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 811-4861

Fidelity Garrison Street Trust
(Exact name of registrant as specified in charter)

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

Scott C. Goebel, Secretary

82 Devonshire St.

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

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

Date of fiscal year end:	December 31
Date of reporting period:	March 31, 2009

Item 1. Schedule of Investments

Quarterly Holdings Report

for

Fidelity® Variable Insurance Products:
Investment Grade Central Fund

March 31, 2009

1.847666.102

VIGC-QTLY-0509

Investments March 31, 2009 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 31.3%
	Principal Amount		Value
CONSUMER DISCRETIONARY - 3.0%
Diversified Consumer Services - 0.4%
President and Fellows of Harvard College 6.5% 1/15/39 (b)	$ 9,699,000		$ 10,834,074
Hotels, Restaurants & Leisure - 0.1%
McDonald's Corp. 6.3% 3/1/38	2,925,000		3,011,905
Household Durables - 0.2%
Fortune Brands, Inc.:
5.125% 1/15/11	4,010,000		3,935,534
5.875% 1/15/36	5,320,000		3,658,585
			7,594,119
Media - 2.0%
AOL Time Warner, Inc.:
6.75% 4/15/11	100,000		101,493
6.875% 5/1/12	290,000		295,162
7.625% 4/15/31	1,625,000		1,451,978
Comcast Corp.:
4.95% 6/15/16	2,975,000		2,699,182
5.5% 3/15/11	2,675,000		2,713,461
6.45% 3/15/37	5,676,000		4,958,837
COX Communications, Inc.:
4.625% 1/15/10	3,350,000		3,318,215
4.625% 6/1/13	3,475,000		3,160,137
6.25% 6/1/18 (b)	5,000,000		4,441,680
6.45% 12/1/36 (b)	1,043,000		792,613
6.95% 6/1/38 (b)	517,000		417,500
News America Holdings, Inc. 7.75% 12/1/45	1,905,000		1,562,085
News America, Inc.:
6.15% 3/1/37	1,745,000		1,272,300
6.2% 12/15/34	6,695,000		4,816,109
6.9% 3/1/19 (b)	1,207,000		1,126,230
Time Warner Cable, Inc.:
5.85% 5/1/17	2,467,000		2,211,656
6.2% 7/1/13	7,000,000		6,814,416
6.75% 7/1/18	4,425,000		4,153,765
7.3% 7/1/38	3,215,000		2,904,978
Time Warner, Inc.:
1.4613% 11/13/09 (h)	1,024,000		1,004,878
5.875% 11/15/16	6,572,000		6,219,859
6.5% 11/15/36	2,925,000		2,405,883
Viacom, Inc.:
1.67% 6/16/09 (h)	265,000		263,167
5.75% 4/30/11	1,410,000		1,373,564
6.125% 10/5/17	2,710,000		2,305,898
6.75% 10/5/37	935,000		661,698
			63,446,744
Specialty Retail - 0.3%
Staples, Inc. 9.75% 1/15/14	7,767,000		8,130,962
TOTAL CONSUMER DISCRETIONARY			93,017,804
	Principal Amount		Value
CONSUMER STAPLES - 2.4%
Beverages - 0.5%
Anheuser-Busch InBev Worldwide, Inc. 8.2% 1/15/39 (b)	$ 3,200,000		$ 3,139,949
Diageo Capital PLC:
5.2% 1/30/13	1,705,000		1,732,145
5.75% 10/23/17	3,817,000		3,891,046
FBG Finance Ltd. 5.125% 6/15/15 (b)	2,185,000		1,859,782
PepsiCo, Inc. 7.9% 11/1/18	4,560,000		5,602,676
			16,225,598
Food & Staples Retailing - 0.4%
CVS Caremark Corp.:
6.036% 12/10/28 (b)	7,053,641		5,300,882
6.302% 6/1/37 (h)	5,910,000		3,546,000
Wal-Mart Stores, Inc. 6.2% 4/15/38	4,050,000		4,093,627
			12,940,509
Food Products - 0.6%
Cargill, Inc. 6.625% 9/15/37 (b)	3,333,000		2,841,043
General Mills, Inc. 5.2% 3/17/15	3,528,000		3,596,083
Kraft Foods, Inc.:
6.125% 2/1/18	2,376,000		2,381,367
6.875% 2/1/38	4,900,000		4,811,981
6.875% 1/26/39	5,000,000		4,909,235
			18,539,709
Personal Products - 0.2%
Avon Products, Inc. 5.75% 3/1/18	5,995,000		5,835,977
Tobacco - 0.7%
Altria Group, Inc.:
9.7% 11/10/18	4,450,000		4,843,825
9.95% 11/10/38	2,699,000		2,693,354
Philip Morris International, Inc.:
4.875% 5/16/13	2,904,000		2,935,686
5.65% 5/16/18	2,751,000		2,733,410
6.375% 5/16/38	4,652,000		4,505,234
Reynolds American, Inc. 7.25% 6/15/37	3,055,000		2,138,500
			19,850,009
TOTAL CONSUMER STAPLES			73,391,802
ENERGY - 4.0%
Energy Equipment & Services - 0.7%
DCP Midstream LLC 9.75% 3/15/19 (b)	2,946,000		2,920,679
Halliburton Co.:
6.15% 9/15/19	2,430,000		2,469,189
7.45% 9/15/39	3,000,000		3,003,372
Transocean Ltd. 6% 3/15/18	7,310,000		6,886,897
Nonconvertible Bonds - continued
	Principal Amount		Value
ENERGY - continued
Energy Equipment & Services - continued
Weatherford International Ltd.:
7% 3/15/38	$ 2,250,000		$ 1,635,797
9.625% 3/1/19	5,089,000		5,263,619
			22,179,553
Oil, Gas & Consumable Fuels - 3.3%
Anadarko Petroleum Corp.:
5.95% 9/15/16	4,745,000		4,086,774
6.45% 9/15/36	1,155,000		807,305
Canadian Natural Resources Ltd.:
5.7% 5/15/17	5,685,000		5,068,746
6.25% 3/15/38	1,165,000		897,341
6.75% 2/1/39	1,135,000		898,503
ConocoPhillips:
5.75% 2/1/19	3,900,000		3,925,853
6.5% 2/1/39	2,542,000		2,479,660
Devon Energy Corp. 6.3% 1/15/19	3,000,000		2,927,025
Devon Financing Corp. U.L.C. 6.875% 9/30/11	3,000,000		3,137,382
Duke Capital LLC:
6.25% 2/15/13	855,000		855,066
6.75% 2/15/32	4,255,000		3,595,441
Duke Energy Field Services 6.45% 11/3/36 (b)	3,300,000		2,139,238
El Paso Natural Gas Co. 5.95% 4/15/17	3,330,000		2,924,503
Empresa Nacional de Petroleo 6.75% 11/15/12 (b)	6,135,000		6,266,516
EnCana Holdings Finance Corp. 5.8% 5/1/14	320,000		314,778
Kinder Morgan Energy Partners LP 5.125% 11/15/14	6,045,000		5,742,278
Nakilat, Inc. 6.067% 12/31/33 (b)	4,015,000		2,716,228
National Gas Co. of Trinidad & Tobago Ltd. 6.05% 1/15/36 (b)	925,000		610,500
Nexen, Inc.:
5.875% 3/10/35	5,405,000		3,576,062
6.4% 5/15/37	2,125,000		1,507,192
NGPL PipeCo LLC 6.514% 12/15/12 (b)	1,980,000		1,891,417
Pemex Project Funding Master Trust:
1.8644% 12/3/12 (b)(h)	410,000		345,425
2.62% 6/15/10 (b)(h)	4,480,000		4,300,800
Petro-Canada:
6.05% 5/15/18	1,480,000		1,272,671
6.8% 5/15/38	3,485,000		2,616,824
Petroleos Mexicanos 8% 5/3/19 (b)	5,984,000		5,834,400
Plains All American Pipeline LP:
6.125% 1/15/17	1,250,000		1,062,070
6.65% 1/15/37	1,950,000		1,413,368
	Principal Amount		Value
Ras Laffan Liquid Natural Gas Co. Ltd. III:
5.832% 9/30/16 (b)	$ 2,375,000		$ 2,241,691
6.332% 9/30/27 (b)	2,415,000		1,887,153
Suncor Energy, Inc.:
6.1% 6/1/18	4,665,000		3,978,531
6.85% 6/1/39	4,100,000		3,098,563
TEPPCO Partners LP:
6.65% 4/15/18	1,811,000		1,557,551
7.55% 4/15/38	3,470,000		2,690,641
Texas Eastern Transmission LP 6% 9/15/17 (b)	2,434,000		2,403,823
Transcontinental Gas Pipe Line Corp. 6.4% 4/15/16	615,000		600,202
Valero Energy Corp. 6.625% 6/15/37	1,575,000		1,113,334
XTO Energy, Inc.:
6.375% 6/15/38	5,075,000		4,521,607
6.75% 8/1/37	4,070,000		3,704,172
			101,010,634
TOTAL ENERGY			123,190,187
FINANCIALS - 12.0%
Capital Markets - 3.0%
Bear Stearns Companies, Inc. 6.95% 8/10/12	6,445,000		6,563,375
BlackRock, Inc. 6.25% 9/15/17	3,685,000		3,540,920
Goldman Sachs Group, Inc.:
5.25% 10/15/13	3,770,000		3,520,407
5.625% 1/15/17	3,000,000		2,336,901
5.7% 9/1/12	2,935,000		2,847,643
5.95% 1/18/18	755,000		685,418
6.15% 4/1/18	3,134,000		2,862,652
6.6% 1/15/12	4,610,000		4,603,823
6.75% 10/1/37	6,705,000		4,534,866
Janus Capital Group, Inc.:
6.125% 9/15/11 (a)	2,041,000		1,394,830
6.5% 6/15/12	6,015,000		3,813,029
JPMorgan Chase Capital XX 6.55% 9/29/36	3,090,000		1,983,839
JPMorgan Chase Capital XXV 6.8% 10/1/37	6,975,000		4,619,340
Lazard Group LLC:
6.85% 6/15/17	3,230,000		2,600,777
7.125% 5/15/15	5,585,000		4,356,300
Merrill Lynch & Co., Inc.:
4.25% 2/8/10	7,275,000		6,865,418
5.45% 2/5/13	2,509,000		2,056,778
6.15% 4/25/13	1,204,000		1,012,079
6.4% 8/28/17	1,300,000		932,629
6.875% 4/25/18	1,074,000		839,968
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Capital Markets - continued
Morgan Stanley:
1.6475% 1/9/12 (h)	$ 4,300,000		$ 3,451,103
4.75% 4/1/14	1,500,000		1,226,366
5.45% 1/9/17	900,000		787,500
5.95% 12/28/17	2,100,000		1,907,646
6.6% 4/1/12	7,695,000		7,729,597
6.625% 4/1/18	10,165,000		9,692,399
Northern Trust Corp. 5.5% 8/15/13	1,100,000		1,151,258
UBS AG Stamford Branch:
5.75% 4/25/18	4,720,000		3,948,063
5.875% 12/20/17	3,145,000		2,704,986
			94,569,910
Commercial Banks - 1.8%
American Express Bank FSB 6% 9/13/17	3,625,000		3,051,155
Bank of America NA 5.3% 3/15/17	1,480,000		1,087,538
Credit Suisse (Guernsey) Ltd. 5.86%	4,785,000		1,773,307
Credit Suisse First Boston 6% 2/15/18	6,110,000		5,329,148
Credit Suisse First Boston New York Branch 5% 5/15/13	2,403,000		2,321,973
DBS Bank Ltd. (Singapore) 1.4544% 5/16/17 (b)(h)	410,000		311,600
Export-Import Bank of Korea 5.5% 10/17/12	6,570,000		6,293,594
Fifth Third Bancorp:
4.5% 6/1/18	930,000		544,990
8.25% 3/1/38	3,564,000		2,184,354
HBOS PLC 6.75% 5/21/18 (b)	2,600,000		2,005,640
HSBC Holdings PLC:
1.6125% 10/6/16 (h)	399,000		291,586
6.5% 9/15/37	7,355,000		6,018,950
Korea Development Bank 5.3% 1/17/13	3,805,000		3,529,533
Manufacturers & Traders Trust Co. 2.935% 4/1/13 (b)(h)	269,000		226,626
National City Bank, Cleveland 4.5% 3/15/10	5,477,000		5,486,032
PNC Funding Corp. 1.3144% 1/31/12 (h)	1,019,000		828,866
Santander Issuances SA Unipersonal 1.6475% 6/20/16 (b)(h)	1,229,000		814,440
SouthTrust Corp. 5.8% 6/15/14	1,440,000		1,260,645
Standard Chartered Bank 6.4% 9/26/17 (b)	4,025,000		3,032,145
Wachovia Bank NA 4.875% 2/1/15	4,405,000		3,930,582
	Principal Amount		Value
Wachovia Corp. 4.875% 2/15/14	$ 785,000		$ 659,135
Wells Fargo & Co. 5.625% 12/11/17	4,754,000		4,337,607
			55,319,446
Consumer Finance - 1.3%
American Express Co. 8.15% 3/19/38	3,450,000		3,133,335
American General Finance Corp. 6.9% 12/15/17	2,370,000		830,654
Discover Financial Services 1.8613% 6/11/10 (h)	11,045,000		9,540,726
General Electric Capital Corp.:
5.625% 9/15/17	2,420,000		2,121,038
5.625% 5/1/18	9,700,000		8,434,354
5.875% 1/14/38	3,600,000		2,571,430
6.375% 11/15/67 (h)	4,000,000		1,942,328
MBNA America Bank NA 7.125% 11/15/12 (b)	1,075,000		986,039
MBNA Corp. 7.5% 3/15/12	1,860,000		1,718,253
SLM Corp.:
1.2994% 7/27/09 (h)	1,064,000		1,025,132
1.3194% 7/26/10 (h)	6,312,000		4,480,851
4.5% 7/26/10	2,555,000		1,916,250
			38,700,390
Diversified Financial Services - 1.8%
Bank of America Corp. 7.4% 1/15/11	9,125,000		8,506,873
BP Capital Markets PLC 5.25% 11/7/13	7,866,000		8,419,350
BTM Curacao Holding NV 1.6194% 12/19/16 (b)(h)	666,000		515,657
CIT Group, Inc.:
4.75% 12/15/10	3,006,000		2,424,132
5.4% 2/13/12	4,696,000		3,027,577
Citigroup, Inc.:
5.3% 10/17/12	3,180,000		2,802,874
5.5% 4/11/13	1,390,000		1,237,100
6.125% 5/15/18	1,390,000		1,199,760
6.5% 8/19/13	7,045,000		6,473,756
CME Group, Inc. 5.75% 2/15/14	1,779,000		1,833,510
GlaxoSmithKline Capital, Inc.:
5.65% 5/15/18	2,286,000		2,344,768
6.375% 5/15/38	2,905,000		2,933,643
International Lease Finance Corp. 5.65% 6/1/14	4,750,000		2,474,983
JPMorgan Chase & Co.:
4.891% 9/1/15 (h)	20,000		15,000
5.6% 6/1/11	127,000		128,231
5.75% 1/2/13	3,500,000		3,342,840
Prime Property Funding, Inc.:
5.125% 6/1/15 (b)	3,375,000		2,025,000
5.35% 4/15/12 (b)	1,700,000		1,206,539
5.5% 1/15/14 (b)	2,405,000		1,491,100
TECO Finance, Inc. 7% 5/1/12	1,740,000		1,607,478
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Diversified Financial Services - continued
ZFS Finance USA Trust II 6.45% 12/15/65 (b)(h)	$ 3,400,000		$ 1,469,167
ZFS Finance USA Trust V 6.5% 5/9/67 (b)(h)	4,035,000		1,654,350
			57,133,688
Insurance - 1.5%
American International Group, Inc. 8.175% 5/15/58 (b)(h)	3,075,000		261,993
Axis Capital Holdings Ltd. 5.75% 12/1/14	420,000		349,305
Hartford Financial Services Group, Inc. 8.125% 6/15/68 (h)	5,815,000		1,862,893
Lincoln National Corp. 7% 5/17/66 (h)	7,285,000		1,529,850
Marsh & McLennan Companies, Inc.:
7.125% 6/15/09	4,259,000		4,258,072
9.25% 4/15/19	6,066,000		6,183,729
Merna Reinsurance Ltd. Series 2007-1 Class B, 2.97% 6/30/12 (b)(h)	3,285,000		3,026,142
MetLife, Inc. 7.717% 2/15/19	4,779,000		4,285,143
New York Life Global Funding 4.65% 5/9/13 (b)	6,045,000		5,886,506
Pacific Life Global Funding 5.15% 4/15/13 (b)	3,690,000		3,475,408
Principal Life Global Funding I 6.25% 2/15/12 (b)	2,310,000		2,258,390
Prudential Financial, Inc.:
5.4% 6/13/35	1,651,000		792,548
5.5% 3/15/16	1,552,000		951,986
8.875% 6/15/68 (h)	7,265,000		3,450,875
Symetra Financial Corp. 6.125% 4/1/16 (b)	6,355,000		4,934,893
The Chubb Corp.:
5.75% 5/15/18	1,895,000		1,871,151
6.5% 5/15/38	1,595,000		1,530,624
			46,909,508
Real Estate Investment Trusts - 2.2%
AMB Property LP 5.9% 8/15/13	2,575,000		1,828,250
Arden Realty LP 5.25% 3/1/15	625,000		525,000
AvalonBay Communities, Inc. 6.625% 9/15/11	1,822,000		1,771,376
Brandywine Operating Partnership LP:
4.5% 11/1/09	1,295,000		1,254,864
5.625% 12/15/10	2,260,000		2,014,184
5.7% 5/1/17	5,000,000		2,354,225
5.75% 4/1/12	1,356,000		903,541
Camden Property Trust 5.375% 12/15/13	2,985,000		2,278,615
	Principal Amount		Value
Colonial Properties Trust:
4.75% 2/1/10	$ 1,855,000		$ 1,783,701
4.8% 4/1/11	930,000		809,260
5.5% 10/1/15	6,290,000		4,025,600
Developers Diversified Realty Corp.:
4.625% 8/1/10	225,000		168,937
5% 5/3/10	2,435,000		1,753,200
5.25% 4/15/11	2,335,000		1,214,200
5.375% 10/15/12	1,240,000		553,720
Duke Realty LP:
4.625% 5/15/13	925,000		625,952
5.4% 8/15/14	2,175,000		1,413,750
5.5% 3/1/16	1,270,000		795,312
5.625% 8/15/11	3,500,000		2,940,490
5.95% 2/15/17	695,000		415,639
6.25% 5/15/13	2,800,000		2,031,319
6.5% 1/15/18	2,445,000		1,440,044
6.95% 3/15/11	1,535,000		1,370,006
Equity One, Inc. 6% 9/15/17	2,390,000		1,521,959
Federal Realty Investment Trust 5.4% 12/1/13	1,390,000		1,014,700
Hospitality Properties Trust 5.625% 3/15/17	4,210,000		2,030,222
HRPT Properties Trust:
5.75% 11/1/15	670,000		425,185
6.25% 6/15/17	4,455,000		2,599,412
Liberty Property LP:
5.5% 12/15/16	2,275,000		1,469,648
6.625% 10/1/17	2,290,000		1,559,868
Mack-Cali Realty LP 5.05% 4/15/10	1,735,000		1,632,489
Reckson Operating Partnership LP:
5.15% 1/15/11	795,000		643,950
6% 3/31/16	3,099,000		1,747,495
Simon Property Group LP:
4.6% 6/15/10	2,965,000		2,795,722
4.875% 8/15/10	4,120,000		3,875,313
5% 3/1/12	2,060,000		1,753,526
5.1% 6/15/15	2,220,000		1,695,527
5.375% 6/1/11	2,020,000		1,823,169
7.75% 1/20/11	595,000		570,900
UDR, Inc. 5.5% 4/1/14	2,690,000		1,962,126
United Dominion Realty Trust, Inc. 5.25% 1/15/15	890,000		625,223
Washington (REIT) 5.95% 6/15/11	3,015,000		2,650,749
			66,668,368
Real Estate Management & Development - 0.3%
ERP Operating LP:
5.375% 8/1/16	830,000		654,114
5.5% 10/1/12	2,785,000		2,527,925
5.75% 6/15/17	2,375,000		1,879,744
Post Apartment Homes LP 6.3% 6/1/13	2,655,000		2,150,550
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Real Estate Management & Development - continued
Regency Centers LP:
5.875% 6/15/17	$ 1,815,000		$ 1,217,914
6.75% 1/15/12	2,035,000		1,790,800
			10,221,047
Thrifts & Mortgage Finance - 0.1%
Independence Community Bank Corp. 3.75% 4/1/14 (h)	4,690,000		3,001,600
TOTAL FINANCIALS			372,523,957
HEALTH CARE - 0.2%
Pharmaceuticals - 0.2%
AstraZeneca PLC:
5.9% 9/15/17	1,990,000		2,107,086
6.45% 9/15/37	1,485,000		1,540,364
Teva Pharmaceutical Finance LLC 5.55% 2/1/16	2,940,000		3,060,619
			6,708,069
INDUSTRIALS - 1.8%
Aerospace & Defense - 0.2%
BAE Systems Holdings, Inc. 4.75% 8/15/10 (b)	3,465,000		3,500,610
Bombardier, Inc.:
6.3% 5/1/14 (b)	4,515,000		3,183,075
7.45% 5/1/34 (b)	420,000		243,600
			6,927,285
Airlines - 0.9%
American Airlines, Inc. pass-thru trust certificates:
6.855% 10/15/10	75,288		72,653
6.978% 10/1/12	383,031		337,068
7.024% 4/15/11	2,180,000		2,092,800
7.858% 4/1/13	3,480,000		2,818,800
Continental Airlines, Inc.:
6.648% 3/15/19	1,604,067		1,267,213
6.795% 2/2/20	3,331,707		2,365,512
Delta Air Lines, Inc. pass-thru trust certificates:
6.821% 8/10/22	2,777,136		1,909,281
7.57% 11/18/10	5,885,000		5,325,925
Northwest Airlines, Inc. pass-thru trust certificates 7.027% 11/1/19	3,024,000		1,905,120
Southwest Airlines Co. pass-thru trust certificates 6.15% 8/1/22	2,281,936		2,094,733
U.S. Airways pass-thru trust certificates:
6.85% 7/30/19	1,526,280		1,045,502
8.36% 7/20/20	5,415,799		3,723,362
	Principal Amount		Value
United Air Lines, Inc. pass-thru trust certificates:
Class 1A, 6.636% 1/2/24	$ 1,685,165		$ 1,112,209
6.071% 9/1/14	32,567		32,242
6.201% 3/1/10	13,863		13,724
6.602% 9/1/13	42,092		40,408
7.032% 4/1/12	735,227		713,170
7.186% 10/1/12	1,826,310		1,771,521
			28,641,243
Building Products - 0.0%
Masco Corp. 1.6313% 3/12/10 (h)	941,000		851,424
Industrial Conglomerates - 0.7%
Covidien International Finance SA:
5.45% 10/15/12	2,155,000		2,213,506
6.55% 10/15/37	1,865,000		1,836,544
General Electric Co. 5.25% 12/6/17	7,130,000		6,593,895
Hutchison Whampoa International (03/13) Ltd. 6.5% 2/13/13 (b)	6,485,000		6,577,307
Hutchison Whampoa International (03/33) Ltd. 5.45% 11/24/10 (b)	3,600,000		3,719,153
			20,940,405
TOTAL INDUSTRIALS			57,360,357
INFORMATION TECHNOLOGY - 0.2%
Electronic Equipment & Components - 0.0%
Tyco Electronics Group SA 7.125% 10/1/37	1,225,000		784,423
Semiconductors & Semiconductor Equipment - 0.2%
Chartered Semiconductor Manufacturing Ltd. 5.75% 8/3/10	195,000		173,447
National Semiconductor Corp.:
1.57% 6/15/10 (h)	1,092,000		956,910
6.15% 6/15/12	5,265,000		4,096,581
			5,226,938
TOTAL INFORMATION TECHNOLOGY			6,011,361
MATERIALS - 1.1%
Chemicals - 0.1%
Lubrizol Corp. 8.875% 2/1/19	3,277,000		3,370,182
Metals & Mining - 1.0%
BHP Billiton Financial USA Ltd.:
5.5% 4/1/14	3,707,000		3,732,556
6.5% 4/1/19	3,707,000		3,755,710
Nucor Corp.:
5.85% 6/1/18	3,180,000		3,175,249
6.4% 12/1/37	2,550,000		2,409,531
Rio Tinto Finance Ltd.:
5.875% 7/15/13	7,725,000		6,927,131
Nonconvertible Bonds - continued
	Principal Amount		Value
MATERIALS - continued
Metals & Mining - continued
Rio Tinto Finance Ltd.: - continued
6.5% 7/15/18	$ 2,796,000		$ 2,446,950
7.125% 7/15/28	3,500,000		2,873,546
United States Steel Corp. 6.65% 6/1/37	2,270,000		1,282,289
Vale Overseas Ltd. 6.25% 1/23/17	3,115,000		3,070,156
			29,673,118
TOTAL MATERIALS			33,043,300
TELECOMMUNICATION SERVICES - 2.1%
Diversified Telecommunication Services - 1.9%
AT&T Broadband Corp. 8.375% 3/15/13	2,150,000		2,299,272
AT&T, Inc.:
6.3% 1/15/38	364,000		319,633
6.8% 5/15/36	10,939,000		10,332,607
BellSouth Capital Funding Corp. 7.875% 2/15/30	620,000		633,036
British Telecommunications PLC 9.125% 12/15/30	2,250,000		2,045,054
Deutsche Telekom International Financial BV 5.25% 7/22/13	2,500,000		2,492,383
SBC Communications, Inc.:
6.15% 9/15/34	825,000		722,802
6.45% 6/15/34	3,975,000		3,579,193
Sprint Capital Corp. 6.875% 11/15/28	7,050,000		4,300,500
Telecom Italia Capital SA:
4.95% 9/30/14	2,000,000		1,726,862
5.25% 10/1/15	192,000		161,886
6.999% 6/4/18	3,792,000		3,437,020
7.2% 7/18/36	3,523,000		2,787,630
Telefonica Emisiones SAU:
1.5875% 6/19/09 (h)	1,654,000		1,648,163
5.855% 2/4/13	1,438,000		1,489,046
6.221% 7/3/17	2,885,000		2,956,591
7.045% 6/20/36	4,335,000		4,454,334
Verizon Communications, Inc.:
6.1% 4/15/18	2,190,000		2,169,600
6.25% 4/1/37	1,380,000		1,227,564
6.4% 2/15/38	2,893,000		2,622,658
6.9% 4/15/38	2,420,000		2,340,566
Verizon Global Funding Corp. 7.75% 12/1/30	5,043,000		5,138,136
Verizon New York, Inc. 6.875% 4/1/12	1,095,000		1,121,563
			60,006,099
	Principal Amount		Value
Wireless Telecommunication Services - 0.2%
AT&T Wireless Services, Inc.:
7.875% 3/1/11	$ 740,000		$ 790,694
8.125% 5/1/12	1,130,000		1,231,934
Sprint Nextel Corp. 6% 12/1/16	2,260,000		1,615,900
Vodafone Group PLC 5% 12/16/13	2,775,000		2,812,138
			6,450,666
TOTAL TELECOMMUNICATION SERVICES			66,456,765
UTILITIES - 4.5%
Electric Utilities - 2.6%
Alabama Power Co. 4.85% 12/15/12	4,095,000		4,223,616
AmerenUE 6.4% 6/15/17	6,509,000		6,253,496
Cleveland Electric Illuminating Co. 5.65% 12/15/13	4,845,000		4,693,642
Commonwealth Edison Co.:
5.4% 12/15/11	2,394,000		2,399,269
5.8% 3/15/18	4,010,000		3,799,226
6.15% 9/15/17	2,890,000		2,746,436
Duke Energy Carolinas LLC:
5.25% 1/15/18	1,890,000		1,924,991
6.05% 4/15/38	1,742,000		1,749,081
EDP Finance BV 6% 2/2/18 (b)	2,864,000		2,734,235
Enel Finance International SA:
6.25% 9/15/17 (b)	1,455,000		1,318,416
6.8% 9/15/37 (b)	4,424,000		3,633,807
Exelon Corp.:
4.9% 6/15/15	5,075,000		4,309,066
6.75% 5/1/11	2,425,000		2,457,143
FirstEnergy Corp. 6.45% 11/15/11	2,980,000		2,982,700
FPL Group Capital, Inc. 7.875% 12/15/15	2,390,000		2,699,099
Illinois Power Co. 6.125% 11/15/17	1,465,000		1,331,244
Nevada Power Co. 6.5% 5/15/18	3,165,000		3,031,450
Ohio Power Co. 1.605% 4/5/10 (h)	1,167,000		1,139,853
Oncor Electric Delivery Co. 6.375% 5/1/12	1,885,000		1,864,080
Oncor Electric Delivery Co. LLC 6.8% 9/1/18 (b)	7,178,000		7,038,108
Pennsylvania Electric Co. 6.05% 9/1/17	2,905,000		2,707,803
PPL Capital Funding, Inc. 6.7% 3/30/67 (h)	6,230,000		3,551,100
Progress Energy, Inc.:
5.625% 1/15/16	2,000,000		1,911,752
7.1% 3/1/11	3,932,000		4,076,277
Nonconvertible Bonds - continued
	Principal Amount		Value
UTILITIES - continued
Electric Utilities - continued
Southern California Edison Co. 5.95% 2/1/38	$ 1,890,000		$ 1,871,811
West Penn Power Co. 5.95% 12/15/17 (b)	3,275,000		2,966,862
			79,414,563
Gas Utilities - 0.0%
Texas Eastern Transmission Corp. 7.3% 12/1/10	185,000		191,710
Independent Power Producers & Energy Traders - 0.6%
Constellation Energy Group, Inc. 7% 4/1/12	5,735,000		5,632,676
Exelon Generation Co. LLC 6.2% 10/1/17	6,685,000		5,977,607
PPL Energy Supply LLC:
5.7% 10/15/35	4,175,000		3,785,030
6.2% 5/15/16	1,229,000		1,114,535
6.5% 5/1/18	2,640,000		2,320,069
TXU Corp. 5.55% 11/15/14	980,000		372,400
			19,202,317
Multi-Utilities - 1.3%
Dominion Resources, Inc.:
4.75% 12/15/10	3,540,000		3,565,173
6.25% 6/30/12	1,938,000		2,004,919
6.3% 9/30/66 (h)	9,255,000		5,229,075
DTE Energy Co. 7.05% 6/1/11	3,500,000		3,533,744
MidAmerican Energy Holdings, Co.:
5.75% 4/1/18	1,800,000		1,770,775
5.875% 10/1/12	2,880,000		2,989,944
6.5% 9/15/37	3,280,000		3,033,242
National Grid PLC 6.3% 8/1/16	7,820,000		7,602,463
NiSource Finance Corp.:
1.8206% 11/23/09 (h)	412,000		393,087
5.4% 7/15/14	3,885,000		3,109,601
5.45% 9/15/20	2,135,000		1,564,389
6.4% 3/15/18	3,220,000		2,605,486
7.875% 11/15/10	925,000		908,949
Wisconsin Energy Corp. 6.25% 5/15/67 (h)	2,740,000		1,616,600
WPS Resources Corp. 6.11% 12/1/66 (h)	2,330,000		1,234,900
			41,162,347
TOTAL UTILITIES			139,970,937
TOTAL NONCONVERTIBLE BONDS (Cost $1,123,027,374)		971,674,539
U.S. Government and Government Agency Obligations - 16.2%
	Principal Amount		Value
U.S. Government Agency Obligations - 2.4%
Fannie Mae:
3.625% 2/12/13	$ 4,230,000		$ 4,478,474
4.75% 11/19/12	4,110,000		4,505,883
5% 2/16/12	20,940,000		22,883,494
Federal Home Loan Bank 3.625% 5/29/13	2,940,000		3,093,403
Freddie Mac:
4% 6/12/13	17,620,000		18,610,191
5.75% 1/15/12	15,975,000		17,721,659
Tennessee Valley Authority 5.375% 4/1/56	2,375,000		2,488,848
U.S. Department of Housing and Urban Development Government guaranteed participation certificates Series 1996-A, 7.63% 8/1/14	1,210,000		1,222,781
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS			75,004,733
U.S. Treasury Inflation Protected Obligations - 7.9%
U.S. Treasury Inflation-Indexed Notes:
1.625% 1/15/18	18,441,276		18,683,292
2% 1/15/14 (e)	177,207,220		182,661,629
2% 7/15/14	5,599,900		5,792,420
2.625% 7/15/17	34,225,296		37,212,702
TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS			244,350,043
U.S. Treasury Obligations - 5.9%
U.S. Treasury Notes:
1.75% 3/31/14	40,282,000		40,420,490
1.875% 2/28/14	7,710,000		7,794,347
3.375% 6/30/13 (e)	126,309,000		136,542,050
TOTAL U.S. TREASURY OBLIGATIONS			184,756,887
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $485,671,653)		504,111,663
U.S. Government Agency - Mortgage Securities - 36.3%
Fannie Mae - 32.3%
3.781% 6/1/34 (h)	942,999		945,070
3.915% 7/1/35 (h)	698,221		701,198
3.95% 6/1/33 (h)	127,691		127,968
3.998% 10/1/33 (h)	1,599,620		1,600,401
4% 8/1/18 to 6/1/19	2,821,652		2,891,304
U.S. Government Agency - Mortgage Securities - continued
	Principal Amount		Value
Fannie Mae - continued
4.015% 8/1/36 (h)	$ 2,834,271		$ 2,855,419
4.057% 5/1/34 (h)	2,159,988		2,160,781
4.097% 4/1/34 (h)	2,992,347		3,000,897
4.234% 9/1/33 (h)	1,375,958		1,380,023
4.303% 3/1/33 (h)	103,430		105,362
4.324% 7/1/35 (h)	655,000		662,452
4.331% 2/1/35 (h)	717,569		722,073
4.432% 3/1/35 (h)	330,210		336,229
4.456% 7/1/35 (h)	580,119		584,290
4.475% 3/1/35 (h)	691,105		700,337
4.491% 7/1/35 (h)	80,424		81,053
4.5% 4/1/18 to 10/1/35	94,877,091		97,784,478
4.512% 11/1/36 (h)	2,375,156		2,424,144
4.519% 3/1/35 (h)	1,114,617		1,120,292
4.525% 5/1/35 (h)	472,988		479,599
4.541% 10/1/35 (h)	5,310,342		5,401,958
4.545% 12/1/36 (h)	3,868,605		3,958,066
4.548% 10/1/33 (h)	155,766		157,629
4.616% 9/1/35 (h)	3,951,862		4,037,211
4.641% 10/1/33 (h)	66,691		67,102
4.647% 2/1/35 (h)	6,424,783		6,530,954
4.647% 4/1/35 (h)	3,586,089		3,660,052
4.667% 7/1/35 (h)	192,691		196,733
4.738% 8/1/33 (h)	189,822		191,584
4.739% 10/1/35 (h)	1,352,560		1,373,334
4.765% 2/1/34 (h)	51,962		53,017
4.858% 10/1/34 (h)	2,406,390		2,434,562
4.965% 3/1/35 (h)	33,212		33,403
4.967% 7/1/34 (h)	82,976		83,941
4.98% 5/1/35 (h)	2,656,089		2,673,567
4.987% 7/1/35 (h)	3,334,340		3,390,148
5% 10/1/17 to 7/1/37	136,489,406		141,662,364
5.057% 9/1/34 (h)	1,464,798		1,482,178
5.075% 7/1/34 (h)	3,355,384		3,443,463
5.101% 3/1/35 (h)	131,766		132,592
5.189% 6/1/35 (h)	744,243		749,928
5.194% 5/1/35 (h)	2,436,043		2,490,105
5.205% 5/1/36 (h)	922,841		940,898
5.291% 12/1/35 (h)	1,272,025		1,308,315
5.305% 2/1/36 (h)	2,566,969		2,643,776
5.5% 6/1/09 to 8/1/37	287,779,081		300,150,193
5.5% 4/13/39 (c)(d)	57,000,000		59,157,131
5.56% 9/1/36 (h)	1,461,661		1,498,846
5.593% 7/1/37 (h)	718,827		743,163
5.648% 9/1/35 (h)	996,320		1,035,394
5.705% 4/1/36 (h)	2,988,322		3,092,483
6% 6/1/14 to 5/1/37	160,989,717		169,824,419
6% 5/12/39 (c)	40,000,000		41,668,004
	Principal Amount		Value
6.013% 4/1/36 (h)	$ 544,770		$ 563,294
6.243% 6/1/36 (h)	267,805		272,417
6.318% 4/1/36 (h)	557,178		576,334
6.5% 6/1/11 to 7/1/34	32,523,280		34,521,829
6.5% 4/13/39 (c)	70,000,000		73,714,312
7% 3/1/15 to 8/1/32	2,795,547		2,999,546
7.5% 7/1/16 to 11/1/31	2,285,392		2,456,350
8% 1/1/30 to 5/1/30	63,219		67,580
8.5% 3/1/25 to 6/1/25	1,184		1,279
TOTAL FANNIE MAE			1,002,102,824
Freddie Mac - 2.9%
3.155% 2/1/34 (h)	189,693		189,886
3.883% 1/1/35 (h)	391,616		395,315
3.993% 7/1/33 (h)	4,427,808		4,453,061
4% 2/1/20	2,894,225		2,958,935
4.275% 6/1/35 (h)	282,054		286,498
4.317% 12/1/34 (h)	258,605		263,355
4.322% 3/1/35 (h)	445,931		453,850
4.364% 2/1/35 (h)	579,485		588,607
4.406% 3/1/35 (h)	330,877		336,468
4.471% 3/1/35 (h)	274,976		279,649
4.52% 2/1/35 (h)	539,767		549,723
4.772% 10/1/34 (h)	796,074		808,355
4.814% 9/1/34 (h)	384,815		392,644
4.821% 3/1/36 (h)	497,863		504,430
5% 4/13/39 (c)	5,000,000		5,154,336
5% 4/13/39 (c)(d)	5,000,000		5,154,336
5% 5/12/39 (c)	5,000,000		5,139,492
5.14% 4/1/35 (h)	1,351,199		1,380,968
5.239% 2/1/35 (h)	351,713		354,464
5.257% 3/1/35 (h)	188,484		189,739
5.389% 11/1/35 (h)	728,425		746,894
5.519% 1/1/36 (h)	1,623,016		1,664,061
5.684% 10/1/35 (h)	471,857		491,985
5.855% 3/1/33 (h)	43,057		43,876
5.864% 6/1/36 (h)	639,333		659,147
5.986% 6/1/36 (h)	552,297		569,658
6% 4/1/32 to 7/1/37	12,537,024		13,229,786
6% 4/1/39 (c)(d)	40,000,000		41,810,192
6.101% 6/1/36 (h)	625,182		647,539
6.704% 8/1/36 (h)	488,099		504,200
7.5% 5/1/17 to 11/1/31	254,426		272,434
8% 7/1/17 to 5/1/27	37,262		39,995
8.5% 3/1/20 to 1/1/28	168,406		181,865
TOTAL FREDDIE MAC			90,695,743
Government National Mortgage Association - 1.1%
3.75% 1/20/34 (h)	1,282,582		1,277,740
4.25% 7/20/34 (h)	300,650		302,603
4.5% 2/20/37 (h)	5,040,574		5,127,947
U.S. Government Agency - Mortgage Securities - continued
	Principal Amount		Value
Government National Mortgage Association - continued
6% 4/15/09 to 11/15/34	$ 11,123,483		$ 11,724,204
6.5% 4/15/09 to 11/15/35	10,753,922		11,408,525
7% 1/15/28 to 7/15/32	4,550,934		4,865,163
7.5% 4/15/22 to 10/15/28	1,102,048		1,176,969
8% 2/15/17 to 9/15/30	115,532		124,105
8.5% 12/15/16 to 3/15/30	33,233		36,377
TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION			36,043,633
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $1,092,663,867)		1,128,842,200
Asset-Backed Securities - 3.4%
Accredited Mortgage Loan Trust:
Series 2004-4 Class A2D, 0.8719% 1/25/35 (h)	35,616		13,000
Series 2005-1 Class M1, 0.9919% 4/25/35 (h)	657,000		331,025
ACE Securities Corp. Home Equity Loan Trust:
Series 2003-HS1 Class M2, 3.1469% 6/25/33 (h)	43,263		29,949
Series 2004-HE1 Class M1, 1.0219% 2/25/34 (h)	98,901		83,694
Series 2004-OP1 Class M1, 1.0419% 4/25/34 (h)	218,634		100,716
Series 2005-HE2 Class M2, 0.9719% 4/25/35 (h)	92,000		69,669
Series 2005-SD1 Class A1, 0.9219% 11/25/50 (h)	97,155		86,663
Advanta Business Card Master Trust:
Series 2006-A6 Class A6, 0.575% 9/20/13 (h)	1,940,000		1,358,000
Series 2006-A7 Class A7, 0.565% 10/20/12 (h)	2,080,000		1,726,400
Series 2006-C1 Class C1, 1.025% 10/20/14 (h)	419,000		20,950
Series 2007-A1 Class A, 0.595% 1/20/15 (h)	1,420,000		922,943
Series 2007-A4 Class A4, 0.575% 4/22/13 (h)	1,536,000		1,140,207
Series 2007-A5 Class A5, 1.045% 8/20/13 (h)	2,900,000		1,936,250
Airspeed Ltd. Series 2007-1A Class C1, 3.0563% 6/15/32 (b)(h)	2,859,778		886,245
ALG Student Loan Trust I Series 2006-1 Class A1, 1.1938% 10/28/18 (b)(h)	344,483		340,930
	Principal Amount		Value
American Express Credit Account Master Trust Series 2004-C Class C, 1.0563% 2/15/12 (b)(h)	$ 87,400		$ 81,970
AmeriCredit Automobile Receivables Trust:
Series 2005-1 Class C, 4.73% 7/6/10	151,999		151,690
Series 2006-1:
Class B1, 5.2% 3/6/11	228,156		225,340
Class C1, 5.28% 11/6/11	1,850,000		1,688,305
Series 2008-AF Class A3, 5.68% 12/12/12	5,225,000		4,254,511
Ameriquest Mortgage Securities, Inc. pass-thru certificates:
Series 2003-10 Class M1, 1.2219% 12/25/33 (h)	54,274		31,327
Series 2004-R10 Class M1, 1.2219% 11/25/34 (h)	239,000		107,232
Series 2004-R11 Class M1, 1.1819% 11/25/34 (h)	205,737		69,070
Series 2004-R2:
Class M1, 0.9519% 4/25/34 (h)	90,000		67,029
Class M3, 1.0719% 4/25/34 (h)	58,686		20,697
Series 2005-R1 Class M1, 0.9719% 3/25/35 (h)	332,000		158,818
Series 2005-R10 Class A2B, 0.7419% 12/25/35 (h)	292,205		176,486
Series 2005-R2 Class M1, 0.9719% 4/25/35 (h)	727,000		388,879
Amortizing Residential Collateral Trust Series 2002-BC3 Class A, 0.8519% 6/25/32 (h)	61,899		29,956
Argent Securities, Inc. pass-thru certificates:
Series 2003-W7 Class A2, 0.9119% 3/1/34 (h)	16,878		3,093
Series 2004-W11 Class M2, 1.2219% 11/25/34 (h)	198,000		60,446
Series 2004-W5 Class M1, 1.1219% 4/25/34 (h)	2,679,000		1,402,765
Series 2004-W7:
Class M1, 1.0719% 5/25/34 (h)	209,000		69,631
Class M2, 1.1219% 5/25/34 (h)	183,000		94,146
Series 2006-W4 Class A2C, 0.6819% 5/25/36 (h)	547,000		138,100
Asset Backed Funding Corp. Trust Series 2005-HE1 Class M1, 0.9419% 12/25/34 (h)	505,174		249,960
Asset Backed Securities Corp. Home Equity Loan Trust:
Series 2003-HE3 Class M1, 1.8013% 6/15/33 (h)	84,355		36,026
Series 2003-HE6 Class M1, 1.1719% 11/25/33 (h)	189,000		99,307
Asset-Backed Securities - continued
	Principal Amount		Value
Asset Backed Securities Corp. Home Equity Loan Trust: - continued
Series 2004-HE2 Class M1, 1.0719% 4/25/34 (h)	$ 940,000		$ 381,817
Series 2004-HE3:
Class M1, 1.0619% 6/25/34 (h)	83,000		30,945
Class M2, 1.6419% 6/25/34 (h)	144,293		89,186
Series 2004-HE6 Class A2, 0.8819% 6/25/34 (h)	146,710		55,942
Bank of America Credit Card Master Trust Series 2006-HE7 Class B4, 0.6363% 3/15/12 (h)	1,209,000		1,113,224
Bayview Financial Acquisition Trust Series 2004-C Class A1, 1.1525% 5/28/44 (h)	114,072		69,728
Bayview Financial Mortgage Loan Trust Series 2004-A Class A, 1.1975% 2/28/44 (h)	223,284		134,473
Bear Stearns Asset Backed Securities I Trust:
Series 2005-3 Class A1, 0.9719% 9/25/35 (h)	37,935		25,618
Series 2005-FR1 Class M1, 1.0219% 6/25/35 (h)	341,000		142,427
Series 2005-HE2 Class M1, 1.0219% 2/25/35 (h)	537,219		162,107
Brazos Higher Education Authority, Inc. Series 2006-2 Class A9, 1.2322% 12/26/24 (h)	809,141		720,443
C-BASS Trust Series 2006-CB7 Class A2, 0.5819% 10/25/36 (h)	162,626		127,382
Capital Auto Receivables Asset Trust:
Series 2005-1 Class B, 0.9313% 6/15/10 (h)	167,892		166,554
Series 2006-1:
Class B, 5.26% 10/15/10	945,000		935,017
Class C, 5.55% 1/18/11	5,965,000		5,737,850
Class D, 7.16% 1/15/13 (b)	645,000		580,197
Series 2007-SN1:
Class B, 5.52% 3/15/11	1,140,000		570,000
Class C, 5.73% 3/15/11	660,000		231,000
Class D, 6.05% 1/17/12	1,630,000		489,000
Capital One Auto Finance Trust Series 2006-C Class A3B, 0.5663% 7/15/11 (h)	114,624		108,498
Capital One Multi-Asset Execution Trust:
Series 2004-6 Class B, 4.15% 7/16/12	4,465,000		4,235,241
Series 2007-C3 Class C3, 0.8463% 4/15/13 (b)(h)	1,024,000		837,703
	Principal Amount		Value
CarMax Auto Owner Trust Series 2007-2 Class C, 5.61% 11/15/13	$ 4,260,000		$ 2,823,306
Carrington Mortgage Loan Trust:
Series 2006-FRE1 Class M1, 0.8219% 7/25/36 (h)	402,000		13,986
Series 2006-NC3 Class M10, 2.5219% 8/25/36 (b)(h)	255,000		2,538
Series 2007-RFC1 Class A3, 0.6619% 12/25/36 (h)	635,000		165,100
Cendant Timeshare Receivables Funding LLC:
Series 2005 1A Class 2A2, 0.725% 5/20/17 (b)(h)	93,096		67,690
Series 2005-1A Class A1, 4.67% 5/20/17 (b)	397,840		308,118
Chase Issuance Trust:
Series 2004-3 Class C, 1.0263% 6/15/12 (h)	187,000		170,531
Series 2008-9 Class A, 4.26% 5/15/13	2,000,000		1,985,286
CIT Equipment Collateral Trust Series 2006-VT2 Class D, 5.46% 4/20/14	109,685		52,649
Citibank Credit Card Issuance Trust Series 2007-B6 Class B6, 5% 11/8/12	4,800,000		4,102,466
Citigroup Mortgage Loan Trust:
Series 2003-HE4 Class A, 0.9319% 12/25/33 (b)(h)	132,292		84,355
Series 2007-AMC4 Class M1, 0.7919% 5/25/37 (h)	270,000		7,749
CNH Equipment Trust Series 2006-A Class A3, 5.2% 8/16/10	93,044		93,172
CNH Wholesale Master Note Trust Series 2006-1A:
Class A, 0.6163% 7/15/12 (b)(h)	461,000		438,994
Class B, 0.8363% 7/15/12 (b)(h)	461,000		434,137
Countrywide Home Loans, Inc.:
Series 2002-6 Class AV1, 1.3819% 5/25/33 (h)	16,970		8,860
Series 2004-3:
Class 3A4, 0.7719% 8/25/34 (h)	65,274		34,433
Class M1, 1.0219% 6/25/34 (h)	233,000		146,391
Class M4, 1.4919% 4/25/34 (h)	56,336		27,416
Series 2004-4:
Class A, 0.8919% 8/25/34 (h)	14,341		6,796
Class M2, 1.0519% 6/25/34 (h)	207,174		130,737
Series 2005-1:
Class M1, 0.9419% 8/25/35 (h)	180,000		122,293
Asset-Backed Securities - continued
	Principal Amount		Value
Countrywide Home Loans, Inc.: - continued
Series 2005-1:
Class MV2, 0.9619% 7/25/35 (h)	$ 498,000		$ 322,022
Series 2005-3 Class MV1, 0.9419% 8/25/35 (h)	873,000		757,117
Series 2005-AB1 Class A2, 0.7319% 8/25/35 (h)	161,672		133,893
CPS Auto Receivables Trust Series 2004-D Class A2, 3.86% 12/15/11 (b)	49,354		45,266
Crown Castle Towers LLC/Crown Atlantic Holdings Sub LLC/Crown Communication, Inc. Series 2005-1A:
Class B, 4.878% 6/15/35 (b)	2,052,000		1,928,880
Class C, 5.074% 6/15/35 (b)	1,862,000		1,722,350
DB Master Finance LLC Series 2006-1 Class M1, 8.285% 6/20/31 (b)	840,000		551,090
Discover Card Master Trust I:
Series 2006-2 Class B1, 0.6763% 1/17/12 (h)	1,024,000		950,340
Series 2007-1 Class B, 0.6563% 8/15/12 (h)	1,024,000		888,563
Fannie Mae subordinate REMIC pass-thru certificates Series 2004-T5 Class AB3, 0.8137% 5/28/35 (h)	13,702		7,968
Fieldstone Mortgage Investment Corp.:
Series 2004-3 Class M5, 2.6969% 8/25/34 (h)	102,000		22,443
Series 2006-3 Class 2A3, 0.6819% 11/25/36 (h)	1,585,000		344,738
First Franklin Mortgage Loan Trust:
Series 2004-FF2 Class M3, 1.3469% 3/25/34 (h)	8,033		2,597
Series 2006-FF12 Class A2, 0.5619% 9/25/36 (h)	154,031		143,616
First Investors Auto Owner Trust Series 2006-A Class A3, 4.93% 2/15/11 (b)	48,137		47,803
Ford Credit Auto Owner Trust Series 2006-B Class D, 7.26% 2/15/13 (b)	1,025,000		573,680
Ford Credit Floorplan Master Owner Trust:
Series 2006-3 Class B, 1.0063% 6/15/11 (h)	713,000		499,100
Series 2006-4 Class B, 1.1063% 6/15/13 (h)	272,000		141,052
Fremont Home Loan Trust:
Series 2004-A Class M1, 1.3469% 1/25/34 (h)	416,078		224,626
Series 2005-A:
Class M1, 0.9519% 1/25/35 (h)	33,383		31,513
	Principal Amount		Value
Class M2, 0.9819% 1/25/35 (h)	$ 618,000		$ 242,920
Class M3, 1.0119% 1/25/35 (h)	334,000		110,716
Class M4, 1.2019% 1/25/35 (h)	128,000		58,632
GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 1.6288% 9/25/30 (b)(h)	829,000		562,228
GE Business Loan Trust Series 2003-1 Class A, 0.9863% 4/15/31 (b)(h)	125,795		77,993
GE Capital Credit Card Master Note Trust:
Series 2006-1:
Class B, 0.6663% 9/17/12 (h)	313,000		283,148
Class C, 0.7963% 9/17/12 (h)	244,000		183,000
Series 2007-1 Class C, 0.8263% 3/15/13 (h)	1,671,000		1,086,150
GSAMP Trust:
Series 2002-HE Class M1, 2.42% 11/20/32 (h)	218,239		109,190
Series 2003-FM1 Class M1, 1.775% 3/20/33 (h)	416,854		221,251
Series 2004-AR1:
Class B4, 5% 6/25/34 (b)(h)	270,974		15,480
Class M1, 1.1719% 6/25/34 (h)	772,000		242,964
Series 2004-FM2 Class M1, 1.2719% 1/25/34 (h)	362,595		171,461
Series 2004-HE1 Class M1, 1.0719% 5/25/34 (h)	201,734		62,825
Series 2007-HE1 Class M1, 0.7719% 3/25/47 (h)	289,000		9,656
GSR Mortgage Loan Trust:
Series 2004-OPT Class A1, 0.8619% 11/25/34 (h)	5,588		2,226
Series 2005-MTR1 Class A1, 0.6619% 10/25/35 (h)	102,750		98,140
Guggenheim Structured Real Estate Funding Ltd.:
Series 2005-1 Class C, 1.6019% 5/25/30 (b)(h)	232,504		58,126
Series 2006-3 Class C, 1.0719% 9/25/46 (b)(h)	538,000		53,800
Home Equity Asset Trust:
Series 2002-3 Class A5, 1.4019% 2/25/33 (h)	141		26
Series 2003-3 Class M1, 1.8119% 8/25/33 (h)	351,733		153,081
Series 2003-4 Class M1, 1.7219% 10/25/33 (h)	104,557		42,429
Series 2003-5:
Class A2, 1.2219% 12/25/33 (h)	11,595		3,181
Asset-Backed Securities - continued
	Principal Amount		Value
Home Equity Asset Trust: - continued
Series 2003-5:
Class M1, 1.5719% 12/25/33 (h)	$ 118,293		$ 60,694
Series 2003-7 Class A2, 1.2819% 3/25/34 (h)	584		91
Series 2003-8 Class M1, 1.6019% 4/25/34 (h)	183,339		78,715
Series 2004-3 Class M2, 2.2219% 8/25/34 (h)	117,515		60,554
Series 2004-7 Class A3, 0.9119% 1/25/35 (h)	216		77
Series 2005-1 Class M1, 0.9519% 5/25/35 (h)	424,872		369,637
Series 2005-3 Class M1, 0.9319% 8/25/35 (h)	292,780		257,235
Series 2005-5 Class 2A2, 0.7719% 11/25/35 (h)	135,719		116,984
Series 2006-1 Class 2A3, 0.7469% 4/25/36 (h)	1,226,405		847,855
Honda Auto Receivables Owner Trust Series 2008-1 Class A3, 4.47% 1/18/12	6,255,000		6,331,430
Household Home Equity Loan Trust Series 2004-1 Class M, 0.99% 9/20/33 (h)	98,946		62,525
HSBC Credit Card Master Note Trust I Series 2006-1 Class B, 0.6963% 6/15/12 (h)	792,000		740,244
HSBC Home Equity Loan Trust:
Series 2005-2:
Class M1, 0.93% 1/20/35 (h)	271,434		148,991
Class M2, 0.96% 1/20/35 (h)	203,804		102,391
Series 2005-3 Class A1, 0.73% 1/20/35 (h)	141,795		76,015
Series 2006-2:
Class M1, 0.815% 3/20/36 (h)	221,892		116,791
Class M2, 0.835% 3/20/36 (h)	366,717		181,683
Series 2006-3 Class A1V, 0.625% 3/20/36 (h)	217,998		208,903
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.7119% 1/25/37 (h)	436,000		80,297
Hyundai Auto Receivables Trust:
Series 2004-1 Class A4, 5.26% 11/15/12	1,903,971		1,935,609
Series 2006-1:
Class B, 5.29% 11/15/12	151,836		151,978
Class C, 5.34% 11/15/12	195,217		197,136
JPMorgan Mortgage Acquisition Trust Series 2007-CH1:
Class AV4, 0.6519% 11/25/36 (h)	438,000		181,770
Class MV1, 0.7519% 11/25/36 (h)	356,000		49,193
	Principal Amount		Value
Keycorp Student Loan Trust:
Series 1999-A Class A2, 1.7963% 12/27/09 (h)	$ 374,444		$ 289,864
Series 2006-A Class 2A1, 1.4963% 9/27/21 (h)	197,714		192,986
Long Beach Mortgage Loan Trust:
Series 2003-2 Class M1, 1.7519% 6/25/33 (h)	735,675		315,488
Series 2004-2:
Class M1, 1.0519% 6/25/34 (h)	744,000		402,269
Class M2, 1.6019% 6/25/34 (h)	150,428		115,167
MASTR Asset Backed Securities Trust:
Series 2006-AM3 Class M1, 0.7819% 10/25/36 (h)	158,000		3,095
Series 2007-HE1 Class M1, 0.8219% 5/25/37 (h)	249,000		7,323
Merrill Lynch Mortgage Investors Trust:
Series 2003-HE1 Class M1, 1.2219% 7/25/34 (h)	205,492		140,995
Series 2003-OPT1 Class M1, 1.1719% 7/25/34 (h)	56,516		39,297
Series 2006-FM1 Class A2B, 0.6319% 4/25/37 (h)	916,000		608,102
Series 2006-OPT1 Class A1A, 0.7819% 6/25/35 (h)	597,740		277,763
Morgan Stanley ABS Capital I Trust:
Series 2002-HE3 Class M1, 2.1719% 12/27/32 (h)	14,790		8,210
Series 2003-NC7 Class M1, 1.5719% 6/25/33 (h)	183,099		92,260
Series 2003-NC8 Class M1, 1.5719% 9/25/33 (h)	141,883		73,543
Series 2004-HE6 Class A2, 0.8619% 8/25/34 (h)	20,187		3,545
Series 2004-NC2 Class M1, 1.3469% 12/25/33 (h)	362,538		153,481
Series 2005-HE1 Class M2, 0.9919% 12/25/34 (h)	172,000		84,364
Series 2005-HE2 Class M1, 0.9219% 1/25/35 (h)	155,000		40,274
Series 2005-NC1 Class M1, 0.9619% 1/25/35 (h)	141,000		38,646
Series 2007-HE2 Class A2A, 0.5619% 1/25/37 (h)	37,843		26,377
Series 2007-HE4 Class A2A, 0.6319% 2/25/37 (h)	36,808		22,454
Series 2007-NC3 Class A2A, 0.5819% 5/25/37 (h)	20,165		13,827
Morgan Stanley Dean Witter Capital I Trust:
Series 2001-NC4 Class M1, 2.0219% 1/25/32 (h)	3,101		751
Asset-Backed Securities - continued
	Principal Amount		Value
Morgan Stanley Dean Witter Capital I Trust: - continued
Series 2002-AM3 Class A3, 1.5019% 2/25/33 (h)	$ 36,132		$ 29,568
Series 2002-HE2 Class M1, 2.0219% 8/25/32 (h)	226,839		105,133
Series 2002-NC1 Class M1, 1.7219% 2/25/32 (b)(h)	192,835		98,926
Series 2002-NC3:
Class A3, 1.2019% 8/25/32 (h)	12,136		1,936
Class M1, 1.6019% 8/25/32 (h)	21,794		9,820
Series 2003-NC1 Class M1, 2.0969% 11/25/32 (h)	142,302		56,828
Morgan Stanley Home Equity Loans Trust Series 2007-2 Class A1, 0.6219% 4/25/37 (h)	27,571		18,291
National Collegiate Student Loan Trust:
Series 2005-GT1 Class AIO, 6.75% 12/25/09 (i)	1,750,000		98,985
Series 2006-3 Class A1, 0.5519% 9/25/19 (h)	400,870		383,499
Series 2006-4 Class A1, 0.5519% 3/25/25 (h)	351,530		309,738
New Century Home Equity Loan Trust:
Series 2003-6 Class M1, 1.6019% 1/25/34 (h)	409,824		219,814
Series 2005-4 Class M2, 1.0319% 9/25/35 (h)	503,000		84,013
Series 2005-D Class M2, 0.9919% 2/25/36 (h)	105,000		5,186
Nomura Home Equity Loan Trust:
Series 2006-AF1 Class A1, 6.032% 10/25/36	89,523		84,459
Series 2006-HE2 Class A2, 0.6419% 3/25/36 (h)	270,192		246,372
Ocala Funding LLC Series 2006-1A Class A, 1.945% 3/20/11 (b)(h)	414,000		165,600
Option One Mortgage Loan Trust Series 2004-3 Class M3, 1.1719% 11/25/34 (h)	121,000		71,456
Park Place Securities, Inc.:
Series 2004-WCW1:
Class M2, 1.2019% 9/25/34 (h)	98,000		51,090
Class M3, 1.7719% 9/25/34 (h)	188,000		28,901
Class M4, 1.9719% 9/25/34 (h)	241,000		19,276
Series 2004-WCW2 Class M3, 1.0719% 7/25/35 (h)	141,000		16,509
Series 2004-WHQ2 Class M1, 1.1119% 2/25/35 (h)	410,000		279,971
	Principal Amount		Value
Series 2004-WWF1:
Class M2, 1.2019% 2/25/35 (h)	$ 566,000		$ 288,660
Class M3, 1.2619% 2/25/35 (h)	70,000		19,873
Series 2005-WCH1:
Class M2, 1.0419% 1/25/35 (h)	1,972,000		992,446
Class M3, 1.0819% 1/25/35 (h)	168,000		53,990
Class M4, 1.3519% 1/25/35 (h)	520,000		68,980
Series 2005-WHQ2 Class M7, 1.7719% 5/25/35 (h)	1,251,000		49,101
Providian Master Note Trust Series 2006-C1A Class C1, 1.1063% 3/16/15 (b)(h)	759,000		341,550
Residential Asset Securities Corp. Series 2007-KS2 Class AI1, 0.5919% 2/25/37 (h)	804,270		685,643
Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 1.3219% 4/25/33 (h)	1,796		288
Saxon Asset Securities Trust Series 2004-1 Class M1, 1.3169% 3/25/35 (h)	666,000		268,118
Sierra Receivables Funding Co. Series 2007-1A Class A2, 0.695% 3/20/19 (b)(h)	367,806		261,106
SLM Private Credit Student Loan Trust Series 2004-A Class C, 2.27% 6/15/33 (h)	448,000		201,600
Sovereign Dealer Floor Plan Master LLC Series 2006-1:
Class B, 0.7363% 8/15/11 (b)(h)	609,000		517,650
Class C, 0.9363% 8/15/11 (b)(h)	278,000		222,400
Specialty Underwriting & Residential Finance Trust:
Series 2003-BC3 Class M2, 2.1219% 8/25/34 (h)	80,520		52,682
Series 2003-BC4 Class M1, 1.1219% 11/25/34 (h)	685,000		266,974
Structured Asset Investment Loan Trust Series 2004-8 Class M5, 1.6719% 9/25/34 (h)	31,723		2,341
Structured Asset Securities Corp.:
Series 2004-GEL1 Class A, 0.8819% 2/25/34 (h)	48,282		20,058
Series 2007-BC4 Class A3, 0.7719% 11/25/37 (h)	6,494,716		4,735,138
Series 2007-GEL1 Class A2, 0.7119% 1/25/37 (b)(h)	461,000		125,265
Superior Wholesale Inventory Financing Trust:
Series 2004-A10:
Class A, 0.6563% 9/15/11 (h)	1,852,000		1,555,680
Asset-Backed Securities - continued
	Principal Amount		Value
Superior Wholesale Inventory Financing Trust: - continued
Series 2004-A10:
Class B, 0.8363% 9/15/11 (h)	$ 1,385,000		$ 415,500
Series 2007-AE1:
Class A, 0.6563% 1/15/12 (h)	345,000		262,200
Class B, 0.8563% 1/15/12 (h)	300,000		90,000
Class C, 1.1563% 1/15/12 (h)	372,000		79,980
Swift Master Auto Receivables Trust Series 2007-1:
Class A, 0.6563% 6/15/12 (h)	1,012,000		733,700
Class B, 0.7763% 6/15/12 (h)	2,515,000		1,006,000
Class C, 1.0563% 6/15/12 (h)	1,500,000		450,000
Terwin Mortgage Trust:
Series 2003-4HE Class A1, 0.9519% 9/25/34 (h)	10,148		2,115
Series 2003-6HE Class A1, 0.9919% 11/25/33 (h)	12,837		3,392
Turquoise Card Backed Securities PLC:
Series 2006-1A Class C, 0.8863% 5/16/11 (b)(h)	997,000		968,181
Series 2006-2:
Class B, 0.7063% 10/17/11 (h)	1,206,000		1,074,282
Class C, 0.9063% 10/17/11 (h)	1,133,000		906,400
Series 2007-1 Class C, 0.9263% 6/15/12 (h)	1,292,000		906,915
Wachovia Auto Loan Owner Trust Series 2006-2A Class A4, 5.23% 3/20/12 (b)	4,000,000		3,910,000
WaMu Master Note Trust:
Series 2006-A3A Class A3, 0.5863% 9/16/13 (b)(h)	1,935,000		1,873,080
Series 2006-C2A Class C2, 1.0563% 8/15/15 (b)(h)	2,465,000		1,106,750
Series 2006-C3A Class C3A, 0.9363% 10/15/13 (b)(h)	1,725,000		1,437,001
Series 2007-A4A Class A4, 5.2% 10/15/14 (b)	1,665,000		1,520,739
Series 2007-C1 Class C1, 0.9563% 5/15/14 (b)(h)	1,501,000		870,580
Whinstone Capital Management Ltd. Series 1A Class B3, 2.0594% 10/25/44 (b)(h)	630,180		75,622
TOTAL ASSET-BACKED SECURITIES (Cost $137,696,178)		106,124,290
Collateralized Mortgage Obligations - 4.5%
Private Sponsor - 1.8%
Arkle Master Issuer PLC floater:
Series 2006-1A Class 3C, 1.6275% 2/17/52 (b)(h)	236,000		177,000
	Principal Amount		Value
Series 2006-2A:
Class 2B, 1.3575% 2/17/52 (b)(h)	$ 830,000		$ 757,234
Class 2M, 1.4375% 2/17/52 (b)(h)	564,000		500,291
Arran Residential Mortgages Funding No. 1 PLC floater Series 2006-1A Class DB, 1.7838% 4/12/56 (b)(h)	529,679		265,833
Banc of America Commercial Mortgage Trust Series 2007-2:
Class B, 5.6985% 4/10/49 (h)	485,000		72,750
Class C, 5.6985% 4/10/49 (h)	1,290,000		180,600
Class D, 5.6985% 4/10/49 (h)	650,000		84,500
Banc of America Mortgage Securities, Inc.:
Series 2003-K Class 1A1, 5.2035% 12/25/33 (h)	23,732		18,570
Series 2004-B Class 1A1, 5.6716% 3/25/34 (h)	26,417		20,120
Series 2004-C Class 1A1, 5.9713% 4/25/34 (h)	46,810		34,999
Series 2004-J Class 2A1, 4.762% 11/25/34 (h)	1,344,307		991,380
Series 2005-E Class 2A7, 4.6148% 6/25/35 (h)	2,680,000		1,306,159
Bear Stearns Alt-A Trust floater:
Series 2005-1 Class A1, 0.8019% 1/25/35 (h)	1,059,720		513,452
Series 2005-2 Class 1A1, 0.7719% 3/25/35 (h)	195,980		101,081
Series 2005-5 Class 1A1, 0.7419% 7/25/35 (h)	251,734		129,311
Chase Mortgage Finance Trust:
Series 2007-A1 Class 1A5, 4.9664% 2/25/37 (h)	661,348		489,398
Series 2007-A2 Class 2A1, 5.1798% 7/25/37 (h)	336,117		270,733
Citigroup Commercial Mortgage Trust Series 2008-C7 Class A2B, 6.0956% 12/10/49 (h)	7,310,000		5,536,636
Citigroup Mortgage Loan Trust Series 2004-UST1 Class A4, 4.2301% 8/25/34 (h)	3,485,439		2,722,076
Countrywide Alternative Loan Trust planned amortization class Series 2003-5T2 Class A2, 0.9219% 5/25/33 (h)	29,877		29,335
Credit Suisse First Boston Adjustable Rate Mortgage Trust floater:
Series 2004-1 Class 9A2, 0.9219% 1/25/34 (h)	19,880		9,609
Series 2004-2 Class 7A3, 0.9219% 2/25/35 (h)	43,954		24,210
Series 2004-4 Class 5A2, 0.9219% 3/25/35 (h)	9,512		4,406
Collateralized Mortgage Obligations - continued
	Principal Amount		Value
Private Sponsor - continued
Credit Suisse First Boston Adjustable Rate Mortgage Trust floater: - continued
Series 2005-1 Class 5A2, 0.8519% 5/25/35 (h)	$ 161,295		$ 74,462
Series 2005-10:
Class 5A1, 0.7819% 1/25/36 (h)	252,924		120,177
Class 5A2, 0.8419% 1/25/36 (h)	113,948		52,240
Series 2005-2:
Class 6A2, 0.8019% 6/25/35 (h)	39,174		17,684
Class 6M2, 1.0019% 6/25/35 (h)	519,000		95,882
Series 2005-3 Class 8A2, 0.7619% 7/25/35 (h)	184,130		85,026
Series 2005-4 Class 7A2, 0.7519% 8/25/35 (h)	60,425		25,632
Series 2005-8 Class 7A2, 0.8019% 11/25/35 (h)	150,043		83,312
Credit Suisse First Boston Mortgage Securities Corp. floater:
Series 2004-AR4 Class 5A2, 1.2619% 5/25/34 (h)	5,461		2,720
Series 2004-AR5 Class 11A2, 1.2619% 6/25/34 (h)	11,407		5,837
Series 2004-AR6 Class 9A2, 1.2619% 10/25/34 (h)	53,763		26,957
Series 2004-AR7 Class 6A2, 1.2819% 8/25/34 (h)	15,694		7,300
Series 2004-AR8 Class 8A2, 0.9019% 9/25/34 (h)	10,410		5,207
Series 2007-AR7 Class 2A1, 4.6046% 11/25/34 (h)	1,277,237		875,222
Deutsche Alt-A Securities Mortgage Loan Trust floater Series 2007-BAR1 Class A3, 0.6819% 3/25/37 (h)	1,210,000		331,875
DSLA Mortgage Loan Trust Series 2006-AR2 Class 2AB1, 0.6463% 9/19/36 (h)	236,683		197,535
First Horizon Mortgage pass-thru Trust floater Series 2004-FL1 Class 2A1, 2.15% 12/25/34 (h)	20,111		9,922
Fosse Master Issuer PLC floater Series 2006-1A:
Class B2, 1.3025% 10/18/54 (b)(h)	1,007,000		779,418
Class C2, 1.6125% 10/18/54 (b)(h)	337,000		148,347
Class M2, 1.3925% 10/18/54 (b)(h)	579,000		379,592
Gracechurch Mortgage Financing PLC floater Series 2006-1 Class D2, 1.7213% 11/20/56 (b)(h)	863,000		412,049
	Principal Amount		Value
Gracechurch Mortgage Funding PLC floater Series 1A Class DB, 1.8238% 10/11/41 (b)(h)	$ 1,097,000		$ 483,075
Granite Master Issuer PLC floater:
Series 2006-1A Class C2, 1.145% 12/20/54 (b)(h)	2,117,000		127,020
Series 2006-2 Class C1, 1.015% 12/20/54 (h)	1,885,000		131,950
Series 2006-3 Class C2, 1.045% 12/20/54 (h)	396,000		24,394
Series 2006-4:
Class B1, 0.635% 12/20/54 (h)	1,059,000		180,030
Class C1, 0.925% 12/20/54 (h)	647,000		38,820
Class M1, 0.715% 12/20/54 (h)	279,000		30,690
Series 2007-1:
Class 1C1, 0.845% 12/20/54 (h)	654,000		45,780
Class 1M1, 0.695% 12/20/54 (h)	425,000		46,750
Class 2C1, 0.975% 12/20/54 (h)	298,000		20,860
Class 2M1, 0.795% 12/20/54 (h)	546,000		60,060
Series 2007-2 Class 2C1, 0.9856% 12/17/54 (h)	757,000		45,420
Granite Mortgages PLC floater Series 2003-3 Class 1C, 2.5925% 1/20/44 (h)	151,584		19,111
GSR Mortgage Loan Trust Series 2007-AR2 Class 2A1, 4.8294% 4/25/35 (h)	1,416,773		870,973
Harborview Mortgage Loan Trust floater Series 2005-2 Class 2A1A, 0.7763% 5/19/35 (h)	149,522		54,865
Holmes Master Issuer PLC floater Series 2006-1A Class 2C, 1.4844% 7/15/40 (b)(h)	215,000		150,500
Homestar Mortgage Acceptance Corp. floater Series 2004-5 Class A1, 0.9719% 10/25/34 (h)	54,181		30,112
Impac CMB Trust floater:
Series 2004-11 Class 2A2, 1.2619% 3/25/35 (h)	91,506		23,888
Series 2005-1:
Class M4, 1.2719% 4/25/35 (h)	10,798		1,560
Class M5, 1.2919% 4/25/35 (h)	10,798		1,317
Class M6, 1.3419% 4/25/35 (h)	17,371		1,873
Series 2005-3 Class A1, 0.7619% 8/25/35 (h)	216,903		108,559
Series 2005-4 Class 1B1, 1.8219% 5/25/35 (h)	67,447		5,836
Collateralized Mortgage Obligations - continued
	Principal Amount		Value
Private Sponsor - continued
Impac CMB Trust floater: - continued
Series 2005-6 Class 1M3, 1.1319% 10/25/35 (h)	$ 58,386		$ 3,910
JPMorgan Chase Commercial Mortgage Securities Trust Series 2007-CB18 Class A3, 5.447% 6/12/47 (h)	6,230,000		4,080,351
JPMorgan Mortgage Trust:
Series 2004-A5 Class 2A1, 4.6093% 12/25/34 (h)	1,098,068		853,318
Series 2006-A2 Class 5A1, 5.1367% 11/25/33 (h)	1,544,754		1,272,291
Series 2007-A1 Class 1A1, 4.1971% 7/25/35 (h)	3,813,390		2,956,288
Lehman Structured Securities Corp. floater Series 2005-1 Class A2, 0.8669% 9/26/45 (b)(h)	171,994		73,139
MASTR Adjustable Rate Mortgages Trust:
floater Series 2005-1 Class 1A1, 0.7919% 3/25/35 (h)	26,163		14,353
Series 2007-3 Class 22A2, 0.7319% 5/25/47 (h)	502,000		187,415
MASTR Alternative Loan Trust Series 2004-3 Class 3A1, 6% 4/25/34	383,282		281,196
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.6919% 2/25/37 (h)	627,940		213,499
Merrill Lynch Floating Trust floater Series 2006-1:
Class C, 0.7463% 6/15/22 (b)(h)	449,000		202,050
Class D, 0.7563% 6/15/22 (b)(h)	173,000		51,900
Class E, 0.7663% 6/15/22 (b)(h)	276,000		69,000
Class F, 0.7963% 6/15/22 (b)(h)	498,000		109,560
Class G, 0.8663% 6/15/22 (b)(h)	103,000		20,600
Class H, 0.8863% 6/15/22 (b)(h)	207,000		31,050
Class J, 0.9263% 6/15/22 (b)(h)	242,000		24,200
Merrill Lynch Mortgage Investors Trust floater:
Series 2003-A Class 2A1, 0.9119% 3/25/28 (h)	75,411		43,996
Series 2003-B Class A1, 0.8619% 4/25/28 (h)	82,286		48,106
Series 2003-D Class A, 0.8319% 8/25/28 (h)	69,926		45,057
Series 2003-E Class A2, 2.0813% 10/25/28 (h)	115,419		68,838
Series 2003-F Class A2, 2.0963% 10/25/28 (h)	94,240		56,324
	Principal Amount		Value
Series 2004-A Class A2, 2.0063% 4/25/29 (h)	$ 107,356		$ 66,516
Series 2004-B Class A2, 2.8388% 6/25/29 (h)	82,325		48,647
Series 2004-C Class A2, 2.15% 7/25/29 (h)	94,976		58,841
Series 2004-D Class A2, 2.1113% 9/25/29 (h)	80,322		47,549
Series 2004-E:
Class A2B, 2.1163% 11/25/29 (h)	191,782		115,846
Class A2D, 2.3063% 11/25/29 (h)	27,844		16,754
Series 2004-G Class A2, 3.48% 11/25/29 (h)	93,406		55,060
Series 2005-A Class A2, 2.0013% 2/25/30 (h)	90,311		54,225
Series 2005-B Class A2, 2.7988% 7/25/30 (h)	275,708		167,854
Merrill Lynch-CFC Commercial Mortgage Trust Series 2006-3 Class ASB, 5.382% 7/12/46 (h)	4,570,000		3,848,570
MortgageIT Trust floater:
Series 2004-2:
Class A1, 0.8919% 12/25/34 (h)	97,514		63,648
Class A2, 0.9719% 12/25/34 (h)	132,193		81,311
Series 2005-2 Class 1A1, 0.7819% 5/25/35 (h)	110,411		61,277
Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 0.8119% 7/25/35 (h)	1,132,208		492,035
Option One Mortgage Loan Trust floater Series 2007-CP1 Class M1, 0.8219% 3/25/37 (h)	861,000		31,906
Permanent Financing No. 8 PLC floater Class 3C, 1.8125% 6/10/42 (h)	723,000		523,701
Permanent Master Issuer PLC floater Series 2006-1 Class 2C, 1.4944% 7/17/42 (h)	189,000		139,860
Provident Funding Mortgage Loan Trust Series 2005-2 Class 3A, 4.5836% 10/25/35 (h)	1,985,938		1,375,878
RESI Finance LP/RESI Finance DE Corp. floater:
Series 2003-B Class B5, 2.8963% 7/10/35 (b)(h)	476,458		218,504
Series 2003-CB1:
Class B3, 1.9963% 6/10/35 (b)(h)	368,964		195,182
Class B4, 2.1963% 6/10/35 (b)(h)	709,052		339,778
Class B5, 2.7963% 6/10/35 (b)(h)	484,465		226,391
Class B6, 3.2963% 6/10/35 (b)(h)	285,546		133,007
Collateralized Mortgage Obligations - continued
	Principal Amount		Value
Private Sponsor - continued
RESI Finance LP/RESI Finance DE Corp. floater: - continued
Series 2004-A:
Class B4, 1.7463% 2/10/36 (b)(h)	$ 281,606		$ 92,958
Class B5, 2.2463% 2/10/36 (b)(h)	188,043		58,425
Series 2004-B Class B4, 1.6463% 2/10/36 (b)(h)	122,122		35,562
Series 2004-C:
Class B4, 1.4963% 9/10/36 (b)(h)	157,207		44,238
Class B5, 1.8963% 9/10/36 (b)(h)	175,812		42,248
Residential Accredit Loans, Inc. floater Series 2006-QO7 Class 3A1, 0.6219% 9/25/46 (h)	591,674		439,215
Residential Asset Mortgage Products, Inc.:
sequential payer:
Series 2003-SL1 Class A31, 7.125% 4/25/31	85,927		76,824
Series 2004-SL2 Class A1, 6.5% 10/25/16	131,478		113,763
Series 2005-AR5 Class 1A1, 5.3716% 9/19/35 (h)	87,794		54,527
Residential Funding Securities Corp. floater Series 2003-RP2 Class A1, 0.9719% 6/25/33 (b)(h)	96,571		63,541
ResMAE Mortgage Loan Trust floater Series 2006-1 Class A2A, 0.6219% 2/25/36 (b)(h)	15,236		14,918
Sequoia Mortgage Trust floater:
Series 2003-5 Class A2, 3.7963% 9/20/33 (h)	148,947		93,186
Series 2004-1 Class A, 1.8888% 2/20/34 (h)	56,146		36,057
Series 2004-10 Class A4, 4.5188% 11/20/34 (h)	81,019		50,064
Series 2004-12 Class 1A2, 2.1538% 1/20/35 (h)	246,583		138,335
Series 2004-3 Class A, 3.885% 5/20/34 (h)	76,207		46,735
Series 2004-4 Class A, 4.4388% 5/20/34 (h)	291,848		169,319
Series 2004-5 Class A3, 2.9113% 6/20/34 (h)	114,721		65,529
Series 2004-6:
Class A3A, 2.1613% 7/20/34 (h)	88,636		57,073
Class A3B, 2.3038% 7/20/34 (h)	16,914		9,695
Series 2004-7:
Class A3A, 1.9138% 8/20/34 (h)	89,156		53,573
	Principal Amount		Value
Class A3B, 2.1388% 7/20/34 (h)	$ 10,966		$ 6,448
Series 2004-8 Class A2, 2.15% 9/20/34 (h)	221,328		132,670
Series 2005-1 Class A2, 1.7513% 2/20/35 (h)	149,418		89,717
Series 2005-2 Class A2, 2.03% 3/20/35 (h)	184,565		111,706
Series 2005-3 Class A1, 0.745% 5/20/35 (h)	90,599		44,562
Structured Asset Securities Corp. floater Series 2004-NP1 Class A, 0.9219% 9/25/33 (b)(h)	32,328		13,699
TBW Mortgage-Backed pass-thru certificates floater Series 2006-4 Class A3, 0.7219% 9/25/36 (h)	1,153,000		513,186
WaMu Mortgage pass-thru certificates floater:
Series 2006-AR11 Class C1B1, 0.6019% 9/25/46 (h)	48,560		46,420
Series 2006-AR7 Class C1B1, 0.5819% 7/25/46 (h)	18,472		17,934
Wells Fargo Mortgage Backed Securities Trust:
Series 2004-H Class A1, 4.5304% 6/25/34 (h)	1,447,280		1,136,642
Series 2005-AR10 Class 2A2, 4.1913% 6/25/35 (h)	4,075,061		3,018,240
Series 2005-AR12:
Class 2A5, 4.2651% 7/25/35 (h)	3,710,000		1,922,552
Class 2A6, 4.2651% 7/25/35 (h)	5,189,365		3,825,717
Series 2005-AR3 Class 2A1, 4.4069% 3/25/35 (h)	1,211,529		872,178
Series 2005-AR4 Class 2A2, 4.5372% 4/25/35 (h)	2,701,291		2,164,409
TOTAL PRIVATE SPONSOR			55,220,168
U.S. Government Agency - 2.7%
Fannie Mae planned amortization class:
Series 1999-54 Class PH, 6.5% 11/18/29	2,874,656		3,049,973
Series 1999-57 Class PH, 6.5% 12/25/29	1,978,483		2,102,530
Fannie Mae Grantor Trust floater Series 2005-90 Class FG, 0.7719% 10/25/35 (h)	2,099,046		2,047,463
Fannie Mae subordinate REMIC pass-thru certificates:
planned amortization class:
Series 2001-68 Class QZ, 5.5% 12/25/16	2,248,589		2,371,531
Series 2002-9 Class PC, 6% 3/25/17	341,618		364,693
Collateralized Mortgage Obligations - continued
	Principal Amount		Value
U.S. Government Agency - continued
Fannie Mae subordinate REMIC pass-thru certificates: - continued
planned amortization class:
Series 2004-81:
Class KC, 4.5% 4/25/17	$ 11,215,000		$ 11,518,515
Class KD, 4.5% 7/25/18	2,625,000		2,762,143
sequential payer:
Series 2004-3 Class BA, 4% 7/25/17	155,771		159,780
Series 2004-86 Class KC, 4.5% 5/25/19	736,460		765,121
Freddie Mac Multi-class participation certificates guaranteed:
planned amortization class:
Series 2500 Class TE, 5.5% 9/15/17	8,807,337		9,236,377
Series 2677 Class LD, 4.5% 3/15/17	8,800,218		9,154,707
Series 2695 Class GC, 4.5% 11/15/18	7,215,000		7,473,073
Series 2702 Class WB, 5% 4/15/17	2,112,914		2,173,645
Series 2770 Class UD, 4.5% 5/15/17	7,473,000		7,762,282
Series 2885 Class PC, 4.5% 3/15/18	2,560,000		2,631,918
Series 3033 Class UD, 5.5% 10/15/30	1,910,000		1,975,131
Series 3049 Class DB, 5.5% 6/15/31	4,440,000		4,585,922
sequential payer:
Series 2508 Class CK, 5% 10/15/17	9,772,396		10,167,947
Series 2528 Class HN, 5% 11/15/17	3,195,000		3,341,078
Ginnie Mae guaranteed REMIC pass-thru securities Series 2007-35 Class SC, 36.8625% 6/16/37 (h)(j)	225,160		308,469
TOTAL U.S. GOVERNMENT AGENCY			83,952,298
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $164,531,674)		139,172,466
Commercial Mortgage Securities - 7.8%
Asset Securitization Corp. Series 1997-D5:
Class A2, 7.1562% 2/14/43 (h)	1,435,000		1,432,978
Class A3, 7.2062% 2/14/43 (h)	1,545,000		1,433,924
	Principal Amount		Value
Banc of America Commercial Mortgage Trust:
sequential payer:
Series 2006-2 Class AAB, 5.7212% 5/10/45 (h)	$ 2,100,000		$ 1,828,771
Series 2006-5:
Class A2, 5.317% 9/10/47	8,745,000		7,445,942
Class A3, 5.39% 9/10/47	1,985,000		1,538,923
Series 2007-2 Class A1, 5.421% 4/10/49	1,852,582		1,819,026
Series 2007-3 Class A3, 5.6583% 6/10/49 (h)	6,100,000		4,229,841
Banc of America Commercial Mortgage, Inc.:
sequential payer:
Series 2005-1 Class A3, 4.877% 11/10/42	3,372,516		3,167,527
Series 2007-1 Class A2, 5.381% 1/15/49	1,545,000		1,287,808
Series 2001-3 Class H, 6.562% 4/11/37 (b)	4,889,139		4,308,433
Banc of America Large Loan, Inc. floater:
Series 2005-MIB1:
Class F, 1.0263% 3/15/22 (b)(h)	217,000		97,650
Class G, 1.0863% 3/15/22 (b)(h)	141,000		53,580
Series 2006-BIX1:
Class F, 0.8663% 10/15/19 (b)(h)	558,000		223,200
Class G, 0.8863% 10/15/19 (b)(h)	380,000		133,000
Bayview Commercial Asset Trust:
floater:
Series 2004-1:
Class A, 0.8819% 4/25/34 (b)(h)	674,823		506,117
Class B, 2.4219% 4/25/34 (b)(h)	53,032		17,235
Class M1, 1.0819% 4/25/34 (b)(h)	43,211		24,846
Class M2, 1.7219% 4/25/34 (b)(h)	38,722		18,393
Series 2004-2:
Class A, 0.9519% 8/25/34 (b)(h)	507,635		406,108
Class M1, 1.1019% 8/25/34 (b)(h)	81,986		47,142
Series 2004-3:
Class A1, 0.8919% 1/25/35 (b)(h)	955,496		692,735
Class A2, 0.9419% 1/25/35 (b)(h)	124,375		80,844
Class M1, 1.0219% 1/25/35 (b)(h)	127,302		76,381
Commercial Mortgage Securities - continued
	Principal Amount		Value
Bayview Commercial Asset Trust: - continued
Series 2004-3:
Class M2, 1.5219% 1/25/35 (b)(h)	$ 82,307		$ 41,154
Series 2005-2A:
Class A1, 0.8319% 8/25/35 (b)(h)	535,683		374,978
Class M1, 0.9519% 8/25/35 (b)(h)	39,719		15,888
Class M2, 1.0019% 8/25/35 (b)(h)	65,327		26,131
Class M3, 1.0219% 8/25/35 (b)(h)	36,061		12,621
Class M4, 1.1319% 8/25/35 (b)(h)	33,448		10,034
Series 2005-3A:
Class A1, 0.8419% 11/25/35 (b)(h)	292,599		190,189
Class A2, 0.9219% 11/25/35 (b)(h)	189,595		109,017
Series 2005-4A:
Class A2, 0.9119% 1/25/36 (b)(h)	1,053,517		579,435
Class M1, 0.9719% 1/25/36 (b)(h)	220,432		110,216
Class M2, 0.9919% 1/25/36 (b)(h)	66,499		31,587
Class M3, 1.0219% 1/25/36 (b)(h)	96,670		43,501
Series 2006-1 Class A2, 0.8819% 4/25/36 (b)(h)	105,837		68,794
Series 2006-2A:
Class A1, 0.7519% 7/25/36 (b)(h)	1,046,652		690,791
Class A2, 0.8019% 7/25/36 (b)(h)	94,475		56,685
Class M1, 0.8319% 7/25/36 (b)(h)	99,199		49,600
Class M2, 0.8519% 7/25/36 (b)(h)	70,182		33,687
Class M6, 1.0619% 7/25/36 (b)(h)	71,531		25,036
Series 2006-3A:
Class M5, 1.0019% 10/25/36 (b)(h)	82,199		30,825
Class M6, 1.0819% 10/25/36 (b)(h)	160,520		56,182
Series 2006-4A:
Class A1, 0.7519% 12/25/36 (b)(h)	593,699		385,904
Class A2, 0.7919% 12/25/36 (b)(h)	1,323,166		826,979
Class M1, 0.8119% 12/25/36 (b)(h)	95,882		52,735
	Principal Amount		Value
Series 2007-1:
Class A2, 0.7919% 3/25/37 (b)(h)	$ 249,679		$ 131,081
Class B3, 3.8719% 3/25/37 (b)(h)	159,250		31,850
Series 2007-2A:
Class A1, 0.7919% 7/25/37 (b)(h)	221,441		133,972
Class A2, 0.8419% 7/25/37 (b)(h)	207,269		119,179
Class B1, 2.1219% 7/25/37 (b)(h)	194,868		53,589
Class B2, 2.7719% 7/25/37 (b)(h)	168,295		42,074
Class B3, 3.8719% 7/25/37 (b)(h)	190,439		45,705
Class M2, 0.9319% 7/25/37 (b)(h)	115,149		54,696
Class M3, 1.0119% 7/25/37 (b)(h)	115,149		51,817
Class M4, 1.1719% 7/25/37 (b)(h)	243,585		91,344
Class M5, 1.2719% 7/25/37 (b)(h)	217,012		75,954
Class M6, 1.5219% 7/25/37 (b)(h)	270,158		87,801
Series 2007-3:
Class A2, 0.8119% 7/25/37 (b)(h)	365,961		237,875
Class B1, 1.4719% 7/25/37 (b)(h)	169,223		47,382
Class B2, 2.1219% 7/25/37 (b)(h)	593,671		142,481
Class B3, 4.5219% 7/25/37 (b)(h)	228,707		45,741
Class M1, 0.8319% 7/25/37 (b)(h)	149,921		79,458
Class M2, 0.8619% 7/25/37 (b)(h)	157,609		74,076
Class M3, 0.8919% 7/25/37 (b)(h)	344,434		148,107
Class M4, 1.0219% 7/25/37 (b)(h)	544,329		217,732
Class M5, 1.1219% 7/25/37 (b)(h)	203,739		77,421
Class M6, 1.3219% 7/25/37 (b)(h)	153,765		53,818
Series 2007-4A:
Class B1, 3.0719% 9/25/37 (b)(h)	262,392		70,846
Class B2, 3.9719% 9/25/37 (b)(h)	1,282,099		320,525
Class M4, 2.1219% 9/25/37 (b)(h)	845,082		316,906
Class M5, 2.2719% 9/25/37 (b)(h)	845,082		295,779
Commercial Mortgage Securities - continued
	Principal Amount		Value
Bayview Commercial Asset Trust: - continued
Series 2007-4A:
Class M6, 2.4719% 9/25/37 (b)(h)	$ 845,082		$ 274,652
Series 2004-1 Class IO, 1.25% 4/25/34 (b)(i)	2,004,200		22,046
Bear Stearns Commercial Mortgage Securities Trust:
floater:
Series 2006-BBA7:
Class G, 0.9963% 3/15/19 (b)(h)	284,000		153,402
Class H, 1.2063% 3/15/19 (b)(h)	191,000		85,950
Class J, 1.4063% 3/15/19 (b)(h)	143,000		57,200
Series 2007-BBA8:
Class D, 0.8063% 3/15/22 (b)(h)	147,000		95,800
Class E, 0.8563% 3/15/22 (b)(h)	763,000		459,034
Class F, 0.9063% 3/15/22 (b)(h)	468,000		245,819
Class G, 0.9563% 3/15/22 (b)(h)	120,000		61,892
Class H, 1.1063% 3/15/22 (b)(h)	147,000		66,150
Class J, 1.2563% 3/15/22 (b)(h)	147,000		58,800
Series 2006-PW13 Class A3, 5.518% 9/11/41	2,010,000		1,604,194
Series 2007-PW15:
Class A1, 5.016% 2/11/44	1,675,583		1,632,724
Class X2, 0.3679% 2/11/44 (b)(h)(i)	131,045,015		1,847,656
Series 2007-PW16:
Class B, 5.713% 6/11/40 (b)	1,405,000		238,850
Class C, 5.713% 6/11/40 (b)	1,170,000		187,200
Class D, 5.713% 6/11/40 (b)	1,170,000		163,800
C-BASS Trust floater Series 2006-SC1 Class A, 0.7919% 5/25/36 (b)(h)	383,153		167,091
Chase Commercial Mortgage Securities Corp. Series 2001-245 Class A2, 5.8567% 2/12/16 (b)(h)	1,345,000		1,336,302
Chase Manhattan Bank-First Union National Bank Commercial Mortgage Trust sequential payer Series 1999-1 Class A2, 7.439% 8/15/31	3,026,225		3,030,223
Citigroup Commercial Mortgage Trust:
floater Series 2006-FL2:
Class G, 0.8863% 11/15/36 (b)(h)	156,000		53,789
Class H, 0.9263% 11/15/36 (b)(h)	125,000		40,325
	Principal Amount		Value
sequential payer Series 2006-C5 Class A4, 5.431% 10/15/49	$ 3,810,000		$ 2,637,117
Series 2007-C6 Class A1, 5.622% 12/10/49 (h)	5,668,816		5,573,078
Series 2007-FL3A Class A2, 0.6963% 4/15/22 (b)(h)	2,595,000		1,167,750
Citigroup/Deutsche Bank Commercial Mortgage Trust Series 2007-CD4 Class A3, 5.293% 12/11/49	6,065,000		4,182,943
COMM pass-thru certificates:
floater:
Series 2005-F10A:
Class D, 0.8663% 4/15/17 (b)(h)	335,000		169,644
Class E, 0.9263% 4/15/17 (b)(h)	107,000		49,819
Class F, 0.9663% 4/15/17 (b)(h)	60,000		26,142
Class G, 1.1063% 4/15/17 (b)(h)	60,000		24,306
Class H, 1.1763% 4/15/17 (b)(h)	60,000		24,600
Class J, 1.4063% 4/15/17 (b)(h)	46,000		18,400
Series 2005-FL11:
Class F, 1.0063% 11/15/17 (b)(h)	135,423		48,408
Class G, 1.0563% 11/15/17 (b)(h)	93,490		31,308
sequential payer Series 2006-CN2A Class A2FX, 5.449% 2/5/19	2,745,000		2,177,259
Series 2004-LBN2 Class X2, 0.8624% 3/10/39 (b)(h)(i)	5,384,201		78,924
Credit Suisse Commercial Mortgage Trust:
sequential payer Series 2007-C2 Class A2, 5.448% 1/15/49 (h)	3,885,000		3,199,296
Series 2006-C4 Class AAB, 5.439% 9/15/39	5,350,000		4,554,948
Series 2007-C5 Class A4, 5.695% 9/15/40 (h)	2,750,000		1,796,278
Credit Suisse First Boston Mortgage Securities Corp.:
sequential payer:
Series 1999-C1 Class A2, 7.29% 9/15/41	2,351,286		2,364,941
Series 2000-C1 Class A2, 7.545% 4/15/62	1,126,928		1,140,128
Series 2004-C1:
Class A3, 4.321% 1/15/37	1,657,211		1,614,292
Class A4, 4.75% 1/15/37	3,035,000		2,602,583
Series 1997-C2 Class D, 7.27% 1/17/35	515,401		520,068
Series 1998-C1 Class D, 7.17% 5/17/40	534,448		533,875
Commercial Mortgage Securities - continued
	Principal Amount		Value
Credit Suisse First Boston Mortgage Securities Corp.: - continued
Series 2001-CKN5 Class AX, 2.0792% 9/15/34 (b)(h)(i)	$ 25,219,530		$ 922,288
Series 2002-CP3 Class G, 6.639% 7/15/35 (b)	250,000		138,386
Series 2004-C1 Class ASP, 0.9455% 1/15/37 (b)(h)(i)	21,955,319		376,198
Series 2006-C1 Class A3, 5.5519% 2/15/39 (h)	3,895,000		3,196,949
Credit Suisse Mortgage Capital Certificates:
floater:
Series 200-TFL1 Class B, 0.7063% 2/15/22 (b)(h)	3,470,000		1,214,500
Series 2007-TFL1:
Class C:
0.7263% 2/15/22 (b)(h)	657,000		197,100
0.8263% 2/15/22 (b)(h)	234,000		58,500
Class F, 0.8763% 2/15/22 (b)(h)	469,000		103,180
sequential payer Series 2007-C1 Class A1, 5.227% 2/15/40	1,073,252		1,059,670
DLJ Commercial Mortgage Corp. sequential payer Series 2000-CF1 Class A1B, 7.62% 6/10/33	3,145,835		3,170,971
GE Capital Commercial Mortgage Corp. sequential payer Series 2007-C1 Class A4, 5.543% 12/10/49	3,720,000		2,217,810
Greenwich Capital Commercial Funding Corp.:
floater Series 2006-FL4 Class B, 0.6975% 11/5/21 (b)(h)	3,490,000		1,744,455
sequential payer:
Series 2004-GG1 Class A4, 4.755% 6/10/36	1,680,000		1,603,629
Series 2007-GG11 Class A2, 5.597% 12/10/49	13,805,000		10,859,475
Series 2007-GG9 Class A1, 5.233% 3/10/39	1,569,522		1,547,079
Series 2006-GG7 Class A3, 5.915% 7/10/38 (h)	3,460,000		2,704,968
GS Mortgage Securities Corp. II:
floater:
Series 2006-FL8A:
Class C, 0.7581% 6/6/20 (b)(h)	405,000		291,600
Class D, 0.7981% 6/6/20 (b)(h)	1,115,000		724,750
Class E, 0.8881% 6/6/20 (b)(h)	2,220,000		1,376,400
Class F, 0.9581% 6/6/20 (b)(h)	294,000		161,700
	Principal Amount		Value
Series 2007-EOP:
Class C, 0.8381% 3/6/20 (b)(h)	$ 1,335,000		$ 854,400
Class D, 0.8881% 3/6/20 (b)(h)	400,000		256,000
Class E, 0.9581% 3/1/20 (b)(h)	670,000		422,100
Class F, 0.9981% 3/6/20 (b)(h)	335,000		204,350
Class G, 1.0381% 3/6/20 (b)(h)	165,000		99,000
Class H, 1.1681% 3/1/20 (b)(h)	275,000		165,000
Class J, 1.3681% 3/1/20 (b)(h)	395,000		225,269
sequential payer Series 2004-GG2 Class A4, 4.964% 8/10/38	2,725,000		2,402,857
Series 2006-GG6 Class A2, 5.506% 4/10/38 (h)	3,030,000		2,762,083
GS Mortgage Securities Trust sequential payer Series 2007-GG10:
Class A1, 5.69% 8/10/45	1,906,430		1,868,482
Class A2, 5.778% 8/10/45	5,055,000		4,263,313
Class A4, 5.7992% 8/10/45 (h)	3,965,000		2,705,886
JPMorgan Chase Commercial Mortgage Securities Trust:
floater Series 2006-FLA2:
Class E, 0.8363% 11/15/18 (b)(h)	115,096		49,491
Class F, 0.8863% 11/15/18 (b)(h)	172,644		72,510
Class G, 0.9163% 11/15/18 (b)(h)	150,409		60,164
Class H, 1.0563% 11/15/18 (b)(h)	115,096		43,736
sequential payer:
Series 2006-CB14 Class A3B, 5.4855% 12/12/44 (h)	4,625,000		3,606,372
Series 2006-CB15 Class A3, 5.819% 6/12/43 (h)	5,840,000		4,688,417
Series 2006-CB17 Class A4, 5.429% 12/12/43	1,898,000		1,303,806
Series 2006-LDP9 Class A2, 5.134% 5/15/47 (h)	5,105,000		3,574,962
Series 2007-LDP10 Class A1, 5.122% 1/15/49	1,011,285		993,156
Series 2007-LDPX Class A3, 5.412% 1/15/49	3,796,000		2,565,420
Series 2005-LDP3 Class A3, 4.959% 8/15/42	4,115,000		3,444,737
Series 2007-CB19:
Class B, 5.7442% 2/12/49	755,000		128,350
Class C, 5.7462% 2/12/49	1,971,000		295,650
Class D, 5.7462% 2/12/49	2,075,000		269,750
Commercial Mortgage Securities - continued
	Principal Amount		Value
JPMorgan Chase Commercial Mortgage Securities Trust: - continued
Series 2007-LDP10:
Class BS, 5.437% 1/15/49 (h)	$ 1,725,000		$ 258,750
Class CS, 5.466% 1/15/49 (h)	745,000		96,850
Class ES, 5.5456% 1/15/49 (b)(h)	4,663,000		419,670
LB Commercial Conduit Mortgage Trust Series 2007-C3:
Class F, 5.9332% 7/15/44 (h)	1,815,000		107,595
Class G, 5.9332% 7/15/44 (b)(h)	3,200,000		231,923
LB-UBS Commercial Mortgage Trust:
sequential payer:
Series 2000-C3 Class A2, 7.95% 1/15/10	2,059,283		2,085,227
Series 2001-C3 Class A1, 6.058% 6/15/20	682,232		684,649
Series 2005-C3 Class A2, 4.553% 7/15/30	1,609,378		1,584,752
Series 2006-C1 Class A2, 5.084% 2/15/31	1,495,000		1,368,499
Series 2006-C6 Class A2, 5.262% 9/15/39 (h)	3,340,000		2,952,571
Series 2006-C7 Class A1, 5.279% 11/15/38	655,022		657,351
Series 2007-C1:
Class A1, 5.391% 2/15/40 (h)	882,060		872,089
Class A3, 5.398% 2/15/40	5,000,000		3,501,829
Class A4, 5.424% 2/15/40	7,630,000		5,181,418
Series 2001-C3 Class B, 6.512% 6/15/36	1,810,000		1,799,588
Leafs CMBS I Ltd./Leafs CMBS I Corp. Series 2002-1A:
Class B, 4.13% 11/20/37 (b)	3,860,000		2,509,000
Class C, 4.13% 11/20/37 (b)	3,760,000		2,068,000
Lehman Brothers Floating Rate Commercial Mortgage Trust floater Series 2006-LLFA:
Class F, 0.8963% 9/15/21 (b)(h)	402,971		151,594
Class G, 0.9163% 9/15/21 (b)(h)	795,609		267,450
Class H, 0.9563% 9/15/21 (b)(h)	204,773		65,194
Merrill Lynch Mortgage Trust:
sequential payer:
Series 2004-KEY2 Class A2, 4.166% 8/12/39	291,807		286,766
Series 2005-MCP1 Class A2, 4.556% 6/12/43	2,160,000		2,019,454
Series 2007-C1 Class A4, 5.8288% 6/12/50 (h)	3,796,000		2,409,474
	Principal Amount		Value
Merrill Lynch-CFC Commercial Mortgage Trust:
sequential payer:
Series 2007-5:
Class A1, 4.275% 12/12/11	$ 755,331		$ 734,597
Class A3, 5.364% 8/12/48	4,298,000		2,850,269
Series 2007-9 Class A4, 5.7% 9/12/49	5,500,000		3,516,374
Series 2007-7 Class B, 5.75% 6/12/50	770,000		123,200
Morgan Stanley Capital I Trust:
floater:
Series 2006-XLF Class C, 1.757% 7/15/19 (b)(h)	261,000		26,100
Series 2007-XCLA Class A1, 0.757% 7/17/17 (b)(h)	964,042		549,504
Series 2007-XLCA Class B, 1.0556% 7/17/17 (b)(h)	548,938		49,404
Series 2007-XLFA:
Class D, 0.747% 10/15/20 (b)(h)	235,000		58,750
Class E, 0.807% 10/15/20 (b)(h)	294,000		58,800
Class F, 0.857% 10/15/20 (b)(h)	176,000		31,680
Class G, 0.897% 10/15/20 (b)(h)	218,000		32,700
Class H, 0.987% 10/15/20 (b)(h)	137,000		13,700
Class J, 1.137% 10/15/20 (b)(h)	157,000		12,560
Class NHRO, 1.447% 10/15/20 (b)(h)	93,109		8,380
sequential payer:
Series 2004-HQ3 Class A2, 4.05% 1/13/41	1,298,712		1,274,603
Series 2006-HQ10 Class A1, 5.131% 11/12/41	3,203,892		3,176,649
Series 2006-T23 Class A1, 5.682% 8/12/41	962,719		961,057
Series 2007-HQ11 Class A31, 5.439% 2/20/44 (h)	4,785,000		3,467,096
Series 2007-IQ13 Class A1, 5.05% 3/15/44	1,573,034		1,533,692
Series 2007-IQ14 Class A1, 5.38% 4/15/49	3,320,045		3,252,501
Series 2007-T25 Class A2, 5.507% 11/12/49	10,320,000		7,674,511
Series 2005-IQ9 Class X2, 1.0462% 7/15/56 (b)(h)(i)	22,431,042		522,536
Series 2007-HQ12 Class A2, 5.6321% 4/12/49 (h)	4,920,000		4,092,629
Series 2007-IQ14 Class B, 5.914% 4/15/49	2,175,000		353,372
Series 2007-XLC1:
Class C, 1.1556% 7/17/17 (b)(h)	749,579		59,966
Commercial Mortgage Securities - continued
	Principal Amount		Value
Morgan Stanley Capital I Trust: - continued
Series 2007-XLC1:
Class D, 1.2556% 7/17/17 (b)(h)	$ 352,615		$ 24,683
Class E, 1.3556% 7/17/17 (b)(h)	286,454		17,187
Providence Place Group Ltd. Partnership Series 2000-C1 Class A2, 7.75% 7/20/28	2,675,752		2,140,602
STRIPS III Ltd./STRIPS III Corp. floater Series 2004-1A Class A, 1.0019% 3/24/18 (b)(h)	56,404		50,764
Wachovia Bank Commercial Mortgage Trust:
floater:
Series 2005-WL5A Class K, 1.7563% 1/15/18 (b)(h)	449,000		224,500
Series 2006-WL7A:
Class E, 0.8363% 9/15/21 (b)(h)	491,000		201,310
Class F, 0.8963% 8/11/18 (b)(h)	661,000		198,300
Class G, 0.9163% 8/11/18 (b)(h)	626,000		156,500
Class J, 1.1563% 8/11/18 (b)(h)	139,000		22,240
Series 2007-WHL8:
Class AP2, 1.3563% 6/15/20 (b)(h)	53,945		10,789
Class F, 1.0363% 6/15/20 (b)(h)	1,046,000		334,720
Class LXR2, 1.3563% 6/15/20 (b)(h)	713,442		107,016
sequential payer:
Series 2003-C6 Class A2, 4.498% 8/15/35	1,545,592		1,521,995
Series 2003-C7 Class A1, 4.241% 10/15/35 (b)	842,030		825,476
Series 2007-C30:
Class A3, 5.246% 12/15/43	5,940,000		4,444,909
Class A4, 5.305% 12/15/43	3,240,000		2,197,322
Class A5, 5.342% 12/15/43	3,796,000		2,368,318
Series 2007-C31 Class A1, 5.14% 4/15/47	959,923		944,226
Series 2007-C32 Class A2, 5.7357% 6/15/49 (h)	1,255,000		1,017,270
Series 2006-C23 Class A5, 5.416% 1/15/45 (h)	3,010,000		2,336,047
Series 2007-C30 Class E, 5.553% 12/15/43 (h)	6,257,000		563,130
Series 2007-C31 Class C, 5.6924% 4/15/47 (h)	2,455,000		294,600
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $337,632,528)		241,169,684
Foreign Government and Government Agency Obligations - 0.1%
	Principal Amount		Value
United Mexican States 5.875% 1/15/14 (Cost $1,643,514)	$ 1,665,000		$ 1,721,610
Supranational Obligations - 0.0%
Corporacion Andina de Fomento 5.2% 5/21/13 (Cost $348,544)	350,000		323,933
Preferred Securities - 0.1%
FINANCIALS - 0.1%
Diversified Financial Services - 0.1%
MUFG Capital Finance 1 Ltd. 6.346% (h) (Cost $2,820,000)	2,820,000		2,006,133
Cash Equivalents - 5.4%
			Maturity Amount
Investments in repurchase agreements in a joint trading account at 0.16%, dated 3/31/09 due 4/1/09 (Collateralized by U.S. Government Obligations) # (Cost $167,038,000)	$ 167,038,720		167,038,000
TOTAL INVESTMENT PORTFOLIO - 105.1% (Cost $3,513,073,332)			3,262,184,518

NET OTHER ASSETS - (5.1)%		(156,928,643)
NET ASSETS - 100%	$ 3,105,255,875

Swap Agreements
	Expiration Date	Notional Amount	Value
Credit Default Swaps
Receive monthly notional amount multiplied by 2.5% and pay Bank of America upon credit event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2004-R11 Class M9, 6.102% 11/25/34 (Rating-C) (f)	Dec. 2034	$ 245,904	$ (235,873)
Receive monthly notional amount multiplied by 2.5% and pay Bank of America upon credit event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2004-R8 Class M9, 8.07% 9/25/34 (Rating-C) (f)	Oct. 2034	439,482	(426,552)
Receive monthly notional amount multiplied by 2.5% and pay Credit Suisse First Boston upon credit event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2004-R11 Class M9, 8.03% 11/25/34 (Rating-C) (f)	Dec. 2034	427,179	(409,754)
Receive monthly notional amount multiplied by 2.6% and pay Merrill Lynch, Inc. upon credit event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2004-R8 Class M9, 8.07% 9/25/34 (Rating-C) (f)	Oct. 2034	439,482	(426,429)
	Expiration Date	Notional Amount	Value
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	$ 135,917	$ (125,799)
Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to Credit Suisse First Boston upon each credit event of one of the issues of ABX AA 07-1 Index, par value of the proportional notional amount (Rating-Ca) (g)	Sept. 2037	3,000,000	(2,678,199)
Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to Credit Suisse First Boston upon each credit event of one of the issues of ABX AA 07-1 Index, par value of the proportional notional amount (Rating-Ca) (g)	Sept. 2037	2,600,000	(2,093,573)
Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to JPMorgan Chase, Inc. upon each credit event of one of the issues of ABX AA 07-01 Index, par value of the proportional notional amount (Rating-Ca) (g)	Sept. 2037	3,100,000	(2,504,394)
Swap Agreements - continued
	Expiration Date	Notional Amount	Value
Credit Default Swaps - continued
Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to JPMorgan Chase, Inc. upon each credit event of one of the issues of ABX AA 07-1 Index, par value of the proportional notional amount (Rating-Ca) (g)	Sept. 2037	$ 1,500,000	$ (1,204,886)
Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to UBS upon each credit event of one of the issues of ABX AA 07-1 Index, par value of the proportional notional amount (Rating-Ca) (g)	August 2037	4,400,000	(3,893,913)
Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to UBS upon each credit event of one of the issues of ABX AA 07-1 Index, par value of the proportional notional amount (Rating-Ca) (g)	August 2037	1,600,000	(1,411,501)
Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to UBS upon each credit event of one of the issues of ABX AA 07-1 Index, par value of the proportional notional amount (Rating-Ca) (g)	Sept. 2037	4,600,000	(3,729,735)
Receive monthly notional amount multiplied by .82% and pay UBS upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC6 Class M3, 5.6413% 7/25/34 (Rating-Baa2) (f)	August 2034	111,157	(96,736)
	Expiration Date	Notional Amount	Value
Receive monthly notional amount multiplied by .85% and pay UBS upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC8 Class M6, 5.4413% 9/25/34 (Rating-A3) (f)	Oct. 2034	$ 138,296	$ (80,036)
Receive monthly notional amount multiplied by 2.39% and pay UBS upon credit event of Fremont Home Loan Trust, par value of the notional amount of Fremont Home Loan Trust Series 2004-1 Class M9, 7.73% 2/25/34 (Rating-Baa3) (f)	March 2034	122,852	(9,386)
Receive monthly notional amount multiplied by 2.4% and pay Deutsche Bank upon credit event of Fremont Home Loan Trust, par value of the notional amount of Fremont Home Loan Trust Series 2004-A Class B3, 7.2288% 1/25/34 (Rating-Ba2) (f)	Feb. 2034	4,841	(4,703)
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-Baa3) (f)	April 2032	40,946	(35,113)
Swap Agreements - continued
	Expiration Date	Notional Amount	Value
Credit Default Swaps - continued
Receive monthly notional amount multiplied by 3.83% and pay Morgan Stanley, Inc. upon credit event of Park Place Securities, Inc., par value of the notional amount of Park Place Securities, Inc. Series 2005-WHQ2 Class M9, 7.2% 5/25/35 (Rating-C) (f)	June 2035	$ 600,000	$ (565,784)
Receive quarterly notional amount multiplied by .35% and pay Goldman Sachs upon credit event of Southern California Edison Co., par value of the notional amount of Southern California Edison Co. 7.625% 1/15/10 (Rating-A3) (f)	Sept. 2010	1,900,000	(57,028)
Receive semi-annually notional amount multiplied by .61% and pay JPMorgan Chase, Inc. upon credit event of United Mexican States, par value of the notional amount of United Mexican States 7.5% 4/8/33 (Rating-Baa1) (f)	May 2011	4,290,000	(240,783)
Receive semi-annually notional amount multiplied by .625% and pay Deutsche Bank upon credit event of United Mexican States, par value of the notional amount of United Mexican States 7.5% 4/8/33 (Rating-Baa1) (f)	May 2011	2,260,000	(126,061)
TOTAL CREDIT DEFAULT SWAPS		$ 31,956,056	$ (20,356,238)
	Expiration Date	Notional Amount	Value
Interest Rate Swaps
Receive quarterly a fixed rate equal to 4% and pay quarterly a floating rate based on 3-month LIBOR with JPMorgan Chase, Inc.	July 2009	$ 42,000,000	$ 598,513
Receive quarterly a fixed rate equal to 4.3875% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston	March 2010	11,825,000	373,792
Receive quarterly a fixed rate equal to 4.774% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston	March 2015	11,825,000	1,598,822
Receive semi-annually a fixed rate equal to 3.567% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston	May 2011	71,168,000	4,021,255
Receive semi-annually a fixed rate equal to 4.449% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston	May 2018	24,935,000	3,712,467
Receive semi-annually a fixed rate equal to 4.49% and pay quarterly a floating rate based on 3-month LIBOR with JPMorgan Chase, Inc.	Sept. 2010	1,500,000	22,130
Receive semi-annually a fixed rate equal to 4.93% and pay quarterly a floating rate based on 3-month LIBOR with JPMorgan Chase, Inc.	Nov. 2010	1,000,000	32,012
Receive semi-annually a fixed rate equal to 5.186% and pay quarterly a floating rate based on 3-month LIBOR with JPMorgan Chase, Inc.	Sept. 2011	20,000,000	1,794,032

Swap Agreements - continued
	Expiration Date	Notional Amount	Value

Interest Rate Swaps - continued

Receive semi-annually a fixed rate equal to 5.276% and pay quarterly a floating rate based on 3-month LIBOR with Deutsche Bank	April 2011	$ 52,500,000	$ 5,213,171
Receive semi-annually a fixed rate equal to 5.31% and pay quarterly a floating rate based on 3-month LIBOR with JPMorgan Chase, Inc.	April 2011	105,000,000	4,527,437
Receive semi-annually a fixed rate equal to 5.354% and pay quarterly a floating rate based on 3-month LIBOR with Deutsche Bank	April 2011	32,000,000	3,240,899
TOTAL INTEREST RATE SWAPS		$ 373,753,000	$ 25,134,530
		$ 405,709,056	$ 4,778,292

Legend

(a) 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.

(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 $204,124,137 or 6.6% 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 has been segregated as collateral for open swap agreements. At the period end, the value of securities pledged amounted to $12,953,151.

(f) Represents a credit default swap contract in which the fund has sold protection on the underlying reference entity. For the underlying reference entity, ratings disclosed are from Moody's Investor Services, Inc. Where Moody's ratings are not available, S&P ratings are disclosed and are indicated as such. Any underlying reference entity which is Not Rated (NR) by Moody's or S&P is designated as such. All ratings are as of the report date and do not reflect subsequent changes.

(g) Represents a tradable index of credit default swaps on home equity asset-backed debt securities. In addition, the swap represents a contract in which the fund has sold protection on the underlying securities within the index. Ratings represent a weighted average of the ratings of all securities included in the index. Ratings used in the weighted average are from Moody's Investor Services, Inc., or S&P where Moody's ratings are not available. All ratings are as of the report date and do not reflect subsequent changes.

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

(i) 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.

(j) 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. The rate shown is the rate at period end.

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

Repurchase Agreement / Counterparty	Value
$167,038,000 due 4/01/09 at 0.16%
BNP Paribas Securities Corp.	$ 112,998,839
ING Financial Markets LLC	5,611,087
J.P. Morgan Securities, Inc.	48,428,074
	$ 167,038,000

Other Information

The following is a summary of the inputs used, as of March 31, 2009, involving the Fund's assets 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	$ 3,262,184,518	$ -	$ 3,231,571,396	$ 30,613,122
Other Financial Instruments*	$ 4,700,377	$ -	$ 24,411,473	$ (19,711,096)

*Other financial instruments include Swap Agreements and Forward Commitments.

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

	Investments in Securities	Other Financial Instruments
Beginning Balance	$ 17,936,265	$ (10,202,880)
Total Realized Gain (Loss)	207,842	-*
Total Unrealized Gain (Loss)	(8,061,826)	10,480,487
Cost of Purchases	108,635	-
Proceeds of Sales	(1,236,128)	-
Amortization/Accretion	54,961	-
Transfer in/out of Level 3	21,603,373	(19,988,703)
Ending Balance	$ 30,613,122	$ (19,711,096)

* The realized gain (loss) for derivative instruments is not included in the rollforward. For the period, the realized gain (loss) on these instruments totaled $173,464.

The information used in the above reconciliation represents fiscal year to date activity for any Investment Securities or Other Financial 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 either the beginning value (for transfers in), or the ending value (for transfers out) of any Security or Instrument where a change in the pricing level occurred from the beginning to the end of the period.

Income Tax Information

At March 31, 2009, the aggregate cost of investment securities for income tax purposes was $3,508,721,725. Net unrealized depreciation aggregated $246,537,207, of which $71,940,840 related to appreciated investment securities and $318,478,047 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. Wherever possible, the Fund uses independent pricing services approved by the Board of Trustees to value its investments.

Debt securities, including restricted securities, are valued by independent pricing services or by dealers who make markets in such securities. Pricing services consider yield or price of bonds of comparable quality, coupon, maturity and type as well as available dealer supplied prices. 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). Investments in open-end mutual funds are valued at their closing net asset value each business day. 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. Actual prices received at disposition may differ.

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. The frequency with which these procedures are used cannot be predicted and may be utilized to a significant extent. The value of securities used for net asset value calculation under these procedures may differ from published prices for the same securities.

The Fund is subject to the provisions of Statement of Financial Accounting Standards No. 157, Fair Value Measurements (SFAS 157). SFAS 157 establishes a hierarchy that prioritizes the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets (level 1 measurements) and the lowest priority to unobservable inputs (level 3 measurements) when market prices are not readily available or reliable. The three levels of the hierarchy under SFAS 157 are described below:

Level 1 - Quoted prices in active markets for identical securities.

Level 2 - Prices determined using other significant observable inputs. Observable inputs are inputs that other market participants may use in pricing a security. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk and others.

Level 3 - Prices determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable or deemed less relevant (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Fund's own assumptions about the factors market participants would use in pricing an investment, and would be based on the best information available.

Changes in valuation techniques may result in transfers in or out of an investment's assigned level within 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.

Swap Agreements

The Fund entered into swap agreements, which are contracts between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. Payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gains or losses. Gains or losses are realized in the event of an early termination of a swap agreement. Risks of loss may include unfavorable changes in the returns of the underlying instruments or indexes, adverse fluctuations of interest rates, failure of the counterparty to perform under the terms of the agreement and lack of liquidity in the market. Collateral, in the form of cash or securities, may be required to be held in segregated accounts with a fund's custodian bank in accordance with the swap agreement and if required, is identified. The Fund could experience delays and costs in gaining access to the collateral even though it is held in the Fund's custodian bank.

The Fund entered into interest rate swap agreements to manage its exposure to interest rate changes. Interest rate swaps represent an agreement between counterparties to exchange cash flows based on the difference between two interest rates (e.g. fixed rate, floating rate), applied to a notional principal amount. Changes in interest rates can have a negative effect on both the value of the Fund's bond holdings as well as the amount of interest income earned. In general, the value of bonds can fall when interest rates rise and can rise when interest rates fall.

The Fund entered into credit default swap agreements to provide a measure of protection against defaults of an issuer (buyer of protection) and/or to gain credit exposure to an issuer to which it is not otherwise exposed (seller of protection). The issuer may be either a single issuer or a basket of issuers. As a buyer of protection, the Fund does so when it holds bonds of the issuer or without owning the underlying asset or debt issued by the reference entity. 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 credit worthiness of a reference obligation. Any upfront payments made or received upon entering a credit default swap contract would be amortized or accreted over the life of the swap and recorded as realized gains or losses. Periodic payments are made over the life of the contract provided that no credit event occurs. 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 corporate or sovereign issuers, a credit event may be triggered by events such as bankruptcy, failure to pay, obligation acceleration, repudiation/moratorium or restructuring. If a credit event were to occur during the term of the contract, upon notification from the buyer, the seller is obligated to take delivery from the buyer the notional amount of a reference obligation, at par. The difference between the value of the obligation received and the notional amount paid is recorded as a realized loss to the seller. For credit default swaps on asset-backed securities, the reference obligation described represents the security that will be put to the seller. For credit default swaps on corporate or sovereign issuers, under the terms of the agreement, the obligation that is put to the seller is not limited to the specific reference obligation described.

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 of protection 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 of protection amounted to $31,956,056 representing 0.10% of net assets.

The value of each credit default swap and credit rating disclosed for each reference obligation, where the Fund is the seller of protection, are both 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 a seller of protection 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.

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 call Fidelity at 1-800-634-9361 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 Garrison Street Trust's (the "Trust") disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable assurances that material information relating to the Trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.

(a)(ii) There was no change in the Trust's internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the Trust's last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the Trust's internal control over financial reporting.

Item 3. Exhibits

Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Fidelity Garrison Street Trust

By:	/s/John R. Hebble
	John R. Hebble
	President and Treasurer
Date:	May 29, 2009

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:	May 29, 2009

By:	/s/Christine Reynolds
	Christine Reynolds
	Chief Financial Officer
Date:	May 29, 2009