)

Fidelity Mortgage Backed Securities Central Fund (f)
(Cost $1,287,118)

12,440,951

$ 1,340,264

Cash Equivalents - 2.4%

Maturity Amount (000s)

 

Investments in repurchase agreements in a joint trading account at 0.14%, dated 11/30/11 due 12/1/11 (Collateralized by U.S. Government Obligations) #
(Cost $130,106)

$ 130,107


130,106

TOTAL INVESTMENT PORTFOLIO - 103.8%

(Cost $5,451,025)

5,663,471

NET OTHER ASSETS (LIABILITIES) - (3.8)%

(209,119)

NET ASSETS - 100%

$ 5,454,352

TBA Sale Commitments

 

Principal Amount (000s)

 

Fannie Mae Guaranteed Mortgage pass-thru certificates

4% 12/1/41

$ (4,500)

(4,688)

4.5% 12/1/41

(28,100)

(29,706)

TOTAL TBA SALE COMMITMENTS

(Proceeds $34,348)

$ (34,394)

Futures Contracts

Expiration
Date

Underlying
Face Amount
at Value (000s)

Unrealized
Appreciation/
(Depreciation)
(000s)

Purchased

Treasury Contracts

505 CBOT 2 Year U.S. Treasury Notes Contracts

March 2012

$ 111,353

$ 70

 

The face value of futures purchased as a percentage of net assets is 2%

Swap Agreements

 

Expiration Date

Notional Amount (000s)

Value (000s)

Interest Rate Swaps

Receive quarterly a floating rate based on 3-month LIBOR and pay semi-annually a fixed rate equal to 3.23% with Credit Suisse First Boston

May 2020

$ 50,000

$ (4,755)

Legend

(a) 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 $314,643,000 or 5.8% of net assets.

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

(c) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the period end, the value of securities pledged amounted to $287,000.

(d) 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 $5,553,000.

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

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

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

(h) Principal Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans.

(i) Represents an investment in an underlying pool of reverse mortgages which typically do not require regular principal and interest payments as repayment is deferred until a maturity event.

* Amount represents less than $1,000.

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

Repurchase Agreement / Counterparty

Value
(Amounts in thousands)

$130,106,000 due 12/01/11 at 0.14%

Commerz Markets LLC

$ 11,456

ING Financial Markets LLC

38,950

Mizuho Securities USA, Inc.

78,121

RBC Capital Markets Corp.

1,579

 

$ 130,106

Affiliated Central Funds

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

Fund

Income earned
(Amounts in thousands)

Fidelity Mortgage Backed Securities Central Fund

$ 10,638

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

Fund
(Amounts in thousands)

Value,
beginning of
period

Purchases

Sales
Proceeds

Value,
end of
period

% ownership,
end of
period

Fidelity Mortgage Backed Securities Central Fund

$ 1,334,455

$ 10,638

$ -

$ 1,340,264

10.4%

Other Information

The following is a summary of the inputs used, as of November 30, 2011, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section at the end of this listing.

Valuation Inputs at Reporting Date:

Description
(Amounts in thousands)

Total

Level 1

Level 2

Level 3

Investments in Securities:

U.S. Government and Government Agency Obligations

$ 3,551,484

$ -

$ 3,551,484

$ -

U.S. Government Agency - Mortgage Securities

282,645

-

282,645

-

Collateralized Mortgage Obligations

279,505

-

279,505

-

Foreign Government and Government Agency Obligations

79,467

-

79,467

-

Fixed-Income Funds

1,340,264

1,340,264

-

-

Cash Equivalents

130,106

-

130,106

-

Total Investments in Securities:

$ 5,663,471

$ 1,340,264

$ 4,323,207

$ -

Derivative Instruments:

Assets

Futures Contracts

$ 70

$ 70

$ -

$ -

Liabilities

Swap Agreements

$ (4,755)

$ -

$ (4,755)

$ -

Total Derivative Instruments:

$ (4,686)

$ 70

$ (4,755)

$ -

Other Financial Instruments:

TBA Sale Commitments

$ (34,394)

$ -

$ (34,394)

$ -

Income Tax Information

At November 30, 2011, the cost of investment securities for income tax purposes was $5,451,823,000. Net unrealized appreciation aggregated $211,648,000, of which $216,114,000 related to appreciated investment securities and $4,466,000 related to depreciated investment securities.

Investment Valuation

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

Debt securities, including restricted securities, are valued based on evaluated prices received from independent pricing services or from dealers who make markets in such securities. For foreign government and government agency 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 collateralized mortgage obligations and U.S. government agency mortgage securities, pricing services utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices and, accordingly, such securities are generally categorized as Level 2 in the hierarchy. Swaps are marked-to-market daily based on valuations from independent pricing services or dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Pricing services utilize matrix pricing which considers comparisons to interest rate curves, credit spread curves, default possibilities and recovery rates and, as a result, swaps are generally categorized as Level 2 in the hierarchy. When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing matrices which consider similar factors that would be used by independent pricing services. These are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day and are categorized as Level 1 in the hierarchy. Short-term securities with remaining maturities of sixty days or less may be valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy.

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

Quarterly Report

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

November 30, 2011 

1.809070.107

GOV-QTLY-0112

Investments November 30, 2011 (Unaudited)

Showing Percentage of Net Assets

U.S. Government and Government Agency Obligations - 65.1%

 

Principal Amount (000s)

Value (000s)

U.S. Government Agency Obligations - 8.3%

Fannie Mae Guaranteed Mortgage pass-thru certificates:

0.375% 12/28/12

$ 50,670

$ 50,778

0.5% 8/9/13

48,720

48,820

0.625% 10/30/14

3,404

3,393

0.75% 12/18/13

7,805

7,831

0.75% 12/19/14

923

921

1.125% 6/27/14

10,214

10,343

4.75% 11/19/12

2,000

2,087

Federal Home Loan Bank:

0.375% 11/27/13

38,800

38,736

0.875% 8/22/12

8,580

8,619

Freddie Mac:

0.75% 11/25/14

133,882

133,931

1% 8/27/14

15,111

15,249

Overseas Private Investment Corp. U.S. Government guaranteed participation certificates 6.77% 11/15/13

2,046

2,154

Private Export Funding Corp. secured:

4.974% 8/15/13

22,940

24,639

5.685% 5/15/12

24,035

24,641

Small Business Administration guaranteed development participation certificates:

Series 2002-20J Class 1, 4.75% 10/1/22

3,630

3,932

Series 2002-20K Class 1, 5.08% 11/1/22

7,244

7,904

Series 2003-P10B, Class 1 5.136% 8/10/13

2,090

2,190

Series 2004-20H Class 1, 5.17% 8/1/24

2,248

2,470

Tennessee Valley Authority:

3.875% 2/15/21

33,790

37,732

5.25% 9/15/39

12,000

15,060

5.375% 4/1/56

8,429

11,191

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS

452,621

U.S. Treasury Inflation Protected Obligations - 0.4%

U.S. Treasury Inflation-Indexed Bonds 2.125% 2/15/41

15,791

21,237

U.S. Treasury Obligations - 50.2%

U.S. Treasury Bonds:

3.125% 11/15/41

15,000

15,178

3.75% 8/15/41

42,345

48,167

4.375% 2/15/38

14,154

17,763

4.375% 5/15/41

130,287

164,345

U.S. Government and Government Agency Obligations - continued

 

Principal Amount (000s)

Value (000s)

U.S. Treasury Obligations - continued

U.S. Treasury Bonds: - continued

5% 5/15/37 (c)

$ 60,700

$ 83,074

5.25% 2/15/29

15,569

20,999

6.125% 11/15/27

77,365

112,506

6.125% 8/15/29

2,877

4,257

8% 11/15/21

14,605

22,530

9.875% 11/15/15

10,285

13,998

U.S. Treasury Notes:

0.125% 8/31/13

332,800

332,101

0.25% 9/15/14

71,417

71,171

0.375% 7/31/13

11,710

11,737

0.375% 11/15/14

30,000

29,981

0.5% 5/31/13

51,764

51,980

0.5% 8/15/14

83,265

83,558

0.5% 10/15/14

90,000

90,274

0.625% 7/15/14

86,384

86,991

0.75% 6/15/14

30,071

30,376

0.875% 11/30/16

156,337

155,641

1% 4/30/12

602

604

1% 9/30/16

148,969

149,528

1% 10/31/16

47,700

47,834

1.25% 10/31/15

29,580

30,246

1.375% 11/15/12

9,743

9,856

1.375% 11/30/15

470

483

1.375% 11/30/18

5,000

4,947

1.75% 7/31/15

28,800

30,008

1.75% 10/31/18

305,619

310,299

1.875% 8/31/17

47,000

48,792

1.875% 9/30/17

87,400

90,643

2% 11/15/21

27,000

26,806

2.125% 11/30/14

61,500

64,613

2.125% 5/31/15

18,669

19,690

2.125% 8/15/21

62,600

62,972

2.375% 8/31/14

20,000

21,086

2.375% 9/30/14

13,017

13,741

2.375% 10/31/14

77,497

81,923

2.5% 6/30/17

10,000

10,741

2.625% 7/31/14 (d)

16,179

17,146

2.75% 11/30/16

18,530

20,128

3.125% 1/31/17

60,773

67,211

3.125% 5/15/21

32,410

35,542

U.S. Government and Government Agency Obligations - continued

 

Principal Amount (000s)

Value (000s)

U.S. Treasury Obligations - continued

U.S. Treasury Notes: - continued

3.625% 8/15/19

$ 33,225

$ 37,952

4% 2/15/15

12,619

14,030

4.25% 11/15/17

27,475

32,283

4.5% 5/15/17

24,685

29,136

4.75% 8/15/17

12,983

15,571

TOTAL U.S. TREASURY OBLIGATIONS

2,740,438

Other Government Related - 6.2%

Bank of America Corp.:

2.1% 4/30/12 (FDIC Guaranteed) (a)

6,060

6,112

3.125% 6/15/12 (FDIC Guaranteed) (a)

3,719

3,780

Citibank NA:

1.875% 5/7/12 (FDIC Guaranteed) (a)

87,150

87,836

1.875% 6/4/12 (FDIC Guaranteed) (a)

33,000

33,305

Citigroup Funding, Inc.:

1.875% 10/22/12 (FDIC Guaranteed) (a)

40,500

41,138

1.875% 11/15/12 (FDIC Guaranteed) (a)

18,920

19,241

2% 3/30/12 (FDIC Guaranteed) (a)

16,000

16,099

2.125% 7/12/12 (FDIC Guaranteed) (a)

8,784

8,894

General Electric Capital Corp.:

2% 9/28/12 (FDIC Guaranteed) (a)

11,000

11,169

2.625% 12/28/12 (FDIC Guaranteed) (a)

16,154

16,587

3% 12/9/11 (FDIC Guaranteed) (a)

4,720

4,722

GMAC, Inc. 1.75% 10/30/12 (FDIC Guaranteed) (a)

51,106

51,888

Goldman Sachs Group, Inc. 3.25% 6/15/12 (FDIC Guaranteed) (a)

3,714

3,776

JPMorgan Chase & Co.:

2.2% 6/15/12 (FDIC Guaranteed) (a)

9,200

9,306

3.125% 12/1/11 (FDIC Guaranteed) (a)

790

790

U.S. Government and Government Agency Obligations - continued

 

Principal Amount (000s)

Value (000s)

Other Government Related - continued

National Credit Union Administration Guaranteed Notes:

Series 2010-A1 Class A, 0.5978% 12/7/20 (NCUA Guaranteed) (e)

$ 11,241

$ 11,272

Series 2011-R4 Class 1A, 0.6211% 3/6/20 (NCUA Guaranteed) (e)

11,270

11,273

TOTAL OTHER GOVERNMENT RELATED

337,188

TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $3,421,950)

3,551,484

U.S. Government Agency - Mortgage Securities - 5.2%

 

Fannie Mae Guaranteed Mortgage pass-thru certificates - 3.8%

1.888% 2/1/33 (e)

308

321

1.918% 12/1/34 (e)

330

342

1.929% 10/1/33 (e)

286

296

1.946% 7/1/35 (e)

138

144

1.952% 3/1/35 (e)

265

275

1.96% 10/1/33 (e)

143

148

2.05% 3/1/35 (e)

58

60

2.299% 11/1/33 (e)

813

854

2.301% 7/1/34 (e)

172

181

2.303% 6/1/36 (e)

228

240

2.442% 10/1/33 (e)

245

258

2.457% 3/1/35 (e)

178

187

2.48% 11/1/36 (e)

199

210

2.503% 7/1/35 (e)

551

583

2.508% 2/1/36 (e)

688

727

2.605% 5/1/36 (e)

434

456

3.462% 3/1/40 (e)

9,335

9,707

3.79% 6/1/40 (e)

5,787

6,041

4% 9/1/13 to 11/1/41

5,247

5,475

4% 12/1/41 (b)

131,000

136,462

4.5% 3/1/41 to 9/1/41

34,205

36,419

5% 2/1/16 to 12/1/25

358

380

5% 12/1/41 (b)

3,500

3,761

5.719% 3/1/36 (e)

2,194

2,316

5.954% 3/1/37 (e)

476

518

6.5% 2/1/17 to 5/1/27

1,587

1,756

U.S. Government Agency - Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Fannie Mae Guaranteed Mortgage pass-thru certificates - continued

7% 7/1/13

$ 1

$ 1

9% 5/1/14

117

121

9.5% 10/1/20

43

50

11.25% 5/1/14

1

1

11.5% 6/15/19 to 1/15/21

218

234

 

208,524

Freddie Mac - 0.3%

1.847% 3/1/35 (e)

1,051

1,083

2.037% 5/1/37 (e)

588

611

2.593% 6/1/35 (e)

768

814

2.65% 2/1/36 (e)

112

118

2.795% 7/1/36 (e)

769

813

2.798% 7/1/35 (e)

1,846

1,951

2.906% 3/1/33 (e)

56

60

3.171% 10/1/35 (e)

323

344

4.5% 5/1/39 to 10/1/41

9,843

10,414

5.138% 4/1/35 (e)

290

306

5.5% 12/1/27 to 7/1/29

478

518

9% 9/1/14

0*

0*

9.5% 5/1/17 to 8/1/21

96

108

9.75% 8/1/14

75

83

11% 5/1/14

22

23

12% 3/1/15

0*

0*

12.5% 2/1/14 to 6/1/15

2

2

13% 6/1/14 to 10/1/14

0*

0*

 

17,248

Ginnie Mae - 1.1%

5.492% 4/20/60 (i)

23,451

26,315

5.493% 11/20/59 (i)

27,619

30,558

 

56,873

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $278,305)

282,645

Collateralized Mortgage Obligations - 5.1%

 

U.S. Government Agency - 5.1%

Fannie Mae Guaranteed Mortgage pass-thru certificates:

planned amortization class:

Series 1993-240 Class PD, 6.25% 12/25/13

797

824

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

U.S. Government Agency - continued

Fannie Mae Guaranteed Mortgage pass-thru certificates: - continued

planned amortization class:

Series 2006-45 Class PO, 6/25/36 (h)

$ 4,108

$ 3,607

Series 2010-118 Class PB, 4.5% 10/25/40

7,053

7,606

sequential payer:

Series 2007-113 Class DB, 4.5% 12/25/22

12,440

13,746

Series 2009-14 Class EB, 4.5% 3/25/24

7,840

8,555

Series 2010-97 Class CX, 4.5% 9/25/25

10,813

12,008

Series 2007-113 Class JD, 4.5% 12/25/22

12,766

14,100

Series 2010-109 Class IM, 5.5% 9/25/40 (g)

20,906

3,607

Series 2010-97 Class CI, 4.5% 8/25/25 (g)

11,813

1,259

Fannie Mae subordinate REMIC pass-thru certificates:

floater:

Series 2001-38 Class QF, 1.2372% 8/25/31 (e)

320

324

Series 2002-49 Class FB, 0.8517% 11/18/31 (e)

398

399

Series 2002-60 Class FV, 1.2572% 4/25/32 (e)

169

172

Series 2002-75 Class FA, 1.2572% 11/25/32 (e)

346

352

planned amortization class Series 2003-113 Class PE, 4% 11/25/18

7,545

8,116

sequential payer:

Series 2004-91 Class Z, 5% 12/25/34

9,359

10,492

Series 2005-117, Class JN, 4.5% 1/25/36

645

702

Series 2005-47 Class HK, 4.5% 6/25/20

7,798

8,490

Series 2006-72 Class CY, 6% 8/25/26

10,215

11,602

Series 2009-85 Class IB, 4.5% 8/25/24 (g)

3,211

287

Series 2009-93 Class IC, 4.5% 9/25/24 (g)

5,849

499

Series 2010-139 Class NI, 4.5% 2/25/40 (g)

11,814

1,817

Freddie Mac planned amortization class Series 2115 Class PE, 6% 1/15/14

153

158

Freddie Mac Multi-class participation certificates guaranteed:

floater:

Series 2530 Class FE, 0.8479% 2/15/32 (e)

232

234

Series 2630 Class FL, 0.7479% 6/15/18 (e)

384

387

Series 3008 Class SM, 0% 7/15/35 (e)

111

108

planned amortization class:

Series 1141 Class G, 9% 9/15/21

179

203

Series 2356 Class GD, 6% 9/15/16

174

187

Series 2376 Class JE, 5.5% 11/15/16

1,219

1,305

Series 2381 Class OG, 5.5% 11/15/16

783

834

Series 2640 Class GE, 4.5% 7/15/18

7,310

7,809

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

U.S. Government Agency - continued

Freddie Mac Multi-class participation certificates guaranteed: - continued

planned amortization class:

Series 2672 Class MG, 5% 9/15/23

$ 7,120

$ 7,995

Series 2682 Class LD, 4.5% 10/15/33

777

851

Series 2810 Class PD, 6% 6/15/33

593

620

sequential payer:

Series 2570 Class CU, 4.5% 7/15/17

215

218

Series 2587 Class AD, 4.71% 3/15/33

5,785

6,583

Series 2773 Class HC, 4.5% 4/15/19

704

776

Series 2877 Class ZD, 5% 10/15/34

12,146

13,606

Series 2987 Class HE, 4.5% 6/15/20

11,260

12,078

Series 3007 Class EW, 5.5% 7/15/25

8,875

10,138

Series 3277 Class B, 4% 2/15/22

5,900

6,394

Series 3578, Class B, 4.5% 9/15/24

7,927

8,704

Series 2863 Class DB, 4% 9/15/14

264

265

Ginnie Mae guaranteed REMIC pass-thru certificates:

planned amortization Series 2011-61 Class OP, 5/20/40 (h)

10,800

9,099

sequential payer Series 2011-69 Class GX, 4.5% 5/16/40

10,205

10,997

Series 2010-42 Class PO, 4/20/40 (h)

24,454

19,574

Series 2011-71:

Class ZB, 5.5% 8/20/34

20,466

24,277

Class ZC, 5.5% 7/16/34

23,333

27,541

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $268,308)

279,505

Foreign Government and Government Agency Obligations - 1.4%

 

Israeli State (guaranteed by U.S. Government through Agency for International Development):

5.5% 9/18/23

59,862

75,235

6.8% 2/15/12

4,203

4,232

TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $65,238)

79,467

Fixed-Income Funds - 24.6%

Shares

Value (000s)

Fidelity Mortgage Backed Securities Central Fund (f)
(Cost $1,287,118)

12,440,951

$ 1,340,264

Cash Equivalents - 2.4%

Maturity Amount (000s)

 

Investments in repurchase agreements in a joint trading account at 0.14%, dated 11/30/11 due 12/1/11 (Collateralized by U.S. Government Obligations) #
(Cost $130,106)

$ 130,107


130,106

TOTAL INVESTMENT PORTFOLIO - 103.8%

(Cost $5,451,025)

5,663,471

NET OTHER ASSETS (LIABILITIES) - (3.8)%

(209,119)

NET ASSETS - 100%

$ 5,454,352

TBA Sale Commitments

 

Principal Amount (000s)

 

Fannie Mae Guaranteed Mortgage pass-thru certificates

4% 12/1/41

$ (4,500)

(4,688)

4.5% 12/1/41

(28,100)

(29,706)

TOTAL TBA SALE COMMITMENTS

(Proceeds $34,348)

$ (34,394)

Futures Contracts

Expiration
Date

Underlying
Face Amount
at Value (000s)

Unrealized
Appreciation/
(Depreciation)
(000s)

Purchased

Treasury Contracts

505 CBOT 2 Year U.S. Treasury Notes Contracts

March 2012

$ 111,353

$ 70

 

The face value of futures purchased as a percentage of net assets is 2%

Swap Agreements

 

Expiration Date

Notional Amount (000s)

Value (000s)

Interest Rate Swaps

Receive quarterly a floating rate based on 3-month LIBOR and pay semi-annually a fixed rate equal to 3.23% with Credit Suisse First Boston

May 2020

$ 50,000

$ (4,755)

Legend

(a) 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 $314,643,000 or 5.8% of net assets.

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

(c) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the period end, the value of securities pledged amounted to $287,000.

(d) 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 $5,553,000.

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

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

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

(h) Principal Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans.

(i) Represents an investment in an underlying pool of reverse mortgages which typically do not require regular principal and interest payments as repayment is deferred until a maturity event.

* Amount represents less than $1,000.

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

Repurchase Agreement / Counterparty

Value
(Amounts in thousands)

$130,106,000 due 12/01/11 at 0.14%

Commerz Markets LLC

$ 11,456

ING Financial Markets LLC

38,950

Mizuho Securities USA, Inc.

78,121

RBC Capital Markets Corp.

1,579

 

$ 130,106

Affiliated Central Funds

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

Fund

Income earned
(Amounts in thousands)

Fidelity Mortgage Backed Securities Central Fund

$ 10,638

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

Fund
(Amounts in thousands)

Value,
beginning of
period

Purchases

Sales
Proceeds

Value,
end of
period

% ownership,
end of
period

Fidelity Mortgage Backed Securities Central Fund

$ 1,334,455

$ 10,638

$ -

$ 1,340,264

10.4%

Other Information

The following is a summary of the inputs used, as of November 30, 2011, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section at the end of this listing.

Valuation Inputs at Reporting Date:

Description
(Amounts in thousands)

Total

Level 1

Level 2

Level 3

Investments in Securities:

U.S. Government and Government Agency Obligations

$ 3,551,484

$ -

$ 3,551,484

$ -

U.S. Government Agency - Mortgage Securities

282,645

-

282,645

-

Collateralized Mortgage Obligations

279,505

-

279,505

-

Foreign Government and Government Agency Obligations

79,467

-

79,467

-

Fixed-Income Funds

1,340,264

1,340,264

-

-

Cash Equivalents

130,106

-

130,106

-

Total Investments in Securities:

$ 5,663,471

$ 1,340,264

$ 4,323,207

$ -

Derivative Instruments:

Assets

Futures Contracts

$ 70

$ 70

$ -

$ -

Liabilities

Swap Agreements

$ (4,755)

$ -

$ (4,755)

$ -

Total Derivative Instruments:

$ (4,686)

$ 70

$ (4,755)

$ -

Other Financial Instruments:

TBA Sale Commitments

$ (34,394)

$ -

$ (34,394)

$ -

Income Tax Information

At November 30, 2011, the cost of investment securities for income tax purposes was $5,451,823,000. Net unrealized appreciation aggregated $211,648,000, of which $216,114,000 related to appreciated investment securities and $4,466,000 related to depreciated investment securities.

Investment Valuation

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

Debt securities, including restricted securities, are valued based on evaluated prices received from independent pricing services or from dealers who make markets in such securities. For foreign government and government agency 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 collateralized mortgage obligations and U.S. government agency mortgage securities, pricing services utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices and, accordingly, such securities are generally categorized as Level 2 in the hierarchy. Swaps are marked-to-market daily based on valuations from independent pricing services or dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Pricing services utilize matrix pricing which considers comparisons to interest rate curves, credit spread curves, default possibilities and recovery rates and, as a result, swaps are generally categorized as Level 2 in the hierarchy. When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing matrices which consider similar factors that would be used by independent pricing services. These are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day and are categorized as Level 1 in the hierarchy. Short-term securities with remaining maturities of sixty days or less may be valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy.

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

Quarterly Report

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

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

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

or an affiliate.

Quarterly Report

Quarterly Holdings Report

for

Fidelity ® Intermediate Government
Income Fund

November 30, 2011 

1.809098.107

SLM-QTLY-0112

Investments November 30, 2011 (Unaudited)

Showing Percentage of Net Assets

U.S. Government and Government Agency Obligations - 80.4%

 

Principal Amount (000s)

Value (000s)

U.S. Government Agency Obligations - 7.4%

Fannie Mae Guaranteed Mortgage pass-thru certificates:

0.375% 12/28/12

$ 8,610

$ 8,628

0.5% 8/9/13

9,393

9,412

0.625% 10/30/14

1,963

1,957

0.75% 12/19/14

531

530

1.125% 6/27/14

1,238

1,254

Federal Home Loan Bank:

0.375% 11/27/13

4,770

4,762

0.875% 8/22/12

2,100

2,110

0.875% 12/27/13

465

469

Freddie Mac:

0.375% 11/30/12

2,964

2,970

0.75% 11/25/14

30,048

30,059

1% 7/30/14

4,281

4,311

1% 8/27/14

3,738

3,772

Private Export Funding Corp. secured:

4.974% 8/15/13

3,435

3,689

5.685% 5/15/12

3,915

4,014

Small Business Administration guaranteed development participation certificates Series 2004-20H Class 1, 5.17% 8/1/24

434

477

Tennessee Valley Authority 3.875% 2/15/21

7,910

8,833

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS

87,247

U.S. Treasury Obligations - 63.3%

U.S. Treasury Bonds 8.75% 5/15/17

14,750

20,769

U.S. Treasury Notes:

0.125% 8/31/13

18,600

18,561

0.25% 11/30/13

10,000

9,998

0.25% 9/15/14

20,565

20,494

0.375% 6/30/13

34,264

34,343

0.375% 11/15/14

15,000

14,991

0.5% 5/31/13

14,409

14,469

0.5% 8/15/14

31,309

31,419

0.5% 10/15/14

15,000

15,046

0.625% 7/15/14

95,597

96,270

0.75% 6/15/14

12,024

12,146

0.875% 11/30/16

26,277

26,160

1% 9/30/16

30,983

31,099

1.375% 11/30/15

941

967

U.S. Government and Government Agency Obligations - continued

 

Principal Amount (000s)

Value (000s)

U.S. Treasury Obligations - continued

U.S. Treasury Notes: - continued

1.75% 7/31/15

$ 2,000

$ 2,084

1.75% 10/31/18

77,978

79,172

1.875% 6/30/15

35,554

37,193

2% 11/15/21

5,000

4,964

2.125% 5/31/15

1,574

1,660

2.125% 8/15/21

26,090

26,245

2.375% 8/31/14

9,290

9,794

2.375% 9/30/14

4,572

4,826

2.375% 10/31/14

16,136

17,058

2.375% 7/31/17

12,000

12,796

2.5% 3/31/15

7,000

7,464

2.5% 6/30/17

1,800

1,933

3% 9/30/16

6,641

7,294

3% 2/28/17

26,424

29,058

3.125% 10/31/16

31,540

34,830

3.125% 1/31/17

27,081

29,950

3.125% 5/15/19

26,941

29,814

3.375% 6/30/13

1,138

1,195

3.625% 8/15/19

9,790

11,183

3.625% 2/15/20

11,372

13,003

4.25% 11/15/17

6,260

7,356

4.5% 5/15/17 (b)

1,369

1,616

4.625% 2/15/17

14,625

17,299

4.75% 8/15/17

12,139

14,559

TOTAL U.S. TREASURY OBLIGATIONS

749,078

Other Government Related - 9.7%

Bank of America Corp.:

2.1% 4/30/12 (FDIC Guaranteed) (a)

1,493

1,506

3.125% 6/15/12 (FDIC Guaranteed) (a)

305

310

Citigroup Funding, Inc.:

1.875% 10/22/12 (FDIC Guaranteed) (a)

20,600

20,924

1.875% 11/15/12 (FDIC Guaranteed) (a)

3,800

3,864

2% 3/30/12 (FDIC Guaranteed) (a)

10,000

10,062

2.125% 7/12/12 (FDIC Guaranteed) (a)

2,384

2,414

General Electric Capital Corp.:

2% 9/28/12 (FDIC Guaranteed) (a)

13,000

13,200

2.625% 12/28/12 (FDIC Guaranteed) (a)

4,364

4,481

3% 12/9/11 (FDIC Guaranteed) (a)

1,030

1,030

GMAC, Inc. 1.75% 10/30/12 (FDIC Guaranteed) (a)

15,000

15,229

U.S. Government and Government Agency Obligations - continued

 

Principal Amount (000s)

Value (000s)

Other Government Related - continued

Goldman Sachs Group, Inc. 3.25% 6/15/12 (FDIC Guaranteed) (a)

$ 306

$ 311

JPMorgan Chase & Co.:

2.2% 6/15/12 (FDIC Guaranteed) (a)

2,260

2,286

3.125% 12/1/11 (FDIC Guaranteed) (a)

170

170

National Credit Union Administration Guaranteed Notes:

Series 2010-A1 Class A, 0.5978% 12/7/20 (NCUA Guaranteed) (c)

2,650

2,658

Series 2011-R1 Class 1A, 0.6953% 1/8/20 (NCUA Guaranteed) (c)

3,970

3,973

Series 2011-R4 Class 1A, 0.6211% 3/6/20 (NCUA Guaranteed) (c)

2,439

2,440

National Credit Union Administration Guaranteed Notes Master Trust:

1.4% 6/12/15 (NCUA Guaranteed)

1,690

1,708

2.35% 6/12/17 (NCUA Guaranteed)

14,740

15,213

3.45% 6/12/21 (NCUA Guaranteed)

12,000

12,874

TOTAL OTHER GOVERNMENT RELATED

114,653

TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $920,933)

950,978

U.S. Government Agency - Mortgage Securities - 4.0%

 

Fannie Mae Guaranteed Mortgage pass-thru certificates - 1.1%

1.888% 2/1/33 (c)

34

35

1.918% 12/1/34 (c)

32

34

1.946% 7/1/35 (c)

16

17

1.952% 3/1/35 (c)

33

34

1.96% 10/1/33 (c)

17

17

2.05% 3/1/35 (c)

7

7

2.123% 10/1/35 (c)

46

48

2.299% 11/1/33 (c)

86

90

2.301% 7/1/34 (c)

20

21

2.303% 6/1/36 (c)

22

23

2.326% 7/1/36 (c)

137

142

2.338% 1/1/35 (c)

155

163

2.393% 9/1/36 (c)

75

78

2.426% 3/1/33 (c)

87

92

U.S. Government Agency - Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Fannie Mae Guaranteed Mortgage pass-thru certificates - continued

2.442% 10/1/33 (c)

$ 31

$ 32

2.457% 3/1/35 (c)

21

22

2.48% 11/1/36 (c)

200

212

2.503% 7/1/35 (c)

42

45

2.508% 2/1/36 (c)

65

69

2.513% 2/1/37 (c)

336

355

2.527% 6/1/47 (c)

89

95

2.605% 5/1/36 (c)

42

45

2.632% 4/1/36 (c)

266

280

2.929% 8/1/35 (c)

441

470

3.462% 3/1/40 (c)

2,162

2,249

3.79% 6/1/40 (c)

1,340

1,399

4% 9/1/13

76

80

5% 2/1/16 to 4/1/22

158

169

5.5% 10/1/20 to 4/1/21

3,985

4,314

5.954% 3/1/37 (c)

45

49

6% 6/1/16 to 3/1/34

1,481

1,651

6.5% 6/1/16 to 5/1/27

776

852

7% 3/1/12 to 9/1/14

30

31

10.25% 10/1/18

3

3

11% 9/1/15 to 1/1/16

9

10

11.25% 5/1/14 to 1/1/16

17

19

11.5% 1/1/13 to 6/15/19

22

24

12.25% 8/1/13

0*

0*

12.5% 1/1/13 to 7/1/16

47

52

13% 10/1/14

16

18

13.5% 11/1/14

0*

0*

 

13,346

Freddie Mac - 1.6%

1.847% 3/1/35 (c)

103

106

2.037% 5/1/37 (c)

57

60

2.053% 7/1/35 (c)

814

852

2.075% 3/1/37 (c)

22

23

2.283% 6/1/33 (c)

188

195

2.35% 7/1/35 (c)

206

218

2.399% 10/1/35 (c)

185

192

2.418% 11/1/35 (c)

177

187

2.438% 6/1/37 (c)

143

149

2.456% 5/1/37 (c)

351

370

2.467% 5/1/37 (c)

611

651

2.473% 12/1/33 (c)

409

427

U.S. Government Agency - Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Freddie Mac - continued

2.48% 4/1/34 (c)

$ 762

$ 803

2.5% 5/1/37 (c)

47

49

2.505% 10/1/36 (c)

230

241

2.508% 12/1/36 (c)

670

698

2.557% 4/1/37 (c)

71

76

2.65% 2/1/36 (c)

15

15

2.72% 1/1/35 (c)

499

528

2.795% 7/1/36 (c)

75

79

2.798% 7/1/35 (c)

186

197

2.906% 3/1/33 (c)

6

6

2.929% 2/1/37 (c)

42

44

3.171% 10/1/35 (c)

31

33

5.5% 11/1/18 to 11/1/21

10,315

11,151

5.847% 6/1/37 (c)

23

24

6.5% 12/1/21

312

343

6.656% 8/1/37 (c)

86

91

7.22% 4/1/37 (c)

4

4

9% 7/1/16

9

10

9.5% 7/1/16 to 8/1/21

109

123

10% 4/1/15 to 3/1/21

182

207

10.5% 1/1/21

2

2

11% 9/1/20

7

8

11.25% 6/1/14

22

24

11.5% 10/1/15 to 11/1/15

15

17

12% 2/1/13 to 11/1/19

9

10

12.25% 11/1/13 to 8/1/15

7

8

12.5% 1/1/13 to 6/1/19

115

126

13% 12/1/13 to 5/1/17

11

12

14% 11/1/12 to 4/1/16

1

1

 

18,360

Ginnie Mae - 1.3%

4% 9/15/25

554

593

5.5% 2/20/60 (f)

12,834

14,154

8% 12/15/23

204

235

8.5% 6/15/16 to 2/15/17

3

3

10.5% 9/15/15 to 10/15/21

294

345

11% 5/20/16 to 1/20/21

26

31

13% 9/15/13 to 10/15/13

3

3

U.S. Government Agency - Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Ginnie Mae - continued

13.25% 8/15/14

$ 4

$ 4

13.5% 12/15/14

1

1

 

15,369

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $45,761)

47,075

Collateralized Mortgage Obligations - 13.9%

 

U.S. Government Agency - 13.9%

Fannie Mae Guaranteed Mortgage pass-thru certificates:

floater:

Series 1994-42 Class FK, 1.7% 4/25/24 (c)

1,575

1,627

Series 2011-83 Class FB, 0.7572% 9/25/41 (c)

5,649

5,671

Series 2011-89 Class FP, 0.5572% 3/25/39 (c)

7,292

7,278

planned amortization class:

Series 1988-21 Class G, 9.5% 8/25/18

35

40

Series 2003-28 Class KG, 5.5% 4/25/23

725

809

sequential payer:

Series 2007-113 Class DB, 4.5% 12/25/22

2,930

3,238

Series 2009-14 Class EB, 4.5% 3/25/24

1,800

1,964

Series 2010-97 Class CX, 4.5% 9/25/25

2,500

2,776

Series 2010-109 Class IM, 5.5% 9/25/40 (d)

4,799

828

Fannie Mae subordinate REMIC pass-thru certificates:

floater:

Series 2001-38 Class QF, 1.2372% 8/25/31 (c)

299

303

Series 2002-60 Class FV, 1.2572% 4/25/32 (c)

84

86

Series 2002-74 Class FV, 0.7072% 11/25/32 (c)

2,656

2,667

Series 2002-75 Class FA, 1.2572% 11/25/32 (c)

173

176

Series 2008-76 Class EF, 0.7447% 9/25/23 (c)

1,146

1,149

Series 2011-104 Class FK, 0.6272% 3/25/39 (c)

4,326

4,333

planned amortization class:

Series 2002-16 Class PG, 6% 4/25/17

427

458

Series 2002-9 Class PC, 6% 3/25/17

31

34

Series 2004-80 Class LD, 4% 1/25/19

750

776

Series 2005-52 Class PB, 6.5% 12/25/34

334

358

sequential payer:

Series 2002-56 Class MC, 5.5% 9/25/17

122

130

Series 2002-57 Class BD, 5.5% 9/25/17

110

119

Series 2004-72 Class CB, 4% 9/25/19

5,000

5,314

Series 2004-91 Class Z, 5% 12/25/34

2,070

2,321

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

U.S. Government Agency - continued

Fannie Mae subordinate REMIC pass-thru certificates: - continued

sequential payer:

Series 2005-47 Class HK, 4.5% 6/25/20

$ 1,790

$ 1,949

Series 2010-139 Class NI, 4.5% 2/25/40 (d)

2,725

419

Federal National Mortgage Association Guaranteed pass-thru certifcates:

floater Series 2011-63 Class FL, 0.6572% 7/25/41 (c)

7,600

7,614

Series 2011-67 Class AI, 4% 7/25/26 (d)

1,139

120

FHMLC Multi-class participation certificates guaranteed:

floater Series 3835, 0.5979% 5/15/38 (c)

7,061

7,054

planned amortization class:

Series 3856 Class KF, 0.6979% 5/15/41 (c)

4,996

4,988

Series 3867, 0.5979% 4/15/40 (c)

8,411

8,416

Freddie Mac floater 0.5479% 7/15/36 (c)

6,200

6,182

Freddie Mac Multi-class participation certificates guaranteed:

floater:

Series 2526 Class FC, 0.6479% 11/15/32 (c)

396

397

Series 2630 Class FL, 0.7479% 6/15/18 (c)

41

41

Series 3346 Class FA, 0.4779% 2/15/19 (c)

5,383

5,391

planned amortization class:

Series 2356 Class GD, 6% 9/15/16

124

133

Series 2376 Class JE, 5.5% 11/15/16

119

128

Series 2381 Class OG, 5.5% 11/15/16

76

81

Series 2425 Class JH, 6% 3/15/17

149

161

Series 2640 Class GE, 4.5% 7/15/18

3,690

3,942

Series 2672 Class MG, 5% 9/15/23

1,630

1,830

Series 2684 Class FP, 0.7479% 1/15/33 (c)

4,430

4,448

Series 2695 Class DG, 4% 10/15/18

1,635

1,754

Series 2802 Class OB, 6% 5/15/34

1,355

1,563

Series 2810 Class PD, 6% 6/15/33

653

683

Series 3147 Class PF, 0.5479% 4/15/36 (c)

2,596

2,584

Series 3741 Class YU, 3.5% 11/15/22

3,140

3,289

sequential payer:

Series 1929 Class EZ, 7.5% 2/17/27

1,217

1,355

Series 2357 Class ZB, 6.5% 9/15/31

1,055

1,180

Series 2570 Class CU, 4.5% 7/15/17

23

23

Series 2877 Class ZD, 5% 10/15/34

2,677

2,999

Series 2998 Class LY, 5.5% 7/15/25

295

341

Series 3007 Class EW, 5.5% 7/15/25

1,125

1,285

Series 3013 Class VJ, 5% 1/15/14

734

763

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

U.S. Government Agency - continued

Freddie Mac Multi-class participation certificates guaranteed: - continued

sequential payer:

Series 3277 Class B, 4% 2/15/22

$ 1,200

$ 1,301

Series 3578, Class B, 4.5% 9/15/24

1,820

1,998

Series 2715 Class NG, 4.5% 12/15/18

890

968

Ginnie Mae guaranteed REMIC pass-thru certificates:

floater:

Series 2010-H17 Class FA, 0.5848% 7/20/60 (c)(f)

3,885

3,810

Series 2010-H18 Class AF, 0.5215% 9/20/60 (c)(f)

3,975

3,895

Series 2010-H19 Class FG, 0.5548% 8/20/60 (c)(f)

5,083

4,987

Series 2010-H27 Series FA, 0.6348% 12/20/60 (c)(f)

1,189

1,171

Series 2011-H03 Class FA, 0.7548% 1/20/61 (c)(f)

3,726

3,696

Series 2011-H05 Class FA, 0.7548% 12/20/60 (c)(f)

2,553

2,533

Series 2011-H07 Class FA, 0.7548% 2/20/61 (c)(f)

4,084

4,045

Series 2011-H12 Class FA, 0.7448% 2/20/61 (c)(f)

5,071

5,020

Series 2011-H13 Class FA, 0.7548% 4/20/61 (c)(f)

2,171

2,154

Series 2011-H14:

Class FB, 0.7548% 5/20/61 (c)(f)

2,345

2,331

Class FC, 0.7548% 5/20/61 (c)(f)

2,417

2,402

Series 2011-H17 Class FA, 0.7848% 6/20/61 (c)(f)

3,007

2,988

planned amortization Series 2011-79, 6/20/40 (e)

4,229

3,385

Series 2004-79 Class FA, 0.5548% 1/20/31 (c)

167

167

Series 2010-42 Class PO, 4/20/40 (e)

5,615

4,495

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $163,443)

164,914

Foreign Government and Government Agency Obligations - 1.3%

 

Israeli State (guaranteed by U.S. Government through Agency for International Development):

5.5% 9/18/23

1,064

1,337

Foreign Government and Government Agency Obligations - continued

 

Principal Amount (000s)

Value (000s)

Israeli State (guaranteed by U.S. Government through Agency for International Development): - continued

5.5% 12/4/23

$ 10,700

$ 13,379

6.8% 2/15/12

1,051

1,058

TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $14,381)

15,774

Cash Equivalents - 2.7%

Maturity Amount (000s)

 

Investments in repurchase agreements in a joint trading account at 0.14%, dated 11/30/11 due 12/1/11 (Collateralized by U.S. Government Obligations) #
(Cost $31,640)

$ 31,640

31,640

TOTAL INVESTMENT PORTFOLIO - 102.3%

(Cost $1,176,158)

1,210,381

NET OTHER ASSETS (LIABILITIES) - (2.3)%

(26,651)

NET ASSETS - 100%

$ 1,183,730

Futures Contracts

Expiration Date

Underlying Face Amount at Value (000s)

Unrealized Appreciation/
(Depreciation)
(000s)

Purchased

Treasury Contracts

528 CBOT 2 Year U.S. Treasury Notes Contracts

March 2012

$ 116,424

$ 73

 

The face value of futures purchased as a percentage of net assets is 9.8%

Legend

(a) 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 $75,787,000 or 6.4% of net assets.

(b) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the period end, the value of securities pledged amounted to $328,000.

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

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

(e) Principal Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans.

(f) Represents an investment in an underlying pool of reverse mortgages which typically do not require regular principal and interest payments as repayment is deferred until a maturity event.

* Amount represents less than $1,000.

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

Repurchase Agreement / Counterparty

Value
(Amounts in thousands)

$31,640,000 due 12/01/11 at 0.14%

Commerz Markets LLC

$ 2,786

ING Financial Markets LLC

9,472

Mizuho Securities USA, Inc.

18,998

RBC Capital Markets Corp.

384

 

$ 31,640

Other Information

The following is a summary of the inputs used, as of November 30, 2011, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section at the end of this listing.

Valuation Inputs at Reporting Date:

Description
(Amounts in thousands)

Total

Level 1

Level 2

Level 3

Investments in Securities:

U.S. Government and Government Agency Obligations

$ 950,978

$ -

$ 950,978

$ -

U.S. Government Agency - Mortgage Securities

47,075

-

47,075

-

Collateralized Mortgage Obligations

164,914

-

164,914

-

Foreign Government and Government Agency Obligations

15,774

-

15,774

-

Cash Equivalents

31,640

-

31,640

-

Total Investments in Securities:

$ 1,210,381

$ -

$ 1,210,381

$ -

Derivative Instruments:

Assets

Futures Contracts

$ 73

$ 73

$ -

$ -

Income Tax Information

At November 30, 2011, the cost of investment securities for income tax purposes was $1,176,079,000. Net unrealized appreciation aggregated $34,302,000, of which $35,367,000 related to appreciated investment securities and $1,065,000 related to depreciated investment securities.

Investment Valuation

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

Debt securities, including restricted securities, are valued based on evaluated prices received from independent pricing services or from dealers who make markets in such securities. For foreign government and government agency 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 collateralized mortgage obligations and U.S. government agency mortgage securities, pricing services utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices and, accordingly, such securities are generally categorized as Level 2 in the hierarchy. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing matrices which consider similar factors that would be used by independent pricing services. These are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Short-term securities with remaining maturities of sixty days or less may be valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy.

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

Quarterly Report

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

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

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

or an affiliate.

Quarterly Report

Item 2. Controls and Procedures

(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the Fidelity 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 30, 2012

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

By:

/s/John R. Hebble

 

John R. Hebble

 

President and Treasurer

 

 

Date:

January 30, 2012

By:

/s/Christine Reynolds

 

Christine Reynolds

 

Chief Financial Officer

 

 

Date:

January 30, 2012