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:

May 31, 2011

Item 1. Schedule of Investments

Quarterly Holdings Report

for

Fidelity ® Puritan® Fund

May 31, 2011 

1.800346.107

PUR-QTLY-0711

Investments May 31, 2011 (Unaudited)

Showing Percentage of Net Assets

Common Stocks - 62.9%

Shares

Value (000s)

CONSUMER DISCRETIONARY - 6.9%

Auto Components - 0.1%

Delphi Corp. Class B (a)

315

$ 7,686

TRW Automotive Holdings Corp. (a)

145,100

8,252

 

15,938

Automobiles - 0.2%

Bayerische Motoren Werke AG (BMW)

509,341

45,052

General Motors Co.

107,045

3,405

General Motors Co.:

warrants 7/10/16 (a)

97,314

2,208

warrants 7/10/19 (a)

97,314

1,622

 

52,287

Diversified Consumer Services - 0.1%

New Oriental Education & Technology Group, Inc. sponsored ADR (a)

265,700

30,773

Hotels, Restaurants & Leisure - 1.0%

Arcos Dorados Holdings, Inc.

1,368,000

31,122

Las Vegas Sands Corp. (a)

580,000

24,093

McDonald's Corp.

628,900

51,281

Starbucks Corp.

1,318,300

48,500

Vail Resorts, Inc. (a)

815,227

39,661

 

194,657

Household Durables - 0.2%

Lennar Corp. Class A

1,800,200

34,168

Internet & Catalog Retail - 0.5%

Amazon.com, Inc. (a)

437,100

85,973

E-Commerce China Dangdang, Inc. ADR (f)

847,000

16,593

 

102,566

Media - 2.8%

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

6,162,400

145,125

Discovery Communications, Inc. (a)

909,400

39,613

Focus Media Holding Ltd. ADR (a)

1,247,400

38,981

HMH Holdings, Inc. (a)(s)

149,814

712

Kabel Deutschland Holding AG (a)

638,700

43,574

Legend Pictures LLC (a)(s)

46,667

35,000

The Walt Disney Co.

2,800,190

116,572

Time Warner, Inc.

1,532,300

55,822

Vertis Holdings, Inc. (a)

30,518

0

Vertis Holdings, Inc. (a)

1,934

22

Virgin Media, Inc.

2,787,000

90,912

 

566,333

Common Stocks - continued

Shares

Value (000s)

CONSUMER DISCRETIONARY - continued

Multiline Retail - 0.3%

PPR SA (f)

352,200

$ 61,287

Specialty Retail - 0.4%

China ZhengTong Auto Services Holdings Ltd.

3,194,000

3,680

Guess?, Inc.

598,000

27,341

Lumber Liquidators Holdings, Inc. (a)

350,000

9,440

Tiffany & Co., Inc.

436,400

33,018

 

73,479

Textiles, Apparel & Luxury Goods - 1.3%

Compagnie Financiere Richemont SA Series A

533,720

34,793

LVMH Moet Hennessy - Louis Vuitton (f)

200,720

34,913

Phillips-Van Heusen Corp.

919,700

60,673

Polo Ralph Lauren Corp. Class A

781,200

99,033

Vera Bradley, Inc.

605,000

29,905

 

259,317

TOTAL CONSUMER DISCRETIONARY

1,390,805

CONSUMER STAPLES - 6.5%

Beverages - 2.4%

Anheuser-Busch InBev SA NV

627,951

37,959

Dr Pepper Snapple Group, Inc.

1,795,675

73,982

Pernod-Ricard SA

697,400

70,385

The Coca-Cola Co.

4,436,900

296,429

 

478,755

Food & Staples Retailing - 1.0%

Costco Wholesale Corp.

791,100

65,250

Droga Raia SA

864,006

15,334

Drogasil SA

4,059,200

28,826

Walgreen Co.

2,254,900

98,381

 

207,791

Food Products - 0.7%

Green Mountain Coffee Roasters, Inc. (a)

1,077,800

88,778

Mead Johnson Nutrition Co. Class A

891,600

60,442

 

149,220

Household Products - 0.1%

Colgate-Palmolive Co.

133,297

11,667

Common Stocks - continued

Shares

Value (000s)

CONSUMER STAPLES - continued

Personal Products - 0.5%

Estee Lauder Companies, Inc. Class A

775,200

$ 79,466

Prestige Brands Holdings, Inc. (a)

2,182,251

28,173

 

107,639

Tobacco - 1.8%

Japan Tobacco, Inc.

11,209

43,381

Lorillard, Inc.

364,400

42,008

Philip Morris International, Inc.

3,937,240

282,497

 

367,886

TOTAL CONSUMER STAPLES

1,322,958

ENERGY - 9.7%

Energy Equipment & Services - 2.7%

Baker Hughes, Inc.

1,060,200

78,381

Compagnie Generale de Geophysique SA (a)

551,300

20,711

Dresser-Rand Group, Inc. (a)

565,300

29,723

Halliburton Co.

2,260,700

113,374

Nabors Industries Ltd. (a)

965,600

26,931

National Oilwell Varco, Inc.

324,200

23,530

Noble Corp.

2,192,900

91,817

Oceaneering International, Inc.

240,800

19,625

Schlumberger Ltd.

866,100

74,242

Transocean Ltd. (United States)

1,115,000

77,281

 

555,615

Oil, Gas & Consumable Fuels - 7.0%

Alpha Natural Resources, Inc. (a)(j)

395,752

21,683

Apache Corp.

859,100

107,044

Chesapeake Energy Corp.

1,700,100

53,281

Chevron Corp.

1,858,500

194,975

ConocoPhillips

925,600

67,772

CVR Energy, Inc. (a)

548,700

11,995

El Paso Corp.

384,399

8,092

EV Energy Partners LP

549,800

30,431

Exxon Mobil Corp.

4,749,917

396,476

Kinder Morgan Holding Co. LLC

156,200

4,575

Marathon Oil Corp.

1,701,000

92,143

Massey Energy Co.

386,100

25,483

OAO Gazprom sponsored ADR

1,265,400

18,665

Occidental Petroleum Corp.

780,858

84,216

PT Bumi Resources Tbk

77,797,000

30,078

Common Stocks - continued

Shares

Value (000s)

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Royal Dutch Shell PLC:

Class A sponsored ADR

1,268,004

$ 90,574

Class B sponsored ADR

127,600

9,228

Tesoro Logistics LP

78,400

1,947

Valero Energy Corp.

3,596,200

98,896

Western Refining, Inc. (a)(f)

1,156,363

20,155

Williams Companies, Inc.

1,507,400

47,317

 

1,415,026

TOTAL ENERGY

1,970,641

FINANCIALS - 8.0%

Capital Markets - 1.1%

Apollo Global Management LLC Class A

1,112,300

20,044

Evercore Partners, Inc. Class A

830,700

30,744

Goldman Sachs Group, Inc.

443,100

62,357

Invesco Ltd.

1,213,000

29,925

State Street Corp.

1,132,600

51,839

The Blackstone Group LP

1,134,400

19,557

UBS AG (NY Shares) (a)

530,200

10,243

 

224,709

Commercial Banks - 2.8%

Banco ABC Brasil SA

2,387,000

18,238

BB&T Corp.

1,297,300

35,728

CIT Group, Inc. (a)

570,400

25,286

Comerica, Inc.

1,147,600

41,440

Credicorp Ltd. (NY Shares)

86,500

8,769

First Republic Bank (f)

400,000

12,900

Huntington Bancshares, Inc.

3,825,900

25,251

Regions Financial Corp.

7,261,900

51,269

SunTrust Banks, Inc.

1,076,300

30,276

U.S. Bancorp, Delaware

4,600,300

117,768

Wells Fargo & Co.

5,977,940

169,594

Zions Bancorporation

1,409,600

33,591

 

570,110

Consumer Finance - 0.2%

Capital One Financial Corp.

382,100

20,763

SLM Corp.

500,000

8,520

 

29,283

Common Stocks - continued

Shares

Value (000s)

FINANCIALS - continued

Diversified Financial Services - 2.6%

Bank of America Corp.

357,046

$ 4,195

Citigroup, Inc.

6,458,640

265,773

JPMorgan Chase & Co.

5,834,523

252,285

NBH Holdings Corp. Class A (a)(h)

710,000

12,780

 

535,033

Insurance - 0.9%

ACE Ltd.

510,100

35,105

Lincoln National Corp.

928,000

27,237

MetLife, Inc.

2,808,600

123,859

 

186,201

Real Estate Investment Trusts - 0.1%

Lexington Corporate Properties Trust

3,086,967

29,141

Real Estate Management & Development - 0.2%

CB Richard Ellis Group, Inc. Class A (a)

998,500

26,390

Iguatemi Empresa de Shopping Centers SA

432,700

11,111

 

37,501

Thrifts & Mortgage Finance - 0.1%

BankUnited, Inc.

769,200

21,815

TOTAL FINANCIALS

1,633,793

HEALTH CARE - 7.5%

Biotechnology - 1.7%

Achillion Pharmaceuticals, Inc. (a)

1,500,000

11,235

Acorda Therapeutics, Inc. (a)

772,900

25,390

Amgen, Inc. (a)

428,800

25,960

Ardea Biosciences, Inc. (a)

271,200

6,777

Biogen Idec, Inc. (a)

772,000

73,132

BioMarin Pharmaceutical, Inc. (a)

1,286,300

36,312

Gilead Sciences, Inc. (a)

731,000

30,512

Neurocrine Biosciences, Inc. (a)(g)

3,731,700

30,787

Theravance, Inc. (a)

1,285,600

33,593

United Therapeutics Corp. (a)

344,500

22,244

Vertex Pharmaceuticals, Inc. (a)

846,300

45,692

 

341,634

Health Care Equipment & Supplies - 1.7%

Baxter International, Inc.

865,200

51,497

C. R. Bard, Inc.

676,800

75,653

Covidien PLC

1,923,100

105,771

Common Stocks - continued

Shares

Value (000s)

HEALTH CARE - continued

Health Care Equipment & Supplies - continued

Edwards Lifesciences Corp. (a)

572,400

$ 50,789

William Demant Holding A/S (a)

734,500

69,454

 

353,164

Health Care Providers & Services - 1.4%

Aetna, Inc.

583,700

25,496

CIGNA Corp.

2,155,900

107,558

Diagnosticos da America SA

1,141,000

16,205

Humana, Inc.

518,900

41,787

McKesson Corp.

866,100

74,147

Medco Health Solutions, Inc. (a)

401,700

24,046

 

289,239

Health Care Technology - 0.1%

CareView Communications, Inc. (a)(f)(g)

10,175,300

16,179

Life Sciences Tools & Services - 0.9%

Agilent Technologies, Inc. (a)

1,468,800

73,249

Bruker BioSciences Corp. (a)

1,272,900

25,102

Illumina, Inc. (a)

1,112,050

80,157

 

178,508

Pharmaceuticals - 1.7%

Elan Corp. PLC sponsored ADR (a)

1,639,548

15,690

GlaxoSmithKline PLC sponsored ADR

1,472,200

63,982

Perrigo Co.

620,100

53,056

Pfizer, Inc.

4,562,000

97,855

Shire PLC sponsored ADR

465,200

44,468

Valeant Pharmaceuticals International, Inc. (Canada)

1,417,911

74,323

 

349,374

TOTAL HEALTH CARE

1,528,098

INDUSTRIALS - 8.0%

Aerospace & Defense - 2.9%

Bombardier, Inc. Class B (sub. vtg.)

7,711,800

53,723

Esterline Technologies Corp. (a)

248,000

18,754

GeoEye, Inc. (a)

491,600

16,306

Goodrich Corp.

593,400

51,798

Precision Castparts Corp.

511,600

80,372

Textron, Inc.

950,500

21,747

Common Stocks - continued

Shares

Value (000s)

INDUSTRIALS - continued

Aerospace & Defense - continued

The Boeing Co.

1,344,800

$ 104,935

United Technologies Corp.

2,798,800

245,651

 

593,286

Airlines - 0.6%

Delta Air Lines, Inc. (a)

436,512

4,400

Southwest Airlines Co.

4,857,900

57,469

United Continental Holdings, Inc. (a)

2,111,900

51,002

 

112,871

Building Products - 0.1%

A.O. Smith Corp.

562,350

23,321

Masonite Worldwide Holdings (a)

5,358

220

Masonite Worldwide Holdings:

warrants 5/20/14 (a)

25,981

31

warrants 5/20/16 (a)

19,485

24

 

23,596

Commercial Services & Supplies - 0.1%

The Geo Group, Inc. (a)

470,000

11,557

Construction & Engineering - 0.6%

Fluor Corp.

947,300

65,297

Foster Wheeler AG (a)

400,000

13,704

MYR Group, Inc. (a)

225,000

5,074

Shaw Group, Inc. (a)

875,700

31,989

 

116,064

Electrical Equipment - 0.4%

AMETEK, Inc.

1,078,000

46,882

Regal-Beloit Corp.

516,000

35,604

 

82,486

Industrial Conglomerates - 1.4%

General Electric Co.

14,822,900

291,122

Machinery - 0.8%

Caterpillar, Inc.

166,400

17,605

Danaher Corp.

1,787,600

97,478

WABCO Holdings, Inc. (a)

581,600

39,869

Weg SA

911,700

10,405

 

165,357

Common Stocks - continued

Shares

Value (000s)

INDUSTRIALS - continued

Road & Rail - 0.8%

CSX Corp.

751,500

$ 59,594

Union Pacific Corp.

1,051,556

110,382

 

169,976

Trading Companies & Distributors - 0.3%

Air Lease Corp. Class A

2,000,000

57,000

TOTAL INDUSTRIALS

1,623,315

INFORMATION TECHNOLOGY - 11.8%

Communications Equipment - 1.6%

Alcatel-Lucent SA sponsored ADR (a)

8,239,100

46,716

Juniper Networks, Inc. (a)

1,245,500

45,598

Motorola Mobility Holdings, Inc.

770,025

19,358

Motorola Solutions, Inc.

21,699

1,039

Polycom, Inc. (a)

789,000

45,296

QUALCOMM, Inc.

2,959,600

173,403

 

331,410

Computers & Peripherals - 3.1%

Apple, Inc. (a)

1,530,400

532,319

Hewlett-Packard Co.

1,231,102

46,019

NetApp, Inc. (a)

1,037,100

56,802

 

635,140

Electronic Equipment & Components - 0.5%

Amphenol Corp. Class A

868,900

46,973

Arrow Electronics, Inc. (a)

715,300

31,924

E Ink Holdings, Inc. GDR (a)(h)

140,100

3,160

LG Display Co. Ltd. sponsored ADR (f)

913,000

15,165

 

97,222

Internet Software & Services - 0.8%

Baidu.com, Inc. sponsored ADR (a)

213,200

28,933

Demand Media, Inc. (f)

1,254,966

19,088

Facebook, Inc. Class B (s)

881,260

22,032

LinkedIn Corp. (a)

34,100

2,782

Mail.ru Group Ltd.:

GDR (a)(h)

580,000

19,894

GDR (Reg. S) (a)

289,900

9,944

Phoenix New Media Ltd. ADR

276,600

3,184

Common Stocks - continued

Shares

Value (000s)

INFORMATION TECHNOLOGY - continued

Internet Software & Services - continued

Rackspace Hosting, Inc. (a)

847,000

$ 37,268

Renren, Inc. ADR

1,565,000

20,110

 

163,235

IT Services - 1.7%

Accenture PLC Class A

1,779,400

102,120

Atos Origin SA (a)

690,586

40,378

Cognizant Technology Solutions Corp. Class A (a)

2,299,000

174,816

ServiceSource International, Inc. (f)

448,000

8,714

Visa, Inc. Class A

250,700

20,322

 

346,350

Semiconductors & Semiconductor Equipment - 0.7%

Avago Technologies Ltd.

880,900

29,766

Freescale Semiconductor Holdings I Ltd.

1,465,000

27,103

NVIDIA Corp. (a)

2,393,696

47,970

PMC-Sierra, Inc. (a)

1,372,700

10,762

Spansion, Inc. Class A (a)

64,190

1,286

Teradyne, Inc. (a)

1,291,200

20,672

 

137,559

Software - 3.4%

ANSYS, Inc. (a)

647,700

37,159

AsiaInfo Holdings, Inc. (a)

498,800

8,943

BMC Software, Inc. (a)

806,800

45,044

Check Point Software Technologies Ltd. (a)

1,219,300

66,964

CommVault Systems, Inc. (a)

1,177,500

48,678

Fortinet, Inc. (a)

384,253

18,632

Informatica Corp. (a)

885,630

51,951

Intuit, Inc. (a)

542,000

29,252

Kenexa Corp. (a)

717,400

22,684

Oracle Corp.

5,270,700

180,363

Rovi Corp. (a)

1,053,000

61,032

salesforce.com, Inc. (a)

332,200

50,581

Solera Holdings, Inc.

643,700

38,036

VMware, Inc. Class A (a)

352,300

34,286

 

693,605

TOTAL INFORMATION TECHNOLOGY

2,404,521

Common Stocks - continued

Shares

Value (000s)

MATERIALS - 3.5%

Chemicals - 1.6%

Air Products & Chemicals, Inc.

332,500

$ 31,617

Arkema SA

311,800

34,169

Ashland, Inc.

836,600

57,173

CF Industries Holdings, Inc.

454,600

69,908

Lanxess AG

495,500

42,765

LyondellBasell Industries NV Class A

1,002,794

43,932

Solutia, Inc. (a)

1,447,600

36,147

Tronox, Inc.

23,603

2,931

 

318,642

Containers & Packaging - 0.1%

Rock-Tenn Co. Class A (f)

370,300

28,450

Metals & Mining - 1.8%

AngloGold Ashanti Ltd. sponsored ADR

1,763,200

81,037

Goldcorp, Inc.

1,747,900

87,418

MacArthur Coal Ltd.

2,797,302

35,536

Newcrest Mining Ltd.

2,628,235

111,389

Walter Energy, Inc.

338,000

42,098

 

357,478

TOTAL MATERIALS

704,570

TELECOMMUNICATION SERVICES - 0.3%

Diversified Telecommunication Services - 0.1%

AboveNet, Inc.

361,900

28,254

CenturyLink, Inc.

34

1

 

28,255

Wireless Telecommunication Services - 0.2%

American Tower Corp. Class A (a)

565,300

31,363

TOTAL TELECOMMUNICATION SERVICES

59,618

UTILITIES - 0.7%

Electric Utilities - 0.2%

PPL Corp.

1,739,500

49,037

Gas Utilities - 0.3%

Energen Corp.

378,600

23,575

ONEOK, Inc.

424,700

30,192

 

53,767

Common Stocks - continued

Shares

Value (000s)

UTILITIES - continued

Multi-Utilities - 0.2%

National Grid PLC

3,503,800

$ 36,173

TOTAL UTILITIES

138,977

TOTAL COMMON STOCKS

(Cost $10,141,204)

12,777,296

Preferred Stocks - 1.0%

 

 

 

 

Convertible Preferred Stocks - 0.3%

CONSUMER DISCRETIONARY - 0.1%

Automobiles - 0.1%

General Motors Co. 4.75%

184,400

9,238

ENERGY - 0.0%

Oil, Gas & Consumable Fuels - 0.0%

Apache Corp. 6.00%

64,800

4,311

Chesapeake Energy Corp. 5.00%

18,580

1,845

 

6,156

FINANCIALS - 0.1%

Diversified Financial Services - 0.1%

2010 Swift Mandatory Common Exchange Security Trust 6.00% (h)

239,300

3,182

Citigroup, Inc. 7.50%

59,300

7,146

 

10,328

Real Estate Investment Trusts - 0.0%

Health Care REIT, Inc. 6.50%

113,000

5,961

TOTAL FINANCIALS

16,289

INFORMATION TECHNOLOGY - 0.0%

Internet Software & Services - 0.0%

wetpaint.com, Inc. Series C (a)(s)

497,017

994

MATERIALS - 0.0%

Metals & Mining - 0.0%

AngloGold Ashanti Holdings Finance PLC 6.00%

108,900

5,704

Preferred Stocks - continued

Shares

Value (000s)

Convertible Preferred Stocks - continued

UTILITIES - 0.1%

Electric Utilities - 0.1%

AES Trust III 6.75%

126,300

$ 6,208

PPL Corp. 8.75%

108,000

5,913

 

12,121

TOTAL CONVERTIBLE PREFERRED STOCKS

50,502

Nonconvertible Preferred Stocks - 0.7%

CONSUMER DISCRETIONARY - 0.6%

Automobiles - 0.6%

Porsche Automobil Holding SE (Germany)

511,350

35,548

Volkswagen AG

486,000

86,282

 

121,830

FINANCIALS - 0.1%

Diversified Financial Services - 0.1%

GMAC Capital Trust I 8.125%

377,872

9,927

GMAC LLC 7.00% (h)

11,951

11,473

 

21,400

TOTAL NONCONVERTIBLE PREFERRED STOCKS

143,230

TOTAL PREFERRED STOCKS

(Cost $143,692)

193,732

Corporate Bonds - 11.0%

 

Principal Amount (000s)

 

Convertible Bonds - 0.2%

CONSUMER DISCRETIONARY - 0.1%

Leisure Equipment & Products - 0.1%

Eastman Kodak Co. 7% 4/1/17

$ 7,050

6,286

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Convertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Media - 0.0%

Liberty Media Corp.:

3.5% 1/15/31

$ 504

$ 348

3.5% 1/15/31 (h)

3,727

2,575

 

2,923

TOTAL CONSUMER DISCRETIONARY

9,209

ENERGY - 0.1%

Oil, Gas & Consumable Fuels - 0.1%

Alpha Natural Resources, Inc. 2.375% 4/15/15 (j)

1,350

1,752

Peabody Energy Corp. 4.75% 12/15/66

6,300

7,938

 

9,690

INFORMATION TECHNOLOGY - 0.0%

Semiconductors & Semiconductor Equipment - 0.0%

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

2,860

2,969

MATERIALS - 0.0%

Construction Materials - 0.0%

Headwaters, Inc. 2.5% 2/1/14

4,920

4,391

TELECOMMUNICATION SERVICES - 0.0%

Diversified Telecommunication Services - 0.0%

Clearwire Communications LLC/Clearwire Finance, Inc. 8.25% 12/1/40 (h)

4,000

4,025

TOTAL CONVERTIBLE BONDS

30,284

Nonconvertible Bonds - 10.8%

CONSUMER DISCRETIONARY - 1.4%

Auto Components - 0.1%

DaimlerChrysler NA Holding Corp. 5.75% 9/8/11

5,187

5,259

Delphi Corp.:

5.875% 5/15/19 (h)

1,820

1,815

6.125% 5/15/21 (h)

1,690

1,694

Exide Technologies 8.625% 2/1/18 (h)

825

866

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Auto Components - continued

International Automotive Components Group SA 9.125% 6/1/18 (h)(j)

$ 1,930

$ 1,978

Tenneco, Inc. 6.875% 12/15/20

2,415

2,475

 

14,087

Automobiles - 0.0%

Ford Motor Co.:

6.375% 2/1/29

2,190

2,119

6.625% 10/1/28

2,355

2,384

7.45% 7/16/31

665

755

General Motors Corp.:

6.75% 5/1/28 (d)

390

7

7.125% 7/15/13 (d)

1,135

19

7.2% 1/15/11 (d)

2,855

49

7.4% 9/1/25 (d)

195

3

7.7% 4/15/16 (d)

705

12

8.25% 7/15/23 (d)

5,475

94

8.375% 7/15/33 (d)

16,800

287

 

5,729

Distributors - 0.0%

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

1,745

1,732

Diversified Consumer Services - 0.1%

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

13,000

13,780

Hotels, Restaurants & Leisure - 0.2%

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

2,935

3,096

Ameristar Casinos, Inc. 7.5% 4/15/21 (h)

2,810

2,929

Chukchansi Economic Development Authority:

3.917% 11/15/12 (h)(n)

1,140

938

8% 11/15/13 (h)

1,890

1,559

CityCenter Holdings LLC/CityCenter Finance Corp. 7.625% 1/15/16 (h)

2,105

2,158

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

760

821

MCE Finance Ltd. 10.25% 5/15/18

4,620

5,336

MGM Mirage, Inc.:

5.875% 2/27/14

4,008

3,968

6.625% 7/15/15

2,080

2,023

6.75% 4/1/13

80

82

7.5% 6/1/16

5,580

5,441

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Hotels, Restaurants & Leisure - continued

MGM Mirage, Inc.: - continued

9% 3/15/20

$ 1,770

$ 1,974

11.125% 11/15/17

5,175

5,990

13% 11/15/13

5,000

6,025

NAI Entertainment Holdings LLC/NAI Entertainment Finance Corp. 8.25% 12/15/17 (h)

1,060

1,145

NCL Corp. Ltd. 9.5% 11/15/18 (h)

565

609

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

1,080

1,075

Seven Seas Cruises S de RL LLC 9.125% 5/15/19 (h)

250

258

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

2,270

1,657

Station Casinos, Inc.:

6% 4/1/12 (d)

7,405

1

7.75% 8/15/16 (d)

1,735

0*

Sugarhouse HSP Gaming Prop Mezz LP/Sugarhouse HSP Gaming Finance Corp. 8.625% 4/15/16 (h)

220

226

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

1,282

698

 

48,009

Household Durables - 0.1%

Fortune Brands, Inc.:

5.375% 1/15/16

9,277

10,078

5.875% 1/15/36

2,020

1,955

6.375% 6/15/14

1,380

1,539

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

7.125% 4/15/19 (h)

1,140

1,174

9% 4/15/19 (h)

1,305

1,380

Whirlpool Corp. 6.125% 6/15/11

1,155

1,157

 

17,283

Leisure Equipment & Products - 0.0%

Eastman Kodak Co.:

9.75% 3/1/18 (h)

2,131

2,067

10.625% 3/15/19 (h)

1,800

1,791

 

3,858

Media - 0.8%

Bresnan Broadband Holdings LLC 8% 12/15/18 (h)

875

923

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Media - continued

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

$ 5,995

$ 6,385

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

1,095

1,166

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

11,727

13,955

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

520

543

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

1,290

845

Clear Channel Communications, Inc.:

4.9% 5/15/15

765

658

5% 3/15/12

4,405

4,416

5.5% 9/15/14

4,055

3,720

5.5% 12/15/16

1,330

958

Clear Channel Worldwide Holdings, Inc.:

Series A, 9.25% 12/15/17

780

850

Series B, 9.25% 12/15/17

3,120

3,409

Comcast Corp.:

4.95% 6/15/16

1,742

1,913

5.15% 3/1/20

595

640

5.7% 5/15/18

10,139

11,357

6.4% 3/1/40

2,111

2,301

6.45% 3/15/37

1,033

1,123

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

2,632

2,801

Discovery Communications LLC:

3.7% 6/1/15

3,557

3,750

6.35% 6/1/40

3,224

3,476

DISH DBS Corp. 6.75% 6/1/21 (h)

3,515

3,550

EchoStar Communications Corp. 6.625% 10/1/14

3,000

3,195

Entravision Communication Corp. 8.75% 8/1/17

1,625

1,727

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

990

1,052

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

480

499

Lamar Media Corp. 7.875% 4/15/18

1,400

1,505

Liberty Media Corp. 8.25% 2/1/30

889

866

NBC Universal, Inc.:

3.65% 4/30/15 (h)

4,663

4,903

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Media - continued

NBC Universal, Inc.: - continued

5.15% 4/30/20 (h)

$ 4,917

$ 5,231

6.4% 4/30/40 (h)

4,249

4,617

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

6,290

7,681

Nexstar Broadcasting, Inc.:

7% 1/15/14

1,977

1,979

7% 1/15/14 pay-in-kind

6,023

6,031

Nielsen Finance LLC/Nielsen Finance Co.:

7.75% 10/15/18 (h)

3,165

3,402

11.5% 5/1/16

1,947

2,302

11.625% 2/1/14

1,171

1,379

Radio One, Inc. 15% 5/11/16 pay-in-kind (h)(n)

4,178

4,286

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

7,775

8,047

Satmex Escrow SA de CV 9.5% 5/15/17 (h)

475

485

Sheridan Group, Inc. 12.5% 4/15/14 (h)

1,825

1,738

Time Warner Cable, Inc.:

5.4% 7/2/12

2,266

2,377

5.85% 5/1/17

2,500

2,797

6.2% 7/1/13

2,154

2,369

6.75% 7/1/18

1,087

1,264

Time Warner, Inc.:

3.15% 7/15/15

362

373

5.875% 11/15/16

3,112

3,562

6.2% 3/15/40

2,618

2,728

6.5% 11/15/36

2,633

2,838

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

5,860

5,538

Univision Communications, Inc.:

6.875% 5/15/19 (h)

2,230

2,230

7.875% 11/1/20 (h)

1,640

1,738

Videotron Ltd. 9.125% 4/15/18

5,565

6,247

 

163,725

Specialty Retail - 0.1%

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

565

588

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

780

774

Limited Brands, Inc. 6.625% 4/1/21

300

311

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

1,665

1,707

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

3,260

3,488

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Specialty Retail - continued

Sonic Automotive, Inc.:

8.625% 8/15/13

$ 1,511

$ 1,534

9% 3/15/18

1,000

1,065

Staples, Inc. 7.375% 10/1/12

757

813

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

3,430

3,859

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

4,995

5,357

 

19,496

Textiles, Apparel & Luxury Goods - 0.0%

Polymer Group, Inc. 7.75% 2/1/19 (h)

605

622

TOTAL CONSUMER DISCRETIONARY

288,321

CONSUMER STAPLES - 0.4%

Beverages - 0.1%

Anheuser-Busch InBev Worldwide, Inc.:

2.5% 3/26/13

1,969

2,020

5.375% 11/15/14

5,671

6,350

Diageo Capital PLC 5.2% 1/30/13

3,201

3,428

FBG Finance Ltd. 5.125% 6/15/15 (h)

2,722

2,974

 

14,772

Food & Staples Retailing - 0.1%

CVS Caremark Corp.:

4.125% 5/15/21

5,719

5,625

6.302% 6/1/37 (n)

597

591

Rite Aid Corp.:

7.5% 3/1/17

13,280

13,280

10.375% 7/15/16

5,420

5,854

 

25,350

Food Products - 0.1%

Cargill, Inc. 6% 11/27/17 (h)

417

483

Kraft Foods, Inc.:

5.375% 2/10/20

5,528

6,051

5.625% 11/1/11

437

446

6.5% 8/11/17

6,561

7,705

6.75% 2/19/14

318

361

 

15,046

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

CONSUMER STAPLES - continued

Tobacco - 0.1%

Altria Group, Inc.:

8.5% 11/10/13

$ 446

$ 520

9.7% 11/10/18

14,772

19,727

Reynolds American, Inc.:

6.75% 6/15/17

2,746

3,212

7.25% 6/15/37

6,101

6,821

 

30,280

TOTAL CONSUMER STAPLES

85,448

ENERGY - 1.2%

Energy Equipment & Services - 0.2%

Calfrac Holdings LP 7.5% 12/1/20 (h)

1,435

1,485

DCP Midstream LLC 5.35% 3/15/20 (h)

5,028

5,372

El Paso Pipeline Partners Operating Co. LLC:

4.1% 11/15/15

5,488

5,752

6.5% 4/1/20

1,008

1,157

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

7,200

7,020

Forbes Energy Services Ltd. 9% 6/15/19 (h)(j)

1,385

1,388

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

860

912

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

863

897

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

1,420

1,429

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

1,580

1,635

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

1,355

1,602

Trinidad Drilling Ltd. 7.875% 1/15/19 (h)

630

668

Weatherford International Ltd.:

4.95% 10/15/13

1,614

1,728

5.15% 3/15/13

2,110

2,241

 

33,286

Oil, Gas & Consumable Fuels - 1.0%

Alpha Natural Resources, Inc.:

6% 6/1/19

2,915

2,941

6.25% 6/1/21 (j)

1,675

1,704

Anadarko Petroleum Corp.:

5.95% 9/15/16

663

749

6.375% 9/15/17

9,475

10,894

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

4,470

4,872

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

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

$ 9,495

$ 9,851

BW Group Ltd. 6.625% 6/28/17 (h)

2,741

2,770

Calumet Specialty Products Partners LP/Calumet Finance Corp. 9.375% 5/1/19 (h)

635

664

Canadian Natural Resources Ltd.:

5.15% 2/1/13

1,519

1,621

5.7% 5/15/17

392

452

ConocoPhillips 5.75% 2/1/19

7,588

8,844

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

860

862

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

1,973

2,156

Drummond Co., Inc.:

7.375% 2/15/16

5,000

5,100

9% 10/15/14 (h)

1,155

1,221

Duke Capital LLC 6.25% 2/15/13

589

637

Duke Energy Field Services:

5.375% 10/15/15 (h)

1,133

1,263

6.45% 11/3/36 (h)

3,753

4,020

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

867

989

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

2,678

2,996

Enterprise Products Operating LP:

5.6% 10/15/14

660

737

5.65% 4/1/13

410

442

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

1,715

1,784

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

3,581

3,739

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

302

358

LINN Energy LLC/LINN Energy Finance Corp. 6.5% 5/15/19 (h)

1,820

1,806

Marathon Petroleum Corp. 5.125% 3/1/21 (h)

3,001

3,130

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

1,140

1,254

Motiva Enterprises LLC:

5.75% 1/15/20 (h)

2,578

2,904

6.85% 1/15/40 (h)

6,648

7,923

Nakilat, Inc. 6.067% 12/31/33 (h)

1,839

1,867

Nexen, Inc.:

5.2% 3/10/15

842

925

5.875% 3/10/35

2,365

2,323

6.2% 7/30/19

825

938

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Nexen, Inc.: - continued

6.4% 5/15/37

$ 4,230

$ 4,374

NGPL PipeCo LLC 6.514% 12/15/12 (h)

3,302

3,482

Petrobras International Finance Co. Ltd.:

3.875% 1/27/16

4,954

5,070

5.75% 1/20/20

10,133

10,747

6.875% 1/20/40

1,057

1,147

7.875% 3/15/19

5,564

6,713

Petroleos Mexicanos 6% 3/5/20

879

952

Petroleum Development Corp. 12% 2/15/18

4,240

4,770

Plains All American Pipeline LP/PAA Finance Corp.:

3.95% 9/15/15

137

144

4.25% 9/1/12

663

688

5% 2/1/21

1,642

1,708

6.125% 1/15/17

1,880

2,124

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

1,661

1,821

Ras Laffan Liquefied Natural Gas Co. Ltd. III:

4.5% 9/30/12 (h)

2,588

2,685

5.5% 9/30/14 (h)

3,880

4,229

5.832% 9/30/16 (h)

1,046

1,141

6.332% 9/30/27 (h)

5,710

6,132

6.75% 9/30/19 (h)

2,367

2,716

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

2,550

2,671

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

2,522

2,713

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

10,070

10,171

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

501

535

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

421

461

Suncor Energy, Inc.:

6.1% 6/1/18

7,256

8,368

6.85% 6/1/39

6,550

7,685

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

2,650

2,904

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

948

1,101

Western Gas Partners LP 5.375% 6/1/21

5,617

5,808

XTO Energy, Inc.:

4.9% 2/1/14

364

400

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

XTO Energy, Inc.: - continued

5% 1/31/15

$ 1,031

$ 1,157

5.65% 4/1/16

707

823

 

200,176

TOTAL ENERGY

233,462

FINANCIALS - 3.5%

Capital Markets - 0.5%

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

8,893

9,830

BlackRock, Inc. 4.25% 5/24/21

980

978

Goldman Sachs Group, Inc.:

3.7% 8/1/15

5,929

6,020

5.95% 1/18/18

3,697

4,005

6% 6/15/20

5,000

5,373

6.15% 4/1/18

1,544

1,693

6.75% 10/1/37

4,509

4,531

Janus Capital Group, Inc. 5.875% 9/15/11 (e)

812

819

JPMorgan Chase Capital XX 6.55% 9/29/36

7,545

7,738

Lazard Group LLC:

6.85% 6/15/17

3,573

3,999

7.125% 5/15/15

1,276

1,438

Merrill Lynch & Co., Inc.:

5.45% 2/5/13

4,315

4,594

6.4% 8/28/17

3,463

3,886

6.875% 4/25/18

4,526

5,158

Morgan Stanley:

4% 7/24/15

883

914

4.75% 4/1/14

2,291

2,416

5.45% 1/9/17

1,300

1,402

5.625% 9/23/19

1,659

1,732

5.75% 1/25/21

4,000

4,183

5.95% 12/28/17

510

560

6% 5/13/14

3,192

3,504

6% 4/28/15

1,932

2,144

6.625% 4/1/18

1,161

1,307

7.3% 5/13/19

4,941

5,690

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

1,765

1,606

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Capital Markets - continued

The Bank of New York, Inc. 4.3% 5/15/14

$ 4,756

$ 5,162

UBS AG Stamford Branch 3.875% 1/15/15

8,000

8,451

 

99,133

Commercial Banks - 0.7%

Bank of America NA:

5.3% 3/15/17

13,137

13,891

6.1% 6/15/17

522

574

CIT Group, Inc.:

7% 5/1/15

14,251

14,357

7% 5/1/16

5,173

5,186

7% 5/1/17

20,375

20,426

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

10,887

11,983

DBS Bank Ltd. (Singapore) 0.4808% 5/16/17 (h)(n)

3,496

3,452

Discover Bank:

7% 4/15/20

2,178

2,483

8.7% 11/18/19

1,651

2,060

Export-Import Bank of Korea:

5.25% 2/10/14 (h)

333

358

5.5% 10/17/12

2,091

2,200

Fifth Third Bancorp:

3.625% 1/25/16

2,893

2,959

4.5% 6/1/18

418

417

8.25% 3/1/38

3,116

3,887

Fifth Third Bank 4.75% 2/1/15

680

723

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

2,100

2,084

HBOS PLC 6.75% 5/21/18 (h)

408

412

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

1,364

1,572

JPMorgan Chase Bank 6% 10/1/17

1,942

2,183

KeyBank NA:

5.45% 3/3/16

1,877

2,050

5.8% 7/1/14

4,250

4,681

KeyCorp. 5.1% 3/24/21

2,604

2,710

Manufacturers & Traders Trust Co. 1.8045% 4/1/13 (n)

547

547

Marshall & Ilsley Bank:

4.85% 6/16/15

2,431

2,627

5% 1/17/17

3,592

3,908

5.25% 9/4/12

1,524

1,586

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Commercial Banks - continued

Regions Bank:

6.45% 6/26/37

$ 4,710

$ 4,398

7.5% 5/15/18

2,851

3,086

Regions Financial Corp.:

0.4785% 6/26/12 (n)

461

448

5.75% 6/15/15

996

1,018

7.75% 11/10/14

4,550

4,988

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

4,440

4,546

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

1,837

1,841

UnionBanCal Corp. 5.25% 12/16/13

614

663

Wachovia Bank NA:

4.8% 11/1/14

509

552

4.875% 2/1/15

1,305

1,414

Wachovia Corp.:

5.625% 10/15/16

3,151

3,520

5.75% 6/15/17

1,728

1,963

Wells Fargo & Co.:

3.625% 4/15/15

3,029

3,197

3.676% 6/15/16

2,210

2,297

 

143,247

Consumer Finance - 0.5%

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

1,800

1,832

Discover Financial Services:

6.45% 6/12/17

9,507

10,697

10.25% 7/15/19

797

1,063

Ford Motor Credit Co. LLC:

5.75% 2/1/21

2,610

2,613

8.125% 1/15/20

5,000

5,872

General Electric Capital Corp.:

2.25% 11/9/15

4,296

4,238

2.95% 5/9/16

1,152

1,156

3.5% 6/29/15

1,191

1,247

5.625% 9/15/17

17,812

19,907

General Motors Acceptance Corp.:

6.875% 9/15/11

1,360

1,377

6.875% 8/28/12

3,685

3,865

8% 11/1/31

2,570

2,820

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Consumer Finance - continued

GMAC LLC:

6% 12/15/11

$ 880

$ 898

6.75% 12/1/14

2,355

2,508

6.875% 9/15/11

1,365

1,382

8% 12/31/18

5,795

6,389

8% 11/1/31

19,846

21,979

Household Finance Corp. 6.375% 10/15/11

1,724

1,762

HSBC Finance Corp. 5.9% 6/19/12

789

830

SLM Corp.:

0.5038% 10/25/11 (n)

5,381

5,368

8.45% 6/15/18

5,435

6,128

 

103,931

Diversified Financial Services - 0.8%

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

5,195

5,634

BP Capital Markets PLC:

3.125% 10/1/15

894

916

3.625% 5/8/14

5,608

5,900

4.5% 10/1/20

888

909

4.742% 3/11/21

4,210

4,357

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

6,880

7,499

Capital One Capital V 10.25% 8/15/39

3,798

4,040

CCO Holdings LLC/CCO Holdings Capital Corp.:

7.875% 4/30/18

1,460

1,548

8.125% 4/30/20

3,485

3,768

CDW LLC/CDW Finance Corp. 8% 12/15/18 (h)

2,090

2,236

CIT Group, Inc. 6.625% 4/1/18 (h)

3,445

3,686

Citigroup, Inc.:

4.75% 5/19/15

9,415

10,101

5.5% 4/11/13

6,263

6,699

6.125% 5/15/18

10,485

11,697

6.5% 8/19/13

19,106

21,005

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

3,445

3,488

Icahn Enterprises LP/Icahn Enterprises Finance Corp. 7.75% 1/15/16

7,625

7,835

JPMorgan Chase & Co.:

3.4% 6/24/15

877

907

4.625% 5/10/21

5,000

5,018

4.65% 6/1/14

6,500

7,037

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Diversified Financial Services - continued

JPMorgan Chase & Co.: - continued

6.3% 4/23/19

$ 2,800

$ 3,198

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

5,023

4,998

Offshore Group Investment Ltd.:

11.5% 8/1/15

2,905

3,196

11.5% 8/1/15 (h)(j)

640

704

ORIX Corp. 5.48% 11/22/11

227

231

Prime Property Funding, Inc.:

5.125% 6/1/15 (h)

1,010

1,058

5.5% 1/15/14 (h)

644

693

5.7% 4/15/17 (h)

1,572

1,649

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

6.875% 2/15/21 (h)

1,485

1,530

8.25% 2/15/21 (h)

1,485

1,504

TECO Finance, Inc.:

4% 3/15/16

1,242

1,300

5.15% 3/15/20

1,894

2,032

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

3,383

3,620

Transportation Union LLC/Transportation Union Financing Corp. 11.375% 6/15/18

3,930

4,520

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

5,000

4,988

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

8,045

9,500

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

2,951

3,084

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

961

971

 

163,056

Insurance - 0.4%

Aon Corp.:

3.125% 5/27/16

2,604

2,617

3.5% 9/30/15

2,415

2,494

5% 9/30/20

2,329

2,411

6.25% 9/30/40

1,570

1,691

Assurant, Inc. 5.625% 2/15/14

1,772

1,904

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

329

358

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

1,381

1,450

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

265

285

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Insurance - continued

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

$ 3,710

$ 3,840

Liberty Mutual Group, Inc.:

5% 6/1/21 (h)

5,635

5,539

6.5% 3/15/35 (h)

551

554

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

4,201

6,056

MetLife, Inc.:

2.375% 2/6/14

1,319

1,346

5% 6/15/15

686

754

5.875% 2/6/41

1,540

1,621

6.125% 12/1/11

583

599

6.75% 6/1/16

3,874

4,576

Metropolitan Life Global Funding I:

5.125% 4/10/13 (h)

329

351

5.125% 6/10/14 (h)

3,462

3,791

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

1,531

1,537

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

2,041

2,178

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

2,164

2,564

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

3,353

3,705

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

3,138

3,337

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

2,499

3,409

Pacific LifeCorp 6% 2/10/20 (h)

4,423

4,844

Prudential Financial, Inc.:

3.875% 1/14/15

2,500

2,635

5.15% 1/15/13

2,369

2,506

7.375% 6/15/19

1,880

2,255

8.875% 6/15/38 (n)

1,751

2,127

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

437

427

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

4,684

4,920

Unum Group:

5.625% 9/15/20

2,719

2,885

7.125% 9/30/16

803

935

USI Holdings Corp. 4.1358% 11/15/14 (h)(n)

2,920

2,796

 

85,297

Real Estate Investment Trusts - 0.2%

AvalonBay Communities, Inc.:

4.95% 3/15/13

216

230

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Real Estate Investment Trusts - continued

AvalonBay Communities, Inc.: - continued

5.5% 1/15/12

$ 1,169

$ 1,202

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

903

994

Camden Property Trust:

5.375% 12/15/13

2,150

2,316

5.875% 11/30/12

395

419

Developers Diversified Realty Corp.:

4.75% 4/15/18

2,318

2,317

5.375% 10/15/12

2,926

3,031

7.5% 4/1/17

3,456

4,015

Duke Realty LP:

4.625% 5/15/13

741

779

5.875% 8/15/12

71

75

Equity One, Inc.:

6% 9/15/17

522

559

6.25% 12/15/14

924

1,013

6.25% 1/15/17

291

316

Federal Realty Investment Trust:

5.4% 12/1/13

257

278

5.9% 4/1/20

1,287

1,430

6% 7/15/12

2,719

2,859

6.2% 1/15/17

365

416

HRPT Properties Trust:

5.75% 11/1/15

524

567

6.25% 6/15/17

726

803

6.65% 1/15/18

490

553

Omega Healthcare Investors, Inc.:

6.75% 10/15/22 (h)

1,885

1,885

7% 1/15/16

4,090

4,218

Senior Housing Properties Trust 8.625% 1/15/12

5,910

6,147

Washington (REIT):

5.25% 1/15/14

440

475

5.95% 6/15/11

3,403

3,408

 

40,305

Real Estate Management & Development - 0.3%

AMB Property LP 5.9% 8/15/13

1,520

1,613

Arden Realty LP 5.2% 9/1/11

1,241

1,255

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Real Estate Management & Development - continued

BioMed Realty LP:

3.85% 4/15/16

$ 5,000

$ 5,070

6.125% 4/15/20

1,703

1,842

Brandywine Operating Partnership LP:

5.7% 5/1/17

119

129

5.75% 4/1/12

1,747

1,811

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

900

945

Digital Realty Trust LP:

4.5% 7/15/15

2,465

2,578

5.25% 3/15/21

2,876

2,925

Duke Realty LP:

5.4% 8/15/14

596

647

5.5% 3/1/16

2,930

3,180

5.625% 8/15/11

5,671

5,721

6.75% 3/15/20

517

592

8.25% 8/15/19

1,710

2,106

ERP Operating LP:

4.75% 7/15/20

3,638

3,771

5.5% 10/1/12

279

295

Liberty Property LP:

4.75% 10/1/20

5,547

5,664

5.125% 3/2/15

951

1,041

5.5% 12/15/16

1,396

1,543

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

957

1,179

Post Apartment Homes LP 6.3% 6/1/13

2,240

2,407

Realogy Corp.:

7.875% 2/15/19 (h)

2,110

2,128

11.5% 4/15/17 (h)

4,960

5,245

Regency Centers LP:

4.95% 4/15/14

360

383

5.25% 8/1/15

1,257

1,370

5.875% 6/15/17

639

721

Simon Property Group LP:

4.2% 2/1/15

1,785

1,923

6.75% 5/15/14

4,302

4,891

Tanger Properties LP:

6.125% 6/1/20

4,914

5,511

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Real Estate Management & Development - continued

Tanger Properties LP: - continued

6.15% 11/15/15

$ 873

$ 980

Ventas Realty LP Series 1, 6.5% 6/1/16

660

683

 

70,149

Thrifts & Mortgage Finance - 0.1%

Bank of America Corp.:

5.875% 1/5/21

7,170

7,646

7.375% 5/15/14

26

30

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

4,160

4,650

 

12,326

TOTAL FINANCIALS

717,444

HEALTH CARE - 0.7%

Biotechnology - 0.0%

Celgene Corp. 2.45% 10/15/15

838

832

Health Care Equipment & Supplies - 0.0%

Aviv Healthcare Properties LP 7.75% 2/15/19 (h)

1,235

1,263

Health Care Providers & Services - 0.5%

Coventry Health Care, Inc.:

5.95% 3/15/17

1,030

1,115

6.3% 8/15/14

2,132

2,297

DaVita, Inc.:

6.375% 11/1/18

1,795

1,835

6.625% 11/1/20

1,555

1,592

Express Scripts, Inc.:

3.125% 5/15/16

4,847

4,899

6.25% 6/15/14

1,491

1,685

HCA Holdings, Inc. 7.75% 5/15/21 (h)

22,640

23,546

HCA, Inc.:

7.875% 2/15/20

4,825

5,289

9.25% 11/15/16

7,940

8,476

9.875% 2/15/17

850

951

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

5,025

5,057

Medco Health Solutions, Inc.:

2.75% 9/15/15

1,608

1,624

4.125% 9/15/20

3,728

3,692

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

HEALTH CARE - continued

Health Care Providers & Services - continued

Multiplan, Inc. 9.875% 9/1/18 (h)

$ 3,385

$ 3,656

Rotech Healthcare, Inc. 10.5% 3/15/18 (h)

960

955

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

655

670

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

4,790

4,945

Tenet Healthcare Corp.:

8.875% 7/1/19

4,610

5,129

9% 5/1/15

1,002

1,087

9.875% 7/1/14

4,690

5,112

10% 5/1/18

5,002

5,727

UHS Escrow Corp. 7% 10/1/18

420

439

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

10,745

11,255

Vanguard Health Holding Co. II LLC/Vanguard Health Holding Co. II, Inc. 7.75% 2/1/19 (h)

1,495

1,540

Vanguard Health Systems, Inc. 0% 2/1/16 (h)

4,990

3,219

 

105,792

Pharmaceuticals - 0.2%

Giant Funding Corp. 8.25% 2/1/18 (h)

1,900

2,000

Novartis Capital Corp. 4.125% 2/10/14

1,727

1,863

Roche Holdings, Inc. 5% 3/1/14 (h)

2,224

2,443

Valeant Pharmaceuticals International:

6.5% 7/15/16 (h)

3,695

3,732

6.75% 10/1/17 (h)

1,330

1,310

6.75% 8/15/21 (h)

8,380

8,129

7% 10/1/20 (h)

1,775

1,748

7.25% 7/15/22 (h)

5,905

5,846

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

984

1,073

 

28,144

TOTAL HEALTH CARE

136,031

INDUSTRIALS - 0.6%

Aerospace & Defense - 0.1%

ADS Tactical, Inc. 11% 4/1/18 (h)

630

669

BAE Systems Holdings, Inc.:

4.95% 6/1/14 (h)

781

841

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

INDUSTRIALS - continued

Aerospace & Defense - continued

BAE Systems Holdings, Inc.: - continued

6.375% 6/1/19 (h)

$ 3,650

$ 4,198

6.4% 12/15/11 (h)

482

497

DRS Technologies, Inc.:

6.625% 2/1/16

3,760

3,887

7.625% 2/1/18

1,830

1,901

Huntington Ingalls Industries, Inc.:

6.875% 3/15/18 (h)

645

671

7.125% 3/15/21 (h)

645

672

 

13,336

Air Freight & Logistics - 0.1%

CEVA Logistics:

8.375% 12/1/17 (h)

6,325

6,610

11.5% 4/1/18 (h)

5,680

6,234

 

12,844

Airlines - 0.1%

Continental Airlines, Inc.:

pass-thru trust certificates:

8.388% 5/1/22

66

66

9.798% 4/1/21

5,597

5,877

6.648% 3/15/19

2,415

2,554

6.9% 7/2/19

711

754

7.339% 4/19/14

1,350

1,350

Delta Air Lines, Inc. 9.5% 9/15/14 (h)

872

935

Delta Air Lines, Inc. pass-thru trust certificates 7.779% 1/2/12

35

35

U.S. Airways pass-thru trust certificates:

6.85% 7/30/19

1,532

1,471

8.36% 1/20/19

1,150

1,213

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

999

1,066

 

15,321

Building Products - 0.0%

Building Materials Corp. of America 6.75% 5/1/21 (h)

2,935

2,950

Masonite International Corp. 8.25% 4/15/21 (h)

580

580

 

3,530

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

INDUSTRIALS - continued

Commercial Services & Supplies - 0.2%

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

$ 2,045

$ 2,099

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

1,015

1,141

Cenveo Corp. 10.5% 8/15/16 (h)

2,590

2,609

Covanta Holding Corp. 7.25% 12/1/20

1,920

2,063

International Lease Finance Corp.:

5.625% 9/20/13

150

155

5.65% 6/1/14

4,439

4,550

5.75% 5/15/16

1,840

1,851

5.875% 5/1/13

895

931

6.25% 5/15/19

3,035

3,043

6.625% 11/15/13

8,252

8,706

6.75% 9/1/16 (h)

2,415

2,614

7.125% 9/1/18 (h)

7,560

8,297

8.25% 12/15/20

3,190

3,581

8.625% 9/15/15

4,640

5,139

 

46,779

Industrial Conglomerates - 0.1%

General Electric Co. 5.25% 12/6/17

7,378

8,296

Sequa Corp.:

11.75% 12/1/15 (h)

2,355

2,532

13.5% 12/1/15 pay-in-kind (h)

774

846

 

11,674

Machinery - 0.0%

Accuride Corp. 9.5% 8/1/18

280

311

Briggs & Stratton Corp. 6.875% 12/15/20

920

971

Navistar International Corp. 8.25% 11/1/21

1,735

1,913

 

3,195

Marine - 0.0%

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

1,035

1,066

Navios Maritime Holdings, Inc.:

8.125% 2/15/19 (h)

1,625

1,629

8.875% 11/1/17

1,420

1,519

Navios South American Logisitcs, Inc./Navios Logistics Finance U.S., Inc. 9.25% 4/15/19 (h)

505

516

 

4,730

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

INDUSTRIALS - continued

Professional Services - 0.0%

CDRT Merger Sub, Inc. 8.125% 6/1/19 (h)

$ 2,305

$ 2,334

Road & Rail - 0.0%

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

3,075

3,413

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

3,725

3,613

 

7,026

Trading Companies & Distributors - 0.0%

Aircastle Ltd. 9.75% 8/1/18

790

889

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

6,686

7,087

 

7,976

TOTAL INDUSTRIALS

128,745

INFORMATION TECHNOLOGY - 0.6%

Communications Equipment - 0.2%

Avaya, Inc.:

7% 4/1/19 (h)

5,845

5,721

10.125% 11/1/15 pay-in-kind (n)

8,048

8,360

EH Holding Corp.:

6.5% 6/15/19 (h)(j)

7,595

7,699

7.625% 6/15/21 (h)(j)

5,435

5,571

Lucent Technologies, Inc.:

6.45% 3/15/29

16,060

14,735

6.5% 1/15/28

1,025

940

 

43,026

Computers & Peripherals - 0.0%

CDW Escrow Corp. 8.5% 4/1/19 (h)

3,680

3,717

Electronic Equipment & Components - 0.1%

Reddy Ice Corp. 11.25% 3/15/15

3,895

4,012

Tyco Electronics Group SA:

5.95% 1/15/14

2,947

3,260

6% 10/1/12

3,594

3,827

6.55% 10/1/17

815

967

 

12,066

IT Services - 0.1%

Ceridian Corp. 11.25% 11/15/15

2,730

2,812

First Data Corp. 7.375% 6/15/19 (h)

3,295

3,353

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

INFORMATION TECHNOLOGY - continued

IT Services - continued

SunGard Data Systems, Inc.:

4.875% 1/15/14

$ 12,355

$ 12,602

7.625% 11/15/20

1,730

1,799

Telcordia Technologies, Inc. 11% 5/1/18 (h)

1,665

1,881

 

22,447

Office Electronics - 0.0%

Xerox Corp.:

4.25% 2/15/15

503

538

5.5% 5/15/12

1,485

1,550

 

2,088

Semiconductors & Semiconductor Equipment - 0.2%

Freescale Semiconductor, Inc.:

9.25% 4/15/18 (h)

4,030

4,493

10.125% 12/15/16

7,080

7,593

10.125% 3/15/18 (h)

7,790

8,832

NXP BV/NXP Funding LLC:

3.028% 10/15/13 (n)

621

615

9.75% 8/1/18 (h)

1,480

1,698

Spansion LLC:

7.875% 11/15/17 (h)

1,150

1,190

11.25% 1/15/16 (d)(h)

905

203

Viasystems, Inc. 12% 1/15/15 (h)

2,225

2,514

 

27,138

TOTAL INFORMATION TECHNOLOGY

110,482

MATERIALS - 0.4%

Chemicals - 0.1%

American Rock Salt Co. LLC/American Rock Capital Corp. 8.25% 5/1/18 (h)

515

520

Dow Chemical Co.:

4.85% 8/15/12

3,205

3,351

7.6% 5/15/14

7,168

8,358

Georgia Gulf Corp. 9% 1/15/17 (h)

3,040

3,367

 

15,596

Construction Materials - 0.0%

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

1,699

1,887

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

MATERIALS - continued

Containers & Packaging - 0.0%

ARD Finance SA 11.125% 6/1/18 pay-in-kind (h)

$ 1,640

$ 1,710

Crown Americas LLC/Crown Americas Capital Corp. III 6.25% 2/1/21 (h)

2,040

2,111

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

350

384

Pretium Packaging LLC/Pretium Finance, Inc. 11.5% 4/1/16 (h)

2,340

2,404

Sappi Papier Holding AG 6.625% 4/15/21 (h)

375

378

 

6,987

Metals & Mining - 0.3%

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

1,181

1,429

Aperam:

7.375% 4/1/16 (h)

460

472

7.75% 4/1/18 (h)

375

386

ArcelorMittal SA 3.75% 3/1/16

1,466

1,489

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

1,164

1,210

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

830

859

Calcipar SA 6.875% 5/1/18 (h)

720

738

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

1,179

1,262

Edgen Murray Corp. 12.25% 1/15/15

7,385

7,570

FMG Resources (August 2006) Pty Ltd.:

6.375% 2/1/16 (h)

8,300

8,445

6.875% 2/1/18 (h)

2,890

2,984

7% 11/1/15 (h)

3,575

3,722

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

1,055

1,089

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

6,540

6,736

Novelis, Inc. 8.375% 12/15/17

2,095

2,278

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

1,335

1,415

Severstal Columbus LLC 10.25% 2/15/18

4,670

5,207

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

3,880

3,521

Vale Overseas Ltd. 6.25% 1/23/17

2,152

2,461

 

53,273

Paper & Forest Products - 0.0%

ABI Escrow Corp. 10.25% 10/15/18 (h)

4,930

5,448

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

485

506

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

MATERIALS - continued

Paper & Forest Products - continued

Mercer International, Inc. 9.5% 12/1/17

$ 1,195

$ 1,310

Verso Paper Holdings LLC/Verso Paper, Inc. 4.0233% 8/1/14 (n)

1,015

964

 

8,228

TOTAL MATERIALS

85,971

TELECOMMUNICATION SERVICES - 1.1%

Diversified Telecommunication Services - 0.7%

AT&T, Inc.:

2.5% 8/15/15

5,016

5,078

6.3% 1/15/38

5,000

5,347

6.8% 5/15/36

8,428

9,490

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

1,291

1,621

CenturyLink, Inc.:

6.15% 9/15/19

2,344

2,484

7.6% 9/15/39

4,200

4,296

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

12,160

13,346

Frontier Communications Corp. 8.25% 4/15/17

2,710

2,981

Intelsat Ltd. 11.25% 6/15/16

9,660

10,240

Sprint Capital Corp.:

6.875% 11/15/28

21,910

21,279

6.9% 5/1/19

14,150

14,787

8.375% 3/15/12

7,330

7,678

Telecom Italia Capital SA:

4.95% 9/30/14

2,973

3,148

5.25% 10/1/15

2,367

2,509

6.999% 6/4/18

6,391

7,157

7.175% 6/18/19

712

808

Telefonica Emisiones SAU:

5.134% 4/27/20

713

728

5.462% 2/16/21

3,562

3,700

6.421% 6/20/16

684

774

Verizon Communications, Inc.:

6.1% 4/15/18

1,909

2,200

6.25% 4/1/37

3,729

4,039

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

2,460

2,585

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 (h)

$ 1,860

$ 1,976

11.75% 7/15/17 (h)

6,720

7,812

Windstream Corp. 7.5% 4/1/23

3,750

3,853

 

139,916

Wireless Telecommunication Services - 0.4%

America Movil SAB de CV 3.625% 3/30/15

999

1,051

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

4,000

4,380

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

740

730

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

2,955

3,280

Digicel Group Ltd.:

8.875% 1/15/15 (h)

6,915

7,140

12% 4/1/14 (h)

3,990

4,648

DIRECTV Holdings LLC/DIRECTV Financing, Inc.:

4.75% 10/1/14

6,306

6,910

5.875% 10/1/19

6,223

6,957

6.35% 3/15/40

1,699

1,825

Intelsat Jackson Holdings SA:

7.25% 4/1/19 (h)

10,040

10,090

7.5% 4/1/21 (h)

5,500

5,528

8.5% 11/1/19

2,455

2,627

9.5% 6/15/16

4,745

4,977

Nextel Communications, Inc.:

5.95% 3/15/14

830

836

6.875% 10/31/13

4,380

4,418

7.375% 8/1/15

11,630

11,703

NII Capital Corp. 7.625% 4/1/21

5,895

6,234

Vodafone Group PLC:

5% 12/16/13

2,129

2,322

5.5% 6/15/11

1,626

1,629

 

87,285

TOTAL TELECOMMUNICATION SERVICES

227,201

UTILITIES - 0.9%

Electric Utilities - 0.5%

Alabama Power Co. 3.375% 10/1/20

2,739

2,669

Ameren Illinois Co. 6.125% 11/15/17

243

280

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

UTILITIES - continued

Electric Utilities - continued

AmerenUE 6.4% 6/15/17

$ 2,769

$ 3,229

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

3,812

4,153

Commonwealth Edison Co. 1.625% 1/15/14

3,030

3,054

Duquesne Light Holdings, Inc.:

5.9% 12/1/21 (h)

3,104

3,140

6.4% 9/15/20 (h)

7,663

8,044

Edison International 3.75% 9/15/17

3,169

3,198

Edison Mission Energy 7% 5/15/17

510

422

EDP Finance BV:

4.9% 10/1/19 (h)

1,300

1,171

6% 2/2/18 (h)

2,212

2,152

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

282

300

FirstEnergy Corp. 7.375% 11/15/31

5,609

6,521

FirstEnergy Solutions Corp.:

4.8% 2/15/15

1,266

1,357

6.05% 8/15/21

3,924

4,315

Intergen NV 9% 6/30/17 (h)

7,015

7,559

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

3,670

4,120

LG&E and KU Energy LLC:

2.125% 11/15/15 (h)

3,576

3,485

3.75% 11/15/20 (h)

704

671

Mirant Americas Generation LLC 8.5% 10/1/21

6,695

6,913

Nevada Power Co.:

6.5% 5/15/18

5,100

5,981

6.5% 8/1/18

531

623

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

3,645

4,101

Pennsylvania Electric Co. 6.05% 9/1/17

450

503

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

3,363

3,385

Progress Energy, Inc.:

4.4% 1/15/21

5,862

6,023

6% 12/1/39

3,060

3,333

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

527

574

Tampa Electric Co. 6.15% 5/15/37

3,871

4,388

 

95,664

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

UTILITIES - continued

Gas Utilities - 0.0%

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

$ 260

$ 298

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

950

988

 

1,286

Independent Power Producers & Energy Traders - 0.3%

AES Corp. 7.75% 10/15/15

4,660

5,044

Calpine Corp. 7.875% 1/15/23 (h)

12,985

13,569

Duke Capital LLC 5.668% 8/15/14

1,905

2,121

Energy Future Holdings Corp. 10% 1/15/20

8,915

9,684

Energy Future Intermediate Holding Co. LLC/Energy Future Intermediate Holding Finance, Inc.:

10% 12/1/20

3,174

3,448

11% 10/1/21 (h)

6,978

7,118

Exelon Generation Co. LLC:

4% 10/1/20

6,689

6,435

5.35% 1/15/14

900

978

GenOn Energy, Inc. 9.875% 10/15/20

2,325

2,453

TXU Corp.:

6.5% 11/15/24

3,915

2,075

6.55% 11/15/34

2,965

1,542

 

54,467

Multi-Utilities - 0.1%

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

1,866

2,033

Dominion Resources, Inc.:

6.3% 9/30/66 (n)

13,469

13,334

7.5% 6/30/66 (n)

1,102

1,168

DTE Energy Co. 7.05% 6/1/11

912

912

MidAmerican Energy Holdings, Co.:

5.875% 10/1/12

2,521

2,684

6.5% 9/15/37

1,418

1,639

National Grid PLC 6.3% 8/1/16

376

434

NiSource Finance Corp.:

5.25% 9/15/17

497

544

5.4% 7/15/14

1,249

1,378

5.45% 9/15/20

598

641

6.25% 12/15/40

1,190

1,266

6.4% 3/15/18

1,230

1,411

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

UTILITIES - continued

Multi-Utilities - continued

NiSource Finance Corp.: - continued

6.8% 1/15/19

$ 2,710

$ 3,168

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

2,776

2,811

 

33,423

TOTAL UTILITIES

184,840

TOTAL NONCONVERTIBLE BONDS

2,197,945

TOTAL CORPORATE BONDS

(Cost $2,044,764)

2,228,229

U.S. Government and Government Agency Obligations - 8.9%

 

U.S. Government Agency Obligations - 0.1%

Tennessee Valley Authority 3.875% 2/15/21

28,100

29,213

U.S. Treasury Inflation Protected Obligations - 0.8%

U.S. Treasury Inflation-Indexed Bonds:

2.125% 2/15/41

46,242

49,791

2.125% 2/15/40

105,384

113,685

TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS

163,476

U.S. Treasury Obligations - 8.0%

U.S. Treasury Bonds 4.75% 2/15/41

110,954

121,148

U.S. Treasury Notes:

1% 10/31/11

120,000

120,436

1% 5/15/14 (f)(l)

633,508

637,697

1.75% 5/31/16

105,168

105,480

2.375% 5/31/18

19,921

19,918

3.125% 4/30/17

335,000

355,833

U.S. Government and Government Agency Obligations - continued

 

Principal Amount (000s)

Value (000s)

U.S. Treasury Obligations - continued

U.S. Treasury Notes: - continued

3.125% 5/15/21

$ 217,530

$ 218,890

3.625% 2/15/21

41,566

43,709

TOTAL U.S. TREASURY OBLIGATIONS

1,623,111

TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $1,797,444)

1,815,800

U.S. Government Agency - Mortgage Securities - 4.4%

 

Fannie Mae - 3.0%

2.589% 6/1/36 (n)

165

172

3.5% 11/1/25 to 11/1/40

37,276

36,826

3.533% 7/1/37 (n)

495

520

4% 4/1/24 to 3/1/41

32,700

32,992

4% 6/1/41 (j)(k)

22,000

22,153

4.5% 6/1/24 to 5/1/41

206,599

214,913

4.5% 6/1/26 (j)

1,500

1,590

5% 6/1/24 to 8/1/40 (k)

72,384

77,362

5% 6/1/41 (j)

31,000

32,998

5% 6/1/41 (j)

12,000

12,774

5% 6/1/41 (j)

1,000

1,064

5% 6/1/41 (j)(k)

22,000

23,418

5% 6/1/41 (j)(k)

12,000

12,774

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

12,187

13,273

5.5% 6/1/41 (j)

6,500

7,047

5.5% 6/1/41 (j)

10,000

10,841

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

63,735

70,190

6% 6/1/41 (j)(k)

17,500

19,253

6% 6/1/41 (j)

18,300

20,133

6% 6/1/41 (j)(k)

4,000

4,401

TOTAL FANNIE MAE

614,694

Freddie Mac - 0.8%

3.281% 10/1/35 (n)

237

253

4% 6/1/41 (j)

2,000

2,012

4.5% 4/1/40 to 4/1/41

7,706

8,016

4.5% 6/1/41 (j)

27,800

28,845

5% 3/1/19 to 12/1/40

36,396

38,910

U.S. Government Agency - Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Freddie Mac - continued

5.5% 5/1/27 to 2/1/40

$ 60,543

$ 65,587

5.5% 6/1/41 (j)

7,400

8,014

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

1,487

1,639

6.5% 3/1/36

4,187

4,738

TOTAL FREDDIE MAC

158,014

Ginnie Mae - 0.6%

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

11,679

12,337

4.5% 3/15/41

6,977

7,394

4.5% 6/1/41 (j)

29,000

30,663

4.5% 6/1/41 (j)(k)

22,000

23,261

5% 4/15/38 to 8/15/40

2,000

2,167

5% 6/1/41 (j)

9,000

9,746

5% 6/1/41 (j)

4,000

4,332

5% 6/1/41 (j)

8,000

8,663

5.5% 12/15/38 to 9/15/39

2,299

2,540

6% 2/15/34

8,787

9,843

TOTAL GINNIE MAE

110,946

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $871,397)

883,654

Asset-Backed Securities - 0.4%

 

Accredited Mortgage Loan Trust Series 2005-1 Class M1, 0.664% 4/25/35 (n)

1,204

843

ACE Securities Corp. Home Equity Loan Trust:

Series 2004-HE1:

Class M1, 0.944% 3/25/34 (n)

26

26

Class M2, 1.844% 3/25/34 (n)

334

269

Series 2005-HE2 Class M2, 0.644% 4/25/35 (n)

117

113

Series 2006-OP1 Class M4, 0.564% 4/25/36 (n)

109

0*

Ally Master Owner Trust:

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

2,460

2,534

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

4,540

4,620

Series 2011-3 Class A2, 1.87% 5/15/16

4,060

4,070

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

539

550

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

Ameriquest Mortgage Securities, Inc. pass-thru certificates:

Series 2003-10 Class M1, 0.894% 12/25/33 (n)

$ 69

$ 55

Series 2004-R2 Class M3, 0.744% 4/25/34 (n)

101

29

Series 2005-R2 Class M1, 0.644% 4/25/35 (n)

1,567

1,353

Argent Securities, Inc. pass-thru certificates:

Series 2003-W7 Class A2, 0.9926% 3/25/34 (n)

36

28

Series 2004-W11 Class M2, 0.894% 11/25/34 (n)

426

366

Series 2004-W7 Class M1, 0.744% 5/25/34 (n)

1,108

842

Series 2006-W4 Class A2C, 0.354% 5/25/36 (n)

1,046

320

Asset Backed Securities Corp. Home Equity Loan Trust:

Series 2004-HE2 Class M1, 1.019% 4/25/34 (n)

2,026

1,623

Series 2006-HE2 Class M1, 0.564% 3/25/36 (n)

145

2

Axon Financial Funding Ltd. 0.873% 4/4/17 (d)(h)(n)

4,820

0*

Brazos Higher Education Authority, Inc. Series 2006-2 Class A9, 0.318% 12/25/24 (n)

1,222

1,106

C-BASS Trust Series 2006-CB7 Class A2, 0.254% 10/25/36 (n)

52

51

Capital Auto Receivables Asset Trust:

Series 2006-2 Class C, 5.31% 6/15/12

724

730

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

403

414

Capital Trust Ltd. Series 2004-1:

Class A2, 0.6458% 7/20/39 (h)(n)

329

263

Class B, 0.9458% 7/20/39 (h)(n)

200

82

Class C, 1.2958% 7/20/39 (h)(n)

258

13

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

445

448

Carrington Mortgage Loan Trust:

Series 2006-FRE1 Class M1, 0.494% 7/25/36 (n)

4,366

180

Series 2006-NC4 Class M1, 0.494% 10/25/36 (n)

2,725

188

Series 2007-RFC1 Class A3, 0.334% 12/25/36 (n)

1,368

480

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

9,250

9,476

Citigroup Mortgage Loan Trust:

Series 2005-HE4 Class A2C, 0.464% 10/25/35 (n)

1,431

1,401

Series 2007-AMC4 Class M1, 0.464% 5/25/37 (n)

581

33

Countrywide Asset-Backed Certificates Trust:

Series 2007-11 Class 2A1, 0.254% 6/25/47 (n)

36

36

Series 2007-4 Class A1A, 0.3326% 9/25/37 (n)

305

293

Series 2007-5 Class 2A1, 0.294% 9/25/47 (n)

3,200

3,129

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

251

0

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

Countrywide Home Loans, Inc.:

Series 2004-3 Class M4, 1.164% 4/25/34 (n)

$ 121

$ 59

Series 2004-4 Class M2, 0.989% 6/25/34 (n)

446

250

Series 2005-3 Class MV1, 0.614% 8/25/35 (n)

540

519

Series 2005-AB1 Class A2, 0.404% 8/25/35 (n)

55

55

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

159

160

Fannie Mae subordinate REMIC pass-thru certificates Series 2004-T5 Class AB3, 0.7199% 5/28/35 (n)

30

21

Fieldstone Mortgage Investment Corp.:

Series 2004-3 Class M5, 2.369% 8/25/34 (n)

221

128

Series 2006-3 Class 2A3, 0.354% 11/25/36 (n)

4,507

1,817

First Franklin Mortgage Loan Trust:

Series 2004-FF2 Class M3, 1.019% 3/25/34 (n)

18

7

Series 2006-FF14 Class A2, 0.254% 10/25/36 (n)

988

960

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

367

370

Ford Credit Floorplan Master Owner Trust:

Series 2006-4 Class B, 0.748% 6/15/13 (n)

586

586

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

4,990

5,015

Franklin Auto Trust:

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

25

25

Series 2007-1:

Class A4, 5.03% 2/16/15

98

98

Class C, 5.43% 2/16/15

426

427

Fremont Home Loan Trust:

Series 2005-A:

Class M3, 0.684% 1/25/35 (n)

720

352

Class M4, 0.874% 1/25/35 (n)

276

87

Series 2006-D Class M1, 0.424% 11/25/36 (n)

162

5

GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 0.6368% 2/25/47 (h)(n)

2,160

1,274

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

852

679

GE Business Loan Trust:

Series 2003-1 Class A, 0.628% 4/15/31 (h)(n)

183

171

Series 2006-2A:

Class A, 0.378% 11/15/34 (h)(n)

1,278

1,060

Class B, 0.478% 11/15/34 (h)(n)

462

300

Class C, 0.578% 11/15/34 (h)(n)

767

383

Class D, 0.948% 11/15/34 (h)(n)

292

73

Goal Capital Funding Trust Series 2007-1 Class C1, 0.708% 6/25/42 (n)

512

496

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

GS Auto Loan Trust Series 2007-1 Class B, 5.53% 12/15/14

$ 19

$ 19

GSAMP Trust:

Series 2004-AR1 Class M1, 0.844% 6/25/34 (n)

2,032

1,370

Series 2007-HE1 Class M1, 0.444% 3/25/47 (n)

820

48

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

Class B, 0.594% 9/25/46 (h)(n)

497

259

Class C, 0.744% 9/25/46 (h)(n)

1,159

232

Home Equity Asset Trust:

Series 2003-2 Class M1, 1.514% 8/25/33 (n)

293

209

Series 2003-3 Class M1, 1.484% 8/25/33 (n)

566

463

Series 2003-5 Class A2, 0.894% 12/25/33 (n)

25

17

Series 2005-5 Class 2A2, 0.444% 11/25/35 (n)

50

50

Series 2006-1 Class 2A3, 0.419% 4/25/36 (n)

794

777

Series 2006-8 Class 2A1, 0.244% 3/25/37 (n)

3

2

HSBC Home Equity Loan Trust Series 2006-2 Class M2, 0.4858% 3/20/36 (n)

528

449

HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.384% 1/25/37 (n)

1,137

526

JPMorgan Mortgage Acquisition Trust:

Series 2006-NC2 Class M2, 0.494% 7/25/36 (n)

2,497

90

Series 2007-CH1:

Class AV4, 0.324% 11/25/36 (n)

1,136

967

Class MV1, 0.424% 11/25/36 (n)

923

604

Series 2007-CH3 Class M1, 0.494% 3/25/37 (n)

397

21

Keycorp Student Loan Trust:

Series 1999-A Class A2, 0.6385% 12/27/29 (n)

538

463

Series 2006-A Class 2C, 1.4585% 3/27/42 (n)

2,016

406

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

830

837

Long Beach Mortgage Loan Trust Series 2004-2 Class M2, 1.274% 6/25/34 (n)

70

49

Marriott Vacation Club Owner Trust Series 2006-2A:

Class B, 5.442% 10/20/28 (h)

10

10

Class C, 5.691% 10/20/28 (h)

5

5

Class D, 6.01% 10/20/28 (h)

53

54

MASTR Asset Backed Securities Trust:

Series 2006-AM3 Class M1, 0.454% 10/25/36 (n)

407

23

Series 2007-HE1 Class M1, 0.494% 5/25/37 (n)

596

32

Meritage Mortgage Loan Trust Series 2004-1 Class M1, 0.944% 7/25/34 (n)

125

81

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

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

$ 20

$ 20

Merrill Lynch Mortgage Investors Trust:

Series 2003-OPT1 Class M1, 1.169% 7/25/34 (n)

436

299

Series 2006-FM1 Class A2B, 0.304% 4/25/37 (n)

1,460

1,257

Series 2006-MLN1 Class A2A, 0.264% 7/25/37 (n)

7

7

Series 2006-OPT1 Class A1A, 0.454% 6/25/35 (n)

2,284

1,828

Morgan Stanley ABS Capital I Trust:

Series 2004-HE6 Class A2, 0.534% 8/25/34 (n)

44

35

Series 2005-NC1 Class M1, 0.634% 1/25/35 (n)

303

206

Series 2005-NC2 Class B1, 1.364% 3/25/35 (n)

316

44

Series 2007-HE2 Class M1, 0.444% 1/25/37 (n)

3,212

90

National Collegiate Student Loan Trust:

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

1,364

157

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

139

1

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

242

8

Series 2006-4:

Class A1, 0.224% 3/25/25 (n)

52

52

Class AIO, 6.35% 2/27/12 (p)

819

32

Class D, 1.294% 5/25/32 (n)

1,544

12

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

1,101

63

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

936

64

New Century Home Equity Loan Trust:

Series 2005-4 Class M2, 0.704% 9/25/35 (n)

1,083

701

Series 2005-D Class M2, 0.664% 2/25/36 (n)

593

174

Ocala Funding LLC:

Series 2005-1A Class A, 1.6958% 3/20/10 (d)(h)(n)

429

0

Series 2006-1A Class A, 1.5958% 3/20/11 (d)(h)(n)

892

0

Option One Mortgage Loan Trust:

Series 2007-5 Class 2A1, 0.284% 5/25/37 (n)

39

39

Series 2007-6 Class 2A1, 0.254% 7/25/37 (n)

89

87

Park Place Securities, Inc.:

Series 2004-WCW1:

Class M3, 1.444% 9/25/34 (n)

405

248

Class M4, 1.644% 9/25/34 (n)

519

163

Series 2005-WCH1:

Class M2, 0.714% 1/25/36 (n)

1,817

1,703

Class M3, 0.754% 1/25/36 (n)

363

251

Class M4, 1.024% 1/25/36 (n)

1,120

590

Series 2005-WHQ2 Class M7, 1.444% 5/25/35 (n)

1,328

18

Residential Asset Mortgage Products, Inc. Series 2006-EFC2 Class M1, 0.424% 12/25/36 (n)

271

9

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

Residential Asset Securities Corp. Series 2007-KS2 Class AI1, 0.264% 2/25/37 (n)

$ 23

$ 23

Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 0.994% 4/25/33 (n)

4

3

Saxon Asset Securities Trust Series 2004-1 Class M1, 0.989% 3/25/35 (n)

1,124

896

Securitized Asset Backed Receivables LLC Trust:

Series 2005-FR4 Class B3, 1.914% 1/25/36 (n)

34

0*

Series 2006-FR4 Class A2A, 0.274% 8/25/36 (n)

444

162

Series 2007-NC1 Class A2A, 0.244% 12/25/36 (n)

115

111

Sierra Receivables Funding Co. Series 2007-1A Class A2, 0.363% 3/20/19 (FGIC Insured) (h)(n)

516

492

SLM Private Credit Student Loan Trust Series 2004-A Class C, 1.2595% 6/15/33 (n)

965

158

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

455

0

Structured Asset Investment Loan Trust Series 2004-8 Class M5, 1.344% 9/25/34 (n)

53

23

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

531

545

Terwin Mortgage Trust Series 2003-4HE Class A1, 1.054% 9/25/34 (n)

22

17

Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 0.8568% 4/6/42 (h)(n)

1,491

45

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

674

0

WaMu Master Note Trust Series 2006-C2A Class C2, 0.698% 8/15/15 (h)(n)

6,374

6,366

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

6

0*

Whinstone Capital Management Ltd. Series 1A Class B3, 2.0738% 10/25/44 (h)(n)

1,358

801

TOTAL ASSET-BACKED SECURITIES

(Cost $76,588)

77,206

Collateralized Mortgage Obligations - 0.5%

 

Private Sponsor - 0.5%

Banc of America Commercial Mortgage Trust Series 2007-2:

Class B, 5.6578% 4/10/49 (n)

51

34

Class C, 5.8361% 4/10/49 (n)

135

76

Class D, 5.8361% 4/10/49 (n)

67

29

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

Private Sponsor - continued

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

$ 2,507

$ 2,556

Banc of America Mortgage Securities, Inc.:

Series 2003-L Class 2A1, 2.9037% 1/25/34 (n)

1,331

1,251

Series 2004-1 Class 2A2, 3.2308% 10/25/34 (n)

1,395

1,261

Series 2004-A Class 2A2, 2.8609% 2/25/34 (n)

722

643

Series 2004-B:

Class 1A1, 2.7465% 3/25/34 (n)

101

91

Class 2A2, 2.8678% 3/25/34 (n)

824

784

Series 2004-D Class 2A2, 2.8778% 5/25/34 (n)

1,224

1,121

Series 2004-G Class 2A7, 3.021% 8/25/34 (n)

1,148

1,031

Series 2004-H Class 2A1, 3.1658% 9/25/34 (n)

1,002

897

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

33,185

2,273

Bear Stearns ALT-A Trust floater Series 2005-1 Class A1, 0.754% 1/25/35 (n)

1,602

1,285

Bear Stearns Commercial Mortgage Securities Trust Series 2006-T24 Class X2, 0.6062% 10/12/41 (h)(n)(p)

2,557

26

Chase Mortgage Finance Trust:

Series 2007-A1 Class 1A5, 2.938% 2/25/37 (n)

356

353

Series 2007-A2 Class 2A1, 3.0641% 7/25/37 (n)

3,539

3,532

Citigroup Commercial Mortgage Trust Series 2008-C7 Class A2B, 6.2942% 12/10/49 (n)

912

958

Citigroup Mortgage Loan Trust Series 2004-UST1 Class A4, 2.3824% 8/25/34 (n)

842

839

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

1,019

397

COMM pass-thru certificates floater Series 2001-J2A Class A2F, 0.698% 7/16/34 (h)(n)

124

124

Credit Suisse First Boston Mortgage Securities Corp. floater Series 2007-AR7 Class 2A1, 2.8944% 11/25/34 (n)

160

149

First Horizon Mortgage pass-thru Trust Series 2004-AR5 Class 2A1, 2.8757% 10/25/34 (n)

1,183

1,137

Fosse Master Issuer PLC floater Series 2006-1A:

Class B2, 0.4355% 10/18/54 (h)(n)

878

876

Class C2, 0.7455% 10/18/54 (h)(n)

294

292

Class M2, 0.5255% 10/18/54 (h)(n)

505

503

Gracechurch Mortgage Financing PLC floater Series 2006-1 Class D2, 0.73% 11/20/56 (h)(n)

2,161

2,133

Granite Master Issuer PLC floater:

Series 2005-4 Class C2, 1.2958% 12/20/54 (n)

142

92

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

Private Sponsor - continued

Granite Master Issuer PLC floater: - continued

Series 2006-1A Class C2, 1.3958% 12/20/54 (h)(n)

$ 4,917

$ 3,196

Series 2006-2 Class C1, 0.6658% 12/20/54 (n)

4,095

2,662

Series 2006-3 Class C2, 0.6958% 12/20/54 (n)

853

554

Series 2006-4:

Class B1, 0.2858% 12/20/54 (n)

3,154

2,712

Class C1, 0.5758% 12/20/54 (n)

1,928

1,253

Class M1, 0.3658% 12/20/54 (n)

829

634

Series 2007-1:

Class 1C1, 0.7958% 12/20/54 (n)

1,671

1,086

Class 1M1, 0.4958% 12/20/54 (n)

1,114

852

Class 2C1, 1.1558% 12/20/54 (n)

760

494

Class 2M1, 0.6958% 12/20/54 (n)

1,431

1,095

Series 2007-2 Class 2C1, 0.6271% 12/17/54 (n)

1,981

1,288

Granite Mortgages PLC floater Series 2003-3 Class 1C, 2.724% 1/20/44 (n)

326

251

GSR Mortgage Loan Trust Series 2007-AR2 Class 2A1, 2.7448% 4/25/35 (n)

527

454

Harborview Mortgage Loan Trust floater Series 2005-2 Class 2A1A, 0.417% 5/19/35 (n)

273

181

JPMorgan Chase Commercial Mortgage Securities Trust Series 2007-CB18:

Class A1, 5.32% 6/12/47 (n)

22

22

Class A3, 5.447% 6/12/47 (n)

1,730

1,810

JPMorgan Mortgage Trust:

sequential payer Series 2006-A5 Class 3A5, 5.8553% 8/25/36 (n)

1,917

1,546

Series 2004-A3 Class 4A1, 4.2606% 7/25/34 (n)

971

941

Series 2004-A5 Class 2A1, 2.6036% 12/25/34 (n)

1,209

1,149

Series 2006-A2 Class 5A1, 2.9729% 11/25/33 (n)

2,697

2,584

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

410

450

MASTR Adjustable Rate Mortgages Trust Series 2007-3 Class 22A2, 0.404% 5/25/47 (n)

714

505

MASTR Asset Backed Securities Trust Series 2006-NC3 Class M1, 0.424% 10/25/36 (n)

74

0*

Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.364% 2/25/37 (n)

1,296

902

Merrill Lynch Floating Trust floater Series 2006-1:

Class B, 0.368% 6/15/22 (h)(n)

188

183

Class C, 0.388% 6/15/22 (h)(n)

1,165

1,095

Class D, 0.398% 6/15/22 (h)(n)

448

419

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

Private Sponsor - continued

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

Class E, 0.408% 6/15/22 (h)(n)

$ 717

$ 663

Class F, 0.438% 6/15/22 (h)(n)

1,164

1,065

Class G, 0.508% 6/15/22 (h)(n)

269

241

Class H, 0.528% 6/15/22 (h)(n)

538

472

Class J, 0.568% 6/15/22 (h)(n)

628

545

Merrill Lynch Mortgage Investors Trust:

Series 2004-A4 Class A1, 2.7498% 8/25/34 (n)

1,343

1,284

Series 2005-A2 Class A7, 2.6245% 2/25/35 (n)

1,083

1,017

Series 2006-A6 Class A4, 3.1889% 10/25/33 (n)

1,109

1,062

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

3,905

4,104

Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 0.484% 7/25/35 (n)

1,657

1,329

Option One Mortgage Loan Trust floater Series 2007-CP1 Class M1, 0.494% 3/25/37 (n)

2,236

150

Provident Funding Mortgage Loan Trust Series 2005-2 Class 3A, 2.8085% 10/25/35 (n)

668

574

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

Class B5, 2.5539% 7/10/35 (h)(n)

1,151

939

Class B6, 3.0539% 7/10/35 (h)(n)

245

189

Residential Asset Mortgage Products, Inc. sequential payer:

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

677

722

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

37

38

Residential Funding Securities Corp. floater Series 2003-RP2 Class A1, 0.644% 6/25/33 (h)(n)

289

267

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

129

45

Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 0.8997% 7/20/34 (n)

29

21

Structured Asset Securities Corp.:

Series 2003-15A Class 4A, 5.3739% 4/25/33 (n)

414

398

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

297

302

TBW Mortgage-Backed pass-thru certificates floater Series 2006-4 Class A3, 0.4126% 9/25/36 (n)

2,485

1,768

Thornburg Mortgage Securities Trust floater:

Series 2006-4 Class A2B, 0.3326% 7/25/36 (n)

7,366

7,341

Series 2006-5 Class A1, 0.314% 10/25/46 (n)

2,839

2,822

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

Private Sponsor - continued

WaMu Mortgage pass-thru certificates:

Series 2003-AR8 Class A, 2.7161% 8/25/33 (n)

$ 674

$ 661

Series 2005-AR3 Class A2, 2.5752% 3/25/35 (n)

1,826

1,638

Wells Fargo Mortgage Backed Securities Trust:

Series 2004-EE Class 2A2, 2.845% 12/25/34 (n)

602

600

Series 2004-H Class A1, 4.4817% 6/25/34 (n)

1,034

1,013

Series 2004-W Class A9, 2.7613% 11/25/34 (n)

3,741

3,627

Series 2005-AR10 Class 2A2, 2.8082% 6/25/35 (n)

497

483

Series 2005-AR12:

Class 2A5, 2.7836% 7/25/35 (n)

9,574

9,074

Class 2A6, 2.7836% 7/25/35 (n)

421

399

Series 2005-AR2 Class 2A2, 2.7435% 3/25/35 (n)

1,890

1,747

Series 2005-AR3 Class 2A1, 2.8729% 3/25/35 (n)

734

672

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $71,439)

100,333

Commercial Mortgage Securities - 1.5%

 

Asset Securitization Corp. Series 1997-D5:

Class A2, 7.0825% 2/14/43 (n)

671

705

Class A3, 7.1325% 2/14/43 (n)

724

774

Class A6, 7.4525% 2/14/43 (n)

1,067

1,127

Class PS1, 1.4533% 2/14/43 (n)(p)

2,641

54

Banc of America Commercial Mortgage Trust:

sequential payer:

Series 2006-2 Class AAB, 5.9114% 5/10/45 (n)

1,065

1,137

Series 2006-5:

Class A2, 5.317% 9/10/47

3,280

3,346

Class A3, 5.39% 9/10/47

1,272

1,323

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

1,824

1,927

Series 2007-4 Class A3, 5.9998% 2/10/51 (n)

910

974

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

527

105

Series 2007-3:

Class A3, 5.8018% 6/10/49 (n)

1,523

1,610

Class A4, 5.8018% 6/10/49 (n)

1,901

2,068

Banc of America Commercial Mortgage, Inc.:

sequential payer:

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

1,997

2,160

Series 2004-2:

Class A3, 4.05% 11/10/38

167

169

Class A4, 4.153% 11/10/38

1,157

1,207

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Banc of America Commercial Mortgage, Inc.: - continued

sequential payer:

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

$ 795

$ 794

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

2,526

2,554

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

510

513

Series 2001-PB1:

Class J, 7.166% 5/11/35 (h)

228

226

Class K, 6.15% 5/11/35 (h)

424

414

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

2,833

2,977

Banc of America Large Loan, Inc. floater:

Series 2005-MIB1:

Class C, 0.508% 3/15/22 (h)(n)

392

392

Class D, 0.558% 3/15/22 (h)(n)

397

397

Class E, 0.598% 3/15/22 (h)(n)

328

322

Class F, 0.668% 3/15/22 (h)(n)

467

456

Class G, 0.728% 3/15/22 (h)(n)

303

286

Series 2006-BIX1:

Class C, 0.378% 10/15/19 (h)(n)

586

568

Class D, 0.408% 10/15/19 (h)(n)

716

684

Class E, 0.438% 10/15/19 (h)(n)

663

623

Class F, 0.508% 10/15/19 (h)(n)

1,987

1,863

Class G, 0.528% 10/15/19 (h)(n)

935

822

Bayview Commercial Asset Trust:

floater:

Series 2003-2 Class M1, 1.044% 12/25/33 (h)(n)

56

42

Series 2004-1:

Class A, 0.554% 4/25/34 (h)(n)

949

831

Class B, 2.094% 4/25/34 (h)(n)

106

57

Class M1, 0.754% 4/25/34 (h)(n)

86

65

Class M2, 1.394% 4/25/34 (h)(n)

79

53

Series 2004-2:

Class A, 0.624% 8/25/34 (h)(n)

782

679

Class M1, 0.774% 8/25/34 (h)(n)

134

97

Series 2004-3:

Class A1, 0.564% 1/25/35 (h)(n)

1,756

1,558

Class A2, 0.614% 1/25/35 (h)(n)

252

222

Class M1, 0.694% 1/25/35 (h)(n)

303

214

Class M2, 1.194% 1/25/35 (h)(n)

144

97

Series 2005-2A:

Class A1, 0.504% 8/25/35 (h)(n)

1,233

1,017

Class M1, 0.624% 8/25/35 (h)(n)

67

44

Class M2, 0.674% 8/25/35 (h)(n)

110

66

Class M3, 0.694% 8/25/35 (h)(n)

61

35

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Bayview Commercial Asset Trust: - continued

floater:

Series 2005-2A:

Class M4, 0.804% 8/25/35 (h)(n)

$ 56

$ 30

Series 2005-3A:

Class A1, 0.514% 11/25/35 (h)(n)

500

416

Class A2, 0.594% 11/25/35 (h)(n)

451

377

Class M1, 0.634% 11/25/35 (h)(n)

59

39

Class M2, 0.684% 11/25/35 (h)(n)

75

45

Class M3, 0.704% 11/25/35 (h)(n)

67

38

Class M4, 0.794% 11/25/35 (h)(n)

84

42

Series 2005-4A:

Class A2, 0.584% 1/25/36 (h)(n)

1,176

993

Class B1, 1.594% 1/25/36 (h)(n)

102

36

Class M1, 0.644% 1/25/36 (h)(n)

379

246

Class M2, 0.664% 1/25/36 (h)(n)

114

69

Class M3, 0.694% 1/25/36 (h)(n)

166

93

Class M4, 0.804% 1/25/36 (h)(n)

92

47

Class M5, 0.844% 1/25/36 (h)(n)

92

44

Class M6, 0.894% 1/25/36 (h)(n)

98

41

Series 2006-1:

Class A2, 0.554% 4/25/36 (h)(n)

178

148

Class M1, 0.574% 4/25/36 (h)(n)

64

45

Class M2, 0.594% 4/25/36 (h)(n)

67

44

Class M3, 0.614% 4/25/36 (h)(n)

58

36

Class M4, 0.714% 4/25/36 (h)(n)

33

20

Class M5, 0.754% 4/25/36 (h)(n)

32

17

Class M6, 0.834% 4/25/36 (h)(n)

64

30

Series 2006-2A:

Class A1, 0.424% 7/25/36 (h)(n)

2,695

2,145

Class A2, 0.474% 7/25/36 (h)(n)

160

126

Class B1, 1.064% 7/25/36 (h)(n)

60

22

Class B3, 2.894% 7/25/36 (h)(n)

90

28

Class M1, 0.504% 7/25/36 (h)(n)

168

110

Class M2, 0.524% 7/25/36 (h)(n)

118

72

Class M3, 0.544% 7/25/36 (h)(n)

98

59

Class M4, 0.614% 7/25/36 (h)(n)

66

38

Class M5, 0.664% 7/25/36 (h)(n)

82

46

Class M6, 0.734% 7/25/36 (h)(n)

122

51

Series 2006-3A:

Class B1, 0.994% 10/25/36 (h)(n)

109

14

Class B2, 1.544% 10/25/36 (h)(n)

79

8

Class B3, 2.794% 10/25/36 (h)(n)

128

7

Class M4, 0.624% 10/25/36 (h)(n)

121

41

Class M5, 0.674% 10/25/36 (h)(n)

144

43

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Bayview Commercial Asset Trust: - continued

floater:

Series 2006-3A:

Class M6, 0.754% 10/25/36 (h)(n)

$ 283

$ 62

Series 2006-4A:

Class A1, 0.424% 12/25/36 (h)(n)

616

499

Class A2, 0.464% 12/25/36 (h)(n)

3,016

2,232

Class B1, 0.894% 12/25/36 (h)(n)

96

15

Class B2, 1.444% 12/25/36 (h)(n)

98

13

Class B3, 2.644% 12/25/36 (h)(n)

167

15

Class M1, 0.484% 12/25/36 (h)(n)

200

90

Class M2, 0.504% 12/25/36 (h)(n)

133

55

Class M3, 0.534% 12/25/36 (h)(n)

136

48

Class M4, 0.594% 12/25/36 (h)(n)

162

48

Class M5, 0.634% 12/25/36 (h)(n)

149

36

Class M6, 0.714% 12/25/36 (h)(n)

133

27

Series 2007-1:

Class A2, 0.464% 3/25/37 (h)(n)

632

420

Class B1, 0.864% 3/25/37 (h)(n)

202

30

Class B2, 1.344% 3/25/37 (h)(n)

146

17

Class B3, 3.544% 3/25/37 (h)(n)

320

18

Class M1, 0.464% 3/25/37 (h)(n)

177

73

Class M2, 0.484% 3/25/37 (h)(n)

133

45

Class M3, 0.514% 3/25/37 (h)(n)

119

37

Class M4, 0.564% 3/25/37 (h)(n)

96

25

Class M5, 0.614% 3/25/37 (h)(n)

148

32

Class M6, 0.694% 3/25/37 (h)(n)

207

39

Series 2007-2A:

Class A1, 0.464% 7/25/37 (h)(n)

576

427

Class A2, 0.514% 7/25/37 (h)(n)

540

344

Class B1, 1.794% 7/25/37 (h)(n)

167

16

Class B2, 2.444% 7/25/37 (h)(n)

144

10

Class B3, 3.544% 7/25/37 (h)(n)

161

8

Class M1, 0.564% 7/25/37 (h)(n)

190

66

Class M2, 0.604% 7/25/37 (h)(n)

104

28

Class M3, 0.684% 7/25/37 (h)(n)

105

21

Class M4, 0.844% 7/25/37 (h)(n)

207

35

Class M5, 0.944% 7/25/37 (h)(n)

183

27

Class M6, 1.194% 7/25/37 (h)(n)

232

29

Series 2007-3:

Class A2, 0.484% 7/25/37 (h)(n)

649

434

Class B1, 1.144% 7/25/37 (h)(n)

145

21

Class B2, 1.794% 7/25/37 (h)(n)

361

42

Class B3, 4.194% 7/25/37 (h)(n)

193

13

Class M1, 0.504% 7/25/37 (h)(n)

129

50

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Bayview Commercial Asset Trust: - continued

floater:

Series 2007-3:

Class M2, 0.534% 7/25/37 (h)(n)

$ 138

$ 45

Class M3, 0.564% 7/25/37 (h)(n)

217

59

Class M4, 0.694% 7/25/37 (h)(n)

341

81

Class M5, 0.794% 7/25/37 (h)(n)

178

37

Class M6, 0.994% 7/25/37 (h)(n)

135

24

Series 2007-4A:

Class B1, 2.744% 9/25/37 (h)(n)

222

9

Class B2, 3.644% 9/25/37 (h)(n)

803

24

Class M1, 1.144% 9/25/37 (h)(n)

213

38

Class M2, 1.244% 9/25/37 (h)(n)

213

30

Class M4, 1.794% 9/25/37 (h)(n)

543

43

Class M5, 1.944% 9/25/37 (h)(n)

543

38

Class M6, 2.144% 9/25/37 (h)(n)

543

33

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

1,935

77

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

4,698

507

Bear Stearns Commercial Mortgage Securities Trust:

floater:

Series 2006-BBA7:

Class G, 0.638% 3/15/19 (h)(n)

611

550

Class H, 0.848% 3/15/19 (h)(n)

411

350

Class J, 1.048% 3/15/19 (h)(n)

309

263

Series 2007-BBA8:

Class D, 0.448% 3/15/22 (h)(n)

452

412

Class E, 0.498% 3/15/22 (h)(n)

2,347

2,119

Class F, 0.548% 3/15/22 (h)(n)

1,440

1,272

Class G, 0.598% 3/15/22 (h)(n)

369

315

Class H, 0.748% 3/15/22 (h)(n)

452

376

Class J, 0.898% 3/15/22 (h)(n)

452

346

sequential payer:

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

204

206

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

358

368

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

2,680

2,802

Series 2007-PW16:

Class A4, 5.9055% 6/11/40 (n)

534

593

Class AAB, 5.9055% 6/11/40 (n)

4,740

5,080

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

357

365

Series 2007-PW18:

Class A2, 5.613% 6/11/50

320

330

Class A4, 5.7% 6/11/50

4,380

4,819

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

138

140

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Bear Stearns Commercial Mortgage Securities Trust: - continued

Series 2003-PWR2 Class X2, 0.6817% 5/11/39 (h)(n)(p)

$ 6,436

$ 10

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

3,219

3,356

Series 2006-PW14 Class X2, 0.8477% 12/11/38 (h)(n)(p)

10,396

168

Series 2006-T22 Class A4, 5.7046% 4/12/38 (n)

114

127

Series 2007-PW16:

Class B, 5.716% 6/11/40 (h)(n)

146

94

Class C, 5.716% 6/11/40 (h)(n)

122

66

Class D, 5.716% 6/11/40 (h)(n)

122

61

Series 2007-PW18 Class X2, 0.4827% 6/11/50 (h)(n)(p)

79,526

898

Series 2007-T28:

Class A1, 5.422% 9/11/42

79

80

Class X2, 0.3378% 9/11/42 (h)(n)(p)

39,180

281

Berkeley Federal Bank & Trust FSB Series 1994-1 Class B, 0% 8/1/24 (h)(n)

531

226

C-BASS Trust floater Series 2006-SC1 Class A, 0.464% 5/25/36 (h)(n)

628

486

CDC Commercial Mortgage Trust Series 2002-FX1:

Class G, 6.625% 5/15/35 (h)

1,072

1,145

Class XCL, 2.4992% 5/15/35 (h)(n)(p)

7,168

150

Citigroup Commercial Mortgage Trust:

floater Series 2006-FL2:

Class F, 0.5071% 8/15/21 (h)(n)

326

323

Class G, 0.5271% 8/15/21 (h)(n)

405

404

Class H, 0.5671% 8/15/21 (h)(n)

324

318

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

6,330

6,928

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

1,372

1,275

Series 2007-C6:

Class A1, 5.622% 12/10/49 (n)

1,098

1,097

Class A2, 5.8862% 12/10/49 (n)

1,210

1,245

Class A4, 5.8862% 12/10/49 (n)

3,035

3,367

Citigroup/Deutsche Bank Commercial Mortgage Trust:

sequential payer Series 2007-CD4:

Class A2A, 5.237% 12/11/49

565

568

Class A4, 5.322% 12/11/49

4,053

4,327

Series 2007-CD4:

Class A3, 5.293% 12/11/49

888

921

Class C, 5.476% 12/11/49

1,717

601

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Cobalt CMBS Commercial Mortgage Trust:

sequential payer Series 2007-C3 Class A3, 6.0102% 5/15/46 (n)

$ 912

$ 977

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

2,736

1,313

COMM pass-thru certificates:

floater:

Series 2005-F10A:

Class B, 0.428% 4/15/17 (h)(n)

4,783

4,550

Class C, 0.468% 4/15/17 (h)(n)

734

691

Class D, 0.508% 4/15/17 (h)(n)

721

664

Class E, 0.568% 4/15/17 (h)(n)

230

207

Class F, 0.608% 4/15/17 (h)(n)

130

115

Class G, 0.748% 4/15/17 (h)(n)

130

111

Class H, 0.818% 4/15/17 (h)(n)

130

104

Class J, 1.048% 4/15/17 (h)(n)

100

70

Series 2005-FL11:

Class C, 0.498% 11/15/17 (h)(n)

696

673

Class D, 0.538% 11/15/17 (h)(n)

36

35

Class E, 0.588% 11/15/17 (h)(n)

128

122

Class F, 0.648% 11/15/17 (h)(n)

141

131

Class G, 0.698% 11/15/17 (h)(n)

98

89

Series 2006-CN2A:

Class A2FL, 0.4295% 2/5/19 (h)(n)

1,390

1,372

Class AJFL, 0.4695% 2/5/19 (n)

640

624

Series 2006-FL12 Class AJ, 0.328% 12/15/20 (h)(n)

1,300

1,209

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

2,709

Series 2006-CN2A:

Class A2FX, 5.449% 2/5/19 (h)

1,592

1,594

Class AJFX, 5.478% 2/5/19 (h)

2,940

2,964

Series 2007-C9 Class A4, 6.0084% 12/10/49 (n)

2,018

2,250

Series 2006-C8 Class XP, 0.6858% 12/10/46 (n)(p)

13,819

148

Credit Suisse Commercial Mortgage Trust:

sequential payer:

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

1,107

1,200

Series 2007-C2:

Class A2, 5.448% 1/15/49 (n)

6,413

6,492

Class A3, 5.542% 1/15/49 (n)

1,824

1,944

Series 2007-C3 Class A4, 5.9052% 6/15/39 (n)

549

596

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

5,191

5,401

Series 2006-C5 Class ASP, 0.8755% 12/15/39 (n)(p)

8,413

137

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Credit Suisse Commercial Mortgage Trust: - continued

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

$ 825

$ 887

Credit Suisse First Boston Mortgage Capital Certificates floater Series 2007-TF2A Class B, 0.548% 4/15/22 (h)(n)

3,254

2,603

Credit Suisse First Boston Mortgage Securities Corp.:

sequential payer:

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

912

924

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

61

62

Series 2004-C1:

Class A3, 4.321% 1/15/37

124

126

Class A4, 4.75% 1/15/37

425

450

Series 2001-CK6 Class AX, 1.1234% 8/15/36 (n)(p)

1,849

4

Series 2001-CKN5 Class AX, 2.1724% 9/15/34 (h)(n)(p)

3,913

7

Series 2006-C1 Class A3, 5.711% 2/15/39 (n)

4,815

5,086

Credit Suisse Mortgage Capital Certificates:

floater Series 2007-TFL1:

Class B, 0.348% 2/15/22 (h)(n)

345

314

Class C:

0.368% 2/15/22 (h)(n)

1,416

1,274

0.468% 2/15/22 (h)(n)

506

435

Class F, 0.518% 2/15/22 (h)(n)

1,011

849

Series 2007-C1:

Class ASP, 0.61% 2/15/40 (n)(p)

14,245

150

Class B, 5.487% 2/15/40 (h)(n)

1,394

279

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

Class D, 6.484% 3/15/33

312

313

Class G, 6.936% 3/15/33 (h)

600

596

GE Capital Commercial Mortgage Corp.:

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

5,514

5,931

Series 2001-1 Class X1, 1.2156% 5/15/33 (h)(n)(p)

1,685

10

Series 2007-C1 Class XP, 0.3797% 12/10/49 (n)(p)

18,985

95

GMAC Commercial Mortgage Securities, Inc.:

Series 2004-C3 Class X2, 0.7915% 12/10/41 (n)(p)

2,661

7

Series 2005-C1 Class X2, 0.7311% 5/10/43 (n)(p)

3,473

20

Greenwich Capital Commercial Funding Corp.:

floater Series 2006-FL4 Class B, 0.3995% 11/5/21 (h)(n)

343

316

sequential payer:

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

1,824

1,904

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Greenwich Capital Commercial Funding Corp.: - continued

sequential payer:

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

$ 2,652

$ 2,872

Series 2005-GG3 Class XP, 0.6789% 8/10/42 (h)(n)(p)

15,263

70

Series 2006-GG7 Class A3, 5.881% 7/10/38 (n)

2,404

2,545

Series 2007-GG11 Class A1, 0.4589% 12/10/49 (h)(n)(p)

20,343

169

GS Mortgage Securities Corp. II:

floater:

Series 2006-FL8A:

Class C, 0.449% 6/6/20 (h)(n)

30

29

Class D, 0.489% 6/6/20 (h)(n)

218

205

Class E, 0.579% 6/6/20 (h)(n)

252

231

Class F, 0.649% 6/6/20 (h)(n)

634

575

Series 2007-EOP:

Class C, 2.1455% 3/6/20 (h)(n)

1,144

1,128

Class D, 2.3636% 3/6/20 (h)(n)

2,144

2,114

Class F, 2.8433% 3/6/20 (h)(n)

94

93

Class G, 3.0177% 3/6/20 (h)(n)

47

46

Class H, 3.5846% 3/6/20 (h)(n)

42

42

Class J, 4.4568% 3/6/20 (h)(n)

60

60

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

283

285

Series 2005-GG4 Class XP, 0.7099% 7/10/39 (h)(n)(p)

16,612

114

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

3,298

3,296

GS Mortgage Securities Trust sequential payer:

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

824

829

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

420

430

JP Morgan Chase Commercial Mortgage Securities Trust:

sequential payer Series 2006-CB14 Class A3B, 5.6643% 12/12/44 (n)

2,712

2,829

Series 2005-CB13 Class E, 5.5268% 1/12/43 (h)(n)

461

48

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

6,614

6,846

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

297

298

JPMorgan Chase Commercial Mortgage Securities Trust:

floater Series 2006-FLA2:

Class B, 0.368% 11/15/18 (h)(n)

592

557

Class C, 0.408% 11/15/18 (h)(n)

421

391

Class D, 0.428% 11/15/18 (h)(n)

186

167

Class E, 0.478% 11/15/18 (h)(n)

267

243

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

JPMorgan Chase Commercial Mortgage Securities Trust: - continued

floater Series 2006-FLA2:

Class F, 0.528% 11/15/18 (h)(n)

$ 401

$ 357

Class G, 0.558% 11/15/18 (h)(n)

349

300

Class H, 0.698% 11/15/18 (h)(n)

267

219

sequential payer:

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

581

634

Series 2006-LDP9:

Class A2, 5.134% 5/15/47 (n)

421

437

Class A3, 5.336% 5/15/47

380

410

Series 2007-CB19 Class A4, 5.9318% 2/12/49 (n)

3,198

3,523

Series 2007-LD11 Class A2, 5.9901% 6/15/49 (n)

2,560

2,636

Series 2007-LDPX:

Class A2 S, 5.305% 1/15/49

2,063

2,096

Class A3, 5.42% 1/15/49

2,510

2,722

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

260

267

Series 2007-CB19:

Class B, 5.9318% 2/12/49 (n)

78

58

Class C, 5.9318% 2/12/49 (n)

204

128

Class D, 5.9318% 2/12/49 (n)

214

108

Series 2007-LDP10:

Class BS, 5.437% 1/15/49 (n)

174

101

Class CS, 5.466% 1/15/49 (n)

75

35

Class ES, 5.7307% 1/15/49 (h)(n)

472

99

LB Commercial Conduit Mortgage Trust:

sequential payer Series 2007-C3 Class A4, 6.1412% 7/15/44 (n)

743

824

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

238

238

LB Multi-family Mortgage Trust Series 1991-4 Class A1, 7.1054% 4/25/21 (n)

32

22

LB-UBS Commercial Mortgage Trust:

sequential payer:

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

223

223

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

789

791

Series 2006-C7:

Class A1, 5.279% 11/15/38

17

17

Class A2, 5.3% 11/15/38

1,003

1,012

Class A3, 5.347% 11/15/38

679

740

Series 2007-C1:

Class A1, 5.391% 2/15/40 (n)

68

69

Class A4, 5.424% 2/15/40

2,738

2,988

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

1,980

2,145

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

1,763

1,770

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

LB-UBS Commercial Mortgage Trust: - continued

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

$ 1,003

$ 1,017

Series 2005-C3 Class XCP, 0.9427% 7/15/40 (n)(p)

2,823

17

Series 2006-C6 Class XCP, 0.8631% 9/15/39 (n)(p)

4,202

63

Series 2007-C1 Class XCP, 0.6707% 2/15/40 (n)(p)

1,566

18

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

1,140

1,235

Series 2007-C7:

Class A3, 5.866% 9/15/45

972

1,074

Class XCP, 0.4375% 9/15/45 (n)(p)

68,438

637

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

Class D, 0.428% 9/15/21 (h)(n)

292

266

Class E, 0.488% 9/15/21 (h)(n)

1,054

938

Class F, 0.538% 9/15/21 (h)(n)

868

746

Class G, 0.558% 9/15/21 (h)(n)

1,714

1,406

Class H, 0.598% 9/15/21 (h)(n)

442

349

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

1,619

1,642

Merrill Lynch Mortgage Trust:

Series 2005-CKI1 Class A3, 5.3967% 11/12/37 (n)

715

729

Series 2005-LC1 Class F, 5.5633% 1/12/44 (h)(n)

793

422

Series 2006-C1 Class A2, 5.8093% 5/12/39 (n)

897

924

Series 2007-C1 Class A4, 6.02% 6/12/50 (n)

3,452

3,811

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

1,947

2,143

Merrill Lynch-CFC Commercial Mortgage Trust:

floater Series 2006-4 Class A2FL, 0.3465% 12/12/49 (n)

407

399

sequential payer:

Series 2006-1 CLass A3, 5.4822% 2/12/39 (n)

970

1,000

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

784

833

Series 2007-5:

Class A3, 5.364% 8/12/48

356

367

Class A4, 5.378% 8/12/48

36

38

Class B, 5.479% 8/12/48

2,736

1,266

Series 2007-6:

Class A1, 5.175% 3/12/51

21

21

Class A4, 5.485% 3/12/51 (n)

7,400

7,979

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

3,192

3,457

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

141

142

Series 2006-4 Class XP, 0.829% 12/12/49 (n)(p)

17,894

315

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

912

466

Series 2007-7 Class B, 5.9352% 6/12/50 (n)

79

22

Series 2007-8 Class A3, 6.1636% 8/12/49 (n)

787

867

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Morgan Stanley Capital I Trust:

floater:

Series 2006-XLF Class C, 1.398% 7/15/19 (h)(n)

$ 272

$ 136

Series 2007-XCLA Class A1, 0.398% 7/17/17 (h)(n)

1,289

1,186

Series 2007-XLFA:

Class C, 0.358% 10/15/20 (h)(n)

523

487

Class D, 0.388% 10/15/20 (h)(n)

507

456

Class E, 0.448% 10/15/20 (h)(n)

634

563

Class F, 0.498% 10/15/20 (h)(n)

380

331

Class G, 0.538% 10/15/20 (h)(n)

470

374

Class H, 0.628% 10/15/20 (h)(n)

296

213

Class J, 0.778% 10/15/20 (h)(n)

338

177

Class MHRO, 0.888% 10/15/20 (h)(n)

369

318

Class MJPM, 1.198% 10/15/20 (h)(n)

18

16

Class NHRO, 1.088% 10/15/20 (h)(n)

558

457

sequential payer:

Series 2003-IQ5 Class X2, 1.0242% 4/15/38 (h)(n)(p)

2,452

6

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

1,354

1,386

Series 2007-HQ11:

Class A1, 5.246% 2/12/44

57

57

Class A31, 5.439% 2/12/44 (n)

462

480

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

152

153

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

148

149

Series 2003-IQ6 Class X2, 0.7293% 12/15/41 (h)(n)(p)

5,397

18

Series 2005-IQ9 Class X2, 1.2137% 7/15/56 (h)(n)(p)

9,646

65

Series 2006-HQ10 Class X2, 0.6882% 11/12/41 (h)(n)(p)

6,608

52

Series 2006-HQ8 Class A3, 5.6465% 3/12/44 (n)

576

582

Series 2006-IQ11:

Class A3, 5.8616% 10/15/42 (n)

1,230

1,281

Class A4, 5.8976% 10/15/42 (n)

274

304

Series 2006-T23 Class A3, 5.9755% 8/12/41 (n)

466

501

Series 2007-IQ14:

Class A4, 5.692% 4/15/49 (n)

1,368

1,478

Class AAB, 5.654% 4/15/49

2,650

2,813

Class B, 5.9112% 4/15/49 (n)

224

125

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

74

75

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Wachovia Bank Commercial Mortgage Trust:

floater:

Series 2005-WL5A Class K, 1.398% 1/15/18 (h)(n)

$ 969

$ 930

Series 2006-WL7A:

Class E, 0.4771% 9/15/21 (h)(n)

1,239

1,055

Class F, 0.5371% 8/11/18 (h)(n)

1,426

1,163

Class G, 0.5571% 8/11/18 (h)(n)

1,351

917

Class J, 0.7971% 8/11/18 (h)(n)

300

164

Series 2007-WHL8:

Class AP1, 0.898% 6/15/20 (h)(n)

98

74

Class AP2, 0.998% 6/15/20 (h)(n)

163

114

Class F, 0.678% 6/15/20 (h)(n)

3,171

2,600

Class LXR1, 0.898% 6/15/20 (h)(n)

112

95

sequential payer:

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

1,182

1,188

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

3,972

4,017

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

687

689

Series 2006-C29:

Class A1, 5.11% 11/15/48

105

105

Class A3, 5.313% 11/15/48

2,422

2,607

Series 2007-C30:

Class A3, 5.246% 12/15/43

783

802

Class A4, 5.305% 12/15/43

268

277

Class A5, 5.342% 12/15/43

976

1,034

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

2,061

2,189

Series 2007-C32:

Class A2, 5.9267% 6/15/49 (n)

2,967

3,089

Class A3, 5.9317% 6/15/49 (n)

1,548

1,674

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

433

435

Series 2004-C15:

Class 180A, 5.5782% 10/15/41 (h)(n)

701

703

Class 180B, 5.5782% 10/15/41 (h)(n)

319

319

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

912

861

Series 2005-C22:

Class B, 5.5358% 12/15/44 (n)

2,022

1,854

Class F, 5.5358% 12/15/44 (h)(n)

1,521

895

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

5,005

5,493

Series 2007-C30:

Class C, 5.483% 12/15/43 (n)

2,736

1,477

Class D, 5.513% 12/15/43 (n)

1,459

615

Class XP, 0.6357% 12/15/43 (h)(n)(p)

9,744

111

Series 2007-C31 Class C, 5.8836% 4/15/47 (n)

251

134

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Wachovia Bank Commercial Mortgage Trust: - continued

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

$ 7,777

$ 8,112

Series 2007-C32:

Class D, 5.9317% 6/15/49 (n)

685

327

Class E, 5.9317% 6/15/49 (n)

1,080

386

Wachovia Bank Commercial Mortgage Trust pass-thru certificates sequential payer Series 2007-C33 Class A5, 6.0966% 2/15/51 (n)

604

658

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $238,497)

307,715

Municipal Securities - 0.1%

 

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

1,700

1,691

California Gen. Oblig.:

7.5% 4/1/34

3,750

4,368

7.55% 4/1/39

800

943

Illinois Gen. Oblig.:

Series 2010, 4.421% 1/1/15

4,050

4,196

5.665% 3/1/18

3,000

3,164

5.877% 3/1/19

4,565

4,794

TOTAL MUNICIPAL SECURITIES

(Cost $17,878)

19,156

Foreign Government and Government Agency Obligations - 0.0%

 

Chilean Republic 7.125% 1/11/12

1,794

1,862

United Mexican States 6.05% 1/11/40

3,926

4,171

TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $5,813)

6,033

Supranational Obligations - 0.0%

 

Corporacion Andina de Fomento 5.2% 5/21/13
(Cost $135)

143

153

Floating Rate Loans - 1.0%

 

Principal Amount (000s)

Value (000s)

CONSUMER DISCRETIONARY - 0.2%

Hotels, Restaurants & Leisure - 0.1%

Fantasy Springs Resort Casino term loan 12% 8/6/12 (n)

$ 8,210

$ 6,794

Town Sports International LLC Tranche B, term loan 7% 5/11/18 (n)

3,540

3,540

 

10,334

Media - 0.1%

Hicks Sports Group LLC Tranche 2LN, term loan 12/22/11 (d)(n)

2,750

3

Newsday LLC term loan 10.5% 8/1/13

7,000

7,438

Tribune Co. Tranche X, term loan 3/17/09 (d)(n)

1,188

793

Univision Communications, Inc. term loan 4.4413% 3/31/17 (n)

11,193

10,802

 

19,036

Specialty Retail - 0.0%

Michaels Stores, Inc.:

Tranche B1, term loan 2.5625% 10/31/13 (n)

1,111

1,100

Tranche B2, term loan 4.8125% 7/31/16 (n)

1,495

1,502

Sports Authority, Inc. Tranche B, term loan 7.5% 11/16/17 (n)

4,953

4,996

 

7,598

TOTAL CONSUMER DISCRETIONARY

36,968

CONSUMER STAPLES - 0.0%

Food & Staples Retailing - 0.0%

Sprouts Farmers Market LLC Tranche B, term loan 6% 4/18/18 (n)

6,005

5,975

ENERGY - 0.0%

Oil, Gas & Consumable Fuels - 0.0%

Frac Tech Holdings LLC:

Tranche B, term loan 6.25% 5/6/16 (n)

4,174

4,163

Tranche D, term loan 2.5% 5/6/16 (n)(q)

556

555

 

4,718

FINANCIALS - 0.1%

Commercial Banks - 0.0%

CIT Group, Inc. Tranche 3LN, term loan 6.25% 8/11/15 (n)

2,798

2,826

Floating Rate Loans - continued

 

Principal Amount (000s)

Value (000s)

FINANCIALS - continued

Diversified Financial Services - 0.0%

Blackstone UTP Capital LLC term loan 7.75% 11/2/14

$ 5,022

$ 5,097

IASIS Healthcare LLC Tranche B, term loan 5% 5/3/18 (n)

730

730

 

5,827

Real Estate Management & Development - 0.1%

Realogy Corp.:

Credit-Linked Deposit 4.4603% 10/10/16 (n)

932

867

term loan 4.5183% 10/10/16 (n)

6,221

5,785

 

6,652

TOTAL FINANCIALS

15,305

HEALTH CARE - 0.2%

Health Care Providers & Services - 0.2%

Genoa Healthcare Group LLC Tranche 2, term loan 10.75% 2/4/13 (n)

2,500

2,225

National Renal Institutes, Inc. Tranche B, term loan 8.5% 3/31/13 (n)

11,442

11,557

Sheridan Healthcare, Inc. Tranche 2LN, term loan 6.004% 6/15/15 (n)

17,840

17,706

Sunquest Information Systems, Inc. Tranche 2 LN, term loan 9.75% 6/16/17 (n)

2,250

2,295

 

33,783

INDUSTRIALS - 0.0%

Air Freight & Logistics - 0.0%

CEVA Logistics:

Credit-Linked Deposit 3.307% 11/4/13 (n)

222

218

EGL term loan 3.2728% 11/4/13 (n)

2,202

2,158

term loan 3.2728% 11/4/13 (n)

266

261

 

2,637

Airlines - 0.0%

US Airways Group, Inc. term loan 2.694% 3/23/14 (n)

4,529

4,161

Commercial Services & Supplies - 0.0%

Brand Energy & Infrastructure Services, Inc. Tranche 2LN, term loan 6.3125% 2/7/15 (n)

985

887

TOTAL INDUSTRIALS

7,685

Floating Rate Loans - continued

 

Principal Amount (000s)

Value (000s)

INFORMATION TECHNOLOGY - 0.2%

Communications Equipment - 0.1%

Avaya, Inc.:

term loan 3.005% 10/27/14 (n)

$ 1,802

$ 1,744

Tranche B 3LN, term loan 4.755% 10/26/17 (n)

3,621

3,517

SafeNet, Inc. Tranche 2LN, term loan 6.1913% 4/12/15 (n)

7,500

7,463

 

12,724

Internet Software & Services - 0.0%

Airvana Networks Solutions, Inc. term loan 10% 3/25/15 (n)

3,510

3,549

Software - 0.1%

Kronos, Inc. Tranche 2LN, term loan 6.057% 6/11/15 (n)

23,730

23,611

SS&C Technologies, Inc. term loan 2.2851% 11/23/12 (n)

346

346

 

23,957

TOTAL INFORMATION TECHNOLOGY

40,230

MATERIALS - 0.0%

Chemicals - 0.0%

American Rock Salt Co. LLC Tranche B, term loan 5.5% 4/25/17 (n)

5,755

5,784

TELECOMMUNICATION SERVICES - 0.1%

Wireless Telecommunication Services - 0.1%

Asurion LLC:

term loan 9% 5/24/19 (n)

6,210

6,280

Tranche B, term loan 5.50% 5/24/18 (n)

12,000

11,896

Vodafone Americas Finance 2, Inc. term loan 6.875% 8/11/15

1,646

1,663

 

19,839

UTILITIES - 0.2%

Electric Utilities - 0.1%

Bicent Power LLC Tranche 2LN, term loan 4.31% 12/31/14 (n)

810

117

Texas Competitive Electric Holdings Co. LLC/Texas Competitive Electric Holdings Finance, Inc. Tranche B, term loan 4.7382% 10/10/17 (n)

25,196

19,810

 

19,927

Floating Rate Loans - continued

 

Principal Amount (000s)

Value (000s)

UTILITIES - continued

Independent Power Producers & Energy Traders - 0.1%

Nebraska Energy, Inc. Tranche 2LN, term loan 4.8125% 5/1/14 (n)

$ 12,400

$ 11,532

TOTAL UTILITIES

31,459

TOTAL FLOATING RATE LOANS

(Cost $198,279)

201,746

Bank Notes - 0.0%

 

Wachovia Bank NA 6% 11/15/17
(Cost $3,364)

3,066

3,492

Preferred Securities - 0.0%

 

 

 

 

FINANCIALS - 0.0%

Diversified Financial Services - 0.0%

ING Groep NV 5.775% (i)(n)

(Cost $554)

975

934

Fixed-Income Funds - 6.9%

Shares

 

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

2,529,627

278,891

Fidelity Mortgage Backed Securities Central Fund (o)

10,517,901

1,120,998

TOTAL FIXED-INCOME FUNDS

(Cost $1,322,234)

1,399,889

Money Market Funds - 4.1%

 

 

 

 

Fidelity Cash Central Fund, 0.14% (b)

685,361,959

685,362

Fidelity Securities Lending Cash Central Fund, 0.14% (b)(c)

150,455,698

150,456

TOTAL MONEY MARKET FUNDS

(Cost $835,818)

835,818

Cash Equivalents - 1.8%

Maturity Amount (000s)

Value (000s)

Investments in repurchase agreements in a joint trading account at:

0.11%, dated 5/31/11 due 6/1/11 (Collateralized by U.S. Government Obligations) #

$ 9,079

$ 9,079

0.14%, dated 5/31/11 due 6/1/11 (Collateralized by U.S. Government Obligations) # (r)

366,413

366,412

TOTAL CASH EQUIVALENTS

(Cost $375,491)

375,491

TOTAL INVESTMENT PORTFOLIO - 104.5%

(Cost $18,144,591)

21,226,677

NET OTHER ASSETS (LIABILITIES) - (4.5)%

(909,061)

NET ASSETS - 100%

$ 20,317,616

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 Premium Received/(Paid) $2,560,000) (m)

Sept. 2037

$ 8,367

$ (7,818)

Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to JPMorgan Chase, Inc. upon each credit event of one of the issues of ABX AA 07-01 Index, par value of the proportional notional amount (Rating-C) (Upfront Premium Received/(Paid) $2,398,000) (m)

Sept. 2037

6,858

(6,407)

Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to JPMorgan Chase, Inc. upon each credit event of one of the issues of ABX AA 07-01 Index, par value of the proportional notional amount (Rating-C) (Upfront Premium Received/(Paid) $566,000) (m)

Sept. 2037

1,573

(1,470)

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 Premium Received/(Paid) $2,398,000) (m)

Sept. 2037

6,857

(6,407)

Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to UBS upon each credit event of one of the issues of ABX AA 07-1 Index, par value of the proportional notional amount (Rating-C) (Upfront Premium Received/(Paid) $2,332,000) (m)

Sept. 2037

6,669

(6,231)

Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to UBS upon each credit event of one of the issues of ABX AA 07-1 Index, par value of the proportional notional amount (Rating-C) (Upfront Premium Received/(Paid) $2,025,000) (m)

Sept. 2037

5,725

(5,349)

 

 

$ 36,049

$ (33,682)

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) Affiliated company

(h) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $820,355,000 or 4.0% of net assets.

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

(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 $37,256,000.

(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) Coupon rates for floating and adjustable rate securities reflect the rates in effect 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) Position or a portion of the position represents an unfunded loan commitment. At period end, the total principal amount and market value of unfunded commitments totaled $556,000 and $555,000, respectively. The coupon rate will be determined at time of settlement.

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

(s) 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 $58,737,000 or 0.3% of net assets.

Additional information on each restricted holding is as follows:

Security

Acquisition Date

Acquisition Cost (000s)

Facebook, Inc. Class B

3/31/11 - 5/19/11

$ 22,037

HMH Holdings, Inc.

3/9/10

$ 634

Legend Pictures LLC

9/23/10

$ 35,000

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
(Amounts in thousands)

$9,079,000 due 6/01/11 at 0.11%

BNP Paribas Securities Corp.

$ 4,286

Barclays Capital, Inc.

3,229

Merrill Lynch, Pierce, Fenner & Smith, Inc.

1,564

 

$ 9,079

$366,412,000 due 6/01/11 at 0.14%

J.P. Morgan Securities, Inc.

$ 238,666

Societe Generale

127,746

 

$ 366,412

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

$ 1,093

Fidelity Corporate Bond 1-10 Year Central Fund

12,501

Fidelity Mortgage Backed Securities Central Fund

22,609

Fidelity Securities Lending Cash Central Fund

2,625

Total

$ 38,828

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

$ -

$ 239,305*

$ 278,891

41.7%

Fidelity Mortgage Backed Securities Central Fund

818,951

292,810

-

1,120,998

9.8%

Total

$ 1,336,053

$ 292,810

$ 239,305

$ 1,399,889

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

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

$ -

$ -

$ -

$ 16,179

Neurocrine Biosciences, Inc.

12,570

13,417

5,422

-

30,787

Total

$ 28,952

$ 13,417

$ 5,422

$ -

$ 46,966

Other Information

The following is a summary of the inputs used, as of May 31, 2011, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the tables below, please refer to the Investment Valuation section at the end of this listing.

Valuation Inputs at Reporting Date:

Description
(Amounts in thousands)

Total

Level 1

Level 2

Level 3

Investments in Securities:

Equities:

Consumer Discretionary

$ 1,521,873

$ 1,478,453

$ 8,398

$ 35,022

Consumer Staples

1,322,958

1,241,618

81,340

-

Energy

1,976,797

1,956,086

20,711

-

Financials

1,671,482

1,638,086

20,616

12,780

Health Care

1,528,098

1,528,098

-

-

Industrials

1,623,315

1,623,040

-

275

Information Technology

2,405,515

2,382,489

-

23,026

Materials

710,274

707,343

2,931

-

Telecommunication Services

59,618

59,618

-

-

Utilities

151,098

114,925

36,173

-

Corporate Bonds

2,228,229

-

2,226,857

1,372

U.S. Government and Government Agency Obligations

1,815,800

-

1,815,800

-

U.S. Government Agency - Mortgage Securities

883,654

-

883,654

-

Asset-Backed Securities

77,206

-

68,010

9,196

Collateralized Mortgage Obligations

100,333

-

97,374

2,959

Commercial Mortgage Securities

307,715

-

274,078

33,637

Municipal Securities

19,156

-

19,156

-

Foreign Government and Government Agency Obligations

6,033

-

6,033

-

Supranational Obligations

153

-

153

-

Floating Rate Loans

201,746

-

201,746

-

Bank Notes

3,492

-

3,492

-

Preferred Securities

934

-

934

-

Fixed-Income Funds

1,399,889

1,399,889

-

-

Money Market Funds

835,818

835,818

-

-

Cash Equivalents

375,491

-

375,491

-

Total Investments in Securities:

$ 21,226,677

$ 14,965,463

$ 6,142,947

$ 118,267

Derivative Instruments:

Liabilities

Swap Agreements

$ (33,682)

$ -

$ (33,682)

$ -

Other Financial Instruments:

Forward Commitments

$ (892)

$ -

$ (892)

$ -

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

(Amounts in thousands)

 

Investments in Securities:

Beginning Balance

$ 78,422

Total Realized Gain (Loss)

3,949

Total Unrealized Gain (Loss)

6,897

Cost of Purchases

69,764

Proceeds of Sales

(19,167)

Amortization/Accretion

597

Transfers in to Level 3

5,147

Transfers out of Level 3

(27,342)

Ending Balance

$ 118,267

The change in unrealized gain (loss) for the period attributable to Level 3 securities held at May 31, 2011

$ 6,755

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, and includes the value of securities received through affiliated in-kind transactions. 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 May 31, 2011, the cost of investment securities for income tax purposes was $18,239,220,000. Net unrealized appreciation aggregated $2,987,457,000, of which $3,179,040,000 related to appreciated investment securities and $191,583,000 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.

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

Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day and are categorized as Level 1 in the hierarchy. Short-term securities with remaining maturities of sixty days or less may be valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy.

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

Credit Default Swap Agreements

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

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

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

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

The Fund is exposed to additional risks from investing in credit default swaps, such as liquidity risk and counterparty risk. Liquidity risk is the risk that the Fund will be unable to sell a credit default 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 the Fund the right to terminate all transactions traded under such agreement if there is a certain deterioration in the credit quality of the counterparty. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk, the Fund 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 payments 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. 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 $36,049,000 representing 0.18% of net assets.

Quarterly Report

Investments May 31, 2011 (Unaudited)

Showing Percentage of Net Assets

Common Stocks - 62.9%

Shares

Value (000s)

CONSUMER DISCRETIONARY - 6.9%

Auto Components - 0.1%

Delphi Corp. Class B (a)

315

$ 7,686

TRW Automotive Holdings Corp. (a)

145,100

8,252

 

15,938

Automobiles - 0.2%

Bayerische Motoren Werke AG (BMW)

509,341

45,052

General Motors Co.

107,045

3,405

General Motors Co.:

warrants 7/10/16 (a)

97,314

2,208

warrants 7/10/19 (a)

97,314

1,622

 

52,287

Diversified Consumer Services - 0.1%

New Oriental Education & Technology Group, Inc. sponsored ADR (a)

265,700

30,773

Hotels, Restaurants & Leisure - 1.0%

Arcos Dorados Holdings, Inc.

1,368,000

31,122

Las Vegas Sands Corp. (a)

580,000

24,093

McDonald's Corp.

628,900

51,281

Starbucks Corp.

1,318,300

48,500

Vail Resorts, Inc. (a)

815,227

39,661

 

194,657

Household Durables - 0.2%

Lennar Corp. Class A

1,800,200

34,168

Internet & Catalog Retail - 0.5%

Amazon.com, Inc. (a)

437,100

85,973

E-Commerce China Dangdang, Inc. ADR (f)

847,000

16,593

 

102,566

Media - 2.8%

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

6,162,400

145,125

Discovery Communications, Inc. (a)

909,400

39,613

Focus Media Holding Ltd. ADR (a)

1,247,400

38,981

HMH Holdings, Inc. (a)(s)

149,814

712

Kabel Deutschland Holding AG (a)

638,700

43,574

Legend Pictures LLC (a)(s)

46,667

35,000

The Walt Disney Co.

2,800,190

116,572

Time Warner, Inc.

1,532,300

55,822

Vertis Holdings, Inc. (a)

30,518

0

Vertis Holdings, Inc. (a)

1,934

22

Virgin Media, Inc.

2,787,000

90,912

 

566,333

Common Stocks - continued

Shares

Value (000s)

CONSUMER DISCRETIONARY - continued

Multiline Retail - 0.3%

PPR SA (f)

352,200

$ 61,287

Specialty Retail - 0.4%

China ZhengTong Auto Services Holdings Ltd.

3,194,000

3,680

Guess?, Inc.

598,000

27,341

Lumber Liquidators Holdings, Inc. (a)

350,000

9,440

Tiffany & Co., Inc.

436,400

33,018

 

73,479

Textiles, Apparel & Luxury Goods - 1.3%

Compagnie Financiere Richemont SA Series A

533,720

34,793

LVMH Moet Hennessy - Louis Vuitton (f)

200,720

34,913

Phillips-Van Heusen Corp.

919,700

60,673

Polo Ralph Lauren Corp. Class A

781,200

99,033

Vera Bradley, Inc.

605,000

29,905

 

259,317

TOTAL CONSUMER DISCRETIONARY

1,390,805

CONSUMER STAPLES - 6.5%

Beverages - 2.4%

Anheuser-Busch InBev SA NV

627,951

37,959

Dr Pepper Snapple Group, Inc.

1,795,675

73,982

Pernod-Ricard SA

697,400

70,385

The Coca-Cola Co.

4,436,900

296,429

 

478,755

Food & Staples Retailing - 1.0%

Costco Wholesale Corp.

791,100

65,250

Droga Raia SA

864,006

15,334

Drogasil SA

4,059,200

28,826

Walgreen Co.

2,254,900

98,381

 

207,791

Food Products - 0.7%

Green Mountain Coffee Roasters, Inc. (a)

1,077,800

88,778

Mead Johnson Nutrition Co. Class A

891,600

60,442

 

149,220

Household Products - 0.1%

Colgate-Palmolive Co.

133,297

11,667

Common Stocks - continued

Shares

Value (000s)

CONSUMER STAPLES - continued

Personal Products - 0.5%

Estee Lauder Companies, Inc. Class A

775,200

$ 79,466

Prestige Brands Holdings, Inc. (a)

2,182,251

28,173

 

107,639

Tobacco - 1.8%

Japan Tobacco, Inc.

11,209

43,381

Lorillard, Inc.

364,400

42,008

Philip Morris International, Inc.

3,937,240

282,497

 

367,886

TOTAL CONSUMER STAPLES

1,322,958

ENERGY - 9.7%

Energy Equipment & Services - 2.7%

Baker Hughes, Inc.

1,060,200

78,381

Compagnie Generale de Geophysique SA (a)

551,300

20,711

Dresser-Rand Group, Inc. (a)

565,300

29,723

Halliburton Co.

2,260,700

113,374

Nabors Industries Ltd. (a)

965,600

26,931

National Oilwell Varco, Inc.

324,200

23,530

Noble Corp.

2,192,900

91,817

Oceaneering International, Inc.

240,800

19,625

Schlumberger Ltd.

866,100

74,242

Transocean Ltd. (United States)

1,115,000

77,281

 

555,615

Oil, Gas & Consumable Fuels - 7.0%

Alpha Natural Resources, Inc. (a)(j)

395,752

21,683

Apache Corp.

859,100

107,044

Chesapeake Energy Corp.

1,700,100

53,281

Chevron Corp.

1,858,500

194,975

ConocoPhillips

925,600

67,772

CVR Energy, Inc. (a)

548,700

11,995

El Paso Corp.

384,399

8,092

EV Energy Partners LP

549,800

30,431

Exxon Mobil Corp.

4,749,917

396,476

Kinder Morgan Holding Co. LLC

156,200

4,575

Marathon Oil Corp.

1,701,000

92,143

Massey Energy Co.

386,100

25,483

OAO Gazprom sponsored ADR

1,265,400

18,665

Occidental Petroleum Corp.

780,858

84,216

PT Bumi Resources Tbk

77,797,000

30,078

Common Stocks - continued

Shares

Value (000s)

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Royal Dutch Shell PLC:

Class A sponsored ADR

1,268,004

$ 90,574

Class B sponsored ADR

127,600

9,228

Tesoro Logistics LP

78,400

1,947

Valero Energy Corp.

3,596,200

98,896

Western Refining, Inc. (a)(f)

1,156,363

20,155

Williams Companies, Inc.

1,507,400

47,317

 

1,415,026

TOTAL ENERGY

1,970,641

FINANCIALS - 8.0%

Capital Markets - 1.1%

Apollo Global Management LLC Class A

1,112,300

20,044

Evercore Partners, Inc. Class A

830,700

30,744

Goldman Sachs Group, Inc.

443,100

62,357

Invesco Ltd.

1,213,000

29,925

State Street Corp.

1,132,600

51,839

The Blackstone Group LP

1,134,400

19,557

UBS AG (NY Shares) (a)

530,200

10,243

 

224,709

Commercial Banks - 2.8%

Banco ABC Brasil SA

2,387,000

18,238

BB&T Corp.

1,297,300

35,728

CIT Group, Inc. (a)

570,400

25,286

Comerica, Inc.

1,147,600

41,440

Credicorp Ltd. (NY Shares)

86,500

8,769

First Republic Bank (f)

400,000

12,900

Huntington Bancshares, Inc.

3,825,900

25,251

Regions Financial Corp.

7,261,900

51,269

SunTrust Banks, Inc.

1,076,300

30,276

U.S. Bancorp, Delaware

4,600,300

117,768

Wells Fargo & Co.

5,977,940

169,594

Zions Bancorporation

1,409,600

33,591

 

570,110

Consumer Finance - 0.2%

Capital One Financial Corp.

382,100

20,763

SLM Corp.

500,000

8,520

 

29,283

Common Stocks - continued

Shares

Value (000s)

FINANCIALS - continued

Diversified Financial Services - 2.6%

Bank of America Corp.

357,046

$ 4,195

Citigroup, Inc.

6,458,640

265,773

JPMorgan Chase & Co.

5,834,523

252,285

NBH Holdings Corp. Class A (a)(h)

710,000

12,780

 

535,033

Insurance - 0.9%

ACE Ltd.

510,100

35,105

Lincoln National Corp.

928,000

27,237

MetLife, Inc.

2,808,600

123,859

 

186,201

Real Estate Investment Trusts - 0.1%

Lexington Corporate Properties Trust

3,086,967

29,141

Real Estate Management & Development - 0.2%

CB Richard Ellis Group, Inc. Class A (a)

998,500

26,390

Iguatemi Empresa de Shopping Centers SA

432,700

11,111

 

37,501

Thrifts & Mortgage Finance - 0.1%

BankUnited, Inc.

769,200

21,815

TOTAL FINANCIALS

1,633,793

HEALTH CARE - 7.5%

Biotechnology - 1.7%

Achillion Pharmaceuticals, Inc. (a)

1,500,000

11,235

Acorda Therapeutics, Inc. (a)

772,900

25,390

Amgen, Inc. (a)

428,800

25,960

Ardea Biosciences, Inc. (a)

271,200

6,777

Biogen Idec, Inc. (a)

772,000

73,132

BioMarin Pharmaceutical, Inc. (a)

1,286,300

36,312

Gilead Sciences, Inc. (a)

731,000

30,512

Neurocrine Biosciences, Inc. (a)(g)

3,731,700

30,787

Theravance, Inc. (a)

1,285,600

33,593

United Therapeutics Corp. (a)

344,500

22,244

Vertex Pharmaceuticals, Inc. (a)

846,300

45,692

 

341,634

Health Care Equipment & Supplies - 1.7%

Baxter International, Inc.

865,200

51,497

C. R. Bard, Inc.

676,800

75,653

Covidien PLC

1,923,100

105,771

Common Stocks - continued

Shares

Value (000s)

HEALTH CARE - continued

Health Care Equipment & Supplies - continued

Edwards Lifesciences Corp. (a)

572,400

$ 50,789

William Demant Holding A/S (a)

734,500

69,454

 

353,164

Health Care Providers & Services - 1.4%

Aetna, Inc.

583,700

25,496

CIGNA Corp.

2,155,900

107,558

Diagnosticos da America SA

1,141,000

16,205

Humana, Inc.

518,900

41,787

McKesson Corp.

866,100

74,147

Medco Health Solutions, Inc. (a)

401,700

24,046

 

289,239

Health Care Technology - 0.1%

CareView Communications, Inc. (a)(f)(g)

10,175,300

16,179

Life Sciences Tools & Services - 0.9%

Agilent Technologies, Inc. (a)

1,468,800

73,249

Bruker BioSciences Corp. (a)

1,272,900

25,102

Illumina, Inc. (a)

1,112,050

80,157

 

178,508

Pharmaceuticals - 1.7%

Elan Corp. PLC sponsored ADR (a)

1,639,548

15,690

GlaxoSmithKline PLC sponsored ADR

1,472,200

63,982

Perrigo Co.

620,100

53,056

Pfizer, Inc.

4,562,000

97,855

Shire PLC sponsored ADR

465,200

44,468

Valeant Pharmaceuticals International, Inc. (Canada)

1,417,911

74,323

 

349,374

TOTAL HEALTH CARE

1,528,098

INDUSTRIALS - 8.0%

Aerospace & Defense - 2.9%

Bombardier, Inc. Class B (sub. vtg.)

7,711,800

53,723

Esterline Technologies Corp. (a)

248,000

18,754

GeoEye, Inc. (a)

491,600

16,306

Goodrich Corp.

593,400

51,798

Precision Castparts Corp.

511,600

80,372

Textron, Inc.

950,500

21,747

Common Stocks - continued

Shares

Value (000s)

INDUSTRIALS - continued

Aerospace & Defense - continued

The Boeing Co.

1,344,800

$ 104,935

United Technologies Corp.

2,798,800

245,651

 

593,286

Airlines - 0.6%

Delta Air Lines, Inc. (a)

436,512

4,400

Southwest Airlines Co.

4,857,900

57,469

United Continental Holdings, Inc. (a)

2,111,900

51,002

 

112,871

Building Products - 0.1%

A.O. Smith Corp.

562,350

23,321

Masonite Worldwide Holdings (a)

5,358

220

Masonite Worldwide Holdings:

warrants 5/20/14 (a)

25,981

31

warrants 5/20/16 (a)

19,485

24

 

23,596

Commercial Services & Supplies - 0.1%

The Geo Group, Inc. (a)

470,000

11,557

Construction & Engineering - 0.6%

Fluor Corp.

947,300

65,297

Foster Wheeler AG (a)

400,000

13,704

MYR Group, Inc. (a)

225,000

5,074

Shaw Group, Inc. (a)

875,700

31,989

 

116,064

Electrical Equipment - 0.4%

AMETEK, Inc.

1,078,000

46,882

Regal-Beloit Corp.

516,000

35,604

 

82,486

Industrial Conglomerates - 1.4%

General Electric Co.

14,822,900

291,122

Machinery - 0.8%

Caterpillar, Inc.

166,400

17,605

Danaher Corp.

1,787,600

97,478

WABCO Holdings, Inc. (a)

581,600

39,869

Weg SA

911,700

10,405

 

165,357

Common Stocks - continued

Shares

Value (000s)

INDUSTRIALS - continued

Road & Rail - 0.8%

CSX Corp.

751,500

$ 59,594

Union Pacific Corp.

1,051,556

110,382

 

169,976

Trading Companies & Distributors - 0.3%

Air Lease Corp. Class A

2,000,000

57,000

TOTAL INDUSTRIALS

1,623,315

INFORMATION TECHNOLOGY - 11.8%

Communications Equipment - 1.6%

Alcatel-Lucent SA sponsored ADR (a)

8,239,100

46,716

Juniper Networks, Inc. (a)

1,245,500

45,598

Motorola Mobility Holdings, Inc.

770,025

19,358

Motorola Solutions, Inc.

21,699

1,039

Polycom, Inc. (a)

789,000

45,296

QUALCOMM, Inc.

2,959,600

173,403

 

331,410

Computers & Peripherals - 3.1%

Apple, Inc. (a)

1,530,400

532,319

Hewlett-Packard Co.

1,231,102

46,019

NetApp, Inc. (a)

1,037,100

56,802

 

635,140

Electronic Equipment & Components - 0.5%

Amphenol Corp. Class A

868,900

46,973

Arrow Electronics, Inc. (a)

715,300

31,924

E Ink Holdings, Inc. GDR (a)(h)

140,100

3,160

LG Display Co. Ltd. sponsored ADR (f)

913,000

15,165

 

97,222

Internet Software & Services - 0.8%

Baidu.com, Inc. sponsored ADR (a)

213,200

28,933

Demand Media, Inc. (f)

1,254,966

19,088

Facebook, Inc. Class B (s)

881,260

22,032

LinkedIn Corp. (a)

34,100

2,782

Mail.ru Group Ltd.:

GDR (a)(h)

580,000

19,894

GDR (Reg. S) (a)

289,900

9,944

Phoenix New Media Ltd. ADR

276,600

3,184

Common Stocks - continued

Shares

Value (000s)

INFORMATION TECHNOLOGY - continued

Internet Software & Services - continued

Rackspace Hosting, Inc. (a)

847,000

$ 37,268

Renren, Inc. ADR

1,565,000

20,110

 

163,235

IT Services - 1.7%

Accenture PLC Class A

1,779,400

102,120

Atos Origin SA (a)

690,586

40,378

Cognizant Technology Solutions Corp. Class A (a)

2,299,000

174,816

ServiceSource International, Inc. (f)

448,000

8,714

Visa, Inc. Class A

250,700

20,322

 

346,350

Semiconductors & Semiconductor Equipment - 0.7%

Avago Technologies Ltd.

880,900

29,766

Freescale Semiconductor Holdings I Ltd.

1,465,000

27,103

NVIDIA Corp. (a)

2,393,696

47,970

PMC-Sierra, Inc. (a)

1,372,700

10,762

Spansion, Inc. Class A (a)

64,190

1,286

Teradyne, Inc. (a)

1,291,200

20,672

 

137,559

Software - 3.4%

ANSYS, Inc. (a)

647,700

37,159

AsiaInfo Holdings, Inc. (a)

498,800

8,943

BMC Software, Inc. (a)

806,800

45,044

Check Point Software Technologies Ltd. (a)

1,219,300

66,964

CommVault Systems, Inc. (a)

1,177,500

48,678

Fortinet, Inc. (a)

384,253

18,632

Informatica Corp. (a)

885,630

51,951

Intuit, Inc. (a)

542,000

29,252

Kenexa Corp. (a)

717,400

22,684

Oracle Corp.

5,270,700

180,363

Rovi Corp. (a)

1,053,000

61,032

salesforce.com, Inc. (a)

332,200

50,581

Solera Holdings, Inc.

643,700

38,036

VMware, Inc. Class A (a)

352,300

34,286

 

693,605

TOTAL INFORMATION TECHNOLOGY

2,404,521

Common Stocks - continued

Shares

Value (000s)

MATERIALS - 3.5%

Chemicals - 1.6%

Air Products & Chemicals, Inc.

332,500

$ 31,617

Arkema SA

311,800

34,169

Ashland, Inc.

836,600

57,173

CF Industries Holdings, Inc.

454,600

69,908

Lanxess AG

495,500

42,765

LyondellBasell Industries NV Class A

1,002,794

43,932

Solutia, Inc. (a)

1,447,600

36,147

Tronox, Inc.

23,603

2,931

 

318,642

Containers & Packaging - 0.1%

Rock-Tenn Co. Class A (f)

370,300

28,450

Metals & Mining - 1.8%

AngloGold Ashanti Ltd. sponsored ADR

1,763,200

81,037

Goldcorp, Inc.

1,747,900

87,418

MacArthur Coal Ltd.

2,797,302

35,536

Newcrest Mining Ltd.

2,628,235

111,389

Walter Energy, Inc.

338,000

42,098

 

357,478

TOTAL MATERIALS

704,570

TELECOMMUNICATION SERVICES - 0.3%

Diversified Telecommunication Services - 0.1%

AboveNet, Inc.

361,900

28,254

CenturyLink, Inc.

34

1

 

28,255

Wireless Telecommunication Services - 0.2%

American Tower Corp. Class A (a)

565,300

31,363

TOTAL TELECOMMUNICATION SERVICES

59,618

UTILITIES - 0.7%

Electric Utilities - 0.2%

PPL Corp.

1,739,500

49,037

Gas Utilities - 0.3%

Energen Corp.

378,600

23,575

ONEOK, Inc.

424,700

30,192

 

53,767

Common Stocks - continued

Shares

Value (000s)

UTILITIES - continued

Multi-Utilities - 0.2%

National Grid PLC

3,503,800

$ 36,173

TOTAL UTILITIES

138,977

TOTAL COMMON STOCKS

(Cost $10,141,204)

12,777,296

Preferred Stocks - 1.0%

 

 

 

 

Convertible Preferred Stocks - 0.3%

CONSUMER DISCRETIONARY - 0.1%

Automobiles - 0.1%

General Motors Co. 4.75%

184,400

9,238

ENERGY - 0.0%

Oil, Gas & Consumable Fuels - 0.0%

Apache Corp. 6.00%

64,800

4,311

Chesapeake Energy Corp. 5.00%

18,580

1,845

 

6,156

FINANCIALS - 0.1%

Diversified Financial Services - 0.1%

2010 Swift Mandatory Common Exchange Security Trust 6.00% (h)

239,300

3,182

Citigroup, Inc. 7.50%

59,300

7,146

 

10,328

Real Estate Investment Trusts - 0.0%

Health Care REIT, Inc. 6.50%

113,000

5,961

TOTAL FINANCIALS

16,289

INFORMATION TECHNOLOGY - 0.0%

Internet Software & Services - 0.0%

wetpaint.com, Inc. Series C (a)(s)

497,017

994

MATERIALS - 0.0%

Metals & Mining - 0.0%

AngloGold Ashanti Holdings Finance PLC 6.00%

108,900

5,704

Preferred Stocks - continued

Shares

Value (000s)

Convertible Preferred Stocks - continued

UTILITIES - 0.1%

Electric Utilities - 0.1%

AES Trust III 6.75%

126,300

$ 6,208

PPL Corp. 8.75%

108,000

5,913

 

12,121

TOTAL CONVERTIBLE PREFERRED STOCKS

50,502

Nonconvertible Preferred Stocks - 0.7%

CONSUMER DISCRETIONARY - 0.6%

Automobiles - 0.6%

Porsche Automobil Holding SE (Germany)

511,350

35,548

Volkswagen AG

486,000

86,282

 

121,830

FINANCIALS - 0.1%

Diversified Financial Services - 0.1%

GMAC Capital Trust I 8.125%

377,872

9,927

GMAC LLC 7.00% (h)

11,951

11,473

 

21,400

TOTAL NONCONVERTIBLE PREFERRED STOCKS

143,230

TOTAL PREFERRED STOCKS

(Cost $143,692)

193,732

Corporate Bonds - 11.0%

 

Principal Amount (000s)

 

Convertible Bonds - 0.2%

CONSUMER DISCRETIONARY - 0.1%

Leisure Equipment & Products - 0.1%

Eastman Kodak Co. 7% 4/1/17

$ 7,050

6,286

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Convertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Media - 0.0%

Liberty Media Corp.:

3.5% 1/15/31

$ 504

$ 348

3.5% 1/15/31 (h)

3,727

2,575

 

2,923

TOTAL CONSUMER DISCRETIONARY

9,209

ENERGY - 0.1%

Oil, Gas & Consumable Fuels - 0.1%

Alpha Natural Resources, Inc. 2.375% 4/15/15 (j)

1,350

1,752

Peabody Energy Corp. 4.75% 12/15/66

6,300

7,938

 

9,690

INFORMATION TECHNOLOGY - 0.0%

Semiconductors & Semiconductor Equipment - 0.0%

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

2,860

2,969

MATERIALS - 0.0%

Construction Materials - 0.0%

Headwaters, Inc. 2.5% 2/1/14

4,920

4,391

TELECOMMUNICATION SERVICES - 0.0%

Diversified Telecommunication Services - 0.0%

Clearwire Communications LLC/Clearwire Finance, Inc. 8.25% 12/1/40 (h)

4,000

4,025

TOTAL CONVERTIBLE BONDS

30,284

Nonconvertible Bonds - 10.8%

CONSUMER DISCRETIONARY - 1.4%

Auto Components - 0.1%

DaimlerChrysler NA Holding Corp. 5.75% 9/8/11

5,187

5,259

Delphi Corp.:

5.875% 5/15/19 (h)

1,820

1,815

6.125% 5/15/21 (h)

1,690

1,694

Exide Technologies 8.625% 2/1/18 (h)

825

866

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Auto Components - continued

International Automotive Components Group SA 9.125% 6/1/18 (h)(j)

$ 1,930

$ 1,978

Tenneco, Inc. 6.875% 12/15/20

2,415

2,475

 

14,087

Automobiles - 0.0%

Ford Motor Co.:

6.375% 2/1/29

2,190

2,119

6.625% 10/1/28

2,355

2,384

7.45% 7/16/31

665

755

General Motors Corp.:

6.75% 5/1/28 (d)

390

7

7.125% 7/15/13 (d)

1,135

19

7.2% 1/15/11 (d)

2,855

49

7.4% 9/1/25 (d)

195

3

7.7% 4/15/16 (d)

705

12

8.25% 7/15/23 (d)

5,475

94

8.375% 7/15/33 (d)

16,800

287

 

5,729

Distributors - 0.0%

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

1,745

1,732

Diversified Consumer Services - 0.1%

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

13,000

13,780

Hotels, Restaurants & Leisure - 0.2%

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

2,935

3,096

Ameristar Casinos, Inc. 7.5% 4/15/21 (h)

2,810

2,929

Chukchansi Economic Development Authority:

3.917% 11/15/12 (h)(n)

1,140

938

8% 11/15/13 (h)

1,890

1,559

CityCenter Holdings LLC/CityCenter Finance Corp. 7.625% 1/15/16 (h)

2,105

2,158

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

760

821

MCE Finance Ltd. 10.25% 5/15/18

4,620

5,336

MGM Mirage, Inc.:

5.875% 2/27/14

4,008

3,968

6.625% 7/15/15

2,080

2,023

6.75% 4/1/13

80

82

7.5% 6/1/16

5,580

5,441

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Hotels, Restaurants & Leisure - continued

MGM Mirage, Inc.: - continued

9% 3/15/20

$ 1,770

$ 1,974

11.125% 11/15/17

5,175

5,990

13% 11/15/13

5,000

6,025

NAI Entertainment Holdings LLC/NAI Entertainment Finance Corp. 8.25% 12/15/17 (h)

1,060

1,145

NCL Corp. Ltd. 9.5% 11/15/18 (h)

565

609

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

1,080

1,075

Seven Seas Cruises S de RL LLC 9.125% 5/15/19 (h)

250

258

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

2,270

1,657

Station Casinos, Inc.:

6% 4/1/12 (d)

7,405

1

7.75% 8/15/16 (d)

1,735

0*

Sugarhouse HSP Gaming Prop Mezz LP/Sugarhouse HSP Gaming Finance Corp. 8.625% 4/15/16 (h)

220

226

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

1,282

698

 

48,009

Household Durables - 0.1%

Fortune Brands, Inc.:

5.375% 1/15/16

9,277

10,078

5.875% 1/15/36

2,020

1,955

6.375% 6/15/14

1,380

1,539

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

7.125% 4/15/19 (h)

1,140

1,174

9% 4/15/19 (h)

1,305

1,380

Whirlpool Corp. 6.125% 6/15/11

1,155

1,157

 

17,283

Leisure Equipment & Products - 0.0%

Eastman Kodak Co.:

9.75% 3/1/18 (h)

2,131

2,067

10.625% 3/15/19 (h)

1,800

1,791

 

3,858

Media - 0.8%

Bresnan Broadband Holdings LLC 8% 12/15/18 (h)

875

923

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Media - continued

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

$ 5,995

$ 6,385

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

1,095

1,166

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

11,727

13,955

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

520

543

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

1,290

845

Clear Channel Communications, Inc.:

4.9% 5/15/15

765

658

5% 3/15/12

4,405

4,416

5.5% 9/15/14

4,055

3,720

5.5% 12/15/16

1,330

958

Clear Channel Worldwide Holdings, Inc.:

Series A, 9.25% 12/15/17

780

850

Series B, 9.25% 12/15/17

3,120

3,409

Comcast Corp.:

4.95% 6/15/16

1,742

1,913

5.15% 3/1/20

595

640

5.7% 5/15/18

10,139

11,357

6.4% 3/1/40

2,111

2,301

6.45% 3/15/37

1,033

1,123

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

2,632

2,801

Discovery Communications LLC:

3.7% 6/1/15

3,557

3,750

6.35% 6/1/40

3,224

3,476

DISH DBS Corp. 6.75% 6/1/21 (h)

3,515

3,550

EchoStar Communications Corp. 6.625% 10/1/14

3,000

3,195

Entravision Communication Corp. 8.75% 8/1/17

1,625

1,727

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

990

1,052

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

480

499

Lamar Media Corp. 7.875% 4/15/18

1,400

1,505

Liberty Media Corp. 8.25% 2/1/30

889

866

NBC Universal, Inc.:

3.65% 4/30/15 (h)

4,663

4,903

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Media - continued

NBC Universal, Inc.: - continued

5.15% 4/30/20 (h)

$ 4,917

$ 5,231

6.4% 4/30/40 (h)

4,249

4,617

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

6,290

7,681

Nexstar Broadcasting, Inc.:

7% 1/15/14

1,977

1,979

7% 1/15/14 pay-in-kind

6,023

6,031

Nielsen Finance LLC/Nielsen Finance Co.:

7.75% 10/15/18 (h)

3,165

3,402

11.5% 5/1/16

1,947

2,302

11.625% 2/1/14

1,171

1,379

Radio One, Inc. 15% 5/11/16 pay-in-kind (h)(n)

4,178

4,286

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

7,775

8,047

Satmex Escrow SA de CV 9.5% 5/15/17 (h)

475

485

Sheridan Group, Inc. 12.5% 4/15/14 (h)

1,825

1,738

Time Warner Cable, Inc.:

5.4% 7/2/12

2,266

2,377

5.85% 5/1/17

2,500

2,797

6.2% 7/1/13

2,154

2,369

6.75% 7/1/18

1,087

1,264

Time Warner, Inc.:

3.15% 7/15/15

362

373

5.875% 11/15/16

3,112

3,562

6.2% 3/15/40

2,618

2,728

6.5% 11/15/36

2,633

2,838

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

5,860

5,538

Univision Communications, Inc.:

6.875% 5/15/19 (h)

2,230

2,230

7.875% 11/1/20 (h)

1,640

1,738

Videotron Ltd. 9.125% 4/15/18

5,565

6,247

 

163,725

Specialty Retail - 0.1%

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

565

588

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

780

774

Limited Brands, Inc. 6.625% 4/1/21

300

311

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

1,665

1,707

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

3,260

3,488

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Specialty Retail - continued

Sonic Automotive, Inc.:

8.625% 8/15/13

$ 1,511

$ 1,534

9% 3/15/18

1,000

1,065

Staples, Inc. 7.375% 10/1/12

757

813

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

3,430

3,859

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

4,995

5,357

 

19,496

Textiles, Apparel & Luxury Goods - 0.0%

Polymer Group, Inc. 7.75% 2/1/19 (h)

605

622

TOTAL CONSUMER DISCRETIONARY

288,321

CONSUMER STAPLES - 0.4%

Beverages - 0.1%

Anheuser-Busch InBev Worldwide, Inc.:

2.5% 3/26/13

1,969

2,020

5.375% 11/15/14

5,671

6,350

Diageo Capital PLC 5.2% 1/30/13

3,201

3,428

FBG Finance Ltd. 5.125% 6/15/15 (h)

2,722

2,974

 

14,772

Food & Staples Retailing - 0.1%

CVS Caremark Corp.:

4.125% 5/15/21

5,719

5,625

6.302% 6/1/37 (n)

597

591

Rite Aid Corp.:

7.5% 3/1/17

13,280

13,280

10.375% 7/15/16

5,420

5,854

 

25,350

Food Products - 0.1%

Cargill, Inc. 6% 11/27/17 (h)

417

483

Kraft Foods, Inc.:

5.375% 2/10/20

5,528

6,051

5.625% 11/1/11

437

446

6.5% 8/11/17

6,561

7,705

6.75% 2/19/14

318

361

 

15,046

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

CONSUMER STAPLES - continued

Tobacco - 0.1%

Altria Group, Inc.:

8.5% 11/10/13

$ 446

$ 520

9.7% 11/10/18

14,772

19,727

Reynolds American, Inc.:

6.75% 6/15/17

2,746

3,212

7.25% 6/15/37

6,101

6,821

 

30,280

TOTAL CONSUMER STAPLES

85,448

ENERGY - 1.2%

Energy Equipment & Services - 0.2%

Calfrac Holdings LP 7.5% 12/1/20 (h)

1,435

1,485

DCP Midstream LLC 5.35% 3/15/20 (h)

5,028

5,372

El Paso Pipeline Partners Operating Co. LLC:

4.1% 11/15/15

5,488

5,752

6.5% 4/1/20

1,008

1,157

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

7,200

7,020

Forbes Energy Services Ltd. 9% 6/15/19 (h)(j)

1,385

1,388

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

860

912

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

863

897

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

1,420

1,429

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

1,580

1,635

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

1,355

1,602

Trinidad Drilling Ltd. 7.875% 1/15/19 (h)

630

668

Weatherford International Ltd.:

4.95% 10/15/13

1,614

1,728

5.15% 3/15/13

2,110

2,241

 

33,286

Oil, Gas & Consumable Fuels - 1.0%

Alpha Natural Resources, Inc.:

6% 6/1/19

2,915

2,941

6.25% 6/1/21 (j)

1,675

1,704

Anadarko Petroleum Corp.:

5.95% 9/15/16

663

749

6.375% 9/15/17

9,475

10,894

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

4,470

4,872

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

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

$ 9,495

$ 9,851

BW Group Ltd. 6.625% 6/28/17 (h)

2,741

2,770

Calumet Specialty Products Partners LP/Calumet Finance Corp. 9.375% 5/1/19 (h)

635

664

Canadian Natural Resources Ltd.:

5.15% 2/1/13

1,519

1,621

5.7% 5/15/17

392

452

ConocoPhillips 5.75% 2/1/19

7,588

8,844

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

860

862

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

1,973

2,156

Drummond Co., Inc.:

7.375% 2/15/16

5,000

5,100

9% 10/15/14 (h)

1,155

1,221

Duke Capital LLC 6.25% 2/15/13

589

637

Duke Energy Field Services:

5.375% 10/15/15 (h)

1,133

1,263

6.45% 11/3/36 (h)

3,753

4,020

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

867

989

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

2,678

2,996

Enterprise Products Operating LP:

5.6% 10/15/14

660

737

5.65% 4/1/13

410

442

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

1,715

1,784

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

3,581

3,739

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

302

358

LINN Energy LLC/LINN Energy Finance Corp. 6.5% 5/15/19 (h)

1,820

1,806

Marathon Petroleum Corp. 5.125% 3/1/21 (h)

3,001

3,130

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

1,140

1,254

Motiva Enterprises LLC:

5.75% 1/15/20 (h)

2,578

2,904

6.85% 1/15/40 (h)

6,648

7,923

Nakilat, Inc. 6.067% 12/31/33 (h)

1,839

1,867

Nexen, Inc.:

5.2% 3/10/15

842

925

5.875% 3/10/35

2,365

2,323

6.2% 7/30/19

825

938

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Nexen, Inc.: - continued

6.4% 5/15/37

$ 4,230

$ 4,374

NGPL PipeCo LLC 6.514% 12/15/12 (h)

3,302

3,482

Petrobras International Finance Co. Ltd.:

3.875% 1/27/16

4,954

5,070

5.75% 1/20/20

10,133

10,747

6.875% 1/20/40

1,057

1,147

7.875% 3/15/19

5,564

6,713

Petroleos Mexicanos 6% 3/5/20

879

952

Petroleum Development Corp. 12% 2/15/18

4,240

4,770

Plains All American Pipeline LP/PAA Finance Corp.:

3.95% 9/15/15

137

144

4.25% 9/1/12

663

688

5% 2/1/21

1,642

1,708

6.125% 1/15/17

1,880

2,124

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

1,661

1,821

Ras Laffan Liquefied Natural Gas Co. Ltd. III:

4.5% 9/30/12 (h)

2,588

2,685

5.5% 9/30/14 (h)

3,880

4,229

5.832% 9/30/16 (h)

1,046

1,141

6.332% 9/30/27 (h)

5,710

6,132

6.75% 9/30/19 (h)

2,367

2,716

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

2,550

2,671

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

2,522

2,713

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

10,070

10,171

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

501

535

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

421

461

Suncor Energy, Inc.:

6.1% 6/1/18

7,256

8,368

6.85% 6/1/39

6,550

7,685

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

2,650

2,904

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

948

1,101

Western Gas Partners LP 5.375% 6/1/21

5,617

5,808

XTO Energy, Inc.:

4.9% 2/1/14

364

400

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

XTO Energy, Inc.: - continued

5% 1/31/15

$ 1,031

$ 1,157

5.65% 4/1/16

707

823

 

200,176

TOTAL ENERGY

233,462

FINANCIALS - 3.5%

Capital Markets - 0.5%

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

8,893

9,830

BlackRock, Inc. 4.25% 5/24/21

980

978

Goldman Sachs Group, Inc.:

3.7% 8/1/15

5,929

6,020

5.95% 1/18/18

3,697

4,005

6% 6/15/20

5,000

5,373

6.15% 4/1/18

1,544

1,693

6.75% 10/1/37

4,509

4,531

Janus Capital Group, Inc. 5.875% 9/15/11 (e)

812

819

JPMorgan Chase Capital XX 6.55% 9/29/36

7,545

7,738

Lazard Group LLC:

6.85% 6/15/17

3,573

3,999

7.125% 5/15/15

1,276

1,438

Merrill Lynch & Co., Inc.:

5.45% 2/5/13

4,315

4,594

6.4% 8/28/17

3,463

3,886

6.875% 4/25/18

4,526

5,158

Morgan Stanley:

4% 7/24/15

883

914

4.75% 4/1/14

2,291

2,416

5.45% 1/9/17

1,300

1,402

5.625% 9/23/19

1,659

1,732

5.75% 1/25/21

4,000

4,183

5.95% 12/28/17

510

560

6% 5/13/14

3,192

3,504

6% 4/28/15

1,932

2,144

6.625% 4/1/18

1,161

1,307

7.3% 5/13/19

4,941

5,690

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

1,765

1,606

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Capital Markets - continued

The Bank of New York, Inc. 4.3% 5/15/14

$ 4,756

$ 5,162

UBS AG Stamford Branch 3.875% 1/15/15

8,000

8,451

 

99,133

Commercial Banks - 0.7%

Bank of America NA:

5.3% 3/15/17

13,137

13,891

6.1% 6/15/17

522

574

CIT Group, Inc.:

7% 5/1/15

14,251

14,357

7% 5/1/16

5,173

5,186

7% 5/1/17

20,375

20,426

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

10,887

11,983

DBS Bank Ltd. (Singapore) 0.4808% 5/16/17 (h)(n)

3,496

3,452

Discover Bank:

7% 4/15/20

2,178

2,483

8.7% 11/18/19

1,651

2,060

Export-Import Bank of Korea:

5.25% 2/10/14 (h)

333

358

5.5% 10/17/12

2,091

2,200

Fifth Third Bancorp:

3.625% 1/25/16

2,893

2,959

4.5% 6/1/18

418

417

8.25% 3/1/38

3,116

3,887

Fifth Third Bank 4.75% 2/1/15

680

723

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

2,100

2,084

HBOS PLC 6.75% 5/21/18 (h)

408

412

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

1,364

1,572

JPMorgan Chase Bank 6% 10/1/17

1,942

2,183

KeyBank NA:

5.45% 3/3/16

1,877

2,050

5.8% 7/1/14

4,250

4,681

KeyCorp. 5.1% 3/24/21

2,604

2,710

Manufacturers & Traders Trust Co. 1.8045% 4/1/13 (n)

547

547

Marshall & Ilsley Bank:

4.85% 6/16/15

2,431

2,627

5% 1/17/17

3,592

3,908

5.25% 9/4/12

1,524

1,586

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Commercial Banks - continued

Regions Bank:

6.45% 6/26/37

$ 4,710

$ 4,398

7.5% 5/15/18

2,851

3,086

Regions Financial Corp.:

0.4785% 6/26/12 (n)

461

448

5.75% 6/15/15

996

1,018

7.75% 11/10/14

4,550

4,988

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

4,440

4,546

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

1,837

1,841

UnionBanCal Corp. 5.25% 12/16/13

614

663

Wachovia Bank NA:

4.8% 11/1/14

509

552

4.875% 2/1/15

1,305

1,414

Wachovia Corp.:

5.625% 10/15/16

3,151

3,520

5.75% 6/15/17

1,728

1,963

Wells Fargo & Co.:

3.625% 4/15/15

3,029

3,197

3.676% 6/15/16

2,210

2,297

 

143,247

Consumer Finance - 0.5%

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

1,800

1,832

Discover Financial Services:

6.45% 6/12/17

9,507

10,697

10.25% 7/15/19

797

1,063

Ford Motor Credit Co. LLC:

5.75% 2/1/21

2,610

2,613

8.125% 1/15/20

5,000

5,872

General Electric Capital Corp.:

2.25% 11/9/15

4,296

4,238

2.95% 5/9/16

1,152

1,156

3.5% 6/29/15

1,191

1,247

5.625% 9/15/17

17,812

19,907

General Motors Acceptance Corp.:

6.875% 9/15/11

1,360

1,377

6.875% 8/28/12

3,685

3,865

8% 11/1/31

2,570

2,820

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Consumer Finance - continued

GMAC LLC:

6% 12/15/11

$ 880

$ 898

6.75% 12/1/14

2,355

2,508

6.875% 9/15/11

1,365

1,382

8% 12/31/18

5,795

6,389

8% 11/1/31

19,846

21,979

Household Finance Corp. 6.375% 10/15/11

1,724

1,762

HSBC Finance Corp. 5.9% 6/19/12

789

830

SLM Corp.:

0.5038% 10/25/11 (n)

5,381

5,368

8.45% 6/15/18

5,435

6,128

 

103,931

Diversified Financial Services - 0.8%

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

5,195

5,634

BP Capital Markets PLC:

3.125% 10/1/15

894

916

3.625% 5/8/14

5,608

5,900

4.5% 10/1/20

888

909

4.742% 3/11/21

4,210

4,357

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

6,880

7,499

Capital One Capital V 10.25% 8/15/39

3,798

4,040

CCO Holdings LLC/CCO Holdings Capital Corp.:

7.875% 4/30/18

1,460

1,548

8.125% 4/30/20

3,485

3,768

CDW LLC/CDW Finance Corp. 8% 12/15/18 (h)

2,090

2,236

CIT Group, Inc. 6.625% 4/1/18 (h)

3,445

3,686

Citigroup, Inc.:

4.75% 5/19/15

9,415

10,101

5.5% 4/11/13

6,263

6,699

6.125% 5/15/18

10,485

11,697

6.5% 8/19/13

19,106

21,005

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

3,445

3,488

Icahn Enterprises LP/Icahn Enterprises Finance Corp. 7.75% 1/15/16

7,625

7,835

JPMorgan Chase & Co.:

3.4% 6/24/15

877

907

4.625% 5/10/21

5,000

5,018

4.65% 6/1/14

6,500

7,037

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Diversified Financial Services - continued

JPMorgan Chase & Co.: - continued

6.3% 4/23/19

$ 2,800

$ 3,198

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

5,023

4,998

Offshore Group Investment Ltd.:

11.5% 8/1/15

2,905

3,196

11.5% 8/1/15 (h)(j)

640

704

ORIX Corp. 5.48% 11/22/11

227

231

Prime Property Funding, Inc.:

5.125% 6/1/15 (h)

1,010

1,058

5.5% 1/15/14 (h)

644

693

5.7% 4/15/17 (h)

1,572

1,649

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

6.875% 2/15/21 (h)

1,485

1,530

8.25% 2/15/21 (h)

1,485

1,504

TECO Finance, Inc.:

4% 3/15/16

1,242

1,300

5.15% 3/15/20

1,894

2,032

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

3,383

3,620

Transportation Union LLC/Transportation Union Financing Corp. 11.375% 6/15/18

3,930

4,520

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

5,000

4,988

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

8,045

9,500

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

2,951

3,084

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

961

971

 

163,056

Insurance - 0.4%

Aon Corp.:

3.125% 5/27/16

2,604

2,617

3.5% 9/30/15

2,415

2,494

5% 9/30/20

2,329

2,411

6.25% 9/30/40

1,570

1,691

Assurant, Inc. 5.625% 2/15/14

1,772

1,904

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

329

358

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

1,381

1,450

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

265

285

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Insurance - continued

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

$ 3,710

$ 3,840

Liberty Mutual Group, Inc.:

5% 6/1/21 (h)

5,635

5,539

6.5% 3/15/35 (h)

551

554

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

4,201

6,056

MetLife, Inc.:

2.375% 2/6/14

1,319

1,346

5% 6/15/15

686

754

5.875% 2/6/41

1,540

1,621

6.125% 12/1/11

583

599

6.75% 6/1/16

3,874

4,576

Metropolitan Life Global Funding I:

5.125% 4/10/13 (h)

329

351

5.125% 6/10/14 (h)

3,462

3,791

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

1,531

1,537

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

2,041

2,178

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

2,164

2,564

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

3,353

3,705

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

3,138

3,337

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

2,499

3,409

Pacific LifeCorp 6% 2/10/20 (h)

4,423

4,844

Prudential Financial, Inc.:

3.875% 1/14/15

2,500

2,635

5.15% 1/15/13

2,369

2,506

7.375% 6/15/19

1,880

2,255

8.875% 6/15/38 (n)

1,751

2,127

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

437

427

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

4,684

4,920

Unum Group:

5.625% 9/15/20

2,719

2,885

7.125% 9/30/16

803

935

USI Holdings Corp. 4.1358% 11/15/14 (h)(n)

2,920

2,796

 

85,297

Real Estate Investment Trusts - 0.2%

AvalonBay Communities, Inc.:

4.95% 3/15/13

216

230

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Real Estate Investment Trusts - continued

AvalonBay Communities, Inc.: - continued

5.5% 1/15/12

$ 1,169

$ 1,202

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

903

994

Camden Property Trust:

5.375% 12/15/13

2,150

2,316

5.875% 11/30/12

395

419

Developers Diversified Realty Corp.:

4.75% 4/15/18

2,318

2,317

5.375% 10/15/12

2,926

3,031

7.5% 4/1/17

3,456

4,015

Duke Realty LP:

4.625% 5/15/13

741

779

5.875% 8/15/12

71

75

Equity One, Inc.:

6% 9/15/17

522

559

6.25% 12/15/14

924

1,013

6.25% 1/15/17

291

316

Federal Realty Investment Trust:

5.4% 12/1/13

257

278

5.9% 4/1/20

1,287

1,430

6% 7/15/12

2,719

2,859

6.2% 1/15/17

365

416

HRPT Properties Trust:

5.75% 11/1/15

524

567

6.25% 6/15/17

726

803

6.65% 1/15/18

490

553

Omega Healthcare Investors, Inc.:

6.75% 10/15/22 (h)

1,885

1,885

7% 1/15/16

4,090

4,218

Senior Housing Properties Trust 8.625% 1/15/12

5,910

6,147

Washington (REIT):

5.25% 1/15/14

440

475

5.95% 6/15/11

3,403

3,408

 

40,305

Real Estate Management & Development - 0.3%

AMB Property LP 5.9% 8/15/13

1,520

1,613

Arden Realty LP 5.2% 9/1/11

1,241

1,255

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Real Estate Management & Development - continued

BioMed Realty LP:

3.85% 4/15/16

$ 5,000

$ 5,070

6.125% 4/15/20

1,703

1,842

Brandywine Operating Partnership LP:

5.7% 5/1/17

119

129

5.75% 4/1/12

1,747

1,811

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

900

945

Digital Realty Trust LP:

4.5% 7/15/15

2,465

2,578

5.25% 3/15/21

2,876

2,925

Duke Realty LP:

5.4% 8/15/14

596

647

5.5% 3/1/16

2,930

3,180

5.625% 8/15/11

5,671

5,721

6.75% 3/15/20

517

592

8.25% 8/15/19

1,710

2,106

ERP Operating LP:

4.75% 7/15/20

3,638

3,771

5.5% 10/1/12

279

295

Liberty Property LP:

4.75% 10/1/20

5,547

5,664

5.125% 3/2/15

951

1,041

5.5% 12/15/16

1,396

1,543

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

957

1,179

Post Apartment Homes LP 6.3% 6/1/13

2,240

2,407

Realogy Corp.:

7.875% 2/15/19 (h)

2,110

2,128

11.5% 4/15/17 (h)

4,960

5,245

Regency Centers LP:

4.95% 4/15/14

360

383

5.25% 8/1/15

1,257

1,370

5.875% 6/15/17

639

721

Simon Property Group LP:

4.2% 2/1/15

1,785

1,923

6.75% 5/15/14

4,302

4,891

Tanger Properties LP:

6.125% 6/1/20

4,914

5,511

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Real Estate Management & Development - continued

Tanger Properties LP: - continued

6.15% 11/15/15

$ 873

$ 980

Ventas Realty LP Series 1, 6.5% 6/1/16

660

683

 

70,149

Thrifts & Mortgage Finance - 0.1%

Bank of America Corp.:

5.875% 1/5/21

7,170

7,646

7.375% 5/15/14

26

30

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

4,160

4,650

 

12,326

TOTAL FINANCIALS

717,444

HEALTH CARE - 0.7%

Biotechnology - 0.0%

Celgene Corp. 2.45% 10/15/15

838

832

Health Care Equipment & Supplies - 0.0%

Aviv Healthcare Properties LP 7.75% 2/15/19 (h)

1,235

1,263

Health Care Providers & Services - 0.5%

Coventry Health Care, Inc.:

5.95% 3/15/17

1,030

1,115

6.3% 8/15/14

2,132

2,297

DaVita, Inc.:

6.375% 11/1/18

1,795

1,835

6.625% 11/1/20

1,555

1,592

Express Scripts, Inc.:

3.125% 5/15/16

4,847

4,899

6.25% 6/15/14

1,491

1,685

HCA Holdings, Inc. 7.75% 5/15/21 (h)

22,640

23,546

HCA, Inc.:

7.875% 2/15/20

4,825

5,289

9.25% 11/15/16

7,940

8,476

9.875% 2/15/17

850

951

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

5,025

5,057

Medco Health Solutions, Inc.:

2.75% 9/15/15

1,608

1,624

4.125% 9/15/20

3,728

3,692

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

HEALTH CARE - continued

Health Care Providers & Services - continued

Multiplan, Inc. 9.875% 9/1/18 (h)

$ 3,385

$ 3,656

Rotech Healthcare, Inc. 10.5% 3/15/18 (h)

960

955

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

655

670

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

4,790

4,945

Tenet Healthcare Corp.:

8.875% 7/1/19

4,610

5,129

9% 5/1/15

1,002

1,087

9.875% 7/1/14

4,690

5,112

10% 5/1/18

5,002

5,727

UHS Escrow Corp. 7% 10/1/18

420

439

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

10,745

11,255

Vanguard Health Holding Co. II LLC/Vanguard Health Holding Co. II, Inc. 7.75% 2/1/19 (h)

1,495

1,540

Vanguard Health Systems, Inc. 0% 2/1/16 (h)

4,990

3,219

 

105,792

Pharmaceuticals - 0.2%

Giant Funding Corp. 8.25% 2/1/18 (h)

1,900

2,000

Novartis Capital Corp. 4.125% 2/10/14

1,727

1,863

Roche Holdings, Inc. 5% 3/1/14 (h)

2,224

2,443

Valeant Pharmaceuticals International:

6.5% 7/15/16 (h)

3,695

3,732

6.75% 10/1/17 (h)

1,330

1,310

6.75% 8/15/21 (h)

8,380

8,129

7% 10/1/20 (h)

1,775

1,748

7.25% 7/15/22 (h)

5,905

5,846

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

984

1,073

 

28,144

TOTAL HEALTH CARE

136,031

INDUSTRIALS - 0.6%

Aerospace & Defense - 0.1%

ADS Tactical, Inc. 11% 4/1/18 (h)

630

669

BAE Systems Holdings, Inc.:

4.95% 6/1/14 (h)

781

841

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

INDUSTRIALS - continued

Aerospace & Defense - continued

BAE Systems Holdings, Inc.: - continued

6.375% 6/1/19 (h)

$ 3,650

$ 4,198

6.4% 12/15/11 (h)

482

497

DRS Technologies, Inc.:

6.625% 2/1/16

3,760

3,887

7.625% 2/1/18

1,830

1,901

Huntington Ingalls Industries, Inc.:

6.875% 3/15/18 (h)

645

671

7.125% 3/15/21 (h)

645

672

 

13,336

Air Freight & Logistics - 0.1%

CEVA Logistics:

8.375% 12/1/17 (h)

6,325

6,610

11.5% 4/1/18 (h)

5,680

6,234

 

12,844

Airlines - 0.1%

Continental Airlines, Inc.:

pass-thru trust certificates:

8.388% 5/1/22

66

66

9.798% 4/1/21

5,597

5,877

6.648% 3/15/19

2,415

2,554

6.9% 7/2/19

711

754

7.339% 4/19/14

1,350

1,350

Delta Air Lines, Inc. 9.5% 9/15/14 (h)

872

935

Delta Air Lines, Inc. pass-thru trust certificates 7.779% 1/2/12

35

35

U.S. Airways pass-thru trust certificates:

6.85% 7/30/19

1,532

1,471

8.36% 1/20/19

1,150

1,213

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

999

1,066

 

15,321

Building Products - 0.0%

Building Materials Corp. of America 6.75% 5/1/21 (h)

2,935

2,950

Masonite International Corp. 8.25% 4/15/21 (h)

580

580

 

3,530

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

INDUSTRIALS - continued

Commercial Services & Supplies - 0.2%

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

$ 2,045

$ 2,099

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

1,015

1,141

Cenveo Corp. 10.5% 8/15/16 (h)

2,590

2,609

Covanta Holding Corp. 7.25% 12/1/20

1,920

2,063

International Lease Finance Corp.:

5.625% 9/20/13

150

155

5.65% 6/1/14

4,439

4,550

5.75% 5/15/16

1,840

1,851

5.875% 5/1/13

895

931

6.25% 5/15/19

3,035

3,043

6.625% 11/15/13

8,252

8,706

6.75% 9/1/16 (h)

2,415

2,614

7.125% 9/1/18 (h)

7,560

8,297

8.25% 12/15/20

3,190

3,581

8.625% 9/15/15

4,640

5,139

 

46,779

Industrial Conglomerates - 0.1%

General Electric Co. 5.25% 12/6/17

7,378

8,296

Sequa Corp.:

11.75% 12/1/15 (h)

2,355

2,532

13.5% 12/1/15 pay-in-kind (h)

774

846

 

11,674

Machinery - 0.0%

Accuride Corp. 9.5% 8/1/18

280

311

Briggs & Stratton Corp. 6.875% 12/15/20

920

971

Navistar International Corp. 8.25% 11/1/21

1,735

1,913

 

3,195

Marine - 0.0%

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

1,035

1,066

Navios Maritime Holdings, Inc.:

8.125% 2/15/19 (h)

1,625

1,629

8.875% 11/1/17

1,420

1,519

Navios South American Logisitcs, Inc./Navios Logistics Finance U.S., Inc. 9.25% 4/15/19 (h)

505

516

 

4,730

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

INDUSTRIALS - continued

Professional Services - 0.0%

CDRT Merger Sub, Inc. 8.125% 6/1/19 (h)

$ 2,305

$ 2,334

Road & Rail - 0.0%

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

3,075

3,413

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

3,725

3,613

 

7,026

Trading Companies & Distributors - 0.0%

Aircastle Ltd. 9.75% 8/1/18

790

889

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

6,686

7,087

 

7,976

TOTAL INDUSTRIALS

128,745

INFORMATION TECHNOLOGY - 0.6%

Communications Equipment - 0.2%

Avaya, Inc.:

7% 4/1/19 (h)

5,845

5,721

10.125% 11/1/15 pay-in-kind (n)

8,048

8,360

EH Holding Corp.:

6.5% 6/15/19 (h)(j)

7,595

7,699

7.625% 6/15/21 (h)(j)

5,435

5,571

Lucent Technologies, Inc.:

6.45% 3/15/29

16,060

14,735

6.5% 1/15/28

1,025

940

 

43,026

Computers & Peripherals - 0.0%

CDW Escrow Corp. 8.5% 4/1/19 (h)

3,680

3,717

Electronic Equipment & Components - 0.1%

Reddy Ice Corp. 11.25% 3/15/15

3,895

4,012

Tyco Electronics Group SA:

5.95% 1/15/14

2,947

3,260

6% 10/1/12

3,594

3,827

6.55% 10/1/17

815

967

 

12,066

IT Services - 0.1%

Ceridian Corp. 11.25% 11/15/15

2,730

2,812

First Data Corp. 7.375% 6/15/19 (h)

3,295

3,353

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

INFORMATION TECHNOLOGY - continued

IT Services - continued

SunGard Data Systems, Inc.:

4.875% 1/15/14

$ 12,355

$ 12,602

7.625% 11/15/20

1,730

1,799

Telcordia Technologies, Inc. 11% 5/1/18 (h)

1,665

1,881

 

22,447

Office Electronics - 0.0%

Xerox Corp.:

4.25% 2/15/15

503

538

5.5% 5/15/12

1,485

1,550

 

2,088

Semiconductors & Semiconductor Equipment - 0.2%

Freescale Semiconductor, Inc.:

9.25% 4/15/18 (h)

4,030

4,493

10.125% 12/15/16

7,080

7,593

10.125% 3/15/18 (h)

7,790

8,832

NXP BV/NXP Funding LLC:

3.028% 10/15/13 (n)

621

615

9.75% 8/1/18 (h)

1,480

1,698

Spansion LLC:

7.875% 11/15/17 (h)

1,150

1,190

11.25% 1/15/16 (d)(h)

905

203

Viasystems, Inc. 12% 1/15/15 (h)

2,225

2,514

 

27,138

TOTAL INFORMATION TECHNOLOGY

110,482

MATERIALS - 0.4%

Chemicals - 0.1%

American Rock Salt Co. LLC/American Rock Capital Corp. 8.25% 5/1/18 (h)

515

520

Dow Chemical Co.:

4.85% 8/15/12

3,205

3,351

7.6% 5/15/14

7,168

8,358

Georgia Gulf Corp. 9% 1/15/17 (h)

3,040

3,367

 

15,596

Construction Materials - 0.0%

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

1,699

1,887

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

MATERIALS - continued

Containers & Packaging - 0.0%

ARD Finance SA 11.125% 6/1/18 pay-in-kind (h)

$ 1,640

$ 1,710

Crown Americas LLC/Crown Americas Capital Corp. III 6.25% 2/1/21 (h)

2,040

2,111

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

350

384

Pretium Packaging LLC/Pretium Finance, Inc. 11.5% 4/1/16 (h)

2,340

2,404

Sappi Papier Holding AG 6.625% 4/15/21 (h)

375

378

 

6,987

Metals & Mining - 0.3%

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

1,181

1,429

Aperam:

7.375% 4/1/16 (h)

460

472

7.75% 4/1/18 (h)

375

386

ArcelorMittal SA 3.75% 3/1/16

1,466

1,489

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

1,164

1,210

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

830

859

Calcipar SA 6.875% 5/1/18 (h)

720

738

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

1,179

1,262

Edgen Murray Corp. 12.25% 1/15/15

7,385

7,570

FMG Resources (August 2006) Pty Ltd.:

6.375% 2/1/16 (h)

8,300

8,445

6.875% 2/1/18 (h)

2,890

2,984

7% 11/1/15 (h)

3,575

3,722

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

1,055

1,089

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

6,540

6,736

Novelis, Inc. 8.375% 12/15/17

2,095

2,278

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

1,335

1,415

Severstal Columbus LLC 10.25% 2/15/18

4,670

5,207

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

3,880

3,521

Vale Overseas Ltd. 6.25% 1/23/17

2,152

2,461

 

53,273

Paper & Forest Products - 0.0%

ABI Escrow Corp. 10.25% 10/15/18 (h)

4,930

5,448

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

485

506

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

MATERIALS - continued

Paper & Forest Products - continued

Mercer International, Inc. 9.5% 12/1/17

$ 1,195

$ 1,310

Verso Paper Holdings LLC/Verso Paper, Inc. 4.0233% 8/1/14 (n)

1,015

964

 

8,228

TOTAL MATERIALS

85,971

TELECOMMUNICATION SERVICES - 1.1%

Diversified Telecommunication Services - 0.7%

AT&T, Inc.:

2.5% 8/15/15

5,016

5,078

6.3% 1/15/38

5,000

5,347

6.8% 5/15/36

8,428

9,490

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

1,291

1,621

CenturyLink, Inc.:

6.15% 9/15/19

2,344

2,484

7.6% 9/15/39

4,200

4,296

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

12,160

13,346

Frontier Communications Corp. 8.25% 4/15/17

2,710

2,981

Intelsat Ltd. 11.25% 6/15/16

9,660

10,240

Sprint Capital Corp.:

6.875% 11/15/28

21,910

21,279

6.9% 5/1/19

14,150

14,787

8.375% 3/15/12

7,330

7,678

Telecom Italia Capital SA:

4.95% 9/30/14

2,973

3,148

5.25% 10/1/15

2,367

2,509

6.999% 6/4/18

6,391

7,157

7.175% 6/18/19

712

808

Telefonica Emisiones SAU:

5.134% 4/27/20

713

728

5.462% 2/16/21

3,562

3,700

6.421% 6/20/16

684

774

Verizon Communications, Inc.:

6.1% 4/15/18

1,909

2,200

6.25% 4/1/37

3,729

4,039

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

2,460

2,585

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 (h)

$ 1,860

$ 1,976

11.75% 7/15/17 (h)

6,720

7,812

Windstream Corp. 7.5% 4/1/23

3,750

3,853

 

139,916

Wireless Telecommunication Services - 0.4%

America Movil SAB de CV 3.625% 3/30/15

999

1,051

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

4,000

4,380

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

740

730

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

2,955

3,280

Digicel Group Ltd.:

8.875% 1/15/15 (h)

6,915

7,140

12% 4/1/14 (h)

3,990

4,648

DIRECTV Holdings LLC/DIRECTV Financing, Inc.:

4.75% 10/1/14

6,306

6,910

5.875% 10/1/19

6,223

6,957

6.35% 3/15/40

1,699

1,825

Intelsat Jackson Holdings SA:

7.25% 4/1/19 (h)

10,040

10,090

7.5% 4/1/21 (h)

5,500

5,528

8.5% 11/1/19

2,455

2,627

9.5% 6/15/16

4,745

4,977

Nextel Communications, Inc.:

5.95% 3/15/14

830

836

6.875% 10/31/13

4,380

4,418

7.375% 8/1/15

11,630

11,703

NII Capital Corp. 7.625% 4/1/21

5,895

6,234

Vodafone Group PLC:

5% 12/16/13

2,129

2,322

5.5% 6/15/11

1,626

1,629

 

87,285

TOTAL TELECOMMUNICATION SERVICES

227,201

UTILITIES - 0.9%

Electric Utilities - 0.5%

Alabama Power Co. 3.375% 10/1/20

2,739

2,669

Ameren Illinois Co. 6.125% 11/15/17

243

280

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

UTILITIES - continued

Electric Utilities - continued

AmerenUE 6.4% 6/15/17

$ 2,769

$ 3,229

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

3,812

4,153

Commonwealth Edison Co. 1.625% 1/15/14

3,030

3,054

Duquesne Light Holdings, Inc.:

5.9% 12/1/21 (h)

3,104

3,140

6.4% 9/15/20 (h)

7,663

8,044

Edison International 3.75% 9/15/17

3,169

3,198

Edison Mission Energy 7% 5/15/17

510

422

EDP Finance BV:

4.9% 10/1/19 (h)

1,300

1,171

6% 2/2/18 (h)

2,212

2,152

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

282

300

FirstEnergy Corp. 7.375% 11/15/31

5,609

6,521

FirstEnergy Solutions Corp.:

4.8% 2/15/15

1,266

1,357

6.05% 8/15/21

3,924

4,315

Intergen NV 9% 6/30/17 (h)

7,015

7,559

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

3,670

4,120

LG&E and KU Energy LLC:

2.125% 11/15/15 (h)

3,576

3,485

3.75% 11/15/20 (h)

704

671

Mirant Americas Generation LLC 8.5% 10/1/21

6,695

6,913

Nevada Power Co.:

6.5% 5/15/18

5,100

5,981

6.5% 8/1/18

531

623

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

3,645

4,101

Pennsylvania Electric Co. 6.05% 9/1/17

450

503

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

3,363

3,385

Progress Energy, Inc.:

4.4% 1/15/21

5,862

6,023

6% 12/1/39

3,060

3,333

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

527

574

Tampa Electric Co. 6.15% 5/15/37

3,871

4,388

 

95,664

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

UTILITIES - continued

Gas Utilities - 0.0%

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

$ 260

$ 298

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

950

988

 

1,286

Independent Power Producers & Energy Traders - 0.3%

AES Corp. 7.75% 10/15/15

4,660

5,044

Calpine Corp. 7.875% 1/15/23 (h)

12,985

13,569

Duke Capital LLC 5.668% 8/15/14

1,905

2,121

Energy Future Holdings Corp. 10% 1/15/20

8,915

9,684

Energy Future Intermediate Holding Co. LLC/Energy Future Intermediate Holding Finance, Inc.:

10% 12/1/20

3,174

3,448

11% 10/1/21 (h)

6,978

7,118

Exelon Generation Co. LLC:

4% 10/1/20

6,689

6,435

5.35% 1/15/14

900

978

GenOn Energy, Inc. 9.875% 10/15/20

2,325

2,453

TXU Corp.:

6.5% 11/15/24

3,915

2,075

6.55% 11/15/34

2,965

1,542

 

54,467

Multi-Utilities - 0.1%

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

1,866

2,033

Dominion Resources, Inc.:

6.3% 9/30/66 (n)

13,469

13,334

7.5% 6/30/66 (n)

1,102

1,168

DTE Energy Co. 7.05% 6/1/11

912

912

MidAmerican Energy Holdings, Co.:

5.875% 10/1/12

2,521

2,684

6.5% 9/15/37

1,418

1,639

National Grid PLC 6.3% 8/1/16

376

434

NiSource Finance Corp.:

5.25% 9/15/17

497

544

5.4% 7/15/14

1,249

1,378

5.45% 9/15/20

598

641

6.25% 12/15/40

1,190

1,266

6.4% 3/15/18

1,230

1,411

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

UTILITIES - continued

Multi-Utilities - continued

NiSource Finance Corp.: - continued

6.8% 1/15/19

$ 2,710

$ 3,168

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

2,776

2,811

 

33,423

TOTAL UTILITIES

184,840

TOTAL NONCONVERTIBLE BONDS

2,197,945

TOTAL CORPORATE BONDS

(Cost $2,044,764)

2,228,229

U.S. Government and Government Agency Obligations - 8.9%

 

U.S. Government Agency Obligations - 0.1%

Tennessee Valley Authority 3.875% 2/15/21

28,100

29,213

U.S. Treasury Inflation Protected Obligations - 0.8%

U.S. Treasury Inflation-Indexed Bonds:

2.125% 2/15/41

46,242

49,791

2.125% 2/15/40

105,384

113,685

TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS

163,476

U.S. Treasury Obligations - 8.0%

U.S. Treasury Bonds 4.75% 2/15/41

110,954

121,148

U.S. Treasury Notes:

1% 10/31/11

120,000

120,436

1% 5/15/14 (f)(l)

633,508

637,697

1.75% 5/31/16

105,168

105,480

2.375% 5/31/18

19,921

19,918

3.125% 4/30/17

335,000

355,833

U.S. Government and Government Agency Obligations - continued

 

Principal Amount (000s)

Value (000s)

U.S. Treasury Obligations - continued

U.S. Treasury Notes: - continued

3.125% 5/15/21

$ 217,530

$ 218,890

3.625% 2/15/21

41,566

43,709

TOTAL U.S. TREASURY OBLIGATIONS

1,623,111

TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $1,797,444)

1,815,800

U.S. Government Agency - Mortgage Securities - 4.4%

 

Fannie Mae - 3.0%

2.589% 6/1/36 (n)

165

172

3.5% 11/1/25 to 11/1/40

37,276

36,826

3.533% 7/1/37 (n)

495

520

4% 4/1/24 to 3/1/41

32,700

32,992

4% 6/1/41 (j)(k)

22,000

22,153

4.5% 6/1/24 to 5/1/41

206,599

214,913

4.5% 6/1/26 (j)

1,500

1,590

5% 6/1/24 to 8/1/40 (k)

72,384

77,362

5% 6/1/41 (j)

31,000

32,998

5% 6/1/41 (j)

12,000

12,774

5% 6/1/41 (j)

1,000

1,064

5% 6/1/41 (j)(k)

22,000

23,418

5% 6/1/41 (j)(k)

12,000

12,774

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

12,187

13,273

5.5% 6/1/41 (j)

6,500

7,047

5.5% 6/1/41 (j)

10,000

10,841

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

63,735

70,190

6% 6/1/41 (j)(k)

17,500

19,253

6% 6/1/41 (j)

18,300

20,133

6% 6/1/41 (j)(k)

4,000

4,401

TOTAL FANNIE MAE

614,694

Freddie Mac - 0.8%

3.281% 10/1/35 (n)

237

253

4% 6/1/41 (j)

2,000

2,012

4.5% 4/1/40 to 4/1/41

7,706

8,016

4.5% 6/1/41 (j)

27,800

28,845

5% 3/1/19 to 12/1/40

36,396

38,910

U.S. Government Agency - Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Freddie Mac - continued

5.5% 5/1/27 to 2/1/40

$ 60,543

$ 65,587

5.5% 6/1/41 (j)

7,400

8,014

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

1,487

1,639

6.5% 3/1/36

4,187

4,738

TOTAL FREDDIE MAC

158,014

Ginnie Mae - 0.6%

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

11,679

12,337

4.5% 3/15/41

6,977

7,394

4.5% 6/1/41 (j)

29,000

30,663

4.5% 6/1/41 (j)(k)

22,000

23,261

5% 4/15/38 to 8/15/40

2,000

2,167

5% 6/1/41 (j)

9,000

9,746

5% 6/1/41 (j)

4,000

4,332

5% 6/1/41 (j)

8,000

8,663

5.5% 12/15/38 to 9/15/39

2,299

2,540

6% 2/15/34

8,787

9,843

TOTAL GINNIE MAE

110,946

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $871,397)

883,654

Asset-Backed Securities - 0.4%

 

Accredited Mortgage Loan Trust Series 2005-1 Class M1, 0.664% 4/25/35 (n)

1,204

843

ACE Securities Corp. Home Equity Loan Trust:

Series 2004-HE1:

Class M1, 0.944% 3/25/34 (n)

26

26

Class M2, 1.844% 3/25/34 (n)

334

269

Series 2005-HE2 Class M2, 0.644% 4/25/35 (n)

117

113

Series 2006-OP1 Class M4, 0.564% 4/25/36 (n)

109

0*

Ally Master Owner Trust:

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

2,460

2,534

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

4,540

4,620

Series 2011-3 Class A2, 1.87% 5/15/16

4,060

4,070

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

539

550

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

Ameriquest Mortgage Securities, Inc. pass-thru certificates:

Series 2003-10 Class M1, 0.894% 12/25/33 (n)

$ 69

$ 55

Series 2004-R2 Class M3, 0.744% 4/25/34 (n)

101

29

Series 2005-R2 Class M1, 0.644% 4/25/35 (n)

1,567

1,353

Argent Securities, Inc. pass-thru certificates:

Series 2003-W7 Class A2, 0.9926% 3/25/34 (n)

36

28

Series 2004-W11 Class M2, 0.894% 11/25/34 (n)

426

366

Series 2004-W7 Class M1, 0.744% 5/25/34 (n)

1,108

842

Series 2006-W4 Class A2C, 0.354% 5/25/36 (n)

1,046

320

Asset Backed Securities Corp. Home Equity Loan Trust:

Series 2004-HE2 Class M1, 1.019% 4/25/34 (n)

2,026

1,623

Series 2006-HE2 Class M1, 0.564% 3/25/36 (n)

145

2

Axon Financial Funding Ltd. 0.873% 4/4/17 (d)(h)(n)

4,820

0*

Brazos Higher Education Authority, Inc. Series 2006-2 Class A9, 0.318% 12/25/24 (n)

1,222

1,106

C-BASS Trust Series 2006-CB7 Class A2, 0.254% 10/25/36 (n)

52

51

Capital Auto Receivables Asset Trust:

Series 2006-2 Class C, 5.31% 6/15/12

724

730

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

403

414

Capital Trust Ltd. Series 2004-1:

Class A2, 0.6458% 7/20/39 (h)(n)

329

263

Class B, 0.9458% 7/20/39 (h)(n)

200

82

Class C, 1.2958% 7/20/39 (h)(n)

258

13

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

445

448

Carrington Mortgage Loan Trust:

Series 2006-FRE1 Class M1, 0.494% 7/25/36 (n)

4,366

180

Series 2006-NC4 Class M1, 0.494% 10/25/36 (n)

2,725

188

Series 2007-RFC1 Class A3, 0.334% 12/25/36 (n)

1,368

480

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

9,250

9,476

Citigroup Mortgage Loan Trust:

Series 2005-HE4 Class A2C, 0.464% 10/25/35 (n)

1,431

1,401

Series 2007-AMC4 Class M1, 0.464% 5/25/37 (n)

581

33

Countrywide Asset-Backed Certificates Trust:

Series 2007-11 Class 2A1, 0.254% 6/25/47 (n)

36

36

Series 2007-4 Class A1A, 0.3326% 9/25/37 (n)

305

293

Series 2007-5 Class 2A1, 0.294% 9/25/47 (n)

3,200

3,129

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

251

0

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

Countrywide Home Loans, Inc.:

Series 2004-3 Class M4, 1.164% 4/25/34 (n)

$ 121

$ 59

Series 2004-4 Class M2, 0.989% 6/25/34 (n)

446

250

Series 2005-3 Class MV1, 0.614% 8/25/35 (n)

540

519

Series 2005-AB1 Class A2, 0.404% 8/25/35 (n)

55

55

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

159

160

Fannie Mae subordinate REMIC pass-thru certificates Series 2004-T5 Class AB3, 0.7199% 5/28/35 (n)

30

21

Fieldstone Mortgage Investment Corp.:

Series 2004-3 Class M5, 2.369% 8/25/34 (n)

221

128

Series 2006-3 Class 2A3, 0.354% 11/25/36 (n)

4,507

1,817

First Franklin Mortgage Loan Trust:

Series 2004-FF2 Class M3, 1.019% 3/25/34 (n)

18

7

Series 2006-FF14 Class A2, 0.254% 10/25/36 (n)

988

960

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

367

370

Ford Credit Floorplan Master Owner Trust:

Series 2006-4 Class B, 0.748% 6/15/13 (n)

586

586

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

4,990

5,015

Franklin Auto Trust:

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

25

25

Series 2007-1:

Class A4, 5.03% 2/16/15

98

98

Class C, 5.43% 2/16/15

426

427

Fremont Home Loan Trust:

Series 2005-A:

Class M3, 0.684% 1/25/35 (n)

720

352

Class M4, 0.874% 1/25/35 (n)

276

87

Series 2006-D Class M1, 0.424% 11/25/36 (n)

162

5

GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 0.6368% 2/25/47 (h)(n)

2,160

1,274

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

852

679

GE Business Loan Trust:

Series 2003-1 Class A, 0.628% 4/15/31 (h)(n)

183

171

Series 2006-2A:

Class A, 0.378% 11/15/34 (h)(n)

1,278

1,060

Class B, 0.478% 11/15/34 (h)(n)

462

300

Class C, 0.578% 11/15/34 (h)(n)

767

383

Class D, 0.948% 11/15/34 (h)(n)

292

73

Goal Capital Funding Trust Series 2007-1 Class C1, 0.708% 6/25/42 (n)

512

496

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

GS Auto Loan Trust Series 2007-1 Class B, 5.53% 12/15/14

$ 19

$ 19

GSAMP Trust:

Series 2004-AR1 Class M1, 0.844% 6/25/34 (n)

2,032

1,370

Series 2007-HE1 Class M1, 0.444% 3/25/47 (n)

820

48

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

Class B, 0.594% 9/25/46 (h)(n)

497

259

Class C, 0.744% 9/25/46 (h)(n)

1,159

232

Home Equity Asset Trust:

Series 2003-2 Class M1, 1.514% 8/25/33 (n)

293

209

Series 2003-3 Class M1, 1.484% 8/25/33 (n)

566

463

Series 2003-5 Class A2, 0.894% 12/25/33 (n)

25

17

Series 2005-5 Class 2A2, 0.444% 11/25/35 (n)

50

50

Series 2006-1 Class 2A3, 0.419% 4/25/36 (n)

794

777

Series 2006-8 Class 2A1, 0.244% 3/25/37 (n)

3

2

HSBC Home Equity Loan Trust Series 2006-2 Class M2, 0.4858% 3/20/36 (n)

528

449

HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.384% 1/25/37 (n)

1,137

526

JPMorgan Mortgage Acquisition Trust:

Series 2006-NC2 Class M2, 0.494% 7/25/36 (n)

2,497

90

Series 2007-CH1:

Class AV4, 0.324% 11/25/36 (n)

1,136

967

Class MV1, 0.424% 11/25/36 (n)

923

604

Series 2007-CH3 Class M1, 0.494% 3/25/37 (n)

397

21

Keycorp Student Loan Trust:

Series 1999-A Class A2, 0.6385% 12/27/29 (n)

538

463

Series 2006-A Class 2C, 1.4585% 3/27/42 (n)

2,016

406

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

830

837

Long Beach Mortgage Loan Trust Series 2004-2 Class M2, 1.274% 6/25/34 (n)

70

49

Marriott Vacation Club Owner Trust Series 2006-2A:

Class B, 5.442% 10/20/28 (h)

10

10

Class C, 5.691% 10/20/28 (h)

5

5

Class D, 6.01% 10/20/28 (h)

53

54

MASTR Asset Backed Securities Trust:

Series 2006-AM3 Class M1, 0.454% 10/25/36 (n)

407

23

Series 2007-HE1 Class M1, 0.494% 5/25/37 (n)

596

32

Meritage Mortgage Loan Trust Series 2004-1 Class M1, 0.944% 7/25/34 (n)

125

81

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

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

$ 20

$ 20

Merrill Lynch Mortgage Investors Trust:

Series 2003-OPT1 Class M1, 1.169% 7/25/34 (n)

436

299

Series 2006-FM1 Class A2B, 0.304% 4/25/37 (n)

1,460

1,257

Series 2006-MLN1 Class A2A, 0.264% 7/25/37 (n)

7

7

Series 2006-OPT1 Class A1A, 0.454% 6/25/35 (n)

2,284

1,828

Morgan Stanley ABS Capital I Trust:

Series 2004-HE6 Class A2, 0.534% 8/25/34 (n)

44

35

Series 2005-NC1 Class M1, 0.634% 1/25/35 (n)

303

206

Series 2005-NC2 Class B1, 1.364% 3/25/35 (n)

316

44

Series 2007-HE2 Class M1, 0.444% 1/25/37 (n)

3,212

90

National Collegiate Student Loan Trust:

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

1,364

157

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

139

1

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

242

8

Series 2006-4:

Class A1, 0.224% 3/25/25 (n)

52

52

Class AIO, 6.35% 2/27/12 (p)

819

32

Class D, 1.294% 5/25/32 (n)

1,544

12

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

1,101

63

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

936

64

New Century Home Equity Loan Trust:

Series 2005-4 Class M2, 0.704% 9/25/35 (n)

1,083

701

Series 2005-D Class M2, 0.664% 2/25/36 (n)

593

174

Ocala Funding LLC:

Series 2005-1A Class A, 1.6958% 3/20/10 (d)(h)(n)

429

0

Series 2006-1A Class A, 1.5958% 3/20/11 (d)(h)(n)

892

0

Option One Mortgage Loan Trust:

Series 2007-5 Class 2A1, 0.284% 5/25/37 (n)

39

39

Series 2007-6 Class 2A1, 0.254% 7/25/37 (n)

89

87

Park Place Securities, Inc.:

Series 2004-WCW1:

Class M3, 1.444% 9/25/34 (n)

405

248

Class M4, 1.644% 9/25/34 (n)

519

163

Series 2005-WCH1:

Class M2, 0.714% 1/25/36 (n)

1,817

1,703

Class M3, 0.754% 1/25/36 (n)

363

251

Class M4, 1.024% 1/25/36 (n)

1,120

590

Series 2005-WHQ2 Class M7, 1.444% 5/25/35 (n)

1,328

18

Residential Asset Mortgage Products, Inc. Series 2006-EFC2 Class M1, 0.424% 12/25/36 (n)

271

9

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

Residential Asset Securities Corp. Series 2007-KS2 Class AI1, 0.264% 2/25/37 (n)

$ 23

$ 23

Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 0.994% 4/25/33 (n)

4

3

Saxon Asset Securities Trust Series 2004-1 Class M1, 0.989% 3/25/35 (n)

1,124

896

Securitized Asset Backed Receivables LLC Trust:

Series 2005-FR4 Class B3, 1.914% 1/25/36 (n)

34

0*

Series 2006-FR4 Class A2A, 0.274% 8/25/36 (n)

444

162

Series 2007-NC1 Class A2A, 0.244% 12/25/36 (n)

115

111

Sierra Receivables Funding Co. Series 2007-1A Class A2, 0.363% 3/20/19 (FGIC Insured) (h)(n)

516

492

SLM Private Credit Student Loan Trust Series 2004-A Class C, 1.2595% 6/15/33 (n)

965

158

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

455

0

Structured Asset Investment Loan Trust Series 2004-8 Class M5, 1.344% 9/25/34 (n)

53

23

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

531

545

Terwin Mortgage Trust Series 2003-4HE Class A1, 1.054% 9/25/34 (n)

22

17

Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 0.8568% 4/6/42 (h)(n)

1,491

45

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

674

0

WaMu Master Note Trust Series 2006-C2A Class C2, 0.698% 8/15/15 (h)(n)

6,374

6,366

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

6

0*

Whinstone Capital Management Ltd. Series 1A Class B3, 2.0738% 10/25/44 (h)(n)

1,358

801

TOTAL ASSET-BACKED SECURITIES

(Cost $76,588)

77,206

Collateralized Mortgage Obligations - 0.5%

 

Private Sponsor - 0.5%

Banc of America Commercial Mortgage Trust Series 2007-2:

Class B, 5.6578% 4/10/49 (n)

51

34

Class C, 5.8361% 4/10/49 (n)

135

76

Class D, 5.8361% 4/10/49 (n)

67

29

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

Private Sponsor - continued

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

$ 2,507

$ 2,556

Banc of America Mortgage Securities, Inc.:

Series 2003-L Class 2A1, 2.9037% 1/25/34 (n)

1,331

1,251

Series 2004-1 Class 2A2, 3.2308% 10/25/34 (n)

1,395

1,261

Series 2004-A Class 2A2, 2.8609% 2/25/34 (n)

722

643

Series 2004-B:

Class 1A1, 2.7465% 3/25/34 (n)

101

91

Class 2A2, 2.8678% 3/25/34 (n)

824

784

Series 2004-D Class 2A2, 2.8778% 5/25/34 (n)

1,224

1,121

Series 2004-G Class 2A7, 3.021% 8/25/34 (n)

1,148

1,031

Series 2004-H Class 2A1, 3.1658% 9/25/34 (n)

1,002

897

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

33,185

2,273

Bear Stearns ALT-A Trust floater Series 2005-1 Class A1, 0.754% 1/25/35 (n)

1,602

1,285

Bear Stearns Commercial Mortgage Securities Trust Series 2006-T24 Class X2, 0.6062% 10/12/41 (h)(n)(p)

2,557

26

Chase Mortgage Finance Trust:

Series 2007-A1 Class 1A5, 2.938% 2/25/37 (n)

356

353

Series 2007-A2 Class 2A1, 3.0641% 7/25/37 (n)

3,539

3,532

Citigroup Commercial Mortgage Trust Series 2008-C7 Class A2B, 6.2942% 12/10/49 (n)

912

958

Citigroup Mortgage Loan Trust Series 2004-UST1 Class A4, 2.3824% 8/25/34 (n)

842

839

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

1,019

397

COMM pass-thru certificates floater Series 2001-J2A Class A2F, 0.698% 7/16/34 (h)(n)

124

124

Credit Suisse First Boston Mortgage Securities Corp. floater Series 2007-AR7 Class 2A1, 2.8944% 11/25/34 (n)

160

149

First Horizon Mortgage pass-thru Trust Series 2004-AR5 Class 2A1, 2.8757% 10/25/34 (n)

1,183

1,137

Fosse Master Issuer PLC floater Series 2006-1A:

Class B2, 0.4355% 10/18/54 (h)(n)

878

876

Class C2, 0.7455% 10/18/54 (h)(n)

294

292

Class M2, 0.5255% 10/18/54 (h)(n)

505

503

Gracechurch Mortgage Financing PLC floater Series 2006-1 Class D2, 0.73% 11/20/56 (h)(n)

2,161

2,133

Granite Master Issuer PLC floater:

Series 2005-4 Class C2, 1.2958% 12/20/54 (n)

142

92

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

Private Sponsor - continued

Granite Master Issuer PLC floater: - continued

Series 2006-1A Class C2, 1.3958% 12/20/54 (h)(n)

$ 4,917

$ 3,196

Series 2006-2 Class C1, 0.6658% 12/20/54 (n)

4,095

2,662

Series 2006-3 Class C2, 0.6958% 12/20/54 (n)

853

554

Series 2006-4:

Class B1, 0.2858% 12/20/54 (n)

3,154

2,712

Class C1, 0.5758% 12/20/54 (n)

1,928

1,253

Class M1, 0.3658% 12/20/54 (n)

829

634

Series 2007-1:

Class 1C1, 0.7958% 12/20/54 (n)

1,671

1,086

Class 1M1, 0.4958% 12/20/54 (n)

1,114

852

Class 2C1, 1.1558% 12/20/54 (n)

760

494

Class 2M1, 0.6958% 12/20/54 (n)

1,431

1,095

Series 2007-2 Class 2C1, 0.6271% 12/17/54 (n)

1,981

1,288

Granite Mortgages PLC floater Series 2003-3 Class 1C, 2.724% 1/20/44 (n)

326

251

GSR Mortgage Loan Trust Series 2007-AR2 Class 2A1, 2.7448% 4/25/35 (n)

527

454

Harborview Mortgage Loan Trust floater Series 2005-2 Class 2A1A, 0.417% 5/19/35 (n)

273

181

JPMorgan Chase Commercial Mortgage Securities Trust Series 2007-CB18:

Class A1, 5.32% 6/12/47 (n)

22

22

Class A3, 5.447% 6/12/47 (n)

1,730

1,810

JPMorgan Mortgage Trust:

sequential payer Series 2006-A5 Class 3A5, 5.8553% 8/25/36 (n)

1,917

1,546

Series 2004-A3 Class 4A1, 4.2606% 7/25/34 (n)

971

941

Series 2004-A5 Class 2A1, 2.6036% 12/25/34 (n)

1,209

1,149

Series 2006-A2 Class 5A1, 2.9729% 11/25/33 (n)

2,697

2,584

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

410

450

MASTR Adjustable Rate Mortgages Trust Series 2007-3 Class 22A2, 0.404% 5/25/47 (n)

714

505

MASTR Asset Backed Securities Trust Series 2006-NC3 Class M1, 0.424% 10/25/36 (n)

74

0*

Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.364% 2/25/37 (n)

1,296

902

Merrill Lynch Floating Trust floater Series 2006-1:

Class B, 0.368% 6/15/22 (h)(n)

188

183

Class C, 0.388% 6/15/22 (h)(n)

1,165

1,095

Class D, 0.398% 6/15/22 (h)(n)

448

419

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

Private Sponsor - continued

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

Class E, 0.408% 6/15/22 (h)(n)

$ 717

$ 663

Class F, 0.438% 6/15/22 (h)(n)

1,164

1,065

Class G, 0.508% 6/15/22 (h)(n)

269

241

Class H, 0.528% 6/15/22 (h)(n)

538

472

Class J, 0.568% 6/15/22 (h)(n)

628

545

Merrill Lynch Mortgage Investors Trust:

Series 2004-A4 Class A1, 2.7498% 8/25/34 (n)

1,343

1,284

Series 2005-A2 Class A7, 2.6245% 2/25/35 (n)

1,083

1,017

Series 2006-A6 Class A4, 3.1889% 10/25/33 (n)

1,109

1,062

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

3,905

4,104

Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 0.484% 7/25/35 (n)

1,657

1,329

Option One Mortgage Loan Trust floater Series 2007-CP1 Class M1, 0.494% 3/25/37 (n)

2,236

150

Provident Funding Mortgage Loan Trust Series 2005-2 Class 3A, 2.8085% 10/25/35 (n)

668

574

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

Class B5, 2.5539% 7/10/35 (h)(n)

1,151

939

Class B6, 3.0539% 7/10/35 (h)(n)

245

189

Residential Asset Mortgage Products, Inc. sequential payer:

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

677

722

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

37

38

Residential Funding Securities Corp. floater Series 2003-RP2 Class A1, 0.644% 6/25/33 (h)(n)

289

267

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

129

45

Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 0.8997% 7/20/34 (n)

29

21

Structured Asset Securities Corp.:

Series 2003-15A Class 4A, 5.3739% 4/25/33 (n)

414

398

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

297

302

TBW Mortgage-Backed pass-thru certificates floater Series 2006-4 Class A3, 0.4126% 9/25/36 (n)

2,485

1,768

Thornburg Mortgage Securities Trust floater:

Series 2006-4 Class A2B, 0.3326% 7/25/36 (n)

7,366

7,341

Series 2006-5 Class A1, 0.314% 10/25/46 (n)

2,839

2,822

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

Private Sponsor - continued

WaMu Mortgage pass-thru certificates:

Series 2003-AR8 Class A, 2.7161% 8/25/33 (n)

$ 674

$ 661

Series 2005-AR3 Class A2, 2.5752% 3/25/35 (n)

1,826

1,638

Wells Fargo Mortgage Backed Securities Trust:

Series 2004-EE Class 2A2, 2.845% 12/25/34 (n)

602

600

Series 2004-H Class A1, 4.4817% 6/25/34 (n)

1,034

1,013

Series 2004-W Class A9, 2.7613% 11/25/34 (n)

3,741

3,627

Series 2005-AR10 Class 2A2, 2.8082% 6/25/35 (n)

497

483

Series 2005-AR12:

Class 2A5, 2.7836% 7/25/35 (n)

9,574

9,074

Class 2A6, 2.7836% 7/25/35 (n)

421

399

Series 2005-AR2 Class 2A2, 2.7435% 3/25/35 (n)

1,890

1,747

Series 2005-AR3 Class 2A1, 2.8729% 3/25/35 (n)

734

672

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $71,439)

100,333

Commercial Mortgage Securities - 1.5%

 

Asset Securitization Corp. Series 1997-D5:

Class A2, 7.0825% 2/14/43 (n)

671

705

Class A3, 7.1325% 2/14/43 (n)

724

774

Class A6, 7.4525% 2/14/43 (n)

1,067

1,127

Class PS1, 1.4533% 2/14/43 (n)(p)

2,641

54

Banc of America Commercial Mortgage Trust:

sequential payer:

Series 2006-2 Class AAB, 5.9114% 5/10/45 (n)

1,065

1,137

Series 2006-5:

Class A2, 5.317% 9/10/47

3,280

3,346

Class A3, 5.39% 9/10/47

1,272

1,323

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

1,824

1,927

Series 2007-4 Class A3, 5.9998% 2/10/51 (n)

910

974

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

527

105

Series 2007-3:

Class A3, 5.8018% 6/10/49 (n)

1,523

1,610

Class A4, 5.8018% 6/10/49 (n)

1,901

2,068

Banc of America Commercial Mortgage, Inc.:

sequential payer:

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

1,997

2,160

Series 2004-2:

Class A3, 4.05% 11/10/38

167

169

Class A4, 4.153% 11/10/38

1,157

1,207

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Banc of America Commercial Mortgage, Inc.: - continued

sequential payer:

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

$ 795

$ 794

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

2,526

2,554

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

510

513

Series 2001-PB1:

Class J, 7.166% 5/11/35 (h)

228

226

Class K, 6.15% 5/11/35 (h)

424

414

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

2,833

2,977

Banc of America Large Loan, Inc. floater:

Series 2005-MIB1:

Class C, 0.508% 3/15/22 (h)(n)

392

392

Class D, 0.558% 3/15/22 (h)(n)

397

397

Class E, 0.598% 3/15/22 (h)(n)

328

322

Class F, 0.668% 3/15/22 (h)(n)

467

456

Class G, 0.728% 3/15/22 (h)(n)

303

286

Series 2006-BIX1:

Class C, 0.378% 10/15/19 (h)(n)

586

568

Class D, 0.408% 10/15/19 (h)(n)

716

684

Class E, 0.438% 10/15/19 (h)(n)

663

623

Class F, 0.508% 10/15/19 (h)(n)

1,987

1,863

Class G, 0.528% 10/15/19 (h)(n)

935

822

Bayview Commercial Asset Trust:

floater:

Series 2003-2 Class M1, 1.044% 12/25/33 (h)(n)

56

42

Series 2004-1:

Class A, 0.554% 4/25/34 (h)(n)

949

831

Class B, 2.094% 4/25/34 (h)(n)

106

57

Class M1, 0.754% 4/25/34 (h)(n)

86

65

Class M2, 1.394% 4/25/34 (h)(n)

79

53

Series 2004-2:

Class A, 0.624% 8/25/34 (h)(n)

782

679

Class M1, 0.774% 8/25/34 (h)(n)

134

97

Series 2004-3:

Class A1, 0.564% 1/25/35 (h)(n)

1,756

1,558

Class A2, 0.614% 1/25/35 (h)(n)

252

222

Class M1, 0.694% 1/25/35 (h)(n)

303

214

Class M2, 1.194% 1/25/35 (h)(n)

144

97

Series 2005-2A:

Class A1, 0.504% 8/25/35 (h)(n)

1,233

1,017

Class M1, 0.624% 8/25/35 (h)(n)

67

44

Class M2, 0.674% 8/25/35 (h)(n)

110

66

Class M3, 0.694% 8/25/35 (h)(n)

61

35

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Bayview Commercial Asset Trust: - continued

floater:

Series 2005-2A:

Class M4, 0.804% 8/25/35 (h)(n)

$ 56

$ 30

Series 2005-3A:

Class A1, 0.514% 11/25/35 (h)(n)

500

416

Class A2, 0.594% 11/25/35 (h)(n)

451

377

Class M1, 0.634% 11/25/35 (h)(n)

59

39

Class M2, 0.684% 11/25/35 (h)(n)

75

45

Class M3, 0.704% 11/25/35 (h)(n)

67

38

Class M4, 0.794% 11/25/35 (h)(n)

84

42

Series 2005-4A:

Class A2, 0.584% 1/25/36 (h)(n)

1,176

993

Class B1, 1.594% 1/25/36 (h)(n)

102

36

Class M1, 0.644% 1/25/36 (h)(n)

379

246

Class M2, 0.664% 1/25/36 (h)(n)

114

69

Class M3, 0.694% 1/25/36 (h)(n)

166

93

Class M4, 0.804% 1/25/36 (h)(n)

92

47

Class M5, 0.844% 1/25/36 (h)(n)

92

44

Class M6, 0.894% 1/25/36 (h)(n)

98

41

Series 2006-1:

Class A2, 0.554% 4/25/36 (h)(n)

178

148

Class M1, 0.574% 4/25/36 (h)(n)

64

45

Class M2, 0.594% 4/25/36 (h)(n)

67

44

Class M3, 0.614% 4/25/36 (h)(n)

58

36

Class M4, 0.714% 4/25/36 (h)(n)

33

20

Class M5, 0.754% 4/25/36 (h)(n)

32

17

Class M6, 0.834% 4/25/36 (h)(n)

64

30

Series 2006-2A:

Class A1, 0.424% 7/25/36 (h)(n)

2,695

2,145

Class A2, 0.474% 7/25/36 (h)(n)

160

126

Class B1, 1.064% 7/25/36 (h)(n)

60

22

Class B3, 2.894% 7/25/36 (h)(n)

90

28

Class M1, 0.504% 7/25/36 (h)(n)

168

110

Class M2, 0.524% 7/25/36 (h)(n)

118

72

Class M3, 0.544% 7/25/36 (h)(n)

98

59

Class M4, 0.614% 7/25/36 (h)(n)

66

38

Class M5, 0.664% 7/25/36 (h)(n)

82

46

Class M6, 0.734% 7/25/36 (h)(n)

122

51

Series 2006-3A:

Class B1, 0.994% 10/25/36 (h)(n)

109

14

Class B2, 1.544% 10/25/36 (h)(n)

79

8

Class B3, 2.794% 10/25/36 (h)(n)

128

7

Class M4, 0.624% 10/25/36 (h)(n)

121

41

Class M5, 0.674% 10/25/36 (h)(n)

144

43

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Bayview Commercial Asset Trust: - continued

floater:

Series 2006-3A:

Class M6, 0.754% 10/25/36 (h)(n)

$ 283

$ 62

Series 2006-4A:

Class A1, 0.424% 12/25/36 (h)(n)

616

499

Class A2, 0.464% 12/25/36 (h)(n)

3,016

2,232

Class B1, 0.894% 12/25/36 (h)(n)

96

15

Class B2, 1.444% 12/25/36 (h)(n)

98

13

Class B3, 2.644% 12/25/36 (h)(n)

167

15

Class M1, 0.484% 12/25/36 (h)(n)

200

90

Class M2, 0.504% 12/25/36 (h)(n)

133

55

Class M3, 0.534% 12/25/36 (h)(n)

136

48

Class M4, 0.594% 12/25/36 (h)(n)

162

48

Class M5, 0.634% 12/25/36 (h)(n)

149

36

Class M6, 0.714% 12/25/36 (h)(n)

133

27

Series 2007-1:

Class A2, 0.464% 3/25/37 (h)(n)

632

420

Class B1, 0.864% 3/25/37 (h)(n)

202

30

Class B2, 1.344% 3/25/37 (h)(n)

146

17

Class B3, 3.544% 3/25/37 (h)(n)

320

18

Class M1, 0.464% 3/25/37 (h)(n)

177

73

Class M2, 0.484% 3/25/37 (h)(n)

133

45

Class M3, 0.514% 3/25/37 (h)(n)

119

37

Class M4, 0.564% 3/25/37 (h)(n)

96

25

Class M5, 0.614% 3/25/37 (h)(n)

148

32

Class M6, 0.694% 3/25/37 (h)(n)

207

39

Series 2007-2A:

Class A1, 0.464% 7/25/37 (h)(n)

576

427

Class A2, 0.514% 7/25/37 (h)(n)

540

344

Class B1, 1.794% 7/25/37 (h)(n)

167

16

Class B2, 2.444% 7/25/37 (h)(n)

144

10

Class B3, 3.544% 7/25/37 (h)(n)

161

8

Class M1, 0.564% 7/25/37 (h)(n)

190

66

Class M2, 0.604% 7/25/37 (h)(n)

104

28

Class M3, 0.684% 7/25/37 (h)(n)

105

21

Class M4, 0.844% 7/25/37 (h)(n)

207

35

Class M5, 0.944% 7/25/37 (h)(n)

183

27

Class M6, 1.194% 7/25/37 (h)(n)

232

29

Series 2007-3:

Class A2, 0.484% 7/25/37 (h)(n)

649

434

Class B1, 1.144% 7/25/37 (h)(n)

145

21

Class B2, 1.794% 7/25/37 (h)(n)

361

42

Class B3, 4.194% 7/25/37 (h)(n)

193

13

Class M1, 0.504% 7/25/37 (h)(n)

129

50

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Bayview Commercial Asset Trust: - continued

floater:

Series 2007-3:

Class M2, 0.534% 7/25/37 (h)(n)

$ 138

$ 45

Class M3, 0.564% 7/25/37 (h)(n)

217

59

Class M4, 0.694% 7/25/37 (h)(n)

341

81

Class M5, 0.794% 7/25/37 (h)(n)

178

37

Class M6, 0.994% 7/25/37 (h)(n)

135

24

Series 2007-4A:

Class B1, 2.744% 9/25/37 (h)(n)

222

9

Class B2, 3.644% 9/25/37 (h)(n)

803

24

Class M1, 1.144% 9/25/37 (h)(n)

213

38

Class M2, 1.244% 9/25/37 (h)(n)

213

30

Class M4, 1.794% 9/25/37 (h)(n)

543

43

Class M5, 1.944% 9/25/37 (h)(n)

543

38

Class M6, 2.144% 9/25/37 (h)(n)

543

33

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

1,935

77

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

4,698

507

Bear Stearns Commercial Mortgage Securities Trust:

floater:

Series 2006-BBA7:

Class G, 0.638% 3/15/19 (h)(n)

611

550

Class H, 0.848% 3/15/19 (h)(n)

411

350

Class J, 1.048% 3/15/19 (h)(n)

309

263

Series 2007-BBA8:

Class D, 0.448% 3/15/22 (h)(n)

452

412

Class E, 0.498% 3/15/22 (h)(n)

2,347

2,119

Class F, 0.548% 3/15/22 (h)(n)

1,440

1,272

Class G, 0.598% 3/15/22 (h)(n)

369

315

Class H, 0.748% 3/15/22 (h)(n)

452

376

Class J, 0.898% 3/15/22 (h)(n)

452

346

sequential payer:

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

204

206

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

358

368

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

2,680

2,802

Series 2007-PW16:

Class A4, 5.9055% 6/11/40 (n)

534

593

Class AAB, 5.9055% 6/11/40 (n)

4,740

5,080

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

357

365

Series 2007-PW18:

Class A2, 5.613% 6/11/50

320

330

Class A4, 5.7% 6/11/50

4,380

4,819

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

138

140

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Bear Stearns Commercial Mortgage Securities Trust: - continued

Series 2003-PWR2 Class X2, 0.6817% 5/11/39 (h)(n)(p)

$ 6,436

$ 10

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

3,219

3,356

Series 2006-PW14 Class X2, 0.8477% 12/11/38 (h)(n)(p)

10,396

168

Series 2006-T22 Class A4, 5.7046% 4/12/38 (n)

114

127

Series 2007-PW16:

Class B, 5.716% 6/11/40 (h)(n)

146

94

Class C, 5.716% 6/11/40 (h)(n)

122

66

Class D, 5.716% 6/11/40 (h)(n)

122

61

Series 2007-PW18 Class X2, 0.4827% 6/11/50 (h)(n)(p)

79,526

898

Series 2007-T28:

Class A1, 5.422% 9/11/42

79

80

Class X2, 0.3378% 9/11/42 (h)(n)(p)

39,180

281

Berkeley Federal Bank & Trust FSB Series 1994-1 Class B, 0% 8/1/24 (h)(n)

531

226

C-BASS Trust floater Series 2006-SC1 Class A, 0.464% 5/25/36 (h)(n)

628

486

CDC Commercial Mortgage Trust Series 2002-FX1:

Class G, 6.625% 5/15/35 (h)

1,072

1,145

Class XCL, 2.4992% 5/15/35 (h)(n)(p)

7,168

150

Citigroup Commercial Mortgage Trust:

floater Series 2006-FL2:

Class F, 0.5071% 8/15/21 (h)(n)

326

323

Class G, 0.5271% 8/15/21 (h)(n)

405

404

Class H, 0.5671% 8/15/21 (h)(n)

324

318

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

6,330

6,928

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

1,372

1,275

Series 2007-C6:

Class A1, 5.622% 12/10/49 (n)

1,098

1,097

Class A2, 5.8862% 12/10/49 (n)

1,210

1,245

Class A4, 5.8862% 12/10/49 (n)

3,035

3,367

Citigroup/Deutsche Bank Commercial Mortgage Trust:

sequential payer Series 2007-CD4:

Class A2A, 5.237% 12/11/49

565

568

Class A4, 5.322% 12/11/49

4,053

4,327

Series 2007-CD4:

Class A3, 5.293% 12/11/49

888

921

Class C, 5.476% 12/11/49

1,717

601

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Cobalt CMBS Commercial Mortgage Trust:

sequential payer Series 2007-C3 Class A3, 6.0102% 5/15/46 (n)

$ 912

$ 977

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

2,736

1,313

COMM pass-thru certificates:

floater:

Series 2005-F10A:

Class B, 0.428% 4/15/17 (h)(n)

4,783

4,550

Class C, 0.468% 4/15/17 (h)(n)

734

691

Class D, 0.508% 4/15/17 (h)(n)

721

664

Class E, 0.568% 4/15/17 (h)(n)

230

207

Class F, 0.608% 4/15/17 (h)(n)

130

115

Class G, 0.748% 4/15/17 (h)(n)

130

111

Class H, 0.818% 4/15/17 (h)(n)

130

104

Class J, 1.048% 4/15/17 (h)(n)

100

70

Series 2005-FL11:

Class C, 0.498% 11/15/17 (h)(n)

696

673

Class D, 0.538% 11/15/17 (h)(n)

36

35

Class E, 0.588% 11/15/17 (h)(n)

128

122

Class F, 0.648% 11/15/17 (h)(n)

141

131

Class G, 0.698% 11/15/17 (h)(n)

98

89

Series 2006-CN2A:

Class A2FL, 0.4295% 2/5/19 (h)(n)

1,390

1,372

Class AJFL, 0.4695% 2/5/19 (n)

640

624

Series 2006-FL12 Class AJ, 0.328% 12/15/20 (h)(n)

1,300

1,209

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

2,709

Series 2006-CN2A:

Class A2FX, 5.449% 2/5/19 (h)

1,592

1,594

Class AJFX, 5.478% 2/5/19 (h)

2,940

2,964

Series 2007-C9 Class A4, 6.0084% 12/10/49 (n)

2,018

2,250

Series 2006-C8 Class XP, 0.6858% 12/10/46 (n)(p)

13,819

148

Credit Suisse Commercial Mortgage Trust:

sequential payer:

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

1,107

1,200

Series 2007-C2:

Class A2, 5.448% 1/15/49 (n)

6,413

6,492

Class A3, 5.542% 1/15/49 (n)

1,824

1,944

Series 2007-C3 Class A4, 5.9052% 6/15/39 (n)

549

596

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

5,191

5,401

Series 2006-C5 Class ASP, 0.8755% 12/15/39 (n)(p)

8,413

137

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Credit Suisse Commercial Mortgage Trust: - continued

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

$ 825

$ 887

Credit Suisse First Boston Mortgage Capital Certificates floater Series 2007-TF2A Class B, 0.548% 4/15/22 (h)(n)

3,254

2,603

Credit Suisse First Boston Mortgage Securities Corp.:

sequential payer:

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

912

924

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

61

62

Series 2004-C1:

Class A3, 4.321% 1/15/37

124

126

Class A4, 4.75% 1/15/37

425

450

Series 2001-CK6 Class AX, 1.1234% 8/15/36 (n)(p)

1,849

4

Series 2001-CKN5 Class AX, 2.1724% 9/15/34 (h)(n)(p)

3,913

7

Series 2006-C1 Class A3, 5.711% 2/15/39 (n)

4,815

5,086

Credit Suisse Mortgage Capital Certificates:

floater Series 2007-TFL1:

Class B, 0.348% 2/15/22 (h)(n)

345

314

Class C:

0.368% 2/15/22 (h)(n)

1,416

1,274

0.468% 2/15/22 (h)(n)

506

435

Class F, 0.518% 2/15/22 (h)(n)

1,011

849

Series 2007-C1:

Class ASP, 0.61% 2/15/40 (n)(p)

14,245

150

Class B, 5.487% 2/15/40 (h)(n)

1,394

279

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

Class D, 6.484% 3/15/33

312

313

Class G, 6.936% 3/15/33 (h)

600

596

GE Capital Commercial Mortgage Corp.:

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

5,514

5,931

Series 2001-1 Class X1, 1.2156% 5/15/33 (h)(n)(p)

1,685

10

Series 2007-C1 Class XP, 0.3797% 12/10/49 (n)(p)

18,985

95

GMAC Commercial Mortgage Securities, Inc.:

Series 2004-C3 Class X2, 0.7915% 12/10/41 (n)(p)

2,661

7

Series 2005-C1 Class X2, 0.7311% 5/10/43 (n)(p)

3,473

20

Greenwich Capital Commercial Funding Corp.:

floater Series 2006-FL4 Class B, 0.3995% 11/5/21 (h)(n)

343

316

sequential payer:

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

1,824

1,904

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Greenwich Capital Commercial Funding Corp.: - continued

sequential payer:

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

$ 2,652

$ 2,872

Series 2005-GG3 Class XP, 0.6789% 8/10/42 (h)(n)(p)

15,263

70

Series 2006-GG7 Class A3, 5.881% 7/10/38 (n)

2,404

2,545

Series 2007-GG11 Class A1, 0.4589% 12/10/49 (h)(n)(p)

20,343

169

GS Mortgage Securities Corp. II:

floater:

Series 2006-FL8A:

Class C, 0.449% 6/6/20 (h)(n)

30

29

Class D, 0.489% 6/6/20 (h)(n)

218

205

Class E, 0.579% 6/6/20 (h)(n)

252

231

Class F, 0.649% 6/6/20 (h)(n)

634

575

Series 2007-EOP:

Class C, 2.1455% 3/6/20 (h)(n)

1,144

1,128

Class D, 2.3636% 3/6/20 (h)(n)

2,144

2,114

Class F, 2.8433% 3/6/20 (h)(n)

94

93

Class G, 3.0177% 3/6/20 (h)(n)

47

46

Class H, 3.5846% 3/6/20 (h)(n)

42

42

Class J, 4.4568% 3/6/20 (h)(n)

60

60

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

283

285

Series 2005-GG4 Class XP, 0.7099% 7/10/39 (h)(n)(p)

16,612

114

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

3,298

3,296

GS Mortgage Securities Trust sequential payer:

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

824

829

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

420

430

JP Morgan Chase Commercial Mortgage Securities Trust:

sequential payer Series 2006-CB14 Class A3B, 5.6643% 12/12/44 (n)

2,712

2,829

Series 2005-CB13 Class E, 5.5268% 1/12/43 (h)(n)

461

48

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

6,614

6,846

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

297

298

JPMorgan Chase Commercial Mortgage Securities Trust:

floater Series 2006-FLA2:

Class B, 0.368% 11/15/18 (h)(n)

592

557

Class C, 0.408% 11/15/18 (h)(n)

421

391

Class D, 0.428% 11/15/18 (h)(n)

186

167

Class E, 0.478% 11/15/18 (h)(n)

267

243

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

JPMorgan Chase Commercial Mortgage Securities Trust: - continued

floater Series 2006-FLA2:

Class F, 0.528% 11/15/18 (h)(n)

$ 401

$ 357

Class G, 0.558% 11/15/18 (h)(n)

349

300

Class H, 0.698% 11/15/18 (h)(n)

267

219

sequential payer:

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

581

634

Series 2006-LDP9:

Class A2, 5.134% 5/15/47 (n)

421

437

Class A3, 5.336% 5/15/47

380

410

Series 2007-CB19 Class A4, 5.9318% 2/12/49 (n)

3,198

3,523

Series 2007-LD11 Class A2, 5.9901% 6/15/49 (n)

2,560

2,636

Series 2007-LDPX:

Class A2 S, 5.305% 1/15/49

2,063

2,096

Class A3, 5.42% 1/15/49

2,510

2,722

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

260

267

Series 2007-CB19:

Class B, 5.9318% 2/12/49 (n)

78

58

Class C, 5.9318% 2/12/49 (n)

204

128

Class D, 5.9318% 2/12/49 (n)

214

108

Series 2007-LDP10:

Class BS, 5.437% 1/15/49 (n)

174

101

Class CS, 5.466% 1/15/49 (n)

75

35

Class ES, 5.7307% 1/15/49 (h)(n)

472

99

LB Commercial Conduit Mortgage Trust:

sequential payer Series 2007-C3 Class A4, 6.1412% 7/15/44 (n)

743

824

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

238

238

LB Multi-family Mortgage Trust Series 1991-4 Class A1, 7.1054% 4/25/21 (n)

32

22

LB-UBS Commercial Mortgage Trust:

sequential payer:

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

223

223

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

789

791

Series 2006-C7:

Class A1, 5.279% 11/15/38

17

17

Class A2, 5.3% 11/15/38

1,003

1,012

Class A3, 5.347% 11/15/38

679

740

Series 2007-C1:

Class A1, 5.391% 2/15/40 (n)

68

69

Class A4, 5.424% 2/15/40

2,738

2,988

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

1,980

2,145

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

1,763

1,770

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

LB-UBS Commercial Mortgage Trust: - continued

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

$ 1,003

$ 1,017

Series 2005-C3 Class XCP, 0.9427% 7/15/40 (n)(p)

2,823

17

Series 2006-C6 Class XCP, 0.8631% 9/15/39 (n)(p)

4,202

63

Series 2007-C1 Class XCP, 0.6707% 2/15/40 (n)(p)

1,566

18

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

1,140

1,235

Series 2007-C7:

Class A3, 5.866% 9/15/45

972

1,074

Class XCP, 0.4375% 9/15/45 (n)(p)

68,438

637

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

Class D, 0.428% 9/15/21 (h)(n)

292

266

Class E, 0.488% 9/15/21 (h)(n)

1,054

938

Class F, 0.538% 9/15/21 (h)(n)

868

746

Class G, 0.558% 9/15/21 (h)(n)

1,714

1,406

Class H, 0.598% 9/15/21 (h)(n)

442

349

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

1,619

1,642

Merrill Lynch Mortgage Trust:

Series 2005-CKI1 Class A3, 5.3967% 11/12/37 (n)

715

729

Series 2005-LC1 Class F, 5.5633% 1/12/44 (h)(n)

793

422

Series 2006-C1 Class A2, 5.8093% 5/12/39 (n)

897

924

Series 2007-C1 Class A4, 6.02% 6/12/50 (n)

3,452

3,811

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

1,947

2,143

Merrill Lynch-CFC Commercial Mortgage Trust:

floater Series 2006-4 Class A2FL, 0.3465% 12/12/49 (n)

407

399

sequential payer:

Series 2006-1 CLass A3, 5.4822% 2/12/39 (n)

970

1,000

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

784

833

Series 2007-5:

Class A3, 5.364% 8/12/48

356

367

Class A4, 5.378% 8/12/48

36

38

Class B, 5.479% 8/12/48

2,736

1,266

Series 2007-6:

Class A1, 5.175% 3/12/51

21

21

Class A4, 5.485% 3/12/51 (n)

7,400

7,979

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

3,192

3,457

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

141

142

Series 2006-4 Class XP, 0.829% 12/12/49 (n)(p)

17,894

315

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

912

466

Series 2007-7 Class B, 5.9352% 6/12/50 (n)

79

22

Series 2007-8 Class A3, 6.1636% 8/12/49 (n)

787

867

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Morgan Stanley Capital I Trust:

floater:

Series 2006-XLF Class C, 1.398% 7/15/19 (h)(n)

$ 272

$ 136

Series 2007-XCLA Class A1, 0.398% 7/17/17 (h)(n)

1,289

1,186

Series 2007-XLFA:

Class C, 0.358% 10/15/20 (h)(n)

523

487

Class D, 0.388% 10/15/20 (h)(n)

507

456

Class E, 0.448% 10/15/20 (h)(n)

634

563

Class F, 0.498% 10/15/20 (h)(n)

380

331

Class G, 0.538% 10/15/20 (h)(n)

470

374

Class H, 0.628% 10/15/20 (h)(n)

296

213

Class J, 0.778% 10/15/20 (h)(n)

338

177

Class MHRO, 0.888% 10/15/20 (h)(n)

369

318

Class MJPM, 1.198% 10/15/20 (h)(n)

18

16

Class NHRO, 1.088% 10/15/20 (h)(n)

558

457

sequential payer:

Series 2003-IQ5 Class X2, 1.0242% 4/15/38 (h)(n)(p)

2,452

6

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

1,354

1,386

Series 2007-HQ11:

Class A1, 5.246% 2/12/44

57

57

Class A31, 5.439% 2/12/44 (n)

462

480

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

152

153

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

148

149

Series 2003-IQ6 Class X2, 0.7293% 12/15/41 (h)(n)(p)

5,397

18

Series 2005-IQ9 Class X2, 1.2137% 7/15/56 (h)(n)(p)

9,646

65

Series 2006-HQ10 Class X2, 0.6882% 11/12/41 (h)(n)(p)

6,608

52

Series 2006-HQ8 Class A3, 5.6465% 3/12/44 (n)

576

582

Series 2006-IQ11:

Class A3, 5.8616% 10/15/42 (n)

1,230

1,281

Class A4, 5.8976% 10/15/42 (n)

274

304

Series 2006-T23 Class A3, 5.9755% 8/12/41 (n)

466

501

Series 2007-IQ14:

Class A4, 5.692% 4/15/49 (n)

1,368

1,478

Class AAB, 5.654% 4/15/49

2,650

2,813

Class B, 5.9112% 4/15/49 (n)

224

125

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

74

75

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Wachovia Bank Commercial Mortgage Trust:

floater:

Series 2005-WL5A Class K, 1.398% 1/15/18 (h)(n)

$ 969

$ 930

Series 2006-WL7A:

Class E, 0.4771% 9/15/21 (h)(n)

1,239

1,055

Class F, 0.5371% 8/11/18 (h)(n)

1,426

1,163

Class G, 0.5571% 8/11/18 (h)(n)

1,351

917

Class J, 0.7971% 8/11/18 (h)(n)

300

164

Series 2007-WHL8:

Class AP1, 0.898% 6/15/20 (h)(n)

98

74

Class AP2, 0.998% 6/15/20 (h)(n)

163

114

Class F, 0.678% 6/15/20 (h)(n)

3,171

2,600

Class LXR1, 0.898% 6/15/20 (h)(n)

112

95

sequential payer:

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

1,182

1,188

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

3,972

4,017

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

687

689

Series 2006-C29:

Class A1, 5.11% 11/15/48

105

105

Class A3, 5.313% 11/15/48

2,422

2,607

Series 2007-C30:

Class A3, 5.246% 12/15/43

783

802

Class A4, 5.305% 12/15/43

268

277

Class A5, 5.342% 12/15/43

976

1,034

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

2,061

2,189

Series 2007-C32:

Class A2, 5.9267% 6/15/49 (n)

2,967

3,089

Class A3, 5.9317% 6/15/49 (n)

1,548

1,674

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

433

435

Series 2004-C15:

Class 180A, 5.5782% 10/15/41 (h)(n)

701

703

Class 180B, 5.5782% 10/15/41 (h)(n)

319

319

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

912

861

Series 2005-C22:

Class B, 5.5358% 12/15/44 (n)

2,022

1,854

Class F, 5.5358% 12/15/44 (h)(n)

1,521

895

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

5,005

5,493

Series 2007-C30:

Class C, 5.483% 12/15/43 (n)

2,736

1,477

Class D, 5.513% 12/15/43 (n)

1,459

615

Class XP, 0.6357% 12/15/43 (h)(n)(p)

9,744

111

Series 2007-C31 Class C, 5.8836% 4/15/47 (n)

251

134

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Wachovia Bank Commercial Mortgage Trust: - continued

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

$ 7,777

$ 8,112

Series 2007-C32:

Class D, 5.9317% 6/15/49 (n)

685

327

Class E, 5.9317% 6/15/49 (n)

1,080

386

Wachovia Bank Commercial Mortgage Trust pass-thru certificates sequential payer Series 2007-C33 Class A5, 6.0966% 2/15/51 (n)

604

658

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $238,497)

307,715

Municipal Securities - 0.1%

 

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

1,700

1,691

California Gen. Oblig.:

7.5% 4/1/34

3,750

4,368

7.55% 4/1/39

800

943

Illinois Gen. Oblig.:

Series 2010, 4.421% 1/1/15

4,050

4,196

5.665% 3/1/18

3,000

3,164

5.877% 3/1/19

4,565

4,794

TOTAL MUNICIPAL SECURITIES

(Cost $17,878)

19,156

Foreign Government and Government Agency Obligations - 0.0%

 

Chilean Republic 7.125% 1/11/12

1,794

1,862

United Mexican States 6.05% 1/11/40

3,926

4,171

TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $5,813)

6,033

Supranational Obligations - 0.0%

 

Corporacion Andina de Fomento 5.2% 5/21/13
(Cost $135)

143

153

Floating Rate Loans - 1.0%

 

Principal Amount (000s)

Value (000s)

CONSUMER DISCRETIONARY - 0.2%

Hotels, Restaurants & Leisure - 0.1%

Fantasy Springs Resort Casino term loan 12% 8/6/12 (n)

$ 8,210

$ 6,794

Town Sports International LLC Tranche B, term loan 7% 5/11/18 (n)

3,540

3,540

 

10,334

Media - 0.1%

Hicks Sports Group LLC Tranche 2LN, term loan 12/22/11 (d)(n)

2,750

3

Newsday LLC term loan 10.5% 8/1/13

7,000

7,438

Tribune Co. Tranche X, term loan 3/17/09 (d)(n)

1,188

793

Univision Communications, Inc. term loan 4.4413% 3/31/17 (n)

11,193

10,802

 

19,036

Specialty Retail - 0.0%

Michaels Stores, Inc.:

Tranche B1, term loan 2.5625% 10/31/13 (n)

1,111

1,100

Tranche B2, term loan 4.8125% 7/31/16 (n)

1,495

1,502

Sports Authority, Inc. Tranche B, term loan 7.5% 11/16/17 (n)

4,953

4,996

 

7,598

TOTAL CONSUMER DISCRETIONARY

36,968

CONSUMER STAPLES - 0.0%

Food & Staples Retailing - 0.0%

Sprouts Farmers Market LLC Tranche B, term loan 6% 4/18/18 (n)

6,005

5,975

ENERGY - 0.0%

Oil, Gas & Consumable Fuels - 0.0%

Frac Tech Holdings LLC:

Tranche B, term loan 6.25% 5/6/16 (n)

4,174

4,163

Tranche D, term loan 2.5% 5/6/16 (n)(q)

556

555

 

4,718

FINANCIALS - 0.1%

Commercial Banks - 0.0%

CIT Group, Inc. Tranche 3LN, term loan 6.25% 8/11/15 (n)

2,798

2,826

Floating Rate Loans - continued

 

Principal Amount (000s)

Value (000s)

FINANCIALS - continued

Diversified Financial Services - 0.0%

Blackstone UTP Capital LLC term loan 7.75% 11/2/14

$ 5,022

$ 5,097

IASIS Healthcare LLC Tranche B, term loan 5% 5/3/18 (n)

730

730

 

5,827

Real Estate Management & Development - 0.1%

Realogy Corp.:

Credit-Linked Deposit 4.4603% 10/10/16 (n)

932

867

term loan 4.5183% 10/10/16 (n)

6,221

5,785

 

6,652

TOTAL FINANCIALS

15,305

HEALTH CARE - 0.2%

Health Care Providers & Services - 0.2%

Genoa Healthcare Group LLC Tranche 2, term loan 10.75% 2/4/13 (n)

2,500

2,225

National Renal Institutes, Inc. Tranche B, term loan 8.5% 3/31/13 (n)

11,442

11,557

Sheridan Healthcare, Inc. Tranche 2LN, term loan 6.004% 6/15/15 (n)

17,840

17,706

Sunquest Information Systems, Inc. Tranche 2 LN, term loan 9.75% 6/16/17 (n)

2,250

2,295

 

33,783

INDUSTRIALS - 0.0%

Air Freight & Logistics - 0.0%

CEVA Logistics:

Credit-Linked Deposit 3.307% 11/4/13 (n)

222

218

EGL term loan 3.2728% 11/4/13 (n)

2,202

2,158

term loan 3.2728% 11/4/13 (n)

266

261

 

2,637

Airlines - 0.0%

US Airways Group, Inc. term loan 2.694% 3/23/14 (n)

4,529

4,161

Commercial Services & Supplies - 0.0%

Brand Energy & Infrastructure Services, Inc. Tranche 2LN, term loan 6.3125% 2/7/15 (n)

985

887

TOTAL INDUSTRIALS

7,685

Floating Rate Loans - continued

 

Principal Amount (000s)

Value (000s)

INFORMATION TECHNOLOGY - 0.2%

Communications Equipment - 0.1%

Avaya, Inc.:

term loan 3.005% 10/27/14 (n)

$ 1,802

$ 1,744

Tranche B 3LN, term loan 4.755% 10/26/17 (n)

3,621

3,517

SafeNet, Inc. Tranche 2LN, term loan 6.1913% 4/12/15 (n)

7,500

7,463

 

12,724

Internet Software & Services - 0.0%

Airvana Networks Solutions, Inc. term loan 10% 3/25/15 (n)

3,510

3,549

Software - 0.1%

Kronos, Inc. Tranche 2LN, term loan 6.057% 6/11/15 (n)

23,730

23,611

SS&C Technologies, Inc. term loan 2.2851% 11/23/12 (n)

346

346

 

23,957

TOTAL INFORMATION TECHNOLOGY

40,230

MATERIALS - 0.0%

Chemicals - 0.0%

American Rock Salt Co. LLC Tranche B, term loan 5.5% 4/25/17 (n)

5,755

5,784

TELECOMMUNICATION SERVICES - 0.1%

Wireless Telecommunication Services - 0.1%

Asurion LLC:

term loan 9% 5/24/19 (n)

6,210

6,280

Tranche B, term loan 5.50% 5/24/18 (n)

12,000

11,896

Vodafone Americas Finance 2, Inc. term loan 6.875% 8/11/15

1,646

1,663

 

19,839

UTILITIES - 0.2%

Electric Utilities - 0.1%

Bicent Power LLC Tranche 2LN, term loan 4.31% 12/31/14 (n)

810

117

Texas Competitive Electric Holdings Co. LLC/Texas Competitive Electric Holdings Finance, Inc. Tranche B, term loan 4.7382% 10/10/17 (n)

25,196

19,810

 

19,927

Floating Rate Loans - continued

 

Principal Amount (000s)

Value (000s)

UTILITIES - continued

Independent Power Producers & Energy Traders - 0.1%

Nebraska Energy, Inc. Tranche 2LN, term loan 4.8125% 5/1/14 (n)

$ 12,400

$ 11,532

TOTAL UTILITIES

31,459

TOTAL FLOATING RATE LOANS

(Cost $198,279)

201,746

Bank Notes - 0.0%

 

Wachovia Bank NA 6% 11/15/17
(Cost $3,364)

3,066

3,492

Preferred Securities - 0.0%

 

 

 

 

FINANCIALS - 0.0%

Diversified Financial Services - 0.0%

ING Groep NV 5.775% (i)(n)

(Cost $554)

975

934

Fixed-Income Funds - 6.9%

Shares

 

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

2,529,627

278,891

Fidelity Mortgage Backed Securities Central Fund (o)

10,517,901

1,120,998

TOTAL FIXED-INCOME FUNDS

(Cost $1,322,234)

1,399,889

Money Market Funds - 4.1%

 

 

 

 

Fidelity Cash Central Fund, 0.14% (b)

685,361,959

685,362

Fidelity Securities Lending Cash Central Fund, 0.14% (b)(c)

150,455,698

150,456

TOTAL MONEY MARKET FUNDS

(Cost $835,818)

835,818

Cash Equivalents - 1.8%

Maturity Amount (000s)

Value (000s)

Investments in repurchase agreements in a joint trading account at:

0.11%, dated 5/31/11 due 6/1/11 (Collateralized by U.S. Government Obligations) #

$ 9,079

$ 9,079

0.14%, dated 5/31/11 due 6/1/11 (Collateralized by U.S. Government Obligations) # (r)

366,413

366,412

TOTAL CASH EQUIVALENTS

(Cost $375,491)

375,491

TOTAL INVESTMENT PORTFOLIO - 104.5%

(Cost $18,144,591)

21,226,677

NET OTHER ASSETS (LIABILITIES) - (4.5)%

(909,061)

NET ASSETS - 100%

$ 20,317,616

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 Premium Received/(Paid) $2,560,000) (m)

Sept. 2037

$ 8,367

$ (7,818)

Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to JPMorgan Chase, Inc. upon each credit event of one of the issues of ABX AA 07-01 Index, par value of the proportional notional amount (Rating-C) (Upfront Premium Received/(Paid) $2,398,000) (m)

Sept. 2037

6,858

(6,407)

Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to JPMorgan Chase, Inc. upon each credit event of one of the issues of ABX AA 07-01 Index, par value of the proportional notional amount (Rating-C) (Upfront Premium Received/(Paid) $566,000) (m)

Sept. 2037

1,573

(1,470)

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 Premium Received/(Paid) $2,398,000) (m)

Sept. 2037

6,857

(6,407)

Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to UBS upon each credit event of one of the issues of ABX AA 07-1 Index, par value of the proportional notional amount (Rating-C) (Upfront Premium Received/(Paid) $2,332,000) (m)

Sept. 2037

6,669

(6,231)

Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to UBS upon each credit event of one of the issues of ABX AA 07-1 Index, par value of the proportional notional amount (Rating-C) (Upfront Premium Received/(Paid) $2,025,000) (m)

Sept. 2037

5,725

(5,349)

 

 

$ 36,049

$ (33,682)

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) Affiliated company

(h) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $820,355,000 or 4.0% of net assets.

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

(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 $37,256,000.

(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) Coupon rates for floating and adjustable rate securities reflect the rates in effect 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) Position or a portion of the position represents an unfunded loan commitment. At period end, the total principal amount and market value of unfunded commitments totaled $556,000 and $555,000, respectively. The coupon rate will be determined at time of settlement.

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

(s) 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 $58,737,000 or 0.3% of net assets.

Additional information on each restricted holding is as follows:

Security

Acquisition Date

Acquisition Cost (000s)

Facebook, Inc. Class B

3/31/11 - 5/19/11

$ 22,037

HMH Holdings, Inc.

3/9/10

$ 634

Legend Pictures LLC

9/23/10

$ 35,000

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
(Amounts in thousands)

$9,079,000 due 6/01/11 at 0.11%

BNP Paribas Securities Corp.

$ 4,286

Barclays Capital, Inc.

3,229

Merrill Lynch, Pierce, Fenner & Smith, Inc.

1,564

 

$ 9,079

$366,412,000 due 6/01/11 at 0.14%

J.P. Morgan Securities, Inc.

$ 238,666

Societe Generale

127,746

 

$ 366,412

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

$ 1,093

Fidelity Corporate Bond 1-10 Year Central Fund

12,501

Fidelity Mortgage Backed Securities Central Fund

22,609

Fidelity Securities Lending Cash Central Fund

2,625

Total

$ 38,828

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

$ -

$ 239,305*

$ 278,891

41.7%

Fidelity Mortgage Backed Securities Central Fund

818,951

292,810

-

1,120,998

9.8%

Total

$ 1,336,053

$ 292,810

$ 239,305

$ 1,399,889

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

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

$ -

$ -

$ -

$ 16,179

Neurocrine Biosciences, Inc.

12,570

13,417

5,422

-

30,787

Total

$ 28,952

$ 13,417

$ 5,422

$ -

$ 46,966

Other Information

The following is a summary of the inputs used, as of May 31, 2011, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the tables below, please refer to the Investment Valuation section at the end of this listing.

Valuation Inputs at Reporting Date:

Description
(Amounts in thousands)

Total

Level 1

Level 2

Level 3

Investments in Securities:

Equities:

Consumer Discretionary

$ 1,521,873

$ 1,478,453

$ 8,398

$ 35,022

Consumer Staples

1,322,958

1,241,618

81,340

-

Energy

1,976,797

1,956,086

20,711

-

Financials

1,671,482

1,638,086

20,616

12,780

Health Care

1,528,098

1,528,098

-

-

Industrials

1,623,315

1,623,040

-

275

Information Technology

2,405,515

2,382,489

-

23,026

Materials

710,274

707,343

2,931

-

Telecommunication Services

59,618

59,618

-

-

Utilities

151,098

114,925

36,173

-

Corporate Bonds

2,228,229

-

2,226,857

1,372

U.S. Government and Government Agency Obligations

1,815,800

-

1,815,800

-

U.S. Government Agency - Mortgage Securities

883,654

-

883,654

-

Asset-Backed Securities

77,206

-

68,010

9,196

Collateralized Mortgage Obligations

100,333

-

97,374

2,959

Commercial Mortgage Securities

307,715

-

274,078

33,637

Municipal Securities

19,156

-

19,156

-

Foreign Government and Government Agency Obligations

6,033

-

6,033

-

Supranational Obligations

153

-

153

-

Floating Rate Loans

201,746

-

201,746

-

Bank Notes

3,492

-

3,492

-

Preferred Securities

934

-

934

-

Fixed-Income Funds

1,399,889

1,399,889

-

-

Money Market Funds

835,818

835,818

-

-

Cash Equivalents

375,491

-

375,491

-

Total Investments in Securities:

$ 21,226,677

$ 14,965,463

$ 6,142,947

$ 118,267

Derivative Instruments:

Liabilities

Swap Agreements

$ (33,682)

$ -

$ (33,682)

$ -

Other Financial Instruments:

Forward Commitments

$ (892)

$ -

$ (892)

$ -

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

(Amounts in thousands)

 

Investments in Securities:

Beginning Balance

$ 78,422

Total Realized Gain (Loss)

3,949

Total Unrealized Gain (Loss)

6,897

Cost of Purchases

69,764

Proceeds of Sales

(19,167)

Amortization/Accretion

597

Transfers in to Level 3

5,147

Transfers out of Level 3

(27,342)

Ending Balance

$ 118,267

The change in unrealized gain (loss) for the period attributable to Level 3 securities held at May 31, 2011

$ 6,755

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, and includes the value of securities received through affiliated in-kind transactions. 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 May 31, 2011, the cost of investment securities for income tax purposes was $18,239,220,000. Net unrealized appreciation aggregated $2,987,457,000, of which $3,179,040,000 related to appreciated investment securities and $191,583,000 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.

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

Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day and are categorized as Level 1 in the hierarchy. Short-term securities with remaining maturities of sixty days or less may be valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy.

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

Credit Default Swap Agreements

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

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

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

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

The Fund is exposed to additional risks from investing in credit default swaps, such as liquidity risk and counterparty risk. Liquidity risk is the risk that the Fund will be unable to sell a credit default 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 the Fund the right to terminate all transactions traded under such agreement if there is a certain deterioration in the credit quality of the counterparty. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk, the Fund 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 payments 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. 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 $36,049,000 representing 0.18% 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 ® Balanced Fund

May 31, 2011 

1.800332.107

BAL-QTLY-0711

Investments May 31, 2011 (Unaudited)

Showing Percentage of Net Assets

Common Stocks - 59.5%

Shares

Value (000s)

CONSUMER DISCRETIONARY - 5.9%

Distributors - 0.0%

Indiabulls Wholesale Services Ltd.

517,347

$ 119

Hotels, Restaurants & Leisure - 1.3%

Arcos Dorados Holdings, Inc.

1,316,200

29,944

Betfair Group PLC (g)

2,188,373

30,202

Las Vegas Sands Corp. (a)

1,730,783

71,897

Pinnacle Entertainment, Inc. (a)

1,599,686

23,243

Starbucks Corp.

1,945,639

71,580

Yum! Brands, Inc.

1,194,307

66,069

 

292,935

Internet & Catalog Retail - 0.4%

Amazon.com, Inc. (a)

348,084

68,465

Priceline.com, Inc. (a)

27,000

13,910

 

82,375

Leisure Equipment & Products - 0.2%

Hasbro, Inc.

788,492

36,066

Media - 2.1%

CBS Corp. Class B

132,100

3,692

Comcast Corp. Class A

3,426,351

86,481

DIRECTV (a)

2,356,047

118,415

Legend Pictures LLC (a)(r)

8,571

6,428

The Walt Disney Co.

3,383,649

140,861

Time Warner, Inc.

3,102,255

113,015

 

468,892

Multiline Retail - 0.2%

Dollar General Corp. (a)

1,462,000

51,272

Specialty Retail - 1.1%

Abercrombie & Fitch Co. Class A

1,000,971

75,844

Limited Brands, Inc.

1,128,687

45,102

Lowe's Companies, Inc.

2,338,695

56,456

Urban Outfitters, Inc. (a)

849,100

25,864

Williams-Sonoma, Inc.

1,055,712

41,331

 

244,597

Textiles, Apparel & Luxury Goods - 0.6%

Coach, Inc.

61,800

3,934

Crocs, Inc. (a)

1,484,242

33,737

LVMH Moet Hennessy - Louis Vuitton (g)

210,964

36,695

Common Stocks - continued

Shares

Value (000s)

CONSUMER DISCRETIONARY - continued

Textiles, Apparel & Luxury Goods - continued

Timberland Co. Class A (a)

1,013,506

$ 33,111

Warnaco Group, Inc. (a)

285,262

15,732

 

123,209

TOTAL CONSUMER DISCRETIONARY

1,299,465

CONSUMER STAPLES - 6.5%

Beverages - 2.4%

Anheuser-Busch InBev SA NV

609,626

36,851

Coca-Cola Bottling Co. Consolidated

98,503

6,648

Coca-Cola FEMSA SAB de CV sponsored ADR

85,625

7,442

Coca-Cola Icecek AS

383,794

5,277

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

228,425

7,205

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

1,840,750

40,423

Diageo PLC sponsored ADR

636,202

54,134

Embotelladora Andina SA sponsored ADR

248,626

7,086

Molson Coors Brewing Co. Class B

997,759

46,545

PepsiCo, Inc.

716,453

50,954

Pernod-Ricard SA

367,850

37,125

Remy Cointreau SA

51,215

4,200

The Coca-Cola Co.

3,400,334

227,176

 

531,066

Food & Staples Retailing - 0.7%

CVS Caremark Corp.

3,248,848

125,698

Fresh Market, Inc.

14,100

567

Wal-Mart Stores, Inc.

187,825

10,372

Walgreen Co.

459,722

20,058

 

156,695

Food Products - 0.6%

Archer Daniels Midland Co.

267,733

8,677

Bunge Ltd.

295,192

21,977

Danone (g)

199,700

14,638

Green Mountain Coffee Roasters, Inc. (a)

33,500

2,759

Nestle SA

579,558

37,203

Unilever NV unit

1,553,801

50,747

Viterra, Inc.

305,000

3,727

 

139,728

Household Products - 1.5%

Colgate-Palmolive Co.

383,866

33,600

Common Stocks - continued

Shares

Value (000s)

CONSUMER STAPLES - continued

Household Products - continued

Procter & Gamble Co.

4,229,300

$ 283,363

Reckitt Benckiser Group PLC

48,196

2,725

 

319,688

Personal Products - 0.4%

Avon Products, Inc.

1,661,732

49,370

L'Oreal SA

256,700

32,289

 

81,659

Tobacco - 0.9%

Altria Group, Inc.

561,904

15,767

British American Tobacco PLC sponsored ADR

1,342,818

121,324

Philip Morris International, Inc.

655,324

47,019

Souza Cruz Industria Comerico

635,000

7,976

 

192,086

TOTAL CONSUMER STAPLES

1,420,922

ENERGY - 7.8%

Energy Equipment & Services - 2.5%

Aker Drilling ASA (a)

662,100

2,127

Aker Solutions ASA

538,774

11,905

Baker Hughes, Inc.

1,424,395

105,306

C&J Energy Services, Inc. (a)(h)

374,800

5,809

Discovery Offshore S.A. (a)(h)

1,018,700

2,175

Dresser-Rand Group, Inc. (a)

244,724

12,868

Ensco International Ltd. ADR

378,060

20,158

Halliburton Co.

2,469,898

123,865

National Oilwell Varco, Inc.

698,355

50,687

Noble Corp.

1,126,808

47,179

Ocean Rig UDW, Inc. (a)

104,100

2,049

Oceaneering International, Inc.

261,349

21,300

Saipem SpA

341,124

17,997

Schlumberger Ltd.

599,124

51,357

TETRA Technologies, Inc. (a)

428,100

5,839

Transocean Ltd. (United States)

696,400

48,267

Vantage Drilling Co. (a)

4,677,101

9,354

 

538,242

Oil, Gas & Consumable Fuels - 5.3%

Alpha Natural Resources, Inc. (a)

526,835

28,865

Anadarko Petroleum Corp.

329,777

26,224

Common Stocks - continued

Shares

Value (000s)

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Apache Corp.

788,471

$ 98,243

BP PLC

797,221

6,139

BP PLC sponsored ADR

1,695,445

78,397

Canadian Natural Resources Ltd.

766,400

33,355

CVR Energy, Inc. (a)

268,724

5,874

Exxon Mobil Corp.

1,805,981

150,745

Falkland Oil & Gas Ltd. (a)

624,364

619

Frontier Oil Corp.

435,900

13,016

Holly Corp.

817,748

50,954

InterOil Corp. (a)(g)

284,231

17,338

Kosmos Energy Ltd.

239,800

4,592

Marathon Oil Corp.

2,065,223

111,873

Massey Energy Co.

513,986

33,923

Niko Resources Ltd.

218,400

18,097

Occidental Petroleum Corp.

1,045,248

112,730

Petrobank Energy & Resources Ltd. (a)

858,290

15,209

Petrominerales Ltd.

1

0 *

Repsol YPF SA

969,360

33,025

Resolute Energy Corp. (a)

855,062

14,878

Rockhopper Exploration PLC (a)

202,500

769

Rodinia Oil Corp.

449,500

826

Royal Dutch Shell PLC:

Class A sponsored ADR

40,577

2,898

Class B sponsored ADR (g)

2,348,747

169,861

Talisman Energy, Inc.

2,000,800

42,248

Targa Resources Corp.

195,200

6,816

Western Refining, Inc. (a)

610,388

10,639

Whiting Petroleum Corp. (a)

624,880

41,929

Williams Companies, Inc.

1,269,100

39,837

 

1,169,919

TOTAL ENERGY

1,708,161

FINANCIALS - 8.6%

Capital Markets - 1.0%

Credit Suisse Group

351,613

15,118

E*TRADE Financial Corp. (a)

1,656,500

26,189

Evercore Partners, Inc. Class A

187,300

6,932

ICAP PLC

913,200

7,275

Invesco Ltd.

922,382

22,755

Morgan Stanley

989,368

23,903

Common Stocks - continued

Shares

Value (000s)

FINANCIALS - continued

Capital Markets - continued

State Street Corp.

2,171,317

$ 99,381

TD Ameritrade Holding Corp.

660,500

14,234

 

215,787

Commercial Banks - 1.9%

Banco Macro SA sponsored ADR

144,500

4,690

BB&T Corp.

1,445,453

39,808

Comerica, Inc.

390,111

14,087

FirstMerit Corp.

754,648

12,293

Huntington Bancshares, Inc.

5,228,726

34,510

KeyCorp

1,632,100

13,824

PT Bank Rakyat Indonesia Tbk

8,919,500

6,636

Regions Financial Corp.

1,686,387

11,906

Sumitomo Mitsui Financial Group, Inc.

438,800

12,682

SunTrust Banks, Inc.

865,680

24,352

Synovus Financial Corp.

4,287,420

10,204

U.S. Bancorp, Delaware

5,255,952

134,552

Wells Fargo & Co.

3,529,508

100,132

 

419,676

Consumer Finance - 0.5%

Capital One Financial Corp.

875,881

47,595

Discover Financial Services

997,410

23,778

Green Dot Corp. Class A (g)

221,212

8,570

Promise Co. Ltd.

591,350

4,261

SLM Corp.

1,061,605

18,090

 

102,294

Diversified Financial Services - 2.3%

African Bank Investments Ltd.

2,441,811

12,764

Citigroup, Inc.

5,021,393

206,630

CME Group, Inc.

149,137

42,617

ING Groep NV (Certificaten Van Aandelen) (a)

263,700

3,196

JPMorgan Chase & Co.

5,586,484

241,560

NBH Holdings Corp. Class A (a)(h)

576,500

10,377

 

517,144

Insurance - 1.9%

ACE Ltd.

729,793

50,224

Amlin PLC

1,623,778

11,352

Aon Corp.

910,547

47,485

Berkshire Hathaway, Inc.:

Class A (a)

178

21,142

Common Stocks - continued

Shares

Value (000s)

FINANCIALS - continued

Insurance - continued

Berkshire Hathaway, Inc.: - continued

Class B (a)

541,300

$ 42,801

CNO Financial Group, Inc. (a)

1,328,065

10,279

Fairfax Financial Holdings Ltd. (sub. vtg.)

101,600

39,164

Genworth Financial, Inc. Class A (a)

927,396

10,303

MetLife, Inc.

3,237,253

142,763

Torchmark Corp.

233,600

15,488

Unum Group

1,269,629

33,404

 

424,405

Real Estate Investment Trusts - 0.7%

ProLogis Trust

2,754,377

45,612

Public Storage

289,395

34,247

SL Green Realty Corp.

218,432

19,661

The Macerich Co.

476,401

25,902

U-Store-It Trust

816,989

9,207

Weyerhaeuser Co.

672,000

14,475

 

149,104

Real Estate Management & Development - 0.2%

Ayala Land, Inc.

19,944,000

7,017

BR Malls Participacoes SA

1,476,400

17,094

CB Richard Ellis Group, Inc. Class A (a)

93,260

2,465

Indiabulls Real Estate Ltd. (a)

3,754,858

9,781

PT Lippo Karawaci Tbk

122,587,250

9,766

 

46,123

Thrifts & Mortgage Finance - 0.1%

Ocwen Financial Corp. (a)

1,905,390

22,903

TOTAL FINANCIALS

1,897,436

HEALTH CARE - 6.6%

Biotechnology - 1.2%

Amgen, Inc. (a)

1,397,334

84,595

AVEO Pharmaceuticals, Inc. (a)

380,100

6,967

AVEO Pharmaceuticals, Inc. (a)(r)

77,244

1,416

Biogen Idec, Inc. (a)

777,708

73,672

BioMarin Pharmaceutical, Inc. (a)

611,487

17,262

Exelixis, Inc. (a)

591,005

6,873

Gilead Sciences, Inc. (a)

1,434,444

59,874

Common Stocks - continued

Shares

Value (000s)

HEALTH CARE - continued

Biotechnology - continued

Human Genome Sciences, Inc. (a)

196,631

$ 5,382

Medivir AB (B Shares) (a)

325,143

7,559

 

263,600

Health Care Equipment & Supplies - 1.7%

Baxter International, Inc.

1,387,721

82,597

Boston Scientific Corp. (a)

5,151,900

36,991

C. R. Bard, Inc.

182,120

20,357

Covidien PLC

2,198,090

120,895

Edwards Lifesciences Corp. (a)

480,502

42,635

IDEXX Laboratories, Inc. (a)

51,751

4,074

Mako Surgical Corp. (a)(g)

693,194

22,820

Masimo Corp.

322,552

9,909

Quidel Corp. (a)

1,129,647

17,329

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

4,608,000

6,103

William Demant Holding A/S (a)

85,034

8,041

 

371,751

Health Care Providers & Services - 1.6%

CIGNA Corp.

768,288

38,330

HCA Holdings, Inc.

593,794

20,717

Henry Schein, Inc. (a)

685,513

49,234

McKesson Corp.

1,063,100

91,012

Medco Health Solutions, Inc. (a)

897,640

53,733

Omnicare, Inc.

308,151

9,688

Shanghai Pharmaceuticals Holding Co. Ltd. (H Shares)

1,267,700

3,725

UnitedHealth Group, Inc.

1,668,290

81,663

 

348,102

Life Sciences Tools & Services - 0.4%

Agilent Technologies, Inc. (a)

1,110,069

55,359

Illumina, Inc. (a)

519,165

37,421

 

92,780

Pharmaceuticals - 1.7%

Bayer AG

153,681

12,592

GlaxoSmithKline PLC sponsored ADR

579,300

25,176

Merck & Co., Inc.

2,024,250

74,391

Novo Nordisk A/S Series B

155,331

19,521

Pfizer, Inc.

6,342,678

136,050

Common Stocks - continued

Shares

Value (000s)

HEALTH CARE - continued

Pharmaceuticals - continued

Shire PLC sponsored ADR

532,700

$ 50,921

Valeant Pharmaceuticals International, Inc. (Canada)

1,158,397

60,720

 

379,371

TOTAL HEALTH CARE

1,455,604

INDUSTRIALS - 6.6%

Aerospace & Defense - 2.4%

Bombardier, Inc. Class B (sub. vtg.)

4,552,900

31,717

Goodrich Corp.

591,704

51,650

Honeywell International, Inc.

1,201,964

71,577

MTU Aero Engines Holdings AG

200,864

15,432

Precision Castparts Corp.

434,500

68,260

Safran SA

651,110

26,463

Textron, Inc.

1,531,844

35,049

The Boeing Co.

1,256,789

98,067

United Technologies Corp.

1,592,914

139,810

 

538,025

Building Products - 0.3%

Armstrong World Industries, Inc.

234,846

11,275

Lennox International, Inc.

517,858

24,137

Owens Corning (a)

865,708

33,070

 

68,482

Commercial Services & Supplies - 0.3%

Republic Services, Inc.

1,117,069

35,210

Stericycle, Inc. (a)

163,797

14,593

Swisher Hygiene, Inc. (a)(r)

1,582,581

9,401

 

59,204

Construction & Engineering - 0.3%

Fluor Corp.

429,536

29,608

Foster Wheeler AG (a)

805,796

27,607

 

57,215

Electrical Equipment - 0.9%

Acuity Brands, Inc.

356,838

21,753

Alstom SA

536,074

33,179

Cooper Industries PLC Class A

492,700

30,966

Emerson Electric Co.

1,010,186

55,106

Common Stocks - continued

Shares

Value (000s)

INDUSTRIALS - continued

Electrical Equipment - continued

GrafTech International Ltd. (a)

724,961

$ 15,326

Regal-Beloit Corp.

607,829

41,940

 

198,270

Industrial Conglomerates - 0.6%

General Electric Co.

7,068,402

138,823

Machinery - 1.1%

Caterpillar, Inc.

692,598

73,277

Charter International PLC

565,256

7,253

Cummins, Inc.

353,179

37,169

Danaher Corp.

1,085,359

59,185

Fanuc Ltd.

94,400

14,570

Flowserve Corp.

163,300

19,797

Pall Corp.

408,200

22,900

Vallourec SA

85,264

10,669

 

244,820

Road & Rail - 0.7%

CSX Corp.

786,616

62,379

Union Pacific Corp.

847,500

88,962

 

151,341

TOTAL INDUSTRIALS

1,456,180

INFORMATION TECHNOLOGY - 11.3%

Communications Equipment - 1.5%

Alcatel-Lucent SA sponsored ADR (a)

4,341,049

24,614

Aruba Networks, Inc. (a)

1,444,642

41,057

Ciena Corp. (a)

1,447,742

38,727

Juniper Networks, Inc. (a)

208,800

7,644

QUALCOMM, Inc.

3,504,915

205,353

 

317,395

Computers & Peripherals - 3.3%

Apple, Inc. (a)

1,456,004

506,442

Dell, Inc. (a)

719,012

11,562

EMC Corp. (a)

4,556,177

129,714

Imagination Technologies Group PLC (a)

1,229,399

9,976

NetApp, Inc. (a)

75,931

4,159

SanDisk Corp. (a)

199,571

9,484

Common Stocks - continued

Shares

Value (000s)

INFORMATION TECHNOLOGY - continued

Computers & Peripherals - continued

Seagate Technology

654,995

$ 11,004

Western Digital Corp. (a)

1,083,462

39,709

 

722,050

Electronic Equipment & Components - 0.0%

HLS Systems International Ltd. (a)

1,085,415

9,552

Internet Software & Services - 1.0%

Dice Holdings, Inc. (a)

430,228

6,354

eBay, Inc. (a)

1,020,693

31,815

Google, Inc. Class A (a)

199,620

105,603

Mail.ru Group Ltd. GDR (a)(h)

329,034

11,286

Renren, Inc. ADR

219,600

2,822

Sohu.com, Inc. (a)

202,375

16,317

WebMD Health Corp. (a)

1,059,812

50,532

Yandex NV

76,200

2,549

 

227,278

IT Services - 1.3%

Accenture PLC Class A

478,475

27,460

Cognizant Technology Solutions Corp. Class A (a)

167,085

12,705

Digital Garage, Inc. (a)

5,527

27,105

MasterCard, Inc. Class A

70,733

20,304

Visa, Inc. Class A

2,439,259

197,726

 

285,300

Semiconductors & Semiconductor Equipment - 2.7%

Advanced Semiconductor Engineering, Inc.

618,000

763

Amkor Technology, Inc. (a)

348,478

2,227

Analog Devices, Inc.

1,944,588

80,059

ARM Holdings PLC sponsored ADR

1,885,641

53,835

ASAT Holdings Ltd. (a)

88,719

0

ASML Holding NV

1,953,642

76,212

Avago Technologies Ltd.

781,085

26,393

Hynix Semiconductor, Inc.

203,340

5,675

Inotera Memories, Inc. (a)

36,887,880

16,290

Intersil Corp. Class A

1,039,979

14,924

KLA-Tencor Corp.

1,114,475

48,034

Lam Research Corp. (a)

983,439

46,217

Marvell Technology Group Ltd. (a)

3,130,305

50,836

Micron Technology, Inc. (a)

13,278,434

135,440

Nanya Technology Corp. (a)

22,101,245

9,027

Samsung Electronics Co. Ltd.

11,247

9,406

Common Stocks - continued

Shares

Value (000s)

INFORMATION TECHNOLOGY - continued

Semiconductors & Semiconductor Equipment - continued

Siliconware Precision Industries Co. Ltd. sponsored ADR

391,495

$ 2,607

Texas Instruments, Inc.

540,700

19,087

 

597,032

Software - 1.5%

Ariba, Inc. (a)

585,362

19,633

Check Point Software Technologies Ltd. (a)

2,265,106

124,400

Fortinet, Inc. (a)

198,727

9,636

Microsoft Corp.

4,584,297

114,653

Nuance Communications, Inc. (a)

695,837

15,281

Oracle Corp.

558,617

19,116

QLIK Technologies, Inc.

69,946

2,329

Taleo Corp. Class A (a)

533,897

19,930

 

324,978

TOTAL INFORMATION TECHNOLOGY

2,483,585

MATERIALS - 2.1%

Chemicals - 1.3%

Air Products & Chemicals, Inc.

455,680

43,331

Albemarle Corp.

194,737

13,795

Arkema SA

173,195

18,980

Ashland, Inc.

457,836

31,289

Celanese Corp. Class A

467,872

24,371

CF Industries Holdings, Inc.

113,700

17,485

Dow Chemical Co.

657,786

23,766

LyondellBasell Industries NV Class A

743,877

32,589

Monsanto Co.

223,923

15,907

Olin Corp.

515,384

12,380

Potash Corp. of Saskatchewan, Inc.

174,600

9,842

Solutia, Inc. (a)

1,138,449

28,427

The Mosaic Co.

62,800

4,449

 

276,611

Construction Materials - 0.0%

HeidelbergCement AG

102,708

7,142

Containers & Packaging - 0.1%

Ball Corp.

547,955

21,650

Rock-Tenn Co. Class A

148,251

11,390

 

33,040

Common Stocks - continued

Shares

Value (000s)

MATERIALS - continued

Metals & Mining - 0.7%

Anglo American PLC (United Kingdom)

1,253,550

$ 62,479

AngloGold Ashanti Ltd. sponsored ADR

690,221

31,723

Carpenter Technology Corp.

244,842

12,871

MacArthur Coal Ltd.

1,420,515

18,046

Reliance Steel & Aluminum Co.

328,600

16,926

Walter Energy, Inc.

65,945

8,213

 

150,258

TOTAL MATERIALS

467,051

TELECOMMUNICATION SERVICES - 2.0%

Diversified Telecommunication Services - 1.4%

AT&T, Inc.

2,510,084

79,218

CenturyLink, Inc.

3,205,401

138,441

Verizon Communications, Inc.

2,131,285

78,708

 

296,367

Wireless Telecommunication Services - 0.6%

American Tower Corp. Class A (a)

1,201,393

66,653

Clearwire Corp. Class A (a)

4,112,500

18,918

MetroPCS Communications, Inc. (a)

1,023,030

18,312

Sprint Nextel Corp. (a)

964,439

5,642

Vodafone Group PLC

6,376,500

17,730

Vodafone Group PLC sponsored ADR

439,406

12,317

 

139,572

TOTAL TELECOMMUNICATION SERVICES

435,939

UTILITIES - 2.1%

Electric Utilities - 0.9%

American Electric Power Co., Inc.

535,574

20,459

Edison International

1,508,707

59,383

Exelon Corp.

954,947

39,965

NextEra Energy, Inc.

1,468,754

85,114

 

204,921

Independent Power Producers & Energy Traders - 0.3%

AES Corp. (a)

1,824,622

23,647

Constellation Energy Group, Inc.

717,619

26,681

NRG Energy, Inc. (a)

502,532

12,443

 

62,771

Common Stocks - continued

Shares

Value (000s)

UTILITIES - continued

Multi-Utilities - 0.9%

CenterPoint Energy, Inc.

711,500

$ 13,753

NiSource, Inc.

983,500

19,965

PG&E Corp.

1,097,612

47,614

Public Service Enterprise Group, Inc.

1,598,153

53,538

Sempra Energy

931,660

51,400

 

186,270

TOTAL UTILITIES

453,962

TOTAL COMMON STOCKS

(Cost $10,943,798)

13,078,305

Preferred Stocks - 0.4%

 

 

 

 

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 - 0.4%

CONSUMER DISCRETIONARY - 0.4%

Automobiles - 0.4%

Volkswagen AG

447,899

79,518

TOTAL PREFERRED STOCKS

(Cost $70,159)

79,518

Nonconvertible Bonds - 7.1%

 

Principal Amount (000s)

 

CONSUMER DISCRETIONARY - 0.6%

Auto Components - 0.0%

DaimlerChrysler NA Holding Corp. 5.75% 9/8/11

$ 6,570

6,661

Household Durables - 0.1%

Fortune Brands, Inc.:

5.375% 1/15/16

8,904

9,673

5.875% 1/15/36

7,325

7,089

6.375% 6/15/14

1,494

1,666

Whirlpool Corp. 6.125% 6/15/11

1,250

1,252

 

19,680

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

$ 6,001

Comcast Corp.:

4.95% 6/15/16

2,207

2,424

5.15% 3/1/20

644

693

5.7% 5/15/18

11,911

13,342

6.4% 3/1/40

4,756

5,184

6.45% 3/15/37

2,326

2,528

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

3,612

3,844

Discovery Communications LLC:

3.7% 6/1/15

5,116

5,394

6.35% 6/1/40

4,773

5,146

Liberty Media Corp. 8.25% 2/1/30

1,710

1,665

NBC Universal, Inc.:

3.65% 4/30/15 (h)

6,489

6,823

5.15% 4/30/20 (h)

7,276

7,740

6.4% 4/30/40 (h)

6,271

6,814

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

7,397

9,033

Time Warner Cable, Inc.:

5.4% 7/2/12

2,870

3,010

5.85% 5/1/17

3,400

3,804

6.2% 7/1/13

2,729

3,001

6.75% 7/1/18

1,378

1,602

Time Warner, Inc.:

3.15% 7/15/15

392

404

5.875% 11/15/16

4,125

4,722

6.2% 3/15/40

3,821

3,981

6.5% 11/15/36

2,758

2,973

 

100,128

Specialty Retail - 0.0%

Staples, Inc. 7.375% 10/1/12

820

881

TOTAL CONSUMER DISCRETIONARY

127,350

CONSUMER STAPLES - 0.4%

Beverages - 0.1%

Anheuser-Busch InBev Worldwide, Inc.:

2.5% 3/26/13

3,211

3,295

5.375% 11/15/14

7,113

7,965

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

CONSUMER STAPLES - continued

Beverages - continued

Diageo Capital PLC 5.2% 1/30/13

$ 4,139

$ 4,433

FBG Finance Ltd. 5.125% 6/15/15 (h)

3,447

3,766

 

19,459

Food & Staples Retailing - 0.0%

CVS Caremark Corp.:

4.125% 5/15/21

8,125

7,991

6.302% 6/1/37 (o)

817

809

 

8,800

Food Products - 0.1%

Cargill, Inc. 6% 11/27/17 (h)

572

662

Kraft Foods, Inc.:

5.375% 2/10/20

8,116

8,884

5.625% 11/1/11

553

564

6.5% 8/11/17

8,854

10,398

6.75% 2/19/14

436

495

 

21,003

Tobacco - 0.2%

Altria Group, Inc.:

8.5% 11/10/13

483

563

9.7% 11/10/18

22,451

29,982

Reynolds American, Inc.:

6.75% 6/15/17

3,486

4,077

7.25% 6/15/37

7,569

8,462

 

43,084

TOTAL CONSUMER STAPLES

92,346

ENERGY - 1.0%

Energy Equipment & Services - 0.1%

DCP Midstream LLC 5.35% 3/15/20 (h)

6,637

7,091

El Paso Pipeline Partners Operating Co. LLC:

4.1% 11/15/15

7,675

8,044

6.5% 4/1/20

1,091

1,253

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

934

970

Weatherford International Ltd.:

4.95% 10/15/13

2,045

2,190

5.15% 3/15/13

2,673

2,839

 

22,387

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

ENERGY - continued

Oil, Gas & Consumable Fuels - 0.9%

Anadarko Petroleum Corp.:

5.95% 9/15/16

$ 718

$ 811

6.375% 9/15/17

13,514

15,538

BW Group Ltd. 6.625% 6/28/17 (h)

3,472

3,509

Canadian Natural Resources Ltd.:

5.15% 2/1/13

5,282

5,636

5.7% 5/15/17

424

488

ConocoPhillips 5.75% 2/1/19

9,619

11,211

Duke Capital LLC 6.25% 2/15/13

809

875

Duke Energy Field Services:

5.375% 10/15/15 (h)

1,435

1,599

6.45% 11/3/36 (h)

6,493

6,955

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

1,098

1,253

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

3,391

3,794

Enterprise Products Operating LP:

5.6% 10/15/14

715

798

5.65% 4/1/13

563

607

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

4,535

4,735

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

327

388

Marathon Petroleum Corp. 5.125% 3/1/21 (h)

4,207

4,388

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

6,234

6,858

Motiva Enterprises LLC:

5.75% 1/15/20 (h)

3,483

3,924

6.85% 1/15/40 (h)

9,822

11,706

Nakilat, Inc. 6.067% 12/31/33 (h)

2,490

2,527

Nexen, Inc.:

5.2% 3/10/15

1,067

1,172

5.875% 3/10/35

1,565

1,537

6.2% 7/30/19

893

1,016

6.4% 5/15/37

5,235

5,414

NGPL PipeCo LLC 6.514% 12/15/12 (h)

4,184

4,412

Petrobras International Finance Co. Ltd.:

3.875% 1/27/16

6,946

7,108

5.75% 1/20/20

14,905

15,809

6.875% 1/20/40

1,494

1,621

7.875% 3/15/19

7,382

8,907

Petroleos Mexicanos 6% 3/5/20

952

1,031

Plains All American Pipeline LP/PAA Finance Corp.:

3.95% 9/15/15

149

157

4.25% 9/1/12

718

745

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Plains All American Pipeline LP/PAA Finance Corp.: - continued

5% 2/1/21

$ 2,303

$ 2,396

6.125% 1/15/17

1,940

2,192

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

2,104

2,307

Ras Laffan Liquefied Natural Gas Co. Ltd. III:

4.5% 9/30/12 (h)

3,472

3,602

5.5% 9/30/14 (h)

5,137

5,599

5.832% 9/30/16 (h)

1,325

1,445

6.332% 9/30/27 (h)

5,910

6,346

6.75% 9/30/19 (h)

3,177

3,646

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

3,193

3,435

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

543

580

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

455

499

Suncor Energy, Inc.:

6.1% 6/1/18

9,624

11,099

6.85% 6/1/39

8,895

10,436

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

3,280

3,595

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

1,301

1,511

Western Gas Partners LP 5.375% 6/1/21

7,979

8,250

XTO Energy, Inc.:

4.9% 2/1/14

394

433

5% 1/31/15

1,414

1,586

5.65% 4/1/16

970

1,130

 

206,616

TOTAL ENERGY

229,003

FINANCIALS - 3.3%

Capital Markets - 0.6%

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

11,058

12,224

BlackRock, Inc. 4.25% 5/24/21

1,245

1,242

Goldman Sachs Group, Inc.:

3.7% 8/1/15

7,427

7,541

5.95% 1/18/18

4,684

5,074

6% 6/15/20

10,000

10,747

6.15% 4/1/18

1,671

1,832

6.25% 2/1/41

5,000

5,054

6.75% 10/1/37

5,715

5,742

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

FINANCIALS - continued

Capital Markets - continued

Janus Capital Group, Inc. 5.875% 9/15/11 (f)

$ 879

$ 887

JPMorgan Chase Capital XX 6.55% 9/29/36

11,840

12,142

Lazard Group LLC:

6.85% 6/15/17

4,528

5,068

7.125% 5/15/15

1,616

1,821

Merrill Lynch & Co., Inc.:

5.45% 2/5/13

5,465

5,818

6.4% 8/28/17

4,179

4,689

6.875% 4/25/18

5,473

6,237

Morgan Stanley:

4% 7/24/15

956

990

4.75% 4/1/14

3,169

3,341

5.45% 1/9/17

1,800

1,941

5.625% 9/23/19

1,795

1,874

5.75% 1/25/21

8,300

8,681

5.95% 12/28/17

646

709

6% 5/13/14

4,042

4,437

6% 4/28/15

2,091

2,320

6.625% 4/1/18

1,257

1,415

7.3% 5/13/19

6,528

7,517

The Bank of New York, Inc. 4.3% 5/15/14

6,301

6,839

UBS AG Stamford Branch 3.875% 1/15/15

11,500

12,148

 

138,330

Commercial Banks - 0.6%

Bank of America NA:

5.3% 3/15/17

14,492

15,323

6.1% 6/15/17

565

622

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

15,195

16,725

DBS Bank Ltd. (Singapore) 0.4808% 5/16/17 (h)(o)

4,537

4,480

Discover Bank:

7% 4/15/20

3,200

3,648

8.7% 11/18/19

2,425

3,026

Export-Import Bank of Korea:

5.25% 2/10/14 (h)

456

491

5.5% 10/17/12

2,649

2,787

Fifth Third Bancorp:

3.625% 1/25/16

4,058

4,151

4.5% 6/1/18

584

583

8.25% 3/1/38

4,070

5,077

Fifth Third Bank 4.75% 2/1/15

951

1,011

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

FINANCIALS - continued

Commercial Banks - continued

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

$ 2,859

$ 2,838

HBOS PLC 6.75% 5/21/18 (h)

560

565

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

1,908

2,199

JPMorgan Chase Bank 6% 10/1/17

2,460

2,766

KeyBank NA:

5.45% 3/3/16

2,765

3,019

5.8% 7/1/14

5,776

6,362

KeyCorp. 5.1% 3/24/21

3,752

3,905

Manufacturers & Traders Trust Co. 1.8045% 4/1/13 (o)

791

791

Marshall & Ilsley Bank:

4.85% 6/16/15

3,561

3,847

5% 1/17/17

4,951

5,387

5.25% 9/4/12

2,221

2,311

Regions Bank:

6.45% 6/26/37

6,564

6,129

7.5% 5/15/18

3,852

4,169

Regions Financial Corp.:

0.4785% 6/26/12 (o)

499

485

5.75% 6/15/15

1,443

1,475

7.75% 11/10/14

6,740

7,389

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

6,397

6,550

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

2,233

2,238

UnionBanCal Corp. 5.25% 12/16/13

777

839

Wachovia Bank NA:

4.8% 11/1/14

551

598

4.875% 2/1/15

1,653

1,790

Wachovia Corp.:

5.625% 10/15/16

3,991

4,458

5.75% 6/15/17

2,371

2,693

Wells Fargo & Co.:

3.625% 4/15/15

4,435

4,681

3.676% 6/15/16

3,236

3,363

 

138,771

Consumer Finance - 0.2%

Discover Financial Services:

6.45% 6/12/17

12,103

13,618

10.25% 7/15/19

862

1,149

General Electric Capital Corp.:

2.25% 11/9/15

5,578

5,502

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

FINANCIALS - continued

Consumer Finance - continued

General Electric Capital Corp.: - continued

2.95% 5/9/16

$ 1,523

$ 1,528

3.5% 6/29/15

1,574

1,648

5.625% 9/15/17

22,752

25,428

Household Finance Corp. 6.375% 10/15/11

2,184

2,232

HSBC Finance Corp. 5.9% 6/19/12

855

900

SLM Corp. 0.5038% 10/25/11 (o)

6,795

6,778

 

58,783

Diversified Financial Services - 0.7%

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

10,850

11,767

BP Capital Markets PLC:

3.125% 10/1/15

968

991

3.625% 5/8/14

7,827

8,235

4.5% 10/1/20

961

984

4.742% 3/11/21

6,000

6,209

Capital One Capital V 10.25% 8/15/39

4,592

4,885

Citigroup, Inc.:

4.75% 5/19/15

11,282

12,104

5.5% 4/11/13

8,594

9,193

6.125% 5/15/18

13,611

15,184

6.5% 8/19/13

25,586

28,128

JPMorgan Chase & Co.:

3.4% 6/24/15

949

981

4.625% 5/10/21

5,000

5,018

4.65% 6/1/14

8,500

9,203

6.3% 4/23/19

8,000

9,136

ORIX Corp. 5.48% 11/22/11

311

317

Prime Property Funding, Inc.:

5.125% 6/1/15 (h)

1,280

1,340

5.5% 1/15/14 (h)

816

878

5.7% 4/15/17 (h)

1,991

2,088

TECO Finance, Inc.:

4% 3/15/16

1,828

1,914

5.15% 3/15/20

10,344

11,097

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

4,215

4,510

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

4,049

4,231

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

1,303

1,317

 

149,710

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

FINANCIALS - continued

Insurance - 0.5%

Aon Corp.:

3.125% 5/27/16

$ 3,702

$ 3,720

3.5% 9/30/15

3,180

3,284

5% 9/30/20

3,164

3,276

6.25% 9/30/40

2,120

2,283

Assurant, Inc. 5.625% 2/15/14

2,245

2,412

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

452

492

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

1,750

1,838

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

287

308

Liberty Mutual Group, Inc.:

5% 6/1/21 (h)

8,005

7,869

6.5% 3/15/35 (h)

698

702

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

5,143

7,414

MetLife, Inc.:

2.375% 2/6/14

1,427

1,456

5% 6/15/15

941

1,035

5.875% 2/6/41

2,211

2,328

6.125% 12/1/11

800

822

6.75% 6/1/16

5,158

6,093

Metropolitan Life Global Funding I:

5.125% 4/10/13 (h)

452

482

5.125% 6/10/14 (h)

4,625

5,064

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

1,940

1,948

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

2,585

2,758

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

3,203

3,795

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

4,632

5,118

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

3,976

4,228

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

3,353

4,574

Pacific LifeCorp 6% 2/10/20 (h)

5,390

5,903

Prudential Financial, Inc.:

3.875% 1/14/15

5,340

5,629

5.15% 1/15/13

2,934

3,104

7.375% 6/15/19

2,520

3,022

8.875% 6/15/38 (o)

2,403

2,920

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

473

462

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

5,955

6,256

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

FINANCIALS - continued

Insurance - continued

Unum Group:

5.625% 9/15/20

$ 3,667

$ 3,891

7.125% 9/30/16

869

1,012

 

105,498

Real Estate Investment Trusts - 0.2%

AvalonBay Communities, Inc.:

4.95% 3/15/13

296

315

5.5% 1/15/12

1,481

1,523

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

977

1,075

Camden Property Trust:

5.375% 12/15/13

3,103

3,343

5.875% 11/30/12

542

574

Developers Diversified Realty Corp.:

4.75% 4/15/18

3,339

3,337

5.375% 10/15/12

4,036

4,181

7.5% 4/1/17

4,622

5,369

Duke Realty LP:

4.625% 5/15/13

967

1,016

5.875% 8/15/12

98

103

Equity One, Inc.:

6% 9/15/17

717

768

6.25% 12/15/14

1,000

1,097

6.25% 1/15/17

399

433

Federal Realty Investment Trust:

5.4% 12/1/13

355

384

5.9% 4/1/20

1,860

2,066

6% 7/15/12

3,443

3,621

6.2% 1/15/17

501

571

HRPT Properties Trust:

5.75% 11/1/15

719

778

6.25% 6/15/17

996

1,102

6.65% 1/15/18

676

763

Washington (REIT):

5.25% 1/15/14

476

514

5.95% 6/15/11

4,317

4,323

 

37,256

Real Estate Management & Development - 0.4%

AMB Property LP 5.9% 8/15/13

2,086

2,214

Arden Realty LP 5.2% 9/1/11

1,573

1,591

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

FINANCIALS - continued

Real Estate Management & Development - continued

BioMed Realty LP:

3.85% 4/15/16

$ 7,000

$ 7,099

6.125% 4/15/20

2,467

2,668

Brandywine Operating Partnership LP:

5.7% 5/1/17

129

140

5.75% 4/1/12

2,217

2,298

Digital Realty Trust LP:

4.5% 7/15/15

3,650

3,817

5.25% 3/15/21

4,138

4,208

Duke Realty LP:

5.4% 8/15/14

771

837

5.5% 3/1/16

3,075

3,337

5.625% 8/15/11

6,693

6,752

6.75% 3/15/20

560

642

8.25% 8/15/19

2,489

3,066

ERP Operating LP:

4.75% 7/15/20

5,288

5,481

5.5% 10/1/12

382

404

Liberty Property LP:

4.75% 10/1/20

7,482

7,640

5.125% 3/2/15

1,229

1,345

5.5% 12/15/16

1,772

1,959

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

1,036

1,277

Post Apartment Homes LP 6.3% 6/1/13

3,079

3,309

Regency Centers LP:

4.95% 4/15/14

494

525

5.25% 8/1/15

1,725

1,880

5.875% 6/15/17

877

990

Simon Property Group LP:

4.2% 2/1/15

2,640

2,844

6.75% 5/15/14

5,698

6,478

Tanger Properties LP:

6.125% 6/1/20

7,047

7,903

6.15% 11/15/15

1,254

1,408

 

82,112

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

FINANCIALS - continued

Thrifts & Mortgage Finance - 0.1%

Bank of America Corp. 5.875% 1/5/21

$ 9,085

$ 9,688

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

5,919

6,616

 

16,304

TOTAL FINANCIALS

726,764

HEALTH CARE - 0.1%

Biotechnology - 0.0%

Celgene Corp. 2.45% 10/15/15

907

901

Health Care Providers & Services - 0.1%

Coventry Health Care, Inc.:

5.95% 3/15/17

1,413

1,529

6.3% 8/15/14

2,925

3,151

Express Scripts, Inc.:

3.125% 5/15/16

6,890

6,964

6.25% 6/15/14

1,991

2,250

Medco Health Solutions, Inc.:

2.75% 9/15/15

1,740

1,758

4.125% 9/15/20

5,031

4,983

 

20,635

Pharmaceuticals - 0.0%

Novartis Capital Corp. 4.125% 2/10/14

2,369

2,555

Roche Holdings, Inc. 5% 3/1/14 (h)

3,057

3,358

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

1,065

1,161

 

7,074

TOTAL HEALTH CARE

28,610

INDUSTRIALS - 0.1%

Aerospace & Defense - 0.0%

BAE Systems Holdings, Inc.:

4.95% 6/1/14 (h)

846

911

6.375% 6/1/19 (h)

5,000

5,750

6.4% 12/15/11 (h)

661

682

 

7,343

Airlines - 0.0%

Continental Airlines, Inc.:

6.648% 3/15/19

3,058

3,234

6.9% 7/2/19

900

955

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

INDUSTRIALS - continued

Airlines - continued

U.S. Airways pass-thru trust certificates:

6.85% 7/30/19

$ 1,940

$ 1,863

8.36% 1/20/19

1,456

1,536

 

7,588

Industrial Conglomerates - 0.1%

General Electric Co. 5.25% 12/6/17

10,356

11,644

TOTAL INDUSTRIALS

26,575

INFORMATION TECHNOLOGY - 0.1%

Electronic Equipment & Components - 0.1%

Tyco Electronics Group SA:

5.95% 1/15/14

3,694

4,087

6% 10/1/12

4,552

4,847

6.55% 10/1/17

1,119

1,327

 

10,261

Office Electronics - 0.0%

Xerox Corp.:

4.25% 2/15/15

545

583

5.5% 5/15/12

1,881

1,963

 

2,546

TOTAL INFORMATION TECHNOLOGY

12,807

MATERIALS - 0.2%

Chemicals - 0.1%

Dow Chemical Co.:

4.85% 8/15/12

3,469

3,627

7.6% 5/15/14

10,939

12,754

 

16,381

Construction Materials - 0.0%

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

2,152

2,390

Metals & Mining - 0.1%

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

1,278

1,547

ArcelorMittal SA 3.75% 3/1/16

2,109

2,142

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

1,597

1,659

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

1,618

1,732

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

MATERIALS - continued

Metals & Mining - continued

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

$ 4,497

$ 4,081

Vale Overseas Ltd. 6.25% 1/23/17

2,726

3,117

 

14,278

TOTAL MATERIALS

33,049

TELECOMMUNICATION SERVICES - 0.5%

Diversified Telecommunication Services - 0.4%

AT&T, Inc.:

2.5% 8/15/15

6,691

6,774

6.3% 1/15/38

10,000

10,694

6.8% 5/15/36

9,241

10,405

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

1,158

1,454

CenturyLink, Inc.:

6.15% 9/15/19

3,372

3,573

7.6% 9/15/39

5,997

6,134

Sprint Capital Corp. 6.875% 11/15/28

9,000

8,741

Telecom Italia Capital SA:

4.95% 9/30/14

3,767

3,989

5.25% 10/1/15

3,073

3,257

6.999% 6/4/18

8,694

9,736

7.175% 6/18/19

771

875

Telefonica Emisiones SAU:

5.134% 4/27/20

772

789

5.462% 2/16/21

4,994

5,188

6.421% 6/20/16

939

1,063

Verizon Communications, Inc.:

6.1% 4/15/18

2,674

3,082

6.25% 4/1/37

4,611

4,994

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

3,115

3,273

 

84,021

Wireless Telecommunication Services - 0.1%

America Movil SAB de CV 3.625% 3/30/15

1,082

1,138

DIRECTV Holdings LLC/DIRECTV Financing, Inc.:

4.75% 10/1/14

13,460

14,749

5.875% 10/1/19

8,810

9,849

6.35% 3/15/40

2,500

2,686

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

TELECOMMUNICATION SERVICES - continued

Wireless Telecommunication Services - continued

Vodafone Group PLC:

5% 12/16/13

$ 2,696

$ 2,941

5.5% 6/15/11

2,232

2,236

 

33,599

TOTAL TELECOMMUNICATION SERVICES

117,620

UTILITIES - 0.8%

Electric Utilities - 0.5%

Alabama Power Co. 3.375% 10/1/20

3,896

3,796

Ameren Illinois Co. 6.125% 11/15/17

333

383

AmerenUE 6.4% 6/15/17

3,507

4,089

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

4,829

5,260

Commonwealth Edison Co. 1.625% 1/15/14

4,248

4,281

Duquesne Light Holdings, Inc.:

5.9% 12/1/21 (h)

4,409

4,460

6.4% 9/15/20 (h)

10,335

10,848

Edison International 3.75% 9/15/17

4,275

4,313

EDP Finance BV:

4.9% 10/1/19 (h)

1,900

1,712

6% 2/2/18 (h)

2,801

2,726

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

305

325

FirstEnergy Corp. 7.375% 11/15/31

7,646

8,890

FirstEnergy Solutions Corp.:

4.8% 2/15/15

1,798

1,928

6.05% 8/15/21

5,466

6,011

LG&E and KU Energy LLC:

2.125% 11/15/15 (h)

4,999

4,871

3.75% 11/15/20 (h)

984

938

Nevada Power Co.:

6.5% 5/15/18

5,290

6,204

6.5% 8/1/18

1,844

2,165

Pennsylvania Electric Co. 6.05% 9/1/17

618

691

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

4,728

4,759

Progress Energy, Inc. 4.4% 1/15/21

18,218

18,718

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

1,831

1,994

Tampa Electric Co. 6.15% 5/15/37

4,486

5,086

 

104,448

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

UTILITIES - continued

Gas Utilities - 0.0%

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

$ 357

$ 409

Independent Power Producers & Energy Traders - 0.1%

Duke Capital LLC 5.668% 8/15/14

2,413

2,686

Exelon Generation Co. LLC:

4% 10/1/20

8,787

8,454

5.35% 1/15/14

1,235

1,343

 

12,483

Multi-Utilities - 0.2%

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

2,763

3,010

Dominion Resources, Inc.:

6.3% 9/30/66 (o)

13,426

13,292

7.5% 6/30/66 (o)

3,828

4,058

DTE Energy Co. 7.05% 6/1/11

1,155

1,155

MidAmerican Energy Holdings, Co.:

5.875% 10/1/12

3,227

3,435

6.5% 9/15/37

3,287

3,799

National Grid PLC 6.3% 8/1/16

407

470

NiSource Finance Corp.:

5.25% 9/15/17

682

746

5.4% 7/15/14

6,582

7,263

5.45% 9/15/20

980

1,050

6.25% 12/15/40

1,664

1,770

6.4% 3/15/18

1,557

1,786

6.8% 1/15/19

4,065

4,753

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

3,554

3,598

 

50,185

TOTAL UTILITIES

167,525

TOTAL NONCONVERTIBLE BONDS

(Cost $1,426,620)

1,561,649

U.S. Government and Government Agency Obligations - 11.8%

 

Principal Amount (000s)

Value (000s)

U.S. Government Agency Obligations - 0.2%

Fannie Mae 2.75% 3/13/14

$ 12,990

$ 13,664

Tennessee Valley Authority 3.875% 2/15/21

39,390

40,950

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS

54,614

U.S. Treasury Inflation Protected Obligations - 1.1%

U.S. Treasury Inflation-Indexed Bonds:

2.125% 2/15/40

148,133

159,802

2.125% 2/15/41

72,663

78,240

TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS

238,042

U.S. Treasury Obligations - 10.5%

U.S. Treasury Bills, yield at date of purchase 0.03% to 0.14% 6/2/11(c)

8,600

8,600

U.S. Treasury Bonds 4.75% 2/15/41

150,129

163,922

U.S. Treasury Notes:

1% 10/31/11

70,000

70,254

1% 5/15/14 (g)

1,041,492

1,048,415

1.75% 5/31/16

154,268

154,726

2.375% 5/31/18

24,902

24,898

3.125% 4/30/17 (l)

440,000

467,363

3.125% 5/15/21

300,619

302,498

3.625% 2/15/21

57,490

60,454

TOTAL U.S. TREASURY OBLIGATIONS

2,301,130

TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $2,566,444)

2,593,786

U.S. Government Agency - Mortgage Securities - 5.7%

 

Fannie Mae - 3.8%

2.589% 6/1/36 (o)

204

212

3.5% 1/1/21 to 3/1/41

60,592

59,616

3.533% 7/1/37 (o)

640

672

4% 9/1/24 to 4/1/41

53,505

53,983

4% 6/1/41 (j)(k)

11,000

11,077

4.5% 6/1/24 to 5/1/41

230,467

239,757

4.5% 6/1/26 (j)

1,500

1,590

5% 6/1/24 to 5/1/41

107,621

114,998

U.S. Government Agency - Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Fannie Mae - continued

5% 6/1/41 (j)(k)

$ 56,000

$ 59,610

5% 6/1/41 (j)

3,000

3,193

5% 6/1/41 (j)

14,000

14,902

5% 6/1/41 (j)

11,000

11,709

5% 6/1/41 (j)

18,000

19,160

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

40,803

44,394

5.5% 6/1/41 (j)

14,900

16,153

6% 2/1/23 to 2/1/40 (j)

98,426

108,377

6% 6/1/41 (j)

26,300

28,934

6% 6/1/41 (j)(k)

37,300

41,036

6% 6/1/41 (j)

4,000

4,401

TOTAL FANNIE MAE

833,774

Freddie Mac - 1.1%

3.281% 10/1/35 (o)

296

315

4% 6/1/41 (j)

9,000

9,053

4.5% 7/1/25 to 4/1/41

11,337

11,808

4.5% 6/1/41 (j)

56,600

58,728

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

53,506

57,176

5.5% 1/1/28 to 3/1/40

90,926

98,488

5.5% 6/1/41 (j)

12,200

13,212

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

1,759

1,939

6.5% 3/1/36

1,675

1,895

TOTAL FREDDIE MAC

252,614

Ginnie Mae - 0.8%

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

25,287

26,708

4.5% 3/15/41

8,970

9,506

4.5% 6/1/41 (j)(k)

41,000

43,351

4.5% 6/1/41 (j)

32,000

33,835

4.5% 6/1/41 (j)

300

317

5% 5/15/34 to 5/15/39

3,000

3,251

5% 6/1/41 (j)

13,000

14,078

5% 6/1/41 (j)

6,000

6,497

5% 6/1/41 (j)

12,000

12,995

U.S. Government Agency - Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Ginnie Mae - continued

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

$ 1,846

$ 2,038

6% 2/15/34

12,654

14,175

TOTAL GINNIE MAE

166,751

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $1,236,799)

1,253,139

Asset-Backed Securities - 0.5%

 

Accredited Mortgage Loan Trust Series 2005-1 Class M1, 0.664% 4/25/35 (o)

1,741

1,219

ACE Securities Corp. Home Equity Loan Trust:

Series 2004-HE1:

Class M1, 0.944% 3/25/34 (o)

38

38

Class M2, 1.844% 3/25/34 (o)

482

388

Series 2005-HE2 Class M2, 0.644% 4/25/35 (o)

170

163

Series 2006-OP1 Class M4, 0.564% 4/25/36 (o)

158

1

Ally Master Owner Trust:

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

3,320

3,420

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

6,360

6,472

Series 2011-3 Class A2, 1.87% 5/15/16

5,770

5,784

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

777

793

Ameriquest Mortgage Securities, Inc. pass-thru certificates:

Series 2003-10 Class M1, 0.894% 12/25/33 (o)

99

80

Series 2004-R2 Class M3, 0.744% 4/25/34 (o)

147

42

Series 2004-R8 Class M9, 2.944% 9/25/34 (o)

334

1

Series 2005-R2 Class M1, 0.644% 4/25/35 (o)

2,266

1,956

Argent Securities, Inc. pass-thru certificates:

Series 2003-W7 Class A2, 0.9926% 3/25/34 (o)

53

40

Series 2004-W11 Class M2, 0.894% 11/25/34 (o)

616

530

Series 2004-W7 Class M1, 0.744% 5/25/34 (o)

1,600

1,216

Series 2006-W4 Class A2C, 0.354% 5/25/36 (o)

1,512

462

Asset Backed Securities Corp. Home Equity Loan Trust:

Series 2004-HE2 Class M1, 1.019% 4/25/34 (o)

2,929

2,347

Series 2006-HE2 Class M1, 0.564% 3/25/36 (o)

210

3

Axon Financial Funding Ltd. 0.873% 4/4/17 (e)(h)(o)

6,960

0 *

Brazos Higher Education Authority, Inc. Series 2006-2 Class A9, 0.318% 12/25/24 (o)

1,767

1,599

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

C-BASS Trust Series 2006-CB7 Class A2, 0.254% 10/25/36 (o)

$ 72

$ 71

Capital Auto Receivables Asset Trust:

Series 2006-2 Class C, 5.31% 6/15/12

1,044

1,053

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

583

600

Capital Trust Ltd. Series 2004-1:

Class A2, 0.6458% 7/20/39 (h)(o)

476

381

Class B, 0.9458% 7/20/39 (h)(o)

290

119

Class C, 1.2958% 7/20/39 (h)(o)

372

19

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

641

646

Carrington Mortgage Loan Trust:

Series 2006-FRE1 Class M1, 0.494% 7/25/36 (o)

5,102

211

Series 2006-NC4 Class M1, 0.494% 10/25/36 (o)

3,478

240

Series 2007-RFC1 Class A3, 0.334% 12/25/36 (o)

1,978

693

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

13,320

13,646

Citigroup Mortgage Loan Trust:

Series 2005-HE4 Class A2C, 0.464% 10/25/35 (o)

1,718

1,681

Series 2007-AMC4 Class M1, 0.464% 5/25/37 (o)

840

48

Countrywide Asset-Backed Certificates Trust:

Series 2007-11 Class 2A1, 0.254% 6/25/47 (o)

52

52

Series 2007-4 Class A1A, 0.3326% 9/25/37 (o)

440

423

Series 2007-5 Class 2A1, 0.294% 9/25/47 (o)

4,314

4,219

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

363

0

Countrywide Home Loans, Inc.:

Series 2004-3 Class M4, 1.164% 4/25/34 (o)

175

85

Series 2004-4 Class M2, 0.989% 6/25/34 (o)

645

362

Series 2005-3 Class MV1, 0.614% 8/25/35 (o)

781

750

Series 2005-AB1 Class A2, 0.404% 8/25/35 (o)

80

79

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

229

230

Fannie Mae subordinate REMIC pass-thru certificates Series 2004-T5 Class AB3, 0.7199% 5/28/35 (o)

43

30

Fieldstone Mortgage Investment Corp.:

Series 2004-3 Class M5, 2.369% 8/25/34 (o)

319

185

Series 2006-3 Class 2A3, 0.354% 11/25/36 (o)

6,512

2,625

First Franklin Mortgage Loan Trust:

Series 2004-FF2 Class M3, 1.019% 3/25/34 (o)

25

10

Series 2006-FF14 Class A2, 0.254% 10/25/36 (o)

1,340

1,303

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

528

532

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

Ford Credit Floorplan Master Owner Trust:

Series 2006-4 Class B, 0.748% 6/15/13 (o)

$ 848

$ 847

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

7,020

7,055

Franklin Auto Trust:

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

36

36

Series 2007-1:

Class A4, 5.03% 2/16/15

140

140

Class C, 5.43% 2/16/15

613

614

Fremont Home Loan Trust:

Series 2005-A:

Class M3, 0.684% 1/25/35 (o)

1,041

509

Class M4, 0.874% 1/25/35 (o)

399

126

Series 2006-D Class M1, 0.424% 11/25/36 (o)

234

8

GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 0.6368% 2/25/47 (h)(o)

3,122

1,842

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

1,228

978

GE Business Loan Trust:

Series 2003-1 Class A, 0.628% 4/15/31 (h)(o)

264

247

Series 2006-2A:

Class A, 0.378% 11/15/34 (h)(o)

1,843

1,530

Class B, 0.478% 11/15/34 (h)(o)

665

432

Class C, 0.578% 11/15/34 (h)(o)

1,106

553

Class D, 0.948% 11/15/34 (h)(o)

420

105

Goal Capital Funding Trust Series 2007-1 Class C1, 0.708% 6/25/42 (o)

736

714

GS Auto Loan Trust Series 2007-1 Class B, 5.53% 12/15/14

27

27

GSAMP Trust:

Series 2004-AR1 Class M1, 0.844% 6/25/34 (o)

2,938

1,982

Series 2007-HE1 Class M1, 0.444% 3/25/47 (o)

1,186

69

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

Class B, 0.594% 9/25/46 (h)(o)

719

374

Class C, 0.744% 9/25/46 (h)(o)

1,676

335

Home Equity Asset Trust:

Series 2003-2 Class M1, 1.514% 8/25/33 (o)

423

302

Series 2003-3 Class M1, 1.484% 8/25/33 (o)

819

670

Series 2003-5 Class A2, 0.894% 12/25/33 (o)

36

25

Series 2005-5 Class 2A2, 0.444% 11/25/35 (o)

73

72

Series 2006-1 Class 2A3, 0.419% 4/25/36 (o)

1,148

1,122

Series 2006-8 Class 2A1, 0.244% 3/25/37 (o)

4

4

HSBC Home Equity Loan Trust Series 2006-2 Class M2, 0.4858% 3/20/36 (o)

764

649

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.384% 1/25/37 (o)

$ 1,642

$ 760

JPMorgan Mortgage Acquisition Trust:

Series 2006-NC2 Class M2, 0.494% 7/25/36 (o)

3,185

115

Series 2007-CH1:

Class AV4, 0.324% 11/25/36 (o)

1,641

1,397

Class MV1, 0.424% 11/25/36 (o)

1,335

874

Series 2007-CH3 Class M1, 0.494% 3/25/37 (o)

574

30

Keycorp Student Loan Trust:

Series 1999-A Class A2, 0.6385% 12/27/29 (o)

778

669

Series 2006-A Class 2C, 1.4585% 3/27/42 (o)

2,909

586

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

1,197

1,207

Long Beach Mortgage Loan Trust Series 2004-2 Class M2, 1.274% 6/25/34 (o)

101

71

Marriott Vacation Club Owner Trust Series 2006-2A:

Class B, 5.442% 10/20/28 (h)

14

15

Class C, 5.691% 10/20/28 (h)

6

7

Class D, 6.01% 10/20/28 (h)

77

78

MASTR Asset Backed Securities Trust:

Series 2006-AM3 Class M1, 0.454% 10/25/36 (o)

589

34

Series 2007-HE1 Class M1, 0.494% 5/25/37 (o)

861

46

Meritage Mortgage Loan Trust Series 2004-1 Class M1, 0.944% 7/25/34 (o)

181

118

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

29

29

Merrill Lynch Mortgage Investors Trust:

Series 2003-OPT1 Class M1, 1.169% 7/25/34 (o)

629

431

Series 2006-FM1 Class A2B, 0.304% 4/25/37 (o)

2,109

1,815

Series 2006-MLN1 Class A2A, 0.264% 7/25/37 (o)

10

10

Series 2006-OPT1 Class A1A, 0.454% 6/25/35 (o)

3,298

2,640

Morgan Stanley ABS Capital I Trust:

Series 2004-HE6 Class A2, 0.534% 8/25/34 (o)

63

50

Series 2005-NC1 Class M1, 0.634% 1/25/35 (o)

439

298

Series 2005-NC2 Class B1, 1.364% 3/25/35 (o)

457

64

Series 2007-HE2 Class M1, 0.444% 1/25/37 (o)

4,086

115

National Collegiate Student Loan Trust:

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

1,965

226

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

201

2

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

348

11

Series 2006-4:

Class A1, 0.224% 3/25/25 (o)

76

75

Class AIO, 6.35% 2/27/12 (q)

1,181

46

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

National Collegiate Student Loan Trust: - continued

Series 2006-4:

Class D, 1.294% 5/25/32 (o)

$ 2,225

$ 17

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

1,587

91

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

1,351

92

New Century Home Equity Loan Trust:

Series 2005-4 Class M2, 0.704% 9/25/35 (o)

1,566

1,013

Series 2005-D Class M2, 0.664% 2/25/36 (o)

857

252

Ocala Funding LLC:

Series 2005-1A Class A, 1.6958% 3/20/10 (e)(h)(o)

621

0

Series 2006-1A Class A, 1.5958% 3/20/11 (e)(h)(o)

1,290

0

Option One Mortgage Loan Trust:

Series 2007-5 Class 2A1, 0.284% 5/25/37 (o)

51

50

Series 2007-6 Class 2A1, 0.254% 7/25/37 (o)

115

112

Park Place Securities, Inc.:

Series 2004-WCW1:

Class M3, 1.444% 9/25/34 (o)

585

358

Class M4, 1.644% 9/25/34 (o)

750

236

Series 2005-WCH1:

Class M2, 0.714% 1/25/36 (o)

2,624

2,459

Class M3, 0.754% 1/25/36 (o)

525

363

Class M4, 1.024% 1/25/36 (o)

1,620

854

Series 2005-WHQ2 Class M7, 1.444% 5/25/35 (o)

1,920

26

Residential Asset Mortgage Products, Inc. Series 2006-EFC2 Class M1, 0.424% 12/25/36 (o)

390

12

Residential Asset Securities Corp. Series 2007-KS2 Class AI1, 0.264% 2/25/37 (o)

29

28

Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 0.994% 4/25/33 (o)

6

5

Saxon Asset Securities Trust Series 2004-1 Class M1, 0.989% 3/25/35 (o)

1,625

1,296

Securitized Asset Backed Receivables LLC Trust:

Series 2005-FR4 Class B3, 1.914% 1/25/36 (o)

50

0 *

Series 2006-FR4 Class A2A, 0.274% 8/25/36 (o)

552

201

Series 2007-NC1 Class A2A, 0.244% 12/25/36 (o)

154

149

Sierra Receivables Funding Co. Series 2007-1A Class A2, 0.363% 3/20/19 (FGIC Insured) (h)(o)

746

711

SLM Private Credit Student Loan Trust Series 2004-A Class C, 1.2595% 6/15/33 (o)

1,396

229

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

655

0

Structured Asset Investment Loan Trust Series 2004-8 Class M5, 1.344% 9/25/34 (o)

77

34

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

766

785

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

Terwin Mortgage Trust Series 2003-4HE Class A1, 1.054% 9/25/34 (o)

$ 32

$ 25

Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 0.8568% 4/6/42 (h)(o)

2,151

65

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

974

0

WaMu Master Note Trust Series 2006-C2A Class C2, 0.698% 8/15/15 (h)(o)

9,213

9,203

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

8

0

Whinstone Capital Management Ltd. Series 1A Class B3, 2.0738% 10/25/44 (h)(o)

1,964

1,159

TOTAL ASSET-BACKED SECURITIES

(Cost $106,685)

109,858

Collateralized Mortgage Obligations - 0.6%

 

Private Sponsor - 0.6%

Banc of America Commercial Mortgage Trust Series 2007-2:

Class B, 5.6578% 4/10/49 (o)

73

49

Class C, 5.8361% 4/10/49 (o)

194

110

Class D, 5.8361% 4/10/49 (o)

97

42

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

3,693

3,765

Banc of America Mortgage Securities, Inc.:

Series 2003-L Class 2A1, 2.9037% 1/25/34 (o)

1,813

1,704

Series 2004-1 Class 2A2, 3.2308% 10/25/34 (o)

1,837

1,660

Series 2004-A Class 2A2, 2.8609% 2/25/34 (o)

916

816

Series 2004-B:

Class 1A1, 2.7465% 3/25/34 (o)

145

132

Class 2A2, 2.8678% 3/25/34 (o)

1,127

1,072

Series 2004-D Class 2A2, 2.8778% 5/25/34 (o)

1,766

1,618

Series 2004-G Class 2A7, 3.021% 8/25/34 (o)

1,655

1,487

Series 2004-H Class 2A1, 3.1658% 9/25/34 (o)

1,445

1,295

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

34,384

2,355

Bear Stearns ALT-A Trust floater Series 2005-1 Class A1, 0.754% 1/25/35 (o)

2,316

1,858

Bear Stearns Commercial Mortgage Securities Trust Series 2006-T24 Class X2, 0.6062% 10/12/41 (h)(o)(q)

3,688

38

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

Private Sponsor - continued

Chase Mortgage Finance Trust:

Series 2007-A1 Class 1A5, 2.938% 2/25/37 (o)

$ 440

$ 436

Series 2007-A2 Class 2A1, 3.0641% 7/25/37 (o)

3,595

3,588

Citigroup Commercial Mortgage Trust Series 2008-C7 Class A2B, 6.2942% 12/10/49 (o)

1,314

1,380

Citigroup Mortgage Loan Trust Series 2004-UST1 Class A4, 2.3824% 8/25/34 (o)

1,035

1,032

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

1,468

573

COMM pass-thru certificates floater Series 2001-J2A Class A2F, 0.698% 7/16/34 (h)(o)

179

179

Credit Suisse First Boston Mortgage Securities Corp. floater Series 2007-AR7 Class 2A1, 2.8944% 11/25/34 (o)

230

215

First Horizon Mortgage pass-thru Trust Series 2004-AR5 Class 2A1, 2.8757% 10/25/34 (o)

1,443

1,387

Fosse Master Issuer PLC floater Series 2006-1A:

Class B2, 0.4355% 10/18/54 (h)(o)

1,269

1,267

Class C2, 0.7455% 10/18/54 (h)(o)

425

423

Class M2, 0.5255% 10/18/54 (h)(o)

729

727

Gracechurch Mortgage Financing PLC floater Series 2006-1 Class D2, 0.73% 11/20/56 (h)(o)

3,161

3,120

Granite Master Issuer PLC floater:

Series 2005-4 Class C2, 1.2958% 12/20/54 (o)

206

133

Series 2006-1A Class C2, 1.3958% 12/20/54 (h)(o)

7,110

4,622

Series 2006-2 Class C1, 0.6658% 12/20/54 (o)

5,920

3,848

Series 2006-3 Class C2, 0.6958% 12/20/54 (o)

1,233

801

Series 2006-4:

Class B1, 0.2858% 12/20/54 (o)

4,556

3,918

Class C1, 0.5758% 12/20/54 (o)

2,785

1,810

Class M1, 0.3658% 12/20/54 (o)

1,198

916

Series 2007-1:

Class 1C1, 0.7958% 12/20/54 (o)

2,417

1,571

Class 1M1, 0.4958% 12/20/54 (o)

1,611

1,232

Class 2C1, 1.1558% 12/20/54 (o)

1,098

714

Class 2M1, 0.6958% 12/20/54 (o)

2,067

1,581

Series 2007-2 Class 2C1, 0.6271% 12/17/54 (o)

2,864

1,862

Granite Mortgages PLC floater Series 2003-3 Class 1C, 2.724% 1/20/44 (o)

472

364

GSR Mortgage Loan Trust Series 2007-AR2 Class 2A1, 2.7448% 4/25/35 (o)

672

578

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

Private Sponsor - continued

Harborview Mortgage Loan Trust floater Series 2005-2 Class 2A1A, 0.417% 5/19/35 (o)

$ 394

$ 262

JPMorgan Chase Commercial Mortgage Securities Trust Series 2007-CB18:

Class A1, 5.32% 6/12/47 (o)

31

31

Class A3, 5.447% 6/12/47 (o)

2,492

2,607

JPMorgan Mortgage Trust:

sequential payer Series 2006-A5 Class 3A5, 5.8553% 8/25/36 (o)

2,355

1,899

Series 2004-A3 Class 4A1, 4.2606% 7/25/34 (o)

1,208

1,170

Series 2004-A5 Class 2A1, 2.6036% 12/25/34 (o)

1,481

1,407

Series 2006-A2 Class 5A1, 2.9729% 11/25/33 (o)

2,415

2,315

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

591

648

MASTR Adjustable Rate Mortgages Trust Series 2007-3 Class 22A2, 0.404% 5/25/47 (o)

1,033

730

MASTR Asset Backed Securities Trust Series 2006-NC3 Class M1, 0.424% 10/25/36 (o)

106

0 *

Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.364% 2/25/37 (o)

1,873

1,303

Merrill Lynch Floating Trust floater Series 2006-1:

Class B, 0.368% 6/15/22 (h)(o)

273

266

Class C, 0.388% 6/15/22 (h)(o)

1,682

1,581

Class D, 0.398% 6/15/22 (h)(o)

647

605

Class E, 0.408% 6/15/22 (h)(o)

1,035

958

Class F, 0.438% 6/15/22 (h)(o)

1,683

1,540

Class G, 0.508% 6/15/22 (h)(o)

387

347

Class H, 0.528% 6/15/22 (h)(o)

778

682

Class J, 0.568% 6/15/22 (h)(o)

906

786

Merrill Lynch Mortgage Investors Trust:

Series 2004-A4 Class A1, 2.7498% 8/25/34 (o)

1,669

1,595

Series 2005-A2 Class A7, 2.6245% 2/25/35 (o)

1,321

1,240

Series 2006-A6 Class A4, 3.1889% 10/25/33 (o)

1,352

1,295

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

5,626

5,913

Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 0.484% 7/25/35 (o)

2,395

1,921

Option One Mortgage Loan Trust floater Series 2007-CP1 Class M1, 0.494% 3/25/37 (o)

3,232

217

Provident Funding Mortgage Loan Trust Series 2005-2 Class 3A, 2.8085% 10/25/35 (o)

814

699

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

Private Sponsor - continued

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

Class B5, 2.5539% 7/10/35 (h)(o)

$ 1,662

$ 1,356

Class B6, 3.0539% 7/10/35 (h)(o)

353

272

Residential Asset Mortgage Products, Inc. sequential payer:

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

978

1,042

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

53

54

Residential Funding Securities Corp. floater Series 2003-RP2 Class A1, 0.644% 6/25/33 (h)(o)

417

385

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

185

65

Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 0.8997% 7/20/34 (o)

42

31

Structured Asset Securities Corp.:

Series 2003-15A Class 4A, 5.3739% 4/25/33 (o)

507

488

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

364

370

TBW Mortgage-Backed pass-thru certificates floater Series 2006-4 Class A3, 0.4126% 9/25/36 (o)

3,593

2,556

Thornburg Mortgage Securities Trust floater:

Series 2006-4 Class A2B, 0.3326% 7/25/36 (o)

10,527

10,492

Series 2006-5 Class A1, 0.314% 10/25/46 (o)

4,168

4,143

WaMu Mortgage pass-thru certificates:

Series 2003-AR8 Class A, 2.7161% 8/25/33 (o)

838

822

Series 2005-AR3 Class A2, 2.5752% 3/25/35 (o)

2,268

2,034

Wells Fargo Mortgage Backed Securities Trust:

Series 2004-EE Class 2A2, 2.845% 12/25/34 (o)

737

736

Series 2004-H Class A1, 4.4817% 6/25/34 (o)

1,269

1,243

Series 2004-W Class A9, 2.7613% 11/25/34 (o)

4,726

4,582

Series 2005-AR10 Class 2A2, 2.8082% 6/25/35 (o)

602

585

Series 2005-AR12:

Class 2A5, 2.7836% 7/25/35 (o)

11,808

11,192

Class 2A6, 2.7836% 7/25/35 (o)

510

483

Series 2005-AR2 Class 2A2, 2.7435% 3/25/35 (o)

2,726

2,519

Series 2005-AR3 Class 2A1, 2.8729% 3/25/35 (o)

883

809

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $94,122)

134,554

Commercial Mortgage Securities - 2.0%

 

Principal Amount (000s)

Value (000s)

Asset Securitization Corp. Series 1997-D5:

Class A2, 7.0825% 2/14/43 (o)

$ 966

$ 1,015

Class A3, 7.1325% 2/14/43 (o)

1,043

1,114

Class A6, 7.4525% 2/14/43 (o)

1,537

1,624

Class PS1, 1.4533% 2/14/43 (o)(q)

3,806

78

Banc of America Commercial Mortgage Trust:

sequential payer:

Series 2006-2 Class AAB, 5.9114% 5/10/45 (o)

1,534

1,637

Series 2006-5:

Class A2, 5.317% 9/10/47

4,725

4,821

Class A3, 5.39% 9/10/47

1,832

1,906

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

2,628

2,777

Series 2007-4 Class A3, 5.9998% 2/10/51 (o)

1,310

1,402

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

759

152

Series 2007-3:

Class A3, 5.8018% 6/10/49 (o)

2,194

2,319

Class A4, 5.8018% 6/10/49 (o)

2,739

2,980

Banc of America Commercial Mortgage, Inc.:

sequential payer:

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

2,878

3,113

Series 2004-2:

Class A3, 4.05% 11/10/38

240

243

Class A4, 4.153% 11/10/38

1,666

1,738

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

1,145

1,145

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

3,639

3,679

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

735

739

Series 2001-PB1:

Class J, 7.166% 5/11/35 (h)

329

327

Class K, 6.15% 5/11/35 (h)

611

597

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

4,082

4,290

Banc of America Large Loan, Inc. floater:

Series 2005-MIB1:

Class C, 0.508% 3/15/22 (h)(o)

564

564

Class D, 0.558% 3/15/22 (h)(o)

572

572

Class E, 0.598% 3/15/22 (h)(o)

472

464

Class F, 0.668% 3/15/22 (h)(o)

676

659

Class G, 0.728% 3/15/22 (h)(o)

438

414

Series 2006-BIX1:

Class C, 0.378% 10/15/19 (h)(o)

844

819

Class D, 0.408% 10/15/19 (h)(o)

1,031

985

Class E, 0.438% 10/15/19 (h)(o)

956

899

Class F, 0.508% 10/15/19 (h)(o)

2,868

2,689

Class G, 0.528% 10/15/19 (h)(o)

1,350

1,188

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Bayview Commercial Asset Trust:

floater:

Series 2003-2 Class M1, 1.044% 12/25/33 (h)(o)

$ 82

$ 60

Series 2004-1:

Class A, 0.554% 4/25/34 (h)(o)

1,372

1,200

Class B, 2.094% 4/25/34 (h)(o)

154

82

Class M1, 0.754% 4/25/34 (h)(o)

123

94

Class M2, 1.394% 4/25/34 (h)(o)

114

77

Series 2004-2:

Class A, 0.624% 8/25/34 (h)(o)

1,129

982

Class M1, 0.774% 8/25/34 (h)(o)

194

140

Series 2004-3:

Class A1, 0.564% 1/25/35 (h)(o)

2,538

2,251

Class A2, 0.614% 1/25/35 (h)(o)

364

321

Class M1, 0.694% 1/25/35 (h)(o)

438

309

Class M2, 1.194% 1/25/35 (h)(o)

208

141

Series 2005-2A:

Class A1, 0.504% 8/25/35 (h)(o)

1,782

1,469

Class M1, 0.624% 8/25/35 (h)(o)

97

63

Class M2, 0.674% 8/25/35 (h)(o)

160

95

Class M3, 0.694% 8/25/35 (h)(o)

88

50

Class M4, 0.804% 8/25/35 (h)(o)

81

44

Series 2005-3A:

Class A1, 0.514% 11/25/35 (h)(o)

723

602

Class A2, 0.594% 11/25/35 (h)(o)

652

545

Class M1, 0.634% 11/25/35 (h)(o)

86

56

Class M2, 0.684% 11/25/35 (h)(o)

109

64

Class M3, 0.704% 11/25/35 (h)(o)

97

56

Class M4, 0.794% 11/25/35 (h)(o)

121

61

Series 2005-4A:

Class A2, 0.584% 1/25/36 (h)(o)

1,700

1,436

Class B1, 1.594% 1/25/36 (h)(o)

147

52

Class M1, 0.644% 1/25/36 (h)(o)

549

355

Class M2, 0.664% 1/25/36 (h)(o)

165

100

Class M3, 0.694% 1/25/36 (h)(o)

240

135

Class M4, 0.804% 1/25/36 (h)(o)

133

68

Class M5, 0.844% 1/25/36 (h)(o)

133

63

Class M6, 0.894% 1/25/36 (h)(o)

141

59

Series 2006-1:

Class A2, 0.554% 4/25/36 (h)(o)

258

214

Class M1, 0.574% 4/25/36 (h)(o)

92

65

Class M2, 0.594% 4/25/36 (h)(o)

97

64

Class M3, 0.614% 4/25/36 (h)(o)

84

52

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Bayview Commercial Asset Trust: - continued

floater:

Series 2006-1:

Class M4, 0.714% 4/25/36 (h)(o)

$ 47

$ 28

Class M5, 0.754% 4/25/36 (h)(o)

46

25

Class M6, 0.834% 4/25/36 (h)(o)

92

44

Series 2006-2A:

Class A1, 0.424% 7/25/36 (h)(o)

3,892

3,097

Class A2, 0.474% 7/25/36 (h)(o)

231

182

Class B1, 1.064% 7/25/36 (h)(o)

87

32

Class B3, 2.894% 7/25/36 (h)(o)

131

40

Class M1, 0.504% 7/25/36 (h)(o)

243

159

Class M2, 0.524% 7/25/36 (h)(o)

171

105

Class M3, 0.544% 7/25/36 (h)(o)

142

85

Class M4, 0.614% 7/25/36 (h)(o)

96

55

Class M5, 0.664% 7/25/36 (h)(o)

118

66

Class M6, 0.734% 7/25/36 (h)(o)

176

74

Series 2006-3A:

Class B1, 0.994% 10/25/36 (h)(o)

158

20

Class B2, 1.544% 10/25/36 (h)(o)

114

11

Class B3, 2.794% 10/25/36 (h)(o)

185

10

Class M4, 0.624% 10/25/36 (h)(o)

174

59

Class M5, 0.674% 10/25/36 (h)(o)

209

63

Class M6, 0.754% 10/25/36 (h)(o)

408

90

Series 2006-4A:

Class A1, 0.424% 12/25/36 (h)(o)

892

722

Class A2, 0.464% 12/25/36 (h)(o)

4,359

3,225

Class B1, 0.894% 12/25/36 (h)(o)

139

22

Class B2, 1.444% 12/25/36 (h)(o)

142

19

Class B3, 2.644% 12/25/36 (h)(o)

241

22

Class M1, 0.484% 12/25/36 (h)(o)

290

130

Class M2, 0.504% 12/25/36 (h)(o)

193

79

Class M3, 0.534% 12/25/36 (h)(o)

195

68

Class M4, 0.594% 12/25/36 (h)(o)

235

70

Class M5, 0.634% 12/25/36 (h)(o)

215

52

Class M6, 0.714% 12/25/36 (h)(o)

193

40

Series 2007-1:

Class A2, 0.464% 3/25/37 (h)(o)

913

607

Class B1, 0.864% 3/25/37 (h)(o)

293

44

Class B2, 1.344% 3/25/37 (h)(o)

210

24

Class B3, 3.544% 3/25/37 (h)(o)

462

25

Class M1, 0.464% 3/25/37 (h)(o)

256

105

Class M2, 0.484% 3/25/37 (h)(o)

191

65

Class M3, 0.514% 3/25/37 (h)(o)

170

53

Class M4, 0.564% 3/25/37 (h)(o)

138

36

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Bayview Commercial Asset Trust: - continued

floater:

Series 2007-1:

Class M5, 0.614% 3/25/37 (h)(o)

$ 213

$ 47

Class M6, 0.694% 3/25/37 (h)(o)

298

57

Series 2007-2A:

Class A1, 0.464% 7/25/37 (h)(o)

832

616

Class A2, 0.514% 7/25/37 (h)(o)

780

496

Class B1, 1.794% 7/25/37 (h)(o)

241

23

Class B2, 2.444% 7/25/37 (h)(o)

209

14

Class B3, 3.544% 7/25/37 (h)(o)

235

12

Class M1, 0.564% 7/25/37 (h)(o)

273

95

Class M2, 0.604% 7/25/37 (h)(o)

150

40

Class M3, 0.684% 7/25/37 (h)(o)

151

31

Class M4, 0.844% 7/25/37 (h)(o)

299

50

Class M5, 0.944% 7/25/37 (h)(o)

264

39

Class M6, 1.194% 7/25/37 (h)(o)

335

41

Series 2007-3:

Class A2, 0.484% 7/25/37 (h)(o)

938

627

Class B1, 1.144% 7/25/37 (h)(o)

209

31

Class B2, 1.794% 7/25/37 (h)(o)

523

60

Class B3, 4.194% 7/25/37 (h)(o)

279

18

Class M1, 0.504% 7/25/37 (h)(o)

187

72

Class M2, 0.534% 7/25/37 (h)(o)

199

64

Class M3, 0.564% 7/25/37 (h)(o)

313

85

Class M4, 0.694% 7/25/37 (h)(o)

492

118

Class M5, 0.794% 7/25/37 (h)(o)

258

54

Class M6, 0.994% 7/25/37 (h)(o)

196

35

Series 2007-4A:

Class B1, 2.744% 9/25/37 (h)(o)

321

13

Class B2, 3.644% 9/25/37 (h)(o)

1,160

35

Class M1, 1.144% 9/25/37 (h)(o)

309

56

Class M2, 1.244% 9/25/37 (h)(o)

309

43

Class M4, 1.794% 9/25/37 (h)(o)

783

63

Class M5, 1.944% 9/25/37 (h)(o)

783

55

Class M6, 2.144% 9/25/37 (h)(o)

786

47

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

2,788

112

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

6,769

731

Bear Stearns Commercial Mortgage Securities Trust:

floater:

Series 2006-BBA7:

Class G, 0.638% 3/15/19 (h)(o)

884

796

Class H, 0.848% 3/15/19 (h)(o)

595

506

Class J, 1.048% 3/15/19 (h)(o)

447

380

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Bear Stearns Commercial Mortgage Securities Trust: - continued

floater:

Series 2007-BBA8:

Class D, 0.448% 3/15/22 (h)(o)

$ 653

$ 596

Class E, 0.498% 3/15/22 (h)(o)

3,391

3,061

Class F, 0.548% 3/15/22 (h)(o)

2,081

1,838

Class G, 0.598% 3/15/22 (h)(o)

534

455

Class H, 0.748% 3/15/22 (h)(o)

653

543

Class J, 0.898% 3/15/22 (h)(o)

653

500

sequential payer:

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

293

296

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

516

530

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

3,555

3,717

Series 2007-PW16:

Class A4, 5.9055% 6/11/40 (o)

769

854

Class AAB, 5.9055% 6/11/40 (o)

6,290

6,742

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

514

525

Series 2007-PW18:

Class A2, 5.613% 6/11/50

430

443

Class A4, 5.7% 6/11/50

5,820

6,403

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

198

201

Series 2003-PWR2 Class X2, 0.6817% 5/11/39 (h)(o)(q)

9,273

14

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

4,638

4,836

Series 2006-PW14 Class X2, 0.8477% 12/11/38 (h)(o)(q)

14,978

242

Series 2006-T22 Class A4, 5.7046% 4/12/38 (o)

164

183

Series 2007-PW16:

Class B, 5.716% 6/11/40 (h)(o)

210

135

Class C, 5.716% 6/11/40 (h)(o)

175

95

Class D, 5.716% 6/11/40 (h)(o)

175

88

Series 2007-PW18 Class X2, 0.4827% 6/11/50 (h)(o)(q)

114,580

1,294

Series 2007-T28:

Class A1, 5.422% 9/11/42

114

115

Class X2, 0.3378% 9/11/42 (h)(o)(q)

56,451

405

C-BASS Trust floater Series 2006-SC1 Class A, 0.464% 5/25/36 (h)(o)

908

702

CDC Commercial Mortgage Trust Series 2002-FX1:

Class G, 6.625% 5/15/35 (h)

1,544

1,649

Class XCL, 2.4992% 5/15/35 (h)(o)(q)

10,327

216

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Citigroup Commercial Mortgage Trust:

floater Series 2006-FL2:

Class F, 0.5071% 8/15/21 (h)(o)

$ 469

$ 465

Class G, 0.5271% 8/15/21 (h)(o)

586

583

Class H, 0.5671% 8/15/21 (h)(o)

468

460

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

9,115

9,976

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

1,977

1,838

Series 2007-C6:

Class A1, 5.622% 12/10/49 (o)

1,583

1,581

Class A2, 5.8862% 12/10/49 (o)

1,600

1,646

Class A4, 5.8862% 12/10/49 (o)

4,371

4,848

Citigroup/Deutsche Bank Commercial Mortgage Trust:

sequential payer Series 2007-CD4:

Class A2A, 5.237% 12/11/49

813

818

Class A4, 5.322% 12/11/49

5,943

6,345

Series 2007-CD4:

Class A3, 5.293% 12/11/49

1,279

1,326

Class C, 5.476% 12/11/49

2,474

866

Cobalt CMBS Commercial Mortgage Trust:

sequential payer Series 2007-C3 Class A3, 6.0102% 5/15/46 (o)

1,314

1,408

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

3,942

1,892

COMM pass-thru certificates:

floater:

Series 2005-F10A:

Class B, 0.428% 4/15/17 (h)(o)

6,843

6,509

Class C, 0.468% 4/15/17 (h)(o)

1,057

995

Class D, 0.508% 4/15/17 (h)(o)

1,043

961

Class E, 0.568% 4/15/17 (h)(o)

332

299

Class F, 0.608% 4/15/17 (h)(o)

188

166

Class G, 0.748% 4/15/17 (h)(o)

188

160

Class H, 0.818% 4/15/17 (h)(o)

188

151

Class J, 1.048% 4/15/17 (h)(o)

144

101

Series 2005-FL11:

Class C, 0.498% 11/15/17 (h)(o)

1,003

970

Class D, 0.538% 11/15/17 (h)(o)

52

50

Class E, 0.588% 11/15/17 (h)(o)

185

176

Class F, 0.648% 11/15/17 (h)(o)

204

190

Class G, 0.698% 11/15/17 (h)(o)

141

128

Series 2006-CN2A:

Class A2FL, 0.4295% 2/5/19 (h)(o)

1,940

1,915

Class AJFL, 0.4695% 2/5/19 (o)

890

868

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

COMM pass-thru certificates: - continued

floater:

Series 2006-FL12 Class AJ, 0.328% 12/15/20 (h)(o)

$ 1,872

$ 1,741

sequential payer:

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

13

13

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

3,744

3,902

Series 2006-CN2A:

Class A2FX, 5.449% 2/5/19 (h)

2,291

2,294

Class AJFX, 5.478% 2/5/19 (h)

4,140

4,174

Series 2007-C9 Class A4, 6.0084% 12/10/49 (o)

2,907

3,241

Series 2006-C8 Class XP, 0.6858% 12/10/46 (o)(q)

19,936

213

Credit Suisse Commercial Mortgage Trust:

sequential payer:

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

1,596

1,730

Series 2007-C2:

Class A2, 5.448% 1/15/49 (o)

9,235

9,348

Class A3, 5.542% 1/15/49 (o)

2,628

2,801

Series 2007-C3 Class A4, 5.9052% 6/15/39 (o)

790

858

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

7,479

7,781

Series 2006-C5 Class ASP, 0.8755% 12/15/39 (o)(q)

12,136

197

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

1,189

1,278

Credit Suisse First Boston Mortgage Capital Certificates floater Series 2007-TF2A Class B, 0.548% 4/15/22 (h)(o)

4,688

3,750

Credit Suisse First Boston Mortgage Securities Corp.:

sequential payer:

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

1,314

1,331

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

88

89

Series 2004-C1:

Class A3, 4.321% 1/15/37

180

181

Class A4, 4.75% 1/15/37

612

648

Series 2001-CK6 Class AX, 1.1234% 8/15/36 (o)(q)

2,664

6

Series 2001-CKN5 Class AX, 2.1724% 9/15/34 (h)(o)(q)

5,638

10

Series 2006-C1 Class A3, 5.711% 2/15/39 (o)

6,938

7,328

Credit Suisse Mortgage Capital Certificates:

floater Series 2007-TFL1:

Class B, 0.348% 2/15/22 (h)(o)

497

452

Class C:

0.368% 2/15/22 (h)(o)

2,047

1,842

0.468% 2/15/22 (h)(o)

731

629

Class F, 0.518% 2/15/22 (h)(o)

1,462

1,228

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Credit Suisse Mortgage Capital Certificates: - continued

floater:

Series 2007-C1:

Class ASP, 0.61% 2/15/40 (o)(q)

$ 20,525

$ 215

Class B, 5.487% 2/15/40 (h)(o)

2,009

402

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

Class D, 6.484% 3/15/33

450

450

Class G, 6.936% 3/15/33 (h)

865

859

GE Capital Commercial Mortgage Corp.:

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

8,890

9,562

Series 2001-1 Class X1, 1.2156% 5/15/33 (h)(o)(q)

2,427

15

Series 2007-C1 Class XP, 0.3797% 12/10/49 (o)(q)

27,374

137

GMAC Commercial Mortgage Securities, Inc.:

Series 2004-C3 Class X2, 0.7915% 12/10/41 (o)(q)

1,552

4

Series 2005-C1 Class X2, 0.7311% 5/10/43 (o)(q)

5,003

29

Greenwich Capital Commercial Funding Corp.:

floater Series 2006-FL4 Class B, 0.3995% 11/5/21 (h)(o)

494

455

sequential payer:

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

2,628

2,743

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

3,820

4,137

Series 2005-GG3 Class XP, 0.6789% 8/10/42 (h)(o)(q)

21,991

101

Series 2006-GG7 Class A3, 5.881% 7/10/38 (o)

3,464

3,668

Series 2007-GG11 Class A1, 0.4589% 12/10/49 (h)(o)(q)

29,309

243

GS Mortgage Securities Corp. II:

floater:

Series 2006-FL8A:

Class C, 0.449% 6/6/20 (h)(o)

43

42

Class D, 0.489% 6/6/20 (h)(o)

313

295

Class E, 0.579% 6/6/20 (h)(o)

363

333

Class F, 0.649% 6/6/20 (h)(o)

916

832

Series 2007-EOP:

Class C, 2.1455% 3/6/20 (h)(o)

1,650

1,627

Class D, 2.3636% 3/6/20 (h)(o)

3,090

3,047

Class F, 2.8433% 3/6/20 (h)(o)

136

134

Class G, 3.0177% 3/6/20 (h)(o)

67

66

Class H, 3.5846% 3/6/20 (h)(o)

62

61

Class J, 4.4568% 3/6/20 (h)(o)

85

85

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

407

410

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

GS Mortgage Securities Corp. II: - continued

sequential payer:

Series 2005-GG4 Class XP, 0.7099% 7/10/39 (h)(o)(q)

$ 23,935

$ 164

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

4,752

4,749

GS Mortgage Securities Trust sequential payer:

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

1,187

1,194

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

605

619

JP Morgan Chase Commercial Mortgage Securities Trust:

sequential payer Series 2006-CB14 Class A3B, 5.6643% 12/12/44 (o)

3,908

4,076

Series 2005-CB13 Class E, 5.5268% 1/12/43 (h)(o)

665

69

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

9,525

9,859

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

428

429

JPMorgan Chase Commercial Mortgage Securities Trust:

floater Series 2006-FLA2:

Class B, 0.368% 11/15/18 (h)(o)

853

802

Class C, 0.408% 11/15/18 (h)(o)

606

564

Class D, 0.428% 11/15/18 (h)(o)

269

242

Class E, 0.478% 11/15/18 (h)(o)

387

352

Class F, 0.528% 11/15/18 (h)(o)

581

517

Class G, 0.558% 11/15/18 (h)(o)

503

433

Class H, 0.698% 11/15/18 (h)(o)

387

317

sequential payer:

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

837

914

Series 2006-LDP9:

Class A2, 5.134% 5/15/47 (o)

606

630

Class A3, 5.336% 5/15/47

548

591

Series 2007-CB19 Class A4, 5.9318% 2/12/49 (o)

4,608

5,077

Series 2007-LD11 Class A2, 5.9901% 6/15/49 (o)

3,689

3,798

Series 2007-LDPX:

Class A2 S, 5.305% 1/15/49

2,976

3,023

Class A3, 5.42% 1/15/49

3,616

3,921

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

374

384

Series 2007-CB19:

Class B, 5.9318% 2/12/49 (o)

112

83

Class C, 5.9318% 2/12/49 (o)

294

184

Class D, 5.9318% 2/12/49 (o)

309

155

Series 2007-LDP10:

Class BS, 5.437% 1/15/49 (o)

251

146

Class CS, 5.466% 1/15/49 (o)

108

50

Class ES, 5.7307% 1/15/49 (h)(o)

679

143

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

LB Commercial Conduit Mortgage Trust:

sequential payer Series 2007-C3 Class A4, 6.1412% 7/15/44 (o)

$ 1,054

$ 1,169

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

343

342

LB-UBS Commercial Mortgage Trust:

sequential payer:

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

321

321

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

1,137

1,141

Series 2006-C7:

Class A1, 5.279% 11/15/38

24

24

Class A2, 5.3% 11/15/38

1,445

1,459

Class A3, 5.347% 11/15/38

979

1,067

Series 2007-C1:

Class A1, 5.391% 2/15/40 (o)

98

99

Class A4, 5.424% 2/15/40

4,069

4,441

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

2,923

3,167

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

2,540

2,550

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

1,445

1,465

Series 2005-C3 Class XCP, 0.9427% 7/15/40 (o)(q)

4,067

25

Series 2006-C6 Class XCP, 0.8631% 9/15/39 (o)(q)

6,055

91

Series 2007-C1 Class XCP, 0.6707% 2/15/40 (o)(q)

2,256

25

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

1,642

1,779

Series 2007-C7:

Class A3, 5.866% 9/15/45

1,397

1,543

Class XCP, 0.4375% 9/15/45 (o)(q)

98,605

918

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

Class D, 0.428% 9/15/21 (h)(o)

421

383

Class E, 0.488% 9/15/21 (h)(o)

1,518

1,351

Class F, 0.538% 9/15/21 (h)(o)

1,255

1,079

Class G, 0.558% 9/15/21 (h)(o)

2,478

2,032

Class H, 0.598% 9/15/21 (h)(o)

639

505

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

2,332

2,365

Merrill Lynch Mortgage Trust:

Series 2005-CKI1 Class A3, 5.3967% 11/12/37 (o)

1,030

1,051

Series 2005-LC1 Class F, 5.5633% 1/12/44 (h)(o)

1,143

608

Series 2006-C1 Class A2, 5.8093% 5/12/39 (o)

1,292

1,331

Series 2007-C1 Class A4, 6.02% 6/12/50 (o)

4,974

5,491

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

2,805

3,087

Merrill Lynch-CFC Commercial Mortgage Trust:

floater Series 2006-4 Class A2FL, 0.3465% 12/12/49 (o)

586

574

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Merrill Lynch-CFC Commercial Mortgage Trust: - continued

sequential payer:

Series 2006-1 CLass A3, 5.4822% 2/12/39 (o)

$ 1,398

$ 1,441

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

1,129

1,200

Series 2007-5:

Class A3, 5.364% 8/12/48

512

528

Class A4, 5.378% 8/12/48

53

56

Class B, 5.479% 8/12/48

3,942

1,824

Series 2007-6:

Class A1, 5.175% 3/12/51

30

30

Class A4, 5.485% 3/12/51 (o)

10,897

11,750

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

4,599

4,981

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

203

204

Series 2006-4 Class XP, 0.829% 12/12/49 (o)(q)

25,789

454

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

1,314

672

Series 2007-7 Class B, 5.9352% 6/12/50 (o)

114

32

Series 2007-8 Class A3, 6.1636% 8/12/49 (o)

1,133

1,249

Morgan Stanley Capital I Trust:

floater:

Series 2006-XLF Class C, 1.398% 7/15/19 (h)(o)

393

196

Series 2007-XCLA Class A1, 0.398% 7/17/17 (h)(o)

1,863

1,714

Series 2007-XLFA:

Class C, 0.358% 10/15/20 (h)(o)

754

702

Class D, 0.388% 10/15/20 (h)(o)

732

659

Class E, 0.448% 10/15/20 (h)(o)

916

814

Class F, 0.498% 10/15/20 (h)(o)

550

478

Class G, 0.538% 10/15/20 (h)(o)

680

541

Class H, 0.628% 10/15/20 (h)(o)

428

308

Class J, 0.778% 10/15/20 (h)(o)

488

257

Class MHRO, 0.888% 10/15/20 (h)(o)

532

458

Class MJPM, 1.198% 10/15/20 (h)(o)

25

23

Class NHRO, 1.088% 10/15/20 (h)(o)

805

660

sequential payer:

Series 2003-IQ5 Class X2, 1.0242% 4/15/38 (h)(o)(q)

3,533

8

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

1,951

1,998

Series 2007-HQ11:

Class A1, 5.246% 2/12/44

82

82

Class A31, 5.439% 2/12/44 (o)

666

692

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

219

220

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

214

216

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Morgan Stanley Capital I Trust: - continued

sequential payer:

Series 2003-IQ6 Class X2, 0.7293% 12/15/41 (h)(o)(q)

$ 7,776

$ 25

Series 2005-IQ9 Class X2, 1.2137% 7/15/56 (h)(o)(q)

13,898

93

Series 2006-HQ10 Class X2, 0.6882% 11/12/41 (h)(o)(q)

9,533

75

Series 2006-HQ8 Class A3, 5.6465% 3/12/44 (o)

829

838

Series 2006-IQ11:

Class A3, 5.8616% 10/15/42 (o)

1,773

1,846

Class A4, 5.8976% 10/15/42 (o)

394

437

Series 2006-T23 Class A3, 5.9755% 8/12/41 (o)

671

722

Series 2007-IQ14:

Class A4, 5.692% 4/15/49 (o)

1,971

2,129

Class AAB, 5.654% 4/15/49

3,520

3,736

Class B, 5.9112% 4/15/49 (o)

323

181

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

106

108

Wachovia Bank Commercial Mortgage Trust:

floater:

Series 2005-WL5A Class K, 1.398% 1/15/18 (h)(o)

1,401

1,345

Series 2006-WL7A:

Class E, 0.4771% 9/15/21 (h)(o)

1,791

1,524

Class F, 0.5371% 8/11/18 (h)(o)

2,061

1,682

Class G, 0.5571% 8/11/18 (h)(o)

1,953

1,326

Class J, 0.7971% 8/11/18 (h)(o)

434

237

Series 2007-WHL8:

Class AP1, 0.898% 6/15/20 (h)(o)

142

106

Class AP2, 0.998% 6/15/20 (h)(o)

237

166

Class F, 0.678% 6/15/20 (h)(o)

4,581

3,757

Class LXR1, 0.898% 6/15/20 (h)(o)

162

138

sequential payer:

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

1,703

1,712

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

5,722

5,787

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

989

992

Series 2006-C29:

Class A1, 5.11% 11/15/48

151

152

Class A3, 5.313% 11/15/48

3,490

3,756

Series 2007-C30:

Class A3, 5.246% 12/15/43

1,128

1,155

Class A4, 5.305% 12/15/43

386

399

Class A5, 5.342% 12/15/43

1,406

1,490

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Wachovia Bank Commercial Mortgage Trust: - continued

sequential payer:

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

$ 2,970

$ 3,154

Series 2007-C32:

Class A2, 5.9267% 6/15/49 (o)

4,269

4,445

Class A3, 5.9317% 6/15/49 (o)

2,231

2,412

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

624

627

Series 2004-C15:

Class 180A, 5.5782% 10/15/41 (h)(o)

1,010

1,013

Class 180B, 5.5782% 10/15/41 (h)(o)

460

460

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

1,314

1,241

Series 2005-C22:

Class B, 5.5358% 12/15/44 (o)

2,914

2,671

Class F, 5.5358% 12/15/44 (h)(o)

2,191

1,289

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

7,210

7,912

Series 2007-C30:

Class C, 5.483% 12/15/43 (o)

3,942

2,128

Class D, 5.513% 12/15/43 (o)

2,102

886

Class XP, 0.6357% 12/15/43 (h)(o)(q)

14,039

159

Series 2007-C31 Class C, 5.8836% 4/15/47 (o)

361

192

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

10,468

10,919

Series 2007-C32:

Class D, 5.9317% 6/15/49 (o)

987

471

Class E, 5.9317% 6/15/49 (o)

1,556

556

Wachovia Bank Commercial Mortgage Trust pass-thru certificates sequential payer Series 2007-C33 Class A5, 6.0966% 2/15/51 (o)

870

948

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $341,927)

441,787

Municipal Securities - 0.1%

 

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

2,300

2,288

California Gen. Oblig.:

7.5% 4/1/34

4,700

5,474

7.55% 4/1/39

2,295

2,704

Illinois Gen. Oblig.:

Series 2010, 4.421% 1/1/15

5,980

6,196

Municipal Securities - continued

 

Principal Amount (000s)

Value (000s)

Illinois Gen. Oblig.: - continued

5.665% 3/1/18

$ 4,260

$ 4,493

5.877% 3/1/19

6,200

6,510

TOTAL MUNICIPAL SECURITIES

(Cost $25,768)

27,665

Foreign Government and Government Agency Obligations - 0.1%

 

Chilean Republic 7.125% 1/11/12

2,462

2,556

United Mexican States 6.05% 1/11/40

5,648

6,001

TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $8,241)

8,557

Supranational Obligations - 0.0%

 

Corporacion Andina de Fomento 5.2% 5/21/13
(Cost $185)

196

209

Bank Notes - 0.0%

 

Wachovia Bank NA 6% 11/15/17
(Cost $3,642)

3,319

3,781

Preferred Securities - 0.0%

 

 

 

 

FINANCIALS - 0.0%

Diversified Financial Services - 0.0%

ING Groep NV 5.775% (i)(o)

(Cost $670)

1,236

1,184

Fixed-Income Funds - 11.5%

Shares

 

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

3,538,209

390,088

Fidelity High Income Central Fund 2 (p)

4,942,587

557,573

Fidelity Mortgage Backed Securities Central Fund (p)

14,740,049

1,570,994

TOTAL FIXED-INCOME FUNDS

(Cost $2,340,434)

2,518,655

Money Market Funds - 3.5%

Shares

Value (000s)

Fidelity Cash Central Fund, 0.14% (b)

704,622,321

$ 704,622

Fidelity Securities Lending Cash Central Fund, 0.14% (b)(d)

62,935,642

62,936

TOTAL MONEY MARKET FUNDS

(Cost $767,558)

767,558

Cash Equivalents - 2.7%

Maturity Amount (000s)

 

Investments in repurchase agreements in a joint trading account at 0.14%, dated 5/31/11 due 6/1/11 (Collateralized by U.S. Government Obligations) # (d)
(Cost $601,817)

$ 601,819

601,817

TOTAL INVESTMENT PORTFOLIO - 105.5%

(Cost $20,534,869)

23,182,022

NET OTHER ASSETS (LIABILITIES) - (5.5)%

(1,205,693)

NET ASSETS - 100%

$ 21,976,329

Futures Contracts

Expiration Date

Underlying Face Amount at Value (000s)

Unrealized Appreciation/
(Depreciation) (000s)

Purchased

Equity Index Contracts

695 CME E-mini S&P 500 Index Contracts

June 2011

$ 46,701

$ 41

 

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 Premium Received/(Paid) $3,215,000) (n)

Sept. 2037

$ 10,506

$ (9,817)

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

Sept. 2037

8,556

(7,994)

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

Sept. 2037

1,132

(1,058)

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 Premium Received/(Paid) $2,992,000) (n)

Sept. 2037

8,556

(7,994)

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

Sept. 2037

8,242

(7,700)

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

Sept. 2037

7,235

(6,760)

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) (m)

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) (m)

Oct. 2034

306

(304)

 

$ 45,146

$ (42,225)

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 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 $3,400,000.

(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) 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 $433,677,000 or 2.0% of net assets.

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

(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 $47,002,000.

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

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

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

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

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

(r) Restricted securities - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $17,245,000 or 0.1% of net assets.

Additional information on each restricted holding is as follows:

Security

Acquisition Date

Acquisition Cost (000s)

AVEO Pharmaceuticals, Inc.

10/28/10

$ 1,043

Legend Pictures LLC

9/23/10

$ 6,428

Swisher Hygiene, Inc.

4/15/11

$ 12,186

* Amount represents less than $1,000

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

Repurchase Agreement / Counterparty

Value
(000s)

$601,817,000 due 6/01/11 at 0.14%

J.P. Morgan Securities, Inc.

$ 392,000

Societe Generale

209,817

 

$ 601,817

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

$ 1,212

Fidelity Corporate Bond 1-10 Year Central Fund

16,541

Fidelity High Income Central Fund 2

24,827

Fidelity Mortgage Backed Securities Central Fund

30,964

Fidelity Securities Lending Cash Central Fund

717

Total

$ 74,261

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

$ 647,022

$ -

$ 258,983*

$ 390,088

58.3%

Fidelity High Income Central Fund 2

434,289

124,774

31,017

557,573

83.7%

Fidelity Mortgage Backed Securities Central Fund

1,083,888

473,272

-

1,570,994

13.8%

Total

$ 2,165,199

$ 598,046

$ 290,000

$ 2,518,655

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

Other Information

The following is a summary of the inputs used, as of May 31, 2011, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the tables below, please refer to the Investment Valuation section at the end of this listing.

Valuation Inputs at Reporting Date:

Description
(Amounts in thousands)

Total

Level 1

Level 2

Level 3

Investments in Securities:

Equities:

Consumer Discretionary

$ 1,378,983

$ 1,372,436

$ -

$ 6,547

Consumer Staples

1,420,922

1,384,071

36,851

-

Energy

1,708,161

1,696,213

6,139

5,809

Financials

1,897,436

1,851,802

35,257

10,377

Health Care

1,455,604

1,436,083

19,521

-

Industrials

1,456,180

1,432,209

23,971

-

Information Technology

2,483,585

2,455,717

27,868

-

Materials

467,051

467,051

-

-

Telecommunication Services

435,939

418,209

17,730

-

Utilities

453,962

453,962

-

-

Corporate Bonds

1,561,649

-

1,561,649

-

U.S. Government and Government Agency Obligations

2,593,786

-

2,593,786

-

U.S. Government Agency - Mortgage Securities

1,253,139

-

1,253,139

-

Asset-Backed Securities

109,858

-

96,682

13,176

Collateralized Mortgage Obligations

134,554

-

131,208

3,346

Commercial Mortgage Securities

441,787

-

393,690

48,097

Municipal Securities

27,665

-

27,665

-

Foreign Government and Government Agency Obligations

8,557

-

8,557

-

Supranational Obligations

209

-

209

-

Bank Notes

3,781

-

3,781

-

Preferred Securities

1,184

-

1,184

-

Fixed-Income Funds

2,518,655

2,518,655

-

-

Money Market Funds

767,558

767,558

-

-

Cash Equivalents

601,817

-

601,817

-

Total Investments in Securities:

$ 23,182,022

$ 16,253,966

$ 6,840,704

$ 87,352

Derivative Instruments:

Assets

Futures Contracts

$ 41

$ 41

$ -

$ -

Liabilities

Swap Agreements

$ (42,225)

$ -

$ (41,323)

$ (902)

Total Derivative Instruments:

$ (42,184)

$ 41

$ (41,323)

$ (902)

Other Financial Instruments:

Forward Commitments

$ (1,040)

$ -

$ (1,040)

$ -

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

(Amounts in thousands)

 

Investments in Securities:

Beginning Balance

$ 96,111

Total Realized Gain (Loss)

5,189

Total Unrealized Gain (Loss)

13,261

Cost of Purchases

14,515

Proceeds of Sales

(13,624)

Amortization/Accretion

866

Transfers in to Level 3

7,072

Transfers out of Level 3

(36,038)

Ending Balance

$ 87,352

The change in unrealized gain (loss) for the period attributable to Level 3 securities held at May 31, 2011

$ 13,390

Derivative Instruments:

Swap Agreements

Beginning Balance

$ (2,278)

Total Unrealized Gain (Loss)

1,376

Transfers in to Level 3

-

Transfers out of Level 3

-

Ending Balance

$ (902)

Realized gain (loss) on Swap Agreements for the period

$ (1,422)

The change in unrealized gain (loss) for the period attributable to Level 3 Swap Agreements held at May 31, 2011

$ 175

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 May 31, 2011, the cost of investment securities for income tax purposes was $20,710,906,000. Net unrealized appreciation aggregated $2,471,116,000, of which $2,715,841,000 related to appreciated investment securities and $244,725,000 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.

Swaps are marked-to-market daily based on valuations from independent pricing services or dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Pricing services utilize matrix pricing which considers comparisons to interest rate curves, credit spread curves, default possibilities and recovery rates and, as a result, swaps are generally categorized as Level 2 in the hierarchy.

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

Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day and are categorized as Level 1 in the hierarchy. Short-term securities with remaining maturities of sixty days or less may be valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy.

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

Credit Default Swap Agreements

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

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

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

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

The Fund is exposed to additional risks from investing in credit default swaps, such as liquidity risk and counterparty risk. Liquidity risk is the risk that the Fund will be unable to sell a credit default swap in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. Counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. The Fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association (ISDA) Master Agreement on a bilateral basis with each of its counterparties. The ISDA Master Agreement gives the Fund the right to terminate all transactions traded under such agreement if there is a certain deterioration in the credit quality of the counterparty. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk, the Fund 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 payments 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. 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 $45,146,000 representing 0.21% 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:

July 29, 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:

July 29, 2011

By:

/s/Christine Reynolds

 

Christine Reynolds

 

Chief Financial Officer

 

 

Date:

July 29, 2011