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, 2012

Item 1. Schedule of Investments

Quarterly Holdings Report

for

Fidelity ® Balanced Fund

May 31, 2012 

1.800332.108

BAL-QTLY-0712

Investments May 31, 2012 (Unaudited)

Showing Percentage of Net Assets

Common Stocks - 61.3%

Shares

Value (000s)

CONSUMER DISCRETIONARY - 6.5%

Diversified Consumer Services - 0.2%

Weight Watchers International, Inc. (e)

639,687

$ 36,296

Hotels, Restaurants & Leisure - 1.9%

Arcos Dorados Holdings, Inc.

3,258,037

44,049

Betfair Group PLC (e)

255,266

2,836

Domino's Pizza, Inc.

555,172

17,049

Dunkin' Brands Group, Inc.

341,877

11,101

Icahn Enterprises LP rights (a)

290,524

0

McDonald's Corp.

1,323,973

118,284

Starbucks Corp.

1,778,397

97,616

Yum! Brands, Inc.

1,231,274

86,632

 

377,567

Household Durables - 0.1%

Harman International Industries, Inc.

330,560

12,965

Internet & Catalog Retail - 0.3%

Priceline.com, Inc. (a)

93,872

58,716

Media - 2.0%

Comcast Corp. Class A

6,862,678

198,400

DIRECTV (a)

1,509,050

67,077

Legend Pictures LLC (a)(o)(p)

8,571

9,164

The Walt Disney Co.

2,744,051

125,431

 

400,072

Multiline Retail - 0.5%

Dollar General Corp. (a)

1,763,511

86,253

Specialty Retail - 1.3%

AutoZone, Inc. (a)

71,871

27,330

Limited Brands, Inc.

642,298

28,492

Lowe's Companies, Inc.

3,921,694

104,788

TJX Companies, Inc.

2,395,774

101,725

 

262,335

Textiles, Apparel & Luxury Goods - 0.2%

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

445,589

44,884

TOTAL CONSUMER DISCRETIONARY

1,279,088

CONSUMER STAPLES - 6.9%

Beverages - 2.7%

Anheuser-Busch InBev SA NV

710,867

48,097

Coca-Cola Bottling Co. CONSOLIDATED

116,788

7,156

Coca-Cola FEMSA SAB de CV sponsored ADR

62,325

7,170

Common Stocks - continued

Shares

Value (000s)

CONSUMER STAPLES - continued

Beverages - continued

Coca-Cola Icecek A/S

437,564

$ 5,772

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

170,525

6,540

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

2,152,029

41,513

Diageo PLC sponsored ADR

520,853

49,658

Embotelladora Andina SA sponsored ADR

221,022

6,918

Molson Coors Brewing Co. Class B

732,689

28,172

Pernod Ricard SA

347,150

33,906

Remy Cointreau SA

279,086

27,709

The Coca-Cola Co.

3,525,103

263,431

 

526,042

Food & Staples Retailing - 0.9%

CVS Caremark Corp.

3,218,970

144,661

Drogasil SA

543,200

5,023

Kroger Co.

44,100

971

Safeway, Inc.

278,105

5,290

Wal-Mart Stores, Inc.

278,800

18,351

Walgreen Co.

357,925

10,924

 

185,220

Food Products - 0.4%

Bunge Ltd.

377,365

22,453

Green Mountain Coffee Roasters, Inc. (a)

168,876

3,985

Nestle SA

344,238

19,534

Orion Corp.

6,231

5,078

Unilever NV (NY Reg.)

1,084,131

33,998

 

85,048

Household Products - 1.6%

Colgate-Palmolive Co.

251,469

24,719

Procter & Gamble Co.

4,417,549

275,169

Spectrum Brands Holdings, Inc. (a)

200,686

6,928

 

306,816

Personal Products - 0.2%

L'Oreal SA

279,900

31,514

Nu Skin Enterprises, Inc. Class A

305,513

13,100

 

44,614

Tobacco - 1.1%

Altria Group, Inc.

543,295

17,489

British American Tobacco PLC sponsored ADR

2,088,001

196,439

Common Stocks - continued

Shares

Value (000s)

CONSUMER STAPLES - continued

Tobacco - continued

Philip Morris International, Inc.

80,942

$ 6,840

Souza Cruz SA

477,700

6,395

 

227,163

TOTAL CONSUMER STAPLES

1,374,903

ENERGY - 6.6%

Energy Equipment & Services - 1.7%

Baker Hughes, Inc.

637,990

26,623

Cameron International Corp. (a)

863,491

39,453

Discovery Offshore S.A. (a)(f)

1,018,700

1,749

Ensco PLC Class A

816,739

36,680

Forum Energy Technologies, Inc.

227,753

4,892

Halliburton Co.

1,196,336

35,962

National Oilwell Varco, Inc.

966,048

64,484

Noble Corp.

1,323,308

41,380

Ocean Rig UDW, Inc. (United States)

908,188

13,577

Oceaneering International, Inc.

286,087

13,223

Schlumberger Ltd.

621,924

39,337

Transocean Ltd. (United States)

139,379

5,691

Vantage Drilling Co. (a)

4,677,101

7,016

 

330,067

Oil, Gas & Consumable Fuels - 4.9%

Alpha Natural Resources, Inc. (a)

652,633

6,840

Anadarko Petroleum Corp.

1,090,377

66,513

Apache Corp.

806,868

65,663

BP PLC sponsored ADR

742,046

27,055

Calumet Specialty Products Partners LP

146,865

3,278

Cheniere Energy, Inc. (a)

262,000

3,678

Chevron Corp.

457,394

44,966

Cobalt International Energy, Inc. (a)

490,300

11,105

EV Energy Partners LP

49,400

2,533

Exxon Mobil Corp.

2,350,851

184,847

Halcon Resources Corp. (p)

910,000

7,707

Hess Corp.

697,426

30,478

HollyFrontier Corp.

1,455,766

42,916

InterOil Corp. (a)(e)

391,131

25,975

Kodiak Oil & Gas Corp. (a)

697,900

5,660

Marathon Oil Corp.

2,126,493

52,971

Marathon Petroleum Corp.

1,406,988

50,750

Common Stocks - continued

Shares

Value (000s)

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Midstates Petroleum Co., Inc.

839,590

$ 12,040

Noble Energy, Inc.

319,465

26,982

Occidental Petroleum Corp.

1,022,552

81,058

QEP Resources, Inc.

553,881

14,578

Rockhopper Exploration PLC (a)

1,337,552

6,244

Royal Dutch Shell PLC Class B sponsored ADR

1,911,421

123,000

Suncor Energy, Inc.

1,515,100

41,118

Williams Companies, Inc.

1,422,800

43,438

 

981,393

TOTAL ENERGY

1,311,460

FINANCIALS - 8.8%

Capital Markets - 0.9%

BlackRock, Inc. Class A

317,354

54,204

E*TRADE Financial Corp. (a)

629,301

5,343

Evercore Partners, Inc. Class A

275,200

6,800

ICAP PLC

923,400

4,861

Invesco Ltd.

963,682

20,960

Morgan Stanley

252,196

3,369

State Street Corp.

903,671

37,240

TD Ameritrade Holding Corp.

784,836

13,468

The Blackstone Group LP

1,267,100

15,256

UBS AG

1,936,970

21,994

 

183,495

Commercial Banks - 2.5%

CIT Group, Inc. (a)

258,094

8,824

Comerica, Inc.

851,248

25,895

FirstMerit Corp.

621,698

9,885

Huntington Bancshares, Inc.

3,787,485

24,770

Synovus Financial Corp. (e)

4,401,520

8,407

U.S. Bancorp

6,208,623

193,150

Wells Fargo & Co.

7,003,097

224,449

 

495,380

Consumer Finance - 1.2%

Capital One Financial Corp.

3,530,527

181,363

SLM Corp.

3,701,734

51,713

 

233,076

Common Stocks - continued

Shares

Value (000s)

FINANCIALS - continued

Diversified Financial Services - 1.4%

African Bank Investments Ltd.

1,188,211

$ 5,083

Bank of America Corp.

7,286,537

53,556

Citigroup, Inc.

4,926,191

130,593

JPMorgan Chase & Co.

2,359,625

78,222

NBH Holdings Corp. Class A (a)(f)

576,500

10,377

 

277,831

Insurance - 1.6%

ACE Ltd.

625,836

45,267

Amlin PLC

2,128,045

10,456

Berkshire Hathaway, Inc.:

Class A (a)

208

24,721

Class B (a)

260,088

20,641

Fairfax Financial Holdings Ltd. (sub. vtg.)

102,800

40,509

MetLife, Inc.

3,877,506

113,262

Torchmark Corp.

621,332

28,991

Validus Holdings Ltd.

968,065

30,378

 

314,225

Real Estate Investment Trusts - 1.1%

American Tower Corp.

1,590,545

103,195

Camden Property Trust (SBI)

347,201

22,606

Equity Lifestyle Properties, Inc.

231,939

15,276

Japan Retail Fund Investment Corp.

3,499

5,511

Prologis, Inc.

702,142

22,455

Sun Communities, Inc.

217,226

8,952

The Macerich Co.

608,395

34,709

 

212,704

Real Estate Management & Development - 0.0%

PT Lippo Karawaci Tbk

65,269,250

5,485

Thrifts & Mortgage Finance - 0.1%

Ocwen Financial Corp. (a)

2,038,445

32,676

TOTAL FINANCIALS

1,754,872

HEALTH CARE - 7.2%

Biotechnology - 1.7%

Alexion Pharmaceuticals, Inc. (a)

181,937

16,478

Amgen, Inc.

1,961,755

136,381

AVEO Pharmaceuticals, Inc. (a)

77,244

983

Biogen Idec, Inc. (a)

583,208

76,254

BioMarin Pharmaceutical, Inc. (a)

631,987

22,524

Common Stocks - continued

Shares

Value (000s)

HEALTH CARE - continued

Biotechnology - continued

Gilead Sciences, Inc. (a)

1,429,797

$ 71,418

ONYX Pharmaceuticals, Inc. (a)

284,346

13,017

 

337,055

Health Care Equipment & Supplies - 1.2%

Boston Scientific Corp. (a)

2,986,641

17,143

C.R. Bard, Inc.

316,733

30,783

Covidien PLC

1,485,803

76,935

Edwards Lifesciences Corp. (a)

532,781

45,484

Mako Surgical Corp. (a)(e)

577,486

13,115

Quidel Corp. (a)(e)

1,308,947

20,577

The Cooper Companies, Inc.

336,067

28,626

Wright Medical Group, Inc. (a)

108,386

2,145

 

234,808

Health Care Providers & Services - 1.7%

Catalyst Health Solutions, Inc. (a)

168,400

14,629

CIGNA Corp.

946,849

41,576

Express Scripts Holding Co. (a)

555,990

29,017

Henry Schein, Inc. (a)

634,313

47,136

McKesson Corp.

686,490

59,917

Omnicare, Inc.

750,590

23,659

UnitedHealth Group, Inc.

2,193,255

122,318

 

338,252

Health Care Technology - 0.0%

SXC Health Solutions Corp. (a)

90,239

8,291

Life Sciences Tools & Services - 0.2%

Agilent Technologies, Inc.

822,277

33,434

Pharmaceuticals - 2.4%

Allergan, Inc.

527,380

47,596

Eli Lilly & Co.

154,500

6,327

GlaxoSmithKline PLC sponsored ADR

1,008,600

44,489

Jazz Pharmaceuticals PLC (a)

527,682

22,796

Merck & Co., Inc.

2,020,150

75,917

Optimer Pharmaceuticals, Inc. (a)

568,104

8,487

Pfizer, Inc.

8,777,005

191,953

Sanofi SA sponsored ADR

523,603

17,818

Common Stocks - continued

Shares

Value (000s)

HEALTH CARE - continued

Pharmaceuticals - continued

Shire PLC sponsored ADR

287,667

$ 24,282

Valeant Pharmaceuticals International, Inc. (Canada) (a)

920,575

44,984

 

484,649

TOTAL HEALTH CARE

1,436,489

INDUSTRIALS - 6.6%

Aerospace & Defense - 2.2%

Honeywell International, Inc.

1,511,439

84,127

MTU Aero Engines Holdings AG

243,264

17,892

Precision Castparts Corp.

424,803

70,607

Raytheon Co.

615,037

30,949

Textron, Inc.

2,095,158

49,509

The Boeing Co.

1,065,838

74,193

United Technologies Corp.

1,420,919

105,304

 

432,581

Building Products - 0.4%

Armstrong World Industries, Inc.

660,746

30,784

Owens Corning (a)

1,469,438

45,347

Quanex Building Products Corp.

808,145

13,342

 

89,473

Commercial Services & Supplies - 0.2%

Stericycle, Inc. (a)

355,349

31,008

Construction & Engineering - 0.3%

Fluor Corp.

705,928

33,094

Foster Wheeler AG (a)

1,245,332

22,279

 

55,373

Electrical Equipment - 0.4%

Regal-Beloit Corp.

633,339

38,184

Roper Industries, Inc.

315,067

31,891

 

70,075

Industrial Conglomerates - 0.8%

Danaher Corp.

1,703,974

88,556

General Electric Co.

2,560,572

48,881

Tyco International Ltd.

477,800

25,400

 

162,837

Machinery - 1.4%

Caterpillar, Inc.

888,613

77,860

Cummins, Inc.

695,468

67,426

Common Stocks - continued

Shares

Value (000s)

INDUSTRIALS - continued

Machinery - continued

Fanuc Corp.

176,700

$ 30,365

Fiat Industrial SpA (e)

1,308,096

13,216

Fiat Industrial SpA:

rights 6/20/12 (a)

1,308,096

0*

rights 6/20/12 (a)

1,308,096

0*

Illinois Tool Works, Inc.

1,068,673

60,006

Joy Global, Inc.

200,401

11,194

Parker Hannifin Corp.

245,331

20,053

 

280,120

Professional Services - 0.0%

Randstad Holding NV

275,380

7,450

Road & Rail - 0.8%

Canadian Pacific

205,600

15,145

CSX Corp.

1,922,124

40,153

J.B. Hunt Transport Services, Inc.

191,549

10,943

Union Pacific Corp.

911,300

101,519

 

167,760

Trading Companies & Distributors - 0.1%

W.W. Grainger, Inc.

60,700

11,755

TOTAL INDUSTRIALS

1,308,432

INFORMATION TECHNOLOGY - 13.2%

Communications Equipment - 1.9%

Acme Packet, Inc. (a)

426,740

9,764

ADTRAN, Inc.

679,100

19,850

Juniper Networks, Inc. (a)

1,766,621

30,386

Polycom, Inc. (a)

313,358

3,585

QUALCOMM, Inc.

5,209,905

298,580

Riverbed Technology, Inc. (a)

555,908

9,117

 

371,282

Computers & Peripherals - 4.9%

Apple, Inc. (a)

1,548,788

894,769

Hewlett-Packard Co.

698,898

15,851

SanDisk Corp. (a)

1,988,456

65,023

 

975,643

Electronic Equipment & Components - 0.0%

Hon Hai Precision Industry Co. Ltd. (Foxconn)

3,400,000

9,959

Common Stocks - continued

Shares

Value (000s)

INFORMATION TECHNOLOGY - continued

Internet Software & Services - 1.0%

Dice Holdings, Inc. (a)

965,144

$ 9,487

eBay, Inc. (a)

697,850

27,349

Google, Inc. Class A (a)

119,206

69,242

Mail.ru Group Ltd.:

GDR (a)(f)

391,234

12,273

GDR (Reg. S) (a)

195,272

6,150

VeriSign, Inc.

1,922,804

73,509

 

198,010

IT Services - 0.3%

Accenture PLC Class A

1,066,876

60,919

Semiconductors & Semiconductor Equipment - 2.1%

Advanced Micro Devices, Inc. (a)

1,506,374

9,159

Amkor Technology, Inc. (a)(e)

977,830

4,625

Analog Devices, Inc.

3,381,391

122,981

ASAT Holdings Ltd. (a)

88,719

0

ASML Holding NV

214,049

9,806

Avago Technologies Ltd.

1,337,055

44,257

Broadcom Corp. Class A

273,000

8,832

Fairchild Semiconductor International, Inc. (a)

984,306

13,003

International Rectifier Corp. (a)

1,408,301

26,532

Marvell Technology Group Ltd.

594,004

7,443

Maxim Integrated Products, Inc.

1,280,138

32,208

Micron Technology, Inc. (a)

7,144,995

41,727

NVIDIA Corp. (a)

608,853

7,568

NXP Semiconductors NV (a)

1,327,116

28,015

ON Semiconductor Corp. (a)

1,771,453

11,940

PMC-Sierra, Inc. (a)

1,551,680

9,900

RF Micro Devices, Inc. (a)

3,167,563

11,942

Skyworks Solutions, Inc. (a)

972,704

26,127

 

416,065

Software - 3.0%

Ariba, Inc. (a)

1,364,881

61,324

Check Point Software Technologies Ltd. (a)

988,528

50,652

Citrix Systems, Inc. (a)

1,493,450

109,141

Microsoft Corp.

12,277,470

358,379

Oracle Corp.

359,073

9,505

 

589,001

TOTAL INFORMATION TECHNOLOGY

2,620,879

Common Stocks - continued

Shares

Value (000s)

MATERIALS - 2.0%

Chemicals - 1.4%

Air Products & Chemicals, Inc.

611,458

$ 48,330

E.I. du Pont de Nemours & Co.

1,467,416

70,817

Eastman Chemical Co.

555,503

25,864

Ecolab, Inc.

661,578

41,818

LyondellBasell Industries NV Class A

434,916

17,162

Sherwin-Williams Co.

335,779

43,530

Sigma Aldrich Corp.

231,650

16,070

The Mosaic Co.

294,199

14,027

 

277,618

Containers & Packaging - 0.3%

Ball Corp.

656,459

26,239

Rock-Tenn Co. Class A

418,805

21,606

 

47,845

Metals & Mining - 0.3%

First Quantum Minerals Ltd.

1,494,605

26,177

Goldcorp, Inc.

763,597

27,872

Ivanhoe Mines Ltd. (a)

1,421,900

13,423

 

67,472

TOTAL MATERIALS

392,935

TELECOMMUNICATION SERVICES - 1.2%

Diversified Telecommunication Services - 1.0%

CenturyLink, Inc.

2,423,769

95,060

Verizon Communications, Inc.

2,322,568

96,712

 

191,772

Wireless Telecommunication Services - 0.2%

SBA Communications Corp. Class A (a)

386,094

20,058

Sprint Nextel Corp. (a)

4,578,377

11,766

Vodafone Group PLC sponsored ADR

418,786

11,219

 

43,043

TOTAL TELECOMMUNICATION SERVICES

234,815

UTILITIES - 2.3%

Electric Utilities - 1.5%

Duke Energy Corp.

3,190,092

70,118

Edison International

1,636,107

73,559

Exelon Corp.

242,734

8,976

Common Stocks - continued

Shares

Value (000s)

UTILITIES - continued

Electric Utilities - continued

FirstEnergy Corp.

1,438,936

$ 67,328

NextEra Energy, Inc.

1,243,299

81,237

 

301,218

Gas Utilities - 0.0%

ONEOK, Inc.

118,828

9,862

Independent Power Producers & Energy Traders - 0.2%

NRG Energy, Inc. (a)

245,400

3,760

The AES Corp. (a)

2,645,715

31,987

 

35,747

Multi-Utilities - 0.6%

CenterPoint Energy, Inc.

929,940

18,813

NiSource, Inc.

698,474

17,525

PG&E Corp.

552,629

24,150

Sempra Energy

844,245

54,884

 

115,372

TOTAL UTILITIES

462,199

TOTAL COMMON STOCKS

(Cost $10,751,316)


12,176,072

Convertible Preferred Stocks - 0.0%

 

 

 

 

INFORMATION TECHNOLOGY - 0.0%

Semiconductors & Semiconductor Equipment - 0.0%

ASAT Holdings Ltd. 13.00% (a)

(Cost $90)

2,416

0

Nonconvertible Bonds - 8.1%

 

Principal Amount (000s)

 

CONSUMER DISCRETIONARY - 0.8%

Automobiles - 0.2%

Daimler Finance North America LLC 1.65% 4/10/15 (f)

$ 20,636

20,631

Volkswagen International Finance NV 2.375% 3/22/17 (f)

20,500

20,895

 

41,526

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

CONSUMER DISCRETIONARY - continued

Media - 0.6%

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

$ 4,975

$ 6,494

Comcast Corp.:

4.95% 6/15/16

2,207

2,486

5.15% 3/1/20

644

753

6.4% 3/1/40

9,001

11,413

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

3,612

3,742

Discovery Communications LLC 3.7% 6/1/15

5,116

5,438

NBCUniversal Media LLC:

3.65% 4/30/15

6,489

6,911

5.15% 4/30/20

7,276

8,441

6.4% 4/30/40

6,271

7,718

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

8,630

10,584

News America, Inc. 6.15% 2/15/41

9,222

10,600

Time Warner Cable, Inc.:

5.4% 7/2/12

2,870

2,879

5.5% 9/1/41

13,538

14,578

5.85% 5/1/17

3,400

3,955

6.2% 7/1/13

2,729

2,881

6.75% 7/1/18

1,378

1,670

Time Warner, Inc.:

3.15% 7/15/15

392

413

5.875% 11/15/16

4,125

4,853

6.2% 3/15/40

3,821

4,462

6.5% 11/15/36

2,758

3,282

 

113,553

Specialty Retail - 0.0%

Staples, Inc. 7.375% 10/1/12

820

837

TOTAL CONSUMER DISCRETIONARY

155,916

CONSUMER STAPLES - 0.4%

Beverages - 0.1%

Beam, Inc.:

1.875% 5/15/17

1,331

1,334

3.25% 5/15/22

1,578

1,586

Diageo Capital PLC 5.2% 1/30/13

4,139

4,261

FBG Finance Ltd. 5.125% 6/15/15 (f)

3,447

3,794

Fortune Brands, Inc.:

5.375% 1/15/16

1,615

1,806

5.875% 1/15/36

8,406

9,359

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

CONSUMER STAPLES - continued

Beverages - continued

Fortune Brands, Inc.: - continued

6.375% 6/15/14

$ 482

$ 531

SABMiller Holdings, Inc. 3.75% 1/15/22 (f)

5,490

5,822

 

28,493

Food Products - 0.1%

Cargill, Inc. 6% 11/27/17 (f)

572

685

Kraft Foods, Inc.:

6.5% 8/11/17

8,854

10,727

6.5% 2/9/40

1,356

1,732

6.75% 2/19/14

436

476

 

13,620

Tobacco - 0.2%

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

16,451

22,630

Reynolds American, Inc.:

6.75% 6/15/17

3,486

4,200

7.25% 6/15/37

7,569

9,543

 

36,373

TOTAL CONSUMER STAPLES

78,486

ENERGY - 1.2%

Energy Equipment & Services - 0.2%

DCP Midstream LLC:

4.75% 9/30/21 (f)

6,554

7,108

5.35% 3/15/20 (f)

6,637

7,433

El Paso Pipeline Partners Operating Co. LLC:

4.1% 11/15/15

7,675

7,988

5% 10/1/21

2,791

2,991

6.5% 4/1/20

1,091

1,263

Transocean, Inc.:

5.05% 12/15/16

4,522

4,939

6.375% 12/15/21

5,971

6,861

Weatherford International Ltd.:

4.95% 10/15/13

2,045

2,137

5.15% 3/15/13

2,673

2,754

 

43,474

Oil, Gas & Consumable Fuels - 1.0%

Anadarko Petroleum Corp.:

5.95% 9/15/16

718

814

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Anadarko Petroleum Corp.: - continued

6.375% 9/15/17

$ 13,514

$ 15,809

Apache Corp. 3.25% 4/15/22

4,086

4,261

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

5,282

5,434

Duke Capital LLC 6.25% 2/15/13

809

835

Duke Energy Field Services:

5.375% 10/15/15 (f)

1,435

1,550

6.45% 11/3/36 (f)

6,493

7,815

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

1,098

1,238

Enbridge Energy Partners LP 4.2% 9/15/21

7,741

8,268

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

3,391

3,669

Enterprise Products Operating LP:

5.6% 10/15/14

715

786

5.65% 4/1/13

563

583

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

4,535

4,570

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

327

380

Marathon Petroleum Corp. 5.125% 3/1/21

4,207

4,674

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

6,234

6,433

Motiva Enterprises LLC 6.85% 1/15/40 (f)

4,294

5,502

Nakilat, Inc. 6.067% 12/31/33 (f)

2,490

2,702

Nexen, Inc.:

5.2% 3/10/15

1,067

1,138

5.875% 3/10/35

1,565

1,631

6.2% 7/30/19

893

1,056

6.4% 5/15/37

1,750

1,928

Petrobras International Finance Co. Ltd.:

3.875% 1/27/16

6,946

7,188

5.375% 1/27/21

10,524

11,231

5.75% 1/20/20

6,655

7,249

7.875% 3/15/19

7,382

8,928

Petroleos Mexicanos:

4.875% 1/24/22 (f)

1,430

1,494

5.5% 1/21/21

7,423

8,165

6% 3/5/20

952

1,069

6.5% 6/2/41 (f)

8,760

9,767

Phillips 66:

4.3% 4/1/22 (f)

6,038

6,293

5.875% 5/1/42 (f)

5,485

5,871

Plains All American Pipeline LP/PAA Finance Corp.:

3.65% 6/1/22

3,381

3,425

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Plains All American Pipeline LP/PAA Finance Corp.: - continued

3.95% 9/15/15

$ 149

$ 160

4.25% 9/1/12

718

723

6.125% 1/15/17

1,940

2,262

Ras Laffan Liquefied Natural Gas Co. Ltd. III:

4.5% 9/30/12 (f)

3,472

3,498

5.5% 9/30/14 (f)

5,137

5,535

5.832% 9/30/16 (f)

1,121

1,202

6.332% 9/30/27 (f)

5,910

6,721

6.75% 9/30/19 (f)

3,177

3,749

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

3,193

3,265

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

543

573

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

455

523

Spectra Energy Partners, LP:

2.95% 6/15/16

1,325

1,347

4.6% 6/15/21

1,733

1,866

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

1,301

1,513

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

4,215

4,426

Western Gas Partners LP 5.375% 6/1/21

7,979

8,807

 

197,926

TOTAL ENERGY

241,400

FINANCIALS - 3.5%

Capital Markets - 0.3%

BlackRock, Inc. 3.375% 6/1/22

5,788

5,864

Goldman Sachs Group, Inc.:

5.95% 1/18/18

4,684

4,894

6.15% 4/1/18

1,671

1,745

JPMorgan Chase Capital XX 6.55% 9/29/36

11,840

11,779

Lazard Group LLC:

6.85% 6/15/17

4,528

4,978

7.125% 5/15/15

1,616

1,760

Merrill Lynch & Co., Inc.:

6.11% 1/29/37

5,110

4,910

6.4% 8/28/17

4,179

4,443

Morgan Stanley:

5.5% 7/28/21

7,030

6,587

5.625% 9/23/19

1,795

1,714

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

FINANCIALS - continued

Capital Markets - continued

Morgan Stanley: - continued

5.75% 1/25/21

$ 2,403

$ 2,267

7.3% 5/13/19

6,528

6,771

 

57,712

Commercial Banks - 0.7%

Bank of America NA 5.3% 3/15/17

8,427

8,582

BB&T Corp. 3.95% 3/22/22

6,787

7,105

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

15,195

16,161

Discover Bank:

7% 4/15/20

3,831

4,481

8.7% 11/18/19

2,425

3,096

Fifth Third Bancorp:

4.5% 6/1/18

584

620

8.25% 3/1/38

4,070

5,762

Fifth Third Bank 4.75% 2/1/15

951

1,012

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

4,393

4,305

HBOS PLC 6.75% 5/21/18 (f)

560

513

HSBC Holdings PLC 4% 3/30/22

5,850

5,959

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

1,908

2,255

JPMorgan Chase Bank 6% 10/1/17

2,460

2,736

KeyBank NA:

5.45% 3/3/16

2,765

3,064

5.8% 7/1/14

5,776

6,230

Marshall & Ilsley Bank:

4.85% 6/16/15

3,561

3,820

5% 1/17/17

9,004

9,762

5.25% 9/4/12

2,221

2,243

Regions Bank:

6.45% 6/26/37

7,351

7,222

7.5% 5/15/18

3,852

4,314

Regions Financial Corp.:

0.6437% 6/26/12 (l)

499

499

5.75% 6/15/15

1,443

1,515

7.75% 11/10/14

6,740

7,330

UnionBanCal Corp. 5.25% 12/16/13

777

818

Wachovia Bank NA 4.875% 2/1/15

1,653

1,760

Wachovia Corp.:

5.625% 10/15/16

3,991

4,475

5.75% 6/15/17

2,371

2,751

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

FINANCIALS - continued

Commercial Banks - continued

Wells Fargo & Co.:

3.5% 3/8/22

$ 10,000

$ 10,157

3.625% 4/15/15

4,435

4,711

3.676% 6/15/16

3,236

3,432

 

136,690

Consumer Finance - 0.3%

Capital One Financial Corp. 2.15% 3/23/15

20,318

20,407

Discover Financial Services:

5.2% 4/27/22

1,290

1,370

6.45% 6/12/17

12,103

13,780

General Electric Capital Corp. 5.625% 9/15/17

15,752

18,002

HSBC Finance Corp. 5.9% 6/19/12

855

857

HSBC USA, Inc. 2.375% 2/13/15

8,675

8,703

 

63,119

Diversified Financial Services - 0.7%

Bank of America Corp.:

3.875% 3/22/17

7,618

7,596

5.65% 5/1/18

1,270

1,323

5.7% 1/24/22

12,760

13,566

5.75% 12/1/17

11,990

12,480

5.875% 2/7/42

5,117

5,239

BP Capital Markets PLC:

3.625% 5/8/14

4,599

4,815

4.5% 10/1/20

961

1,075

4.742% 3/11/21

6,000

6,830

Capital One Capital V 10.25% 8/15/39

4,813

4,981

Citigroup, Inc.:

4.75% 5/19/15

11,282

11,756

6.125% 5/15/18

1,701

1,852

6.5% 8/19/13

19,655

20,633

JPMorgan Chase & Co.:

3.15% 7/5/16

10,650

10,862

4.35% 8/15/21

8,020

8,378

4.5% 1/24/22

10,234

10,926

TECO Finance, Inc.:

4% 3/15/16

1,828

1,963

5.15% 3/15/20

10,344

11,899

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

1,303

1,301

 

137,475

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

FINANCIALS - continued

Insurance - 0.6%

American International Group, Inc.:

3.8% 3/22/17

$ 13,670

$ 13,878

4.875% 9/15/16

4,884

5,152

Aon Corp.:

3.125% 5/27/16

4,391

4,565

3.5% 9/30/15

3,180

3,324

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

452

482

Berkshire Hathaway Finance Corp. 4.4% 5/15/42

2,161

2,180

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

1,750

1,741

Hartford Financial Services Group, Inc.:

5.125% 4/15/22

11,774

12,006

5.375% 3/15/17

287

305

6.625% 4/15/42

9,968

10,390

Liberty Mutual Group, Inc.:

5% 6/1/21 (f)

8,525

8,793

6.5% 3/15/35 (f)

1,315

1,396

Marsh & McLennan Companies, Inc. 4.8% 7/15/21

4,458

4,925

Massachusetts Mutual Life Insurance Co. 5.375% 12/1/41 (f)

3,576

3,992

MetLife, Inc.:

5% 6/15/15

941

1,032

6.75% 6/1/16

5,158

6,071

Metropolitan Life Global Funding I:

5.125% 4/10/13 (f)

452

468

5.125% 6/10/14 (f)

4,625

4,979

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

2,585

2,677

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

4,915

6,175

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

3,353

4,364

Pacific LifeCorp 6% 2/10/20 (f)

5,390

6,013

Prudential Financial, Inc.:

3.875% 1/14/15

5,340

5,588

4.5% 11/16/21

3,834

4,052

5.15% 1/15/13

2,934

3,007

6.2% 11/15/40

2,535

2,821

7.375% 6/15/19

2,520

3,076

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

5,955

6,103

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

FINANCIALS - continued

Insurance - continued

Unum Group:

5.625% 9/15/20

$ 3,667

$ 4,010

7.125% 9/30/16

869

998

 

134,563

Real Estate Investment Trusts - 0.3%

Alexandria Real Estate Equities, Inc. 4.6% 4/1/22

1,925

1,982

AvalonBay Communities, Inc. 4.95% 3/15/13

296

304

Boston Properties, Inc. 3.85% 2/1/23 (g)

4,358

4,348

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

977

1,083

Camden Property Trust:

5.375% 12/15/13

3,103

3,269

5.875% 11/30/12

542

554

Developers Diversified Realty Corp.:

4.75% 4/15/18

5,964

6,151

5.375% 10/15/12

4,036

4,062

7.5% 4/1/17

4,622

5,309

Duke Realty LP:

4.625% 5/15/13

967

991

5.875% 8/15/12

98

99

Equity One, Inc.:

5.375% 10/15/15

948

1,009

6% 9/15/17

717

783

6.25% 12/15/14

1,000

1,076

6.25% 1/15/17

399

433

Federal Realty Investment Trust:

5.4% 12/1/13

355

373

5.9% 4/1/20

1,860

2,121

6% 7/15/12

3,443

3,459

6.2% 1/15/17

501

566

Health Care REIT, Inc. 4.125% 4/1/19

13,700

13,942

HRPT Properties Trust:

5.75% 11/1/15

1,731

1,806

6.25% 6/15/17

996

1,071

6.65% 1/15/18

676

734

Washington (REIT) 5.25% 1/15/14

476

496

 

56,021

Real Estate Management & Development - 0.6%

AMB Property LP 5.9% 8/15/13

2,086

2,167

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

FINANCIALS - continued

Real Estate Management & Development - continued

BioMed Realty LP:

3.85% 4/15/16

$ 7,000

$ 7,181

6.125% 4/15/20

2,467

2,817

Brandywine Operating Partnership LP 5.7% 5/1/17

129

138

Digital Realty Trust LP:

4.5% 7/15/15

3,650

3,834

5.25% 3/15/21

4,138

4,416

Duke Realty LP:

5.4% 8/15/14

771

819

5.5% 3/1/16

3,075

3,330

6.75% 3/15/20

560

665

8.25% 8/15/19

2,489

3,088

ERP Operating LP:

4.625% 12/15/21

12,970

14,150

4.75% 7/15/20

5,288

5,846

5.5% 10/1/12

382

388

5.75% 6/15/17

2,042

2,363

Liberty Property LP:

4.75% 10/1/20

7,482

7,963

5.125% 3/2/15

1,229

1,308

5.5% 12/15/16

1,772

1,955

Mack-Cali Realty LP:

4.5% 4/18/22

1,907

1,981

7.75% 8/15/19

1,036

1,272

Post Apartment Homes LP 6.3% 6/1/13

3,079

3,203

Prime Property Funding, Inc.:

5.125% 6/1/15 (f)

2,258

2,306

5.5% 1/15/14 (f)

816

833

5.7% 4/15/17 (f)

1,991

2,055

Regency Centers LP:

4.95% 4/15/14

494

515

5.25% 8/1/15

1,725

1,849

5.875% 6/15/17

877

988

Simon Property Group LP:

2.15% 9/15/17

10,289

10,257

2.8% 1/30/17

1,468

1,511

4.125% 12/1/21

4,110

4,465

4.2% 2/1/15

2,640

2,815

6.75% 5/15/14

5,698

6,212

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

FINANCIALS - continued

Real Estate Management & Development - continued

Tanger Properties LP:

6.125% 6/1/20

$ 9,256

$ 10,679

6.15% 11/15/15

1,254

1,394

 

114,763

TOTAL FINANCIALS

700,343

HEALTH CARE - 0.3%

Biotechnology - 0.1%

Amgen, Inc. 5.15% 11/15/41

17,224

17,817

Celgene Corp. 2.45% 10/15/15

907

928

 

18,745

Health Care Providers & Services - 0.2%

Aristotle Holding, Inc.:

4.75% 11/15/21 (f)

10,952

12,082

6.125% 11/15/41 (f)

5,466

6,624

Coventry Health Care, Inc.:

5.95% 3/15/17

1,413

1,620

6.3% 8/15/14

2,925

3,193

Express Scripts, Inc.:

3.125% 5/15/16

6,890

7,179

6.25% 6/15/14

1,991

2,179

Medco Health Solutions, Inc.:

2.75% 9/15/15

1,740

1,795

4.125% 9/15/20

5,031

5,424

 

40,096

Pharmaceuticals - 0.0%

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

1,065

1,135

TOTAL HEALTH CARE

59,976

INDUSTRIALS - 0.4%

Aerospace & Defense - 0.1%

BAE Systems Holdings, Inc.:

4.95% 6/1/14 (f)

846

893

6.375% 6/1/19 (f)

5,000

5,895

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

INDUSTRIALS - continued

Aerospace & Defense - continued

United Technologies Corp.:

3.1% 6/1/22

$ 6,819

$ 7,087

4.5% 6/1/42

6,819

7,328

 

21,203

Airlines - 0.0%

Continental Airlines, Inc.:

6.648% 3/15/19

2,631

2,792

6.9% 7/2/19

807

863

U.S. Airways pass-thru trust certificates:

6.85% 1/30/18

1,678

1,745

8.36% 1/20/19

1,357

1,425

 

6,825

Road & Rail - 0.3%

Burlington Northern Santa Fe LLC:

3.05% 3/15/22

13,026

13,220

4.4% 3/15/42

12,445

12,512

5.05% 3/1/41

8,624

9,582

Norfolk Southern Corp. 3% 4/1/22

13,653

13,904

 

49,218

TOTAL INDUSTRIALS

77,246

INFORMATION TECHNOLOGY - 0.1%

Electronic Equipment & Components - 0.0%

Tyco Electronics Group SA:

5.95% 1/15/14

3,694

3,961

6% 10/1/12

4,552

4,630

6.55% 10/1/17

1,119

1,343

 

9,934

Office Electronics - 0.1%

Xerox Corp.:

1.8737% 9/13/13 (l)

10,110

10,181

4.25% 2/15/15

545

579

4.5% 5/15/21

2,447

2,525

 

13,285

TOTAL INFORMATION TECHNOLOGY

23,219

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

MATERIALS - 0.3%

Chemicals - 0.2%

Dow Chemical Co.:

4.125% 11/15/21

$ 6,139

$ 6,448

4.25% 11/15/20

3,349

3,564

5.25% 11/15/41

2,233

2,409

7.6% 5/15/14

10,939

12,225

 

24,646

Construction Materials - 0.0%

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

2,152

2,369

Metals & Mining - 0.1%

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

1,278

1,451

ArcelorMittal SA 3.75% 3/1/16

733

729

Corporacion Nacional del Cobre de Chile (Codelco):

3.875% 11/3/21 (f)

6,889

7,191

6.375% 11/30/12 (f)

1,618

1,655

Vale Overseas Ltd.:

4.375% 1/11/22

6,000

6,002

6.25% 1/23/17

2,726

3,074

 

20,102

TOTAL MATERIALS

47,117

TELECOMMUNICATION SERVICES - 0.4%

Diversified Telecommunication Services - 0.2%

AT&T, Inc. 6.8% 5/15/36

9,241

11,969

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

1,158

1,498

CenturyLink, Inc.:

6.15% 9/15/19

3,372

3,539

6.45% 6/15/21

4,786

4,961

7.6% 9/15/39

1,011

964

Embarq Corp. 7.995% 6/1/36

3,741

3,841

Telefonica Emisiones SAU:

5.134% 4/27/20

772

683

5.462% 2/16/21

4,994

4,463

6.421% 6/20/16

939

923

Verizon Communications, Inc.:

6.1% 4/15/18

2,674

3,251

6.25% 4/1/37

4,611

5,861

 

41,953

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

TELECOMMUNICATION SERVICES - continued

Wireless Telecommunication Services - 0.2%

America Movil SAB de CV:

2.375% 9/8/16

$ 9,279

$ 9,366

3.625% 3/30/15

1,082

1,147

DIRECTV Holdings LLC/DIRECTV Financing, Inc.:

5.15% 3/15/42

3,616

3,612

5.875% 10/1/19

8,810

10,169

6.35% 3/15/40

2,500

2,868

Vodafone Group PLC 5% 12/16/13

2,696

2,863

 

30,025

TOTAL TELECOMMUNICATION SERVICES

71,978

UTILITIES - 0.7%

Electric Utilities - 0.4%

Ameren Illinois Co. 6.125% 11/15/17

333

391

AmerenUE 6.4% 6/15/17

3,507

4,249

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

4,829

5,129

Duke Capital LLC 5.668% 8/15/14

2,413

2,613

Duquesne Light Holdings, Inc.:

5.9% 12/1/21 (f)

5,410

6,047

6.4% 9/15/20 (f)

10,602

12,047

Edison International 3.75% 9/15/17

4,275

4,524

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

305

310

FirstEnergy Corp. 7.375% 11/15/31

9,223

11,769

FirstEnergy Solutions Corp.:

4.8% 2/15/15

1,798

1,925

6.05% 8/15/21

6,625

7,407

LG&E and KU Energy LLC:

2.125% 11/15/15

4,999

5,003

3.75% 11/15/20

984

1,026

Nevada Power Co.:

6.5% 5/15/18

5,290

6,514

6.5% 8/1/18

1,844

2,285

Pacific Gas & Electric Co. 3.25% 9/15/21

1,084

1,145

Pennsylvania Electric Co. 6.05% 9/1/17

618

712

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

4,728

4,865

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

1,831

1,928

Tampa Electric Co. 4.1% 6/15/42

1,185

1,182

 

81,071

Nonconvertible Bonds - continued

 

Principal Amount (000s)

Value (000s)

UTILITIES - continued

Gas Utilities - 0.0%

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

$ 357

$ 412

Southern Natural Gas Co. / Southern Natural Issuing Corp. 4.4% 6/15/21

2,360

2,534

 

2,946

Independent Power Producers & Energy Traders - 0.0%

PSEG Power LLC 2.75% 9/15/16

1,703

1,761

Multi-Utilities - 0.3%

Dominion Resources, Inc.:

2.7697% 9/30/66 (l)

13,426

11,942

7.5% 6/30/66 (l)

3,828

4,058

MidAmerican Energy Holdings, Co.:

5.875% 10/1/12

3,227

3,281

6.5% 9/15/37

3,287

4,397

National Grid PLC 6.3% 8/1/16

407

472

NiSource Finance Corp.:

4.45% 12/1/21

2,779

2,936

5.25% 9/15/17

682

763

5.4% 7/15/14

6,582

7,134

5.45% 9/15/20

980

1,115

5.8% 2/1/42

3,785

4,312

6.4% 3/15/18

1,557

1,835

6.8% 1/15/19

4,065

4,912

Sempra Energy 2.3% 4/1/17

7,119

7,312

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

3,554

3,643

 

58,112

TOTAL UTILITIES

143,890

TOTAL NONCONVERTIBLE BONDS

(Cost $1,475,068)


1,599,571

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

 

U.S. Government Agency Obligations - 0.2%

Tennessee Valley Authority 3.875% 2/15/21

39,390

45,940

U.S. Government and Government Agency Obligations - continued

 

Principal Amount (000s)

Value (000s)

U.S. Treasury Inflation Protected Obligations - 0.7%

U.S. Treasury Inflation-Indexed Bonds:

0.75% 2/15/42

$ 67,189

$ 72,188

2.125% 2/15/41

44,894

65,442

TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS

137,630

U.S. Treasury Obligations - 7.3%

U.S. Treasury Bills, yield at date of purchase 0.08% 8/23/12 (h)

5,600

5,599

U.S. Treasury Bonds:

3% 5/15/42

43,223

46,330

3.125% 11/15/41

30,792

33,813

3.125% 2/15/42

79,977

87,800

4.375% 5/15/41

123,612

168,576

U.S. Treasury Notes:

0.375% 4/15/15

458,765

459,159

0.625% 7/15/14 (i)

45,607

45,924

0.875% 4/30/17

589,290

595,782

TOTAL U.S. TREASURY OBLIGATIONS

1,442,983

TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $1,531,631)


1,626,553

U.S. Government Agency - Mortgage Securities - 3.7%

 

Fannie Mae - 2.0%

2.303% 6/1/36 (l)

181

194

2.633% 7/1/37 (l)

580

621

3% 10/1/26 to 6/1/27

16,412

17,199

3% 2/1/27

288

302

3% 6/1/27 (g)

9,500

9,948

3% 6/1/27 (g)

1,800

1,885

3.5% 1/1/21 to 5/1/42

13,502

14,250

3.5% 6/1/42 (g)

11,300

11,869

3.5% 6/1/42 (g)

9,000

9,453

3.5% 6/1/42 (g)

8,000

8,403

4% 9/1/26 to 11/1/41

56,548

60,581

4% 9/1/41

148

159

4% 10/1/41

4,817

5,177

4% 6/1/42 (g)

9,000

9,588

U.S. Government Agency - Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Fannie Mae - continued

4.5% 6/1/18 to 9/1/41

$ 58,028

$ 63,001

4.5% 6/13/42 (g)

4,000

4,292

4.5% 6/13/42 (g)

4,000

4,292

4.5% 6/13/42 (g)

5,600

6,009

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

39,403

42,777

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

59,235

64,859

6% 6/1/35 to 4/1/40

58,763

64,829

TOTAL FANNIE MAE

399,688

Freddie Mac - 0.9%

3.342% 10/1/35 (l)

259

278

3.5% 4/1/32 to 4/1/42

10,104

10,665

4% 6/1/24 to 11/1/41

17,012

18,241

4% 9/1/41

933

1,000

4% 6/1/42 (g)

23,000

24,416

4.5% 7/1/25 to 10/1/41

53,582

57,735

4.5% 6/1/42 (g)

7,400

7,904

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

31,563

34,078

5.5% 1/1/28 to 3/1/40

23,144

25,140

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

1,258

1,385

6.5% 3/1/36

1,388

1,569

TOTAL FREDDIE MAC

182,411

Ginnie Mae - 0.8%

3.5% 11/15/41 to 3/15/42

11,499

12,295

4% 1/15/25 to 11/15/41

34,465

37,477

4.5% 5/15/39 to 4/15/41

56,285

61,966

5% 3/15/39 to 9/15/41

25,794

28,706

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

1,450

1,616

6% 2/15/34 to 9/20/38

14,096

15,853

TOTAL GINNIE MAE

157,913

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $724,464)


740,012

Asset-Backed Securities - 0.7%

 

Principal Amount (000s)

Value (000s)

Accredited Mortgage Loan Trust Series 2005-1 Class M1, 0.7088% 4/25/35 (l)

$ 1,211

$ 639

ACE Securities Corp. Home Equity Loan Trust:

Series 2004-HE1 Class M2, 1.8888% 3/25/34 (l)

439

360

Series 2005-HE2 Class M2, 0.6888% 4/25/35 (l)

109

106

Advanta Business Card Master Trust Series 2006-C1 Class C1, 0.6758% 10/20/14 (l)

688

7

Ally Auto Receivables Trust Series 2012-2 Class A3, 0.74% 4/15/16

18,900

18,884

Ally Master Owner Trust:

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

6,360

6,473

Series 2011-3 Class A2, 1.81% 5/15/16

5,770

5,845

Series 2012-2 Class A, 0.7413% 3/15/16 (l)

17,050

17,050

AmeriCredit Automobile Receivables Trust Series 2012-2 Class A3, 1.05% 10/11/16

4,190

4,188

Ameriquest Mortgage Securities, Inc. pass-thru certificates:

Series 2003-10 Class M1, 0.9388% 12/25/33 (l)

89

68

Series 2004-R2 Class M3, 0.7888% 4/25/34 (l)

147

44

Series 2005-R2 Class M1, 0.6888% 4/25/35 (l)

2,266

2,001

Argent Securities, Inc. pass-thru certificates:

Series 2003-W7 Class A2, 1.0188% 3/25/34 (l)

53

38

Series 2004-W11 Class M2, 0.9388% 11/25/34 (l)

616

436

Series 2004-W7 Class M1, 0.7888% 5/25/34 (l)

1,600

1,146

Series 2006-W4 Class A2C, 0.3988% 5/25/36 (l)

1,445

343

Asset Backed Securities Corp. Home Equity Loan Trust:

Series 2004-HE2 Class M1, 1.0638% 4/25/34 (l)

2,666

2,049

Series 2006-HE2 Class M1, 0.6088% 3/25/36 (l)

91

1

Axon Financial Funding Ltd. Series 2007-1 Class A1, 1.0682% 4/4/17 (d)(f)(l)

6,960

0

Capital Auto Receivables Asset Trust Series 2008-2 Class B, 6.46% 12/15/14 (f)

2,500

2,583

Capital Trust Ltd. Series 2004-1:

Class A2, 0.6898% 7/20/39 (f)(l)

141

111

Class B, 0.9898% 7/20/39 (f)(l)

290

127

Class C, 1.3398% 7/20/39 (f)(l)

372

7

Carrington Mortgage Loan Trust Series 2007-RFC1 Class A3, 0.3788% 12/25/36 (l)

1,978

716

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

13,320

13,448

Citigroup Mortgage Loan Trust Series 2005-HE4 Class A2C, 0.5088% 10/25/35 (l)

750

743

Countrywide Asset-Backed Certificates Trust:

Series 2007-4 Class A1A, 0.3588% 9/25/37 (l)

203

199

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

Countrywide Asset-Backed Certificates Trust: - continued

Series 2007-5 Class 2A1, 0.3388% 9/25/47 (l)

$ 423

$ 422

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

363

0

Countrywide Home Loans, Inc.:

Series 2004-3 Class M4, 1.2088% 4/25/34 (l)

175

63

Series 2004-4 Class M2, 1.0338% 6/25/34 (l)

645

291

Series 2005-3 Class MV1, 0.6588% 8/25/35 (l)

16

16

Fannie Mae Series 2004-T5 Class AB3, 0.6889% 5/28/35 (l)

43

27

Fieldstone Mortgage Investment Corp. Series 2004-3 Class M5, 2.4138% 8/25/34 (l)

319

158

First Franklin Mortgage Loan Trust:

Series 2004-FF2 Class M3, 1.0638% 3/25/34 (l)

25

12

Series 2006-FF14 Class A2, 0.2988% 10/25/36 (l)

604

594

Ford Credit Auto Owner Trust Series 2012-B Class A4, 1.43% 9/15/17

16,390

16,412

Ford Credit Automobile Lease Trust Series 2012-A Class A4, 1.03% 4/15/15

9,290

9,284

Ford Credit Floorplan Master Owner Trust Series 2010-5 Class A1, 1.5% 9/15/15

7,020

7,071

Fremont Home Loan Trust Series 2005-A:

Class M3, 0.9738% 1/25/35 (l)

1,041

322

Class M4, 1.2588% 1/25/35 (l)

399

60

GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 0.8469% 2/25/47 (f)(l)

3,122

1,093

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

797

766

GE Business Loan Trust:

Series 2003-1 Class A, 0.6688% 4/15/31 (f)(l)

231

216

Series 2006-2A:

Class A, 0.4188% 11/15/34 (f)(l)

1,541

1,337

Class B, 0.5188% 11/15/34 (f)(l)

556

384

Class C, 0.6188% 11/15/34 (f)(l)

925

525

Class D, 0.9888% 11/15/34 (f)(l)

351

108

Guggenheim Structured Real Estate Funding Ltd. Series 2006-3 Class C, 0.7888% 9/25/46 (f)(l)

1,565

1,482

Home Equity Asset Trust:

Series 2003-2 Class M1, 1.5588% 8/25/33 (l)

385

259

Series 2003-3 Class M1, 1.5288% 8/25/33 (l)

751

533

Series 2003-5 Class A2, 0.9388% 12/25/33 (l)

36

29

Series 2006-1 Class 2A3, 0.4638% 4/25/36 (l)

209

208

HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.4288% 1/25/37 (l)

1,642

573

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

Hyundai Automobile Receivables Trust Series 2012-A Class A4, 1.27% 12/15/16

$ 9,830

$ 9,837

JPMorgan Mortgage Acquisition Trust:

Series 2006-NC2 Class M2, 0.5388% 7/25/36 (l)

3,185

64

Series 2007-CH1 Class AV4, 0.3688% 11/25/36 (l)

1,641

1,493

Keycorp Student Loan Trust:

Series 1999-A Class A2, 0.8032% 12/27/29 (l)

611

543

Series 2006-A Class 2C, 1.6232% 3/27/42 (l)

2,909

138

Marriott Vacation Club Owner Trust Series 2006-2A:

Class B, 5.442% 10/20/28 (f)

10

10

Class C, 5.691% 10/20/28 (f)

4

5

Class D, 6.01% 10/20/28 (f)

54

54

MASTR Asset Backed Securities Trust Series 2007-HE1 Class M1, 0.5388% 5/25/37 (l)

861

11

Meritage Mortgage Loan Trust Series 2004-1 Class M1, 0.9888% 7/25/34 (l)

165

100

Merrill Lynch Mortgage Investors Trust:

Series 2003-OPT1 Class M1, 1.2138% 7/25/34 (l)

547

404

Series 2006-FM1 Class A2B, 0.3488% 4/25/37 (l)

1,728

1,316

Series 2006-OPT1 Class A1A, 0.4988% 6/25/35 (l)

2,995

2,132

Morgan Stanley ABS Capital I Trust:

Series 2004-HE6 Class A2, 0.5788% 8/25/34 (l)

63

47

Series 2005-NC1 Class M1, 0.6788% 1/25/35 (l)

439

275

Series 2005-NC2 Class B1, 1.4088% 3/25/35 (l)

457

55

Series 2007-HE2 Class M1, 0.4888% 1/25/37 (l)

693

1

National Collegiate Student Loan Trust:

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

1,638

74

Series 2006-4 Class D, 1.3388% 5/25/32 (l)

2,225

2

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

1,072

9

New Century Home Equity Loan Trust Series 2005-4 Class M2, 0.7488% 9/25/35 (l)

1,566

669

Ocala Funding LLC:

Series 2005-1A Class A, 1.7398% 3/20/10 (d)(f)(l)

621

0

Series 2006-1A Class A, 1.6398% 3/20/11 (d)(f)(l)

1,290

0

Option One Mortgage Loan Trust:

Series 2007-5 Class 2A1, 0.3288% 5/25/37 (l)

5

5

Series 2007-6 Class 2A1, 0.2988% 7/25/37 (l)

62

61

Park Place Securities, Inc.:

Series 2004-WCW1:

Class M3, 1.4888% 9/25/34 (l)

585

247

Class M4, 1.6888% 9/25/34 (l)

750

158

Series 2005-WCH1 Class M4, 1.0688% 1/25/36 (l)

1,620

798

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 1.0388% 4/25/33 (l)

$ 6

$ 5

Saxon Asset Securities Trust Series 2004-1 Class M1, 1.0338% 3/25/35 (l)

1,437

1,053

Sierra Receivables Funding Co. Series 2007-1A Class A2, 0.3898% 3/20/19 (FGIC Insured) (f)(l)

509

498

SLM Private Credit Student Loan Trust Series 2004-A Class C, 1.4237% 6/15/33 (l)

1,396

517

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

655

0

Structured Asset Investment Loan Trust Series 2004-8 Class M5, 1.9638% 9/25/34 (l)

70

23

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

526

541

Terwin Mortgage Trust Series 2003-4HE Class A1, 1.0988% 9/25/34 (l)

32

23

Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 1.0292% 4/6/42 (f)(l)

2,172

27

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

974

0

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

8

0

Whinstone Capital Management Ltd. Series 1A Class B3, 2.2657% 10/25/44 (f)(l)

1,964

1,139

TOTAL ASSET-BACKED SECURITIES

(Cost $143,732)


142,191

Collateralized Mortgage Obligations - 0.2%

 

Private Sponsor - 0.2%

Bayview Commercial Asset Trust Series 2006-3A, Class IO, 3.9269% 10/25/36 (f)(l)(n)

28,850

1,145

Bear Stearns ALT-A Trust floater Series 2005-1 Class A1, 0.7988% 1/25/35 (l)

2,031

1,611

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

1,468

590

COMM pass-thru certificates floater Series 2001-J2A Class A2F, 0.7388% 7/16/34 (f)(l)

11

11

First Horizon Mortgage pass-thru Trust Series 2004-AR5 Class 2A1, 2.6312% 10/25/34 (l)

1,238

1,118

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

Private Sponsor - continued

Granite Master Issuer PLC:

floater:

Series 2006-1A Class A5, 0.3798% 12/20/54 (f)(l)

$ 7,106

$ 6,777

Series 2006-3 Class M2, 0.5198% 12/20/54 (l)

5,460

4,068

Series 2006-4:

Class B1, 0.4198% 12/20/54 (l)

4,556

3,827

Class M1, 0.5798% 12/20/54 (l)

1,198

893

Series 2007-1:

Class 1B1, 0.3798% 12/20/54 (l)

4,650

3,906

Class 1M1, 0.5398% 12/20/54 (l)

1,611

1,200

Class 2M1, 0.7398% 12/20/54 (l)

2,067

1,540

Series 2007-2 Class 2C1, 1.0988% 12/17/54 (l)

2,864

1,661

sequential payer Series 2006-3 Class B2, 0.4098% 12/20/54 (l)

5,461

4,587

Granite Mortgages PLC floater Series 2003-3 Class 1C, 2.9157% 1/20/44 (l)

472

333

JPMorgan Chase Commercial Mortgage Securities Trust Series 2007-CB18 Class A3, 5.447% 6/12/47 (l)

2,144

2,228

JPMorgan Mortgage Trust sequential payer Series 2006-A5 Class 3A5, 5.7693% 8/25/36 (l)

2,058

1,551

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

591

668

MASTR Adjustable Rate Mortgages Trust Series 2007-3 Class 22A2, 0.4488% 5/25/47 (l)

875

543

Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.4088% 2/25/37 (l)

1,532

1,029

Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 0.5288% 7/25/35 (l)

2,126

1,676

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

Class B5, 2.5888% 7/10/35 (f)(l)

1,255

1,021

Class B6, 3.0888% 7/10/35 (f)(l)

267

214

Residential Funding Securities Corp. floater Series 2003-RP2 Class A1, 0.6888% 6/25/33 (f)(l)

266

250

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

185

64

Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 1.668% 7/20/34 (l)

38

28

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

Private Sponsor - continued

Structured Asset Securities Corp. Series 2003-15A Class 4A, 5.3146% 4/25/33 (l)

$ 335

$ 306

TBW Mortgage-Backed pass-thru certificates floater Series 2006-4 Class A3, 0.4388% 9/25/36 (l)

3,593

2,867

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $36,610)


45,712

Commercial Mortgage Securities - 2.1%

 

Asset Securitization Corp. Series 1997-D5:

Class A3, 7.2034% 2/14/43 (l)

354

355

Class A6, 7.5234% 2/14/43 (l)

1,537

1,547

Class PS1, 1.4221% 2/14/43 (l)(n)

2,031

25

Banc of America Commercial Mortgage Trust:

sequential payer:

Series 2006-2 Class AAB, 5.9026% 5/10/45 (l)

1,180

1,245

Series 2006-5:

Class A2, 5.317% 9/10/47

4,172

4,175

Class A3, 5.39% 9/10/47

1,832

1,918

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

2,628

2,803

Series 2007-4 Class A3, 5.9835% 2/10/51 (l)

1,310

1,365

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

759

60

Series 2007-3:

Class A3, 5.8366% 6/10/49 (l)

2,194

2,248

Class A4, 5.8366% 6/10/49 (l)

2,739

3,052

Banc of America Commercial Mortgage, Inc.:

sequential payer:

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

2,878

3,228

Series 2004-2:

Class A3, 4.05% 11/10/38

160

162

Class A4, 4.153% 11/10/38

1,666

1,709

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

495

495

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

704

704

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

735

734

Series 2001-PB1 Class K, 6.15% 5/11/35 (f)

233

233

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

4,082

4,265

Banc of America Large Loan, Inc. floater:

Series 2005-MIB1:

Class C, 0.5488% 3/15/22 (f)(l)

564

553

Class D, 0.5988% 3/15/22 (f)(l)

572

556

Class E, 0.6388% 3/15/22 (f)(l)

472

459

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Banc of America Large Loan, Inc. floater: - continued

Series 2005-MIB1:

Class F, 0.7088% 3/15/22 (f)(l)

$ 676

$ 656

Class G, 0.7688% 3/15/22 (f)(l)

438

412

Series 2006-BIX1:

Class D, 0.4488% 10/15/19 (f)(l)

572

560

Class E, 0.4788% 10/15/19 (f)(l)

956

913

Class F, 0.5488% 10/15/19 (f)(l)

2,868

2,725

Class G, 0.5688% 10/15/19 (f)(l)

1,350

1,269

Bayview Commercial Asset Trust:

floater:

Series 2003-2 Class M1, 1.0888% 12/25/33 (f)(l)

68

49

Series 2004-1:

Class A, 0.5988% 4/25/34 (f)(l)

1,180

974

Class B, 2.1388% 4/25/34 (f)(l)

132

77

Class M1, 0.7988% 4/25/34 (f)(l)

106

75

Class M2, 1.4388% 4/25/34 (f)(l)

98

69

Series 2005-2A:

Class A1, 0.5488% 8/25/35 (f)(l)

1,576

1,088

Class M1, 0.6688% 8/25/35 (f)(l)

86

44

Class M2, 0.7188% 8/25/35 (f)(l)

141

64

Class M3, 0.7388% 8/25/35 (f)(l)

78

31

Series 2005-3A:

Class A2, 0.6388% 11/25/35 (f)(l)

566

357

Class M1, 0.6788% 11/25/35 (f)(l)

74

42

Class M2, 0.7288% 11/25/35 (f)(l)

94

51

Class M3, 0.7488% 11/25/35 (f)(l)

84

44

Class M4, 0.8388% 11/25/35 (f)(l)

105

50

Series 2005-4A:

Class A2, 0.6288% 1/25/36 (f)(l)

1,420

986

Class B1, 1.6388% 1/25/36 (f)(l)

123

17

Class M1, 0.6888% 1/25/36 (f)(l)

458

200

Class M2, 0.7088% 1/25/36 (f)(l)

137

54

Class M3, 0.7388% 1/25/36 (f)(l)

201

71

Class M4, 0.8488% 1/25/36 (f)(l)

111

35

Class M5, 0.8888% 1/25/36 (f)(l)

111

30

Class M6, 0.9388% 1/25/36 (f)(l)

118

22

Series 2006-1:

Class A2, 0.5988% 4/25/36 (f)(l)

222

143

Class M1, 0.6188% 4/25/36 (f)(l)

79

47

Class M2, 0.6388% 4/25/36 (f)(l)

84

46

Class M3, 0.6588% 4/25/36 (f)(l)

72

37

Class M4, 0.7588% 4/25/36 (f)(l)

41

19

Class M5, 0.7988% 4/25/36 (f)(l)

40

16

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Bayview Commercial Asset Trust: - continued

floater:

Series 2006-1:

Class M6, 0.8788% 4/25/36 (f)(l)

$ 79

$ 31

Series 2006-2A:

Class A1, 0.4688% 7/25/36 (f)(l)

3,313

2,236

Class A2, 0.5188% 7/25/36 (f)(l)

197

131

Class B1, 1.1088% 7/25/36 (f)(l)

74

7

Class B3, 2.9388% 7/25/36 (f)(l)

91

3

Class M1, 0.5488% 7/25/36 (f)(l)

207

84

Class M2, 0.5688% 7/25/36 (f)(l)

146

52

Class M3, 0.5888% 7/25/36 (f)(l)

121

38

Class M4, 0.6588% 7/25/36 (f)(l)

82

21

Class M5, 0.7088% 7/25/36 (f)(l)

100

18

Class M6, 0.7788% 7/25/36 (f)(l)

150

19

Series 2006-3A:

Class B1, 1.0388% 10/25/36 (f)(l)

58

1

Class M4, 0.6688% 10/25/36 (f)(l)

161

14

Class M5, 0.7188% 10/25/36 (f)(l)

193

11

Class M6, 0.7988% 10/25/36 (f)(l)

379

12

Series 2006-4A:

Class A1, 0.4688% 12/25/36 (f)(l)

826

534

Class A2, 0.5088% 12/25/36 (f)(l)

4,034

1,782

Class B1, 0.9388% 12/25/36 (f)(l)

129

5

Class B2, 1.4888% 12/25/36 (f)(l)

51

1

Class M1, 0.5288% 12/25/36 (f)(l)

269

74

Class M2, 0.5488% 12/25/36 (f)(l)

179

35

Class M3, 0.5788% 12/25/36 (f)(l)

180

24

Class M4, 0.6388% 12/25/36 (f)(l)

218

25

Class M5, 0.6788% 12/25/36 (f)(l)

199

19

Class M6, 0.7588% 12/25/36 (f)(l)

179

12

Series 2007-1 Class A2, 0.5088% 3/25/37 (f)(l)

828

414

Series 2007-2A:

Class A1, 0.5088% 7/25/37 (f)(l)

788

424

Class A2, 0.5588% 7/25/37 (f)(l)

739

247

Class B1, 1.8388% 7/25/37 (f)(l)

219

7

Class M1, 0.6088% 7/25/37 (f)(l)

259

36

Class M2, 0.6488% 7/25/37 (f)(l)

142

12

Class M3, 0.7288% 7/25/37 (f)(l)

143

10

Class M4, 0.8888% 7/25/37 (f)(l)

284

18

Class M5, 0.9888% 7/25/37 (f)(l)

250

13

Class M6, 1.2388% 7/25/37 (f)(l)

318

13

Series 2007-3:

Class A2, 0.5288% 7/25/37 (f)(l)

852

401

Class B1, 1.1888% 7/25/37 (f)(l)

190

14

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Bayview Commercial Asset Trust: - continued

floater:

Series 2007-3:

Class B2, 1.8388% 7/25/37 (f)(l)

$ 475

$ 17

Class B3, 4.2388% 7/25/37 (f)(l)

10

0*

Class M1, 0.5488% 7/25/37 (f)(l)

170

43

Class M2, 0.5788% 7/25/37 (f)(l)

181

34

Class M3, 0.6088% 7/25/37 (f)(l)

285

40

Class M4, 0.7388% 7/25/37 (f)(l)

447

55

Class M5, 0.8388% 7/25/37 (f)(l)

234

26

Class M6, 1.0388% 7/25/37 (f)(l)

178

17

Series 2007-4A:

Class B1, 2.7888% 9/25/37 (f)(l)

89

4

Class M1, 1.1888% 9/25/37 (f)(l)

296

22

Class M2, 1.2888% 9/25/37 (f)(l)

296

16

Class M4, 1.8388% 9/25/37 (f)(l)

751

30

Class M5, 1.9888% 9/25/37 (f)(l)

751

23

Class M6, 2.1888% 9/25/37 (f)(l)

754

14

Series 2004-1, Class IO, 1.25% 4/25/34 (f)(n)

2,378

90

Series 2007-5A, Class IO, 4.1484% 10/25/37 (f)(l)(n)

5,912

541

Bear Stearns Commercial Mortgage Securities Trust:

floater:

Series 2006-BBA7:

Class H, 0.8888% 3/15/19 (f)(l)

448

430

Class J, 1.0888% 3/15/19 (f)(l)

447

406

Series 2007-BBA8:

Class D, 0.4888% 3/15/22 (f)(l)

653

591

Class E, 0.5388% 3/15/22 (f)(l)

3,391

2,999

Class F, 0.5888% 3/15/22 (f)(l)

2,081

1,799

Class G, 0.6388% 3/15/22 (f)(l)

534

451

Class H, 0.7888% 3/15/22 (f)(l)

653

512

Class J, 0.9388% 3/15/22 (f)(l)

653

493

sequential payer:

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

344

348

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

3,441

3,585

Series 2007-PW16:

Class A4, 5.9046% 6/11/40 (l)

769

870

Class AAB, 5.9046% 6/11/40 (l)

6,290

6,728

Series 2007-PW18:

Class A2, 5.613% 6/11/50

361

372

Class A4, 5.7% 6/11/50

5,820

6,655

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

4,638

4,844

Series 2006-PW14 Class X2, 0.8632% 12/11/38 (f)(l)(n)

13,836

139

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Bear Stearns Commercial Mortgage Securities Trust: - continued

floater:

Series 2006-T22 Class A4, 5.7138% 4/12/38 (l)

$ 164

$ 185

Series 2006-T24 Class X2, 0.6233% 10/12/41 (f)(l)(n)

3,433

21

Series 2007-PW18 Class X2, 0.4794% 6/11/50 (f)(l)(n)

92,485

949

Series 2007-T28 Class X2, 0.3209% 9/11/42 (f)(l)(n)

49,759

295

C-BASS Trust floater Series 2006-SC1 Class A, 0.5088% 5/25/36 (f)(l)

787

658

CDC Commercial Mortgage Trust Series 2002-FX1:

Class G, 6.625% 5/15/35 (f)

1,544

1,591

Class XCL, 1.3344% 5/15/35 (f)(l)(n)

5,360

115

Citigroup Commercial Mortgage Trust:

floater Series 2006-FL2:

Class G, 0.5698% 8/15/21 (f)(l)

214

206

Class H, 0.6098% 8/15/21 (f)(l)

468

437

Series 2007-C6:

Class A2, 5.8852% 12/10/49 (l)

1,408

1,408

Class A4, 5.8852% 12/10/49 (l)

4,371

4,996

Series 2008-C7 Class A2B, 6.2761% 12/10/49 (l)

1,181

1,201

Citigroup/Deutsche Bank Commercial Mortgage Trust:

sequential payer Series 2007-CD4 Class A4, 5.322% 12/11/49

16,063

17,645

Series 2007-CD4:

Class A3, 5.293% 12/11/49

1,279

1,349

Class C, 5.476% 12/11/49

2,474

544

Cobalt CMBS Commercial Mortgage Trust:

sequential payer Series 2007-C3 Class A3, 6.0104% 5/15/46 (l)

1,314

1,400

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

3,942

276

COMM pass-thru certificates:

floater:

Series 2005-F10A:

Class G, 0.7888% 4/15/17 (f)(l)

74

73

Class H, 0.8588% 4/15/17 (f)(l)

188

168

Class J, 1.0888% 4/15/17 (f)(l)

144

107

Series 2005-FL11:

Class C, 0.5388% 11/15/17 (f)(l)

807

766

Class D, 0.5788% 11/15/17 (f)(l)

42

39

Class E, 0.6288% 11/15/17 (f)(l)

149

137

Class F, 0.6888% 11/15/17 (f)(l)

164

150

Class G, 0.7388% 11/15/17 (f)(l)

114

103

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

COMM pass-thru certificates: - continued

floater:

Series 2006-CN2A:

Class A2FL, 0.4588% 2/5/19 (f)(l)

$ 1,940

$ 1,833

Class AJFL, 0.4988% 2/5/19 (l)

890

861

Series 2006-FL12 Class AJ, 0.3688% 12/15/20 (f)(l)

1,872

1,695

sequential payer:

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

3,744

3,836

Series 2006-CN2A:

Class A2FX, 5.449% 2/5/19 (f)

2,291

2,224

Class AJFX, 5.478% 2/5/19 (f)

4,140

4,105

Series 2007-C9 Class A4, 6.0063% 12/10/49 (l)

2,907

3,343

Series 2006-C8 Class XP, 0.6588% 12/10/46 (l)(n)

16,816

124

Commercial Mortgage pass-thru certificates sequential payer Series 2005-C6 Class A2, 4.999% 6/10/44 (l)

1

1

Credit Suisse Commercial Mortgage Trust:

sequential payer:

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

1,596

1,750

Series 2007-C2:

Class A2, 5.448% 1/15/49 (l)

3,376

3,409

Class A3, 5.542% 1/15/49 (l)

2,628

2,816

Series 2007-C3 Class A4, 5.8672% 6/15/39 (l)

790

841

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

4,047

4,098

Series 2006-C5 Class ASP, 0.8651% 12/15/39 (l)(n)

11,239

113

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

1,189

1,259

Credit Suisse First Boston Mortgage Capital Certificates floater Series 2007-TF2A Class B, 0.5888% 4/15/22 (f)(l)

4,688

3,536

Credit Suisse First Boston Mortgage Securities Corp.:

sequential payer Series 2004-C1:

Class A3, 4.321% 1/15/37

2

2

Class A4, 4.75% 1/15/37

612

638

Series 2001-CK6 Class AX, 1.2267% 8/15/36 (l)(n)

420

1

Series 2001-CKN5 Class AX, 1.9496% 9/15/34 (f)(l)(n)

1,796

3

Series 2006-C1 Class A3, 5.5958% 2/15/39 (l)

4,758

5,038

Credit Suisse Mortgage Capital Certificates:

floater Series 2007-TFL1:

Class B, 0.3888% 2/15/22 (f)(l)

497

457

Class C:

0.4088% 2/15/22 (f)(l)

2,047

1,862

0.5088% 2/15/22 (f)(l)

731

651

Class F, 0.5588% 2/15/22 (f)(l)

1,462

1,272

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Credit Suisse Mortgage Capital Certificates: - continued

Series 2007-C1:

Class ASP, 0.5749% 2/15/40 (l)(n)

$ 19,061

$ 129

Class B, 5.487% 2/15/40 (f)(l)

2,009

337

First Union National Bank-Bank of America Commercial Mortgage Trust Series 2001-C1 Class G, 6.936% 3/15/33 (f)

865

872

GE Capital Commercial Mortgage Corp.:

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

8,890

9,700

Series 2001-1 Class X1, 1.7136% 5/15/33 (f)(l)(n)

1,318

12

Series 2007-C1 Class XP, 0.3359% 12/10/49 (l)(n)

20,244

79

GMAC Commercial Mortgage Securities, Inc. Series 2005-C1 Class X2, 0.7319% 5/10/43 (l)(n)

4,556

0*

Greenwich Capital Commercial Funding Corp.:

floater Series 2006-FL4 Class B, 0.4288% 11/5/21 (f)(l)

494

464

sequential payer:

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

2,628

2,700

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

17,490

19,075

Series 2006-GG7 Class A3, 6.0811% 7/10/38 (l)

1,119

1,119

Series 2007-GG11 Class A1, 0.4392% 12/10/49 (f)(l)(n)

25,003

150

GS Mortgage Securities Corp. II:

floater:

Series 2006-FL8A:

Class E, 0.6088% 6/6/20 (f)(l)

298

292

Class F, 0.6788% 6/6/20 (f)(l)

916

885

Series 2007-EOP:

Class C, 2.0056% 3/6/20 (f)(l)

1,650

1,631

Class D, 2.2018% 3/6/20 (f)(l)

3,090

3,055

Class F, 2.6334% 3/6/20 (f)(l)

136

134

Class G, 2.7903% 3/6/20 (f)(l)

67

66

Class H, 3.3004% 3/6/20 (f)(l)

62

61

Class J, 4.0852% 3/6/20 (f)(l)

85

85

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

284

287

Series 2005-GG4 Class XP, 0.8966% 7/10/39 (f)(l)(n)

19,996

0*

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

3,782

3,786

GS Mortgage Securities Trust sequential payer:

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

623

625

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

299

303

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

JPMorgan Chase Commercial Mortgage Securities Trust:

floater Series 2006-FLA2:

Class B, 0.4088% 11/15/18 (f)(l)

$ 656

$ 638

Class C, 0.4488% 11/15/18 (f)(l)

466

452

Class D, 0.4688% 11/15/18 (f)(l)

207

200

Class E, 0.5188% 11/15/18 (f)(l)

297

281

Class F, 0.5688% 11/15/18 (f)(l)

446

402

Class G, 0.5988% 11/15/18 (f)(l)

387

321

Class H, 0.7388% 11/15/18 (f)(l)

297

241

sequential payer:

Series 2006-CB14 Class A3B, 5.674% 12/12/44 (l)

3,229

3,309

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

837

945

Series 2006-LDP9:

Class A2, 5.134% 5/15/47 (l)

441

453

Class A3, 5.336% 5/15/47

5,183

5,626

Series 2007-CB19 Class A4, 5.9254% 2/12/49 (l)

4,608

5,174

Series 2007-LD11 Class A2, 5.9877% 6/15/49 (l)

3,274

3,285

Series 2007-LDPX:

Class A2 S, 5.305% 1/15/49

2,102

2,119

Class A3, 5.42% 1/15/49

18,477

20,303

Series 2005-CB13 Class E, 5.5314% 1/12/43 (f)(l)

665

21

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

3,373

3,457

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

344

348

Series 2007-CB19:

Class B, 5.9254% 2/12/49 (l)

112

34

Class C, 5.9254% 2/12/49 (l)

294

56

Class D, 5.9254% 2/12/49 (l)

309

46

Series 2007-LDP10:

Class BS, 5.437% 1/15/49 (l)

251

64

Class CS, 5.466% 1/15/49 (l)

108

13

Class ES, 5.7393% 1/15/49 (f)(l)

679

38

LB Commercial Conduit Mortgage Trust sequential payer Series 2007-C3 Class A4, 6.1105% 7/15/44 (l)

1,054

1,205

LB-UBS Commercial Mortgage Trust:

sequential payer:

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

178

179

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

72

72

Series 2006-C7:

Class A2, 5.3% 11/15/38

767

772

Class A3, 5.347% 11/15/38

979

1,096

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

4,069

4,573

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

2,923

3,199

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

LB-UBS Commercial Mortgage Trust: - continued

sequential payer:

Series 2005-C3 Class XCP, 0.9022% 7/15/40 (l)(n)

$ 2,989

$ 1

Series 2006-C6 Class XCP, 0.8617% 9/15/39 (l)(n)

5,603

49

Series 2007-C1 Class XCP, 0.6211% 2/15/40 (l)(n)

2,095

15

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

1,642

1,861

Series 2007-C7:

Class A3, 5.866% 9/15/45

1,397

1,575

Class XCP, 0.4289% 9/15/45 (l)(n)

84,375

621

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

Class D, 0.4688% 9/15/21 (f)(l)

421

384

Class E, 0.5288% 9/15/21 (f)(l)

1,518

1,338

Class F, 0.5788% 9/15/21 (f)(l)

1,255

1,069

Class G, 0.5988% 9/15/21 (f)(l)

2,478

2,037

Class H, 0.6388% 9/15/21 (f)(l)

639

500

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

2,332

2,334

Merrill Lynch Mortgage Trust:

Series 2005-CKI1 Class A3, 5.3909% 11/12/37 (l)

744

746

Series 2005-LC1 Class F, 5.5591% 1/12/44 (f)(l)

1,143

638

Series 2006-C1 Class A2, 5.803% 5/12/39 (l)

1,213

1,241

Series 2007-C1 Class A4, 6.0324% 6/12/50 (l)

4,974

5,497

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

2,805

3,179

Merrill Lynch-CFC Commercial Mortgage Trust:

floater Series 2006-4 Class A2FL, 0.3603% 12/12/49 (l)

133

133

sequential payer:

Series 2006-1 Class A3, 5.6555% 2/12/39 (l)

1,398

1,407

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

1,019

1,066

Series 2007-5:

Class A3, 5.364% 8/12/48

512

525

Class A4, 5.378% 8/12/48

53

57

Class B, 5.479% 8/12/48

3,942

898

Series 2007-6 Class A4, 5.485% 3/12/51 (l)

10,897

11,713

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

4,599

4,945

Series 2006-3 Class ASB, 5.382% 7/12/46 (l)

4,822

5,011

Series 2006-4 Class XP, 0.8105% 12/12/49 (l)(n)

20,867

312

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

1,314

370

Series 2007-7 Class B, 5.936% 6/12/50 (l)

114

7

Series 2007-8 Class A3, 6.1649% 8/12/49 (l)

1,133

1,245

Morgan Stanley Capital I Trust:

floater:

Series 2006-XLF Class C, 1.439% 7/15/19 (f)(l)

393

228

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Morgan Stanley Capital I Trust: - continued

floater:

Series 2007-XLFA:

Class C, 0.399% 10/15/20 (f)(l)

$ 754

$ 679

Class D, 0.429% 10/15/20 (f)(l)

732

637

Class E, 0.489% 10/15/20 (f)(l)

916

760

Class F, 0.539% 10/15/20 (f)(l)

550

418

Class G, 0.579% 10/15/20 (f)(l)

680

489

Class H, 0.669% 10/15/20 (f)(l)

428

287

Class J, 0.819% 10/15/20 (f)(l)

250

105

sequential payer:

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

1,301

1,316

Series 2007-HQ11 Class A31, 5.439% 2/12/44 (l)

666

700

Series 2006-HQ10 Class X2, 0.691% 11/12/41 (f)(l)(n)

8,837

22

Series 2006-HQ8 Class A3, 5.653% 3/12/44 (l)

434

434

Series 2006-IQ11:

Class A3, 5.8615% 10/15/42 (l)

811

834

Class A4, 5.8975% 10/15/42 (l)

394

443

Series 2006-T23 Class A3, 5.9838% 8/12/41 (l)

671

686

Series 2007-IQ14:

Class A4, 5.692% 4/15/49 (l)

1,971

2,141

Class AAB, 5.654% 4/15/49

3,518

3,761

Class B, 5.9075% 4/15/49 (l)

323

89

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

48

48

Wachovia Bank Commercial Mortgage Trust:

floater:

Series 2006-WL7A:

Class E, 0.5198% 9/15/21 (f)(l)

1,791

1,420

Class F, 0.5798% 9/15/21 (f)(l)

2,061

1,573

Class G, 0.5998% 9/15/21 (f)(l)

1,953

1,427

Class J, 0.8398% 9/15/21 (f)(l)

434

200

Series 2007-WHL8:

Class F, 0.7188% 6/15/20 (f)(l)

4,581

3,344

Class LXR1, 0.9388% 6/15/20 (f)(l)

162

129

sequential payer:

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

1,092

1,100

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

4,640

4,672

Series 2006-C29 Class A3, 5.313% 11/15/48

3,490

3,579

Series 2007-C30:

Class A3, 5.246% 12/15/43

420

420

Class A4, 5.305% 12/15/43

386

410

Class A5, 5.342% 12/15/43

17,206

18,242

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Wachovia Bank Commercial Mortgage Trust: - continued

floater:

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

$ 12,470

$ 13,418

Series 2007-C32:

Class A2, 5.9223% 6/15/49 (l)

3,830

3,860

Class A3, 5.9273% 6/15/49 (l)

2,231

2,368

Series 2003-C6 Class G, 5.125% 8/15/35 (f)(l)

624

620

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

1,314

1,192

Series 2005-C22:

Class B, 5.5332% 12/15/44 (l)

2,914

1,988

Class F, 5.5332% 12/15/44 (f)(l)

2,191

550

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

7,210

8,036

Series 2007-C30:

Class C, 5.483% 12/15/43 (l)

3,942

1,207

Class D, 5.513% 12/15/43 (l)

2,102

483

Class XP, 0.6679% 12/15/43 (f)(l)(n)

11,372

99

Series 2007-C31 Class C, 5.8735% 4/15/47 (l)

361

76

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

7,547

7,786

Series 2007-C32:

Class D, 5.9273% 6/15/49 (l)

987

258

Class E, 5.9273% 6/15/49 (l)

1,556

365

Wachovia Bank Commercial Mortgage Trust pass-thru certificates sequential payer Series 2007-C33 Class A5, 6.0975% 2/15/51 (l)

870

965

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $342,068)


412,150

Municipal Securities - 0.2%

 

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

2,300

2,375

California Gen. Oblig.:

7.5% 4/1/34

8,780

11,051

7.55% 4/1/39

1,685

2,176

7.6% 11/1/40

4,560

5,955

7.625% 3/1/40

2,530

3,285

Illinois Gen. Oblig.:

Series 2010, 4.421% 1/1/15

5,980

6,306

Series 2011, 5.877% 3/1/19

2,005

2,240

TOTAL MUNICIPAL SECURITIES

(Cost $31,243)


33,388

Foreign Government and Government Agency Obligations - 0.0%

 

Principal Amount (000s)

Value (000s)

Russian Federation:

4.5% 4/4/22 (f)

$ 3,000

$ 3,045

5.625% 4/4/42 (f)

4,400

4,477

TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $7,270)


7,522

Bank Notes - 0.0%

 

Wachovia Bank NA 6% 11/15/17
(Cost $3,597)

3,319


3,832

Fixed-Income Funds - 14.1%

Shares

 

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

3,538,209

394,263

Fidelity High Income Central Fund 2 (m)

5,306,756

580,612

Fidelity Mortgage Backed Securities Central Fund (m)

16,648,385

1,818,004

TOTAL FIXED-INCOME FUNDS

(Cost $2,600,996)


2,792,879

Money Market Funds - 2.0%

 

 

 

 

Fidelity Cash Central Fund, 0.17% (b)

341,535,453

341,535

Fidelity Securities Lending Cash Central Fund, 0.17% (b)(c)

57,509,933

57,510

TOTAL MONEY MARKET FUNDS

(Cost $399,045)


399,045

TOTAL INVESTMENT PORTFOLIO - 100.6%

(Cost $18,047,130)

19,978,927

NET OTHER ASSETS (LIABILITIES) - (0.6)%

(127,647)

NET ASSETS - 100%

$ 19,851,280

TBA Sale Commitments

 

Principal Amount (000s)

Value (000s)

Fannie Mae

3.5% 6/1/42

$ (1,000)

$ (1,050)

3.5% 6/1/42

(8,000)

(8,403)

3.5% 6/1/42

(8,000)

(8,403)

3.5% 6/1/42

(1,000)

(1,050)

3.5% 6/1/42

(4,000)

(4,201)

3.5% 6/1/42

(2,000)

(2,101)

4% 6/1/42

(9,000)

(9,588)

4.5% 6/13/42

(13,000)

(13,947)

4.5% 6/13/42

(4,000)

(4,292)

4.5% 6/13/42

(5,000)

(5,365)

TOTAL FANNIE MAE

(58,400)

Ginnie Mae

4% 6/1/42

(4,900)

(5,356)

TOTAL TBA SALE COMMITMENTS

(Proceeds $63,381)

$ (63,756)

Futures Contracts

Expiration Date

Underlying Face Amount at Value (000s)

Unrealized Appreciation/
(Depreciation) (000s)

Purchased

Equity Index Contracts

722 CME E-mini S&P 500 Index Contracts

June 2012

$ 47,262

$ (1,858)

 

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

Swap Agreements

 

Expiration Date

Notional Amount (000s)

Value (000s)

Credit Default Swaps

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

Sept. 2037

$ 7,398

$ (7,014)

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

Sept. 2037

6,025

(5,712)

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

Sept. 2037

797

(756)

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

Sept. 2037

6,025

(5,712)

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

Sept. 2037

5,803

(5,502)

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 UBS upon each credit event of one of the issues of ABX AA 07-1 Index, par value of the proportional notional amount (Rating-C) (Upfront Premium Received/(Paid) $2,559,000) (k)

Sept. 2037

$ 5,094

$ (4,830)

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) (j)

Dec. 2034

562

(540)

 

$ 31,704

$ (30,066)

Legend

(a) Non-income producing

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

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

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

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

(f) 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 $393,561,000 or 2.0% of net assets.

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

(h) 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 $2,900,000.

(i) 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 $35,233,000.

(j) 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.

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

(l) Coupon rates for floating and adjustable rate securities reflect the rates in effect 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 are available on the SEC's web site or upon request.

(n) 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 as of the end of the period.

(o) Investment is owned by an entity that is treated as a corporation for U.S. tax purposes which is owned by the Fund.

(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 $16,871,000 or 0.1% of net assets.

Additional information on each restricted holding is as follows:

Security

Acquisition Date

Acquisition Cost (000s)

Halcon Resources Corp.

3/1/12

$ 8,190

Legend Pictures LLC

9/23/10

$ 6,428

* 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

$ 455

Fidelity Corporate Bond 1-10 Year Central Fund

12,501

Fidelity High Income Central Fund 2

30,040

Fidelity Mortgage Backed Securities Central Fund

32,438

Fidelity Securities Lending Cash Central Fund

1,030

Total

$ 76,464

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

Fund

Value, beginning of period

Purchases

Sales Proceeds

Value,
end of
period

% ownership, end of
period

Fidelity Corporate Bond 1-10 Year Central Fund

$ 388,778

$ -

$ -

$ 394,263

58.3%

Fidelity High Income Central Fund 2

533,410

30,040

-

580,612

83.0%

Fidelity Mortgage Backed Securities Central Fund

1,480,565

372,594

49,830

1,818,004

12.2%

Total

$ 2,402,753

$ 402,634

$ 49,830

$ 2,792,879

Other Information

The following is a summary of the inputs used, as of May 31, 2012, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the tables below, please refer to the Investment Valuation section at the end of this listing.

Valuation Inputs at Reporting Date:

Description
(Amounts in thousands)

Total

Level 1

Level 2

Level 3

Investments in Securities:

Equities:

Consumer Discretionary

$ 1,279,088

$ 1,267,088

$ 2,836

$ 9,164

Consumer Staples

1,374,903

1,214,143

160,760

-

Energy

1,311,460

1,295,760

13,951

1,749

Financials

1,754,872

1,701,673

53,199

-

Health Care

1,436,489

1,436,489

-

-

Industrials

1,308,432

1,239,509

68,923

-

Information Technology

2,620,879

2,614,729

6,150

-

Materials

392,935

392,935

-

-

Telecommunication Services

234,815

234,815

-

-

Utilities

462,199

462,199

-

-

Corporate Bonds

1,599,571

-

1,599,571

-

U.S. Government and Government Agency Obligations

1,626,553

-

1,626,553

-

U.S. Government Agency - Mortgage Securities

740,012

-

740,012

-

Asset-Backed Securities

142,191

-

131,476

10,715

Collateralized Mortgage Obligations

45,712

-

43,823

1,889

Commercial Mortgage Securities

412,150

-

379,473

32,677

Municipal Securities

33,388

-

33,388

-

Foreign Government and Government Agency Obligations

7,522

-

7,522

-

Bank Notes

3,832

-

3,832

-

Fixed-Income Funds

2,792,879

2,792,879

-

-

Money Market Funds

399,045

399,045

-

-

Total Investments in Securities:

$ 19,978,927

$ 15,051,264

$ 4,871,469

$ 56,194

Description
(Amounts in thousands)

Total

Level 1

Level 2

Level 3

Derivative Instruments:

Liabilities

Futures Contracts

$ (1,858)

$ (1,858)

$ -

$ -

Swap Agreements

$ (30,066)

$ -

$ (29,526)

$ (540)

Total Derivative Instruments:

$ (31,924)

$ (1,858)

$ (29,526)

$ (540)

Other Financial Instruments:

TBA Sale Commitments

$ (63,756)

$ -

$ (63,756)

$ -

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

$ 68,520

Total Realized Gain (Loss)

(4,909)

Total Unrealized Gain (Loss)

3,055

Cost of Purchases

13

Proceeds of Sales

(15,047)

Amortization/Accretion

1,825

Transfers in to Level 3

26,867

Transfers out of Level 3

(24,130)

Ending Balance

$ 56,194

The change in unrealized gain (loss) for the period attributable to Level 3 securities held at May 31, 2012

$ (2,066)

Derivative Instruments:

Swap Agreements

Beginning Balance

$ (902)

Total Unrealized Gain (Loss)

362

Transfers in to Level 3

-

Transfers out of Level 3

-

Ending Balance

$ (540)

Realized gain (loss) on Swap Agreements for the period

$ (347)

The change in unrealized gain (loss) for the period attributable to Level 3 Swap Agreements held at May 31, 2012

$ 58

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

Income Tax Information

At May 31, 2012, the cost of investment securities for income tax purposes was $18,184,058,000. Net unrealized appreciation aggregated $1,794,869,000, of which $2,370,716,000 related to appreciated investment securities and $575,847,000 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 (ADRs), 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 these securities 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, and U.S. government and government agency obligations, pricing services utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices and are generally categorized as Level 2 in the hierarchy. For asset backed securities, collateralized mortgage obligations, commercial mortgage securities, and U.S. government agency mortgage securities, pricing services utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices and, accordingly, such securities are generally categorized as Level 2 in the hierarchy.

Swaps are marked-to-market daily based on valuations independent pricing services or dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Pricing services utilize matrix pricing which considers comparisons to interest rate curves, credit spread curves, default possibilities and recovery rates and, as a result, swaps are generally categorized as Level 2 in the hierarchy. When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing matrices which consider similar factors that would be used by independent pricing services. These are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day and are categorized as Level 1 in the hierarchy.

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

Credit Default Swap Agreements

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

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

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

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

The Fund is exposed to additional risks from investing in credit default swaps, such as liquidity risk and counterparty risk. Liquidity risk is the risk that the Fund will be unable to close out 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. On certain over-the-counter (OTC) derivatives such as credit default swaps, the Fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association (ISDA) Master Agreement on a bilateral basis with each of its counterparties. The ISDA Master Agreement gives the Fund the right to terminate all transactions traded under such agreement if there is a certain deterioration in the credit quality of the counterparty. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on OTC derivatives, the Fund receives collateral in the form of cash or securities once the Fund's net unrealized appreciation on outstanding derivatives contracts under an ISDA Master Agreement exceed certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the counterparty and the Fund's custodian bank. 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 related to OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to the Fund. The Fund may be required to pledge collateral for the benefit of the counterparties on OTC derivatives in an amount not less than the counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified.

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

The notional amount of credit default swaps approximates the maximum potential amount of future payments that the Fund could be required to make if the Fund is the seller and a credit event were to occur. The total notional amount of all credit default swaps open at period end where the Fund is the seller amounted to $31,704,000 representing 0.16% 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, 2012 

1.800346.108

PUR-QTLY-0712

Investments May 31, 2012 (Unaudited)

Showing Percentage of Net Assets

Common Stocks - 60.4%

Shares

Value (000s)

CONSUMER DISCRETIONARY - 9.4%

Auto Components - 0.2%

Delphi Automotive PLC

130,893

$ 3,800

TRW Automotive Holdings Corp. (a)

70,900

2,735

WABCO Holdings, Inc. (a)

581,600

30,104

 

36,639

Automobiles - 0.7%

Ford Motor Co.

3,902,300

41,208

General Motors Co. (a)

2,170

48

General Motors Co.:

warrants 7/10/16 (a)

101,940

1,356

warrants 7/10/19 (a)

101,940

878

Harley-Davidson, Inc.

843,900

40,659

Honda Motor Co. Ltd.

1,569,600

49,895

Tesla Motors, Inc. (a)

128,800

3,800

 

137,844

Diversified Consumer Services - 0.1%

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

562,800

14,920

Hotels, Restaurants & Leisure - 1.3%

Arcos Dorados Holdings, Inc.

1,368,000

18,495

Dunkin' Brands Group, Inc.

1,148,000

37,276

Las Vegas Sands Corp.

375,600

17,345

McDonald's Corp.

872,400

77,940

Starbucks Corp.

895,600

49,159

Station Holdco LLC (a)(p)(q)

1,194,419

1,475

Station Holdco LLC warrants 6/15/18 (a)(p)(q)

75,658

4

Vail Resorts, Inc.

917,027

39,863

 

241,557

Household Durables - 0.8%

D.R. Horton, Inc.

2,000,000

33,200

Lennar Corp. Class A

1,853,500

50,582

Toll Brothers, Inc. (a)

2,631,400

71,785

 

155,567

Internet & Catalog Retail - 0.5%

Amazon.com, Inc. (a)

389,600

82,950

Priceline.com, Inc. (a)

20,100

12,572

 

95,522

Media - 2.4%

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

6,435,900

184,839

Discovery Communications, Inc. (a)

1,338,100

67,039

Common Stocks - continued

Shares

Value (000s)

CONSUMER DISCRETIONARY - continued

Media - continued

HMH Holdings, Inc. (a)(q)

149,814

$ 4

Legend Pictures LLC (a)(p)(q)

49,141

52,538

Lions Gate Entertainment Corp. (a)(f)

2,145,800

28,582

News Corp. Class A

4,192,300

80,492

Pandora Media, Inc. (f)

529,694

5,689

Publicis Groupe SA

355,600

16,486

The Walt Disney Co.

284,190

12,990

Vertis Holdings, Inc. (a)

1,934

22

 

448,681

Multiline Retail - 0.4%

Macy's, Inc.

662,100

25,193

PPR SA

352,200

50,164

 

75,357

Specialty Retail - 1.4%

Home Depot, Inc.

2,728,400

134,619

Limited Brands, Inc.

583,300

25,875

TJX Companies, Inc.

2,179,600

92,546

 

253,040

Textiles, Apparel & Luxury Goods - 1.6%

Brunello Cucinelli SpA

1,155,400

15,536

Michael Kors Holdings Ltd.

152,600

6,009

Michael Kors Holdings Ltd. (q)

2,153,561

76,327

NIKE, Inc. Class B

1,045,600

113,113

PVH Corp.

514,900

41,707

Ralph Lauren Corp.

327,700

48,762

Tumi Holdings, Inc. (f)

67,400

1,163

 

302,617

TOTAL CONSUMER DISCRETIONARY

1,761,744

CONSUMER STAPLES - 7.7%

Beverages - 2.2%

Beam, Inc.

1,548,100

93,753

Monster Beverage Corp. (a)

663,600

48,177

The Coca-Cola Co.

3,684,900

275,373

 

417,303

Food & Staples Retailing - 1.9%

Costco Wholesale Corp.

562,600

48,603

CVS Caremark Corp.

2,323,000

104,396

Common Stocks - continued

Shares

Value (000s)

CONSUMER STAPLES - continued

Food & Staples Retailing - continued

Drogasil SA

2,119,888

$ 19,603

Wal-Mart Stores, Inc.

2,495,800

164,274

Whole Foods Market, Inc.

161,200

14,284

 

351,160

Food Products - 0.5%

Kraft Foods, Inc. Class A

2,544,800

97,389

Mead Johnson Nutrition Co. Class A

3,800

307

 

97,696

Household Products - 0.3%

Kimberly-Clark Corp.

380,300

30,177

Procter & Gamble Co.

21,800

1,358

Reckitt Benckiser Group PLC

451,600

24,032

 

55,567

Personal Products - 0.6%

Estee Lauder Companies, Inc. Class A

1,029,200

55,731

Nu Skin Enterprises, Inc. Class A

451,800

19,373

Prestige Brands Holdings, Inc. (a)

2,182,251

29,962

 

105,066

Tobacco - 2.2%

British American Tobacco PLC sponsored ADR

334,000

31,423

Japan Tobacco, Inc.

8,477

47,168

Lorillard, Inc.

751,200

92,848

Philip Morris International, Inc.

2,897,040

244,829

 

416,268

TOTAL CONSUMER STAPLES

1,443,060

ENERGY - 6.3%

Energy Equipment & Services - 1.0%

Cameron International Corp. (a)

673,700

30,781

Ensco PLC Class A

1,256,700

56,438

Noble Corp.

1,426,100

44,594

Ocean Rig UDW, Inc. (United States)

1,484,049

22,187

Schlumberger Ltd.

548,100

34,667

 

188,667

Oil, Gas & Consumable Fuels - 5.3%

Apache Corp.

294,000

23,926

Cheniere Energy, Inc. (a)

636,900

8,942

Chevron Corp.

2,936,400

288,677

Common Stocks - continued

Shares

Value (000s)

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Energen Corp.

378,600

$ 16,715

EV Energy Partners LP

575,724

29,523

Exxon Mobil Corp.

2,982,217

234,492

Gazprom OAO sponsored ADR

1,265,400

11,110

Marathon Petroleum Corp.

832,200

30,017

Occidental Petroleum Corp.

1,233,258

97,760

Phillips 66 (a)

151,100

4,538

Pioneer Natural Resources Co.

327,900

31,708

Plains Exploration & Production Co. (a)

845,100

30,246

Royal Dutch Shell PLC:

Class A sponsored ADR

1,022,220

63,562

Class B sponsored ADR

127,600

8,211

Suncor Energy, Inc.

751,000

20,381

Valero Energy Corp.

1,045,100

22,052

Williams Companies, Inc.

2,782,500

84,950

 

1,006,810

TOTAL ENERGY

1,195,477

FINANCIALS - 6.9%

Capital Markets - 0.6%

Apollo Global Management LLC Class A

1,112,300

12,981

Coronation Fund Managers Ltd.

1,396,100

4,328

Evercore Partners, Inc. Class A

1,013,500

25,044

HFF, Inc. (a)

900,200

11,775

Invesco Ltd.

978,600

21,285

Morgan Stanley

1,444,000

19,292

State Street Corp.

477,200

19,665

 

114,370

Commercial Banks - 2.3%

BB&T Corp.

824,900

24,928

CIT Group, Inc. (a)

222,600

7,611

First Republic Bank (a)

200,700

6,302

Huntington Bancshares, Inc.

2,613,300

17,091

SunTrust Banks, Inc.

1,075,900

24,660

U.S. Bancorp

4,249,400

132,199

Wells Fargo & Co.

6,917,240

221,698

 

434,489

Consumer Finance - 0.4%

American Express Co.

429,700

23,990

Common Stocks - continued

Shares

Value (000s)

FINANCIALS - continued

Consumer Finance - continued

Capital One Financial Corp.

231,000

$ 11,866

SLM Corp.

2,658,000

37,132

 

72,988

Diversified Financial Services - 1.7%

Citigroup, Inc.

5,410,240

143,425

JPMorgan Chase & Co.

3,984,523

132,087

NBH Holdings Corp. Class A (a)(h)

710,000

12,780

The NASDAQ Stock Market, Inc.

1,112,600

24,344

 

312,636

Insurance - 1.1%

ACE Ltd.

1,099,800

79,549

Berkshire Hathaway, Inc. Class B (a)

761,200

60,409

MetLife, Inc.

2,482,800

72,523

 

212,481

Real Estate Investment Trusts - 0.8%

American Tower Corp.

1,133,100

73,516

Lexington Corporate Properties Trust (f)

3,468,867

28,826

Simon Property Group, Inc.

276,400

40,775

 

143,117

TOTAL FINANCIALS

1,290,081

HEALTH CARE - 7.4%

Biotechnology - 2.6%

Achillion Pharmaceuticals, Inc. (a)(f)

2,172,600

15,599

Acorda Therapeutics, Inc. (a)

590,000

12,974

Affymax, Inc. (a)

959,900

13,573

Alexion Pharmaceuticals, Inc. (a)

288,200

26,102

AMAG Pharmaceuticals, Inc. (a)(g)

1,460,561

20,492

Amarin Corp. PLC ADR (a)(f)

418,800

4,963

Amgen, Inc.

1,789,500

124,406

Ardea Biosciences, Inc. (a)

271,200

8,665

Arena Pharmaceuticals, Inc. (a)(f)

1,366,100

9,139

Biogen Idec, Inc. (a)

767,000

100,285

BioMarin Pharmaceutical, Inc. (a)

1,040,400

37,080

Gilead Sciences, Inc. (a)

555,700

27,757

Medivation, Inc. (a)

300,000

25,269

Merrimack Pharmaceuticals, Inc.

340,294

2,338

Neurocrine Biosciences, Inc. (a)(g)

3,731,700

24,965

Common Stocks - continued

Shares

Value (000s)

HEALTH CARE - continued

Biotechnology - continued

Theravance, Inc. (a)

515,600

$ 10,668

Vertex Pharmaceuticals, Inc. (a)

480,800

28,867

 

493,142

Health Care Equipment & Supplies - 0.3%

The Cooper Companies, Inc.

713,559

60,781

Health Care Providers & Services - 2.0%

Amplifon SpA

2,343,800

11,611

Apollo Hospitals Enterprise Ltd.

250,000

2,988

Catalyst Health Solutions, Inc. (a)

229,300

19,919

CIGNA Corp.

1,269,400

55,739

Express Scripts Holding Co. (a)

1,292,858

67,474

Health Net, Inc. (a)

1,175,018

30,104

Humana, Inc.

713,600

54,512

Omnicare, Inc.

450,300

14,193

UnitedHealth Group, Inc.

2,005,600

111,852

 

368,392

Health Care Technology - 0.3%

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

10,425,300

16,159

SXC Health Solutions Corp. (a)

523,700

48,118

 

64,277

Life Sciences Tools & Services - 0.1%

Illumina, Inc. (a)

261,400

11,256

Pharmaceuticals - 2.1%

Elan Corp. PLC sponsored ADR (a)

2,128,048

29,708

Eli Lilly & Co.

988,100

40,463

Forest Laboratories, Inc. (a)

970,900

33,982

GlaxoSmithKline PLC sponsored ADR

814,700

35,936

Optimer Pharmaceuticals, Inc. (a)

1,235,000

18,451

Pfizer, Inc.

5,699,300

124,644

TherapeuticsMD, Inc. (a)(g)

5,500,000

14,905

Valeant Pharmaceuticals International, Inc. (Canada) (a)

826,311

40,378

ViroPharma, Inc. (a)

700,300

14,104

Watson Pharmaceuticals, Inc. (a)

694,400

49,504

 

402,075

TOTAL HEALTH CARE

1,399,923

Common Stocks - continued

Shares

Value (000s)

INDUSTRIALS - 5.3%

Aerospace & Defense - 1.7%

Goodrich Corp.

609,900

$ 76,707

Honeywell International, Inc.

508,800

28,320

Precision Castparts Corp.

238,000

39,558

Textron, Inc.

1,533,400

36,234

United Technologies Corp.

1,874,300

138,904

 

319,723

Air Freight & Logistics - 0.2%

United Parcel Service, Inc. Class B

536,100

40,175

Airlines - 0.1%

Copa Holdings SA Class A

217,100

18,024

Building Products - 0.2%

Armstrong World Industries, Inc.

330,400

15,393

Fortune Brands Home & Security, Inc. (a)

567,100

12,828

Masonite Worldwide Holdings

5,358

147

Masonite Worldwide Holdings:

warrants 5/20/14 (a)

25,981

16

warrants 5/20/16 (a)

19,485

21

 

28,405

Electrical Equipment - 0.4%

AMETEK, Inc.

664,935

33,719

Regal-Beloit Corp.

516,000

31,110

 

64,829

Industrial Conglomerates - 1.4%

Carlisle Companies, Inc.

455,400

23,672

Danaher Corp.

1,458,000

75,772

General Electric Co.

6,128,000

116,984

Tyco International Ltd.

901,700

47,934

 

264,362

Machinery - 0.4%

Caterpillar, Inc.

234,400

20,538

Deere & Co.

86,700

6,405

Illinois Tool Works, Inc.

719,900

40,422

Ingersoll-Rand PLC

370,500

15,305

Westport Innovations, Inc. (a)(f)

14,059

343

 

83,013

Marine - 0.0%

DryShips, Inc. (a)

3,755,900

8,301

Professional Services - 0.1%

Qualicorp SA

2,615,000

22,301

Common Stocks - continued

Shares

Value (000s)

INDUSTRIALS - continued

Road & Rail - 0.6%

Union Pacific Corp.

990,856

$ 110,381

Trading Companies & Distributors - 0.2%

Air Lease Corp. Class A (a)(f)

1,570,400

32,868

TOTAL INDUSTRIALS

992,382

INFORMATION TECHNOLOGY - 13.7%

Communications Equipment - 1.8%

Acme Packet, Inc. (a)

559,600

12,804

Cisco Systems, Inc.

4,782,500

78,098

Motorola Solutions, Inc.

2,090,600

100,516

QUALCOMM, Inc.

2,685,000

153,877

 

345,295

Computers & Peripherals - 4.1%

Apple, Inc. (a)

1,308,800

756,127

SanDisk Corp. (a)

308,400

10,085

 

766,212

Electronic Equipment & Components - 0.4%

Amphenol Corp. Class A

736,000

39,148

Arrow Electronics, Inc. (a)

740,300

25,104

E Ink Holdings, Inc. GDR (a)(h)

140,100

1,487

 

65,739

Internet Software & Services - 1.5%

Active Network, Inc.

598,100

8,397

Demand Media, Inc. (a)(f)

1,324,308

12,131

Facebook, Inc.:

Class A

1,596,500

47,304

Class B (a)(q)

881,260

23,501

Google, Inc. Class A (a)

200,200

116,288

Mail.ru Group Ltd.:

GDR (a)(h)

580,000

18,195

GDR (Reg. S) (a)

289,900

9,130

Rackspace Hosting, Inc. (a)

239,700

11,858

Yahoo!, Inc. (a)

1,672,900

25,495

 

272,299

IT Services - 2.1%

Accenture PLC Class A

1,036,600

59,190

Atos Origin SA

440,586

24,133

Cognizant Technology Solutions Corp. Class A (a)

855,900

49,856

Common Stocks - continued

Shares

Value (000s)

INFORMATION TECHNOLOGY - continued

IT Services - continued

IBM Corp.

804,300

$ 155,149

MasterCard, Inc. Class A

62,100

25,244

Redecard SA

3,871,200

59,502

Teradata Corp. (a)

447,500

29,750

 

402,824

Semiconductors & Semiconductor Equipment - 1.4%

Altera Corp.

802,600

26,815

ASML Holding NV

1,069,900

49,012

Avago Technologies Ltd.

578,500

19,148

Freescale Semiconductor Holdings I Ltd.

3,208,700

29,520

NXP Semiconductors NV (a)

1,862,100

39,309

RF Micro Devices, Inc. (a)

2,425,900

9,146

Samsung Electronics Co. Ltd.

26,459

27,143

Spansion, Inc. Class A (a)

69,672

752

Taiwan Semiconductor Manufacturing Co. Ltd. sponsored ADR

1,502,200

20,625

Texas Instruments, Inc.

1,573,600

44,816

 

266,286

Software - 2.4%

Check Point Software Technologies Ltd. (a)

190,300

9,751

Citrix Systems, Inc. (a)

770,300

56,294

Fortinet, Inc. (a)

418,506

8,893

Jive Software, Inc. (f)

296,700

4,970

Microsoft Corp.

9,639,100

281,365

QLIK Technologies, Inc. (a)

472,300

10,735

salesforce.com, Inc. (a)

413,300

57,292

Splunk, Inc.

36,800

1,198

VMware, Inc. Class A (a)

249,500

23,206

 

453,704

TOTAL INFORMATION TECHNOLOGY

2,572,359

MATERIALS - 1.8%

Chemicals - 1.3%

Ashland, Inc.

667,100

42,648

Eastman Chemical Co.

424,400

19,760

Lanxess AG

198,900

13,289

LyondellBasell Industries NV Class A

1,227,994

48,457

Monsanto Co.

618,100

47,717

Rentech Nitrogen Partners LP

44,295

1,040

Rockwood Holdings, Inc. (a)

293,800

14,220

Common Stocks - continued

Shares

Value (000s)

MATERIALS - continued

Chemicals - continued

Sherwin-Williams Co.

396,900

$ 51,454

Tronox, Inc. (a)

23,603

3,441

 

242,026

Containers & Packaging - 0.1%

Rock-Tenn Co. Class A

370,300

19,104

Metals & Mining - 0.4%

Goldcorp, Inc.

1,062,600

38,786

Newcrest Mining Ltd.

695,745

16,889

Randgold Resources Ltd. sponsored ADR

376,100

29,844

 

85,519

TOTAL MATERIALS

346,649

TELECOMMUNICATION SERVICES - 0.2%

Diversified Telecommunication Services - 0.1%

Iliad SA

174,465

22,519

Wireless Telecommunication Services - 0.1%

SBA Communications Corp. Class A (a)

171,100

8,889

TOTAL TELECOMMUNICATION SERVICES

31,408

UTILITIES - 1.7%

Electric Utilities - 0.9%

Edison International

1,078,500

48,489

FirstEnergy Corp.

1,091,900

51,090

NextEra Energy, Inc.

1,040,700

67,999

 

167,578

Independent Power Producers & Energy Traders - 0.1%

The AES Corp. (a)

2,024,300

24,474

Multi-Utilities - 0.7%

National Grid PLC

5,842,675

58,601

Sempra Energy

963,400

62,631

 

121,232

TOTAL UTILITIES

313,284

TOTAL COMMON STOCKS

(Cost $9,469,573)


11,346,367

Preferred Stocks - 0.5%

Shares

Value (000s)

Convertible Preferred Stocks - 0.2%

CONSUMER DISCRETIONARY - 0.1%

Automobiles - 0.1%

General Motors Co. 4.75%

148,900

$ 5,468

ENERGY - 0.0%

Oil, Gas & Consumable Fuels - 0.0%

Apache Corp. 6.00%

64,800

3,096

Chesapeake Energy Corp. 5.00%

18,580

1,250

 

4,346

FINANCIALS - 0.0%

Real Estate Investment Trusts - 0.0%

Health Care REIT, Inc. Series I, 6.50%

53,800

2,885

INFORMATION TECHNOLOGY - 0.0%

Internet Software & Services - 0.0%

wetpaint.com, Inc. Series C (a)(q)

497,017

994

MATERIALS - 0.0%

Metals & Mining - 0.0%

AngloGold Ashanti Holdings Finance PLC 6.00%

104,600

4,425

UTILITIES - 0.1%

Electric Utilities - 0.1%

AES Trust III 6.75%

126,300

6,248

PPL Corp. 8.75%

108,000

5,654

 

11,902

TOTAL CONVERTIBLE PREFERRED STOCKS

30,020

Nonconvertible Preferred Stocks - 0.3%

CONSUMER DISCRETIONARY - 0.2%

Automobiles - 0.2%

Volkswagen AG

212,900

34,159

FINANCIALS - 0.1%

Commercial Banks - 0.0%

U.S. Bancorp Series F, 6.50%

39,677

1,061

Consumer Finance - 0.1%

Ally Financial, Inc. 7.00% (h)

11,951

10,158

Preferred Stocks - continued

Shares

Value (000s)

Nonconvertible Preferred Stocks - continued

FINANCIALS - continued

Diversified Financial Services - 0.0%

GMAC Capital Trust I Series 2, 8.125%

377,872

$ 8,661

TOTAL FINANCIALS

19,880

TOTAL NONCONVERTIBLE PREFERRED STOCKS

54,039

TOTAL PREFERRED STOCKS

(Cost $73,535)


84,059

Investment Companies - 0.0%

 

 

 

 

2010 Swift Mandatory Common Exchange Security Trust (h)
(Cost $1,989)

180,800


1,847

Corporate Bonds - 11.8%

 

Principal Amount (000s)

 

Convertible Bonds - 0.2%

CONSUMER DISCRETIONARY - 0.0%

Media - 0.0%

Liberty Media Corp.:

3.5% 1/15/31

$ 500

378

3.5% 1/15/31 (h)

3,697

2,793

 

3,171

ENERGY - 0.0%

Oil, Gas & Consumable Fuels - 0.0%

Chesapeake Energy Corp. 2.75% 11/15/35

3,700

3,270

INDUSTRIALS - 0.1%

Building Products - 0.1%

Aspen Aerogels, Inc.:

8% 6/1/14 (q)

10,000

10,000

8% 12/6/14 (q)

2,000

2,000

 

12,000

MATERIALS - 0.1%

Construction Materials - 0.0%

Headwaters, Inc. 2.5% 2/1/14

4,920

4,545

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Convertible Bonds - continued

MATERIALS - continued

Metals & Mining - 0.1%

Ivanplats Ltd. 8% 11/10/14 pay-in-kind (m)(q)

$ 11,883

$ 12,324

TOTAL MATERIALS

16,869

TELECOMMUNICATION SERVICES - 0.0%

Diversified Telecommunication Services - 0.0%

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

2,710

1,585

TOTAL CONVERTIBLE BONDS

36,895

Nonconvertible Bonds - 11.6%

CONSUMER DISCRETIONARY - 1.5%

Auto Components - 0.0%

Delphi Corp.:

5.875% 5/15/19

1,820

1,922

6.125% 5/15/21

1,690

1,800

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

1,110

1,005

Tenneco, Inc. 6.875% 12/15/20

2,415

2,578

 

7,305

Automobiles - 0.2%

Daimler Finance North America LLC 1.65% 4/10/15 (h)

17,102

17,098

Ford Motor Co.:

6.375% 2/1/29

2,190

2,457

6.625% 10/1/28

2,510

2,956

7.45% 7/16/31

2,335

3,041

General Motors Corp.:

6.75% 5/1/28 (d)

390

3

7.125% 7/15/13 (d)

1,135

8

7.2% 1/15/11 (d)

2,855

19

7.4% 9/1/25 (d)

195

1

7.7% 4/15/16 (d)

705

5

8.25% 7/15/23 (d)

5,475

37

8.375% 7/15/33 (d)

16,800

113

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Automobiles - continued

Jaguar Holding Co. II/Jaguar Merger Sub, Inc. 9.5% 12/1/19 (h)

$ 490

$ 524

Volkswagen International Finance NV 2.375% 3/22/17 (h)

17,000

17,328

 

43,590

Distributors - 0.0%

Ferrellgas LP/Ferrellgas Finance Corp. 6.5% 5/1/21

1,745

1,579

Diversified Consumer Services - 0.0%

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

4,954

5,103

Hotels, Restaurants & Leisure - 0.2%

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

2,780

2,933

Caesars Operating Escrow LLC / Caesars Escrow Corp. 8.5% 2/15/20 (h)

6,365

6,349

Chester Downs & Marina LLC 9.25% 2/1/20 (h)

435

449

Chukchansi Economic Development Authority
9.75% 5/30/20 (h)

2,878

2,243

MCE Finance Ltd. 10.25% 5/15/18

1,695

1,907

MGM Mirage, Inc.:

5.875% 2/27/14

2,998

3,058

6.75% 4/1/13

80

82

7.5% 6/1/16

2,855

2,909

9% 3/15/20

1,770

1,938

13% 11/15/13

5,000

5,719

MTR Gaming Group, Inc. 11.5% 8/1/19 pay-in-kind

1,985

1,985

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

1,060

1,155

Pinnacle Entertainment, Inc. 7.75% 4/1/22

450

474

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

2,270

1,697

Station Casinos LLC 3.65% 6/18/18 (e)(h)

6,335

4,720

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

220

231

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

1,080

410

 

38,259

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Household Durables - 0.1%

KB Home 8% 3/15/20

$ 410

$ 398

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

7.125% 4/15/19 (h)

2,665

2,742

7.875% 8/15/19 (h)

8,325

8,804

8.5% 2/15/21 (e)(h)

1,485

1,374

9% 4/15/19 (h)

835

795

9.875% 8/15/19 (h)

980

978

Standard Pacific Corp. 8.375% 1/15/21

4,005

4,285

 

19,376

Leisure Equipment & Products - 0.0%

FGI Operating Co. LLC/FGI Finance, Inc. 7.875% 5/1/20 (h)

625

639

Media - 0.9%

AMC Networks, Inc. 7.75% 7/15/21 (h)

340

374

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

875

890

CCO Holdings LLC/CCO Holdings Capital Corp. 8.125% 4/30/20

3,485

3,834

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

630

662

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

11,727

13,134

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

1,290

503

Clear Channel Communications, Inc.:

5.5% 9/15/14

2,355

1,972

5.5% 12/15/16

1,330

642

Clear Channel Worldwide Holdings, Inc.:

7.625% 3/15/20 (h)

585

550

7.625% 3/15/20 (h)

4,105

3,900

Comcast Corp.:

4.95% 6/15/16

1,742

1,962

5.15% 3/1/20

595

695

5.7% 5/15/18

10,139

11,913

6.4% 3/1/40

6,157

7,807

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

2,632

2,727

Discovery Communications LLC:

3.7% 6/1/15

3,557

3,781

6.35% 6/1/40

3,224

3,934

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Media - continued

DISH DBS Corp. 6.75% 6/1/21

$ 3,515

$ 3,620

EchoStar Communications Corp. 6.625% 10/1/14

3,000

3,173

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

990

1,015

Lamar Media Corp.:

5.875% 2/1/22 (h)

525

528

7.875% 4/15/18

1,400

1,505

National CineMedia LLC:

6% 4/15/22 (h)

2,600

2,594

7.875% 7/15/21

1,380

1,442

NBCUniversal Media LLC:

3.65% 4/30/15

4,663

4,966

5.15% 4/30/20

4,917

5,705

6.4% 4/30/40

4,249

5,230

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

7,312

8,968

News America, Inc. 6.15% 2/15/41

7,234

8,315

Nexstar Broadcasting, Inc.:

7% 1/15/14

196

191

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

6,023

5,872

Nielsen Finance LLC/Nielsen Finance Co.:

7.75% 10/15/18

3,165

3,402

11.5% 5/1/16

1,947

2,200

11.625% 2/1/14

1,171

1,330

Radio One, Inc. 12.5% 5/24/16 pay-in-kind (m)

4,567

3,562

Satelites Mexicanos SA de CV 9.5% 5/15/17

475

494

Sheridan Group, Inc. 12.5% 4/15/14

1,775

1,491

Time Warner Cable, Inc.:

5.4% 7/2/12

2,266

2,273

5.5% 9/1/41

11,225

12,087

5.85% 5/1/17

2,500

2,908

6.2% 7/1/13

2,154

2,274

6.75% 7/1/18

1,087

1,318

Time Warner, Inc.:

3.15% 7/15/15

362

382

5.375% 10/15/41

1,539

1,671

5.875% 11/15/16

3,112

3,661

6.2% 3/15/40

2,618

3,057

6.5% 11/15/36

2,633

3,133

Unitymedia Hessen GmbH & Co. KG / Unitymedia NRW GmbH 7.5% 3/15/19 (h)

480

493

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

CONSUMER DISCRETIONARY - continued

Media - continued

UPCB Finance VI Ltd. 6.875% 1/15/22 (h)

$ 1,250

$ 1,234

Videotron Ltd. 9.125% 4/15/18

5,565

6,080

 

165,454

Specialty Retail - 0.1%

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

565

607

Claire's Stores, Inc. 9% 3/15/19 (h)

3,085

3,093

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

3,260

3,537

Sonic Automotive, Inc. 9% 3/15/18

1,000

1,080

Staples, Inc. 7.375% 10/1/12

757

773

 

9,090

TOTAL CONSUMER DISCRETIONARY

290,395

CONSUMER STAPLES - 0.5%

Beverages - 0.1%

Beam, Inc.:

1.875% 5/15/17

1,113

1,115

3.25% 5/15/22

1,319

1,326

Diageo Capital PLC 5.2% 1/30/13

3,201

3,295

FBG Finance Ltd. 5.125% 6/15/15 (h)

2,722

2,996

Fortune Brands, Inc.:

5.375% 1/15/16

1,682

1,881

5.875% 1/15/36

4,509

5,020

6.375% 6/15/14

446

491

SABMiller Holdings, Inc. 3.75% 1/15/22 (h)

4,522

4,795

 

20,919

Food & Staples Retailing - 0.1%

Grifols, Inc. 8.25% 2/1/18

1,900

2,014

Rite Aid Corp.:

7.5% 3/1/17

12,125

12,004

9.25% 3/15/20 (h)

1,330

1,277

10.375% 7/15/16

5,420

5,691

 

20,986

Food Products - 0.1%

Cargill, Inc. 6% 11/27/17 (h)

417

499

Kraft Foods, Inc.:

5.375% 2/10/20

5,528

6,539

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

CONSUMER STAPLES - continued

Food Products - continued

Kraft Foods, Inc.: - continued

6.5% 8/11/17

$ 6,561

$ 7,949

6.5% 2/9/40

1,124

1,436

6.75% 2/19/14

318

347

Post Holdings, Inc. 7.375% 2/15/22 (h)

1,280

1,302

 

18,072

Personal Products - 0.0%

Prestige Brands, Inc. 8.125% 2/1/20 (h)

220

240

Tobacco - 0.2%

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

14,772

20,320

Reynolds American, Inc.:

6.75% 6/15/17

2,746

3,308

7.25% 6/15/37

6,101

7,693

 

31,321

TOTAL CONSUMER STAPLES

91,538

ENERGY - 1.4%

Energy Equipment & Services - 0.3%

Atwood Oceanics, Inc. 6.5% 2/1/20

320

329

DCP Midstream LLC:

4.75% 9/30/21 (h)

5,340

5,791

5.35% 3/15/20 (h)

5,028

5,631

El Paso Pipeline Partners Operating Co. LLC:

4.1% 11/15/15

5,488

5,712

5% 10/1/21

2,280

2,443

6.5% 4/1/20

1,008

1,167

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

5,555

5,555

Gulfmark Offshore, Inc. 6.375% 3/15/22 (h)

365

368

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

1,420

1,466

Precision Drilling Corp.:

6.5% 12/15/21

315

317

6.625% 11/15/20

1,580

1,604

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

1,355

1,716

Transocean, Inc.:

5.05% 12/15/16

3,719

4,062

6.375% 12/15/21

4,911

5,643

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

ENERGY - continued

Energy Equipment & Services - continued

Weatherford International Ltd.:

4.95% 10/15/13

$ 1,614

$ 1,687

5.15% 3/15/13

2,110

2,174

 

45,665

Oil, Gas & Consumable Fuels - 1.1%

Alpha Natural Resources, Inc.:

6% 6/1/19

1,735

1,562

6.25% 6/1/21

1,675

1,499

Anadarko Petroleum Corp.:

5.95% 9/15/16

663

752

6.375% 9/15/17

9,475

11,084

Apache Corp. 3.25% 4/15/22

3,411

3,557

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

5,655

2,997

Calumet Specialty Products Partners LP/Calumet Finance Corp.:

9.375% 5/1/19

635

641

9.375% 5/1/19

665

672

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

1,519

1,563

Continental Resources, Inc. 5% 9/15/22 (h)

2,690

2,663

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

860

866

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

1,973

2,116

Duke Capital LLC 6.25% 2/15/13

589

608

Duke Energy Field Services:

5.375% 10/15/15 (h)

1,133

1,224

6.45% 11/3/36 (h)

3,753

4,517

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

867

977

Enbridge Energy Partners LP 4.2% 9/15/21

6,329

6,760

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

2,678

2,898

Enterprise Products Operating LP:

5.6% 10/15/14

660

726

5.65% 4/1/13

410

424

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

1,715

1,732

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

3,581

3,609

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

302

351

Kodiak Oil & Gas Corp. 8.125% 12/1/19 (h)

1,325

1,361

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

LINN Energy LLC/LINN Energy Finance Corp.:

6.25% 11/1/19 (h)

$ 3,855

$ 3,672

6.5% 5/15/19 (h)

1,820

1,752

Magnum Hunter Resources Corp. 9.75% 5/15/20 (h)

2,455

2,381

Marathon Petroleum Corp. 5.125% 3/1/21

3,001

3,334

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

1,140

1,176

Motiva Enterprises LLC:

5.75% 1/15/20 (h)

2,578

3,019

6.85% 1/15/40 (h)

2,906

3,723

Nakilat, Inc. 6.067% 12/31/33 (h)

1,839

1,995

Nexen, Inc.:

5.2% 3/10/15

842

898

5.875% 3/10/35

2,365

2,464

6.2% 7/30/19

825

975

6.4% 5/15/37

1,415

1,559

PBF Holding Co. LLC/PBF Finance Corp. 8.25% 2/15/20 (h)

4,420

4,298

Penn Virginia Resource Partners LP/Penn Virginia Finance Corp. 8.375% 6/1/20 (h)

1,025

1,025

Petrobras International Finance Co. Ltd.:

3.875% 1/27/16

4,954

5,126

5.375% 1/27/21

8,722

9,308

5.75% 1/20/20

6,953

7,574

7.875% 3/15/19

5,564

6,730

Petroleos Mexicanos:

4.875% 1/24/22 (h)

2,315

2,419

5.5% 1/21/21

5,342

5,876

6% 3/5/20

879

987

6.5% 6/2/41 (h)

7,225

8,056

Petroleum Development Corp. 12% 2/15/18

4,240

4,558

Phillips 66:

4.3% 4/1/22 (h)

5,053

5,267

5.875% 5/1/42 (h)

4,552

4,872

Plains All American Pipeline LP/PAA Finance Corp.:

3.65% 6/1/22

2,537

2,570

3.95% 9/15/15

137

147

4.25% 9/1/12

663

668

6.125% 1/15/17

1,880

2,192

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Ras Laffan Liquefied Natural Gas Co. Ltd. III:

4.5% 9/30/12 (h)

$ 2,588

$ 2,607

5.5% 9/30/14 (h)

3,880

4,181

5.832% 9/30/16 (h)

885

949

6.332% 9/30/27 (h)

5,710

6,493

6.75% 9/30/19 (h)

2,367

2,793

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

2,522

2,579

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

10,070

9,944

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

501

529

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

421

484

Spectra Energy Partners, LP:

2.95% 6/15/16

938

954

4.6% 6/15/21

1,227

1,321

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

7,256

8,651

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

2,650

2,922

Targa Resources Partners LP/Targa Resources Partners Finance Corp. 6.375% 8/1/22 (h)

760

751

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

948

1,103

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

3,383

3,552

Western Gas Partners LP 5.375% 6/1/21

5,617

6,200

 

209,793

TOTAL ENERGY

255,458

FINANCIALS - 3.9%

Capital Markets - 0.2%

BlackRock, Inc. 3.375% 6/1/22

4,835

4,899

Goldman Sachs Group, Inc.:

5.95% 1/18/18

3,697

3,863

6.15% 4/1/18

1,544

1,613

JPMorgan Chase Capital XX 6.55% 9/29/36

7,545

7,506

Lazard Group LLC:

6.85% 6/15/17

3,573

3,928

7.125% 5/15/15

1,276

1,389

Merrill Lynch & Co., Inc.:

6.11% 1/29/37

4,229

4,064

6.4% 8/28/17

3,463

3,681

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Capital Markets - continued

Morgan Stanley:

5.5% 7/28/21

$ 5,829

$ 5,462

5.625% 9/23/19

1,659

1,584

5.75% 1/25/21

2,009

1,895

7.3% 5/13/19

4,941

5,125

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

1,700

689

 

45,698

Commercial Banks - 0.7%

Bank of America NA 5.3% 3/15/17

7,585

7,725

BB&T Corp. 3.95% 3/22/22

6,213

6,504

CIT Group, Inc.:

4.75% 2/15/15 (h)

4,790

4,766

5.25% 3/15/18

3,215

3,167

5.375% 5/15/20

2,805

2,693

5.5% 2/15/19 (h)

5,285

5,140

7% 5/2/17 (h)

8,222

8,181

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

10,887

11,579

Discover Bank:

7% 4/15/20

2,816

3,294

8.7% 11/18/19

1,651

2,108

Fifth Third Bancorp:

4.5% 6/1/18

418

444

8.25% 3/1/38

3,116

4,412

Fifth Third Bank 4.75% 2/1/15

680

724

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

3,315

3,249

HBOS PLC 6.75% 5/21/18 (h)

408

374

HSBC Holdings PLC 4% 3/30/22

4,891

4,982

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

1,364

1,612

JPMorgan Chase Bank 6% 10/1/17

1,942

2,160

KeyBank NA:

5.45% 3/3/16

1,877

2,080

5.8% 7/1/14

4,250

4,584

Marshall & Ilsley Bank:

4.85% 6/16/15

2,431

2,608

5% 1/17/17

6,619

7,176

5.25% 9/4/12

1,524

1,539

Regions Bank:

6.45% 6/26/37

5,362

5,268

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Commercial Banks - continued

Regions Bank: - continued

7.5% 5/15/18

$ 2,851

$ 3,193

Regions Financial Corp.:

0.6437% 6/26/12 (m)

461

461

5.75% 6/15/15

996

1,046

7.75% 11/10/14

4,550

4,948

UnionBanCal Corp. 5.25% 12/16/13

614

647

Wachovia Bank NA 4.875% 2/1/15

1,305

1,389

Wachovia Corp.:

5.625% 10/15/16

3,151

3,533

5.75% 6/15/17

1,728

2,005

Wells Fargo & Co.:

3.5% 3/8/22

17,000

17,267

3.625% 4/15/15

3,029

3,218

3.676% 6/15/16

2,210

2,344

 

136,420

Consumer Finance - 0.7%

Ally Financial, Inc.:

5.5% 2/15/17

2,125

2,120

6.25% 12/1/17

1,800

1,845

Capital One Financial Corp. 2.15% 3/23/15

16,867

16,941

Discover Financial Services:

5.2% 4/27/22

1,155

1,227

6.45% 6/12/17

9,507

10,824

Ford Motor Credit Co. LLC:

4.25% 2/3/17

8,050

8,581

5.75% 2/1/21

4,470

5,057

5.875% 8/2/21

4,160

4,725

8.125% 1/15/20

5,000

6,350

General Electric Capital Corp. 5.625% 9/15/17

17,812

20,356

General Motors Acceptance Corp. 8% 11/1/31

2,400

2,682

GMAC LLC:

6.75% 12/1/14

2,355

2,437

8% 12/31/18

5,795

6,259

8% 11/1/31

19,161

21,604

HSBC Finance Corp. 5.9% 6/19/12

789

790

HSBC USA, Inc. 2.375% 2/13/15

6,639

6,661

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Consumer Finance - continued

SLM Corp.:

8% 3/25/20

$ 510

$ 523

8.45% 6/15/18

2,250

2,374

 

121,356

Diversified Financial Services - 0.9%

Bank of America Corp.:

3.875% 3/22/17

6,857

6,837

5.65% 5/1/18

3,745

3,903

5.7% 1/24/22

10,579

11,247

5.75% 12/1/17

6,120

6,370

5.875% 2/7/42

6,365

6,516

7.375% 5/15/14

26

28

BP Capital Markets PLC:

3.625% 5/8/14

3,296

3,450

4.5% 10/1/20

888

993

4.742% 3/11/21

4,210

4,792

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

6,880

7,362

Capital One Capital V 10.25% 8/15/39

4,185

4,331

CEVA Group PLC 8.375% 12/1/17 (h)

6,295

6,138

Citigroup, Inc.:

3.953% 6/15/16

5,674

5,767

4.75% 5/19/15

9,415

9,810

6.125% 5/15/18

1,423

1,549

6.5% 8/19/13

14,217

14,925

Everest Acquisition LLC / Everest Acquisition Finance, Inc.:

6.875% 5/1/19 (h)

1,540

1,579

9.375% 5/1/20 (h)

10,740

10,955

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

6,765

7,205

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

7,625

8,006

JPMorgan Chase & Co.:

3.15% 7/5/16

7,615

7,767

4.35% 8/15/21

6,611

6,906

4.5% 1/24/22

9,908

10,578

Landry's Acquisition Co. 9.375% 5/1/20 (h)

875

879

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

5,023

5,023

Offshore Group Investment Ltd. 11.5% 8/1/15

5,745

6,147

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Diversified Financial Services - continued

TECO Finance, Inc.:

4% 3/15/16

$ 1,242

$ 1,334

5.15% 3/15/20

1,894

2,179

TransUnion Holding Co., Inc. 9.625% 6/15/18 pay-in-kind (h)(m)

810

840

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

2,150

2,080

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

7,373

5,115

WM Finance Corp. 9.5% 6/15/16 (h)

515

548

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

961

960

 

172,119

Insurance - 0.6%

American International Group, Inc.:

3.8% 3/22/17

11,330

11,502

4.875% 9/15/16

3,956

4,173

Aon Corp.:

3.125% 5/27/16

3,111

3,234

3.5% 9/30/15

2,415

2,525

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

329

351

Berkshire Hathaway Finance Corp. 4.4% 5/15/42

1,792

1,808

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

1,381

1,374

Hartford Financial Services Group, Inc.:

5.125% 4/15/22

9,707

9,898

5.375% 3/15/17

265

282

6.625% 4/15/42

8,421

8,778

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

3,710

3,747

Liberty Mutual Group, Inc.:

5% 6/1/21 (h)

6,063

6,253

6.5% 3/15/35 (h)

1,064

1,130

Marsh & McLennan Companies, Inc. 4.8% 7/15/21

3,209

3,545

Massachusetts Mutual Life Insurance Co. 5.375% 12/1/41 (h)

2,993

3,341

MetLife, Inc.:

5% 6/15/15

686

753

6.75% 6/1/16

3,874

4,560

Metropolitan Life Global Funding I:

5.125% 4/10/13 (h)

329

341

5.125% 6/10/14 (h)

3,462

3,727

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Insurance - continued

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

$ 2,041

$ 2,114

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

3,585

4,504

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

2,499

3,253

Pacific LifeCorp 6% 2/10/20 (h)

4,423

4,935

Prudential Financial, Inc.:

3.875% 1/14/15

2,500

2,616

4.5% 11/16/21

3,195

3,376

5.15% 1/15/13

2,369

2,428

6.2% 11/15/40

2,076

2,310

7.375% 6/15/19

1,880

2,295

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

4,684

4,801

Unum Group:

5.625% 9/15/20

2,719

2,973

7.125% 9/30/16

803

922

USI Holdings Corp. 4.3419% 11/15/14 (h)(m)

2,920

2,665

 

110,514

Real Estate Investment Trusts - 0.3%

Alexandria Real Estate Equities, Inc. 4.6% 4/1/22

1,614

1,662

AvalonBay Communities, Inc. 4.95% 3/15/13

216

222

Boston Properties, Inc. 3.85% 2/1/23 (j)

3,642

3,634

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

903

1,001

Camden Property Trust:

5.375% 12/15/13

2,150

2,265

5.875% 11/30/12

395

404

Developers Diversified Realty Corp.:

4.75% 4/15/18

4,456

4,595

5.375% 10/15/12

2,926

2,945

7.5% 4/1/17

3,456

3,970

Duke Realty LP:

4.625% 5/15/13

741

759

5.875% 8/15/12

71

72

Equity One, Inc.:

5.375% 10/15/15

672

715

6% 9/15/17

522

570

6.25% 12/15/14

924

994

6.25% 1/15/17

291

316

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Real Estate Investment Trusts - continued

Federal Realty Investment Trust:

5.4% 12/1/13

$ 257

$ 270

5.9% 4/1/20

1,287

1,467

6% 7/15/12

2,719

2,732

6.2% 1/15/17

365

412

Health Care REIT, Inc. 4.125% 4/1/19

11,300

11,500

HRPT Properties Trust:

5.75% 11/1/15

1,241

1,295

6.25% 6/15/17

726

780

6.65% 1/15/18

490

532

Omega Healthcare Investors, Inc.:

5.875% 3/15/24 (h)

3,200

3,168

6.75% 10/15/22

1,885

1,993

Washington (REIT) 5.25% 1/15/14

440

458

 

48,731

Real Estate Management & Development - 0.5%

AMB Property LP 5.9% 8/15/13

1,520

1,579

BioMed Realty LP:

3.85% 4/15/16

5,000

5,129

6.125% 4/15/20

1,703

1,945

Brandywine Operating Partnership LP 5.7% 5/1/17

119

127

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

900

954

Digital Realty Trust LP:

4.5% 7/15/15

2,465

2,589

5.25% 3/15/21

2,876

3,069

Duke Realty LP:

5.4% 8/15/14

596

633

5.5% 3/1/16

2,930

3,173

6.75% 3/15/20

517

614

8.25% 8/15/19

1,710

2,122

ERP Operating LP:

4.625% 12/15/21

10,720

11,695

4.75% 7/15/20

3,638

4,022

5.5% 10/1/12

279

283

5.75% 6/15/17

1,446

1,673

Liberty Property LP:

4.75% 10/1/20

5,547

5,904

5.125% 3/2/15

951

1,012

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

FINANCIALS - continued

Real Estate Management & Development - continued

Liberty Property LP: - continued

5.5% 12/15/16

$ 1,396

$ 1,540

Mack-Cali Realty LP:

4.5% 4/18/22

1,598

1,660

7.75% 8/15/19

957

1,175

Post Apartment Homes LP 6.3% 6/1/13

2,240

2,330

Prime Property Funding, Inc.:

5.125% 6/1/15 (h)

1,703

1,740

5.5% 1/15/14 (h)

644

658

5.7% 4/15/17 (h)

1,572

1,622

Realogy Corp.:

7.625% 1/15/20 (h)

1,185

1,209

7.875% 2/15/19 (h)

1,885

1,786

9% 1/15/20 (h)

1,170

1,170

11.5% 4/15/17

4,960

4,377

Regency Centers LP:

4.95% 4/15/14

360

375

5.25% 8/1/15

1,257

1,347

5.875% 6/15/17

639

720

Simon Property Group LP:

2.15% 9/15/17

9,091

9,063

2.8% 1/30/17

1,223

1,259

4.125% 12/1/21

3,422

3,717

4.2% 2/1/15

1,785

1,903

6.75% 5/15/14

4,302

4,690

Tanger Properties LP:

6.125% 6/1/20

6,753

7,791

6.15% 11/15/15

873

971

 

97,626

TOTAL FINANCIALS

732,464

HEALTH CARE - 0.7%

Biotechnology - 0.1%

Amgen, Inc. 5.15% 11/15/41

14,179

14,667

Celgene Corp. 2.45% 10/15/15

838

857

 

15,524

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

HEALTH CARE - continued

Health Care Equipment & Supplies - 0.0%

Aviv Healthcare Properties LP/Aviv Healthcare Capital Corp.:

7.75% 2/15/19

$ 1,235

$ 1,277

7.75% 2/15/19 (h)

1,710

1,768

Teleflex, Inc. 6.875% 6/1/19

1,665

1,752

 

4,797

Health Care Providers & Services - 0.6%

Aristotle Holding, Inc.:

4.75% 11/15/21 (h)

9,101

10,040

6.125% 11/15/41 (h)

4,534

5,495

Coventry Health Care, Inc.:

5.95% 3/15/17

1,030

1,181

6.3% 8/15/14

2,132

2,327

DaVita, Inc. 6.625% 11/1/20

1,555

1,567

Express Scripts, Inc.:

3.125% 5/15/16

4,847

5,051

6.25% 6/15/14

1,491

1,632

Fresenius Medical Care US Finance II, Inc. 6.5% 9/15/18 (h)

665

693

HCA Holdings, Inc. 7.75% 5/15/21

13,495

13,900

HCA, Inc.:

5.875% 3/15/22

5,645

5,617

6.5% 2/15/20

10,450

10,999

7.5% 2/15/22

3,250

3,421

7.875% 2/15/20

4,825

5,289

9.875% 2/15/17

551

601

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

6,465

6,109

Medco Health Solutions, Inc.:

2.75% 9/15/15

1,608

1,659

4.125% 9/15/20

3,728

4,019

Multiplan, Inc. 9.875% 9/1/18 (h)

3,385

3,554

Rotech Healthcare, Inc. 10.5% 3/15/18

960

518

Rural/Metro Corp. 10.125% 7/15/19 (h)

995

915

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

655

694

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

4,790

4,778

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

HEALTH CARE - continued

Health Care Providers & Services - continued

Tenet Healthcare Corp.:

8.875% 7/1/19

$ 4,610

$ 5,106

9.875% 7/1/14

4,690

5,100

10% 5/1/18

5,002

5,677

Vanguard Health Holding Co. II LLC / Vanguard Holding Co. II, Inc.:

7.75% 2/1/19

1,495

1,454

7.75% 2/1/19 (h)

3,155

3,068

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

97

67

 

110,531

Health Care Technology - 0.0%

Emdeon, Inc. 11% 12/31/19 (h)

1,760

1,954

Pharmaceuticals - 0.0%

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

984

1,049

TOTAL HEALTH CARE

133,855

INDUSTRIALS - 0.8%

Aerospace & Defense - 0.1%

BAE Systems Holdings, Inc.:

4.95% 6/1/14 (h)

781

824

6.375% 6/1/19 (h)

3,650

4,303

United Technologies Corp.:

3.1% 6/1/22

5,651

5,873

4.5% 6/1/42

5,651

6,073

 

17,073

Airlines - 0.1%

Continental Airlines, Inc.:

pass-thru trust certificates:

8.388% 5/1/22

60

61

9.798% 4/1/21

3,056

3,292

6.648% 3/15/19

2,077

2,205

6.9% 7/2/19

638

681

7.339% 4/19/14

894

903

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

770

809

U.S. Airways pass-thru trust certificates:

6.85% 1/30/18

1,325

1,378

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

INDUSTRIALS - continued

Airlines - continued

U.S. Airways pass-thru trust certificates: - continued

8.36% 1/20/19

$ 1,071

$ 1,125

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

888

915

 

11,369

Building Products - 0.0%

HD Supply, Inc.:

8.125% 4/15/19 (h)

2,870

3,006

11% 4/15/20 (h)

3,050

3,180

USG Corp. 7.875% 3/30/20 (h)

905

919

 

7,105

Commercial Services & Supplies - 0.3%

ADS Tactical, Inc. 11% 4/1/18 (h)

270

271

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

2,045

2,091

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

1,015

1,086

Covanta Holding Corp.:

6.375% 10/1/22

1,290

1,325

7.25% 12/1/20

1,920

2,084

International Lease Finance Corp.:

4.875% 4/1/15

1,580

1,556

5.625% 9/20/13

5,290

5,328

5.65% 6/1/14

4,439

4,494

5.75% 5/15/16

1,840

1,840

5.875% 5/1/13

3,460

3,512

5.875% 4/1/19

4,700

4,653

6.25% 5/15/19

3,035

3,035

6.625% 11/15/13

8,252

8,438

7.125% 9/1/18 (h)

7,560

8,297

8.25% 12/15/20

3,190

3,557

8.625% 9/15/15

4,640

5,058

WP Rocket Merger Sub, Inc. 10.125% 7/15/19 (h)

1,200

1,128

 

57,753

Electrical Equipment - 0.0%

Anixter International, Inc. 5.625% 5/1/19

705

714

Industrial Conglomerates - 0.0%

Sequa Corp. 11.75% 12/1/15 (h)

1,060

1,125

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

INDUSTRIALS - continued

Machinery - 0.0%

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

$ 920

$ 966

Marine - 0.0%

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

1,035

973

Navios Maritime Holdings, Inc.:

8.125% 2/15/19

1,725

1,535

8.875% 11/1/17

1,420

1,448

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

505

455

 

4,411

Road & Rail - 0.2%

Burlington Northern Santa Fe LLC:

3.05% 3/15/22

10,799

10,960

4.4% 3/15/42

10,410

10,466

5.05% 3/1/41

7,178

7,976

NESCO LLC/NESCO Holdings Corp. 11.75% 4/15/17 (h)

965

975

Norfolk Southern Corp. 3% 4/1/22

11,347

11,555

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

1,715

1,835

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

3,725

1,918

 

45,685

Trading Companies & Distributors - 0.1%

Aircastle Ltd.:

7.625% 4/15/20 (h)

845

862

9.75% 8/1/18

790

861

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

6,686

6,937

 

8,660

TOTAL INDUSTRIALS

154,861

INFORMATION TECHNOLOGY - 0.4%

Communications Equipment - 0.1%

Avaya, Inc.:

7% 4/1/19 (h)

2,295

2,048

10.125% 11/1/15 pay-in-kind (m)

4,428

3,675

Hughes Satellite Systems Corp. 6.5% 6/15/19

7,595

7,709

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

INFORMATION TECHNOLOGY - continued

Communications Equipment - continued

Lucent Technologies, Inc.:

6.45% 3/15/29

$ 12,541

$ 8,622

6.5% 1/15/28

1,110

758

 

22,812

Electronic Equipment & Components - 0.1%

Reddy Ice Corp. 11.25% 3/15/15

3,895

3,583

Tyco Electronics Group SA:

5.95% 1/15/14

2,947

3,160

6% 10/1/12

3,594

3,656

6.55% 10/1/17

815

978

 

11,377

IT Services - 0.1%

Audatex North America, Inc.:

6.75% 6/15/18 (h)

1,565

1,612

6.75% 6/15/18 (h)

1,555

1,602

Ceridian Corp. 11.25% 11/15/15

2,730

2,484

First Data Corp. 7.375% 6/15/19 (h)

4,380

4,380

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

12,355

12,633

 

22,711

Office Electronics - 0.0%

Xerox Corp.:

1.8737% 9/13/13 (m)

8,470

8,530

4.25% 2/15/15

503

534

4.5% 5/15/21

2,031

2,096

 

11,160

Semiconductors & Semiconductor Equipment - 0.1%

Freescale Semiconductor, Inc. 10.125% 3/15/18 (h)

6,887

7,421

NXP BV/NXP Funding LLC:

3.2167% 10/15/13 (m)

85

85

9.75% 8/1/18 (h)

1,480

1,669

Spansion LLC:

7.875% 11/15/17

1,150

1,104

11.25% 1/15/16 (d)(h)

905

50

Viasystems, Inc. 7.875% 5/1/19 (h)

2,570

2,506

 

12,835

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

INFORMATION TECHNOLOGY - continued

Software - 0.0%

Lawson Software, Inc. 9.375% 4/1/19 (h)

$ 755

$ 774

TOTAL INFORMATION TECHNOLOGY

81,669

MATERIALS - 0.5%

Chemicals - 0.1%

Dow Chemical Co.:

4.125% 11/15/21

5,119

5,377

4.25% 11/15/20

2,780

2,958

5.25% 11/15/41

1,847

1,992

7.6% 5/15/14

7,168

8,011

INEOS Finance PLC 7.5% 5/1/20 (h)

995

985

INEOS Group Holdings PLC 8.5% 2/15/16 (h)

3,470

3,123

Kinove German Bondco GmbH 9.625% 6/15/18 (h)

1,175

1,201

 

23,647

Construction Materials - 0.0%

CEMEX SA de CV 5.4697% 9/30/15 (h)(m)

2,815

2,336

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

1,699

1,871

 

4,207

Containers & Packaging - 0.0%

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

1,738

1,564

Ardagh Packaging Finance PLC:

7.375% 10/15/17 (h)

200

211

9.125% 10/15/20 (h)

65

67

Ardagh Packaging Finance PLC / Ardagh MP Holdings USA, Inc. 9.125% 10/15/20 (h)

690

700

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

2,040

2,162

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

350

388

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

2,340

2,381

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

375

353

Tekni-Plex, Inc. 9.75% 6/1/19 (h)

1,165

1,153

 

8,979

Metals & Mining - 0.3%

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

1,181

1,341

Aperam:

7.375% 4/1/16 (h)

460

423

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

MATERIALS - continued

Metals & Mining - continued

Aperam: - continued

7.75% 4/1/18 (h)

$ 375

$ 338

ArcelorMittal SA 3.75% 3/1/16

510

507

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

830

859

Calcipar SA 6.875% 5/1/18 (h)

720

720

Corporacion Nacional del Cobre de Chile (Codelco):

3.875% 11/3/21 (h)

5,672

5,921

6.375% 11/30/12 (h)

1,179

1,206

Edgen Murray Corp. 12.25% 1/15/15

7,385

7,477

FMG Resources (August 2006) Pty Ltd.:

6% 4/1/17 (h)

1,770

1,690

6.375% 2/1/16 (h)

8,300

8,113

6.875% 4/1/22 (h)

1,770

1,695

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

655

662

MRC Global, Inc. 9.5% 12/15/16

4,520

4,836

New Gold, Inc. 7% 4/15/20 (h)

345

353

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

1,335

1,388

Severstal Columbus LLC 10.25% 2/15/18

2,070

2,174

Vale Overseas Ltd.:

4.375% 1/11/22

5,000

5,002

6.25% 1/23/17

2,152

2,426

 

47,131

Paper & Forest Products - 0.1%

AbitibiBowater, Inc. 10.25% 10/15/18

5,290

5,991

Verso Paper Holdings LLC/Verso Paper, Inc.:

11.75% 1/15/19 (h)

2,345

2,345

11.75% 1/15/19 (h)

2,615

1,987

 

10,323

TOTAL MATERIALS

94,287

TELECOMMUNICATION SERVICES - 0.8%

Diversified Telecommunication Services - 0.4%

AT&T, Inc.:

6.3% 1/15/38

5,000

6,204

6.8% 5/15/36

8,428

10,916

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

1,291

1,670

Broadview Networks Holdings, Inc. 11.375% 9/1/12

3,815

2,976

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

TELECOMMUNICATION SERVICES - continued

Diversified Telecommunication Services - continued

CenturyLink, Inc.:

6.15% 9/15/19

$ 2,344

$ 2,460

6.45% 6/15/21

3,391

3,515

7.6% 9/15/39

707

674

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

2,617

2,283

Eileme 1 AB 14.25% 8/15/20 (h)

1,995

1,830

Eileme 2 AB 11.625% 1/31/20 (h)

2,095

2,043

Embarq Corp. 7.995% 6/1/36

2,621

2,691

Intelsat Ltd. 11.25% 6/15/16

3,590

3,747

Sprint Capital Corp. 6.9% 5/1/19

14,150

12,311

Telefonica Emisiones SAU:

5.134% 4/27/20

713

631

5.462% 2/16/21

3,562

3,184

6.421% 6/20/16

684

672

Verizon Communications, Inc.:

6.1% 4/15/18

1,909

2,321

6.25% 4/1/37

3,729

4,740

Wind Acquisition Finance SA:

7.25% 2/15/18 (h)

1,860

1,590

7.25% 2/15/18 (h)

2,780

2,405

11.75% 7/15/17 (h)

2,280

1,938

 

70,801

Wireless Telecommunication Services - 0.4%

America Movil SAB de CV:

2.375% 9/8/16

7,602

7,674

3.625% 3/30/15

999

1,059

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

4,475

3,882

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

2,955

3,214

Digicel Group Ltd.:

7% 2/15/20 (h)

275

265

8.875% 1/15/15 (h)

6,915

6,811

12% 4/1/14 (h)

3,990

4,419

DIRECTV Holdings LLC/DIRECTV Financing, Inc.:

5.15% 3/15/42

2,472

2,469

5.875% 10/1/19

6,223

7,183

6.35% 3/15/40

1,699

1,949

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

TELECOMMUNICATION SERVICES - continued

Wireless Telecommunication Services - continued

Intelsat Jackson Holdings SA:

7.25% 4/1/19

$ 7,260

$ 7,251

7.5% 4/1/21

5,500

5,500

9.5% 6/15/16

4,745

4,906

Nextel Communications, Inc.:

5.95% 3/15/14

285

284

6.875% 10/31/13

7,590

7,590

NII Capital Corp. 7.625% 4/1/21

2,609

2,179

Sprint Nextel Corp. 9% 11/15/18 (h)

6,595

7,123

Vodafone Group PLC 5% 12/16/13

2,129

2,261

 

76,019

TOTAL TELECOMMUNICATION SERVICES

146,820

UTILITIES - 1.1%

Electric Utilities - 0.4%

Ameren Illinois Co. 6.125% 11/15/17

243

285

AmerenUE 6.4% 6/15/17

2,769

3,355

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

3,812

4,049

Duke Capital LLC 5.668% 8/15/14

1,905

2,063

Duquesne Light Holdings, Inc.:

5.9% 12/1/21 (h)

3,820

4,270

6.4% 9/15/20 (h)

7,884

8,958

Edison International 3.75% 9/15/17

3,169

3,354

Edison Mission Energy 7% 5/15/17

510

273

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

282

287

FirstEnergy Corp. 7.375% 11/15/31

6,718

8,572

FirstEnergy Solutions Corp.:

4.8% 2/15/15

1,266

1,355

6.05% 8/15/21

4,871

5,446

InterGen NV 9% 6/30/17 (h)

3,690

3,708

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

3,670

3,982

LG&E and KU Energy LLC:

2.125% 11/15/15

3,576

3,579

3.75% 11/15/20

704

734

Mirant Americas Generation LLC:

8.5% 10/1/21

6,695

5,724

9.125% 5/1/31

1,745

1,475

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

UTILITIES - continued

Electric Utilities - continued

Nevada Power Co.:

6.5% 5/15/18

$ 5,100

$ 6,280

6.5% 8/1/18

531

658

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

3,645

3,991

Pacific Gas & Electric Co. 3.25% 9/15/21

878

928

Pennsylvania Electric Co. 6.05% 9/1/17

450

518

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

3,363

3,460

Progress Energy, Inc. 6% 12/1/39

3,060

3,838

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

527

555

Tampa Electric Co. 4.1% 6/15/42

982

979

 

82,676

Gas Utilities - 0.0%

AmeriGas Finance LLC/AmeriGas Finance Corp.:

6.75% 5/20/20

830

813

7% 5/20/22

1,785

1,749

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

260

300

Southern Natural Gas Co. / Southern Natural Issuing Corp. 4.4% 6/15/21

1,660

1,783

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

950

945

 

5,590

Independent Power Producers & Energy Traders - 0.4%

Atlantic Power Corp. 9% 11/15/18 (h)

1,655

1,680

Calpine Corp. 7.875% 1/15/23 (h)

12,985

13,732

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

8,915

9,561

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

10% 12/1/20

3,174

3,420

11% 10/1/21

6,978

6,769

11.75% 3/1/22 (h)

20,920

21,338

GenOn Energy, Inc.:

9.5% 10/15/18

520

484

9.875% 10/15/20

1,743

1,612

PSEG Power LLC 2.75% 9/15/16

1,379

1,426

The AES Corp.:

7.375% 7/1/21 (h)

1,580

1,706

7.75% 10/15/15

4,660

5,173

Corporate Bonds - continued

 

Principal Amount (000s)

Value (000s)

Nonconvertible Bonds - continued

UTILITIES - continued

Independent Power Producers & Energy Traders - continued

TXU Corp.:

6.5% 11/15/24

$ 3,915

$ 1,820

6.55% 11/15/34

2,965

1,319

 

70,040

Multi-Utilities - 0.3%

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

1,866

2,418

Dominion Resources, Inc.:

2.7697% 9/30/66 (m)

13,469

11,980

7.5% 6/30/66 (m)

1,102

1,168

MidAmerican Energy Holdings, Co.:

5.875% 10/1/12

2,521

2,563

6.5% 9/15/37

1,418

1,897

National Grid PLC 6.3% 8/1/16

376

436

NiSource Finance Corp.:

4.45% 12/1/21

2,313

2,444

5.25% 9/15/17

497

556

5.4% 7/15/14

1,249

1,354

5.45% 9/15/20

598

680

5.8% 2/1/42

3,125

3,560

5.95% 6/15/41

5,667

6,579

6.4% 3/15/18

1,230

1,449

6.8% 1/15/19

2,710

3,274

Sempra Energy 2.3% 4/1/17

5,903

6,063

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

2,776

2,845

 

49,266

TOTAL UTILITIES

207,572

TOTAL NONCONVERTIBLE BONDS

2,188,919

TOTAL CORPORATE BONDS

(Cost $2,099,056)


2,225,814

U.S. Government and Government Agency Obligations - 7.6%

 

U.S. Government Agency Obligations - 0.2%

Tennessee Valley Authority 3.875% 2/15/21

28,100

32,773

U.S. Government and Government Agency Obligations - continued

 

Principal Amount (000s)

Value (000s)

U.S. Treasury Inflation Protected Obligations - 0.6%

U.S. Treasury Inflation-Indexed Bonds:

0.75% 2/15/42

$ 55,758

$ 59,906

2.125% 2/15/40

15,778

22,880

2.125% 2/15/41

18,751

27,333

TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS

110,119

U.S. Treasury Obligations - 6.8%

U.S. Treasury Bonds:

3% 5/15/42

35,819

38,393

3.125% 11/15/41

25,387

27,878

3.125% 2/15/42

62,004

68,069

4.375% 5/15/41

105,786

144,266

U.S. Treasury Notes:

0.375% 4/15/15

413,934

414,290

0.625% 7/15/14 (k)

96,505

97,176

0.875% 4/30/17

485,652

491,002

TOTAL U.S. TREASURY OBLIGATIONS

1,281,074

TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $1,343,986)


1,423,966

U.S. Government Agency - Mortgage Securities - 3.5%

 

Fannie Mae - 2.0%

2.303% 6/1/36 (m)

147

157

2.633% 7/1/37 (m)

448

480

3% 10/1/26 to 6/1/27

16,953

17,766

3% 2/1/27

947

992

3% 6/1/27 (j)

10,200

10,681

3% 6/1/27 (j)

1,900

1,990

3.5% 1/1/26 to 5/1/42

14,174

14,946

3.5% 6/1/42 (j)

9,500

9,978

3.5% 6/1/42 (j)

6,000

6,302

3.5% 6/1/42 (j)

6,000

6,302

3.5% 6/1/42 (j)

2,000

2,101

4% 4/1/24 to 4/1/42

55,071

59,063

4% 9/1/41

162

174

4% 10/1/41

5,601

6,021

4% 6/1/42 (j)

9,000

9,588

U.S. Government Agency - Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Fannie Mae - continued

4% 7/1/42 (j)

$ 9,000

$ 9,568

4.5% 6/1/18 to 9/1/41

52,823

57,175

4.5% 6/13/42 (j)

4,000

4,292

4.5% 6/13/42 (j)

4,000

4,292

4.5% 6/13/42 (j)

4,600

4,936

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

33,432

36,293

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

54,486

59,646

6% 6/1/35 to 4/1/40

44,811

49,435

TOTAL FANNIE MAE

372,178

Freddie Mac - 0.9%

3.342% 10/1/35 (m)

208

223

3.5% 4/1/32 to 4/1/42

9,109

9,621

4% 6/1/24 to 4/1/42

21,882

23,414

4% 6/1/42 (j)

18,000

19,108

4.5% 5/1/39 to 10/1/41

47,818

51,441

4.5% 6/1/42 (j)

9,200

9,827

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

29,516

31,869

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

16,738

18,177

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

1,063

1,171

6.5% 3/1/36

3,470

3,923

TOTAL FREDDIE MAC

168,774

Ginnie Mae - 0.6%

3.5% 11/15/41 to 3/15/42

13,183

14,096

4% 1/15/25 to 12/15/41

21,075

22,983

4.5% 5/15/39 to 4/15/41

43,178

47,538

5% 3/15/39 to 9/15/41

22,165

24,651

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

1,915

2,131

6% 2/15/34 to 9/20/38

9,985

11,230

TOTAL GINNIE MAE

122,629

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $650,978)


663,581

Asset-Backed Securities - 0.6%

 

Principal Amount (000s)

Value (000s)

Accredited Mortgage Loan Trust Series 2005-1 Class M1, 0.7088% 4/25/35 (m)

$ 837

$ 442

ACE Securities Corp. Home Equity Loan Trust:

Series 2004-HE1 Class M2, 1.8888% 3/25/34 (m)

305

249

Series 2005-HE2 Class M2, 0.6888% 4/25/35 (m)

75

73

Advanta Business Card Master Trust Series 2006-C1 Class C1, 0.6758% 10/20/14 (m)

472

5

Ally Auto Receivables Trust Series 2012-2 Class A3, 0.74% 4/15/16

15,680

15,667

Ally Master Owner Trust:

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

4,540

4,621

Series 2011-3 Class A2, 1.81% 5/15/16

4,060

4,113

Series 2012-2 Class A, 0.7413% 3/15/16 (m)

14,120

14,120

AmeriCredit Automobile Receivables Trust Series 2012-2 Class A3, 1.05% 10/11/16

3,480

3,478

Ameriquest Mortgage Securities, Inc. pass-thru certificates:

Series 2003-10 Class M1, 0.9388% 12/25/33 (m)

61

47

Series 2004-R2 Class M3, 0.7888% 4/25/34 (m)

101

30

Series 2005-R2 Class M1, 0.6888% 4/25/35 (m)

1,567

1,384

Argent Securities, Inc. pass-thru certificates:

Series 2003-W7 Class A2, 1.0188% 3/25/34 (m)

36

26

Series 2004-W11 Class M2, 0.9388% 11/25/34 (m)

426

301

Series 2004-W7 Class M1, 0.7888% 5/25/34 (m)

1,108

794

Series 2006-W4 Class A2C, 0.3988% 5/25/36 (m)

999

237

Asset Backed Securities Corp. Home Equity Loan Trust:

Series 2004-HE2 Class M1, 1.0638% 4/25/34 (m)

1,844

1,418

Series 2006-HE2 Class M1, 0.6088% 3/25/36 (m)

63

1

Axon Financial Funding Ltd. Series 2007-1 Class A1, 1.0682% 4/4/17 (d)(h)(m)

4,820

0

Capital Auto Receivables Asset Trust Series 2008-2 Class B, 6.46% 12/15/14 (h)

2,500

2,583

Capital Trust Ltd. Series 2004-1:

Class A2, 0.6898% 7/20/39 (h)(m)

97

77

Class B, 0.9898% 7/20/39 (h)(m)

200

88

Class C, 1.3398% 7/20/39 (h)(m)

258

5

Carrington Mortgage Loan Trust Series 2007-RFC1 Class A3, 0.3788% 12/25/36 (m)

1,368

495

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

9,250

9,339

Citigroup Mortgage Loan Trust Series 2005-HE4 Class A2C, 0.5088% 10/25/35 (m)

625

619

Countrywide Asset-Backed Certificates Trust:

Series 2007-4 Class A1A, 0.3588% 9/25/37 (m)

141

138

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

Countrywide Asset-Backed Certificates Trust: - continued

Series 2007-5 Class 2A1, 0.3388% 9/25/47 (m)

$ 314

$ 313

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

251

0

Countrywide Home Loans, Inc.:

Series 2004-3 Class M4, 1.2088% 4/25/34 (m)

121

44

Series 2004-4 Class M2, 1.0338% 6/25/34 (m)

446

201

Series 2005-3 Class MV1, 0.6588% 8/25/35 (m)

11

11

Fannie Mae Series 2004-T5 Class AB3, 0.6889% 5/28/35 (m)

30

18

Fieldstone Mortgage Investment Corp. Series 2004-3 Class M5, 2.4138% 8/25/34 (m)

221

109

First Franklin Mortgage Loan Trust:

Series 2004-FF2 Class M3, 1.0638% 3/25/34 (m)

17

8

Series 2006-FF14 Class A2, 0.2988% 10/25/36 (m)

445

438

Ford Credit Auto Owner Trust Series 2012-B Class A4, 1.43% 9/15/17

13,610

13,628

Ford Credit Automobile Lease Trust Series 2012-A Class A4, 1.03% 4/15/15

7,710

7,705

Ford Credit Floorplan Master Owner Trust Series 2010-5 Class A1, 1.5% 9/15/15

4,990

5,026

Fremont Home Loan Trust Series 2005-A:

Class M3, 0.9738% 1/25/35 (m)

720

223

Class M4, 1.2588% 1/25/35 (m)

276

41

GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 0.8469% 2/25/47 (h)(m)

2,160

756

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

553

531

GE Business Loan Trust:

Series 2003-1 Class A, 0.6688% 4/15/31 (h)(m)

160

150

Series 2006-2A:

Class A, 0.4188% 11/15/34 (h)(m)

1,068

927

Class B, 0.5188% 11/15/34 (h)(m)

386

266

Class C, 0.6188% 11/15/34 (h)(m)

641

364

Class D, 0.9888% 11/15/34 (h)(m)

244

75

Guggenheim Structured Real Estate Funding Ltd. Series 2006-3 Class C, 0.7888% 9/25/46 (h)(m)

1,082

1,025

Home Equity Asset Trust:

Series 2003-2 Class M1, 1.5588% 8/25/33 (m)

267

180

Series 2003-3 Class M1, 1.5288% 8/25/33 (m)

519

369

Series 2003-5 Class A2, 0.9388% 12/25/33 (m)

25

20

Series 2006-1 Class 2A3, 0.4638% 4/25/36 (m)

145

144

HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.4288% 1/25/37 (m)

1,137

396

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

Hyundai Automobile Receivables Trust Series 2012-A Class A4, 1.27% 12/15/16

$ 8,170

$ 8,176

JPMorgan Mortgage Acquisition Trust:

Series 2006-NC2 Class M2, 0.5388% 7/25/36 (m)

2,497

50

Series 2007-CH1 Class AV4, 0.3688% 11/25/36 (m)

1,136

1,033

Keycorp Student Loan Trust:

Series 1999-A Class A2, 0.8032% 12/27/29 (m)

423

376

Series 2006-A Class 2C, 1.6232% 3/27/42 (m)

2,016

95

Marriott Vacation Club Owner Trust Series 2006-2A:

Class B, 5.442% 10/20/28 (h)

7

7

Class C, 5.691% 10/20/28 (h)

3

3

Class D, 6.01% 10/20/28 (h)

37

37

MASTR Asset Backed Securities Trust Series 2007-HE1 Class M1, 0.5388% 5/25/37 (m)

596

8

Meritage Mortgage Loan Trust Series 2004-1 Class M1, 0.9888% 7/25/34 (m)

114

69

Merrill Lynch Mortgage Investors Trust:

Series 2003-OPT1 Class M1, 1.2138% 7/25/34 (m)

379

280

Series 2006-FM1 Class A2B, 0.3488% 4/25/37 (m)

1,196

911

Series 2006-OPT1 Class A1A, 0.4988% 6/25/35 (m)

2,074

1,476

Morgan Stanley ABS Capital I Trust:

Series 2004-HE6 Class A2, 0.5788% 8/25/34 (m)

44

32

Series 2005-NC1 Class M1, 0.6788% 1/25/35 (m)

303

190

Series 2005-NC2 Class B1, 1.4088% 3/25/35 (m)

316

38

Series 2007-HE2 Class M1, 0.4888% 1/25/37 (m)

544

1

National Collegiate Student Loan Trust:

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

1,137

51

Series 2006-4 Class D, 1.3388% 5/25/32 (m)

1,544

2

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

743

7

New Century Home Equity Loan Trust Series 2005-4 Class M2, 0.7488% 9/25/35 (m)

1,083

462

Ocala Funding LLC:

Series 2005-1A Class A, 1.7398% 3/20/10 (d)(h)(m)

429

0

Series 2006-1A Class A, 1.6398% 3/20/11 (d)(h)(m)

892

0

Option One Mortgage Loan Trust:

Series 2007-5 Class 2A1, 0.3288% 5/25/37 (m)

4

4

Series 2007-6 Class 2A1, 0.2988% 7/25/37 (m)

48

47

Park Place Securities, Inc.:

Series 2004-WCW1:

Class M3, 1.4888% 9/25/34 (m)

405

171

Class M4, 1.6888% 9/25/34 (m)

519

109

Asset-Backed Securities - continued

 

Principal Amount (000s)

Value (000s)

Park Place Securities, Inc.: - continued

Series 2005-WCH1 Class M4, 1.0688% 1/25/36 (m)

$ 1,120

$ 552

Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 1.0388% 4/25/33 (m)

4

3

Saxon Asset Securities Trust Series 2004-1 Class M1, 1.0338% 3/25/35 (m)

994

728

Sierra Receivables Funding Co. Series 2007-1A Class A2, 0.3898% 3/20/19 (FGIC Insured) (h)(m)

353

344

SLM Private Credit Student Loan Trust Series 2004-A Class C, 1.4237% 6/15/33 (m)

965

357

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

455

0

Structured Asset Investment Loan Trust Series 2004-8 Class M5, 1.9638% 9/25/34 (m)

48

16

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

365

375

Terwin Mortgage Trust Series 2003-4HE Class A1, 1.0988% 9/25/34 (m)

22

16

Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 1.0292% 4/6/42 (h)(m)

1,506

19

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

674

0

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

6

0*

Whinstone Capital Management Ltd. Series 1A Class B3, 2.2657% 10/25/44 (h)(m)

1,358

788

TOTAL ASSET-BACKED SECURITIES

(Cost $111,758)


110,151

Collateralized Mortgage Obligations - 0.2%

 

Private Sponsor - 0.2%

Bayview Commercial Asset Trust Series 2006-3A, Class IO, 3.9269% 10/25/36 (h)(m)(o)

27,844

1,105

Bear Stearns ALT-A Trust floater Series 2005-1 Class A1, 0.7988% 1/25/35 (m)

1,405

1,114

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

1,019

409

COMM pass-thru certificates floater Series 2001-J2A Class A2F, 0.7388% 7/16/34 (h)(m)

8

8

First Horizon Mortgage pass-thru Trust Series 2004-AR5 Class 2A1, 2.6312% 10/25/34 (m)

1,015

916

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

Private Sponsor - continued

Granite Master Issuer PLC:

floater:

Series 2006-1A Class A5, 0.3798% 12/20/54 (h)(m)

$ 5,893

$ 5,620

Series 2006-3 Class M2, 0.5198% 12/20/54 (m)

4,540

3,382

Series 2006-4:

Class B1, 0.4198% 12/20/54 (m)

3,154

2,649

Class M1, 0.5798% 12/20/54 (m)

829

618

Series 2007-1:

Class 1B1, 0.3798% 12/20/54 (m)

3,856

3,239

Class 1M1, 0.5398% 12/20/54 (m)

1,114

830

Class 2M1, 0.7398% 12/20/54 (m)

1,431

1,066

Series 2007-2 Class 2C1, 1.0988% 12/17/54 (m)

1,981

1,149

sequential payer Series 2006-3 Class B2, 0.4098% 12/20/54 (m)

4,550

3,822

Granite Mortgages PLC floater Series 2003-3 Class 1C, 2.9157% 1/20/44 (m)

326

230

JPMorgan Chase Commercial Mortgage Securities Trust Series 2007-CB18 Class A3, 5.447% 6/12/47 (m)

1,488

1,547

JPMorgan Mortgage Trust sequential payer Series 2006-A5 Class 3A5, 5.7693% 8/25/36 (m)

1,675

1,262

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

410

463

MASTR Adjustable Rate Mortgages Trust Series 2007-3 Class 22A2, 0.4488% 5/25/47 (m)

605

375

Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.4088% 2/25/37 (m)

1,060

712

Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 0.5288% 7/25/35 (m)

1,471

1,159

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

Class B5, 2.5888% 7/10/35 (h)(m)

870

707

Class B6, 3.0888% 7/10/35 (h)(m)

185

149

Residential Funding Securities Corp. floater Series 2003-RP2 Class A1, 0.6888% 6/25/33 (h)(m)

184

173

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

129

44

Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 1.668% 7/20/34 (m)

27

19

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

Private Sponsor - continued

Structured Asset Securities Corp. Series 2003-15A Class 4A, 5.3146% 4/25/33 (m)

$ 273

$ 250

TBW Mortgage-Backed pass-thru certificates floater Series 2006-4 Class A3, 0.4388% 9/25/36 (m)

2,485

1,983

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $29,033)


35,000

Commercial Mortgage Securities - 1.9%

 

Asset Securitization Corp. Series 1997-D5:

Class A3, 7.2034% 2/14/43 (m)

246

246

Class A6, 7.5234% 2/14/43 (m)

1,067

1,074

Class PS1, 1.4221% 2/14/43 (m)(o)

1,410

18

Banc of America Commercial Mortgage Trust:

sequential payer:

Series 2006-2 Class AAB, 5.9026% 5/10/45 (m)

819

864

Series 2006-5:

Class A2, 5.317% 9/10/47

2,896

2,898

Class A3, 5.39% 9/10/47

1,272

1,332

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

1,824

1,945

Series 2007-4 Class A3, 5.9835% 2/10/51 (m)

910

948

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

527

41

Series 2007-3:

Class A3, 5.8366% 6/10/49 (m)

1,523

1,560

Class A4, 5.8366% 6/10/49 (m)

1,901

2,118

Banc of America Commercial Mortgage, Inc.:

sequential payer:

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

1,997

2,240

Series 2004-2:

Class A3, 4.05% 11/10/38

111

112

Class A4, 4.153% 11/10/38

1,157

1,187

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

344

343

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

489

489

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

510

509

Series 2001-PB1 Class K, 6.15% 5/11/35 (h)

161

161

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

2,833

2,960

Banc of America Large Loan, Inc. floater:

Series 2005-MIB1:

Class C, 0.5488% 3/15/22 (h)(m)

392

384

Class D, 0.5988% 3/15/22 (h)(m)

397

386

Class E, 0.6388% 3/15/22 (h)(m)

328

319

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Banc of America Large Loan, Inc. floater: - continued

Series 2005-MIB1:

Class F, 0.7088% 3/15/22 (h)(m)

$ 467

$ 453

Class G, 0.7688% 3/15/22 (h)(m)

303

285

Series 2006-BIX1:

Class D, 0.4488% 10/15/19 (h)(m)

397

389

Class E, 0.4788% 10/15/19 (h)(m)

663

633

Class F, 0.5488% 10/15/19 (h)(m)

1,987

1,888

Class G, 0.5688% 10/15/19 (h)(m)

935

878

Bayview Commercial Asset Trust:

floater:

Series 2003-2 Class M1, 1.0888% 12/25/33 (h)(m)

47

34

Series 2004-1:

Class A, 0.5988% 4/25/34 (h)(m)

817

674

Class B, 2.1388% 4/25/34 (h)(m)

92

53

Class M1, 0.7988% 4/25/34 (h)(m)

74

52

Class M2, 1.4388% 4/25/34 (h)(m)

68

48

Series 2005-2A:

Class A1, 0.5488% 8/25/35 (h)(m)

1,091

753

Class M1, 0.6688% 8/25/35 (h)(m)

59

31

Class M2, 0.7188% 8/25/35 (h)(m)

98

44

Class M3, 0.7388% 8/25/35 (h)(m)

54

21

Series 2005-3A:

Class A2, 0.6388% 11/25/35 (h)(m)

392

247

Class M1, 0.6788% 11/25/35 (h)(m)

51

29

Class M2, 0.7288% 11/25/35 (h)(m)

65

35

Class M3, 0.7488% 11/25/35 (h)(m)

58

30

Class M4, 0.8388% 11/25/35 (h)(m)

73

35

Series 2005-4A:

Class A2, 0.6288% 1/25/36 (h)(m)

982

682

Class B1, 1.6388% 1/25/36 (h)(m)

85

12

Class M1, 0.6888% 1/25/36 (h)(m)

317

139

Class M2, 0.7088% 1/25/36 (h)(m)

95

37

Class M3, 0.7388% 1/25/36 (h)(m)

139

49

Class M4, 0.8488% 1/25/36 (h)(m)

77

24

Class M5, 0.8888% 1/25/36 (h)(m)

77

21

Class M6, 0.9388% 1/25/36 (h)(m)

82

15

Series 2006-1:

Class A2, 0.5988% 4/25/36 (h)(m)

154

99

Class M1, 0.6188% 4/25/36 (h)(m)

55

32

Class M2, 0.6388% 4/25/36 (h)(m)

58

32

Class M3, 0.6588% 4/25/36 (h)(m)

50

25

Class M4, 0.7588% 4/25/36 (h)(m)

28

13

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Bayview Commercial Asset Trust: - continued

Series 2006-1:

Class M5, 0.7988% 4/25/36 (h)(m)

$ 27

$ 11

Class M6, 0.8788% 4/25/36 (h)(m)

55

21

Series 2006-2A:

Class A1, 0.4688% 7/25/36 (h)(m)

2,294

1,549

Class A2, 0.5188% 7/25/36 (h)(m)

136

90

Class B1, 1.1088% 7/25/36 (h)(m)

51

5

Class B3, 2.9388% 7/25/36 (h)(m)

63

2

Class M1, 0.5488% 7/25/36 (h)(m)

143

58

Class M2, 0.5688% 7/25/36 (h)(m)

101

36

Class M3, 0.5888% 7/25/36 (h)(m)

84

26

Class M4, 0.6588% 7/25/36 (h)(m)

56

15

Class M5, 0.7088% 7/25/36 (h)(m)

69

12

Class M6, 0.7788% 7/25/36 (h)(m)

104

13

Series 2006-3A:

Class B1, 1.0388% 10/25/36 (h)(m)

40

0*

Class M4, 0.6688% 10/25/36 (h)(m)

112

9

Class M5, 0.7188% 10/25/36 (h)(m)

134

8

Class M6, 0.7988% 10/25/36 (h)(m)

262

8

Series 2006-4A:

Class A1, 0.4688% 12/25/36 (h)(m)

571

369

Class A2, 0.5088% 12/25/36 (h)(m)

2,792

1,233

Class B1, 0.9388% 12/25/36 (h)(m)

89

3

Class B2, 1.4888% 12/25/36 (h)(m)

36

1

Class M1, 0.5288% 12/25/36 (h)(m)

186

51

Class M2, 0.5488% 12/25/36 (h)(m)

124

24

Class M3, 0.5788% 12/25/36 (h)(m)

126

17

Class M4, 0.6388% 12/25/36 (h)(m)

150

17

Class M5, 0.6788% 12/25/36 (h)(m)

138

13

Class M6, 0.7588% 12/25/36 (h)(m)

124

8

Series 2007-1 Class A2, 0.5088% 3/25/37 (h)(m)

573

287

Series 2007-2A:

Class A1, 0.5088% 7/25/37 (h)(m)

546

294

Class A2, 0.5588% 7/25/37 (h)(m)

512

171

Class B1, 1.8388% 7/25/37 (h)(m)

152

5

Class M1, 0.6088% 7/25/37 (h)(m)

180

25

Class M2, 0.6488% 7/25/37 (h)(m)

98

8

Class M3, 0.7288% 7/25/37 (h)(m)

99

7

Class M4, 0.8888% 7/25/37 (h)(m)

196

13

Class M5, 0.9888% 7/25/37 (h)(m)

173

9

Class M6, 1.2388% 7/25/37 (h)(m)

220

9

Series 2007-3:

Class A2, 0.5288% 7/25/37 (h)(m)

590

277

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Bayview Commercial Asset Trust: - continued

Series 2007-3:

Class B1, 1.1888% 7/25/37 (h)(m)

$ 132

$ 10

Class B2, 1.8388% 7/25/37 (h)(m)

329

12

Class B3, 4.2388% 7/25/37 (h)(m)

7

0*

Class M1, 0.5488% 7/25/37 (h)(m)

118

30

Class M2, 0.5788% 7/25/37 (h)(m)

126

23

Class M3, 0.6088% 7/25/37 (h)(m)

197

28

Class M4, 0.7388% 7/25/37 (h)(m)

310

38

Class M5, 0.8388% 7/25/37 (h)(m)

162

18

Class M6, 1.0388% 7/25/37 (h)(m)

123

11

Series 2007-4A:

Class B1, 2.7888% 9/25/37 (h)(m)

62

2

Class M1, 1.1888% 9/25/37 (h)(m)

204

15

Class M2, 1.2888% 9/25/37 (h)(m)

204

11

Class M4, 1.8388% 9/25/37 (h)(m)

521

21

Class M5, 1.9888% 9/25/37 (h)(m)

521

16

Class M6, 2.1888% 9/25/37 (h)(m)

521

10

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

1,650

62

Series 2007-5A, Class IO, 4.1484% 10/25/37 (h)(m)(o)

4,103

375

Bear Stearns Commercial Mortgage Securities Trust:

floater:

Series 2006-BBA7:

Class H, 0.8888% 3/15/19 (h)(m)

310

297

Class J, 1.0888% 3/15/19 (h)(m)

309

281

Series 2007-BBA8:

Class D, 0.4888% 3/15/22 (h)(m)

452

409

Class E, 0.5388% 3/15/22 (h)(m)

2,347

2,076

Class F, 0.5888% 3/15/22 (h)(m)

1,440

1,245

Class G, 0.6388% 3/15/22 (h)(m)

369

312

Class H, 0.7888% 3/15/22 (h)(m)

452

354

Class J, 0.9388% 3/15/22 (h)(m)

452

341

sequential payer:

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

238

241

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

2,594

2,703

Series 2007-PW16:

Class A4, 5.9046% 6/11/40 (m)

534

604

Class AAB, 5.9046% 6/11/40 (m)

4,740

5,070

Series 2007-PW18:

Class A2, 5.613% 6/11/50

269

277

Class A4, 5.7% 6/11/50

4,380

5,008

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

3,219

3,362

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Bear Stearns Commercial Mortgage Securities Trust: - continued

Series 2006-PW14 Class X2, 0.8632% 12/11/38 (h)(m)(o)

$ 9,603

$ 97

Series 2006-T22 Class A4, 5.7138% 4/12/38 (m)

114

129

Series 2006-T24 Class X2, 0.6233% 10/12/41 (h)(m)(o)

2,380

15

Series 2007-PW18 Class X2, 0.4794% 6/11/50 (h)(m)(o)

64,191

659

Series 2007-T28 Class X2, 0.3209% 9/11/42 (h)(m)(o)

34,536

205

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

479

248

C-BASS Trust floater Series 2006-SC1 Class A, 0.5088% 5/25/36 (h)(m)

544

455

CDC Commercial Mortgage Trust Series 2002-FX1:

Class G, 6.625% 5/15/35 (h)

1,072

1,105

Class XCL, 1.3344% 5/15/35 (h)(m)(o)

3,720

79

Citigroup Commercial Mortgage Trust:

floater Series 2006-FL2:

Class G, 0.5698% 8/15/21 (h)(m)

148

142

Class H, 0.6098% 8/15/21 (h)(m)

324

302

Series 2007-C6:

Class A2, 5.8852% 12/10/49 (m)

1,065

1,065

Class A4, 5.8852% 12/10/49 (m)

3,035

3,469

Series 2008-C7 Class A2B, 6.2761% 12/10/49 (m)

820

833

Citigroup/Deutsche Bank Commercial Mortgage Trust:

sequential payer Series 2007-CD4 Class A4, 5.322% 12/11/49

12,448

13,674

Series 2007-CD4:

Class A3, 5.293% 12/11/49

888

937

Class C, 5.476% 12/11/49

1,717

378

Cobalt CMBS Commercial Mortgage Trust:

sequential payer Series 2007-C3 Class A3, 6.0104% 5/15/46 (m)

912

972

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

2,736

192

COMM pass-thru certificates:

floater:

Series 2005-F10A:

Class G, 0.7888% 4/15/17 (h)(m)

51

50

Class H, 0.8588% 4/15/17 (h)(m)

130

116

Class J, 1.0888% 4/15/17 (h)(m)

100

74

Series 2005-FL11:

Class C, 0.5388% 11/15/17 (h)(m)

560

532

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

COMM pass-thru certificates: - continued

floater:

Series 2005-FL11:

Class D, 0.5788% 11/15/17 (h)(m)

$ 29

$ 27

Class E, 0.6288% 11/15/17 (h)(m)

103

95

Class F, 0.6888% 11/15/17 (h)(m)

114

104

Class G, 0.7388% 11/15/17 (h)(m)

79

71

Series 2006-CN2A:

Class A2FL, 0.4588% 2/5/19 (h)(m)

1,390

1,313

Class AJFL, 0.4988% 2/5/19 (m)

640

619

Series 2006-FL12 Class AJ, 0.3688% 12/15/20 (h)(m)

1,300

1,177

sequential payer:

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

2,599

2,663

Series 2006-CN2A:

Class A2FX, 5.449% 2/5/19 (h)

1,592

1,545

Class AJFX, 5.478% 2/5/19 (h)

2,940

2,915

Series 2007-C9 Class A4, 6.0063% 12/10/49 (m)

2,018

2,321

Series 2006-C8 Class XP, 0.6588% 12/10/46 (m)(o)

11,656

86

Commercial Mortgage pass-thru certificates sequential payer Series 2005-C6 Class A2, 4.999% 6/10/44 (m)

1

1

Credit Suisse Commercial Mortgage Trust:

sequential payer:

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

1,107

1,214

Series 2007-C2:

Class A2, 5.448% 1/15/49 (m)

2,345

2,367

Class A3, 5.542% 1/15/49 (m)

1,824

1,955

Series 2007-C3 Class A4, 5.8672% 6/15/39 (m)

549

585

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

2,809

2,845

Series 2006-C5 Class ASP, 0.8651% 12/15/39 (m)(o)

7,791

79

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

825

874

Credit Suisse First Boston Mortgage Capital Certificates floater Series 2007-TF2A Class B, 0.5888% 4/15/22 (h)(m)

3,254

2,454

Credit Suisse First Boston Mortgage Securities Corp.:

sequential payer Series 2004-C1:

Class A3, 4.321% 1/15/37

2

2

Class A4, 4.75% 1/15/37

425

443

Series 2001-CK6 Class AX, 1.2267% 8/15/36 (m)(o)

292

1

Series 2001-CKN5 Class AX, 1.9496% 9/15/34 (h)(m)(o)

1,246

2

Series 2006-C1 Class A3, 5.5958% 2/15/39 (m)

3,302

3,497

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Credit Suisse Mortgage Capital Certificates:

floater Series 2007-TFL1:

Class B, 0.3888% 2/15/22 (h)(m)

$ 345

$ 317

Class C:

0.4088% 2/15/22 (h)(m)

1,416

1,288

0.5088% 2/15/22 (h)(m)

506

450

Class F, 0.5588% 2/15/22 (h)(m)

1,011

880

Series 2007-C1:

Class ASP, 0.5749% 2/15/40 (m)(o)

13,229

90

Class B, 5.487% 2/15/40 (h)(m)

1,394

234

First Union National Bank-Bank of America Commercial Mortgage Trust Series 2001-C1 Class G, 6.936% 3/15/33 (h)

600

605

GE Capital Commercial Mortgage Corp.:

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

9,244

10,086

Series 2001-1 Class X1, 1.7136% 5/15/33 (h)(m)(o)

915

8

Series 2007-C1 Class XP, 0.3359% 12/10/49 (m)(o)

14,041

55

GMAC Commercial Mortgage Securities, Inc. Series 2005-C1 Class X2, 0.7319% 5/10/43 (m)(o)

3,163

0*

Greenwich Capital Commercial Funding Corp.:

floater Series 2006-FL4 Class B, 0.4288% 11/5/21 (h)(m)

343

322

sequential payer:

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

1,824

1,874

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

13,982

15,249

Series 2006-GG7 Class A3, 6.0811% 7/10/38 (m)

777

776

Series 2007-GG11 Class A1, 0.4392% 12/10/49 (h)(m)(o)

17,354

104

GS Mortgage Securities Corp. II:

floater:

Series 2006-FL8A:

Class E, 0.6088% 6/6/20 (h)(m)

207

203

Class F, 0.6788% 6/6/20 (h)(m)

634

612

Series 2007-EOP:

Class C, 2.0056% 3/6/20 (h)(m)

1,144

1,131

Class D, 2.2018% 3/6/20 (h)(m)

2,144

2,120

Class F, 2.6334% 3/6/20 (h)(m)

94

93

Class G, 2.7903% 3/6/20 (h)(m)

47

46

Class H, 3.3004% 3/6/20 (h)(m)

42

42

Class J, 4.0852% 3/6/20 (h)(m)

60

60

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

198

199

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

GS Mortgage Securities Corp. II: - continued

Series 2005-GG4 Class XP, 0.8966% 7/10/39 (h)(m)(o)

$ 13,878

$ 0*

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

2,625

2,628

GS Mortgage Securities Trust sequential payer:

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

433

434

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

208

211

JPMorgan Chase Commercial Mortgage Securities Trust:

floater Series 2006-FLA2:

Class B, 0.4088% 11/15/18 (h)(m)

455

443

Class C, 0.4488% 11/15/18 (h)(m)

323

314

Class D, 0.4688% 11/15/18 (h)(m)

143

138

Class E, 0.5188% 11/15/18 (h)(m)

205

194

Class F, 0.5688% 11/15/18 (h)(m)

308

278

Class G, 0.5988% 11/15/18 (h)(m)

268

222

Class H, 0.7388% 11/15/18 (h)(m)

205

166

sequential payer:

Series 2006-CB14 Class A3B, 5.674% 12/12/44 (m)

2,241

2,296

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

581

656

Series 2006-LDP9:

Class A2, 5.134% 5/15/47 (m)

306

314

Class A3, 5.336% 5/15/47

9,635

10,458

Series 2007-CB19 Class A4, 5.9254% 2/12/49 (m)

3,198

3,591

Series 2007-LD11 Class A2, 5.9877% 6/15/49 (m)

2,272

2,280

Series 2007-LDPX:

Class A2 S, 5.305% 1/15/49

1,457

1,469

Class A3, 5.42% 1/15/49

14,834

16,300

Series 2005-CB13 Class E, 5.5314% 1/12/43 (h)(m)

461

15

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

2,342

2,401

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

239

242

Series 2007-CB19:

Class B, 5.9254% 2/12/49 (m)

78

23

Class C, 5.9254% 2/12/49 (m)

204

39

Class D, 5.9254% 2/12/49 (m)

214

32

Series 2007-LDP10:

Class BS, 5.437% 1/15/49 (m)

174

45

Class CS, 5.466% 1/15/49 (m)

75

9

Class ES, 5.7393% 1/15/49 (h)(m)

472

26

LB Commercial Conduit Mortgage Trust sequential payer Series 2007-C3 Class A4, 6.1105% 7/15/44 (m)

743

849

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

LB Multi-family Mortgage Trust Series 1991-4 Class A1, 7.11% 4/25/21 (m)

$ 26

$ 18

LB-UBS Commercial Mortgage Trust:

sequential payer:

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

123

124

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

50

50

Series 2006-C7:

Class A2, 5.3% 11/15/38

532

536

Class A3, 5.347% 11/15/38

679

760

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

2,738

3,077

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

1,980

2,167

Series 2005-C3 Class XCP, 0.9022% 7/15/40 (m)(o)

2,075

1

Series 2006-C6 Class XCP, 0.8617% 9/15/39 (m)(o)

3,889

34

Series 2007-C1 Class XCP, 0.6211% 2/15/40 (m)(o)

1,454

11

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

1,140

1,292

Series 2007-C7:

Class A3, 5.866% 9/15/45

972

1,096

Class XCP, 0.4289% 9/15/45 (m)(o)

58,561

431

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

Class D, 0.4688% 9/15/21 (h)(m)

292

266

Class E, 0.5288% 9/15/21 (h)(m)

1,054

929

Class F, 0.5788% 9/15/21 (h)(m)

868

739

Class G, 0.5988% 9/15/21 (h)(m)

1,714

1,409

Class H, 0.6388% 9/15/21 (h)(m)

442

346

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

1,619

1,621

Merrill Lynch Mortgage Trust:

Series 2005-CKI1 Class A3, 5.3909% 11/12/37 (m)

516

518

Series 2005-LC1 Class F, 5.5591% 1/12/44 (h)(m)

793

442

Series 2006-C1 Class A2, 5.803% 5/12/39 (m)

842

861

Series 2007-C1 Class A4, 6.0324% 6/12/50 (m)

3,452

3,815

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

1,947

2,207

Merrill Lynch-CFC Commercial Mortgage Trust:

floater Series 2006-4 Class A2FL, 0.3603% 12/12/49 (m)

93

92

sequential payer:

Series 2006-1 Class A3, 5.6555% 2/12/39 (m)

970

976

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

708

741

Series 2007-5:

Class A3, 5.364% 8/12/48

356

365

Class A4, 5.378% 8/12/48

36

38

Class B, 5.479% 8/12/48

2,736

623

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Merrill Lynch-CFC Commercial Mortgage Trust: - continued

sequential payer:

Series 2007-6 Class A4, 5.485% 3/12/51 (m)

$ 7,400

$ 7,954

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

3,192

3,432

Series 2006-3 Class ASB, 5.382% 7/12/46 (m)

3,347

3,478

Series 2006-4 Class XP, 0.8105% 12/12/49 (m)(o)

14,478

217

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

912

257

Series 2007-7 Class B, 5.936% 6/12/50 (m)

79

5

Series 2007-8 Class A3, 6.1649% 8/12/49 (m)

787

865

Morgan Stanley Capital I Trust:

floater:

Series 2006-XLF Class C, 1.439% 7/15/19 (h)(m)

272

157

Series 2007-XLFA:

Class C, 0.399% 10/15/20 (h)(m)

523

471

Class D, 0.429% 10/15/20 (h)(m)

507

441

Class E, 0.489% 10/15/20 (h)(m)

634

526

Class F, 0.539% 10/15/20 (h)(m)

380

289

Class G, 0.579% 10/15/20 (h)(m)

470

338

Class H, 0.669% 10/15/20 (h)(m)

296

198

Class J, 0.819% 10/15/20 (h)(m)

173

73

sequential payer:

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

903

913

Series 2007-HQ11 Class A31, 5.439% 2/12/44 (m)

462

486

Series 2006-HQ10 Class X2, 0.691% 11/12/41 (h)(m)(o)

6,125

15

Series 2006-HQ8 Class A3, 5.653% 3/12/44 (m)

302

301

Series 2006-IQ11:

Class A3, 5.8615% 10/15/42 (m)

563

579

Class A4, 5.8975% 10/15/42 (m)

274

308

Series 2006-T23 Class A3, 5.9838% 8/12/41 (m)

466

477

Series 2007-IQ14:

Class A4, 5.692% 4/15/49 (m)

1,368

1,486

Class AAB, 5.654% 4/15/49

2,649

2,831

Class B, 5.9075% 4/15/49 (m)

224

62

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

33

33

Wachovia Bank Commercial Mortgage Trust:

floater:

Series 2006-WL7A:

Class E, 0.5198% 9/15/21 (h)(m)

1,239

983

Class F, 0.5798% 9/15/21 (h)(m)

1,426

1,088

Class G, 0.5998% 9/15/21 (h)(m)

1,351

987

Commercial Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Wachovia Bank Commercial Mortgage Trust: - continued

floater:

Series 2006-WL7A:

Class J, 0.8398% 9/15/21 (h)(m)

$ 300

$ 138

Series 2007-WHL8:

Class F, 0.7188% 6/15/20 (h)(m)

3,171

2,315

Class LXR1, 0.9388% 6/15/20 (h)(m)

112

90

sequential payer:

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

758

763

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

3,221

3,243

Series 2006-C29 Class A3, 5.313% 11/15/48

2,422

2,484

Series 2007-C30:

Class A3, 5.246% 12/15/43

292

292

Class A4, 5.305% 12/15/43

268

285

Class A5, 5.342% 12/15/43

14,776

15,666

Series 2007-C31:

Class A4, 5.509% 4/15/47

18,661

20,080

Class A5, 5.5% 4/15/47

16,000

17,163

Series 2007-C32:

Class A2, 5.9223% 6/15/49 (m)

2,662

2,682

Class A3, 5.9273% 6/15/49 (m)

1,548

1,643

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

433

430

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

912

828

Series 2005-C22:

Class B, 5.5332% 12/15/44 (m)

2,022

1,380

Class F, 5.5332% 12/15/44 (h)(m)

1,521

381

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

5,005

5,579

Series 2007-C30:

Class C, 5.483% 12/15/43 (m)

2,736

838

Class D, 5.513% 12/15/43 (m)

1,459

335

Class XP, 0.6679% 12/15/43 (h)(m)(o)

7,893

69

Series 2007-C31 Class C, 5.8735% 4/15/47 (m)

251

53

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

5,607

5,785

Series 2007-C32:

Class D, 5.9273% 6/15/49 (m)

685

179

Class E, 5.9273% 6/15/49 (m)

1,080

253

Wachovia Bank Commercial Mortgage Trust pass-thru certificates sequential payer Series 2007-C33:

Class A4, 6.0975% 2/15/51 (m)

2,110

2,345

Class A5, 6.0975% 2/15/51 (m)

10,259

11,381

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $299,250)


347,307

Municipal Securities - 0.1%

 

Principal Amount (000s)

Value (000s)

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

$ 1,700

$ 1,755

California Gen. Oblig.:

7.5% 4/1/34

7,195

9,056

7.55% 4/1/39

1,395

1,802

7.6% 11/1/40

3,790

4,950

7.625% 3/1/40

2,095

2,720

Illinois Gen. Oblig.:

Series 2010, 4.421% 1/1/15

4,050

4,271

Series 2011, 5.877% 3/1/19

1,490

1,664

TOTAL MUNICIPAL SECURITIES

(Cost $24,551)


26,218

Foreign Government and Government Agency Obligations - 0.0%

 

Russian Federation:

4.5% 4/4/22 (h)

2,600

2,639

5.625% 4/4/42 (h)

3,400

3,460

TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $5,898)


6,099

Floating Rate Loans - 1.0%

 

CONSUMER DISCRETIONARY - 0.2%

Hotels, Restaurants & Leisure - 0.1%

Fantasy Springs Resort Casino term loan
8/6/12 (d)(m)

8,646

6,744

Landry's Restaurants, Inc. Tranche B, term loan 6.5% 4/24/18 (m)

2,545

2,542

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

3,204

3,220

 

12,506

Media - 0.1%

Dallas Sports & Entertainment LP term loan 3.5958% 11/18/16 (m)

12

11

Newsday LLC term loan 10.5% 8/1/13

7,000

7,123

Floating Rate Loans - continued

 

Principal Amount (000s)

Value (000s)

CONSUMER DISCRETIONARY - continued

Media - continued

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

$ 1,188

$ 754

Univision Communications, Inc. term loan 4.4888% 3/31/17 (m)

3,363

3,082

 

10,970

Specialty Retail - 0.0%

Michaels Stores, Inc. Tranche B1, term loan 2.75% 10/31/13 (m)

4,256

4,245

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

4,903

4,682

 

8,927

TOTAL CONSUMER DISCRETIONARY

32,403

CONSUMER STAPLES - 0.0%

Food & Staples Retailing - 0.0%

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

5,945

5,856

ENERGY - 0.0%

Oil, Gas & Consumable Fuels - 0.0%

Arch Coal, Inc. Tranche B, term loan 5.75% 5/16/18 (m)

870

844

Chesapeake Energy Corp. term loan 8.5% 12/2/17 (m)

1,305

1,271

Crestwood Holdings Partners LLC Tranche B, term loan 9.75% 3/26/18 (m)

1,700

1,709

 

3,824

FINANCIALS - 0.1%

Insurance - 0.1%

Asurion Corp.:

Tranche 1st LN, term loan 5.5% 5/24/18 (m)

4,863

4,790

Tranche 2nd LN, term loan 9% 5/24/19 (m)

6,210

6,226

Lonestar Inter Super Hld LLC term loan 11% 9/2/19 (m)

2,755

2,796

 

13,812

Floating Rate Loans - continued

 

Principal Amount (000s)

Value (000s)

FINANCIALS - continued

Real Estate Management & Development - 0.0%

Realogy Corp.:

Credit-Linked Deposit 4.4913% 10/10/16 (m)

$ 780

$ 706

term loan 4.4888% 10/10/16 (m)

6,221

5,692

 

6,398

TOTAL FINANCIALS

20,210

HEALTH CARE - 0.1%

Health Care Providers & Services - 0.1%

Genoa Healthcare Group LLC Tranche 2LN, term loan 13.25% 2/10/15 (m)

2,264

1,579

Sheridan Healthcare, Inc. Tranche 2LN, term loan 5.9888% 6/15/15 (m)

17,840

17,216

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

2,250

2,306

 

21,101

INDUSTRIALS - 0.1%

Airlines - 0.0%

US Airways Group, Inc. term loan 2.7398% 3/23/14 (m)

4,465

4,231

Building Products - 0.0%

HD Supply, Inc. Tranche B 1LN, term loan 7.25% 10/12/17 (m)

1,565

1,569

Commercial Services & Supplies - 0.0%

Brand Energy & Infrastructure Services, Inc. Tranche 2LN, term loan 6.425% 2/7/15 (m)

985

808

Professional Services - 0.1%

AlixPartners LLP:

Tranche 1LN, term loan 5/15/19 (m)

5,250

5,171

Tranche 2LN, term loan 11/15/19 (m)

5,250

5,040

 

10,211

TOTAL INDUSTRIALS

16,819

Floating Rate Loans - continued

 

Principal Amount (000s)

Value (000s)

INFORMATION TECHNOLOGY - 0.3%

Communications Equipment - 0.1%

Avaya, Inc. term loan 3.2169% 10/27/14 (m)

$ 1,784

$ 1,677

SafeNet, Inc. Tranche 2LN, term loan 6.2388% 4/12/15 (m)

7,500

7,275

 

8,952

IT Services - 0.1%

Ceridian Corp. term loan 3.2388% 11/8/14 (m)

1,837

1,736

First Data Corp. term loan 4.2388% 3/24/18 (m)

12,590

11,457

 

13,193

Software - 0.1%

Kronos, Inc. Tranche B 2LN, term loan 10.4697% 6/11/18 (m)

23,730

23,967

Lawson Software, Inc. Tranche B, term loan 6.25% 4/5/18 (m)

2,845

2,838

 

26,805

TOTAL INFORMATION TECHNOLOGY

48,950

MATERIALS - 0.0%

Chemicals - 0.0%

INEOS U.S. Finance LLC term loan 6.5% 4/27/18 (m)

2,030

1,987

TELECOMMUNICATION SERVICES - 0.1%

Diversified Telecommunication Services - 0.0%

FairPoint Communications, Inc. term loan 6.5% 1/24/16 (m)

7,721

6,408

Telesat Holding, Inc. Tranche B, term loan 4.25% 3/28/19 (m)

4,285

4,231

 

10,639

Wireless Telecommunication Services - 0.1%

Vodafone Americas Finance 2, Inc.:

2nd LN, term loan 6.25% 6/24/16 pay-in-kind

12,741

12,623

term loan 6.875% 8/11/15

1,761

1,754

 

14,377

TOTAL TELECOMMUNICATION SERVICES

25,016

Floating Rate Loans - continued

 

Principal Amount (000s)

Value (000s)

UTILITIES - 0.1%

Electric Utilities - 0.1%

Bicent Power LLC Tranche 2LN, term loan 12/31/14 (d)(m)

$ 803

$ 6

Texas Competitive Electric Holdings Co. LLC/Texas Competitive Electric Holdings Finance, Inc. Tranche B, term loan 4.7388% 10/10/17 (m)

25,196

14,771

 

14,777

Gas Utilities - 0.0%

Everest Acquisition LLC Tranche B, term loan 6.5% 4/2/18 (m)

730

730

TOTAL UTILITIES

15,507

TOTAL FLOATING RATE LOANS

(Cost $196,420)


191,673

Bank Notes - 0.0%

 

Wachovia Bank NA 6% 11/15/17
(Cost $3,323)

3,066


3,539

Preferred Securities - 0.0%

 

 

 

 

FINANCIALS - 0.0%

Diversified Financial Services - 0.0%

Bank of America Corp. 8% (i)(m)

(Cost $278)

337


350

Fixed-Income Funds - 9.3%

Shares

 

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

2,529,627

281,876

Fidelity Mortgage Backed Securities Central Fund (n)

13,411,714

1,464,559

TOTAL FIXED-INCOME FUNDS

(Cost $1,637,849)


1,746,435

Money Market Funds - 4.1%

Shares

Value (000s)

Fidelity Cash Central Fund, 0.17% (b)

720,024,195

$ 720,024

Fidelity Securities Lending Cash Central Fund, 0.17% (b)(c)

50,996,349

50,996

TOTAL MONEY MARKET FUNDS

(Cost $771,020)


771,020

TOTAL INVESTMENT PORTFOLIO - 101.0%

(Cost $16,718,497)

18,983,426

NET OTHER ASSETS (LIABILITIES) - (1.0)%

(187,270)

NET ASSETS - 100%

$ 18,796,156

TBA Sale Commitments

 

Principal Amount (000s)

 

Fannie Mae

3.5% 6/1/42

$ (2,000)

(2,101)

3.5% 6/1/42

(6,000)

(6,302)

3.5% 6/1/42

(6,000)

(6,302)

3.5% 6/1/42

(2,000)

(2,101)

3.5% 6/1/42

(3,000)

(3,151)

3.5% 6/1/42

(4,000)

(4,201)

3.5% 6/1/42

(3,000)

(3,151)

4% 6/1/42

(9,000)

(9,588)

4.5% 6/13/42

(13,800)

(14,807)

4.5% 6/13/42

(4,000)

(4,292)

TOTAL FANNIE MAE

(55,996)

Ginnie Mae

4% 6/1/42

(9,500)

(10,382)

TOTAL TBA SALE COMMITMENTS

(Proceeds $66,006)

$ (66,378)

Swap Agreements

 

Expiration Date

Notional Amount (000s)

Value (000s)

Credit Default Swaps

Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to Credit Suisse First Boston upon each credit event of one of the issues of ABX AA 07-01 Index, par value of the proportional notional amount (Rating-C) (Upfront Premium Received/(Paid) $2,560,000) (l)

Sept. 2037

$ 5,892

$ (5,586)

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

Sept. 2037

4,828

(4,578)

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

Sept. 2037

1,107

(1,050)

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

Sept. 2037

4,828

(4,578)

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

Sept. 2037

$ 4,696

$ (4,452)

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

Sept. 2037

4,031

(3,822)

 

$ 25,382

$ (24,066)

Legend

(a) Non-income producing

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

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

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

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

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

(g) Affiliated company

(h) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $667,213,000 or 3.5% of net assets.

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

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

(k) 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 $29,048,000.

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

(m) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.

(n) 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.

(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 as of the end of the period.

(p) Investment is owned by an entity that is treated as a corporation for U.S. tax purposes which is owned by the Fund.

(q) Restricted securities - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $179,166,000 or 1.0% of net assets.

Additional information on each restricted holding is as follows:

Security

Acquisition Date

Acquisition Cost (000s)

Aspen Aerogels, Inc.: 8% 6/1/14

6/1/11

$ 10,000

8% 12/6/14

12/6/11

$ 2,000

Facebook, Inc.
Class B

3/31/11 - 5/19/11

$ 22,038

HMH Holdings, Inc.

3/9/10

$ 633

Ivanplats Ltd.
8% 11/10/14 pay-in-kind

3/28/12

$ 12,325

Legend Pictures LLC

9/23/10 - 3/30/12

$ 37,645

Michael Kors Holdings Ltd.

7/8/11

$ 26,100

Station Holdco LLC

6/17/11

$ 1,131

Station Holdco LLC warrants 6/15/18

8/11/08 - 8/15/08

$ 6,358

wetpaint.com, Inc. Series C

5/14/08

$ 5,000

* 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

$ 611

Fidelity Corporate Bond 1-10 Year Central Fund

8,937

Fidelity Mortgage Backed Securities Central Fund

25,910

Fidelity Securities Lending Cash Central Fund

1,898

Total

$ 37,356

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

$ 277,955

$ -

$ -

$ 281,876

41.7%

Fidelity Mortgage Backed Securities Central Fund

1,146,867

306,038

-

1,464,559

9.8%

Total

$ 1,424,822

$ 306,038

$ -

$ 1,746,435

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

AMAG Pharmaceuticals, Inc.

$ 19,625

$ 5,149

$ 3,815

$ -

$ 20,492

CareView Communications, Inc.

14,652

376

-

-

16,159

Neurocrine Biosciences, Inc.

22,913

-

-

-

24,965

TherapeuticsMD, Inc.

-

11,260

-

-

14,905

Total

$ 57,190

$ 16,785

$ 3,815

$ -

$ 76,521

Other Information

The following is a summary of the inputs used, as of May 31, 2012, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the tables below, please refer to the Investment Valuation section at the end of this listing.

Valuation Inputs at Reporting Date:

Description
(Amounts in thousands)

Total

Level 1

Level 2

Level 3

Investments in Securities:

Equities:

Consumer Discretionary

$ 1,801,371

$ 1,504,761

$ 242,571

$ 54,039

Consumer Staples

1,443,060

1,371,860

71,200

-

Energy

1,199,823

1,199,823

-

-

Financials

1,312,846

1,287,023

25,823

-

Health Care

1,399,923

1,388,312

11,611

-

Industrials

992,382

992,345

-

37

Information Technology

2,573,353

2,515,595

56,764

994

Materials

351,074

334,344

16,730

-

Telecommunication Services

31,408

8,889

22,519

-

Utilities

325,186

266,585

58,601

-

Investment Companies

1,847

-

1,847

-

Corporate Bonds

2,225,814

-

2,197,673

28,141

U.S. Government and Government Agency Obligations

1,423,966

-

1,423,966

-

U.S. Government Agency - Mortgage Securities

663,581

-

663,581

-

Asset-Backed Securities

110,151

-

102,731

7,420

Collateralized Mortgage Obligations

35,000

-

33,691

1,309

Commercial Mortgage Securities

347,307

-

324,411

22,896

Municipal Securities

26,218

-

26,218

-

Foreign Government and Government Agency Obligations

6,099

-

6,099

-

Floating Rate Loans

191,673

-

191,673

-

Bank Notes

3,539

-

3,539

-

Preferred Securities

350

-

350

-

Fixed-Income Funds

1,746,435

1,746,435

-

-

Money Market Funds

771,020

771,020

-

-

Total Investments in Securities:

$ 18,983,426

$ 13,386,992

$ 5,481,598

$ 114,836

Derivative Instruments:

Liabilities

Swap Agreements

$ (24,066)

$ -

$ (24,066)

$ -

Other Financial Instruments:

TBA Sale Commitments

$ (66,378)

$ -

$ (66,378)

$ -

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

(Amounts in thousands)

 

Investments in Securities:

Beginning Balance

$ 144,675

Total Realized Gain (Loss)

(4,281)

Total Unrealized Gain (Loss)

16,440

Cost of Purchases

16,983

Proceeds of Sales

(41,248)

Amortization/Accretion

1,198

Transfers in to Level 3

20,522

Transfers out of Level 3

(39,453)

Ending Balance

$ 114,836

The change in unrealized gain (loss) for the period attributable to Level 3 securities held at May 31, 2012

$ 11,869

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

Income Tax Information

At May 31, 2012, the cost of investment securities for income tax purposes was $16,788,224,000. Net unrealized appreciation aggregated $2,195,202,000, of which $2,768,438,000 related to appreciated investment securities and $573,236,000 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 (ADRs), 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 these securities 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, and U.S. government and government agency obligations, pricing services utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer-supplied prices and are generally categorized as Level 2 in the hierarchy. For asset backed securities, collateralized mortgage obligations, commercial mortgage securities, and U.S. government agency mortgage securities, pricing services utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer-supplied prices and, accordingly, such securities are generally categorized as Level 2 in the hierarchy.

Swaps are marked-to-market daily based on valuations from independent pricing services or dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Pricing services utilize matrix pricing which considers comparisons to interest rate curves, credit spread curves, default possibilities and recovery rates and, as a result, swaps are generally categorized as Level 2 in the hierarchy. When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by independent pricing services. These are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

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

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

Credit Default Swap Agreements

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

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

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

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

The Fund is exposed to additional risks from investing in credit default swaps, such as liquidity risk and counterparty risk. Liquidity risk is the risk that the Fund will be unable to close out 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. On certain over-the-counter (OTC) derivatives such as credit default swaps, the Fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association (ISDA) Master Agreement on a bilateral basis with each of its counterparties. The ISDA Master Agreement gives the Fund the right to terminate all transactions traded under such agreement if there is a certain deterioration in the credit quality of the counterparty. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on OTC derivatives, the Fund receives collateral in the form of cash or securities once the Fund's net unrealized appreciation on outstanding derivatives contracts under an ISDA Master Agreement exceed certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the counterparty and the Fund's custodian bank. 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 related to OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to the Fund. The Fund may be required to pledge collateral for the benefit of the counterparties on OTC derivatives in an amount not less than the counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified.

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

The notional amount of credit default swaps approximates the maximum potential amount of future payments that the Fund could be required to make if the Fund is the seller and a credit event were to occur. The total notional amount of all credit default swaps open at period end where the Fund is the seller amounted to $25,382,000 representing .13% 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, 2012

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, 2012

By:

/s/Christine Reynolds

 

Christine Reynolds

 

Chief Financial Officer

 

 

Date:

July 30, 2012