N-Q 1 adv2.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 811-4707

Fidelity Advisor Series II
 (Exact name of registrant as specified in charter)

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

Scott C. Goebel, Secretary

82 Devonshire St.

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

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

Date of fiscal year end:

August 31

 

 

Date of reporting period:

May 31, 2010

Item 1. Schedule of Investments

Quarterly Holdings Report

for

Fidelity Advisor Intermediate Bond Fund
Class A
Class T
Class B
Class C
Institutional Class

May 31, 2010
 

1.804849.106

LTB-QTLY-0710

Investments May 31, 2010 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 32.0%

 

Principal Amount

Value

CONSUMER DISCRETIONARY - 2.9%

Auto Components - 0.3%

DaimlerChrysler NA Holding Corp.:

5.75% 9/8/11

$ 1,194,000

$ 1,245,378

5.875% 3/15/11

422,000

435,037

 

1,680,415

Diversified Consumer Services - 0.1%

Yale University 2.9% 10/15/14

530,000

543,442

Household Durables - 0.4%

Fortune Brands, Inc.:

5.125% 1/15/11

665,000

680,048

5.375% 1/15/16

660,000

702,854

6.375% 6/15/14

750,000

826,883

Whirlpool Corp. 6.125% 6/15/11

700,000

727,226

 

2,937,011

Media - 1.7%

AOL Time Warner, Inc. 6.875% 5/1/12

368,000

401,037

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

77,000

79,725

Comcast Corp.:

4.95% 6/15/16

283,000

298,429

5.15% 3/1/20

653,000

671,443

5.5% 3/15/11

58,000

59,906

COX Communications, Inc.:

4.625% 6/1/13

674,000

718,134

6.25% 6/1/18 (d)

113,000

123,851

Discovery Communications LLC:

3.7% 6/1/15

850,000

852,909

5.05% 6/1/20

313,000

312,758

NBC Universal, Inc. 5.15% 4/30/20 (d)

1,000,000

1,020,967

News America, Inc.:

5.3% 12/15/14

132,000

144,099

6.9% 3/1/19

750,000

874,841

Time Warner Cable, Inc.:

5.4% 7/2/12

369,000

395,539

5.85% 5/1/17

996,000

1,082,268

6.2% 7/1/13

351,000

389,873

6.75% 7/1/18

1,114,000

1,254,573

Time Warner, Inc.:

4.875% 3/15/20

670,000

667,993

5.875% 11/15/16

651,000

719,153

Nonconvertible Bonds - continued

 

Principal Amount

Value

CONSUMER DISCRETIONARY - continued

Media - continued

Viacom, Inc.:

4.375% 9/15/14

$ 658,000

$ 691,221

6.125% 10/5/17

679,000

757,458

 

11,516,177

Specialty Retail - 0.4%

Lowe's Companies, Inc. 4.625% 4/15/20

1,350,000

1,403,772

Staples, Inc. 7.375% 10/1/12

1,301,000

1,448,572

 

2,852,344

TOTAL CONSUMER DISCRETIONARY

19,529,389

CONSUMER STAPLES - 1.5%

Beverages - 0.4%

Anheuser-Busch InBev Worldwide, Inc.:

2.5% 3/26/13 (d)

1,020,000

1,022,171

7.2% 1/15/14 (d)

1,000,000

1,139,962

Diageo Capital PLC 5.2% 1/30/13

157,000

170,670

FBG Finance Ltd. 5.125% 6/15/15 (d)

443,000

480,934

 

2,813,737

Food & Staples Retailing - 0.1%

CVS Caremark Corp.:

0.5519% 6/1/10 (h)

346,000

346,000

6.036% 12/10/28

334,677

338,684

 

684,684

Food Products - 0.5%

Cargill, Inc. 6% 11/27/17 (d)

106,000

118,931

General Mills, Inc.:

5.2% 3/17/15

650,000

722,513

5.65% 2/15/19

239,000

264,940

Kraft Foods, Inc.:

5.375% 2/10/20

660,000

685,444

5.625% 11/1/11

1,424,000

1,505,030

6.75% 2/19/14

82,000

93,571

 

3,390,429

Personal Products - 0.1%

Avon Products, Inc. 4.8% 3/1/13

600,000

644,378

Tobacco - 0.4%

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

1,249,000

1,514,389

Nonconvertible Bonds - continued

 

Principal Amount

Value

CONSUMER STAPLES - continued

Tobacco - continued

Philip Morris International, Inc. 4.5% 3/26/20

$ 1,000,000

$ 996,018

Reynolds American, Inc. 6.75% 6/15/17

446,000

470,807

 

2,981,214

TOTAL CONSUMER STAPLES

10,514,442

ENERGY - 3.8%

Energy Equipment & Services - 0.6%

DCP Midstream LLC 5.35% 3/15/20 (d)

625,000

624,806

El Paso Pipeline Partners Operating Co. LLC 6.5% 4/1/20

700,000

707,563

Halliburton Co. 6.15% 9/15/19

425,000

464,871

Transocean Ltd. 5.25% 3/15/13

284,000

290,299

Weatherford International Ltd.:

4.95% 10/15/13

263,000

275,910

5.15% 3/15/13

1,417,000

1,495,957

 

3,859,406

Oil, Gas & Consumable Fuels - 3.2%

Anadarko Petroleum Corp. 5.95% 9/15/16

966,000

1,028,982

BW Group Ltd. 6.625% 6/28/17 (d)

446,000

414,780

Canadian Natural Resources Ltd.:

5.15% 2/1/13

679,000

726,981

5.7% 5/15/17

175,000

191,194

Cenovus Energy, Inc. 5.7% 10/15/19 (d)

650,000

683,508

Delek & Avner-Yam Tethys Ltd. 5.326% 8/1/13 (d)

12,776

12,979

Duke Capital LLC 6.25% 2/15/13

151,000

164,105

Duke Energy Field Services:

5.375% 10/15/15 (d)

184,000

197,332

6.875% 2/1/11

422,000

436,648

7.875% 8/16/10

191,000

193,471

Enbridge Energy Partners LP:

5.875% 12/15/16

273,000

300,260

6.5% 4/15/18

358,000

400,869

EnCana Corp. 6.3% 11/1/11

151,000

159,967

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

436,000

483,851

Enterprise Products Operating LP:

4.6% 8/1/12

706,000

738,181

5.6% 10/15/14

295,000

319,250

5.65% 4/1/13

105,000

112,665

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

583,000

627,137

Nonconvertible Bonds - continued

 

Principal Amount

Value

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Lukoil International Finance BV 6.656% 6/7/22 (d)

$ 246,000

$ 227,550

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

800,000

834,950

Nexen, Inc.:

5.05% 11/20/13

634,000

678,781

5.2% 3/10/15

137,000

145,803

NGPL PipeCo LLC 6.514% 12/15/12 (d)

1,138,000

1,166,019

Pemex Project Funding Master Trust 1.557% 6/15/10 (d)(h)

188,000

187,060

Petro-Canada 6.05% 5/15/18

326,000

356,193

Petrobras International Finance Co. Ltd.:

5.75% 1/20/20

700,000

694,693

7.875% 3/15/19

620,000

701,778

Petroleum Export Ltd. 4.633% 6/15/10 (d)

1,222

1,221

Plains All American Pipeline LP:

4.25% 9/1/12

1,000,000

1,043,063

5.75% 1/15/20

962,000

981,870

7.75% 10/15/12

356,000

395,365

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

360,800

400,651

Ras Laffan Liquefied Natural Gas Co. Ltd. III:

4.5% 9/30/12 (d)

329,000

339,377

5.832% 9/30/16 (d)

270,000

285,120

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

411,000

443,651

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

862,000

896,105

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

916,000

1,004,285

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

1,096,000

1,228,317

TransCanada PipeLines Ltd. 6.35% 5/15/67 (h)

358,000

324,770

Transcontinental Gas Pipe Line Corp. 6.4% 4/15/16

394,000

448,150

XTO Energy, Inc.:

4.9% 2/1/14

752,000

818,577

5% 1/31/15

264,000

289,432

5.65% 4/1/16

181,000

204,995

5.9% 8/1/12

672,000

734,764

 

22,024,700

TOTAL ENERGY

25,884,106

Nonconvertible Bonds - continued

 

Principal Amount

Value

FINANCIALS - 16.7%

Capital Markets - 2.7%

Bear Stearns Companies, Inc.:

4.5% 10/28/10

$ 277,000

$ 280,272

5.3% 10/30/15

327,000

346,602

5.35% 2/1/12

65,000

68,811

6.95% 8/10/12

54,000

59,305

BlackRock, Inc. 6.25% 9/15/17

1,105,000

1,250,513

Goldman Sachs Group, Inc.:

5.375% 3/15/20

750,000

723,559

5.95% 1/18/18

1,602,000

1,625,175

6.15% 4/1/18

298,000

304,422

6.875% 1/15/11

47,000

48,364

Janus Capital Group, Inc.:

6.125% 9/15/11 (c)

494,000

501,235

6.5% 6/15/12

636,000

656,021

Lazard Group LLC:

6.85% 6/15/17

582,000

599,330

7.125% 5/15/15

208,000

220,256

Merrill Lynch & Co., Inc.:

5.45% 2/5/13

1,578,000

1,646,507

6.875% 4/25/18

618,000

636,534

Morgan Stanley:

0.5953% 1/9/14 (h)

825,000

757,709

2.9228% 5/14/13 (h)

844,000

842,472

4.1% 1/26/15

1,320,000

1,265,405

4.75% 4/1/14

120,000

119,125

5.45% 1/9/17

200,000

193,100

5.95% 12/28/17

383,000

381,826

6% 5/13/14

570,000

590,855

6.6% 4/1/12

863,000

908,025

7.3% 5/13/19

603,000

633,354

Royal Bank of Scotland PLC 4.875% 8/25/14 (d)

1,200,000

1,191,284

State Street Corp. 4.3% 5/30/14

120,000

125,781

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

583,000

629,192

UBS AG Stamford Branch:

3.875% 1/15/15

700,000

696,718

5.75% 4/25/18

784,000

798,125

 

18,099,877

Commercial Banks - 5.6%

American Express Bank FSB 5.5% 4/16/13

2,014,000

2,174,208

American Express Centurion Bank 5.2% 11/26/10

37,000

37,574

Nonconvertible Bonds - continued

 

Principal Amount

Value

FINANCIALS - continued

Commercial Banks - continued

ANZ National International Ltd.:

2.375% 12/21/12 (d)

$ 1,680,000

$ 1,687,982

6.2% 7/19/13 (d)

121,000

133,455

Bank of Nova Scotia 3.4% 1/22/15

1,650,000

1,680,047

Bank of Tokyo-Mitsubishi UFJ Ltd. 3.85% 1/22/15 (d)

1,300,000

1,349,400

Bank One Corp. 5.25% 1/30/13

140,000

148,461

Barclays Bank PLC 2.5% 1/23/13

1,680,000

1,649,397

BB&T Corp. 6.5% 8/1/11

187,000

196,696

Chase Manhattan Corp. 7.875% 6/15/10

257,000

257,528

Commonwealth Bank of Australia:

2.9% 9/17/14 (d)

3,000,000

3,043,314

3.75% 10/15/14 (d)

1,640,000

1,671,340

Credit Agricole SA 3.5% 4/13/15 (d)

420,000

410,500

Credit Suisse New York Branch:

5% 5/15/13

1,026,000

1,091,359

6% 2/15/18

1,543,000

1,574,920

DBS Bank Ltd. (Singapore) 0.6559% 5/16/17 (d)(h)

845,580

794,845

Export-Import Bank of Korea:

5.125% 2/14/11

441,000

450,453

5.25% 2/10/14 (d)

114,000

118,175

5.5% 10/17/12

340,000

360,842

Fifth Third Bancorp 4.5% 6/1/18

20,000

18,692

HBOS PLC 6.75% 5/21/18 (d)

509,000

480,493

HSBC Holdings PLC 0.4915% 10/6/16 (h)

130,000

127,669

ING Bank NV 2.65% 1/14/13 (d)

1,310,000

1,302,705

JPMorgan Chase Bank 6% 10/1/17

422,000

450,809

KeyBank NA 7% 2/1/11

169,000

174,522

Korea Development Bank 4.625% 9/16/10

369,000

372,510

Lloyds TSB Bank PLC:

4.375% 1/12/15 (d)

650,000

621,994

5.8% 1/13/20 (d)

550,000

516,660

Manufacturers & Traders Trust Co. 1.7909% 4/1/13 (d)(h)

82,159

80,147

National Australia Bank Ltd. 2.35% 11/16/12 (d)

1,783,000

1,799,607

PNC Funding Corp.:

0.4778% 1/31/12 (h)

979,000

969,114

3.625% 2/8/15

717,000

731,471

Rabobank Nederland NV 2.65% 8/17/12 (d)

4,040,000

4,106,927

Svenska Handelsbanken AB 2.875% 9/14/12 (d)

2,245,000

2,278,033

Nonconvertible Bonds - continued

 

Principal Amount

Value

FINANCIALS - continued

Commercial Banks - continued

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

$ 442,000

$ 419,146

UnionBanCal Corp. 5.25% 12/16/13

100,000

108,201

US Bancorp 3.15% 3/4/15

322,000

326,687

Wachovia Bank NA 4.875% 2/1/15

283,000

296,021

Wachovia Corp.:

0.4428% 4/23/12 (h)

90,000

88,937

5.625% 10/15/16

513,000

545,216

Wells Fargo & Co. 3.75% 10/1/14

1,840,000

1,870,840

Wells Fargo Bank NA, San Francisco 7.55% 6/21/10

110,000

110,403

Westpac Banking Corp. 2.25% 11/19/12

1,670,000

1,678,009

 

38,305,309

Consumer Finance - 1.5%

American Honda Finance Corp. 2.375% 3/18/13 (d)

300,000

302,293

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

478,000

570,044

Capital One Financial Corp.:

5.7% 9/15/11

366,000

381,644

7.375% 5/23/14

540,000

613,485

Discover Financial Services:

0.7856% 6/11/10 (h)

694,000

693,859

6.45% 6/12/17

345,000

344,502

General Electric Capital Corp.:

2.8% 1/8/13

1,045,000

1,055,488

3.5% 8/13/12

2,000,000

2,054,450

5.9% 5/13/14

1,375,000

1,502,248

6.375% 11/15/67 (h)

1,275,000

1,179,375

Household Finance Corp. 6.375% 10/15/11

341,000

360,534

HSBC Finance Corp. 5.25% 1/14/11

306,000

311,904

MBNA Corp. 7.5% 3/15/12

324,000

348,987

ORIX Corp. 5.48% 11/22/11

58,000

60,095

SLM Corp.:

0.457% 3/15/11 (h)

17,000

16,477

0.5458% 10/25/11 (h)

354,000

333,022

Systems 2001 Asset Trust LLC 7.156% 12/15/11 (d)

63,959

66,677

 

10,195,084

Diversified Financial Services - 2.4%

BB&T Corp. 3.375% 9/25/13

750,000

767,705

BNP Paribas US Medium-Term Note Program LLC 2.125% 12/21/12

1,090,000

1,083,608

Nonconvertible Bonds - continued

 

Principal Amount

Value

FINANCIALS - continued

Diversified Financial Services - continued

Citigroup, Inc.:

5.3% 10/17/12

$ 1,594,000

$ 1,653,448

6.5% 1/18/11

225,000

231,497

6.5% 8/19/13

2,729,000

2,874,164

Deutsche Bank AG London Branch 2.375% 1/11/13

1,320,000

1,311,384

International Lease Finance Corp.:

5.65% 6/1/14

1,519,000

1,306,340

6.625% 11/15/13

411,000

372,983

JPMorgan Chase & Co.:

4.891% 9/1/15 (h)

542,000

540,706

5.75% 1/2/13

334,000

358,368

6.75% 2/1/11

65,000

67,299

New York Life Global Fund 2.25% 12/14/12 (d)

650,000

659,651

Prime Property Funding, Inc.:

5.125% 6/1/15 (d)

164,000

153,104

5.35% 4/15/12 (d)

101,000

102,831

5.5% 1/15/14 (d)

128,000

126,526

5.7% 4/15/17 (d)

256,000

233,548

TECO Finance, Inc.:

4% 3/15/16

171,000

172,611

5.15% 3/15/20

245,000

248,688

7% 5/1/12

517,000

557,528

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

489,000

490,223

USAA Capital Corp. 3.5% 7/17/14 (d)

932,000

957,579

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

1,008,000

917,280

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

527,000

474,300

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

805,000

732,550

 

16,393,921

Insurance - 1.5%

Allstate Corp. 6.2% 5/16/14

526,000

591,716

Assurant, Inc. 5.625% 2/15/14

289,000

303,559

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

84,000

89,226

Berkshire Hathaway, Inc. 3.2% 2/11/15

1,000,000

1,023,035

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

225,000

200,250

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

114,000

122,065

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

90,000

78,875

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

1,474,000

1,468,546

Nonconvertible Bonds - continued

 

Principal Amount

Value

FINANCIALS - continued

Insurance - continued

MetLife, Inc.:

5% 6/15/15

$ 175,000

$ 184,663

6.125% 12/1/11

177,000

187,517

Metropolitan Life Global Funding I:

4.625% 8/19/10 (d)

498,000

501,231

5.125% 4/10/13 (d)

113,000

121,880

5.125% 6/10/14 (d)

483,000

518,128

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

274,000

282,797

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

332,000

351,074

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

1,141,000

1,197,393

Prudential Financial, Inc.:

3.625% 9/17/12

643,000

656,505

5.15% 1/15/13

327,000

345,632

5.4% 6/13/35

68,000

60,497

5.5% 3/15/16

64,000

67,504

6.2% 1/15/15

90,000

99,031

QBE Insurance Group Ltd. 5.647% 7/1/23 (d)(h)

109,000

99,692

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

782,000

774,332

The Chubb Corp. 5.75% 5/15/18

311,000

342,854

Unum Group 7.125% 9/30/16

650,000

727,184

 

10,395,186

Real Estate Investment Trusts - 0.8%

AvalonBay Communities, Inc.:

4.95% 3/15/13

55,000

58,124

5.5% 1/15/12

196,000

206,404

Camden Property Trust:

5.375% 12/15/13

326,000

345,342

5.875% 11/30/12

102,000

109,707

Developers Diversified Realty Corp.:

4.625% 8/1/10

597,000

597,673

5.25% 4/15/11

381,000

383,157

5.375% 10/15/12

196,000

194,338

7.5% 4/1/17

307,000

305,527

Duke Realty LP:

4.625% 5/15/13

108,000

110,555

5.875% 8/15/12

86,000

90,589

Equity One, Inc.:

6% 9/15/17

131,000

130,915

6.25% 1/15/17

74,000

75,458

Nonconvertible Bonds - continued

 

Principal Amount

Value

FINANCIALS - continued

Real Estate Investment Trusts - continued

Federal Realty Investment Trust:

5.4% 12/1/13

$ 85,000

$ 90,881

6% 7/15/12

442,000

472,006

6.2% 1/15/17

94,000

100,669

HRPT Properties Trust:

5.75% 11/1/15

134,000

138,074

6.25% 6/15/17

186,000

190,590

6.65% 1/15/18

95,000

97,943

UDR, Inc. 5.5% 4/1/14

1,107,000

1,151,576

Washington (REIT) 5.95% 6/15/11

553,000

562,076

 

5,411,604

Real Estate Management & Development - 1.3%

AMB Property LP 5.9% 8/15/13

389,000

409,025

Arden Realty LP 5.2% 9/1/11

256,000

264,990

Brandywine Operating Partnership LP:

5.625% 12/15/10

725,000

736,306

5.7% 5/1/17

361,000

356,292

5.75% 4/1/12

329,000

341,274

Colonial Properties Trust 4.8% 4/1/11

1,000

984

Duke Realty LP:

5.4% 8/15/14

485,000

498,119

5.625% 8/15/11

500,000

513,628

6.25% 5/15/13

1,166,000

1,247,578

ERP Operating LP:

5.375% 8/1/16

240,000

253,531

5.5% 10/1/12

384,000

412,353

5.75% 6/15/17

853,000

902,275

Liberty Property LP:

5.125% 3/2/15

128,000

131,283

5.5% 12/15/16

226,000

232,998

6.625% 10/1/17

554,000

584,433

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

205,000

212,044

Post Apartment Homes LP 6.3% 6/1/13

571,000

603,453

Reckson Operating Partnership LP 5.15% 1/15/11

11,000

11,018

Regency Centers LP:

4.95% 4/15/14

92,000

93,715

5.25% 8/1/15

322,000

331,718

5.875% 6/15/17

160,000

166,320

Simon Property Group LP:

4.2% 2/1/15

234,000

239,662

Nonconvertible Bonds - continued

 

Principal Amount

Value

FINANCIALS - continued

Real Estate Management & Development - continued

Simon Property Group LP: - continued

4.6% 6/15/10

$ 88,000

$ 88,087

4.875% 8/15/10

102,000

102,480

5.3% 5/30/13

12,000

12,872

Tanger Properties LP 6.15% 11/15/15

4,000

4,346

 

8,750,784

Thrifts & Mortgage Finance - 0.9%

Bank of America Corp.:

4.9% 5/1/13

669,000

696,002

5.65% 5/1/18

1,125,000

1,131,474

7.375% 5/15/14

969,000

1,069,940

Countrywide Financial Corp. 5.8% 6/7/12

935,000

985,620

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

475,000

496,995

Independence Community Bank Corp.:

2.1115% 4/1/14 (h)

801,000

784,112

4.9% 9/23/10

256,000

258,233

US Central Federal Credit Union 1.9% 10/19/12

990,000

1,003,519

 

6,425,895

TOTAL FINANCIALS

113,977,660

HEALTH CARE - 0.6%

Biotechnology - 0.1%

Amgen, Inc. 5.85% 6/1/17

446,000

507,089

Health Care Equipment & Supplies - 0.1%

Medtronic, Inc. 4.45% 3/15/20

670,000

690,889

Health Care Providers & Services - 0.2%

Coventry Health Care, Inc.:

5.95% 3/15/17

264,000

260,711

6.3% 8/15/14

546,000

578,473

Express Scripts, Inc.:

5.25% 6/15/12

505,000

540,392

6.25% 6/15/14

299,000

335,412

 

1,714,988

Pharmaceuticals - 0.2%

Merck & Co., Inc. 5% 6/30/19

348,000

374,682

Nonconvertible Bonds - continued

 

Principal Amount

Value

HEALTH CARE - continued

Pharmaceuticals - continued

Roche Holdings, Inc. 5% 3/1/14 (d)

$ 897,000

$ 983,554

Teva Pharmaceutical Finance LLC 5.55% 2/1/16

145,000

163,582

 

1,521,818

TOTAL HEALTH CARE

4,434,784

INDUSTRIALS - 0.7%

Aerospace & Defense - 0.1%

BAE Systems Holdings, Inc.:

4.75% 8/15/10 (d)

398,000

400,768

6.4% 12/15/11 (d)

151,000

160,665

 

561,433

Airlines - 0.5%

American Airlines, Inc. pass-thru trust certificates 6.978% 10/1/12

40,413

40,615

Continental Airlines, Inc.:

6.648% 3/15/19

425,855

425,855

6.795% 2/2/20

34,443

32,893

6.82% 5/1/18

33,503

33,336

6.9% 7/2/19

126,201

124,939

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

6.821% 8/10/22

53,090

52,294

7.57% 11/18/10

2,456,000

2,480,560

U.S. Airways pass-thru trust certificates:

6.85% 7/30/19

297,476

272,190

8.36% 7/20/20

221,150

216,727

 

3,679,409

Industrial Conglomerates - 0.1%

Covidien International Finance SA:

5.45% 10/15/12

106,000

116,116

6% 10/15/17

442,000

499,011

 

615,127

Machinery - 0.0%

Atlas Copco AB 5.6% 5/22/17 (d)

92,000

98,262

TOTAL INDUSTRIALS

4,954,231

Nonconvertible Bonds - continued

 

Principal Amount

Value

INFORMATION TECHNOLOGY - 0.5%

Electronic Equipment & Components - 0.2%

Tyco Electronics Group SA:

5.95% 1/15/14

$ 445,000

$ 487,004

6% 10/1/12

585,000

630,873

6.55% 10/1/17

356,000

406,514

 

1,524,391

Office Electronics - 0.2%

Xerox Corp.:

4.25% 2/15/15

1,200,000

1,228,907

5.5% 5/15/12

241,000

257,007

 

1,485,914

Semiconductors & Semiconductor Equipment - 0.1%

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

265,429

265,389

TOTAL INFORMATION TECHNOLOGY

3,275,694

MATERIALS - 1.1%

Chemicals - 0.2%

Dow Chemical Co. 4.85% 8/15/12

1,265,000

1,329,205

Lubrizol Corp. 8.875% 2/1/19

140,000

169,501

 

1,498,706

Construction Materials - 0.0%

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

277,000

301,608

Containers & Packaging - 0.1%

Pactiv Corp.:

5.875% 7/15/12

259,000

265,861

6.4% 1/15/18

264,000

268,642

 

534,503

Metals & Mining - 0.8%

Anglo American Capital PLC:

9.375% 4/8/14 (d)

459,000

539,569

9.375% 4/8/19 (d)

630,000

790,905

BHP Billiton Financial (USA) Ltd.:

5.125% 3/29/12

298,000

317,833

5.5% 4/1/14

709,000

788,224

Corporacion Nacional del Cobre (Codelco) 6.375% 11/30/12 (d)

302,000

328,197

Rio Tinto Finance (USA) Ltd.:

5.875% 7/15/13

493,000

538,204

6.5% 7/15/18

939,000

1,038,359

Nonconvertible Bonds - continued

 

Principal Amount

Value

MATERIALS - continued

Metals & Mining - continued

Rio Tinto Finance (USA) Ltd.: - continued

8.95% 5/1/14

$ 536,000

$ 643,927

Vale Overseas Ltd. 6.25% 1/23/17

350,000

375,801

 

5,361,019

TOTAL MATERIALS

7,695,836

TELECOMMUNICATION SERVICES - 1.6%

Diversified Telecommunication Services - 1.1%

AT&T Broadband Corp. 8.375% 3/15/13

390,000

451,874

AT&T, Inc. 6.7% 11/15/13

177,000

202,420

British Telecommunications PLC 9.125% 12/15/10 (c)

512,000

533,266

CenturyTel, Inc. 6.15% 9/15/19

592,000

575,530

Deutsche Telekom International Financial BV 5.25% 7/22/13

370,000

395,391

France Telecom SA 7.75% 3/1/11 (c)

143,000

149,953

SBC Communications, Inc.:

5.1% 9/15/14

328,000

359,404

5.875% 2/1/12

412,000

441,601

5.875% 8/15/12

148,000

161,253

Sprint Capital Corp. 7.625% 1/30/11

43,000

43,753

Telecom Italia Capital SA:

4.875% 10/1/10

173,000

174,710

4.95% 9/30/14

484,000

479,959

5.25% 10/1/15

395,000

394,679

6.999% 6/4/18

271,000

285,318

Telefonica Emisiones SAU:

3.729% 4/27/15

1,278,000

1,259,001

6.421% 6/20/16

234,000

259,966

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

158,000

167,459

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

888,000

960,954

 

7,296,491

Wireless Telecommunication Services - 0.5%

America Movil SAB de CV 3.625% 3/30/15 (d)

600,000

608,184

DIRECTV Holdings LLC/DIRECTV Financing, Inc. 4.75% 10/1/14

1,246,000

1,318,461

Sprint Nextel Corp. 6% 12/1/16

172,000

153,080

Verizon Wireless Capital LLC 5.55% 2/1/14

358,000

395,750

Nonconvertible Bonds - continued

 

Principal Amount

Value

TELECOMMUNICATION SERVICES - continued

Wireless Telecommunication Services - continued

Vodafone Group PLC:

5% 12/16/13

$ 346,000

$ 372,761

5.5% 6/15/11

597,000

621,964

 

3,470,200

TOTAL TELECOMMUNICATION SERVICES

10,766,691

UTILITIES - 2.6%

Electric Utilities - 1.3%

AmerenUE 6.4% 6/15/17

451,000

499,216

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

621,000

674,861

Commonwealth Edison Co. 5.4% 12/15/11

958,000

1,015,036

EDP Finance BV:

4.9% 10/1/19 (d)

200,000

182,397

5.375% 11/2/12 (d)

301,000

312,467

6% 2/2/18 (d)

525,000

523,262

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

168,000

177,840

Exelon Corp. 4.9% 6/15/15

415,000

441,280

FirstEnergy Solutions Corp.:

4.8% 2/15/15

160,000

165,108

6.05% 8/15/21

372,000

368,890

Illinois Power Co. 6.125% 11/15/17

62,000

68,098

Mid-American Energy Co. 5.65% 7/15/12

50,000

54,187

Nevada Power Co.:

6.5% 5/15/18

1,562,000

1,757,369

6.5% 8/1/18

237,000

267,282

Oncor Electric Delivery Co. 6.375% 5/1/12

412,000

445,146

Pennsylvania Electric Co. 6.05% 9/1/17

115,000

124,407

Pepco Holdings, Inc. 6.45% 8/15/12

563,000

611,439

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

620,000

542,500

Progress Energy, Inc. 7.1% 3/1/11

511,000

533,425

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

235,000

253,478

 

9,017,688

Gas Utilities - 0.1%

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

638,000

656,316

Independent Power Producers & Energy Traders - 0.5%

Duke Capital LLC 5.668% 8/15/14

310,000

330,827

Exelon Generation Co. LLC:

5.2% 10/1/19

1,000,000

1,033,297

Nonconvertible Bonds - continued

 

Principal Amount

Value

UTILITIES - continued

Independent Power Producers & Energy Traders - continued

Exelon Generation Co. LLC: - continued

5.35% 1/15/14

$ 231,000

$ 249,747

PPL Energy Supply LLC 6.3% 7/15/13

1,500,000

1,655,967

 

3,269,838

Multi-Utilities - 0.7%

Consolidated Edison Co. of New York, Inc.:

Series 2000 B, 7.5% 9/1/10

20,000

20,322

7.5% 9/1/10

25,000

25,403

Dominion Resources, Inc.:

4.75% 12/15/10

593,000

605,224

6.3% 9/30/66 (h)

577,000

533,725

7.5% 6/30/66 (h)

493,000

478,210

DTE Energy Co. 7.05% 6/1/11

315,000

331,198

KeySpan Corp. 7.625% 11/15/10

86,000

88,559

MidAmerican Energy Holdings, Co. 5.875% 10/1/12

441,000

481,151

National Grid PLC 6.3% 8/1/16

223,000

251,189

NiSource Finance Corp.:

5.25% 9/15/17

402,000

413,524

5.4% 7/15/14

203,000

217,831

5.45% 9/15/20

43,000

43,241

6.4% 3/15/18

200,000

216,907

7.875% 11/15/10

229,000

235,393

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

757,000

688,870

WPS Resources Corp. 6.11% 12/1/66 (h)

133,000

119,700

 

4,750,447

TOTAL UTILITIES

17,694,289

TOTAL NONCONVERTIBLE BONDS

(Cost $202,302,722)

218,727,122

U.S. Government and Government Agency Obligations - 38.0%

 

U.S. Government Agency Obligations - 4.8%

Fannie Mae:

1.25% 6/22/12

9,339,000

9,379,279

1.5% 6/26/13

680,000

678,775

1.75% 5/7/13

1,765,000

1,777,586

2.5% 5/15/14

9,250,000

9,448,033

U.S. Government and Government Agency Obligations - continued

 

Principal Amount

Value

U.S. Government Agency Obligations - continued

Federal Home Loan Bank:

1.125% 5/18/12

$ 2,130,000

$ 2,135,265

1.625% 11/21/12

1,225,000

1,235,768

1.75% 8/22/12

1,250,000

1,267,716

1.875% 6/21/13

170,000

171,559

Freddie Mac:

1.625% 4/15/13

3,360,000

3,377,015

1.75% 6/15/12

3,229,000

3,276,024

2.125% 9/21/12

40,000

40,870

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS

32,787,890

U.S. Treasury Obligations - 32.3%

U.S. Treasury Notes:

1.375% 5/15/13

2,360,000

2,369,039

2.375% 9/30/14 (f)

60,500,000

61,686,331

2.5% 3/31/15

11,130,000

11,366,513

2.5% 4/30/15

19,736,000

20,133,799

2.625% 7/31/14

10,000,000

10,316,410

3% 9/30/16

10,517,000

10,733,913

3.125% 10/31/16

6,510,000

6,685,972

3.125% 1/31/17

8,719,000

8,930,165

3.625% 2/15/20

51,010,000

52,321,110

3.75% 11/15/18

15,850,000

16,599,166

4% 8/15/18

18,750,000

20,061,038

TOTAL U.S. TREASURY OBLIGATIONS

221,203,456

Other Government Related - 0.9%

Bank of America Corp.:

2.1% 4/30/12 (FDIC Guaranteed) (e)

520,000

530,893

3.125% 6/15/12 (FDIC Guaranteed) (e)

18,000

18,739

Citigroup Funding, Inc.:

1.875% 11/15/12 (FDIC Guaranteed) (e)

1,600,000

1,620,960

2.25% 12/10/12 (FDIC Guaranteed) (e)

1,710,000

1,749,127

U.S. Government and Government Agency Obligations - continued

 

Principal Amount

Value

Other Government Related - continued

General Electric Capital Corp. 2% 9/28/12 (FDIC Guaranteed) (e)

$ 2,010,000

$ 2,043,187

Goldman Sachs Group, Inc. 3.25% 6/15/12 (FDIC Guaranteed) (e)

9,000

9,394

TOTAL OTHER GOVERNMENT RELATED

5,972,300

TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $256,410,682)

259,963,646

U.S. Government Agency - Mortgage Securities - 6.3%

 

Fannie Mae - 4.8%

1.989% 2/1/33 (h)

53,134

54,626

2.026% 4/1/36 (h)

1,809,058

1,860,554

2.033% 1/1/35 (h)

843,328

869,147

2.048% 10/1/33 (h)

25,028

25,768

2.063% 12/1/34 (h)

83,979

86,274

2.072% 3/1/35 (h)

41,297

42,529

2.129% 7/1/35 (h)

28,814

29,651

2.136% 3/1/35 (h)

10,269

10,605

2.327% 10/1/33 (h)

65,666

67,406

2.582% 3/1/35 (h)

35,180

36,705

2.7% 7/1/34 (h)

126,085

131,397

2.703% 2/1/35 (h)

1,428,230

1,495,553

2.786% 8/1/35 (h)

292,160

305,976

2.799% 10/1/33 (h)

67,335

70,496

2.868% 6/1/34 (h)

276,379

288,527

2.899% 7/1/35 (h)

199,072

207,562

2.953% 5/1/35 (h)

130,143

136,773

2.972% 7/1/34 (h)

1,413,719

1,474,950

3.139% 10/1/35 (h)

132,755

137,426

3.177% 2/1/34 (h)

18,223

19,056

3.201% 1/1/40 (h)

662,603

675,442

3.203% 7/1/35 (h)

323,366

338,238

3.258% 9/1/34 (h)

570,852

593,120

3.343% 11/1/36 (h)

404,723

424,062

3.344% 1/1/40 (h)

1,064,320

1,090,506

3.347% 7/1/35 (h)

1,821,093

1,872,438

3.348% 9/1/35 (h)

1,234,101

1,289,919

3.358% 7/1/34 (h)

34,546

35,885

U.S. Government Agency - Mortgage Securities - continued

 

Principal Amount

Value

Fannie Mae - continued

3.38% 7/1/35 (h)

$ 240,200

$ 250,285

3.465% 4/1/35 (h)

1,171,067

1,227,082

3.589% 12/1/39 (h)

220,619

227,319

3.603% 3/1/40 (h)

792,859

817,027

3.702% 12/1/33 (h)

1,834,255

1,908,287

3.721% 11/1/36 (h)

433,556

454,341

3.722% 9/1/39 (h)

185,827

191,877

3.775% 10/1/39 (h)

497,184

513,823

4% 8/1/18

1,249,966

1,308,819

4.209% 10/1/37 (h)

22,355

23,389

4.278% 6/1/36 (h)

71,005

73,992

4.5% 6/1/18 to 3/1/35

5,080,953

5,356,653

5.496% 7/1/37 (h)

124,640

131,119

6% 5/1/16 to 4/1/17

298,932

322,488

6.5% 12/1/13 to 3/1/35

4,076,682

4,472,154

7% 11/1/11 to 6/1/33

996,585

1,107,822

7.5% 8/1/17 to 3/1/28

332,950

365,332

8.5% 5/1/21 to 9/1/25

54,600

60,739

9.5% 2/1/25

8,564

9,359

10.5% 8/1/20

12,992

15,355

11% 8/1/15

108

108

12.5% 12/1/13 to 4/1/15

6,402

7,400

TOTAL FANNIE MAE

32,515,361

Freddie Mac - 1.5%

2.048% 4/1/35 (h)

430,169

444,527

2.624% 1/1/35 (h)

124,961

130,452

3.239% 3/1/35 (h)

423,551

445,630

3.514% 12/1/39 (h)

649,447

667,495

3.536% 4/1/40 (h)

524,888

538,335

3.537% 3/1/33 (h)

8,846

9,335

3.587% 4/1/40 (h)

450,000

462,460

3.618% 2/1/40 (h)

1,119,316

1,152,955

3.938% 6/1/35 (h)

100,684

105,300

4.5% 8/1/18

2,135,640

2,260,446

5% 3/1/19

3,201,410

3,430,328

5.402% 1/1/36 (h)

401,157

418,973

5.585% 10/1/35 (h)

66,059

69,155

U.S. Government Agency - Mortgage Securities - continued

 

Principal Amount

Value

Freddie Mac - continued

8.5% 9/1/24 to 8/1/27

$ 51,190

$ 57,596

11.5% 10/1/15

3,044

3,421

TOTAL FREDDIE MAC

10,196,408

Government National Mortgage Association - 0.0%

7% 7/15/28 to 11/15/28

209,921

232,895

7.5% 2/15/28 to 10/15/28

4,626

5,066

8% 6/15/24 to 10/15/24

4,936

5,416

8.5% 5/15/17 to 10/15/21

65,890

73,279

11% 7/20/19 to 8/20/19

3,291

3,956

TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION

320,612

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $41,674,250)

43,032,381

Asset-Backed Securities - 6.3%

 

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

155,386

91,140

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

12,149

34

ACE Securities Corp. Home Equity Loan Trust:

Series 2004-HE1:

Class M1, 1.0928% 3/25/34 (h)

16,284

15,457

Class M2, 1.9928% 3/25/34 (h)

60,000

39,440

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

24,226

21,636

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

10,654

276

Series 2006-OP1:

Class M4, 0.7128% 4/25/36 (h)

19,400

536

Class M5, 0.7328% 4/25/36 (h)

6,221

45

Advanta Business Card Master Trust:

Series 2005-A2 Class A2, 0.4697% 5/20/13 (h)

137,336

135,232

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

64,090

63,108

Series 2006-A7 Class A7, 0.3597% 10/20/12 (h)

62,869

61,906

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

18,559

406

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

56,918

56,046

Series 2007-D1 Class D, 1.7397% 1/22/13 (d)(h)

1,065,000

0

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

18,534

18,522

Asset-Backed Securities - continued

 

Principal Amount

Value

Ally Auto Receivables Trust:

Series 2009 B Class A3, 1.98% 10/15/13 (d)

$ 1,110,000

$ 1,116,888

Series 2009-A:

Class A3, 2.33% 6/17/13 (d)

280,000

283,449

Class A4, 3% 10/15/15 (d)

280,000

286,375

Series 2010-1 Class A4, 2.3% 12/15/14

930,000

932,962

Ally Master Owner Trust:

Series 2010-1 Class A, 2.0869% 1/15/15 (d)(h)

1,720,000

1,744,592

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

660,000

676,366

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

16,440

16,553

AmeriCredit Prime Automobile Receivables Trust:

Series 2007-1 Class D, 5.62% 9/30/14

128,000

126,653

Series 2007-2M Class A3, 5.22% 6/8/12

16,278

16,415

Ameriquest Mortgage Securities, Inc. pass-thru certificates:

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

12,347

7,827

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

17,493

2,185

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

176,341

131,911

Argent Securities, Inc. pass-thru certificates:

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

4,092

2,857

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

63,962

38,229

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

185,706

88,487

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

169,201

53,519

Asset Backed Securities Corp. Home Equity Loan Trust:

Series 2004-HE2 Class M1, 1.1678% 4/25/34 (h)

228,192

139,755

Series 2006-HE2 Class M1, 0.7128% 3/25/36 (h)

33,000

1,952

Axon Financial Funding Ltd. 5.96% 4/4/17 (b)(d)(h)

842,000

8

Bank of America Auto Trust:

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

500,000

520,743

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

400,000

404,589

Series 2009-3A Class A3, 1.67% 12/16/13 (d)

1,100,000

1,106,333

Bear Stearns Asset Backed Securities I Trust Series 2005-HE2 Class M2, 1.0928% 2/25/35 (h)

427,000

217,721

Brazos Higher Education Authority, Inc. Student Loan Rev. Series 2006 A2R, 1.0006% 12/1/41 (h)

153,101

152,866

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

187,293

177,929

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

32,230

31,598

Capital Auto Receivables Asset Trust:

Series 2006-2:

Class B, 5.07% 12/15/11

277,000

279,960

Asset-Backed Securities - continued

 

Principal Amount

Value

Capital Auto Receivables Asset Trust: - continued

Series 2006-2:

Class C, 5.31% 6/15/12

$ 203,000

$ 206,259

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

72,000

75,396

Series 2007-SN1 Class D, 6.05% 1/17/12

35,000

35,032

Series 2007-SN2 Class A4, 1.3669% 5/16/11 (d)(h)

1,775,902

1,777,342

Capital One Auto Finance Trust:

Series 2007-B Class A3A, 5.03% 4/15/12

18,219

18,292

Series 2007-C Class A4, 5.23% 7/15/14

660,000

690,587

Capital One Multi-Asset Execution Trust:

Series 2007-C3 Class C3, 0.6269% 4/15/13 (d)(h)

331,000

330,855

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

400,000

434,557

Capital Trust Ltd. Series 2004-1:

Class A2, 0.7897% 7/20/39 (d)(h)

52,147

6,388

Class B, 1.0897% 7/20/39 (d)(h)

30,070

2,030

Class C, 1.4397% 7/20/39 (d)(h)

38,684

967

CarMax Auto Owner Trust:

Series 2007-2 Class C, 5.61% 11/15/13

105,000

108,400

Series 2009-2 Class A3, 1.74% 4/15/14

380,000

381,914

Carmax Auto Owner Trust Series 2010-1 Class A3, 1.56% 7/15/14

230,000

230,187

Carrington Mortgage Loan Trust:

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

130,038

25,381

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

48,500

912

Series 2006-NC3 Class M10, 2.3428% 8/25/36 (d)(h)

215,000

5,362

Series 2006-NC4 Class M1, 0.6428% 10/25/36 (h)

28,000

5,586

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

21,243

856

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

205,465

73,485

Cendant Timeshare Receivables Funding LLC:

Series 2005 1A Class 2A2, 0.5197% 5/20/17 (d)(h)

18,340

16,308

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

63,267

63,188

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

400,000

432,777

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

1,250,000

1,247,513

Citibank Credit Card Issuance Trust:

Series 2007-B6 Class B6, 5% 11/8/12

900,000

913,222

Series 2008-A5 Class A5, 4.85% 4/22/15

700,000

757,399

Series 2009-A5 Class A5, 2.25% 12/23/14

2,070,000

2,094,179

CitiFinancial Auto Issuance Trust Series 2009-1 Class A3, 2.59% 10/15/13 (d)

1,100,000

1,110,685

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

87,242

3,471

Asset-Backed Securities - continued

 

Principal Amount

Value

Countrywide Asset-Backed Certificates Trust:

Series 2007-11 Class 2A1, 0.4028% 6/25/47 (h)

$ 14,936

$ 14,357

Series 2007-4 Class A1A, 0.3661% 9/25/37 (h)

87,079

81,676

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

37,648

0

Countrywide Home Loans, Inc.:

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

18,137

6,736

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

50,135

17,190

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

121,378

109,599

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

18,890

18,156

CPS Auto Receivables Trust:

Series 2006-D Class A4, 5.115% 8/15/13 (d)

78,846

80,064

Series 2007-C Class A3, 5.43% 5/15/12 (d)

14,095

14,220

DB Master Finance LLC Series 2006-1 Class M1, 8.285% 6/20/31 (d)

536,000

495,950

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

4,436

3,841

Fieldstone Mortgage Investment Corp.:

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

33,155

12,386

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

581,111

184,225

First Franklin Mortgage Loan Trust Series 2006-FF12 Class A2, 0.3828% 9/25/36 (h)

663

661

Ford Credit Auto Owner Trust:

Series 2006-B:

Class C, 5.68% 6/15/12

310,000

320,322

Class D, 7.26% 2/15/13 (d)

850,000

882,540

Series 2006-C:

Class B, 5.3% 6/15/12

78,000

81,172

Class D, 6.89% 5/15/13 (d)

439,000

460,817

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

310,000

330,652

Series 2009-B Class A3, 2.79% 8/15/13

500,000

509,063

Series 2009-C Class A4, 4.43% 11/15/14

520,000

551,686

Series 2009-D Class A4, 2.98% 8/15/14

300,000

308,999

Series 2009-E Class A3, 1.51% 1/15/14

700,000

701,789

Ford Credit Floorplan Master Owner Trust:

Series 2006-4 Class B, 0.8869% 6/15/13 (h)

88,000

85,435

Series 2010-1 Class A, 1.9869% 12/15/14 (d)(h)

1,200,000

1,213,175

Franklin Auto Trust:

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

9,000

9,097

Series 2007-1:

Class A4, 5.03% 2/16/15

62,000

63,352

Class C, 5.43% 2/16/15

77,000

74,581

Asset-Backed Securities - continued

 

Principal Amount

Value

Fremont Home Loan Trust:

Series 2005-A:

Class M3, 0.8328% 1/25/35 (h)

$ 81,136

$ 28,827

Class M4, 1.0228% 1/25/35 (h)

41,438

5,482

Series 2006-D Class M1, 0.5728% 11/25/36 (h)

40,000

730

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

335,000

229,736

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

258,573

206,858

GE Business Loan Trust:

Series 2003-1 Class A, 0.7669% 4/15/31 (d)(h)

32,481

28,584

Series 2006-2A:

Class A, 0.5169% 11/15/34 (d)(h)

283,123

226,499

Class B, 0.6169% 11/15/34 (d)(h)

102,726

61,636

Class C, 0.7169% 11/15/34 (d)(h)

169,540

67,816

Class D, 1.0869% 11/15/34 (d)(h)

64,308

15,434

GE Capital Credit Card Master Note Trust Series 2009-3 Class A, 2.54% 9/15/14

1,600,000

1,615,961

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

137,000

134,526

Goal Capital Funding Trust Series 2007-1 Class C1, 0.6835% 6/25/42 (h)

92,000

68,210

GS Auto Loan Trust:

Series 2006-1 Class D, 6.25% 1/15/14 (d)

43,758

43,916

Series 2007-1:

Class B, 5.53% 12/15/14

8,052

8,207

Class C, 5.74% 12/15/14

16,991

16,850

GSAMP Trust:

Series 2004-AR1:

Class B4, 5% 6/25/34 (d)(h)

63,875

9,694

Class M1, 0.9928% 6/25/34 (h)

253,008

155,673

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

100,732

5,336

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

42,508

643

Guggenheim Structured Real Estate Funding Ltd.:

Series 2005-1 Class C, 1.4228% 5/25/30 (d)(h)

75,224

18,806

Series 2006-3:

Class B, 0.7428% 9/25/46 (d)(h)

74,651

14,930

Class C, 0.8928% 9/25/46 (d)(h)

174,018

26,103

Home Equity Asset Trust:

Series 2003-2 Class M1, 1.6628% 8/25/33 (h)

59,400

31,654

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

71,587

49,437

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

2,817

1,736

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

13,849

13,575

Asset-Backed Securities - continued

 

Principal Amount

Value

Home Equity Asset Trust: - continued

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

$ 201,609

$ 193,520

Series 2006-8 Class 2A1, 0.3928% 3/25/37 (h)

1,483

1,422

Honda Auto Receivables Owner Trust:

Series 2010-1 Class A4, 1.98% 5/23/16

250,000

251,758

Series 2010-2 Class A4, 1.92% 6/18/13

1,300,000

1,297,341

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

71,840

53,809

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

141,116

51,203

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

350,000

353,980

John Deere Owner Trust Series 2009-B Class A-3, 1.57% 10/15/13

970,000

973,719

JPMorgan Mortgage Acquisition Trust:

Series 2006-NC2 Class M2, 0.6428% 7/25/36 (h)

25,000

590

Series 2007-CH1:

Class AV4, 0.4728% 10/25/36 (h)

176,698

142,886

Class MV1, 0.5728% 10/25/36 (h)

143,100

52,266

Series 2007-CH3 Class M1, 0.6428% 3/25/37 (h)

71,000

3,362

Keycorp Student Loan Trust:

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

74,909

62,271

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

392,000

94,455

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

31,594

3

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

339,389

344,780

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

22,653

16,046

Marriott Vacation Club Owner Trust Series 2006-2A:

Class B, 5.442% 10/20/28 (d)

2,721

2,471

Class C, 5.691% 10/20/28 (d)

1,361

1,109

Class D, 6.01% 10/20/28 (d)

14,627

11,249

MASTR Asset Backed Securities Trust:

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

63,216

2,038

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

89,453

4,300

Meritage Mortgage Loan Trust Series 2004-1 Class M1, 1.0928% 7/25/34 (h)

25,313

11,147

Merrill Auto Trust Securitization Series 2007-1 Class B, 5.79% 12/16/13

32,405

32,915

Merrill Lynch Mortgage Investors Trust:

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

91,588

65,621

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

209,859

184,999

Asset-Backed Securities - continued

 

Principal Amount

Value

Merrill Lynch Mortgage Investors Trust: - continued

Series 2006-MLN1 Class A2A, 0.4128% 7/25/37 (h)

$ 3,535

$ 3,487

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

356,466

234,965

Morgan Stanley ABS Capital I Trust:

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

4,895

3,696

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

45,571

21,516

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

47,458

10,536

Series 2007-HE2 Class M1, 0.5928% 1/25/37 (h)

33,000

838

National Collegiate Funding LLC Series 2004-GT1 Class IO1, 7.87% 6/25/10 (d)(h)(j)

543,000

4,616

National Collegiate Student Loan Trust:

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

430,400

78,010

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

58,000

2,152

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

29,000

1,890

Series 2006-3:

Class A1, 0.3728% 9/25/19 (h)

4,440

4,429

Class AIO, 7.1% 1/25/12 (j)

46,000

4,595

Series 2006-4:

Class A1, 0.3728% 3/25/25 (h)

59,136

58,227

Class AIO, 6.35% 2/27/12 (j)

147,000

14,584

Class D, 1.4428% 5/25/32 (h)

300,000

8,633

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

198,000

24,923

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

168,000

22,246

New Century Home Equity Loan Trust:

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

162,650

67,601

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

99,892

10,800

Nissan Auto Lease Trust:

Series 2009-A Class A3, 2.92% 12/15/11

400,000

405,293

Series 2009-B Class A3, 2.07% 1/15/15

550,000

555,428

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

12,231

12,142

Ocala Funding LLC Series 2006-1A Class A, 1.7397% 3/20/11 (b)(d)(h)

134,000

49,580

Option One Mortgage Loan Trust:

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

3,565

3,464

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

5,898

5,636

Park Place Securities, Inc.:

Series 2004-WCW1:

Class M3, 1.5928% 9/25/34 (h)

60,741

25,888

Class M4, 1.7928% 9/25/34 (h)

77,891

13,246

Series 2005-WCH1:

Class M2, 0.8628% 1/25/36 (h)

308,921

250,243

Asset-Backed Securities - continued

 

Principal Amount

Value

Park Place Securities, Inc.: - continued

Series 2005-WCH1:

Class M3, 0.9028% 1/25/36 (h)

$ 54,533

$ 32,676

Class M4, 1.1728% 1/25/36 (h)

126,217

38,145

Series 2005-WHQ2:

Class M7, 1.5928% 5/25/35 (h)

456,374

7,500

Class M9, 2.2228% 5/25/35 (h)

33,554

82

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

400,093

397,470

Rental Car Finance Corp. Series 2005-1A Class A2, 4.59% 6/25/11 (d)

11,000

11,005

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

64,000

2,235

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

582

481

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

194,548

128,724

Securitized Asset Backed Receivables LLC Trust:

Series 2005-FR4 Class B3, 2.0628% 1/25/36 (h)

12,000

228

Series 2006-FR4 Class A2A, 0.4228% 8/25/36 (h)

6,890

3,495

Series 2007-NC1 Class A2A, 0.3928% 12/25/36 (h)

3,338

3,247

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

106,761

99,380

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

145,000

18,902

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

81,826

0

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

8,732

1,301

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

32,395

27,041

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

138,687

136,741

Swift Master Auto Receivables Trust:

Series 2007-1:

Class A, 0.4369% 6/15/12 (h)

412,000

411,847

Class B, 0.5569% 6/15/12 (h)

53,000

52,958

Class C, 0.8369% 6/15/12 (h)

32,000

31,967

Series 2007-2 Class A, 0.9869% 10/15/12 (h)

557,000

555,167

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

2,472

1,752

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

306,163

15,308

Asset-Backed Securities - continued

 

Principal Amount

Value

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

$ 84,603

$ 86,549

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

313,225

312,732

USAA Auto Owner Trust:

Series 2009-1 Class A4, 4.77% 9/15/14

460,000

490,882

Series 2009-2 Class A3, 1.54% 10/15/12

920,000

924,534

Volkswagen Auto Lease Trust Series 2009-A Class A3, 3.41% 4/16/12

700,000

714,877

Wachovia Auto Loan Owner Trust:

Series 2006-1 Class A4, 5.08% 4/20/12 (d)

36,278

36,578

Series 2006-2A:

Class B, 5.29% 6/20/12 (d)

51,000

51,756

Class D, 5.54% 12/20/12 (d)

73,000

73,780

Class E, 7.05% 5/20/14 (d)

716,000

715,212

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

75,976

0

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

7,050

122

WaMu Master Note Trust:

Series 2006-C2A Class C2, 0.8369% 8/15/15 (d)(h)

788,019

778,708

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

791,000

803,099

Series 2007-A5A Class A5, 1.0869% 10/15/14 (d)(h)

120,000

120,097

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

646

0

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

203,978

67,313

TOTAL ASSET-BACKED SECURITIES

(Cost $42,619,577)

43,091,451

Collateralized Mortgage Obligations - 3.0%

 

Private Sponsor - 1.8%

Arkle Master Issuer PLC floater Series 2006-1A Class 4A1, 0.5259% 2/17/52 (d)(h)

1,600,000

1,582,941

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

162,551

89,403

Banc of America Funding Corp. sequential payer Series 2010-R4 Class 2A1, 4.5% 3/26/37 (d)

627,593

632,502

Banc of America Mortgage Securities, Inc.:

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

176,411

161,345

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

130,396

116,518

Collateralized Mortgage Obligations - continued

 

Principal Amount

Value

Private Sponsor - continued

Banc of America Mortgage Securities, Inc.: - continued

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

$ 38,811

$ 34,236

Series 2004-B:

Class 1A1, 2.9236% 3/25/34 (h)

15,817

13,660

Class 2A2, 3.0591% 3/25/34 (h)

113,543

103,454

Series 2004-D Class 2A2, 3.3908% 5/25/34 (h)

265,583

243,497

Series 2004-G Class 2A7, 3.9212% 8/25/34 (h)

238,129

207,124

Series 2004-H Class 2A1, 3.7527% 9/25/34 (h)

213,135

186,996

Bear Stearns Commercial Mortgage Securities Trust Series 2006-T24 Class X2, 0.6081% 10/12/41 (d)(h)(j)

564,174

6,913

Chase Mortgage Finance Trust Series 2007-A1 Class 1A5, 3.5182% 2/25/37 (h)

119,335

112,492

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

216,000

222,068

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

241,000

48,200

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

216,000

211,063

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

1,717

1,635

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

292,811

281,269

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

11,464

11,214

Fosse Master Issuer PLC floater Series 2006-1A:

Class B2, 0.4644% 10/18/54 (d)(h)

404,000

394,344

Class C2, 0.7744% 10/18/54 (d)(h)

135,000

129,492

Class M2, 0.5544% 10/18/54 (d)(h)

232,000

223,532

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

379,000

356,108

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

355,000

345,216

Granite Master Issuer PLC floater:

Series 2005-4 Class C2, 0.8897% 12/20/54 (h)

25,291

10,749

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

578,000

265,880

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

463,000

189,830

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

128,000

55,069

Series 2006-4:

Class B1, 0.4297% 12/20/54 (h)

521,000

385,540

Class C1, 0.7197% 12/20/54 (h)

319,000

137,170

Collateralized Mortgage Obligations - continued

 

Principal Amount

Value

Private Sponsor - continued

Granite Master Issuer PLC floater: - continued

Series 2006-4:

Class M1, 0.5097% 12/20/54 (h)

$ 137,000

$ 86,995

Series 2007-1:

Class 1C1, 0.6397% 12/20/54 (h)

258,000

108,360

Class 1M1, 0.4897% 12/20/54 (h)

172,000

106,640

Class 2C1, 0.7697% 12/20/54 (h)

117,000

49,140

Class 2M1, 0.5897% 12/20/54 (h)

222,000

137,640

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

308,000

130,900

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

36,767

20,015

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

33,554

19,958

JPMorgan Chase Commercial Mortgage Securities Trust Series 2007-CB18:

Class A1, 5.32% 6/12/47 (h)

16,801

17,166

Class A3, 5.447% 6/12/47 (h)

410,000

413,083

JPMorgan Mortgage Trust:

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

157,897

152,158

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

220,595

207,444

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

102,341

62,135

MASTR Asset Backed Securities Trust Series 2006-NC3 Class M1, 0.5728% 10/25/36 (h)

68,000

365

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

183,358

102,884

Merrill Lynch Floating Trust floater Series 2006-1:

Class B, 0.507% 6/15/22 (d)(h)

28,707

25,836

Class C, 0.527% 6/15/22 (d)(h)

181,170

157,618

Class D, 0.537% 6/15/22 (d)(h)

69,853

59,375

Class E, 0.547% 6/15/22 (d)(h)

111,337

86,843

Class F, 0.577% 6/15/22 (d)(h)

177,078

131,038

Class G, 0.647% 6/15/22 (d)(h)

41,484

29,039

Class H, 0.667% 6/15/22 (d)(h)

83,046

53,980

Class J, 0.707% 6/15/22 (d)(h)

97,221

53,472

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

925,000

959,870

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

277,584

16,870

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

258,000

257,781

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

583,471

507,780

Collateralized Mortgage Obligations - continued

 

Principal Amount

Value

Private Sponsor - continued

RESI Finance LP/RESI Finance DE Corp. floater:

Series 2003-B:

Class B5, 2.6471% 7/10/35 (d)(h)

$ 248,797

$ 133,554

Class B6, 3.1471% 7/10/35 (d)(h)

413,899

217,173

Series 2004-A:

Class B4, 1.4971% 2/10/36 (d)(h)

75,028

39,390

Class B5, 1.9971% 2/10/36 (d)(h)

50,014

26,418

Series 2004-B:

Class B4, 1.3971% 2/10/36 (d)(h)

62,554

32,015

Class B5, 1.8471% 2/10/36 (d)(h)

45,241

19,969

Class B6, 2.2971% 2/10/36 (d)(h)

16,491

5,447

Series 2004-C:

Class B4, 1.2471% 9/10/36 (d)(h)

84,022

43,985

Class B5, 1.6471% 9/10/36 (d)(h)

92,722

41,512

Class B6, 2.0471% 9/10/36 (d)(h)

16,839

5,356

Residential Asset Mortgage Products, Inc. sequential payer:

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

138,419

136,580

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

10,736

9,429

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

49,642

40,887

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

4,754

2,452

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

280,140

148,292

Wells Fargo Mortgage Backed Securities Trust:

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

175,389

171,968

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

131,685

126,173

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

93,771

86,324

Series 2005-AR2 Class 2A2, 2.8787% 3/25/35 (h)

400,632

366,936

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

232,325

210,288

TOTAL PRIVATE SPONSOR

12,577,993

U.S. Government Agency - 1.2%

Fannie Mae subordinate REMIC pass-thru certificates:

planned amortization class:

Series 2002-9 Class PC, 6% 3/25/17

85,265

92,650

Series 2005-67 Class HD, 5.5% 12/25/30

1,920,286

2,010,081

Series 2006-4 Class PB, 6% 9/25/35

1,330,227

1,445,449

sequential payer:

Series 2002-56 Class MC, 5.5% 9/25/17

300,042

323,115

Collateralized Mortgage Obligations - continued

 

Principal Amount

Value

U.S. Government Agency - continued

Fannie Mae subordinate REMIC pass-thru certificates: - continued

sequential payer:

Series 2004-86 Class KC, 4.5% 5/25/19

$ 231,992

$ 243,852

Freddie Mac planned amortization class Series 2104 Class PG, 6% 12/15/28

570,843

623,810

Freddie Mac Multi-class participation certificates guaranteed planned amortization class:

Series 2356 Class GD, 6% 9/15/16

309,760

332,562

Series 2363 Class PF, 6% 9/15/16

407,063

436,620

Series 3033 Class UD, 5.5% 10/15/30

806,000

843,303

Series 3049 Class DB, 5.5% 6/15/31

1,810,370

1,899,773

TOTAL U.S. GOVERNMENT AGENCY

8,251,215

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $17,802,409)

20,829,208

Commercial Mortgage Securities - 5.4%

 

Asset Securitization Corp. Series 1997-D5:

Class A-6, 7.1896% 2/14/43 (h)

253,000

268,571

Class A2, 7.1508% 2/14/43 (h)

159,000

172,919

Class A3, 7.2008% 2/14/43 (h)

172,000

185,036

Class PS1, 1.5207% 2/14/43 (h)(j)

681,123

21,948

Banc of America Commercial Mortgage Trust:

sequential payer:

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

252,000

267,030

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

66,884

67,630

Series 2006-5:

Class A1, 5.185% 9/10/47

98,999

100,092

Class A3, 5.39% 9/10/47

301,000

302,293

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

432,000

438,040

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

58,463

60,266

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

215,000

219,389

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

125,000

18,964

Series 2007-3 Class A3, 5.837% 6/10/49 (h)

361,000

373,609

Banc of America Commercial Mortgage, Inc.:

sequential payer:

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

14,778

14,774

Series 2004-2:

Class A3, 4.05% 11/10/38

268,308

272,042

Class A4, 4.153% 11/10/38

274,000

276,856

Commercial Mortgage Securities - continued

 

Principal Amount

Value

Banc of America Commercial Mortgage, Inc.: - continued

sequential payer:

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

$ 33,867

$ 33,848

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

178,760

180,138

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

121,000

118,758

Series 2001-PB1:

Class J, 7.166% 5/11/35 (d)

54,000

51,235

Class K, 6.15% 5/11/35 (d)

100,000

88,101

Series 2003-2 Class XP, 0.4312% 3/11/41 (d)(h)(j)

2,024,064

3,420

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

389,000

398,795

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

130,000

40,315

Banc of America Large Loan, Inc. floater:

Series 2005-MIB1:

Class C, 0.6469% 3/15/22 (d)(h)

93,000

81,840

Class D, 0.6969% 3/15/22 (d)(h)

94,000

80,840

Class E, 0.7369% 3/15/22 (d)(h)

78,000

65,520

Class F, 0.8069% 3/15/22 (d)(h)

70,189

55,449

Class G, 0.8669% 3/15/22 (d)(h)

45,493

32,755

Series 2006-BIX1:

Class C, 0.5169% 10/15/19 (d)(h)

139,000

120,930

Class D, 0.5469% 10/15/19 (d)(h)

170,000

144,500

Class E, 0.5769% 10/15/19 (d)(h)

157,000

130,310

Class F, 0.6469% 10/15/19 (d)(h)

360,653

277,703

Class G, 0.6669% 10/15/19 (d)(h)

144,054

97,957

Bayview Commercial Asset Trust:

floater:

Series 2003-2 Class M1, 1.1928% 12/25/33 (d)(h)

9,751

5,851

Series 2004-1:

Class A, 0.7028% 4/25/34 (d)(h)

141,763

111,993

Class B, 2.2428% 4/25/34 (d)(h)

19,454

9,727

Class M1, 0.9028% 4/25/34 (d)(h)

15,763

10,719

Class M2, 1.5428% 4/25/34 (d)(h)

14,594

8,464

Series 2004-2:

Class A, 0.7728% 8/25/34 (d)(h)

135,993

108,114

Class M1, 0.9228% 8/25/34 (d)(h)

22,300

14,272

Series 2004-3:

Class A1, 0.7128% 1/25/35 (d)(h)

250,500

197,895

Class A2, 0.7628% 1/25/35 (d)(h)

43,390

29,072

Class M1, 0.8428% 1/25/35 (d)(h)

52,444

34,089

Class M2, 1.3428% 1/25/35 (d)(h)

23,653

14,665

Series 2005-2A:

Class A1, 0.6528% 8/25/35 (d)(h)

194,945

137,007

Commercial Mortgage Securities - continued

 

Principal Amount

Value

Bayview Commercial Asset Trust: - continued

floater:

Series 2005-2A:

Class M1, 0.7728% 8/25/35 (d)(h)

$ 11,487

$ 5,694

Class M2, 0.8228% 8/25/35 (d)(h)

18,946

8,825

Class M3, 0.8428% 8/25/35 (d)(h)

10,482

4,595

Class M4, 0.9528% 8/25/35 (d)(h)

9,622

3,957

Series 2005-3A:

Class A1, 0.6628% 11/25/35 (d)(h)

84,503

61,223

Class A2, 0.7428% 11/25/35 (d)(h)

85,089

57,009

Class M1, 0.7828% 11/25/35 (d)(h)

9,995

4,960

Class M2, 0.8328% 11/25/35 (d)(h)

12,689

5,978

Class M3, 0.8528% 11/25/35 (d)(h)

11,357

5,050

Class M4, 0.9428% 11/25/35 (d)(h)

14,149

5,909

Series 2005-4A:

Class A2, 0.7328% 1/25/36 (d)(h)

195,731

131,140

Class B1, 1.7428% 1/25/36 (d)(h)

16,915

5,920

Class M1, 0.7928% 1/25/36 (d)(h)

63,139

34,727

Class M2, 0.8128% 1/25/36 (d)(h)

18,942

9,471

Class M3, 0.8428% 1/25/36 (d)(h)

27,663

13,002

Class M4, 0.9528% 1/25/36 (d)(h)

15,299

6,426

Class M5, 0.9928% 1/25/36 (d)(h)

15,299

6,120

Class M6, 1.0428% 1/25/36 (d)(h)

16,250

6,175

Series 2006-1:

Class A2, 0.7028% 4/25/36 (d)(h)

30,196

18,507

Class M1, 0.7228% 4/25/36 (d)(h)

10,800

4,963

Class M2, 0.7428% 4/25/36 (d)(h)

11,411

4,910

Class M3, 0.7628% 4/25/36 (d)(h)

9,818

3,973

Class M4, 0.8628% 4/25/36 (d)(h)

5,564

2,114

Class M5, 0.9028% 4/25/36 (d)(h)

5,400

1,919

Class M6, 0.9828% 4/25/36 (d)(h)

10,767

3,610

Series 2006-2A:

Class A1, 0.5728% 7/25/36 (d)(h)

473,259

327,212

Class A2, 0.6228% 7/25/36 (d)(h)

27,188

18,216

Class B1, 1.2128% 7/25/36 (d)(h)

10,180

3,032

Class B3, 3.0428% 7/25/36 (d)(h)

15,380

4,206

Class M1, 0.6528% 7/25/36 (d)(h)

28,526

12,577

Class M2, 0.6728% 7/25/36 (d)(h)

20,126

8,272

Class M3, 0.6928% 7/25/36 (d)(h)

16,694

6,371

Class M4, 0.7628% 7/25/36 (d)(h)

11,273

4,014

Class M5, 0.8128% 7/25/36 (d)(h)

13,856

4,671

Class M6, 0.8828% 7/25/36 (d)(h)

20,673

6,677

Series 2006-3A:

Class B1, 1.1428% 10/25/36 (d)(h)

17,875

3,575

Class B2, 1.6928% 10/25/36 (d)(h)

12,893

2,321

Commercial Mortgage Securities - continued

 

Principal Amount

Value

Bayview Commercial Asset Trust: - continued

floater:

Series 2006-3A:

Class B3, 2.9428% 10/25/36 (d)(h)

$ 20,981

$ 3,777

Class M4, 0.7728% 10/25/36 (d)(h)

19,756

5,927

Class M5, 0.8228% 10/25/36 (d)(h)

23,650

6,386

Class M6, 0.9028% 10/25/36 (d)(h)

46,294

10,648

Series 2006-4A:

Class A1, 0.5728% 12/25/36 (d)(h)

102,948

72,095

Class A2, 0.6128% 12/25/36 (d)(h)

432,829

213,947

Class B1, 1.0428% 12/25/36 (d)(h)

15,914

3,476

Class B2, 1.5928% 12/25/36 (d)(h)

16,374

3,286

Class B3, 2.7928% 12/25/36 (d)(h)

27,162

4,927

Class M1, 0.6328% 12/25/36 (d)(h)

33,187

11,280

Class M2, 0.6528% 12/25/36 (d)(h)

22,351

7,049

Class M3, 0.6828% 12/25/36 (d)(h)

22,351

6,600

Class M4, 0.7428% 12/25/36 (d)(h)

26,414

7,343

Class M5, 0.7828% 12/25/36 (d)(h)

25,060

6,521

Class M6, 0.8628% 12/25/36 (d)(h)

22,351

5,369

Series 2007-1:

Class A2, 0.6128% 3/25/37 (d)(h)

114,850

74,653

Class B1, 1.0128% 3/25/37 (d)(h)

36,596

8,417

Class B2, 1.4928% 3/25/37 (d)(h)

26,455

5,026

Class B3, 3.6928% 3/25/37 (d)(h)

72,010

12,242

Class M1, 0.6128% 3/25/37 (d)(h)

32,142

13,821

Class M2, 0.6328% 3/25/37 (d)(h)

24,110

9,162

Class M3, 0.6628% 3/25/37 (d)(h)

21,695

7,159

Class M4, 0.7128% 3/25/37 (d)(h)

17,219

5,166

Class M5, 0.7628% 3/25/37 (d)(h)

27,311

7,647

Class M6, 0.8428% 3/25/37 (d)(h)

37,759

9,440

Series 2007-2A:

Class A1, 0.6128% 7/25/37 (d)(h)

101,948

74,422

Class A2, 0.6628% 7/25/37 (d)(h)

95,313

50,516

Class B1, 1.9428% 7/25/37 (d)(h)

29,173

4,959

Class B2, 2.5928% 7/25/37 (d)(h)

25,773

4,381

Class B3, 3.6928% 7/25/37 (d)(h)

28,681

5,019

Class M1, 0.7128% 7/25/37 (d)(h)

33,470

12,812

Class M2, 0.7528% 7/25/37 (d)(h)

18,082

5,696

Class M3, 0.8328% 7/25/37 (d)(h)

18,241

5,107

Class M4, 0.9928% 7/25/37 (d)(h)

37,180

8,923

Class M5, 1.0928% 7/25/37 (d)(h)

32,756

6,879

Class M6, 1.3428% 7/25/37 (d)(h)

40,945

7,575

Series 2007-3:

Class A2, 0.6328% 7/25/37 (d)(h)

106,967

54,799

Class B1, 1.2928% 7/25/37 (d)(h)

26,319

5,195

Commercial Mortgage Securities - continued

 

Principal Amount

Value

Bayview Commercial Asset Trust: - continued

floater:

Series 2007-3:

Class B2, 1.9428% 7/25/37 (d)(h)

$ 66,112

$ 11,213

Class B3, 4.3428% 7/25/37 (d)(h)

34,812

5,239

Class M1, 0.6528% 7/25/37 (d)(h)

23,729

8,924

Class M2, 0.6828% 7/25/37 (d)(h)

25,458

8,870

Class M3, 0.7128% 7/25/37 (d)(h)

39,274

12,847

Class M4, 0.8428% 7/25/37 (d)(h)

62,142

18,108

Class M5, 0.9428% 7/25/37 (d)(h)

32,302

8,008

Class M6, 1.1428% 7/25/37 (d)(h)

24,469

5,696

Series 2007-4A:

Class B1, 2.8928% 9/25/37 (d)(h)

38,704

5,031

Class B2, 3.7928% 9/25/37 (d)(h)

140,248

16,830

Class M1, 1.2928% 9/25/37 (d)(h)

37,633

9,785

Class M2, 1.3928% 9/25/37 (d)(h)

37,633

8,279

Class M4, 1.9428% 9/25/37 (d)(h)

94,896

17,081

Class M5, 2.0928% 9/25/37 (d)(h)

94,896

14,234

Class M6, 2.2928% 9/25/37 (d)(h)

94,979

13,297

Series 2004-1 Class IO, 1.25% 4/25/34 (d)(j)

554,584

20,464

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

1,257,451

134,547

Bear Stearns Commercial Mortgage Securities Trust:

floater:

Series 2006-BBA7:

Class G, 0.7769% 3/15/19 (d)(h)

91,801

45,901

Class H, 0.9869% 3/15/19 (d)(h)

61,770

25,326

Class J, 1.1869% 3/15/19 (d)(h)

46,405

17,634

Series 2007-BBA8:

Class D, 0.5869% 3/15/22 (d)(h)

76,569

49,695

Class E, 0.6369% 3/15/22 (d)(h)

394,020

241,954

Class F, 0.6869% 3/15/22 (d)(h)

241,475

139,520

Class G, 0.7369% 3/15/22 (d)(h)

62,931

34,622

Class H, 0.8869% 3/15/22 (d)(h)

76,569

37,805

Class J, 1.0369% 3/15/22 (d)(h)

76,569

31,042

sequential payer:

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

84,969

86,474

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

227,997

232,422

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

192,269

195,771

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

112,255

114,105

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

61,070

62,494

Series 2003-PWR2 Class X2, 0.5984% 5/11/39 (d)(h)(j)

1,674,203

11,217

Series 2003-T12 Class X2, 0.6287% 8/13/39 (d)(h)(j)

5,627,707

50,506

Commercial Mortgage Securities - continued

 

Principal Amount

Value

Bear Stearns Commercial Mortgage Securities Trust: - continued

Series 2006-PW14 Class X2, 0.8482% 12/11/38 (d)(h)(j)

$ 2,926,870

$ 57,346

Series 2006-T22 Class A1, 5.415% 4/12/38 (h)

24,088

24,131

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

53,189

54,289

Series 2007-PW16:

Class B, 5.9076% 6/11/40 (d)(h)

35,000

12,581

Class C, 5.9076% 6/11/40 (d)(h)

29,000

8,978

Class D, 5.9076% 6/11/40 (d)(h)

29,000

7,531

Series 2007-PW18 Class X2, 0.4862% 6/11/50 (d)(h)(j)

20,177,207

270,098

Series 2007-T28:

Class A1, 5.422% 9/11/42

34,063

35,186

Class X2, 0.3328% 9/11/42 (d)(h)(j)

10,091,126

82,622

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

111,140

67,166

CDC Commercial Mortgage Trust Series 2002-FX1:

Class G, 6.625% 5/15/35 (d)

254,000

267,827

Class XCL, 2.3619% 5/15/35 (d)(h)(j)

2,948,909

93,976

Chase Commercial Mortgage Securities Corp.:

Series 1999-2:

Class E, 7.734% 1/15/32

87,000

86,895

Class F, 7.734% 1/15/32

47,000

46,748

Series 2001-245 Class A2, 6.4842% 2/12/16 (d)(h)

217,614

223,626

Citigroup Commercial Mortgage Trust:

floater Series 2006-FL2:

Class F, 0.6469% 8/16/21 (d)(h)

77,000

63,315

Class G, 0.6669% 8/15/21 (d)(h)

49,634

37,296

Class H, 0.7069% 8/15/21 (d)(h)

40,527

27,704

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

364,668

319,530

Citigroup/Deutsche Bank Commercial Mortgage Trust:

sequential payer Series 2007-CD4:

Class A1, 4.977% 12/11/49

42,201

42,630

Class A2A, 5.237% 12/11/49

192,000

195,778

Series 2007-CD4:

Class A3, 5.293% 12/11/49

210,000

205,968

Class C, 5.476% 12/11/49

407,000

113,960

Cobalt CMBS Commercial Mortgage Trust:

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

216,000

220,701

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

648,000

116,640

Commercial Mortgage Securities - continued

 

Principal Amount

Value

COMM pass-thru certificates:

floater:

Series 2005-F10A:

Class B, 0.5669% 4/15/17 (d)(h)

$ 484,000

$ 392,040

Class C, 0.6069% 4/15/17 (d)(h)

174,000

137,460

Class D, 0.6469% 4/15/17 (d)(h)

81,291

62,594

Class E, 0.7069% 4/15/17 (d)(h)

34,474

25,856

Class F, 0.7469% 4/15/17 (d)(h)

19,555

12,711

Class G, 0.8869% 4/15/17 (d)(h)

19,555

10,364

Class H, 0.9569% 4/15/17 (d)(h)

19,555

7,431

Class J, 1.1869% 4/15/17 (d)(h)

14,996

4,199

Series 2005-FL11:

Class C, 0.6369% 11/15/17 (d)(h)

219,690

195,524

Class D, 0.6769% 11/15/17 (d)(h)

11,516

10,134

Class E, 0.7269% 11/15/17 (d)(h)

40,306

34,663

Class F, 0.7869% 11/15/17 (d)(h)

28,227

22,864

Class G, 0.8369% 11/15/17 (d)(h)

19,566

13,305

Series 2006-FL12 Class AJ, 0.4669% 12/15/20 (d)(h)

308,000

252,560

sequential payer:

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

6,724

6,728

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

615,000

617,805

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

365,000

365,287

Series 2004-LBN2 Class X2, 1.0038% 3/10/39 (d)(h)(j)

466,489

2,886

Series 2006-C8:

Class B, 5.44% 12/10/46

374,000

131,096

Class XP, 0.6771% 12/10/46 (h)(j)

2,728,242

38,688

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

11,169

11,176

Credit Suisse Commercial Mortgage Trust:

sequential payer:

Series 2006-C5:

Class A1, 5.297% 12/15/39

52,005

52,689

Class AJ, 5.373% 12/15/39

437,000

227,037

Series 2007-C2:

Class A1, 5.269% 1/15/49

103,383

104,082

Class A3, 5.542% 1/15/49 (h)

432,000

394,420

Series 2007-C3:

Class A1, 5.664% 6/15/39 (h)

26,548

26,920

Class A4, 5.9118% 6/15/39 (h)

130,000

119,100

Series 2006-C5 Class ASP, 0.8719% 12/15/39 (h)(j)

1,732,492

34,638

Commercial Mortgage Securities - continued

 

Principal Amount

Value

Credit Suisse Commercial Mortgage Trust: - continued

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

$ 195,000

$ 173,909

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

771,000

300,690

Credit Suisse First Boston Mortgage Securities Corp.:

sequential payer:

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

216,000

226,289

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

18,307

18,691

Series 2004-C1:

Class A3, 4.321% 1/15/37

58,552

59,560

Class A4, 4.75% 1/15/37

101,000

103,090

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

20,047

20,282

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

94,202

93,974

Series 2001-CK6 Class AX, 1.1925% 8/15/36 (h)(j)

578,657

6,028

Series 2001-CKN5 Class AX, 2.3088% 9/15/34 (d)(h)(j)

1,757,073

31,098

Series 2003-C4 Class ASP, 0.6195% 8/15/36 (d)(h)(j)

1,526,633

2,190

Credit Suisse Mortgage Capital Certificates:

floater:

Series 200-TFL1 Class B, 0.4869% 2/15/22 (d)(h)

82,000

53,300

Series 2007-TFL1:

Class C:

0.5069% 2/15/22 (d)(h)

212,546

116,900

0.6069% 2/15/22 (d)(h)

75,912

34,160

Class F, 0.6569% 2/15/22 (d)(h)

151,805

60,722

sequential payer Series 2007-C1 Class A1, 5.227% 2/15/40

15,502

15,689

Series 2007-C1:

Class ASP, 0.6107% 2/15/40 (h)(j)

4,043,567

53,453

Class B, 5.487% 2/15/40 (d)(h)

330,000

37,950

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

Class D, 6.484% 3/15/33

77,000

75,435

Class G, 6.936% 3/15/33 (d)

142,000

136,246

GE Capital Commercial Mortgage Corp.:

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

1,136,000

1,040,091

Series 2001-1 Class X1, 1.255% 5/15/33 (d)(h)(j)

2,171,864

15,585

Series 2004-C1 Class X2, 1.3009% 11/10/38 (d)(h)(j)

1,489,213

8,996

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

62,000

46,063

Series 2007-C1 Class XP, 0.3803% 12/10/49 (h)(j)

4,498,693

30,903

Commercial Mortgage Securities - continued

 

Principal Amount

Value

GMAC Commercial Mortgage Securities, Inc.:

Series 2003-C3 Class X2, 0.8423% 4/10/40 (d)(h)(j)

$ 1,611,267

$ 4,926

Series 2004-C3 Class X2, 0.8072% 12/10/41 (h)(j)

5,187,583

43,252

Series 2005-C1 Class X2, 0.8502% 5/10/43 (h)(j)

988,628

9,935

Greenwich Capital Commercial Funding Corp.:

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

81,000

55,115

sequential payer:

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

102,411

103,566

Series 2007-GG11:

Class A1, 5.358% 12/10/49

229,865

237,416

Class A2, 5.597% 12/10/49

432,000

444,078

Series 2007-GG9 Class A1, 5.233% 3/10/39

921

920

Series 2003-C1 Class XP, 2.1997% 7/5/35 (d)(h)(j)

973,315

171

Series 2003-C2 Class XP, 1.0601% 1/5/36 (d)(h)(j)

1,504,010

7,262

Series 2005-GG3 Class XP, 0.6925% 8/10/42 (d)(h)(j)

4,153,960

51,285

Series 2007-GG11 Class A1, 0.4798% 12/10/49 (d)(j)

5,135,006

57,795

GS Mortgage Securities Corp. II:

floater:

Series 2006-FL8A:

Class C, 0.5247% 6/6/20 (d)(h)

11,000

8,140

Class D, 0.5647% 6/6/20 (d)(h)

52,000

32,760

Class E, 0.6547% 6/6/20 (d)(h)

60,000

36,600

Class F, 0.7247% 6/6/20 (d)(h)

95,176

55,202

Series 2007-EOP:

Class C, 0.6047% 3/6/20 (d)(h)

236,000

210,040

Class D, 0.6547% 3/6/20 (d)(h)

467,000

410,960

Class F, 0.7647% 3/6/20 (d)(h)

19,000

16,340

Class G, 0.8047% 3/6/20 (d)(h)

10,000

8,300

Class H, 0.9347% 3/6/20 (d)(h)

7,000

5,810

Class J, 1.1347% 3/6/20 (d)(h)

11,000

9,020

Series 2001-LIBA Class C, 6.733% 2/14/16 (d)

107,000

111,097

Series 2005-GG4 Class XP, 0.7072% 7/10/39 (d)(h)(j)

4,237,946

57,635

GS Mortgage Securities Trust sequential payer:

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

324,000

330,653

Series 2007-GG10:

Class A1, 5.69% 8/10/45

70,605

72,727

Class A2, 5.778% 8/10/45

103,000

105,384

Commercial Mortgage Securities - continued

 

Principal Amount

Value

JPMorgan Chase Commercial Mortgage Securities Corp.:

Series 2004-C1 Class X2, 1.1053% 1/15/38 (d)(h)(j)

$ 366,689

$ 2,518

Series 2004-CB8 Class X2, 1.2067% 1/12/39 (d)(h)(j)

366,274

3,082

JPMorgan Chase Commercial Mortgage Securities Trust:

floater Series 2006-FLA2:

Class B, 0.5069% 11/15/18 (d)(h)

179,960

127,771

Class C, 0.5469% 11/15/18 (d)(h)

127,798

83,068

Class D, 0.5669% 11/15/18 (d)(h)

39,276

23,173

Class E, 0.6169% 11/15/18 (d)(h)

57,390

32,712

Class F, 0.6669% 11/15/18 (d)(h)

85,751

45,448

Class G, 0.6969% 11/15/18 (d)(h)

74,541

38,016

Class H, 0.8369% 11/15/18 (d)(h)

57,390

26,973

sequential payer:

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

325,000

334,107

Series 2006-LDP9 Class A2, 5.134% 5/15/47 (h)

103,000

103,465

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

16,051

16,326

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

594,000

556,602

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

194,000

107,056

Series 2005-CB13 Class E, 5.5269% 1/12/43 (d)(h)

109,000

37,195

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

62,000

65,033

Series 2007-CB19:

Class B, 5.9366% 2/12/49 (h)

18,000

6,052

Class C, 5.9366% 2/12/49 (h)

48,000

16,138

Class D, 5.9366% 2/12/49 (h)

51,000

15,585

Series 2007-LDP10 Class ES, 5.5451% 1/15/49 (d)(h)

112,000

5,596

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

89,000

89,122

LB Commercial Conduit Mortgage Trust Series 1998-C1 Class D, 6.98% 2/18/30

88,632

89,490

LB-UBS Commercial Mortgage Trust:

sequential payer:

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

40,684

41,842

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

5,681

5,749

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

99,439

100,773

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

8,917

8,995

Series 2006-C6 Class A1, 5.23% 9/15/39

27,294

27,535

Series 2006-C7:

Class A1, 5.279% 11/15/38

149,207

151,802

Class A2, 5.3% 11/15/38

238,000

243,159

Commercial Mortgage Securities - continued

 

Principal Amount

Value

LB-UBS Commercial Mortgage Trust: - continued

sequential payer:

Series 2007-C1:

Class A1, 5.391% 2/15/40 (h)

$ 28,794

$ 29,324

Class A4, 5.424% 2/15/40

28,000

27,173

Series 2007-C2:

Class A1, 5.226% 2/15/40

162,546

164,622

Class A3, 5.43% 2/15/40

104,000

100,023

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

15,000

15,164

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

418,000

433,562

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

238,000

239,380

Series 2004-C2 Class XCP, 1.2292% 3/15/36 (d)(h)(j)

2,765,640

23,716

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

28,220

28,567

Series 2005-C3 Class XCP, 0.9157% 7/15/40 (h)(j)

727,884

9,199

Series 2006-C6 Class XCP, 0.8541% 9/15/39 (h)(j)

1,227,679

22,332

Series 2007-C1:

Class C, 5.533% 2/15/40 (h)

475,000

99,744

Class D, 5.563% 2/15/40 (h)

86,000

14,652

Class E, 5.582% 2/15/40 (h)

43,000

6,279

Class XCP, 0.5131% 2/15/40 (h)(j)

493,068

6,333

Series 2007-C7 Class XCP, 0.4535% 9/15/45 (h)(j)

16,952,742

197,364

LB-UBS Westfield Trust:

Series 2001-WM Class B, 6.647% 7/14/16 (d)

250,000

256,250

Series 2001-WM, 6.754% 7/14/16 (d)

262,000

270,006

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

Class B, 4.13% 11/20/37 (d)

327,000

287,760

Class C, 4.13% 11/20/37 (d)

932,000

792,200

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

Class D, 0.5669% 9/15/21 (d)(h)

69,510

57,715

Class E, 0.6269% 9/15/21 (d)(h)

249,861

195,597

Class F, 0.6769% 9/15/21 (d)(h)

97,418

70,688

Class G, 0.6969% 9/15/21 (d)(h)

192,585

126,246

Class H, 0.7369% 9/15/21 (d)(h)

49,497

19,669

Merrill Lynch Mortgage Trust:

sequential payer:

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

29,516

29,791

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

67,171

67,913

Series 2005-CKI1 Class A3, 5.405% 11/12/37 (h)

355,000

362,180

Series 2005-LC1 Class F, 5.5536% 1/12/44 (d)(h)

188,000

65,151

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

818,000

806,547

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

461,000

449,475

Commercial Mortgage Securities - continued

 

Principal Amount

Value

Merrill Lynch-CFC Commercial Mortgage Trust:

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

$ 101,000

$ 93,547

sequential payer:

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

230,000

236,092

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

186,000

192,486

Series 2007-5:

Class A1, 4.275% 8/12/48

9,764

9,849

Class A3, 5.364% 8/12/48

84,000

82,441

Class A4, 5.378% 8/12/48

9,000

8,189

Class B, 5.479% 2/12/17

648,000

44,794

Series 2007-6 Class A1, 5.175% 3/12/51

13,350

13,554

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

756,000

722,219

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

50,764

51,720

Series 2006-4 Class XP, 0.816% 12/12/49 (h)(j)

4,657,374

95,285

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

216,000

61,013

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

19,000

3,308

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

186,000

184,990

Morgan Stanley Capital I Trust:

floater:

Series 2005-XLF Class J, 0.797% 8/15/19 (d)(h)

4,400

3,960

Series 2006-XLF:

Class C, 1.537% 7/15/19 (d)(h)

93,780

12,895

Class F, 0.657% 7/15/19 (d)(h)

208,000

187,200

Class G, 0.697% 7/15/19 (d)(h)

118,000

82,600

Series 2007-XCLA Class A1, 0.537% 7/17/17 (d)(h)

290,653

122,074

Series 2007-XLCA Class B, 0.837% 7/17/17 (d)(h)

277,741

8,332

Series 2007-XLFA:

Class C, 0.497% 10/15/20 (d)(h)

124,000

49,600

Class D, 0.527% 10/15/20 (d)(h)

76,067

17,495

Class E, 0.587% 10/15/20 (d)(h)

95,138

12,368

Class F, 0.637% 10/15/20 (d)(h)

57,094

5,138

Class G, 0.677% 10/15/20 (d)(h)

70,577

4,940

Class H, 0.767% 10/15/20 (d)(h)

44,426

1,333

Class J, 0.917% 10/15/20 (d)(h)

50,712

1,014

Class MHRO, 1.027% 10/15/20 (d)(h)

70,667

10,600

Class MJPM, 1.337% 10/15/20 (d)(h)

21,549

15,085

Class MSTR, 1.037% 10/15/20 (d)(h)

40,125

6,019

Class NHRO, 1.227% 10/15/20 (d)(h)

106,971

13,906

Class NSTR, 1.187% 10/15/20 (d)(h)

36,399

4,732

Commercial Mortgage Securities - continued

 

Principal Amount

Value

Morgan Stanley Capital I Trust: - continued

sequential payer:

Series 2003-IQ5 Class X2, 0.9866% 4/15/38 (d)(h)(j)

$ 664,991

$ 7,046

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

321,000

322,231

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

49,972

50,683

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

145,412

148,673

Series 2007-HQ11 Class A1, 5.246% 2/12/44

45,822

46,668

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

49,701

50,721

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

121,137

124,681

Series 2007-T25:

Class A1, 5.391% 11/12/49

34,777

35,724

Class A2, 5.507% 11/12/49

212,000

222,208

Series 2003-IQ6 Class X2, 0.7193% 12/15/41 (d)(h)(j)

1,397,844

12,437

Series 2005-IQ9 Class X2, 1.2108% 7/15/56 (d)(h)(j)

2,538,262

41,437

Series 2006-HQ10 Class X2, 0.6959% 11/12/41 (d)(h)(j)

1,273,899

15,542

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

335,000

342,554

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

321,000

207,045

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

216,000

74,520

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

110,000

114,900

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

392,000

139,160

Series 2007-XLC1:

Class C, 0.937% 7/17/17 (d)(h)

373,714

11,211

Class D, 1.037% 7/17/17 (d)(h)

175,951

5,279

Class E, 1.137% 7/17/17 (d)(h)

142,506

4,275

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

2,689

2,752

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

148,270

148,795

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

26,200

27,278

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

184,000

188,119

Wachovia Bank Commercial Mortgage Trust:

floater:

Series 2005-WL5A Class K, 1.5369% 1/15/18 (d)(h)

145,481

145,132

Series 2006-WL7A:

Class E, 0.6169% 9/15/21 (d)(h)

201,847

108,432

Class F, 0.6769% 8/11/18 (d)(h)

214,060

106,046

Commercial Mortgage Securities - continued

 

Principal Amount

Value

Wachovia Bank Commercial Mortgage Trust: - continued

floater:

Series 2006-WL7A:

Class G, 0.6969% 8/11/18 (d)(h)

$ 202,788

$ 97,042

Class J, 0.9369% 8/11/18 (d)(h)

45,086

9,110

Series 2007-WHL8:

Class AP1, 1.0369% 6/15/20 (d)(h)

16,443

9,043

Class AP2, 1.1369% 6/15/20 (d)(h)

26,799

13,399

Class F, 0.8169% 6/15/20 (d)(h)

526,588

131,647

Class LXR1, 1.0369% 6/15/20 (d)(h)

26,316

13,158

Class LXR2, 1.1369% 6/15/20 (d)(h)

358,510

143,404

sequential payer:

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

53,432

53,634

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

193,000

195,992

Series 2006-C29:

Class A1, 5.11% 11/15/48

95,266

96,612

Class A3, 5.313% 11/15/48

574,000

583,686

Series 2007-C30:

Class A1, 5.031% 12/15/43

21,596

21,870

Class A3, 5.246% 12/15/43

185,000

184,337

Class A4, 5.305% 12/15/43

64,000

61,634

Class A5, 5.342% 12/15/43

231,000

203,916

Series 2007-C31 Class A1, 5.14% 4/15/47

23,443

23,732

Series 2007-C32:

Class A2, 5.7351% 6/15/49 (h)

259,000

265,765

Class A3, 5.9286% 6/15/49 (h)

367,000

349,263

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

103,000

84,481

Series 2003-C8 Class XP, 0.4798% 11/15/35 (d)(h)(j)

474,116

1,131

Series 2003-C9 Class XP, 0.6562% 12/15/35 (d)(h)(j)

782,245

1,879

Series 2004-C15:

Class 180A, 5.5782% 10/15/41 (d)(h)

166,000

154,380

Class 180B, 5.5782% 10/15/41 (d)(h)

76,000

68,400

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

216,000

147,376

Series 2005-C22:

Class B, 5.5348% 12/15/44 (h)

479,000

263,686

Class F, 5.5348% 12/15/44 (d)(h)

360,000

95,554

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

216,000

63,189

Series 2007-C30:

Class C, 5.483% 12/15/43 (h)

648,000

102,246

Class XP, 0.6284% 12/15/43 (d)(h)(j)

2,487,866

36,763

Commercial Mortgage Securities - continued

 

Principal Amount

Value

Wachovia Bank Commercial Mortgage Trust: - continued

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

$ 59,000

$ 11,884

Wachovia Bank Commercial Mortgage Trust pass-thru certificates sequential payer Series 2007-C33 Class A5, 6.0995% 2/15/51 (h)

143,000

133,033

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $30,170,346)

36,630,690

Municipal Securities - 0.4%

 

California Gen. Oblig. 5.25% 4/1/14

1,500,000

1,566,390

Illinois Gen. Oblig. Series 2010, 3.321% 1/1/13

920,000

931,601

TOTAL MUNICIPAL SECURITIES

(Cost $2,426,294)

2,497,991

Foreign Government and Government Agency Obligations - 1.0%

 

Canadian Government 2.375% 9/10/14

870,000

884,277

Chilean Republic 7.125% 1/11/12

460,000

497,186

Ontario Province:

1.875% 11/19/12

2,000,000

2,015,196

2.95% 2/5/15

3,320,000

3,365,474

TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $6,663,812)

6,762,133

Supranational Obligations - 0.0%

 

Corporacion Andina de Fomento 5.2% 5/21/13
(Cost $33,871)

37,000

39,840

Bank Notes - 0.1%

 

National City Bank, Cleveland 0.3519% 3/1/13 (h)
(Cost $583,372)

750,000

720,938

Fixed-Income Funds - 5.1%

Shares

Value

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

271,827

$ 28,699,493

Fidelity Specialized High Income Central Fund (i)

66,577

6,296,197

TOTAL FIXED-INCOME FUNDS

(Cost $33,853,654)

34,995,690

Preferred Securities - 0.1%

Principal Amount

 

FINANCIALS - 0.1%

Diversified Financial Services - 0.1%

ING Groep NV 5.775% (h)

$ 159,000

120,827

MUFG Capital Finance 1 Ltd. 6.346% (h)

624,000

565,898

 

686,725

TOTAL PREFERRED SECURITIES

(Cost $474,948)

686,725

Cash Equivalents - 1.8%

Maturity Amount

 

Investments in repurchase agreements in a joint trading account at 0.21%, dated 5/28/10 due 6/1/10 (Collateralized by U.S. Government Obligations) #
(Cost $12,236,000)

$ 12,236,284

12,236,000

TOTAL INVESTMENT PORTFOLIO - 99.5%

(Cost $647,251,937)

680,213,815

NET OTHER ASSETS - 0.5%

3,115,640

NET ASSETS - 100%

$ 683,329,455

Swap Agreements

 

Expiration Date

Notional Amount

Value

Credit Default Swaps

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

August 2034

$ 84,697

$ (43,783)

Receive monthly notional amount multiplied by .85% and pay UBS upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC8 Class M6, 5.4413% 9/25/34 (g)

Oct. 2034

103,397

(55,063)

Receive monthly notional amount multiplied by 2.5% and pay Credit Suisse First Boston upon credit event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2004-R11 Class M9, 8.03% 11/25/34 (Rating-C) (g)

Dec. 2034

248,360

(242,086)

Receive monthly notional amount multiplied by 2.54% and pay Merrill Lynch upon credit event of Countrywide Home Loans, Inc., par value of the notional amount of Countrywide Home Loans, Inc. Series 2003-BC1 Class B1, 7.6913% 3/25/32 (Rating-Ba1) (g)

April 2032

36,015

(21,211)

Receive monthly notional amount multiplied by 2.61% and pay Goldman Sachs upon credit event of Fremont Home Loan Trust, par value of the notional amount of Fremont Home Loan Trust Series 2004-A Class B3, 7.0413% 1/25/34 (Rating-C) (g)

Feb. 2034

806

(743)

Receive monthly notional amount multiplied by 3.05% and pay Merrill Lynch upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC8, Class B3, 7.2913% 9/25/34 (Rating-B1) (g)

Oct. 2034

101,115

(55,840)

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

Sept. 2034

83,350

(66,615)

 

$ 657,740

$ (485,341)

Legend

(a) Non-income producing

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

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

(d) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $88,891,862 or 13.0% of net assets.

(e) Under the Temporary Liquidity Guarantee Program, the Federal Deposit Insurance Corporation guarantees principal and interest in the event of payment default or bankruptcy until the earlier of maturity date of the debt or until June 30, 2012. At the end of the period these securities amounted to $5,972,300 or 0.9% of net assets.

(f) Security or a portion of the security has been segregated as collateral for open swap agreements. At the period end, the value of securities pledged amounted to $101,961.

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

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

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

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

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

Repurchase Agreement / Counterparty

Value

$12,236,000 due 6/01/10 at 0.21%

Banc of America Securities LLC

$ 823,861

Bank of America, NA

7,790,670

J.P. Morgan Securities, Inc.

832,522

Mizuho Securities USA, Inc.

2,788,947

 

$ 12,236,000

Affiliated Central Funds

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

Fund

Income earned

Fidelity Corporate Bond 1-10 Year Central Fund

$ 1,803,951

Fidelity Specialized High Income Central Fund

382,656

Total

$ 2,186,607

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

Fund

Value, beginning of period

Purchases

Sales
Proceeds

Value,
end of
period

% ownership, end of
period

Fidelity Corporate Bond 1-10 Year Central Fund

$ 65,487,459

$ -

$ 39,172,336

$ 28,699,493

1.2%

Fidelity Corporate Bond 1-5 Year Central Fund

7,137,742

-

7,232,757*

-

0.0%

Fidelity Specialized High Income Central Fund

9,120,399

382,643

3,697,849

6,296,197

1.4%

Total

$ 81,745,600

$ 382,643

$ 50,102,942

$ 34,995,690

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

Other Information

The following is a summary of the inputs used, as of May 31, 2010, involving the Fund's assets and liabilities carried at value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the tables below, please refer to the Investment Valuation section at the end of this listing.

Valuation Inputs at Reporting Date:

Description

Total

Level 1

Level 2

Level 3

Investments in Securities:

Corporate Bonds

$ 218,727,122

$ -

$ 218,727,122

$ -

U.S. Government and Government Agency Obligations

259,963,646

-

259,963,646

-

U.S. Government Agency - Mortgage Securities

43,032,381

-

43,032,381

-

Asset-Backed Securities

43,091,451

-

41,193,689

1,897,762

Collateralized Mortgage Obligations

20,829,208

-

20,405,322

423,886

Commercial Mortgage Securities

36,630,690

-

32,481,040

4,149,650

Municipal Securities

2,497,991

-

2,497,991

-

Foreign Government and Government Agency Obligations

6,762,133

-

6,762,133

-

Supranational Obligations

39,840

-

39,840

-

Bank Notes

720,938

-

720,938

-

Fixed-Income Funds

34,995,690

34,995,690

-

-

Preferred Securities

686,725

-

686,725

-

Cash Equivalents

12,236,000

-

12,236,000

-

Total Investments in Securities:

$ 680,213,815

$ 34,995,690

$ 638,746,827

$ 6,471,298

Derivative Instruments:

Liabilities

Swap Agreements

$ (485,341)

$ -

$ -

$ (485,341)

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

$ 10,081,703

Total Realized Gain (Loss)

289,712

Total Unrealized Gain (Loss)

992,766

Cost of Purchases

21,849

Proceeds of Sales

(1,457,118)

Amortization/Accretion

170,924

Transfers in to Level 3

1,672,755

Transfers out of Level 3

(5,301,293)

Ending Balance

$ 6,471,298

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

$ 971,483

Derivative Instruments:

Swap Agreements

Beginning Balance

$ (454,480)

Total Unrealized Gain (Loss)

118,047

Transfers in to Level 3

(148,908)

Transfers out of Level 3

-

Ending Balance

$ (485,341)

Realized gain (loss) on Swap Agreements for the period

$ 13,743

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

$ 116,864

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

Income Tax Information

At May 31, 2010, the cost of investment securities for income tax purposes was $673,417,955. Net unrealized appreciation aggregated $6,795,860, of which $14,468,350 related to appreciated investment securities and $7,672,490 related to depreciated investment securities.

Investment Valuation

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

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

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

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

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

Credit Default Swap Agreements

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

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

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

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

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

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

The notional amount of credit default swaps approximates the maximum potential amount of future payments that the Fund could be required to make if the Fund is the seller and a credit event were to occur. The total notional amount of all credit default swaps open at period end where the Fund is the seller amounted to $657,740 representing .10% 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 Advisor Mortgage
Securities Fund
Class A
Class T
Class B
Class C
Institutional Class

May 31, 2010 

1.804866.106

AMOR-QTLY-0710

Investments May 31, 2010 (Unaudited)

Showing Percentage of Net Assets

U.S. Government Agency - Mortgage Securities - 111.3%

 

Principal Amount (000s)

Value (000s)

Fannie Mae - 73.4%

2.582% 3/1/35 (f)

$ 71

$ 74

2.799% 10/1/33 (f)

101

106

2.848% 11/1/36 (f)

2,150

2,250

2.899% 7/1/35 (f)

739

770

3.018% 1/1/35 (f)

483

503

3.203% 7/1/35 (f)

136

142

3.258% 9/1/34 (f)

821

853

3.343% 11/1/36 (f)

105

110

3.361% 1/1/40 (f)

2,905

2,972

3.454% 8/1/35 (f)

598

624

3.455% 7/1/35 (f)

297

306

3.465% 4/1/35 (f)

306

320

3.893% 9/1/36 (f)

676

708

4% 9/1/24 to 11/1/39

11,786

11,741

4% 5/1/25 (c)(d)

1,000

1,027

4% 6/1/25 (c)(d)

17,500

17,938

4% 6/1/25 (c)(d)

16,000

16,401

4% 6/1/25 (c)

10,000

10,251

4% 6/1/25 (c)

6,000

6,150

4% 6/1/25 (c)

16,000

16,401

4.08% 9/1/35 (f)

761

796

4.209% 10/1/37 (f)

47

49

4.278% 6/1/36 (f)

103

108

4.5% 6/1/25 (c)

19,000

19,873

4.5% 6/1/25 (c)

5,000

5,230

4.5% 9/1/31 to 10/1/39

46,423

47,596

4.5% 6/1/40 (c)(d)

24,000

24,487

4.5% 6/1/40 (c)

11,000

11,223

4.5% 6/1/40 (c)

10,000

10,203

4.5% 6/1/40 (c)

13,500

13,774

4.5% 6/1/40 (c)

25,150

25,660

5% 9/1/16 to 6/1/40

82,847

87,086

5% 6/1/25 (c)

8,100

8,600

5% 4/1/40 (c)(d)

2,000

2,073

5% 6/1/40 (c)

33,500

35,059

5% 6/1/40 (c)(d)

25,000

26,163

5% 6/1/40 (c)

1,000

1,047

5.006% 7/1/35 (f)

29

30

5.353% 7/1/35 (f)

639

680

5.367% 6/1/36 (f)

1,391

1,448

5.5% 6/1/11 to 3/1/40

71,830

76,733

5.5% 5/1/40 (c)(d)

1,000

1,069

U.S. Government Agency - Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Fannie Mae - continued

5.5% 6/1/40 (c)

$ 3,500

$ 3,733

5.5% 6/1/40 (c)(d)

20,000

21,333

5.5% 6/1/40 (c)(d)

4,000

4,267

5.5% 6/1/40 (c)

6,500

6,933

5.5% 6/1/40 (c)(d)

12,500

13,333

5.573% 10/1/36 (f)

285

300

5.838% 3/1/36 (f)

1,033

1,072

5.838% 5/1/36 (f)

312

326

5.864% 3/1/36 (f)

1,135

1,204

5.937% 9/1/36 (f)

404

432

5.951% 4/1/36 (f)

328

342

5.989% 4/1/36 (f)

2,691

2,797

6% 3/1/11 to 7/1/38

50,362

54,665

6% 5/1/40 (c)(d)

5,000

5,395

6% 5/1/40 (c)(d)

5,000

5,395

6% 6/1/40 (c)

3,800

4,092

6% 6/1/40 (c)

2,000

2,154

6% 6/1/40 (c)

2,000

2,154

6% 6/1/40 (c)(d)

33,000

35,540

6.025% 9/1/36 (f)

346

366

6.028% 9/1/36 (f)

480

512

6.255% 8/1/46 (f)

156

167

6.276% 9/1/37 (f)

100

105

6.368% 5/1/36 (f)

584

612

6.442% 4/1/37 (f)

597

634

6.499% 12/1/36 (f)

200

214

6.5% 5/1/12 to 5/1/38

19,409

21,276

6.5% 6/1/40 (c)

300

326

6.5% 6/1/40 (c)

2,000

2,176

6.555% 12/1/36 (f)

285

304

6.736% 5/1/37 (f)

31

32

6.961% 9/1/37 (f)

260

273

6.962% 9/1/37 (f)

110

116

7% 12/1/15 to 5/1/30

3,264

3,608

7.5% 8/1/22 to 9/1/32

1,676

1,839

8% 12/1/29 to 3/1/37

114

126

8.5% 1/1/16 to 7/1/31

198

222

9% 2/1/13 to 10/1/30

462

530

9.5% 7/1/16 to 8/1/22

58

66

12.5% 8/1/15 to 3/1/16

14

17

U.S. Government Agency - Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Fannie Mae - continued

12.75% 2/1/15

$ 3

$ 4

13.5% 9/1/14

3

3

 

687,629

Freddie Mac - 19.5%

1.967% 3/1/35 (f)

328

336

2.027% 3/1/37 (f)

1,303

1,335

2.65% 12/1/33 (f)

848

885

2.879% 11/1/35 (f)

707

738

2.977% 5/1/34 (f)

24

25

3.086% 4/1/37 (f)

237

248

3.269% 1/1/36 (f)

1,805

1,904

3.32% 10/1/33 (f)

1,079

1,133

3.58% 1/1/37 (f)

1,418

1,496

3.938% 6/1/35 (f)

215

225

4.05% 6/1/33 (f)

1,401

1,475

4.208% 4/1/34 (f)

44

46

4.774% 2/1/36 (f)

156

164

5% 7/1/33 to 6/1/40

45,744

48,147

5.138% 4/1/35 (f)

78

82

5.5% 10/1/17 to 10/1/39

61,081

65,323

5.509% 5/1/37 (f)

197

202

5.585% 10/1/35 (f)

95

99

5.86% 6/1/37 (f)

585

601

6% 4/1/14 to 7/1/37

16,495

17,928

6% 5/1/40 (c)

1,000

1,080

6.009% 6/1/37 (f)

65

69

6.052% 10/1/36 (f)

82

88

6.068% 7/1/36 (f)

266

280

6.078% 3/1/36 (f)

1,055

1,126

6.157% 6/1/37 (f)

1,567

1,656

6.194% 4/1/37 (f)

207

221

6.233% 8/1/37 (f)

471

501

6.452% 12/1/36 (f)

926

989

6.474% 6/1/36 (f)

125

133

6.5% 4/1/11 to 3/1/37

17,568

19,219

6.5% 6/1/40 (c)

1,800

1,961

6.605% 6/1/37 (f)

167

177

7% 6/1/21 to 9/1/36

4,636

5,136

7.22% 4/1/37 (f)

9

9

7.255% 2/1/37 (f)

56

60

7.5% 11/1/10 to 7/1/34

6,615

7,241

U.S. Government Agency - Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Freddie Mac - continued

8% 11/1/16 to 1/1/37

$ 163

$ 180

8.5% 6/1/16 to 9/1/20

21

23

9% 9/1/16 to 5/1/21

144

159

10% 3/1/11 to 5/1/19

25

28

10.5% 2/1/16

1

1

12.5% 10/1/12 to 12/1/14

12

13

13% 12/1/13 to 6/1/15

25

28

 

182,770

Government National Mortgage Association - 18.4%

4% 4/15/39 to 3/15/40

10,886

10,888

4.5% 5/15/39 to 5/20/40

22,868

23,513

4.5% 6/1/40 (c)

15,000

15,356

4.5% 6/1/40 (c)

16,000

16,422

4.5% 6/1/40 (c)

12,000

12,317

4.5% 6/1/40 (c)

2,400

2,463

4.5% 6/1/40 (c)

22,650

23,247

5% 9/20/33 to 5/15/36

4,030

4,285

5% 6/1/40 (c)

6,700

7,045

5% 6/1/40 (c)

3,000

3,154

5.5% 10/15/33 to 9/15/39

7,659

8,263

5.5% 4/20/60 (j)

3,925

4,299

5.5% 6/1/40 (c)(d)

9,450

10,133

5.5% 6/1/40 (c)(d)

5,000

5,361

5.5% 6/1/40 (c)(d)

4,000

4,289

5.5% 6/1/40 (c)(d)

7,500

8,042

6% 1/15/36

5,154

5,642

6.5% 2/15/32 to 7/15/36

2,172

2,415

7% 2/15/24 to 4/20/32

2,415

2,681

7.5% 9/15/16 to 4/15/32

889

971

8% 6/15/21 to 12/15/25

356

390

8.5% 8/15/16 to 10/15/28

482

536

9% 11/20/17

1

2

10.5% 12/20/15 to 2/20/18

47

54

 

171,768

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $1,015,258)

1,042,167

Asset-Backed Securities - 6.2%

 

Principal Amount (000s)

Value (000s)

Ally Master Owner Trust Series 2010-1 Class A, 2.0869% 1/15/15 (b)(f)

$ 7,000

$ 7,100

Bear Stearns Asset Backed Securities I Trust Series 2006-HE1 Class 1A2, 0.5628% 12/25/35 (f)

2,100

1,944

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

108

105

Capital Auto Receivables Asset Trust:

Series 2007-SN1 Class D, 6.05% 1/17/12

970

971

Series 2007-SN2 Class A4, 1.3669% 5/16/11 (b)(f)

6,964

6,970

Countrywide Asset-Backed Certificates Trust:

Series 2007-11 Class 2A1, 0.4028% 6/25/47 (f)

2,522

2,424

Series 2007-4 Class A1A, 0.3661% 9/25/37 (f)

2,008

1,883

Series 2007-5 Class 2A1, 0.4428% 9/25/47 (f)

1,187

1,074

Ford Credit Auto Owner Trust:

Series 2006-C Class D, 6.89% 5/15/13 (b)

715

751

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

350

373

Ford Credit Floorplan Master Owner Trust Series 2010-1 Class A, 1.9869% 12/15/14 (b)(f)

1,800

1,820

GSAMP Trust:

Series 2004-AR1 Class B4, 5% 6/25/34 (b)(f)

96

15

Series 2004-AR2 Class B1, 2.2428% 8/25/34 (f)

796

65

Series 2006-HE6 Class A1, 0.3728% 8/25/36 (f)

142

142

Series 2006-HE8 Class A2A, 0.4128% 1/25/37 (f)

26

26

Home Equity Asset Trust Series 2006-8 Class 2A1, 0.3928% 3/25/37 (f)

17

16

Merrill Lynch Mortgage Investors Trust Series 2006-MLN1 Class A2A, 0.4128% 7/25/37 (f)

106

104

Morgan Stanley ABS Capital I Trust Series 2005-3 Class A3, 0.7228% 8/25/35 (f)

3,181

3,012

National Collegiate Student Loan Trust:

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

2,528

458

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

332

331

Series 2006-4 Class AIO, 6.35% 2/27/12 (g)

4,205

417

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

6,370

802

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

4,540

601

Ocala Funding LLC Series 2006-1A Class A, 1.7397% 3/20/11 (a)(b)(f)

2,100

777

Option One Mortgage Loan Trust:

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

6,107

5,934

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

147

141

RAMP Trust Series 2006-RS4 Class A2, 0.4528% 7/25/36 (f)

249

248

Residential Asset Mortgage Products, Inc. Series 2003-RZ2 Class A1, 3.6% 4/25/33

355

316

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

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

$ 102

$ 99

Securitized Asset Backed Receivables LLC Trust:

Series 2005-FR4 Class B3, 2.0628% 1/25/36 (f)

500

10

Series 2006-FR4 Class A2A, 0.4228% 8/25/36 (f)

168

85

Series 2007-NC1 Class A2A, 0.3928% 12/25/36 (f)

82

79

Structured Asset Investment Loan Trust Series 2006-BNC3 Class A2, 0.3828% 9/25/36 (f)

187

187

Structured Asset Securities Corp.:

Series 2005-NC2 Class M3, 0.7728% 5/25/35 (f)

1,995

562

Series 2007-BC4 Class A3, 0.5125% 11/25/37 (f)

2,936

2,736

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

3,746

3,127

Swift Master Auto Receivables Trust:

Series 2007-1 Class A, 0.4369% 6/15/12 (f)

5,000

4,998

Series 2007-2 Class A, 0.9869% 10/15/12 (f)

7,500

7,475

WaMu Asset Holdings Corp.:

Series 2006-5 Class N1, 5.926% 7/25/46 (b)

1,148

0

Series 2006-7 Class N1, 5.926% 9/25/46 (b)

912

0

Series 2006-8 Class N1, 6.048% 10/25/46 (b)

1,160

0

TOTAL ASSET-BACKED SECURITIES

(Cost $64,975)

58,178

Collateralized Mortgage Obligations - 15.6%

 

Private Sponsor - 5.9%

American Home Mortgage Investment Trust floater Series 2004-2 Class 4A5, 2.463% 2/25/44 (f)

1,709

1,624

Arkle Master Issuer PLC floater Series 2006-1A Class 4A1, 0.5259% 2/17/52 (b)(f)

7,000

6,925

Banc of America Funding Corp. sequential payer Series 2010-R4 Class 2A1, 4.5% 3/26/37 (b)

862

869

Banc of America Mortgage Securities, Inc.:

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

1,284

1,147

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

987

870

BCAP LLC Trust Series 2010-RR2 Class 5A1, 5% 12/26/36 (b)(f)

4,852

4,839

Citigroup Mortgage Loan Trust Series 2006-AR7 Class 1A1, 4.3738% 11/25/36 (f)

170

109

Credit Suisse First Boston Mortgage Securities Corp. Series 2002-15R Class A1, 2.5082% 1/28/32 (b)(f)

205

141

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

1,339

1,256

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

Private Sponsor - continued

Fosse Master Issuer PLC floater:

Series 2006-1A Class C2, 0.7744% 10/18/54 (b)(f)

$ 770

$ 739

Series 2007-1A Class A2, 0.3844% 10/18/54 (b)(f)

660

655

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

1,675

1,574

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

2,520

2,451

Granite Master Issuer PLC floater:

Series 2005-4 Class C2, 0.8897% 12/20/54 (f)

700

297

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

155

64

Series 2007-1:

Class 1C1, 0.6397% 12/20/54 (f)

940

395

Class 2C1, 0.7697% 12/20/54 (f)

500

210

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

1,355

576

Granite Mortgages PLC floater Series 2003-3 Class 1B, 1.2053% 1/20/44 (f)

661

544

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

730

615

Luminent Mortgage Trust floater Series 2006-1 Class A1, 0.5828% 4/25/36 (f)

2,335

1,206

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

842

511

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

3,654

2,050

Morgan Stanley Resecuritization Trust floater Series 2010-F Class A, 0.5878% 6/17/13 (b)(f)

5,000

4,941

Permanent Financing No. 8 PLC floater:

Class 3C, 0.7743% 6/10/42 (f)

610

609

Series 8 Class 3B, 0.4542% 6/10/42 (f)

1,350

1,349

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

524

517

Structured Asset Securities Corp.:

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

700

665

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

758

757

Thornburg Mortgage Securities Trust floater:

Series 2006-4 Class A2B, 0.3661% 7/25/36 (f)

3,497

3,430

Series 2006-5 Class A1, 0.4628% 10/25/46 (f)

5,811

5,658

WaMu Mortgage pass-thru certificates Series 2005-AR16 Class 1A3, 5.0799% 12/25/35 (f)

2,065

1,596

Wells Fargo Mortgage Backed Securities Trust:

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

3,773

3,558

Series 2005-AR2 Class 1A2, 2.8808% 3/25/35 (f)

505

281

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

Private Sponsor - continued

Wells Fargo Mortgage Backed Securities Trust: - continued

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

$ 212

$ 192

Series 2006-AR8 Class 3A1, 5.2226% 4/25/36 (f)

2,254

1,986

TOTAL PRIVATE SPONSOR

55,206

U.S. Government Agency - 9.7%

Fannie Mae:

planned amortization class:

Series 1994-23:

Class PX, 6% 8/25/23

2,848

3,056

Class PZ, 6% 2/25/24

2,896

3,384

Series 1999-17 Class PG, 6% 4/25/29

3,752

4,119

Series 2006-105 Class MD, 5.5% 6/25/35

1,145

1,254

Series 1993-165 Class SH, 18.7391% 9/25/23 (f)(i)

121

133

Series 2003-26 Class KI, 5% 12/25/15 (g)

396

5

Series 2003-39 Class IA, 5.5% 10/25/22 (f)(g)

1,164

95

Series 2009-16 Class SA, 5.9072% 3/25/24 (f)(g)(i)

3,462

306

Series 2009-76 Class MI, 5.5% 9/25/24 (g)

1,716

204

Series 2010-23:

Class AI, 5% 12/25/18 (g)

2,498

294

Class HI, 4.5% 10/25/18 (g)

1,669

173

Series 2010-29 Class LI, 4.5% 6/25/19 (g)

4,789

535

Series 2010-37 Class GI, 5% 4/25/25 (g)

3,961

445

Fannie Mae Stripped Mortgage-Backed Securities:

sequential payer Series 377 Class 1, 10/1/36 (h)

2,785

2,384

Series 339 Class 29, 5.5% 7/1/18 (g)

1,275

155

Series 348 Class 14, 6.5% 8/1/34 (g)

651

135

Series 351:

Class 12, 5.5% 4/1/34 (g)

524

98

Class 13, 6% 3/1/34 (g)

621

117

Series 359, Class 19 6% 7/1/35 (g)

647

125

Series 384 Class 6, 5% 7/25/37 (g)

3,154

517

Fannie Mae subordinate REMIC pass-thru certificates:

floater:

Series 2007-36 Class FG, 0.7428% 4/25/37 (f)

2,204

2,205

Series 2007-57 Class FA, 0.5728% 6/25/37 (f)

7,952

7,870

planned amortization class:

Series 1999-32 Class PL, 6% 7/25/29

2,701

2,943

Series 1999-33 Class PK, 6% 7/25/29

1,822

2,008

Series 2001-52 Class YZ, 6.5% 10/25/31

162

180

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

U.S. Government Agency - continued

Fannie Mae subordinate REMIC pass-thru certificates: - continued

planned amortization class:

Series 2005-39 Class TE, 5% 5/25/35

$ 1,120

$ 1,221

Series 2005-73 Class SA, 16.6587% 8/25/35 (f)(i)

685

758

sequential payer:

Series 2001-20 Class Z, 6% 5/25/31

3,209

3,496

Series 2001-31 Class ZC, 6.5% 7/25/31

1,068

1,169

Series 2002-16 Class ZD, 6.5% 4/25/32

483

536

Series 2002-79 Class Z, 5.5% 11/25/22

1,913

2,068

Series 2003-80 Class CG, 6% 4/25/30

428

447

Series 2005-41 Class LA, 5.5% 5/25/35

3,009

3,201

Series 2003-21 Class SK, 7.7572% 3/25/33 (f)(g)(i)

538

107

Series 2003-3 Class HS, 7.3072% 9/25/16 (f)(g)(i)

17

0*

Series 2003-35:

Class BS, 6.6572% 4/25/17 (f)(g)(i)

281

11

Class TQ, 7.1572% 5/25/18 (f)(g)(i)

509

49

Series 2003-42 Class SJ, 6.7072% 11/25/22 (f)(g)(i)

577

43

Series 2003-48 Class HI, 5% 11/25/17 (g)

1,766

115

Series 2004-54 Class SW, 5.6572% 6/25/33 (f)(g)(i)

2,564

233

Series 2005-104 Class NI, 6.3572% 3/25/35 (f)(g)(i)

5,169

698

Series 2006-4 Class IT, 6% 10/25/35 (g)

212

13

Series 2007-36:

Class GO, 4/25/37 (h)

353

312

Class SG, 6.2572% 4/25/37 (f)(g)(i)

4,577

591

Series 2007-57 Class SA, 38.5631% 6/25/37 (f)(i)

2,381

4,048

Series 2007-66:

Class FB, 0.7428% 7/25/37 (f)

3,569

3,571

Class SB, 37.5431% 7/25/37 (f)(i)

658

1,117

Series 2009-114 Class AI, 5% 12/25/23 (g)

2,769

323

Series 2010-12 Class AI, 5% 12/25/18 (g)

5,039

593

Freddie Mac:

floater Series 3318:

Class CY, 0% 11/15/36 (f)

77

76

Class GY, 0% 5/15/37 (f)

112

109

planned amortization class:

Series 2095 Class PE, 6% 11/15/28

3,372

3,654

Series 2104 Class PG, 6% 12/15/28

1,078

1,177

Series 2162 Class PH, 6% 6/15/29

355

386

Series 70 Class C, 9% 9/15/20

74

82

sequential payer Series 2114 Class ZM, 6% 1/15/29

491

537

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

U.S. Government Agency - continued

Freddie Mac Manufactured Housing participation certificates guaranteed planned amortization class Series 2043 Class CJ, 6.5% 4/15/28

$ 1,167

$ 1,301

Freddie Mac Multi-class participation certificates guaranteed:

floater:

Series 2958 Class TF, 0% 4/15/35 (f)

127

125

Series 3129 Class MF, 0% 7/15/34 (f)

96

94

Series 3222 Class HF, 0% 9/15/36 (f)

207

206

planned amortization class:

Series 2121 Class MG, 6% 2/15/29

1,377

1,502

Series 2154 Class PT, 6% 5/15/29

2,069

2,253

Series 2435 Class VG, 6% 2/15/13

466

467

Series 2520 Class BE, 6% 11/15/32

1,970

2,168

Series 2585 Class KS, 7.2631% 3/15/23 (f)(g)(i)

297

31

Series 2590 Class YR, 5.5% 9/15/32 (g)

118

13

Series 2802 Class OB, 6% 5/15/34 (e)

3,375

3,782

Series 2810 Class PD, 6% 6/15/33

2,540

2,698

Series 3077 Class TO, 4/15/35 (h)

3,405

2,843

sequential payer:

Series 2135 Class JE, 6% 3/15/29

1,507

1,652

Series 2274 Class ZM, 6.5% 1/15/31

557

609

Series 2281 Class ZB, 6% 3/15/30

637

693

Series 2502 Class ZC, 6% 9/15/32

1,806

1,998

Series 2564 Class ES, 7.2631% 2/15/22 (f)(g)(i)

273

11

Series 2575 Class ID, 5.5% 8/15/22 (g)

69

5

Series 2817 Class SD, 6.7131% 7/15/30 (f)(g)(i)

784

54

Series 3097 Class IA, 5.5% 3/15/33 (g)

2,459

248

Series 1658 Class GZ, 7% 1/15/24

1,631

1,812

Series 2587 Class IM, 6.5% 3/15/33 (g)

935

171

Series 2844:

Class SC, 44.6103% 8/15/24 (f)(i)

67

122

Class SD, 82.0705% 8/15/24 (f)(i)

98

256

Series 2957 Class SW, 5.6631% 4/15/35 (f)(g)(i)

4,088

430

Series 3002 Class SN, 6.1631% 7/15/35 (f)(g)(i)

4,106

487

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

U.S. Government Agency - continued

Ginnie Mae guaranteed REMIC pass-thru securities:

sequential payer Series 2002-42 Class ZA, 6% 6/20/32

$ 1,384

$ 1,500

Series 2004-32 Class GS, 6.1631% 5/16/34 (f)(g)(i)

981

161

TOTAL U.S. GOVERNMENT AGENCY

91,173

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $144,463)

146,379

Commercial Mortgage Securities - 2.3%

 

Asset Securitization Corp. Series 1997-D5:

Class A-6, 7.1896% 2/14/43 (f)

4,300

4,565

Class PS1, 1.5207% 2/14/43 (f)(g)

10,958

353

Banc of America Commercial Mortgage, Inc. sequential payer Series 2004-4 Class A5, 4.576% 7/10/42

710

725

Bayview Commercial Asset Trust floater:

Series 2006-3A:

Class B1, 1.1428% 10/25/36 (b)(f)

228

46

Class B2, 1.6928% 10/25/36 (b)(f)

149

27

Class B3, 2.9428% 10/25/36 (b)(f)

267

48

Class M4, 0.7728% 10/25/36 (b)(f)

228

69

Class M5, 0.8228% 10/25/36 (b)(f)

291

79

Class M6, 0.9028% 10/25/36 (b)(f)

564

130

Series 2006-4A:

Class B1, 1.0428% 12/25/36 (b)(f)

88

19

Class B2, 1.5928% 12/25/36 (b)(f)

85

17

Class B3, 2.7928% 12/25/36 (b)(f)

156

28

Series 2007-1:

Class B1, 1.0128% 3/25/37 (b)(f)

133

31

Class B2, 1.4928% 3/25/37 (b)(f)

97

18

Class B3, 3.6928% 3/25/37 (b)(f)

276

47

Class M1, 0.6128% 3/25/37 (b)(f)

111

48

Class M2, 0.6328% 3/25/37 (b)(f)

86

33

Class M3, 0.6628% 3/25/37 (b)(f)

75

25

Class M4, 0.7128% 3/25/37 (b)(f)

57

17

Class M5, 0.7628% 3/25/37 (b)(f)

93

26

Class M6, 0.8428% 3/25/37 (b)(f)

133

33

Series 2007-2A:

Class B1, 1.9428% 7/25/37 (b)(f)

106

18

Class B2, 2.5928% 7/25/37 (b)(f)

90

15

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Bayview Commercial Asset Trust floater: - continued

Series 2007-2A:

Class B3, 3.6928% 7/25/37 (b)(f)

$ 102

$ 18

Class M4, 0.9928% 7/25/37 (b)(f)

131

31

Class M5, 1.0928% 7/25/37 (b)(f)

118

25

Class M6, 1.3428% 7/25/37 (b)(f)

147

27

Series 2007-3:

Class B1, 1.2928% 7/25/37 (b)(f)

90

18

Class B2, 1.9428% 7/25/37 (b)(f)

236

40

Class B3, 4.3428% 7/25/37 (b)(f)

121

18

Class M1, 0.6528% 7/25/37 (b)(f)

80

30

Class M2, 0.6828% 7/25/37 (b)(f)

83

29

Class M3, 0.7128% 7/25/37 (b)(f)

135

44

Class M4, 0.8428% 7/25/37 (b)(f)

215

63

Class M5, 0.9428% 7/25/37 (b)(f)

108

27

Class M6, 1.1428% 7/25/37 (b)(f)

83

19

Series 2007-4A:

Class B1, 2.8928% 9/25/37 (b)(f)

129

17

Class B2, 3.7928% 9/25/37 (b)(f)

478

57

Bear Stearns Commercial Mortgage Securities Trust Series 2002-TOP8 Class X2, 2.2979% 8/15/38 (b)(f)(g)

58,114

424

CDC Commercial Mortgage Trust Series 2002-FX1 Class XCL, 2.3619% 5/15/35 (b)(f)(g)

21,661

690

Chase Commercial Mortgage Securities Corp. Series 1999-2:

Class E, 7.734% 1/15/32

1,110

1,109

Class F, 7.734% 1/15/32

600

597

COMM pass-thru certificates sequential payer Series 2006-C8 Class A4, 5.306% 12/10/46

5,000

4,731

GS Mortgage Securities Corp. II Series 2001-LIBA Class E, 6.733% 2/14/16 (b)

1,525

1,576

LB-UBS Commercial Mortgage Trust:

sequential payer Series 2007-C1 Class A4, 5.424% 2/15/40

240

233

Series 2004-C2 Class XCP, 1.2292% 3/15/36 (b)(f)(g)

53,681

460

Series 2007-C1 Class XCP, 0.5131% 2/15/40 (f)(g)

13,352

171

LB-UBS Westfield Trust:

Series 2001-WM Class B, 6.647% 7/14/16 (b)

500

512

Series 2001-WM, 6.754% 7/14/16 (b)

500

515

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Merrill Lynch-CFC Commercial Mortgage Trust sequential payer Series 2007-6 Class A4, 5.485% 3/12/51 (f)

$ 175

$ 162

Nomura Asset Securities Corp. Series 1995-MD3 Class B2, 12.3586% 4/4/27 (f)

2,973

2,976

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $25,421)

21,036

Cash Equivalents - 16.0%

Maturity Amount (000s)

 

Investments in repurchase agreements in a joint trading account at 0.21%, dated 5/28/10 due 6/1/10 (Collateralized by U.S. Government Obligations) #
(Cost $149,745)

$ 149,748

149,745

TOTAL INVESTMENT PORTFOLIO - 151.4%

(Cost $1,399,862)

1,417,505

NET OTHER ASSETS (LIABILITIES) - (51.4)%

(481,069)

NET ASSETS - 100%

$ 936,436

Futures Contracts

Expiration Date

Underlying Face Amount at Value (000s)

Unrealized Appreciation/
(Depreciation) (000s)

Sold

Treasury Contracts

26 CBOT 2 Year U.S. Treasury Notes Index Contracts

Oct. 2010

$ 5,672

$ (6)

 

The face value of futures sold as a percentage of net assets is 0.6%

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 1.4175% with Credit Suisse First Boston

Oct. 2011

$ 10,000

$ (70)

Receive quarterly a floating rate based on 3-month LIBOR and pay semi-annually a fixed rate equal to 2.8025% with JPMorgan Chase, Inc.

Oct. 2014

14,330

(385)

Receive quarterly a floating rate based on 3-month LIBOR and pay semi-annually a fixed rate equal to 3.8225% with Credit Suisse First Boston

April 2020

5,400

(234)

Receive semi-annually a fixed rate equal to 4.245% and pay quarterly a floating rate based on 3-month LIBOR with JPMorgan Chase, Inc.

May 2039

3,600

146

 

$ 33,330

$ (543)

Legend

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

(b) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $46,354,000 or 5.0% of net assets.

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

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

(e) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the period end, the value of securities pledged amounted to $56,000.

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

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

(h) Principal Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans.

(i) Coupon is inversely indexed to a floating interest rate multiplied by a specified factor. The price may be considerably more volatile than the price of a comparable fixed rate security.

(j) 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)

$149,745,000 due 6/01/10 at 0.21%

Banc of America Securities LLC

$ 10,082

Bank of America, NA

95,344

J.P. Morgan Securities, Inc.

10,188

Mizuho Securities USA, Inc.

34,131

 

$ 149,745

Other Information

The following is a summary of the inputs used, as of May 31, 2010, involving the Fund's assets and liabilities carried at value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the tables below, please refer to the Investment Valuation section at the end of this listing.

Valuation Inputs at Reporting Date:

Description
(Amounts in thousands)

Total

Level 1

Level 2

Level 3

Investments in Securities:

U.S. Government Agency - Mortgage Securities

$ 1,042,167

$ -

$ 1,042,167

$ -

Asset-Backed Securities

58,178

-

55,675

2,503

Collateralized Mortgage Obligations

146,379

-

146,379

-

Commercial Mortgage Securities

21,036

-

19,799

1,237

Cash Equivalents

149,745

-

149,745

-

Total Investments in Securities:

$ 1,417,505

$ -

$ 1,413,765

$ 3,740

Derivative Instruments:

Assets

Swap Agreements

$ 146

$ -

$ 146

$ -

Liabilities

Futures Contracts

$ (6)

$ (6)

$ -

$ -

Swap Agreements

(689)

-

(689)

-

Total Liabilities

$ (695)

$ (6)

$ (689)

$ -

Total Derivative Instruments:

$ (549)

$ (6)

$ (543)

$ -

Other Financial Instruments:

Forward Commitments:

$ (826)

$ -

$ (826)

$ -

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

(Amounts in thousands)

 

Investments in Securities:

Beginning Balance

$ 10,215

Total Realized Gain (Loss)

1,012

Total Unrealized Gain (Loss)

3,866

Cost of Purchases

123

Proceeds of Sales

(11,858)

Amortization/Accretion

(62)

Transfers in to Level 3

1,466

Transfers out of Level 3

(1,022)

Ending Balance

$ 3,740

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

$ 328

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

Income Tax Information

At May 31, 2010, the cost of investment securities for income tax purposes was $1,399,864,000. Net unrealized appreciation aggregated $17,641,000, of which $36,400,000 related to appreciated investment securities and $18,759,000 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 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. Dealers which make markets in asset backed securities, collateralized mortgage obligations and commercial mortgage securities may also consider such factors as the structure of the issue, cash flow assumptions, the value of underlying assets as well as any guarantees. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates value and are categorized as Level 2 in the hierarchy. Swaps are marked-to-market daily based on valuations from independent pricing services or dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Pricing services utilize matrix pricing which considers comparisons to interest rate curves, credit spread curves, default possibilities and recovery rates and, as a result, swaps are generally categorized as Level 2 in the hierarchy. When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing matrices which consider similar factors that would be used by independent pricing services. These are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

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.

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.

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 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 Mortgage Securities Fund

(A Class of Fidelity® Advisor
Mortgage Securities Fund)

May 31, 2010 

1.804979.106

MOR-QTLY-0710

Investments May 31, 2010 (Unaudited)

Showing Percentage of Net Assets

U.S. Government Agency - Mortgage Securities - 111.3%

 

Principal Amount (000s)

Value (000s)

Fannie Mae - 73.4%

2.582% 3/1/35 (f)

$ 71

$ 74

2.799% 10/1/33 (f)

101

106

2.848% 11/1/36 (f)

2,150

2,250

2.899% 7/1/35 (f)

739

770

3.018% 1/1/35 (f)

483

503

3.203% 7/1/35 (f)

136

142

3.258% 9/1/34 (f)

821

853

3.343% 11/1/36 (f)

105

110

3.361% 1/1/40 (f)

2,905

2,972

3.454% 8/1/35 (f)

598

624

3.455% 7/1/35 (f)

297

306

3.465% 4/1/35 (f)

306

320

3.893% 9/1/36 (f)

676

708

4% 9/1/24 to 11/1/39

11,786

11,741

4% 5/1/25 (c)(d)

1,000

1,027

4% 6/1/25 (c)(d)

17,500

17,938

4% 6/1/25 (c)(d)

16,000

16,401

4% 6/1/25 (c)

10,000

10,251

4% 6/1/25 (c)

6,000

6,150

4% 6/1/25 (c)

16,000

16,401

4.08% 9/1/35 (f)

761

796

4.209% 10/1/37 (f)

47

49

4.278% 6/1/36 (f)

103

108

4.5% 6/1/25 (c)

19,000

19,873

4.5% 6/1/25 (c)

5,000

5,230

4.5% 9/1/31 to 10/1/39

46,423

47,596

4.5% 6/1/40 (c)(d)

24,000

24,487

4.5% 6/1/40 (c)

11,000

11,223

4.5% 6/1/40 (c)

10,000

10,203

4.5% 6/1/40 (c)

13,500

13,774

4.5% 6/1/40 (c)

25,150

25,660

5% 9/1/16 to 6/1/40

82,847

87,086

5% 6/1/25 (c)

8,100

8,600

5% 4/1/40 (c)(d)

2,000

2,073

5% 6/1/40 (c)

33,500

35,059

5% 6/1/40 (c)(d)

25,000

26,163

5% 6/1/40 (c)

1,000

1,047

5.006% 7/1/35 (f)

29

30

5.353% 7/1/35 (f)

639

680

5.367% 6/1/36 (f)

1,391

1,448

5.5% 6/1/11 to 3/1/40

71,830

76,733

5.5% 5/1/40 (c)(d)

1,000

1,069

U.S. Government Agency - Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Fannie Mae - continued

5.5% 6/1/40 (c)

$ 3,500

$ 3,733

5.5% 6/1/40 (c)(d)

20,000

21,333

5.5% 6/1/40 (c)(d)

4,000

4,267

5.5% 6/1/40 (c)

6,500

6,933

5.5% 6/1/40 (c)(d)

12,500

13,333

5.573% 10/1/36 (f)

285

300

5.838% 3/1/36 (f)

1,033

1,072

5.838% 5/1/36 (f)

312

326

5.864% 3/1/36 (f)

1,135

1,204

5.937% 9/1/36 (f)

404

432

5.951% 4/1/36 (f)

328

342

5.989% 4/1/36 (f)

2,691

2,797

6% 3/1/11 to 7/1/38

50,362

54,665

6% 5/1/40 (c)(d)

5,000

5,395

6% 5/1/40 (c)(d)

5,000

5,395

6% 6/1/40 (c)

3,800

4,092

6% 6/1/40 (c)

2,000

2,154

6% 6/1/40 (c)

2,000

2,154

6% 6/1/40 (c)(d)

33,000

35,540

6.025% 9/1/36 (f)

346

366

6.028% 9/1/36 (f)

480

512

6.255% 8/1/46 (f)

156

167

6.276% 9/1/37 (f)

100

105

6.368% 5/1/36 (f)

584

612

6.442% 4/1/37 (f)

597

634

6.499% 12/1/36 (f)

200

214

6.5% 5/1/12 to 5/1/38

19,409

21,276

6.5% 6/1/40 (c)

300

326

6.5% 6/1/40 (c)

2,000

2,176

6.555% 12/1/36 (f)

285

304

6.736% 5/1/37 (f)

31

32

6.961% 9/1/37 (f)

260

273

6.962% 9/1/37 (f)

110

116

7% 12/1/15 to 5/1/30

3,264

3,608

7.5% 8/1/22 to 9/1/32

1,676

1,839

8% 12/1/29 to 3/1/37

114

126

8.5% 1/1/16 to 7/1/31

198

222

9% 2/1/13 to 10/1/30

462

530

9.5% 7/1/16 to 8/1/22

58

66

12.5% 8/1/15 to 3/1/16

14

17

U.S. Government Agency - Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Fannie Mae - continued

12.75% 2/1/15

$ 3

$ 4

13.5% 9/1/14

3

3

 

687,629

Freddie Mac - 19.5%

1.967% 3/1/35 (f)

328

336

2.027% 3/1/37 (f)

1,303

1,335

2.65% 12/1/33 (f)

848

885

2.879% 11/1/35 (f)

707

738

2.977% 5/1/34 (f)

24

25

3.086% 4/1/37 (f)

237

248

3.269% 1/1/36 (f)

1,805

1,904

3.32% 10/1/33 (f)

1,079

1,133

3.58% 1/1/37 (f)

1,418

1,496

3.938% 6/1/35 (f)

215

225

4.05% 6/1/33 (f)

1,401

1,475

4.208% 4/1/34 (f)

44

46

4.774% 2/1/36 (f)

156

164

5% 7/1/33 to 6/1/40

45,744

48,147

5.138% 4/1/35 (f)

78

82

5.5% 10/1/17 to 10/1/39

61,081

65,323

5.509% 5/1/37 (f)

197

202

5.585% 10/1/35 (f)

95

99

5.86% 6/1/37 (f)

585

601

6% 4/1/14 to 7/1/37

16,495

17,928

6% 5/1/40 (c)

1,000

1,080

6.009% 6/1/37 (f)

65

69

6.052% 10/1/36 (f)

82

88

6.068% 7/1/36 (f)

266

280

6.078% 3/1/36 (f)

1,055

1,126

6.157% 6/1/37 (f)

1,567

1,656

6.194% 4/1/37 (f)

207

221

6.233% 8/1/37 (f)

471

501

6.452% 12/1/36 (f)

926

989

6.474% 6/1/36 (f)

125

133

6.5% 4/1/11 to 3/1/37

17,568

19,219

6.5% 6/1/40 (c)

1,800

1,961

6.605% 6/1/37 (f)

167

177

7% 6/1/21 to 9/1/36

4,636

5,136

7.22% 4/1/37 (f)

9

9

7.255% 2/1/37 (f)

56

60

7.5% 11/1/10 to 7/1/34

6,615

7,241

U.S. Government Agency - Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Freddie Mac - continued

8% 11/1/16 to 1/1/37

$ 163

$ 180

8.5% 6/1/16 to 9/1/20

21

23

9% 9/1/16 to 5/1/21

144

159

10% 3/1/11 to 5/1/19

25

28

10.5% 2/1/16

1

1

12.5% 10/1/12 to 12/1/14

12

13

13% 12/1/13 to 6/1/15

25

28

 

182,770

Government National Mortgage Association - 18.4%

4% 4/15/39 to 3/15/40

10,886

10,888

4.5% 5/15/39 to 5/20/40

22,868

23,513

4.5% 6/1/40 (c)

15,000

15,356

4.5% 6/1/40 (c)

16,000

16,422

4.5% 6/1/40 (c)

12,000

12,317

4.5% 6/1/40 (c)

2,400

2,463

4.5% 6/1/40 (c)

22,650

23,247

5% 9/20/33 to 5/15/36

4,030

4,285

5% 6/1/40 (c)

6,700

7,045

5% 6/1/40 (c)

3,000

3,154

5.5% 10/15/33 to 9/15/39

7,659

8,263

5.5% 4/20/60 (j)

3,925

4,299

5.5% 6/1/40 (c)(d)

9,450

10,133

5.5% 6/1/40 (c)(d)

5,000

5,361

5.5% 6/1/40 (c)(d)

4,000

4,289

5.5% 6/1/40 (c)(d)

7,500

8,042

6% 1/15/36

5,154

5,642

6.5% 2/15/32 to 7/15/36

2,172

2,415

7% 2/15/24 to 4/20/32

2,415

2,681

7.5% 9/15/16 to 4/15/32

889

971

8% 6/15/21 to 12/15/25

356

390

8.5% 8/15/16 to 10/15/28

482

536

9% 11/20/17

1

2

10.5% 12/20/15 to 2/20/18

47

54

 

171,768

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $1,015,258)

1,042,167

Asset-Backed Securities - 6.2%

 

Principal Amount (000s)

Value (000s)

Ally Master Owner Trust Series 2010-1 Class A, 2.0869% 1/15/15 (b)(f)

$ 7,000

$ 7,100

Bear Stearns Asset Backed Securities I Trust Series 2006-HE1 Class 1A2, 0.5628% 12/25/35 (f)

2,100

1,944

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

108

105

Capital Auto Receivables Asset Trust:

Series 2007-SN1 Class D, 6.05% 1/17/12

970

971

Series 2007-SN2 Class A4, 1.3669% 5/16/11 (b)(f)

6,964

6,970

Countrywide Asset-Backed Certificates Trust:

Series 2007-11 Class 2A1, 0.4028% 6/25/47 (f)

2,522

2,424

Series 2007-4 Class A1A, 0.3661% 9/25/37 (f)

2,008

1,883

Series 2007-5 Class 2A1, 0.4428% 9/25/47 (f)

1,187

1,074

Ford Credit Auto Owner Trust:

Series 2006-C Class D, 6.89% 5/15/13 (b)

715

751

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

350

373

Ford Credit Floorplan Master Owner Trust Series 2010-1 Class A, 1.9869% 12/15/14 (b)(f)

1,800

1,820

GSAMP Trust:

Series 2004-AR1 Class B4, 5% 6/25/34 (b)(f)

96

15

Series 2004-AR2 Class B1, 2.2428% 8/25/34 (f)

796

65

Series 2006-HE6 Class A1, 0.3728% 8/25/36 (f)

142

142

Series 2006-HE8 Class A2A, 0.4128% 1/25/37 (f)

26

26

Home Equity Asset Trust Series 2006-8 Class 2A1, 0.3928% 3/25/37 (f)

17

16

Merrill Lynch Mortgage Investors Trust Series 2006-MLN1 Class A2A, 0.4128% 7/25/37 (f)

106

104

Morgan Stanley ABS Capital I Trust Series 2005-3 Class A3, 0.7228% 8/25/35 (f)

3,181

3,012

National Collegiate Student Loan Trust:

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

2,528

458

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

332

331

Series 2006-4 Class AIO, 6.35% 2/27/12 (g)

4,205

417

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

6,370

802

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

4,540

601

Ocala Funding LLC Series 2006-1A Class A, 1.7397% 3/20/11 (a)(b)(f)

2,100

777

Option One Mortgage Loan Trust:

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

6,107

5,934

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

147

141

RAMP Trust Series 2006-RS4 Class A2, 0.4528% 7/25/36 (f)

249

248

Residential Asset Mortgage Products, Inc. Series 2003-RZ2 Class A1, 3.6% 4/25/33

355

316

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

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

$ 102

$ 99

Securitized Asset Backed Receivables LLC Trust:

Series 2005-FR4 Class B3, 2.0628% 1/25/36 (f)

500

10

Series 2006-FR4 Class A2A, 0.4228% 8/25/36 (f)

168

85

Series 2007-NC1 Class A2A, 0.3928% 12/25/36 (f)

82

79

Structured Asset Investment Loan Trust Series 2006-BNC3 Class A2, 0.3828% 9/25/36 (f)

187

187

Structured Asset Securities Corp.:

Series 2005-NC2 Class M3, 0.7728% 5/25/35 (f)

1,995

562

Series 2007-BC4 Class A3, 0.5125% 11/25/37 (f)

2,936

2,736

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

3,746

3,127

Swift Master Auto Receivables Trust:

Series 2007-1 Class A, 0.4369% 6/15/12 (f)

5,000

4,998

Series 2007-2 Class A, 0.9869% 10/15/12 (f)

7,500

7,475

WaMu Asset Holdings Corp.:

Series 2006-5 Class N1, 5.926% 7/25/46 (b)

1,148

0

Series 2006-7 Class N1, 5.926% 9/25/46 (b)

912

0

Series 2006-8 Class N1, 6.048% 10/25/46 (b)

1,160

0

TOTAL ASSET-BACKED SECURITIES

(Cost $64,975)

58,178

Collateralized Mortgage Obligations - 15.6%

 

Private Sponsor - 5.9%

American Home Mortgage Investment Trust floater Series 2004-2 Class 4A5, 2.463% 2/25/44 (f)

1,709

1,624

Arkle Master Issuer PLC floater Series 2006-1A Class 4A1, 0.5259% 2/17/52 (b)(f)

7,000

6,925

Banc of America Funding Corp. sequential payer Series 2010-R4 Class 2A1, 4.5% 3/26/37 (b)

862

869

Banc of America Mortgage Securities, Inc.:

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

1,284

1,147

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

987

870

BCAP LLC Trust Series 2010-RR2 Class 5A1, 5% 12/26/36 (b)(f)

4,852

4,839

Citigroup Mortgage Loan Trust Series 2006-AR7 Class 1A1, 4.3738% 11/25/36 (f)

170

109

Credit Suisse First Boston Mortgage Securities Corp. Series 2002-15R Class A1, 2.5082% 1/28/32 (b)(f)

205

141

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

1,339

1,256

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

Private Sponsor - continued

Fosse Master Issuer PLC floater:

Series 2006-1A Class C2, 0.7744% 10/18/54 (b)(f)

$ 770

$ 739

Series 2007-1A Class A2, 0.3844% 10/18/54 (b)(f)

660

655

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

1,675

1,574

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

2,520

2,451

Granite Master Issuer PLC floater:

Series 2005-4 Class C2, 0.8897% 12/20/54 (f)

700

297

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

155

64

Series 2007-1:

Class 1C1, 0.6397% 12/20/54 (f)

940

395

Class 2C1, 0.7697% 12/20/54 (f)

500

210

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

1,355

576

Granite Mortgages PLC floater Series 2003-3 Class 1B, 1.2053% 1/20/44 (f)

661

544

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

730

615

Luminent Mortgage Trust floater Series 2006-1 Class A1, 0.5828% 4/25/36 (f)

2,335

1,206

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

842

511

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

3,654

2,050

Morgan Stanley Resecuritization Trust floater Series 2010-F Class A, 0.5878% 6/17/13 (b)(f)

5,000

4,941

Permanent Financing No. 8 PLC floater:

Class 3C, 0.7743% 6/10/42 (f)

610

609

Series 8 Class 3B, 0.4542% 6/10/42 (f)

1,350

1,349

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

524

517

Structured Asset Securities Corp.:

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

700

665

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

758

757

Thornburg Mortgage Securities Trust floater:

Series 2006-4 Class A2B, 0.3661% 7/25/36 (f)

3,497

3,430

Series 2006-5 Class A1, 0.4628% 10/25/46 (f)

5,811

5,658

WaMu Mortgage pass-thru certificates Series 2005-AR16 Class 1A3, 5.0799% 12/25/35 (f)

2,065

1,596

Wells Fargo Mortgage Backed Securities Trust:

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

3,773

3,558

Series 2005-AR2 Class 1A2, 2.8808% 3/25/35 (f)

505

281

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

Private Sponsor - continued

Wells Fargo Mortgage Backed Securities Trust: - continued

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

$ 212

$ 192

Series 2006-AR8 Class 3A1, 5.2226% 4/25/36 (f)

2,254

1,986

TOTAL PRIVATE SPONSOR

55,206

U.S. Government Agency - 9.7%

Fannie Mae:

planned amortization class:

Series 1994-23:

Class PX, 6% 8/25/23

2,848

3,056

Class PZ, 6% 2/25/24

2,896

3,384

Series 1999-17 Class PG, 6% 4/25/29

3,752

4,119

Series 2006-105 Class MD, 5.5% 6/25/35

1,145

1,254

Series 1993-165 Class SH, 18.7391% 9/25/23 (f)(i)

121

133

Series 2003-26 Class KI, 5% 12/25/15 (g)

396

5

Series 2003-39 Class IA, 5.5% 10/25/22 (f)(g)

1,164

95

Series 2009-16 Class SA, 5.9072% 3/25/24 (f)(g)(i)

3,462

306

Series 2009-76 Class MI, 5.5% 9/25/24 (g)

1,716

204

Series 2010-23:

Class AI, 5% 12/25/18 (g)

2,498

294

Class HI, 4.5% 10/25/18 (g)

1,669

173

Series 2010-29 Class LI, 4.5% 6/25/19 (g)

4,789

535

Series 2010-37 Class GI, 5% 4/25/25 (g)

3,961

445

Fannie Mae Stripped Mortgage-Backed Securities:

sequential payer Series 377 Class 1, 10/1/36 (h)

2,785

2,384

Series 339 Class 29, 5.5% 7/1/18 (g)

1,275

155

Series 348 Class 14, 6.5% 8/1/34 (g)

651

135

Series 351:

Class 12, 5.5% 4/1/34 (g)

524

98

Class 13, 6% 3/1/34 (g)

621

117

Series 359, Class 19 6% 7/1/35 (g)

647

125

Series 384 Class 6, 5% 7/25/37 (g)

3,154

517

Fannie Mae subordinate REMIC pass-thru certificates:

floater:

Series 2007-36 Class FG, 0.7428% 4/25/37 (f)

2,204

2,205

Series 2007-57 Class FA, 0.5728% 6/25/37 (f)

7,952

7,870

planned amortization class:

Series 1999-32 Class PL, 6% 7/25/29

2,701

2,943

Series 1999-33 Class PK, 6% 7/25/29

1,822

2,008

Series 2001-52 Class YZ, 6.5% 10/25/31

162

180

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

U.S. Government Agency - continued

Fannie Mae subordinate REMIC pass-thru certificates: - continued

planned amortization class:

Series 2005-39 Class TE, 5% 5/25/35

$ 1,120

$ 1,221

Series 2005-73 Class SA, 16.6587% 8/25/35 (f)(i)

685

758

sequential payer:

Series 2001-20 Class Z, 6% 5/25/31

3,209

3,496

Series 2001-31 Class ZC, 6.5% 7/25/31

1,068

1,169

Series 2002-16 Class ZD, 6.5% 4/25/32

483

536

Series 2002-79 Class Z, 5.5% 11/25/22

1,913

2,068

Series 2003-80 Class CG, 6% 4/25/30

428

447

Series 2005-41 Class LA, 5.5% 5/25/35

3,009

3,201

Series 2003-21 Class SK, 7.7572% 3/25/33 (f)(g)(i)

538

107

Series 2003-3 Class HS, 7.3072% 9/25/16 (f)(g)(i)

17

0*

Series 2003-35:

Class BS, 6.6572% 4/25/17 (f)(g)(i)

281

11

Class TQ, 7.1572% 5/25/18 (f)(g)(i)

509

49

Series 2003-42 Class SJ, 6.7072% 11/25/22 (f)(g)(i)

577

43

Series 2003-48 Class HI, 5% 11/25/17 (g)

1,766

115

Series 2004-54 Class SW, 5.6572% 6/25/33 (f)(g)(i)

2,564

233

Series 2005-104 Class NI, 6.3572% 3/25/35 (f)(g)(i)

5,169

698

Series 2006-4 Class IT, 6% 10/25/35 (g)

212

13

Series 2007-36:

Class GO, 4/25/37 (h)

353

312

Class SG, 6.2572% 4/25/37 (f)(g)(i)

4,577

591

Series 2007-57 Class SA, 38.5631% 6/25/37 (f)(i)

2,381

4,048

Series 2007-66:

Class FB, 0.7428% 7/25/37 (f)

3,569

3,571

Class SB, 37.5431% 7/25/37 (f)(i)

658

1,117

Series 2009-114 Class AI, 5% 12/25/23 (g)

2,769

323

Series 2010-12 Class AI, 5% 12/25/18 (g)

5,039

593

Freddie Mac:

floater Series 3318:

Class CY, 0% 11/15/36 (f)

77

76

Class GY, 0% 5/15/37 (f)

112

109

planned amortization class:

Series 2095 Class PE, 6% 11/15/28

3,372

3,654

Series 2104 Class PG, 6% 12/15/28

1,078

1,177

Series 2162 Class PH, 6% 6/15/29

355

386

Series 70 Class C, 9% 9/15/20

74

82

sequential payer Series 2114 Class ZM, 6% 1/15/29

491

537

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

U.S. Government Agency - continued

Freddie Mac Manufactured Housing participation certificates guaranteed planned amortization class Series 2043 Class CJ, 6.5% 4/15/28

$ 1,167

$ 1,301

Freddie Mac Multi-class participation certificates guaranteed:

floater:

Series 2958 Class TF, 0% 4/15/35 (f)

127

125

Series 3129 Class MF, 0% 7/15/34 (f)

96

94

Series 3222 Class HF, 0% 9/15/36 (f)

207

206

planned amortization class:

Series 2121 Class MG, 6% 2/15/29

1,377

1,502

Series 2154 Class PT, 6% 5/15/29

2,069

2,253

Series 2435 Class VG, 6% 2/15/13

466

467

Series 2520 Class BE, 6% 11/15/32

1,970

2,168

Series 2585 Class KS, 7.2631% 3/15/23 (f)(g)(i)

297

31

Series 2590 Class YR, 5.5% 9/15/32 (g)

118

13

Series 2802 Class OB, 6% 5/15/34 (e)

3,375

3,782

Series 2810 Class PD, 6% 6/15/33

2,540

2,698

Series 3077 Class TO, 4/15/35 (h)

3,405

2,843

sequential payer:

Series 2135 Class JE, 6% 3/15/29

1,507

1,652

Series 2274 Class ZM, 6.5% 1/15/31

557

609

Series 2281 Class ZB, 6% 3/15/30

637

693

Series 2502 Class ZC, 6% 9/15/32

1,806

1,998

Series 2564 Class ES, 7.2631% 2/15/22 (f)(g)(i)

273

11

Series 2575 Class ID, 5.5% 8/15/22 (g)

69

5

Series 2817 Class SD, 6.7131% 7/15/30 (f)(g)(i)

784

54

Series 3097 Class IA, 5.5% 3/15/33 (g)

2,459

248

Series 1658 Class GZ, 7% 1/15/24

1,631

1,812

Series 2587 Class IM, 6.5% 3/15/33 (g)

935

171

Series 2844:

Class SC, 44.6103% 8/15/24 (f)(i)

67

122

Class SD, 82.0705% 8/15/24 (f)(i)

98

256

Series 2957 Class SW, 5.6631% 4/15/35 (f)(g)(i)

4,088

430

Series 3002 Class SN, 6.1631% 7/15/35 (f)(g)(i)

4,106

487

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

U.S. Government Agency - continued

Ginnie Mae guaranteed REMIC pass-thru securities:

sequential payer Series 2002-42 Class ZA, 6% 6/20/32

$ 1,384

$ 1,500

Series 2004-32 Class GS, 6.1631% 5/16/34 (f)(g)(i)

981

161

TOTAL U.S. GOVERNMENT AGENCY

91,173

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $144,463)

146,379

Commercial Mortgage Securities - 2.3%

 

Asset Securitization Corp. Series 1997-D5:

Class A-6, 7.1896% 2/14/43 (f)

4,300

4,565

Class PS1, 1.5207% 2/14/43 (f)(g)

10,958

353

Banc of America Commercial Mortgage, Inc. sequential payer Series 2004-4 Class A5, 4.576% 7/10/42

710

725

Bayview Commercial Asset Trust floater:

Series 2006-3A:

Class B1, 1.1428% 10/25/36 (b)(f)

228

46

Class B2, 1.6928% 10/25/36 (b)(f)

149

27

Class B3, 2.9428% 10/25/36 (b)(f)

267

48

Class M4, 0.7728% 10/25/36 (b)(f)

228

69

Class M5, 0.8228% 10/25/36 (b)(f)

291

79

Class M6, 0.9028% 10/25/36 (b)(f)

564

130

Series 2006-4A:

Class B1, 1.0428% 12/25/36 (b)(f)

88

19

Class B2, 1.5928% 12/25/36 (b)(f)

85

17

Class B3, 2.7928% 12/25/36 (b)(f)

156

28

Series 2007-1:

Class B1, 1.0128% 3/25/37 (b)(f)

133

31

Class B2, 1.4928% 3/25/37 (b)(f)

97

18

Class B3, 3.6928% 3/25/37 (b)(f)

276

47

Class M1, 0.6128% 3/25/37 (b)(f)

111

48

Class M2, 0.6328% 3/25/37 (b)(f)

86

33

Class M3, 0.6628% 3/25/37 (b)(f)

75

25

Class M4, 0.7128% 3/25/37 (b)(f)

57

17

Class M5, 0.7628% 3/25/37 (b)(f)

93

26

Class M6, 0.8428% 3/25/37 (b)(f)

133

33

Series 2007-2A:

Class B1, 1.9428% 7/25/37 (b)(f)

106

18

Class B2, 2.5928% 7/25/37 (b)(f)

90

15

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Bayview Commercial Asset Trust floater: - continued

Series 2007-2A:

Class B3, 3.6928% 7/25/37 (b)(f)

$ 102

$ 18

Class M4, 0.9928% 7/25/37 (b)(f)

131

31

Class M5, 1.0928% 7/25/37 (b)(f)

118

25

Class M6, 1.3428% 7/25/37 (b)(f)

147

27

Series 2007-3:

Class B1, 1.2928% 7/25/37 (b)(f)

90

18

Class B2, 1.9428% 7/25/37 (b)(f)

236

40

Class B3, 4.3428% 7/25/37 (b)(f)

121

18

Class M1, 0.6528% 7/25/37 (b)(f)

80

30

Class M2, 0.6828% 7/25/37 (b)(f)

83

29

Class M3, 0.7128% 7/25/37 (b)(f)

135

44

Class M4, 0.8428% 7/25/37 (b)(f)

215

63

Class M5, 0.9428% 7/25/37 (b)(f)

108

27

Class M6, 1.1428% 7/25/37 (b)(f)

83

19

Series 2007-4A:

Class B1, 2.8928% 9/25/37 (b)(f)

129

17

Class B2, 3.7928% 9/25/37 (b)(f)

478

57

Bear Stearns Commercial Mortgage Securities Trust Series 2002-TOP8 Class X2, 2.2979% 8/15/38 (b)(f)(g)

58,114

424

CDC Commercial Mortgage Trust Series 2002-FX1 Class XCL, 2.3619% 5/15/35 (b)(f)(g)

21,661

690

Chase Commercial Mortgage Securities Corp. Series 1999-2:

Class E, 7.734% 1/15/32

1,110

1,109

Class F, 7.734% 1/15/32

600

597

COMM pass-thru certificates sequential payer Series 2006-C8 Class A4, 5.306% 12/10/46

5,000

4,731

GS Mortgage Securities Corp. II Series 2001-LIBA Class E, 6.733% 2/14/16 (b)

1,525

1,576

LB-UBS Commercial Mortgage Trust:

sequential payer Series 2007-C1 Class A4, 5.424% 2/15/40

240

233

Series 2004-C2 Class XCP, 1.2292% 3/15/36 (b)(f)(g)

53,681

460

Series 2007-C1 Class XCP, 0.5131% 2/15/40 (f)(g)

13,352

171

LB-UBS Westfield Trust:

Series 2001-WM Class B, 6.647% 7/14/16 (b)

500

512

Series 2001-WM, 6.754% 7/14/16 (b)

500

515

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Merrill Lynch-CFC Commercial Mortgage Trust sequential payer Series 2007-6 Class A4, 5.485% 3/12/51 (f)

$ 175

$ 162

Nomura Asset Securities Corp. Series 1995-MD3 Class B2, 12.3586% 4/4/27 (f)

2,973

2,976

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $25,421)

21,036

Cash Equivalents - 16.0%

Maturity Amount (000s)

 

Investments in repurchase agreements in a joint trading account at 0.21%, dated 5/28/10 due 6/1/10 (Collateralized by U.S. Government Obligations) #
(Cost $149,745)

$ 149,748

149,745

TOTAL INVESTMENT PORTFOLIO - 151.4%

(Cost $1,399,862)

1,417,505

NET OTHER ASSETS (LIABILITIES) - (51.4)%

(481,069)

NET ASSETS - 100%

$ 936,436

Futures Contracts

Expiration Date

Underlying Face Amount at Value (000s)

Unrealized Appreciation/
(Depreciation) (000s)

Sold

Treasury Contracts

26 CBOT 2 Year U.S. Treasury Notes Index Contracts

Oct. 2010

$ 5,672

$ (6)

 

The face value of futures sold as a percentage of net assets is 0.6%

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 1.4175% with Credit Suisse First Boston

Oct. 2011

$ 10,000

$ (70)

Receive quarterly a floating rate based on 3-month LIBOR and pay semi-annually a fixed rate equal to 2.8025% with JPMorgan Chase, Inc.

Oct. 2014

14,330

(385)

Receive quarterly a floating rate based on 3-month LIBOR and pay semi-annually a fixed rate equal to 3.8225% with Credit Suisse First Boston

April 2020

5,400

(234)

Receive semi-annually a fixed rate equal to 4.245% and pay quarterly a floating rate based on 3-month LIBOR with JPMorgan Chase, Inc.

May 2039

3,600

146

 

$ 33,330

$ (543)

Legend

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

(b) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $46,354,000 or 5.0% of net assets.

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

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

(e) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the period end, the value of securities pledged amounted to $56,000.

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

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

(h) Principal Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans.

(i) Coupon is inversely indexed to a floating interest rate multiplied by a specified factor. The price may be considerably more volatile than the price of a comparable fixed rate security.

(j) 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)

$149,745,000 due 6/01/10 at 0.21%

Banc of America Securities LLC

$ 10,082

Bank of America, NA

95,344

J.P. Morgan Securities, Inc.

10,188

Mizuho Securities USA, Inc.

34,131

 

$ 149,745

Other Information

The following is a summary of the inputs used, as of May 31, 2010, involving the Fund's assets and liabilities carried at value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the tables below, please refer to the Investment Valuation section at the end of this listing.

Valuation Inputs at Reporting Date:

Description
(Amounts in thousands)

Total

Level 1

Level 2

Level 3

Investments in Securities:

U.S. Government Agency - Mortgage Securities

$ 1,042,167

$ -

$ 1,042,167

$ -

Asset-Backed Securities

58,178

-

55,675

2,503

Collateralized Mortgage Obligations

146,379

-

146,379

-

Commercial Mortgage Securities

21,036

-

19,799

1,237

Cash Equivalents

149,745

-

149,745

-

Total Investments in Securities:

$ 1,417,505

$ -

$ 1,413,765

$ 3,740

Derivative Instruments:

Assets

Swap Agreements

$ 146

$ -

$ 146

$ -

Liabilities

Futures Contracts

$ (6)

$ (6)

$ -

$ -

Swap Agreements

(689)

-

(689)

-

Total Liabilities

$ (695)

$ (6)

$ (689)

$ -

Total Derivative Instruments:

$ (549)

$ (6)

$ (543)

$ -

Other Financial Instruments:

Forward Commitments:

$ (826)

$ -

$ (826)

$ -

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

(Amounts in thousands)

 

Investments in Securities:

Beginning Balance

$ 10,215

Total Realized Gain (Loss)

1,012

Total Unrealized Gain (Loss)

3,866

Cost of Purchases

123

Proceeds of Sales

(11,858)

Amortization/Accretion

(62)

Transfers in to Level 3

1,466

Transfers out of Level 3

(1,022)

Ending Balance

$ 3,740

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

$ 328

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

Income Tax Information

At May 31, 2010, the cost of investment securities for income tax purposes was $1,399,864,000. Net unrealized appreciation aggregated $17,641,000, of which $36,400,000 related to appreciated investment securities and $18,759,000 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 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. Dealers which make markets in asset backed securities, collateralized mortgage obligations and commercial mortgage securities may also consider such factors as the structure of the issue, cash flow assumptions, the value of underlying assets as well as any guarantees. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates value and are categorized as Level 2 in the hierarchy. Swaps are marked-to-market daily based on valuations from independent pricing services or dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Pricing services utilize matrix pricing which considers comparisons to interest rate curves, credit spread curves, default possibilities and recovery rates and, as a result, swaps are generally categorized as Level 2 in the hierarchy. When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing matrices which consider similar factors that would be used by independent pricing services. These are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

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.

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.

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 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 Short
Fixed-Income Fund
Class A
Class T
Class B
Class C
Institutional Class

May 31, 2010 

1.804867.106

SFI-QTLY-0710

Investments May 31, 2010 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 24.4%

 

Principal Amount

Value

CONSUMER DISCRETIONARY - 2.1%

Auto Components - 0.3%

DaimlerChrysler NA Holding Corp.:

5.75% 9/8/11

$ 3,076,000

$ 3,208,360

5.875% 3/15/11

900,000

927,804

 

4,136,164

Diversified Consumer Services - 0.1%

Yale University 2.9% 10/15/14

970,000

994,602

Household Durables - 0.3%

Fortune Brands, Inc.:

3% 6/1/12

1,230,000

1,243,947

5.125% 1/15/11

1,919,000

1,962,425

Whirlpool Corp. 6.125% 6/15/11

1,250,000

1,298,618

 

4,504,990

Media - 1.2%

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

3,945,000

4,084,618

COX Communications, Inc. 7.125% 10/1/12

3,434,000

3,822,406

NBC Universal, Inc. 3.65% 4/30/15 (d)

1,310,000

1,326,437

News America, Inc. 5.3% 12/15/14

2,007,000

2,190,964

Time Warner Cable, Inc. 5.4% 7/2/12

2,542,000

2,724,826

Time Warner, Inc. 5.5% 11/15/11

1,362,000

1,438,043

 

15,587,294

Specialty Retail - 0.2%

Staples, Inc.:

7.375% 10/1/12

1,224,000

1,362,838

7.75% 4/1/11

1,510,000

1,585,243

 

2,948,081

TOTAL CONSUMER DISCRETIONARY

28,171,131

CONSUMER STAPLES - 1.3%

Beverages - 0.6%

Anheuser-Busch InBev Worldwide, Inc.:

2.5% 3/26/13 (d)

2,054,000

2,058,371

7.2% 1/15/14 (d)

2,150,000

2,450,918

Diageo Capital PLC 5.2% 1/30/13

510,000

554,405

Diageo Finance BV 5.5% 4/1/13

1,807,000

1,987,386

The Coca-Cola Co. 3.625% 3/15/14

1,300,000

1,374,767

 

8,425,847

Nonconvertible Bonds - continued

 

Principal Amount

Value

CONSUMER STAPLES - continued

Food Products - 0.3%

Cargill, Inc. 5.2% 1/22/13 (d)

$ 500,000

$ 537,321

Kraft Foods, Inc.:

2.625% 5/8/13

2,575,000

2,610,713

5.625% 11/1/11

1,200,000

1,268,284

 

4,416,318

Household Products - 0.2%

Procter & Gamble Co. 4.6% 1/15/14

2,178,000

2,362,074

Personal Products - 0.2%

Avon Products, Inc. 4.8% 3/1/13

1,691,000

1,816,073

TOTAL CONSUMER STAPLES

17,020,312

ENERGY - 1.7%

Oil, Gas & Consumable Fuels - 1.7%

Cenovus Energy, Inc. 4.5% 9/15/14 (d)

2,105,000

2,220,880

Delek & Avner-Yam Tethys Ltd. 5.326% 8/1/13 (d)

1,447,561

1,470,592

Enterprise Products Operating LP 4.6% 8/1/12

1,896,000

1,982,423

Gazstream SA 5.625% 7/22/13 (d)

1,225,126

1,215,938

NGPL PipeCo LLC 6.514% 12/15/12 (d)

1,400,000

1,434,469

Petroleum Export Ltd.:

4.623% 6/15/10 (d)

84,167

84,073

4.633% 6/15/10 (d)

50,556

50,500

Plains All American Pipeline LP:

4.25% 9/1/12

1,800,000

1,877,513

7.75% 10/15/12

411,000

456,446

Ras Laffan Liquefied Natural Gas Co. Ltd. III 4.5% 9/30/12 (d)

704,000

726,206

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

1,922,000

2,074,689

Shell International Finance BV 1.875% 3/25/13

2,590,000

2,597,967

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

1,835,000

1,907,602

Williams Companies, Inc. 6.375% 10/1/10 (d)

2,250,000

2,276,807

XTO Energy, Inc. 4.9% 2/1/14

1,559,000

1,697,023

 

22,073,128

FINANCIALS - 13.1%

Capital Markets - 1.8%

Bear Stearns Companies, Inc. 6.95% 8/10/12

1,850,000

2,031,761

Goldman Sachs Group, Inc.:

3.625% 8/1/12

4,250,000

4,272,563

4.75% 7/15/13

930,000

946,362

Nonconvertible Bonds - continued

 

Principal Amount

Value

FINANCIALS - continued

Capital Markets - continued

Goldman Sachs Group, Inc.: - continued

5.25% 10/15/13

$ 867,000

$ 902,093

6% 5/1/14

117,000

123,444

Janus Capital Group, Inc. 6.125% 9/15/11 (c)

965,000

979,132

JPMorgan Chase & Co. 1.1597% 2/26/13 (g)

2,500,000

2,495,143

Merrill Lynch & Co., Inc. 6.05% 8/15/12

950,000

998,406

Morgan Stanley:

2.9228% 5/14/13 (g)

650,000

648,824

5.25% 11/2/12

1,250,000

1,306,236

6% 5/13/14

2,530,000

2,622,565

6.6% 4/1/12

2,428,000

2,554,676

Northern Trust Corp. 4.625% 5/1/14

283,000

304,456

The Bank of New York, Inc. 4.3% 5/15/14

1,140,000

1,213,231

UBS AG Stamford Branch 1.5841% 2/23/12 (g)

2,500,000

2,497,775

 

23,896,667

Commercial Banks - 5.0%

ANZ National International Ltd. 2.375% 12/21/12 (d)

3,132,000

3,146,880

Bank of Nova Scotia 2.25% 1/22/13

4,250,000

4,321,868

Bank of Tokyo-Mitsubishi UFJ Ltd. 2.6% 1/22/13 (d)

3,170,000

3,221,671

Barclays Bank PLC 2.5% 1/23/13

3,080,000

3,023,895

Chase Manhattan Corp. 7.875% 6/15/10

1,990,000

1,994,087

Commonwealth Bank of Australia 3.75% 10/15/14 (d)

2,990,000

3,047,139

Credit Agricole SA:

0.4322% 6/7/11 (d)(g)

1,800,000

1,785,109

3.5% 4/13/15 (d)

890,000

869,868

Credit Suisse New York Branch:

3.45% 7/2/12

1,677,000

1,731,610

5% 5/15/13

5,523,000

5,874,832

DBS Bank Ltd. (Singapore) 0.6559% 5/16/17 (d)(g)

147,614

138,757

HSBC Holdings PLC 0.4915% 10/6/16 (g)

145,000

142,401

ING Bank NV 2.65% 1/14/13 (d)

2,540,000

2,525,855

Manufacturers & Traders Trust Co. 1.7909% 4/1/13 (d)(g)

91,476

89,236

National Australia Bank Ltd. 2.35% 11/16/12 (d)

3,290,000

3,320,643

PNC Funding Corp.:

3% 5/19/14

1,700,000

1,703,334

3.625% 2/8/15

1,445,000

1,474,164

Rabobank Nederland NV 2.65% 8/17/12 (d)

7,720,000

7,847,890

Regions Financial Corp. 4.875% 4/26/13

1,300,000

1,296,205

Royal Bank of Scotland PLC 1.5% 3/30/12 (d)

3,080,000

3,078,380

Nonconvertible Bonds - continued

 

Principal Amount

Value

FINANCIALS - continued

Commercial Banks - continued

Santander US Debt SA Unipersonal 2.485% 1/18/13 (d)

$ 2,570,000

$ 2,518,202

Sovereign Bank 2.0544% 8/1/13 (g)

207,598

205,003

Svenska Handelsbanken AB 2.875% 9/14/12 (d)

4,282,000

4,345,005

US Bancorp 4.2% 5/15/14

1,770,000

1,856,565

Wells Fargo & Co.:

3.625% 4/15/15

1,200,000

1,214,344

4.375% 1/31/13

2,120,000

2,219,757

5.25% 10/23/12

646,000

691,727

Westpac Banking Corp.:

0.8449% 4/8/13 (d)(g)

1,300,000

1,300,776

2.25% 11/19/12

2,470,000

2,481,846

 

67,467,049

Consumer Finance - 1.7%

American Honda Finance Corp. 2.375% 3/18/13 (d)

550,000

554,203

Capital One Financial Corp.:

5.7% 9/15/11

707,000

737,219

7.375% 5/23/14

2,500,000

2,840,210

Caterpillar Financial Services Corp. 2% 4/5/13

979,000

984,963

General Electric Capital Corp.:

3.5% 8/13/12

13,197,000

13,556,288

5.9% 5/13/14

1,650,000

1,802,698

HSBC Finance Corp. 5.9% 6/19/12

1,200,000

1,278,583

Systems 2001 Asset Trust LLC 7.156% 12/15/11 (d)

422,371

440,322

 

22,194,486

Diversified Financial Services - 2.3%

Bank of America Corp. 5.375% 8/15/11

1,650,000

1,717,508

BB&T Corp. 3.375% 9/25/13

1,200,000

1,228,328

BNP Paribas US Medium-Term Note Program LLC 2.125% 12/21/12

2,030,000

2,018,096

BP Capital Markets PLC 3.125% 3/10/12

1,831,000

1,858,470

Citigroup, Inc.:

0.5351% 5/18/11 (g)

1,200,000

1,187,062

5.3% 10/17/12

3,539,000

3,670,987

6.5% 8/19/13

1,463,000

1,540,821

Deutsche Bank AG London Branch 2.375% 1/11/13

5,240,000

5,205,799

Iberbond 2004 PLC 4.826% 12/24/17 (i)

1,791,552

1,648,228

JPMorgan Chase & Co. 4.891% 9/1/15 (g)

2,440,000

2,434,173

MassMutual Global Funding II 3.625% 7/16/12 (d)

800,000

826,914

Nonconvertible Bonds - continued

 

Principal Amount

Value

FINANCIALS - continued

Diversified Financial Services - continued

New York Life Global Fund:

2.25% 12/14/12 (d)

$ 1,200,000

$ 1,217,816

5.25% 10/16/12 (d)

2,280,000

2,468,531

OAO Industry & Construction Bank 6.2% 9/29/15 (Issued by Or-ICB SA for OAO Industry & Construction Bank) (g)

270,000

268,677

Pricoa Global Funding I 5.45% 6/11/14 (d)

1,150,000

1,239,695

USAA Capital Corp. 3.5% 7/17/14 (d)

1,798,000

1,847,346

 

30,378,451

Insurance - 1.0%

Berkshire Hathaway, Inc. 2.125% 2/11/13

2,570,000

2,597,923

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

1,620,000

1,614,006

Metropolitan Life Global Funding I:

2.5% 1/11/13 (d)

2,105,000

2,120,078

2.875% 9/17/12 (d)

2,254,000

2,303,342

5.125% 6/10/14 (d)

1,039,000

1,114,564

5.75% 7/25/11 (d)

1,300,000

1,361,323

Prudential Financial, Inc. 3.625% 9/17/12

1,850,000

1,888,856

 

13,000,092

Real Estate Management & Development - 0.6%

Brandywine Operating Partnership LP 5.625% 12/15/10

2,925,000

2,970,615

Duke Realty LP 5.625% 8/15/11

918,000

943,022

Liberty Property LP 6.375% 8/15/12

1,358,000

1,443,549

Simon Property Group LP:

4.2% 2/1/15

484,000

495,711

4.6% 6/15/10

604,000

604,595

5.3% 5/30/13

1,511,000

1,620,785

 

8,078,277

Thrifts & Mortgage Finance - 0.7%

Bank of America Corp. 7.375% 5/15/14

2,212,000

2,442,422

Countrywide Financial Corp. 5.8% 6/7/12

3,693,000

3,892,935

Independence Community Bank Corp. 2.331% 6/20/13 (g)

1,123,347

1,108,905

US Central Federal Credit Union 1.9% 10/19/12

1,810,000

1,834,717

 

9,278,979

TOTAL FINANCIALS

174,294,001

Nonconvertible Bonds - continued

 

Principal Amount

Value

HEALTH CARE - 0.4%

Health Care Providers & Services - 0.1%

Express Scripts, Inc. 5.25% 6/15/12

$ 1,783,000

$ 1,907,958

Pharmaceuticals - 0.3%

Pfizer, Inc. 4.45% 3/15/12

1,450,000

1,530,137

Roche Holdings, Inc. 4.5% 3/1/12 (d)

1,600,000

1,684,784

Wyeth 5.5% 2/1/14

703,000

781,515

 

3,996,436

TOTAL HEALTH CARE

5,904,394

INDUSTRIALS - 0.8%

Aerospace & Defense - 0.3%

BAE Systems Holdings, Inc.:

4.75% 8/15/10 (d)

2,600,000

2,618,086

4.95% 6/1/14 (d)

1,500,000

1,608,167

 

4,226,253

Airlines - 0.1%

American Airlines, Inc. pass-thru trust certificates 6.978% 10/1/12

20,108

20,209

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

1,645,000

1,661,450

 

1,681,659

Commercial Services & Supplies - 0.3%

R.R. Donnelley & Sons Co. 5.625% 1/15/12

3,030,000

3,141,952

Industrial Conglomerates - 0.1%

Covidien International Finance SA 5.45% 10/15/12

610,000

668,216

Hutchison Whampoa International (03/33) Ltd. 5.45% 11/24/10 (d)

980,000

999,253

 

1,667,469

TOTAL INDUSTRIALS

10,717,333

INFORMATION TECHNOLOGY - 0.2%

Computers & Peripherals - 0.2%

Hewlett-Packard Co. 4.25% 2/24/12

1,820,000

1,917,723

Semiconductors & Semiconductor Equipment - 0.0%

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

393,509

393,450

TOTAL INFORMATION TECHNOLOGY

2,311,173

Nonconvertible Bonds - continued

 

Principal Amount

Value

MATERIALS - 0.6%

Chemicals - 0.4%

Dow Chemical Co. 4.85% 8/15/12

$ 4,852,000

$ 5,098,263

Metals & Mining - 0.2%

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

774,000

825,511

Corporacion Nacional del Cobre (Codelco) 6.375% 11/30/12 (d)

700,000

760,722

Rio Tinto Finance (USA) Ltd. 8.95% 5/1/14

1,413,000

1,697,516

 

3,283,749

TOTAL MATERIALS

8,382,012

TELECOMMUNICATION SERVICES - 2.5%

Diversified Telecommunication Services - 1.7%

AT&T Broadband Corp. 8.375% 3/15/13

750,000

868,988

AT&T, Inc.:

4.95% 1/15/13

2,327,000

2,504,692

6.7% 11/15/13

470,000

537,499

Deutsche Telekom International Financial BV 5.375% 3/23/11

4,000,000

4,123,916

France Telecom SA 4.375% 7/8/14

1,491,000

1,589,249

SBC Communications, Inc. 5.875% 2/1/12

1,031,000

1,105,074

Telecom Italia Capital SA:

4.875% 10/1/10

1,100,000

1,110,874

6.175% 6/18/14

3,100,000

3,206,990

Telefonica Emisiones SAU 2.582% 4/26/13

3,300,000

3,262,667

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

1,475,000

1,563,302

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

2,651,000

2,868,793

 

22,742,044

Wireless Telecommunication Services - 0.8%

DIRECTV Holdings LLC/DIRECTV Financing, Inc. 4.75% 10/1/14

2,496,000

2,641,155

Verizon Wireless Capital LLC:

3.75% 5/20/11

3,531,000

3,617,672

5.25% 2/1/12

1,252,000

1,328,523

Vodafone Group PLC 5.5% 6/15/11

3,380,000

3,521,335

 

11,108,685

TOTAL TELECOMMUNICATION SERVICES

33,850,729

Nonconvertible Bonds - continued

 

Principal Amount

Value

UTILITIES - 1.7%

Electric Utilities - 1.2%

Commonwealth Edison Co. 5.4% 12/15/11

$ 992,000

$ 1,051,061

EDP Finance BV 5.375% 11/2/12 (d)

1,000,000

1,038,096

Exelon Corp. 4.45% 6/15/10

3,750,000

3,754,680

FirstEnergy Corp. 6.45% 11/15/11

2,045,000

2,163,536

FirstEnergy Solutions Corp. 4.8% 2/15/15

340,000

350,853

Niagara Mohawk Power Corp. 3.553% 10/1/14 (d)

2,675,000

2,707,822

Progress Energy, Inc.:

6.05% 3/15/14

815,000

907,372

7.1% 3/1/11

2,181,000

2,276,713

Southern Co.:

0.7053% 10/21/11 (g)

1,173,000

1,177,108

4.15% 5/15/14

412,000

433,193

 

15,860,434

Independent Power Producers & Energy Traders - 0.2%

PSEG Power LLC 2.5% 4/15/13 (d)

2,260,000

2,266,692

Multi-Utilities - 0.3%

Dominion Resources, Inc. 6.3% 9/30/66 (g)

1,336,000

1,235,800

DTE Energy Co. 7.05% 6/1/11

1,600,000

1,682,274

KeySpan Corp. 7.625% 11/15/10

790,000

813,503

NiSource Finance Corp. 7.875% 11/15/10

780,000

801,776

 

4,533,353

TOTAL UTILITIES

22,660,479

TOTAL NONCONVERTIBLE BONDS

(Cost $317,300,557)

325,384,692

U.S. Government and Government Agency Obligations - 48.5%

 

U.S. Government Agency Obligations - 11.7%

Fannie Mae:

1% 4/4/12

2,250,000

2,252,756

1.5% 6/26/13

23,477,000

23,434,718

1.75% 5/7/13

30,270,000

30,485,855

2.5% 5/15/14

18,754,000

19,155,504

2.75% 3/13/14

1,060,000

1,093,799

Federal Home Loan Bank:

1.125% 5/18/12

9,650,000

9,673,855

1.625% 11/21/12

4,340,000

4,378,149

U.S. Government and Government Agency Obligations - continued

 

Principal Amount

Value

U.S. Government Agency Obligations - continued

Federal Home Loan Bank: - continued

1.75% 8/22/12

$ 2,400,000

$ 2,434,015

1.875% 6/21/13

5,840,000

5,893,547

Freddie Mac:

1.125% 7/27/12

9,220,000

9,227,643

1.625% 4/15/13

36,138,000

36,321,003

1.75% 6/15/12

5,501,000

5,581,111

2.125% 3/23/12

2,125,000

2,174,064

2.125% 9/21/12

2,490,000

2,544,155

2.5% 4/23/14

1,200,000

1,226,450

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS

155,876,624

U.S. Treasury Obligations - 33.6%

U.S. Treasury Notes:

0.75% 11/30/11

12,516,000

12,535,062

0.75% 5/31/12

2,619,000

2,617,376

0.875% 1/31/12

210,219,000

210,826,736

1% 4/30/12

43,909,000

44,109,664

1.375% 5/15/12

7,194,000

7,282,242

1.375% 2/15/13

26,139,000

26,281,954

1.375% 5/15/13

26,270,000

26,370,614

1.75% 4/15/13

55,377,000

56,203,225

1.875% 6/15/12

36,763,000

37,590,168

1.875% 4/30/14

25,000,000

25,138,675

TOTAL U.S. TREASURY OBLIGATIONS

448,955,716

Other Government Related - 3.2%

American Express Bank FSB 3.15% 12/9/11 (FDIC Guaranteed) (e)

1,200,000

1,241,515

Bank of America Corp.:

2.1% 4/30/12 (FDIC Guaranteed) (e)

1,035,000

1,056,682

3.125% 6/15/12 (FDIC Guaranteed) (e)

959,000

998,390

Citibank NA 1.875% 6/4/12 (FDIC Guaranteed) (e)

2,440,000

2,475,073

Citigroup Funding, Inc.:

1.875% 10/22/12 (FDIC Guaranteed) (e)

4,800,000

4,862,654

1.875% 11/15/12 (FDIC Guaranteed) (e)

2,900,000

2,937,990

Citigroup, Inc. 2.875% 12/9/11 (FDIC Guaranteed) (e)

1,540,000

1,586,910

General Electric Capital Corp.:

2% 9/28/12 (FDIC Guaranteed) (e)

3,700,000

3,761,091

2.625% 12/28/12 (FDIC Guaranteed) (e)

3,422,000

3,530,563

U.S. Government and Government Agency Obligations - continued

 

Principal Amount

Value

Other Government Related - continued

General Electric Capital Corp.: - continued

3% 12/9/11 (FDIC Guaranteed) (e)

$ 5,407,000

$ 5,577,715

Goldman Sachs Group, Inc.:

2.15% 3/15/12 (FDIC Guaranteed) (e)

500,000

510,997

3.25% 6/15/12 (FDIC Guaranteed) (e)

459,000

479,098

HSBC USA, Inc. 3.125% 12/16/11 (FDIC Guaranteed) (e)

560,000

579,273

JPMorgan Chase & Co. 3.125% 12/1/11 (FDIC Guaranteed) (e)

1,782,000

1,841,449

Morgan Stanley 3.25% 12/1/11 (FDIC Guaranteed) (e)

2,670,000

2,761,592

Wells Fargo & Co. 3% 12/9/11 (FDIC Guaranteed) (e)

7,700,000

7,945,476

TOTAL OTHER GOVERNMENT RELATED

42,146,468

TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $643,085,991)

646,978,808

U.S. Government Agency - Mortgage Securities - 6.3%

 

Fannie Mae - 4.8%

1.958% 10/1/33 (g)

713,857

728,533

2.026% 4/1/36 (g)

612,874

630,319

2.033% 1/1/35 (g)

2,964,989

3,055,764

2.072% 3/1/35 (g)

55,308

56,959

2.211% 4/1/36 (g)

195,717

201,599

2.327% 10/1/33 (g)

76,611

78,640

2.582% 3/1/35 (g)

42,329

44,163

2.697% 12/1/34 (g)

487,686

510,405

2.732% 5/1/35 (g)

786,987

819,135

2.799% 10/1/33 (g)

117,836

123,367

2.848% 11/1/36 (g)

157,016

164,323

2.899% 7/1/35 (g)

2,550,499

2,659,277

2.962% 2/1/39 (g)

2,770,211

2,872,257

3.097% 11/1/34 (g)

466,705

486,618

3.107% 10/1/35 (g)

1,015,046

1,054,226

3.139% 10/1/35 (g)

158,486

164,061

3.201% 1/1/40 (g)

1,276,125

1,300,851

3.203% 7/1/35 (g)

302,153

316,048

3.216% 2/1/35 (g)

916,210

951,695

3.258% 9/1/34 (g)

85,563

88,900

3.343% 11/1/36 (g)

1,029,643

1,078,843

U.S. Government Agency - Mortgage Securities - continued

 

Principal Amount

Value

Fannie Mae - continued

3.347% 7/1/35 (g)

$ 5,272,023

$ 5,420,667

3.352% 3/1/37 (g)

1,443,247

1,508,511

3.38% 7/1/35 (g)

292,237

304,507

3.454% 8/1/35 (g)

519,780

542,746

3.465% 4/1/35 (g)

299,972

314,320

3.475% 5/1/33 (g)

19,676

20,451

3.559% 5/1/35 (g)

1,778,605

1,857,315

3.589% 12/1/39 (g)

392,211

404,122

3.603% 3/1/40 (g)

1,536,164

1,582,990

3.687% 10/1/35 (g)

263,942

278,541

3.702% 12/1/33 (g)

458,093

476,582

3.721% 11/1/36 (g)

513,048

537,644

3.722% 9/1/39 (g)

348,426

359,770

3.775% 10/1/39 (g)

1,718,762

1,776,283

4.209% 10/1/37 (g)

1,043,368

1,091,641

4.5% 8/1/18 to 7/1/20

10,426,955

11,035,920

4.602% 7/1/35 (g)

912,447

943,781

4.795% 2/1/36 (g)

229,423

239,531

5% 3/1/18 to 1/1/21

8,098,188

8,661,227

5.5% 11/1/16 to 6/1/19

4,989,150

5,378,904

6.5% 6/1/11 to 3/1/35

3,122,725

3,382,822

7% 1/1/16 to 11/1/18

123,359

132,274

7.5% 5/1/12 to 10/1/14

33,650

36,121

11.5% 11/1/15

1,618

1,634

TOTAL FANNIE MAE

63,674,287

Freddie Mac - 1.5%

2.356% 7/1/36 (g)

495,419

511,311

2.452% 12/1/35 (g)

666,151

683,024

2.624% 1/1/35 (g)

158,472

165,436

2.627% 4/1/35 (g)

3,091,029

3,226,476

3.028% 11/1/35 (g)

485,458

508,072

3.087% 4/1/35 (g)

968,185

1,008,915

3.296% 1/1/35 (g)

97,764

102,591

3.341% 1/1/36 (g)

404,770

424,465

3.514% 12/1/39 (g)

1,202,679

1,236,102

3.536% 4/1/40 (g)

1,024,781

1,051,035

3.582% 8/1/34 (g)

204,201

214,425

3.587% 4/1/40 (g)

875,000

899,227

3.598% 6/1/35 (g)

256,649

269,552

3.639% 6/1/37 (g)

507,792

534,991

U.S. Government Agency - Mortgage Securities - continued

 

Principal Amount

Value

Freddie Mac - continued

3.702% 4/1/35 (g)

$ 416,010

$ 435,211

3.938% 6/1/35 (g)

134,246

140,400

4.024% 8/1/36 (g)

313,389

324,347

4.5% 8/1/18 to 11/1/18

5,869,082

6,211,955

4.724% 11/1/35 (g)

755,452

794,939

4.909% 9/1/35 (g)

533,062

558,824

8.5% 5/1/26 to 7/1/28

103,373

116,091

12% 11/1/19

5,395

6,035

TOTAL FREDDIE MAC

19,423,424

Government National Mortgage Association - 0.0%

7% 1/15/25 to 6/15/32

453,957

503,895

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $81,521,370)

83,601,606

Asset-Backed Securities - 10.6%

 

Accredited Mortgage Loan Trust:

Series 2003-3 Class A1, 4.46% 1/25/34

513,477

357,909

Series 2005-1 Class M1, 0.8128% 4/25/35 (g)

230,636

135,278

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

13,428

38

ACE Securities Corp. Home Equity Loan Trust:

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

14,796

14,044

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

26,974

24,090

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

11,862

307

Series 2006-OP1:

Class M4, 0.7128% 4/25/36 (g)

21,600

597

Class M5, 0.7328% 4/25/36 (g)

6,926

50

Advanta Business Card Master Trust:

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

18,260

399

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

84,385

83,093

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

20,603

20,590

Ally Auto Receivables Trust:

Series 2009 B Class A3, 1.98% 10/15/13 (d)

2,040,000

2,052,659

Series 2009-A Class A3, 2.33% 6/17/13 (d)

550,000

556,775

Series 2010-1 Class A4, 2.3% 12/15/14

1,800,000

1,805,733

Ally Master Owner Trust:

Series 2010-1 Class A, 2.0869% 1/15/15 (d)(g)

3,370,000

3,418,183

Asset-Backed Securities - continued

 

Principal Amount

Value

Ally Master Owner Trust: - continued

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

$ 1,180,000

$ 1,184,585

AmeriCredit Automobile Receivables Trust:

Series 2005-DA Class A4, 5.02% 11/6/12

1,092,483

1,099,978

Series 2006-1 Class D, 5.49% 4/6/12

1,115,000

1,136,908

AmeriCredit Prime Automobile Receivables Trust Series 2007-2M Class A3, 5.22% 6/8/12

277,845

280,179

Ameriquest Mortgage Securities, Inc. pass-thru certificates:

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

19,477

2,433

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

262,030

196,010

Argent Securities, Inc. pass-thru certificates:

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

82,560

57,641

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

188,388

59,588

Axon Financial Funding Ltd. 5.96% 4/4/17 (b)(d)(g)

432,000

4

Bank of America Auto Trust:

Series 2009-1A:

Class A3, 2.67% 7/15/13 (d)

1,300,000

1,321,878

Class A4, 3.52% 6/15/16 (d)

1,100,000

1,145,635

Class A2, 1.7% 12/15/11 (d)

376,151

376,954

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

900,000

910,325

Series 2009-3A Class A3, 1.67% 12/16/13 (d)

2,000,000

2,011,515

Bank of America Credit Card Master Trust Series 2006-A16 Class A16, 4.72% 5/15/13

3,980,000

4,064,127

BMW Vehicle Lease Trust Series 2009-1 Class A3, 2.91% 3/15/12

1,210,000

1,225,836

Brazos Higher Education Authority, Inc. Student Loan Rev. Series 2006 A2R, 1.0006% 12/1/41 (g)

1,524,581

1,522,234

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

278,439

264,517

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

22,073

21,640

Capital Auto Receivables Asset Trust:

Series 2007-1 Class B, 5.15% 9/17/12

1,085,000

1,125,275

Series 2007-SN1 Class D, 6.05% 1/17/12

750,000

750,683

Series 2007-SN2 Class A4, 1.3669% 5/16/11 (d)(g)

2,611,621

2,613,738

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

1,250,000

1,290,999

Capital One Auto Finance Trust Series 2007-C Class A4, 5.23% 7/15/14

1,200,000

1,255,612

Capital One Multi-Asset Execution Trust:

Series 2003-A5 Class A5, 0.6269% 7/15/13 (g)

830,000

830,096

Series 2007-A6 Class A6, 0.4069% 5/15/13 (g)

1,040,000

1,039,782

Series 2007-B5 Class B5, 5.4% 5/15/13

3,410,000

3,426,170

Asset-Backed Securities - continued

 

Principal Amount

Value

Capital One Multi-Asset Execution Trust: - continued

Series 2007-C3 Class C3, 0.6269% 4/15/13 (d)(g)

$ 369,000

$ 368,839

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

700,000

760,475

Series 2009-A1 Class A1, 1.4369% 4/15/13 (g)

700,000

700,198

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

3,572,000

3,647,547

Capital One Prime Auto Receivables Trust Series 2007-1 Class B1, 5.76% 12/15/13

1,060,000

1,096,854

Capital Trust Ltd. Series 2004-1:

Class A2, 0.7897% 7/20/39 (d)(g)

703,061

86,125

Class B, 1.0897% 7/20/39 (d)(g)

373,480

25,210

Class C, 1.4397% 7/20/39 (d)(g)

478,070

11,952

CarMax Auto Owner Trust:

Series 2006-2 Class C, 5.53% 3/15/13

1,070,000

1,106,314

Series 2009-2 Class A3, 1.74% 4/15/14

700,000

703,527

Carrington Mortgage Loan Trust:

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

144,785

28,260

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

54,000

1,015

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

23,652

953

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

228,766

81,819

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

20,402

18,142

Chase Issuance Trust:

Series 2005-A7 Class A7, 4.55% 3/15/13

1,700,000

1,738,830

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

900,000

973,748

Series 2008-9 Class A, 4.26% 5/15/13

1,330,000

1,370,566

Series 2009-A3 Class A3, 2.4% 6/17/13

4,010,000

4,064,152

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

1,290,000

1,287,433

Citibank Credit Card Issuance Trust:

Series 2006-A4 Class A4, 5.45% 5/10/13

1,200,000

1,249,381

Series 2007-B6 Class B6, 5% 11/8/12

3,410,000

3,460,097

Series 2008-A5 Class A5, 4.85% 4/22/15

1,400,000

1,514,797

Series 2009-A3 Class A3, 2.7% 6/24/13

1,665,000

1,692,821

Series 2009-A5 Class A5, 2.25% 12/23/14

4,500,000

4,552,562

CitiFinancial Auto Issuance Trust Series 2009-1 Class A2, 1.83% 11/15/12 (d)

1,200,000

1,203,362

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

97,135

3,864

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

41,917

0

Countrywide Home Loans, Inc.:

Series 2004-2 Class 3A4, 0.5928% 7/25/34 (g)

86,799

57,181

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

20,061

7,450

Asset-Backed Securities - continued

 

Principal Amount

Value

Countrywide Home Loans, Inc.: - continued

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

$ 74,616

$ 25,584

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

180,629

163,100

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

28,107

27,014

CPS Auto Receivables Trust Series 2007-C Class A3, 5.43% 5/15/12 (d)

306,474

309,203

Fannie Mae subordinate REMIC pass-thru certificates Series 2004-T5:

Class AB1, 0.4468% 5/28/35 (g)

159,655

136,871

Class AB3, 0.585% 5/28/35 (g)

67,441

58,392

Fieldstone Mortgage Investment Corp.:

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

36,914

13,791

Series 2006-2 Class M1, 0.6528% 7/25/36 (g)

1,430,000

25,588

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

571,298

181,114

First Franklin Mortgage Loan Trust:

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

477,089

421,664

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

728

725

Ford Credit Auto Lease Trust Series 2010-A Class A2, 1.04% 3/15/13 (d)

1,200,000

1,200,346

Ford Credit Auto Owner Trust:

Series 2006-B Class C, 5.68% 6/15/12

2,040,000

2,107,928

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

750,000

780,500

Series 2007-A:

Class B, 5.6% 10/15/12

490,000

518,600

Class C, 5.8% 2/15/13

775,000

820,352

Series 2008-B Class A3A, 4.28% 5/15/12

2,344,604

2,380,637

Series 2009-B:

Class A2, 2.4604% 11/15/11

312,403

313,197

Class A3, 2.79% 8/15/13

750,000

763,595

Series 2009-C Class A4, 4.43% 11/15/14

1,000,000

1,060,934

Series 2009-D Class A3, 2.17% 10/15/13

700,000

708,159

Series 2009-E Class A3, 1.51% 1/15/14

1,300,000

1,303,322

Ford Credit Floorplan Master Owner Trust:

Series 2006-4 Class B, 0.8869% 6/15/13 (g)

98,000

95,143

Series 2010-1 Class A, 1.9869% 12/15/14 (d)(g)

2,400,000

2,426,350

Franklin Auto Trust Series 2007-1:

Class A4, 5.03% 2/16/15

1,505,000

1,537,825

Class C, 5.43% 2/16/15

1,845,000

1,787,039

Fremont Home Loan Trust:

Series 2004-D:

Class M4, 1.2928% 11/25/34 (g)

104,293

19,303

Class M5, 1.3428% 11/25/34 (g)

66,415

9,952

Asset-Backed Securities - continued

 

Principal Amount

Value

Fremont Home Loan Trust: - continued

Series 2005-A:

Class M3, 0.8328% 1/25/35 (g)

$ 120,398

$ 42,777

Class M4, 1.0228% 1/25/35 (g)

46,138

6,103

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

298,000

204,362

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

791,550

633,240

GE Business Loan Trust Series 2003-1 Class A, 0.7669% 4/15/31 (d)(g)

36,165

31,825

GE Capital Credit Card Master Note Trust:

Series 2007-3 Class B, 5.49% 6/15/13

3,350,000

3,341,068

Series 2009-3 Class A, 2.54% 9/15/14

3,000,000

3,029,927

Greenpoint Credit LLC Series 2001-1 Class 1A, 0.6797% 4/20/32 (g)

80,397

78,824

GSAMP Trust:

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

278,359

171,271

Series 2006-HE6 Class A1, 0.3728% 8/25/36 (g)

174,075

173,161

Series 2006-HE8 Class A2A, 0.4128% 1/25/37 (g)

30,199

30,098

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

115,495

6,119

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

47,327

716

Guggenheim Structured Real Estate Funding Ltd.:

Series 2005-1 Class C, 1.4228% 5/25/30 (d)(g)

1,028,168

257,042

Series 2006-3:

Class B, 0.7428% 9/25/46 (d)(g)

783,117

156,623

Class C, 0.8928% 9/25/46 (d)(g)

1,943,752

291,563

Home Equity Asset Trust:

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

105,994

73,198

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

44,160

27,213

Series 2004-1 Class M2, 2.0428% 6/25/34 (g)

167,945

86,875

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

20,543

20,137

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

222,492

213,565

Series 2006-8 Class 2A1, 0.3928% 3/25/37 (g)

14,212

13,628

Honda Auto Receivables Owner Trust:

Series 2009-3 Class A3, 2.31% 5/15/13

900,000

912,942

Series 2010-1 Class A4, 1.98% 5/23/16

490,000

493,446

Series 2010-2 Class A3, 1.35% 5/20/13

1,470,000

1,468,295

HSBC Automotive Trust Series 2006-2 Class A4, 5.67% 6/17/13

3,500,000

3,546,333

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

106,507

79,775

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

157,118

57,009

Asset-Backed Securities - continued

 

Principal Amount

Value

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

$ 700,000

$ 707,961

Hyundai Auto Receivables Trust Series 2006-B Class C, 5.25% 5/15/13

261,158

264,231

John Deere Owner Trust Series 2009-B Class A-3, 1.57% 10/15/13

1,760,000

1,766,747

JPMorgan Auto Receivables Trust Series 2006-A:

Class B, 5.36% 12/15/14 (d)

44,260

44,295

Class C, 5.61% 12/15/14 (d)

162,576

162,830

JPMorgan Mortgage Acquisition Trust Series 2007-CH1:

Class AV4, 0.4728% 10/25/36 (g)

157,766

127,577

Class MV1, 0.5728% 10/25/36 (g)

128,153

46,807

Keycorp Student Loan Trust Series 1999-A Class A2, 0.6178% 12/27/29 (g)

111,338

92,555

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

399,322

40

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

25,221

17,865

Marriott Vacation Club Owner Trust:

Series 2005-2 Class A, 5.25% 10/20/27 (d)

357,873

362,396

Series 2006-1A:

Class B, 5.827% 4/20/28 (d)

114,068

105,107

Class C, 6.125% 4/20/28 (d)

114,068

94,936

MASTR Asset Backed Securities Trust:

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

57,024

1,838

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

99,598

4,787

MBNA Asset Backed Note Trust Series 2000-H Class C, 1.5369% 1/15/13 (d)(g)

1,890,000

1,887,901

Mercedes-Benz Auto Receivables Trust Series 2009-1 Class A3, 1.67% 1/15/14

920,000

926,998

Merrill Lynch Mortgage Investors Trust:

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

233,658

205,979

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

209,453

138,061

Morgan Stanley ABS Capital I Trust:

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

138,792

104,803

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

50,738

23,955

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

52,840

11,730

National Collegiate Funding LLC Series 2004-GT1 Class IO1, 7.87% 6/25/10 (d)(g)(h)

1,725,000

14,663

National Collegiate Student Loan Trust:

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

1,508,000

273,325

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

1,410,000

52,312

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

700,000

45,625

Asset-Backed Securities - continued

 

Principal Amount

Value

National Collegiate Student Loan Trust: - continued

Series 2006-3:

Class A1, 0.3728% 9/25/19 (g)

$ 6,602

$ 6,586

Class AIO, 7.1% 1/25/12 (h)

5,140,000

513,401

Series 2006-4:

Class A1, 0.3728% 3/25/25 (g)

65,794

64,782

Class AIO, 6.35% 2/27/12 (h)

880,000

87,304

New Century Home Equity Loan Trust Series 2005-D Class M2, 0.8128% 2/25/36 (g)

37,735

4,080

Nissan Auto Lease Trust:

Series 2009-A:

Class A2, 2.01% 4/15/11

426,375

427,211

Class A3, 2.92% 12/15/11

1,250,000

1,266,539

Series 2009-B Class A3, 2.07% 1/15/15

1,080,000

1,090,659

Series 2010-A Class A2, 1.1% 3/15/13

1,060,000

1,056,983

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

18,143

18,010

Northstar Education Finance, Inc., Delaware Series 2005-1 Class A5, 1.0738% 10/30/45 (g)

1,332,270

1,277,214

Ocala Funding LLC Series 2006-1A Class A, 1.7397% 3/20/11 (b)(d)(g)

149,000

55,130

Park Place Securities, Inc.:

Series 2004-WCW1:

Class M3, 1.5928% 9/25/34 (g)

797,630

339,951

Class M4, 1.7928% 9/25/34 (g)

1,086,724

184,802

Series 2004-WWF1 Class M4, 1.4428% 12/25/34 (g)

1,905,000

257,183

Series 2005-WCH1:

Class M2, 0.8628% 1/25/36 (g)

97,891

79,297

Class M3, 0.9028% 1/25/36 (g)

60,718

36,382

Class M4, 1.1728% 1/25/36 (g)

187,294

56,604

Series 2005-WHQ2:

Class M7, 1.5928% 5/25/35 (g)

913,983

15,021

Class M9, 2.2228% 5/25/35 (g)

37,359

91

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

461,052

458,029

Rental Car Finance Corp. Series 2005-1A Class A2, 4.59% 6/25/11 (d)

236,667

236,767

Residential Asset Mortgage Products, Inc. Series 2003-RZ2 Class A1, 3.6% 4/25/33

175,163

155,894

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

648

536

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

216,266

143,094

Asset-Backed Securities - continued

 

Principal Amount

Value

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

$ 94,629

$ 88,086

SLM Private Credit Student Loan Trust:

Series 2004 B Class A2, 0.457% 6/15/21 (g)

1,800,000

1,549,919

Series 2004-A:

Class B, 0.837% 6/15/33 (g)

397,498

234,076

Class C, 1.207% 6/15/33 (g)

1,181,000

153,955

Series 2004-B Class C, 1.127% 9/15/33 (g)

1,900,000

760,000

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

9,723

1,449

Swift Master Auto Receivables Trust:

Series 2007-1 Class A, 0.4369% 6/15/12 (g)

364,000

363,865

Series 2007-2 Class A, 0.9869% 10/15/12 (g)

1,915,000

1,908,699

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

86,903

61,596

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

465,653

464,920

USAA Auto Owner Trust Series 2009-2 Class A3, 1.54% 10/15/12

1,690,000

1,698,330

Wachovia Auto Loan Owner Trust:

Series 2006-1 Class D, 5.42% 4/21/14 (d)

3,615,000

3,652,307

Series 2006-2A Class D, 5.54% 12/20/12 (d)

2,245,000

2,268,977

Series 2007-1 Class D, 5.65% 2/20/13

2,640,000

2,692,985

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

112,639

0

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

7,850

136

WaMu Master Note Trust:

Series 2006-C2A Class C2, 0.8369% 8/15/15 (d)(g)

888,516

878,017

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

4,400,000

4,467,299

Series 2007-A5A Class A5, 1.0869% 10/15/14 (d)(g)

220,000

220,178

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

961

0

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

1,390,735

458,942

TOTAL ASSET-BACKED SECURITIES

(Cost $151,794,517)

141,381,534

Collateralized Mortgage Obligations - 4.5%

 

Principal Amount

Value

Private Sponsor - 1.3%

Arkle Master Issuer PLC floater Series 2006-1A Class 4A1, 0.5259% 2/17/52 (d)(g)

$ 3,300,000

$ 3,264,815

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

180,708

99,390

Banc of America Funding Corp. sequential payer Series 2010-R4 Class 2A1, 4.5% 3/26/37 (d)

1,227,085

1,236,682

Banc of America Mortgage Securities, Inc. Series 2004-B Class 1A1, 2.9236% 3/25/34 (g)

7,522

6,496

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

2,546

2,425

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

17,043

16,670

Fosse Master Issuer PLC floater:

Series 2006-1A:

Class B2, 0.4644% 10/18/54 (d)(g)

362,000

353,348

Class C2, 0.7744% 10/18/54 (d)(g)

121,000

116,063

Class M2, 0.5544% 10/18/54 (d)(g)

208,000

200,408

Series 2007-1A Class A2, 0.3844% 10/18/54 (d)(g)

899,934

893,435

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

311,000

292,216

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

395,000

384,114

Granite Master Issuer PLC floater:

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

762,000

350,520

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

3,254,000

1,334,140

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

142,000

61,093

Series 2006-4:

Class B1, 0.4297% 12/20/54 (g)

381,000

281,940

Class C1, 0.7197% 12/20/54 (g)

233,000

100,190

Class M1, 0.5097% 12/20/54 (g)

100,000

63,500

Series 2007-1:

Class 1C1, 0.6397% 12/20/54 (g)

235,000

98,700

Class 1M1, 0.4897% 12/20/54 (g)

153,000

94,860

Class 2C1, 0.7697% 12/20/54 (g)

107,000

44,940

Class 2M1, 0.5897% 12/20/54 (g)

196,000

121,520

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

272,000

115,600

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

54,183

29,496

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

49,884

29,672

Collateralized Mortgage Obligations - continued

 

Principal Amount

Value

Private Sponsor - continued

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

$ 152,370

$ 92,509

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

204,966

115,008

Merrill Lynch Floating Trust floater Series 2006-1:

Class B, 0.507% 6/15/22 (d)(g)

26,395

23,756

Class C, 0.527% 6/15/22 (d)(g)

161,633

140,621

Class D, 0.537% 6/15/22 (d)(g)

62,186

52,858

Class E, 0.547% 6/15/22 (d)(g)

99,468

77,585

Class F, 0.577% 6/15/22 (d)(g)

179,345

132,715

Class G, 0.647% 6/15/22 (d)(g)

37,282

26,097

Class H, 0.667% 6/15/22 (d)(g)

74,650

48,523

Class J, 0.707% 6/15/22 (d)(g)

87,091

47,900

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

310,176

18,851

Permanent Financing No. 8 PLC floater:

Class 3C, 0.7743% 6/10/42 (g)

260,000

259,779

Series 8 Class 3B, 0.4542% 6/10/42 (g)

1,875,000

1,874,033

RESI Finance LP/RESI Finance DE Corp. floater:

Series 2003-B Class B5, 2.6471% 7/10/35 (d)(g)

129,121

69,312

Series 2004-A:

Class B4, 1.4971% 2/10/36 (d)(g)

83,537

43,857

Class B5, 1.9971% 2/10/36 (d)(g)

55,686

29,413

Series 2004-B:

Class B4, 1.3971% 2/10/36 (d)(g)

36,558

18,710

Class B5, 1.8471% 2/10/36 (d)(g)

28,311

12,497

Class B6, 2.2971% 2/10/36 (d)(g)

9,876

3,262

Series 2004-C:

Class B4, 1.2471% 9/10/36 (d)(g)

49,821

26,081

Class B5, 1.6471% 9/10/36 (d)(g)

55,866

25,011

Class B6, 2.0471% 9/10/36 (d)(g)

12,371

3,935

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

34,805

28,667

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

5,293

2,730

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

415,454

219,921

Thornburg Mortgage Securities Trust floater:

Series 2006-4 Class A2B, 0.3661% 7/25/36 (g)

1,977,159

1,939,183

Series 2006-5 Class A1, 0.4628% 10/25/46 (g)

920,002

895,902

Collateralized Mortgage Obligations - continued

 

Principal Amount

Value

Private Sponsor - continued

Wachovia Bank Commercial Mortgage Trust Series 2004-C14 Class PP, 5.3117% 8/15/41 (d)(g)

$ 1,496,324

$ 1,389,388

Wells Fargo Mortgage Backed Securities Trust Series 2005-AR3 Class 2A1, 3.2394% 3/25/35 (g)

183,035

165,673

TOTAL PRIVATE SPONSOR

17,376,010

U.S. Government Agency - 3.2%

Fannie Mae:

planned amortization class:

Series 1993-187 Class L, 6.5% 7/25/23

357,140

368,819

Series 2006-64 Class PA, 5.5% 2/25/30

2,218,564

2,305,099

Series 2008-29 Class CA, 4.5% 9/25/35

3,963,028

4,178,319

Fannie Mae subordinate REMIC pass-thru certificates:

planned amortization class:

Series 2006-49 Class CA, 6% 2/25/31

2,818,836

2,921,466

Series 2006-54 Class PE, 6% 2/25/33

1,146,573

1,230,301

sequential payer:

Series 2001-40 Class Z, 6% 8/25/31

696,789

773,081

Series 2003-76 Class BA, 4.5% 3/25/18

1,664,052

1,752,245

Freddie Mac sequential payer Series 2114 Class ZM, 6% 1/15/29

313,132

343,077

Freddie Mac Multi-class participation certificates guaranteed:

planned amortization class:

Series 2535 Class PC, 6% 9/15/32

871,767

928,563

Series 2690 Class PD, 5% 2/15/27

796,942

809,335

Series 2755 Class LC, 4% 6/15/27

829,585

838,724

Series 2901 Class UM, 4.5% 1/15/30

2,328,931

2,427,552

sequential payer:

Series 2609 Class UJ, 6% 2/15/17

524,305

552,304

Series 2635 Class DG, 4.5% 1/15/18

1,907,258

2,007,065

Series 2780 Class A, 4% 12/15/14

776,980

783,273

Series 2867 Class EA, 4.5% 11/15/18

548,892

574,616

Series 2895 Class EJ, 4% 8/15/17

1,130,239

1,170,099

Series 2970 Class YA, 5% 9/15/18

510,245

528,613

Series 3427 Class FX, 0.4869% 8/15/18 (g)

2,466,806

2,465,398

Collateralized Mortgage Obligations - continued

 

Principal Amount

Value

U.S. Government Agency - continued

Freddie Mac Multi-class participation certificates guaranteed: - continued

sequential payer:

Series 3555:

Class CM, 4% 12/15/14

$ 7,713,456

$ 7,991,725

Class KH, 4% 12/15/14

7,989,344

8,329,821

TOTAL U.S. GOVERNMENT AGENCY

43,279,495

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $58,849,110)

60,655,505

Commercial Mortgage Securities - 3.8%

 

280 Park Avenue Trust floater Series 2001-280 Class X1, 0.9751% 2/3/11 (d)(g)(h)

14,203,938

84,671

Asset Securitization Corp. Series 1997-D5 Class PS1, 1.5207% 2/14/43 (g)(h)

2,877,313

92,716

Banc of America Commercial Mortgage Trust sequential payer:

Series 2006-5 Class A1, 5.185% 9/10/47

280,889

283,992

Series 2007-3 Class A1, 5.659% 6/10/49 (g)

1,202,528

1,231,001

Banc of America Commercial Mortgage, Inc.:

Series 2004-6 Class XP, 0.6738% 12/10/42 (g)(h)

8,505,824

58,723

Series 2005-4 Class XP, 0.3158% 7/10/45 (g)(h)

11,560,569

57,560

Banc of America Large Loan, Inc. floater:

Series 2005-MIB1:

Class F, 0.8069% 3/15/22 (d)(g)

78,149

61,738

Class G, 0.8669% 3/15/22 (d)(g)

50,652

36,469

Series 2006-BIX1:

Class F, 0.6469% 10/15/19 (d)(g)

201,139

154,877

Class G, 0.6669% 10/15/19 (d)(g)

137,009

93,166

Bayview Commercial Asset Trust:

floater:

Series 2003-2 Class M1, 1.1928% 12/25/33 (d)(g)

10,857

6,514

Series 2004-1:

Class A, 0.7028% 4/25/34 (d)(g)

523,315

413,419

Class B, 2.2428% 4/25/34 (d)(g)

63,398

31,699

Class M1, 0.9028% 4/25/34 (d)(g)

36,709

24,962

Class M2, 1.5428% 4/25/34 (d)(g)

35,407

20,536

Series 2004-2:

Class A, 0.7728% 8/25/34 (d)(g)

428,677

340,798

Class M1, 0.9228% 8/25/34 (d)(g)

152,778

97,778

Commercial Mortgage Securities - continued

 

Principal Amount

Value

Bayview Commercial Asset Trust: - continued

floater:

Series 2004-3:

Class A1, 0.7128% 1/25/35 (d)(g)

$ 754,157

$ 595,784

Class A2, 0.7628% 1/25/35 (d)(g)

114,951

77,017

Class M1, 0.8428% 1/25/35 (d)(g)

40,696

26,453

Class M2, 1.3428% 1/25/35 (d)(g)

26,335

16,327

Series 2005-2A:

Class A1, 0.6528% 8/25/35 (d)(g)

172,374

121,144

Class M1, 0.7728% 8/25/35 (d)(g)

12,790

6,340

Class M2, 0.8228% 8/25/35 (d)(g)

21,095

9,826

Class M3, 0.8428% 8/25/35 (d)(g)

11,671

5,117

Class M4, 0.9528% 8/25/35 (d)(g)

10,714

4,405

Series 2005-3A:

Class A1, 0.6628% 11/25/35 (d)(g)

94,086

68,165

Class A2, 0.7428% 11/25/35 (d)(g)

60,997

40,868

Class M1, 0.7828% 11/25/35 (d)(g)

11,128

5,523

Class M2, 0.8328% 11/25/35 (d)(g)

14,128

6,656

Class M3, 0.8528% 11/25/35 (d)(g)

12,644

5,623

Class M4, 0.9428% 11/25/35 (d)(g)

15,754

6,579

Series 2005-4A:

Class A2, 0.7328% 1/25/36 (d)(g)

1,088,723

729,444

Class B1, 1.7428% 1/25/36 (d)(g)

73,257

25,640

Class M1, 0.7928% 1/25/36 (d)(g)

342,423

188,332

Class M2, 0.8128% 1/25/36 (d)(g)

129,939

64,969

Class M3, 0.8428% 1/25/36 (d)(g)

139,649

65,635

Class M4, 0.9528% 1/25/36 (d)(g)

71,459

30,013

Class M5, 0.9928% 1/25/36 (d)(g)

71,459

28,583

Class M6, 1.0428% 1/25/36 (d)(g)

72,517

27,556

Series 2006-1:

Class A2, 0.7028% 4/25/36 (d)(g)

33,621

20,606

Class M1, 0.7228% 4/25/36 (d)(g)

12,025

5,525

Class M2, 0.7428% 4/25/36 (d)(g)

12,705

5,467

Class M3, 0.7628% 4/25/36 (d)(g)

10,931

4,424

Class M4, 0.8628% 4/25/36 (d)(g)

6,195

2,354

Class M5, 0.9028% 4/25/36 (d)(g)

6,012

2,137

Class M6, 0.9828% 4/25/36 (d)(g)

11,988

4,020

Series 2006-2A:

Class A1, 0.5728% 7/25/36 (d)(g)

335,303

231,829

Class A2, 0.6228% 7/25/36 (d)(g)

30,271

20,282

Class B1, 1.2128% 7/25/36 (d)(g)

11,334

3,376

Class B3, 3.0428% 7/25/36 (d)(g)

17,124

4,683

Class M1, 0.6528% 7/25/36 (d)(g)

31,761

14,003

Commercial Mortgage Securities - continued

 

Principal Amount

Value

Bayview Commercial Asset Trust: - continued

floater:

Series 2006-2A:

Class M2, 0.6728% 7/25/36 (d)(g)

$ 22,409

$ 9,210

Class M3, 0.6928% 7/25/36 (d)(g)

18,588

7,093

Class M4, 0.7628% 7/25/36 (d)(g)

12,551

4,470

Class M5, 0.8128% 7/25/36 (d)(g)

15,427

5,201

Class M6, 0.8828% 7/25/36 (d)(g)

23,017

7,435

Series 2006-3A:

Class B1, 1.1428% 10/25/36 (d)(g)

19,903

3,981

Class B2, 1.6928% 10/25/36 (d)(g)

14,355

2,584

Class B3, 2.9428% 10/25/36 (d)(g)

23,360

4,205

Class M4, 0.7728% 10/25/36 (d)(g)

21,996

6,599

Class M5, 0.8228% 10/25/36 (d)(g)

26,333

7,110

Class M6, 0.9028% 10/25/36 (d)(g)

51,544

11,855

Series 2006-4A:

Class A1, 0.5728% 12/25/36 (d)(g)

92,789

64,980

Class A2, 0.6128% 12/25/36 (d)(g)

420,598

207,901

Class B1, 1.0428% 12/25/36 (d)(g)

14,703

3,211

Class B2, 1.5928% 12/25/36 (d)(g)

15,215

3,054

Class B3, 2.7928% 12/25/36 (d)(g)

25,125

4,558

Class M1, 0.6328% 12/25/36 (d)(g)

29,801

10,129

Class M2, 0.6528% 12/25/36 (d)(g)

20,319

6,409

Class M3, 0.6828% 12/25/36 (d)(g)

20,319

6,000

Class M4, 0.7428% 12/25/36 (d)(g)

24,382

6,778

Class M5, 0.7828% 12/25/36 (d)(g)

22,351

5,816

Class M6, 0.8628% 12/25/36 (d)(g)

20,319

4,881

Series 2007-1:

Class A2, 0.6128% 3/25/37 (d)(g)

464,513

301,934

Class B1, 1.0128% 3/25/37 (d)(g)

148,313

34,112

Class B2, 1.4928% 3/25/37 (d)(g)

108,737

20,660

Class B3, 3.6928% 3/25/37 (d)(g)

302,481

51,422

Class M1, 0.6128% 3/25/37 (d)(g)

127,018

54,618

Class M2, 0.6328% 3/25/37 (d)(g)

96,164

36,542

Class M3, 0.6628% 3/25/37 (d)(g)

83,514

27,560

Class M4, 0.7128% 3/25/37 (d)(g)

62,994

18,898

Class M5, 0.7628% 3/25/37 (d)(g)

105,305

29,485

Class M6, 0.8428% 3/25/37 (d)(g)

145,222

36,305

Series 2007-2A:

Class A1, 0.6128% 7/25/37 (d)(g)

73,484

53,643

Class A2, 0.6628% 7/25/37 (d)(g)

68,825

36,477

Class B1, 1.9428% 7/25/37 (d)(g)

21,565

3,666

Class B2, 2.5928% 7/25/37 (d)(g)

18,688

3,177

Class B3, 3.6928% 7/25/37 (d)(g)

21,018

3,678

Class M1, 0.7128% 7/25/37 (d)(g)

24,530

9,390

Commercial Mortgage Securities - continued

 

Principal Amount

Value

Bayview Commercial Asset Trust: - continued

floater:

Series 2007-2A:

Class M2, 0.7528% 7/25/37 (d)(g)

$ 13,765

$ 4,336

Class M3, 0.8328% 7/25/37 (d)(g)

13,941

3,904

Class M4, 0.9928% 7/25/37 (d)(g)

26,842

6,442

Class M5, 1.0928% 7/25/37 (d)(g)

23,736

4,985

Class M6, 1.3428% 7/25/37 (d)(g)

30,124

5,573

Series 2007-3:

Class A2, 0.6328% 7/25/37 (d)(g)

119,098

61,014

Class B1, 1.2928% 7/25/37 (d)(g)

102,493

20,232

Class B2, 1.9428% 7/25/37 (d)(g)

262,358

44,496

Class B3, 4.3428% 7/25/37 (d)(g)

136,602

20,559

Class M1, 0.6528% 7/25/37 (d)(g)

89,977

33,840

Class M2, 0.6828% 7/25/37 (d)(g)

94,598

32,958

Class M3, 0.7128% 7/25/37 (d)(g)

153,124

50,087

Class M4, 0.8428% 7/25/37 (d)(g)

242,142

70,560

Class M5, 0.9428% 7/25/37 (d)(g)

120,708

29,924

Class M6, 1.1428% 7/25/37 (d)(g)

94,268

21,946

Series 2007-4A:

Class A2, 0.8928% 9/25/37 (d)(g)

922,211

461,106

Class B1, 2.8928% 9/25/37 (d)(g)

152,711

19,852

Class B2, 3.7928% 9/25/37 (d)(g)

572,609

68,713

Class M1, 1.2928% 9/25/37 (d)(g)

142,901

37,154

Class M2, 1.3928% 9/25/37 (d)(g)

142,901

31,438

Class M4, 1.9428% 9/25/37 (d)(g)

376,589

67,786

Class M5, 2.0928% 9/25/37 (d)(g)

376,589

56,488

Class M6, 2.2928% 9/25/37 (d)(g)

376,682

52,735

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

4,157,537

153,413

Series 2006-2A Class IO, 1.7976% 7/25/36 (c)(d)(h)

11,807,764

740,347

Bear Stearns Commercial Mortgage Securities Trust:

floater:

Series 2006-BBA7:

Class G, 0.7769% 3/15/19 (d)(g)

102,211

51,106

Class H, 0.9869% 3/15/19 (d)(g)

68,774

28,197

Class J, 1.1869% 3/15/19 (d)(g)

51,667

19,633

Series 2007-BBA8:

Class D, 0.5869% 3/15/22 (d)(g)

52,963

34,374

Class E, 0.6369% 3/15/22 (d)(g)

275,033

168,889

Class F, 0.6869% 3/15/22 (d)(g)

168,653

97,444

Class G, 0.7369% 3/15/22 (d)(g)

43,346

23,847

Class H, 0.8869% 3/15/22 (d)(g)

52,963

26,150

Class J, 1.0369% 3/15/22 (d)(g)

52,963

21,472

Commercial Mortgage Securities - continued

 

Principal Amount

Value

Bear Stearns Commercial Mortgage Securities Trust: - continued

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

$ 1,073,618

$ 1,091,309

Series 2002-TOP8 Class X2, 2.2979% 8/15/38 (d)(g)(h)

5,302,941

38,684

Series 2003-PWR2 Class X2, 0.5984% 5/11/39 (d)(g)(h)

13,091,471

87,713

Series 2004-PWR6 Class X2, 0.7994% 11/11/41 (d)(g)(h)

5,692,059

78,246

Series 2005-PWR9 Class X2, 0.5361% 9/11/42 (d)(g)(h)

31,776,227

360,965

Series 2007-T28 Class A1, 5.422% 9/11/42

594,209

613,797

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

123,744

74,783

CDC Commercial Mortgage Trust Series 2002-FX1 Class XCL, 2.3619% 5/15/35 (d)(g)(h)

29,638,986

944,535

Citigroup Commercial Mortgage Trust:

floater Series 2006-FL2:

Class G, 0.6669% 8/15/21 (d)(g)

56,376

42,363

Class H, 0.7069% 8/15/21 (d)(g)

45,122

30,845

Series 2004-C2 Class XP, 1.0976% 10/15/41 (d)(g)(h)

6,624,792

86,462

Citigroup/Deutsche Bank Commercial Mortgage Trust Series 2006-CD3 Class X3, 0.62% 10/15/48 (g)(h)

54,496,184

757,900

Cobalt CMBS Commercial Mortgage Trust sequential payer Series 2007-C2 Class A2, 5.334% 4/15/47

2,457,279

2,499,869

COMM pass-thru certificates:

floater:

Series 2005-F10A:

Class D, 0.6469% 4/15/17 (d)(g)

120,571

92,840

Class E, 0.7069% 4/15/17 (d)(g)

38,383

28,787

Class F, 0.7469% 4/15/17 (d)(g)

21,773

14,152

Class G, 0.8869% 4/15/17 (d)(g)

21,773

11,540

Class H, 0.9569% 4/15/17 (d)(g)

21,773

8,274

Class J, 1.1869% 4/15/17 (d)(g)

16,697

4,675

Series 2005-FL11:

Class F, 0.7869% 11/15/17 (d)(g)

31,428

25,457

Class G, 0.8369% 11/15/17 (d)(g)

21,784

14,813

sequential payer:

Series 2006-C8 Class A2A, 5.219% 12/10/46

414,412

422,458

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

1,375,000

1,376,079

Series 2004-LBN2 Class X2, 1.0038% 3/10/39 (d)(g)(h)

1,852,854

11,462

Series 2005-LP5 Class XP, 0.4392% 5/10/43 (g)(h)

7,746,587

45,729

Commercial Mortgage Securities - continued

 

Principal Amount

Value

Commercial Mortgage Asset Trust sequential payer Series 1999-C1 Class A3, 6.64% 1/17/32

$ 102,660

$ 102,751

Credit Suisse Commercial Mortgage Trust Series 2006-C5 Class ASP, 0.8719% 12/15/39 (g)(h)

41,879,925

837,322

Credit Suisse First Boston Mortgage Securities Corp.:

Series 2001-CK6 Class AX, 1.1925% 8/15/36 (g)(h)

15,313,073

159,513

Series 2003-C3 Class ASP, 1.8882% 5/15/38 (d)(g)(h)

13,635,570

2,103

Series 2004-C1 Class ASP, 1.1321% 1/15/37 (d)(g)(h)

9,364,359

70,995

Series 2005-C1 Class ASP, 0.4882% 2/15/38 (d)(g)(h)

12,861,850

75,891

Series 2005-C2 Class ASP, 0.7063% 4/15/37 (d)(g)(h)

11,266,335

111,424

Credit Suisse Mortgage Capital Certificates floater Series 2007-TFL1:

Class C:

0.5069% 2/15/22 (d)(g)

236,650

130,158

0.6069% 2/15/22 (d)(g)

84,521

38,034

Class F, 0.6569% 2/15/22 (d)(g)

169,020

67,608

First Union National Bank-Bank of America Commercial Mortgage Trust Series 2001-C1 Class D, 6.484% 3/15/33

1,360,000

1,332,351

GE Capital Commercial Mortgage Corp. Series 2001-1 Class X1, 1.255% 5/15/33 (d)(g)(h)

10,053,098

72,138

GMAC Commercial Mortgage Securities, Inc.:

sequential payer Series 2003-C2 Class A1, 4.576% 5/10/40

1,286,834

1,334,087

Series 2004-C3 Class X2, 0.8072% 12/10/41 (g)(h)

6,980,816

58,203

Greenwich Capital Commercial Funding Corp.:

Series 2003-C2 Class XP, 1.0601% 1/5/36 (d)(g)(h)

10,593,922

51,149

Series 2005-GG3 Class XP, 0.6925% 8/10/42 (d)(g)(h)

29,101,627

359,292

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

89,769,535

1,010,365

GS Mortgage Securities Corp. II:

floater:

Series 2006-FL8A Class F, 0.7247% 6/6/20 (d)(g)

105,970

61,463

Series 2007-EOP:

Class C, 0.6047% 3/6/20 (d)(g)

720,000

640,800

Class D, 0.6547% 3/6/20 (d)(g)

215,000

189,200

Class E, 0.7247% 3/6/20 (d)(g)

360,000

313,200

Class F, 0.7647% 3/6/20 (d)(g)

180,000

154,800

Class G, 0.8047% 3/6/20 (d)(g)

90,000

74,700

Commercial Mortgage Securities - continued

 

Principal Amount

Value

GS Mortgage Securities Corp. II: - continued

floater:

Series 2007-EOP:

Class H, 0.9347% 3/6/20 (d)(g)

$ 150,000

$ 124,500

Class J, 1.1347% 3/6/20 (d)(g)

215,000

176,300

Series 2001-LIBA Class C, 6.733% 2/14/16 (d)

475,000

493,186

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

740,000

749,540

GS Mortgage Securities Trust sequential payer Series 2006-GG8 Class A2, 5.479% 11/10/39

770,000

785,811

Hilton Hotel Pool Trust:

sequential payer Series 2000-HLTA Class A1, 7.055% 10/3/15 (d)

103,906

105,463

Series 2000-HLTA Class D, 7.555% 10/3/15 (d)

1,275,000

1,302,831

JPMorgan Chase Commercial Mortgage Securities Corp.:

Series 2003-CB7 Class X2, 0.8899% 1/12/38 (d)(g)(h)

2,480,002

10,052

Series 2003-LN1 Class X2, 0.8231% 10/15/37 (d)(g)(h)

17,121,765

33,646

Series 2004-C1 Class X2, 1.1053% 1/15/38 (d)(g)(h)

2,183,601

14,997

Series 2004-CB8 Class X2, 1.2067% 1/12/39 (d)(g)(h)

2,599,975

21,879

Series 2006-LDP7 Class A2, 6.0502% 4/15/45 (g)

620,000

633,464

JPMorgan Chase Commercial Mortgage Securities Trust:

floater Series 2006-FLA2:

Class D, 0.5669% 11/15/18 (d)(g)

29,210

17,234

Class E, 0.6169% 11/15/18 (d)(g)

41,392

23,593

Class F, 0.6669% 11/15/18 (d)(g)

62,082

32,903

Class G, 0.6969% 11/15/18 (d)(g)

53,955

27,517

Class H, 0.8369% 11/15/18 (d)(g)

41,392

19,454

sequential payer:

Series 2006-LDP9 Class A1, 5.17% 5/15/47 (g)

596,240

606,543

Series 2008-C2 Class A1, 5.017% 2/12/51

395,963

406,532

LB-UBS Commercial Mortgage Trust:

sequential payer:

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

3,198,305

3,241,194

Series 2006-C6 Class A1, 5.23% 9/15/39

527,265

531,920

Series 2006-C7 Class A1, 5.279% 11/15/38

182,014

185,180

Series 2007-C1 Class A1, 5.391% 2/15/40 (g)

292,904

298,299

Series 2007-C2 Class A1, 5.226% 2/15/40

196,529

199,039

Series 2004-C2 Class XCP, 1.2292% 3/15/36 (d)(g)(h)

5,448,529

46,722

Series 2004-C6 Class XCP, 0.7715% 8/15/36 (d)(g)(h)

8,673,840

56,017

Series 2005-C7 Class XCP, 0.3203% 11/15/40 (g)(h)

58,960,313

292,638

Commercial Mortgage Securities - continued

 

Principal Amount

Value

LB-UBS Commercial Mortgage Trust: - continued

Series 2006-C1 Class XCP, 0.5108% 2/15/41 (g)(h)

$ 45,412,331

$ 419,851

Series 2006-C6 Class XCP, 0.8541% 9/15/39 (g)(h)

23,974,011

436,104

Series 2007-C1 Class XCP, 0.5131% 2/15/40 (g)(h)

9,621,373

123,572

Series 2007-C2 Class XCP, 0.7136% 2/15/40 (g)(h)

43,304,467

722,942

LB-UBS Westfield Trust:

Series 2001-WM Class X, 0.7824% 7/14/16 (d)(g)(h)

11,562,608

46,188

Series 2001-WM, 6.754% 7/14/16 (d)

1,085,000

1,118,156

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

Class F, 0.6769% 9/15/21 (d)(g)

145,070

105,265

Class G, 0.6969% 9/15/21 (d)(g)

286,588

187,868

Class H, 0.7369% 9/15/21 (d)(g)

73,934

29,381

Merrill Lynch Mortgage Trust:

sequential payer Series 2005-MKB2 Class A2, 4.806% 9/12/42

291,847

292,222

Series 2005-MCP1 Class XP, 0.7056% 6/12/43 (g)(h)

9,626,931

167,484

Series 2005-MKB2 Class XP, 0.398% 9/12/42 (g)(h)

4,440,836

29,863

Merrill Lynch-CFC Commercial Mortgage Trust:

sequential payer:

Series 2007-6 Class A1, 5.175% 3/12/51

256,561

260,483

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

487,676

496,859

Series 2007-9 Class A2, 5.59% 9/12/49

952,000

984,705

Series 2006-4 Class XP, 0.816% 12/12/49 (g)(h)

19,426,619

397,449

Morgan Stanley Capital I Trust:

floater:

Series 2006-XLF Class C, 1.537% 7/15/19 (d)(g)

104,414

14,357

Series 2007-XCLA Class A1, 0.537% 7/17/17 (d)(g)

323,697

135,953

Series 2007-XLCA Class B, 0.837% 7/17/17 (d)(g)

197,763

5,933

Series 2007-XLFA:

Class D, 0.527% 10/15/20 (d)(g)

84,694

19,480

Class E, 0.587% 10/15/20 (d)(g)

105,926

13,770

Class F, 0.637% 10/15/20 (d)(g)

63,569

5,721

Class G, 0.677% 10/15/20 (d)(g)

78,581

5,501

Class H, 0.767% 10/15/20 (d)(g)

49,464

1,484

Class J, 0.917% 10/15/20 (d)(g)

56,462

1,129

Class MHRO, 1.027% 10/15/20 (d)(g)

22,048

3,307

Class MJPM, 1.337% 10/15/20 (d)(g)

7,257

5,080

Class MSTR, 1.037% 10/15/20 (d)(g)

13,611

2,042

Class NHRO, 1.227% 10/15/20 (d)(g)

32,202

4,186

Commercial Mortgage Securities - continued

 

Principal Amount

Value

Morgan Stanley Capital I Trust: - continued

floater:

Series 2007-XLFA:

Class NSTR, 1.187% 10/15/20 (d)(g)

$ 12,676

$ 1,648

sequential payer:

Series 2003-IQ5 Class X2, 0.9866% 4/15/38 (d)(g)(h)

5,217,543

55,281

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

332,433

339,887

Series 2007-HQ11 Class A1, 5.246% 2/12/44

483,679

492,611

Series 2007-IQ14 Class A2, 5.61% 4/15/49

2,425,000

2,491,901

Series 2003-IQ6 Class X2, 0.7193% 12/15/41 (d)(g)(h)

10,847,649

96,517

Series 2005-HQ5 Class X2, 0.3493% 1/14/42 (g)(h)

10,790,392

61,532

Series 2005-IQ9 Class X2, 1.2108% 7/15/56 (d)(g)(h)

11,027,261

180,020

Series 2005-TOP17 Class X2, 0.7617% 12/13/41 (g)(h)

8,088,685

113,801

Series 2007-XLC1:

Class C, 0.937% 7/17/17 (d)(g)

269,743

8,092

Class D, 1.037% 7/17/17 (d)(g)

126,510

3,795

Class E, 1.137% 7/17/17 (d)(g)

103,244

3,097

Morgan Stanley Dean Witter Capital I Trust:

Series 2003-HQ2 Class X2, 1.5294% 3/12/35 (d)(g)(h)

8,469,128

88,333

Series 2003-TOP9 Class X2, 1.6444% 11/13/36 (d)(g)(h)

4,691,733

47,765

Nomura Asset Securities Corp. Series 1995-MD3
Class B2, 12.3586% 4/4/27 (g)

1,141,759

1,142,715

Wachovia Bank Commercial Mortgage Trust:

floater:

Series 2005-WL5A Class K, 1.5369% 1/15/18 (d)(g)

161,978

161,590

Series 2006-WL7A:

Class E, 0.6169% 9/15/21 (d)(g)

176,861

95,009

Class F, 0.6769% 8/11/18 (d)(g)

238,334

118,072

Class G, 0.6969% 8/11/18 (d)(g)

225,785

108,047

Class J, 0.9369% 8/11/18 (d)(g)

50,198

10,143

Series 2007-WHL8:

Class AP1, 1.0369% 6/15/20 (d)(g)

11,855

6,520

Class AP2, 1.1369% 6/15/20 (d)(g)

19,414

9,707

Class F, 0.8169% 6/15/20 (d)(g)

376,985

94,246

Class LXR2, 1.1369% 6/15/20 (d)(g)

257,008

102,803

sequential payer:

Series 2007-C30 Class A1, 5.031% 12/15/43

398,178

403,222

Series 2007-C31 Class A1, 5.14% 4/15/47

237,595

240,530

Commercial Mortgage Securities - continued

 

Principal Amount

Value

Wachovia Bank Commercial Mortgage Trust: - continued

Series 2005-C18 Class XP, 0.4935% 4/15/42 (d)(g)(h)

$ 15,870,002

$ 104,169

Series 2005-C20 Class A3SF, 0.3859% 7/15/42 (g)

763,173

738,705

Series 2006-C23 Class X, 0.2462% 1/15/45 (d)(g)(h)

232,720,308

830,765

Series 2007-C30 Class XP, 0.6284% 12/15/43 (d)(g)(h)

46,333,083

684,659

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $56,206,464)

50,570,606

Municipal Securities - 0.1%

 

Illinois Gen. Oblig. Series 2010, 3.321% 1/1/13
(Cost $1,780,000)

1,780,000

1,802,446

Foreign Government and Government Agency Obligations - 0.3%

 

Ontario Province 1.875% 11/19/12
(Cost $3,743,138)

3,750,000

3,778,493

Certificates of Deposit - 0.2%

 

Royal Bank of Canada New York Branch yankee 2.25% 3/15/13
(Cost $2,883,182)

2,885,000

2,923,290

Cash Equivalents - 3.0%

Maturity Amount

 

Investments in repurchase agreements in a joint trading account at 0.21%, dated 5/28/10 due 6/1/10 (Collateralized by U.S. Government Obligations) #
(Cost $39,952,000)

$ 39,952,927

39,952,000

TOTAL INVESTMENT PORTFOLIO - 101.7%

(Cost $1,357,116,329)

1,357,028,980

NET OTHER ASSETS - (1.7)%

(22,297,826)

NET ASSETS - 100%

$ 1,334,731,154

Swap Agreements

 

Expiration Date

Notional Amount

Value

Credit Default Swaps

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

August 2034

$ 74,964

$ (38,751)

Receive monthly notional amount multiplied by .85% and pay UBS upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC8 Class M6, 5.4413% 9/25/34 (f)

Oct. 2034

91,515

(48,736)

Receive monthly notional amount multiplied by 2.54% and pay Merrill Lynch upon credit event of Countrywide Home Loans, Inc., par value of the notional amount of Countrywide Home Loans, Inc. Series 2003-BC1 Class B1, 7.6913% 3/25/32 (Rating-Ba1) (f)

April 2032

31,876

(18,774)

Receive monthly notional amount multiplied by 2.61% and pay Goldman Sachs upon credit event of Fremont Home Loan Trust, par value of the notional amount of Fremont Home Loan Trust Series 2004-A Class B3, 7.0413% 1/25/34 (Rating-C) (f)

Feb. 2034

1,009

(930)

Receive monthly notional amount multiplied by 3.05% and pay Merrill Lynch upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC8, Class B3, 7.2913% 9/25/34 (Rating-B1) (f)

Oct. 2034

101,115

(55,840)

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

Sept. 2034

73,772

(58,959)

 

$ 374,251

$ (221,990)

Legend

(a) Non-income producing

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

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

(d) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $158,138,240 or 11.8% of net assets.

(e) Under the Temporary Liquidity Guarantee Program, the Federal Deposit Insurance Corporation guarantees principal and interest in the event of payment default or bankruptcy until the earlier of maturity date of the debt or until June 30, 2012. At the end of the period these securities amounted to $42,146,468 or 3.2% of net assets.

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

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

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

(i) 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 $1,648,228 or 0.1% of net assets.

Additional information on each holding is as follows:

Security

Acquisition Date

Acquisition Cost

Iberbond 2004 PLC 4.826% 12/24/17

11/30/05

$ 1,737,859

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

Repurchase Agreement / Counterparty

Value

$39,952,000 due 6/01/10 at 0.21%

Banc of America Securities LLC

$ 2,690,004

Bank of America, NA

25,437,468

J.P. Morgan Securities, Inc.

2,718,282

Mizuho Securities USA, Inc.

9,106,246

 

$ 39,952,000

Other Information

The following is a summary of the inputs used, as of May 31, 2010, involving the Fund's assets and liabilities carried at value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the tables below, please refer to the Investment Valuation section at the end of this listing.

Valuation Inputs at Reporting Date:

Description

Total

Level 1

Level 2

Level 3

Investments in Securities:

Corporate Bonds

$ 325,384,692

$ -

$ 325,384,692

$ -

U.S. Government and Government Agency Obligations

646,978,808

-

646,978,808

-

U.S. Government Agency - Mortgage Securities

83,601,606

-

83,601,606

-

Asset-Backed Securities

141,381,534

-

135,968,468

5,413,066

Collateralized Mortgage Obligations

60,655,505

-

60,516,712

138,793

Commercial Mortgage Securities

50,570,606

-

43,683,693

6,886,913

Municipal Securities

1,802,446

-

1,802,446

-

Foreign Government and Government Agency Obligations

3,778,493

-

3,778,493

-

Certificates of Deposit

2,923,290

-

2,923,290

-

Cash Equivalents

39,952,000

-

39,952,000

-

Total Investments in Securities:

$ 1,357,028,980

$ -

$ 1,344,590,208

$ 12,438,772

Derivative Instruments:

Liabilities

Swap Agreements

$ (221,990)

$ -

$ -

$ (221,990)

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

$ 19,220,781

Total Realized Gain (Loss)

(1,375,688)

Total Unrealized Gain (Loss)

3,956,656

Cost of Purchases

6,238

Proceeds of Sales

(4,636,567)

Amortization/Accretion

(207,975)

Transfers in to Level 3

1,513,997

Transfers out of Level 3

(6,038,670)

Ending Balance

$ 12,438,772

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

$ 1,876,379

Derivative Instruments:

Swap Agreements

Beginning Balance

$ (202,406)

Total Unrealized Gain (Loss)

112,212

Transfers in to Level 3

(131,796)

Transfers out of Level 3

-

Ending Balance

$ (221,990)

Realized gain (loss) on Swap Agreements for the period

$ 8,315

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

$ 110,730

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

Income Tax Information

At May 31, 2010, the cost of investment securities for income tax purposes was $1,355,991,877. Net unrealized appreciation aggregated $1,037,103, of which $23,606,224 related to appreciated investment securities and $22,569,121 related to depreciated investment securities.

Investment Valuation

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

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

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

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

Credit Default Swap Agreements

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

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

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

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

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

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

The notional amount of credit default swaps approximates the maximum potential amount of future payments that the Fund could be required to make if the Fund is the seller and a credit event were to occur. The total notional amount of all credit default swaps open at period end where the Fund is the seller amounted to $374,251 representing 0.03% 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

Item 2. Controls and Procedures

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

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

Item 3. Exhibits

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

SIGNATURES

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

Fidelity Advisor Series II

By:

/s/John R. Hebble

 

John R. Hebble

 

President and Treasurer

 

 

Date:

July 30, 2010

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

By:

/s/John R. Hebble

 

John R. Hebble

 

President and Treasurer

 

 

Date:

July 30, 2010

By:

/s/Christine Reynolds

 

Christine Reynolds

 

Chief Financial Officer

 

 

Date:

July 30, 2010