UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-4085
Fidelity Income Fund
(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 |
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Date of reporting period: | August 31, 2009 |
Item 1. Reports to Stockholders
Fidelity
Total Bond
Fund
Annual Report
August 31, 2009
(2_fidelity_logos) (Registered_Trademark)
Contents
Chairman's Message | The Chairman's message to shareholders. | |
Performance | How the fund has done over time. | |
Management's Discussion | The manager's review of fund performance, strategy and outlook. | |
Shareholder Expense Example | An example of shareholder expenses. | |
Investment Changes | A summary of major shifts in the fund's investments over the past six months. | |
Investments | A complete list of the fund's investments with their market values. | |
Financial Statements | Statements of assets and liabilities, operations, and changes in net assets, | |
Notes | Notes to the financial statements. | |
Report of Independent Registered Public Accounting Firm |
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Trustees and Officers |
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Distributions |
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Proxy Voting Results |
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Board Approval of Investment Advisory Contracts and Management Fees |
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To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov. You may also call 1-800-544-8544 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company.
Annual Report
This report and the financial statements contained herein are submitted for the general information of the shareholders of the fund. This report is not authorized for distribution to prospective investors in the fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com or http://www.advisor.fidelity.com, as applicable.
NOT FDIC INSURED · MAY LOSE VALUE · NO BANK GUARANTEE
Neither the fund nor Fidelity Distributors Corporation is a bank.
Annual Report
Chairman's Message
Dear Shareholder:
We've seen a welcome uptick in the global equity markets this spring and summer, as signs of stabilization in some economic indicators have brought many investors back into the marketplace. But there remain other key measures - notably high unemployment and slack consumer spending - that suggest the road back to economic health could still be a bumpy ride. Financial markets are always unpredictable, of course, but there also are several time-tested investment principles that can help put the historical odds in your favor.
One of the basic tenets is to invest for the long term. Over time, riding out the markets' inevitable ups and downs has proven much more effective than selling into panic or chasing the hottest trend. Even missing only a few of the markets' best days can significantly diminish investor returns. Patience also affords the benefits of compounding - of earning interest on additional income or reinvested dividends and capital gains. There can be tax advantages and cost benefits to consider as well. While staying the course doesn't eliminate risk, it can considerably lessen the effect of short-term declines.
You can further manage your investing risk through diversification. And today, more than ever, geographic diversification should be taken into account. Studies indicate that asset allocation is the single most important determinant of a portfolio's long-term success. The right mix of stocks, bonds and cash - aligned to your particular risk tolerance and investment objective - is very important. Age-appropriate rebalancing is also an essential aspect of asset allocation. For younger investors, an emphasis on equities - which historically have been the best-performing asset class over time - is encouraged. As investors near their specific goal, such as retirement or sending a child to college, consideration may be given to replacing volatile assets (e.g. common stocks) with more-stable fixed investments (bonds or savings plans).
A third principle - investing regularly - can help lower the average cost of your purchases. Investing a certain amount of money each month or quarter helps ensure you won't pay for all your shares at market highs. This strategy - known as dollar cost averaging - also reduces "emotion" from investing, helping shareholders avoid selling weak performers just prior to an upswing, or chasing a hot performer just before a correction.
We invite you to contact us via the Internet, through our Investor Centers or by phone. It is our privilege to provide you the information you need to make the investments that are right for you.
Sincerely,
/s/Abigail P. Johnson
Abigail P. Johnson
Annual Report
Performance: The Bottom Line
Average annual total return reflects the change in the value of an investment, assuming reinvestment of the class' dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) and assuming a constant rate of performance each year. The $10,000 table and the fund's returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund's total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.
Average Annual Total Returns
Periods ended August 31, 2009 | Past 1 | Past 5 | Life of |
Total Bond | 8.17% | 4.49% | 5.13% |
A From October 15, 2002.
$10,000 Over Life of Fund
Let's say hypothetically that $10,000 was invested in Total Bond, a class of the fund, on October 15, 2002, when the fund started. The chart shows how the value of your investment would have changed, and also shows how the Barclays Capital U.S. Aggregate Bond Index performed over the same period.
Annual Report
Management's Discussion of Fund Performance
Market Recap: While the positive returns of taxable bonds were more encouraging than the negative returns posted by major equity indexes for the year ending August 31, 2009, fixed-income securities rode their own wave of volatility. As the credit crisis resulting from a meltdown in the subprime mortgage market deepened in the beginning of the period, bond investors fled from lower-quality debt instruments and flocked to those with backing from the U.S. government. With government interventions around the world beginning to take root in the later months of the period, however, credit conditions improved and signs of stabilization among certain economic indicators emerged, eliciting greater demand for risk. Consequently, bonds further out on the risk spectrum boasted the largest returns. For the year overall, U.S. investment-grade bonds gained 7.94%, as measured by the Barclays Capital U.S. Aggregate Bond Index.
Comments from Ford O'Neil, Lead Portfolio Manager of Fidelity Total Bond Fund: The fund's Retail Class shares gained 8.17%, outpacing the Barclays Capital U.S. Universal Bond Index, which returned 7.38%, and the Aggregate Bond index. In reviewing performance, I'll discuss the aggregate of our direct investments and those we made in Fidelity's fixed-income central funds. Sector selection drove results versus the Aggregate Bond index. Specifically, the fund was helped by overweighting corporate bonds and securitized products, while underweighting U.S. government securities - particularly Treasuries. These sector decisions, coupled with favorable security selection overall, helped to offset out-of-index allocations to high-yield and emerging-markets debt. That said, we saw strong excess returns in the emerging-markets subportfolio. All spread sectors benefited in the second half from a massive flight to riskier assets. Corporates in particular had a strong showing, with the fund's industrials and utilities holdings showing big gains. Elsewhere, I increased our overweighting in financials, a move that also contributed. High-yield and emerging-markets bonds were helped by similar forces in the second half, although their recent rally wasn't enough to overcome what they lost relative to investment-grade debt early on in the period. I added to our high-yield stake beginning in late 2008, which was a plus for the fund since that time. However, security selection in the sector limited our upside a bit. An out-of-index stake in Treasury Inflation-Protected Securities also detracted. In terms of the fund's structure, I significantly reduced our central fund exposure, while still maintaining many of the same securities via direct holdings.
The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.
Annual Report
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments or redemption proceeds, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The actual expense Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (March 1, 2009 to August 31, 2009) for Class A, Class T, Class B, Class C, Total Bond and Institutional Class and for the entire period (June 26, 2009 to August 31, 2009) for Class F. The hypothetical expense example is based on an investment of $1,000 invested at the beginning of the period and held for the one-half year period (March 1, 2009 to August 31, 2009).
Actual Expenses
The first line of the accompanying table for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Annual Report
Shareholder Expense Example - continued
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| Annualized | Beginning | Ending | Expenses Paid |
Class A | .79% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,140.70 | $ 4.26 B |
Hypothetical A |
| $ 1,000.00 | $ 1,021.22 | $ 4.02 C |
Class T | .84% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,140.60 | $ 4.53 B |
Hypothetical A |
| $ 1,000.00 | $ 1,020.97 | $ 4.28 C |
Class B | 1.52% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,136.60 | $ 8.19 B |
Hypothetical A |
| $ 1,000.00 | $ 1,017.54 | $ 7.73 C |
Class C | 1.50% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,136.70 | $ 8.08 B |
Hypothetical A |
| $ 1,000.00 | $ 1,017.64 | $ 7.63 C |
Total Bond | .45% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,142.60 | $ 2.43 B |
Hypothetical A |
| $ 1,000.00 | $ 1,022.94 | $ 2.29 C |
Class F | .35% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,046.40 | $ .66 B |
Hypothetical A |
| $ 1,000.00 | $ 1,023.44 | $ 1.79 C |
Institutional Class | .52% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,141.30 | $ 2.81 B |
Hypothetical A |
| $ 1,000.00 | $ 1,022.58 | $ 2.65 C |
A 5% return per year before expenses
B Actual expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period) for Class A, Class T, Class B, Class C, Total Bond and Institutional Class and multiplied by 67/365 (to reflect the period June 26, 2009 to August 31, 2009) for Class F. The fees and expenses of the underlying Fidelity Central Funds in which the Fund invests are not included in the Fund's annualized expense ratio.
C Hypothetical expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).
Annual Report
Investment Changes (Unaudited)
The information in the following tables is based on the combined investments of the Fund and its pro-rata share of its investments in each non-money market Fidelity Central Fund.
Quality Diversification (% of fund's net assets) | |||||||
As of August 31, 2009 | As of February 28, 2009 | ||||||
![]() | U.S. Government and |
| ![]() | U.S. Government and |
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![]() | AAA 6.8% |
| ![]() | AAA 9.5% |
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![]() | AA 3.2% |
| ![]() | AA 4.1% |
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![]() | A 10.1% |
| ![]() | A 10.9% |
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![]() | BBB 15.3% |
| ![]() | BBB 16.3% |
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![]() | BB and Below 15.3% |
| ![]() | BB and Below 13.9% |
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![]() | Not Rated 0.7% |
| ![]() | Not Rated 1.3% |
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![]() | Short-Term |
| ![]() | Short-Term |
|
We have used ratings from Moody's® Investors Services, Inc. Where Moody's ratings are not available, we have used S&P® ratings. All ratings are as of the report date and do not reflect subsequent downgrades. Securities rated BB or below were rated investment grade at the time of acquisition. |
Weighted Average Maturity as of August 31, 2009 | ||
|
| 6 months ago |
Years | 5.5 | 5.7 |
The weighted average maturity is based on the dollar-weighted average length of time until principal payments are expected or until securities reach maturity, taking into account any maturity shortening feature such as a call, refunding or redemption provision. |
Duration as of August 31, 2009 | ||
|
| 6 months ago |
Years | 3.7 | 3.6 |
Duration shows how much a bond fund's price fluctuates with changes in comparable interest rates. If rates rise 1%, for example, a fund with a five-year duration is likely to lose about 5% of its value. Other factors also can influence a bond fund's performance and share price. Accordingly, a bond fund's actual performance may differ from this example. |
Asset Allocation (% of fund's net assets) | |||||||
As of August 31, 2009* | As of February 28, 2009** | ||||||
![]() | Corporate Bonds 34.8% |
| ![]() | Corporate Bonds 36.7% |
| ||
![]() | U.S. Government and |
| ![]() | U.S. Government and |
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![]() | Asset-Backed |
| ![]() | Asset-Backed |
| ||
![]() | CMOs and Other |
| ![]() | CMOs and Other |
| ||
![]() | Municipal Bonds 0.2% |
| ![]() | Municipal Bonds 0.4% |
| ||
![]() | Other Investments 6.5% |
| ![]() | Other Investments 6.2% |
| ||
![]() | Short-Term |
| ![]() | Short-Term |
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* Foreign investments | 9.0% |
| ** Foreign investments | 9.0% |
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* Futures and Swaps | 8.8% |
| ** Futures and Swaps | 12.2% |
|
† Short-term Investments and Net Other Assets are not included in the pie chart.
†† Includes FDIC Guaranteed Corporate Securities.
A holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds is available at fidelity.com and/or advisor.fidelity.com, as applicable.
Annual Report
Investments August 31, 2009
Showing Percentage of Net Assets
Corporate Bonds - 28.1% | ||||
| Principal Amount (d) | Value | ||
Convertible Bonds - 0.1% | ||||
ENERGY - 0.0% | ||||
Oil, Gas & Consumable Fuels - 0.0% | ||||
Chesapeake Energy Corp. 2.5% 5/15/37 | $ 2,086,000 | $ 1,635,007 | ||
FINANCIALS - 0.0% | ||||
Real Estate Investment Trusts - 0.0% | ||||
Ventas, Inc. 3.875% 11/15/11 (h) | 1,140,000 | 1,190,650 | ||
Vornado Realty Trust 2.85% 4/1/27 | 510,000 | 465,406 | ||
| 1,656,056 | |||
Real Estate Management & Development - 0.0% | ||||
ERP Operating LP 3.85% 8/15/26 | 270,000 | 263,185 | ||
TOTAL FINANCIALS | 1,919,241 | |||
INDUSTRIALS - 0.0% | ||||
Electrical Equipment - 0.0% | ||||
General Cable Corp. 1% 10/15/12 | 2,580,000 | 2,168,748 | ||
INFORMATION TECHNOLOGY - 0.1% | ||||
Communications Equipment - 0.1% | ||||
Lucent Technologies, Inc. 2.875% 6/15/25 | 2,841,800 | 2,273,355 | ||
TOTAL CONVERTIBLE BONDS | 7,996,351 | |||
Nonconvertible Bonds - 28.0% | ||||
CONSUMER DISCRETIONARY - 3.3% | ||||
Auto Components - 0.1% | ||||
Affinia Group, Inc. 10.75% 8/15/16 (h) | 330,000 | 339,900 | ||
ArvinMeritor, Inc. 8.125% 9/15/15 | 3,250,000 | 2,437,500 | ||
DaimlerChrysler NA Holding Corp.: | ||||
5.75% 9/8/11 | 5,595,000 | 5,866,783 | ||
5.875% 3/15/11 | 2,077,000 | 2,161,540 | ||
RSC Equipment Rental, Inc. 10% 7/15/17 (h) | 1,170,000 | 1,240,200 | ||
Tenneco, Inc. 8.625% 11/15/14 | 1,750,000 | 1,531,250 | ||
The Goodyear Tire & Rubber Co. 10.5% 5/15/16 | 2,120,000 | 2,268,400 | ||
TRW Automotive, Inc. 7% 3/15/14 (h) | 900,000 | 783,000 | ||
| 16,628,573 | |||
Automobiles - 0.0% | ||||
Ford Motor Co.: | ||||
6.375% 2/1/29 | 1,465,000 | 981,550 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Automobiles - continued | ||||
Ford Motor Co.: - continued | ||||
6.625% 10/1/28 | $ 2,475,000 | $ 1,683,000 | ||
7.45% 7/16/31 | 2,200,000 | 1,683,000 | ||
| 4,347,550 | |||
Diversified Consumer Services - 0.0% | ||||
Affinion Group, Inc.: | ||||
10.125% 10/15/13 (h) | 1,070,000 | 1,061,975 | ||
11.5% 10/15/15 | 1,005,000 | 964,800 | ||
Service Corp. International 7.5% 4/1/27 | 1,935,000 | 1,635,075 | ||
ServiceMaster Co. 10.75% 7/15/15 pay-in-kind (h) | 970,000 | 853,600 | ||
Trustees of Dartmouth College 4.75% 6/1/19 | 1,000 | 1,036 | ||
| 4,516,486 | |||
Hotels, Restaurants & Leisure - 0.6% | ||||
Ameristar Casinos, Inc. 9.25% 6/1/14 (h) | 2,020,000 | 2,060,400 | ||
Carrols Corp. 9% 1/15/13 | 85,000 | 82,663 | ||
Chukchansi Economic Development Authority 8% 11/15/13 (h) | 565,000 | 452,000 | ||
Harrah's Escrow Corp. 11.25% 6/1/17 (h) | 2,635,000 | 2,687,700 | ||
Host Marriott LP: | ||||
6.375% 3/15/15 | 250,000 | 230,000 | ||
7.125% 11/1/13 | 5,360,000 | 5,199,200 | ||
ITT Corp. 7.375% 11/15/15 | 1,130,000 | 1,076,325 | ||
Landry's Restaurants, Inc. 14% 8/15/11 | 1,800,000 | 1,795,500 | ||
Mashantucket Western Pequot Tribe 8.5% 11/15/15 (h) | 4,330,000 | 909,300 | ||
McDonald's Corp. 5.35% 3/1/18 | 2,339,000 | 2,512,219 | ||
MGM Mirage, Inc.: | ||||
8.375% 2/1/11 | 645,000 | 541,800 | ||
8.5% 9/15/10 | 735,000 | 712,950 | ||
Mohegan Tribal Gaming Authority: | ||||
6.125% 2/15/13 | 4,175,000 | 3,423,500 | ||
6.875% 2/15/15 | 210,000 | 144,900 | ||
7.125% 8/15/14 | 1,350,000 | 945,000 | ||
Park Place Entertainment Corp. 7.875% 3/15/10 | 480,000 | 465,600 | ||
Penn National Gaming, Inc. 8.75% 8/15/19 (h) | 2,695,000 | 2,695,000 | ||
Pinnacle Entertainment, Inc. 8.625% 8/1/17 (h) | 2,520,000 | 2,494,800 | ||
Royal Caribbean Cruises Ltd.: | ||||
7.25% 3/15/18 | 465,000 | 365,025 | ||
11.875% 7/15/15 | 1,450,000 | 1,479,000 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Hotels, Restaurants & Leisure - continued | ||||
Royal Caribbean Cruises Ltd.: - continued | ||||
yankee: | ||||
7% 6/15/13 | $ 3,000,000 | $ 2,662,500 | ||
7.25% 6/15/16 | 4,285,000 | 3,492,275 | ||
7.5% 10/15/27 | 2,025,000 | 1,420,031 | ||
Scientific Games Corp.: | ||||
7.875% 6/15/16 (h) | 2,145,000 | 2,043,113 | ||
9.25% 6/15/19 (h) | 1,845,000 | 1,863,450 | ||
Seminole Hard Rock Entertainment, Inc. 3.1294% 3/15/14 (h)(o) | 3,010,000 | 2,287,600 | ||
Seneca Gaming Corp.: | ||||
Series B, 7.25% 5/1/12 | 945,000 | 888,300 | ||
7.25% 5/1/12 | 1,760,000 | 1,654,400 | ||
Snoqualmie Entertainment Authority: | ||||
4.68% 2/1/14 (h)(o) | 140,000 | 68,600 | ||
9.125% 2/1/15 (h) | 1,100,000 | 605,000 | ||
Speedway Motorsports, Inc. 8.75% 6/1/16 (h) | 1,855,000 | 1,887,463 | ||
Starwood Hotels & Resorts Worldwide, Inc.: | ||||
6.25% 2/15/13 | 1,200,000 | 1,131,000 | ||
7.875% 5/1/12 | 2,095,000 | 2,105,475 | ||
7.875% 10/15/14 | 2,635,000 | 2,621,825 | ||
Times Square Hotel Trust 8.528% 8/1/26 (h) | 108,352 | 99,207 | ||
Town Sports International Holdings, Inc. 11% 2/1/14 | 2,270,000 | 1,112,300 | ||
Universal City Development Partners Ltd./UCDP Finance, Inc. 11.75% 4/1/10 | 480,000 | 478,800 | ||
Universal City Florida Holding Co. I/II 8.375% 5/1/10 | 3,025,000 | 2,737,625 | ||
Wendy's/Arby's Restaurants LLC 10% 7/15/16 (h) | 3,465,000 | 3,568,950 | ||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.: | ||||
6.625% 12/1/14 | 4,685,000 | 4,312,075 | ||
| 67,312,871 | |||
Household Durables - 0.3% | ||||
D.R. Horton, Inc. 6.5% 4/15/16 | 1,170,000 | 1,082,250 | ||
Fortune Brands, Inc.: | ||||
5.125% 1/15/11 | 4,239,000 | 4,314,997 | ||
5.875% 1/15/36 | 13,274,000 | 11,099,639 | ||
6.375% 6/15/14 | 6,250,000 | 6,387,050 | ||
KB Home 5.875% 1/15/15 | 720,000 | 669,600 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Household Durables - continued | ||||
Lennar Corp. 12.25% 6/1/17 (h) | $ 2,145,000 | $ 2,477,475 | ||
Reliance Intermediate Holdings LP 9.5% 12/15/19 (h) | 3,055,000 | 3,039,725 | ||
Ryland Group, Inc. 8.4% 5/15/17 | 1,855,000 | 1,873,550 | ||
Sealy Mattress Co. 8.25% 6/15/14 | 1,090,000 | 956,475 | ||
| 31,900,761 | |||
Media - 2.0% | ||||
AMC Entertainment, Inc. 8.75% 6/1/19 | 2,740,000 | 2,712,600 | ||
AOL Time Warner, Inc.: | ||||
6.75% 4/15/11 | 1,882,000 | 2,000,782 | ||
6.875% 5/1/12 | 2,441,000 | 2,669,524 | ||
7.625% 4/15/31 | 500,000 | 549,083 | ||
Cablemas SA de CV 9.375% 11/15/15 (Reg. S) | 1,795,000 | 1,934,113 | ||
Charter Communications Holdings I LLC: | ||||
9.92% 4/1/14 (c) | 1,495,000 | 13,081 | ||
11.125% 1/15/14 (c) | 505,000 | 4,419 | ||
Charter Communications Holdings I LLC/Charter Communications Holdings I Capital Corp. 11% 10/1/15 (c) | 5,490,000 | 768,600 | ||
Charter Communications Holdings II LLC/Charter Communications Holdings II Capital Corp. 10.25% 9/15/10 (c) | 3,865,000 | 4,294,981 | ||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.: | ||||
10% 4/30/12 (h)(o) | 3,865,000 | 3,903,650 | ||
10.375% 4/30/14 (h)(o) | 2,220,000 | 2,247,750 | ||
12.875% 9/15/14 (h) | 890,000 | 965,650 | ||
Clear Channel Communications, Inc.: | ||||
4.5% 1/15/10 | 1,060,000 | 935,450 | ||
7.65% 9/15/10 | 710,000 | 532,500 | ||
Comcast Cable Communications, Inc. 6.75% 1/30/11 | 511,000 | 543,423 | ||
Comcast Corp.: | ||||
4.95% 6/15/16 | 1,879,000 | 1,905,774 | ||
5.5% 3/15/11 | 382,000 | 400,901 | ||
5.7% 5/15/18 | 11,968,000 | 12,637,753 | ||
5.85% 1/15/10 | 61,000 | 62,104 | ||
6.45% 3/15/37 | 8,838,000 | 9,427,618 | ||
6.55% 7/1/39 | 9,000,000 | 9,743,382 | ||
COX Communications, Inc.: | ||||
4.625% 1/15/10 | 2,141,000 | 2,164,808 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Media - continued | ||||
COX Communications, Inc.: - continued | ||||
4.625% 6/1/13 | $ 4,467,000 | $ 4,603,503 | ||
6.25% 6/1/18 (h) | 1,055,000 | 1,122,791 | ||
6.45% 12/1/36 (h) | 913,000 | 936,639 | ||
6.95% 6/1/38 (h) | 452,000 | 493,932 | ||
CSC Holdings, Inc.: | ||||
6.75% 4/15/12 | 3,945,000 | 3,964,725 | ||
8.5% 4/15/14 (h) | 2,105,000 | 2,141,838 | ||
8.5% 6/15/15 (h) | 2,340,000 | 2,363,400 | ||
8.625% 2/15/19 (h) | 4,030,000 | 4,090,450 | ||
EchoStar Communications Corp.: | ||||
6.375% 10/1/11 | 4,340,000 | 4,345,425 | ||
7% 10/1/13 | 6,765,000 | 6,629,700 | ||
7.125% 2/1/16 | 1,345,000 | 1,291,200 | ||
7.75% 5/31/15 | 1,810,000 | 1,782,850 | ||
Interpublic Group of Companies, Inc.: | ||||
6.25% 11/15/14 | 1,310,000 | 1,208,475 | ||
10% 7/15/17 (h) | 1,130,000 | 1,180,850 | ||
Kabel Deutschland GmbH 10.625% 7/1/14 | 4,825,000 | 5,018,000 | ||
Lamar Media Corp.: | ||||
Series B, 6.625% 8/15/15 | 535,000 | 468,125 | ||
6.625% 8/15/15 | 1,030,000 | 921,850 | ||
9.75% 4/1/14 (h) | 1,830,000 | 1,939,800 | ||
Liberty Media Corp.: | ||||
5.7% 5/15/13 | 1,415,000 | 1,344,250 | ||
8.25% 2/1/30 | 245,000 | 186,200 | ||
Marquee Holdings, Inc. 12% 8/15/14 (f) | 2,965,000 | 2,453,538 | ||
News America Holdings, Inc. 7.75% 12/1/45 | 170,000 | 178,040 | ||
News America, Inc.: | ||||
4.75% 3/15/10 | 244,000 | 244,928 | ||
5.3% 12/15/14 | 876,000 | 939,063 | ||
6.15% 3/1/37 | 2,970,000 | 2,868,910 | ||
6.2% 12/15/34 | 5,330,000 | 5,172,594 | ||
6.65% 11/15/37 | 15,817,000 | 16,265,349 | ||
6.9% 3/1/19 (h) | 4,805,000 | 5,412,986 | ||
Nielsen Finance LLC/Nielsen Finance Co.: | ||||
0% 8/1/16 (e) | 6,505,000 | 4,520,975 | ||
10% 8/1/14 | 3,975,000 | 3,736,500 | ||
11.5% 5/1/16 | 2,225,000 | 2,213,875 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Media - continued | ||||
Nielsen Finance LLC/Nielsen Finance Co.: - continued | ||||
11.625% 2/1/14 | $ 2,325,000 | $ 2,307,563 | ||
Quebecor Media, Inc.: | ||||
7.75% 3/15/16 | 4,712,000 | 4,417,500 | ||
7.75% 3/15/16 | 2,485,000 | 2,329,688 | ||
Regal Cinemas Corp. 8.625% 7/15/19 (h) | 2,615,000 | 2,667,300 | ||
The Reader's Digest Association, Inc. 9% 2/15/17 (c) | 2,805,000 | 66,619 | ||
Time Warner Cable, Inc.: | ||||
5.4% 7/2/12 | 2,444,000 | 2,607,003 | ||
5.85% 5/1/17 | 2,607,000 | 2,737,772 | ||
6.2% 7/1/13 | 2,324,000 | 2,511,349 | ||
6.75% 7/1/18 | 13,473,000 | 14,883,879 | ||
7.3% 7/1/38 | 7,850,000 | 8,882,032 | ||
8.75% 2/14/19 | 2,390,000 | 2,942,140 | ||
Time Warner, Inc.: | ||||
5.875% 11/15/16 | 4,296,000 | 4,488,637 | ||
6.5% 11/15/36 | 11,565,000 | 11,646,163 | ||
TL Acquisitions, Inc.: | ||||
10.5% 1/15/15 (h) | 4,895,000 | 4,454,450 | ||
13.25% 7/15/15 (h) | 1,600,000 | 1,448,000 | ||
Univision Communications, Inc. 12% 7/1/14 (h) | 985,000 | 1,034,250 | ||
UPC Holding BV 9.875% 4/15/18 (h) | 3,250,000 | 3,274,375 | ||
Viacom, Inc.: | ||||
6.125% 10/5/17 | 4,235,000 | 4,476,158 | ||
6.25% 4/30/16 | 5,600,000 | 6,007,898 | ||
6.75% 10/5/37 | 1,460,000 | 1,529,262 | ||
Videotron Ltd.: | ||||
9.125% 4/15/18 (h) | 1,680,000 | 1,768,200 | ||
9.125% 4/15/18 | 1,630,000 | 1,711,500 | ||
Visant Holding Corp. 8.75% 12/1/13 | 450,000 | 454,500 | ||
| 239,104,945 | |||
Multiline Retail - 0.1% | ||||
Dollar General Corp. 10.625% 7/15/15 | 1,995,000 | 2,214,450 | ||
Federated Retail Holdings, Inc. 5.9% 12/1/16 | 1,625,000 | 1,432,433 | ||
Macy's Retail Holdings, Inc. 8.875% 7/15/15 | 1,055,000 | 1,068,392 | ||
Matahari Finance BV 9.5% 10/6/09 | 1,095,000 | 1,095,000 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Multiline Retail - continued | ||||
Neiman Marcus Group, Inc.: | ||||
9% 10/15/15 pay-in-kind (f) | $ 1,164,015 | $ 869,519 | ||
10.375% 10/15/15 | 1,130,000 | 858,800 | ||
| 7,538,594 | |||
Specialty Retail - 0.1% | ||||
Ltd. Brands, Inc. 8.5% 6/15/19 (h) | 1,265,000 | 1,258,675 | ||
Michaels Stores, Inc. 10% 11/1/14 | 1,705,000 | 1,628,275 | ||
Sally Holdings LLC 9.25% 11/15/14 | 3,215,000 | 3,319,488 | ||
Toys 'R' Us, Inc.: | ||||
7.375% 10/15/18 | 735,000 | 540,225 | ||
7.625% 8/1/11 | 4,470,000 | 4,201,800 | ||
| 10,948,463 | |||
Textiles, Apparel & Luxury Goods - 0.1% | ||||
Hanesbrands, Inc. 4.5925% 12/15/14 (o) | 2,020,000 | 1,737,200 | ||
Levi Strauss & Co.: | ||||
8.875% 4/1/16 | 1,285,000 | 1,285,000 | ||
9.75% 1/15/15 | 4,055,000 | 4,115,825 | ||
| 7,138,025 | |||
TOTAL CONSUMER DISCRETIONARY | 389,436,268 | |||
CONSUMER STAPLES - 1.7% | ||||
Beverages - 0.4% | ||||
Anheuser-Busch InBev Worldwide, Inc.: | ||||
6.875% 11/15/19 (h) | 13,000,000 | 14,541,553 | ||
7.75% 1/15/19 (h) | 4,750,000 | 5,561,737 | ||
Constellation Brands, Inc.: | ||||
7.25% 9/1/16 | 3,135,000 | 3,033,113 | ||
7.25% 5/15/17 | 495,000 | 478,913 | ||
8.375% 12/15/14 | 2,835,000 | 2,877,525 | ||
Diageo Capital PLC 5.2% 1/30/13 | 1,037,000 | 1,107,352 | ||
FBG Finance Ltd. 5.125% 6/15/15 (h) | 2,936,000 | 3,007,295 | ||
PepsiCo, Inc. 7.9% 11/1/18 | 9,430,000 | 11,892,890 | ||
| 42,500,378 | |||
Food & Staples Retailing - 0.3% | ||||
Albertsons, Inc.: | ||||
7.45% 8/1/29 | 250,000 | 203,125 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
CONSUMER STAPLES - continued | ||||
Food & Staples Retailing - continued | ||||
Albertsons, Inc.: - continued | ||||
7.75% 6/15/26 | $ 600,000 | $ 513,000 | ||
8% 5/1/31 | 2,385,000 | 2,068,988 | ||
CVS Caremark Corp.: | ||||
0.9675% 6/1/10 (o) | 2,296,000 | 2,291,746 | ||
6.036% 12/10/28 | 14,222,232 | 13,423,227 | ||
6.302% 6/1/37 (o) | 13,351,000 | 10,547,290 | ||
SUPERVALU, Inc.: | ||||
7.5% 5/15/12 | 315,000 | 318,150 | ||
7.5% 11/15/14 | 1,595,000 | 1,571,075 | ||
8% 5/1/16 | 4,285,000 | 4,242,150 | ||
The Great Atlantic & Pacific Tea Co. 11.375% 8/1/15 (h) | 2,330,000 | 2,295,050 | ||
| 37,473,801 | |||
Food Products - 0.5% | ||||
Cargill, Inc.: | ||||
6% 11/27/17 (h) | 9,457,000 | 10,120,957 | ||
6.625% 9/15/37 (h) | 8,334,000 | 8,654,426 | ||
Dean Foods Co.: | ||||
6.9% 10/15/17 | 4,565,000 | 4,154,150 | ||
7% 6/1/16 | 2,740,000 | 2,561,900 | ||
General Mills, Inc.: | ||||
5.2% 3/17/15 | 7,738,000 | 8,329,129 | ||
5.65% 2/15/19 | 1,586,000 | 1,713,687 | ||
H.J. Heinz Finance Co. 7.125% 8/1/39 (h) | 4,605,000 | 5,407,380 | ||
Kraft Foods, Inc.: | ||||
5.625% 11/1/11 | 3,660,000 | 3,947,167 | ||
6.125% 2/1/18 | 5,261,000 | 5,757,538 | ||
6.75% 2/19/14 | 540,000 | 612,850 | ||
National Beef Packing Co. LLC/National Beef Finance Corp. 10.5% 8/1/11 | 1,595,000 | 1,575,063 | ||
Smithfield Foods, Inc. 10% 7/15/14 (h) | 1,055,000 | 1,060,275 | ||
| 53,894,522 | |||
Personal Products - 0.0% | ||||
Avon Products, Inc. 4.8% 3/1/13 | 1,789,000 | 1,901,213 | ||
Revlon Consumer Products Corp. 9.5% 4/1/11 | 3,075,000 | 2,902,031 | ||
| 4,803,244 | |||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
CONSUMER STAPLES - continued | ||||
Tobacco - 0.5% | ||||
Altria Group, Inc.: | ||||
9.7% 11/10/18 | $ 22,622,000 | $ 27,672,248 | ||
9.95% 11/10/38 | 7,025,000 | 9,259,112 | ||
Philip Morris International, Inc.: | ||||
4.875% 5/16/13 | 9,347,000 | 9,950,919 | ||
5.65% 5/16/18 | 7,161,000 | 7,615,487 | ||
Reynolds American, Inc.: | ||||
6.75% 6/15/17 | 2,926,000 | 2,981,424 | ||
7.25% 6/15/37 | 4,865,000 | 4,679,201 | ||
| 62,158,391 | |||
TOTAL CONSUMER STAPLES | 200,830,336 | |||
ENERGY - 3.4% | ||||
Energy Equipment & Services - 0.2% | ||||
Compagnie Generale de Geophysique SA: | ||||
7.5% 5/15/15 | 1,375,000 | 1,292,500 | ||
7.75% 5/15/17 | 1,955,000 | 1,867,025 | ||
DCP Midstream LLC 9.75% 3/15/19 (h) | 4,663,000 | 5,543,603 | ||
Helix Energy Solutions Group, Inc. 9.5% 1/15/16 (h) | 1,295,000 | 1,204,350 | ||
Transocean Ltd. 5.25% 3/15/13 | 3,466,000 | 3,649,407 | ||
Weatherford International Ltd.: | ||||
4.95% 10/15/13 | 1,742,000 | 1,798,155 | ||
5.15% 3/15/13 | 2,277,000 | 2,372,723 | ||
7% 3/15/38 | 5,880,000 | 6,080,002 | ||
9.625% 3/1/19 | 1,500,000 | 1,822,293 | ||
| 25,630,058 | |||
Oil, Gas & Consumable Fuels - 3.2% | ||||
Anadarko Petroleum Corp.: | ||||
5.95% 9/15/16 | 14,836,000 | 15,428,416 | ||
6.45% 9/15/36 | 2,115,000 | 2,093,581 | ||
Arch Coal, Inc. 8.75% 8/1/16 (h) | 1,545,000 | 1,545,000 | ||
Arch Western Finance LLC 6.75% 7/1/13 | 1,600,000 | 1,532,000 | ||
Atlas Pipeline Partners LP 8.125% 12/15/15 | 1,610,000 | 1,304,100 | ||
Berry Petroleum Co. 10.25% 6/1/14 | 975,000 | 1,018,875 | ||
BW Group Ltd. 6.625% 6/28/17 (h) | 2,957,000 | 2,498,665 | ||
Canadian Natural Resources Ltd.: | ||||
5.15% 2/1/13 | 4,498,000 | 4,705,061 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Canadian Natural Resources Ltd.: - continued | ||||
5.7% 5/15/17 | $ 16,009,000 | $ 16,767,651 | ||
Chesapeake Energy Corp.: | ||||
6.5% 8/15/17 | 3,485,000 | 3,101,650 | ||
6.875% 1/15/16 | 580,000 | 530,700 | ||
7.25% 12/15/18 | 1,600,000 | 1,460,000 | ||
7.5% 9/15/13 | 2,265,000 | 2,208,375 | ||
7.5% 6/15/14 | 1,790,000 | 1,736,300 | ||
7.625% 7/15/13 | 895,000 | 879,338 | ||
9.5% 2/15/15 | 8,575,000 | 8,746,500 | ||
ConocoPhillips: | ||||
4.6% 1/15/15 | 10,000,000 | 10,648,720 | ||
4.75% 2/1/14 | 1,055,000 | 1,131,175 | ||
5.75% 2/1/19 | 2,930,000 | 3,208,350 | ||
Denbury Resources, Inc. 9.75% 3/1/16 | 1,060,000 | 1,120,950 | ||
Drummond Co., Inc. 7.375% 2/15/16 (h) | 5,390,000 | 4,689,300 | ||
Duke Capital LLC: | ||||
6.25% 2/15/13 | 1,000,000 | 1,068,380 | ||
6.75% 2/15/32 | 10,542,000 | 10,102,304 | ||
Duke Energy Field Services: | ||||
5.375% 10/15/15 (h) | 1,222,000 | 1,189,981 | ||
6.45% 11/3/36 (h) | 2,400,000 | 2,164,243 | ||
6.875% 2/1/11 | 2,313,000 | 2,411,989 | ||
7.875% 8/16/10 | 1,037,000 | 1,085,816 | ||
El Paso Corp. 8.25% 2/15/16 | 875,000 | 875,000 | ||
El Paso Energy Corp. 7.75% 1/15/32 | 1,315,000 | 1,170,951 | ||
El Paso Natural Gas Co. 5.95% 4/15/17 | 935,000 | 960,770 | ||
El Paso Performance-Linked Trust 7.75% 7/15/11 (h) | 3,100,000 | 2,991,500 | ||
Empresa Nacional de Petroleo 6.75% 11/15/12 (h) | 1,694,000 | 1,822,475 | ||
Enbridge Energy Partners LP: | ||||
5.875% 12/15/16 | 1,806,000 | 1,803,063 | ||
6.5% 4/15/18 | 2,372,000 | 2,491,200 | ||
EnCana Holdings Finance Corp. 5.8% 5/1/14 | 2,888,000 | 3,140,154 | ||
Enterprise Products Operating LP: | ||||
4.625% 10/15/09 | 1,947,000 | 1,950,259 | ||
5.6% 10/15/14 | 1,955,000 | 2,067,831 | ||
5.65% 4/1/13 | 697,000 | 740,593 | ||
Forest Oil Corp.: | ||||
7.25% 6/15/19 | 1,080,000 | 1,015,200 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Forest Oil Corp.: - continued | ||||
7.75% 5/1/14 | $ 1,005,000 | $ 949,725 | ||
8.5% 2/15/14 (h) | 4,070,000 | 4,090,350 | ||
Frontier Oil Corp. 8.5% 9/15/16 | 1,950,000 | 1,979,250 | ||
Gazstream SA 5.625% 7/22/13 (h) | 823,342 | 823,342 | ||
Gulf South Pipeline Co. LP 5.75% 8/15/12 (h) | 3,863,000 | 4,010,111 | ||
KazMunaiGaz Finance Sub BV: | ||||
8.375% 7/2/13 (h) | 2,025,000 | 1,974,375 | ||
9.125% 7/2/18 (h) | 1,015,000 | 979,475 | ||
11.75% 1/23/15 (h) | 1,085,000 | 1,177,225 | ||
Lukoil International Finance BV 6.656% 6/7/22 (h) | 1,222,000 | 1,105,910 | ||
Massey Energy Co. 6.875% 12/15/13 | 4,845,000 | 4,554,300 | ||
Nakilat, Inc. 6.067% 12/31/33 (h) | 4,384,000 | 3,650,425 | ||
National Gas Co. of Trinidad & Tobago Ltd. 6.05% 1/15/36 (h) | 240,000 | 187,272 | ||
Newfield Exploration Co. 7.125% 5/15/18 | 2,330,000 | 2,283,400 | ||
Nexen, Inc.: | ||||
5.05% 11/20/13 | 3,845,000 | 3,948,850 | ||
5.2% 3/10/15 | 909,000 | 918,974 | ||
5.875% 3/10/35 | 240,000 | 211,072 | ||
6.4% 5/15/37 | 3,645,000 | 3,372,704 | ||
NGPL PipeCo LLC 6.514% 12/15/12 (h) | 8,163,000 | 8,833,395 | ||
Overseas Shipholding Group, Inc.: | ||||
7.5% 2/15/24 | 500,000 | 400,000 | ||
8.75% 12/1/13 | 610,000 | 588,650 | ||
Pemex Project Funding Master Trust: | ||||
1.9294% 6/15/10 (h)(o) | 1,245,000 | 1,241,888 | ||
6.625% 6/15/35 | 625,000 | 569,239 | ||
Petro-Canada: | ||||
6.05% 5/15/18 | 3,850,000 | 3,988,831 | ||
6.8% 5/15/38 | 18,950,000 | 20,056,794 | ||
Petrobras International Finance Co. Ltd. 7.875% 3/15/19 | 10,219,000 | 11,521,923 | ||
Petrohawk Energy Corp.: | ||||
7.875% 6/1/15 | 1,485,000 | 1,440,450 | ||
9.125% 7/15/13 | 4,270,000 | 4,312,700 | ||
10.5% 8/1/14 (h) | 3,025,000 | 3,176,250 | ||
Petroleos de Venezuela SA: | ||||
5.25% 4/12/17 | 15,845,000 | 8,714,750 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Petroleos de Venezuela SA: - continued | ||||
5.375% 4/12/27 | $ 3,795,000 | $ 1,631,850 | ||
Petroleos Mexicanos 8% 5/3/19 (h) | 657,000 | 739,125 | ||
Petroleum Co. of Trinidad & Tobago Ltd. (Reg. S) 6% 5/8/22 | 795,000 | 719,475 | ||
Petroleum Development Corp. 12% 2/15/18 | 1,605,000 | 1,492,650 | ||
Pioneer Natural Resources Co. 6.65% 3/15/17 | 2,935,000 | 2,685,525 | ||
Plains All American Pipeline LP: | ||||
6.125% 1/15/17 | 6,185,000 | 6,390,936 | ||
6.65% 1/15/37 | 4,430,000 | 4,612,813 | ||
7.75% 10/15/12 | 2,358,000 | 2,606,929 | ||
Plains Exploration & Production Co.: | ||||
7% 3/15/17 | 5,005,000 | 4,617,113 | ||
7.75% 6/15/15 | 485,000 | 470,450 | ||
10% 3/1/16 | 3,215,000 | 3,391,825 | ||
Quicksilver Resources, Inc.: | ||||
7.125% 4/1/16 | 1,975,000 | 1,659,000 | ||
9.125% 8/15/19 | 2,040,000 | 1,983,900 | ||
11.75% 1/1/16 | 2,255,000 | 2,395,938 | ||
Range Resources Corp.: | ||||
6.375% 3/15/15 (Reg. S) | 2,355,000 | 2,219,588 | ||
7.375% 7/15/13 | 2,060,000 | 2,049,700 | ||
7.5% 5/15/16 | 2,250,000 | 2,205,000 | ||
Ras Laffan Liquid Natural Gas Co. Ltd. 8.294% 3/15/14 (h) | 2,987,000 | 3,252,195 | ||
Ras Laffan Liquid Natural Gas Co. Ltd. III: | ||||
4.5% 9/30/12 (h) | 4,773,000 | 4,891,833 | ||
5.5% 9/30/14 (h) | 6,670,000 | 6,902,096 | ||
5.832% 9/30/16 (h) | 1,343,000 | 1,379,301 | ||
6.332% 9/30/27 (h) | 1,840,000 | 1,694,419 | ||
6.75% 9/30/19 (h) | 5,651,000 | 5,906,357 | ||
Rockies Express Pipeline LLC 6.25% 7/15/13 (h) | 2,720,000 | 2,931,067 | ||
SandRidge Energy, Inc.: | ||||
4.2219% 4/1/14 (o) | 1,675,000 | 1,381,875 | ||
8.625% 4/1/15 pay-in-kind (o) | 2,925,000 | 2,764,125 | ||
Ship Finance International Ltd. 8.5% 12/15/13 | 2,065,000 | 1,899,800 | ||
Source Gas LLC 5.9% 4/1/17 (h) | 3,544,000 | 2,876,746 | ||
Southwestern Energy Co. 7.5% 2/1/18 (h) | 2,315,000 | 2,315,000 | ||
Spectra Energy Capital, LLC 6.2% 4/15/18 | 14,500,000 | 15,339,869 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Suncor Energy, Inc. 6.1% 6/1/18 | $ 10,851,000 | $ 11,365,327 | ||
Targa Resources Partners LP/Targa Resources Partners Finance Corp. 11.25% 7/15/17 (h) | 1,910,000 | 1,919,550 | ||
Teekay Corp. 8.875% 7/15/11 | 2,115,000 | 2,104,425 | ||
TEPPCO Partners LP: | ||||
5.9% 4/15/13 | 3,239,000 | 3,484,724 | ||
6.65% 4/15/18 | 4,741,000 | 5,110,812 | ||
7.55% 4/15/38 | 9,095,000 | 10,619,877 | ||
Texas Eastern Transmission LP 6% 9/15/17 (h) | 5,990,000 | 6,443,695 | ||
TNK-BP Finance SA 7.5% 3/13/13 (Reg. S) | 3,225,000 | 3,208,875 | ||
TransCanada PipeLines Ltd. 6.35% 5/15/67 (o) | 2,371,000 | 1,991,640 | ||
XTO Energy, Inc.: | ||||
5% 1/31/15 | 1,749,000 | 1,827,719 | ||
5.65% 4/1/16 | 1,200,000 | 1,256,702 | ||
5.9% 8/1/12 | 4,452,000 | 4,815,550 | ||
YPF SA 10% 11/2/28 | 2,325,000 | 2,104,125 | ||
| 378,127,567 | |||
TOTAL ENERGY | 403,757,625 | |||
FINANCIALS - 9.6% | ||||
Capital Markets - 2.2% | ||||
Bear Stearns Companies, Inc.: | ||||
0.645% 10/22/10 (o) | 2,340,000 | 2,337,583 | ||
0.9025% 9/9/09 (o) | 1,271,000 | 1,271,015 | ||
4.245% 1/7/10 | 1,217,000 | 1,223,529 | ||
4.5% 10/28/10 | 1,833,000 | 1,903,486 | ||
5.3% 10/30/15 | 1,170,000 | 1,185,848 | ||
5.85% 7/19/10 | 3,769,000 | 3,873,096 | ||
6.95% 8/10/12 | 10,980,000 | 12,267,504 | ||
BlackRock, Inc. 6.25% 9/15/17 | 14,822,000 | 15,591,380 | ||
Goldman Sachs Group, Inc.: | ||||
5.25% 10/15/13 | 5,903,000 | 6,231,018 | ||
5.625% 1/15/17 | 3,200,000 | 3,181,878 | ||
5.95% 1/18/18 | 3,989,000 | 4,152,585 | ||
6% 5/1/14 | 9,300,000 | 10,027,288 | ||
6.15% 4/1/18 | 4,275,000 | 4,512,609 | ||
6.75% 10/1/37 | 28,895,000 | 28,929,067 | ||
7.5% 2/15/19 | 1,757,000 | 2,022,825 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Capital Markets - continued | ||||
Janus Capital Group, Inc.: | ||||
6.125% 9/15/11 (f) | $ 2,399,000 | $ 2,375,526 | ||
6.5% 6/15/12 | 4,172,000 | 4,134,160 | ||
JPMorgan Chase Capital XX 6.55% 9/29/36 | 10,020,000 | 8,732,961 | ||
JPMorgan Chase Capital XXV 6.8% 10/1/37 | 7,405,000 | 6,978,368 | ||
Lazard Group LLC: | ||||
6.85% 6/15/17 | 3,840,000 | 3,757,256 | ||
7.125% 5/15/15 | 1,377,000 | 1,383,247 | ||
Merrill Lynch & Co., Inc.: | ||||
5.45% 2/5/13 | 17,070,000 | 17,356,418 | ||
6.15% 4/25/13 | 4,271,000 | 4,446,700 | ||
6.4% 8/28/17 | 2,720,000 | 2,680,552 | ||
6.875% 4/25/18 | 4,701,000 | 4,800,102 | ||
Morgan Stanley: | ||||
0.7875% 1/9/12 (o) | 9,924,000 | 9,594,186 | ||
0.8375% 1/9/14 (o) | 5,002,000 | 4,628,471 | ||
4.75% 4/1/14 | 2,429,000 | 2,411,431 | ||
5.05% 1/21/11 | 3,045,000 | 3,144,846 | ||
5.25% 11/2/12 | 244,000 | 258,010 | ||
5.45% 1/9/17 | 2,238,000 | 2,219,315 | ||
5.95% 12/28/17 | 5,050,000 | 5,163,751 | ||
6% 5/13/14 | 7,810,000 | 8,281,638 | ||
6.6% 4/1/12 | 5,719,000 | 6,214,185 | ||
6.625% 4/1/18 | 15,268,000 | 16,314,453 | ||
6.75% 4/15/11 | 836,000 | 889,079 | ||
7.3% 5/13/19 | 8,304,000 | 9,247,592 | ||
Northern Trust Corp.: | ||||
4.625% 5/1/14 | 1,762,000 | 1,870,907 | ||
5.5% 8/15/13 | 2,560,000 | 2,792,438 | ||
Scotland International Finance No. 2 BV 7.7% 8/15/10 (h) | 978,000 | 984,113 | ||
The Bank of New York, Inc. 4.95% 11/1/12 | 3,864,000 | 4,182,409 | ||
UBS AG Stamford Branch: | ||||
5.75% 4/25/18 | 16,505,000 | 16,214,826 | ||
5.875% 12/20/17 | 15,572,000 | 15,429,392 | ||
| 265,197,043 | |||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Commercial Banks - 1.5% | ||||
American Express Bank FSB: | ||||
5.5% 4/16/13 | $ 4,091,000 | $ 4,245,055 | ||
6% 9/13/17 | 10,621,000 | 10,480,229 | ||
ANZ National International Ltd. 6.2% 7/19/13 (h) | 1,099,000 | 1,181,315 | ||
Bank of America NA: | ||||
5.3% 3/15/17 | 3,315,000 | 3,049,701 | ||
6% 10/15/36 | 690,000 | 638,812 | ||
Bank One Corp.: | ||||
5.25% 1/30/13 | 930,000 | 982,903 | ||
7.875% 8/1/10 | 691,000 | 730,761 | ||
BB&T Capital Trust IV 6.82% 6/12/77 (o) | 2,314,000 | 1,920,620 | ||
BB&T Corp. 6.5% 8/1/11 | 1,243,000 | 1,300,199 | ||
Chase Manhattan Corp. 7.875% 6/15/10 | 1,553,000 | 1,631,694 | ||
Credit Suisse First Boston 6% 2/15/18 | 16,107,000 | 16,565,792 | ||
Credit Suisse First Boston New York Branch 5% 5/15/13 | 9,569,000 | 10,158,785 | ||
Credit Suisse New York Branch 5.5% 5/1/14 | 5,590,000 | 6,007,864 | ||
DBS Bank Ltd. (Singapore) 0.66% 5/16/17 (h)(o) | 3,914,986 | 3,484,338 | ||
Development Bank of Philippines 8.375% (o) | 1,355,000 | 1,321,125 | ||
EXIM of Ukraine: | ||||
7.65% 9/7/11 (Issued by Credit Suisse London Branch for EXIM Ukraine) | 5,710,000 | 5,139,000 | ||
7.75% 9/23/09 (Issued by Dresdner Bank AG for EXIM Ukraine) | 2,684,000 | 2,630,320 | ||
Export-Import Bank of Korea: | ||||
5.125% 2/14/11 | 2,920,000 | 2,960,340 | ||
5.25% 2/10/14 (h) | 565,000 | 564,095 | ||
5.5% 10/17/12 | 2,256,000 | 2,332,458 | ||
Fifth Third Bancorp: | ||||
4.5% 6/1/18 | 123,000 | 90,873 | ||
8.25% 3/1/38 | 2,099,000 | 1,864,672 | ||
HBOS PLC 6.75% 5/21/18 (h) | 6,067,000 | 5,059,757 | ||
HSBC Holdings PLC: | ||||
0.7775% 10/6/16 (o) | 1,143,000 | 1,059,129 | ||
6.5% 9/15/37 | 8,400,000 | 8,687,221 | ||
HSBK (Europe) B.V. 9.25% 10/16/13 (h) | 3,405,000 | 3,047,475 | ||
JPMorgan Chase Bank 6% 10/1/17 | 2,095,000 | 2,208,536 | ||
JSC Halyk Bank of Kazakhstan (Reg. S) 8.125% 10/7/09 | 1,495,000 | 1,465,100 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Commercial Banks - continued | ||||
KeyBank NA: | ||||
5.8% 7/1/14 | $ 3,619,000 | $ 3,487,341 | ||
7% 2/1/11 | 1,124,000 | 1,144,071 | ||
Korea Development Bank 4.625% 9/16/10 | 1,833,000 | 1,848,568 | ||
Manufacturers & Traders Trust Co. 2.0969% 4/1/13 (h)(o) | 720,797 | 586,288 | ||
National City Bank, Cleveland 4.5% 3/15/10 | 2,943,000 | 2,984,505 | ||
PNC Funding Corp.: | ||||
0.6275% 1/31/12 (o) | 5,982,000 | 5,689,528 | ||
7.5% 11/1/09 | 2,026,000 | 2,043,655 | ||
RSHB Capital SA 9% 6/11/14 (h) | 605,000 | 642,813 | ||
Santander Issuances SA Unipersonal: | ||||
0.9688% 6/20/16 (h)(o) | 3,253,827 | 2,993,980 | ||
5.805% 6/20/16 (h)(o) | 4,204,000 | 3,452,535 | ||
Sovereign Bank 2.1931% 8/1/13 (o) | 985 | 937 | ||
Standard Chartered Bank 6.4% 9/26/17 (h) | 13,265,000 | 12,898,209 | ||
UniCredit Luxembourg Finance SA 5.584% 1/13/17 (h)(o) | 2,933,000 | 2,572,197 | ||
Union Planters Corp. 7.75% 3/1/11 | 600,000 | 581,728 | ||
UnionBanCal Corp. 5.25% 12/16/13 | 662,000 | 615,197 | ||
Vimpel Communications 8.375% 10/22/11 (Reg. S) (Issued by UBS Luxembourg SA for Vimpel Communications) | 660,000 | 683,100 | ||
Wachovia Bank NA: | ||||
4.875% 2/1/15 | 1,408,000 | 1,415,415 | ||
6.6% 1/15/38 | 9,000,000 | 9,279,820 | ||
Wachovia Corp.: | ||||
0.6331% 4/23/12 (o) | 543,000 | 523,998 | ||
0.6394% 10/15/11 (o) | 4,016,000 | 3,914,295 | ||
5.625% 10/15/16 | 3,399,000 | 3,389,938 | ||
5.75% 6/15/17 | 2,933,000 | 3,093,200 | ||
Wells Fargo & Co.: | ||||
4.2% 1/15/10 | 2,635,000 | 2,661,202 | ||
5.625% 12/11/17 | 10,423,000 | 10,920,928 | ||
Wells Fargo Bank NA, San Francisco 6.45% 2/1/11 | 580,000 | 606,802 | ||
| 178,838,419 | |||
Consumer Finance - 1.6% | ||||
American General Finance Corp. 6.9% 12/15/17 | 5,510,000 | 3,402,243 | ||
Capital One Bank USA NA 8.8% 7/15/19 | 6,680,000 | 7,156,872 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Consumer Finance - continued | ||||
Capital One Financial Corp.: | ||||
0.93% 9/10/09 (o) | $ 3,277,000 | $ 3,276,400 | ||
5.7% 9/15/11 | 5,251,000 | 5,418,250 | ||
7.375% 5/23/14 | 7,440,000 | 8,115,894 | ||
Discover Financial Services: | ||||
1.1688% 6/11/10 (o) | 4,022,000 | 3,919,242 | ||
6.45% 6/12/17 | 9,775,000 | 8,522,979 | ||
10.25% 7/15/19 | 11,010,000 | 12,058,725 | ||
Ford Motor Credit Co. LLC: | ||||
7.25% 10/25/11 | 8,405,000 | 7,903,600 | ||
7.5% 8/1/12 | 3,600,000 | 3,312,000 | ||
8% 6/1/14 | 3,390,000 | 3,129,987 | ||
8% 12/15/16 | 2,135,000 | 1,870,565 | ||
8.625% 11/1/10 | 1,075,000 | 1,073,884 | ||
12% 5/15/15 | 3,440,000 | 3,577,600 | ||
General Electric Capital Corp.: | ||||
5.625% 9/15/17 | 5,858,000 | 5,870,882 | ||
5.625% 5/1/18 | 25,000,000 | 24,894,125 | ||
5.875% 1/14/38 | 14,000,000 | 12,427,870 | ||
5.9% 5/13/14 | 10,290,000 | 10,997,036 | ||
6.375% 11/15/67 (o) | 9,000,000 | 7,267,500 | ||
General Motors Acceptance Corp.: | ||||
6.875% 9/15/11 | 975,000 | 887,250 | ||
6.875% 8/28/12 | 2,800,000 | 2,436,000 | ||
GMAC LLC: | ||||
6.625% 5/15/12 | 435,000 | 379,538 | ||
6.75% 12/1/14 (h) | 5,125,000 | 4,202,500 | ||
6.875% 9/15/11 (h) | 2,920,000 | 2,686,400 | ||
8% 11/1/31 (h) | 3,500,000 | 2,730,000 | ||
Household Finance Corp.: | ||||
6.375% 10/15/11 | 1,860,000 | 1,953,846 | ||
7% 5/15/12 | 468,000 | 504,184 | ||
HSBC Finance Corp.: | ||||
5.25% 1/14/11 | 1,308,000 | 1,340,765 | ||
5.25% 1/15/14 | 1,054,000 | 1,074,708 | ||
MBNA America Bank NA 7.125% 11/15/12 (h) | 693,000 | 718,904 | ||
MBNA Corp. 7.5% 3/15/12 | 1,608,000 | 1,696,651 | ||
Nissan Motor Acceptance Corp. 4.625% 3/8/10 (h) | 4,245,000 | 4,208,947 | ||
ORIX Corp. 5.48% 11/22/11 | 385,000 | 379,997 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Consumer Finance - continued | ||||
SLM Corp.: | ||||
0.6638% 7/26/10 (o) | $ 8,343,000 | $ 7,633,261 | ||
0.7338% 10/25/11 (o) | 12,343,000 | 9,775,347 | ||
0.8294% 3/15/11 (o) | 112,000 | 96,486 | ||
4.5% 7/26/10 | 7,157,000 | 6,847,274 | ||
Systems 2001 Asset Trust LLC 7.156% 12/15/11 (h) | 368,851 | 364,510 | ||
| 184,112,222 | |||
Diversified Financial Services - 1.3% | ||||
Bank of America Corp. 5.75% 12/1/17 | 4,590,000 | 4,464,877 | ||
Calpine Construction Finance Co. LP 8% 6/1/16 (h) | 2,835,000 | 2,806,650 | ||
CIT Group, Inc.: | ||||
4.75% 12/15/10 | 1,085,000 | 657,050 | ||
5.2% 11/3/10 | 1,265,000 | 760,833 | ||
5.4% 3/7/13 | 1,005,000 | 568,326 | ||
5.6% 4/27/11 | 740,000 | 441,570 | ||
7.625% 11/30/12 | 1,985,000 | 1,124,636 | ||
Citigroup, Inc.: | ||||
0.5194% 5/18/11 (o) | 2,811,000 | 2,689,809 | ||
5.3% 10/17/12 | 14,295,000 | 14,440,795 | ||
5.5% 4/11/13 | 13,549,000 | 13,485,984 | ||
6.125% 5/15/18 | 15,634,000 | 14,699,806 | ||
6.5% 1/18/11 | 1,307,000 | 1,350,732 | ||
6.5% 8/19/13 | 6,153,000 | 6,318,147 | ||
CME Group, Inc. 5.75% 2/15/14 | 506,000 | 553,034 | ||
GlaxoSmithKline Capital, Inc. 5.65% 5/15/18 | 8,874,000 | 9,681,410 | ||
Hilcorp Energy I LP/Hilcorp Finance Co.: | ||||
7.75% 11/1/15 (h) | 3,410,000 | 3,145,725 | ||
9% 6/1/16 (h) | 150,000 | 143,250 | ||
ILFC E-Capital Trust I 5.9% 12/21/65 (h)(o) | 2,996,000 | 1,258,320 | ||
International Lease Finance Corp.: | ||||
5.4% 2/15/12 | 2,864,000 | 2,363,914 | ||
5.65% 6/1/14 | 10,520,000 | 7,895,460 | ||
6.375% 3/25/13 | 1,503,000 | 1,179,383 | ||
6.625% 11/15/13 | 2,721,000 | 2,106,955 | ||
JPMorgan Chase & Co.: | ||||
4.65% 6/1/14 | 13,500,000 | 14,095,809 | ||
4.891% 9/1/15 (o) | 2,729,000 | 2,463,635 | ||
5.6% 6/1/11 | 2,139,000 | 2,257,631 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Diversified Financial Services - continued | ||||
JPMorgan Chase & Co.: - continued | ||||
5.75% 1/2/13 | $ 2,217,000 | $ 2,365,794 | ||
6.75% 2/1/11 | 376,000 | 400,235 | ||
Leucadia National Corp.: | ||||
7% 8/15/13 | 1,550,000 | 1,472,500 | ||
7.125% 3/15/17 | 835,000 | 759,850 | ||
NSG Holdings II, LLC 7.75% 12/15/25 (h) | 6,440,000 | 5,377,400 | ||
OAO TMK 8.5% 9/29/09 (Issued by TMK Capital SA for OAO TMK) | 1,800,000 | 1,793,250 | ||
Prime Property Funding, Inc.: | ||||
5.125% 6/1/15 (h) | 1,090,000 | 772,303 | ||
5.5% 1/15/14 (h) | 695,000 | 531,090 | ||
5.7% 4/15/17 (h) | 1,696,000 | 1,072,927 | ||
SIRENS B.V. Series 2007-2 Class A1, 2.31% 4/13/10 (h)(o) | 10,000,000 | 9,213,000 | ||
Sunwest Management, Inc. 8.385% 6/9/10 (c)(o) | 325,000 | 162,500 | ||
TMK Capital SA 10% 7/29/11 | 2,800,000 | 2,709,000 | ||
TransCapitalInvest Ltd. 5.67% 3/5/14 (h) | 3,238,000 | 3,116,575 | ||
ZFS Finance USA Trust I 6.15% 12/15/65 (h)(o) | 5,692,000 | 4,952,040 | ||
ZFS Finance USA Trust II 6.45% 12/15/65 (h)(o) | 5,755,000 | 5,006,850 | ||
ZFS Finance USA Trust IV 5.875% 5/9/62 (h)(o) | 1,673,000 | 1,340,843 | ||
ZFS Finance USA Trust V 6.5% 5/9/67 (h)(o) | 3,125,000 | 2,437,500 | ||
| 154,437,398 | |||
Insurance - 1.1% | ||||
Allstate Corp.: | ||||
5.55% 5/9/35 | 7,505,000 | 7,216,020 | ||
6.2% 5/16/14 | 6,893,000 | 7,506,215 | ||
7.45% 5/16/19 | 6,826,000 | 7,886,392 | ||
American International Group, Inc. 8.175% 5/15/68 (o) | 7,875,000 | 3,701,250 | ||
Assurant, Inc.: | ||||
5.625% 2/15/14 | 1,912,000 | 1,955,393 | ||
6.75% 2/15/34 | 1,967,000 | 1,572,797 | ||
Axis Capital Holdings Ltd. 5.75% 12/1/14 | 558,000 | 564,480 | ||
Great-West Life & Annuity Insurance Co. 7.153% 5/16/46 (h)(o) | 1,491,000 | 1,177,890 | ||
Jackson National Life Global Funding 5.375% 5/8/13 (h) | 753,000 | 750,107 | ||
Liberty Mutual Group, Inc. 6.5% 3/15/35 (h) | 594,000 | 434,927 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Insurance - continued | ||||
Massachusetts Mutual Life Insurance Co. 8.875% 6/1/39 (h) | $ 8,000,000 | $ 8,977,496 | ||
Merna Reinsurance Ltd. Series 2007-1 Class B, 2.3475% 6/30/12 (h)(o) | 7,114,000 | 6,845,091 | ||
MetLife, Inc.: | ||||
5% 6/15/15 | 1,163,000 | 1,207,549 | ||
6.125% 12/1/11 | 990,000 | 1,058,056 | ||
6.75% 6/1/16 | 7,610,000 | 8,324,533 | ||
7.717% 2/15/19 | 10,958,000 | 12,817,562 | ||
Metropolitan Life Global Funding I: | ||||
4.625% 8/19/10 (h) | 3,299,000 | 3,319,200 | ||
5.125% 4/10/13 (h) | 559,000 | 575,089 | ||
5.125% 6/10/14 (h) | 6,751,000 | 7,035,116 | ||
Monumental Global Funding II 5.65% 7/14/11 (h) | 1,652,000 | 1,688,417 | ||
Monumental Global Funding III 5.5% 4/22/13 (h) | 2,202,000 | 2,227,836 | ||
Pacific Life Global Funding 5.15% 4/15/13 (h) | 11,281,000 | 11,385,394 | ||
Pacific Life Insurance Co. 9.25% 6/15/39 (h) | 9,490,000 | 10,066,024 | ||
Prudential Financial, Inc.: | ||||
5.15% 1/15/13 | 2,167,000 | 2,183,491 | ||
5.4% 6/13/35 | 452,000 | 373,128 | ||
5.5% 3/15/16 | 425,000 | 419,730 | ||
5.7% 12/14/36 | 384,000 | 337,002 | ||
6.2% 1/15/15 | 1,180,000 | 1,236,114 | ||
7.375% 6/15/19 | 3,230,000 | 3,510,390 | ||
8.875% 6/15/68 (o) | 2,972,000 | 2,749,100 | ||
QBE Insurance Group Ltd. 5.647% 7/1/23 (h)(o) | 3,342,000 | 2,704,574 | ||
Symetra Financial Corp. 6.125% 4/1/16 (h) | 5,181,000 | 4,190,113 | ||
The Chubb Corp.: | ||||
5.75% 5/15/18 | 4,035,000 | 4,378,370 | ||
6.5% 5/15/38 | 3,390,000 | 3,860,010 | ||
The St. Paul Travelers Companies, Inc. 8.125% 4/15/10 | 1,249,000 | 1,296,446 | ||
| 135,531,302 | |||
Real Estate Investment Trusts - 1.0% | ||||
AMB Property LP 5.9% 8/15/13 | 2,580,000 | 2,403,502 | ||
Arden Realty LP 5.2% 9/1/11 | 1,339,000 | 1,385,864 | ||
AvalonBay Communities, Inc.: | ||||
4.95% 3/15/13 | 367,000 | 367,927 | ||
5.5% 1/15/12 | 3,337,000 | 3,463,763 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Real Estate Investment Trusts - continued | ||||
Brandywine Operating Partnership LP: | ||||
4.5% 11/1/09 | $ 3,087,000 | $ 3,084,336 | ||
5.625% 12/15/10 | 4,079,000 | 4,064,662 | ||
5.7% 5/1/17 | 5,943,000 | 4,976,858 | ||
5.75% 4/1/12 | 2,463,000 | 2,401,629 | ||
BRE Properties, Inc. 5.75% 9/1/09 | 611,000 | 611,000 | ||
Camden Property Trust: | ||||
4.375% 1/15/10 | 1,479,000 | 1,489,187 | ||
5.375% 12/15/13 | 656,000 | 646,268 | ||
5.875% 11/30/12 | 2,958,000 | 3,040,102 | ||
Colonial Properties Trust 6.875% 8/15/12 | 4,000,000 | 3,950,000 | ||
Colonial Realty LP 6.05% 9/1/16 | 2,000,000 | 1,747,402 | ||
CPG Partners LP 6% 1/15/13 | 1,017,000 | 1,019,894 | ||
Developers Diversified Realty Corp.: | ||||
4.625% 8/1/10 | 3,013,000 | 2,911,938 | ||
5% 5/3/10 | 2,241,000 | 2,177,761 | ||
5.25% 4/15/11 | 2,432,000 | 2,298,128 | ||
5.375% 10/15/12 | 1,286,000 | 1,168,136 | ||
Duke Realty LP: | ||||
4.625% 5/15/13 | 627,000 | 588,281 | ||
5.25% 1/15/10 | 453,000 | 454,223 | ||
5.4% 8/15/14 | 5,247,000 | 4,933,660 | ||
5.625% 8/15/11 | 2,957,000 | 2,986,795 | ||
5.875% 8/15/12 | 1,009,000 | 1,011,696 | ||
5.95% 2/15/17 | 699,000 | 629,008 | ||
6.25% 5/15/13 | 14,190,000 | 14,260,158 | ||
6.5% 1/15/18 | 3,795,000 | 3,491,389 | ||
Equity One, Inc.: | ||||
6% 9/15/17 | 854,000 | 748,031 | ||
6.25% 1/15/17 | 494,000 | 446,535 | ||
Federal Realty Investment Trust: | ||||
5.4% 12/1/13 | 413,000 | 406,479 | ||
6% 7/15/12 | 2,933,000 | 3,025,252 | ||
6.2% 1/15/17 | 620,000 | 580,332 | ||
Highwoods/Forsyth LP 5.85% 3/15/17 | 80,000 | 70,881 | ||
HMB Capital Trust V 4.2294% 12/15/36 (c)(h)(o) | 270,000 | 27 | ||
Host Hotels & Resorts LP: | ||||
6.875% 11/1/14 | 835,000 | 793,250 | ||
9% 5/15/17 (h) | 2,135,000 | 2,177,700 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Real Estate Investment Trusts - continued | ||||
HRPT Properties Trust: | ||||
5.75% 11/1/15 | $ 890,000 | $ 774,005 | ||
6.25% 6/15/17 | 1,232,000 | 1,082,004 | ||
6.65% 1/15/18 | 618,000 | 539,800 | ||
Liberty Property LP: | ||||
5.125% 3/2/15 | 848,000 | 784,079 | ||
5.5% 12/15/16 | 1,487,000 | 1,308,200 | ||
6.625% 10/1/17 | 3,785,000 | 3,491,125 | ||
Liberty Property Trust 8.5% 8/1/10 | 6,245,000 | 6,459,990 | ||
Mack-Cali Realty LP: | ||||
5.05% 4/15/10 | 811,000 | 813,418 | ||
7.75% 2/15/11 | 976,000 | 1,026,099 | ||
Omega Healthcare Investors, Inc.: | ||||
7% 4/1/14 | 5,850,000 | 5,469,750 | ||
7% 1/15/16 | 1,960,000 | 1,773,800 | ||
Reckson Operating Partnership LP 6% 3/31/16 | 3,651,000 | 2,962,633 | ||
Rouse Co.: | ||||
5.375% 11/26/13 (c) | 145,000 | 109,475 | ||
7.2% 9/15/12 (c) | 10,000 | 7,700 | ||
Senior Housing Properties Trust 8.625% 1/15/12 | 250,000 | 250,000 | ||
Simon Property Group LP: | ||||
4.6% 6/15/10 | 1,096,000 | 1,117,610 | ||
4.875% 8/15/10 | 675,000 | 691,640 | ||
5% 3/1/12 | 363,000 | 372,144 | ||
5.375% 6/1/11 | 621,000 | 638,605 | ||
5.6% 9/1/11 | 2,718,000 | 2,817,965 | ||
5.75% 5/1/12 | 1,267,000 | 1,328,790 | ||
7.75% 1/20/11 | 821,000 | 865,591 | ||
Tanger Properties LP 6.15% 11/15/15 | 24,000 | 22,574 | ||
UDR, Inc. 5.5% 4/1/14 | 2,755,000 | 2,657,789 | ||
Ventas Realty LP: | ||||
6.5% 6/1/16 | 105,000 | 97,650 | ||
6.5% 6/1/16 | 450,000 | 418,500 | ||
6.625% 10/15/14 | 2,515,000 | 2,389,250 | ||
6.75% 4/1/17 | 30,000 | 27,975 | ||
Washington (REIT) 5.95% 6/15/11 | 3,637,000 | 3,591,767 | ||
| 123,701,982 | |||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Real Estate Management & Development - 0.3% | ||||
American Real Estate Partners/American Real Estate Finance Corp.: | ||||
7.125% 2/15/13 | $ 11,615,000 | $ 11,034,250 | ||
8.125% 6/1/12 | 3,265,000 | 3,216,025 | ||
ERP Operating LP: | ||||
5.25% 9/15/14 | 1,310,000 | 1,305,208 | ||
5.375% 8/1/16 | 2,681,000 | 2,569,865 | ||
5.5% 10/1/12 | 3,655,000 | 3,814,292 | ||
5.75% 6/15/17 | 9,733,000 | 9,431,929 | ||
Forest City Enterprises, Inc. 7.625% 6/1/15 | 100,000 | 62,750 | ||
Post Apartment Homes LP: | ||||
5.45% 6/1/12 | 1,355,000 | 1,296,392 | ||
6.3% 6/1/13 | 2,397,000 | 2,344,045 | ||
Regency Centers LP: | ||||
4.95% 4/15/14 | 611,000 | 546,945 | ||
5.25% 8/1/15 | 2,133,000 | 1,916,859 | ||
5.875% 6/15/17 | 1,056,000 | 952,695 | ||
| 38,491,255 | |||
Thrifts & Mortgage Finance - 0.6% | ||||
Bank of America Corp.: | ||||
4.9% 5/1/13 | 7,817,000 | 7,891,449 | ||
5.65% 5/1/18 | 13,300,000 | 12,860,342 | ||
6.5% 8/1/16 | 9,000,000 | 9,274,410 | ||
7.375% 5/15/14 | 13,211,000 | 14,484,501 | ||
7.625% 6/1/19 | 12,000,000 | 13,212,072 | ||
Countrywide Financial Corp. 5.8% 6/7/12 | 2,916,000 | 3,025,630 | ||
Countrywide Home Loans, Inc. 4% 3/22/11 | 4,327,000 | 4,368,959 | ||
Independence Community Bank Corp.: | ||||
2.4169% 4/1/14 (o) | 4,218,000 | 3,726,540 | ||
4.9% 9/23/10 | 1,696,000 | 1,751,120 | ||
Wrightwood Capital LLC 10.5% 6/1/14 (c)(h) | 100,000 | 38,000 | ||
| 70,633,023 | |||
TOTAL FINANCIALS | 1,150,942,644 | |||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
HEALTH CARE - 1.0% | ||||
Biotechnology - 0.0% | ||||
Amgen, Inc. 5.85% 6/1/17 | $ 2,956,000 | $ 3,264,544 | ||
Health Care Equipment & Supplies - 0.1% | ||||
Biomet, Inc.: | ||||
10% 10/15/17 | 4,825,000 | 5,030,063 | ||
10.375% 10/15/17 pay-in-kind (o) | 3,155,000 | 3,257,538 | ||
11.625% 10/15/17 | 5,185,000 | 5,444,250 | ||
Inverness Medical Innovations, Inc. 9% 5/15/16 | 2,790,000 | 2,776,050 | ||
| 16,507,901 | |||
Health Care Providers & Services - 0.6% | ||||
Community Health Systems, Inc. 8.875% 7/15/15 | 7,875,000 | 7,894,688 | ||
Coventry Health Care, Inc.: | ||||
5.95% 3/15/17 | 1,747,000 | 1,557,492 | ||
6.3% 8/15/14 | 3,618,000 | 3,297,471 | ||
Express Scripts, Inc.: | ||||
5.25% 6/15/12 | 7,157,000 | 7,591,788 | ||
6.25% 6/15/14 | 4,238,000 | 4,631,685 | ||
7.25% 6/15/19 | 2,744,000 | 3,182,176 | ||
HCA, Inc.: | ||||
6.5% 2/15/16 | 3,305,000 | 2,842,300 | ||
7.875% 2/15/20 (h) | 1,855,000 | 1,820,219 | ||
8.5% 4/15/19 (h) | 3,030,000 | 3,048,938 | ||
9.125% 11/15/14 | 3,905,000 | 3,963,575 | ||
9.25% 11/15/16 | 4,905,000 | 4,954,050 | ||
9.625% 11/15/16 pay-in-kind (o) | 11,255,066 | 11,353,548 | ||
9.875% 2/15/17 (h) | 540,000 | 553,500 | ||
HealthSouth Corp. 10.75% 6/15/16 | 2,310,000 | 2,442,825 | ||
Psychiatric Solutions, Inc.: | ||||
7.75% 7/15/15 | 985,000 | 925,900 | ||
7.75% 7/15/15 (h) | 775,000 | 724,625 | ||
Rural/Metro Corp. 0% 3/15/16 (e) | 995,000 | 840,775 | ||
Select Medical Corp. 7.625% 2/1/15 | 1,090,000 | 993,263 | ||
Skilled Healthcare Group, Inc. 11% 1/15/14 | 64,000 | 65,280 | ||
Sun Healthcare Group, Inc. 9.125% 4/15/15 | 10,000 | 9,750 | ||
Tenet Healthcare Corp. 8.875% 7/1/19 (h) | 980,000 | 1,004,500 | ||
United Surgical Partners International, Inc. 9.25% 5/1/17 pay-in-kind (o) | 900,000 | 778,500 | ||
Viant Holdings, Inc. 10.125% 7/15/17 (h) | 71,000 | 66,740 | ||
| 64,543,588 | |||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
HEALTH CARE - continued | ||||
Health Care Technology - 0.1% | ||||
DJO Finance LLC / DJO Finance Corp. 10.875% 11/15/14 | $ 7,885,000 | $ 7,589,313 | ||
Pharmaceuticals - 0.2% | ||||
AstraZeneca PLC: | ||||
5.9% 9/15/17 | 3,520,000 | 3,911,466 | ||
6.45% 9/15/37 | 2,600,000 | 3,057,772 | ||
Bristol-Myers Squibb Co. 5.45% 5/1/18 | 2,932,000 | 3,195,631 | ||
Novartis Capital Corp. 4.125% 2/10/14 | 2,930,000 | 3,073,371 | ||
Roche Holdings, Inc. 5% 3/1/14 (h) | 5,943,000 | 6,428,888 | ||
Teva Pharmaceutical Finance LLC 5.55% 2/1/16 | 958,000 | 1,023,278 | ||
Valeant Pharmaceuticals International 8.375% 6/15/16 (h) | 3,170,000 | 3,233,400 | ||
| 23,923,806 | |||
TOTAL HEALTH CARE | 115,829,152 | |||
INDUSTRIALS - 1.3% | ||||
Aerospace & Defense - 0.2% | ||||
BAE Systems Holdings, Inc.: | ||||
4.75% 8/15/10 (h) | 2,640,000 | 2,684,489 | ||
6.375% 6/1/19 (h) | 8,071,000 | 8,755,945 | ||
6.4% 12/15/11 (h) | 818,000 | 876,804 | ||
BE Aerospace, Inc. 8.5% 7/1/18 | 2,405,000 | 2,368,925 | ||
Bombardier, Inc.: | ||||
6.3% 5/1/14 (h) | 340,000 | 314,500 | ||
6.75% 5/1/12 (h) | 2,140,000 | 2,091,850 | ||
7.45% 5/1/34 (h) | 205,000 | 161,950 | ||
8% 11/15/14 (h) | 915,000 | 893,269 | ||
DigitalGlobe, Inc. 10.5% 5/1/14 (h) | 1,315,000 | 1,367,600 | ||
| 19,515,332 | |||
Airlines - 0.4% | ||||
American Airlines, Inc. pass-thru trust certificates: | ||||
6.817% 5/23/11 | 3,390,000 | 2,949,300 | ||
6.977% 11/23/22 | 1,075,983 | 688,629 | ||
6.978% 10/1/12 | 395,515 | 379,694 | ||
7.024% 4/15/11 | 2,830,000 | 2,815,850 | ||
7.858% 4/1/13 | 5,433,000 | 5,188,515 | ||
8.608% 10/1/12 | 960,000 | 806,400 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
INDUSTRIALS - continued | ||||
Airlines - continued | ||||
American Airlines, Inc. pass-thru trust certificates: - continued | ||||
10.375% 7/2/19 | $ 1,905,000 | $ 1,981,200 | ||
AMR Corp. 9% 8/1/12 | 485,000 | 206,125 | ||
Continental Airlines, Inc.: | ||||
pass-thru trust certificates: | ||||
7.566% 9/15/21 | 382,027 | 324,723 | ||
7.73% 9/15/12 | 18,833 | 16,385 | ||
7.875% 7/2/18 | 1,512,164 | 998,028 | ||
9.558% 9/1/19 | 237,842 | 147,462 | ||
9.798% 4/1/21 | 761,126 | 471,898 | ||
6.648% 3/15/19 | 3,081,540 | 2,650,124 | ||
6.82% 5/1/18 | 221,731 | 184,037 | ||
6.9% 7/2/19 | 855,847 | 744,587 | ||
7.056% 3/15/11 | 1,759,000 | 1,750,205 | ||
Delta Air Lines, Inc. pass-thru trust certificates: | ||||
6.821% 8/10/22 | 364,146 | 325,911 | ||
7.57% 11/18/10 | 11,576,000 | 11,286,600 | ||
8.021% 8/10/22 | 1,770,357 | 1,239,250 | ||
8.954% 8/10/14 | 2,446,576 | 1,761,535 | ||
Northwest Airlines, Inc. pass-thru trust certificates 8.028% 11/1/17 | 1,096,013 | 745,289 | ||
U.S. Airways pass-thru trust certificates: | ||||
6.85% 7/30/19 | 2,181,448 | 1,679,715 | ||
8.36% 7/20/20 | 1,464,646 | 1,215,656 | ||
United Air Lines, Inc. pass-thru trust certificates: | ||||
Class B, 7.336% 7/2/19 | 874,635 | 524,781 | ||
6.071% 9/1/14 | 48,780 | 48,537 | ||
6.201% 3/1/10 | 31,134 | 30,667 | ||
6.602% 9/1/13 | 88,349 | 87,024 | ||
7.032% 4/1/12 | 310,921 | 307,812 | ||
7.186% 10/1/12 | 773,330 | 763,664 | ||
| 42,319,603 | |||
Building Products - 0.1% | ||||
Masco Corp. 0.9388% 3/12/10 (o) | 3,759,949 | 3,692,597 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
INDUSTRIALS - continued | ||||
Building Products - continued | ||||
Owens Corning: | ||||
6.5% 12/1/16 | $ 1,835,000 | $ 1,739,626 | ||
9% 6/15/19 | 725,000 | 746,750 | ||
| 6,178,973 | |||
Commercial Services & Supplies - 0.2% | ||||
ARAMARK Corp.: | ||||
3.9831% 2/1/15 (o) | 4,985,000 | 4,249,713 | ||
8.5% 2/1/15 | 2,775,000 | 2,684,813 | ||
Casella Waste Systems, Inc. 11% 7/15/14 (h) | 675,000 | 698,625 | ||
Cenveo Corp. 7.875% 12/1/13 | 1,090,000 | 812,050 | ||
Clean Harbors, Inc. 7.625% 8/15/16 (h) | 1,060,000 | 1,065,300 | ||
Corrections Corp. of America 6.25% 3/15/13 | 1,280,000 | 1,251,200 | ||
Iron Mountain, Inc.: | ||||
6.625% 1/1/16 | 3,100,000 | 2,929,500 | ||
7.75% 1/15/15 | 2,545,000 | 2,538,638 | ||
JohnsonDiversey, Inc. 9.625% 5/15/12 | 775,000 | 786,625 | ||
Rental Service Corp. 9.5% 12/1/14 | 2,860,000 | 2,581,150 | ||
| 19,597,614 | |||
Construction & Engineering - 0.0% | ||||
Toys 'R' Us Property Co. I LLC 10.75% 7/15/17 (h) | 3,495,000 | 3,547,425 | ||
Electrical Equipment - 0.0% | ||||
Sensus Metering Systems, Inc. 8.625% 12/15/13 | 4,885,000 | 4,787,300 | ||
Industrial Conglomerates - 0.2% | ||||
Covidien International Finance SA: | ||||
5.15% 10/15/10 | 2,528,000 | 2,632,058 | ||
5.45% 10/15/12 | 618,000 | 673,560 | ||
6% 10/15/17 | 2,929,000 | 3,224,603 | ||
General Electric Co. 5.25% 12/6/17 | 17,730,000 | 18,101,975 | ||
Sequa Corp.: | ||||
11.75% 12/1/15 (h) | 1,415,000 | 877,300 | ||
13.5% 12/1/15 pay-in-kind (h) | 805,100 | 390,876 | ||
| 25,900,372 | |||
Machinery - 0.1% | ||||
Atlas Copco AB 5.6% 5/22/17 (h) | 611,000 | 622,396 | ||
Case Corp. 7.25% 1/15/16 | 1,705,000 | 1,624,013 | ||
Case New Holland, Inc. 7.75% 9/1/13 (h) | 2,355,000 | 2,319,675 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
INDUSTRIALS - continued | ||||
Machinery - continued | ||||
RBS Global, Inc. / Rexnord Corp.: | ||||
9.5% 8/1/14 | $ 885,000 | $ 805,350 | ||
9.5% 8/1/14 (h) | 652,000 | 596,580 | ||
11.75% 8/1/16 | 1,070,000 | 898,800 | ||
Terex Corp. 8% 11/15/17 | 2,830,000 | 2,405,500 | ||
| 9,272,314 | |||
Marine - 0.0% | ||||
Navios Maritime Holdings, Inc. 9.5% 12/15/14 | 3,070,000 | 2,686,250 | ||
Professional Services - 0.0% | ||||
Altegrity, Inc.: | ||||
10.5% 11/1/15 (h) | 1,250,000 | 1,034,375 | ||
11.75% 5/1/16 (h) | 950,000 | 724,375 | ||
FTI Consulting, Inc.: | ||||
7.625% 6/15/13 | 2,105,000 | 2,062,900 | ||
7.75% 10/1/16 | 765,000 | 738,225 | ||
| 4,559,875 | |||
Road & Rail - 0.1% | ||||
Avis Budget Car Rental LLC/Avis Budget Finance, Inc.: | ||||
7.625% 5/15/14 | 2,140,000 | 1,712,000 | ||
7.75% 5/15/16 | 3,495,000 | 2,704,256 | ||
Hertz Corp.: | ||||
8.875% 1/1/14 | 6,310,000 | 5,994,500 | ||
10.5% 1/1/16 | 2,385,000 | 2,343,263 | ||
Kansas City Southern Railway Co. 8% 6/1/15 | 2,410,000 | 2,361,800 | ||
| 15,115,819 | |||
Trading Companies & Distributors - 0.0% | ||||
VWR Funding, Inc. 11.25% 7/15/15 pay-in-kind (f) | 2,515,000 | 2,175,475 | ||
TOTAL INDUSTRIALS | 155,656,352 | |||
INFORMATION TECHNOLOGY - 0.5% | ||||
Communications Equipment - 0.1% | ||||
Cisco Systems, Inc. 4.95% 2/15/19 | 766,000 | 799,473 | ||
Lucent Technologies, Inc.: | ||||
6.45% 3/15/29 | 3,775,000 | 2,567,000 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
INFORMATION TECHNOLOGY - continued | ||||
Communications Equipment - continued | ||||
Lucent Technologies, Inc.: - continued | ||||
6.5% 1/15/28 | $ 1,940,000 | $ 1,319,200 | ||
Nokia Corp. 5.375% 5/15/19 | 7,297,000 | 7,647,562 | ||
| 12,333,235 | |||
Computers & Peripherals - 0.0% | ||||
Seagate Technology HDD Holdings: | ||||
6.375% 10/1/11 | 1,445,000 | 1,416,100 | ||
6.8% 10/1/16 | 4,400,000 | 4,004,000 | ||
Seagate Technology International 10% 5/1/14 (h) | 1,455,000 | 1,556,850 | ||
| 6,976,950 | |||
Electronic Equipment & Components - 0.1% | ||||
Jabil Circuit, Inc.: | ||||
7.75% 7/15/16 | 2,915,000 | 2,867,631 | ||
8.25% 3/15/18 | 2,360,000 | 2,324,600 | ||
Tyco Electronics Group SA: | ||||
5.95% 1/15/14 | 2,950,000 | 2,996,114 | ||
6% 10/1/12 | 3,877,000 | 4,011,164 | ||
6.55% 10/1/17 | 2,360,000 | 2,345,120 | ||
7.125% 10/1/37 | 1,895,000 | 1,895,072 | ||
| 16,439,701 | |||
Internet Software & Services - 0.0% | ||||
Terremark Worldwide, Inc. 12% 6/15/17 (h) | 3,465,000 | 3,638,250 | ||
IT Services - 0.1% | ||||
Ceridian Corp. 11.25% 11/15/15 | 1,795,000 | 1,525,750 | ||
First Data Corp. 9.875% 9/24/15 | 4,450,000 | 3,782,500 | ||
Iron Mountain, Inc. 8% 6/15/20 | 1,205,000 | 1,168,850 | ||
SunGard Data Systems, Inc. 10.25% 8/15/15 | 990,000 | 980,100 | ||
| 7,457,200 | |||
Office Electronics - 0.1% | ||||
Xerox Capital Trust I 8% 2/1/27 | 7,485,000 | 6,010,305 | ||
Xerox Corp. 5.5% 5/15/12 | 1,602,000 | 1,670,075 | ||
| 7,680,380 | |||
Semiconductors & Semiconductor Equipment - 0.1% | ||||
Amkor Technology, Inc.: | ||||
7.75% 5/15/13 | 2,930,000 | 2,871,400 | ||
9.25% 6/1/16 | 2,610,000 | 2,616,525 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
INFORMATION TECHNOLOGY - continued | ||||
Semiconductors & Semiconductor Equipment - continued | ||||
Avago Technologies Finance Ltd. 10.125% 12/1/13 | $ 1,020,000 | $ 1,065,900 | ||
National Semiconductor Corp. 0.8794% 6/15/10 (o) | 3,100,704 | 2,986,896 | ||
| 9,540,721 | |||
TOTAL INFORMATION TECHNOLOGY | 64,066,437 | |||
MATERIALS - 1.8% | ||||
Chemicals - 0.5% | ||||
Ashland, Inc. 9.125% 6/1/17 (h) | 1,095,000 | 1,149,750 | ||
Berry Plastics Corp. 5.2594% 2/15/15 (o) | 1,975,000 | 1,767,625 | ||
Chemtura Corp. 6.875% 6/1/16 (c) | 595,000 | 541,450 | ||
Dow Chemical Co.: | ||||
4.85% 8/15/12 | 9,460,000 | 9,689,405 | ||
7.6% 5/15/14 | 15,028,000 | 16,227,385 | ||
8.55% 5/15/19 | 10,360,000 | 11,284,682 | ||
E.I. du Pont de Nemours & Co. 5% 1/15/13 | 254,000 | 274,927 | ||
Huntsman International LLC 7.875% 11/15/14 | 480,000 | 424,800 | ||
Inergy LP/Inergy Finance Corp. 8.75% 3/1/15 (h) | 2,130,000 | 2,177,925 | ||
JohnsonDiversey Holdings, Inc. 10.67% 5/15/13 | 480,000 | 448,800 | ||
Lubrizol Corp. 8.875% 2/1/19 | 928,000 | 1,144,067 | ||
Momentive Performance Materials, Inc. 9.75% 12/1/14 | 2,675,000 | 1,685,250 | ||
Nalco Co.: | ||||
7.75% 11/15/11 | 386,000 | 386,000 | ||
8.25% 5/15/17 (h) | 2,595,000 | 2,692,313 | ||
8.875% 11/15/13 | 1,270,000 | 1,279,525 | ||
NOVA Chemicals Corp.: | ||||
4.5375% 11/15/13 (o) | 2,720,000 | 2,393,600 | ||
6.5% 1/15/12 | 4,240,000 | 4,070,400 | ||
Pliant Corp. 11.125% 6/15/49 (c) | 60,320 | 7,238 | ||
| 57,645,142 | |||
Construction Materials - 0.0% | ||||
CRH America, Inc. 6% 9/30/16 | 1,833,000 | 1,799,260 | ||
Containers & Packaging - 0.2% | ||||
Ball Corp. 7.125% 9/1/16 | 2,355,000 | 2,366,775 | ||
BWAY Corp. 10% 4/15/14 (h) | 1,600,000 | 1,664,000 | ||
Cascades, Inc. 7.25% 2/15/13 | 1,105,000 | 1,041,463 | ||
Crown Americas LLC/Capital Corp. II 7.625% 5/15/17 (h) | 1,320,000 | 1,310,100 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
MATERIALS - continued | ||||
Containers & Packaging - continued | ||||
Crown Americas LLC/Crown Americas Capital Corp. 7.75% 11/15/15 | $ 700,000 | $ 691,250 | ||
Crown Cork & Seal, Inc.: | ||||
7.375% 12/15/26 | 4,250,000 | 3,655,000 | ||
8% 4/15/23 | 335,000 | 309,875 | ||
Graphic Packaging International, Inc.: | ||||
8.5% 8/15/11 | 1,520,000 | 1,520,000 | ||
9.5% 6/15/17 (h) | 1,660,000 | 1,705,650 | ||
Greif, Inc. 6.75% 2/1/17 | 4,050,000 | 3,786,750 | ||
Owens-Brockway Glass Container, Inc. 7.375% 5/15/16 (h) | 2,130,000 | 2,106,038 | ||
Owens-Illinois, Inc. 7.8% 5/15/18 | 985,000 | 970,225 | ||
Pactiv Corp.: | ||||
5.875% 7/15/12 | 1,713,000 | 1,824,965 | ||
6.4% 1/15/18 | 1,749,000 | 1,729,502 | ||
Rock-Tenn Co.: | ||||
9.25% 3/15/16 | 2,215,000 | 2,325,750 | ||
9.25% 3/15/16 (h) | 505,000 | 530,250 | ||
Vitro SAB de CV 8.625% 2/1/12 (c) | 5,585,000 | 2,220,038 | ||
| 29,757,631 | |||
Metals & Mining - 1.0% | ||||
Anglo American Capital PLC: | ||||
9.375% 4/8/14 (h) | 5,953,000 | 6,786,420 | ||
9.375% 4/8/19 (h) | 8,140,000 | 9,523,800 | ||
BHP Billiton Financial USA Ltd.: | ||||
5.125% 3/29/12 | 1,975,000 | 2,075,277 | ||
5.5% 4/1/14 | 9,113,000 | 9,922,398 | ||
6.5% 4/1/19 | 9,113,000 | 10,389,257 | ||
Compass Minerals International, Inc. 8% 6/1/19 (h) | 2,580,000 | 2,560,650 | ||
Corporacion Nacional del Cobre (Codelco) 6.375% 11/30/12 (h) | 2,002,000 | 2,187,085 | ||
Evraz Group SA 8.875% 4/24/13 (h) | 2,675,000 | 2,444,281 | ||
FMG Finance Property Ltd.: | ||||
10% 9/1/13 (h) | 5,580,000 | 5,831,100 | ||
10.625% 9/1/16 (h) | 789,000 | 844,230 | ||
Freeport-McMoRan Copper & Gold, Inc.: | ||||
4.995% 4/1/15 (o) | 105,000 | 100,275 | ||
8.25% 4/1/15 | 5,665,000 | 5,912,844 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
MATERIALS - continued | ||||
Metals & Mining - continued | ||||
Freeport-McMoRan Copper & Gold, Inc.: - continued | ||||
8.375% 4/1/17 | $ 5,545,000 | $ 5,801,456 | ||
Metals USA, Inc. 11.125% 12/1/15 | 790,000 | 718,900 | ||
Novelis, Inc. 11.5% 2/15/15 (h) | 510,000 | 504,900 | ||
Rio Tinto Finance (USA) Ltd.: | ||||
5.875% 7/15/13 | 3,264,000 | 3,467,840 | ||
6.5% 7/15/18 | 9,474,000 | 10,199,168 | ||
7.125% 7/15/28 | 8,900,000 | 9,414,865 | ||
8.95% 5/1/14 | 7,108,000 | 8,284,225 | ||
Steel Dynamics, Inc.: | ||||
6.75% 4/1/15 | 4,045,000 | 3,771,963 | ||
7.375% 11/1/12 | 1,830,000 | 1,788,825 | ||
Teck Resources Ltd.: | ||||
10.25% 5/15/16 | 1,420,000 | 1,563,704 | ||
10.75% 5/15/19 | 1,420,000 | 1,618,800 | ||
Tube City IMS Corp. 9.75% 2/1/15 | 1,700,000 | 1,224,000 | ||
United States Steel Corp. 6.65% 6/1/37 | 2,648,000 | 2,205,834 | ||
Vale Overseas Ltd. 6.25% 1/23/17 | 5,007,000 | 5,306,594 | ||
| 114,448,691 | |||
Paper & Forest Products - 0.1% | ||||
Domtar Corp.: | ||||
5.375% 12/1/13 | 2,260,000 | 2,045,300 | ||
7.125% 8/15/15 | 2,910,000 | 2,808,150 | ||
10.75% 6/1/17 | 2,420,000 | 2,625,700 | ||
Georgia-Pacific Corp.: | ||||
7% 1/15/15 (h) | 4,190,000 | 4,022,400 | ||
8.875% 5/15/31 | 1,235,000 | 1,179,425 | ||
Georgia-Pacific LLC 8.25% 5/1/16 (h) | 534,198 | 540,875 | ||
Verso Paper Holdings LLC/ Verso Paper, Inc. 11.5% 7/1/14 (h) | 2,955,000 | 2,910,675 | ||
| 16,132,525 | |||
TOTAL MATERIALS | 219,783,249 | |||
TELECOMMUNICATION SERVICES - 2.8% | ||||
Diversified Telecommunication Services - 1.9% | ||||
Alestra SA de RL de CV 11.75% 8/11/14 (h) | 435,000 | 466,538 | ||
AT&T Broadband Corp. 8.375% 3/15/13 | 2,585,000 | 2,987,340 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
TELECOMMUNICATION SERVICES - continued | ||||
Diversified Telecommunication Services - continued | ||||
AT&T, Inc.: | ||||
5.8% 2/15/19 | $ 8,788,000 | $ 9,434,612 | ||
6.3% 1/15/38 | 40,171,000 | 42,173,404 | ||
6.7% 11/15/13 | 1,173,000 | 1,328,638 | ||
6.8% 5/15/36 | 11,484,000 | 12,773,711 | ||
BellSouth Capital Funding Corp. 7.875% 2/15/30 | 1,060,000 | 1,273,349 | ||
British Telecommunications PLC 9.125% 12/15/10 (f) | 2,717,000 | 2,927,266 | ||
Cincinnati Bell, Inc. 8.375% 1/15/14 | 4,195,000 | 4,048,175 | ||
Citizens Communications Co.: | ||||
7.875% 1/15/27 | 925,000 | 763,125 | ||
9% 8/15/31 | 2,260,000 | 2,082,025 | ||
Deutsche Telekom International Financial BV: | ||||
5.25% 7/22/13 | 2,448,000 | 2,607,798 | ||
6.75% 8/20/18 | 3,629,000 | 4,096,927 | ||
Frontier Communications Corp. 8.25% 5/1/14 | 2,245,000 | 2,228,163 | ||
Global Village Telecom Finance LLC 12% 6/30/11 (h) | 2,204,150 | 2,259,254 | ||
Intelsat Bermuda Ltd. 12.5% 2/4/17 pay-in-kind (f)(h) | 1,721,250 | 1,435,690 | ||
Intelsat Ltd.: | ||||
6.5% 11/1/13 | 3,700,000 | 3,293,000 | ||
7.625% 4/15/12 | 6,930,000 | 6,618,150 | ||
11.25% 6/15/16 | 1,035,000 | 1,076,400 | ||
Qwest Capital Funding, Inc. 7.25% 2/15/11 | 1,525,000 | 1,502,125 | ||
Qwest Communications International, Inc.: | ||||
7.5% 2/15/14 | 370,000 | 357,050 | ||
7.5% 2/15/14 | 1,310,000 | 1,264,150 | ||
Qwest Corp.: | ||||
3.8794% 6/15/13 (o) | 1,870,000 | 1,729,750 | ||
7.5% 10/1/14 | 1,730,000 | 1,712,700 | ||
7.625% 6/15/15 | 1,515,000 | 1,503,638 | ||
8.375% 5/1/16 (h) | 3,210,000 | 3,266,175 | ||
SBC Communications, Inc.: | ||||
5.1% 9/15/14 | 2,169,000 | 2,344,492 | ||
5.875% 2/1/12 | 2,733,000 | 2,947,057 | ||
5.875% 8/15/12 | 978,000 | 1,069,656 | ||
Sistema Capital SA 8.875% 1/28/11 (Reg. S) | 1,535,000 | 1,558,025 | ||
Sprint Capital Corp.: | ||||
6.875% 11/15/28 | 17,440,000 | 12,687,600 | ||
7.625% 1/30/11 | 2,350,000 | 2,352,938 | ||
8.375% 3/15/12 | 1,510,000 | 1,511,888 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
TELECOMMUNICATION SERVICES - continued | ||||
Diversified Telecommunication Services - continued | ||||
Sprint Capital Corp.: - continued | ||||
8.75% 3/15/32 | $ 165,000 | $ 136,950 | ||
Telecom Italia Capital SA: | ||||
4% 1/15/10 | 4,890,000 | 4,925,770 | ||
4.95% 9/30/14 | 3,208,000 | 3,310,919 | ||
5.25% 10/1/15 | 1,177,000 | 1,220,908 | ||
6.999% 6/4/18 | 1,793,000 | 1,970,866 | ||
7.175% 6/18/19 | 10,000,000 | 11,132,920 | ||
7.2% 7/18/36 | 10,636,000 | 11,670,245 | ||
Telefonica Emisiones SAU: | ||||
0.8094% 2/4/13 (o) | 2,403,000 | 2,349,786 | ||
6.421% 6/20/16 | 1,162,000 | 1,302,134 | ||
Telefonos de Mexico SA de CV 4.75% 1/27/10 | 6,202,000 | 6,264,020 | ||
Time Warner Telecom Holdings, Inc. 9.25% 2/15/14 | 3,795,000 | 3,861,413 | ||
U.S. West Communications: | ||||
6.875% 9/15/33 | 1,540,000 | 1,201,200 | ||
7.5% 6/15/23 | 3,760,000 | 3,252,400 | ||
Verizon Communications, Inc.: | ||||
6.1% 4/15/18 | 6,000,000 | 6,522,288 | ||
6.25% 4/1/37 | 2,348,000 | 2,481,005 | ||
6.4% 2/15/38 | 7,621,000 | 8,238,392 | ||
6.9% 4/15/38 | 6,295,000 | 7,203,469 | ||
Verizon Global Funding Corp. 7.25% 12/1/10 | 2,741,000 | 2,919,335 | ||
Verizon New England, Inc. 6.5% 9/15/11 | 891,000 | 959,745 | ||
Verizon New York, Inc. 6.875% 4/1/12 | 2,653,000 | 2,890,526 | ||
Wind Acquisition Finance SA 11.75% 7/15/17 (h) | 4,535,000 | 4,920,475 | ||
| 228,415,575 | |||
Wireless Telecommunication Services - 0.9% | ||||
America Movil SAB de CV 5.625% 11/15/17 | 1,809,000 | 1,814,013 | ||
Cleveland Unlimited, Inc. 11.5% 12/15/10 (h)(o) | 1,260,000 | 1,247,400 | ||
Cricket Communications, Inc.: | ||||
7.75% 5/15/16 (h) | 2,905,000 | 2,817,850 | ||
9.375% 11/1/14 | 2,290,000 | 2,158,325 | ||
10% 7/15/15 | 2,130,000 | 2,050,125 | ||
Digicel Group Ltd.: | ||||
8.875% 1/15/15 (h) | 10,810,000 | 9,593,875 | ||
9.125% 1/15/15 pay-in-kind (h)(o) | 3,220,000 | 2,865,800 | ||
9.25% 9/1/12 (h) | 4,765,000 | 4,765,000 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
TELECOMMUNICATION SERVICES - continued | ||||
Wireless Telecommunication Services - continued | ||||
Digicel Group Ltd.: - continued | ||||
12% 4/1/14 (h) | $ 3,545,000 | $ 3,757,700 | ||
Intelsat Jackson Holdings Ltd.: | ||||
9.5% 6/15/16 | 5,450,000 | 5,572,625 | ||
11.5% 6/15/16 | 6,575,000 | 6,640,750 | ||
Intelsat Subsidiary Holding Co. Ltd.: | ||||
8.875% 1/15/15 (h) | 550,000 | 552,750 | ||
8.875% 1/15/15 | 6,110,000 | 6,140,550 | ||
MetroPCS Wireless, Inc.: | ||||
9.25% 11/1/14 | 5,620,000 | 5,545,825 | ||
Millicom International Cellular SA 10% 12/1/13 | 1,065,000 | 1,103,606 | ||
Mobile Telesystems Finance SA 8% 1/28/12 (h) | 4,523,000 | 4,664,344 | ||
Nextel Communications, Inc.: | ||||
5.95% 3/15/14 | 3,785,000 | 3,179,400 | ||
6.875% 10/31/13 | 9,105,000 | 8,148,975 | ||
7.375% 8/1/15 | 3,055,000 | 2,608,206 | ||
NII Capital Corp. 10% 8/15/16 (h) | 3,145,000 | 3,176,450 | ||
Orascom Telecom Finance SCA 7.875% 2/8/14 (h) | 3,800,000 | 3,344,000 | ||
Pakistan Mobile Communications Ltd. 8.625% 11/13/13 (h) | 3,170,000 | 2,694,500 | ||
Sprint Nextel Corp.: | ||||
6% 12/1/16 | 6,370,000 | 5,350,800 | ||
8.375% 8/15/17 | 3,140,000 | 3,010,475 | ||
Telecom Personal SA 9.25% 12/22/10 (h) | 2,475,000 | 2,555,438 | ||
Verizon Wireless Capital LLC: | ||||
5.55% 2/1/14 (h) | 2,374,000 | 2,567,215 | ||
8.5% 11/15/18 (h) | 923,000 | 1,162,617 | ||
Vimpel Communications 8.375% 4/30/13 (Issued by VIP Finance Ireland Ltd. for Vimpel Communications) (h) | 4,300,000 | 4,289,250 | ||
Vodafone Group PLC: | ||||
5% 12/16/13 | 2,296,000 | 2,437,491 | ||
5.5% 6/15/11 | 2,760,000 | 2,929,318 | ||
7.75% 2/15/10 | 1,848,000 | 1,904,046 | ||
| 110,648,719 | |||
TOTAL TELECOMMUNICATION SERVICES | 339,064,294 | |||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
UTILITIES - 2.6% | ||||
Electric Utilities - 1.3% | ||||
AmerenUE 6.4% 6/15/17 | $ 2,987,000 | $ 3,273,573 | ||
Cleveland Electric Illuminating Co.: | ||||
5.65% 12/15/13 | 4,113,000 | 4,337,689 | ||
8.875% 11/15/18 | 831,000 | 1,044,933 | ||
Commonwealth Edison Co.: | ||||
5.4% 12/15/11 | 3,665,000 | 3,913,648 | ||
5.8% 3/15/18 | 10,485,000 | 11,287,144 | ||
6.15% 9/15/17 | 5,140,000 | 5,651,476 | ||
Duke Energy Carolinas LLC: | ||||
5.25% 1/15/18 | 4,710,000 | 5,004,045 | ||
6.05% 4/15/38 | 1,867,000 | 2,091,585 | ||
Edison Mission Energy: | ||||
7% 5/15/17 | 1,190,000 | 908,863 | ||
7.2% 5/15/19 | 4,075,000 | 2,934,000 | ||
7.625% 5/15/27 | 2,215,000 | 1,428,675 | ||
EDP Finance BV: | ||||
5.375% 11/2/12 (h) | 1,993,000 | 2,130,045 | ||
6% 2/2/18 (h) | 9,619,000 | 10,374,640 | ||
Exelon Corp.: | ||||
4.9% 6/15/15 | 6,607,000 | 6,709,554 | ||
6.75% 5/1/11 | 665,000 | 710,901 | ||
FirstEnergy Corp. 6.45% 11/15/11 | 1,973,000 | 2,155,503 | ||
FirstEnergy Solutions Corp.: | ||||
4.8% 2/15/15 (h) | 2,432,000 | 2,485,725 | ||
6.05% 8/15/21 (h) | 5,664,000 | 5,725,732 | ||
6.8% 8/15/39 (h) | 4,340,000 | 4,433,002 | ||
Illinois Power Co. 6.125% 11/15/17 | 3,112,000 | 3,269,900 | ||
Intergen NV 9% 6/30/17 (h) | 6,405,000 | 6,292,913 | ||
IPALCO Enterprises, Inc. 7.25% 4/1/16 (h) | 4,440,000 | 4,306,800 | ||
Majapahit Holding BV: | ||||
7.75% 10/17/16 | 840,000 | 842,100 | ||
8% 8/7/19 (h) | 635,000 | 640,588 | ||
Mirant Americas Generation LLC: | ||||
8.5% 10/1/21 | 3,570,000 | 2,998,800 | ||
9.125% 5/1/31 | 2,785,000 | 2,144,450 | ||
National Power Corp. 6.875% 11/2/16 (h) | 1,490,000 | 1,504,900 | ||
Nevada Power Co.: | ||||
6.5% 5/15/18 | 790,000 | 861,005 | ||
6.5% 8/1/18 | 1,570,000 | 1,713,878 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
UTILITIES - continued | ||||
Electric Utilities - continued | ||||
Oncor Electric Delivery Co. 6.375% 5/1/12 | $ 2,731,000 | $ 2,973,988 | ||
Oncor Electric Delivery Co. LLC 5.95% 9/1/13 | 3,617,000 | 3,911,040 | ||
Pennsylvania Electric Co. 6.05% 9/1/17 | 764,000 | 813,691 | ||
Pepco Holdings, Inc.: | ||||
4% 5/15/10 | 2,231,000 | 2,254,323 | ||
6.45% 8/15/12 | 3,730,000 | 3,968,354 | ||
PPL Capital Funding, Inc. 6.7% 3/30/67 (o) | 8,250,000 | 6,435,000 | ||
Progress Energy, Inc. 7.1% 3/1/11 | 3,385,000 | 3,600,171 | ||
Sierra Pacific Power Co. 5.45% 9/1/13 | 1,560,000 | 1,634,526 | ||
Texas Competitive Electric Holdings Co. LLC: | ||||
Series A, 10.25% 11/1/15 | 4,070,000 | 2,767,600 | ||
Series B, 10.25% 11/1/15 | 5,090,000 | 3,461,200 | ||
11.25% 11/1/16 pay-in-kind | 3,953,031 | 2,223,251 | ||
Virginia Electric & Power Co. 5.4% 4/30/18 | 12,750,000 | 13,516,696 | ||
West Penn Power Co. 5.95% 12/15/17 (h) | 314,000 | 325,361 | ||
Wisconsin Electric Power Co. 6.25% 12/1/15 | 3,012,000 | 3,420,367 | ||
| 152,481,635 | |||
Gas Utilities - 0.1% | ||||
Dynegy Holdings, Inc.: | ||||
8.375% 5/1/16 | 1,365,000 | 1,112,475 | ||
8.75% 2/15/12 | 190,000 | 189,050 | ||
Intergas Finance BV: | ||||
6.375% 5/14/17 (Reg. S) | 1,700,000 | 1,385,500 | ||
6.875% 11/4/11 (Reg. S) | 3,650,000 | 3,522,250 | ||
Southern Natural Gas Co. 5.9% 4/1/17 (h) | 442,000 | 452,786 | ||
Texas Eastern Transmission Corp. 7.3% 12/1/10 | 3,100,000 | 3,192,842 | ||
Transportadora de Gas del Sur SA 7.875% 5/14/17 (h) | 2,855,000 | 2,312,550 | ||
| 12,167,453 | |||
Independent Power Producers & Energy Traders - 0.6% | ||||
AES Corp.: | ||||
7.75% 3/1/14 | 5,400,000 | 5,238,000 | ||
7.75% 10/15/15 | 3,210,000 | 3,121,725 | ||
8% 10/15/17 | 1,615,000 | 1,558,475 | ||
9.75% 4/15/16 (h) | 1,475,000 | 1,534,000 | ||
Allegheny Energy Supply Co. LLC 7.8% 3/15/11 | 9,060,000 | 9,628,134 | ||
Constellation Energy Group, Inc. 7% 4/1/12 | 6,444,000 | 6,916,693 | ||
Duke Capital LLC 5.668% 8/15/14 | 2,055,000 | 2,143,301 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
UTILITIES - continued | ||||
Independent Power Producers & Energy Traders - continued | ||||
Energy Future Holdings: | ||||
10.875% 11/1/17 | $ 4,420,000 | $ 3,182,400 | ||
12% 11/1/17 pay-in-kind (o) | 7,190,300 | 4,199,135 | ||
Exelon Generation Co. LLC 5.35% 1/15/14 | 1,528,000 | 1,597,981 | ||
Mirant North America LLC 7.375% 12/31/13 | 2,000,000 | 1,915,000 | ||
NRG Energy, Inc.: | ||||
7.25% 2/1/14 | 3,820,000 | 3,667,200 | ||
7.375% 2/1/16 | 3,120,000 | 2,932,800 | ||
7.375% 1/15/17 | 4,070,000 | 3,876,675 | ||
8.5% 6/15/19 | 2,750,000 | 2,640,000 | ||
PPL Energy Supply LLC 6.5% 5/1/18 | 6,895,000 | 7,266,785 | ||
RRI Energy, Inc.: | ||||
6.75% 12/15/14 | 1,744,000 | 1,744,000 | ||
7.625% 6/15/14 | 5,495,000 | 5,027,925 | ||
7.875% 6/15/17 | 745,000 | 661,188 | ||
Tenaska Alabama Partners LP 7% 6/30/21 (h) | 432,502 | 379,521 | ||
| 69,230,938 | |||
Multi-Utilities - 0.6% | ||||
Aquila, Inc. 11.875% 7/1/12 (o) | 155,000 | 175,925 | ||
Dominion Resources, Inc.: | ||||
4.75% 12/15/10 | 3,931,000 | 4,052,987 | ||
6.3% 9/30/66 (o) | 3,991,000 | 2,913,430 | ||
7.5% 6/30/66 (o) | 14,890,000 | 12,209,800 | ||
DTE Energy Co. 7.05% 6/1/11 | 984,000 | 1,045,469 | ||
KeySpan Corp. 7.625% 11/15/10 | 494,000 | 521,723 | ||
MidAmerican Energy Holdings, Co.: | ||||
5.75% 4/1/18 | 7,846,000 | 8,364,150 | ||
5.875% 10/1/12 | 2,921,000 | 3,168,210 | ||
6.5% 9/15/37 | 11,505,000 | 12,778,396 | ||
National Grid PLC 6.3% 8/1/16 | 1,477,000 | 1,596,823 | ||
NiSource Finance Corp.: | ||||
5.25% 9/15/17 | 843,000 | 783,238 | ||
5.4% 7/15/14 | 1,347,000 | 1,347,973 | ||
5.45% 9/15/20 | 1,934,000 | 1,753,119 | ||
6.4% 3/15/18 | 1,326,000 | 1,332,676 | ||
6.8% 1/15/19 | 10,000,000 | 10,141,370 | ||
7.875% 11/15/10 | 1,022,000 | 1,074,823 | ||
10.75% 3/15/16 | 5,913,000 | 6,925,187 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
UTILITIES - continued | ||||
Multi-Utilities - continued | ||||
Wisconsin Energy Corp. 6.25% 5/15/67 (o) | $ 6,172,000 | $ 4,875,880 | ||
WPS Resources Corp. 6.11% 12/1/66 (o) | 882,000 | 643,860 | ||
| 75,705,039 | |||
TOTAL UTILITIES | 309,585,065 | |||
TOTAL NONCONVERTIBLE BONDS | 3,348,951,422 | |||
TOTAL CORPORATE BONDS (Cost $3,198,120,247) | 3,356,947,773 | |||
U.S. Government and Government Agency Obligations - 20.9% | ||||
| ||||
U.S. Government Agency Obligations - 1.9% | ||||
Fannie Mae: | ||||
4.375% 7/17/13 (l) | 8,745,000 | 9,414,071 | ||
4.75% 11/19/12 | 24,650,000 | 26,899,313 | ||
5% 2/16/12 | 7,340,000 | 7,959,313 | ||
Federal Home Loan Bank: | ||||
1.75% 8/22/12 | 67,240,000 | 67,077,750 | ||
3.625% 5/29/13 | 15,625,000 | 16,420,313 | ||
Freddie Mac: | ||||
2.125% 3/23/12 | 665,000 | 674,716 | ||
3% 7/28/14 | 50,000,000 | 50,727,400 | ||
5.25% 7/18/11 (g) | 50,000,000 | 53,954,150 | ||
Tennessee Valley Authority 5.375% 4/1/56 | 385,000 | 395,172 | ||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | 233,522,198 | |||
U.S. Treasury Inflation Protected Obligations - 5.4% | ||||
U.S. Treasury Inflation-Indexed Notes: | ||||
1.625% 1/15/18 | 83,990,880 | 83,072,188 | ||
2% 1/15/14 (l) | 329,318,552 | 335,493,275 | ||
2% 7/15/14 | 74,358,050 | 75,868,411 | ||
2.625% 7/15/17 | 139,780,427 | 148,735,041 | ||
TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS | 643,168,915 | |||
U.S. Government and Government Agency Obligations - continued | ||||
| Principal Amount (d) | Value | ||
U.S. Treasury Obligations - 13.3% | ||||
U.S. Treasury Bonds: | ||||
4.25% 5/15/39 | $ 88,478,000 | $ 89,459,575 | ||
4.5% 5/15/38 | 20,000,000 | 21,062,500 | ||
U.S. Treasury Notes: | ||||
0.875% 3/31/11 | 21,090,000 | 21,136,967 | ||
1% 8/31/11 | 400,000,000 | 400,156,355 | ||
1.25% 11/30/10 | 21,871,000 | 22,064,930 | ||
1.75% 8/15/12 | 141,454,000 | 142,570,214 | ||
1.75% 3/31/14 | 125,000,000 | 122,382,750 | ||
1.875% 6/15/12 (g) | 94,350,000 | 95,580,984 | ||
1.875% 4/30/14 | 50,000,000 | 49,128,900 | ||
2.625% 7/31/14 | 300,000,000 | 303,562,500 | ||
2.75% 2/15/19 | 300,000,000 | 283,992,300 | ||
4.5% 9/30/11 (l) | 41,855,000 | 44,824,110 | ||
TOTAL U.S. TREASURY OBLIGATIONS | 1,595,922,085 | |||
Other Government Related - 0.3% | ||||
Citigroup Funding, Inc. 2.125% 7/12/12 (FDIC Guaranteed) (i) | 32,000,000 | 32,269,280 | ||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $2,467,200,382) | 2,504,882,478 | |||
U.S. Government Agency - Mortgage Securities - 12.4% | ||||
| ||||
Fannie Mae - 11.9% | ||||
3.334% 4/1/36 (o) | 2,142,068 | 2,186,248 | ||
3.75% 10/1/33 (o) | 1,355,101 | 1,379,593 | ||
4% 9/1/39 (j) | 16,000,000 | 15,639,738 | ||
4% 9/14/39 (j) | 19,000,000 | 18,572,188 | ||
4.275% 6/1/36 (o) | 369,031 | 383,014 | ||
4.5% 9/17/24 (j) | 12,000,000 | 12,332,974 | ||
4.5% 9/17/24 (j) | 23,000,000 | 23,638,199 | ||
4.5% 7/1/39 | 128,000,058 | 128,795,131 | ||
4.5% 9/1/39 (j)(k) | 31,000,000 | 31,144,116 | ||
5% 8/1/18 to 9/1/38 | 167,030,544 | 172,654,902 | ||
5% 9/17/24 (j) | 5,000,000 | 5,209,326 | ||
5% 9/14/39 (j)(k) | 37,000,000 | 37,957,094 | ||
5% 9/14/39 (j) | 48,000,000 | 49,241,635 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal Amount (d) | Value | ||
Fannie Mae - continued | ||||
5% 9/14/39 (j) | $ 35,000,000 | $ 35,905,359 | ||
5.3% 12/1/35 (o) | 1,201,614 | 1,256,144 | ||
5.308% 2/1/36 (o) | 1,788,814 | 1,878,285 | ||
5.5% 3/1/18 to 3/1/39 (k) | 354,959,450 | 371,617,221 | ||
5.5% 9/1/24 (j)(k) | 36,000,000 | 37,869,444 | ||
5.5% 9/1/24 (j)(k) | 53,000,000 | 55,752,237 | ||
5.5% 9/17/24 (j) | 3,000,000 | 3,155,787 | ||
5.5% 9/1/39 (j)(k) | 35,250,000 | 36,670,508 | ||
5.564% 7/1/37 (o) | 1,086,759 | 1,138,148 | ||
6% 6/1/22 to 3/1/38 (k) | 260,163,561 | 276,036,901 | ||
6% 9/1/39 (j) | 2,000,000 | 2,103,748 | ||
6.004% 4/1/36 (o) | 829,305 | 873,989 | ||
6.319% 4/1/36 (o) | 898,563 | 954,161 | ||
6.5% 12/1/34 to 8/1/37 | 26,040,252 | 28,031,536 | ||
6.5% 9/1/39 (j) | 2,000,000 | 2,138,650 | ||
6.5% 9/14/39 (j)(k) | 18,000,000 | 19,247,854 | ||
6.5% 9/14/39 (j) | 28,000,000 | 29,941,106 | ||
6.5% 10/14/39 (j) | 18,000,000 | 19,166,994 | ||
TOTAL FANNIE MAE | 1,422,872,230 | |||
Freddie Mac - 0.5% | ||||
4.702% 11/1/35 (o) | 8,081,295 | 8,404,200 | ||
5% 4/1/38 | 4,408,418 | 4,537,435 | ||
5.5% 11/1/17 | 2,990,039 | 3,189,576 | ||
5.669% 10/1/35 (o) | 619,000 | 654,786 | ||
5.919% 6/1/36 (o) | 2,007,679 | 2,102,789 | ||
6% 11/1/33 to 2/1/38 | 43,248,273 | 45,720,051 | ||
6.103% 6/1/36 (o) | 986,111 | 1,032,899 | ||
TOTAL FREDDIE MAC | 65,641,736 | |||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $1,456,596,876) | 1,488,513,966 | |||
Asset-Backed Securities - 2.0% | ||||
| ||||
Accredited Mortgage Loan Trust Series 2005-1 | 1,821,633 | 966,714 | ||
ACE Securities Corp. Series 2006-NC2: | ||||
Class M7, 1.0156% 7/25/36 (o) | 834,000 | 1,554 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (d) | Value | ||
ACE Securities Corp. Series 2006-NC2: - continued | ||||
Class M8, 1.1156% 7/25/36 (o) | $ 37,062 | $ 42 | ||
ACE Securities Corp. Home Equity Loan Trust: | ||||
Series 2004-HE1: | ||||
Class M1, 0.7656% 2/25/34 (o) | 307,946 | 280,958 | ||
Class M2, 1.3656% 2/25/34 (o) | 483,000 | 191,732 | ||
Series 2005-HE2 Class M2, 0.7156% 4/25/35 (o) | 262,278 | 227,028 | ||
Series 2005-SD1 Class A1, 0.6656% 11/25/50 (o) | 34,538 | 32,133 | ||
Series 2006-HE2: | ||||
Class M3, 0.6056% 5/25/36 (o) | 362,526 | 6,459 | ||
Class M4, 0.6656% 5/25/36 (o) | 108,725 | 1,690 | ||
Series 2006-OP1: | ||||
Class M4, 0.6356% 4/25/36 (o) | 170,200 | 4,646 | ||
Class M5, 0.6556% 4/25/36 (o) | 161,690 | 3,217 | ||
Advanta Business Card Master Trust: | ||||
Series 2005-A2 Class A2, 0.4025% 5/20/13 (o) | 2,756,051 | 2,645,809 | ||
Series 2006-A6 Class A6, 0.3025% 9/20/13 (o) | 5,445,957 | 5,228,119 | ||
Series 2006-A7 Class A7, 0.2925% 10/20/12 (o) | 2,998,584 | 2,878,640 | ||
Series 2006-C1 Class C1, 0.7525% 10/20/14 (o) | 642,000 | 19,260 | ||
Series 2007-A1 Class A, 0.3225% 1/20/15 (o) | 2,011,917 | 1,931,441 | ||
Series 2007-A4 Class A4, 0.3025% 4/22/13 (o) | 2,404,379 | 2,308,204 | ||
Series 2007-D1 Class D, 1.6725% 1/22/13 (h)(o) | 2,590,000 | 51,800 | ||
Airspeed Ltd. Series 2007-1A Class C1, 2.7728% 6/15/32 (h)(o) | 4,530,774 | 1,744,348 | ||
ALG Student Loan Trust I Series 2006-1 Class A1, 1.0825% 10/28/18 (h)(o) | 651,724 | 650,268 | ||
AmeriCredit Automobile Receivables Trust: | ||||
Series 2005-DA Class A4, 5.02% 11/6/12 | 253,080 | 255,544 | ||
Series 2006-1 Class B1, 5.2% 3/6/11 | 87,268 | 87,301 | ||
AmeriCredit Prime Automobile Receivables Trust: | ||||
Series 2007-1: | ||||
Class D, 5.62% 9/30/14 | 1,125,000 | 618,750 | ||
Class E, 6.96% 3/31/16 (h) | 2,052,284 | 1,026,142 | ||
Series 2007-2M Class A3, 5.22% 4/8/10 | 369,640 | 375,847 | ||
Ameriquest Mortgage Securities, Inc. pass-thru certificates: | ||||
Series 2003-10 Class M1, 0.9656% 12/25/33 (o) | 120,846 | 87,105 | ||
Series 2004-R11 Class M1, 0.9256% 11/25/34 (o) | 572,200 | 264,806 | ||
Series 2004-R2 Class M3, 0.8156% 4/25/34 (o) | 156,351 | 64,910 | ||
Series 2005-R2 Class M1, 0.7156% 4/25/35 (o) | 2,064,696 | 1,462,805 | ||
Anthracite CDO II Ltd. Series 2002-2A: | ||||
Class F, 7.6% 12/24/37 (h) | 160,000 | 64,000 | ||
Class G, 9.75% 12/24/37 (h) | 210,000 | 73,500 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (d) | Value | ||
Anthracite CDO III Ltd./Anthracite CDO III Corp. | $ 263,363 | $ 171,186 | ||
Argent Securities, Inc. pass-thru certificates: | ||||
Series 2003-W7 Class A2, 0.6556% 3/1/34 (o) | 47,932 | 12,351 | ||
Series 2004-W11 Class M2, 0.9656% 11/25/34 (o) | 561,149 | 233,326 | ||
Series 2004-W7: | ||||
Class M1, 0.8156% 5/25/34 (o) | 1,542,998 | 743,995 | ||
Class M2, 0.8656% 5/25/34 (o) | 1,290,110 | 908,277 | ||
Series 2006-W4 Class A2C, 0.4256% 5/25/36 (o) | 1,552,054 | 472,850 | ||
Asset Backed Funding Corp. Series 2006-OPT2 | 1,259,792 | 20,176 | ||
Asset Backed Securities Corp. Home Equity Loan Trust: | ||||
Series 2004-HE2 Class M1, 0.8156% 4/25/34 (o) | 2,668,736 | 1,412,565 | ||
Series 2004-HE6 Class A2, 0.6256% 6/25/34 (o) | 416,700 | 213,018 | ||
Series 2006-HE2 Class M1, 0.6356% 3/25/36 (o) | 262,000 | 8,147 | ||
Axon Financial Funding Ltd. Series 2007-1A Class A1, 5.96% 4/4/17 (c)(h)(o) | 7,217,000 | 1 | ||
Bank America Auto Trust Series 2009-1A Class A3, 2.67% 7/15/13 (h) | 9,500,000 | 9,603,364 | ||
Bank of America Credit Card Master Trust | 3,433,000 | 3,425,227 | ||
Bear Stearns Asset Backed Securities I Trust | 92,707 | 68,433 | ||
BMW Floorplan Master Owner Trust Series 2006-1A Class B, 0.3628% 9/17/11 (h)(o) | 373,000 | 372,542 | ||
Brascan Real Estate CDO Ltd./Brascan Real Estate CDO Corp. Series 2004-1A Class A, 0.86% 1/20/40 (h)(o) | 392,513 | 262,984 | ||
Brazos Higher Education Authority, Inc. Student Loan Rev. Series 2006 A2R, 5.03% 12/1/41 | 1,752,176 | 1,541,915 | ||
Brazos Higher Education Authority, Inc. Series 2006-2 Class A9, 0.6175% 12/26/24 (o) | 2,296,541 | 2,145,520 | ||
C-BASS Trust Series 2006-CB7 Class A2, 0.3256% 10/25/36 (o) | 805,334 | 731,795 | ||
Capital Auto Receivables Asset Trust: | ||||
Series 2006-1: | ||||
Class B, 5.26% 10/15/10 | 639,862 | 642,471 | ||
Class C, 5.55% 1/18/11 | 1,500,000 | 1,505,855 | ||
Class D, 7.16% 1/15/13 (h) | 160,000 | 147,200 | ||
Series 2006-2: | ||||
Class B, 5.07% 12/15/11 | 2,222,000 | 2,251,748 | ||
Class C, 5.31% 6/15/12 | 1,634,000 | 1,593,086 | ||
Series 2007-1 Class C, 5.38% 11/15/12 | 582,000 | 468,302 | ||
Series 2007-SN1 Class D, 6.05% 1/17/12 | 285,000 | 263,625 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (d) | Value | ||
Capital One Auto Finance Trust: | ||||
Series 2005-BSS Class D, 4.8% 9/15/12 | $ 1,204,000 | $ 1,205,057 | ||
Series 2006-C: | ||||
Class A3A, 5.07% 7/15/11 | 29,664 | 29,667 | ||
Class A3B, 0.2828% 7/15/11 (o) | 75,272 | 75,039 | ||
Series 2007-B Class A3A, 5.03% 4/15/12 | 748,275 | 755,906 | ||
Capital One Multi-Asset Execution Trust: | ||||
Series 2007-C3 Class C3, 0.5628% 4/15/13 (h)(o) | 2,908,037 | 2,795,889 | ||
Series 2009-A2 Class A2, 3.2% 4/15/14 | 10,000,000 | 10,180,903 | ||
Capital Trust Ltd. Series 2004-1: | ||||
Class A2, 0.7225% 7/20/39 (h)(o) | 457,498 | 91,500 | ||
Class B, 1.0225% 7/20/39 (h)(o) | 263,810 | 31,657 | ||
Class C, 1.3725% 7/20/39 (h)(o) | 339,379 | 27,150 | ||
Capital Trust RE CDO Ltd./Capital Trust RE CDO Corp. Series 2005-3A Class A2, 5.16% 6/25/35 (h) | 830,000 | 597,600 | ||
CapitalSource Real Estate Loan Trust Series 2006-1A Class A2A, 0.76% 1/20/37 (h)(o) | 221,569 | 99,706 | ||
Capmark VII Ltd. Series 2006-7A Class H, 1.8228% 8/15/36 (h)(o) | 504,923 | 0 | ||
CarMax Auto Owner Trust Series 2007-2 Class C, 5.61% 11/15/13 | 928,000 | 835,200 | ||
Carrington Mortgage Loan Trust: | ||||
Series 2006-FRE1 Class M1, 0.5656% 7/25/36 (o) | 1,140,851 | 39,749 | ||
Series 2006-NC2 Class M7, 1.1156% 6/25/36 (o) | 425,500 | 7,791 | ||
Series 2006-NC3 Class M10, 2.2656% 8/25/36 (h)(o) | 290,000 | 4,890 | ||
Series 2006-NC4 Class M1, 0.5656% 10/25/36 (o) | 224,000 | 7,552 | ||
Series 2006-RFC1 Class M9, 2.1356% 5/25/36 (o) | 186,369 | 4,595 | ||
Series 2007-RFC1 Class A3, 0.4056% 12/25/36 (o) | 1,802,588 | 474,167 | ||
Cendant Timeshare Receivables Funding LLC: | ||||
Series 2005 1A Class 2A2, 0.4525% 5/20/17 (h)(o) | 221,719 | 177,950 | ||
Series 2005-1A Class A1, 4.67% 5/20/17 (h) | 698,429 | 546,185 | ||
Chase Issuance Trust Series 2004-3 Class C, 0.7428% 6/15/12 (o) | 530,000 | 527,711 | ||
CIT Equipment Collateral Trust Series 2006-VT2 Class D, 5.46% 4/20/14 | 290,602 | 259,123 | ||
Citigroup Mortgage Loan Trust Series 2007-AMC4 | 765,389 | 24,450 | ||
Countrywide Asset-Backed Certificates Trust: | ||||
Series 2006-13 Class 1AF1, 0.3856% 1/25/37 (o) | 6,426 | 6,373 | ||
Series 2007-11 Class 2A1, 0.3256% 6/25/47 (o) | 160,821 | 152,384 | ||
Series 2007-4 Class A1A, 0.3856% 9/25/37 (o) | 939,940 | 883,333 | ||
Countrywide Home Loan Trust Series 2006-13 Class N, 7% 8/25/37 (h) | 811,000 | 81 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (d) | Value | ||
Countrywide Home Loans, Inc.: | ||||
Series 2004-3: | ||||
Class M1, 0.7656% 6/25/34 (o) | $ 948,567 | $ 520,284 | ||
Class M4, 1.2356% 4/25/34 (o) | 159,822 | 81,245 | ||
Series 2004-4 Class M2, 0.7956% 6/25/34 (o) | 587,945 | 377,033 | ||
Series 2005-3 Class MV1, 0.6856% 8/25/35 (o) | 2,043,541 | 1,858,825 | ||
Series 2005-AB1 Class A2, 0.4756% 8/25/35 (o) | 361,246 | 331,173 | ||
CPS Auto Receivables Trust: | ||||
Series 2006-D: | ||||
Class A3, 5.157% 5/15/11 (h) | 54,359 | 54,382 | ||
Class A4, 5.115% 8/15/13 (h) | 1,012,000 | 991,892 | ||
Series 2007-B Class A3, 5.47% 11/15/11 (h) | 368,595 | 369,765 | ||
Series 2007-C Class A3, 5.43% 5/15/12 (h) | 297,494 | 297,391 | ||
Crest Clarendon Street Ltd./Crest Clarendon Corp. Series 2002-1A: | ||||
Class B1, 6.065% 12/28/35 (h) | 500,000 | 215,000 | ||
Class B2, 1.9513% 12/28/35 (h)(o) | 500,000 | 150,000 | ||
Crest Dartmouth Street Ltd./Crest Dartmouth Street Corp. Series 2003-1A Class D, 9% 6/28/38 (h) | 100,000 | 25,000 | ||
DB Master Finance LLC Series 2006-1 Class M1, 8.285% 6/20/31 (h) | 235,000 | 205,773 | ||
Discover Card Master Trust I Series 2007-1 Class B, 0.3728% 8/15/12 (o) | 2,908,000 | 2,854,166 | ||
Drive Auto Receivables Trust Series 2006-1 Class A4, 5.54% 12/16/13 (h) | 2,051,974 | 2,027,666 | ||
Fannie Mae subordinate REMIC pass-thru certificates Series 2004-T5 Class AB3, 0.6603% 5/28/35 (o) | 38,916 | 21,614 | ||
Fieldstone Mortgage Investment Corp.: | ||||
Series 2004-3 Class M5, 2.4406% 8/25/34 (o) | 290,872 | 58,554 | ||
Series 2006-3 Class 2A3, 0.4256% 11/25/36 (o) | 6,074,620 | 1,845,999 | ||
First Franklin Mortgage Loan Trust: | ||||
Series 2004-FF2 Class M3, 1.0906% 3/25/34 (o) | 30,878 | 15,283 | ||
Series 2005-FF9 Class A3, 0.5456% 10/25/35 (o) | 6,305,998 | 5,287,425 | ||
Series 2006-FF12 Class A2, 0.3056% 9/25/36 (o) | 277,873 | 270,427 | ||
Series 2006-FF5 Class 2A2, 0.3756% 4/25/36 (o) | 97,764 | 94,354 | ||
Ford Credit Auto Owner Trust: | ||||
Series 2006-B Class D, 7.26% 2/15/13 (h) | 1,175,000 | 1,091,467 | ||
Series 2006-C: | ||||
Class B, 5.3% 6/15/12 | 649,000 | 656,280 | ||
Class D, 6.89% 5/15/13 (h) | 915,000 | 796,777 | ||
Series 2007-A Class D, 7.05% 12/15/13 (h) | 970,000 | 853,717 | ||
Ford Credit Floorplan Master Owner Trust Series 2006-4 Class B, 0.8228% 6/15/13 (o) | 772,878 | 502,371 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (d) | Value | ||
Franklin Auto Trust: | ||||
Series 2006-1: | ||||
Class B, 5.14% 7/21/14 | $ 72,000 | $ 58,221 | ||
Class C, 5.41% 7/21/14 | 638,000 | 319,000 | ||
Series 2007-1: | ||||
Class A4, 5.03% 2/16/15 | 502,000 | 516,505 | ||
Class C, 5.43% 2/16/15 | 614,000 | 292,186 | ||
Fremont Home Loan Trust: | ||||
Series 2004-1: | ||||
Class M1, 0.9406% 2/25/34 (o) | 72,096 | 32,495 | ||
Class M2, 1.0156% 2/25/34 (o) | 123,225 | 95,566 | ||
Series 2005-A: | ||||
Class M3, 0.7556% 1/25/35 (o) | 948,695 | 221,985 | ||
Class M4, 0.9456% 1/25/35 (o) | 363,547 | 66,597 | ||
Series 2006-A Class M4, 0.6656% 5/25/36 (o) | 190,539 | 1,824 | ||
Series 2006-D Class M1, 0.4956% 11/25/36 (o) | 324,000 | 4,998 | ||
GCO Education Loan Funding Master Trust II | 2,892,000 | 2,163,578 | ||
GCO Slims Trust Series 2006-1A, 5.72% 3/1/22 (h) | 2,719,313 | 2,175,450 | ||
GE Business Loan Trust: | ||||
Series 2003-1 Class A, 0.7028% 4/15/31 (h)(o) | 345,167 | 231,262 | ||
Series 2006-2A: | ||||
Class A, 0.4528% 11/15/34 (h)(o) | 2,481,535 | 1,488,921 | ||
Class B, 0.5528% 11/15/34 (h)(o) | 896,405 | 259,957 | ||
Class C, 0.6528% 11/15/34 (h)(o) | 1,489,789 | 327,753 | ||
Class D, 1.0228% 11/15/34 (h)(o) | 565,721 | 90,515 | ||
GE Capital Credit Card Master Note Trust: | ||||
Series 2006-1: | ||||
Class B, 0.3828% 9/17/12 (o) | 889,000 | 862,330 | ||
Class C, 0.5128% 9/17/12 (o) | 692,000 | 650,480 | ||
Series 2007-1 Class C, 0.5428% 3/15/13 (o) | 4,746,000 | 4,347,668 | ||
GE Equipment Midticket LLC Series 2006-1 Class B, 0.4228% 9/15/17 (o) | 1,151,000 | 932,399 | ||
Goal Capital Funding Trust Series 2007-1 Class C1, 1.0075% 6/25/42 (o) | 739,000 | 443,400 | ||
GS Auto Loan Trust: | ||||
Series 2006-1 Class D, 6.25% 1/15/14 (h) | 289,822 | 246,348 | ||
Series 2007-1: | ||||
Class B, 5.53% 12/15/14 | 97,423 | 84,678 | ||
Class C, 5.74% 12/15/14 | 206,932 | 165,546 | ||
GSAMP Trust: | ||||
Series 2004-AR1: | ||||
Class B4, 5% 6/25/34 (h)(o) | 416,574 | 30,815 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (d) | Value | ||
GSAMP Trust: - continued | ||||
Series 2004-AR1: | ||||
Class M1, 0.9156% 6/25/34 (o) | $ 2,723,367 | $ 1,435,156 | ||
Series 2007-HE1 Class M1, 0.5156% 3/25/47 (o) | 1,096,059 | 42,294 | ||
GSR Mortgage Loan Trust: | ||||
Series 2004-OPT Class A1, 0.6056% 11/25/34 (o) | 15,860 | 6,950 | ||
Series 2005-MTR1 Class A1, 0.4056% 10/25/35 (o) | 78,508 | 77,651 | ||
Series 2006-FM1 Class M3, 0.6156% 4/25/36 (o) | 431,287 | 4,478 | ||
Guggenheim Structured Real Estate Funding Ltd.: | ||||
Series 2005-1 Class C, 1.3456% 5/25/30 (h)(o) | 659,999 | 99,000 | ||
Series 2006-3: | ||||
Class B, 0.6656% 9/25/46 (h)(o) | 654,930 | 98,240 | ||
Class C, 0.8156% 9/25/46 (h)(o) | 1,526,694 | 152,669 | ||
Class E, 1.9156% 9/25/46 (h)(o) | 250,919 | 15,055 | ||
Home Equity Asset Trust: | ||||
Series 2002-3 Class A5, 1.1456% 2/25/33 (o) | 402 | 96 | ||
Series 2003-2 Class M1, 1.5856% 8/25/33 (o) | 512,285 | 249,509 | ||
Series 2003-3 Class M1, 1.5556% 8/25/33 (o) | 899,380 | 433,667 | ||
Series 2003-5 Class A2, 0.9656% 12/25/33 (o) | 32,929 | 12,002 | ||
Series 2003-7 Class A2, 1.0256% 3/25/34 (o) | 1,657 | 647 | ||
Series 2004-3 Class M2, 1.9656% 8/25/34 (o) | 300,402 | 173,903 | ||
Series 2004-7 Class A3, 0.6556% 1/25/35 (o) | 613 | 368 | ||
Series 2005-5 Class 2A2, 0.5156% 11/25/35 (o) | 272,057 | 256,017 | ||
Series 2006-1 Class 2A3, 0.4906% 4/25/36 (o) | 3,362,465 | 3,092,394 | ||
Series 2006-3N Class B, 6.5% 8/27/36 (h) | 250,000 | 0 | ||
Series 2006-8 Class 2A1, 0.3156% 3/25/37 (o) | 21,005 | 19,400 | ||
HSBC Credit Card Master Note Trust I Series 2006-1 Class B, 0.4128% 6/15/12 (o) | 2,249,000 | 2,233,531 | ||
HSBC Home Equity Loan Trust Series 2006-2: | ||||
Class M1, 0.5425% 3/20/36 (o) | 586,295 | 337,266 | ||
Class M2, 0.5625% 3/20/36 (o) | 970,086 | 470,580 | ||
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.4556% 1/25/37 (o) | 1,522,035 | 447,064 | ||
Hyundai Auto Receivables Trust Series 2006-1: | ||||
Class B, 5.29% 11/15/12 | 131,168 | 131,950 | ||
Class C, 5.34% 11/15/12 | 169,955 | 172,556 | ||
JPMorgan Mortgage Acquisition Trust: | ||||
Series 2006-NC2 Class M2, 0.5656% 7/25/36 (o) | 204,000 | 4,076 | ||
Series 2007-CH1: | ||||
Class AV4, 0.3956% 11/25/36 (o) | 1,520,141 | 683,227 | ||
Class MV1, 0.4956% 11/25/36 (o) | 1,234,797 | 126,393 | ||
Series 2007-CH3 Class M1, 0.5656% 3/25/37 (o) | 573,000 | 19,755 | ||
Kent Funding III Ltd. Series 2006-3A Class D, 4.1538% 10/29/47 (o) | 281,890 | 28 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (d) | Value | ||
Keycorp Student Loan Trust: | ||||
Series 1999-A Class A2, 1.5575% 12/27/09 (o) | $ 1,013,685 | $ 805,338 | ||
Series 2006-A: | ||||
Class 2A1, 1.2575% 9/27/21 (o) | 382,221 | 379,265 | ||
Class 2C, 2.3775% 3/27/42 (o) | 3,243,000 | 528,596 | ||
Lancer Funding Ltd. Series 2006-1A Class A3, 2.2775% 4/6/46 (h)(o) | 272,850 | 27 | ||
Leafs CMBS I Ltd. Series 2002-1A Class D, 4.13% 11/20/37 (h) | 155,863 | 81,049 | ||
Leafs CMBS I Ltd./Leafs CMBS I Corp. Series 2002-1A Class A2, 0.8225% 11/20/17 (h)(o) | 500,000 | 410,000 | ||
Long Beach Auto Receivables Trust Series 2007-A | 3,523,500 | 3,241,490 | ||
Long Beach Mortgage Loan Trust: | ||||
Series 2004-2 Class M2, 1.3456% 6/25/34 (o) | 336,518 | 258,379 | ||
Series 2006-8 Class 2A1, 0.3056% 9/25/36 (o) | 26,392 | 26,113 | ||
Marathon Real Estate CDO Ltd. Series 2006-1A Class B, 0.6956% 5/25/46 (h)(o) | 250,000 | 20,000 | ||
Marriott Vacation Club Owner Trust Series 2006-2A: | ||||
Class B, 5.442% 10/20/28 (h) | 28,260 | 15,543 | ||
Class C, 5.691% 10/20/28 (h) | 12,560 | 6,280 | ||
Class D, 6.01% 10/20/28 (h) | 149,545 | 67,295 | ||
MASTR Asset Backed Securities Trust: | ||||
Series 2006-AM3 Class M1, 0.5256% 10/25/36 (o) | 545,328 | 14,887 | ||
Series 2007-HE1 Class M1, 0.5656% 5/25/37 (o) | 784,792 | 27,469 | ||
Meritage Mortgage Loan Trust Series 2004-1 Class M1, 1.0156% 7/25/34 (o) | 220,450 | 97,568 | ||
Merrill Auto Trust Securitization Series 2007-1 Class B, 5.79% 12/16/13 | 417,699 | 397,382 | ||
Merrill Lynch Mortgage Investors Trust: | ||||
Series 2003-OPT1 Class M1, 0.9156% 7/25/34 (o) | 936,072 | 663,792 | ||
Series 2006-FM1 Class A2B, 0.3756% 4/25/37 (o) | 2,667,349 | 1,940,582 | ||
Series 2006-MLN1 Class A2A, 0.3356% 7/25/37 (o) | 76,585 | 73,016 | ||
Series 2006-OPT1 Class A1A, 0.5256% 6/25/35 (o) | 3,475,759 | 1,707,022 | ||
Morgan Stanley ABS Capital I Trust: | ||||
Series 2004-HE6 Class A2, 0.6056% 8/25/34 (o) | 57,368 | 11,978 | ||
Series 2005-HE1 Class M2, 0.7356% 12/25/34 (o) | 487,793 | 326,801 | ||
Series 2005-HE2 Class M1, 0.6656% 1/25/35 (o) | 441,329 | 167,620 | ||
Series 2005-NC1 Class M1, 0.7056% 1/25/35 (o) | 399,800 | 159,786 | ||
Series 2005-NC2 Class B1, 1.4356% 3/25/35 (o) | 416,362 | 65,499 | ||
Series 2006-HE6 Class A2A, 0.3056% 9/25/36 (o) | 407,177 | 399,022 | ||
Series 2006-NC4 Class M4, 0.6156% 6/25/36 (o) | 320,280 | 1,718 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (d) | Value | ||
Morgan Stanley ABS Capital I Trust: - continued | ||||
Series 2007-HE2 Class M1, 0.5156% 1/25/37 (o) | $ 263,000 | $ 4,853 | ||
Morgan Stanley Dean Witter Capital I Trust | 34,465 | 7,306 | ||
Morgan Stanley Home Equity Loans Trust Series 2007-2 Class A1, 0.3656% 4/25/37 (o) | 1,144,261 | 934,193 | ||
Morgan Stanley IXIS Real Estate Capital Trust | 18,657 | 17,573 | ||
N-Star Real Estate CDO Ltd. Series 1A: | ||||
Class B1, 2.0469% 8/28/38 (h)(o) | 195,000 | 117,000 | ||
Class C1B, 7.696% 8/28/38 (h) | 63,000 | 27,846 | ||
National Collegiate Funding LLC Series 2004-GT1 | 4,356,000 | 392,040 | ||
National Collegiate Student Loan Trust: | ||||
Series 2004-2 Class AIO, 9.75% 10/25/14 (q) | 4,504,900 | 900,980 | ||
Series 2005-GT1 Class AIO, 6.75% 12/25/09 (q) | 3,239,000 | 89,073 | ||
Series 2006-1 Class AIO, 5.5% 4/25/11 (q) | 466,000 | 30,290 | ||
Series 2006-2 Class AIO, 6% 8/25/11 (q) | 231,000 | 21,945 | ||
Series 2006-3: | ||||
Class A1, 0.2956% 9/25/19 (o) | 700,204 | 690,686 | ||
Class AIO, 7.1% 1/25/12 (q) | 372,000 | 51,768 | ||
Series 2006-4: | ||||
Class A1, 0.2956% 3/25/25 (o) | 770,100 | 739,157 | ||
Class AIO, 6.35% 2/27/12 (q) | 1,182,000 | 155,149 | ||
Class D, 1.3656% 5/25/32 (o) | 2,481,000 | 59,403 | ||
Series 2007-1 Class AIO, 7.27% 4/25/12 (q) | 1,589,000 | 263,409 | ||
Series 2007-2 Class AIO, 6.7% 7/25/12 (q) | 1,351,000 | 215,957 | ||
New Century Home Equity Loan Trust: | ||||
Series 2005-4 Class M2, 0.7756% 9/25/35 (o) | 1,426,957 | 285,687 | ||
Series 2005-D Class M2, 0.7356% 2/25/36 (o) | 827,339 | 49,918 | ||
Nomura Home Equity Loan Trust Series 2006-HE2 | 486,363 | 464,411 | ||
NovaStar Mortgage Funding Trust Series 2006-6 | 19,231 | 18,782 | ||
Ocala Funding LLC: | ||||
Series 2005-1A Class A, 1.7725% 3/20/10 (h)(o) | 566,000 | 220,740 | ||
Series 2006-1A Class A, 1.6725% 3/20/11 (h)(o) | 1,176,000 | 435,120 | ||
Option One Mortgage Loan Trust: | ||||
Series 2004-3 Class M3, 0.9156% 11/25/34 (o) | 343,974 | 270,453 | ||
Series 2007-5 Class 2A1, 0.3556% 5/25/37 (o) | 214,246 | 198,231 | ||
Series 2007-6 Class 2A1, 0.3256% 7/25/37 (o) | 295,460 | 275,111 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (d) | Value | ||
Park Place Securities, Inc.: | ||||
Series 2004-WCW1: | ||||
Class M2, 0.9456% 9/25/34 (o) | $ 278,447 | $ 196,861 | ||
Class M3, 1.5156% 9/25/34 (o) | 532,896 | 140,313 | ||
Class M4, 1.7156% 9/25/34 (o) | 683,353 | 98,476 | ||
Series 2004-WCW2 Class M3, 0.8156% 7/25/35 (o) | 400,651 | 59,346 | ||
Series 2005-WCH1: | ||||
Class M2, 0.7856% 1/25/35 (o) | 2,548,346 | 1,676,265 | ||
Class M3, 0.8256% 1/25/35 (o) | 478,432 | 249,139 | ||
Class M4, 1.0956% 1/25/35 (o) | 1,475,804 | 239,914 | ||
Series 2005-WHQ2: | ||||
Class M7, 1.5156% 5/25/35 (o) | 1,883,145 | 34,051 | ||
Class M9, 2.1456% 5/25/35 (o) | 591,445 | 3,220 | ||
Prima Capital CDO Ltd./Prima Capital CDO Corp. Series 2005-1A: | ||||
Class A2, 4.646% 7/24/39 (h) | 506,841 | 425,747 | ||
Class B, 4.846% 7/24/39 (h) | 180,000 | 122,400 | ||
Class C, 5.08% 7/24/39 (h) | 185,000 | 111,000 | ||
Providian Master Note Trust Series 2006-C1A Class C1, 0.8228% 3/16/15 (h)(o) | 3,406,919 | 3,085,691 | ||
Rental Car Finance Corp. Series 2005-1A Class A2, 4.59% 6/25/11 (h) | 530,000 | 414,891 | ||
Residential Asset Mortgage Products, Inc. | 566,000 | 14,382 | ||
Residential Asset Securities Corp. Series 2007-KS2 | 1,524,976 | 1,415,032 | ||
Resource Real Estate Funding CDO Series 2007-1A Class J, 3.2156% 9/25/46 (h)(o) | 250,000 | 7,500 | ||
Salomon Brothers Mortgage Securities VII, Inc. | 5,108 | 2,264 | ||
Saxon Asset Securities Trust Series 2004-1 Class M1, 1.0606% 3/25/35 (o) | 1,890,000 | 940,396 | ||
Securitized Asset Backed Receivables LLC Trust: | ||||
Series 2005-FR4 Class B3, 1.9856% 1/25/36 (o) | 96,000 | 1,429 | ||
Series 2006-FR4 Class A2A, 0.3456% 8/25/36 (o) | 80,746 | 40,739 | ||
Series 2007-NC1 Class A2A, 0.3156% 12/25/36 (o) | 50,431 | 45,314 | ||
Sierra Receivables Funding Co. Series 2007-1A | 1,142,292 | 947,167 | ||
SLM Private Credit Student Loan Trust Series 2004-A Class C, 1.5794% 6/15/33 (o) | 1,272,000 | 254,400 | ||
Specialty Underwriting & Residential Finance Trust: | ||||
Series 2003-BC3 Class M2, 2.6656% 8/25/34 (o) | 179,323 | 116,178 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (d) | Value | ||
Specialty Underwriting & Residential Finance Trust: - continued | ||||
Series 2006-AB2 Class N1, 5.75% 6/25/37 (h) | $ 656,637 | $ 6,566 | ||
Structured Asset Investment Loan Trust Series 2004-8 Class M5, 1.4156% 9/25/34 (o) | 83,940 | 12,587 | ||
Structured Asset Securities Corp.: | ||||
Series 2004-GEL1 Class A, 0.6256% 2/25/34 (o) | 137,271 | 73,027 | ||
Series 2007-BC4 Class A3, 0.535% 11/25/37 (o) | 14,981,348 | 13,636,883 | ||
Series 2007-GEL1 Class A2, 0.4556% 1/25/37 (h)(o) | 1,308,498 | 349,065 | ||
Structured Asset Securities Corp. Mortgage Loan Trust Series 2007-OSI Class A2, 0.3556% 6/25/37 (o) | 1,911,607 | 1,537,749 | ||
Superior Wholesale Inventory Financing Trust | ||||
Class A, 0.3728% 1/15/12 (o) | 1,278,000 | 1,257,366 | ||
Class B, 0.5728% 1/15/12 (o) | 1,054,000 | 991,477 | ||
Class C, 0.8728% 1/15/12 (o) | 1,634,000 | 1,339,880 | ||
SVO VOI Mortgage Corp. Series 2006-AA Class A, 5.28% 2/20/24 (h) | 1,460,798 | 1,246,251 | ||
Swift Master Auto Receivables Trust: | ||||
Series 2007-1: | ||||
Class A, 0.3728% 6/15/12 (o) | 3,555,000 | 3,430,575 | ||
Class B, 0.4928% 6/15/12 (o) | 3,709,000 | 3,430,825 | ||
Class C, 0.7728% 6/15/12 (o) | 254,000 | 177,800 | ||
Series 2007-2 Class A, 0.9228% 10/15/12 (o) | 2,867,000 | 2,734,401 | ||
Terwin Mortgage Trust: | ||||
Series 2003-4HE Class A1, 1.1256% 9/25/34 (o) | 28,819 | 9,827 | ||
Series 2003-6HE Class A1, 0.7356% 11/25/33 (o) | 36,470 | 14,051 | ||
TIAA Real Estate CDO Ltd./TIAA Real Estate CDO Corp.: | ||||
Series 2002-1A: | ||||
Class IIFX, 6.77% 5/22/37 (h) | 225,000 | 191,250 | ||
Class IV, 6.84% 5/22/37 (h) | 235,000 | 98,700 | ||
Series 2003-1A Class B2, 5.4802% 12/28/38 (h) | 100,000 | 65,000 | ||
Trapeza CDO XII Ltd./, Inc. Series 2007-12A Class B, 1.1375% 4/6/42 (h)(o) | 2,573,000 | 128,650 | ||
Triad Auto Receivables Owner Trust: | ||||
Series 2006-C Class A4, 5.31% 5/13/13 | 875,000 | 865,198 | ||
Series 2007-A Class A3, 5.28% 2/13/12 | 1,761,756 | 1,775,641 | ||
Turquoise Card Backed Securities PLC: | ||||
Series 2006-2: | ||||
Class B, 0.4228% 10/17/11 (o) | 4,204,000 | 4,046,231 | ||
Class C, 0.6228% 10/17/11 (o) | 4,872,801 | 4,567,445 | ||
Series 2007-1 Class C, 0.6428% 6/15/12 (o) | 3,669,172 | 2,751,879 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (d) | Value | ||
Wachovia Auto Loan Owner Trust: | ||||
Series 2006-1 Class A4, 5.08% 4/20/12 (h) | $ 978,848 | $ 999,908 | ||
Series 2006-2A: | ||||
Class B, 5.29% 6/20/12 (h) | 409,000 | 420,921 | ||
Class D, 5.54% 12/20/12 (h) | 583,000 | 526,963 | ||
Class E, 7.05% 5/20/14 (h) | 1,390,000 | 1,131,431 | ||
Wachovia Ltd./Wachovia LLC: | ||||
Series 2006-1 Class 1ML, 6.7222% 9/25/26 (h)(o) | 400,000 | 24,000 | ||
Series 2006-1A: | ||||
Class F, 1.7575% 9/25/26 (h)(o) | 250,000 | 12,500 | ||
Class G, 1.9575% 9/25/26 (h)(o) | 250,000 | 10,000 | ||
WaMu Asset Holdings Corp. Series 2006-8 Class N1, 6.048% 10/25/46 (h) | 887,552 | 89 | ||
WaMu Asset-Backed Certificates Series 2006-HE3 | 602,848 | 10,179 | ||
WaMu Master Note Trust: | ||||
Series 2006-C2A Class C2, 0.7728% 8/15/15 (h)(o) | 8,530,177 | 7,512,860 | ||
Series 2007-A2 Class A2, 0.3028% 5/15/14 (h)(o) | 12,710,000 | 12,621,188 | ||
Series 2007-A4A Class A4, 5.2% 10/15/14 (h) | 10,589,000 | 10,977,059 | ||
Series 2007-A5A Class A5, 1.0228% 10/15/14 (h)(o) | 1,500,000 | 1,492,495 | ||
Series 2007-C1 Class C1, 0.6728% 5/15/14 (h)(o) | 8,690,021 | 8,468,797 | ||
Wells Fargo Home Equity Trust: | ||||
Series 2004-3 Class A, 4.5% 11/27/34 (a)(h) | 7,576 | 0 | ||
Series 2006-2 Class A2, 0.3656% 7/25/36 (o) | 655,680 | 631,276 | ||
Whinstone Capital Management Ltd. Series 1A Class B3, 1.4038% 10/25/44 (h)(o) | 1,789,540 | 214,745 | ||
Wrightwood Capital Real Estate CDO Ltd. | 305,000 | 27,450 | ||
TOTAL ASSET-BACKED SECURITIES (Cost $232,711,915) | 240,669,499 | |||
Collateralized Mortgage Obligations - 2.3% | ||||
| ||||
Private Sponsor - 1.8% | ||||
ABN AMRO Mortgage Corp.: | ||||
Series 2003-2 Class B4, 5.3302% 3/25/18 (o) | 151,082 | 42,303 | ||
Series 2003-9 Class B5, 4.5164% 8/25/18 (h) | 265,658 | 39,849 | ||
Arkle Master Issuer PLC floater Series 2006-2A: | ||||
Class 2B, 0.56% 2/17/52 (h)(o) | 2,908,000 | 2,839,168 | ||
Class 2M, 0.64% 2/17/52 (h)(o) | 1,978,000 | 1,905,289 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (d) | Value | ||
Private Sponsor - continued | ||||
Arran Residential Mortgages Funding No. 1 PLC floater Series 2006-1A Class DB, 0.94% 4/12/56 (h)(o) | $ 1,428,375 | $ 928,444 | ||
Banc of America Commercial Mortgage Trust | ||||
Class B, 5.6986% 4/10/49 (o) | 106,000 | 22,313 | ||
Class C, 5.6986% 4/10/49 (o) | 281,000 | 50,664 | ||
Class D, 5.6986% 4/10/49 (o) | 141,000 | 22,588 | ||
Banc of America Large Loan, Inc. Series 2005-MIB1 Class A2, 0.4828% 3/15/22 (h)(o) | 1,025,000 | 787,444 | ||
Banc of America Mortgage Securities, Inc.: | ||||
Series 2003-K Class 1A1, 5.2037% 12/25/33 (o) | 96,761 | 74,394 | ||
Series 2003-L Class 2A1, 5.2191% 1/25/34 (o) | 2,459,269 | 2,102,581 | ||
Series 2004-1 Class 2A2, 4.6617% 10/25/34 (o) | 2,718,546 | 2,289,981 | ||
Series 2004-7 Class 15B4, 5.3054% 8/25/19 (h)(o) | 70,456 | 4,541 | ||
Series 2004-A Class 2A2, 5.4508% 2/25/34 (o) | 1,668,653 | 1,430,560 | ||
Series 2004-B: | ||||
Class 1A1, 4.6868% 3/25/34 (o) | 182,414 | 140,691 | ||
Class 2A2, 4.5749% 3/25/34 (o) | 1,559,468 | 1,325,412 | ||
Series 2004-C Class 1A1, 4.097% 4/25/34 (o) | 211,016 | 174,231 | ||
Series 2004-D: | ||||
Class 1A1, 3.8783% 5/25/34 (o) | 298,165 | 229,668 | ||
Class 2A2, 3.8898% 5/25/34 (o) | 2,564,154 | 2,166,818 | ||
Series 2004-G Class 2A7, 4.2585% 8/25/34 (o) | 2,185,181 | 1,862,141 | ||
Series 2004-H Class 2A1, 4.469% 9/25/34 (o) | 2,064,867 | 1,701,549 | ||
Series 2005-H: | ||||
Class 1A1, 4.6982% 9/25/35 (o) | 190,979 | 149,447 | ||
Class 2A2, 4.805% 9/25/35 (o) | 6,001,901 | 2,708,048 | ||
Bayview Commercial Asset Trust Series 2006-3A | 13,400,308 | 958,122 | ||
Bear Stearns ALT-A Trust floater Series 2005-1 Class A1, 0.5456% 1/25/35 (o) | 2,760,392 | 2,141,652 | ||
Bear Stearns Commercial Mortgage Securities Trust Series 2006-T24 Class X2, 0.4243% 10/12/41 (h)(o)(q) | 4,853,715 | 64,526 | ||
Chase Mortgage Finance Trust: | ||||
Series 2007-A1 Class 1A5, 4.6804% 2/25/37 (o) | 2,088,264 | 1,813,178 | ||
Series 2007-A2 Class 2A1, 5.0375% 7/25/37 (o) | 462,994 | 418,078 | ||
Citigroup Commercial Mortgage Trust Series 2008-C7 Class A2B, 6.2986% 12/10/49 (o) | 1,902,000 | 1,877,197 | ||
Citigroup Mortgage Loan Trust Series 2004-UST1: | ||||
Class A3, 4.189% 8/25/34 (o) | 2,034,948 | 1,803,218 | ||
Class A4, 3.4368% 8/25/34 (o) | 1,734,230 | 1,529,872 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (d) | Value | ||
Private Sponsor - continued | ||||
Cobalt CMBS Commercial Mortgage Trust | $ 2,125,000 | $ 297,500 | ||
COMM pass-thru certificates floater Series 2001-J2A Class A2F, 0.7728% 7/16/34 (h)(o) | 1,902,000 | 1,604,941 | ||
Countrywide Alternative Loan Trust: | ||||
planned amortization class Series 2003-5T2 Class A2, 0.6656% 5/25/33 (o) | 48,031 | 47,520 | ||
Series 2006-OC5N Class N, 7.25% 7/25/37 (h) | 78,237 | 8 | ||
Countrywide Home Loans, Inc.: | ||||
Series 2003-28 Class B3, 5.5% 8/25/33 | 82,015 | 12,302 | ||
Series 2003-35 Class B, 4.6391% 9/25/18 (o) | 142,169 | 17,060 | ||
Series 2005-HYB3 Class 2A6B, 4.3939% 6/20/35 (o) | 639,000 | 258,051 | ||
Credit Suisse First Boston Adjustable Rate Mortgage Trust floater Series 2005-2 Class 6M2, 0.7456% 6/25/35 (o) | 1,475,123 | 103,255 | ||
Credit Suisse First Boston Mortgage Securities Corp.: | ||||
floater: | ||||
Series 2004-AR7 Class 6A2, 1.0256% 8/25/34 (o) | 33,770 | 18,476 | ||
Series 2004-AR8 Class 8A2, 1.0256% 9/25/34 (o) | 23,282 | 15,533 | ||
Series 2007-AR7 Class 2A1, 3.934% 11/25/34 (o) | 1,714,579 | 1,430,329 | ||
Series 2003-17 Class B4, 5.389% 6/25/33 (h)(o) | 369,443 | 36,944 | ||
Series 2004-3 Class DB4, 5.8407% 4/25/34 (o) | 114,815 | 2,296 | ||
CWALT, Inc.: | ||||
floater Series 2005-56: | ||||
Class 1A1, 0.9956% 11/25/35 (o) | 37,135,532 | 18,609,180 | ||
Class 2A3, 2.71% 11/25/35 (o) | 9,124,071 | 4,416,739 | ||
Series 2005-56: | ||||
Class 4A1, 0.5756% 11/25/35 (o) | 7,498,418 | 3,682,908 | ||
Class 5A1, 0.5856% 11/25/35 (o) | 10,516,286 | 5,227,626 | ||
Deutsche Alt-A Securities Mortgage Loan Trust floater Series 2007-BAR1 Class A3, 0.4256% 3/25/37 (o) | 3,434,976 | 1,232,670 | ||
DSLA Mortgage Loan Trust Series 2006-AR2 | 416,958 | 382,543 | ||
First Horizon Mortgage pass-thru Trust: | ||||
floater Series 2004-FL1 Class 2A1, 1.4488% 12/25/34 (o) | 52,953 | 25,997 | ||
Series 2004-AR5 Class 2A1, 5.0255% 10/25/34 (o) | 2,404,638 | 1,842,143 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (d) | Value | ||
Private Sponsor - continued | ||||
Fosse Master Issuer PLC: | ||||
floater Series 2006-1A: | ||||
Class B2, 0.67% 10/18/54 (h)(o) | $ 3,491,000 | $ 2,776,741 | ||
Class C2, 0.98% 10/18/54 (h)(o) | 1,170,000 | 760,500 | ||
Class M2, 0.76% 10/18/54 (h)(o) | 2,005,000 | 1,374,227 | ||
Series 2007-1A Class C2, 1.06% 10/18/54 (h)(o) | 321,000 | 276,307 | ||
GMAC Commercial Mortgage Securities, Inc. | 284,999 | 11,400 | ||
GMAC Mortgage Loan Trust Series 2003-J10 Class B2, 4.75% 1/25/19 (h) | 135,357 | 20,304 | ||
Gracechurch Mortgage Financing PLC floater | 2,852,000 | 1,996,400 | ||
Gracechurch Mortgage Funding PLC floater Series 1A Class DB, 0.98% 10/11/41 (h)(o) | 3,114,000 | 2,491,200 | ||
Granite Master Issuer PLC floater: | ||||
Series 2005-4 Class C2, 0.8225% 12/20/54 (o) | 205,017 | 30,753 | ||
Series 2006-1A Class C2, 0.8725% 12/20/54 (h)(o) | 6,523,000 | 978,450 | ||
Series 2006-2 Class C1, 0.7425% 12/20/54 (o) | 5,398,000 | 647,760 | ||
Series 2006-3 Class C2, 0.7725% 12/20/54 (o) | 1,124,000 | 134,880 | ||
Series 2006-4: | ||||
Class B1, 0.3625% 12/20/54 (o) | 4,521,000 | 1,582,350 | ||
Class C1, 0.6525% 12/20/54 (o) | 2,767,000 | 415,050 | ||
Class M1, 0.4425% 12/20/54 (o) | 1,190,000 | 214,200 | ||
Series 2007-1: | ||||
Class 1C1, 0.5725% 12/20/54 (o) | 2,234,000 | 268,080 | ||
Class 1M1, 0.4225% 12/20/54 (o) | 1,493,000 | 268,740 | ||
Class 2C1, 0.7025% 12/20/54 (o) | 1,015,000 | 121,800 | ||
Class 2M1, 0.5225% 12/20/54 (o) | 1,917,000 | 345,060 | ||
Series 2007-2 Class 2C1, 0.7028% 12/17/54 (o) | 2,654,000 | 398,100 | ||
Granite Mortgages PLC floater Series 2003-3 Class 1C, 2.96% 1/20/44 (o) | 430,241 | 54,256 | ||
GSR Mortgage Loan Trust: | ||||
Series 2004-11 Class 1A1, 4.3491% 9/25/34 (o) | 364,675 | 261,569 | ||
Series 2007-AR2 Class 2A1, 4.8216% 4/25/35 (o) | 911,900 | 614,425 | ||
Harborview Mortgage Loan Trust floater Series 2005-2 Class 2A1A, 0.5088% 5/19/35 (o) | 414,160 | 219,004 | ||
Holmes Master Issuer PLC floater Series 2006-1A | 919,000 | 856,876 | ||
Impac CMB Trust floater: | ||||
Series 2004-11 Class 2A2, 1.0056% 3/25/35 (o) | 233,053 | 76,762 | ||
Series 2005-1 Class M4, 1.0156% 4/25/35 (o) | 25,075 | 2,431 | ||
Series 2005-3 Class A1, 0.5056% 8/25/35 (o) | 582,542 | 271,205 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (d) | Value | ||
Private Sponsor - continued | ||||
JPMorgan Chase Commercial Mortgage Securities Trust Series 2007-CB18: | ||||
Class A1, 5.32% 6/12/47 (o) | $ 245,186 | $ 252,658 | ||
Class A3, 5.447% 6/12/47 (o) | 3,606,000 | 3,191,076 | ||
JPMorgan Mortgage Trust: | ||||
sequential payer Series 2006-A5 Class 3A5, 5.9501% 8/25/36 (o) | 2,600,000 | 1,934,562 | ||
Series 2004-A1 Class 2A1, 4.4607% 2/25/34 (o) | 1,377,040 | 1,229,030 | ||
Series 2004-A3 Class 4A1, 4.2916% 7/25/34 (o) | 3,416,420 | 3,005,617 | ||
Series 2004-A5 Class 2A1, 4.3385% 12/25/34 (o) | 2,495,913 | 2,170,233 | ||
Series 2006-A2 Class 5A1, 5.0559% 11/25/33 (o) | 4,232,458 | 3,718,055 | ||
LB Commercial Conduit Mortgage Trust Series 1998-C4 Class F, 6% 10/15/35 (h) | 65,058 | 64,850 | ||
LB-UBS Commercial Mortgage Trust sequential payer Series 2006-C6 Class A4, 5.372% 12/31/49 | 857,000 | 744,505 | ||
Lehman Structured Securities Corp. floater Series 2005-1 Class A2, 0.6544% 9/26/45 (h)(o) | 435,898 | 203,407 | ||
Luminent Mortgage Trust: | ||||
floater Series 2006-1 Class A1, 0.5056% 4/25/36 (o) | 19,897,965 | 9,093,587 | ||
Series 2006-5 Class A1A, 0.4556% 7/25/36 (o) | 15,949,841 | 7,223,635 | ||
MASTR Adjustable Rate Mortgages Trust: | ||||
floater Series 2005-1 Class 1A1, 0.5356% 2/25/35 (o) | 54,918 | 30,840 | ||
Series 2007-3 Class 22A2, 0.4756% 5/25/47 (o) | 4,656,446 | 1,600,129 | ||
MASTR Alternative Loan Trust Series 2004-3 Class 3A1, 6% 4/25/34 | 641,980 | 474,139 | ||
MASTR Asset Backed Securities Trust Series 2006-NC3 Class M1, 0.4956% 10/25/36 (o) | 547,000 | 8,600 | ||
Merrill Lynch Alternative Note Asset Trust floater | 9,254,596 | 4,087,770 | ||
Merrill Lynch Floating Trust floater Series 2006-1: | ||||
Class B, 0.4428% 6/15/22 (h)(o) | 251,984 | 141,850 | ||
Class C, 0.4628% 6/15/22 (h)(o) | 1,559,607 | 655,035 | ||
Class D, 0.4728% 6/15/22 (h)(o) | 600,006 | 168,002 | ||
Class E, 0.4828% 6/15/22 (h)(o) | 959,771 | 211,150 | ||
Class F, 0.5128% 6/15/22 (h)(o) | 1,545,171 | 309,034 | ||
Class G, 0.5828% 6/15/22 (h)(o) | 359,765 | 57,562 | ||
Class H, 0.6028% 6/15/22 (h)(o) | 720,211 | 100,830 | ||
Class J, 0.6428% 6/15/22 (h)(o) | 840,246 | 100,830 | ||
Class TM, 0.7728% 6/15/22 (h)(o) | 749,721 | 524,805 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (d) | Value | ||
Private Sponsor - continued | ||||
Merrill Lynch Mortgage Investors Trust: | ||||
floater: | ||||
Series 2005-B Class A2, 1.4% 7/25/30 (o) | $ 752,020 | $ 540,689 | ||
Series 2006-MLN1 Class M4, 0.6256% 7/25/37 (o) | 1,043,420 | 4,234 | ||
Series 2004-A4 Class A1, 3.3459% 8/25/34 (o) | 2,774,480 | 2,487,736 | ||
Series 2005-A2 Class A7, 4.4821% 2/25/35 (o) | 2,934,000 | 2,236,483 | ||
Series 2006-A6 Class A4, 5.364% 10/25/33 (o) | 2,075,451 | 1,784,872 | ||
Merrill Lynch Mortgage Trust Series 2002-MW1 Class E, 6.219% 7/12/34 (h) | 90,000 | 74,018 | ||
Merrill Lynch-CFC Commercial Mortgage Trust | 8,143,000 | 7,848,077 | ||
Opteum Mortgage Acceptance Corp. floater | 2,942,913 | 1,973,285 | ||
Option One Mortgage Loan Trust floater | 2,994,072 | 132,578 | ||
Permanent Financing No. 8 PLC floater Class 3C, 1.17% 6/10/42 (o) | 2,253,000 | 1,775,223 | ||
Permanent Master Issuer PLC floater Series 2006-1 | 522,174 | 391,631 | ||
Provident Funding Mortgage Loan Trust Series 2005-2 Class 3A, 4.2156% 10/25/35 (o) | 3,911,229 | 3,061,429 | ||
RESI Finance LP/RESI Finance DE Corp. floater: | ||||
Series 2003-B: | ||||
Class B5, 2.6256% 7/10/35 (h)(o) | 2,522,055 | 1,286,089 | ||
Class B6, 3.1256% 7/10/35 (h)(o) | 562,326 | 261,369 | ||
Series 2004-A: | ||||
Class B4, 1.4756% 2/10/36 (h)(o) | 759,342 | 304,952 | ||
Class B5, 1.9756% 2/10/36 (h)(o) | 506,179 | 190,121 | ||
Series 2004-B: | ||||
Class B4, 1.3756% 2/10/36 (h)(o) | 600,359 | 192,655 | ||
Class B5, 1.8256% 2/10/36 (h)(o) | 438,056 | 126,817 | ||
Class B6, 2.2756% 2/10/36 (h)(o) | 155,201 | 38,319 | ||
Series 2004-C: | ||||
Class B4, 1.2256% 9/10/36 (h)(o) | 795,078 | 261,740 | ||
Class B5, 1.6256% 9/10/36 (h)(o) | 883,838 | 255,164 | ||
Class B6, 2.0256% 9/10/36 (h)(o) | 162,504 | 37,132 | ||
Residential Accredit Loans, Inc. floater Series 2005-QO5 Class A1, 2.21% 1/25/46 (o) | 17,168,158 | 8,938,176 | ||
Residential Asset Mortgage Products, Inc.: | ||||
sequential payer: | ||||
Series 2003-SL1 Class A31, 7.125% 4/25/31 | 1,364,758 | 1,207,460 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (d) | Value | ||
Private Sponsor - continued | ||||
Residential Asset Mortgage Products, Inc.: - continued | ||||
sequential payer: | ||||
Series 2004-SL3 Class A1, 7% 8/25/16 | $ 132,998 | $ 117,719 | ||
Series 2005-AR5 Class 1A1, 4.3273% 9/19/35 (o) | 242,095 | 152,926 | ||
Residential Funding Securities Corp. floater | 484,455 | 343,161 | ||
RESIX Finance Ltd. floater Series 2007-A Class BB, 3.6228% 2/15/39 (h)(o) | 491,263 | 9,531 | ||
ResMAE Mortgage Loan Trust floater Series 2006-1 Class A2A, 0.3656% 2/25/36 (h)(o) | 4,483 | 4,483 | ||
Salomon Brothers Mortgage Securities VII, Inc. | 268,000 | 216,530 | ||
Sequoia Mortgage Trust floater: | ||||
Series 2004-6 Class A3B, 1.6013% 7/20/34 (o) | 46,315 | 31,216 | ||
Series 2004-7 Class A3B, 1.535% 7/20/34 (o) | 29,826 | 17,352 | ||
Soundview Home Equity Loan Trust floater | 329,919 | 5,296 | ||
Structured Asset Mortgage Investments, Inc. floater | 31,752,186 | 14,422,707 | ||
Structured Asset Securities Corp.: | ||||
floater Series 2004-NP1 Class A, 0.6656% 9/25/33 (h)(o) | 82,957 | 39,687 | ||
Series 2003-15A Class 4A, 5.4571% 4/25/33 (o) | 942,819 | 785,026 | ||
Series 2003-20 Class 1A1, 5.5% 7/25/33 | 834,861 | 716,783 | ||
TBW Mortgage-Backed pass-thru certificates floater Series 2006-4 Class A3, 0.4656% 9/25/36 (o) | 3,273,627 | 1,555,068 | ||
WaMu Mortgage pass-thru certificates: | ||||
floater Series 2006-AR11 Class C1B1, 0.3456% 9/25/46 (o) | 61,274 | 59,843 | ||
Series 2003-AR8 Class A, 4.1135% 8/25/33 (o) | 1,413,353 | 1,266,522 | ||
Series 2005-AR3 Class A2, 4.6405% 3/25/35 (o) | 3,837,638 | 3,050,175 | ||
Wells Fargo Mortgage Backed Securities Trust: | ||||
Series 2003-12 Class B6, 4.75% 11/25/18 (h) | 261,788 | 26,179 | ||
Series 2004-EE Class 2A2, 3.5361% 12/25/34 (o) | 1,324,779 | 1,130,135 | ||
Series 2004-H Class A1, 4.5272% 6/25/34 (o) | 3,033,132 | 2,688,439 | ||
Series 2004-T Class A1, 3.954% 9/25/34 (o) | 750,592 | 641,208 | ||
Series 2004-W Class A9, 4.5277% 11/25/34 (o) | 3,483,000 | 2,497,399 | ||
Series 2005-AR10 Class 2A2, 3.8109% 6/25/35 (o) | 3,084,587 | 2,812,606 | ||
Series 2005-AR12: | ||||
Class 2A5, 4.046% 7/25/35 (o) | 9,260,000 | 7,435,051 | ||
Class 2A6, 4.046% 7/25/35 (o) | 1,347,136 | 1,166,742 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (d) | Value | ||
Private Sponsor - continued | ||||
Wells Fargo Mortgage Backed Securities Trust: - continued | ||||
Series 2005-AR2: | ||||
Class 1A2, 4.6417% 3/25/35 (o) | $ 4,497,038 | $ 2,684,126 | ||
Class 2A2, 4.57% 3/25/35 | 3,803,089 | 3,294,572 | ||
Series 2005-AR3 Class 2A1, 3.768% 3/25/35 (o) | 2,299,990 | 1,918,695 | ||
TOTAL PRIVATE SPONSOR | 216,138,035 | |||
U.S. Government Agency - 0.5% | ||||
Fannie Mae subordinate REMIC pass-thru certificates: | ||||
planned amortization class Series 2002-9 Class PC, 6% 3/25/17 | 520,386 | 556,951 | ||
sequential payer Series 2002-77 Class CB, 5% 12/25/17 | 48,250,000 | 51,036,932 | ||
Freddie Mac Multi-class participation certificates guaranteed sequential payer Series 2528 Class HN, 5% 11/15/17 | 5,515,000 | 5,801,853 | ||
TOTAL U.S. GOVERNMENT AGENCY | 57,395,736 | |||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $267,698,729) | 273,533,771 | |||
Commercial Mortgage Securities - 6.1% | ||||
| ||||
Asset Securitization Corp.: | ||||
Series 1996-D2 Class B1A, 9.0776% 2/14/29 (h)(o) | 750,000 | 637,500 | ||
Series 1997-D4: | ||||
Class B1, 7.525% 4/14/29 | 210,000 | 216,458 | ||
Class B2, 7.525% 4/14/29 | 1,494,104 | 1,389,517 | ||
Class B5, 7.525% 4/14/29 | 129,000 | 21,644 | ||
Series 1997-D5: | ||||
Class A-6, 7.2794% 2/14/43 (o) | 2,225,000 | 2,012,067 | ||
Class A2, 6.9094% 2/14/43 (o) | 1,399,000 | 1,519,717 | ||
Class A3, 6.9594% 2/14/43 (o) | 1,510,000 | 1,635,101 | ||
Class A5, 7.0294% 2/14/43 (o) | 239,000 | 230,879 | ||
Class A7, 7.5194% 2/14/43 (o) | 795,000 | 676,352 | ||
Class PS1, 1.556% 2/14/43 (o)(q) | 7,268,874 | 255,750 | ||
Banc of America Commercial Mortgage Trust: | ||||
sequential payer: | ||||
Series 2006-2 Class AAB, 5.7211% 5/10/45 (o) | 2,221,000 | 2,190,007 | ||
Series 2006-4 Class A1, 5.363% 7/10/46 (o) | 1,005,907 | 1,022,458 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (d) | Value | ||
Banc of America Commercial Mortgage Trust: - continued | ||||
sequential payer: | ||||
Series 2006-5: | ||||
Class A1, 5.185% 9/10/47 | $ 1,335,323 | $ 1,357,912 | ||
Class A2, 5.317% 9/10/47 | 7,342,000 | 7,349,053 | ||
Class A3, 5.39% 9/10/47 | 2,653,000 | 2,544,840 | ||
Series 2006-6 Class A3, 5.369% 12/10/16 | 3,804,000 | 3,233,598 | ||
Series 2007-2 Class A1, 5.421% 4/10/49 | 679,114 | 691,190 | ||
Series 2007-4 Class A3, 5.8115% 2/10/51 (o) | 1,897,000 | 1,765,851 | ||
Series 2006-6 Class E, 5.619% 10/10/45 (h) | 1,098,000 | 141,752 | ||
Series 2007-3: | ||||
Class A3, 5.6581% 6/10/49 (o) | 3,176,000 | 2,677,733 | ||
Class A4, 5.6581% 6/10/49 (o) | 3,965,000 | 3,037,403 | ||
Series 2008-1 Class D, 6.2089% 2/10/51 (h)(o) | 125,000 | 17,813 | ||
Banc of America Commercial Mortgage, Inc.: | ||||
sequential payer: | ||||
Series 2000-2 Class A2, 7.197% 9/15/32 | 465,357 | 472,501 | ||
Series 2001-1 Class A4, 5.451% 1/15/49 | 4,166,000 | 3,577,859 | ||
Series 2002-2 Class F, 5.487% 7/11/43 | 415,000 | 356,152 | ||
Series 2004-2: | ||||
Class A2, 3.52% 11/10/38 | 19,263 | 19,248 | ||
Class A3, 4.05% 11/10/38 | 2,573,000 | 2,573,028 | ||
Class A4, 4.153% 11/10/38 | 2,412,000 | 2,350,334 | ||
Series 2004-4 Class A3, 4.128% 7/10/42 | 798,236 | 801,284 | ||
Series 2005-1 Class A3, 4.877% 11/10/42 | 7,211,322 | 7,203,440 | ||
Series 2006-1 Class A1, 5.219% 9/10/45 (o) | 2,516,715 | 2,549,606 | ||
Series 2007-1 Class A2, 5.381% 1/15/49 | 4,040,000 | 4,015,552 | ||
Series 2001-3 Class H, 6.562% 4/11/37 (h) | 1,062,000 | 1,013,348 | ||
Series 2001-PB1: | ||||
Class J, 7.166% 5/11/35 (h) | 474,000 | 312,461 | ||
Class K, 6.15% 5/11/35 (h) | 885,000 | 680,213 | ||
Series 2002-2 Class XP, 2.0377% 7/11/43 (h)(o)(q) | 1,521,141 | 9,079 | ||
Series 2003-2 Class XP, 0.4553% 3/11/41 (h)(o)(q) | 21,044,399 | 69,375 | ||
Series 2004-1 Class F, 5.279% 11/10/39 (h) | 185,000 | 69,523 | ||
Series 2004-5 Class G, 5.2246% 11/10/41 (h)(o) | 135,000 | 34,896 | ||
Series 2005-3 Series A3B, 5.09% 7/10/43 (o) | 5,908,000 | 5,658,774 | ||
Series 2005-6 Class A3, 5.1791% 9/10/47 (o) | 3,423,000 | 3,304,168 | ||
Series 2007-1 Class B, 5.543% 1/15/49 | 1,146,000 | 244,729 | ||
Banc of America Large Loan, Inc. floater: | ||||
Series 2005-MIB1: | ||||
Class B, 0.5328% 3/15/22 (h)(o) | 390,000 | 241,800 | ||
Class C, 0.5828% 3/15/22 (h)(o) | 817,000 | 473,860 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (d) | Value | ||
Banc of America Large Loan, Inc. floater: - continued | ||||
Series 2005-MIB1: - continued | ||||
Class D, 0.6328% 3/15/22 (h)(o) | $ 826,000 | $ 454,300 | ||
Class E, 0.6728% 3/15/22 (h)(o) | 684,000 | 355,680 | ||
Class F, 0.7428% 3/15/22 (h)(o) | 615,784 | 307,892 | ||
Class G, 0.8028% 3/15/22 (h)(o) | 399,119 | 179,604 | ||
Series 2006-BIX1: | ||||
Class C, 0.4528% 10/15/19 (h)(o) | 1,222,000 | 818,740 | ||
Class D, 0.4828% 10/15/19 (h)(o) | 1,494,000 | 896,400 | ||
Class E, 0.5128% 10/15/19 (h)(o) | 1,385,000 | 761,750 | ||
Class F, 0.5828% 10/15/19 (h)(o) | 3,150,730 | 1,575,365 | ||
Class G, 0.6028% 10/15/19 (h)(o) | 1,245,579 | 560,511 | ||
Bayview Commercial Asset Trust: | ||||
floater: | ||||
Series 2003-2 Class M1, 1.1156% 12/25/33 (h)(o) | 96,922 | 48,461 | ||
Series 2004-1: | ||||
Class A, 0.6256% 4/25/34 (h)(o) | 1,662,128 | 1,180,111 | ||
Class B, 2.1656% 4/25/34 (h)(o) | 186,348 | 74,539 | ||
Class M1, 0.8256% 4/25/34 (h)(o) | 149,617 | 88,274 | ||
Class M2, 1.4656% 4/25/34 (h)(o) | 138,226 | 69,113 | ||
Series 2004-2: | ||||
Class A, 0.6956% 8/25/34 (h)(o) | 1,290,997 | 903,698 | ||
Class M1, 0.8456% 8/25/34 (h)(o) | 217,311 | 108,655 | ||
Series 2004-3: | ||||
Class A1, 0.6356% 1/25/35 (h)(o) | 2,795,225 | 1,816,897 | ||
Class A2, 0.6856% 1/25/35 (h)(o) | 401,112 | 248,689 | ||
Class M1, 0.7656% 1/25/35 (h)(o) | 482,521 | 246,086 | ||
Class M2, 1.2656% 1/25/35 (h)(o) | 223,590 | 98,379 | ||
Series 2005-2A: | ||||
Class A1, 0.5756% 8/25/35 (h)(o) | 2,167,419 | 1,415,325 | ||
Class M1, 0.6956% 8/25/35 (h)(o) | 107,940 | 43,867 | ||
Class M2, 0.7456% 8/25/35 (h)(o) | 178,029 | 66,476 | ||
Class M3, 0.7656% 8/25/35 (h)(o) | 98,498 | 33,972 | ||
Class M4, 0.8756% 8/25/35 (h)(o) | 90,418 | 29,323 | ||
Series 2005-3A: | ||||
Class A1, 0.5856% 11/25/35 (h)(o) | 802,116 | 540,947 | ||
Class A2, 0.6656% 11/25/35 (h)(o) | 794,894 | 476,936 | ||
Class M1, 0.7056% 11/25/35 (h)(o) | 94,870 | 39,229 | ||
Class M2, 0.7556% 11/25/35 (h)(o) | 120,448 | 46,866 | ||
Class M3, 0.7756% 11/25/35 (h)(o) | 107,798 | 39,260 | ||
Class M4, 0.8656% 11/25/35 (h)(o) | 134,306 | 46,819 | ||
Series 2005-4A: | ||||
Class A2, 0.6556% 1/25/36 (h)(o) | 1,872,885 | 1,123,731 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (d) | Value | ||
Bayview Commercial Asset Trust: - continued | ||||
floater: | ||||
Series 2005-4A: - continued | ||||
Class B1, 1.6656% 1/25/36 (h)(o) | $ 161,849 | $ 43,699 | ||
Class M1, 0.7156% 1/25/36 (h)(o) | 604,156 | 283,953 | ||
Class M2, 0.7356% 1/25/36 (h)(o) | 181,247 | 79,749 | ||
Class M3, 0.7656% 1/25/36 (h)(o) | 264,697 | 108,526 | ||
Class M4, 0.8756% 1/25/36 (h)(o) | 146,392 | 54,165 | ||
Class M5, 0.9156% 1/25/36 (h)(o) | 146,392 | 48,309 | ||
Class M6, 0.9656% 1/25/36 (h)(o) | 155,484 | 45,091 | ||
Series 2006-1: | ||||
Class A2, 0.6256% 4/25/36 (h)(o) | 282,456 | 161,932 | ||
Class M1, 0.6456% 4/25/36 (h)(o) | 101,023 | 40,874 | ||
Class M2, 0.6656% 4/25/36 (h)(o) | 106,737 | 40,624 | ||
Class M3, 0.6856% 4/25/36 (h)(o) | 91,839 | 33,282 | ||
Class M4, 0.7856% 4/25/36 (h)(o) | 52,042 | 18,043 | ||
Class M5, 0.8256% 4/25/36 (h)(o) | 50,511 | 16,628 | ||
Class M6, 0.9056% 4/25/36 (h)(o) | 100,716 | 31,121 | ||
Series 2006-2A: | ||||
Class A1, 0.4956% 7/25/36 (h)(o) | 5,170,709 | 3,471,614 | ||
Class A2, 0.5456% 7/25/36 (h)(o) | 255,813 | 148,653 | ||
Class B1, 1.1356% 7/25/36 (h)(o) | 95,780 | 27,690 | ||
Class B3, 2.9656% 7/25/36 (h)(o) | 144,709 | 36,322 | ||
Class M1, 0.5756% 7/25/36 (h)(o) | 268,401 | 108,864 | ||
Class M2, 0.5956% 7/25/36 (h)(o) | 189,370 | 72,207 | ||
Class M3, 0.6156% 7/25/36 (h)(o) | 157,078 | 56,878 | ||
Class M4, 0.6856% 7/25/36 (h)(o) | 106,069 | 36,657 | ||
Class M5, 0.7356% 7/25/36 (h)(o) | 130,369 | 42,748 | ||
Class M6, 0.8056% 7/25/36 (h)(o) | 194,514 | 59,988 | ||
Series 2006-3A: | ||||
Class B1, 1.0656% 10/25/36 (h)(o) | 167,988 | 25,198 | ||
Class B2, 1.6156% 10/25/36 (h)(o) | 121,163 | 15,145 | ||
Class B3, 2.8656% 10/25/36 (h)(o) | 197,173 | 25,633 | ||
Class M4, 0.6956% 10/25/36 (h)(o) | 185,658 | 42,701 | ||
Class M5, 0.7456% 10/25/36 (h)(o) | 222,259 | 44,452 | ||
Class M6, 0.8256% 10/25/36 (h)(o) | 435,052 | 78,309 | ||
Series 2006-4A: | ||||
Class A1, 0.4956% 12/25/36 (h)(o) | 968,260 | 650,090 | ||
Class A2, 0.5356% 12/25/36 (h)(o) | 4,926,756 | 2,290,449 | ||
Class B1, 0.9656% 12/25/36 (h)(o) | 150,639 | 32,704 | ||
Class B2, 1.5156% 12/25/36 (h)(o) | 153,546 | 30,157 | ||
Class B3, 2.7156% 12/25/36 (h)(o) | 261,479 | 45,916 | ||
Class M1, 0.5556% 12/25/36 (h)(o) | 315,162 | 105,611 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (d) | Value | ||
Bayview Commercial Asset Trust: - continued | ||||
floater: | ||||
Series 2006-4A: - continued | ||||
Class M2, 0.5756% 12/25/36 (h)(o) | $ 210,108 | $ 65,617 | ||
Class M3, 0.6056% 12/25/36 (h)(o) | 213,047 | 62,785 | ||
Class M4, 0.6656% 12/25/36 (h)(o) | 254,921 | 70,919 | ||
Class M5, 0.7056% 12/25/36 (h)(o) | 234,351 | 61,213 | ||
Class M6, 0.7856% 12/25/36 (h)(o) | 210,108 | 50,783 | ||
Series 2007-1: | ||||
Class A2, 0.5356% 3/25/37 (h)(o) | 1,068,467 | 523,549 | ||
Class B1, 0.9356% 3/25/37 (h)(o) | 339,945 | 61,190 | ||
Class B2, 1.4156% 3/25/37 (h)(o) | 246,478 | 36,972 | ||
Class B3, 3.6156% 3/25/37 (h)(o) | 674,903 | 80,988 | ||
Class M1, 0.5356% 3/25/37 (h)(o) | 299,112 | 113,663 | ||
Class M2, 0.5556% 3/25/37 (h)(o) | 223,403 | 71,489 | ||
Class M3, 0.5856% 3/25/37 (h)(o) | 198,128 | 59,438 | ||
Class M4, 0.6356% 3/25/37 (h)(o) | 159,231 | 42,992 | ||
Class M5, 0.6856% 3/25/37 (h)(o) | 248,562 | 59,655 | ||
Class M6, 0.7656% 3/25/37 (h)(o) | 348,004 | 74,821 | ||
Series 2007-2A: | ||||
Class A1, 0.5356% 7/25/37 (h)(o) | 930,321 | 539,586 | ||
Class A2, 0.5856% 7/25/37 (h)(o) | 869,259 | 408,552 | ||
Class B1, 1.8656% 7/25/37 (h)(o) | 267,708 | 38,818 | ||
Class B2, 2.5156% 7/25/37 (h)(o) | 231,774 | 31,290 | ||
Class B3, 3.6156% 7/25/37 (h)(o) | 260,583 | 33,876 | ||
Class M1, 0.6356% 7/25/37 (h)(o) | 305,235 | 106,832 | ||
Class M2, 0.6756% 7/25/37 (h)(o) | 166,793 | 50,038 | ||
Class M3, 0.7556% 7/25/37 (h)(o) | 169,119 | 42,280 | ||
Class M4, 0.9156% 7/25/37 (h)(o) | 333,898 | 66,780 | ||
Class M5, 1.0156% 7/25/37 (h)(o) | 294,338 | 52,981 | ||
Class M6, 1.2656% 7/25/37 (h)(o) | 373,201 | 55,980 | ||
Series 2007-3: | ||||
Class A2, 0.5556% 7/25/37 (h)(o) | 998,714 | 492,566 | ||
Class B1, 1.2156% 7/25/37 (h)(o) | 242,744 | 48,063 | ||
Class B2, 1.8656% 7/25/37 (h)(o) | 607,457 | 103,450 | ||
Class B3, 4.2656% 7/25/37 (h)(o) | 322,706 | 47,535 | ||
Class M1, 0.5756% 7/25/37 (h)(o) | 216,912 | 81,494 | ||
Class M2, 0.6056% 7/25/37 (h)(o) | 232,489 | 81,023 | ||
Class M3, 0.6356% 7/25/37 (h)(o) | 366,346 | 120,015 | ||
Class M4, 0.7656% 7/25/37 (h)(o) | 575,218 | 167,561 | ||
Class M5, 0.8656% 7/25/37 (h)(o) | 298,365 | 73,189 | ||
Class M6, 1.0656% 7/25/37 (h)(o) | 227,512 | 52,714 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (d) | Value | ||
Bayview Commercial Asset Trust: - continued | ||||
floater: | ||||
Series 2007-4A: | ||||
Class B1, 2.8156% 9/25/37 (h)(o) | $ 344,457 | $ 44,779 | ||
Class B2, 3.7156% 9/25/37 (h)(o) | 1,253,246 | 150,390 | ||
Class M1, 1.2156% 9/25/37 (h)(o) | 331,221 | 82,805 | ||
Class M2, 1.3156% 9/25/37 (h)(o) | 331,221 | 69,556 | ||
Class M4, 1.8656% 9/25/37 (h)(o) | 847,151 | 144,016 | ||
Class M5, 2.0156% 9/25/37 (h)(o) | 847,151 | 127,073 | ||
Class M6, 2.2156% 9/25/37 (h)(o) | 848,796 | 114,587 | ||
Series 2004-1 Class IO, 1.25% 4/25/34 (h)(q) | 5,427,381 | 84,124 | ||
Series 2007-5A Class IO, 1.5496% 10/25/37 (h)(q) | 11,709,110 | 1,006,983 | ||
Bear Stearns Commercial Mortgage Securities Trust: | ||||
floater: | ||||
Series 2006-BBA7: | ||||
Class G, 0.7128% 3/15/19 (h)(o) | 805,386 | 386,585 | ||
Class H, 0.9228% 3/15/19 (h)(o) | 541,917 | 233,024 | ||
Class J, 1.1228% 3/15/19 (h)(o) | 407,118 | 154,705 | ||
Series 2007-BBA8: | ||||
Class D, 0.5228% 3/15/22 (h)(o) | 655,330 | 326,865 | ||
Class E, 0.5728% 3/15/22 (h)(o) | 3,414,157 | 1,581,741 | ||
Class F, 0.6228% 3/15/22 (h)(o) | 2,094,922 | 895,715 | ||
Class G, 0.6728% 3/15/22 (h)(o) | 537,549 | 210,080 | ||
Class H, 0.8228% 3/15/22 (h)(o) | 655,330 | 236,194 | ||
Class J, 0.9728% 3/15/22 (h)(o) | 655,330 | 183,659 | ||
sequential payer: | ||||
Series 2003-PWR2 Class A3, 4.834% 5/11/39 | 1,077,307 | 1,105,333 | ||
Series 2004-PWR3 Class A3, 4.487% 2/11/41 | 2,360,280 | 2,377,226 | ||
Series 2006-PW14 Class A4, 5.201% 12/11/38 | 2,458,000 | 2,190,846 | ||
Series 2006-T24 Class A1, 4.905% 10/12/41 (o) | 2,069,276 | 2,100,594 | ||
Series 2007-PW16 Class A4, 5.7167% 6/11/40 (o) | 1,112,000 | 954,602 | ||
Series 2007-PW17 Class A1, 5.282% 6/11/50 | 1,153,851 | 1,163,525 | ||
Series 2007-T26 Class A1, 5.145% 1/12/45 (o) | 653,324 | 658,356 | ||
Series 1999-C1: | ||||
Class G, 5.64% 2/14/31 (h) | 60,000 | 42,138 | ||
Class I, 5.64% 2/14/31 (h) | 170,000 | 34,000 | ||
Series 2003-PWR2 Class X2, 0.4648% 5/11/39 (h)(o)(q) | 17,823,235 | 145,078 | ||
Series 2006-PW13 Class A3, 5.518% 9/11/41 | 6,714,000 | 6,355,790 | ||
Series 2006-PW14 Class X2, 0.6482% 12/11/38 (h)(o)(q) | 27,676,813 | 568,839 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (d) | Value | ||
Bear Stearns Commercial Mortgage Securities Trust: - continued | ||||
Series 2006-T22: | ||||
Class A1, 5.415% 4/12/38 (o) | $ 320,583 | $ 324,773 | ||
Class A4, 5.4634% 4/12/38 (o) | 237,000 | 224,790 | ||
Series 2007-BBA8: | ||||
Class K, 1.4728% 3/15/22 (h)(o) | 105,000 | 39,277 | ||
Class L, 2.1728% 3/15/22 (h)(o) | 214,000 | 42,824 | ||
Series 2007-PW15 Class A1, 5.016% 2/11/44 | 575,172 | 578,281 | ||
Series 2007-PW16: | ||||
Class B, 5.713% 6/11/40 (h) | 304,000 | 88,226 | ||
Class C, 5.713% 6/11/40 (h) | 255,000 | 63,794 | ||
Class D, 5.713% 6/11/40 (h) | 255,000 | 61,241 | ||
Series 2007-PW18 Class X2, 0.3442% 6/11/50 (h)(o)(q) | 189,567,064 | 2,550,265 | ||
Series 2007-T28: | ||||
Class A1, 5.422% 9/11/42 | 333,790 | 339,448 | ||
Class X2, 0.1821% 9/11/42 (h)(o)(q) | 95,248,962 | 634,853 | ||
C-BASS Trust floater Series 2006-SC1 Class A, 0.5356% 5/25/36 (h)(o) | 1,037,593 | 536,820 | ||
CDC Commercial Mortgage Trust Series 2002-FX1: | ||||
Class G, 6.625% 5/15/35 (h) | 2,235,000 | 2,184,748 | ||
Class XCL, 2.3511% 5/15/35 (h)(o)(q) | 30,719,812 | 1,137,702 | ||
Chase Commercial Mortgage Securities Corp.: | ||||
Series 1998-1 Class H, 6.34% 5/18/30 (h) | 800,000 | 496,741 | ||
Series 1998-2 Class J, 6.39% 11/18/30 (h) | 490,739 | 78,420 | ||
Series 1999-2: | ||||
Class E, 7.734% 1/15/32 | 763,000 | 760,677 | ||
Class F, 7.734% 1/15/32 | 413,000 | 410,920 | ||
Series 2001-245 Class A2, 6.275% 2/12/16 (h)(o) | 1,932,000 | 2,014,925 | ||
Citigroup Commercial Mortgage Trust: | ||||
floater Series 2006-FL2: | ||||
Class F, 0.5828% 8/16/21 (h)(o) | 678,000 | 203,400 | ||
Class G, 0.6028% 11/15/36 (h)(o) | 542,222 | 151,822 | ||
Class H, 0.6428% 11/15/36 (h)(o) | 433,548 | 108,387 | ||
sequential payer Series 2006-C5 Class A4, 5.431% 10/15/49 | 9,955,000 | 8,966,889 | ||
Series 2006-C5 Class AMP2, 5.5005% 10/15/49 (h) | 3,233,000 | 1,131,550 | ||
Series 2006-FL2 Class CNP3, 1.4728% 8/16/21 (h)(o) | 5,089,327 | 1,526,798 | ||
Series 2007-C6: | ||||
Class A1, 5.622% 12/10/49 (o) | 11,857,201 | 12,139,543 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (d) | Value | ||
Citigroup Commercial Mortgage Trust: - continued | ||||
Series 2007-C6: - continued | ||||
Class A4, 5.6994% 12/10/49 (o) | $ 4,303,000 | $ 3,740,469 | ||
Series 2007-FL3A Class A2, 0.4128% 4/15/22 (h)(o) | 6,878,000 | 4,126,800 | ||
Citigroup/Deutsche Bank Commercial Mortgage Trust: | ||||
sequential payer: | ||||
Series 2006-CD2 Class A4, 5.3625% 1/15/46 (o) | 11,229,000 | 10,022,092 | ||
Series 2007-CD4: | ||||
Class A1, 4.977% 12/11/49 | 516,532 | 522,494 | ||
Class A2A, 5.237% 12/11/49 | 11,693,000 | 11,619,039 | ||
Class A3, 5.293% 12/11/49 | 1,852,000 | 1,718,520 | ||
Class C, 5.476% 12/11/49 | 3,581,000 | 268,575 | ||
Claregold Trust Series 2007-2A: | ||||
Class F, 5.01% 5/15/44 (o) | CAD | 138,000 | 46,273 | |
Class G, 5.01% 5/15/44 (o) | CAD | 30,000 | 9,044 | |
Class H, 5.01% 5/15/44 (o) | CAD | 20,000 | 5,354 | |
Class J, 5.01% 5/15/44 (o) | CAD | 20,000 | 4,903 | |
Class K, 5.01% 5/15/44 (o) | CAD | 10,000 | 2,163 | |
Class L, 5.01% 5/15/44 (o) | CAD | 36,000 | 6,924 | |
Class M, 5.01% 5/15/44 (o) | CAD | 165,000 | 31,877 | |
Cobalt CMBS Commercial Mortgage Trust: | ||||
sequential payer: | ||||
Series 2006-C1 Class A1, 5.043% 8/15/48 | 303,620 | 304,726 | ||
Series 2007-C2 Class A1, 5.064% 4/15/47 (o) | 275,982 | 279,884 | ||
Series 2007-C3 Class A3, 5.8202% 5/15/46 (o) | 1,902,000 | 1,735,995 | ||
Series 2006-C1 Class B, 5.359% 8/15/48 | 5,706,000 | 970,020 | ||
COMM pass-thru certificates: | ||||
floater: | ||||
Series 2005-F10A: | ||||
Class B, 0.5028% 4/15/17 (h)(o) | 4,261,000 | 2,513,990 | ||
Class C, 0.5428% 4/15/17 (h)(o) | 1,531,000 | 887,123 | ||
Class D, 0.5828% 4/15/17 (h)(o) | 950,056 | 498,513 | ||
Class E, 0.6428% 4/15/17 (h)(o) | 302,445 | 145,642 | ||
Class F, 0.6828% 4/15/17 (h)(o) | 171,562 | 77,622 | ||
Class G, 0.8228% 4/15/17 (h)(o) | 171,562 | 72,070 | ||
Class H, 0.8928% 4/15/17 (h)(o) | 171,562 | 70,340 | ||
Class J, 1.1228% 4/15/17 (h)(o) | 131,565 | 52,626 | ||
Series 2005-FL11: | ||||
Class C, 0.5728% 11/15/17 (h)(o) | 3,000,607 | 1,455,084 | ||
Class D, 0.6128% 11/15/17 (h)(o) | 156,045 | 82,837 | ||
Class E, 0.6628% 11/15/17 (h)(o) | 554,751 | 281,026 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (d) | Value | ||
COMM pass-thru certificates: - continued | ||||
floater: | ||||
Series 2005-FL11: - continued | ||||
Class F, 0.7228% 11/15/17 (h)(o) | $ 384,344 | $ 185,869 | ||
Class G, 0.7728% 11/15/17 (h)(o) | 266,408 | 123,002 | ||
Series 2006-FL12 Class AJ, 0.4028% 12/15/20 (h)(o) | 2,710,000 | 1,367,710 | ||
sequential payer: | ||||
Series 2005-C6 Class A2, 4.999% 6/10/44 (o) | 179,000 | 179,764 | ||
Series 2006-C8: | ||||
Class A1, 5.11% 12/10/46 | 105,470 | 106,105 | ||
Class A3, 5.31% 12/10/46 | 5,420,000 | 4,889,105 | ||
Series 2006-CN2A Class A2FX, 5.449% 2/5/19 | 3,216,000 | 3,111,506 | ||
Series 2007-C9 Class A4, 5.8162% 12/10/49 (o) | 4,209,000 | 3,699,816 | ||
Series 2001-J1A Class F, 6.958% 2/14/34 (h) | 500,000 | 478,009 | ||
Series 2001-J2A Class F, 7.0309% 7/16/34 (h)(o) | 190,000 | 102,113 | ||
Series 2004-LBN2 Class X2, 0.8704% 3/10/39 (h)(o)(q) | 4,283,991 | 47,898 | ||
Series 2006-C8: | ||||
Class B, 5.44% 12/10/46 | 3,294,000 | 946,411 | ||
Class XP, 0.4956% 12/10/46 (o)(q) | 23,582,327 | 359,923 | ||
Commercial Mortgage Acceptance Corp.: | ||||
Series 1998-C1: | ||||
Class F, 6.23% 7/15/31 (h) | 137,515 | 136,953 | ||
Class G, 6.21% 7/15/31 (h) | 500,000 | 448,428 | ||
weighted average coupon Series 1998-C2 Class F, 5.44% 9/15/30 (h)(o) | 196,930 | 182,160 | ||
Commercial Mortgage Asset Trust: | ||||
sequential payer Series 1999-C2 Class A2, 7.546% 11/17/32 (o) | 653,771 | 656,803 | ||
Series 1999-C1 Class F, 6.25% 1/17/32 (h) | 550,000 | 310,805 | ||
Credit Suisse Commercial Mortgage Trust: | ||||
sequential payer: | ||||
Series 2006-C5: | ||||
Class A1, 5.297% 12/15/39 | 784,254 | 797,395 | ||
Class AJ, 5.373% 12/15/39 | 3,852,000 | 1,450,630 | ||
Series 2007-C2: | ||||
Class A1, 5.269% 1/15/49 | 170,024 | 172,617 | ||
Class A2, 5.448% 1/15/49 (o) | 10,150,000 | 10,035,368 | ||
Class A3, 5.542% 1/15/49 (o) | 3,804,000 | 2,768,511 | ||
Series 2007-C3: | ||||
Class A1, 5.664% 6/15/39 (o) | 386,585 | 394,408 | ||
Class A4, 5.7229% 6/15/39 (o) | 1,144,000 | 837,954 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (d) | Value | ||
Credit Suisse Commercial Mortgage Trust: - continued | ||||
Series 2006-C4 Class AAB, 5.439% 9/15/39 | $ 10,824,000 | $ 10,493,414 | ||
Series 2006-C5 Class ASP, 0.6636% 12/15/39 (o)(q) | 14,987,177 | 317,379 | ||
Series 2007-C5 Class A4, 5.695% 9/15/40 (o) | 1,722,000 | 1,267,383 | ||
Credit Suisse First Boston Mortgage Capital Certificates floater Series 2007-TF2A Class B, 0.6228% 4/15/22 (h)(o) | 6,783,000 | 1,695,750 | ||
Credit Suisse First Boston Mortgage Securities Corp.: | ||||
sequential payer: | ||||
Series 2000-C1 Class A2, 7.545% 4/15/62 | 2,126,346 | 2,173,119 | ||
Series 2001-CK6 Class B, 6.582% 8/15/36 | 1,902,000 | 1,915,814 | ||
Series 2002-CP5 Class A1, 4.106% 12/15/35 | 176,825 | 179,702 | ||
Series 2004-C1: | ||||
Class A3, 4.321% 1/15/37 | 641,398 | 648,292 | ||
Class A4, 4.75% 1/15/37 | 884,000 | 862,233 | ||
Series 1997-C2 Class F, 7.46% 1/17/35 (o) | 929,000 | 950,471 | ||
Series 1998-C1: | ||||
Class D, 7.17% 5/17/40 | 1,989,251 | 2,054,648 | ||
Class H, 6% 5/17/40 (h) | 130,000 | 11,516 | ||
Series 1999-C1 Class E, 8.1143% 9/15/41 (o) | 1,966,000 | 1,959,013 | ||
Series 2001-CK6 Class AX, 0.9618% 9/15/18 (o)(q) | 5,525,382 | 88,447 | ||
Series 2001-CKN5 Class AX, 2.0784% 9/15/34 (h)(o)(q) | 17,735,233 | 527,863 | ||
Series 2001-SPGA Class C, 6.809% 8/13/18 (h) | 190,000 | 157,892 | ||
Series 2003-C3: | ||||
Class D, 4.131% 5/15/38 | 120,000 | 74,231 | ||
Class J, 4.231% 5/15/38 (h) | 300,000 | 84,612 | ||
Series 2003-C4 Class ASP, 0.4415% 8/15/36 (h)(o)(q) | 13,482,059 | 60,428 | ||
Series 2006-C1 Class A3, 5.5509% 2/15/39 (o) | 10,043,000 | 9,803,904 | ||
Credit Suisse Mortgage Capital Certificates: | ||||
floater: | ||||
Series 200-TFL1 Class B, 0.4228% 2/15/22 (h)(o) | 721,000 | 324,450 | ||
Series 2007-TFL1: | ||||
Class C: | ||||
0.4428% 2/15/22 (h)(o) | 1,864,711 | 708,590 | ||
0.5428% 2/15/22 (h)(o) | 665,993 | 199,798 | ||
Class F, 0.5928% 2/15/22 (h)(o) | 1,331,815 | 359,590 | ||
Class L, 2.1728% 2/15/22 (h)(o) | 100,000 | 10,000 | ||
sequential payer Series 2007-C1: | ||||
Class A1, 5.227% 2/15/40 | 201,852 | 205,656 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (d) | Value | ||
Credit Suisse Mortgage Capital Certificates: - continued | ||||
sequential payer Series 2007-C1: - continued | ||||
Class A2, 5.268% 2/15/40 | $ 18,300,000 | $ 18,043,904 | ||
Series 2007-C1: | ||||
Class ASP, 0.4177% 2/15/40 (o)(q) | 37,268,901 | 533,970 | ||
Class B, 5.487% 2/15/40 (h)(o) | 2,907,000 | 421,515 | ||
Credit Suisse/Morgan Stanley Commercial Mortgage Trust Series 2006-HC1A Class A1, 0.4628% 5/15/23 (h)(o) | 218,078 | 183,263 | ||
Crest Ltd. Series 2001-1A Class C, 9% 2/25/34 (h) | 500,000 | 200,000 | ||
Deutsche Mortgage & Asset Receiving Corp. | 330,000 | 198,000 | ||
DLJ Commercial Mortgage Corp.: | ||||
sequential payer Series 2000-CF1 Class A1B, 7.62% 6/10/33 | 5,238,656 | 5,352,562 | ||
Series 1998-CG1 Class B4, 7.2288% 6/10/31 (h)(o) | 891,000 | 905,588 | ||
First Chicago/Lennar Trust I Series 1997-CHL1 Class E, 7.7458% 4/29/39 (h)(o) | 15,051 | 14,900 | ||
First Union National Bank Commercial Mortgage Trust sequential payer Series 1999-C4 Class C, 7.793% 12/15/31 (h) | 367,000 | 367,953 | ||
First Union National Bank-Bank of America Commercial Mortgage Trust Series 2001-C1: | ||||
Class D, 6.484% 3/15/33 | 679,000 | 612,063 | ||
Class G, 6.936% 3/15/33 (h) | 1,252,000 | 1,055,974 | ||
Class H, 7.039% 3/15/33 (h) | 50,000 | 38,577 | ||
First Union-Lehman Brothers-Bank of America Commercial Mortgage Trust sequential payer | 361,000 | 261,675 | ||
G-Force LLC sequential payer Series 2005-RRA | 600,000 | 462,000 | ||
GE Capital Commercial Mortgage Corp.: | ||||
sequential payer: | ||||
Series 2000-1 Class A2, 6.496% 1/15/33 | 462,528 | 465,508 | ||
Series 2007-C1 Class A4, 5.543% 12/10/49 | 9,454,000 | 6,839,260 | ||
Series 2001-1 Class X1, 1.0483% 5/15/33 (h)(o)(q) | 19,666,775 | 275,858 | ||
Series 2001-3 Class C, 6.51% 6/10/38 | 287,000 | 275,379 | ||
Series 2002-1A Class H, 7.1598% 12/10/35 (h)(o) | 55,000 | 41,497 | ||
Series 2004-C1 Class X2, 1.3053% 11/10/38 (h)(o)(q) | 12,910,449 | 173,076 | ||
Series 2005-C1 Class B, 4.846% 6/10/48 (o) | 543,000 | 174,128 | ||
Series 2007-C1 Class XP, 0.2088% 12/10/49 (o)(q) | 41,031,460 | 293,999 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (d) | Value | ||
GMAC Commercial Mortgage Securities, Inc.: | ||||
Series 1997-C1 Class H, 6.6% 7/15/29 | $ 489,765 | $ 69,430 | ||
Series 1997-C2: | ||||
Class F, 6.75% 4/15/29 (o) | 1,100,000 | 1,036,221 | ||
Class G, 6.75% 4/15/29 (o) | 500,000 | 257,287 | ||
Series 1999-C1 Class F, 6.02% 5/15/33 (h) | 500,000 | 399,469 | ||
Series 1999-C2I Class K, 6.481% 9/15/33 (r) | 285,000 | 15,727 | ||
Series 1999-C3: | ||||
Class J, 6.974% 8/15/36 (h) | 226,000 | 206,489 | ||
Class K, 6.974% 8/15/36 (h) | 427,000 | 120,570 | ||
Series 2000-C1: | ||||
Class G, 7% 3/15/33 (h) | 120,000 | 111,365 | ||
Class H, 7% 3/15/33 (h) | 100,000 | 77,111 | ||
Class K, 7% 3/15/33 | 90,000 | 52,047 | ||
Series 2002-C3 Class B, 5.101% 7/10/39 | 235,000 | 231,120 | ||
Series 2003-C3 Class X2, 0.8723% 12/10/38 (h)(o)(q) | 14,806,897 | 108,518 | ||
Series 2005-C1 Class X2, 0.6559% 5/10/43 (o)(q) | 10,367,371 | 128,707 | ||
Greenwich Capital Commercial Funding Corp.: | ||||
floater Series 2006-FL4 Class B, 0.4653% 11/5/21 (h)(o) | 715,000 | 330,015 | ||
sequential payer: | ||||
Series 2004-GG1 Class A4, 4.755% 6/10/36 | 1,214,000 | 1,223,465 | ||
Series 2007-GG11: | ||||
Class A1, 5.358% 12/10/49 | 2,065,293 | 2,100,531 | ||
Class A2, 5.597% 12/10/49 | 3,804,000 | 3,658,408 | ||
Series 2007-GG9: | ||||
Class A1, 5.233% 3/10/39 | 520,760 | 528,905 | ||
Class A4, 5.444% 3/10/39 | 5,530,000 | 4,718,465 | ||
Series 2002-C1 Class H, 5.903% 1/11/35 (h) | 86,000 | 64,019 | ||
Series 2003-C1 Class XP, 2.2423% 7/5/35 (h)(o)(q) | 7,814,659 | 118,254 | ||
Series 2003-C2: | ||||
Class J, 5.234% 1/5/36 (h)(o) | 250,000 | 92,372 | ||
Class XP, 1.1772% 1/5/36 (h)(o)(q) | 17,800,000 | 154,217 | ||
Series 2005-GG3 Class XP, 0.9155% 8/10/42 (h)(o)(q) | 38,005,737 | 639,614 | ||
Series 2006-GG7: | ||||
Class A3, 5.9166% 7/10/38 (o) | 5,013,000 | 4,763,268 | ||
Class A4, 5.9166% 7/10/38 (o) | 9,540,000 | 8,330,655 | ||
Series 2007-GG11 Class A1, 0.4798% 12/10/49 (h)(q) | 47,931,734 | 516,488 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (d) | Value | ||
GS Mortgage Securities Corp. II: | ||||
floater: | ||||
Series 2006-FL8A: | ||||
Class C, 0.5156% 6/6/20 (h)(o) | $ 96,000 | $ 71,040 | ||
Class D, 0.5556% 6/6/20 (h)(o) | 453,000 | 240,090 | ||
Class E, 0.6456% 6/6/20 (h)(o) | 526,000 | 268,260 | ||
Class F, 0.7156% 6/6/20 (h)(o) | 835,001 | 384,100 | ||
Class J, 2.0256% 6/6/20 (h)(o) | 250,000 | 12,500 | ||
Series 2007-EOP: | ||||
Class C, 0.5956% 3/6/20 (h)(o) | 1,994,000 | 1,515,440 | ||
Class D, 0.6456% 3/6/20 (h)(o) | 4,004,000 | 3,003,000 | ||
Class F, 0.7556% 3/6/20 (h)(o) | 164,000 | 119,720 | ||
Class G, 0.7956% 3/6/20 (h)(o) | 81,000 | 58,320 | ||
Class H, 0.9256% 3/6/20 (h)(o) | 60,000 | 41,400 | ||
Class J, 1.1256% 3/6/20 (h)(o) | 86,000 | 57,620 | ||
Class L, 1.5756% 3/1/20 (h)(o) | 400,000 | 248,000 | ||
sequential payer Series 2004-GG2 Class A4, 4.964% 8/10/38 | 590,000 | 587,821 | ||
Series 1997-GL Class G, 7.5095% 7/13/30 (o) | 851,849 | 898,530 | ||
Series 1998-GLII Class G, 7.751% 4/13/31 (h)(o) | 600,000 | 429,270 | ||
Series 2001-GL3A Class JGGP, 7.397% 8/5/18 (h)(o) | 350,000 | 122,500 | ||
Series 2001-LIBA Class C, 6.733% 2/14/16 (h) | 941,000 | 1,009,886 | ||
Series 2005-GG4 Class XP, 0.6918% 7/10/39 (h)(o)(q) | 43,030,049 | 670,107 | ||
Series 2006-GG6 Class A2, 5.506% 4/10/38 (o) | 11,153,000 | 11,204,444 | ||
Series 2006-RR2: | ||||
Class M, 5.6937% 6/1/46 (h)(o) | 100,000 | 2,000 | ||
Class N, 5.6937% 6/1/46 (h)(o) | 100,000 | 2,000 | ||
GS Mortgage Securities Trust: | ||||
sequential payer: | ||||
Series 2006-GG8 Class A2, 5.479% 11/10/39 | 2,852,000 | 2,833,260 | ||
Series 2007-GG10: | ||||
Class A1, 5.69% 8/10/45 | 736,720 | 755,076 | ||
Class A2, 5.778% 8/10/45 | 13,561,000 | 13,516,660 | ||
Class A4, 5.8051% 8/10/45 (o) | 5,590,000 | 4,370,013 | ||
Series 2007-GG10 Class B, 5.8051% 8/10/45 (o) | 2,376,000 | 513,748 | ||
JPMorgan Chase Commercial Mortgage Securities Corp.: | ||||
Series 2002-C1 Class E, 6.135% 7/12/37 (h) | 180,000 | 143,781 | ||
Series 2003-C1: | ||||
Class CM1, 5.5061% 1/12/37 (h)(o) | 210,246 | 142,967 | ||
Class D, 5.192% 1/12/37 | 230,000 | 158,344 | ||
Series 2004-C1 Class X2, 1.1524% 1/15/38 (h)(o)(q) | 3,967,109 | 44,538 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (d) | Value | ||
JPMorgan Chase Commercial Mortgage Securities Corp.: - continued | ||||
Series 2004-CB8 Class X2, 1.2614% 1/12/39 (h)(o)(q) | $ 4,136,691 | $ 54,051 | ||
JPMorgan Chase Commercial Mortgage Securities Trust: | ||||
floater: | ||||
Series 2004-FL1A Class B, 0.5428% 4/16/19 (h)(o) | 1,057,055 | 898,497 | ||
Series 2005-FL1A Class A2, 0.4528% 2/15/19 (h)(o) | 1,447,000 | 1,287,185 | ||
Series 2006-FLA2: | ||||
Class A2, 0.4028% 11/15/18 (h)(o) | 10,000,000 | 6,067,143 | ||
Class B, 0.4428% 11/15/18 (h)(o) | 1,592,243 | 845,469 | ||
Class C, 0.4828% 11/15/18 (h)(o) | 1,131,245 | 577,952 | ||
Class D, 0.5028% 11/15/18 (h)(o) | 344,601 | 149,497 | ||
Class E, 0.5528% 11/15/18 (h)(o) | 497,106 | 215,295 | ||
Class F, 0.6028% 11/15/18 (h)(o) | 744,295 | 313,802 | ||
Class G, 0.6328% 11/15/18 (h)(o) | 646,729 | 277,185 | ||
Class H, 0.7728% 11/15/18 (h)(o) | 497,106 | 175,715 | ||
sequential payer: | ||||
Series 2006-CB14 Class A3B, 5.4854% 12/12/44 (o) | 5,657,000 | 5,104,259 | ||
Series 2006-CB15 Class A3, 5.819% 6/12/43 (o) | 2,864,000 | 2,648,638 | ||
Series 2006-CB17 Class A4, 5.429% 12/12/43 | 6,150,000 | 5,528,014 | ||
Series 2006-LDP8 Class A4, 5.399% 5/15/45 | 1,210,000 | 1,005,093 | ||
Series 2006-LDP9 Class A2, 5.134% 5/15/47 (o) | 903,000 | 855,587 | ||
Series 2007-CB19 Class A4, 5.7476% 2/12/49 (o) | 6,670,000 | 5,523,473 | ||
Series 2007-LD11: | ||||
Class A2, 5.7828% 6/15/49 (o) | 5,340,000 | 5,332,368 | ||
Class A4, 5.7978% 6/15/49 (o) | 2,823,000 | 2,387,597 | ||
Series 2007-LDP10 Class A1, 5.122% 1/15/49 | 189,407 | 192,178 | ||
Series 2007-LDPX Class A3, 5.412% 1/15/49 | 5,234,000 | 4,393,372 | ||
Series 2004-CBX Class D, 5.097% 1/12/37 (o) | 65,000 | 40,950 | ||
Series 2004-LDP4 Class D, 5.1236% 10/15/42 (o) | 1,711,000 | 376,692 | ||
Series 2004-LN2 Class D, 5.2154% 7/15/41 (o) | 420,000 | 92,440 | ||
Series 2005-CB13 Class E, 5.3498% 1/12/43 (h)(o) | 963,000 | 163,804 | ||
Series 2005-LDP3 Class A3, 4.959% 8/15/42 | 10,750,000 | 10,654,517 | ||
Series 2006-CB15 Class A4, 5.814% 6/12/43 (o) | 15,465,000 | 14,168,145 | ||
Series 2006-CB17 Class A3, 5.45% 12/12/43 | 543,000 | 513,357 | ||
Series 2007-CB19: | ||||
Class B, 5.7442% 2/12/49 | 165,000 | 47,886 | ||
Class C, 5.7462% 2/12/49 | 424,000 | 106,071 | ||
Class D, 5.7462% 2/12/49 | 447,000 | 107,351 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (d) | Value | ||
JPMorgan Chase Commercial Mortgage Securities Trust: - continued | ||||
Series 2007-LDP10: | ||||
Class BS, 5.437% 1/15/49 (o) | $ 364,000 | $ 85,625 | ||
Class CS, 5.466% 1/15/49 (o) | 157,000 | 35,332 | ||
Class ES, 5.5454% 1/15/49 (h)(o) | 983,000 | 120,594 | ||
JPMorgan Commercial Mortgage Finance Corp.: | ||||
Series 1997-C5 Class F, 7.5605% 9/15/29 | 1,590,000 | 1,539,150 | ||
Series 2000-C9 Class G, 6.25% 10/15/32 (h) | 783,000 | 775,615 | ||
LB Commercial Conduit Mortgage Trust: | ||||
Series 1998-C1 Class D, 6.98% 2/18/30 | 2,057,189 | 2,113,203 | ||
Series 1998-C4 Class G, 5.6% 10/15/35 (h) | 503,000 | 479,108 | ||
Series 2007-C3: | ||||
Class F, 5.9498% 7/15/44 (o) | 377,000 | 38,295 | ||
Class G, 6.1497% 7/15/44 (h)(o) | 666,000 | 62,724 | ||
LB-UBS Commercial Mortgage Trust: | ||||
sequential payer: | ||||
Series 2000-C3 Class A2, 7.95% 1/15/10 | 2,733,397 | 2,765,082 | ||
Series 2001-C2 Class A2, 6.653% 11/15/27 | 367,000 | 384,123 | ||
Series 2001-C3 Class A1, 6.058% 6/15/20 | 134,754 | 137,888 | ||
Series 2006-C1: | ||||
Class A2, 5.084% 2/15/31 | 913,000 | 911,798 | ||
Class A4, 5.156% 2/15/31 | 722,000 | 649,506 | ||
Series 2006-C3 Class A1, 5.478% 3/15/39 | 162,865 | 165,147 | ||
Series 2006-C6: | ||||
Class A1, 5.23% 9/15/39 | 277,087 | 281,848 | ||
Class A2, 5.262% 9/15/39 (o) | 11,694,000 | 11,747,095 | ||
Series 2006-C7: | ||||
Class A1, 5.279% 11/15/38 | 940,981 | 959,398 | ||
Class A2, 5.3% 11/15/38 | 2,092,000 | 2,085,681 | ||
Class A3, 5.347% 11/15/38 | 1,417,000 | 1,248,696 | ||
Series 2007-C1: | ||||
Class A1, 5.391% 2/15/40 (o) | 290,501 | 295,938 | ||
Class A3, 5.398% 2/15/40 | 10,000,000 | 9,591,423 | ||
Class A4, 5.424% 2/15/40 | 244,000 | 185,209 | ||
Series 2007-C2: | ||||
Class A1, 5.226% 2/15/40 | 271,670 | 276,115 | ||
Class A3, 5.43% 2/15/40 | 917,000 | 703,989 | ||
Series 2007-C6 Class A2, 5.845% 7/15/40 | 10,000,000 | 9,931,078 | ||
Series 2000-C3 Class B, 7.95% 3/15/32 | 545,000 | 552,154 | ||
Series 2000-C5 Class E, 7.29% 12/15/32 | 134,000 | 132,655 | ||
Series 2001-C3 Class B, 6.512% 6/15/36 | 3,676,000 | 3,814,157 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (d) | Value | ||
LB-UBS Commercial Mortgage Trust: - continued | ||||
Series 2001-C7 Class D, 6.514% 11/15/33 | $ 2,092,000 | $ 1,962,333 | ||
Series 2002-C1 Class J, 6.95% 3/15/34 (h)(o) | 86,000 | 61,356 | ||
Series 2003-C3 Class XCP, 1.2222% 3/11/37 (h)(o)(q) | 7,980,175 | 58,827 | ||
Series 2004-C2: | ||||
Class G, 4.595% 3/15/36 (h)(o) | 165,000 | 66,399 | ||
Class K, 5.2529% 3/15/36 (h)(o) | 500,000 | 101,812 | ||
Class XCP, 1.2332% 3/15/36 (h)(o)(q) | 25,979,524 | 379,182 | ||
Series 2004-C4 Class A2, 4.567% 6/15/29 (o) | 504,189 | 505,807 | ||
Series 2005-C3 Class XCP, 0.7261% 7/15/40 (o)(q) | 6,411,758 | 112,882 | ||
Series 2006-C6 Class XCP, 0.6633% 9/15/39 (o)(q) | 11,787,202 | 224,214 | ||
Series 2007-C1: | ||||
Class C, 5.533% 2/15/40 (o) | 4,185,000 | 891,958 | ||
Class D, 5.563% 2/15/40 (o) | 760,000 | 147,486 | ||
Class E, 5.582% 2/15/40 (o) | 381,000 | 71,296 | ||
Class XCP, 0.4737% 2/15/40 (o)(q) | 4,640,096 | 66,664 | ||
Series 2007-C6 Class A4, 5.858% 7/15/40 (o) | 2,376,000 | 1,891,028 | ||
Series 2007-C7: | ||||
Class A3, 5.866% 9/15/45 | 6,219,000 | 5,115,157 | ||
Class XCP, 0.3054% 9/15/45 (o)(q) | 156,476,796 | 1,839,416 | ||
LB-UBS Westfield Trust Series 2001-WM, 6.754% 7/14/16 (h) | 544,000 | 542,349 | ||
Leafs CMBS I Ltd./Leafs CMBS I Corp. Series 2002-1A: | ||||
Class B, 4.13% 11/20/37 (h) | 3,105,000 | 2,515,050 | ||
Class C, 4.13% 11/20/37 (h) | 8,205,000 | 5,579,400 | ||
Lehman Brothers Floating Rate Commercial Mortgage Trust floater Series 2006-LLFA: | ||||
Class D, 0.5028% 9/15/21 (h)(o) | 608,683 | 243,473 | ||
Class E, 0.5628% 9/15/21 (h)(o) | 2,196,145 | 658,843 | ||
Class F, 0.6128% 9/15/21 (h)(o) | 1,143,094 | 314,351 | ||
Class G, 0.6328% 9/15/21 (h)(o) | 2,258,211 | 564,553 | ||
Class H, 0.6728% 9/15/21 (h)(o) | 582,579 | 131,080 | ||
Lehman Large Loan Trust Series 1997-LLI Class E, 7.3% 10/12/34 | 3,377,000 | 3,686,493 | ||
LNR CFL Series 2004-1: | ||||
Class I10, 7.72% 2/26/28 (h) | 180,000 | 86,310 | ||
Class I11, 7.72% 2/26/28 (h) | 100,000 | 37,780 | ||
Class I12, 7.72% 2/26/28 (h) | 100,000 | 30,780 | ||
Class I9, 7.72% 2/26/28 (h) | 153,200 | 91,414 | ||
Merrill Lynch Mortgage Investors Trust: | ||||
Series 1997-C2 Class F, 6.25% 12/10/29 (o) | 620,000 | 539,991 | ||
Series 1998-C3 Class E, 6.7944% 12/15/30 (o) | 155,000 | 144,150 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (d) | Value | ||
Merrill Lynch Mortgage Investors Trust: - continued | ||||
Series 1999-C1 Class B, 7.71% 11/15/31 | $ 330,000 | $ 329,554 | ||
Series 2001-HRPA: | ||||
Class G, 6.778% 2/3/16 (h) | 395,000 | 375,250 | ||
Class H, 6.778% 2/3/16 (h) | 315,000 | 299,250 | ||
Merrill Lynch Mortgage Trust: | ||||
sequential payer: | ||||
Series 2004-MKB1 Class A2, 4.353% 2/12/42 | 382,898 | 385,576 | ||
Series 2007-C1 Class A1, 4.533% 6/12/50 | 1,631,593 | 1,642,558 | ||
Series 2004-KEY2 Class K, 5.091% 8/12/39 (h)(o) | 100,000 | 11,282 | ||
Series 2005-CKI1 Class A3, 5.2398% 11/12/37 (o) | 3,122,000 | 3,126,142 | ||
Series 2005-LC1 Class F, 5.3781% 1/12/44 (h)(o) | 1,655,000 | 347,821 | ||
Series 2006-C1 Class A2, 5.6114% 5/12/39 (o) | 2,680,000 | 2,703,823 | ||
Series 2006-KEY2 Class L, 5.091% 8/12/39 (h) | 300,000 | 33,185 | ||
Series 2007-C1 Class A4, 5.8286% 6/12/50 (o) | 7,199,517 | 5,562,801 | ||
Series 2008-C1 Class A4, 5.69% 2/12/51 | 4,059,000 | 3,130,582 | ||
Merrill Lynch-CFC Commercial Mortgage Trust: | ||||
floater Series 2006-4 Class A2FL, 0.4163% 12/12/49 (o) | 887,000 | 731,817 | ||
sequential payer: | ||||
Series 2006-1 CLass A3, 5.671% 2/12/39 | 2,024,000 | 1,901,306 | ||
Series 2006-4: | ||||
Class A2, 5.112% 12/12/49 (o) | 1,075,000 | 1,065,560 | ||
Class ASB, 5.133% 12/12/49 (o) | 1,636,000 | 1,469,822 | ||
Series 2007-5: | ||||
Class A1, 4.275% 8/12/48 | 142,060 | 142,748 | ||
Class A3, 5.364% 8/12/48 | 11,417,000 | 9,635,978 | ||
Class A4, 5.378% 8/12/48 | 76,000 | 55,629 | ||
Class B, 5.479% 2/12/17 | 5,706,000 | 1,182,477 | ||
Series 2007-6 Class A1, 5.175% 3/12/51 | 167,520 | 170,038 | ||
Series 2007-7 Class A4, 5.7487% 6/12/50 (o) | 6,656,000 | 4,832,620 | ||
Series 2007-8 Class A1, 4.622% 8/12/49 | 550,778 | 554,937 | ||
Series 2006-2 Class A4, 5.9092% 6/12/46 (o) | 16,407,000 | 15,595,062 | ||
Series 2006-4 Class XP, 0.6228% 12/12/49 (o)(q) | 41,659,736 | 890,739 | ||
Series 2007-6 Class B, 5.635% 3/12/51 (o) | 1,902,000 | 426,230 | ||
Series 2007-7 Class B, 5.75% 6/12/50 | 166,000 | 37,762 | ||
Series 2007-8 Class A3, 5.957% 8/12/49 (o) | 1,640,000 | 1,253,871 | ||
Morgan Stanley Capital I Trust: | ||||
floater: | ||||
Series 2005-XLF: | ||||
Class G, 0.643% 8/15/19 (h)(o) | 32,456 | 28,886 | ||
Class H, 0.663% 8/15/19 (h)(o) | 151,000 | 116,270 | ||
Class J, 0.733% 8/15/19 (h)(o) | 114,000 | 82,080 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (d) | Value | ||
Morgan Stanley Capital I Trust: - continued | ||||
floater: | ||||
Series 2006-XLF: | ||||
Class C, 1.473% 7/15/19 (h)(o) | $ 822,747 | $ 82,275 | ||
Class F, 0.593% 7/15/19 (h)(o) | 1,830,000 | 1,464,000 | ||
Class G, 0.633% 7/15/19 (h)(o) | 1,041,000 | 541,320 | ||
Series 2007-XCLA Class A1, 0.473% 7/17/17 (h)(o) | 2,717,034 | 1,494,369 | ||
Series 2007-XLCA Class B, 0.7728% 7/17/17 (h)(o) | 2,408,057 | 120,403 | ||
Series 2007-XLFA: | ||||
Class C, 0.433% 10/15/20 (h)(o) | 1,092,000 | 349,440 | ||
Class D, 0.463% 10/15/20 (h)(o) | 667,354 | 166,839 | ||
Class E, 0.523% 10/15/20 (h)(o) | 834,661 | 166,932 | ||
Class F, 0.573% 10/15/20 (h)(o) | 500,899 | 90,162 | ||
Class G, 0.613% 10/15/20 (h)(o) | 619,188 | 136,221 | ||
Class H, 0.703% 10/15/20 (h)(o) | 389,758 | 38,976 | ||
Class J, 0.853% 10/15/20 (h)(o) | 444,903 | 35,592 | ||
Class MHRO, 0.963% 10/15/20 (h)(o) | 605,197 | 66,572 | ||
Class MJPM, 1.273% 10/15/20 (h)(o) | 190,583 | 17,152 | ||
Class MSTR, 0.973% 10/15/20 (h)(o) | 343,918 | 48,148 | ||
Class NHRO, 1.163% 10/15/20 (h)(o) | 918,469 | 82,662 | ||
Class NSTR, 1.123% 10/15/20 (h)(o) | 315,384 | 34,692 | ||
sequential payer: | ||||
Series 2003-IQ5 Class X2, 0.9799% 4/15/38 (h)(o)(q) | 6,461,972 | 95,541 | ||
Series 2004-HQ3 Class A2, 4.05% 1/13/41 | 537,255 | 542,410 | ||
Series 2004-RR2 Class A2, 5.45% 10/28/33 (h) | 562,854 | 469,983 | ||
Series 2005-IQ9 Class A3, 4.54% 7/15/56 | 2,826,000 | 2,771,856 | ||
Series 2006-HQ10 Class A1, 5.131% 11/12/41 | 611,828 | 621,781 | ||
Series 2006-HQ8 Class A1, 5.124% 3/12/44 | 40,081 | 40,284 | ||
Series 2006-T23 Class A1, 5.682% 8/12/41 | 1,692,519 | 1,732,767 | ||
Series 2007-HQ11: | ||||
Class A1, 5.246% 2/12/44 | 497,863 | 506,241 | ||
Class A31, 5.439% 2/12/44 (o) | 964,000 | 895,789 | ||
Series 2007-IQ13: | ||||
Class A1, 5.05% 3/15/44 | 501,383 | 508,260 | ||
Class A4, 5.364% 3/15/44 | 10,000,000 | 8,259,327 | ||
Series 2007-IQ14 Class A1, 5.38% 4/15/49 | 1,206,258 | 1,228,965 | ||
Series 2007-T25: | ||||
Class A1, 5.391% 11/12/49 | 324,312 | 330,650 | ||
Class A2, 5.507% 11/12/49 | 3,425,000 | 3,319,512 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (d) | Value | ||
Morgan Stanley Capital I Trust: - continued | ||||
Series 2003-IQ6 Class X2, 0.5812% 12/15/41 (h)(o)(q) | $ 13,765,630 | $ 159,293 | ||
Series 2004-IQ7 Class E, 5.4024% 6/15/38 (h)(o) | 120,000 | 42,000 | ||
Series 2004-RR2 Class C, 5.88% 10/28/33 (h)(o) | 280,000 | 114,800 | ||
Series 2005-HQ7: | ||||
Class E, 5.2075% 11/14/42 (o) | 75,000 | 22,500 | ||
Class F, 5.2075% 11/14/42 (o) | 150,000 | 42,000 | ||
Series 2005-IQ9 Class X2, 1.1689% 7/15/56 (h)(o)(q) | 23,258,465 | 516,354 | ||
Series 2006-HQ10 Class X2, 0.69% 11/12/41 (h)(o)(q) | 11,571,366 | 156,256 | ||
Series 2006-HQ8 Class A3, 5.4387% 3/12/16 (o) | 2,950,000 | 2,864,310 | ||
Series 2006-HQ9 Class B, 5.832% 7/12/44 (o) | 2,823,000 | 899,549 | ||
Series 2006-IQ11: | ||||
Class A3, 5.7345% 10/15/42 (o) | 3,157,000 | 3,018,394 | ||
Class A4, 5.7705% 10/15/42 (o) | 570,000 | 487,231 | ||
Series 2006-IQ12 Class B, 5.468% 12/15/43 | 1,902,000 | 558,199 | ||
Series 2006-T23 Class A3, 5.8075% 8/12/41 (o) | 972,000 | 910,818 | ||
Series 2007-HQ11 Class B, 5.538% 2/20/44 (o) | 3,448,000 | 949,993 | ||
Series 2007-HQ12: | ||||
Class A2, 5.6318% 4/12/49 (o) | 12,880,000 | 12,248,057 | ||
Series A1, 5.519% 4/12/49 (o) | 799,111 | 815,646 | ||
Series 2007-IQ14: | ||||
Class A4, 5.692% 4/15/49 (o) | 2,852,000 | 2,219,532 | ||
Class B, 5.914% 4/15/49 | 469,000 | 129,458 | ||
Series 2007-XLC1: | ||||
Class C, 0.8728% 7/17/17 (h)(o) | 3,245,642 | 162,282 | ||
Class D, 0.9728% 7/17/17 (h)(o) | 1,526,121 | 76,306 | ||
Class E, 1.0728% 7/17/17 (h)(o) | 1,239,655 | 61,983 | ||
Morgan Stanley Dean Witter Capital I Trust: | ||||
sequential payer Series 2001-PPM Class A2, 6.4% 2/15/31 | 52,634 | 54,812 | ||
Series 2000-PRIN Class C, 7.9238% 2/23/34 (o) | 366,000 | 318,276 | ||
Series 2001-IQA Class F, 6.79% 12/18/32 (h) | 184,900 | 172,876 | ||
Series 2003-TOP9 Class E, 5.7113% 11/13/36 (h)(o) | 70,000 | 31,951 | ||
Multi Security Asset Trust sequential payer | 625,000 | 515,625 | ||
NationsLink Funding Corp. Series 1998-2: | ||||
Class F, 7.105% 8/20/30 (h) | 743,119 | 743,119 | ||
Class G, 5% 8/20/30 (h) | 216,875 | 193,019 | ||
Class J, 5% 8/20/30 (h) | 160,000 | 112,000 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (d) | Value | ||
Providence Place Group Ltd. Partnership Series 2000-C1 Class A2, 7.75% 7/20/28 | $ 443,666 | $ 434,792 | ||
Prudential Securities Secured Financing Corp. | 280,000 | 279,552 | ||
Real Estate Asset Liquidity Trust: | ||||
Series 2006-2: | ||||
Class F, 4.456% 9/12/38 (h) | CAD | 107,000 | 58,915 | |
Class G, 4.456% 9/12/38 (h) | CAD | 54,000 | 28,101 | |
Class H, 4.456% 9/12/38 (h) | CAD | 36,000 | 17,720 | |
Class J, 4.456% 9/12/38 (h) | CAD | 36,000 | 16,712 | |
Class K, 4.456% 9/12/38 (h) | CAD | 18,000 | 7,433 | |
Class L, 4.456% 9/12/38 (h) | CAD | 26,000 | 10,128 | |
Class M, 4.456% 9/12/38 (h) | CAD | 128,859 | 26,116 | |
Series 2007-1: | ||||
Class F, 4.57% 4/12/23 | CAD | 126,000 | 70,879 | |
Class G, 4.57% 4/12/23 | CAD | 42,000 | 22,270 | |
Class H, 4.57% 4/12/23 | CAD | 42,000 | 21,010 | |
Class J, 4.57% 4/12/23 | CAD | 42,000 | 19,840 | |
Class K, 4.57% 4/12/23 | CAD | 21,000 | 9,376 | |
Class L, 4.57% 4/12/23 | CAD | 63,000 | 26,608 | |
Class M, 4.57% 4/12/23 | CAD | 185,000 | 39,375 | |
Salomon Brothers Mortgage Securities VII, Inc.: | ||||
sequential payer Series 2000-C3 Class A2, 6.592% 12/18/33 | 3,231,464 | 3,319,231 | ||
Series 2001-C1 Class E, 6.31% 12/18/35 | 135,000 | 114,613 | ||
Series 2001-MMA: | ||||
Class E6, 6.5% 2/18/34 (h)(o) | 165,000 | 132,000 | ||
Class F6, 6.5% 2/18/34 (h)(o) | 37,000 | 27,750 | ||
SBA CMBS Trust Series 2006-1A Class C, 5.559% 11/15/36 (h) | 182,000 | 180,180 | ||
STRIPS III Ltd./STRIPS III Corp. floater Series 2004-1A Class A, 0.7475% 3/24/18 (h)(o) | 83,649 | 75,284 | ||
Structured Asset Securities Corp. Series 1997-LLI: | ||||
Class D, 7.15% 10/12/34 | 289,140 | 308,329 | ||
Class F, 7.3% 10/12/34 (h) | 463,000 | 460,955 | ||
TrizecHahn Office Properties Trust Series 2001-TZHA Class C4, 6.893% 5/15/16 (h) | 1,616,000 | 1,709,338 | ||
UBS Commercial Mortgage Trust Series 2007-FL1: | ||||
Class F, 0.8478% 9/15/09 (h)(o) | 110,000 | 14,803 | ||
Class G, 0.8478% 9/15/09 (h)(o) | 200,000 | 24,719 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (d) | Value | ||
Wachovia Bank Commercial Mortgage Trust: | ||||
floater: | ||||
Series 2005-WL5A Class K, 1.4728% 1/15/18 (h)(o) | $ 1,276,330 | $ 765,798 | ||
Series 2006-WL7A: | ||||
Class E, 0.5528% 9/15/21 (h)(o) | 1,770,598 | 531,179 | ||
Class F, 0.6281% 8/11/18 (h)(o) | 1,877,987 | 375,597 | ||
Class G, 0.6481% 8/11/18 (h)(o) | 1,779,101 | 266,865 | ||
Class J, 0.8881% 8/11/18 (h)(o) | 395,545 | 39,555 | ||
Series 2007-ESH Class A1, 0.7228% 6/15/19 (h)(o) | 182,465 | 153,270 | ||
Series 2007-WHL8: | ||||
Class AP1, 0.9728% 6/15/20 (h)(o) | 140,220 | 28,044 | ||
Class AP2, 1.0728% 6/15/20 (h)(o) | 235,007 | 35,251 | ||
Class F, 0.7528% 6/15/20 (h)(o) | 4,565,501 | 913,100 | ||
Class LXR1, 0.9728% 6/15/20 (h)(o) | 233,916 | 46,783 | ||
Class LXR2, 1.0728% 6/15/20 (h)(o) | 3,111,858 | 311,186 | ||
sequential payer: | ||||
Series 2003-C6 Class A2, 4.498% 8/15/35 | 624,204 | 633,693 | ||
Series 2003-C7 Class A1, 4.241% 10/15/35 (h) | 4,161,020 | 4,219,183 | ||
Series 2003-C8 Class A3, 4.445% 11/15/35 | 8,283,000 | 8,171,592 | ||
Series 2006-C27 Class A2, 5.624% 7/15/45 | 1,700,000 | 1,699,424 | ||
Series 2006-C29: | ||||
Class A1, 5.11% 11/15/48 | 1,107,634 | 1,124,912 | ||
Class A3, 5.313% 11/15/48 | 5,051,000 | 4,628,202 | ||
Series 2007-C30: | ||||
Class A1, 5.031% 12/15/43 | 268,755 | 272,188 | ||
Class A3, 5.246% 12/15/43 | 1,633,000 | 1,575,279 | ||
Class A4, 5.305% 12/15/43 | 8,604,000 | 6,883,111 | ||
Class A5, 5.342% 12/15/43 | 2,036,000 | 1,442,275 | ||
Series 2007-C31: | ||||
Class A1, 5.14% 4/15/47 | 277,957 | 281,737 | ||
Class A4, 5.509% 4/15/47 | 4,299,000 | 3,247,967 | ||
Series 2007-C32: | ||||
Class A2, 5.7355% 6/15/49 (o) | 15,568,000 | 15,268,237 | ||
Class A3, 5.9289% 6/15/49 (o) | 3,229,000 | 2,519,160 | ||
Series 2003-C6 Class G, 5.125% 8/15/35 (h) | 903,000 | 461,683 | ||
Series 2003-C8 Class XP, 0.3689% 11/15/35 (h)(o)(q) | 6,481,841 | 30,115 | ||
Series 2003-C9 Class XP, 0.4822% 12/15/35 (h)(o)(q) | 6,540,158 | 38,830 | ||
Series 2004-C15: | ||||
Class 180A, 5.3979% 10/15/41 (h)(o) | 1,464,000 | 1,347,742 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (d) | Value | ||
Wachovia Bank Commercial Mortgage Trust: - continued | ||||
Series 2004-C15: - continued | ||||
Class 180B, 5.3979% 10/15/41 (h)(o) | $ 666,000 | $ 619,361 | ||
Series 2005-C19 Class B, 4.892% 5/15/44 | 1,902,000 | 760,800 | ||
Series 2005-C22: | ||||
Class B, 5.3549% 12/15/44 (o) | 4,218,000 | 1,265,400 | ||
Class F, 5.3549% 12/15/44 (h)(o) | 3,171,000 | 412,230 | ||
Series 2006-C23 Class A5, 5.416% 1/15/45 (o) | 7,870,000 | 6,479,547 | ||
Series 2006-C29 Class E, 5.516% 11/15/48 (o) | 1,902,000 | 237,750 | ||
Series 2007-C30: | ||||
Class B, 5.463% 12/15/43 (o) | 10,505,000 | 1,260,600 | ||
Class C, 5.483% 12/15/43 (o) | 5,706,000 | 627,660 | ||
Class D, 5.513% 12/15/43 (o) | 3,044,000 | 304,400 | ||
Class XP, 0.4317% 12/15/43 (h)(o)(q) | 23,390,552 | 353,513 | ||
Series 2007-C31 Class C, 5.693% 4/15/47 (o) | 522,000 | 65,250 | ||
Series 2007-C32: | ||||
Class D, 5.7405% 6/15/49 (o) | 1,431,000 | 157,410 | ||
Class E, 5.7405% 6/15/49 (o) | 2,252,000 | 236,460 | ||
Wachovia Bank Commercial Mortgage Trust pass-thru certificates: | ||||
sequential payer Series 2007-C33 Class A5, 5.9023% 2/15/51 (o) | 1,259,000 | 973,876 | ||
Series 2007-C33 Class B, 5.9023% 2/15/51 (o) | 3,198,000 | 495,690 | ||
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $720,589,242) | 724,435,418 | |||
Municipal Securities - 0.2% | ||||
| ||||
California Gen. Oblig.: | ||||
7.5% 4/1/34 | 5,600,000 | 5,946,304 | ||
7.55% 4/1/39 | 8,400,000 | 9,006,144 | ||
New York Metropolitan Trans. Auth. Dedicated Tax Fund Rev. Series 2009 C, 7.336% 11/15/39 | 3,539,000 | 4,310,785 | ||
TOTAL MUNICIPAL SECURITIES (Cost $17,694,232) | 19,263,233 | |||
Foreign Government and Government Agency Obligations - 1.4% | ||||
| ||||
Argentine Republic: | ||||
discount (with partial capitalization through 12/31/13) 8.28% 12/31/33 | 4,551,534 | 2,639,890 | ||
par 2.5% 12/31/38 (f) | 2,960,000 | 806,600 | ||
Foreign Government and Government Agency Obligations - continued | ||||
| Principal Amount (d) | Value | ||
Argentine Republic: - continued | ||||
7% 3/28/11 | $ 28,885,000 | $ 22,859,268 | ||
7% 9/12/13 | 20,425,000 | 13,853,824 | ||
Barbados Government 7.25% 12/15/21 (h) | 337,000 | 330,260 | ||
Brazilian Federative Republic: | ||||
6% 9/15/13 | 300,000 | 299,250 | ||
6% 1/17/17 | 440,000 | 458,920 | ||
8% 1/15/18 | 368,333 | 419,900 | ||
8.25% 1/20/34 | 410,000 | 506,350 | ||
8.75% 2/4/25 | 730,000 | 905,200 | ||
12.25% 3/6/30 | 880,000 | 1,469,600 | ||
12.75% 1/15/20 | 355,000 | 557,350 | ||
Central Bank of Nigeria promissory note 5.092% 1/5/10 | 140,979 | 79,536 | ||
Chilean Republic 7.125% 1/11/12 | 3,045,000 | 3,399,134 | ||
Colombian Republic 7.375% 9/18/37 | 1,830,000 | 1,909,605 | ||
Democratic Socialist Republic of Sri Lanka 8.25% 10/24/12 (h) | 1,775,000 | 1,757,250 | ||
Dominican Republic: | ||||
2.125% 8/30/24 (o) | 1,100,000 | 737,000 | ||
9.04% 1/23/18 (h) | 2,497,452 | 2,335,118 | ||
9.5% 9/27/11 (Reg. S) | 2,676,002 | 2,716,142 | ||
Ecuador Republic 5% 2/28/25 | 218,000 | 121,186 | ||
El Salvador Republic: | ||||
7.65% 6/15/35 | 1,265,000 | 1,138,500 | ||
7.75% 1/24/23 (Reg. S) | 870,000 | 913,500 | ||
8.25% 4/10/32 (Reg. S) | 375,000 | 360,000 | ||
8.5% 7/25/11 (Reg. S) | 650,000 | 679,250 | ||
Gabonese Republic 8.2% 12/12/17 (h) | 3,375,000 | 3,311,719 | ||
Georgia Republic 7.5% 4/15/13 | 1,570,000 | 1,460,100 | ||
Ghana Republic 8.5% 10/4/17 (h) | 2,430,000 | 2,235,600 | ||
Indonesian Republic: | ||||
6.625% 2/17/37 (h) | 1,475,000 | 1,360,688 | ||
6.875% 3/9/17 (h) | 950,000 | 978,500 | ||
6.875% 1/17/18 (h) | 1,510,000 | 1,547,750 | ||
7.25% 4/20/15 (h) | 785,000 | 837,988 | ||
7.5% 1/15/16 (h) | 485,000 | 517,738 | ||
7.75% 1/17/38 (h) | 1,720,000 | 1,767,300 | ||
8.5% 10/12/35 (h) | 650,000 | 728,000 | ||
8.5% 10/12/35 (Reg. S) | 1,360,000 | 1,523,200 | ||
11.625% 3/4/19 (h) | 1,845,000 | 2,486,138 | ||
Islamic Republic of Pakistan 7.125% 3/31/16 (h) | 3,210,000 | 2,728,500 | ||
Foreign Government and Government Agency Obligations - continued | ||||
| Principal Amount (d) | Value | ||
Lebanese Republic: | ||||
8.625% 6/20/13 (Reg. S) | $ 2,420,000 | $ 2,631,750 | ||
9% 5/2/14 | 610,000 | 671,000 | ||
Pakistan International Sukuk Co. Ltd. 3.1456% 1/27/10 (o) | 773,000 | 761,405 | ||
Perusahaan Penerbit SBSN Indonesia 8.8% 4/23/14 (h) | 560,000 | 627,200 | ||
Peruvian Republic 7.35% 7/21/25 | 1,210,000 | 1,331,000 | ||
Philippine Republic: | ||||
9.5% 2/2/30 | 440,000 | 563,200 | ||
10.625% 3/16/25 | 395,000 | 534,751 | ||
Polish Government 6.375% 7/15/19 | 1,255,000 | 1,339,713 | ||
Republic of Fiji 6.875% 9/13/11 | 715,000 | 670,313 | ||
Republic of Iraq 5.8% 1/15/28 (Reg. S) | 3,225,000 | 2,217,188 | ||
Republic of Serbia 3.75% 11/1/24 (f)(h) | 5,430,000 | 5,002,388 | ||
Russian Federation: | ||||
7.5% 3/31/30 (Reg. S) | 15,697,920 | 16,031,501 | ||
12.75% 6/24/28 (Reg. S) | 1,800,000 | 2,691,000 | ||
Turkish Republic: | ||||
6.75% 4/3/18 | 1,520,000 | 1,567,576 | ||
6.875% 3/17/36 | 3,285,000 | 3,141,446 | ||
7% 9/26/16 | 965,000 | 1,019,330 | ||
7.25% 3/5/38 | 1,350,000 | 1,336,500 | ||
7.375% 2/5/25 | 4,890,000 | 5,146,725 | ||
Ukraine Cabinet of Ministers 6.875% 3/4/11 (Reg. S) | 1,910,000 | 1,809,725 | ||
Ukraine Government: | ||||
6.385% 6/26/12 (h) | 2,115,000 | 1,940,513 | ||
6.75% 11/14/17 (h) | 3,665,000 | 3,014,463 | ||
United Mexican States: | ||||
7.5% 4/8/33 | 425,000 | 477,615 | ||
8.3% 8/15/31 | 420,000 | 511,350 | ||
Uruguay Republic 8% 11/18/22 | 2,106,902 | 2,264,920 | ||
Venezuelan Republic: | ||||
1.505% 4/20/11 (Reg. S) (o) | 6,355,000 | 5,687,725 | ||
5.375% 8/7/10 (Reg. S) | 1,275,000 | 1,236,750 | ||
7% 3/31/38 | 630,000 | 333,900 | ||
8.5% 10/8/14 | 2,690,000 | 2,273,050 | ||
9% 5/7/23 (Reg. S) | 4,450,000 | 3,146,150 | ||
9.25% 9/15/27 | 3,375,000 | 2,480,625 | ||
9.375% 1/13/34 | 1,160,000 | 800,400 | ||
10.75% 9/19/13 | 7,830,000 | 7,458,075 | ||
13.625% 8/15/18 | 3,938,000 | 3,632,805 | ||
Foreign Government and Government Agency Obligations - continued | ||||
| Principal Amount (d) | Value | ||
Vietnamese Socialist Republic: | ||||
4% 3/12/28 (f) | $ 2,425,000 | $ 1,770,250 | ||
6.875% 1/15/16 (h) | 655,000 | 668,100 | ||
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $168,000,717) | 169,526,256 | |||
Supranational Obligations - 0.0% | ||||
| ||||
Corporacion Andina de Fomento 5.2% 5/21/13 | 242,000 | 246,560 |
Convertible Preferred Stocks - 0.0% | |||
Shares |
| ||
UTILITIES - 0.0% | |||
Electric Utilities - 0.0% | |||
AES Trust III 6.75% | 28,100 | 1,181,886 | |
TOTAL CONVERTIBLE PREFERRED STOCKS (Cost $1,326,273) | 1,181,886 |
Floating Rate Loans - 0.6% | ||||
| Principal Amount (d) |
| ||
CONSUMER DISCRETIONARY - 0.3% | ||||
Auto Components - 0.1% | ||||
Federal-Mogul Corp.: | ||||
Tranche B, term loan 2.217% 12/27/14 (o) | $ 4,047,914 | 3,015,696 | ||
Tranche C, term loan 2.2161% 12/27/15 (o) | 2,470,791 | 1,828,385 | ||
The Goodyear Tire & Rubber Co. Tranche 2LN, term loan 2.04% 4/30/14 (o) | 1,445,000 | 1,333,013 | ||
| 6,177,094 | |||
Automobiles - 0.1% | ||||
Ford Motor Co. term loan 3.495% 12/15/13 (o) | 7,870,296 | 6,807,806 | ||
Diversified Consumer Services - 0.0% | ||||
ServiceMaster Co.: | ||||
term loan 2.85% 7/24/14 (o) | 1,773,396 | 1,525,121 | ||
Tranche DD, term loan 2.79% 7/24/14 (o) | 211,019 | 181,476 | ||
| 1,706,597 | |||
Floating Rate Loans - continued | ||||
| Principal Amount (d) | Value | ||
CONSUMER DISCRETIONARY - continued | ||||
Hotels, Restaurants & Leisure - 0.0% | ||||
Harrah's Entertainment, Inc.: | ||||
Tranche B2, term loan 3.5038% 1/28/15 (o) | $ 950,000 | $ 767,125 | ||
Tranche B3, term loan 3.5056% 1/28/15 (o) | 1,165,000 | 937,825 | ||
Las Vegas Sands LLC: | ||||
term loan 2.09% 5/23/14 (o) | 776,549 | 597,943 | ||
Tranche B, term loan 2.09% 5/23/14 (o) | 3,780,031 | 2,910,624 | ||
| 5,213,517 | |||
Media - 0.1% | ||||
Charter Communications Operating LLC Tranche B 1LN, term loan 6.25% 3/6/14 (o) | 4,058,548 | 3,744,011 | ||
Newsday LLC term loan 9.75% 8/1/13 | 2,870,000 | 2,920,225 | ||
R.H. Donnelley Corp. Tranche D2, term loan 6.75% 6/30/11 (o) | 38,830 | 31,646 | ||
Univision Communications, Inc. Tranche 1LN, term loan 2.535% 9/29/14 (o) | 3,845,000 | 3,008,713 | ||
Zuffa LLC term loan 2.375% 6/19/15 (o) | 4,601,298 | 4,118,162 | ||
| 13,822,757 | |||
Specialty Retail - 0.0% | ||||
Michaels Stores, Inc. Tranche B1, term loan 2.5625% 10/31/13 (o) | 2,555,293 | 2,248,658 | ||
Textiles, Apparel & Luxury Goods - 0.0% | ||||
Hanesbrands, Inc. Tranche 2LN, term loan 4.2538% 3/5/14 (o) | 165,000 | 160,875 | ||
Levi Strauss & Co. term loan 2.5225% 4/4/14 (o) | 790,000 | 711,000 | ||
| 871,875 | |||
TOTAL CONSUMER DISCRETIONARY | 36,848,304 | |||
HEALTH CARE - 0.0% | ||||
Pharmaceuticals - 0.0% | ||||
PTS Acquisition Corp. term loan 2.535% 4/10/14 (o) | 4,669,547 | 4,120,876 | ||
INDUSTRIALS - 0.1% | ||||
Airlines - 0.1% | ||||
Delta Air Lines, Inc. Tranche 2LN, term loan 3.5256% 4/30/14 (o) | 4,214,824 | 3,287,563 | ||
Northwest Airlines, Inc. term loan 2.28% 12/31/10 (o) | 1,326,327 | 1,273,273 | ||
United Air Lines, Inc. Tranche B, term loan 2.3125% 2/1/14 (o) | 2,736,135 | 1,744,286 | ||
| 6,305,122 | |||
Floating Rate Loans - continued | ||||
| Principal Amount (d) | Value | ||
INDUSTRIALS - continued | ||||
Machinery - 0.0% | ||||
Dresser, Inc. Tranche 2LN, term loan 6.0225% 5/4/15 pay-in-kind (o) | $ 1,705,000 | $ 1,415,150 | ||
TOTAL INDUSTRIALS | 7,720,272 | |||
INFORMATION TECHNOLOGY - 0.1% | ||||
Electronic Equipment & Components - 0.1% | ||||
Flextronics International Ltd.: | ||||
Tranche B A1, term loan 2.7594% 10/1/14 (o) | 622,630 | 563,480 | ||
Tranche B-A, term loan 2.6961% 10/1/14 (o) | 2,458,781 | 2,225,197 | ||
Tranche B-B, term loan 2.8469% 10/1/12 (o) | 3,094,253 | 2,869,920 | ||
| 5,658,597 | |||
IT Services - 0.0% | ||||
First Data Corp.: | ||||
Tranche B1, term loan 3.0171% 9/24/14 (o) | 915,000 | 761,738 | ||
Tranche B2, term loan 3.02% 9/24/14 (o) | 845,000 | 703,463 | ||
Tranche B3, term loan 3.0171% 9/24/14 (o) | 2,865,000 | 2,385,113 | ||
| 3,850,314 | |||
Semiconductors & Semiconductor Equipment - 0.0% | ||||
Freescale Semiconductor, Inc. term loan 2.0306% 12/1/13 (o) | 2,210,000 | 1,646,450 | ||
Software - 0.0% | ||||
Kronos, Inc. Tranche 1LN, term loan 2.5975% 6/11/14 (o) | 3,328,052 | 3,103,408 | ||
TOTAL INFORMATION TECHNOLOGY | 14,258,769 | |||
MATERIALS - 0.0% | ||||
Chemicals - 0.0% | ||||
Chemtura Corp. term loan 10.5% 3/19/10 (o) | 3,970,000 | 4,049,400 | ||
TELECOMMUNICATION SERVICES - 0.0% | ||||
Wireless Telecommunication Services - 0.0% | ||||
Intelsat Jackson Holdings Ltd. term loan 3.2756% 2/1/14 (o) | 2,425,000 | 2,112,781 | ||
Floating Rate Loans - continued | ||||
| Principal Amount (d) | Value | ||
UTILITIES - 0.1% | ||||
Electric Utilities - 0.1% | ||||
Texas Competitive Electric Holdings Co. LLC: | ||||
Tranche B1, term loan 3.7757% 10/10/14 (o) | $ 950,000 | $ 719,625 | ||
Tranche B3, term loan 3.7757% 10/10/14 (o) | 2,466,842 | 1,859,382 | ||
| 2,579,007 | |||
Multi-Utilities - 0.0% | ||||
Ashmore Energy International: | ||||
Revolving Credit-Linked Deposit 3.2875% 3/30/12 (o) | 408,969 | 368,072 | ||
term loan 3.5975% 3/30/14 (o) | 2,139,218 | 1,925,296 | ||
| 2,293,368 | |||
TOTAL UTILITIES | 4,872,375 | |||
TOTAL FLOATING RATE LOANS (Cost $68,300,462) | 73,982,777 | |||
Sovereign Loan Participations - 0.0% | ||||
|
|
| ||
Indonesian Republic loan participation - Citibank 2.25% 12/14/19 (o) | 1,443,501 | 1,111,496 | ||
Bank Notes - 0.0% | ||||
| ||||
National City Bank, Cleveland 0.7675% 3/1/13 (o) | 978,000 | 875,948 |
Fixed-Income Funds - 24.2% | |||
Shares |
| ||
Fidelity Corporate Bond 1-10 Year Central Fund (p) | 7,962,431 | 808,744,111 | |
Fidelity Floating Rate Central Fund (p) | 6,536,673 | 578,953,113 | |
Fidelity Mortgage Backed Securities Central Fund (p) | 14,800,559 | 1,508,325,013 | |
TOTAL FIXED-INCOME FUNDS (Cost $2,833,629,941) | 2,896,022,237 | ||
Preferred Securities - 0.1% | |||
Principal Amount (d) | Value | ||
CONSUMER DISCRETIONARY - 0.1% | |||
Media - 0.1% | |||
Globo Comunicacoes e Participacoes SA 9.375% | $ 4,440,000 | $ 4,487,481 | |
Net Servicos de Comunicacao SA 9.25% (h) | 2,918,000 | 2,928,229 | |
| 7,415,710 | ||
ENERGY - 0.0% | |||
Oil, Gas & Consumable Fuels - 0.0% | |||
Pemex Project Funding Master Trust 7.75% | 4,008,000 | 3,921,741 | |
FINANCIALS - 0.0% | |||
Diversified Financial Services - 0.0% | |||
ING Groep NV 5.775% (o) | 1,052,000 | 597,803 | |
MUFG Capital Finance 1 Ltd. 6.346% (o) | 4,028,000 | 3,725,201 | |
| 4,323,004 | ||
TOTAL PREFERRED SECURITIES (Cost $14,169,819) | 15,660,455 | ||
Cash Equivalents - 6.9% | |||
Maturity Amount |
| ||
Investments in repurchase agreements in a joint trading account at: | |||
0.2%, dated 8/31/09 due 9/1/09: | |||
(Collateralized by U.S. Treasury Obligations) # | $ 662,451,688 | 662,448,000 | |
(Collateralized by U.S. Treasury Obligations) # | 7,481,041 | 7,481,000 | |
0.21%, dated 8/31/09 due 9/1/09 (Collateralized by U.S. Government Obligations) # (b) | 152,477,889 | 152,477,000 | |
TOTAL CASH EQUIVALENTS (Cost $822,406,000) | 822,406,000 | ||
TOTAL INVESTMENT PORTFOLIO - 105.2% (Cost $12,270,466,676) | 12,589,259,753 | ||
NET OTHER ASSETS - (5.2)% | (619,012,215) | ||
NET ASSETS - 100% | $ 11,970,247,538 |
Swap Agreements | |||||
| Expiration Date | Notional Amount | Value | ||
Credit Default Swaps | |||||
Receive monthly notional amount multiplied by 3.35% and pay Morgan Stanley, Inc. upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-HE7, Class B3, 9.01% 8/25/34 (Rating-C) (m) | Sept. 2034 | $ 39,167 | $ (37,027) | ||
Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to Credit Suisse First Boston upon each credit event of one of the issues of ABX AA 07-01 Index, par value of the proportional notional amount (Rating-C) (Upfront Payment $480,000) (n) | Sept. 2037 | 3,932,746 | (3,834,427) | ||
Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to Credit Suisse First Boston upon each credit event of one of the issues of ABX AA 07-01 Index, par value of the proportional notional amount (Rating-C) (Upfront Payment $1,058,000) (n) | Sept. 2037 | 4,522,658 | (4,409,591) | ||
Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to JPMorgan Chase, Inc. upon each credit event of one of the issues of ABX AA 07-01 Index, par value of the proportional notional amount (Rating-C) (Upfront Payment $651,000) (n) | Sept. 2037 | 2,752,922 | (2,684,099) | ||
Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to UBS upon each credit event of one of the issues of ABX AA 07-1 Index, par value of the proportional notional amount (Rating-C) (Upfront Payment | Sept. 2037 | 7,078,942 | (6,901,969) | ||
Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to UBS upon each credit event of one of the issues of ABX AA 07-1 Index, par value of the proportional notional amount (Rating-C) (Upfront Payment | Sept. 2037 | 2,556,285 | (2,492,378) | ||
Swap Agreements - continued | |||||
| Expiration Date | Notional Amount | Value | ||
Credit Default Swaps - continued | |||||
Receive monthly notional amount multiplied by .82% and pay UBS upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. | August 2034 | $ 30,779 | $ (22,520) | ||
Receive monthly notional amount multiplied by .85% and pay UBS upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. | Oct. 2034 | 36,773 | (26,266) | ||
Receive monthly notional amount multiplied by 2.39% and pay UBS upon credit event of Fremont Home Loan Trust, par value of the notional amount of Fremont Home Loan Trust Series 2004-1 Class M9, 7.73% 2/25/34 (Rating-Baa3) (m) | March 2034 | 8,248 | (1,154) | ||
Receive monthly notional amount multiplied by 2.4% and pay Deutsche Bank upon credit event of Fremont Home Loan Trust, par value of the notional amount of Fremont Home Loan Trust Series 2004-A Class B3, 7.2288% 1/25/34 (Rating-C) (m) | Feb. 2034 | 787 | (723) | ||
Receive monthly notional amount multiplied by 2.54% and pay Merrill Lynch upon credit event of Countrywide Home Loans, Inc., par value of the notional amount of Countrywide Home Loans, Inc. | April 2032 | 11,800 | (6,506) | ||
TOTAL CREDIT DEFAULT SWAPS | $ 20,971,107 | $ (20,416,660) | |||
Swap Agreements - continued | |||||
| Expiration Date | Notional Amount | Value | ||
Interest Rate Swaps | |||||
Receive quarterly a fixed rate equal to 4.3875% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston | March 2010 | $ 1,250,000 | $ 36,623 | ||
Receive quarterly a fixed rate equal to 4.774% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston | March 2015 | 1,250,000 | 134,044 | ||
Receive quarterly a fixed rate equal to 4.90% and pay quarterly a floating rate based on 3-month LIBOR with JPMorgan Chase, Inc. (Upfront payment ($79,955)) | July 2014 | 1,135,000 | 120,023 | ||
Receive semi-annually a fixed rate equal to 3.567% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston | May 2011 | 293,294,000 | 14,996,414 | ||
Receive semi-annually a fixed rate equal to 4.03% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston | Sept. 2013 | 78,000,000 | 6,108,718 | ||
Receive semi-annually a fixed rate equal to 4.87% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston | Oct. 2012 | 100,000,000 | 10,493,940 | ||
Receive semi-annually a fixed rate equal to 5.062% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston | May 2012 | 75,000,000 | 7,618,268 | ||
Receive semi-annually a fixed rate equal to 5.09% and pay quarterly a floating rate based on 3-month LIBOR with Deutsche Bank | Jan. 2012 | 75,000,000 | 6,582,608 | ||
Receive semi-annually a fixed rate equal to 5.144% and pay quarterly a floating rate based on 3-month LIBOR with JPMorgan Chase, Inc. | April 2012 | 100,000,000 | 10,618,930 | ||
Receive semi-annually a fixed rate equal to 5.263% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston | Feb. 2012 | 50,000,000 | 4,520,250 | ||
Receive semi-annually a fixed rate equal to 5.276% and pay quarterly a floating rate based on 3-month LIBOR with Deutsche Bank | April 2011 | 20,000,000 | 1,746,074 | ||
Swap Agreements - continued | |||||
| Expiration Date | Notional Amount | Value | ||
Interest Rate Swaps - continued | |||||
Receive semi-annually a fixed rate equal to 5.556% and pay quarterly a floating rate based on 3-month LIBOR with JPMorgan Chase, Inc. | June 2012 | $ 25,000,000 | $ 2,806,923 | ||
Receive semi-annually a fixed rate equal to 5.6485% and pay quarterly a floating rate based on 3-month LIBOR with Deutsche Bank | July 2010 | 100,000,000 | 5,061,560 | ||
TOTAL INTEREST RATE SWAPS | $ 919,929,000 | $ 70,844,375 | |||
| $ 940,900,107 | $ 50,427,715 |
Currency Abbreviation | ||
CAD | - | Canadian dollar |
Legend |
(a) Non-income producing |
(b) Includes investment made with cash collateral received from securities on loan. |
(c) Non-income producing - Issuer is in default. |
(d) Principal amount is stated in United States dollars unless otherwise noted. |
(e) Security initially issued in zero coupon form which converts to coupon form at a specified rate and date. The rate shown is the rate at period end. |
(f) Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end. |
(g) Security or a portion of the security is on loan at period end. |
(h) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $872,073,392 or 7.3% of net assets. |
(i) Under the Temporary Liquidity Guarantee Program, the Federal Deposit Insurance Corporation guarantees principal and interest in the event of payment default or bankruptcy until the earlier of maturity date of the debt or until June 30, 2012. At the end of the period these securities amounted to $32,269,280 or 0.3% of net assets. |
(j) Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(k) A portion of the security is subject to a forward commitment to sell. |
(l) Security or a portion of the security has been segregated as collateral for open swap agreements. At the period end, the value of securities pledged amounted to $10,488,885. |
(m) Represents a credit default swap contract in which the fund has sold protection on the underlying reference entity. The value of each credit default swap and the credit rating can be measures of the current payment/performance risk. For the underlying reference entity, ratings disclosed are from Moody's Investor Services, Inc. Where Moody's ratings are not available, S&P ratings are disclosed and are indicated as such. All ratings are as of the report date and do not reflect subsequent changes. Where a credit rating is not disclosed, the value is used as the measure of the payment/performance risk. |
(n) Represents a tradable index of credit default swaps on home equity asset-backed debt securities. In addition, the swap represents a contract in which the fund has sold protection on the 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 Investor Services, Inc., or S&P where Moody's ratings are not available. All ratings are as of the report date and do not reflect subsequent changes. |
(o) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. |
(p) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. A complete unaudited schedule of portfolio holdings for each Fidelity Central Fund is filed with the SEC for the first and third quarters of each fiscal year on Form N-Q and is available upon request or at the SEC's web site at www.sec.gov. An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro rata share of securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com and/or advisor.fidelity.com, as applicable. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's web site or upon request. |
(q) Security represents right to receive monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool held as of the end of the period. |
(r) Restricted securities - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $15,727 or 0.0% of net assets. |
Additional information on each holding is as follows: |
Security | Acquisition Date | Acquisition Cost |
GMAC Commercial Mortgage Securities, Inc. Series 1999-C2I Class K, 6.481% 9/15/33 | 3/23/07 | $ 163,875 |
# Additional information on each counterparty to the repurchase agreement is as follows: |
Repurchase Agreement / Counterparty | Value |
$662,448,000 due 9/01/09 at 0.20% | |
BNP Paribas Securities Corp. | $ 113,907,656 |
Banc of America Securities LLC | 56,715,763 |
Bank of America, NA | 141,789,408 |
Deutsche Bank Securities, Inc. | 62,387,340 |
ING Financial Markets LLC | 18,247,957 |
J.P. Morgan Securities, | 113,431,527 |
Mizuho Securities USA, Inc. | 56,715,763 |
Morgan Stanley & Co., Inc. | 28,357,882 |
Societe Generale, New York Branch | 70,894,704 |
| $ 662,448,000 |
$7,481,000 due 9/01/09 at 0.20% | |
BNP Paribas Securities Corp. | $ 2,902,240 |
Barclays Capital, Inc. | 3,652,513 |
Deutsche Bank Securities, Inc. | 926,247 |
| $ 7,481,000 |
$152,477,000 due 9/01/09 at 0.21% | |
J.P. Morgan Securities, Inc. | $ 152,477,000 |
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 |
Fidelity 1-3 Year Duration Securitized Bond Central Fund | $ 5,484,652 |
Fidelity Commercial Mortgage-Backed Securities Central Fund | 20,606,840 |
Fidelity Corporate Bond 1-10 Year Central Fund | 71,469,040 |
Fidelity Floating Rate Central Fund | 25,297,655 |
Fidelity Mortgage Backed Securities Central Fund | 85,655,251 |
Fidelity Ultra-Short Central Fund | 4,349,644 |
Total | $ 212,863,082 |
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, | Purchases | Sales | Value, | % ownership, end of |
Fidelity 1-3 Year Duration Securitized Bond Central Fund | $ 283,991,380 | $ 4,148,681 | $ 267,091,219* | $ - | 0.0% |
Fidelity Commercial Mortgage | 658,434,817 | 16,728,421 | 555,096,527* | - | 0.0% |
Fidelity Corporate Bond 1-10 Year Central Fund | 1,816,743,999 | 49,222,593 | 1,029,134,976* | 808,744,111 | 28.6% |
Fidelity Floating Rate Central Fund | 408,626,297 | 151,340,041 | - | 578,953,113 | 20.1% |
Fidelity Mortgage Backed Securities Central Fund | 2,138,641,000 | 161,026,129 | 851,012,714 | 1,508,325,013 | 19.4% |
Fidelity Ultra-Short Central Fund | 599,904,422 | - | 504,601,608* | - | 0.0% |
Total | $ 5,906,341,915 | $ 382,465,865 | $ 3,206,937,044 | $ 2,896,022,237 |
* Includes the value of shares redeemed through in-kind transactions. See Note 8 of the Notes to Financial Statements. |
Other Information |
The following is a summary of the inputs used, as of August 31, 2009, involving the Fund's assets and liabilities carried at value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the tables below, please refer to the Security Valuation section in the accompanying Notes to Financial Statements. |
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Equities: | ||||
Utilities | $ 1,181,886 | $ - | $ 1,181,886 | $ - |
Asset-Backed Securities | 240,669,499 | - | 212,680,747 | 27,988,752 |
Bank Notes | 875,948 | - | 875,948 | - |
Cash Equivalents | 822,406,000 | - | 822,406,000 | - |
Collateralized Mortgage Obligations | 273,533,771 | - | 263,819,927 | 9,713,844 |
Commercial Mortgage Securities | 724,435,418 | - | 663,747,314 | 60,688,104 |
Corporate Bonds | 3,356,947,773 | - | 3,356,640,801 | 306,972 |
Fixed-Income Funds | 2,896,022,237 | 2,896,022,237 | - | - |
Floating Rate Loans | 73,982,777 | - | 73,982,777 | - |
Foreign Government and Government Agency Obligations | 169,526,256 | - | 169,526,256 | - |
Municipal Securities | 19,263,233 | - | 19,263,233 | - |
Preferred Securities | 15,660,455 | - | 15,660,455 | - |
Sovereign Loan Participations | 1,111,496 | - | 1,111,496 | - |
Supranational Obligations | 246,560 | - | 246,560 | - |
U.S. Government Agency - Mortgage Securities | 1,488,513,966 | - | 1,488,513,966 | - |
U.S. Government and Government Agency Obligations | 2,504,882,478 | - | 2,504,882,478 | - |
Total Investments in Securities: | $ 12,589,259,753 | $ 2,896,022,237 | $ 9,594,539,844 | $ 98,697,672 |
Derivative Instruments: | ||||
Assets | ||||
Swap Agreements | $ 70,844,375 | $ - | $ 70,844,375 | $ - |
Liabilities | ||||
Swap Agreements | $ (20,416,660) | $ - | $ (20,371,250) | $ (45,410) |
Total Derivative Instruments: | $ 50,427,715 | $ - | $ 50,473,125 | $ (45,410) |
Other Financial Instruments: | ||||
Forward Commitments | $ (1,661,972) | $ - | $ (1,661,972) | $ - |
The following is a reconciliation of Investments in Securities and Derivative Instruments for which Level 3 inputs were used in determining value: | |
Investments in Securities: |
|
Beginning Balance | $ 3,663,788 |
Total Realized Gain (Loss) | (662,758) |
Total Unrealized Gain (Loss) | (11,022,804) |
Cost of Purchases | 100,015,146 |
Proceeds of Sales | (11,437,699) |
Amortization/Accretion | (4,011,050) |
Transfers in/out of Level 3 | 22,153,049 |
Ending Balance | $ 98,697,672 |
The change in unrealized gain (loss) attributable to Level 3 securities at | $ (15,952,208) |
Derivative Instruments: | |
Swap Agreements |
|
Beginning Balance | $ (3,526,344) |
Total Unrealized Gain (loss) | 3,478,914 |
Transfers in/out of Level 3 | 2,020 |
Ending Balance | $ (45,410) |
Realized gain (loss) on Swap Agreements for the period | $ (3,729,333) |
The change in unrealized gain (loss) attributable to Level 3 Swap Agreements at August 31, 2009 | $ 45,805 |
The information used in the above reconciliation represents fiscal year to date activity for any Investments in Securities and Derivative Instruments identified as using Level 3 inputs at either the beginning or the end of the current fiscal period, and includes the value of securities received through affiliated in-kind transactions. See Note 8 of the Notes to Financial Statements. Transfers in or out of Level 3 represents either the beginning value (for transfer in), or the ending value (for transfer out) of any Security or Instrument where a change in the pricing level occurred from the beginning to the end of the period. Realized and unrealized gains (losses) disclosed in the reconciliation are included in Net Gain (Loss) on the Fund's Statement of Operations. |
Value of Derivative Instruments |
The following table is a summary of the Fund's value of derivative instruments by risk exposure as of August 31, 2009. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements. |
Risk Exposure / | Value | |
| Asset | Liability |
Credit Risk | ||
Swap Agreements (a) | $ - | $ (20,416,660) |
Interest Rate Risk | ||
Swap Agreements (a) | 70,844,375 | - |
Total Value of Derivatives | $ 70,844,375 | $ (20,416,660) |
(a) Value is disclosed on the Statement of Assets and Liabilities in the Unrealized Appreciation and Unrealized Depreciation on Swap Agreements line-items. |
Income Tax Information |
At August 31, 2009, the fund had a capital loss carryforward of approximately $93,866,210 all of which will expire on August 31, 2017. |
The fund intends to elect to defer to its fiscal year ending August 31, 2010 approximately $179,587,761 of losses recognized during the period November 1, 2008 to August 31, 2009. |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Statements
Statement of Assets and Liabilities
| August 31, 2009 | |
|
|
|
Assets | ||
Investment in securities, at value (including securities loaned of $149,180,568 and repurchase agreements of $822,406,000) - See accompanying schedule: Unaffiliated issuers (cost $9,436,836,735) | $ 9,693,237,516 |
|
Fidelity Central Funds (cost $2,833,629,941) | 2,896,022,237 |
|
Total Investments (cost $12,270,466,676) |
| $ 12,589,259,753 |
Commitment to sell securities on a delayed delivery basis | (271,792,558) | |
Receivable for securities sold on a delayed delivery basis | 270,130,586 | (1,661,972) |
Receivable for investments sold |
|
|
Regular delivery | 52,713,641 | |
Delayed delivery | 302,094 | |
Cash | 5,337,843 | |
Receivable for swap agreements | 2,779 | |
Receivable for fund shares sold | 25,093,285 | |
Interest receivable | 84,058,538 | |
Distributions receivable from Fidelity Central Funds | 11,654,259 | |
Unrealized appreciation on swap agreements | 70,844,375 | |
Other receivables | 66,101 | |
Total assets | 12,837,670,696 | |
|
|
|
Liabilities | ||
Payable for investments purchased | $ 248,597,181 | |
Delayed delivery | 434,896,899 | |
Payable for swap agreements | 288,957 | |
Payable for fund shares redeemed | 4,925,358 | |
Distributions payable | 1,056,076 | |
Unrealized depreciation on swap agreements | 20,416,660 | |
Accrued management fee | 3,123,002 | |
Distribution fees payable | 82,584 | |
Other affiliated payables | 1,357,377 | |
Other payables and accrued expenses | 201,564 | |
Collateral on securities loaned, at value | 152,477,500 | |
Total liabilities | 867,423,158 | |
|
|
|
Net Assets | $ 11,970,247,538 | |
Net Assets consist of: |
| |
Paid in capital | $ 12,054,601,659 | |
Undistributed net investment income | 60,445,769 | |
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions | (514,594,230) | |
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies | 369,794,340 | |
Net Assets | $ 11,970,247,538 |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Statements - continued
Statement of Assets and Liabilities - continued
| August 31, 2009 | |
|
|
|
Calculation of Maximum Offering Price Class A: | $ 10.28 | |
|
|
|
Maximum offering price per share (100/96.00 of $10.28) | $ 10.71 | |
Class T: | $ 10.27 | |
|
|
|
Maximum offering price per share (100/96.00 of $10.27) | $ 10.70 | |
Class B: | $ 10.28 | |
|
|
|
Class C: | $ 10.28 | |
|
|
|
Total Bond: | $ 10.28 | |
|
|
|
Class F: | $ 10.27 | |
|
|
|
Institutional Class: | $ 10.26 |
A Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
See accompanying notes which are an integral part of the financial statements.
Annual Report
Statement of Operations
| Year ended August 31, 2009 | |
|
|
|
Investment Income |
|
|
Dividends |
| $ 1,790,098 |
Interest |
| 384,864,258 |
Income from Fidelity Central Funds |
| 212,863,082 |
Total income |
| 599,517,438 |
|
|
|
Expenses | ||
Management fee | $ 32,073,749 | |
Transfer agent fees | 10,846,434 | |
Distribution fees | 754,200 | |
Fund wide operations fee | 3,032,583 | |
Independent trustees' compensation | 35,644 | |
Miscellaneous | 216,528 | |
Total expenses before reductions | 46,959,138 | |
Expense reductions | (171,390) | 46,787,748 |
Net investment income | 552,729,690 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: |
|
|
Unaffiliated issuers | 7,333,159 | |
Fidelity Central Funds | (570,562,102) |
|
Foreign currency transactions | (1,558) | |
Swap agreements | 39,230,099 |
|
Total net realized gain (loss) |
| (524,000,402) |
Change in net unrealized appreciation (depreciation) on: Investment securities | 712,539,712 | |
Assets and liabilities in foreign currencies | (185) | |
Swap agreements | 39,414,561 | |
Delayed delivery commitments | (1,603,030) |
|
Total change in net unrealized appreciation (depreciation) |
| 750,351,058 |
Net gain (loss) | 226,350,656 | |
Net increase (decrease) in net assets resulting from operations | $ 779,080,346 |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Statements - continued
Statement of Changes in Net Assets
| Year ended | Year ended |
Increase (Decrease) in Net Assets |
|
|
Operations |
|
|
Net investment income | $ 552,729,690 | $ 518,414,707 |
Net realized gain (loss) | (524,000,402) | 95,293,460 |
Change in net unrealized appreciation (depreciation) | 750,351,058 | (332,114,221) |
Net increase (decrease) in net assets resulting from operations | 779,080,346 | 281,593,946 |
Distributions to shareholders from net investment income | (503,411,775) | (501,867,517) |
Distributions to shareholders from net realized gain | (71,517,925) | (24,508,784) |
Total distributions | (574,929,700) | (526,376,301) |
Share transactions - net increase (decrease) | 684,114,730 | 4,412,741,476 |
Total increase (decrease) in net assets | 888,265,376 | 4,167,959,121 |
|
|
|
Net Assets | ||
Beginning of period | 11,081,982,162 | 6,914,023,041 |
End of period (including undistributed net investment income of $60,445,769 and undistributed net investment income of $8,813,868, respectively) | $ 11,970,247,538 | $ 11,081,982,162 |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Class A
Years ended August 31, | 2009 | 2008 | 2007 | 2006 I | 2006 K | 2005 K |
Selected Per-Share Data |
|
|
|
|
|
|
Net asset value, beginning of period | $ 10.07 | $ 10.27 | $ 10.39 | $ 10.28 | $ 10.57 | $ 10.46 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment incomeE | .494 | .488 | .508 | .043 | .476 | .387 |
Net realized and unrealized gain (loss) | .231 | (.189) | (.141) | .105 | (.294) H | .183 |
Total from investment operations | .725 | .299 | .367 | .148 | .182 | .570 |
Distributions from net investment income | (.447) | (.474) | (.470) | (.038) | (.432) | (.370) |
Distributions from net realized gain | (.068) | (.025) | (.017) | - | (.040) | (.090) |
Total distributions | (.515) | (.499) | (.487) | (.038) | (.472) | (.460) |
Net asset value, end of period | $ 10.28 | $ 10.07 | $ 10.27 | $ 10.39 | $ 10.28 | $ 10.57 |
Total Return B,C,D | 7.79% | 2.93% | 3.57% | 1.44% | 1.78% | 5.52% |
Ratios to Average Net Assets F,J |
|
|
|
|
| |
Expenses before reductions | .80% | .80% | .77% | .73% A | .79% | .96% |
Expenses net of fee waivers, if any | .80% | .80% | .77% | .73% A | .79% | .80% |
Expenses net of all reductions | .80% | .80% | .77% | .73% A | .79% | .80% |
Net investment income | 5.17% | 4.77% | 4.93% | 4.98% A | 4.61% | 3.69% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 107,998 | $ 80,755 | $ 48,076 | $ 6,780 | $ 4,545 | $ 2,974 |
Portfolio turnover rate G | 104% L | 122% | 116% L | 53% A | 99% | 193% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Total returns do not include the effect of the sales charges. E Calculated based on average shares outstanding during the period. F Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. G Amount does not include the portfolio activity of any underlying Fidelity Central Funds. H The amount shown for a share outstanding does not correspond with the aggregate net gain (loss) on investments for the period due to the timing of sales and repurchases of shares in relation to fluctuating market values of the investments of the Fund. I For the one month period ended August 31. The Fund changed its fiscal year from July 31 to August 31, effective August 31, 2006. J Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. K For the period ended July 31. L The portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds. |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Class T
Years ended August 31, | 2009 | 2008 | 2007 | 2006 I | 2006 K | 2005 K |
Selected Per-Share Data |
|
|
|
|
|
|
Net asset value, beginning of period | $ 10.06 | $ 10.26 | $ 10.38 | $ 10.27 | $ 10.56 | $ 10.46 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment incomeE | .488 | .489 | .508 | .042 | .466 | .377 |
Net realized and unrealized gain (loss) | .233 | (.191) | (.143) | .105 | (.296) H | .173 |
Total from investment operations | .721 | .298 | .365 | .147 | .170 | .550 |
Distributions from net investment income | (.443) | (.473) | (.468) | (.037) | (.420) | (.360) |
Distributions from net realized gain | (.068) | (.025) | (.017) | - | (.040) | (.090) |
Total distributions | (.511) | (.498) | (.485) | (.037) | (.460) | (.450) |
Net asset value, end of period | $ 10.27 | $ 10.06 | $ 10.26 | $ 10.38 | $ 10.27 | $ 10.56 |
Total Return B,C,D | 7.74% | 2.92% | 3.55% | 1.43% | 1.66% | 5.33% |
Ratios to Average Net Assets F,J |
|
|
|
|
| |
Expenses before reductions | .85% | .81% | .78% | .87% A | .91% | 1.13% |
Expenses net of fee waivers, if any | .85% | .81% | .78% | .87% A | .90% | .90% |
Expenses net of all reductions | .85% | .80% | .78% | .87% A | .90% | .90% |
Net investment income | 5.12% | 4.76% | 4.92% | 4.84% A | 4.50% | 3.59% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 48,090 | $ 38,574 | $ 42,191 | $ 6,293 | $ 4,583 | $ 5,739 |
Portfolio turnover rate G | 104% L | 122% | 116% L | 53% A | 99% | 193% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Total returns do not include the effect of the sales charges. E Calculated based on average shares outstanding during the period. F Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. G Amount does not include the portfolio activity of any underlying Fidelity Central Funds. H The amount shown for a share outstanding does not correspond with the aggregate net gain (loss) on investments for the period due to the timing of sales and repurchases of shares in relation to fluctuating market values of the investments of the Fund. I For the one month period ended August 31. The Fund changed its fiscal year from July 31 to August 31, effective August 31, 2006. J Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. K For the period ended July 31. L The portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds. |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Class B
Years ended August 31, | 2009 | 2008 | 2007 | 2006 I | 2006 K | 2005 K |
Selected Per-Share Data |
|
|
|
|
|
|
Net asset value, beginning of period | $ 10.07 | $ 10.27 | $ 10.39 | $ 10.28 | $ 10.57 | $ 10.46 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income E | .423 | .413 | .432 | .037 | .399 | .309 |
Net realized and unrealized gain (loss) | .233 | (.190) | (.145) | .104 | (.296) H | .182 |
Total from investment operations | .656 | .223 | .287 | .141 | .103 | .491 |
Distributions from net investment income | (.378) | (.398) | (.390) | (.031) | (.353) | (.291) |
Distributions from net realized gain | (.068) | (.025) | (.017) | - | (.040) | (.090) |
Total distributions | (.446) | (.423) | (.407) | (.031) | (.393) | (.381) |
Net asset value, end of period | $ 10.28 | $ 10.07 | $ 10.27 | $ 10.39 | $ 10.28 | $ 10.57 |
Total Return B,C,D | 7.01% | 2.17% | 2.77% | 1.38% | 1.01% | 4.74% |
Ratios to Average Net Assets F,J |
|
|
|
|
| |
Expenses before reductions | 1.53% | 1.54% | 1.53% | 1.51% A | 1.59% | 1.75% |
Expenses net of fee waivers, if any | 1.53% | 1.54% | 1.53% | 1.51% A | 1.55% | 1.55% |
Expenses net of all reductions | 1.53% | 1.54% | 1.53% | 1.51% A | 1.55% | 1.55% |
Net investment income | 4.44% | 4.03% | 4.17% | 4.22% A | 3.85% | 2.94% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 9,054 | $ 9,645 | $ 6,054 | $ 1,720 | $ 1,667 | $ 2,029 |
Portfolio turnover rate G | 104% L | 122% | 116% L | 53% A | 99% | 193% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Total returns do not include the effect of the contingent deferred sales charge. E Calculated based on average shares outstanding during the period. F Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. G Amount does not include the portfolio activity of any underlying Fidelity Central Funds. H The amount shown for a share outstanding does not correspond with the aggregate net gain (loss) on investments for the period due to the timing of sales and repurchases of shares in relation to fluctuating market values of the investments of the Fund. I For the one month period ended August 31. The Fund changed its fiscal year from July 31 to August 31, effective August 31, 2006. J Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. K For the period ended July 31. L The portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds. |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Class C
Years ended August 31, | 2009 | 2008 | 2007 | 2006 I | 2006 K | 2005 K |
Selected Per-Share Data |
|
|
|
|
|
|
Net asset value, beginning of period | $ 10.07 | $ 10.27 | $ 10.39 | $ 10.28 | $ 10.57 | $ 10.46 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income E | .425 | .413 | .429 | .036 | .389 | .299 |
Net realized and unrealized gain (loss) | .232 | (.189) | (.145) | .105 | (.293) H | .181 |
Total from investment operations | .657 | .224 | .284 | .141 | .096 | .480 |
Distributions from net investment income | (.379) | (.399) | (.387) | (.031) | (.346) | (.280) |
Distributions from net realized gain | (.068) | (.025) | (.017) | - | (.040) | (.090) |
Total distributions | (.447) | (.424) | (.404) | (.031) | (.386) | (.370) |
Net asset value, end of period | $ 10.28 | $ 10.07 | $ 10.27 | $ 10.39 | $ 10.28 | $ 10.57 |
Total Return B,C,D | 7.02% | 2.18% | 2.75% | 1.37% | .94% | 4.63% |
Ratios to Average Net Assets F,J |
|
|
|
|
| |
Expenses before reductions | 1.52% | 1.53% | 1.55% | 1.60% A | 1.62% | 1.74% |
Expenses net of fee waivers, if any | 1.52% | 1.53% | 1.55% | 1.60% A | 1.62% | 1.65% |
Expenses net of all reductions | 1.52% | 1.53% | 1.55% | 1.60% A | 1.62% | 1.65% |
Net investment income | 4.45% | 4.03% | 4.15% | 4.13% A | 3.78% | 2.84% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 55,958 | $ 28,786 | $ 18,890 | $ 2,106 | $ 1,770 | $ 677 |
Portfolio turnover rate G | 104% L | 122% | 116% L | 53% A | 99% | 193% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Total returns do not include the effect of the contingent deferred sales charge. E Calculated based on average shares outstanding during the period. F Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. G Amount does not include the portfolio activity of any underlying Fidelity Central Funds. H The amount shown for a share outstanding does not correspond with the aggregate net gain (loss) on investments for the period due to the timing of sales and repurchases of shares in relation to fluctuating market values of the investments of the Fund. I For the one month period ended August 31. The Fund changed its fiscal year from July 31 to August 31, effective August 31, 2006. J Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. K For the period ended July 31. L The portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds. |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Total Bond
Years ended August 31, | 2009 | 2008 | 2007 | 2006 H | 2006 J | 2005 J |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 10.07 | $ 10.27 | $ 10.39 | $ 10.28 | $ 10.57 | $ 10.46 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income D | .527 | .524 | .543 | .046 | .506 | .411 |
Net realized and unrealized gain (loss) | .232 | (.189) | (.143) | .105 | (.290) G | .182 |
Total from investment operations | .759 | .335 | .400 | .151 | .216 | .593 |
Distributions from net investment income | (.481) | (.510) | (.503) | (.041) | (.466) | (.393) |
Distributions from net realized gain | (.068) | (.025) | (.017) | - | (.040) | (.090) |
Total distributions | (.549) | (.535) | (.520) | (.041) | (.506) | (.483) |
Net asset value, end of period | $ 10.28 | $ 10.07 | $ 10.27 | $ 10.39 | $ 10.28 | $ 10.57 |
Total Return B, C | 8.17% | 3.29% | 3.89% | 1.46% | 2.11% | 5.75% |
Ratios to Average Net Assets E, I |
|
|
|
|
| |
Expenses before reductions | .45% | .45% | .45% | .45% A | .45% | .64% |
Expenses net of fee waivers, if any | .45% | .45% | .45% | .45% A | .45% | .61% |
Expenses net of all reductions | .45% | .45% | .45% | .45% A | .45% | .61% |
Net investment income | 5.52% | 5.12% | 5.25% | 5.26% A | 4.95% | 3.87% |
Supplemental Data |
|
|
|
|
| |
Net assets, | $ 10,863,828 | $ 9,976,432 | $ 6,450,177 | $ 2,421,077 | $ 2,306,817 | $ 420,225 |
Portfolio turnover rate F | 104% K | 122% | 116% K | 53% A | 99% | 193% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Calculated based on average shares outstanding during the period. E Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. F Amount does not include the portfolio activity of any underlying Fidelity Central Funds. G The amount shown for a share outstanding does not correspond with the aggregate net gain (loss) on investments for the period due to the timing of sales and repurchases of shares in relation to fluctuating market values of the investments of the Fund. H For the one month period ended August 31. The Fund changed its fiscal year from July 31 to August 31, effective August 31, 2006. I Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. J For the period ended July 31. K The portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds. |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Class F
Year ended August 31, | 2009 G |
Selected Per-Share Data |
|
Net asset value, beginning of period | $ 9.89 |
Income from Investment Operations |
|
Net investment income D | .100 |
Net realized and unrealized gain (loss) | .359 |
Total from investment operations | .459 |
Distributions from net investment income | (.079) |
Net asset value, end of period | $ 10.27 |
Total Return B,C | 4.64% |
Ratios to Average Net Assets E,H |
|
Expenses before reductions | .35% A |
Expenses net of fee waivers, if any | .35% A |
Expenses net of all reductions | .35% A |
Net investment income | 5.79% A |
Supplemental Data |
|
Net assets, end of period (000 omitted) | $ 329 |
Portfolio turnover rate F | 104% I |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Calculated based on average shares outstanding during the period. E Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. F Amount does not include the portfolio activity of any underlying Fidelity Central Funds. G For the period June 26, 2009 (commencement of sale of shares) to August 31, 2009. H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. I The portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds. |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Institutional Class
Years ended August 31, | 2009 | 2008 | 2007 | 2006 H | 2006 J | 2005 J |
Selected Per-Share Data |
|
|
|
|
|
|
Net asset value, beginning of period | $ 10.06 | $ 10.26 | $ 10.38 | $ 10.27 | $ 10.57 | $ 10.46 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income D | .518 | .516 | .527 | .045 | .493 | .410 |
Net realized and unrealized gain (loss) | .224 | (.186) | (.134) | .105 | (.294) G | .182 |
Total from investment operations | .742 | .330 | .393 | .150 | .199 | .592 |
Distributions from net investment income | (.474) | (.505) | (.496) | (.040) | (.459) | (.392) |
Distributions from net realized gain | (.068) | (.025) | (.017) | - | (.040) | (.090) |
Total distributions | (.542) | (.530) | (.513) | (.040) | (.499) | (.482) |
Net asset value, end of period | $ 10.26 | $ 10.06 | $ 10.26 | $ 10.38 | $ 10.27 | $ 10.57 |
Total Return B,C | 7.99% | 3.24% | 3.83% | 1.46% | 1.95% | 5.74% |
Ratios to Average Net Assets E,I |
|
|
|
|
| |
Expenses before reductions | .53% | .51% | .50% | .54% A | .56% | .62% |
Expenses net of fee waivers, if any | .53% | .51% | .50% | .54% A | .56% | .62% |
Expenses net of all reductions | .53% | .51% | .49% | .54% A | .56% | .61% |
Net investment income | 5.45% | 5.06% | 5.21% | 5.16% A | 4.84% | 3.87% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of | $ 884,991 | $ 947,791 | $ 348,636 | $ 1,058 | $ 933 | $ 114 |
Portfolio turnover rate F | 104% K | 122% | 116% K | 53% A | 99% | 193% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Calculated based on average shares outstanding during the period. E Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. F Amount does not include the portfolio activity of any underlying Fidelity Central Funds. G The amount shown for a share outstanding does not correspond with the aggregate net gain (loss) on investments for the period due to the timing of sales and repurchases of shares in relation to fluctuating market values of the investments of the Fund. H For the one month period ended August 31. The Fund changed its fiscal year from July 31 to August 31, effective August 31, 2006. I Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. J For the period ended July 31. K The portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds. |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Notes to Financial Statements
For the period ended August 31, 2009
1. Organization.
Fidelity Total Bond Fund (the Fund) is a fund of Fidelity Income Fund (the trust) and is authorized to issue an unlimited number of shares. The trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. In January 2009, the Board of Trustees of the Fund approved the creation of an additional class of shares. The Fund commenced sale of Class F shares on June 26, 2009. The Fund offers Class A, Class T, Class B, Class C, Total Bond, Class F and Institutional Class shares, each of which has equal rights as to assets and voting privileges. Each class has exclusive voting rights with respect to matters that affect that class. Class F shares of the Fund are only available for purchase by mutual funds for which Fidelity Management & Research Company (FMR) or an affiliate serves as investment manager. Class B shares will automatically convert to Class A shares after a holding period of seven years from the initial date of purchase. Investment income, realized and unrealized capital gains and losses, the common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred. Certain expense reductions also differ by class.
2. Investments in Fidelity Central Funds.
The Fund may invest in Fidelity Central Funds, which are open-end investment companies available only to other investment companies and accounts managed by Fidelity Management & Research Company (FMR) and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
Based on their investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the Fund. These strategies are consistent with the investment objectives of the Fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the Fund. The following summarizes the Fund's investment in each Fidelity Central Fund.
Annual Report
Notes to Financial Statements - continued
2. Investments in Fidelity Central Funds - continued
Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices |
Fidelity Corporate Bond 1-10 Year Central Fund | Fidelity Investment Money Management, Inc. (FIMM) | Seeks a high level of income by normally investing in investment-grade corporate bonds and other corporate debt securities and repurchase agreements for those securities. | Delayed Delivery & When Issued Securities Repurchase Agreements Restricted Securities Swap Agreements |
Fidelity Floating Rate Central Fund | Fidelity Management & Research Company, Inc. (FMRC) | Seeks a high level of income by normally investing in floating rate loans and other floating rate securities. | Loans & Direct Debt Instruments Repurchase Agreements Restricted Securities
|
Fidelity Mortgage Backed Securities Central Fund | FIMM | Seeks a high level of income by normally investing in investment-grade mortgage-related securities and repurchase agreements for those securities. | Delayed Delivery & When Issued Securities Futures Repurchase Agreements Swap Agreements |
An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com and/or advisor.fidelity.com, as applicable. A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the SEC's web site at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's web site or upon request.
3. Significant Accounting Policies.
The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America, which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Events or transactions occurring after period end through the date that the financial statements were issued, October 26, 2009, have been evaluated in the preparation of the financial statements. The following summarizes the significant accounting policies of the Fund:
Annual Report
3. Significant Accounting Policies - continued
Security Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Fund uses independent pricing services approved by the Board of Trustees to value its investments. Generally Accepted Accounting Principles (GAAP) establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are classified into three levels. Level 1 includes readily available unadjusted quoted prices in active markets for identical assets or liabilities. Level 2 includes observable inputs other than quoted prices included in Level 1 that are observable either directly or indirectly. Level 3 includes unobservable inputs when market prices are not readily available or reliable. Changes in valuation techniques may result in transfers in or out of an investment's assigned level within the hierarchy. The aggregate value by input level, as of August 31, 2009, for the Fund's investments, as well as a reconciliation of assets and liabilities for which significant unobservable inputs (Level 3) were used in determining value, is included at the end of the Fund's Schedule of Investments. Valuation techniques of the Fund's major categories of assets and liabilities as presented in the Schedule of Investments are as follows.
Debt securities, including restricted securities, are valued based on quotations received from dealers who make markets in such securities or by independent pricing services. For corporate bonds, bank notes, foreign government and government agency obligations, preferred securities, supranational obligations, and U.S. government and government agency obligations pricing services generally utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices. For asset backed securities, collateralized mortgage obligations, commercial mortgage securities, and U.S. government agency mortgage securities, pricing services generally utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and types as well as dealer supplied prices. 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. 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. Swaps are marked-to-market daily based on valuations from independent pricing services or dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates value. Actual prices received at disposition may differ.
Annual Report
Notes to Financial Statements - continued
3. Significant Accounting Policies - continued
Security Valuation - continued
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 significant market or security specific events, changes in interest rates and credit quality, and developments in foreign markets which are monitored by evaluating the performance of ADRs, futures contracts and exchange-traded funds. The frequency with which these procedures are used cannot be predicted and may be utilized to a significant extent. The value of securities used for net asset value (NAV) calculation under these procedures may differ from published prices for the same securities.
Foreign Currency. The Fund uses foreign currency contracts to facilitate transactions in foreign-denominated securities. Losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.
Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rate at period end. Purchases and sales of investment securities, income and dividends received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and may include proceeds received from litigation. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Interest income and distributions from the Fidelity Central Funds are accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt
Annual Report
3. Significant Accounting Policies - continued
Investment Transactions and Income - continued
securities. Inflation-indexed bonds are fixed-income securities whose principal value is periodically adjusted to the rate of inflation. Interest is accrued based on the principal value, which is adjusted for inflation. The adjustments to principal due to inflation are reflected as increases or decreases to interest income even though principal is not received until maturity. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain.
Expenses. Most expenses of the trust can be directly attributed to a fund. Expenses which cannot be directly attributed are apportioned among each Fund in the trust. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan), independent Trustees must defer receipt of a portion of, and may elect to defer receipt of an additional portion of, their annual compensation. Deferred amounts are invested in a cross-section of Fidelity funds, are marked-to-market and remain in the Fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees are included in the accompanying Statement of Assets and Liabilities.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company by distributing substantially all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code and filing its U.S. federal tax return. As a result, no provision for income taxes is required. The Fund is subject to the provisions of FASB Interpretation No. 48, Accounting for Uncertainties in Income Taxes (FIN 48). FIN 48 sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. There are no unrecognized tax benefits in the accompanying financial statements. A Fund's federal tax return is subject to examination by the Internal Revenue Service (IRS) for a period of three years. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.
Dividends are declared daily and paid monthly from net investment income. Distributions from realized gains, if any, are recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. In addition, the Fund will claim a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.
Annual Report
Notes to Financial Statements - continued
3. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders - continued
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book-tax differences will reverse in a subsequent period.
Book-tax differences are primarily due to swap agreements, foreign currency transactions, defaulted bonds, market discount, redemptions in kind, partnerships (including allocations from Fidelity Central Funds), deferred trustees compensation, capital loss carryforwards and losses deferred due to wash sales and excise tax regulations.
The tax-basis components of distributable earnings and the federal tax cost as of period end were as follows:
Unrealized appreciation | $ 409,909,965 |
|
Unrealized depreciation | (274,645,572) |
|
Net unrealized appreciation (depreciation) | $ 135,264,393 |
|
|
|
|
Undistributed ordinary income | $ 53,858,059 |
|
Capital loss carryforward | $ (93,866,210) |
|
|
|
|
Cost for federal income tax purposes | $ 12,453,995,360 |
|
The tax character of distributions paid was as follows:
| August 31, 2009 | August 31, 2008 |
Ordinary Income | $ 574,929,700 | $ 521,474,544 |
Long-term Capital Gains | - | 4,901,757 |
Total | $ 574,929,700 | $ 526,376,301 |
4. Operating Policies.
Repurchase Agreements. FMR has received an Exemptive Order from the Securities and Exchange Commission (the SEC) which permits the Fund and other affiliated entities of FMR to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The Fund may also invest directly with institutions in repurchase agreements. Repurchase agreements are collateralized by government or non-government securities. Upon settlement date, collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. The Fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the
Annual Report
4. Operating Policies - continued
Repurchase Agreements - continued
collateral proceeds could be delayed, during which time the value of the collateral may decline.
Delayed Delivery Transactions and When-Issued Securities. The Fund may purchase or sell securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. During the time a delayed delivery sell is outstanding, the contract is marked-to-market daily and equivalent deliverable securities are held for the transaction. The value of the securities purchased on a delayed delivery or when-issued basis are identified as such in the Fund's Schedule of Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.
Restricted Securities. The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.
Loans and Other Direct Debt Instruments. The Fund may invest in loans and loan participations, trade claims or other receivables. These investments may include standby financing commitments, including revolving credit facilities, that obligate the Fund to supply additional cash to the borrower on demand. Loan participations involve a risk of insolvency of the lending bank or other financial intermediary. The Fund may be contractually obligated to receive approval from the agent bank and/or borrower prior to the sale of these investments.
5. Investments in Derivative Instruments.
Objectives and Strategies for Investing in Derivative Instruments. The Fund uses derivative instruments ("derivatives"), including swap agreements, in order to meet its investment objectives. The Fund's strategy is to use derivatives as a risk management tool and as an additional way to gain exposure to certain types of assets. The success of any strategy involving derivatives depends on analysis of numerous economic factors,
Annual Report
Notes to Financial Statements - continued
5. Investments in Derivative Instruments - continued
Objectives and Strategies for Investing in Derivative Instruments - continued
and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.
While utilizing derivatives in pursuit of its investment objectives, the Fund is exposed to certain financial risks relative to those derivatives. These risks are further explained below:
Credit Risk | Credit risk is the risk that the value of financial instruments will fluctuate as a result of changes in the credit quality of those instruments. Credit risk also includes the risk that the counterparty to a financial instrument will default or be unable to make further principal or interest payments on an obligation or commitment that it has entered into with the Fund. |
Interest Rate Risk | Interest rate risk is the risk that the value of interest-bearing financial instruments will fluctuate due to changes in the prevailing levels of market interest rates. |
The following notes provide more detailed information about each derivative type held by the Fund:
Swap Agreements. The Fund entered into swap agreements, which are contracts between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. Payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gains or losses in the Fund's accompanying Statement of Operations. Certain interest rate swaps include extended effective dates. Gains or losses are realized in the event of an early termination of a swap agreement. Any upfront payments made or received upon entering a swap contract 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 gains or losses ratably over the term of the swap in the Fund's accompanying Statement of Operations. Risks of loss may exceed amounts recognized on the Fund's Statement of Asset and Liabilities. In addition, there is the risk of failure by the counterparty to perform under the terms of the agreement and lack of liquidity in the market. Details of swap agreements open at period end are included in the Fund's Schedule of Investments under the caption "Swap Agreements." The total notional amount of all open swap agreements at period end is indicative of the volume of this derivative type. Collateral, in the form of cash or securities, may be required to be held in segregated accounts with a fund's custodian bank in accordance with the swap
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5. Investments in Derivative Instruments - continued
Swap Agreements - continued
agreement and, if required, is identified in the Fund's Schedule of Investments. The Fund could experience delays and costs in gaining access to the collateral even though it is held in the Fund's custodian bank.
The Fund entered into interest rate swap agreements to manage its exposure to interest rate changes. Interest rate swaps represent an agreement between counterparties to exchange cash flows based on the difference between two interest rates (e.g. fixed rate, floating rate), applied to a notional principal amount. Risks of loss may include interest rate risk and the possible inability of the counterparty to fulfill its obligations under the agreement. The Fund's maximum risk of loss from counterparty credit risk is the discounted net value of cash flows to be received from/paid to the counterparty over the contract's remaining life, to the extent that amount is positive. This risk is mitigated by the posting of collateral by the counterparty to the Fund to cover the Fund's exposure to the counterparty. Changes in interest rates can have a negative effect on both the value of the Fund's bond holdings as well as the amount of interest income earned. In general, the value of bonds can fall when interest rates rise and can rise when interest rates fall.
The Fund entered into credit default swap agreements to provide a measure of protection against defaults of an issuer ("buyer of protection") and/or to gain credit exposure to an issuer to which it is not otherwise exposed ("seller of protection"). The issuer may be either a single issuer or a "basket" of issuers. As a buyer of protection, the Fund does so when it holds bonds of the issuer or without owning the underlying asset or debt issued by the reference entity. Under the terms of a credit default swap the buyer of protection receives credit protection in exchange for making periodic payments to the seller of protection based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller of protection acts as a guarantor of the creditworthiness of a reference obligation. 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. If a credit event were to occur during the term of the contract, the contract is typically settled in a market auction where the difference between the value of the reference obligation received and the notional amount of the swap is recorded as a realized loss by the seller of protection. For credit default swaps on corporate or sovereign issuers, the obligation that may be put to the seller of protection is not limited to the specific reference obligation described in the Fund's Schedule of Investments.
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
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Notes to Financial Statements - continued
5. Investments in Derivative Instruments - continued
Swap Agreements - continued
write-down. If a credit event were to occur during the term of the contract, upon notification of the buyer of protection, the seller of protection is obligated to take delivery from the buyer of protection the notional amount of a reference obligation, at par. The difference between the value of the reference obligation received and the notional amount paid is recorded as a realized loss by the seller of protection. For credit default swaps on asset-backed securities, the reference obligation described represents the security that may be put to the seller of protection.
Risks of loss include credit risk. The Fund's maximum risk of loss from counterparty risk, either as a buyer of protection or as a seller of protection, is the value of the contract. This risk is mitigated by the posting of collateral by the counterparty to the Fund to cover the Fund's exposure to the counterparty. The notional amount of credit default swaps is included in the Fund's Schedule of Investments and approximates the maximum potential amount of future payments that the Fund could be required to make if the Fund is the seller of protection and a credit event were to occur. The total notional amount of all credit default swaps open at period end where the Fund is the seller of protection amounted to $20,971,107 representing .18% of net assets. Credit default swaps are considered to have credit-risk contingent features since they require payment by the seller of protection to the buyer of protection upon the occurrence of a defined credit event. The total value of credit default swaps in a net liability position as of period end was $(20,416,660). The value of assets posted as collateral, net of assets received as collateral, for these swaps was $10,488,885. If a defined credit event had occurred as of period end, the swaps' credit-risk-related contingent features would have been triggered and the Fund would have been required to pay $10,482,222 in addition to the collateral to settle these swaps.
Typically, the value of each credit default swap and credit rating disclosed for each reference obligation in the Fund's Schedule of Investments, where the Fund is the seller of protection, can be used as measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. Any current or future declines in the value of the swap may be partially offset by upfront payments received by the Fund as the seller of protection if applicable. In addition to these measures, FMR monitors a variety of factors including cash flow assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/performance risk.
Realized and Change in Unrealized Gain (Loss) on Derivative Instruments. A summary of the Fund's value of derivatives by primary risk exposure as of period end, if any, is included at the end of the Fund's Schedule of Investments. The table below
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5. Investments in Derivative Instruments - continued
Realized and Change in Unrealized Gain (Loss) on Derivative Instruments - continued
reflects the Fund's realized gain (loss) and change in unrealized gain (loss) for derivatives during the period.
Risk Exposure / Derivative Type | Realized Gain (Loss) | Change in |
Credit Risk |
|
|
Swap Agreements | $ (12,866,343) | $ 9,724,297 |
Interest Rate Risk |
|
|
Swap Agreements | 52,096,442 | 29,690,264 |
Total Derivatives Realized and Change in Unrealized Gain (Loss) (a)(b) | $ 39,230,099 | $ 39,414,561 |
(a) Total derivatives realized gain (loss) included in the Statement of Operations is comprised of $39,230,099 for swap agreements.
(b) Total derivatives change in unrealized gain (loss) included in the Statement of Operations is comprised of $39,414,561 for swap agreements.
6. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities, U.S. government securities and liquidations and redemptions executed in-kind from Affiliated Central Funds, aggregated $2,127,349,029 and $2,708,644,992, respectively.
7. Fees and Other Transactions with Affiliates.
Management Fee. FMR and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .20% of the Fund's average net assets and a group fee rate that averaged .12% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by FMR. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the period, the total annual management fee rate was .32% of the Fund's average net assets.
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Notes to Financial Statements - continued
7. Fees and Other Transactions with Affiliates - continued
Distribution and Service Plan. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Certain classes pay Fidelity Distributors Corporation (FDC), an affiliate of FMR, separate Distribution and Service Fees, each of which is based on an annual percentage of each class' average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services. For the period, the Distribution and Service Fee rates and the total amounts paid to and retained by FDC were as follows:
| Distribution | Service | Paid to | Retained |
Class A | 0% | .25% | $ 206,573 | $ 13,873 |
Class T | 0% | .25% | 101,105 | 1,636 |
Class B | .65% | .25% | 75,509 | 54,592 |
Class C | .75% | .25% | 371,013 | 76,285 |
|
|
| $ 754,200 | $ 146,386 |
Sales Load. FDC receives a front-end sales charge of up to 4.00% for selling Class A shares and Class T shares, some of which is paid to financial intermediaries for selling shares of the Fund. FDC receives the proceeds of contingent deferred sales charges levied on Class A, Class T, Class B, and Class C redemptions. These charges depend on the holding period. The deferred sales charges range from 5% to 1% for Class B, 1% for Class C, ..75% to .50% for certain purchases of Class A shares and .25% for certain purchases of Class T shares.
For the period, sales charge amounts retained by FDC were as follows:
| Retained |
Class A | $ 32,808 |
Class T | 4,757 |
Class B* | 42,910 |
Class C* | 7,798 |
| $ 88,273 |
* When Class B and Class C shares are initially sold, FDC pays commissions from its own resources to financial intermediaries through which the sales are made.
Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of FMR, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of each respective class of the Fund, with the exception of Total Bond and Class F. FIIOC receives an asset-based fee of .10% of Total Bond's average net assets. FIIOC receives no fees for
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7. Fees and Other Transactions with Affiliates - continued
Transfer Agent Fees - continued
providing transfer agency services to Class F. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, the total transfer agent fees paid by each applicable class were as follows:
| Amount | % of |
Class A | $ 163,866 | .20 |
Class T | 101,206 | .25 |
Class B | 23,463 | .28 |
Class C | 62,409 | .17 |
Total Bond | 9,043,406 | .10 |
Institutional Class | 1,452,084 | .18 |
| $ 10,846,434 |
|
Fundwide Operations Fee. Pursuant to the Fundwide Operations and Expense Agreement (FWOE), FMR has agreed to provide for fund level expenses (which do not include transfer agent, Rule 12b-1 fees, compensation of the independent Trustees, interest (including commitment fees), taxes or extraordinary expenses, if any) in return for a FWOE fee equal to .35% less the total amount of the management fee. The FWOE paid by the Fund is reduced by an amount equal to the fees and expenses paid to the independent Trustees. For the period, the FWOE fee was equivalent to an annual rate of .03% of average net assets.
8. Other Affiliated Transaction.
Other Affiliated Transactions. During the period, certain Fidelity Central Funds in which the Fund was invested were each liquidated pursuant to a Plan of Liquidation and Dissolution approved by the Central Fund Board. Under the plan, each Central Fund distributed in-kind all of its net assets to its shareholders pro rata at its net asset value (NAV) per share as of the close of business on the liquidation date.
Annual Report
Notes to Financial Statements - continued
8. Other Affiliated Transaction - continued
Other Affiliated Transactions - continued
As a result, the Fund received cash and securities, including accrued interest, as noted in the following table.
Liquidation | Central Fund | Value of Cash and Securities Received (including accrued interest) | Shares of |
01/23/09 (a) | Fidelity Ultra-Short Central Fund | $ 301,876,510 | 4,827,993 |
04/17/09 (b) | Fidelity Commercial Mortgage-Backed Securities Central Fund | $ 450,179,305 | 6,245,706 |
06/26/09 (b) | Fidelity 1-3 Year Duration Securitized Bond Central Fund | $ 116,145,174 | 1,493,890 |
(a) The Fund recognized a loss as the transaction was considered taxable to the Fund for federal income tax purposes.
(b) Because the Central Fund was a partnership for federal income tax purposes, the liquidation generally was tax free to the Fund.
On February 20, 2009, the Fund redeemed in-kind 9,773,856 shares of Fidelity Corporate Bond 1-10 Year Central Fund ("1-10 Year"), a Fidelity Central Fund in which the Fund invests, valued at $879,717,481 by receiving cash and securities of equal value, including accrued interest. Because 1-10 Year was a partnership for federal income tax purposes, the redemption generally was tax free to the Fund.
9. Committed Line of Credit.
The Fund participates with other funds managed by FMR in a $3.5 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $45,943 and is reflected in Miscellaneous Expense on the Statement of Operations. During the period, there were no borrowings on this line of credit.
10. Security Lending.
The Fund lends portfolio securities from time to time in order to earn additional income. On the settlement date of the loan, the Fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the Fund and any additional required collateral is delivered to the Fund on the next business day. If the borrower defaults on its obligation
Annual Report
10. Security Lending - continued
to return the securities loaned because of insolvency or other reasons, a fund could experience delays and costs in recovering the securities loaned or in gaining access to the collateral. Any cash collateral received is invested in cash equivalents. The value of loaned securities and cash collateral at period end are disclosed on the Fund's Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less fees and expenses associated with the loan, plus any premium payments that may be received on the loan of certain types of securities. Security lending income is presented in the Statement of Operations as a component of interest income. Net income from lending portfolio securities during the period amounted to $371,839.
11. Expense Reductions.
Through arrangements with the Fund's custodian and each class' transfer agent, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's custody expenses by $150,854. During the period, credits reduced each class' transfer agent expense as noted in the table below.
| Transfer Agent |
|
Total Bond | $ 20,536 |
|
12. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Years ended August 31, | 2009 A | 2008 |
From net investment income |
|
|
Class A | $ 3,847,702 | $ 3,361,032 |
Class T | 1,872,372 | 2,139,983 |
Class B | 334,350 | 357,685 |
Class C | 1,445,182 | 975,717 |
Total Bond | 454,620,480 | 451,129,055 |
Class F | 2,418 | - |
Institutional Class | 41,289,271 | 43,904,045 |
Total | $ 503,411,775 | $ 501,867,517 |
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Notes to Financial Statements - continued
12. Distributions to Shareholders - continued
Years ended August 31, | 2009 A | 2008 |
From net realized gain |
|
|
Class A | $ 551,756 | $ 158,977 |
Class T | 276,592 | 118,778 |
Class B | 67,464 | 17,979 |
Class C | 216,528 | 58,576 |
Total Bond | 64,472,390 | 22,110,637 |
Institutional Class | 5,933,195 | 2,043,837 |
Total | $ 71,517,925 | $ 24,508,784 |
A Distributions for Class F are for the period June 26, 2009 (commencement of sale of shares) to August 31, 2009.
13. Share Transactions.
Transactions for each class of shares were as follows:
| Shares | Dollars | ||
Years ended August 31, | 2009 A | 2008 | 2009 A | 2008 |
Class A |
|
|
|
|
Shares sold | 5,984,791 | 5,588,201 | $ 57,444,987 | $ 57,565,572 |
Reinvestment of distributions | 406,888 | 305,321 | 3,861,183 | 3,130,894 |
Shares redeemed | (3,902,315) | (2,555,919) | (36,894,839) | (26,109,819) |
Net increase (decrease) | 2,489,364 | 3,337,603 | $ 24,411,331 | $ 34,586,647 |
Class T |
|
|
|
|
Shares sold | 2,362,273 | 2,804,342 | $ 22,525,326 | $ 28,824,011 |
Reinvestment of distributions | 212,303 | 209,490 | 2,007,899 | 2,149,894 |
Shares redeemed | (1,724,975) | (3,292,088) | (16,315,286) | (33,740,425) |
Net increase (decrease) | 849,601 | (278,256) | $ 8,217,939 | $ (2,766,520) |
Class B |
|
|
|
|
Shares sold | 554,201 | 792,814 | $ 5,314,152 | $ 8,188,014 |
Reinvestment of distributions | 28,612 | 25,155 | 270,597 | 258,101 |
Shares redeemed | (659,643) | (449,829) | (6,193,443) | (4,577,167) |
Net increase (decrease) | (76,830) | 368,140 | $ (608,694) | $ 3,868,948 |
Class C |
|
|
|
|
Shares sold | 4,153,350 | 1,925,088 | $ 39,736,399 | $ 19,771,131 |
Reinvestment of distributions | 152,104 | 87,624 | 1,446,118 | 898,560 |
Shares redeemed | (1,718,977) | (993,539) | (16,256,813) | (10,165,574) |
Net increase (decrease) | 2,586,477 | 1,019,173 | $ 24,925,704 | $ 10,504,117 |
Annual Report
13. Share Transactions - continued
| Shares | Dollars | ||
Years ended August 31, | 2009 A | 2008 | 2009 A | 2008 |
Total Bond |
|
|
|
|
Shares sold | 373,151,213 | 547,722,071 | $ 3,605,197,725 | $ 5,645,252,478 |
Reinvestment of distributions | 53,605,881 | 45,012,353 | 507,857,810 | 461,616,494 |
Shares redeemed | (360,364,229) | (230,103,358) | (3,408,960,293) | (2,368,082,060) |
Net increase (decrease) | 66,392,865 | 362,631,066 | $ 704,095,242 | $ 3,738,786,912 |
Class F |
|
|
|
|
Shares sold | 33,569 | - | $ 332,941 | $ - |
Reinvestment of distributions | 236 | - | 2,418 | - |
Shares redeemed | (1,783) | - | (18,285) | - |
Net increase (decrease) | 32,022 | - | $ 317,074 | $ - |
Institutional Class |
|
|
|
|
Shares sold | 13,719,215 | 78,780,201 | $ 128,522,571 | $ 814,530,864 |
Reinvestment of distributions | 4,940,454 | 4,451,142 | 46,673,580 | 45,563,586 |
Shares redeemed | (26,671,015) | (22,980,579) | (252,440,017) | (232,333,078) |
Net increase (decrease) | (8,011,346) | 60,250,764 | $ (77,243,866) | $ 627,761,372 |
A Share transactions for Class F are for the period June 26, 2009 (commencement of sale of shares) to August 31, 2009.
14. Other.
The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
15. Credit Risk.
The Fund invests a portion of its assets, directly or indirectly, in structured securities of issuers backed by residential mortgage loans, credit card receivables and automotive loans. The value and related income of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults.
Annual Report
Report of Independent Registered Public Accounting Firm
To the Trustees of Fidelity Income Fund and the Shareholders of Fidelity Total Bond Fund:
In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Fidelity Total Bond Fund (a fund of Fidelity Income Fund) at August 31, 2009, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Fidelity Total Bond Fund's management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at August 31, 2009 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
PricewaterhouseCoopers LLP
Boston, Massachusetts
October 26, 2009
Annual Report
Trustees and Officers
The Trustees and executive officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, and review the fund's performance. Except for James C. Curvey, each of the Trustees oversees 187 funds advised by FMR or an affiliate. Mr. Curvey oversees 407 funds advised by FMR or an affiliate.
The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust. Each Trustee who is not an interested person (as defined in the 1940 Act) (Independent Trustee), shall retire not later than the last day of the calendar year in which his or her 72nd birthday occurs. The Independent Trustees may waive this mandatory retirement age policy with respect to individual Trustees. The executive officers hold office without limit in time, except that any officer may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.
The fund's Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-8544.
Interested Trustees*:
Correspondence intended for each Trustee who is an interested person may be sent to Fidelity Investments, 82 Devonshire Street, Boston, Massachusetts 02109.
Name, Age; Principal Occupation | |
Abigail P. Johnson (47) | |
| Year of Election or Appointment: 2009 Ms. Johnson is Trustee and Chairman of the Board of Trustees of certain Trusts. Ms. Johnson serves as President of Personal and Workplace Investing (2005-present). Ms. Johnson is a Director of FMR LLC. Previously, Ms. Johnson served as President and a Director of FMR (2001- |
James C. Curvey (74) | |
| Year of Election or Appointment: 2007 Mr. Curvey also serves as Trustee (2007-present) of other investment companies advised by FMR. Mr. Curvey is a Director of FMR and FMR Co., Inc. (2007-present). Mr. Curvey is also Vice Chairman (2006- |
* Trustees have been determined to be "Interested Trustees" by virtue of, among other things, their affiliation with the trust or various entities under common control with FMR.
Independent Trustees:
Correspondence intended for each Independent Trustee (that is, the Trustees other than the Interested Trustees) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.
Name, Age; Principal Occupation | |
Albert R. Gamper, Jr. (67) | |
| Year of Election or Appointment: 2006 Prior to his retirement in December 2004, Mr. Gamper served as Chairman of the Board of CIT Group Inc. (commercial finance). During his tenure with CIT Group Inc. Mr. Gamper served in numerous senior management positions, including Chairman (1987-1989; 1999-2001; 2002-2004), Chief Executive Officer (1987-2004), and President. Mr. Gamper currently serves as a member of the Board of Directors of Public Service Enterprise Group (utilities), a member of the Board of Trustees, Rutgers University (2004-present), and Chairman of the Board of Saint Barnabas Health Care System. Previously, Mr. Gamper served as Chairman of the Board of Governors, Rutgers University (2004-2007). |
Arthur E. Johnson (62) | |
| Year of Election or Appointment: 2008 Mr. Johnson serves as a member of the Board of Directors of Eaton Corporation (diversified power management, 2009-present) and AGL Resources, Inc. (holding company). Previously, Mr. Johnson served as Senior Vice President of Corporate Strategic Development of Lockheed Martin Corporation (defense contractor, 1999-2009), and on the Board of Directors of IKON Office Solutions, Inc. (1999-2008). Mr. Arthur E. Johnson and Ms. Abigail P. Johnson are not related. |
Michael E. Kenneally (55) | |
| Year of Election or Appointment: 2009 Mr. Kenneally also serves as Trustee (2009-present) or Member of the Advisory Board (2008-present) of other Fidelity Fixed Income and Asset Allocation Funds. Previously, Mr. Kenneally served as Chairman and Global Chief Executive Officer of Credit Suisse Asset Management (2003-2005). Mr. Kenneally was a Director of The Credit Suisse Funds (U.S. Mutual Fund, 2004-2008) and was awarded the Chartered Financial Analyst (CFA) designation in 1991. |
James H. Keyes (68) | |
| Year of Election or Appointment: 2007 Mr. Keyes serves as a member of the Boards of Navistar International Corporation (manufacture and sale of trucks, buses, and diesel engines) and Pitney Bowes, Inc. (integrated mail, messaging, and document management solutions). Previously, Mr. Keyes served as a member of the Board of LSI Logic Corporation (semiconductor technologies, 1984-2008). |
Marie L. Knowles (62) | |
| Year of Election or Appointment: 2001 Prior to Ms. Knowles' retirement in June 2000, she served as Executive Vice President and Chief Financial Officer of Atlantic Richfield Company (ARCO) (diversified energy, 1996-2000). From 1993 to 1996, she was a Senior Vice President of ARCO and President of ARCO Transportation Company. She served as a Director of ARCO from 1996 to 1998. Ms. Knowles currently serves as a Director of McKesson Corporation (healthcare service). Ms. Knowles is an Honorary Trustee of the Brookings Institution and a member of the Board of the Catalina Island Conservancy and of the Santa Catalina Island Company (2009-present). She also serves as a member of the Advisory Board for the School of Engineering of the University of Southern California and the Foundation Board of the School of Architecture at the University of Virginia (2007-present). Previously, Ms. Knowles served as a Director of Phelps Dodge Corporation (copper mining and manufacturing, 1994-2007). |
Kenneth L. Wolfe (70) | |
| Year of Election or Appointment: 2005 Mr. Wolfe served as Chairman and a Director (2007-2009) and Chairman and Chief Executive Officer of Hershey Foods Corporation, and as a member of the Boards of Adelphia Communications Corporation (telecommunications, 2003-2006), Bausch & Lomb, Inc. (medical/pharmaceutical, 1993-2007), and Revlon, Inc. (2004-2009). |
Annual Report
Trustees and Officers - continued
Executive Officers:
Correspondence intended for each executive officer may be sent to Fidelity Investments, 82 Devonshire Street, Boston, Massachusetts 02109.
Name, Age; Principal Occupation | |
John R. Hebble (51) | |
| Year of Election or Appointment: 2008 President and Treasurer of Fidelity's Fixed Income and Asset Allocation Funds. Mr. Hebble also serves as Assistant Treasurer of other Fidelity funds (2009-present) and is an employee of Fidelity Investments. |
Boyce I. Greer (53) | |
| Year of Election or Appointment: 2005 or 2006 Vice President of Fidelity's Fixed Income Funds (2006) and Asset Allocation Funds (2005). Mr. Greer is also a Trustee of other investment companies advised by FMR. Mr. Greer is President of the Asset Allocation Division (2008-present), President and a Director of Strategic Advisers, Inc. (2008-present), President and a Director of Fidelity Investments Money Management, Inc. (2007-present), and an Executive Vice President of FMR and FMR Co., Inc. (2005-present). Previously, Mr. Greer served as a Director and Managing Director of Strategic Advisers, Inc. (2002-2005). |
Christopher P. Sullivan (55) | |
| Year of Election or Appointment: 2009 Vice President of Fidelity's Bond Funds. Mr. Sullivan also serves as President of Fidelity's Bond Group (2009-present). Previously, Mr. Sullivan served as Managing Director, Co-Head of U.S. Fixed Income at Goldman Sachs Asset Management (2001-2009). |
Scott C. Goebel (41) | |
| Year of Election or Appointment: 2008 Secretary and Chief Legal Officer (CLO) of the Fidelity funds. Mr. Goebel also serves as General Counsel, Secretary, and Senior Vice President of FMR (2008-present) and FMR Co., Inc. (2008-present); Deputy General Counsel of FMR LLC; Chief Legal Officer of Fidelity Management & Research (Hong Kong) Limited (2008-present) and Assistant Secretary of Fidelity Management & Research (Japan) Inc. (2008-present), Fidelity Investments Money Management, Inc. (2008- |
Holly C. Laurent (55) | |
| Year of Election or Appointment: 2008 Anti-Money Laundering (AML) Officer of the Fidelity funds. Ms. Laurent is an employee of Fidelity Investments. Previously, Ms. Laurent was Senior Vice President and Head of Legal for Fidelity Business Services India Pvt. Ltd. (2006-2008), and Senior Vice President, Deputy General Counsel and Group Head for FMR LLC (2005-2006). |
Christine Reynolds (50) | |
| Year of Election or Appointment: 2008 Chief Financial Officer of the Fidelity funds. Ms. Reynolds became President of Fidelity Pricing and Cash Management Services (FPCMS) in August 2008. Ms. Reynolds served as Chief Operating Officer of FPCMS (2007-2008). Previously, Ms. Reynolds served as President, Treasurer, and Anti-Money Laundering officer of the Fidelity funds (2004-2007). |
Michael H. Whitaker (42) | |
| Year of Election or Appointment: 2008 Chief Compliance Officer of Fidelity's Fixed Income and Asset Allocation Funds. Mr. Whitaker is an employee of Fidelity Investments (2007- |
Jeffrey S. Christian (47) | |
| Year of Election or Appointment: 2009 Deputy Treasurer of the Fidelity funds. Mr. Christian also serves as Chief Financial Officer of other Fidelity funds (2008-present) and is an employee of Fidelity Investments. Previously, Mr. Christian served as Senior Vice President of Fidelity Pricing and Cash Management Services (FPCMS) (2004-2009) and as Vice President of Business Analysis (2003-2004). |
Bryan A. Mehrmann (48) | |
| Year of Election or Appointment: 2005 Deputy Treasurer of the Fidelity funds. Mr. Mehrmann is an employee of Fidelity Investments. Previously, Mr. Mehrmann served as Vice President of Fidelity Investments Institutional Services Group (FIIS)/Fidelity Investments Institutional Operations Company, Inc. (FIIOC) Client Services (1998-2004). |
Stephanie J. Dorsey (40) | |
| Year of Election or Appointment: 2008 Deputy Treasurer of Fidelity's Fixed Income and Asset Allocation Funds. Ms. Dorsey is an employee of Fidelity Investments (2008-present). Previously, Ms. Dorsey served as Treasurer (2004-2008) of the JPMorgan Mutual Funds and Vice President (2004-2008) of JPMorgan Chase Bank. |
Paul M. Murphy (62) | |
| Year of Election or Appointment: 2007 Assistant Treasurer of the Fidelity funds. Mr. Murphy is an employee of Fidelity Investments. Previously, Mr. Murphy served as Chief Financial Officer of the Fidelity funds (2005-2006), Vice President and Associate General Counsel of FMR (2007), and Senior Vice President of Fidelity Pricing and Cash Management Services (FPCMS) (1994-2007). |
Kenneth B. Robins (40) | |
| Year of Election or Appointment: 2009 Assistant Treasurer of the Fidelity Fixed Income and Asset Allocation Funds. Mr. Robins also serves as President and Treasurer of other Fidelity funds and is an employee of Fidelity Investments (2004-present). Before joining Fidelity Investments, Mr. Robins worked at KPMG LLP, where he was a partner in KPMG's department of professional practice (2002-2004). |
Gary W. Ryan (51) | |
| Year of Election or Appointment: 2005 Assistant Treasurer of the Fidelity funds. Mr. Ryan is an employee of Fidelity Investments. Previously, Mr. Ryan served as Vice President of Fund Reporting in Fidelity Pricing and Cash Management Services (FPCMS) (1999-2005). |
Annual Report
Distributions (Unaudited)
A total of 1.54% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.
The fund designates $403,612,312 of distributions paid during the period January 1, 2009 to August 31, 2009 as qualifying to be taxed as interest-related dividends for nonresident alien shareholders.
The fund will notify shareholders in January 2010 of amounts for use in preparing 2009 income tax returns.
Annual Report
Proxy Voting Results
A special meeting of the fund's shareholders was held on July 15, 2009. The results of votes taken among shareholders on the proposals before them are reported below. Each vote reported represents one dollar of net asset value held on the record date for the meeting.
PROPOSAL 1 | ||
To elect a Board of Trustees.A | ||
| # of | % of |
James C. Curvey | ||
Affirmative | 14,013,293,778.94 | 95.195 |
Withheld | 707,255,451.85 | 4.805 |
TOTAL | 14,720,549,230.79 | 100.000 |
Albert R. Gamper, Jr. | ||
Affirmative | 14,076,416,168.78 | 95.624 |
Withheld | 644,133,062.01 | 4.376 |
TOTAL | 14,720,549,230.79 | 100.000 |
Abigail P. Johnson | ||
Affirmative | 14,008,124,232.06 | 95.160 |
Withheld | 712,424,998.73 | 4.840 |
TOTAL | 14,720,549,230.79 | 100.000 |
Arthur E. Johnson | ||
Affirmative | 14,050,921,135.52 | 95.451 |
Withheld | 669,628,095.27 | 4.549 |
TOTAL | 14,720,549,230.79 | 100.000 |
Michael E. Kenneally | ||
Affirmative | 14,109,579,658.34 | 95.850 |
Withheld | 610,969,572.45 | 4.150 |
TOTAL | 14,720,549,230.79 | 100.000 |
James H. Keyes | ||
Affirmative | 14,092,011,663.11 | 95.730 |
Withheld | 628,537,567.68 | 4.270 |
TOTAL | 14,720,549,230.79 | 100.000 |
Marie L. Knowles | ||
Affirmative | 14,092,143,532.07 | 95.731 |
Withheld | 628,405,698.72 | 4.269 |
TOTAL | 14,720,549,230.79 | 100.000 |
Kenneth L. Wolfe | ||
Affirmative | 14,052,555,742.75 | 95.462 |
Withheld | 667,993,488.04 | 4.538 |
TOTAL | 14,720,549,230.79 | 100.000 |
PROPOSAL 2 | ||
To amend the Declaration of Trust to reduce the required quorum for future shareholder meetings.A | ||
| # of | % of |
Affirmative | 10,799,375,525.31 | 73.363 |
Against | 2,448,219,135.99 | 16.631 |
Abstain | 720,949,491.20 | 4.898 |
Broker | 752,005,078.29 | 5.108 |
TOTAL | 14,720,549,230.79 | 100.000 |
A Denotes trust-wide proposal and voting results.
Annual Report
Board Approval of Investment Advisory Contracts and Management Fees
Fidelity Total Bond Fund
On May 21, 2009, the Board of Trustees, including the Independent Trustees (together, the Board), voted to continue the management contract and subadvisory agreements (together, the Advisory Contracts) for the fund for four months, through September 30, 2009, in connection with the reorganization of the Board's new meeting schedule. The Board considered that the contractual terms of and fees payable under the fund's Advisory Contracts involve no changes in (i) the investment process or strategies employed in the management of the fund's assets; (ii) the nature or level of services provided under the fund's Advisory Contracts; or (iii) the day-to-day management of the fund or the persons primarily responsible for such management. The Board concluded that the fund's Advisory Contracts are fair and reasonable, and that the fund's Advisory Contracts should be renewed, without modification, through September 30, 2009, with the understanding that the Board will consider their renewal in September 2009.
Annual Report
Managing Your Investments
Fidelity offers several ways to conveniently manage your personal investments via your telephone or PC. You can access your account information, conduct trades and research your investments 24 hours a day.
By Phone
Fidelity Automated Service Telephone provides a single toll-free number to access account balances, positions, quotes and trading. It's easy to navigate the service, and on your first call, the system will help you create a personal identification number (PIN) for security.
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Fidelity Automated
Service Telephone (FAST®)
1-800-544-5555
Press
For mutual fund and brokerage trading.
For quotes.*
For account balances and holdings.
To review orders and mutual
fund activity.
To change your PIN.
To speak to a Fidelity representative.
By PC
Fidelity's web site on the Internet provides a wide range of information, including daily financial news, fund performance, interactive planning tools and news about Fidelity products and services.
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Fidelity's Web Site
www.fidelity.com
* When you call the quotes line, please remember that a fund's yield and return will vary and, except for money market funds, share price will also vary. This means that you may have a gain or loss when you sell your shares. There is no assurance that money market funds will be able to maintain a stable $1 share price; an investment in a money market fund is not insured or guaranteed by the U.S. government. Total returns are historical and include changes in share price, reinvestment of dividends and capital gains, and the effects of any sales charges.
Annual Report
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For directions and hours,
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Fidelity Brokerage Services, Inc., 100 Summer St., Boston, MA 02110 Member NYSE/SIPC
Annual Report
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Annual Report
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Fidelity Investments
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Covington, KY 41015
General Correspondence
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Merrimack, NH 03054-0500
Annual Report
Annual Report
Investment Adviser
Fidelity Management & Research Company
Boston, MA
Investment Sub-Advisers
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TBD-UANN-1009 1.789712.106
Fidelity
Total Bond
Fund -
Class F
Annual Report
August 31, 2009
(2_fidelity_logos) (Registered_Trademark)
Contents
Chairman's Message | The Chairman's message to shareholders. | |
Performance | How the fund has done over time. | |
Management's Discussion | The manager's review of fund performance, strategy and outlook. | |
Shareholder Expense Example | An example of shareholder expenses. | |
Investment Changes | A summary of major shifts in the fund's investments over the past six months. | |
Investments | A complete list of the fund's investments with their market values. | |
Financial Statements | Statements of assets and liabilities, operations, and changes in net assets, | |
Notes | Notes to the financial statements. | |
Report of Independent Registered Public Accounting Firm |
| |
Trustees and Officers |
| |
Distributions |
| |
Proxy Voting Results |
| |
Board Approval of Investment Advisory Contracts and Management Fees |
|
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov. You may also call 1-800-835-5092 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company.
Annual Report
This report and the financial statements contained herein are submitted for the general information of the shareholders of the fund. This report is not authorized for distribution to prospective investors in the fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com or http://www.advisor.fidelity.com, as applicable.
NOT FDIC INSURED · MAY LOSE VALUE · NO BANK GUARANTEE
Neither the fund nor Fidelity Distributors Corporation is a bank.
Annual Report
Chairman's Message
Dear Shareholder:
We've seen a welcome uptick in the global equity markets this spring and summer, as signs of stabilization in some economic indicators have brought many investors back into the marketplace. But there remain other key measures - notably high unemployment and slack consumer spending - that suggest the road back to economic health could still be a bumpy ride. Financial markets are always unpredictable, of course, but there also are several time-tested investment principles that can help put the historical odds in your favor.
One of the basic tenets is to invest for the long term. Over time, riding out the markets' inevitable ups and downs has proven much more effective than selling into panic or chasing the hottest trend. Even missing only a few of the markets' best days can significantly diminish investor returns. Patience also affords the benefits of compounding - of earning interest on additional income or reinvested dividends and capital gains. There can be tax advantages and cost benefits to consider as well. While staying the course doesn't eliminate risk, it can considerably lessen the effect of short-term declines.
You can further manage your investing risk through diversification. And today, more than ever, geographic diversification should be taken into account. Studies indicate that asset allocation is the single most important determinant of a portfolio's long-term success. The right mix of stocks, bonds and cash - aligned to your particular risk tolerance and investment objective - is very important. Age-appropriate rebalancing is also an essential aspect of asset allocation. For younger investors, an emphasis on equities - which historically have been the best-performing asset class over time - is encouraged. As investors near their specific goal, such as retirement or sending a child to college, consideration may be given to replacing volatile assets (e.g. common stocks) with more-stable fixed investments (bonds or savings plans).
A third principle - investing regularly - can help lower the average cost of your purchases. Investing a certain amount of money each month or quarter helps ensure you won't pay for all your shares at market highs. This strategy - known as dollar cost averaging - also reduces "emotion" from investing, helping shareholders avoid selling weak performers just prior to an upswing, or chasing a hot performer just before a correction.
We invite you to contact us via the Internet, through our Investor Centers or by phone. It is our privilege to provide you the information you need to make the investments that are right for you.
Sincerely,
/s/Abigail P. Johnson
Abigail P. Johnson
Annual Report
Performance: The Bottom Line
Average annual total return reflects the change in the value of an investment, assuming reinvestment of the class' dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) and assuming a constant rate of performance each year. The $10,000 table and the fund's returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund's total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.
Average Annual Total Returns
Periods ended August 31, 2009 | Past 1 | Past 5 | Life of fund B |
Class F A | 8.04% | 4.46% | 5.12% |
A The initial offering of Class F shares took place on June 26, 2009. Returns prior to June 26, 2009 are those of Total Bond, the original class of the fund.
B From October 15, 2002.
$10,000 Over Life of Fund
Let's say hypothetically that $10,000 was invested in Fidelity Total Bond Fund - Class F on October 15, 2002, when the fund started. The chart shows how the value of your investment would have changed, and also shows how the Barclays Capital U.S. Aggregate Bond Index performed over the same period. The initial offering of Class F took place on June 26, 2009. See above for additional information regarding the performance of Class F.
Annual Report
Management's Discussion of Fund Performance
Market Recap: While the positive returns of taxable bonds were more encouraging than the negative returns posted by major equity indexes for the year ending August 31, 2009, fixed-income securities rode their own wave of volatility. As the credit crisis resulting from a meltdown in the subprime mortgage market deepened in the beginning of the period, bond investors fled from lower-quality debt instruments and flocked to those with backing from the U.S. government. With government interventions around the world beginning to take root in the later months of the period, however, credit conditions improved and signs of stabilization among certain economic indicators emerged, eliciting greater demand for risk. Consequently, bonds further out on the risk spectrum boasted the largest returns. For the year overall, U.S. investment-grade bonds gained 7.94%, as measured by the Barclays Capital U.S. Aggregate Bond Index.
Comments from Ford O'Neil, Lead Portfolio Manager of Fidelity Total Bond Fund: The fund's Class F shares outpaced the Barclays Capital U.S. Universal Bond Index, which returned 7.38%, and the Aggregate Bond index. (For specific class-level results, please see the performance section of this report.) In reviewing performance, I'll discuss the aggregate of our direct investments and those we made in Fidelity's fixed-income central funds. Sector selection drove results versus the Aggregate Bond index. Specifically, the fund was helped by overweighting corporate bonds and securitized products, while underweighting U.S. government securities - particularly Treasuries. These sector decisions, coupled with favorable security selection overall, helped to offset out-of-index allocations to high-yield and emerging-markets debt. That said, we saw strong excess returns in the emerging markets subportfolio. All spread sectors benefited in the second half from a massive flight to riskier assets. Corporates in particular had a strong showing, with the fund's industrials and utilities holdings showing big gains. Elsewhere, I increased our overweighting in financials, a move that also contributed. High-yield and emerging-markets bonds were helped by similar forces in the second half, although their recent rally wasn't enough to overcome what they lost relative to investment-grade debt early on in the period. I added to our high-yield stake beginning in late 2008, which was a plus for the fund since that time. However, security selection in the sector limited our upside a bit. An out-of-index stake in Treasury Inflation-Protected Securities also detracted. In terms of the fund's structure, I significantly reduced our central fund exposure, while still maintaining many of the same securities via direct holdings.
The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.
Annual Report
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments or redemption proceeds, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The actual expense Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (March 1, 2009 to August 31, 2009) for Class A, Class T, Class B, Class C, Total Bond and Institutional Class and for the entire period (June 26, 2009 to August 31, 2009) for Class F. The hypothetical expense example is based on an investment of $1,000 invested at the beginning of the period and held for the one-half year period (March 1, 2009 to August 31, 2009).
Actual Expenses
The first line of the accompanying table for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Annual Report
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| Annualized | Beginning | Ending | Expenses Paid |
Class A | .79% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,140.70 | $ 4.26 B |
Hypothetical A |
| $ 1,000.00 | $ 1,021.22 | $ 4.02 C |
Class T | .84% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,140.60 | $ 4.53 B |
Hypothetical A |
| $ 1,000.00 | $ 1,020.97 | $ 4.28 C |
Class B | 1.52% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,136.60 | $ 8.19 B |
Hypothetical A |
| $ 1,000.00 | $ 1,017.54 | $ 7.73 C |
Class C | 1.50% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,136.70 | $ 8.08 B |
Hypothetical A |
| $ 1,000.00 | $ 1,017.64 | $ 7.63 C |
Total Bond | .45% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,142.60 | $ 2.43 B |
Hypothetical A |
| $ 1,000.00 | $ 1,022.94 | $ 2.29 C |
Class F | .35% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,046.40 | $ .66 B |
Hypothetical A |
| $ 1,000.00 | $ 1,023.44 | $ 1.79 C |
Institutional Class | .52% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,141.30 | $ 2.81 B |
Hypothetical A |
| $ 1,000.00 | $ 1,022.58 | $ 2.65 C |
A 5% return per year before expenses
B Actual expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period) for Class A, Class T, Class B, Class C, Total Bond and Institutional Class and multiplied by 67/365 (to reflect the period June 26, 2009 to August 31, 2009) for Class F. The fees and expenses of the underlying Fidelity Central Funds in which the Fund invests are not included in the Fund's annualized expense ratio.
C Hypothetical expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).
Annual Report
Investment Changes (Unaudited)
The information in the following tables is based on the combined investments of the Fund and its pro-rata share of its investments in each non-money market Fidelity Central Fund.
Quality Diversification (% of fund's net assets) | |||||||
As of August 31, 2009 | As of February 28, 2009 | ||||||
![]() | U.S. Government and |
| ![]() | U.S. Government and |
| ||
![]() | AAA 6.8% |
| ![]() | AAA 9.5% |
| ||
![]() | AA 3.2% |
| ![]() | AA 4.1% |
| ||
![]() | A 10.1% |
| ![]() | A 10.9% |
| ||
![]() | BBB 15.3% |
| ![]() | BBB 16.3% |
| ||
![]() | BB and Below 15.3% |
| ![]() | BB and Below 13.9% |
| ||
![]() | Not Rated 0.7% |
| ![]() | Not Rated 1.3% |
| ||
![]() | Short-Term |
| ![]() | Short-Term |
|
We have used ratings from Moody's® Investors Services, Inc. Where Moody's ratings are not available, we have used S&P® ratings. All ratings are as of the report date and do not reflect subsequent downgrades. Securities rated BB or below were rated investment grade at the time of acquisition. |
Weighted Average Maturity as of August 31, 2009 | ||
|
| 6 months ago |
Years | 5.5 | 5.7 |
The weighted average maturity is based on the dollar-weighted average length of time until principal payments are expected or until securities reach maturity, taking into account any maturity shortening feature such as a call, refunding or redemption provision. |
Duration as of August 31, 2009 | ||
|
| 6 months ago |
Years | 3.7 | 3.6 |
Duration shows how much a bond fund's price fluctuates with changes in comparable interest rates. If rates rise 1%, for example, a fund with a five-year duration is likely to lose about 5% of its value. Other factors also can influence a bond fund's performance and share price. Accordingly, a bond fund's actual performance may differ from this example. |
Asset Allocation (% of fund's net assets) | |||||||
As of August 31, 2009* | As of February 28, 2009** | ||||||
![]() | Corporate Bonds 34.8% |
| ![]() | Corporate Bonds 36.7% |
| ||
![]() | U.S. Government and |
| ![]() | U.S. Government and |
| ||
![]() | Asset-Backed |
| ![]() | Asset-Backed |
| ||
![]() | CMOs and Other |
| ![]() | CMOs and Other |
| ||
![]() | Municipal Bonds 0.2% |
| ![]() | Municipal Bonds 0.4% |
| ||
![]() | Other Investments 6.5% |
| ![]() | Other Investments 6.2% |
| ||
![]() | Short-Term |
| ![]() | Short-Term |
|
* Foreign investments | 9.0% |
| ** Foreign investments | 9.0% |
| ||
* Futures and Swaps | 8.8% |
| ** Futures and Swaps | 12.2% |
|
† Short-term Investments and Net Other Assets are not included in the pie chart.
†† Includes FDIC Guaranteed Corporate Securities.
A holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds is available at fidelity.com and/or advisor.fidelity.com, as applicable.
Annual Report
Investments August 31, 2009
Showing Percentage of Net Assets
Corporate Bonds - 28.1% | ||||
| Principal Amount (d) | Value | ||
Convertible Bonds - 0.1% | ||||
ENERGY - 0.0% | ||||
Oil, Gas & Consumable Fuels - 0.0% | ||||
Chesapeake Energy Corp. 2.5% 5/15/37 | $ 2,086,000 | $ 1,635,007 | ||
FINANCIALS - 0.0% | ||||
Real Estate Investment Trusts - 0.0% | ||||
Ventas, Inc. 3.875% 11/15/11 (h) | 1,140,000 | 1,190,650 | ||
Vornado Realty Trust 2.85% 4/1/27 | 510,000 | 465,406 | ||
| 1,656,056 | |||
Real Estate Management & Development - 0.0% | ||||
ERP Operating LP 3.85% 8/15/26 | 270,000 | 263,185 | ||
TOTAL FINANCIALS | 1,919,241 | |||
INDUSTRIALS - 0.0% | ||||
Electrical Equipment - 0.0% | ||||
General Cable Corp. 1% 10/15/12 | 2,580,000 | 2,168,748 | ||
INFORMATION TECHNOLOGY - 0.1% | ||||
Communications Equipment - 0.1% | ||||
Lucent Technologies, Inc. 2.875% 6/15/25 | 2,841,800 | 2,273,355 | ||
TOTAL CONVERTIBLE BONDS | 7,996,351 | |||
Nonconvertible Bonds - 28.0% | ||||
CONSUMER DISCRETIONARY - 3.3% | ||||
Auto Components - 0.1% | ||||
Affinia Group, Inc. 10.75% 8/15/16 (h) | 330,000 | 339,900 | ||
ArvinMeritor, Inc. 8.125% 9/15/15 | 3,250,000 | 2,437,500 | ||
DaimlerChrysler NA Holding Corp.: | ||||
5.75% 9/8/11 | 5,595,000 | 5,866,783 | ||
5.875% 3/15/11 | 2,077,000 | 2,161,540 | ||
RSC Equipment Rental, Inc. 10% 7/15/17 (h) | 1,170,000 | 1,240,200 | ||
Tenneco, Inc. 8.625% 11/15/14 | 1,750,000 | 1,531,250 | ||
The Goodyear Tire & Rubber Co. 10.5% 5/15/16 | 2,120,000 | 2,268,400 | ||
TRW Automotive, Inc. 7% 3/15/14 (h) | 900,000 | 783,000 | ||
| 16,628,573 | |||
Automobiles - 0.0% | ||||
Ford Motor Co.: | ||||
6.375% 2/1/29 | 1,465,000 | 981,550 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Automobiles - continued | ||||
Ford Motor Co.: - continued | ||||
6.625% 10/1/28 | $ 2,475,000 | $ 1,683,000 | ||
7.45% 7/16/31 | 2,200,000 | 1,683,000 | ||
| 4,347,550 | |||
Diversified Consumer Services - 0.0% | ||||
Affinion Group, Inc.: | ||||
10.125% 10/15/13 (h) | 1,070,000 | 1,061,975 | ||
11.5% 10/15/15 | 1,005,000 | 964,800 | ||
Service Corp. International 7.5% 4/1/27 | 1,935,000 | 1,635,075 | ||
ServiceMaster Co. 10.75% 7/15/15 pay-in-kind (h) | 970,000 | 853,600 | ||
Trustees of Dartmouth College 4.75% 6/1/19 | 1,000 | 1,036 | ||
| 4,516,486 | |||
Hotels, Restaurants & Leisure - 0.6% | ||||
Ameristar Casinos, Inc. 9.25% 6/1/14 (h) | 2,020,000 | 2,060,400 | ||
Carrols Corp. 9% 1/15/13 | 85,000 | 82,663 | ||
Chukchansi Economic Development Authority 8% 11/15/13 (h) | 565,000 | 452,000 | ||
Harrah's Escrow Corp. 11.25% 6/1/17 (h) | 2,635,000 | 2,687,700 | ||
Host Marriott LP: | ||||
6.375% 3/15/15 | 250,000 | 230,000 | ||
7.125% 11/1/13 | 5,360,000 | 5,199,200 | ||
ITT Corp. 7.375% 11/15/15 | 1,130,000 | 1,076,325 | ||
Landry's Restaurants, Inc. 14% 8/15/11 | 1,800,000 | 1,795,500 | ||
Mashantucket Western Pequot Tribe 8.5% 11/15/15 (h) | 4,330,000 | 909,300 | ||
McDonald's Corp. 5.35% 3/1/18 | 2,339,000 | 2,512,219 | ||
MGM Mirage, Inc.: | ||||
8.375% 2/1/11 | 645,000 | 541,800 | ||
8.5% 9/15/10 | 735,000 | 712,950 | ||
Mohegan Tribal Gaming Authority: | ||||
6.125% 2/15/13 | 4,175,000 | 3,423,500 | ||
6.875% 2/15/15 | 210,000 | 144,900 | ||
7.125% 8/15/14 | 1,350,000 | 945,000 | ||
Park Place Entertainment Corp. 7.875% 3/15/10 | 480,000 | 465,600 | ||
Penn National Gaming, Inc. 8.75% 8/15/19 (h) | 2,695,000 | 2,695,000 | ||
Pinnacle Entertainment, Inc. 8.625% 8/1/17 (h) | 2,520,000 | 2,494,800 | ||
Royal Caribbean Cruises Ltd.: | ||||
7.25% 3/15/18 | 465,000 | 365,025 | ||
11.875% 7/15/15 | 1,450,000 | 1,479,000 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Hotels, Restaurants & Leisure - continued | ||||
Royal Caribbean Cruises Ltd.: - continued | ||||
yankee: | ||||
7% 6/15/13 | $ 3,000,000 | $ 2,662,500 | ||
7.25% 6/15/16 | 4,285,000 | 3,492,275 | ||
7.5% 10/15/27 | 2,025,000 | 1,420,031 | ||
Scientific Games Corp.: | ||||
7.875% 6/15/16 (h) | 2,145,000 | 2,043,113 | ||
9.25% 6/15/19 (h) | 1,845,000 | 1,863,450 | ||
Seminole Hard Rock Entertainment, Inc. 3.1294% 3/15/14 (h)(o) | 3,010,000 | 2,287,600 | ||
Seneca Gaming Corp.: | ||||
Series B, 7.25% 5/1/12 | 945,000 | 888,300 | ||
7.25% 5/1/12 | 1,760,000 | 1,654,400 | ||
Snoqualmie Entertainment Authority: | ||||
4.68% 2/1/14 (h)(o) | 140,000 | 68,600 | ||
9.125% 2/1/15 (h) | 1,100,000 | 605,000 | ||
Speedway Motorsports, Inc. 8.75% 6/1/16 (h) | 1,855,000 | 1,887,463 | ||
Starwood Hotels & Resorts Worldwide, Inc.: | ||||
6.25% 2/15/13 | 1,200,000 | 1,131,000 | ||
7.875% 5/1/12 | 2,095,000 | 2,105,475 | ||
7.875% 10/15/14 | 2,635,000 | 2,621,825 | ||
Times Square Hotel Trust 8.528% 8/1/26 (h) | 108,352 | 99,207 | ||
Town Sports International Holdings, Inc. 11% 2/1/14 | 2,270,000 | 1,112,300 | ||
Universal City Development Partners Ltd./UCDP Finance, Inc. 11.75% 4/1/10 | 480,000 | 478,800 | ||
Universal City Florida Holding Co. I/II 8.375% 5/1/10 | 3,025,000 | 2,737,625 | ||
Wendy's/Arby's Restaurants LLC 10% 7/15/16 (h) | 3,465,000 | 3,568,950 | ||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.: | ||||
6.625% 12/1/14 | 4,685,000 | 4,312,075 | ||
| 67,312,871 | |||
Household Durables - 0.3% | ||||
D.R. Horton, Inc. 6.5% 4/15/16 | 1,170,000 | 1,082,250 | ||
Fortune Brands, Inc.: | ||||
5.125% 1/15/11 | 4,239,000 | 4,314,997 | ||
5.875% 1/15/36 | 13,274,000 | 11,099,639 | ||
6.375% 6/15/14 | 6,250,000 | 6,387,050 | ||
KB Home 5.875% 1/15/15 | 720,000 | 669,600 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Household Durables - continued | ||||
Lennar Corp. 12.25% 6/1/17 (h) | $ 2,145,000 | $ 2,477,475 | ||
Reliance Intermediate Holdings LP 9.5% 12/15/19 (h) | 3,055,000 | 3,039,725 | ||
Ryland Group, Inc. 8.4% 5/15/17 | 1,855,000 | 1,873,550 | ||
Sealy Mattress Co. 8.25% 6/15/14 | 1,090,000 | 956,475 | ||
| 31,900,761 | |||
Media - 2.0% | ||||
AMC Entertainment, Inc. 8.75% 6/1/19 | 2,740,000 | 2,712,600 | ||
AOL Time Warner, Inc.: | ||||
6.75% 4/15/11 | 1,882,000 | 2,000,782 | ||
6.875% 5/1/12 | 2,441,000 | 2,669,524 | ||
7.625% 4/15/31 | 500,000 | 549,083 | ||
Cablemas SA de CV 9.375% 11/15/15 (Reg. S) | 1,795,000 | 1,934,113 | ||
Charter Communications Holdings I LLC: | ||||
9.92% 4/1/14 (c) | 1,495,000 | 13,081 | ||
11.125% 1/15/14 (c) | 505,000 | 4,419 | ||
Charter Communications Holdings I LLC/Charter Communications Holdings I Capital Corp. 11% 10/1/15 (c) | 5,490,000 | 768,600 | ||
Charter Communications Holdings II LLC/Charter Communications Holdings II Capital Corp. 10.25% 9/15/10 (c) | 3,865,000 | 4,294,981 | ||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.: | ||||
10% 4/30/12 (h)(o) | 3,865,000 | 3,903,650 | ||
10.375% 4/30/14 (h)(o) | 2,220,000 | 2,247,750 | ||
12.875% 9/15/14 (h) | 890,000 | 965,650 | ||
Clear Channel Communications, Inc.: | ||||
4.5% 1/15/10 | 1,060,000 | 935,450 | ||
7.65% 9/15/10 | 710,000 | 532,500 | ||
Comcast Cable Communications, Inc. 6.75% 1/30/11 | 511,000 | 543,423 | ||
Comcast Corp.: | ||||
4.95% 6/15/16 | 1,879,000 | 1,905,774 | ||
5.5% 3/15/11 | 382,000 | 400,901 | ||
5.7% 5/15/18 | 11,968,000 | 12,637,753 | ||
5.85% 1/15/10 | 61,000 | 62,104 | ||
6.45% 3/15/37 | 8,838,000 | 9,427,618 | ||
6.55% 7/1/39 | 9,000,000 | 9,743,382 | ||
COX Communications, Inc.: | ||||
4.625% 1/15/10 | 2,141,000 | 2,164,808 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Media - continued | ||||
COX Communications, Inc.: - continued | ||||
4.625% 6/1/13 | $ 4,467,000 | $ 4,603,503 | ||
6.25% 6/1/18 (h) | 1,055,000 | 1,122,791 | ||
6.45% 12/1/36 (h) | 913,000 | 936,639 | ||
6.95% 6/1/38 (h) | 452,000 | 493,932 | ||
CSC Holdings, Inc.: | ||||
6.75% 4/15/12 | 3,945,000 | 3,964,725 | ||
8.5% 4/15/14 (h) | 2,105,000 | 2,141,838 | ||
8.5% 6/15/15 (h) | 2,340,000 | 2,363,400 | ||
8.625% 2/15/19 (h) | 4,030,000 | 4,090,450 | ||
EchoStar Communications Corp.: | ||||
6.375% 10/1/11 | 4,340,000 | 4,345,425 | ||
7% 10/1/13 | 6,765,000 | 6,629,700 | ||
7.125% 2/1/16 | 1,345,000 | 1,291,200 | ||
7.75% 5/31/15 | 1,810,000 | 1,782,850 | ||
Interpublic Group of Companies, Inc.: | ||||
6.25% 11/15/14 | 1,310,000 | 1,208,475 | ||
10% 7/15/17 (h) | 1,130,000 | 1,180,850 | ||
Kabel Deutschland GmbH 10.625% 7/1/14 | 4,825,000 | 5,018,000 | ||
Lamar Media Corp.: | ||||
Series B, 6.625% 8/15/15 | 535,000 | 468,125 | ||
6.625% 8/15/15 | 1,030,000 | 921,850 | ||
9.75% 4/1/14 (h) | 1,830,000 | 1,939,800 | ||
Liberty Media Corp.: | ||||
5.7% 5/15/13 | 1,415,000 | 1,344,250 | ||
8.25% 2/1/30 | 245,000 | 186,200 | ||
Marquee Holdings, Inc. 12% 8/15/14 (f) | 2,965,000 | 2,453,538 | ||
News America Holdings, Inc. 7.75% 12/1/45 | 170,000 | 178,040 | ||
News America, Inc.: | ||||
4.75% 3/15/10 | 244,000 | 244,928 | ||
5.3% 12/15/14 | 876,000 | 939,063 | ||
6.15% 3/1/37 | 2,970,000 | 2,868,910 | ||
6.2% 12/15/34 | 5,330,000 | 5,172,594 | ||
6.65% 11/15/37 | 15,817,000 | 16,265,349 | ||
6.9% 3/1/19 (h) | 4,805,000 | 5,412,986 | ||
Nielsen Finance LLC/Nielsen Finance Co.: | ||||
0% 8/1/16 (e) | 6,505,000 | 4,520,975 | ||
10% 8/1/14 | 3,975,000 | 3,736,500 | ||
11.5% 5/1/16 | 2,225,000 | 2,213,875 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Media - continued | ||||
Nielsen Finance LLC/Nielsen Finance Co.: - continued | ||||
11.625% 2/1/14 | $ 2,325,000 | $ 2,307,563 | ||
Quebecor Media, Inc.: | ||||
7.75% 3/15/16 | 4,712,000 | 4,417,500 | ||
7.75% 3/15/16 | 2,485,000 | 2,329,688 | ||
Regal Cinemas Corp. 8.625% 7/15/19 (h) | 2,615,000 | 2,667,300 | ||
The Reader's Digest Association, Inc. 9% 2/15/17 (c) | 2,805,000 | 66,619 | ||
Time Warner Cable, Inc.: | ||||
5.4% 7/2/12 | 2,444,000 | 2,607,003 | ||
5.85% 5/1/17 | 2,607,000 | 2,737,772 | ||
6.2% 7/1/13 | 2,324,000 | 2,511,349 | ||
6.75% 7/1/18 | 13,473,000 | 14,883,879 | ||
7.3% 7/1/38 | 7,850,000 | 8,882,032 | ||
8.75% 2/14/19 | 2,390,000 | 2,942,140 | ||
Time Warner, Inc.: | ||||
5.875% 11/15/16 | 4,296,000 | 4,488,637 | ||
6.5% 11/15/36 | 11,565,000 | 11,646,163 | ||
TL Acquisitions, Inc.: | ||||
10.5% 1/15/15 (h) | 4,895,000 | 4,454,450 | ||
13.25% 7/15/15 (h) | 1,600,000 | 1,448,000 | ||
Univision Communications, Inc. 12% 7/1/14 (h) | 985,000 | 1,034,250 | ||
UPC Holding BV 9.875% 4/15/18 (h) | 3,250,000 | 3,274,375 | ||
Viacom, Inc.: | ||||
6.125% 10/5/17 | 4,235,000 | 4,476,158 | ||
6.25% 4/30/16 | 5,600,000 | 6,007,898 | ||
6.75% 10/5/37 | 1,460,000 | 1,529,262 | ||
Videotron Ltd.: | ||||
9.125% 4/15/18 (h) | 1,680,000 | 1,768,200 | ||
9.125% 4/15/18 | 1,630,000 | 1,711,500 | ||
Visant Holding Corp. 8.75% 12/1/13 | 450,000 | 454,500 | ||
| 239,104,945 | |||
Multiline Retail - 0.1% | ||||
Dollar General Corp. 10.625% 7/15/15 | 1,995,000 | 2,214,450 | ||
Federated Retail Holdings, Inc. 5.9% 12/1/16 | 1,625,000 | 1,432,433 | ||
Macy's Retail Holdings, Inc. 8.875% 7/15/15 | 1,055,000 | 1,068,392 | ||
Matahari Finance BV 9.5% 10/6/09 | 1,095,000 | 1,095,000 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Multiline Retail - continued | ||||
Neiman Marcus Group, Inc.: | ||||
9% 10/15/15 pay-in-kind (f) | $ 1,164,015 | $ 869,519 | ||
10.375% 10/15/15 | 1,130,000 | 858,800 | ||
| 7,538,594 | |||
Specialty Retail - 0.1% | ||||
Ltd. Brands, Inc. 8.5% 6/15/19 (h) | 1,265,000 | 1,258,675 | ||
Michaels Stores, Inc. 10% 11/1/14 | 1,705,000 | 1,628,275 | ||
Sally Holdings LLC 9.25% 11/15/14 | 3,215,000 | 3,319,488 | ||
Toys 'R' Us, Inc.: | ||||
7.375% 10/15/18 | 735,000 | 540,225 | ||
7.625% 8/1/11 | 4,470,000 | 4,201,800 | ||
| 10,948,463 | |||
Textiles, Apparel & Luxury Goods - 0.1% | ||||
Hanesbrands, Inc. 4.5925% 12/15/14 (o) | 2,020,000 | 1,737,200 | ||
Levi Strauss & Co.: | ||||
8.875% 4/1/16 | 1,285,000 | 1,285,000 | ||
9.75% 1/15/15 | 4,055,000 | 4,115,825 | ||
| 7,138,025 | |||
TOTAL CONSUMER DISCRETIONARY | 389,436,268 | |||
CONSUMER STAPLES - 1.7% | ||||
Beverages - 0.4% | ||||
Anheuser-Busch InBev Worldwide, Inc.: | ||||
6.875% 11/15/19 (h) | 13,000,000 | 14,541,553 | ||
7.75% 1/15/19 (h) | 4,750,000 | 5,561,737 | ||
Constellation Brands, Inc.: | ||||
7.25% 9/1/16 | 3,135,000 | 3,033,113 | ||
7.25% 5/15/17 | 495,000 | 478,913 | ||
8.375% 12/15/14 | 2,835,000 | 2,877,525 | ||
Diageo Capital PLC 5.2% 1/30/13 | 1,037,000 | 1,107,352 | ||
FBG Finance Ltd. 5.125% 6/15/15 (h) | 2,936,000 | 3,007,295 | ||
PepsiCo, Inc. 7.9% 11/1/18 | 9,430,000 | 11,892,890 | ||
| 42,500,378 | |||
Food & Staples Retailing - 0.3% | ||||
Albertsons, Inc.: | ||||
7.45% 8/1/29 | 250,000 | 203,125 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
CONSUMER STAPLES - continued | ||||
Food & Staples Retailing - continued | ||||
Albertsons, Inc.: - continued | ||||
7.75% 6/15/26 | $ 600,000 | $ 513,000 | ||
8% 5/1/31 | 2,385,000 | 2,068,988 | ||
CVS Caremark Corp.: | ||||
0.9675% 6/1/10 (o) | 2,296,000 | 2,291,746 | ||
6.036% 12/10/28 | 14,222,232 | 13,423,227 | ||
6.302% 6/1/37 (o) | 13,351,000 | 10,547,290 | ||
SUPERVALU, Inc.: | ||||
7.5% 5/15/12 | 315,000 | 318,150 | ||
7.5% 11/15/14 | 1,595,000 | 1,571,075 | ||
8% 5/1/16 | 4,285,000 | 4,242,150 | ||
The Great Atlantic & Pacific Tea Co. 11.375% 8/1/15 (h) | 2,330,000 | 2,295,050 | ||
| 37,473,801 | |||
Food Products - 0.5% | ||||
Cargill, Inc.: | ||||
6% 11/27/17 (h) | 9,457,000 | 10,120,957 | ||
6.625% 9/15/37 (h) | 8,334,000 | 8,654,426 | ||
Dean Foods Co.: | ||||
6.9% 10/15/17 | 4,565,000 | 4,154,150 | ||
7% 6/1/16 | 2,740,000 | 2,561,900 | ||
General Mills, Inc.: | ||||
5.2% 3/17/15 | 7,738,000 | 8,329,129 | ||
5.65% 2/15/19 | 1,586,000 | 1,713,687 | ||
H.J. Heinz Finance Co. 7.125% 8/1/39 (h) | 4,605,000 | 5,407,380 | ||
Kraft Foods, Inc.: | ||||
5.625% 11/1/11 | 3,660,000 | 3,947,167 | ||
6.125% 2/1/18 | 5,261,000 | 5,757,538 | ||
6.75% 2/19/14 | 540,000 | 612,850 | ||
National Beef Packing Co. LLC/National Beef Finance Corp. 10.5% 8/1/11 | 1,595,000 | 1,575,063 | ||
Smithfield Foods, Inc. 10% 7/15/14 (h) | 1,055,000 | 1,060,275 | ||
| 53,894,522 | |||
Personal Products - 0.0% | ||||
Avon Products, Inc. 4.8% 3/1/13 | 1,789,000 | 1,901,213 | ||
Revlon Consumer Products Corp. 9.5% 4/1/11 | 3,075,000 | 2,902,031 | ||
| 4,803,244 | |||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
CONSUMER STAPLES - continued | ||||
Tobacco - 0.5% | ||||
Altria Group, Inc.: | ||||
9.7% 11/10/18 | $ 22,622,000 | $ 27,672,248 | ||
9.95% 11/10/38 | 7,025,000 | 9,259,112 | ||
Philip Morris International, Inc.: | ||||
4.875% 5/16/13 | 9,347,000 | 9,950,919 | ||
5.65% 5/16/18 | 7,161,000 | 7,615,487 | ||
Reynolds American, Inc.: | ||||
6.75% 6/15/17 | 2,926,000 | 2,981,424 | ||
7.25% 6/15/37 | 4,865,000 | 4,679,201 | ||
| 62,158,391 | |||
TOTAL CONSUMER STAPLES | 200,830,336 | |||
ENERGY - 3.4% | ||||
Energy Equipment & Services - 0.2% | ||||
Compagnie Generale de Geophysique SA: | ||||
7.5% 5/15/15 | 1,375,000 | 1,292,500 | ||
7.75% 5/15/17 | 1,955,000 | 1,867,025 | ||
DCP Midstream LLC 9.75% 3/15/19 (h) | 4,663,000 | 5,543,603 | ||
Helix Energy Solutions Group, Inc. 9.5% 1/15/16 (h) | 1,295,000 | 1,204,350 | ||
Transocean Ltd. 5.25% 3/15/13 | 3,466,000 | 3,649,407 | ||
Weatherford International Ltd.: | ||||
4.95% 10/15/13 | 1,742,000 | 1,798,155 | ||
5.15% 3/15/13 | 2,277,000 | 2,372,723 | ||
7% 3/15/38 | 5,880,000 | 6,080,002 | ||
9.625% 3/1/19 | 1,500,000 | 1,822,293 | ||
| 25,630,058 | |||
Oil, Gas & Consumable Fuels - 3.2% | ||||
Anadarko Petroleum Corp.: | ||||
5.95% 9/15/16 | 14,836,000 | 15,428,416 | ||
6.45% 9/15/36 | 2,115,000 | 2,093,581 | ||
Arch Coal, Inc. 8.75% 8/1/16 (h) | 1,545,000 | 1,545,000 | ||
Arch Western Finance LLC 6.75% 7/1/13 | 1,600,000 | 1,532,000 | ||
Atlas Pipeline Partners LP 8.125% 12/15/15 | 1,610,000 | 1,304,100 | ||
Berry Petroleum Co. 10.25% 6/1/14 | 975,000 | 1,018,875 | ||
BW Group Ltd. 6.625% 6/28/17 (h) | 2,957,000 | 2,498,665 | ||
Canadian Natural Resources Ltd.: | ||||
5.15% 2/1/13 | 4,498,000 | 4,705,061 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Canadian Natural Resources Ltd.: - continued | ||||
5.7% 5/15/17 | $ 16,009,000 | $ 16,767,651 | ||
Chesapeake Energy Corp.: | ||||
6.5% 8/15/17 | 3,485,000 | 3,101,650 | ||
6.875% 1/15/16 | 580,000 | 530,700 | ||
7.25% 12/15/18 | 1,600,000 | 1,460,000 | ||
7.5% 9/15/13 | 2,265,000 | 2,208,375 | ||
7.5% 6/15/14 | 1,790,000 | 1,736,300 | ||
7.625% 7/15/13 | 895,000 | 879,338 | ||
9.5% 2/15/15 | 8,575,000 | 8,746,500 | ||
ConocoPhillips: | ||||
4.6% 1/15/15 | 10,000,000 | 10,648,720 | ||
4.75% 2/1/14 | 1,055,000 | 1,131,175 | ||
5.75% 2/1/19 | 2,930,000 | 3,208,350 | ||
Denbury Resources, Inc. 9.75% 3/1/16 | 1,060,000 | 1,120,950 | ||
Drummond Co., Inc. 7.375% 2/15/16 (h) | 5,390,000 | 4,689,300 | ||
Duke Capital LLC: | ||||
6.25% 2/15/13 | 1,000,000 | 1,068,380 | ||
6.75% 2/15/32 | 10,542,000 | 10,102,304 | ||
Duke Energy Field Services: | ||||
5.375% 10/15/15 (h) | 1,222,000 | 1,189,981 | ||
6.45% 11/3/36 (h) | 2,400,000 | 2,164,243 | ||
6.875% 2/1/11 | 2,313,000 | 2,411,989 | ||
7.875% 8/16/10 | 1,037,000 | 1,085,816 | ||
El Paso Corp. 8.25% 2/15/16 | 875,000 | 875,000 | ||
El Paso Energy Corp. 7.75% 1/15/32 | 1,315,000 | 1,170,951 | ||
El Paso Natural Gas Co. 5.95% 4/15/17 | 935,000 | 960,770 | ||
El Paso Performance-Linked Trust 7.75% 7/15/11 (h) | 3,100,000 | 2,991,500 | ||
Empresa Nacional de Petroleo 6.75% 11/15/12 (h) | 1,694,000 | 1,822,475 | ||
Enbridge Energy Partners LP: | ||||
5.875% 12/15/16 | 1,806,000 | 1,803,063 | ||
6.5% 4/15/18 | 2,372,000 | 2,491,200 | ||
EnCana Holdings Finance Corp. 5.8% 5/1/14 | 2,888,000 | 3,140,154 | ||
Enterprise Products Operating LP: | ||||
4.625% 10/15/09 | 1,947,000 | 1,950,259 | ||
5.6% 10/15/14 | 1,955,000 | 2,067,831 | ||
5.65% 4/1/13 | 697,000 | 740,593 | ||
Forest Oil Corp.: | ||||
7.25% 6/15/19 | 1,080,000 | 1,015,200 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Forest Oil Corp.: - continued | ||||
7.75% 5/1/14 | $ 1,005,000 | $ 949,725 | ||
8.5% 2/15/14 (h) | 4,070,000 | 4,090,350 | ||
Frontier Oil Corp. 8.5% 9/15/16 | 1,950,000 | 1,979,250 | ||
Gazstream SA 5.625% 7/22/13 (h) | 823,342 | 823,342 | ||
Gulf South Pipeline Co. LP 5.75% 8/15/12 (h) | 3,863,000 | 4,010,111 | ||
KazMunaiGaz Finance Sub BV: | ||||
8.375% 7/2/13 (h) | 2,025,000 | 1,974,375 | ||
9.125% 7/2/18 (h) | 1,015,000 | 979,475 | ||
11.75% 1/23/15 (h) | 1,085,000 | 1,177,225 | ||
Lukoil International Finance BV 6.656% 6/7/22 (h) | 1,222,000 | 1,105,910 | ||
Massey Energy Co. 6.875% 12/15/13 | 4,845,000 | 4,554,300 | ||
Nakilat, Inc. 6.067% 12/31/33 (h) | 4,384,000 | 3,650,425 | ||
National Gas Co. of Trinidad & Tobago Ltd. 6.05% 1/15/36 (h) | 240,000 | 187,272 | ||
Newfield Exploration Co. 7.125% 5/15/18 | 2,330,000 | 2,283,400 | ||
Nexen, Inc.: | ||||
5.05% 11/20/13 | 3,845,000 | 3,948,850 | ||
5.2% 3/10/15 | 909,000 | 918,974 | ||
5.875% 3/10/35 | 240,000 | 211,072 | ||
6.4% 5/15/37 | 3,645,000 | 3,372,704 | ||
NGPL PipeCo LLC 6.514% 12/15/12 (h) | 8,163,000 | 8,833,395 | ||
Overseas Shipholding Group, Inc.: | ||||
7.5% 2/15/24 | 500,000 | 400,000 | ||
8.75% 12/1/13 | 610,000 | 588,650 | ||
Pemex Project Funding Master Trust: | ||||
1.9294% 6/15/10 (h)(o) | 1,245,000 | 1,241,888 | ||
6.625% 6/15/35 | 625,000 | 569,239 | ||
Petro-Canada: | ||||
6.05% 5/15/18 | 3,850,000 | 3,988,831 | ||
6.8% 5/15/38 | 18,950,000 | 20,056,794 | ||
Petrobras International Finance Co. Ltd. 7.875% 3/15/19 | 10,219,000 | 11,521,923 | ||
Petrohawk Energy Corp.: | ||||
7.875% 6/1/15 | 1,485,000 | 1,440,450 | ||
9.125% 7/15/13 | 4,270,000 | 4,312,700 | ||
10.5% 8/1/14 (h) | 3,025,000 | 3,176,250 | ||
Petroleos de Venezuela SA: | ||||
5.25% 4/12/17 | 15,845,000 | 8,714,750 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Petroleos de Venezuela SA: - continued | ||||
5.375% 4/12/27 | $ 3,795,000 | $ 1,631,850 | ||
Petroleos Mexicanos 8% 5/3/19 (h) | 657,000 | 739,125 | ||
Petroleum Co. of Trinidad & Tobago Ltd. (Reg. S) 6% 5/8/22 | 795,000 | 719,475 | ||
Petroleum Development Corp. 12% 2/15/18 | 1,605,000 | 1,492,650 | ||
Pioneer Natural Resources Co. 6.65% 3/15/17 | 2,935,000 | 2,685,525 | ||
Plains All American Pipeline LP: | ||||
6.125% 1/15/17 | 6,185,000 | 6,390,936 | ||
6.65% 1/15/37 | 4,430,000 | 4,612,813 | ||
7.75% 10/15/12 | 2,358,000 | 2,606,929 | ||
Plains Exploration & Production Co.: | ||||
7% 3/15/17 | 5,005,000 | 4,617,113 | ||
7.75% 6/15/15 | 485,000 | 470,450 | ||
10% 3/1/16 | 3,215,000 | 3,391,825 | ||
Quicksilver Resources, Inc.: | ||||
7.125% 4/1/16 | 1,975,000 | 1,659,000 | ||
9.125% 8/15/19 | 2,040,000 | 1,983,900 | ||
11.75% 1/1/16 | 2,255,000 | 2,395,938 | ||
Range Resources Corp.: | ||||
6.375% 3/15/15 (Reg. S) | 2,355,000 | 2,219,588 | ||
7.375% 7/15/13 | 2,060,000 | 2,049,700 | ||
7.5% 5/15/16 | 2,250,000 | 2,205,000 | ||
Ras Laffan Liquid Natural Gas Co. Ltd. 8.294% 3/15/14 (h) | 2,987,000 | 3,252,195 | ||
Ras Laffan Liquid Natural Gas Co. Ltd. III: | ||||
4.5% 9/30/12 (h) | 4,773,000 | 4,891,833 | ||
5.5% 9/30/14 (h) | 6,670,000 | 6,902,096 | ||
5.832% 9/30/16 (h) | 1,343,000 | 1,379,301 | ||
6.332% 9/30/27 (h) | 1,840,000 | 1,694,419 | ||
6.75% 9/30/19 (h) | 5,651,000 | 5,906,357 | ||
Rockies Express Pipeline LLC 6.25% 7/15/13 (h) | 2,720,000 | 2,931,067 | ||
SandRidge Energy, Inc.: | ||||
4.2219% 4/1/14 (o) | 1,675,000 | 1,381,875 | ||
8.625% 4/1/15 pay-in-kind (o) | 2,925,000 | 2,764,125 | ||
Ship Finance International Ltd. 8.5% 12/15/13 | 2,065,000 | 1,899,800 | ||
Source Gas LLC 5.9% 4/1/17 (h) | 3,544,000 | 2,876,746 | ||
Southwestern Energy Co. 7.5% 2/1/18 (h) | 2,315,000 | 2,315,000 | ||
Spectra Energy Capital, LLC 6.2% 4/15/18 | 14,500,000 | 15,339,869 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Suncor Energy, Inc. 6.1% 6/1/18 | $ 10,851,000 | $ 11,365,327 | ||
Targa Resources Partners LP/Targa Resources Partners Finance Corp. 11.25% 7/15/17 (h) | 1,910,000 | 1,919,550 | ||
Teekay Corp. 8.875% 7/15/11 | 2,115,000 | 2,104,425 | ||
TEPPCO Partners LP: | ||||
5.9% 4/15/13 | 3,239,000 | 3,484,724 | ||
6.65% 4/15/18 | 4,741,000 | 5,110,812 | ||
7.55% 4/15/38 | 9,095,000 | 10,619,877 | ||
Texas Eastern Transmission LP 6% 9/15/17 (h) | 5,990,000 | 6,443,695 | ||
TNK-BP Finance SA 7.5% 3/13/13 (Reg. S) | 3,225,000 | 3,208,875 | ||
TransCanada PipeLines Ltd. 6.35% 5/15/67 (o) | 2,371,000 | 1,991,640 | ||
XTO Energy, Inc.: | ||||
5% 1/31/15 | 1,749,000 | 1,827,719 | ||
5.65% 4/1/16 | 1,200,000 | 1,256,702 | ||
5.9% 8/1/12 | 4,452,000 | 4,815,550 | ||
YPF SA 10% 11/2/28 | 2,325,000 | 2,104,125 | ||
| 378,127,567 | |||
TOTAL ENERGY | 403,757,625 | |||
FINANCIALS - 9.6% | ||||
Capital Markets - 2.2% | ||||
Bear Stearns Companies, Inc.: | ||||
0.645% 10/22/10 (o) | 2,340,000 | 2,337,583 | ||
0.9025% 9/9/09 (o) | 1,271,000 | 1,271,015 | ||
4.245% 1/7/10 | 1,217,000 | 1,223,529 | ||
4.5% 10/28/10 | 1,833,000 | 1,903,486 | ||
5.3% 10/30/15 | 1,170,000 | 1,185,848 | ||
5.85% 7/19/10 | 3,769,000 | 3,873,096 | ||
6.95% 8/10/12 | 10,980,000 | 12,267,504 | ||
BlackRock, Inc. 6.25% 9/15/17 | 14,822,000 | 15,591,380 | ||
Goldman Sachs Group, Inc.: | ||||
5.25% 10/15/13 | 5,903,000 | 6,231,018 | ||
5.625% 1/15/17 | 3,200,000 | 3,181,878 | ||
5.95% 1/18/18 | 3,989,000 | 4,152,585 | ||
6% 5/1/14 | 9,300,000 | 10,027,288 | ||
6.15% 4/1/18 | 4,275,000 | 4,512,609 | ||
6.75% 10/1/37 | 28,895,000 | 28,929,067 | ||
7.5% 2/15/19 | 1,757,000 | 2,022,825 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Capital Markets - continued | ||||
Janus Capital Group, Inc.: | ||||
6.125% 9/15/11 (f) | $ 2,399,000 | $ 2,375,526 | ||
6.5% 6/15/12 | 4,172,000 | 4,134,160 | ||
JPMorgan Chase Capital XX 6.55% 9/29/36 | 10,020,000 | 8,732,961 | ||
JPMorgan Chase Capital XXV 6.8% 10/1/37 | 7,405,000 | 6,978,368 | ||
Lazard Group LLC: | ||||
6.85% 6/15/17 | 3,840,000 | 3,757,256 | ||
7.125% 5/15/15 | 1,377,000 | 1,383,247 | ||
Merrill Lynch & Co., Inc.: | ||||
5.45% 2/5/13 | 17,070,000 | 17,356,418 | ||
6.15% 4/25/13 | 4,271,000 | 4,446,700 | ||
6.4% 8/28/17 | 2,720,000 | 2,680,552 | ||
6.875% 4/25/18 | 4,701,000 | 4,800,102 | ||
Morgan Stanley: | ||||
0.7875% 1/9/12 (o) | 9,924,000 | 9,594,186 | ||
0.8375% 1/9/14 (o) | 5,002,000 | 4,628,471 | ||
4.75% 4/1/14 | 2,429,000 | 2,411,431 | ||
5.05% 1/21/11 | 3,045,000 | 3,144,846 | ||
5.25% 11/2/12 | 244,000 | 258,010 | ||
5.45% 1/9/17 | 2,238,000 | 2,219,315 | ||
5.95% 12/28/17 | 5,050,000 | 5,163,751 | ||
6% 5/13/14 | 7,810,000 | 8,281,638 | ||
6.6% 4/1/12 | 5,719,000 | 6,214,185 | ||
6.625% 4/1/18 | 15,268,000 | 16,314,453 | ||
6.75% 4/15/11 | 836,000 | 889,079 | ||
7.3% 5/13/19 | 8,304,000 | 9,247,592 | ||
Northern Trust Corp.: | ||||
4.625% 5/1/14 | 1,762,000 | 1,870,907 | ||
5.5% 8/15/13 | 2,560,000 | 2,792,438 | ||
Scotland International Finance No. 2 BV 7.7% 8/15/10 (h) | 978,000 | 984,113 | ||
The Bank of New York, Inc. 4.95% 11/1/12 | 3,864,000 | 4,182,409 | ||
UBS AG Stamford Branch: | ||||
5.75% 4/25/18 | 16,505,000 | 16,214,826 | ||
5.875% 12/20/17 | 15,572,000 | 15,429,392 | ||
| 265,197,043 | |||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Commercial Banks - 1.5% | ||||
American Express Bank FSB: | ||||
5.5% 4/16/13 | $ 4,091,000 | $ 4,245,055 | ||
6% 9/13/17 | 10,621,000 | 10,480,229 | ||
ANZ National International Ltd. 6.2% 7/19/13 (h) | 1,099,000 | 1,181,315 | ||
Bank of America NA: | ||||
5.3% 3/15/17 | 3,315,000 | 3,049,701 | ||
6% 10/15/36 | 690,000 | 638,812 | ||
Bank One Corp.: | ||||
5.25% 1/30/13 | 930,000 | 982,903 | ||
7.875% 8/1/10 | 691,000 | 730,761 | ||
BB&T Capital Trust IV 6.82% 6/12/77 (o) | 2,314,000 | 1,920,620 | ||
BB&T Corp. 6.5% 8/1/11 | 1,243,000 | 1,300,199 | ||
Chase Manhattan Corp. 7.875% 6/15/10 | 1,553,000 | 1,631,694 | ||
Credit Suisse First Boston 6% 2/15/18 | 16,107,000 | 16,565,792 | ||
Credit Suisse First Boston New York Branch 5% 5/15/13 | 9,569,000 | 10,158,785 | ||
Credit Suisse New York Branch 5.5% 5/1/14 | 5,590,000 | 6,007,864 | ||
DBS Bank Ltd. (Singapore) 0.66% 5/16/17 (h)(o) | 3,914,986 | 3,484,338 | ||
Development Bank of Philippines 8.375% (o) | 1,355,000 | 1,321,125 | ||
EXIM of Ukraine: | ||||
7.65% 9/7/11 (Issued by Credit Suisse London Branch for EXIM Ukraine) | 5,710,000 | 5,139,000 | ||
7.75% 9/23/09 (Issued by Dresdner Bank AG for EXIM Ukraine) | 2,684,000 | 2,630,320 | ||
Export-Import Bank of Korea: | ||||
5.125% 2/14/11 | 2,920,000 | 2,960,340 | ||
5.25% 2/10/14 (h) | 565,000 | 564,095 | ||
5.5% 10/17/12 | 2,256,000 | 2,332,458 | ||
Fifth Third Bancorp: | ||||
4.5% 6/1/18 | 123,000 | 90,873 | ||
8.25% 3/1/38 | 2,099,000 | 1,864,672 | ||
HBOS PLC 6.75% 5/21/18 (h) | 6,067,000 | 5,059,757 | ||
HSBC Holdings PLC: | ||||
0.7775% 10/6/16 (o) | 1,143,000 | 1,059,129 | ||
6.5% 9/15/37 | 8,400,000 | 8,687,221 | ||
HSBK (Europe) B.V. 9.25% 10/16/13 (h) | 3,405,000 | 3,047,475 | ||
JPMorgan Chase Bank 6% 10/1/17 | 2,095,000 | 2,208,536 | ||
JSC Halyk Bank of Kazakhstan (Reg. S) 8.125% 10/7/09 | 1,495,000 | 1,465,100 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Commercial Banks - continued | ||||
KeyBank NA: | ||||
5.8% 7/1/14 | $ 3,619,000 | $ 3,487,341 | ||
7% 2/1/11 | 1,124,000 | 1,144,071 | ||
Korea Development Bank 4.625% 9/16/10 | 1,833,000 | 1,848,568 | ||
Manufacturers & Traders Trust Co. 2.0969% 4/1/13 (h)(o) | 720,797 | 586,288 | ||
National City Bank, Cleveland 4.5% 3/15/10 | 2,943,000 | 2,984,505 | ||
PNC Funding Corp.: | ||||
0.6275% 1/31/12 (o) | 5,982,000 | 5,689,528 | ||
7.5% 11/1/09 | 2,026,000 | 2,043,655 | ||
RSHB Capital SA 9% 6/11/14 (h) | 605,000 | 642,813 | ||
Santander Issuances SA Unipersonal: | ||||
0.9688% 6/20/16 (h)(o) | 3,253,827 | 2,993,980 | ||
5.805% 6/20/16 (h)(o) | 4,204,000 | 3,452,535 | ||
Sovereign Bank 2.1931% 8/1/13 (o) | 985 | 937 | ||
Standard Chartered Bank 6.4% 9/26/17 (h) | 13,265,000 | 12,898,209 | ||
UniCredit Luxembourg Finance SA 5.584% 1/13/17 (h)(o) | 2,933,000 | 2,572,197 | ||
Union Planters Corp. 7.75% 3/1/11 | 600,000 | 581,728 | ||
UnionBanCal Corp. 5.25% 12/16/13 | 662,000 | 615,197 | ||
Vimpel Communications 8.375% 10/22/11 (Reg. S) (Issued by UBS Luxembourg SA for Vimpel Communications) | 660,000 | 683,100 | ||
Wachovia Bank NA: | ||||
4.875% 2/1/15 | 1,408,000 | 1,415,415 | ||
6.6% 1/15/38 | 9,000,000 | 9,279,820 | ||
Wachovia Corp.: | ||||
0.6331% 4/23/12 (o) | 543,000 | 523,998 | ||
0.6394% 10/15/11 (o) | 4,016,000 | 3,914,295 | ||
5.625% 10/15/16 | 3,399,000 | 3,389,938 | ||
5.75% 6/15/17 | 2,933,000 | 3,093,200 | ||
Wells Fargo & Co.: | ||||
4.2% 1/15/10 | 2,635,000 | 2,661,202 | ||
5.625% 12/11/17 | 10,423,000 | 10,920,928 | ||
Wells Fargo Bank NA, San Francisco 6.45% 2/1/11 | 580,000 | 606,802 | ||
| 178,838,419 | |||
Consumer Finance - 1.6% | ||||
American General Finance Corp. 6.9% 12/15/17 | 5,510,000 | 3,402,243 | ||
Capital One Bank USA NA 8.8% 7/15/19 | 6,680,000 | 7,156,872 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Consumer Finance - continued | ||||
Capital One Financial Corp.: | ||||
0.93% 9/10/09 (o) | $ 3,277,000 | $ 3,276,400 | ||
5.7% 9/15/11 | 5,251,000 | 5,418,250 | ||
7.375% 5/23/14 | 7,440,000 | 8,115,894 | ||
Discover Financial Services: | ||||
1.1688% 6/11/10 (o) | 4,022,000 | 3,919,242 | ||
6.45% 6/12/17 | 9,775,000 | 8,522,979 | ||
10.25% 7/15/19 | 11,010,000 | 12,058,725 | ||
Ford Motor Credit Co. LLC: | ||||
7.25% 10/25/11 | 8,405,000 | 7,903,600 | ||
7.5% 8/1/12 | 3,600,000 | 3,312,000 | ||
8% 6/1/14 | 3,390,000 | 3,129,987 | ||
8% 12/15/16 | 2,135,000 | 1,870,565 | ||
8.625% 11/1/10 | 1,075,000 | 1,073,884 | ||
12% 5/15/15 | 3,440,000 | 3,577,600 | ||
General Electric Capital Corp.: | ||||
5.625% 9/15/17 | 5,858,000 | 5,870,882 | ||
5.625% 5/1/18 | 25,000,000 | 24,894,125 | ||
5.875% 1/14/38 | 14,000,000 | 12,427,870 | ||
5.9% 5/13/14 | 10,290,000 | 10,997,036 | ||
6.375% 11/15/67 (o) | 9,000,000 | 7,267,500 | ||
General Motors Acceptance Corp.: | ||||
6.875% 9/15/11 | 975,000 | 887,250 | ||
6.875% 8/28/12 | 2,800,000 | 2,436,000 | ||
GMAC LLC: | ||||
6.625% 5/15/12 | 435,000 | 379,538 | ||
6.75% 12/1/14 (h) | 5,125,000 | 4,202,500 | ||
6.875% 9/15/11 (h) | 2,920,000 | 2,686,400 | ||
8% 11/1/31 (h) | 3,500,000 | 2,730,000 | ||
Household Finance Corp.: | ||||
6.375% 10/15/11 | 1,860,000 | 1,953,846 | ||
7% 5/15/12 | 468,000 | 504,184 | ||
HSBC Finance Corp.: | ||||
5.25% 1/14/11 | 1,308,000 | 1,340,765 | ||
5.25% 1/15/14 | 1,054,000 | 1,074,708 | ||
MBNA America Bank NA 7.125% 11/15/12 (h) | 693,000 | 718,904 | ||
MBNA Corp. 7.5% 3/15/12 | 1,608,000 | 1,696,651 | ||
Nissan Motor Acceptance Corp. 4.625% 3/8/10 (h) | 4,245,000 | 4,208,947 | ||
ORIX Corp. 5.48% 11/22/11 | 385,000 | 379,997 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Consumer Finance - continued | ||||
SLM Corp.: | ||||
0.6638% 7/26/10 (o) | $ 8,343,000 | $ 7,633,261 | ||
0.7338% 10/25/11 (o) | 12,343,000 | 9,775,347 | ||
0.8294% 3/15/11 (o) | 112,000 | 96,486 | ||
4.5% 7/26/10 | 7,157,000 | 6,847,274 | ||
Systems 2001 Asset Trust LLC 7.156% 12/15/11 (h) | 368,851 | 364,510 | ||
| 184,112,222 | |||
Diversified Financial Services - 1.3% | ||||
Bank of America Corp. 5.75% 12/1/17 | 4,590,000 | 4,464,877 | ||
Calpine Construction Finance Co. LP 8% 6/1/16 (h) | 2,835,000 | 2,806,650 | ||
CIT Group, Inc.: | ||||
4.75% 12/15/10 | 1,085,000 | 657,050 | ||
5.2% 11/3/10 | 1,265,000 | 760,833 | ||
5.4% 3/7/13 | 1,005,000 | 568,326 | ||
5.6% 4/27/11 | 740,000 | 441,570 | ||
7.625% 11/30/12 | 1,985,000 | 1,124,636 | ||
Citigroup, Inc.: | ||||
0.5194% 5/18/11 (o) | 2,811,000 | 2,689,809 | ||
5.3% 10/17/12 | 14,295,000 | 14,440,795 | ||
5.5% 4/11/13 | 13,549,000 | 13,485,984 | ||
6.125% 5/15/18 | 15,634,000 | 14,699,806 | ||
6.5% 1/18/11 | 1,307,000 | 1,350,732 | ||
6.5% 8/19/13 | 6,153,000 | 6,318,147 | ||
CME Group, Inc. 5.75% 2/15/14 | 506,000 | 553,034 | ||
GlaxoSmithKline Capital, Inc. 5.65% 5/15/18 | 8,874,000 | 9,681,410 | ||
Hilcorp Energy I LP/Hilcorp Finance Co.: | ||||
7.75% 11/1/15 (h) | 3,410,000 | 3,145,725 | ||
9% 6/1/16 (h) | 150,000 | 143,250 | ||
ILFC E-Capital Trust I 5.9% 12/21/65 (h)(o) | 2,996,000 | 1,258,320 | ||
International Lease Finance Corp.: | ||||
5.4% 2/15/12 | 2,864,000 | 2,363,914 | ||
5.65% 6/1/14 | 10,520,000 | 7,895,460 | ||
6.375% 3/25/13 | 1,503,000 | 1,179,383 | ||
6.625% 11/15/13 | 2,721,000 | 2,106,955 | ||
JPMorgan Chase & Co.: | ||||
4.65% 6/1/14 | 13,500,000 | 14,095,809 | ||
4.891% 9/1/15 (o) | 2,729,000 | 2,463,635 | ||
5.6% 6/1/11 | 2,139,000 | 2,257,631 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Diversified Financial Services - continued | ||||
JPMorgan Chase & Co.: - continued | ||||
5.75% 1/2/13 | $ 2,217,000 | $ 2,365,794 | ||
6.75% 2/1/11 | 376,000 | 400,235 | ||
Leucadia National Corp.: | ||||
7% 8/15/13 | 1,550,000 | 1,472,500 | ||
7.125% 3/15/17 | 835,000 | 759,850 | ||
NSG Holdings II, LLC 7.75% 12/15/25 (h) | 6,440,000 | 5,377,400 | ||
OAO TMK 8.5% 9/29/09 (Issued by TMK Capital SA for OAO TMK) | 1,800,000 | 1,793,250 | ||
Prime Property Funding, Inc.: | ||||
5.125% 6/1/15 (h) | 1,090,000 | 772,303 | ||
5.5% 1/15/14 (h) | 695,000 | 531,090 | ||
5.7% 4/15/17 (h) | 1,696,000 | 1,072,927 | ||
SIRENS B.V. Series 2007-2 Class A1, 2.31% 4/13/10 (h)(o) | 10,000,000 | 9,213,000 | ||
Sunwest Management, Inc. 8.385% 6/9/10 (c)(o) | 325,000 | 162,500 | ||
TMK Capital SA 10% 7/29/11 | 2,800,000 | 2,709,000 | ||
TransCapitalInvest Ltd. 5.67% 3/5/14 (h) | 3,238,000 | 3,116,575 | ||
ZFS Finance USA Trust I 6.15% 12/15/65 (h)(o) | 5,692,000 | 4,952,040 | ||
ZFS Finance USA Trust II 6.45% 12/15/65 (h)(o) | 5,755,000 | 5,006,850 | ||
ZFS Finance USA Trust IV 5.875% 5/9/62 (h)(o) | 1,673,000 | 1,340,843 | ||
ZFS Finance USA Trust V 6.5% 5/9/67 (h)(o) | 3,125,000 | 2,437,500 | ||
| 154,437,398 | |||
Insurance - 1.1% | ||||
Allstate Corp.: | ||||
5.55% 5/9/35 | 7,505,000 | 7,216,020 | ||
6.2% 5/16/14 | 6,893,000 | 7,506,215 | ||
7.45% 5/16/19 | 6,826,000 | 7,886,392 | ||
American International Group, Inc. 8.175% 5/15/68 (o) | 7,875,000 | 3,701,250 | ||
Assurant, Inc.: | ||||
5.625% 2/15/14 | 1,912,000 | 1,955,393 | ||
6.75% 2/15/34 | 1,967,000 | 1,572,797 | ||
Axis Capital Holdings Ltd. 5.75% 12/1/14 | 558,000 | 564,480 | ||
Great-West Life & Annuity Insurance Co. 7.153% 5/16/46 (h)(o) | 1,491,000 | 1,177,890 | ||
Jackson National Life Global Funding 5.375% 5/8/13 (h) | 753,000 | 750,107 | ||
Liberty Mutual Group, Inc. 6.5% 3/15/35 (h) | 594,000 | 434,927 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Insurance - continued | ||||
Massachusetts Mutual Life Insurance Co. 8.875% 6/1/39 (h) | $ 8,000,000 | $ 8,977,496 | ||
Merna Reinsurance Ltd. Series 2007-1 Class B, 2.3475% 6/30/12 (h)(o) | 7,114,000 | 6,845,091 | ||
MetLife, Inc.: | ||||
5% 6/15/15 | 1,163,000 | 1,207,549 | ||
6.125% 12/1/11 | 990,000 | 1,058,056 | ||
6.75% 6/1/16 | 7,610,000 | 8,324,533 | ||
7.717% 2/15/19 | 10,958,000 | 12,817,562 | ||
Metropolitan Life Global Funding I: | ||||
4.625% 8/19/10 (h) | 3,299,000 | 3,319,200 | ||
5.125% 4/10/13 (h) | 559,000 | 575,089 | ||
5.125% 6/10/14 (h) | 6,751,000 | 7,035,116 | ||
Monumental Global Funding II 5.65% 7/14/11 (h) | 1,652,000 | 1,688,417 | ||
Monumental Global Funding III 5.5% 4/22/13 (h) | 2,202,000 | 2,227,836 | ||
Pacific Life Global Funding 5.15% 4/15/13 (h) | 11,281,000 | 11,385,394 | ||
Pacific Life Insurance Co. 9.25% 6/15/39 (h) | 9,490,000 | 10,066,024 | ||
Prudential Financial, Inc.: | ||||
5.15% 1/15/13 | 2,167,000 | 2,183,491 | ||
5.4% 6/13/35 | 452,000 | 373,128 | ||
5.5% 3/15/16 | 425,000 | 419,730 | ||
5.7% 12/14/36 | 384,000 | 337,002 | ||
6.2% 1/15/15 | 1,180,000 | 1,236,114 | ||
7.375% 6/15/19 | 3,230,000 | 3,510,390 | ||
8.875% 6/15/68 (o) | 2,972,000 | 2,749,100 | ||
QBE Insurance Group Ltd. 5.647% 7/1/23 (h)(o) | 3,342,000 | 2,704,574 | ||
Symetra Financial Corp. 6.125% 4/1/16 (h) | 5,181,000 | 4,190,113 | ||
The Chubb Corp.: | ||||
5.75% 5/15/18 | 4,035,000 | 4,378,370 | ||
6.5% 5/15/38 | 3,390,000 | 3,860,010 | ||
The St. Paul Travelers Companies, Inc. 8.125% 4/15/10 | 1,249,000 | 1,296,446 | ||
| 135,531,302 | |||
Real Estate Investment Trusts - 1.0% | ||||
AMB Property LP 5.9% 8/15/13 | 2,580,000 | 2,403,502 | ||
Arden Realty LP 5.2% 9/1/11 | 1,339,000 | 1,385,864 | ||
AvalonBay Communities, Inc.: | ||||
4.95% 3/15/13 | 367,000 | 367,927 | ||
5.5% 1/15/12 | 3,337,000 | 3,463,763 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Real Estate Investment Trusts - continued | ||||
Brandywine Operating Partnership LP: | ||||
4.5% 11/1/09 | $ 3,087,000 | $ 3,084,336 | ||
5.625% 12/15/10 | 4,079,000 | 4,064,662 | ||
5.7% 5/1/17 | 5,943,000 | 4,976,858 | ||
5.75% 4/1/12 | 2,463,000 | 2,401,629 | ||
BRE Properties, Inc. 5.75% 9/1/09 | 611,000 | 611,000 | ||
Camden Property Trust: | ||||
4.375% 1/15/10 | 1,479,000 | 1,489,187 | ||
5.375% 12/15/13 | 656,000 | 646,268 | ||
5.875% 11/30/12 | 2,958,000 | 3,040,102 | ||
Colonial Properties Trust 6.875% 8/15/12 | 4,000,000 | 3,950,000 | ||
Colonial Realty LP 6.05% 9/1/16 | 2,000,000 | 1,747,402 | ||
CPG Partners LP 6% 1/15/13 | 1,017,000 | 1,019,894 | ||
Developers Diversified Realty Corp.: | ||||
4.625% 8/1/10 | 3,013,000 | 2,911,938 | ||
5% 5/3/10 | 2,241,000 | 2,177,761 | ||
5.25% 4/15/11 | 2,432,000 | 2,298,128 | ||
5.375% 10/15/12 | 1,286,000 | 1,168,136 | ||
Duke Realty LP: | ||||
4.625% 5/15/13 | 627,000 | 588,281 | ||
5.25% 1/15/10 | 453,000 | 454,223 | ||
5.4% 8/15/14 | 5,247,000 | 4,933,660 | ||
5.625% 8/15/11 | 2,957,000 | 2,986,795 | ||
5.875% 8/15/12 | 1,009,000 | 1,011,696 | ||
5.95% 2/15/17 | 699,000 | 629,008 | ||
6.25% 5/15/13 | 14,190,000 | 14,260,158 | ||
6.5% 1/15/18 | 3,795,000 | 3,491,389 | ||
Equity One, Inc.: | ||||
6% 9/15/17 | 854,000 | 748,031 | ||
6.25% 1/15/17 | 494,000 | 446,535 | ||
Federal Realty Investment Trust: | ||||
5.4% 12/1/13 | 413,000 | 406,479 | ||
6% 7/15/12 | 2,933,000 | 3,025,252 | ||
6.2% 1/15/17 | 620,000 | 580,332 | ||
Highwoods/Forsyth LP 5.85% 3/15/17 | 80,000 | 70,881 | ||
HMB Capital Trust V 4.2294% 12/15/36 (c)(h)(o) | 270,000 | 27 | ||
Host Hotels & Resorts LP: | ||||
6.875% 11/1/14 | 835,000 | 793,250 | ||
9% 5/15/17 (h) | 2,135,000 | 2,177,700 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Real Estate Investment Trusts - continued | ||||
HRPT Properties Trust: | ||||
5.75% 11/1/15 | $ 890,000 | $ 774,005 | ||
6.25% 6/15/17 | 1,232,000 | 1,082,004 | ||
6.65% 1/15/18 | 618,000 | 539,800 | ||
Liberty Property LP: | ||||
5.125% 3/2/15 | 848,000 | 784,079 | ||
5.5% 12/15/16 | 1,487,000 | 1,308,200 | ||
6.625% 10/1/17 | 3,785,000 | 3,491,125 | ||
Liberty Property Trust 8.5% 8/1/10 | 6,245,000 | 6,459,990 | ||
Mack-Cali Realty LP: | ||||
5.05% 4/15/10 | 811,000 | 813,418 | ||
7.75% 2/15/11 | 976,000 | 1,026,099 | ||
Omega Healthcare Investors, Inc.: | ||||
7% 4/1/14 | 5,850,000 | 5,469,750 | ||
7% 1/15/16 | 1,960,000 | 1,773,800 | ||
Reckson Operating Partnership LP 6% 3/31/16 | 3,651,000 | 2,962,633 | ||
Rouse Co.: | ||||
5.375% 11/26/13 (c) | 145,000 | 109,475 | ||
7.2% 9/15/12 (c) | 10,000 | 7,700 | ||
Senior Housing Properties Trust 8.625% 1/15/12 | 250,000 | 250,000 | ||
Simon Property Group LP: | ||||
4.6% 6/15/10 | 1,096,000 | 1,117,610 | ||
4.875% 8/15/10 | 675,000 | 691,640 | ||
5% 3/1/12 | 363,000 | 372,144 | ||
5.375% 6/1/11 | 621,000 | 638,605 | ||
5.6% 9/1/11 | 2,718,000 | 2,817,965 | ||
5.75% 5/1/12 | 1,267,000 | 1,328,790 | ||
7.75% 1/20/11 | 821,000 | 865,591 | ||
Tanger Properties LP 6.15% 11/15/15 | 24,000 | 22,574 | ||
UDR, Inc. 5.5% 4/1/14 | 2,755,000 | 2,657,789 | ||
Ventas Realty LP: | ||||
6.5% 6/1/16 | 105,000 | 97,650 | ||
6.5% 6/1/16 | 450,000 | 418,500 | ||
6.625% 10/15/14 | 2,515,000 | 2,389,250 | ||
6.75% 4/1/17 | 30,000 | 27,975 | ||
Washington (REIT) 5.95% 6/15/11 | 3,637,000 | 3,591,767 | ||
| 123,701,982 | |||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Real Estate Management & Development - 0.3% | ||||
American Real Estate Partners/American Real Estate Finance Corp.: | ||||
7.125% 2/15/13 | $ 11,615,000 | $ 11,034,250 | ||
8.125% 6/1/12 | 3,265,000 | 3,216,025 | ||
ERP Operating LP: | ||||
5.25% 9/15/14 | 1,310,000 | 1,305,208 | ||
5.375% 8/1/16 | 2,681,000 | 2,569,865 | ||
5.5% 10/1/12 | 3,655,000 | 3,814,292 | ||
5.75% 6/15/17 | 9,733,000 | 9,431,929 | ||
Forest City Enterprises, Inc. 7.625% 6/1/15 | 100,000 | 62,750 | ||
Post Apartment Homes LP: | ||||
5.45% 6/1/12 | 1,355,000 | 1,296,392 | ||
6.3% 6/1/13 | 2,397,000 | 2,344,045 | ||
Regency Centers LP: | ||||
4.95% 4/15/14 | 611,000 | 546,945 | ||
5.25% 8/1/15 | 2,133,000 | 1,916,859 | ||
5.875% 6/15/17 | 1,056,000 | 952,695 | ||
| 38,491,255 | |||
Thrifts & Mortgage Finance - 0.6% | ||||
Bank of America Corp.: | ||||
4.9% 5/1/13 | 7,817,000 | 7,891,449 | ||
5.65% 5/1/18 | 13,300,000 | 12,860,342 | ||
6.5% 8/1/16 | 9,000,000 | 9,274,410 | ||
7.375% 5/15/14 | 13,211,000 | 14,484,501 | ||
7.625% 6/1/19 | 12,000,000 | 13,212,072 | ||
Countrywide Financial Corp. 5.8% 6/7/12 | 2,916,000 | 3,025,630 | ||
Countrywide Home Loans, Inc. 4% 3/22/11 | 4,327,000 | 4,368,959 | ||
Independence Community Bank Corp.: | ||||
2.4169% 4/1/14 (o) | 4,218,000 | 3,726,540 | ||
4.9% 9/23/10 | 1,696,000 | 1,751,120 | ||
Wrightwood Capital LLC 10.5% 6/1/14 (c)(h) | 100,000 | 38,000 | ||
| 70,633,023 | |||
TOTAL FINANCIALS | 1,150,942,644 | |||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
HEALTH CARE - 1.0% | ||||
Biotechnology - 0.0% | ||||
Amgen, Inc. 5.85% 6/1/17 | $ 2,956,000 | $ 3,264,544 | ||
Health Care Equipment & Supplies - 0.1% | ||||
Biomet, Inc.: | ||||
10% 10/15/17 | 4,825,000 | 5,030,063 | ||
10.375% 10/15/17 pay-in-kind (o) | 3,155,000 | 3,257,538 | ||
11.625% 10/15/17 | 5,185,000 | 5,444,250 | ||
Inverness Medical Innovations, Inc. 9% 5/15/16 | 2,790,000 | 2,776,050 | ||
| 16,507,901 | |||
Health Care Providers & Services - 0.6% | ||||
Community Health Systems, Inc. 8.875% 7/15/15 | 7,875,000 | 7,894,688 | ||
Coventry Health Care, Inc.: | ||||
5.95% 3/15/17 | 1,747,000 | 1,557,492 | ||
6.3% 8/15/14 | 3,618,000 | 3,297,471 | ||
Express Scripts, Inc.: | ||||
5.25% 6/15/12 | 7,157,000 | 7,591,788 | ||
6.25% 6/15/14 | 4,238,000 | 4,631,685 | ||
7.25% 6/15/19 | 2,744,000 | 3,182,176 | ||
HCA, Inc.: | ||||
6.5% 2/15/16 | 3,305,000 | 2,842,300 | ||
7.875% 2/15/20 (h) | 1,855,000 | 1,820,219 | ||
8.5% 4/15/19 (h) | 3,030,000 | 3,048,938 | ||
9.125% 11/15/14 | 3,905,000 | 3,963,575 | ||
9.25% 11/15/16 | 4,905,000 | 4,954,050 | ||
9.625% 11/15/16 pay-in-kind (o) | 11,255,066 | 11,353,548 | ||
9.875% 2/15/17 (h) | 540,000 | 553,500 | ||
HealthSouth Corp. 10.75% 6/15/16 | 2,310,000 | 2,442,825 | ||
Psychiatric Solutions, Inc.: | ||||
7.75% 7/15/15 | 985,000 | 925,900 | ||
7.75% 7/15/15 (h) | 775,000 | 724,625 | ||
Rural/Metro Corp. 0% 3/15/16 (e) | 995,000 | 840,775 | ||
Select Medical Corp. 7.625% 2/1/15 | 1,090,000 | 993,263 | ||
Skilled Healthcare Group, Inc. 11% 1/15/14 | 64,000 | 65,280 | ||
Sun Healthcare Group, Inc. 9.125% 4/15/15 | 10,000 | 9,750 | ||
Tenet Healthcare Corp. 8.875% 7/1/19 (h) | 980,000 | 1,004,500 | ||
United Surgical Partners International, Inc. 9.25% 5/1/17 pay-in-kind (o) | 900,000 | 778,500 | ||
Viant Holdings, Inc. 10.125% 7/15/17 (h) | 71,000 | 66,740 | ||
| 64,543,588 | |||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
HEALTH CARE - continued | ||||
Health Care Technology - 0.1% | ||||
DJO Finance LLC / DJO Finance Corp. 10.875% 11/15/14 | $ 7,885,000 | $ 7,589,313 | ||
Pharmaceuticals - 0.2% | ||||
AstraZeneca PLC: | ||||
5.9% 9/15/17 | 3,520,000 | 3,911,466 | ||
6.45% 9/15/37 | 2,600,000 | 3,057,772 | ||
Bristol-Myers Squibb Co. 5.45% 5/1/18 | 2,932,000 | 3,195,631 | ||
Novartis Capital Corp. 4.125% 2/10/14 | 2,930,000 | 3,073,371 | ||
Roche Holdings, Inc. 5% 3/1/14 (h) | 5,943,000 | 6,428,888 | ||
Teva Pharmaceutical Finance LLC 5.55% 2/1/16 | 958,000 | 1,023,278 | ||
Valeant Pharmaceuticals International 8.375% 6/15/16 (h) | 3,170,000 | 3,233,400 | ||
| 23,923,806 | |||
TOTAL HEALTH CARE | 115,829,152 | |||
INDUSTRIALS - 1.3% | ||||
Aerospace & Defense - 0.2% | ||||
BAE Systems Holdings, Inc.: | ||||
4.75% 8/15/10 (h) | 2,640,000 | 2,684,489 | ||
6.375% 6/1/19 (h) | 8,071,000 | 8,755,945 | ||
6.4% 12/15/11 (h) | 818,000 | 876,804 | ||
BE Aerospace, Inc. 8.5% 7/1/18 | 2,405,000 | 2,368,925 | ||
Bombardier, Inc.: | ||||
6.3% 5/1/14 (h) | 340,000 | 314,500 | ||
6.75% 5/1/12 (h) | 2,140,000 | 2,091,850 | ||
7.45% 5/1/34 (h) | 205,000 | 161,950 | ||
8% 11/15/14 (h) | 915,000 | 893,269 | ||
DigitalGlobe, Inc. 10.5% 5/1/14 (h) | 1,315,000 | 1,367,600 | ||
| 19,515,332 | |||
Airlines - 0.4% | ||||
American Airlines, Inc. pass-thru trust certificates: | ||||
6.817% 5/23/11 | 3,390,000 | 2,949,300 | ||
6.977% 11/23/22 | 1,075,983 | 688,629 | ||
6.978% 10/1/12 | 395,515 | 379,694 | ||
7.024% 4/15/11 | 2,830,000 | 2,815,850 | ||
7.858% 4/1/13 | 5,433,000 | 5,188,515 | ||
8.608% 10/1/12 | 960,000 | 806,400 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
INDUSTRIALS - continued | ||||
Airlines - continued | ||||
American Airlines, Inc. pass-thru trust certificates: - continued | ||||
10.375% 7/2/19 | $ 1,905,000 | $ 1,981,200 | ||
AMR Corp. 9% 8/1/12 | 485,000 | 206,125 | ||
Continental Airlines, Inc.: | ||||
pass-thru trust certificates: | ||||
7.566% 9/15/21 | 382,027 | 324,723 | ||
7.73% 9/15/12 | 18,833 | 16,385 | ||
7.875% 7/2/18 | 1,512,164 | 998,028 | ||
9.558% 9/1/19 | 237,842 | 147,462 | ||
9.798% 4/1/21 | 761,126 | 471,898 | ||
6.648% 3/15/19 | 3,081,540 | 2,650,124 | ||
6.82% 5/1/18 | 221,731 | 184,037 | ||
6.9% 7/2/19 | 855,847 | 744,587 | ||
7.056% 3/15/11 | 1,759,000 | 1,750,205 | ||
Delta Air Lines, Inc. pass-thru trust certificates: | ||||
6.821% 8/10/22 | 364,146 | 325,911 | ||
7.57% 11/18/10 | 11,576,000 | 11,286,600 | ||
8.021% 8/10/22 | 1,770,357 | 1,239,250 | ||
8.954% 8/10/14 | 2,446,576 | 1,761,535 | ||
Northwest Airlines, Inc. pass-thru trust certificates 8.028% 11/1/17 | 1,096,013 | 745,289 | ||
U.S. Airways pass-thru trust certificates: | ||||
6.85% 7/30/19 | 2,181,448 | 1,679,715 | ||
8.36% 7/20/20 | 1,464,646 | 1,215,656 | ||
United Air Lines, Inc. pass-thru trust certificates: | ||||
Class B, 7.336% 7/2/19 | 874,635 | 524,781 | ||
6.071% 9/1/14 | 48,780 | 48,537 | ||
6.201% 3/1/10 | 31,134 | 30,667 | ||
6.602% 9/1/13 | 88,349 | 87,024 | ||
7.032% 4/1/12 | 310,921 | 307,812 | ||
7.186% 10/1/12 | 773,330 | 763,664 | ||
| 42,319,603 | |||
Building Products - 0.1% | ||||
Masco Corp. 0.9388% 3/12/10 (o) | 3,759,949 | 3,692,597 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
INDUSTRIALS - continued | ||||
Building Products - continued | ||||
Owens Corning: | ||||
6.5% 12/1/16 | $ 1,835,000 | $ 1,739,626 | ||
9% 6/15/19 | 725,000 | 746,750 | ||
| 6,178,973 | |||
Commercial Services & Supplies - 0.2% | ||||
ARAMARK Corp.: | ||||
3.9831% 2/1/15 (o) | 4,985,000 | 4,249,713 | ||
8.5% 2/1/15 | 2,775,000 | 2,684,813 | ||
Casella Waste Systems, Inc. 11% 7/15/14 (h) | 675,000 | 698,625 | ||
Cenveo Corp. 7.875% 12/1/13 | 1,090,000 | 812,050 | ||
Clean Harbors, Inc. 7.625% 8/15/16 (h) | 1,060,000 | 1,065,300 | ||
Corrections Corp. of America 6.25% 3/15/13 | 1,280,000 | 1,251,200 | ||
Iron Mountain, Inc.: | ||||
6.625% 1/1/16 | 3,100,000 | 2,929,500 | ||
7.75% 1/15/15 | 2,545,000 | 2,538,638 | ||
JohnsonDiversey, Inc. 9.625% 5/15/12 | 775,000 | 786,625 | ||
Rental Service Corp. 9.5% 12/1/14 | 2,860,000 | 2,581,150 | ||
| 19,597,614 | |||
Construction & Engineering - 0.0% | ||||
Toys 'R' Us Property Co. I LLC 10.75% 7/15/17 (h) | 3,495,000 | 3,547,425 | ||
Electrical Equipment - 0.0% | ||||
Sensus Metering Systems, Inc. 8.625% 12/15/13 | 4,885,000 | 4,787,300 | ||
Industrial Conglomerates - 0.2% | ||||
Covidien International Finance SA: | ||||
5.15% 10/15/10 | 2,528,000 | 2,632,058 | ||
5.45% 10/15/12 | 618,000 | 673,560 | ||
6% 10/15/17 | 2,929,000 | 3,224,603 | ||
General Electric Co. 5.25% 12/6/17 | 17,730,000 | 18,101,975 | ||
Sequa Corp.: | ||||
11.75% 12/1/15 (h) | 1,415,000 | 877,300 | ||
13.5% 12/1/15 pay-in-kind (h) | 805,100 | 390,876 | ||
| 25,900,372 | |||
Machinery - 0.1% | ||||
Atlas Copco AB 5.6% 5/22/17 (h) | 611,000 | 622,396 | ||
Case Corp. 7.25% 1/15/16 | 1,705,000 | 1,624,013 | ||
Case New Holland, Inc. 7.75% 9/1/13 (h) | 2,355,000 | 2,319,675 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
INDUSTRIALS - continued | ||||
Machinery - continued | ||||
RBS Global, Inc. / Rexnord Corp.: | ||||
9.5% 8/1/14 | $ 885,000 | $ 805,350 | ||
9.5% 8/1/14 (h) | 652,000 | 596,580 | ||
11.75% 8/1/16 | 1,070,000 | 898,800 | ||
Terex Corp. 8% 11/15/17 | 2,830,000 | 2,405,500 | ||
| 9,272,314 | |||
Marine - 0.0% | ||||
Navios Maritime Holdings, Inc. 9.5% 12/15/14 | 3,070,000 | 2,686,250 | ||
Professional Services - 0.0% | ||||
Altegrity, Inc.: | ||||
10.5% 11/1/15 (h) | 1,250,000 | 1,034,375 | ||
11.75% 5/1/16 (h) | 950,000 | 724,375 | ||
FTI Consulting, Inc.: | ||||
7.625% 6/15/13 | 2,105,000 | 2,062,900 | ||
7.75% 10/1/16 | 765,000 | 738,225 | ||
| 4,559,875 | |||
Road & Rail - 0.1% | ||||
Avis Budget Car Rental LLC/Avis Budget Finance, Inc.: | ||||
7.625% 5/15/14 | 2,140,000 | 1,712,000 | ||
7.75% 5/15/16 | 3,495,000 | 2,704,256 | ||
Hertz Corp.: | ||||
8.875% 1/1/14 | 6,310,000 | 5,994,500 | ||
10.5% 1/1/16 | 2,385,000 | 2,343,263 | ||
Kansas City Southern Railway Co. 8% 6/1/15 | 2,410,000 | 2,361,800 | ||
| 15,115,819 | |||
Trading Companies & Distributors - 0.0% | ||||
VWR Funding, Inc. 11.25% 7/15/15 pay-in-kind (f) | 2,515,000 | 2,175,475 | ||
TOTAL INDUSTRIALS | 155,656,352 | |||
INFORMATION TECHNOLOGY - 0.5% | ||||
Communications Equipment - 0.1% | ||||
Cisco Systems, Inc. 4.95% 2/15/19 | 766,000 | 799,473 | ||
Lucent Technologies, Inc.: | ||||
6.45% 3/15/29 | 3,775,000 | 2,567,000 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
INFORMATION TECHNOLOGY - continued | ||||
Communications Equipment - continued | ||||
Lucent Technologies, Inc.: - continued | ||||
6.5% 1/15/28 | $ 1,940,000 | $ 1,319,200 | ||
Nokia Corp. 5.375% 5/15/19 | 7,297,000 | 7,647,562 | ||
| 12,333,235 | |||
Computers & Peripherals - 0.0% | ||||
Seagate Technology HDD Holdings: | ||||
6.375% 10/1/11 | 1,445,000 | 1,416,100 | ||
6.8% 10/1/16 | 4,400,000 | 4,004,000 | ||
Seagate Technology International 10% 5/1/14 (h) | 1,455,000 | 1,556,850 | ||
| 6,976,950 | |||
Electronic Equipment & Components - 0.1% | ||||
Jabil Circuit, Inc.: | ||||
7.75% 7/15/16 | 2,915,000 | 2,867,631 | ||
8.25% 3/15/18 | 2,360,000 | 2,324,600 | ||
Tyco Electronics Group SA: | ||||
5.95% 1/15/14 | 2,950,000 | 2,996,114 | ||
6% 10/1/12 | 3,877,000 | 4,011,164 | ||
6.55% 10/1/17 | 2,360,000 | 2,345,120 | ||
7.125% 10/1/37 | 1,895,000 | 1,895,072 | ||
| 16,439,701 | |||
Internet Software & Services - 0.0% | ||||
Terremark Worldwide, Inc. 12% 6/15/17 (h) | 3,465,000 | 3,638,250 | ||
IT Services - 0.1% | ||||
Ceridian Corp. 11.25% 11/15/15 | 1,795,000 | 1,525,750 | ||
First Data Corp. 9.875% 9/24/15 | 4,450,000 | 3,782,500 | ||
Iron Mountain, Inc. 8% 6/15/20 | 1,205,000 | 1,168,850 | ||
SunGard Data Systems, Inc. 10.25% 8/15/15 | 990,000 | 980,100 | ||
| 7,457,200 | |||
Office Electronics - 0.1% | ||||
Xerox Capital Trust I 8% 2/1/27 | 7,485,000 | 6,010,305 | ||
Xerox Corp. 5.5% 5/15/12 | 1,602,000 | 1,670,075 | ||
| 7,680,380 | |||
Semiconductors & Semiconductor Equipment - 0.1% | ||||
Amkor Technology, Inc.: | ||||
7.75% 5/15/13 | 2,930,000 | 2,871,400 | ||
9.25% 6/1/16 | 2,610,000 | 2,616,525 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
INFORMATION TECHNOLOGY - continued | ||||
Semiconductors & Semiconductor Equipment - continued | ||||
Avago Technologies Finance Ltd. 10.125% 12/1/13 | $ 1,020,000 | $ 1,065,900 | ||
National Semiconductor Corp. 0.8794% 6/15/10 (o) | 3,100,704 | 2,986,896 | ||
| 9,540,721 | |||
TOTAL INFORMATION TECHNOLOGY | 64,066,437 | |||
MATERIALS - 1.8% | ||||
Chemicals - 0.5% | ||||
Ashland, Inc. 9.125% 6/1/17 (h) | 1,095,000 | 1,149,750 | ||
Berry Plastics Corp. 5.2594% 2/15/15 (o) | 1,975,000 | 1,767,625 | ||
Chemtura Corp. 6.875% 6/1/16 (c) | 595,000 | 541,450 | ||
Dow Chemical Co.: | ||||
4.85% 8/15/12 | 9,460,000 | 9,689,405 | ||
7.6% 5/15/14 | 15,028,000 | 16,227,385 | ||
8.55% 5/15/19 | 10,360,000 | 11,284,682 | ||
E.I. du Pont de Nemours & Co. 5% 1/15/13 | 254,000 | 274,927 | ||
Huntsman International LLC 7.875% 11/15/14 | 480,000 | 424,800 | ||
Inergy LP/Inergy Finance Corp. 8.75% 3/1/15 (h) | 2,130,000 | 2,177,925 | ||
JohnsonDiversey Holdings, Inc. 10.67% 5/15/13 | 480,000 | 448,800 | ||
Lubrizol Corp. 8.875% 2/1/19 | 928,000 | 1,144,067 | ||
Momentive Performance Materials, Inc. 9.75% 12/1/14 | 2,675,000 | 1,685,250 | ||
Nalco Co.: | ||||
7.75% 11/15/11 | 386,000 | 386,000 | ||
8.25% 5/15/17 (h) | 2,595,000 | 2,692,313 | ||
8.875% 11/15/13 | 1,270,000 | 1,279,525 | ||
NOVA Chemicals Corp.: | ||||
4.5375% 11/15/13 (o) | 2,720,000 | 2,393,600 | ||
6.5% 1/15/12 | 4,240,000 | 4,070,400 | ||
Pliant Corp. 11.125% 6/15/49 (c) | 60,320 | 7,238 | ||
| 57,645,142 | |||
Construction Materials - 0.0% | ||||
CRH America, Inc. 6% 9/30/16 | 1,833,000 | 1,799,260 | ||
Containers & Packaging - 0.2% | ||||
Ball Corp. 7.125% 9/1/16 | 2,355,000 | 2,366,775 | ||
BWAY Corp. 10% 4/15/14 (h) | 1,600,000 | 1,664,000 | ||
Cascades, Inc. 7.25% 2/15/13 | 1,105,000 | 1,041,463 | ||
Crown Americas LLC/Capital Corp. II 7.625% 5/15/17 (h) | 1,320,000 | 1,310,100 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
MATERIALS - continued | ||||
Containers & Packaging - continued | ||||
Crown Americas LLC/Crown Americas Capital Corp. 7.75% 11/15/15 | $ 700,000 | $ 691,250 | ||
Crown Cork & Seal, Inc.: | ||||
7.375% 12/15/26 | 4,250,000 | 3,655,000 | ||
8% 4/15/23 | 335,000 | 309,875 | ||
Graphic Packaging International, Inc.: | ||||
8.5% 8/15/11 | 1,520,000 | 1,520,000 | ||
9.5% 6/15/17 (h) | 1,660,000 | 1,705,650 | ||
Greif, Inc. 6.75% 2/1/17 | 4,050,000 | 3,786,750 | ||
Owens-Brockway Glass Container, Inc. 7.375% 5/15/16 (h) | 2,130,000 | 2,106,038 | ||
Owens-Illinois, Inc. 7.8% 5/15/18 | 985,000 | 970,225 | ||
Pactiv Corp.: | ||||
5.875% 7/15/12 | 1,713,000 | 1,824,965 | ||
6.4% 1/15/18 | 1,749,000 | 1,729,502 | ||
Rock-Tenn Co.: | ||||
9.25% 3/15/16 | 2,215,000 | 2,325,750 | ||
9.25% 3/15/16 (h) | 505,000 | 530,250 | ||
Vitro SAB de CV 8.625% 2/1/12 (c) | 5,585,000 | 2,220,038 | ||
| 29,757,631 | |||
Metals & Mining - 1.0% | ||||
Anglo American Capital PLC: | ||||
9.375% 4/8/14 (h) | 5,953,000 | 6,786,420 | ||
9.375% 4/8/19 (h) | 8,140,000 | 9,523,800 | ||
BHP Billiton Financial USA Ltd.: | ||||
5.125% 3/29/12 | 1,975,000 | 2,075,277 | ||
5.5% 4/1/14 | 9,113,000 | 9,922,398 | ||
6.5% 4/1/19 | 9,113,000 | 10,389,257 | ||
Compass Minerals International, Inc. 8% 6/1/19 (h) | 2,580,000 | 2,560,650 | ||
Corporacion Nacional del Cobre (Codelco) 6.375% 11/30/12 (h) | 2,002,000 | 2,187,085 | ||
Evraz Group SA 8.875% 4/24/13 (h) | 2,675,000 | 2,444,281 | ||
FMG Finance Property Ltd.: | ||||
10% 9/1/13 (h) | 5,580,000 | 5,831,100 | ||
10.625% 9/1/16 (h) | 789,000 | 844,230 | ||
Freeport-McMoRan Copper & Gold, Inc.: | ||||
4.995% 4/1/15 (o) | 105,000 | 100,275 | ||
8.25% 4/1/15 | 5,665,000 | 5,912,844 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
MATERIALS - continued | ||||
Metals & Mining - continued | ||||
Freeport-McMoRan Copper & Gold, Inc.: - continued | ||||
8.375% 4/1/17 | $ 5,545,000 | $ 5,801,456 | ||
Metals USA, Inc. 11.125% 12/1/15 | 790,000 | 718,900 | ||
Novelis, Inc. 11.5% 2/15/15 (h) | 510,000 | 504,900 | ||
Rio Tinto Finance (USA) Ltd.: | ||||
5.875% 7/15/13 | 3,264,000 | 3,467,840 | ||
6.5% 7/15/18 | 9,474,000 | 10,199,168 | ||
7.125% 7/15/28 | 8,900,000 | 9,414,865 | ||
8.95% 5/1/14 | 7,108,000 | 8,284,225 | ||
Steel Dynamics, Inc.: | ||||
6.75% 4/1/15 | 4,045,000 | 3,771,963 | ||
7.375% 11/1/12 | 1,830,000 | 1,788,825 | ||
Teck Resources Ltd.: | ||||
10.25% 5/15/16 | 1,420,000 | 1,563,704 | ||
10.75% 5/15/19 | 1,420,000 | 1,618,800 | ||
Tube City IMS Corp. 9.75% 2/1/15 | 1,700,000 | 1,224,000 | ||
United States Steel Corp. 6.65% 6/1/37 | 2,648,000 | 2,205,834 | ||
Vale Overseas Ltd. 6.25% 1/23/17 | 5,007,000 | 5,306,594 | ||
| 114,448,691 | |||
Paper & Forest Products - 0.1% | ||||
Domtar Corp.: | ||||
5.375% 12/1/13 | 2,260,000 | 2,045,300 | ||
7.125% 8/15/15 | 2,910,000 | 2,808,150 | ||
10.75% 6/1/17 | 2,420,000 | 2,625,700 | ||
Georgia-Pacific Corp.: | ||||
7% 1/15/15 (h) | 4,190,000 | 4,022,400 | ||
8.875% 5/15/31 | 1,235,000 | 1,179,425 | ||
Georgia-Pacific LLC 8.25% 5/1/16 (h) | 534,198 | 540,875 | ||
Verso Paper Holdings LLC/ Verso Paper, Inc. 11.5% 7/1/14 (h) | 2,955,000 | 2,910,675 | ||
| 16,132,525 | |||
TOTAL MATERIALS | 219,783,249 | |||
TELECOMMUNICATION SERVICES - 2.8% | ||||
Diversified Telecommunication Services - 1.9% | ||||
Alestra SA de RL de CV 11.75% 8/11/14 (h) | 435,000 | 466,538 | ||
AT&T Broadband Corp. 8.375% 3/15/13 | 2,585,000 | 2,987,340 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
TELECOMMUNICATION SERVICES - continued | ||||
Diversified Telecommunication Services - continued | ||||
AT&T, Inc.: | ||||
5.8% 2/15/19 | $ 8,788,000 | $ 9,434,612 | ||
6.3% 1/15/38 | 40,171,000 | 42,173,404 | ||
6.7% 11/15/13 | 1,173,000 | 1,328,638 | ||
6.8% 5/15/36 | 11,484,000 | 12,773,711 | ||
BellSouth Capital Funding Corp. 7.875% 2/15/30 | 1,060,000 | 1,273,349 | ||
British Telecommunications PLC 9.125% 12/15/10 (f) | 2,717,000 | 2,927,266 | ||
Cincinnati Bell, Inc. 8.375% 1/15/14 | 4,195,000 | 4,048,175 | ||
Citizens Communications Co.: | ||||
7.875% 1/15/27 | 925,000 | 763,125 | ||
9% 8/15/31 | 2,260,000 | 2,082,025 | ||
Deutsche Telekom International Financial BV: | ||||
5.25% 7/22/13 | 2,448,000 | 2,607,798 | ||
6.75% 8/20/18 | 3,629,000 | 4,096,927 | ||
Frontier Communications Corp. 8.25% 5/1/14 | 2,245,000 | 2,228,163 | ||
Global Village Telecom Finance LLC 12% 6/30/11 (h) | 2,204,150 | 2,259,254 | ||
Intelsat Bermuda Ltd. 12.5% 2/4/17 pay-in-kind (f)(h) | 1,721,250 | 1,435,690 | ||
Intelsat Ltd.: | ||||
6.5% 11/1/13 | 3,700,000 | 3,293,000 | ||
7.625% 4/15/12 | 6,930,000 | 6,618,150 | ||
11.25% 6/15/16 | 1,035,000 | 1,076,400 | ||
Qwest Capital Funding, Inc. 7.25% 2/15/11 | 1,525,000 | 1,502,125 | ||
Qwest Communications International, Inc.: | ||||
7.5% 2/15/14 | 370,000 | 357,050 | ||
7.5% 2/15/14 | 1,310,000 | 1,264,150 | ||
Qwest Corp.: | ||||
3.8794% 6/15/13 (o) | 1,870,000 | 1,729,750 | ||
7.5% 10/1/14 | 1,730,000 | 1,712,700 | ||
7.625% 6/15/15 | 1,515,000 | 1,503,638 | ||
8.375% 5/1/16 (h) | 3,210,000 | 3,266,175 | ||
SBC Communications, Inc.: | ||||
5.1% 9/15/14 | 2,169,000 | 2,344,492 | ||
5.875% 2/1/12 | 2,733,000 | 2,947,057 | ||
5.875% 8/15/12 | 978,000 | 1,069,656 | ||
Sistema Capital SA 8.875% 1/28/11 (Reg. S) | 1,535,000 | 1,558,025 | ||
Sprint Capital Corp.: | ||||
6.875% 11/15/28 | 17,440,000 | 12,687,600 | ||
7.625% 1/30/11 | 2,350,000 | 2,352,938 | ||
8.375% 3/15/12 | 1,510,000 | 1,511,888 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
TELECOMMUNICATION SERVICES - continued | ||||
Diversified Telecommunication Services - continued | ||||
Sprint Capital Corp.: - continued | ||||
8.75% 3/15/32 | $ 165,000 | $ 136,950 | ||
Telecom Italia Capital SA: | ||||
4% 1/15/10 | 4,890,000 | 4,925,770 | ||
4.95% 9/30/14 | 3,208,000 | 3,310,919 | ||
5.25% 10/1/15 | 1,177,000 | 1,220,908 | ||
6.999% 6/4/18 | 1,793,000 | 1,970,866 | ||
7.175% 6/18/19 | 10,000,000 | 11,132,920 | ||
7.2% 7/18/36 | 10,636,000 | 11,670,245 | ||
Telefonica Emisiones SAU: | ||||
0.8094% 2/4/13 (o) | 2,403,000 | 2,349,786 | ||
6.421% 6/20/16 | 1,162,000 | 1,302,134 | ||
Telefonos de Mexico SA de CV 4.75% 1/27/10 | 6,202,000 | 6,264,020 | ||
Time Warner Telecom Holdings, Inc. 9.25% 2/15/14 | 3,795,000 | 3,861,413 | ||
U.S. West Communications: | ||||
6.875% 9/15/33 | 1,540,000 | 1,201,200 | ||
7.5% 6/15/23 | 3,760,000 | 3,252,400 | ||
Verizon Communications, Inc.: | ||||
6.1% 4/15/18 | 6,000,000 | 6,522,288 | ||
6.25% 4/1/37 | 2,348,000 | 2,481,005 | ||
6.4% 2/15/38 | 7,621,000 | 8,238,392 | ||
6.9% 4/15/38 | 6,295,000 | 7,203,469 | ||
Verizon Global Funding Corp. 7.25% 12/1/10 | 2,741,000 | 2,919,335 | ||
Verizon New England, Inc. 6.5% 9/15/11 | 891,000 | 959,745 | ||
Verizon New York, Inc. 6.875% 4/1/12 | 2,653,000 | 2,890,526 | ||
Wind Acquisition Finance SA 11.75% 7/15/17 (h) | 4,535,000 | 4,920,475 | ||
| 228,415,575 | |||
Wireless Telecommunication Services - 0.9% | ||||
America Movil SAB de CV 5.625% 11/15/17 | 1,809,000 | 1,814,013 | ||
Cleveland Unlimited, Inc. 11.5% 12/15/10 (h)(o) | 1,260,000 | 1,247,400 | ||
Cricket Communications, Inc.: | ||||
7.75% 5/15/16 (h) | 2,905,000 | 2,817,850 | ||
9.375% 11/1/14 | 2,290,000 | 2,158,325 | ||
10% 7/15/15 | 2,130,000 | 2,050,125 | ||
Digicel Group Ltd.: | ||||
8.875% 1/15/15 (h) | 10,810,000 | 9,593,875 | ||
9.125% 1/15/15 pay-in-kind (h)(o) | 3,220,000 | 2,865,800 | ||
9.25% 9/1/12 (h) | 4,765,000 | 4,765,000 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
TELECOMMUNICATION SERVICES - continued | ||||
Wireless Telecommunication Services - continued | ||||
Digicel Group Ltd.: - continued | ||||
12% 4/1/14 (h) | $ 3,545,000 | $ 3,757,700 | ||
Intelsat Jackson Holdings Ltd.: | ||||
9.5% 6/15/16 | 5,450,000 | 5,572,625 | ||
11.5% 6/15/16 | 6,575,000 | 6,640,750 | ||
Intelsat Subsidiary Holding Co. Ltd.: | ||||
8.875% 1/15/15 (h) | 550,000 | 552,750 | ||
8.875% 1/15/15 | 6,110,000 | 6,140,550 | ||
MetroPCS Wireless, Inc.: | ||||
9.25% 11/1/14 | 5,620,000 | 5,545,825 | ||
Millicom International Cellular SA 10% 12/1/13 | 1,065,000 | 1,103,606 | ||
Mobile Telesystems Finance SA 8% 1/28/12 (h) | 4,523,000 | 4,664,344 | ||
Nextel Communications, Inc.: | ||||
5.95% 3/15/14 | 3,785,000 | 3,179,400 | ||
6.875% 10/31/13 | 9,105,000 | 8,148,975 | ||
7.375% 8/1/15 | 3,055,000 | 2,608,206 | ||
NII Capital Corp. 10% 8/15/16 (h) | 3,145,000 | 3,176,450 | ||
Orascom Telecom Finance SCA 7.875% 2/8/14 (h) | 3,800,000 | 3,344,000 | ||
Pakistan Mobile Communications Ltd. 8.625% 11/13/13 (h) | 3,170,000 | 2,694,500 | ||
Sprint Nextel Corp.: | ||||
6% 12/1/16 | 6,370,000 | 5,350,800 | ||
8.375% 8/15/17 | 3,140,000 | 3,010,475 | ||
Telecom Personal SA 9.25% 12/22/10 (h) | 2,475,000 | 2,555,438 | ||
Verizon Wireless Capital LLC: | ||||
5.55% 2/1/14 (h) | 2,374,000 | 2,567,215 | ||
8.5% 11/15/18 (h) | 923,000 | 1,162,617 | ||
Vimpel Communications 8.375% 4/30/13 (Issued by VIP Finance Ireland Ltd. for Vimpel Communications) (h) | 4,300,000 | 4,289,250 | ||
Vodafone Group PLC: | ||||
5% 12/16/13 | 2,296,000 | 2,437,491 | ||
5.5% 6/15/11 | 2,760,000 | 2,929,318 | ||
7.75% 2/15/10 | 1,848,000 | 1,904,046 | ||
| 110,648,719 | |||
TOTAL TELECOMMUNICATION SERVICES | 339,064,294 | |||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
UTILITIES - 2.6% | ||||
Electric Utilities - 1.3% | ||||
AmerenUE 6.4% 6/15/17 | $ 2,987,000 | $ 3,273,573 | ||
Cleveland Electric Illuminating Co.: | ||||
5.65% 12/15/13 | 4,113,000 | 4,337,689 | ||
8.875% 11/15/18 | 831,000 | 1,044,933 | ||
Commonwealth Edison Co.: | ||||
5.4% 12/15/11 | 3,665,000 | 3,913,648 | ||
5.8% 3/15/18 | 10,485,000 | 11,287,144 | ||
6.15% 9/15/17 | 5,140,000 | 5,651,476 | ||
Duke Energy Carolinas LLC: | ||||
5.25% 1/15/18 | 4,710,000 | 5,004,045 | ||
6.05% 4/15/38 | 1,867,000 | 2,091,585 | ||
Edison Mission Energy: | ||||
7% 5/15/17 | 1,190,000 | 908,863 | ||
7.2% 5/15/19 | 4,075,000 | 2,934,000 | ||
7.625% 5/15/27 | 2,215,000 | 1,428,675 | ||
EDP Finance BV: | ||||
5.375% 11/2/12 (h) | 1,993,000 | 2,130,045 | ||
6% 2/2/18 (h) | 9,619,000 | 10,374,640 | ||
Exelon Corp.: | ||||
4.9% 6/15/15 | 6,607,000 | 6,709,554 | ||
6.75% 5/1/11 | 665,000 | 710,901 | ||
FirstEnergy Corp. 6.45% 11/15/11 | 1,973,000 | 2,155,503 | ||
FirstEnergy Solutions Corp.: | ||||
4.8% 2/15/15 (h) | 2,432,000 | 2,485,725 | ||
6.05% 8/15/21 (h) | 5,664,000 | 5,725,732 | ||
6.8% 8/15/39 (h) | 4,340,000 | 4,433,002 | ||
Illinois Power Co. 6.125% 11/15/17 | 3,112,000 | 3,269,900 | ||
Intergen NV 9% 6/30/17 (h) | 6,405,000 | 6,292,913 | ||
IPALCO Enterprises, Inc. 7.25% 4/1/16 (h) | 4,440,000 | 4,306,800 | ||
Majapahit Holding BV: | ||||
7.75% 10/17/16 | 840,000 | 842,100 | ||
8% 8/7/19 (h) | 635,000 | 640,588 | ||
Mirant Americas Generation LLC: | ||||
8.5% 10/1/21 | 3,570,000 | 2,998,800 | ||
9.125% 5/1/31 | 2,785,000 | 2,144,450 | ||
National Power Corp. 6.875% 11/2/16 (h) | 1,490,000 | 1,504,900 | ||
Nevada Power Co.: | ||||
6.5% 5/15/18 | 790,000 | 861,005 | ||
6.5% 8/1/18 | 1,570,000 | 1,713,878 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
UTILITIES - continued | ||||
Electric Utilities - continued | ||||
Oncor Electric Delivery Co. 6.375% 5/1/12 | $ 2,731,000 | $ 2,973,988 | ||
Oncor Electric Delivery Co. LLC 5.95% 9/1/13 | 3,617,000 | 3,911,040 | ||
Pennsylvania Electric Co. 6.05% 9/1/17 | 764,000 | 813,691 | ||
Pepco Holdings, Inc.: | ||||
4% 5/15/10 | 2,231,000 | 2,254,323 | ||
6.45% 8/15/12 | 3,730,000 | 3,968,354 | ||
PPL Capital Funding, Inc. 6.7% 3/30/67 (o) | 8,250,000 | 6,435,000 | ||
Progress Energy, Inc. 7.1% 3/1/11 | 3,385,000 | 3,600,171 | ||
Sierra Pacific Power Co. 5.45% 9/1/13 | 1,560,000 | 1,634,526 | ||
Texas Competitive Electric Holdings Co. LLC: | ||||
Series A, 10.25% 11/1/15 | 4,070,000 | 2,767,600 | ||
Series B, 10.25% 11/1/15 | 5,090,000 | 3,461,200 | ||
11.25% 11/1/16 pay-in-kind | 3,953,031 | 2,223,251 | ||
Virginia Electric & Power Co. 5.4% 4/30/18 | 12,750,000 | 13,516,696 | ||
West Penn Power Co. 5.95% 12/15/17 (h) | 314,000 | 325,361 | ||
Wisconsin Electric Power Co. 6.25% 12/1/15 | 3,012,000 | 3,420,367 | ||
| 152,481,635 | |||
Gas Utilities - 0.1% | ||||
Dynegy Holdings, Inc.: | ||||
8.375% 5/1/16 | 1,365,000 | 1,112,475 | ||
8.75% 2/15/12 | 190,000 | 189,050 | ||
Intergas Finance BV: | ||||
6.375% 5/14/17 (Reg. S) | 1,700,000 | 1,385,500 | ||
6.875% 11/4/11 (Reg. S) | 3,650,000 | 3,522,250 | ||
Southern Natural Gas Co. 5.9% 4/1/17 (h) | 442,000 | 452,786 | ||
Texas Eastern Transmission Corp. 7.3% 12/1/10 | 3,100,000 | 3,192,842 | ||
Transportadora de Gas del Sur SA 7.875% 5/14/17 (h) | 2,855,000 | 2,312,550 | ||
| 12,167,453 | |||
Independent Power Producers & Energy Traders - 0.6% | ||||
AES Corp.: | ||||
7.75% 3/1/14 | 5,400,000 | 5,238,000 | ||
7.75% 10/15/15 | 3,210,000 | 3,121,725 | ||
8% 10/15/17 | 1,615,000 | 1,558,475 | ||
9.75% 4/15/16 (h) | 1,475,000 | 1,534,000 | ||
Allegheny Energy Supply Co. LLC 7.8% 3/15/11 | 9,060,000 | 9,628,134 | ||
Constellation Energy Group, Inc. 7% 4/1/12 | 6,444,000 | 6,916,693 | ||
Duke Capital LLC 5.668% 8/15/14 | 2,055,000 | 2,143,301 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
UTILITIES - continued | ||||
Independent Power Producers & Energy Traders - continued | ||||
Energy Future Holdings: | ||||
10.875% 11/1/17 | $ 4,420,000 | $ 3,182,400 | ||
12% 11/1/17 pay-in-kind (o) | 7,190,300 | 4,199,135 | ||
Exelon Generation Co. LLC 5.35% 1/15/14 | 1,528,000 | 1,597,981 | ||
Mirant North America LLC 7.375% 12/31/13 | 2,000,000 | 1,915,000 | ||
NRG Energy, Inc.: | ||||
7.25% 2/1/14 | 3,820,000 | 3,667,200 | ||
7.375% 2/1/16 | 3,120,000 | 2,932,800 | ||
7.375% 1/15/17 | 4,070,000 | 3,876,675 | ||
8.5% 6/15/19 | 2,750,000 | 2,640,000 | ||
PPL Energy Supply LLC 6.5% 5/1/18 | 6,895,000 | 7,266,785 | ||
RRI Energy, Inc.: | ||||
6.75% 12/15/14 | 1,744,000 | 1,744,000 | ||
7.625% 6/15/14 | 5,495,000 | 5,027,925 | ||
7.875% 6/15/17 | 745,000 | 661,188 | ||
Tenaska Alabama Partners LP 7% 6/30/21 (h) | 432,502 | 379,521 | ||
| 69,230,938 | |||
Multi-Utilities - 0.6% | ||||
Aquila, Inc. 11.875% 7/1/12 (o) | 155,000 | 175,925 | ||
Dominion Resources, Inc.: | ||||
4.75% 12/15/10 | 3,931,000 | 4,052,987 | ||
6.3% 9/30/66 (o) | 3,991,000 | 2,913,430 | ||
7.5% 6/30/66 (o) | 14,890,000 | 12,209,800 | ||
DTE Energy Co. 7.05% 6/1/11 | 984,000 | 1,045,469 | ||
KeySpan Corp. 7.625% 11/15/10 | 494,000 | 521,723 | ||
MidAmerican Energy Holdings, Co.: | ||||
5.75% 4/1/18 | 7,846,000 | 8,364,150 | ||
5.875% 10/1/12 | 2,921,000 | 3,168,210 | ||
6.5% 9/15/37 | 11,505,000 | 12,778,396 | ||
National Grid PLC 6.3% 8/1/16 | 1,477,000 | 1,596,823 | ||
NiSource Finance Corp.: | ||||
5.25% 9/15/17 | 843,000 | 783,238 | ||
5.4% 7/15/14 | 1,347,000 | 1,347,973 | ||
5.45% 9/15/20 | 1,934,000 | 1,753,119 | ||
6.4% 3/15/18 | 1,326,000 | 1,332,676 | ||
6.8% 1/15/19 | 10,000,000 | 10,141,370 | ||
7.875% 11/15/10 | 1,022,000 | 1,074,823 | ||
10.75% 3/15/16 | 5,913,000 | 6,925,187 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
UTILITIES - continued | ||||
Multi-Utilities - continued | ||||
Wisconsin Energy Corp. 6.25% 5/15/67 (o) | $ 6,172,000 | $ 4,875,880 | ||
WPS Resources Corp. 6.11% 12/1/66 (o) | 882,000 | 643,860 | ||
| 75,705,039 | |||
TOTAL UTILITIES | 309,585,065 | |||
TOTAL NONCONVERTIBLE BONDS | 3,348,951,422 | |||
TOTAL CORPORATE BONDS (Cost $3,198,120,247) | 3,356,947,773 | |||
U.S. Government and Government Agency Obligations - 20.9% | ||||
| ||||
U.S. Government Agency Obligations - 1.9% | ||||
Fannie Mae: | ||||
4.375% 7/17/13 (l) | 8,745,000 | 9,414,071 | ||
4.75% 11/19/12 | 24,650,000 | 26,899,313 | ||
5% 2/16/12 | 7,340,000 | 7,959,313 | ||
Federal Home Loan Bank: | ||||
1.75% 8/22/12 | 67,240,000 | 67,077,750 | ||
3.625% 5/29/13 | 15,625,000 | 16,420,313 | ||
Freddie Mac: | ||||
2.125% 3/23/12 | 665,000 | 674,716 | ||
3% 7/28/14 | 50,000,000 | 50,727,400 | ||
5.25% 7/18/11 (g) | 50,000,000 | 53,954,150 | ||
Tennessee Valley Authority 5.375% 4/1/56 | 385,000 | 395,172 | ||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | 233,522,198 | |||
U.S. Treasury Inflation Protected Obligations - 5.4% | ||||
U.S. Treasury Inflation-Indexed Notes: | ||||
1.625% 1/15/18 | 83,990,880 | 83,072,188 | ||
2% 1/15/14 (l) | 329,318,552 | 335,493,275 | ||
2% 7/15/14 | 74,358,050 | 75,868,411 | ||
2.625% 7/15/17 | 139,780,427 | 148,735,041 | ||
TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS | 643,168,915 | |||
U.S. Government and Government Agency Obligations - continued | ||||
| Principal Amount (d) | Value | ||
U.S. Treasury Obligations - 13.3% | ||||
U.S. Treasury Bonds: | ||||
4.25% 5/15/39 | $ 88,478,000 | $ 89,459,575 | ||
4.5% 5/15/38 | 20,000,000 | 21,062,500 | ||
U.S. Treasury Notes: | ||||
0.875% 3/31/11 | 21,090,000 | 21,136,967 | ||
1% 8/31/11 | 400,000,000 | 400,156,355 | ||
1.25% 11/30/10 | 21,871,000 | 22,064,930 | ||
1.75% 8/15/12 | 141,454,000 | 142,570,214 | ||
1.75% 3/31/14 | 125,000,000 | 122,382,750 | ||
1.875% 6/15/12 (g) | 94,350,000 | 95,580,984 | ||
1.875% 4/30/14 | 50,000,000 | 49,128,900 | ||
2.625% 7/31/14 | 300,000,000 | 303,562,500 | ||
2.75% 2/15/19 | 300,000,000 | 283,992,300 | ||
4.5% 9/30/11 (l) | 41,855,000 | 44,824,110 | ||
TOTAL U.S. TREASURY OBLIGATIONS | 1,595,922,085 | |||
Other Government Related - 0.3% | ||||
Citigroup Funding, Inc. 2.125% 7/12/12 (FDIC Guaranteed) (i) | 32,000,000 | 32,269,280 | ||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $2,467,200,382) | 2,504,882,478 | |||
U.S. Government Agency - Mortgage Securities - 12.4% | ||||
| ||||
Fannie Mae - 11.9% | ||||
3.334% 4/1/36 (o) | 2,142,068 | 2,186,248 | ||
3.75% 10/1/33 (o) | 1,355,101 | 1,379,593 | ||
4% 9/1/39 (j) | 16,000,000 | 15,639,738 | ||
4% 9/14/39 (j) | 19,000,000 | 18,572,188 | ||
4.275% 6/1/36 (o) | 369,031 | 383,014 | ||
4.5% 9/17/24 (j) | 12,000,000 | 12,332,974 | ||
4.5% 9/17/24 (j) | 23,000,000 | 23,638,199 | ||
4.5% 7/1/39 | 128,000,058 | 128,795,131 | ||
4.5% 9/1/39 (j)(k) | 31,000,000 | 31,144,116 | ||
5% 8/1/18 to 9/1/38 | 167,030,544 | 172,654,902 | ||
5% 9/17/24 (j) | 5,000,000 | 5,209,326 | ||
5% 9/14/39 (j)(k) | 37,000,000 | 37,957,094 | ||
5% 9/14/39 (j) | 48,000,000 | 49,241,635 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal Amount (d) | Value | ||
Fannie Mae - continued | ||||
5% 9/14/39 (j) | $ 35,000,000 | $ 35,905,359 | ||
5.3% 12/1/35 (o) | 1,201,614 | 1,256,144 | ||
5.308% 2/1/36 (o) | 1,788,814 | 1,878,285 | ||
5.5% 3/1/18 to 3/1/39 (k) | 354,959,450 | 371,617,221 | ||
5.5% 9/1/24 (j)(k) | 36,000,000 | 37,869,444 | ||
5.5% 9/1/24 (j)(k) | 53,000,000 | 55,752,237 | ||
5.5% 9/17/24 (j) | 3,000,000 | 3,155,787 | ||
5.5% 9/1/39 (j)(k) | 35,250,000 | 36,670,508 | ||
5.564% 7/1/37 (o) | 1,086,759 | 1,138,148 | ||
6% 6/1/22 to 3/1/38 (k) | 260,163,561 | 276,036,901 | ||
6% 9/1/39 (j) | 2,000,000 | 2,103,748 | ||
6.004% 4/1/36 (o) | 829,305 | 873,989 | ||
6.319% 4/1/36 (o) | 898,563 | 954,161 | ||
6.5% 12/1/34 to 8/1/37 | 26,040,252 | 28,031,536 | ||
6.5% 9/1/39 (j) | 2,000,000 | 2,138,650 | ||
6.5% 9/14/39 (j)(k) | 18,000,000 | 19,247,854 | ||
6.5% 9/14/39 (j) | 28,000,000 | 29,941,106 | ||
6.5% 10/14/39 (j) | 18,000,000 | 19,166,994 | ||
TOTAL FANNIE MAE | 1,422,872,230 | |||
Freddie Mac - 0.5% | ||||
4.702% 11/1/35 (o) | 8,081,295 | 8,404,200 | ||
5% 4/1/38 | 4,408,418 | 4,537,435 | ||
5.5% 11/1/17 | 2,990,039 | 3,189,576 | ||
5.669% 10/1/35 (o) | 619,000 | 654,786 | ||
5.919% 6/1/36 (o) | 2,007,679 | 2,102,789 | ||
6% 11/1/33 to 2/1/38 | 43,248,273 | 45,720,051 | ||
6.103% 6/1/36 (o) | 986,111 | 1,032,899 | ||
TOTAL FREDDIE MAC | 65,641,736 | |||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $1,456,596,876) | 1,488,513,966 | |||
Asset-Backed Securities - 2.0% | ||||
| ||||
Accredited Mortgage Loan Trust Series 2005-1 | 1,821,633 | 966,714 | ||
ACE Securities Corp. Series 2006-NC2: | ||||
Class M7, 1.0156% 7/25/36 (o) | 834,000 | 1,554 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (d) | Value | ||
ACE Securities Corp. Series 2006-NC2: - continued | ||||
Class M8, 1.1156% 7/25/36 (o) | $ 37,062 | $ 42 | ||
ACE Securities Corp. Home Equity Loan Trust: | ||||
Series 2004-HE1: | ||||
Class M1, 0.7656% 2/25/34 (o) | 307,946 | 280,958 | ||
Class M2, 1.3656% 2/25/34 (o) | 483,000 | 191,732 | ||
Series 2005-HE2 Class M2, 0.7156% 4/25/35 (o) | 262,278 | 227,028 | ||
Series 2005-SD1 Class A1, 0.6656% 11/25/50 (o) | 34,538 | 32,133 | ||
Series 2006-HE2: | ||||
Class M3, 0.6056% 5/25/36 (o) | 362,526 | 6,459 | ||
Class M4, 0.6656% 5/25/36 (o) | 108,725 | 1,690 | ||
Series 2006-OP1: | ||||
Class M4, 0.6356% 4/25/36 (o) | 170,200 | 4,646 | ||
Class M5, 0.6556% 4/25/36 (o) | 161,690 | 3,217 | ||
Advanta Business Card Master Trust: | ||||
Series 2005-A2 Class A2, 0.4025% 5/20/13 (o) | 2,756,051 | 2,645,809 | ||
Series 2006-A6 Class A6, 0.3025% 9/20/13 (o) | 5,445,957 | 5,228,119 | ||
Series 2006-A7 Class A7, 0.2925% 10/20/12 (o) | 2,998,584 | 2,878,640 | ||
Series 2006-C1 Class C1, 0.7525% 10/20/14 (o) | 642,000 | 19,260 | ||
Series 2007-A1 Class A, 0.3225% 1/20/15 (o) | 2,011,917 | 1,931,441 | ||
Series 2007-A4 Class A4, 0.3025% 4/22/13 (o) | 2,404,379 | 2,308,204 | ||
Series 2007-D1 Class D, 1.6725% 1/22/13 (h)(o) | 2,590,000 | 51,800 | ||
Airspeed Ltd. Series 2007-1A Class C1, 2.7728% 6/15/32 (h)(o) | 4,530,774 | 1,744,348 | ||
ALG Student Loan Trust I Series 2006-1 Class A1, 1.0825% 10/28/18 (h)(o) | 651,724 | 650,268 | ||
AmeriCredit Automobile Receivables Trust: | ||||
Series 2005-DA Class A4, 5.02% 11/6/12 | 253,080 | 255,544 | ||
Series 2006-1 Class B1, 5.2% 3/6/11 | 87,268 | 87,301 | ||
AmeriCredit Prime Automobile Receivables Trust: | ||||
Series 2007-1: | ||||
Class D, 5.62% 9/30/14 | 1,125,000 | 618,750 | ||
Class E, 6.96% 3/31/16 (h) | 2,052,284 | 1,026,142 | ||
Series 2007-2M Class A3, 5.22% 4/8/10 | 369,640 | 375,847 | ||
Ameriquest Mortgage Securities, Inc. pass-thru certificates: | ||||
Series 2003-10 Class M1, 0.9656% 12/25/33 (o) | 120,846 | 87,105 | ||
Series 2004-R11 Class M1, 0.9256% 11/25/34 (o) | 572,200 | 264,806 | ||
Series 2004-R2 Class M3, 0.8156% 4/25/34 (o) | 156,351 | 64,910 | ||
Series 2005-R2 Class M1, 0.7156% 4/25/35 (o) | 2,064,696 | 1,462,805 | ||
Anthracite CDO II Ltd. Series 2002-2A: | ||||
Class F, 7.6% 12/24/37 (h) | 160,000 | 64,000 | ||
Class G, 9.75% 12/24/37 (h) | 210,000 | 73,500 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (d) | Value | ||
Anthracite CDO III Ltd./Anthracite CDO III Corp. | $ 263,363 | $ 171,186 | ||
Argent Securities, Inc. pass-thru certificates: | ||||
Series 2003-W7 Class A2, 0.6556% 3/1/34 (o) | 47,932 | 12,351 | ||
Series 2004-W11 Class M2, 0.9656% 11/25/34 (o) | 561,149 | 233,326 | ||
Series 2004-W7: | ||||
Class M1, 0.8156% 5/25/34 (o) | 1,542,998 | 743,995 | ||
Class M2, 0.8656% 5/25/34 (o) | 1,290,110 | 908,277 | ||
Series 2006-W4 Class A2C, 0.4256% 5/25/36 (o) | 1,552,054 | 472,850 | ||
Asset Backed Funding Corp. Series 2006-OPT2 | 1,259,792 | 20,176 | ||
Asset Backed Securities Corp. Home Equity Loan Trust: | ||||
Series 2004-HE2 Class M1, 0.8156% 4/25/34 (o) | 2,668,736 | 1,412,565 | ||
Series 2004-HE6 Class A2, 0.6256% 6/25/34 (o) | 416,700 | 213,018 | ||
Series 2006-HE2 Class M1, 0.6356% 3/25/36 (o) | 262,000 | 8,147 | ||
Axon Financial Funding Ltd. Series 2007-1A Class A1, 5.96% 4/4/17 (c)(h)(o) | 7,217,000 | 1 | ||
Bank America Auto Trust Series 2009-1A Class A3, 2.67% 7/15/13 (h) | 9,500,000 | 9,603,364 | ||
Bank of America Credit Card Master Trust | 3,433,000 | 3,425,227 | ||
Bear Stearns Asset Backed Securities I Trust | 92,707 | 68,433 | ||
BMW Floorplan Master Owner Trust Series 2006-1A Class B, 0.3628% 9/17/11 (h)(o) | 373,000 | 372,542 | ||
Brascan Real Estate CDO Ltd./Brascan Real Estate CDO Corp. Series 2004-1A Class A, 0.86% 1/20/40 (h)(o) | 392,513 | 262,984 | ||
Brazos Higher Education Authority, Inc. Student Loan Rev. Series 2006 A2R, 5.03% 12/1/41 | 1,752,176 | 1,541,915 | ||
Brazos Higher Education Authority, Inc. Series 2006-2 Class A9, 0.6175% 12/26/24 (o) | 2,296,541 | 2,145,520 | ||
C-BASS Trust Series 2006-CB7 Class A2, 0.3256% 10/25/36 (o) | 805,334 | 731,795 | ||
Capital Auto Receivables Asset Trust: | ||||
Series 2006-1: | ||||
Class B, 5.26% 10/15/10 | 639,862 | 642,471 | ||
Class C, 5.55% 1/18/11 | 1,500,000 | 1,505,855 | ||
Class D, 7.16% 1/15/13 (h) | 160,000 | 147,200 | ||
Series 2006-2: | ||||
Class B, 5.07% 12/15/11 | 2,222,000 | 2,251,748 | ||
Class C, 5.31% 6/15/12 | 1,634,000 | 1,593,086 | ||
Series 2007-1 Class C, 5.38% 11/15/12 | 582,000 | 468,302 | ||
Series 2007-SN1 Class D, 6.05% 1/17/12 | 285,000 | 263,625 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (d) | Value | ||
Capital One Auto Finance Trust: | ||||
Series 2005-BSS Class D, 4.8% 9/15/12 | $ 1,204,000 | $ 1,205,057 | ||
Series 2006-C: | ||||
Class A3A, 5.07% 7/15/11 | 29,664 | 29,667 | ||
Class A3B, 0.2828% 7/15/11 (o) | 75,272 | 75,039 | ||
Series 2007-B Class A3A, 5.03% 4/15/12 | 748,275 | 755,906 | ||
Capital One Multi-Asset Execution Trust: | ||||
Series 2007-C3 Class C3, 0.5628% 4/15/13 (h)(o) | 2,908,037 | 2,795,889 | ||
Series 2009-A2 Class A2, 3.2% 4/15/14 | 10,000,000 | 10,180,903 | ||
Capital Trust Ltd. Series 2004-1: | ||||
Class A2, 0.7225% 7/20/39 (h)(o) | 457,498 | 91,500 | ||
Class B, 1.0225% 7/20/39 (h)(o) | 263,810 | 31,657 | ||
Class C, 1.3725% 7/20/39 (h)(o) | 339,379 | 27,150 | ||
Capital Trust RE CDO Ltd./Capital Trust RE CDO Corp. Series 2005-3A Class A2, 5.16% 6/25/35 (h) | 830,000 | 597,600 | ||
CapitalSource Real Estate Loan Trust Series 2006-1A Class A2A, 0.76% 1/20/37 (h)(o) | 221,569 | 99,706 | ||
Capmark VII Ltd. Series 2006-7A Class H, 1.8228% 8/15/36 (h)(o) | 504,923 | 0 | ||
CarMax Auto Owner Trust Series 2007-2 Class C, 5.61% 11/15/13 | 928,000 | 835,200 | ||
Carrington Mortgage Loan Trust: | ||||
Series 2006-FRE1 Class M1, 0.5656% 7/25/36 (o) | 1,140,851 | 39,749 | ||
Series 2006-NC2 Class M7, 1.1156% 6/25/36 (o) | 425,500 | 7,791 | ||
Series 2006-NC3 Class M10, 2.2656% 8/25/36 (h)(o) | 290,000 | 4,890 | ||
Series 2006-NC4 Class M1, 0.5656% 10/25/36 (o) | 224,000 | 7,552 | ||
Series 2006-RFC1 Class M9, 2.1356% 5/25/36 (o) | 186,369 | 4,595 | ||
Series 2007-RFC1 Class A3, 0.4056% 12/25/36 (o) | 1,802,588 | 474,167 | ||
Cendant Timeshare Receivables Funding LLC: | ||||
Series 2005 1A Class 2A2, 0.4525% 5/20/17 (h)(o) | 221,719 | 177,950 | ||
Series 2005-1A Class A1, 4.67% 5/20/17 (h) | 698,429 | 546,185 | ||
Chase Issuance Trust Series 2004-3 Class C, 0.7428% 6/15/12 (o) | 530,000 | 527,711 | ||
CIT Equipment Collateral Trust Series 2006-VT2 Class D, 5.46% 4/20/14 | 290,602 | 259,123 | ||
Citigroup Mortgage Loan Trust Series 2007-AMC4 | 765,389 | 24,450 | ||
Countrywide Asset-Backed Certificates Trust: | ||||
Series 2006-13 Class 1AF1, 0.3856% 1/25/37 (o) | 6,426 | 6,373 | ||
Series 2007-11 Class 2A1, 0.3256% 6/25/47 (o) | 160,821 | 152,384 | ||
Series 2007-4 Class A1A, 0.3856% 9/25/37 (o) | 939,940 | 883,333 | ||
Countrywide Home Loan Trust Series 2006-13 Class N, 7% 8/25/37 (h) | 811,000 | 81 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (d) | Value | ||
Countrywide Home Loans, Inc.: | ||||
Series 2004-3: | ||||
Class M1, 0.7656% 6/25/34 (o) | $ 948,567 | $ 520,284 | ||
Class M4, 1.2356% 4/25/34 (o) | 159,822 | 81,245 | ||
Series 2004-4 Class M2, 0.7956% 6/25/34 (o) | 587,945 | 377,033 | ||
Series 2005-3 Class MV1, 0.6856% 8/25/35 (o) | 2,043,541 | 1,858,825 | ||
Series 2005-AB1 Class A2, 0.4756% 8/25/35 (o) | 361,246 | 331,173 | ||
CPS Auto Receivables Trust: | ||||
Series 2006-D: | ||||
Class A3, 5.157% 5/15/11 (h) | 54,359 | 54,382 | ||
Class A4, 5.115% 8/15/13 (h) | 1,012,000 | 991,892 | ||
Series 2007-B Class A3, 5.47% 11/15/11 (h) | 368,595 | 369,765 | ||
Series 2007-C Class A3, 5.43% 5/15/12 (h) | 297,494 | 297,391 | ||
Crest Clarendon Street Ltd./Crest Clarendon Corp. Series 2002-1A: | ||||
Class B1, 6.065% 12/28/35 (h) | 500,000 | 215,000 | ||
Class B2, 1.9513% 12/28/35 (h)(o) | 500,000 | 150,000 | ||
Crest Dartmouth Street Ltd./Crest Dartmouth Street Corp. Series 2003-1A Class D, 9% 6/28/38 (h) | 100,000 | 25,000 | ||
DB Master Finance LLC Series 2006-1 Class M1, 8.285% 6/20/31 (h) | 235,000 | 205,773 | ||
Discover Card Master Trust I Series 2007-1 Class B, 0.3728% 8/15/12 (o) | 2,908,000 | 2,854,166 | ||
Drive Auto Receivables Trust Series 2006-1 Class A4, 5.54% 12/16/13 (h) | 2,051,974 | 2,027,666 | ||
Fannie Mae subordinate REMIC pass-thru certificates Series 2004-T5 Class AB3, 0.6603% 5/28/35 (o) | 38,916 | 21,614 | ||
Fieldstone Mortgage Investment Corp.: | ||||
Series 2004-3 Class M5, 2.4406% 8/25/34 (o) | 290,872 | 58,554 | ||
Series 2006-3 Class 2A3, 0.4256% 11/25/36 (o) | 6,074,620 | 1,845,999 | ||
First Franklin Mortgage Loan Trust: | ||||
Series 2004-FF2 Class M3, 1.0906% 3/25/34 (o) | 30,878 | 15,283 | ||
Series 2005-FF9 Class A3, 0.5456% 10/25/35 (o) | 6,305,998 | 5,287,425 | ||
Series 2006-FF12 Class A2, 0.3056% 9/25/36 (o) | 277,873 | 270,427 | ||
Series 2006-FF5 Class 2A2, 0.3756% 4/25/36 (o) | 97,764 | 94,354 | ||
Ford Credit Auto Owner Trust: | ||||
Series 2006-B Class D, 7.26% 2/15/13 (h) | 1,175,000 | 1,091,467 | ||
Series 2006-C: | ||||
Class B, 5.3% 6/15/12 | 649,000 | 656,280 | ||
Class D, 6.89% 5/15/13 (h) | 915,000 | 796,777 | ||
Series 2007-A Class D, 7.05% 12/15/13 (h) | 970,000 | 853,717 | ||
Ford Credit Floorplan Master Owner Trust Series 2006-4 Class B, 0.8228% 6/15/13 (o) | 772,878 | 502,371 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (d) | Value | ||
Franklin Auto Trust: | ||||
Series 2006-1: | ||||
Class B, 5.14% 7/21/14 | $ 72,000 | $ 58,221 | ||
Class C, 5.41% 7/21/14 | 638,000 | 319,000 | ||
Series 2007-1: | ||||
Class A4, 5.03% 2/16/15 | 502,000 | 516,505 | ||
Class C, 5.43% 2/16/15 | 614,000 | 292,186 | ||
Fremont Home Loan Trust: | ||||
Series 2004-1: | ||||
Class M1, 0.9406% 2/25/34 (o) | 72,096 | 32,495 | ||
Class M2, 1.0156% 2/25/34 (o) | 123,225 | 95,566 | ||
Series 2005-A: | ||||
Class M3, 0.7556% 1/25/35 (o) | 948,695 | 221,985 | ||
Class M4, 0.9456% 1/25/35 (o) | 363,547 | 66,597 | ||
Series 2006-A Class M4, 0.6656% 5/25/36 (o) | 190,539 | 1,824 | ||
Series 2006-D Class M1, 0.4956% 11/25/36 (o) | 324,000 | 4,998 | ||
GCO Education Loan Funding Master Trust II | 2,892,000 | 2,163,578 | ||
GCO Slims Trust Series 2006-1A, 5.72% 3/1/22 (h) | 2,719,313 | 2,175,450 | ||
GE Business Loan Trust: | ||||
Series 2003-1 Class A, 0.7028% 4/15/31 (h)(o) | 345,167 | 231,262 | ||
Series 2006-2A: | ||||
Class A, 0.4528% 11/15/34 (h)(o) | 2,481,535 | 1,488,921 | ||
Class B, 0.5528% 11/15/34 (h)(o) | 896,405 | 259,957 | ||
Class C, 0.6528% 11/15/34 (h)(o) | 1,489,789 | 327,753 | ||
Class D, 1.0228% 11/15/34 (h)(o) | 565,721 | 90,515 | ||
GE Capital Credit Card Master Note Trust: | ||||
Series 2006-1: | ||||
Class B, 0.3828% 9/17/12 (o) | 889,000 | 862,330 | ||
Class C, 0.5128% 9/17/12 (o) | 692,000 | 650,480 | ||
Series 2007-1 Class C, 0.5428% 3/15/13 (o) | 4,746,000 | 4,347,668 | ||
GE Equipment Midticket LLC Series 2006-1 Class B, 0.4228% 9/15/17 (o) | 1,151,000 | 932,399 | ||
Goal Capital Funding Trust Series 2007-1 Class C1, 1.0075% 6/25/42 (o) | 739,000 | 443,400 | ||
GS Auto Loan Trust: | ||||
Series 2006-1 Class D, 6.25% 1/15/14 (h) | 289,822 | 246,348 | ||
Series 2007-1: | ||||
Class B, 5.53% 12/15/14 | 97,423 | 84,678 | ||
Class C, 5.74% 12/15/14 | 206,932 | 165,546 | ||
GSAMP Trust: | ||||
Series 2004-AR1: | ||||
Class B4, 5% 6/25/34 (h)(o) | 416,574 | 30,815 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (d) | Value | ||
GSAMP Trust: - continued | ||||
Series 2004-AR1: | ||||
Class M1, 0.9156% 6/25/34 (o) | $ 2,723,367 | $ 1,435,156 | ||
Series 2007-HE1 Class M1, 0.5156% 3/25/47 (o) | 1,096,059 | 42,294 | ||
GSR Mortgage Loan Trust: | ||||
Series 2004-OPT Class A1, 0.6056% 11/25/34 (o) | 15,860 | 6,950 | ||
Series 2005-MTR1 Class A1, 0.4056% 10/25/35 (o) | 78,508 | 77,651 | ||
Series 2006-FM1 Class M3, 0.6156% 4/25/36 (o) | 431,287 | 4,478 | ||
Guggenheim Structured Real Estate Funding Ltd.: | ||||
Series 2005-1 Class C, 1.3456% 5/25/30 (h)(o) | 659,999 | 99,000 | ||
Series 2006-3: | ||||
Class B, 0.6656% 9/25/46 (h)(o) | 654,930 | 98,240 | ||
Class C, 0.8156% 9/25/46 (h)(o) | 1,526,694 | 152,669 | ||
Class E, 1.9156% 9/25/46 (h)(o) | 250,919 | 15,055 | ||
Home Equity Asset Trust: | ||||
Series 2002-3 Class A5, 1.1456% 2/25/33 (o) | 402 | 96 | ||
Series 2003-2 Class M1, 1.5856% 8/25/33 (o) | 512,285 | 249,509 | ||
Series 2003-3 Class M1, 1.5556% 8/25/33 (o) | 899,380 | 433,667 | ||
Series 2003-5 Class A2, 0.9656% 12/25/33 (o) | 32,929 | 12,002 | ||
Series 2003-7 Class A2, 1.0256% 3/25/34 (o) | 1,657 | 647 | ||
Series 2004-3 Class M2, 1.9656% 8/25/34 (o) | 300,402 | 173,903 | ||
Series 2004-7 Class A3, 0.6556% 1/25/35 (o) | 613 | 368 | ||
Series 2005-5 Class 2A2, 0.5156% 11/25/35 (o) | 272,057 | 256,017 | ||
Series 2006-1 Class 2A3, 0.4906% 4/25/36 (o) | 3,362,465 | 3,092,394 | ||
Series 2006-3N Class B, 6.5% 8/27/36 (h) | 250,000 | 0 | ||
Series 2006-8 Class 2A1, 0.3156% 3/25/37 (o) | 21,005 | 19,400 | ||
HSBC Credit Card Master Note Trust I Series 2006-1 Class B, 0.4128% 6/15/12 (o) | 2,249,000 | 2,233,531 | ||
HSBC Home Equity Loan Trust Series 2006-2: | ||||
Class M1, 0.5425% 3/20/36 (o) | 586,295 | 337,266 | ||
Class M2, 0.5625% 3/20/36 (o) | 970,086 | 470,580 | ||
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.4556% 1/25/37 (o) | 1,522,035 | 447,064 | ||
Hyundai Auto Receivables Trust Series 2006-1: | ||||
Class B, 5.29% 11/15/12 | 131,168 | 131,950 | ||
Class C, 5.34% 11/15/12 | 169,955 | 172,556 | ||
JPMorgan Mortgage Acquisition Trust: | ||||
Series 2006-NC2 Class M2, 0.5656% 7/25/36 (o) | 204,000 | 4,076 | ||
Series 2007-CH1: | ||||
Class AV4, 0.3956% 11/25/36 (o) | 1,520,141 | 683,227 | ||
Class MV1, 0.4956% 11/25/36 (o) | 1,234,797 | 126,393 | ||
Series 2007-CH3 Class M1, 0.5656% 3/25/37 (o) | 573,000 | 19,755 | ||
Kent Funding III Ltd. Series 2006-3A Class D, 4.1538% 10/29/47 (o) | 281,890 | 28 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (d) | Value | ||
Keycorp Student Loan Trust: | ||||
Series 1999-A Class A2, 1.5575% 12/27/09 (o) | $ 1,013,685 | $ 805,338 | ||
Series 2006-A: | ||||
Class 2A1, 1.2575% 9/27/21 (o) | 382,221 | 379,265 | ||
Class 2C, 2.3775% 3/27/42 (o) | 3,243,000 | 528,596 | ||
Lancer Funding Ltd. Series 2006-1A Class A3, 2.2775% 4/6/46 (h)(o) | 272,850 | 27 | ||
Leafs CMBS I Ltd. Series 2002-1A Class D, 4.13% 11/20/37 (h) | 155,863 | 81,049 | ||
Leafs CMBS I Ltd./Leafs CMBS I Corp. Series 2002-1A Class A2, 0.8225% 11/20/17 (h)(o) | 500,000 | 410,000 | ||
Long Beach Auto Receivables Trust Series 2007-A | 3,523,500 | 3,241,490 | ||
Long Beach Mortgage Loan Trust: | ||||
Series 2004-2 Class M2, 1.3456% 6/25/34 (o) | 336,518 | 258,379 | ||
Series 2006-8 Class 2A1, 0.3056% 9/25/36 (o) | 26,392 | 26,113 | ||
Marathon Real Estate CDO Ltd. Series 2006-1A Class B, 0.6956% 5/25/46 (h)(o) | 250,000 | 20,000 | ||
Marriott Vacation Club Owner Trust Series 2006-2A: | ||||
Class B, 5.442% 10/20/28 (h) | 28,260 | 15,543 | ||
Class C, 5.691% 10/20/28 (h) | 12,560 | 6,280 | ||
Class D, 6.01% 10/20/28 (h) | 149,545 | 67,295 | ||
MASTR Asset Backed Securities Trust: | ||||
Series 2006-AM3 Class M1, 0.5256% 10/25/36 (o) | 545,328 | 14,887 | ||
Series 2007-HE1 Class M1, 0.5656% 5/25/37 (o) | 784,792 | 27,469 | ||
Meritage Mortgage Loan Trust Series 2004-1 Class M1, 1.0156% 7/25/34 (o) | 220,450 | 97,568 | ||
Merrill Auto Trust Securitization Series 2007-1 Class B, 5.79% 12/16/13 | 417,699 | 397,382 | ||
Merrill Lynch Mortgage Investors Trust: | ||||
Series 2003-OPT1 Class M1, 0.9156% 7/25/34 (o) | 936,072 | 663,792 | ||
Series 2006-FM1 Class A2B, 0.3756% 4/25/37 (o) | 2,667,349 | 1,940,582 | ||
Series 2006-MLN1 Class A2A, 0.3356% 7/25/37 (o) | 76,585 | 73,016 | ||
Series 2006-OPT1 Class A1A, 0.5256% 6/25/35 (o) | 3,475,759 | 1,707,022 | ||
Morgan Stanley ABS Capital I Trust: | ||||
Series 2004-HE6 Class A2, 0.6056% 8/25/34 (o) | 57,368 | 11,978 | ||
Series 2005-HE1 Class M2, 0.7356% 12/25/34 (o) | 487,793 | 326,801 | ||
Series 2005-HE2 Class M1, 0.6656% 1/25/35 (o) | 441,329 | 167,620 | ||
Series 2005-NC1 Class M1, 0.7056% 1/25/35 (o) | 399,800 | 159,786 | ||
Series 2005-NC2 Class B1, 1.4356% 3/25/35 (o) | 416,362 | 65,499 | ||
Series 2006-HE6 Class A2A, 0.3056% 9/25/36 (o) | 407,177 | 399,022 | ||
Series 2006-NC4 Class M4, 0.6156% 6/25/36 (o) | 320,280 | 1,718 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (d) | Value | ||
Morgan Stanley ABS Capital I Trust: - continued | ||||
Series 2007-HE2 Class M1, 0.5156% 1/25/37 (o) | $ 263,000 | $ 4,853 | ||
Morgan Stanley Dean Witter Capital I Trust | 34,465 | 7,306 | ||
Morgan Stanley Home Equity Loans Trust Series 2007-2 Class A1, 0.3656% 4/25/37 (o) | 1,144,261 | 934,193 | ||
Morgan Stanley IXIS Real Estate Capital Trust | 18,657 | 17,573 | ||
N-Star Real Estate CDO Ltd. Series 1A: | ||||
Class B1, 2.0469% 8/28/38 (h)(o) | 195,000 | 117,000 | ||
Class C1B, 7.696% 8/28/38 (h) | 63,000 | 27,846 | ||
National Collegiate Funding LLC Series 2004-GT1 | 4,356,000 | 392,040 | ||
National Collegiate Student Loan Trust: | ||||
Series 2004-2 Class AIO, 9.75% 10/25/14 (q) | 4,504,900 | 900,980 | ||
Series 2005-GT1 Class AIO, 6.75% 12/25/09 (q) | 3,239,000 | 89,073 | ||
Series 2006-1 Class AIO, 5.5% 4/25/11 (q) | 466,000 | 30,290 | ||
Series 2006-2 Class AIO, 6% 8/25/11 (q) | 231,000 | 21,945 | ||
Series 2006-3: | ||||
Class A1, 0.2956% 9/25/19 (o) | 700,204 | 690,686 | ||
Class AIO, 7.1% 1/25/12 (q) | 372,000 | 51,768 | ||
Series 2006-4: | ||||
Class A1, 0.2956% 3/25/25 (o) | 770,100 | 739,157 | ||
Class AIO, 6.35% 2/27/12 (q) | 1,182,000 | 155,149 | ||
Class D, 1.3656% 5/25/32 (o) | 2,481,000 | 59,403 | ||
Series 2007-1 Class AIO, 7.27% 4/25/12 (q) | 1,589,000 | 263,409 | ||
Series 2007-2 Class AIO, 6.7% 7/25/12 (q) | 1,351,000 | 215,957 | ||
New Century Home Equity Loan Trust: | ||||
Series 2005-4 Class M2, 0.7756% 9/25/35 (o) | 1,426,957 | 285,687 | ||
Series 2005-D Class M2, 0.7356% 2/25/36 (o) | 827,339 | 49,918 | ||
Nomura Home Equity Loan Trust Series 2006-HE2 | 486,363 | 464,411 | ||
NovaStar Mortgage Funding Trust Series 2006-6 | 19,231 | 18,782 | ||
Ocala Funding LLC: | ||||
Series 2005-1A Class A, 1.7725% 3/20/10 (h)(o) | 566,000 | 220,740 | ||
Series 2006-1A Class A, 1.6725% 3/20/11 (h)(o) | 1,176,000 | 435,120 | ||
Option One Mortgage Loan Trust: | ||||
Series 2004-3 Class M3, 0.9156% 11/25/34 (o) | 343,974 | 270,453 | ||
Series 2007-5 Class 2A1, 0.3556% 5/25/37 (o) | 214,246 | 198,231 | ||
Series 2007-6 Class 2A1, 0.3256% 7/25/37 (o) | 295,460 | 275,111 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (d) | Value | ||
Park Place Securities, Inc.: | ||||
Series 2004-WCW1: | ||||
Class M2, 0.9456% 9/25/34 (o) | $ 278,447 | $ 196,861 | ||
Class M3, 1.5156% 9/25/34 (o) | 532,896 | 140,313 | ||
Class M4, 1.7156% 9/25/34 (o) | 683,353 | 98,476 | ||
Series 2004-WCW2 Class M3, 0.8156% 7/25/35 (o) | 400,651 | 59,346 | ||
Series 2005-WCH1: | ||||
Class M2, 0.7856% 1/25/35 (o) | 2,548,346 | 1,676,265 | ||
Class M3, 0.8256% 1/25/35 (o) | 478,432 | 249,139 | ||
Class M4, 1.0956% 1/25/35 (o) | 1,475,804 | 239,914 | ||
Series 2005-WHQ2: | ||||
Class M7, 1.5156% 5/25/35 (o) | 1,883,145 | 34,051 | ||
Class M9, 2.1456% 5/25/35 (o) | 591,445 | 3,220 | ||
Prima Capital CDO Ltd./Prima Capital CDO Corp. Series 2005-1A: | ||||
Class A2, 4.646% 7/24/39 (h) | 506,841 | 425,747 | ||
Class B, 4.846% 7/24/39 (h) | 180,000 | 122,400 | ||
Class C, 5.08% 7/24/39 (h) | 185,000 | 111,000 | ||
Providian Master Note Trust Series 2006-C1A Class C1, 0.8228% 3/16/15 (h)(o) | 3,406,919 | 3,085,691 | ||
Rental Car Finance Corp. Series 2005-1A Class A2, 4.59% 6/25/11 (h) | 530,000 | 414,891 | ||
Residential Asset Mortgage Products, Inc. | 566,000 | 14,382 | ||
Residential Asset Securities Corp. Series 2007-KS2 | 1,524,976 | 1,415,032 | ||
Resource Real Estate Funding CDO Series 2007-1A Class J, 3.2156% 9/25/46 (h)(o) | 250,000 | 7,500 | ||
Salomon Brothers Mortgage Securities VII, Inc. | 5,108 | 2,264 | ||
Saxon Asset Securities Trust Series 2004-1 Class M1, 1.0606% 3/25/35 (o) | 1,890,000 | 940,396 | ||
Securitized Asset Backed Receivables LLC Trust: | ||||
Series 2005-FR4 Class B3, 1.9856% 1/25/36 (o) | 96,000 | 1,429 | ||
Series 2006-FR4 Class A2A, 0.3456% 8/25/36 (o) | 80,746 | 40,739 | ||
Series 2007-NC1 Class A2A, 0.3156% 12/25/36 (o) | 50,431 | 45,314 | ||
Sierra Receivables Funding Co. Series 2007-1A | 1,142,292 | 947,167 | ||
SLM Private Credit Student Loan Trust Series 2004-A Class C, 1.5794% 6/15/33 (o) | 1,272,000 | 254,400 | ||
Specialty Underwriting & Residential Finance Trust: | ||||
Series 2003-BC3 Class M2, 2.6656% 8/25/34 (o) | 179,323 | 116,178 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (d) | Value | ||
Specialty Underwriting & Residential Finance Trust: - continued | ||||
Series 2006-AB2 Class N1, 5.75% 6/25/37 (h) | $ 656,637 | $ 6,566 | ||
Structured Asset Investment Loan Trust Series 2004-8 Class M5, 1.4156% 9/25/34 (o) | 83,940 | 12,587 | ||
Structured Asset Securities Corp.: | ||||
Series 2004-GEL1 Class A, 0.6256% 2/25/34 (o) | 137,271 | 73,027 | ||
Series 2007-BC4 Class A3, 0.535% 11/25/37 (o) | 14,981,348 | 13,636,883 | ||
Series 2007-GEL1 Class A2, 0.4556% 1/25/37 (h)(o) | 1,308,498 | 349,065 | ||
Structured Asset Securities Corp. Mortgage Loan Trust Series 2007-OSI Class A2, 0.3556% 6/25/37 (o) | 1,911,607 | 1,537,749 | ||
Superior Wholesale Inventory Financing Trust | ||||
Class A, 0.3728% 1/15/12 (o) | 1,278,000 | 1,257,366 | ||
Class B, 0.5728% 1/15/12 (o) | 1,054,000 | 991,477 | ||
Class C, 0.8728% 1/15/12 (o) | 1,634,000 | 1,339,880 | ||
SVO VOI Mortgage Corp. Series 2006-AA Class A, 5.28% 2/20/24 (h) | 1,460,798 | 1,246,251 | ||
Swift Master Auto Receivables Trust: | ||||
Series 2007-1: | ||||
Class A, 0.3728% 6/15/12 (o) | 3,555,000 | 3,430,575 | ||
Class B, 0.4928% 6/15/12 (o) | 3,709,000 | 3,430,825 | ||
Class C, 0.7728% 6/15/12 (o) | 254,000 | 177,800 | ||
Series 2007-2 Class A, 0.9228% 10/15/12 (o) | 2,867,000 | 2,734,401 | ||
Terwin Mortgage Trust: | ||||
Series 2003-4HE Class A1, 1.1256% 9/25/34 (o) | 28,819 | 9,827 | ||
Series 2003-6HE Class A1, 0.7356% 11/25/33 (o) | 36,470 | 14,051 | ||
TIAA Real Estate CDO Ltd./TIAA Real Estate CDO Corp.: | ||||
Series 2002-1A: | ||||
Class IIFX, 6.77% 5/22/37 (h) | 225,000 | 191,250 | ||
Class IV, 6.84% 5/22/37 (h) | 235,000 | 98,700 | ||
Series 2003-1A Class B2, 5.4802% 12/28/38 (h) | 100,000 | 65,000 | ||
Trapeza CDO XII Ltd./, Inc. Series 2007-12A Class B, 1.1375% 4/6/42 (h)(o) | 2,573,000 | 128,650 | ||
Triad Auto Receivables Owner Trust: | ||||
Series 2006-C Class A4, 5.31% 5/13/13 | 875,000 | 865,198 | ||
Series 2007-A Class A3, 5.28% 2/13/12 | 1,761,756 | 1,775,641 | ||
Turquoise Card Backed Securities PLC: | ||||
Series 2006-2: | ||||
Class B, 0.4228% 10/17/11 (o) | 4,204,000 | 4,046,231 | ||
Class C, 0.6228% 10/17/11 (o) | 4,872,801 | 4,567,445 | ||
Series 2007-1 Class C, 0.6428% 6/15/12 (o) | 3,669,172 | 2,751,879 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (d) | Value | ||
Wachovia Auto Loan Owner Trust: | ||||
Series 2006-1 Class A4, 5.08% 4/20/12 (h) | $ 978,848 | $ 999,908 | ||
Series 2006-2A: | ||||
Class B, 5.29% 6/20/12 (h) | 409,000 | 420,921 | ||
Class D, 5.54% 12/20/12 (h) | 583,000 | 526,963 | ||
Class E, 7.05% 5/20/14 (h) | 1,390,000 | 1,131,431 | ||
Wachovia Ltd./Wachovia LLC: | ||||
Series 2006-1 Class 1ML, 6.7222% 9/25/26 (h)(o) | 400,000 | 24,000 | ||
Series 2006-1A: | ||||
Class F, 1.7575% 9/25/26 (h)(o) | 250,000 | 12,500 | ||
Class G, 1.9575% 9/25/26 (h)(o) | 250,000 | 10,000 | ||
WaMu Asset Holdings Corp. Series 2006-8 Class N1, 6.048% 10/25/46 (h) | 887,552 | 89 | ||
WaMu Asset-Backed Certificates Series 2006-HE3 | 602,848 | 10,179 | ||
WaMu Master Note Trust: | ||||
Series 2006-C2A Class C2, 0.7728% 8/15/15 (h)(o) | 8,530,177 | 7,512,860 | ||
Series 2007-A2 Class A2, 0.3028% 5/15/14 (h)(o) | 12,710,000 | 12,621,188 | ||
Series 2007-A4A Class A4, 5.2% 10/15/14 (h) | 10,589,000 | 10,977,059 | ||
Series 2007-A5A Class A5, 1.0228% 10/15/14 (h)(o) | 1,500,000 | 1,492,495 | ||
Series 2007-C1 Class C1, 0.6728% 5/15/14 (h)(o) | 8,690,021 | 8,468,797 | ||
Wells Fargo Home Equity Trust: | ||||
Series 2004-3 Class A, 4.5% 11/27/34 (a)(h) | 7,576 | 0 | ||
Series 2006-2 Class A2, 0.3656% 7/25/36 (o) | 655,680 | 631,276 | ||
Whinstone Capital Management Ltd. Series 1A Class B3, 1.4038% 10/25/44 (h)(o) | 1,789,540 | 214,745 | ||
Wrightwood Capital Real Estate CDO Ltd. | 305,000 | 27,450 | ||
TOTAL ASSET-BACKED SECURITIES (Cost $232,711,915) | 240,669,499 | |||
Collateralized Mortgage Obligations - 2.3% | ||||
| ||||
Private Sponsor - 1.8% | ||||
ABN AMRO Mortgage Corp.: | ||||
Series 2003-2 Class B4, 5.3302% 3/25/18 (o) | 151,082 | 42,303 | ||
Series 2003-9 Class B5, 4.5164% 8/25/18 (h) | 265,658 | 39,849 | ||
Arkle Master Issuer PLC floater Series 2006-2A: | ||||
Class 2B, 0.56% 2/17/52 (h)(o) | 2,908,000 | 2,839,168 | ||
Class 2M, 0.64% 2/17/52 (h)(o) | 1,978,000 | 1,905,289 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (d) | Value | ||
Private Sponsor - continued | ||||
Arran Residential Mortgages Funding No. 1 PLC floater Series 2006-1A Class DB, 0.94% 4/12/56 (h)(o) | $ 1,428,375 | $ 928,444 | ||
Banc of America Commercial Mortgage Trust | ||||
Class B, 5.6986% 4/10/49 (o) | 106,000 | 22,313 | ||
Class C, 5.6986% 4/10/49 (o) | 281,000 | 50,664 | ||
Class D, 5.6986% 4/10/49 (o) | 141,000 | 22,588 | ||
Banc of America Large Loan, Inc. Series 2005-MIB1 Class A2, 0.4828% 3/15/22 (h)(o) | 1,025,000 | 787,444 | ||
Banc of America Mortgage Securities, Inc.: | ||||
Series 2003-K Class 1A1, 5.2037% 12/25/33 (o) | 96,761 | 74,394 | ||
Series 2003-L Class 2A1, 5.2191% 1/25/34 (o) | 2,459,269 | 2,102,581 | ||
Series 2004-1 Class 2A2, 4.6617% 10/25/34 (o) | 2,718,546 | 2,289,981 | ||
Series 2004-7 Class 15B4, 5.3054% 8/25/19 (h)(o) | 70,456 | 4,541 | ||
Series 2004-A Class 2A2, 5.4508% 2/25/34 (o) | 1,668,653 | 1,430,560 | ||
Series 2004-B: | ||||
Class 1A1, 4.6868% 3/25/34 (o) | 182,414 | 140,691 | ||
Class 2A2, 4.5749% 3/25/34 (o) | 1,559,468 | 1,325,412 | ||
Series 2004-C Class 1A1, 4.097% 4/25/34 (o) | 211,016 | 174,231 | ||
Series 2004-D: | ||||
Class 1A1, 3.8783% 5/25/34 (o) | 298,165 | 229,668 | ||
Class 2A2, 3.8898% 5/25/34 (o) | 2,564,154 | 2,166,818 | ||
Series 2004-G Class 2A7, 4.2585% 8/25/34 (o) | 2,185,181 | 1,862,141 | ||
Series 2004-H Class 2A1, 4.469% 9/25/34 (o) | 2,064,867 | 1,701,549 | ||
Series 2005-H: | ||||
Class 1A1, 4.6982% 9/25/35 (o) | 190,979 | 149,447 | ||
Class 2A2, 4.805% 9/25/35 (o) | 6,001,901 | 2,708,048 | ||
Bayview Commercial Asset Trust Series 2006-3A | 13,400,308 | 958,122 | ||
Bear Stearns ALT-A Trust floater Series 2005-1 Class A1, 0.5456% 1/25/35 (o) | 2,760,392 | 2,141,652 | ||
Bear Stearns Commercial Mortgage Securities Trust Series 2006-T24 Class X2, 0.4243% 10/12/41 (h)(o)(q) | 4,853,715 | 64,526 | ||
Chase Mortgage Finance Trust: | ||||
Series 2007-A1 Class 1A5, 4.6804% 2/25/37 (o) | 2,088,264 | 1,813,178 | ||
Series 2007-A2 Class 2A1, 5.0375% 7/25/37 (o) | 462,994 | 418,078 | ||
Citigroup Commercial Mortgage Trust Series 2008-C7 Class A2B, 6.2986% 12/10/49 (o) | 1,902,000 | 1,877,197 | ||
Citigroup Mortgage Loan Trust Series 2004-UST1: | ||||
Class A3, 4.189% 8/25/34 (o) | 2,034,948 | 1,803,218 | ||
Class A4, 3.4368% 8/25/34 (o) | 1,734,230 | 1,529,872 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (d) | Value | ||
Private Sponsor - continued | ||||
Cobalt CMBS Commercial Mortgage Trust | $ 2,125,000 | $ 297,500 | ||
COMM pass-thru certificates floater Series 2001-J2A Class A2F, 0.7728% 7/16/34 (h)(o) | 1,902,000 | 1,604,941 | ||
Countrywide Alternative Loan Trust: | ||||
planned amortization class Series 2003-5T2 Class A2, 0.6656% 5/25/33 (o) | 48,031 | 47,520 | ||
Series 2006-OC5N Class N, 7.25% 7/25/37 (h) | 78,237 | 8 | ||
Countrywide Home Loans, Inc.: | ||||
Series 2003-28 Class B3, 5.5% 8/25/33 | 82,015 | 12,302 | ||
Series 2003-35 Class B, 4.6391% 9/25/18 (o) | 142,169 | 17,060 | ||
Series 2005-HYB3 Class 2A6B, 4.3939% 6/20/35 (o) | 639,000 | 258,051 | ||
Credit Suisse First Boston Adjustable Rate Mortgage Trust floater Series 2005-2 Class 6M2, 0.7456% 6/25/35 (o) | 1,475,123 | 103,255 | ||
Credit Suisse First Boston Mortgage Securities Corp.: | ||||
floater: | ||||
Series 2004-AR7 Class 6A2, 1.0256% 8/25/34 (o) | 33,770 | 18,476 | ||
Series 2004-AR8 Class 8A2, 1.0256% 9/25/34 (o) | 23,282 | 15,533 | ||
Series 2007-AR7 Class 2A1, 3.934% 11/25/34 (o) | 1,714,579 | 1,430,329 | ||
Series 2003-17 Class B4, 5.389% 6/25/33 (h)(o) | 369,443 | 36,944 | ||
Series 2004-3 Class DB4, 5.8407% 4/25/34 (o) | 114,815 | 2,296 | ||
CWALT, Inc.: | ||||
floater Series 2005-56: | ||||
Class 1A1, 0.9956% 11/25/35 (o) | 37,135,532 | 18,609,180 | ||
Class 2A3, 2.71% 11/25/35 (o) | 9,124,071 | 4,416,739 | ||
Series 2005-56: | ||||
Class 4A1, 0.5756% 11/25/35 (o) | 7,498,418 | 3,682,908 | ||
Class 5A1, 0.5856% 11/25/35 (o) | 10,516,286 | 5,227,626 | ||
Deutsche Alt-A Securities Mortgage Loan Trust floater Series 2007-BAR1 Class A3, 0.4256% 3/25/37 (o) | 3,434,976 | 1,232,670 | ||
DSLA Mortgage Loan Trust Series 2006-AR2 | 416,958 | 382,543 | ||
First Horizon Mortgage pass-thru Trust: | ||||
floater Series 2004-FL1 Class 2A1, 1.4488% 12/25/34 (o) | 52,953 | 25,997 | ||
Series 2004-AR5 Class 2A1, 5.0255% 10/25/34 (o) | 2,404,638 | 1,842,143 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (d) | Value | ||
Private Sponsor - continued | ||||
Fosse Master Issuer PLC: | ||||
floater Series 2006-1A: | ||||
Class B2, 0.67% 10/18/54 (h)(o) | $ 3,491,000 | $ 2,776,741 | ||
Class C2, 0.98% 10/18/54 (h)(o) | 1,170,000 | 760,500 | ||
Class M2, 0.76% 10/18/54 (h)(o) | 2,005,000 | 1,374,227 | ||
Series 2007-1A Class C2, 1.06% 10/18/54 (h)(o) | 321,000 | 276,307 | ||
GMAC Commercial Mortgage Securities, Inc. | 284,999 | 11,400 | ||
GMAC Mortgage Loan Trust Series 2003-J10 Class B2, 4.75% 1/25/19 (h) | 135,357 | 20,304 | ||
Gracechurch Mortgage Financing PLC floater | 2,852,000 | 1,996,400 | ||
Gracechurch Mortgage Funding PLC floater Series 1A Class DB, 0.98% 10/11/41 (h)(o) | 3,114,000 | 2,491,200 | ||
Granite Master Issuer PLC floater: | ||||
Series 2005-4 Class C2, 0.8225% 12/20/54 (o) | 205,017 | 30,753 | ||
Series 2006-1A Class C2, 0.8725% 12/20/54 (h)(o) | 6,523,000 | 978,450 | ||
Series 2006-2 Class C1, 0.7425% 12/20/54 (o) | 5,398,000 | 647,760 | ||
Series 2006-3 Class C2, 0.7725% 12/20/54 (o) | 1,124,000 | 134,880 | ||
Series 2006-4: | ||||
Class B1, 0.3625% 12/20/54 (o) | 4,521,000 | 1,582,350 | ||
Class C1, 0.6525% 12/20/54 (o) | 2,767,000 | 415,050 | ||
Class M1, 0.4425% 12/20/54 (o) | 1,190,000 | 214,200 | ||
Series 2007-1: | ||||
Class 1C1, 0.5725% 12/20/54 (o) | 2,234,000 | 268,080 | ||
Class 1M1, 0.4225% 12/20/54 (o) | 1,493,000 | 268,740 | ||
Class 2C1, 0.7025% 12/20/54 (o) | 1,015,000 | 121,800 | ||
Class 2M1, 0.5225% 12/20/54 (o) | 1,917,000 | 345,060 | ||
Series 2007-2 Class 2C1, 0.7028% 12/17/54 (o) | 2,654,000 | 398,100 | ||
Granite Mortgages PLC floater Series 2003-3 Class 1C, 2.96% 1/20/44 (o) | 430,241 | 54,256 | ||
GSR Mortgage Loan Trust: | ||||
Series 2004-11 Class 1A1, 4.3491% 9/25/34 (o) | 364,675 | 261,569 | ||
Series 2007-AR2 Class 2A1, 4.8216% 4/25/35 (o) | 911,900 | 614,425 | ||
Harborview Mortgage Loan Trust floater Series 2005-2 Class 2A1A, 0.5088% 5/19/35 (o) | 414,160 | 219,004 | ||
Holmes Master Issuer PLC floater Series 2006-1A | 919,000 | 856,876 | ||
Impac CMB Trust floater: | ||||
Series 2004-11 Class 2A2, 1.0056% 3/25/35 (o) | 233,053 | 76,762 | ||
Series 2005-1 Class M4, 1.0156% 4/25/35 (o) | 25,075 | 2,431 | ||
Series 2005-3 Class A1, 0.5056% 8/25/35 (o) | 582,542 | 271,205 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (d) | Value | ||
Private Sponsor - continued | ||||
JPMorgan Chase Commercial Mortgage Securities Trust Series 2007-CB18: | ||||
Class A1, 5.32% 6/12/47 (o) | $ 245,186 | $ 252,658 | ||
Class A3, 5.447% 6/12/47 (o) | 3,606,000 | 3,191,076 | ||
JPMorgan Mortgage Trust: | ||||
sequential payer Series 2006-A5 Class 3A5, 5.9501% 8/25/36 (o) | 2,600,000 | 1,934,562 | ||
Series 2004-A1 Class 2A1, 4.4607% 2/25/34 (o) | 1,377,040 | 1,229,030 | ||
Series 2004-A3 Class 4A1, 4.2916% 7/25/34 (o) | 3,416,420 | 3,005,617 | ||
Series 2004-A5 Class 2A1, 4.3385% 12/25/34 (o) | 2,495,913 | 2,170,233 | ||
Series 2006-A2 Class 5A1, 5.0559% 11/25/33 (o) | 4,232,458 | 3,718,055 | ||
LB Commercial Conduit Mortgage Trust Series 1998-C4 Class F, 6% 10/15/35 (h) | 65,058 | 64,850 | ||
LB-UBS Commercial Mortgage Trust sequential payer Series 2006-C6 Class A4, 5.372% 12/31/49 | 857,000 | 744,505 | ||
Lehman Structured Securities Corp. floater Series 2005-1 Class A2, 0.6544% 9/26/45 (h)(o) | 435,898 | 203,407 | ||
Luminent Mortgage Trust: | ||||
floater Series 2006-1 Class A1, 0.5056% 4/25/36 (o) | 19,897,965 | 9,093,587 | ||
Series 2006-5 Class A1A, 0.4556% 7/25/36 (o) | 15,949,841 | 7,223,635 | ||
MASTR Adjustable Rate Mortgages Trust: | ||||
floater Series 2005-1 Class 1A1, 0.5356% 2/25/35 (o) | 54,918 | 30,840 | ||
Series 2007-3 Class 22A2, 0.4756% 5/25/47 (o) | 4,656,446 | 1,600,129 | ||
MASTR Alternative Loan Trust Series 2004-3 Class 3A1, 6% 4/25/34 | 641,980 | 474,139 | ||
MASTR Asset Backed Securities Trust Series 2006-NC3 Class M1, 0.4956% 10/25/36 (o) | 547,000 | 8,600 | ||
Merrill Lynch Alternative Note Asset Trust floater | 9,254,596 | 4,087,770 | ||
Merrill Lynch Floating Trust floater Series 2006-1: | ||||
Class B, 0.4428% 6/15/22 (h)(o) | 251,984 | 141,850 | ||
Class C, 0.4628% 6/15/22 (h)(o) | 1,559,607 | 655,035 | ||
Class D, 0.4728% 6/15/22 (h)(o) | 600,006 | 168,002 | ||
Class E, 0.4828% 6/15/22 (h)(o) | 959,771 | 211,150 | ||
Class F, 0.5128% 6/15/22 (h)(o) | 1,545,171 | 309,034 | ||
Class G, 0.5828% 6/15/22 (h)(o) | 359,765 | 57,562 | ||
Class H, 0.6028% 6/15/22 (h)(o) | 720,211 | 100,830 | ||
Class J, 0.6428% 6/15/22 (h)(o) | 840,246 | 100,830 | ||
Class TM, 0.7728% 6/15/22 (h)(o) | 749,721 | 524,805 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (d) | Value | ||
Private Sponsor - continued | ||||
Merrill Lynch Mortgage Investors Trust: | ||||
floater: | ||||
Series 2005-B Class A2, 1.4% 7/25/30 (o) | $ 752,020 | $ 540,689 | ||
Series 2006-MLN1 Class M4, 0.6256% 7/25/37 (o) | 1,043,420 | 4,234 | ||
Series 2004-A4 Class A1, 3.3459% 8/25/34 (o) | 2,774,480 | 2,487,736 | ||
Series 2005-A2 Class A7, 4.4821% 2/25/35 (o) | 2,934,000 | 2,236,483 | ||
Series 2006-A6 Class A4, 5.364% 10/25/33 (o) | 2,075,451 | 1,784,872 | ||
Merrill Lynch Mortgage Trust Series 2002-MW1 Class E, 6.219% 7/12/34 (h) | 90,000 | 74,018 | ||
Merrill Lynch-CFC Commercial Mortgage Trust | 8,143,000 | 7,848,077 | ||
Opteum Mortgage Acceptance Corp. floater | 2,942,913 | 1,973,285 | ||
Option One Mortgage Loan Trust floater | 2,994,072 | 132,578 | ||
Permanent Financing No. 8 PLC floater Class 3C, 1.17% 6/10/42 (o) | 2,253,000 | 1,775,223 | ||
Permanent Master Issuer PLC floater Series 2006-1 | 522,174 | 391,631 | ||
Provident Funding Mortgage Loan Trust Series 2005-2 Class 3A, 4.2156% 10/25/35 (o) | 3,911,229 | 3,061,429 | ||
RESI Finance LP/RESI Finance DE Corp. floater: | ||||
Series 2003-B: | ||||
Class B5, 2.6256% 7/10/35 (h)(o) | 2,522,055 | 1,286,089 | ||
Class B6, 3.1256% 7/10/35 (h)(o) | 562,326 | 261,369 | ||
Series 2004-A: | ||||
Class B4, 1.4756% 2/10/36 (h)(o) | 759,342 | 304,952 | ||
Class B5, 1.9756% 2/10/36 (h)(o) | 506,179 | 190,121 | ||
Series 2004-B: | ||||
Class B4, 1.3756% 2/10/36 (h)(o) | 600,359 | 192,655 | ||
Class B5, 1.8256% 2/10/36 (h)(o) | 438,056 | 126,817 | ||
Class B6, 2.2756% 2/10/36 (h)(o) | 155,201 | 38,319 | ||
Series 2004-C: | ||||
Class B4, 1.2256% 9/10/36 (h)(o) | 795,078 | 261,740 | ||
Class B5, 1.6256% 9/10/36 (h)(o) | 883,838 | 255,164 | ||
Class B6, 2.0256% 9/10/36 (h)(o) | 162,504 | 37,132 | ||
Residential Accredit Loans, Inc. floater Series 2005-QO5 Class A1, 2.21% 1/25/46 (o) | 17,168,158 | 8,938,176 | ||
Residential Asset Mortgage Products, Inc.: | ||||
sequential payer: | ||||
Series 2003-SL1 Class A31, 7.125% 4/25/31 | 1,364,758 | 1,207,460 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (d) | Value | ||
Private Sponsor - continued | ||||
Residential Asset Mortgage Products, Inc.: - continued | ||||
sequential payer: | ||||
Series 2004-SL3 Class A1, 7% 8/25/16 | $ 132,998 | $ 117,719 | ||
Series 2005-AR5 Class 1A1, 4.3273% 9/19/35 (o) | 242,095 | 152,926 | ||
Residential Funding Securities Corp. floater | 484,455 | 343,161 | ||
RESIX Finance Ltd. floater Series 2007-A Class BB, 3.6228% 2/15/39 (h)(o) | 491,263 | 9,531 | ||
ResMAE Mortgage Loan Trust floater Series 2006-1 Class A2A, 0.3656% 2/25/36 (h)(o) | 4,483 | 4,483 | ||
Salomon Brothers Mortgage Securities VII, Inc. | 268,000 | 216,530 | ||
Sequoia Mortgage Trust floater: | ||||
Series 2004-6 Class A3B, 1.6013% 7/20/34 (o) | 46,315 | 31,216 | ||
Series 2004-7 Class A3B, 1.535% 7/20/34 (o) | 29,826 | 17,352 | ||
Soundview Home Equity Loan Trust floater | 329,919 | 5,296 | ||
Structured Asset Mortgage Investments, Inc. floater | 31,752,186 | 14,422,707 | ||
Structured Asset Securities Corp.: | ||||
floater Series 2004-NP1 Class A, 0.6656% 9/25/33 (h)(o) | 82,957 | 39,687 | ||
Series 2003-15A Class 4A, 5.4571% 4/25/33 (o) | 942,819 | 785,026 | ||
Series 2003-20 Class 1A1, 5.5% 7/25/33 | 834,861 | 716,783 | ||
TBW Mortgage-Backed pass-thru certificates floater Series 2006-4 Class A3, 0.4656% 9/25/36 (o) | 3,273,627 | 1,555,068 | ||
WaMu Mortgage pass-thru certificates: | ||||
floater Series 2006-AR11 Class C1B1, 0.3456% 9/25/46 (o) | 61,274 | 59,843 | ||
Series 2003-AR8 Class A, 4.1135% 8/25/33 (o) | 1,413,353 | 1,266,522 | ||
Series 2005-AR3 Class A2, 4.6405% 3/25/35 (o) | 3,837,638 | 3,050,175 | ||
Wells Fargo Mortgage Backed Securities Trust: | ||||
Series 2003-12 Class B6, 4.75% 11/25/18 (h) | 261,788 | 26,179 | ||
Series 2004-EE Class 2A2, 3.5361% 12/25/34 (o) | 1,324,779 | 1,130,135 | ||
Series 2004-H Class A1, 4.5272% 6/25/34 (o) | 3,033,132 | 2,688,439 | ||
Series 2004-T Class A1, 3.954% 9/25/34 (o) | 750,592 | 641,208 | ||
Series 2004-W Class A9, 4.5277% 11/25/34 (o) | 3,483,000 | 2,497,399 | ||
Series 2005-AR10 Class 2A2, 3.8109% 6/25/35 (o) | 3,084,587 | 2,812,606 | ||
Series 2005-AR12: | ||||
Class 2A5, 4.046% 7/25/35 (o) | 9,260,000 | 7,435,051 | ||
Class 2A6, 4.046% 7/25/35 (o) | 1,347,136 | 1,166,742 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (d) | Value | ||
Private Sponsor - continued | ||||
Wells Fargo Mortgage Backed Securities Trust: - continued | ||||
Series 2005-AR2: | ||||
Class 1A2, 4.6417% 3/25/35 (o) | $ 4,497,038 | $ 2,684,126 | ||
Class 2A2, 4.57% 3/25/35 | 3,803,089 | 3,294,572 | ||
Series 2005-AR3 Class 2A1, 3.768% 3/25/35 (o) | 2,299,990 | 1,918,695 | ||
TOTAL PRIVATE SPONSOR | 216,138,035 | |||
U.S. Government Agency - 0.5% | ||||
Fannie Mae subordinate REMIC pass-thru certificates: | ||||
planned amortization class Series 2002-9 Class PC, 6% 3/25/17 | 520,386 | 556,951 | ||
sequential payer Series 2002-77 Class CB, 5% 12/25/17 | 48,250,000 | 51,036,932 | ||
Freddie Mac Multi-class participation certificates guaranteed sequential payer Series 2528 Class HN, 5% 11/15/17 | 5,515,000 | 5,801,853 | ||
TOTAL U.S. GOVERNMENT AGENCY | 57,395,736 | |||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $267,698,729) | 273,533,771 | |||
Commercial Mortgage Securities - 6.1% | ||||
| ||||
Asset Securitization Corp.: | ||||
Series 1996-D2 Class B1A, 9.0776% 2/14/29 (h)(o) | 750,000 | 637,500 | ||
Series 1997-D4: | ||||
Class B1, 7.525% 4/14/29 | 210,000 | 216,458 | ||
Class B2, 7.525% 4/14/29 | 1,494,104 | 1,389,517 | ||
Class B5, 7.525% 4/14/29 | 129,000 | 21,644 | ||
Series 1997-D5: | ||||
Class A-6, 7.2794% 2/14/43 (o) | 2,225,000 | 2,012,067 | ||
Class A2, 6.9094% 2/14/43 (o) | 1,399,000 | 1,519,717 | ||
Class A3, 6.9594% 2/14/43 (o) | 1,510,000 | 1,635,101 | ||
Class A5, 7.0294% 2/14/43 (o) | 239,000 | 230,879 | ||
Class A7, 7.5194% 2/14/43 (o) | 795,000 | 676,352 | ||
Class PS1, 1.556% 2/14/43 (o)(q) | 7,268,874 | 255,750 | ||
Banc of America Commercial Mortgage Trust: | ||||
sequential payer: | ||||
Series 2006-2 Class AAB, 5.7211% 5/10/45 (o) | 2,221,000 | 2,190,007 | ||
Series 2006-4 Class A1, 5.363% 7/10/46 (o) | 1,005,907 | 1,022,458 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (d) | Value | ||
Banc of America Commercial Mortgage Trust: - continued | ||||
sequential payer: | ||||
Series 2006-5: | ||||
Class A1, 5.185% 9/10/47 | $ 1,335,323 | $ 1,357,912 | ||
Class A2, 5.317% 9/10/47 | 7,342,000 | 7,349,053 | ||
Class A3, 5.39% 9/10/47 | 2,653,000 | 2,544,840 | ||
Series 2006-6 Class A3, 5.369% 12/10/16 | 3,804,000 | 3,233,598 | ||
Series 2007-2 Class A1, 5.421% 4/10/49 | 679,114 | 691,190 | ||
Series 2007-4 Class A3, 5.8115% 2/10/51 (o) | 1,897,000 | 1,765,851 | ||
Series 2006-6 Class E, 5.619% 10/10/45 (h) | 1,098,000 | 141,752 | ||
Series 2007-3: | ||||
Class A3, 5.6581% 6/10/49 (o) | 3,176,000 | 2,677,733 | ||
Class A4, 5.6581% 6/10/49 (o) | 3,965,000 | 3,037,403 | ||
Series 2008-1 Class D, 6.2089% 2/10/51 (h)(o) | 125,000 | 17,813 | ||
Banc of America Commercial Mortgage, Inc.: | ||||
sequential payer: | ||||
Series 2000-2 Class A2, 7.197% 9/15/32 | 465,357 | 472,501 | ||
Series 2001-1 Class A4, 5.451% 1/15/49 | 4,166,000 | 3,577,859 | ||
Series 2002-2 Class F, 5.487% 7/11/43 | 415,000 | 356,152 | ||
Series 2004-2: | ||||
Class A2, 3.52% 11/10/38 | 19,263 | 19,248 | ||
Class A3, 4.05% 11/10/38 | 2,573,000 | 2,573,028 | ||
Class A4, 4.153% 11/10/38 | 2,412,000 | 2,350,334 | ||
Series 2004-4 Class A3, 4.128% 7/10/42 | 798,236 | 801,284 | ||
Series 2005-1 Class A3, 4.877% 11/10/42 | 7,211,322 | 7,203,440 | ||
Series 2006-1 Class A1, 5.219% 9/10/45 (o) | 2,516,715 | 2,549,606 | ||
Series 2007-1 Class A2, 5.381% 1/15/49 | 4,040,000 | 4,015,552 | ||
Series 2001-3 Class H, 6.562% 4/11/37 (h) | 1,062,000 | 1,013,348 | ||
Series 2001-PB1: | ||||
Class J, 7.166% 5/11/35 (h) | 474,000 | 312,461 | ||
Class K, 6.15% 5/11/35 (h) | 885,000 | 680,213 | ||
Series 2002-2 Class XP, 2.0377% 7/11/43 (h)(o)(q) | 1,521,141 | 9,079 | ||
Series 2003-2 Class XP, 0.4553% 3/11/41 (h)(o)(q) | 21,044,399 | 69,375 | ||
Series 2004-1 Class F, 5.279% 11/10/39 (h) | 185,000 | 69,523 | ||
Series 2004-5 Class G, 5.2246% 11/10/41 (h)(o) | 135,000 | 34,896 | ||
Series 2005-3 Series A3B, 5.09% 7/10/43 (o) | 5,908,000 | 5,658,774 | ||
Series 2005-6 Class A3, 5.1791% 9/10/47 (o) | 3,423,000 | 3,304,168 | ||
Series 2007-1 Class B, 5.543% 1/15/49 | 1,146,000 | 244,729 | ||
Banc of America Large Loan, Inc. floater: | ||||
Series 2005-MIB1: | ||||
Class B, 0.5328% 3/15/22 (h)(o) | 390,000 | 241,800 | ||
Class C, 0.5828% 3/15/22 (h)(o) | 817,000 | 473,860 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (d) | Value | ||
Banc of America Large Loan, Inc. floater: - continued | ||||
Series 2005-MIB1: - continued | ||||
Class D, 0.6328% 3/15/22 (h)(o) | $ 826,000 | $ 454,300 | ||
Class E, 0.6728% 3/15/22 (h)(o) | 684,000 | 355,680 | ||
Class F, 0.7428% 3/15/22 (h)(o) | 615,784 | 307,892 | ||
Class G, 0.8028% 3/15/22 (h)(o) | 399,119 | 179,604 | ||
Series 2006-BIX1: | ||||
Class C, 0.4528% 10/15/19 (h)(o) | 1,222,000 | 818,740 | ||
Class D, 0.4828% 10/15/19 (h)(o) | 1,494,000 | 896,400 | ||
Class E, 0.5128% 10/15/19 (h)(o) | 1,385,000 | 761,750 | ||
Class F, 0.5828% 10/15/19 (h)(o) | 3,150,730 | 1,575,365 | ||
Class G, 0.6028% 10/15/19 (h)(o) | 1,245,579 | 560,511 | ||
Bayview Commercial Asset Trust: | ||||
floater: | ||||
Series 2003-2 Class M1, 1.1156% 12/25/33 (h)(o) | 96,922 | 48,461 | ||
Series 2004-1: | ||||
Class A, 0.6256% 4/25/34 (h)(o) | 1,662,128 | 1,180,111 | ||
Class B, 2.1656% 4/25/34 (h)(o) | 186,348 | 74,539 | ||
Class M1, 0.8256% 4/25/34 (h)(o) | 149,617 | 88,274 | ||
Class M2, 1.4656% 4/25/34 (h)(o) | 138,226 | 69,113 | ||
Series 2004-2: | ||||
Class A, 0.6956% 8/25/34 (h)(o) | 1,290,997 | 903,698 | ||
Class M1, 0.8456% 8/25/34 (h)(o) | 217,311 | 108,655 | ||
Series 2004-3: | ||||
Class A1, 0.6356% 1/25/35 (h)(o) | 2,795,225 | 1,816,897 | ||
Class A2, 0.6856% 1/25/35 (h)(o) | 401,112 | 248,689 | ||
Class M1, 0.7656% 1/25/35 (h)(o) | 482,521 | 246,086 | ||
Class M2, 1.2656% 1/25/35 (h)(o) | 223,590 | 98,379 | ||
Series 2005-2A: | ||||
Class A1, 0.5756% 8/25/35 (h)(o) | 2,167,419 | 1,415,325 | ||
Class M1, 0.6956% 8/25/35 (h)(o) | 107,940 | 43,867 | ||
Class M2, 0.7456% 8/25/35 (h)(o) | 178,029 | 66,476 | ||
Class M3, 0.7656% 8/25/35 (h)(o) | 98,498 | 33,972 | ||
Class M4, 0.8756% 8/25/35 (h)(o) | 90,418 | 29,323 | ||
Series 2005-3A: | ||||
Class A1, 0.5856% 11/25/35 (h)(o) | 802,116 | 540,947 | ||
Class A2, 0.6656% 11/25/35 (h)(o) | 794,894 | 476,936 | ||
Class M1, 0.7056% 11/25/35 (h)(o) | 94,870 | 39,229 | ||
Class M2, 0.7556% 11/25/35 (h)(o) | 120,448 | 46,866 | ||
Class M3, 0.7756% 11/25/35 (h)(o) | 107,798 | 39,260 | ||
Class M4, 0.8656% 11/25/35 (h)(o) | 134,306 | 46,819 | ||
Series 2005-4A: | ||||
Class A2, 0.6556% 1/25/36 (h)(o) | 1,872,885 | 1,123,731 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (d) | Value | ||
Bayview Commercial Asset Trust: - continued | ||||
floater: | ||||
Series 2005-4A: - continued | ||||
Class B1, 1.6656% 1/25/36 (h)(o) | $ 161,849 | $ 43,699 | ||
Class M1, 0.7156% 1/25/36 (h)(o) | 604,156 | 283,953 | ||
Class M2, 0.7356% 1/25/36 (h)(o) | 181,247 | 79,749 | ||
Class M3, 0.7656% 1/25/36 (h)(o) | 264,697 | 108,526 | ||
Class M4, 0.8756% 1/25/36 (h)(o) | 146,392 | 54,165 | ||
Class M5, 0.9156% 1/25/36 (h)(o) | 146,392 | 48,309 | ||
Class M6, 0.9656% 1/25/36 (h)(o) | 155,484 | 45,091 | ||
Series 2006-1: | ||||
Class A2, 0.6256% 4/25/36 (h)(o) | 282,456 | 161,932 | ||
Class M1, 0.6456% 4/25/36 (h)(o) | 101,023 | 40,874 | ||
Class M2, 0.6656% 4/25/36 (h)(o) | 106,737 | 40,624 | ||
Class M3, 0.6856% 4/25/36 (h)(o) | 91,839 | 33,282 | ||
Class M4, 0.7856% 4/25/36 (h)(o) | 52,042 | 18,043 | ||
Class M5, 0.8256% 4/25/36 (h)(o) | 50,511 | 16,628 | ||
Class M6, 0.9056% 4/25/36 (h)(o) | 100,716 | 31,121 | ||
Series 2006-2A: | ||||
Class A1, 0.4956% 7/25/36 (h)(o) | 5,170,709 | 3,471,614 | ||
Class A2, 0.5456% 7/25/36 (h)(o) | 255,813 | 148,653 | ||
Class B1, 1.1356% 7/25/36 (h)(o) | 95,780 | 27,690 | ||
Class B3, 2.9656% 7/25/36 (h)(o) | 144,709 | 36,322 | ||
Class M1, 0.5756% 7/25/36 (h)(o) | 268,401 | 108,864 | ||
Class M2, 0.5956% 7/25/36 (h)(o) | 189,370 | 72,207 | ||
Class M3, 0.6156% 7/25/36 (h)(o) | 157,078 | 56,878 | ||
Class M4, 0.6856% 7/25/36 (h)(o) | 106,069 | 36,657 | ||
Class M5, 0.7356% 7/25/36 (h)(o) | 130,369 | 42,748 | ||
Class M6, 0.8056% 7/25/36 (h)(o) | 194,514 | 59,988 | ||
Series 2006-3A: | ||||
Class B1, 1.0656% 10/25/36 (h)(o) | 167,988 | 25,198 | ||
Class B2, 1.6156% 10/25/36 (h)(o) | 121,163 | 15,145 | ||
Class B3, 2.8656% 10/25/36 (h)(o) | 197,173 | 25,633 | ||
Class M4, 0.6956% 10/25/36 (h)(o) | 185,658 | 42,701 | ||
Class M5, 0.7456% 10/25/36 (h)(o) | 222,259 | 44,452 | ||
Class M6, 0.8256% 10/25/36 (h)(o) | 435,052 | 78,309 | ||
Series 2006-4A: | ||||
Class A1, 0.4956% 12/25/36 (h)(o) | 968,260 | 650,090 | ||
Class A2, 0.5356% 12/25/36 (h)(o) | 4,926,756 | 2,290,449 | ||
Class B1, 0.9656% 12/25/36 (h)(o) | 150,639 | 32,704 | ||
Class B2, 1.5156% 12/25/36 (h)(o) | 153,546 | 30,157 | ||
Class B3, 2.7156% 12/25/36 (h)(o) | 261,479 | 45,916 | ||
Class M1, 0.5556% 12/25/36 (h)(o) | 315,162 | 105,611 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (d) | Value | ||
Bayview Commercial Asset Trust: - continued | ||||
floater: | ||||
Series 2006-4A: - continued | ||||
Class M2, 0.5756% 12/25/36 (h)(o) | $ 210,108 | $ 65,617 | ||
Class M3, 0.6056% 12/25/36 (h)(o) | 213,047 | 62,785 | ||
Class M4, 0.6656% 12/25/36 (h)(o) | 254,921 | 70,919 | ||
Class M5, 0.7056% 12/25/36 (h)(o) | 234,351 | 61,213 | ||
Class M6, 0.7856% 12/25/36 (h)(o) | 210,108 | 50,783 | ||
Series 2007-1: | ||||
Class A2, 0.5356% 3/25/37 (h)(o) | 1,068,467 | 523,549 | ||
Class B1, 0.9356% 3/25/37 (h)(o) | 339,945 | 61,190 | ||
Class B2, 1.4156% 3/25/37 (h)(o) | 246,478 | 36,972 | ||
Class B3, 3.6156% 3/25/37 (h)(o) | 674,903 | 80,988 | ||
Class M1, 0.5356% 3/25/37 (h)(o) | 299,112 | 113,663 | ||
Class M2, 0.5556% 3/25/37 (h)(o) | 223,403 | 71,489 | ||
Class M3, 0.5856% 3/25/37 (h)(o) | 198,128 | 59,438 | ||
Class M4, 0.6356% 3/25/37 (h)(o) | 159,231 | 42,992 | ||
Class M5, 0.6856% 3/25/37 (h)(o) | 248,562 | 59,655 | ||
Class M6, 0.7656% 3/25/37 (h)(o) | 348,004 | 74,821 | ||
Series 2007-2A: | ||||
Class A1, 0.5356% 7/25/37 (h)(o) | 930,321 | 539,586 | ||
Class A2, 0.5856% 7/25/37 (h)(o) | 869,259 | 408,552 | ||
Class B1, 1.8656% 7/25/37 (h)(o) | 267,708 | 38,818 | ||
Class B2, 2.5156% 7/25/37 (h)(o) | 231,774 | 31,290 | ||
Class B3, 3.6156% 7/25/37 (h)(o) | 260,583 | 33,876 | ||
Class M1, 0.6356% 7/25/37 (h)(o) | 305,235 | 106,832 | ||
Class M2, 0.6756% 7/25/37 (h)(o) | 166,793 | 50,038 | ||
Class M3, 0.7556% 7/25/37 (h)(o) | 169,119 | 42,280 | ||
Class M4, 0.9156% 7/25/37 (h)(o) | 333,898 | 66,780 | ||
Class M5, 1.0156% 7/25/37 (h)(o) | 294,338 | 52,981 | ||
Class M6, 1.2656% 7/25/37 (h)(o) | 373,201 | 55,980 | ||
Series 2007-3: | ||||
Class A2, 0.5556% 7/25/37 (h)(o) | 998,714 | 492,566 | ||
Class B1, 1.2156% 7/25/37 (h)(o) | 242,744 | 48,063 | ||
Class B2, 1.8656% 7/25/37 (h)(o) | 607,457 | 103,450 | ||
Class B3, 4.2656% 7/25/37 (h)(o) | 322,706 | 47,535 | ||
Class M1, 0.5756% 7/25/37 (h)(o) | 216,912 | 81,494 | ||
Class M2, 0.6056% 7/25/37 (h)(o) | 232,489 | 81,023 | ||
Class M3, 0.6356% 7/25/37 (h)(o) | 366,346 | 120,015 | ||
Class M4, 0.7656% 7/25/37 (h)(o) | 575,218 | 167,561 | ||
Class M5, 0.8656% 7/25/37 (h)(o) | 298,365 | 73,189 | ||
Class M6, 1.0656% 7/25/37 (h)(o) | 227,512 | 52,714 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (d) | Value | ||
Bayview Commercial Asset Trust: - continued | ||||
floater: | ||||
Series 2007-4A: | ||||
Class B1, 2.8156% 9/25/37 (h)(o) | $ 344,457 | $ 44,779 | ||
Class B2, 3.7156% 9/25/37 (h)(o) | 1,253,246 | 150,390 | ||
Class M1, 1.2156% 9/25/37 (h)(o) | 331,221 | 82,805 | ||
Class M2, 1.3156% 9/25/37 (h)(o) | 331,221 | 69,556 | ||
Class M4, 1.8656% 9/25/37 (h)(o) | 847,151 | 144,016 | ||
Class M5, 2.0156% 9/25/37 (h)(o) | 847,151 | 127,073 | ||
Class M6, 2.2156% 9/25/37 (h)(o) | 848,796 | 114,587 | ||
Series 2004-1 Class IO, 1.25% 4/25/34 (h)(q) | 5,427,381 | 84,124 | ||
Series 2007-5A Class IO, 1.5496% 10/25/37 (h)(q) | 11,709,110 | 1,006,983 | ||
Bear Stearns Commercial Mortgage Securities Trust: | ||||
floater: | ||||
Series 2006-BBA7: | ||||
Class G, 0.7128% 3/15/19 (h)(o) | 805,386 | 386,585 | ||
Class H, 0.9228% 3/15/19 (h)(o) | 541,917 | 233,024 | ||
Class J, 1.1228% 3/15/19 (h)(o) | 407,118 | 154,705 | ||
Series 2007-BBA8: | ||||
Class D, 0.5228% 3/15/22 (h)(o) | 655,330 | 326,865 | ||
Class E, 0.5728% 3/15/22 (h)(o) | 3,414,157 | 1,581,741 | ||
Class F, 0.6228% 3/15/22 (h)(o) | 2,094,922 | 895,715 | ||
Class G, 0.6728% 3/15/22 (h)(o) | 537,549 | 210,080 | ||
Class H, 0.8228% 3/15/22 (h)(o) | 655,330 | 236,194 | ||
Class J, 0.9728% 3/15/22 (h)(o) | 655,330 | 183,659 | ||
sequential payer: | ||||
Series 2003-PWR2 Class A3, 4.834% 5/11/39 | 1,077,307 | 1,105,333 | ||
Series 2004-PWR3 Class A3, 4.487% 2/11/41 | 2,360,280 | 2,377,226 | ||
Series 2006-PW14 Class A4, 5.201% 12/11/38 | 2,458,000 | 2,190,846 | ||
Series 2006-T24 Class A1, 4.905% 10/12/41 (o) | 2,069,276 | 2,100,594 | ||
Series 2007-PW16 Class A4, 5.7167% 6/11/40 (o) | 1,112,000 | 954,602 | ||
Series 2007-PW17 Class A1, 5.282% 6/11/50 | 1,153,851 | 1,163,525 | ||
Series 2007-T26 Class A1, 5.145% 1/12/45 (o) | 653,324 | 658,356 | ||
Series 1999-C1: | ||||
Class G, 5.64% 2/14/31 (h) | 60,000 | 42,138 | ||
Class I, 5.64% 2/14/31 (h) | 170,000 | 34,000 | ||
Series 2003-PWR2 Class X2, 0.4648% 5/11/39 (h)(o)(q) | 17,823,235 | 145,078 | ||
Series 2006-PW13 Class A3, 5.518% 9/11/41 | 6,714,000 | 6,355,790 | ||
Series 2006-PW14 Class X2, 0.6482% 12/11/38 (h)(o)(q) | 27,676,813 | 568,839 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (d) | Value | ||
Bear Stearns Commercial Mortgage Securities Trust: - continued | ||||
Series 2006-T22: | ||||
Class A1, 5.415% 4/12/38 (o) | $ 320,583 | $ 324,773 | ||
Class A4, 5.4634% 4/12/38 (o) | 237,000 | 224,790 | ||
Series 2007-BBA8: | ||||
Class K, 1.4728% 3/15/22 (h)(o) | 105,000 | 39,277 | ||
Class L, 2.1728% 3/15/22 (h)(o) | 214,000 | 42,824 | ||
Series 2007-PW15 Class A1, 5.016% 2/11/44 | 575,172 | 578,281 | ||
Series 2007-PW16: | ||||
Class B, 5.713% 6/11/40 (h) | 304,000 | 88,226 | ||
Class C, 5.713% 6/11/40 (h) | 255,000 | 63,794 | ||
Class D, 5.713% 6/11/40 (h) | 255,000 | 61,241 | ||
Series 2007-PW18 Class X2, 0.3442% 6/11/50 (h)(o)(q) | 189,567,064 | 2,550,265 | ||
Series 2007-T28: | ||||
Class A1, 5.422% 9/11/42 | 333,790 | 339,448 | ||
Class X2, 0.1821% 9/11/42 (h)(o)(q) | 95,248,962 | 634,853 | ||
C-BASS Trust floater Series 2006-SC1 Class A, 0.5356% 5/25/36 (h)(o) | 1,037,593 | 536,820 | ||
CDC Commercial Mortgage Trust Series 2002-FX1: | ||||
Class G, 6.625% 5/15/35 (h) | 2,235,000 | 2,184,748 | ||
Class XCL, 2.3511% 5/15/35 (h)(o)(q) | 30,719,812 | 1,137,702 | ||
Chase Commercial Mortgage Securities Corp.: | ||||
Series 1998-1 Class H, 6.34% 5/18/30 (h) | 800,000 | 496,741 | ||
Series 1998-2 Class J, 6.39% 11/18/30 (h) | 490,739 | 78,420 | ||
Series 1999-2: | ||||
Class E, 7.734% 1/15/32 | 763,000 | 760,677 | ||
Class F, 7.734% 1/15/32 | 413,000 | 410,920 | ||
Series 2001-245 Class A2, 6.275% 2/12/16 (h)(o) | 1,932,000 | 2,014,925 | ||
Citigroup Commercial Mortgage Trust: | ||||
floater Series 2006-FL2: | ||||
Class F, 0.5828% 8/16/21 (h)(o) | 678,000 | 203,400 | ||
Class G, 0.6028% 11/15/36 (h)(o) | 542,222 | 151,822 | ||
Class H, 0.6428% 11/15/36 (h)(o) | 433,548 | 108,387 | ||
sequential payer Series 2006-C5 Class A4, 5.431% 10/15/49 | 9,955,000 | 8,966,889 | ||
Series 2006-C5 Class AMP2, 5.5005% 10/15/49 (h) | 3,233,000 | 1,131,550 | ||
Series 2006-FL2 Class CNP3, 1.4728% 8/16/21 (h)(o) | 5,089,327 | 1,526,798 | ||
Series 2007-C6: | ||||
Class A1, 5.622% 12/10/49 (o) | 11,857,201 | 12,139,543 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (d) | Value | ||
Citigroup Commercial Mortgage Trust: - continued | ||||
Series 2007-C6: - continued | ||||
Class A4, 5.6994% 12/10/49 (o) | $ 4,303,000 | $ 3,740,469 | ||
Series 2007-FL3A Class A2, 0.4128% 4/15/22 (h)(o) | 6,878,000 | 4,126,800 | ||
Citigroup/Deutsche Bank Commercial Mortgage Trust: | ||||
sequential payer: | ||||
Series 2006-CD2 Class A4, 5.3625% 1/15/46 (o) | 11,229,000 | 10,022,092 | ||
Series 2007-CD4: | ||||
Class A1, 4.977% 12/11/49 | 516,532 | 522,494 | ||
Class A2A, 5.237% 12/11/49 | 11,693,000 | 11,619,039 | ||
Class A3, 5.293% 12/11/49 | 1,852,000 | 1,718,520 | ||
Class C, 5.476% 12/11/49 | 3,581,000 | 268,575 | ||
Claregold Trust Series 2007-2A: | ||||
Class F, 5.01% 5/15/44 (o) | CAD | 138,000 | 46,273 | |
Class G, 5.01% 5/15/44 (o) | CAD | 30,000 | 9,044 | |
Class H, 5.01% 5/15/44 (o) | CAD | 20,000 | 5,354 | |
Class J, 5.01% 5/15/44 (o) | CAD | 20,000 | 4,903 | |
Class K, 5.01% 5/15/44 (o) | CAD | 10,000 | 2,163 | |
Class L, 5.01% 5/15/44 (o) | CAD | 36,000 | 6,924 | |
Class M, 5.01% 5/15/44 (o) | CAD | 165,000 | 31,877 | |
Cobalt CMBS Commercial Mortgage Trust: | ||||
sequential payer: | ||||
Series 2006-C1 Class A1, 5.043% 8/15/48 | 303,620 | 304,726 | ||
Series 2007-C2 Class A1, 5.064% 4/15/47 (o) | 275,982 | 279,884 | ||
Series 2007-C3 Class A3, 5.8202% 5/15/46 (o) | 1,902,000 | 1,735,995 | ||
Series 2006-C1 Class B, 5.359% 8/15/48 | 5,706,000 | 970,020 | ||
COMM pass-thru certificates: | ||||
floater: | ||||
Series 2005-F10A: | ||||
Class B, 0.5028% 4/15/17 (h)(o) | 4,261,000 | 2,513,990 | ||
Class C, 0.5428% 4/15/17 (h)(o) | 1,531,000 | 887,123 | ||
Class D, 0.5828% 4/15/17 (h)(o) | 950,056 | 498,513 | ||
Class E, 0.6428% 4/15/17 (h)(o) | 302,445 | 145,642 | ||
Class F, 0.6828% 4/15/17 (h)(o) | 171,562 | 77,622 | ||
Class G, 0.8228% 4/15/17 (h)(o) | 171,562 | 72,070 | ||
Class H, 0.8928% 4/15/17 (h)(o) | 171,562 | 70,340 | ||
Class J, 1.1228% 4/15/17 (h)(o) | 131,565 | 52,626 | ||
Series 2005-FL11: | ||||
Class C, 0.5728% 11/15/17 (h)(o) | 3,000,607 | 1,455,084 | ||
Class D, 0.6128% 11/15/17 (h)(o) | 156,045 | 82,837 | ||
Class E, 0.6628% 11/15/17 (h)(o) | 554,751 | 281,026 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (d) | Value | ||
COMM pass-thru certificates: - continued | ||||
floater: | ||||
Series 2005-FL11: - continued | ||||
Class F, 0.7228% 11/15/17 (h)(o) | $ 384,344 | $ 185,869 | ||
Class G, 0.7728% 11/15/17 (h)(o) | 266,408 | 123,002 | ||
Series 2006-FL12 Class AJ, 0.4028% 12/15/20 (h)(o) | 2,710,000 | 1,367,710 | ||
sequential payer: | ||||
Series 2005-C6 Class A2, 4.999% 6/10/44 (o) | 179,000 | 179,764 | ||
Series 2006-C8: | ||||
Class A1, 5.11% 12/10/46 | 105,470 | 106,105 | ||
Class A3, 5.31% 12/10/46 | 5,420,000 | 4,889,105 | ||
Series 2006-CN2A Class A2FX, 5.449% 2/5/19 | 3,216,000 | 3,111,506 | ||
Series 2007-C9 Class A4, 5.8162% 12/10/49 (o) | 4,209,000 | 3,699,816 | ||
Series 2001-J1A Class F, 6.958% 2/14/34 (h) | 500,000 | 478,009 | ||
Series 2001-J2A Class F, 7.0309% 7/16/34 (h)(o) | 190,000 | 102,113 | ||
Series 2004-LBN2 Class X2, 0.8704% 3/10/39 (h)(o)(q) | 4,283,991 | 47,898 | ||
Series 2006-C8: | ||||
Class B, 5.44% 12/10/46 | 3,294,000 | 946,411 | ||
Class XP, 0.4956% 12/10/46 (o)(q) | 23,582,327 | 359,923 | ||
Commercial Mortgage Acceptance Corp.: | ||||
Series 1998-C1: | ||||
Class F, 6.23% 7/15/31 (h) | 137,515 | 136,953 | ||
Class G, 6.21% 7/15/31 (h) | 500,000 | 448,428 | ||
weighted average coupon Series 1998-C2 Class F, 5.44% 9/15/30 (h)(o) | 196,930 | 182,160 | ||
Commercial Mortgage Asset Trust: | ||||
sequential payer Series 1999-C2 Class A2, 7.546% 11/17/32 (o) | 653,771 | 656,803 | ||
Series 1999-C1 Class F, 6.25% 1/17/32 (h) | 550,000 | 310,805 | ||
Credit Suisse Commercial Mortgage Trust: | ||||
sequential payer: | ||||
Series 2006-C5: | ||||
Class A1, 5.297% 12/15/39 | 784,254 | 797,395 | ||
Class AJ, 5.373% 12/15/39 | 3,852,000 | 1,450,630 | ||
Series 2007-C2: | ||||
Class A1, 5.269% 1/15/49 | 170,024 | 172,617 | ||
Class A2, 5.448% 1/15/49 (o) | 10,150,000 | 10,035,368 | ||
Class A3, 5.542% 1/15/49 (o) | 3,804,000 | 2,768,511 | ||
Series 2007-C3: | ||||
Class A1, 5.664% 6/15/39 (o) | 386,585 | 394,408 | ||
Class A4, 5.7229% 6/15/39 (o) | 1,144,000 | 837,954 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (d) | Value | ||
Credit Suisse Commercial Mortgage Trust: - continued | ||||
Series 2006-C4 Class AAB, 5.439% 9/15/39 | $ 10,824,000 | $ 10,493,414 | ||
Series 2006-C5 Class ASP, 0.6636% 12/15/39 (o)(q) | 14,987,177 | 317,379 | ||
Series 2007-C5 Class A4, 5.695% 9/15/40 (o) | 1,722,000 | 1,267,383 | ||
Credit Suisse First Boston Mortgage Capital Certificates floater Series 2007-TF2A Class B, 0.6228% 4/15/22 (h)(o) | 6,783,000 | 1,695,750 | ||
Credit Suisse First Boston Mortgage Securities Corp.: | ||||
sequential payer: | ||||
Series 2000-C1 Class A2, 7.545% 4/15/62 | 2,126,346 | 2,173,119 | ||
Series 2001-CK6 Class B, 6.582% 8/15/36 | 1,902,000 | 1,915,814 | ||
Series 2002-CP5 Class A1, 4.106% 12/15/35 | 176,825 | 179,702 | ||
Series 2004-C1: | ||||
Class A3, 4.321% 1/15/37 | 641,398 | 648,292 | ||
Class A4, 4.75% 1/15/37 | 884,000 | 862,233 | ||
Series 1997-C2 Class F, 7.46% 1/17/35 (o) | 929,000 | 950,471 | ||
Series 1998-C1: | ||||
Class D, 7.17% 5/17/40 | 1,989,251 | 2,054,648 | ||
Class H, 6% 5/17/40 (h) | 130,000 | 11,516 | ||
Series 1999-C1 Class E, 8.1143% 9/15/41 (o) | 1,966,000 | 1,959,013 | ||
Series 2001-CK6 Class AX, 0.9618% 9/15/18 (o)(q) | 5,525,382 | 88,447 | ||
Series 2001-CKN5 Class AX, 2.0784% 9/15/34 (h)(o)(q) | 17,735,233 | 527,863 | ||
Series 2001-SPGA Class C, 6.809% 8/13/18 (h) | 190,000 | 157,892 | ||
Series 2003-C3: | ||||
Class D, 4.131% 5/15/38 | 120,000 | 74,231 | ||
Class J, 4.231% 5/15/38 (h) | 300,000 | 84,612 | ||
Series 2003-C4 Class ASP, 0.4415% 8/15/36 (h)(o)(q) | 13,482,059 | 60,428 | ||
Series 2006-C1 Class A3, 5.5509% 2/15/39 (o) | 10,043,000 | 9,803,904 | ||
Credit Suisse Mortgage Capital Certificates: | ||||
floater: | ||||
Series 200-TFL1 Class B, 0.4228% 2/15/22 (h)(o) | 721,000 | 324,450 | ||
Series 2007-TFL1: | ||||
Class C: | ||||
0.4428% 2/15/22 (h)(o) | 1,864,711 | 708,590 | ||
0.5428% 2/15/22 (h)(o) | 665,993 | 199,798 | ||
Class F, 0.5928% 2/15/22 (h)(o) | 1,331,815 | 359,590 | ||
Class L, 2.1728% 2/15/22 (h)(o) | 100,000 | 10,000 | ||
sequential payer Series 2007-C1: | ||||
Class A1, 5.227% 2/15/40 | 201,852 | 205,656 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (d) | Value | ||
Credit Suisse Mortgage Capital Certificates: - continued | ||||
sequential payer Series 2007-C1: - continued | ||||
Class A2, 5.268% 2/15/40 | $ 18,300,000 | $ 18,043,904 | ||
Series 2007-C1: | ||||
Class ASP, 0.4177% 2/15/40 (o)(q) | 37,268,901 | 533,970 | ||
Class B, 5.487% 2/15/40 (h)(o) | 2,907,000 | 421,515 | ||
Credit Suisse/Morgan Stanley Commercial Mortgage Trust Series 2006-HC1A Class A1, 0.4628% 5/15/23 (h)(o) | 218,078 | 183,263 | ||
Crest Ltd. Series 2001-1A Class C, 9% 2/25/34 (h) | 500,000 | 200,000 | ||
Deutsche Mortgage & Asset Receiving Corp. | 330,000 | 198,000 | ||
DLJ Commercial Mortgage Corp.: | ||||
sequential payer Series 2000-CF1 Class A1B, 7.62% 6/10/33 | 5,238,656 | 5,352,562 | ||
Series 1998-CG1 Class B4, 7.2288% 6/10/31 (h)(o) | 891,000 | 905,588 | ||
First Chicago/Lennar Trust I Series 1997-CHL1 Class E, 7.7458% 4/29/39 (h)(o) | 15,051 | 14,900 | ||
First Union National Bank Commercial Mortgage Trust sequential payer Series 1999-C4 Class C, 7.793% 12/15/31 (h) | 367,000 | 367,953 | ||
First Union National Bank-Bank of America Commercial Mortgage Trust Series 2001-C1: | ||||
Class D, 6.484% 3/15/33 | 679,000 | 612,063 | ||
Class G, 6.936% 3/15/33 (h) | 1,252,000 | 1,055,974 | ||
Class H, 7.039% 3/15/33 (h) | 50,000 | 38,577 | ||
First Union-Lehman Brothers-Bank of America Commercial Mortgage Trust sequential payer | 361,000 | 261,675 | ||
G-Force LLC sequential payer Series 2005-RRA | 600,000 | 462,000 | ||
GE Capital Commercial Mortgage Corp.: | ||||
sequential payer: | ||||
Series 2000-1 Class A2, 6.496% 1/15/33 | 462,528 | 465,508 | ||
Series 2007-C1 Class A4, 5.543% 12/10/49 | 9,454,000 | 6,839,260 | ||
Series 2001-1 Class X1, 1.0483% 5/15/33 (h)(o)(q) | 19,666,775 | 275,858 | ||
Series 2001-3 Class C, 6.51% 6/10/38 | 287,000 | 275,379 | ||
Series 2002-1A Class H, 7.1598% 12/10/35 (h)(o) | 55,000 | 41,497 | ||
Series 2004-C1 Class X2, 1.3053% 11/10/38 (h)(o)(q) | 12,910,449 | 173,076 | ||
Series 2005-C1 Class B, 4.846% 6/10/48 (o) | 543,000 | 174,128 | ||
Series 2007-C1 Class XP, 0.2088% 12/10/49 (o)(q) | 41,031,460 | 293,999 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (d) | Value | ||
GMAC Commercial Mortgage Securities, Inc.: | ||||
Series 1997-C1 Class H, 6.6% 7/15/29 | $ 489,765 | $ 69,430 | ||
Series 1997-C2: | ||||
Class F, 6.75% 4/15/29 (o) | 1,100,000 | 1,036,221 | ||
Class G, 6.75% 4/15/29 (o) | 500,000 | 257,287 | ||
Series 1999-C1 Class F, 6.02% 5/15/33 (h) | 500,000 | 399,469 | ||
Series 1999-C2I Class K, 6.481% 9/15/33 (r) | 285,000 | 15,727 | ||
Series 1999-C3: | ||||
Class J, 6.974% 8/15/36 (h) | 226,000 | 206,489 | ||
Class K, 6.974% 8/15/36 (h) | 427,000 | 120,570 | ||
Series 2000-C1: | ||||
Class G, 7% 3/15/33 (h) | 120,000 | 111,365 | ||
Class H, 7% 3/15/33 (h) | 100,000 | 77,111 | ||
Class K, 7% 3/15/33 | 90,000 | 52,047 | ||
Series 2002-C3 Class B, 5.101% 7/10/39 | 235,000 | 231,120 | ||
Series 2003-C3 Class X2, 0.8723% 12/10/38 (h)(o)(q) | 14,806,897 | 108,518 | ||
Series 2005-C1 Class X2, 0.6559% 5/10/43 (o)(q) | 10,367,371 | 128,707 | ||
Greenwich Capital Commercial Funding Corp.: | ||||
floater Series 2006-FL4 Class B, 0.4653% 11/5/21 (h)(o) | 715,000 | 330,015 | ||
sequential payer: | ||||
Series 2004-GG1 Class A4, 4.755% 6/10/36 | 1,214,000 | 1,223,465 | ||
Series 2007-GG11: | ||||
Class A1, 5.358% 12/10/49 | 2,065,293 | 2,100,531 | ||
Class A2, 5.597% 12/10/49 | 3,804,000 | 3,658,408 | ||
Series 2007-GG9: | ||||
Class A1, 5.233% 3/10/39 | 520,760 | 528,905 | ||
Class A4, 5.444% 3/10/39 | 5,530,000 | 4,718,465 | ||
Series 2002-C1 Class H, 5.903% 1/11/35 (h) | 86,000 | 64,019 | ||
Series 2003-C1 Class XP, 2.2423% 7/5/35 (h)(o)(q) | 7,814,659 | 118,254 | ||
Series 2003-C2: | ||||
Class J, 5.234% 1/5/36 (h)(o) | 250,000 | 92,372 | ||
Class XP, 1.1772% 1/5/36 (h)(o)(q) | 17,800,000 | 154,217 | ||
Series 2005-GG3 Class XP, 0.9155% 8/10/42 (h)(o)(q) | 38,005,737 | 639,614 | ||
Series 2006-GG7: | ||||
Class A3, 5.9166% 7/10/38 (o) | 5,013,000 | 4,763,268 | ||
Class A4, 5.9166% 7/10/38 (o) | 9,540,000 | 8,330,655 | ||
Series 2007-GG11 Class A1, 0.4798% 12/10/49 (h)(q) | 47,931,734 | 516,488 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (d) | Value | ||
GS Mortgage Securities Corp. II: | ||||
floater: | ||||
Series 2006-FL8A: | ||||
Class C, 0.5156% 6/6/20 (h)(o) | $ 96,000 | $ 71,040 | ||
Class D, 0.5556% 6/6/20 (h)(o) | 453,000 | 240,090 | ||
Class E, 0.6456% 6/6/20 (h)(o) | 526,000 | 268,260 | ||
Class F, 0.7156% 6/6/20 (h)(o) | 835,001 | 384,100 | ||
Class J, 2.0256% 6/6/20 (h)(o) | 250,000 | 12,500 | ||
Series 2007-EOP: | ||||
Class C, 0.5956% 3/6/20 (h)(o) | 1,994,000 | 1,515,440 | ||
Class D, 0.6456% 3/6/20 (h)(o) | 4,004,000 | 3,003,000 | ||
Class F, 0.7556% 3/6/20 (h)(o) | 164,000 | 119,720 | ||
Class G, 0.7956% 3/6/20 (h)(o) | 81,000 | 58,320 | ||
Class H, 0.9256% 3/6/20 (h)(o) | 60,000 | 41,400 | ||
Class J, 1.1256% 3/6/20 (h)(o) | 86,000 | 57,620 | ||
Class L, 1.5756% 3/1/20 (h)(o) | 400,000 | 248,000 | ||
sequential payer Series 2004-GG2 Class A4, 4.964% 8/10/38 | 590,000 | 587,821 | ||
Series 1997-GL Class G, 7.5095% 7/13/30 (o) | 851,849 | 898,530 | ||
Series 1998-GLII Class G, 7.751% 4/13/31 (h)(o) | 600,000 | 429,270 | ||
Series 2001-GL3A Class JGGP, 7.397% 8/5/18 (h)(o) | 350,000 | 122,500 | ||
Series 2001-LIBA Class C, 6.733% 2/14/16 (h) | 941,000 | 1,009,886 | ||
Series 2005-GG4 Class XP, 0.6918% 7/10/39 (h)(o)(q) | 43,030,049 | 670,107 | ||
Series 2006-GG6 Class A2, 5.506% 4/10/38 (o) | 11,153,000 | 11,204,444 | ||
Series 2006-RR2: | ||||
Class M, 5.6937% 6/1/46 (h)(o) | 100,000 | 2,000 | ||
Class N, 5.6937% 6/1/46 (h)(o) | 100,000 | 2,000 | ||
GS Mortgage Securities Trust: | ||||
sequential payer: | ||||
Series 2006-GG8 Class A2, 5.479% 11/10/39 | 2,852,000 | 2,833,260 | ||
Series 2007-GG10: | ||||
Class A1, 5.69% 8/10/45 | 736,720 | 755,076 | ||
Class A2, 5.778% 8/10/45 | 13,561,000 | 13,516,660 | ||
Class A4, 5.8051% 8/10/45 (o) | 5,590,000 | 4,370,013 | ||
Series 2007-GG10 Class B, 5.8051% 8/10/45 (o) | 2,376,000 | 513,748 | ||
JPMorgan Chase Commercial Mortgage Securities Corp.: | ||||
Series 2002-C1 Class E, 6.135% 7/12/37 (h) | 180,000 | 143,781 | ||
Series 2003-C1: | ||||
Class CM1, 5.5061% 1/12/37 (h)(o) | 210,246 | 142,967 | ||
Class D, 5.192% 1/12/37 | 230,000 | 158,344 | ||
Series 2004-C1 Class X2, 1.1524% 1/15/38 (h)(o)(q) | 3,967,109 | 44,538 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (d) | Value | ||
JPMorgan Chase Commercial Mortgage Securities Corp.: - continued | ||||
Series 2004-CB8 Class X2, 1.2614% 1/12/39 (h)(o)(q) | $ 4,136,691 | $ 54,051 | ||
JPMorgan Chase Commercial Mortgage Securities Trust: | ||||
floater: | ||||
Series 2004-FL1A Class B, 0.5428% 4/16/19 (h)(o) | 1,057,055 | 898,497 | ||
Series 2005-FL1A Class A2, 0.4528% 2/15/19 (h)(o) | 1,447,000 | 1,287,185 | ||
Series 2006-FLA2: | ||||
Class A2, 0.4028% 11/15/18 (h)(o) | 10,000,000 | 6,067,143 | ||
Class B, 0.4428% 11/15/18 (h)(o) | 1,592,243 | 845,469 | ||
Class C, 0.4828% 11/15/18 (h)(o) | 1,131,245 | 577,952 | ||
Class D, 0.5028% 11/15/18 (h)(o) | 344,601 | 149,497 | ||
Class E, 0.5528% 11/15/18 (h)(o) | 497,106 | 215,295 | ||
Class F, 0.6028% 11/15/18 (h)(o) | 744,295 | 313,802 | ||
Class G, 0.6328% 11/15/18 (h)(o) | 646,729 | 277,185 | ||
Class H, 0.7728% 11/15/18 (h)(o) | 497,106 | 175,715 | ||
sequential payer: | ||||
Series 2006-CB14 Class A3B, 5.4854% 12/12/44 (o) | 5,657,000 | 5,104,259 | ||
Series 2006-CB15 Class A3, 5.819% 6/12/43 (o) | 2,864,000 | 2,648,638 | ||
Series 2006-CB17 Class A4, 5.429% 12/12/43 | 6,150,000 | 5,528,014 | ||
Series 2006-LDP8 Class A4, 5.399% 5/15/45 | 1,210,000 | 1,005,093 | ||
Series 2006-LDP9 Class A2, 5.134% 5/15/47 (o) | 903,000 | 855,587 | ||
Series 2007-CB19 Class A4, 5.7476% 2/12/49 (o) | 6,670,000 | 5,523,473 | ||
Series 2007-LD11: | ||||
Class A2, 5.7828% 6/15/49 (o) | 5,340,000 | 5,332,368 | ||
Class A4, 5.7978% 6/15/49 (o) | 2,823,000 | 2,387,597 | ||
Series 2007-LDP10 Class A1, 5.122% 1/15/49 | 189,407 | 192,178 | ||
Series 2007-LDPX Class A3, 5.412% 1/15/49 | 5,234,000 | 4,393,372 | ||
Series 2004-CBX Class D, 5.097% 1/12/37 (o) | 65,000 | 40,950 | ||
Series 2004-LDP4 Class D, 5.1236% 10/15/42 (o) | 1,711,000 | 376,692 | ||
Series 2004-LN2 Class D, 5.2154% 7/15/41 (o) | 420,000 | 92,440 | ||
Series 2005-CB13 Class E, 5.3498% 1/12/43 (h)(o) | 963,000 | 163,804 | ||
Series 2005-LDP3 Class A3, 4.959% 8/15/42 | 10,750,000 | 10,654,517 | ||
Series 2006-CB15 Class A4, 5.814% 6/12/43 (o) | 15,465,000 | 14,168,145 | ||
Series 2006-CB17 Class A3, 5.45% 12/12/43 | 543,000 | 513,357 | ||
Series 2007-CB19: | ||||
Class B, 5.7442% 2/12/49 | 165,000 | 47,886 | ||
Class C, 5.7462% 2/12/49 | 424,000 | 106,071 | ||
Class D, 5.7462% 2/12/49 | 447,000 | 107,351 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (d) | Value | ||
JPMorgan Chase Commercial Mortgage Securities Trust: - continued | ||||
Series 2007-LDP10: | ||||
Class BS, 5.437% 1/15/49 (o) | $ 364,000 | $ 85,625 | ||
Class CS, 5.466% 1/15/49 (o) | 157,000 | 35,332 | ||
Class ES, 5.5454% 1/15/49 (h)(o) | 983,000 | 120,594 | ||
JPMorgan Commercial Mortgage Finance Corp.: | ||||
Series 1997-C5 Class F, 7.5605% 9/15/29 | 1,590,000 | 1,539,150 | ||
Series 2000-C9 Class G, 6.25% 10/15/32 (h) | 783,000 | 775,615 | ||
LB Commercial Conduit Mortgage Trust: | ||||
Series 1998-C1 Class D, 6.98% 2/18/30 | 2,057,189 | 2,113,203 | ||
Series 1998-C4 Class G, 5.6% 10/15/35 (h) | 503,000 | 479,108 | ||
Series 2007-C3: | ||||
Class F, 5.9498% 7/15/44 (o) | 377,000 | 38,295 | ||
Class G, 6.1497% 7/15/44 (h)(o) | 666,000 | 62,724 | ||
LB-UBS Commercial Mortgage Trust: | ||||
sequential payer: | ||||
Series 2000-C3 Class A2, 7.95% 1/15/10 | 2,733,397 | 2,765,082 | ||
Series 2001-C2 Class A2, 6.653% 11/15/27 | 367,000 | 384,123 | ||
Series 2001-C3 Class A1, 6.058% 6/15/20 | 134,754 | 137,888 | ||
Series 2006-C1: | ||||
Class A2, 5.084% 2/15/31 | 913,000 | 911,798 | ||
Class A4, 5.156% 2/15/31 | 722,000 | 649,506 | ||
Series 2006-C3 Class A1, 5.478% 3/15/39 | 162,865 | 165,147 | ||
Series 2006-C6: | ||||
Class A1, 5.23% 9/15/39 | 277,087 | 281,848 | ||
Class A2, 5.262% 9/15/39 (o) | 11,694,000 | 11,747,095 | ||
Series 2006-C7: | ||||
Class A1, 5.279% 11/15/38 | 940,981 | 959,398 | ||
Class A2, 5.3% 11/15/38 | 2,092,000 | 2,085,681 | ||
Class A3, 5.347% 11/15/38 | 1,417,000 | 1,248,696 | ||
Series 2007-C1: | ||||
Class A1, 5.391% 2/15/40 (o) | 290,501 | 295,938 | ||
Class A3, 5.398% 2/15/40 | 10,000,000 | 9,591,423 | ||
Class A4, 5.424% 2/15/40 | 244,000 | 185,209 | ||
Series 2007-C2: | ||||
Class A1, 5.226% 2/15/40 | 271,670 | 276,115 | ||
Class A3, 5.43% 2/15/40 | 917,000 | 703,989 | ||
Series 2007-C6 Class A2, 5.845% 7/15/40 | 10,000,000 | 9,931,078 | ||
Series 2000-C3 Class B, 7.95% 3/15/32 | 545,000 | 552,154 | ||
Series 2000-C5 Class E, 7.29% 12/15/32 | 134,000 | 132,655 | ||
Series 2001-C3 Class B, 6.512% 6/15/36 | 3,676,000 | 3,814,157 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (d) | Value | ||
LB-UBS Commercial Mortgage Trust: - continued | ||||
Series 2001-C7 Class D, 6.514% 11/15/33 | $ 2,092,000 | $ 1,962,333 | ||
Series 2002-C1 Class J, 6.95% 3/15/34 (h)(o) | 86,000 | 61,356 | ||
Series 2003-C3 Class XCP, 1.2222% 3/11/37 (h)(o)(q) | 7,980,175 | 58,827 | ||
Series 2004-C2: | ||||
Class G, 4.595% 3/15/36 (h)(o) | 165,000 | 66,399 | ||
Class K, 5.2529% 3/15/36 (h)(o) | 500,000 | 101,812 | ||
Class XCP, 1.2332% 3/15/36 (h)(o)(q) | 25,979,524 | 379,182 | ||
Series 2004-C4 Class A2, 4.567% 6/15/29 (o) | 504,189 | 505,807 | ||
Series 2005-C3 Class XCP, 0.7261% 7/15/40 (o)(q) | 6,411,758 | 112,882 | ||
Series 2006-C6 Class XCP, 0.6633% 9/15/39 (o)(q) | 11,787,202 | 224,214 | ||
Series 2007-C1: | ||||
Class C, 5.533% 2/15/40 (o) | 4,185,000 | 891,958 | ||
Class D, 5.563% 2/15/40 (o) | 760,000 | 147,486 | ||
Class E, 5.582% 2/15/40 (o) | 381,000 | 71,296 | ||
Class XCP, 0.4737% 2/15/40 (o)(q) | 4,640,096 | 66,664 | ||
Series 2007-C6 Class A4, 5.858% 7/15/40 (o) | 2,376,000 | 1,891,028 | ||
Series 2007-C7: | ||||
Class A3, 5.866% 9/15/45 | 6,219,000 | 5,115,157 | ||
Class XCP, 0.3054% 9/15/45 (o)(q) | 156,476,796 | 1,839,416 | ||
LB-UBS Westfield Trust Series 2001-WM, 6.754% 7/14/16 (h) | 544,000 | 542,349 | ||
Leafs CMBS I Ltd./Leafs CMBS I Corp. Series 2002-1A: | ||||
Class B, 4.13% 11/20/37 (h) | 3,105,000 | 2,515,050 | ||
Class C, 4.13% 11/20/37 (h) | 8,205,000 | 5,579,400 | ||
Lehman Brothers Floating Rate Commercial Mortgage Trust floater Series 2006-LLFA: | ||||
Class D, 0.5028% 9/15/21 (h)(o) | 608,683 | 243,473 | ||
Class E, 0.5628% 9/15/21 (h)(o) | 2,196,145 | 658,843 | ||
Class F, 0.6128% 9/15/21 (h)(o) | 1,143,094 | 314,351 | ||
Class G, 0.6328% 9/15/21 (h)(o) | 2,258,211 | 564,553 | ||
Class H, 0.6728% 9/15/21 (h)(o) | 582,579 | 131,080 | ||
Lehman Large Loan Trust Series 1997-LLI Class E, 7.3% 10/12/34 | 3,377,000 | 3,686,493 | ||
LNR CFL Series 2004-1: | ||||
Class I10, 7.72% 2/26/28 (h) | 180,000 | 86,310 | ||
Class I11, 7.72% 2/26/28 (h) | 100,000 | 37,780 | ||
Class I12, 7.72% 2/26/28 (h) | 100,000 | 30,780 | ||
Class I9, 7.72% 2/26/28 (h) | 153,200 | 91,414 | ||
Merrill Lynch Mortgage Investors Trust: | ||||
Series 1997-C2 Class F, 6.25% 12/10/29 (o) | 620,000 | 539,991 | ||
Series 1998-C3 Class E, 6.7944% 12/15/30 (o) | 155,000 | 144,150 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (d) | Value | ||
Merrill Lynch Mortgage Investors Trust: - continued | ||||
Series 1999-C1 Class B, 7.71% 11/15/31 | $ 330,000 | $ 329,554 | ||
Series 2001-HRPA: | ||||
Class G, 6.778% 2/3/16 (h) | 395,000 | 375,250 | ||
Class H, 6.778% 2/3/16 (h) | 315,000 | 299,250 | ||
Merrill Lynch Mortgage Trust: | ||||
sequential payer: | ||||
Series 2004-MKB1 Class A2, 4.353% 2/12/42 | 382,898 | 385,576 | ||
Series 2007-C1 Class A1, 4.533% 6/12/50 | 1,631,593 | 1,642,558 | ||
Series 2004-KEY2 Class K, 5.091% 8/12/39 (h)(o) | 100,000 | 11,282 | ||
Series 2005-CKI1 Class A3, 5.2398% 11/12/37 (o) | 3,122,000 | 3,126,142 | ||
Series 2005-LC1 Class F, 5.3781% 1/12/44 (h)(o) | 1,655,000 | 347,821 | ||
Series 2006-C1 Class A2, 5.6114% 5/12/39 (o) | 2,680,000 | 2,703,823 | ||
Series 2006-KEY2 Class L, 5.091% 8/12/39 (h) | 300,000 | 33,185 | ||
Series 2007-C1 Class A4, 5.8286% 6/12/50 (o) | 7,199,517 | 5,562,801 | ||
Series 2008-C1 Class A4, 5.69% 2/12/51 | 4,059,000 | 3,130,582 | ||
Merrill Lynch-CFC Commercial Mortgage Trust: | ||||
floater Series 2006-4 Class A2FL, 0.4163% 12/12/49 (o) | 887,000 | 731,817 | ||
sequential payer: | ||||
Series 2006-1 CLass A3, 5.671% 2/12/39 | 2,024,000 | 1,901,306 | ||
Series 2006-4: | ||||
Class A2, 5.112% 12/12/49 (o) | 1,075,000 | 1,065,560 | ||
Class ASB, 5.133% 12/12/49 (o) | 1,636,000 | 1,469,822 | ||
Series 2007-5: | ||||
Class A1, 4.275% 8/12/48 | 142,060 | 142,748 | ||
Class A3, 5.364% 8/12/48 | 11,417,000 | 9,635,978 | ||
Class A4, 5.378% 8/12/48 | 76,000 | 55,629 | ||
Class B, 5.479% 2/12/17 | 5,706,000 | 1,182,477 | ||
Series 2007-6 Class A1, 5.175% 3/12/51 | 167,520 | 170,038 | ||
Series 2007-7 Class A4, 5.7487% 6/12/50 (o) | 6,656,000 | 4,832,620 | ||
Series 2007-8 Class A1, 4.622% 8/12/49 | 550,778 | 554,937 | ||
Series 2006-2 Class A4, 5.9092% 6/12/46 (o) | 16,407,000 | 15,595,062 | ||
Series 2006-4 Class XP, 0.6228% 12/12/49 (o)(q) | 41,659,736 | 890,739 | ||
Series 2007-6 Class B, 5.635% 3/12/51 (o) | 1,902,000 | 426,230 | ||
Series 2007-7 Class B, 5.75% 6/12/50 | 166,000 | 37,762 | ||
Series 2007-8 Class A3, 5.957% 8/12/49 (o) | 1,640,000 | 1,253,871 | ||
Morgan Stanley Capital I Trust: | ||||
floater: | ||||
Series 2005-XLF: | ||||
Class G, 0.643% 8/15/19 (h)(o) | 32,456 | 28,886 | ||
Class H, 0.663% 8/15/19 (h)(o) | 151,000 | 116,270 | ||
Class J, 0.733% 8/15/19 (h)(o) | 114,000 | 82,080 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (d) | Value | ||
Morgan Stanley Capital I Trust: - continued | ||||
floater: | ||||
Series 2006-XLF: | ||||
Class C, 1.473% 7/15/19 (h)(o) | $ 822,747 | $ 82,275 | ||
Class F, 0.593% 7/15/19 (h)(o) | 1,830,000 | 1,464,000 | ||
Class G, 0.633% 7/15/19 (h)(o) | 1,041,000 | 541,320 | ||
Series 2007-XCLA Class A1, 0.473% 7/17/17 (h)(o) | 2,717,034 | 1,494,369 | ||
Series 2007-XLCA Class B, 0.7728% 7/17/17 (h)(o) | 2,408,057 | 120,403 | ||
Series 2007-XLFA: | ||||
Class C, 0.433% 10/15/20 (h)(o) | 1,092,000 | 349,440 | ||
Class D, 0.463% 10/15/20 (h)(o) | 667,354 | 166,839 | ||
Class E, 0.523% 10/15/20 (h)(o) | 834,661 | 166,932 | ||
Class F, 0.573% 10/15/20 (h)(o) | 500,899 | 90,162 | ||
Class G, 0.613% 10/15/20 (h)(o) | 619,188 | 136,221 | ||
Class H, 0.703% 10/15/20 (h)(o) | 389,758 | 38,976 | ||
Class J, 0.853% 10/15/20 (h)(o) | 444,903 | 35,592 | ||
Class MHRO, 0.963% 10/15/20 (h)(o) | 605,197 | 66,572 | ||
Class MJPM, 1.273% 10/15/20 (h)(o) | 190,583 | 17,152 | ||
Class MSTR, 0.973% 10/15/20 (h)(o) | 343,918 | 48,148 | ||
Class NHRO, 1.163% 10/15/20 (h)(o) | 918,469 | 82,662 | ||
Class NSTR, 1.123% 10/15/20 (h)(o) | 315,384 | 34,692 | ||
sequential payer: | ||||
Series 2003-IQ5 Class X2, 0.9799% 4/15/38 (h)(o)(q) | 6,461,972 | 95,541 | ||
Series 2004-HQ3 Class A2, 4.05% 1/13/41 | 537,255 | 542,410 | ||
Series 2004-RR2 Class A2, 5.45% 10/28/33 (h) | 562,854 | 469,983 | ||
Series 2005-IQ9 Class A3, 4.54% 7/15/56 | 2,826,000 | 2,771,856 | ||
Series 2006-HQ10 Class A1, 5.131% 11/12/41 | 611,828 | 621,781 | ||
Series 2006-HQ8 Class A1, 5.124% 3/12/44 | 40,081 | 40,284 | ||
Series 2006-T23 Class A1, 5.682% 8/12/41 | 1,692,519 | 1,732,767 | ||
Series 2007-HQ11: | ||||
Class A1, 5.246% 2/12/44 | 497,863 | 506,241 | ||
Class A31, 5.439% 2/12/44 (o) | 964,000 | 895,789 | ||
Series 2007-IQ13: | ||||
Class A1, 5.05% 3/15/44 | 501,383 | 508,260 | ||
Class A4, 5.364% 3/15/44 | 10,000,000 | 8,259,327 | ||
Series 2007-IQ14 Class A1, 5.38% 4/15/49 | 1,206,258 | 1,228,965 | ||
Series 2007-T25: | ||||
Class A1, 5.391% 11/12/49 | 324,312 | 330,650 | ||
Class A2, 5.507% 11/12/49 | 3,425,000 | 3,319,512 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (d) | Value | ||
Morgan Stanley Capital I Trust: - continued | ||||
Series 2003-IQ6 Class X2, 0.5812% 12/15/41 (h)(o)(q) | $ 13,765,630 | $ 159,293 | ||
Series 2004-IQ7 Class E, 5.4024% 6/15/38 (h)(o) | 120,000 | 42,000 | ||
Series 2004-RR2 Class C, 5.88% 10/28/33 (h)(o) | 280,000 | 114,800 | ||
Series 2005-HQ7: | ||||
Class E, 5.2075% 11/14/42 (o) | 75,000 | 22,500 | ||
Class F, 5.2075% 11/14/42 (o) | 150,000 | 42,000 | ||
Series 2005-IQ9 Class X2, 1.1689% 7/15/56 (h)(o)(q) | 23,258,465 | 516,354 | ||
Series 2006-HQ10 Class X2, 0.69% 11/12/41 (h)(o)(q) | 11,571,366 | 156,256 | ||
Series 2006-HQ8 Class A3, 5.4387% 3/12/16 (o) | 2,950,000 | 2,864,310 | ||
Series 2006-HQ9 Class B, 5.832% 7/12/44 (o) | 2,823,000 | 899,549 | ||
Series 2006-IQ11: | ||||
Class A3, 5.7345% 10/15/42 (o) | 3,157,000 | 3,018,394 | ||
Class A4, 5.7705% 10/15/42 (o) | 570,000 | 487,231 | ||
Series 2006-IQ12 Class B, 5.468% 12/15/43 | 1,902,000 | 558,199 | ||
Series 2006-T23 Class A3, 5.8075% 8/12/41 (o) | 972,000 | 910,818 | ||
Series 2007-HQ11 Class B, 5.538% 2/20/44 (o) | 3,448,000 | 949,993 | ||
Series 2007-HQ12: | ||||
Class A2, 5.6318% 4/12/49 (o) | 12,880,000 | 12,248,057 | ||
Series A1, 5.519% 4/12/49 (o) | 799,111 | 815,646 | ||
Series 2007-IQ14: | ||||
Class A4, 5.692% 4/15/49 (o) | 2,852,000 | 2,219,532 | ||
Class B, 5.914% 4/15/49 | 469,000 | 129,458 | ||
Series 2007-XLC1: | ||||
Class C, 0.8728% 7/17/17 (h)(o) | 3,245,642 | 162,282 | ||
Class D, 0.9728% 7/17/17 (h)(o) | 1,526,121 | 76,306 | ||
Class E, 1.0728% 7/17/17 (h)(o) | 1,239,655 | 61,983 | ||
Morgan Stanley Dean Witter Capital I Trust: | ||||
sequential payer Series 2001-PPM Class A2, 6.4% 2/15/31 | 52,634 | 54,812 | ||
Series 2000-PRIN Class C, 7.9238% 2/23/34 (o) | 366,000 | 318,276 | ||
Series 2001-IQA Class F, 6.79% 12/18/32 (h) | 184,900 | 172,876 | ||
Series 2003-TOP9 Class E, 5.7113% 11/13/36 (h)(o) | 70,000 | 31,951 | ||
Multi Security Asset Trust sequential payer | 625,000 | 515,625 | ||
NationsLink Funding Corp. Series 1998-2: | ||||
Class F, 7.105% 8/20/30 (h) | 743,119 | 743,119 | ||
Class G, 5% 8/20/30 (h) | 216,875 | 193,019 | ||
Class J, 5% 8/20/30 (h) | 160,000 | 112,000 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (d) | Value | ||
Providence Place Group Ltd. Partnership Series 2000-C1 Class A2, 7.75% 7/20/28 | $ 443,666 | $ 434,792 | ||
Prudential Securities Secured Financing Corp. | 280,000 | 279,552 | ||
Real Estate Asset Liquidity Trust: | ||||
Series 2006-2: | ||||
Class F, 4.456% 9/12/38 (h) | CAD | 107,000 | 58,915 | |
Class G, 4.456% 9/12/38 (h) | CAD | 54,000 | 28,101 | |
Class H, 4.456% 9/12/38 (h) | CAD | 36,000 | 17,720 | |
Class J, 4.456% 9/12/38 (h) | CAD | 36,000 | 16,712 | |
Class K, 4.456% 9/12/38 (h) | CAD | 18,000 | 7,433 | |
Class L, 4.456% 9/12/38 (h) | CAD | 26,000 | 10,128 | |
Class M, 4.456% 9/12/38 (h) | CAD | 128,859 | 26,116 | |
Series 2007-1: | ||||
Class F, 4.57% 4/12/23 | CAD | 126,000 | 70,879 | |
Class G, 4.57% 4/12/23 | CAD | 42,000 | 22,270 | |
Class H, 4.57% 4/12/23 | CAD | 42,000 | 21,010 | |
Class J, 4.57% 4/12/23 | CAD | 42,000 | 19,840 | |
Class K, 4.57% 4/12/23 | CAD | 21,000 | 9,376 | |
Class L, 4.57% 4/12/23 | CAD | 63,000 | 26,608 | |
Class M, 4.57% 4/12/23 | CAD | 185,000 | 39,375 | |
Salomon Brothers Mortgage Securities VII, Inc.: | ||||
sequential payer Series 2000-C3 Class A2, 6.592% 12/18/33 | 3,231,464 | 3,319,231 | ||
Series 2001-C1 Class E, 6.31% 12/18/35 | 135,000 | 114,613 | ||
Series 2001-MMA: | ||||
Class E6, 6.5% 2/18/34 (h)(o) | 165,000 | 132,000 | ||
Class F6, 6.5% 2/18/34 (h)(o) | 37,000 | 27,750 | ||
SBA CMBS Trust Series 2006-1A Class C, 5.559% 11/15/36 (h) | 182,000 | 180,180 | ||
STRIPS III Ltd./STRIPS III Corp. floater Series 2004-1A Class A, 0.7475% 3/24/18 (h)(o) | 83,649 | 75,284 | ||
Structured Asset Securities Corp. Series 1997-LLI: | ||||
Class D, 7.15% 10/12/34 | 289,140 | 308,329 | ||
Class F, 7.3% 10/12/34 (h) | 463,000 | 460,955 | ||
TrizecHahn Office Properties Trust Series 2001-TZHA Class C4, 6.893% 5/15/16 (h) | 1,616,000 | 1,709,338 | ||
UBS Commercial Mortgage Trust Series 2007-FL1: | ||||
Class F, 0.8478% 9/15/09 (h)(o) | 110,000 | 14,803 | ||
Class G, 0.8478% 9/15/09 (h)(o) | 200,000 | 24,719 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (d) | Value | ||
Wachovia Bank Commercial Mortgage Trust: | ||||
floater: | ||||
Series 2005-WL5A Class K, 1.4728% 1/15/18 (h)(o) | $ 1,276,330 | $ 765,798 | ||
Series 2006-WL7A: | ||||
Class E, 0.5528% 9/15/21 (h)(o) | 1,770,598 | 531,179 | ||
Class F, 0.6281% 8/11/18 (h)(o) | 1,877,987 | 375,597 | ||
Class G, 0.6481% 8/11/18 (h)(o) | 1,779,101 | 266,865 | ||
Class J, 0.8881% 8/11/18 (h)(o) | 395,545 | 39,555 | ||
Series 2007-ESH Class A1, 0.7228% 6/15/19 (h)(o) | 182,465 | 153,270 | ||
Series 2007-WHL8: | ||||
Class AP1, 0.9728% 6/15/20 (h)(o) | 140,220 | 28,044 | ||
Class AP2, 1.0728% 6/15/20 (h)(o) | 235,007 | 35,251 | ||
Class F, 0.7528% 6/15/20 (h)(o) | 4,565,501 | 913,100 | ||
Class LXR1, 0.9728% 6/15/20 (h)(o) | 233,916 | 46,783 | ||
Class LXR2, 1.0728% 6/15/20 (h)(o) | 3,111,858 | 311,186 | ||
sequential payer: | ||||
Series 2003-C6 Class A2, 4.498% 8/15/35 | 624,204 | 633,693 | ||
Series 2003-C7 Class A1, 4.241% 10/15/35 (h) | 4,161,020 | 4,219,183 | ||
Series 2003-C8 Class A3, 4.445% 11/15/35 | 8,283,000 | 8,171,592 | ||
Series 2006-C27 Class A2, 5.624% 7/15/45 | 1,700,000 | 1,699,424 | ||
Series 2006-C29: | ||||
Class A1, 5.11% 11/15/48 | 1,107,634 | 1,124,912 | ||
Class A3, 5.313% 11/15/48 | 5,051,000 | 4,628,202 | ||
Series 2007-C30: | ||||
Class A1, 5.031% 12/15/43 | 268,755 | 272,188 | ||
Class A3, 5.246% 12/15/43 | 1,633,000 | 1,575,279 | ||
Class A4, 5.305% 12/15/43 | 8,604,000 | 6,883,111 | ||
Class A5, 5.342% 12/15/43 | 2,036,000 | 1,442,275 | ||
Series 2007-C31: | ||||
Class A1, 5.14% 4/15/47 | 277,957 | 281,737 | ||
Class A4, 5.509% 4/15/47 | 4,299,000 | 3,247,967 | ||
Series 2007-C32: | ||||
Class A2, 5.7355% 6/15/49 (o) | 15,568,000 | 15,268,237 | ||
Class A3, 5.9289% 6/15/49 (o) | 3,229,000 | 2,519,160 | ||
Series 2003-C6 Class G, 5.125% 8/15/35 (h) | 903,000 | 461,683 | ||
Series 2003-C8 Class XP, 0.3689% 11/15/35 (h)(o)(q) | 6,481,841 | 30,115 | ||
Series 2003-C9 Class XP, 0.4822% 12/15/35 (h)(o)(q) | 6,540,158 | 38,830 | ||
Series 2004-C15: | ||||
Class 180A, 5.3979% 10/15/41 (h)(o) | 1,464,000 | 1,347,742 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (d) | Value | ||
Wachovia Bank Commercial Mortgage Trust: - continued | ||||
Series 2004-C15: - continued | ||||
Class 180B, 5.3979% 10/15/41 (h)(o) | $ 666,000 | $ 619,361 | ||
Series 2005-C19 Class B, 4.892% 5/15/44 | 1,902,000 | 760,800 | ||
Series 2005-C22: | ||||
Class B, 5.3549% 12/15/44 (o) | 4,218,000 | 1,265,400 | ||
Class F, 5.3549% 12/15/44 (h)(o) | 3,171,000 | 412,230 | ||
Series 2006-C23 Class A5, 5.416% 1/15/45 (o) | 7,870,000 | 6,479,547 | ||
Series 2006-C29 Class E, 5.516% 11/15/48 (o) | 1,902,000 | 237,750 | ||
Series 2007-C30: | ||||
Class B, 5.463% 12/15/43 (o) | 10,505,000 | 1,260,600 | ||
Class C, 5.483% 12/15/43 (o) | 5,706,000 | 627,660 | ||
Class D, 5.513% 12/15/43 (o) | 3,044,000 | 304,400 | ||
Class XP, 0.4317% 12/15/43 (h)(o)(q) | 23,390,552 | 353,513 | ||
Series 2007-C31 Class C, 5.693% 4/15/47 (o) | 522,000 | 65,250 | ||
Series 2007-C32: | ||||
Class D, 5.7405% 6/15/49 (o) | 1,431,000 | 157,410 | ||
Class E, 5.7405% 6/15/49 (o) | 2,252,000 | 236,460 | ||
Wachovia Bank Commercial Mortgage Trust pass-thru certificates: | ||||
sequential payer Series 2007-C33 Class A5, 5.9023% 2/15/51 (o) | 1,259,000 | 973,876 | ||
Series 2007-C33 Class B, 5.9023% 2/15/51 (o) | 3,198,000 | 495,690 | ||
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $720,589,242) | 724,435,418 | |||
Municipal Securities - 0.2% | ||||
| ||||
California Gen. Oblig.: | ||||
7.5% 4/1/34 | 5,600,000 | 5,946,304 | ||
7.55% 4/1/39 | 8,400,000 | 9,006,144 | ||
New York Metropolitan Trans. Auth. Dedicated Tax Fund Rev. Series 2009 C, 7.336% 11/15/39 | 3,539,000 | 4,310,785 | ||
TOTAL MUNICIPAL SECURITIES (Cost $17,694,232) | 19,263,233 | |||
Foreign Government and Government Agency Obligations - 1.4% | ||||
| ||||
Argentine Republic: | ||||
discount (with partial capitalization through 12/31/13) 8.28% 12/31/33 | 4,551,534 | 2,639,890 | ||
par 2.5% 12/31/38 (f) | 2,960,000 | 806,600 | ||
Foreign Government and Government Agency Obligations - continued | ||||
| Principal Amount (d) | Value | ||
Argentine Republic: - continued | ||||
7% 3/28/11 | $ 28,885,000 | $ 22,859,268 | ||
7% 9/12/13 | 20,425,000 | 13,853,824 | ||
Barbados Government 7.25% 12/15/21 (h) | 337,000 | 330,260 | ||
Brazilian Federative Republic: | ||||
6% 9/15/13 | 300,000 | 299,250 | ||
6% 1/17/17 | 440,000 | 458,920 | ||
8% 1/15/18 | 368,333 | 419,900 | ||
8.25% 1/20/34 | 410,000 | 506,350 | ||
8.75% 2/4/25 | 730,000 | 905,200 | ||
12.25% 3/6/30 | 880,000 | 1,469,600 | ||
12.75% 1/15/20 | 355,000 | 557,350 | ||
Central Bank of Nigeria promissory note 5.092% 1/5/10 | 140,979 | 79,536 | ||
Chilean Republic 7.125% 1/11/12 | 3,045,000 | 3,399,134 | ||
Colombian Republic 7.375% 9/18/37 | 1,830,000 | 1,909,605 | ||
Democratic Socialist Republic of Sri Lanka 8.25% 10/24/12 (h) | 1,775,000 | 1,757,250 | ||
Dominican Republic: | ||||
2.125% 8/30/24 (o) | 1,100,000 | 737,000 | ||
9.04% 1/23/18 (h) | 2,497,452 | 2,335,118 | ||
9.5% 9/27/11 (Reg. S) | 2,676,002 | 2,716,142 | ||
Ecuador Republic 5% 2/28/25 | 218,000 | 121,186 | ||
El Salvador Republic: | ||||
7.65% 6/15/35 | 1,265,000 | 1,138,500 | ||
7.75% 1/24/23 (Reg. S) | 870,000 | 913,500 | ||
8.25% 4/10/32 (Reg. S) | 375,000 | 360,000 | ||
8.5% 7/25/11 (Reg. S) | 650,000 | 679,250 | ||
Gabonese Republic 8.2% 12/12/17 (h) | 3,375,000 | 3,311,719 | ||
Georgia Republic 7.5% 4/15/13 | 1,570,000 | 1,460,100 | ||
Ghana Republic 8.5% 10/4/17 (h) | 2,430,000 | 2,235,600 | ||
Indonesian Republic: | ||||
6.625% 2/17/37 (h) | 1,475,000 | 1,360,688 | ||
6.875% 3/9/17 (h) | 950,000 | 978,500 | ||
6.875% 1/17/18 (h) | 1,510,000 | 1,547,750 | ||
7.25% 4/20/15 (h) | 785,000 | 837,988 | ||
7.5% 1/15/16 (h) | 485,000 | 517,738 | ||
7.75% 1/17/38 (h) | 1,720,000 | 1,767,300 | ||
8.5% 10/12/35 (h) | 650,000 | 728,000 | ||
8.5% 10/12/35 (Reg. S) | 1,360,000 | 1,523,200 | ||
11.625% 3/4/19 (h) | 1,845,000 | 2,486,138 | ||
Islamic Republic of Pakistan 7.125% 3/31/16 (h) | 3,210,000 | 2,728,500 | ||
Foreign Government and Government Agency Obligations - continued | ||||
| Principal Amount (d) | Value | ||
Lebanese Republic: | ||||
8.625% 6/20/13 (Reg. S) | $ 2,420,000 | $ 2,631,750 | ||
9% 5/2/14 | 610,000 | 671,000 | ||
Pakistan International Sukuk Co. Ltd. 3.1456% 1/27/10 (o) | 773,000 | 761,405 | ||
Perusahaan Penerbit SBSN Indonesia 8.8% 4/23/14 (h) | 560,000 | 627,200 | ||
Peruvian Republic 7.35% 7/21/25 | 1,210,000 | 1,331,000 | ||
Philippine Republic: | ||||
9.5% 2/2/30 | 440,000 | 563,200 | ||
10.625% 3/16/25 | 395,000 | 534,751 | ||
Polish Government 6.375% 7/15/19 | 1,255,000 | 1,339,713 | ||
Republic of Fiji 6.875% 9/13/11 | 715,000 | 670,313 | ||
Republic of Iraq 5.8% 1/15/28 (Reg. S) | 3,225,000 | 2,217,188 | ||
Republic of Serbia 3.75% 11/1/24 (f)(h) | 5,430,000 | 5,002,388 | ||
Russian Federation: | ||||
7.5% 3/31/30 (Reg. S) | 15,697,920 | 16,031,501 | ||
12.75% 6/24/28 (Reg. S) | 1,800,000 | 2,691,000 | ||
Turkish Republic: | ||||
6.75% 4/3/18 | 1,520,000 | 1,567,576 | ||
6.875% 3/17/36 | 3,285,000 | 3,141,446 | ||
7% 9/26/16 | 965,000 | 1,019,330 | ||
7.25% 3/5/38 | 1,350,000 | 1,336,500 | ||
7.375% 2/5/25 | 4,890,000 | 5,146,725 | ||
Ukraine Cabinet of Ministers 6.875% 3/4/11 (Reg. S) | 1,910,000 | 1,809,725 | ||
Ukraine Government: | ||||
6.385% 6/26/12 (h) | 2,115,000 | 1,940,513 | ||
6.75% 11/14/17 (h) | 3,665,000 | 3,014,463 | ||
United Mexican States: | ||||
7.5% 4/8/33 | 425,000 | 477,615 | ||
8.3% 8/15/31 | 420,000 | 511,350 | ||
Uruguay Republic 8% 11/18/22 | 2,106,902 | 2,264,920 | ||
Venezuelan Republic: | ||||
1.505% 4/20/11 (Reg. S) (o) | 6,355,000 | 5,687,725 | ||
5.375% 8/7/10 (Reg. S) | 1,275,000 | 1,236,750 | ||
7% 3/31/38 | 630,000 | 333,900 | ||
8.5% 10/8/14 | 2,690,000 | 2,273,050 | ||
9% 5/7/23 (Reg. S) | 4,450,000 | 3,146,150 | ||
9.25% 9/15/27 | 3,375,000 | 2,480,625 | ||
9.375% 1/13/34 | 1,160,000 | 800,400 | ||
10.75% 9/19/13 | 7,830,000 | 7,458,075 | ||
13.625% 8/15/18 | 3,938,000 | 3,632,805 | ||
Foreign Government and Government Agency Obligations - continued | ||||
| Principal Amount (d) | Value | ||
Vietnamese Socialist Republic: | ||||
4% 3/12/28 (f) | $ 2,425,000 | $ 1,770,250 | ||
6.875% 1/15/16 (h) | 655,000 | 668,100 | ||
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $168,000,717) | 169,526,256 | |||
Supranational Obligations - 0.0% | ||||
| ||||
Corporacion Andina de Fomento 5.2% 5/21/13 | 242,000 | 246,560 |
Convertible Preferred Stocks - 0.0% | |||
Shares |
| ||
UTILITIES - 0.0% | |||
Electric Utilities - 0.0% | |||
AES Trust III 6.75% | 28,100 | 1,181,886 | |
TOTAL CONVERTIBLE PREFERRED STOCKS (Cost $1,326,273) | 1,181,886 |
Floating Rate Loans - 0.6% | ||||
| Principal Amount (d) |
| ||
CONSUMER DISCRETIONARY - 0.3% | ||||
Auto Components - 0.1% | ||||
Federal-Mogul Corp.: | ||||
Tranche B, term loan 2.217% 12/27/14 (o) | $ 4,047,914 | 3,015,696 | ||
Tranche C, term loan 2.2161% 12/27/15 (o) | 2,470,791 | 1,828,385 | ||
The Goodyear Tire & Rubber Co. Tranche 2LN, term loan 2.04% 4/30/14 (o) | 1,445,000 | 1,333,013 | ||
| 6,177,094 | |||
Automobiles - 0.1% | ||||
Ford Motor Co. term loan 3.495% 12/15/13 (o) | 7,870,296 | 6,807,806 | ||
Diversified Consumer Services - 0.0% | ||||
ServiceMaster Co.: | ||||
term loan 2.85% 7/24/14 (o) | 1,773,396 | 1,525,121 | ||
Tranche DD, term loan 2.79% 7/24/14 (o) | 211,019 | 181,476 | ||
| 1,706,597 | |||
Floating Rate Loans - continued | ||||
| Principal Amount (d) | Value | ||
CONSUMER DISCRETIONARY - continued | ||||
Hotels, Restaurants & Leisure - 0.0% | ||||
Harrah's Entertainment, Inc.: | ||||
Tranche B2, term loan 3.5038% 1/28/15 (o) | $ 950,000 | $ 767,125 | ||
Tranche B3, term loan 3.5056% 1/28/15 (o) | 1,165,000 | 937,825 | ||
Las Vegas Sands LLC: | ||||
term loan 2.09% 5/23/14 (o) | 776,549 | 597,943 | ||
Tranche B, term loan 2.09% 5/23/14 (o) | 3,780,031 | 2,910,624 | ||
| 5,213,517 | |||
Media - 0.1% | ||||
Charter Communications Operating LLC Tranche B 1LN, term loan 6.25% 3/6/14 (o) | 4,058,548 | 3,744,011 | ||
Newsday LLC term loan 9.75% 8/1/13 | 2,870,000 | 2,920,225 | ||
R.H. Donnelley Corp. Tranche D2, term loan 6.75% 6/30/11 (o) | 38,830 | 31,646 | ||
Univision Communications, Inc. Tranche 1LN, term loan 2.535% 9/29/14 (o) | 3,845,000 | 3,008,713 | ||
Zuffa LLC term loan 2.375% 6/19/15 (o) | 4,601,298 | 4,118,162 | ||
| 13,822,757 | |||
Specialty Retail - 0.0% | ||||
Michaels Stores, Inc. Tranche B1, term loan 2.5625% 10/31/13 (o) | 2,555,293 | 2,248,658 | ||
Textiles, Apparel & Luxury Goods - 0.0% | ||||
Hanesbrands, Inc. Tranche 2LN, term loan 4.2538% 3/5/14 (o) | 165,000 | 160,875 | ||
Levi Strauss & Co. term loan 2.5225% 4/4/14 (o) | 790,000 | 711,000 | ||
| 871,875 | |||
TOTAL CONSUMER DISCRETIONARY | 36,848,304 | |||
HEALTH CARE - 0.0% | ||||
Pharmaceuticals - 0.0% | ||||
PTS Acquisition Corp. term loan 2.535% 4/10/14 (o) | 4,669,547 | 4,120,876 | ||
INDUSTRIALS - 0.1% | ||||
Airlines - 0.1% | ||||
Delta Air Lines, Inc. Tranche 2LN, term loan 3.5256% 4/30/14 (o) | 4,214,824 | 3,287,563 | ||
Northwest Airlines, Inc. term loan 2.28% 12/31/10 (o) | 1,326,327 | 1,273,273 | ||
United Air Lines, Inc. Tranche B, term loan 2.3125% 2/1/14 (o) | 2,736,135 | 1,744,286 | ||
| 6,305,122 | |||
Floating Rate Loans - continued | ||||
| Principal Amount (d) | Value | ||
INDUSTRIALS - continued | ||||
Machinery - 0.0% | ||||
Dresser, Inc. Tranche 2LN, term loan 6.0225% 5/4/15 pay-in-kind (o) | $ 1,705,000 | $ 1,415,150 | ||
TOTAL INDUSTRIALS | 7,720,272 | |||
INFORMATION TECHNOLOGY - 0.1% | ||||
Electronic Equipment & Components - 0.1% | ||||
Flextronics International Ltd.: | ||||
Tranche B A1, term loan 2.7594% 10/1/14 (o) | 622,630 | 563,480 | ||
Tranche B-A, term loan 2.6961% 10/1/14 (o) | 2,458,781 | 2,225,197 | ||
Tranche B-B, term loan 2.8469% 10/1/12 (o) | 3,094,253 | 2,869,920 | ||
| 5,658,597 | |||
IT Services - 0.0% | ||||
First Data Corp.: | ||||
Tranche B1, term loan 3.0171% 9/24/14 (o) | 915,000 | 761,738 | ||
Tranche B2, term loan 3.02% 9/24/14 (o) | 845,000 | 703,463 | ||
Tranche B3, term loan 3.0171% 9/24/14 (o) | 2,865,000 | 2,385,113 | ||
| 3,850,314 | |||
Semiconductors & Semiconductor Equipment - 0.0% | ||||
Freescale Semiconductor, Inc. term loan 2.0306% 12/1/13 (o) | 2,210,000 | 1,646,450 | ||
Software - 0.0% | ||||
Kronos, Inc. Tranche 1LN, term loan 2.5975% 6/11/14 (o) | 3,328,052 | 3,103,408 | ||
TOTAL INFORMATION TECHNOLOGY | 14,258,769 | |||
MATERIALS - 0.0% | ||||
Chemicals - 0.0% | ||||
Chemtura Corp. term loan 10.5% 3/19/10 (o) | 3,970,000 | 4,049,400 | ||
TELECOMMUNICATION SERVICES - 0.0% | ||||
Wireless Telecommunication Services - 0.0% | ||||
Intelsat Jackson Holdings Ltd. term loan 3.2756% 2/1/14 (o) | 2,425,000 | 2,112,781 | ||
Floating Rate Loans - continued | ||||
| Principal Amount (d) | Value | ||
UTILITIES - 0.1% | ||||
Electric Utilities - 0.1% | ||||
Texas Competitive Electric Holdings Co. LLC: | ||||
Tranche B1, term loan 3.7757% 10/10/14 (o) | $ 950,000 | $ 719,625 | ||
Tranche B3, term loan 3.7757% 10/10/14 (o) | 2,466,842 | 1,859,382 | ||
| 2,579,007 | |||
Multi-Utilities - 0.0% | ||||
Ashmore Energy International: | ||||
Revolving Credit-Linked Deposit 3.2875% 3/30/12 (o) | 408,969 | 368,072 | ||
term loan 3.5975% 3/30/14 (o) | 2,139,218 | 1,925,296 | ||
| 2,293,368 | |||
TOTAL UTILITIES | 4,872,375 | |||
TOTAL FLOATING RATE LOANS (Cost $68,300,462) | 73,982,777 | |||
Sovereign Loan Participations - 0.0% | ||||
|
|
| ||
Indonesian Republic loan participation - Citibank 2.25% 12/14/19 (o) | 1,443,501 | 1,111,496 | ||
Bank Notes - 0.0% | ||||
| ||||
National City Bank, Cleveland 0.7675% 3/1/13 (o) | 978,000 | 875,948 |
Fixed-Income Funds - 24.2% | |||
Shares |
| ||
Fidelity Corporate Bond 1-10 Year Central Fund (p) | 7,962,431 | 808,744,111 | |
Fidelity Floating Rate Central Fund (p) | 6,536,673 | 578,953,113 | |
Fidelity Mortgage Backed Securities Central Fund (p) | 14,800,559 | 1,508,325,013 | |
TOTAL FIXED-INCOME FUNDS (Cost $2,833,629,941) | 2,896,022,237 | ||
Preferred Securities - 0.1% | |||
Principal Amount (d) | Value | ||
CONSUMER DISCRETIONARY - 0.1% | |||
Media - 0.1% | |||
Globo Comunicacoes e Participacoes SA 9.375% | $ 4,440,000 | $ 4,487,481 | |
Net Servicos de Comunicacao SA 9.25% (h) | 2,918,000 | 2,928,229 | |
| 7,415,710 | ||
ENERGY - 0.0% | |||
Oil, Gas & Consumable Fuels - 0.0% | |||
Pemex Project Funding Master Trust 7.75% | 4,008,000 | 3,921,741 | |
FINANCIALS - 0.0% | |||
Diversified Financial Services - 0.0% | |||
ING Groep NV 5.775% (o) | 1,052,000 | 597,803 | |
MUFG Capital Finance 1 Ltd. 6.346% (o) | 4,028,000 | 3,725,201 | |
| 4,323,004 | ||
TOTAL PREFERRED SECURITIES (Cost $14,169,819) | 15,660,455 | ||
Cash Equivalents - 6.9% | |||
Maturity Amount |
| ||
Investments in repurchase agreements in a joint trading account at: | |||
0.2%, dated 8/31/09 due 9/1/09: | |||
(Collateralized by U.S. Treasury Obligations) # | $ 662,451,688 | 662,448,000 | |
(Collateralized by U.S. Treasury Obligations) # | 7,481,041 | 7,481,000 | |
0.21%, dated 8/31/09 due 9/1/09 (Collateralized by U.S. Government Obligations) # (b) | 152,477,889 | 152,477,000 | |
TOTAL CASH EQUIVALENTS (Cost $822,406,000) | 822,406,000 | ||
TOTAL INVESTMENT PORTFOLIO - 105.2% (Cost $12,270,466,676) | 12,589,259,753 | ||
NET OTHER ASSETS - (5.2)% | (619,012,215) | ||
NET ASSETS - 100% | $ 11,970,247,538 |
Swap Agreements | |||||
| Expiration Date | Notional Amount | Value | ||
Credit Default Swaps | |||||
Receive monthly notional amount multiplied by 3.35% and pay Morgan Stanley, Inc. upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-HE7, Class B3, 9.01% 8/25/34 (Rating-C) (m) | Sept. 2034 | $ 39,167 | $ (37,027) | ||
Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to Credit Suisse First Boston upon each credit event of one of the issues of ABX AA 07-01 Index, par value of the proportional notional amount (Rating-C) (Upfront Payment $480,000) (n) | Sept. 2037 | 3,932,746 | (3,834,427) | ||
Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to Credit Suisse First Boston upon each credit event of one of the issues of ABX AA 07-01 Index, par value of the proportional notional amount (Rating-C) (Upfront Payment $1,058,000) (n) | Sept. 2037 | 4,522,658 | (4,409,591) | ||
Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to JPMorgan Chase, Inc. upon each credit event of one of the issues of ABX AA 07-01 Index, par value of the proportional notional amount (Rating-C) (Upfront Payment $651,000) (n) | Sept. 2037 | 2,752,922 | (2,684,099) | ||
Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to UBS upon each credit event of one of the issues of ABX AA 07-1 Index, par value of the proportional notional amount (Rating-C) (Upfront Payment | Sept. 2037 | 7,078,942 | (6,901,969) | ||
Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to UBS upon each credit event of one of the issues of ABX AA 07-1 Index, par value of the proportional notional amount (Rating-C) (Upfront Payment | Sept. 2037 | 2,556,285 | (2,492,378) | ||
Swap Agreements - continued | |||||
| Expiration Date | Notional Amount | Value | ||
Credit Default Swaps - continued | |||||
Receive monthly notional amount multiplied by .82% and pay UBS upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. | August 2034 | $ 30,779 | $ (22,520) | ||
Receive monthly notional amount multiplied by .85% and pay UBS upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. | Oct. 2034 | 36,773 | (26,266) | ||
Receive monthly notional amount multiplied by 2.39% and pay UBS upon credit event of Fremont Home Loan Trust, par value of the notional amount of Fremont Home Loan Trust Series 2004-1 Class M9, 7.73% 2/25/34 (Rating-Baa3) (m) | March 2034 | 8,248 | (1,154) | ||
Receive monthly notional amount multiplied by 2.4% and pay Deutsche Bank upon credit event of Fremont Home Loan Trust, par value of the notional amount of Fremont Home Loan Trust Series 2004-A Class B3, 7.2288% 1/25/34 (Rating-C) (m) | Feb. 2034 | 787 | (723) | ||
Receive monthly notional amount multiplied by 2.54% and pay Merrill Lynch upon credit event of Countrywide Home Loans, Inc., par value of the notional amount of Countrywide Home Loans, Inc. | April 2032 | 11,800 | (6,506) | ||
TOTAL CREDIT DEFAULT SWAPS | $ 20,971,107 | $ (20,416,660) | |||
Swap Agreements - continued | |||||
| Expiration Date | Notional Amount | Value | ||
Interest Rate Swaps | |||||
Receive quarterly a fixed rate equal to 4.3875% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston | March 2010 | $ 1,250,000 | $ 36,623 | ||
Receive quarterly a fixed rate equal to 4.774% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston | March 2015 | 1,250,000 | 134,044 | ||
Receive quarterly a fixed rate equal to 4.90% and pay quarterly a floating rate based on 3-month LIBOR with JPMorgan Chase, Inc. (Upfront payment ($79,955)) | July 2014 | 1,135,000 | 120,023 | ||
Receive semi-annually a fixed rate equal to 3.567% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston | May 2011 | 293,294,000 | 14,996,414 | ||
Receive semi-annually a fixed rate equal to 4.03% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston | Sept. 2013 | 78,000,000 | 6,108,718 | ||
Receive semi-annually a fixed rate equal to 4.87% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston | Oct. 2012 | 100,000,000 | 10,493,940 | ||
Receive semi-annually a fixed rate equal to 5.062% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston | May 2012 | 75,000,000 | 7,618,268 | ||
Receive semi-annually a fixed rate equal to 5.09% and pay quarterly a floating rate based on 3-month LIBOR with Deutsche Bank | Jan. 2012 | 75,000,000 | 6,582,608 | ||
Receive semi-annually a fixed rate equal to 5.144% and pay quarterly a floating rate based on 3-month LIBOR with JPMorgan Chase, Inc. | April 2012 | 100,000,000 | 10,618,930 | ||
Receive semi-annually a fixed rate equal to 5.263% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston | Feb. 2012 | 50,000,000 | 4,520,250 | ||
Receive semi-annually a fixed rate equal to 5.276% and pay quarterly a floating rate based on 3-month LIBOR with Deutsche Bank | April 2011 | 20,000,000 | 1,746,074 | ||
Swap Agreements - continued | |||||
| Expiration Date | Notional Amount | Value | ||
Interest Rate Swaps - continued | |||||
Receive semi-annually a fixed rate equal to 5.556% and pay quarterly a floating rate based on 3-month LIBOR with JPMorgan Chase, Inc. | June 2012 | $ 25,000,000 | $ 2,806,923 | ||
Receive semi-annually a fixed rate equal to 5.6485% and pay quarterly a floating rate based on 3-month LIBOR with Deutsche Bank | July 2010 | 100,000,000 | 5,061,560 | ||
TOTAL INTEREST RATE SWAPS | $ 919,929,000 | $ 70,844,375 | |||
| $ 940,900,107 | $ 50,427,715 |
Currency Abbreviation | ||
CAD | - | Canadian dollar |
Legend |
(a) Non-income producing |
(b) Includes investment made with cash collateral received from securities on loan. |
(c) Non-income producing - Issuer is in default. |
(d) Principal amount is stated in United States dollars unless otherwise noted. |
(e) Security initially issued in zero coupon form which converts to coupon form at a specified rate and date. The rate shown is the rate at period end. |
(f) Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end. |
(g) Security or a portion of the security is on loan at period end. |
(h) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $872,073,392 or 7.3% of net assets. |
(i) Under the Temporary Liquidity Guarantee Program, the Federal Deposit Insurance Corporation guarantees principal and interest in the event of payment default or bankruptcy until the earlier of maturity date of the debt or until June 30, 2012. At the end of the period these securities amounted to $32,269,280 or 0.3% of net assets. |
(j) Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(k) A portion of the security is subject to a forward commitment to sell. |
(l) Security or a portion of the security has been segregated as collateral for open swap agreements. At the period end, the value of securities pledged amounted to $10,488,885. |
(m) Represents a credit default swap contract in which the fund has sold protection on the underlying reference entity. The value of each credit default swap and the credit rating can be measures of the current payment/performance risk. For the underlying reference entity, ratings disclosed are from Moody's Investor Services, Inc. Where Moody's ratings are not available, S&P ratings are disclosed and are indicated as such. All ratings are as of the report date and do not reflect subsequent changes. Where a credit rating is not disclosed, the value is used as the measure of the payment/performance risk. |
(n) Represents a tradable index of credit default swaps on home equity asset-backed debt securities. In addition, the swap represents a contract in which the fund has sold protection on the 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 Investor Services, Inc., or S&P where Moody's ratings are not available. All ratings are as of the report date and do not reflect subsequent changes. |
(o) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. |
(p) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. A complete unaudited schedule of portfolio holdings for each Fidelity Central Fund is filed with the SEC for the first and third quarters of each fiscal year on Form N-Q and is available upon request or at the SEC's web site at www.sec.gov. An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro rata share of securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com and/or advisor.fidelity.com, as applicable. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's web site or upon request. |
(q) Security represents right to receive monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool held as of the end of the period. |
(r) Restricted securities - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $15,727 or 0.0% of net assets. |
Additional information on each holding is as follows: |
Security | Acquisition Date | Acquisition Cost |
GMAC Commercial Mortgage Securities, Inc. Series 1999-C2I Class K, 6.481% 9/15/33 | 3/23/07 | $ 163,875 |
# Additional information on each counterparty to the repurchase agreement is as follows: |
Repurchase Agreement / Counterparty | Value |
$662,448,000 due 9/01/09 at 0.20% | |
BNP Paribas Securities Corp. | $ 113,907,656 |
Banc of America Securities LLC | 56,715,763 |
Bank of America, NA | 141,789,408 |
Deutsche Bank Securities, Inc. | 62,387,340 |
ING Financial Markets LLC | 18,247,957 |
J.P. Morgan Securities, | 113,431,527 |
Mizuho Securities USA, Inc. | 56,715,763 |
Morgan Stanley & Co., Inc. | 28,357,882 |
Societe Generale, New York Branch | 70,894,704 |
| $ 662,448,000 |
$7,481,000 due 9/01/09 at 0.20% | |
BNP Paribas Securities Corp. | $ 2,902,240 |
Barclays Capital, Inc. | 3,652,513 |
Deutsche Bank Securities, Inc. | 926,247 |
| $ 7,481,000 |
$152,477,000 due 9/01/09 at 0.21% | |
J.P. Morgan Securities, Inc. | $ 152,477,000 |
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 |
Fidelity 1-3 Year Duration Securitized Bond Central Fund | $ 5,484,652 |
Fidelity Commercial Mortgage-Backed Securities Central Fund | 20,606,840 |
Fidelity Corporate Bond 1-10 Year Central Fund | 71,469,040 |
Fidelity Floating Rate Central Fund | 25,297,655 |
Fidelity Mortgage Backed Securities Central Fund | 85,655,251 |
Fidelity Ultra-Short Central Fund | 4,349,644 |
Total | $ 212,863,082 |
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, | Purchases | Sales | Value, | % ownership, end of |
Fidelity 1-3 Year Duration Securitized Bond Central Fund | $ 283,991,380 | $ 4,148,681 | $ 267,091,219* | $ - | 0.0% |
Fidelity Commercial Mortgage | 658,434,817 | 16,728,421 | 555,096,527* | - | 0.0% |
Fidelity Corporate Bond 1-10 Year Central Fund | 1,816,743,999 | 49,222,593 | 1,029,134,976* | 808,744,111 | 28.6% |
Fidelity Floating Rate Central Fund | 408,626,297 | 151,340,041 | - | 578,953,113 | 20.1% |
Fidelity Mortgage Backed Securities Central Fund | 2,138,641,000 | 161,026,129 | 851,012,714 | 1,508,325,013 | 19.4% |
Fidelity Ultra-Short Central Fund | 599,904,422 | - | 504,601,608* | - | 0.0% |
Total | $ 5,906,341,915 | $ 382,465,865 | $ 3,206,937,044 | $ 2,896,022,237 |
* Includes the value of shares redeemed through in-kind transactions. See Note 8 of the Notes to Financial Statements. |
Other Information |
The following is a summary of the inputs used, as of August 31, 2009, involving the Fund's assets and liabilities carried at value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the tables below, please refer to the Security Valuation section in the accompanying Notes to Financial Statements. |
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Equities: | ||||
Utilities | $ 1,181,886 | $ - | $ 1,181,886 | $ - |
Asset-Backed Securities | 240,669,499 | - | 212,680,747 | 27,988,752 |
Bank Notes | 875,948 | - | 875,948 | - |
Cash Equivalents | 822,406,000 | - | 822,406,000 | - |
Collateralized Mortgage Obligations | 273,533,771 | - | 263,819,927 | 9,713,844 |
Commercial Mortgage Securities | 724,435,418 | - | 663,747,314 | 60,688,104 |
Corporate Bonds | 3,356,947,773 | - | 3,356,640,801 | 306,972 |
Fixed-Income Funds | 2,896,022,237 | 2,896,022,237 | - | - |
Floating Rate Loans | 73,982,777 | - | 73,982,777 | - |
Foreign Government and Government Agency Obligations | 169,526,256 | - | 169,526,256 | - |
Municipal Securities | 19,263,233 | - | 19,263,233 | - |
Preferred Securities | 15,660,455 | - | 15,660,455 | - |
Sovereign Loan Participations | 1,111,496 | - | 1,111,496 | - |
Supranational Obligations | 246,560 | - | 246,560 | - |
U.S. Government Agency - Mortgage Securities | 1,488,513,966 | - | 1,488,513,966 | - |
U.S. Government and Government Agency Obligations | 2,504,882,478 | - | 2,504,882,478 | - |
Total Investments in Securities: | $ 12,589,259,753 | $ 2,896,022,237 | $ 9,594,539,844 | $ 98,697,672 |
Derivative Instruments: | ||||
Assets | ||||
Swap Agreements | $ 70,844,375 | $ - | $ 70,844,375 | $ - |
Liabilities | ||||
Swap Agreements | $ (20,416,660) | $ - | $ (20,371,250) | $ (45,410) |
Total Derivative Instruments: | $ 50,427,715 | $ - | $ 50,473,125 | $ (45,410) |
Other Financial Instruments: | ||||
Forward Commitments | $ (1,661,972) | $ - | $ (1,661,972) | $ - |
The following is a reconciliation of Investments in Securities and Derivative Instruments for which Level 3 inputs were used in determining value: | |
Investments in Securities: |
|
Beginning Balance | $ 3,663,788 |
Total Realized Gain (Loss) | (662,758) |
Total Unrealized Gain (Loss) | (11,022,804) |
Cost of Purchases | 100,015,146 |
Proceeds of Sales | (11,437,699) |
Amortization/Accretion | (4,011,050) |
Transfers in/out of Level 3 | 22,153,049 |
Ending Balance | $ 98,697,672 |
The change in unrealized gain (loss) attributable to Level 3 securities at | $ (15,952,208) |
Derivative Instruments: | |
Swap Agreements |
|
Beginning Balance | $ (3,526,344) |
Total Unrealized Gain (loss) | 3,478,914 |
Transfers in/out of Level 3 | 2,020 |
Ending Balance | $ (45,410) |
Realized gain (loss) on Swap Agreements for the period | $ (3,729,333) |
The change in unrealized gain (loss) attributable to Level 3 Swap Agreements at August 31, 2009 | $ 45,805 |
The information used in the above reconciliation represents fiscal year to date activity for any Investments in Securities and Derivative Instruments identified as using Level 3 inputs at either the beginning or the end of the current fiscal period, and includes the value of securities received through affiliated in-kind transactions. See Note 8 of the Notes to Financial Statements. Transfers in or out of Level 3 represents either the beginning value (for transfer in), or the ending value (for transfer out) of any Security or Instrument where a change in the pricing level occurred from the beginning to the end of the period. Realized and unrealized gains (losses) disclosed in the reconciliation are included in Net Gain (Loss) on the Fund's Statement of Operations. |
Value of Derivative Instruments |
The following table is a summary of the Fund's value of derivative instruments by risk exposure as of August 31, 2009. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements. |
Risk Exposure / | Value | |
| Asset | Liability |
Credit Risk | ||
Swap Agreements (a) | $ - | $ (20,416,660) |
Interest Rate Risk | ||
Swap Agreements (a) | 70,844,375 | - |
Total Value of Derivatives | $ 70,844,375 | $ (20,416,660) |
(a) Value is disclosed on the Statement of Assets and Liabilities in the Unrealized Appreciation and Unrealized Depreciation on Swap Agreements line-items. |
Income Tax Information |
At August 31, 2009, the fund had a capital loss carryforward of approximately $93,866,210 all of which will expire on August 31, 2017. |
The fund intends to elect to defer to its fiscal year ending August 31, 2010 approximately $179,587,761 of losses recognized during the period November 1, 2008 to August 31, 2009. |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Statements
Statement of Assets and Liabilities
| August 31, 2009 | |
|
|
|
Assets | ||
Investment in securities, at value (including securities loaned of $149,180,568 and repurchase agreements of $822,406,000) - See accompanying schedule: Unaffiliated issuers (cost $9,436,836,735) | $ 9,693,237,516 |
|
Fidelity Central Funds (cost $2,833,629,941) | 2,896,022,237 |
|
Total Investments (cost $12,270,466,676) |
| $ 12,589,259,753 |
Commitment to sell securities on a delayed delivery basis | (271,792,558) | |
Receivable for securities sold on a delayed delivery basis | 270,130,586 | (1,661,972) |
Receivable for investments sold |
|
|
Regular delivery | 52,713,641 | |
Delayed delivery | 302,094 | |
Cash | 5,337,843 | |
Receivable for swap agreements | 2,779 | |
Receivable for fund shares sold | 25,093,285 | |
Interest receivable | 84,058,538 | |
Distributions receivable from Fidelity Central Funds | 11,654,259 | |
Unrealized appreciation on swap agreements | 70,844,375 | |
Other receivables | 66,101 | |
Total assets | 12,837,670,696 | |
|
|
|
Liabilities | ||
Payable for investments purchased | $ 248,597,181 | |
Delayed delivery | 434,896,899 | |
Payable for swap agreements | 288,957 | |
Payable for fund shares redeemed | 4,925,358 | |
Distributions payable | 1,056,076 | |
Unrealized depreciation on swap agreements | 20,416,660 | |
Accrued management fee | 3,123,002 | |
Distribution fees payable | 82,584 | |
Other affiliated payables | 1,357,377 | |
Other payables and accrued expenses | 201,564 | |
Collateral on securities loaned, at value | 152,477,500 | |
Total liabilities | 867,423,158 | |
|
|
|
Net Assets | $ 11,970,247,538 | |
Net Assets consist of: |
| |
Paid in capital | $ 12,054,601,659 | |
Undistributed net investment income | 60,445,769 | |
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions | (514,594,230) | |
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies | 369,794,340 | |
Net Assets | $ 11,970,247,538 |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Statements - continued
Statement of Assets and Liabilities - continued
| August 31, 2009 | |
|
|
|
Calculation of Maximum Offering Price Class A: | $ 10.28 | |
|
|
|
Maximum offering price per share (100/96.00 of $10.28) | $ 10.71 | |
Class T: | $ 10.27 | |
|
|
|
Maximum offering price per share (100/96.00 of $10.27) | $ 10.70 | |
Class B: | $ 10.28 | |
|
|
|
Class C: | $ 10.28 | |
|
|
|
Total Bond: | $ 10.28 | |
|
|
|
Class F: | $ 10.27 | |
|
|
|
Institutional Class: | $ 10.26 |
A Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
See accompanying notes which are an integral part of the financial statements.
Annual Report
Statement of Operations
| Year ended August 31, 2009 | |
|
|
|
Investment Income |
|
|
Dividends |
| $ 1,790,098 |
Interest |
| 384,864,258 |
Income from Fidelity Central Funds |
| 212,863,082 |
Total income |
| 599,517,438 |
|
|
|
Expenses | ||
Management fee | $ 32,073,749 | |
Transfer agent fees | 10,846,434 | |
Distribution fees | 754,200 | |
Fund wide operations fee | 3,032,583 | |
Independent trustees' compensation | 35,644 | |
Miscellaneous | 216,528 | |
Total expenses before reductions | 46,959,138 | |
Expense reductions | (171,390) | 46,787,748 |
Net investment income | 552,729,690 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: |
|
|
Unaffiliated issuers | 7,333,159 | |
Fidelity Central Funds | (570,562,102) |
|
Foreign currency transactions | (1,558) | |
Swap agreements | 39,230,099 |
|
Total net realized gain (loss) |
| (524,000,402) |
Change in net unrealized appreciation (depreciation) on: Investment securities | 712,539,712 | |
Assets and liabilities in foreign currencies | (185) | |
Swap agreements | 39,414,561 | |
Delayed delivery commitments | (1,603,030) |
|
Total change in net unrealized appreciation (depreciation) |
| 750,351,058 |
Net gain (loss) | 226,350,656 | |
Net increase (decrease) in net assets resulting from operations | $ 779,080,346 |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Statements - continued
Statement of Changes in Net Assets
| Year ended | Year ended |
Increase (Decrease) in Net Assets |
|
|
Operations |
|
|
Net investment income | $ 552,729,690 | $ 518,414,707 |
Net realized gain (loss) | (524,000,402) | 95,293,460 |
Change in net unrealized appreciation (depreciation) | 750,351,058 | (332,114,221) |
Net increase (decrease) in net assets resulting from operations | 779,080,346 | 281,593,946 |
Distributions to shareholders from net investment income | (503,411,775) | (501,867,517) |
Distributions to shareholders from net realized gain | (71,517,925) | (24,508,784) |
Total distributions | (574,929,700) | (526,376,301) |
Share transactions - net increase (decrease) | 684,114,730 | 4,412,741,476 |
Total increase (decrease) in net assets | 888,265,376 | 4,167,959,121 |
|
|
|
Net Assets | ||
Beginning of period | 11,081,982,162 | 6,914,023,041 |
End of period (including undistributed net investment income of $60,445,769 and undistributed net investment income of $8,813,868, respectively) | $ 11,970,247,538 | $ 11,081,982,162 |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Class A
Years ended August 31, | 2009 | 2008 | 2007 | 2006 I | 2006 K | 2005 K |
Selected Per-Share Data |
|
|
|
|
|
|
Net asset value, beginning of period | $ 10.07 | $ 10.27 | $ 10.39 | $ 10.28 | $ 10.57 | $ 10.46 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment incomeE | .494 | .488 | .508 | .043 | .476 | .387 |
Net realized and unrealized gain (loss) | .231 | (.189) | (.141) | .105 | (.294) H | .183 |
Total from investment operations | .725 | .299 | .367 | .148 | .182 | .570 |
Distributions from net investment income | (.447) | (.474) | (.470) | (.038) | (.432) | (.370) |
Distributions from net realized gain | (.068) | (.025) | (.017) | - | (.040) | (.090) |
Total distributions | (.515) | (.499) | (.487) | (.038) | (.472) | (.460) |
Net asset value, end of period | $ 10.28 | $ 10.07 | $ 10.27 | $ 10.39 | $ 10.28 | $ 10.57 |
Total Return B,C,D | 7.79% | 2.93% | 3.57% | 1.44% | 1.78% | 5.52% |
Ratios to Average Net Assets F,J |
|
|
|
|
| |
Expenses before reductions | .80% | .80% | .77% | .73% A | .79% | .96% |
Expenses net of fee waivers, if any | .80% | .80% | .77% | .73% A | .79% | .80% |
Expenses net of all reductions | .80% | .80% | .77% | .73% A | .79% | .80% |
Net investment income | 5.17% | 4.77% | 4.93% | 4.98% A | 4.61% | 3.69% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 107,998 | $ 80,755 | $ 48,076 | $ 6,780 | $ 4,545 | $ 2,974 |
Portfolio turnover rate G | 104% L | 122% | 116% L | 53% A | 99% | 193% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Total returns do not include the effect of the sales charges. E Calculated based on average shares outstanding during the period. F Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. G Amount does not include the portfolio activity of any underlying Fidelity Central Funds. H The amount shown for a share outstanding does not correspond with the aggregate net gain (loss) on investments for the period due to the timing of sales and repurchases of shares in relation to fluctuating market values of the investments of the Fund. I For the one month period ended August 31. The Fund changed its fiscal year from July 31 to August 31, effective August 31, 2006. J Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. K For the period ended July 31. L The portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds. |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Class T
Years ended August 31, | 2009 | 2008 | 2007 | 2006 I | 2006 K | 2005 K |
Selected Per-Share Data |
|
|
|
|
|
|
Net asset value, beginning of period | $ 10.06 | $ 10.26 | $ 10.38 | $ 10.27 | $ 10.56 | $ 10.46 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment incomeE | .488 | .489 | .508 | .042 | .466 | .377 |
Net realized and unrealized gain (loss) | .233 | (.191) | (.143) | .105 | (.296) H | .173 |
Total from investment operations | .721 | .298 | .365 | .147 | .170 | .550 |
Distributions from net investment income | (.443) | (.473) | (.468) | (.037) | (.420) | (.360) |
Distributions from net realized gain | (.068) | (.025) | (.017) | - | (.040) | (.090) |
Total distributions | (.511) | (.498) | (.485) | (.037) | (.460) | (.450) |
Net asset value, end of period | $ 10.27 | $ 10.06 | $ 10.26 | $ 10.38 | $ 10.27 | $ 10.56 |
Total Return B,C,D | 7.74% | 2.92% | 3.55% | 1.43% | 1.66% | 5.33% |
Ratios to Average Net Assets F,J |
|
|
|
|
| |
Expenses before reductions | .85% | .81% | .78% | .87% A | .91% | 1.13% |
Expenses net of fee waivers, if any | .85% | .81% | .78% | .87% A | .90% | .90% |
Expenses net of all reductions | .85% | .80% | .78% | .87% A | .90% | .90% |
Net investment income | 5.12% | 4.76% | 4.92% | 4.84% A | 4.50% | 3.59% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 48,090 | $ 38,574 | $ 42,191 | $ 6,293 | $ 4,583 | $ 5,739 |
Portfolio turnover rate G | 104% L | 122% | 116% L | 53% A | 99% | 193% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Total returns do not include the effect of the sales charges. E Calculated based on average shares outstanding during the period. F Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. G Amount does not include the portfolio activity of any underlying Fidelity Central Funds. H The amount shown for a share outstanding does not correspond with the aggregate net gain (loss) on investments for the period due to the timing of sales and repurchases of shares in relation to fluctuating market values of the investments of the Fund. I For the one month period ended August 31. The Fund changed its fiscal year from July 31 to August 31, effective August 31, 2006. J Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. K For the period ended July 31. L The portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds. |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Class B
Years ended August 31, | 2009 | 2008 | 2007 | 2006 I | 2006 K | 2005 K |
Selected Per-Share Data |
|
|
|
|
|
|
Net asset value, beginning of period | $ 10.07 | $ 10.27 | $ 10.39 | $ 10.28 | $ 10.57 | $ 10.46 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income E | .423 | .413 | .432 | .037 | .399 | .309 |
Net realized and unrealized gain (loss) | .233 | (.190) | (.145) | .104 | (.296) H | .182 |
Total from investment operations | .656 | .223 | .287 | .141 | .103 | .491 |
Distributions from net investment income | (.378) | (.398) | (.390) | (.031) | (.353) | (.291) |
Distributions from net realized gain | (.068) | (.025) | (.017) | - | (.040) | (.090) |
Total distributions | (.446) | (.423) | (.407) | (.031) | (.393) | (.381) |
Net asset value, end of period | $ 10.28 | $ 10.07 | $ 10.27 | $ 10.39 | $ 10.28 | $ 10.57 |
Total Return B,C,D | 7.01% | 2.17% | 2.77% | 1.38% | 1.01% | 4.74% |
Ratios to Average Net Assets F,J |
|
|
|
|
| |
Expenses before reductions | 1.53% | 1.54% | 1.53% | 1.51% A | 1.59% | 1.75% |
Expenses net of fee waivers, if any | 1.53% | 1.54% | 1.53% | 1.51% A | 1.55% | 1.55% |
Expenses net of all reductions | 1.53% | 1.54% | 1.53% | 1.51% A | 1.55% | 1.55% |
Net investment income | 4.44% | 4.03% | 4.17% | 4.22% A | 3.85% | 2.94% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 9,054 | $ 9,645 | $ 6,054 | $ 1,720 | $ 1,667 | $ 2,029 |
Portfolio turnover rate G | 104% L | 122% | 116% L | 53% A | 99% | 193% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Total returns do not include the effect of the contingent deferred sales charge. E Calculated based on average shares outstanding during the period. F Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. G Amount does not include the portfolio activity of any underlying Fidelity Central Funds. H The amount shown for a share outstanding does not correspond with the aggregate net gain (loss) on investments for the period due to the timing of sales and repurchases of shares in relation to fluctuating market values of the investments of the Fund. I For the one month period ended August 31. The Fund changed its fiscal year from July 31 to August 31, effective August 31, 2006. J Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. K For the period ended July 31. L The portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds. |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Class C
Years ended August 31, | 2009 | 2008 | 2007 | 2006 I | 2006 K | 2005 K |
Selected Per-Share Data |
|
|
|
|
|
|
Net asset value, beginning of period | $ 10.07 | $ 10.27 | $ 10.39 | $ 10.28 | $ 10.57 | $ 10.46 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income E | .425 | .413 | .429 | .036 | .389 | .299 |
Net realized and unrealized gain (loss) | .232 | (.189) | (.145) | .105 | (.293) H | .181 |
Total from investment operations | .657 | .224 | .284 | .141 | .096 | .480 |
Distributions from net investment income | (.379) | (.399) | (.387) | (.031) | (.346) | (.280) |
Distributions from net realized gain | (.068) | (.025) | (.017) | - | (.040) | (.090) |
Total distributions | (.447) | (.424) | (.404) | (.031) | (.386) | (.370) |
Net asset value, end of period | $ 10.28 | $ 10.07 | $ 10.27 | $ 10.39 | $ 10.28 | $ 10.57 |
Total Return B,C,D | 7.02% | 2.18% | 2.75% | 1.37% | .94% | 4.63% |
Ratios to Average Net Assets F,J |
|
|
|
|
| |
Expenses before reductions | 1.52% | 1.53% | 1.55% | 1.60% A | 1.62% | 1.74% |
Expenses net of fee waivers, if any | 1.52% | 1.53% | 1.55% | 1.60% A | 1.62% | 1.65% |
Expenses net of all reductions | 1.52% | 1.53% | 1.55% | 1.60% A | 1.62% | 1.65% |
Net investment income | 4.45% | 4.03% | 4.15% | 4.13% A | 3.78% | 2.84% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 55,958 | $ 28,786 | $ 18,890 | $ 2,106 | $ 1,770 | $ 677 |
Portfolio turnover rate G | 104% L | 122% | 116% L | 53% A | 99% | 193% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Total returns do not include the effect of the contingent deferred sales charge. E Calculated based on average shares outstanding during the period. F Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. G Amount does not include the portfolio activity of any underlying Fidelity Central Funds. H The amount shown for a share outstanding does not correspond with the aggregate net gain (loss) on investments for the period due to the timing of sales and repurchases of shares in relation to fluctuating market values of the investments of the Fund. I For the one month period ended August 31. The Fund changed its fiscal year from July 31 to August 31, effective August 31, 2006. J Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. K For the period ended July 31. L The portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds. |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Total Bond
Years ended August 31, | 2009 | 2008 | 2007 | 2006 H | 2006 J | 2005 J |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 10.07 | $ 10.27 | $ 10.39 | $ 10.28 | $ 10.57 | $ 10.46 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income D | .527 | .524 | .543 | .046 | .506 | .411 |
Net realized and unrealized gain (loss) | .232 | (.189) | (.143) | .105 | (.290) G | .182 |
Total from investment operations | .759 | .335 | .400 | .151 | .216 | .593 |
Distributions from net investment income | (.481) | (.510) | (.503) | (.041) | (.466) | (.393) |
Distributions from net realized gain | (.068) | (.025) | (.017) | - | (.040) | (.090) |
Total distributions | (.549) | (.535) | (.520) | (.041) | (.506) | (.483) |
Net asset value, end of period | $ 10.28 | $ 10.07 | $ 10.27 | $ 10.39 | $ 10.28 | $ 10.57 |
Total Return B, C | 8.17% | 3.29% | 3.89% | 1.46% | 2.11% | 5.75% |
Ratios to Average Net Assets E, I |
|
|
|
|
| |
Expenses before reductions | .45% | .45% | .45% | .45% A | .45% | .64% |
Expenses net of fee waivers, if any | .45% | .45% | .45% | .45% A | .45% | .61% |
Expenses net of all reductions | .45% | .45% | .45% | .45% A | .45% | .61% |
Net investment income | 5.52% | 5.12% | 5.25% | 5.26% A | 4.95% | 3.87% |
Supplemental Data |
|
|
|
|
| |
Net assets, | $ 10,863,828 | $ 9,976,432 | $ 6,450,177 | $ 2,421,077 | $ 2,306,817 | $ 420,225 |
Portfolio turnover rate F | 104% K | 122% | 116% K | 53% A | 99% | 193% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Calculated based on average shares outstanding during the period. E Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. F Amount does not include the portfolio activity of any underlying Fidelity Central Funds. G The amount shown for a share outstanding does not correspond with the aggregate net gain (loss) on investments for the period due to the timing of sales and repurchases of shares in relation to fluctuating market values of the investments of the Fund. H For the one month period ended August 31. The Fund changed its fiscal year from July 31 to August 31, effective August 31, 2006. I Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. J For the period ended July 31. K The portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds. |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Class F
Year ended August 31, | 2009 G |
Selected Per-Share Data |
|
Net asset value, beginning of period | $ 9.89 |
Income from Investment Operations |
|
Net investment income D | .100 |
Net realized and unrealized gain (loss) | .359 |
Total from investment operations | .459 |
Distributions from net investment income | (.079) |
Net asset value, end of period | $ 10.27 |
Total Return B,C | 4.64% |
Ratios to Average Net Assets E,H |
|
Expenses before reductions | .35% A |
Expenses net of fee waivers, if any | .35% A |
Expenses net of all reductions | .35% A |
Net investment income | 5.79% A |
Supplemental Data |
|
Net assets, end of period (000 omitted) | $ 329 |
Portfolio turnover rate F | 104% I |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Calculated based on average shares outstanding during the period. E Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. F Amount does not include the portfolio activity of any underlying Fidelity Central Funds. G For the period June 26, 2009 (commencement of sale of shares) to August 31, 2009. H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. I The portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds. |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Institutional Class
Years ended August 31, | 2009 | 2008 | 2007 | 2006 H | 2006 J | 2005 J |
Selected Per-Share Data |
|
|
|
|
|
|
Net asset value, beginning of period | $ 10.06 | $ 10.26 | $ 10.38 | $ 10.27 | $ 10.57 | $ 10.46 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income D | .518 | .516 | .527 | .045 | .493 | .410 |
Net realized and unrealized gain (loss) | .224 | (.186) | (.134) | .105 | (.294) G | .182 |
Total from investment operations | .742 | .330 | .393 | .150 | .199 | .592 |
Distributions from net investment income | (.474) | (.505) | (.496) | (.040) | (.459) | (.392) |
Distributions from net realized gain | (.068) | (.025) | (.017) | - | (.040) | (.090) |
Total distributions | (.542) | (.530) | (.513) | (.040) | (.499) | (.482) |
Net asset value, end of period | $ 10.26 | $ 10.06 | $ 10.26 | $ 10.38 | $ 10.27 | $ 10.57 |
Total Return B,C | 7.99% | 3.24% | 3.83% | 1.46% | 1.95% | 5.74% |
Ratios to Average Net Assets E,I |
|
|
|
|
| |
Expenses before reductions | .53% | .51% | .50% | .54% A | .56% | .62% |
Expenses net of fee waivers, if any | .53% | .51% | .50% | .54% A | .56% | .62% |
Expenses net of all reductions | .53% | .51% | .49% | .54% A | .56% | .61% |
Net investment income | 5.45% | 5.06% | 5.21% | 5.16% A | 4.84% | 3.87% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of | $ 884,991 | $ 947,791 | $ 348,636 | $ 1,058 | $ 933 | $ 114 |
Portfolio turnover rate F | 104% K | 122% | 116% K | 53% A | 99% | 193% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Calculated based on average shares outstanding during the period. E Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. F Amount does not include the portfolio activity of any underlying Fidelity Central Funds. G The amount shown for a share outstanding does not correspond with the aggregate net gain (loss) on investments for the period due to the timing of sales and repurchases of shares in relation to fluctuating market values of the investments of the Fund. H For the one month period ended August 31. The Fund changed its fiscal year from July 31 to August 31, effective August 31, 2006. I Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. J For the period ended July 31. K The portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds. |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Notes to Financial Statements
For the period ended August 31, 2009
1. Organization.
Fidelity Total Bond Fund (the Fund) is a fund of Fidelity Income Fund (the trust) and is authorized to issue an unlimited number of shares. The trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. In January 2009, the Board of Trustees of the Fund approved the creation of an additional class of shares. The Fund commenced sale of Class F shares on June 26, 2009. The Fund offers Class A, Class T, Class B, Class C, Total Bond, Class F and Institutional Class shares, each of which has equal rights as to assets and voting privileges. Each class has exclusive voting rights with respect to matters that affect that class. Class F shares of the Fund are only available for purchase by mutual funds for which Fidelity Management & Research Company (FMR) or an affiliate serves as investment manager. Class B shares will automatically convert to Class A shares after a holding period of seven years from the initial date of purchase. Investment income, realized and unrealized capital gains and losses, the common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred. Certain expense reductions also differ by class.
2. Investments in Fidelity Central Funds.
The Fund may invest in Fidelity Central Funds, which are open-end investment companies available only to other investment companies and accounts managed by Fidelity Management & Research Company (FMR) and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
Based on their investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the Fund. These strategies are consistent with the investment objectives of the Fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the Fund. The following summarizes the Fund's investment in each Fidelity Central Fund.
Annual Report
Notes to Financial Statements - continued
2. Investments in Fidelity Central Funds - continued
Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices |
Fidelity Corporate Bond 1-10 Year Central Fund | Fidelity Investment Money Management, Inc. (FIMM) | Seeks a high level of income by normally investing in investment-grade corporate bonds and other corporate debt securities and repurchase agreements for those securities. | Delayed Delivery & When Issued Securities Repurchase Agreements Restricted Securities Swap Agreements |
Fidelity Floating Rate Central Fund | Fidelity Management & Research Company, Inc. (FMRC) | Seeks a high level of income by normally investing in floating rate loans and other floating rate securities. | Loans & Direct Debt Instruments Repurchase Agreements Restricted Securities
|
Fidelity Mortgage Backed Securities Central Fund | FIMM | Seeks a high level of income by normally investing in investment-grade mortgage-related securities and repurchase agreements for those securities. | Delayed Delivery & When Issued Securities Futures Repurchase Agreements Swap Agreements |
An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com and/or advisor.fidelity.com, as applicable. A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the SEC's web site at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's web site or upon request.
3. Significant Accounting Policies.
The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America, which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Events or transactions occurring after period end through the date that the financial statements were issued, October 26, 2009, have been evaluated in the preparation of the financial statements. The following summarizes the significant accounting policies of the Fund:
Annual Report
3. Significant Accounting Policies - continued
Security Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Fund uses independent pricing services approved by the Board of Trustees to value its investments. Generally Accepted Accounting Principles (GAAP) establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are classified into three levels. Level 1 includes readily available unadjusted quoted prices in active markets for identical assets or liabilities. Level 2 includes observable inputs other than quoted prices included in Level 1 that are observable either directly or indirectly. Level 3 includes unobservable inputs when market prices are not readily available or reliable. Changes in valuation techniques may result in transfers in or out of an investment's assigned level within the hierarchy. The aggregate value by input level, as of August 31, 2009, for the Fund's investments, as well as a reconciliation of assets and liabilities for which significant unobservable inputs (Level 3) were used in determining value, is included at the end of the Fund's Schedule of Investments. Valuation techniques of the Fund's major categories of assets and liabilities as presented in the Schedule of Investments are as follows.
Debt securities, including restricted securities, are valued based on quotations received from dealers who make markets in such securities or by independent pricing services. For corporate bonds, bank notes, foreign government and government agency obligations, preferred securities, supranational obligations, and U.S. government and government agency obligations pricing services generally utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices. For asset backed securities, collateralized mortgage obligations, commercial mortgage securities, and U.S. government agency mortgage securities, pricing services generally utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and types as well as dealer supplied prices. 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. 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. Swaps are marked-to-market daily based on valuations from independent pricing services or dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates value. Actual prices received at disposition may differ.
Annual Report
Notes to Financial Statements - continued
3. Significant Accounting Policies - continued
Security Valuation - continued
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 significant market or security specific events, changes in interest rates and credit quality, and developments in foreign markets which are monitored by evaluating the performance of ADRs, futures contracts and exchange-traded funds. The frequency with which these procedures are used cannot be predicted and may be utilized to a significant extent. The value of securities used for net asset value (NAV) calculation under these procedures may differ from published prices for the same securities.
Foreign Currency. The Fund uses foreign currency contracts to facilitate transactions in foreign-denominated securities. Losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.
Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rate at period end. Purchases and sales of investment securities, income and dividends received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and may include proceeds received from litigation. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Interest income and distributions from the Fidelity Central Funds are accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt
Annual Report
3. Significant Accounting Policies - continued
Investment Transactions and Income - continued
securities. Inflation-indexed bonds are fixed-income securities whose principal value is periodically adjusted to the rate of inflation. Interest is accrued based on the principal value, which is adjusted for inflation. The adjustments to principal due to inflation are reflected as increases or decreases to interest income even though principal is not received until maturity. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain.
Expenses. Most expenses of the trust can be directly attributed to a fund. Expenses which cannot be directly attributed are apportioned among each Fund in the trust. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan), independent Trustees must defer receipt of a portion of, and may elect to defer receipt of an additional portion of, their annual compensation. Deferred amounts are invested in a cross-section of Fidelity funds, are marked-to-market and remain in the Fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees are included in the accompanying Statement of Assets and Liabilities.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company by distributing substantially all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code and filing its U.S. federal tax return. As a result, no provision for income taxes is required. The Fund is subject to the provisions of FASB Interpretation No. 48, Accounting for Uncertainties in Income Taxes (FIN 48). FIN 48 sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. There are no unrecognized tax benefits in the accompanying financial statements. A Fund's federal tax return is subject to examination by the Internal Revenue Service (IRS) for a period of three years. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.
Dividends are declared daily and paid monthly from net investment income. Distributions from realized gains, if any, are recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. In addition, the Fund will claim a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.
Annual Report
Notes to Financial Statements - continued
3. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders - continued
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book-tax differences will reverse in a subsequent period.
Book-tax differences are primarily due to swap agreements, foreign currency transactions, defaulted bonds, market discount, redemptions in kind, partnerships (including allocations from Fidelity Central Funds), deferred trustees compensation, capital loss carryforwards and losses deferred due to wash sales and excise tax regulations.
The tax-basis components of distributable earnings and the federal tax cost as of period end were as follows:
Unrealized appreciation | $ 409,909,965 |
|
Unrealized depreciation | (274,645,572) |
|
Net unrealized appreciation (depreciation) | $ 135,264,393 |
|
|
|
|
Undistributed ordinary income | $ 53,858,059 |
|
Capital loss carryforward | $ (93,866,210) |
|
|
|
|
Cost for federal income tax purposes | $ 12,453,995,360 |
|
The tax character of distributions paid was as follows:
| August 31, 2009 | August 31, 2008 |
Ordinary Income | $ 574,929,700 | $ 521,474,544 |
Long-term Capital Gains | - | 4,901,757 |
Total | $ 574,929,700 | $ 526,376,301 |
4. Operating Policies.
Repurchase Agreements. FMR has received an Exemptive Order from the Securities and Exchange Commission (the SEC) which permits the Fund and other affiliated entities of FMR to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The Fund may also invest directly with institutions in repurchase agreements. Repurchase agreements are collateralized by government or non-government securities. Upon settlement date, collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. The Fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the
Annual Report
4. Operating Policies - continued
Repurchase Agreements - continued
collateral proceeds could be delayed, during which time the value of the collateral may decline.
Delayed Delivery Transactions and When-Issued Securities. The Fund may purchase or sell securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. During the time a delayed delivery sell is outstanding, the contract is marked-to-market daily and equivalent deliverable securities are held for the transaction. The value of the securities purchased on a delayed delivery or when-issued basis are identified as such in the Fund's Schedule of Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.
Restricted Securities. The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.
Loans and Other Direct Debt Instruments. The Fund may invest in loans and loan participations, trade claims or other receivables. These investments may include standby financing commitments, including revolving credit facilities, that obligate the Fund to supply additional cash to the borrower on demand. Loan participations involve a risk of insolvency of the lending bank or other financial intermediary. The Fund may be contractually obligated to receive approval from the agent bank and/or borrower prior to the sale of these investments.
5. Investments in Derivative Instruments.
Objectives and Strategies for Investing in Derivative Instruments. The Fund uses derivative instruments ("derivatives"), including swap agreements, in order to meet its investment objectives. The Fund's strategy is to use derivatives as a risk management tool and as an additional way to gain exposure to certain types of assets. The success of any strategy involving derivatives depends on analysis of numerous economic factors,
Annual Report
Notes to Financial Statements - continued
5. Investments in Derivative Instruments - continued
Objectives and Strategies for Investing in Derivative Instruments - continued
and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.
While utilizing derivatives in pursuit of its investment objectives, the Fund is exposed to certain financial risks relative to those derivatives. These risks are further explained below:
Credit Risk | Credit risk is the risk that the value of financial instruments will fluctuate as a result of changes in the credit quality of those instruments. Credit risk also includes the risk that the counterparty to a financial instrument will default or be unable to make further principal or interest payments on an obligation or commitment that it has entered into with the Fund. |
Interest Rate Risk | Interest rate risk is the risk that the value of interest-bearing financial instruments will fluctuate due to changes in the prevailing levels of market interest rates. |
The following notes provide more detailed information about each derivative type held by the Fund:
Swap Agreements. The Fund entered into swap agreements, which are contracts between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. Payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gains or losses in the Fund's accompanying Statement of Operations. Certain interest rate swaps include extended effective dates. Gains or losses are realized in the event of an early termination of a swap agreement. Any upfront payments made or received upon entering a swap contract 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 gains or losses ratably over the term of the swap in the Fund's accompanying Statement of Operations. Risks of loss may exceed amounts recognized on the Fund's Statement of Asset and Liabilities. In addition, there is the risk of failure by the counterparty to perform under the terms of the agreement and lack of liquidity in the market. Details of swap agreements open at period end are included in the Fund's Schedule of Investments under the caption "Swap Agreements." The total notional amount of all open swap agreements at period end is indicative of the volume of this derivative type. Collateral, in the form of cash or securities, may be required to be held in segregated accounts with a fund's custodian bank in accordance with the swap
Annual Report
5. Investments in Derivative Instruments - continued
Swap Agreements - continued
agreement and, if required, is identified in the Fund's Schedule of Investments. The Fund could experience delays and costs in gaining access to the collateral even though it is held in the Fund's custodian bank.
The Fund entered into interest rate swap agreements to manage its exposure to interest rate changes. Interest rate swaps represent an agreement between counterparties to exchange cash flows based on the difference between two interest rates (e.g. fixed rate, floating rate), applied to a notional principal amount. Risks of loss may include interest rate risk and the possible inability of the counterparty to fulfill its obligations under the agreement. The Fund's maximum risk of loss from counterparty credit risk is the discounted net value of cash flows to be received from/paid to the counterparty over the contract's remaining life, to the extent that amount is positive. This risk is mitigated by the posting of collateral by the counterparty to the Fund to cover the Fund's exposure to the counterparty. Changes in interest rates can have a negative effect on both the value of the Fund's bond holdings as well as the amount of interest income earned. In general, the value of bonds can fall when interest rates rise and can rise when interest rates fall.
The Fund entered into credit default swap agreements to provide a measure of protection against defaults of an issuer ("buyer of protection") and/or to gain credit exposure to an issuer to which it is not otherwise exposed ("seller of protection"). The issuer may be either a single issuer or a "basket" of issuers. As a buyer of protection, the Fund does so when it holds bonds of the issuer or without owning the underlying asset or debt issued by the reference entity. Under the terms of a credit default swap the buyer of protection receives credit protection in exchange for making periodic payments to the seller of protection based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller of protection acts as a guarantor of the creditworthiness of a reference obligation. 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. If a credit event were to occur during the term of the contract, the contract is typically settled in a market auction where the difference between the value of the reference obligation received and the notional amount of the swap is recorded as a realized loss by the seller of protection. For credit default swaps on corporate or sovereign issuers, the obligation that may be put to the seller of protection is not limited to the specific reference obligation described in the Fund's Schedule of Investments.
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
Annual Report
Notes to Financial Statements - continued
5. Investments in Derivative Instruments - continued
Swap Agreements - continued
write-down. If a credit event were to occur during the term of the contract, upon notification of the buyer of protection, the seller of protection is obligated to take delivery from the buyer of protection the notional amount of a reference obligation, at par. The difference between the value of the reference obligation received and the notional amount paid is recorded as a realized loss by the seller of protection. For credit default swaps on asset-backed securities, the reference obligation described represents the security that may be put to the seller of protection.
Risks of loss include credit risk. The Fund's maximum risk of loss from counterparty risk, either as a buyer of protection or as a seller of protection, is the value of the contract. This risk is mitigated by the posting of collateral by the counterparty to the Fund to cover the Fund's exposure to the counterparty. The notional amount of credit default swaps is included in the Fund's Schedule of Investments and approximates the maximum potential amount of future payments that the Fund could be required to make if the Fund is the seller of protection and a credit event were to occur. The total notional amount of all credit default swaps open at period end where the Fund is the seller of protection amounted to $20,971,107 representing .18% of net assets. Credit default swaps are considered to have credit-risk contingent features since they require payment by the seller of protection to the buyer of protection upon the occurrence of a defined credit event. The total value of credit default swaps in a net liability position as of period end was $(20,416,660). The value of assets posted as collateral, net of assets received as collateral, for these swaps was $10,488,885. If a defined credit event had occurred as of period end, the swaps' credit-risk-related contingent features would have been triggered and the Fund would have been required to pay $10,482,222 in addition to the collateral to settle these swaps.
Typically, the value of each credit default swap and credit rating disclosed for each reference obligation in the Fund's Schedule of Investments, where the Fund is the seller of protection, can be used as measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. Any current or future declines in the value of the swap may be partially offset by upfront payments received by the Fund as the seller of protection if applicable. In addition to these measures, FMR monitors a variety of factors including cash flow assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/performance risk.
Realized and Change in Unrealized Gain (Loss) on Derivative Instruments. A summary of the Fund's value of derivatives by primary risk exposure as of period end, if any, is included at the end of the Fund's Schedule of Investments. The table below
Annual Report
5. Investments in Derivative Instruments - continued
Realized and Change in Unrealized Gain (Loss) on Derivative Instruments - continued
reflects the Fund's realized gain (loss) and change in unrealized gain (loss) for derivatives during the period.
Risk Exposure / Derivative Type | Realized Gain (Loss) | Change in |
Credit Risk |
|
|
Swap Agreements | $ (12,866,343) | $ 9,724,297 |
Interest Rate Risk |
|
|
Swap Agreements | 52,096,442 | 29,690,264 |
Total Derivatives Realized and Change in Unrealized Gain (Loss) (a)(b) | $ 39,230,099 | $ 39,414,561 |
(a) Total derivatives realized gain (loss) included in the Statement of Operations is comprised of $39,230,099 for swap agreements.
(b) Total derivatives change in unrealized gain (loss) included in the Statement of Operations is comprised of $39,414,561 for swap agreements.
6. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities, U.S. government securities and liquidations and redemptions executed in-kind from Affiliated Central Funds, aggregated $2,127,349,029 and $2,708,644,992, respectively.
7. Fees and Other Transactions with Affiliates.
Management Fee. FMR and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .20% of the Fund's average net assets and a group fee rate that averaged .12% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by FMR. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the period, the total annual management fee rate was .32% of the Fund's average net assets.
Annual Report
Notes to Financial Statements - continued
7. Fees and Other Transactions with Affiliates - continued
Distribution and Service Plan. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Certain classes pay Fidelity Distributors Corporation (FDC), an affiliate of FMR, separate Distribution and Service Fees, each of which is based on an annual percentage of each class' average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services. For the period, the Distribution and Service Fee rates and the total amounts paid to and retained by FDC were as follows:
| Distribution | Service | Paid to | Retained |
Class A | 0% | .25% | $ 206,573 | $ 13,873 |
Class T | 0% | .25% | 101,105 | 1,636 |
Class B | .65% | .25% | 75,509 | 54,592 |
Class C | .75% | .25% | 371,013 | 76,285 |
|
|
| $ 754,200 | $ 146,386 |
Sales Load. FDC receives a front-end sales charge of up to 4.00% for selling Class A shares and Class T shares, some of which is paid to financial intermediaries for selling shares of the Fund. FDC receives the proceeds of contingent deferred sales charges levied on Class A, Class T, Class B, and Class C redemptions. These charges depend on the holding period. The deferred sales charges range from 5% to 1% for Class B, 1% for Class C, ..75% to .50% for certain purchases of Class A shares and .25% for certain purchases of Class T shares.
For the period, sales charge amounts retained by FDC were as follows:
| Retained |
Class A | $ 32,808 |
Class T | 4,757 |
Class B* | 42,910 |
Class C* | 7,798 |
| $ 88,273 |
* When Class B and Class C shares are initially sold, FDC pays commissions from its own resources to financial intermediaries through which the sales are made.
Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of FMR, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of each respective class of the Fund, with the exception of Total Bond and Class F. FIIOC receives an asset-based fee of .10% of Total Bond's average net assets. FIIOC receives no fees for
Annual Report
7. Fees and Other Transactions with Affiliates - continued
Transfer Agent Fees - continued
providing transfer agency services to Class F. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, the total transfer agent fees paid by each applicable class were as follows:
| Amount | % of |
Class A | $ 163,866 | .20 |
Class T | 101,206 | .25 |
Class B | 23,463 | .28 |
Class C | 62,409 | .17 |
Total Bond | 9,043,406 | .10 |
Institutional Class | 1,452,084 | .18 |
| $ 10,846,434 |
|
Fundwide Operations Fee. Pursuant to the Fundwide Operations and Expense Agreement (FWOE), FMR has agreed to provide for fund level expenses (which do not include transfer agent, Rule 12b-1 fees, compensation of the independent Trustees, interest (including commitment fees), taxes or extraordinary expenses, if any) in return for a FWOE fee equal to .35% less the total amount of the management fee. The FWOE paid by the Fund is reduced by an amount equal to the fees and expenses paid to the independent Trustees. For the period, the FWOE fee was equivalent to an annual rate of .03% of average net assets.
8. Other Affiliated Transaction.
Other Affiliated Transactions. During the period, certain Fidelity Central Funds in which the Fund was invested were each liquidated pursuant to a Plan of Liquidation and Dissolution approved by the Central Fund Board. Under the plan, each Central Fund distributed in-kind all of its net assets to its shareholders pro rata at its net asset value (NAV) per share as of the close of business on the liquidation date.
Annual Report
Notes to Financial Statements - continued
8. Other Affiliated Transaction - continued
Other Affiliated Transactions - continued
As a result, the Fund received cash and securities, including accrued interest, as noted in the following table.
Liquidation | Central Fund | Value of Cash and Securities Received (including accrued interest) | Shares of |
01/23/09 (a) | Fidelity Ultra-Short Central Fund | $ 301,876,510 | 4,827,993 |
04/17/09 (b) | Fidelity Commercial Mortgage-Backed Securities Central Fund | $ 450,179,305 | 6,245,706 |
06/26/09 (b) | Fidelity 1-3 Year Duration Securitized Bond Central Fund | $ 116,145,174 | 1,493,890 |
(a) The Fund recognized a loss as the transaction was considered taxable to the Fund for federal income tax purposes.
(b) Because the Central Fund was a partnership for federal income tax purposes, the liquidation generally was tax free to the Fund.
On February 20, 2009, the Fund redeemed in-kind 9,773,856 shares of Fidelity Corporate Bond 1-10 Year Central Fund ("1-10 Year"), a Fidelity Central Fund in which the Fund invests, valued at $879,717,481 by receiving cash and securities of equal value, including accrued interest. Because 1-10 Year was a partnership for federal income tax purposes, the redemption generally was tax free to the Fund.
9. Committed Line of Credit.
The Fund participates with other funds managed by FMR in a $3.5 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $45,943 and is reflected in Miscellaneous Expense on the Statement of Operations. During the period, there were no borrowings on this line of credit.
10. Security Lending.
The Fund lends portfolio securities from time to time in order to earn additional income. On the settlement date of the loan, the Fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the Fund and any additional required collateral is delivered to the Fund on the next business day. If the borrower defaults on its obligation
Annual Report
10. Security Lending - continued
to return the securities loaned because of insolvency or other reasons, a fund could experience delays and costs in recovering the securities loaned or in gaining access to the collateral. Any cash collateral received is invested in cash equivalents. The value of loaned securities and cash collateral at period end are disclosed on the Fund's Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less fees and expenses associated with the loan, plus any premium payments that may be received on the loan of certain types of securities. Security lending income is presented in the Statement of Operations as a component of interest income. Net income from lending portfolio securities during the period amounted to $371,839.
11. Expense Reductions.
Through arrangements with the Fund's custodian and each class' transfer agent, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's custody expenses by $150,854. During the period, credits reduced each class' transfer agent expense as noted in the table below.
| Transfer Agent |
|
Total Bond | $ 20,536 |
|
12. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Years ended August 31, | 2009 A | 2008 |
From net investment income |
|
|
Class A | $ 3,847,702 | $ 3,361,032 |
Class T | 1,872,372 | 2,139,983 |
Class B | 334,350 | 357,685 |
Class C | 1,445,182 | 975,717 |
Total Bond | 454,620,480 | 451,129,055 |
Class F | 2,418 | - |
Institutional Class | 41,289,271 | 43,904,045 |
Total | $ 503,411,775 | $ 501,867,517 |
Annual Report
Notes to Financial Statements - continued
12. Distributions to Shareholders - continued
Years ended August 31, | 2009 A | 2008 |
From net realized gain |
|
|
Class A | $ 551,756 | $ 158,977 |
Class T | 276,592 | 118,778 |
Class B | 67,464 | 17,979 |
Class C | 216,528 | 58,576 |
Total Bond | 64,472,390 | 22,110,637 |
Institutional Class | 5,933,195 | 2,043,837 |
Total | $ 71,517,925 | $ 24,508,784 |
A Distributions for Class F are for the period June 26, 2009 (commencement of sale of shares) to August 31, 2009.
13. Share Transactions.
Transactions for each class of shares were as follows:
| Shares | Dollars | ||
Years ended August 31, | 2009 A | 2008 | 2009 A | 2008 |
Class A |
|
|
|
|
Shares sold | 5,984,791 | 5,588,201 | $ 57,444,987 | $ 57,565,572 |
Reinvestment of distributions | 406,888 | 305,321 | 3,861,183 | 3,130,894 |
Shares redeemed | (3,902,315) | (2,555,919) | (36,894,839) | (26,109,819) |
Net increase (decrease) | 2,489,364 | 3,337,603 | $ 24,411,331 | $ 34,586,647 |
Class T |
|
|
|
|
Shares sold | 2,362,273 | 2,804,342 | $ 22,525,326 | $ 28,824,011 |
Reinvestment of distributions | 212,303 | 209,490 | 2,007,899 | 2,149,894 |
Shares redeemed | (1,724,975) | (3,292,088) | (16,315,286) | (33,740,425) |
Net increase (decrease) | 849,601 | (278,256) | $ 8,217,939 | $ (2,766,520) |
Class B |
|
|
|
|
Shares sold | 554,201 | 792,814 | $ 5,314,152 | $ 8,188,014 |
Reinvestment of distributions | 28,612 | 25,155 | 270,597 | 258,101 |
Shares redeemed | (659,643) | (449,829) | (6,193,443) | (4,577,167) |
Net increase (decrease) | (76,830) | 368,140 | $ (608,694) | $ 3,868,948 |
Class C |
|
|
|
|
Shares sold | 4,153,350 | 1,925,088 | $ 39,736,399 | $ 19,771,131 |
Reinvestment of distributions | 152,104 | 87,624 | 1,446,118 | 898,560 |
Shares redeemed | (1,718,977) | (993,539) | (16,256,813) | (10,165,574) |
Net increase (decrease) | 2,586,477 | 1,019,173 | $ 24,925,704 | $ 10,504,117 |
Annual Report
13. Share Transactions - continued
| Shares | Dollars | ||
Years ended August 31, | 2009 A | 2008 | 2009 A | 2008 |
Total Bond |
|
|
|
|
Shares sold | 373,151,213 | 547,722,071 | $ 3,605,197,725 | $ 5,645,252,478 |
Reinvestment of distributions | 53,605,881 | 45,012,353 | 507,857,810 | 461,616,494 |
Shares redeemed | (360,364,229) | (230,103,358) | (3,408,960,293) | (2,368,082,060) |
Net increase (decrease) | 66,392,865 | 362,631,066 | $ 704,095,242 | $ 3,738,786,912 |
Class F |
|
|
|
|
Shares sold | 33,569 | - | $ 332,941 | $ - |
Reinvestment of distributions | 236 | - | 2,418 | - |
Shares redeemed | (1,783) | - | (18,285) | - |
Net increase (decrease) | 32,022 | - | $ 317,074 | $ - |
Institutional Class |
|
|
|
|
Shares sold | 13,719,215 | 78,780,201 | $ 128,522,571 | $ 814,530,864 |
Reinvestment of distributions | 4,940,454 | 4,451,142 | 46,673,580 | 45,563,586 |
Shares redeemed | (26,671,015) | (22,980,579) | (252,440,017) | (232,333,078) |
Net increase (decrease) | (8,011,346) | 60,250,764 | $ (77,243,866) | $ 627,761,372 |
A Share transactions for Class F are for the period June 26, 2009 (commencement of sale of shares) to August 31, 2009.
14. Other.
The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
15. Credit Risk.
The Fund invests a portion of its assets, directly or indirectly, in structured securities of issuers backed by residential mortgage loans, credit card receivables and automotive loans. The value and related income of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults.
Annual Report
Report of Independent Registered Public Accounting Firm
To the Trustees of Fidelity Income Fund and the Shareholders of Fidelity Total Bond Fund:
In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Fidelity Total Bond Fund (a fund of Fidelity Income Fund) at August 31, 2009, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Fidelity Total Bond Fund's management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at August 31, 2009 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
PricewaterhouseCoopers LLP
Boston, Massachusetts
October 26, 2009
Annual Report
Trustees and Officers
The Trustees and executive officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, and review the fund's performance. Except for James C. Curvey, each of the Trustees oversees 187 funds advised by FMR or an affiliate. Mr. Curvey oversees 407 funds advised by FMR or an affiliate.
The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust. Each Trustee who is not an interested person (as defined in the 1940 Act) (Independent Trustee), shall retire not later than the last day of the calendar year in which his or her 72nd birthday occurs. The Independent Trustees may waive this mandatory retirement age policy with respect to individual Trustees. The executive officers hold office without limit in time, except that any officer may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.
The fund's Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-835-5092.
Interested Trustees*:
Correspondence intended for each Trustee who is an interested person may be sent to Fidelity Investments, 82 Devonshire Street, Boston, Massachusetts 02109.
Name, Age; Principal Occupation | |
Abigail P. Johnson (47) | |
| Year of Election or Appointment: 2009 Ms. Johnson is Trustee and Chairman of the Board of Trustees of certain Trusts. Ms. Johnson serves as President of Personal and Workplace Investing (2005-present). Ms. Johnson is a Director of FMR LLC. Previously, Ms. Johnson served as President and a Director of FMR (2001- |
James C. Curvey (74) | |
| Year of Election or Appointment: 2007 Mr. Curvey also serves as Trustee (2007-present) of other investment companies advised by FMR. Mr. Curvey is a Director of FMR and FMR Co., Inc. (2007-present). Mr. Curvey is also Vice Chairman (2006- |
* Trustees have been determined to be "Interested Trustees" by virtue of, among other things, their affiliation with the trust or various entities under common control with FMR.
Independent Trustees:
Correspondence intended for each Independent Trustee (that is, the Trustees other than the Interested Trustees) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.
Name, Age; Principal Occupation | |
Albert R. Gamper, Jr. (67) | |
| Year of Election or Appointment: 2006 Prior to his retirement in December 2004, Mr. Gamper served as Chairman of the Board of CIT Group Inc. (commercial finance). During his tenure with CIT Group Inc. Mr. Gamper served in numerous senior management positions, including Chairman (1987-1989; 1999-2001; 2002-2004), Chief Executive Officer (1987-2004), and President. Mr. Gamper currently serves as a member of the Board of Directors of Public Service Enterprise Group (utilities), a member of the Board of Trustees, Rutgers University (2004-present), and Chairman of the Board of Saint Barnabas Health Care System. Previously, Mr. Gamper served as Chairman of the Board of Governors, Rutgers University (2004-2007). |
Arthur E. Johnson (62) | |
| Year of Election or Appointment: 2008 Mr. Johnson serves as a member of the Board of Directors of Eaton Corporation (diversified power management, 2009-present) and AGL Resources, Inc. (holding company). Previously, Mr. Johnson served as Senior Vice President of Corporate Strategic Development of Lockheed Martin Corporation (defense contractor, 1999-2009), and on the Board of Directors of IKON Office Solutions, Inc. (1999-2008). Mr. Arthur E. Johnson and Ms. Abigail P. Johnson are not related. |
Michael E. Kenneally (55) | |
| Year of Election or Appointment: 2009 Mr. Kenneally also serves as Trustee (2009-present) or Member of the Advisory Board (2008-present) of other Fidelity Fixed Income and Asset Allocation Funds. Previously, Mr. Kenneally served as Chairman and Global Chief Executive Officer of Credit Suisse Asset Management (2003-2005). Mr. Kenneally was a Director of The Credit Suisse Funds (U.S. Mutual Fund, 2004-2008) and was awarded the Chartered Financial Analyst (CFA) designation in 1991. |
James H. Keyes (68) | |
| Year of Election or Appointment: 2007 Mr. Keyes serves as a member of the Boards of Navistar International Corporation (manufacture and sale of trucks, buses, and diesel engines) and Pitney Bowes, Inc. (integrated mail, messaging, and document management solutions). Previously, Mr. Keyes served as a member of the Board of LSI Logic Corporation (semiconductor technologies, 1984-2008). |
Marie L. Knowles (62) | |
| Year of Election or Appointment: 2001 Prior to Ms. Knowles' retirement in June 2000, she served as Executive Vice President and Chief Financial Officer of Atlantic Richfield Company (ARCO) (diversified energy, 1996-2000). From 1993 to 1996, she was a Senior Vice President of ARCO and President of ARCO Transportation Company. She served as a Director of ARCO from 1996 to 1998. Ms. Knowles currently serves as a Director of McKesson Corporation (healthcare service). Ms. Knowles is an Honorary Trustee of the Brookings Institution and a member of the Board of the Catalina Island Conservancy and of the Santa Catalina Island Company (2009-present). She also serves as a member of the Advisory Board for the School of Engineering of the University of Southern California and the Foundation Board of the School of Architecture at the University of Virginia (2007-present). Previously, Ms. Knowles served as a Director of Phelps Dodge Corporation (copper mining and manufacturing, 1994-2007). |
Kenneth L. Wolfe (70) | |
| Year of Election or Appointment: 2005 Mr. Wolfe served as Chairman and a Director (2007-2009) and Chairman and Chief Executive Officer of Hershey Foods Corporation, and as a member of the Boards of Adelphia Communications Corporation (telecommunications, 2003-2006), Bausch & Lomb, Inc. (medical/pharmaceutical, 1993-2007), and Revlon, Inc. (2004-2009). |
Annual Report
Trustees and Officers - continued
Executive Officers:
Correspondence intended for each executive officer may be sent to Fidelity Investments, 82 Devonshire Street, Boston, Massachusetts 02109.
Name, Age; Principal Occupation | |
John R. Hebble (51) | |
| Year of Election or Appointment: 2008 President and Treasurer of Fidelity's Fixed Income and Asset Allocation Funds. Mr. Hebble also serves as Assistant Treasurer of other Fidelity funds (2009-present) and is an employee of Fidelity Investments. |
Boyce I. Greer (53) | |
| Year of Election or Appointment: 2005 or 2006 Vice President of Fidelity's Fixed Income Funds (2006) and Asset Allocation Funds (2005). Mr. Greer is also a Trustee of other investment companies advised by FMR. Mr. Greer is President of the Asset Allocation Division (2008-present), President and a Director of Strategic Advisers, Inc. (2008-present), President and a Director of Fidelity Investments Money Management, Inc. (2007-present), and an Executive Vice President of FMR and FMR Co., Inc. (2005-present). Previously, Mr. Greer served as a Director and Managing Director of Strategic Advisers, Inc. (2002-2005). |
Christopher P. Sullivan (55) | |
| Year of Election or Appointment: 2009 Vice President of Fidelity's Bond Funds. Mr. Sullivan also serves as President of Fidelity's Bond Group (2009-present). Previously, Mr. Sullivan served as Managing Director, Co-Head of U.S. Fixed Income at Goldman Sachs Asset Management (2001-2009). |
Scott C. Goebel (41) | |
| Year of Election or Appointment: 2008 Secretary and Chief Legal Officer (CLO) of the Fidelity funds. Mr. Goebel also serves as General Counsel, Secretary, and Senior Vice President of FMR (2008-present) and FMR Co., Inc. (2008-present); Deputy General Counsel of FMR LLC; Chief Legal Officer of Fidelity Management & Research (Hong Kong) Limited (2008-present) and Assistant Secretary of Fidelity Management & Research (Japan) Inc. (2008-present), Fidelity Investments Money Management, Inc. (2008- |
Holly C. Laurent (55) | |
| Year of Election or Appointment: 2008 Anti-Money Laundering (AML) Officer of the Fidelity funds. Ms. Laurent is an employee of Fidelity Investments. Previously, Ms. Laurent was Senior Vice President and Head of Legal for Fidelity Business Services India Pvt. Ltd. (2006-2008), and Senior Vice President, Deputy General Counsel and Group Head for FMR LLC (2005-2006). |
Christine Reynolds (50) | |
| Year of Election or Appointment: 2008 Chief Financial Officer of the Fidelity funds. Ms. Reynolds became President of Fidelity Pricing and Cash Management Services (FPCMS) in August 2008. Ms. Reynolds served as Chief Operating Officer of FPCMS (2007-2008). Previously, Ms. Reynolds served as President, Treasurer, and Anti-Money Laundering officer of the Fidelity funds (2004-2007). |
Michael H. Whitaker (42) | |
| Year of Election or Appointment: 2008 Chief Compliance Officer of Fidelity's Fixed Income and Asset Allocation Funds. Mr. Whitaker is an employee of Fidelity Investments (2007- |
Jeffrey S. Christian (47) | |
| Year of Election or Appointment: 2009 Deputy Treasurer of the Fidelity funds. Mr. Christian also serves as Chief Financial Officer of other Fidelity funds (2008-present) and is an employee of Fidelity Investments. Previously, Mr. Christian served as Senior Vice President of Fidelity Pricing and Cash Management Services (FPCMS) (2004-2009) and as Vice President of Business Analysis (2003-2004). |
Bryan A. Mehrmann (48) | |
| Year of Election or Appointment: 2005 Deputy Treasurer of the Fidelity funds. Mr. Mehrmann is an employee of Fidelity Investments. Previously, Mr. Mehrmann served as Vice President of Fidelity Investments Institutional Services Group (FIIS)/Fidelity Investments Institutional Operations Company, Inc. (FIIOC) Client Services (1998-2004). |
Stephanie J. Dorsey (40) | |
| Year of Election or Appointment: 2008 Deputy Treasurer of Fidelity's Fixed Income and Asset Allocation Funds. Ms. Dorsey is an employee of Fidelity Investments (2008-present). Previously, Ms. Dorsey served as Treasurer (2004-2008) of the JPMorgan Mutual Funds and Vice President (2004-2008) of JPMorgan Chase Bank. |
Paul M. Murphy (62) | |
| Year of Election or Appointment: 2007 Assistant Treasurer of the Fidelity funds. Mr. Murphy is an employee of Fidelity Investments. Previously, Mr. Murphy served as Chief Financial Officer of the Fidelity funds (2005-2006), Vice President and Associate General Counsel of FMR (2007), and Senior Vice President of Fidelity Pricing and Cash Management Services (FPCMS) (1994-2007). |
Kenneth B. Robins (40) | |
| Year of Election or Appointment: 2009 Assistant Treasurer of the Fidelity Fixed Income and Asset Allocation Funds. Mr. Robins also serves as President and Treasurer of other Fidelity funds and is an employee of Fidelity Investments (2004-present). Before joining Fidelity Investments, Mr. Robins worked at KPMG LLP, where he was a partner in KPMG's department of professional practice (2002-2004). |
Gary W. Ryan (51) | |
| Year of Election or Appointment: 2005 Assistant Treasurer of the Fidelity funds. Mr. Ryan is an employee of Fidelity Investments. Previously, Mr. Ryan served as Vice President of Fund Reporting in Fidelity Pricing and Cash Management Services (FPCMS) (1999-2005). |
Annual Report
Distributions (Unaudited)
A total of 1.54% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.
The fund designates $403,612,312 of distributions paid during the period January 1, 2009 to August 31, 2009 as qualifying to be taxed as interest-related dividends for nonresident alien shareholders.
The fund will notify shareholders in January 2010 of amounts for use in preparing 2009 income tax returns.
Annual Report
Proxy Voting Results
A special meeting of the fund's shareholders was held on July 15, 2009. The results of votes taken among shareholders on the proposals before them are reported below. Each vote reported represents one dollar of net asset value held on the record date for the meeting.
PROPOSAL 1 | ||
To elect a Board of Trustees.A | ||
| # of | % of |
James C. Curvey | ||
Affirmative | 14,013,293,778.94 | 95.195 |
Withheld | 707,255,451.85 | 4.805 |
TOTAL | 14,720,549,230.79 | 100.000 |
Albert R. Gamper, Jr. | ||
Affirmative | 14,076,416,168.78 | 95.624 |
Withheld | 644,133,062.01 | 4.376 |
TOTAL | 14,720,549,230.79 | 100.000 |
Abigail P. Johnson | ||
Affirmative | 14,008,124,232.06 | 95.160 |
Withheld | 712,424,998.73 | 4.840 |
TOTAL | 14,720,549,230.79 | 100.000 |
Arthur E. Johnson | ||
Affirmative | 14,050,921,135.52 | 95.451 |
Withheld | 669,628,095.27 | 4.549 |
TOTAL | 14,720,549,230.79 | 100.000 |
Michael E. Kenneally | ||
Affirmative | 14,109,579,658.34 | 95.850 |
Withheld | 610,969,572.45 | 4.150 |
TOTAL | 14,720,549,230.79 | 100.000 |
James H. Keyes | ||
Affirmative | 14,092,011,663.11 | 95.730 |
Withheld | 628,537,567.68 | 4.270 |
TOTAL | 14,720,549,230.79 | 100.000 |
Marie L. Knowles | ||
Affirmative | 14,092,143,532.07 | 95.731 |
Withheld | 628,405,698.72 | 4.269 |
TOTAL | 14,720,549,230.79 | 100.000 |
Kenneth L. Wolfe | ||
Affirmative | 14,052,555,742.75 | 95.462 |
Withheld | 667,993,488.04 | 4.538 |
TOTAL | 14,720,549,230.79 | 100.000 |
PROPOSAL 2 | ||
To amend the Declaration of Trust to reduce the required quorum for future shareholder meetings.A | ||
| # of | % of |
Affirmative | 10,799,375,525.31 | 73.363 |
Against | 2,448,219,135.99 | 16.631 |
Abstain | 720,949,491.20 | 4.898 |
Broker | 752,005,078.29 | 5.108 |
TOTAL | 14,720,549,230.79 | 100.000 |
A Denotes trust-wide proposal and voting results.
Annual Report
Board Approval of Investment Advisory Contracts and Management Fees
Fidelity Total Bond Fund
On May 21, 2009, the Board of Trustees, including the Independent Trustees (together, the Board), voted to continue the management contract and subadvisory agreements (together, the Advisory Contracts) for the fund for four months, through September 30, 2009, in connection with the reorganization of the Board's new meeting schedule. The Board considered that the contractual terms of and fees payable under the fund's Advisory Contracts involve no changes in (i) the investment process or strategies employed in the management of the fund's assets; (ii) the nature or level of services provided under the fund's Advisory Contracts; or (iii) the day-to-day management of the fund or the persons primarily responsible for such management. The Board concluded that the fund's Advisory Contracts are fair and reasonable, and that the fund's Advisory Contracts should be renewed, without modification, through September 30, 2009, with the understanding that the Board will consider their renewal in September 2009.
Annual Report
Managing Your Investments
Fidelity offers several ways to conveniently manage your workplace benefits (including your workplace savings plan, investments, and additional services) via your telephone or PC. You can access your plan and account information and research your investments 24 hours a day.
By Phone
Fidelity provides a single toll-free number to access plan information, account balances, positions, and quotes*. It's easy to navigate the service, and on your first call, the system will help you create a personal identification number (PIN) for security.
(phone_graphic)
Fidelity Workplace
Investing
1-800-835-5092
By PC
Fidelity's web site on the Internet provides a wide range of information, including plan information, daily financial news, fund performance, interactive planning tools, and news about Fidelity products and services.
(computer_graphic)
Fidelity's Web Site
www.401k.com
* When you call the quotes line, please remember that a fund's yield and return will vary and, except for money market funds, share price will also vary. This means that you may have a gain or loss when you sell your shares. There is no assurance that money market funds will be able to maintain a stable $1 share price; an investment in a money market fund is not insured or guaranteed by the U.S. government. Total returns are historical and include changes in share price, reinvestment of dividends and capital gains, and the effects of any sales charges.
Annual Report
To Write Fidelity
We'll give your correspondence immediate attention and send you written confirmation upon completion of your request.
(letter_graphic)
For Non-Retirement
Accounts
Buying shares
Fidelity Investments
P.O. Box 770001
Cincinnati, OH 45277-0003
Overnight Express
Fidelity Investments
Attn: Distribution Services
100 Crosby Parkway - KC1H
Covington, KY 41015
Selling shares
Fidelity Investments
P.O. Box 770001
Cincinnati, OH 45277-0035
Overnight Express
Fidelity Investments
Attn: Distribution Services
100 Crosby Parkway - KC1H
Covington, KY 41015
General Correspondence
Fidelity Investments
P.O. Box 500
Merrimack, NH 03054-0500
(letter_graphic)
For Retirement
Accounts
Buying shares
Fidelity Investments
P.O. Box 770001
Cincinnati, OH 45277-0003
Selling shares
Fidelity Investments
P.O. Box 770001
Cincinnati, OH 45277-0035
Overnight Express
Fidelity Investments
Attn: Distribution Services
100 Crosby Parkway - KC1H
Covington, KY 41015
General Correspondence
Fidelity Investments
P.O. Box 500
Merrimack, NH 03054-0500
Annual Report
Investment Adviser
Fidelity Management & Research Company
Boston, MA
Investment Sub-Advisers
FMR Co., Inc.
Fidelity Management & Research
(U.K.) Inc.
Fidelity Management & Research
(Hong Kong) Limited
Fidelity Management & Research
(Japan) Inc.
Fidelity Research & Analysis Company
Fidelity Investments
Money Management, Inc.
Fidelity Investments Japan Limited
FIL Investment Advisors
FIL Investment Advisors
(U.K.) Ltd.
General Distributor
Fidelity Distributors Corporation
Boston, MA
Transfer and Service Agents
Fidelity Investments Institutional
Operations Company, Inc.
Boston, MA
Fidelity Service Company, Inc.
Boston, MA
Custodian
Citibank, N.A.
New York, NY
TBD-F-ANN-1009 1.891916.100
(Fidelity Investment logo)(registered trademark)
Fidelity Advisor
Total Bond
Fund - Class A, Class T, Class B
and Class C
Annual Report
August 31, 2009
(2_fidelity_logos) (Registered_Trademark)
Class A, Class T, Class B,
and Class C are classes of
Fidelity Total Bond Fund
Contents
Chairman's Message | The Chairman's message to shareholders. | |
Performance | How the fund has done over time. | |
Management's Discussion | The manager's review of fund performance, strategy and outlook. | |
Shareholder Expense Example | An example of shareholder expenses. | |
Investment Changes | A summary of major shifts in the fund's investments over the past six months. | |
Investments | A complete list of the fund's investments with their market values. | |
Financial Statements | Statements of assets and liabilities, operations, and changes in net assets, | |
Notes | Notes to the financial statements. | |
Report of Independent Registered Public Accounting Firm |
| |
Trustees and Officers |
| |
Distributions |
| |
Proxy Voting Results |
| |
Board Approval of Investment Advisory Contracts and Management Fees |
|
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov. You may also call 1-877-208-0098 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company.
Annual Report
This report and the financial statements contained herein are submitted for the general information of the shareholders of the fund. This report is not authorized for distribution to prospective investors in the fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com or http://www.advisor.fidelity.com, as applicable.
NOT FDIC INSURED · MAY LOSE VALUE · NO BANK GUARANTEE
Neither the fund nor Fidelity Distributors Corporation is a bank.
Annual Report
Chairman's Message
Dear Shareholder:
We've seen a welcome uptick in the global equity markets this spring and summer, as signs of stabilization in some economic indicators have brought many investors back into the marketplace. But there remain other key measures - notably high unemployment and slack consumer spending - that suggest the road back to economic health could still be a bumpy ride. Financial markets are always unpredictable, of course, but there also are several time-tested investment principles that can help put the historical odds in your favor.
One of the basic tenets is to invest for the long term. Over time, riding out the markets' inevitable ups and downs has proven much more effective than selling into panic or chasing the hottest trend. Even missing only a few of the markets' best days can significantly diminish investor returns. Patience also affords the benefits of compounding - of earning interest on additional income or reinvested dividends and capital gains. There can be tax advantages and cost benefits to consider as well. While staying the course doesn't eliminate risk, it can considerably lessen the effect of short-term declines.
You can further manage your investing risk through diversification. And today, more than ever, geographic diversification should be taken into account. Studies indicate that asset allocation is the single most important determinant of a portfolio's long-term success. The right mix of stocks, bonds and cash - aligned to your particular risk tolerance and investment objective - is very important. Age-appropriate rebalancing is also an essential aspect of asset allocation. For younger investors, an emphasis on equities - which historically have been the best-performing asset class over time - is encouraged. As investors near their specific goal, such as retirement or sending a child to college, consideration may be given to replacing volatile assets (e.g. common stocks) with more-stable fixed investments (bonds or savings plans).
A third principle - investing regularly - can help lower the average cost of your purchases. Investing a certain amount of money each month or quarter helps ensure you won't pay for all your shares at market highs. This strategy - known as dollar cost averaging - also reduces "emotion" from investing, helping shareholders avoid selling weak performers just prior to an upswing, or chasing a hot performer just before a correction.
We invite you to contact us via the Internet, through our Investor Centers or by phone. It is our privilege to provide you the information you need to make the investments that are right for you.
Sincerely,
/s/Abigail P. Johnson
Abigail P. Johnson
Annual Report
Performance: The Bottom Line
Average annual total return reflects the change in the value of an investment, assuming reinvestment of the class' dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) and assuming a constant rate of performance each year. The $10,000 table and the fund's returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund's total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.
Average Annual Total Returns
Periods ended August 31, 2009 | Past 1 | Past 5 | Life of |
Class A (incl. 4.00% sales charge) B | 3.48% | 3.33% | 4.27% |
Class T (incl. 4.00% sales charge) C | 3.43% | 3.26% | 4.21% |
Class B (incl. contingent deferred sales charge) D | 2.01% | 3.06% | 4.30% |
Class C (incl. contingent deferred sales charge) E | 6.02% | 3.37% | 4.27% |
A From October 15, 2002.
B As of April 1, 2007, Class A shares bear a 0.25% 12b-1 fee. The initial offering of Class A shares took place on June 16, 2004. Returns between June 16, 2004 and March 31, 2007 reflect a 0.15% 12b-1 fee. Returns prior to June 16, 2004 are those of Total Bond, the original retail class of the fund, which does not bear a 12b-1 fee. Had Class A shares' current 12b-1 fee been reflected, returns prior to April 1, 2007 would have been lower.
C Class T shares bear a 0.25% 12b-1 fee. The initial offering of Class T shares took place on June 16, 2004. Returns prior to June 16, 2004 are those of Total Bond, the original retail class of the fund, which does not bear a 12b-1 fee. Had Class T shares' 12b-1 fee been reflected, returns prior to June 16, 2004 would have been lower.
D Class B shares bear a 0.90% 12b-1 fee. The initial offering of Class B shares took place on June 16, 2004. Returns prior to June 16, 2004 are those of Total Bond, the original retail class of the fund, which does not bear a 12b-1 fee. Had Class B shares' 12b-1 fee been reflected, returns prior to June 16, 2004 would have been lower. Class B shares' contingent deferred sales charges included in past one year, past five years, and life of fund total return figures are 5%, 2%, and 0%, respectively.
E Class C shares bear a 1.00% 12b-1 fee. The initial offering of Class C shares took place on June 16, 2004. Returns prior to June 16, 2004 are those of Total Bond, the original retail class of the fund, which does not bear a 12b-1 fee. Had Class C shares' 12b-1 fee been reflected, returns prior to June 16, 2004 would have been lower. Class C shares' contingent deferred sales charges included in the past one year, past five years, and life of fund total return figures are 1%, 0%, and 0%, respectively.
Annual Report
$10,000 Over Life of Fund
Let's say hypothetically that $10,000 was invested in Fidelity Advisor Total Bond Fund - Class A on October 15, 2002, when the fund started, and the current 4.00% sales charge was paid. The chart shows how the value of your investment would have changed, and also shows how the Barclays Capital U.S. Aggregate Bond Index performed over the same period. The initial offering of Class A took place on June 16, 2004. See the previous page for additional information regarding the performance of Class A.
Annual Report
Management's Discussion of Fund Performance
Market Recap: While the positive returns of taxable bonds were more encouraging than the negative returns posted by major equity indexes for the year ending August 31, 2009, fixed-income securities rode their own wave of volatility. As the credit crisis resulting from a meltdown in the subprime mortgage market deepened in the beginning of the period, bond investors fled from lower-quality debt instruments and flocked to those with backing from the U.S. government. With government interventions around the world beginning to take root in the later months of the period, however, credit conditions improved and signs of stabilization among certain economic indicators emerged, eliciting greater demand for risk. Consequently, bonds further out on the risk spectrum boasted the largest returns. For the year overall, U.S. investment-grade bonds gained 7.94%, as measured by the Barclays Capital U.S. Aggregate Bond Index.
Comments from Ford O'Neil, Lead Portfolio Manager of Fidelity Advisor Total Bond Fund: The fund's Class A, Class T, Class B and Class C shares gained 7.79%, 7.74%, 7.01% and 7.02%, respectively (excluding sales charges), roughly in line with the Barclays Capital U.S. Universal Bond Index, which rose 7.38%, and the Aggregate Bond index. In reviewing performance, I'll discuss the aggregate of our direct investments and those we made in Fidelity's fixed-income central funds. Sector selection drove results versus the Aggregate Bond index. Specifically, the fund was helped by overweighting corporate bonds and securitized products, while underweighting U.S. government securities - particularly Treasuries. These sector decisions, coupled with favorable security selection overall, helped to offset out-of-index allocations to high-yield and emerging-markets debt. That said, we saw strong excess returns in the emerging-markets subportfolio. All spread sectors benefited in the second half from a massive flight to riskier assets. Corporates in particular had a strong showing, with the fund's industrials and utilities holdings showing big gains. Elsewhere, I increased our overweighting in financials, a move that also contributed. High-yield and emerging-markets bonds were helped by similar forces in the second half, although their recent rally wasn't enough to overcome what they lost relative to investment-grade debt early on in the period. I added to our high-yield stake beginning in late 2008, which was a plus for the fund since that time. However, security selection in the sector limited our upside a bit. An out-of-index stake in Treasury Inflation-Protected Securities also detracted. In terms of the fund's structure, I significantly reduced our central fund exposure, while still maintaining many of the same securities via direct holdings.
Comments from Ford O'Neil, Lead Portfolio Manager of Fidelity Advisor Total Bond Fund: The fund's Institutional Class shares gained 7.99%, outpacing the Barclays Capital U.S. Universal Bond Index, which rose 7.38%, and the Aggregate Bond index. In reviewing performance, I'll discuss the aggregate of our direct investments and those we made in Fidelity's fixed-income central funds. Sector selection drove results versus the Aggregate Bond index. Specifically, the fund was helped by overweighting corporate bonds and securitized products, while underweighting U.S. government securities - particularly Treasuries. These sector decisions, coupled with favorable security selection overall, helped to offset out-of-index allocations to high-yield and emerging-markets debt. That said, we saw strong excess returns in the emerging-markets subportfolio. All spread sectors benefited in the second half from a massive flight to riskier assets. Corporates in particular had a strong showing, with the fund's industrials and utilities holdings showing big gains. Elsewhere, I increased our overweighting in financials, a move that also contributed. High-yield and emerging-markets bonds were helped by similar forces in the second half, although their recent rally wasn't enough to overcome what they lost relative to investment-grade debt early on in the period. I added to our high-yield stake beginning in late 2008, which was a plus for the fund since that time. However, security selection in the sector limited our upside a bit. An out-of-index stake in Treasury Inflation-Protected Securities also detracted. In terms of the fund's structure, I significantly reduced our central fund exposure, while still maintaining many of the same securities via direct holdings.
Annual Report
The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.
Annual Report
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments or redemption proceeds, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The actual expense Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (March 1, 2009 to August 31, 2009) for Class A, Class T, Class B, Class C, Total Bond and Institutional Class and for the entire period (June 26, 2009 to August 31, 2009) for Class F. The hypothetical expense example is based on an investment of $1,000 invested at the beginning of the period and held for the one-half year period (March 1, 2009 to August 31, 2009).
Actual Expenses
The first line of the accompanying table for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Annual Report
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| Annualized | Beginning | Ending | Expenses Paid |
Class A | .79% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,140.70 | $ 4.26 B |
Hypothetical A |
| $ 1,000.00 | $ 1,021.22 | $ 4.02 C |
Class T | .84% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,140.60 | $ 4.53 B |
Hypothetical A |
| $ 1,000.00 | $ 1,020.97 | $ 4.28 C |
Class B | 1.52% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,136.60 | $ 8.19 B |
Hypothetical A |
| $ 1,000.00 | $ 1,017.54 | $ 7.73 C |
Class C | 1.50% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,136.70 | $ 8.08 B |
Hypothetical A |
| $ 1,000.00 | $ 1,017.64 | $ 7.63 C |
Total Bond | .45% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,142.60 | $ 2.43 B |
Hypothetical A |
| $ 1,000.00 | $ 1,022.94 | $ 2.29 C |
Class F | .35% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,046.40 | $ .66 B |
Hypothetical A |
| $ 1,000.00 | $ 1,023.44 | $ 1.79 C |
Institutional Class | .52% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,141.30 | $ 2.81 B |
Hypothetical A |
| $ 1,000.00 | $ 1,022.58 | $ 2.65 C |
A 5% return per year before expenses
B Actual expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period) for Class A, Class T, Class B, Class C, Total Bond and Institutional Class and multiplied by 67/365 (to reflect the period June 26, 2009 to August 31, 2009) for Class F. The fees and expenses of the underlying Fidelity Central Funds in which the Fund invests are not included in the Fund's annualized expense ratio.
C Hypothetical expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).
Annual Report
Investment Changes (Unaudited)
The information in the following tables is based on the combined investments of the Fund and its pro-rata share of its investments in each non-money market Fidelity Central Fund.
Quality Diversification (% of fund's net assets) | |||||||
As of August 31, 2009 | As of February 28, 2009 | ||||||
![]() | U.S. Government and |
| ![]() | U.S. Government and |
| ||
![]() | AAA 6.8% |
| ![]() | AAA 9.5% |
| ||
![]() | AA 3.2% |
| ![]() | AA 4.1% |
| ||
![]() | A 10.1% |
| ![]() | A 10.9% |
| ||
![]() | BBB 15.3% |
| ![]() | BBB 16.3% |
| ||
![]() | BB and Below 15.3% |
| ![]() | BB and Below 13.9% |
| ||
![]() | Not Rated 0.7% |
| ![]() | Not Rated 1.3% |
| ||
![]() | Short-Term |
| ![]() | Short-Term |
|
We have used ratings from Moody's® Investors Services, Inc. Where Moody's ratings are not available, we have used S&P® ratings. All ratings are as of the report date and do not reflect subsequent downgrades. Securities rated BB or below were rated investment grade at the time of acquisition. |
Weighted Average Maturity as of August 31, 2009 | ||
|
| 6 months ago |
Years | 5.5 | 5.7 |
The weighted average maturity is based on the dollar-weighted average length of time until principal payments are expected or until securities reach maturity, taking into account any maturity shortening feature such as a call, refunding or redemption provision. |
Duration as of August 31, 2009 | ||
|
| 6 months ago |
Years | 3.7 | 3.6 |
Duration shows how much a bond fund's price fluctuates with changes in comparable interest rates. If rates rise 1%, for example, a fund with a five-year duration is likely to lose about 5% of its value. Other factors also can influence a bond fund's performance and share price. Accordingly, a bond fund's actual performance may differ from this example. |
Asset Allocation (% of fund's net assets) | |||||||
As of August 31, 2009* | As of February 28, 2009** | ||||||
![]() | Corporate Bonds 34.8% |
| ![]() | Corporate Bonds 36.7% |
| ||
![]() | U.S. Government and |
| ![]() | U.S. Government and |
| ||
![]() | Asset-Backed |
| ![]() | Asset-Backed |
| ||
![]() | CMOs and Other |
| ![]() | CMOs and Other |
| ||
![]() | Municipal Bonds 0.2% |
| ![]() | Municipal Bonds 0.4% |
| ||
![]() | Other Investments 6.5% |
| ![]() | Other Investments 6.2% |
| ||
![]() | Short-Term |
| ![]() | Short-Term |
|
* Foreign investments | 9.0% |
| ** Foreign investments | 9.0% |
| ||
* Futures and Swaps | 8.8% |
| ** Futures and Swaps | 12.2% |
|
† Short-term Investments and Net Other Assets are not included in the pie chart.
†† Includes FDIC Guaranteed Corporate Securities.
A holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds is available at fidelity.com and/or advisor.fidelity.com, as applicable.
Annual Report
Investments August 31, 2009
Showing Percentage of Net Assets
Corporate Bonds - 28.1% | ||||
| Principal Amount (d) | Value | ||
Convertible Bonds - 0.1% | ||||
ENERGY - 0.0% | ||||
Oil, Gas & Consumable Fuels - 0.0% | ||||
Chesapeake Energy Corp. 2.5% 5/15/37 | $ 2,086,000 | $ 1,635,007 | ||
FINANCIALS - 0.0% | ||||
Real Estate Investment Trusts - 0.0% | ||||
Ventas, Inc. 3.875% 11/15/11 (h) | 1,140,000 | 1,190,650 | ||
Vornado Realty Trust 2.85% 4/1/27 | 510,000 | 465,406 | ||
| 1,656,056 | |||
Real Estate Management & Development - 0.0% | ||||
ERP Operating LP 3.85% 8/15/26 | 270,000 | 263,185 | ||
TOTAL FINANCIALS | 1,919,241 | |||
INDUSTRIALS - 0.0% | ||||
Electrical Equipment - 0.0% | ||||
General Cable Corp. 1% 10/15/12 | 2,580,000 | 2,168,748 | ||
INFORMATION TECHNOLOGY - 0.1% | ||||
Communications Equipment - 0.1% | ||||
Lucent Technologies, Inc. 2.875% 6/15/25 | 2,841,800 | 2,273,355 | ||
TOTAL CONVERTIBLE BONDS | 7,996,351 | |||
Nonconvertible Bonds - 28.0% | ||||
CONSUMER DISCRETIONARY - 3.3% | ||||
Auto Components - 0.1% | ||||
Affinia Group, Inc. 10.75% 8/15/16 (h) | 330,000 | 339,900 | ||
ArvinMeritor, Inc. 8.125% 9/15/15 | 3,250,000 | 2,437,500 | ||
DaimlerChrysler NA Holding Corp.: | ||||
5.75% 9/8/11 | 5,595,000 | 5,866,783 | ||
5.875% 3/15/11 | 2,077,000 | 2,161,540 | ||
RSC Equipment Rental, Inc. 10% 7/15/17 (h) | 1,170,000 | 1,240,200 | ||
Tenneco, Inc. 8.625% 11/15/14 | 1,750,000 | 1,531,250 | ||
The Goodyear Tire & Rubber Co. 10.5% 5/15/16 | 2,120,000 | 2,268,400 | ||
TRW Automotive, Inc. 7% 3/15/14 (h) | 900,000 | 783,000 | ||
| 16,628,573 | |||
Automobiles - 0.0% | ||||
Ford Motor Co.: | ||||
6.375% 2/1/29 | 1,465,000 | 981,550 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Automobiles - continued | ||||
Ford Motor Co.: - continued | ||||
6.625% 10/1/28 | $ 2,475,000 | $ 1,683,000 | ||
7.45% 7/16/31 | 2,200,000 | 1,683,000 | ||
| 4,347,550 | |||
Diversified Consumer Services - 0.0% | ||||
Affinion Group, Inc.: | ||||
10.125% 10/15/13 (h) | 1,070,000 | 1,061,975 | ||
11.5% 10/15/15 | 1,005,000 | 964,800 | ||
Service Corp. International 7.5% 4/1/27 | 1,935,000 | 1,635,075 | ||
ServiceMaster Co. 10.75% 7/15/15 pay-in-kind (h) | 970,000 | 853,600 | ||
Trustees of Dartmouth College 4.75% 6/1/19 | 1,000 | 1,036 | ||
| 4,516,486 | |||
Hotels, Restaurants & Leisure - 0.6% | ||||
Ameristar Casinos, Inc. 9.25% 6/1/14 (h) | 2,020,000 | 2,060,400 | ||
Carrols Corp. 9% 1/15/13 | 85,000 | 82,663 | ||
Chukchansi Economic Development Authority 8% 11/15/13 (h) | 565,000 | 452,000 | ||
Harrah's Escrow Corp. 11.25% 6/1/17 (h) | 2,635,000 | 2,687,700 | ||
Host Marriott LP: | ||||
6.375% 3/15/15 | 250,000 | 230,000 | ||
7.125% 11/1/13 | 5,360,000 | 5,199,200 | ||
ITT Corp. 7.375% 11/15/15 | 1,130,000 | 1,076,325 | ||
Landry's Restaurants, Inc. 14% 8/15/11 | 1,800,000 | 1,795,500 | ||
Mashantucket Western Pequot Tribe 8.5% 11/15/15 (h) | 4,330,000 | 909,300 | ||
McDonald's Corp. 5.35% 3/1/18 | 2,339,000 | 2,512,219 | ||
MGM Mirage, Inc.: | ||||
8.375% 2/1/11 | 645,000 | 541,800 | ||
8.5% 9/15/10 | 735,000 | 712,950 | ||
Mohegan Tribal Gaming Authority: | ||||
6.125% 2/15/13 | 4,175,000 | 3,423,500 | ||
6.875% 2/15/15 | 210,000 | 144,900 | ||
7.125% 8/15/14 | 1,350,000 | 945,000 | ||
Park Place Entertainment Corp. 7.875% 3/15/10 | 480,000 | 465,600 | ||
Penn National Gaming, Inc. 8.75% 8/15/19 (h) | 2,695,000 | 2,695,000 | ||
Pinnacle Entertainment, Inc. 8.625% 8/1/17 (h) | 2,520,000 | 2,494,800 | ||
Royal Caribbean Cruises Ltd.: | ||||
7.25% 3/15/18 | 465,000 | 365,025 | ||
11.875% 7/15/15 | 1,450,000 | 1,479,000 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Hotels, Restaurants & Leisure - continued | ||||
Royal Caribbean Cruises Ltd.: - continued | ||||
yankee: | ||||
7% 6/15/13 | $ 3,000,000 | $ 2,662,500 | ||
7.25% 6/15/16 | 4,285,000 | 3,492,275 | ||
7.5% 10/15/27 | 2,025,000 | 1,420,031 | ||
Scientific Games Corp.: | ||||
7.875% 6/15/16 (h) | 2,145,000 | 2,043,113 | ||
9.25% 6/15/19 (h) | 1,845,000 | 1,863,450 | ||
Seminole Hard Rock Entertainment, Inc. 3.1294% 3/15/14 (h)(o) | 3,010,000 | 2,287,600 | ||
Seneca Gaming Corp.: | ||||
Series B, 7.25% 5/1/12 | 945,000 | 888,300 | ||
7.25% 5/1/12 | 1,760,000 | 1,654,400 | ||
Snoqualmie Entertainment Authority: | ||||
4.68% 2/1/14 (h)(o) | 140,000 | 68,600 | ||
9.125% 2/1/15 (h) | 1,100,000 | 605,000 | ||
Speedway Motorsports, Inc. 8.75% 6/1/16 (h) | 1,855,000 | 1,887,463 | ||
Starwood Hotels & Resorts Worldwide, Inc.: | ||||
6.25% 2/15/13 | 1,200,000 | 1,131,000 | ||
7.875% 5/1/12 | 2,095,000 | 2,105,475 | ||
7.875% 10/15/14 | 2,635,000 | 2,621,825 | ||
Times Square Hotel Trust 8.528% 8/1/26 (h) | 108,352 | 99,207 | ||
Town Sports International Holdings, Inc. 11% 2/1/14 | 2,270,000 | 1,112,300 | ||
Universal City Development Partners Ltd./UCDP Finance, Inc. 11.75% 4/1/10 | 480,000 | 478,800 | ||
Universal City Florida Holding Co. I/II 8.375% 5/1/10 | 3,025,000 | 2,737,625 | ||
Wendy's/Arby's Restaurants LLC 10% 7/15/16 (h) | 3,465,000 | 3,568,950 | ||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.: | ||||
6.625% 12/1/14 | 4,685,000 | 4,312,075 | ||
| 67,312,871 | |||
Household Durables - 0.3% | ||||
D.R. Horton, Inc. 6.5% 4/15/16 | 1,170,000 | 1,082,250 | ||
Fortune Brands, Inc.: | ||||
5.125% 1/15/11 | 4,239,000 | 4,314,997 | ||
5.875% 1/15/36 | 13,274,000 | 11,099,639 | ||
6.375% 6/15/14 | 6,250,000 | 6,387,050 | ||
KB Home 5.875% 1/15/15 | 720,000 | 669,600 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Household Durables - continued | ||||
Lennar Corp. 12.25% 6/1/17 (h) | $ 2,145,000 | $ 2,477,475 | ||
Reliance Intermediate Holdings LP 9.5% 12/15/19 (h) | 3,055,000 | 3,039,725 | ||
Ryland Group, Inc. 8.4% 5/15/17 | 1,855,000 | 1,873,550 | ||
Sealy Mattress Co. 8.25% 6/15/14 | 1,090,000 | 956,475 | ||
| 31,900,761 | |||
Media - 2.0% | ||||
AMC Entertainment, Inc. 8.75% 6/1/19 | 2,740,000 | 2,712,600 | ||
AOL Time Warner, Inc.: | ||||
6.75% 4/15/11 | 1,882,000 | 2,000,782 | ||
6.875% 5/1/12 | 2,441,000 | 2,669,524 | ||
7.625% 4/15/31 | 500,000 | 549,083 | ||
Cablemas SA de CV 9.375% 11/15/15 (Reg. S) | 1,795,000 | 1,934,113 | ||
Charter Communications Holdings I LLC: | ||||
9.92% 4/1/14 (c) | 1,495,000 | 13,081 | ||
11.125% 1/15/14 (c) | 505,000 | 4,419 | ||
Charter Communications Holdings I LLC/Charter Communications Holdings I Capital Corp. 11% 10/1/15 (c) | 5,490,000 | 768,600 | ||
Charter Communications Holdings II LLC/Charter Communications Holdings II Capital Corp. 10.25% 9/15/10 (c) | 3,865,000 | 4,294,981 | ||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.: | ||||
10% 4/30/12 (h)(o) | 3,865,000 | 3,903,650 | ||
10.375% 4/30/14 (h)(o) | 2,220,000 | 2,247,750 | ||
12.875% 9/15/14 (h) | 890,000 | 965,650 | ||
Clear Channel Communications, Inc.: | ||||
4.5% 1/15/10 | 1,060,000 | 935,450 | ||
7.65% 9/15/10 | 710,000 | 532,500 | ||
Comcast Cable Communications, Inc. 6.75% 1/30/11 | 511,000 | 543,423 | ||
Comcast Corp.: | ||||
4.95% 6/15/16 | 1,879,000 | 1,905,774 | ||
5.5% 3/15/11 | 382,000 | 400,901 | ||
5.7% 5/15/18 | 11,968,000 | 12,637,753 | ||
5.85% 1/15/10 | 61,000 | 62,104 | ||
6.45% 3/15/37 | 8,838,000 | 9,427,618 | ||
6.55% 7/1/39 | 9,000,000 | 9,743,382 | ||
COX Communications, Inc.: | ||||
4.625% 1/15/10 | 2,141,000 | 2,164,808 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Media - continued | ||||
COX Communications, Inc.: - continued | ||||
4.625% 6/1/13 | $ 4,467,000 | $ 4,603,503 | ||
6.25% 6/1/18 (h) | 1,055,000 | 1,122,791 | ||
6.45% 12/1/36 (h) | 913,000 | 936,639 | ||
6.95% 6/1/38 (h) | 452,000 | 493,932 | ||
CSC Holdings, Inc.: | ||||
6.75% 4/15/12 | 3,945,000 | 3,964,725 | ||
8.5% 4/15/14 (h) | 2,105,000 | 2,141,838 | ||
8.5% 6/15/15 (h) | 2,340,000 | 2,363,400 | ||
8.625% 2/15/19 (h) | 4,030,000 | 4,090,450 | ||
EchoStar Communications Corp.: | ||||
6.375% 10/1/11 | 4,340,000 | 4,345,425 | ||
7% 10/1/13 | 6,765,000 | 6,629,700 | ||
7.125% 2/1/16 | 1,345,000 | 1,291,200 | ||
7.75% 5/31/15 | 1,810,000 | 1,782,850 | ||
Interpublic Group of Companies, Inc.: | ||||
6.25% 11/15/14 | 1,310,000 | 1,208,475 | ||
10% 7/15/17 (h) | 1,130,000 | 1,180,850 | ||
Kabel Deutschland GmbH 10.625% 7/1/14 | 4,825,000 | 5,018,000 | ||
Lamar Media Corp.: | ||||
Series B, 6.625% 8/15/15 | 535,000 | 468,125 | ||
6.625% 8/15/15 | 1,030,000 | 921,850 | ||
9.75% 4/1/14 (h) | 1,830,000 | 1,939,800 | ||
Liberty Media Corp.: | ||||
5.7% 5/15/13 | 1,415,000 | 1,344,250 | ||
8.25% 2/1/30 | 245,000 | 186,200 | ||
Marquee Holdings, Inc. 12% 8/15/14 (f) | 2,965,000 | 2,453,538 | ||
News America Holdings, Inc. 7.75% 12/1/45 | 170,000 | 178,040 | ||
News America, Inc.: | ||||
4.75% 3/15/10 | 244,000 | 244,928 | ||
5.3% 12/15/14 | 876,000 | 939,063 | ||
6.15% 3/1/37 | 2,970,000 | 2,868,910 | ||
6.2% 12/15/34 | 5,330,000 | 5,172,594 | ||
6.65% 11/15/37 | 15,817,000 | 16,265,349 | ||
6.9% 3/1/19 (h) | 4,805,000 | 5,412,986 | ||
Nielsen Finance LLC/Nielsen Finance Co.: | ||||
0% 8/1/16 (e) | 6,505,000 | 4,520,975 | ||
10% 8/1/14 | 3,975,000 | 3,736,500 | ||
11.5% 5/1/16 | 2,225,000 | 2,213,875 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Media - continued | ||||
Nielsen Finance LLC/Nielsen Finance Co.: - continued | ||||
11.625% 2/1/14 | $ 2,325,000 | $ 2,307,563 | ||
Quebecor Media, Inc.: | ||||
7.75% 3/15/16 | 4,712,000 | 4,417,500 | ||
7.75% 3/15/16 | 2,485,000 | 2,329,688 | ||
Regal Cinemas Corp. 8.625% 7/15/19 (h) | 2,615,000 | 2,667,300 | ||
The Reader's Digest Association, Inc. 9% 2/15/17 (c) | 2,805,000 | 66,619 | ||
Time Warner Cable, Inc.: | ||||
5.4% 7/2/12 | 2,444,000 | 2,607,003 | ||
5.85% 5/1/17 | 2,607,000 | 2,737,772 | ||
6.2% 7/1/13 | 2,324,000 | 2,511,349 | ||
6.75% 7/1/18 | 13,473,000 | 14,883,879 | ||
7.3% 7/1/38 | 7,850,000 | 8,882,032 | ||
8.75% 2/14/19 | 2,390,000 | 2,942,140 | ||
Time Warner, Inc.: | ||||
5.875% 11/15/16 | 4,296,000 | 4,488,637 | ||
6.5% 11/15/36 | 11,565,000 | 11,646,163 | ||
TL Acquisitions, Inc.: | ||||
10.5% 1/15/15 (h) | 4,895,000 | 4,454,450 | ||
13.25% 7/15/15 (h) | 1,600,000 | 1,448,000 | ||
Univision Communications, Inc. 12% 7/1/14 (h) | 985,000 | 1,034,250 | ||
UPC Holding BV 9.875% 4/15/18 (h) | 3,250,000 | 3,274,375 | ||
Viacom, Inc.: | ||||
6.125% 10/5/17 | 4,235,000 | 4,476,158 | ||
6.25% 4/30/16 | 5,600,000 | 6,007,898 | ||
6.75% 10/5/37 | 1,460,000 | 1,529,262 | ||
Videotron Ltd.: | ||||
9.125% 4/15/18 (h) | 1,680,000 | 1,768,200 | ||
9.125% 4/15/18 | 1,630,000 | 1,711,500 | ||
Visant Holding Corp. 8.75% 12/1/13 | 450,000 | 454,500 | ||
| 239,104,945 | |||
Multiline Retail - 0.1% | ||||
Dollar General Corp. 10.625% 7/15/15 | 1,995,000 | 2,214,450 | ||
Federated Retail Holdings, Inc. 5.9% 12/1/16 | 1,625,000 | 1,432,433 | ||
Macy's Retail Holdings, Inc. 8.875% 7/15/15 | 1,055,000 | 1,068,392 | ||
Matahari Finance BV 9.5% 10/6/09 | 1,095,000 | 1,095,000 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Multiline Retail - continued | ||||
Neiman Marcus Group, Inc.: | ||||
9% 10/15/15 pay-in-kind (f) | $ 1,164,015 | $ 869,519 | ||
10.375% 10/15/15 | 1,130,000 | 858,800 | ||
| 7,538,594 | |||
Specialty Retail - 0.1% | ||||
Ltd. Brands, Inc. 8.5% 6/15/19 (h) | 1,265,000 | 1,258,675 | ||
Michaels Stores, Inc. 10% 11/1/14 | 1,705,000 | 1,628,275 | ||
Sally Holdings LLC 9.25% 11/15/14 | 3,215,000 | 3,319,488 | ||
Toys 'R' Us, Inc.: | ||||
7.375% 10/15/18 | 735,000 | 540,225 | ||
7.625% 8/1/11 | 4,470,000 | 4,201,800 | ||
| 10,948,463 | |||
Textiles, Apparel & Luxury Goods - 0.1% | ||||
Hanesbrands, Inc. 4.5925% 12/15/14 (o) | 2,020,000 | 1,737,200 | ||
Levi Strauss & Co.: | ||||
8.875% 4/1/16 | 1,285,000 | 1,285,000 | ||
9.75% 1/15/15 | 4,055,000 | 4,115,825 | ||
| 7,138,025 | |||
TOTAL CONSUMER DISCRETIONARY | 389,436,268 | |||
CONSUMER STAPLES - 1.7% | ||||
Beverages - 0.4% | ||||
Anheuser-Busch InBev Worldwide, Inc.: | ||||
6.875% 11/15/19 (h) | 13,000,000 | 14,541,553 | ||
7.75% 1/15/19 (h) | 4,750,000 | 5,561,737 | ||
Constellation Brands, Inc.: | ||||
7.25% 9/1/16 | 3,135,000 | 3,033,113 | ||
7.25% 5/15/17 | 495,000 | 478,913 | ||
8.375% 12/15/14 | 2,835,000 | 2,877,525 | ||
Diageo Capital PLC 5.2% 1/30/13 | 1,037,000 | 1,107,352 | ||
FBG Finance Ltd. 5.125% 6/15/15 (h) | 2,936,000 | 3,007,295 | ||
PepsiCo, Inc. 7.9% 11/1/18 | 9,430,000 | 11,892,890 | ||
| 42,500,378 | |||
Food & Staples Retailing - 0.3% | ||||
Albertsons, Inc.: | ||||
7.45% 8/1/29 | 250,000 | 203,125 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
CONSUMER STAPLES - continued | ||||
Food & Staples Retailing - continued | ||||
Albertsons, Inc.: - continued | ||||
7.75% 6/15/26 | $ 600,000 | $ 513,000 | ||
8% 5/1/31 | 2,385,000 | 2,068,988 | ||
CVS Caremark Corp.: | ||||
0.9675% 6/1/10 (o) | 2,296,000 | 2,291,746 | ||
6.036% 12/10/28 | 14,222,232 | 13,423,227 | ||
6.302% 6/1/37 (o) | 13,351,000 | 10,547,290 | ||
SUPERVALU, Inc.: | ||||
7.5% 5/15/12 | 315,000 | 318,150 | ||
7.5% 11/15/14 | 1,595,000 | 1,571,075 | ||
8% 5/1/16 | 4,285,000 | 4,242,150 | ||
The Great Atlantic & Pacific Tea Co. 11.375% 8/1/15 (h) | 2,330,000 | 2,295,050 | ||
| 37,473,801 | |||
Food Products - 0.5% | ||||
Cargill, Inc.: | ||||
6% 11/27/17 (h) | 9,457,000 | 10,120,957 | ||
6.625% 9/15/37 (h) | 8,334,000 | 8,654,426 | ||
Dean Foods Co.: | ||||
6.9% 10/15/17 | 4,565,000 | 4,154,150 | ||
7% 6/1/16 | 2,740,000 | 2,561,900 | ||
General Mills, Inc.: | ||||
5.2% 3/17/15 | 7,738,000 | 8,329,129 | ||
5.65% 2/15/19 | 1,586,000 | 1,713,687 | ||
H.J. Heinz Finance Co. 7.125% 8/1/39 (h) | 4,605,000 | 5,407,380 | ||
Kraft Foods, Inc.: | ||||
5.625% 11/1/11 | 3,660,000 | 3,947,167 | ||
6.125% 2/1/18 | 5,261,000 | 5,757,538 | ||
6.75% 2/19/14 | 540,000 | 612,850 | ||
National Beef Packing Co. LLC/National Beef Finance Corp. 10.5% 8/1/11 | 1,595,000 | 1,575,063 | ||
Smithfield Foods, Inc. 10% 7/15/14 (h) | 1,055,000 | 1,060,275 | ||
| 53,894,522 | |||
Personal Products - 0.0% | ||||
Avon Products, Inc. 4.8% 3/1/13 | 1,789,000 | 1,901,213 | ||
Revlon Consumer Products Corp. 9.5% 4/1/11 | 3,075,000 | 2,902,031 | ||
| 4,803,244 | |||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
CONSUMER STAPLES - continued | ||||
Tobacco - 0.5% | ||||
Altria Group, Inc.: | ||||
9.7% 11/10/18 | $ 22,622,000 | $ 27,672,248 | ||
9.95% 11/10/38 | 7,025,000 | 9,259,112 | ||
Philip Morris International, Inc.: | ||||
4.875% 5/16/13 | 9,347,000 | 9,950,919 | ||
5.65% 5/16/18 | 7,161,000 | 7,615,487 | ||
Reynolds American, Inc.: | ||||
6.75% 6/15/17 | 2,926,000 | 2,981,424 | ||
7.25% 6/15/37 | 4,865,000 | 4,679,201 | ||
| 62,158,391 | |||
TOTAL CONSUMER STAPLES | 200,830,336 | |||
ENERGY - 3.4% | ||||
Energy Equipment & Services - 0.2% | ||||
Compagnie Generale de Geophysique SA: | ||||
7.5% 5/15/15 | 1,375,000 | 1,292,500 | ||
7.75% 5/15/17 | 1,955,000 | 1,867,025 | ||
DCP Midstream LLC 9.75% 3/15/19 (h) | 4,663,000 | 5,543,603 | ||
Helix Energy Solutions Group, Inc. 9.5% 1/15/16 (h) | 1,295,000 | 1,204,350 | ||
Transocean Ltd. 5.25% 3/15/13 | 3,466,000 | 3,649,407 | ||
Weatherford International Ltd.: | ||||
4.95% 10/15/13 | 1,742,000 | 1,798,155 | ||
5.15% 3/15/13 | 2,277,000 | 2,372,723 | ||
7% 3/15/38 | 5,880,000 | 6,080,002 | ||
9.625% 3/1/19 | 1,500,000 | 1,822,293 | ||
| 25,630,058 | |||
Oil, Gas & Consumable Fuels - 3.2% | ||||
Anadarko Petroleum Corp.: | ||||
5.95% 9/15/16 | 14,836,000 | 15,428,416 | ||
6.45% 9/15/36 | 2,115,000 | 2,093,581 | ||
Arch Coal, Inc. 8.75% 8/1/16 (h) | 1,545,000 | 1,545,000 | ||
Arch Western Finance LLC 6.75% 7/1/13 | 1,600,000 | 1,532,000 | ||
Atlas Pipeline Partners LP 8.125% 12/15/15 | 1,610,000 | 1,304,100 | ||
Berry Petroleum Co. 10.25% 6/1/14 | 975,000 | 1,018,875 | ||
BW Group Ltd. 6.625% 6/28/17 (h) | 2,957,000 | 2,498,665 | ||
Canadian Natural Resources Ltd.: | ||||
5.15% 2/1/13 | 4,498,000 | 4,705,061 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Canadian Natural Resources Ltd.: - continued | ||||
5.7% 5/15/17 | $ 16,009,000 | $ 16,767,651 | ||
Chesapeake Energy Corp.: | ||||
6.5% 8/15/17 | 3,485,000 | 3,101,650 | ||
6.875% 1/15/16 | 580,000 | 530,700 | ||
7.25% 12/15/18 | 1,600,000 | 1,460,000 | ||
7.5% 9/15/13 | 2,265,000 | 2,208,375 | ||
7.5% 6/15/14 | 1,790,000 | 1,736,300 | ||
7.625% 7/15/13 | 895,000 | 879,338 | ||
9.5% 2/15/15 | 8,575,000 | 8,746,500 | ||
ConocoPhillips: | ||||
4.6% 1/15/15 | 10,000,000 | 10,648,720 | ||
4.75% 2/1/14 | 1,055,000 | 1,131,175 | ||
5.75% 2/1/19 | 2,930,000 | 3,208,350 | ||
Denbury Resources, Inc. 9.75% 3/1/16 | 1,060,000 | 1,120,950 | ||
Drummond Co., Inc. 7.375% 2/15/16 (h) | 5,390,000 | 4,689,300 | ||
Duke Capital LLC: | ||||
6.25% 2/15/13 | 1,000,000 | 1,068,380 | ||
6.75% 2/15/32 | 10,542,000 | 10,102,304 | ||
Duke Energy Field Services: | ||||
5.375% 10/15/15 (h) | 1,222,000 | 1,189,981 | ||
6.45% 11/3/36 (h) | 2,400,000 | 2,164,243 | ||
6.875% 2/1/11 | 2,313,000 | 2,411,989 | ||
7.875% 8/16/10 | 1,037,000 | 1,085,816 | ||
El Paso Corp. 8.25% 2/15/16 | 875,000 | 875,000 | ||
El Paso Energy Corp. 7.75% 1/15/32 | 1,315,000 | 1,170,951 | ||
El Paso Natural Gas Co. 5.95% 4/15/17 | 935,000 | 960,770 | ||
El Paso Performance-Linked Trust 7.75% 7/15/11 (h) | 3,100,000 | 2,991,500 | ||
Empresa Nacional de Petroleo 6.75% 11/15/12 (h) | 1,694,000 | 1,822,475 | ||
Enbridge Energy Partners LP: | ||||
5.875% 12/15/16 | 1,806,000 | 1,803,063 | ||
6.5% 4/15/18 | 2,372,000 | 2,491,200 | ||
EnCana Holdings Finance Corp. 5.8% 5/1/14 | 2,888,000 | 3,140,154 | ||
Enterprise Products Operating LP: | ||||
4.625% 10/15/09 | 1,947,000 | 1,950,259 | ||
5.6% 10/15/14 | 1,955,000 | 2,067,831 | ||
5.65% 4/1/13 | 697,000 | 740,593 | ||
Forest Oil Corp.: | ||||
7.25% 6/15/19 | 1,080,000 | 1,015,200 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Forest Oil Corp.: - continued | ||||
7.75% 5/1/14 | $ 1,005,000 | $ 949,725 | ||
8.5% 2/15/14 (h) | 4,070,000 | 4,090,350 | ||
Frontier Oil Corp. 8.5% 9/15/16 | 1,950,000 | 1,979,250 | ||
Gazstream SA 5.625% 7/22/13 (h) | 823,342 | 823,342 | ||
Gulf South Pipeline Co. LP 5.75% 8/15/12 (h) | 3,863,000 | 4,010,111 | ||
KazMunaiGaz Finance Sub BV: | ||||
8.375% 7/2/13 (h) | 2,025,000 | 1,974,375 | ||
9.125% 7/2/18 (h) | 1,015,000 | 979,475 | ||
11.75% 1/23/15 (h) | 1,085,000 | 1,177,225 | ||
Lukoil International Finance BV 6.656% 6/7/22 (h) | 1,222,000 | 1,105,910 | ||
Massey Energy Co. 6.875% 12/15/13 | 4,845,000 | 4,554,300 | ||
Nakilat, Inc. 6.067% 12/31/33 (h) | 4,384,000 | 3,650,425 | ||
National Gas Co. of Trinidad & Tobago Ltd. 6.05% 1/15/36 (h) | 240,000 | 187,272 | ||
Newfield Exploration Co. 7.125% 5/15/18 | 2,330,000 | 2,283,400 | ||
Nexen, Inc.: | ||||
5.05% 11/20/13 | 3,845,000 | 3,948,850 | ||
5.2% 3/10/15 | 909,000 | 918,974 | ||
5.875% 3/10/35 | 240,000 | 211,072 | ||
6.4% 5/15/37 | 3,645,000 | 3,372,704 | ||
NGPL PipeCo LLC 6.514% 12/15/12 (h) | 8,163,000 | 8,833,395 | ||
Overseas Shipholding Group, Inc.: | ||||
7.5% 2/15/24 | 500,000 | 400,000 | ||
8.75% 12/1/13 | 610,000 | 588,650 | ||
Pemex Project Funding Master Trust: | ||||
1.9294% 6/15/10 (h)(o) | 1,245,000 | 1,241,888 | ||
6.625% 6/15/35 | 625,000 | 569,239 | ||
Petro-Canada: | ||||
6.05% 5/15/18 | 3,850,000 | 3,988,831 | ||
6.8% 5/15/38 | 18,950,000 | 20,056,794 | ||
Petrobras International Finance Co. Ltd. 7.875% 3/15/19 | 10,219,000 | 11,521,923 | ||
Petrohawk Energy Corp.: | ||||
7.875% 6/1/15 | 1,485,000 | 1,440,450 | ||
9.125% 7/15/13 | 4,270,000 | 4,312,700 | ||
10.5% 8/1/14 (h) | 3,025,000 | 3,176,250 | ||
Petroleos de Venezuela SA: | ||||
5.25% 4/12/17 | 15,845,000 | 8,714,750 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Petroleos de Venezuela SA: - continued | ||||
5.375% 4/12/27 | $ 3,795,000 | $ 1,631,850 | ||
Petroleos Mexicanos 8% 5/3/19 (h) | 657,000 | 739,125 | ||
Petroleum Co. of Trinidad & Tobago Ltd. (Reg. S) 6% 5/8/22 | 795,000 | 719,475 | ||
Petroleum Development Corp. 12% 2/15/18 | 1,605,000 | 1,492,650 | ||
Pioneer Natural Resources Co. 6.65% 3/15/17 | 2,935,000 | 2,685,525 | ||
Plains All American Pipeline LP: | ||||
6.125% 1/15/17 | 6,185,000 | 6,390,936 | ||
6.65% 1/15/37 | 4,430,000 | 4,612,813 | ||
7.75% 10/15/12 | 2,358,000 | 2,606,929 | ||
Plains Exploration & Production Co.: | ||||
7% 3/15/17 | 5,005,000 | 4,617,113 | ||
7.75% 6/15/15 | 485,000 | 470,450 | ||
10% 3/1/16 | 3,215,000 | 3,391,825 | ||
Quicksilver Resources, Inc.: | ||||
7.125% 4/1/16 | 1,975,000 | 1,659,000 | ||
9.125% 8/15/19 | 2,040,000 | 1,983,900 | ||
11.75% 1/1/16 | 2,255,000 | 2,395,938 | ||
Range Resources Corp.: | ||||
6.375% 3/15/15 (Reg. S) | 2,355,000 | 2,219,588 | ||
7.375% 7/15/13 | 2,060,000 | 2,049,700 | ||
7.5% 5/15/16 | 2,250,000 | 2,205,000 | ||
Ras Laffan Liquid Natural Gas Co. Ltd. 8.294% 3/15/14 (h) | 2,987,000 | 3,252,195 | ||
Ras Laffan Liquid Natural Gas Co. Ltd. III: | ||||
4.5% 9/30/12 (h) | 4,773,000 | 4,891,833 | ||
5.5% 9/30/14 (h) | 6,670,000 | 6,902,096 | ||
5.832% 9/30/16 (h) | 1,343,000 | 1,379,301 | ||
6.332% 9/30/27 (h) | 1,840,000 | 1,694,419 | ||
6.75% 9/30/19 (h) | 5,651,000 | 5,906,357 | ||
Rockies Express Pipeline LLC 6.25% 7/15/13 (h) | 2,720,000 | 2,931,067 | ||
SandRidge Energy, Inc.: | ||||
4.2219% 4/1/14 (o) | 1,675,000 | 1,381,875 | ||
8.625% 4/1/15 pay-in-kind (o) | 2,925,000 | 2,764,125 | ||
Ship Finance International Ltd. 8.5% 12/15/13 | 2,065,000 | 1,899,800 | ||
Source Gas LLC 5.9% 4/1/17 (h) | 3,544,000 | 2,876,746 | ||
Southwestern Energy Co. 7.5% 2/1/18 (h) | 2,315,000 | 2,315,000 | ||
Spectra Energy Capital, LLC 6.2% 4/15/18 | 14,500,000 | 15,339,869 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Suncor Energy, Inc. 6.1% 6/1/18 | $ 10,851,000 | $ 11,365,327 | ||
Targa Resources Partners LP/Targa Resources Partners Finance Corp. 11.25% 7/15/17 (h) | 1,910,000 | 1,919,550 | ||
Teekay Corp. 8.875% 7/15/11 | 2,115,000 | 2,104,425 | ||
TEPPCO Partners LP: | ||||
5.9% 4/15/13 | 3,239,000 | 3,484,724 | ||
6.65% 4/15/18 | 4,741,000 | 5,110,812 | ||
7.55% 4/15/38 | 9,095,000 | 10,619,877 | ||
Texas Eastern Transmission LP 6% 9/15/17 (h) | 5,990,000 | 6,443,695 | ||
TNK-BP Finance SA 7.5% 3/13/13 (Reg. S) | 3,225,000 | 3,208,875 | ||
TransCanada PipeLines Ltd. 6.35% 5/15/67 (o) | 2,371,000 | 1,991,640 | ||
XTO Energy, Inc.: | ||||
5% 1/31/15 | 1,749,000 | 1,827,719 | ||
5.65% 4/1/16 | 1,200,000 | 1,256,702 | ||
5.9% 8/1/12 | 4,452,000 | 4,815,550 | ||
YPF SA 10% 11/2/28 | 2,325,000 | 2,104,125 | ||
| 378,127,567 | |||
TOTAL ENERGY | 403,757,625 | |||
FINANCIALS - 9.6% | ||||
Capital Markets - 2.2% | ||||
Bear Stearns Companies, Inc.: | ||||
0.645% 10/22/10 (o) | 2,340,000 | 2,337,583 | ||
0.9025% 9/9/09 (o) | 1,271,000 | 1,271,015 | ||
4.245% 1/7/10 | 1,217,000 | 1,223,529 | ||
4.5% 10/28/10 | 1,833,000 | 1,903,486 | ||
5.3% 10/30/15 | 1,170,000 | 1,185,848 | ||
5.85% 7/19/10 | 3,769,000 | 3,873,096 | ||
6.95% 8/10/12 | 10,980,000 | 12,267,504 | ||
BlackRock, Inc. 6.25% 9/15/17 | 14,822,000 | 15,591,380 | ||
Goldman Sachs Group, Inc.: | ||||
5.25% 10/15/13 | 5,903,000 | 6,231,018 | ||
5.625% 1/15/17 | 3,200,000 | 3,181,878 | ||
5.95% 1/18/18 | 3,989,000 | 4,152,585 | ||
6% 5/1/14 | 9,300,000 | 10,027,288 | ||
6.15% 4/1/18 | 4,275,000 | 4,512,609 | ||
6.75% 10/1/37 | 28,895,000 | 28,929,067 | ||
7.5% 2/15/19 | 1,757,000 | 2,022,825 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Capital Markets - continued | ||||
Janus Capital Group, Inc.: | ||||
6.125% 9/15/11 (f) | $ 2,399,000 | $ 2,375,526 | ||
6.5% 6/15/12 | 4,172,000 | 4,134,160 | ||
JPMorgan Chase Capital XX 6.55% 9/29/36 | 10,020,000 | 8,732,961 | ||
JPMorgan Chase Capital XXV 6.8% 10/1/37 | 7,405,000 | 6,978,368 | ||
Lazard Group LLC: | ||||
6.85% 6/15/17 | 3,840,000 | 3,757,256 | ||
7.125% 5/15/15 | 1,377,000 | 1,383,247 | ||
Merrill Lynch & Co., Inc.: | ||||
5.45% 2/5/13 | 17,070,000 | 17,356,418 | ||
6.15% 4/25/13 | 4,271,000 | 4,446,700 | ||
6.4% 8/28/17 | 2,720,000 | 2,680,552 | ||
6.875% 4/25/18 | 4,701,000 | 4,800,102 | ||
Morgan Stanley: | ||||
0.7875% 1/9/12 (o) | 9,924,000 | 9,594,186 | ||
0.8375% 1/9/14 (o) | 5,002,000 | 4,628,471 | ||
4.75% 4/1/14 | 2,429,000 | 2,411,431 | ||
5.05% 1/21/11 | 3,045,000 | 3,144,846 | ||
5.25% 11/2/12 | 244,000 | 258,010 | ||
5.45% 1/9/17 | 2,238,000 | 2,219,315 | ||
5.95% 12/28/17 | 5,050,000 | 5,163,751 | ||
6% 5/13/14 | 7,810,000 | 8,281,638 | ||
6.6% 4/1/12 | 5,719,000 | 6,214,185 | ||
6.625% 4/1/18 | 15,268,000 | 16,314,453 | ||
6.75% 4/15/11 | 836,000 | 889,079 | ||
7.3% 5/13/19 | 8,304,000 | 9,247,592 | ||
Northern Trust Corp.: | ||||
4.625% 5/1/14 | 1,762,000 | 1,870,907 | ||
5.5% 8/15/13 | 2,560,000 | 2,792,438 | ||
Scotland International Finance No. 2 BV 7.7% 8/15/10 (h) | 978,000 | 984,113 | ||
The Bank of New York, Inc. 4.95% 11/1/12 | 3,864,000 | 4,182,409 | ||
UBS AG Stamford Branch: | ||||
5.75% 4/25/18 | 16,505,000 | 16,214,826 | ||
5.875% 12/20/17 | 15,572,000 | 15,429,392 | ||
| 265,197,043 | |||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Commercial Banks - 1.5% | ||||
American Express Bank FSB: | ||||
5.5% 4/16/13 | $ 4,091,000 | $ 4,245,055 | ||
6% 9/13/17 | 10,621,000 | 10,480,229 | ||
ANZ National International Ltd. 6.2% 7/19/13 (h) | 1,099,000 | 1,181,315 | ||
Bank of America NA: | ||||
5.3% 3/15/17 | 3,315,000 | 3,049,701 | ||
6% 10/15/36 | 690,000 | 638,812 | ||
Bank One Corp.: | ||||
5.25% 1/30/13 | 930,000 | 982,903 | ||
7.875% 8/1/10 | 691,000 | 730,761 | ||
BB&T Capital Trust IV 6.82% 6/12/77 (o) | 2,314,000 | 1,920,620 | ||
BB&T Corp. 6.5% 8/1/11 | 1,243,000 | 1,300,199 | ||
Chase Manhattan Corp. 7.875% 6/15/10 | 1,553,000 | 1,631,694 | ||
Credit Suisse First Boston 6% 2/15/18 | 16,107,000 | 16,565,792 | ||
Credit Suisse First Boston New York Branch 5% 5/15/13 | 9,569,000 | 10,158,785 | ||
Credit Suisse New York Branch 5.5% 5/1/14 | 5,590,000 | 6,007,864 | ||
DBS Bank Ltd. (Singapore) 0.66% 5/16/17 (h)(o) | 3,914,986 | 3,484,338 | ||
Development Bank of Philippines 8.375% (o) | 1,355,000 | 1,321,125 | ||
EXIM of Ukraine: | ||||
7.65% 9/7/11 (Issued by Credit Suisse London Branch for EXIM Ukraine) | 5,710,000 | 5,139,000 | ||
7.75% 9/23/09 (Issued by Dresdner Bank AG for EXIM Ukraine) | 2,684,000 | 2,630,320 | ||
Export-Import Bank of Korea: | ||||
5.125% 2/14/11 | 2,920,000 | 2,960,340 | ||
5.25% 2/10/14 (h) | 565,000 | 564,095 | ||
5.5% 10/17/12 | 2,256,000 | 2,332,458 | ||
Fifth Third Bancorp: | ||||
4.5% 6/1/18 | 123,000 | 90,873 | ||
8.25% 3/1/38 | 2,099,000 | 1,864,672 | ||
HBOS PLC 6.75% 5/21/18 (h) | 6,067,000 | 5,059,757 | ||
HSBC Holdings PLC: | ||||
0.7775% 10/6/16 (o) | 1,143,000 | 1,059,129 | ||
6.5% 9/15/37 | 8,400,000 | 8,687,221 | ||
HSBK (Europe) B.V. 9.25% 10/16/13 (h) | 3,405,000 | 3,047,475 | ||
JPMorgan Chase Bank 6% 10/1/17 | 2,095,000 | 2,208,536 | ||
JSC Halyk Bank of Kazakhstan (Reg. S) 8.125% 10/7/09 | 1,495,000 | 1,465,100 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Commercial Banks - continued | ||||
KeyBank NA: | ||||
5.8% 7/1/14 | $ 3,619,000 | $ 3,487,341 | ||
7% 2/1/11 | 1,124,000 | 1,144,071 | ||
Korea Development Bank 4.625% 9/16/10 | 1,833,000 | 1,848,568 | ||
Manufacturers & Traders Trust Co. 2.0969% 4/1/13 (h)(o) | 720,797 | 586,288 | ||
National City Bank, Cleveland 4.5% 3/15/10 | 2,943,000 | 2,984,505 | ||
PNC Funding Corp.: | ||||
0.6275% 1/31/12 (o) | 5,982,000 | 5,689,528 | ||
7.5% 11/1/09 | 2,026,000 | 2,043,655 | ||
RSHB Capital SA 9% 6/11/14 (h) | 605,000 | 642,813 | ||
Santander Issuances SA Unipersonal: | ||||
0.9688% 6/20/16 (h)(o) | 3,253,827 | 2,993,980 | ||
5.805% 6/20/16 (h)(o) | 4,204,000 | 3,452,535 | ||
Sovereign Bank 2.1931% 8/1/13 (o) | 985 | 937 | ||
Standard Chartered Bank 6.4% 9/26/17 (h) | 13,265,000 | 12,898,209 | ||
UniCredit Luxembourg Finance SA 5.584% 1/13/17 (h)(o) | 2,933,000 | 2,572,197 | ||
Union Planters Corp. 7.75% 3/1/11 | 600,000 | 581,728 | ||
UnionBanCal Corp. 5.25% 12/16/13 | 662,000 | 615,197 | ||
Vimpel Communications 8.375% 10/22/11 (Reg. S) (Issued by UBS Luxembourg SA for Vimpel Communications) | 660,000 | 683,100 | ||
Wachovia Bank NA: | ||||
4.875% 2/1/15 | 1,408,000 | 1,415,415 | ||
6.6% 1/15/38 | 9,000,000 | 9,279,820 | ||
Wachovia Corp.: | ||||
0.6331% 4/23/12 (o) | 543,000 | 523,998 | ||
0.6394% 10/15/11 (o) | 4,016,000 | 3,914,295 | ||
5.625% 10/15/16 | 3,399,000 | 3,389,938 | ||
5.75% 6/15/17 | 2,933,000 | 3,093,200 | ||
Wells Fargo & Co.: | ||||
4.2% 1/15/10 | 2,635,000 | 2,661,202 | ||
5.625% 12/11/17 | 10,423,000 | 10,920,928 | ||
Wells Fargo Bank NA, San Francisco 6.45% 2/1/11 | 580,000 | 606,802 | ||
| 178,838,419 | |||
Consumer Finance - 1.6% | ||||
American General Finance Corp. 6.9% 12/15/17 | 5,510,000 | 3,402,243 | ||
Capital One Bank USA NA 8.8% 7/15/19 | 6,680,000 | 7,156,872 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Consumer Finance - continued | ||||
Capital One Financial Corp.: | ||||
0.93% 9/10/09 (o) | $ 3,277,000 | $ 3,276,400 | ||
5.7% 9/15/11 | 5,251,000 | 5,418,250 | ||
7.375% 5/23/14 | 7,440,000 | 8,115,894 | ||
Discover Financial Services: | ||||
1.1688% 6/11/10 (o) | 4,022,000 | 3,919,242 | ||
6.45% 6/12/17 | 9,775,000 | 8,522,979 | ||
10.25% 7/15/19 | 11,010,000 | 12,058,725 | ||
Ford Motor Credit Co. LLC: | ||||
7.25% 10/25/11 | 8,405,000 | 7,903,600 | ||
7.5% 8/1/12 | 3,600,000 | 3,312,000 | ||
8% 6/1/14 | 3,390,000 | 3,129,987 | ||
8% 12/15/16 | 2,135,000 | 1,870,565 | ||
8.625% 11/1/10 | 1,075,000 | 1,073,884 | ||
12% 5/15/15 | 3,440,000 | 3,577,600 | ||
General Electric Capital Corp.: | ||||
5.625% 9/15/17 | 5,858,000 | 5,870,882 | ||
5.625% 5/1/18 | 25,000,000 | 24,894,125 | ||
5.875% 1/14/38 | 14,000,000 | 12,427,870 | ||
5.9% 5/13/14 | 10,290,000 | 10,997,036 | ||
6.375% 11/15/67 (o) | 9,000,000 | 7,267,500 | ||
General Motors Acceptance Corp.: | ||||
6.875% 9/15/11 | 975,000 | 887,250 | ||
6.875% 8/28/12 | 2,800,000 | 2,436,000 | ||
GMAC LLC: | ||||
6.625% 5/15/12 | 435,000 | 379,538 | ||
6.75% 12/1/14 (h) | 5,125,000 | 4,202,500 | ||
6.875% 9/15/11 (h) | 2,920,000 | 2,686,400 | ||
8% 11/1/31 (h) | 3,500,000 | 2,730,000 | ||
Household Finance Corp.: | ||||
6.375% 10/15/11 | 1,860,000 | 1,953,846 | ||
7% 5/15/12 | 468,000 | 504,184 | ||
HSBC Finance Corp.: | ||||
5.25% 1/14/11 | 1,308,000 | 1,340,765 | ||
5.25% 1/15/14 | 1,054,000 | 1,074,708 | ||
MBNA America Bank NA 7.125% 11/15/12 (h) | 693,000 | 718,904 | ||
MBNA Corp. 7.5% 3/15/12 | 1,608,000 | 1,696,651 | ||
Nissan Motor Acceptance Corp. 4.625% 3/8/10 (h) | 4,245,000 | 4,208,947 | ||
ORIX Corp. 5.48% 11/22/11 | 385,000 | 379,997 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Consumer Finance - continued | ||||
SLM Corp.: | ||||
0.6638% 7/26/10 (o) | $ 8,343,000 | $ 7,633,261 | ||
0.7338% 10/25/11 (o) | 12,343,000 | 9,775,347 | ||
0.8294% 3/15/11 (o) | 112,000 | 96,486 | ||
4.5% 7/26/10 | 7,157,000 | 6,847,274 | ||
Systems 2001 Asset Trust LLC 7.156% 12/15/11 (h) | 368,851 | 364,510 | ||
| 184,112,222 | |||
Diversified Financial Services - 1.3% | ||||
Bank of America Corp. 5.75% 12/1/17 | 4,590,000 | 4,464,877 | ||
Calpine Construction Finance Co. LP 8% 6/1/16 (h) | 2,835,000 | 2,806,650 | ||
CIT Group, Inc.: | ||||
4.75% 12/15/10 | 1,085,000 | 657,050 | ||
5.2% 11/3/10 | 1,265,000 | 760,833 | ||
5.4% 3/7/13 | 1,005,000 | 568,326 | ||
5.6% 4/27/11 | 740,000 | 441,570 | ||
7.625% 11/30/12 | 1,985,000 | 1,124,636 | ||
Citigroup, Inc.: | ||||
0.5194% 5/18/11 (o) | 2,811,000 | 2,689,809 | ||
5.3% 10/17/12 | 14,295,000 | 14,440,795 | ||
5.5% 4/11/13 | 13,549,000 | 13,485,984 | ||
6.125% 5/15/18 | 15,634,000 | 14,699,806 | ||
6.5% 1/18/11 | 1,307,000 | 1,350,732 | ||
6.5% 8/19/13 | 6,153,000 | 6,318,147 | ||
CME Group, Inc. 5.75% 2/15/14 | 506,000 | 553,034 | ||
GlaxoSmithKline Capital, Inc. 5.65% 5/15/18 | 8,874,000 | 9,681,410 | ||
Hilcorp Energy I LP/Hilcorp Finance Co.: | ||||
7.75% 11/1/15 (h) | 3,410,000 | 3,145,725 | ||
9% 6/1/16 (h) | 150,000 | 143,250 | ||
ILFC E-Capital Trust I 5.9% 12/21/65 (h)(o) | 2,996,000 | 1,258,320 | ||
International Lease Finance Corp.: | ||||
5.4% 2/15/12 | 2,864,000 | 2,363,914 | ||
5.65% 6/1/14 | 10,520,000 | 7,895,460 | ||
6.375% 3/25/13 | 1,503,000 | 1,179,383 | ||
6.625% 11/15/13 | 2,721,000 | 2,106,955 | ||
JPMorgan Chase & Co.: | ||||
4.65% 6/1/14 | 13,500,000 | 14,095,809 | ||
4.891% 9/1/15 (o) | 2,729,000 | 2,463,635 | ||
5.6% 6/1/11 | 2,139,000 | 2,257,631 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Diversified Financial Services - continued | ||||
JPMorgan Chase & Co.: - continued | ||||
5.75% 1/2/13 | $ 2,217,000 | $ 2,365,794 | ||
6.75% 2/1/11 | 376,000 | 400,235 | ||
Leucadia National Corp.: | ||||
7% 8/15/13 | 1,550,000 | 1,472,500 | ||
7.125% 3/15/17 | 835,000 | 759,850 | ||
NSG Holdings II, LLC 7.75% 12/15/25 (h) | 6,440,000 | 5,377,400 | ||
OAO TMK 8.5% 9/29/09 (Issued by TMK Capital SA for OAO TMK) | 1,800,000 | 1,793,250 | ||
Prime Property Funding, Inc.: | ||||
5.125% 6/1/15 (h) | 1,090,000 | 772,303 | ||
5.5% 1/15/14 (h) | 695,000 | 531,090 | ||
5.7% 4/15/17 (h) | 1,696,000 | 1,072,927 | ||
SIRENS B.V. Series 2007-2 Class A1, 2.31% 4/13/10 (h)(o) | 10,000,000 | 9,213,000 | ||
Sunwest Management, Inc. 8.385% 6/9/10 (c)(o) | 325,000 | 162,500 | ||
TMK Capital SA 10% 7/29/11 | 2,800,000 | 2,709,000 | ||
TransCapitalInvest Ltd. 5.67% 3/5/14 (h) | 3,238,000 | 3,116,575 | ||
ZFS Finance USA Trust I 6.15% 12/15/65 (h)(o) | 5,692,000 | 4,952,040 | ||
ZFS Finance USA Trust II 6.45% 12/15/65 (h)(o) | 5,755,000 | 5,006,850 | ||
ZFS Finance USA Trust IV 5.875% 5/9/62 (h)(o) | 1,673,000 | 1,340,843 | ||
ZFS Finance USA Trust V 6.5% 5/9/67 (h)(o) | 3,125,000 | 2,437,500 | ||
| 154,437,398 | |||
Insurance - 1.1% | ||||
Allstate Corp.: | ||||
5.55% 5/9/35 | 7,505,000 | 7,216,020 | ||
6.2% 5/16/14 | 6,893,000 | 7,506,215 | ||
7.45% 5/16/19 | 6,826,000 | 7,886,392 | ||
American International Group, Inc. 8.175% 5/15/68 (o) | 7,875,000 | 3,701,250 | ||
Assurant, Inc.: | ||||
5.625% 2/15/14 | 1,912,000 | 1,955,393 | ||
6.75% 2/15/34 | 1,967,000 | 1,572,797 | ||
Axis Capital Holdings Ltd. 5.75% 12/1/14 | 558,000 | 564,480 | ||
Great-West Life & Annuity Insurance Co. 7.153% 5/16/46 (h)(o) | 1,491,000 | 1,177,890 | ||
Jackson National Life Global Funding 5.375% 5/8/13 (h) | 753,000 | 750,107 | ||
Liberty Mutual Group, Inc. 6.5% 3/15/35 (h) | 594,000 | 434,927 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Insurance - continued | ||||
Massachusetts Mutual Life Insurance Co. 8.875% 6/1/39 (h) | $ 8,000,000 | $ 8,977,496 | ||
Merna Reinsurance Ltd. Series 2007-1 Class B, 2.3475% 6/30/12 (h)(o) | 7,114,000 | 6,845,091 | ||
MetLife, Inc.: | ||||
5% 6/15/15 | 1,163,000 | 1,207,549 | ||
6.125% 12/1/11 | 990,000 | 1,058,056 | ||
6.75% 6/1/16 | 7,610,000 | 8,324,533 | ||
7.717% 2/15/19 | 10,958,000 | 12,817,562 | ||
Metropolitan Life Global Funding I: | ||||
4.625% 8/19/10 (h) | 3,299,000 | 3,319,200 | ||
5.125% 4/10/13 (h) | 559,000 | 575,089 | ||
5.125% 6/10/14 (h) | 6,751,000 | 7,035,116 | ||
Monumental Global Funding II 5.65% 7/14/11 (h) | 1,652,000 | 1,688,417 | ||
Monumental Global Funding III 5.5% 4/22/13 (h) | 2,202,000 | 2,227,836 | ||
Pacific Life Global Funding 5.15% 4/15/13 (h) | 11,281,000 | 11,385,394 | ||
Pacific Life Insurance Co. 9.25% 6/15/39 (h) | 9,490,000 | 10,066,024 | ||
Prudential Financial, Inc.: | ||||
5.15% 1/15/13 | 2,167,000 | 2,183,491 | ||
5.4% 6/13/35 | 452,000 | 373,128 | ||
5.5% 3/15/16 | 425,000 | 419,730 | ||
5.7% 12/14/36 | 384,000 | 337,002 | ||
6.2% 1/15/15 | 1,180,000 | 1,236,114 | ||
7.375% 6/15/19 | 3,230,000 | 3,510,390 | ||
8.875% 6/15/68 (o) | 2,972,000 | 2,749,100 | ||
QBE Insurance Group Ltd. 5.647% 7/1/23 (h)(o) | 3,342,000 | 2,704,574 | ||
Symetra Financial Corp. 6.125% 4/1/16 (h) | 5,181,000 | 4,190,113 | ||
The Chubb Corp.: | ||||
5.75% 5/15/18 | 4,035,000 | 4,378,370 | ||
6.5% 5/15/38 | 3,390,000 | 3,860,010 | ||
The St. Paul Travelers Companies, Inc. 8.125% 4/15/10 | 1,249,000 | 1,296,446 | ||
| 135,531,302 | |||
Real Estate Investment Trusts - 1.0% | ||||
AMB Property LP 5.9% 8/15/13 | 2,580,000 | 2,403,502 | ||
Arden Realty LP 5.2% 9/1/11 | 1,339,000 | 1,385,864 | ||
AvalonBay Communities, Inc.: | ||||
4.95% 3/15/13 | 367,000 | 367,927 | ||
5.5% 1/15/12 | 3,337,000 | 3,463,763 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Real Estate Investment Trusts - continued | ||||
Brandywine Operating Partnership LP: | ||||
4.5% 11/1/09 | $ 3,087,000 | $ 3,084,336 | ||
5.625% 12/15/10 | 4,079,000 | 4,064,662 | ||
5.7% 5/1/17 | 5,943,000 | 4,976,858 | ||
5.75% 4/1/12 | 2,463,000 | 2,401,629 | ||
BRE Properties, Inc. 5.75% 9/1/09 | 611,000 | 611,000 | ||
Camden Property Trust: | ||||
4.375% 1/15/10 | 1,479,000 | 1,489,187 | ||
5.375% 12/15/13 | 656,000 | 646,268 | ||
5.875% 11/30/12 | 2,958,000 | 3,040,102 | ||
Colonial Properties Trust 6.875% 8/15/12 | 4,000,000 | 3,950,000 | ||
Colonial Realty LP 6.05% 9/1/16 | 2,000,000 | 1,747,402 | ||
CPG Partners LP 6% 1/15/13 | 1,017,000 | 1,019,894 | ||
Developers Diversified Realty Corp.: | ||||
4.625% 8/1/10 | 3,013,000 | 2,911,938 | ||
5% 5/3/10 | 2,241,000 | 2,177,761 | ||
5.25% 4/15/11 | 2,432,000 | 2,298,128 | ||
5.375% 10/15/12 | 1,286,000 | 1,168,136 | ||
Duke Realty LP: | ||||
4.625% 5/15/13 | 627,000 | 588,281 | ||
5.25% 1/15/10 | 453,000 | 454,223 | ||
5.4% 8/15/14 | 5,247,000 | 4,933,660 | ||
5.625% 8/15/11 | 2,957,000 | 2,986,795 | ||
5.875% 8/15/12 | 1,009,000 | 1,011,696 | ||
5.95% 2/15/17 | 699,000 | 629,008 | ||
6.25% 5/15/13 | 14,190,000 | 14,260,158 | ||
6.5% 1/15/18 | 3,795,000 | 3,491,389 | ||
Equity One, Inc.: | ||||
6% 9/15/17 | 854,000 | 748,031 | ||
6.25% 1/15/17 | 494,000 | 446,535 | ||
Federal Realty Investment Trust: | ||||
5.4% 12/1/13 | 413,000 | 406,479 | ||
6% 7/15/12 | 2,933,000 | 3,025,252 | ||
6.2% 1/15/17 | 620,000 | 580,332 | ||
Highwoods/Forsyth LP 5.85% 3/15/17 | 80,000 | 70,881 | ||
HMB Capital Trust V 4.2294% 12/15/36 (c)(h)(o) | 270,000 | 27 | ||
Host Hotels & Resorts LP: | ||||
6.875% 11/1/14 | 835,000 | 793,250 | ||
9% 5/15/17 (h) | 2,135,000 | 2,177,700 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Real Estate Investment Trusts - continued | ||||
HRPT Properties Trust: | ||||
5.75% 11/1/15 | $ 890,000 | $ 774,005 | ||
6.25% 6/15/17 | 1,232,000 | 1,082,004 | ||
6.65% 1/15/18 | 618,000 | 539,800 | ||
Liberty Property LP: | ||||
5.125% 3/2/15 | 848,000 | 784,079 | ||
5.5% 12/15/16 | 1,487,000 | 1,308,200 | ||
6.625% 10/1/17 | 3,785,000 | 3,491,125 | ||
Liberty Property Trust 8.5% 8/1/10 | 6,245,000 | 6,459,990 | ||
Mack-Cali Realty LP: | ||||
5.05% 4/15/10 | 811,000 | 813,418 | ||
7.75% 2/15/11 | 976,000 | 1,026,099 | ||
Omega Healthcare Investors, Inc.: | ||||
7% 4/1/14 | 5,850,000 | 5,469,750 | ||
7% 1/15/16 | 1,960,000 | 1,773,800 | ||
Reckson Operating Partnership LP 6% 3/31/16 | 3,651,000 | 2,962,633 | ||
Rouse Co.: | ||||
5.375% 11/26/13 (c) | 145,000 | 109,475 | ||
7.2% 9/15/12 (c) | 10,000 | 7,700 | ||
Senior Housing Properties Trust 8.625% 1/15/12 | 250,000 | 250,000 | ||
Simon Property Group LP: | ||||
4.6% 6/15/10 | 1,096,000 | 1,117,610 | ||
4.875% 8/15/10 | 675,000 | 691,640 | ||
5% 3/1/12 | 363,000 | 372,144 | ||
5.375% 6/1/11 | 621,000 | 638,605 | ||
5.6% 9/1/11 | 2,718,000 | 2,817,965 | ||
5.75% 5/1/12 | 1,267,000 | 1,328,790 | ||
7.75% 1/20/11 | 821,000 | 865,591 | ||
Tanger Properties LP 6.15% 11/15/15 | 24,000 | 22,574 | ||
UDR, Inc. 5.5% 4/1/14 | 2,755,000 | 2,657,789 | ||
Ventas Realty LP: | ||||
6.5% 6/1/16 | 105,000 | 97,650 | ||
6.5% 6/1/16 | 450,000 | 418,500 | ||
6.625% 10/15/14 | 2,515,000 | 2,389,250 | ||
6.75% 4/1/17 | 30,000 | 27,975 | ||
Washington (REIT) 5.95% 6/15/11 | 3,637,000 | 3,591,767 | ||
| 123,701,982 | |||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Real Estate Management & Development - 0.3% | ||||
American Real Estate Partners/American Real Estate Finance Corp.: | ||||
7.125% 2/15/13 | $ 11,615,000 | $ 11,034,250 | ||
8.125% 6/1/12 | 3,265,000 | 3,216,025 | ||
ERP Operating LP: | ||||
5.25% 9/15/14 | 1,310,000 | 1,305,208 | ||
5.375% 8/1/16 | 2,681,000 | 2,569,865 | ||
5.5% 10/1/12 | 3,655,000 | 3,814,292 | ||
5.75% 6/15/17 | 9,733,000 | 9,431,929 | ||
Forest City Enterprises, Inc. 7.625% 6/1/15 | 100,000 | 62,750 | ||
Post Apartment Homes LP: | ||||
5.45% 6/1/12 | 1,355,000 | 1,296,392 | ||
6.3% 6/1/13 | 2,397,000 | 2,344,045 | ||
Regency Centers LP: | ||||
4.95% 4/15/14 | 611,000 | 546,945 | ||
5.25% 8/1/15 | 2,133,000 | 1,916,859 | ||
5.875% 6/15/17 | 1,056,000 | 952,695 | ||
| 38,491,255 | |||
Thrifts & Mortgage Finance - 0.6% | ||||
Bank of America Corp.: | ||||
4.9% 5/1/13 | 7,817,000 | 7,891,449 | ||
5.65% 5/1/18 | 13,300,000 | 12,860,342 | ||
6.5% 8/1/16 | 9,000,000 | 9,274,410 | ||
7.375% 5/15/14 | 13,211,000 | 14,484,501 | ||
7.625% 6/1/19 | 12,000,000 | 13,212,072 | ||
Countrywide Financial Corp. 5.8% 6/7/12 | 2,916,000 | 3,025,630 | ||
Countrywide Home Loans, Inc. 4% 3/22/11 | 4,327,000 | 4,368,959 | ||
Independence Community Bank Corp.: | ||||
2.4169% 4/1/14 (o) | 4,218,000 | 3,726,540 | ||
4.9% 9/23/10 | 1,696,000 | 1,751,120 | ||
Wrightwood Capital LLC 10.5% 6/1/14 (c)(h) | 100,000 | 38,000 | ||
| 70,633,023 | |||
TOTAL FINANCIALS | 1,150,942,644 | |||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
HEALTH CARE - 1.0% | ||||
Biotechnology - 0.0% | ||||
Amgen, Inc. 5.85% 6/1/17 | $ 2,956,000 | $ 3,264,544 | ||
Health Care Equipment & Supplies - 0.1% | ||||
Biomet, Inc.: | ||||
10% 10/15/17 | 4,825,000 | 5,030,063 | ||
10.375% 10/15/17 pay-in-kind (o) | 3,155,000 | 3,257,538 | ||
11.625% 10/15/17 | 5,185,000 | 5,444,250 | ||
Inverness Medical Innovations, Inc. 9% 5/15/16 | 2,790,000 | 2,776,050 | ||
| 16,507,901 | |||
Health Care Providers & Services - 0.6% | ||||
Community Health Systems, Inc. 8.875% 7/15/15 | 7,875,000 | 7,894,688 | ||
Coventry Health Care, Inc.: | ||||
5.95% 3/15/17 | 1,747,000 | 1,557,492 | ||
6.3% 8/15/14 | 3,618,000 | 3,297,471 | ||
Express Scripts, Inc.: | ||||
5.25% 6/15/12 | 7,157,000 | 7,591,788 | ||
6.25% 6/15/14 | 4,238,000 | 4,631,685 | ||
7.25% 6/15/19 | 2,744,000 | 3,182,176 | ||
HCA, Inc.: | ||||
6.5% 2/15/16 | 3,305,000 | 2,842,300 | ||
7.875% 2/15/20 (h) | 1,855,000 | 1,820,219 | ||
8.5% 4/15/19 (h) | 3,030,000 | 3,048,938 | ||
9.125% 11/15/14 | 3,905,000 | 3,963,575 | ||
9.25% 11/15/16 | 4,905,000 | 4,954,050 | ||
9.625% 11/15/16 pay-in-kind (o) | 11,255,066 | 11,353,548 | ||
9.875% 2/15/17 (h) | 540,000 | 553,500 | ||
HealthSouth Corp. 10.75% 6/15/16 | 2,310,000 | 2,442,825 | ||
Psychiatric Solutions, Inc.: | ||||
7.75% 7/15/15 | 985,000 | 925,900 | ||
7.75% 7/15/15 (h) | 775,000 | 724,625 | ||
Rural/Metro Corp. 0% 3/15/16 (e) | 995,000 | 840,775 | ||
Select Medical Corp. 7.625% 2/1/15 | 1,090,000 | 993,263 | ||
Skilled Healthcare Group, Inc. 11% 1/15/14 | 64,000 | 65,280 | ||
Sun Healthcare Group, Inc. 9.125% 4/15/15 | 10,000 | 9,750 | ||
Tenet Healthcare Corp. 8.875% 7/1/19 (h) | 980,000 | 1,004,500 | ||
United Surgical Partners International, Inc. 9.25% 5/1/17 pay-in-kind (o) | 900,000 | 778,500 | ||
Viant Holdings, Inc. 10.125% 7/15/17 (h) | 71,000 | 66,740 | ||
| 64,543,588 | |||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
HEALTH CARE - continued | ||||
Health Care Technology - 0.1% | ||||
DJO Finance LLC / DJO Finance Corp. 10.875% 11/15/14 | $ 7,885,000 | $ 7,589,313 | ||
Pharmaceuticals - 0.2% | ||||
AstraZeneca PLC: | ||||
5.9% 9/15/17 | 3,520,000 | 3,911,466 | ||
6.45% 9/15/37 | 2,600,000 | 3,057,772 | ||
Bristol-Myers Squibb Co. 5.45% 5/1/18 | 2,932,000 | 3,195,631 | ||
Novartis Capital Corp. 4.125% 2/10/14 | 2,930,000 | 3,073,371 | ||
Roche Holdings, Inc. 5% 3/1/14 (h) | 5,943,000 | 6,428,888 | ||
Teva Pharmaceutical Finance LLC 5.55% 2/1/16 | 958,000 | 1,023,278 | ||
Valeant Pharmaceuticals International 8.375% 6/15/16 (h) | 3,170,000 | 3,233,400 | ||
| 23,923,806 | |||
TOTAL HEALTH CARE | 115,829,152 | |||
INDUSTRIALS - 1.3% | ||||
Aerospace & Defense - 0.2% | ||||
BAE Systems Holdings, Inc.: | ||||
4.75% 8/15/10 (h) | 2,640,000 | 2,684,489 | ||
6.375% 6/1/19 (h) | 8,071,000 | 8,755,945 | ||
6.4% 12/15/11 (h) | 818,000 | 876,804 | ||
BE Aerospace, Inc. 8.5% 7/1/18 | 2,405,000 | 2,368,925 | ||
Bombardier, Inc.: | ||||
6.3% 5/1/14 (h) | 340,000 | 314,500 | ||
6.75% 5/1/12 (h) | 2,140,000 | 2,091,850 | ||
7.45% 5/1/34 (h) | 205,000 | 161,950 | ||
8% 11/15/14 (h) | 915,000 | 893,269 | ||
DigitalGlobe, Inc. 10.5% 5/1/14 (h) | 1,315,000 | 1,367,600 | ||
| 19,515,332 | |||
Airlines - 0.4% | ||||
American Airlines, Inc. pass-thru trust certificates: | ||||
6.817% 5/23/11 | 3,390,000 | 2,949,300 | ||
6.977% 11/23/22 | 1,075,983 | 688,629 | ||
6.978% 10/1/12 | 395,515 | 379,694 | ||
7.024% 4/15/11 | 2,830,000 | 2,815,850 | ||
7.858% 4/1/13 | 5,433,000 | 5,188,515 | ||
8.608% 10/1/12 | 960,000 | 806,400 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
INDUSTRIALS - continued | ||||
Airlines - continued | ||||
American Airlines, Inc. pass-thru trust certificates: - continued | ||||
10.375% 7/2/19 | $ 1,905,000 | $ 1,981,200 | ||
AMR Corp. 9% 8/1/12 | 485,000 | 206,125 | ||
Continental Airlines, Inc.: | ||||
pass-thru trust certificates: | ||||
7.566% 9/15/21 | 382,027 | 324,723 | ||
7.73% 9/15/12 | 18,833 | 16,385 | ||
7.875% 7/2/18 | 1,512,164 | 998,028 | ||
9.558% 9/1/19 | 237,842 | 147,462 | ||
9.798% 4/1/21 | 761,126 | 471,898 | ||
6.648% 3/15/19 | 3,081,540 | 2,650,124 | ||
6.82% 5/1/18 | 221,731 | 184,037 | ||
6.9% 7/2/19 | 855,847 | 744,587 | ||
7.056% 3/15/11 | 1,759,000 | 1,750,205 | ||
Delta Air Lines, Inc. pass-thru trust certificates: | ||||
6.821% 8/10/22 | 364,146 | 325,911 | ||
7.57% 11/18/10 | 11,576,000 | 11,286,600 | ||
8.021% 8/10/22 | 1,770,357 | 1,239,250 | ||
8.954% 8/10/14 | 2,446,576 | 1,761,535 | ||
Northwest Airlines, Inc. pass-thru trust certificates 8.028% 11/1/17 | 1,096,013 | 745,289 | ||
U.S. Airways pass-thru trust certificates: | ||||
6.85% 7/30/19 | 2,181,448 | 1,679,715 | ||
8.36% 7/20/20 | 1,464,646 | 1,215,656 | ||
United Air Lines, Inc. pass-thru trust certificates: | ||||
Class B, 7.336% 7/2/19 | 874,635 | 524,781 | ||
6.071% 9/1/14 | 48,780 | 48,537 | ||
6.201% 3/1/10 | 31,134 | 30,667 | ||
6.602% 9/1/13 | 88,349 | 87,024 | ||
7.032% 4/1/12 | 310,921 | 307,812 | ||
7.186% 10/1/12 | 773,330 | 763,664 | ||
| 42,319,603 | |||
Building Products - 0.1% | ||||
Masco Corp. 0.9388% 3/12/10 (o) | 3,759,949 | 3,692,597 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
INDUSTRIALS - continued | ||||
Building Products - continued | ||||
Owens Corning: | ||||
6.5% 12/1/16 | $ 1,835,000 | $ 1,739,626 | ||
9% 6/15/19 | 725,000 | 746,750 | ||
| 6,178,973 | |||
Commercial Services & Supplies - 0.2% | ||||
ARAMARK Corp.: | ||||
3.9831% 2/1/15 (o) | 4,985,000 | 4,249,713 | ||
8.5% 2/1/15 | 2,775,000 | 2,684,813 | ||
Casella Waste Systems, Inc. 11% 7/15/14 (h) | 675,000 | 698,625 | ||
Cenveo Corp. 7.875% 12/1/13 | 1,090,000 | 812,050 | ||
Clean Harbors, Inc. 7.625% 8/15/16 (h) | 1,060,000 | 1,065,300 | ||
Corrections Corp. of America 6.25% 3/15/13 | 1,280,000 | 1,251,200 | ||
Iron Mountain, Inc.: | ||||
6.625% 1/1/16 | 3,100,000 | 2,929,500 | ||
7.75% 1/15/15 | 2,545,000 | 2,538,638 | ||
JohnsonDiversey, Inc. 9.625% 5/15/12 | 775,000 | 786,625 | ||
Rental Service Corp. 9.5% 12/1/14 | 2,860,000 | 2,581,150 | ||
| 19,597,614 | |||
Construction & Engineering - 0.0% | ||||
Toys 'R' Us Property Co. I LLC 10.75% 7/15/17 (h) | 3,495,000 | 3,547,425 | ||
Electrical Equipment - 0.0% | ||||
Sensus Metering Systems, Inc. 8.625% 12/15/13 | 4,885,000 | 4,787,300 | ||
Industrial Conglomerates - 0.2% | ||||
Covidien International Finance SA: | ||||
5.15% 10/15/10 | 2,528,000 | 2,632,058 | ||
5.45% 10/15/12 | 618,000 | 673,560 | ||
6% 10/15/17 | 2,929,000 | 3,224,603 | ||
General Electric Co. 5.25% 12/6/17 | 17,730,000 | 18,101,975 | ||
Sequa Corp.: | ||||
11.75% 12/1/15 (h) | 1,415,000 | 877,300 | ||
13.5% 12/1/15 pay-in-kind (h) | 805,100 | 390,876 | ||
| 25,900,372 | |||
Machinery - 0.1% | ||||
Atlas Copco AB 5.6% 5/22/17 (h) | 611,000 | 622,396 | ||
Case Corp. 7.25% 1/15/16 | 1,705,000 | 1,624,013 | ||
Case New Holland, Inc. 7.75% 9/1/13 (h) | 2,355,000 | 2,319,675 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
INDUSTRIALS - continued | ||||
Machinery - continued | ||||
RBS Global, Inc. / Rexnord Corp.: | ||||
9.5% 8/1/14 | $ 885,000 | $ 805,350 | ||
9.5% 8/1/14 (h) | 652,000 | 596,580 | ||
11.75% 8/1/16 | 1,070,000 | 898,800 | ||
Terex Corp. 8% 11/15/17 | 2,830,000 | 2,405,500 | ||
| 9,272,314 | |||
Marine - 0.0% | ||||
Navios Maritime Holdings, Inc. 9.5% 12/15/14 | 3,070,000 | 2,686,250 | ||
Professional Services - 0.0% | ||||
Altegrity, Inc.: | ||||
10.5% 11/1/15 (h) | 1,250,000 | 1,034,375 | ||
11.75% 5/1/16 (h) | 950,000 | 724,375 | ||
FTI Consulting, Inc.: | ||||
7.625% 6/15/13 | 2,105,000 | 2,062,900 | ||
7.75% 10/1/16 | 765,000 | 738,225 | ||
| 4,559,875 | |||
Road & Rail - 0.1% | ||||
Avis Budget Car Rental LLC/Avis Budget Finance, Inc.: | ||||
7.625% 5/15/14 | 2,140,000 | 1,712,000 | ||
7.75% 5/15/16 | 3,495,000 | 2,704,256 | ||
Hertz Corp.: | ||||
8.875% 1/1/14 | 6,310,000 | 5,994,500 | ||
10.5% 1/1/16 | 2,385,000 | 2,343,263 | ||
Kansas City Southern Railway Co. 8% 6/1/15 | 2,410,000 | 2,361,800 | ||
| 15,115,819 | |||
Trading Companies & Distributors - 0.0% | ||||
VWR Funding, Inc. 11.25% 7/15/15 pay-in-kind (f) | 2,515,000 | 2,175,475 | ||
TOTAL INDUSTRIALS | 155,656,352 | |||
INFORMATION TECHNOLOGY - 0.5% | ||||
Communications Equipment - 0.1% | ||||
Cisco Systems, Inc. 4.95% 2/15/19 | 766,000 | 799,473 | ||
Lucent Technologies, Inc.: | ||||
6.45% 3/15/29 | 3,775,000 | 2,567,000 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
INFORMATION TECHNOLOGY - continued | ||||
Communications Equipment - continued | ||||
Lucent Technologies, Inc.: - continued | ||||
6.5% 1/15/28 | $ 1,940,000 | $ 1,319,200 | ||
Nokia Corp. 5.375% 5/15/19 | 7,297,000 | 7,647,562 | ||
| 12,333,235 | |||
Computers & Peripherals - 0.0% | ||||
Seagate Technology HDD Holdings: | ||||
6.375% 10/1/11 | 1,445,000 | 1,416,100 | ||
6.8% 10/1/16 | 4,400,000 | 4,004,000 | ||
Seagate Technology International 10% 5/1/14 (h) | 1,455,000 | 1,556,850 | ||
| 6,976,950 | |||
Electronic Equipment & Components - 0.1% | ||||
Jabil Circuit, Inc.: | ||||
7.75% 7/15/16 | 2,915,000 | 2,867,631 | ||
8.25% 3/15/18 | 2,360,000 | 2,324,600 | ||
Tyco Electronics Group SA: | ||||
5.95% 1/15/14 | 2,950,000 | 2,996,114 | ||
6% 10/1/12 | 3,877,000 | 4,011,164 | ||
6.55% 10/1/17 | 2,360,000 | 2,345,120 | ||
7.125% 10/1/37 | 1,895,000 | 1,895,072 | ||
| 16,439,701 | |||
Internet Software & Services - 0.0% | ||||
Terremark Worldwide, Inc. 12% 6/15/17 (h) | 3,465,000 | 3,638,250 | ||
IT Services - 0.1% | ||||
Ceridian Corp. 11.25% 11/15/15 | 1,795,000 | 1,525,750 | ||
First Data Corp. 9.875% 9/24/15 | 4,450,000 | 3,782,500 | ||
Iron Mountain, Inc. 8% 6/15/20 | 1,205,000 | 1,168,850 | ||
SunGard Data Systems, Inc. 10.25% 8/15/15 | 990,000 | 980,100 | ||
| 7,457,200 | |||
Office Electronics - 0.1% | ||||
Xerox Capital Trust I 8% 2/1/27 | 7,485,000 | 6,010,305 | ||
Xerox Corp. 5.5% 5/15/12 | 1,602,000 | 1,670,075 | ||
| 7,680,380 | |||
Semiconductors & Semiconductor Equipment - 0.1% | ||||
Amkor Technology, Inc.: | ||||
7.75% 5/15/13 | 2,930,000 | 2,871,400 | ||
9.25% 6/1/16 | 2,610,000 | 2,616,525 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
INFORMATION TECHNOLOGY - continued | ||||
Semiconductors & Semiconductor Equipment - continued | ||||
Avago Technologies Finance Ltd. 10.125% 12/1/13 | $ 1,020,000 | $ 1,065,900 | ||
National Semiconductor Corp. 0.8794% 6/15/10 (o) | 3,100,704 | 2,986,896 | ||
| 9,540,721 | |||
TOTAL INFORMATION TECHNOLOGY | 64,066,437 | |||
MATERIALS - 1.8% | ||||
Chemicals - 0.5% | ||||
Ashland, Inc. 9.125% 6/1/17 (h) | 1,095,000 | 1,149,750 | ||
Berry Plastics Corp. 5.2594% 2/15/15 (o) | 1,975,000 | 1,767,625 | ||
Chemtura Corp. 6.875% 6/1/16 (c) | 595,000 | 541,450 | ||
Dow Chemical Co.: | ||||
4.85% 8/15/12 | 9,460,000 | 9,689,405 | ||
7.6% 5/15/14 | 15,028,000 | 16,227,385 | ||
8.55% 5/15/19 | 10,360,000 | 11,284,682 | ||
E.I. du Pont de Nemours & Co. 5% 1/15/13 | 254,000 | 274,927 | ||
Huntsman International LLC 7.875% 11/15/14 | 480,000 | 424,800 | ||
Inergy LP/Inergy Finance Corp. 8.75% 3/1/15 (h) | 2,130,000 | 2,177,925 | ||
JohnsonDiversey Holdings, Inc. 10.67% 5/15/13 | 480,000 | 448,800 | ||
Lubrizol Corp. 8.875% 2/1/19 | 928,000 | 1,144,067 | ||
Momentive Performance Materials, Inc. 9.75% 12/1/14 | 2,675,000 | 1,685,250 | ||
Nalco Co.: | ||||
7.75% 11/15/11 | 386,000 | 386,000 | ||
8.25% 5/15/17 (h) | 2,595,000 | 2,692,313 | ||
8.875% 11/15/13 | 1,270,000 | 1,279,525 | ||
NOVA Chemicals Corp.: | ||||
4.5375% 11/15/13 (o) | 2,720,000 | 2,393,600 | ||
6.5% 1/15/12 | 4,240,000 | 4,070,400 | ||
Pliant Corp. 11.125% 6/15/49 (c) | 60,320 | 7,238 | ||
| 57,645,142 | |||
Construction Materials - 0.0% | ||||
CRH America, Inc. 6% 9/30/16 | 1,833,000 | 1,799,260 | ||
Containers & Packaging - 0.2% | ||||
Ball Corp. 7.125% 9/1/16 | 2,355,000 | 2,366,775 | ||
BWAY Corp. 10% 4/15/14 (h) | 1,600,000 | 1,664,000 | ||
Cascades, Inc. 7.25% 2/15/13 | 1,105,000 | 1,041,463 | ||
Crown Americas LLC/Capital Corp. II 7.625% 5/15/17 (h) | 1,320,000 | 1,310,100 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
MATERIALS - continued | ||||
Containers & Packaging - continued | ||||
Crown Americas LLC/Crown Americas Capital Corp. 7.75% 11/15/15 | $ 700,000 | $ 691,250 | ||
Crown Cork & Seal, Inc.: | ||||
7.375% 12/15/26 | 4,250,000 | 3,655,000 | ||
8% 4/15/23 | 335,000 | 309,875 | ||
Graphic Packaging International, Inc.: | ||||
8.5% 8/15/11 | 1,520,000 | 1,520,000 | ||
9.5% 6/15/17 (h) | 1,660,000 | 1,705,650 | ||
Greif, Inc. 6.75% 2/1/17 | 4,050,000 | 3,786,750 | ||
Owens-Brockway Glass Container, Inc. 7.375% 5/15/16 (h) | 2,130,000 | 2,106,038 | ||
Owens-Illinois, Inc. 7.8% 5/15/18 | 985,000 | 970,225 | ||
Pactiv Corp.: | ||||
5.875% 7/15/12 | 1,713,000 | 1,824,965 | ||
6.4% 1/15/18 | 1,749,000 | 1,729,502 | ||
Rock-Tenn Co.: | ||||
9.25% 3/15/16 | 2,215,000 | 2,325,750 | ||
9.25% 3/15/16 (h) | 505,000 | 530,250 | ||
Vitro SAB de CV 8.625% 2/1/12 (c) | 5,585,000 | 2,220,038 | ||
| 29,757,631 | |||
Metals & Mining - 1.0% | ||||
Anglo American Capital PLC: | ||||
9.375% 4/8/14 (h) | 5,953,000 | 6,786,420 | ||
9.375% 4/8/19 (h) | 8,140,000 | 9,523,800 | ||
BHP Billiton Financial USA Ltd.: | ||||
5.125% 3/29/12 | 1,975,000 | 2,075,277 | ||
5.5% 4/1/14 | 9,113,000 | 9,922,398 | ||
6.5% 4/1/19 | 9,113,000 | 10,389,257 | ||
Compass Minerals International, Inc. 8% 6/1/19 (h) | 2,580,000 | 2,560,650 | ||
Corporacion Nacional del Cobre (Codelco) 6.375% 11/30/12 (h) | 2,002,000 | 2,187,085 | ||
Evraz Group SA 8.875% 4/24/13 (h) | 2,675,000 | 2,444,281 | ||
FMG Finance Property Ltd.: | ||||
10% 9/1/13 (h) | 5,580,000 | 5,831,100 | ||
10.625% 9/1/16 (h) | 789,000 | 844,230 | ||
Freeport-McMoRan Copper & Gold, Inc.: | ||||
4.995% 4/1/15 (o) | 105,000 | 100,275 | ||
8.25% 4/1/15 | 5,665,000 | 5,912,844 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
MATERIALS - continued | ||||
Metals & Mining - continued | ||||
Freeport-McMoRan Copper & Gold, Inc.: - continued | ||||
8.375% 4/1/17 | $ 5,545,000 | $ 5,801,456 | ||
Metals USA, Inc. 11.125% 12/1/15 | 790,000 | 718,900 | ||
Novelis, Inc. 11.5% 2/15/15 (h) | 510,000 | 504,900 | ||
Rio Tinto Finance (USA) Ltd.: | ||||
5.875% 7/15/13 | 3,264,000 | 3,467,840 | ||
6.5% 7/15/18 | 9,474,000 | 10,199,168 | ||
7.125% 7/15/28 | 8,900,000 | 9,414,865 | ||
8.95% 5/1/14 | 7,108,000 | 8,284,225 | ||
Steel Dynamics, Inc.: | ||||
6.75% 4/1/15 | 4,045,000 | 3,771,963 | ||
7.375% 11/1/12 | 1,830,000 | 1,788,825 | ||
Teck Resources Ltd.: | ||||
10.25% 5/15/16 | 1,420,000 | 1,563,704 | ||
10.75% 5/15/19 | 1,420,000 | 1,618,800 | ||
Tube City IMS Corp. 9.75% 2/1/15 | 1,700,000 | 1,224,000 | ||
United States Steel Corp. 6.65% 6/1/37 | 2,648,000 | 2,205,834 | ||
Vale Overseas Ltd. 6.25% 1/23/17 | 5,007,000 | 5,306,594 | ||
| 114,448,691 | |||
Paper & Forest Products - 0.1% | ||||
Domtar Corp.: | ||||
5.375% 12/1/13 | 2,260,000 | 2,045,300 | ||
7.125% 8/15/15 | 2,910,000 | 2,808,150 | ||
10.75% 6/1/17 | 2,420,000 | 2,625,700 | ||
Georgia-Pacific Corp.: | ||||
7% 1/15/15 (h) | 4,190,000 | 4,022,400 | ||
8.875% 5/15/31 | 1,235,000 | 1,179,425 | ||
Georgia-Pacific LLC 8.25% 5/1/16 (h) | 534,198 | 540,875 | ||
Verso Paper Holdings LLC/ Verso Paper, Inc. 11.5% 7/1/14 (h) | 2,955,000 | 2,910,675 | ||
| 16,132,525 | |||
TOTAL MATERIALS | 219,783,249 | |||
TELECOMMUNICATION SERVICES - 2.8% | ||||
Diversified Telecommunication Services - 1.9% | ||||
Alestra SA de RL de CV 11.75% 8/11/14 (h) | 435,000 | 466,538 | ||
AT&T Broadband Corp. 8.375% 3/15/13 | 2,585,000 | 2,987,340 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
TELECOMMUNICATION SERVICES - continued | ||||
Diversified Telecommunication Services - continued | ||||
AT&T, Inc.: | ||||
5.8% 2/15/19 | $ 8,788,000 | $ 9,434,612 | ||
6.3% 1/15/38 | 40,171,000 | 42,173,404 | ||
6.7% 11/15/13 | 1,173,000 | 1,328,638 | ||
6.8% 5/15/36 | 11,484,000 | 12,773,711 | ||
BellSouth Capital Funding Corp. 7.875% 2/15/30 | 1,060,000 | 1,273,349 | ||
British Telecommunications PLC 9.125% 12/15/10 (f) | 2,717,000 | 2,927,266 | ||
Cincinnati Bell, Inc. 8.375% 1/15/14 | 4,195,000 | 4,048,175 | ||
Citizens Communications Co.: | ||||
7.875% 1/15/27 | 925,000 | 763,125 | ||
9% 8/15/31 | 2,260,000 | 2,082,025 | ||
Deutsche Telekom International Financial BV: | ||||
5.25% 7/22/13 | 2,448,000 | 2,607,798 | ||
6.75% 8/20/18 | 3,629,000 | 4,096,927 | ||
Frontier Communications Corp. 8.25% 5/1/14 | 2,245,000 | 2,228,163 | ||
Global Village Telecom Finance LLC 12% 6/30/11 (h) | 2,204,150 | 2,259,254 | ||
Intelsat Bermuda Ltd. 12.5% 2/4/17 pay-in-kind (f)(h) | 1,721,250 | 1,435,690 | ||
Intelsat Ltd.: | ||||
6.5% 11/1/13 | 3,700,000 | 3,293,000 | ||
7.625% 4/15/12 | 6,930,000 | 6,618,150 | ||
11.25% 6/15/16 | 1,035,000 | 1,076,400 | ||
Qwest Capital Funding, Inc. 7.25% 2/15/11 | 1,525,000 | 1,502,125 | ||
Qwest Communications International, Inc.: | ||||
7.5% 2/15/14 | 370,000 | 357,050 | ||
7.5% 2/15/14 | 1,310,000 | 1,264,150 | ||
Qwest Corp.: | ||||
3.8794% 6/15/13 (o) | 1,870,000 | 1,729,750 | ||
7.5% 10/1/14 | 1,730,000 | 1,712,700 | ||
7.625% 6/15/15 | 1,515,000 | 1,503,638 | ||
8.375% 5/1/16 (h) | 3,210,000 | 3,266,175 | ||
SBC Communications, Inc.: | ||||
5.1% 9/15/14 | 2,169,000 | 2,344,492 | ||
5.875% 2/1/12 | 2,733,000 | 2,947,057 | ||
5.875% 8/15/12 | 978,000 | 1,069,656 | ||
Sistema Capital SA 8.875% 1/28/11 (Reg. S) | 1,535,000 | 1,558,025 | ||
Sprint Capital Corp.: | ||||
6.875% 11/15/28 | 17,440,000 | 12,687,600 | ||
7.625% 1/30/11 | 2,350,000 | 2,352,938 | ||
8.375% 3/15/12 | 1,510,000 | 1,511,888 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
TELECOMMUNICATION SERVICES - continued | ||||
Diversified Telecommunication Services - continued | ||||
Sprint Capital Corp.: - continued | ||||
8.75% 3/15/32 | $ 165,000 | $ 136,950 | ||
Telecom Italia Capital SA: | ||||
4% 1/15/10 | 4,890,000 | 4,925,770 | ||
4.95% 9/30/14 | 3,208,000 | 3,310,919 | ||
5.25% 10/1/15 | 1,177,000 | 1,220,908 | ||
6.999% 6/4/18 | 1,793,000 | 1,970,866 | ||
7.175% 6/18/19 | 10,000,000 | 11,132,920 | ||
7.2% 7/18/36 | 10,636,000 | 11,670,245 | ||
Telefonica Emisiones SAU: | ||||
0.8094% 2/4/13 (o) | 2,403,000 | 2,349,786 | ||
6.421% 6/20/16 | 1,162,000 | 1,302,134 | ||
Telefonos de Mexico SA de CV 4.75% 1/27/10 | 6,202,000 | 6,264,020 | ||
Time Warner Telecom Holdings, Inc. 9.25% 2/15/14 | 3,795,000 | 3,861,413 | ||
U.S. West Communications: | ||||
6.875% 9/15/33 | 1,540,000 | 1,201,200 | ||
7.5% 6/15/23 | 3,760,000 | 3,252,400 | ||
Verizon Communications, Inc.: | ||||
6.1% 4/15/18 | 6,000,000 | 6,522,288 | ||
6.25% 4/1/37 | 2,348,000 | 2,481,005 | ||
6.4% 2/15/38 | 7,621,000 | 8,238,392 | ||
6.9% 4/15/38 | 6,295,000 | 7,203,469 | ||
Verizon Global Funding Corp. 7.25% 12/1/10 | 2,741,000 | 2,919,335 | ||
Verizon New England, Inc. 6.5% 9/15/11 | 891,000 | 959,745 | ||
Verizon New York, Inc. 6.875% 4/1/12 | 2,653,000 | 2,890,526 | ||
Wind Acquisition Finance SA 11.75% 7/15/17 (h) | 4,535,000 | 4,920,475 | ||
| 228,415,575 | |||
Wireless Telecommunication Services - 0.9% | ||||
America Movil SAB de CV 5.625% 11/15/17 | 1,809,000 | 1,814,013 | ||
Cleveland Unlimited, Inc. 11.5% 12/15/10 (h)(o) | 1,260,000 | 1,247,400 | ||
Cricket Communications, Inc.: | ||||
7.75% 5/15/16 (h) | 2,905,000 | 2,817,850 | ||
9.375% 11/1/14 | 2,290,000 | 2,158,325 | ||
10% 7/15/15 | 2,130,000 | 2,050,125 | ||
Digicel Group Ltd.: | ||||
8.875% 1/15/15 (h) | 10,810,000 | 9,593,875 | ||
9.125% 1/15/15 pay-in-kind (h)(o) | 3,220,000 | 2,865,800 | ||
9.25% 9/1/12 (h) | 4,765,000 | 4,765,000 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
TELECOMMUNICATION SERVICES - continued | ||||
Wireless Telecommunication Services - continued | ||||
Digicel Group Ltd.: - continued | ||||
12% 4/1/14 (h) | $ 3,545,000 | $ 3,757,700 | ||
Intelsat Jackson Holdings Ltd.: | ||||
9.5% 6/15/16 | 5,450,000 | 5,572,625 | ||
11.5% 6/15/16 | 6,575,000 | 6,640,750 | ||
Intelsat Subsidiary Holding Co. Ltd.: | ||||
8.875% 1/15/15 (h) | 550,000 | 552,750 | ||
8.875% 1/15/15 | 6,110,000 | 6,140,550 | ||
MetroPCS Wireless, Inc.: | ||||
9.25% 11/1/14 | 5,620,000 | 5,545,825 | ||
Millicom International Cellular SA 10% 12/1/13 | 1,065,000 | 1,103,606 | ||
Mobile Telesystems Finance SA 8% 1/28/12 (h) | 4,523,000 | 4,664,344 | ||
Nextel Communications, Inc.: | ||||
5.95% 3/15/14 | 3,785,000 | 3,179,400 | ||
6.875% 10/31/13 | 9,105,000 | 8,148,975 | ||
7.375% 8/1/15 | 3,055,000 | 2,608,206 | ||
NII Capital Corp. 10% 8/15/16 (h) | 3,145,000 | 3,176,450 | ||
Orascom Telecom Finance SCA 7.875% 2/8/14 (h) | 3,800,000 | 3,344,000 | ||
Pakistan Mobile Communications Ltd. 8.625% 11/13/13 (h) | 3,170,000 | 2,694,500 | ||
Sprint Nextel Corp.: | ||||
6% 12/1/16 | 6,370,000 | 5,350,800 | ||
8.375% 8/15/17 | 3,140,000 | 3,010,475 | ||
Telecom Personal SA 9.25% 12/22/10 (h) | 2,475,000 | 2,555,438 | ||
Verizon Wireless Capital LLC: | ||||
5.55% 2/1/14 (h) | 2,374,000 | 2,567,215 | ||
8.5% 11/15/18 (h) | 923,000 | 1,162,617 | ||
Vimpel Communications 8.375% 4/30/13 (Issued by VIP Finance Ireland Ltd. for Vimpel Communications) (h) | 4,300,000 | 4,289,250 | ||
Vodafone Group PLC: | ||||
5% 12/16/13 | 2,296,000 | 2,437,491 | ||
5.5% 6/15/11 | 2,760,000 | 2,929,318 | ||
7.75% 2/15/10 | 1,848,000 | 1,904,046 | ||
| 110,648,719 | |||
TOTAL TELECOMMUNICATION SERVICES | 339,064,294 | |||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
UTILITIES - 2.6% | ||||
Electric Utilities - 1.3% | ||||
AmerenUE 6.4% 6/15/17 | $ 2,987,000 | $ 3,273,573 | ||
Cleveland Electric Illuminating Co.: | ||||
5.65% 12/15/13 | 4,113,000 | 4,337,689 | ||
8.875% 11/15/18 | 831,000 | 1,044,933 | ||
Commonwealth Edison Co.: | ||||
5.4% 12/15/11 | 3,665,000 | 3,913,648 | ||
5.8% 3/15/18 | 10,485,000 | 11,287,144 | ||
6.15% 9/15/17 | 5,140,000 | 5,651,476 | ||
Duke Energy Carolinas LLC: | ||||
5.25% 1/15/18 | 4,710,000 | 5,004,045 | ||
6.05% 4/15/38 | 1,867,000 | 2,091,585 | ||
Edison Mission Energy: | ||||
7% 5/15/17 | 1,190,000 | 908,863 | ||
7.2% 5/15/19 | 4,075,000 | 2,934,000 | ||
7.625% 5/15/27 | 2,215,000 | 1,428,675 | ||
EDP Finance BV: | ||||
5.375% 11/2/12 (h) | 1,993,000 | 2,130,045 | ||
6% 2/2/18 (h) | 9,619,000 | 10,374,640 | ||
Exelon Corp.: | ||||
4.9% 6/15/15 | 6,607,000 | 6,709,554 | ||
6.75% 5/1/11 | 665,000 | 710,901 | ||
FirstEnergy Corp. 6.45% 11/15/11 | 1,973,000 | 2,155,503 | ||
FirstEnergy Solutions Corp.: | ||||
4.8% 2/15/15 (h) | 2,432,000 | 2,485,725 | ||
6.05% 8/15/21 (h) | 5,664,000 | 5,725,732 | ||
6.8% 8/15/39 (h) | 4,340,000 | 4,433,002 | ||
Illinois Power Co. 6.125% 11/15/17 | 3,112,000 | 3,269,900 | ||
Intergen NV 9% 6/30/17 (h) | 6,405,000 | 6,292,913 | ||
IPALCO Enterprises, Inc. 7.25% 4/1/16 (h) | 4,440,000 | 4,306,800 | ||
Majapahit Holding BV: | ||||
7.75% 10/17/16 | 840,000 | 842,100 | ||
8% 8/7/19 (h) | 635,000 | 640,588 | ||
Mirant Americas Generation LLC: | ||||
8.5% 10/1/21 | 3,570,000 | 2,998,800 | ||
9.125% 5/1/31 | 2,785,000 | 2,144,450 | ||
National Power Corp. 6.875% 11/2/16 (h) | 1,490,000 | 1,504,900 | ||
Nevada Power Co.: | ||||
6.5% 5/15/18 | 790,000 | 861,005 | ||
6.5% 8/1/18 | 1,570,000 | 1,713,878 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
UTILITIES - continued | ||||
Electric Utilities - continued | ||||
Oncor Electric Delivery Co. 6.375% 5/1/12 | $ 2,731,000 | $ 2,973,988 | ||
Oncor Electric Delivery Co. LLC 5.95% 9/1/13 | 3,617,000 | 3,911,040 | ||
Pennsylvania Electric Co. 6.05% 9/1/17 | 764,000 | 813,691 | ||
Pepco Holdings, Inc.: | ||||
4% 5/15/10 | 2,231,000 | 2,254,323 | ||
6.45% 8/15/12 | 3,730,000 | 3,968,354 | ||
PPL Capital Funding, Inc. 6.7% 3/30/67 (o) | 8,250,000 | 6,435,000 | ||
Progress Energy, Inc. 7.1% 3/1/11 | 3,385,000 | 3,600,171 | ||
Sierra Pacific Power Co. 5.45% 9/1/13 | 1,560,000 | 1,634,526 | ||
Texas Competitive Electric Holdings Co. LLC: | ||||
Series A, 10.25% 11/1/15 | 4,070,000 | 2,767,600 | ||
Series B, 10.25% 11/1/15 | 5,090,000 | 3,461,200 | ||
11.25% 11/1/16 pay-in-kind | 3,953,031 | 2,223,251 | ||
Virginia Electric & Power Co. 5.4% 4/30/18 | 12,750,000 | 13,516,696 | ||
West Penn Power Co. 5.95% 12/15/17 (h) | 314,000 | 325,361 | ||
Wisconsin Electric Power Co. 6.25% 12/1/15 | 3,012,000 | 3,420,367 | ||
| 152,481,635 | |||
Gas Utilities - 0.1% | ||||
Dynegy Holdings, Inc.: | ||||
8.375% 5/1/16 | 1,365,000 | 1,112,475 | ||
8.75% 2/15/12 | 190,000 | 189,050 | ||
Intergas Finance BV: | ||||
6.375% 5/14/17 (Reg. S) | 1,700,000 | 1,385,500 | ||
6.875% 11/4/11 (Reg. S) | 3,650,000 | 3,522,250 | ||
Southern Natural Gas Co. 5.9% 4/1/17 (h) | 442,000 | 452,786 | ||
Texas Eastern Transmission Corp. 7.3% 12/1/10 | 3,100,000 | 3,192,842 | ||
Transportadora de Gas del Sur SA 7.875% 5/14/17 (h) | 2,855,000 | 2,312,550 | ||
| 12,167,453 | |||
Independent Power Producers & Energy Traders - 0.6% | ||||
AES Corp.: | ||||
7.75% 3/1/14 | 5,400,000 | 5,238,000 | ||
7.75% 10/15/15 | 3,210,000 | 3,121,725 | ||
8% 10/15/17 | 1,615,000 | 1,558,475 | ||
9.75% 4/15/16 (h) | 1,475,000 | 1,534,000 | ||
Allegheny Energy Supply Co. LLC 7.8% 3/15/11 | 9,060,000 | 9,628,134 | ||
Constellation Energy Group, Inc. 7% 4/1/12 | 6,444,000 | 6,916,693 | ||
Duke Capital LLC 5.668% 8/15/14 | 2,055,000 | 2,143,301 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
UTILITIES - continued | ||||
Independent Power Producers & Energy Traders - continued | ||||
Energy Future Holdings: | ||||
10.875% 11/1/17 | $ 4,420,000 | $ 3,182,400 | ||
12% 11/1/17 pay-in-kind (o) | 7,190,300 | 4,199,135 | ||
Exelon Generation Co. LLC 5.35% 1/15/14 | 1,528,000 | 1,597,981 | ||
Mirant North America LLC 7.375% 12/31/13 | 2,000,000 | 1,915,000 | ||
NRG Energy, Inc.: | ||||
7.25% 2/1/14 | 3,820,000 | 3,667,200 | ||
7.375% 2/1/16 | 3,120,000 | 2,932,800 | ||
7.375% 1/15/17 | 4,070,000 | 3,876,675 | ||
8.5% 6/15/19 | 2,750,000 | 2,640,000 | ||
PPL Energy Supply LLC 6.5% 5/1/18 | 6,895,000 | 7,266,785 | ||
RRI Energy, Inc.: | ||||
6.75% 12/15/14 | 1,744,000 | 1,744,000 | ||
7.625% 6/15/14 | 5,495,000 | 5,027,925 | ||
7.875% 6/15/17 | 745,000 | 661,188 | ||
Tenaska Alabama Partners LP 7% 6/30/21 (h) | 432,502 | 379,521 | ||
| 69,230,938 | |||
Multi-Utilities - 0.6% | ||||
Aquila, Inc. 11.875% 7/1/12 (o) | 155,000 | 175,925 | ||
Dominion Resources, Inc.: | ||||
4.75% 12/15/10 | 3,931,000 | 4,052,987 | ||
6.3% 9/30/66 (o) | 3,991,000 | 2,913,430 | ||
7.5% 6/30/66 (o) | 14,890,000 | 12,209,800 | ||
DTE Energy Co. 7.05% 6/1/11 | 984,000 | 1,045,469 | ||
KeySpan Corp. 7.625% 11/15/10 | 494,000 | 521,723 | ||
MidAmerican Energy Holdings, Co.: | ||||
5.75% 4/1/18 | 7,846,000 | 8,364,150 | ||
5.875% 10/1/12 | 2,921,000 | 3,168,210 | ||
6.5% 9/15/37 | 11,505,000 | 12,778,396 | ||
National Grid PLC 6.3% 8/1/16 | 1,477,000 | 1,596,823 | ||
NiSource Finance Corp.: | ||||
5.25% 9/15/17 | 843,000 | 783,238 | ||
5.4% 7/15/14 | 1,347,000 | 1,347,973 | ||
5.45% 9/15/20 | 1,934,000 | 1,753,119 | ||
6.4% 3/15/18 | 1,326,000 | 1,332,676 | ||
6.8% 1/15/19 | 10,000,000 | 10,141,370 | ||
7.875% 11/15/10 | 1,022,000 | 1,074,823 | ||
10.75% 3/15/16 | 5,913,000 | 6,925,187 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
UTILITIES - continued | ||||
Multi-Utilities - continued | ||||
Wisconsin Energy Corp. 6.25% 5/15/67 (o) | $ 6,172,000 | $ 4,875,880 | ||
WPS Resources Corp. 6.11% 12/1/66 (o) | 882,000 | 643,860 | ||
| 75,705,039 | |||
TOTAL UTILITIES | 309,585,065 | |||
TOTAL NONCONVERTIBLE BONDS | 3,348,951,422 | |||
TOTAL CORPORATE BONDS (Cost $3,198,120,247) | 3,356,947,773 | |||
U.S. Government and Government Agency Obligations - 20.9% | ||||
| ||||
U.S. Government Agency Obligations - 1.9% | ||||
Fannie Mae: | ||||
4.375% 7/17/13 (l) | 8,745,000 | 9,414,071 | ||
4.75% 11/19/12 | 24,650,000 | 26,899,313 | ||
5% 2/16/12 | 7,340,000 | 7,959,313 | ||
Federal Home Loan Bank: | ||||
1.75% 8/22/12 | 67,240,000 | 67,077,750 | ||
3.625% 5/29/13 | 15,625,000 | 16,420,313 | ||
Freddie Mac: | ||||
2.125% 3/23/12 | 665,000 | 674,716 | ||
3% 7/28/14 | 50,000,000 | 50,727,400 | ||
5.25% 7/18/11 (g) | 50,000,000 | 53,954,150 | ||
Tennessee Valley Authority 5.375% 4/1/56 | 385,000 | 395,172 | ||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | 233,522,198 | |||
U.S. Treasury Inflation Protected Obligations - 5.4% | ||||
U.S. Treasury Inflation-Indexed Notes: | ||||
1.625% 1/15/18 | 83,990,880 | 83,072,188 | ||
2% 1/15/14 (l) | 329,318,552 | 335,493,275 | ||
2% 7/15/14 | 74,358,050 | 75,868,411 | ||
2.625% 7/15/17 | 139,780,427 | 148,735,041 | ||
TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS | 643,168,915 | |||
U.S. Government and Government Agency Obligations - continued | ||||
| Principal Amount (d) | Value | ||
U.S. Treasury Obligations - 13.3% | ||||
U.S. Treasury Bonds: | ||||
4.25% 5/15/39 | $ 88,478,000 | $ 89,459,575 | ||
4.5% 5/15/38 | 20,000,000 | 21,062,500 | ||
U.S. Treasury Notes: | ||||
0.875% 3/31/11 | 21,090,000 | 21,136,967 | ||
1% 8/31/11 | 400,000,000 | 400,156,355 | ||
1.25% 11/30/10 | 21,871,000 | 22,064,930 | ||
1.75% 8/15/12 | 141,454,000 | 142,570,214 | ||
1.75% 3/31/14 | 125,000,000 | 122,382,750 | ||
1.875% 6/15/12 (g) | 94,350,000 | 95,580,984 | ||
1.875% 4/30/14 | 50,000,000 | 49,128,900 | ||
2.625% 7/31/14 | 300,000,000 | 303,562,500 | ||
2.75% 2/15/19 | 300,000,000 | 283,992,300 | ||
4.5% 9/30/11 (l) | 41,855,000 | 44,824,110 | ||
TOTAL U.S. TREASURY OBLIGATIONS | 1,595,922,085 | |||
Other Government Related - 0.3% | ||||
Citigroup Funding, Inc. 2.125% 7/12/12 (FDIC Guaranteed) (i) | 32,000,000 | 32,269,280 | ||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $2,467,200,382) | 2,504,882,478 | |||
U.S. Government Agency - Mortgage Securities - 12.4% | ||||
| ||||
Fannie Mae - 11.9% | ||||
3.334% 4/1/36 (o) | 2,142,068 | 2,186,248 | ||
3.75% 10/1/33 (o) | 1,355,101 | 1,379,593 | ||
4% 9/1/39 (j) | 16,000,000 | 15,639,738 | ||
4% 9/14/39 (j) | 19,000,000 | 18,572,188 | ||
4.275% 6/1/36 (o) | 369,031 | 383,014 | ||
4.5% 9/17/24 (j) | 12,000,000 | 12,332,974 | ||
4.5% 9/17/24 (j) | 23,000,000 | 23,638,199 | ||
4.5% 7/1/39 | 128,000,058 | 128,795,131 | ||
4.5% 9/1/39 (j)(k) | 31,000,000 | 31,144,116 | ||
5% 8/1/18 to 9/1/38 | 167,030,544 | 172,654,902 | ||
5% 9/17/24 (j) | 5,000,000 | 5,209,326 | ||
5% 9/14/39 (j)(k) | 37,000,000 | 37,957,094 | ||
5% 9/14/39 (j) | 48,000,000 | 49,241,635 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal Amount (d) | Value | ||
Fannie Mae - continued | ||||
5% 9/14/39 (j) | $ 35,000,000 | $ 35,905,359 | ||
5.3% 12/1/35 (o) | 1,201,614 | 1,256,144 | ||
5.308% 2/1/36 (o) | 1,788,814 | 1,878,285 | ||
5.5% 3/1/18 to 3/1/39 (k) | 354,959,450 | 371,617,221 | ||
5.5% 9/1/24 (j)(k) | 36,000,000 | 37,869,444 | ||
5.5% 9/1/24 (j)(k) | 53,000,000 | 55,752,237 | ||
5.5% 9/17/24 (j) | 3,000,000 | 3,155,787 | ||
5.5% 9/1/39 (j)(k) | 35,250,000 | 36,670,508 | ||
5.564% 7/1/37 (o) | 1,086,759 | 1,138,148 | ||
6% 6/1/22 to 3/1/38 (k) | 260,163,561 | 276,036,901 | ||
6% 9/1/39 (j) | 2,000,000 | 2,103,748 | ||
6.004% 4/1/36 (o) | 829,305 | 873,989 | ||
6.319% 4/1/36 (o) | 898,563 | 954,161 | ||
6.5% 12/1/34 to 8/1/37 | 26,040,252 | 28,031,536 | ||
6.5% 9/1/39 (j) | 2,000,000 | 2,138,650 | ||
6.5% 9/14/39 (j)(k) | 18,000,000 | 19,247,854 | ||
6.5% 9/14/39 (j) | 28,000,000 | 29,941,106 | ||
6.5% 10/14/39 (j) | 18,000,000 | 19,166,994 | ||
TOTAL FANNIE MAE | 1,422,872,230 | |||
Freddie Mac - 0.5% | ||||
4.702% 11/1/35 (o) | 8,081,295 | 8,404,200 | ||
5% 4/1/38 | 4,408,418 | 4,537,435 | ||
5.5% 11/1/17 | 2,990,039 | 3,189,576 | ||
5.669% 10/1/35 (o) | 619,000 | 654,786 | ||
5.919% 6/1/36 (o) | 2,007,679 | 2,102,789 | ||
6% 11/1/33 to 2/1/38 | 43,248,273 | 45,720,051 | ||
6.103% 6/1/36 (o) | 986,111 | 1,032,899 | ||
TOTAL FREDDIE MAC | 65,641,736 | |||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $1,456,596,876) | 1,488,513,966 | |||
Asset-Backed Securities - 2.0% | ||||
| ||||
Accredited Mortgage Loan Trust Series 2005-1 | 1,821,633 | 966,714 | ||
ACE Securities Corp. Series 2006-NC2: | ||||
Class M7, 1.0156% 7/25/36 (o) | 834,000 | 1,554 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (d) | Value | ||
ACE Securities Corp. Series 2006-NC2: - continued | ||||
Class M8, 1.1156% 7/25/36 (o) | $ 37,062 | $ 42 | ||
ACE Securities Corp. Home Equity Loan Trust: | ||||
Series 2004-HE1: | ||||
Class M1, 0.7656% 2/25/34 (o) | 307,946 | 280,958 | ||
Class M2, 1.3656% 2/25/34 (o) | 483,000 | 191,732 | ||
Series 2005-HE2 Class M2, 0.7156% 4/25/35 (o) | 262,278 | 227,028 | ||
Series 2005-SD1 Class A1, 0.6656% 11/25/50 (o) | 34,538 | 32,133 | ||
Series 2006-HE2: | ||||
Class M3, 0.6056% 5/25/36 (o) | 362,526 | 6,459 | ||
Class M4, 0.6656% 5/25/36 (o) | 108,725 | 1,690 | ||
Series 2006-OP1: | ||||
Class M4, 0.6356% 4/25/36 (o) | 170,200 | 4,646 | ||
Class M5, 0.6556% 4/25/36 (o) | 161,690 | 3,217 | ||
Advanta Business Card Master Trust: | ||||
Series 2005-A2 Class A2, 0.4025% 5/20/13 (o) | 2,756,051 | 2,645,809 | ||
Series 2006-A6 Class A6, 0.3025% 9/20/13 (o) | 5,445,957 | 5,228,119 | ||
Series 2006-A7 Class A7, 0.2925% 10/20/12 (o) | 2,998,584 | 2,878,640 | ||
Series 2006-C1 Class C1, 0.7525% 10/20/14 (o) | 642,000 | 19,260 | ||
Series 2007-A1 Class A, 0.3225% 1/20/15 (o) | 2,011,917 | 1,931,441 | ||
Series 2007-A4 Class A4, 0.3025% 4/22/13 (o) | 2,404,379 | 2,308,204 | ||
Series 2007-D1 Class D, 1.6725% 1/22/13 (h)(o) | 2,590,000 | 51,800 | ||
Airspeed Ltd. Series 2007-1A Class C1, 2.7728% 6/15/32 (h)(o) | 4,530,774 | 1,744,348 | ||
ALG Student Loan Trust I Series 2006-1 Class A1, 1.0825% 10/28/18 (h)(o) | 651,724 | 650,268 | ||
AmeriCredit Automobile Receivables Trust: | ||||
Series 2005-DA Class A4, 5.02% 11/6/12 | 253,080 | 255,544 | ||
Series 2006-1 Class B1, 5.2% 3/6/11 | 87,268 | 87,301 | ||
AmeriCredit Prime Automobile Receivables Trust: | ||||
Series 2007-1: | ||||
Class D, 5.62% 9/30/14 | 1,125,000 | 618,750 | ||
Class E, 6.96% 3/31/16 (h) | 2,052,284 | 1,026,142 | ||
Series 2007-2M Class A3, 5.22% 4/8/10 | 369,640 | 375,847 | ||
Ameriquest Mortgage Securities, Inc. pass-thru certificates: | ||||
Series 2003-10 Class M1, 0.9656% 12/25/33 (o) | 120,846 | 87,105 | ||
Series 2004-R11 Class M1, 0.9256% 11/25/34 (o) | 572,200 | 264,806 | ||
Series 2004-R2 Class M3, 0.8156% 4/25/34 (o) | 156,351 | 64,910 | ||
Series 2005-R2 Class M1, 0.7156% 4/25/35 (o) | 2,064,696 | 1,462,805 | ||
Anthracite CDO II Ltd. Series 2002-2A: | ||||
Class F, 7.6% 12/24/37 (h) | 160,000 | 64,000 | ||
Class G, 9.75% 12/24/37 (h) | 210,000 | 73,500 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (d) | Value | ||
Anthracite CDO III Ltd./Anthracite CDO III Corp. | $ 263,363 | $ 171,186 | ||
Argent Securities, Inc. pass-thru certificates: | ||||
Series 2003-W7 Class A2, 0.6556% 3/1/34 (o) | 47,932 | 12,351 | ||
Series 2004-W11 Class M2, 0.9656% 11/25/34 (o) | 561,149 | 233,326 | ||
Series 2004-W7: | ||||
Class M1, 0.8156% 5/25/34 (o) | 1,542,998 | 743,995 | ||
Class M2, 0.8656% 5/25/34 (o) | 1,290,110 | 908,277 | ||
Series 2006-W4 Class A2C, 0.4256% 5/25/36 (o) | 1,552,054 | 472,850 | ||
Asset Backed Funding Corp. Series 2006-OPT2 | 1,259,792 | 20,176 | ||
Asset Backed Securities Corp. Home Equity Loan Trust: | ||||
Series 2004-HE2 Class M1, 0.8156% 4/25/34 (o) | 2,668,736 | 1,412,565 | ||
Series 2004-HE6 Class A2, 0.6256% 6/25/34 (o) | 416,700 | 213,018 | ||
Series 2006-HE2 Class M1, 0.6356% 3/25/36 (o) | 262,000 | 8,147 | ||
Axon Financial Funding Ltd. Series 2007-1A Class A1, 5.96% 4/4/17 (c)(h)(o) | 7,217,000 | 1 | ||
Bank America Auto Trust Series 2009-1A Class A3, 2.67% 7/15/13 (h) | 9,500,000 | 9,603,364 | ||
Bank of America Credit Card Master Trust | 3,433,000 | 3,425,227 | ||
Bear Stearns Asset Backed Securities I Trust | 92,707 | 68,433 | ||
BMW Floorplan Master Owner Trust Series 2006-1A Class B, 0.3628% 9/17/11 (h)(o) | 373,000 | 372,542 | ||
Brascan Real Estate CDO Ltd./Brascan Real Estate CDO Corp. Series 2004-1A Class A, 0.86% 1/20/40 (h)(o) | 392,513 | 262,984 | ||
Brazos Higher Education Authority, Inc. Student Loan Rev. Series 2006 A2R, 5.03% 12/1/41 | 1,752,176 | 1,541,915 | ||
Brazos Higher Education Authority, Inc. Series 2006-2 Class A9, 0.6175% 12/26/24 (o) | 2,296,541 | 2,145,520 | ||
C-BASS Trust Series 2006-CB7 Class A2, 0.3256% 10/25/36 (o) | 805,334 | 731,795 | ||
Capital Auto Receivables Asset Trust: | ||||
Series 2006-1: | ||||
Class B, 5.26% 10/15/10 | 639,862 | 642,471 | ||
Class C, 5.55% 1/18/11 | 1,500,000 | 1,505,855 | ||
Class D, 7.16% 1/15/13 (h) | 160,000 | 147,200 | ||
Series 2006-2: | ||||
Class B, 5.07% 12/15/11 | 2,222,000 | 2,251,748 | ||
Class C, 5.31% 6/15/12 | 1,634,000 | 1,593,086 | ||
Series 2007-1 Class C, 5.38% 11/15/12 | 582,000 | 468,302 | ||
Series 2007-SN1 Class D, 6.05% 1/17/12 | 285,000 | 263,625 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (d) | Value | ||
Capital One Auto Finance Trust: | ||||
Series 2005-BSS Class D, 4.8% 9/15/12 | $ 1,204,000 | $ 1,205,057 | ||
Series 2006-C: | ||||
Class A3A, 5.07% 7/15/11 | 29,664 | 29,667 | ||
Class A3B, 0.2828% 7/15/11 (o) | 75,272 | 75,039 | ||
Series 2007-B Class A3A, 5.03% 4/15/12 | 748,275 | 755,906 | ||
Capital One Multi-Asset Execution Trust: | ||||
Series 2007-C3 Class C3, 0.5628% 4/15/13 (h)(o) | 2,908,037 | 2,795,889 | ||
Series 2009-A2 Class A2, 3.2% 4/15/14 | 10,000,000 | 10,180,903 | ||
Capital Trust Ltd. Series 2004-1: | ||||
Class A2, 0.7225% 7/20/39 (h)(o) | 457,498 | 91,500 | ||
Class B, 1.0225% 7/20/39 (h)(o) | 263,810 | 31,657 | ||
Class C, 1.3725% 7/20/39 (h)(o) | 339,379 | 27,150 | ||
Capital Trust RE CDO Ltd./Capital Trust RE CDO Corp. Series 2005-3A Class A2, 5.16% 6/25/35 (h) | 830,000 | 597,600 | ||
CapitalSource Real Estate Loan Trust Series 2006-1A Class A2A, 0.76% 1/20/37 (h)(o) | 221,569 | 99,706 | ||
Capmark VII Ltd. Series 2006-7A Class H, 1.8228% 8/15/36 (h)(o) | 504,923 | 0 | ||
CarMax Auto Owner Trust Series 2007-2 Class C, 5.61% 11/15/13 | 928,000 | 835,200 | ||
Carrington Mortgage Loan Trust: | ||||
Series 2006-FRE1 Class M1, 0.5656% 7/25/36 (o) | 1,140,851 | 39,749 | ||
Series 2006-NC2 Class M7, 1.1156% 6/25/36 (o) | 425,500 | 7,791 | ||
Series 2006-NC3 Class M10, 2.2656% 8/25/36 (h)(o) | 290,000 | 4,890 | ||
Series 2006-NC4 Class M1, 0.5656% 10/25/36 (o) | 224,000 | 7,552 | ||
Series 2006-RFC1 Class M9, 2.1356% 5/25/36 (o) | 186,369 | 4,595 | ||
Series 2007-RFC1 Class A3, 0.4056% 12/25/36 (o) | 1,802,588 | 474,167 | ||
Cendant Timeshare Receivables Funding LLC: | ||||
Series 2005 1A Class 2A2, 0.4525% 5/20/17 (h)(o) | 221,719 | 177,950 | ||
Series 2005-1A Class A1, 4.67% 5/20/17 (h) | 698,429 | 546,185 | ||
Chase Issuance Trust Series 2004-3 Class C, 0.7428% 6/15/12 (o) | 530,000 | 527,711 | ||
CIT Equipment Collateral Trust Series 2006-VT2 Class D, 5.46% 4/20/14 | 290,602 | 259,123 | ||
Citigroup Mortgage Loan Trust Series 2007-AMC4 | 765,389 | 24,450 | ||
Countrywide Asset-Backed Certificates Trust: | ||||
Series 2006-13 Class 1AF1, 0.3856% 1/25/37 (o) | 6,426 | 6,373 | ||
Series 2007-11 Class 2A1, 0.3256% 6/25/47 (o) | 160,821 | 152,384 | ||
Series 2007-4 Class A1A, 0.3856% 9/25/37 (o) | 939,940 | 883,333 | ||
Countrywide Home Loan Trust Series 2006-13 Class N, 7% 8/25/37 (h) | 811,000 | 81 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (d) | Value | ||
Countrywide Home Loans, Inc.: | ||||
Series 2004-3: | ||||
Class M1, 0.7656% 6/25/34 (o) | $ 948,567 | $ 520,284 | ||
Class M4, 1.2356% 4/25/34 (o) | 159,822 | 81,245 | ||
Series 2004-4 Class M2, 0.7956% 6/25/34 (o) | 587,945 | 377,033 | ||
Series 2005-3 Class MV1, 0.6856% 8/25/35 (o) | 2,043,541 | 1,858,825 | ||
Series 2005-AB1 Class A2, 0.4756% 8/25/35 (o) | 361,246 | 331,173 | ||
CPS Auto Receivables Trust: | ||||
Series 2006-D: | ||||
Class A3, 5.157% 5/15/11 (h) | 54,359 | 54,382 | ||
Class A4, 5.115% 8/15/13 (h) | 1,012,000 | 991,892 | ||
Series 2007-B Class A3, 5.47% 11/15/11 (h) | 368,595 | 369,765 | ||
Series 2007-C Class A3, 5.43% 5/15/12 (h) | 297,494 | 297,391 | ||
Crest Clarendon Street Ltd./Crest Clarendon Corp. Series 2002-1A: | ||||
Class B1, 6.065% 12/28/35 (h) | 500,000 | 215,000 | ||
Class B2, 1.9513% 12/28/35 (h)(o) | 500,000 | 150,000 | ||
Crest Dartmouth Street Ltd./Crest Dartmouth Street Corp. Series 2003-1A Class D, 9% 6/28/38 (h) | 100,000 | 25,000 | ||
DB Master Finance LLC Series 2006-1 Class M1, 8.285% 6/20/31 (h) | 235,000 | 205,773 | ||
Discover Card Master Trust I Series 2007-1 Class B, 0.3728% 8/15/12 (o) | 2,908,000 | 2,854,166 | ||
Drive Auto Receivables Trust Series 2006-1 Class A4, 5.54% 12/16/13 (h) | 2,051,974 | 2,027,666 | ||
Fannie Mae subordinate REMIC pass-thru certificates Series 2004-T5 Class AB3, 0.6603% 5/28/35 (o) | 38,916 | 21,614 | ||
Fieldstone Mortgage Investment Corp.: | ||||
Series 2004-3 Class M5, 2.4406% 8/25/34 (o) | 290,872 | 58,554 | ||
Series 2006-3 Class 2A3, 0.4256% 11/25/36 (o) | 6,074,620 | 1,845,999 | ||
First Franklin Mortgage Loan Trust: | ||||
Series 2004-FF2 Class M3, 1.0906% 3/25/34 (o) | 30,878 | 15,283 | ||
Series 2005-FF9 Class A3, 0.5456% 10/25/35 (o) | 6,305,998 | 5,287,425 | ||
Series 2006-FF12 Class A2, 0.3056% 9/25/36 (o) | 277,873 | 270,427 | ||
Series 2006-FF5 Class 2A2, 0.3756% 4/25/36 (o) | 97,764 | 94,354 | ||
Ford Credit Auto Owner Trust: | ||||
Series 2006-B Class D, 7.26% 2/15/13 (h) | 1,175,000 | 1,091,467 | ||
Series 2006-C: | ||||
Class B, 5.3% 6/15/12 | 649,000 | 656,280 | ||
Class D, 6.89% 5/15/13 (h) | 915,000 | 796,777 | ||
Series 2007-A Class D, 7.05% 12/15/13 (h) | 970,000 | 853,717 | ||
Ford Credit Floorplan Master Owner Trust Series 2006-4 Class B, 0.8228% 6/15/13 (o) | 772,878 | 502,371 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (d) | Value | ||
Franklin Auto Trust: | ||||
Series 2006-1: | ||||
Class B, 5.14% 7/21/14 | $ 72,000 | $ 58,221 | ||
Class C, 5.41% 7/21/14 | 638,000 | 319,000 | ||
Series 2007-1: | ||||
Class A4, 5.03% 2/16/15 | 502,000 | 516,505 | ||
Class C, 5.43% 2/16/15 | 614,000 | 292,186 | ||
Fremont Home Loan Trust: | ||||
Series 2004-1: | ||||
Class M1, 0.9406% 2/25/34 (o) | 72,096 | 32,495 | ||
Class M2, 1.0156% 2/25/34 (o) | 123,225 | 95,566 | ||
Series 2005-A: | ||||
Class M3, 0.7556% 1/25/35 (o) | 948,695 | 221,985 | ||
Class M4, 0.9456% 1/25/35 (o) | 363,547 | 66,597 | ||
Series 2006-A Class M4, 0.6656% 5/25/36 (o) | 190,539 | 1,824 | ||
Series 2006-D Class M1, 0.4956% 11/25/36 (o) | 324,000 | 4,998 | ||
GCO Education Loan Funding Master Trust II | 2,892,000 | 2,163,578 | ||
GCO Slims Trust Series 2006-1A, 5.72% 3/1/22 (h) | 2,719,313 | 2,175,450 | ||
GE Business Loan Trust: | ||||
Series 2003-1 Class A, 0.7028% 4/15/31 (h)(o) | 345,167 | 231,262 | ||
Series 2006-2A: | ||||
Class A, 0.4528% 11/15/34 (h)(o) | 2,481,535 | 1,488,921 | ||
Class B, 0.5528% 11/15/34 (h)(o) | 896,405 | 259,957 | ||
Class C, 0.6528% 11/15/34 (h)(o) | 1,489,789 | 327,753 | ||
Class D, 1.0228% 11/15/34 (h)(o) | 565,721 | 90,515 | ||
GE Capital Credit Card Master Note Trust: | ||||
Series 2006-1: | ||||
Class B, 0.3828% 9/17/12 (o) | 889,000 | 862,330 | ||
Class C, 0.5128% 9/17/12 (o) | 692,000 | 650,480 | ||
Series 2007-1 Class C, 0.5428% 3/15/13 (o) | 4,746,000 | 4,347,668 | ||
GE Equipment Midticket LLC Series 2006-1 Class B, 0.4228% 9/15/17 (o) | 1,151,000 | 932,399 | ||
Goal Capital Funding Trust Series 2007-1 Class C1, 1.0075% 6/25/42 (o) | 739,000 | 443,400 | ||
GS Auto Loan Trust: | ||||
Series 2006-1 Class D, 6.25% 1/15/14 (h) | 289,822 | 246,348 | ||
Series 2007-1: | ||||
Class B, 5.53% 12/15/14 | 97,423 | 84,678 | ||
Class C, 5.74% 12/15/14 | 206,932 | 165,546 | ||
GSAMP Trust: | ||||
Series 2004-AR1: | ||||
Class B4, 5% 6/25/34 (h)(o) | 416,574 | 30,815 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (d) | Value | ||
GSAMP Trust: - continued | ||||
Series 2004-AR1: | ||||
Class M1, 0.9156% 6/25/34 (o) | $ 2,723,367 | $ 1,435,156 | ||
Series 2007-HE1 Class M1, 0.5156% 3/25/47 (o) | 1,096,059 | 42,294 | ||
GSR Mortgage Loan Trust: | ||||
Series 2004-OPT Class A1, 0.6056% 11/25/34 (o) | 15,860 | 6,950 | ||
Series 2005-MTR1 Class A1, 0.4056% 10/25/35 (o) | 78,508 | 77,651 | ||
Series 2006-FM1 Class M3, 0.6156% 4/25/36 (o) | 431,287 | 4,478 | ||
Guggenheim Structured Real Estate Funding Ltd.: | ||||
Series 2005-1 Class C, 1.3456% 5/25/30 (h)(o) | 659,999 | 99,000 | ||
Series 2006-3: | ||||
Class B, 0.6656% 9/25/46 (h)(o) | 654,930 | 98,240 | ||
Class C, 0.8156% 9/25/46 (h)(o) | 1,526,694 | 152,669 | ||
Class E, 1.9156% 9/25/46 (h)(o) | 250,919 | 15,055 | ||
Home Equity Asset Trust: | ||||
Series 2002-3 Class A5, 1.1456% 2/25/33 (o) | 402 | 96 | ||
Series 2003-2 Class M1, 1.5856% 8/25/33 (o) | 512,285 | 249,509 | ||
Series 2003-3 Class M1, 1.5556% 8/25/33 (o) | 899,380 | 433,667 | ||
Series 2003-5 Class A2, 0.9656% 12/25/33 (o) | 32,929 | 12,002 | ||
Series 2003-7 Class A2, 1.0256% 3/25/34 (o) | 1,657 | 647 | ||
Series 2004-3 Class M2, 1.9656% 8/25/34 (o) | 300,402 | 173,903 | ||
Series 2004-7 Class A3, 0.6556% 1/25/35 (o) | 613 | 368 | ||
Series 2005-5 Class 2A2, 0.5156% 11/25/35 (o) | 272,057 | 256,017 | ||
Series 2006-1 Class 2A3, 0.4906% 4/25/36 (o) | 3,362,465 | 3,092,394 | ||
Series 2006-3N Class B, 6.5% 8/27/36 (h) | 250,000 | 0 | ||
Series 2006-8 Class 2A1, 0.3156% 3/25/37 (o) | 21,005 | 19,400 | ||
HSBC Credit Card Master Note Trust I Series 2006-1 Class B, 0.4128% 6/15/12 (o) | 2,249,000 | 2,233,531 | ||
HSBC Home Equity Loan Trust Series 2006-2: | ||||
Class M1, 0.5425% 3/20/36 (o) | 586,295 | 337,266 | ||
Class M2, 0.5625% 3/20/36 (o) | 970,086 | 470,580 | ||
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.4556% 1/25/37 (o) | 1,522,035 | 447,064 | ||
Hyundai Auto Receivables Trust Series 2006-1: | ||||
Class B, 5.29% 11/15/12 | 131,168 | 131,950 | ||
Class C, 5.34% 11/15/12 | 169,955 | 172,556 | ||
JPMorgan Mortgage Acquisition Trust: | ||||
Series 2006-NC2 Class M2, 0.5656% 7/25/36 (o) | 204,000 | 4,076 | ||
Series 2007-CH1: | ||||
Class AV4, 0.3956% 11/25/36 (o) | 1,520,141 | 683,227 | ||
Class MV1, 0.4956% 11/25/36 (o) | 1,234,797 | 126,393 | ||
Series 2007-CH3 Class M1, 0.5656% 3/25/37 (o) | 573,000 | 19,755 | ||
Kent Funding III Ltd. Series 2006-3A Class D, 4.1538% 10/29/47 (o) | 281,890 | 28 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (d) | Value | ||
Keycorp Student Loan Trust: | ||||
Series 1999-A Class A2, 1.5575% 12/27/09 (o) | $ 1,013,685 | $ 805,338 | ||
Series 2006-A: | ||||
Class 2A1, 1.2575% 9/27/21 (o) | 382,221 | 379,265 | ||
Class 2C, 2.3775% 3/27/42 (o) | 3,243,000 | 528,596 | ||
Lancer Funding Ltd. Series 2006-1A Class A3, 2.2775% 4/6/46 (h)(o) | 272,850 | 27 | ||
Leafs CMBS I Ltd. Series 2002-1A Class D, 4.13% 11/20/37 (h) | 155,863 | 81,049 | ||
Leafs CMBS I Ltd./Leafs CMBS I Corp. Series 2002-1A Class A2, 0.8225% 11/20/17 (h)(o) | 500,000 | 410,000 | ||
Long Beach Auto Receivables Trust Series 2007-A | 3,523,500 | 3,241,490 | ||
Long Beach Mortgage Loan Trust: | ||||
Series 2004-2 Class M2, 1.3456% 6/25/34 (o) | 336,518 | 258,379 | ||
Series 2006-8 Class 2A1, 0.3056% 9/25/36 (o) | 26,392 | 26,113 | ||
Marathon Real Estate CDO Ltd. Series 2006-1A Class B, 0.6956% 5/25/46 (h)(o) | 250,000 | 20,000 | ||
Marriott Vacation Club Owner Trust Series 2006-2A: | ||||
Class B, 5.442% 10/20/28 (h) | 28,260 | 15,543 | ||
Class C, 5.691% 10/20/28 (h) | 12,560 | 6,280 | ||
Class D, 6.01% 10/20/28 (h) | 149,545 | 67,295 | ||
MASTR Asset Backed Securities Trust: | ||||
Series 2006-AM3 Class M1, 0.5256% 10/25/36 (o) | 545,328 | 14,887 | ||
Series 2007-HE1 Class M1, 0.5656% 5/25/37 (o) | 784,792 | 27,469 | ||
Meritage Mortgage Loan Trust Series 2004-1 Class M1, 1.0156% 7/25/34 (o) | 220,450 | 97,568 | ||
Merrill Auto Trust Securitization Series 2007-1 Class B, 5.79% 12/16/13 | 417,699 | 397,382 | ||
Merrill Lynch Mortgage Investors Trust: | ||||
Series 2003-OPT1 Class M1, 0.9156% 7/25/34 (o) | 936,072 | 663,792 | ||
Series 2006-FM1 Class A2B, 0.3756% 4/25/37 (o) | 2,667,349 | 1,940,582 | ||
Series 2006-MLN1 Class A2A, 0.3356% 7/25/37 (o) | 76,585 | 73,016 | ||
Series 2006-OPT1 Class A1A, 0.5256% 6/25/35 (o) | 3,475,759 | 1,707,022 | ||
Morgan Stanley ABS Capital I Trust: | ||||
Series 2004-HE6 Class A2, 0.6056% 8/25/34 (o) | 57,368 | 11,978 | ||
Series 2005-HE1 Class M2, 0.7356% 12/25/34 (o) | 487,793 | 326,801 | ||
Series 2005-HE2 Class M1, 0.6656% 1/25/35 (o) | 441,329 | 167,620 | ||
Series 2005-NC1 Class M1, 0.7056% 1/25/35 (o) | 399,800 | 159,786 | ||
Series 2005-NC2 Class B1, 1.4356% 3/25/35 (o) | 416,362 | 65,499 | ||
Series 2006-HE6 Class A2A, 0.3056% 9/25/36 (o) | 407,177 | 399,022 | ||
Series 2006-NC4 Class M4, 0.6156% 6/25/36 (o) | 320,280 | 1,718 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (d) | Value | ||
Morgan Stanley ABS Capital I Trust: - continued | ||||
Series 2007-HE2 Class M1, 0.5156% 1/25/37 (o) | $ 263,000 | $ 4,853 | ||
Morgan Stanley Dean Witter Capital I Trust | 34,465 | 7,306 | ||
Morgan Stanley Home Equity Loans Trust Series 2007-2 Class A1, 0.3656% 4/25/37 (o) | 1,144,261 | 934,193 | ||
Morgan Stanley IXIS Real Estate Capital Trust | 18,657 | 17,573 | ||
N-Star Real Estate CDO Ltd. Series 1A: | ||||
Class B1, 2.0469% 8/28/38 (h)(o) | 195,000 | 117,000 | ||
Class C1B, 7.696% 8/28/38 (h) | 63,000 | 27,846 | ||
National Collegiate Funding LLC Series 2004-GT1 | 4,356,000 | 392,040 | ||
National Collegiate Student Loan Trust: | ||||
Series 2004-2 Class AIO, 9.75% 10/25/14 (q) | 4,504,900 | 900,980 | ||
Series 2005-GT1 Class AIO, 6.75% 12/25/09 (q) | 3,239,000 | 89,073 | ||
Series 2006-1 Class AIO, 5.5% 4/25/11 (q) | 466,000 | 30,290 | ||
Series 2006-2 Class AIO, 6% 8/25/11 (q) | 231,000 | 21,945 | ||
Series 2006-3: | ||||
Class A1, 0.2956% 9/25/19 (o) | 700,204 | 690,686 | ||
Class AIO, 7.1% 1/25/12 (q) | 372,000 | 51,768 | ||
Series 2006-4: | ||||
Class A1, 0.2956% 3/25/25 (o) | 770,100 | 739,157 | ||
Class AIO, 6.35% 2/27/12 (q) | 1,182,000 | 155,149 | ||
Class D, 1.3656% 5/25/32 (o) | 2,481,000 | 59,403 | ||
Series 2007-1 Class AIO, 7.27% 4/25/12 (q) | 1,589,000 | 263,409 | ||
Series 2007-2 Class AIO, 6.7% 7/25/12 (q) | 1,351,000 | 215,957 | ||
New Century Home Equity Loan Trust: | ||||
Series 2005-4 Class M2, 0.7756% 9/25/35 (o) | 1,426,957 | 285,687 | ||
Series 2005-D Class M2, 0.7356% 2/25/36 (o) | 827,339 | 49,918 | ||
Nomura Home Equity Loan Trust Series 2006-HE2 | 486,363 | 464,411 | ||
NovaStar Mortgage Funding Trust Series 2006-6 | 19,231 | 18,782 | ||
Ocala Funding LLC: | ||||
Series 2005-1A Class A, 1.7725% 3/20/10 (h)(o) | 566,000 | 220,740 | ||
Series 2006-1A Class A, 1.6725% 3/20/11 (h)(o) | 1,176,000 | 435,120 | ||
Option One Mortgage Loan Trust: | ||||
Series 2004-3 Class M3, 0.9156% 11/25/34 (o) | 343,974 | 270,453 | ||
Series 2007-5 Class 2A1, 0.3556% 5/25/37 (o) | 214,246 | 198,231 | ||
Series 2007-6 Class 2A1, 0.3256% 7/25/37 (o) | 295,460 | 275,111 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (d) | Value | ||
Park Place Securities, Inc.: | ||||
Series 2004-WCW1: | ||||
Class M2, 0.9456% 9/25/34 (o) | $ 278,447 | $ 196,861 | ||
Class M3, 1.5156% 9/25/34 (o) | 532,896 | 140,313 | ||
Class M4, 1.7156% 9/25/34 (o) | 683,353 | 98,476 | ||
Series 2004-WCW2 Class M3, 0.8156% 7/25/35 (o) | 400,651 | 59,346 | ||
Series 2005-WCH1: | ||||
Class M2, 0.7856% 1/25/35 (o) | 2,548,346 | 1,676,265 | ||
Class M3, 0.8256% 1/25/35 (o) | 478,432 | 249,139 | ||
Class M4, 1.0956% 1/25/35 (o) | 1,475,804 | 239,914 | ||
Series 2005-WHQ2: | ||||
Class M7, 1.5156% 5/25/35 (o) | 1,883,145 | 34,051 | ||
Class M9, 2.1456% 5/25/35 (o) | 591,445 | 3,220 | ||
Prima Capital CDO Ltd./Prima Capital CDO Corp. Series 2005-1A: | ||||
Class A2, 4.646% 7/24/39 (h) | 506,841 | 425,747 | ||
Class B, 4.846% 7/24/39 (h) | 180,000 | 122,400 | ||
Class C, 5.08% 7/24/39 (h) | 185,000 | 111,000 | ||
Providian Master Note Trust Series 2006-C1A Class C1, 0.8228% 3/16/15 (h)(o) | 3,406,919 | 3,085,691 | ||
Rental Car Finance Corp. Series 2005-1A Class A2, 4.59% 6/25/11 (h) | 530,000 | 414,891 | ||
Residential Asset Mortgage Products, Inc. | 566,000 | 14,382 | ||
Residential Asset Securities Corp. Series 2007-KS2 | 1,524,976 | 1,415,032 | ||
Resource Real Estate Funding CDO Series 2007-1A Class J, 3.2156% 9/25/46 (h)(o) | 250,000 | 7,500 | ||
Salomon Brothers Mortgage Securities VII, Inc. | 5,108 | 2,264 | ||
Saxon Asset Securities Trust Series 2004-1 Class M1, 1.0606% 3/25/35 (o) | 1,890,000 | 940,396 | ||
Securitized Asset Backed Receivables LLC Trust: | ||||
Series 2005-FR4 Class B3, 1.9856% 1/25/36 (o) | 96,000 | 1,429 | ||
Series 2006-FR4 Class A2A, 0.3456% 8/25/36 (o) | 80,746 | 40,739 | ||
Series 2007-NC1 Class A2A, 0.3156% 12/25/36 (o) | 50,431 | 45,314 | ||
Sierra Receivables Funding Co. Series 2007-1A | 1,142,292 | 947,167 | ||
SLM Private Credit Student Loan Trust Series 2004-A Class C, 1.5794% 6/15/33 (o) | 1,272,000 | 254,400 | ||
Specialty Underwriting & Residential Finance Trust: | ||||
Series 2003-BC3 Class M2, 2.6656% 8/25/34 (o) | 179,323 | 116,178 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (d) | Value | ||
Specialty Underwriting & Residential Finance Trust: - continued | ||||
Series 2006-AB2 Class N1, 5.75% 6/25/37 (h) | $ 656,637 | $ 6,566 | ||
Structured Asset Investment Loan Trust Series 2004-8 Class M5, 1.4156% 9/25/34 (o) | 83,940 | 12,587 | ||
Structured Asset Securities Corp.: | ||||
Series 2004-GEL1 Class A, 0.6256% 2/25/34 (o) | 137,271 | 73,027 | ||
Series 2007-BC4 Class A3, 0.535% 11/25/37 (o) | 14,981,348 | 13,636,883 | ||
Series 2007-GEL1 Class A2, 0.4556% 1/25/37 (h)(o) | 1,308,498 | 349,065 | ||
Structured Asset Securities Corp. Mortgage Loan Trust Series 2007-OSI Class A2, 0.3556% 6/25/37 (o) | 1,911,607 | 1,537,749 | ||
Superior Wholesale Inventory Financing Trust | ||||
Class A, 0.3728% 1/15/12 (o) | 1,278,000 | 1,257,366 | ||
Class B, 0.5728% 1/15/12 (o) | 1,054,000 | 991,477 | ||
Class C, 0.8728% 1/15/12 (o) | 1,634,000 | 1,339,880 | ||
SVO VOI Mortgage Corp. Series 2006-AA Class A, 5.28% 2/20/24 (h) | 1,460,798 | 1,246,251 | ||
Swift Master Auto Receivables Trust: | ||||
Series 2007-1: | ||||
Class A, 0.3728% 6/15/12 (o) | 3,555,000 | 3,430,575 | ||
Class B, 0.4928% 6/15/12 (o) | 3,709,000 | 3,430,825 | ||
Class C, 0.7728% 6/15/12 (o) | 254,000 | 177,800 | ||
Series 2007-2 Class A, 0.9228% 10/15/12 (o) | 2,867,000 | 2,734,401 | ||
Terwin Mortgage Trust: | ||||
Series 2003-4HE Class A1, 1.1256% 9/25/34 (o) | 28,819 | 9,827 | ||
Series 2003-6HE Class A1, 0.7356% 11/25/33 (o) | 36,470 | 14,051 | ||
TIAA Real Estate CDO Ltd./TIAA Real Estate CDO Corp.: | ||||
Series 2002-1A: | ||||
Class IIFX, 6.77% 5/22/37 (h) | 225,000 | 191,250 | ||
Class IV, 6.84% 5/22/37 (h) | 235,000 | 98,700 | ||
Series 2003-1A Class B2, 5.4802% 12/28/38 (h) | 100,000 | 65,000 | ||
Trapeza CDO XII Ltd./, Inc. Series 2007-12A Class B, 1.1375% 4/6/42 (h)(o) | 2,573,000 | 128,650 | ||
Triad Auto Receivables Owner Trust: | ||||
Series 2006-C Class A4, 5.31% 5/13/13 | 875,000 | 865,198 | ||
Series 2007-A Class A3, 5.28% 2/13/12 | 1,761,756 | 1,775,641 | ||
Turquoise Card Backed Securities PLC: | ||||
Series 2006-2: | ||||
Class B, 0.4228% 10/17/11 (o) | 4,204,000 | 4,046,231 | ||
Class C, 0.6228% 10/17/11 (o) | 4,872,801 | 4,567,445 | ||
Series 2007-1 Class C, 0.6428% 6/15/12 (o) | 3,669,172 | 2,751,879 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (d) | Value | ||
Wachovia Auto Loan Owner Trust: | ||||
Series 2006-1 Class A4, 5.08% 4/20/12 (h) | $ 978,848 | $ 999,908 | ||
Series 2006-2A: | ||||
Class B, 5.29% 6/20/12 (h) | 409,000 | 420,921 | ||
Class D, 5.54% 12/20/12 (h) | 583,000 | 526,963 | ||
Class E, 7.05% 5/20/14 (h) | 1,390,000 | 1,131,431 | ||
Wachovia Ltd./Wachovia LLC: | ||||
Series 2006-1 Class 1ML, 6.7222% 9/25/26 (h)(o) | 400,000 | 24,000 | ||
Series 2006-1A: | ||||
Class F, 1.7575% 9/25/26 (h)(o) | 250,000 | 12,500 | ||
Class G, 1.9575% 9/25/26 (h)(o) | 250,000 | 10,000 | ||
WaMu Asset Holdings Corp. Series 2006-8 Class N1, 6.048% 10/25/46 (h) | 887,552 | 89 | ||
WaMu Asset-Backed Certificates Series 2006-HE3 | 602,848 | 10,179 | ||
WaMu Master Note Trust: | ||||
Series 2006-C2A Class C2, 0.7728% 8/15/15 (h)(o) | 8,530,177 | 7,512,860 | ||
Series 2007-A2 Class A2, 0.3028% 5/15/14 (h)(o) | 12,710,000 | 12,621,188 | ||
Series 2007-A4A Class A4, 5.2% 10/15/14 (h) | 10,589,000 | 10,977,059 | ||
Series 2007-A5A Class A5, 1.0228% 10/15/14 (h)(o) | 1,500,000 | 1,492,495 | ||
Series 2007-C1 Class C1, 0.6728% 5/15/14 (h)(o) | 8,690,021 | 8,468,797 | ||
Wells Fargo Home Equity Trust: | ||||
Series 2004-3 Class A, 4.5% 11/27/34 (a)(h) | 7,576 | 0 | ||
Series 2006-2 Class A2, 0.3656% 7/25/36 (o) | 655,680 | 631,276 | ||
Whinstone Capital Management Ltd. Series 1A Class B3, 1.4038% 10/25/44 (h)(o) | 1,789,540 | 214,745 | ||
Wrightwood Capital Real Estate CDO Ltd. | 305,000 | 27,450 | ||
TOTAL ASSET-BACKED SECURITIES (Cost $232,711,915) | 240,669,499 | |||
Collateralized Mortgage Obligations - 2.3% | ||||
| ||||
Private Sponsor - 1.8% | ||||
ABN AMRO Mortgage Corp.: | ||||
Series 2003-2 Class B4, 5.3302% 3/25/18 (o) | 151,082 | 42,303 | ||
Series 2003-9 Class B5, 4.5164% 8/25/18 (h) | 265,658 | 39,849 | ||
Arkle Master Issuer PLC floater Series 2006-2A: | ||||
Class 2B, 0.56% 2/17/52 (h)(o) | 2,908,000 | 2,839,168 | ||
Class 2M, 0.64% 2/17/52 (h)(o) | 1,978,000 | 1,905,289 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (d) | Value | ||
Private Sponsor - continued | ||||
Arran Residential Mortgages Funding No. 1 PLC floater Series 2006-1A Class DB, 0.94% 4/12/56 (h)(o) | $ 1,428,375 | $ 928,444 | ||
Banc of America Commercial Mortgage Trust | ||||
Class B, 5.6986% 4/10/49 (o) | 106,000 | 22,313 | ||
Class C, 5.6986% 4/10/49 (o) | 281,000 | 50,664 | ||
Class D, 5.6986% 4/10/49 (o) | 141,000 | 22,588 | ||
Banc of America Large Loan, Inc. Series 2005-MIB1 Class A2, 0.4828% 3/15/22 (h)(o) | 1,025,000 | 787,444 | ||
Banc of America Mortgage Securities, Inc.: | ||||
Series 2003-K Class 1A1, 5.2037% 12/25/33 (o) | 96,761 | 74,394 | ||
Series 2003-L Class 2A1, 5.2191% 1/25/34 (o) | 2,459,269 | 2,102,581 | ||
Series 2004-1 Class 2A2, 4.6617% 10/25/34 (o) | 2,718,546 | 2,289,981 | ||
Series 2004-7 Class 15B4, 5.3054% 8/25/19 (h)(o) | 70,456 | 4,541 | ||
Series 2004-A Class 2A2, 5.4508% 2/25/34 (o) | 1,668,653 | 1,430,560 | ||
Series 2004-B: | ||||
Class 1A1, 4.6868% 3/25/34 (o) | 182,414 | 140,691 | ||
Class 2A2, 4.5749% 3/25/34 (o) | 1,559,468 | 1,325,412 | ||
Series 2004-C Class 1A1, 4.097% 4/25/34 (o) | 211,016 | 174,231 | ||
Series 2004-D: | ||||
Class 1A1, 3.8783% 5/25/34 (o) | 298,165 | 229,668 | ||
Class 2A2, 3.8898% 5/25/34 (o) | 2,564,154 | 2,166,818 | ||
Series 2004-G Class 2A7, 4.2585% 8/25/34 (o) | 2,185,181 | 1,862,141 | ||
Series 2004-H Class 2A1, 4.469% 9/25/34 (o) | 2,064,867 | 1,701,549 | ||
Series 2005-H: | ||||
Class 1A1, 4.6982% 9/25/35 (o) | 190,979 | 149,447 | ||
Class 2A2, 4.805% 9/25/35 (o) | 6,001,901 | 2,708,048 | ||
Bayview Commercial Asset Trust Series 2006-3A | 13,400,308 | 958,122 | ||
Bear Stearns ALT-A Trust floater Series 2005-1 Class A1, 0.5456% 1/25/35 (o) | 2,760,392 | 2,141,652 | ||
Bear Stearns Commercial Mortgage Securities Trust Series 2006-T24 Class X2, 0.4243% 10/12/41 (h)(o)(q) | 4,853,715 | 64,526 | ||
Chase Mortgage Finance Trust: | ||||
Series 2007-A1 Class 1A5, 4.6804% 2/25/37 (o) | 2,088,264 | 1,813,178 | ||
Series 2007-A2 Class 2A1, 5.0375% 7/25/37 (o) | 462,994 | 418,078 | ||
Citigroup Commercial Mortgage Trust Series 2008-C7 Class A2B, 6.2986% 12/10/49 (o) | 1,902,000 | 1,877,197 | ||
Citigroup Mortgage Loan Trust Series 2004-UST1: | ||||
Class A3, 4.189% 8/25/34 (o) | 2,034,948 | 1,803,218 | ||
Class A4, 3.4368% 8/25/34 (o) | 1,734,230 | 1,529,872 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (d) | Value | ||
Private Sponsor - continued | ||||
Cobalt CMBS Commercial Mortgage Trust | $ 2,125,000 | $ 297,500 | ||
COMM pass-thru certificates floater Series 2001-J2A Class A2F, 0.7728% 7/16/34 (h)(o) | 1,902,000 | 1,604,941 | ||
Countrywide Alternative Loan Trust: | ||||
planned amortization class Series 2003-5T2 Class A2, 0.6656% 5/25/33 (o) | 48,031 | 47,520 | ||
Series 2006-OC5N Class N, 7.25% 7/25/37 (h) | 78,237 | 8 | ||
Countrywide Home Loans, Inc.: | ||||
Series 2003-28 Class B3, 5.5% 8/25/33 | 82,015 | 12,302 | ||
Series 2003-35 Class B, 4.6391% 9/25/18 (o) | 142,169 | 17,060 | ||
Series 2005-HYB3 Class 2A6B, 4.3939% 6/20/35 (o) | 639,000 | 258,051 | ||
Credit Suisse First Boston Adjustable Rate Mortgage Trust floater Series 2005-2 Class 6M2, 0.7456% 6/25/35 (o) | 1,475,123 | 103,255 | ||
Credit Suisse First Boston Mortgage Securities Corp.: | ||||
floater: | ||||
Series 2004-AR7 Class 6A2, 1.0256% 8/25/34 (o) | 33,770 | 18,476 | ||
Series 2004-AR8 Class 8A2, 1.0256% 9/25/34 (o) | 23,282 | 15,533 | ||
Series 2007-AR7 Class 2A1, 3.934% 11/25/34 (o) | 1,714,579 | 1,430,329 | ||
Series 2003-17 Class B4, 5.389% 6/25/33 (h)(o) | 369,443 | 36,944 | ||
Series 2004-3 Class DB4, 5.8407% 4/25/34 (o) | 114,815 | 2,296 | ||
CWALT, Inc.: | ||||
floater Series 2005-56: | ||||
Class 1A1, 0.9956% 11/25/35 (o) | 37,135,532 | 18,609,180 | ||
Class 2A3, 2.71% 11/25/35 (o) | 9,124,071 | 4,416,739 | ||
Series 2005-56: | ||||
Class 4A1, 0.5756% 11/25/35 (o) | 7,498,418 | 3,682,908 | ||
Class 5A1, 0.5856% 11/25/35 (o) | 10,516,286 | 5,227,626 | ||
Deutsche Alt-A Securities Mortgage Loan Trust floater Series 2007-BAR1 Class A3, 0.4256% 3/25/37 (o) | 3,434,976 | 1,232,670 | ||
DSLA Mortgage Loan Trust Series 2006-AR2 | 416,958 | 382,543 | ||
First Horizon Mortgage pass-thru Trust: | ||||
floater Series 2004-FL1 Class 2A1, 1.4488% 12/25/34 (o) | 52,953 | 25,997 | ||
Series 2004-AR5 Class 2A1, 5.0255% 10/25/34 (o) | 2,404,638 | 1,842,143 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (d) | Value | ||
Private Sponsor - continued | ||||
Fosse Master Issuer PLC: | ||||
floater Series 2006-1A: | ||||
Class B2, 0.67% 10/18/54 (h)(o) | $ 3,491,000 | $ 2,776,741 | ||
Class C2, 0.98% 10/18/54 (h)(o) | 1,170,000 | 760,500 | ||
Class M2, 0.76% 10/18/54 (h)(o) | 2,005,000 | 1,374,227 | ||
Series 2007-1A Class C2, 1.06% 10/18/54 (h)(o) | 321,000 | 276,307 | ||
GMAC Commercial Mortgage Securities, Inc. | 284,999 | 11,400 | ||
GMAC Mortgage Loan Trust Series 2003-J10 Class B2, 4.75% 1/25/19 (h) | 135,357 | 20,304 | ||
Gracechurch Mortgage Financing PLC floater | 2,852,000 | 1,996,400 | ||
Gracechurch Mortgage Funding PLC floater Series 1A Class DB, 0.98% 10/11/41 (h)(o) | 3,114,000 | 2,491,200 | ||
Granite Master Issuer PLC floater: | ||||
Series 2005-4 Class C2, 0.8225% 12/20/54 (o) | 205,017 | 30,753 | ||
Series 2006-1A Class C2, 0.8725% 12/20/54 (h)(o) | 6,523,000 | 978,450 | ||
Series 2006-2 Class C1, 0.7425% 12/20/54 (o) | 5,398,000 | 647,760 | ||
Series 2006-3 Class C2, 0.7725% 12/20/54 (o) | 1,124,000 | 134,880 | ||
Series 2006-4: | ||||
Class B1, 0.3625% 12/20/54 (o) | 4,521,000 | 1,582,350 | ||
Class C1, 0.6525% 12/20/54 (o) | 2,767,000 | 415,050 | ||
Class M1, 0.4425% 12/20/54 (o) | 1,190,000 | 214,200 | ||
Series 2007-1: | ||||
Class 1C1, 0.5725% 12/20/54 (o) | 2,234,000 | 268,080 | ||
Class 1M1, 0.4225% 12/20/54 (o) | 1,493,000 | 268,740 | ||
Class 2C1, 0.7025% 12/20/54 (o) | 1,015,000 | 121,800 | ||
Class 2M1, 0.5225% 12/20/54 (o) | 1,917,000 | 345,060 | ||
Series 2007-2 Class 2C1, 0.7028% 12/17/54 (o) | 2,654,000 | 398,100 | ||
Granite Mortgages PLC floater Series 2003-3 Class 1C, 2.96% 1/20/44 (o) | 430,241 | 54,256 | ||
GSR Mortgage Loan Trust: | ||||
Series 2004-11 Class 1A1, 4.3491% 9/25/34 (o) | 364,675 | 261,569 | ||
Series 2007-AR2 Class 2A1, 4.8216% 4/25/35 (o) | 911,900 | 614,425 | ||
Harborview Mortgage Loan Trust floater Series 2005-2 Class 2A1A, 0.5088% 5/19/35 (o) | 414,160 | 219,004 | ||
Holmes Master Issuer PLC floater Series 2006-1A | 919,000 | 856,876 | ||
Impac CMB Trust floater: | ||||
Series 2004-11 Class 2A2, 1.0056% 3/25/35 (o) | 233,053 | 76,762 | ||
Series 2005-1 Class M4, 1.0156% 4/25/35 (o) | 25,075 | 2,431 | ||
Series 2005-3 Class A1, 0.5056% 8/25/35 (o) | 582,542 | 271,205 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (d) | Value | ||
Private Sponsor - continued | ||||
JPMorgan Chase Commercial Mortgage Securities Trust Series 2007-CB18: | ||||
Class A1, 5.32% 6/12/47 (o) | $ 245,186 | $ 252,658 | ||
Class A3, 5.447% 6/12/47 (o) | 3,606,000 | 3,191,076 | ||
JPMorgan Mortgage Trust: | ||||
sequential payer Series 2006-A5 Class 3A5, 5.9501% 8/25/36 (o) | 2,600,000 | 1,934,562 | ||
Series 2004-A1 Class 2A1, 4.4607% 2/25/34 (o) | 1,377,040 | 1,229,030 | ||
Series 2004-A3 Class 4A1, 4.2916% 7/25/34 (o) | 3,416,420 | 3,005,617 | ||
Series 2004-A5 Class 2A1, 4.3385% 12/25/34 (o) | 2,495,913 | 2,170,233 | ||
Series 2006-A2 Class 5A1, 5.0559% 11/25/33 (o) | 4,232,458 | 3,718,055 | ||
LB Commercial Conduit Mortgage Trust Series 1998-C4 Class F, 6% 10/15/35 (h) | 65,058 | 64,850 | ||
LB-UBS Commercial Mortgage Trust sequential payer Series 2006-C6 Class A4, 5.372% 12/31/49 | 857,000 | 744,505 | ||
Lehman Structured Securities Corp. floater Series 2005-1 Class A2, 0.6544% 9/26/45 (h)(o) | 435,898 | 203,407 | ||
Luminent Mortgage Trust: | ||||
floater Series 2006-1 Class A1, 0.5056% 4/25/36 (o) | 19,897,965 | 9,093,587 | ||
Series 2006-5 Class A1A, 0.4556% 7/25/36 (o) | 15,949,841 | 7,223,635 | ||
MASTR Adjustable Rate Mortgages Trust: | ||||
floater Series 2005-1 Class 1A1, 0.5356% 2/25/35 (o) | 54,918 | 30,840 | ||
Series 2007-3 Class 22A2, 0.4756% 5/25/47 (o) | 4,656,446 | 1,600,129 | ||
MASTR Alternative Loan Trust Series 2004-3 Class 3A1, 6% 4/25/34 | 641,980 | 474,139 | ||
MASTR Asset Backed Securities Trust Series 2006-NC3 Class M1, 0.4956% 10/25/36 (o) | 547,000 | 8,600 | ||
Merrill Lynch Alternative Note Asset Trust floater | 9,254,596 | 4,087,770 | ||
Merrill Lynch Floating Trust floater Series 2006-1: | ||||
Class B, 0.4428% 6/15/22 (h)(o) | 251,984 | 141,850 | ||
Class C, 0.4628% 6/15/22 (h)(o) | 1,559,607 | 655,035 | ||
Class D, 0.4728% 6/15/22 (h)(o) | 600,006 | 168,002 | ||
Class E, 0.4828% 6/15/22 (h)(o) | 959,771 | 211,150 | ||
Class F, 0.5128% 6/15/22 (h)(o) | 1,545,171 | 309,034 | ||
Class G, 0.5828% 6/15/22 (h)(o) | 359,765 | 57,562 | ||
Class H, 0.6028% 6/15/22 (h)(o) | 720,211 | 100,830 | ||
Class J, 0.6428% 6/15/22 (h)(o) | 840,246 | 100,830 | ||
Class TM, 0.7728% 6/15/22 (h)(o) | 749,721 | 524,805 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (d) | Value | ||
Private Sponsor - continued | ||||
Merrill Lynch Mortgage Investors Trust: | ||||
floater: | ||||
Series 2005-B Class A2, 1.4% 7/25/30 (o) | $ 752,020 | $ 540,689 | ||
Series 2006-MLN1 Class M4, 0.6256% 7/25/37 (o) | 1,043,420 | 4,234 | ||
Series 2004-A4 Class A1, 3.3459% 8/25/34 (o) | 2,774,480 | 2,487,736 | ||
Series 2005-A2 Class A7, 4.4821% 2/25/35 (o) | 2,934,000 | 2,236,483 | ||
Series 2006-A6 Class A4, 5.364% 10/25/33 (o) | 2,075,451 | 1,784,872 | ||
Merrill Lynch Mortgage Trust Series 2002-MW1 Class E, 6.219% 7/12/34 (h) | 90,000 | 74,018 | ||
Merrill Lynch-CFC Commercial Mortgage Trust | 8,143,000 | 7,848,077 | ||
Opteum Mortgage Acceptance Corp. floater | 2,942,913 | 1,973,285 | ||
Option One Mortgage Loan Trust floater | 2,994,072 | 132,578 | ||
Permanent Financing No. 8 PLC floater Class 3C, 1.17% 6/10/42 (o) | 2,253,000 | 1,775,223 | ||
Permanent Master Issuer PLC floater Series 2006-1 | 522,174 | 391,631 | ||
Provident Funding Mortgage Loan Trust Series 2005-2 Class 3A, 4.2156% 10/25/35 (o) | 3,911,229 | 3,061,429 | ||
RESI Finance LP/RESI Finance DE Corp. floater: | ||||
Series 2003-B: | ||||
Class B5, 2.6256% 7/10/35 (h)(o) | 2,522,055 | 1,286,089 | ||
Class B6, 3.1256% 7/10/35 (h)(o) | 562,326 | 261,369 | ||
Series 2004-A: | ||||
Class B4, 1.4756% 2/10/36 (h)(o) | 759,342 | 304,952 | ||
Class B5, 1.9756% 2/10/36 (h)(o) | 506,179 | 190,121 | ||
Series 2004-B: | ||||
Class B4, 1.3756% 2/10/36 (h)(o) | 600,359 | 192,655 | ||
Class B5, 1.8256% 2/10/36 (h)(o) | 438,056 | 126,817 | ||
Class B6, 2.2756% 2/10/36 (h)(o) | 155,201 | 38,319 | ||
Series 2004-C: | ||||
Class B4, 1.2256% 9/10/36 (h)(o) | 795,078 | 261,740 | ||
Class B5, 1.6256% 9/10/36 (h)(o) | 883,838 | 255,164 | ||
Class B6, 2.0256% 9/10/36 (h)(o) | 162,504 | 37,132 | ||
Residential Accredit Loans, Inc. floater Series 2005-QO5 Class A1, 2.21% 1/25/46 (o) | 17,168,158 | 8,938,176 | ||
Residential Asset Mortgage Products, Inc.: | ||||
sequential payer: | ||||
Series 2003-SL1 Class A31, 7.125% 4/25/31 | 1,364,758 | 1,207,460 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (d) | Value | ||
Private Sponsor - continued | ||||
Residential Asset Mortgage Products, Inc.: - continued | ||||
sequential payer: | ||||
Series 2004-SL3 Class A1, 7% 8/25/16 | $ 132,998 | $ 117,719 | ||
Series 2005-AR5 Class 1A1, 4.3273% 9/19/35 (o) | 242,095 | 152,926 | ||
Residential Funding Securities Corp. floater | 484,455 | 343,161 | ||
RESIX Finance Ltd. floater Series 2007-A Class BB, 3.6228% 2/15/39 (h)(o) | 491,263 | 9,531 | ||
ResMAE Mortgage Loan Trust floater Series 2006-1 Class A2A, 0.3656% 2/25/36 (h)(o) | 4,483 | 4,483 | ||
Salomon Brothers Mortgage Securities VII, Inc. | 268,000 | 216,530 | ||
Sequoia Mortgage Trust floater: | ||||
Series 2004-6 Class A3B, 1.6013% 7/20/34 (o) | 46,315 | 31,216 | ||
Series 2004-7 Class A3B, 1.535% 7/20/34 (o) | 29,826 | 17,352 | ||
Soundview Home Equity Loan Trust floater | 329,919 | 5,296 | ||
Structured Asset Mortgage Investments, Inc. floater | 31,752,186 | 14,422,707 | ||
Structured Asset Securities Corp.: | ||||
floater Series 2004-NP1 Class A, 0.6656% 9/25/33 (h)(o) | 82,957 | 39,687 | ||
Series 2003-15A Class 4A, 5.4571% 4/25/33 (o) | 942,819 | 785,026 | ||
Series 2003-20 Class 1A1, 5.5% 7/25/33 | 834,861 | 716,783 | ||
TBW Mortgage-Backed pass-thru certificates floater Series 2006-4 Class A3, 0.4656% 9/25/36 (o) | 3,273,627 | 1,555,068 | ||
WaMu Mortgage pass-thru certificates: | ||||
floater Series 2006-AR11 Class C1B1, 0.3456% 9/25/46 (o) | 61,274 | 59,843 | ||
Series 2003-AR8 Class A, 4.1135% 8/25/33 (o) | 1,413,353 | 1,266,522 | ||
Series 2005-AR3 Class A2, 4.6405% 3/25/35 (o) | 3,837,638 | 3,050,175 | ||
Wells Fargo Mortgage Backed Securities Trust: | ||||
Series 2003-12 Class B6, 4.75% 11/25/18 (h) | 261,788 | 26,179 | ||
Series 2004-EE Class 2A2, 3.5361% 12/25/34 (o) | 1,324,779 | 1,130,135 | ||
Series 2004-H Class A1, 4.5272% 6/25/34 (o) | 3,033,132 | 2,688,439 | ||
Series 2004-T Class A1, 3.954% 9/25/34 (o) | 750,592 | 641,208 | ||
Series 2004-W Class A9, 4.5277% 11/25/34 (o) | 3,483,000 | 2,497,399 | ||
Series 2005-AR10 Class 2A2, 3.8109% 6/25/35 (o) | 3,084,587 | 2,812,606 | ||
Series 2005-AR12: | ||||
Class 2A5, 4.046% 7/25/35 (o) | 9,260,000 | 7,435,051 | ||
Class 2A6, 4.046% 7/25/35 (o) | 1,347,136 | 1,166,742 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (d) | Value | ||
Private Sponsor - continued | ||||
Wells Fargo Mortgage Backed Securities Trust: - continued | ||||
Series 2005-AR2: | ||||
Class 1A2, 4.6417% 3/25/35 (o) | $ 4,497,038 | $ 2,684,126 | ||
Class 2A2, 4.57% 3/25/35 | 3,803,089 | 3,294,572 | ||
Series 2005-AR3 Class 2A1, 3.768% 3/25/35 (o) | 2,299,990 | 1,918,695 | ||
TOTAL PRIVATE SPONSOR | 216,138,035 | |||
U.S. Government Agency - 0.5% | ||||
Fannie Mae subordinate REMIC pass-thru certificates: | ||||
planned amortization class Series 2002-9 Class PC, 6% 3/25/17 | 520,386 | 556,951 | ||
sequential payer Series 2002-77 Class CB, 5% 12/25/17 | 48,250,000 | 51,036,932 | ||
Freddie Mac Multi-class participation certificates guaranteed sequential payer Series 2528 Class HN, 5% 11/15/17 | 5,515,000 | 5,801,853 | ||
TOTAL U.S. GOVERNMENT AGENCY | 57,395,736 | |||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $267,698,729) | 273,533,771 | |||
Commercial Mortgage Securities - 6.1% | ||||
| ||||
Asset Securitization Corp.: | ||||
Series 1996-D2 Class B1A, 9.0776% 2/14/29 (h)(o) | 750,000 | 637,500 | ||
Series 1997-D4: | ||||
Class B1, 7.525% 4/14/29 | 210,000 | 216,458 | ||
Class B2, 7.525% 4/14/29 | 1,494,104 | 1,389,517 | ||
Class B5, 7.525% 4/14/29 | 129,000 | 21,644 | ||
Series 1997-D5: | ||||
Class A-6, 7.2794% 2/14/43 (o) | 2,225,000 | 2,012,067 | ||
Class A2, 6.9094% 2/14/43 (o) | 1,399,000 | 1,519,717 | ||
Class A3, 6.9594% 2/14/43 (o) | 1,510,000 | 1,635,101 | ||
Class A5, 7.0294% 2/14/43 (o) | 239,000 | 230,879 | ||
Class A7, 7.5194% 2/14/43 (o) | 795,000 | 676,352 | ||
Class PS1, 1.556% 2/14/43 (o)(q) | 7,268,874 | 255,750 | ||
Banc of America Commercial Mortgage Trust: | ||||
sequential payer: | ||||
Series 2006-2 Class AAB, 5.7211% 5/10/45 (o) | 2,221,000 | 2,190,007 | ||
Series 2006-4 Class A1, 5.363% 7/10/46 (o) | 1,005,907 | 1,022,458 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (d) | Value | ||
Banc of America Commercial Mortgage Trust: - continued | ||||
sequential payer: | ||||
Series 2006-5: | ||||
Class A1, 5.185% 9/10/47 | $ 1,335,323 | $ 1,357,912 | ||
Class A2, 5.317% 9/10/47 | 7,342,000 | 7,349,053 | ||
Class A3, 5.39% 9/10/47 | 2,653,000 | 2,544,840 | ||
Series 2006-6 Class A3, 5.369% 12/10/16 | 3,804,000 | 3,233,598 | ||
Series 2007-2 Class A1, 5.421% 4/10/49 | 679,114 | 691,190 | ||
Series 2007-4 Class A3, 5.8115% 2/10/51 (o) | 1,897,000 | 1,765,851 | ||
Series 2006-6 Class E, 5.619% 10/10/45 (h) | 1,098,000 | 141,752 | ||
Series 2007-3: | ||||
Class A3, 5.6581% 6/10/49 (o) | 3,176,000 | 2,677,733 | ||
Class A4, 5.6581% 6/10/49 (o) | 3,965,000 | 3,037,403 | ||
Series 2008-1 Class D, 6.2089% 2/10/51 (h)(o) | 125,000 | 17,813 | ||
Banc of America Commercial Mortgage, Inc.: | ||||
sequential payer: | ||||
Series 2000-2 Class A2, 7.197% 9/15/32 | 465,357 | 472,501 | ||
Series 2001-1 Class A4, 5.451% 1/15/49 | 4,166,000 | 3,577,859 | ||
Series 2002-2 Class F, 5.487% 7/11/43 | 415,000 | 356,152 | ||
Series 2004-2: | ||||
Class A2, 3.52% 11/10/38 | 19,263 | 19,248 | ||
Class A3, 4.05% 11/10/38 | 2,573,000 | 2,573,028 | ||
Class A4, 4.153% 11/10/38 | 2,412,000 | 2,350,334 | ||
Series 2004-4 Class A3, 4.128% 7/10/42 | 798,236 | 801,284 | ||
Series 2005-1 Class A3, 4.877% 11/10/42 | 7,211,322 | 7,203,440 | ||
Series 2006-1 Class A1, 5.219% 9/10/45 (o) | 2,516,715 | 2,549,606 | ||
Series 2007-1 Class A2, 5.381% 1/15/49 | 4,040,000 | 4,015,552 | ||
Series 2001-3 Class H, 6.562% 4/11/37 (h) | 1,062,000 | 1,013,348 | ||
Series 2001-PB1: | ||||
Class J, 7.166% 5/11/35 (h) | 474,000 | 312,461 | ||
Class K, 6.15% 5/11/35 (h) | 885,000 | 680,213 | ||
Series 2002-2 Class XP, 2.0377% 7/11/43 (h)(o)(q) | 1,521,141 | 9,079 | ||
Series 2003-2 Class XP, 0.4553% 3/11/41 (h)(o)(q) | 21,044,399 | 69,375 | ||
Series 2004-1 Class F, 5.279% 11/10/39 (h) | 185,000 | 69,523 | ||
Series 2004-5 Class G, 5.2246% 11/10/41 (h)(o) | 135,000 | 34,896 | ||
Series 2005-3 Series A3B, 5.09% 7/10/43 (o) | 5,908,000 | 5,658,774 | ||
Series 2005-6 Class A3, 5.1791% 9/10/47 (o) | 3,423,000 | 3,304,168 | ||
Series 2007-1 Class B, 5.543% 1/15/49 | 1,146,000 | 244,729 | ||
Banc of America Large Loan, Inc. floater: | ||||
Series 2005-MIB1: | ||||
Class B, 0.5328% 3/15/22 (h)(o) | 390,000 | 241,800 | ||
Class C, 0.5828% 3/15/22 (h)(o) | 817,000 | 473,860 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (d) | Value | ||
Banc of America Large Loan, Inc. floater: - continued | ||||
Series 2005-MIB1: - continued | ||||
Class D, 0.6328% 3/15/22 (h)(o) | $ 826,000 | $ 454,300 | ||
Class E, 0.6728% 3/15/22 (h)(o) | 684,000 | 355,680 | ||
Class F, 0.7428% 3/15/22 (h)(o) | 615,784 | 307,892 | ||
Class G, 0.8028% 3/15/22 (h)(o) | 399,119 | 179,604 | ||
Series 2006-BIX1: | ||||
Class C, 0.4528% 10/15/19 (h)(o) | 1,222,000 | 818,740 | ||
Class D, 0.4828% 10/15/19 (h)(o) | 1,494,000 | 896,400 | ||
Class E, 0.5128% 10/15/19 (h)(o) | 1,385,000 | 761,750 | ||
Class F, 0.5828% 10/15/19 (h)(o) | 3,150,730 | 1,575,365 | ||
Class G, 0.6028% 10/15/19 (h)(o) | 1,245,579 | 560,511 | ||
Bayview Commercial Asset Trust: | ||||
floater: | ||||
Series 2003-2 Class M1, 1.1156% 12/25/33 (h)(o) | 96,922 | 48,461 | ||
Series 2004-1: | ||||
Class A, 0.6256% 4/25/34 (h)(o) | 1,662,128 | 1,180,111 | ||
Class B, 2.1656% 4/25/34 (h)(o) | 186,348 | 74,539 | ||
Class M1, 0.8256% 4/25/34 (h)(o) | 149,617 | 88,274 | ||
Class M2, 1.4656% 4/25/34 (h)(o) | 138,226 | 69,113 | ||
Series 2004-2: | ||||
Class A, 0.6956% 8/25/34 (h)(o) | 1,290,997 | 903,698 | ||
Class M1, 0.8456% 8/25/34 (h)(o) | 217,311 | 108,655 | ||
Series 2004-3: | ||||
Class A1, 0.6356% 1/25/35 (h)(o) | 2,795,225 | 1,816,897 | ||
Class A2, 0.6856% 1/25/35 (h)(o) | 401,112 | 248,689 | ||
Class M1, 0.7656% 1/25/35 (h)(o) | 482,521 | 246,086 | ||
Class M2, 1.2656% 1/25/35 (h)(o) | 223,590 | 98,379 | ||
Series 2005-2A: | ||||
Class A1, 0.5756% 8/25/35 (h)(o) | 2,167,419 | 1,415,325 | ||
Class M1, 0.6956% 8/25/35 (h)(o) | 107,940 | 43,867 | ||
Class M2, 0.7456% 8/25/35 (h)(o) | 178,029 | 66,476 | ||
Class M3, 0.7656% 8/25/35 (h)(o) | 98,498 | 33,972 | ||
Class M4, 0.8756% 8/25/35 (h)(o) | 90,418 | 29,323 | ||
Series 2005-3A: | ||||
Class A1, 0.5856% 11/25/35 (h)(o) | 802,116 | 540,947 | ||
Class A2, 0.6656% 11/25/35 (h)(o) | 794,894 | 476,936 | ||
Class M1, 0.7056% 11/25/35 (h)(o) | 94,870 | 39,229 | ||
Class M2, 0.7556% 11/25/35 (h)(o) | 120,448 | 46,866 | ||
Class M3, 0.7756% 11/25/35 (h)(o) | 107,798 | 39,260 | ||
Class M4, 0.8656% 11/25/35 (h)(o) | 134,306 | 46,819 | ||
Series 2005-4A: | ||||
Class A2, 0.6556% 1/25/36 (h)(o) | 1,872,885 | 1,123,731 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (d) | Value | ||
Bayview Commercial Asset Trust: - continued | ||||
floater: | ||||
Series 2005-4A: - continued | ||||
Class B1, 1.6656% 1/25/36 (h)(o) | $ 161,849 | $ 43,699 | ||
Class M1, 0.7156% 1/25/36 (h)(o) | 604,156 | 283,953 | ||
Class M2, 0.7356% 1/25/36 (h)(o) | 181,247 | 79,749 | ||
Class M3, 0.7656% 1/25/36 (h)(o) | 264,697 | 108,526 | ||
Class M4, 0.8756% 1/25/36 (h)(o) | 146,392 | 54,165 | ||
Class M5, 0.9156% 1/25/36 (h)(o) | 146,392 | 48,309 | ||
Class M6, 0.9656% 1/25/36 (h)(o) | 155,484 | 45,091 | ||
Series 2006-1: | ||||
Class A2, 0.6256% 4/25/36 (h)(o) | 282,456 | 161,932 | ||
Class M1, 0.6456% 4/25/36 (h)(o) | 101,023 | 40,874 | ||
Class M2, 0.6656% 4/25/36 (h)(o) | 106,737 | 40,624 | ||
Class M3, 0.6856% 4/25/36 (h)(o) | 91,839 | 33,282 | ||
Class M4, 0.7856% 4/25/36 (h)(o) | 52,042 | 18,043 | ||
Class M5, 0.8256% 4/25/36 (h)(o) | 50,511 | 16,628 | ||
Class M6, 0.9056% 4/25/36 (h)(o) | 100,716 | 31,121 | ||
Series 2006-2A: | ||||
Class A1, 0.4956% 7/25/36 (h)(o) | 5,170,709 | 3,471,614 | ||
Class A2, 0.5456% 7/25/36 (h)(o) | 255,813 | 148,653 | ||
Class B1, 1.1356% 7/25/36 (h)(o) | 95,780 | 27,690 | ||
Class B3, 2.9656% 7/25/36 (h)(o) | 144,709 | 36,322 | ||
Class M1, 0.5756% 7/25/36 (h)(o) | 268,401 | 108,864 | ||
Class M2, 0.5956% 7/25/36 (h)(o) | 189,370 | 72,207 | ||
Class M3, 0.6156% 7/25/36 (h)(o) | 157,078 | 56,878 | ||
Class M4, 0.6856% 7/25/36 (h)(o) | 106,069 | 36,657 | ||
Class M5, 0.7356% 7/25/36 (h)(o) | 130,369 | 42,748 | ||
Class M6, 0.8056% 7/25/36 (h)(o) | 194,514 | 59,988 | ||
Series 2006-3A: | ||||
Class B1, 1.0656% 10/25/36 (h)(o) | 167,988 | 25,198 | ||
Class B2, 1.6156% 10/25/36 (h)(o) | 121,163 | 15,145 | ||
Class B3, 2.8656% 10/25/36 (h)(o) | 197,173 | 25,633 | ||
Class M4, 0.6956% 10/25/36 (h)(o) | 185,658 | 42,701 | ||
Class M5, 0.7456% 10/25/36 (h)(o) | 222,259 | 44,452 | ||
Class M6, 0.8256% 10/25/36 (h)(o) | 435,052 | 78,309 | ||
Series 2006-4A: | ||||
Class A1, 0.4956% 12/25/36 (h)(o) | 968,260 | 650,090 | ||
Class A2, 0.5356% 12/25/36 (h)(o) | 4,926,756 | 2,290,449 | ||
Class B1, 0.9656% 12/25/36 (h)(o) | 150,639 | 32,704 | ||
Class B2, 1.5156% 12/25/36 (h)(o) | 153,546 | 30,157 | ||
Class B3, 2.7156% 12/25/36 (h)(o) | 261,479 | 45,916 | ||
Class M1, 0.5556% 12/25/36 (h)(o) | 315,162 | 105,611 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (d) | Value | ||
Bayview Commercial Asset Trust: - continued | ||||
floater: | ||||
Series 2006-4A: - continued | ||||
Class M2, 0.5756% 12/25/36 (h)(o) | $ 210,108 | $ 65,617 | ||
Class M3, 0.6056% 12/25/36 (h)(o) | 213,047 | 62,785 | ||
Class M4, 0.6656% 12/25/36 (h)(o) | 254,921 | 70,919 | ||
Class M5, 0.7056% 12/25/36 (h)(o) | 234,351 | 61,213 | ||
Class M6, 0.7856% 12/25/36 (h)(o) | 210,108 | 50,783 | ||
Series 2007-1: | ||||
Class A2, 0.5356% 3/25/37 (h)(o) | 1,068,467 | 523,549 | ||
Class B1, 0.9356% 3/25/37 (h)(o) | 339,945 | 61,190 | ||
Class B2, 1.4156% 3/25/37 (h)(o) | 246,478 | 36,972 | ||
Class B3, 3.6156% 3/25/37 (h)(o) | 674,903 | 80,988 | ||
Class M1, 0.5356% 3/25/37 (h)(o) | 299,112 | 113,663 | ||
Class M2, 0.5556% 3/25/37 (h)(o) | 223,403 | 71,489 | ||
Class M3, 0.5856% 3/25/37 (h)(o) | 198,128 | 59,438 | ||
Class M4, 0.6356% 3/25/37 (h)(o) | 159,231 | 42,992 | ||
Class M5, 0.6856% 3/25/37 (h)(o) | 248,562 | 59,655 | ||
Class M6, 0.7656% 3/25/37 (h)(o) | 348,004 | 74,821 | ||
Series 2007-2A: | ||||
Class A1, 0.5356% 7/25/37 (h)(o) | 930,321 | 539,586 | ||
Class A2, 0.5856% 7/25/37 (h)(o) | 869,259 | 408,552 | ||
Class B1, 1.8656% 7/25/37 (h)(o) | 267,708 | 38,818 | ||
Class B2, 2.5156% 7/25/37 (h)(o) | 231,774 | 31,290 | ||
Class B3, 3.6156% 7/25/37 (h)(o) | 260,583 | 33,876 | ||
Class M1, 0.6356% 7/25/37 (h)(o) | 305,235 | 106,832 | ||
Class M2, 0.6756% 7/25/37 (h)(o) | 166,793 | 50,038 | ||
Class M3, 0.7556% 7/25/37 (h)(o) | 169,119 | 42,280 | ||
Class M4, 0.9156% 7/25/37 (h)(o) | 333,898 | 66,780 | ||
Class M5, 1.0156% 7/25/37 (h)(o) | 294,338 | 52,981 | ||
Class M6, 1.2656% 7/25/37 (h)(o) | 373,201 | 55,980 | ||
Series 2007-3: | ||||
Class A2, 0.5556% 7/25/37 (h)(o) | 998,714 | 492,566 | ||
Class B1, 1.2156% 7/25/37 (h)(o) | 242,744 | 48,063 | ||
Class B2, 1.8656% 7/25/37 (h)(o) | 607,457 | 103,450 | ||
Class B3, 4.2656% 7/25/37 (h)(o) | 322,706 | 47,535 | ||
Class M1, 0.5756% 7/25/37 (h)(o) | 216,912 | 81,494 | ||
Class M2, 0.6056% 7/25/37 (h)(o) | 232,489 | 81,023 | ||
Class M3, 0.6356% 7/25/37 (h)(o) | 366,346 | 120,015 | ||
Class M4, 0.7656% 7/25/37 (h)(o) | 575,218 | 167,561 | ||
Class M5, 0.8656% 7/25/37 (h)(o) | 298,365 | 73,189 | ||
Class M6, 1.0656% 7/25/37 (h)(o) | 227,512 | 52,714 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (d) | Value | ||
Bayview Commercial Asset Trust: - continued | ||||
floater: | ||||
Series 2007-4A: | ||||
Class B1, 2.8156% 9/25/37 (h)(o) | $ 344,457 | $ 44,779 | ||
Class B2, 3.7156% 9/25/37 (h)(o) | 1,253,246 | 150,390 | ||
Class M1, 1.2156% 9/25/37 (h)(o) | 331,221 | 82,805 | ||
Class M2, 1.3156% 9/25/37 (h)(o) | 331,221 | 69,556 | ||
Class M4, 1.8656% 9/25/37 (h)(o) | 847,151 | 144,016 | ||
Class M5, 2.0156% 9/25/37 (h)(o) | 847,151 | 127,073 | ||
Class M6, 2.2156% 9/25/37 (h)(o) | 848,796 | 114,587 | ||
Series 2004-1 Class IO, 1.25% 4/25/34 (h)(q) | 5,427,381 | 84,124 | ||
Series 2007-5A Class IO, 1.5496% 10/25/37 (h)(q) | 11,709,110 | 1,006,983 | ||
Bear Stearns Commercial Mortgage Securities Trust: | ||||
floater: | ||||
Series 2006-BBA7: | ||||
Class G, 0.7128% 3/15/19 (h)(o) | 805,386 | 386,585 | ||
Class H, 0.9228% 3/15/19 (h)(o) | 541,917 | 233,024 | ||
Class J, 1.1228% 3/15/19 (h)(o) | 407,118 | 154,705 | ||
Series 2007-BBA8: | ||||
Class D, 0.5228% 3/15/22 (h)(o) | 655,330 | 326,865 | ||
Class E, 0.5728% 3/15/22 (h)(o) | 3,414,157 | 1,581,741 | ||
Class F, 0.6228% 3/15/22 (h)(o) | 2,094,922 | 895,715 | ||
Class G, 0.6728% 3/15/22 (h)(o) | 537,549 | 210,080 | ||
Class H, 0.8228% 3/15/22 (h)(o) | 655,330 | 236,194 | ||
Class J, 0.9728% 3/15/22 (h)(o) | 655,330 | 183,659 | ||
sequential payer: | ||||
Series 2003-PWR2 Class A3, 4.834% 5/11/39 | 1,077,307 | 1,105,333 | ||
Series 2004-PWR3 Class A3, 4.487% 2/11/41 | 2,360,280 | 2,377,226 | ||
Series 2006-PW14 Class A4, 5.201% 12/11/38 | 2,458,000 | 2,190,846 | ||
Series 2006-T24 Class A1, 4.905% 10/12/41 (o) | 2,069,276 | 2,100,594 | ||
Series 2007-PW16 Class A4, 5.7167% 6/11/40 (o) | 1,112,000 | 954,602 | ||
Series 2007-PW17 Class A1, 5.282% 6/11/50 | 1,153,851 | 1,163,525 | ||
Series 2007-T26 Class A1, 5.145% 1/12/45 (o) | 653,324 | 658,356 | ||
Series 1999-C1: | ||||
Class G, 5.64% 2/14/31 (h) | 60,000 | 42,138 | ||
Class I, 5.64% 2/14/31 (h) | 170,000 | 34,000 | ||
Series 2003-PWR2 Class X2, 0.4648% 5/11/39 (h)(o)(q) | 17,823,235 | 145,078 | ||
Series 2006-PW13 Class A3, 5.518% 9/11/41 | 6,714,000 | 6,355,790 | ||
Series 2006-PW14 Class X2, 0.6482% 12/11/38 (h)(o)(q) | 27,676,813 | 568,839 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (d) | Value | ||
Bear Stearns Commercial Mortgage Securities Trust: - continued | ||||
Series 2006-T22: | ||||
Class A1, 5.415% 4/12/38 (o) | $ 320,583 | $ 324,773 | ||
Class A4, 5.4634% 4/12/38 (o) | 237,000 | 224,790 | ||
Series 2007-BBA8: | ||||
Class K, 1.4728% 3/15/22 (h)(o) | 105,000 | 39,277 | ||
Class L, 2.1728% 3/15/22 (h)(o) | 214,000 | 42,824 | ||
Series 2007-PW15 Class A1, 5.016% 2/11/44 | 575,172 | 578,281 | ||
Series 2007-PW16: | ||||
Class B, 5.713% 6/11/40 (h) | 304,000 | 88,226 | ||
Class C, 5.713% 6/11/40 (h) | 255,000 | 63,794 | ||
Class D, 5.713% 6/11/40 (h) | 255,000 | 61,241 | ||
Series 2007-PW18 Class X2, 0.3442% 6/11/50 (h)(o)(q) | 189,567,064 | 2,550,265 | ||
Series 2007-T28: | ||||
Class A1, 5.422% 9/11/42 | 333,790 | 339,448 | ||
Class X2, 0.1821% 9/11/42 (h)(o)(q) | 95,248,962 | 634,853 | ||
C-BASS Trust floater Series 2006-SC1 Class A, 0.5356% 5/25/36 (h)(o) | 1,037,593 | 536,820 | ||
CDC Commercial Mortgage Trust Series 2002-FX1: | ||||
Class G, 6.625% 5/15/35 (h) | 2,235,000 | 2,184,748 | ||
Class XCL, 2.3511% 5/15/35 (h)(o)(q) | 30,719,812 | 1,137,702 | ||
Chase Commercial Mortgage Securities Corp.: | ||||
Series 1998-1 Class H, 6.34% 5/18/30 (h) | 800,000 | 496,741 | ||
Series 1998-2 Class J, 6.39% 11/18/30 (h) | 490,739 | 78,420 | ||
Series 1999-2: | ||||
Class E, 7.734% 1/15/32 | 763,000 | 760,677 | ||
Class F, 7.734% 1/15/32 | 413,000 | 410,920 | ||
Series 2001-245 Class A2, 6.275% 2/12/16 (h)(o) | 1,932,000 | 2,014,925 | ||
Citigroup Commercial Mortgage Trust: | ||||
floater Series 2006-FL2: | ||||
Class F, 0.5828% 8/16/21 (h)(o) | 678,000 | 203,400 | ||
Class G, 0.6028% 11/15/36 (h)(o) | 542,222 | 151,822 | ||
Class H, 0.6428% 11/15/36 (h)(o) | 433,548 | 108,387 | ||
sequential payer Series 2006-C5 Class A4, 5.431% 10/15/49 | 9,955,000 | 8,966,889 | ||
Series 2006-C5 Class AMP2, 5.5005% 10/15/49 (h) | 3,233,000 | 1,131,550 | ||
Series 2006-FL2 Class CNP3, 1.4728% 8/16/21 (h)(o) | 5,089,327 | 1,526,798 | ||
Series 2007-C6: | ||||
Class A1, 5.622% 12/10/49 (o) | 11,857,201 | 12,139,543 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (d) | Value | ||
Citigroup Commercial Mortgage Trust: - continued | ||||
Series 2007-C6: - continued | ||||
Class A4, 5.6994% 12/10/49 (o) | $ 4,303,000 | $ 3,740,469 | ||
Series 2007-FL3A Class A2, 0.4128% 4/15/22 (h)(o) | 6,878,000 | 4,126,800 | ||
Citigroup/Deutsche Bank Commercial Mortgage Trust: | ||||
sequential payer: | ||||
Series 2006-CD2 Class A4, 5.3625% 1/15/46 (o) | 11,229,000 | 10,022,092 | ||
Series 2007-CD4: | ||||
Class A1, 4.977% 12/11/49 | 516,532 | 522,494 | ||
Class A2A, 5.237% 12/11/49 | 11,693,000 | 11,619,039 | ||
Class A3, 5.293% 12/11/49 | 1,852,000 | 1,718,520 | ||
Class C, 5.476% 12/11/49 | 3,581,000 | 268,575 | ||
Claregold Trust Series 2007-2A: | ||||
Class F, 5.01% 5/15/44 (o) | CAD | 138,000 | 46,273 | |
Class G, 5.01% 5/15/44 (o) | CAD | 30,000 | 9,044 | |
Class H, 5.01% 5/15/44 (o) | CAD | 20,000 | 5,354 | |
Class J, 5.01% 5/15/44 (o) | CAD | 20,000 | 4,903 | |
Class K, 5.01% 5/15/44 (o) | CAD | 10,000 | 2,163 | |
Class L, 5.01% 5/15/44 (o) | CAD | 36,000 | 6,924 | |
Class M, 5.01% 5/15/44 (o) | CAD | 165,000 | 31,877 | |
Cobalt CMBS Commercial Mortgage Trust: | ||||
sequential payer: | ||||
Series 2006-C1 Class A1, 5.043% 8/15/48 | 303,620 | 304,726 | ||
Series 2007-C2 Class A1, 5.064% 4/15/47 (o) | 275,982 | 279,884 | ||
Series 2007-C3 Class A3, 5.8202% 5/15/46 (o) | 1,902,000 | 1,735,995 | ||
Series 2006-C1 Class B, 5.359% 8/15/48 | 5,706,000 | 970,020 | ||
COMM pass-thru certificates: | ||||
floater: | ||||
Series 2005-F10A: | ||||
Class B, 0.5028% 4/15/17 (h)(o) | 4,261,000 | 2,513,990 | ||
Class C, 0.5428% 4/15/17 (h)(o) | 1,531,000 | 887,123 | ||
Class D, 0.5828% 4/15/17 (h)(o) | 950,056 | 498,513 | ||
Class E, 0.6428% 4/15/17 (h)(o) | 302,445 | 145,642 | ||
Class F, 0.6828% 4/15/17 (h)(o) | 171,562 | 77,622 | ||
Class G, 0.8228% 4/15/17 (h)(o) | 171,562 | 72,070 | ||
Class H, 0.8928% 4/15/17 (h)(o) | 171,562 | 70,340 | ||
Class J, 1.1228% 4/15/17 (h)(o) | 131,565 | 52,626 | ||
Series 2005-FL11: | ||||
Class C, 0.5728% 11/15/17 (h)(o) | 3,000,607 | 1,455,084 | ||
Class D, 0.6128% 11/15/17 (h)(o) | 156,045 | 82,837 | ||
Class E, 0.6628% 11/15/17 (h)(o) | 554,751 | 281,026 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (d) | Value | ||
COMM pass-thru certificates: - continued | ||||
floater: | ||||
Series 2005-FL11: - continued | ||||
Class F, 0.7228% 11/15/17 (h)(o) | $ 384,344 | $ 185,869 | ||
Class G, 0.7728% 11/15/17 (h)(o) | 266,408 | 123,002 | ||
Series 2006-FL12 Class AJ, 0.4028% 12/15/20 (h)(o) | 2,710,000 | 1,367,710 | ||
sequential payer: | ||||
Series 2005-C6 Class A2, 4.999% 6/10/44 (o) | 179,000 | 179,764 | ||
Series 2006-C8: | ||||
Class A1, 5.11% 12/10/46 | 105,470 | 106,105 | ||
Class A3, 5.31% 12/10/46 | 5,420,000 | 4,889,105 | ||
Series 2006-CN2A Class A2FX, 5.449% 2/5/19 | 3,216,000 | 3,111,506 | ||
Series 2007-C9 Class A4, 5.8162% 12/10/49 (o) | 4,209,000 | 3,699,816 | ||
Series 2001-J1A Class F, 6.958% 2/14/34 (h) | 500,000 | 478,009 | ||
Series 2001-J2A Class F, 7.0309% 7/16/34 (h)(o) | 190,000 | 102,113 | ||
Series 2004-LBN2 Class X2, 0.8704% 3/10/39 (h)(o)(q) | 4,283,991 | 47,898 | ||
Series 2006-C8: | ||||
Class B, 5.44% 12/10/46 | 3,294,000 | 946,411 | ||
Class XP, 0.4956% 12/10/46 (o)(q) | 23,582,327 | 359,923 | ||
Commercial Mortgage Acceptance Corp.: | ||||
Series 1998-C1: | ||||
Class F, 6.23% 7/15/31 (h) | 137,515 | 136,953 | ||
Class G, 6.21% 7/15/31 (h) | 500,000 | 448,428 | ||
weighted average coupon Series 1998-C2 Class F, 5.44% 9/15/30 (h)(o) | 196,930 | 182,160 | ||
Commercial Mortgage Asset Trust: | ||||
sequential payer Series 1999-C2 Class A2, 7.546% 11/17/32 (o) | 653,771 | 656,803 | ||
Series 1999-C1 Class F, 6.25% 1/17/32 (h) | 550,000 | 310,805 | ||
Credit Suisse Commercial Mortgage Trust: | ||||
sequential payer: | ||||
Series 2006-C5: | ||||
Class A1, 5.297% 12/15/39 | 784,254 | 797,395 | ||
Class AJ, 5.373% 12/15/39 | 3,852,000 | 1,450,630 | ||
Series 2007-C2: | ||||
Class A1, 5.269% 1/15/49 | 170,024 | 172,617 | ||
Class A2, 5.448% 1/15/49 (o) | 10,150,000 | 10,035,368 | ||
Class A3, 5.542% 1/15/49 (o) | 3,804,000 | 2,768,511 | ||
Series 2007-C3: | ||||
Class A1, 5.664% 6/15/39 (o) | 386,585 | 394,408 | ||
Class A4, 5.7229% 6/15/39 (o) | 1,144,000 | 837,954 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (d) | Value | ||
Credit Suisse Commercial Mortgage Trust: - continued | ||||
Series 2006-C4 Class AAB, 5.439% 9/15/39 | $ 10,824,000 | $ 10,493,414 | ||
Series 2006-C5 Class ASP, 0.6636% 12/15/39 (o)(q) | 14,987,177 | 317,379 | ||
Series 2007-C5 Class A4, 5.695% 9/15/40 (o) | 1,722,000 | 1,267,383 | ||
Credit Suisse First Boston Mortgage Capital Certificates floater Series 2007-TF2A Class B, 0.6228% 4/15/22 (h)(o) | 6,783,000 | 1,695,750 | ||
Credit Suisse First Boston Mortgage Securities Corp.: | ||||
sequential payer: | ||||
Series 2000-C1 Class A2, 7.545% 4/15/62 | 2,126,346 | 2,173,119 | ||
Series 2001-CK6 Class B, 6.582% 8/15/36 | 1,902,000 | 1,915,814 | ||
Series 2002-CP5 Class A1, 4.106% 12/15/35 | 176,825 | 179,702 | ||
Series 2004-C1: | ||||
Class A3, 4.321% 1/15/37 | 641,398 | 648,292 | ||
Class A4, 4.75% 1/15/37 | 884,000 | 862,233 | ||
Series 1997-C2 Class F, 7.46% 1/17/35 (o) | 929,000 | 950,471 | ||
Series 1998-C1: | ||||
Class D, 7.17% 5/17/40 | 1,989,251 | 2,054,648 | ||
Class H, 6% 5/17/40 (h) | 130,000 | 11,516 | ||
Series 1999-C1 Class E, 8.1143% 9/15/41 (o) | 1,966,000 | 1,959,013 | ||
Series 2001-CK6 Class AX, 0.9618% 9/15/18 (o)(q) | 5,525,382 | 88,447 | ||
Series 2001-CKN5 Class AX, 2.0784% 9/15/34 (h)(o)(q) | 17,735,233 | 527,863 | ||
Series 2001-SPGA Class C, 6.809% 8/13/18 (h) | 190,000 | 157,892 | ||
Series 2003-C3: | ||||
Class D, 4.131% 5/15/38 | 120,000 | 74,231 | ||
Class J, 4.231% 5/15/38 (h) | 300,000 | 84,612 | ||
Series 2003-C4 Class ASP, 0.4415% 8/15/36 (h)(o)(q) | 13,482,059 | 60,428 | ||
Series 2006-C1 Class A3, 5.5509% 2/15/39 (o) | 10,043,000 | 9,803,904 | ||
Credit Suisse Mortgage Capital Certificates: | ||||
floater: | ||||
Series 200-TFL1 Class B, 0.4228% 2/15/22 (h)(o) | 721,000 | 324,450 | ||
Series 2007-TFL1: | ||||
Class C: | ||||
0.4428% 2/15/22 (h)(o) | 1,864,711 | 708,590 | ||
0.5428% 2/15/22 (h)(o) | 665,993 | 199,798 | ||
Class F, 0.5928% 2/15/22 (h)(o) | 1,331,815 | 359,590 | ||
Class L, 2.1728% 2/15/22 (h)(o) | 100,000 | 10,000 | ||
sequential payer Series 2007-C1: | ||||
Class A1, 5.227% 2/15/40 | 201,852 | 205,656 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (d) | Value | ||
Credit Suisse Mortgage Capital Certificates: - continued | ||||
sequential payer Series 2007-C1: - continued | ||||
Class A2, 5.268% 2/15/40 | $ 18,300,000 | $ 18,043,904 | ||
Series 2007-C1: | ||||
Class ASP, 0.4177% 2/15/40 (o)(q) | 37,268,901 | 533,970 | ||
Class B, 5.487% 2/15/40 (h)(o) | 2,907,000 | 421,515 | ||
Credit Suisse/Morgan Stanley Commercial Mortgage Trust Series 2006-HC1A Class A1, 0.4628% 5/15/23 (h)(o) | 218,078 | 183,263 | ||
Crest Ltd. Series 2001-1A Class C, 9% 2/25/34 (h) | 500,000 | 200,000 | ||
Deutsche Mortgage & Asset Receiving Corp. | 330,000 | 198,000 | ||
DLJ Commercial Mortgage Corp.: | ||||
sequential payer Series 2000-CF1 Class A1B, 7.62% 6/10/33 | 5,238,656 | 5,352,562 | ||
Series 1998-CG1 Class B4, 7.2288% 6/10/31 (h)(o) | 891,000 | 905,588 | ||
First Chicago/Lennar Trust I Series 1997-CHL1 Class E, 7.7458% 4/29/39 (h)(o) | 15,051 | 14,900 | ||
First Union National Bank Commercial Mortgage Trust sequential payer Series 1999-C4 Class C, 7.793% 12/15/31 (h) | 367,000 | 367,953 | ||
First Union National Bank-Bank of America Commercial Mortgage Trust Series 2001-C1: | ||||
Class D, 6.484% 3/15/33 | 679,000 | 612,063 | ||
Class G, 6.936% 3/15/33 (h) | 1,252,000 | 1,055,974 | ||
Class H, 7.039% 3/15/33 (h) | 50,000 | 38,577 | ||
First Union-Lehman Brothers-Bank of America Commercial Mortgage Trust sequential payer | 361,000 | 261,675 | ||
G-Force LLC sequential payer Series 2005-RRA | 600,000 | 462,000 | ||
GE Capital Commercial Mortgage Corp.: | ||||
sequential payer: | ||||
Series 2000-1 Class A2, 6.496% 1/15/33 | 462,528 | 465,508 | ||
Series 2007-C1 Class A4, 5.543% 12/10/49 | 9,454,000 | 6,839,260 | ||
Series 2001-1 Class X1, 1.0483% 5/15/33 (h)(o)(q) | 19,666,775 | 275,858 | ||
Series 2001-3 Class C, 6.51% 6/10/38 | 287,000 | 275,379 | ||
Series 2002-1A Class H, 7.1598% 12/10/35 (h)(o) | 55,000 | 41,497 | ||
Series 2004-C1 Class X2, 1.3053% 11/10/38 (h)(o)(q) | 12,910,449 | 173,076 | ||
Series 2005-C1 Class B, 4.846% 6/10/48 (o) | 543,000 | 174,128 | ||
Series 2007-C1 Class XP, 0.2088% 12/10/49 (o)(q) | 41,031,460 | 293,999 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (d) | Value | ||
GMAC Commercial Mortgage Securities, Inc.: | ||||
Series 1997-C1 Class H, 6.6% 7/15/29 | $ 489,765 | $ 69,430 | ||
Series 1997-C2: | ||||
Class F, 6.75% 4/15/29 (o) | 1,100,000 | 1,036,221 | ||
Class G, 6.75% 4/15/29 (o) | 500,000 | 257,287 | ||
Series 1999-C1 Class F, 6.02% 5/15/33 (h) | 500,000 | 399,469 | ||
Series 1999-C2I Class K, 6.481% 9/15/33 (r) | 285,000 | 15,727 | ||
Series 1999-C3: | ||||
Class J, 6.974% 8/15/36 (h) | 226,000 | 206,489 | ||
Class K, 6.974% 8/15/36 (h) | 427,000 | 120,570 | ||
Series 2000-C1: | ||||
Class G, 7% 3/15/33 (h) | 120,000 | 111,365 | ||
Class H, 7% 3/15/33 (h) | 100,000 | 77,111 | ||
Class K, 7% 3/15/33 | 90,000 | 52,047 | ||
Series 2002-C3 Class B, 5.101% 7/10/39 | 235,000 | 231,120 | ||
Series 2003-C3 Class X2, 0.8723% 12/10/38 (h)(o)(q) | 14,806,897 | 108,518 | ||
Series 2005-C1 Class X2, 0.6559% 5/10/43 (o)(q) | 10,367,371 | 128,707 | ||
Greenwich Capital Commercial Funding Corp.: | ||||
floater Series 2006-FL4 Class B, 0.4653% 11/5/21 (h)(o) | 715,000 | 330,015 | ||
sequential payer: | ||||
Series 2004-GG1 Class A4, 4.755% 6/10/36 | 1,214,000 | 1,223,465 | ||
Series 2007-GG11: | ||||
Class A1, 5.358% 12/10/49 | 2,065,293 | 2,100,531 | ||
Class A2, 5.597% 12/10/49 | 3,804,000 | 3,658,408 | ||
Series 2007-GG9: | ||||
Class A1, 5.233% 3/10/39 | 520,760 | 528,905 | ||
Class A4, 5.444% 3/10/39 | 5,530,000 | 4,718,465 | ||
Series 2002-C1 Class H, 5.903% 1/11/35 (h) | 86,000 | 64,019 | ||
Series 2003-C1 Class XP, 2.2423% 7/5/35 (h)(o)(q) | 7,814,659 | 118,254 | ||
Series 2003-C2: | ||||
Class J, 5.234% 1/5/36 (h)(o) | 250,000 | 92,372 | ||
Class XP, 1.1772% 1/5/36 (h)(o)(q) | 17,800,000 | 154,217 | ||
Series 2005-GG3 Class XP, 0.9155% 8/10/42 (h)(o)(q) | 38,005,737 | 639,614 | ||
Series 2006-GG7: | ||||
Class A3, 5.9166% 7/10/38 (o) | 5,013,000 | 4,763,268 | ||
Class A4, 5.9166% 7/10/38 (o) | 9,540,000 | 8,330,655 | ||
Series 2007-GG11 Class A1, 0.4798% 12/10/49 (h)(q) | 47,931,734 | 516,488 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (d) | Value | ||
GS Mortgage Securities Corp. II: | ||||
floater: | ||||
Series 2006-FL8A: | ||||
Class C, 0.5156% 6/6/20 (h)(o) | $ 96,000 | $ 71,040 | ||
Class D, 0.5556% 6/6/20 (h)(o) | 453,000 | 240,090 | ||
Class E, 0.6456% 6/6/20 (h)(o) | 526,000 | 268,260 | ||
Class F, 0.7156% 6/6/20 (h)(o) | 835,001 | 384,100 | ||
Class J, 2.0256% 6/6/20 (h)(o) | 250,000 | 12,500 | ||
Series 2007-EOP: | ||||
Class C, 0.5956% 3/6/20 (h)(o) | 1,994,000 | 1,515,440 | ||
Class D, 0.6456% 3/6/20 (h)(o) | 4,004,000 | 3,003,000 | ||
Class F, 0.7556% 3/6/20 (h)(o) | 164,000 | 119,720 | ||
Class G, 0.7956% 3/6/20 (h)(o) | 81,000 | 58,320 | ||
Class H, 0.9256% 3/6/20 (h)(o) | 60,000 | 41,400 | ||
Class J, 1.1256% 3/6/20 (h)(o) | 86,000 | 57,620 | ||
Class L, 1.5756% 3/1/20 (h)(o) | 400,000 | 248,000 | ||
sequential payer Series 2004-GG2 Class A4, 4.964% 8/10/38 | 590,000 | 587,821 | ||
Series 1997-GL Class G, 7.5095% 7/13/30 (o) | 851,849 | 898,530 | ||
Series 1998-GLII Class G, 7.751% 4/13/31 (h)(o) | 600,000 | 429,270 | ||
Series 2001-GL3A Class JGGP, 7.397% 8/5/18 (h)(o) | 350,000 | 122,500 | ||
Series 2001-LIBA Class C, 6.733% 2/14/16 (h) | 941,000 | 1,009,886 | ||
Series 2005-GG4 Class XP, 0.6918% 7/10/39 (h)(o)(q) | 43,030,049 | 670,107 | ||
Series 2006-GG6 Class A2, 5.506% 4/10/38 (o) | 11,153,000 | 11,204,444 | ||
Series 2006-RR2: | ||||
Class M, 5.6937% 6/1/46 (h)(o) | 100,000 | 2,000 | ||
Class N, 5.6937% 6/1/46 (h)(o) | 100,000 | 2,000 | ||
GS Mortgage Securities Trust: | ||||
sequential payer: | ||||
Series 2006-GG8 Class A2, 5.479% 11/10/39 | 2,852,000 | 2,833,260 | ||
Series 2007-GG10: | ||||
Class A1, 5.69% 8/10/45 | 736,720 | 755,076 | ||
Class A2, 5.778% 8/10/45 | 13,561,000 | 13,516,660 | ||
Class A4, 5.8051% 8/10/45 (o) | 5,590,000 | 4,370,013 | ||
Series 2007-GG10 Class B, 5.8051% 8/10/45 (o) | 2,376,000 | 513,748 | ||
JPMorgan Chase Commercial Mortgage Securities Corp.: | ||||
Series 2002-C1 Class E, 6.135% 7/12/37 (h) | 180,000 | 143,781 | ||
Series 2003-C1: | ||||
Class CM1, 5.5061% 1/12/37 (h)(o) | 210,246 | 142,967 | ||
Class D, 5.192% 1/12/37 | 230,000 | 158,344 | ||
Series 2004-C1 Class X2, 1.1524% 1/15/38 (h)(o)(q) | 3,967,109 | 44,538 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (d) | Value | ||
JPMorgan Chase Commercial Mortgage Securities Corp.: - continued | ||||
Series 2004-CB8 Class X2, 1.2614% 1/12/39 (h)(o)(q) | $ 4,136,691 | $ 54,051 | ||
JPMorgan Chase Commercial Mortgage Securities Trust: | ||||
floater: | ||||
Series 2004-FL1A Class B, 0.5428% 4/16/19 (h)(o) | 1,057,055 | 898,497 | ||
Series 2005-FL1A Class A2, 0.4528% 2/15/19 (h)(o) | 1,447,000 | 1,287,185 | ||
Series 2006-FLA2: | ||||
Class A2, 0.4028% 11/15/18 (h)(o) | 10,000,000 | 6,067,143 | ||
Class B, 0.4428% 11/15/18 (h)(o) | 1,592,243 | 845,469 | ||
Class C, 0.4828% 11/15/18 (h)(o) | 1,131,245 | 577,952 | ||
Class D, 0.5028% 11/15/18 (h)(o) | 344,601 | 149,497 | ||
Class E, 0.5528% 11/15/18 (h)(o) | 497,106 | 215,295 | ||
Class F, 0.6028% 11/15/18 (h)(o) | 744,295 | 313,802 | ||
Class G, 0.6328% 11/15/18 (h)(o) | 646,729 | 277,185 | ||
Class H, 0.7728% 11/15/18 (h)(o) | 497,106 | 175,715 | ||
sequential payer: | ||||
Series 2006-CB14 Class A3B, 5.4854% 12/12/44 (o) | 5,657,000 | 5,104,259 | ||
Series 2006-CB15 Class A3, 5.819% 6/12/43 (o) | 2,864,000 | 2,648,638 | ||
Series 2006-CB17 Class A4, 5.429% 12/12/43 | 6,150,000 | 5,528,014 | ||
Series 2006-LDP8 Class A4, 5.399% 5/15/45 | 1,210,000 | 1,005,093 | ||
Series 2006-LDP9 Class A2, 5.134% 5/15/47 (o) | 903,000 | 855,587 | ||
Series 2007-CB19 Class A4, 5.7476% 2/12/49 (o) | 6,670,000 | 5,523,473 | ||
Series 2007-LD11: | ||||
Class A2, 5.7828% 6/15/49 (o) | 5,340,000 | 5,332,368 | ||
Class A4, 5.7978% 6/15/49 (o) | 2,823,000 | 2,387,597 | ||
Series 2007-LDP10 Class A1, 5.122% 1/15/49 | 189,407 | 192,178 | ||
Series 2007-LDPX Class A3, 5.412% 1/15/49 | 5,234,000 | 4,393,372 | ||
Series 2004-CBX Class D, 5.097% 1/12/37 (o) | 65,000 | 40,950 | ||
Series 2004-LDP4 Class D, 5.1236% 10/15/42 (o) | 1,711,000 | 376,692 | ||
Series 2004-LN2 Class D, 5.2154% 7/15/41 (o) | 420,000 | 92,440 | ||
Series 2005-CB13 Class E, 5.3498% 1/12/43 (h)(o) | 963,000 | 163,804 | ||
Series 2005-LDP3 Class A3, 4.959% 8/15/42 | 10,750,000 | 10,654,517 | ||
Series 2006-CB15 Class A4, 5.814% 6/12/43 (o) | 15,465,000 | 14,168,145 | ||
Series 2006-CB17 Class A3, 5.45% 12/12/43 | 543,000 | 513,357 | ||
Series 2007-CB19: | ||||
Class B, 5.7442% 2/12/49 | 165,000 | 47,886 | ||
Class C, 5.7462% 2/12/49 | 424,000 | 106,071 | ||
Class D, 5.7462% 2/12/49 | 447,000 | 107,351 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (d) | Value | ||
JPMorgan Chase Commercial Mortgage Securities Trust: - continued | ||||
Series 2007-LDP10: | ||||
Class BS, 5.437% 1/15/49 (o) | $ 364,000 | $ 85,625 | ||
Class CS, 5.466% 1/15/49 (o) | 157,000 | 35,332 | ||
Class ES, 5.5454% 1/15/49 (h)(o) | 983,000 | 120,594 | ||
JPMorgan Commercial Mortgage Finance Corp.: | ||||
Series 1997-C5 Class F, 7.5605% 9/15/29 | 1,590,000 | 1,539,150 | ||
Series 2000-C9 Class G, 6.25% 10/15/32 (h) | 783,000 | 775,615 | ||
LB Commercial Conduit Mortgage Trust: | ||||
Series 1998-C1 Class D, 6.98% 2/18/30 | 2,057,189 | 2,113,203 | ||
Series 1998-C4 Class G, 5.6% 10/15/35 (h) | 503,000 | 479,108 | ||
Series 2007-C3: | ||||
Class F, 5.9498% 7/15/44 (o) | 377,000 | 38,295 | ||
Class G, 6.1497% 7/15/44 (h)(o) | 666,000 | 62,724 | ||
LB-UBS Commercial Mortgage Trust: | ||||
sequential payer: | ||||
Series 2000-C3 Class A2, 7.95% 1/15/10 | 2,733,397 | 2,765,082 | ||
Series 2001-C2 Class A2, 6.653% 11/15/27 | 367,000 | 384,123 | ||
Series 2001-C3 Class A1, 6.058% 6/15/20 | 134,754 | 137,888 | ||
Series 2006-C1: | ||||
Class A2, 5.084% 2/15/31 | 913,000 | 911,798 | ||
Class A4, 5.156% 2/15/31 | 722,000 | 649,506 | ||
Series 2006-C3 Class A1, 5.478% 3/15/39 | 162,865 | 165,147 | ||
Series 2006-C6: | ||||
Class A1, 5.23% 9/15/39 | 277,087 | 281,848 | ||
Class A2, 5.262% 9/15/39 (o) | 11,694,000 | 11,747,095 | ||
Series 2006-C7: | ||||
Class A1, 5.279% 11/15/38 | 940,981 | 959,398 | ||
Class A2, 5.3% 11/15/38 | 2,092,000 | 2,085,681 | ||
Class A3, 5.347% 11/15/38 | 1,417,000 | 1,248,696 | ||
Series 2007-C1: | ||||
Class A1, 5.391% 2/15/40 (o) | 290,501 | 295,938 | ||
Class A3, 5.398% 2/15/40 | 10,000,000 | 9,591,423 | ||
Class A4, 5.424% 2/15/40 | 244,000 | 185,209 | ||
Series 2007-C2: | ||||
Class A1, 5.226% 2/15/40 | 271,670 | 276,115 | ||
Class A3, 5.43% 2/15/40 | 917,000 | 703,989 | ||
Series 2007-C6 Class A2, 5.845% 7/15/40 | 10,000,000 | 9,931,078 | ||
Series 2000-C3 Class B, 7.95% 3/15/32 | 545,000 | 552,154 | ||
Series 2000-C5 Class E, 7.29% 12/15/32 | 134,000 | 132,655 | ||
Series 2001-C3 Class B, 6.512% 6/15/36 | 3,676,000 | 3,814,157 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (d) | Value | ||
LB-UBS Commercial Mortgage Trust: - continued | ||||
Series 2001-C7 Class D, 6.514% 11/15/33 | $ 2,092,000 | $ 1,962,333 | ||
Series 2002-C1 Class J, 6.95% 3/15/34 (h)(o) | 86,000 | 61,356 | ||
Series 2003-C3 Class XCP, 1.2222% 3/11/37 (h)(o)(q) | 7,980,175 | 58,827 | ||
Series 2004-C2: | ||||
Class G, 4.595% 3/15/36 (h)(o) | 165,000 | 66,399 | ||
Class K, 5.2529% 3/15/36 (h)(o) | 500,000 | 101,812 | ||
Class XCP, 1.2332% 3/15/36 (h)(o)(q) | 25,979,524 | 379,182 | ||
Series 2004-C4 Class A2, 4.567% 6/15/29 (o) | 504,189 | 505,807 | ||
Series 2005-C3 Class XCP, 0.7261% 7/15/40 (o)(q) | 6,411,758 | 112,882 | ||
Series 2006-C6 Class XCP, 0.6633% 9/15/39 (o)(q) | 11,787,202 | 224,214 | ||
Series 2007-C1: | ||||
Class C, 5.533% 2/15/40 (o) | 4,185,000 | 891,958 | ||
Class D, 5.563% 2/15/40 (o) | 760,000 | 147,486 | ||
Class E, 5.582% 2/15/40 (o) | 381,000 | 71,296 | ||
Class XCP, 0.4737% 2/15/40 (o)(q) | 4,640,096 | 66,664 | ||
Series 2007-C6 Class A4, 5.858% 7/15/40 (o) | 2,376,000 | 1,891,028 | ||
Series 2007-C7: | ||||
Class A3, 5.866% 9/15/45 | 6,219,000 | 5,115,157 | ||
Class XCP, 0.3054% 9/15/45 (o)(q) | 156,476,796 | 1,839,416 | ||
LB-UBS Westfield Trust Series 2001-WM, 6.754% 7/14/16 (h) | 544,000 | 542,349 | ||
Leafs CMBS I Ltd./Leafs CMBS I Corp. Series 2002-1A: | ||||
Class B, 4.13% 11/20/37 (h) | 3,105,000 | 2,515,050 | ||
Class C, 4.13% 11/20/37 (h) | 8,205,000 | 5,579,400 | ||
Lehman Brothers Floating Rate Commercial Mortgage Trust floater Series 2006-LLFA: | ||||
Class D, 0.5028% 9/15/21 (h)(o) | 608,683 | 243,473 | ||
Class E, 0.5628% 9/15/21 (h)(o) | 2,196,145 | 658,843 | ||
Class F, 0.6128% 9/15/21 (h)(o) | 1,143,094 | 314,351 | ||
Class G, 0.6328% 9/15/21 (h)(o) | 2,258,211 | 564,553 | ||
Class H, 0.6728% 9/15/21 (h)(o) | 582,579 | 131,080 | ||
Lehman Large Loan Trust Series 1997-LLI Class E, 7.3% 10/12/34 | 3,377,000 | 3,686,493 | ||
LNR CFL Series 2004-1: | ||||
Class I10, 7.72% 2/26/28 (h) | 180,000 | 86,310 | ||
Class I11, 7.72% 2/26/28 (h) | 100,000 | 37,780 | ||
Class I12, 7.72% 2/26/28 (h) | 100,000 | 30,780 | ||
Class I9, 7.72% 2/26/28 (h) | 153,200 | 91,414 | ||
Merrill Lynch Mortgage Investors Trust: | ||||
Series 1997-C2 Class F, 6.25% 12/10/29 (o) | 620,000 | 539,991 | ||
Series 1998-C3 Class E, 6.7944% 12/15/30 (o) | 155,000 | 144,150 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (d) | Value | ||
Merrill Lynch Mortgage Investors Trust: - continued | ||||
Series 1999-C1 Class B, 7.71% 11/15/31 | $ 330,000 | $ 329,554 | ||
Series 2001-HRPA: | ||||
Class G, 6.778% 2/3/16 (h) | 395,000 | 375,250 | ||
Class H, 6.778% 2/3/16 (h) | 315,000 | 299,250 | ||
Merrill Lynch Mortgage Trust: | ||||
sequential payer: | ||||
Series 2004-MKB1 Class A2, 4.353% 2/12/42 | 382,898 | 385,576 | ||
Series 2007-C1 Class A1, 4.533% 6/12/50 | 1,631,593 | 1,642,558 | ||
Series 2004-KEY2 Class K, 5.091% 8/12/39 (h)(o) | 100,000 | 11,282 | ||
Series 2005-CKI1 Class A3, 5.2398% 11/12/37 (o) | 3,122,000 | 3,126,142 | ||
Series 2005-LC1 Class F, 5.3781% 1/12/44 (h)(o) | 1,655,000 | 347,821 | ||
Series 2006-C1 Class A2, 5.6114% 5/12/39 (o) | 2,680,000 | 2,703,823 | ||
Series 2006-KEY2 Class L, 5.091% 8/12/39 (h) | 300,000 | 33,185 | ||
Series 2007-C1 Class A4, 5.8286% 6/12/50 (o) | 7,199,517 | 5,562,801 | ||
Series 2008-C1 Class A4, 5.69% 2/12/51 | 4,059,000 | 3,130,582 | ||
Merrill Lynch-CFC Commercial Mortgage Trust: | ||||
floater Series 2006-4 Class A2FL, 0.4163% 12/12/49 (o) | 887,000 | 731,817 | ||
sequential payer: | ||||
Series 2006-1 CLass A3, 5.671% 2/12/39 | 2,024,000 | 1,901,306 | ||
Series 2006-4: | ||||
Class A2, 5.112% 12/12/49 (o) | 1,075,000 | 1,065,560 | ||
Class ASB, 5.133% 12/12/49 (o) | 1,636,000 | 1,469,822 | ||
Series 2007-5: | ||||
Class A1, 4.275% 8/12/48 | 142,060 | 142,748 | ||
Class A3, 5.364% 8/12/48 | 11,417,000 | 9,635,978 | ||
Class A4, 5.378% 8/12/48 | 76,000 | 55,629 | ||
Class B, 5.479% 2/12/17 | 5,706,000 | 1,182,477 | ||
Series 2007-6 Class A1, 5.175% 3/12/51 | 167,520 | 170,038 | ||
Series 2007-7 Class A4, 5.7487% 6/12/50 (o) | 6,656,000 | 4,832,620 | ||
Series 2007-8 Class A1, 4.622% 8/12/49 | 550,778 | 554,937 | ||
Series 2006-2 Class A4, 5.9092% 6/12/46 (o) | 16,407,000 | 15,595,062 | ||
Series 2006-4 Class XP, 0.6228% 12/12/49 (o)(q) | 41,659,736 | 890,739 | ||
Series 2007-6 Class B, 5.635% 3/12/51 (o) | 1,902,000 | 426,230 | ||
Series 2007-7 Class B, 5.75% 6/12/50 | 166,000 | 37,762 | ||
Series 2007-8 Class A3, 5.957% 8/12/49 (o) | 1,640,000 | 1,253,871 | ||
Morgan Stanley Capital I Trust: | ||||
floater: | ||||
Series 2005-XLF: | ||||
Class G, 0.643% 8/15/19 (h)(o) | 32,456 | 28,886 | ||
Class H, 0.663% 8/15/19 (h)(o) | 151,000 | 116,270 | ||
Class J, 0.733% 8/15/19 (h)(o) | 114,000 | 82,080 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (d) | Value | ||
Morgan Stanley Capital I Trust: - continued | ||||
floater: | ||||
Series 2006-XLF: | ||||
Class C, 1.473% 7/15/19 (h)(o) | $ 822,747 | $ 82,275 | ||
Class F, 0.593% 7/15/19 (h)(o) | 1,830,000 | 1,464,000 | ||
Class G, 0.633% 7/15/19 (h)(o) | 1,041,000 | 541,320 | ||
Series 2007-XCLA Class A1, 0.473% 7/17/17 (h)(o) | 2,717,034 | 1,494,369 | ||
Series 2007-XLCA Class B, 0.7728% 7/17/17 (h)(o) | 2,408,057 | 120,403 | ||
Series 2007-XLFA: | ||||
Class C, 0.433% 10/15/20 (h)(o) | 1,092,000 | 349,440 | ||
Class D, 0.463% 10/15/20 (h)(o) | 667,354 | 166,839 | ||
Class E, 0.523% 10/15/20 (h)(o) | 834,661 | 166,932 | ||
Class F, 0.573% 10/15/20 (h)(o) | 500,899 | 90,162 | ||
Class G, 0.613% 10/15/20 (h)(o) | 619,188 | 136,221 | ||
Class H, 0.703% 10/15/20 (h)(o) | 389,758 | 38,976 | ||
Class J, 0.853% 10/15/20 (h)(o) | 444,903 | 35,592 | ||
Class MHRO, 0.963% 10/15/20 (h)(o) | 605,197 | 66,572 | ||
Class MJPM, 1.273% 10/15/20 (h)(o) | 190,583 | 17,152 | ||
Class MSTR, 0.973% 10/15/20 (h)(o) | 343,918 | 48,148 | ||
Class NHRO, 1.163% 10/15/20 (h)(o) | 918,469 | 82,662 | ||
Class NSTR, 1.123% 10/15/20 (h)(o) | 315,384 | 34,692 | ||
sequential payer: | ||||
Series 2003-IQ5 Class X2, 0.9799% 4/15/38 (h)(o)(q) | 6,461,972 | 95,541 | ||
Series 2004-HQ3 Class A2, 4.05% 1/13/41 | 537,255 | 542,410 | ||
Series 2004-RR2 Class A2, 5.45% 10/28/33 (h) | 562,854 | 469,983 | ||
Series 2005-IQ9 Class A3, 4.54% 7/15/56 | 2,826,000 | 2,771,856 | ||
Series 2006-HQ10 Class A1, 5.131% 11/12/41 | 611,828 | 621,781 | ||
Series 2006-HQ8 Class A1, 5.124% 3/12/44 | 40,081 | 40,284 | ||
Series 2006-T23 Class A1, 5.682% 8/12/41 | 1,692,519 | 1,732,767 | ||
Series 2007-HQ11: | ||||
Class A1, 5.246% 2/12/44 | 497,863 | 506,241 | ||
Class A31, 5.439% 2/12/44 (o) | 964,000 | 895,789 | ||
Series 2007-IQ13: | ||||
Class A1, 5.05% 3/15/44 | 501,383 | 508,260 | ||
Class A4, 5.364% 3/15/44 | 10,000,000 | 8,259,327 | ||
Series 2007-IQ14 Class A1, 5.38% 4/15/49 | 1,206,258 | 1,228,965 | ||
Series 2007-T25: | ||||
Class A1, 5.391% 11/12/49 | 324,312 | 330,650 | ||
Class A2, 5.507% 11/12/49 | 3,425,000 | 3,319,512 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (d) | Value | ||
Morgan Stanley Capital I Trust: - continued | ||||
Series 2003-IQ6 Class X2, 0.5812% 12/15/41 (h)(o)(q) | $ 13,765,630 | $ 159,293 | ||
Series 2004-IQ7 Class E, 5.4024% 6/15/38 (h)(o) | 120,000 | 42,000 | ||
Series 2004-RR2 Class C, 5.88% 10/28/33 (h)(o) | 280,000 | 114,800 | ||
Series 2005-HQ7: | ||||
Class E, 5.2075% 11/14/42 (o) | 75,000 | 22,500 | ||
Class F, 5.2075% 11/14/42 (o) | 150,000 | 42,000 | ||
Series 2005-IQ9 Class X2, 1.1689% 7/15/56 (h)(o)(q) | 23,258,465 | 516,354 | ||
Series 2006-HQ10 Class X2, 0.69% 11/12/41 (h)(o)(q) | 11,571,366 | 156,256 | ||
Series 2006-HQ8 Class A3, 5.4387% 3/12/16 (o) | 2,950,000 | 2,864,310 | ||
Series 2006-HQ9 Class B, 5.832% 7/12/44 (o) | 2,823,000 | 899,549 | ||
Series 2006-IQ11: | ||||
Class A3, 5.7345% 10/15/42 (o) | 3,157,000 | 3,018,394 | ||
Class A4, 5.7705% 10/15/42 (o) | 570,000 | 487,231 | ||
Series 2006-IQ12 Class B, 5.468% 12/15/43 | 1,902,000 | 558,199 | ||
Series 2006-T23 Class A3, 5.8075% 8/12/41 (o) | 972,000 | 910,818 | ||
Series 2007-HQ11 Class B, 5.538% 2/20/44 (o) | 3,448,000 | 949,993 | ||
Series 2007-HQ12: | ||||
Class A2, 5.6318% 4/12/49 (o) | 12,880,000 | 12,248,057 | ||
Series A1, 5.519% 4/12/49 (o) | 799,111 | 815,646 | ||
Series 2007-IQ14: | ||||
Class A4, 5.692% 4/15/49 (o) | 2,852,000 | 2,219,532 | ||
Class B, 5.914% 4/15/49 | 469,000 | 129,458 | ||
Series 2007-XLC1: | ||||
Class C, 0.8728% 7/17/17 (h)(o) | 3,245,642 | 162,282 | ||
Class D, 0.9728% 7/17/17 (h)(o) | 1,526,121 | 76,306 | ||
Class E, 1.0728% 7/17/17 (h)(o) | 1,239,655 | 61,983 | ||
Morgan Stanley Dean Witter Capital I Trust: | ||||
sequential payer Series 2001-PPM Class A2, 6.4% 2/15/31 | 52,634 | 54,812 | ||
Series 2000-PRIN Class C, 7.9238% 2/23/34 (o) | 366,000 | 318,276 | ||
Series 2001-IQA Class F, 6.79% 12/18/32 (h) | 184,900 | 172,876 | ||
Series 2003-TOP9 Class E, 5.7113% 11/13/36 (h)(o) | 70,000 | 31,951 | ||
Multi Security Asset Trust sequential payer | 625,000 | 515,625 | ||
NationsLink Funding Corp. Series 1998-2: | ||||
Class F, 7.105% 8/20/30 (h) | 743,119 | 743,119 | ||
Class G, 5% 8/20/30 (h) | 216,875 | 193,019 | ||
Class J, 5% 8/20/30 (h) | 160,000 | 112,000 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (d) | Value | ||
Providence Place Group Ltd. Partnership Series 2000-C1 Class A2, 7.75% 7/20/28 | $ 443,666 | $ 434,792 | ||
Prudential Securities Secured Financing Corp. | 280,000 | 279,552 | ||
Real Estate Asset Liquidity Trust: | ||||
Series 2006-2: | ||||
Class F, 4.456% 9/12/38 (h) | CAD | 107,000 | 58,915 | |
Class G, 4.456% 9/12/38 (h) | CAD | 54,000 | 28,101 | |
Class H, 4.456% 9/12/38 (h) | CAD | 36,000 | 17,720 | |
Class J, 4.456% 9/12/38 (h) | CAD | 36,000 | 16,712 | |
Class K, 4.456% 9/12/38 (h) | CAD | 18,000 | 7,433 | |
Class L, 4.456% 9/12/38 (h) | CAD | 26,000 | 10,128 | |
Class M, 4.456% 9/12/38 (h) | CAD | 128,859 | 26,116 | |
Series 2007-1: | ||||
Class F, 4.57% 4/12/23 | CAD | 126,000 | 70,879 | |
Class G, 4.57% 4/12/23 | CAD | 42,000 | 22,270 | |
Class H, 4.57% 4/12/23 | CAD | 42,000 | 21,010 | |
Class J, 4.57% 4/12/23 | CAD | 42,000 | 19,840 | |
Class K, 4.57% 4/12/23 | CAD | 21,000 | 9,376 | |
Class L, 4.57% 4/12/23 | CAD | 63,000 | 26,608 | |
Class M, 4.57% 4/12/23 | CAD | 185,000 | 39,375 | |
Salomon Brothers Mortgage Securities VII, Inc.: | ||||
sequential payer Series 2000-C3 Class A2, 6.592% 12/18/33 | 3,231,464 | 3,319,231 | ||
Series 2001-C1 Class E, 6.31% 12/18/35 | 135,000 | 114,613 | ||
Series 2001-MMA: | ||||
Class E6, 6.5% 2/18/34 (h)(o) | 165,000 | 132,000 | ||
Class F6, 6.5% 2/18/34 (h)(o) | 37,000 | 27,750 | ||
SBA CMBS Trust Series 2006-1A Class C, 5.559% 11/15/36 (h) | 182,000 | 180,180 | ||
STRIPS III Ltd./STRIPS III Corp. floater Series 2004-1A Class A, 0.7475% 3/24/18 (h)(o) | 83,649 | 75,284 | ||
Structured Asset Securities Corp. Series 1997-LLI: | ||||
Class D, 7.15% 10/12/34 | 289,140 | 308,329 | ||
Class F, 7.3% 10/12/34 (h) | 463,000 | 460,955 | ||
TrizecHahn Office Properties Trust Series 2001-TZHA Class C4, 6.893% 5/15/16 (h) | 1,616,000 | 1,709,338 | ||
UBS Commercial Mortgage Trust Series 2007-FL1: | ||||
Class F, 0.8478% 9/15/09 (h)(o) | 110,000 | 14,803 | ||
Class G, 0.8478% 9/15/09 (h)(o) | 200,000 | 24,719 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (d) | Value | ||
Wachovia Bank Commercial Mortgage Trust: | ||||
floater: | ||||
Series 2005-WL5A Class K, 1.4728% 1/15/18 (h)(o) | $ 1,276,330 | $ 765,798 | ||
Series 2006-WL7A: | ||||
Class E, 0.5528% 9/15/21 (h)(o) | 1,770,598 | 531,179 | ||
Class F, 0.6281% 8/11/18 (h)(o) | 1,877,987 | 375,597 | ||
Class G, 0.6481% 8/11/18 (h)(o) | 1,779,101 | 266,865 | ||
Class J, 0.8881% 8/11/18 (h)(o) | 395,545 | 39,555 | ||
Series 2007-ESH Class A1, 0.7228% 6/15/19 (h)(o) | 182,465 | 153,270 | ||
Series 2007-WHL8: | ||||
Class AP1, 0.9728% 6/15/20 (h)(o) | 140,220 | 28,044 | ||
Class AP2, 1.0728% 6/15/20 (h)(o) | 235,007 | 35,251 | ||
Class F, 0.7528% 6/15/20 (h)(o) | 4,565,501 | 913,100 | ||
Class LXR1, 0.9728% 6/15/20 (h)(o) | 233,916 | 46,783 | ||
Class LXR2, 1.0728% 6/15/20 (h)(o) | 3,111,858 | 311,186 | ||
sequential payer: | ||||
Series 2003-C6 Class A2, 4.498% 8/15/35 | 624,204 | 633,693 | ||
Series 2003-C7 Class A1, 4.241% 10/15/35 (h) | 4,161,020 | 4,219,183 | ||
Series 2003-C8 Class A3, 4.445% 11/15/35 | 8,283,000 | 8,171,592 | ||
Series 2006-C27 Class A2, 5.624% 7/15/45 | 1,700,000 | 1,699,424 | ||
Series 2006-C29: | ||||
Class A1, 5.11% 11/15/48 | 1,107,634 | 1,124,912 | ||
Class A3, 5.313% 11/15/48 | 5,051,000 | 4,628,202 | ||
Series 2007-C30: | ||||
Class A1, 5.031% 12/15/43 | 268,755 | 272,188 | ||
Class A3, 5.246% 12/15/43 | 1,633,000 | 1,575,279 | ||
Class A4, 5.305% 12/15/43 | 8,604,000 | 6,883,111 | ||
Class A5, 5.342% 12/15/43 | 2,036,000 | 1,442,275 | ||
Series 2007-C31: | ||||
Class A1, 5.14% 4/15/47 | 277,957 | 281,737 | ||
Class A4, 5.509% 4/15/47 | 4,299,000 | 3,247,967 | ||
Series 2007-C32: | ||||
Class A2, 5.7355% 6/15/49 (o) | 15,568,000 | 15,268,237 | ||
Class A3, 5.9289% 6/15/49 (o) | 3,229,000 | 2,519,160 | ||
Series 2003-C6 Class G, 5.125% 8/15/35 (h) | 903,000 | 461,683 | ||
Series 2003-C8 Class XP, 0.3689% 11/15/35 (h)(o)(q) | 6,481,841 | 30,115 | ||
Series 2003-C9 Class XP, 0.4822% 12/15/35 (h)(o)(q) | 6,540,158 | 38,830 | ||
Series 2004-C15: | ||||
Class 180A, 5.3979% 10/15/41 (h)(o) | 1,464,000 | 1,347,742 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (d) | Value | ||
Wachovia Bank Commercial Mortgage Trust: - continued | ||||
Series 2004-C15: - continued | ||||
Class 180B, 5.3979% 10/15/41 (h)(o) | $ 666,000 | $ 619,361 | ||
Series 2005-C19 Class B, 4.892% 5/15/44 | 1,902,000 | 760,800 | ||
Series 2005-C22: | ||||
Class B, 5.3549% 12/15/44 (o) | 4,218,000 | 1,265,400 | ||
Class F, 5.3549% 12/15/44 (h)(o) | 3,171,000 | 412,230 | ||
Series 2006-C23 Class A5, 5.416% 1/15/45 (o) | 7,870,000 | 6,479,547 | ||
Series 2006-C29 Class E, 5.516% 11/15/48 (o) | 1,902,000 | 237,750 | ||
Series 2007-C30: | ||||
Class B, 5.463% 12/15/43 (o) | 10,505,000 | 1,260,600 | ||
Class C, 5.483% 12/15/43 (o) | 5,706,000 | 627,660 | ||
Class D, 5.513% 12/15/43 (o) | 3,044,000 | 304,400 | ||
Class XP, 0.4317% 12/15/43 (h)(o)(q) | 23,390,552 | 353,513 | ||
Series 2007-C31 Class C, 5.693% 4/15/47 (o) | 522,000 | 65,250 | ||
Series 2007-C32: | ||||
Class D, 5.7405% 6/15/49 (o) | 1,431,000 | 157,410 | ||
Class E, 5.7405% 6/15/49 (o) | 2,252,000 | 236,460 | ||
Wachovia Bank Commercial Mortgage Trust pass-thru certificates: | ||||
sequential payer Series 2007-C33 Class A5, 5.9023% 2/15/51 (o) | 1,259,000 | 973,876 | ||
Series 2007-C33 Class B, 5.9023% 2/15/51 (o) | 3,198,000 | 495,690 | ||
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $720,589,242) | 724,435,418 | |||
Municipal Securities - 0.2% | ||||
| ||||
California Gen. Oblig.: | ||||
7.5% 4/1/34 | 5,600,000 | 5,946,304 | ||
7.55% 4/1/39 | 8,400,000 | 9,006,144 | ||
New York Metropolitan Trans. Auth. Dedicated Tax Fund Rev. Series 2009 C, 7.336% 11/15/39 | 3,539,000 | 4,310,785 | ||
TOTAL MUNICIPAL SECURITIES (Cost $17,694,232) | 19,263,233 | |||
Foreign Government and Government Agency Obligations - 1.4% | ||||
| ||||
Argentine Republic: | ||||
discount (with partial capitalization through 12/31/13) 8.28% 12/31/33 | 4,551,534 | 2,639,890 | ||
par 2.5% 12/31/38 (f) | 2,960,000 | 806,600 | ||
Foreign Government and Government Agency Obligations - continued | ||||
| Principal Amount (d) | Value | ||
Argentine Republic: - continued | ||||
7% 3/28/11 | $ 28,885,000 | $ 22,859,268 | ||
7% 9/12/13 | 20,425,000 | 13,853,824 | ||
Barbados Government 7.25% 12/15/21 (h) | 337,000 | 330,260 | ||
Brazilian Federative Republic: | ||||
6% 9/15/13 | 300,000 | 299,250 | ||
6% 1/17/17 | 440,000 | 458,920 | ||
8% 1/15/18 | 368,333 | 419,900 | ||
8.25% 1/20/34 | 410,000 | 506,350 | ||
8.75% 2/4/25 | 730,000 | 905,200 | ||
12.25% 3/6/30 | 880,000 | 1,469,600 | ||
12.75% 1/15/20 | 355,000 | 557,350 | ||
Central Bank of Nigeria promissory note 5.092% 1/5/10 | 140,979 | 79,536 | ||
Chilean Republic 7.125% 1/11/12 | 3,045,000 | 3,399,134 | ||
Colombian Republic 7.375% 9/18/37 | 1,830,000 | 1,909,605 | ||
Democratic Socialist Republic of Sri Lanka 8.25% 10/24/12 (h) | 1,775,000 | 1,757,250 | ||
Dominican Republic: | ||||
2.125% 8/30/24 (o) | 1,100,000 | 737,000 | ||
9.04% 1/23/18 (h) | 2,497,452 | 2,335,118 | ||
9.5% 9/27/11 (Reg. S) | 2,676,002 | 2,716,142 | ||
Ecuador Republic 5% 2/28/25 | 218,000 | 121,186 | ||
El Salvador Republic: | ||||
7.65% 6/15/35 | 1,265,000 | 1,138,500 | ||
7.75% 1/24/23 (Reg. S) | 870,000 | 913,500 | ||
8.25% 4/10/32 (Reg. S) | 375,000 | 360,000 | ||
8.5% 7/25/11 (Reg. S) | 650,000 | 679,250 | ||
Gabonese Republic 8.2% 12/12/17 (h) | 3,375,000 | 3,311,719 | ||
Georgia Republic 7.5% 4/15/13 | 1,570,000 | 1,460,100 | ||
Ghana Republic 8.5% 10/4/17 (h) | 2,430,000 | 2,235,600 | ||
Indonesian Republic: | ||||
6.625% 2/17/37 (h) | 1,475,000 | 1,360,688 | ||
6.875% 3/9/17 (h) | 950,000 | 978,500 | ||
6.875% 1/17/18 (h) | 1,510,000 | 1,547,750 | ||
7.25% 4/20/15 (h) | 785,000 | 837,988 | ||
7.5% 1/15/16 (h) | 485,000 | 517,738 | ||
7.75% 1/17/38 (h) | 1,720,000 | 1,767,300 | ||
8.5% 10/12/35 (h) | 650,000 | 728,000 | ||
8.5% 10/12/35 (Reg. S) | 1,360,000 | 1,523,200 | ||
11.625% 3/4/19 (h) | 1,845,000 | 2,486,138 | ||
Islamic Republic of Pakistan 7.125% 3/31/16 (h) | 3,210,000 | 2,728,500 | ||
Foreign Government and Government Agency Obligations - continued | ||||
| Principal Amount (d) | Value | ||
Lebanese Republic: | ||||
8.625% 6/20/13 (Reg. S) | $ 2,420,000 | $ 2,631,750 | ||
9% 5/2/14 | 610,000 | 671,000 | ||
Pakistan International Sukuk Co. Ltd. 3.1456% 1/27/10 (o) | 773,000 | 761,405 | ||
Perusahaan Penerbit SBSN Indonesia 8.8% 4/23/14 (h) | 560,000 | 627,200 | ||
Peruvian Republic 7.35% 7/21/25 | 1,210,000 | 1,331,000 | ||
Philippine Republic: | ||||
9.5% 2/2/30 | 440,000 | 563,200 | ||
10.625% 3/16/25 | 395,000 | 534,751 | ||
Polish Government 6.375% 7/15/19 | 1,255,000 | 1,339,713 | ||
Republic of Fiji 6.875% 9/13/11 | 715,000 | 670,313 | ||
Republic of Iraq 5.8% 1/15/28 (Reg. S) | 3,225,000 | 2,217,188 | ||
Republic of Serbia 3.75% 11/1/24 (f)(h) | 5,430,000 | 5,002,388 | ||
Russian Federation: | ||||
7.5% 3/31/30 (Reg. S) | 15,697,920 | 16,031,501 | ||
12.75% 6/24/28 (Reg. S) | 1,800,000 | 2,691,000 | ||
Turkish Republic: | ||||
6.75% 4/3/18 | 1,520,000 | 1,567,576 | ||
6.875% 3/17/36 | 3,285,000 | 3,141,446 | ||
7% 9/26/16 | 965,000 | 1,019,330 | ||
7.25% 3/5/38 | 1,350,000 | 1,336,500 | ||
7.375% 2/5/25 | 4,890,000 | 5,146,725 | ||
Ukraine Cabinet of Ministers 6.875% 3/4/11 (Reg. S) | 1,910,000 | 1,809,725 | ||
Ukraine Government: | ||||
6.385% 6/26/12 (h) | 2,115,000 | 1,940,513 | ||
6.75% 11/14/17 (h) | 3,665,000 | 3,014,463 | ||
United Mexican States: | ||||
7.5% 4/8/33 | 425,000 | 477,615 | ||
8.3% 8/15/31 | 420,000 | 511,350 | ||
Uruguay Republic 8% 11/18/22 | 2,106,902 | 2,264,920 | ||
Venezuelan Republic: | ||||
1.505% 4/20/11 (Reg. S) (o) | 6,355,000 | 5,687,725 | ||
5.375% 8/7/10 (Reg. S) | 1,275,000 | 1,236,750 | ||
7% 3/31/38 | 630,000 | 333,900 | ||
8.5% 10/8/14 | 2,690,000 | 2,273,050 | ||
9% 5/7/23 (Reg. S) | 4,450,000 | 3,146,150 | ||
9.25% 9/15/27 | 3,375,000 | 2,480,625 | ||
9.375% 1/13/34 | 1,160,000 | 800,400 | ||
10.75% 9/19/13 | 7,830,000 | 7,458,075 | ||
13.625% 8/15/18 | 3,938,000 | 3,632,805 | ||
Foreign Government and Government Agency Obligations - continued | ||||
| Principal Amount (d) | Value | ||
Vietnamese Socialist Republic: | ||||
4% 3/12/28 (f) | $ 2,425,000 | $ 1,770,250 | ||
6.875% 1/15/16 (h) | 655,000 | 668,100 | ||
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $168,000,717) | 169,526,256 | |||
Supranational Obligations - 0.0% | ||||
| ||||
Corporacion Andina de Fomento 5.2% 5/21/13 | 242,000 | 246,560 |
Convertible Preferred Stocks - 0.0% | |||
Shares |
| ||
UTILITIES - 0.0% | |||
Electric Utilities - 0.0% | |||
AES Trust III 6.75% | 28,100 | 1,181,886 | |
TOTAL CONVERTIBLE PREFERRED STOCKS (Cost $1,326,273) | 1,181,886 |
Floating Rate Loans - 0.6% | ||||
| Principal Amount (d) |
| ||
CONSUMER DISCRETIONARY - 0.3% | ||||
Auto Components - 0.1% | ||||
Federal-Mogul Corp.: | ||||
Tranche B, term loan 2.217% 12/27/14 (o) | $ 4,047,914 | 3,015,696 | ||
Tranche C, term loan 2.2161% 12/27/15 (o) | 2,470,791 | 1,828,385 | ||
The Goodyear Tire & Rubber Co. Tranche 2LN, term loan 2.04% 4/30/14 (o) | 1,445,000 | 1,333,013 | ||
| 6,177,094 | |||
Automobiles - 0.1% | ||||
Ford Motor Co. term loan 3.495% 12/15/13 (o) | 7,870,296 | 6,807,806 | ||
Diversified Consumer Services - 0.0% | ||||
ServiceMaster Co.: | ||||
term loan 2.85% 7/24/14 (o) | 1,773,396 | 1,525,121 | ||
Tranche DD, term loan 2.79% 7/24/14 (o) | 211,019 | 181,476 | ||
| 1,706,597 | |||
Floating Rate Loans - continued | ||||
| Principal Amount (d) | Value | ||
CONSUMER DISCRETIONARY - continued | ||||
Hotels, Restaurants & Leisure - 0.0% | ||||
Harrah's Entertainment, Inc.: | ||||
Tranche B2, term loan 3.5038% 1/28/15 (o) | $ 950,000 | $ 767,125 | ||
Tranche B3, term loan 3.5056% 1/28/15 (o) | 1,165,000 | 937,825 | ||
Las Vegas Sands LLC: | ||||
term loan 2.09% 5/23/14 (o) | 776,549 | 597,943 | ||
Tranche B, term loan 2.09% 5/23/14 (o) | 3,780,031 | 2,910,624 | ||
| 5,213,517 | |||
Media - 0.1% | ||||
Charter Communications Operating LLC Tranche B 1LN, term loan 6.25% 3/6/14 (o) | 4,058,548 | 3,744,011 | ||
Newsday LLC term loan 9.75% 8/1/13 | 2,870,000 | 2,920,225 | ||
R.H. Donnelley Corp. Tranche D2, term loan 6.75% 6/30/11 (o) | 38,830 | 31,646 | ||
Univision Communications, Inc. Tranche 1LN, term loan 2.535% 9/29/14 (o) | 3,845,000 | 3,008,713 | ||
Zuffa LLC term loan 2.375% 6/19/15 (o) | 4,601,298 | 4,118,162 | ||
| 13,822,757 | |||
Specialty Retail - 0.0% | ||||
Michaels Stores, Inc. Tranche B1, term loan 2.5625% 10/31/13 (o) | 2,555,293 | 2,248,658 | ||
Textiles, Apparel & Luxury Goods - 0.0% | ||||
Hanesbrands, Inc. Tranche 2LN, term loan 4.2538% 3/5/14 (o) | 165,000 | 160,875 | ||
Levi Strauss & Co. term loan 2.5225% 4/4/14 (o) | 790,000 | 711,000 | ||
| 871,875 | |||
TOTAL CONSUMER DISCRETIONARY | 36,848,304 | |||
HEALTH CARE - 0.0% | ||||
Pharmaceuticals - 0.0% | ||||
PTS Acquisition Corp. term loan 2.535% 4/10/14 (o) | 4,669,547 | 4,120,876 | ||
INDUSTRIALS - 0.1% | ||||
Airlines - 0.1% | ||||
Delta Air Lines, Inc. Tranche 2LN, term loan 3.5256% 4/30/14 (o) | 4,214,824 | 3,287,563 | ||
Northwest Airlines, Inc. term loan 2.28% 12/31/10 (o) | 1,326,327 | 1,273,273 | ||
United Air Lines, Inc. Tranche B, term loan 2.3125% 2/1/14 (o) | 2,736,135 | 1,744,286 | ||
| 6,305,122 | |||
Floating Rate Loans - continued | ||||
| Principal Amount (d) | Value | ||
INDUSTRIALS - continued | ||||
Machinery - 0.0% | ||||
Dresser, Inc. Tranche 2LN, term loan 6.0225% 5/4/15 pay-in-kind (o) | $ 1,705,000 | $ 1,415,150 | ||
TOTAL INDUSTRIALS | 7,720,272 | |||
INFORMATION TECHNOLOGY - 0.1% | ||||
Electronic Equipment & Components - 0.1% | ||||
Flextronics International Ltd.: | ||||
Tranche B A1, term loan 2.7594% 10/1/14 (o) | 622,630 | 563,480 | ||
Tranche B-A, term loan 2.6961% 10/1/14 (o) | 2,458,781 | 2,225,197 | ||
Tranche B-B, term loan 2.8469% 10/1/12 (o) | 3,094,253 | 2,869,920 | ||
| 5,658,597 | |||
IT Services - 0.0% | ||||
First Data Corp.: | ||||
Tranche B1, term loan 3.0171% 9/24/14 (o) | 915,000 | 761,738 | ||
Tranche B2, term loan 3.02% 9/24/14 (o) | 845,000 | 703,463 | ||
Tranche B3, term loan 3.0171% 9/24/14 (o) | 2,865,000 | 2,385,113 | ||
| 3,850,314 | |||
Semiconductors & Semiconductor Equipment - 0.0% | ||||
Freescale Semiconductor, Inc. term loan 2.0306% 12/1/13 (o) | 2,210,000 | 1,646,450 | ||
Software - 0.0% | ||||
Kronos, Inc. Tranche 1LN, term loan 2.5975% 6/11/14 (o) | 3,328,052 | 3,103,408 | ||
TOTAL INFORMATION TECHNOLOGY | 14,258,769 | |||
MATERIALS - 0.0% | ||||
Chemicals - 0.0% | ||||
Chemtura Corp. term loan 10.5% 3/19/10 (o) | 3,970,000 | 4,049,400 | ||
TELECOMMUNICATION SERVICES - 0.0% | ||||
Wireless Telecommunication Services - 0.0% | ||||
Intelsat Jackson Holdings Ltd. term loan 3.2756% 2/1/14 (o) | 2,425,000 | 2,112,781 | ||
Floating Rate Loans - continued | ||||
| Principal Amount (d) | Value | ||
UTILITIES - 0.1% | ||||
Electric Utilities - 0.1% | ||||
Texas Competitive Electric Holdings Co. LLC: | ||||
Tranche B1, term loan 3.7757% 10/10/14 (o) | $ 950,000 | $ 719,625 | ||
Tranche B3, term loan 3.7757% 10/10/14 (o) | 2,466,842 | 1,859,382 | ||
| 2,579,007 | |||
Multi-Utilities - 0.0% | ||||
Ashmore Energy International: | ||||
Revolving Credit-Linked Deposit 3.2875% 3/30/12 (o) | 408,969 | 368,072 | ||
term loan 3.5975% 3/30/14 (o) | 2,139,218 | 1,925,296 | ||
| 2,293,368 | |||
TOTAL UTILITIES | 4,872,375 | |||
TOTAL FLOATING RATE LOANS (Cost $68,300,462) | 73,982,777 | |||
Sovereign Loan Participations - 0.0% | ||||
|
|
| ||
Indonesian Republic loan participation - Citibank 2.25% 12/14/19 (o) | 1,443,501 | 1,111,496 | ||
Bank Notes - 0.0% | ||||
| ||||
National City Bank, Cleveland 0.7675% 3/1/13 (o) | 978,000 | 875,948 |
Fixed-Income Funds - 24.2% | |||
Shares |
| ||
Fidelity Corporate Bond 1-10 Year Central Fund (p) | 7,962,431 | 808,744,111 | |
Fidelity Floating Rate Central Fund (p) | 6,536,673 | 578,953,113 | |
Fidelity Mortgage Backed Securities Central Fund (p) | 14,800,559 | 1,508,325,013 | |
TOTAL FIXED-INCOME FUNDS (Cost $2,833,629,941) | 2,896,022,237 | ||
Preferred Securities - 0.1% | |||
Principal Amount (d) | Value | ||
CONSUMER DISCRETIONARY - 0.1% | |||
Media - 0.1% | |||
Globo Comunicacoes e Participacoes SA 9.375% | $ 4,440,000 | $ 4,487,481 | |
Net Servicos de Comunicacao SA 9.25% (h) | 2,918,000 | 2,928,229 | |
| 7,415,710 | ||
ENERGY - 0.0% | |||
Oil, Gas & Consumable Fuels - 0.0% | |||
Pemex Project Funding Master Trust 7.75% | 4,008,000 | 3,921,741 | |
FINANCIALS - 0.0% | |||
Diversified Financial Services - 0.0% | |||
ING Groep NV 5.775% (o) | 1,052,000 | 597,803 | |
MUFG Capital Finance 1 Ltd. 6.346% (o) | 4,028,000 | 3,725,201 | |
| 4,323,004 | ||
TOTAL PREFERRED SECURITIES (Cost $14,169,819) | 15,660,455 | ||
Cash Equivalents - 6.9% | |||
Maturity Amount |
| ||
Investments in repurchase agreements in a joint trading account at: | |||
0.2%, dated 8/31/09 due 9/1/09: | |||
(Collateralized by U.S. Treasury Obligations) # | $ 662,451,688 | 662,448,000 | |
(Collateralized by U.S. Treasury Obligations) # | 7,481,041 | 7,481,000 | |
0.21%, dated 8/31/09 due 9/1/09 (Collateralized by U.S. Government Obligations) # (b) | 152,477,889 | 152,477,000 | |
TOTAL CASH EQUIVALENTS (Cost $822,406,000) | 822,406,000 | ||
TOTAL INVESTMENT PORTFOLIO - 105.2% (Cost $12,270,466,676) | 12,589,259,753 | ||
NET OTHER ASSETS - (5.2)% | (619,012,215) | ||
NET ASSETS - 100% | $ 11,970,247,538 |
Swap Agreements | |||||
| Expiration Date | Notional Amount | Value | ||
Credit Default Swaps | |||||
Receive monthly notional amount multiplied by 3.35% and pay Morgan Stanley, Inc. upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-HE7, Class B3, 9.01% 8/25/34 (Rating-C) (m) | Sept. 2034 | $ 39,167 | $ (37,027) | ||
Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to Credit Suisse First Boston upon each credit event of one of the issues of ABX AA 07-01 Index, par value of the proportional notional amount (Rating-C) (Upfront Payment $480,000) (n) | Sept. 2037 | 3,932,746 | (3,834,427) | ||
Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to Credit Suisse First Boston upon each credit event of one of the issues of ABX AA 07-01 Index, par value of the proportional notional amount (Rating-C) (Upfront Payment $1,058,000) (n) | Sept. 2037 | 4,522,658 | (4,409,591) | ||
Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to JPMorgan Chase, Inc. upon each credit event of one of the issues of ABX AA 07-01 Index, par value of the proportional notional amount (Rating-C) (Upfront Payment $651,000) (n) | Sept. 2037 | 2,752,922 | (2,684,099) | ||
Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to UBS upon each credit event of one of the issues of ABX AA 07-1 Index, par value of the proportional notional amount (Rating-C) (Upfront Payment | Sept. 2037 | 7,078,942 | (6,901,969) | ||
Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to UBS upon each credit event of one of the issues of ABX AA 07-1 Index, par value of the proportional notional amount (Rating-C) (Upfront Payment | Sept. 2037 | 2,556,285 | (2,492,378) | ||
Swap Agreements - continued | |||||
| Expiration Date | Notional Amount | Value | ||
Credit Default Swaps - continued | |||||
Receive monthly notional amount multiplied by .82% and pay UBS upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. | August 2034 | $ 30,779 | $ (22,520) | ||
Receive monthly notional amount multiplied by .85% and pay UBS upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. | Oct. 2034 | 36,773 | (26,266) | ||
Receive monthly notional amount multiplied by 2.39% and pay UBS upon credit event of Fremont Home Loan Trust, par value of the notional amount of Fremont Home Loan Trust Series 2004-1 Class M9, 7.73% 2/25/34 (Rating-Baa3) (m) | March 2034 | 8,248 | (1,154) | ||
Receive monthly notional amount multiplied by 2.4% and pay Deutsche Bank upon credit event of Fremont Home Loan Trust, par value of the notional amount of Fremont Home Loan Trust Series 2004-A Class B3, 7.2288% 1/25/34 (Rating-C) (m) | Feb. 2034 | 787 | (723) | ||
Receive monthly notional amount multiplied by 2.54% and pay Merrill Lynch upon credit event of Countrywide Home Loans, Inc., par value of the notional amount of Countrywide Home Loans, Inc. | April 2032 | 11,800 | (6,506) | ||
TOTAL CREDIT DEFAULT SWAPS | $ 20,971,107 | $ (20,416,660) | |||
Swap Agreements - continued | |||||
| Expiration Date | Notional Amount | Value | ||
Interest Rate Swaps | |||||
Receive quarterly a fixed rate equal to 4.3875% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston | March 2010 | $ 1,250,000 | $ 36,623 | ||
Receive quarterly a fixed rate equal to 4.774% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston | March 2015 | 1,250,000 | 134,044 | ||
Receive quarterly a fixed rate equal to 4.90% and pay quarterly a floating rate based on 3-month LIBOR with JPMorgan Chase, Inc. (Upfront payment ($79,955)) | July 2014 | 1,135,000 | 120,023 | ||
Receive semi-annually a fixed rate equal to 3.567% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston | May 2011 | 293,294,000 | 14,996,414 | ||
Receive semi-annually a fixed rate equal to 4.03% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston | Sept. 2013 | 78,000,000 | 6,108,718 | ||
Receive semi-annually a fixed rate equal to 4.87% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston | Oct. 2012 | 100,000,000 | 10,493,940 | ||
Receive semi-annually a fixed rate equal to 5.062% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston | May 2012 | 75,000,000 | 7,618,268 | ||
Receive semi-annually a fixed rate equal to 5.09% and pay quarterly a floating rate based on 3-month LIBOR with Deutsche Bank | Jan. 2012 | 75,000,000 | 6,582,608 | ||
Receive semi-annually a fixed rate equal to 5.144% and pay quarterly a floating rate based on 3-month LIBOR with JPMorgan Chase, Inc. | April 2012 | 100,000,000 | 10,618,930 | ||
Receive semi-annually a fixed rate equal to 5.263% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston | Feb. 2012 | 50,000,000 | 4,520,250 | ||
Receive semi-annually a fixed rate equal to 5.276% and pay quarterly a floating rate based on 3-month LIBOR with Deutsche Bank | April 2011 | 20,000,000 | 1,746,074 | ||
Swap Agreements - continued | |||||
| Expiration Date | Notional Amount | Value | ||
Interest Rate Swaps - continued | |||||
Receive semi-annually a fixed rate equal to 5.556% and pay quarterly a floating rate based on 3-month LIBOR with JPMorgan Chase, Inc. | June 2012 | $ 25,000,000 | $ 2,806,923 | ||
Receive semi-annually a fixed rate equal to 5.6485% and pay quarterly a floating rate based on 3-month LIBOR with Deutsche Bank | July 2010 | 100,000,000 | 5,061,560 | ||
TOTAL INTEREST RATE SWAPS | $ 919,929,000 | $ 70,844,375 | |||
| $ 940,900,107 | $ 50,427,715 |
Currency Abbreviation | ||
CAD | - | Canadian dollar |
Legend |
(a) Non-income producing |
(b) Includes investment made with cash collateral received from securities on loan. |
(c) Non-income producing - Issuer is in default. |
(d) Principal amount is stated in United States dollars unless otherwise noted. |
(e) Security initially issued in zero coupon form which converts to coupon form at a specified rate and date. The rate shown is the rate at period end. |
(f) Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end. |
(g) Security or a portion of the security is on loan at period end. |
(h) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $872,073,392 or 7.3% of net assets. |
(i) Under the Temporary Liquidity Guarantee Program, the Federal Deposit Insurance Corporation guarantees principal and interest in the event of payment default or bankruptcy until the earlier of maturity date of the debt or until June 30, 2012. At the end of the period these securities amounted to $32,269,280 or 0.3% of net assets. |
(j) Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(k) A portion of the security is subject to a forward commitment to sell. |
(l) Security or a portion of the security has been segregated as collateral for open swap agreements. At the period end, the value of securities pledged amounted to $10,488,885. |
(m) Represents a credit default swap contract in which the fund has sold protection on the underlying reference entity. The value of each credit default swap and the credit rating can be measures of the current payment/performance risk. For the underlying reference entity, ratings disclosed are from Moody's Investor Services, Inc. Where Moody's ratings are not available, S&P ratings are disclosed and are indicated as such. All ratings are as of the report date and do not reflect subsequent changes. Where a credit rating is not disclosed, the value is used as the measure of the payment/performance risk. |
(n) Represents a tradable index of credit default swaps on home equity asset-backed debt securities. In addition, the swap represents a contract in which the fund has sold protection on the 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 Investor Services, Inc., or S&P where Moody's ratings are not available. All ratings are as of the report date and do not reflect subsequent changes. |
(o) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. |
(p) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. A complete unaudited schedule of portfolio holdings for each Fidelity Central Fund is filed with the SEC for the first and third quarters of each fiscal year on Form N-Q and is available upon request or at the SEC's web site at www.sec.gov. An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro rata share of securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com and/or advisor.fidelity.com, as applicable. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's web site or upon request. |
(q) Security represents right to receive monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool held as of the end of the period. |
(r) Restricted securities - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $15,727 or 0.0% of net assets. |
Additional information on each holding is as follows: |
Security | Acquisition Date | Acquisition Cost |
GMAC Commercial Mortgage Securities, Inc. Series 1999-C2I Class K, 6.481% 9/15/33 | 3/23/07 | $ 163,875 |
# Additional information on each counterparty to the repurchase agreement is as follows: |
Repurchase Agreement / Counterparty | Value |
$662,448,000 due 9/01/09 at 0.20% | |
BNP Paribas Securities Corp. | $ 113,907,656 |
Banc of America Securities LLC | 56,715,763 |
Bank of America, NA | 141,789,408 |
Deutsche Bank Securities, Inc. | 62,387,340 |
ING Financial Markets LLC | 18,247,957 |
J.P. Morgan Securities, | 113,431,527 |
Mizuho Securities USA, Inc. | 56,715,763 |
Morgan Stanley & Co., Inc. | 28,357,882 |
Societe Generale, New York Branch | 70,894,704 |
| $ 662,448,000 |
$7,481,000 due 9/01/09 at 0.20% | |
BNP Paribas Securities Corp. | $ 2,902,240 |
Barclays Capital, Inc. | 3,652,513 |
Deutsche Bank Securities, Inc. | 926,247 |
| $ 7,481,000 |
$152,477,000 due 9/01/09 at 0.21% | |
J.P. Morgan Securities, Inc. | $ 152,477,000 |
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 |
Fidelity 1-3 Year Duration Securitized Bond Central Fund | $ 5,484,652 |
Fidelity Commercial Mortgage-Backed Securities Central Fund | 20,606,840 |
Fidelity Corporate Bond 1-10 Year Central Fund | 71,469,040 |
Fidelity Floating Rate Central Fund | 25,297,655 |
Fidelity Mortgage Backed Securities Central Fund | 85,655,251 |
Fidelity Ultra-Short Central Fund | 4,349,644 |
Total | $ 212,863,082 |
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, | Purchases | Sales | Value, | % ownership, end of |
Fidelity 1-3 Year Duration Securitized Bond Central Fund | $ 283,991,380 | $ 4,148,681 | $ 267,091,219* | $ - | 0.0% |
Fidelity Commercial Mortgage | 658,434,817 | 16,728,421 | 555,096,527* | - | 0.0% |
Fidelity Corporate Bond 1-10 Year Central Fund | 1,816,743,999 | 49,222,593 | 1,029,134,976* | 808,744,111 | 28.6% |
Fidelity Floating Rate Central Fund | 408,626,297 | 151,340,041 | - | 578,953,113 | 20.1% |
Fidelity Mortgage Backed Securities Central Fund | 2,138,641,000 | 161,026,129 | 851,012,714 | 1,508,325,013 | 19.4% |
Fidelity Ultra-Short Central Fund | 599,904,422 | - | 504,601,608* | - | 0.0% |
Total | $ 5,906,341,915 | $ 382,465,865 | $ 3,206,937,044 | $ 2,896,022,237 |
* Includes the value of shares redeemed through in-kind transactions. See Note 8 of the Notes to Financial Statements. |
Other Information |
The following is a summary of the inputs used, as of August 31, 2009, involving the Fund's assets and liabilities carried at value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the tables below, please refer to the Security Valuation section in the accompanying Notes to Financial Statements. |
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Equities: | ||||
Utilities | $ 1,181,886 | $ - | $ 1,181,886 | $ - |
Asset-Backed Securities | 240,669,499 | - | 212,680,747 | 27,988,752 |
Bank Notes | 875,948 | - | 875,948 | - |
Cash Equivalents | 822,406,000 | - | 822,406,000 | - |
Collateralized Mortgage Obligations | 273,533,771 | - | 263,819,927 | 9,713,844 |
Commercial Mortgage Securities | 724,435,418 | - | 663,747,314 | 60,688,104 |
Corporate Bonds | 3,356,947,773 | - | 3,356,640,801 | 306,972 |
Fixed-Income Funds | 2,896,022,237 | 2,896,022,237 | - | - |
Floating Rate Loans | 73,982,777 | - | 73,982,777 | - |
Foreign Government and Government Agency Obligations | 169,526,256 | - | 169,526,256 | - |
Municipal Securities | 19,263,233 | - | 19,263,233 | - |
Preferred Securities | 15,660,455 | - | 15,660,455 | - |
Sovereign Loan Participations | 1,111,496 | - | 1,111,496 | - |
Supranational Obligations | 246,560 | - | 246,560 | - |
U.S. Government Agency - Mortgage Securities | 1,488,513,966 | - | 1,488,513,966 | - |
U.S. Government and Government Agency Obligations | 2,504,882,478 | - | 2,504,882,478 | - |
Total Investments in Securities: | $ 12,589,259,753 | $ 2,896,022,237 | $ 9,594,539,844 | $ 98,697,672 |
Derivative Instruments: | ||||
Assets | ||||
Swap Agreements | $ 70,844,375 | $ - | $ 70,844,375 | $ - |
Liabilities | ||||
Swap Agreements | $ (20,416,660) | $ - | $ (20,371,250) | $ (45,410) |
Total Derivative Instruments: | $ 50,427,715 | $ - | $ 50,473,125 | $ (45,410) |
Other Financial Instruments: | ||||
Forward Commitments | $ (1,661,972) | $ - | $ (1,661,972) | $ - |
The following is a reconciliation of Investments in Securities and Derivative Instruments for which Level 3 inputs were used in determining value: | |
Investments in Securities: |
|
Beginning Balance | $ 3,663,788 |
Total Realized Gain (Loss) | (662,758) |
Total Unrealized Gain (Loss) | (11,022,804) |
Cost of Purchases | 100,015,146 |
Proceeds of Sales | (11,437,699) |
Amortization/Accretion | (4,011,050) |
Transfers in/out of Level 3 | 22,153,049 |
Ending Balance | $ 98,697,672 |
The change in unrealized gain (loss) attributable to Level 3 securities at | $ (15,952,208) |
Derivative Instruments: | |
Swap Agreements |
|
Beginning Balance | $ (3,526,344) |
Total Unrealized Gain (loss) | 3,478,914 |
Transfers in/out of Level 3 | 2,020 |
Ending Balance | $ (45,410) |
Realized gain (loss) on Swap Agreements for the period | $ (3,729,333) |
The change in unrealized gain (loss) attributable to Level 3 Swap Agreements at August 31, 2009 | $ 45,805 |
The information used in the above reconciliation represents fiscal year to date activity for any Investments in Securities and Derivative Instruments identified as using Level 3 inputs at either the beginning or the end of the current fiscal period, and includes the value of securities received through affiliated in-kind transactions. See Note 8 of the Notes to Financial Statements. Transfers in or out of Level 3 represents either the beginning value (for transfer in), or the ending value (for transfer out) of any Security or Instrument where a change in the pricing level occurred from the beginning to the end of the period. Realized and unrealized gains (losses) disclosed in the reconciliation are included in Net Gain (Loss) on the Fund's Statement of Operations. |
Value of Derivative Instruments |
The following table is a summary of the Fund's value of derivative instruments by risk exposure as of August 31, 2009. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements. |
Risk Exposure / | Value | |
| Asset | Liability |
Credit Risk | ||
Swap Agreements (a) | $ - | $ (20,416,660) |
Interest Rate Risk | ||
Swap Agreements (a) | 70,844,375 | - |
Total Value of Derivatives | $ 70,844,375 | $ (20,416,660) |
(a) Value is disclosed on the Statement of Assets and Liabilities in the Unrealized Appreciation and Unrealized Depreciation on Swap Agreements line-items. |
Income Tax Information |
At August 31, 2009, the fund had a capital loss carryforward of approximately $93,866,210 all of which will expire on August 31, 2017. |
The fund intends to elect to defer to its fiscal year ending August 31, 2010 approximately $179,587,761 of losses recognized during the period November 1, 2008 to August 31, 2009. |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Statements
Statement of Assets and Liabilities
| August 31, 2009 | |
|
|
|
Assets | ||
Investment in securities, at value (including securities loaned of $149,180,568 and repurchase agreements of $822,406,000) - See accompanying schedule: Unaffiliated issuers (cost $9,436,836,735) | $ 9,693,237,516 |
|
Fidelity Central Funds (cost $2,833,629,941) | 2,896,022,237 |
|
Total Investments (cost $12,270,466,676) |
| $ 12,589,259,753 |
Commitment to sell securities on a delayed delivery basis | (271,792,558) | |
Receivable for securities sold on a delayed delivery basis | 270,130,586 | (1,661,972) |
Receivable for investments sold |
|
|
Regular delivery | 52,713,641 | |
Delayed delivery | 302,094 | |
Cash | 5,337,843 | |
Receivable for swap agreements | 2,779 | |
Receivable for fund shares sold | 25,093,285 | |
Interest receivable | 84,058,538 | |
Distributions receivable from Fidelity Central Funds | 11,654,259 | |
Unrealized appreciation on swap agreements | 70,844,375 | |
Other receivables | 66,101 | |
Total assets | 12,837,670,696 | |
|
|
|
Liabilities | ||
Payable for investments purchased | $ 248,597,181 | |
Delayed delivery | 434,896,899 | |
Payable for swap agreements | 288,957 | |
Payable for fund shares redeemed | 4,925,358 | |
Distributions payable | 1,056,076 | |
Unrealized depreciation on swap agreements | 20,416,660 | |
Accrued management fee | 3,123,002 | |
Distribution fees payable | 82,584 | |
Other affiliated payables | 1,357,377 | |
Other payables and accrued expenses | 201,564 | |
Collateral on securities loaned, at value | 152,477,500 | |
Total liabilities | 867,423,158 | |
|
|
|
Net Assets | $ 11,970,247,538 | |
Net Assets consist of: |
| |
Paid in capital | $ 12,054,601,659 | |
Undistributed net investment income | 60,445,769 | |
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions | (514,594,230) | |
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies | 369,794,340 | |
Net Assets | $ 11,970,247,538 |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Statements - continued
Statement of Assets and Liabilities - continued
| August 31, 2009 | |
|
|
|
Calculation of Maximum Offering Price Class A: | $ 10.28 | |
|
|
|
Maximum offering price per share (100/96.00 of $10.28) | $ 10.71 | |
Class T: | $ 10.27 | |
|
|
|
Maximum offering price per share (100/96.00 of $10.27) | $ 10.70 | |
Class B: | $ 10.28 | |
|
|
|
Class C: | $ 10.28 | |
|
|
|
Total Bond: | $ 10.28 | |
|
|
|
Class F: | $ 10.27 | |
|
|
|
Institutional Class: | $ 10.26 |
A Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
See accompanying notes which are an integral part of the financial statements.
Annual Report
Statement of Operations
| Year ended August 31, 2009 | |
|
|
|
Investment Income |
|
|
Dividends |
| $ 1,790,098 |
Interest |
| 384,864,258 |
Income from Fidelity Central Funds |
| 212,863,082 |
Total income |
| 599,517,438 |
|
|
|
Expenses | ||
Management fee | $ 32,073,749 | |
Transfer agent fees | 10,846,434 | |
Distribution fees | 754,200 | |
Fund wide operations fee | 3,032,583 | |
Independent trustees' compensation | 35,644 | |
Miscellaneous | 216,528 | |
Total expenses before reductions | 46,959,138 | |
Expense reductions | (171,390) | 46,787,748 |
Net investment income | 552,729,690 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: |
|
|
Unaffiliated issuers | 7,333,159 | |
Fidelity Central Funds | (570,562,102) |
|
Foreign currency transactions | (1,558) | |
Swap agreements | 39,230,099 |
|
Total net realized gain (loss) |
| (524,000,402) |
Change in net unrealized appreciation (depreciation) on: Investment securities | 712,539,712 | |
Assets and liabilities in foreign currencies | (185) | |
Swap agreements | 39,414,561 | |
Delayed delivery commitments | (1,603,030) |
|
Total change in net unrealized appreciation (depreciation) |
| 750,351,058 |
Net gain (loss) | 226,350,656 | |
Net increase (decrease) in net assets resulting from operations | $ 779,080,346 |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Statements - continued
Statement of Changes in Net Assets
| Year ended | Year ended |
Increase (Decrease) in Net Assets |
|
|
Operations |
|
|
Net investment income | $ 552,729,690 | $ 518,414,707 |
Net realized gain (loss) | (524,000,402) | 95,293,460 |
Change in net unrealized appreciation (depreciation) | 750,351,058 | (332,114,221) |
Net increase (decrease) in net assets resulting from operations | 779,080,346 | 281,593,946 |
Distributions to shareholders from net investment income | (503,411,775) | (501,867,517) |
Distributions to shareholders from net realized gain | (71,517,925) | (24,508,784) |
Total distributions | (574,929,700) | (526,376,301) |
Share transactions - net increase (decrease) | 684,114,730 | 4,412,741,476 |
Total increase (decrease) in net assets | 888,265,376 | 4,167,959,121 |
|
|
|
Net Assets | ||
Beginning of period | 11,081,982,162 | 6,914,023,041 |
End of period (including undistributed net investment income of $60,445,769 and undistributed net investment income of $8,813,868, respectively) | $ 11,970,247,538 | $ 11,081,982,162 |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Class A
Years ended August 31, | 2009 | 2008 | 2007 | 2006 I | 2006 K | 2005 K |
Selected Per-Share Data |
|
|
|
|
|
|
Net asset value, beginning of period | $ 10.07 | $ 10.27 | $ 10.39 | $ 10.28 | $ 10.57 | $ 10.46 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment incomeE | .494 | .488 | .508 | .043 | .476 | .387 |
Net realized and unrealized gain (loss) | .231 | (.189) | (.141) | .105 | (.294) H | .183 |
Total from investment operations | .725 | .299 | .367 | .148 | .182 | .570 |
Distributions from net investment income | (.447) | (.474) | (.470) | (.038) | (.432) | (.370) |
Distributions from net realized gain | (.068) | (.025) | (.017) | - | (.040) | (.090) |
Total distributions | (.515) | (.499) | (.487) | (.038) | (.472) | (.460) |
Net asset value, end of period | $ 10.28 | $ 10.07 | $ 10.27 | $ 10.39 | $ 10.28 | $ 10.57 |
Total Return B,C,D | 7.79% | 2.93% | 3.57% | 1.44% | 1.78% | 5.52% |
Ratios to Average Net Assets F,J |
|
|
|
|
| |
Expenses before reductions | .80% | .80% | .77% | .73% A | .79% | .96% |
Expenses net of fee waivers, if any | .80% | .80% | .77% | .73% A | .79% | .80% |
Expenses net of all reductions | .80% | .80% | .77% | .73% A | .79% | .80% |
Net investment income | 5.17% | 4.77% | 4.93% | 4.98% A | 4.61% | 3.69% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 107,998 | $ 80,755 | $ 48,076 | $ 6,780 | $ 4,545 | $ 2,974 |
Portfolio turnover rate G | 104% L | 122% | 116% L | 53% A | 99% | 193% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Total returns do not include the effect of the sales charges. E Calculated based on average shares outstanding during the period. F Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. G Amount does not include the portfolio activity of any underlying Fidelity Central Funds. H The amount shown for a share outstanding does not correspond with the aggregate net gain (loss) on investments for the period due to the timing of sales and repurchases of shares in relation to fluctuating market values of the investments of the Fund. I For the one month period ended August 31. The Fund changed its fiscal year from July 31 to August 31, effective August 31, 2006. J Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. K For the period ended July 31. L The portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds. |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Class T
Years ended August 31, | 2009 | 2008 | 2007 | 2006 I | 2006 K | 2005 K |
Selected Per-Share Data |
|
|
|
|
|
|
Net asset value, beginning of period | $ 10.06 | $ 10.26 | $ 10.38 | $ 10.27 | $ 10.56 | $ 10.46 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment incomeE | .488 | .489 | .508 | .042 | .466 | .377 |
Net realized and unrealized gain (loss) | .233 | (.191) | (.143) | .105 | (.296) H | .173 |
Total from investment operations | .721 | .298 | .365 | .147 | .170 | .550 |
Distributions from net investment income | (.443) | (.473) | (.468) | (.037) | (.420) | (.360) |
Distributions from net realized gain | (.068) | (.025) | (.017) | - | (.040) | (.090) |
Total distributions | (.511) | (.498) | (.485) | (.037) | (.460) | (.450) |
Net asset value, end of period | $ 10.27 | $ 10.06 | $ 10.26 | $ 10.38 | $ 10.27 | $ 10.56 |
Total Return B,C,D | 7.74% | 2.92% | 3.55% | 1.43% | 1.66% | 5.33% |
Ratios to Average Net Assets F,J |
|
|
|
|
| |
Expenses before reductions | .85% | .81% | .78% | .87% A | .91% | 1.13% |
Expenses net of fee waivers, if any | .85% | .81% | .78% | .87% A | .90% | .90% |
Expenses net of all reductions | .85% | .80% | .78% | .87% A | .90% | .90% |
Net investment income | 5.12% | 4.76% | 4.92% | 4.84% A | 4.50% | 3.59% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 48,090 | $ 38,574 | $ 42,191 | $ 6,293 | $ 4,583 | $ 5,739 |
Portfolio turnover rate G | 104% L | 122% | 116% L | 53% A | 99% | 193% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Total returns do not include the effect of the sales charges. E Calculated based on average shares outstanding during the period. F Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. G Amount does not include the portfolio activity of any underlying Fidelity Central Funds. H The amount shown for a share outstanding does not correspond with the aggregate net gain (loss) on investments for the period due to the timing of sales and repurchases of shares in relation to fluctuating market values of the investments of the Fund. I For the one month period ended August 31. The Fund changed its fiscal year from July 31 to August 31, effective August 31, 2006. J Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. K For the period ended July 31. L The portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds. |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Class B
Years ended August 31, | 2009 | 2008 | 2007 | 2006 I | 2006 K | 2005 K |
Selected Per-Share Data |
|
|
|
|
|
|
Net asset value, beginning of period | $ 10.07 | $ 10.27 | $ 10.39 | $ 10.28 | $ 10.57 | $ 10.46 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income E | .423 | .413 | .432 | .037 | .399 | .309 |
Net realized and unrealized gain (loss) | .233 | (.190) | (.145) | .104 | (.296) H | .182 |
Total from investment operations | .656 | .223 | .287 | .141 | .103 | .491 |
Distributions from net investment income | (.378) | (.398) | (.390) | (.031) | (.353) | (.291) |
Distributions from net realized gain | (.068) | (.025) | (.017) | - | (.040) | (.090) |
Total distributions | (.446) | (.423) | (.407) | (.031) | (.393) | (.381) |
Net asset value, end of period | $ 10.28 | $ 10.07 | $ 10.27 | $ 10.39 | $ 10.28 | $ 10.57 |
Total Return B,C,D | 7.01% | 2.17% | 2.77% | 1.38% | 1.01% | 4.74% |
Ratios to Average Net Assets F,J |
|
|
|
|
| |
Expenses before reductions | 1.53% | 1.54% | 1.53% | 1.51% A | 1.59% | 1.75% |
Expenses net of fee waivers, if any | 1.53% | 1.54% | 1.53% | 1.51% A | 1.55% | 1.55% |
Expenses net of all reductions | 1.53% | 1.54% | 1.53% | 1.51% A | 1.55% | 1.55% |
Net investment income | 4.44% | 4.03% | 4.17% | 4.22% A | 3.85% | 2.94% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 9,054 | $ 9,645 | $ 6,054 | $ 1,720 | $ 1,667 | $ 2,029 |
Portfolio turnover rate G | 104% L | 122% | 116% L | 53% A | 99% | 193% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Total returns do not include the effect of the contingent deferred sales charge. E Calculated based on average shares outstanding during the period. F Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. G Amount does not include the portfolio activity of any underlying Fidelity Central Funds. H The amount shown for a share outstanding does not correspond with the aggregate net gain (loss) on investments for the period due to the timing of sales and repurchases of shares in relation to fluctuating market values of the investments of the Fund. I For the one month period ended August 31. The Fund changed its fiscal year from July 31 to August 31, effective August 31, 2006. J Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. K For the period ended July 31. L The portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds. |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Class C
Years ended August 31, | 2009 | 2008 | 2007 | 2006 I | 2006 K | 2005 K |
Selected Per-Share Data |
|
|
|
|
|
|
Net asset value, beginning of period | $ 10.07 | $ 10.27 | $ 10.39 | $ 10.28 | $ 10.57 | $ 10.46 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income E | .425 | .413 | .429 | .036 | .389 | .299 |
Net realized and unrealized gain (loss) | .232 | (.189) | (.145) | .105 | (.293) H | .181 |
Total from investment operations | .657 | .224 | .284 | .141 | .096 | .480 |
Distributions from net investment income | (.379) | (.399) | (.387) | (.031) | (.346) | (.280) |
Distributions from net realized gain | (.068) | (.025) | (.017) | - | (.040) | (.090) |
Total distributions | (.447) | (.424) | (.404) | (.031) | (.386) | (.370) |
Net asset value, end of period | $ 10.28 | $ 10.07 | $ 10.27 | $ 10.39 | $ 10.28 | $ 10.57 |
Total Return B,C,D | 7.02% | 2.18% | 2.75% | 1.37% | .94% | 4.63% |
Ratios to Average Net Assets F,J |
|
|
|
|
| |
Expenses before reductions | 1.52% | 1.53% | 1.55% | 1.60% A | 1.62% | 1.74% |
Expenses net of fee waivers, if any | 1.52% | 1.53% | 1.55% | 1.60% A | 1.62% | 1.65% |
Expenses net of all reductions | 1.52% | 1.53% | 1.55% | 1.60% A | 1.62% | 1.65% |
Net investment income | 4.45% | 4.03% | 4.15% | 4.13% A | 3.78% | 2.84% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 55,958 | $ 28,786 | $ 18,890 | $ 2,106 | $ 1,770 | $ 677 |
Portfolio turnover rate G | 104% L | 122% | 116% L | 53% A | 99% | 193% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Total returns do not include the effect of the contingent deferred sales charge. E Calculated based on average shares outstanding during the period. F Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. G Amount does not include the portfolio activity of any underlying Fidelity Central Funds. H The amount shown for a share outstanding does not correspond with the aggregate net gain (loss) on investments for the period due to the timing of sales and repurchases of shares in relation to fluctuating market values of the investments of the Fund. I For the one month period ended August 31. The Fund changed its fiscal year from July 31 to August 31, effective August 31, 2006. J Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. K For the period ended July 31. L The portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds. |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Total Bond
Years ended August 31, | 2009 | 2008 | 2007 | 2006 H | 2006 J | 2005 J |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 10.07 | $ 10.27 | $ 10.39 | $ 10.28 | $ 10.57 | $ 10.46 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income D | .527 | .524 | .543 | .046 | .506 | .411 |
Net realized and unrealized gain (loss) | .232 | (.189) | (.143) | .105 | (.290) G | .182 |
Total from investment operations | .759 | .335 | .400 | .151 | .216 | .593 |
Distributions from net investment income | (.481) | (.510) | (.503) | (.041) | (.466) | (.393) |
Distributions from net realized gain | (.068) | (.025) | (.017) | - | (.040) | (.090) |
Total distributions | (.549) | (.535) | (.520) | (.041) | (.506) | (.483) |
Net asset value, end of period | $ 10.28 | $ 10.07 | $ 10.27 | $ 10.39 | $ 10.28 | $ 10.57 |
Total Return B, C | 8.17% | 3.29% | 3.89% | 1.46% | 2.11% | 5.75% |
Ratios to Average Net Assets E, I |
|
|
|
|
| |
Expenses before reductions | .45% | .45% | .45% | .45% A | .45% | .64% |
Expenses net of fee waivers, if any | .45% | .45% | .45% | .45% A | .45% | .61% |
Expenses net of all reductions | .45% | .45% | .45% | .45% A | .45% | .61% |
Net investment income | 5.52% | 5.12% | 5.25% | 5.26% A | 4.95% | 3.87% |
Supplemental Data |
|
|
|
|
| |
Net assets, | $ 10,863,828 | $ 9,976,432 | $ 6,450,177 | $ 2,421,077 | $ 2,306,817 | $ 420,225 |
Portfolio turnover rate F | 104% K | 122% | 116% K | 53% A | 99% | 193% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Calculated based on average shares outstanding during the period. E Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. F Amount does not include the portfolio activity of any underlying Fidelity Central Funds. G The amount shown for a share outstanding does not correspond with the aggregate net gain (loss) on investments for the period due to the timing of sales and repurchases of shares in relation to fluctuating market values of the investments of the Fund. H For the one month period ended August 31. The Fund changed its fiscal year from July 31 to August 31, effective August 31, 2006. I Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. J For the period ended July 31. K The portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds. |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Class F
Year ended August 31, | 2009 G |
Selected Per-Share Data |
|
Net asset value, beginning of period | $ 9.89 |
Income from Investment Operations |
|
Net investment income D | .100 |
Net realized and unrealized gain (loss) | .359 |
Total from investment operations | .459 |
Distributions from net investment income | (.079) |
Net asset value, end of period | $ 10.27 |
Total Return B,C | 4.64% |
Ratios to Average Net Assets E,H |
|
Expenses before reductions | .35% A |
Expenses net of fee waivers, if any | .35% A |
Expenses net of all reductions | .35% A |
Net investment income | 5.79% A |
Supplemental Data |
|
Net assets, end of period (000 omitted) | $ 329 |
Portfolio turnover rate F | 104% I |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Calculated based on average shares outstanding during the period. E Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. F Amount does not include the portfolio activity of any underlying Fidelity Central Funds. G For the period June 26, 2009 (commencement of sale of shares) to August 31, 2009. H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. I The portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds. |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Institutional Class
Years ended August 31, | 2009 | 2008 | 2007 | 2006 H | 2006 J | 2005 J |
Selected Per-Share Data |
|
|
|
|
|
|
Net asset value, beginning of period | $ 10.06 | $ 10.26 | $ 10.38 | $ 10.27 | $ 10.57 | $ 10.46 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income D | .518 | .516 | .527 | .045 | .493 | .410 |
Net realized and unrealized gain (loss) | .224 | (.186) | (.134) | .105 | (.294) G | .182 |
Total from investment operations | .742 | .330 | .393 | .150 | .199 | .592 |
Distributions from net investment income | (.474) | (.505) | (.496) | (.040) | (.459) | (.392) |
Distributions from net realized gain | (.068) | (.025) | (.017) | - | (.040) | (.090) |
Total distributions | (.542) | (.530) | (.513) | (.040) | (.499) | (.482) |
Net asset value, end of period | $ 10.26 | $ 10.06 | $ 10.26 | $ 10.38 | $ 10.27 | $ 10.57 |
Total Return B,C | 7.99% | 3.24% | 3.83% | 1.46% | 1.95% | 5.74% |
Ratios to Average Net Assets E,I |
|
|
|
|
| |
Expenses before reductions | .53% | .51% | .50% | .54% A | .56% | .62% |
Expenses net of fee waivers, if any | .53% | .51% | .50% | .54% A | .56% | .62% |
Expenses net of all reductions | .53% | .51% | .49% | .54% A | .56% | .61% |
Net investment income | 5.45% | 5.06% | 5.21% | 5.16% A | 4.84% | 3.87% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of | $ 884,991 | $ 947,791 | $ 348,636 | $ 1,058 | $ 933 | $ 114 |
Portfolio turnover rate F | 104% K | 122% | 116% K | 53% A | 99% | 193% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Calculated based on average shares outstanding during the period. E Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. F Amount does not include the portfolio activity of any underlying Fidelity Central Funds. G The amount shown for a share outstanding does not correspond with the aggregate net gain (loss) on investments for the period due to the timing of sales and repurchases of shares in relation to fluctuating market values of the investments of the Fund. H For the one month period ended August 31. The Fund changed its fiscal year from July 31 to August 31, effective August 31, 2006. I Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. J For the period ended July 31. K The portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds. |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Notes to Financial Statements
For the period ended August 31, 2009
1. Organization.
Fidelity Total Bond Fund (the Fund) is a fund of Fidelity Income Fund (the trust) and is authorized to issue an unlimited number of shares. The trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. In January 2009, the Board of Trustees of the Fund approved the creation of an additional class of shares. The Fund commenced sale of Class F shares on June 26, 2009. The Fund offers Class A, Class T, Class B, Class C, Total Bond, Class F and Institutional Class shares, each of which has equal rights as to assets and voting privileges. Each class has exclusive voting rights with respect to matters that affect that class. Class F shares of the Fund are only available for purchase by mutual funds for which Fidelity Management & Research Company (FMR) or an affiliate serves as investment manager. Class B shares will automatically convert to Class A shares after a holding period of seven years from the initial date of purchase. Investment income, realized and unrealized capital gains and losses, the common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred. Certain expense reductions also differ by class.
2. Investments in Fidelity Central Funds.
The Fund may invest in Fidelity Central Funds, which are open-end investment companies available only to other investment companies and accounts managed by Fidelity Management & Research Company (FMR) and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
Based on their investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the Fund. These strategies are consistent with the investment objectives of the Fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the Fund. The following summarizes the Fund's investment in each Fidelity Central Fund.
Annual Report
Notes to Financial Statements - continued
2. Investments in Fidelity Central Funds - continued
Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices |
Fidelity Corporate Bond 1-10 Year Central Fund | Fidelity Investment Money Management, Inc. (FIMM) | Seeks a high level of income by normally investing in investment-grade corporate bonds and other corporate debt securities and repurchase agreements for those securities. | Delayed Delivery & When Issued Securities Repurchase Agreements Restricted Securities Swap Agreements |
Fidelity Floating Rate Central Fund | Fidelity Management & Research Company, Inc. (FMRC) | Seeks a high level of income by normally investing in floating rate loans and other floating rate securities. | Loans & Direct Debt Instruments Repurchase Agreements Restricted Securities
|
Fidelity Mortgage Backed Securities Central Fund | FIMM | Seeks a high level of income by normally investing in investment-grade mortgage-related securities and repurchase agreements for those securities. | Delayed Delivery & When Issued Securities Futures Repurchase Agreements Swap Agreements |
An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com and/or advisor.fidelity.com, as applicable. A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the SEC's web site at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's web site or upon request.
3. Significant Accounting Policies.
The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America, which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Events or transactions occurring after period end through the date that the financial statements were issued, October 26, 2009, have been evaluated in the preparation of the financial statements. The following summarizes the significant accounting policies of the Fund:
Annual Report
3. Significant Accounting Policies - continued
Security Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Fund uses independent pricing services approved by the Board of Trustees to value its investments. Generally Accepted Accounting Principles (GAAP) establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are classified into three levels. Level 1 includes readily available unadjusted quoted prices in active markets for identical assets or liabilities. Level 2 includes observable inputs other than quoted prices included in Level 1 that are observable either directly or indirectly. Level 3 includes unobservable inputs when market prices are not readily available or reliable. Changes in valuation techniques may result in transfers in or out of an investment's assigned level within the hierarchy. The aggregate value by input level, as of August 31, 2009, for the Fund's investments, as well as a reconciliation of assets and liabilities for which significant unobservable inputs (Level 3) were used in determining value, is included at the end of the Fund's Schedule of Investments. Valuation techniques of the Fund's major categories of assets and liabilities as presented in the Schedule of Investments are as follows.
Debt securities, including restricted securities, are valued based on quotations received from dealers who make markets in such securities or by independent pricing services. For corporate bonds, bank notes, foreign government and government agency obligations, preferred securities, supranational obligations, and U.S. government and government agency obligations pricing services generally utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices. For asset backed securities, collateralized mortgage obligations, commercial mortgage securities, and U.S. government agency mortgage securities, pricing services generally utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and types as well as dealer supplied prices. 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. 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. Swaps are marked-to-market daily based on valuations from independent pricing services or dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates value. Actual prices received at disposition may differ.
Annual Report
Notes to Financial Statements - continued
3. Significant Accounting Policies - continued
Security Valuation - continued
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 significant market or security specific events, changes in interest rates and credit quality, and developments in foreign markets which are monitored by evaluating the performance of ADRs, futures contracts and exchange-traded funds. The frequency with which these procedures are used cannot be predicted and may be utilized to a significant extent. The value of securities used for net asset value (NAV) calculation under these procedures may differ from published prices for the same securities.
Foreign Currency. The Fund uses foreign currency contracts to facilitate transactions in foreign-denominated securities. Losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.
Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rate at period end. Purchases and sales of investment securities, income and dividends received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and may include proceeds received from litigation. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Interest income and distributions from the Fidelity Central Funds are accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt
Annual Report
3. Significant Accounting Policies - continued
Investment Transactions and Income - continued
securities. Inflation-indexed bonds are fixed-income securities whose principal value is periodically adjusted to the rate of inflation. Interest is accrued based on the principal value, which is adjusted for inflation. The adjustments to principal due to inflation are reflected as increases or decreases to interest income even though principal is not received until maturity. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain.
Expenses. Most expenses of the trust can be directly attributed to a fund. Expenses which cannot be directly attributed are apportioned among each Fund in the trust. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan), independent Trustees must defer receipt of a portion of, and may elect to defer receipt of an additional portion of, their annual compensation. Deferred amounts are invested in a cross-section of Fidelity funds, are marked-to-market and remain in the Fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees are included in the accompanying Statement of Assets and Liabilities.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company by distributing substantially all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code and filing its U.S. federal tax return. As a result, no provision for income taxes is required. The Fund is subject to the provisions of FASB Interpretation No. 48, Accounting for Uncertainties in Income Taxes (FIN 48). FIN 48 sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. There are no unrecognized tax benefits in the accompanying financial statements. A Fund's federal tax return is subject to examination by the Internal Revenue Service (IRS) for a period of three years. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.
Dividends are declared daily and paid monthly from net investment income. Distributions from realized gains, if any, are recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. In addition, the Fund will claim a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.
Annual Report
Notes to Financial Statements - continued
3. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders - continued
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book-tax differences will reverse in a subsequent period.
Book-tax differences are primarily due to swap agreements, foreign currency transactions, defaulted bonds, market discount, redemptions in kind, partnerships (including allocations from Fidelity Central Funds), deferred trustees compensation, capital loss carryforwards and losses deferred due to wash sales and excise tax regulations.
The tax-basis components of distributable earnings and the federal tax cost as of period end were as follows:
Unrealized appreciation | $ 409,909,965 |
|
Unrealized depreciation | (274,645,572) |
|
Net unrealized appreciation (depreciation) | $ 135,264,393 |
|
|
|
|
Undistributed ordinary income | $ 53,858,059 |
|
Capital loss carryforward | $ (93,866,210) |
|
|
|
|
Cost for federal income tax purposes | $ 12,453,995,360 |
|
The tax character of distributions paid was as follows:
| August 31, 2009 | August 31, 2008 |
Ordinary Income | $ 574,929,700 | $ 521,474,544 |
Long-term Capital Gains | - | 4,901,757 |
Total | $ 574,929,700 | $ 526,376,301 |
4. Operating Policies.
Repurchase Agreements. FMR has received an Exemptive Order from the Securities and Exchange Commission (the SEC) which permits the Fund and other affiliated entities of FMR to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The Fund may also invest directly with institutions in repurchase agreements. Repurchase agreements are collateralized by government or non-government securities. Upon settlement date, collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. The Fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the
Annual Report
4. Operating Policies - continued
Repurchase Agreements - continued
collateral proceeds could be delayed, during which time the value of the collateral may decline.
Delayed Delivery Transactions and When-Issued Securities. The Fund may purchase or sell securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. During the time a delayed delivery sell is outstanding, the contract is marked-to-market daily and equivalent deliverable securities are held for the transaction. The value of the securities purchased on a delayed delivery or when-issued basis are identified as such in the Fund's Schedule of Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.
Restricted Securities. The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.
Loans and Other Direct Debt Instruments. The Fund may invest in loans and loan participations, trade claims or other receivables. These investments may include standby financing commitments, including revolving credit facilities, that obligate the Fund to supply additional cash to the borrower on demand. Loan participations involve a risk of insolvency of the lending bank or other financial intermediary. The Fund may be contractually obligated to receive approval from the agent bank and/or borrower prior to the sale of these investments.
5. Investments in Derivative Instruments.
Objectives and Strategies for Investing in Derivative Instruments. The Fund uses derivative instruments ("derivatives"), including swap agreements, in order to meet its investment objectives. The Fund's strategy is to use derivatives as a risk management tool and as an additional way to gain exposure to certain types of assets. The success of any strategy involving derivatives depends on analysis of numerous economic factors,
Annual Report
Notes to Financial Statements - continued
5. Investments in Derivative Instruments - continued
Objectives and Strategies for Investing in Derivative Instruments - continued
and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.
While utilizing derivatives in pursuit of its investment objectives, the Fund is exposed to certain financial risks relative to those derivatives. These risks are further explained below:
Credit Risk | Credit risk is the risk that the value of financial instruments will fluctuate as a result of changes in the credit quality of those instruments. Credit risk also includes the risk that the counterparty to a financial instrument will default or be unable to make further principal or interest payments on an obligation or commitment that it has entered into with the Fund. |
Interest Rate Risk | Interest rate risk is the risk that the value of interest-bearing financial instruments will fluctuate due to changes in the prevailing levels of market interest rates. |
The following notes provide more detailed information about each derivative type held by the Fund:
Swap Agreements. The Fund entered into swap agreements, which are contracts between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. Payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gains or losses in the Fund's accompanying Statement of Operations. Certain interest rate swaps include extended effective dates. Gains or losses are realized in the event of an early termination of a swap agreement. Any upfront payments made or received upon entering a swap contract 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 gains or losses ratably over the term of the swap in the Fund's accompanying Statement of Operations. Risks of loss may exceed amounts recognized on the Fund's Statement of Asset and Liabilities. In addition, there is the risk of failure by the counterparty to perform under the terms of the agreement and lack of liquidity in the market. Details of swap agreements open at period end are included in the Fund's Schedule of Investments under the caption "Swap Agreements." The total notional amount of all open swap agreements at period end is indicative of the volume of this derivative type. Collateral, in the form of cash or securities, may be required to be held in segregated accounts with a fund's custodian bank in accordance with the swap
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5. Investments in Derivative Instruments - continued
Swap Agreements - continued
agreement and, if required, is identified in the Fund's Schedule of Investments. The Fund could experience delays and costs in gaining access to the collateral even though it is held in the Fund's custodian bank.
The Fund entered into interest rate swap agreements to manage its exposure to interest rate changes. Interest rate swaps represent an agreement between counterparties to exchange cash flows based on the difference between two interest rates (e.g. fixed rate, floating rate), applied to a notional principal amount. Risks of loss may include interest rate risk and the possible inability of the counterparty to fulfill its obligations under the agreement. The Fund's maximum risk of loss from counterparty credit risk is the discounted net value of cash flows to be received from/paid to the counterparty over the contract's remaining life, to the extent that amount is positive. This risk is mitigated by the posting of collateral by the counterparty to the Fund to cover the Fund's exposure to the counterparty. Changes in interest rates can have a negative effect on both the value of the Fund's bond holdings as well as the amount of interest income earned. In general, the value of bonds can fall when interest rates rise and can rise when interest rates fall.
The Fund entered into credit default swap agreements to provide a measure of protection against defaults of an issuer ("buyer of protection") and/or to gain credit exposure to an issuer to which it is not otherwise exposed ("seller of protection"). The issuer may be either a single issuer or a "basket" of issuers. As a buyer of protection, the Fund does so when it holds bonds of the issuer or without owning the underlying asset or debt issued by the reference entity. Under the terms of a credit default swap the buyer of protection receives credit protection in exchange for making periodic payments to the seller of protection based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller of protection acts as a guarantor of the creditworthiness of a reference obligation. 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. If a credit event were to occur during the term of the contract, the contract is typically settled in a market auction where the difference between the value of the reference obligation received and the notional amount of the swap is recorded as a realized loss by the seller of protection. For credit default swaps on corporate or sovereign issuers, the obligation that may be put to the seller of protection is not limited to the specific reference obligation described in the Fund's Schedule of Investments.
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
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Notes to Financial Statements - continued
5. Investments in Derivative Instruments - continued
Swap Agreements - continued
write-down. If a credit event were to occur during the term of the contract, upon notification of the buyer of protection, the seller of protection is obligated to take delivery from the buyer of protection the notional amount of a reference obligation, at par. The difference between the value of the reference obligation received and the notional amount paid is recorded as a realized loss by the seller of protection. For credit default swaps on asset-backed securities, the reference obligation described represents the security that may be put to the seller of protection.
Risks of loss include credit risk. The Fund's maximum risk of loss from counterparty risk, either as a buyer of protection or as a seller of protection, is the value of the contract. This risk is mitigated by the posting of collateral by the counterparty to the Fund to cover the Fund's exposure to the counterparty. The notional amount of credit default swaps is included in the Fund's Schedule of Investments and approximates the maximum potential amount of future payments that the Fund could be required to make if the Fund is the seller of protection and a credit event were to occur. The total notional amount of all credit default swaps open at period end where the Fund is the seller of protection amounted to $20,971,107 representing .18% of net assets. Credit default swaps are considered to have credit-risk contingent features since they require payment by the seller of protection to the buyer of protection upon the occurrence of a defined credit event. The total value of credit default swaps in a net liability position as of period end was $(20,416,660). The value of assets posted as collateral, net of assets received as collateral, for these swaps was $10,488,885. If a defined credit event had occurred as of period end, the swaps' credit-risk-related contingent features would have been triggered and the Fund would have been required to pay $10,482,222 in addition to the collateral to settle these swaps.
Typically, the value of each credit default swap and credit rating disclosed for each reference obligation in the Fund's Schedule of Investments, where the Fund is the seller of protection, can be used as measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. Any current or future declines in the value of the swap may be partially offset by upfront payments received by the Fund as the seller of protection if applicable. In addition to these measures, FMR monitors a variety of factors including cash flow assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/performance risk.
Realized and Change in Unrealized Gain (Loss) on Derivative Instruments. A summary of the Fund's value of derivatives by primary risk exposure as of period end, if any, is included at the end of the Fund's Schedule of Investments. The table below
Annual Report
5. Investments in Derivative Instruments - continued
Realized and Change in Unrealized Gain (Loss) on Derivative Instruments - continued
reflects the Fund's realized gain (loss) and change in unrealized gain (loss) for derivatives during the period.
Risk Exposure / Derivative Type | Realized Gain (Loss) | Change in |
Credit Risk |
|
|
Swap Agreements | $ (12,866,343) | $ 9,724,297 |
Interest Rate Risk |
|
|
Swap Agreements | 52,096,442 | 29,690,264 |
Total Derivatives Realized and Change in Unrealized Gain (Loss) (a)(b) | $ 39,230,099 | $ 39,414,561 |
(a) Total derivatives realized gain (loss) included in the Statement of Operations is comprised of $39,230,099 for swap agreements.
(b) Total derivatives change in unrealized gain (loss) included in the Statement of Operations is comprised of $39,414,561 for swap agreements.
6. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities, U.S. government securities and liquidations and redemptions executed in-kind from Affiliated Central Funds, aggregated $2,127,349,029 and $2,708,644,992, respectively.
7. Fees and Other Transactions with Affiliates.
Management Fee. FMR and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .20% of the Fund's average net assets and a group fee rate that averaged .12% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by FMR. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the period, the total annual management fee rate was .32% of the Fund's average net assets.
Annual Report
Notes to Financial Statements - continued
7. Fees and Other Transactions with Affiliates - continued
Distribution and Service Plan. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Certain classes pay Fidelity Distributors Corporation (FDC), an affiliate of FMR, separate Distribution and Service Fees, each of which is based on an annual percentage of each class' average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services. For the period, the Distribution and Service Fee rates and the total amounts paid to and retained by FDC were as follows:
| Distribution | Service | Paid to | Retained |
Class A | 0% | .25% | $ 206,573 | $ 13,873 |
Class T | 0% | .25% | 101,105 | 1,636 |
Class B | .65% | .25% | 75,509 | 54,592 |
Class C | .75% | .25% | 371,013 | 76,285 |
|
|
| $ 754,200 | $ 146,386 |
Sales Load. FDC receives a front-end sales charge of up to 4.00% for selling Class A shares and Class T shares, some of which is paid to financial intermediaries for selling shares of the Fund. FDC receives the proceeds of contingent deferred sales charges levied on Class A, Class T, Class B, and Class C redemptions. These charges depend on the holding period. The deferred sales charges range from 5% to 1% for Class B, 1% for Class C, ..75% to .50% for certain purchases of Class A shares and .25% for certain purchases of Class T shares.
For the period, sales charge amounts retained by FDC were as follows:
| Retained |
Class A | $ 32,808 |
Class T | 4,757 |
Class B* | 42,910 |
Class C* | 7,798 |
| $ 88,273 |
* When Class B and Class C shares are initially sold, FDC pays commissions from its own resources to financial intermediaries through which the sales are made.
Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of FMR, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of each respective class of the Fund, with the exception of Total Bond and Class F. FIIOC receives an asset-based fee of .10% of Total Bond's average net assets. FIIOC receives no fees for
Annual Report
7. Fees and Other Transactions with Affiliates - continued
Transfer Agent Fees - continued
providing transfer agency services to Class F. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, the total transfer agent fees paid by each applicable class were as follows:
| Amount | % of |
Class A | $ 163,866 | .20 |
Class T | 101,206 | .25 |
Class B | 23,463 | .28 |
Class C | 62,409 | .17 |
Total Bond | 9,043,406 | .10 |
Institutional Class | 1,452,084 | .18 |
| $ 10,846,434 |
|
Fundwide Operations Fee. Pursuant to the Fundwide Operations and Expense Agreement (FWOE), FMR has agreed to provide for fund level expenses (which do not include transfer agent, Rule 12b-1 fees, compensation of the independent Trustees, interest (including commitment fees), taxes or extraordinary expenses, if any) in return for a FWOE fee equal to .35% less the total amount of the management fee. The FWOE paid by the Fund is reduced by an amount equal to the fees and expenses paid to the independent Trustees. For the period, the FWOE fee was equivalent to an annual rate of .03% of average net assets.
8. Other Affiliated Transaction.
Other Affiliated Transactions. During the period, certain Fidelity Central Funds in which the Fund was invested were each liquidated pursuant to a Plan of Liquidation and Dissolution approved by the Central Fund Board. Under the plan, each Central Fund distributed in-kind all of its net assets to its shareholders pro rata at its net asset value (NAV) per share as of the close of business on the liquidation date.
Annual Report
Notes to Financial Statements - continued
8. Other Affiliated Transaction - continued
Other Affiliated Transactions - continued
As a result, the Fund received cash and securities, including accrued interest, as noted in the following table.
Liquidation | Central Fund | Value of Cash and Securities Received (including accrued interest) | Shares of |
01/23/09 (a) | Fidelity Ultra-Short Central Fund | $ 301,876,510 | 4,827,993 |
04/17/09 (b) | Fidelity Commercial Mortgage-Backed Securities Central Fund | $ 450,179,305 | 6,245,706 |
06/26/09 (b) | Fidelity 1-3 Year Duration Securitized Bond Central Fund | $ 116,145,174 | 1,493,890 |
(a) The Fund recognized a loss as the transaction was considered taxable to the Fund for federal income tax purposes.
(b) Because the Central Fund was a partnership for federal income tax purposes, the liquidation generally was tax free to the Fund.
On February 20, 2009, the Fund redeemed in-kind 9,773,856 shares of Fidelity Corporate Bond 1-10 Year Central Fund ("1-10 Year"), a Fidelity Central Fund in which the Fund invests, valued at $879,717,481 by receiving cash and securities of equal value, including accrued interest. Because 1-10 Year was a partnership for federal income tax purposes, the redemption generally was tax free to the Fund.
9. Committed Line of Credit.
The Fund participates with other funds managed by FMR in a $3.5 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $45,943 and is reflected in Miscellaneous Expense on the Statement of Operations. During the period, there were no borrowings on this line of credit.
10. Security Lending.
The Fund lends portfolio securities from time to time in order to earn additional income. On the settlement date of the loan, the Fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the Fund and any additional required collateral is delivered to the Fund on the next business day. If the borrower defaults on its obligation
Annual Report
10. Security Lending - continued
to return the securities loaned because of insolvency or other reasons, a fund could experience delays and costs in recovering the securities loaned or in gaining access to the collateral. Any cash collateral received is invested in cash equivalents. The value of loaned securities and cash collateral at period end are disclosed on the Fund's Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less fees and expenses associated with the loan, plus any premium payments that may be received on the loan of certain types of securities. Security lending income is presented in the Statement of Operations as a component of interest income. Net income from lending portfolio securities during the period amounted to $371,839.
11. Expense Reductions.
Through arrangements with the Fund's custodian and each class' transfer agent, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's custody expenses by $150,854. During the period, credits reduced each class' transfer agent expense as noted in the table below.
| Transfer Agent |
|
Total Bond | $ 20,536 |
|
12. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Years ended August 31, | 2009 A | 2008 |
From net investment income |
|
|
Class A | $ 3,847,702 | $ 3,361,032 |
Class T | 1,872,372 | 2,139,983 |
Class B | 334,350 | 357,685 |
Class C | 1,445,182 | 975,717 |
Total Bond | 454,620,480 | 451,129,055 |
Class F | 2,418 | - |
Institutional Class | 41,289,271 | 43,904,045 |
Total | $ 503,411,775 | $ 501,867,517 |
Annual Report
Notes to Financial Statements - continued
12. Distributions to Shareholders - continued
Years ended August 31, | 2009 A | 2008 |
From net realized gain |
|
|
Class A | $ 551,756 | $ 158,977 |
Class T | 276,592 | 118,778 |
Class B | 67,464 | 17,979 |
Class C | 216,528 | 58,576 |
Total Bond | 64,472,390 | 22,110,637 |
Institutional Class | 5,933,195 | 2,043,837 |
Total | $ 71,517,925 | $ 24,508,784 |
A Distributions for Class F are for the period June 26, 2009 (commencement of sale of shares) to August 31, 2009.
13. Share Transactions.
Transactions for each class of shares were as follows:
| Shares | Dollars | ||
Years ended August 31, | 2009 A | 2008 | 2009 A | 2008 |
Class A |
|
|
|
|
Shares sold | 5,984,791 | 5,588,201 | $ 57,444,987 | $ 57,565,572 |
Reinvestment of distributions | 406,888 | 305,321 | 3,861,183 | 3,130,894 |
Shares redeemed | (3,902,315) | (2,555,919) | (36,894,839) | (26,109,819) |
Net increase (decrease) | 2,489,364 | 3,337,603 | $ 24,411,331 | $ 34,586,647 |
Class T |
|
|
|
|
Shares sold | 2,362,273 | 2,804,342 | $ 22,525,326 | $ 28,824,011 |
Reinvestment of distributions | 212,303 | 209,490 | 2,007,899 | 2,149,894 |
Shares redeemed | (1,724,975) | (3,292,088) | (16,315,286) | (33,740,425) |
Net increase (decrease) | 849,601 | (278,256) | $ 8,217,939 | $ (2,766,520) |
Class B |
|
|
|
|
Shares sold | 554,201 | 792,814 | $ 5,314,152 | $ 8,188,014 |
Reinvestment of distributions | 28,612 | 25,155 | 270,597 | 258,101 |
Shares redeemed | (659,643) | (449,829) | (6,193,443) | (4,577,167) |
Net increase (decrease) | (76,830) | 368,140 | $ (608,694) | $ 3,868,948 |
Class C |
|
|
|
|
Shares sold | 4,153,350 | 1,925,088 | $ 39,736,399 | $ 19,771,131 |
Reinvestment of distributions | 152,104 | 87,624 | 1,446,118 | 898,560 |
Shares redeemed | (1,718,977) | (993,539) | (16,256,813) | (10,165,574) |
Net increase (decrease) | 2,586,477 | 1,019,173 | $ 24,925,704 | $ 10,504,117 |
Annual Report
13. Share Transactions - continued
| Shares | Dollars | ||
Years ended August 31, | 2009 A | 2008 | 2009 A | 2008 |
Total Bond |
|
|
|
|
Shares sold | 373,151,213 | 547,722,071 | $ 3,605,197,725 | $ 5,645,252,478 |
Reinvestment of distributions | 53,605,881 | 45,012,353 | 507,857,810 | 461,616,494 |
Shares redeemed | (360,364,229) | (230,103,358) | (3,408,960,293) | (2,368,082,060) |
Net increase (decrease) | 66,392,865 | 362,631,066 | $ 704,095,242 | $ 3,738,786,912 |
Class F |
|
|
|
|
Shares sold | 33,569 | - | $ 332,941 | $ - |
Reinvestment of distributions | 236 | - | 2,418 | - |
Shares redeemed | (1,783) | - | (18,285) | - |
Net increase (decrease) | 32,022 | - | $ 317,074 | $ - |
Institutional Class |
|
|
|
|
Shares sold | 13,719,215 | 78,780,201 | $ 128,522,571 | $ 814,530,864 |
Reinvestment of distributions | 4,940,454 | 4,451,142 | 46,673,580 | 45,563,586 |
Shares redeemed | (26,671,015) | (22,980,579) | (252,440,017) | (232,333,078) |
Net increase (decrease) | (8,011,346) | 60,250,764 | $ (77,243,866) | $ 627,761,372 |
A Share transactions for Class F are for the period June 26, 2009 (commencement of sale of shares) to August 31, 2009.
14. Other.
The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
15. Credit Risk.
The Fund invests a portion of its assets, directly or indirectly, in structured securities of issuers backed by residential mortgage loans, credit card receivables and automotive loans. The value and related income of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults.
Annual Report
Report of Independent Registered Public Accounting Firm
To the Trustees of Fidelity Income Fund and the Shareholders of Fidelity Total Bond Fund:
In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Fidelity Total Bond Fund (a fund of Fidelity Income Fund) at August 31, 2009, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Fidelity Total Bond Fund's management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at August 31, 2009 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
PricewaterhouseCoopers LLP
Boston, Massachusetts
October 26, 2009
Annual Report
Trustees and Officers
The Trustees and executive officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, and review the fund's performance. Except for James C. Curvey, each of the Trustees oversees 187 funds advised by FMR or an affiliate. Mr. Curvey oversees 407 funds advised by FMR or an affiliate.
The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust. Each Trustee who is not an interested person (as defined in the 1940 Act) (Independent Trustee), shall retire not later than the last day of the calendar year in which his or her 72nd birthday occurs. The Independent Trustees may waive this mandatory retirement age policy with respect to individual Trustees. The executive officers hold office without limit in time, except that any officer may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.
The fund's Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-877-208-0098.
Interested Trustees*:
Correspondence intended for each Trustee who is an interested person may be sent to Fidelity Investments, 82 Devonshire Street, Boston, Massachusetts 02109.
Name, Age; Principal Occupation | |
Abigail P. Johnson (47) | |
| Year of Election or Appointment: 2009 Ms. Johnson is Trustee and Chairman of the Board of Trustees of certain Trusts. Ms. Johnson serves as President of Personal and Workplace Investing (2005-present). Ms. Johnson is a Director of FMR LLC. Previously, Ms. Johnson served as President and a Director of FMR (2001- |
James C. Curvey (74) | |
| Year of Election or Appointment: 2007 Mr. Curvey also serves as Trustee (2007-present) of other investment companies advised by FMR. Mr. Curvey is a Director of FMR and FMR Co., Inc. (2007-present). Mr. Curvey is also Vice Chairman (2006- |
* Trustees have been determined to be "Interested Trustees" by virtue of, among other things, their affiliation with the trust or various entities under common control with FMR.
Independent Trustees:
Correspondence intended for each Independent Trustee (that is, the Trustees other than the Interested Trustees) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.
Name, Age; Principal Occupation | |
Albert R. Gamper, Jr. (67) | |
| Year of Election or Appointment: 2006 Prior to his retirement in December 2004, Mr. Gamper served as Chairman of the Board of CIT Group Inc. (commercial finance). During his tenure with CIT Group Inc. Mr. Gamper served in numerous senior management positions, including Chairman (1987-1989; 1999-2001; 2002-2004), Chief Executive Officer (1987-2004), and President. Mr. Gamper currently serves as a member of the Board of Directors of Public Service Enterprise Group (utilities), a member of the Board of Trustees, Rutgers University (2004-present), and Chairman of the Board of Saint Barnabas Health Care System. Previously, Mr. Gamper served as Chairman of the Board of Governors, Rutgers University (2004-2007). |
Arthur E. Johnson (62) | |
| Year of Election or Appointment: 2008 Mr. Johnson serves as a member of the Board of Directors of Eaton Corporation (diversified power management, 2009-present) and AGL Resources, Inc. (holding company). Previously, Mr. Johnson served as Senior Vice President of Corporate Strategic Development of Lockheed Martin Corporation (defense contractor, 1999-2009), and on the Board of Directors of IKON Office Solutions, Inc. (1999-2008). Mr. Arthur E. Johnson and Ms. Abigail P. Johnson are not related. |
Michael E. Kenneally (55) | |
| Year of Election or Appointment: 2009 Mr. Kenneally also serves as Trustee (2009-present) or Member of the Advisory Board (2008-present) of other Fidelity Fixed Income and Asset Allocation Funds. Previously, Mr. Kenneally served as Chairman and Global Chief Executive Officer of Credit Suisse Asset Management (2003-2005). Mr. Kenneally was a Director of The Credit Suisse Funds (U.S. Mutual Fund, 2004-2008) and was awarded the Chartered Financial Analyst (CFA) designation in 1991. |
James H. Keyes (68) | |
| Year of Election or Appointment: 2007 Mr. Keyes serves as a member of the Boards of Navistar International Corporation (manufacture and sale of trucks, buses, and diesel engines) and Pitney Bowes, Inc. (integrated mail, messaging, and document management solutions). Previously, Mr. Keyes served as a member of the Board of LSI Logic Corporation (semiconductor technologies, 1984-2008). |
Marie L. Knowles (62) | |
| Year of Election or Appointment: 2001 Prior to Ms. Knowles' retirement in June 2000, she served as Executive Vice President and Chief Financial Officer of Atlantic Richfield Company (ARCO) (diversified energy, 1996-2000). From 1993 to 1996, she was a Senior Vice President of ARCO and President of ARCO Transportation Company. She served as a Director of ARCO from 1996 to 1998. Ms. Knowles currently serves as a Director of McKesson Corporation (healthcare service). Ms. Knowles is an Honorary Trustee of the Brookings Institution and a member of the Board of the Catalina Island Conservancy and of the Santa Catalina Island Company (2009-present). She also serves as a member of the Advisory Board for the School of Engineering of the University of Southern California and the Foundation Board of the School of Architecture at the University of Virginia (2007-present). Previously, Ms. Knowles served as a Director of Phelps Dodge Corporation (copper mining and manufacturing, 1994-2007). |
Kenneth L. Wolfe (70) | |
| Year of Election or Appointment: 2005 Mr. Wolfe served as Chairman and a Director (2007-2009) and Chairman and Chief Executive Officer of Hershey Foods Corporation, and as a member of the Boards of Adelphia Communications Corporation (telecommunications, 2003-2006), Bausch & Lomb, Inc. (medical/pharmaceutical, 1993-2007), and Revlon, Inc. (2004-2009). |
Annual Report
Trustees and Officers - continued
Executive Officers:
Correspondence intended for each executive officer may be sent to Fidelity Investments, 82 Devonshire Street, Boston, Massachusetts 02109.
Name, Age; Principal Occupation | |
John R. Hebble (51) | |
| Year of Election or Appointment: 2008 President and Treasurer of Fidelity's Fixed Income and Asset Allocation Funds. Mr. Hebble also serves as Assistant Treasurer of other Fidelity funds (2009-present) and is an employee of Fidelity Investments. |
Boyce I. Greer (53) | |
| Year of Election or Appointment: 2005 or 2006 Vice President of Fidelity's Fixed Income Funds (2006) and Asset Allocation Funds (2005). Mr. Greer is also a Trustee of other investment companies advised by FMR. Mr. Greer is President of the Asset Allocation Division (2008-present), President and a Director of Strategic Advisers, Inc. (2008-present), President and a Director of Fidelity Investments Money Management, Inc. (2007-present), and an Executive Vice President of FMR and FMR Co., Inc. (2005-present). Previously, Mr. Greer served as a Director and Managing Director of Strategic Advisers, Inc. (2002-2005). |
Christopher P. Sullivan (55) | |
| Year of Election or Appointment: 2009 Vice President of Fidelity's Bond Funds. Mr. Sullivan also serves as President of Fidelity's Bond Group (2009-present). Previously, Mr. Sullivan served as Managing Director, Co-Head of U.S. Fixed Income at Goldman Sachs Asset Management (2001-2009). |
Scott C. Goebel (41) | |
| Year of Election or Appointment: 2008 Secretary and Chief Legal Officer (CLO) of the Fidelity funds. Mr. Goebel also serves as General Counsel, Secretary, and Senior Vice President of FMR (2008-present) and FMR Co., Inc. (2008-present); Deputy General Counsel of FMR LLC; Chief Legal Officer of Fidelity Management & Research (Hong Kong) Limited (2008-present) and Assistant Secretary of Fidelity Management & Research (Japan) Inc. (2008-present), Fidelity Investments Money Management, Inc. (2008- |
Holly C. Laurent (55) | |
| Year of Election or Appointment: 2008 Anti-Money Laundering (AML) Officer of the Fidelity funds. Ms. Laurent is an employee of Fidelity Investments. Previously, Ms. Laurent was Senior Vice President and Head of Legal for Fidelity Business Services India Pvt. Ltd. (2006-2008), and Senior Vice President, Deputy General Counsel and Group Head for FMR LLC (2005-2006). |
Christine Reynolds (50) | |
| Year of Election or Appointment: 2008 Chief Financial Officer of the Fidelity funds. Ms. Reynolds became President of Fidelity Pricing and Cash Management Services (FPCMS) in August 2008. Ms. Reynolds served as Chief Operating Officer of FPCMS (2007-2008). Previously, Ms. Reynolds served as President, Treasurer, and Anti-Money Laundering officer of the Fidelity funds (2004-2007). |
Michael H. Whitaker (42) | |
| Year of Election or Appointment: 2008 Chief Compliance Officer of Fidelity's Fixed Income and Asset Allocation Funds. Mr. Whitaker is an employee of Fidelity Investments (2007- |
Jeffrey S. Christian (47) | |
| Year of Election or Appointment: 2009 Deputy Treasurer of the Fidelity funds. Mr. Christian also serves as Chief Financial Officer of other Fidelity funds (2008-present) and is an employee of Fidelity Investments. Previously, Mr. Christian served as Senior Vice President of Fidelity Pricing and Cash Management Services (FPCMS) (2004-2009) and as Vice President of Business Analysis (2003-2004). |
Bryan A. Mehrmann (48) | |
| Year of Election or Appointment: 2005 Deputy Treasurer of the Fidelity funds. Mr. Mehrmann is an employee of Fidelity Investments. Previously, Mr. Mehrmann served as Vice President of Fidelity Investments Institutional Services Group (FIIS)/Fidelity Investments Institutional Operations Company, Inc. (FIIOC) Client Services (1998-2004). |
Stephanie J. Dorsey (40) | |
| Year of Election or Appointment: 2008 Deputy Treasurer of Fidelity's Fixed Income and Asset Allocation Funds. Ms. Dorsey is an employee of Fidelity Investments (2008-present). Previously, Ms. Dorsey served as Treasurer (2004-2008) of the JPMorgan Mutual Funds and Vice President (2004-2008) of JPMorgan Chase Bank. |
Paul M. Murphy (62) | |
| Year of Election or Appointment: 2007 Assistant Treasurer of the Fidelity funds. Mr. Murphy is an employee of Fidelity Investments. Previously, Mr. Murphy served as Chief Financial Officer of the Fidelity funds (2005-2006), Vice President and Associate General Counsel of FMR (2007), and Senior Vice President of Fidelity Pricing and Cash Management Services (FPCMS) (1994-2007). |
Kenneth B. Robins (40) | |
| Year of Election or Appointment: 2009 Assistant Treasurer of the Fidelity Fixed Income and Asset Allocation Funds. Mr. Robins also serves as President and Treasurer of other Fidelity funds and is an employee of Fidelity Investments (2004-present). Before joining Fidelity Investments, Mr. Robins worked at KPMG LLP, where he was a partner in KPMG's department of professional practice (2002-2004). |
Gary W. Ryan (51) | |
| Year of Election or Appointment: 2005 Assistant Treasurer of the Fidelity funds. Mr. Ryan is an employee of Fidelity Investments. Previously, Mr. Ryan served as Vice President of Fund Reporting in Fidelity Pricing and Cash Management Services (FPCMS) (1999-2005). |
Annual Report
Distributions (Unaudited)
A total of 1.54% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.
The fund designates $403,612,312 of distributions paid during the period January 1, 2009 to August 31, 2009 as qualifying to be taxed as interest-related dividends for nonresident alien shareholders.
The fund will notify shareholders in January 2010 of amounts for use in preparing 2009 income tax returns.
Annual Report
Proxy Voting Results
A special meeting of the fund's shareholders was held on July 15, 2009. The results of votes taken among shareholders on the proposals before them are reported below. Each vote reported represents one dollar of net asset value held on the record date for the meeting.
PROPOSAL 1 | ||
To elect a Board of Trustees.A | ||
| # of | % of |
James C. Curvey | ||
Affirmative | 14,013,293,778.94 | 95.195 |
Withheld | 707,255,451.85 | 4.805 |
TOTAL | 14,720,549,230.79 | 100.000 |
Albert R. Gamper, Jr. | ||
Affirmative | 14,076,416,168.78 | 95.624 |
Withheld | 644,133,062.01 | 4.376 |
TOTAL | 14,720,549,230.79 | 100.000 |
Abigail P. Johnson | ||
Affirmative | 14,008,124,232.06 | 95.160 |
Withheld | 712,424,998.73 | 4.840 |
TOTAL | 14,720,549,230.79 | 100.000 |
Arthur E. Johnson | ||
Affirmative | 14,050,921,135.52 | 95.451 |
Withheld | 669,628,095.27 | 4.549 |
TOTAL | 14,720,549,230.79 | 100.000 |
Michael E. Kenneally | ||
Affirmative | 14,109,579,658.34 | 95.850 |
Withheld | 610,969,572.45 | 4.150 |
TOTAL | 14,720,549,230.79 | 100.000 |
James H. Keyes | ||
Affirmative | 14,092,011,663.11 | 95.730 |
Withheld | 628,537,567.68 | 4.270 |
TOTAL | 14,720,549,230.79 | 100.000 |
Marie L. Knowles | ||
Affirmative | 14,092,143,532.07 | 95.731 |
Withheld | 628,405,698.72 | 4.269 |
TOTAL | 14,720,549,230.79 | 100.000 |
Kenneth L. Wolfe | ||
Affirmative | 14,052,555,742.75 | 95.462 |
Withheld | 667,993,488.04 | 4.538 |
TOTAL | 14,720,549,230.79 | 100.000 |
PROPOSAL 2 | ||
To amend the Declaration of Trust to reduce the required quorum for future shareholder meetings.A | ||
| # of | % of |
Affirmative | 10,799,375,525.31 | 73.363 |
Against | 2,448,219,135.99 | 16.631 |
Abstain | 720,949,491.20 | 4.898 |
Broker | 752,005,078.29 | 5.108 |
TOTAL | 14,720,549,230.79 | 100.000 |
A Denotes trust-wide proposal and voting results.
Annual Report
Board Approval of Investment Advisory Contracts and Management Fees
Fidelity Total Bond Fund
On May 21, 2009, the Board of Trustees, including the Independent Trustees (together, the Board), voted to continue the management contract and subadvisory agreements (together, the Advisory Contracts) for the fund for four months, through September 30, 2009, in connection with the reorganization of the Board's new meeting schedule. The Board considered that the contractual terms of and fees payable under the fund's Advisory Contracts involve no changes in (i) the investment process or strategies employed in the management of the fund's assets; (ii) the nature or level of services provided under the fund's Advisory Contracts; or (iii) the day-to-day management of the fund or the persons primarily responsible for such management. The Board concluded that the fund's Advisory Contracts are fair and reasonable, and that the fund's Advisory Contracts should be renewed, without modification, through September 30, 2009, with the understanding that the Board will consider their renewal in September 2009.
Annual Report
Investment Adviser
Fidelity Management & Research Company
Boston, MA
Investment Sub-Advisers
FMR Co. Inc.
Fidelity Management & Research
(U.K.) Inc.
Fidelity Management & Research
(Hong Kong) Limited
Fidelity Management & Research
(Japan) Inc.
Fidelity Research & Analysis Company
Fidelity Investments
Money Management, Inc.
Fidelity Investments Japan Limited
FIL Investment Advisors
FIL Investment Advisors
(U.K.) Ltd.
General Distributor
Fidelity Distributors Corporation
Boston, MA
Transfer and Service Agents
Fidelity Investments Institutional Operations Company, Inc.
Boston, MA
Fidelity Service Company, Inc.
Boston, MA
Custodian
Citibank, N.A.
New York, NY
ATB-UANN-1009 1.804574.105
(Fidelity Investment logo)(registered trademark)
Fidelity Advisor
Total Bond
Fund - Institutional Class
Annual Report
August 31, 2009
(2_fidelity_logos) (Registered_Trademark)
Institutional Class is a class of Fidelity Total Bond Fund
Contents
Chairman's Message | The Chairman's message to shareholders. | |
Performance | How the fund has done over time. | |
Management's Discussion | The manager's review of fund performance, strategy and outlook. | |
Shareholder Expense Example | An example of shareholder expenses. | |
Investment Changes | A summary of major shifts in the fund's investments over the past six months. | |
Investments | A complete list of the fund's investments with their market values. | |
Financial Statements | Statements of assets and liabilities, operations, and changes in net assets, | |
Notes | Notes to the financial statements. | |
Report of Independent Registered Public Accounting Firm |
| |
Trustees and Officers |
| |
Distributions |
| |
Proxy Voting Results |
| |
Board Approval of Investment Advisory Contracts and Management Fees |
|
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov. You may also call 1-877-208-0098 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company.
Annual Report
This report and the financial statements contained herein are submitted for the general information of the shareholders of the fund. This report is not authorized for distribution to prospective investors in the fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com or http://www.advisor.fidelity.com, as applicable.
NOT FDIC INSURED · MAY LOSE VALUE · NO BANK GUARANTEE
Neither the fund nor Fidelity Distributors Corporation is a bank.
Annual Report
Chairman's Message
Dear Shareholder:
We've seen a welcome uptick in the global equity markets this spring and summer, as signs of stabilization in some economic indicators have brought many investors back into the marketplace. But there remain other key measures - notably high unemployment and slack consumer spending - that suggest the road back to economic health could still be a bumpy ride. Financial markets are always unpredictable, of course, but there also are several time-tested investment principles that can help put the historical odds in your favor.
One of the basic tenets is to invest for the long term. Over time, riding out the markets' inevitable ups and downs has proven much more effective than selling into panic or chasing the hottest trend. Even missing only a few of the markets' best days can significantly diminish investor returns. Patience also affords the benefits of compounding - of earning interest on additional income or reinvested dividends and capital gains. There can be tax advantages and cost benefits to consider as well. While staying the course doesn't eliminate risk, it can considerably lessen the effect of short-term declines.
You can further manage your investing risk through diversification. And today, more than ever, geographic diversification should be taken into account. Studies indicate that asset allocation is the single most important determinant of a portfolio's long-term success. The right mix of stocks, bonds and cash - aligned to your particular risk tolerance and investment objective - is very important. Age-appropriate rebalancing is also an essential aspect of asset allocation. For younger investors, an emphasis on equities - which historically have been the best-performing asset class over time - is encouraged. As investors near their specific goal, such as retirement or sending a child to college, consideration may be given to replacing volatile assets (e.g. common stocks) with more-stable fixed investments (bonds or savings plans).
A third principle - investing regularly - can help lower the average cost of your purchases. Investing a certain amount of money each month or quarter helps ensure you won't pay for all your shares at market highs. This strategy - known as dollar cost averaging - also reduces "emotion" from investing, helping shareholders avoid selling weak performers just prior to an upswing, or chasing a hot performer just before a correction.
We invite you to contact us via the Internet, through our Investor Centers or by phone. It is our privilege to provide you the information you need to make the investments that are right for you.
Sincerely,
/s/Abigail P. Johnson
Abigail P. Johnson
Annual Report
Performance: The Bottom Line
Average annual total return reflects the change in the value of an investment, assuming reinvestment of the class' dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) and assuming a constant rate of performance each year. The $10,000 table and the fund's returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund's total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.
Average Annual Total Returns
Periods ended August 31, 2009 | Past 1 | Past 5 | Life of |
Institutional Class B | 7.99% | 4.41% | 5.06% |
A From October 15, 2002.
B The initial offering of Institutional Class shares took place on June 16, 2004. Returns prior to June 16, 2004 are those of Total Bond, the original retail class of the fund.
$10,000 Over Life of Fund
Let's say hypothetically that $10,000 was invested in Fidelity Advisor Total Bond Fund - Institutional Class on October 15, 2002, when the fund started. The chart shows how the value of your investment would have changed, and also shows how the Barclays Capital U.S. Aggregate Bond Index Index performed over the same period. The initial offering of Institutional Class took place on June 16, 2004. See above for additional information regarding the performance of Institutional Class.
Annual Report
Management's Discussion of Fund Performance
Market Recap: While the positive returns of taxable bonds were more encouraging than the negative returns posted by major equity indexes for the year ending August 31, 2009, fixed-income securities rode their own wave of volatility. As the credit crisis resulting from a meltdown in the subprime mortgage market deepened in the beginning of the period, bond investors fled from lower-quality debt instruments and flocked to those with backing from the U.S. government. With government interventions around the world beginning to take root in the later months of the period, however, credit conditions improved and signs of stabilization among certain economic indicators emerged, eliciting greater demand for risk. Consequently, bonds further out on the risk spectrum boasted the largest returns. For the year overall, U.S. investment-grade bonds gained 7.94%, as measured by the Barclays Capital U.S. Aggregate Bond Index.
Comments from Ford O'Neil, Lead Portfolio Manager of Fidelity Advisor Total Bond Fund: The fund's Class A, Class T, Class B and Class C shares gained 7.79%, 7.74%, 7.01% and 7.02%, respectively (excluding sales charges), roughly in line with the Barclays Capital U.S. Universal Bond Index, which rose 7.38%, and the Aggregate Bond index. In reviewing performance, I'll discuss the aggregate of our direct investments and those we made in Fidelity's fixed-income central funds. Sector selection drove results versus the Aggregate Bond index. Specifically, the fund was helped by overweighting corporate bonds and securitized products, while underweighting U.S. government securities - particularly Treasuries. These sector decisions, coupled with favorable security selection overall, helped to offset out-of-index allocations to high-yield and emerging-markets debt. That said, we saw strong excess returns in the emerging-markets subportfolio. All spread sectors benefited in the second half from a massive flight to riskier assets. Corporates in particular had a strong showing, with the fund's industrials and utilities holdings showing big gains. Elsewhere, I increased our overweighting in financials, a move that also contributed. High-yield and emerging-markets bonds were helped by similar forces in the second half, although their recent rally wasn't enough to overcome what they lost relative to investment-grade debt early on in the period. I added to our high-yield stake beginning in late 2008, which was a plus for the fund since that time. However, security selection in the sector limited our upside a bit. An out-of-index stake in Treasury Inflation-Protected Securities also detracted. In terms of the fund's structure, I significantly reduced our central fund exposure, while still maintaining many of the same securities via direct holdings.
Comments from Ford O'Neil, Lead Portfolio Manager of Fidelity Advisor Total Bond Fund: The fund's Institutional Class shares gained 7.99%, outpacing the Barclays Capital U.S. Universal Bond Index, which rose 7.38%, and the Aggregate Bond index. In reviewing performance, I'll discuss the aggregate of our direct investments and those we made in Fidelity's fixed-income central funds. Sector selection drove results versus the Aggregate Bond index. Specifically, the fund was helped by overweighting corporate bonds and securitized products, while underweighting U.S. government securities - particularly Treasuries. These sector decisions, coupled with favorable security selection overall, helped to offset out-of-index allocations to high-yield and emerging-markets debt. That said, we saw strong excess returns in the emerging-markets subportfolio. All spread sectors benefited in the second half from a massive flight to riskier assets. Corporates in particular had a strong showing, with the fund's industrials and utilities holdings showing big gains. Elsewhere, I increased our overweighting in financials, a move that also contributed. High-yield and emerging-markets bonds were helped by similar forces in the second half, although their recent rally wasn't enough to overcome what they lost relative to investment-grade debt early on in the period. I added to our high-yield stake beginning in late 2008, which was a plus for the fund since that time. However, security selection in the sector limited our upside a bit. An out-of-index stake in Treasury Inflation-Protected Securities also detracted. In terms of the fund's structure, I significantly reduced our central fund exposure, while still maintaining many of the same securities via direct holdings.
Annual Report
The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.
Annual Report
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments or redemption proceeds, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The actual expense Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (March 1, 2009 to August 31, 2009) for Class A, Class T, Class B, Class C, Total Bond and Institutional Class and for the entire period (June 26, 2009 to August 31, 2009) for Class F. The hypothetical expense example is based on an investment of $1,000 invested at the beginning of the period and held for the one-half year period (March 1, 2009 to August 31, 2009).
Actual Expenses
The first line of the accompanying table for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Annual Report
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| Annualized | Beginning | Ending | Expenses Paid |
Class A | .79% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,140.70 | $ 4.26 B |
Hypothetical A |
| $ 1,000.00 | $ 1,021.22 | $ 4.02 C |
Class T | .84% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,140.60 | $ 4.53 B |
Hypothetical A |
| $ 1,000.00 | $ 1,020.97 | $ 4.28 C |
Class B | 1.52% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,136.60 | $ 8.19 B |
Hypothetical A |
| $ 1,000.00 | $ 1,017.54 | $ 7.73 C |
Class C | 1.50% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,136.70 | $ 8.08 B |
Hypothetical A |
| $ 1,000.00 | $ 1,017.64 | $ 7.63 C |
Total Bond | .45% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,142.60 | $ 2.43 B |
Hypothetical A |
| $ 1,000.00 | $ 1,022.94 | $ 2.29 C |
Class F | .35% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,046.40 | $ .66 B |
Hypothetical A |
| $ 1,000.00 | $ 1,023.44 | $ 1.79 C |
Institutional Class | .52% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,141.30 | $ 2.81 B |
Hypothetical A |
| $ 1,000.00 | $ 1,022.58 | $ 2.65 C |
A 5% return per year before expenses
B Actual expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period) for Class A, Class T, Class B, Class C, Total Bond and Institutional Class and multiplied by 67/365 (to reflect the period June 26, 2009 to August 31, 2009) for Class F. The fees and expenses of the underlying Fidelity Central Funds in which the Fund invests are not included in the Fund's annualized expense ratio.
C Hypothetical expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).
Annual Report
Investment Changes (Unaudited)
The information in the following tables is based on the combined investments of the Fund and its pro-rata share of its investments in each non-money market Fidelity Central Fund.
Quality Diversification (% of fund's net assets) | |||||||
As of August 31, 2009 | As of February 28, 2009 | ||||||
![]() | U.S. Government and |
| ![]() | U.S. Government and |
| ||
![]() | AAA 6.8% |
| ![]() | AAA 9.5% |
| ||
![]() | AA 3.2% |
| ![]() | AA 4.1% |
| ||
![]() | A 10.1% |
| ![]() | A 10.9% |
| ||
![]() | BBB 15.3% |
| ![]() | BBB 16.3% |
| ||
![]() | BB and Below 15.3% |
| ![]() | BB and Below 13.9% |
| ||
![]() | Not Rated 0.7% |
| ![]() | Not Rated 1.3% |
| ||
![]() | Short-Term |
| ![]() | Short-Term |
|
We have used ratings from Moody's® Investors Services, Inc. Where Moody's ratings are not available, we have used S&P® ratings. All ratings are as of the report date and do not reflect subsequent downgrades. Securities rated BB or below were rated investment grade at the time of acquisition. |
Weighted Average Maturity as of August 31, 2009 | ||
|
| 6 months ago |
Years | 5.5 | 5.7 |
The weighted average maturity is based on the dollar-weighted average length of time until principal payments are expected or until securities reach maturity, taking into account any maturity shortening feature such as a call, refunding or redemption provision. |
Duration as of August 31, 2009 | ||
|
| 6 months ago |
Years | 3.7 | 3.6 |
Duration shows how much a bond fund's price fluctuates with changes in comparable interest rates. If rates rise 1%, for example, a fund with a five-year duration is likely to lose about 5% of its value. Other factors also can influence a bond fund's performance and share price. Accordingly, a bond fund's actual performance may differ from this example. |
Asset Allocation (% of fund's net assets) | |||||||
As of August 31, 2009* | As of February 28, 2009** | ||||||
![]() | Corporate Bonds 34.8% |
| ![]() | Corporate Bonds 36.7% |
| ||
![]() | U.S. Government and |
| ![]() | U.S. Government and |
| ||
![]() | Asset-Backed |
| ![]() | Asset-Backed |
| ||
![]() | CMOs and Other |
| ![]() | CMOs and Other |
| ||
![]() | Municipal Bonds 0.2% |
| ![]() | Municipal Bonds 0.4% |
| ||
![]() | Other Investments 6.5% |
| ![]() | Other Investments 6.2% |
| ||
![]() | Short-Term |
| ![]() | Short-Term |
|
* Foreign investments | 9.0% |
| ** Foreign investments | 9.0% |
| ||
* Futures and Swaps | 8.8% |
| ** Futures and Swaps | 12.2% |
|
† Short-term Investments and Net Other Assets are not included in the pie chart.
†† Includes FDIC Guaranteed Corporate Securities.
A holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds is available at fidelity.com and/or advisor.fidelity.com, as applicable.
Annual Report
Investments August 31, 2009
Showing Percentage of Net Assets
Corporate Bonds - 28.1% | ||||
| Principal Amount (d) | Value | ||
Convertible Bonds - 0.1% | ||||
ENERGY - 0.0% | ||||
Oil, Gas & Consumable Fuels - 0.0% | ||||
Chesapeake Energy Corp. 2.5% 5/15/37 | $ 2,086,000 | $ 1,635,007 | ||
FINANCIALS - 0.0% | ||||
Real Estate Investment Trusts - 0.0% | ||||
Ventas, Inc. 3.875% 11/15/11 (h) | 1,140,000 | 1,190,650 | ||
Vornado Realty Trust 2.85% 4/1/27 | 510,000 | 465,406 | ||
| 1,656,056 | |||
Real Estate Management & Development - 0.0% | ||||
ERP Operating LP 3.85% 8/15/26 | 270,000 | 263,185 | ||
TOTAL FINANCIALS | 1,919,241 | |||
INDUSTRIALS - 0.0% | ||||
Electrical Equipment - 0.0% | ||||
General Cable Corp. 1% 10/15/12 | 2,580,000 | 2,168,748 | ||
INFORMATION TECHNOLOGY - 0.1% | ||||
Communications Equipment - 0.1% | ||||
Lucent Technologies, Inc. 2.875% 6/15/25 | 2,841,800 | 2,273,355 | ||
TOTAL CONVERTIBLE BONDS | 7,996,351 | |||
Nonconvertible Bonds - 28.0% | ||||
CONSUMER DISCRETIONARY - 3.3% | ||||
Auto Components - 0.1% | ||||
Affinia Group, Inc. 10.75% 8/15/16 (h) | 330,000 | 339,900 | ||
ArvinMeritor, Inc. 8.125% 9/15/15 | 3,250,000 | 2,437,500 | ||
DaimlerChrysler NA Holding Corp.: | ||||
5.75% 9/8/11 | 5,595,000 | 5,866,783 | ||
5.875% 3/15/11 | 2,077,000 | 2,161,540 | ||
RSC Equipment Rental, Inc. 10% 7/15/17 (h) | 1,170,000 | 1,240,200 | ||
Tenneco, Inc. 8.625% 11/15/14 | 1,750,000 | 1,531,250 | ||
The Goodyear Tire & Rubber Co. 10.5% 5/15/16 | 2,120,000 | 2,268,400 | ||
TRW Automotive, Inc. 7% 3/15/14 (h) | 900,000 | 783,000 | ||
| 16,628,573 | |||
Automobiles - 0.0% | ||||
Ford Motor Co.: | ||||
6.375% 2/1/29 | 1,465,000 | 981,550 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Automobiles - continued | ||||
Ford Motor Co.: - continued | ||||
6.625% 10/1/28 | $ 2,475,000 | $ 1,683,000 | ||
7.45% 7/16/31 | 2,200,000 | 1,683,000 | ||
| 4,347,550 | |||
Diversified Consumer Services - 0.0% | ||||
Affinion Group, Inc.: | ||||
10.125% 10/15/13 (h) | 1,070,000 | 1,061,975 | ||
11.5% 10/15/15 | 1,005,000 | 964,800 | ||
Service Corp. International 7.5% 4/1/27 | 1,935,000 | 1,635,075 | ||
ServiceMaster Co. 10.75% 7/15/15 pay-in-kind (h) | 970,000 | 853,600 | ||
Trustees of Dartmouth College 4.75% 6/1/19 | 1,000 | 1,036 | ||
| 4,516,486 | |||
Hotels, Restaurants & Leisure - 0.6% | ||||
Ameristar Casinos, Inc. 9.25% 6/1/14 (h) | 2,020,000 | 2,060,400 | ||
Carrols Corp. 9% 1/15/13 | 85,000 | 82,663 | ||
Chukchansi Economic Development Authority 8% 11/15/13 (h) | 565,000 | 452,000 | ||
Harrah's Escrow Corp. 11.25% 6/1/17 (h) | 2,635,000 | 2,687,700 | ||
Host Marriott LP: | ||||
6.375% 3/15/15 | 250,000 | 230,000 | ||
7.125% 11/1/13 | 5,360,000 | 5,199,200 | ||
ITT Corp. 7.375% 11/15/15 | 1,130,000 | 1,076,325 | ||
Landry's Restaurants, Inc. 14% 8/15/11 | 1,800,000 | 1,795,500 | ||
Mashantucket Western Pequot Tribe 8.5% 11/15/15 (h) | 4,330,000 | 909,300 | ||
McDonald's Corp. 5.35% 3/1/18 | 2,339,000 | 2,512,219 | ||
MGM Mirage, Inc.: | ||||
8.375% 2/1/11 | 645,000 | 541,800 | ||
8.5% 9/15/10 | 735,000 | 712,950 | ||
Mohegan Tribal Gaming Authority: | ||||
6.125% 2/15/13 | 4,175,000 | 3,423,500 | ||
6.875% 2/15/15 | 210,000 | 144,900 | ||
7.125% 8/15/14 | 1,350,000 | 945,000 | ||
Park Place Entertainment Corp. 7.875% 3/15/10 | 480,000 | 465,600 | ||
Penn National Gaming, Inc. 8.75% 8/15/19 (h) | 2,695,000 | 2,695,000 | ||
Pinnacle Entertainment, Inc. 8.625% 8/1/17 (h) | 2,520,000 | 2,494,800 | ||
Royal Caribbean Cruises Ltd.: | ||||
7.25% 3/15/18 | 465,000 | 365,025 | ||
11.875% 7/15/15 | 1,450,000 | 1,479,000 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Hotels, Restaurants & Leisure - continued | ||||
Royal Caribbean Cruises Ltd.: - continued | ||||
yankee: | ||||
7% 6/15/13 | $ 3,000,000 | $ 2,662,500 | ||
7.25% 6/15/16 | 4,285,000 | 3,492,275 | ||
7.5% 10/15/27 | 2,025,000 | 1,420,031 | ||
Scientific Games Corp.: | ||||
7.875% 6/15/16 (h) | 2,145,000 | 2,043,113 | ||
9.25% 6/15/19 (h) | 1,845,000 | 1,863,450 | ||
Seminole Hard Rock Entertainment, Inc. 3.1294% 3/15/14 (h)(o) | 3,010,000 | 2,287,600 | ||
Seneca Gaming Corp.: | ||||
Series B, 7.25% 5/1/12 | 945,000 | 888,300 | ||
7.25% 5/1/12 | 1,760,000 | 1,654,400 | ||
Snoqualmie Entertainment Authority: | ||||
4.68% 2/1/14 (h)(o) | 140,000 | 68,600 | ||
9.125% 2/1/15 (h) | 1,100,000 | 605,000 | ||
Speedway Motorsports, Inc. 8.75% 6/1/16 (h) | 1,855,000 | 1,887,463 | ||
Starwood Hotels & Resorts Worldwide, Inc.: | ||||
6.25% 2/15/13 | 1,200,000 | 1,131,000 | ||
7.875% 5/1/12 | 2,095,000 | 2,105,475 | ||
7.875% 10/15/14 | 2,635,000 | 2,621,825 | ||
Times Square Hotel Trust 8.528% 8/1/26 (h) | 108,352 | 99,207 | ||
Town Sports International Holdings, Inc. 11% 2/1/14 | 2,270,000 | 1,112,300 | ||
Universal City Development Partners Ltd./UCDP Finance, Inc. 11.75% 4/1/10 | 480,000 | 478,800 | ||
Universal City Florida Holding Co. I/II 8.375% 5/1/10 | 3,025,000 | 2,737,625 | ||
Wendy's/Arby's Restaurants LLC 10% 7/15/16 (h) | 3,465,000 | 3,568,950 | ||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.: | ||||
6.625% 12/1/14 | 4,685,000 | 4,312,075 | ||
| 67,312,871 | |||
Household Durables - 0.3% | ||||
D.R. Horton, Inc. 6.5% 4/15/16 | 1,170,000 | 1,082,250 | ||
Fortune Brands, Inc.: | ||||
5.125% 1/15/11 | 4,239,000 | 4,314,997 | ||
5.875% 1/15/36 | 13,274,000 | 11,099,639 | ||
6.375% 6/15/14 | 6,250,000 | 6,387,050 | ||
KB Home 5.875% 1/15/15 | 720,000 | 669,600 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Household Durables - continued | ||||
Lennar Corp. 12.25% 6/1/17 (h) | $ 2,145,000 | $ 2,477,475 | ||
Reliance Intermediate Holdings LP 9.5% 12/15/19 (h) | 3,055,000 | 3,039,725 | ||
Ryland Group, Inc. 8.4% 5/15/17 | 1,855,000 | 1,873,550 | ||
Sealy Mattress Co. 8.25% 6/15/14 | 1,090,000 | 956,475 | ||
| 31,900,761 | |||
Media - 2.0% | ||||
AMC Entertainment, Inc. 8.75% 6/1/19 | 2,740,000 | 2,712,600 | ||
AOL Time Warner, Inc.: | ||||
6.75% 4/15/11 | 1,882,000 | 2,000,782 | ||
6.875% 5/1/12 | 2,441,000 | 2,669,524 | ||
7.625% 4/15/31 | 500,000 | 549,083 | ||
Cablemas SA de CV 9.375% 11/15/15 (Reg. S) | 1,795,000 | 1,934,113 | ||
Charter Communications Holdings I LLC: | ||||
9.92% 4/1/14 (c) | 1,495,000 | 13,081 | ||
11.125% 1/15/14 (c) | 505,000 | 4,419 | ||
Charter Communications Holdings I LLC/Charter Communications Holdings I Capital Corp. 11% 10/1/15 (c) | 5,490,000 | 768,600 | ||
Charter Communications Holdings II LLC/Charter Communications Holdings II Capital Corp. 10.25% 9/15/10 (c) | 3,865,000 | 4,294,981 | ||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.: | ||||
10% 4/30/12 (h)(o) | 3,865,000 | 3,903,650 | ||
10.375% 4/30/14 (h)(o) | 2,220,000 | 2,247,750 | ||
12.875% 9/15/14 (h) | 890,000 | 965,650 | ||
Clear Channel Communications, Inc.: | ||||
4.5% 1/15/10 | 1,060,000 | 935,450 | ||
7.65% 9/15/10 | 710,000 | 532,500 | ||
Comcast Cable Communications, Inc. 6.75% 1/30/11 | 511,000 | 543,423 | ||
Comcast Corp.: | ||||
4.95% 6/15/16 | 1,879,000 | 1,905,774 | ||
5.5% 3/15/11 | 382,000 | 400,901 | ||
5.7% 5/15/18 | 11,968,000 | 12,637,753 | ||
5.85% 1/15/10 | 61,000 | 62,104 | ||
6.45% 3/15/37 | 8,838,000 | 9,427,618 | ||
6.55% 7/1/39 | 9,000,000 | 9,743,382 | ||
COX Communications, Inc.: | ||||
4.625% 1/15/10 | 2,141,000 | 2,164,808 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Media - continued | ||||
COX Communications, Inc.: - continued | ||||
4.625% 6/1/13 | $ 4,467,000 | $ 4,603,503 | ||
6.25% 6/1/18 (h) | 1,055,000 | 1,122,791 | ||
6.45% 12/1/36 (h) | 913,000 | 936,639 | ||
6.95% 6/1/38 (h) | 452,000 | 493,932 | ||
CSC Holdings, Inc.: | ||||
6.75% 4/15/12 | 3,945,000 | 3,964,725 | ||
8.5% 4/15/14 (h) | 2,105,000 | 2,141,838 | ||
8.5% 6/15/15 (h) | 2,340,000 | 2,363,400 | ||
8.625% 2/15/19 (h) | 4,030,000 | 4,090,450 | ||
EchoStar Communications Corp.: | ||||
6.375% 10/1/11 | 4,340,000 | 4,345,425 | ||
7% 10/1/13 | 6,765,000 | 6,629,700 | ||
7.125% 2/1/16 | 1,345,000 | 1,291,200 | ||
7.75% 5/31/15 | 1,810,000 | 1,782,850 | ||
Interpublic Group of Companies, Inc.: | ||||
6.25% 11/15/14 | 1,310,000 | 1,208,475 | ||
10% 7/15/17 (h) | 1,130,000 | 1,180,850 | ||
Kabel Deutschland GmbH 10.625% 7/1/14 | 4,825,000 | 5,018,000 | ||
Lamar Media Corp.: | ||||
Series B, 6.625% 8/15/15 | 535,000 | 468,125 | ||
6.625% 8/15/15 | 1,030,000 | 921,850 | ||
9.75% 4/1/14 (h) | 1,830,000 | 1,939,800 | ||
Liberty Media Corp.: | ||||
5.7% 5/15/13 | 1,415,000 | 1,344,250 | ||
8.25% 2/1/30 | 245,000 | 186,200 | ||
Marquee Holdings, Inc. 12% 8/15/14 (f) | 2,965,000 | 2,453,538 | ||
News America Holdings, Inc. 7.75% 12/1/45 | 170,000 | 178,040 | ||
News America, Inc.: | ||||
4.75% 3/15/10 | 244,000 | 244,928 | ||
5.3% 12/15/14 | 876,000 | 939,063 | ||
6.15% 3/1/37 | 2,970,000 | 2,868,910 | ||
6.2% 12/15/34 | 5,330,000 | 5,172,594 | ||
6.65% 11/15/37 | 15,817,000 | 16,265,349 | ||
6.9% 3/1/19 (h) | 4,805,000 | 5,412,986 | ||
Nielsen Finance LLC/Nielsen Finance Co.: | ||||
0% 8/1/16 (e) | 6,505,000 | 4,520,975 | ||
10% 8/1/14 | 3,975,000 | 3,736,500 | ||
11.5% 5/1/16 | 2,225,000 | 2,213,875 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Media - continued | ||||
Nielsen Finance LLC/Nielsen Finance Co.: - continued | ||||
11.625% 2/1/14 | $ 2,325,000 | $ 2,307,563 | ||
Quebecor Media, Inc.: | ||||
7.75% 3/15/16 | 4,712,000 | 4,417,500 | ||
7.75% 3/15/16 | 2,485,000 | 2,329,688 | ||
Regal Cinemas Corp. 8.625% 7/15/19 (h) | 2,615,000 | 2,667,300 | ||
The Reader's Digest Association, Inc. 9% 2/15/17 (c) | 2,805,000 | 66,619 | ||
Time Warner Cable, Inc.: | ||||
5.4% 7/2/12 | 2,444,000 | 2,607,003 | ||
5.85% 5/1/17 | 2,607,000 | 2,737,772 | ||
6.2% 7/1/13 | 2,324,000 | 2,511,349 | ||
6.75% 7/1/18 | 13,473,000 | 14,883,879 | ||
7.3% 7/1/38 | 7,850,000 | 8,882,032 | ||
8.75% 2/14/19 | 2,390,000 | 2,942,140 | ||
Time Warner, Inc.: | ||||
5.875% 11/15/16 | 4,296,000 | 4,488,637 | ||
6.5% 11/15/36 | 11,565,000 | 11,646,163 | ||
TL Acquisitions, Inc.: | ||||
10.5% 1/15/15 (h) | 4,895,000 | 4,454,450 | ||
13.25% 7/15/15 (h) | 1,600,000 | 1,448,000 | ||
Univision Communications, Inc. 12% 7/1/14 (h) | 985,000 | 1,034,250 | ||
UPC Holding BV 9.875% 4/15/18 (h) | 3,250,000 | 3,274,375 | ||
Viacom, Inc.: | ||||
6.125% 10/5/17 | 4,235,000 | 4,476,158 | ||
6.25% 4/30/16 | 5,600,000 | 6,007,898 | ||
6.75% 10/5/37 | 1,460,000 | 1,529,262 | ||
Videotron Ltd.: | ||||
9.125% 4/15/18 (h) | 1,680,000 | 1,768,200 | ||
9.125% 4/15/18 | 1,630,000 | 1,711,500 | ||
Visant Holding Corp. 8.75% 12/1/13 | 450,000 | 454,500 | ||
| 239,104,945 | |||
Multiline Retail - 0.1% | ||||
Dollar General Corp. 10.625% 7/15/15 | 1,995,000 | 2,214,450 | ||
Federated Retail Holdings, Inc. 5.9% 12/1/16 | 1,625,000 | 1,432,433 | ||
Macy's Retail Holdings, Inc. 8.875% 7/15/15 | 1,055,000 | 1,068,392 | ||
Matahari Finance BV 9.5% 10/6/09 | 1,095,000 | 1,095,000 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Multiline Retail - continued | ||||
Neiman Marcus Group, Inc.: | ||||
9% 10/15/15 pay-in-kind (f) | $ 1,164,015 | $ 869,519 | ||
10.375% 10/15/15 | 1,130,000 | 858,800 | ||
| 7,538,594 | |||
Specialty Retail - 0.1% | ||||
Ltd. Brands, Inc. 8.5% 6/15/19 (h) | 1,265,000 | 1,258,675 | ||
Michaels Stores, Inc. 10% 11/1/14 | 1,705,000 | 1,628,275 | ||
Sally Holdings LLC 9.25% 11/15/14 | 3,215,000 | 3,319,488 | ||
Toys 'R' Us, Inc.: | ||||
7.375% 10/15/18 | 735,000 | 540,225 | ||
7.625% 8/1/11 | 4,470,000 | 4,201,800 | ||
| 10,948,463 | |||
Textiles, Apparel & Luxury Goods - 0.1% | ||||
Hanesbrands, Inc. 4.5925% 12/15/14 (o) | 2,020,000 | 1,737,200 | ||
Levi Strauss & Co.: | ||||
8.875% 4/1/16 | 1,285,000 | 1,285,000 | ||
9.75% 1/15/15 | 4,055,000 | 4,115,825 | ||
| 7,138,025 | |||
TOTAL CONSUMER DISCRETIONARY | 389,436,268 | |||
CONSUMER STAPLES - 1.7% | ||||
Beverages - 0.4% | ||||
Anheuser-Busch InBev Worldwide, Inc.: | ||||
6.875% 11/15/19 (h) | 13,000,000 | 14,541,553 | ||
7.75% 1/15/19 (h) | 4,750,000 | 5,561,737 | ||
Constellation Brands, Inc.: | ||||
7.25% 9/1/16 | 3,135,000 | 3,033,113 | ||
7.25% 5/15/17 | 495,000 | 478,913 | ||
8.375% 12/15/14 | 2,835,000 | 2,877,525 | ||
Diageo Capital PLC 5.2% 1/30/13 | 1,037,000 | 1,107,352 | ||
FBG Finance Ltd. 5.125% 6/15/15 (h) | 2,936,000 | 3,007,295 | ||
PepsiCo, Inc. 7.9% 11/1/18 | 9,430,000 | 11,892,890 | ||
| 42,500,378 | |||
Food & Staples Retailing - 0.3% | ||||
Albertsons, Inc.: | ||||
7.45% 8/1/29 | 250,000 | 203,125 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
CONSUMER STAPLES - continued | ||||
Food & Staples Retailing - continued | ||||
Albertsons, Inc.: - continued | ||||
7.75% 6/15/26 | $ 600,000 | $ 513,000 | ||
8% 5/1/31 | 2,385,000 | 2,068,988 | ||
CVS Caremark Corp.: | ||||
0.9675% 6/1/10 (o) | 2,296,000 | 2,291,746 | ||
6.036% 12/10/28 | 14,222,232 | 13,423,227 | ||
6.302% 6/1/37 (o) | 13,351,000 | 10,547,290 | ||
SUPERVALU, Inc.: | ||||
7.5% 5/15/12 | 315,000 | 318,150 | ||
7.5% 11/15/14 | 1,595,000 | 1,571,075 | ||
8% 5/1/16 | 4,285,000 | 4,242,150 | ||
The Great Atlantic & Pacific Tea Co. 11.375% 8/1/15 (h) | 2,330,000 | 2,295,050 | ||
| 37,473,801 | |||
Food Products - 0.5% | ||||
Cargill, Inc.: | ||||
6% 11/27/17 (h) | 9,457,000 | 10,120,957 | ||
6.625% 9/15/37 (h) | 8,334,000 | 8,654,426 | ||
Dean Foods Co.: | ||||
6.9% 10/15/17 | 4,565,000 | 4,154,150 | ||
7% 6/1/16 | 2,740,000 | 2,561,900 | ||
General Mills, Inc.: | ||||
5.2% 3/17/15 | 7,738,000 | 8,329,129 | ||
5.65% 2/15/19 | 1,586,000 | 1,713,687 | ||
H.J. Heinz Finance Co. 7.125% 8/1/39 (h) | 4,605,000 | 5,407,380 | ||
Kraft Foods, Inc.: | ||||
5.625% 11/1/11 | 3,660,000 | 3,947,167 | ||
6.125% 2/1/18 | 5,261,000 | 5,757,538 | ||
6.75% 2/19/14 | 540,000 | 612,850 | ||
National Beef Packing Co. LLC/National Beef Finance Corp. 10.5% 8/1/11 | 1,595,000 | 1,575,063 | ||
Smithfield Foods, Inc. 10% 7/15/14 (h) | 1,055,000 | 1,060,275 | ||
| 53,894,522 | |||
Personal Products - 0.0% | ||||
Avon Products, Inc. 4.8% 3/1/13 | 1,789,000 | 1,901,213 | ||
Revlon Consumer Products Corp. 9.5% 4/1/11 | 3,075,000 | 2,902,031 | ||
| 4,803,244 | |||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
CONSUMER STAPLES - continued | ||||
Tobacco - 0.5% | ||||
Altria Group, Inc.: | ||||
9.7% 11/10/18 | $ 22,622,000 | $ 27,672,248 | ||
9.95% 11/10/38 | 7,025,000 | 9,259,112 | ||
Philip Morris International, Inc.: | ||||
4.875% 5/16/13 | 9,347,000 | 9,950,919 | ||
5.65% 5/16/18 | 7,161,000 | 7,615,487 | ||
Reynolds American, Inc.: | ||||
6.75% 6/15/17 | 2,926,000 | 2,981,424 | ||
7.25% 6/15/37 | 4,865,000 | 4,679,201 | ||
| 62,158,391 | |||
TOTAL CONSUMER STAPLES | 200,830,336 | |||
ENERGY - 3.4% | ||||
Energy Equipment & Services - 0.2% | ||||
Compagnie Generale de Geophysique SA: | ||||
7.5% 5/15/15 | 1,375,000 | 1,292,500 | ||
7.75% 5/15/17 | 1,955,000 | 1,867,025 | ||
DCP Midstream LLC 9.75% 3/15/19 (h) | 4,663,000 | 5,543,603 | ||
Helix Energy Solutions Group, Inc. 9.5% 1/15/16 (h) | 1,295,000 | 1,204,350 | ||
Transocean Ltd. 5.25% 3/15/13 | 3,466,000 | 3,649,407 | ||
Weatherford International Ltd.: | ||||
4.95% 10/15/13 | 1,742,000 | 1,798,155 | ||
5.15% 3/15/13 | 2,277,000 | 2,372,723 | ||
7% 3/15/38 | 5,880,000 | 6,080,002 | ||
9.625% 3/1/19 | 1,500,000 | 1,822,293 | ||
| 25,630,058 | |||
Oil, Gas & Consumable Fuels - 3.2% | ||||
Anadarko Petroleum Corp.: | ||||
5.95% 9/15/16 | 14,836,000 | 15,428,416 | ||
6.45% 9/15/36 | 2,115,000 | 2,093,581 | ||
Arch Coal, Inc. 8.75% 8/1/16 (h) | 1,545,000 | 1,545,000 | ||
Arch Western Finance LLC 6.75% 7/1/13 | 1,600,000 | 1,532,000 | ||
Atlas Pipeline Partners LP 8.125% 12/15/15 | 1,610,000 | 1,304,100 | ||
Berry Petroleum Co. 10.25% 6/1/14 | 975,000 | 1,018,875 | ||
BW Group Ltd. 6.625% 6/28/17 (h) | 2,957,000 | 2,498,665 | ||
Canadian Natural Resources Ltd.: | ||||
5.15% 2/1/13 | 4,498,000 | 4,705,061 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Canadian Natural Resources Ltd.: - continued | ||||
5.7% 5/15/17 | $ 16,009,000 | $ 16,767,651 | ||
Chesapeake Energy Corp.: | ||||
6.5% 8/15/17 | 3,485,000 | 3,101,650 | ||
6.875% 1/15/16 | 580,000 | 530,700 | ||
7.25% 12/15/18 | 1,600,000 | 1,460,000 | ||
7.5% 9/15/13 | 2,265,000 | 2,208,375 | ||
7.5% 6/15/14 | 1,790,000 | 1,736,300 | ||
7.625% 7/15/13 | 895,000 | 879,338 | ||
9.5% 2/15/15 | 8,575,000 | 8,746,500 | ||
ConocoPhillips: | ||||
4.6% 1/15/15 | 10,000,000 | 10,648,720 | ||
4.75% 2/1/14 | 1,055,000 | 1,131,175 | ||
5.75% 2/1/19 | 2,930,000 | 3,208,350 | ||
Denbury Resources, Inc. 9.75% 3/1/16 | 1,060,000 | 1,120,950 | ||
Drummond Co., Inc. 7.375% 2/15/16 (h) | 5,390,000 | 4,689,300 | ||
Duke Capital LLC: | ||||
6.25% 2/15/13 | 1,000,000 | 1,068,380 | ||
6.75% 2/15/32 | 10,542,000 | 10,102,304 | ||
Duke Energy Field Services: | ||||
5.375% 10/15/15 (h) | 1,222,000 | 1,189,981 | ||
6.45% 11/3/36 (h) | 2,400,000 | 2,164,243 | ||
6.875% 2/1/11 | 2,313,000 | 2,411,989 | ||
7.875% 8/16/10 | 1,037,000 | 1,085,816 | ||
El Paso Corp. 8.25% 2/15/16 | 875,000 | 875,000 | ||
El Paso Energy Corp. 7.75% 1/15/32 | 1,315,000 | 1,170,951 | ||
El Paso Natural Gas Co. 5.95% 4/15/17 | 935,000 | 960,770 | ||
El Paso Performance-Linked Trust 7.75% 7/15/11 (h) | 3,100,000 | 2,991,500 | ||
Empresa Nacional de Petroleo 6.75% 11/15/12 (h) | 1,694,000 | 1,822,475 | ||
Enbridge Energy Partners LP: | ||||
5.875% 12/15/16 | 1,806,000 | 1,803,063 | ||
6.5% 4/15/18 | 2,372,000 | 2,491,200 | ||
EnCana Holdings Finance Corp. 5.8% 5/1/14 | 2,888,000 | 3,140,154 | ||
Enterprise Products Operating LP: | ||||
4.625% 10/15/09 | 1,947,000 | 1,950,259 | ||
5.6% 10/15/14 | 1,955,000 | 2,067,831 | ||
5.65% 4/1/13 | 697,000 | 740,593 | ||
Forest Oil Corp.: | ||||
7.25% 6/15/19 | 1,080,000 | 1,015,200 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Forest Oil Corp.: - continued | ||||
7.75% 5/1/14 | $ 1,005,000 | $ 949,725 | ||
8.5% 2/15/14 (h) | 4,070,000 | 4,090,350 | ||
Frontier Oil Corp. 8.5% 9/15/16 | 1,950,000 | 1,979,250 | ||
Gazstream SA 5.625% 7/22/13 (h) | 823,342 | 823,342 | ||
Gulf South Pipeline Co. LP 5.75% 8/15/12 (h) | 3,863,000 | 4,010,111 | ||
KazMunaiGaz Finance Sub BV: | ||||
8.375% 7/2/13 (h) | 2,025,000 | 1,974,375 | ||
9.125% 7/2/18 (h) | 1,015,000 | 979,475 | ||
11.75% 1/23/15 (h) | 1,085,000 | 1,177,225 | ||
Lukoil International Finance BV 6.656% 6/7/22 (h) | 1,222,000 | 1,105,910 | ||
Massey Energy Co. 6.875% 12/15/13 | 4,845,000 | 4,554,300 | ||
Nakilat, Inc. 6.067% 12/31/33 (h) | 4,384,000 | 3,650,425 | ||
National Gas Co. of Trinidad & Tobago Ltd. 6.05% 1/15/36 (h) | 240,000 | 187,272 | ||
Newfield Exploration Co. 7.125% 5/15/18 | 2,330,000 | 2,283,400 | ||
Nexen, Inc.: | ||||
5.05% 11/20/13 | 3,845,000 | 3,948,850 | ||
5.2% 3/10/15 | 909,000 | 918,974 | ||
5.875% 3/10/35 | 240,000 | 211,072 | ||
6.4% 5/15/37 | 3,645,000 | 3,372,704 | ||
NGPL PipeCo LLC 6.514% 12/15/12 (h) | 8,163,000 | 8,833,395 | ||
Overseas Shipholding Group, Inc.: | ||||
7.5% 2/15/24 | 500,000 | 400,000 | ||
8.75% 12/1/13 | 610,000 | 588,650 | ||
Pemex Project Funding Master Trust: | ||||
1.9294% 6/15/10 (h)(o) | 1,245,000 | 1,241,888 | ||
6.625% 6/15/35 | 625,000 | 569,239 | ||
Petro-Canada: | ||||
6.05% 5/15/18 | 3,850,000 | 3,988,831 | ||
6.8% 5/15/38 | 18,950,000 | 20,056,794 | ||
Petrobras International Finance Co. Ltd. 7.875% 3/15/19 | 10,219,000 | 11,521,923 | ||
Petrohawk Energy Corp.: | ||||
7.875% 6/1/15 | 1,485,000 | 1,440,450 | ||
9.125% 7/15/13 | 4,270,000 | 4,312,700 | ||
10.5% 8/1/14 (h) | 3,025,000 | 3,176,250 | ||
Petroleos de Venezuela SA: | ||||
5.25% 4/12/17 | 15,845,000 | 8,714,750 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Petroleos de Venezuela SA: - continued | ||||
5.375% 4/12/27 | $ 3,795,000 | $ 1,631,850 | ||
Petroleos Mexicanos 8% 5/3/19 (h) | 657,000 | 739,125 | ||
Petroleum Co. of Trinidad & Tobago Ltd. (Reg. S) 6% 5/8/22 | 795,000 | 719,475 | ||
Petroleum Development Corp. 12% 2/15/18 | 1,605,000 | 1,492,650 | ||
Pioneer Natural Resources Co. 6.65% 3/15/17 | 2,935,000 | 2,685,525 | ||
Plains All American Pipeline LP: | ||||
6.125% 1/15/17 | 6,185,000 | 6,390,936 | ||
6.65% 1/15/37 | 4,430,000 | 4,612,813 | ||
7.75% 10/15/12 | 2,358,000 | 2,606,929 | ||
Plains Exploration & Production Co.: | ||||
7% 3/15/17 | 5,005,000 | 4,617,113 | ||
7.75% 6/15/15 | 485,000 | 470,450 | ||
10% 3/1/16 | 3,215,000 | 3,391,825 | ||
Quicksilver Resources, Inc.: | ||||
7.125% 4/1/16 | 1,975,000 | 1,659,000 | ||
9.125% 8/15/19 | 2,040,000 | 1,983,900 | ||
11.75% 1/1/16 | 2,255,000 | 2,395,938 | ||
Range Resources Corp.: | ||||
6.375% 3/15/15 (Reg. S) | 2,355,000 | 2,219,588 | ||
7.375% 7/15/13 | 2,060,000 | 2,049,700 | ||
7.5% 5/15/16 | 2,250,000 | 2,205,000 | ||
Ras Laffan Liquid Natural Gas Co. Ltd. 8.294% 3/15/14 (h) | 2,987,000 | 3,252,195 | ||
Ras Laffan Liquid Natural Gas Co. Ltd. III: | ||||
4.5% 9/30/12 (h) | 4,773,000 | 4,891,833 | ||
5.5% 9/30/14 (h) | 6,670,000 | 6,902,096 | ||
5.832% 9/30/16 (h) | 1,343,000 | 1,379,301 | ||
6.332% 9/30/27 (h) | 1,840,000 | 1,694,419 | ||
6.75% 9/30/19 (h) | 5,651,000 | 5,906,357 | ||
Rockies Express Pipeline LLC 6.25% 7/15/13 (h) | 2,720,000 | 2,931,067 | ||
SandRidge Energy, Inc.: | ||||
4.2219% 4/1/14 (o) | 1,675,000 | 1,381,875 | ||
8.625% 4/1/15 pay-in-kind (o) | 2,925,000 | 2,764,125 | ||
Ship Finance International Ltd. 8.5% 12/15/13 | 2,065,000 | 1,899,800 | ||
Source Gas LLC 5.9% 4/1/17 (h) | 3,544,000 | 2,876,746 | ||
Southwestern Energy Co. 7.5% 2/1/18 (h) | 2,315,000 | 2,315,000 | ||
Spectra Energy Capital, LLC 6.2% 4/15/18 | 14,500,000 | 15,339,869 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Suncor Energy, Inc. 6.1% 6/1/18 | $ 10,851,000 | $ 11,365,327 | ||
Targa Resources Partners LP/Targa Resources Partners Finance Corp. 11.25% 7/15/17 (h) | 1,910,000 | 1,919,550 | ||
Teekay Corp. 8.875% 7/15/11 | 2,115,000 | 2,104,425 | ||
TEPPCO Partners LP: | ||||
5.9% 4/15/13 | 3,239,000 | 3,484,724 | ||
6.65% 4/15/18 | 4,741,000 | 5,110,812 | ||
7.55% 4/15/38 | 9,095,000 | 10,619,877 | ||
Texas Eastern Transmission LP 6% 9/15/17 (h) | 5,990,000 | 6,443,695 | ||
TNK-BP Finance SA 7.5% 3/13/13 (Reg. S) | 3,225,000 | 3,208,875 | ||
TransCanada PipeLines Ltd. 6.35% 5/15/67 (o) | 2,371,000 | 1,991,640 | ||
XTO Energy, Inc.: | ||||
5% 1/31/15 | 1,749,000 | 1,827,719 | ||
5.65% 4/1/16 | 1,200,000 | 1,256,702 | ||
5.9% 8/1/12 | 4,452,000 | 4,815,550 | ||
YPF SA 10% 11/2/28 | 2,325,000 | 2,104,125 | ||
| 378,127,567 | |||
TOTAL ENERGY | 403,757,625 | |||
FINANCIALS - 9.6% | ||||
Capital Markets - 2.2% | ||||
Bear Stearns Companies, Inc.: | ||||
0.645% 10/22/10 (o) | 2,340,000 | 2,337,583 | ||
0.9025% 9/9/09 (o) | 1,271,000 | 1,271,015 | ||
4.245% 1/7/10 | 1,217,000 | 1,223,529 | ||
4.5% 10/28/10 | 1,833,000 | 1,903,486 | ||
5.3% 10/30/15 | 1,170,000 | 1,185,848 | ||
5.85% 7/19/10 | 3,769,000 | 3,873,096 | ||
6.95% 8/10/12 | 10,980,000 | 12,267,504 | ||
BlackRock, Inc. 6.25% 9/15/17 | 14,822,000 | 15,591,380 | ||
Goldman Sachs Group, Inc.: | ||||
5.25% 10/15/13 | 5,903,000 | 6,231,018 | ||
5.625% 1/15/17 | 3,200,000 | 3,181,878 | ||
5.95% 1/18/18 | 3,989,000 | 4,152,585 | ||
6% 5/1/14 | 9,300,000 | 10,027,288 | ||
6.15% 4/1/18 | 4,275,000 | 4,512,609 | ||
6.75% 10/1/37 | 28,895,000 | 28,929,067 | ||
7.5% 2/15/19 | 1,757,000 | 2,022,825 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Capital Markets - continued | ||||
Janus Capital Group, Inc.: | ||||
6.125% 9/15/11 (f) | $ 2,399,000 | $ 2,375,526 | ||
6.5% 6/15/12 | 4,172,000 | 4,134,160 | ||
JPMorgan Chase Capital XX 6.55% 9/29/36 | 10,020,000 | 8,732,961 | ||
JPMorgan Chase Capital XXV 6.8% 10/1/37 | 7,405,000 | 6,978,368 | ||
Lazard Group LLC: | ||||
6.85% 6/15/17 | 3,840,000 | 3,757,256 | ||
7.125% 5/15/15 | 1,377,000 | 1,383,247 | ||
Merrill Lynch & Co., Inc.: | ||||
5.45% 2/5/13 | 17,070,000 | 17,356,418 | ||
6.15% 4/25/13 | 4,271,000 | 4,446,700 | ||
6.4% 8/28/17 | 2,720,000 | 2,680,552 | ||
6.875% 4/25/18 | 4,701,000 | 4,800,102 | ||
Morgan Stanley: | ||||
0.7875% 1/9/12 (o) | 9,924,000 | 9,594,186 | ||
0.8375% 1/9/14 (o) | 5,002,000 | 4,628,471 | ||
4.75% 4/1/14 | 2,429,000 | 2,411,431 | ||
5.05% 1/21/11 | 3,045,000 | 3,144,846 | ||
5.25% 11/2/12 | 244,000 | 258,010 | ||
5.45% 1/9/17 | 2,238,000 | 2,219,315 | ||
5.95% 12/28/17 | 5,050,000 | 5,163,751 | ||
6% 5/13/14 | 7,810,000 | 8,281,638 | ||
6.6% 4/1/12 | 5,719,000 | 6,214,185 | ||
6.625% 4/1/18 | 15,268,000 | 16,314,453 | ||
6.75% 4/15/11 | 836,000 | 889,079 | ||
7.3% 5/13/19 | 8,304,000 | 9,247,592 | ||
Northern Trust Corp.: | ||||
4.625% 5/1/14 | 1,762,000 | 1,870,907 | ||
5.5% 8/15/13 | 2,560,000 | 2,792,438 | ||
Scotland International Finance No. 2 BV 7.7% 8/15/10 (h) | 978,000 | 984,113 | ||
The Bank of New York, Inc. 4.95% 11/1/12 | 3,864,000 | 4,182,409 | ||
UBS AG Stamford Branch: | ||||
5.75% 4/25/18 | 16,505,000 | 16,214,826 | ||
5.875% 12/20/17 | 15,572,000 | 15,429,392 | ||
| 265,197,043 | |||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Commercial Banks - 1.5% | ||||
American Express Bank FSB: | ||||
5.5% 4/16/13 | $ 4,091,000 | $ 4,245,055 | ||
6% 9/13/17 | 10,621,000 | 10,480,229 | ||
ANZ National International Ltd. 6.2% 7/19/13 (h) | 1,099,000 | 1,181,315 | ||
Bank of America NA: | ||||
5.3% 3/15/17 | 3,315,000 | 3,049,701 | ||
6% 10/15/36 | 690,000 | 638,812 | ||
Bank One Corp.: | ||||
5.25% 1/30/13 | 930,000 | 982,903 | ||
7.875% 8/1/10 | 691,000 | 730,761 | ||
BB&T Capital Trust IV 6.82% 6/12/77 (o) | 2,314,000 | 1,920,620 | ||
BB&T Corp. 6.5% 8/1/11 | 1,243,000 | 1,300,199 | ||
Chase Manhattan Corp. 7.875% 6/15/10 | 1,553,000 | 1,631,694 | ||
Credit Suisse First Boston 6% 2/15/18 | 16,107,000 | 16,565,792 | ||
Credit Suisse First Boston New York Branch 5% 5/15/13 | 9,569,000 | 10,158,785 | ||
Credit Suisse New York Branch 5.5% 5/1/14 | 5,590,000 | 6,007,864 | ||
DBS Bank Ltd. (Singapore) 0.66% 5/16/17 (h)(o) | 3,914,986 | 3,484,338 | ||
Development Bank of Philippines 8.375% (o) | 1,355,000 | 1,321,125 | ||
EXIM of Ukraine: | ||||
7.65% 9/7/11 (Issued by Credit Suisse London Branch for EXIM Ukraine) | 5,710,000 | 5,139,000 | ||
7.75% 9/23/09 (Issued by Dresdner Bank AG for EXIM Ukraine) | 2,684,000 | 2,630,320 | ||
Export-Import Bank of Korea: | ||||
5.125% 2/14/11 | 2,920,000 | 2,960,340 | ||
5.25% 2/10/14 (h) | 565,000 | 564,095 | ||
5.5% 10/17/12 | 2,256,000 | 2,332,458 | ||
Fifth Third Bancorp: | ||||
4.5% 6/1/18 | 123,000 | 90,873 | ||
8.25% 3/1/38 | 2,099,000 | 1,864,672 | ||
HBOS PLC 6.75% 5/21/18 (h) | 6,067,000 | 5,059,757 | ||
HSBC Holdings PLC: | ||||
0.7775% 10/6/16 (o) | 1,143,000 | 1,059,129 | ||
6.5% 9/15/37 | 8,400,000 | 8,687,221 | ||
HSBK (Europe) B.V. 9.25% 10/16/13 (h) | 3,405,000 | 3,047,475 | ||
JPMorgan Chase Bank 6% 10/1/17 | 2,095,000 | 2,208,536 | ||
JSC Halyk Bank of Kazakhstan (Reg. S) 8.125% 10/7/09 | 1,495,000 | 1,465,100 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Commercial Banks - continued | ||||
KeyBank NA: | ||||
5.8% 7/1/14 | $ 3,619,000 | $ 3,487,341 | ||
7% 2/1/11 | 1,124,000 | 1,144,071 | ||
Korea Development Bank 4.625% 9/16/10 | 1,833,000 | 1,848,568 | ||
Manufacturers & Traders Trust Co. 2.0969% 4/1/13 (h)(o) | 720,797 | 586,288 | ||
National City Bank, Cleveland 4.5% 3/15/10 | 2,943,000 | 2,984,505 | ||
PNC Funding Corp.: | ||||
0.6275% 1/31/12 (o) | 5,982,000 | 5,689,528 | ||
7.5% 11/1/09 | 2,026,000 | 2,043,655 | ||
RSHB Capital SA 9% 6/11/14 (h) | 605,000 | 642,813 | ||
Santander Issuances SA Unipersonal: | ||||
0.9688% 6/20/16 (h)(o) | 3,253,827 | 2,993,980 | ||
5.805% 6/20/16 (h)(o) | 4,204,000 | 3,452,535 | ||
Sovereign Bank 2.1931% 8/1/13 (o) | 985 | 937 | ||
Standard Chartered Bank 6.4% 9/26/17 (h) | 13,265,000 | 12,898,209 | ||
UniCredit Luxembourg Finance SA 5.584% 1/13/17 (h)(o) | 2,933,000 | 2,572,197 | ||
Union Planters Corp. 7.75% 3/1/11 | 600,000 | 581,728 | ||
UnionBanCal Corp. 5.25% 12/16/13 | 662,000 | 615,197 | ||
Vimpel Communications 8.375% 10/22/11 (Reg. S) (Issued by UBS Luxembourg SA for Vimpel Communications) | 660,000 | 683,100 | ||
Wachovia Bank NA: | ||||
4.875% 2/1/15 | 1,408,000 | 1,415,415 | ||
6.6% 1/15/38 | 9,000,000 | 9,279,820 | ||
Wachovia Corp.: | ||||
0.6331% 4/23/12 (o) | 543,000 | 523,998 | ||
0.6394% 10/15/11 (o) | 4,016,000 | 3,914,295 | ||
5.625% 10/15/16 | 3,399,000 | 3,389,938 | ||
5.75% 6/15/17 | 2,933,000 | 3,093,200 | ||
Wells Fargo & Co.: | ||||
4.2% 1/15/10 | 2,635,000 | 2,661,202 | ||
5.625% 12/11/17 | 10,423,000 | 10,920,928 | ||
Wells Fargo Bank NA, San Francisco 6.45% 2/1/11 | 580,000 | 606,802 | ||
| 178,838,419 | |||
Consumer Finance - 1.6% | ||||
American General Finance Corp. 6.9% 12/15/17 | 5,510,000 | 3,402,243 | ||
Capital One Bank USA NA 8.8% 7/15/19 | 6,680,000 | 7,156,872 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Consumer Finance - continued | ||||
Capital One Financial Corp.: | ||||
0.93% 9/10/09 (o) | $ 3,277,000 | $ 3,276,400 | ||
5.7% 9/15/11 | 5,251,000 | 5,418,250 | ||
7.375% 5/23/14 | 7,440,000 | 8,115,894 | ||
Discover Financial Services: | ||||
1.1688% 6/11/10 (o) | 4,022,000 | 3,919,242 | ||
6.45% 6/12/17 | 9,775,000 | 8,522,979 | ||
10.25% 7/15/19 | 11,010,000 | 12,058,725 | ||
Ford Motor Credit Co. LLC: | ||||
7.25% 10/25/11 | 8,405,000 | 7,903,600 | ||
7.5% 8/1/12 | 3,600,000 | 3,312,000 | ||
8% 6/1/14 | 3,390,000 | 3,129,987 | ||
8% 12/15/16 | 2,135,000 | 1,870,565 | ||
8.625% 11/1/10 | 1,075,000 | 1,073,884 | ||
12% 5/15/15 | 3,440,000 | 3,577,600 | ||
General Electric Capital Corp.: | ||||
5.625% 9/15/17 | 5,858,000 | 5,870,882 | ||
5.625% 5/1/18 | 25,000,000 | 24,894,125 | ||
5.875% 1/14/38 | 14,000,000 | 12,427,870 | ||
5.9% 5/13/14 | 10,290,000 | 10,997,036 | ||
6.375% 11/15/67 (o) | 9,000,000 | 7,267,500 | ||
General Motors Acceptance Corp.: | ||||
6.875% 9/15/11 | 975,000 | 887,250 | ||
6.875% 8/28/12 | 2,800,000 | 2,436,000 | ||
GMAC LLC: | ||||
6.625% 5/15/12 | 435,000 | 379,538 | ||
6.75% 12/1/14 (h) | 5,125,000 | 4,202,500 | ||
6.875% 9/15/11 (h) | 2,920,000 | 2,686,400 | ||
8% 11/1/31 (h) | 3,500,000 | 2,730,000 | ||
Household Finance Corp.: | ||||
6.375% 10/15/11 | 1,860,000 | 1,953,846 | ||
7% 5/15/12 | 468,000 | 504,184 | ||
HSBC Finance Corp.: | ||||
5.25% 1/14/11 | 1,308,000 | 1,340,765 | ||
5.25% 1/15/14 | 1,054,000 | 1,074,708 | ||
MBNA America Bank NA 7.125% 11/15/12 (h) | 693,000 | 718,904 | ||
MBNA Corp. 7.5% 3/15/12 | 1,608,000 | 1,696,651 | ||
Nissan Motor Acceptance Corp. 4.625% 3/8/10 (h) | 4,245,000 | 4,208,947 | ||
ORIX Corp. 5.48% 11/22/11 | 385,000 | 379,997 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Consumer Finance - continued | ||||
SLM Corp.: | ||||
0.6638% 7/26/10 (o) | $ 8,343,000 | $ 7,633,261 | ||
0.7338% 10/25/11 (o) | 12,343,000 | 9,775,347 | ||
0.8294% 3/15/11 (o) | 112,000 | 96,486 | ||
4.5% 7/26/10 | 7,157,000 | 6,847,274 | ||
Systems 2001 Asset Trust LLC 7.156% 12/15/11 (h) | 368,851 | 364,510 | ||
| 184,112,222 | |||
Diversified Financial Services - 1.3% | ||||
Bank of America Corp. 5.75% 12/1/17 | 4,590,000 | 4,464,877 | ||
Calpine Construction Finance Co. LP 8% 6/1/16 (h) | 2,835,000 | 2,806,650 | ||
CIT Group, Inc.: | ||||
4.75% 12/15/10 | 1,085,000 | 657,050 | ||
5.2% 11/3/10 | 1,265,000 | 760,833 | ||
5.4% 3/7/13 | 1,005,000 | 568,326 | ||
5.6% 4/27/11 | 740,000 | 441,570 | ||
7.625% 11/30/12 | 1,985,000 | 1,124,636 | ||
Citigroup, Inc.: | ||||
0.5194% 5/18/11 (o) | 2,811,000 | 2,689,809 | ||
5.3% 10/17/12 | 14,295,000 | 14,440,795 | ||
5.5% 4/11/13 | 13,549,000 | 13,485,984 | ||
6.125% 5/15/18 | 15,634,000 | 14,699,806 | ||
6.5% 1/18/11 | 1,307,000 | 1,350,732 | ||
6.5% 8/19/13 | 6,153,000 | 6,318,147 | ||
CME Group, Inc. 5.75% 2/15/14 | 506,000 | 553,034 | ||
GlaxoSmithKline Capital, Inc. 5.65% 5/15/18 | 8,874,000 | 9,681,410 | ||
Hilcorp Energy I LP/Hilcorp Finance Co.: | ||||
7.75% 11/1/15 (h) | 3,410,000 | 3,145,725 | ||
9% 6/1/16 (h) | 150,000 | 143,250 | ||
ILFC E-Capital Trust I 5.9% 12/21/65 (h)(o) | 2,996,000 | 1,258,320 | ||
International Lease Finance Corp.: | ||||
5.4% 2/15/12 | 2,864,000 | 2,363,914 | ||
5.65% 6/1/14 | 10,520,000 | 7,895,460 | ||
6.375% 3/25/13 | 1,503,000 | 1,179,383 | ||
6.625% 11/15/13 | 2,721,000 | 2,106,955 | ||
JPMorgan Chase & Co.: | ||||
4.65% 6/1/14 | 13,500,000 | 14,095,809 | ||
4.891% 9/1/15 (o) | 2,729,000 | 2,463,635 | ||
5.6% 6/1/11 | 2,139,000 | 2,257,631 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Diversified Financial Services - continued | ||||
JPMorgan Chase & Co.: - continued | ||||
5.75% 1/2/13 | $ 2,217,000 | $ 2,365,794 | ||
6.75% 2/1/11 | 376,000 | 400,235 | ||
Leucadia National Corp.: | ||||
7% 8/15/13 | 1,550,000 | 1,472,500 | ||
7.125% 3/15/17 | 835,000 | 759,850 | ||
NSG Holdings II, LLC 7.75% 12/15/25 (h) | 6,440,000 | 5,377,400 | ||
OAO TMK 8.5% 9/29/09 (Issued by TMK Capital SA for OAO TMK) | 1,800,000 | 1,793,250 | ||
Prime Property Funding, Inc.: | ||||
5.125% 6/1/15 (h) | 1,090,000 | 772,303 | ||
5.5% 1/15/14 (h) | 695,000 | 531,090 | ||
5.7% 4/15/17 (h) | 1,696,000 | 1,072,927 | ||
SIRENS B.V. Series 2007-2 Class A1, 2.31% 4/13/10 (h)(o) | 10,000,000 | 9,213,000 | ||
Sunwest Management, Inc. 8.385% 6/9/10 (c)(o) | 325,000 | 162,500 | ||
TMK Capital SA 10% 7/29/11 | 2,800,000 | 2,709,000 | ||
TransCapitalInvest Ltd. 5.67% 3/5/14 (h) | 3,238,000 | 3,116,575 | ||
ZFS Finance USA Trust I 6.15% 12/15/65 (h)(o) | 5,692,000 | 4,952,040 | ||
ZFS Finance USA Trust II 6.45% 12/15/65 (h)(o) | 5,755,000 | 5,006,850 | ||
ZFS Finance USA Trust IV 5.875% 5/9/62 (h)(o) | 1,673,000 | 1,340,843 | ||
ZFS Finance USA Trust V 6.5% 5/9/67 (h)(o) | 3,125,000 | 2,437,500 | ||
| 154,437,398 | |||
Insurance - 1.1% | ||||
Allstate Corp.: | ||||
5.55% 5/9/35 | 7,505,000 | 7,216,020 | ||
6.2% 5/16/14 | 6,893,000 | 7,506,215 | ||
7.45% 5/16/19 | 6,826,000 | 7,886,392 | ||
American International Group, Inc. 8.175% 5/15/68 (o) | 7,875,000 | 3,701,250 | ||
Assurant, Inc.: | ||||
5.625% 2/15/14 | 1,912,000 | 1,955,393 | ||
6.75% 2/15/34 | 1,967,000 | 1,572,797 | ||
Axis Capital Holdings Ltd. 5.75% 12/1/14 | 558,000 | 564,480 | ||
Great-West Life & Annuity Insurance Co. 7.153% 5/16/46 (h)(o) | 1,491,000 | 1,177,890 | ||
Jackson National Life Global Funding 5.375% 5/8/13 (h) | 753,000 | 750,107 | ||
Liberty Mutual Group, Inc. 6.5% 3/15/35 (h) | 594,000 | 434,927 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Insurance - continued | ||||
Massachusetts Mutual Life Insurance Co. 8.875% 6/1/39 (h) | $ 8,000,000 | $ 8,977,496 | ||
Merna Reinsurance Ltd. Series 2007-1 Class B, 2.3475% 6/30/12 (h)(o) | 7,114,000 | 6,845,091 | ||
MetLife, Inc.: | ||||
5% 6/15/15 | 1,163,000 | 1,207,549 | ||
6.125% 12/1/11 | 990,000 | 1,058,056 | ||
6.75% 6/1/16 | 7,610,000 | 8,324,533 | ||
7.717% 2/15/19 | 10,958,000 | 12,817,562 | ||
Metropolitan Life Global Funding I: | ||||
4.625% 8/19/10 (h) | 3,299,000 | 3,319,200 | ||
5.125% 4/10/13 (h) | 559,000 | 575,089 | ||
5.125% 6/10/14 (h) | 6,751,000 | 7,035,116 | ||
Monumental Global Funding II 5.65% 7/14/11 (h) | 1,652,000 | 1,688,417 | ||
Monumental Global Funding III 5.5% 4/22/13 (h) | 2,202,000 | 2,227,836 | ||
Pacific Life Global Funding 5.15% 4/15/13 (h) | 11,281,000 | 11,385,394 | ||
Pacific Life Insurance Co. 9.25% 6/15/39 (h) | 9,490,000 | 10,066,024 | ||
Prudential Financial, Inc.: | ||||
5.15% 1/15/13 | 2,167,000 | 2,183,491 | ||
5.4% 6/13/35 | 452,000 | 373,128 | ||
5.5% 3/15/16 | 425,000 | 419,730 | ||
5.7% 12/14/36 | 384,000 | 337,002 | ||
6.2% 1/15/15 | 1,180,000 | 1,236,114 | ||
7.375% 6/15/19 | 3,230,000 | 3,510,390 | ||
8.875% 6/15/68 (o) | 2,972,000 | 2,749,100 | ||
QBE Insurance Group Ltd. 5.647% 7/1/23 (h)(o) | 3,342,000 | 2,704,574 | ||
Symetra Financial Corp. 6.125% 4/1/16 (h) | 5,181,000 | 4,190,113 | ||
The Chubb Corp.: | ||||
5.75% 5/15/18 | 4,035,000 | 4,378,370 | ||
6.5% 5/15/38 | 3,390,000 | 3,860,010 | ||
The St. Paul Travelers Companies, Inc. 8.125% 4/15/10 | 1,249,000 | 1,296,446 | ||
| 135,531,302 | |||
Real Estate Investment Trusts - 1.0% | ||||
AMB Property LP 5.9% 8/15/13 | 2,580,000 | 2,403,502 | ||
Arden Realty LP 5.2% 9/1/11 | 1,339,000 | 1,385,864 | ||
AvalonBay Communities, Inc.: | ||||
4.95% 3/15/13 | 367,000 | 367,927 | ||
5.5% 1/15/12 | 3,337,000 | 3,463,763 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Real Estate Investment Trusts - continued | ||||
Brandywine Operating Partnership LP: | ||||
4.5% 11/1/09 | $ 3,087,000 | $ 3,084,336 | ||
5.625% 12/15/10 | 4,079,000 | 4,064,662 | ||
5.7% 5/1/17 | 5,943,000 | 4,976,858 | ||
5.75% 4/1/12 | 2,463,000 | 2,401,629 | ||
BRE Properties, Inc. 5.75% 9/1/09 | 611,000 | 611,000 | ||
Camden Property Trust: | ||||
4.375% 1/15/10 | 1,479,000 | 1,489,187 | ||
5.375% 12/15/13 | 656,000 | 646,268 | ||
5.875% 11/30/12 | 2,958,000 | 3,040,102 | ||
Colonial Properties Trust 6.875% 8/15/12 | 4,000,000 | 3,950,000 | ||
Colonial Realty LP 6.05% 9/1/16 | 2,000,000 | 1,747,402 | ||
CPG Partners LP 6% 1/15/13 | 1,017,000 | 1,019,894 | ||
Developers Diversified Realty Corp.: | ||||
4.625% 8/1/10 | 3,013,000 | 2,911,938 | ||
5% 5/3/10 | 2,241,000 | 2,177,761 | ||
5.25% 4/15/11 | 2,432,000 | 2,298,128 | ||
5.375% 10/15/12 | 1,286,000 | 1,168,136 | ||
Duke Realty LP: | ||||
4.625% 5/15/13 | 627,000 | 588,281 | ||
5.25% 1/15/10 | 453,000 | 454,223 | ||
5.4% 8/15/14 | 5,247,000 | 4,933,660 | ||
5.625% 8/15/11 | 2,957,000 | 2,986,795 | ||
5.875% 8/15/12 | 1,009,000 | 1,011,696 | ||
5.95% 2/15/17 | 699,000 | 629,008 | ||
6.25% 5/15/13 | 14,190,000 | 14,260,158 | ||
6.5% 1/15/18 | 3,795,000 | 3,491,389 | ||
Equity One, Inc.: | ||||
6% 9/15/17 | 854,000 | 748,031 | ||
6.25% 1/15/17 | 494,000 | 446,535 | ||
Federal Realty Investment Trust: | ||||
5.4% 12/1/13 | 413,000 | 406,479 | ||
6% 7/15/12 | 2,933,000 | 3,025,252 | ||
6.2% 1/15/17 | 620,000 | 580,332 | ||
Highwoods/Forsyth LP 5.85% 3/15/17 | 80,000 | 70,881 | ||
HMB Capital Trust V 4.2294% 12/15/36 (c)(h)(o) | 270,000 | 27 | ||
Host Hotels & Resorts LP: | ||||
6.875% 11/1/14 | 835,000 | 793,250 | ||
9% 5/15/17 (h) | 2,135,000 | 2,177,700 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Real Estate Investment Trusts - continued | ||||
HRPT Properties Trust: | ||||
5.75% 11/1/15 | $ 890,000 | $ 774,005 | ||
6.25% 6/15/17 | 1,232,000 | 1,082,004 | ||
6.65% 1/15/18 | 618,000 | 539,800 | ||
Liberty Property LP: | ||||
5.125% 3/2/15 | 848,000 | 784,079 | ||
5.5% 12/15/16 | 1,487,000 | 1,308,200 | ||
6.625% 10/1/17 | 3,785,000 | 3,491,125 | ||
Liberty Property Trust 8.5% 8/1/10 | 6,245,000 | 6,459,990 | ||
Mack-Cali Realty LP: | ||||
5.05% 4/15/10 | 811,000 | 813,418 | ||
7.75% 2/15/11 | 976,000 | 1,026,099 | ||
Omega Healthcare Investors, Inc.: | ||||
7% 4/1/14 | 5,850,000 | 5,469,750 | ||
7% 1/15/16 | 1,960,000 | 1,773,800 | ||
Reckson Operating Partnership LP 6% 3/31/16 | 3,651,000 | 2,962,633 | ||
Rouse Co.: | ||||
5.375% 11/26/13 (c) | 145,000 | 109,475 | ||
7.2% 9/15/12 (c) | 10,000 | 7,700 | ||
Senior Housing Properties Trust 8.625% 1/15/12 | 250,000 | 250,000 | ||
Simon Property Group LP: | ||||
4.6% 6/15/10 | 1,096,000 | 1,117,610 | ||
4.875% 8/15/10 | 675,000 | 691,640 | ||
5% 3/1/12 | 363,000 | 372,144 | ||
5.375% 6/1/11 | 621,000 | 638,605 | ||
5.6% 9/1/11 | 2,718,000 | 2,817,965 | ||
5.75% 5/1/12 | 1,267,000 | 1,328,790 | ||
7.75% 1/20/11 | 821,000 | 865,591 | ||
Tanger Properties LP 6.15% 11/15/15 | 24,000 | 22,574 | ||
UDR, Inc. 5.5% 4/1/14 | 2,755,000 | 2,657,789 | ||
Ventas Realty LP: | ||||
6.5% 6/1/16 | 105,000 | 97,650 | ||
6.5% 6/1/16 | 450,000 | 418,500 | ||
6.625% 10/15/14 | 2,515,000 | 2,389,250 | ||
6.75% 4/1/17 | 30,000 | 27,975 | ||
Washington (REIT) 5.95% 6/15/11 | 3,637,000 | 3,591,767 | ||
| 123,701,982 | |||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Real Estate Management & Development - 0.3% | ||||
American Real Estate Partners/American Real Estate Finance Corp.: | ||||
7.125% 2/15/13 | $ 11,615,000 | $ 11,034,250 | ||
8.125% 6/1/12 | 3,265,000 | 3,216,025 | ||
ERP Operating LP: | ||||
5.25% 9/15/14 | 1,310,000 | 1,305,208 | ||
5.375% 8/1/16 | 2,681,000 | 2,569,865 | ||
5.5% 10/1/12 | 3,655,000 | 3,814,292 | ||
5.75% 6/15/17 | 9,733,000 | 9,431,929 | ||
Forest City Enterprises, Inc. 7.625% 6/1/15 | 100,000 | 62,750 | ||
Post Apartment Homes LP: | ||||
5.45% 6/1/12 | 1,355,000 | 1,296,392 | ||
6.3% 6/1/13 | 2,397,000 | 2,344,045 | ||
Regency Centers LP: | ||||
4.95% 4/15/14 | 611,000 | 546,945 | ||
5.25% 8/1/15 | 2,133,000 | 1,916,859 | ||
5.875% 6/15/17 | 1,056,000 | 952,695 | ||
| 38,491,255 | |||
Thrifts & Mortgage Finance - 0.6% | ||||
Bank of America Corp.: | ||||
4.9% 5/1/13 | 7,817,000 | 7,891,449 | ||
5.65% 5/1/18 | 13,300,000 | 12,860,342 | ||
6.5% 8/1/16 | 9,000,000 | 9,274,410 | ||
7.375% 5/15/14 | 13,211,000 | 14,484,501 | ||
7.625% 6/1/19 | 12,000,000 | 13,212,072 | ||
Countrywide Financial Corp. 5.8% 6/7/12 | 2,916,000 | 3,025,630 | ||
Countrywide Home Loans, Inc. 4% 3/22/11 | 4,327,000 | 4,368,959 | ||
Independence Community Bank Corp.: | ||||
2.4169% 4/1/14 (o) | 4,218,000 | 3,726,540 | ||
4.9% 9/23/10 | 1,696,000 | 1,751,120 | ||
Wrightwood Capital LLC 10.5% 6/1/14 (c)(h) | 100,000 | 38,000 | ||
| 70,633,023 | |||
TOTAL FINANCIALS | 1,150,942,644 | |||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
HEALTH CARE - 1.0% | ||||
Biotechnology - 0.0% | ||||
Amgen, Inc. 5.85% 6/1/17 | $ 2,956,000 | $ 3,264,544 | ||
Health Care Equipment & Supplies - 0.1% | ||||
Biomet, Inc.: | ||||
10% 10/15/17 | 4,825,000 | 5,030,063 | ||
10.375% 10/15/17 pay-in-kind (o) | 3,155,000 | 3,257,538 | ||
11.625% 10/15/17 | 5,185,000 | 5,444,250 | ||
Inverness Medical Innovations, Inc. 9% 5/15/16 | 2,790,000 | 2,776,050 | ||
| 16,507,901 | |||
Health Care Providers & Services - 0.6% | ||||
Community Health Systems, Inc. 8.875% 7/15/15 | 7,875,000 | 7,894,688 | ||
Coventry Health Care, Inc.: | ||||
5.95% 3/15/17 | 1,747,000 | 1,557,492 | ||
6.3% 8/15/14 | 3,618,000 | 3,297,471 | ||
Express Scripts, Inc.: | ||||
5.25% 6/15/12 | 7,157,000 | 7,591,788 | ||
6.25% 6/15/14 | 4,238,000 | 4,631,685 | ||
7.25% 6/15/19 | 2,744,000 | 3,182,176 | ||
HCA, Inc.: | ||||
6.5% 2/15/16 | 3,305,000 | 2,842,300 | ||
7.875% 2/15/20 (h) | 1,855,000 | 1,820,219 | ||
8.5% 4/15/19 (h) | 3,030,000 | 3,048,938 | ||
9.125% 11/15/14 | 3,905,000 | 3,963,575 | ||
9.25% 11/15/16 | 4,905,000 | 4,954,050 | ||
9.625% 11/15/16 pay-in-kind (o) | 11,255,066 | 11,353,548 | ||
9.875% 2/15/17 (h) | 540,000 | 553,500 | ||
HealthSouth Corp. 10.75% 6/15/16 | 2,310,000 | 2,442,825 | ||
Psychiatric Solutions, Inc.: | ||||
7.75% 7/15/15 | 985,000 | 925,900 | ||
7.75% 7/15/15 (h) | 775,000 | 724,625 | ||
Rural/Metro Corp. 0% 3/15/16 (e) | 995,000 | 840,775 | ||
Select Medical Corp. 7.625% 2/1/15 | 1,090,000 | 993,263 | ||
Skilled Healthcare Group, Inc. 11% 1/15/14 | 64,000 | 65,280 | ||
Sun Healthcare Group, Inc. 9.125% 4/15/15 | 10,000 | 9,750 | ||
Tenet Healthcare Corp. 8.875% 7/1/19 (h) | 980,000 | 1,004,500 | ||
United Surgical Partners International, Inc. 9.25% 5/1/17 pay-in-kind (o) | 900,000 | 778,500 | ||
Viant Holdings, Inc. 10.125% 7/15/17 (h) | 71,000 | 66,740 | ||
| 64,543,588 | |||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
HEALTH CARE - continued | ||||
Health Care Technology - 0.1% | ||||
DJO Finance LLC / DJO Finance Corp. 10.875% 11/15/14 | $ 7,885,000 | $ 7,589,313 | ||
Pharmaceuticals - 0.2% | ||||
AstraZeneca PLC: | ||||
5.9% 9/15/17 | 3,520,000 | 3,911,466 | ||
6.45% 9/15/37 | 2,600,000 | 3,057,772 | ||
Bristol-Myers Squibb Co. 5.45% 5/1/18 | 2,932,000 | 3,195,631 | ||
Novartis Capital Corp. 4.125% 2/10/14 | 2,930,000 | 3,073,371 | ||
Roche Holdings, Inc. 5% 3/1/14 (h) | 5,943,000 | 6,428,888 | ||
Teva Pharmaceutical Finance LLC 5.55% 2/1/16 | 958,000 | 1,023,278 | ||
Valeant Pharmaceuticals International 8.375% 6/15/16 (h) | 3,170,000 | 3,233,400 | ||
| 23,923,806 | |||
TOTAL HEALTH CARE | 115,829,152 | |||
INDUSTRIALS - 1.3% | ||||
Aerospace & Defense - 0.2% | ||||
BAE Systems Holdings, Inc.: | ||||
4.75% 8/15/10 (h) | 2,640,000 | 2,684,489 | ||
6.375% 6/1/19 (h) | 8,071,000 | 8,755,945 | ||
6.4% 12/15/11 (h) | 818,000 | 876,804 | ||
BE Aerospace, Inc. 8.5% 7/1/18 | 2,405,000 | 2,368,925 | ||
Bombardier, Inc.: | ||||
6.3% 5/1/14 (h) | 340,000 | 314,500 | ||
6.75% 5/1/12 (h) | 2,140,000 | 2,091,850 | ||
7.45% 5/1/34 (h) | 205,000 | 161,950 | ||
8% 11/15/14 (h) | 915,000 | 893,269 | ||
DigitalGlobe, Inc. 10.5% 5/1/14 (h) | 1,315,000 | 1,367,600 | ||
| 19,515,332 | |||
Airlines - 0.4% | ||||
American Airlines, Inc. pass-thru trust certificates: | ||||
6.817% 5/23/11 | 3,390,000 | 2,949,300 | ||
6.977% 11/23/22 | 1,075,983 | 688,629 | ||
6.978% 10/1/12 | 395,515 | 379,694 | ||
7.024% 4/15/11 | 2,830,000 | 2,815,850 | ||
7.858% 4/1/13 | 5,433,000 | 5,188,515 | ||
8.608% 10/1/12 | 960,000 | 806,400 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
INDUSTRIALS - continued | ||||
Airlines - continued | ||||
American Airlines, Inc. pass-thru trust certificates: - continued | ||||
10.375% 7/2/19 | $ 1,905,000 | $ 1,981,200 | ||
AMR Corp. 9% 8/1/12 | 485,000 | 206,125 | ||
Continental Airlines, Inc.: | ||||
pass-thru trust certificates: | ||||
7.566% 9/15/21 | 382,027 | 324,723 | ||
7.73% 9/15/12 | 18,833 | 16,385 | ||
7.875% 7/2/18 | 1,512,164 | 998,028 | ||
9.558% 9/1/19 | 237,842 | 147,462 | ||
9.798% 4/1/21 | 761,126 | 471,898 | ||
6.648% 3/15/19 | 3,081,540 | 2,650,124 | ||
6.82% 5/1/18 | 221,731 | 184,037 | ||
6.9% 7/2/19 | 855,847 | 744,587 | ||
7.056% 3/15/11 | 1,759,000 | 1,750,205 | ||
Delta Air Lines, Inc. pass-thru trust certificates: | ||||
6.821% 8/10/22 | 364,146 | 325,911 | ||
7.57% 11/18/10 | 11,576,000 | 11,286,600 | ||
8.021% 8/10/22 | 1,770,357 | 1,239,250 | ||
8.954% 8/10/14 | 2,446,576 | 1,761,535 | ||
Northwest Airlines, Inc. pass-thru trust certificates 8.028% 11/1/17 | 1,096,013 | 745,289 | ||
U.S. Airways pass-thru trust certificates: | ||||
6.85% 7/30/19 | 2,181,448 | 1,679,715 | ||
8.36% 7/20/20 | 1,464,646 | 1,215,656 | ||
United Air Lines, Inc. pass-thru trust certificates: | ||||
Class B, 7.336% 7/2/19 | 874,635 | 524,781 | ||
6.071% 9/1/14 | 48,780 | 48,537 | ||
6.201% 3/1/10 | 31,134 | 30,667 | ||
6.602% 9/1/13 | 88,349 | 87,024 | ||
7.032% 4/1/12 | 310,921 | 307,812 | ||
7.186% 10/1/12 | 773,330 | 763,664 | ||
| 42,319,603 | |||
Building Products - 0.1% | ||||
Masco Corp. 0.9388% 3/12/10 (o) | 3,759,949 | 3,692,597 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
INDUSTRIALS - continued | ||||
Building Products - continued | ||||
Owens Corning: | ||||
6.5% 12/1/16 | $ 1,835,000 | $ 1,739,626 | ||
9% 6/15/19 | 725,000 | 746,750 | ||
| 6,178,973 | |||
Commercial Services & Supplies - 0.2% | ||||
ARAMARK Corp.: | ||||
3.9831% 2/1/15 (o) | 4,985,000 | 4,249,713 | ||
8.5% 2/1/15 | 2,775,000 | 2,684,813 | ||
Casella Waste Systems, Inc. 11% 7/15/14 (h) | 675,000 | 698,625 | ||
Cenveo Corp. 7.875% 12/1/13 | 1,090,000 | 812,050 | ||
Clean Harbors, Inc. 7.625% 8/15/16 (h) | 1,060,000 | 1,065,300 | ||
Corrections Corp. of America 6.25% 3/15/13 | 1,280,000 | 1,251,200 | ||
Iron Mountain, Inc.: | ||||
6.625% 1/1/16 | 3,100,000 | 2,929,500 | ||
7.75% 1/15/15 | 2,545,000 | 2,538,638 | ||
JohnsonDiversey, Inc. 9.625% 5/15/12 | 775,000 | 786,625 | ||
Rental Service Corp. 9.5% 12/1/14 | 2,860,000 | 2,581,150 | ||
| 19,597,614 | |||
Construction & Engineering - 0.0% | ||||
Toys 'R' Us Property Co. I LLC 10.75% 7/15/17 (h) | 3,495,000 | 3,547,425 | ||
Electrical Equipment - 0.0% | ||||
Sensus Metering Systems, Inc. 8.625% 12/15/13 | 4,885,000 | 4,787,300 | ||
Industrial Conglomerates - 0.2% | ||||
Covidien International Finance SA: | ||||
5.15% 10/15/10 | 2,528,000 | 2,632,058 | ||
5.45% 10/15/12 | 618,000 | 673,560 | ||
6% 10/15/17 | 2,929,000 | 3,224,603 | ||
General Electric Co. 5.25% 12/6/17 | 17,730,000 | 18,101,975 | ||
Sequa Corp.: | ||||
11.75% 12/1/15 (h) | 1,415,000 | 877,300 | ||
13.5% 12/1/15 pay-in-kind (h) | 805,100 | 390,876 | ||
| 25,900,372 | |||
Machinery - 0.1% | ||||
Atlas Copco AB 5.6% 5/22/17 (h) | 611,000 | 622,396 | ||
Case Corp. 7.25% 1/15/16 | 1,705,000 | 1,624,013 | ||
Case New Holland, Inc. 7.75% 9/1/13 (h) | 2,355,000 | 2,319,675 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
INDUSTRIALS - continued | ||||
Machinery - continued | ||||
RBS Global, Inc. / Rexnord Corp.: | ||||
9.5% 8/1/14 | $ 885,000 | $ 805,350 | ||
9.5% 8/1/14 (h) | 652,000 | 596,580 | ||
11.75% 8/1/16 | 1,070,000 | 898,800 | ||
Terex Corp. 8% 11/15/17 | 2,830,000 | 2,405,500 | ||
| 9,272,314 | |||
Marine - 0.0% | ||||
Navios Maritime Holdings, Inc. 9.5% 12/15/14 | 3,070,000 | 2,686,250 | ||
Professional Services - 0.0% | ||||
Altegrity, Inc.: | ||||
10.5% 11/1/15 (h) | 1,250,000 | 1,034,375 | ||
11.75% 5/1/16 (h) | 950,000 | 724,375 | ||
FTI Consulting, Inc.: | ||||
7.625% 6/15/13 | 2,105,000 | 2,062,900 | ||
7.75% 10/1/16 | 765,000 | 738,225 | ||
| 4,559,875 | |||
Road & Rail - 0.1% | ||||
Avis Budget Car Rental LLC/Avis Budget Finance, Inc.: | ||||
7.625% 5/15/14 | 2,140,000 | 1,712,000 | ||
7.75% 5/15/16 | 3,495,000 | 2,704,256 | ||
Hertz Corp.: | ||||
8.875% 1/1/14 | 6,310,000 | 5,994,500 | ||
10.5% 1/1/16 | 2,385,000 | 2,343,263 | ||
Kansas City Southern Railway Co. 8% 6/1/15 | 2,410,000 | 2,361,800 | ||
| 15,115,819 | |||
Trading Companies & Distributors - 0.0% | ||||
VWR Funding, Inc. 11.25% 7/15/15 pay-in-kind (f) | 2,515,000 | 2,175,475 | ||
TOTAL INDUSTRIALS | 155,656,352 | |||
INFORMATION TECHNOLOGY - 0.5% | ||||
Communications Equipment - 0.1% | ||||
Cisco Systems, Inc. 4.95% 2/15/19 | 766,000 | 799,473 | ||
Lucent Technologies, Inc.: | ||||
6.45% 3/15/29 | 3,775,000 | 2,567,000 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
INFORMATION TECHNOLOGY - continued | ||||
Communications Equipment - continued | ||||
Lucent Technologies, Inc.: - continued | ||||
6.5% 1/15/28 | $ 1,940,000 | $ 1,319,200 | ||
Nokia Corp. 5.375% 5/15/19 | 7,297,000 | 7,647,562 | ||
| 12,333,235 | |||
Computers & Peripherals - 0.0% | ||||
Seagate Technology HDD Holdings: | ||||
6.375% 10/1/11 | 1,445,000 | 1,416,100 | ||
6.8% 10/1/16 | 4,400,000 | 4,004,000 | ||
Seagate Technology International 10% 5/1/14 (h) | 1,455,000 | 1,556,850 | ||
| 6,976,950 | |||
Electronic Equipment & Components - 0.1% | ||||
Jabil Circuit, Inc.: | ||||
7.75% 7/15/16 | 2,915,000 | 2,867,631 | ||
8.25% 3/15/18 | 2,360,000 | 2,324,600 | ||
Tyco Electronics Group SA: | ||||
5.95% 1/15/14 | 2,950,000 | 2,996,114 | ||
6% 10/1/12 | 3,877,000 | 4,011,164 | ||
6.55% 10/1/17 | 2,360,000 | 2,345,120 | ||
7.125% 10/1/37 | 1,895,000 | 1,895,072 | ||
| 16,439,701 | |||
Internet Software & Services - 0.0% | ||||
Terremark Worldwide, Inc. 12% 6/15/17 (h) | 3,465,000 | 3,638,250 | ||
IT Services - 0.1% | ||||
Ceridian Corp. 11.25% 11/15/15 | 1,795,000 | 1,525,750 | ||
First Data Corp. 9.875% 9/24/15 | 4,450,000 | 3,782,500 | ||
Iron Mountain, Inc. 8% 6/15/20 | 1,205,000 | 1,168,850 | ||
SunGard Data Systems, Inc. 10.25% 8/15/15 | 990,000 | 980,100 | ||
| 7,457,200 | |||
Office Electronics - 0.1% | ||||
Xerox Capital Trust I 8% 2/1/27 | 7,485,000 | 6,010,305 | ||
Xerox Corp. 5.5% 5/15/12 | 1,602,000 | 1,670,075 | ||
| 7,680,380 | |||
Semiconductors & Semiconductor Equipment - 0.1% | ||||
Amkor Technology, Inc.: | ||||
7.75% 5/15/13 | 2,930,000 | 2,871,400 | ||
9.25% 6/1/16 | 2,610,000 | 2,616,525 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
INFORMATION TECHNOLOGY - continued | ||||
Semiconductors & Semiconductor Equipment - continued | ||||
Avago Technologies Finance Ltd. 10.125% 12/1/13 | $ 1,020,000 | $ 1,065,900 | ||
National Semiconductor Corp. 0.8794% 6/15/10 (o) | 3,100,704 | 2,986,896 | ||
| 9,540,721 | |||
TOTAL INFORMATION TECHNOLOGY | 64,066,437 | |||
MATERIALS - 1.8% | ||||
Chemicals - 0.5% | ||||
Ashland, Inc. 9.125% 6/1/17 (h) | 1,095,000 | 1,149,750 | ||
Berry Plastics Corp. 5.2594% 2/15/15 (o) | 1,975,000 | 1,767,625 | ||
Chemtura Corp. 6.875% 6/1/16 (c) | 595,000 | 541,450 | ||
Dow Chemical Co.: | ||||
4.85% 8/15/12 | 9,460,000 | 9,689,405 | ||
7.6% 5/15/14 | 15,028,000 | 16,227,385 | ||
8.55% 5/15/19 | 10,360,000 | 11,284,682 | ||
E.I. du Pont de Nemours & Co. 5% 1/15/13 | 254,000 | 274,927 | ||
Huntsman International LLC 7.875% 11/15/14 | 480,000 | 424,800 | ||
Inergy LP/Inergy Finance Corp. 8.75% 3/1/15 (h) | 2,130,000 | 2,177,925 | ||
JohnsonDiversey Holdings, Inc. 10.67% 5/15/13 | 480,000 | 448,800 | ||
Lubrizol Corp. 8.875% 2/1/19 | 928,000 | 1,144,067 | ||
Momentive Performance Materials, Inc. 9.75% 12/1/14 | 2,675,000 | 1,685,250 | ||
Nalco Co.: | ||||
7.75% 11/15/11 | 386,000 | 386,000 | ||
8.25% 5/15/17 (h) | 2,595,000 | 2,692,313 | ||
8.875% 11/15/13 | 1,270,000 | 1,279,525 | ||
NOVA Chemicals Corp.: | ||||
4.5375% 11/15/13 (o) | 2,720,000 | 2,393,600 | ||
6.5% 1/15/12 | 4,240,000 | 4,070,400 | ||
Pliant Corp. 11.125% 6/15/49 (c) | 60,320 | 7,238 | ||
| 57,645,142 | |||
Construction Materials - 0.0% | ||||
CRH America, Inc. 6% 9/30/16 | 1,833,000 | 1,799,260 | ||
Containers & Packaging - 0.2% | ||||
Ball Corp. 7.125% 9/1/16 | 2,355,000 | 2,366,775 | ||
BWAY Corp. 10% 4/15/14 (h) | 1,600,000 | 1,664,000 | ||
Cascades, Inc. 7.25% 2/15/13 | 1,105,000 | 1,041,463 | ||
Crown Americas LLC/Capital Corp. II 7.625% 5/15/17 (h) | 1,320,000 | 1,310,100 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
MATERIALS - continued | ||||
Containers & Packaging - continued | ||||
Crown Americas LLC/Crown Americas Capital Corp. 7.75% 11/15/15 | $ 700,000 | $ 691,250 | ||
Crown Cork & Seal, Inc.: | ||||
7.375% 12/15/26 | 4,250,000 | 3,655,000 | ||
8% 4/15/23 | 335,000 | 309,875 | ||
Graphic Packaging International, Inc.: | ||||
8.5% 8/15/11 | 1,520,000 | 1,520,000 | ||
9.5% 6/15/17 (h) | 1,660,000 | 1,705,650 | ||
Greif, Inc. 6.75% 2/1/17 | 4,050,000 | 3,786,750 | ||
Owens-Brockway Glass Container, Inc. 7.375% 5/15/16 (h) | 2,130,000 | 2,106,038 | ||
Owens-Illinois, Inc. 7.8% 5/15/18 | 985,000 | 970,225 | ||
Pactiv Corp.: | ||||
5.875% 7/15/12 | 1,713,000 | 1,824,965 | ||
6.4% 1/15/18 | 1,749,000 | 1,729,502 | ||
Rock-Tenn Co.: | ||||
9.25% 3/15/16 | 2,215,000 | 2,325,750 | ||
9.25% 3/15/16 (h) | 505,000 | 530,250 | ||
Vitro SAB de CV 8.625% 2/1/12 (c) | 5,585,000 | 2,220,038 | ||
| 29,757,631 | |||
Metals & Mining - 1.0% | ||||
Anglo American Capital PLC: | ||||
9.375% 4/8/14 (h) | 5,953,000 | 6,786,420 | ||
9.375% 4/8/19 (h) | 8,140,000 | 9,523,800 | ||
BHP Billiton Financial USA Ltd.: | ||||
5.125% 3/29/12 | 1,975,000 | 2,075,277 | ||
5.5% 4/1/14 | 9,113,000 | 9,922,398 | ||
6.5% 4/1/19 | 9,113,000 | 10,389,257 | ||
Compass Minerals International, Inc. 8% 6/1/19 (h) | 2,580,000 | 2,560,650 | ||
Corporacion Nacional del Cobre (Codelco) 6.375% 11/30/12 (h) | 2,002,000 | 2,187,085 | ||
Evraz Group SA 8.875% 4/24/13 (h) | 2,675,000 | 2,444,281 | ||
FMG Finance Property Ltd.: | ||||
10% 9/1/13 (h) | 5,580,000 | 5,831,100 | ||
10.625% 9/1/16 (h) | 789,000 | 844,230 | ||
Freeport-McMoRan Copper & Gold, Inc.: | ||||
4.995% 4/1/15 (o) | 105,000 | 100,275 | ||
8.25% 4/1/15 | 5,665,000 | 5,912,844 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
MATERIALS - continued | ||||
Metals & Mining - continued | ||||
Freeport-McMoRan Copper & Gold, Inc.: - continued | ||||
8.375% 4/1/17 | $ 5,545,000 | $ 5,801,456 | ||
Metals USA, Inc. 11.125% 12/1/15 | 790,000 | 718,900 | ||
Novelis, Inc. 11.5% 2/15/15 (h) | 510,000 | 504,900 | ||
Rio Tinto Finance (USA) Ltd.: | ||||
5.875% 7/15/13 | 3,264,000 | 3,467,840 | ||
6.5% 7/15/18 | 9,474,000 | 10,199,168 | ||
7.125% 7/15/28 | 8,900,000 | 9,414,865 | ||
8.95% 5/1/14 | 7,108,000 | 8,284,225 | ||
Steel Dynamics, Inc.: | ||||
6.75% 4/1/15 | 4,045,000 | 3,771,963 | ||
7.375% 11/1/12 | 1,830,000 | 1,788,825 | ||
Teck Resources Ltd.: | ||||
10.25% 5/15/16 | 1,420,000 | 1,563,704 | ||
10.75% 5/15/19 | 1,420,000 | 1,618,800 | ||
Tube City IMS Corp. 9.75% 2/1/15 | 1,700,000 | 1,224,000 | ||
United States Steel Corp. 6.65% 6/1/37 | 2,648,000 | 2,205,834 | ||
Vale Overseas Ltd. 6.25% 1/23/17 | 5,007,000 | 5,306,594 | ||
| 114,448,691 | |||
Paper & Forest Products - 0.1% | ||||
Domtar Corp.: | ||||
5.375% 12/1/13 | 2,260,000 | 2,045,300 | ||
7.125% 8/15/15 | 2,910,000 | 2,808,150 | ||
10.75% 6/1/17 | 2,420,000 | 2,625,700 | ||
Georgia-Pacific Corp.: | ||||
7% 1/15/15 (h) | 4,190,000 | 4,022,400 | ||
8.875% 5/15/31 | 1,235,000 | 1,179,425 | ||
Georgia-Pacific LLC 8.25% 5/1/16 (h) | 534,198 | 540,875 | ||
Verso Paper Holdings LLC/ Verso Paper, Inc. 11.5% 7/1/14 (h) | 2,955,000 | 2,910,675 | ||
| 16,132,525 | |||
TOTAL MATERIALS | 219,783,249 | |||
TELECOMMUNICATION SERVICES - 2.8% | ||||
Diversified Telecommunication Services - 1.9% | ||||
Alestra SA de RL de CV 11.75% 8/11/14 (h) | 435,000 | 466,538 | ||
AT&T Broadband Corp. 8.375% 3/15/13 | 2,585,000 | 2,987,340 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
TELECOMMUNICATION SERVICES - continued | ||||
Diversified Telecommunication Services - continued | ||||
AT&T, Inc.: | ||||
5.8% 2/15/19 | $ 8,788,000 | $ 9,434,612 | ||
6.3% 1/15/38 | 40,171,000 | 42,173,404 | ||
6.7% 11/15/13 | 1,173,000 | 1,328,638 | ||
6.8% 5/15/36 | 11,484,000 | 12,773,711 | ||
BellSouth Capital Funding Corp. 7.875% 2/15/30 | 1,060,000 | 1,273,349 | ||
British Telecommunications PLC 9.125% 12/15/10 (f) | 2,717,000 | 2,927,266 | ||
Cincinnati Bell, Inc. 8.375% 1/15/14 | 4,195,000 | 4,048,175 | ||
Citizens Communications Co.: | ||||
7.875% 1/15/27 | 925,000 | 763,125 | ||
9% 8/15/31 | 2,260,000 | 2,082,025 | ||
Deutsche Telekom International Financial BV: | ||||
5.25% 7/22/13 | 2,448,000 | 2,607,798 | ||
6.75% 8/20/18 | 3,629,000 | 4,096,927 | ||
Frontier Communications Corp. 8.25% 5/1/14 | 2,245,000 | 2,228,163 | ||
Global Village Telecom Finance LLC 12% 6/30/11 (h) | 2,204,150 | 2,259,254 | ||
Intelsat Bermuda Ltd. 12.5% 2/4/17 pay-in-kind (f)(h) | 1,721,250 | 1,435,690 | ||
Intelsat Ltd.: | ||||
6.5% 11/1/13 | 3,700,000 | 3,293,000 | ||
7.625% 4/15/12 | 6,930,000 | 6,618,150 | ||
11.25% 6/15/16 | 1,035,000 | 1,076,400 | ||
Qwest Capital Funding, Inc. 7.25% 2/15/11 | 1,525,000 | 1,502,125 | ||
Qwest Communications International, Inc.: | ||||
7.5% 2/15/14 | 370,000 | 357,050 | ||
7.5% 2/15/14 | 1,310,000 | 1,264,150 | ||
Qwest Corp.: | ||||
3.8794% 6/15/13 (o) | 1,870,000 | 1,729,750 | ||
7.5% 10/1/14 | 1,730,000 | 1,712,700 | ||
7.625% 6/15/15 | 1,515,000 | 1,503,638 | ||
8.375% 5/1/16 (h) | 3,210,000 | 3,266,175 | ||
SBC Communications, Inc.: | ||||
5.1% 9/15/14 | 2,169,000 | 2,344,492 | ||
5.875% 2/1/12 | 2,733,000 | 2,947,057 | ||
5.875% 8/15/12 | 978,000 | 1,069,656 | ||
Sistema Capital SA 8.875% 1/28/11 (Reg. S) | 1,535,000 | 1,558,025 | ||
Sprint Capital Corp.: | ||||
6.875% 11/15/28 | 17,440,000 | 12,687,600 | ||
7.625% 1/30/11 | 2,350,000 | 2,352,938 | ||
8.375% 3/15/12 | 1,510,000 | 1,511,888 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
TELECOMMUNICATION SERVICES - continued | ||||
Diversified Telecommunication Services - continued | ||||
Sprint Capital Corp.: - continued | ||||
8.75% 3/15/32 | $ 165,000 | $ 136,950 | ||
Telecom Italia Capital SA: | ||||
4% 1/15/10 | 4,890,000 | 4,925,770 | ||
4.95% 9/30/14 | 3,208,000 | 3,310,919 | ||
5.25% 10/1/15 | 1,177,000 | 1,220,908 | ||
6.999% 6/4/18 | 1,793,000 | 1,970,866 | ||
7.175% 6/18/19 | 10,000,000 | 11,132,920 | ||
7.2% 7/18/36 | 10,636,000 | 11,670,245 | ||
Telefonica Emisiones SAU: | ||||
0.8094% 2/4/13 (o) | 2,403,000 | 2,349,786 | ||
6.421% 6/20/16 | 1,162,000 | 1,302,134 | ||
Telefonos de Mexico SA de CV 4.75% 1/27/10 | 6,202,000 | 6,264,020 | ||
Time Warner Telecom Holdings, Inc. 9.25% 2/15/14 | 3,795,000 | 3,861,413 | ||
U.S. West Communications: | ||||
6.875% 9/15/33 | 1,540,000 | 1,201,200 | ||
7.5% 6/15/23 | 3,760,000 | 3,252,400 | ||
Verizon Communications, Inc.: | ||||
6.1% 4/15/18 | 6,000,000 | 6,522,288 | ||
6.25% 4/1/37 | 2,348,000 | 2,481,005 | ||
6.4% 2/15/38 | 7,621,000 | 8,238,392 | ||
6.9% 4/15/38 | 6,295,000 | 7,203,469 | ||
Verizon Global Funding Corp. 7.25% 12/1/10 | 2,741,000 | 2,919,335 | ||
Verizon New England, Inc. 6.5% 9/15/11 | 891,000 | 959,745 | ||
Verizon New York, Inc. 6.875% 4/1/12 | 2,653,000 | 2,890,526 | ||
Wind Acquisition Finance SA 11.75% 7/15/17 (h) | 4,535,000 | 4,920,475 | ||
| 228,415,575 | |||
Wireless Telecommunication Services - 0.9% | ||||
America Movil SAB de CV 5.625% 11/15/17 | 1,809,000 | 1,814,013 | ||
Cleveland Unlimited, Inc. 11.5% 12/15/10 (h)(o) | 1,260,000 | 1,247,400 | ||
Cricket Communications, Inc.: | ||||
7.75% 5/15/16 (h) | 2,905,000 | 2,817,850 | ||
9.375% 11/1/14 | 2,290,000 | 2,158,325 | ||
10% 7/15/15 | 2,130,000 | 2,050,125 | ||
Digicel Group Ltd.: | ||||
8.875% 1/15/15 (h) | 10,810,000 | 9,593,875 | ||
9.125% 1/15/15 pay-in-kind (h)(o) | 3,220,000 | 2,865,800 | ||
9.25% 9/1/12 (h) | 4,765,000 | 4,765,000 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
TELECOMMUNICATION SERVICES - continued | ||||
Wireless Telecommunication Services - continued | ||||
Digicel Group Ltd.: - continued | ||||
12% 4/1/14 (h) | $ 3,545,000 | $ 3,757,700 | ||
Intelsat Jackson Holdings Ltd.: | ||||
9.5% 6/15/16 | 5,450,000 | 5,572,625 | ||
11.5% 6/15/16 | 6,575,000 | 6,640,750 | ||
Intelsat Subsidiary Holding Co. Ltd.: | ||||
8.875% 1/15/15 (h) | 550,000 | 552,750 | ||
8.875% 1/15/15 | 6,110,000 | 6,140,550 | ||
MetroPCS Wireless, Inc.: | ||||
9.25% 11/1/14 | 5,620,000 | 5,545,825 | ||
Millicom International Cellular SA 10% 12/1/13 | 1,065,000 | 1,103,606 | ||
Mobile Telesystems Finance SA 8% 1/28/12 (h) | 4,523,000 | 4,664,344 | ||
Nextel Communications, Inc.: | ||||
5.95% 3/15/14 | 3,785,000 | 3,179,400 | ||
6.875% 10/31/13 | 9,105,000 | 8,148,975 | ||
7.375% 8/1/15 | 3,055,000 | 2,608,206 | ||
NII Capital Corp. 10% 8/15/16 (h) | 3,145,000 | 3,176,450 | ||
Orascom Telecom Finance SCA 7.875% 2/8/14 (h) | 3,800,000 | 3,344,000 | ||
Pakistan Mobile Communications Ltd. 8.625% 11/13/13 (h) | 3,170,000 | 2,694,500 | ||
Sprint Nextel Corp.: | ||||
6% 12/1/16 | 6,370,000 | 5,350,800 | ||
8.375% 8/15/17 | 3,140,000 | 3,010,475 | ||
Telecom Personal SA 9.25% 12/22/10 (h) | 2,475,000 | 2,555,438 | ||
Verizon Wireless Capital LLC: | ||||
5.55% 2/1/14 (h) | 2,374,000 | 2,567,215 | ||
8.5% 11/15/18 (h) | 923,000 | 1,162,617 | ||
Vimpel Communications 8.375% 4/30/13 (Issued by VIP Finance Ireland Ltd. for Vimpel Communications) (h) | 4,300,000 | 4,289,250 | ||
Vodafone Group PLC: | ||||
5% 12/16/13 | 2,296,000 | 2,437,491 | ||
5.5% 6/15/11 | 2,760,000 | 2,929,318 | ||
7.75% 2/15/10 | 1,848,000 | 1,904,046 | ||
| 110,648,719 | |||
TOTAL TELECOMMUNICATION SERVICES | 339,064,294 | |||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
UTILITIES - 2.6% | ||||
Electric Utilities - 1.3% | ||||
AmerenUE 6.4% 6/15/17 | $ 2,987,000 | $ 3,273,573 | ||
Cleveland Electric Illuminating Co.: | ||||
5.65% 12/15/13 | 4,113,000 | 4,337,689 | ||
8.875% 11/15/18 | 831,000 | 1,044,933 | ||
Commonwealth Edison Co.: | ||||
5.4% 12/15/11 | 3,665,000 | 3,913,648 | ||
5.8% 3/15/18 | 10,485,000 | 11,287,144 | ||
6.15% 9/15/17 | 5,140,000 | 5,651,476 | ||
Duke Energy Carolinas LLC: | ||||
5.25% 1/15/18 | 4,710,000 | 5,004,045 | ||
6.05% 4/15/38 | 1,867,000 | 2,091,585 | ||
Edison Mission Energy: | ||||
7% 5/15/17 | 1,190,000 | 908,863 | ||
7.2% 5/15/19 | 4,075,000 | 2,934,000 | ||
7.625% 5/15/27 | 2,215,000 | 1,428,675 | ||
EDP Finance BV: | ||||
5.375% 11/2/12 (h) | 1,993,000 | 2,130,045 | ||
6% 2/2/18 (h) | 9,619,000 | 10,374,640 | ||
Exelon Corp.: | ||||
4.9% 6/15/15 | 6,607,000 | 6,709,554 | ||
6.75% 5/1/11 | 665,000 | 710,901 | ||
FirstEnergy Corp. 6.45% 11/15/11 | 1,973,000 | 2,155,503 | ||
FirstEnergy Solutions Corp.: | ||||
4.8% 2/15/15 (h) | 2,432,000 | 2,485,725 | ||
6.05% 8/15/21 (h) | 5,664,000 | 5,725,732 | ||
6.8% 8/15/39 (h) | 4,340,000 | 4,433,002 | ||
Illinois Power Co. 6.125% 11/15/17 | 3,112,000 | 3,269,900 | ||
Intergen NV 9% 6/30/17 (h) | 6,405,000 | 6,292,913 | ||
IPALCO Enterprises, Inc. 7.25% 4/1/16 (h) | 4,440,000 | 4,306,800 | ||
Majapahit Holding BV: | ||||
7.75% 10/17/16 | 840,000 | 842,100 | ||
8% 8/7/19 (h) | 635,000 | 640,588 | ||
Mirant Americas Generation LLC: | ||||
8.5% 10/1/21 | 3,570,000 | 2,998,800 | ||
9.125% 5/1/31 | 2,785,000 | 2,144,450 | ||
National Power Corp. 6.875% 11/2/16 (h) | 1,490,000 | 1,504,900 | ||
Nevada Power Co.: | ||||
6.5% 5/15/18 | 790,000 | 861,005 | ||
6.5% 8/1/18 | 1,570,000 | 1,713,878 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
UTILITIES - continued | ||||
Electric Utilities - continued | ||||
Oncor Electric Delivery Co. 6.375% 5/1/12 | $ 2,731,000 | $ 2,973,988 | ||
Oncor Electric Delivery Co. LLC 5.95% 9/1/13 | 3,617,000 | 3,911,040 | ||
Pennsylvania Electric Co. 6.05% 9/1/17 | 764,000 | 813,691 | ||
Pepco Holdings, Inc.: | ||||
4% 5/15/10 | 2,231,000 | 2,254,323 | ||
6.45% 8/15/12 | 3,730,000 | 3,968,354 | ||
PPL Capital Funding, Inc. 6.7% 3/30/67 (o) | 8,250,000 | 6,435,000 | ||
Progress Energy, Inc. 7.1% 3/1/11 | 3,385,000 | 3,600,171 | ||
Sierra Pacific Power Co. 5.45% 9/1/13 | 1,560,000 | 1,634,526 | ||
Texas Competitive Electric Holdings Co. LLC: | ||||
Series A, 10.25% 11/1/15 | 4,070,000 | 2,767,600 | ||
Series B, 10.25% 11/1/15 | 5,090,000 | 3,461,200 | ||
11.25% 11/1/16 pay-in-kind | 3,953,031 | 2,223,251 | ||
Virginia Electric & Power Co. 5.4% 4/30/18 | 12,750,000 | 13,516,696 | ||
West Penn Power Co. 5.95% 12/15/17 (h) | 314,000 | 325,361 | ||
Wisconsin Electric Power Co. 6.25% 12/1/15 | 3,012,000 | 3,420,367 | ||
| 152,481,635 | |||
Gas Utilities - 0.1% | ||||
Dynegy Holdings, Inc.: | ||||
8.375% 5/1/16 | 1,365,000 | 1,112,475 | ||
8.75% 2/15/12 | 190,000 | 189,050 | ||
Intergas Finance BV: | ||||
6.375% 5/14/17 (Reg. S) | 1,700,000 | 1,385,500 | ||
6.875% 11/4/11 (Reg. S) | 3,650,000 | 3,522,250 | ||
Southern Natural Gas Co. 5.9% 4/1/17 (h) | 442,000 | 452,786 | ||
Texas Eastern Transmission Corp. 7.3% 12/1/10 | 3,100,000 | 3,192,842 | ||
Transportadora de Gas del Sur SA 7.875% 5/14/17 (h) | 2,855,000 | 2,312,550 | ||
| 12,167,453 | |||
Independent Power Producers & Energy Traders - 0.6% | ||||
AES Corp.: | ||||
7.75% 3/1/14 | 5,400,000 | 5,238,000 | ||
7.75% 10/15/15 | 3,210,000 | 3,121,725 | ||
8% 10/15/17 | 1,615,000 | 1,558,475 | ||
9.75% 4/15/16 (h) | 1,475,000 | 1,534,000 | ||
Allegheny Energy Supply Co. LLC 7.8% 3/15/11 | 9,060,000 | 9,628,134 | ||
Constellation Energy Group, Inc. 7% 4/1/12 | 6,444,000 | 6,916,693 | ||
Duke Capital LLC 5.668% 8/15/14 | 2,055,000 | 2,143,301 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
UTILITIES - continued | ||||
Independent Power Producers & Energy Traders - continued | ||||
Energy Future Holdings: | ||||
10.875% 11/1/17 | $ 4,420,000 | $ 3,182,400 | ||
12% 11/1/17 pay-in-kind (o) | 7,190,300 | 4,199,135 | ||
Exelon Generation Co. LLC 5.35% 1/15/14 | 1,528,000 | 1,597,981 | ||
Mirant North America LLC 7.375% 12/31/13 | 2,000,000 | 1,915,000 | ||
NRG Energy, Inc.: | ||||
7.25% 2/1/14 | 3,820,000 | 3,667,200 | ||
7.375% 2/1/16 | 3,120,000 | 2,932,800 | ||
7.375% 1/15/17 | 4,070,000 | 3,876,675 | ||
8.5% 6/15/19 | 2,750,000 | 2,640,000 | ||
PPL Energy Supply LLC 6.5% 5/1/18 | 6,895,000 | 7,266,785 | ||
RRI Energy, Inc.: | ||||
6.75% 12/15/14 | 1,744,000 | 1,744,000 | ||
7.625% 6/15/14 | 5,495,000 | 5,027,925 | ||
7.875% 6/15/17 | 745,000 | 661,188 | ||
Tenaska Alabama Partners LP 7% 6/30/21 (h) | 432,502 | 379,521 | ||
| 69,230,938 | |||
Multi-Utilities - 0.6% | ||||
Aquila, Inc. 11.875% 7/1/12 (o) | 155,000 | 175,925 | ||
Dominion Resources, Inc.: | ||||
4.75% 12/15/10 | 3,931,000 | 4,052,987 | ||
6.3% 9/30/66 (o) | 3,991,000 | 2,913,430 | ||
7.5% 6/30/66 (o) | 14,890,000 | 12,209,800 | ||
DTE Energy Co. 7.05% 6/1/11 | 984,000 | 1,045,469 | ||
KeySpan Corp. 7.625% 11/15/10 | 494,000 | 521,723 | ||
MidAmerican Energy Holdings, Co.: | ||||
5.75% 4/1/18 | 7,846,000 | 8,364,150 | ||
5.875% 10/1/12 | 2,921,000 | 3,168,210 | ||
6.5% 9/15/37 | 11,505,000 | 12,778,396 | ||
National Grid PLC 6.3% 8/1/16 | 1,477,000 | 1,596,823 | ||
NiSource Finance Corp.: | ||||
5.25% 9/15/17 | 843,000 | 783,238 | ||
5.4% 7/15/14 | 1,347,000 | 1,347,973 | ||
5.45% 9/15/20 | 1,934,000 | 1,753,119 | ||
6.4% 3/15/18 | 1,326,000 | 1,332,676 | ||
6.8% 1/15/19 | 10,000,000 | 10,141,370 | ||
7.875% 11/15/10 | 1,022,000 | 1,074,823 | ||
10.75% 3/15/16 | 5,913,000 | 6,925,187 | ||
Corporate Bonds - continued | ||||
| Principal Amount (d) | Value | ||
Nonconvertible Bonds - continued | ||||
UTILITIES - continued | ||||
Multi-Utilities - continued | ||||
Wisconsin Energy Corp. 6.25% 5/15/67 (o) | $ 6,172,000 | $ 4,875,880 | ||
WPS Resources Corp. 6.11% 12/1/66 (o) | 882,000 | 643,860 | ||
| 75,705,039 | |||
TOTAL UTILITIES | 309,585,065 | |||
TOTAL NONCONVERTIBLE BONDS | 3,348,951,422 | |||
TOTAL CORPORATE BONDS (Cost $3,198,120,247) | 3,356,947,773 | |||
U.S. Government and Government Agency Obligations - 20.9% | ||||
| ||||
U.S. Government Agency Obligations - 1.9% | ||||
Fannie Mae: | ||||
4.375% 7/17/13 (l) | 8,745,000 | 9,414,071 | ||
4.75% 11/19/12 | 24,650,000 | 26,899,313 | ||
5% 2/16/12 | 7,340,000 | 7,959,313 | ||
Federal Home Loan Bank: | ||||
1.75% 8/22/12 | 67,240,000 | 67,077,750 | ||
3.625% 5/29/13 | 15,625,000 | 16,420,313 | ||
Freddie Mac: | ||||
2.125% 3/23/12 | 665,000 | 674,716 | ||
3% 7/28/14 | 50,000,000 | 50,727,400 | ||
5.25% 7/18/11 (g) | 50,000,000 | 53,954,150 | ||
Tennessee Valley Authority 5.375% 4/1/56 | 385,000 | 395,172 | ||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | 233,522,198 | |||
U.S. Treasury Inflation Protected Obligations - 5.4% | ||||
U.S. Treasury Inflation-Indexed Notes: | ||||
1.625% 1/15/18 | 83,990,880 | 83,072,188 | ||
2% 1/15/14 (l) | 329,318,552 | 335,493,275 | ||
2% 7/15/14 | 74,358,050 | 75,868,411 | ||
2.625% 7/15/17 | 139,780,427 | 148,735,041 | ||
TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS | 643,168,915 | |||
U.S. Government and Government Agency Obligations - continued | ||||
| Principal Amount (d) | Value | ||
U.S. Treasury Obligations - 13.3% | ||||
U.S. Treasury Bonds: | ||||
4.25% 5/15/39 | $ 88,478,000 | $ 89,459,575 | ||
4.5% 5/15/38 | 20,000,000 | 21,062,500 | ||
U.S. Treasury Notes: | ||||
0.875% 3/31/11 | 21,090,000 | 21,136,967 | ||
1% 8/31/11 | 400,000,000 | 400,156,355 | ||
1.25% 11/30/10 | 21,871,000 | 22,064,930 | ||
1.75% 8/15/12 | 141,454,000 | 142,570,214 | ||
1.75% 3/31/14 | 125,000,000 | 122,382,750 | ||
1.875% 6/15/12 (g) | 94,350,000 | 95,580,984 | ||
1.875% 4/30/14 | 50,000,000 | 49,128,900 | ||
2.625% 7/31/14 | 300,000,000 | 303,562,500 | ||
2.75% 2/15/19 | 300,000,000 | 283,992,300 | ||
4.5% 9/30/11 (l) | 41,855,000 | 44,824,110 | ||
TOTAL U.S. TREASURY OBLIGATIONS | 1,595,922,085 | |||
Other Government Related - 0.3% | ||||
Citigroup Funding, Inc. 2.125% 7/12/12 (FDIC Guaranteed) (i) | 32,000,000 | 32,269,280 | ||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $2,467,200,382) | 2,504,882,478 | |||
U.S. Government Agency - Mortgage Securities - 12.4% | ||||
| ||||
Fannie Mae - 11.9% | ||||
3.334% 4/1/36 (o) | 2,142,068 | 2,186,248 | ||
3.75% 10/1/33 (o) | 1,355,101 | 1,379,593 | ||
4% 9/1/39 (j) | 16,000,000 | 15,639,738 | ||
4% 9/14/39 (j) | 19,000,000 | 18,572,188 | ||
4.275% 6/1/36 (o) | 369,031 | 383,014 | ||
4.5% 9/17/24 (j) | 12,000,000 | 12,332,974 | ||
4.5% 9/17/24 (j) | 23,000,000 | 23,638,199 | ||
4.5% 7/1/39 | 128,000,058 | 128,795,131 | ||
4.5% 9/1/39 (j)(k) | 31,000,000 | 31,144,116 | ||
5% 8/1/18 to 9/1/38 | 167,030,544 | 172,654,902 | ||
5% 9/17/24 (j) | 5,000,000 | 5,209,326 | ||
5% 9/14/39 (j)(k) | 37,000,000 | 37,957,094 | ||
5% 9/14/39 (j) | 48,000,000 | 49,241,635 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal Amount (d) | Value | ||
Fannie Mae - continued | ||||
5% 9/14/39 (j) | $ 35,000,000 | $ 35,905,359 | ||
5.3% 12/1/35 (o) | 1,201,614 | 1,256,144 | ||
5.308% 2/1/36 (o) | 1,788,814 | 1,878,285 | ||
5.5% 3/1/18 to 3/1/39 (k) | 354,959,450 | 371,617,221 | ||
5.5% 9/1/24 (j)(k) | 36,000,000 | 37,869,444 | ||
5.5% 9/1/24 (j)(k) | 53,000,000 | 55,752,237 | ||
5.5% 9/17/24 (j) | 3,000,000 | 3,155,787 | ||
5.5% 9/1/39 (j)(k) | 35,250,000 | 36,670,508 | ||
5.564% 7/1/37 (o) | 1,086,759 | 1,138,148 | ||
6% 6/1/22 to 3/1/38 (k) | 260,163,561 | 276,036,901 | ||
6% 9/1/39 (j) | 2,000,000 | 2,103,748 | ||
6.004% 4/1/36 (o) | 829,305 | 873,989 | ||
6.319% 4/1/36 (o) | 898,563 | 954,161 | ||
6.5% 12/1/34 to 8/1/37 | 26,040,252 | 28,031,536 | ||
6.5% 9/1/39 (j) | 2,000,000 | 2,138,650 | ||
6.5% 9/14/39 (j)(k) | 18,000,000 | 19,247,854 | ||
6.5% 9/14/39 (j) | 28,000,000 | 29,941,106 | ||
6.5% 10/14/39 (j) | 18,000,000 | 19,166,994 | ||
TOTAL FANNIE MAE | 1,422,872,230 | |||
Freddie Mac - 0.5% | ||||
4.702% 11/1/35 (o) | 8,081,295 | 8,404,200 | ||
5% 4/1/38 | 4,408,418 | 4,537,435 | ||
5.5% 11/1/17 | 2,990,039 | 3,189,576 | ||
5.669% 10/1/35 (o) | 619,000 | 654,786 | ||
5.919% 6/1/36 (o) | 2,007,679 | 2,102,789 | ||
6% 11/1/33 to 2/1/38 | 43,248,273 | 45,720,051 | ||
6.103% 6/1/36 (o) | 986,111 | 1,032,899 | ||
TOTAL FREDDIE MAC | 65,641,736 | |||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $1,456,596,876) | 1,488,513,966 | |||
Asset-Backed Securities - 2.0% | ||||
| ||||
Accredited Mortgage Loan Trust Series 2005-1 | 1,821,633 | 966,714 | ||
ACE Securities Corp. Series 2006-NC2: | ||||
Class M7, 1.0156% 7/25/36 (o) | 834,000 | 1,554 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (d) | Value | ||
ACE Securities Corp. Series 2006-NC2: - continued | ||||
Class M8, 1.1156% 7/25/36 (o) | $ 37,062 | $ 42 | ||
ACE Securities Corp. Home Equity Loan Trust: | ||||
Series 2004-HE1: | ||||
Class M1, 0.7656% 2/25/34 (o) | 307,946 | 280,958 | ||
Class M2, 1.3656% 2/25/34 (o) | 483,000 | 191,732 | ||
Series 2005-HE2 Class M2, 0.7156% 4/25/35 (o) | 262,278 | 227,028 | ||
Series 2005-SD1 Class A1, 0.6656% 11/25/50 (o) | 34,538 | 32,133 | ||
Series 2006-HE2: | ||||
Class M3, 0.6056% 5/25/36 (o) | 362,526 | 6,459 | ||
Class M4, 0.6656% 5/25/36 (o) | 108,725 | 1,690 | ||
Series 2006-OP1: | ||||
Class M4, 0.6356% 4/25/36 (o) | 170,200 | 4,646 | ||
Class M5, 0.6556% 4/25/36 (o) | 161,690 | 3,217 | ||
Advanta Business Card Master Trust: | ||||
Series 2005-A2 Class A2, 0.4025% 5/20/13 (o) | 2,756,051 | 2,645,809 | ||
Series 2006-A6 Class A6, 0.3025% 9/20/13 (o) | 5,445,957 | 5,228,119 | ||
Series 2006-A7 Class A7, 0.2925% 10/20/12 (o) | 2,998,584 | 2,878,640 | ||
Series 2006-C1 Class C1, 0.7525% 10/20/14 (o) | 642,000 | 19,260 | ||
Series 2007-A1 Class A, 0.3225% 1/20/15 (o) | 2,011,917 | 1,931,441 | ||
Series 2007-A4 Class A4, 0.3025% 4/22/13 (o) | 2,404,379 | 2,308,204 | ||
Series 2007-D1 Class D, 1.6725% 1/22/13 (h)(o) | 2,590,000 | 51,800 | ||
Airspeed Ltd. Series 2007-1A Class C1, 2.7728% 6/15/32 (h)(o) | 4,530,774 | 1,744,348 | ||
ALG Student Loan Trust I Series 2006-1 Class A1, 1.0825% 10/28/18 (h)(o) | 651,724 | 650,268 | ||
AmeriCredit Automobile Receivables Trust: | ||||
Series 2005-DA Class A4, 5.02% 11/6/12 | 253,080 | 255,544 | ||
Series 2006-1 Class B1, 5.2% 3/6/11 | 87,268 | 87,301 | ||
AmeriCredit Prime Automobile Receivables Trust: | ||||
Series 2007-1: | ||||
Class D, 5.62% 9/30/14 | 1,125,000 | 618,750 | ||
Class E, 6.96% 3/31/16 (h) | 2,052,284 | 1,026,142 | ||
Series 2007-2M Class A3, 5.22% 4/8/10 | 369,640 | 375,847 | ||
Ameriquest Mortgage Securities, Inc. pass-thru certificates: | ||||
Series 2003-10 Class M1, 0.9656% 12/25/33 (o) | 120,846 | 87,105 | ||
Series 2004-R11 Class M1, 0.9256% 11/25/34 (o) | 572,200 | 264,806 | ||
Series 2004-R2 Class M3, 0.8156% 4/25/34 (o) | 156,351 | 64,910 | ||
Series 2005-R2 Class M1, 0.7156% 4/25/35 (o) | 2,064,696 | 1,462,805 | ||
Anthracite CDO II Ltd. Series 2002-2A: | ||||
Class F, 7.6% 12/24/37 (h) | 160,000 | 64,000 | ||
Class G, 9.75% 12/24/37 (h) | 210,000 | 73,500 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (d) | Value | ||
Anthracite CDO III Ltd./Anthracite CDO III Corp. | $ 263,363 | $ 171,186 | ||
Argent Securities, Inc. pass-thru certificates: | ||||
Series 2003-W7 Class A2, 0.6556% 3/1/34 (o) | 47,932 | 12,351 | ||
Series 2004-W11 Class M2, 0.9656% 11/25/34 (o) | 561,149 | 233,326 | ||
Series 2004-W7: | ||||
Class M1, 0.8156% 5/25/34 (o) | 1,542,998 | 743,995 | ||
Class M2, 0.8656% 5/25/34 (o) | 1,290,110 | 908,277 | ||
Series 2006-W4 Class A2C, 0.4256% 5/25/36 (o) | 1,552,054 | 472,850 | ||
Asset Backed Funding Corp. Series 2006-OPT2 | 1,259,792 | 20,176 | ||
Asset Backed Securities Corp. Home Equity Loan Trust: | ||||
Series 2004-HE2 Class M1, 0.8156% 4/25/34 (o) | 2,668,736 | 1,412,565 | ||
Series 2004-HE6 Class A2, 0.6256% 6/25/34 (o) | 416,700 | 213,018 | ||
Series 2006-HE2 Class M1, 0.6356% 3/25/36 (o) | 262,000 | 8,147 | ||
Axon Financial Funding Ltd. Series 2007-1A Class A1, 5.96% 4/4/17 (c)(h)(o) | 7,217,000 | 1 | ||
Bank America Auto Trust Series 2009-1A Class A3, 2.67% 7/15/13 (h) | 9,500,000 | 9,603,364 | ||
Bank of America Credit Card Master Trust | 3,433,000 | 3,425,227 | ||
Bear Stearns Asset Backed Securities I Trust | 92,707 | 68,433 | ||
BMW Floorplan Master Owner Trust Series 2006-1A Class B, 0.3628% 9/17/11 (h)(o) | 373,000 | 372,542 | ||
Brascan Real Estate CDO Ltd./Brascan Real Estate CDO Corp. Series 2004-1A Class A, 0.86% 1/20/40 (h)(o) | 392,513 | 262,984 | ||
Brazos Higher Education Authority, Inc. Student Loan Rev. Series 2006 A2R, 5.03% 12/1/41 | 1,752,176 | 1,541,915 | ||
Brazos Higher Education Authority, Inc. Series 2006-2 Class A9, 0.6175% 12/26/24 (o) | 2,296,541 | 2,145,520 | ||
C-BASS Trust Series 2006-CB7 Class A2, 0.3256% 10/25/36 (o) | 805,334 | 731,795 | ||
Capital Auto Receivables Asset Trust: | ||||
Series 2006-1: | ||||
Class B, 5.26% 10/15/10 | 639,862 | 642,471 | ||
Class C, 5.55% 1/18/11 | 1,500,000 | 1,505,855 | ||
Class D, 7.16% 1/15/13 (h) | 160,000 | 147,200 | ||
Series 2006-2: | ||||
Class B, 5.07% 12/15/11 | 2,222,000 | 2,251,748 | ||
Class C, 5.31% 6/15/12 | 1,634,000 | 1,593,086 | ||
Series 2007-1 Class C, 5.38% 11/15/12 | 582,000 | 468,302 | ||
Series 2007-SN1 Class D, 6.05% 1/17/12 | 285,000 | 263,625 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (d) | Value | ||
Capital One Auto Finance Trust: | ||||
Series 2005-BSS Class D, 4.8% 9/15/12 | $ 1,204,000 | $ 1,205,057 | ||
Series 2006-C: | ||||
Class A3A, 5.07% 7/15/11 | 29,664 | 29,667 | ||
Class A3B, 0.2828% 7/15/11 (o) | 75,272 | 75,039 | ||
Series 2007-B Class A3A, 5.03% 4/15/12 | 748,275 | 755,906 | ||
Capital One Multi-Asset Execution Trust: | ||||
Series 2007-C3 Class C3, 0.5628% 4/15/13 (h)(o) | 2,908,037 | 2,795,889 | ||
Series 2009-A2 Class A2, 3.2% 4/15/14 | 10,000,000 | 10,180,903 | ||
Capital Trust Ltd. Series 2004-1: | ||||
Class A2, 0.7225% 7/20/39 (h)(o) | 457,498 | 91,500 | ||
Class B, 1.0225% 7/20/39 (h)(o) | 263,810 | 31,657 | ||
Class C, 1.3725% 7/20/39 (h)(o) | 339,379 | 27,150 | ||
Capital Trust RE CDO Ltd./Capital Trust RE CDO Corp. Series 2005-3A Class A2, 5.16% 6/25/35 (h) | 830,000 | 597,600 | ||
CapitalSource Real Estate Loan Trust Series 2006-1A Class A2A, 0.76% 1/20/37 (h)(o) | 221,569 | 99,706 | ||
Capmark VII Ltd. Series 2006-7A Class H, 1.8228% 8/15/36 (h)(o) | 504,923 | 0 | ||
CarMax Auto Owner Trust Series 2007-2 Class C, 5.61% 11/15/13 | 928,000 | 835,200 | ||
Carrington Mortgage Loan Trust: | ||||
Series 2006-FRE1 Class M1, 0.5656% 7/25/36 (o) | 1,140,851 | 39,749 | ||
Series 2006-NC2 Class M7, 1.1156% 6/25/36 (o) | 425,500 | 7,791 | ||
Series 2006-NC3 Class M10, 2.2656% 8/25/36 (h)(o) | 290,000 | 4,890 | ||
Series 2006-NC4 Class M1, 0.5656% 10/25/36 (o) | 224,000 | 7,552 | ||
Series 2006-RFC1 Class M9, 2.1356% 5/25/36 (o) | 186,369 | 4,595 | ||
Series 2007-RFC1 Class A3, 0.4056% 12/25/36 (o) | 1,802,588 | 474,167 | ||
Cendant Timeshare Receivables Funding LLC: | ||||
Series 2005 1A Class 2A2, 0.4525% 5/20/17 (h)(o) | 221,719 | 177,950 | ||
Series 2005-1A Class A1, 4.67% 5/20/17 (h) | 698,429 | 546,185 | ||
Chase Issuance Trust Series 2004-3 Class C, 0.7428% 6/15/12 (o) | 530,000 | 527,711 | ||
CIT Equipment Collateral Trust Series 2006-VT2 Class D, 5.46% 4/20/14 | 290,602 | 259,123 | ||
Citigroup Mortgage Loan Trust Series 2007-AMC4 | 765,389 | 24,450 | ||
Countrywide Asset-Backed Certificates Trust: | ||||
Series 2006-13 Class 1AF1, 0.3856% 1/25/37 (o) | 6,426 | 6,373 | ||
Series 2007-11 Class 2A1, 0.3256% 6/25/47 (o) | 160,821 | 152,384 | ||
Series 2007-4 Class A1A, 0.3856% 9/25/37 (o) | 939,940 | 883,333 | ||
Countrywide Home Loan Trust Series 2006-13 Class N, 7% 8/25/37 (h) | 811,000 | 81 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (d) | Value | ||
Countrywide Home Loans, Inc.: | ||||
Series 2004-3: | ||||
Class M1, 0.7656% 6/25/34 (o) | $ 948,567 | $ 520,284 | ||
Class M4, 1.2356% 4/25/34 (o) | 159,822 | 81,245 | ||
Series 2004-4 Class M2, 0.7956% 6/25/34 (o) | 587,945 | 377,033 | ||
Series 2005-3 Class MV1, 0.6856% 8/25/35 (o) | 2,043,541 | 1,858,825 | ||
Series 2005-AB1 Class A2, 0.4756% 8/25/35 (o) | 361,246 | 331,173 | ||
CPS Auto Receivables Trust: | ||||
Series 2006-D: | ||||
Class A3, 5.157% 5/15/11 (h) | 54,359 | 54,382 | ||
Class A4, 5.115% 8/15/13 (h) | 1,012,000 | 991,892 | ||
Series 2007-B Class A3, 5.47% 11/15/11 (h) | 368,595 | 369,765 | ||
Series 2007-C Class A3, 5.43% 5/15/12 (h) | 297,494 | 297,391 | ||
Crest Clarendon Street Ltd./Crest Clarendon Corp. Series 2002-1A: | ||||
Class B1, 6.065% 12/28/35 (h) | 500,000 | 215,000 | ||
Class B2, 1.9513% 12/28/35 (h)(o) | 500,000 | 150,000 | ||
Crest Dartmouth Street Ltd./Crest Dartmouth Street Corp. Series 2003-1A Class D, 9% 6/28/38 (h) | 100,000 | 25,000 | ||
DB Master Finance LLC Series 2006-1 Class M1, 8.285% 6/20/31 (h) | 235,000 | 205,773 | ||
Discover Card Master Trust I Series 2007-1 Class B, 0.3728% 8/15/12 (o) | 2,908,000 | 2,854,166 | ||
Drive Auto Receivables Trust Series 2006-1 Class A4, 5.54% 12/16/13 (h) | 2,051,974 | 2,027,666 | ||
Fannie Mae subordinate REMIC pass-thru certificates Series 2004-T5 Class AB3, 0.6603% 5/28/35 (o) | 38,916 | 21,614 | ||
Fieldstone Mortgage Investment Corp.: | ||||
Series 2004-3 Class M5, 2.4406% 8/25/34 (o) | 290,872 | 58,554 | ||
Series 2006-3 Class 2A3, 0.4256% 11/25/36 (o) | 6,074,620 | 1,845,999 | ||
First Franklin Mortgage Loan Trust: | ||||
Series 2004-FF2 Class M3, 1.0906% 3/25/34 (o) | 30,878 | 15,283 | ||
Series 2005-FF9 Class A3, 0.5456% 10/25/35 (o) | 6,305,998 | 5,287,425 | ||
Series 2006-FF12 Class A2, 0.3056% 9/25/36 (o) | 277,873 | 270,427 | ||
Series 2006-FF5 Class 2A2, 0.3756% 4/25/36 (o) | 97,764 | 94,354 | ||
Ford Credit Auto Owner Trust: | ||||
Series 2006-B Class D, 7.26% 2/15/13 (h) | 1,175,000 | 1,091,467 | ||
Series 2006-C: | ||||
Class B, 5.3% 6/15/12 | 649,000 | 656,280 | ||
Class D, 6.89% 5/15/13 (h) | 915,000 | 796,777 | ||
Series 2007-A Class D, 7.05% 12/15/13 (h) | 970,000 | 853,717 | ||
Ford Credit Floorplan Master Owner Trust Series 2006-4 Class B, 0.8228% 6/15/13 (o) | 772,878 | 502,371 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (d) | Value | ||
Franklin Auto Trust: | ||||
Series 2006-1: | ||||
Class B, 5.14% 7/21/14 | $ 72,000 | $ 58,221 | ||
Class C, 5.41% 7/21/14 | 638,000 | 319,000 | ||
Series 2007-1: | ||||
Class A4, 5.03% 2/16/15 | 502,000 | 516,505 | ||
Class C, 5.43% 2/16/15 | 614,000 | 292,186 | ||
Fremont Home Loan Trust: | ||||
Series 2004-1: | ||||
Class M1, 0.9406% 2/25/34 (o) | 72,096 | 32,495 | ||
Class M2, 1.0156% 2/25/34 (o) | 123,225 | 95,566 | ||
Series 2005-A: | ||||
Class M3, 0.7556% 1/25/35 (o) | 948,695 | 221,985 | ||
Class M4, 0.9456% 1/25/35 (o) | 363,547 | 66,597 | ||
Series 2006-A Class M4, 0.6656% 5/25/36 (o) | 190,539 | 1,824 | ||
Series 2006-D Class M1, 0.4956% 11/25/36 (o) | 324,000 | 4,998 | ||
GCO Education Loan Funding Master Trust II | 2,892,000 | 2,163,578 | ||
GCO Slims Trust Series 2006-1A, 5.72% 3/1/22 (h) | 2,719,313 | 2,175,450 | ||
GE Business Loan Trust: | ||||
Series 2003-1 Class A, 0.7028% 4/15/31 (h)(o) | 345,167 | 231,262 | ||
Series 2006-2A: | ||||
Class A, 0.4528% 11/15/34 (h)(o) | 2,481,535 | 1,488,921 | ||
Class B, 0.5528% 11/15/34 (h)(o) | 896,405 | 259,957 | ||
Class C, 0.6528% 11/15/34 (h)(o) | 1,489,789 | 327,753 | ||
Class D, 1.0228% 11/15/34 (h)(o) | 565,721 | 90,515 | ||
GE Capital Credit Card Master Note Trust: | ||||
Series 2006-1: | ||||
Class B, 0.3828% 9/17/12 (o) | 889,000 | 862,330 | ||
Class C, 0.5128% 9/17/12 (o) | 692,000 | 650,480 | ||
Series 2007-1 Class C, 0.5428% 3/15/13 (o) | 4,746,000 | 4,347,668 | ||
GE Equipment Midticket LLC Series 2006-1 Class B, 0.4228% 9/15/17 (o) | 1,151,000 | 932,399 | ||
Goal Capital Funding Trust Series 2007-1 Class C1, 1.0075% 6/25/42 (o) | 739,000 | 443,400 | ||
GS Auto Loan Trust: | ||||
Series 2006-1 Class D, 6.25% 1/15/14 (h) | 289,822 | 246,348 | ||
Series 2007-1: | ||||
Class B, 5.53% 12/15/14 | 97,423 | 84,678 | ||
Class C, 5.74% 12/15/14 | 206,932 | 165,546 | ||
GSAMP Trust: | ||||
Series 2004-AR1: | ||||
Class B4, 5% 6/25/34 (h)(o) | 416,574 | 30,815 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (d) | Value | ||
GSAMP Trust: - continued | ||||
Series 2004-AR1: | ||||
Class M1, 0.9156% 6/25/34 (o) | $ 2,723,367 | $ 1,435,156 | ||
Series 2007-HE1 Class M1, 0.5156% 3/25/47 (o) | 1,096,059 | 42,294 | ||
GSR Mortgage Loan Trust: | ||||
Series 2004-OPT Class A1, 0.6056% 11/25/34 (o) | 15,860 | 6,950 | ||
Series 2005-MTR1 Class A1, 0.4056% 10/25/35 (o) | 78,508 | 77,651 | ||
Series 2006-FM1 Class M3, 0.6156% 4/25/36 (o) | 431,287 | 4,478 | ||
Guggenheim Structured Real Estate Funding Ltd.: | ||||
Series 2005-1 Class C, 1.3456% 5/25/30 (h)(o) | 659,999 | 99,000 | ||
Series 2006-3: | ||||
Class B, 0.6656% 9/25/46 (h)(o) | 654,930 | 98,240 | ||
Class C, 0.8156% 9/25/46 (h)(o) | 1,526,694 | 152,669 | ||
Class E, 1.9156% 9/25/46 (h)(o) | 250,919 | 15,055 | ||
Home Equity Asset Trust: | ||||
Series 2002-3 Class A5, 1.1456% 2/25/33 (o) | 402 | 96 | ||
Series 2003-2 Class M1, 1.5856% 8/25/33 (o) | 512,285 | 249,509 | ||
Series 2003-3 Class M1, 1.5556% 8/25/33 (o) | 899,380 | 433,667 | ||
Series 2003-5 Class A2, 0.9656% 12/25/33 (o) | 32,929 | 12,002 | ||
Series 2003-7 Class A2, 1.0256% 3/25/34 (o) | 1,657 | 647 | ||
Series 2004-3 Class M2, 1.9656% 8/25/34 (o) | 300,402 | 173,903 | ||
Series 2004-7 Class A3, 0.6556% 1/25/35 (o) | 613 | 368 | ||
Series 2005-5 Class 2A2, 0.5156% 11/25/35 (o) | 272,057 | 256,017 | ||
Series 2006-1 Class 2A3, 0.4906% 4/25/36 (o) | 3,362,465 | 3,092,394 | ||
Series 2006-3N Class B, 6.5% 8/27/36 (h) | 250,000 | 0 | ||
Series 2006-8 Class 2A1, 0.3156% 3/25/37 (o) | 21,005 | 19,400 | ||
HSBC Credit Card Master Note Trust I Series 2006-1 Class B, 0.4128% 6/15/12 (o) | 2,249,000 | 2,233,531 | ||
HSBC Home Equity Loan Trust Series 2006-2: | ||||
Class M1, 0.5425% 3/20/36 (o) | 586,295 | 337,266 | ||
Class M2, 0.5625% 3/20/36 (o) | 970,086 | 470,580 | ||
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.4556% 1/25/37 (o) | 1,522,035 | 447,064 | ||
Hyundai Auto Receivables Trust Series 2006-1: | ||||
Class B, 5.29% 11/15/12 | 131,168 | 131,950 | ||
Class C, 5.34% 11/15/12 | 169,955 | 172,556 | ||
JPMorgan Mortgage Acquisition Trust: | ||||
Series 2006-NC2 Class M2, 0.5656% 7/25/36 (o) | 204,000 | 4,076 | ||
Series 2007-CH1: | ||||
Class AV4, 0.3956% 11/25/36 (o) | 1,520,141 | 683,227 | ||
Class MV1, 0.4956% 11/25/36 (o) | 1,234,797 | 126,393 | ||
Series 2007-CH3 Class M1, 0.5656% 3/25/37 (o) | 573,000 | 19,755 | ||
Kent Funding III Ltd. Series 2006-3A Class D, 4.1538% 10/29/47 (o) | 281,890 | 28 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (d) | Value | ||
Keycorp Student Loan Trust: | ||||
Series 1999-A Class A2, 1.5575% 12/27/09 (o) | $ 1,013,685 | $ 805,338 | ||
Series 2006-A: | ||||
Class 2A1, 1.2575% 9/27/21 (o) | 382,221 | 379,265 | ||
Class 2C, 2.3775% 3/27/42 (o) | 3,243,000 | 528,596 | ||
Lancer Funding Ltd. Series 2006-1A Class A3, 2.2775% 4/6/46 (h)(o) | 272,850 | 27 | ||
Leafs CMBS I Ltd. Series 2002-1A Class D, 4.13% 11/20/37 (h) | 155,863 | 81,049 | ||
Leafs CMBS I Ltd./Leafs CMBS I Corp. Series 2002-1A Class A2, 0.8225% 11/20/17 (h)(o) | 500,000 | 410,000 | ||
Long Beach Auto Receivables Trust Series 2007-A | 3,523,500 | 3,241,490 | ||
Long Beach Mortgage Loan Trust: | ||||
Series 2004-2 Class M2, 1.3456% 6/25/34 (o) | 336,518 | 258,379 | ||
Series 2006-8 Class 2A1, 0.3056% 9/25/36 (o) | 26,392 | 26,113 | ||
Marathon Real Estate CDO Ltd. Series 2006-1A Class B, 0.6956% 5/25/46 (h)(o) | 250,000 | 20,000 | ||
Marriott Vacation Club Owner Trust Series 2006-2A: | ||||
Class B, 5.442% 10/20/28 (h) | 28,260 | 15,543 | ||
Class C, 5.691% 10/20/28 (h) | 12,560 | 6,280 | ||
Class D, 6.01% 10/20/28 (h) | 149,545 | 67,295 | ||
MASTR Asset Backed Securities Trust: | ||||
Series 2006-AM3 Class M1, 0.5256% 10/25/36 (o) | 545,328 | 14,887 | ||
Series 2007-HE1 Class M1, 0.5656% 5/25/37 (o) | 784,792 | 27,469 | ||
Meritage Mortgage Loan Trust Series 2004-1 Class M1, 1.0156% 7/25/34 (o) | 220,450 | 97,568 | ||
Merrill Auto Trust Securitization Series 2007-1 Class B, 5.79% 12/16/13 | 417,699 | 397,382 | ||
Merrill Lynch Mortgage Investors Trust: | ||||
Series 2003-OPT1 Class M1, 0.9156% 7/25/34 (o) | 936,072 | 663,792 | ||
Series 2006-FM1 Class A2B, 0.3756% 4/25/37 (o) | 2,667,349 | 1,940,582 | ||
Series 2006-MLN1 Class A2A, 0.3356% 7/25/37 (o) | 76,585 | 73,016 | ||
Series 2006-OPT1 Class A1A, 0.5256% 6/25/35 (o) | 3,475,759 | 1,707,022 | ||
Morgan Stanley ABS Capital I Trust: | ||||
Series 2004-HE6 Class A2, 0.6056% 8/25/34 (o) | 57,368 | 11,978 | ||
Series 2005-HE1 Class M2, 0.7356% 12/25/34 (o) | 487,793 | 326,801 | ||
Series 2005-HE2 Class M1, 0.6656% 1/25/35 (o) | 441,329 | 167,620 | ||
Series 2005-NC1 Class M1, 0.7056% 1/25/35 (o) | 399,800 | 159,786 | ||
Series 2005-NC2 Class B1, 1.4356% 3/25/35 (o) | 416,362 | 65,499 | ||
Series 2006-HE6 Class A2A, 0.3056% 9/25/36 (o) | 407,177 | 399,022 | ||
Series 2006-NC4 Class M4, 0.6156% 6/25/36 (o) | 320,280 | 1,718 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (d) | Value | ||
Morgan Stanley ABS Capital I Trust: - continued | ||||
Series 2007-HE2 Class M1, 0.5156% 1/25/37 (o) | $ 263,000 | $ 4,853 | ||
Morgan Stanley Dean Witter Capital I Trust | 34,465 | 7,306 | ||
Morgan Stanley Home Equity Loans Trust Series 2007-2 Class A1, 0.3656% 4/25/37 (o) | 1,144,261 | 934,193 | ||
Morgan Stanley IXIS Real Estate Capital Trust | 18,657 | 17,573 | ||
N-Star Real Estate CDO Ltd. Series 1A: | ||||
Class B1, 2.0469% 8/28/38 (h)(o) | 195,000 | 117,000 | ||
Class C1B, 7.696% 8/28/38 (h) | 63,000 | 27,846 | ||
National Collegiate Funding LLC Series 2004-GT1 | 4,356,000 | 392,040 | ||
National Collegiate Student Loan Trust: | ||||
Series 2004-2 Class AIO, 9.75% 10/25/14 (q) | 4,504,900 | 900,980 | ||
Series 2005-GT1 Class AIO, 6.75% 12/25/09 (q) | 3,239,000 | 89,073 | ||
Series 2006-1 Class AIO, 5.5% 4/25/11 (q) | 466,000 | 30,290 | ||
Series 2006-2 Class AIO, 6% 8/25/11 (q) | 231,000 | 21,945 | ||
Series 2006-3: | ||||
Class A1, 0.2956% 9/25/19 (o) | 700,204 | 690,686 | ||
Class AIO, 7.1% 1/25/12 (q) | 372,000 | 51,768 | ||
Series 2006-4: | ||||
Class A1, 0.2956% 3/25/25 (o) | 770,100 | 739,157 | ||
Class AIO, 6.35% 2/27/12 (q) | 1,182,000 | 155,149 | ||
Class D, 1.3656% 5/25/32 (o) | 2,481,000 | 59,403 | ||
Series 2007-1 Class AIO, 7.27% 4/25/12 (q) | 1,589,000 | 263,409 | ||
Series 2007-2 Class AIO, 6.7% 7/25/12 (q) | 1,351,000 | 215,957 | ||
New Century Home Equity Loan Trust: | ||||
Series 2005-4 Class M2, 0.7756% 9/25/35 (o) | 1,426,957 | 285,687 | ||
Series 2005-D Class M2, 0.7356% 2/25/36 (o) | 827,339 | 49,918 | ||
Nomura Home Equity Loan Trust Series 2006-HE2 | 486,363 | 464,411 | ||
NovaStar Mortgage Funding Trust Series 2006-6 | 19,231 | 18,782 | ||
Ocala Funding LLC: | ||||
Series 2005-1A Class A, 1.7725% 3/20/10 (h)(o) | 566,000 | 220,740 | ||
Series 2006-1A Class A, 1.6725% 3/20/11 (h)(o) | 1,176,000 | 435,120 | ||
Option One Mortgage Loan Trust: | ||||
Series 2004-3 Class M3, 0.9156% 11/25/34 (o) | 343,974 | 270,453 | ||
Series 2007-5 Class 2A1, 0.3556% 5/25/37 (o) | 214,246 | 198,231 | ||
Series 2007-6 Class 2A1, 0.3256% 7/25/37 (o) | 295,460 | 275,111 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (d) | Value | ||
Park Place Securities, Inc.: | ||||
Series 2004-WCW1: | ||||
Class M2, 0.9456% 9/25/34 (o) | $ 278,447 | $ 196,861 | ||
Class M3, 1.5156% 9/25/34 (o) | 532,896 | 140,313 | ||
Class M4, 1.7156% 9/25/34 (o) | 683,353 | 98,476 | ||
Series 2004-WCW2 Class M3, 0.8156% 7/25/35 (o) | 400,651 | 59,346 | ||
Series 2005-WCH1: | ||||
Class M2, 0.7856% 1/25/35 (o) | 2,548,346 | 1,676,265 | ||
Class M3, 0.8256% 1/25/35 (o) | 478,432 | 249,139 | ||
Class M4, 1.0956% 1/25/35 (o) | 1,475,804 | 239,914 | ||
Series 2005-WHQ2: | ||||
Class M7, 1.5156% 5/25/35 (o) | 1,883,145 | 34,051 | ||
Class M9, 2.1456% 5/25/35 (o) | 591,445 | 3,220 | ||
Prima Capital CDO Ltd./Prima Capital CDO Corp. Series 2005-1A: | ||||
Class A2, 4.646% 7/24/39 (h) | 506,841 | 425,747 | ||
Class B, 4.846% 7/24/39 (h) | 180,000 | 122,400 | ||
Class C, 5.08% 7/24/39 (h) | 185,000 | 111,000 | ||
Providian Master Note Trust Series 2006-C1A Class C1, 0.8228% 3/16/15 (h)(o) | 3,406,919 | 3,085,691 | ||
Rental Car Finance Corp. Series 2005-1A Class A2, 4.59% 6/25/11 (h) | 530,000 | 414,891 | ||
Residential Asset Mortgage Products, Inc. | 566,000 | 14,382 | ||
Residential Asset Securities Corp. Series 2007-KS2 | 1,524,976 | 1,415,032 | ||
Resource Real Estate Funding CDO Series 2007-1A Class J, 3.2156% 9/25/46 (h)(o) | 250,000 | 7,500 | ||
Salomon Brothers Mortgage Securities VII, Inc. | 5,108 | 2,264 | ||
Saxon Asset Securities Trust Series 2004-1 Class M1, 1.0606% 3/25/35 (o) | 1,890,000 | 940,396 | ||
Securitized Asset Backed Receivables LLC Trust: | ||||
Series 2005-FR4 Class B3, 1.9856% 1/25/36 (o) | 96,000 | 1,429 | ||
Series 2006-FR4 Class A2A, 0.3456% 8/25/36 (o) | 80,746 | 40,739 | ||
Series 2007-NC1 Class A2A, 0.3156% 12/25/36 (o) | 50,431 | 45,314 | ||
Sierra Receivables Funding Co. Series 2007-1A | 1,142,292 | 947,167 | ||
SLM Private Credit Student Loan Trust Series 2004-A Class C, 1.5794% 6/15/33 (o) | 1,272,000 | 254,400 | ||
Specialty Underwriting & Residential Finance Trust: | ||||
Series 2003-BC3 Class M2, 2.6656% 8/25/34 (o) | 179,323 | 116,178 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (d) | Value | ||
Specialty Underwriting & Residential Finance Trust: - continued | ||||
Series 2006-AB2 Class N1, 5.75% 6/25/37 (h) | $ 656,637 | $ 6,566 | ||
Structured Asset Investment Loan Trust Series 2004-8 Class M5, 1.4156% 9/25/34 (o) | 83,940 | 12,587 | ||
Structured Asset Securities Corp.: | ||||
Series 2004-GEL1 Class A, 0.6256% 2/25/34 (o) | 137,271 | 73,027 | ||
Series 2007-BC4 Class A3, 0.535% 11/25/37 (o) | 14,981,348 | 13,636,883 | ||
Series 2007-GEL1 Class A2, 0.4556% 1/25/37 (h)(o) | 1,308,498 | 349,065 | ||
Structured Asset Securities Corp. Mortgage Loan Trust Series 2007-OSI Class A2, 0.3556% 6/25/37 (o) | 1,911,607 | 1,537,749 | ||
Superior Wholesale Inventory Financing Trust | ||||
Class A, 0.3728% 1/15/12 (o) | 1,278,000 | 1,257,366 | ||
Class B, 0.5728% 1/15/12 (o) | 1,054,000 | 991,477 | ||
Class C, 0.8728% 1/15/12 (o) | 1,634,000 | 1,339,880 | ||
SVO VOI Mortgage Corp. Series 2006-AA Class A, 5.28% 2/20/24 (h) | 1,460,798 | 1,246,251 | ||
Swift Master Auto Receivables Trust: | ||||
Series 2007-1: | ||||
Class A, 0.3728% 6/15/12 (o) | 3,555,000 | 3,430,575 | ||
Class B, 0.4928% 6/15/12 (o) | 3,709,000 | 3,430,825 | ||
Class C, 0.7728% 6/15/12 (o) | 254,000 | 177,800 | ||
Series 2007-2 Class A, 0.9228% 10/15/12 (o) | 2,867,000 | 2,734,401 | ||
Terwin Mortgage Trust: | ||||
Series 2003-4HE Class A1, 1.1256% 9/25/34 (o) | 28,819 | 9,827 | ||
Series 2003-6HE Class A1, 0.7356% 11/25/33 (o) | 36,470 | 14,051 | ||
TIAA Real Estate CDO Ltd./TIAA Real Estate CDO Corp.: | ||||
Series 2002-1A: | ||||
Class IIFX, 6.77% 5/22/37 (h) | 225,000 | 191,250 | ||
Class IV, 6.84% 5/22/37 (h) | 235,000 | 98,700 | ||
Series 2003-1A Class B2, 5.4802% 12/28/38 (h) | 100,000 | 65,000 | ||
Trapeza CDO XII Ltd./, Inc. Series 2007-12A Class B, 1.1375% 4/6/42 (h)(o) | 2,573,000 | 128,650 | ||
Triad Auto Receivables Owner Trust: | ||||
Series 2006-C Class A4, 5.31% 5/13/13 | 875,000 | 865,198 | ||
Series 2007-A Class A3, 5.28% 2/13/12 | 1,761,756 | 1,775,641 | ||
Turquoise Card Backed Securities PLC: | ||||
Series 2006-2: | ||||
Class B, 0.4228% 10/17/11 (o) | 4,204,000 | 4,046,231 | ||
Class C, 0.6228% 10/17/11 (o) | 4,872,801 | 4,567,445 | ||
Series 2007-1 Class C, 0.6428% 6/15/12 (o) | 3,669,172 | 2,751,879 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (d) | Value | ||
Wachovia Auto Loan Owner Trust: | ||||
Series 2006-1 Class A4, 5.08% 4/20/12 (h) | $ 978,848 | $ 999,908 | ||
Series 2006-2A: | ||||
Class B, 5.29% 6/20/12 (h) | 409,000 | 420,921 | ||
Class D, 5.54% 12/20/12 (h) | 583,000 | 526,963 | ||
Class E, 7.05% 5/20/14 (h) | 1,390,000 | 1,131,431 | ||
Wachovia Ltd./Wachovia LLC: | ||||
Series 2006-1 Class 1ML, 6.7222% 9/25/26 (h)(o) | 400,000 | 24,000 | ||
Series 2006-1A: | ||||
Class F, 1.7575% 9/25/26 (h)(o) | 250,000 | 12,500 | ||
Class G, 1.9575% 9/25/26 (h)(o) | 250,000 | 10,000 | ||
WaMu Asset Holdings Corp. Series 2006-8 Class N1, 6.048% 10/25/46 (h) | 887,552 | 89 | ||
WaMu Asset-Backed Certificates Series 2006-HE3 | 602,848 | 10,179 | ||
WaMu Master Note Trust: | ||||
Series 2006-C2A Class C2, 0.7728% 8/15/15 (h)(o) | 8,530,177 | 7,512,860 | ||
Series 2007-A2 Class A2, 0.3028% 5/15/14 (h)(o) | 12,710,000 | 12,621,188 | ||
Series 2007-A4A Class A4, 5.2% 10/15/14 (h) | 10,589,000 | 10,977,059 | ||
Series 2007-A5A Class A5, 1.0228% 10/15/14 (h)(o) | 1,500,000 | 1,492,495 | ||
Series 2007-C1 Class C1, 0.6728% 5/15/14 (h)(o) | 8,690,021 | 8,468,797 | ||
Wells Fargo Home Equity Trust: | ||||
Series 2004-3 Class A, 4.5% 11/27/34 (a)(h) | 7,576 | 0 | ||
Series 2006-2 Class A2, 0.3656% 7/25/36 (o) | 655,680 | 631,276 | ||
Whinstone Capital Management Ltd. Series 1A Class B3, 1.4038% 10/25/44 (h)(o) | 1,789,540 | 214,745 | ||
Wrightwood Capital Real Estate CDO Ltd. | 305,000 | 27,450 | ||
TOTAL ASSET-BACKED SECURITIES (Cost $232,711,915) | 240,669,499 | |||
Collateralized Mortgage Obligations - 2.3% | ||||
| ||||
Private Sponsor - 1.8% | ||||
ABN AMRO Mortgage Corp.: | ||||
Series 2003-2 Class B4, 5.3302% 3/25/18 (o) | 151,082 | 42,303 | ||
Series 2003-9 Class B5, 4.5164% 8/25/18 (h) | 265,658 | 39,849 | ||
Arkle Master Issuer PLC floater Series 2006-2A: | ||||
Class 2B, 0.56% 2/17/52 (h)(o) | 2,908,000 | 2,839,168 | ||
Class 2M, 0.64% 2/17/52 (h)(o) | 1,978,000 | 1,905,289 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (d) | Value | ||
Private Sponsor - continued | ||||
Arran Residential Mortgages Funding No. 1 PLC floater Series 2006-1A Class DB, 0.94% 4/12/56 (h)(o) | $ 1,428,375 | $ 928,444 | ||
Banc of America Commercial Mortgage Trust | ||||
Class B, 5.6986% 4/10/49 (o) | 106,000 | 22,313 | ||
Class C, 5.6986% 4/10/49 (o) | 281,000 | 50,664 | ||
Class D, 5.6986% 4/10/49 (o) | 141,000 | 22,588 | ||
Banc of America Large Loan, Inc. Series 2005-MIB1 Class A2, 0.4828% 3/15/22 (h)(o) | 1,025,000 | 787,444 | ||
Banc of America Mortgage Securities, Inc.: | ||||
Series 2003-K Class 1A1, 5.2037% 12/25/33 (o) | 96,761 | 74,394 | ||
Series 2003-L Class 2A1, 5.2191% 1/25/34 (o) | 2,459,269 | 2,102,581 | ||
Series 2004-1 Class 2A2, 4.6617% 10/25/34 (o) | 2,718,546 | 2,289,981 | ||
Series 2004-7 Class 15B4, 5.3054% 8/25/19 (h)(o) | 70,456 | 4,541 | ||
Series 2004-A Class 2A2, 5.4508% 2/25/34 (o) | 1,668,653 | 1,430,560 | ||
Series 2004-B: | ||||
Class 1A1, 4.6868% 3/25/34 (o) | 182,414 | 140,691 | ||
Class 2A2, 4.5749% 3/25/34 (o) | 1,559,468 | 1,325,412 | ||
Series 2004-C Class 1A1, 4.097% 4/25/34 (o) | 211,016 | 174,231 | ||
Series 2004-D: | ||||
Class 1A1, 3.8783% 5/25/34 (o) | 298,165 | 229,668 | ||
Class 2A2, 3.8898% 5/25/34 (o) | 2,564,154 | 2,166,818 | ||
Series 2004-G Class 2A7, 4.2585% 8/25/34 (o) | 2,185,181 | 1,862,141 | ||
Series 2004-H Class 2A1, 4.469% 9/25/34 (o) | 2,064,867 | 1,701,549 | ||
Series 2005-H: | ||||
Class 1A1, 4.6982% 9/25/35 (o) | 190,979 | 149,447 | ||
Class 2A2, 4.805% 9/25/35 (o) | 6,001,901 | 2,708,048 | ||
Bayview Commercial Asset Trust Series 2006-3A | 13,400,308 | 958,122 | ||
Bear Stearns ALT-A Trust floater Series 2005-1 Class A1, 0.5456% 1/25/35 (o) | 2,760,392 | 2,141,652 | ||
Bear Stearns Commercial Mortgage Securities Trust Series 2006-T24 Class X2, 0.4243% 10/12/41 (h)(o)(q) | 4,853,715 | 64,526 | ||
Chase Mortgage Finance Trust: | ||||
Series 2007-A1 Class 1A5, 4.6804% 2/25/37 (o) | 2,088,264 | 1,813,178 | ||
Series 2007-A2 Class 2A1, 5.0375% 7/25/37 (o) | 462,994 | 418,078 | ||
Citigroup Commercial Mortgage Trust Series 2008-C7 Class A2B, 6.2986% 12/10/49 (o) | 1,902,000 | 1,877,197 | ||
Citigroup Mortgage Loan Trust Series 2004-UST1: | ||||
Class A3, 4.189% 8/25/34 (o) | 2,034,948 | 1,803,218 | ||
Class A4, 3.4368% 8/25/34 (o) | 1,734,230 | 1,529,872 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (d) | Value | ||
Private Sponsor - continued | ||||
Cobalt CMBS Commercial Mortgage Trust | $ 2,125,000 | $ 297,500 | ||
COMM pass-thru certificates floater Series 2001-J2A Class A2F, 0.7728% 7/16/34 (h)(o) | 1,902,000 | 1,604,941 | ||
Countrywide Alternative Loan Trust: | ||||
planned amortization class Series 2003-5T2 Class A2, 0.6656% 5/25/33 (o) | 48,031 | 47,520 | ||
Series 2006-OC5N Class N, 7.25% 7/25/37 (h) | 78,237 | 8 | ||
Countrywide Home Loans, Inc.: | ||||
Series 2003-28 Class B3, 5.5% 8/25/33 | 82,015 | 12,302 | ||
Series 2003-35 Class B, 4.6391% 9/25/18 (o) | 142,169 | 17,060 | ||
Series 2005-HYB3 Class 2A6B, 4.3939% 6/20/35 (o) | 639,000 | 258,051 | ||
Credit Suisse First Boston Adjustable Rate Mortgage Trust floater Series 2005-2 Class 6M2, 0.7456% 6/25/35 (o) | 1,475,123 | 103,255 | ||
Credit Suisse First Boston Mortgage Securities Corp.: | ||||
floater: | ||||
Series 2004-AR7 Class 6A2, 1.0256% 8/25/34 (o) | 33,770 | 18,476 | ||
Series 2004-AR8 Class 8A2, 1.0256% 9/25/34 (o) | 23,282 | 15,533 | ||
Series 2007-AR7 Class 2A1, 3.934% 11/25/34 (o) | 1,714,579 | 1,430,329 | ||
Series 2003-17 Class B4, 5.389% 6/25/33 (h)(o) | 369,443 | 36,944 | ||
Series 2004-3 Class DB4, 5.8407% 4/25/34 (o) | 114,815 | 2,296 | ||
CWALT, Inc.: | ||||
floater Series 2005-56: | ||||
Class 1A1, 0.9956% 11/25/35 (o) | 37,135,532 | 18,609,180 | ||
Class 2A3, 2.71% 11/25/35 (o) | 9,124,071 | 4,416,739 | ||
Series 2005-56: | ||||
Class 4A1, 0.5756% 11/25/35 (o) | 7,498,418 | 3,682,908 | ||
Class 5A1, 0.5856% 11/25/35 (o) | 10,516,286 | 5,227,626 | ||
Deutsche Alt-A Securities Mortgage Loan Trust floater Series 2007-BAR1 Class A3, 0.4256% 3/25/37 (o) | 3,434,976 | 1,232,670 | ||
DSLA Mortgage Loan Trust Series 2006-AR2 | 416,958 | 382,543 | ||
First Horizon Mortgage pass-thru Trust: | ||||
floater Series 2004-FL1 Class 2A1, 1.4488% 12/25/34 (o) | 52,953 | 25,997 | ||
Series 2004-AR5 Class 2A1, 5.0255% 10/25/34 (o) | 2,404,638 | 1,842,143 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (d) | Value | ||
Private Sponsor - continued | ||||
Fosse Master Issuer PLC: | ||||
floater Series 2006-1A: | ||||
Class B2, 0.67% 10/18/54 (h)(o) | $ 3,491,000 | $ 2,776,741 | ||
Class C2, 0.98% 10/18/54 (h)(o) | 1,170,000 | 760,500 | ||
Class M2, 0.76% 10/18/54 (h)(o) | 2,005,000 | 1,374,227 | ||
Series 2007-1A Class C2, 1.06% 10/18/54 (h)(o) | 321,000 | 276,307 | ||
GMAC Commercial Mortgage Securities, Inc. | 284,999 | 11,400 | ||
GMAC Mortgage Loan Trust Series 2003-J10 Class B2, 4.75% 1/25/19 (h) | 135,357 | 20,304 | ||
Gracechurch Mortgage Financing PLC floater | 2,852,000 | 1,996,400 | ||
Gracechurch Mortgage Funding PLC floater Series 1A Class DB, 0.98% 10/11/41 (h)(o) | 3,114,000 | 2,491,200 | ||
Granite Master Issuer PLC floater: | ||||
Series 2005-4 Class C2, 0.8225% 12/20/54 (o) | 205,017 | 30,753 | ||
Series 2006-1A Class C2, 0.8725% 12/20/54 (h)(o) | 6,523,000 | 978,450 | ||
Series 2006-2 Class C1, 0.7425% 12/20/54 (o) | 5,398,000 | 647,760 | ||
Series 2006-3 Class C2, 0.7725% 12/20/54 (o) | 1,124,000 | 134,880 | ||
Series 2006-4: | ||||
Class B1, 0.3625% 12/20/54 (o) | 4,521,000 | 1,582,350 | ||
Class C1, 0.6525% 12/20/54 (o) | 2,767,000 | 415,050 | ||
Class M1, 0.4425% 12/20/54 (o) | 1,190,000 | 214,200 | ||
Series 2007-1: | ||||
Class 1C1, 0.5725% 12/20/54 (o) | 2,234,000 | 268,080 | ||
Class 1M1, 0.4225% 12/20/54 (o) | 1,493,000 | 268,740 | ||
Class 2C1, 0.7025% 12/20/54 (o) | 1,015,000 | 121,800 | ||
Class 2M1, 0.5225% 12/20/54 (o) | 1,917,000 | 345,060 | ||
Series 2007-2 Class 2C1, 0.7028% 12/17/54 (o) | 2,654,000 | 398,100 | ||
Granite Mortgages PLC floater Series 2003-3 Class 1C, 2.96% 1/20/44 (o) | 430,241 | 54,256 | ||
GSR Mortgage Loan Trust: | ||||
Series 2004-11 Class 1A1, 4.3491% 9/25/34 (o) | 364,675 | 261,569 | ||
Series 2007-AR2 Class 2A1, 4.8216% 4/25/35 (o) | 911,900 | 614,425 | ||
Harborview Mortgage Loan Trust floater Series 2005-2 Class 2A1A, 0.5088% 5/19/35 (o) | 414,160 | 219,004 | ||
Holmes Master Issuer PLC floater Series 2006-1A | 919,000 | 856,876 | ||
Impac CMB Trust floater: | ||||
Series 2004-11 Class 2A2, 1.0056% 3/25/35 (o) | 233,053 | 76,762 | ||
Series 2005-1 Class M4, 1.0156% 4/25/35 (o) | 25,075 | 2,431 | ||
Series 2005-3 Class A1, 0.5056% 8/25/35 (o) | 582,542 | 271,205 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (d) | Value | ||
Private Sponsor - continued | ||||
JPMorgan Chase Commercial Mortgage Securities Trust Series 2007-CB18: | ||||
Class A1, 5.32% 6/12/47 (o) | $ 245,186 | $ 252,658 | ||
Class A3, 5.447% 6/12/47 (o) | 3,606,000 | 3,191,076 | ||
JPMorgan Mortgage Trust: | ||||
sequential payer Series 2006-A5 Class 3A5, 5.9501% 8/25/36 (o) | 2,600,000 | 1,934,562 | ||
Series 2004-A1 Class 2A1, 4.4607% 2/25/34 (o) | 1,377,040 | 1,229,030 | ||
Series 2004-A3 Class 4A1, 4.2916% 7/25/34 (o) | 3,416,420 | 3,005,617 | ||
Series 2004-A5 Class 2A1, 4.3385% 12/25/34 (o) | 2,495,913 | 2,170,233 | ||
Series 2006-A2 Class 5A1, 5.0559% 11/25/33 (o) | 4,232,458 | 3,718,055 | ||
LB Commercial Conduit Mortgage Trust Series 1998-C4 Class F, 6% 10/15/35 (h) | 65,058 | 64,850 | ||
LB-UBS Commercial Mortgage Trust sequential payer Series 2006-C6 Class A4, 5.372% 12/31/49 | 857,000 | 744,505 | ||
Lehman Structured Securities Corp. floater Series 2005-1 Class A2, 0.6544% 9/26/45 (h)(o) | 435,898 | 203,407 | ||
Luminent Mortgage Trust: | ||||
floater Series 2006-1 Class A1, 0.5056% 4/25/36 (o) | 19,897,965 | 9,093,587 | ||
Series 2006-5 Class A1A, 0.4556% 7/25/36 (o) | 15,949,841 | 7,223,635 | ||
MASTR Adjustable Rate Mortgages Trust: | ||||
floater Series 2005-1 Class 1A1, 0.5356% 2/25/35 (o) | 54,918 | 30,840 | ||
Series 2007-3 Class 22A2, 0.4756% 5/25/47 (o) | 4,656,446 | 1,600,129 | ||
MASTR Alternative Loan Trust Series 2004-3 Class 3A1, 6% 4/25/34 | 641,980 | 474,139 | ||
MASTR Asset Backed Securities Trust Series 2006-NC3 Class M1, 0.4956% 10/25/36 (o) | 547,000 | 8,600 | ||
Merrill Lynch Alternative Note Asset Trust floater | 9,254,596 | 4,087,770 | ||
Merrill Lynch Floating Trust floater Series 2006-1: | ||||
Class B, 0.4428% 6/15/22 (h)(o) | 251,984 | 141,850 | ||
Class C, 0.4628% 6/15/22 (h)(o) | 1,559,607 | 655,035 | ||
Class D, 0.4728% 6/15/22 (h)(o) | 600,006 | 168,002 | ||
Class E, 0.4828% 6/15/22 (h)(o) | 959,771 | 211,150 | ||
Class F, 0.5128% 6/15/22 (h)(o) | 1,545,171 | 309,034 | ||
Class G, 0.5828% 6/15/22 (h)(o) | 359,765 | 57,562 | ||
Class H, 0.6028% 6/15/22 (h)(o) | 720,211 | 100,830 | ||
Class J, 0.6428% 6/15/22 (h)(o) | 840,246 | 100,830 | ||
Class TM, 0.7728% 6/15/22 (h)(o) | 749,721 | 524,805 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (d) | Value | ||
Private Sponsor - continued | ||||
Merrill Lynch Mortgage Investors Trust: | ||||
floater: | ||||
Series 2005-B Class A2, 1.4% 7/25/30 (o) | $ 752,020 | $ 540,689 | ||
Series 2006-MLN1 Class M4, 0.6256% 7/25/37 (o) | 1,043,420 | 4,234 | ||
Series 2004-A4 Class A1, 3.3459% 8/25/34 (o) | 2,774,480 | 2,487,736 | ||
Series 2005-A2 Class A7, 4.4821% 2/25/35 (o) | 2,934,000 | 2,236,483 | ||
Series 2006-A6 Class A4, 5.364% 10/25/33 (o) | 2,075,451 | 1,784,872 | ||
Merrill Lynch Mortgage Trust Series 2002-MW1 Class E, 6.219% 7/12/34 (h) | 90,000 | 74,018 | ||
Merrill Lynch-CFC Commercial Mortgage Trust | 8,143,000 | 7,848,077 | ||
Opteum Mortgage Acceptance Corp. floater | 2,942,913 | 1,973,285 | ||
Option One Mortgage Loan Trust floater | 2,994,072 | 132,578 | ||
Permanent Financing No. 8 PLC floater Class 3C, 1.17% 6/10/42 (o) | 2,253,000 | 1,775,223 | ||
Permanent Master Issuer PLC floater Series 2006-1 | 522,174 | 391,631 | ||
Provident Funding Mortgage Loan Trust Series 2005-2 Class 3A, 4.2156% 10/25/35 (o) | 3,911,229 | 3,061,429 | ||
RESI Finance LP/RESI Finance DE Corp. floater: | ||||
Series 2003-B: | ||||
Class B5, 2.6256% 7/10/35 (h)(o) | 2,522,055 | 1,286,089 | ||
Class B6, 3.1256% 7/10/35 (h)(o) | 562,326 | 261,369 | ||
Series 2004-A: | ||||
Class B4, 1.4756% 2/10/36 (h)(o) | 759,342 | 304,952 | ||
Class B5, 1.9756% 2/10/36 (h)(o) | 506,179 | 190,121 | ||
Series 2004-B: | ||||
Class B4, 1.3756% 2/10/36 (h)(o) | 600,359 | 192,655 | ||
Class B5, 1.8256% 2/10/36 (h)(o) | 438,056 | 126,817 | ||
Class B6, 2.2756% 2/10/36 (h)(o) | 155,201 | 38,319 | ||
Series 2004-C: | ||||
Class B4, 1.2256% 9/10/36 (h)(o) | 795,078 | 261,740 | ||
Class B5, 1.6256% 9/10/36 (h)(o) | 883,838 | 255,164 | ||
Class B6, 2.0256% 9/10/36 (h)(o) | 162,504 | 37,132 | ||
Residential Accredit Loans, Inc. floater Series 2005-QO5 Class A1, 2.21% 1/25/46 (o) | 17,168,158 | 8,938,176 | ||
Residential Asset Mortgage Products, Inc.: | ||||
sequential payer: | ||||
Series 2003-SL1 Class A31, 7.125% 4/25/31 | 1,364,758 | 1,207,460 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (d) | Value | ||
Private Sponsor - continued | ||||
Residential Asset Mortgage Products, Inc.: - continued | ||||
sequential payer: | ||||
Series 2004-SL3 Class A1, 7% 8/25/16 | $ 132,998 | $ 117,719 | ||
Series 2005-AR5 Class 1A1, 4.3273% 9/19/35 (o) | 242,095 | 152,926 | ||
Residential Funding Securities Corp. floater | 484,455 | 343,161 | ||
RESIX Finance Ltd. floater Series 2007-A Class BB, 3.6228% 2/15/39 (h)(o) | 491,263 | 9,531 | ||
ResMAE Mortgage Loan Trust floater Series 2006-1 Class A2A, 0.3656% 2/25/36 (h)(o) | 4,483 | 4,483 | ||
Salomon Brothers Mortgage Securities VII, Inc. | 268,000 | 216,530 | ||
Sequoia Mortgage Trust floater: | ||||
Series 2004-6 Class A3B, 1.6013% 7/20/34 (o) | 46,315 | 31,216 | ||
Series 2004-7 Class A3B, 1.535% 7/20/34 (o) | 29,826 | 17,352 | ||
Soundview Home Equity Loan Trust floater | 329,919 | 5,296 | ||
Structured Asset Mortgage Investments, Inc. floater | 31,752,186 | 14,422,707 | ||
Structured Asset Securities Corp.: | ||||
floater Series 2004-NP1 Class A, 0.6656% 9/25/33 (h)(o) | 82,957 | 39,687 | ||
Series 2003-15A Class 4A, 5.4571% 4/25/33 (o) | 942,819 | 785,026 | ||
Series 2003-20 Class 1A1, 5.5% 7/25/33 | 834,861 | 716,783 | ||
TBW Mortgage-Backed pass-thru certificates floater Series 2006-4 Class A3, 0.4656% 9/25/36 (o) | 3,273,627 | 1,555,068 | ||
WaMu Mortgage pass-thru certificates: | ||||
floater Series 2006-AR11 Class C1B1, 0.3456% 9/25/46 (o) | 61,274 | 59,843 | ||
Series 2003-AR8 Class A, 4.1135% 8/25/33 (o) | 1,413,353 | 1,266,522 | ||
Series 2005-AR3 Class A2, 4.6405% 3/25/35 (o) | 3,837,638 | 3,050,175 | ||
Wells Fargo Mortgage Backed Securities Trust: | ||||
Series 2003-12 Class B6, 4.75% 11/25/18 (h) | 261,788 | 26,179 | ||
Series 2004-EE Class 2A2, 3.5361% 12/25/34 (o) | 1,324,779 | 1,130,135 | ||
Series 2004-H Class A1, 4.5272% 6/25/34 (o) | 3,033,132 | 2,688,439 | ||
Series 2004-T Class A1, 3.954% 9/25/34 (o) | 750,592 | 641,208 | ||
Series 2004-W Class A9, 4.5277% 11/25/34 (o) | 3,483,000 | 2,497,399 | ||
Series 2005-AR10 Class 2A2, 3.8109% 6/25/35 (o) | 3,084,587 | 2,812,606 | ||
Series 2005-AR12: | ||||
Class 2A5, 4.046% 7/25/35 (o) | 9,260,000 | 7,435,051 | ||
Class 2A6, 4.046% 7/25/35 (o) | 1,347,136 | 1,166,742 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (d) | Value | ||
Private Sponsor - continued | ||||
Wells Fargo Mortgage Backed Securities Trust: - continued | ||||
Series 2005-AR2: | ||||
Class 1A2, 4.6417% 3/25/35 (o) | $ 4,497,038 | $ 2,684,126 | ||
Class 2A2, 4.57% 3/25/35 | 3,803,089 | 3,294,572 | ||
Series 2005-AR3 Class 2A1, 3.768% 3/25/35 (o) | 2,299,990 | 1,918,695 | ||
TOTAL PRIVATE SPONSOR | 216,138,035 | |||
U.S. Government Agency - 0.5% | ||||
Fannie Mae subordinate REMIC pass-thru certificates: | ||||
planned amortization class Series 2002-9 Class PC, 6% 3/25/17 | 520,386 | 556,951 | ||
sequential payer Series 2002-77 Class CB, 5% 12/25/17 | 48,250,000 | 51,036,932 | ||
Freddie Mac Multi-class participation certificates guaranteed sequential payer Series 2528 Class HN, 5% 11/15/17 | 5,515,000 | 5,801,853 | ||
TOTAL U.S. GOVERNMENT AGENCY | 57,395,736 | |||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $267,698,729) | 273,533,771 | |||
Commercial Mortgage Securities - 6.1% | ||||
| ||||
Asset Securitization Corp.: | ||||
Series 1996-D2 Class B1A, 9.0776% 2/14/29 (h)(o) | 750,000 | 637,500 | ||
Series 1997-D4: | ||||
Class B1, 7.525% 4/14/29 | 210,000 | 216,458 | ||
Class B2, 7.525% 4/14/29 | 1,494,104 | 1,389,517 | ||
Class B5, 7.525% 4/14/29 | 129,000 | 21,644 | ||
Series 1997-D5: | ||||
Class A-6, 7.2794% 2/14/43 (o) | 2,225,000 | 2,012,067 | ||
Class A2, 6.9094% 2/14/43 (o) | 1,399,000 | 1,519,717 | ||
Class A3, 6.9594% 2/14/43 (o) | 1,510,000 | 1,635,101 | ||
Class A5, 7.0294% 2/14/43 (o) | 239,000 | 230,879 | ||
Class A7, 7.5194% 2/14/43 (o) | 795,000 | 676,352 | ||
Class PS1, 1.556% 2/14/43 (o)(q) | 7,268,874 | 255,750 | ||
Banc of America Commercial Mortgage Trust: | ||||
sequential payer: | ||||
Series 2006-2 Class AAB, 5.7211% 5/10/45 (o) | 2,221,000 | 2,190,007 | ||
Series 2006-4 Class A1, 5.363% 7/10/46 (o) | 1,005,907 | 1,022,458 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (d) | Value | ||
Banc of America Commercial Mortgage Trust: - continued | ||||
sequential payer: | ||||
Series 2006-5: | ||||
Class A1, 5.185% 9/10/47 | $ 1,335,323 | $ 1,357,912 | ||
Class A2, 5.317% 9/10/47 | 7,342,000 | 7,349,053 | ||
Class A3, 5.39% 9/10/47 | 2,653,000 | 2,544,840 | ||
Series 2006-6 Class A3, 5.369% 12/10/16 | 3,804,000 | 3,233,598 | ||
Series 2007-2 Class A1, 5.421% 4/10/49 | 679,114 | 691,190 | ||
Series 2007-4 Class A3, 5.8115% 2/10/51 (o) | 1,897,000 | 1,765,851 | ||
Series 2006-6 Class E, 5.619% 10/10/45 (h) | 1,098,000 | 141,752 | ||
Series 2007-3: | ||||
Class A3, 5.6581% 6/10/49 (o) | 3,176,000 | 2,677,733 | ||
Class A4, 5.6581% 6/10/49 (o) | 3,965,000 | 3,037,403 | ||
Series 2008-1 Class D, 6.2089% 2/10/51 (h)(o) | 125,000 | 17,813 | ||
Banc of America Commercial Mortgage, Inc.: | ||||
sequential payer: | ||||
Series 2000-2 Class A2, 7.197% 9/15/32 | 465,357 | 472,501 | ||
Series 2001-1 Class A4, 5.451% 1/15/49 | 4,166,000 | 3,577,859 | ||
Series 2002-2 Class F, 5.487% 7/11/43 | 415,000 | 356,152 | ||
Series 2004-2: | ||||
Class A2, 3.52% 11/10/38 | 19,263 | 19,248 | ||
Class A3, 4.05% 11/10/38 | 2,573,000 | 2,573,028 | ||
Class A4, 4.153% 11/10/38 | 2,412,000 | 2,350,334 | ||
Series 2004-4 Class A3, 4.128% 7/10/42 | 798,236 | 801,284 | ||
Series 2005-1 Class A3, 4.877% 11/10/42 | 7,211,322 | 7,203,440 | ||
Series 2006-1 Class A1, 5.219% 9/10/45 (o) | 2,516,715 | 2,549,606 | ||
Series 2007-1 Class A2, 5.381% 1/15/49 | 4,040,000 | 4,015,552 | ||
Series 2001-3 Class H, 6.562% 4/11/37 (h) | 1,062,000 | 1,013,348 | ||
Series 2001-PB1: | ||||
Class J, 7.166% 5/11/35 (h) | 474,000 | 312,461 | ||
Class K, 6.15% 5/11/35 (h) | 885,000 | 680,213 | ||
Series 2002-2 Class XP, 2.0377% 7/11/43 (h)(o)(q) | 1,521,141 | 9,079 | ||
Series 2003-2 Class XP, 0.4553% 3/11/41 (h)(o)(q) | 21,044,399 | 69,375 | ||
Series 2004-1 Class F, 5.279% 11/10/39 (h) | 185,000 | 69,523 | ||
Series 2004-5 Class G, 5.2246% 11/10/41 (h)(o) | 135,000 | 34,896 | ||
Series 2005-3 Series A3B, 5.09% 7/10/43 (o) | 5,908,000 | 5,658,774 | ||
Series 2005-6 Class A3, 5.1791% 9/10/47 (o) | 3,423,000 | 3,304,168 | ||
Series 2007-1 Class B, 5.543% 1/15/49 | 1,146,000 | 244,729 | ||
Banc of America Large Loan, Inc. floater: | ||||
Series 2005-MIB1: | ||||
Class B, 0.5328% 3/15/22 (h)(o) | 390,000 | 241,800 | ||
Class C, 0.5828% 3/15/22 (h)(o) | 817,000 | 473,860 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (d) | Value | ||
Banc of America Large Loan, Inc. floater: - continued | ||||
Series 2005-MIB1: - continued | ||||
Class D, 0.6328% 3/15/22 (h)(o) | $ 826,000 | $ 454,300 | ||
Class E, 0.6728% 3/15/22 (h)(o) | 684,000 | 355,680 | ||
Class F, 0.7428% 3/15/22 (h)(o) | 615,784 | 307,892 | ||
Class G, 0.8028% 3/15/22 (h)(o) | 399,119 | 179,604 | ||
Series 2006-BIX1: | ||||
Class C, 0.4528% 10/15/19 (h)(o) | 1,222,000 | 818,740 | ||
Class D, 0.4828% 10/15/19 (h)(o) | 1,494,000 | 896,400 | ||
Class E, 0.5128% 10/15/19 (h)(o) | 1,385,000 | 761,750 | ||
Class F, 0.5828% 10/15/19 (h)(o) | 3,150,730 | 1,575,365 | ||
Class G, 0.6028% 10/15/19 (h)(o) | 1,245,579 | 560,511 | ||
Bayview Commercial Asset Trust: | ||||
floater: | ||||
Series 2003-2 Class M1, 1.1156% 12/25/33 (h)(o) | 96,922 | 48,461 | ||
Series 2004-1: | ||||
Class A, 0.6256% 4/25/34 (h)(o) | 1,662,128 | 1,180,111 | ||
Class B, 2.1656% 4/25/34 (h)(o) | 186,348 | 74,539 | ||
Class M1, 0.8256% 4/25/34 (h)(o) | 149,617 | 88,274 | ||
Class M2, 1.4656% 4/25/34 (h)(o) | 138,226 | 69,113 | ||
Series 2004-2: | ||||
Class A, 0.6956% 8/25/34 (h)(o) | 1,290,997 | 903,698 | ||
Class M1, 0.8456% 8/25/34 (h)(o) | 217,311 | 108,655 | ||
Series 2004-3: | ||||
Class A1, 0.6356% 1/25/35 (h)(o) | 2,795,225 | 1,816,897 | ||
Class A2, 0.6856% 1/25/35 (h)(o) | 401,112 | 248,689 | ||
Class M1, 0.7656% 1/25/35 (h)(o) | 482,521 | 246,086 | ||
Class M2, 1.2656% 1/25/35 (h)(o) | 223,590 | 98,379 | ||
Series 2005-2A: | ||||
Class A1, 0.5756% 8/25/35 (h)(o) | 2,167,419 | 1,415,325 | ||
Class M1, 0.6956% 8/25/35 (h)(o) | 107,940 | 43,867 | ||
Class M2, 0.7456% 8/25/35 (h)(o) | 178,029 | 66,476 | ||
Class M3, 0.7656% 8/25/35 (h)(o) | 98,498 | 33,972 | ||
Class M4, 0.8756% 8/25/35 (h)(o) | 90,418 | 29,323 | ||
Series 2005-3A: | ||||
Class A1, 0.5856% 11/25/35 (h)(o) | 802,116 | 540,947 | ||
Class A2, 0.6656% 11/25/35 (h)(o) | 794,894 | 476,936 | ||
Class M1, 0.7056% 11/25/35 (h)(o) | 94,870 | 39,229 | ||
Class M2, 0.7556% 11/25/35 (h)(o) | 120,448 | 46,866 | ||
Class M3, 0.7756% 11/25/35 (h)(o) | 107,798 | 39,260 | ||
Class M4, 0.8656% 11/25/35 (h)(o) | 134,306 | 46,819 | ||
Series 2005-4A: | ||||
Class A2, 0.6556% 1/25/36 (h)(o) | 1,872,885 | 1,123,731 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (d) | Value | ||
Bayview Commercial Asset Trust: - continued | ||||
floater: | ||||
Series 2005-4A: - continued | ||||
Class B1, 1.6656% 1/25/36 (h)(o) | $ 161,849 | $ 43,699 | ||
Class M1, 0.7156% 1/25/36 (h)(o) | 604,156 | 283,953 | ||
Class M2, 0.7356% 1/25/36 (h)(o) | 181,247 | 79,749 | ||
Class M3, 0.7656% 1/25/36 (h)(o) | 264,697 | 108,526 | ||
Class M4, 0.8756% 1/25/36 (h)(o) | 146,392 | 54,165 | ||
Class M5, 0.9156% 1/25/36 (h)(o) | 146,392 | 48,309 | ||
Class M6, 0.9656% 1/25/36 (h)(o) | 155,484 | 45,091 | ||
Series 2006-1: | ||||
Class A2, 0.6256% 4/25/36 (h)(o) | 282,456 | 161,932 | ||
Class M1, 0.6456% 4/25/36 (h)(o) | 101,023 | 40,874 | ||
Class M2, 0.6656% 4/25/36 (h)(o) | 106,737 | 40,624 | ||
Class M3, 0.6856% 4/25/36 (h)(o) | 91,839 | 33,282 | ||
Class M4, 0.7856% 4/25/36 (h)(o) | 52,042 | 18,043 | ||
Class M5, 0.8256% 4/25/36 (h)(o) | 50,511 | 16,628 | ||
Class M6, 0.9056% 4/25/36 (h)(o) | 100,716 | 31,121 | ||
Series 2006-2A: | ||||
Class A1, 0.4956% 7/25/36 (h)(o) | 5,170,709 | 3,471,614 | ||
Class A2, 0.5456% 7/25/36 (h)(o) | 255,813 | 148,653 | ||
Class B1, 1.1356% 7/25/36 (h)(o) | 95,780 | 27,690 | ||
Class B3, 2.9656% 7/25/36 (h)(o) | 144,709 | 36,322 | ||
Class M1, 0.5756% 7/25/36 (h)(o) | 268,401 | 108,864 | ||
Class M2, 0.5956% 7/25/36 (h)(o) | 189,370 | 72,207 | ||
Class M3, 0.6156% 7/25/36 (h)(o) | 157,078 | 56,878 | ||
Class M4, 0.6856% 7/25/36 (h)(o) | 106,069 | 36,657 | ||
Class M5, 0.7356% 7/25/36 (h)(o) | 130,369 | 42,748 | ||
Class M6, 0.8056% 7/25/36 (h)(o) | 194,514 | 59,988 | ||
Series 2006-3A: | ||||
Class B1, 1.0656% 10/25/36 (h)(o) | 167,988 | 25,198 | ||
Class B2, 1.6156% 10/25/36 (h)(o) | 121,163 | 15,145 | ||
Class B3, 2.8656% 10/25/36 (h)(o) | 197,173 | 25,633 | ||
Class M4, 0.6956% 10/25/36 (h)(o) | 185,658 | 42,701 | ||
Class M5, 0.7456% 10/25/36 (h)(o) | 222,259 | 44,452 | ||
Class M6, 0.8256% 10/25/36 (h)(o) | 435,052 | 78,309 | ||
Series 2006-4A: | ||||
Class A1, 0.4956% 12/25/36 (h)(o) | 968,260 | 650,090 | ||
Class A2, 0.5356% 12/25/36 (h)(o) | 4,926,756 | 2,290,449 | ||
Class B1, 0.9656% 12/25/36 (h)(o) | 150,639 | 32,704 | ||
Class B2, 1.5156% 12/25/36 (h)(o) | 153,546 | 30,157 | ||
Class B3, 2.7156% 12/25/36 (h)(o) | 261,479 | 45,916 | ||
Class M1, 0.5556% 12/25/36 (h)(o) | 315,162 | 105,611 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (d) | Value | ||
Bayview Commercial Asset Trust: - continued | ||||
floater: | ||||
Series 2006-4A: - continued | ||||
Class M2, 0.5756% 12/25/36 (h)(o) | $ 210,108 | $ 65,617 | ||
Class M3, 0.6056% 12/25/36 (h)(o) | 213,047 | 62,785 | ||
Class M4, 0.6656% 12/25/36 (h)(o) | 254,921 | 70,919 | ||
Class M5, 0.7056% 12/25/36 (h)(o) | 234,351 | 61,213 | ||
Class M6, 0.7856% 12/25/36 (h)(o) | 210,108 | 50,783 | ||
Series 2007-1: | ||||
Class A2, 0.5356% 3/25/37 (h)(o) | 1,068,467 | 523,549 | ||
Class B1, 0.9356% 3/25/37 (h)(o) | 339,945 | 61,190 | ||
Class B2, 1.4156% 3/25/37 (h)(o) | 246,478 | 36,972 | ||
Class B3, 3.6156% 3/25/37 (h)(o) | 674,903 | 80,988 | ||
Class M1, 0.5356% 3/25/37 (h)(o) | 299,112 | 113,663 | ||
Class M2, 0.5556% 3/25/37 (h)(o) | 223,403 | 71,489 | ||
Class M3, 0.5856% 3/25/37 (h)(o) | 198,128 | 59,438 | ||
Class M4, 0.6356% 3/25/37 (h)(o) | 159,231 | 42,992 | ||
Class M5, 0.6856% 3/25/37 (h)(o) | 248,562 | 59,655 | ||
Class M6, 0.7656% 3/25/37 (h)(o) | 348,004 | 74,821 | ||
Series 2007-2A: | ||||
Class A1, 0.5356% 7/25/37 (h)(o) | 930,321 | 539,586 | ||
Class A2, 0.5856% 7/25/37 (h)(o) | 869,259 | 408,552 | ||
Class B1, 1.8656% 7/25/37 (h)(o) | 267,708 | 38,818 | ||
Class B2, 2.5156% 7/25/37 (h)(o) | 231,774 | 31,290 | ||
Class B3, 3.6156% 7/25/37 (h)(o) | 260,583 | 33,876 | ||
Class M1, 0.6356% 7/25/37 (h)(o) | 305,235 | 106,832 | ||
Class M2, 0.6756% 7/25/37 (h)(o) | 166,793 | 50,038 | ||
Class M3, 0.7556% 7/25/37 (h)(o) | 169,119 | 42,280 | ||
Class M4, 0.9156% 7/25/37 (h)(o) | 333,898 | 66,780 | ||
Class M5, 1.0156% 7/25/37 (h)(o) | 294,338 | 52,981 | ||
Class M6, 1.2656% 7/25/37 (h)(o) | 373,201 | 55,980 | ||
Series 2007-3: | ||||
Class A2, 0.5556% 7/25/37 (h)(o) | 998,714 | 492,566 | ||
Class B1, 1.2156% 7/25/37 (h)(o) | 242,744 | 48,063 | ||
Class B2, 1.8656% 7/25/37 (h)(o) | 607,457 | 103,450 | ||
Class B3, 4.2656% 7/25/37 (h)(o) | 322,706 | 47,535 | ||
Class M1, 0.5756% 7/25/37 (h)(o) | 216,912 | 81,494 | ||
Class M2, 0.6056% 7/25/37 (h)(o) | 232,489 | 81,023 | ||
Class M3, 0.6356% 7/25/37 (h)(o) | 366,346 | 120,015 | ||
Class M4, 0.7656% 7/25/37 (h)(o) | 575,218 | 167,561 | ||
Class M5, 0.8656% 7/25/37 (h)(o) | 298,365 | 73,189 | ||
Class M6, 1.0656% 7/25/37 (h)(o) | 227,512 | 52,714 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (d) | Value | ||
Bayview Commercial Asset Trust: - continued | ||||
floater: | ||||
Series 2007-4A: | ||||
Class B1, 2.8156% 9/25/37 (h)(o) | $ 344,457 | $ 44,779 | ||
Class B2, 3.7156% 9/25/37 (h)(o) | 1,253,246 | 150,390 | ||
Class M1, 1.2156% 9/25/37 (h)(o) | 331,221 | 82,805 | ||
Class M2, 1.3156% 9/25/37 (h)(o) | 331,221 | 69,556 | ||
Class M4, 1.8656% 9/25/37 (h)(o) | 847,151 | 144,016 | ||
Class M5, 2.0156% 9/25/37 (h)(o) | 847,151 | 127,073 | ||
Class M6, 2.2156% 9/25/37 (h)(o) | 848,796 | 114,587 | ||
Series 2004-1 Class IO, 1.25% 4/25/34 (h)(q) | 5,427,381 | 84,124 | ||
Series 2007-5A Class IO, 1.5496% 10/25/37 (h)(q) | 11,709,110 | 1,006,983 | ||
Bear Stearns Commercial Mortgage Securities Trust: | ||||
floater: | ||||
Series 2006-BBA7: | ||||
Class G, 0.7128% 3/15/19 (h)(o) | 805,386 | 386,585 | ||
Class H, 0.9228% 3/15/19 (h)(o) | 541,917 | 233,024 | ||
Class J, 1.1228% 3/15/19 (h)(o) | 407,118 | 154,705 | ||
Series 2007-BBA8: | ||||
Class D, 0.5228% 3/15/22 (h)(o) | 655,330 | 326,865 | ||
Class E, 0.5728% 3/15/22 (h)(o) | 3,414,157 | 1,581,741 | ||
Class F, 0.6228% 3/15/22 (h)(o) | 2,094,922 | 895,715 | ||
Class G, 0.6728% 3/15/22 (h)(o) | 537,549 | 210,080 | ||
Class H, 0.8228% 3/15/22 (h)(o) | 655,330 | 236,194 | ||
Class J, 0.9728% 3/15/22 (h)(o) | 655,330 | 183,659 | ||
sequential payer: | ||||
Series 2003-PWR2 Class A3, 4.834% 5/11/39 | 1,077,307 | 1,105,333 | ||
Series 2004-PWR3 Class A3, 4.487% 2/11/41 | 2,360,280 | 2,377,226 | ||
Series 2006-PW14 Class A4, 5.201% 12/11/38 | 2,458,000 | 2,190,846 | ||
Series 2006-T24 Class A1, 4.905% 10/12/41 (o) | 2,069,276 | 2,100,594 | ||
Series 2007-PW16 Class A4, 5.7167% 6/11/40 (o) | 1,112,000 | 954,602 | ||
Series 2007-PW17 Class A1, 5.282% 6/11/50 | 1,153,851 | 1,163,525 | ||
Series 2007-T26 Class A1, 5.145% 1/12/45 (o) | 653,324 | 658,356 | ||
Series 1999-C1: | ||||
Class G, 5.64% 2/14/31 (h) | 60,000 | 42,138 | ||
Class I, 5.64% 2/14/31 (h) | 170,000 | 34,000 | ||
Series 2003-PWR2 Class X2, 0.4648% 5/11/39 (h)(o)(q) | 17,823,235 | 145,078 | ||
Series 2006-PW13 Class A3, 5.518% 9/11/41 | 6,714,000 | 6,355,790 | ||
Series 2006-PW14 Class X2, 0.6482% 12/11/38 (h)(o)(q) | 27,676,813 | 568,839 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (d) | Value | ||
Bear Stearns Commercial Mortgage Securities Trust: - continued | ||||
Series 2006-T22: | ||||
Class A1, 5.415% 4/12/38 (o) | $ 320,583 | $ 324,773 | ||
Class A4, 5.4634% 4/12/38 (o) | 237,000 | 224,790 | ||
Series 2007-BBA8: | ||||
Class K, 1.4728% 3/15/22 (h)(o) | 105,000 | 39,277 | ||
Class L, 2.1728% 3/15/22 (h)(o) | 214,000 | 42,824 | ||
Series 2007-PW15 Class A1, 5.016% 2/11/44 | 575,172 | 578,281 | ||
Series 2007-PW16: | ||||
Class B, 5.713% 6/11/40 (h) | 304,000 | 88,226 | ||
Class C, 5.713% 6/11/40 (h) | 255,000 | 63,794 | ||
Class D, 5.713% 6/11/40 (h) | 255,000 | 61,241 | ||
Series 2007-PW18 Class X2, 0.3442% 6/11/50 (h)(o)(q) | 189,567,064 | 2,550,265 | ||
Series 2007-T28: | ||||
Class A1, 5.422% 9/11/42 | 333,790 | 339,448 | ||
Class X2, 0.1821% 9/11/42 (h)(o)(q) | 95,248,962 | 634,853 | ||
C-BASS Trust floater Series 2006-SC1 Class A, 0.5356% 5/25/36 (h)(o) | 1,037,593 | 536,820 | ||
CDC Commercial Mortgage Trust Series 2002-FX1: | ||||
Class G, 6.625% 5/15/35 (h) | 2,235,000 | 2,184,748 | ||
Class XCL, 2.3511% 5/15/35 (h)(o)(q) | 30,719,812 | 1,137,702 | ||
Chase Commercial Mortgage Securities Corp.: | ||||
Series 1998-1 Class H, 6.34% 5/18/30 (h) | 800,000 | 496,741 | ||
Series 1998-2 Class J, 6.39% 11/18/30 (h) | 490,739 | 78,420 | ||
Series 1999-2: | ||||
Class E, 7.734% 1/15/32 | 763,000 | 760,677 | ||
Class F, 7.734% 1/15/32 | 413,000 | 410,920 | ||
Series 2001-245 Class A2, 6.275% 2/12/16 (h)(o) | 1,932,000 | 2,014,925 | ||
Citigroup Commercial Mortgage Trust: | ||||
floater Series 2006-FL2: | ||||
Class F, 0.5828% 8/16/21 (h)(o) | 678,000 | 203,400 | ||
Class G, 0.6028% 11/15/36 (h)(o) | 542,222 | 151,822 | ||
Class H, 0.6428% 11/15/36 (h)(o) | 433,548 | 108,387 | ||
sequential payer Series 2006-C5 Class A4, 5.431% 10/15/49 | 9,955,000 | 8,966,889 | ||
Series 2006-C5 Class AMP2, 5.5005% 10/15/49 (h) | 3,233,000 | 1,131,550 | ||
Series 2006-FL2 Class CNP3, 1.4728% 8/16/21 (h)(o) | 5,089,327 | 1,526,798 | ||
Series 2007-C6: | ||||
Class A1, 5.622% 12/10/49 (o) | 11,857,201 | 12,139,543 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (d) | Value | ||
Citigroup Commercial Mortgage Trust: - continued | ||||
Series 2007-C6: - continued | ||||
Class A4, 5.6994% 12/10/49 (o) | $ 4,303,000 | $ 3,740,469 | ||
Series 2007-FL3A Class A2, 0.4128% 4/15/22 (h)(o) | 6,878,000 | 4,126,800 | ||
Citigroup/Deutsche Bank Commercial Mortgage Trust: | ||||
sequential payer: | ||||
Series 2006-CD2 Class A4, 5.3625% 1/15/46 (o) | 11,229,000 | 10,022,092 | ||
Series 2007-CD4: | ||||
Class A1, 4.977% 12/11/49 | 516,532 | 522,494 | ||
Class A2A, 5.237% 12/11/49 | 11,693,000 | 11,619,039 | ||
Class A3, 5.293% 12/11/49 | 1,852,000 | 1,718,520 | ||
Class C, 5.476% 12/11/49 | 3,581,000 | 268,575 | ||
Claregold Trust Series 2007-2A: | ||||
Class F, 5.01% 5/15/44 (o) | CAD | 138,000 | 46,273 | |
Class G, 5.01% 5/15/44 (o) | CAD | 30,000 | 9,044 | |
Class H, 5.01% 5/15/44 (o) | CAD | 20,000 | 5,354 | |
Class J, 5.01% 5/15/44 (o) | CAD | 20,000 | 4,903 | |
Class K, 5.01% 5/15/44 (o) | CAD | 10,000 | 2,163 | |
Class L, 5.01% 5/15/44 (o) | CAD | 36,000 | 6,924 | |
Class M, 5.01% 5/15/44 (o) | CAD | 165,000 | 31,877 | |
Cobalt CMBS Commercial Mortgage Trust: | ||||
sequential payer: | ||||
Series 2006-C1 Class A1, 5.043% 8/15/48 | 303,620 | 304,726 | ||
Series 2007-C2 Class A1, 5.064% 4/15/47 (o) | 275,982 | 279,884 | ||
Series 2007-C3 Class A3, 5.8202% 5/15/46 (o) | 1,902,000 | 1,735,995 | ||
Series 2006-C1 Class B, 5.359% 8/15/48 | 5,706,000 | 970,020 | ||
COMM pass-thru certificates: | ||||
floater: | ||||
Series 2005-F10A: | ||||
Class B, 0.5028% 4/15/17 (h)(o) | 4,261,000 | 2,513,990 | ||
Class C, 0.5428% 4/15/17 (h)(o) | 1,531,000 | 887,123 | ||
Class D, 0.5828% 4/15/17 (h)(o) | 950,056 | 498,513 | ||
Class E, 0.6428% 4/15/17 (h)(o) | 302,445 | 145,642 | ||
Class F, 0.6828% 4/15/17 (h)(o) | 171,562 | 77,622 | ||
Class G, 0.8228% 4/15/17 (h)(o) | 171,562 | 72,070 | ||
Class H, 0.8928% 4/15/17 (h)(o) | 171,562 | 70,340 | ||
Class J, 1.1228% 4/15/17 (h)(o) | 131,565 | 52,626 | ||
Series 2005-FL11: | ||||
Class C, 0.5728% 11/15/17 (h)(o) | 3,000,607 | 1,455,084 | ||
Class D, 0.6128% 11/15/17 (h)(o) | 156,045 | 82,837 | ||
Class E, 0.6628% 11/15/17 (h)(o) | 554,751 | 281,026 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (d) | Value | ||
COMM pass-thru certificates: - continued | ||||
floater: | ||||
Series 2005-FL11: - continued | ||||
Class F, 0.7228% 11/15/17 (h)(o) | $ 384,344 | $ 185,869 | ||
Class G, 0.7728% 11/15/17 (h)(o) | 266,408 | 123,002 | ||
Series 2006-FL12 Class AJ, 0.4028% 12/15/20 (h)(o) | 2,710,000 | 1,367,710 | ||
sequential payer: | ||||
Series 2005-C6 Class A2, 4.999% 6/10/44 (o) | 179,000 | 179,764 | ||
Series 2006-C8: | ||||
Class A1, 5.11% 12/10/46 | 105,470 | 106,105 | ||
Class A3, 5.31% 12/10/46 | 5,420,000 | 4,889,105 | ||
Series 2006-CN2A Class A2FX, 5.449% 2/5/19 | 3,216,000 | 3,111,506 | ||
Series 2007-C9 Class A4, 5.8162% 12/10/49 (o) | 4,209,000 | 3,699,816 | ||
Series 2001-J1A Class F, 6.958% 2/14/34 (h) | 500,000 | 478,009 | ||
Series 2001-J2A Class F, 7.0309% 7/16/34 (h)(o) | 190,000 | 102,113 | ||
Series 2004-LBN2 Class X2, 0.8704% 3/10/39 (h)(o)(q) | 4,283,991 | 47,898 | ||
Series 2006-C8: | ||||
Class B, 5.44% 12/10/46 | 3,294,000 | 946,411 | ||
Class XP, 0.4956% 12/10/46 (o)(q) | 23,582,327 | 359,923 | ||
Commercial Mortgage Acceptance Corp.: | ||||
Series 1998-C1: | ||||
Class F, 6.23% 7/15/31 (h) | 137,515 | 136,953 | ||
Class G, 6.21% 7/15/31 (h) | 500,000 | 448,428 | ||
weighted average coupon Series 1998-C2 Class F, 5.44% 9/15/30 (h)(o) | 196,930 | 182,160 | ||
Commercial Mortgage Asset Trust: | ||||
sequential payer Series 1999-C2 Class A2, 7.546% 11/17/32 (o) | 653,771 | 656,803 | ||
Series 1999-C1 Class F, 6.25% 1/17/32 (h) | 550,000 | 310,805 | ||
Credit Suisse Commercial Mortgage Trust: | ||||
sequential payer: | ||||
Series 2006-C5: | ||||
Class A1, 5.297% 12/15/39 | 784,254 | 797,395 | ||
Class AJ, 5.373% 12/15/39 | 3,852,000 | 1,450,630 | ||
Series 2007-C2: | ||||
Class A1, 5.269% 1/15/49 | 170,024 | 172,617 | ||
Class A2, 5.448% 1/15/49 (o) | 10,150,000 | 10,035,368 | ||
Class A3, 5.542% 1/15/49 (o) | 3,804,000 | 2,768,511 | ||
Series 2007-C3: | ||||
Class A1, 5.664% 6/15/39 (o) | 386,585 | 394,408 | ||
Class A4, 5.7229% 6/15/39 (o) | 1,144,000 | 837,954 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (d) | Value | ||
Credit Suisse Commercial Mortgage Trust: - continued | ||||
Series 2006-C4 Class AAB, 5.439% 9/15/39 | $ 10,824,000 | $ 10,493,414 | ||
Series 2006-C5 Class ASP, 0.6636% 12/15/39 (o)(q) | 14,987,177 | 317,379 | ||
Series 2007-C5 Class A4, 5.695% 9/15/40 (o) | 1,722,000 | 1,267,383 | ||
Credit Suisse First Boston Mortgage Capital Certificates floater Series 2007-TF2A Class B, 0.6228% 4/15/22 (h)(o) | 6,783,000 | 1,695,750 | ||
Credit Suisse First Boston Mortgage Securities Corp.: | ||||
sequential payer: | ||||
Series 2000-C1 Class A2, 7.545% 4/15/62 | 2,126,346 | 2,173,119 | ||
Series 2001-CK6 Class B, 6.582% 8/15/36 | 1,902,000 | 1,915,814 | ||
Series 2002-CP5 Class A1, 4.106% 12/15/35 | 176,825 | 179,702 | ||
Series 2004-C1: | ||||
Class A3, 4.321% 1/15/37 | 641,398 | 648,292 | ||
Class A4, 4.75% 1/15/37 | 884,000 | 862,233 | ||
Series 1997-C2 Class F, 7.46% 1/17/35 (o) | 929,000 | 950,471 | ||
Series 1998-C1: | ||||
Class D, 7.17% 5/17/40 | 1,989,251 | 2,054,648 | ||
Class H, 6% 5/17/40 (h) | 130,000 | 11,516 | ||
Series 1999-C1 Class E, 8.1143% 9/15/41 (o) | 1,966,000 | 1,959,013 | ||
Series 2001-CK6 Class AX, 0.9618% 9/15/18 (o)(q) | 5,525,382 | 88,447 | ||
Series 2001-CKN5 Class AX, 2.0784% 9/15/34 (h)(o)(q) | 17,735,233 | 527,863 | ||
Series 2001-SPGA Class C, 6.809% 8/13/18 (h) | 190,000 | 157,892 | ||
Series 2003-C3: | ||||
Class D, 4.131% 5/15/38 | 120,000 | 74,231 | ||
Class J, 4.231% 5/15/38 (h) | 300,000 | 84,612 | ||
Series 2003-C4 Class ASP, 0.4415% 8/15/36 (h)(o)(q) | 13,482,059 | 60,428 | ||
Series 2006-C1 Class A3, 5.5509% 2/15/39 (o) | 10,043,000 | 9,803,904 | ||
Credit Suisse Mortgage Capital Certificates: | ||||
floater: | ||||
Series 200-TFL1 Class B, 0.4228% 2/15/22 (h)(o) | 721,000 | 324,450 | ||
Series 2007-TFL1: | ||||
Class C: | ||||
0.4428% 2/15/22 (h)(o) | 1,864,711 | 708,590 | ||
0.5428% 2/15/22 (h)(o) | 665,993 | 199,798 | ||
Class F, 0.5928% 2/15/22 (h)(o) | 1,331,815 | 359,590 | ||
Class L, 2.1728% 2/15/22 (h)(o) | 100,000 | 10,000 | ||
sequential payer Series 2007-C1: | ||||
Class A1, 5.227% 2/15/40 | 201,852 | 205,656 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (d) | Value | ||
Credit Suisse Mortgage Capital Certificates: - continued | ||||
sequential payer Series 2007-C1: - continued | ||||
Class A2, 5.268% 2/15/40 | $ 18,300,000 | $ 18,043,904 | ||
Series 2007-C1: | ||||
Class ASP, 0.4177% 2/15/40 (o)(q) | 37,268,901 | 533,970 | ||
Class B, 5.487% 2/15/40 (h)(o) | 2,907,000 | 421,515 | ||
Credit Suisse/Morgan Stanley Commercial Mortgage Trust Series 2006-HC1A Class A1, 0.4628% 5/15/23 (h)(o) | 218,078 | 183,263 | ||
Crest Ltd. Series 2001-1A Class C, 9% 2/25/34 (h) | 500,000 | 200,000 | ||
Deutsche Mortgage & Asset Receiving Corp. | 330,000 | 198,000 | ||
DLJ Commercial Mortgage Corp.: | ||||
sequential payer Series 2000-CF1 Class A1B, 7.62% 6/10/33 | 5,238,656 | 5,352,562 | ||
Series 1998-CG1 Class B4, 7.2288% 6/10/31 (h)(o) | 891,000 | 905,588 | ||
First Chicago/Lennar Trust I Series 1997-CHL1 Class E, 7.7458% 4/29/39 (h)(o) | 15,051 | 14,900 | ||
First Union National Bank Commercial Mortgage Trust sequential payer Series 1999-C4 Class C, 7.793% 12/15/31 (h) | 367,000 | 367,953 | ||
First Union National Bank-Bank of America Commercial Mortgage Trust Series 2001-C1: | ||||
Class D, 6.484% 3/15/33 | 679,000 | 612,063 | ||
Class G, 6.936% 3/15/33 (h) | 1,252,000 | 1,055,974 | ||
Class H, 7.039% 3/15/33 (h) | 50,000 | 38,577 | ||
First Union-Lehman Brothers-Bank of America Commercial Mortgage Trust sequential payer | 361,000 | 261,675 | ||
G-Force LLC sequential payer Series 2005-RRA | 600,000 | 462,000 | ||
GE Capital Commercial Mortgage Corp.: | ||||
sequential payer: | ||||
Series 2000-1 Class A2, 6.496% 1/15/33 | 462,528 | 465,508 | ||
Series 2007-C1 Class A4, 5.543% 12/10/49 | 9,454,000 | 6,839,260 | ||
Series 2001-1 Class X1, 1.0483% 5/15/33 (h)(o)(q) | 19,666,775 | 275,858 | ||
Series 2001-3 Class C, 6.51% 6/10/38 | 287,000 | 275,379 | ||
Series 2002-1A Class H, 7.1598% 12/10/35 (h)(o) | 55,000 | 41,497 | ||
Series 2004-C1 Class X2, 1.3053% 11/10/38 (h)(o)(q) | 12,910,449 | 173,076 | ||
Series 2005-C1 Class B, 4.846% 6/10/48 (o) | 543,000 | 174,128 | ||
Series 2007-C1 Class XP, 0.2088% 12/10/49 (o)(q) | 41,031,460 | 293,999 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (d) | Value | ||
GMAC Commercial Mortgage Securities, Inc.: | ||||
Series 1997-C1 Class H, 6.6% 7/15/29 | $ 489,765 | $ 69,430 | ||
Series 1997-C2: | ||||
Class F, 6.75% 4/15/29 (o) | 1,100,000 | 1,036,221 | ||
Class G, 6.75% 4/15/29 (o) | 500,000 | 257,287 | ||
Series 1999-C1 Class F, 6.02% 5/15/33 (h) | 500,000 | 399,469 | ||
Series 1999-C2I Class K, 6.481% 9/15/33 (r) | 285,000 | 15,727 | ||
Series 1999-C3: | ||||
Class J, 6.974% 8/15/36 (h) | 226,000 | 206,489 | ||
Class K, 6.974% 8/15/36 (h) | 427,000 | 120,570 | ||
Series 2000-C1: | ||||
Class G, 7% 3/15/33 (h) | 120,000 | 111,365 | ||
Class H, 7% 3/15/33 (h) | 100,000 | 77,111 | ||
Class K, 7% 3/15/33 | 90,000 | 52,047 | ||
Series 2002-C3 Class B, 5.101% 7/10/39 | 235,000 | 231,120 | ||
Series 2003-C3 Class X2, 0.8723% 12/10/38 (h)(o)(q) | 14,806,897 | 108,518 | ||
Series 2005-C1 Class X2, 0.6559% 5/10/43 (o)(q) | 10,367,371 | 128,707 | ||
Greenwich Capital Commercial Funding Corp.: | ||||
floater Series 2006-FL4 Class B, 0.4653% 11/5/21 (h)(o) | 715,000 | 330,015 | ||
sequential payer: | ||||
Series 2004-GG1 Class A4, 4.755% 6/10/36 | 1,214,000 | 1,223,465 | ||
Series 2007-GG11: | ||||
Class A1, 5.358% 12/10/49 | 2,065,293 | 2,100,531 | ||
Class A2, 5.597% 12/10/49 | 3,804,000 | 3,658,408 | ||
Series 2007-GG9: | ||||
Class A1, 5.233% 3/10/39 | 520,760 | 528,905 | ||
Class A4, 5.444% 3/10/39 | 5,530,000 | 4,718,465 | ||
Series 2002-C1 Class H, 5.903% 1/11/35 (h) | 86,000 | 64,019 | ||
Series 2003-C1 Class XP, 2.2423% 7/5/35 (h)(o)(q) | 7,814,659 | 118,254 | ||
Series 2003-C2: | ||||
Class J, 5.234% 1/5/36 (h)(o) | 250,000 | 92,372 | ||
Class XP, 1.1772% 1/5/36 (h)(o)(q) | 17,800,000 | 154,217 | ||
Series 2005-GG3 Class XP, 0.9155% 8/10/42 (h)(o)(q) | 38,005,737 | 639,614 | ||
Series 2006-GG7: | ||||
Class A3, 5.9166% 7/10/38 (o) | 5,013,000 | 4,763,268 | ||
Class A4, 5.9166% 7/10/38 (o) | 9,540,000 | 8,330,655 | ||
Series 2007-GG11 Class A1, 0.4798% 12/10/49 (h)(q) | 47,931,734 | 516,488 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (d) | Value | ||
GS Mortgage Securities Corp. II: | ||||
floater: | ||||
Series 2006-FL8A: | ||||
Class C, 0.5156% 6/6/20 (h)(o) | $ 96,000 | $ 71,040 | ||
Class D, 0.5556% 6/6/20 (h)(o) | 453,000 | 240,090 | ||
Class E, 0.6456% 6/6/20 (h)(o) | 526,000 | 268,260 | ||
Class F, 0.7156% 6/6/20 (h)(o) | 835,001 | 384,100 | ||
Class J, 2.0256% 6/6/20 (h)(o) | 250,000 | 12,500 | ||
Series 2007-EOP: | ||||
Class C, 0.5956% 3/6/20 (h)(o) | 1,994,000 | 1,515,440 | ||
Class D, 0.6456% 3/6/20 (h)(o) | 4,004,000 | 3,003,000 | ||
Class F, 0.7556% 3/6/20 (h)(o) | 164,000 | 119,720 | ||
Class G, 0.7956% 3/6/20 (h)(o) | 81,000 | 58,320 | ||
Class H, 0.9256% 3/6/20 (h)(o) | 60,000 | 41,400 | ||
Class J, 1.1256% 3/6/20 (h)(o) | 86,000 | 57,620 | ||
Class L, 1.5756% 3/1/20 (h)(o) | 400,000 | 248,000 | ||
sequential payer Series 2004-GG2 Class A4, 4.964% 8/10/38 | 590,000 | 587,821 | ||
Series 1997-GL Class G, 7.5095% 7/13/30 (o) | 851,849 | 898,530 | ||
Series 1998-GLII Class G, 7.751% 4/13/31 (h)(o) | 600,000 | 429,270 | ||
Series 2001-GL3A Class JGGP, 7.397% 8/5/18 (h)(o) | 350,000 | 122,500 | ||
Series 2001-LIBA Class C, 6.733% 2/14/16 (h) | 941,000 | 1,009,886 | ||
Series 2005-GG4 Class XP, 0.6918% 7/10/39 (h)(o)(q) | 43,030,049 | 670,107 | ||
Series 2006-GG6 Class A2, 5.506% 4/10/38 (o) | 11,153,000 | 11,204,444 | ||
Series 2006-RR2: | ||||
Class M, 5.6937% 6/1/46 (h)(o) | 100,000 | 2,000 | ||
Class N, 5.6937% 6/1/46 (h)(o) | 100,000 | 2,000 | ||
GS Mortgage Securities Trust: | ||||
sequential payer: | ||||
Series 2006-GG8 Class A2, 5.479% 11/10/39 | 2,852,000 | 2,833,260 | ||
Series 2007-GG10: | ||||
Class A1, 5.69% 8/10/45 | 736,720 | 755,076 | ||
Class A2, 5.778% 8/10/45 | 13,561,000 | 13,516,660 | ||
Class A4, 5.8051% 8/10/45 (o) | 5,590,000 | 4,370,013 | ||
Series 2007-GG10 Class B, 5.8051% 8/10/45 (o) | 2,376,000 | 513,748 | ||
JPMorgan Chase Commercial Mortgage Securities Corp.: | ||||
Series 2002-C1 Class E, 6.135% 7/12/37 (h) | 180,000 | 143,781 | ||
Series 2003-C1: | ||||
Class CM1, 5.5061% 1/12/37 (h)(o) | 210,246 | 142,967 | ||
Class D, 5.192% 1/12/37 | 230,000 | 158,344 | ||
Series 2004-C1 Class X2, 1.1524% 1/15/38 (h)(o)(q) | 3,967,109 | 44,538 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (d) | Value | ||
JPMorgan Chase Commercial Mortgage Securities Corp.: - continued | ||||
Series 2004-CB8 Class X2, 1.2614% 1/12/39 (h)(o)(q) | $ 4,136,691 | $ 54,051 | ||
JPMorgan Chase Commercial Mortgage Securities Trust: | ||||
floater: | ||||
Series 2004-FL1A Class B, 0.5428% 4/16/19 (h)(o) | 1,057,055 | 898,497 | ||
Series 2005-FL1A Class A2, 0.4528% 2/15/19 (h)(o) | 1,447,000 | 1,287,185 | ||
Series 2006-FLA2: | ||||
Class A2, 0.4028% 11/15/18 (h)(o) | 10,000,000 | 6,067,143 | ||
Class B, 0.4428% 11/15/18 (h)(o) | 1,592,243 | 845,469 | ||
Class C, 0.4828% 11/15/18 (h)(o) | 1,131,245 | 577,952 | ||
Class D, 0.5028% 11/15/18 (h)(o) | 344,601 | 149,497 | ||
Class E, 0.5528% 11/15/18 (h)(o) | 497,106 | 215,295 | ||
Class F, 0.6028% 11/15/18 (h)(o) | 744,295 | 313,802 | ||
Class G, 0.6328% 11/15/18 (h)(o) | 646,729 | 277,185 | ||
Class H, 0.7728% 11/15/18 (h)(o) | 497,106 | 175,715 | ||
sequential payer: | ||||
Series 2006-CB14 Class A3B, 5.4854% 12/12/44 (o) | 5,657,000 | 5,104,259 | ||
Series 2006-CB15 Class A3, 5.819% 6/12/43 (o) | 2,864,000 | 2,648,638 | ||
Series 2006-CB17 Class A4, 5.429% 12/12/43 | 6,150,000 | 5,528,014 | ||
Series 2006-LDP8 Class A4, 5.399% 5/15/45 | 1,210,000 | 1,005,093 | ||
Series 2006-LDP9 Class A2, 5.134% 5/15/47 (o) | 903,000 | 855,587 | ||
Series 2007-CB19 Class A4, 5.7476% 2/12/49 (o) | 6,670,000 | 5,523,473 | ||
Series 2007-LD11: | ||||
Class A2, 5.7828% 6/15/49 (o) | 5,340,000 | 5,332,368 | ||
Class A4, 5.7978% 6/15/49 (o) | 2,823,000 | 2,387,597 | ||
Series 2007-LDP10 Class A1, 5.122% 1/15/49 | 189,407 | 192,178 | ||
Series 2007-LDPX Class A3, 5.412% 1/15/49 | 5,234,000 | 4,393,372 | ||
Series 2004-CBX Class D, 5.097% 1/12/37 (o) | 65,000 | 40,950 | ||
Series 2004-LDP4 Class D, 5.1236% 10/15/42 (o) | 1,711,000 | 376,692 | ||
Series 2004-LN2 Class D, 5.2154% 7/15/41 (o) | 420,000 | 92,440 | ||
Series 2005-CB13 Class E, 5.3498% 1/12/43 (h)(o) | 963,000 | 163,804 | ||
Series 2005-LDP3 Class A3, 4.959% 8/15/42 | 10,750,000 | 10,654,517 | ||
Series 2006-CB15 Class A4, 5.814% 6/12/43 (o) | 15,465,000 | 14,168,145 | ||
Series 2006-CB17 Class A3, 5.45% 12/12/43 | 543,000 | 513,357 | ||
Series 2007-CB19: | ||||
Class B, 5.7442% 2/12/49 | 165,000 | 47,886 | ||
Class C, 5.7462% 2/12/49 | 424,000 | 106,071 | ||
Class D, 5.7462% 2/12/49 | 447,000 | 107,351 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (d) | Value | ||
JPMorgan Chase Commercial Mortgage Securities Trust: - continued | ||||
Series 2007-LDP10: | ||||
Class BS, 5.437% 1/15/49 (o) | $ 364,000 | $ 85,625 | ||
Class CS, 5.466% 1/15/49 (o) | 157,000 | 35,332 | ||
Class ES, 5.5454% 1/15/49 (h)(o) | 983,000 | 120,594 | ||
JPMorgan Commercial Mortgage Finance Corp.: | ||||
Series 1997-C5 Class F, 7.5605% 9/15/29 | 1,590,000 | 1,539,150 | ||
Series 2000-C9 Class G, 6.25% 10/15/32 (h) | 783,000 | 775,615 | ||
LB Commercial Conduit Mortgage Trust: | ||||
Series 1998-C1 Class D, 6.98% 2/18/30 | 2,057,189 | 2,113,203 | ||
Series 1998-C4 Class G, 5.6% 10/15/35 (h) | 503,000 | 479,108 | ||
Series 2007-C3: | ||||
Class F, 5.9498% 7/15/44 (o) | 377,000 | 38,295 | ||
Class G, 6.1497% 7/15/44 (h)(o) | 666,000 | 62,724 | ||
LB-UBS Commercial Mortgage Trust: | ||||
sequential payer: | ||||
Series 2000-C3 Class A2, 7.95% 1/15/10 | 2,733,397 | 2,765,082 | ||
Series 2001-C2 Class A2, 6.653% 11/15/27 | 367,000 | 384,123 | ||
Series 2001-C3 Class A1, 6.058% 6/15/20 | 134,754 | 137,888 | ||
Series 2006-C1: | ||||
Class A2, 5.084% 2/15/31 | 913,000 | 911,798 | ||
Class A4, 5.156% 2/15/31 | 722,000 | 649,506 | ||
Series 2006-C3 Class A1, 5.478% 3/15/39 | 162,865 | 165,147 | ||
Series 2006-C6: | ||||
Class A1, 5.23% 9/15/39 | 277,087 | 281,848 | ||
Class A2, 5.262% 9/15/39 (o) | 11,694,000 | 11,747,095 | ||
Series 2006-C7: | ||||
Class A1, 5.279% 11/15/38 | 940,981 | 959,398 | ||
Class A2, 5.3% 11/15/38 | 2,092,000 | 2,085,681 | ||
Class A3, 5.347% 11/15/38 | 1,417,000 | 1,248,696 | ||
Series 2007-C1: | ||||
Class A1, 5.391% 2/15/40 (o) | 290,501 | 295,938 | ||
Class A3, 5.398% 2/15/40 | 10,000,000 | 9,591,423 | ||
Class A4, 5.424% 2/15/40 | 244,000 | 185,209 | ||
Series 2007-C2: | ||||
Class A1, 5.226% 2/15/40 | 271,670 | 276,115 | ||
Class A3, 5.43% 2/15/40 | 917,000 | 703,989 | ||
Series 2007-C6 Class A2, 5.845% 7/15/40 | 10,000,000 | 9,931,078 | ||
Series 2000-C3 Class B, 7.95% 3/15/32 | 545,000 | 552,154 | ||
Series 2000-C5 Class E, 7.29% 12/15/32 | 134,000 | 132,655 | ||
Series 2001-C3 Class B, 6.512% 6/15/36 | 3,676,000 | 3,814,157 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (d) | Value | ||
LB-UBS Commercial Mortgage Trust: - continued | ||||
Series 2001-C7 Class D, 6.514% 11/15/33 | $ 2,092,000 | $ 1,962,333 | ||
Series 2002-C1 Class J, 6.95% 3/15/34 (h)(o) | 86,000 | 61,356 | ||
Series 2003-C3 Class XCP, 1.2222% 3/11/37 (h)(o)(q) | 7,980,175 | 58,827 | ||
Series 2004-C2: | ||||
Class G, 4.595% 3/15/36 (h)(o) | 165,000 | 66,399 | ||
Class K, 5.2529% 3/15/36 (h)(o) | 500,000 | 101,812 | ||
Class XCP, 1.2332% 3/15/36 (h)(o)(q) | 25,979,524 | 379,182 | ||
Series 2004-C4 Class A2, 4.567% 6/15/29 (o) | 504,189 | 505,807 | ||
Series 2005-C3 Class XCP, 0.7261% 7/15/40 (o)(q) | 6,411,758 | 112,882 | ||
Series 2006-C6 Class XCP, 0.6633% 9/15/39 (o)(q) | 11,787,202 | 224,214 | ||
Series 2007-C1: | ||||
Class C, 5.533% 2/15/40 (o) | 4,185,000 | 891,958 | ||
Class D, 5.563% 2/15/40 (o) | 760,000 | 147,486 | ||
Class E, 5.582% 2/15/40 (o) | 381,000 | 71,296 | ||
Class XCP, 0.4737% 2/15/40 (o)(q) | 4,640,096 | 66,664 | ||
Series 2007-C6 Class A4, 5.858% 7/15/40 (o) | 2,376,000 | 1,891,028 | ||
Series 2007-C7: | ||||
Class A3, 5.866% 9/15/45 | 6,219,000 | 5,115,157 | ||
Class XCP, 0.3054% 9/15/45 (o)(q) | 156,476,796 | 1,839,416 | ||
LB-UBS Westfield Trust Series 2001-WM, 6.754% 7/14/16 (h) | 544,000 | 542,349 | ||
Leafs CMBS I Ltd./Leafs CMBS I Corp. Series 2002-1A: | ||||
Class B, 4.13% 11/20/37 (h) | 3,105,000 | 2,515,050 | ||
Class C, 4.13% 11/20/37 (h) | 8,205,000 | 5,579,400 | ||
Lehman Brothers Floating Rate Commercial Mortgage Trust floater Series 2006-LLFA: | ||||
Class D, 0.5028% 9/15/21 (h)(o) | 608,683 | 243,473 | ||
Class E, 0.5628% 9/15/21 (h)(o) | 2,196,145 | 658,843 | ||
Class F, 0.6128% 9/15/21 (h)(o) | 1,143,094 | 314,351 | ||
Class G, 0.6328% 9/15/21 (h)(o) | 2,258,211 | 564,553 | ||
Class H, 0.6728% 9/15/21 (h)(o) | 582,579 | 131,080 | ||
Lehman Large Loan Trust Series 1997-LLI Class E, 7.3% 10/12/34 | 3,377,000 | 3,686,493 | ||
LNR CFL Series 2004-1: | ||||
Class I10, 7.72% 2/26/28 (h) | 180,000 | 86,310 | ||
Class I11, 7.72% 2/26/28 (h) | 100,000 | 37,780 | ||
Class I12, 7.72% 2/26/28 (h) | 100,000 | 30,780 | ||
Class I9, 7.72% 2/26/28 (h) | 153,200 | 91,414 | ||
Merrill Lynch Mortgage Investors Trust: | ||||
Series 1997-C2 Class F, 6.25% 12/10/29 (o) | 620,000 | 539,991 | ||
Series 1998-C3 Class E, 6.7944% 12/15/30 (o) | 155,000 | 144,150 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (d) | Value | ||
Merrill Lynch Mortgage Investors Trust: - continued | ||||
Series 1999-C1 Class B, 7.71% 11/15/31 | $ 330,000 | $ 329,554 | ||
Series 2001-HRPA: | ||||
Class G, 6.778% 2/3/16 (h) | 395,000 | 375,250 | ||
Class H, 6.778% 2/3/16 (h) | 315,000 | 299,250 | ||
Merrill Lynch Mortgage Trust: | ||||
sequential payer: | ||||
Series 2004-MKB1 Class A2, 4.353% 2/12/42 | 382,898 | 385,576 | ||
Series 2007-C1 Class A1, 4.533% 6/12/50 | 1,631,593 | 1,642,558 | ||
Series 2004-KEY2 Class K, 5.091% 8/12/39 (h)(o) | 100,000 | 11,282 | ||
Series 2005-CKI1 Class A3, 5.2398% 11/12/37 (o) | 3,122,000 | 3,126,142 | ||
Series 2005-LC1 Class F, 5.3781% 1/12/44 (h)(o) | 1,655,000 | 347,821 | ||
Series 2006-C1 Class A2, 5.6114% 5/12/39 (o) | 2,680,000 | 2,703,823 | ||
Series 2006-KEY2 Class L, 5.091% 8/12/39 (h) | 300,000 | 33,185 | ||
Series 2007-C1 Class A4, 5.8286% 6/12/50 (o) | 7,199,517 | 5,562,801 | ||
Series 2008-C1 Class A4, 5.69% 2/12/51 | 4,059,000 | 3,130,582 | ||
Merrill Lynch-CFC Commercial Mortgage Trust: | ||||
floater Series 2006-4 Class A2FL, 0.4163% 12/12/49 (o) | 887,000 | 731,817 | ||
sequential payer: | ||||
Series 2006-1 CLass A3, 5.671% 2/12/39 | 2,024,000 | 1,901,306 | ||
Series 2006-4: | ||||
Class A2, 5.112% 12/12/49 (o) | 1,075,000 | 1,065,560 | ||
Class ASB, 5.133% 12/12/49 (o) | 1,636,000 | 1,469,822 | ||
Series 2007-5: | ||||
Class A1, 4.275% 8/12/48 | 142,060 | 142,748 | ||
Class A3, 5.364% 8/12/48 | 11,417,000 | 9,635,978 | ||
Class A4, 5.378% 8/12/48 | 76,000 | 55,629 | ||
Class B, 5.479% 2/12/17 | 5,706,000 | 1,182,477 | ||
Series 2007-6 Class A1, 5.175% 3/12/51 | 167,520 | 170,038 | ||
Series 2007-7 Class A4, 5.7487% 6/12/50 (o) | 6,656,000 | 4,832,620 | ||
Series 2007-8 Class A1, 4.622% 8/12/49 | 550,778 | 554,937 | ||
Series 2006-2 Class A4, 5.9092% 6/12/46 (o) | 16,407,000 | 15,595,062 | ||
Series 2006-4 Class XP, 0.6228% 12/12/49 (o)(q) | 41,659,736 | 890,739 | ||
Series 2007-6 Class B, 5.635% 3/12/51 (o) | 1,902,000 | 426,230 | ||
Series 2007-7 Class B, 5.75% 6/12/50 | 166,000 | 37,762 | ||
Series 2007-8 Class A3, 5.957% 8/12/49 (o) | 1,640,000 | 1,253,871 | ||
Morgan Stanley Capital I Trust: | ||||
floater: | ||||
Series 2005-XLF: | ||||
Class G, 0.643% 8/15/19 (h)(o) | 32,456 | 28,886 | ||
Class H, 0.663% 8/15/19 (h)(o) | 151,000 | 116,270 | ||
Class J, 0.733% 8/15/19 (h)(o) | 114,000 | 82,080 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (d) | Value | ||
Morgan Stanley Capital I Trust: - continued | ||||
floater: | ||||
Series 2006-XLF: | ||||
Class C, 1.473% 7/15/19 (h)(o) | $ 822,747 | $ 82,275 | ||
Class F, 0.593% 7/15/19 (h)(o) | 1,830,000 | 1,464,000 | ||
Class G, 0.633% 7/15/19 (h)(o) | 1,041,000 | 541,320 | ||
Series 2007-XCLA Class A1, 0.473% 7/17/17 (h)(o) | 2,717,034 | 1,494,369 | ||
Series 2007-XLCA Class B, 0.7728% 7/17/17 (h)(o) | 2,408,057 | 120,403 | ||
Series 2007-XLFA: | ||||
Class C, 0.433% 10/15/20 (h)(o) | 1,092,000 | 349,440 | ||
Class D, 0.463% 10/15/20 (h)(o) | 667,354 | 166,839 | ||
Class E, 0.523% 10/15/20 (h)(o) | 834,661 | 166,932 | ||
Class F, 0.573% 10/15/20 (h)(o) | 500,899 | 90,162 | ||
Class G, 0.613% 10/15/20 (h)(o) | 619,188 | 136,221 | ||
Class H, 0.703% 10/15/20 (h)(o) | 389,758 | 38,976 | ||
Class J, 0.853% 10/15/20 (h)(o) | 444,903 | 35,592 | ||
Class MHRO, 0.963% 10/15/20 (h)(o) | 605,197 | 66,572 | ||
Class MJPM, 1.273% 10/15/20 (h)(o) | 190,583 | 17,152 | ||
Class MSTR, 0.973% 10/15/20 (h)(o) | 343,918 | 48,148 | ||
Class NHRO, 1.163% 10/15/20 (h)(o) | 918,469 | 82,662 | ||
Class NSTR, 1.123% 10/15/20 (h)(o) | 315,384 | 34,692 | ||
sequential payer: | ||||
Series 2003-IQ5 Class X2, 0.9799% 4/15/38 (h)(o)(q) | 6,461,972 | 95,541 | ||
Series 2004-HQ3 Class A2, 4.05% 1/13/41 | 537,255 | 542,410 | ||
Series 2004-RR2 Class A2, 5.45% 10/28/33 (h) | 562,854 | 469,983 | ||
Series 2005-IQ9 Class A3, 4.54% 7/15/56 | 2,826,000 | 2,771,856 | ||
Series 2006-HQ10 Class A1, 5.131% 11/12/41 | 611,828 | 621,781 | ||
Series 2006-HQ8 Class A1, 5.124% 3/12/44 | 40,081 | 40,284 | ||
Series 2006-T23 Class A1, 5.682% 8/12/41 | 1,692,519 | 1,732,767 | ||
Series 2007-HQ11: | ||||
Class A1, 5.246% 2/12/44 | 497,863 | 506,241 | ||
Class A31, 5.439% 2/12/44 (o) | 964,000 | 895,789 | ||
Series 2007-IQ13: | ||||
Class A1, 5.05% 3/15/44 | 501,383 | 508,260 | ||
Class A4, 5.364% 3/15/44 | 10,000,000 | 8,259,327 | ||
Series 2007-IQ14 Class A1, 5.38% 4/15/49 | 1,206,258 | 1,228,965 | ||
Series 2007-T25: | ||||
Class A1, 5.391% 11/12/49 | 324,312 | 330,650 | ||
Class A2, 5.507% 11/12/49 | 3,425,000 | 3,319,512 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (d) | Value | ||
Morgan Stanley Capital I Trust: - continued | ||||
Series 2003-IQ6 Class X2, 0.5812% 12/15/41 (h)(o)(q) | $ 13,765,630 | $ 159,293 | ||
Series 2004-IQ7 Class E, 5.4024% 6/15/38 (h)(o) | 120,000 | 42,000 | ||
Series 2004-RR2 Class C, 5.88% 10/28/33 (h)(o) | 280,000 | 114,800 | ||
Series 2005-HQ7: | ||||
Class E, 5.2075% 11/14/42 (o) | 75,000 | 22,500 | ||
Class F, 5.2075% 11/14/42 (o) | 150,000 | 42,000 | ||
Series 2005-IQ9 Class X2, 1.1689% 7/15/56 (h)(o)(q) | 23,258,465 | 516,354 | ||
Series 2006-HQ10 Class X2, 0.69% 11/12/41 (h)(o)(q) | 11,571,366 | 156,256 | ||
Series 2006-HQ8 Class A3, 5.4387% 3/12/16 (o) | 2,950,000 | 2,864,310 | ||
Series 2006-HQ9 Class B, 5.832% 7/12/44 (o) | 2,823,000 | 899,549 | ||
Series 2006-IQ11: | ||||
Class A3, 5.7345% 10/15/42 (o) | 3,157,000 | 3,018,394 | ||
Class A4, 5.7705% 10/15/42 (o) | 570,000 | 487,231 | ||
Series 2006-IQ12 Class B, 5.468% 12/15/43 | 1,902,000 | 558,199 | ||
Series 2006-T23 Class A3, 5.8075% 8/12/41 (o) | 972,000 | 910,818 | ||
Series 2007-HQ11 Class B, 5.538% 2/20/44 (o) | 3,448,000 | 949,993 | ||
Series 2007-HQ12: | ||||
Class A2, 5.6318% 4/12/49 (o) | 12,880,000 | 12,248,057 | ||
Series A1, 5.519% 4/12/49 (o) | 799,111 | 815,646 | ||
Series 2007-IQ14: | ||||
Class A4, 5.692% 4/15/49 (o) | 2,852,000 | 2,219,532 | ||
Class B, 5.914% 4/15/49 | 469,000 | 129,458 | ||
Series 2007-XLC1: | ||||
Class C, 0.8728% 7/17/17 (h)(o) | 3,245,642 | 162,282 | ||
Class D, 0.9728% 7/17/17 (h)(o) | 1,526,121 | 76,306 | ||
Class E, 1.0728% 7/17/17 (h)(o) | 1,239,655 | 61,983 | ||
Morgan Stanley Dean Witter Capital I Trust: | ||||
sequential payer Series 2001-PPM Class A2, 6.4% 2/15/31 | 52,634 | 54,812 | ||
Series 2000-PRIN Class C, 7.9238% 2/23/34 (o) | 366,000 | 318,276 | ||
Series 2001-IQA Class F, 6.79% 12/18/32 (h) | 184,900 | 172,876 | ||
Series 2003-TOP9 Class E, 5.7113% 11/13/36 (h)(o) | 70,000 | 31,951 | ||
Multi Security Asset Trust sequential payer | 625,000 | 515,625 | ||
NationsLink Funding Corp. Series 1998-2: | ||||
Class F, 7.105% 8/20/30 (h) | 743,119 | 743,119 | ||
Class G, 5% 8/20/30 (h) | 216,875 | 193,019 | ||
Class J, 5% 8/20/30 (h) | 160,000 | 112,000 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (d) | Value | ||
Providence Place Group Ltd. Partnership Series 2000-C1 Class A2, 7.75% 7/20/28 | $ 443,666 | $ 434,792 | ||
Prudential Securities Secured Financing Corp. | 280,000 | 279,552 | ||
Real Estate Asset Liquidity Trust: | ||||
Series 2006-2: | ||||
Class F, 4.456% 9/12/38 (h) | CAD | 107,000 | 58,915 | |
Class G, 4.456% 9/12/38 (h) | CAD | 54,000 | 28,101 | |
Class H, 4.456% 9/12/38 (h) | CAD | 36,000 | 17,720 | |
Class J, 4.456% 9/12/38 (h) | CAD | 36,000 | 16,712 | |
Class K, 4.456% 9/12/38 (h) | CAD | 18,000 | 7,433 | |
Class L, 4.456% 9/12/38 (h) | CAD | 26,000 | 10,128 | |
Class M, 4.456% 9/12/38 (h) | CAD | 128,859 | 26,116 | |
Series 2007-1: | ||||
Class F, 4.57% 4/12/23 | CAD | 126,000 | 70,879 | |
Class G, 4.57% 4/12/23 | CAD | 42,000 | 22,270 | |
Class H, 4.57% 4/12/23 | CAD | 42,000 | 21,010 | |
Class J, 4.57% 4/12/23 | CAD | 42,000 | 19,840 | |
Class K, 4.57% 4/12/23 | CAD | 21,000 | 9,376 | |
Class L, 4.57% 4/12/23 | CAD | 63,000 | 26,608 | |
Class M, 4.57% 4/12/23 | CAD | 185,000 | 39,375 | |
Salomon Brothers Mortgage Securities VII, Inc.: | ||||
sequential payer Series 2000-C3 Class A2, 6.592% 12/18/33 | 3,231,464 | 3,319,231 | ||
Series 2001-C1 Class E, 6.31% 12/18/35 | 135,000 | 114,613 | ||
Series 2001-MMA: | ||||
Class E6, 6.5% 2/18/34 (h)(o) | 165,000 | 132,000 | ||
Class F6, 6.5% 2/18/34 (h)(o) | 37,000 | 27,750 | ||
SBA CMBS Trust Series 2006-1A Class C, 5.559% 11/15/36 (h) | 182,000 | 180,180 | ||
STRIPS III Ltd./STRIPS III Corp. floater Series 2004-1A Class A, 0.7475% 3/24/18 (h)(o) | 83,649 | 75,284 | ||
Structured Asset Securities Corp. Series 1997-LLI: | ||||
Class D, 7.15% 10/12/34 | 289,140 | 308,329 | ||
Class F, 7.3% 10/12/34 (h) | 463,000 | 460,955 | ||
TrizecHahn Office Properties Trust Series 2001-TZHA Class C4, 6.893% 5/15/16 (h) | 1,616,000 | 1,709,338 | ||
UBS Commercial Mortgage Trust Series 2007-FL1: | ||||
Class F, 0.8478% 9/15/09 (h)(o) | 110,000 | 14,803 | ||
Class G, 0.8478% 9/15/09 (h)(o) | 200,000 | 24,719 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (d) | Value | ||
Wachovia Bank Commercial Mortgage Trust: | ||||
floater: | ||||
Series 2005-WL5A Class K, 1.4728% 1/15/18 (h)(o) | $ 1,276,330 | $ 765,798 | ||
Series 2006-WL7A: | ||||
Class E, 0.5528% 9/15/21 (h)(o) | 1,770,598 | 531,179 | ||
Class F, 0.6281% 8/11/18 (h)(o) | 1,877,987 | 375,597 | ||
Class G, 0.6481% 8/11/18 (h)(o) | 1,779,101 | 266,865 | ||
Class J, 0.8881% 8/11/18 (h)(o) | 395,545 | 39,555 | ||
Series 2007-ESH Class A1, 0.7228% 6/15/19 (h)(o) | 182,465 | 153,270 | ||
Series 2007-WHL8: | ||||
Class AP1, 0.9728% 6/15/20 (h)(o) | 140,220 | 28,044 | ||
Class AP2, 1.0728% 6/15/20 (h)(o) | 235,007 | 35,251 | ||
Class F, 0.7528% 6/15/20 (h)(o) | 4,565,501 | 913,100 | ||
Class LXR1, 0.9728% 6/15/20 (h)(o) | 233,916 | 46,783 | ||
Class LXR2, 1.0728% 6/15/20 (h)(o) | 3,111,858 | 311,186 | ||
sequential payer: | ||||
Series 2003-C6 Class A2, 4.498% 8/15/35 | 624,204 | 633,693 | ||
Series 2003-C7 Class A1, 4.241% 10/15/35 (h) | 4,161,020 | 4,219,183 | ||
Series 2003-C8 Class A3, 4.445% 11/15/35 | 8,283,000 | 8,171,592 | ||
Series 2006-C27 Class A2, 5.624% 7/15/45 | 1,700,000 | 1,699,424 | ||
Series 2006-C29: | ||||
Class A1, 5.11% 11/15/48 | 1,107,634 | 1,124,912 | ||
Class A3, 5.313% 11/15/48 | 5,051,000 | 4,628,202 | ||
Series 2007-C30: | ||||
Class A1, 5.031% 12/15/43 | 268,755 | 272,188 | ||
Class A3, 5.246% 12/15/43 | 1,633,000 | 1,575,279 | ||
Class A4, 5.305% 12/15/43 | 8,604,000 | 6,883,111 | ||
Class A5, 5.342% 12/15/43 | 2,036,000 | 1,442,275 | ||
Series 2007-C31: | ||||
Class A1, 5.14% 4/15/47 | 277,957 | 281,737 | ||
Class A4, 5.509% 4/15/47 | 4,299,000 | 3,247,967 | ||
Series 2007-C32: | ||||
Class A2, 5.7355% 6/15/49 (o) | 15,568,000 | 15,268,237 | ||
Class A3, 5.9289% 6/15/49 (o) | 3,229,000 | 2,519,160 | ||
Series 2003-C6 Class G, 5.125% 8/15/35 (h) | 903,000 | 461,683 | ||
Series 2003-C8 Class XP, 0.3689% 11/15/35 (h)(o)(q) | 6,481,841 | 30,115 | ||
Series 2003-C9 Class XP, 0.4822% 12/15/35 (h)(o)(q) | 6,540,158 | 38,830 | ||
Series 2004-C15: | ||||
Class 180A, 5.3979% 10/15/41 (h)(o) | 1,464,000 | 1,347,742 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (d) | Value | ||
Wachovia Bank Commercial Mortgage Trust: - continued | ||||
Series 2004-C15: - continued | ||||
Class 180B, 5.3979% 10/15/41 (h)(o) | $ 666,000 | $ 619,361 | ||
Series 2005-C19 Class B, 4.892% 5/15/44 | 1,902,000 | 760,800 | ||
Series 2005-C22: | ||||
Class B, 5.3549% 12/15/44 (o) | 4,218,000 | 1,265,400 | ||
Class F, 5.3549% 12/15/44 (h)(o) | 3,171,000 | 412,230 | ||
Series 2006-C23 Class A5, 5.416% 1/15/45 (o) | 7,870,000 | 6,479,547 | ||
Series 2006-C29 Class E, 5.516% 11/15/48 (o) | 1,902,000 | 237,750 | ||
Series 2007-C30: | ||||
Class B, 5.463% 12/15/43 (o) | 10,505,000 | 1,260,600 | ||
Class C, 5.483% 12/15/43 (o) | 5,706,000 | 627,660 | ||
Class D, 5.513% 12/15/43 (o) | 3,044,000 | 304,400 | ||
Class XP, 0.4317% 12/15/43 (h)(o)(q) | 23,390,552 | 353,513 | ||
Series 2007-C31 Class C, 5.693% 4/15/47 (o) | 522,000 | 65,250 | ||
Series 2007-C32: | ||||
Class D, 5.7405% 6/15/49 (o) | 1,431,000 | 157,410 | ||
Class E, 5.7405% 6/15/49 (o) | 2,252,000 | 236,460 | ||
Wachovia Bank Commercial Mortgage Trust pass-thru certificates: | ||||
sequential payer Series 2007-C33 Class A5, 5.9023% 2/15/51 (o) | 1,259,000 | 973,876 | ||
Series 2007-C33 Class B, 5.9023% 2/15/51 (o) | 3,198,000 | 495,690 | ||
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $720,589,242) | 724,435,418 | |||
Municipal Securities - 0.2% | ||||
| ||||
California Gen. Oblig.: | ||||
7.5% 4/1/34 | 5,600,000 | 5,946,304 | ||
7.55% 4/1/39 | 8,400,000 | 9,006,144 | ||
New York Metropolitan Trans. Auth. Dedicated Tax Fund Rev. Series 2009 C, 7.336% 11/15/39 | 3,539,000 | 4,310,785 | ||
TOTAL MUNICIPAL SECURITIES (Cost $17,694,232) | 19,263,233 | |||
Foreign Government and Government Agency Obligations - 1.4% | ||||
| ||||
Argentine Republic: | ||||
discount (with partial capitalization through 12/31/13) 8.28% 12/31/33 | 4,551,534 | 2,639,890 | ||
par 2.5% 12/31/38 (f) | 2,960,000 | 806,600 | ||
Foreign Government and Government Agency Obligations - continued | ||||
| Principal Amount (d) | Value | ||
Argentine Republic: - continued | ||||
7% 3/28/11 | $ 28,885,000 | $ 22,859,268 | ||
7% 9/12/13 | 20,425,000 | 13,853,824 | ||
Barbados Government 7.25% 12/15/21 (h) | 337,000 | 330,260 | ||
Brazilian Federative Republic: | ||||
6% 9/15/13 | 300,000 | 299,250 | ||
6% 1/17/17 | 440,000 | 458,920 | ||
8% 1/15/18 | 368,333 | 419,900 | ||
8.25% 1/20/34 | 410,000 | 506,350 | ||
8.75% 2/4/25 | 730,000 | 905,200 | ||
12.25% 3/6/30 | 880,000 | 1,469,600 | ||
12.75% 1/15/20 | 355,000 | 557,350 | ||
Central Bank of Nigeria promissory note 5.092% 1/5/10 | 140,979 | 79,536 | ||
Chilean Republic 7.125% 1/11/12 | 3,045,000 | 3,399,134 | ||
Colombian Republic 7.375% 9/18/37 | 1,830,000 | 1,909,605 | ||
Democratic Socialist Republic of Sri Lanka 8.25% 10/24/12 (h) | 1,775,000 | 1,757,250 | ||
Dominican Republic: | ||||
2.125% 8/30/24 (o) | 1,100,000 | 737,000 | ||
9.04% 1/23/18 (h) | 2,497,452 | 2,335,118 | ||
9.5% 9/27/11 (Reg. S) | 2,676,002 | 2,716,142 | ||
Ecuador Republic 5% 2/28/25 | 218,000 | 121,186 | ||
El Salvador Republic: | ||||
7.65% 6/15/35 | 1,265,000 | 1,138,500 | ||
7.75% 1/24/23 (Reg. S) | 870,000 | 913,500 | ||
8.25% 4/10/32 (Reg. S) | 375,000 | 360,000 | ||
8.5% 7/25/11 (Reg. S) | 650,000 | 679,250 | ||
Gabonese Republic 8.2% 12/12/17 (h) | 3,375,000 | 3,311,719 | ||
Georgia Republic 7.5% 4/15/13 | 1,570,000 | 1,460,100 | ||
Ghana Republic 8.5% 10/4/17 (h) | 2,430,000 | 2,235,600 | ||
Indonesian Republic: | ||||
6.625% 2/17/37 (h) | 1,475,000 | 1,360,688 | ||
6.875% 3/9/17 (h) | 950,000 | 978,500 | ||
6.875% 1/17/18 (h) | 1,510,000 | 1,547,750 | ||
7.25% 4/20/15 (h) | 785,000 | 837,988 | ||
7.5% 1/15/16 (h) | 485,000 | 517,738 | ||
7.75% 1/17/38 (h) | 1,720,000 | 1,767,300 | ||
8.5% 10/12/35 (h) | 650,000 | 728,000 | ||
8.5% 10/12/35 (Reg. S) | 1,360,000 | 1,523,200 | ||
11.625% 3/4/19 (h) | 1,845,000 | 2,486,138 | ||
Islamic Republic of Pakistan 7.125% 3/31/16 (h) | 3,210,000 | 2,728,500 | ||
Foreign Government and Government Agency Obligations - continued | ||||
| Principal Amount (d) | Value | ||
Lebanese Republic: | ||||
8.625% 6/20/13 (Reg. S) | $ 2,420,000 | $ 2,631,750 | ||
9% 5/2/14 | 610,000 | 671,000 | ||
Pakistan International Sukuk Co. Ltd. 3.1456% 1/27/10 (o) | 773,000 | 761,405 | ||
Perusahaan Penerbit SBSN Indonesia 8.8% 4/23/14 (h) | 560,000 | 627,200 | ||
Peruvian Republic 7.35% 7/21/25 | 1,210,000 | 1,331,000 | ||
Philippine Republic: | ||||
9.5% 2/2/30 | 440,000 | 563,200 | ||
10.625% 3/16/25 | 395,000 | 534,751 | ||
Polish Government 6.375% 7/15/19 | 1,255,000 | 1,339,713 | ||
Republic of Fiji 6.875% 9/13/11 | 715,000 | 670,313 | ||
Republic of Iraq 5.8% 1/15/28 (Reg. S) | 3,225,000 | 2,217,188 | ||
Republic of Serbia 3.75% 11/1/24 (f)(h) | 5,430,000 | 5,002,388 | ||
Russian Federation: | ||||
7.5% 3/31/30 (Reg. S) | 15,697,920 | 16,031,501 | ||
12.75% 6/24/28 (Reg. S) | 1,800,000 | 2,691,000 | ||
Turkish Republic: | ||||
6.75% 4/3/18 | 1,520,000 | 1,567,576 | ||
6.875% 3/17/36 | 3,285,000 | 3,141,446 | ||
7% 9/26/16 | 965,000 | 1,019,330 | ||
7.25% 3/5/38 | 1,350,000 | 1,336,500 | ||
7.375% 2/5/25 | 4,890,000 | 5,146,725 | ||
Ukraine Cabinet of Ministers 6.875% 3/4/11 (Reg. S) | 1,910,000 | 1,809,725 | ||
Ukraine Government: | ||||
6.385% 6/26/12 (h) | 2,115,000 | 1,940,513 | ||
6.75% 11/14/17 (h) | 3,665,000 | 3,014,463 | ||
United Mexican States: | ||||
7.5% 4/8/33 | 425,000 | 477,615 | ||
8.3% 8/15/31 | 420,000 | 511,350 | ||
Uruguay Republic 8% 11/18/22 | 2,106,902 | 2,264,920 | ||
Venezuelan Republic: | ||||
1.505% 4/20/11 (Reg. S) (o) | 6,355,000 | 5,687,725 | ||
5.375% 8/7/10 (Reg. S) | 1,275,000 | 1,236,750 | ||
7% 3/31/38 | 630,000 | 333,900 | ||
8.5% 10/8/14 | 2,690,000 | 2,273,050 | ||
9% 5/7/23 (Reg. S) | 4,450,000 | 3,146,150 | ||
9.25% 9/15/27 | 3,375,000 | 2,480,625 | ||
9.375% 1/13/34 | 1,160,000 | 800,400 | ||
10.75% 9/19/13 | 7,830,000 | 7,458,075 | ||
13.625% 8/15/18 | 3,938,000 | 3,632,805 | ||
Foreign Government and Government Agency Obligations - continued | ||||
| Principal Amount (d) | Value | ||
Vietnamese Socialist Republic: | ||||
4% 3/12/28 (f) | $ 2,425,000 | $ 1,770,250 | ||
6.875% 1/15/16 (h) | 655,000 | 668,100 | ||
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $168,000,717) | 169,526,256 | |||
Supranational Obligations - 0.0% | ||||
| ||||
Corporacion Andina de Fomento 5.2% 5/21/13 | 242,000 | 246,560 |
Convertible Preferred Stocks - 0.0% | |||
Shares |
| ||
UTILITIES - 0.0% | |||
Electric Utilities - 0.0% | |||
AES Trust III 6.75% | 28,100 | 1,181,886 | |
TOTAL CONVERTIBLE PREFERRED STOCKS (Cost $1,326,273) | 1,181,886 |
Floating Rate Loans - 0.6% | ||||
| Principal Amount (d) |
| ||
CONSUMER DISCRETIONARY - 0.3% | ||||
Auto Components - 0.1% | ||||
Federal-Mogul Corp.: | ||||
Tranche B, term loan 2.217% 12/27/14 (o) | $ 4,047,914 | 3,015,696 | ||
Tranche C, term loan 2.2161% 12/27/15 (o) | 2,470,791 | 1,828,385 | ||
The Goodyear Tire & Rubber Co. Tranche 2LN, term loan 2.04% 4/30/14 (o) | 1,445,000 | 1,333,013 | ||
| 6,177,094 | |||
Automobiles - 0.1% | ||||
Ford Motor Co. term loan 3.495% 12/15/13 (o) | 7,870,296 | 6,807,806 | ||
Diversified Consumer Services - 0.0% | ||||
ServiceMaster Co.: | ||||
term loan 2.85% 7/24/14 (o) | 1,773,396 | 1,525,121 | ||
Tranche DD, term loan 2.79% 7/24/14 (o) | 211,019 | 181,476 | ||
| 1,706,597 | |||
Floating Rate Loans - continued | ||||
| Principal Amount (d) | Value | ||
CONSUMER DISCRETIONARY - continued | ||||
Hotels, Restaurants & Leisure - 0.0% | ||||
Harrah's Entertainment, Inc.: | ||||
Tranche B2, term loan 3.5038% 1/28/15 (o) | $ 950,000 | $ 767,125 | ||
Tranche B3, term loan 3.5056% 1/28/15 (o) | 1,165,000 | 937,825 | ||
Las Vegas Sands LLC: | ||||
term loan 2.09% 5/23/14 (o) | 776,549 | 597,943 | ||
Tranche B, term loan 2.09% 5/23/14 (o) | 3,780,031 | 2,910,624 | ||
| 5,213,517 | |||
Media - 0.1% | ||||
Charter Communications Operating LLC Tranche B 1LN, term loan 6.25% 3/6/14 (o) | 4,058,548 | 3,744,011 | ||
Newsday LLC term loan 9.75% 8/1/13 | 2,870,000 | 2,920,225 | ||
R.H. Donnelley Corp. Tranche D2, term loan 6.75% 6/30/11 (o) | 38,830 | 31,646 | ||
Univision Communications, Inc. Tranche 1LN, term loan 2.535% 9/29/14 (o) | 3,845,000 | 3,008,713 | ||
Zuffa LLC term loan 2.375% 6/19/15 (o) | 4,601,298 | 4,118,162 | ||
| 13,822,757 | |||
Specialty Retail - 0.0% | ||||
Michaels Stores, Inc. Tranche B1, term loan 2.5625% 10/31/13 (o) | 2,555,293 | 2,248,658 | ||
Textiles, Apparel & Luxury Goods - 0.0% | ||||
Hanesbrands, Inc. Tranche 2LN, term loan 4.2538% 3/5/14 (o) | 165,000 | 160,875 | ||
Levi Strauss & Co. term loan 2.5225% 4/4/14 (o) | 790,000 | 711,000 | ||
| 871,875 | |||
TOTAL CONSUMER DISCRETIONARY | 36,848,304 | |||
HEALTH CARE - 0.0% | ||||
Pharmaceuticals - 0.0% | ||||
PTS Acquisition Corp. term loan 2.535% 4/10/14 (o) | 4,669,547 | 4,120,876 | ||
INDUSTRIALS - 0.1% | ||||
Airlines - 0.1% | ||||
Delta Air Lines, Inc. Tranche 2LN, term loan 3.5256% 4/30/14 (o) | 4,214,824 | 3,287,563 | ||
Northwest Airlines, Inc. term loan 2.28% 12/31/10 (o) | 1,326,327 | 1,273,273 | ||
United Air Lines, Inc. Tranche B, term loan 2.3125% 2/1/14 (o) | 2,736,135 | 1,744,286 | ||
| 6,305,122 | |||
Floating Rate Loans - continued | ||||
| Principal Amount (d) | Value | ||
INDUSTRIALS - continued | ||||
Machinery - 0.0% | ||||
Dresser, Inc. Tranche 2LN, term loan 6.0225% 5/4/15 pay-in-kind (o) | $ 1,705,000 | $ 1,415,150 | ||
TOTAL INDUSTRIALS | 7,720,272 | |||
INFORMATION TECHNOLOGY - 0.1% | ||||
Electronic Equipment & Components - 0.1% | ||||
Flextronics International Ltd.: | ||||
Tranche B A1, term loan 2.7594% 10/1/14 (o) | 622,630 | 563,480 | ||
Tranche B-A, term loan 2.6961% 10/1/14 (o) | 2,458,781 | 2,225,197 | ||
Tranche B-B, term loan 2.8469% 10/1/12 (o) | 3,094,253 | 2,869,920 | ||
| 5,658,597 | |||
IT Services - 0.0% | ||||
First Data Corp.: | ||||
Tranche B1, term loan 3.0171% 9/24/14 (o) | 915,000 | 761,738 | ||
Tranche B2, term loan 3.02% 9/24/14 (o) | 845,000 | 703,463 | ||
Tranche B3, term loan 3.0171% 9/24/14 (o) | 2,865,000 | 2,385,113 | ||
| 3,850,314 | |||
Semiconductors & Semiconductor Equipment - 0.0% | ||||
Freescale Semiconductor, Inc. term loan 2.0306% 12/1/13 (o) | 2,210,000 | 1,646,450 | ||
Software - 0.0% | ||||
Kronos, Inc. Tranche 1LN, term loan 2.5975% 6/11/14 (o) | 3,328,052 | 3,103,408 | ||
TOTAL INFORMATION TECHNOLOGY | 14,258,769 | |||
MATERIALS - 0.0% | ||||
Chemicals - 0.0% | ||||
Chemtura Corp. term loan 10.5% 3/19/10 (o) | 3,970,000 | 4,049,400 | ||
TELECOMMUNICATION SERVICES - 0.0% | ||||
Wireless Telecommunication Services - 0.0% | ||||
Intelsat Jackson Holdings Ltd. term loan 3.2756% 2/1/14 (o) | 2,425,000 | 2,112,781 | ||
Floating Rate Loans - continued | ||||
| Principal Amount (d) | Value | ||
UTILITIES - 0.1% | ||||
Electric Utilities - 0.1% | ||||
Texas Competitive Electric Holdings Co. LLC: | ||||
Tranche B1, term loan 3.7757% 10/10/14 (o) | $ 950,000 | $ 719,625 | ||
Tranche B3, term loan 3.7757% 10/10/14 (o) | 2,466,842 | 1,859,382 | ||
| 2,579,007 | |||
Multi-Utilities - 0.0% | ||||
Ashmore Energy International: | ||||
Revolving Credit-Linked Deposit 3.2875% 3/30/12 (o) | 408,969 | 368,072 | ||
term loan 3.5975% 3/30/14 (o) | 2,139,218 | 1,925,296 | ||
| 2,293,368 | |||
TOTAL UTILITIES | 4,872,375 | |||
TOTAL FLOATING RATE LOANS (Cost $68,300,462) | 73,982,777 | |||
Sovereign Loan Participations - 0.0% | ||||
|
|
| ||
Indonesian Republic loan participation - Citibank 2.25% 12/14/19 (o) | 1,443,501 | 1,111,496 | ||
Bank Notes - 0.0% | ||||
| ||||
National City Bank, Cleveland 0.7675% 3/1/13 (o) | 978,000 | 875,948 |
Fixed-Income Funds - 24.2% | |||
Shares |
| ||
Fidelity Corporate Bond 1-10 Year Central Fund (p) | 7,962,431 | 808,744,111 | |
Fidelity Floating Rate Central Fund (p) | 6,536,673 | 578,953,113 | |
Fidelity Mortgage Backed Securities Central Fund (p) | 14,800,559 | 1,508,325,013 | |
TOTAL FIXED-INCOME FUNDS (Cost $2,833,629,941) | 2,896,022,237 | ||
Preferred Securities - 0.1% | |||
Principal Amount (d) | Value | ||
CONSUMER DISCRETIONARY - 0.1% | |||
Media - 0.1% | |||
Globo Comunicacoes e Participacoes SA 9.375% | $ 4,440,000 | $ 4,487,481 | |
Net Servicos de Comunicacao SA 9.25% (h) | 2,918,000 | 2,928,229 | |
| 7,415,710 | ||
ENERGY - 0.0% | |||
Oil, Gas & Consumable Fuels - 0.0% | |||
Pemex Project Funding Master Trust 7.75% | 4,008,000 | 3,921,741 | |
FINANCIALS - 0.0% | |||
Diversified Financial Services - 0.0% | |||
ING Groep NV 5.775% (o) | 1,052,000 | 597,803 | |
MUFG Capital Finance 1 Ltd. 6.346% (o) | 4,028,000 | 3,725,201 | |
| 4,323,004 | ||
TOTAL PREFERRED SECURITIES (Cost $14,169,819) | 15,660,455 | ||
Cash Equivalents - 6.9% | |||
Maturity Amount |
| ||
Investments in repurchase agreements in a joint trading account at: | |||
0.2%, dated 8/31/09 due 9/1/09: | |||
(Collateralized by U.S. Treasury Obligations) # | $ 662,451,688 | 662,448,000 | |
(Collateralized by U.S. Treasury Obligations) # | 7,481,041 | 7,481,000 | |
0.21%, dated 8/31/09 due 9/1/09 (Collateralized by U.S. Government Obligations) # (b) | 152,477,889 | 152,477,000 | |
TOTAL CASH EQUIVALENTS (Cost $822,406,000) | 822,406,000 | ||
TOTAL INVESTMENT PORTFOLIO - 105.2% (Cost $12,270,466,676) | 12,589,259,753 | ||
NET OTHER ASSETS - (5.2)% | (619,012,215) | ||
NET ASSETS - 100% | $ 11,970,247,538 |
Swap Agreements | |||||
| Expiration Date | Notional Amount | Value | ||
Credit Default Swaps | |||||
Receive monthly notional amount multiplied by 3.35% and pay Morgan Stanley, Inc. upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-HE7, Class B3, 9.01% 8/25/34 (Rating-C) (m) | Sept. 2034 | $ 39,167 | $ (37,027) | ||
Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to Credit Suisse First Boston upon each credit event of one of the issues of ABX AA 07-01 Index, par value of the proportional notional amount (Rating-C) (Upfront Payment $480,000) (n) | Sept. 2037 | 3,932,746 | (3,834,427) | ||
Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to Credit Suisse First Boston upon each credit event of one of the issues of ABX AA 07-01 Index, par value of the proportional notional amount (Rating-C) (Upfront Payment $1,058,000) (n) | Sept. 2037 | 4,522,658 | (4,409,591) | ||
Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to JPMorgan Chase, Inc. upon each credit event of one of the issues of ABX AA 07-01 Index, par value of the proportional notional amount (Rating-C) (Upfront Payment $651,000) (n) | Sept. 2037 | 2,752,922 | (2,684,099) | ||
Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to UBS upon each credit event of one of the issues of ABX AA 07-1 Index, par value of the proportional notional amount (Rating-C) (Upfront Payment | Sept. 2037 | 7,078,942 | (6,901,969) | ||
Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to UBS upon each credit event of one of the issues of ABX AA 07-1 Index, par value of the proportional notional amount (Rating-C) (Upfront Payment | Sept. 2037 | 2,556,285 | (2,492,378) | ||
Swap Agreements - continued | |||||
| Expiration Date | Notional Amount | Value | ||
Credit Default Swaps - continued | |||||
Receive monthly notional amount multiplied by .82% and pay UBS upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. | August 2034 | $ 30,779 | $ (22,520) | ||
Receive monthly notional amount multiplied by .85% and pay UBS upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. | Oct. 2034 | 36,773 | (26,266) | ||
Receive monthly notional amount multiplied by 2.39% and pay UBS upon credit event of Fremont Home Loan Trust, par value of the notional amount of Fremont Home Loan Trust Series 2004-1 Class M9, 7.73% 2/25/34 (Rating-Baa3) (m) | March 2034 | 8,248 | (1,154) | ||
Receive monthly notional amount multiplied by 2.4% and pay Deutsche Bank upon credit event of Fremont Home Loan Trust, par value of the notional amount of Fremont Home Loan Trust Series 2004-A Class B3, 7.2288% 1/25/34 (Rating-C) (m) | Feb. 2034 | 787 | (723) | ||
Receive monthly notional amount multiplied by 2.54% and pay Merrill Lynch upon credit event of Countrywide Home Loans, Inc., par value of the notional amount of Countrywide Home Loans, Inc. | April 2032 | 11,800 | (6,506) | ||
TOTAL CREDIT DEFAULT SWAPS | $ 20,971,107 | $ (20,416,660) | |||
Swap Agreements - continued | |||||
| Expiration Date | Notional Amount | Value | ||
Interest Rate Swaps | |||||
Receive quarterly a fixed rate equal to 4.3875% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston | March 2010 | $ 1,250,000 | $ 36,623 | ||
Receive quarterly a fixed rate equal to 4.774% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston | March 2015 | 1,250,000 | 134,044 | ||
Receive quarterly a fixed rate equal to 4.90% and pay quarterly a floating rate based on 3-month LIBOR with JPMorgan Chase, Inc. (Upfront payment ($79,955)) | July 2014 | 1,135,000 | 120,023 | ||
Receive semi-annually a fixed rate equal to 3.567% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston | May 2011 | 293,294,000 | 14,996,414 | ||
Receive semi-annually a fixed rate equal to 4.03% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston | Sept. 2013 | 78,000,000 | 6,108,718 | ||
Receive semi-annually a fixed rate equal to 4.87% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston | Oct. 2012 | 100,000,000 | 10,493,940 | ||
Receive semi-annually a fixed rate equal to 5.062% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston | May 2012 | 75,000,000 | 7,618,268 | ||
Receive semi-annually a fixed rate equal to 5.09% and pay quarterly a floating rate based on 3-month LIBOR with Deutsche Bank | Jan. 2012 | 75,000,000 | 6,582,608 | ||
Receive semi-annually a fixed rate equal to 5.144% and pay quarterly a floating rate based on 3-month LIBOR with JPMorgan Chase, Inc. | April 2012 | 100,000,000 | 10,618,930 | ||
Receive semi-annually a fixed rate equal to 5.263% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston | Feb. 2012 | 50,000,000 | 4,520,250 | ||
Receive semi-annually a fixed rate equal to 5.276% and pay quarterly a floating rate based on 3-month LIBOR with Deutsche Bank | April 2011 | 20,000,000 | 1,746,074 | ||
Swap Agreements - continued | |||||
| Expiration Date | Notional Amount | Value | ||
Interest Rate Swaps - continued | |||||
Receive semi-annually a fixed rate equal to 5.556% and pay quarterly a floating rate based on 3-month LIBOR with JPMorgan Chase, Inc. | June 2012 | $ 25,000,000 | $ 2,806,923 | ||
Receive semi-annually a fixed rate equal to 5.6485% and pay quarterly a floating rate based on 3-month LIBOR with Deutsche Bank | July 2010 | 100,000,000 | 5,061,560 | ||
TOTAL INTEREST RATE SWAPS | $ 919,929,000 | $ 70,844,375 | |||
| $ 940,900,107 | $ 50,427,715 |
Currency Abbreviation | ||
CAD | - | Canadian dollar |
Legend |
(a) Non-income producing |
(b) Includes investment made with cash collateral received from securities on loan. |
(c) Non-income producing - Issuer is in default. |
(d) Principal amount is stated in United States dollars unless otherwise noted. |
(e) Security initially issued in zero coupon form which converts to coupon form at a specified rate and date. The rate shown is the rate at period end. |
(f) Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end. |
(g) Security or a portion of the security is on loan at period end. |
(h) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $872,073,392 or 7.3% of net assets. |
(i) Under the Temporary Liquidity Guarantee Program, the Federal Deposit Insurance Corporation guarantees principal and interest in the event of payment default or bankruptcy until the earlier of maturity date of the debt or until June 30, 2012. At the end of the period these securities amounted to $32,269,280 or 0.3% of net assets. |
(j) Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(k) A portion of the security is subject to a forward commitment to sell. |
(l) Security or a portion of the security has been segregated as collateral for open swap agreements. At the period end, the value of securities pledged amounted to $10,488,885. |
(m) Represents a credit default swap contract in which the fund has sold protection on the underlying reference entity. The value of each credit default swap and the credit rating can be measures of the current payment/performance risk. For the underlying reference entity, ratings disclosed are from Moody's Investor Services, Inc. Where Moody's ratings are not available, S&P ratings are disclosed and are indicated as such. All ratings are as of the report date and do not reflect subsequent changes. Where a credit rating is not disclosed, the value is used as the measure of the payment/performance risk. |
(n) Represents a tradable index of credit default swaps on home equity asset-backed debt securities. In addition, the swap represents a contract in which the fund has sold protection on the 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 Investor Services, Inc., or S&P where Moody's ratings are not available. All ratings are as of the report date and do not reflect subsequent changes. |
(o) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. |
(p) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. A complete unaudited schedule of portfolio holdings for each Fidelity Central Fund is filed with the SEC for the first and third quarters of each fiscal year on Form N-Q and is available upon request or at the SEC's web site at www.sec.gov. An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro rata share of securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com and/or advisor.fidelity.com, as applicable. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's web site or upon request. |
(q) Security represents right to receive monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool held as of the end of the period. |
(r) Restricted securities - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $15,727 or 0.0% of net assets. |
Additional information on each holding is as follows: |
Security | Acquisition Date | Acquisition Cost |
GMAC Commercial Mortgage Securities, Inc. Series 1999-C2I Class K, 6.481% 9/15/33 | 3/23/07 | $ 163,875 |
# Additional information on each counterparty to the repurchase agreement is as follows: |
Repurchase Agreement / Counterparty | Value |
$662,448,000 due 9/01/09 at 0.20% | |
BNP Paribas Securities Corp. | $ 113,907,656 |
Banc of America Securities LLC | 56,715,763 |
Bank of America, NA | 141,789,408 |
Deutsche Bank Securities, Inc. | 62,387,340 |
ING Financial Markets LLC | 18,247,957 |
J.P. Morgan Securities, | 113,431,527 |
Mizuho Securities USA, Inc. | 56,715,763 |
Morgan Stanley & Co., Inc. | 28,357,882 |
Societe Generale, New York Branch | 70,894,704 |
| $ 662,448,000 |
$7,481,000 due 9/01/09 at 0.20% | |
BNP Paribas Securities Corp. | $ 2,902,240 |
Barclays Capital, Inc. | 3,652,513 |
Deutsche Bank Securities, Inc. | 926,247 |
| $ 7,481,000 |
$152,477,000 due 9/01/09 at 0.21% | |
J.P. Morgan Securities, Inc. | $ 152,477,000 |
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 |
Fidelity 1-3 Year Duration Securitized Bond Central Fund | $ 5,484,652 |
Fidelity Commercial Mortgage-Backed Securities Central Fund | 20,606,840 |
Fidelity Corporate Bond 1-10 Year Central Fund | 71,469,040 |
Fidelity Floating Rate Central Fund | 25,297,655 |
Fidelity Mortgage Backed Securities Central Fund | 85,655,251 |
Fidelity Ultra-Short Central Fund | 4,349,644 |
Total | $ 212,863,082 |
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, | Purchases | Sales | Value, | % ownership, end of |
Fidelity 1-3 Year Duration Securitized Bond Central Fund | $ 283,991,380 | $ 4,148,681 | $ 267,091,219* | $ - | 0.0% |
Fidelity Commercial Mortgage | 658,434,817 | 16,728,421 | 555,096,527* | - | 0.0% |
Fidelity Corporate Bond 1-10 Year Central Fund | 1,816,743,999 | 49,222,593 | 1,029,134,976* | 808,744,111 | 28.6% |
Fidelity Floating Rate Central Fund | 408,626,297 | 151,340,041 | - | 578,953,113 | 20.1% |
Fidelity Mortgage Backed Securities Central Fund | 2,138,641,000 | 161,026,129 | 851,012,714 | 1,508,325,013 | 19.4% |
Fidelity Ultra-Short Central Fund | 599,904,422 | - | 504,601,608* | - | 0.0% |
Total | $ 5,906,341,915 | $ 382,465,865 | $ 3,206,937,044 | $ 2,896,022,237 |
* Includes the value of shares redeemed through in-kind transactions. See Note 8 of the Notes to Financial Statements. |
Other Information |
The following is a summary of the inputs used, as of August 31, 2009, involving the Fund's assets and liabilities carried at value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the tables below, please refer to the Security Valuation section in the accompanying Notes to Financial Statements. |
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Equities: | ||||
Utilities | $ 1,181,886 | $ - | $ 1,181,886 | $ - |
Asset-Backed Securities | 240,669,499 | - | 212,680,747 | 27,988,752 |
Bank Notes | 875,948 | - | 875,948 | - |
Cash Equivalents | 822,406,000 | - | 822,406,000 | - |
Collateralized Mortgage Obligations | 273,533,771 | - | 263,819,927 | 9,713,844 |
Commercial Mortgage Securities | 724,435,418 | - | 663,747,314 | 60,688,104 |
Corporate Bonds | 3,356,947,773 | - | 3,356,640,801 | 306,972 |
Fixed-Income Funds | 2,896,022,237 | 2,896,022,237 | - | - |
Floating Rate Loans | 73,982,777 | - | 73,982,777 | - |
Foreign Government and Government Agency Obligations | 169,526,256 | - | 169,526,256 | - |
Municipal Securities | 19,263,233 | - | 19,263,233 | - |
Preferred Securities | 15,660,455 | - | 15,660,455 | - |
Sovereign Loan Participations | 1,111,496 | - | 1,111,496 | - |
Supranational Obligations | 246,560 | - | 246,560 | - |
U.S. Government Agency - Mortgage Securities | 1,488,513,966 | - | 1,488,513,966 | - |
U.S. Government and Government Agency Obligations | 2,504,882,478 | - | 2,504,882,478 | - |
Total Investments in Securities: | $ 12,589,259,753 | $ 2,896,022,237 | $ 9,594,539,844 | $ 98,697,672 |
Derivative Instruments: | ||||
Assets | ||||
Swap Agreements | $ 70,844,375 | $ - | $ 70,844,375 | $ - |
Liabilities | ||||
Swap Agreements | $ (20,416,660) | $ - | $ (20,371,250) | $ (45,410) |
Total Derivative Instruments: | $ 50,427,715 | $ - | $ 50,473,125 | $ (45,410) |
Other Financial Instruments: | ||||
Forward Commitments | $ (1,661,972) | $ - | $ (1,661,972) | $ - |
The following is a reconciliation of Investments in Securities and Derivative Instruments for which Level 3 inputs were used in determining value: | |
Investments in Securities: |
|
Beginning Balance | $ 3,663,788 |
Total Realized Gain (Loss) | (662,758) |
Total Unrealized Gain (Loss) | (11,022,804) |
Cost of Purchases | 100,015,146 |
Proceeds of Sales | (11,437,699) |
Amortization/Accretion | (4,011,050) |
Transfers in/out of Level 3 | 22,153,049 |
Ending Balance | $ 98,697,672 |
The change in unrealized gain (loss) attributable to Level 3 securities at | $ (15,952,208) |
Derivative Instruments: | |
Swap Agreements |
|
Beginning Balance | $ (3,526,344) |
Total Unrealized Gain (loss) | 3,478,914 |
Transfers in/out of Level 3 | 2,020 |
Ending Balance | $ (45,410) |
Realized gain (loss) on Swap Agreements for the period | $ (3,729,333) |
The change in unrealized gain (loss) attributable to Level 3 Swap Agreements at August 31, 2009 | $ 45,805 |
The information used in the above reconciliation represents fiscal year to date activity for any Investments in Securities and Derivative Instruments identified as using Level 3 inputs at either the beginning or the end of the current fiscal period, and includes the value of securities received through affiliated in-kind transactions. See Note 8 of the Notes to Financial Statements. Transfers in or out of Level 3 represents either the beginning value (for transfer in), or the ending value (for transfer out) of any Security or Instrument where a change in the pricing level occurred from the beginning to the end of the period. Realized and unrealized gains (losses) disclosed in the reconciliation are included in Net Gain (Loss) on the Fund's Statement of Operations. |
Value of Derivative Instruments |
The following table is a summary of the Fund's value of derivative instruments by risk exposure as of August 31, 2009. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements. |
Risk Exposure / | Value | |
| Asset | Liability |
Credit Risk | ||
Swap Agreements (a) | $ - | $ (20,416,660) |
Interest Rate Risk | ||
Swap Agreements (a) | 70,844,375 | - |
Total Value of Derivatives | $ 70,844,375 | $ (20,416,660) |
(a) Value is disclosed on the Statement of Assets and Liabilities in the Unrealized Appreciation and Unrealized Depreciation on Swap Agreements line-items. |
Income Tax Information |
At August 31, 2009, the fund had a capital loss carryforward of approximately $93,866,210 all of which will expire on August 31, 2017. |
The fund intends to elect to defer to its fiscal year ending August 31, 2010 approximately $179,587,761 of losses recognized during the period November 1, 2008 to August 31, 2009. |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Statements
Statement of Assets and Liabilities
| August 31, 2009 | |
|
|
|
Assets | ||
Investment in securities, at value (including securities loaned of $149,180,568 and repurchase agreements of $822,406,000) - See accompanying schedule: Unaffiliated issuers (cost $9,436,836,735) | $ 9,693,237,516 |
|
Fidelity Central Funds (cost $2,833,629,941) | 2,896,022,237 |
|
Total Investments (cost $12,270,466,676) |
| $ 12,589,259,753 |
Commitment to sell securities on a delayed delivery basis | (271,792,558) | |
Receivable for securities sold on a delayed delivery basis | 270,130,586 | (1,661,972) |
Receivable for investments sold |
|
|
Regular delivery | 52,713,641 | |
Delayed delivery | 302,094 | |
Cash | 5,337,843 | |
Receivable for swap agreements | 2,779 | |
Receivable for fund shares sold | 25,093,285 | |
Interest receivable | 84,058,538 | |
Distributions receivable from Fidelity Central Funds | 11,654,259 | |
Unrealized appreciation on swap agreements | 70,844,375 | |
Other receivables | 66,101 | |
Total assets | 12,837,670,696 | |
|
|
|
Liabilities | ||
Payable for investments purchased | $ 248,597,181 | |
Delayed delivery | 434,896,899 | |
Payable for swap agreements | 288,957 | |
Payable for fund shares redeemed | 4,925,358 | |
Distributions payable | 1,056,076 | |
Unrealized depreciation on swap agreements | 20,416,660 | |
Accrued management fee | 3,123,002 | |
Distribution fees payable | 82,584 | |
Other affiliated payables | 1,357,377 | |
Other payables and accrued expenses | 201,564 | |
Collateral on securities loaned, at value | 152,477,500 | |
Total liabilities | 867,423,158 | |
|
|
|
Net Assets | $ 11,970,247,538 | |
Net Assets consist of: |
| |
Paid in capital | $ 12,054,601,659 | |
Undistributed net investment income | 60,445,769 | |
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions | (514,594,230) | |
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies | 369,794,340 | |
Net Assets | $ 11,970,247,538 |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Statements - continued
Statement of Assets and Liabilities - continued
| August 31, 2009 | |
|
|
|
Calculation of Maximum Offering Price Class A: | $ 10.28 | |
|
|
|
Maximum offering price per share (100/96.00 of $10.28) | $ 10.71 | |
Class T: | $ 10.27 | |
|
|
|
Maximum offering price per share (100/96.00 of $10.27) | $ 10.70 | |
Class B: | $ 10.28 | |
|
|
|
Class C: | $ 10.28 | |
|
|
|
Total Bond: | $ 10.28 | |
|
|
|
Class F: | $ 10.27 | |
|
|
|
Institutional Class: | $ 10.26 |
A Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
See accompanying notes which are an integral part of the financial statements.
Annual Report
Statement of Operations
| Year ended August 31, 2009 | |
|
|
|
Investment Income |
|
|
Dividends |
| $ 1,790,098 |
Interest |
| 384,864,258 |
Income from Fidelity Central Funds |
| 212,863,082 |
Total income |
| 599,517,438 |
|
|
|
Expenses | ||
Management fee | $ 32,073,749 | |
Transfer agent fees | 10,846,434 | |
Distribution fees | 754,200 | |
Fund wide operations fee | 3,032,583 | |
Independent trustees' compensation | 35,644 | |
Miscellaneous | 216,528 | |
Total expenses before reductions | 46,959,138 | |
Expense reductions | (171,390) | 46,787,748 |
Net investment income | 552,729,690 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: |
|
|
Unaffiliated issuers | 7,333,159 | |
Fidelity Central Funds | (570,562,102) |
|
Foreign currency transactions | (1,558) | |
Swap agreements | 39,230,099 |
|
Total net realized gain (loss) |
| (524,000,402) |
Change in net unrealized appreciation (depreciation) on: Investment securities | 712,539,712 | |
Assets and liabilities in foreign currencies | (185) | |
Swap agreements | 39,414,561 | |
Delayed delivery commitments | (1,603,030) |
|
Total change in net unrealized appreciation (depreciation) |
| 750,351,058 |
Net gain (loss) | 226,350,656 | |
Net increase (decrease) in net assets resulting from operations | $ 779,080,346 |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Statements - continued
Statement of Changes in Net Assets
| Year ended | Year ended |
Increase (Decrease) in Net Assets |
|
|
Operations |
|
|
Net investment income | $ 552,729,690 | $ 518,414,707 |
Net realized gain (loss) | (524,000,402) | 95,293,460 |
Change in net unrealized appreciation (depreciation) | 750,351,058 | (332,114,221) |
Net increase (decrease) in net assets resulting from operations | 779,080,346 | 281,593,946 |
Distributions to shareholders from net investment income | (503,411,775) | (501,867,517) |
Distributions to shareholders from net realized gain | (71,517,925) | (24,508,784) |
Total distributions | (574,929,700) | (526,376,301) |
Share transactions - net increase (decrease) | 684,114,730 | 4,412,741,476 |
Total increase (decrease) in net assets | 888,265,376 | 4,167,959,121 |
|
|
|
Net Assets | ||
Beginning of period | 11,081,982,162 | 6,914,023,041 |
End of period (including undistributed net investment income of $60,445,769 and undistributed net investment income of $8,813,868, respectively) | $ 11,970,247,538 | $ 11,081,982,162 |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Class A
Years ended August 31, | 2009 | 2008 | 2007 | 2006 I | 2006 K | 2005 K |
Selected Per-Share Data |
|
|
|
|
|
|
Net asset value, beginning of period | $ 10.07 | $ 10.27 | $ 10.39 | $ 10.28 | $ 10.57 | $ 10.46 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment incomeE | .494 | .488 | .508 | .043 | .476 | .387 |
Net realized and unrealized gain (loss) | .231 | (.189) | (.141) | .105 | (.294) H | .183 |
Total from investment operations | .725 | .299 | .367 | .148 | .182 | .570 |
Distributions from net investment income | (.447) | (.474) | (.470) | (.038) | (.432) | (.370) |
Distributions from net realized gain | (.068) | (.025) | (.017) | - | (.040) | (.090) |
Total distributions | (.515) | (.499) | (.487) | (.038) | (.472) | (.460) |
Net asset value, end of period | $ 10.28 | $ 10.07 | $ 10.27 | $ 10.39 | $ 10.28 | $ 10.57 |
Total Return B,C,D | 7.79% | 2.93% | 3.57% | 1.44% | 1.78% | 5.52% |
Ratios to Average Net Assets F,J |
|
|
|
|
| |
Expenses before reductions | .80% | .80% | .77% | .73% A | .79% | .96% |
Expenses net of fee waivers, if any | .80% | .80% | .77% | .73% A | .79% | .80% |
Expenses net of all reductions | .80% | .80% | .77% | .73% A | .79% | .80% |
Net investment income | 5.17% | 4.77% | 4.93% | 4.98% A | 4.61% | 3.69% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 107,998 | $ 80,755 | $ 48,076 | $ 6,780 | $ 4,545 | $ 2,974 |
Portfolio turnover rate G | 104% L | 122% | 116% L | 53% A | 99% | 193% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Total returns do not include the effect of the sales charges. E Calculated based on average shares outstanding during the period. F Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. G Amount does not include the portfolio activity of any underlying Fidelity Central Funds. H The amount shown for a share outstanding does not correspond with the aggregate net gain (loss) on investments for the period due to the timing of sales and repurchases of shares in relation to fluctuating market values of the investments of the Fund. I For the one month period ended August 31. The Fund changed its fiscal year from July 31 to August 31, effective August 31, 2006. J Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. K For the period ended July 31. L The portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds. |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Class T
Years ended August 31, | 2009 | 2008 | 2007 | 2006 I | 2006 K | 2005 K |
Selected Per-Share Data |
|
|
|
|
|
|
Net asset value, beginning of period | $ 10.06 | $ 10.26 | $ 10.38 | $ 10.27 | $ 10.56 | $ 10.46 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment incomeE | .488 | .489 | .508 | .042 | .466 | .377 |
Net realized and unrealized gain (loss) | .233 | (.191) | (.143) | .105 | (.296) H | .173 |
Total from investment operations | .721 | .298 | .365 | .147 | .170 | .550 |
Distributions from net investment income | (.443) | (.473) | (.468) | (.037) | (.420) | (.360) |
Distributions from net realized gain | (.068) | (.025) | (.017) | - | (.040) | (.090) |
Total distributions | (.511) | (.498) | (.485) | (.037) | (.460) | (.450) |
Net asset value, end of period | $ 10.27 | $ 10.06 | $ 10.26 | $ 10.38 | $ 10.27 | $ 10.56 |
Total Return B,C,D | 7.74% | 2.92% | 3.55% | 1.43% | 1.66% | 5.33% |
Ratios to Average Net Assets F,J |
|
|
|
|
| |
Expenses before reductions | .85% | .81% | .78% | .87% A | .91% | 1.13% |
Expenses net of fee waivers, if any | .85% | .81% | .78% | .87% A | .90% | .90% |
Expenses net of all reductions | .85% | .80% | .78% | .87% A | .90% | .90% |
Net investment income | 5.12% | 4.76% | 4.92% | 4.84% A | 4.50% | 3.59% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 48,090 | $ 38,574 | $ 42,191 | $ 6,293 | $ 4,583 | $ 5,739 |
Portfolio turnover rate G | 104% L | 122% | 116% L | 53% A | 99% | 193% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Total returns do not include the effect of the sales charges. E Calculated based on average shares outstanding during the period. F Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. G Amount does not include the portfolio activity of any underlying Fidelity Central Funds. H The amount shown for a share outstanding does not correspond with the aggregate net gain (loss) on investments for the period due to the timing of sales and repurchases of shares in relation to fluctuating market values of the investments of the Fund. I For the one month period ended August 31. The Fund changed its fiscal year from July 31 to August 31, effective August 31, 2006. J Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. K For the period ended July 31. L The portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds. |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Class B
Years ended August 31, | 2009 | 2008 | 2007 | 2006 I | 2006 K | 2005 K |
Selected Per-Share Data |
|
|
|
|
|
|
Net asset value, beginning of period | $ 10.07 | $ 10.27 | $ 10.39 | $ 10.28 | $ 10.57 | $ 10.46 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income E | .423 | .413 | .432 | .037 | .399 | .309 |
Net realized and unrealized gain (loss) | .233 | (.190) | (.145) | .104 | (.296) H | .182 |
Total from investment operations | .656 | .223 | .287 | .141 | .103 | .491 |
Distributions from net investment income | (.378) | (.398) | (.390) | (.031) | (.353) | (.291) |
Distributions from net realized gain | (.068) | (.025) | (.017) | - | (.040) | (.090) |
Total distributions | (.446) | (.423) | (.407) | (.031) | (.393) | (.381) |
Net asset value, end of period | $ 10.28 | $ 10.07 | $ 10.27 | $ 10.39 | $ 10.28 | $ 10.57 |
Total Return B,C,D | 7.01% | 2.17% | 2.77% | 1.38% | 1.01% | 4.74% |
Ratios to Average Net Assets F,J |
|
|
|
|
| |
Expenses before reductions | 1.53% | 1.54% | 1.53% | 1.51% A | 1.59% | 1.75% |
Expenses net of fee waivers, if any | 1.53% | 1.54% | 1.53% | 1.51% A | 1.55% | 1.55% |
Expenses net of all reductions | 1.53% | 1.54% | 1.53% | 1.51% A | 1.55% | 1.55% |
Net investment income | 4.44% | 4.03% | 4.17% | 4.22% A | 3.85% | 2.94% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 9,054 | $ 9,645 | $ 6,054 | $ 1,720 | $ 1,667 | $ 2,029 |
Portfolio turnover rate G | 104% L | 122% | 116% L | 53% A | 99% | 193% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Total returns do not include the effect of the contingent deferred sales charge. E Calculated based on average shares outstanding during the period. F Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. G Amount does not include the portfolio activity of any underlying Fidelity Central Funds. H The amount shown for a share outstanding does not correspond with the aggregate net gain (loss) on investments for the period due to the timing of sales and repurchases of shares in relation to fluctuating market values of the investments of the Fund. I For the one month period ended August 31. The Fund changed its fiscal year from July 31 to August 31, effective August 31, 2006. J Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. K For the period ended July 31. L The portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds. |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Class C
Years ended August 31, | 2009 | 2008 | 2007 | 2006 I | 2006 K | 2005 K |
Selected Per-Share Data |
|
|
|
|
|
|
Net asset value, beginning of period | $ 10.07 | $ 10.27 | $ 10.39 | $ 10.28 | $ 10.57 | $ 10.46 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income E | .425 | .413 | .429 | .036 | .389 | .299 |
Net realized and unrealized gain (loss) | .232 | (.189) | (.145) | .105 | (.293) H | .181 |
Total from investment operations | .657 | .224 | .284 | .141 | .096 | .480 |
Distributions from net investment income | (.379) | (.399) | (.387) | (.031) | (.346) | (.280) |
Distributions from net realized gain | (.068) | (.025) | (.017) | - | (.040) | (.090) |
Total distributions | (.447) | (.424) | (.404) | (.031) | (.386) | (.370) |
Net asset value, end of period | $ 10.28 | $ 10.07 | $ 10.27 | $ 10.39 | $ 10.28 | $ 10.57 |
Total Return B,C,D | 7.02% | 2.18% | 2.75% | 1.37% | .94% | 4.63% |
Ratios to Average Net Assets F,J |
|
|
|
|
| |
Expenses before reductions | 1.52% | 1.53% | 1.55% | 1.60% A | 1.62% | 1.74% |
Expenses net of fee waivers, if any | 1.52% | 1.53% | 1.55% | 1.60% A | 1.62% | 1.65% |
Expenses net of all reductions | 1.52% | 1.53% | 1.55% | 1.60% A | 1.62% | 1.65% |
Net investment income | 4.45% | 4.03% | 4.15% | 4.13% A | 3.78% | 2.84% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 55,958 | $ 28,786 | $ 18,890 | $ 2,106 | $ 1,770 | $ 677 |
Portfolio turnover rate G | 104% L | 122% | 116% L | 53% A | 99% | 193% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Total returns do not include the effect of the contingent deferred sales charge. E Calculated based on average shares outstanding during the period. F Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. G Amount does not include the portfolio activity of any underlying Fidelity Central Funds. H The amount shown for a share outstanding does not correspond with the aggregate net gain (loss) on investments for the period due to the timing of sales and repurchases of shares in relation to fluctuating market values of the investments of the Fund. I For the one month period ended August 31. The Fund changed its fiscal year from July 31 to August 31, effective August 31, 2006. J Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. K For the period ended July 31. L The portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds. |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Total Bond
Years ended August 31, | 2009 | 2008 | 2007 | 2006 H | 2006 J | 2005 J |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 10.07 | $ 10.27 | $ 10.39 | $ 10.28 | $ 10.57 | $ 10.46 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income D | .527 | .524 | .543 | .046 | .506 | .411 |
Net realized and unrealized gain (loss) | .232 | (.189) | (.143) | .105 | (.290) G | .182 |
Total from investment operations | .759 | .335 | .400 | .151 | .216 | .593 |
Distributions from net investment income | (.481) | (.510) | (.503) | (.041) | (.466) | (.393) |
Distributions from net realized gain | (.068) | (.025) | (.017) | - | (.040) | (.090) |
Total distributions | (.549) | (.535) | (.520) | (.041) | (.506) | (.483) |
Net asset value, end of period | $ 10.28 | $ 10.07 | $ 10.27 | $ 10.39 | $ 10.28 | $ 10.57 |
Total Return B, C | 8.17% | 3.29% | 3.89% | 1.46% | 2.11% | 5.75% |
Ratios to Average Net Assets E, I |
|
|
|
|
| |
Expenses before reductions | .45% | .45% | .45% | .45% A | .45% | .64% |
Expenses net of fee waivers, if any | .45% | .45% | .45% | .45% A | .45% | .61% |
Expenses net of all reductions | .45% | .45% | .45% | .45% A | .45% | .61% |
Net investment income | 5.52% | 5.12% | 5.25% | 5.26% A | 4.95% | 3.87% |
Supplemental Data |
|
|
|
|
| |
Net assets, | $ 10,863,828 | $ 9,976,432 | $ 6,450,177 | $ 2,421,077 | $ 2,306,817 | $ 420,225 |
Portfolio turnover rate F | 104% K | 122% | 116% K | 53% A | 99% | 193% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Calculated based on average shares outstanding during the period. E Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. F Amount does not include the portfolio activity of any underlying Fidelity Central Funds. G The amount shown for a share outstanding does not correspond with the aggregate net gain (loss) on investments for the period due to the timing of sales and repurchases of shares in relation to fluctuating market values of the investments of the Fund. H For the one month period ended August 31. The Fund changed its fiscal year from July 31 to August 31, effective August 31, 2006. I Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. J For the period ended July 31. K The portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds. |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Class F
Year ended August 31, | 2009 G |
Selected Per-Share Data |
|
Net asset value, beginning of period | $ 9.89 |
Income from Investment Operations |
|
Net investment income D | .100 |
Net realized and unrealized gain (loss) | .359 |
Total from investment operations | .459 |
Distributions from net investment income | (.079) |
Net asset value, end of period | $ 10.27 |
Total Return B,C | 4.64% |
Ratios to Average Net Assets E,H |
|
Expenses before reductions | .35% A |
Expenses net of fee waivers, if any | .35% A |
Expenses net of all reductions | .35% A |
Net investment income | 5.79% A |
Supplemental Data |
|
Net assets, end of period (000 omitted) | $ 329 |
Portfolio turnover rate F | 104% I |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Calculated based on average shares outstanding during the period. E Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. F Amount does not include the portfolio activity of any underlying Fidelity Central Funds. G For the period June 26, 2009 (commencement of sale of shares) to August 31, 2009. H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. I The portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds. |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Institutional Class
Years ended August 31, | 2009 | 2008 | 2007 | 2006 H | 2006 J | 2005 J |
Selected Per-Share Data |
|
|
|
|
|
|
Net asset value, beginning of period | $ 10.06 | $ 10.26 | $ 10.38 | $ 10.27 | $ 10.57 | $ 10.46 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income D | .518 | .516 | .527 | .045 | .493 | .410 |
Net realized and unrealized gain (loss) | .224 | (.186) | (.134) | .105 | (.294) G | .182 |
Total from investment operations | .742 | .330 | .393 | .150 | .199 | .592 |
Distributions from net investment income | (.474) | (.505) | (.496) | (.040) | (.459) | (.392) |
Distributions from net realized gain | (.068) | (.025) | (.017) | - | (.040) | (.090) |
Total distributions | (.542) | (.530) | (.513) | (.040) | (.499) | (.482) |
Net asset value, end of period | $ 10.26 | $ 10.06 | $ 10.26 | $ 10.38 | $ 10.27 | $ 10.57 |
Total Return B,C | 7.99% | 3.24% | 3.83% | 1.46% | 1.95% | 5.74% |
Ratios to Average Net Assets E,I |
|
|
|
|
| |
Expenses before reductions | .53% | .51% | .50% | .54% A | .56% | .62% |
Expenses net of fee waivers, if any | .53% | .51% | .50% | .54% A | .56% | .62% |
Expenses net of all reductions | .53% | .51% | .49% | .54% A | .56% | .61% |
Net investment income | 5.45% | 5.06% | 5.21% | 5.16% A | 4.84% | 3.87% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of | $ 884,991 | $ 947,791 | $ 348,636 | $ 1,058 | $ 933 | $ 114 |
Portfolio turnover rate F | 104% K | 122% | 116% K | 53% A | 99% | 193% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Calculated based on average shares outstanding during the period. E Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. F Amount does not include the portfolio activity of any underlying Fidelity Central Funds. G The amount shown for a share outstanding does not correspond with the aggregate net gain (loss) on investments for the period due to the timing of sales and repurchases of shares in relation to fluctuating market values of the investments of the Fund. H For the one month period ended August 31. The Fund changed its fiscal year from July 31 to August 31, effective August 31, 2006. I Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. J For the period ended July 31. K The portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds. |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Notes to Financial Statements
For the period ended August 31, 2009
1. Organization.
Fidelity Total Bond Fund (the Fund) is a fund of Fidelity Income Fund (the trust) and is authorized to issue an unlimited number of shares. The trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. In January 2009, the Board of Trustees of the Fund approved the creation of an additional class of shares. The Fund commenced sale of Class F shares on June 26, 2009. The Fund offers Class A, Class T, Class B, Class C, Total Bond, Class F and Institutional Class shares, each of which has equal rights as to assets and voting privileges. Each class has exclusive voting rights with respect to matters that affect that class. Class F shares of the Fund are only available for purchase by mutual funds for which Fidelity Management & Research Company (FMR) or an affiliate serves as investment manager. Class B shares will automatically convert to Class A shares after a holding period of seven years from the initial date of purchase. Investment income, realized and unrealized capital gains and losses, the common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred. Certain expense reductions also differ by class.
2. Investments in Fidelity Central Funds.
The Fund may invest in Fidelity Central Funds, which are open-end investment companies available only to other investment companies and accounts managed by Fidelity Management & Research Company (FMR) and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
Based on their investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the Fund. These strategies are consistent with the investment objectives of the Fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the Fund. The following summarizes the Fund's investment in each Fidelity Central Fund.
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Notes to Financial Statements - continued
2. Investments in Fidelity Central Funds - continued
Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices |
Fidelity Corporate Bond 1-10 Year Central Fund | Fidelity Investment Money Management, Inc. (FIMM) | Seeks a high level of income by normally investing in investment-grade corporate bonds and other corporate debt securities and repurchase agreements for those securities. | Delayed Delivery & When Issued Securities Repurchase Agreements Restricted Securities Swap Agreements |
Fidelity Floating Rate Central Fund | Fidelity Management & Research Company, Inc. (FMRC) | Seeks a high level of income by normally investing in floating rate loans and other floating rate securities. | Loans & Direct Debt Instruments Repurchase Agreements Restricted Securities
|
Fidelity Mortgage Backed Securities Central Fund | FIMM | Seeks a high level of income by normally investing in investment-grade mortgage-related securities and repurchase agreements for those securities. | Delayed Delivery & When Issued Securities Futures Repurchase Agreements Swap Agreements |
An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com and/or advisor.fidelity.com, as applicable. A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the SEC's web site at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's web site or upon request.
3. Significant Accounting Policies.
The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America, which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Events or transactions occurring after period end through the date that the financial statements were issued, October 26, 2009, have been evaluated in the preparation of the financial statements. The following summarizes the significant accounting policies of the Fund:
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3. Significant Accounting Policies - continued
Security Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Fund uses independent pricing services approved by the Board of Trustees to value its investments. Generally Accepted Accounting Principles (GAAP) establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are classified into three levels. Level 1 includes readily available unadjusted quoted prices in active markets for identical assets or liabilities. Level 2 includes observable inputs other than quoted prices included in Level 1 that are observable either directly or indirectly. Level 3 includes unobservable inputs when market prices are not readily available or reliable. Changes in valuation techniques may result in transfers in or out of an investment's assigned level within the hierarchy. The aggregate value by input level, as of August 31, 2009, for the Fund's investments, as well as a reconciliation of assets and liabilities for which significant unobservable inputs (Level 3) were used in determining value, is included at the end of the Fund's Schedule of Investments. Valuation techniques of the Fund's major categories of assets and liabilities as presented in the Schedule of Investments are as follows.
Debt securities, including restricted securities, are valued based on quotations received from dealers who make markets in such securities or by independent pricing services. For corporate bonds, bank notes, foreign government and government agency obligations, preferred securities, supranational obligations, and U.S. government and government agency obligations pricing services generally utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices. For asset backed securities, collateralized mortgage obligations, commercial mortgage securities, and U.S. government agency mortgage securities, pricing services generally utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and types as well as dealer supplied prices. 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. 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. Swaps are marked-to-market daily based on valuations from independent pricing services or dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates value. Actual prices received at disposition may differ.
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3. Significant Accounting Policies - continued
Security Valuation - continued
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 significant market or security specific events, changes in interest rates and credit quality, and developments in foreign markets which are monitored by evaluating the performance of ADRs, futures contracts and exchange-traded funds. The frequency with which these procedures are used cannot be predicted and may be utilized to a significant extent. The value of securities used for net asset value (NAV) calculation under these procedures may differ from published prices for the same securities.
Foreign Currency. The Fund uses foreign currency contracts to facilitate transactions in foreign-denominated securities. Losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.
Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rate at period end. Purchases and sales of investment securities, income and dividends received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and may include proceeds received from litigation. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Interest income and distributions from the Fidelity Central Funds are accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt
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Investment Transactions and Income - continued
securities. Inflation-indexed bonds are fixed-income securities whose principal value is periodically adjusted to the rate of inflation. Interest is accrued based on the principal value, which is adjusted for inflation. The adjustments to principal due to inflation are reflected as increases or decreases to interest income even though principal is not received until maturity. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain.
Expenses. Most expenses of the trust can be directly attributed to a fund. Expenses which cannot be directly attributed are apportioned among each Fund in the trust. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan), independent Trustees must defer receipt of a portion of, and may elect to defer receipt of an additional portion of, their annual compensation. Deferred amounts are invested in a cross-section of Fidelity funds, are marked-to-market and remain in the Fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees are included in the accompanying Statement of Assets and Liabilities.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company by distributing substantially all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code and filing its U.S. federal tax return. As a result, no provision for income taxes is required. The Fund is subject to the provisions of FASB Interpretation No. 48, Accounting for Uncertainties in Income Taxes (FIN 48). FIN 48 sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. There are no unrecognized tax benefits in the accompanying financial statements. A Fund's federal tax return is subject to examination by the Internal Revenue Service (IRS) for a period of three years. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.
Dividends are declared daily and paid monthly from net investment income. Distributions from realized gains, if any, are recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. In addition, the Fund will claim a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.
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Notes to Financial Statements - continued
3. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders - continued
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book-tax differences will reverse in a subsequent period.
Book-tax differences are primarily due to swap agreements, foreign currency transactions, defaulted bonds, market discount, redemptions in kind, partnerships (including allocations from Fidelity Central Funds), deferred trustees compensation, capital loss carryforwards and losses deferred due to wash sales and excise tax regulations.
The tax-basis components of distributable earnings and the federal tax cost as of period end were as follows:
Unrealized appreciation | $ 409,909,965 |
|
Unrealized depreciation | (274,645,572) |
|
Net unrealized appreciation (depreciation) | $ 135,264,393 |
|
|
|
|
Undistributed ordinary income | $ 53,858,059 |
|
Capital loss carryforward | $ (93,866,210) |
|
|
|
|
Cost for federal income tax purposes | $ 12,453,995,360 |
|
The tax character of distributions paid was as follows:
| August 31, 2009 | August 31, 2008 |
Ordinary Income | $ 574,929,700 | $ 521,474,544 |
Long-term Capital Gains | - | 4,901,757 |
Total | $ 574,929,700 | $ 526,376,301 |
4. Operating Policies.
Repurchase Agreements. FMR has received an Exemptive Order from the Securities and Exchange Commission (the SEC) which permits the Fund and other affiliated entities of FMR to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The Fund may also invest directly with institutions in repurchase agreements. Repurchase agreements are collateralized by government or non-government securities. Upon settlement date, collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. The Fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the
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4. Operating Policies - continued
Repurchase Agreements - continued
collateral proceeds could be delayed, during which time the value of the collateral may decline.
Delayed Delivery Transactions and When-Issued Securities. The Fund may purchase or sell securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. During the time a delayed delivery sell is outstanding, the contract is marked-to-market daily and equivalent deliverable securities are held for the transaction. The value of the securities purchased on a delayed delivery or when-issued basis are identified as such in the Fund's Schedule of Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.
Restricted Securities. The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.
Loans and Other Direct Debt Instruments. The Fund may invest in loans and loan participations, trade claims or other receivables. These investments may include standby financing commitments, including revolving credit facilities, that obligate the Fund to supply additional cash to the borrower on demand. Loan participations involve a risk of insolvency of the lending bank or other financial intermediary. The Fund may be contractually obligated to receive approval from the agent bank and/or borrower prior to the sale of these investments.
5. Investments in Derivative Instruments.
Objectives and Strategies for Investing in Derivative Instruments. The Fund uses derivative instruments ("derivatives"), including swap agreements, in order to meet its investment objectives. The Fund's strategy is to use derivatives as a risk management tool and as an additional way to gain exposure to certain types of assets. The success of any strategy involving derivatives depends on analysis of numerous economic factors,
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Notes to Financial Statements - continued
5. Investments in Derivative Instruments - continued
Objectives and Strategies for Investing in Derivative Instruments - continued
and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.
While utilizing derivatives in pursuit of its investment objectives, the Fund is exposed to certain financial risks relative to those derivatives. These risks are further explained below:
Credit Risk | Credit risk is the risk that the value of financial instruments will fluctuate as a result of changes in the credit quality of those instruments. Credit risk also includes the risk that the counterparty to a financial instrument will default or be unable to make further principal or interest payments on an obligation or commitment that it has entered into with the Fund. |
Interest Rate Risk | Interest rate risk is the risk that the value of interest-bearing financial instruments will fluctuate due to changes in the prevailing levels of market interest rates. |
The following notes provide more detailed information about each derivative type held by the Fund:
Swap Agreements. The Fund entered into swap agreements, which are contracts between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. Payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gains or losses in the Fund's accompanying Statement of Operations. Certain interest rate swaps include extended effective dates. Gains or losses are realized in the event of an early termination of a swap agreement. Any upfront payments made or received upon entering a swap contract 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 gains or losses ratably over the term of the swap in the Fund's accompanying Statement of Operations. Risks of loss may exceed amounts recognized on the Fund's Statement of Asset and Liabilities. In addition, there is the risk of failure by the counterparty to perform under the terms of the agreement and lack of liquidity in the market. Details of swap agreements open at period end are included in the Fund's Schedule of Investments under the caption "Swap Agreements." The total notional amount of all open swap agreements at period end is indicative of the volume of this derivative type. Collateral, in the form of cash or securities, may be required to be held in segregated accounts with a fund's custodian bank in accordance with the swap
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5. Investments in Derivative Instruments - continued
Swap Agreements - continued
agreement and, if required, is identified in the Fund's Schedule of Investments. The Fund could experience delays and costs in gaining access to the collateral even though it is held in the Fund's custodian bank.
The Fund entered into interest rate swap agreements to manage its exposure to interest rate changes. Interest rate swaps represent an agreement between counterparties to exchange cash flows based on the difference between two interest rates (e.g. fixed rate, floating rate), applied to a notional principal amount. Risks of loss may include interest rate risk and the possible inability of the counterparty to fulfill its obligations under the agreement. The Fund's maximum risk of loss from counterparty credit risk is the discounted net value of cash flows to be received from/paid to the counterparty over the contract's remaining life, to the extent that amount is positive. This risk is mitigated by the posting of collateral by the counterparty to the Fund to cover the Fund's exposure to the counterparty. Changes in interest rates can have a negative effect on both the value of the Fund's bond holdings as well as the amount of interest income earned. In general, the value of bonds can fall when interest rates rise and can rise when interest rates fall.
The Fund entered into credit default swap agreements to provide a measure of protection against defaults of an issuer ("buyer of protection") and/or to gain credit exposure to an issuer to which it is not otherwise exposed ("seller of protection"). The issuer may be either a single issuer or a "basket" of issuers. As a buyer of protection, the Fund does so when it holds bonds of the issuer or without owning the underlying asset or debt issued by the reference entity. Under the terms of a credit default swap the buyer of protection receives credit protection in exchange for making periodic payments to the seller of protection based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller of protection acts as a guarantor of the creditworthiness of a reference obligation. 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. If a credit event were to occur during the term of the contract, the contract is typically settled in a market auction where the difference between the value of the reference obligation received and the notional amount of the swap is recorded as a realized loss by the seller of protection. For credit default swaps on corporate or sovereign issuers, the obligation that may be put to the seller of protection is not limited to the specific reference obligation described in the Fund's Schedule of Investments.
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
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5. Investments in Derivative Instruments - continued
Swap Agreements - continued
write-down. If a credit event were to occur during the term of the contract, upon notification of the buyer of protection, the seller of protection is obligated to take delivery from the buyer of protection the notional amount of a reference obligation, at par. The difference between the value of the reference obligation received and the notional amount paid is recorded as a realized loss by the seller of protection. For credit default swaps on asset-backed securities, the reference obligation described represents the security that may be put to the seller of protection.
Risks of loss include credit risk. The Fund's maximum risk of loss from counterparty risk, either as a buyer of protection or as a seller of protection, is the value of the contract. This risk is mitigated by the posting of collateral by the counterparty to the Fund to cover the Fund's exposure to the counterparty. The notional amount of credit default swaps is included in the Fund's Schedule of Investments and approximates the maximum potential amount of future payments that the Fund could be required to make if the Fund is the seller of protection and a credit event were to occur. The total notional amount of all credit default swaps open at period end where the Fund is the seller of protection amounted to $20,971,107 representing .18% of net assets. Credit default swaps are considered to have credit-risk contingent features since they require payment by the seller of protection to the buyer of protection upon the occurrence of a defined credit event. The total value of credit default swaps in a net liability position as of period end was $(20,416,660). The value of assets posted as collateral, net of assets received as collateral, for these swaps was $10,488,885. If a defined credit event had occurred as of period end, the swaps' credit-risk-related contingent features would have been triggered and the Fund would have been required to pay $10,482,222 in addition to the collateral to settle these swaps.
Typically, the value of each credit default swap and credit rating disclosed for each reference obligation in the Fund's Schedule of Investments, where the Fund is the seller of protection, can be used as measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. Any current or future declines in the value of the swap may be partially offset by upfront payments received by the Fund as the seller of protection if applicable. In addition to these measures, FMR monitors a variety of factors including cash flow assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/performance risk.
Realized and Change in Unrealized Gain (Loss) on Derivative Instruments. A summary of the Fund's value of derivatives by primary risk exposure as of period end, if any, is included at the end of the Fund's Schedule of Investments. The table below
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5. Investments in Derivative Instruments - continued
Realized and Change in Unrealized Gain (Loss) on Derivative Instruments - continued
reflects the Fund's realized gain (loss) and change in unrealized gain (loss) for derivatives during the period.
Risk Exposure / Derivative Type | Realized Gain (Loss) | Change in |
Credit Risk |
|
|
Swap Agreements | $ (12,866,343) | $ 9,724,297 |
Interest Rate Risk |
|
|
Swap Agreements | 52,096,442 | 29,690,264 |
Total Derivatives Realized and Change in Unrealized Gain (Loss) (a)(b) | $ 39,230,099 | $ 39,414,561 |
(a) Total derivatives realized gain (loss) included in the Statement of Operations is comprised of $39,230,099 for swap agreements.
(b) Total derivatives change in unrealized gain (loss) included in the Statement of Operations is comprised of $39,414,561 for swap agreements.
6. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities, U.S. government securities and liquidations and redemptions executed in-kind from Affiliated Central Funds, aggregated $2,127,349,029 and $2,708,644,992, respectively.
7. Fees and Other Transactions with Affiliates.
Management Fee. FMR and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .20% of the Fund's average net assets and a group fee rate that averaged .12% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by FMR. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the period, the total annual management fee rate was .32% of the Fund's average net assets.
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Notes to Financial Statements - continued
7. Fees and Other Transactions with Affiliates - continued
Distribution and Service Plan. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Certain classes pay Fidelity Distributors Corporation (FDC), an affiliate of FMR, separate Distribution and Service Fees, each of which is based on an annual percentage of each class' average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services. For the period, the Distribution and Service Fee rates and the total amounts paid to and retained by FDC were as follows:
| Distribution | Service | Paid to | Retained |
Class A | 0% | .25% | $ 206,573 | $ 13,873 |
Class T | 0% | .25% | 101,105 | 1,636 |
Class B | .65% | .25% | 75,509 | 54,592 |
Class C | .75% | .25% | 371,013 | 76,285 |
|
|
| $ 754,200 | $ 146,386 |
Sales Load. FDC receives a front-end sales charge of up to 4.00% for selling Class A shares and Class T shares, some of which is paid to financial intermediaries for selling shares of the Fund. FDC receives the proceeds of contingent deferred sales charges levied on Class A, Class T, Class B, and Class C redemptions. These charges depend on the holding period. The deferred sales charges range from 5% to 1% for Class B, 1% for Class C, ..75% to .50% for certain purchases of Class A shares and .25% for certain purchases of Class T shares.
For the period, sales charge amounts retained by FDC were as follows:
| Retained |
Class A | $ 32,808 |
Class T | 4,757 |
Class B* | 42,910 |
Class C* | 7,798 |
| $ 88,273 |
* When Class B and Class C shares are initially sold, FDC pays commissions from its own resources to financial intermediaries through which the sales are made.
Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of FMR, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of each respective class of the Fund, with the exception of Total Bond and Class F. FIIOC receives an asset-based fee of .10% of Total Bond's average net assets. FIIOC receives no fees for
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7. Fees and Other Transactions with Affiliates - continued
Transfer Agent Fees - continued
providing transfer agency services to Class F. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, the total transfer agent fees paid by each applicable class were as follows:
| Amount | % of |
Class A | $ 163,866 | .20 |
Class T | 101,206 | .25 |
Class B | 23,463 | .28 |
Class C | 62,409 | .17 |
Total Bond | 9,043,406 | .10 |
Institutional Class | 1,452,084 | .18 |
| $ 10,846,434 |
|
Fundwide Operations Fee. Pursuant to the Fundwide Operations and Expense Agreement (FWOE), FMR has agreed to provide for fund level expenses (which do not include transfer agent, Rule 12b-1 fees, compensation of the independent Trustees, interest (including commitment fees), taxes or extraordinary expenses, if any) in return for a FWOE fee equal to .35% less the total amount of the management fee. The FWOE paid by the Fund is reduced by an amount equal to the fees and expenses paid to the independent Trustees. For the period, the FWOE fee was equivalent to an annual rate of .03% of average net assets.
8. Other Affiliated Transaction.
Other Affiliated Transactions. During the period, certain Fidelity Central Funds in which the Fund was invested were each liquidated pursuant to a Plan of Liquidation and Dissolution approved by the Central Fund Board. Under the plan, each Central Fund distributed in-kind all of its net assets to its shareholders pro rata at its net asset value (NAV) per share as of the close of business on the liquidation date.
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8. Other Affiliated Transaction - continued
Other Affiliated Transactions - continued
As a result, the Fund received cash and securities, including accrued interest, as noted in the following table.
Liquidation | Central Fund | Value of Cash and Securities Received (including accrued interest) | Shares of |
01/23/09 (a) | Fidelity Ultra-Short Central Fund | $ 301,876,510 | 4,827,993 |
04/17/09 (b) | Fidelity Commercial Mortgage-Backed Securities Central Fund | $ 450,179,305 | 6,245,706 |
06/26/09 (b) | Fidelity 1-3 Year Duration Securitized Bond Central Fund | $ 116,145,174 | 1,493,890 |
(a) The Fund recognized a loss as the transaction was considered taxable to the Fund for federal income tax purposes.
(b) Because the Central Fund was a partnership for federal income tax purposes, the liquidation generally was tax free to the Fund.
On February 20, 2009, the Fund redeemed in-kind 9,773,856 shares of Fidelity Corporate Bond 1-10 Year Central Fund ("1-10 Year"), a Fidelity Central Fund in which the Fund invests, valued at $879,717,481 by receiving cash and securities of equal value, including accrued interest. Because 1-10 Year was a partnership for federal income tax purposes, the redemption generally was tax free to the Fund.
9. Committed Line of Credit.
The Fund participates with other funds managed by FMR in a $3.5 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $45,943 and is reflected in Miscellaneous Expense on the Statement of Operations. During the period, there were no borrowings on this line of credit.
10. Security Lending.
The Fund lends portfolio securities from time to time in order to earn additional income. On the settlement date of the loan, the Fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the Fund and any additional required collateral is delivered to the Fund on the next business day. If the borrower defaults on its obligation
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10. Security Lending - continued
to return the securities loaned because of insolvency or other reasons, a fund could experience delays and costs in recovering the securities loaned or in gaining access to the collateral. Any cash collateral received is invested in cash equivalents. The value of loaned securities and cash collateral at period end are disclosed on the Fund's Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less fees and expenses associated with the loan, plus any premium payments that may be received on the loan of certain types of securities. Security lending income is presented in the Statement of Operations as a component of interest income. Net income from lending portfolio securities during the period amounted to $371,839.
11. Expense Reductions.
Through arrangements with the Fund's custodian and each class' transfer agent, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's custody expenses by $150,854. During the period, credits reduced each class' transfer agent expense as noted in the table below.
| Transfer Agent |
|
Total Bond | $ 20,536 |
|
12. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Years ended August 31, | 2009 A | 2008 |
From net investment income |
|
|
Class A | $ 3,847,702 | $ 3,361,032 |
Class T | 1,872,372 | 2,139,983 |
Class B | 334,350 | 357,685 |
Class C | 1,445,182 | 975,717 |
Total Bond | 454,620,480 | 451,129,055 |
Class F | 2,418 | - |
Institutional Class | 41,289,271 | 43,904,045 |
Total | $ 503,411,775 | $ 501,867,517 |
Annual Report
Notes to Financial Statements - continued
12. Distributions to Shareholders - continued
Years ended August 31, | 2009 A | 2008 |
From net realized gain |
|
|
Class A | $ 551,756 | $ 158,977 |
Class T | 276,592 | 118,778 |
Class B | 67,464 | 17,979 |
Class C | 216,528 | 58,576 |
Total Bond | 64,472,390 | 22,110,637 |
Institutional Class | 5,933,195 | 2,043,837 |
Total | $ 71,517,925 | $ 24,508,784 |
A Distributions for Class F are for the period June 26, 2009 (commencement of sale of shares) to August 31, 2009.
13. Share Transactions.
Transactions for each class of shares were as follows:
| Shares | Dollars | ||
Years ended August 31, | 2009 A | 2008 | 2009 A | 2008 |
Class A |
|
|
|
|
Shares sold | 5,984,791 | 5,588,201 | $ 57,444,987 | $ 57,565,572 |
Reinvestment of distributions | 406,888 | 305,321 | 3,861,183 | 3,130,894 |
Shares redeemed | (3,902,315) | (2,555,919) | (36,894,839) | (26,109,819) |
Net increase (decrease) | 2,489,364 | 3,337,603 | $ 24,411,331 | $ 34,586,647 |
Class T |
|
|
|
|
Shares sold | 2,362,273 | 2,804,342 | $ 22,525,326 | $ 28,824,011 |
Reinvestment of distributions | 212,303 | 209,490 | 2,007,899 | 2,149,894 |
Shares redeemed | (1,724,975) | (3,292,088) | (16,315,286) | (33,740,425) |
Net increase (decrease) | 849,601 | (278,256) | $ 8,217,939 | $ (2,766,520) |
Class B |
|
|
|
|
Shares sold | 554,201 | 792,814 | $ 5,314,152 | $ 8,188,014 |
Reinvestment of distributions | 28,612 | 25,155 | 270,597 | 258,101 |
Shares redeemed | (659,643) | (449,829) | (6,193,443) | (4,577,167) |
Net increase (decrease) | (76,830) | 368,140 | $ (608,694) | $ 3,868,948 |
Class C |
|
|
|
|
Shares sold | 4,153,350 | 1,925,088 | $ 39,736,399 | $ 19,771,131 |
Reinvestment of distributions | 152,104 | 87,624 | 1,446,118 | 898,560 |
Shares redeemed | (1,718,977) | (993,539) | (16,256,813) | (10,165,574) |
Net increase (decrease) | 2,586,477 | 1,019,173 | $ 24,925,704 | $ 10,504,117 |
Annual Report
13. Share Transactions - continued
| Shares | Dollars | ||
Years ended August 31, | 2009 A | 2008 | 2009 A | 2008 |
Total Bond |
|
|
|
|
Shares sold | 373,151,213 | 547,722,071 | $ 3,605,197,725 | $ 5,645,252,478 |
Reinvestment of distributions | 53,605,881 | 45,012,353 | 507,857,810 | 461,616,494 |
Shares redeemed | (360,364,229) | (230,103,358) | (3,408,960,293) | (2,368,082,060) |
Net increase (decrease) | 66,392,865 | 362,631,066 | $ 704,095,242 | $ 3,738,786,912 |
Class F |
|
|
|
|
Shares sold | 33,569 | - | $ 332,941 | $ - |
Reinvestment of distributions | 236 | - | 2,418 | - |
Shares redeemed | (1,783) | - | (18,285) | - |
Net increase (decrease) | 32,022 | - | $ 317,074 | $ - |
Institutional Class |
|
|
|
|
Shares sold | 13,719,215 | 78,780,201 | $ 128,522,571 | $ 814,530,864 |
Reinvestment of distributions | 4,940,454 | 4,451,142 | 46,673,580 | 45,563,586 |
Shares redeemed | (26,671,015) | (22,980,579) | (252,440,017) | (232,333,078) |
Net increase (decrease) | (8,011,346) | 60,250,764 | $ (77,243,866) | $ 627,761,372 |
A Share transactions for Class F are for the period June 26, 2009 (commencement of sale of shares) to August 31, 2009.
14. Other.
The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
15. Credit Risk.
The Fund invests a portion of its assets, directly or indirectly, in structured securities of issuers backed by residential mortgage loans, credit card receivables and automotive loans. The value and related income of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults.
Annual Report
Report of Independent Registered Public Accounting Firm
To the Trustees of Fidelity Income Fund and the Shareholders of Fidelity Total Bond Fund:
In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Fidelity Total Bond Fund (a fund of Fidelity Income Fund) at August 31, 2009, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Fidelity Total Bond Fund's management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at August 31, 2009 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
PricewaterhouseCoopers LLP
Boston, Massachusetts
October 26, 2009
Annual Report
Trustees and Officers
The Trustees and executive officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, and review the fund's performance. Except for James C. Curvey, each of the Trustees oversees 187 funds advised by FMR or an affiliate. Mr. Curvey oversees 407 funds advised by FMR or an affiliate.
The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust. Each Trustee who is not an interested person (as defined in the 1940 Act) (Independent Trustee), shall retire not later than the last day of the calendar year in which his or her 72nd birthday occurs. The Independent Trustees may waive this mandatory retirement age policy with respect to individual Trustees. The executive officers hold office without limit in time, except that any officer may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.
The fund's Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-877-208-0098.
Interested Trustees*:
Correspondence intended for each Trustee who is an interested person may be sent to Fidelity Investments, 82 Devonshire Street, Boston, Massachusetts 02109.
Name, Age; Principal Occupation | |
Abigail P. Johnson (47) | |
| Year of Election or Appointment: 2009 Ms. Johnson is Trustee and Chairman of the Board of Trustees of certain Trusts. Ms. Johnson serves as President of Personal and Workplace Investing (2005-present). Ms. Johnson is a Director of FMR LLC. Previously, Ms. Johnson served as President and a Director of FMR (2001- |
James C. Curvey (74) | |
| Year of Election or Appointment: 2007 Mr. Curvey also serves as Trustee (2007-present) of other investment companies advised by FMR. Mr. Curvey is a Director of FMR and FMR Co., Inc. (2007-present). Mr. Curvey is also Vice Chairman (2006- |
* Trustees have been determined to be "Interested Trustees" by virtue of, among other things, their affiliation with the trust or various entities under common control with FMR.
Independent Trustees:
Correspondence intended for each Independent Trustee (that is, the Trustees other than the Interested Trustees) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.
Name, Age; Principal Occupation | |
Albert R. Gamper, Jr. (67) | |
| Year of Election or Appointment: 2006 Prior to his retirement in December 2004, Mr. Gamper served as Chairman of the Board of CIT Group Inc. (commercial finance). During his tenure with CIT Group Inc. Mr. Gamper served in numerous senior management positions, including Chairman (1987-1989; 1999-2001; 2002-2004), Chief Executive Officer (1987-2004), and President. Mr. Gamper currently serves as a member of the Board of Directors of Public Service Enterprise Group (utilities), a member of the Board of Trustees, Rutgers University (2004-present), and Chairman of the Board of Saint Barnabas Health Care System. Previously, Mr. Gamper served as Chairman of the Board of Governors, Rutgers University (2004-2007). |
Arthur E. Johnson (62) | |
| Year of Election or Appointment: 2008 Mr. Johnson serves as a member of the Board of Directors of Eaton Corporation (diversified power management, 2009-present) and AGL Resources, Inc. (holding company). Previously, Mr. Johnson served as Senior Vice President of Corporate Strategic Development of Lockheed Martin Corporation (defense contractor, 1999-2009), and on the Board of Directors of IKON Office Solutions, Inc. (1999-2008). Mr. Arthur E. Johnson and Ms. Abigail P. Johnson are not related. |
Michael E. Kenneally (55) | |
| Year of Election or Appointment: 2009 Mr. Kenneally also serves as Trustee (2009-present) or Member of the Advisory Board (2008-present) of other Fidelity Fixed Income and Asset Allocation Funds. Previously, Mr. Kenneally served as Chairman and Global Chief Executive Officer of Credit Suisse Asset Management (2003-2005). Mr. Kenneally was a Director of The Credit Suisse Funds (U.S. Mutual Fund, 2004-2008) and was awarded the Chartered Financial Analyst (CFA) designation in 1991. |
James H. Keyes (68) | |
| Year of Election or Appointment: 2007 Mr. Keyes serves as a member of the Boards of Navistar International Corporation (manufacture and sale of trucks, buses, and diesel engines) and Pitney Bowes, Inc. (integrated mail, messaging, and document management solutions). Previously, Mr. Keyes served as a member of the Board of LSI Logic Corporation (semiconductor technologies, 1984-2008). |
Marie L. Knowles (62) | |
| Year of Election or Appointment: 2001 Prior to Ms. Knowles' retirement in June 2000, she served as Executive Vice President and Chief Financial Officer of Atlantic Richfield Company (ARCO) (diversified energy, 1996-2000). From 1993 to 1996, she was a Senior Vice President of ARCO and President of ARCO Transportation Company. She served as a Director of ARCO from 1996 to 1998. Ms. Knowles currently serves as a Director of McKesson Corporation (healthcare service). Ms. Knowles is an Honorary Trustee of the Brookings Institution and a member of the Board of the Catalina Island Conservancy and of the Santa Catalina Island Company (2009-present). She also serves as a member of the Advisory Board for the School of Engineering of the University of Southern California and the Foundation Board of the School of Architecture at the University of Virginia (2007-present). Previously, Ms. Knowles served as a Director of Phelps Dodge Corporation (copper mining and manufacturing, 1994-2007). |
Kenneth L. Wolfe (70) | |
| Year of Election or Appointment: 2005 Mr. Wolfe served as Chairman and a Director (2007-2009) and Chairman and Chief Executive Officer of Hershey Foods Corporation, and as a member of the Boards of Adelphia Communications Corporation (telecommunications, 2003-2006), Bausch & Lomb, Inc. (medical/pharmaceutical, 1993-2007), and Revlon, Inc. (2004-2009). |
Annual Report
Trustees and Officers - continued
Executive Officers:
Correspondence intended for each executive officer may be sent to Fidelity Investments, 82 Devonshire Street, Boston, Massachusetts 02109.
Name, Age; Principal Occupation | |
John R. Hebble (51) | |
| Year of Election or Appointment: 2008 President and Treasurer of Fidelity's Fixed Income and Asset Allocation Funds. Mr. Hebble also serves as Assistant Treasurer of other Fidelity funds (2009-present) and is an employee of Fidelity Investments. |
Boyce I. Greer (53) | |
| Year of Election or Appointment: 2005 or 2006 Vice President of Fidelity's Fixed Income Funds (2006) and Asset Allocation Funds (2005). Mr. Greer is also a Trustee of other investment companies advised by FMR. Mr. Greer is President of the Asset Allocation Division (2008-present), President and a Director of Strategic Advisers, Inc. (2008-present), President and a Director of Fidelity Investments Money Management, Inc. (2007-present), and an Executive Vice President of FMR and FMR Co., Inc. (2005-present). Previously, Mr. Greer served as a Director and Managing Director of Strategic Advisers, Inc. (2002-2005). |
Christopher P. Sullivan (55) | |
| Year of Election or Appointment: 2009 Vice President of Fidelity's Bond Funds. Mr. Sullivan also serves as President of Fidelity's Bond Group (2009-present). Previously, Mr. Sullivan served as Managing Director, Co-Head of U.S. Fixed Income at Goldman Sachs Asset Management (2001-2009). |
Scott C. Goebel (41) | |
| Year of Election or Appointment: 2008 Secretary and Chief Legal Officer (CLO) of the Fidelity funds. Mr. Goebel also serves as General Counsel, Secretary, and Senior Vice President of FMR (2008-present) and FMR Co., Inc. (2008-present); Deputy General Counsel of FMR LLC; Chief Legal Officer of Fidelity Management & Research (Hong Kong) Limited (2008-present) and Assistant Secretary of Fidelity Management & Research (Japan) Inc. (2008-present), Fidelity Investments Money Management, Inc. (2008- |
Holly C. Laurent (55) | |
| Year of Election or Appointment: 2008 Anti-Money Laundering (AML) Officer of the Fidelity funds. Ms. Laurent is an employee of Fidelity Investments. Previously, Ms. Laurent was Senior Vice President and Head of Legal for Fidelity Business Services India Pvt. Ltd. (2006-2008), and Senior Vice President, Deputy General Counsel and Group Head for FMR LLC (2005-2006). |
Christine Reynolds (50) | |
| Year of Election or Appointment: 2008 Chief Financial Officer of the Fidelity funds. Ms. Reynolds became President of Fidelity Pricing and Cash Management Services (FPCMS) in August 2008. Ms. Reynolds served as Chief Operating Officer of FPCMS (2007-2008). Previously, Ms. Reynolds served as President, Treasurer, and Anti-Money Laundering officer of the Fidelity funds (2004-2007). |
Michael H. Whitaker (42) | |
| Year of Election or Appointment: 2008 Chief Compliance Officer of Fidelity's Fixed Income and Asset Allocation Funds. Mr. Whitaker is an employee of Fidelity Investments (2007- |
Jeffrey S. Christian (47) | |
| Year of Election or Appointment: 2009 Deputy Treasurer of the Fidelity funds. Mr. Christian also serves as Chief Financial Officer of other Fidelity funds (2008-present) and is an employee of Fidelity Investments. Previously, Mr. Christian served as Senior Vice President of Fidelity Pricing and Cash Management Services (FPCMS) (2004-2009) and as Vice President of Business Analysis (2003-2004). |
Bryan A. Mehrmann (48) | |
| Year of Election or Appointment: 2005 Deputy Treasurer of the Fidelity funds. Mr. Mehrmann is an employee of Fidelity Investments. Previously, Mr. Mehrmann served as Vice President of Fidelity Investments Institutional Services Group (FIIS)/Fidelity Investments Institutional Operations Company, Inc. (FIIOC) Client Services (1998-2004). |
Stephanie J. Dorsey (40) | |
| Year of Election or Appointment: 2008 Deputy Treasurer of Fidelity's Fixed Income and Asset Allocation Funds. Ms. Dorsey is an employee of Fidelity Investments (2008-present). Previously, Ms. Dorsey served as Treasurer (2004-2008) of the JPMorgan Mutual Funds and Vice President (2004-2008) of JPMorgan Chase Bank. |
Paul M. Murphy (62) | |
| Year of Election or Appointment: 2007 Assistant Treasurer of the Fidelity funds. Mr. Murphy is an employee of Fidelity Investments. Previously, Mr. Murphy served as Chief Financial Officer of the Fidelity funds (2005-2006), Vice President and Associate General Counsel of FMR (2007), and Senior Vice President of Fidelity Pricing and Cash Management Services (FPCMS) (1994-2007). |
Kenneth B. Robins (40) | |
| Year of Election or Appointment: 2009 Assistant Treasurer of the Fidelity Fixed Income and Asset Allocation Funds. Mr. Robins also serves as President and Treasurer of other Fidelity funds and is an employee of Fidelity Investments (2004-present). Before joining Fidelity Investments, Mr. Robins worked at KPMG LLP, where he was a partner in KPMG's department of professional practice (2002-2004). |
Gary W. Ryan (51) | |
| Year of Election or Appointment: 2005 Assistant Treasurer of the Fidelity funds. Mr. Ryan is an employee of Fidelity Investments. Previously, Mr. Ryan served as Vice President of Fund Reporting in Fidelity Pricing and Cash Management Services (FPCMS) (1999-2005). |
Annual Report
Distributions (Unaudited)
A total of 1.54% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.
The fund designates $403,612,312 of distributions paid during the period January 1, 2009 to August 31, 2009 as qualifying to be taxed as interest-related dividends for nonresident alien shareholders.
The fund will notify shareholders in January 2010 of amounts for use in preparing 2009 income tax returns.
Annual Report
Proxy Voting Results
A special meeting of the fund's shareholders was held on July 15, 2009. The results of votes taken among shareholders on the proposals before them are reported below. Each vote reported represents one dollar of net asset value held on the record date for the meeting.
PROPOSAL 1 | ||
To elect a Board of Trustees.A | ||
| # of | % of |
James C. Curvey | ||
Affirmative | 14,013,293,778.94 | 95.195 |
Withheld | 707,255,451.85 | 4.805 |
TOTAL | 14,720,549,230.79 | 100.000 |
Albert R. Gamper, Jr. | ||
Affirmative | 14,076,416,168.78 | 95.624 |
Withheld | 644,133,062.01 | 4.376 |
TOTAL | 14,720,549,230.79 | 100.000 |
Abigail P. Johnson | ||
Affirmative | 14,008,124,232.06 | 95.160 |
Withheld | 712,424,998.73 | 4.840 |
TOTAL | 14,720,549,230.79 | 100.000 |
Arthur E. Johnson | ||
Affirmative | 14,050,921,135.52 | 95.451 |
Withheld | 669,628,095.27 | 4.549 |
TOTAL | 14,720,549,230.79 | 100.000 |
Michael E. Kenneally | ||
Affirmative | 14,109,579,658.34 | 95.850 |
Withheld | 610,969,572.45 | 4.150 |
TOTAL | 14,720,549,230.79 | 100.000 |
James H. Keyes | ||
Affirmative | 14,092,011,663.11 | 95.730 |
Withheld | 628,537,567.68 | 4.270 |
TOTAL | 14,720,549,230.79 | 100.000 |
Marie L. Knowles | ||
Affirmative | 14,092,143,532.07 | 95.731 |
Withheld | 628,405,698.72 | 4.269 |
TOTAL | 14,720,549,230.79 | 100.000 |
Kenneth L. Wolfe | ||
Affirmative | 14,052,555,742.75 | 95.462 |
Withheld | 667,993,488.04 | 4.538 |
TOTAL | 14,720,549,230.79 | 100.000 |
PROPOSAL 2 | ||
To amend the Declaration of Trust to reduce the required quorum for future shareholder meetings.A | ||
| # of | % of |
Affirmative | 10,799,375,525.31 | 73.363 |
Against | 2,448,219,135.99 | 16.631 |
Abstain | 720,949,491.20 | 4.898 |
Broker | 752,005,078.29 | 5.108 |
TOTAL | 14,720,549,230.79 | 100.000 |
A Denotes trust-wide proposal and voting results.
Annual Report
Board Approval of Investment Advisory Contracts and Management Fees
Fidelity Total Bond Fund
On May 21, 2009, the Board of Trustees, including the Independent Trustees (together, the Board), voted to continue the management contract and subadvisory agreements (together, the Advisory Contracts) for the fund for four months, through September 30, 2009, in connection with the reorganization of the Board's new meeting schedule. The Board considered that the contractual terms of and fees payable under the fund's Advisory Contracts involve no changes in (i) the investment process or strategies employed in the management of the fund's assets; (ii) the nature or level of services provided under the fund's Advisory Contracts; or (iii) the day-to-day management of the fund or the persons primarily responsible for such management. The Board concluded that the fund's Advisory Contracts are fair and reasonable, and that the fund's Advisory Contracts should be renewed, without modification, through September 30, 2009, with the understanding that the Board will consider their renewal in September 2009.
Annual Report
Investment Adviser
Fidelity Management & Research Company
Boston, MA
Investment Sub-Advisers
FMR Co. Inc.
Fidelity Management & Research
(U.K.) Inc.
Fidelity Management & Research
(Hong Kong) Limited
Fidelity Management & Research
(Japan) Inc.
Fidelity Research & Analysis Company
Fidelity Investments
Money Management, Inc.
Fidelity Investments Japan Limited
FIL Investment Advisors
FIL Investment Advisors
(U.K.) Ltd.
General Distributor
Fidelity Distributors Corporation
Boston, MA
Transfer and Service Agents
Fidelity Investments Institutional Operations Company, Inc.
Boston, MA
Fidelity Service Company, Inc.
Boston, MA
Custodian
Citibank, N.A.
New York, NY
ATBI-UANN-1009 1.804580.105
Item 2. Code of Ethics
As of the end of the period, August 31, 2009, Fidelity Income Fund (the trust) has adopted a code of ethics, as defined in Item 2 of Form N-CSR, that applies to its President and Treasurer and its Chief Financial Officer. A copy of the code of ethics is filed as an exhibit to this Form N-CSR.
Item 3. Audit Committee Financial Expert
The Board of Trustees of the trust has determined that Marie L. Knowles is an audit committee financial expert, as defined in Item 3 of Form N-CSR. Ms. Knowles is independent for purposes of Item 3 of Form N-CSR.
Item 4. Principal Accountant Fees and Services
Fees and Services
The following table presents fees billed by PricewaterhouseCoopers LLP ("PwC") in each of the last two fiscal years for services rendered to Fidelity Total Bond Fund (the "Fund"):
Services Billed by PwC
August 31, 2009 FeesA
| Audit Fees | Audit-Related Fees | Tax Fees | All Other Fees |
Fidelity Total Bond Fund | $175,000 | $- | $5,400 | $9,300 |
August 31, 2008 FeesA
| Audit Fees | Audit-Related Fees | Tax Fees | All Other Fees |
Fidelity Total Bond Fund | $202,000 | $- | $9,000 | $7,200 |
A Amounts may reflect rounding.
The following table presents fees billed by PwC that were required to be approved by the Audit Committee for services that relate directly to the operations and financial reporting of the Fund and that are rendered on behalf of Fidelity Management & Research Company ("FMR") and entities controlling, controlled by, or under common control with FMR (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) that provide ongoing services to the Fund ("Fund Service Providers"):
Services Billed by PwC
| August 31, 2009A | August 31, 2008A |
Audit-Related Fees | $3,015,000 | $1,480,000B |
Tax Fees | $2,000 | $- |
All Other Fees | $- | $- B |
A Amounts may reflect rounding.
B Reflects current period presentation.
"Audit-Related Fees" represent fees billed for assurance and related services that are reasonably related to the performance of the fund audit or the review of the fund's financial statements and that are not reported under Audit Fees.
"Tax Fees" represent fees billed for tax compliance, tax advice or tax planning that relate directly to the operations and financial reporting of the fund.
"All Other Fees" represent fees billed for assurance services provided to the fund or Fund Service Provider that relate directly to the operations and financial reporting of the fund, excluding those services that are reported under Audit Fees, Audit-Related Fees or Tax Fees.
Assurance services must be performed by an independent public accountant.
* * *
The aggregate non-audit fees billed by PwC for services rendered to the Fund, FMR (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any Fund Service Provider for each of the last two fiscal years of the Fund are as follows:
Billed By | August 31, 2009 A | August 31, 2008 A |
PwC | $3,885,000 | $2,470,000 |
A Amounts may reflect rounding.
The trust's Audit Committee has considered non-audit services that were not pre-approved that were provided by PwC to Fund Service Providers to be compatible with maintaining the independence of PwC in its audit of the Fund, taking into account representations from PwC, in accordance with Public Company Accounting Oversight Board rules, regarding its independence from the Fund and its related entities and FMR's review of the appropriateness and permissibility under applicable law of such non-audit services prior to their provision to the Fund Service Providers.
Audit Committee Pre-Approval Policies and Procedures
The trust's Audit Committee must pre-approve all audit and non-audit services provided by a fund's independent registered public accounting firm relating to the operations or financial reporting of the fund. Prior to the commencement of any audit or non-audit services to a fund, the Audit Committee reviews the services to determine whether they are appropriate and permissible under applicable law.
The Audit Committee has adopted policies and procedures to, among other purposes, provide a framework for the Committee's consideration of non-audit services by the audit firms that audit the Fidelity funds. The policies and procedures require that any non-audit service provided by a fund audit firm to a Fidelity fund and any non-audit service provided by a fund auditor to a Fund Service Provider that relates directly to the operations and financial reporting of a Fidelity fund ("Covered Service") are subject to approval by the Audit Committee before such service is provided.
All Covered Services must be approved in advance of provision of the service either: (i) by formal resolution of the Audit Committee, or (ii) by oral or written approval of the service by the Chair of the Audit Committee (or if the Chair is unavailable, such other member of the Audit Committee as may be designated by the Chair to act in the Chair's absence). The approval contemplated by (ii) above is permitted where the Treasurer determines that action on such an engagement is necessary before the next meeting of the Audit Committee.
Non-audit services provided by a fund audit firm to a Fund Service Provider that do not relate directly to the operations and financial reporting of a Fidelity fund are reported to the Audit Committee on a periodic basis.
Non-Audit Services Approved Pursuant to Rule 2-01(c)(7)(i)(C) and (ii) of Regulation S-X ("De Minimis Exception")
There were no non-audit services approved or required to be approved by the Audit Committee pursuant to the De Minimis Exception during the Fund's last two fiscal years relating to services provided to (i) the Fund or (ii) any Fund Service Provider that relate directly to the operations and financial reporting of the Fund.
Item 5. Audit Committee of Listed Registrants
Not applicable.
Item 6. Investments
(a) Not applicable.
(b) Not applicable
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 9. Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders
There were no material changes to the procedures by which shareholders may recommend nominees to the trust's Board of Trustees.
Item 11. Controls and Procedures
(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the trust's 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 second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the trust's internal control over financial reporting.
Item 12. Exhibits
(a) | (1) | Code of Ethics pursuant to Item 2 of Form N-CSR is filed and attached hereto as EX-99.CODE ETH. |
(a) | (2) | 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. |
(a) | (3) | Not applicable. |
(b) |
| Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) is furnished and attached hereto as Exhibit 99.906CERT. |
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 Income Fund
By: | /s/John R. Hebble |
| John R. Hebble |
| President and Treasurer |
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|
Date: | October 29, 2009 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/John R. Hebble |
| John R. Hebble |
| President and Treasurer |
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|
Date: | October 29, 2009 |
By: | /s/Christine Reynolds |
| Christine Reynolds |
| Chief Financial Officer |
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Date: | October 29, 2009 |