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, 2010

Item 1. Schedule of Investments

Quarterly Holdings Report

for

Fidelity® Balanced Fund

May 31, 2010 

1.800332.106

BAL-QTLY-0710

Investments May 31, 2010 (Unaudited)

Showing Percentage of Net Assets

Common Stocks - 57.3%

Shares

Value (000s)

CONSUMER DISCRETIONARY - 5.8%

Auto Components - 0.2%

Johnson Controls, Inc.

1,242,200

$ 35,440

TRW Automotive Holdings Corp. (a)

338,969

10,196

 

45,636

Automobiles - 0.3%

Daimler AG (United States) (a)

212,100

10,433

Ford Motor Co. (a)

2,251,752

26,413

Harley-Davidson, Inc.

725,800

21,926

Toyota Motor Corp. sponsored ADR

134,800

9,751

 

68,523

Distributors - 0.1%

Li & Fung Ltd.

2,713,000

11,777

Diversified Consumer Services - 0.0%

Educomp Solutions Ltd.

393,383

4,539

Hotels, Restaurants & Leisure - 1.0%

Darden Restaurants, Inc.

326,802

14,020

Las Vegas Sands Corp. (a)

591,200

13,881

Marriott International, Inc. Class A

688,500

23,030

McDonald's Corp.

1,483,100

99,175

Royal Caribbean Cruises Ltd. (a)

417,200

12,099

Starwood Hotels & Resorts Worldwide, Inc.

619,300

28,643

 

190,848

Household Durables - 0.2%

D.R. Horton, Inc.

942,200

11,485

M.D.C. Holdings, Inc.

378,961

11,892

Newell Rubbermaid, Inc.

715,200

11,915

Stanley Black & Decker, Inc.

243,087

13,562

 

48,854

Internet & Catalog Retail - 0.3%

Amazon.com, Inc. (a)

361,200

45,316

Expedia, Inc.

820,300

17,686

Rakuten, Inc.

9,111

6,350

 

69,352

Leisure Equipment & Products - 0.1%

Brunswick Corp.

500,453

8,743

Eastman Kodak Co. (a)(f)

1,214,600

6,850

 

15,593

Media - 1.7%

DIRECTV (a)

1,695,100

63,888

Common Stocks - continued

Shares

Value (000s)

CONSUMER DISCRETIONARY - continued

Media - continued

Liberty Global, Inc. Class A (a)

504,907

$ 13,027

Naspers Ltd. Class N

174,700

6,847

The Walt Disney Co.

3,117,400

104,184

Time Warner Cable, Inc.

791,306

43,308

Time Warner, Inc.

2,029,269

62,887

Viacom, Inc. Class B (non-vtg.) (a)

1,345,540

45,224

 

339,365

Multiline Retail - 0.3%

Target Corp.

1,129,325

61,582

Specialty Retail - 1.5%

Best Buy Co., Inc.

726,403

30,691

Hengdeli Holdings Ltd.

16,280,000

6,753

Home Depot, Inc.

2,608,100

88,310

Inditex SA

243,577

13,610

Lowe's Companies, Inc.

2,511,300

62,155

Ross Stores, Inc.

292,121

15,307

Sally Beauty Holdings, Inc. (a)

1,495,679

14,074

Tiffany & Co., Inc.

298,500

13,561

TJX Companies, Inc.

846,500

38,482

Urban Outfitters, Inc. (a)

333,700

12,113

 

295,056

Textiles, Apparel & Luxury Goods - 0.1%

LVMH Moet Hennessy - Louis Vuitton (f)

92,920

9,857

Ports Design Ltd.

1,414,500

3,415

Trinity Ltd.

6,444,000

4,188

 

17,460

TOTAL CONSUMER DISCRETIONARY

1,168,585

CONSUMER STAPLES - 6.3%

Beverages - 2.2%

Anheuser-Busch InBev SA NV

701,312

33,896

Coca-Cola Bottling Co. Consolidated

126,232

6,281

Coca-Cola FEMSA SAB de CV sponsored ADR 

100,425

6,680

Coca-Cola Icecek AS

353,800

3,282

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

69,406

6,687

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

2,060,598

34,330

Diageo PLC sponsored ADR

476,253

29,185

Embotelladora Andina SA sponsored ADR

331,616

6,818

Common Stocks - continued

Shares

Value (000s)

CONSUMER STAPLES - continued

Beverages - continued

Molson Coors Brewing Co. Class B

1,267,197

$ 52,006

PepsiCo, Inc.

1,233,382

77,567

The Coca-Cola Co.

3,457,991

177,741

 

434,473

Food & Staples Retailing - 1.5%

BJ's Wholesale Club, Inc. (a)

555,969

22,278

CVS Caremark Corp.

2,094,604

72,536

Kroger Co.

1,049,730

21,131

Safeway, Inc.

846,998

18,753

Wal-Mart Stores, Inc.

1,507,158

76,202

Walgreen Co.

2,413,248

77,320

 

288,220

Food Products - 0.6%

Archer Daniels Midland Co.

752,664

19,020

Ausnutria Dairy Hunan Co. Ltd. Class H

5,024,000

3,329

Bunge Ltd.

65,343

3,186

Dean Foods Co. (a)

2,747,657

29,263

Green Mountain Coffee Roasters, Inc. (a)(f)

408,132

9,652

Nestle SA

622,351

28,230

Unilever NV (NY Shares) unit

1,172,410

32,019

Viterra, Inc. (a)

435,800

3,249

 

127,948

Household Products - 1.0%

Colgate-Palmolive Co.

142,781

11,150

Energizer Holdings, Inc. (a)

260,078

14,614

Procter & Gamble Co.

2,939,742

179,589

 

205,353

Personal Products - 0.3%

Avon Products, Inc.

1,976,698

52,363

Tobacco - 0.7%

Altria Group, Inc.

1,885,161

38,250

British American Tobacco PLC sponsored ADR

1,106,381

64,779

Philip Morris International, Inc.

788,231

34,777

Souza Cruz Industria Comerico

93,900

3,406

 

141,212

TOTAL CONSUMER STAPLES

1,249,569

Common Stocks - continued

Shares

Value (000s)

ENERGY - 6.1%

Energy Equipment & Services - 1.3%

Baker Hughes, Inc.

2,002,921

$ 76,391

Cameron International Corp. (a)

92,100

3,334

Ensco International Ltd. ADR

231,300

8,651

Halliburton Co.

1,557,291

38,668

National Oilwell Varco, Inc.

238,579

9,097

Pride International, Inc. (a)

876,213

21,704

Saipem SpA

663,714

20,863

Schlumberger Ltd.

79,500

4,464

Smith International, Inc.

744,252

27,954

Transocean Ltd. (a)

355,400

20,176

Weatherford International Ltd. (a)

1,584,233

22,369

 

253,671

Oil, Gas & Consumable Fuels - 4.8%

Alpha Natural Resources, Inc. (a)

111,900

4,294

Anadarko Petroleum Corp.

468,766

24,531

Apache Corp.

228,500

20,460

Arch Coal, Inc.

867,939

18,704

BG Group PLC

2,699,201

41,638

BP PLC

862,400

6,204

BP PLC sponsored ADR

386,600

16,604

Chevron Corp.

1,956,751

144,545

China Shenhua Energy Co. Ltd. (H Shares)

1,166,000

4,702

Concho Resources, Inc. (a)

259,368

13,500

ConocoPhillips

173,159

8,980

Denbury Resources, Inc. (a)

2,210,822

36,368

Ellora Energy, Inc. (a)(g)

1,529,700

14,056

EXCO Resources, Inc.

331,466

5,718

Exxon Mobil Corp.

251,825

15,225

Falkland Oil & Gas Ltd. (a)

1,174,700

3,288

Frontier Oil Corp.

393,200

5,469

Imperial Oil Ltd.

273,200

10,603

InterOil Corp. (a)(f)

116,100

5,721

Marathon Oil Corp.

1,611,568

50,104

Massey Energy Co.

332,900

11,026

Occidental Petroleum Corp.

549,468

45,337

OPTI Canada, Inc. (a)

769,700

1,446

Peabody Energy Corp.

115,900

4,515

Petrobank Energy & Resources Ltd. (a)

498,900

21,529

Petrohawk Energy Corp. (a)

1,184,941

22,786

Pioneer Natural Resources Co.

125,800

8,013

Common Stocks - continued

Shares

Value (000s)

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Plains Exploration & Production Co. (a)

652,264

$ 14,415

Range Resources Corp.

149,867

6,737

Royal Dutch Shell PLC Class B ADR 

2,232,400

113,049

Southwestern Energy Co. (a)

1,212,291

45,594

Suncor Energy, Inc.

1,899,392

59,157

Talisman Energy, Inc.

2,086,800

35,997

Ultra Petroleum Corp. (a)

395,319

18,193

Whiting Petroleum Corp. (a)

354,906

29,709

XTO Energy, Inc.

1,585,400

67,760

 

955,977

TOTAL ENERGY

1,209,648

FINANCIALS - 9.3%

Capital Markets - 1.4%

Ameriprise Financial, Inc.

721,118

28,693

Bank of New York Mellon Corp.

139,079

3,783

Charles Schwab Corp.

1,348,815

22,040

Evercore Partners, Inc. Class A

132,000

4,303

Franklin Resources, Inc.

154,028

15,109

Goldman Sachs Group, Inc.

20,300

2,928

Invesco Ltd.

844,582

15,675

Morgan Stanley

3,917,767

106,211

State Street Corp.

1,619,315

61,809

TD Ameritrade Holding Corp. (a)

423,100

7,502

 

268,053

Commercial Banks - 2.6%

BB&T Corp.

754,902

22,828

East West Bancorp, Inc.

641,160

10,900

FirstMerit Corp.

860,299

16,036

Huntington Bancshares, Inc.

3,715,506

22,888

KeyCorp

1,622,513

13,013

PNC Financial Services Group, Inc.

2,166,994

135,979

Regions Financial Corp.

2,584,600

19,720

Sumitomo Mitsui Financial Group, Inc.

1,134,000

33,641

SunTrust Banks, Inc.

922,191

24,853

U.S. Bancorp, Delaware

1,600,500

38,348

Wells Fargo & Co.

6,271,589

179,932

 

518,138

Common Stocks - continued

Shares

Value (000s)

FINANCIALS - continued

Consumer Finance - 0.7%

American Express Co.

1,667,345

$ 66,477

Capital One Financial Corp.

820,200

33,874

Discover Financial Services

2,277,310

30,630

Promise Co. Ltd.

835,900

5,422

 

136,403

Diversified Financial Services - 2.6%

Bank of America Corp.

7,573,259

119,203

Citigroup, Inc. (a)

28,511,859

112,907

CME Group, Inc.

94,667

29,976

IntercontinentalExchange, Inc. (a)

77,693

9,022

JPMorgan Chase & Co.

6,120,258

242,240

NBH Holdings Corp. Class A (a)(g)

576,500

11,242

 

524,590

Insurance - 1.4%

Aegon NV (a)

876,016

4,998

Allstate Corp.

919,624

28,168

Aon Corp.

189,000

7,460

Berkshire Hathaway, Inc. Class B (a)

262,743

18,537

CNO Financial Group, Inc. (a)

2,835,570

15,908

Genworth Financial, Inc. Class A (a)

861,796

13,435

MetLife, Inc.

2,581,268

104,516

Progressive Corp.

1,041,153

20,396

Protective Life Corp.

681,200

14,659

Sony Financial Holdings, Inc.

4,373

15,142

The First American Corp.

539,057

18,344

Unum Group

1,070,500

24,729

 

286,292

Real Estate Investment Trusts - 0.4%

Digital Realty Trust, Inc. (f)

176,964

10,071

ProLogis Trust

1,369,535

15,585

SL Green Realty Corp.

187,930

11,706

Sunstone Hotel Investors, Inc. (a)

714,700

7,883

The Macerich Co.

197,900

8,185

U-Store-It Trust

1,014,800

8,342

Ventas, Inc.

320,362

15,041

 

76,813

Real Estate Management & Development - 0.1%

BR Malls Participacoes SA

1,053,700

13,297

Common Stocks - continued

Shares

Value (000s)

FINANCIALS - continued

Real Estate Management & Development - continued

Forest City Enterprises, Inc. Class A (a)

189,638

$ 2,515

Indiabulls Real Estate Ltd. (a)

3,720,771

12,647

 

28,459

Thrifts & Mortgage Finance - 0.1%

Ocwen Financial Corp. (a)

1,443,506

17,553

People's United Financial, Inc.

600,300

8,386

 

25,939

TOTAL FINANCIALS

1,864,687

HEALTH CARE - 6.4%

Biotechnology - 1.0%

Acorda Therapeutics, Inc. (a)

175,741

6,042

AMAG Pharmaceuticals, Inc. (a)

264,964

8,436

Amgen, Inc. (a)

550,243

28,492

AVEO Pharmaceuticals, Inc.

370,300

2,966

Biogen Idec, Inc. (a)

900,487

42,710

BioMarin Pharmaceutical, Inc. (a)

809,900

15,809

Genzyme Corp. (a)

1,084,772

52,774

Gilead Sciences, Inc. (a)

744,460

26,741

Human Genome Sciences, Inc. (a)

285,731

7,075

United Therapeutics Corp. (a)

135,100

6,920

 

197,965

Health Care Equipment & Supplies - 1.2%

American Medical Systems Holdings, Inc. (a)

381,403

8,604

C. R. Bard, Inc.

253,818

20,552

CareFusion Corp. (a)

999,900

25,417

Covidien PLC

1,042,247

44,181

Edwards Lifesciences Corp. (a)

725,602

36,665

ev3, Inc. (a)

865,768

16,380

Mako Surgical Corp. (a)(f)

831,059

10,945

Quidel Corp. (a)

975,647

11,415

Stryker Corp.

599,497

31,791

Thoratec Corp. (a)

169,300

7,427

William Demant Holding AS (a)

249,976

17,810

 

231,187

Health Care Providers & Services - 1.3%

CIGNA Corp.

1,053,288

35,254

Express Scripts, Inc. (a)

639,592

64,343

Common Stocks - continued

Shares

Value (000s)

HEALTH CARE - continued

Health Care Providers & Services - continued

Henry Schein, Inc. (a)

693,113

$ 39,099

Medco Health Solutions, Inc. (a)

1,173,126

67,631

UnitedHealth Group, Inc.

1,881,247

54,688

 

261,015

Health Care Technology - 0.1%

Allscripts-Misys Healthcare Solutions, Inc. (a)

1,265,702

23,808

Life Sciences Tools & Services - 0.5%

Covance, Inc. (a)

319,066

16,834

Illumina, Inc. (a)

604,185

25,400

Life Technologies Corp. (a)

615,125

30,793

QIAGEN NV (a)

989,248

20,853

 

93,880

Pharmaceuticals - 2.3%

Abbott Laboratories

1,062,227

50,520

Allergan, Inc.

820,156

49,365

Johnson & Johnson

879,368

51,267

Merck & Co., Inc.

3,725,458

125,511

Novo Nordisk AS Series B

279,862

21,638

Perrigo Co.

205,673

12,219

Pfizer, Inc.

8,137,585

123,935

Shire PLC sponsored ADR

423,400

25,916

 

460,371

TOTAL HEALTH CARE

1,268,226

INDUSTRIALS - 6.7%

Aerospace & Defense - 1.4%

Goodrich Corp.

594,104

41,231

Honeywell International, Inc.

482,906

20,654

Precision Castparts Corp.

225,700

26,339

Raytheon Co.

921,175

48,279

The Boeing Co.

844,450

54,197

United Technologies Corp.

1,311,619

88,377

 

279,077

Air Freight & Logistics - 0.2%

FedEx Corp.

494,400

41,277

Airlines - 0.1%

Southwest Airlines Co.

2,265,303

28,180

Common Stocks - continued

Shares

Value (000s)

INDUSTRIALS - continued

Building Products - 0.2%

Armstrong World Industries, Inc. (a)

248,026

$ 9,298

Masco Corp.

1,084,209

14,474

Owens Corning (a)

452,608

15,085

 

38,857

Commercial Services & Supplies - 0.0%

Republic Services, Inc.

221,066

6,437

Construction & Engineering - 0.2%

Fluor Corp.

458,036

21,491

Granite Construction, Inc.

157,599

4,673

Jacobs Engineering Group, Inc. (a)

206,100

8,607

KBR, Inc.

310,700

6,829

 

41,600

Electrical Equipment - 1.0%

Cooper Industries PLC Class A

677,300

31,813

First Solar, Inc. (a)(f)

825,066

92,704

JA Solar Holdings Co. Ltd. ADR (a)(f)

3,565,232

17,363

Regal-Beloit Corp.

530,229

31,968

Saft Groupe SA

287,000

8,902

Solarfun Power Holdings Co. Ltd. ADR (a)(f)

2,025,307

15,109

Vestas Wind Systems AS (a)

87,900

4,210

 

202,069

Industrial Conglomerates - 1.3%

Carlisle Companies, Inc.

268,300

10,434

General Electric Co.

11,653,504

190,535

Textron, Inc.

1,153,711

23,847

Tyco International Ltd.

679,100

24,577

 

249,393

Machinery - 1.6%

Caterpillar, Inc.

800,100

48,614

Cummins, Inc.

795,107

54,051

Danaher Corp.

732,819

58,171

Deere & Co.

841,666

48,547

Dover Corp.

237,200

10,648

Eaton Corp.

190,677

13,338

Ingersoll-Rand Co. Ltd.

706,200

26,348

Navistar International Corp. (a)

584,022

31,642

NSK Ltd.

521,000

3,814

Timken Co.

167,200

4,814

Common Stocks - continued

Shares

Value (000s)

INDUSTRIALS - continued

Machinery - continued

Toro Co.

183,860

$ 9,835

Vallourec SA (f)

41,342

7,739

 

317,561

Road & Rail - 0.7%

CSX Corp.

1,111,207

58,061

Union Pacific Corp.

1,056,600

75,473

 

133,534

TOTAL INDUSTRIALS

1,337,985

INFORMATION TECHNOLOGY - 10.8%

Communications Equipment - 0.3%

Aruba Networks, Inc. (a)(f)

1,639,543

21,970

Ciena Corp. (a)(f)

1,351,396

21,041

Meru Networks, Inc. (a)

407,615

5,340

Sycamore Networks, Inc.

433,831

7,644

 

55,995

Computers & Peripherals - 2.3%

A-DATA Technology Co. Ltd. (a)

3,491,000

7,584

Apple, Inc. (a)

1,111,271

285,774

HTC Corp.

1,339,000

18,208

SanDisk Corp. (a)

3,105,408

144,774

 

456,340

Electronic Equipment & Components - 0.3%

Agilent Technologies, Inc. (a)

1,361,244

44,050

BYD Co. Ltd. (H Shares) (f)

1,116,500

9,371

Tyco Electronics Ltd.

290,071

8,360

 

61,781

Internet Software & Services - 0.8%

eBay, Inc. (a)

2,942,032

62,989

Google, Inc. Class A (a)

46,200

22,415

Monster Worldwide, Inc. (a)

613,192

9,069

WebMD Health Corp. (a)

1,299,587

59,170

 

153,643

IT Services - 0.1%

Heartland Payment Systems, Inc.

203,531

3,344

Visa, Inc. Class A

249,839

18,103

 

21,447

Common Stocks - continued

Shares

Value (000s)

INFORMATION TECHNOLOGY - continued

Semiconductors & Semiconductor Equipment - 5.5%

Analog Devices, Inc.

2,763,655

$ 80,616

Applied Materials, Inc.

10,101,545

130,411

ASAT Holdings Ltd. (a)

88,719

0*

ASAT Holdings Ltd. warrants 7/24/11 (a)

2,416

0*

ASML Holding NV (NY Shares)

4,916,475

138,940

ATMI, Inc. (a)

1,177,016

19,068

Avago Technologies Ltd.

945,500

19,525

Broadcom Corp. Class A

1,225,270

42,296

Brooks Automation, Inc. (a)

2,473,662

20,581

Entegris, Inc. (a)

2,206,944

11,917

Inotera Memories, Inc. (a)

57,299,880

34,301

Intel Corp.

4,486,117

96,093

KLA-Tencor Corp.

2,639,674

81,223

Lam Research Corp. (a)

2,090,350

79,141

LDK Solar Co. Ltd. sponsored ADR (a)

64,100

389

Linear Technology Corp.

93,000

2,600

Marvell Technology Group Ltd. (a)

2,634,129

49,996

Micron Technology, Inc. (a)

16,473,785

149,747

Nanya Technology Corp. (a)

12,562,000

10,347

Photronics, Inc. (a)

1,334,176

6,751

ReneSola Ltd. sponsored ADR (a)(f)

740,300

4,568

Samsung Electronics Co. Ltd.

136,148

87,887

Skyworks Solutions, Inc. (a)

319,100

5,083

Varian Semiconductor Equipment Associates, Inc. (a)

1,202,752

37,394

 

1,108,874

Software - 1.5%

Microsoft Corp.

11,503,756

296,797

Nuance Communications, Inc. (a)

505,637

8,614

 

305,411

TOTAL INFORMATION TECHNOLOGY

2,163,491

MATERIALS - 2.0%

Chemicals - 1.0%

Air Products & Chemicals, Inc.

202,700

13,998

Albemarle Corp.

612,247

26,363

CF Industries Holdings, Inc.

49,650

3,405

Clariant AG (Reg.) (a)

527,310

6,144

Dow Chemical Co.

1,947,062

52,395

E.I. du Pont de Nemours & Co.

371,846

13,450

Common Stocks - continued

Shares

Value (000s)

MATERIALS - continued

Chemicals - continued

Lubrizol Corp.

23,400

$ 2,073

LyondellBasell Industries NV:

Class A (a)

121,049

2,151

Class B (a)

110,998

1,965

Monsanto Co.

570,003

28,996

Praxair, Inc.

279,500

21,689

Solutia, Inc. (a)

840,670

12,736

The Mosaic Co.

177,400

8,191

Wacker Chemie AG (f)

76,294

9,584

 

203,140

Construction Materials - 0.0%

HeidelbergCement AG

95,508

5,186

Martin Marietta Materials, Inc.

15,244

1,421

 

6,607

Containers & Packaging - 0.2%

Ball Corp.

152,272

7,499

Owens-Illinois, Inc. (a)

526,762

15,977

Pactiv Corp. (a)

201,800

5,767

Rexam PLC

1,823,700

8,336

 

37,579

Metals & Mining - 0.7%

Alcoa, Inc.

35,000

407

AngloGold Ashanti Ltd. sponsored ADR

946,285

39,668

ArcelorMittal SA (NY Shares) Class A unit (f)

44,600

1,352

Carpenter Technology Corp.

264,320

10,285

Commercial Metals Co.

586,766

9,136

Freeport-McMoRan Copper & Gold, Inc.

499,545

34,993

Globe Specialty Metals, Inc.

1,338,500

15,620

Ivanhoe Mines Ltd. (a)

362,300

5,277

Nucor Corp.

269,550

11,604

 

128,342

Paper & Forest Products - 0.1%

Weyerhaeuser Co.

404,164

17,209

TOTAL MATERIALS

392,877

Common Stocks - continued

Shares

Value (000s)

TELECOMMUNICATION SERVICES - 1.8%

Diversified Telecommunication Services - 0.8%

AT&T, Inc.

1,558,400

$ 37,869

Qwest Communications International, Inc.

22,413,936

117,449

 

155,318

Wireless Telecommunication Services - 1.0%

America Movil SAB de CV Series L sponsored ADR

597,500

28,286

American Tower Corp. Class A (a)

1,779,370

72,118

Clearwire Corp.:

rights 6/21/10 (a)

2,728,237

906

Class A (a)

2,929,537

23,846

NII Holdings, Inc. (a)

1,142,554

41,669

Sprint Nextel Corp. (a)

6,249,200

32,058

 

198,883

TOTAL TELECOMMUNICATION SERVICES

354,201

UTILITIES - 2.1%

Electric Utilities - 1.0%

American Electric Power Co., Inc.

1,769,296

56,547

Entergy Corp.

608,672

45,693

FPL Group, Inc.

1,510,754

75,432

PPL Corp.

797,878

20,593

Southern Co.

217,213

7,103

 

205,368

Independent Power Producers & Energy Traders - 0.1%

AES Corp. (a)

820,200

8,423

Multi-Utilities - 1.0%

CenterPoint Energy, Inc.

636,857

8,674

CMS Energy Corp.

1,853,834

27,214

PG&E Corp.

2,138,700

88,756

Sempra Energy

623,150

28,665

TECO Energy, Inc.

1,651,638

25,683

Wisconsin Energy Corp.

381,471

18,692

 

197,684

TOTAL UTILITIES

411,475

TOTAL COMMON STOCKS

(Cost $10,478,322)

11,420,744

Preferred Stocks - 0.1%

Shares

Value (000s)

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 - 0.1%

CONSUMER DISCRETIONARY - 0.1%

Automobiles - 0.1%

Porsche Automobil Holding SE

128,900

5,604

Volkswagen AG

112,462

9,925

 

15,529

Nonconvertible Bonds - 6.9%

 

Principal Amount (000s)

 

CONSUMER DISCRETIONARY - 0.6%

Auto Components - 0.0%

DaimlerChrysler NA Holding Corp.:

5.75% 9/8/11

$ 4,524

4,719

5.875% 3/15/11

1,680

1,732

 

6,451

Hotels, Restaurants & Leisure - 0.0%

McDonald's Corp. 5.35% 3/1/18

1,891

2,103

Household Durables - 0.1%

Fortune Brands, Inc.:

5.125% 1/15/11

3,427

3,505

5.375% 1/15/16

6,765

7,204

5.875% 1/15/36

6,603

6,153

 

16,862

Media - 0.5%

AOL Time Warner, Inc.:

6.875% 5/1/12

1,974

2,151

7.625% 4/15/31

4,975

5,720

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

413

428

Comcast Corp.:

4.95% 6/15/16

1,520

1,603

5.5% 3/15/11

309

319

5.7% 5/15/18

7,229

7,817

6.4% 3/1/40

4,756

5,003

6.45% 3/15/37

2,326

2,438

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

CONSUMER DISCRETIONARY - continued

Media - continued

COX Communications, Inc.:

4.625% 6/1/13

$ 3,612

$ 3,849

6.25% 6/1/18 (g)

1,718

1,883

Discovery Communications LLC:

3.7% 6/1/15 (h)

4,720

4,736

6.35% 6/1/40 (h)

4,773

4,805

Liberty Media Corp.:

5.7% 5/15/13

1,430

1,430

8.25% 2/1/30

6,315

5,841

NBC Universal, Inc.:

3.65% 4/30/15 (g)

5,432

5,500

5.15% 4/30/20 (g)

7,276

7,429

6.4% 4/30/40 (g)

6,271

6,510

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

7,397

8,940

News America, Inc. 5.3% 12/15/14

708

773

Time Warner Cable, Inc.:

5% 2/1/20

775

774

5.4% 7/2/12

1,976

2,118

6.2% 7/1/13

1,879

2,087

6.75% 7/1/18

949

1,069

Time Warner, Inc.:

5.875% 11/15/16

3,581

3,956

6.2% 3/15/40

3,821

3,833

6.5% 11/15/36

2,758

2,857

 

93,869

TOTAL CONSUMER DISCRETIONARY

119,285

CONSUMER STAPLES - 0.4%

Beverages - 0.1%

Anheuser-Busch InBev Worldwide, Inc. 5.375% 11/15/14 (g)

5,328

5,780

Diageo Capital PLC 5.2% 1/30/13

4,139

4,499

FBG Finance Ltd. 5.125% 6/15/15 (g)

2,374

2,577

 

12,856

Food & Staples Retailing - 0.0%

CVS Caremark Corp.:

0.5519% 6/1/10 (n)

1,856

1,856

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

CONSUMER STAPLES - continued

Food & Staples Retailing - continued

CVS Caremark Corp.: - continued

6.036% 12/10/28

$ 1,793

$ 1,814

6.302% 6/1/37 (n)

3,829

3,465

 

7,135

Food Products - 0.1%

Cargill, Inc. 6% 11/27/17 (g)

572

642

Kraft Foods, Inc.:

5.375% 2/10/20

8,116

8,429

5.625% 11/1/11

2,959

3,127

6.5% 8/11/17

6,608

7,482

6.75% 2/19/14

436

498

 

20,178

Personal Products - 0.0%

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

1,447

1,554

Tobacco - 0.2%

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

20,958

25,411

Reynolds American, Inc.:

6.75% 6/15/17

2,414

2,548

7.25% 6/15/37

8,028

7,851

 

35,810

TOTAL CONSUMER STAPLES

77,533

ENERGY - 0.9%

Energy Equipment & Services - 0.1%

DCP Midstream LLC 5.35% 3/15/20 (g)

6,510

6,508

Transocean Ltd. 5.25% 3/15/13

1,522

1,556

Weatherford International Ltd.:

4.95% 10/15/13

1,408

1,477

5.15% 3/15/13

1,841

1,944

 

11,485

Oil, Gas & Consumable Fuels - 0.8%

BW Group Ltd. 6.625% 6/28/17 (g)

2,391

2,224

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

3,637

3,894

Cenovus Energy, Inc. 6.75% 11/15/39 (g)

2,852

3,095

ConocoPhillips 5.75% 2/1/19

9,619

10,669

Duke Capital LLC 6.25% 2/15/13

809

879

Duke Energy Field Services:

5.375% 10/15/15 (g)

988

1,060

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Duke Energy Field Services: - continued

6.45% 11/3/36 (g)

$ 6,493

$ 6,394

6.875% 2/1/11

1,870

1,935

7.875% 8/16/10

839

850

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

756

791

Enbridge Energy Partners LP:

5.875% 12/15/16

1,460

1,606

6.5% 4/15/18

1,918

2,148

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

2,335

2,591

Enterprise Products Operating LP:

5.6% 10/15/14

1,581

1,711

5.65% 4/1/13

563

604

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

3,123

3,359

Kinder Morgan Energy Partners LP:

5.3% 9/15/20

4,921

4,864

6.55% 9/15/40

2,218

2,184

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

988

914

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

5,000

5,218

Motiva Enterprises LLC:

5.75% 1/15/20 (g)

2,582

2,739

6.85% 1/15/40 (g)

9,822

10,868

Nakilat, Inc. 6.067% 12/31/33 (g)

5,528

5,198

Nexen, Inc.:

5.05% 11/20/13

3,109

3,329

5.2% 3/10/15

735

782

5.875% 3/10/35

1,565

1,469

6.4% 5/15/37

5,235

5,254

NGPL PipeCo LLC 6.514% 12/15/12 (g)

2,881

2,952

Pemex Project Funding Master Trust 1.557% 6/15/10 (g)(n)

1,007

1,002

Petrobras International Finance Co. Ltd.:

5.75% 1/20/20

3,200

3,176

6.875% 1/20/40

4,800

4,817

7.875% 3/15/19

6,941

7,857

Plains All American Pipeline LP:

6.125% 1/15/17

1,940

2,072

7.75% 10/15/12

1,907

2,118

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

1,932

2,145

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Ras Laffan Liquefied Natural Gas Co. Ltd. III:

4.5% 9/30/12 (g)

$ 3,472

$ 3,582

5.5% 9/30/14 (g)

4,853

5,186

5.832% 9/30/16 (g)

1,086

1,147

6.332% 9/30/27 (g)

5,910

6,062

6.75% 9/30/19 (g)

3,177

3,455

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

2,199

2,374

Suncor Energy, Inc.:

6.1% 6/1/18

9,176

10,060

6.85% 6/1/39

8,895

9,603

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

3,280

3,371

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

1,301

1,458

TransCanada PipeLines Ltd.:

3.4% 6/1/15

1,989

2,001

6.1% 6/1/40

4,000

3,966

6.35% 5/15/67 (n)

1,917

1,739

XTO Energy, Inc.:

5% 1/31/15

1,414

1,550

5.65% 4/1/16

970

1,099

 

169,421

TOTAL ENERGY

180,906

FINANCIALS - 3.2%

Capital Markets - 0.7%

Bear Stearns Companies, Inc.:

4.5% 10/28/10

1,482

1,500

5.3% 10/30/15

10,296

10,913

6.95% 8/10/12

4,442

4,878

BlackRock, Inc. 6.25% 9/15/17

1,565

1,771

Goldman Sachs Group, Inc.:

5.25% 10/15/13

4,773

4,966

5.95% 1/18/18

3,225

3,272

6.15% 4/1/18

1,593

1,627

6.75% 10/1/37

5,715

5,351

7.5% 2/15/19

10,921

12,057

JPMorgan Chase Capital XX 6.55% 9/29/36

11,840

11,105

Lazard Group LLC:

6.85% 6/15/17

3,123

3,216

7.125% 5/15/15

1,113

1,179

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

FINANCIALS - continued

Capital Markets - continued

Merrill Lynch & Co., Inc.:

5.45% 2/5/13

$ 5,188

$ 5,413

6.4% 8/28/17

2,110

2,160

6.875% 4/25/18

3,732

3,844

Morgan Stanley:

0.5953% 1/9/14 (n)

3,544

3,255

2.9228% 5/14/13 (n)

7,709

7,695

4.75% 4/1/14

642

637

5.25% 11/2/12

198

207

5.45% 1/9/17

193

186

5.95% 12/28/17

445

444

6% 5/13/14

6,140

6,365

6.6% 4/1/12

4,624

4,865

7.3% 5/13/19

6,528

6,857

Scotland International Finance No. 2 BV 7.7% 8/15/10 (g)

790

799

The Bank of New York, Inc.:

4.3% 5/15/14

6,301

6,706

4.95% 11/1/12

3,124

3,372

5.45% 5/15/19

6,656

7,215

UBS AG Stamford Branch:

3.875% 1/15/15

11,500

11,446

5.75% 4/25/18

919

936

 

134,237

Commercial Banks - 0.6%

ANZ National International Ltd. 6.2% 7/19/13 (g)

488

538

Bank of America NA:

5.3% 3/15/17

13,170

12,921

6% 10/15/36

7,045

6,446

Bank One Corp. 5.25% 1/30/13

752

797

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

1,005

1,057

Chase Manhattan Corp. 7.875% 6/15/10

1,255

1,258

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

14,192

14,486

DBS Bank Ltd. (Singapore) 0.6559% 5/16/17 (g)(n)

3,396

3,192

Discover Bank:

7% 4/15/20

3,200

3,154

8.7% 11/18/19

2,425

2,653

Export-Import Bank of Korea:

5.125% 2/14/11

2,361

2,412

5.25% 2/10/14 (g)

456

473

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

FINANCIALS - continued

Commercial Banks - continued

Export-Import Bank of Korea: - continued

5.5% 10/17/12

$ 1,824

$ 1,936

Fifth Third Bancorp:

4.5% 6/1/18

117

109

8.25% 3/1/38

2,978

3,178

HBOS PLC 6.75% 5/21/18 (g)

560

529

HSBC Holdings PLC:

0.4915% 10/6/16 (n)

1,254

1,232

6.5% 9/15/37

10,625

10,787

JPMorgan Chase Bank 6% 10/1/17

1,694

1,810

KeyBank NA:

5.8% 7/1/14

4,565

4,844

7% 2/1/11

908

938

KeyBank NA, Cleveland 5.45% 3/3/16

2,765

2,829

Korea Development Bank 4.625% 9/16/10

1,482

1,496

Lloyds TSB Bank PLC 5.8% 1/13/20 (g)

3,675

3,452

Manufacturers & Traders Trust Co. 1.7909% 4/1/13 (g)(n)

791

772

Marshall & Ilsley Bank:

4.85% 6/16/15

1,877

1,777

5% 1/17/17

526

469

5.25% 9/4/12

2,130

2,109

PNC Funding Corp.:

0.4778% 1/31/12 (n)

2,998

2,968

3.625% 2/8/15

2,015

2,056

Regions Bank 6.45% 6/26/37

5,575

4,741

Regions Financial Corp.:

5.75% 6/15/15

1,383

1,370

7.75% 11/10/14

6,416

6,815

Standard Chartered Bank 6.4% 9/26/17 (g)

988

1,035

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

2,371

2,248

UnionBanCal Corp. 5.25% 12/16/13

535

579

Wachovia Bank NA 4.875% 2/1/15

1,138

1,190

Wachovia Corp.:

0.4328% 10/15/11 (n)

3,247

3,224

0.4428% 4/23/12 (n)

439

434

5.625% 10/15/16

2,748

2,921

5.75% 6/15/17

2,371

2,522

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

FINANCIALS - continued

Commercial Banks - continued

Wells Fargo & Co. 3.625% 4/15/15

$ 7,671

$ 7,763

Wells Fargo Bank NA, San Francisco 6.45% 2/1/11

469

485

 

128,005

Consumer Finance - 0.3%

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

5,758

6,867

Discover Financial Services:

0.7856% 6/11/10 (n)

3,252

3,251

6.45% 6/12/17

11,229

11,213

General Electric Capital Corp.:

5.625% 9/15/17

22,752

24,067

5.9% 5/13/14

8,210

8,970

Household Finance Corp. 6.375% 10/15/11

1,504

1,590

HSBC Finance Corp.:

5.25% 1/14/11

1,058

1,078

5.25% 1/15/14

852

902

MBNA America Bank NA 7.125% 11/15/12 (g)

561

611

MBNA Corp. 7.5% 3/15/12

1,300

1,400

ORIX Corp. 5.48% 11/22/11

311

322

SLM Corp.:

0.457% 3/15/11 (n)

90

87

0.5458% 10/25/11 (n)

6,795

6,392

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

221

230

 

66,980

Diversified Financial Services - 0.7%

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

8,190

8,294

Citigroup, Inc.:

5.3% 10/17/12

7,664

7,950

5.5% 4/11/13

8,594

8,853

6.125% 5/15/18

12,994

13,291

6.5% 1/18/11

1,057

1,088

6.5% 8/19/13

22,036

23,208

8.5% 5/22/19

12,000

14,060

International Lease Finance Corp.:

5.4% 2/15/12

2,316

2,165

6.375% 3/25/13

1,215

1,106

6.625% 11/15/13

2,200

1,997

JPMorgan Chase & Co.:

4.65% 6/1/14

8,500

8,988

4.891% 9/1/15 (n)

2,206

2,201

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

FINANCIALS - continued

Diversified Financial Services - continued

JPMorgan Chase & Co.: - continued

5.6% 6/1/11

$ 2,503

$ 2,599

5.75% 1/2/13

1,792

1,923

6.3% 4/23/19

8,000

8,709

6.75% 2/1/11

304

315

Prime Property Funding, Inc.:

5.125% 6/1/15 (g)

881

822

5.5% 1/15/14 (g)

562

556

5.7% 4/15/17 (g)

1,371

1,251

Teachers Insurance & Annuity Association of America 6.85% 12/16/39 (g)

8,007

8,801

TECO Finance, Inc.:

4% 3/15/16

1,828

1,845

5.15% 3/15/20

2,626

2,666

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

2,618

2,625

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

4,049

3,685

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

1,303

1,173

 

130,171

Insurance - 0.4%

Assurant, Inc. 5.625% 2/15/14

1,546

1,624

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

452

480

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

1,205

1,072

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

609

652

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

481

422

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

5,143

6,753

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

5,556

5,535

MetLife, Inc.:

5% 6/15/15

941

993

6.125% 12/1/11

800

848

6.75% 6/1/16

5,158

5,722

7.717% 2/15/19

4,113

4,760

Metropolitan Life Global Funding I:

4.625% 8/19/10 (g)

2,668

2,685

5.125% 4/10/13 (g)

452

488

5.125% 6/10/14 (g)

4,625

4,961

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

1,336

1,379

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

FINANCIALS - continued

Insurance - continued

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

$ 1,780

$ 1,882

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

3,905

4,288

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

3,860

3,908

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

2,737

2,872

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

4,524

5,633

Pacific LifeCorp 6% 2/10/20 (g)

4,566

4,755

Prudential Financial, Inc.:

3.875% 1/14/15

5,340

5,368

5.15% 1/15/13

1,752

1,852

5.4% 6/13/35

365

325

5.5% 3/15/16

344

363

5.7% 12/14/36

310

289

6.2% 1/15/15

920

1,012

7.375% 6/15/19

2,520

2,885

8.875% 6/15/38 (n)

2,403

2,547

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

303

277

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

4,189

4,148

 

80,778

Real Estate Investment Trusts - 0.2%

AvalonBay Communities, Inc.:

4.95% 3/15/13

296

313

5.5% 1/15/12

1,020

1,074

Camden Property Trust:

5.375% 12/15/13

3,103

3,287

5.875% 11/30/12

542

583

Developers Diversified Realty Corp.:

4.625% 8/1/10

2,439

2,442

5.25% 4/15/11

2,661

2,676

5.375% 10/15/12

2,478

2,457

7.5% 4/1/17

3,309

3,293

Duke Realty LP:

4.625% 5/15/13

559

572

5.875% 8/15/12

98

103

Equity One, Inc.:

6% 9/15/17

717

717

6.25% 1/15/17

399

407

Federal Realty Investment Trust:

5.4% 12/1/13

355

380

5.9% 4/1/20

1,780

1,848

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

FINANCIALS - continued

Real Estate Investment Trusts - continued

Federal Realty Investment Trust:

6% 7/15/12

$ 2,371

$ 2,532

6.2% 1/15/17

501

537

HRPT Properties Trust:

5.75% 11/1/15

719

741

6.25% 6/15/17

996

1,021

6.65% 1/15/18

527

543

Washington (REIT) 5.95% 6/15/11

2,985

3,034

 

28,560

Real Estate Management & Development - 0.2%

AMB Property LP 5.9% 8/15/13

2,086

2,193

Arden Realty LP 5.2% 9/1/11

1,083

1,121

BioMed Realty LP 6.125% 4/15/20 (g)

2,364

2,418

Brandywine Operating Partnership LP:

5.625% 12/15/10

3,377

3,430

5.75% 4/1/12

1,527

1,584

Duke Realty LP:

5.4% 8/15/14

490

503

5.5% 3/1/16

3,075

3,125

5.625% 8/15/11

5,104

5,243

8.25% 8/15/19

2,379

2,712

ERP Operating LP 5.5% 10/1/12

358

384

Liberty Property LP:

5.125% 3/2/15

686

704

5.5% 12/15/16

1,227

1,265

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

789

816

Post Apartment Homes LP 6.3% 6/1/13

3,079

3,254

Regency Centers LP:

4.95% 4/15/14

494

503

5.25% 8/1/15

1,725

1,777

5.875% 6/15/17

854

888

Simon Property Group LP:

4.2% 2/1/15

2,640

2,704

4.6% 6/15/10

472

472

4.875% 8/15/10

545

548

6.75% 5/15/14

5,698

6,344

6.75% 2/1/40

4,710

4,986

Tanger Properties LP 6.15% 11/15/15

20

22

 

46,996

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

FINANCIALS - continued

Thrifts & Mortgage Finance - 0.1%

Bank of America Corp.:

5.65% 5/1/18

$ 9,440

$ 9,494

7.375% 5/15/14

1,614

1,782

Countrywide Financial Corp. 5.8% 6/7/12

4,768

5,026

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

5,150

5,388

Independence Community Bank Corp.:

2.1115% 4/1/14 (n)

3,410

3,338

2.331% 6/20/13 (n)

1

1

4.9% 9/23/10

1,371

1,383

 

26,412

TOTAL FINANCIALS

642,139

HEALTH CARE - 0.1%

Health Care Providers & Services - 0.0%

Coventry Health Care, Inc.:

5.95% 3/15/17

1,413

1,395

6.3% 8/15/14

2,925

3,099

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

3,209

3,600

 

8,094

Pharmaceuticals - 0.1%

Abbott Laboratories 5.3% 5/27/40

3,200

3,143

Novartis Capital Corp. 4.125% 2/10/14

2,369

2,532

Roche Holdings, Inc. 5% 3/1/14 (g)

4,805

5,269

Teva Pharmaceutical Finance LLC 5.55% 2/1/16

775

874

 

11,818

TOTAL HEALTH CARE

19,912

INDUSTRIALS - 0.3%

Aerospace & Defense - 0.0%

BAE Systems Holdings, Inc.:

6.375% 6/1/19 (g)

5,000

5,648

6.4% 12/15/11 (g)

661

703

 

6,351

Airlines - 0.1%

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

144

145

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

INDUSTRIALS - continued

Airlines - continued

Continental Airlines, Inc.:

6.648% 3/15/19

$ 2,280

$ 2,280

6.82% 5/1/18

179

178

6.9% 7/2/19

675

668

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

6.821% 8/10/22

283

279

7.57% 11/18/10

7,740

7,817

U.S. Airways pass-thru trust certificates:

6.85% 7/30/19

1,594

1,458

8.36% 7/20/20

1,184

1,161

 

13,986

Industrial Conglomerates - 0.2%

Covidien International Finance SA:

5.15% 10/15/10

2,044

2,075

5.45% 10/15/12

4,620

5,061

6% 10/15/17

2,368

2,673

General Electric Co. 5.25% 12/6/17

25,356

27,143

 

36,952

Machinery - 0.0%

Atlas Copco AB 5.6% 5/22/17 (g)

494

528

TOTAL INDUSTRIALS

57,817

INFORMATION TECHNOLOGY - 0.1%

Electronic Equipment & Components - 0.1%

Tyco Electronics Group SA:

5.95% 1/15/14

2,385

2,610

6% 10/1/12

3,134

3,380

6.55% 10/1/17

1,908

2,179

 

8,169

Office Electronics - 0.0%

Xerox Corp. 5.5% 5/15/12

1,295

1,381

Semiconductors & Semiconductor Equipment - 0.0%

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

3,403

3,403

TOTAL INFORMATION TECHNOLOGY

12,953

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

MATERIALS - 0.3%

Chemicals - 0.1%

Dow Chemical Co. 7.6% 5/15/14

$ 9,652

$ 11,057

Lubrizol Corp. 8.875% 2/1/19

750

908

 

11,965

Construction Materials - 0.0%

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

1,482

1,614

Containers & Packaging - 0.0%

Pactiv Corp.:

5.875% 7/15/12

1,385

1,422

6.4% 1/15/18

1,414

1,439

 

2,861

Metals & Mining - 0.2%

BHP Billiton Financial (USA) Ltd.:

5.125% 3/29/12

1,597

1,703

5.5% 4/1/14

6,648

7,391

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

1,618

1,758

Rio Tinto Finance (USA) Ltd.:

5.875% 7/15/13

9,881

10,787

6.5% 7/15/18

3,809

4,212

7.125% 7/15/28

9,574

10,694

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

4,497

3,935

Vale Overseas Ltd. 6.25% 1/23/17

1,877

2,015

 

42,495

TOTAL MATERIALS

58,935

TELECOMMUNICATION SERVICES - 0.5%

Diversified Telecommunication Services - 0.4%

AT&T, Inc.:

6.3% 1/15/38

3,095

3,223

6.7% 11/15/13

949

1,085

6.8% 5/15/36

9,241

10,178

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

1,404

1,639

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

2,197

2,288

CenturyTel, Inc. 7.6% 9/15/39

5,440

5,123

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

1,213

1,296

SBC Communications, Inc.:

5.1% 9/15/14

1,754

1,922

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

TELECOMMUNICATION SERVICES - continued

Diversified Telecommunication Services - continued

SBC Communications, Inc.: - continued

5.875% 2/1/12

$ 2,210

$ 2,369

5.875% 8/15/12

790

861

Sprint Capital Corp. 6.875% 11/15/28

15,445

12,839

Telecom Italia Capital SA:

4.95% 9/30/14

2,594

2,572

5.25% 10/1/15

3,073

3,071

6.999% 6/4/18

8,694

9,153

7.2% 7/18/36

4,780

4,631

Telefonica Emisiones SAU:

5.877% 7/15/19

5,604

5,785

6.421% 6/20/16

939

1,043

Verizon Communications, Inc.:

6.1% 4/15/18

2,674

2,978

6.25% 4/1/37

4,611

4,750

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

720

763

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

2,145

2,321

 

79,890

Wireless Telecommunication Services - 0.1%

DIRECTV Holdings LLC/DIRECTV Financing, Inc.:

4.75% 10/1/14

11,632

12,308

5.875% 10/1/19

8,257

8,775

6.35% 3/15/40 (g)

2,500

2,550

Verizon Wireless Capital LLC 5.55% 2/1/14

1,919

2,121

Vodafone Group PLC:

5% 12/16/13

1,856

2,000

5.5% 6/15/11

2,232

2,325

 

30,079

TOTAL TELECOMMUNICATION SERVICES

109,969

UTILITIES - 0.5%

Electric Utilities - 0.2%

AmerenUE 6.4% 6/15/17

2,415

2,673

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

3,325

3,613

EDP Finance BV:

4.9% 10/1/19 (g)

1,900

1,733

6% 2/2/18 (g)

2,964

2,954

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

UTILITIES - continued

Electric Utilities - continued

FirstEnergy Solutions Corp.:

4.8% 2/15/15

$ 1,798

$ 1,855

6.05% 8/15/21

2,620

2,598

Illinois Power Co. 6.125% 11/15/17

333

366

Nevada Power Co.:

6.5% 5/15/18

5,290

5,952

6.5% 8/1/18

1,270

1,432

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

2,208

2,386

Pennsylvania Electric Co. 6.05% 9/1/17

618

669

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

3,016

3,275

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

3,316

2,902

Progress Energy, Inc.:

6% 12/1/39

4,410

4,409

7.1% 3/1/11

2,737

2,857

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

1,261

1,360

Tampa Electric Co. 6.15% 5/15/37

4,486

4,748

 

45,782

Gas Utilities - 0.0%

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

357

373

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

2,507

2,579

 

2,952

Independent Power Producers & Energy Traders - 0.0%

Duke Capital LLC 5.668% 8/15/14

1,662

1,774

Exelon Generation Co. LLC 5.35% 1/15/14

1,235

1,335

 

3,109

Multi-Utilities - 0.3%

Dominion Resources, Inc.:

4.75% 12/15/10

3,178

3,244

6.3% 9/30/66 (n)

12,240

11,322

7.5% 6/30/66 (n)

2,636

2,557

DTE Energy Co. 7.05% 6/1/11

795

836

KeySpan Corp. 7.625% 11/15/10

400

412

MidAmerican Energy Holdings, Co.:

5.75% 4/1/18

1,320

1,437

5.875% 10/1/12

2,361

2,576

6.5% 9/15/37

3,287

3,589

National Grid PLC 6.3% 8/1/16

1,062

1,196

NiSource Finance Corp.:

5.25% 9/15/17

682

702

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

UTILITIES - continued

Multi-Utilities - continued

NiSource Finance Corp.: - continued

5.4% 7/15/14

$ 6,089

$ 6,534

5.45% 9/15/20

980

985

6.4% 3/15/18

1,072

1,163

6.8% 1/15/19

4,065

4,495

7.875% 11/15/10

826

849

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

4,990

4,541

WPS Resources Corp. 6.11% 12/1/66 (n)

713

642

 

47,080

TOTAL UTILITIES

98,923

TOTAL NONCONVERTIBLE BONDS

(Cost $1,271,932)

1,378,372

U.S. Government and Government Agency Obligations - 12.2%

 

U.S. Government Agency Obligations - 0.1%

Fannie Mae 2.75% 3/13/14

17,370

17,924

U.S. Treasury Inflation Protected Obligations - 1.2%

U.S. Treasury Inflation-Indexed Notes:

2.125% 2/15/40

157,660

168,841

2.375% 1/15/27 (k)

61,505

67,203

TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS

236,044

U.S. Treasury Obligations - 10.9%

U.S. Treasury Bills, yield at date of purchase 0.15% to 0.16% 7/8/10 to 7/22/10 (j)

12,700

12,698

U.S. Treasury Bonds:

4.375% 11/15/39

54,120

55,473

4.375% 5/15/40

116,739

119,877

4.625% 2/15/40

38,580

41,196

U.S. Treasury Notes:

1.375% 2/15/13 (k)

590,000

593,218

1.75% 4/15/13

532,330

540,272

U.S. Government and Government Agency Obligations - continued

 

Principal Amount (000s)

Value (000s)

U.S. Treasury Obligations - continued

U.S. Treasury Notes: - continued

1.75% 3/31/14

$ 460,000

$ 460,863

1.875% 4/30/14 (k)

348,380

350,312

TOTAL U.S. TREASURY OBLIGATIONS

2,173,909

TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $2,389,754)

2,427,877

U.S. Government Agency - Mortgage Securities - 1.8%

 

Fannie Mae - 1.1%

4% 4/1/24 to 8/1/39

11,613

11,737

4% 5/1/25 (h)(i)

4,000

4,107

4% 6/1/25

4,000

4,100

4% 6/1/25

800

820

4.278% 6/1/36 (n)

372

388

4.5% 6/1/25 (h)

4,000

4,184

4.5% 4/1/38 to 9/1/39

32,397

33,124

4.5% 6/1/40 (h)(i)

1,000

1,020

4.5% 6/1/40 (h)(i)

5,000

5,101

5% 12/1/25 to 5/1/40

11,066

11,608

5% 6/1/40 (h)

9,000

9,419

5% 6/1/40 (h)(i)

6,000

6,279

5% 6/1/40

2,000

2,093

5.496% 7/1/37 (n)

921

969

5.5% 1/1/24 to 3/1/40 (h)

42,364

45,316

5.5% 6/1/40 (h)

1,000

1,067

5.5% 6/1/40 (h)

1,000

1,067

5.5% 6/1/40 (h)

7,500

8,000

5.5% 6/1/40 (h)(i)

11,000

11,733

5.5% 6/1/40 (h)(i)

6,000

6,400

5.5% 6/1/40 (h)(i)

4,000

4,267

6% 2/1/23 to 7/1/38

11,049

11,958

6% 6/1/40 (h)

5,000

5,385

6% 6/1/40 (h)

2,000

2,154

6% 6/1/40 (h)(i)

11,000

11,847

U.S. Government Agency - Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Fannie Mae - continued

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

$ 6,618

$ 7,306

6.5% 6/1/40 (h)

200

218

TOTAL FANNIE MAE

211,667

Freddie Mac - 0.3%

5% 3/1/19 to 6/1/40

40,448

42,748

5.585% 10/1/35 (n)

343

359

6% 7/1/37

91

99

6% 5/1/40 (h)

6,750

7,289

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

10,898

12,033

TOTAL FREDDIE MAC

62,528

Government National Mortgage Association - 0.4%

4% 9/15/39 to 4/15/40

5,991

5,992

4% 6/1/40 (h)

1,000

998

4.5% 5/15/39 to 4/15/40

7,988

8,210

4.5% 6/1/40 (h)

1,000

1,024

4.5% 6/1/40 (h)

1,000

1,024

4.5% 6/1/40 (h)

6,000

6,143

4.5% 6/1/40 (h)

2,000

2,048

4.5% 6/1/40 (h)

1,000

1,026

4.5% 6/1/40 (h)

6,000

6,158

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

2,677

2,876

5.5% 6/1/40 (h)(i)

6,000

6,434

5.5% 6/1/40 (h)(i)

4,000

4,289

5.5% 6/1/40 (h)(i)

11,000

11,795

6% 2/15/34

15,001

16,468

6.5% 3/15/34

7,082

7,883

TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION

82,368

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $347,278)

356,563

Asset-Backed Securities - 1.0%

 

Principal Amount (000s)

Value (000s)

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

$ 1,999

$ 1,173

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

117

0*

ACE Securities Corp. Home Equity Loan Trust:

Series 2004-HE1:

Class M1, 1.0928% 3/25/34 (n)

179

170

Class M2, 1.9928% 3/25/34 (n)

482

317

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

233

208

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

103

3

Series 2006-OP1:

Class M4, 0.7128% 4/25/36 (n)

187

5

Class M5, 0.7328% 4/25/36 (n)

60

0*

Advanta Business Card Master Trust:

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

1,421

1,400

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

659

649

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

206

5

Series 2007-A1 Class A, 0.3897% 1/20/15 (n)

441

434

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

730

719

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

179

179

Ally Master Owner Trust Series 2010-2 Class A, 4.25% 4/15/17 (g)

8,970

9,192

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

100

101

AmeriCredit Prime Automobile Receivables Trust:

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

777

769

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

130

131

Ameriquest Mortgage Securities, Inc. pass-thru certificates:

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

119

75

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

168

21

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

2,266

1,695

Argent Securities, Inc. pass-thru certificates:

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

53

37

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

616

368

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

1,600

762

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

1,629

515

Asset Backed Securities Corp. Home Equity Loan Trust:

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

2,929

1,794

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

261

15

Axon Financial Funding Ltd. 5.96% 4/4/17 (d)(g)(n)

6,960

0*

Bear Stearns Asset Backed Securities Trust Series 2006-3 Class A1, 0.4928% 8/25/36 (n)

1,230

1,201

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

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

$ 1,229

$ 1,227

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

2,409

2,288

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

385

378

Capital Auto Receivables Asset Trust:

Series 2006-2:

Class B, 5.07% 12/15/11

2,220

2,244

Class C, 5.31% 6/15/12

1,633

1,659

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

583

610

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

285

285

Capital One Auto Finance Trust Series 2007-B Class A3A, 5.03% 4/15/12

146

147

Capital One Multi-Asset Execution Trust:

Series 2003-A5 Class A5, 0.6269% 7/15/13 (n)

4,890

4,891

Series 2007-C3 Class C3, 0.6269% 4/15/13 (g)(n)

3,191

3,190

Series 2009-A1 Class A1, 1.4369% 4/15/13 (n)

4,100

4,101

Capital Trust Ltd. Series 2004-1:

Class A2, 0.7897% 7/20/39 (g)(n)

502

62

Class B, 1.0897% 7/20/39 (g)(n)

290

20

Class C, 1.4397% 7/20/39 (g)(n)

372

9

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

641

662

Carrington Mortgage Loan Trust:

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

5,102

996

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

467

9

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

3,478

694

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

205

8

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

1,978

708

Cendant Timeshare Receivables Funding LLC:

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

177

157

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

508

507

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

14,250

14,222

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

13,320

13,476

Citigroup Mortgage Loan Trust:

Series 2005-HE4 Class A2C, 0.6128% 10/25/35 (n)

2,921

2,764

Series 2007-AMC4 Class M1, 0.6128% 5/25/37 (n)

840

33

Countrywide Asset-Backed Certificates Trust:

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

120

115

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

698

655

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

8,055

7,288

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

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

$ 363

$ 0*

Countrywide Home Loans, Inc.:

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

175

65

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

645

221

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

1,565

1,413

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

243

234

CPS Auto Receivables Trust:

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

480

487

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

114

115

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

43

37

Fieldstone Mortgage Investment Corp.:

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

319

119

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

6,512

2,064

First Franklin Mortgage Loan Trust:

Series 2004-FF2 Class M3, 1.1678% 3/25/34 (n)

28

4

Series 2005-FF9 Class A3, 0.6228% 10/25/35 (n)

3,646

3,222

Series 2006-FF12 Class A2, 0.3828% 9/25/36 (n)

8

8

Series 2006-FF14 Class A2, 0.4028% 10/25/36 (n)

2,368

2,186

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

564

587

Ford Credit Floorplan Master Owner Trust:

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

848

823

Series 2010-1 Class A, 1.9869% 12/15/14 (g)(n)

11,410

11,535

Franklin Auto Trust:

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

71

72

Series 2007-1:

Class A4, 5.03% 2/16/15

500

511

Class C, 5.43% 2/16/15

613

594

Fremont Home Loan Trust:

Series 2005-A:

Class M3, 0.8328% 1/25/35 (n)

1,041

370

Class M4, 1.0228% 1/25/35 (n)

399

53

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

325

6

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

3,122

2,141

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

1,573

1,258

GE Business Loan Trust:

Series 2003-1 Class A, 0.7669% 4/15/31 (g)(n)

313

275

Series 2006-2A:

Class A, 0.5169% 11/15/34 (g)(n)

1,985

1,588

Class B, 0.6169% 11/15/34 (g)(n)

717

430

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

GE Business Loan Trust: - continued

Class C, 0.7169% 11/15/34 (g)(n)

$ 1,191

$ 476

Class D, 1.0869% 11/15/34 (g)(n)

453

109

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

959

942

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

736

546

GS Auto Loan Trust Series 2007-1:

Class B, 5.53% 12/15/14

64

65

Class C, 5.74% 12/15/14

137

136

GSAMP Trust:

Series 2004-AR1 Class M1, 0.9928% 6/25/34 (n)

2,938

1,808

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

1,186

63

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

409

6

Guggenheim Structured Real Estate Funding Ltd.:

Series 2005-1 Class C, 1.4228% 5/25/30 (g)(n)

724

181

Series 2006-3:

Class B, 0.7428% 9/25/46 (g)(n)

719

144

Class C, 0.8928% 9/25/46 (g)(n)

1,676

251

Home Equity Asset Trust:

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

477

254

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

917

633

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

36

22

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

178

174

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

2,338

2,244

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

12

11

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

922

691

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

1,642

596

JPMorgan Mortgage Acquisition Trust:

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

3,185

75

Series 2007-CH1:

Class AV4, 0.4728% 10/25/36 (n)

1,641

1,327

Class MV1, 0.5728% 10/25/36 (n)

1,335

488

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

574

27

Keycorp Student Loan Trust:

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

964

801

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

2,909

701

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

304

0*

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

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

$ 2,408

$ 2,446

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

218

155

Marriott Vacation Club Owner Trust Series 2006-2A:

Class B, 5.442% 10/20/28 (g)

17

15

Class C, 5.691% 10/20/28 (g)

7

6

Class D, 6.01% 10/20/28 (g)

89

69

MASTR Asset Backed Securities Trust:

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

589

19

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

861

41

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

202

89

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

261

265

Merrill Lynch Mortgage Investors Trust:

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

756

542

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

2,439

2,150

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

28

28

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

3,539

2,333

Morgan Stanley ABS Capital I Trust:

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

63

48

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

439

207

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

457

101

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

4,086

104

National Collegiate Funding LLC Series 2004-GT1 Class IO1, 7.87% 6/25/10 (b)(g)(n)

4,353

37

National Collegiate Student Loan Trust:

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

2,620

475

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

466

17

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

232

15

Series 2006-3:

Class A1, 0.3728% 9/25/19 (n)

57

57

Class AIO, 7.1% 1/25/12 (b)

371

37

Series 2006-4:

Class A1, 0.3728% 3/25/25 (n)

570

562

Class AIO, 6.35% 2/27/12 (b)

1,181

117

Class D, 1.4428% 5/25/32 (n)

2,225

64

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

1,587

200

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

1,351

179

New Century Home Equity Loan Trust:

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

1,566

651

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

New Century Home Equity Loan Trust: - continued

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

$ 857

$ 93

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

157

156

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

1,290

477

Option One Mortgage Loan Trust:

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

107

104

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

180

172

Park Place Securities, Inc.:

Series 2004-WCW1:

Class M3, 1.5928% 9/25/34 (n)

585

249

Class M4, 1.7928% 9/25/34 (n)

750

128

Series 2005-WCH1:

Class M2, 0.8628% 1/25/36 (n)

2,624

2,125

Class M3, 0.9028% 1/25/36 (n)

525

315

Class M4, 1.1728% 1/25/36 (n)

1,620

490

Series 2005-WHQ2:

Class M7, 1.5928% 5/25/35 (n)

1,920

32

Class M9, 2.2228% 5/25/35 (n)

1,816

4

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

3,609

3,586

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

89

89

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

390

14

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

125

122

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

6

5

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

1,877

1,242

Securitized Asset Backed Receivables LLC Trust:

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

96

2

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

640

325

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

318

310

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

995

926

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

1,396

182

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

655

0*

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

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

$ 84

$ 13

Structured Asset Securities Corp. Series 2007-BC4 Class A3, 0.5125% 11/25/37 (n)

8,195

7,637

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

1,333

1,112

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

1,112

1,097

Swift Master Auto Receivables Trust:

Series 2007-1:

Class A, 0.4369% 6/15/12 (n)

3,836

3,835

Class B, 0.5569% 6/15/12 (n)

424

424

Class C, 0.8369% 6/15/12 (n)

254

254

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

2,863

2,854

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

32

22

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

2,131

107

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

516

528

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

4,027

4,021

Wachovia Auto Loan Owner Trust:

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

291

294

Series 2006-2A:

Class B, 5.29% 6/20/12 (g)

408

414

Class D, 5.54% 12/20/12 (g)

582

588

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

974

0*

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

68

1

WaMu Master Note Trust:

Series 2006-C2A Class C2, 0.8369% 8/15/15 (g)(n)

9,213

9,104

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

8,635

8,767

Series 2007-A5A Class A5, 1.0869% 10/15/14 (g)(n)

1,190

1,191

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

8

0*

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

1,964

648

TOTAL ASSET-BACKED SECURITIES

(Cost $187,819)

193,620

Collateralized Mortgage Obligations - 0.8%

 

Principal Amount (000s)

Value (000s)

Private Sponsor - 0.8%

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

$ 1,568

$ 862

Banc of America Commercial Mortgage Trust Series 2007-2:

Class B, 5.8772% 4/10/49 (n)

73

19

Class C, 5.8772% 4/10/49 (n)

194

46

Class D, 5.8772% 4/10/49 (n)

97

20

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

7,203

7,260

Banc of America Mortgage Securities, Inc.:

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

2,092

1,913

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

2,196

1,963

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

1,140

1,005

Series 2004-B:

Class 1A1, 2.9236% 3/25/34 (n)

151

131

Class 2A2, 3.0591% 3/25/34 (n)

1,304

1,188

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

2,132

1,955

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

1,911

1,662

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

1,711

1,501

Bayview Commercial Asset Trust Series 2006-3A Class IO, 2.3908% 10/25/36 (b)(g)(n)

40,088

3,215

Bear Stearns ALT-A Trust floater Series 2005-1 Class A1, 0.6228% 1/25/35 (n)

2,626

1,968

Bear Stearns Commercial Mortgage Securities Trust Series 2006-T24 Class X2, 0.6081% 10/12/41 (b)(g)(n)

4,528

55

Chase Mortgage Finance Trust:

Series 2007-A1 Class 1A5, 3.5182% 2/25/37 (n)

526

496

Series 2007-A2 Class 2A1, 3.5609% 7/25/37 (n)

4,222

3,981

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

1,314

1,351

Citigroup Mortgage Loan Trust Series 2004-UST1:

Class A3, 3.0088% 8/25/34 (n)

1,370

1,291

Class A4, 2.803% 8/25/34 (n)

1,202

1,131

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

1,468

294

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

1,314

1,284

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

22

21

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

Private Sponsor - continued

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

$ 270

$ 259

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

147

144

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

1,846

1,732

Fosse Master Issuer PLC floater Series 2006-1A:

Class B2, 0.4644% 10/18/54 (g)(n)

3,771

3,681

Class C2, 0.7744% 10/18/54 (g)(n)

1,263

1,211

Class M2, 0.5544% 10/18/54 (g)(n)

2,165

2,086

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

3,161

2,970

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

3,418

3,324

Granite Master Issuer PLC floater:

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

206

87

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

7,110

3,271

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

5,920

2,427

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

1,233

530

Series 2006-4:

Class B1, 0.4297% 12/20/54 (n)

4,556

3,371

Class C1, 0.7197% 12/20/54 (n)

2,785

1,198

Class M1, 0.5097% 12/20/54 (n)

1,198

761

Series 2007-1:

Class 1C1, 0.6397% 12/20/54 (n)

2,417

1,015

Class 1M1, 0.4897% 12/20/54 (n)

1,611

999

Class 2C1, 0.7697% 12/20/54 (n)

1,098

461

Class 2M1, 0.5897% 12/20/54 (n)

2,067

1,282

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

2,864

1,217

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

472

257

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

749

631

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

431

257

JPMorgan Chase Commercial Mortgage Securities Trust Series 2007-CB18:

Class A1, 5.32% 6/12/47 (n)

101

103

Class A3, 5.447% 6/12/47 (n)

2,492

2,511

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

Private Sponsor - continued

JPMorgan Mortgage Trust:

sequential payer Series 2006-A5 Class 3A5, 5.946% 8/25/36 (n)

$ 2,355

$ 1,895

Series 2004-A3 Class 4A1, 4.2708% 7/25/34 (n)

1,992

1,923

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

1,670

1,609

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

2,957

2,781

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

591

592

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

1,318

800

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

545

3

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

2,134

1,197

Merrill Lynch Floating Trust floater Series 2006-1:

Class B, 0.507% 6/15/22 (g)(n)

273

246

Class C, 0.527% 6/15/22 (g)(n)

1,682

1,463

Class D, 0.537% 6/15/22 (g)(n)

647

550

Class E, 0.547% 6/15/22 (g)(n)

1,035

807

Class F, 0.577% 6/15/22 (g)(n)

1,683

1,245

Class G, 0.647% 6/15/22 (g)(n)

387

271

Class H, 0.667% 6/15/22 (g)(n)

778

505

Class J, 0.707% 6/15/22 (g)(n)

906

498

Merrill Lynch Mortgage Investors Trust:

Series 2004-A4 Class A1, 2.9738% 8/25/34 (n)

1,940

1,823

Series 2005-A2 Class A7, 2.8011% 2/25/35 (n)

1,897

1,737

Series 2006-A6 Class A4, 3.6176% 10/25/33 (n)

1,660

1,484

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

5,626

5,838

Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 0.6328% 7/25/35 (n)

2,832

2,118

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

3,232

196

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

2,452

2,450

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

921

802

RESI Finance LP/RESI Finance DE Corp. floater:

Series 2003-B:

Class B5, 2.6471% 7/10/35 (g)(n)

2,181

1,171

Class B6, 3.1471% 7/10/35 (g)(n)

464

243

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

Private Sponsor - continued

RESI Finance LP/RESI Finance DE Corp. floater: - continued

Series 2004-A:

Class B4, 1.4971% 2/10/36 (g)(n)

$ 722

$ 379

Class B5, 1.9971% 2/10/36 (g)(n)

482

254

Series 2004-B:

Class B4, 1.3971% 2/10/36 (g)(n)

552

283

Class B5, 1.8471% 2/10/36 (g)(n)

405

179

Class B6, 2.2971% 2/10/36 (g)(n)

143

47

Series 2004-C:

Class B4, 1.2471% 9/10/36 (g)(n)

743

389

Class B5, 1.6471% 9/10/36 (g)(n)

828

371

Class B6, 2.0471% 9/10/36 (g)(n)

154

49

Residential Asset Mortgage Products, Inc. sequential payer:

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

1,184

1,169

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

86

75

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

511

421

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

185

181

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

46

24

Structured Asset Securities Corp.:

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

561

533

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

539

537

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

3,593

1,902

Thornburg Mortgage Securities Trust floater:

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

13,472

13,213

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

5,544

5,399

WaMu Mortgage pass-thru certificates:

Series 2003-AR8 Class A, 2.8459% 8/25/33 (n)

990

934

Series 2005-AR3 Class A2, 2.7272% 3/25/35 (n)

2,568

2,263

Wells Fargo Mortgage Backed Securities Trust:

Series 2004-EE Class 2A2, 3.0855% 12/25/34 (n)

895

867

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

1,869

1,833

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

4,976

4,693

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

719

689

Series 2005-AR12:

Class 2A5, 2.9646% 7/25/35 (n)

12,260

11,278

Class 2A6, 2.9646% 7/25/35 (n)

596

549

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

Private Sponsor - continued

Wells Fargo Mortgage Backed Securities Trust: - continued

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

$ 3,214

$ 2,943

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

1,081

979

TOTAL PRIVATE SPONSOR

157,077

U.S. Government Agency - 0.0%

Fannie Mae subordinate REMIC pass-thru certificates sequential payer Series 2002-57 Class BT, 6% 11/25/31

234

234

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $121,918)

157,311

Commercial Mortgage Securities - 2.3%

 

Asset Securitization Corp. Series 1997-D5:

Class A6, 7.1896% 2/14/43 (n)

1,537

1,632

Class A2, 7.1508% 2/14/43 (n)

966

1,051

Class A3, 7.2008% 2/14/43 (n)

1,043

1,122

Class PS1, 1.5207% 2/14/43 (b)(n)

4,143

134

Banc of America Commercial Mortgage Trust:

sequential payer:

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

1,534

1,625

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

463

469

Series 2006-5:

Class A1, 5.185% 9/10/47

619

626

Class A2, 5.317% 9/10/47

5,071

5,170

Class A3, 5.39% 9/10/47

1,832

1,840

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

2,628

2,665

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

409

422

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

1,310

1,337

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

759

115

Series 2007-3:

Class A3, 5.837% 6/10/49 (n)

2,194

2,271

Class A4, 5.837% 6/10/49 (n)

2,739

2,593

Banc of America Commercial Mortgage, Inc.:

sequential payer:

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

90

90

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

2,878

2,797

Series 2004-2:

Class A3, 4.05% 11/10/38

1,633

1,656

Class A4, 4.153% 11/10/38

1,666

1,683

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

206

206

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

$ 2,496

$ 2,495

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

1,236

1,246

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

3,695

3,763

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

735

721

Series 2001-PB1:

Class J, 7.166% 5/11/35 (g)

329

312

Class K, 6.15% 5/11/35 (g)

611

538

Series 2003-2 Class XP, 0.4312% 3/11/41 (b)(g)(n)

16,244

27

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

4,082

4,152

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

2,365

2,425

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

791

245

Banc of America Large Loan, Inc. floater:

Series 2005-MIB1:

Class C, 0.6469% 3/15/22 (g)(n)

564

496

Class D, 0.6969% 3/15/22 (g)(n)

572

492

Class E, 0.7369% 3/15/22 (g)(n)

472

396

Class F, 0.8069% 3/15/22 (g)(n)

676

534

Class G, 0.8669% 3/15/22 (g)(n)

438

315

Series 2006-BIX1:

Class C, 0.5169% 10/15/19 (g)(n)

844

734

Class D, 0.5469% 10/15/19 (g)(n)

1,031

876

Class E, 0.5769% 10/15/19 (g)(n)

956

793

Class F, 0.6469% 10/15/19 (g)(n)

2,868

2,209

Class G, 0.6669% 10/15/19 (g)(n)

1,350

918

Bayview Commercial Asset Trust:

floater:

Series 2003-2 Class M1, 1.1928% 12/25/33 (g)(n)

94

56

Series 2004-1:

Class A, 0.7028% 4/25/34 (g)(n)

1,608

1,270

Class B, 2.2428% 4/25/34 (g)(n)

180

90

Class M1, 0.9028% 4/25/34 (g)(n)

145

98

Class M2, 1.5428% 4/25/34 (g)(n)

133

77

Series 2004-2:

Class A, 0.7728% 8/25/34 (g)(n)

1,249

993

Class M1, 0.9228% 8/25/34 (g)(n)

215

137

Series 2004-3:

Class A1, 0.7128% 1/25/35 (g)(n)

2,775

2,192

Class A2, 0.7628% 1/25/35 (g)(n)

398

267

Class M1, 0.8428% 1/25/35 (g)(n)

479

311

Class M2, 1.3428% 1/25/35 (g)(n)

228

141

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Bayview Commercial Asset Trust: - continued

floater:

Series 2005-2A:

Class A1, 0.6528% 8/25/35 (g)(n)

$ 2,036

$ 1,431

Class M1, 0.7728% 8/25/35 (g)(n)

111

55

Class M2, 0.8228% 8/25/35 (g)(n)

182

85

Class M3, 0.8428% 8/25/35 (g)(n)

101

44

Class M4, 0.9528% 8/25/35 (g)(n)

93

38

Series 2005-3A:

Class A1, 0.6628% 11/25/35 (g)(n)

814

590

Class A2, 0.7428% 11/25/35 (g)(n)

734

491

Class M1, 0.7828% 11/25/35 (g)(n)

96

48

Class M2, 0.8328% 11/25/35 (g)(n)

122

58

Class M3, 0.8528% 11/25/35 (g)(n)

109

49

Class M4, 0.9428% 11/25/35 (g)(n)

136

57

Series 2005-4A:

Class A2, 0.7328% 1/25/36 (g)(n)

1,885

1,263

Class B1, 1.7428% 1/25/36 (g)(n)

163

57

Class M1, 0.7928% 1/25/36 (g)(n)

608

334

Class M2, 0.8128% 1/25/36 (g)(n)

182

91

Class M3, 0.8428% 1/25/36 (g)(n)

266

125

Class M4, 0.9528% 1/25/36 (g)(n)

147

62

Class M5, 0.9928% 1/25/36 (g)(n)

147

59

Class M6, 1.0428% 1/25/36 (g)(n)

156

59

Series 2006-1:

Class A2, 0.7028% 4/25/36 (g)(n)

291

178

Class M1, 0.7228% 4/25/36 (g)(n)

104

48

Class M2, 0.7428% 4/25/36 (g)(n)

110

47

Class M3, 0.7628% 4/25/36 (g)(n)

95

38

Class M4, 0.8628% 4/25/36 (g)(n)

54

20

Class M5, 0.9028% 4/25/36 (g)(n)

52

18

Class M6, 0.9828% 4/25/36 (g)(n)

104

35

Series 2006-2A:

Class A1, 0.5728% 7/25/36 (g)(n)

4,406

3,046

Class A2, 0.6228% 7/25/36 (g)(n)

262

175

Class B1, 1.2128% 7/25/36 (g)(n)

98

29

Class B3, 3.0428% 7/25/36 (g)(n)

148

41

Class M1, 0.6528% 7/25/36 (g)(n)

275

121

Class M2, 0.6728% 7/25/36 (g)(n)

194

80

Class M3, 0.6928% 7/25/36 (g)(n)

161

61

Class M4, 0.7628% 7/25/36 (g)(n)

109

39

Class M5, 0.8128% 7/25/36 (g)(n)

133

45

Class M6, 0.8828% 7/25/36 (g)(n)

199

64

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Bayview Commercial Asset Trust: - continued

floater:

Series 2006-3A:

Class B1, 1.1428% 10/25/36 (g)(n)

$ 172

$ 34

Class B2, 1.6928% 10/25/36 (g)(n)

124

22

Class B3, 2.9428% 10/25/36 (g)(n)

202

36

Class M4, 0.7728% 10/25/36 (g)(n)

190

57

Class M5, 0.8228% 10/25/36 (g)(n)

228

61

Class M6, 0.9028% 10/25/36 (g)(n)

446

103

Series 2006-4A:

Class A1, 0.5728% 12/25/36 (g)(n)

965

676

Class A2, 0.6128% 12/25/36 (g)(n)

4,717

2,332

Class B1, 1.0428% 12/25/36 (g)(n)

151

33

Class B2, 1.5928% 12/25/36 (g)(n)

154

31

Class B3, 2.7928% 12/25/36 (g)(n)

261

47

Class M1, 0.6328% 12/25/36 (g)(n)

314

107

Class M2, 0.6528% 12/25/36 (g)(n)

209

66

Class M3, 0.6828% 12/25/36 (g)(n)

211

62

Class M4, 0.7428% 12/25/36 (g)(n)

255

71

Class M5, 0.7828% 12/25/36 (g)(n)

232

60

Class M6, 0.8628% 12/25/36 (g)(n)

209

50

Series 2007-1:

Class A2, 0.6128% 3/25/37 (g)(n)

990

643

Class B1, 1.0128% 3/25/37 (g)(n)

318

73

Class B2, 1.4928% 3/25/37 (g)(n)

228

43

Class B3, 3.6928% 3/25/37 (g)(n)

628

107

Class M1, 0.6128% 3/25/37 (g)(n)

277

119

Class M2, 0.6328% 3/25/37 (g)(n)

207

79

Class M3, 0.6628% 3/25/37 (g)(n)

185

61

Class M4, 0.7128% 3/25/37 (g)(n)

150

45

Class M5, 0.7628% 3/25/37 (g)(n)

231

65

Class M6, 0.8428% 3/25/37 (g)(n)

323

81

Series 2007-2A:

Class A1, 0.6128% 7/25/37 (g)(n)

883

645

Class A2, 0.6628% 7/25/37 (g)(n)

828

439

Class B1, 1.9428% 7/25/37 (g)(n)

256

44

Class B2, 2.5928% 7/25/37 (g)(n)

222

38

Class B3, 3.6928% 7/25/37 (g)(n)

250

44

Class M1, 0.7128% 7/25/37 (g)(n)

290

111

Class M2, 0.7528% 7/25/37 (g)(n)

159

50

Class M3, 0.8328% 7/25/37 (g)(n)

161

45

Class M4, 0.9928% 7/25/37 (g)(n)

318

76

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Bayview Commercial Asset Trust: - continued

floater:

Series 2007-2A:

Class M5, 1.0928% 7/25/37 (g)(n)

$ 280

$ 59

Class M6, 1.3428% 7/25/37 (g)(n)

356

66

Series 2007-3:

Class A2, 0.6328% 7/25/37 (g)(n)

1,030

528

Class B1, 1.2928% 7/25/37 (g)(n)

229

45

Class B2, 1.9428% 7/25/37 (g)(n)

574

97

Class B3, 4.3428% 7/25/37 (g)(n)

306

46

Class M1, 0.6528% 7/25/37 (g)(n)

205

77

Class M2, 0.6828% 7/25/37 (g)(n)

219

76

Class M3, 0.7128% 7/25/37 (g)(n)

344

112

Class M4, 0.8428% 7/25/37 (g)(n)

541

158

Class M5, 0.9428% 7/25/37 (g)(n)

283

70

Class M6, 1.1428% 7/25/37 (g)(n)

215

50

Series 2007-4A:

Class B1, 2.8928% 9/25/37 (g)(n)

336

44

Class B2, 3.7928% 9/25/37 (g)(n)

1,213

146

Class M1, 1.2928% 9/25/37 (g)(n)

323

84

Class M2, 1.3928% 9/25/37 (g)(n)

323

71

Class M4, 1.9428% 9/25/37 (g)(n)

818

147

Class M5, 2.0928% 9/25/37 (g)(n)

818

123

Class M6, 2.2928% 9/25/37 (g)(n)

822

115

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

3,373

124

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

7,650

819

Bear Stearns Commercial Mortgage Securities Trust:

floater:

Series 2006-BBA7:

Class G, 0.7769% 3/15/19 (g)(n)

884

442

Class H, 0.9869% 3/15/19 (g)(n)

595

244

Class J, 1.1869% 3/15/19 (g)(n)

447

170

Series 2007-BBA8:

Class D, 0.5869% 3/15/22 (g)(n)

653

424

Class E, 0.6369% 3/15/22 (g)(n)

3,391

2,082

Class F, 0.6869% 3/15/22 (g)(n)

2,081

1,202

Class G, 0.7369% 3/15/22 (g)(n)

534

294

Class H, 0.8869% 3/15/22 (g)(n)

653

322

Class J, 1.0369% 3/15/22 (g)(n)

653

265

sequential payer:

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

517

526

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

1,388

1,415

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Bear Stearns Commercial Mortgage Securities Trust: - continued

sequential payer:

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

$ 1,239

$ 1,261

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

3,555

3,671

Series 2007-PW16:

Class A4, 5.9076% 6/11/40 (n)

769

769

Class AAB, 5.9076% 6/11/40 (n)

6,290

6,575

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

779

792

Series 2007-PW18:

Class A2, 5.613% 6/11/50

430

443

Class A4, 5.7% 6/11/50

5,820

5,747

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

370

378

Series 2003-PWR2 Class X2, 0.5984% 5/11/39 (b)(g)(n)

10,186

68

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

4,638

4,800

Series 2006-PW14 Class X2, 0.8482% 12/11/38 (b)(g)(n)

17,806

349

Series 2006-T22:

Class A1, 5.415% 4/12/38 (n)

146

146

Class A4, 5.6286% 4/12/38 (n)

164

172

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

371

378

Series 2007-PW16:

Class B, 5.9076% 6/11/40 (g)(n)

210

75

Class C, 5.9076% 6/11/40 (g)(n)

175

54

Class D, 5.9076% 6/11/40 (g)(n)

175

45

Series 2007-PW18 Class X2, 0.4862% 6/11/50 (b)(g)(n)

122,743

1,643

Series 2007-T28:

Class A1, 5.422% 9/11/42

207

213

Class X2, 0.3328% 9/11/42 (b)(g)(n)

61,386

503

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

1,070

647

CDC Commercial Mortgage Trust Series 2002-FX1:

Class G, 6.625% 5/15/35 (g)

1,544

1,628

Class XCL, 2.3619% 5/15/35 (b)(g)(n)

17,940

572

Chase Commercial Mortgage Securities Corp.:

Series 1999-2:

Class E, 7.734% 1/15/32

527

526

Class F, 7.734% 1/15/32

285

283

Series 2001-245 Class A2, 6.4842% 2/12/16 (g)(n)

1,322

1,358

Citigroup Commercial Mortgage Trust:

floater Series 2006-FL2:

Class F, 0.6469% 8/16/21 (g)(n)

469

386

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Citigroup Commercial Mortgage Trust: - continued

floater Series 2006-FL2:

Class G, 0.6669% 8/15/21 (g)(n)

$ 586

$ 440

Class H, 0.7069% 8/15/21 (g)(n)

468

320

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

9,115

9,160

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

2,220

1,945

Series 2007-C6:

Class A1, 5.622% 12/10/49 (n)

2,103

2,151

Class A2, 5.8882% 12/10/49 (n)

1,600

1,659

Class A4, 5.8882% 12/10/49 (n)

4,371

4,316

Citigroup/Deutsche Bank Commercial Mortgage Trust:

sequential payer Series 2007-CD4:

Class A1, 4.977% 12/11/49

256

259

Class A2A, 5.237% 12/11/49

1,169

1,192

Class A4, 5.322% 12/11/49

1,949

1,845

Series 2007-CD4:

Class A3, 5.293% 12/11/49

1,279

1,254

Class C, 5.476% 12/11/49

2,474

693

Cobalt CMBS Commercial Mortgage Trust:

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

1,314

1,343

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

3,942

710

COMM pass-thru certificates:

floater:

Series 2005-F10A:

Class B, 0.5669% 4/15/17 (g)(n)

2,943

2,384

Class C, 0.6069% 4/15/17 (g)(n)

1,057

835

Class D, 0.6469% 4/15/17 (g)(n)

1,043

803

Class E, 0.7069% 4/15/17 (g)(n)

332

249

Class F, 0.7469% 4/15/17 (g)(n)

188

122

Class G, 0.8869% 4/15/17 (g)(n)

188

100

Class H, 0.9569% 4/15/17 (g)(n)

188

72

Class J, 1.1869% 4/15/17 (g)(n)

144

40

Series 2005-FL11:

Class C, 0.6369% 11/15/17 (g)(n)

1,335

1,189

Class D, 0.6769% 11/15/17 (g)(n)

70

61

Class E, 0.7269% 11/15/17 (g)(n)

246

212

Class F, 0.7869% 11/15/17 (g)(n)

272

220

Class G, 0.8369% 11/15/17 (g)(n)

188

128

Series 2006-FL12 Class AJ, 0.4669% 12/15/20 (g)(n)

1,872

1,535

sequential payer:

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

42

42

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

COMM pass-thru certificates: - continued

sequential payer:

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

$ 3,744

$ 3,761

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

2,221

2,223

Series 2007-C9 Class A4, 6.0098% 12/10/49 (n)

2,907

2,927

Series 2004-LBN2 Class X2, 1.0038% 3/10/39 (b)(g)(n)

3,746

23

Series 2006-C8:

Class B, 5.44% 12/10/46

2,276

798

Class XP, 0.6771% 12/10/46 (b)(n)

21,898

311

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

68

68

Credit Suisse Commercial Mortgage Trust:

sequential payer:

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

1,596

1,550

Series 2006-C5:

Class A1, 5.297% 12/15/39

418

423

Class AJ, 5.373% 12/15/39

2,661

1,382

Series 2007-C2:

Class A1, 5.269% 1/15/49

40

40

Class A2, 5.448% 1/15/49 (n)

9,295

9,485

Class A3, 5.542% 1/15/49 (n)

2,628

2,399

Series 2007-C3:

Class A1, 5.664% 6/15/39 (n)

186

189

Class A4, 5.9118% 6/15/39 (n)

790

724

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

7,479

7,759

Series 2006-C5 Class ASP, 0.8719% 12/15/39 (b)(n)

13,903

278

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

1,189

1,060

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

4,688

1,828

Credit Suisse First Boston Mortgage Securities Corp.:

sequential payer:

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

1,314

1,377

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

147

150

Series 2004-C1:

Class A3, 4.321% 1/15/37

357

363

Class A4, 4.75% 1/15/37

612

625

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

122

123

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

574

572

Series 2001-CK6 Class AX, 1.1925% 8/15/36 (b)(n)

3,521

37

Series 2001-CKN5 Class AX, 2.3088% 9/15/34 (b)(g)(n)

10,687

189

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Credit Suisse First Boston Mortgage Securities Corp.: - continued

Series 2003-C4 Class ASP, 0.6195%
8/15/36 (b)(g)(n)

$ 12,253

$ 18

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

6,938

7,078

Credit Suisse Mortgage Capital Certificates:

floater:

Series 200-TFL1 Class B, 0.4869% 2/15/22 (g)(n)

497

323

Series 2007-TFL1:

Class C:

0.5069% 2/15/22 (g)(n)

2,047

1,126

0.6069% 2/15/22 (g)(n)

731

329

Class F, 0.6569% 2/15/22 (g)(n)

1,462

585

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

94

95

Series 2007-C1:

Class ASP, 0.6107% 2/15/40 (b)(n)

24,600

325

Class B, 5.487% 2/15/40 (g)(n)

2,009

231

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

Class D, 6.484% 3/15/33

468

458

Class G, 6.936% 3/15/33 (g)

865

830

GE Capital Commercial Mortgage Corp.:

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

8,890

8,139

Series 2001-1 Class X1, 1.255% 5/15/33 (b)(g)(n)

13,212

95

Series 2004-C1 Class X2, 1.3009%
11/10/38 (b)(g)(n)

11,953

72

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

375

279

Series 2007-C1 Class XP, 0.3803% 12/10/49 (b)(n)

31,228

215

GMAC Commercial Mortgage Securities, Inc.:

Series 2003-C3 Class X2, 0.8423% 4/10/40 (b)(g)(n)

12,931

40

Series 2004-C3 Class X2, 0.8072% 12/10/41 (b)(n)

1,798

15

Series 2005-C1 Class X2, 0.8502% 5/10/43 (b)(n)

6,015

60

Greenwich Capital Commercial Funding Corp.:

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

494

336

sequential payer:

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

623

630

Series 2007-GG11:

Class A1, 5.358% 12/10/49

1,592

1,645

Class A2, 5.597% 12/10/49

2,628

2,701

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Greenwich Capital Commercial Funding Corp.: - continued

sequential payer:

Series 2007-GG9:

Class A1, 5.233% 3/10/39

$ 6

$ 6

Class A4, 5.444% 3/10/39

3,820

3,691

Series 2003-C1 Class XP, 2.1997% 7/5/35 (b)(g)(n)

7,810

1

Series 2003-C2 Class XP, 1.0601% 1/5/36 (b)(g)(n)

12,071

58

Series 2005-GG3 Class XP, 0.6925%
8/10/42 (b)(g)(n)

25,271

312

Series 2006-GG7 Class A3, 6.0847% 7/10/38 (n)

3,464

3,559

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

31,237

352

GS Mortgage Securities Corp. II:

floater:

Series 2006-FL8A:

Class C, 0.5247% 6/6/20 (g)(n)

66

49

Class D, 0.5647% 6/6/20 (g)(n)

313

197

Class E, 0.6547% 6/6/20 (g)(n)

363

221

Class F, 0.7247% 6/6/20 (g)(n)

916

532

Series 2007-EOP:

Class C, 0.6047% 3/6/20 (g)(n)

1,650

1,469

Class D, 0.6547% 3/6/20 (g)(n)

3,090

2,719

Class F, 0.7647% 3/6/20 (g)(n)

136

117

Class G, 0.8047% 3/6/20 (g)(n)

67

56

Class H, 0.9347% 3/6/20 (g)(n)

62

51

Class J, 1.1347% 3/6/20 (g)(n)

85

70

sequential payer:

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

2,064

2,141

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

407

418

Series 2005-GG4 Class XP, 0.7072%
7/10/39 (b)(g)(n)

25,783

351

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

7,705

7,804

GS Mortgage Securities Trust sequential payer:

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

1,971

2,011

Series 2007-GG10:

Class A1, 5.69% 8/10/45

497

511

Class A2, 5.778% 8/10/45

626

640

Class A4, 5.9988% 8/10/45 (n)

11,472

10,772

JPMorgan Chase Commercial Mortgage Securities Corp.:

Series 2004-C1 Class X2, 1.1053% 1/15/38 (b)(g)(n)

2,940

20

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

JPMorgan Chase Commercial Mortgage Securities Corp.: - continued

Series 2004-CB8 Class X2, 1.2067% 1/12/39 (b)(g)(n)

$ 2,939

$ 25

JPMorgan Chase Commercial Mortgage Securities Trust:

floater Series 2006-FLA2:

Class B, 0.5069% 11/15/18 (g)(n)

1,096

778

Class C, 0.5469% 11/15/18 (g)(n)

779

506

Class D, 0.5669% 11/15/18 (g)(n)

346

204

Class E, 0.6169% 11/15/18 (g)(n)

497

283

Class F, 0.6669% 11/15/18 (g)(n)

746

395

Class G, 0.6969% 11/15/18 (g)(n)

647

330

Class H, 0.8369% 11/15/18 (g)(n)

497

234

sequential payer:

Series 2006-CB14 Class A3B, 5.6694% 12/12/44 (n)

3,908

3,991

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

1,978

2,033

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

837

845

Series 2006-LDP9:

Class A2, 5.134% 5/15/47 (n)

624

627

Class A3, 5.336% 5/15/47

548

527

Series 2007-CB19 Class A4, 5.9366% 2/12/49 (n)

4,608

4,451

Series 2007-LD11 Class A2, 5.9913% 6/15/49 (n)

3,689

3,779

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

97

98

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

3,616

3,388

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

1,183

653

Series 2005-CB13 Class E, 5.5269% 1/12/43 (g)(n)

665

227

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

9,850

9,997

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

374

392

Series 2007-CB19:

Class B, 5.9366% 2/12/49 (n)

112

38

Class C, 5.9366% 2/12/49 (n)

294

99

Class D, 5.9366% 2/12/49 (n)

309

94

Series 2007-LDP10:

Class BS, 5.437% 1/15/49 (n)

251

41

Class CS, 5.466% 1/15/49 (n)

108

17

Class ES, 5.5451% 1/15/49 (g)(n)

679

34

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

542

543

LB Commercial Conduit Mortgage Trust:

sequential payer Series 2007-C3 Class A4, 6.1496% 7/15/44 (n)

1,054

1,009

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

540

545

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

LB-UBS Commercial Mortgage Trust:

sequential payer:

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

$ 250

$ 257

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

35

35

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

602

610

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

54

55

Series 2006-C6:

Class A1, 5.23% 9/15/39

164

166

Class A2, 5.262% 9/15/39 (n)

2,293

2,341

Series 2006-C7:

Class A1, 5.279% 11/15/38

126

128

Class A2, 5.3% 11/15/38

1,445

1,476

Class A3, 5.347% 11/15/38

979

977

Series 2007-C1:

Class A1, 5.391% 2/15/40 (n)

200

203

Class A4, 5.424% 2/15/40

4,069

3,949

Series 2007-C2:

Class A1, 5.226% 2/15/40

128

129

Class A3, 5.43% 2/15/40

2,923

2,811

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

92

93

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

2,540

2,635

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

1,445

1,453

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

22,197

190

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

199

201

Series 2005-C3 Class XCP, 0.9157% 7/15/40 (b)(n)

4,430

56

Series 2006-C3 Class A3 5.689% 3/15/32

730

755

Series 2006-C6 Class XCP, 0.8541% 9/15/39 (b)(n)

7,469

136

Series 2007-C1:

Class C, 5.533% 2/15/40 (n)

2,891

607

Class D, 5.563% 2/15/40 (n)

526

90

Class E, 5.582% 2/15/40 (n)

263

38

Class XCP, 0.5131% 2/15/40 (b)(n)

3,002

39

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

1,642

1,587

Series 2007-C7:

Class A3, 5.866% 9/15/45

4,297

4,203

Class XCP, 0.4535% 9/15/45 (b)(n)

103,131

1,201

LB-UBS Westfield Trust Series 2001-WM, 6.754% 7/14/16 (g)

376

387

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

Class B, 4.13% 11/20/37 (g)

1,989

1,750

Class C, 4.13% 11/20/37 (g)

5,669

4,819

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

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

Class D, 0.5669% 9/15/21 (g)(n)

$ 421

$ 349

Class E, 0.6269% 9/15/21 (g)(n)

1,518

1,188

Class F, 0.6769% 9/15/21 (g)(n)

1,255

910

Class G, 0.6969% 9/15/21 (g)(n)

2,478

1,625

Class H, 0.7369% 9/15/21 (g)(n)

639

254

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

2,332

2,461

Merrill Lynch Mortgage Trust:

sequential payer:

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

238

240

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

470

475

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

2,158

2,202

Series 2005-LC1 Class F, 5.5536% 1/12/44 (g)(n)

1,143

396

Series 2006-C1 Class A2, 5.7934% 5/12/39 (n)

1,853

1,930

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

4,974

4,904

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

2,805

2,735

Merrill Lynch-CFC Commercial Mortgage Trust:

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

612

567

sequential payer:

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

1,398

1,435

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

1,129

1,168

Series 2007-5:

Class A1, 4.275% 8/12/48

60

60

Class A3, 5.364% 8/12/48

512

502

Class A4, 5.378% 8/12/48

53

48

Class B, 5.479% 2/12/17

3,942

272

Series 2007-6:

Class A1, 5.175% 3/12/51

81

83

Class A4, 5.485% 3/12/51 (n)

10,897

10,076

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

4,599

4,393

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

353

360

Series 2006-4 Class XP, 0.816% 12/12/49 (b)(n)

30,160

617

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

1,314

371

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

114

20

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

1,133

1,127

Morgan Stanley Capital I Trust:

floater:

Series 2005-XLF Class J, 0.797% 8/15/19 (g)(n)

27

24

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Morgan Stanley Capital I Trust: - continued

floater:

Series 2006-XLF:

Class C, 1.537% 7/15/19 (g)(n)

$ 903

$ 124

Class F, 0.657% 7/15/19 (g)(n)

1,265

1,139

Class G, 0.697% 7/15/19 (g)(n)

719

503

Series 2007-XCLA Class A1, 0.537% 7/17/17 (g)(n)

2,801

1,177

Series 2007-XLCA Class B, 0.837% 7/17/17 (g)(n)

2,413

72

Series 2007-XLFA:

Class C, 0.497% 10/15/20 (g)(n)

754

302

Class D, 0.527% 10/15/20 (g)(n)

732

168

Class E, 0.587% 10/15/20 (g)(n)

916

119

Class F, 0.637% 10/15/20 (g)(n)

550

49

Class G, 0.677% 10/15/20 (g)(n)

680

48

Class H, 0.767% 10/15/20 (g)(n)

428

13

Class J, 0.917% 10/15/20 (g)(n)

488

10

Class MHRO, 1.027% 10/15/20 (g)(n)

541

81

Class MJPM, 1.337% 10/15/20 (g)(n)

165

116

Class MSTR, 1.037% 10/15/20 (g)(n)

308

46

Class NHRO, 1.227% 10/15/20 (g)(n)

819

106

Class NSTR, 1.187% 10/15/20 (g)(n)

284

37

sequential payer:

Series 2003-IQ5 Class X2, 0.9866%
4/15/38 (b)(g)(n)

4,046

43

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

1,951

1,958

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

304

308

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

884

904

Series 2007-HQ11:

Class A1, 5.246% 2/12/44

320

326

Class A31, 5.439% 2/12/44 (n)

666

672

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

344

352

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

848

873

Series 2007-T25:

Class A1, 5.391% 11/12/49

279

287

Class A2, 5.507% 11/12/49

1,292

1,354

Series 2003-IQ6 Class X2, 0.7193% 12/15/41 (b)(g)(n)

8,502

76

Series 2005-IQ9 Class X2, 1.2108% 7/15/56 (b)(g)(n)

15,442

252

Series 2006-HQ10 Class X2, 0.6959% 11/12/41 (b)(g)(n)

10,221

125

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

2,038

2,084

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

1,950

1,258

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Morgan Stanley Capital I Trust: - continued

Series 2006-IQ11:

Class A3, 5.9045% 10/15/42 (n)

$ 2,181

$ 2,267

Class A4, 5.9405% 10/15/42 (n)

394

408

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

1,314

453

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

671

701

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

2,383

846

Series 2007-IQ14:

Class A4, 5.692% 4/15/49 (n)

1,971

1,820

Class AAB, 5.654% 4/15/49

3,520

3,657

Class B, 5.9135% 4/15/49 (n)

323

95

Series 2007-XLC1:

Class C, 0.937% 7/17/17 (g)(n)

3,251

98

Class D, 1.037% 7/17/17 (g)(n)

1,529

46

Class E, 1.137% 7/17/17 (g)(n)

1,242

37

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

16

17

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

902

906

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

161

167

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

1,117

1,142

Wachovia Bank Commercial Mortgage Trust:

floater:

Series 2005-WL5A Class K, 1.5369% 1/15/18 (g)(n)

1,401

1,397

Series 2006-WL7A:

Class E, 0.6169% 9/15/21 (g)(n)

1,791

962

Class F, 0.6769% 8/11/18 (g)(n)

2,061

1,021

Class G, 0.6969% 8/11/18 (g)(n)

1,953

934

Class J, 0.9369% 8/11/18 (g)(n)

434

88

Series 2007-WHL8:

Class AP1, 1.0369% 6/15/20 (g)(n)

142

78

Class AP2, 1.1369% 6/15/20 (g)(n)

237

118

Class F, 0.8169% 6/15/20 (g)(n)

4,581

1,145

Class LXR1, 1.0369% 6/15/20 (g)(n)

162

81

Class LXR2, 1.1369% 6/15/20 (g)(n)

3,121

1,249

sequential payer:

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

325

326

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

2,549

2,573

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

5,722

5,832

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

1,174

1,192

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Wachovia Bank Commercial Mortgage Trust: - continued

sequential payer:

Series 2006-C29:

Class A1, 5.11% 11/15/48

$ 763

$ 774

Class A3, 5.313% 11/15/48

3,490

3,549

Series 2007-C30:

Class A1, 5.031% 12/15/43

130

132

Class A3, 5.246% 12/15/43

1,128

1,124

Class A4, 5.305% 12/15/43

386

372

Class A5, 5.342% 12/15/43

1,406

1,241

Series 2007-C31:

Class A1, 5.14% 4/15/47

164

166

Class A4, 5.509% 4/15/47

2,970

2,710

Series 2007-C32:

Class A2, 5.7351% 6/15/49 (n)

4,582

4,702

Class A3, 5.9286% 6/15/49 (n)

2,231

2,123

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

624

512

Series 2003-C8 Class XP, 0.4798%
11/15/35 (b)(g)(n)

3,805

9

Series 2003-C9 Class XP, 0.6562%
12/15/35 (b)(g)(n)

6,278

15

Series 2004-C15:

Class 180A, 5.5782% 10/15/41 (g)(n)

1,010

939

Class 180B, 5.5782% 10/15/41 (g)(n)

460

414

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

1,314

897

Series 2005-C22:

Class B, 5.5348% 12/15/44 (n)

2,914

1,604

Class F, 5.5348% 12/15/44 (g)(n)

2,191

582

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

7,210

7,256

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

1,314

384

Series 2007-C30:

Class C, 5.483% 12/15/43 (n)

3,942

622

Class D, 5.513% 12/15/43 (n)

2,102

249

Class XP, 0.6284% 12/15/43 (b)(g)(n)

15,134

224

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

361

73

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

8,470

8,641

Series 2007-C32:

Class D, 5.9286% 6/15/49 (n)

987

181

Class E, 5.9286% 6/15/49 (n)

1,556

254

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Wachovia Bank Commercial Mortgage Trust pass-thru certificates:

sequential payer Series 2007-C33 Class A5, 6.0995% 2/15/51 (n)

$ 870

$ 809

Series 2007-C33 Class B, 6.0995% 2/15/51 (n)

2,209

684

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $387,108)

454,413

Municipal Securities - 0.1%

 

California Gen. Oblig.:

6.2% 3/1/19

3,800

3,941

7.5% 4/1/34

4,700

4,931

7.55% 4/1/39

6,151

6,513

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

5,980

6,038

TOTAL MUNICIPAL SECURITIES

(Cost $20,812)

21,423

Foreign Government and Government Agency Obligations - 0.0%

 

Chilean Republic 7.125% 1/11/12
(Cost $2,603)

2,462

2,661

Supranational Obligations - 0.0%

 

Corporacion Andina de Fomento 5.2% 5/21/13
(Cost $179)

196

211

Bank Notes - 0.0%

 

National City Bank, Cleveland 0.3519% 3/1/13 (n)
(Cost $675)

790

759

Preferred Securities - 0.0%

Princiapl
Amount (000s)

Value (000s)

FINANCIALS - 0.0%

Diversified Financial Services - 0.0%

ING Groep NV 5.775% (n)

$ 851

$ 647

MUFG Capital Finance 1 Ltd. 6.346% (n)

3,342

3,030

 

3,677

TOTAL PREFERRED SECURITIES

(Cost $2,543)

3,677

Fixed-Income Funds - 14.6%

Shares

 

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

7,072,578

746,723

Fidelity High Income Central Fund 2 (o)

4,042,605

415,863

Fidelity Mortgage Backed Securities Central Fund (o)

16,818,639

1,753,175

TOTAL FIXED-INCOME FUNDS

(Cost $2,783,717)

2,915,761

Money Market Funds - 3.7%

 

 

 

 

Fidelity Cash Central Fund, 0.23% (p)

581,573,839

581,574

Fidelity Securities Lending Cash Central Fund, 0.24% (c)(p)

162,044,063

162,044

TOTAL MONEY MARKET FUNDS

(Cost $743,618)

743,618

TOTAL INVESTMENT PORTFOLIO - 100.8%

(Cost $18,757,111)

20,092,539

NET OTHER ASSETS - (0.8)%

(166,401)

NET ASSETS - 100%

$ 19,926,138

Futures Contracts

Expiration Date

Underlying Face Amount at Value (000s)

Unrealized Appreciation/
(Depreciation) (000s)

Purchased

Equity Index Contracts

2,663 CME E-mini S&P 500 Index Contracts

June 2010

$ 144,934

$ (694)

The face value of futures purchased as a percentage of net assets is 0.7%

Swap Agreements

 

Expiration Date

Notional Amount (000s)

Value (000s)

Credit Default Swaps

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

Sept. 2037

$ 13,511

$ (12,795)

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

Sept. 2037

11,003

(10,420)

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

Sept. 2037

1,456

(1,379)

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

Sept. 2037

11,003

(10,420)

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

Sept. 2037

10,598

(10,037)

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

Sept. 2037

9,304

(8,811)

Receive monthly notional amount multiplied by 2.5% and pay Bank of America upon credit event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2004-R11 Class M9, 6.102% 11/25/34 (Rating-C) (l)

Dec. 2034

613

(598)

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-R8 Class M9, 8.07% 9/25/34 (Rating-C) (l)

Oct. 2034

$ 648

$ (636)

Receive monthly notional amount multiplied by 2.6% and pay Merrill Lynch, Inc. upon credit event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2004-R8 Class M9, 8.07% 9/25/34 (Rating-C) (l)

Oct. 2034

648

(636)

Receive monthly notional amount multiplied by 3.83% and pay Morgan Stanley, Inc. upon credit event of Park Place Securities, Inc., par value of the notional amount of Park Place Securities, Inc. Series 2005-WHQ2 Class M9, 7.2% 5/25/35 (Rating-C) (l)

June 2035

796

(759)

TOTAL CREDIT DEFAULT SWAPS

59,580

(56,491)

Interest Rate Swaps

Receive semi-annually a fixed rate equal to 2.692% and pay quarterly a floating rate based on 3-month LIBOR with JPMorgan Chase, Inc.

Sept. 2014

210,000

5,490

Receive semi-annually a fixed rate equal to 3.0975% and pay quarterly a floating rate based on 3-month LIBOR with JPMorgan Chase, Inc.

August 2014

140,000

6,750

TOTAL INTEREST RATE SWAPS

350,000

12,240

 

$ 409,580

$ (44,251)

Legend

(a) Non-income producing

(b) 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.

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

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

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

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

(g) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $461,724,000 or 2.3% of net assets.

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

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

(j) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the period end, the value of securities pledged amounted to $12,698,000.

(k) Security or a portion of the security has been segregated as collateral for open swap agreements. At the period end, the value of securities pledged amounted to $49,706,000.

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

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

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

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

(p) 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.

* Amount represents less than $1,000.

Affiliated Central Funds

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

Fund

Income earned
(Amounts in thousands)

Fidelity Cash Central Fund

$ 1,640

Fidelity Corporate Bond 1-10 Year Central Fund

29,116

Fidelity High Income Central Fund 2

24,125

Fidelity Mortgage Backed Securities Central Fund

50,511

Fidelity Securities Lending Cash Central Fund

793

Total

$ 106,185

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

$ 718,362

$ -

$ -

$ 746,723

31.7%

Fidelity High Income Central Fund 2

381,730

128,083

126,737

415,863

81.4%

Fidelity Mortgage Backed Securities Central Fund

1,664,079

50,510

-

1,753,175

21.6%

Total

$ 2,764,171

$ 178,593

$ 126,737

$ 2,915,761

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

Ellora Energy, Inc.

$ 9,717

$ -

$ -

$ -

$ -

Other Information

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

Valuation Inputs at Reporting Date:

Description
(Amounts in thousands)

Total

Level 1

Level 2

Level 3

Investments in Securities:

Equities:

Consumer Discretionary

$ 1,184,114

$ 1,184,114

$ -

$ -

Consumer Staples

1,249,569

1,249,569

-

-

Energy

1,209,648

1,195,592

-

14,056

Financials

1,864,687

1,853,445

-

11,242

Health Care

1,268,226

1,268,226

-

-

Industrials

1,337,985

1,337,985

-

-

Information Technology

2,163,491

2,163,491

-

-

Materials

392,877

392,877

-

-

Telecommunication Services

354,201

354,201

-

-

Utilities

411,475

411,475

-

-

Corporate Bonds

1,378,372

-

1,378,372

-

U.S. Government and Government Agency Obligations

2,427,877

-

2,427,877

-

U.S. Government Agency - Mortgage Securities

356,563

-

356,563

-

Asset-Backed Securities

193,620

-

169,358

24,262

Collateralized Mortgage Obligations

157,311

-

151,961

5,350

Commercial Mortgage Securities

454,413

-

418,754

35,659

Municipal Securities

21,423

-

21,423

-

Foreign Government and Government Agency Obligations

2,661

-

2,661

-

Supranational Obligations

211

-

211

-

Bank Notes

759

-

759

-

Preferred Securities

3,677

-

3,677

-

Fixed-Income Funds

2,915,761

2,915,761

-

-

Money Market Funds

743,618

743,618

-

-

Total Investments in Securities:

$ 20,092,539

$ 15,070,354

$ 4,931,616

$ 90,569

Valuation Inputs at Reporting Date:

Description
(Amounts in thousands)

Total

Level 1

Level 2

Level 3

Derivative Instruments:

Assets

Swap Agreements

$ 12,240

$ -

$ 12,240

$ -

Liabilities

Futures Contracts

$ (694)

$ (694)

$ -

$ -

Swap Agreements

(56,491)

-

(53,863)

(2,628)

Total Liabilities

$ (57,185)

$ (694)

$ (53,863)

$ (2,628)

Total Derivative Instruments:

$ (44,945)

$ (694)

$ (41,623)

$ (2,628)

Other Financial Instruments:

Forward Commitments

$ (461)

$ -

$ (461)

$ -

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

$ 97,049

Total Realized Gain (Loss)

1,873

Total Unrealized Gain (Loss)

13,588

Cost of Purchases

11,742

Proceeds of Sales

(14,300)

Amortization/Accretion

1,051

Transfers in to Level 3

21,992

Transfers out of Level 3

(42,426)

Ending Balance

$ 90,569

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

$ 13,219

Derivative Instruments:

Swap Agreements

Beginning Balance

$ (4,273)

Total Unrealized Gain (Loss)

1,645

Transfers in to Level 3

-

Transfers out of Level 3

-

Ending Balance

$ (2,628)

Realized gain (loss) on Swap Agreements for the period

$ (1,620)

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

$ 1,645

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

Income Tax Information

At May 31, 2010, the cost of investment securities for income tax purposes was $19,030,576,000. Net unrealized appreciation aggregated $1,061,963,000, of which $1,691,085,000 related to appreciated investment securities and $629,122,000 related to depreciated investment securities.

Investment Valuation

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

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

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

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

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

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

Credit Default Swap Agreements

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

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

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

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

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

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

The notional amount of credit default swaps approximates the maximum potential amount of future payments that the Fund could be required to make if the Fund is the seller and a credit event were to occur. The total notional amount of all credit default swaps open at period end where the Fund is the seller amounted to $59,580,000 representing 0.30% of net assets.

Quarterly Report

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

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

Quarterly Report

Quarterly Holdings Report

for

Fidelity® Puritan® Fund

May 31, 2010 

1.800346.106

PUR-QTLY-0710

Investments May 31, 2010 (Unaudited)

Showing Percentage of Net Assets

Common Stocks - 59.1%

Shares

Value (000s)

CONSUMER DISCRETIONARY - 7.0%

Automobiles - 0.2%

Bayerische Motoren Werke AG (BMW) (e)

952,179

$ 44,475

Hotels, Restaurants & Leisure - 1.2%

Starbucks Corp.

1,825,300

47,257

Starwood Hotels & Resorts Worldwide, Inc.

1,383,600

63,992

Vail Resorts, Inc. (a)(e)

1,440,727

59,949

WMS Industries, Inc. (a)

218,400

10,118

Wyndham Worldwide Corp.

1,365,000

32,214

 

213,530

Household Durables - 0.9%

Lennar Corp. Class A

1,800,200

31,143

Pulte Group, Inc. (a)

4,436,700

49,425

Stanley Black & Decker, Inc.

1,387,520

77,410

 

157,978

Internet & Catalog Retail - 0.5%

Amazon.com, Inc. (a)

707,300

88,738

Leisure Equipment & Products - 0.1%

Hasbro, Inc.

403,700

16,209

Media - 2.6%

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

4,447,200

76,581

DIRECTV (a)

927,700

34,965

DreamWorks Animation SKG, Inc. Class A (a)

736,443

21,865

Grupo Televisa SA de CV (CPO) sponsored ADR

100

2

HMH Holdings, Inc. (a)(p)

324,876

2,274

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

895,600

3,394

RDA Holding Co. (a)

431,528

10,788

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

30,365

0 *

The Walt Disney Co.

4,815,090

160,920

Time Warner Cable, Inc.

889,100

48,660

Vertis Holdings, Inc. (a)

30,518

0

Viacom, Inc. Class B (non-vtg.) (a)

972,200

32,676

Virgin Media, Inc.

4,561,400

73,712

 

465,837

Specialty Retail - 0.9%

Guess?, Inc.

332,900

12,647

J. Crew Group, Inc. (a)

370,537

16,911

Lumber Liquidators Holdings, Inc. (a)

350,000

10,329

RadioShack Corp.

2,498,500

51,069

TJX Companies, Inc.

1,473,900

67,003

 

157,959

Common Stocks - continued

Shares

Value (000s)

CONSUMER DISCRETIONARY - continued

Textiles, Apparel & Luxury Goods - 0.6%

Phillips-Van Heusen Corp.

274,270

$ 15,011

Polo Ralph Lauren Corp. Class A

1,216,400

105,657

 

120,668

TOTAL CONSUMER DISCRETIONARY

1,265,394

CONSUMER STAPLES - 5.2%

Beverages - 1.3%

Coca-Cola Enterprises, Inc.

1,995,900

52,093

Dr Pepper Snapple Group, Inc.

3,073,875

116,377

The Coca-Cola Co.

1,237,200

63,592

 

232,062

Food & Staples Retailing - 0.4%

Sysco Corp.

658,500

19,630

Wal-Mart Stores, Inc.

1,198,400

60,591

 

80,221

Food Products - 0.9%

Nestle SA

1,310,376

59,439

Smithfield Foods, Inc. (a)

2,802,000

48,306

Tyson Foods, Inc. Class A

3,575,700

62,861

 

170,606

Household Products - 1.4%

Colgate-Palmolive Co.

222,200

17,352

Procter & Gamble Co.

3,805,122

232,455

 

249,807

Personal Products - 0.3%

Estee Lauder Companies, Inc. Class A

1,022,900

59,604

Tobacco - 0.9%

Philip Morris International, Inc.

3,462,340

152,758

TOTAL CONSUMER STAPLES

945,058

ENERGY - 6.7%

Energy Equipment & Services - 1.0%

Cameron International Corp. (a)

930,600

33,688

Halliburton Co.

709,300

17,612

Schlumberger Ltd.

2,237,300

125,624

Transocean Ltd. (a)

238,000

13,511

 

190,435

Common Stocks - continued

Shares

Value (000s)

ENERGY - continued

Oil, Gas & Consumable Fuels - 5.7%

Alpha Natural Resources, Inc. (a)

470,900

$ 18,068

Anadarko Petroleum Corp.

1,196,100

62,592

Atlas Energy, Inc. (a)

614,600

18,979

Chesapeake Energy Corp.

86,617

1,935

Chevron Corp.

2,843,400

210,042

ConocoPhillips

2,917,200

151,286

Exxon Mobil Corp.

2,510,624

151,792

LINN Energy LLC

225,300

5,513

Marathon Oil Corp.

2,097,700

65,217

Massey Energy Co.

530,600

17,573

Occidental Petroleum Corp.

1,254,258

103,489

Petrohawk Energy Corp. (a)

615,800

11,842

Plains Exploration & Production Co. (a)

643,700

14,226

Southwestern Energy Co. (a)

1,563,600

58,807

XTO Energy, Inc.

3,055,500

130,592

 

1,021,953

TOTAL ENERGY

1,212,388

FINANCIALS - 9.6%

Capital Markets - 0.8%

Evercore Partners, Inc. Class A

740,400

24,137

Goldman Sachs Group, Inc.

8,000

1,154

KKR Private Equity Investors, LP Restricted Depositary Units (a)(g)

488,800

4,986

Morgan Stanley

3,859,900

104,642

 

134,919

Commercial Banks - 3.6%

BB&T Corp.

1,139,300

34,452

Comerica, Inc.

820,200

31,250

Huntington Bancshares, Inc.

3,825,900

23,568

PNC Financial Services Group, Inc.

1,757,100

110,258

Regions Financial Corp.

8,506,300

64,903

Societe Generale Series A

200,000

8,624

Southwest Bancorp, Inc., Oklahoma (f)

1,428,711

22,088

SunTrust Banks, Inc.

1,763,700

47,532

U.S. Bancorp, Delaware

2,994,300

71,743

Wells Fargo & Co.

8,269,040

237,239

 

651,657

Common Stocks - continued

Shares

Value (000s)

FINANCIALS - continued

Consumer Finance - 0.6%

American Express Co.

1,948,600

$ 77,691

Capital One Financial Corp.

813,400

33,593

 

111,284

Diversified Financial Services - 3.5%

Bank of America Corp.

13,355,632

210,218

CIT Group, Inc. (a)

121,974

4,487

Citigroup, Inc. (a)

36,428,200

144,256

JPMorgan Chase & Co.

6,524,523

258,241

NBH Holdings Corp. Class A (a)(g)

710,000

13,845

 

631,047

Insurance - 0.5%

Assured Guaranty Ltd.

476,300

8,002

Lincoln National Corp.

919,200

24,322

The Travelers Companies, Inc.

1,330,000

65,795

 

98,119

Real Estate Investment Trusts - 0.4%

Franklin Street Properties Corp.

2,824,500

34,883

Simon Property Group, Inc.

401,700

34,157

 

69,040

Thrifts & Mortgage Finance - 0.2%

First Niagara Financial Group, Inc.

2,065,500

27,285

The PMI Group, Inc. (a)(e)

2,103,300

9,864

 

37,149

TOTAL FINANCIALS

1,733,215

HEALTH CARE - 7.5%

Biotechnology - 0.9%

Acorda Therapeutics, Inc. (a)

103,500

3,558

Amgen, Inc. (a)

490,700

25,408

BioMarin Pharmaceutical, Inc. (a)

1,600,500

31,242

Cephalon, Inc. (a)

596,312

35,099

CSL Ltd.

817

22

Neurocrine Biosciences, Inc. (a)

482,434

1,930

United Therapeutics Corp. (a)

753,300

38,584

Vertex Pharmaceuticals, Inc. (a)

615,100

21,276

 

157,119

Health Care Equipment & Supplies - 1.1%

American Medical Systems Holdings, Inc. (a)

558,391

12,597

Common Stocks - continued

Shares

Value (000s)

HEALTH CARE - continued

Health Care Equipment & Supplies - continued

C. R. Bard, Inc.

491,200

$ 39,772

Covidien PLC

650,100

27,558

ev3, Inc. (a)

3,016,482

57,072

Volcano Corp. (a)

509,900

11,315

William Demant Holding AS (a)

874,600

62,313

 

210,627

Health Care Providers & Services - 1.0%

CIGNA Corp.

2,212,900

74,066

Express Scripts, Inc. (a)

372,500

37,474

Medco Health Solutions, Inc. (a)

1,100,000

63,415

 

174,955

Health Care Technology - 0.1%

Cerner Corp. (a)

172,800

14,465

Life Sciences Tools & Services - 1.0%

Illumina, Inc. (a)

1,528,150

64,243

Life Technologies Corp. (a)

954,500

47,782

PerkinElmer, Inc.

1,492,500

33,865

QIAGEN NV (a)

1,777,000

37,459

 

183,349

Pharmaceuticals - 3.4%

Allergan, Inc.

920,600

55,411

Ardea Biosciences, Inc. (a)

271,200

6,788

Auxilium Pharmaceuticals, Inc. (a)(e)

944,100

27,171

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

59,000

17

Elan Corp. PLC sponsored ADR (a)

1,639,548

9,411

Johnson & Johnson

1,760,200

102,620

Merck & Co., Inc.

5,822,840

196,171

Novartis AG sponsored ADR

783,400

35,261

Perrigo Co.

638,100

37,910

Pfizer, Inc.

2,705,186

41,200

Sanofi-Aventis

361,142

21,971

Valeant Pharmaceuticals International (a)

994,300

46,215

Watson Pharmaceuticals, Inc. (a)

662,800

29,269

 

609,415

TOTAL HEALTH CARE

1,349,930

Common Stocks - continued

Shares

Value (000s)

INDUSTRIALS - 7.6%

Aerospace & Defense - 2.1%

Goodrich Corp.

765,400

$ 53,119

Precision Castparts Corp.

481,700

56,214

The Boeing Co.

1,645,000

105,576

United Technologies Corp.

2,559,300

172,446

 

387,355

Air Freight & Logistics - 0.2%

Atlas Air Worldwide Holdings, Inc. (a)

653,500

34,158

Airlines - 0.4%

Delta Air Lines, Inc. (a)

469,206

6,372

Southwest Airlines Co.

4,533,000

56,391

 

62,763

Building Products - 0.0%

Masonite Worldwide Holdings (a)

5,358

240

Masonite Worldwide Holdings:

warrants 5/20/14 (a)

25,981

91

warrants 5/20/16 (a)

19,485

110

Nortek, Inc. (a)

7,610

350

 

791

Construction & Engineering - 0.1%

Jacobs Engineering Group, Inc. (a)

464,800

19,410

Electrical Equipment - 0.4%

Acuity Brands, Inc.

335,500

13,799

AMETEK, Inc.

526,400

21,372

Regal-Beloit Corp.

516,000

31,110

 

66,281

Industrial Conglomerates - 1.9%

General Electric Co.

20,609,100

336,959

Machinery - 1.5%

Bucyrus International, Inc. Class A

367,300

19,673

CareView Communications, Inc. (a)(f)

10,000,000

17,800

Cummins, Inc.

1,414,500

96,158

Danaher Corp.

1,107,900

87,945

Ingersoll-Rand Co. Ltd.

1,379,700

51,477

 

273,053

Professional Services - 0.2%

Robert Half International, Inc.

1,226,600

31,021

Common Stocks - continued

Shares

Value (000s)

INDUSTRIALS - continued

Road & Rail - 0.8%

CSX Corp.

1,615,600

$ 84,415

Union Pacific Corp.

938,056

67,005

 

151,420

TOTAL INDUSTRIALS

1,363,211

INFORMATION TECHNOLOGY - 11.5%

Communications Equipment - 1.0%

Acme Packet, Inc. (a)

975,300

28,586

Cisco Systems, Inc. (a)

3,679,600

85,220

CommScope, Inc. (a)

1,091,300

30,775

QUALCOMM, Inc.

1,089,300

38,736

 

183,317

Computers & Peripherals - 3.5%

Apple, Inc. (a)

1,493,000

383,940

Hewlett-Packard Co.

5,351,802

246,236

 

630,176

Electronic Equipment & Components - 1.6%

Agilent Technologies, Inc. (a)

2,163,800

70,021

Amphenol Corp. Class A

1,044,400

44,283

Arrow Electronics, Inc. (a)

540,100

14,734

Corning, Inc.

2,555,600

44,544

Flextronics International Ltd. (a)

2,979,500

19,546

Ingram Micro, Inc. Class A (a)

1,195,800

20,281

Prime View International Co. Ltd. sponsored GDR (a)(g)

140,100

2,132

Tyco Electronics Ltd.

2,206,356

63,587

 

279,128

Internet Software & Services - 0.3%

Google, Inc. Class A (a)

107,900

52,351

IT Services - 1.0%

Accenture PLC Class A

700,400

26,279

Cognizant Technology Solutions Corp. Class A (a)

1,618,500

80,990

MasterCard, Inc. Class A

240,800

48,586

Visa, Inc. Class A

334,600

24,245

 

180,100

Office Electronics - 0.2%

Xerox Corp.

2,870,800

26,727

Semiconductors & Semiconductor Equipment - 1.4%

Avago Technologies Ltd.

1,792,000

37,005

Common Stocks - continued

Shares

Value (000s)

INFORMATION TECHNOLOGY - continued

Semiconductors & Semiconductor Equipment - continued

Cree, Inc. (a)

243,200

$ 16,141

Intel Corp.

4,674,740

100,133

KLA-Tencor Corp.

444,900

13,690

Lam Research Corp. (a)

353,700

13,391

Novellus Systems, Inc. (a)

1,209,200

31,222

PMC-Sierra, Inc. (a)

1,372,700

11,119

Skyworks Solutions, Inc. (a)

1,355,900

21,599

Spansion, Inc. Class A (a)

39,391

630

Verigy Ltd. (a)

1,201,900

12,211

 

257,141

Software - 2.5%

Check Point Software Technologies Ltd. (a)

1,149,100

35,243

Citrix Systems, Inc. (a)

1,081,600

47,169

Fortinet, Inc. (e)

797,253

13,011

Microsoft Corp.

11,266,513

290,676

Oracle Corp.

2,052,700

46,329

Taleo Corp. Class A (a)

1,066,800

26,723

 

459,151

TOTAL INFORMATION TECHNOLOGY

2,068,091

MATERIALS - 2.6%

Chemicals - 1.2%

Air Products & Chemicals, Inc.

452,200

31,229

Dow Chemical Co.

2,719,100

73,171

FMC Corp.

520,400

31,510

Georgia Gulf Corp. (a)

403,830

7,027

LyondellBasell Industries NV:

Class A (a)

1,342,621

23,858

Class B (a)

1,231,363

21,795

Solutia, Inc. (a)

1,957,200

29,652

 

218,242

Construction Materials - 0.0%

Martin Marietta Materials, Inc.

3,400

317

Containers & Packaging - 0.2%

Owens-Illinois, Inc. (a)

702,000

21,292

Pactiv Corp. (a)

500,600

14,307

 

35,599

Common Stocks - continued

Shares

Value (000s)

MATERIALS - continued

Metals & Mining - 1.0%

AngloGold Ashanti Ltd. sponsored ADR

1,557,000

$ 65,269

Freeport-McMoRan Copper & Gold, Inc.

200

14

Goldcorp, Inc.

871,600

37,996

Lihir Gold Ltd.

9,425,810

31,694

Newcrest Mining Ltd.

1,467,777

39,830

 

174,803

Paper & Forest Products - 0.2%

Weyerhaeuser Co.

1,065,500

45,369

TOTAL MATERIALS

474,330

TELECOMMUNICATION SERVICES - 0.9%

Diversified Telecommunication Services - 0.5%

AT&T, Inc.

2,328,300

56,578

Qwest Communications International, Inc.

7,666,800

40,174

Verizon Communications, Inc.

95

3

 

96,755

Wireless Telecommunication Services - 0.4%

Sprint Nextel Corp. (a)

12,106,900

62,108

TOTAL TELECOMMUNICATION SERVICES

158,863

UTILITIES - 0.5%

Electric Utilities - 0.1%

FirstEnergy Corp.

708,200

24,936

Gas Utilities - 0.1%

Energen Corp.

378,600

16,761

Independent Power Producers & Energy Traders - 0.1%

NRG Energy, Inc. (a)

480,500

11,220

Multi-Utilities - 0.2%

DTE Energy Co.

740,900

33,718

TOTAL UTILITIES

86,635

TOTAL COMMON STOCKS

(Cost $9,469,088)

10,657,115

Preferred Stocks - 0.4%

Shares

Value (000s)

Convertible Preferred Stocks - 0.1%

ENERGY - 0.1%

Oil, Gas & Consumable Fuels - 0.1%

Chesapeake Energy Corp. 4.50%

56,300

$ 4,434

El Paso Corp. 4.99% (g)

6,100

6,020

 

10,454

INFORMATION TECHNOLOGY - 0.0%

Internet Software & Services - 0.0%

wetpaint.com, Inc. Series C 6.00% (a)(p)

497,017

994

UTILITIES - 0.0%

Electric Utilities - 0.0%

AES Trust III 6.75%

126,300

5,428

TOTAL CONVERTIBLE PREFERRED STOCKS

16,876

Nonconvertible Preferred Stocks - 0.3%

CONSUMER DISCRETIONARY - 0.2%

Automobiles - 0.2%

Volkswagen AG

464,500

40,992

FINANCIALS - 0.1%

Diversified Financial Services - 0.1%

GMAC, Inc. 7.00% (g)

11,951

9,023

TELECOMMUNICATION SERVICES - 0.0%

Diversified Telecommunication Services - 0.0%

PTV, Inc. Series A, 10.00% (a)

187

0 *

Wireless Telecommunication Services - 0.0%

Muzak LLC (a)

210,761

171

TOTAL NONCONVERTIBLE PREFERRED STOCKS

50,186

TOTAL PREFERRED STOCKS

(Cost $70,562)

67,062

Corporate Bonds - 12.1%

 

Principal Amount (000s)

Value (000s)

Convertible Bonds - 0.6%

CONSUMER DISCRETIONARY - 0.1%

Media - 0.0%

Liberty Media Corp.:

3.5% 1/15/31

$ 508

$ 333

3.5% 1/15/31 (g)

3,757

2,458

 

2,791

Specialty Retail - 0.1%

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

8,280

8,311

Textiles, Apparel & Luxury Goods - 0.0%

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

8,200

7,708

TOTAL CONSUMER DISCRETIONARY

18,810

CONSUMER STAPLES - 0.0%

Food Products - 0.0%

Smithfield Foods, Inc. 4% 6/30/13

5,040

5,093

ENERGY - 0.2%

Oil, Gas & Consumable Fuels - 0.2%

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

1,350

1,352

Chesapeake Energy Corp. 2.5% 5/15/37

43,570

34,982

 

36,334

HEALTH CARE - 0.1%

Health Care Equipment & Supplies - 0.1%

Beckman Coulter, Inc. 2.5% 12/15/36

8,636

9,241

INDUSTRIALS - 0.0%

Trading Companies & Distributors - 0.0%

United Rentals, Inc. 4% 11/15/15

4,100

5,148

INFORMATION TECHNOLOGY - 0.0%

Semiconductors & Semiconductor Equipment - 0.0%

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

6,000

5,798

MATERIALS - 0.1%

Construction Materials - 0.0%

Headwaters, Inc. 2.5% 2/1/14

4,920

3,672

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Convertible Bonds - continued

MATERIALS - continued

Containers & Packaging - 0.1%

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

$ 7,600

$ 7,333

TOTAL MATERIALS

11,005

TELECOMMUNICATION SERVICES - 0.1%

Diversified Telecommunication Services - 0.1%

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

9,500

10,521

TOTAL CONVERTIBLE BONDS

101,950

Nonconvertible Bonds - 11.5%

CONSUMER DISCRETIONARY - 1.8%

Auto Components - 0.1%

ArvinMeritor, Inc. 10.625% 3/15/18

1,080

1,112

DaimlerChrysler NA Holding Corp.:

5.75% 9/8/11

3,297

3,439

5.875% 3/15/11

1,224

1,262

Tenneco, Inc. 8.625% 11/15/14

9,810

9,687

TRW Automotive, Inc.:

7% 3/15/14 (g)

3,335

3,277

7.25% 3/15/17 (g)

4,795

4,651

 

23,428

Automobiles - 0.0%

Ford Motor Co.:

6.375% 2/1/29

2,190

1,708

6.625% 10/1/28

2,355

1,778

7.45% 7/16/31

665

592

 

4,078

Diversified Consumer Services - 0.1%

Affinion Group, Inc. 10.125% 10/15/13

1,615

1,639

ServiceMaster Co. 10.75% 7/15/15 pay-in-kind (g)(l)

13,000

13,130

 

14,769

Hotels, Restaurants & Leisure - 0.3%

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

3,090

2,966

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Hotels, Restaurants & Leisure - continued

Chukchansi Economic Development Authority:

4.1226% 11/15/12 (g)(l)

$ 1,140

$ 775

8% 11/15/13 (g)

1,890

1,361

Harrah's Escrow Corp. 12.75% 4/15/18 (g)

3,820

3,534

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

760

804

McDonald's Corp. 5.35% 3/1/18

1,378

1,532

MCE Finance Ltd. 10.25% 5/15/18 (g)

4,620

4,620

MGM Mirage, Inc.:

5.875% 2/27/14

2,643

2,141

6.75% 4/1/13

80

70

7.5% 6/1/16

5,325

4,207

9% 3/15/20 (g)

1,770

1,779

11.125% 11/15/17 (g)

5,175

5,641

13% 11/15/13

10,000

11,400

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

1,080

1,026

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

2,270

1,691

Station Casinos, Inc.:

6% 4/1/12 (c)

7,405

463

7.75% 8/15/16 (c)

1,735

113

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

1,461

796

 

44,919

Household Durables - 0.1%

Fortune Brands, Inc.:

5.125% 1/15/11

2,498

2,555

5.375% 1/15/16

7,225

7,694

5.875% 1/15/36

1,512

1,409

Sealy Mattress Co. 10.875% 4/15/16 (g)

1,026

1,144

 

12,802

Media - 1.0%

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

1,438

1,567

CanWest Media, Inc. 8% 9/15/12 (c)

4,456

4,490

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

5,995

6,235

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Media - continued

Charter Communications Holdings II LLC/Charter Communications Holdings II Capital Corp.:

13.5% 11/30/16

$ 2,182

$ 2,498

13.5% 11/30/16 (g)

9,545

10,929

Charter Communications Operating LLC/Charter Communications Operating Capital Corp. 8% 4/30/12 (g)(l)

1,500

1,551

Clear Channel Communications, Inc.:

4.4% 5/15/11

4,675

4,371

5% 3/15/12

4,405

3,810

6.25% 3/15/11

2,510

2,416

11.75% 8/1/16 pay-in-kind (l)

14,840

9,673

Clear Channel Worldwide Holdings, Inc.:

Series A 9.25% 12/15/17 (g)

780

790

Series B 9.25% 12/15/17 (g)

3,120

3,175

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

301

312

Comcast Corp.:

4.95% 6/15/16

1,107

1,167

5.5% 3/15/11

225

232

5.7% 5/15/18

5,309

5,741

6.4% 3/1/40

2,111

2,221

6.45% 3/15/37

1,033

1,083

COX Communications, Inc.:

4.625% 6/1/13

2,632

2,804

6.25% 6/1/18 (g)

541

593

Discovery Communications LLC:

3.7% 6/1/15 (h)

3,191

3,202

6.35% 6/1/40 (h)

3,224

3,246

EchoStar Communications Corp.:

6.625% 10/1/14

3,000

2,948

7.125% 2/1/16

5,000

4,900

7.75% 5/31/15

3,705

3,724

Gray Television, Inc. 10.5% 6/29/15 (g)

990

926

Kabel Deutschland GmbH 10.625% 7/1/14

4,730

4,884

Lamar Media Corp. 7.875% 4/15/18 (g)

1,400

1,402

LBI Media, Inc. 8.5% 8/1/17 (g)

6,320

5,372

Liberty Media Corp.:

5.7% 5/15/13

2,055

2,055

8.25% 2/1/30

3,280

3,034

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Media - continued

NBC Universal, Inc.:

3.65% 4/30/15 (g)

$ 3,687

$ 3,733

5.15% 4/30/20 (g)

4,917

5,020

6.4% 4/30/40 (g)

4,249

4,411

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

6,290

7,602

Nexstar Broadcasting, Inc.:

0.4479% 1/15/14 pay-in-kind (g)(l)

5,993

5,330

7% 1/15/14

1,977

1,762

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

4,033

3,796

Nielsen Finance LLC/Nielsen Finance Co.:

10% 8/1/14

5,095

5,133

11.5% 5/1/16

3,000

3,180

11.625% 2/1/14

1,800

1,917

Radio One, Inc. 8.875% 7/1/11

4,005

3,685

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

7,775

8,086

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

6,770

6,736

Time Warner Cable, Inc.:

5% 2/1/20

537

536

5.4% 7/2/12

1,440

1,544

6.2% 7/1/13

1,369

1,521

6.75% 7/1/18

691

778

Time Warner, Inc.:

5.875% 11/15/16

2,609

2,882

6.2% 3/15/40

2,618

2,626

6.5% 11/15/36

2,633

2,727

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

8,680

7,899

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

693

298

Videotron Ltd. 9.125% 4/15/18

5,565

5,934

 

188,487

Specialty Retail - 0.2%

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

5,220

5,390

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

780

686

General Nutrition Centers, Inc. 4.8934% 3/15/14 pay-in-kind (l)

1,330

1,220

Michaels Stores, Inc. 10% 11/1/14

6,705

6,889

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

$ 2,218

$ 2,229

9% 3/15/18

1,000

990

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

5,165

5,656

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

4,995

4,970

 

28,030

TOTAL CONSUMER DISCRETIONARY

316,513

CONSUMER STAPLES - 0.4%

Beverages - 0.1%

Anheuser-Busch InBev Worldwide, Inc. 5.375% 11/15/14 (g)

4,022

4,363

Diageo Capital PLC 5.2% 1/30/13

3,201

3,480

FBG Finance Ltd. 5.125% 6/15/15 (g)

1,730

1,878

 

9,721

Food & Staples Retailing - 0.1%

CVS Caremark Corp.:

0.5519% 6/1/10 (l)

1,353

1,353

6.036% 12/10/28

1,306

1,321

6.302% 6/1/37 (l)

2,791

2,526

Rite Aid Corp.:

7.5% 3/1/17

13,280

11,819

10.375% 7/15/16

9,420

9,467

 

26,486

Food Products - 0.1%

B&G Foods, Inc. 7.625% 1/15/18

3,160

3,152

Cargill, Inc. 6% 11/27/17 (g)

417

468

Kraft Foods, Inc.:

5.375% 2/10/20

5,528

5,741

5.625% 11/1/11

2,156

2,279

6.5% 8/11/17

4,486

5,079

6.75% 2/19/14

318

363

 

17,082

Personal Products - 0.0%

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

1,054

1,132

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

CONSUMER STAPLES - continued

Tobacco - 0.1%

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

$ 13,393

$ 16,239

Reynolds American, Inc.:

6.75% 6/15/17

1,756

1,854

7.25% 6/15/37

6,525

6,381

 

24,474

TOTAL CONSUMER STAPLES

78,895

ENERGY - 1.3%

Energy Equipment & Services - 0.1%

DCP Midstream LLC 5.35% 3/15/20 (g)

4,910

4,908

Helix Energy Solutions Group, Inc. 9.5% 1/15/16 (g)

3,710

3,525

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

3,140

2,920

Transocean Ltd. 5.25% 3/15/13

1,109

1,134

Weatherford International Ltd.:

4.95% 10/15/13

1,026

1,076

5.15% 3/15/13

1,341

1,416

 

14,979

Oil, Gas & Consumable Fuels - 1.2%

Antero Resources Finance Corp. 9.375% 12/1/17 (g)

4,470

4,403

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

9,495

7,549

BW Group Ltd. 6.625% 6/28/17 (g)

1,742

1,620

Cenovus Energy, Inc. 6.75% 11/15/39 (g)

2,008

2,179

Chesapeake Energy Corp. 6.5% 8/15/17

14,280

13,780

Connacher Oil and Gas Ltd.:

10.25% 12/15/15 (g)

5,990

5,750

11.75% 7/15/14 (g)

4,080

4,345

ConocoPhillips 5.75% 2/1/19

7,588

8,417

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

1,973

2,042

Drummond Co., Inc.:

7.375% 2/15/16

8,000

7,640

9% 10/15/14 (g)

1,155

1,178

Duke Capital LLC 6.25% 2/15/13

589

640

Duke Energy Field Services:

5.375% 10/15/15 (g)

720

772

6.45% 11/3/36 (g)

3,753

3,696

6.875% 2/1/11

1,363

1,410

7.875% 8/16/10

611

619

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

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

$ 551

$ 576

Enbridge Energy Partners LP:

5.875% 12/15/16

1,064

1,170

6.5% 4/15/18

1,398

1,565

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

1,702

1,889

Enterprise Products Operating LP:

5.6% 10/15/14

1,152

1,247

5.65% 4/1/13

410

440

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

2,276

2,448

Kinder Morgan Energy Partners LP:

5.3% 9/15/20

3,326

3,287

6.55% 9/15/40

1,499

1,476

LINN Energy LLC 8.625% 4/15/20 (g)

4,840

4,792

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

720

666

Motiva Enterprises LLC:

5.75% 1/15/20 (g)

1,746

1,852

6.85% 1/15/40 (g)

6,648

7,356

Nakilat, Inc. 6.067% 12/31/33 (g)

4,083

3,839

Nexen, Inc.:

5.05% 11/20/13

2,265

2,425

5.2% 3/10/15

535

569

5.875% 3/10/35

2,365

2,219

6.4% 5/15/37

4,230

4,245

NGPL PipeCo LLC 6.514% 12/15/12 (g)

2,099

2,151

OPTI Canada, Inc.:

7.875% 12/15/14

3,160

2,686

8.25% 12/15/14

5,470

4,704

Pemex Project Funding Master Trust 1.557% 6/15/10 (g)(l)

734

730

Petrobras International Finance Co. Ltd.:

5.75% 1/20/20

2,100

2,084

6.875% 1/20/40

3,230

3,241

7.875% 3/15/19

5,157

5,837

Petrohawk Energy Corp. 9.125% 7/15/13

10,000

10,250

Petroleum Development Corp. 12% 2/15/18

4,240

4,367

Plains All American Pipeline LP:

6.125% 1/15/17

1,880

2,008

7.75% 10/15/12

1,389

1,543

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Plains Exploration & Production Co.:

7% 3/15/17

$ 4,400

$ 4,037

7.625% 6/1/18

4,415

4,139

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

1,408

1,564

Ras Laffan Liquefied Natural Gas Co. Ltd. III:

4.5% 9/30/12 (g)

2,588

2,670

5.5% 9/30/14 (g)

3,617

3,865

5.832% 9/30/16 (g)

791

835

6.332% 9/30/27 (g)

5,710

5,857

6.75% 9/30/19 (g)

2,367

2,574

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

1,603

1,730

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

10,070

9,718

Southwestern Energy Co. 7.5% 2/1/18

3,340

3,540

Stone Energy Corp. 6.75% 12/15/14

4,190

3,520

Suncor Energy, Inc.:

6.1% 6/1/18

6,842

7,501

6.85% 6/1/39

6,550

7,071

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

2,650

2,723

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

948

1,062

TransCanada PipeLines Ltd.:

3.4% 6/1/15

1,343

1,351

6.1% 6/1/40

2,600

2,578

6.35% 5/15/67 (l)

1,397

1,267

XTO Energy, Inc.:

5% 1/31/15

1,031

1,130

5.65% 4/1/16

707

801

 

217,235

TOTAL ENERGY

232,214

FINANCIALS - 3.6%

Capital Markets - 0.5%

Bear Stearns Companies, Inc.:

4.5% 10/28/10

1,080

1,093

5.3% 10/30/15

8,189

8,680

6.95% 8/10/12

3,566

3,916

BlackRock, Inc. 6.25% 9/15/17

1,142

1,292

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Capital Markets - continued

Goldman Sachs Group, Inc.:

5.25% 10/15/13

$ 3,478

$ 3,619

5.95% 1/18/18

2,350

2,384

6.15% 4/1/18

1,161

1,186

6.75% 10/1/37

4,509

4,222

7.5% 2/15/19

5,036

5,560

JPMorgan Chase Capital XX 6.55% 9/29/36

7,545

7,076

Lazard Group LLC:

6.85% 6/15/17

2,275

2,343

7.125% 5/15/15

811

859

Merrill Lynch & Co., Inc.:

5.45% 2/5/13

3,781

3,945

6.4% 8/28/17

1,830

1,874

6.875% 4/25/18

2,917

3,004

Morgan Stanley:

0.5953% 1/9/14 (l)

2,547

2,339

2.9228% 5/14/13 (l)

6,662

6,650

4.75% 4/1/14

468

465

5.25% 11/2/12

144

150

5.45% 1/9/17

140

135

5.95% 12/28/17

324

323

6% 5/13/14

4,650

4,820

7.3% 5/13/19

4,941

5,190

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

1,765

1,814

Scotland International Finance No. 2 BV 7.7% 8/15/10 (g)

576

583

The Bank of New York, Inc.:

4.3% 5/15/14

4,756

5,062

4.95% 11/1/12

2,277

2,457

5.45% 5/15/19

5,023

5,445

UBS AG Stamford Branch:

3.875% 1/15/15

8,000

7,962

5.75% 4/25/18

618

629

 

95,077

Commercial Banks - 0.5%

ANZ National International Ltd. 6.2% 7/19/13 (g)

447

493

Bank of America NA:

5.3% 3/15/17

11,915

11,690

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Commercial Banks - continued

Bank of America NA: - continued

6% 10/15/36

$ 2,235

$ 2,045

Bank One Corp. 5.25% 1/30/13

548

581

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

732

770

Chase Manhattan Corp. 7.875% 6/15/10

915

917

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

9,961

10,167

DBS Bank Ltd. (Singapore) 0.6559% 5/16/17 (g)(l)

2,442

2,295

Discover Bank:

7% 4/15/20

2,178

2,147

8.7% 11/18/19

1,651

1,806

Export-Import Bank of Korea:

5.125% 2/14/11

1,720

1,757

5.25% 2/10/14 (g)

333

345

5.5% 10/17/12

1,329

1,410

Fifth Third Bancorp:

4.5% 6/1/18

84

79

8.25% 3/1/38

2,107

2,249

HBOS PLC 6.75% 5/21/18 (g)

408

385

HSBC Holdings PLC:

0.4915% 10/6/16 (l)

868

852

6.5% 9/15/37

8,400

8,528

JPMorgan Chase Bank 6% 10/1/17

1,234

1,318

KeyBank NA:

5.8% 7/1/14

3,132

3,323

7% 2/1/11

662

684

KeyBank NA, Cleveland 5.45% 3/3/16

1,877

1,921

Korea Development Bank 4.625% 9/16/10

1,080

1,090

Lloyds TSB Bank PLC 5.8% 1/13/20 (g)

2,387

2,242

Manufacturers & Traders Trust Co. 1.7909% 4/1/13 (g)(l)

547

534

Marshall & Ilsley Bank:

4.85% 6/16/15

1,177

1,114

5% 1/17/17

355

317

5.25% 9/4/12

1,440

1,426

PNC Funding Corp.:

0.4778% 1/31/12 (l)

2,185

2,163

3.625% 2/8/15

1,361

1,388

Regions Bank 6.45% 6/26/37

3,796

3,228

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Commercial Banks - continued

Regions Financial Corp.:

5.75% 6/15/15

$ 940

$ 931

7.75% 11/10/14

4,251

4,515

Standard Chartered Bank 6.4% 9/26/17 (g)

669

701

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

1,728

1,639

UnionBanCal Corp. 5.25% 12/16/13

390

422

Wachovia Bank NA 4.875% 2/1/15

829

867

Wachovia Corp.:

0.4328% 10/15/11 (l)

2,366

2,350

0.4428% 4/23/12 (l)

320

316

5.625% 10/15/16

2,003

2,129

5.75% 6/15/17

1,728

1,838

Wells Fargo & Co. 3.625% 4/15/15

5,239

5,302

Wells Fargo Bank NA, San Francisco 6.45% 2/1/11

342

353

 

90,627

Consumer Finance - 0.7%

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

4,297

5,124

Discover Financial Services:

0.7856% 6/11/10 (l)

2,370

2,370

6.45% 6/12/17

8,700

8,687

Ford Motor Credit Co. LLC:

7% 10/1/13

2,800

2,824

7.25% 10/25/11

4,975

5,065

7.5% 8/1/12

6,000

6,060

8% 12/15/16

10,620

10,641

8.125% 1/15/20

5,000

5,005

General Electric Capital Corp.:

5.625% 9/15/17

17,812

18,842

5.9% 5/13/14

6,210

6,785

General Motors Acceptance Corp.:

6.875% 9/15/11

1,360

1,357

6.875% 8/28/12

3,685

3,630

8% 11/1/31

2,055

1,852

GMAC LLC:

6% 12/15/11

880

865

6.625% 5/15/12

1,785

1,758

6.75% 12/1/14

6,105

5,815

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Consumer Finance - continued

GMAC LLC: - continued

6.875% 9/15/11

$ 1,365

$ 1,362

7% 2/1/12

5,945

5,900

7.5% 12/31/13

7,562

7,392

8% 12/31/18

5,795

5,505

8% 11/1/31

13,691

12,459

Household Finance Corp. 6.375% 10/15/11

1,096

1,159

HSBC Finance Corp.:

5.25% 1/14/11

771

786

5.25% 1/15/14

621

658

MBNA America Bank NA 7.125% 11/15/12 (g)

409

446

MBNA Corp. 7.5% 3/15/12

948

1,021

ORIX Corp. 5.48% 11/22/11

227

235

SLM Corp.:

0.457% 3/15/11 (l)

66

64

0.5458% 10/25/11 (l)

5,381

5,062

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

161

168

 

128,897

Diversified Financial Services - 0.9%

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

3,225

3,266

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

6,880

6,914

CCO Holdings LLC/CCO Holdings Capital Corp.:

7.875% 4/30/18 (g)

1,460

1,445

8.125% 4/30/20 (g)

3,485

3,468

CIT Group, Inc.:

7% 5/1/13

1,417

1,371

7% 5/1/14

2,126

1,987

7% 5/1/15

9,486

8,822

7% 5/1/16

3,543

3,259

7% 5/1/17

10,490

9,493

Citigroup, Inc.:

5.3% 10/17/12

6,072

6,298

5.5% 4/11/13

6,263

6,452

6.125% 5/15/18

9,915

10,141

6.5% 1/18/11

770

792

6.5% 8/19/13

15,826

16,668

8.5% 5/22/19

5,200

6,093

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Diversified Financial Services - continued

Icahn Enterprises LP/Icahn Enterprises Finance Corp.:

7.75% 1/15/16 (g)

$ 2,500

$ 2,350

8% 1/15/18 (g)

2,500

2,350

International Lease Finance Corp.:

5.4% 2/15/12

1,688

1,578

5.625% 9/20/13

150

132

5.65% 6/1/14

4,439

3,818

6.375% 3/25/13

3,313

3,015

6.625% 11/15/13

9,855

8,943

JPMorgan Chase & Co.:

4.65% 6/1/14

6,500

6,873

4.891% 9/1/15 (l)

1,608

1,604

5.6% 6/1/11

1,824

1,894

5.75% 1/2/13

1,306

1,401

6.3% 4/23/19

2,800

3,048

6.75% 2/1/11

221

229

LBI Escrow Corp. 8% 11/1/17 (g)

3,595

3,631

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

6,750

6,041

Prime Property Funding, Inc.:

5.125% 6/1/15 (g)

642

599

5.5% 1/15/14 (g)

409

404

5.7% 4/15/17 (g)

999

911

TECO Finance, Inc.:

4% 3/15/16

1,242

1,254

5.15% 3/15/20

1,785

1,812

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

1,908

1,913

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

7,075

6,395

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

2,951

2,685

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

961

865

 

150,214

Insurance - 0.4%

American International Group, Inc.:

5.05% 10/1/15

630

545

5.6% 10/18/16

1,125

962

5.85% 1/16/18

805

680

8.25% 8/15/18

3,365

3,281

Assurant, Inc. 5.625% 2/15/14

1,126

1,183

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Insurance - continued

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

$ 329

$ 349

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

878

781

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

3,710

3,450

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

444

475

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

350

307

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

4,201

5,516

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

4,351

4,335

MetLife, Inc.:

5% 6/15/15

686

724

6.125% 12/1/11

583

618

6.75% 6/1/16

3,874

4,298

7.717% 2/15/19

3,297

3,815

Metropolitan Life Global Funding I:

4.625% 8/19/10 (g)

1,944

1,957

5.125% 4/10/13 (g)

329

355

5.125% 6/10/14 (g)

3,462

3,714

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

973

1,004

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

1,297

1,372

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

2,639

2,898

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

2,640

2,673

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

1,995

2,094

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

3,373

4,200

Pacific LifeCorp 6% 2/10/20 (g)

3,662

3,814

Prudential Financial, Inc.:

3.875% 1/14/15

2,500

2,513

5.15% 1/15/13

1,277

1,350

5.4% 6/13/35

266

237

5.5% 3/15/16

250

264

5.7% 12/14/36

226

211

6.2% 1/15/15

690

759

7.375% 6/15/19

1,880

2,152

8.875% 6/15/38 (l)

1,751

1,856

QBE Insurance Group Ltd. 5.647% 7/1/23 (g)(l)

221

202

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Insurance - continued

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

$ 3,053

$ 3,023

USI Holdings Corp. 4.3109% 11/15/14 (g)(l)

2,920

2,336

 

70,303

Real Estate Investment Trusts - 0.2%

AvalonBay Communities, Inc.:

4.95% 3/15/13

216

228

5.5% 1/15/12

743

782

Camden Property Trust:

5.375% 12/15/13

2,150

2,278

5.875% 11/30/12

395

425

Developers Diversified Realty Corp.:

4.625% 8/1/10

1,777

1,779

5.25% 4/15/11

1,903

1,914

5.375% 10/15/12

1,735

1,720

7.5% 4/1/17

2,243

2,232

Duke Realty LP:

4.625% 5/15/13

404

414

5.875% 8/15/12

71

75

DuPont Fabros Technology LP 8.5% 12/15/17 (g)

2,020

2,060

Equity One, Inc.:

6% 9/15/17

522

522

6.25% 1/15/17

291

297

Federal Realty Investment Trust:

5.4% 12/1/13

257

275

5.9% 4/1/20

1,213

1,259

6% 7/15/12

1,728

1,845

6.2% 1/15/17

365

391

HRPT Properties Trust:

5.75% 11/1/15

524

540

6.25% 6/15/17

726

744

6.65% 1/15/18

383

395

Omega Healthcare Investors, Inc. 7% 1/15/16

4,090

4,029

Senior Housing Properties Trust 8.625% 1/15/12

5,910

6,073

Washington (REIT) 5.95% 6/15/11

2,173

2,209

 

32,486

Real Estate Management & Development - 0.3%

AMB Property LP 5.9% 8/15/13

1,520

1,598

Arden Realty LP 5.2% 9/1/11

789

817

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Real Estate Management & Development - continued

BioMed Realty LP 6.125% 4/15/20 (g)

$ 1,607

$ 1,644

Brandywine Operating Partnership LP:

5.625% 12/15/10

2,456

2,494

5.75% 4/1/12

1,112

1,153

Duke Realty LP:

5.4% 8/15/14

354

364

5.5% 3/1/16

2,930

2,978

5.625% 8/15/11

4,324

4,442

8.25% 8/15/19

1,608

1,833

ERP Operating LP 5.5% 10/1/12

261

280

Liberty Property LP:

5.125% 3/2/15

500

513

5.5% 12/15/16

893

921

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

575

595

Post Apartment Homes LP 6.3% 6/1/13

2,240

2,367

Realogy Corp. 10.5% 4/15/14

9,000

7,695

Regency Centers LP:

4.95% 4/15/14

360

367

5.25% 8/1/15

1,257

1,295

5.875% 6/15/17

622

647

Simon Property Group LP:

4.2% 2/1/15

1,785

1,828

4.6% 6/15/10

344

344

4.875% 8/15/10

397

399

6.75% 5/15/14

4,302

4,790

6.75% 2/1/40

3,214

3,402

Tanger Properties LP 6.15% 11/15/15

14

15

Teachers Insurance & Annuity Association America 6.85% 12/16/39 (g)

5,559

6,110

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

3,435

3,521

Ventas Realty LP 6.5% 6/1/16

660

655

 

53,067

Thrifts & Mortgage Finance - 0.1%

Bank of America Corp.:

5.65% 5/1/18

7,144

7,185

7.375% 5/15/14

1,248

1,378

Countrywide Financial Corp. 5.8% 6/7/12

3,473

3,661

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

3,490

3,652

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Thrifts & Mortgage Finance - continued

Independence Community Bank Corp.:

2.1115% 4/1/14 (l)

$ 2,485

$ 2,433

4.9% 9/23/10

999

1,008

 

19,317

TOTAL FINANCIALS

639,988

HEALTH CARE - 0.7%

Health Care Equipment & Supplies - 0.0%

Biomet, Inc.:

10% 10/15/17

3,820

4,030

11.625% 10/15/17

2,775

2,942

 

6,972

Health Care Providers & Services - 0.7%

Apria Healthcare Group, Inc.:

11.25% 11/1/14 (g)

4,330

4,547

12.375% 11/1/14 (g)

3,645

3,882

Coventry Health Care, Inc.:

5.95% 3/15/17

1,030

1,017

6.3% 8/15/14

2,132

2,259

DaVita, Inc. 6.625% 3/15/13

7,205

7,079

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

2,404

2,697

HCA, Inc.:

6.375% 1/15/15

1,325

1,216

6.5% 2/15/16

5,605

5,129

7.875% 2/15/20 (g)

4,825

4,922

8.5% 4/15/19 (g)

4,455

4,639

9.25% 11/15/16

19,940

20,837

9.875% 2/15/17 (g)

850

897

NMH Holdings, Inc. 7.382% 6/15/14 pay-in-kind (g)(l)

0 *

0 *

Surgical Care Affiliates LLC 8.875% 7/15/15 pay-in-kind (g)(l)

4,790

4,790

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

1,416

1,494

Tenet Healthcare Corp.:

8.875% 7/1/19 (g)

8,855

9,298

9% 5/1/15 (g)

1,002

1,065

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

HEALTH CARE - continued

Health Care Providers & Services - continued

Tenet Healthcare Corp.: - continued

9.875% 7/1/14

$ 4,690

$ 4,831

10% 5/1/18 (g)

5,002

5,477

U.S. Oncology, Inc. 9.125% 8/15/17

2,740

2,754

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

10,745

10,745

US Oncology Holdings, Inc. 6.6434% 3/15/12 pay-in-kind (l)

9,197

8,242

Viant Holdings, Inc. 10.125% 7/15/17 (g)

10,489

10,437

 

118,254

Pharmaceuticals - 0.0%

Abbott Laboratories 5.3% 5/27/40

1,800

1,768

Novartis Capital Corp. 4.125% 2/10/14

1,727

1,846

Roche Holdings, Inc. 5% 3/1/14 (g)

3,501

3,839

Teva Pharmaceutical Finance LLC 5.55% 2/1/16

564

636

 

8,089

TOTAL HEALTH CARE

133,315

INDUSTRIALS - 0.6%

Aerospace & Defense - 0.1%

BAE Systems Holdings, Inc.:

6.375% 6/1/19 (g)

3,650

4,123

6.4% 12/15/11 (g)

482

513

DRS Technologies, Inc.:

6.625% 2/1/16

3,760

3,662

7.625% 2/1/18

1,830

1,882

 

10,180

Air Freight & Logistics - 0.0%

CEVA Group PLC 11.5% 4/1/18 (g)

5,510

5,648

Airlines - 0.1%

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

105

106

Continental Airlines, Inc.:

pass-thru trust certificates:

8.388% 5/1/22

69

61

9.798% 4/1/21

5,955

5,597

6.648% 3/15/19

1,662

1,662

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

INDUSTRIALS - continued

Airlines - continued

Continental Airlines, Inc.: - continued

6.82% 5/1/18

$ 130

$ 130

6.9% 7/2/19

492

487

7.339% 4/19/14

1,814

1,651

Delta Air Lines, Inc.:

7.9% 12/15/09 (a)

27,035

270

8.3% 12/15/29 (a)

15,711

157

9.5% 9/15/14 (g)

970

997

10.375% 2/1/11 (a)

8,640

86

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

6.821% 8/10/22

206

203

7.57% 11/18/10

6,419

6,483

7.779% 1/2/12

455

453

U.S. Airways pass-thru trust certificates:

6.85% 7/30/19

1,161

1,063

8.36% 7/20/20

863

846

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

1,110

1,132

 

21,384

Building Products - 0.0%

Nortek, Inc. 11% 12/1/13

7,644

7,950

Commercial Services & Supplies - 0.1%

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

1,015

1,081

Cenveo Corp. 10.5% 8/15/16 (g)

2,590

2,593

International Lease Finance Corp.:

5.875% 5/1/13

895

792

8.625% 9/15/15 (g)

1,970

1,788

8.75% 3/15/17 (g)

2,275

2,053

United Rentals North America, Inc. 9.25% 12/15/19

3,460

3,460

 

11,767

Electrical Equipment - 0.1%

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

11,608

11,260

Industrial Conglomerates - 0.2%

Covidien International Finance SA:

5.15% 10/15/10

1,489

1,512

5.45% 10/15/12

3,609

3,953

6% 10/15/17

1,726

1,949

General Electric Co. 5.25% 12/6/17

17,378

18,603

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

INDUSTRIALS - continued

Industrial Conglomerates - continued

Sequa Corp.:

11.75% 12/1/15 (g)

$ 2,355

$ 2,237

13.5% 12/1/15 pay-in-kind (g)

774

759

 

29,013

Machinery - 0.0%

Atlas Copco AB 5.6% 5/22/17 (g)

360

385

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

1,730

1,419

Navistar International Corp. 8.25% 11/1/21

1,735

1,726

 

3,530

Marine - 0.0%

Navios Maritime Holdings, Inc.:

8.875% 11/1/17 (g)

1,420

1,434

9.5% 12/15/14

3,670

3,569

 

5,003

Professional Services - 0.0%

FTI Consulting, Inc. 7.625% 6/15/13

920

895

Road & Rail - 0.0%

Avis Budget Car Rental LLC/Avis Budget Finance, Inc. 9.625% 3/15/18 (g)

1,250

1,250

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

1,530

1,400

 

2,650

Trading Companies & Distributors - 0.0%

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

6,686

6,686

TOTAL INDUSTRIALS

115,966

INFORMATION TECHNOLOGY - 0.6%

Communications Equipment - 0.1%

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

10,898

10,244

Lucent Technologies, Inc. 6.45% 3/15/29

10,065

6,844

 

17,088

Electronic Equipment & Components - 0.0%

Reddy Ice Corp. 11.25% 3/15/15 (g)

4,645

4,668

Tyco Electronics Group SA:

5.95% 1/15/14

1,738

1,902

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

INFORMATION TECHNOLOGY - continued

Electronic Equipment & Components - continued

Tyco Electronics Group SA: - continued

6% 10/1/12

$ 2,284

$ 2,463

6.55% 10/1/17

1,390

1,587

 

10,620

IT Services - 0.2%

Ceridian Corp. 11.25% 11/15/15

8,850

8,408

First Data Corp. 9.875% 9/24/15

11,815

9,629

SunGard Data Systems, Inc. 4.875% 1/15/14

12,355

11,521

 

29,558

Office Electronics - 0.0%

Xerox Corp. 5.5% 5/15/12

944

1,007

Semiconductors & Semiconductor Equipment - 0.3%

Freescale Semiconductor, Inc.:

4.132% 12/15/14 (l)

7,225

6,358

8.875% 12/15/14

5,975

5,355

9.25% 4/15/18 (g)

4,030

4,010

10.125% 12/15/16

7,465

6,047

10.125% 3/15/18 (g)

13,240

13,737

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

2,354

2,353

NXP BV:

3.0528% 10/15/13 (l)

715

613

7.875% 10/15/14

6,000

5,505

Spansion LLC 11.25% 1/15/16 (c)(g)

905

1,394

Viasystems, Inc. 12% 1/15/15 (g)

2,225

2,414

 

47,786

TOTAL INFORMATION TECHNOLOGY

106,059

MATERIALS - 0.6%

Chemicals - 0.2%

Dow Chemical Co. 7.6% 5/15/14

5,979

6,850

Georgia Gulf Corp. 9% 1/15/17 (g)

3,040

3,101

Huntsman International LLC 8.625% 3/15/20 (g)

1,635

1,504

Lubrizol Corp. 8.875% 2/1/19

547

662

Momentive Performance Materials, Inc.:

9.75% 12/1/14

9,280

8,932

10.875% 12/1/14 pay-in-kind (l)

221

203

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

MATERIALS - continued

Chemicals - continued

NOVA Chemicals Corp. 8.375% 11/1/16

$ 3,550

$ 3,532

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

5,000

5,850

 

30,634

Construction Materials - 0.0%

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

1,080

1,176

Headwaters, Inc. 11.375% 11/1/14

585

591

 

1,767

Containers & Packaging - 0.1%

Berry Plastics Holding Corp. 8.875% 9/15/14

7,450

7,115

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

1,970

2,000

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

4,000

4,070

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

350

357

Pactiv Corp.:

5.875% 7/15/12

1,009

1,036

6.4% 1/15/18

1,030

1,048

 

15,626

Metals & Mining - 0.3%

BHP Billiton Financial (USA) Ltd.:

5.125% 3/29/12

1,164

1,241

5.5% 4/1/14

5,752

6,395

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

1,179

1,281

Edgen Murray Corp. 12.25% 1/15/15 (g)

7,385

6,647

FMG Finance Property Ltd. 10.625% 9/1/16 (g)

7,000

7,700

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

4,425

4,270

Noranda Aluminium Holding Corp. 7.1226% 11/15/14 pay-in-kind (l)

3,938

3,932

Rio Tinto Finance (USA) Ltd.:

5.875% 7/15/13

7,256

7,921

6.5% 7/15/18

2,799

3,095

7.125% 7/15/28

7,050

7,875

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

4,670

4,717

Steel Dynamics, Inc. 7.625% 3/15/20 (g)

1,920

1,896

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

MATERIALS - continued

Metals & Mining - continued

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

$ 3,880

$ 3,395

Vale Overseas Ltd. 6.25% 1/23/17

1,368

1,469

 

61,834

Paper & Forest Products - 0.0%

Verso Paper Holdings LLC/Verso Paper, Inc. 4.0944% 8/1/14 (l)

1,015

863

TOTAL MATERIALS

110,724

TELECOMMUNICATION SERVICES - 1.2%

Diversified Telecommunication Services - 0.8%

AT&T, Inc.:

6.7% 11/15/13

691

790

6.8% 5/15/36

8,428

9,283

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

1,565

1,827

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

1,601

1,667

CenturyTel, Inc. 7.6% 9/15/39

3,686

3,471

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

11,240

10,959

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

884

945

Global Crossing Ltd. 12% 9/15/15 (g)

2,015

2,136

Intelsat Bermuda Ltd. 12.5% 2/4/17 pay-in-kind (l)

3,910

3,712

Intelsat Corp. 9.25% 8/15/14

5,190

5,294

Intelsat Ltd. 11.25% 6/15/16

9,660

10,240

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

3,000

2,925

Qwest Corp. 8.375% 5/1/16

5,765

6,285

SBC Communications, Inc.:

5.1% 9/15/14

1,278

1,400

5.875% 2/1/12

1,610

1,726

5.875% 8/15/12

576

628

Sprint Capital Corp.:

6.875% 11/15/28

20,608

17,130

6.9% 5/1/19

16,095

14,546

8.375% 3/15/12

7,330

7,550

8.75% 3/15/32

3,655

3,481

Telecom Italia Capital SA:

4.95% 9/30/14

1,890

1,874

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

TELECOMMUNICATION SERVICES - continued

Diversified Telecommunication Services - continued

Telecom Italia Capital SA: - continued

5.25% 10/1/15

$ 2,367

$ 2,365

6.999% 6/4/18

6,391

6,729

7.2% 7/18/36

4,849

4,698

Telefonica Emisiones SAU:

5.877% 7/15/19

4,178

4,313

6.421% 6/20/16

684

760

Verizon Communications, Inc.:

6.1% 4/15/18

1,909

2,126

6.25% 4/1/37

3,729

3,841

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

525

556

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

1,563

1,691

Wind Acquisition Finance SA 11.75% 7/15/17 (g)

6,720

6,888

 

141,836

Wireless Telecommunication Services - 0.4%

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

4,000

3,900

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

2,955

3,095

Digicel Group Ltd.:

8.875% 1/15/15 (g)

11,915

11,483

9.125% 1/15/15 pay-in-kind (g)(l)

500

484

12% 4/1/14 (g)

6,990

7,724

DIRECTV Holdings LLC/DIRECTV Financing, Inc.:

4.75% 10/1/14

4,618

4,887

5.875% 10/1/19

5,712

6,070

6.35% 3/15/40 (g)

1,699

1,733

Intelsat Jackson Holdings Ltd.:

8.5% 11/1/19 (g)

2,455

2,449

9.5% 6/15/16

4,745

4,935

11.5% 6/15/16

665

698

Intelsat Subsidiary Holding Co. Ltd.:

8.875% 1/15/15 (g)

870

883

8.875% 1/15/15

6,980

7,085

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

3,347

2,883

Nextel Communications, Inc.:

5.95% 3/15/14

830

766

6.875% 10/31/13

4,380

4,194

7.375% 8/1/15

11,630

10,961

Verizon Wireless Capital LLC 5.55% 2/1/14

1,399

1,547

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

TELECOMMUNICATION SERVICES - continued

Wireless Telecommunication Services - continued

Vodafone Group PLC:

5% 12/16/13

$ 1,353

$ 1,458

5.5% 6/15/11

1,626

1,694

 

78,929

TOTAL TELECOMMUNICATION SERVICES

220,765

UTILITIES - 0.7%

Electric Utilities - 0.4%

AmerenUE 6.4% 6/15/17

1,760

1,948

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

2,423

2,633

Edison Mission Energy:

7% 5/15/17

510

345

7.2% 5/15/19

8,270

5,376

EDP Finance BV:

4.9% 10/1/19 (g)

1,300

1,186

6% 2/2/18 (g)

2,160

2,153

FirstEnergy Solutions Corp.:

4.8% 2/15/15

1,266

1,306

6.05% 8/15/21

1,846

1,831

Illinois Power Co. 6.125% 11/15/17

243

267

Intergen NV 9% 6/30/17 (g)

7,015

7,015

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

3,670

3,734

Mirant Americas Generation LLC 8.3% 5/1/11

6,000

6,090

Nevada Power Co. 6.5% 5/15/18

5,100

5,738

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

3,645

3,663

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

1,609

1,738

Pennsylvania Electric Co. 6.05% 9/1/17

450

487

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

2,198

2,387

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

2,416

2,114

Progress Energy, Inc.:

6% 12/1/39

3,060

3,059

7.1% 3/1/11

1,994

2,082

Tampa Electric Co. 6.15% 5/15/37

3,871

4,097

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

UTILITIES - continued

Electric Utilities - continued

Texas Competitive Electric Holdings Co. LLC/Texas Competitive Electric Holdings Finance, Inc.:

Series A, 10.25% 11/1/15

$ 5,105

$ 3,446

11.25% 11/1/16 pay-in-kind (l)

6,679

4,317

 

67,012

Gas Utilities - 0.0%

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

260

272

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

1,827

1,879

 

2,151

Independent Power Producers & Energy Traders - 0.1%

AES Corp.:

7.75% 10/15/15

4,660

4,567

9.75% 4/15/16 (g)

2,000

2,125

Duke Capital LLC 5.668% 8/15/14

1,211

1,292

Energy Future Holdings Corp.:

10% 1/15/20 (g)

4,165

4,175

10.875% 11/1/17

13,015

9,436

Enron Corp.:

6.4% 7/15/06 (c)

3,600

0

6.625% 11/15/05 (c)

2,155

0

6.75% 9/1/04 (c)

1,425

0

9.125% 4/1/03 (c)

4,315

0

Exelon Generation Co. LLC 5.35% 1/15/14

900

973

RRI Energy, Inc. 6.75% 12/15/14

7,026

7,061

 

29,629

Multi-Utilities - 0.2%

Dominion Resources, Inc.:

4.75% 12/15/10

2,316

2,364

6.3% 9/30/66 (l)

12,373

11,445

DTE Energy Co. 7.05% 6/1/11

580

610

KeySpan Corp. 7.625% 11/15/10

291

300

MidAmerican Energy Holdings, Co.:

5.75% 4/1/18

1,064

1,158

5.875% 10/1/12

1,721

1,878

6.5% 9/15/37

1,418

1,548

National Grid PLC 6.3% 8/1/16

774

872

NiSource Finance Corp.:

5.25% 9/15/17

497

511

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

UTILITIES - continued

Multi-Utilities - continued

NiSource Finance Corp.: - continued

5.4% 7/15/14

$ 794

$ 852

5.45% 9/15/20

598

601

6.4% 3/15/18

782

848

6.8% 1/15/19

2,710

2,997

7.875% 11/15/10

602

619

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

3,636

3,309

WPS Resources Corp. 6.11% 12/1/66 (l)

520

468

 

30,380

TOTAL UTILITIES

129,172

TOTAL NONCONVERTIBLE BONDS

2,083,611

TOTAL CORPORATE BONDS

(Cost $2,040,647)

2,185,561

U.S. Government and Government Agency Obligations - 8.2%

 

U.S. Treasury Inflation Protected Obligations - 0.9%

U.S. Treasury Inflation-Indexed Notes:

2.125% 2/15/40

96,650

103,504

2.375% 1/15/27

48,556

53,055

TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS

156,559

U.S. Treasury Obligations - 7.3%

U.S. Treasury Bonds:

4.375% 11/15/39

40,590

41,605

4.375% 5/15/40

104,398

107,204

4.625% 2/15/40

34,510

36,850

U.S. Treasury Notes:

1.375% 2/15/13 (j)

150,000

150,820

1.75% 4/15/13

688,680

698,927

U.S. Government and Government Agency Obligations - continued

 

Principal Amount (000s)

Value (000s)

U.S. Treasury Obligations - continued

U.S. Treasury Notes: - continued

1.75% 3/31/14

$ 200,000

$ 200,375

1.875% 4/30/14 (j)

88,380

88,870

TOTAL U.S. TREASURY OBLIGATIONS

1,324,651

TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $1,454,397)

1,481,210

U.S. Government Agency - Mortgage Securities - 1.7%

 

Fannie Mae - 1.0%

4% 4/1/24 to 8/1/39 (i)

7,714

7,796

4% 5/1/25 (h)(i)

3,000

3,080

4% 6/1/25 (h)

1,000

1,025

4% 6/1/25 (h)

3,000

3,075

4% 6/1/25 (h)

1,000

1,025

4.278% 6/1/36 (l)

301

314

4.5% 6/1/25 (h)

3,000

3,138

4.5% 1/1/39 to 9/1/39

27,837

28,457

4.5% 6/1/40 (h)(i)

1,500

1,530

4.5% 6/1/40 (h)(i)

5,000

5,101

5% 12/1/25 to 5/1/40

14,283

14,988

5% 6/1/40 (h)

11,900

12,454

5% 6/1/40 (h)(i)

7,000

7,326

5.496% 7/1/37 (l)

712

750

5.5% 1/1/24 to 3/1/40 (h)

37,056

39,642

5.5% 6/1/40 (h)

6,500

6,933

5.5% 6/1/40 (h)

100

107

5.5% 6/1/40 (h)(i)

11,000

11,733

5.5% 6/1/40

3,000

3,200

5.5% 6/1/40 (h)(i)

4,000

4,267

6% 2/1/23 to 7/1/38

9,223

9,975

6% 6/1/40 (h)(i)

3,000

3,231

6% 6/1/40 (h)

2,000

2,154

6% 6/1/40 (h)(i)

6,000

6,462

6% 6/1/40 (h)

10,000

10,770

U.S. Government Agency - Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Fannie Mae - continued

6.5% 8/1/36 (i)

$ 4,191

$ 4,628

6.5% 6/1/40 (h)

100

109

TOTAL FANNIE MAE

193,270

Freddie Mac - 0.3%

5% 3/1/19 to 6/1/40

27,937

29,541

5.585% 10/1/35 (l)

275

288

6% 7/1/37

81

88

6% 5/1/40 (h)

5,700

6,155

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

12,031

13,294

TOTAL FREDDIE MAC

49,366

Government National Mortgage Association - 0.4%

4% 8/15/39 to 4/15/40

5,975

5,976

4% 6/1/40 (h)

1,000

998

4.5% 5/15/39 to 4/15/40

5,999

6,162

4.5% 6/1/40 (h)

1,000

1,024

4.5% 6/1/40 (h)

1,000

1,024

4.5% 6/1/40 (h)

5,000

5,119

4.5% 6/1/40 (h)

2,000

2,048

4.5% 6/1/40 (h)

2,000

2,053

4.5% 6/1/40 (h)

6,500

6,671

5.5% 9/20/38 to 9/15/39

2,589

2,786

5.5% 6/1/40 (h)(i)

5,200

5,576

5.5% 6/1/40 (h)(i)

4,000

4,289

5.5% 6/1/40 (h)(i)

11,000

11,795

6% 2/15/34

10,417

11,436

6.5% 3/15/34

5,597

6,230

TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION

73,187

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $308,583)

315,823

Asset-Backed Securities - 0.8%

 

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

1,383

811

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

81

0 *

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

ACE Securities Corp. Home Equity Loan Trust:

Series 2004-HE1:

Class M1, 1.0928% 3/25/34 (l)

$ 124

$ 118

Class M2, 1.9928% 3/25/34 (l)

334

220

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

161

144

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

71

2

Series 2006-OP1:

Class M4, 0.7128% 4/25/36 (l)

129

4

Class M5, 0.7328% 4/25/36 (l)

41

0 *

Advanta Business Card Master Trust:

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

1,051

1,035

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

530

521

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

141

3

Series 2007-A1 Class A, 0.3897% 1/20/15 (l)

356

350

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

505

498

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

124

124

Ally Master Owner Trust Series 2010-2 Class A, 4.25% 4/15/17 (g)

6,090

6,241

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

69

70

AmeriCredit Prime Automobile Receivables Trust:

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

539

533

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

90

91

Ameriquest Mortgage Securities, Inc. pass-thru certificates:

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

82

52

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

117

15

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

1,567

1,172

Argent Securities, Inc. pass-thru certificates:

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

36

25

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

426

255

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

1,108

528

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

1,127

356

Asset Backed Securities Corp. Home Equity Loan Trust:

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

2,026

1,241

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

181

11

Axon Financial Funding Ltd. 5.96% 4/4/17 (c)(g)(l)

4,820

0 *

Bear Stearns Asset Backed Securities Trust Series 2006-3 Class A1, 0.4928% 8/25/36 (l)

991

968

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

852

850

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

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

$ 1,666

$ 1,582

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

277

272

Capital Auto Receivables Asset Trust:

Series 2006-2:

Class B, 5.07% 12/15/11

1,539

1,555

Class C, 5.31% 6/15/12

1,132

1,150

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

403

422

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

197

197

Capital One Auto Finance Trust Series 2007-B Class A3A, 5.03% 4/15/12

102

102

Capital One Multi-Asset Execution Trust:

Series 2003-A5 Class A5, 0.6269% 7/15/13 (l)

3,360

3,360

Series 2007-C3 Class C3, 0.6269% 4/15/13 (g)(l)

2,207

2,206

Series 2009-A1 Class A1, 1.4369% 4/15/13 (l)

2,800

2,801

Capital Trust Ltd. Series 2004-1:

Class A2, 0.7897% 7/20/39 (g)(l)

347

43

Class B, 1.0897% 7/20/39 (g)(l)

200

14

Class C, 1.4397% 7/20/39 (g)(l)

258

6

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

445

459

Carrington Mortgage Loan Trust:

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

4,366

852

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

323

6

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

2,725

544

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

141

6

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

1,368

489

Cendant Timeshare Receivables Funding LLC:

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

122

109

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

352

351

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

9,750

9,731

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

9,250

9,358

Citigroup Mortgage Loan Trust:

Series 2005-HE4 Class A2C, 0.6128% 10/25/35 (l)

2,434

2,303

Series 2007-AMC4 Class M1, 0.6128% 5/25/37 (l)

581

23

Countrywide Asset-Backed Certificates Trust:

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

83

80

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

484

454

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

5,975

5,406

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

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

$ 251

$ 0

Countrywide Home Loans, Inc.:

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

121

45

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

446

153

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

1,082

977

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

168

162

CPS Auto Receivables Trust:

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

333

338

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

79

80

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

30

26

Fieldstone Mortgage Investment Corp.:

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

221

82

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

4,507

1,429

First Franklin Mortgage Loan Trust:

Series 2004-FF2 Class M3, 1.1678% 3/25/34 (l)

19

3

Series 2005-FF9 Class A3, 0.6228% 10/25/35 (l)

2,935

2,594

Series 2006-FF12 Class A2, 0.3828% 9/25/36 (l)

5

5

Series 2006-FF14 Class A2, 0.4028% 10/25/36 (l)

1,745

1,611

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

392

408

Ford Credit Floorplan Master Owner Trust:

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

586

569

Series 2010-1 Class A, 1.9869% 12/15/14 (g)(l)

7,780

7,865

Franklin Auto Trust:

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

50

51

Series 2007-1:

Class A4, 5.03% 2/16/15

348

356

Class C, 5.43% 2/16/15

426

413

Fremont Home Loan Trust:

Series 2005-A:

Class M3, 0.8328% 1/25/35 (l)

720

256

Class M4, 1.0228% 1/25/35 (l)

276

37

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

224

4

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

2,160

1,481

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

1,092

873

GE Business Loan Trust:

Series 2003-1 Class A, 0.7669% 4/15/31 (g)(l)

216

190

Series 2006-2A:

Class A, 0.5169% 11/15/34 (g)(l)

1,376

1,101

Class B, 0.6169% 11/15/34 (g)(l)

498

299

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

GE Business Loan Trust: - continued

Series 2006-2A:

Class C, 0.7169% 11/15/34 (g)(l)

$ 826

$ 330

Class D, 1.0869% 11/15/34 (g)(l)

315

76

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

665

653

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

512

380

GS Auto Loan Trust Series 2007-1:

Class B, 5.53% 12/15/14

45

46

Class C, 5.74% 12/15/14

95

94

GSAMP Trust:

Series 2004-AR1 Class M1, 0.9928% 6/25/34 (l)

2,032

1,250

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

820

43

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

283

4

Guggenheim Structured Real Estate Funding Ltd.:

Series 2005-1 Class C, 1.4228% 5/25/30 (g)(l)

501

125

Series 2006-3:

Class B, 0.7428% 9/25/46 (g)(l)

497

99

Class C, 0.8928% 9/25/46 (g)(l)

1,159

174

Home Equity Asset Trust:

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

331

176

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

634

438

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

25

15

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

123

120

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

1,618

1,553

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

8

8

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

638

478

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

1,137

412

JPMorgan Mortgage Acquisition Trust:

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

2,497

59

Series 2007-CH1:

Class AV4, 0.4728% 10/25/36 (l)

1,136

918

Class MV1, 0.5728% 10/25/36 (l)

923

337

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

397

19

Keycorp Student Loan Trust:

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

667

554

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

2,016

486

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

210

0 *

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

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

$ 1,670

$ 1,697

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

151

107

Marriott Vacation Club Owner Trust Series 2006-2A:

Class B, 5.442% 10/20/28 (g)

12

11

Class C, 5.691% 10/20/28 (g)

5

4

Class D, 6.01% 10/20/28 (g)

62

48

MASTR Asset Backed Securities Trust:

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

407

13

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

596

29

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

139

61

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

181

184

Merrill Lynch Mortgage Investors Trust:

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

524

376

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

1,689

1,489

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

20

19

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

2,451

1,615

Morgan Stanley ABS Capital I Trust:

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

44

33

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

303

143

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

316

70

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

3,212

82

National Collegiate Funding LLC Series 2004-GT1 Class IO1, 7.87% 6/25/10 (g)(l)(o)

3,018

26

National Collegiate Student Loan Trust:

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

1,818

330

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

323

12

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

160

10

Series 2006-3:

Class A1, 0.3728% 9/25/19 (l)

40

39

Class AIO, 7.1% 1/25/12 (o)

258

26

Series 2006-4:

Class A1, 0.3728% 3/25/25 (l)

395

389

Class AIO, 6.35% 2/27/12 (o)

819

81

Class D, 1.4428% 5/25/32 (l)

1,544

44

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

1,101

139

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

936

124

New Century Home Equity Loan Trust:

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

1,083

450

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

593

64

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

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

$ 109

$ 108

Ocala Funding LLC Series 2006-1A Class A, 1.7397% 3/20/11 (c)(g)(l)

892

330

Option One Mortgage Loan Trust:

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

82

80

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

139

133

Park Place Securities, Inc.:

Series 2004-WCW1:

Class M3, 1.5928% 9/25/34 (l)

405

172

Class M4, 1.7928% 9/25/34 (l)

519

88

Series 2005-WCH1:

Class M2, 0.8628% 1/25/36 (l)

1,817

1,471

Class M3, 0.9028% 1/25/36 (l)

363

218

Class M4, 1.1728% 1/25/36 (l)

1,120

339

Series 2005-WHQ2:

Class M7, 1.5928% 5/25/35 (l)

1,328

22

Class M9, 2.2228% 5/25/35 (l)

223

1

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

2,497

2,480

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

61

61

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

271

9

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

101

98

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

4

3

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

1,298

859

Securitized Asset Backed Receivables LLC Trust:

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

66

1

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

515

261

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

238

232

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

688

641

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

965

126

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

455

0

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

58

9

Structured Asset Securities Corp. Series 2007-BC4 Class A3, 0.5125% 11/25/37 (l)

6,257

5,831

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

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

$ 1,043

$ 870

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

772

761

Swift Master Auto Receivables Trust:

Series 2007-1:

Class A, 0.4369% 6/15/12 (l)

2,654

2,653

Class B, 0.5569% 6/15/12 (l)

294

294

Class C, 0.8369% 6/15/12 (l)

176

176

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

1,986

1,979

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

22

16

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

1,477

74

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

359

367

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

2,785

2,781

Wachovia Auto Loan Owner Trust:

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

202

203

Series 2006-2A:

Class B, 5.29% 6/20/12 (g)

283

287

Class D, 5.54% 12/20/12 (g)

404

408

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

674

0

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

47

1

WaMu Master Note Trust:

Series 2006-C2A Class C2, 0.8369% 8/15/15 (g)(l)

6,374

6,298

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

6,464

6,563

Series 2007-A5A Class A5, 1.0869% 10/15/14 (g)(l)

900

901

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

6

0 *

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

1,358

448

TOTAL ASSET-BACKED SECURITIES

(Cost $133,497)

136,742

Collateralized Mortgage Obligations - 0.7%

 

Principal Amount (000s)

Value (000s)

Private Sponsor - 0.7%

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

$ 1,084

$ 596

Banc of America Commercial Mortgage Trust Series 2007-2:

Class B, 5.8772% 4/10/49 (l)

51

13

Class C, 5.8772% 4/10/49 (l)

135

32

Class D, 5.8772% 4/10/49 (l)

67

14

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

4,890

4,928

Banc of America Mortgage Securities, Inc.:

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

1,536

1,405

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

1,668

1,491

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

899

793

Series 2004-B:

Class 1A1, 2.9236% 3/25/34 (l)

105

91

Class 2A2, 3.0591% 3/25/34 (l)

954

869

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

1,478

1,355

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

1,325

1,153

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

1,186

1,041

Bayview Commercial Asset Trust Series 2006-3A Class IO, 2.3908% 10/25/36 (g)(l)(o)

38,690

3,103

Bear Stearns ALT-A Trust floater Series 2005-1 Class A1, 0.6228% 1/25/35 (l)

1,816

1,361

Bear Stearns Commercial Mortgage Securities Trust Series 2006-T24 Class X2, 0.6081% 10/12/41 (g)(l)(o)

3,139

38

Chase Mortgage Finance Trust:

Series 2007-A1 Class 1A5, 3.5182% 2/25/37 (l)

426

402

Series 2007-A2 Class 2A1, 3.5609% 7/25/37 (l)

4,156

3,918

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

912

938

Citigroup Mortgage Loan Trust Series 2004-UST1:

Class A3, 3.0088% 8/25/34 (l)

1,116

1,052

Class A4, 2.803% 8/25/34 (l)

978

920

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

1,019

204

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

912

891

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

15

15

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

Private Sponsor - continued

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

$ 187

$ 180

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

102

100

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

1,514

1,420

Fosse Master Issuer PLC floater Series 2006-1A:

Class B2, 0.4644% 10/18/54 (g)(l)

2,608

2,546

Class C2, 0.7744% 10/18/54 (g)(l)

874

838

Class M2, 0.5544% 10/18/54 (g)(l)

1,499

1,444

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

2,161

2,030

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

2,364

2,299

Granite Master Issuer PLC floater:

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

142

60

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

4,917

2,262

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

4,095

1,679

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

853

367

Series 2006-4:

Class B1, 0.4297% 12/20/54 (l)

3,154

2,334

Class C1, 0.7197% 12/20/54 (l)

1,928

829

Class M1, 0.5097% 12/20/54 (l)

829

526

Series 2007-1:

Class 1C1, 0.6397% 12/20/54 (l)

1,671

702

Class 1M1, 0.4897% 12/20/54 (l)

1,114

691

Class 2C1, 0.7697% 12/20/54 (l)

760

319

Class 2M1, 0.5897% 12/20/54 (l)

1,431

887

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

1,981

842

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

326

178

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

588

495

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

298

177

JPMorgan Chase Commercial Mortgage Securities Trust Series 2007-CB18:

Class A1, 5.32% 6/12/47 (l)

70

72

Class A3, 5.447% 6/12/47 (l)

1,730

1,743

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

Private Sponsor - continued

JPMorgan Mortgage Trust:

sequential payer Series 2006-A5 Class 3A5, 5.946% 8/25/36 (l)

$ 1,917

$ 1,543

Series 2004-A3 Class 4A1, 4.2708% 7/25/34 (l)

1,603

1,547

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

1,364

1,314

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

3,301

3,105

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

410

411

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

911

553

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

379

2

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

1,477

829

Merrill Lynch Floating Trust floater Series 2006-1:

Class B, 0.507% 6/15/22 (g)(l)

188

169

Class C, 0.527% 6/15/22 (g)(l)

1,165

1,013

Class D, 0.537% 6/15/22 (g)(l)

448

381

Class E, 0.547% 6/15/22 (g)(l)

717

559

Class F, 0.577% 6/15/22 (g)(l)

1,164

861

Class G, 0.647% 6/15/22 (g)(l)

269

188

Class H, 0.667% 6/15/22 (g)(l)

538

349

Class J, 0.707% 6/15/22 (g)(l)

628

345

Merrill Lynch Mortgage Investors Trust:

Series 2004-A4 Class A1, 2.9738% 8/25/34 (l)

1,561

1,467

Series 2005-A2 Class A7, 2.8011% 2/25/35 (l)

1,555

1,424

Series 2006-A6 Class A4, 3.6176% 10/25/33 (l)

1,361

1,216

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

3,905

4,052

Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 0.6328% 7/25/35 (l)

1,959

1,465

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

2,236

136

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

1,696

1,695

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

755

657

RESI Finance LP/RESI Finance DE Corp. floater:

Series 2003-B:

Class B5, 2.6471% 7/10/35 (g)(l)

1,511

811

Class B6, 3.1471% 7/10/35 (g)(l)

322

169

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

Private Sponsor - continued

RESI Finance LP/RESI Finance DE Corp. floater: - continued

Series 2004-A:

Class B4, 1.4971% 2/10/36 (g)(l)

$ 500

$ 262

Class B5, 1.9971% 2/10/36 (g)(l)

333

176

Series 2004-B:

Class B4, 1.3971% 2/10/36 (g)(l)

383

196

Class B5, 1.8471% 2/10/36 (g)(l)

281

124

Class B6, 2.2971% 2/10/36 (g)(l)

99

33

Series 2004-C:

Class B4, 1.2471% 9/10/36 (g)(l)

515

270

Class B5, 1.6471% 9/10/36 (g)(l)

572

256

Class B6, 2.0471% 9/10/36 (g)(l)

107

34

Residential Asset Mortgage Products, Inc. sequential payer:

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

821

810

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

60

52

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

354

291

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

129

126

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

32

16

Structured Asset Securities Corp.:

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

458

435

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

440

439

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

2,485

1,315

Thornburg Mortgage Securities Trust floater:

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

9,427

9,246

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

3,777

3,678

WaMu Mortgage pass-thru certificates:

Series 2003-AR8 Class A, 2.8459% 8/25/33 (l)

797

752

Series 2005-AR3 Class A2, 2.7272% 3/25/35 (l)

2,067

1,822

Wells Fargo Mortgage Backed Securities Trust:

Series 2004-EE Class 2A2, 3.0855% 12/25/34 (l)

730

707

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

1,523

1,494

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

3,939

3,715

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

594

569

Series 2005-AR12:

Class 2A5, 2.9646% 7/25/35 (l)

9,940

9,144

Class 2A6, 2.9646% 7/25/35 (l)

492

453

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

Private Sponsor - continued

Wells Fargo Mortgage Backed Securities Trust: - continued

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

$ 2,228

$ 2,041

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

899

813

TOTAL PRIVATE SPONSOR

117,173

U.S. Government Agency - 0.0%

Fannie Mae subordinate REMIC pass-thru certificates sequential payer Series 2002-57 Class BT, 6% 11/25/31

177

177

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $91,997)

117,350

Commercial Mortgage Securities - 1.8%

 

Asset Securitization Corp. Series 1997-D5:

Class A-6, 7.1896% 2/14/43 (l)

1,067

1,133

Class A2, 7.1508% 2/14/43 (l)

671

730

Class A3, 7.2008% 2/14/43 (l)

724

779

Class PS1, 1.5207% 2/14/43 (l)(o)

2,876

93

Banc of America Commercial Mortgage Trust:

sequential payer:

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

1,065

1,129

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

322

325

Series 2006-5:

Class A1, 5.185% 9/10/47

430

435

Class A2, 5.317% 9/10/47

3,520

3,589

Class A3, 5.39% 9/10/47

1,272

1,277

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

1,824

1,850

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

284

293

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

910

929

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

527

80

Series 2007-3:

Class A3, 5.837% 6/10/49 (l)

1,523

1,576

Class A4, 5.837% 6/10/49 (l)

1,901

1,799

Banc of America Commercial Mortgage, Inc.:

sequential payer:

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

63

63

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

1,997

1,941

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Banc of America Commercial Mortgage, Inc.: - continued

sequential payer:

Series 2004-2:

Class A3, 4.05% 11/10/38

$ 1,134

$ 1,150

Class A4, 4.153% 11/10/38

1,157

1,169

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

143

143

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

1,732

1,731

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

858

864

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

2,565

2,612

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

510

501

Series 2001-PB1:

Class J, 7.166% 5/11/35 (g)

228

216

Class K, 6.15% 5/11/35 (g)

424

374

Series 2003-2 Class XP, 0.4312% 3/11/41 (g)(l)(o)

11,260

19

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

2,833

2,881

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

1,642

1,683

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

549

170

Banc of America Large Loan, Inc. floater:

Series 2005-MIB1:

Class C, 0.6469% 3/15/22 (g)(l)

392

345

Class D, 0.6969% 3/15/22 (g)(l)

397

341

Class E, 0.7369% 3/15/22 (g)(l)

328

276

Class F, 0.8069% 3/15/22 (g)(l)

467

369

Class G, 0.8669% 3/15/22 (g)(l)

303

218

Series 2006-BIX1:

Class C, 0.5169% 10/15/19 (g)(l)

586

510

Class D, 0.5469% 10/15/19 (g)(l)

716

609

Class E, 0.5769% 10/15/19 (g)(l)

663

550

Class F, 0.6469% 10/15/19 (g)(l)

1,987

1,530

Class G, 0.6669% 10/15/19 (g)(l)

935

635

Bayview Commercial Asset Trust:

floater:

Series 2003-2 Class M1, 1.1928% 12/25/33 (g)(l)

65

39

Series 2004-1:

Class A, 0.7028% 4/25/34 (g)(l)

1,113

879

Class B, 2.2428% 4/25/34 (g)(l)

125

62

Class M1, 0.9028% 4/25/34 (g)(l)

100

68

Class M2, 1.5428% 4/25/34 (g)(l)

92

54

Series 2004-2:

Class A, 0.7728% 8/25/34 (g)(l)

864

687

Class M1, 0.9228% 8/25/34 (g)(l)

149

95

Series 2004-3:

Class A1, 0.7128% 1/25/35 (g)(l)

1,920

1,517

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Bayview Commercial Asset Trust: - continued

floater:

Series 2004-3:

Class A2, 0.7628% 1/25/35 (g)(l)

$ 276

$ 185

Class M1, 0.8428% 1/25/35 (g)(l)

331

215

Class M2, 1.3428% 1/25/35 (g)(l)

158

98

Series 2005-2A:

Class A1, 0.6528% 8/25/35 (g)(l)

1,409

990

Class M1, 0.7728% 8/25/35 (g)(l)

77

38

Class M2, 0.8228% 8/25/35 (g)(l)

126

59

Class M3, 0.8428% 8/25/35 (g)(l)

70

31

Class M4, 0.9528% 8/25/35 (g)(l)

64

26

Series 2005-3A:

Class A1, 0.6628% 11/25/35 (g)(l)

563

408

Class A2, 0.7428% 11/25/35 (g)(l)

508

340

Class M1, 0.7828% 11/25/35 (g)(l)

67

33

Class M2, 0.8328% 11/25/35 (g)(l)

85

40

Class M3, 0.8528% 11/25/35 (g)(l)

76

34

Class M4, 0.9428% 11/25/35 (g)(l)

94

39

Series 2005-4A:

Class A2, 0.7328% 1/25/36 (g)(l)

1,304

873

Class B1, 1.7428% 1/25/36 (g)(l)

113

39

Class M1, 0.7928% 1/25/36 (g)(l)

420

231

Class M2, 0.8128% 1/25/36 (g)(l)

126

63

Class M3, 0.8428% 1/25/36 (g)(l)

184

87

Class M4, 0.9528% 1/25/36 (g)(l)

102

43

Class M5, 0.9928% 1/25/36 (g)(l)

102

41

Class M6, 1.0428% 1/25/36 (g)(l)

108

41

Series 2006-1:

Class A2, 0.7028% 4/25/36 (g)(l)

201

123

Class M1, 0.7228% 4/25/36 (g)(l)

72

33

Class M2, 0.7428% 4/25/36 (g)(l)

76

33

Class M3, 0.7628% 4/25/36 (g)(l)

65

26

Class M4, 0.8628% 4/25/36 (g)(l)

37

14

Class M5, 0.9028% 4/25/36 (g)(l)

36

13

Class M6, 0.9828% 4/25/36 (g)(l)

72

24

Series 2006-2A:

Class A1, 0.5728% 7/25/36 (g)(l)

3,051

2,109

Class A2, 0.6228% 7/25/36 (g)(l)

181

121

Class B1, 1.2128% 7/25/36 (g)(l)

68

20

Class B3, 3.0428% 7/25/36 (g)(l)

102

28

Class M1, 0.6528% 7/25/36 (g)(l)

190

84

Class M2, 0.6728% 7/25/36 (g)(l)

134

55

Class M3, 0.6928% 7/25/36 (g)(l)

111

42

Class M4, 0.7628% 7/25/36 (g)(l)

75

27

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Bayview Commercial Asset Trust: - continued

floater:

Series 2006-2A:

Class M5, 0.8128% 7/25/36 (g)(l)

$ 92

$ 31

Class M6, 0.8828% 7/25/36 (g)(l)

138

44

Series 2006-3A:

Class B1, 1.1428% 10/25/36 (g)(l)

119

24

Class B2, 1.6928% 10/25/36 (g)(l)

86

15

Class B3, 2.9428% 10/25/36 (g)(l)

140

25

Class M4, 0.7728% 10/25/36 (g)(l)

132

39

Class M5, 0.8228% 10/25/36 (g)(l)

158

43

Class M6, 0.9028% 10/25/36 (g)(l)

308

71

Series 2006-4A:

Class A1, 0.5728% 12/25/36 (g)(l)

667

467

Class A2, 0.6128% 12/25/36 (g)(l)

3,264

1,614

Class B1, 1.0428% 12/25/36 (g)(l)

104

23

Class B2, 1.5928% 12/25/36 (g)(l)

107

21

Class B3, 2.7928% 12/25/36 (g)(l)

181

33

Class M1, 0.6328% 12/25/36 (g)(l)

217

74

Class M2, 0.6528% 12/25/36 (g)(l)

144

46

Class M3, 0.6828% 12/25/36 (g)(l)

147

43

Class M4, 0.7428% 12/25/36 (g)(l)

175

49

Class M5, 0.7828% 12/25/36 (g)(l)

161

42

Class M6, 0.8628% 12/25/36 (g)(l)

144

35

Series 2007-1:

Class A2, 0.6128% 3/25/37 (g)(l)

685

445

Class B1, 1.0128% 3/25/37 (g)(l)

219

50

Class B2, 1.4928% 3/25/37 (g)(l)

159

30

Class B3, 3.6928% 3/25/37 (g)(l)

434

74

Class M1, 0.6128% 3/25/37 (g)(l)

192

83

Class M2, 0.6328% 3/25/37 (g)(l)

144

55

Class M3, 0.6628% 3/25/37 (g)(l)

129

42

Class M4, 0.7128% 3/25/37 (g)(l)

104

31

Class M5, 0.7628% 3/25/37 (g)(l)

160

45

Class M6, 0.8428% 3/25/37 (g)(l)

225

56

Series 2007-2A:

Class A1, 0.6128% 7/25/37 (g)(l)

612

447

Class A2, 0.6628% 7/25/37 (g)(l)

573

304

Class B1, 1.9428% 7/25/37 (g)(l)

177

30

Class B2, 2.5928% 7/25/37 (g)(l)

153

26

Class B3, 3.6928% 7/25/37 (g)(l)

171

30

Class M1, 0.7128% 7/25/37 (g)(l)

201

77

Class M2, 0.7528% 7/25/37 (g)(l)

110

35

Class M3, 0.8328% 7/25/37 (g)(l)

111

31

Class M4, 0.9928% 7/25/37 (g)(l)

220

53

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Bayview Commercial Asset Trust: - continued

floater:

Series 2007-2A:

Class M5, 1.0928% 7/25/37 (g)(l)

$ 194

$ 41

Class M6, 1.3428% 7/25/37 (g)(l)

246

46

Series 2007-3:

Class A2, 0.6328% 7/25/37 (g)(l)

712

365

Class B1, 1.2928% 7/25/37 (g)(l)

159

31

Class B2, 1.9428% 7/25/37 (g)(l)

397

67

Class B3, 4.3428% 7/25/37 (g)(l)

212

32

Class M1, 0.6528% 7/25/37 (g)(l)

142

53

Class M2, 0.6828% 7/25/37 (g)(l)

152

53

Class M3, 0.7128% 7/25/37 (g)(l)

238

78

Class M4, 0.8428% 7/25/37 (g)(l)

374

109

Class M5, 0.9428% 7/25/37 (g)(l)

195

48

Class M6, 1.1428% 7/25/37 (g)(l)

148

35

Series 2007-4A:

Class B1, 2.8928% 9/25/37 (g)(l)

232

30

Class B2, 3.7928% 9/25/37 (g)(l)

840

101

Class M1, 1.2928% 9/25/37 (g)(l)

223

58

Class M2, 1.3928% 9/25/37 (g)(l)

223

49

Class M4, 1.9428% 9/25/37 (g)(l)

567

102

Class M5, 2.0928% 9/25/37 (g)(l)

567

85

Class M6, 2.2928% 9/25/37 (g)(l)

568

79

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

2,341

86

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

5,309

568

Bear Stearns Commercial Mortgage Securities Trust:

floater:

Series 2006-BBA7:

Class G, 0.7769% 3/15/19 (g)(l)

611

306

Class H, 0.9869% 3/15/19 (g)(l)

411

169

Class J, 1.1869% 3/15/19 (g)(l)

309

117

Series 2007-BBA8:

Class D, 0.5869% 3/15/22 (g)(l)

452

293

Class E, 0.6369% 3/15/22 (g)(l)

2,347

1,441

Class F, 0.6869% 3/15/22 (g)(l)

1,440

832

Class G, 0.7369% 3/15/22 (g)(l)

369

203

Class H, 0.8869% 3/15/22 (g)(l)

452

223

Class J, 1.0369% 3/15/22 (g)(l)

452

183

sequential payer:

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

359

366

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

963

982

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

859

875

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

2,680

2,768

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Bear Stearns Commercial Mortgage Securities Trust: - continued

sequential payer:

Series 2007-PW16:

Class A4, 5.9076% 6/11/40 (l)

$ 534

$ 534

Class AAB, 5.9076% 6/11/40 (l)

4,740

4,955

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

541

549

Series 2007-PW18:

Class A2, 5.613% 6/11/50

320

330

Class A4, 5.7% 6/11/50

4,380

4,325

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

257

263

Series 2003-PWR2 Class X2, 0.5984% 5/11/39 (g)(l)(o)

7,070

47

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

3,219

3,332

Series 2006-PW14 Class X2, 0.8482% 12/11/38 (g)(l)(o)

12,358

242

Series 2006-T22:

Class A1, 5.415% 4/12/38 (l)

101

102

Class A4, 5.6286% 4/12/38 (l)

114

119

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

257

263

Series 2007-PW16:

Class B, 5.9076% 6/11/40 (g)(l)

146

52

Class C, 5.9076% 6/11/40 (g)(l)

122

38

Class D, 5.9076% 6/11/40 (g)(l)

122

32

Series 2007-PW18 Class X2, 0.4862% 6/11/50 (g)(l)(o)

85,192

1,140

Series 2007-T28:

Class A1, 5.422% 9/11/42

144

149

Class X2, 0.3328% 9/11/42 (g)(l)(o)

42,605

349

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

579

197

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

740

447

CDC Commercial Mortgage Trust Series 2002-FX1:

Class G, 6.625% 5/15/35 (g)

1,072

1,130

Class XCL, 2.3619% 5/15/35 (g)(l)(o)

12,451

397

Chase Commercial Mortgage Securities Corp.:

Series 1999-2:

Class E, 7.734% 1/15/32

366

366

Class F, 7.734% 1/15/32

198

197

Series 2001-245 Class A2, 6.4842% 2/12/16 (g)(l)

917

942

Citigroup Commercial Mortgage Trust:

floater Series 2006-FL2:

Class F, 0.6469% 8/16/21 (g)(l)

326

268

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Citigroup Commercial Mortgage Trust: - continued

floater Series 2006-FL2:

Class G, 0.6669% 8/15/21 (g)(l)

$ 405

$ 304

Class H, 0.7069% 8/15/21 (g)(l)

324

221

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

6,330

6,361

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

1,540

1,350

Series 2007-C6:

Class A1, 5.622% 12/10/49 (l)

1,459

1,492

Class A2, 5.8882% 12/10/49 (l)

1,210

1,255

Class A4, 5.8882% 12/10/49 (l)

3,035

2,997

Citigroup/Deutsche Bank Commercial Mortgage Trust:

sequential payer Series 2007-CD4:

Class A1, 4.977% 12/11/49

178

180

Class A2A, 5.237% 12/11/49

812

828

Class A4, 5.322% 12/11/49

1,353

1,281

Series 2007-CD4:

Class A3, 5.293% 12/11/49

888

871

Class C, 5.476% 12/11/49

1,717

481

Cobalt CMBS Commercial Mortgage Trust:

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

912

932

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

2,736

492

COMM pass-thru certificates:

floater:

Series 2005-F10A:

Class B, 0.5669% 4/15/17 (g)(l)

2,043

1,655

Class C, 0.6069% 4/15/17 (g)(l)

734

580

Class D, 0.6469% 4/15/17 (g)(l)

721

555

Class E, 0.7069% 4/15/17 (g)(l)

230

172

Class F, 0.7469% 4/15/17 (g)(l)

130

85

Class G, 0.8869% 4/15/17 (g)(l)

130

69

Class H, 0.9569% 4/15/17 (g)(l)

130

49

Class J, 1.1869% 4/15/17 (g)(l)

100

28

Series 2005-FL11:

Class C, 0.6369% 11/15/17 (g)(l)

927

825

Class D, 0.6769% 11/15/17 (g)(l)

48

42

Class E, 0.7269% 11/15/17 (g)(l)

171

147

Class F, 0.7869% 11/15/17 (g)(l)

188

152

Class G, 0.8369% 11/15/17 (g)(l)

130

89

Series 2006-FL12 Class AJ, 0.4669% 12/15/20 (g)(l)

1,300

1,066

sequential payer:

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

29

29

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

COMM pass-thru certificates: - continued

sequential payer:

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

$ 2,599

$ 2,611

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

1,542

1,543

Series 2007-C9 Class A4, 6.0098% 12/10/49 (l)

2,018

2,032

Series 2004-LBN2 Class X2, 1.0038% 3/10/39 (g)(l)(o)

2,596

16

Series 2006-C8:

Class B, 5.44% 12/10/46

1,579

553

Class XP, 0.6771% 12/10/46 (l)(o)

15,178

215

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

47

47

Credit Suisse Commercial Mortgage Trust:

sequential payer:

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

1,107

1,075

Series 2006-C5:

Class A1, 5.297% 12/15/39

289

293

Class AJ, 5.373% 12/15/39

1,847

960

Series 2007-C2:

Class A1, 5.269% 1/15/49

28

28

Class A2, 5.448% 1/15/49 (l)

6,455

6,587

Class A3, 5.542% 1/15/49 (l)

1,824

1,665

Series 2007-C3:

Class A1, 5.664% 6/15/39 (l)

129

131

Class A4, 5.9118% 6/15/39 (l)

549

503

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

5,191

5,386

Series 2006-C5 Class ASP, 0.8719% 12/15/39 (l)(o)

9,638

193

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

825

736

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

3,254

1,269

Credit Suisse First Boston Mortgage Securities Corp.:

sequential payer:

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

912

955

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

102

104

Series 2004-C1:

Class A3, 4.321% 1/15/37

247

252

Class A4, 4.75% 1/15/37

425

434

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

85

86

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

398

397

Series 2001-CK6 Class AX, 1.1925% 8/15/36 (l)(o)

2,444

25

Series 2001-CKN5 Class AX, 2.3088% 9/15/34 (g)(l)(o)

7,417

131

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Credit Suisse First Boston Mortgage Securities Corp.: - continued

Series 2003-C4 Class ASP, 0.6195% 8/15/36 (g)(l)(o)

$ 8,493

$ 12

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

4,815

4,912

Credit Suisse Mortgage Capital Certificates:

floater:

Series 200-TFL1 Class B, 0.4869% 2/15/22 (g)(l)

345

224

Series 2007-TFL1:

Class C:

0.5069% 2/15/22 (g)(l)

1,416

779

0.6069% 2/15/22 (g)(l)

506

228

Class F, 0.6569% 2/15/22 (g)(l)

1,011

404

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

65

66

Series 2007-C1:

Class ASP, 0.6107% 2/15/40 (l)(o)

17,074

226

Class B, 5.487% 2/15/40 (g)(l)

1,394

160

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

Class D, 6.484% 3/15/33

325

318

Class G, 6.936% 3/15/33 (g)

600

576

GE Capital Commercial Mortgage Corp.:

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

5,514

5,048

Series 2001-1 Class X1, 1.255% 5/15/33 (g)(l)(o)

9,170

66

Series 2004-C1 Class X2, 1.3009% 11/10/38 (g)(l)(o)

8,286

50

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

260

193

Series 2007-C1 Class XP, 0.3803% 12/10/49 (l)(o)

21,659

149

GMAC Commercial Mortgage Securities, Inc.:

Series 2003-C3 Class X2, 0.8423% 4/10/40 (g)(l)(o)

8,964

27

Series 2004-C3 Class X2, 0.8072% 12/10/41 (l)(o)

3,082

26

Series 2005-C1 Class X2, 0.8502% 5/10/43 (l)(o)

4,175

42

Greenwich Capital Commercial Funding Corp.:

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

343

233

sequential payer:

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

432

437

Series 2007-GG11:

Class A1, 5.358% 12/10/49

1,106

1,142

Class A2, 5.597% 12/10/49

1,824

1,875

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Greenwich Capital Commercial Funding Corp.: - continued

Series 2007-GG9:

Class A1, 5.233% 3/10/39

$ 4

$ 4

Class A4, 5.444% 3/10/39

2,652

2,563

Series 2003-C1 Class XP, 2.1997% 7/5/35 (g)(l)(o)

5,414

1

Series 2003-C2 Class XP, 1.0601% 1/5/36 (g)(l)(o)

8,367

40

Series 2005-GG3 Class XP, 0.6925% 8/10/42 (g)(l)(o)

17,540

217

Series 2006-GG7 Class A3, 6.0847% 7/10/38 (l)

2,404

2,470

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

21,681

244

GS Mortgage Securities Corp. II:

floater:

Series 2006-FL8A:

Class C, 0.5247% 6/6/20 (g)(l)

46

34

Class D, 0.5647% 6/6/20 (g)(l)

218

137

Class E, 0.6547% 6/6/20 (g)(l)

252

154

Class F, 0.7247% 6/6/20 (g)(l)

634

368

Series 2007-EOP:

Class C, 0.6047% 3/6/20 (g)(l)

1,144

1,018

Class D, 0.6547% 3/6/20 (g)(l)

2,144

1,887

Class F, 0.7647% 3/6/20 (g)(l)

94

81

Class G, 0.8047% 3/6/20 (g)(l)

47

39

Class H, 0.9347% 3/6/20 (g)(l)

42

35

Class J, 1.1347% 3/6/20 (g)(l)

60

49

sequential payer:

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

1,433

1,487

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

283

291

Series 2005-GG4 Class XP, 0.7072% 7/10/39 (g)(l)(o)

17,894

243

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

5,348

5,417

GS Mortgage Securities Trust sequential payer:

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

1,368

1,396

Series 2007-GG10:

Class A1, 5.69% 8/10/45

344

354

Class A2, 5.778% 8/10/45

435

445

Class A4, 5.9988% 8/10/45 (l)

7,756

7,282

JPMorgan Chase Commercial Mortgage Securities Corp.:

Series 2004-C1 Class X2, 1.1053% 1/15/38 (g)(l)(o)

2,039

14

Series 2004-CB8 Class X2, 1.2067% 1/12/39 (g)(l)(o)

2,037

17

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

JPMorgan Chase Commercial Mortgage Securities Trust:

floater Series 2006-FLA2:

Class B, 0.5069% 11/15/18 (g)(l)

$ 761

$ 540

Class C, 0.5469% 11/15/18 (g)(l)

541

351

Class D, 0.5669% 11/15/18 (g)(l)

239

141

Class E, 0.6169% 11/15/18 (g)(l)

343

196

Class F, 0.6669% 11/15/18 (g)(l)

515

273

Class G, 0.6969% 11/15/18 (g)(l)

448

228

Class H, 0.8369% 11/15/18 (g)(l)

343

161

sequential payer:

Series 2006-CB14 Class A3B, 5.6694% 12/12/44 (l)

2,712

2,770

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

1,373

1,411

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

581

587

Series 2006-LDP9:

Class A2, 5.134% 5/15/47 (l)

433

435

Class A3, 5.336% 5/15/47

380

365

Series 2007-CB19 Class A4, 5.9366% 2/12/49 (l)

3,198

3,089

Series 2007-LD11 Class A2, 5.9913% 6/15/49 (l)

2,560

2,622

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

67

68

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

2,510

2,352

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

821

453

Series 2005-CB13 Class E, 5.5269% 1/12/43 (g)(l)

461

157

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

6,840

6,942

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

260

273

Series 2007-CB19:

Class B, 5.9366% 2/12/49 (l)

78

26

Class C, 5.9366% 2/12/49 (l)

204

69

Class D, 5.9366% 2/12/49 (l)

214

65

Series 2007-LDP10:

Class BS, 5.437% 1/15/49 (l)

174

29

Class CS, 5.466% 1/15/49 (l)

75

12

Class ES, 5.5451% 1/15/49 (g)(l)

472

24

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

376

377

LB Commercial Conduit Mortgage Trust:

sequential payer Series 2007-C3 Class A4, 6.1496% 7/15/44 (l)

743

711

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

375

378

LB Multi-family Mortgage Trust Series 1991-4 Class A1, 7.0832% 4/25/21 (g)(l)

92

60

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

LB-UBS Commercial Mortgage Trust:

sequential payer:

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

$ 174

$ 179

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

24

24

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

418

423

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

38

38

Series 2006-C6:

Class A1, 5.23% 9/15/39

114

115

Class A2, 5.262% 9/15/39 (l)

1,591

1,624

Series 2006-C7:

Class A1, 5.279% 11/15/38

88

89

Class A2, 5.3% 11/15/38

1,003

1,025

Class A3, 5.347% 11/15/38

679

677

Series 2007-C1:

Class A1, 5.391% 2/15/40 (l)

139

141

Class A4, 5.424% 2/15/40

2,738

2,657

Series 2007-C2:

Class A1, 5.226% 2/15/40

89

90

Class A3, 5.43% 2/15/40

1,980

1,904

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

64

65

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

1,763

1,829

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

1,003

1,009

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

15,387

132

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

138

139

Series 2005-C3 Class XCP, 0.9157% 7/15/40 (l)(o)

3,075

39

Series 2006-C3 Class A3 5.689% 3/15/32

550

569

Series 2006-C6 Class XCP, 0.8541% 9/15/39 (l)(o)

5,184

94

Series 2007-C1:

Class C, 5.533% 2/15/40 (l)

2,006

421

Class D, 5.563% 2/15/40 (l)

365

62

Class E, 5.582% 2/15/40 (l)

182

27

Class XCP, 0.5131% 2/15/40 (l)(o)

2,084

27

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

1,140

1,102

Series 2007-C7:

Class A3, 5.866% 9/15/45

2,982

2,917

Class XCP, 0.4535% 9/15/45 (l)(o)

71,579

833

LB-UBS Westfield Trust Series 2001-WM, 6.754% 7/14/16 (g)

261

269

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

Class B, 4.13% 11/20/37 (g)

1,381

1,215

Class C, 4.13% 11/20/37 (g)

3,934

3,344

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

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

Class D, 0.5669% 9/15/21 (g)(l)

$ 292

$ 243

Class E, 0.6269% 9/15/21 (g)(l)

1,054

825

Class F, 0.6769% 9/15/21 (g)(l)

868

630

Class G, 0.6969% 9/15/21 (g)(l)

1,714

1,124

Class H, 0.7369% 9/15/21 (g)(l)

442

176

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

1,619

1,709

Merrill Lynch Mortgage Trust:

sequential payer:

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

165

166

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

326

330

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

1,498

1,528

Series 2005-LC1 Class F, 5.5536% 1/12/44 (g)(l)

793

275

Series 2006-C1 Class A2, 5.7934% 5/12/39 (l)

1,286

1,340

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

3,452

3,404

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

1,947

1,898

Merrill Lynch-CFC Commercial Mortgage Trust:

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

425

394

sequential payer:

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

970

996

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

784

811

Series 2007-5:

Class A1, 4.275% 8/12/48

41

42

Class A3, 5.364% 8/12/48

356

349

Class A4, 5.378% 8/12/48

36

33

Class B, 5.479% 2/12/17

2,736

189

Series 2007-6:

Class A1, 5.175% 3/12/51

56

57

Class A4, 5.485% 3/12/51 (l)

7,400

6,842

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

3,192

3,049

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

245

250

Series 2006-4 Class XP, 0.816% 12/12/49 (l)(o)

20,927

428

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

912

258

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

79

14

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

787

783

Morgan Stanley Capital I Trust:

floater:

Series 2005-XLF Class J, 0.797% 8/15/19 (g)(l)

19

17

Series 2006-XLF:

Class C, 1.537% 7/15/19 (g)(l)

625

86

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Morgan Stanley Capital I Trust: - continued

floater:

Series 2006-XLF:

Class F, 0.657% 7/15/19 (g)(l)

$ 878

$ 790

Class G, 0.697% 7/15/19 (g)(l)

499

349

Series 2007-XCLA Class A1, 0.537% 7/17/17 (g)(l)

1,937

814

Series 2007-XLCA Class B, 0.837% 7/17/17 (g)(l)

1,670

50

Series 2007-XLFA:

Class C, 0.497% 10/15/20 (g)(l)

523

209

Class D, 0.527% 10/15/20 (g)(l)

507

117

Class E, 0.587% 10/15/20 (g)(l)

634

82

Class F, 0.637% 10/15/20 (g)(l)

380

34

Class G, 0.677% 10/15/20 (g)(l)

470

33

Class H, 0.767% 10/15/20 (g)(l)

296

9

Class J, 0.917% 10/15/20 (g)(l)

338

7

Class MHRO, 1.027% 10/15/20 (g)(l)

376

56

Class MJPM, 1.337% 10/15/20 (g)(l)

115

81

Class MSTR, 1.037% 10/15/20 (g)(l)

214

32

Class NHRO, 1.227% 10/15/20 (g)(l)

567

74

Class NSTR, 1.187% 10/15/20 (g)(l)

197

26

sequential payer:

Series 2003-IQ5 Class X2, 0.9866% 4/15/38 (g)(l)(o)

2,808

30

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

1,354

1,359

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

211

214

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

614

628

Series 2007-HQ11:

Class A1, 5.246% 2/12/44

222

227

Class A31, 5.439% 2/12/44 (l)

462

466

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

239

244

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

588

606

Series 2007-T25:

Class A1, 5.391% 11/12/49

193

198

Class A2, 5.507% 11/12/49

896

939

Series 2003-IQ6 Class X2, 0.7193% 12/15/41 (g)(l)(o)

5,901

53

Series 2005-IQ9 Class X2, 1.2108% 7/15/56 (g)(l)(o)

10,717

175

Series 2006-HQ10 Class X2, 0.6959% 11/12/41 (g)(l)(o)

7,085

86

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

1,415

1,447

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

1,353

873

Series 2006-IQ11:

Class A3, 5.9045% 10/15/42 (l)

1,513

1,572

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Morgan Stanley Capital I Trust: - continued

Class A4, 5.9405% 10/15/42 (l)

$ 274

$ 284

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

912

315

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

466

487

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

1,654

587

Series 2007-IQ14:

Class A4, 5.692% 4/15/49 (l)

1,368

1,263

Class AAB, 5.654% 4/15/49

2,650

2,753

Class B, 5.9135% 4/15/49 (l)

224

66

Series 2007-XLC1:

Class C, 0.937% 7/17/17 (g)(l)

2,250

68

Class D, 1.037% 7/17/17 (g)(l)

1,059

32

Class E, 1.137% 7/17/17 (g)(l)

861

26

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

11

12

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

626

628

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

112

116

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

775

792

Wachovia Bank Commercial Mortgage Trust:

floater:

Series 2005-WL5A Class K, 1.5369% 1/15/18 (g)(l)

969

967

Series 2006-WL7A:

Class E, 0.6169% 9/15/21 (g)(l)

1,239

666

Class F, 0.6769% 8/11/18 (g)(l)

1,426

706

Class G, 0.6969% 8/11/18 (g)(l)

1,351

646

Class J, 0.9369% 8/11/18 (g)(l)

300

61

Series 2007-WHL8:

Class AP1, 1.0369% 6/15/20 (g)(l)

98

54

Class AP2, 1.1369% 6/15/20 (g)(l)

163

82

Class F, 0.8169% 6/15/20 (g)(l)

3,171

793

Class LXR1, 1.0369% 6/15/20 (g)(l)

112

56

Class LXR2, 1.1369% 6/15/20 (g)(l)

2,162

865

sequential payer:

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

225

226

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

1,769

1,786

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

3,972

4,048

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

815

828

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Wachovia Bank Commercial Mortgage Trust: - continued

sequential payer:

Series 2006-C29:

Class A1, 5.11% 11/15/48

$ 529

$ 537

Class A3, 5.313% 11/15/48

2,422

2,463

Series 2007-C30:

Class A1, 5.031% 12/15/43

90

92

Class A3, 5.246% 12/15/43

783

780

Class A4, 5.305% 12/15/43

268

258

Class A5, 5.342% 12/15/43

976

862

Series 2007-C31:

Class A1, 5.14% 4/15/47

114

115

Class A4, 5.509% 4/15/47

2,061

1,881

Series 2007-C32:

Class A2, 5.7351% 6/15/49 (l)

3,184

3,267

Class A3, 5.9286% 6/15/49 (l)

1,548

1,473

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

433

355

Series 2003-C8 Class XP, 0.4798% 11/15/35 (g)(l)(o)

2,638

6

Series 2003-C9 Class XP, 0.6562% 12/15/35 (g)(l)(o)

4,352

10

Series 2004-C15:

Class 180A, 5.5782% 10/15/41 (g)(l)

701

652

Class 180B, 5.5782% 10/15/41 (g)(l)

319

287

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

912

622

Series 2005-C22:

Class B, 5.5348% 12/15/44 (l)

2,022

1,113

Class F, 5.5348% 12/15/44 (g)(l)

1,521

404

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

5,005

5,037

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

912

267

Series 2007-C30:

Class C, 5.483% 12/15/43 (l)

2,736

432

Class D, 5.513% 12/15/43 (l)

1,459

173

Class XP, 0.6284% 12/15/43 (g)(l)(o)

10,504

155

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

251

51

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

6,385

6,514

Series 2007-C32:

Class D, 5.9286% 6/15/49 (l)

685

125

Class E, 5.9286% 6/15/49 (l)

1,080

177

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Wachovia Bank Commercial Mortgage Trust pass-thru certificates:

sequential payer Series 2007-C33 Class A5, 6.0995% 2/15/51 (l)

$ 604

$ 562

Series 2007-C33 Class B, 6.0995% 2/15/51 (l)

1,534

475

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $269,722)

316,369

Municipal Securities - 0.1%

 

California Gen. Oblig.:

6.2% 3/1/19

2,600

2,697

7.5% 4/1/34

3,750

3,935

7.55% 4/1/39

4,908

5,197

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

4,050

4,089

TOTAL MUNICIPAL SECURITIES

(Cost $15,445)

15,918

Foreign Government and Government Agency Obligations - 0.0%

 

Chilean Republic 7.125% 1/11/12
(Cost $1,897)

1,794

1,939

Supranational Obligations - 0.0%

 

Corporacion Andina de Fomento 5.2% 5/21/13
(Cost $131)

143

154

Floating Rate Loans - 1.4%

 

CONSUMER DISCRETIONARY - 0.3%

Automobiles - 0.1%

AM General LLC term loan 6.0401% 4/17/12 (l)

4,130

3,304

Ford Motor Co. term loan 3.2837% 12/15/13 (l)

13,829

12,861

 

16,165

Hotels, Restaurants & Leisure - 0.0%

Cannery Casino Resorts LLC:

term loan 4.5409% 5/18/13 (l)

202

180

Tranche B, term loan 4.5911% 5/18/13 (l)

227

203

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

7,856

6,756

 

7,139

Floating Rate Loans - continued

 

Principal Amount (000s)

Value (000s)

CONSUMER DISCRETIONARY - continued

Media - 0.2%

Charter Communications Operating LLC Tranche B 1LN, term loan 2.3% 3/6/14 (l)

$ 9,232

$ 8,563

Education Media and Publishing Group Ltd. Tranche 1LN, term loan 5.5347% 6/12/14 (l)

3,817

3,511

Hicks Sports Group LLC Tranche 2LN, term loan 8.75% 12/22/11 (c)(l)

2,750

385

Newsday LLC term loan 10.5% 8/1/13

7,000

7,350

Tribune Co. Tranche X, term loan 7.0838% 3/17/09 (c)(l)

1,188

677

Univision Communications, Inc. Tranche 1LN, term loan 2.5401% 9/29/14 (l)

12,805

10,980

 

31,466

Specialty Retail - 0.0%

GNC Corp. term loan 2.5666% 9/16/13 (l)

764

729

Michaels Stores, Inc.:

Tranche B1, term loan 2.6932% 10/31/13 (l)

1,200

1,105

Tranche B2, term loan 4.9432% 7/31/16 (l)

1,615

1,548

 

3,382

TOTAL CONSUMER DISCRETIONARY

58,152

CONSUMER STAPLES - 0.1%

Food & Staples Retailing - 0.1%

BI-LO LLC term loan 9.5% 5/12/15 (l)

8,645

8,450

ENERGY - 0.0%

Oil, Gas & Consumable Fuels - 0.0%

Venoco, Inc. Tranche 2LN, term loan 4.3507% 5/7/14 (l)

577

532

FINANCIALS - 0.2%

Capital Markets - 0.0%

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

5,446

5,419

Diversified Financial Services - 0.0%

CIT Group, Inc.:

term loan 13% 1/20/12 (l)

1,754

1,806

Tranche A, term loan 9.5% 1/20/12 (l)

2,972

3,038

 

4,844

Floating Rate Loans - continued

 

Principal Amount (000s)

Value (000s)

FINANCIALS - continued

Real Estate Management & Development - 0.2%

Realogy Corp.:

Credit-Linked Deposit 3.2487% 10/10/13 (l)

$ 1,279

$ 1,071

Tranche 2LN, term loan 13.5% 10/15/17

17,270

17,961

Tranche B, term loan 3.2915% 10/10/13 (l)

4,750

3,978

Tranche DD, term loan 3.2927% 10/10/13 (l)

1,002

837

 

23,847

TOTAL FINANCIALS

34,110

HEALTH CARE - 0.3%

Health Care Providers & Services - 0.3%

Concentra Operating Corp. Tranche 2LN, term loan 5.8% 6/25/15 (l)

19,892

18,102

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

2,500

2,050

Golden Gate National Senior Care LLC:

Tranche 1LN, term loan 3.1041% 3/14/11 (l)

4,332

4,116

Tranche 2LN, term loan 8.1041% 9/14/11 (l)

6,000

5,670

National Renal Institutes, Inc. Tranche B, term loan 9% 3/31/13 (l)

11,876

11,164

Sheridan Healthcare, Inc. Tranche 2LN, term loan 6.1041% 6/15/15 (l)

17,840

16,234

 

57,336

INDUSTRIALS - 0.1%

Aerospace & Defense - 0.0%

McKechnie Aerospace Holdings Ltd. Tranche 2LN, term loan 5.36% 5/11/15 pay-in-kind (l)

110

97

Airlines - 0.1%

Delta Air Lines, Inc. Tranche 2LN, term loan 3.5478% 4/30/14 (l)

8,336

7,419

US Airways Group, Inc. term loan 2.8128% 3/23/14 (l)

4,593

3,594

 

11,013

Commercial Services & Supplies - 0.0%

Brand Energy & Infrastructure Services, Inc. Tranche 2LN, term loan 6.45% 2/7/15 (l)

985

882

Machinery - 0.0%

Dresser, Inc. Tranche 2LN, term loan 6% 5/4/15 pay-in-kind (l)

7,990

7,511

Floating Rate Loans - continued

 

Principal Amount (000s)

Value (000s)

INDUSTRIALS - continued

Road & Rail - 0.0%

Swift Transportation Co., Inc. term loan 8.25% 5/10/14 (l)

$ 7,159

$ 6,685

TOTAL INDUSTRIALS

26,188

INFORMATION TECHNOLOGY - 0.3%

Communications Equipment - 0.1%

Avaya, Inc. term loan 3.2597% 10/24/14 (l)

5,480

4,726

IPC Systems, Inc. Tranche 2LN, term loan 5.5401% 5/31/15 (l)

6,000

5,040

SafeNet, Inc. Tranche 2LN, term loan 6.3413% 4/12/15 (l)

7,500

7,050

Sorenson Communications, Inc. Tranche C, term loan 6% 8/16/13 (l)

4,640

4,246

 

21,062

Semiconductors & Semiconductor Equipment - 0.1%

Spansion, Inc. term loan 7.5% 2/1/15 (l)

5,935

5,868

Software - 0.1%

Kronos, Inc. Tranche 2LN, term loan 6.0401% 6/11/15 (l)

23,730

22,069

SS&C Technologies, Inc. term loan 2.3194% 11/23/12 (l)

395

379

 

22,448

TOTAL INFORMATION TECHNOLOGY

49,378

MATERIALS - 0.0%

Chemicals - 0.0%

Tronox Worldwide LLC:

Tranche B 1LN, term loan 9% 9/20/10 (l)

674

682

Tranche B 2LN, term loan 9% 9/20/10 (l)

181

183

 

865

UTILITIES - 0.1%

Electric Utilities - 0.0%

Bicent Power LLC Tranche 2LN, term loan 4.3% 12/31/14 (l)

810

486

Floating Rate Loans - continued

 

Principal Amount (000s)

Value (000s)

UTILITIES - continued

Electric Utilities - continued

Texas Competitive Electric Holdings Co. LLC/Texas Competitive Electric Holdings Finance, Inc.:

Tranche B2, term loan 3.9692% 10/10/14 (l)

$ 2,769

$ 2,133

Tranche B3, term loan 3.797% 10/10/14 (l)

8,916

6,821

 

9,440

Independent Power Producers & Energy Traders - 0.1%

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

12,400

11,284

TOTAL UTILITIES

20,724

TOTAL FLOATING RATE LOANS

(Cost $256,499)

255,735

Bank Notes - 0.0%

 

National City Bank, Cleveland 0.3519% 3/1/13 (l)
(Cost $492)

576

554

Preferred Securities - 0.0%

 

 

 

 

FINANCIALS - 0.0%

Diversified Financial Services - 0.0%

ING Groep NV 5.775% (l)

620

471

MUFG Capital Finance 1 Ltd. 6.346% (l)

2,427

2,201

 

2,672

TOTAL PREFERRED SECURITIES

(Cost $1,848)

2,672

Fixed-Income Funds - 9.2%

Shares

 

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

4,736,666

500,097

Fidelity Mortgage Backed Securities Central Fund (m)

11,190,240

1,166,471

TOTAL FIXED-INCOME FUNDS

(Cost $1,600,479)

1,666,568

Money Market Funds - 5.8%

Shares

Value (000s)

Fidelity Cash Central Fund, 0.23% (n)

984,306,830

$ 984,307

Fidelity Securities Lending Cash Central Fund, 0.24% (b)(n)

63,981,000

63,981

TOTAL MONEY MARKET FUNDS

(Cost $1,048,288)

1,048,288

Cash Equivalents - 0.0%

Maturity Amount (000s)

 

Investments in repurchase agreements in a joint trading account at 0.2%, dated 5/28/10 due 6/1/10 (Collateralized by U.S. Government Obligations) #
(Cost $6,465)

$ 6,465

6,465

TOTAL INVESTMENT PORTFOLIO - 101.3%

(Cost $16,770,037)

18,275,525

NET OTHER ASSETS (LIABILITIES) - (1.3)%

(229,510)

NET ASSETS - 100%

$ 18,046,015

Swap Agreements

 

Expiration Date

Notional Amount (000s)

Value (000s)

Credit Default Swaps

Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to Credit Suisse First Boston upon each credit event of one of the issues of ABX AA 07-01 Index, par value of the proportional notional amount (Rating-C) (Upfront Payment $2,560,250) (k)

Sept. 2037

$ 10,760

$ (10,190)

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

Sept. 2037

8,818

(8,351)

Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to JPMorgan Chase, Inc. upon each credit event of one of the issues of ABX AA 07-01 Index, par value of the proportional notional amount (Rating-C) (Upfront Payment $565,625) (k)

Sept. 2037

2,023

(1,915)

Swap Agreements - continued

 

Expiration Date

Notional Amount (000s)

Value (000s)

Credit Default Swaps - continued

Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to Morgan Stanley, Inc. upon each credit event of one of the issues of ABX AA 07-01 Index, par value of the proportional notional amount (Rating-C) (Upfront Payment $2,398,000) (k)

Sept. 2037

$ 8,818

$ (8,351)

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

Sept. 2037

8,576

(8,122)

Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to UBS upon each credit event of one of the issues of ABX AA 07-1 Index, par value of the proportional notional amount (Rating-C) (Upfront Payment $2,024,750) (k)

Sept. 2037

7,362

(6,972)

TOTAL CREDIT DEFAULT SWAPS

$ 46,357

$ (43,901)

Interest Rate Swaps

Receive semi-annually a fixed rate equal to 2.692% and pay quarterly a floating rate based on 3-month LIBOR with JPMorgan Chase, Inc.

Sept. 2014

150,000

3,921

Receive semi-annually a fixed rate equal to 5.61% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston

June 2012

95,500

10,784

TOTAL INTEREST RATE SWAPS

$ 245,500

$ 14,705

 

$ 291,857

$ (29,196)

Legend

(a) Non-income producing

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

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

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

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

(f) Affiliated company

(g) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $746,385,000 or 4.1% of net assets.

(h) Security or a portion of the security purchased on a delayed delivery or when-issued basis.

(i) A portion of the security is subject to a forward commitment to sell.

(j) Security or a portion of the security has been segregated as collateral for open swap agreements. At the period end, the value of securities pledged amounted to $31,347,000.

(k) Represents a credit default swap based on a tradable index of home equity asset-backed debt securities. 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.

(l) The coupon rate shown on floating or adjustable rate securities represents the rate at period end.

(m) 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, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's web site or upon request.

(n) 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.

(o) 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.

(p) Restricted securities - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $3,285,000 or 0.0% of net assets.

* Amount represents less than $1,000.

Additional information on each holding is as follows:

Security

Acquisition Date

Acquisition Cost (000s)

BMP Sunstone Corp. warrants 8/19/12

8/17/07

$ 7

HMH Holdings, Inc.

1/22/10 - 3/9/10

$ 2,063

RDA Holding Co. warrants 2/19/14

2/27/07 - 6/21/07

$ 9,292

wetpaint.com, Inc. Series C

5/14/08

$ 5,000

# Additional information on each counterparty to the repurchase agreement is as follows:

Repurchase Agreement / Counterparty

Value
(000s)

$6,465,000 due 6/01/10 at 0.20%

BNP Paribas Securities Corp.

$ 2,742

Banc of America Securities LLC

1,039

Barclays Capital, Inc.

2,684

 

$ 6,465

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

$ 1,339

Fidelity Corporate Bond 1-10 Year Central Fund

21,073

Fidelity Mortgage Backed Securities Central Fund

33,973

Fidelity Securities Lending Cash Central Fund

187

Total

$ 56,572

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

$ 529,145

$ -

$ 49,948

$ 500,097

21.2%

Fidelity Mortgage Backed Securities Central Fund

1,256,475

33,972

149,765

1,166,471

14.4%

Total

$ 1,785,620

$ 33,972

$ 199,713

$ 1,666,568

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.

$ -

$ 15,100

$ -

$ -

$ 17,800

Southwest Bancorp, Inc., Oklahoma

-

20,046

-

-

22,088

Total

$ -

$ 35,146

$ -

$ -

$ 39,888

Other Information

The following is a summary of the inputs used, as of May 31, 2010, involving the Fund's assets and liabilities carried at value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the tables below, please refer to the Investment Valuation section at the end of this listing.

Valuation Inputs at Reporting Date:

Description
(Amounts in thousands)

Total

Level 1

Level 2

Level 3

Investments in Securities:

Equities:

Consumer Discretionary

$ 1,306,386

$ 1,293,324

$ 13,062

$ -

Consumer Staples

945,058

945,058

-

-

Energy

1,222,842

1,212,388

10,454

-

Financials

1,742,238

1,719,370

9,023

13,845

Health Care

1,349,930

1,349,913

17

-

Industrials

1,363,211

1,362,660

350

201

Information Technology

2,069,085

2,068,091

-

994

Materials

474,330

474,330

-

-

Telecommunication Services

159,034

158,863

-

171

Utilities

92,063

86,635

5,428

-

Corporate Bonds

2,185,561

-

2,184,679

882

U.S. Government and Government Agency Obligations

1,481,210

-

1,481,210

-

U.S. Government Agency - Mortgage Securities

315,823

-

315,823

-

Asset-Backed Securities

136,742

-

119,344

17,398

Collateralized Mortgage Obligations

117,350

-

112,768

4,582

Commercial Mortgage Securities

316,369

-

291,422

24,947

Municipal Securities

15,918

-

15,918

-

Foreign Government and Government Agency Obligations

1,939

-

1,939

-

Supranational Obligations

154

-

154

-

Floating Rate Loans

255,735

-

255,735

-

Bank Notes

554

-

554

-

Preferred Securities

2,672

-

2,672

-

Fixed-Income Funds

1,666,568

1,666,568

-

-

Money Market Funds

1,048,288

1,048,288

-

-

Cash Equivalents

6,465

-

6,465

-

Total Investments in Securities:

$ 18,275,525

$ 13,385,488

$ 4,827,017

$ 63,020

Derivative Instruments:

Assets

Swap Agreements

$ 14,705

$ -

$ 14,705

$ -

Liabilities

Swap Agreements

$ (43,901)

$ -

$ (43,901)

$ -

Total Derivative Instruments:

$ (29,196)

$ -

$ (29,196)

$ -

Other Financial Instruments:

Forward Commitments

$ (334)

$ -

$ (334)

$ -

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

$ 66,836

Total Realized Gain (Loss)

(38)

Total Unrealized Gain (Loss)

8,080

Cost of Purchases

14,587

Proceeds of Sales

(13,798)

Amortization/Accretion

590

Transfers in to Level 3

16,858

Transfers out of Level 3

(30,095)

Ending Balance

$ 63,020

The change in unrealized gain (loss) for the period attributable to Level 3 securities held at May 31, 2010

$ 6,324

The information used in the above reconciliation represents fiscal year to date activity for any Investments in Securities, Derivative Instruments and Other Financial Instruments identified as using Level 3 inputs at either the beginning or the end of the current fiscal period. Transfers in or out of Level 3 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, 2010, the cost of investment securities for income tax purposes was $16,961,217,000. Net unrealized appreciation aggregated $1,314,308,000, of which $1,926,810,000 related to appreciated investment securities and $612,502,000 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, 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, U.S. government agency mortgage securities, pricing services utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices and, accordingly, such securities are generally categorized as Level 2 in the hierarchy.

Swaps are marked-to-market daily based on valuations from independent pricing services or dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Pricing services utilize matrix pricing which considers comparisons to interest rate curves, credit spread curves, default possibilities and recovery rates and, as a result, swaps are generally categorized as Level 2 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day and are categorized as Level 1 in the hierarchy. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates value and are categorized as Level 2 in the hierarchy.

When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing matrices which consider similar factors that would be used by independent pricing services. These are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

For additional information on the Fund's policy regarding valuation of investments and other significant accounting policies, please refer to the Fund's most recent semiannual or annual shareholder report.

Credit Default Swap Agreements

The Fund entered into credit default swaps, which are agreements with a counterparty that enable the Fund to buy or sell protection on a debt security or a basket of securities against a defined credit event. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller acts as a guarantor of the creditworthiness of a reference obligation. The Fund entered into credit default swaps as a seller to gain credit exposure to an issuer and/or as a buyer to provide a measure of protection against defaults of an issuer. The issuer may be either a single issuer or a basket of issuers. Periodic payments are made over the life of the contract provided that no credit event occurs.

For credit default swaps on most corporate and sovereign issuers, credit events include bankruptcy, failure to pay, obligation acceleration or repudiation/moratorium. For credit default swaps on corporate or sovereign issuers, the obligation that may be put to the seller is not limited to the specific reference obligation described. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swaps on asset-backed securities, the reference obligation described represents the security that may be put to the seller.

As a seller, if an underlying credit event occurs, the Fund will either pay the buyer an amount equal to the notional amount of the swap and take delivery of the reference obligation or underlying securities comprising an index or pay a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. As a buyer, if an underlying credit event occurs, the Fund will either receive from the seller an amount equal to the notional amount of the swap and deliver the reference obligation or underlying securities comprising an index or receive a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index.

Credit default swaps are marked-to-market daily and changes in value are recorded as unrealized appreciation or (depreciation). Any upfront payments made or received upon entering a swap to compensate for differences between stated terms of the agreement and prevailing market conditions (e.g. credit spreads, interest rates or other factors) are recorded as realized gain or (loss) ratably over the term of the swap. Payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gain or (loss). Realized gain or (loss) is also recorded in the event of an early termination of a swap.

The fund is exposed to additional risks from investing in credit default swaps, such as liquidity risk and counterparty risk. Liquidity risk is the risk that the Fund will be unable to sell a credit default swap in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. Counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. The Fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association (ISDA) Master Agreement on a bilateral basis with each of its counterparties. The ISDA Master Agreement gives each counterparty the right to terminate all transactions traded under such agreement if there is a certain deterioration in the credit quality of the other party. The ISDA Master Agreement gives the Fund the right, upon an event of default by the applicable counterparty or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk, the Fund offsets certain payables and/or receivables with collateral. Collateral, in the form of cash or securities, may be required to be held in segregated accounts with the Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the swap counterparty and the Fund's custodian bank and, if required, is identified. The Fund could experience delays and costs in gaining access to the collateral even though it is held by the Fund's custodian bank. The Fund's maximum risk of loss from counterparty credit risk is generally the aggregate unrealized appreciation and unpaid counterparty fees in excess of any collateral pledged by the counterparty to the Fund.

Typically, the value of each credit default swap and credit rating disclosed for each reference obligation, where the Fund is the seller, can be used as measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. Any current or future declines in the value of the swap may be partially offset by upfront payments received by the Fund as the seller if applicable. In addition to these measures, FMR monitors a variety of factors including cash flow assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/performance risk.

The notional amount of credit default swaps approximates the maximum potential amount of future payments that the Fund could be required to make if the Fund is the seller and a credit event were to occur. The total notional amount of all credit default swaps open at period end where the Fund is the seller amounted to $46,357,000 representing 0.26% 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 30, 2010

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By:

/s/Kenneth B. Robins

 

Kenneth B. Robins

 

President and Treasurer

 

 

Date:

July 30, 2010

By:

/s/Christine Reynolds

 

Christine Reynolds

 

Chief Financial Officer

 

 

Date:

July 30, 2010