N-Q 1 main.htm

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number 811-649

Fidelity Puritan 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:

August 31

 

 

Date of reporting period:

November 30, 2010

Item 1. Schedule of Investments

Quarterly Holdings Report

for

Fidelity ® Balanced Fund

November 30, 2010 

1.809104.106

BAL-QTLY-0111

Investments November 30, 2010 (Unaudited)

Showing Percentage of Net Assets

Common Stocks - 58.8%

Shares

Value (000s)

CONSUMER DISCRETIONARY - 6.2%

Auto Components - 0.2%

Johnson Controls, Inc.

1,074,500

$ 39,155

TRW Automotive Holdings Corp. (a)

278,369

13,220

 

52,375

Automobiles - 0.5%

BYD Co. Ltd. (H Shares) (f)

1,365,000

8,244

Ford Motor Co. (a)

4,649,452

74,112

General Motors Co.

393,900

13,471

 

95,827

Distributors - 0.1%

Li & Fung Ltd.

2,567,000

16,000

Hotels, Restaurants & Leisure - 0.6%

Bravo Brio Restaurant Group, Inc.

205,700

3,612

Darden Restaurants, Inc.

551,702

27,006

Marriott International, Inc. Class A

668,400

26,208

McDonald's Corp.

311,947

24,425

Royal Caribbean Cruises Ltd. (a)

329,400

13,258

Starwood Hotels & Resorts Worldwide, Inc.

603,400

34,297

 

128,806

Household Durables - 0.4%

D.R. Horton, Inc.

1,083,700

10,880

M.D.C. Holdings, Inc.

395,361

9,872

Stanley Black & Decker, Inc.

721,787

42,968

Whirlpool Corp.

273,900

19,995

 

83,715

Internet & Catalog Retail - 0.4%

Amazon.com, Inc. (a)

281,500

49,375

Expedia, Inc.

911,000

23,987

Rakuten, Inc.

9,264

7,096

 

80,458

Leisure Equipment & Products - 0.1%

Brunswick Corp.

500,453

7,982

Eastman Kodak Co. (a)(f)

1,961,800

9,240

Pool Corp.

281,700

5,969

 

23,191

Media - 2.1%

Comcast Corp. Class A

3,713,100

74,262

DIRECTV (a)

1,503,700

62,449

DreamWorks Animation SKG, Inc. Class A (a)

108,082

3,349

Common Stocks - continued

Shares

Value (000s)

CONSUMER DISCRETIONARY - continued

Media - continued

Legend Pictures Holdings LLC unit (a)(q)

8,571

$ 6,428

Liberty Global, Inc. Class A (a)(f)

527,607

18,603

Naspers Ltd. Class N

186,400

9,303

The Walt Disney Co.

2,653,130

96,866

Time Warner Cable, Inc.

717,606

44,161

Time Warner, Inc.

2,003,469

59,082

Viacom, Inc. Class B (non-vtg.)

1,341,918

50,765

 

425,268

Multiline Retail - 0.5%

Nordstrom, Inc.

748,374

32,030

Target Corp.

1,184,025

67,418

 

99,448

Specialty Retail - 1.2%

Best Buy Co., Inc.

739,203

31,579

Hengdeli Holdings Ltd.

15,560,000

10,120

Home Depot, Inc.

2,545,400

76,897

Lowe's Companies, Inc.

2,470,900

56,089

Sally Beauty Holdings, Inc. (a)

1,016,279

13,974

TJX Companies, Inc.

704,612

32,137

Urban Outfitters, Inc. (a)

409,300

15,467

 

236,263

Textiles, Apparel & Luxury Goods - 0.1%

LVMH Moet Hennessy - Louis Vuitton (f)

102,441

15,536

Trinity Ltd.

6,602,000

6,674

 

22,210

TOTAL CONSUMER DISCRETIONARY

1,263,561

CONSUMER STAPLES - 6.4%

Beverages - 2.1%

Anheuser-Busch InBev SA NV

552,537

30,065

Coca-Cola Bottling Co. Consolidated

124,119

7,261

Coca-Cola FEMSA SAB de CV sponsored ADR

84,925

6,877

Coca-Cola Icecek AS

252,794

3,420

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

49,790

6,754

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

1,743,639

35,936

Diageo PLC sponsored ADR

573,807

41,119

Embotelladora Andina SA sponsored ADR

226,716

6,872

Molson Coors Brewing Co. Class B

849,078

40,459

Common Stocks - continued

Shares

Value (000s)

CONSUMER STAPLES - continued

Beverages - continued

PepsiCo, Inc.

697,966

$ 45,110

The Coca-Cola Co.

3,362,601

212,416

 

436,289

Food & Staples Retailing - 1.2%

BJ's Wholesale Club, Inc. (a)

145,300

6,656

CVS Caremark Corp.

2,867,540

88,894

Fresh Market, Inc.

14,100

511

Kroger Co.

1,059,578

24,953

Safeway, Inc.

1,588,655

36,523

Susser Holdings Corp. (a)

96,981

1,303

United Natural Foods, Inc. (a)

99,019

3,707

Wal-Mart Stores, Inc.

646,818

34,986

Walgreen Co.

1,327,922

46,278

 

243,811

Food Products - 0.7%

Archer Daniels Midland Co.

519,154

15,050

Bunge Ltd.

247,679

15,064

Danone

69,300

4,059

Dean Foods Co. (a)

1,062,196

7,722

Green Mountain Coffee Roasters, Inc. (a)

590,632

21,901

Nestle SA

598,306

32,519

Unilever NV unit

1,421,753

40,349

Viterra, Inc.

370,400

3,305

 

139,969

Household Products - 1.5%

Colgate-Palmolive Co.

808,504

61,891

Procter & Gamble Co.

4,103,843

250,622

 

312,513

Personal Products - 0.2%

Avon Products, Inc.

1,014,278

28,968

Tobacco - 0.7%

Altria Group, Inc.

785,770

18,858

British American Tobacco PLC sponsored ADR

1,114,818

81,270

Philip Morris International, Inc.

648,494

36,893

Souza Cruz Industria Comerico

68,200

3,425

 

140,446

TOTAL CONSUMER STAPLES

1,301,996

Common Stocks - continued

Shares

Value (000s)

ENERGY - 6.7%

Energy Equipment & Services - 1.9%

Aker Solutions ASA

168,800

$ 2,497

Baker Hughes, Inc.

1,906,392

99,437

Cameron International Corp. (a)

162,896

7,837

Dresser-Rand Group, Inc. (a)

68,618

2,603

Ensco International Ltd. ADR

443,460

21,020

Halliburton Co.

3,245,198

122,798

National Oilwell Varco, Inc.

210,955

12,929

Noble Corp.

1,182,708

40,117

Oceaneering International, Inc. (a)

261,349

18,059

Pride International, Inc. (a)

104,882

3,262

Saipem SpA

241,823

10,062

Schlumberger Ltd.

254,424

19,677

TETRA Technologies, Inc. (a)

362,600

3,989

Transocean Ltd. (a)

428,000

28,689

Vantage Drilling Co. (a)

1,393,700

2,453

 

395,429

Oil, Gas & Consumable Fuels - 4.8%

Alpha Natural Resources, Inc. (a)

505,000

25,028

Anadarko Petroleum Corp.

495,777

31,809

Apache Corp.

682,148

73,426

BP PLC

802,100

5,353

BP PLC sponsored ADR

971,318

38,853

Chesapeake Energy Corp.

222,161

4,692

Chevron Corp.

515,708

41,757

Cimarex Energy Co.

198,945

16,023

Concho Resources, Inc. (a)

186,468

15,430

Concho Resources, Inc. (a)(q)

117,521

8,752

Denbury Resources, Inc. (a)

1,647,522

29,952

Devon Energy Corp.

257,400

18,165

Ellora Energy, Inc. (a)(g)

1,529,700

1,040

EXCO Resources, Inc.

106,400

1,976

Exxon Mobil Corp.

1,832,697

127,482

Falkland Oil & Gas Ltd. (a)

960,800

1,640

Frontier Oil Corp.

435,900

6,770

Holly Corp.

564,946

20,304

Imperial Oil Ltd. (f)

106,500

3,873

InterOil Corp. (a)(f)

105,900

8,041

Marathon Oil Corp.

619,100

20,721

Massey Energy Co.

460,786

22,629

Murphy Oil Corp.

326,702

22,059

Common Stocks - continued

Shares

Value (000s)

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Niko Resources Ltd.

37,000

$ 3,322

Occidental Petroleum Corp.

975,448

86,005

Peabody Energy Corp.

131,881

7,756

PetroBakken Energy Ltd. Class A (f)

315,600

5,733

Petrobank Energy & Resources Ltd. (a)

534,690

21,052

Petrohawk Energy Corp. (a)

217,341

3,875

Rodinia Oil Corp.

449,500

692

Royal Dutch Shell PLC Class B ADR

2,984,547

179,998

Southwestern Energy Co. (a)

588,432

21,301

Talisman Energy, Inc.

1,847,900

35,478

Whiting Petroleum Corp. (a)

317,840

34,978

Williams Companies, Inc.

1,019,700

23,259

 

969,224

TOTAL ENERGY

1,364,653

FINANCIALS - 9.1%

Capital Markets - 1.4%

BlackRock, Inc. Class A

286,900

46,765

Credit Suisse Group

1,015,237

37,538

E*TRADE Financial Corp. (a)

422,281

6,229

Evercore Partners, Inc. Class A

187,300

5,653

Icap PLC

183,700

1,357

Invesco Ltd.

1,318,182

28,657

MF Global Holdings Ltd. (a)

1,503,500

11,802

Morgan Stanley

2,307,819

56,449

State Street Corp.

1,894,718

81,852

 

276,302

Commercial Banks - 2.8%

Banco do Brasil SA

967,200

18,554

Banco Macro SA sponsored ADR

144,500

7,212

BB&T Corp.

1,024,919

23,778

CIT Group, Inc. (a)

153,200

6,045

Comerica, Inc.

348,885

12,731

DnB NOR ASA

249,000

3,041

FirstMerit Corp.

775,099

13,506

HDFC Bank Ltd.

161,483

8,079

Huntington Bancshares, Inc.

4,318,887

25,201

Industrial & Commercial Bank of China Ltd.:

rights 12/16/10 (a)

1,115,730

366

Common Stocks - continued

Shares

Value (000s)

FINANCIALS - continued

Commercial Banks - continued

Industrial & Commercial Bank of China Ltd.: - continued

(H Shares)

24,794,000

$ 19,286

KeyCorp

435,472

3,279

M&T Bank Corp.

223,600

17,208

Marshall & Ilsley Corp.

2,671,100

12,795

PNC Financial Services Group, Inc.

787,259

42,394

PT Bank Rakyat Indonesia Tbk

6,574,000

7,641

Regions Financial Corp.

4,189,686

22,541

Standard Chartered PLC (United Kingdom)

670,757

18,058

Sumitomo Mitsui Financial Group, Inc.

422,500

12,975

SunTrust Banks, Inc.

1,405,063

32,822

Synovus Financial Corp.

2,124,020

4,312

Turkiye Garanti Bankasi AS

2,380,000

13,195

U.S. Bancorp, Delaware

2,791,257

66,376

Wells Fargo & Co.

6,278,838

170,847

 

562,242

Consumer Finance - 0.3%

Capital One Financial Corp.

831,374

30,952

Discover Financial Services

1,229,210

22,470

Promise Co. Ltd. (f)

560,750

3,156

 

56,578

Diversified Financial Services - 2.5%

African Bank Investments Ltd.

3,388,511

16,783

Citigroup, Inc. (a)

47,949,616

201,388

ING Groep NV (Certificaten Van Aandelen) unit (a)

991,800

8,746

IntercontinentalExchange, Inc. (a)

298,237

33,611

JPMorgan Chase & Co.

6,480,534

242,242

NBH Holdings Corp. Class A (a)(g)

576,500

11,242

 

514,012

Insurance - 1.3%

Allstate Corp.

342,313

9,965

Aon Corp.

575,800

23,101

CNO Financial Group, Inc. (a)

2,653,833

15,525

Fairfax Financial Holdings Ltd. (sub. vtg.)

67,600

26,179

Genworth Financial, Inc. Class A (a)

861,796

10,049

Lincoln National Corp.

553,500

13,218

MetLife, Inc.

2,817,307

107,480

Protective Life Corp.

559,900

13,169

Common Stocks - continued

Shares

Value (000s)

FINANCIALS - continued

Insurance - continued

Prudential Financial, Inc.

672,750

$ 34,095

Unum Group

1,053,000

22,629

 

275,410

Real Estate Investment Trusts - 0.5%

ProLogis Trust

3,856,477

50,173

Public Storage

77,630

7,499

The Macerich Co.

516,001

23,911

U-Store-It Trust

1,033,200

8,545

Weyerhaeuser Co.

916,100

15,290

 

105,418

Real Estate Management & Development - 0.2%

Ayala Land, Inc.

14,485,000

5,098

BR Malls Participacoes SA

2,108,600

20,779

Indiabulls Real Estate Ltd. (a)

4,395,850

14,757

PT Lippo Karawaci Tbk

92,157,000

6,937

 

47,571

Thrifts & Mortgage Finance - 0.1%

Housing Development Finance Corp. Ltd.

539,368

8,086

Ocwen Financial Corp. (a)

1,765,990

15,541

 

23,627

TOTAL FINANCIALS

1,861,160

HEALTH CARE - 6.3%

Biotechnology - 1.1%

AMAG Pharmaceuticals, Inc. (a)

4,123

65

Amgen, Inc. (a)

490,581

25,849

AVEO Pharmaceuticals, Inc.

354,200

5,235

AVEO Pharmaceuticals, Inc. (q)

77,244

1,142

Biogen Idec, Inc. (a)

757,008

48,426

BioMarin Pharmaceutical, Inc. (a)

809,900

21,932

Genzyme Corp. (a)

567,853

40,442

Gilead Sciences, Inc. (a)

1,895,944

69,202

Human Genome Sciences, Inc. (a)

196,631

4,823

 

217,116

Health Care Equipment & Supplies - 1.0%

American Medical Systems Holdings, Inc. (a)

447,703

8,027

C. R. Bard, Inc.

335,818

28,494

Cooper Companies, Inc.

265,400

14,199

Common Stocks - continued

Shares

Value (000s)

HEALTH CARE - continued

Health Care Equipment & Supplies - continued

Covidien PLC

1,302,973

$ 54,816

Edwards Lifesciences Corp. (a)

605,402

40,174

Mako Surgical Corp. (a)

834,230

9,569

Masimo Corp.

206,052

6,359

Microport Scientific Corp.

879,000

849

Quidel Corp. (a)

975,647

12,888

Shandong Weigao Group Medical Polymer Co. Ltd. (H Shares)

2,404,000

6,610

William Demant Holding AS (a)

249,976

17,412

 

199,397

Health Care Providers & Services - 1.6%

CIGNA Corp.

866,088

31,881

Diagnosticos da America SA

685,300

8,791

Express Scripts, Inc. (a)

634,454

33,049

Fresenius Medical Care AG & Co. KGaA

183,886

10,613

Henry Schein, Inc. (a)

778,513

44,710

McKesson Corp.

765,500

48,915

Medco Health Solutions, Inc. (a)

1,353,343

82,987

UnitedHealth Group, Inc.

2,036,621

74,377

 

335,323

Health Care Technology - 0.0%

Allscripts-Misys Healthcare Solutions, Inc. (a)

192,972

3,387

Life Sciences Tools & Services - 0.4%

Charles River Laboratories International, Inc. (a)(f)

398,061

12,997

Covance, Inc. (a)

324,800

14,587

Illumina, Inc. (a)

532,134

31,992

Lonza Group AG

138,289

10,672

QIAGEN NV (a)

466,606

8,539

 

78,787

Pharmaceuticals - 2.2%

Abbott Laboratories

85,490

3,976

Allergan, Inc.

495,742

32,853

Genomma Lab Internacional SA de CV (a)

2,199,600

5,125

GlaxoSmithKline PLC sponsored ADR

184,700

7,070

Johnson & Johnson

755,252

46,486

Lupin Ltd.

667,397

7,453

Merck & Co., Inc.

4,275,238

147,367

Novo Nordisk AS Series B

331,595

32,903

Pfizer, Inc.

5,216,293

84,973

Common Stocks - continued

Shares

Value (000s)

HEALTH CARE - continued

Pharmaceuticals - continued

Shire PLC sponsored ADR

473,300

$ 33,292

Valeant Pharmaceuticals International, Inc.

1,543,097

39,998

 

441,496

TOTAL HEALTH CARE

1,275,506

INDUSTRIALS - 6.7%

Aerospace & Defense - 1.5%

Goodrich Corp.

653,404

56,042

Precision Castparts Corp.

479,600

66,218

The Boeing Co.

1,167,266

74,437

United Technologies Corp.

1,371,627

103,242

 

299,939

Air Freight & Logistics - 0.1%

C.H. Robinson Worldwide, Inc.

264,900

19,526

Airlines - 0.1%

Southwest Airlines Co.

1,816,783

24,200

Building Products - 0.2%

Armstrong World Industries, Inc.

272,446

13,205

Lennox International, Inc.

414,929

18,253

Owens Corning (a)

474,708

12,490

 

43,948

Commercial Services & Supplies - 0.3%

Republic Services, Inc.

872,454

24,551

Stericycle, Inc. (a)

394,300

29,139

 

53,690

Construction & Engineering - 0.1%

Fluor Corp.

502,536

29,062

Electrical Equipment - 0.8%

Cooper Industries PLC Class A

649,900

35,420

Emerson Electric Co.

1,394,486

76,794

GrafTech International Ltd. (a)

397,061

7,782

Regal-Beloit Corp.

607,829

37,078

Saft Groupe SA

92,145

2,905

 

159,979

Industrial Conglomerates - 1.1%

General Electric Co.

11,035,205

174,687

Common Stocks - continued

Shares

Value (000s)

INDUSTRIALS - continued

Industrial Conglomerates - continued

Textron, Inc.

1,751,516

$ 39,164

Tyco International Ltd.

225,700

8,552

 

222,403

Machinery - 1.6%

Caterpillar, Inc.

1,245,397

105,361

Cummins, Inc.

703,407

68,315

Danaher Corp.

1,454,838

62,922

Dover Corp.

403,500

22,116

Ingersoll-Rand Co. Ltd.

706,200

28,954

Navistar International Corp. (a)

602,322

30,827

NSK Ltd.

829,000

6,977

Vallourec SA

72,264

6,862

 

332,334

Road & Rail - 0.9%

CSX Corp.

1,252,707

76,177

Union Pacific Corp.

1,148,065

103,452

 

179,629

TOTAL INDUSTRIALS

1,364,710

INFORMATION TECHNOLOGY - 11.5%

Communications Equipment - 0.6%

Aruba Networks, Inc. (a)

939,892

19,926

Ciena Corp. (a)(f)

804,096

12,182

Meru Networks, Inc. (a)(f)

526,515

7,303

QUALCOMM, Inc.

1,603,112

74,929

ViaSat, Inc. (a)

186,900

7,730

 

122,070

Computers & Peripherals - 3.2%

Apple, Inc. (a)

1,696,994

528,020

Imagination Technologies Group PLC (a)

1,422,598

7,943

NetApp, Inc. (a)

921,207

46,917

SanDisk Corp. (a)

1,065,652

47,528

Seagate Technology (a)

1,079,001

14,469

 

644,877

Electronic Equipment & Components - 0.5%

Agilent Technologies, Inc. (a)

1,356,898

47,519

HLS Systems International Ltd. (a)

588,503

8,010

Common Stocks - continued

Shares

Value (000s)

INFORMATION TECHNOLOGY - continued

Electronic Equipment & Components - continued

TPK Holdings Co.

1,098,000

$ 23,920

Wintek Corp. (a)

16,175,000

28,869

 

108,318

Internet Software & Services - 1.2%

Akamai Technologies, Inc. (a)

827,455

43,185

eBay, Inc. (a)

721,901

21,029

Google, Inc. Class A (a)

130,997

72,796

Mail.ru Group Ltd. GDR unit (a)(g)

27,100

1,111

Monster Worldwide, Inc. (a)

903,270

20,396

RightNow Technologies, Inc. (a)

392,800

9,950

WebMD Health Corp. (a)

1,377,782

70,735

 

239,202

IT Services - 0.2%

Visa, Inc. Class A

605,050

44,683

Office Electronics - 0.0%

Xerox Corp.

584,827

6,702

Semiconductors & Semiconductor Equipment - 4.5%

Amkor Technology, Inc. (a)

541,125

3,766

Analog Devices, Inc.

2,436,288

86,634

Applied Materials, Inc.

9,058,092

112,592

Applied Micro Circuits Corp. (a)

933,536

8,663

ARM Holdings PLC sponsored ADR

1,449,625

27,180

ASAT Holdings Ltd. (a)

88,719

0

ASML Holding NV

4,112,094

134,178

ATMI, Inc. (a)

1,057,859

18,989

Broadcom Corp. Class A

1,940,391

86,328

Inotera Memories, Inc. (a)

38,741,880

16,969

Intersil Corp. Class A

2,240,493

28,566

KLA-Tencor Corp.

689,524

25,285

Lam Research Corp. (a)

2,090,350

94,756

Marvell Technology Group Ltd. (a)

1,943,158

37,484

Micron Technology, Inc. (a)

16,473,785

119,600

Nanya Technology Corp. (a)

15,781,245

8,181

Photronics, Inc. (a)

1,334,176

8,525

Powertech Technology, Inc.

3,368,000

10,663

Samsung Electronics Co. Ltd.

40,362

28,790

Skyworks Solutions, Inc. (a)

94,790

2,412

Varian Semiconductor Equipment Associates, Inc. (a)

1,574,152

49,633

 

909,194

Common Stocks - continued

Shares

Value (000s)

INFORMATION TECHNOLOGY - continued

Software - 1.3%

CA, Inc.

525,683

$ 12,033

Check Point Software Technologies Ltd. (a)

901,520

38,648

Citrix Systems, Inc. (a)

181,986

12,088

Microsoft Corp.

6,455,526

162,744

Nuance Communications, Inc. (a)

715,537

12,647

Oracle Corp.

246,389

6,662

Red Hat, Inc. (a)

225,700

9,818

Taleo Corp. Class A (a)

318,867

9,789

 

264,429

TOTAL INFORMATION TECHNOLOGY

2,339,475

MATERIALS - 1.9%

Chemicals - 1.2%

Air Products & Chemicals, Inc.

196,620

16,953

Albemarle Corp.

276,247

14,942

Celanese Corp. Class A

186,042

6,884

CF Industries Holdings, Inc.

149,383

18,041

Clariant AG (Reg.) (a)

604,340

10,911

Dow Chemical Co.

1,283,486

40,019

Ecolab, Inc.

192,581

9,207

LyondellBasell Industries NV:

Class A (a)

419,650

12,258

Class B (a)

104,427

3,049

Monsanto Co.

497,023

29,782

Praxair, Inc.

346,306

31,877

Solutia, Inc. (a)

911,870

19,496

The Mosaic Co.

220,000

14,879

Wacker Chemie AG

58,594

10,038

 

238,336

Construction Materials - 0.0%

HeidelbergCement AG

85,008

4,618

Containers & Packaging - 0.1%

Ball Corp.

331,817

21,860

Metals & Mining - 0.6%

Anglo American PLC (United Kingdom)

245,752

10,780

AngloGold Ashanti Ltd. sponsored ADR

755,277

35,370

Carpenter Technology Corp.

235,742

8,598

Freeport-McMoRan Copper & Gold, Inc.

505,745

51,242

Pan American Silver Corp.

68,100

2,550

Common Stocks - continued

Shares

Value (000s)

MATERIALS - continued

Metals & Mining - continued

Reliance Steel & Aluminum Co.

313,200

$ 13,922

Walter Energy, Inc.

63,945

6,563

 

129,025

TOTAL MATERIALS

393,839

TELECOMMUNICATION SERVICES - 2.0%

Diversified Telecommunication Services - 1.3%

Qwest Communications International, Inc.

21,942,036

153,594

Telefonica SA sponsored ADR

103,788

6,642

Verizon Communications, Inc.

3,166,378

101,356

 

261,592

Wireless Telecommunication Services - 0.7%

American Tower Corp. Class A (a)

1,798,654

90,958

Clearwire Corp. Class A (a)

4,112,500

28,870

MetroPCS Communications, Inc. (a)

617,002

7,497

Vodafone Group PLC

6,464,200

16,125

Vodafone Group PLC sponsored ADR

148,800

3,729

 

147,179

TOTAL TELECOMMUNICATION SERVICES

408,771

UTILITIES - 2.0%

Electric Utilities - 1.0%

Edison International

1,030,310

38,060

NextEra Energy, Inc.

1,900,854

96,221

PPL Corp.

2,010,825

51,095

Southern Co.

539,252

20,341

 

205,717

Independent Power Producers & Energy Traders - 0.0%

AES Corp. (a)

891,100

9,633

Multi-Utilities - 1.0%

National Grid PLC

2,191,835

19,356

NiSource, Inc.

995,700

16,658

PG&E Corp.

1,358,107

63,736

Public Service Enterprise Group, Inc.

1,085,195

33,457

Common Stocks - continued

Shares

Value (000s)

UTILITIES - continued

Multi-Utilities - continued

Sempra Energy

1,134,440

$ 56,824

Veolia Environnement

150,244

3,955

 

193,986

TOTAL UTILITIES

409,336

TOTAL COMMON STOCKS

(Cost $10,326,215)

11,983,007

Preferred Stocks - 0.2%

 

 

 

 

Convertible Preferred Stocks - 0.0%

INFORMATION TECHNOLOGY - 0.0%

Semiconductors & Semiconductor Equipment - 0.0%

ASAT Holdings Ltd. 13.00% (a)

2,416

0

Nonconvertible Preferred Stocks - 0.2%

CONSUMER DISCRETIONARY - 0.2%

Automobiles - 0.2%

Porsche Automobil Holding SE (f)

188,700

14,187

Volkswagen AG

131,862

21,187

 

35,374

TOTAL PREFERRED STOCKS

(Cost $24,796)

35,374

Nonconvertible Bonds - 6.6%

 

Principal Amount (000s)

 

CONSUMER DISCRETIONARY - 0.6%

Auto Components - 0.0%

DaimlerChrysler NA Holding Corp.:

5.75% 9/8/11

$ 4,524

4,693

5.875% 3/15/11

1,680

1,705

 

6,398

Household Durables - 0.1%

Fortune Brands, Inc.:

5.375% 1/15/16

6,765

7,061

5.875% 1/15/36

6,603

5,857

 

12,918

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

CONSUMER DISCRETIONARY - continued

Media - 0.5%

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

$ 4,975

$ 6,008

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

413

417

Comcast Corp.:

4.95% 6/15/16

1,520

1,676

5.5% 3/15/11

309

313

5.7% 5/15/18

11,229

12,641

6.4% 3/1/40

4,756

5,068

6.45% 3/15/37

2,326

2,497

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

3,612

3,888

Discovery Communications LLC:

3.7% 6/1/15

4,720

4,966

6.35% 6/1/40

4,773

5,199

Liberty Media Corp. 8.25% 2/1/30

5,349

5,269

NBC Universal, Inc.:

3.65% 4/30/15 (g)

5,432

5,686

5.15% 4/30/20 (g)

7,276

7,756

6.4% 4/30/40 (g)

6,271

6,669

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

7,397

8,738

Time Warner Cable, Inc.:

5.4% 7/2/12

1,976

2,105

5.85% 5/1/17

3,400

3,880

6.2% 7/1/13

1,879

2,104

6.75% 7/1/18

949

1,126

Time Warner, Inc.:

5.875% 11/15/16

3,581

4,124

6.2% 3/15/40

3,821

4,072

6.5% 11/15/36

2,758

3,022

 

97,224

TOTAL CONSUMER DISCRETIONARY

116,540

CONSUMER STAPLES - 0.4%

Beverages - 0.1%

Anheuser-Busch InBev Worldwide, Inc.:

2.5% 3/26/13

3,006

3,087

5.375% 11/15/14 (g)

5,328

5,956

Diageo Capital PLC 5.2% 1/30/13

4,139

4,508

FBG Finance Ltd. 5.125% 6/15/15 (g)

2,374

2,595

PepsiCo, Inc. 4.875% 11/1/40

5,399

5,287

 

21,433

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

CONSUMER STAPLES - continued

Food & Staples Retailing - 0.0%

CVS Caremark Corp. 6.302% 6/1/37 (n)

$ 3,829

$ 3,633

Food Products - 0.1%

Cargill, Inc. 6% 11/27/17 (g)

572

667

Kraft Foods, Inc.:

5.375% 2/10/20

8,116

9,026

5.625% 11/1/11

2,959

3,086

6.5% 8/11/17

6,608

7,887

6.75% 2/19/14

436

505

 

21,171

Tobacco - 0.2%

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

20,958

28,151

Reynolds American, Inc.:

6.75% 6/15/17

2,414

2,750

7.25% 6/15/37

8,028

8,531

 

39,432

TOTAL CONSUMER STAPLES

85,669

ENERGY - 0.9%

Energy Equipment & Services - 0.1%

DCP Midstream LLC 5.35% 3/15/20 (g)

6,510

6,936

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

7,675

7,704

Weatherford International Ltd.:

4.95% 10/15/13

1,408

1,508

5.15% 3/15/13

1,841

1,958

 

18,106

Oil, Gas & Consumable Fuels - 0.8%

Anadarko Petroleum Corp. 6.375% 9/15/17

6,142

6,632

Apache Corp. 5.1% 9/1/40

6,294

6,134

BW Group Ltd. 6.625% 6/28/17 (g)

2,391

2,438

Canadian Natural Resources Ltd. 5.15% 2/1/13

3,637

3,926

ConocoPhillips 5.75% 2/1/19

9,619

11,345

Duke Capital LLC 6.25% 2/15/13

809

882

Duke Energy Field Services:

5.375% 10/15/15 (g)

988

1,095

6.45% 11/3/36 (g)

6,493

6,680

6.875% 2/1/11

1,870

1,888

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

756

824

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

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

$ 2,335

$ 2,625

Enterprise Products Operating LP 5.65% 4/1/13

563

609

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

3,123

3,314

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

5,000

5,404

Motiva Enterprises LLC:

5.75% 1/15/20 (g)

2,582

2,945

6.85% 1/15/40 (g)

9,822

11,448

Nakilat, Inc. 6.067% 12/31/33 (g)

2,490

2,652

Nexen, Inc.:

5.05% 11/20/13

3,109

3,375

5.2% 3/10/15

735

805

5.875% 3/10/35

1,565

1,565

6.4% 5/15/37

5,235

5,602

NGPL PipeCo LLC 6.514% 12/15/12 (g)

2,881

3,103

Petrobras International Finance Co. Ltd.:

5.75% 1/20/20

3,200

3,456

6.875% 1/20/40

10,192

11,007

7.875% 3/15/19

6,941

8,507

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

1,907

2,104

Plains All American Pipeline LP/PAA Finance Corp. 6.125% 1/15/17

1,940

2,174

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

1,691

1,864

Ras Laffan Liquefied Natural Gas Co. Ltd. III:

4.5% 9/30/12 (g)

3,472

3,646

5.5% 9/30/14 (g)

4,853

5,298

5.832% 9/30/16 (g)

969

1,069

6.332% 9/30/27 (g)

5,910

6,477

6.75% 9/30/19 (g)

3,177

3,738

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

2,199

2,377

Suncor Energy, Inc.:

6.1% 6/1/18

9,176

10,665

6.85% 6/1/39

8,895

10,350

Talisman Energy, Inc. yankee 6.25% 2/1/38

3,280

3,516

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

1,301

1,513

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

XTO Energy, Inc.:

5% 1/31/15

$ 1,414

$ 1,605

5.65% 4/1/16

970

1,142

 

165,799

TOTAL ENERGY

183,905

FINANCIALS - 3.0%

Capital Markets - 0.6%

Bear Stearns Companies, Inc.:

5.3% 10/30/15

10,296

11,355

6.95% 8/10/12

4,442

4,868

BlackRock, Inc. 6.25% 9/15/17

1,128

1,302

Goldman Sachs Group, Inc.:

3.7% 8/1/15

4,773

4,874

5.95% 1/18/18

3,225

3,497

6.75% 10/1/37

5,715

5,721

7.5% 2/15/19

10,921

12,723

JPMorgan Chase Capital XX 6.55% 9/29/36

11,840

11,760

Lazard Group LLC:

6.85% 6/15/17

3,123

3,316

7.125% 5/15/15

1,113

1,224

Merrill Lynch & Co., Inc.:

5.45% 2/5/13

3,763

3,961

6.4% 8/28/17

3,535

3,788

6.875% 4/25/18

3,732

4,097

Morgan Stanley:

0.5891% 1/9/14 (n)

3,544

3,387

2.7856% 5/14/13 (n)

7,709

7,954

4.75% 4/1/14

642

667

5.95% 12/28/17

445

470

6% 5/13/14

6,140

6,693

7.3% 5/13/19

6,528

7,329

The Bank of New York, Inc.:

4.3% 5/15/14

6,301

6,855

4.95% 11/1/12

3,124

3,367

UBS AG Stamford Branch:

3.875% 1/15/15

11,500

12,068

5.75% 4/25/18

919

1,017

 

122,293

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

FINANCIALS - continued

Commercial Banks - 0.6%

Bank of America NA 5.3% 3/15/17

$ 13,170

$ 13,332

Comerica, Inc. 3% 9/16/15

746

749

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

14,192

15,469

DBS Bank Ltd. (Singapore) 0.5044% 5/16/17 (g)(n)

3,396

3,285

Discover Bank:

7% 4/15/20

3,200

3,472

8.7% 11/18/19

2,425

2,894

Export-Import Bank of Korea:

5.125% 2/14/11

2,361

2,379

5.25% 2/10/14 (g)

456

488

5.5% 10/17/12

1,824

1,935

Fifth Third Bancorp:

4.5% 6/1/18

584

575

8.25% 3/1/38

2,978

3,420

Fifth Third Bank 4.75% 2/1/15

951

1,002

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

2,286

2,126

HBOS PLC 6.75% 5/21/18 (g)

560

536

JPMorgan Chase Bank 6% 10/1/17

1,694

1,903

KeyBank NA:

5.8% 7/1/14

4,565

4,965

7% 2/1/11

908

916

KeyBank NA, Cleveland 5.45% 3/3/16

2,765

2,974

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

791

781

Marshall & Ilsley Bank:

4.85% 6/16/15

3,097

2,782

5% 1/17/17

4,377

3,822

5.25% 9/4/12

2,130

2,160

PNC Funding Corp. 3.625% 2/8/15

2,015

2,098

Regions Bank:

6.45% 6/26/37

5,575

4,683

7.5% 5/15/18

3,852

3,712

Regions Financial Corp.:

5.75% 6/15/15

1,383

1,290

7.75% 11/10/14

6,416

6,256

SVB Financial Group 5.375% 9/15/20

1,017

1,014

UniCredit Luxembourg Finance SA 5.584% 1/13/17 (g)(n)

1,161

1,141

UnionBanCal Corp. 5.25% 12/16/13

535

584

Wachovia Bank NA 4.875% 2/1/15

1,138

1,220

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

FINANCIALS - continued

Commercial Banks - continued

Wachovia Corp.:

5.625% 10/15/16

$ 2,748

$ 3,080

5.75% 6/15/17

2,371

2,655

Wells Fargo & Co.:

3.625% 4/15/15

7,671

8,052

3.75% 10/1/14

3,247

3,426

 

111,176

Consumer Finance - 0.3%

Discover Financial Services 6.45% 6/12/17

11,229

11,972

General Electric Capital Corp.:

2.25% 11/9/15

5,113

4,953

3.5% 6/29/15

3,097

3,200

5.625% 9/15/17

22,752

25,049

Household Finance Corp. 6.375% 10/15/11

1,504

1,572

HSBC Finance Corp. 5.25% 1/14/11

1,058

1,063

ORIX Corp. 5.48% 11/22/11

311

320

SLM Corp.:

0.4922% 3/15/11 (n)

90

89

0.5184% 10/25/11 (n)

6,795

6,667

 

54,885

Diversified Financial Services - 0.6%

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

8,190

8,480

BP Capital Markets PLC 3.625% 5/8/14

6,776

7,035

Capital One Capital V 10.25% 8/15/39

2,341

2,476

Citigroup, Inc.:

4.75% 5/19/15

7,664

7,993

5.375% 8/9/20

8,300

8,479

5.5% 4/11/13

8,594

9,212

6.125% 5/15/18

12,994

14,160

6.5% 1/18/11

1,057

1,065

6.5% 8/19/13

22,036

24,303

JPMorgan Chase & Co.:

4.65% 6/1/14

8,500

9,190

6.3% 4/23/19

8,000

9,147

Prime Property Funding, Inc.:

5.125% 6/1/15 (g)

881

856

5.5% 1/15/14 (g)

562

566

5.7% 4/15/17 (g)

1,371

1,241

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

FINANCIALS - continued

Diversified Financial Services - continued

TECO Finance, Inc.:

4% 3/15/16

$ 1,828

$ 1,906

5.15% 3/15/20

2,626

2,808

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

2,618

2,765

ZFS Finance USA Trust II 6.45% 12/15/65 (g)(n)

4,049

3,948

ZFS Finance USA Trust IV 5.875% 5/9/62 (g)(n)

1,303

1,246

 

116,876

Insurance - 0.4%

American International Group, Inc. 6.4% 12/15/20

4,054

4,044

Aon Corp.:

3.5% 9/30/15

2,836

2,876

5% 9/30/20

3,045

3,112

6.25% 9/30/40

2,120

2,149

Assurant, Inc. 5.625% 2/15/14

1,546

1,632

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

452

485

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

1,205

1,190

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

609

663

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

481

430

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

5,143

6,869

MetLife, Inc.:

5% 6/15/15

941

1,032

5.875% 2/6/41

2,211

2,268

6.125% 12/1/11

800

840

6.75% 6/1/16

5,158

6,109

Metropolitan Life Global Funding I:

5.125% 4/10/13 (g)

452

489

5.125% 6/10/14 (g)

4,625

5,126

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

1,336

1,363

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

1,780

1,922

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

3,203

3,796

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

3,860

4,190

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

2,737

2,942

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

3,992

5,086

Pacific LifeCorp 6% 2/10/20 (g)

4,566

4,963

Prudential Financial, Inc.:

3.875% 1/14/15

5,340

5,607

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

FINANCIALS - continued

Insurance - continued

Prudential Financial, Inc.: - continued

5.15% 1/15/13

$ 1,752

$ 1,877

7.375% 6/15/19

2,520

3,019

8.875% 6/15/38 (n)

2,403

2,763

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

4,189

4,323

Unum Group 5.625% 9/15/20

3,528

3,571

 

84,736

Real Estate Investment Trusts - 0.1%

AvalonBay Communities, Inc.:

4.95% 3/15/13

296

318

5.5% 1/15/12

1,020

1,067

Camden Property Trust:

5.375% 12/15/13

3,103

3,354

5.875% 11/30/12

542

580

Developers Diversified Realty Corp.:

5.25% 4/15/11

2,661

2,692

5.375% 10/15/12

2,478

2,552

7.5% 4/1/17

3,309

3,713

Duke Realty LP:

4.625% 5/15/13

735

764

5.875% 8/15/12

98

104

Equity One, Inc.:

6% 9/15/17

717

731

6.25% 1/15/17

399

415

Federal Realty Investment Trust:

5.4% 12/1/13

355

385

5.9% 4/1/20

1,780

1,956

6% 7/15/12

2,371

2,526

6.2% 1/15/17

501

569

HRPT Properties Trust:

5.75% 11/1/15

719

759

6.25% 6/15/17

996

1,047

6.65% 1/15/18

676

724

Washington (REIT) 5.95% 6/15/11

2,985

3,048

 

27,304

Real Estate Management & Development - 0.3%

AMB Property LP 5.9% 8/15/13

2,086

2,228

Arden Realty LP 5.2% 9/1/11

1,083

1,118

BioMed Realty LP 6.125% 4/15/20 (g)

2,364

2,551

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

FINANCIALS - continued

Real Estate Management & Development - continued

Brandywine Operating Partnership LP:

5.625% 12/15/10

$ 3,377

$ 3,381

5.75% 4/1/12

1,536

1,585

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

3,650

3,747

Duke Realty LP:

5.4% 8/15/14

564

600

5.5% 3/1/16

3,075

3,262

5.625% 8/15/11

5,592

5,720

8.25% 8/15/19

2,379

2,851

ERP Operating LP:

4.75% 7/15/20

5,094

5,264

5.5% 10/1/12

382

411

Liberty Property LP:

4.75% 10/1/20

7,198

7,351

5.125% 3/2/15

910

990

5.5% 12/15/16

1,227

1,355

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

789

800

Post Apartment Homes LP 6.3% 6/1/13

3,079

3,303

Regency Centers LP:

4.95% 4/15/14

494

521

5.25% 8/1/15

1,725

1,839

5.875% 6/15/17

877

963

Simon Property Group LP:

4.2% 2/1/15

2,640

2,817

6.75% 5/15/14

5,698

6,526

Tanger Properties LP:

6.125% 6/1/20

2,967

3,262

6.15% 11/15/15

1,230

1,365

 

63,810

Thrifts & Mortgage Finance - 0.1%

Bank of America Corp.:

3.7% 9/1/15

3,800

3,750

5.65% 5/1/18

9,440

9,673

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

5,337

5,752

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

3,410

3,346

 

22,521

TOTAL FINANCIALS

603,601

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

HEALTH CARE - 0.1%

Health Care Providers & Services - 0.1%

Coventry Health Care, Inc.:

5.95% 3/15/17

$ 1,413

$ 1,428

6.3% 8/15/14

2,925

3,091

Express Scripts, Inc. 6.25% 6/15/14

1,991

2,263

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

5,031

5,033

 

11,815

Pharmaceuticals - 0.0%

Novartis Capital Corp. 4.125% 2/10/14

2,369

2,562

Roche Holdings, Inc. 5% 3/1/14 (g)

4,805

5,354

 

7,916

TOTAL HEALTH CARE

19,731

INDUSTRIALS - 0.2%

Aerospace & Defense - 0.0%

BAE Systems Holdings, Inc.:

6.375% 6/1/19 (g)

5,000

5,747

6.4% 12/15/11 (g)

661

690

 

6,437

Airlines - 0.0%

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

51

52

Continental Airlines, Inc.:

6.648% 3/15/19

2,280

2,391

6.82% 5/1/18

179

190

6.9% 7/2/19

661

705

Delta Air Lines, Inc. pass-thru trust certificates 6.821% 8/10/22

273

290

U.S. Airways pass-thru trust certificates:

6.85% 7/30/19

1,551

1,502

8.36% 7/20/20

1,068

1,088

 

6,218

Industrial Conglomerates - 0.2%

General Electric Co. 5.25% 12/6/17

25,356

27,730

TOTAL INDUSTRIALS

40,385

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

INFORMATION TECHNOLOGY - 0.0%

Electronic Equipment & Components - 0.0%

Tyco Electronics Group SA:

5.95% 1/15/14

$ 2,385

$ 2,647

6% 10/1/12

3,134

3,360

6.55% 10/1/17

1,119

1,284

 

7,291

Office Electronics - 0.0%

Xerox Corp. 5.5% 5/15/12

1,295

1,369

TOTAL INFORMATION TECHNOLOGY

8,660

MATERIALS - 0.2%

Chemicals - 0.1%

Dow Chemical Co.:

4.25% 11/15/20

6,785

6,607

7.6% 5/15/14

9,652

11,272

 

17,879

Construction Materials - 0.0%

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

1,482

1,632

Metals & Mining - 0.1%

Anglo American Capital PLC 4.45% 9/27/20 (g)

1,608

1,656

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

1,597

1,683

Corporacion Nacional del Cobre (Codelco):

3.75% 11/4/20 (g)

2,373

2,320

6.375% 11/30/12 (g)

1,618

1,765

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

4,497

3,907

Vale Overseas Ltd. 6.25% 1/23/17

1,877

2,131

 

13,462

TOTAL MATERIALS

32,973

TELECOMMUNICATION SERVICES - 0.5%

Diversified Telecommunication Services - 0.4%

AT&T, Inc.:

2.5% 8/15/15

5,700

5,759

6.3% 1/15/38

10,595

11,262

6.8% 5/15/36

9,241

10,337

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

1,404

1,719

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

2,197

2,203

CenturyLink, Inc. 7.6% 9/15/39

5,440

5,456

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

TELECOMMUNICATION SERVICES - continued

Diversified Telecommunication Services - continued

Sprint Capital Corp. 6.875% 11/15/28

$ 12,000

$ 10,200

Telecom Italia Capital SA:

4.95% 9/30/14

2,594

2,712

5.25% 10/1/15

3,073

3,259

6.999% 6/4/18

8,694

9,667

7.2% 7/18/36

4,780

4,578

Telefonica Emisiones SAU 6.421% 6/20/16

939

1,060

Verizon Communications, Inc.:

6.1% 4/15/18

2,674

3,133

6.25% 4/1/37

4,611

5,052

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

720

751

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

2,145

2,299

 

79,447

Wireless Telecommunication Services - 0.1%

DIRECTV Holdings LLC/DIRECTV Financing, Inc.:

4.75% 10/1/14

11,632

12,574

5.875% 10/1/19

8,257

9,178

6.35% 3/15/40

2,500

2,594

Vodafone Group PLC:

5% 12/16/13

1,856

2,032

5.5% 6/15/11

2,232

2,289

 

28,667

TOTAL TELECOMMUNICATION SERVICES

108,114

UTILITIES - 0.7%

Electric Utilities - 0.4%

Alabama Power Co. 3.375% 10/1/20

3,896

3,837

Ameren Illinois Co. 6.125% 11/15/17

333

382

AmerenUE 6.4% 6/15/17

2,415

2,774

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

3,325

3,675

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

9,945

10,081

Edison International 3.75% 9/15/17

4,113

4,198

EDP Finance BV:

4.9% 10/1/19 (g)

1,900

1,697

6% 2/2/18 (g)

1,929

1,925

FirstEnergy Corp. 7.375% 11/15/31

4,230

4,488

FirstEnergy Solutions Corp.:

4.8% 2/15/15

1,798

1,924

6.05% 8/15/21

5,360

5,680

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

UTILITIES - continued

Electric Utilities - continued

Kentucky Utilities Co.:

3.25% 11/1/20 (g)

$ 589

$ 576

5.125% 11/1/40 (g)

4,211

4,244

LG&E and KU Energy LLC:

2.125% 11/15/15 (g)

4,818

4,731

3.75% 11/15/20 (g)

948

926

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

1,263

1,275

Nevada Power Co.:

6.5% 5/15/18

5,290

6,281

6.5% 8/1/18

1,270

1,514

Pennsylvania Electric Co. 6.05% 9/1/17

618

688

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

4,556

4,542

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

204

199

Progress Energy, Inc.:

6% 12/1/39

4,410

4,793

7.1% 3/1/11

2,737

2,781

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

1,261

1,383

Tampa Electric Co. 6.15% 5/15/37

4,486

4,874

 

79,468

Gas Utilities - 0.0%

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

357

388

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

2,507

2,507

 

2,895

Independent Power Producers & Energy Traders - 0.1%

Duke Capital LLC 5.668% 8/15/14

1,662

1,855

Exelon Generation Co. LLC:

4% 10/1/20

7,500

7,315

5.35% 1/15/14

1,235

1,360

 

10,530

Multi-Utilities - 0.2%

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

2,763

2,960

Dominion Resources, Inc.:

4.75% 12/15/10

3,178

3,181

6.3% 9/30/66 (n)

12,240

11,842

7.5% 6/30/66 (n)

2,636

2,741

DTE Energy Co. 7.05% 6/1/11

795

819

MidAmerican Energy Holdings, Co.:

5.875% 10/1/12

2,361

2,562

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

UTILITIES - continued

Multi-Utilities - continued

MidAmerican Energy Holdings, Co.: - continued

6.5% 9/15/37

$ 3,287

$ 3,809

NiSource Finance Corp.:

5.25% 9/15/17

682

730

5.4% 7/15/14

6,089

6,739

5.45% 9/15/20

980

1,050

6.4% 3/15/18

1,072

1,221

6.8% 1/15/19

4,065

4,723

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

3,167

3,104

 

45,481

TOTAL UTILITIES

138,374

TOTAL NONCONVERTIBLE BONDS

(Cost $1,215,176)

1,337,952

U.S. Government and Government Agency Obligations - 14.6%

 

U.S. Government Agency Obligations - 0.1%

Fannie Mae 2.75% 3/13/14

12,990

13,720

U.S. Treasury Inflation Protected Obligations - 1.0%

U.S. Treasury Inflation-Indexed Bonds 2.125% 2/15/40

187,066

208,437

U.S. Treasury Obligations - 13.5%

U.S. Treasury Bills, yield at date of purchase 0.14% 2/24/11 (j)

5,400

5,398

U.S. Treasury Bonds:

3.875% 8/15/40

33,000

31,598

4.375% 11/15/39

74,120

77,409

U.S. Treasury Notes:

0.5% 11/15/13

780,000

775,297

1% 10/31/11

500,000

503,184

1.25% 8/31/15

60,000

59,648

1.375% 11/30/15

120,000

119,475

1.75% 3/31/14

4,380

4,510

1.875% 6/30/15 (k)

266,000

272,629

U.S. Government and Government Agency Obligations - continued

 

Principal Amount (000s)

Value (000s)

U.S. Treasury Obligations - continued

U.S. Treasury Notes: - continued

2.625% 8/15/20

$ 393,000

$ 388,118

3.125% 4/30/17

480,000

513,450

TOTAL U.S. TREASURY OBLIGATIONS

2,750,716

TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $2,961,431)

2,972,873

U.S. Government Agency - Mortgage Securities - 4.7%

 

Fannie Mae - 3.8%

2.577% 6/1/36 (n)

212

220

3% 12/1/25 (h)

16,000

15,972

3.466% 7/1/37 (n)

711

745

3.5% 12/1/25 (h)(i)

13,000

13,288

3.5% 12/1/25 (h)(i)

13,000

13,288

3.5% 11/1/40 (i)

169,334

166,495

3.5% 12/1/40 (h)(i)

24,000

23,569

4% 4/1/24 to 10/1/40

30,155

30,765

4% 12/1/25 (h)(i)

12,000

12,473

4% 12/1/40 (h)

10,000

10,146

4% 12/1/40 (h)

15,000

15,219

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

39,240

40,890

4.5% 12/1/25 (h)

1,500

1,580

4.5% 12/1/40 (h)(i)

39,000

40,568

4.5% 12/1/40 (h)

8,000

8,322

5% 6/1/24 to 8/1/40

56,123

59,644

5% 12/1/40 (h)(i)

34,000

36,026

5% 12/1/40 (h)

2,000

2,119

5.5% 9/1/24 to 3/1/40

143,032

153,755

5.5% 12/1/40 (h)(i)

15,000

16,116

5.5% 12/1/40 (h)

1,800

1,934

6% 2/1/23 to 2/1/39

42,361

46,122

6% 12/1/40 (h)

11,300

12,294

6% 12/1/40 (h)(i)

7,000

7,615

6% 12/1/40 (h)

6,000

6,528

6% 12/1/40 (h)(i)

10,000

10,879

U.S. Government Agency - Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Fannie Mae - continued

6% 1/1/41 (h)

$ 16,000

$ 17,376

6.5% 1/1/36 to 8/1/36

5,969

6,723

TOTAL FANNIE MAE

770,671

Freddie Mac - 0.4%

4.361% 10/1/35 (n)

296

314

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

2,697

2,822

5% 3/1/19 to 9/1/40

61,060

64,787

6% 7/1/37

80

88

6% 12/1/40 (h)

6,400

6,939

6.5% 11/1/34 to 3/1/36

10,146

11,416

TOTAL FREDDIE MAC

86,366

Ginnie Mae - 0.5%

4% 1/15/25 to 2/15/40

27,078

28,565

4% 12/1/40 (h)

3,900

3,999

4% 12/1/40 (h)

3,000

3,076

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

43,455

45,738

5.5% 12/15/31 to 1/15/39

2,141

2,339

6% 2/15/34

13,731

15,234

6.5% 3/15/34

6,374

7,226

TOTAL GINNIE MAE

106,177

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $958,876)

963,214

Asset-Backed Securities - 0.6%

 

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

1,999

1,131

ACE Securities Corp. Home Equity Loan Trust:

Series 2004-HE1:

Class M1, 1.0034% 3/25/34 (n)

103

101

Class M2, 1.9034% 3/25/34 (n)

482

383

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

198

186

Series 2006-OP1:

Class M4, 0.6234% 4/25/36 (n)

187

2

Class M5, 0.6434% 4/25/36 (n)

36

0 *

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

Advanta Business Card Master Trust:

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

$ 165

$ 165

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

77

77

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

110

20

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

51

51

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

85

85

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

7,670

7,872

AmeriCredit Prime Automobile Receivables Trust Series 2007-1 Class D, 5.62% 9/8/14

777

795

Ameriquest Mortgage Securities, Inc. pass-thru certificates:

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

112

82

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

149

30

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

2,266

1,912

Argent Securities, Inc. pass-thru certificates:

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

53

38

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

616

443

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

1,600

879

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

1,558

542

Asset Backed Securities Corp. Home Equity Loan Trust:

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

2,929

2,098

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

261

7

Axon Financial Funding Ltd. 2.025% 4/4/17 (d)(g)(n)

6,960

0 *

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

860

859

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

1,983

1,884

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

192

190

Capital Auto Receivables Asset Trust:

Series 2006-2:

Class B, 5.07% 12/15/11

819

822

Class C, 5.31% 6/15/12

1,633

1,666

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

583

605

Capital Trust Ltd. Series 2004-1:

Class A2, 0.7034% 7/20/39 (g)(n)

502

104

Class B, 1.0034% 7/20/39 (g)(n)

290

26

Class C, 1.3534% 7/20/39 (g)(n)

372

4

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

641

654

Carrington Mortgage Loan Trust:

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

5,102

478

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

Carrington Mortgage Loan Trust: - continued

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

$ 467

$ 18

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

3,478

469

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

205

12

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

1,978

670

Cendant Timeshare Receivables Funding LLC:

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

142

128

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

407

410

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

9,580

9,596

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

13,320

13,637

Citigroup Mortgage Loan Trust:

Series 2005-HE4 Class A2C, 0.5234% 10/25/35 (n)

2,241

2,135

Series 2007-AMC4 Class M1, 0.5234% 5/25/37 (n)

840

35

Countrywide Asset-Backed Certificates Trust:

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

83

81

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

556

521

Series 2007-5 Class 2A1, 0.3534% 9/25/47 (n)

6,270

5,903

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

363

0

Countrywide Home Loans, Inc.:

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

175

68

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

645

351

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

1,114

1,056

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

150

148

CPS Auto Receivables Trust:

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

350

357

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

15

15

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

43

31

Fieldstone Mortgage Investment Corp.:

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

319

177

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

6,512

2,525

First Franklin Mortgage Loan Trust:

Series 2004-FF2 Class M3, 1.0784% 3/25/34 (n)

26

7

Series 2006-FF14 Class A2, 0.3134% 10/25/36 (n)

1,811

1,759

Ford Credit Auto Owner Trust Series 2006-C Class B, 5.3% 6/15/12

564

578

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

Ford Credit Floorplan Master Owner Trust:

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

$ 848

$ 838

Series 2010-1 Class A, 1.9034% 12/15/14 (g)(n)

4,390

4,474

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

7,020

6,994

Franklin Auto Trust:

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

71

72

Series 2007-1:

Class A4, 5.03% 2/16/15

361

361

Class C, 5.43% 2/16/15

613

610

Fremont Home Loan Trust:

Series 2005-A:

Class M3, 0.7434% 1/25/35 (n)

1,041

505

Class M4, 0.9334% 1/25/35 (n)

399

75

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

325

10

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

3,122

1,873

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

1,382

1,100

GE Business Loan Trust:

Series 2003-1 Class A, 0.6834% 4/15/31 (g)(n)

288

253

Series 2006-2A:

Class A, 0.4334% 11/15/34 (g)(n)

1,931

1,564

Class B, 0.5334% 11/15/34 (g)(n)

697

439

Class C, 0.6334% 11/15/34 (g)(n)

1,159

498

Class D, 1.0034% 11/15/34 (g)(n)

441

106

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

959

949

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

736

605

GS Auto Loan Trust Series 2007-1:

Class B, 5.53% 12/15/14

46

47

Class C, 5.74% 12/15/14

93

95

GSAMP Trust:

Series 2004-AR1 Class M1, 0.9034% 6/25/34 (n)

2,938

2,021

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

1,186

66

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

124

3

Guggenheim Structured Real Estate Funding Ltd.:

Series 2005-1 Class C, 1.3334% 5/25/30 (g)(n)

714

364

Series 2006-3:

Class B, 0.6534% 9/25/46 (g)(n)

719

144

Class C, 0.8034% 9/25/46 (g)(n)

1,676

251

Home Equity Asset Trust:

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

441

310

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

Home Equity Asset Trust: - continued

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

$ 876

$ 617

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

36

21

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

127

126

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

1,679

1,624

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

8

8

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

845

695

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

1,642

638

JPMorgan Mortgage Acquisition Trust:

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

3,185

130

Series 2007-CH1:

Class AV4, 0.3834% 11/25/36 (n)

1,641

1,356

Class MV1, 0.4834% 11/25/36 (n)

1,335

799

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

574

29

Keycorp Student Loan Trust:

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

868

743

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

2,909

488

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

1,767

1,793

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

117

83

Marriott Vacation Club Owner Trust Series 2006-2A:

Class B, 5.442% 10/20/28 (g)

15

14

Class C, 5.691% 10/20/28 (g)

7

6

Class D, 6.01% 10/20/28 (g)

83

66

MASTR Asset Backed Securities Trust:

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

589

33

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

861

44

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

186

122

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

173

175

Merrill Lynch Mortgage Investors Trust:

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

629

484

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

2,330

2,060

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

16

16

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

3,398

2,709

Morgan Stanley ABS Capital I Trust:

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

63

45

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

439

232

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

Morgan Stanley ABS Capital I Trust: - continued

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

$ 457

$ 66

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

4,086

109

National Collegiate Student Loan Trust:

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

1,965

226

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

364

7

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

232

8

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

371

23

Series 2006-4:

Class A1, 0.2834% 3/25/25 (n)

423

416

Class AIO, 6.35% 2/27/12 (p)

1,181

80

Class D, 1.3534% 5/25/32 (n)

2,225

17

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

1,587

141

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

1,351

133

New Century Home Equity Loan Trust:

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

1,566

1,077

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

857

77

Ocala Funding LLC Series 2006-1A Class A, 1.6534% 3/20/11 (d)(g)(n)

1,290

477

Option One Mortgage Loan Trust:

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

73

71

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

151

147

Park Place Securities, Inc.:

Series 2004-WCW1:

Class M3, 1.5034% 9/25/34 (n)

585

279

Class M4, 1.7034% 9/25/34 (n)

750

182

Series 2005-WCH1:

Class M2, 0.7734% 1/25/36 (n)

2,624

2,311

Class M3, 0.8134% 1/25/36 (n)

525

364

Class M4, 1.0834% 1/25/36 (n)

1,620

657

Series 2005-WHQ2:

Class M7, 1.5034% 5/25/35 (n)

1,920

57

Class M9, 2.1334% 5/25/35 (n)

1,299

4

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

3,609

3,604

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

390

12

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

75

74

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

6

5

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

1,756

1,444

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

Securitized Asset Backed Receivables LLC Trust:

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

$ 96

$ 3

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

555

253

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

209

206

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

864

813

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

1,396

82

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

655

0

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

80

39

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

1,186

986

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

920

948

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

32

22

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

2,142

107

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

376

388

Wachovia Auto Loan Owner Trust Series 2006-2A:

Class B, 5.29% 6/20/12 (g)

96

96

Class D, 5.54% 12/20/12 (g)

582

589

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

974

0

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

9,213

9,158

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

8

0

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

1,964

727

TOTAL ASSET-BACKED SECURITIES

(Cost $127,894)

131,146

Collateralized Mortgage Obligations - 0.7%

 

Principal Amount (000s)

Value (000s)

Private Sponsor - 0.7%

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

$ 1,568

$ 1,518

Banc of America Commercial Mortgage Trust Series 2007-2:

Class B, 5.6987% 4/10/49 (n)

73

18

Class C, 5.6987% 4/10/49 (n)

194

34

Class D, 5.6987% 4/10/49 (n)

97

15

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

6,053

6,196

Banc of America Mortgage Securities, Inc.:

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

1,933

1,784

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

2,060

1,836

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

1,017

897

Series 2004-B:

Class 1A1, 2.9237% 3/25/34 (n)

149

129

Class 2A2, 3.0591% 3/25/34 (n)

1,229

1,167

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

1,932

1,754

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

1,758

1,556

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

1,577

1,402

Bayview Commercial Asset Trust Series 2006-3A Class IO, 3.2127% 10/25/36 (g)(n)(p)

37,616

2,885

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

2,424

1,946

Bear Stearns Commercial Mortgage Securities Trust Series 2006-T24 Class X2, 0.4274% 10/12/41 (g)(n)(p)

3,688

46

Chase Mortgage Finance Trust:

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

483

470

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

3,875

3,857

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

1,314

1,398

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

1,148

1,146

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

1,468

338

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

1,314

1,311

Credit Suisse First Boston Mortgage Securities Corp. floater Series 2007-AR7 Class 2A1, 2.9126% 11/25/34 (n)

242

223

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

1,693

1,606

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

Private Sponsor - continued

Fosse Master Issuer PLC floater Series 2006-1A:

Class B2, 0.4491% 10/18/54 (g)(n)

$ 3,771

$ 3,716

Class C2, 0.7591% 10/18/54 (g)(n)

1,263

1,238

Class M2, 0.5391% 10/18/54 (g)(n)

2,165

2,125

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

3,161

3,035

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

3,418

3,396

Granite Master Issuer PLC floater:

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

206

106

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

7,110

3,688

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

5,920

3,226

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

1,233

679

Series 2006-4:

Class B1, 0.3434% 12/20/54 (n)

4,556

3,594

Class C1, 0.6334% 12/20/54 (n)

2,785

1,445

Class M1, 0.4234% 12/20/54 (n)

1,198

824

Series 2007-1:

Class 1C1, 0.8534% 12/20/54 (n)

2,417

1,317

Class 1M1, 0.5534% 12/20/54 (n)

1,611

1,104

Class 2C1, 1.2134% 12/20/54 (n)

1,098

598

Class 2M1, 0.7534% 12/20/54 (n)

2,067

1,416

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

2,864

1,475

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

472

321

GSR Mortgage Loan Trust Series 2007-AR2 Class 2A1, 3.0969% 4/25/35 (n)

709

615

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

414

260

JPMorgan Chase Commercial Mortgage Securities Trust Series 2007-CB18:

Class A1, 5.32% 6/12/47 (n)

74

75

Class A3, 5.447% 6/12/47 (n)

2,492

2,594

JPMorgan Mortgage Trust:

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

2,355

1,956

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

1,411

1,372

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

1,554

1,426

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

2,609

2,480

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

591

634

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

Private Sponsor - continued

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

$ 1,151

$ 724

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

545

2

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

2,002

1,360

Merrill Lynch Floating Trust floater Series 2006-1:

Class B, 0.423% 6/15/22 (g)(n)

273

247

Class C, 0.443% 6/15/22 (g)(n)

1,682

1,446

Class D, 0.453% 6/15/22 (g)(n)

647

543

Class E, 0.463% 6/15/22 (g)(n)

1,035

849

Class F, 0.493% 6/15/22 (g)(n)

1,683

1,346

Class G, 0.563% 6/15/22 (g)(n)

387

302

Class H, 0.583% 6/15/22 (g)(n)

778

599

Class J, 0.623% 6/15/22 (g)(n)

906

652

Merrill Lynch Mortgage Investors Trust:

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

1,776

1,697

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

1,621

1,499

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

1,423

1,349

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

5,626

6,006

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

2,604

2,108

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

3,232

207

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

893

777

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

Class B5, 2.6034% 7/10/35 (g)(n)

1,961

1,362

Class B6, 3.1034% 7/10/35 (g)(n)

417

264

Residential Asset Mortgage Products, Inc. sequential payer:

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

1,071

1,105

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

70

68

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

487

417

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

185

185

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

44

32

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

Private Sponsor - continued

Structured Asset Securities Corp.:

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

$ 520

$ 513

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

440

450

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

3,593

1,990

Thornburg Mortgage Securities Trust floater:

Series 2006-4 Class A2B, 0.3763% 7/25/36 (n)

12,282

12,162

Series 2006-5 Class A1, 0.3734% 10/25/46 (n)

4,893

4,827

WaMu Mortgage pass-thru certificates:

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

909

847

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

2,420

2,120

Wells Fargo Mortgage Backed Securities Trust:

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

811

771

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

1,557

1,522

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

4,976

4,794

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

660

640

Series 2005-AR12:

Class 2A5, 2.8758% 7/25/35 (n)

12,260

11,635

Class 2A6, 2.8758% 7/25/35 (n)

554

515

Series 2005-AR2 Class 2A2, 2.8576% 3/25/35 (n)

2,959

2,771

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

965

871

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $110,921)

149,821

Commercial Mortgage Securities - 2.2%

 

Asset Securitization Corp. Series 1997-D5:

Class A2, 6.8147% 2/14/43 (n)

966

1,038

Class A3, 6.8647% 2/14/43 (n)

1,043

1,120

Class A6, 7.1847% 2/14/43 (n)

1,537

1,646

Class PS1, 1.3859% 2/14/43 (n)(p)

3,975

106

Banc of America Commercial Mortgage Trust:

sequential payer:

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

1,534

1,657

Series 2006-5:

Class A1, 5.185% 9/10/47

494

496

Class A2, 5.317% 9/10/47

5,071

5,220

Class A3, 5.39% 9/10/47

1,832

1,975

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

2,628

2,744

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

339

346

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

1,310

1,383

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Banc of America Commercial Mortgage Trust: - continued

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

$ 759

$ 143

Series 2007-3:

Class A3, 5.6579% 6/10/49 (n)

2,194

2,308

Class A4, 5.6579% 6/10/49 (n)

2,739

2,826

Banc of America Commercial Mortgage, Inc.:

sequential payer:

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

2,878

3,025

Series 2004-2:

Class A3, 4.05% 11/10/38

433

440

Class A4, 4.153% 11/10/38

1,666

1,713

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

2,152

2,160

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

675

674

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

3,695

3,779

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

735

734

Series 2001-PB1:

Class J, 7.166% 5/11/35 (g)

329

322

Class K, 6.15% 5/11/35 (g)

611

568

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

4,082

4,328

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

791

407

Banc of America Large Loan, Inc. floater:

Series 2005-MIB1:

Class C, 0.5634% 3/15/22 (g)(n)

564

502

Class D, 0.6134% 3/15/22 (g)(n)

572

486

Class E, 0.6534% 3/15/22 (g)(n)

472

394

Class F, 0.7234% 3/15/22 (g)(n)

676

539

Class G, 0.7834% 3/15/22 (g)(n)

438

307

Series 2006-BIX1:

Class C, 0.4334% 10/15/19 (g)(n)

844

782

Class D, 0.4634% 10/15/19 (g)(n)

1,031

927

Class E, 0.4934% 10/15/19 (g)(n)

956

842

Class F, 0.5634% 10/15/19 (g)(n)

2,868

2,448

Class G, 0.5834% 10/15/19 (g)(n)

1,350

1,071

Bayview Commercial Asset Trust:

floater:

Series 2003-2 Class M1, 1.1034% 12/25/33 (g)(n)

86

60

Series 2004-1:

Class A, 0.6134% 4/25/34 (g)(n)

1,459

1,167

Class B, 2.1534% 4/25/34 (g)(n)

164

75

Class M1, 0.8134% 4/25/34 (g)(n)

131

85

Class M2, 1.4534% 4/25/34 (g)(n)

121

67

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Bayview Commercial Asset Trust: - continued

floater:

Series 2004-2:

Class A, 0.6834% 8/25/34 (g)(n)

$ 1,202

$ 998

Class M1, 0.8334% 8/25/34 (g)(n)

207

141

Series 2004-3:

Class A1, 0.6234% 1/25/35 (g)(n)

2,691

2,140

Class A2, 0.6734% 1/25/35 (g)(n)

386

278

Class M1, 0.7534% 1/25/35 (g)(n)

464

320

Class M2, 1.2534% 1/25/35 (g)(n)

221

144

Series 2005-2A:

Class A1, 0.5634% 8/25/35 (g)(n)

1,922

1,540

Class M1, 0.6834% 8/25/35 (g)(n)

104

58

Class M2, 0.7334% 8/25/35 (g)(n)

172

92

Class M3, 0.7534% 8/25/35 (g)(n)

95

48

Class M4, 0.8634% 8/25/35 (g)(n)

87

43

Series 2005-3A:

Class A1, 0.5734% 11/25/35 (g)(n)

777

599

Class A2, 0.6534% 11/25/35 (g)(n)

700

518

Class M1, 0.6934% 11/25/35 (g)(n)

92

51

Class M2, 0.7434% 11/25/35 (g)(n)

117

59

Class M3, 0.7634% 11/25/35 (g)(n)

104

49

Class M4, 0.8534% 11/25/35 (g)(n)

130

59

Series 2005-4A:

Class A2, 0.6434% 1/25/36 (g)(n)

1,791

1,236

Class B1, 1.6534% 1/25/36 (g)(n)

155

54

Class M1, 0.7034% 1/25/36 (g)(n)

578

306

Class M2, 0.7234% 1/25/36 (g)(n)

173

87

Class M3, 0.7534% 1/25/36 (g)(n)

253

116

Class M4, 0.8634% 1/25/36 (g)(n)

140

57

Class M5, 0.9034% 1/25/36 (g)(n)

140

55

Class M6, 0.9534% 1/25/36 (g)(n)

149

55

Series 2006-1:

Class A2, 0.6134% 4/25/36 (g)(n)

275

195

Class M1, 0.6334% 4/25/36 (g)(n)

98

46

Class M2, 0.6534% 4/25/36 (g)(n)

104

45

Class M3, 0.6734% 4/25/36 (g)(n)

89

35

Class M4, 0.7734% 4/25/36 (g)(n)

51

18

Class M5, 0.8134% 4/25/36 (g)(n)

49

17

Class M6, 0.8934% 4/25/36 (g)(n)

98

32

Series 2006-2A:

Class A1, 0.4834% 7/25/36 (g)(n)

4,110

3,175

Class A2, 0.5334% 7/25/36 (g)(n)

244

172

Class B1, 1.1234% 7/25/36 (g)(n)

91

25

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Bayview Commercial Asset Trust: - continued

floater:

Series 2006-2A:

Class B3, 2.9534% 7/25/36 (g)(n)

$ 138

$ 32

Class M1, 0.5634% 7/25/36 (g)(n)

256

136

Class M2, 0.5834% 7/25/36 (g)(n)

181

76

Class M3, 0.6034% 7/25/36 (g)(n)

150

58

Class M4, 0.6734% 7/25/36 (g)(n)

101

37

Class M5, 0.7234% 7/25/36 (g)(n)

124

42

Class M6, 0.7934% 7/25/36 (g)(n)

186

55

Series 2006-3A:

Class B1, 1.0534% 10/25/36 (g)(n)

165

35

Class B2, 1.6034% 10/25/36 (g)(n)

119

20

Class B3, 2.8534% 10/25/36 (g)(n)

194

27

Class M4, 0.6834% 10/25/36 (g)(n)

182

73

Class M5, 0.7334% 10/25/36 (g)(n)

218

76

Class M6, 0.8134% 10/25/36 (g)(n)

427

120

Series 2006-4A:

Class A1, 0.4834% 12/25/36 (g)(n)

930

724

Class A2, 0.5234% 12/25/36 (g)(n)

4,546

3,199

Class B1, 0.9534% 12/25/36 (g)(n)

145

37

Class B2, 1.5034% 12/25/36 (g)(n)

148

33

Class B3, 2.7034% 12/25/36 (g)(n)

251

53

Class M1, 0.5434% 12/25/36 (g)(n)

303

139

Class M2, 0.5634% 12/25/36 (g)(n)

202

85

Class M3, 0.5934% 12/25/36 (g)(n)

203

80

Class M4, 0.6534% 12/25/36 (g)(n)

245

91

Class M5, 0.6934% 12/25/36 (g)(n)

224

71

Class M6, 0.7734% 12/25/36 (g)(n)

202

57

Series 2007-1:

Class A2, 0.5234% 3/25/37 (g)(n)

956

641

Class B1, 0.9234% 3/25/37 (g)(n)

307

58

Class B2, 1.4034% 3/25/37 (g)(n)

220

40

Class B3, 3.6034% 3/25/37 (g)(n)

607

85

Class M1, 0.5234% 3/25/37 (g)(n)

268

134

Class M2, 0.5434% 3/25/37 (g)(n)

200

80

Class M3, 0.5734% 3/25/37 (g)(n)

178

62

Class M4, 0.6234% 3/25/37 (g)(n)

145

46

Class M5, 0.6734% 3/25/37 (g)(n)

223

65

Class M6, 0.7534% 3/25/37 (g)(n)

313

72

Series 2007-2A:

Class A1, 0.5234% 7/25/37 (g)(n)

857

625

Class A2, 0.5734% 7/25/37 (g)(n)

803

402

Class B1, 1.8534% 7/25/37 (g)(n)

248

32

Class B2, 2.5034% 7/25/37 (g)(n)

215

24

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Bayview Commercial Asset Trust: - continued

floater:

Series 2007-2A:

Class B3, 3.6034% 7/25/37 (g)(n)

$ 242

$ 24

Class M1, 0.6234% 7/25/37 (g)(n)

281

90

Class M2, 0.6634% 7/25/37 (g)(n)

154

36

Class M3, 0.7434% 7/25/37 (g)(n)

156

31

Class M4, 0.9034% 7/25/37 (g)(n)

308

56

Class M5, 1.0034% 7/25/37 (g)(n)

272

44

Class M6, 1.2534% 7/25/37 (g)(n)

345

50

Series 2007-3:

Class A2, 0.5434% 7/25/37 (g)(n)

981

627

Class B1, 1.2034% 7/25/37 (g)(n)

218

48

Class B2, 1.8534% 7/25/37 (g)(n)

547

95

Class B3, 4.2534% 7/25/37 (g)(n)

291

44

Class M1, 0.5634% 7/25/37 (g)(n)

195

90

Class M2, 0.5934% 7/25/37 (g)(n)

208

74

Class M3, 0.6234% 7/25/37 (g)(n)

327

106

Class M4, 0.7534% 7/25/37 (g)(n)

515

152

Class M5, 0.8534% 7/25/37 (g)(n)

270

75

Class M6, 1.0534% 7/25/37 (g)(n)

205

46

Series 2007-4A:

Class B1, 2.8034% 9/25/37 (g)(n)

327

23

Class B2, 3.7034% 9/25/37 (g)(n)

1,183

71

Class M1, 1.2034% 9/25/37 (g)(n)

315

66

Class M2, 1.3034% 9/25/37 (g)(n)

315

54

Class M4, 1.8534% 9/25/37 (g)(n)

799

104

Class M5, 2.0034% 9/25/37 (g)(n)

799

84

Class M6, 2.2034% 9/25/37 (g)(n)

802

72

Series 2004-1 Class IO, 1.25% 4/25/34 (g)(p)

3,014

98

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

7,234

778

Bear Stearns Commercial Mortgage Securities Trust:

floater:

Series 2006-BBA7:

Class G, 0.6934% 3/15/19 (g)(n)

884

645

Class H, 0.9034% 3/15/19 (g)(n)

595

330

Class J, 1.1034% 3/15/19 (g)(n)

447

233

Series 2007-BBA8:

Class D, 0.5034% 3/15/22 (g)(n)

653

470

Class E, 0.5534% 3/15/22 (g)(n)

3,391

2,272

Class F, 0.6034% 3/15/22 (g)(n)

2,081

1,290

Class G, 0.6534% 3/15/22 (g)(n)

534

304

Class H, 0.8034% 3/15/22 (g)(n)

653

327

Class J, 0.9534% 3/15/22 (g)(n)

653

274

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Bear Stearns Commercial Mortgage Securities Trust: - continued

sequential payer:

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

$ 409

$ 416

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

835

850

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

1,046

1,059

Series 2007-PW15 Class AAB, 5.315% 2/11/44

3,555

3,782

Series 2007-PW16:

Class A4, 5.717% 6/11/40 (n)

769

819

Class AAB, 5.717% 6/11/40 (n)

6,290

6,808

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

680

691

Series 2007-PW18:

Class A2, 5.613% 6/11/50

430

449

Class A4, 5.7% 6/11/50

5,820

6,148

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

318

327

Series 2003-PWR2 Class X2, 0.5307% 5/11/39 (g)(n)(p)

9,273

41

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

4,638

4,906

Series 2006-PW14 Class X2, 0.6529% 12/11/38 (g)(n)(p)

17,806

291

Series 2006-T22 Class A4, 5.5118% 4/12/38 (n)

164

180

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

290

295

Series 2007-PW16:

Class B, 5.717% 6/11/40 (g)(n)

210

90

Class C, 5.717% 6/11/40 (g)(n)

175

68

Class D, 5.717% 6/11/40 (g)(n)

175

60

Series 2007-PW18 Class X2, 0.3205% 6/11/50 (g)(n)(p)

122,743

1,580

Series 2007-T28:

Class A1, 5.422% 9/11/42

166

170

Class X2, 0.1749% 9/11/42 (g)(n)(p)

56,451

451

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

991

761

CDC Commercial Mortgage Trust Series 2002-FX1:

Class G, 6.625% 5/15/35 (g)

1,544

1,657

Class XCL, 2.1162% 5/15/35 (g)(n)(p)

17,034

392

Citigroup Commercial Mortgage Trust:

floater Series 2006-FL2:

Class F, 0.5634% 8/15/21 (g)(n)

469

438

Class G, 0.5834% 8/15/21 (g)(n)

586

510

Class H, 0.6234% 8/15/21 (g)(n)

468

384

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

9,115

9,664

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Citigroup Commercial Mortgage Trust: - continued

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

$ 2,200

$ 2,045

Series 2007-C6:

Class A1, 5.622% 12/10/49 (n)

1,865

1,877

Class A2, 5.6985% 12/10/49 (n)

1,600

1,673

Class A4, 5.6985% 12/10/49 (n)

4,371

4,637

Citigroup/Deutsche Bank Commercial Mortgage Trust:

sequential payer Series 2007-CD4:

Class A1, 4.977% 12/11/49

174

175

Class A2A, 5.237% 12/11/49

1,169

1,193

Class A4, 5.322% 12/11/49

5,943

6,113

Series 2007-CD4:

Class A3, 5.293% 12/11/49

1,279

1,321

Class C, 5.476% 12/11/49

2,474

445

Cobalt CMBS Commercial Mortgage Trust:

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

1,314

1,406

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

3,942

986

COMM pass-thru certificates:

floater:

Series 2005-F10A:

Class B, 0.4834% 4/15/17 (g)(n)

3,553

3,198

Class C, 0.5234% 4/15/17 (g)(n)

1,057

920

Class D, 0.5634% 4/15/17 (g)(n)

1,043

871

Class E, 0.6234% 4/15/17 (g)(n)

332

266

Class F, 0.6634% 4/15/17 (g)(n)

188

137

Class G, 0.8034% 4/15/17 (g)(n)

188

126

Class H, 0.8734% 4/15/17 (g)(n)

188

107

Class J, 1.1034% 4/15/17 (g)(n)

144

68

Series 2005-FL11:

Class C, 0.5534% 11/15/17 (g)(n)

1,003

942

Class D, 0.5934% 11/15/17 (g)(n)

52

48

Class E, 0.6434% 11/15/17 (g)(n)

185

165

Class F, 0.7034% 11/15/17 (g)(n)

204

175

Class G, 0.7534% 11/15/17 (g)(n)

141

115

Series 2006-CN2A:

Class A2FL, 0.4738% 2/5/19 (g)(n)

1,940

1,827

Class AJFL, 0.5138% 2/5/19 (n)

890

824

Series 2006-FL12 Class AJ, 0.3834% 12/15/20 (g)(n)

1,872

1,629

sequential payer:

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

13

13

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

3,744

3,890

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

COMM pass-thru certificates: - continued

sequential payer:

Series 2006-CN2A:

Class A2FX, 5.449% 2/5/19 (g)

$ 2,291

$ 2,293

Class AJFX, 5.478% 2/5/19 (g)

4,140

4,099

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

2,907

3,126

Series 2004-LBN2 Class X2, 0.8517% 3/10/39 (g)(n)(p)

3,238

7

Series 2006-C8:

Class B, 5.44% 12/10/46

2,276

645

Class XP, 0.4812% 12/10/46 (n)(p)

20,642

276

Credit Suisse Commercial Mortgage Trust:

sequential payer:

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

1,596

1,685

Series 2007-C2:

Class A1, 5.269% 1/15/49

12

12

Class A2, 5.448% 1/15/49 (n)

9,295

9,501

Class A3, 5.542% 1/15/49 (n)

2,628

2,701

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

790

817

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

7,479

7,993

Series 2006-C5 Class ASP, 0.6706% 12/15/39 (n)(p)

13,903

237

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

1,189

1,221

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

4,688

2,578

Credit Suisse First Boston Mortgage Securities Corp.:

sequential payer:

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

1,314

1,361

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

128

130

Series 2004-C1:

Class A3, 4.321% 1/15/37

264

267

Class A4, 4.75% 1/15/37

612

646

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

25

25

Series 2001-CK6 Class AX, 0.8917% 8/15/36 (n)(p)

3,411

20

Series 2001-CKN5 Class AX, 1.963% 9/15/34 (g)(n)(p)

9,921

78

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

6,938

7,351

Credit Suisse Mortgage Capital Certificates:

floater Series 2007-TFL1:

Class B, 0.4034% 2/15/22 (g)(n)

497

343

Class C:

0.4234% 2/15/22 (g)(n)

2,047

1,207

0.5234% 2/15/22 (g)(n)

731

351

Class F, 0.5734% 2/15/22 (g)(n)

1,462

629

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Credit Suisse Mortgage Capital Certificates: - continued

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

$ 64

$ 65

Series 2007-C1:

Class ASP, 0.4158% 2/15/40 (n)(p)

24,600

262

Class B, 5.487% 2/15/40 (g)(n)

2,009

241

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

Class D, 6.484% 3/15/33

468

469

Class G, 6.936% 3/15/33 (g)

865

865

GE Capital Commercial Mortgage Corp.:

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

8,890

9,156

Series 2001-1 Class X1, 0.99% 5/15/33 (g)(n)(p)

10,202

30

Series 2004-C1 Class X2, 1.1123% 11/10/38 (g)(n)(p)

9,947

10

Series 2007-C1 Class XP, 0.1995% 12/10/49 (n)(p)

29,719

170

GMAC Commercial Mortgage Securities, Inc.:

Series 2003-C3 Class X2, 0.6751% 4/10/40 (g)(n)(p)

10,102

0 *

Series 2004-C3 Class X2, 0.6308% 12/10/41 (n)(p)

1,709

9

Series 2005-C1 Class X2, 0.5556% 5/10/43 (n)(p)

5,221

44

Greenwich Capital Commercial Funding Corp.:

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

494

449

sequential payer:

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

195

196

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

2,628

2,749

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

3,820

3,995

Series 2003-C2 Class XP, 0.8817% 1/5/36 (g)(n)(p)

12,071

0 *

Series 2005-GG3 Class XP, 0.6907% 8/10/42 (g)(n)(p)

24,338

178

Series 2006-GG7 Class A3, 5.8828% 7/10/38 (n)

3,464

3,761

Series 2007-GG11 Class A1, 0.4798% 12/10/49 (g)(p)

30,260

301

GS Mortgage Securities Corp. II:

floater:

Series 2006-FL8A:

Class C, 0.4934% 6/6/20 (g)(n)

66

62

Class D, 0.5334% 6/6/20 (g)(n)

313

280

Class E, 0.6234% 6/6/20 (g)(n)

363

316

Class F, 0.6934% 6/6/20 (g)(n)

916

774

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

GS Mortgage Securities Corp. II: - continued

floater:

Series 2007-EOP:

Class C, 0.5734% 3/6/20 (g)(n)

$ 1,650

$ 1,485

Class D, 0.6234% 3/6/20 (g)(n)

3,090

2,719

Class F, 0.7334% 3/6/20 (g)(n)

136

118

Class G, 0.7734% 3/6/20 (g)(n)

67

57

Class H, 0.9034% 3/6/20 (g)(n)

62

52

Class J, 1.1034% 3/6/20 (g)(n)

85

71

sequential payer:

Series 2001-LIBA Class A2, 6.615% 2/14/16 (g)

2,064

2,067

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

407

424

Series 2005-GG4 Class XP, 0.7093% 7/10/39 (g)(n)(p)

24,847

252

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

6,841

6,893

GS Mortgage Securities Trust sequential payer:

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

1,971

2,008

Series 2007-GG10:

Class A1, 5.69% 8/10/45

150

153

Class A2, 5.778% 8/10/45

626

646

JPMorgan Chase Commercial Mortgage Securities Corp.:

Series 2004-C1 Class X2, 0.9167% 1/15/38 (g)(n)(p)

2,940

5

Series 2004-CB8 Class X2, 1.0315% 1/12/39 (g)(n)(p)

2,939

9

JPMorgan Chase Commercial Mortgage Securities Trust:

floater Series 2006-FLA2:

Class B, 0.4234% 11/15/18 (g)(n)

968

852

Class C, 0.4634% 11/15/18 (g)(n)

687

584

Class D, 0.4834% 11/15/18 (g)(n)

305

250

Class E, 0.5334% 11/15/18 (g)(n)

439

351

Class F, 0.5834% 11/15/18 (g)(n)

659

514

Class G, 0.6134% 11/15/18 (g)(n)

571

428

Class H, 0.7534% 11/15/18 (g)(n)

439

320

sequential payer:

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

3,908

4,131

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

837

902

Series 2006-LDP9:

Class A2, 5.134% 5/15/47 (n)

624

654

Class A3, 5.336% 5/15/47

548

572

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

4,608

4,872

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

3,689

3,843

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

JPMorgan Chase Commercial Mortgage Securities Trust: - continued

sequential payer:

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

$ 31

$ 31

Series 2007-LDPX:

Class A2 S, 5.305% 1/15/49

2,976

3,035

Class A3, 5.412% 1/15/49

3,616

3,772

Series 2005-CB13 Class E, 5.3509% 1/12/43 (g)(n)

665

53

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

9,647

9,975

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

374

385

Series 2007-CB19:

Class B, 5.7421% 2/12/49 (n)

112

41

Class C, 5.7421% 2/12/49 (n)

294

103

Class D, 5.7421% 2/12/49 (n)

309

93

Series 2007-LDP10:

Class BS, 5.437% 1/15/49 (n)

251

88

Class CS, 5.466% 1/15/49 (n)

108

35

Class ES, 5.5411% 1/15/49 (g)(n)

679

44

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

460

464

LB Commercial Conduit Mortgage Trust:

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

1,054

1,119

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

442

443

LB-UBS Commercial Mortgage Trust:

sequential payer:

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

211

213

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

337

338

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

16

16

Series 2006-C6:

Class A1, 5.23% 9/15/39

125

125

Class A2, 5.262% 9/15/39 (n)

2,293

2,324

Series 2006-C7:

Class A1, 5.279% 11/15/38

77

78

Class A2, 5.3% 11/15/38

1,445

1,476

Class A3, 5.347% 11/15/38

979

1,035

Series 2007-C1:

Class A1, 5.391% 2/15/40 (n)

154

156

Class A4, 5.424% 2/15/40

4,069

4,297

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

2,923

3,038

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

92

92

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

2,540

2,602

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

1,445

1,480

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

LB-UBS Commercial Mortgage Trust: - continued

Series 2004-C2 Class XCP, 1.0453% 3/15/36 (g)(n)(p)

$ 22,197

$ 64

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

182

183

Series 2005-C3 Class XCP, 0.7546% 7/15/40 (n)(p)

4,067

40

Series 2006-C6 Class XCP, 0.6752% 9/15/39 (n)(p)

6,055

109

Series 2007-C1:

Class C, 5.533% 2/15/40 (n)

2,891

1,223

Class D, 5.563% 2/15/40 (n)

526

190

Class E, 5.582% 2/15/40 (n)

263

71

Class XCP, 0.477% 2/15/40 (n)(p)

3,002

32

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

1,642

1,721

Series 2007-C7:

Class A3, 5.866% 9/15/45

1,397

1,482

Class XCP, 0.29% 9/15/45 (n)(p)

100,836

1,055

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

Class D, 0.4834% 9/15/21 (g)(n)

421

320

Class E, 0.5434% 9/15/21 (g)(n)

1,518

1,123

Class F, 0.5934% 9/15/21 (g)(n)

1,255

903

Class G, 0.6134% 9/15/21 (g)(n)

2,478

1,735

Class H, 0.6534% 9/15/21 (g)(n)

639

409

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

2,332

2,410

Merrill Lynch Mortgage Trust:

sequential payer:

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

218

218

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

250

251

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

2,158

2,232

Series 2005-LC1 Class F, 5.3852% 1/12/44 (g)(n)

1,143

575

Series 2006-C1 Class A2, 5.6095% 5/12/39 (n)

1,832

1,886

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

4,974

5,341

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

2,805

2,961

Merrill Lynch-CFC Commercial Mortgage Trust:

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

609

592

sequential payer:

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

1,398

1,463

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

1,129

1,191

Series 2007-5:

Class A1, 4.275% 8/12/48

19

19

Class A3, 5.364% 8/12/48

512

525

Class A4, 5.378% 8/12/48

53

54

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Merrill Lynch-CFC Commercial Mortgage Trust: - continued

sequential payer:

Series 2007-5:

Class B, 5.479% 2/12/17

$ 3,942

$ 625

Series 2007-6:

Class A1, 5.175% 3/12/51

57

58

Class A4, 5.485% 3/12/51 (n)

10,897

11,139

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

4,599

4,726

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

289

294

Series 2006-4 Class XP, 0.6252% 12/12/49 (n)(p)

29,164

528

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

1,314

401

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

114

19

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

1,133

1,220

Morgan Stanley Capital I Trust:

floater:

Series 2006-XLF:

Class C, 1.454% 7/15/19 (g)(n)

903

108

Class G, 0.614% 7/15/19 (g)(n)

373

347

Series 2007-XCLA Class A1, 0.454% 7/17/17 (g)(n)

2,647

1,912

Series 2007-XLCA Class B, 0.754% 7/17/17 (g)(n)

2,413

284

Series 2007-XLFA:

Class C, 0.414% 10/15/20 (g)(n)

754

324

Class D, 0.444% 10/15/20 (g)(n)

732

264

Class E, 0.504% 10/15/20 (g)(n)

916

192

Class F, 0.554% 10/15/20 (g)(n)

550

77

Class G, 0.594% 10/15/20 (g)(n)

680

48

Class H, 0.684% 10/15/20 (g)(n)

428

26

Class J, 0.834% 10/15/20 (g)(n)

488

20

Class MHRO, 0.944% 10/15/20 (g)(n)

541

135

Class MJPM, 1.254% 10/15/20 (g)(n)

165

124

Class MSTR, 0.954% 10/15/20 (g)(n)

308

77

Class NHRO, 1.144% 10/15/20 (g)(n)

819

123

Class NSTR, 1.104% 10/15/20 (g)(n)

284

43

sequential payer:

Series 2003-IQ5 Class X2, 0.9113% 4/15/38 (g)(n)(p)

3,617

25

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

1,951

2,009

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

304

307

Series 2007-HQ11:

Class A1, 5.246% 2/12/44

167

169

Class A31, 5.439% 2/12/44 (n)

666

693

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

279

282

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

696

710

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Morgan Stanley Capital I Trust: - continued

sequential payer:

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

$ 248

$ 253

Series 2003-IQ6 Class X2, 0.5796% 12/15/41 (g)(n)(p)

8,502

49

Series 2005-IQ9 Class X2, 1.0925% 7/15/56 (g)(n)(p)

14,622

170

Series 2006-HQ10 Class X2, 0.4955% 11/12/41 (g)(n)(p)

9,533

99

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

2,038

2,068

Series 2006-IQ11:

Class A3, 5.7248% 10/15/42 (n)

2,159

2,268

Class A4, 5.7608% 10/15/42 (n)

394

435

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

1,314

479

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

671

722

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

2,383

1,098

Series 2007-IQ14:

Class A4, 5.692% 4/15/49 (n)

1,971

2,067

Class AAB, 5.654% 4/15/49

3,520

3,721

Class B, 5.7278% 4/15/49 (n)

323

113

Series 2007-XLC1:

Class C, 0.854% 7/17/17 (g)(n)

3,254

89

Class D, 0.954% 7/17/17 (g)(n)

1,530

19

Class E, 1.054% 7/17/17 (g)(n)

1,243

16

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

0 *

0 *

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

134

138

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

1,117

1,136

Wachovia Bank Commercial Mortgage Trust:

floater:

Series 2005-WL5A Class K, 1.4534% 1/15/18 (g)(n)

1,401

1,345

Series 2006-WL7A:

Class E, 0.5363% 9/15/21 (g)(n)

1,791

1,146

Class F, 0.5963% 8/11/18 (g)(n)

2,061

977

Class G, 0.6163% 8/11/18 (g)(n)

1,953

903

Class J, 0.8563% 8/11/18 (g)(n)

434

135

Series 2007-WHL8:

Class AP1, 0.9534% 6/15/20 (g)(n)

142

85

Class AP2, 1.0534% 6/15/20 (g)(n)

237

130

Class F, 0.7334% 6/15/20 (g)(n)

4,581

2,291

Class LXR1, 0.9534% 6/15/20 (g)(n)

162

114

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Wachovia Bank Commercial Mortgage Trust: - continued

floater:

Series 2007-WHL8:

Class LXR2, 1.0534% 6/15/20 (g)(n)

$ 3,121

$ 2,029

sequential payer:

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

1,996

2,012

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

5,722

5,896

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

1,084

1,104

Series 2006-C29:

Class A1, 5.11% 11/15/48

548

554

Class A3, 5.313% 11/15/48

3,490

3,716

Series 2007-C30:

Class A1, 5.031% 12/15/43

32

32

Class A3, 5.246% 12/15/43

1,128

1,143

Class A4, 5.305% 12/15/43

386

387

Class A5, 5.342% 12/15/43

1,406

1,410

Series 2007-C31:

Class A1, 5.14% 4/15/47

129

130

Class A4, 5.509% 4/15/47

2,970

3,038

Series 2007-C32:

Class A2, 5.739% 6/15/49 (n)

4,582

4,748

Class A3, 5.744% 6/15/49 (n)

2,231

2,303

Series 2003-C6 Class G, 5.125% 8/15/35 (g)(n)

624

610

Series 2003-C9 Class XP, 0.4498% 12/15/35 (g)(n)(p)

5,327

0 *

Series 2004-C15:

Class 180A, 5.3979% 10/15/41 (g)(n)

1,010

970

Class 180B, 5.3979% 10/15/41 (g)(n)

460

432

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

1,314

1,105

Series 2005-C22:

Class B, 5.3588% 12/15/44 (n)

2,914

2,395

Class F, 5.3588% 12/15/44 (g)(n)

2,191

902

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

7,210

7,736

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

1,314

417

Series 2007-C30:

Class C, 5.483% 12/15/43 (n)

3,942

674

Class D, 5.513% 12/15/43 (n)

2,102

184

Class XP, 0.4396% 12/15/43 (g)(n)(p)

14,593

191

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

361

78

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

11,812

12,154

Series 2007-C32:

Class D, 5.744% 6/15/49 (n)

987

201

Class E, 5.744% 6/15/49 (n)

1,556

272

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Wachovia Bank Commercial Mortgage Trust pass-thru certificates:

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

$ 870

$ 905

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

2,209

733

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $364,893)

445,535

Municipal Securities - 0.1%

 

California Gen. Oblig.:

6.2% 3/1/19

3,800

4,006

7.5% 4/1/34

4,700

4,815

7.55% 4/1/39

2,295

2,363

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

5,980

6,218

TOTAL MUNICIPAL SECURITIES

(Cost $16,899)

17,402

Foreign Government and Government Agency Obligations - 0.0%

 

Chilean Republic 7.125% 1/11/12
(Cost $2,560)

2,462

2,610

Supranational Obligations - 0.0%

 

Corporacion Andina de Fomento 5.2% 5/21/13
(Cost $182)

196

213

Bank Notes - 0.0%

 

National City Bank, Cleveland 0.3969% 3/1/13 (n)
(Cost $694)

790

783

Preferred Securities - 0.0%

 

 

 

 

FINANCIALS - 0.0%

Diversified Financial Services - 0.0%

ING Groep NV 5.775% (n)

851

738

MUFG Capital Finance 1 Ltd. 6.346% (n)

2,706

2,766

TOTAL PREFERRED SECURITIES

(Cost $2,131)

3,504

Fixed-Income Funds - 10.6%

Shares

Value (000s)

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

5,926,735

$ 646,251

Fidelity High Income Central Fund 2 (o)

3,903,561

423,146

Fidelity Mortgage Backed Securities Central Fund (o)

10,306,289

1,089,478

TOTAL FIXED-INCOME FUNDS

(Cost $1,998,641)

2,158,875

Money Market Funds - 3.5%

 

 

 

 

Fidelity Cash Central Fund, 0.24% (b)

632,847,310

632,847

Fidelity Securities Lending Cash Central Fund, 0.25% (b)(c)

78,647,579

78,648

TOTAL MONEY MARKET FUNDS

(Cost $711,495)

711,495

Cash Equivalents - 0.0%

Maturity Amount (000s)

 

Investments in repurchase agreements in a joint trading account at 0.24%, dated 11/30/10 due 12/1/10 (Collateralized by U.S. Government Obligations) #
(Cost $3,122)

$ 3,122

3,122

TOTAL INVESTMENT PORTFOLIO - 102.6%

(Cost $18,825,926)

20,916,926

NET OTHER ASSETS (LIABILITIES) - (2.6)%

(521,366)

NET ASSETS - 100%

$ 20,395,560

Futures Contracts

Expiration Date

Underlying Face Amount at Value (000s)

Unrealized Appreciation/
(Depreciation) (000s)

Purchased

Equity Index Contracts

830 CME E-mini S&P 500 Index Contracts

Dec. 2010

$ 48,953

$ 3,101

 

The face value of futures purchased as a percentage of net assets is 0.2%

Swap Agreements

 

Expiration Date

Notional Amount (000s)

Value (000s)

Credit Default Swaps

Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to Credit Suisse First Boston upon each credit event of one of the issues of ABX AA 07-01 Index, par value of the proportional notional amount (Rating-C) (Upfront Payment Made/(Received) $3,215,000) (m)

Sept. 2037

$ 12,025

$ (11,245)

Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to JPMorgan Chase, Inc. upon each credit event of one of the issues of ABX AA 07-01 Index, par value of the proportional notional amount (Rating-C) (Upfront Payment Made/(Received) $2,992,000) (m)

Sept. 2037

9,792

(9,158)

Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to JPMorgan Chase, Inc. upon each credit event of one of the issues of ABX AA 07-01 Index, par value of the proportional notional amount (Rating-C) (Upfront Payment Made/(Received) $407,000) (m)

Sept. 2037

1,296

(1,212)

Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to Morgan Stanley, Inc. upon each credit event of one of the issues of ABX AA 07-01 Index, par value of the proportional notional amount (Rating-C) (Upfront Payment Made/(Received) $2,992,000) (m)

Sept. 2037

9,792

(9,158)

Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to UBS upon each credit event of one of the issues of ABX AA 07-1 Index, par value of the proportional notional amount (Rating-C) (Upfront Payment Made/(Received) $2,882,000) (m)

Sept. 2037

9,432

(8,821)

Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to UBS upon each credit event of one of the issues of ABX AA 07-1 Index, par value of the proportional notional amount (Rating-C) (Upfront Payment Made/(Received) $2,559,000) (m)

Sept. 2037

8,280

(7,744)

Swap Agreements - continued

 

Expiration Date

Notional Amount (000s)

Value (000s)

Credit Default Swaps - continued

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) (l)

Dec. 2034

$ 613

$ (598)

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) (l)

Oct. 2034

489

(486)

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) (l)

Oct. 2034

489

(486)

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) (l)

June 2035

569

(525)

 

$ 52,777

$ (49,433)

Legend

(a) Non-income producing

(b) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.

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

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

(e) 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.

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

(g) 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 $418,908,000 or 2.1% of net assets.

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

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

(j) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the period end, the value of securities pledged amounted to $4,198,000.

(k) 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 $54,331,000.

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

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

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

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

(p) 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.

(q) Restricted securities - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $16,322,000 or 0.1% of net assets.

Additional information on each holding is as follows:

Security

Acquisition Date

Acquisition Cost (000s)

AVEO Pharmaceuticals, Inc.

10/28/10

$ 1,043

Concho Resources, Inc.

7/20/10

$ 5,324

Legend Pictures Holdings LLC unit

9/23/10

$ 6,428

* Amount represents less than $1,000.

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

Repurchase Agreement / Counterparty

Value
(Amounts in thousands)

$3,122,000 due 12/01/10 at 0.24%

BNP Paribas Securities Corp.

$ 1,473

Barclays Capital, Inc.

1,086

Merrill Lynch, Pierce, Fenner & Smith, Inc.

563

 

$ 3,122

Affiliated Central Funds

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

Funds

Income earned
(Amounts in thousands)

Fidelity Cash Central Fund

$ 544

Fidelity Corporate Bond 1-10 Year Central Fund

7,599

Fidelity High Income Central Fund 2

7,809

Fidelity Mortgage Backed Securities Central Fund

9,382

Fidelity Securities Lending Cash Central Fund

148

Total

$ 25,482

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

Funds
(Amounts in thousands)

Value, beginning of period

Purchases

Sales Proceeds

Value, end of period

% ownership, end of
period

Fidelity Corporate Bond 1-10 Year Central Fund

$ 647,022

$ -

$ -

$ 646,251

31.9%

Fidelity High Income Central Fund 2

434,289

7,809

31,017

423,146

80.6%

Fidelity Mortgage Backed Securities Central Fund

1,083,888

9,382

-

1,089,478

15.4%

Total

$ 2,165,199

$ 17,191

$ 31,017

$ 2,158,875

Other Information

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

Valuation Inputs at Reporting Date:

Description
(Amounts in thousands)

Total

Level 1

Level 2

Level 3

Investments in Securities:

Equities:

Consumer Discretionary

$ 1,298,935

$ 1,292,507

$ -

$ 6,428

Consumer Staples

1,301,996

1,301,996

-

-

Energy

1,364,653

1,349,508

14,105

1,040

Financials

1,861,160

1,782,214

67,704

11,242

Health Care

1,275,506

1,242,603

32,903

-

Industrials

1,364,710

1,357,733

6,977

-

Information Technology

2,339,475

2,339,475

-

-

Materials

393,839

393,839

-

-

Telecommunication Services

408,771

392,646

16,125

-

Utilities

409,336

386,025

23,311

-

Corporate Bonds

1,337,952

-

1,337,952

-

U.S. Government and Government Agency Obligations

2,972,873

-

2,972,873

-

U.S. Government Agency - Mortgage Securities

963,214

-

963,214

-

Asset-Backed Securities

131,146

-

117,509

13,637

Collateralized Mortgage Obligations

149,821

-

146,322

3,499

Commercial Mortgage Securities

445,535

-

410,043

35,492

Municipal Securities

17,402

-

17,402

-

Foreign Government and Government Agency Obligations

2,610

-

2,610

-

Supranational Obligations

213

-

213

-

Bank Notes

783

-

783

-

Preferred Securities

3,504

-

3,504

-

Fixed-Income Funds

2,158,875

2,158,875

-

-

Money Market Funds

711,495

711,495

-

-

Cash Equivalents

3,122

-

3,122

-

Total Investments in Securities:

$ 20,916,926

$ 14,708,916

$ 6,136,672

$ 71,338

Derivative Instruments:

Assets

Futures Contracts

$ 3,101

$ 3,101

$ -

$ -

Liabilities

Swap Agreements

$ (49,433)

$ -

$ (47,339)

$ (2,094)

Total Derivative Instruments:

$ (46,332)

$ 3,101

$ (47,339)

$ (2,094)

Other Financial Instruments:

Forward Commitments

$ 1,631

$ -

$ 1,631

$ -

 

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

Investments in Securities:
(Amounts in thousands)

Beginning Balance

$ 96,111

Total Realized Gain (Loss)

436

Total Unrealized Gain (Loss)

2,525

Cost of Purchases

6,439

Proceeds of Sales

(1,693)

Amortization/Accretion

380

Transfers in to Level 3

6,934

Transfers out of Level 3

(39,794)

Ending Balance

$ 71,338

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

$ 2,478

Derivative Instruments:

Swap Agreements

Beginning Balance

$ (2,278)

Total Unrealized Gain (Loss)

184

Transfers in to Level 3

-

Transfers out of Level 3

-

Ending Balance

$ (2,094)

Realized gain (loss) on Swap Agreements for the period

$ (200)

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

$ 184

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

Income Tax Information

At November 30, 2010, the cost of investment securities for income tax purposes was $19,056,605,000. Net unrealized appreciation aggregated $1,860,321,000, of which $2,200,404,000 related to appreciated investment securities and $340,083,000 related to depreciated investment securities.

Investment Valuation

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

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

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

Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Swaps are marked-to-market daily based on valuations from independent pricing services or dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Pricing services utilize matrix pricing which considers comparisons to interest rate curves, credit spread curves, default possibilities and recovery rates and, as a result, swaps are generally categorized as Level 2 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day and are categorized as Level 1 in the hierarchy. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates fair value and are categorized as Level 2 in the hierarchy.

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

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

Credit Default Swap Agreements

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

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

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

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

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

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

The notional amount of credit default swaps approximates the maximum potential amount of future payments that the Fund could be required to make if the Fund is the seller and a credit event were to occur. The total notional amount of all credit default swaps open at period end where the Fund is the seller amounted to $52,777,000 representing 0.03% of net assets.

Quarterly Report

The fund's schedule of investments as of the date on the cover of this report has not been audited. This report is provided for the general information of the fund's shareholders. For more information regarding the fund and its holdings, please

see the fund's most recent prospectus and annual report.

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

or an affiliate.

Quarterly Report

Quarterly Holdings Report

for

Fidelity ® Puritan® Fund

November 30, 2010 

1.809105.106

PUR-QTLY-0111

Investments November 30, 2010 (Unaudited)

Showing Percentage of Net Assets

Common Stocks - 60.2%

Shares

Value (000s)

CONSUMER DISCRETIONARY - 6.8%

Auto Components - 0.1%

Delphi Corp. Class B (a)(j)

278

$ 4,518

TRW Automotive Holdings Corp. (a)

170,100

8,078

 

12,596

Automobiles - 0.6%

Bayerische Motoren Werke AG (BMW)

952,179

71,589

General Motors Co.

1,160,000

39,672

 

111,261

Hotels, Restaurants & Leisure - 0.7%

Country Style Cooking Restaurant Chain Co. Ltd. ADR

16,300

358

Starwood Hotels & Resorts Worldwide, Inc.

870,900

49,502

Vail Resorts, Inc. (a)(g)

861,827

39,024

Wyndham Worldwide Corp.

1,707,000

49,076

 

137,960

Household Durables - 0.7%

Lennar Corp. Class A

1,800,200

27,345

PulteGroup, Inc. (a)

4,436,700

27,774

Stanley Black & Decker, Inc.

1,387,520

82,599

 

137,718

Internet & Catalog Retail - 0.3%

Amazon.com, Inc. (a)

321,800

56,444

Media - 2.3%

Comcast Corp. Class A (special) (non-vtg.)

5,026,400

95,351

DIRECTV (a)

81,000

3,364

DreamWorks Animation SKG, Inc. Class A (a)

736,443

22,822

Gestevision Telecinco SA (g)

2,601,000

24,649

Gestevision Telecinco SA rights 12/3/10 (a)(g)

2,601,000

1,789

HMH Holdings, Inc. (a)(p)

322,276

1,853

Legend Pictures Holdings LLC unit (a)(p)

46,667

35,000

Playboy Enterprises, Inc. Class B (non-vtg.) (a)

895,600

4,371

RDA Holding Co. (a)

327,009

6,867

RDA Holding Co. warrants 2/19/14 (a)(p)

30,365

0

The Walt Disney Co.

3,282,790

119,855

Vertis Holdings, Inc. (a)

30,518

0

Virgin Media, Inc.

4,561,400

116,224

 

432,145

Multiline Retail - 0.2%

PPR SA

211,500

33,598

Specialty Retail - 0.6%

Guess?, Inc.

332,900

15,730

Common Stocks - continued

Shares

Value (000s)

CONSUMER DISCRETIONARY - continued

Specialty Retail - continued

Home Depot, Inc.

2,586,300

$ 78,132

J. Crew Group, Inc. (a)

370,537

16,200

Lumber Liquidators Holdings, Inc. (a)

350,000

8,239

 

118,301

Textiles, Apparel & Luxury Goods - 1.3%

Phillips-Van Heusen Corp.

650,000

44,096

Polo Ralph Lauren Corp. Class A

1,524,300

166,515

Under Armour, Inc. Class A (sub. vtg.) (a)(g)

444,300

25,649

Vera Bradley, Inc.

19,700

645

 

236,905

TOTAL CONSUMER DISCRETIONARY

1,276,928

CONSUMER STAPLES - 5.8%

Beverages - 2.3%

Anheuser-Busch InBev SA NV

971,245

52,848

Carlsberg AS Series B

179,200

16,913

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

612,000

12,613

Dr Pepper Snapple Group, Inc.

2,155,975

78,973

The Coca-Cola Co.

4,436,900

280,279

 

441,626

Food & Staples Retailing - 1.0%

Costco Wholesale Corp.

1,311,500

88,671

Drogasil SA

920,391

22,529

Walgreen Co.

2,023,000

70,502

 

181,702

Food Products - 0.6%

Archer Daniels Midland Co.

1,804,500

52,312

Danone

330,600

19,362

Mead Johnson Nutrition Co. Class A

99,000

5,897

Nestle SA

571,227

31,047

 

108,618

Personal Products - 0.6%

Estee Lauder Companies, Inc. Class A

775,200

58,078

Inter Parfums, Inc.

950,000

17,347

L'Oreal SA

132,500

14,089

Prestige Brands Holdings, Inc. (a)

2,091,961

24,622

 

114,136

Common Stocks - continued

Shares

Value (000s)

CONSUMER STAPLES - continued

Tobacco - 1.3%

Philip Morris International, Inc.

4,165,340

$ 236,966

TOTAL CONSUMER STAPLES

1,083,048

ENERGY - 7.4%

Energy Equipment & Services - 1.8%

Halliburton Co.

2,247,000

85,026

National Oilwell Varco, Inc.

842,500

51,637

Oceaneering International, Inc. (a)

490,800

33,914

Schlumberger Ltd.

1,357,900

105,020

Transocean Ltd. (a)

993,100

66,567

 

342,164

Oil, Gas & Consumable Fuels - 5.6%

Anadarko Petroleum Corp.

409,500

26,274

Apache Corp.

1,003,000

107,963

BP PLC sponsored ADR

1,277,100

51,084

Chevron Corp.

3,087,400

249,987

Cimarex Energy Co.

260,600

20,989

EXCO Resources, Inc.

2,022,900

37,565

Exxon Mobil Corp.

5,041,917

350,716

LINN Energy LLC

200,300

7,271

Marathon Oil Corp.

1,902,800

63,687

Occidental Petroleum Corp.

587,858

51,831

Royal Dutch Shell PLC Class A sponsored ADR

770,100

46,722

Valero Energy Corp.

1,252,500

24,399

 

1,038,488

TOTAL ENERGY

1,380,652

FINANCIALS - 7.3%

Capital Markets - 0.7%

Evercore Partners, Inc. Class A

830,700

25,071

Morgan Stanley

4,256,400

104,112

 

129,183

Commercial Banks - 2.8%

CIT Group, Inc. (a)

570,400

22,508

Comerica, Inc.

1,000,000

36,490

Huntington Bancshares, Inc.

3,825,900

22,324

M&T Bank Corp. (g)

488,200

37,572

SunTrust Banks, Inc.

2,139,200

49,972

Common Stocks - continued

Shares

Value (000s)

FINANCIALS - continued

Commercial Banks - continued

U.S. Bancorp, Delaware

4,600,300

$ 109,395

Wells Fargo & Co.

8,262,140

224,813

Zions Bancorporation

570,000

11,087

 

514,161

Diversified Financial Services - 2.9%

Bank of America Corp.

357,046

3,910

Citigroup, Inc. (a)

64,586,400

271,263

JPMorgan Chase & Co.

7,023,923

262,554

NBH Holdings Corp. Class A (a)(i)

710,000

13,845

 

551,572

Insurance - 0.9%

AFLAC, Inc.

1,258,100

64,792

Assured Guaranty Ltd.

626,300

10,653

Lincoln National Corp.

928,000

22,161

MetLife, Inc.

1,940,600

74,034

 

171,640

TOTAL FINANCIALS

1,366,556

HEALTH CARE - 6.7%

Biotechnology - 2.0%

Acorda Therapeutics, Inc. (a)

403,500

10,632

Amgen, Inc. (a)

1,436,800

75,705

BioMarin Pharmaceutical, Inc. (a)

1,600,500

43,342

Cephalon, Inc. (a)

596,312

37,860

Gilead Sciences, Inc. (a)

1,869,000

68,219

Neurocrine Biosciences, Inc. (a)(h)

4,436,800

32,300

PDL BioPharma, Inc.

3,215,400

18,585

Theravance, Inc. (a)

831,700

20,776

United Therapeutics Corp. (a)

753,300

47,405

Vertex Pharmaceuticals, Inc. (a)

808,600

26,789

 

381,613

Health Care Equipment & Supplies - 0.7%

Abiomed, Inc. (a)

1,000,000

11,480

C. R. Bard, Inc.

516,500

43,825

Edwards Lifesciences Corp. (a)

254,155

16,866

William Demant Holding AS (a)

734,500

51,162

 

123,333

Common Stocks - continued

Shares

Value (000s)

HEALTH CARE - continued

Health Care Providers & Services - 1.1%

CIGNA Corp.

2,212,900

$ 81,457

McKesson Corp.

745,500

47,637

Medco Health Solutions, Inc. (a)

1,166,905

71,555

 

200,649

Life Sciences Tools & Services - 0.6%

Illumina, Inc. (a)

1,741,950

104,726

PerkinElmer, Inc.

492,500

11,475

 

116,201

Pharmaceuticals - 2.3%

Ardea Biosciences, Inc. (a)

271,200

6,029

Auxilium Pharmaceuticals, Inc. (a)

944,100

17,872

BMP Sunstone Corp. warrants 8/19/12 (a)(p)

59,000

63

Elan Corp. PLC sponsored ADR (a)

1,639,548

8,444

GlaxoSmithKline PLC sponsored ADR

1,847,900

70,738

Johnson & Johnson

356,400

21,936

Merck & Co., Inc.

5,822,840

200,713

Perrigo Co.

469,200

28,265

Shire PLC sponsored ADR

356,000

25,041

Valeant Pharmaceuticals International, Inc.

2,323,611

60,229

 

439,330

TOTAL HEALTH CARE

1,261,126

INDUSTRIALS - 8.4%

Aerospace & Defense - 1.9%

GeoEye, Inc. (a)

442,600

17,642

Goodrich Corp.

765,400

65,648

Precision Castparts Corp.

518,700

71,617

United Technologies Corp.

2,559,300

192,639

 

347,546

Airlines - 0.6%

Delta Air Lines, Inc. (a)

2,782,220

38,061

Southwest Airlines Co.

6,161,700

82,074

 

120,135

Building Products - 0.1%

A.O. Smith Corp.

562,350

22,162

Masonite Worldwide Holdings (a)

5,358

198

Masonite Worldwide Holdings:

warrants 5/20/14 (a)

25,981

45

Common Stocks - continued

Shares

Value (000s)

INDUSTRIALS - continued

Building Products - continued

Masonite Worldwide Holdings: - continued

warrants 5/20/16 (a)

19,485

$ 68

Nortek, Inc. (a)

7,610

312

 

22,785

Construction & Engineering - 0.3%

Fluor Corp.

803,200

46,449

Jacobs Engineering Group, Inc. (a)

464,800

17,895

 

64,344

Electrical Equipment - 0.6%

Acuity Brands, Inc.

335,500

18,070

AMETEK, Inc.

645,700

38,206

Regal-Beloit Corp.

516,000

31,476

Sensata Technologies Holding BV

550,500

15,304

 

103,056

Industrial Conglomerates - 1.4%

General Electric Co.

13,737,700

217,468

Textron, Inc.

1,603,200

35,848

 

253,316

Machinery - 2.3%

Bucyrus International, Inc. Class A

435,300

38,811

CareView Communications, Inc. (a)(h)

10,175,300

13,024

Caterpillar, Inc.

1,538,900

130,191

Cummins, Inc.

837,400

81,328

Danaher Corp.

1,787,600

77,314

Dover Corp.

464,700

25,470

MAN SE

260,012

30,547

Weg SA

2,647,600

34,843

 

431,528

Professional Services - 0.1%

Robert Half International, Inc.

857,700

23,775

Road & Rail - 1.1%

CSX Corp.

1,615,600

98,245

Union Pacific Corp.

1,157,756

104,325

 

202,570

TOTAL INDUSTRIALS

1,569,055

Common Stocks - continued

Shares

Value (000s)

INFORMATION TECHNOLOGY - 13.1%

Communications Equipment - 1.5%

Acme Packet, Inc. (a)

118,100

$ 5,785

Adtran, Inc.

584,100

18,189

HTC Corp.

1,462,000

40,531

Juniper Networks, Inc. (a)

997,500

33,935

Motorola, Inc. (a)

7,902,600

60,534

QUALCOMM, Inc.

2,577,100

120,454

 

279,428

Computers & Peripherals - 3.2%

Apple, Inc. (a)

1,587,800

494,044

Hewlett-Packard Co.

2,279,202

95,567

NetApp, Inc. (a)

371,500

18,920

 

608,531

Electronic Equipment & Components - 1.6%

Agilent Technologies, Inc. (a)

2,466,500

86,377

Amphenol Corp. Class A

1,044,400

52,251

Arrow Electronics, Inc. (a)

540,100

16,749

Avnet, Inc. (a)

1,254,900

38,463

E Ink Holdings, Inc. GDR (a)(i)

140,100

2,693

Ingram Micro, Inc. Class A (a)

1,195,800

21,345

LG Display Co. Ltd. sponsored ADR (g)

913,000

15,558

Tyco Electronics Ltd.

2,206,356

67,117

 

300,553

Internet Software & Services - 2.5%

Akamai Technologies, Inc. (a)

478,300

24,962

eBay, Inc. (a)

3,398,000

98,984

Google, Inc. Class A (a)

548,200

304,640

Mail.ru Group Ltd. GDR unit (a)(i)

580,000

23,780

Sina Corp. (a)

109,069

6,983

 

459,349

IT Services - 1.4%

Accenture PLC Class A

1,020,000

44,186

Cognizant Technology Solutions Corp. Class A (a)

1,416,300

92,031

iGate Corp.

1,270,480

25,410

Teradata Corp. (a)

264,800

10,881

Visa, Inc. Class A

1,162,000

85,814

 

258,322

Office Electronics - 0.2%

Xerox Corp.

3,653,800

41,873

Common Stocks - continued

Shares

Value (000s)

INFORMATION TECHNOLOGY - continued

Semiconductors & Semiconductor Equipment - 1.2%

ASML Holding NV

617,700

$ 20,156

Avago Technologies Ltd.

1,792,000

46,789

Broadcom Corp. Class A

1,258,400

55,986

GT Solar International, Inc. (a)

1,324,000

8,858

Marvell Technology Group Ltd. (a)

2,039,500

39,342

NVIDIA Corp. (a)

1,434,600

19,511

PMC-Sierra, Inc. (a)

1,372,700

9,952

Skyworks Solutions, Inc. (a)

449,800

11,447

Spansion, Inc. Class A (a)

43,744

865

TriQuint Semiconductor, Inc. (a)

1,595,700

19,005

 

231,911

Software - 1.5%

CA, Inc.

2,412,000

55,211

Check Point Software Technologies Ltd. (a)

1,149,100

49,262

Fortinet, Inc.

384,253

12,246

Informatica Corp. (a)

495,230

20,443

Oracle Corp.

3,630,000

98,155

Solera Holdings, Inc.

453,100

21,749

VMware, Inc. Class A (a)

262,300

21,383

 

278,449

TOTAL INFORMATION TECHNOLOGY

2,458,416

MATERIALS - 3.2%

Chemicals - 1.3%

CF Industries Holdings, Inc.

565,800

68,332

FMC Corp.

602,600

46,894

Georgia Gulf Corp. (a)

403,830

8,210

LyondellBasell Industries NV:

Class A (a)

1,192,617

34,836

Class B (a)

1,229,477

35,901

Solutia, Inc. (a)

1,957,200

41,845

Tronox Worldwide LLC/Tronox Worldwide Finance Corp. rights 11/10/10 (a)

87,032

0

 

236,018

Metals & Mining - 1.9%

Alcoa, Inc.

3,506,000

45,999

AngloGold Ashanti Ltd. sponsored ADR

1,557,000

72,914

BHP Billiton PLC

868,466

30,856

Goldcorp, Inc.

871,600

39,556

Common Stocks - continued

Shares

Value (000s)

MATERIALS - continued

Metals & Mining - continued

Newcrest Mining Ltd.

2,621,184

$ 99,601

United States Steel Corp. (g)

899,700

43,734

Walter Energy, Inc.

290,700

29,837

 

362,497

TOTAL MATERIALS

598,515

TELECOMMUNICATION SERVICES - 1.1%

Diversified Telecommunication Services - 0.8%

AboveNet, Inc.

361,900

21,244

AT&T, Inc.

3,047,200

84,682

Qwest Communications International, Inc.

7,666,800

53,668

 

159,594

Wireless Telecommunication Services - 0.3%

Crown Castle International Corp. (a)

368,000

15,287

SOFTBANK CORP.

947,400

32,805

 

48,092

TOTAL TELECOMMUNICATION SERVICES

207,686

UTILITIES - 0.4%

Electric Utilities - 0.1%

FirstEnergy Corp.

708,200

24,865

Gas Utilities - 0.1%

Energen Corp.

378,600

16,496

Multi-Utilities - 0.2%

DTE Energy Co.

740,900

33,007

TOTAL UTILITIES

74,368

TOTAL COMMON STOCKS

(Cost $9,431,539)

11,276,350

Preferred Stocks - 1.0%

 

 

 

 

Convertible Preferred Stocks - 0.2%

CONSUMER DISCRETIONARY - 0.0%

Automobiles - 0.0%

General Motors Co. 4.75% (a)

129,000

6,540

Preferred Stocks - continued

Shares

Value (000s)

Convertible Preferred Stocks - continued

ENERGY - 0.1%

Oil, Gas & Consumable Fuels - 0.1%

Apache Corp. 6.00%

120,800

$ 7,327

Chesapeake Energy Corp.:

4.50%

39,602

3,272

5.00%

6,938

559

El Paso Corp. 4.99% (i)

6,100

7,109

 

18,267

FINANCIALS - 0.1%

Diversified Financial Services - 0.1%

Citigroup, Inc. 7.50%

59,300

7,413

INFORMATION TECHNOLOGY - 0.0%

Internet Software & Services - 0.0%

wetpaint.com, Inc. Series C (a)(p)

497,017

994

MATERIALS - 0.0%

Metals & Mining - 0.0%

AngloGold Ashanti Holdings Finance PLC 6.00% (a)

108,900

5,793

UTILITIES - 0.0%

Electric Utilities - 0.0%

AES Trust III 6.75%

126,300

6,091

TOTAL CONVERTIBLE PREFERRED STOCKS

45,098

Nonconvertible Preferred Stocks - 0.8%

CONSUMER DISCRETIONARY - 0.7%

Automobiles - 0.7%

Porsche Automobil Holding SE

292,200

21,969

Volkswagen AG

677,300

108,824

 

130,793

Media - 0.0%

Muzak Holdings LLC 10.00% pay-in-kind (a)

210,761

171

TOTAL CONSUMER DISCRETIONARY

130,964

Preferred Stocks - continued

Shares

Value (000s)

Nonconvertible Preferred Stocks - continued

FINANCIALS - 0.1%

Diversified Financial Services - 0.1%

GMAC LLC 7.00% (i)

11,951

$ 10,367

TOTAL NONCONVERTIBLE PREFERRED STOCKS

141,331

TOTAL PREFERRED STOCKS

(Cost $142,657)

186,429

Corporate Bonds - 10.8%

 

Principal Amount (000s)

 

Convertible Bonds - 0.3%

CONSUMER DISCRETIONARY - 0.1%

Media - 0.0%

Liberty Media Corp.:

3.5% 1/15/31

$ 506

360

3.5% 1/15/31 (i)

3,742

2,663

 

3,023

Specialty Retail - 0.1%

United Auto Group, Inc. 3.5% 4/1/26

8,280

8,404

Textiles, Apparel & Luxury Goods - 0.0%

Iconix Brand Group, Inc. 1.875% 6/30/12

8,200

8,098

TOTAL CONSUMER DISCRETIONARY

19,525

ENERGY - 0.0%

Oil, Gas & Consumable Fuels - 0.0%

Alpha Natural Resources, Inc. 2.375% 4/15/15

1,350

1,646

Peabody Energy Corp. 4.75% 12/15/66

6,300

7,867

 

9,513

INFORMATION TECHNOLOGY - 0.0%

Semiconductors & Semiconductor Equipment - 0.0%

Advanced Micro Devices, Inc. 6% 5/1/15 (i)

2,860

2,852

MATERIALS - 0.1%

Construction Materials - 0.0%

Headwaters, Inc. 2.5% 2/1/14

4,920

4,182

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Convertible Bonds - continued

MATERIALS - continued

Containers & Packaging - 0.1%

Owens-Brockway Glass Container, Inc. 3% 6/1/15 (i)

$ 7,600

$ 7,434

TOTAL MATERIALS

11,616

TELECOMMUNICATION SERVICES - 0.1%

Diversified Telecommunication Services - 0.1%

Qwest Communications International, Inc. 3.5% 11/15/25

9,500

13,888

TOTAL CONVERTIBLE BONDS

57,394

Nonconvertible Bonds - 10.5%

CONSUMER DISCRETIONARY - 1.8%

Auto Components - 0.1%

DaimlerChrysler NA Holding Corp.:

5.75% 9/8/11

3,297

3,420

5.875% 3/15/11

1,224

1,242

Tenneco, Inc. 8.625% 11/15/14

9,810

10,080

Tower Automotive Holdings USA LLC / TA Holdings Finance, Inc. 10.625% 9/1/17 (i)

3,515

3,708

TRW Automotive, Inc. 7% 3/15/14 (i)

3,335

3,585

 

22,035

Automobiles - 0.1%

Ford Motor Co.:

6.375% 2/1/29

2,190

2,146

6.625% 10/1/28

2,355

2,331

7.45% 7/16/31

665

715

General Motors Corp.:

6.75% 5/1/28 (e)

390

118

7.125% 7/15/13 (e)

1,135

341

7.2% 1/15/11 (e)

2,855

864

7.4% 9/1/25 (e)

195

59

7.7% 4/15/16 (e)

705

217

8.25% 7/15/23 (e)

4,495

1,393

8.375% 7/15/33 (e)

15,330

4,829

 

13,013

Distributors - 0.0%

Ferrellgas LP/Ferrellgas Finance Corp. 6.5% 5/1/21 (i)

1,745

1,701

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Diversified Consumer Services - 0.1%

ServiceMaster Co. 10.75% 7/15/15 pay-in-kind (i)(n)

$ 13,000

$ 13,715

Hotels, Restaurants & Leisure - 0.3%

American Casino & Entertainment Properties LLC 11% 6/15/14

3,090

3,059

Blue Acquisition Sub, Inc. 9.875% 10/15/18 (i)

3,250

3,413

Chukchansi Economic Development Authority:

3.9428% 11/15/12 (i)(n)

1,140

747

8% 11/15/13 (i)

1,890

1,231

DineEquity, Inc. 9.5% 10/30/18 (i)

2,070

2,132

Dunkin Finance Corp. 9.625% 12/1/18 (i)

3,815

3,834

Landry's Restaurants, Inc. 11.625% 12/1/15

760

806

MCE Finance Ltd. 10.25% 5/15/18 (i)

4,620

5,221

MGM Mirage, Inc.:

5.875% 2/27/14

4,008

3,547

6.625% 7/15/15

5,080

4,394

6.75% 4/1/13

80

76

7.5% 6/1/16

5,580

4,855

9% 3/15/20 (i)

1,770

1,929

11.125% 11/15/17

5,175

5,848

13% 11/15/13

10,000

11,750

MGM Resorts International 10% 11/1/16 (i)

3,055

2,948

NCL Corp. Ltd. 9.5% 11/15/18 (i)

565

561

San Pasqual Casino Development Group, Inc. 8% 9/15/13 (i)

1,080

1,069

Shingle Springs Tribal Gaming Authority 9.375% 6/15/15 (i)

2,270

1,612

Station Casinos, Inc.:

6% 4/1/12 (e)

7,405

1

7.75% 8/15/16 (e)

1,735

0*

Waterford Gaming LLC/Waterford Gaming Finance Corp. 8.625% 9/15/14 (i)

1,372

748

 

59,781

Household Durables - 0.1%

Fortune Brands, Inc.:

5.375% 1/15/16

7,225

7,541

5.875% 1/15/36

1,512

1,341

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Household Durables - continued

Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer SA:

7.125% 4/15/19 (i)

$ 1,140

$ 1,149

9% 4/15/19 (i)

1,305

1,325

 

11,356

Media - 1.0%

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

5,995

6,385

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

11,727

13,794

Charter Communications Operating LLC/Charter Communications Operating Capital Corp. 8% 4/30/12 (i)(n)

520

543

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

1,290

780

Clear Channel Communications, Inc.:

4.4% 5/15/11

4,675

4,628

5% 3/15/12

4,405

4,229

6.25% 3/15/11

2,510

2,497

11% 8/1/16 pay-in-kind (n)

5,757

4,217

Clear Channel Worldwide Holdings, Inc.:

Series A, 9.25% 12/15/17

780

827

Series B, 9.25% 12/15/17

3,120

3,331

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

301

304

Comcast Corp.:

4.95% 6/15/16

1,107

1,221

5.5% 3/15/11

225

228

5.7% 5/15/18

9,509

10,704

6.4% 3/1/40

2,111

2,250

6.45% 3/15/37

1,033

1,109

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

2,632

2,833

Discovery Communications LLC:

3.7% 6/1/15

3,191

3,357

6.35% 6/1/40

3,224

3,512

EchoStar Communications Corp.:

6.625% 10/1/14

3,000

3,098

7.75% 5/31/15

3,705

3,927

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

1,625

1,682

Gray Television, Inc. 10.5% 6/29/15

990

985

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Media - continued

Kabel Deutschland GmbH 10.625% 7/1/14

$ 4,730

$ 4,925

Lamar Media Corp. 7.875% 4/15/18

1,400

1,491

LBI Media, Inc. 8.5% 8/1/17 (i)

6,320

5,151

Liberty Media Corp. 8.25% 2/1/30

2,778

2,736

NBC Universal, Inc.:

3.65% 4/30/15 (i)

3,687

3,860

5.15% 4/30/20 (i)

4,917

5,241

6.4% 4/30/40 (i)

4,249

4,519

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

6,290

7,430

Nexstar Broadcasting, Inc.:

0.5% 1/15/14 pay-in-kind (f)

6,008

5,816

7% 1/15/14

1,977

1,937

Nexstar Finance Holdings LLC/Nexstar Finance Holdings, Inc. 11.375% 4/1/13

4,033

4,114

Nielsen Finance LLC/Nielsen Finance Co.:

7.75% 10/15/18 (i)

3,165

3,220

11.5% 5/1/16

3,000

3,420

11.625% 2/1/14

1,800

2,052

Radio One, Inc. 12.5% 5/11/16 pay-in-kind (n)

4,005

3,605

Rainbow National Services LLC 10.375% 9/1/14 (i)

7,775

8,028

The Reader's Digest Association, Inc. 9.5% 2/15/17 (i)(n)

5,235

5,183

Time Warner Cable, Inc.:

5.4% 7/2/12

1,440

1,534

5.85% 5/1/17

2,500

2,853

6.2% 7/1/13

1,369

1,533

6.75% 7/1/18

691

820

Time Warner, Inc.:

5.875% 11/15/16

2,609

3,005

6.2% 3/15/40

2,618

2,790

6.5% 11/15/36

2,633

2,885

TL Acquisitions, Inc. 10.5% 1/15/15 (i)

5,860

5,948

Univision Communications, Inc. 7.875% 11/1/20 (i)

1,430

1,473

Vertis, Inc. 13.5% 4/1/14 pay-in-kind (e)

740

22

Videotron Ltd. 9.125% 4/15/18

5,565

6,135

 

178,167

Multiline Retail - 0.0%

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

3,850

3,581

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Specialty Retail - 0.1%

Asbury Automotive Group, Inc. 8.375% 11/15/20 (i)

$ 565

$ 572

Burlington Coat Factory Warehouse Corp. 11.125% 4/15/14

5,220

5,364

Claire's Stores, Inc. 9.25% 6/1/15

780

725

General Nutrition Centers, Inc. 5.75% 3/15/14 pay-in-kind (n)

1,330

1,290

Michaels Stores, Inc. 7.75% 11/1/18 (i)

1,665

1,623

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

3,260

3,293

Sonic Automotive, Inc.:

8.625% 8/15/13

1,511

1,530

9% 3/15/18

1,000

1,030

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

5,165

5,759

Toys 'R' Us, Inc. 7.875% 4/15/13

4,995

5,182

 

26,368

Textiles, Apparel & Luxury Goods - 0.0%

Hanesbrands, Inc. 6.375% 12/15/20 (i)

2,860

2,724

TOTAL CONSUMER DISCRETIONARY

332,441

CONSUMER STAPLES - 0.4%

Beverages - 0.1%

Anheuser-Busch InBev Worldwide, Inc.:

2.5% 3/26/13

1,779

1,827

5.375% 11/15/14 (i)

4,022

4,496

Diageo Capital PLC 5.2% 1/30/13

3,201

3,487

FBG Finance Ltd. 5.125% 6/15/15 (i)

1,730

1,891

PepsiCo, Inc. 4.875% 11/1/40

3,860

3,780

 

15,481

Food & Staples Retailing - 0.1%

CVS Caremark Corp. 6.302% 6/1/37 (n)

2,791

2,648

Rite Aid Corp.:

7.5% 3/1/17

13,280

12,550

10.375% 7/15/16

5,420

5,637

 

20,835

Food Products - 0.1%

Cargill, Inc. 6% 11/27/17 (i)

417

487

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

1,030

1,004

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

CONSUMER STAPLES - continued

Food Products - continued

Kraft Foods, Inc.:

5.375% 2/10/20

$ 5,528

$ 6,148

5.625% 11/1/11

2,156

2,249

6.5% 8/11/17

4,486

5,354

6.75% 2/19/14

318

368

 

15,610

Tobacco - 0.1%

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

13,393

17,989

Reynolds American, Inc.:

6.75% 6/15/17

1,756

2,000

7.25% 6/15/37

6,525

6,933

 

26,922

TOTAL CONSUMER STAPLES

78,848

ENERGY - 1.1%

Energy Equipment & Services - 0.1%

Calfrac Holdings LP 7.5% 12/1/20 (i)

1,435

1,428

DCP Midstream LLC 5.35% 3/15/20 (i)

4,910

5,231

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

5,488

5,508

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

4,735

4,498

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

860

851

Hercules Offshore, Inc. 10.5% 10/15/17 (i)

1,610

1,280

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

1,580

1,608

Pride International, Inc. 6.875% 8/15/20

1,355

1,430

Weatherford International Ltd.:

4.95% 10/15/13

1,026

1,099

5.15% 3/15/13

1,341

1,426

 

24,359

Oil, Gas & Consumable Fuels - 1.0%

Anadarko Petroleum Corp.:

6.375% 9/15/17

4,295

4,638

6.95% 6/15/19

2,055

2,314

8.7% 3/15/19

2,040

2,491

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

4,470

4,638

Apache Corp. 5.1% 9/1/40

4,384

4,272

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Arch Coal, Inc. 7.25% 10/1/20

$ 720

$ 770

ATP Oil & Gas Corp. 11.875% 5/1/15 (i)

9,495

8,486

BW Group Ltd. 6.625% 6/28/17 (i)

1,742

1,776

Chesapeake Energy Corp. 6.5% 8/15/17

3,280

3,313

Connacher Oil and Gas Ltd. 10.25% 12/15/15 (i)

5,990

5,990

ConocoPhillips 5.75% 2/1/19

7,588

8,950

Denbury Resources, Inc. 8.25% 2/15/20

1,973

2,131

Drummond Co., Inc.:

7.375% 2/15/16

5,000

5,100

9% 10/15/14 (i)

1,155

1,224

Duke Capital LLC 6.25% 2/15/13

589

642

Duke Energy Field Services:

5.375% 10/15/15 (i)

720

798

6.45% 11/3/36 (i)

3,753

3,861

6.875% 2/1/11

1,363

1,376

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

551

601

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

1,702

1,913

Enterprise Products Operating LP 5.65% 4/1/13

410

444

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

2,276

2,415

LINN Energy LLC 8.625% 4/15/20 (i)

2,840

3,010

Motiva Enterprises LLC:

5.75% 1/15/20 (i)

1,746

1,991

6.85% 1/15/40 (i)

6,648

7,749

Nakilat, Inc. 6.067% 12/31/33 (i)

1,839

1,959

Nexen, Inc.:

5.05% 11/20/13

2,265

2,459

5.2% 3/10/15

535

586

5.875% 3/10/35

2,365

2,365

6.4% 5/15/37

4,230

4,527

NGPL PipeCo LLC 6.514% 12/15/12 (i)

2,099

2,261

OPTI Canada, Inc.:

7.875% 12/15/14

2,745

1,887

8.25% 12/15/14

2,055

1,439

Petrobras International Finance Co. Ltd.:

5.75% 1/20/20

2,100

2,268

6.875% 1/20/40

6,871

7,421

7.875% 3/15/19

5,157

6,321

Petroleum Development Corp. 12% 2/15/18

4,240

4,749

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

1,389

1,533

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Plains All American Pipeline LP/PAA Finance Corp. 6.125% 1/15/17

$ 1,880

$ 2,107

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

1,232

1,358

Ras Laffan Liquefied Natural Gas Co. Ltd. III:

4.5% 9/30/12 (i)

2,588

2,717

5.5% 9/30/14 (i)

3,617

3,949

5.832% 9/30/16 (i)

706

779

6.332% 9/30/27 (i)

5,710

6,258

6.75% 9/30/19 (i)

2,367

2,785

Regency Energy Partners LP/Regency Energy Finance Corp. 6.875% 12/1/18

2,550

2,627

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

1,603

1,733

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

10,070

10,246

Suncor Energy, Inc.:

6.1% 6/1/18

6,842

7,952

6.85% 6/1/39

6,550

7,622

Talisman Energy, Inc. yankee 6.25% 2/1/38

2,650

2,841

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

948

1,103

XTO Energy, Inc.:

5% 1/31/15

1,031

1,171

5.65% 4/1/16

707

832

 

176,748

TOTAL ENERGY

201,107

FINANCIALS - 3.3%

Capital Markets - 0.5%

Bear Stearns Companies, Inc.:

5.3% 10/30/15

8,189

9,031

6.95% 8/10/12

3,566

3,908

BlackRock, Inc. 6.25% 9/15/17

823

950

Goldman Sachs Group, Inc.:

3.7% 8/1/15

3,478

3,552

5.95% 1/18/18

2,350

2,548

6.75% 10/1/37

4,509

4,514

7.5% 2/15/19

5,036

5,867

JPMorgan Chase Capital XX 6.55% 9/29/36

7,545

7,494

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Capital Markets - continued

Lazard Group LLC:

6.85% 6/15/17

$ 2,275

$ 2,415

7.125% 5/15/15

811

892

Merrill Lynch & Co., Inc.:

5.45% 2/5/13

2,743

2,887

6.4% 8/28/17

2,868

3,073

6.875% 4/25/18

2,917

3,202

Morgan Stanley:

0.5891% 1/9/14 (n)

2,547

2,434

2.7856% 5/14/13 (n)

6,662

6,874

4.75% 4/1/14

468

486

5.95% 12/28/17

324

342

6% 5/13/14

4,650

5,069

7.3% 5/13/19

4,941

5,547

Penson Worldwide, Inc. 12.5% 5/15/17 (i)

1,765

1,615

The Bank of New York, Inc.:

4.3% 5/15/14

4,756

5,174

4.95% 11/1/12

2,277

2,454

UBS AG Stamford Branch:

3.875% 1/15/15

8,000

8,395

5.75% 4/25/18

618

684

 

89,407

Commercial Banks - 0.7%

Ally Financial, Inc. 6.25% 12/1/17 (i)

1,800

1,746

Bank of America NA 5.3% 3/15/17

11,915

12,062

CIT Group, Inc.:

7% 5/1/13

1,417

1,424

7% 5/1/14

2,126

2,102

7% 5/1/15

16,251

16,007

7% 5/1/16

5,173

5,069

7% 5/1/17

20,375

19,967

Comerica, Inc. 3% 9/16/15

548

550

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

9,961

10,857

DBS Bank Ltd. (Singapore) 0.5044% 5/16/17 (i)(n)

2,442

2,362

Discover Bank:

7% 4/15/20

2,178

2,363

8.7% 11/18/19

1,651

1,971

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Commercial Banks - continued

Export-Import Bank of Korea:

5.125% 2/14/11

$ 1,720

$ 1,733

5.25% 2/10/14 (i)

333

357

5.5% 10/17/12

1,329

1,410

Fifth Third Bancorp:

4.5% 6/1/18

418

411

8.25% 3/1/38

2,107

2,419

Fifth Third Bank 4.75% 2/1/15

680

717

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

1,670

1,553

HBOS PLC 6.75% 5/21/18 (i)

408

391

JPMorgan Chase Bank 6% 10/1/17

1,234

1,386

KeyBank NA:

5.8% 7/1/14

3,132

3,406

7% 2/1/11

662

668

KeyBank NA, Cleveland 5.45% 3/3/16

1,877

2,019

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

547

540

Marshall & Ilsley Bank:

4.85% 6/16/15

2,002

1,798

5% 1/17/17

3,062

2,673

5.25% 9/4/12

1,440

1,460

PNC Funding Corp. 3.625% 2/8/15

1,361

1,417

Regions Bank:

6.45% 6/26/37

3,796

3,189

7.5% 5/15/18

2,851

2,748

Regions Financial Corp.:

5.75% 6/15/15

940

877

7.75% 11/10/14

4,251

4,145

SVB Financial Group 5.375% 9/15/20

753

751

UniCredit Luxembourg Finance SA 5.584% 1/13/17 (i)(n)

846

831

UnionBanCal Corp. 5.25% 12/16/13

390

426

Wachovia Bank NA 4.875% 2/1/15

829

889

Wachovia Corp.:

5.625% 10/15/16

2,003

2,245

5.75% 6/15/17

1,728

1,935

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Commercial Banks - continued

Wells Fargo & Co.:

3.625% 4/15/15

$ 5,239

$ 5,499

3.75% 10/1/14

2,366

2,497

 

126,870

Consumer Finance - 0.5%

Discover Financial Services 6.45% 6/12/17

8,700

9,276

Ford Motor Credit Co. LLC 8.125% 1/15/20

5,000

5,730

General Electric Capital Corp.:

2.25% 11/9/15

3,867

3,746

3.5% 6/29/15

2,343

2,421

5.625% 9/15/17

17,812

19,610

General Motors Acceptance Corp.:

6.875% 9/15/11

1,360

1,384

6.875% 8/28/12

3,685

3,805

8% 11/1/31

2,055

2,095

GMAC LLC:

6% 12/15/11

880

895

6.75% 12/1/14

6,105

6,181

6.875% 9/15/11

1,365

1,389

8% 12/31/18

5,795

5,853

8% 11/1/31

13,691

14,068

Household Finance Corp. 6.375% 10/15/11

1,096

1,146

HSBC Finance Corp. 5.25% 1/14/11

771

775

ORIX Corp. 5.48% 11/22/11

227

234

SLM Corp.:

0.4922% 3/15/11 (n)

66

65

0.5184% 10/25/11 (n)

5,381

5,280

5.625% 8/1/33

280

216

8% 3/25/20

4,125

4,146

8.45% 6/15/18

7,515

7,841

 

96,156

Diversified Financial Services - 0.7%

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

3,225

3,339

BP Capital Markets PLC 3.625% 5/8/14

4,637

4,814

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

6,880

7,190

Capital One Capital V 10.25% 8/15/39

1,718

1,817

CCO Holdings LLC/CCO Holdings Capital Corp.:

7.875% 4/30/18 (i)

1,460

1,515

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Diversified Financial Services - continued

CCO Holdings LLC/CCO Holdings Capital Corp.: - continued

8.125% 4/30/20 (i)

$ 3,485

$ 3,651

Citigroup, Inc.:

4.75% 5/19/15

6,072

6,333

5.375% 8/9/20

7,000

7,151

5.5% 4/11/13

6,263

6,713

6.125% 5/15/18

9,915

10,805

6.5% 1/18/11

770

776

6.5% 8/19/13

15,826

17,454

Icahn Enterprises LP/Icahn Enterprises Finance Corp.:

7.75% 1/15/16

2,500

2,513

7.75% 1/15/16 (i)

5,125

5,151

8% 1/15/18

2,500

2,513

International Lease Finance Corp.:

5.625% 9/20/13

150

148

5.65% 6/1/14

4,439

4,306

6.375% 3/25/13

2,427

2,439

6.625% 11/15/13

8,252

8,273

JPMorgan Chase & Co.:

4.65% 6/1/14

6,500

7,028

6.3% 4/23/19

2,800

3,201

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

6,750

6,092

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

2,905

3,065

Prime Property Funding, Inc.:

5.125% 6/1/15 (i)

642

624

5.5% 1/15/14 (i)

409

412

5.7% 4/15/17 (i)

999

904

TECO Finance, Inc.:

4% 3/15/16

1,242

1,295

5.15% 3/15/20

1,785

1,908

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

3,930

4,470

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

1,908

2,015

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

7,581

8,056

ZFS Finance USA Trust II 6.45% 12/15/65 (i)(n)

2,951

2,877

ZFS Finance USA Trust IV 5.875% 5/9/62 (i)(n)

961

919

 

139,767

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Insurance - 0.3%

American International Group, Inc. 6.4% 12/15/20

$ 2,756

$ 2,749

Aon Corp.:

3.5% 9/30/15

2,098

2,128

5% 9/30/20

2,219

2,268

6.25% 9/30/40

1,570

1,592

Assurant, Inc. 5.625% 2/15/14

1,126

1,189

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

329

353

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

878

867

HUB International Holdings, Inc. 9% 12/15/14 (i)

3,710

3,691

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

444

483

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

350

313

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

4,201

5,611

MetLife, Inc.:

5% 6/15/15

686

753

5.875% 2/6/41

1,540

1,579

6.125% 12/1/11

583

612

6.75% 6/1/16

3,874

4,589

Metropolitan Life Global Funding I:

5.125% 4/10/13 (i)

329

356

5.125% 6/10/14 (i)

3,462

3,837

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

973

993

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

1,297

1,400

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

2,164

2,565

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

2,640

2,866

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

1,995

2,145

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

2,976

3,791

Pacific LifeCorp 6% 2/10/20 (i)

3,662

3,981

Prudential Financial, Inc.:

3.875% 1/14/15

2,500

2,625

5.15% 1/15/13

1,277

1,368

7.375% 6/15/19

1,880

2,253

8.875% 6/15/38 (n)

1,751

2,014

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

3,053

3,151

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Insurance - continued

Unum Group 5.625% 9/15/20

$ 2,591

$ 2,623

USI Holdings Corp. 4.1606% 11/15/14 (i)(n)

2,920

2,497

 

67,242

Real Estate Investment Trusts - 0.2%

AvalonBay Communities, Inc.:

4.95% 3/15/13

216

232

5.5% 1/15/12

743

777

Camden Property Trust:

5.375% 12/15/13

2,150

2,324

5.875% 11/30/12

395

423

Developers Diversified Realty Corp.:

5.25% 4/15/11

1,903

1,925

5.375% 10/15/12

1,735

1,787

7.5% 4/1/17

2,243

2,517

Duke Realty LP:

4.625% 5/15/13

527

548

5.875% 8/15/12

71

75

Equity One, Inc.:

6% 9/15/17

522

533

6.25% 1/15/17

291

303

Federal Realty Investment Trust:

5.4% 12/1/13

257

278

5.9% 4/1/20

1,213

1,333

6% 7/15/12

1,728

1,841

6.2% 1/15/17

365

414

HRPT Properties Trust:

5.75% 11/1/15

524

553

6.25% 6/15/17

726

763

6.65% 1/15/18

490

524

Omega Healthcare Investors, Inc.:

6.75% 10/15/22 (i)

1,885

1,890

7% 1/15/16

4,090

4,141

Senior Housing Properties Trust 8.625% 1/15/12

5,910

6,206

Washington (REIT) 5.95% 6/15/11

2,173

2,219

 

31,606

Real Estate Management & Development - 0.3%

AMB Property LP 5.9% 8/15/13

1,520

1,624

Arden Realty LP 5.2% 9/1/11

789

814

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Real Estate Management & Development - continued

BioMed Realty LP 6.125% 4/15/20 (i)

$ 1,607

$ 1,734

Brandywine Operating Partnership LP:

5.625% 12/15/10

2,456

2,459

5.75% 4/1/12

1,118

1,154

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

900

896

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

2,465

2,530

Duke Realty LP:

5.4% 8/15/14

405

431

5.5% 3/1/16

2,930

3,108

5.625% 8/15/11

4,654

4,761

8.25% 8/15/19

1,608

1,927

DuPont Fabros Technology LP 8.5% 12/15/17

805

871

ERP Operating LP:

4.75% 7/15/20

3,458

3,573

5.5% 10/1/12

279

300

Liberty Property LP:

4.75% 10/1/20

5,285

5,397

5.125% 3/2/15

656

713

5.5% 12/15/16

893

986

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

575

583

Post Apartment Homes LP 6.3% 6/1/13

2,240

2,403

Realogy Corp. 10.5% 4/15/14

6,555

5,670

Regency Centers LP:

4.95% 4/15/14

360

380

5.25% 8/1/15

1,257

1,340

5.875% 6/15/17

639

701

Simon Property Group LP:

4.2% 2/1/15

1,785

1,905

6.75% 5/15/14

4,302

4,927

Tanger Properties LP:

6.125% 6/1/20

2,005

2,204

6.15% 11/15/15

851

944

Ventas Realty LP 6.5% 6/1/16

660

690

 

55,025

Thrifts & Mortgage Finance - 0.1%

Bank of America Corp.:

3.7% 9/1/15

2,815

2,778

5.65% 5/1/18

7,144

7,320

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Thrifts & Mortgage Finance - continued

Bank of America Corp.: - continued

7.375% 5/15/14

$ 26

$ 29

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

3,622

3,904

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

2,485

2,439

 

16,470

TOTAL FINANCIALS

622,543

HEALTH CARE - 0.5%

Health Care Providers & Services - 0.5%

Apria Healthcare Group, Inc.:

11.25% 11/1/14

2,370

2,571

12.375% 11/1/14

3,645

4,028

Coventry Health Care, Inc.:

5.95% 3/15/17

1,030

1,041

6.3% 8/15/14

2,132

2,253

DaVita, Inc.:

6.375% 11/1/18

1,795

1,777

6.625% 11/1/20

1,555

1,547

Express Scripts, Inc. 6.25% 6/15/14

1,491

1,695

HCA Holdings, Inc. 7.75% 5/15/21 (i)

11,880

11,672

HCA, Inc.:

6.375% 1/15/15

435

427

7.875% 2/15/20

4,825

5,129

9.25% 11/15/16

7,940

8,277

9.875% 2/15/17

850

929

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

3,728

3,729

Multiplan, Inc. 9.875% 9/1/18 (i)

3,385

3,580

NMH Holdings, Inc. 7.4172% 6/15/14 pay-in-kind (i)(n)

0*

0*

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

655

665

Surgical Care Affiliates LLC 8.875% 7/15/15 pay-in-kind (i)(n)

4,790

4,909

Team Finance LLC/Health Finance Corp. 11.25% 12/1/13

1,416

1,442

Tenet Healthcare Corp.:

8.875% 7/1/19

8,005

8,605

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

HEALTH CARE - continued

Health Care Providers & Services - continued

Tenet Healthcare Corp.: - continued

9% 5/1/15

$ 1,002

$ 1,082

9.875% 7/1/14

4,690

5,077

10% 5/1/18

5,002

5,590

UHS Escrow Corp. 7% 10/1/18 (i)

420

440

United Surgical Partners International, Inc. 8.875% 5/1/17

10,745

11,121

 

87,586

Health Care Technology - 0.0%

MedAssets, Inc. 8% 11/15/18 (i)

570

573

Pharmaceuticals - 0.0%

Novartis Capital Corp. 4.125% 2/10/14

1,727

1,868

Roche Holdings, Inc. 5% 3/1/14 (i)

3,501

3,901

Valeant Pharmaceuticals International:

6.75% 10/1/17 (i)

1,330

1,313

7% 10/1/20 (i)

1,775

1,740

 

8,822

TOTAL HEALTH CARE

96,981

INDUSTRIALS - 0.7%

Aerospace & Defense - 0.1%

BAE Systems Holdings, Inc.:

6.375% 6/1/19 (i)

3,650

4,195

6.4% 12/15/11 (i)

482

503

DRS Technologies, Inc.:

6.625% 2/1/16

3,760

3,873

7.625% 2/1/18

1,830

1,895

 

10,466

Air Freight & Logistics - 0.0%

CEVA Group PLC 11.5% 4/1/18 (i)

5,680

6,078

CHC Helicopter SA 9.25% 10/15/20 (i)

840

857

 

6,935

Airlines - 0.1%

Air Canada:

9.25% 8/1/15 (i)

1,950

2,048

12% 2/1/16 (i)

2,470

2,581

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

INDUSTRIALS - continued

Airlines - continued

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

$ 37

$ 38

Continental Airlines, Inc.:

pass-thru trust certificates:

8.388% 5/1/22

69

70

9.798% 4/1/21

5,780

5,910

6.648% 3/15/19

1,662

1,742

6.82% 5/1/18

130

138

6.9% 7/2/19

482

514

7.339% 4/19/14

1,581

1,589

Delta Air Lines, Inc.:

7.9% 12/15/09 (a)

27,035

0

8.3% 12/15/29 (a)

15,711

0

9.5% 9/15/14 (i)

872

946

10.375% 2/1/11 (a)

8,640

0

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

6.821% 8/10/22

199

212

7.779% 1/2/12

455

459

U.S. Airways pass-thru trust certificates:

6.85% 7/30/19

1,130

1,094

8.36% 7/20/20

778

793

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

1,110

1,206

 

19,340

Building Products - 0.1%

Nortek, Inc. 11% 12/1/13

7,644

8,064

Commercial Services & Supplies - 0.2%

Casella Waste Systems, Inc. 11% 7/15/14

1,015

1,117

Cenveo Corp. 10.5% 8/15/16 (i)

2,590

2,661

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

1,920

1,960

International Lease Finance Corp.:

5.875% 5/1/13

895

891

6.75% 9/1/16 (i)

2,415

2,560

7.125% 9/1/18 (i)

7,560

8,108

8.625% 9/15/15 (i)

4,640

4,918

8.75% 3/15/17 (i)

2,845

3,037

United Rentals North America, Inc. 8.375% 9/15/20

2,740

2,699

 

27,951

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

INDUSTRIALS - continued

Electrical Equipment - 0.1%

Sensus Metering Systems, Inc. 8.625% 12/15/13

$ 11,608

$ 11,782

Industrial Conglomerates - 0.1%

General Electric Co. 5.25% 12/6/17

17,378

19,005

Sequa Corp.:

11.75% 12/1/15 (i)

2,355

2,508

13.5% 12/1/15 pay-in-kind (i)

774

840

 

22,353

Machinery - 0.0%

Accuride Corp. 9.5% 8/1/18 (i)

280

298

ArvinMeritor, Inc. 10.625% 3/15/18

1,080

1,212

Commercial Vehicle Group, Inc. 8% 7/1/13

1,730

1,557

Navistar International Corp. 8.25% 11/1/21

1,735

1,839

 

4,906

Marine - 0.0%

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

1,035

1,044

Navios Maritime Holdings, Inc.:

8.875% 11/1/17

1,420

1,516

9.5% 12/15/14

3,670

3,798

 

6,358

Road & Rail - 0.0%

Western Express, Inc. 12.5% 4/15/15 (i)

1,530

1,302

Trading Companies & Distributors - 0.0%

Aircastle Ltd. 9.75% 8/1/18

790

863

VWR Funding, Inc. 10.25% 7/15/15 pay-in-kind (n)

6,686

7,020

 

7,883

TOTAL INDUSTRIALS

127,340

INFORMATION TECHNOLOGY - 0.5%

Communications Equipment - 0.1%

Avaya, Inc. 10.125% 11/1/15 pay-in-kind (n)

8,898

8,787

Lucent Technologies, Inc.:

6.45% 3/15/29

16,060

13,009

6.5% 1/15/28

1,025

830

 

22,626

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

INFORMATION TECHNOLOGY - continued

Electronic Equipment & Components - 0.1%

Reddy Ice Corp. 11.25% 3/15/15

$ 4,645

$ 4,691

Tyco Electronics Group SA:

5.95% 1/15/14

1,738

1,929

6% 10/1/12

2,284

2,449

6.55% 10/1/17

815

935

 

10,004

Internet Software & Services - 0.0%

Terremark Worldwide, Inc. 9.5% 11/15/13 (i)

1,610

1,594

IT Services - 0.1%

Ceridian Corp. 11.25% 11/15/15

2,730

2,607

SunGard Data Systems, Inc.:

4.875% 1/15/14

12,355

12,309

7.375% 11/15/18 (i)

1,730

1,713

7.625% 11/15/20 (i)

1,730

1,721

 

18,350

Office Electronics - 0.0%

Xerox Corp. 5.5% 5/15/12

944

998

Semiconductors & Semiconductor Equipment - 0.2%

Freescale Semiconductor, Inc.:

9.25% 4/15/18 (i)

4,030

4,221

10.125% 12/15/16

7,465

7,054

10.125% 3/15/18 (i)

10,240

11,187

NXP BV/NXP Funding LLC:

3.0391% 10/15/13 (n)

715

674

7.875% 10/15/14

6,000

6,135

9.75% 8/1/18 (i)

1,480

1,595

Spansion LLC:

7.875% 11/15/17 (i)

1,150

1,140

11.25% 1/15/16 (e)(i)

905

605

Viasystems, Inc. 12% 1/15/15 (i)

2,225

2,492

 

35,103

TOTAL INFORMATION TECHNOLOGY

88,675

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

MATERIALS - 0.4%

Chemicals - 0.2%

Dow Chemical Co.:

4.25% 11/15/20

$ 4,800

$ 4,674

7.6% 5/15/14

5,979

6,983

Ferro Corp. 7.875% 8/15/18

555

580

Georgia Gulf Corp. 9% 1/15/17 (i)

3,040

3,306

Hexion US Finance Corp./Hexion Nova Scotia Finance ULC 9% 11/15/20 (i)

335

335

Huntsman International LLC:

8.625% 3/15/20

1,635

1,745

8.625% 3/15/21 (i)

610

659

Momentive Performance Materials, Inc. 9% 1/15/21 (i)

520

523

Tronox Worldwide LLC/Tronox Worldwide Finance Corp. 9.5% 12/1/12 (e)

5,000

7,844

 

26,649

Construction Materials - 0.0%

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

1,080

1,189

Containers & Packaging - 0.0%

Crown Americas LLC/Capital Corp. II 7.625% 5/15/17

1,970

2,108

Crown Americas LLC/Crown Americas Capital Corp. 7.75% 11/15/15

4,000

4,120

Owens-Illinois, Inc. 7.8% 5/15/18

350

375

 

6,603

Metals & Mining - 0.2%

Anglo American Capital PLC 4.45% 9/27/20 (i)

1,181

1,216

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

1,164

1,226

Corporacion Nacional del Cobre (Codelco):

3.75% 11/4/20 (i)

1,697

1,659

6.375% 11/30/12 (i)

1,179

1,286

Edgen Murray Corp. 12.25% 1/15/15

7,385

6,203

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

3,575

3,629

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

4,850

4,438

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

1,335

1,368

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

4,670

4,857

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

3,880

3,371

Vale Overseas Ltd. 6.25% 1/23/17

1,368

1,553

 

30,806

Paper & Forest Products - 0.0%

ABI Escrow Corp. 10.25% 10/15/18 (i)

4,080

4,264

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

MATERIALS - continued

Paper & Forest Products - continued

Clearwater Paper Corp. 7.125% 11/1/18 (i)

$ 485

$ 495

Mercer International, Inc. 9.5% 12/1/17 (i)

1,195

1,195

Verso Paper Holdings LLC/Verso Paper, Inc. 4.0369% 8/1/14 (n)

1,015

914

 

6,868

TOTAL MATERIALS

72,115

TELECOMMUNICATION SERVICES - 1.1%

Diversified Telecommunication Services - 0.7%

AT&T, Inc.:

2.5% 8/15/15

4,100

4,142

6.3% 1/15/38

5,000

5,315

6.8% 5/15/36

8,428

9,428

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

1,565

1,916

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

1,601

1,605

CenturyLink, Inc. 7.6% 9/15/39

3,686

3,697

Clearwire Communications LLC/Clearwire Finance, Inc. 12% 12/1/15 (i)

8,440

8,914

Intelsat Bermuda Ltd. 12% 2/4/17 pay-in-kind (n)

4,154

4,326

Intelsat Ltd. 11.25% 6/15/16

9,660

10,288

Qwest Communications International, Inc. 7.125% 4/1/18 (i)

3,000

3,120

Qwest Corp. 8.375% 5/1/16

5,765

6,955

Sprint Capital Corp.:

6.875% 11/15/28

19,325

16,426

6.9% 5/1/19

14,150

13,549

8.375% 3/15/12

7,330

7,715

Telecom Italia Capital SA:

4.95% 9/30/14

1,890

1,976

5.25% 10/1/15

2,367

2,510

6.999% 6/4/18

6,391

7,106

7.2% 7/18/36

4,849

4,645

Telefonica Emisiones SAU 6.421% 6/20/16

684

772

Verizon Communications, Inc.:

6.1% 4/15/18

1,909

2,237

6.25% 4/1/37

3,729

4,085

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

525

548

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

1,563

1,675

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

TELECOMMUNICATION SERVICES - continued

Diversified Telecommunication Services - continued

Wind Acquisition Finance SA:

7.25% 2/15/18 (i)

$ 1,860

$ 1,841

11.75% 7/15/17 (i)

6,720

7,358

 

132,149

Wireless Telecommunication Services - 0.4%

Clearwire Escrow Corp. 12% 12/1/15 (i)

4,000

4,225

Crown Castle International Corp. 9% 1/15/15

2,955

3,251

Digicel Group Ltd.:

8.875% 1/15/15 (i)

6,915

6,967

12% 4/1/14 (i)

6,990

8,161

DIRECTV Holdings LLC/DIRECTV Financing, Inc.:

4.75% 10/1/14

4,618

4,992

5.875% 10/1/19

5,712

6,349

6.35% 3/15/40

1,699

1,763

Intelsat Jackson Holdings Ltd.:

8.5% 11/1/19 (i)

2,455

2,621

9.5% 6/15/16

4,745

5,006

11.5% 6/15/16

665

708

Intelsat Subsidiary Holding Co. Ltd.:

8.875% 1/15/15 (i)

870

887

8.875% 1/15/15

6,980

7,155

Muzak LLC 15% 7/31/14 pay-in-kind

3,445

2,610

Nextel Communications, Inc.:

5.95% 3/15/14

830

801

6.875% 10/31/13

4,380

4,375

7.375% 8/1/15

11,630

11,223

Vodafone Group PLC:

5% 12/16/13

1,353

1,481

5.5% 6/15/11

1,626

1,667

 

74,242

TOTAL TELECOMMUNICATION SERVICES

206,391

UTILITIES - 0.7%

Electric Utilities - 0.4%

Alabama Power Co. 3.375% 10/1/20

2,739

2,697

Ameren Illinois Co. 6.125% 11/15/17

243

279

AmerenUE 6.4% 6/15/17

1,760

2,021

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

UTILITIES - continued

Electric Utilities - continued

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

$ 2,423

$ 2,678

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

7,302

7,402

Edison International 3.75% 9/15/17

3,020

3,082

Edison Mission Energy 7% 5/15/17

510

400

EDP Finance BV:

4.9% 10/1/19 (i)

1,300

1,161

6% 2/2/18 (i)

1,406

1,403

FirstEnergy Corp. 7.375% 11/15/31

2,986

3,168

FirstEnergy Solutions Corp.:

4.8% 2/15/15

1,266

1,354

6.05% 8/15/21

3,826

4,054

Intergen NV 9% 6/30/17 (i)

7,015

7,278

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

3,670

3,945

Kentucky Utilities Co.:

3.25% 11/1/20 (i)

401

392

5.125% 11/1/40 (i)

2,863

2,885

LG&E and KU Energy LLC:

2.125% 11/15/15 (i)

3,409

3,347

3.75% 11/15/20 (i)

671

656

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

859

867

Mirant Americas Generation LLC:

8.3% 5/1/11

6,000

6,075

8.5% 10/1/21

5,560

5,338

Nevada Power Co. 6.5% 5/15/18

5,100

6,055

North American Energy Alliance LLC/North American Energy Alliance Finance Corp. 10.875% 6/1/16 (i)

3,645

4,101

Pennsylvania Electric Co. 6.05% 9/1/17

450

501

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

3,204

3,194

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

148

145

Progress Energy, Inc.:

6% 12/1/39

3,060

3,326

7.1% 3/1/11

1,994

2,026

Tampa Electric Co. 6.15% 5/15/37

3,871

4,206

 

84,036

Gas Utilities - 0.0%

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

260

283

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

UTILITIES - continued

Gas Utilities - continued

Star Gas Partners LP/Star Gas Finance Co. 8.875% 12/1/17 (i)

$ 950

$ 950

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

1,827

1,827

 

3,060

Independent Power Producers & Energy Traders - 0.1%

AES Corp.:

7.75% 10/15/15

4,660

4,940

9.75% 4/15/16

680

755

Duke Capital LLC 5.668% 8/15/14

1,211

1,352

Energy Future Holdings Corp.:

10% 1/15/20 (i)

7,720

7,855

10.875% 11/1/17

561

398

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

1,464

1,490

Enron Corp.:

6.4% 7/15/06 (e)

3,600

0

6.625% 11/15/05 (e)

2,155

0

6.75% 9/1/04 (e)

1,425

0

9.125% 4/1/03 (e)

4,315

0

Exelon Generation Co. LLC:

4% 10/1/20

5,500

5,364

5.35% 1/15/14

900

991

GenOn Escrow Corp.:

9.5% 10/15/18 (i)

2,325

2,209

9.875% 10/15/20 (i)

2,325

2,209

 

27,563

Multi-Utilities - 0.2%

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

1,866

1,999

Dominion Resources, Inc.:

4.75% 12/15/10

2,316

2,318

6.3% 9/30/66 (n)

12,373

11,971

DTE Energy Co. 7.05% 6/1/11

580

598

MidAmerican Energy Holdings, Co.:

5.875% 10/1/12

1,721

1,867

6.5% 9/15/37

1,418

1,643

NiSource Finance Corp.:

5.25% 9/15/17

497

532

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

UTILITIES - continued

Multi-Utilities - continued

NiSource Finance Corp.: - continued

5.4% 7/15/14

$ 794

$ 879

5.45% 9/15/20

598

641

6.4% 3/15/18

782

890

6.8% 1/15/19

2,710

3,149

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

2,307

2,261

 

28,748

TOTAL UTILITIES

143,407

TOTAL NONCONVERTIBLE BONDS

1,969,848

TOTAL CORPORATE BONDS

(Cost $1,856,427)

2,027,242

U.S. Government and Government Agency Obligations - 11.0%

 

U.S. Treasury Inflation Protected Obligations - 0.8%

U.S. Treasury Inflation-Indexed Bonds 2.125% 2/15/40

136,434

152,020

U.S. Treasury Obligations - 10.2%

U.S. Treasury Bonds:

3.875% 8/15/40

30,000

28,725

4.375% 11/15/39

40,590

42,391

U.S. Treasury Notes:

0.5% 11/15/13

525,000

521,816

1% 10/31/11

300,000

301,910

1.875% 6/30/15 (l)

330,000

338,224

2.625% 8/15/20 (l)

281,000

277,509

3.125% 4/30/17

375,000

401,133

TOTAL U.S. TREASURY OBLIGATIONS

1,911,708

TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $2,054,490)

2,063,728

U.S. Government Agency - Mortgage Securities - 3.4%

 

Principal Amount (000s)

Value (000s)

Fannie Mae - 2.7%

2.577% 6/1/36 (n)

$ 172

$ 178

3% 12/1/25 (j)

10,000

9,982

3.466% 7/1/37 (n)

550

576

3.5% 12/1/25 (j)(k)

10,000

10,222

3.5% 12/1/25 (j)(k)

9,000

9,200

3.5% 11/1/40

118,233

116,251

3.5% 12/1/40 (j)(k)

15,000

14,730

4% 4/1/24 to 10/1/40

10,333

10,567

4% 12/1/25 (j)(k)

14,000

14,552

4% 12/1/40 (j)

1,500

1,522

4% 12/1/40 (j)

14,000

14,205

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

27,446

28,604

4.5% 12/1/25 (j)

1,500

1,580

4.5% 12/1/40 (j)

20,400

21,220

5% 6/1/24 to 8/1/40 (k)

35,242

37,460

5% 12/1/40 (j)

21,000

22,251

5% 12/1/40 (j)(k)

10,000

10,596

5.5% 6/1/33 to 3/1/40

84,004

90,197

5.5% 12/1/40 (j)(k)

13,500

14,504

6% 2/1/23 to 9/1/39

30,414

33,161

6% 12/1/40 (j)(k)

3,000

3,264

6% 12/1/40 (j)(k)

6,000

6,528

6% 12/1/40 (j)(k)

8,000

8,703

6% 12/1/40 (j)

6,000

6,528

6% 1/1/41 (j)

14,000

15,204

6.5% 8/1/36

3,769

4,248

TOTAL FANNIE MAE

506,033

Freddie Mac - 0.3%

4.361% 10/1/35 (n)

238

252

4.5% 4/1/40

964

1,011

5% 3/1/19 to 9/1/40

40,155

42,634

6% 7/1/37

71

78

6% 12/1/40 (j)

5,400

5,855

6.5% 11/1/34 to 3/1/36

11,126

12,515

TOTAL FREDDIE MAC

62,345

Ginnie Mae - 0.4%

4% 1/15/25 to 10/20/25

12,598

13,290

4% 12/1/40 (j)

4,500

4,614

U.S. Government Agency - Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Ginnie Mae - continued

4% 12/1/40 (j)

$ 3,000

$ 3,076

4% 12/1/40 (j)

4,000

4,101

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

28,040

29,513

5.5% 9/15/39

2,075

2,268

5.5% 12/1/40 (j)

400

435

6% 2/15/34

9,535

10,579

6.5% 3/15/34

5,037

5,710

TOTAL GINNIE MAE

73,586

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $638,628)

641,964

Asset-Backed Securities - 0.5%

 

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

1,383

782

ACE Securities Corp. Home Equity Loan Trust:

Series 2004-HE1:

Class M1, 1.0034% 3/25/34 (n)

71

70

Class M2, 1.9034% 3/25/34 (n)

334

265

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

137

129

Series 2006-OP1:

Class M4, 0.6234% 4/25/36 (n)

129

1

Class M5, 0.6434% 4/25/36 (n)

25

0*

Advanta Business Card Master Trust:

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

122

122

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

62

62

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

75

14

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

41

41

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

59

59

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

5,670

5,819

AmeriCredit Prime Automobile Receivables Trust Series 2007-1 Class D, 5.62% 9/8/14

539

552

Ameriquest Mortgage Securities, Inc. pass-thru certificates:

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

78

57

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

103

21

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

1,567

1,323

Argent Securities, Inc. pass-thru certificates:

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

36

26

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

Argent Securities, Inc. pass-thru certificates: - continued

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

$ 426

$ 306

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

1,108

609

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

1,078

375

Asset Backed Securities Corp. Home Equity Loan Trust:

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

2,026

1,451

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

181

5

Axon Financial Funding Ltd. 2.025% 4/4/17 (e)(i)(n)

4,820

0

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

596

595

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

1,371

1,303

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

138

137

Capital Auto Receivables Asset Trust:

Series 2006-2:

Class B, 5.07% 12/15/11

568

570

Class C, 5.31% 6/15/12

1,132

1,155

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

403

418

Capital Trust Ltd. Series 2004-1:

Class A2, 0.7034% 7/20/39 (i)(n)

347

72

Class B, 1.0034% 7/20/39 (i)(n)

200

18

Class C, 1.3534% 7/20/39 (i)(n)

258

3

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

445

454

Carrington Mortgage Loan Trust:

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

4,366

409

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

323

12

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

2,725

367

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

141

8

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

1,368

464

Cendant Timeshare Receivables Funding LLC:

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

98

88

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

282

284

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

6,555

6,565

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

9,250

9,470

Citigroup Mortgage Loan Trust:

Series 2005-HE4 Class A2C, 0.5234% 10/25/35 (n)

1,867

1,779

Series 2007-AMC4 Class M1, 0.5234% 5/25/37 (n)

581

24

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

Countrywide Asset-Backed Certificates Trust:

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

$ 58

$ 56

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

386

362

Series 2007-5 Class 2A1, 0.3534% 9/25/47 (n)

4,651

4,379

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

251

0

Countrywide Home Loans, Inc.:

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

121

47

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

446

243

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

770

730

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

104

102

CPS Auto Receivables Trust:

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

243

248

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

10

10

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

30

21

Fieldstone Mortgage Investment Corp.:

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

221

122

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

4,507

1,748

First Franklin Mortgage Loan Trust:

Series 2004-FF2 Class M3, 1.0784% 3/25/34 (n)

18

5

Series 2006-FF14 Class A2, 0.3134% 10/25/36 (n)

1,334

1,296

Ford Credit Auto Owner Trust Series 2006-C Class B, 5.3% 6/15/12

392

402

Ford Credit Floorplan Master Owner Trust:

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

586

579

Series 2010-1 Class A, 1.9034% 12/15/14 (i)(n)

2,790

2,843

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

4,990

4,972

Franklin Auto Trust:

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

50

50

Series 2007-1:

Class A4, 5.03% 2/16/15

251

251

Class C, 5.43% 2/16/15

426

424

Fremont Home Loan Trust:

Series 2005-A:

Class M3, 0.7434% 1/25/35 (n)

720

349

Class M4, 0.9334% 1/25/35 (n)

276

52

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

224

7

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

2,160

1,296

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

959

764

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

GE Business Loan Trust:

Series 2003-1 Class A, 0.6834% 4/15/31 (i)(n)

$ 199

$ 175

Series 2006-2A:

Class A, 0.4334% 11/15/34 (i)(n)

1,339

1,085

Class B, 0.5334% 11/15/34 (i)(n)

484

305

Class C, 0.6334% 11/15/34 (i)(n)

804

346

Class D, 1.0034% 11/15/34 (i)(n)

306

74

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

665

658

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

512

421

GS Auto Loan Trust Series 2007-1:

Class B, 5.53% 12/15/14

32

33

Class C, 5.74% 12/15/14

65

66

GSAMP Trust:

Series 2004-AR1 Class M1, 0.9034% 6/25/34 (n)

2,032

1,398

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

820

46

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

86

2

Guggenheim Structured Real Estate Funding Ltd.:

Series 2005-1 Class C, 1.3334% 5/25/30 (i)(n)

494

252

Series 2006-3:

Class B, 0.6534% 9/25/46 (i)(n)

497

99

Class C, 0.8034% 9/25/46 (i)(n)

1,159

174

Home Equity Asset Trust:

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

306

215

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

606

426

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

25

15

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

88

87

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

1,162

1,124

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

5

5

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

584

480

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

1,137

442

JPMorgan Mortgage Acquisition Trust:

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

2,497

102

Series 2007-CH1:

Class AV4, 0.3834% 11/25/36 (n)

1,136

938

Class MV1, 0.4834% 11/25/36 (n)

923

552

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

397

20

Keycorp Student Loan Trust:

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

600

514

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

Keycorp Student Loan Trust: - continued

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

$ 2,016

$ 338

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

1,226

1,244

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

81

57

Marriott Vacation Club Owner Trust Series 2006-2A:

Class B, 5.442% 10/20/28 (i)

11

10

Class C, 5.691% 10/20/28 (i)

5

4

Class D, 6.01% 10/20/28 (i)

58

46

MASTR Asset Backed Securities Trust:

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

407

23

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

596

30

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

129

85

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

120

121

Merrill Lynch Mortgage Investors Trust:

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

436

336

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

1,613

1,426

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

11

11

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

2,353

1,876

Morgan Stanley ABS Capital I Trust:

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

44

31

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

303

161

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

316

46

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

3,212

86

National Collegiate Student Loan Trust:

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

1,364

157

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

252

5

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

160

6

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

258

16

Series 2006-4:

Class A1, 0.2834% 3/25/25 (n)

292

288

Class AIO, 6.35% 2/27/12 (c)

819

56

Class D, 1.3534% 5/25/32 (n)

1,544

12

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

1,101

98

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

936

92

New Century Home Equity Loan Trust:

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

1,083

745

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

593

53

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

Ocala Funding LLC Series 2006-1A Class A, 1.6534% 3/20/11 (e)(i)(n)

$ 892

$ 330

Option One Mortgage Loan Trust:

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

57

55

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

117

113

Park Place Securities, Inc.:

Series 2004-WCW1:

Class M3, 1.5034% 9/25/34 (n)

405

193

Class M4, 1.7034% 9/25/34 (n)

519

126

Series 2005-WCH1:

Class M2, 0.7734% 1/25/36 (n)

1,817

1,600

Class M3, 0.8134% 1/25/36 (n)

363

252

Class M4, 1.0834% 1/25/36 (n)

1,120

454

Series 2005-WHQ2:

Class M7, 1.5034% 5/25/35 (n)

1,328

39

Class M9, 2.1334% 5/25/35 (n)

160

1

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

2,497

2,493

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

271

8

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

61

59

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

4

3

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

1,214

998

Securitized Asset Backed Receivables LLC Trust:

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

66

2

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

446

203

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

157

154

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

598

562

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

965

57

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

455

0

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

55

27

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

928

771

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

638

657

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

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

$ 22

$ 15

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

1,485

74

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

261

270

Wachovia Auto Loan Owner Trust Series 2006-2A:

Class B, 5.29% 6/20/12 (i)

66

67

Class D, 5.54% 12/20/12 (i)

404

409

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

674

0

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

6,374

6,336

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

6

0

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

1,358

503

TOTAL ASSET-BACKED SECURITIES

(Cost $90,736)

91,986

Collateralized Mortgage Obligations - 0.6%

 

Private Sponsor - 0.6%

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

1,084

1,050

Banc of America Commercial Mortgage Trust Series 2007-2:

Class B, 5.6987% 4/10/49 (n)

51

13

Class C, 5.6987% 4/10/49 (n)

135

23

Class D, 5.6987% 4/10/49 (n)

67

10

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

4,109

4,206

Banc of America Mortgage Securities, Inc.:

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

1,419

1,310

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

1,564

1,395

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

801

707

Series 2004-B:

Class 1A1, 2.9237% 3/25/34 (n)

103

89

Class 2A2, 3.0591% 3/25/34 (n)

899

853

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

1,339

1,216

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

1,219

1,079

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

1,093

972

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

Private Sponsor - continued

Bayview Commercial Asset Trust Series 2006-3A Class IO, 3.2127% 10/25/36 (i)(n)(c)

$ 36,304

$ 2,785

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

1,676

1,346

Bear Stearns Commercial Mortgage Securities Trust Series 2006-T24 Class X2, 0.4274% 10/12/41 (i)(n)(c)

2,557

32

Chase Mortgage Finance Trust:

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

391

380

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

3,815

3,797

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

912

970

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

934

932

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

1,019

234

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

912

910

Credit Suisse First Boston Mortgage Securities Corp. floater Series 2007-AR7 Class 2A1, 2.9126% 11/25/34 (n)

168

154

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

1,388

1,317

Fosse Master Issuer PLC floater Series 2006-1A:

Class B2, 0.4491% 10/18/54 (i)(n)

2,608

2,570

Class C2, 0.7591% 10/18/54 (i)(n)

874

857

Class M2, 0.5391% 10/18/54 (i)(n)

1,499

1,471

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

2,161

2,075

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

2,364

2,349

Granite Master Issuer PLC floater:

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

142

73

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

4,917

2,551

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

4,095

2,232

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

853

470

Series 2006-4:

Class B1, 0.3434% 12/20/54 (n)

3,154

2,488

Class C1, 0.6334% 12/20/54 (n)

1,928

1,000

Class M1, 0.4234% 12/20/54 (n)

829

570

Series 2007-1:

Class 1C1, 0.8534% 12/20/54 (n)

1,671

911

Class 1M1, 0.5534% 12/20/54 (n)

1,114

763

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

Private Sponsor - continued

Granite Master Issuer PLC floater: - continued

Series 2007-1:

Class 2C1, 1.2134% 12/20/54 (n)

$ 760

$ 414

Class 2M1, 0.7534% 12/20/54 (n)

1,431

980

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

1,981

1,020

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

326

222

GSR Mortgage Loan Trust Series 2007-AR2 Class 2A1, 3.0969% 4/25/35 (n)

556

483

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

286

180

JPMorgan Chase Commercial Mortgage Securities Trust Series 2007-CB18:

Class A1, 5.32% 6/12/47 (n)

51

52

Class A3, 5.447% 6/12/47 (n)

1,730

1,801

JPMorgan Mortgage Trust:

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

1,917

1,592

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

1,135

1,104

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

1,269

1,165

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

2,913

2,768

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

410

440

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

796

500

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

379

2

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

1,386

941

Merrill Lynch Floating Trust floater Series 2006-1:

Class B, 0.423% 6/15/22 (i)(n)

188

170

Class C, 0.443% 6/15/22 (i)(n)

1,165

1,002

Class D, 0.453% 6/15/22 (i)(n)

448

376

Class E, 0.463% 6/15/22 (i)(n)

717

588

Class F, 0.493% 6/15/22 (i)(n)

1,164

931

Class G, 0.563% 6/15/22 (i)(n)

269

210

Class H, 0.583% 6/15/22 (i)(n)

538

414

Class J, 0.623% 6/15/22 (i)(n)

628

452

Merrill Lynch Mortgage Investors Trust:

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

1,429

1,365

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

1,329

1,229

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

1,166

1,106

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

Private Sponsor - continued

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

$ 3,905

$ 4,169

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

1,801

1,458

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

2,236

143

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

733

637

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

Class B5, 2.6034% 7/10/35 (i)(n)

1,358

943

Class B6, 3.1034% 7/10/35 (i)(n)

290

183

Residential Asset Mortgage Products, Inc. sequential payer:

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

742

766

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

48

47

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

337

289

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

129

129

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

30

22

Structured Asset Securities Corp.:

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

425

419

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

359

368

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

2,485

1,376

Thornburg Mortgage Securities Trust floater:

Series 2006-4 Class A2B, 0.3763% 7/25/36 (n)

8,594

8,510

Series 2006-5 Class A1, 0.3734% 10/25/46 (n)

3,333

3,288

WaMu Mortgage pass-thru certificates:

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

731

682

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

1,948

1,707

Wells Fargo Mortgage Backed Securities Trust:

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

662

629

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

1,269

1,241

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

3,939

3,795

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

544

528

Series 2005-AR12:

Class 2A5, 2.8758% 7/25/35 (n)

9,940

9,433

Class 2A6, 2.8758% 7/25/35 (n)

457

425

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

Private Sponsor - continued

Wells Fargo Mortgage Backed Securities Trust: - continued

Series 2005-AR2 Class 2A2, 2.8576% 3/25/35 (n)

$ 2,052

$ 1,921

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

802

724

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $83,634)

111,499

Commercial Mortgage Securities - 1.7%

 

Asset Securitization Corp. Series 1997-D5:

Class A2, 6.8147% 2/14/43 (n)

671

721

Class A3, 6.8647% 2/14/43 (n)

724

777

Class A6, 7.1847% 2/14/43 (n)

1,067

1,142

Class PS1, 1.3859% 2/14/43 (n)(c)

2,759

73

Banc of America Commercial Mortgage Trust:

sequential payer:

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

1,065

1,150

Series 2006-5:

Class A1, 5.185% 9/10/47

343

344

Class A2, 5.317% 9/10/47

3,520

3,623

Class A3, 5.39% 9/10/47

1,272

1,372

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

1,824

1,904

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

235

240

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

910

960

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

527

99

Series 2007-3:

Class A3, 5.6579% 6/10/49 (n)

1,523

1,602

Class A4, 5.6579% 6/10/49 (n)

1,901

1,961

Banc of America Commercial Mortgage, Inc.:

sequential payer:

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

1,997

2,099

Series 2004-2:

Class A3, 4.05% 11/10/38

301

306

Class A4, 4.153% 11/10/38

1,157

1,190

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

1,493

1,499

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

468

468

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

2,565

2,623

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

510

509

Series 2001-PB1:

Class J, 7.166% 5/11/35 (i)

228

223

Class K, 6.15% 5/11/35 (i)

424

394

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Banc of America Commercial Mortgage, Inc.: - continued

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

$ 2,833

$ 3,004

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

549

282

Banc of America Large Loan, Inc. floater:

Series 2005-MIB1:

Class C, 0.5634% 3/15/22 (i)(n)

392

349

Class D, 0.6134% 3/15/22 (i)(n)

397

337

Class E, 0.6534% 3/15/22 (i)(n)

328

274

Class F, 0.7234% 3/15/22 (i)(n)

467

373

Class G, 0.7834% 3/15/22 (i)(n)

303

212

Series 2006-BIX1:

Class C, 0.4334% 10/15/19 (i)(n)

586

543

Class D, 0.4634% 10/15/19 (i)(n)

716

644

Class E, 0.4934% 10/15/19 (i)(n)

663

584

Class F, 0.5634% 10/15/19 (i)(n)

1,987

1,696

Class G, 0.5834% 10/15/19 (i)(n)

935

741

Bayview Commercial Asset Trust:

floater:

Series 2003-2 Class M1, 1.1034% 12/25/33 (i)(n)

60

41

Series 2004-1:

Class A, 0.6134% 4/25/34 (i)(n)

1,010

808

Class B, 2.1534% 4/25/34 (i)(n)

113

52

Class M1, 0.8134% 4/25/34 (i)(n)

91

59

Class M2, 1.4534% 4/25/34 (i)(n)

84

46

Series 2004-2:

Class A, 0.6834% 8/25/34 (i)(n)

832

691

Class M1, 0.8334% 8/25/34 (i)(n)

143

97

Series 2004-3:

Class A1, 0.6234% 1/25/35 (i)(n)

1,862

1,481

Class A2, 0.6734% 1/25/35 (i)(n)

267

192

Class M1, 0.7534% 1/25/35 (i)(n)

321

222

Class M2, 1.2534% 1/25/35 (i)(n)

153

99

Series 2005-2A:

Class A1, 0.5634% 8/25/35 (i)(n)

1,330

1,066

Class M1, 0.6834% 8/25/35 (i)(n)

72

40

Class M2, 0.7334% 8/25/35 (i)(n)

119

64

Class M3, 0.7534% 8/25/35 (i)(n)

66

33

Class M4, 0.8634% 8/25/35 (i)(n)

61

30

Series 2005-3A:

Class A1, 0.5734% 11/25/35 (i)(n)

537

414

Class A2, 0.6534% 11/25/35 (i)(n)

485

359

Class M1, 0.6934% 11/25/35 (i)(n)

64

35

Class M2, 0.7434% 11/25/35 (i)(n)

81

41

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Bayview Commercial Asset Trust: - continued

floater:

Series 2005-3A:

Class M3, 0.7634% 11/25/35 (i)(n)

$ 72

$ 34

Class M4, 0.8534% 11/25/35 (i)(n)

90

41

Series 2005-4A:

Class A2, 0.6434% 1/25/36 (i)(n)

1,239

855

Class B1, 1.6534% 1/25/36 (i)(n)

107

37

Class M1, 0.7034% 1/25/36 (i)(n)

400

212

Class M2, 0.7234% 1/25/36 (i)(n)

120

60

Class M3, 0.7534% 1/25/36 (i)(n)

175

81

Class M4, 0.8634% 1/25/36 (i)(n)

97

40

Class M5, 0.9034% 1/25/36 (i)(n)

97

38

Class M6, 0.9534% 1/25/36 (i)(n)

103

38

Series 2006-1:

Class A2, 0.6134% 4/25/36 (i)(n)

190

135

Class M1, 0.6334% 4/25/36 (i)(n)

68

32

Class M2, 0.6534% 4/25/36 (i)(n)

72

31

Class M3, 0.6734% 4/25/36 (i)(n)

62

24

Class M4, 0.7734% 4/25/36 (i)(n)

35

13

Class M5, 0.8134% 4/25/36 (i)(n)

34

12

Class M6, 0.8934% 4/25/36 (i)(n)

68

22

Series 2006-2A:

Class A1, 0.4834% 7/25/36 (i)(n)

2,846

2,199

Class A2, 0.5334% 7/25/36 (i)(n)

169

119

Class B1, 1.1234% 7/25/36 (i)(n)

63

18

Class B3, 2.9534% 7/25/36 (i)(n)

96

22

Class M1, 0.5634% 7/25/36 (i)(n)

177

94

Class M2, 0.5834% 7/25/36 (i)(n)

125

52

Class M3, 0.6034% 7/25/36 (i)(n)

104

40

Class M4, 0.6734% 7/25/36 (i)(n)

70

25

Class M5, 0.7234% 7/25/36 (i)(n)

86

29

Class M6, 0.7934% 7/25/36 (i)(n)

128

38

Series 2006-3A:

Class B1, 1.0534% 10/25/36 (i)(n)

114

24

Class B2, 1.6034% 10/25/36 (i)(n)

82

14

Class B3, 2.8534% 10/25/36 (i)(n)

134

19

Class M4, 0.6834% 10/25/36 (i)(n)

126

50

Class M5, 0.7334% 10/25/36 (i)(n)

151

53

Class M6, 0.8134% 10/25/36 (i)(n)

295

83

Series 2006-4A:

Class A1, 0.4834% 12/25/36 (i)(n)

643

500

Class A2, 0.5234% 12/25/36 (i)(n)

3,146

2,214

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Bayview Commercial Asset Trust: - continued

floater:

Series 2006-4A:

Class B1, 0.9534% 12/25/36 (i)(n)

$ 100

$ 25

Class B2, 1.5034% 12/25/36 (i)(n)

103

23

Class B3, 2.7034% 12/25/36 (i)(n)

174

36

Class M1, 0.5434% 12/25/36 (i)(n)

209

96

Class M2, 0.5634% 12/25/36 (i)(n)

139

58

Class M3, 0.5934% 12/25/36 (i)(n)

142

56

Class M4, 0.6534% 12/25/36 (i)(n)

169

63

Class M5, 0.6934% 12/25/36 (i)(n)

155

49

Class M6, 0.7734% 12/25/36 (i)(n)

139

39

Series 2007-1:

Class A2, 0.5234% 3/25/37 (i)(n)

662

444

Class B1, 0.9234% 3/25/37 (i)(n)

211

40

Class B2, 1.4034% 3/25/37 (i)(n)

153

28

Class B3, 3.6034% 3/25/37 (i)(n)

419

59

Class M1, 0.5234% 3/25/37 (i)(n)

186

93

Class M2, 0.5434% 3/25/37 (i)(n)

139

56

Class M3, 0.5734% 3/25/37 (i)(n)

124

43

Class M4, 0.6234% 3/25/37 (i)(n)

100

32

Class M5, 0.6734% 3/25/37 (i)(n)

155

45

Class M6, 0.7534% 3/25/37 (i)(n)

217

50

Series 2007-2A:

Class A1, 0.5234% 7/25/37 (i)(n)

594

433

Class A2, 0.5734% 7/25/37 (i)(n)

556

278

Class B1, 1.8534% 7/25/37 (i)(n)

172

22

Class B2, 2.5034% 7/25/37 (i)(n)

149

16

Class B3, 3.6034% 7/25/37 (i)(n)

166

17

Class M1, 0.6234% 7/25/37 (i)(n)

195

63

Class M2, 0.6634% 7/25/37 (i)(n)

107

25

Class M3, 0.7434% 7/25/37 (i)(n)

108

22

Class M4, 0.9034% 7/25/37 (i)(n)

214

38

Class M5, 1.0034% 7/25/37 (i)(n)

188

30

Class M6, 1.2534% 7/25/37 (i)(n)

239

35

Series 2007-3:

Class A2, 0.5434% 7/25/37 (i)(n)

679

434

Class B1, 1.2034% 7/25/37 (i)(n)

151

34

Class B2, 1.8534% 7/25/37 (i)(n)

378

66

Class B3, 4.2534% 7/25/37 (i)(n)

202

31

Class M1, 0.5634% 7/25/37 (i)(n)

135

62

Class M2, 0.5934% 7/25/37 (i)(n)

145

52

Class M3, 0.6234% 7/25/37 (i)(n)

227

73

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Bayview Commercial Asset Trust: - continued

floater:

Series 2007-3:

Class M4, 0.7534% 7/25/37 (i)(n)

$ 356

$ 105

Class M5, 0.8534% 7/25/37 (i)(n)

186

52

Class M6, 1.0534% 7/25/37 (i)(n)

141

32

Series 2007-4A:

Class B1, 2.8034% 9/25/37 (i)(n)

227

16

Class B2, 3.7034% 9/25/37 (i)(n)

819

49

Class M1, 1.2034% 9/25/37 (i)(n)

217

46

Class M2, 1.3034% 9/25/37 (i)(n)

217

37

Class M4, 1.8534% 9/25/37 (i)(n)

554

72

Class M5, 2.0034% 9/25/37 (i)(n)

554

58

Class M6, 2.2034% 9/25/37 (i)(n)

554

50

Series 2004-1 Class IO, 1.25% 4/25/34 (i)(c)

2,092

68

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

5,021

540

Bear Stearns Commercial Mortgage Securities Trust:

floater:

Series 2006-BBA7:

Class G, 0.6934% 3/15/19 (i)(n)

611

446

Class H, 0.9034% 3/15/19 (i)(n)

411

229

Class J, 1.1034% 3/15/19 (i)(n)

309

161

Series 2007-BBA8:

Class D, 0.5034% 3/15/22 (i)(n)

452

325

Class E, 0.5534% 3/15/22 (i)(n)

2,347

1,573

Class F, 0.6034% 3/15/22 (i)(n)

1,440

893

Class G, 0.6534% 3/15/22 (i)(n)

369

210

Class H, 0.8034% 3/15/22 (i)(n)

452

226

Class J, 0.9534% 3/15/22 (i)(n)

452

190

sequential payer:

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

284

289

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

579

590

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

725

735

Series 2007-PW15 Class AAB, 5.315% 2/11/44

2,680

2,851

Series 2007-PW16:

Class A4, 5.717% 6/11/40 (n)

534

569

Class AAB, 5.717% 6/11/40 (n)

4,740

5,130

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

472

480

Series 2007-PW18:

Class A2, 5.613% 6/11/50

320

334

Class A4, 5.7% 6/11/50

4,380

4,627

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

221

227

Series 2003-PWR2 Class X2, 0.5307% 5/11/39 (i)(n)(c)

6,436

28

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Bear Stearns Commercial Mortgage Securities Trust: - continued

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

$ 3,219

$ 3,405

Series 2006-PW14 Class X2, 0.6529% 12/11/38 (i)(n)(c)

12,358

202

Series 2006-T22 Class A4, 5.5118% 4/12/38 (n)

114

125

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

201

205

Series 2007-PW16:

Class B, 5.717% 6/11/40 (i)(n)

146

63

Class C, 5.717% 6/11/40 (i)(n)

122

47

Class D, 5.717% 6/11/40 (i)(n)

122

42

Series 2007-PW18 Class X2, 0.3205% 6/11/50 (i)(n)(c)

85,192

1,096

Series 2007-T28:

Class A1, 5.422% 9/11/42

115

118

Class X2, 0.1749% 9/11/42 (i)(n)(c)

39,180

313

Berkeley Federal Bank & Trust FSB Series 1994-1 Class B, 0% 8/1/24 (i)(n)

556

222

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

686

527

CDC Commercial Mortgage Trust Series 2002-FX1:

Class G, 6.625% 5/15/35 (i)

1,072

1,150

Class XCL, 2.1162% 5/15/35 (i)(n)(c)

11,823

272

Citigroup Commercial Mortgage Trust:

floater Series 2006-FL2:

Class F, 0.5634% 8/15/21 (i)(n)

326

304

Class G, 0.5834% 8/15/21 (i)(n)

405

353

Class H, 0.6234% 8/15/21 (i)(n)

324

266

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

6,330

6,712

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

1,526

1,419

Series 2007-C6:

Class A1, 5.622% 12/10/49 (n)

1,293

1,302

Class A2, 5.6985% 12/10/49 (n)

1,210

1,265

Class A4, 5.6985% 12/10/49 (n)

3,035

3,220

Citigroup/Deutsche Bank Commercial Mortgage Trust:

sequential payer Series 2007-CD4:

Class A1, 4.977% 12/11/49

121

121

Class A2A, 5.237% 12/11/49

812

829

Class A4, 5.322% 12/11/49

4,053

4,169

Series 2007-CD4:

Class A3, 5.293% 12/11/49

888

917

Class C, 5.476% 12/11/49

1,717

309

Cobalt CMBS Commercial Mortgage Trust:

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

912

976

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

2,736

684

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

COMM pass-thru certificates:

floater:

Series 2005-F10A:

Class B, 0.4834% 4/15/17 (i)(n)

$ 2,493

$ 2,244

Class C, 0.5234% 4/15/17 (i)(n)

734

639

Class D, 0.5634% 4/15/17 (i)(n)

721

602

Class E, 0.6234% 4/15/17 (i)(n)

230

184

Class F, 0.6634% 4/15/17 (i)(n)

130

95

Class G, 0.8034% 4/15/17 (i)(n)

130

87

Class H, 0.8734% 4/15/17 (i)(n)

130

74

Class J, 1.1034% 4/15/17 (i)(n)

100

47

Series 2005-FL11:

Class C, 0.5534% 11/15/17 (i)(n)

696

654

Class D, 0.5934% 11/15/17 (i)(n)

36

33

Class E, 0.6434% 11/15/17 (i)(n)

128

114

Class F, 0.7034% 11/15/17 (i)(n)

141

121

Class G, 0.7534% 11/15/17 (i)(n)

98

79

Series 2006-CN2A:

Class A2FL, 0.4738% 2/5/19 (i)(n)

1,390

1,309

Class AJFL, 0.5138% 2/5/19 (n)

640

592

Series 2006-FL12 Class AJ, 0.3834% 12/15/20 (i)(n)

1,300

1,131

sequential payer:

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

9

9

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

2,599

2,700

Series 2006-CN2A:

Class A2FX, 5.449% 2/5/19 (i)

1,592

1,594

Class AJFX, 5.478% 2/5/19 (i)

2,940

2,911

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

2,018

2,170

Series 2004-LBN2 Class X2, 0.8517% 3/10/39 (i)(n)(c)

2,244

5

Series 2006-C8:

Class B, 5.44% 12/10/46

1,579

447

Class XP, 0.4812% 12/10/46 (n)(c)

14,308

191

Credit Suisse Commercial Mortgage Trust:

sequential payer:

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

1,107

1,169

Series 2007-C2:

Class A1, 5.269% 1/15/49

9

9

Class A2, 5.448% 1/15/49 (n)

6,455

6,598

Class A3, 5.542% 1/15/49 (n)

1,824

1,875

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

549

568

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

5,191

5,547

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Credit Suisse Commercial Mortgage Trust: - continued

Series 2006-C5 Class ASP, 0.6706% 12/15/39 (n)(c)

$ 9,638

$ 164

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

825

847

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

3,254

1,790

Credit Suisse First Boston Mortgage Securities Corp.:

sequential payer:

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

912

945

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

89

90

Series 2004-C1:

Class A3, 4.321% 1/15/37

183

185

Class A4, 4.75% 1/15/37

425

448

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

17

17

Series 2001-CK6 Class AX, 0.8917% 8/15/36 (n)(c)

2,368

14

Series 2001-CKN5 Class AX, 1.963% 9/15/34 (i)(n)(c)

6,885

54

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

4,815

5,102

Credit Suisse Mortgage Capital Certificates:

floater Series 2007-TFL1:

Class B, 0.4034% 2/15/22 (i)(n)

345

238

Class C:

0.4234% 2/15/22 (i)(n)

1,416

835

0.5234% 2/15/22 (i)(n)

506

243

Class F, 0.5734% 2/15/22 (i)(n)

1,011

435

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

45

45

Series 2007-C1:

Class ASP, 0.4158% 2/15/40 (n)(c)

17,074

182

Class B, 5.487% 2/15/40 (i)(n)

1,394

167

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

Class D, 6.484% 3/15/33

325

326

Class G, 6.936% 3/15/33 (i)

600

600

GE Capital Commercial Mortgage Corp.:

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

5,514

5,679

Series 2001-1 Class X1, 0.99% 5/15/33 (i)(n)(c)

7,081

21

Series 2004-C1 Class X2, 1.1123% 11/10/38 (i)(n)(c)

6,896

7

Series 2007-C1 Class XP, 0.1995% 12/10/49 (n)(c)

20,612

118

GMAC Commercial Mortgage Securities, Inc.:

Series 2003-C3 Class X2, 0.6751% 4/10/40 (i)(n)(c)

7,002

0*

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

GMAC Commercial Mortgage Securities, Inc.: - continued

Series 2004-C3 Class X2, 0.6308% 12/10/41 (n)(c)

$ 2,929

$ 15

Series 2005-C1 Class X2, 0.5556% 5/10/43 (n)(c)

3,624

30

Greenwich Capital Commercial Funding Corp.:

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

343

311

sequential payer:

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

135

136

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

1,824

1,908

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

2,652

2,774

Series 2003-C2 Class XP, 0.8817% 1/5/36 (i)(n)(c)

8,367

0*

Series 2005-GG3 Class XP, 0.6907% 8/10/42 (i)(n)(c)

16,892

124

Series 2006-GG7 Class A3, 5.8828% 7/10/38 (n)

2,404

2,610

Series 2007-GG11 Class A1, 0.4798% 12/10/49 (i)(c)

21,003

209

GS Mortgage Securities Corp. II:

floater:

Series 2006-FL8A:

Class C, 0.4934% 6/6/20 (i)(n)

46

43

Class D, 0.5334% 6/6/20 (i)(n)

218

195

Class E, 0.6234% 6/6/20 (i)(n)

252

219

Class F, 0.6934% 6/6/20 (i)(n)

634

535

Series 2007-EOP:

Class C, 0.5734% 3/6/20 (i)(n)

1,144

1,030

Class D, 0.6234% 3/6/20 (i)(n)

2,144

1,887

Class F, 0.7334% 3/6/20 (i)(n)

94

81

Class G, 0.7734% 3/6/20 (i)(n)

47

40

Class H, 0.9034% 3/6/20 (i)(n)

42

35

Class J, 1.1034% 3/6/20 (i)(n)

60

50

sequential payer:

Series 2001-LIBA Class A2, 6.615% 2/14/16 (i)

1,433

1,435

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

283

295

Series 2005-GG4 Class XP, 0.7093% 7/10/39 (i)(n)(c)

17,245

175

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

4,748

4,784

GS Mortgage Securities Trust sequential payer:

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

1,368

1,393

Series 2007-GG10:

Class A1, 5.69% 8/10/45

104

106

Class A2, 5.778% 8/10/45

435

449

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

JPMorgan Chase Commercial Mortgage Securities Corp.:

Series 2004-C1 Class X2, 0.9167% 1/15/38 (i)(n)(c)

$ 2,039

$ 4

Series 2004-CB8 Class X2, 1.0315% 1/12/39 (i)(n)(c)

2,037

6

JPMorgan Chase Commercial Mortgage Securities Trust:

floater Series 2006-FLA2:

Class B, 0.4234% 11/15/18 (i)(n)

672

591

Class C, 0.4634% 11/15/18 (i)(n)

477

406

Class D, 0.4834% 11/15/18 (i)(n)

211

173

Class E, 0.5334% 11/15/18 (i)(n)

303

243

Class F, 0.5834% 11/15/18 (i)(n)

455

355

Class G, 0.6134% 11/15/18 (i)(n)

396

297

Class H, 0.7534% 11/15/18 (i)(n)

303

221

sequential payer:

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

2,712

2,867

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

581

626

Series 2006-LDP9:

Class A2, 5.134% 5/15/47 (n)

433

454

Class A3, 5.336% 5/15/47

380

396

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

3,198

3,381

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

2,560

2,667

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

21

22

Series 2007-LDPX:

Class A2 S, 5.305% 1/15/49

2,063

2,104

Class A3, 5.412% 1/15/49

2,510

2,618

Series 2005-CB13 Class E, 5.3509% 1/12/43 (i)(n)

461

36

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

6,699

6,927

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

260

268

Series 2007-CB19:

Class B, 5.7421% 2/12/49 (n)

78

29

Class C, 5.7421% 2/12/49 (n)

204

71

Class D, 5.7421% 2/12/49 (n)

214

65

Series 2007-LDP10:

Class BS, 5.437% 1/15/49 (n)

174

61

Class CS, 5.466% 1/15/49 (n)

75

24

Class ES, 5.5411% 1/15/49 (i)(n)

472

31

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

319

322

LB Commercial Conduit Mortgage Trust:

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

743

789

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

LB Commercial Conduit Mortgage Trust: - continued

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

$ 306

$ 307

LB Multi-family Mortgage Trust Series 1991-4 Class A1, 7.0831% 4/25/21 (i)(n)

59

39

LB-UBS Commercial Mortgage Trust:

sequential payer:

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

147

148

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

234

235

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

11

11

Series 2006-C6:

Class A1, 5.23% 9/15/39

87

87

Class A2, 5.262% 9/15/39 (n)

1,591

1,613

Series 2006-C7:

Class A1, 5.279% 11/15/38

53

54

Class A2, 5.3% 11/15/38

1,003

1,025

Class A3, 5.347% 11/15/38

679

718

Series 2007-C1:

Class A1, 5.391% 2/15/40 (n)

107

109

Class A4, 5.424% 2/15/40

2,738

2,891

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

1,980

2,058

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

64

64

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

1,763

1,806

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

1,003

1,027

Series 2004-C2 Class XCP, 1.0453% 3/15/36 (i)(n)(c)

15,387

44

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

126

127

Series 2005-C3 Class XCP, 0.7546% 7/15/40 (n)(c)

2,823

28

Series 2006-C6 Class XCP, 0.6752% 9/15/39 (n)(c)

4,202

76

Series 2007-C1:

Class C, 5.533% 2/15/40 (n)

2,006

849

Class D, 5.563% 2/15/40 (n)

365

132

Class E, 5.582% 2/15/40 (n)

182

49

Class XCP, 0.477% 2/15/40 (n)(c)

2,084

22

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

1,140

1,195

Series 2007-C7:

Class A3, 5.866% 9/15/45

972

1,031

Class XCP, 0.29% 9/15/45 (n)(c)

69,986

732

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

Class D, 0.4834% 9/15/21 (i)(n)

292

222

Class E, 0.5434% 9/15/21 (i)(n)

1,054

780

Class F, 0.5934% 9/15/21 (i)(n)

868

625

Class G, 0.6134% 9/15/21 (i)(n)

1,714

1,200

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

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

Class H, 0.6534% 9/15/21 (i)(n)

$ 442

$ 283

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

1,619

1,673

Merrill Lynch Mortgage Trust:

sequential payer:

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

151

151

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

173

174

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

1,498

1,549

Series 2005-LC1 Class F, 5.3852% 1/12/44 (i)(n)

793

399

Series 2006-C1 Class A2, 5.6095% 5/12/39 (n)

1,272

1,309

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

3,452

3,707

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

1,947

2,055

Merrill Lynch-CFC Commercial Mortgage Trust:

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

423

411

sequential payer:

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

970

1,015

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

784

827

Series 2007-5:

Class A1, 4.275% 8/12/48

13

13

Class A3, 5.364% 8/12/48

356

365

Class A4, 5.378% 8/12/48

36

36

Class B, 5.479% 2/12/17

2,736

434

Series 2007-6:

Class A1, 5.175% 3/12/51

39

40

Class A4, 5.485% 3/12/51 (n)

7,400

7,564

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

3,192

3,280

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

201

204

Series 2006-4 Class XP, 0.6252% 12/12/49 (n)(c)

20,235

366

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

912

278

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

79

13

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

787

847

Morgan Stanley Capital I Trust:

floater:

Series 2006-XLF:

Class C, 1.454% 7/15/19 (i)(n)

625

75

Class G, 0.614% 7/15/19 (i)(n)

259

241

Series 2007-XCLA Class A1, 0.454% 7/17/17 (i)(n)

1,831

1,323

Series 2007-XLCA Class B, 0.754% 7/17/17 (i)(n)

1,670

196

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Morgan Stanley Capital I Trust: - continued

floater:

Series 2007-XLFA:

Class C, 0.414% 10/15/20 (i)(n)

$ 523

$ 225

Class D, 0.444% 10/15/20 (i)(n)

507

182

Class E, 0.504% 10/15/20 (i)(n)

634

133

Class F, 0.554% 10/15/20 (i)(n)

380

53

Class G, 0.594% 10/15/20 (i)(n)

470

33

Class H, 0.684% 10/15/20 (i)(n)

296

18

Class J, 0.834% 10/15/20 (i)(n)

338

14

Class MHRO, 0.944% 10/15/20 (i)(n)

376

94

Class MJPM, 1.254% 10/15/20 (i)(n)

115

86

Class MSTR, 0.954% 10/15/20 (i)(n)

214

54

Class NHRO, 1.144% 10/15/20 (i)(n)

567

85

Class NSTR, 1.104% 10/15/20 (i)(n)

197

30

sequential payer:

Series 2003-IQ5 Class X2, 0.9113% 4/15/38 (i)(n)(c)

2,511

18

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

1,354

1,395

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

211

213

Series 2007-HQ11:

Class A1, 5.246% 2/12/44

116

118

Class A31, 5.439% 2/12/44 (n)

462

481

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

193

195

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

483

493

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

171

175

Series 2003-IQ6 Class X2, 0.5796% 12/15/41 (i)(n)(c)

5,901

34

Series 2005-IQ9 Class X2, 1.0925% 7/15/56 (i)(n)(c)

10,148

118

Series 2006-HQ10 Class X2, 0.4955% 11/12/41 (i)(n)(c)

6,608

68

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

1,415

1,436

Series 2006-IQ11:

Class A3, 5.7248% 10/15/42 (n)

1,498

1,573

Class A4, 5.7608% 10/15/42 (n)

274

303

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

912

332

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

466

501

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

1,654

762

Series 2007-IQ14:

Class A4, 5.692% 4/15/49 (n)

1,368

1,435

Class AAB, 5.654% 4/15/49

2,650

2,801

Class B, 5.7278% 4/15/49 (n)

224

78

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Morgan Stanley Capital I Trust: - continued

Series 2007-XLC1:

Class C, 0.854% 7/17/17 (i)(n)

$ 2,252

$ 62

Class D, 0.954% 7/17/17 (i)(n)

1,059

13

Class E, 1.054% 7/17/17 (i)(n)

862

11

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

0*

0*

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

93

96

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

775

788

Wachovia Bank Commercial Mortgage Trust:

floater:

Series 2005-WL5A Class K, 1.4534% 1/15/18 (i)(n)

969

930

Series 2006-WL7A:

Class E, 0.5363% 9/15/21 (i)(n)

1,239

793

Class F, 0.5963% 8/11/18 (i)(n)

1,426

676

Class G, 0.6163% 8/11/18 (i)(n)

1,351

625

Class J, 0.8563% 8/11/18 (i)(n)

300

94

Series 2007-WHL8:

Class AP1, 0.9534% 6/15/20 (i)(n)

98

59

Class AP2, 1.0534% 6/15/20 (i)(n)

163

90

Class F, 0.7334% 6/15/20 (i)(n)

3,171

1,585

Class LXR1, 0.9534% 6/15/20 (i)(n)

112

79

Class LXR2, 1.0534% 6/15/20 (i)(n)

2,162

1,405

sequential payer:

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

1,385

1,396

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

3,972

4,093

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

753

766

Series 2006-C29:

Class A1, 5.11% 11/15/48

380

384

Class A3, 5.313% 11/15/48

2,422

2,579

Series 2007-C30:

Class A1, 5.031% 12/15/43

22

22

Class A3, 5.246% 12/15/43

783

793

Class A4, 5.305% 12/15/43

268

269

Class A5, 5.342% 12/15/43

976

979

Series 2007-C31:

Class A1, 5.14% 4/15/47

89

90

Class A4, 5.509% 4/15/47

2,061

2,108

Series 2007-C32:

Class A2, 5.739% 6/15/49 (n)

3,184

3,299

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Wachovia Bank Commercial Mortgage Trust: - continued

sequential payer:

Series 2007-C32:

Class A3, 5.744% 6/15/49 (n)

$ 1,548

$ 1,598

Series 2003-C6 Class G, 5.125% 8/15/35 (i)(n)

433

423

Series 2003-C9 Class XP, 0.4498% 12/15/35 (i)(n)(c)

3,693

0*

Series 2004-C15:

Class 180A, 5.3979% 10/15/41 (i)(n)

701

673

Class 180B, 5.3979% 10/15/41 (i)(n)

319

300

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

912

767

Series 2005-C22:

Class B, 5.3588% 12/15/44 (n)

2,022

1,662

Class F, 5.3588% 12/15/44 (i)(n)

1,521

626

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

5,005

5,370

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

912

289

Series 2007-C30:

Class C, 5.483% 12/15/43 (n)

2,736

468

Class D, 5.513% 12/15/43 (n)

1,459

128

Class XP, 0.4396% 12/15/43 (i)(n)(c)

10,129

133

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

251

55

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

8,776

9,030

Series 2007-C32:

Class D, 5.744% 6/15/49 (n)

685

140

Class E, 5.744% 6/15/49 (n)

1,080

189

Wachovia Bank Commercial Mortgage Trust pass-thru certificates:

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

604

629

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

1,534

509

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $254,515)

310,437

Municipal Securities - 0.1%

 

California Gen. Oblig.:

6.2% 3/1/19

2,600

2,741

7.5% 4/1/34

3,750

3,842

7.55% 4/1/39

800

824

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

4,050

4,211

TOTAL MUNICIPAL SECURITIES

(Cost $11,279)

11,618

Foreign Government and Government Agency Obligations - 0.0%

 

Principal Amount (000s)

Value (000s)

Chilean Republic 7.125% 1/11/12
(Cost $1,865)

$ 1,794

$ 1,902

Supranational Obligations - 0.0%

 

Corporacion Andina de Fomento 5.2% 5/21/13
(Cost $133)

143

156

Floating Rate Loans - 1.4%

 

CONSUMER DISCRETIONARY - 0.3%

Automobiles - 0.1%

Ford Motor Co. term loan 3.0375% 12/15/13 (n)

12,841

12,697

Hotels, Restaurants & Leisure - 0.0%

Fantasy Springs Resort Casino term loan 12% 8/6/12 (n)

8,028

6,944

Media - 0.1%

Charter Communications Operating LLC Tranche B 1LN, term loan 2.26% 3/6/14 (n)

8,184

7,999

Hicks Sports Group LLC Tranche 2LN, term loan 8.75% 12/22/11 (e)(n)

2,750

28

Newsday LLC term loan 10.5% 8/1/13

7,000

7,420

Tribune Co. Tranche X, term loan 7.0838% 3/17/09 (e)(n)

1,188

736

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

11,301

10,524

 

26,707

Specialty Retail - 0.1%

GNC Corp. term loan 2.5286% 9/16/13 (n)

764

756

Michaels Stores, Inc.:

Tranche B1, term loan 2.5625% 10/31/13 (n)

1,200

1,155

Tranche B2, term loan 4.8125% 7/31/16 (n)

1,615

1,603

Sports Authority, Inc. Tranche B, term loan 7.5% 11/16/17 (n)

6,765

6,630

 

10,144

TOTAL CONSUMER DISCRETIONARY

56,492

CONSUMER STAPLES - 0.0%

Food & Staples Retailing - 0.0%

BI-LO LLC term loan 9.5% 5/12/15 (n)

8,429

8,555

Floating Rate Loans - continued

 

Principal Amount (000s)

Value (000s)

ENERGY - 0.0%

Oil, Gas & Consumable Fuels - 0.0%

Venoco, Inc. Tranche 2LN, term loan 4.3125% 5/7/14 (n)

$ 564

$ 536

FINANCIALS - 0.1%

Commercial Banks - 0.0%

CIT Group, Inc. Tranche 3LN, term loan 6.25% 8/11/15 (n)

2,798

2,843

Diversified Financial Services - 0.0%

Blackstone UTP Capital LLC term loan 7.75% 11/2/14

5,419

5,473

Real Estate Management & Development - 0.1%

Realogy Corp.:

Credit-Linked Deposit 3.2563% 10/10/13 (n)

1,657

1,529

Tranche B, term loan 3.2857% 10/10/13 (n)

12,157

11,215

Tranche DD, term loan 3.2836% 10/10/13 (n)

4,442

4,087

 

16,831

TOTAL FINANCIALS

25,147

HEALTH CARE - 0.3%

Health Care Providers & Services - 0.3%

Concentra Operating Corp. Tranche 2LN, term loan 5.79% 6/25/15 (n)

19,892

19,644

Genoa Healthcare Group LLC Tranche 2, term loan 10.75% 2/4/13 (n)

2,500

2,050

Golden Gate National Senior Care LLC:

Tranche 1LN, term loan 3.0063% 3/14/11 (n)

788

765

Tranche 2LN, term loan 8.0063% 9/14/11 (n)

6,000

5,798

National Renal Institutes, Inc. Tranche B, term loan 9% 3/31/13 (n)

11,538

11,422

Sheridan Healthcare, Inc. Tranche 2LN, term loan 6.0444% 6/15/15 (n)

17,840

16,770

 

56,449

INDUSTRIALS - 0.2%

Aerospace & Defense - 0.0%

McKechnie Aerospace Holdings Ltd. Tranche 2LN, term loan 7.25% 5/11/15 pay-in-kind (n)

110

110

Air Freight & Logistics - 0.0%

CEVA Group PLC:

Credit-Linked Deposit 3.2894% 11/4/13 (n)

222

209

Floating Rate Loans - continued

 

Principal Amount (000s)

Value (000s)

INDUSTRIALS - continued

Air Freight & Logistics - continued

CEVA Group PLC: - continued

term loan:

3.2563% 11/4/13 (n)

$ 3,101

$ 2,915

3.2563% 11/4/13 (n)

375

353

 

3,477

Airlines - 0.1%

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

8,293

7,941

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

4,593

4,099

 

12,040

Commercial Services & Supplies - 0.0%

Brand Energy & Infrastructure Services, Inc. Tranche 2LN, term loan 6.3125% 2/7/15 (n)

985

872

Machinery - 0.1%

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

7,990

7,950

Road & Rail - 0.0%

Swift Transportation Co., Inc. term loan 8.25% 5/10/14 (n)

7,159

7,123

TOTAL INDUSTRIALS

31,572

INFORMATION TECHNOLOGY - 0.2%

Communications Equipment - 0.1%

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

5,451

4,947

IPC Systems, Inc. Tranche 2LN, term loan 5.5394% 5/31/15 (n)

6,000

5,100

SafeNet, Inc. Tranche 2LN, term loan 6.2534% 4/12/15 (n)

7,500

7,219

 

17,266

Software - 0.1%

Kronos, Inc. Tranche 2LN, term loan 6.04% 6/11/15 (n)

23,730

22,544

SS&C Technologies, Inc. term loan 2.2831% 11/23/12 (n)

347

347

 

22,891

TOTAL INFORMATION TECHNOLOGY

40,157

Floating Rate Loans - continued

 

Principal Amount (000s)

Value (000s)

MATERIALS - 0.0%

Chemicals - 0.0%

Arizona Chemical term loan 6.75% 11/18/16 (n)

$ 225

$ 227

TELECOMMUNICATION SERVICES - 0.1%

Wireless Telecommunication Services - 0.1%

Asurion Corp.:

Tranche 2LN, term loan 6.7534% 7/3/15 (n)

4,890

4,572

Tranche B 2LN, term loan 6.75% 3/31/15 (n)

6,455

6,358

Vodafone Americas Finance 2, Inc. term loan 6.875% 8/11/15

1,590

1,580

 

12,510

UTILITIES - 0.2%

Electric Utilities - 0.1%

Bicent Power LLC Tranche 2LN, term loan 4.29% 12/31/14 (n)

810

198

Texas Competitive Electric Holdings Co. LLC/Texas Competitive Electric Holdings Finance, Inc.:

Tranche B1, term loan 3.7535% 10/10/14 (n)

3,435

2,645

Tranche B2, term loan 3.7535% 10/10/14 (n)

7,325

5,640

Tranche B3, term loan 3.7535% 10/10/14 (n)

15,690

12,042

 

20,525

Independent Power Producers & Energy Traders - 0.1%

Nebraska Energy, Inc. Tranche 2LN, term loan 5.0625% 5/1/14 (n)

12,400

11,532

TOTAL UTILITIES

32,057

TOTAL FLOATING RATE LOANS

(Cost $257,255)

263,702

Bank Notes - 0.0%

 

National City Bank, Cleveland 0.3969% 3/1/13 (n)
(Cost $506)

576

571

Preferred Securities - 0.0%

Principal Amount (000s)

Value (000s)

FINANCIALS - 0.0%

Diversified Financial Services - 0.0%

ING Groep NV 5.775% (n)

620

$ 538

MUFG Capital Finance 1 Ltd. 6.346% (n)

1,965

2,009

 

2,547

TOTAL PREFERRED SECURITIES

(Cost $1,548)

2,547

Fixed-Income Funds - 7.1%

Shares

 

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

4,736,666

516,486

Fidelity Mortgage Backed Securities Central Fund (o)

7,787,103

823,175

TOTAL FIXED-INCOME FUNDS

(Cost $1,257,034)

1,339,661

Money Market Funds - 4.3%

 

 

 

 

Fidelity Cash Central Fund, 0.24% (b)

692,389,311

692,389

Fidelity Securities Lending Cash Central Fund, 0.25% (b)(d)

108,110,734

108,111

TOTAL MONEY MARKET FUNDS

(Cost $800,500)

800,500

Cash Equivalents - 0.0%

Maturity Amount (000s)

 

Investments in repurchase agreements in a joint trading account at 0.24%, dated 11/30/10 due 12/1/10 (Collateralized by U.S. Government Obligations) #
(Cost $9,342)

$ 9,342

9,342

TOTAL INVESTMENT PORTFOLIO - 102.1%

(Cost $16,892,088)

19,139,634

NET OTHER ASSETS (LIABILITIES) - (2.1)%

(394,749)

NET ASSETS - 100%

$ 18,744,885

Swap Agreements

 

Expiration Date

Notional Amount (000s)

Value (000s)

Credit Default Swaps

Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to Credit Suisse First Boston upon each credit event of one of the issues of ABX AA 07-01 Index, par value of the proportional notional amount (Rating-C) (Upfront Payment Made/(Received) $2,560,000) (m)

Sept. 2037

$ 9,577

$ (8,956)

Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to JPMorgan Chase, Inc. upon each credit event of one of the issues of ABX AA 07-01 Index, par value of the proportional notional amount (Rating-C) (Upfront Payment Made/(Received) $2,398,000) (m)

Sept. 2037

7,849

(7,340)

Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to JPMorgan Chase, Inc. upon each credit event of one of the issues of ABX AA 07-01 Index, par value of the proportional notional amount (Rating-C) (Upfront Payment Made/(Received) $566,000) (m)

Sept. 2037

1,800

(1,683)

Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to Morgan Stanley, Inc. upon each credit event of one of the issues of ABX AA 07-01 Index, par value of the proportional notional amount (Rating-C) (Upfront Payment Made/(Received) $2,398,000) (m)

Sept. 2037

7,848

(7,340)

Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to UBS upon each credit event of one of the issues of ABX AA 07-1 Index, par value of the proportional notional amount (Rating-C) (Upfront Payment Made/(Received) $2,332,000) (m)

Sept. 2037

7,632

(7,138)

Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to UBS upon each credit event of one of the issues of ABX AA 07-1 Index, par value of the proportional notional amount (Rating-C) (Upfront Payment Made/(Received) $2,025,000) (m)

Sept. 2037

6,552

(6,128)

 

 

$ 41,258

$ (38,585)

Legend

(a) Non-income producing

(b) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.

(c) 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.

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

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

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

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

(h) Affiliated company

(i) 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 $727,259,000 or 3.9% of net assets.

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

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

(l) Security or a portion of the security has been segregated as collateral for open swap agreements. At the period end, the value of securities pledged amounted to $41,854,000.

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

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

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

(p) Restricted securities - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $37,910,000 or 0.2% of net assets.

Additional information on each holding is as follows:

Security

Acquisition Date

Acquisition Cost (000s)

BMP Sunstone Corp. warrants 8/19/12

8/17/07

$ 7

HMH Holdings, Inc.

1/22/10 - 3/9/10

$ 2,041

Legend Pictures Holdings LLC unit

9/23/10

$ 35,000

RDA Holding Co. warrants 2/19/14

2/27/07 - 6/21/07

$ 9,292

wetpaint.com, Inc. Series C

5/14/08

$ 5,000

* Amount represents less than $1,000

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

Repurchase Agreement / Counterparty

Value
(000s)

$9,342,000 due 12/01/10 at 0.24%

BNP Paribas Securities Corp.

$ 4,406

Barclays Capital, Inc.

3,251

Merrill Lynch, Pierce, Fenner & Smith, Inc.

1,685

 

$ 9,342

Affiliated Central Funds

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

Fund

Income earned
(Amounts in thousands)

Fidelity Cash Central Fund

$ 453

Fidelity Corporate Bond 1-10 Year Central Fund

6,073

Fidelity Mortgage Backed Securities Central Fund

7,089

Fidelity Securities Lending Cash Central Fund

335

Total

$ 13,950

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

Fund
(Amounts in thousands)

Value, beginning
of period

Purchases

Sales Proceeds

Value,
end of
period

% ownership, end of
period

Fidelity Corporate Bond 1-10 Year Central Fund

$ 517,102

$ -

$ -

$ 516,486

25.5%

Fidelity Mortgage Backed Securities Central Fund

818,951

7,089

-

823,175

11.7%

Total

$ 1,336,053

$ 7,089

$ -

$ 1,339,661

Other Affiliated Issuers

An affiliated company is a company in which the Fund has ownership of at least 5% of the voting securities. Fiscal year to date transactions with companies which are or were affiliates are as follows:

Affiliate
(Amounts in thousands)

Value, beginning of period

Purchases

Sales Proceeds

Dividend Income

Value, end of period

CareView Communications, Inc.

$ 16,382

$ -

$ -

$ -

$ 13,024

Neurocrine Biosciences, Inc.

12,570

13,417

-

-

32,300

Total

$ 28,952

$ 13,417

$ -

$ -

$ 45,324

Other Information

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

Valuation Inputs at Reporting Date:

Description
(Amounts in thousands)

Total

Level 1

Level 2

Level 3

Investments in Securities:

Equities:

Consumer Discretionary

$ 1,414,432

$ 1,366,023

$ 13,238

$ 35,171

Consumer Staples

1,083,048

1,083,048

-

-

Energy

1,398,919

1,388,538

10,381

-

Financials

1,384,336

1,352,711

17,780

13,845

Health Care

1,261,126

1,261,063

63

-

Industrials

1,569,055

1,568,744

-

311

Information Technology

2,459,410

2,458,416

-

994

Materials

604,308

567,659

36,649

-

Telecommunication Services

207,686

174,881

32,805

-

Utilities

80,459

74,368

6,091

-

Corporate Bonds

2,027,242

-

2,022,262

4,980

U.S. Government and Government Agency Obligations

2,063,728

-

2,063,728

-

U.S. Government Agency - Mortgage Securities

641,964

-

641,964

-

Asset-Backed Securities

91,986

-

82,443

9,543

Collateralized Mortgage Obligations

111,499

-

108,289

3,210

Commercial Mortgage Securities

310,437

-

285,596

24,841

Municipal Securities

11,618

-

11,618

-

Foreign Government and Government Agency Obligations

1,902

-

1,902

-

Supranational Obligations

156

-

156

-

Floating Rate Loans

263,702

-

263,702

-

Bank Notes

571

-

571

-

Preferred Securities

2,547

-

2,547

-

Fixed-Income Funds

1,339,661

1,339,661

-

-

Money Market Funds

800,500

800,500

-

-

Cash Equivalents

9,342

-

9,342

-

Total Investments in Securities:

$ 19,139,634

$ 13,435,612

$ 5,611,127

$ 92,895

Derivative Instruments:

Liabilities

Swap Agreements

$ (38,585)

$ -

$ (38,585)

$ -

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

Valuation Inputs at Reporting Date:

Description
(Amounts in thousands)

Total

Level 1

Level 2

Level 3

Other Financial Instruments:

 

 

 

 

Forward Commitments

$ 985

$ -

$ 985

$ -

(Amounts in thousands)

 

Investments in Securities:

Beginning Balance

$ 78,422

Total Realized Gain (Loss)

328

Total Unrealized Gain (Loss)

967

Cost of Purchases

38,989

Proceeds of Sales

(1,342)

Amortization/Accretion

193

Transfers in to Level 3

5,279

Transfers out of Level 3

(29,941)

Ending Balance

$ 92,895

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

$ 957

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

Income Tax Information

At November 30, 2010, the cost of investment securities for income tax purposes was $17,034,406,000. Net unrealized appreciation aggregated $2,105,228,000, of which $2,473,169,000 related to appreciated investment securities and $367,941,000 related to depreciated investment securities.

Investment Valuation

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

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

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

Swaps are marked-to-market daily based on valuations from independent pricing services or dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Pricing services utilize matrix pricing which considers comparisons to interest rate curves, credit spread curves, default possibilities and recovery rates and, as a result, swaps are generally categorized as Level 2 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day and are categorized as Level 1 in the hierarchy. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates fair value and are categorized as Level 2 in the hierarchy.

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

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

Credit Default Swap Agreements

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

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

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

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

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

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

The notional amount of credit default swaps approximates the maximum potential amount of future payments that the Fund could be required to make if the Fund is the seller and a credit event were to occur. The total notional amount of all credit default swaps open at period end where the Fund is the seller amounted to $41,258,000 representing 0.22% of net assets.

Quarterly Report

The fund's schedule of investments as of the date on the cover of this report has not been audited. This report is provided for the general information of the fund's shareholders. For more information regarding the fund and its holdings, please

see the fund's most recent prospectus and annual report.

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

or an affiliate.

Quarterly Report

Item 2. Controls and Procedures

(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the Fidelity Puritan 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 Puritan Trust

By:

/s/Kenneth B. Robins

 

Kenneth B. Robins

 

President and Treasurer

 

 

Date:

January 31, 2011

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By:

/s/Kenneth B. Robins

 

Kenneth B. Robins

 

President and Treasurer

 

 

Date:

January 31, 2011

By:

/s/Christine Reynolds

 

Christine Reynolds

 

Chief Financial Officer

 

 

Date:

January 31, 2011