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, 2010 |
Item 1. Reports to Stockholders
Fidelity®
Total Bond
Fund
Annual Report
August 31, 2010
(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 of Fund Performance | The Portfolio Manager's review of fund performance and strategy. | |
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, as well as financial highlights. | |
Notes | Notes to the financial statements. | |
Report of Independent Registered Public Accounting Firm |
| |
Trustees and Officers |
| |
Distributions |
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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
(photo_of_Abigail_P_Johnson)
Dear Shareholder:
A yearlong uptrend in global equity markets reversed course in late April 2010 when investor sentiment turned bearish due in great measure to concern that Europe's debt crisis would expand and slow or derail economic recovery. However, a bounceback in July helped to recover some of the ground that was lost. Financial markets are always unpredictable, of course, but there also are several time-tested investment principles that can help put the 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,
(The chairman's signature appears here.)
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' distributions from 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, 2010 | Past 1 | Past 5 | Life of |
Fidelity® Total Bond Fund | 12.37% | 5.97% | 6.02% |
A From October 15, 2002.
$10,000 Over Life of Fund
Let's say hypothetically that $10,000 was invested in Fidelity Total Bond Fund, 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: U.S. taxable bonds generated strong results during the 12-month period ending August 31, 2010, as evidenced by the 9.18% advance of the Barclays Capital U.S. Aggregate Bond Index, a broad measure of the domestic investment-grade debt universe. Riskier segments of the market fared best overall, led by corporate bonds and asset-backed securities (ABS). These sectors were big beneficiaries of robust demand from investors seeking attractively priced, higher-yielding investments amid signs of economic stabilization during much of the period. The Barclays Capital U.S. Credit Bond Index rose 12.87% and the Barclays Capital U.S. Fixed-Rate ABS Index returned 10.53%. The Barclays Capital U.S. Treasury Bond Index advanced 8.13%, with most of the gain coming in the second half of the period. That's when investors began to return to the relative safety of U.S. government bonds, as the economic outlook became less certain and worries about inflation receded. Elsewhere, mortgage-backed securities (MBS), bolstered largely by government purchase programs, increased 6.97%, as measured by the Barclays Capital U.S. MBS Index. Government-backed agency securities lagged the broader MBS market, with the Barclays Capital U.S. Agency Bond Index gaining 5.82%. Agency securities initially were constrained by investors' diminished appetite for bonds with lower perceived credit risk, but later were helped by the Federal Reserve's purchases of agency debt.
Comments from Ford O'Neil, Lead Portfolio Manager of Fidelity® Total Bond Fund: For the year, the fund's Retail Class shares gained 12.37%, easily outpacing the Barclays Capital U.S. Aggregate Bond Index and the 10.04% advance of the Barclays Capital U.S. Universal Bond Index. Versus the Aggregate Bond index, sector and security selection within the investment-grade portion of the portfolio provided the biggest boost, particularly in the first half of the period. Specifically, overweighting riskier bond classes, such as corporate bonds, commercial mortgage-backed securities, ABS and non-index collateralized mortgage obligations, paid off. These sectors were driven by strong demand from investors seeking higher yields amid signs the economy and credit markets were stabilizing. Our positioning within corporates was especially beneficial. Timely moves in the Treasury sector worked to our advantage, as did out-of-index holdings in TIPS (Treasury Inflation-Protected Securities). I significantly reduced the fund's weighting in corporate bonds during the period, based on valuations, and redeployed most of the proceeds into Treasuries. Out-of-index allocations to high-yield, floating-rate and emerging-markets debt also bolstered performance. In another change to our sector allocation, we significantly reduced our position in interest rate swaps. These instruments, which were used in part to manage the fund's yield-curve positioning, performed well and, as a result, no longer traded at compelling valuations, in our view.
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 Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (March 1, 2010 to August 31, 2010).
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.
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.
Annual Report
Shareholder Expense Example - continued
| Annualized Expense Ratio | Beginning | Ending | Expenses Paid |
Class A | .83% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,059.20 | $ 4.31 |
HypotheticalA |
| $ 1,000.00 | $ 1,021.02 | $ 4.23 |
Class T | .80% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,059.30 | $ 4.15 |
HypotheticalA |
| $ 1,000.00 | $ 1,021.17 | $ 4.08 |
Class B | 1.52% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,055.40 | $ 7.87 |
HypotheticalA |
| $ 1,000.00 | $ 1,017.54 | $ 7.73 |
Class C | 1.49% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,055.60 | $ 7.72 |
HypotheticalA |
| $ 1,000.00 | $ 1,017.69 | $ 7.58 |
Total Bond | .45% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,061.10 | $ 2.34 |
HypotheticalA |
| $ 1,000.00 | $ 1,022.94 | $ 2.29 |
Class F | .35% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,061.70 | $ 1.82 |
HypotheticalA |
| $ 1,000.00 | $ 1,023.44 | $ 1.79 |
Institutional Class | .52% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,060.80 | $ 2.70 |
HypotheticalA |
| $ 1,000.00 | $ 1,022.58 | $ 2.65 |
A 5% return per year before expenses
* 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). 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.
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, 2010 | As of February 28, 2010 | ||||||
![]() | U.S. Government and U.S. Government Agency Obligations †† 63.5% |
| ![]() | U.S. Government and U.S. Government Agency |
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![]() | AAA 7.5% |
| ![]() | AAA 7.9% |
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![]() | AA 3.0% |
| ![]() | AA 3.9% |
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![]() | A 7.6% |
| ![]() | A 8.5% |
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![]() | BBB 10.1% |
| ![]() | BBB 12.4% |
| ||
![]() | BB and Below 11.6% |
| ![]() | BB and Below 13.9% |
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![]() | Not Rated 1.5% |
| ![]() | Not Rated 0.9% |
| ||
![]() | Equities 0.0% |
| ![]() | Equities 0.0% |
| ||
![]() | Short-Term |
| ![]() | Short-Term |
|
We have used ratings from Moody's Investors Service, 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, 2010 | ||
|
| 6 months ago |
Years | 6.2 | 6.0 |
Weighted Average Maturity (WAM) is a weighted average of all the maturities of the securities held in a fund. 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 if it is probable that the issuer of the instrument will take advantage of such features. |
Duration as of August 31, 2010 | ||
|
| 6 months ago |
Years | 4.1 | 3.8 |
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, 2010* | As of February 28, 2010** | ||||||
![]() | Corporate Bonds 25.6% |
| ![]() | Corporate Bonds 30.1% |
| ||
![]() | U.S. Government and U.S. Government Agency Obligations †† 63.5% |
| ![]() | U.S. Government and U.S. Government Agency Obligations †† 51.9% |
| ||
![]() | Asset-Backed |
| ![]() | Asset-Backed |
| ||
![]() | CMOs and Other Mortgage Related Securities 8.2% |
| ![]() | CMOs and Other Mortgage Related Securities 8.4% |
| ||
![]() | Municipal Bonds 0.2% |
| ![]() | Municipal Bonds 0.2% |
| ||
![]() | Other Investments 4.9% |
| ![]() | Other Investments 6.2% |
| ||
![]() | Short-Term |
| ![]() | Short-Term |
| ||
* Foreign investments | 6.7% |
| ** Foreign investments | 8.4% |
| ||
* Futures and Swaps | 1.4% |
| ** Futures and Swaps | 8.2% |
|
† 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, 2010
Showing Percentage of Net Assets
Corporate Bonds - 24.2% | ||||
| Principal Amount (c) | Value | ||
Convertible Bonds - 0.0% | ||||
ENERGY - 0.0% | ||||
Oil, Gas & Consumable Fuels - 0.0% | ||||
Massey Energy Co. 3.25% 8/1/15 | $ 1,970,000 | $ 1,699,716 | ||
FINANCIALS - 0.0% | ||||
Real Estate Investment Trusts - 0.0% | ||||
Developers Diversified Realty Corp. 3% 3/15/12 | 270,000 | 261,900 | ||
Inland Real Estate Corp. 4.625% 11/15/26 | 233,000 | 229,505 | ||
| 491,405 | |||
INFORMATION TECHNOLOGY - 0.0% | ||||
Communications Equipment - 0.0% | ||||
Lucent Technologies, Inc. 2.875% 6/15/25 | 2,841,800 | 2,502,560 | ||
Semiconductors & Semiconductor Equipment - 0.0% | ||||
Energy Conversion Devices, Inc. 3% 6/15/13 | 1,010,000 | 646,400 | ||
TOTAL INFORMATION TECHNOLOGY | 3,148,960 | |||
TOTAL CONVERTIBLE BONDS | 5,340,081 | |||
Nonconvertible Bonds - 24.2% | ||||
CONSUMER DISCRETIONARY - 2.8% | ||||
Auto Components - 0.1% | ||||
DaimlerChrysler NA Holding Corp.: | ||||
5.75% 9/8/11 | 5,595,000 | 5,855,397 | ||
5.875% 3/15/11 | 2,077,000 | 2,132,956 | ||
Lear Corp. 7.875% 3/15/18 | 2,565,000 | 2,648,363 | ||
Tenneco, Inc. 7.75% 8/15/18 (f) | 1,400,000 | 1,410,500 | ||
The Goodyear Tire & Rubber Co. 8.25% 8/15/20 | 3,910,000 | 3,978,425 | ||
| 16,025,641 | |||
Automobiles - 0.0% | ||||
Ford Motor Co. 7.45% 7/16/31 | 1,945,000 | 1,896,375 | ||
Diversified Consumer Services - 0.0% | ||||
Affinion Group, Inc. 11.5% 10/15/15 | 1,990,000 | 2,094,475 | ||
ServiceMaster Co. 10.75% 7/15/15 pay-in-kind (f)(l) | 2,935,000 | 3,052,400 | ||
| 5,146,875 | |||
Hotels, Restaurants & Leisure - 0.3% | ||||
Chukchansi Economic Development Authority 8% 11/15/13 (f) | 765,000 | 443,700 | ||
GWR Operating Partnership LLP 10.875% 4/1/17 (f) | 1,635,000 | 1,647,263 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Hotels, Restaurants & Leisure - continued | ||||
Host Marriott LP 6.375% 3/15/15 | $ 250,000 | $ 250,000 | ||
ITT Corp. 7.375% 11/15/15 | 250,000 | 271,250 | ||
Las Vegas Sands Corp. 6.375% 2/15/15 | 1,170,000 | 1,164,150 | ||
MCE Finance Ltd. 10.25% 5/15/18 (f) | 3,040,000 | 3,260,400 | ||
MGM Mirage, Inc.: | ||||
6.625% 7/15/15 | 1,870,000 | 1,477,300 | ||
7.5% 6/1/16 | 1,160,000 | 913,500 | ||
NCL Corp. Ltd. 11.75% 11/15/16 | 1,375,000 | 1,526,250 | ||
Royal Caribbean Cruises Ltd.: | ||||
7.25% 3/15/18 | 465,000 | 454,538 | ||
11.875% 7/15/15 | 1,450,000 | 1,703,750 | ||
yankee: | ||||
7% 6/15/13 | 3,000,000 | 3,063,750 | ||
7.25% 6/15/16 | 5,365,000 | 5,351,588 | ||
7.5% 10/15/27 | 3,070,000 | 2,743,659 | ||
Scientific Games Corp.: | ||||
7.875% 6/15/16 (f) | 2,145,000 | 2,166,450 | ||
9.25% 6/15/19 | 3,645,000 | 3,863,700 | ||
Seneca Gaming Corp.: | ||||
Series B, 7.25% 5/1/12 | 2,250,000 | 2,188,125 | ||
7.25% 5/1/12 | 2,340,000 | 2,275,650 | ||
Snoqualmie Entertainment Authority: | ||||
4.4277% 2/1/14 (f)(l) | 115,000 | 94,875 | ||
9.125% 2/1/15 (f) | 785,000 | 690,800 | ||
Times Square Hotel Trust 8.528% 8/1/26 (f) | 350,732 | 357,309 | ||
Town Sports International Holdings, Inc. 11% 2/1/14 | 2,270,000 | 2,105,425 | ||
Universal City Development Partners Ltd./UCDP Finance, Inc.: | ||||
8.875% 11/15/15 (f) | 1,210,000 | 1,228,150 | ||
10.875% 11/15/16 (f) | 1,045,000 | 1,110,313 | ||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. 7.75% 8/15/20 (f) | 2,300,000 | 2,317,250 | ||
| 42,669,145 | |||
Household Durables - 0.3% | ||||
Controladora Mabe SA CV 7.875% 10/28/19 (f) | 775,000 | 840,875 | ||
Fortune Brands, Inc.: | ||||
5.875% 1/15/36 | 13,297,000 | 13,480,725 | ||
6.375% 6/15/14 | 9,424,000 | 10,668,731 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Household Durables - continued | ||||
Lennar Corp. 12.25% 6/1/17 | $ 1,610,000 | $ 1,835,400 | ||
Reliance Intermediate Holdings LP 9.5% 12/15/19 (f) | 3,055,000 | 3,177,200 | ||
Standard Pacific Corp.: | ||||
7% 8/15/15 | 1,050,000 | 981,750 | ||
8.375% 5/15/18 | 850,000 | 816,000 | ||
10.75% 9/15/16 | 2,370,000 | 2,509,238 | ||
| 34,309,919 | |||
Internet & Catalog Retail - 0.0% | ||||
Netflix, Inc. 8.5% 11/15/17 | 1,355,000 | 1,465,026 | ||
Media - 1.9% | ||||
Allbritton Communications Co. 8% 5/15/18 | 2,630,000 | 2,597,125 | ||
AOL Time Warner, Inc. 7.625% 4/15/31 | 500,000 | 623,922 | ||
Belo Corp. 8% 11/15/16 | 1,665,000 | 1,756,575 | ||
Cablemas SA de CV 9.375% 11/15/15 (Reg. S) | 1,320,000 | 1,395,900 | ||
Cablevision Systems Corp.: | ||||
7.75% 4/15/18 | 1,440,000 | 1,519,200 | ||
8% 4/15/20 | 1,440,000 | 1,530,000 | ||
8.625% 9/15/17 (f) | 2,915,000 | 3,148,200 | ||
Catalina Marketing Corp. 10.5% 10/1/15 pay-in-kind (f)(l) | 2,835,000 | 3,033,450 | ||
Cequel Communications Holdings I LLC/Cequel Capital Corp. 8.625% 11/15/17 (f) | 7,580,000 | 7,731,600 | ||
Charter Communications Holdings II LLC/Charter Communications Holdings II Capital Corp. 13.5% 11/30/16 | 1,694,103 | 2,003,277 | ||
Clear Channel Communications, Inc.: | ||||
5.5% 9/15/14 | 3,295,000 | 2,034,663 | ||
11% 8/1/16 pay-in-kind (l) | 2,106,912 | 1,559,115 | ||
Clear Channel Worldwide Holdings, Inc.: | ||||
9.25% 12/15/17 | 555,000 | 575,813 | ||
9.25% 12/15/17 | 2,580,000 | 2,705,775 | ||
Comcast Cable Communications, Inc. 6.75% 1/30/11 | 511,000 | 523,405 | ||
Comcast Corp.: | ||||
4.95% 6/15/16 | 1,879,000 | 2,076,755 | ||
5.5% 3/15/11 | 382,000 | 391,574 | ||
5.7% 5/15/18 | 14,168,000 | 16,138,216 | ||
6.4% 3/1/40 | 4,490,000 | 5,130,516 | ||
6.45% 3/15/37 | 2,196,000 | 2,503,820 | ||
6.55% 7/1/39 | 9,000,000 | 10,437,381 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Media - continued | ||||
COX Communications, Inc. 4.625% 6/1/13 | $ 4,467,000 | $ 4,802,641 | ||
CSC Holdings LLC: | ||||
8.5% 4/15/14 | 2,105,000 | 2,304,975 | ||
8.5% 6/15/15 | 2,340,000 | 2,538,900 | ||
8.625% 2/15/19 | 860,000 | 961,050 | ||
Discovery Communications LLC: | ||||
3.7% 6/1/15 | 6,861,000 | 7,217,573 | ||
6.35% 6/1/40 | 6,392,000 | 7,243,958 | ||
EchoStar Communications Corp.: | ||||
7.125% 2/1/16 | 2,525,000 | 2,581,813 | ||
7.75% 5/31/15 | 1,760,000 | 1,834,800 | ||
Entravision Communication Corp. 8.75% 8/1/17 (f) | 1,020,000 | 1,020,000 | ||
Globo Comunicacoes e Participacoes SA 6.25% (e)(f) | 2,560,000 | 2,598,400 | ||
Insight Communications, Inc. 9.375% 7/15/18 (f) | 3,750,000 | 3,956,250 | ||
Interpublic Group of Companies, Inc. 6.25% 11/15/14 | 1,310,000 | 1,355,850 | ||
Kabel Deutschland GmbH 10.625% 7/1/14 | 4,825,000 | 5,011,969 | ||
Liberty Media Corp. 8.25% 2/1/30 | 245,000 | 232,750 | ||
NBC Universal, Inc.: | ||||
3.65% 4/30/15 (f) | 2,800,000 | 2,936,920 | ||
5.15% 4/30/20 (f) | 11,614,000 | 12,510,624 | ||
6.4% 4/30/40 (f) | 8,278,000 | 9,295,027 | ||
Net Servicos de Comunicacao SA 7.5% 1/27/20 (f) | 1,500,000 | 1,695,000 | ||
News America Holdings, Inc. 7.75% 12/1/45 | 170,000 | 221,637 | ||
News America, Inc.: | ||||
5.3% 12/15/14 | 876,000 | 988,358 | ||
6.15% 3/1/37 | 2,970,000 | 3,264,110 | ||
6.2% 12/15/34 | 5,330,000 | 5,848,929 | ||
Nexstar Broadcasting, Inc./Mission, Inc. 8.875% 4/15/17 (f) | 2,140,000 | 2,161,400 | ||
Nielsen Finance LLC/Nielsen Finance Co.: | ||||
10% 8/1/14 | 3,975,000 | 4,143,938 | ||
11.5% 5/1/16 | 2,225,000 | 2,503,125 | ||
11.625% 2/1/14 | 2,325,000 | 2,615,625 | ||
12.5% 8/1/16 (d) | 7,805,000 | 7,668,413 | ||
Quebecor Media, Inc.: | ||||
7.75% 3/15/16 | 4,032,000 | 4,127,760 | ||
7.75% 3/15/16 | 2,485,000 | 2,544,019 | ||
QVC, Inc. 7.125% 4/15/17 (f) | 1,330,000 | 1,346,625 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Media - continued | ||||
Time Warner Cable, Inc.: | ||||
5.4% 7/2/12 | $ 2,444,000 | $ 2,622,282 | ||
5.85% 5/1/17 | 2,607,000 | 2,974,050 | ||
6.2% 7/1/13 | 2,324,000 | 2,617,867 | ||
6.75% 7/1/18 | 13,473,000 | 16,087,058 | ||
Time Warner, Inc.: | ||||
3.15% 7/15/15 | 2,850,000 | 2,929,586 | ||
6.2% 3/15/40 | 10,492,000 | 11,566,318 | ||
6.5% 11/15/36 | 9,243,000 | 10,454,101 | ||
Umbrella Acquisition, Inc. 10.5% 3/15/15 pay-in-kind (f)(l) | 6,804,412 | 5,786,585 | ||
Univision Communications, Inc. 12% 7/1/14 (f) | 1,955,000 | 2,106,513 | ||
Viacom, Inc.: | ||||
6.125% 10/5/17 | 2,051,000 | 2,405,444 | ||
6.25% 4/30/16 | 5,600,000 | 6,529,001 | ||
6.75% 10/5/37 | 1,460,000 | 1,735,192 | ||
Videotron Ltd. 9.125% 4/15/18 | 1,965,000 | 2,166,413 | ||
Visant Holding Corp. 8.75% 12/1/13 | 450,000 | 459,000 | ||
| 247,388,131 | |||
Multiline Retail - 0.1% | ||||
Target Corp. 3.875% 7/15/20 | 7,556,000 | 7,925,632 | ||
Specialty Retail - 0.1% | ||||
AutoNation, Inc. 6.75% 4/15/18 | 2,040,000 | 2,034,900 | ||
Toys 'R' US Property Co. I LLC 10.75% 7/15/17 | 5,060,000 | 5,679,850 | ||
Toys 'R' US, Inc. 7.375% 9/1/16 (f) | 1,200,000 | 1,206,000 | ||
| 8,920,750 | |||
TOTAL CONSUMER DISCRETIONARY | 365,747,494 | |||
CONSUMER STAPLES - 1.2% | ||||
Beverages - 0.1% | ||||
Anheuser-Busch InBev Worldwide, Inc. 7.75% 1/15/19 (f) | 4,750,000 | 6,087,581 | ||
Cerveceria Nacional Dominicana C por A 8% 3/27/14 (Reg. S) | 100,000 | 105,000 | ||
Diageo Capital PLC 5.2% 1/30/13 | 1,037,000 | 1,131,791 | ||
FBG Finance Ltd. 5.125% 6/15/15 (f) | 2,936,000 | 3,241,426 | ||
| 10,565,798 | |||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
CONSUMER STAPLES - continued | ||||
Food & Staples Retailing - 0.2% | ||||
Albertsons, Inc.: | ||||
7.45% 8/1/29 | $ 250,000 | $ 202,500 | ||
7.75% 6/15/26 | 600,000 | 510,750 | ||
8% 5/1/31 | 2,385,000 | 2,003,400 | ||
C&S Group Enterprises LLC 8.375% 5/1/17 (f) | 1,930,000 | 1,838,325 | ||
CVS Caremark Corp.: | ||||
6.036% 12/10/28 | 6,966,843 | 7,347,929 | ||
6.302% 6/1/37 (l) | 9,771,000 | 8,964,893 | ||
Rite Aid Corp. 8% 8/15/20 (f) | 3,450,000 | 3,432,750 | ||
SUPERVALU, Inc. 8% 5/1/16 | 2,260,000 | 2,265,650 | ||
The Great Atlantic & Pacific Tea Co. 11.375% 8/1/15 (f) | 2,330,000 | 1,683,425 | ||
Tops Markets LLC 10.125% 10/15/15 (f) | 1,825,000 | 1,879,750 | ||
| 30,129,372 | |||
Food Products - 0.4% | ||||
Cargill, Inc. 6% 11/27/17 (f) | 9,457,000 | 11,188,823 | ||
Kraft Foods, Inc.: | ||||
5.375% 2/10/20 | 10,631,000 | 11,823,245 | ||
5.625% 11/1/11 | 3,660,000 | 3,855,989 | ||
6.125% 2/1/18 | 10,623,000 | 12,431,438 | ||
6.5% 8/11/17 | 8,720,000 | 10,411,593 | ||
6.75% 2/19/14 | 540,000 | 626,540 | ||
| 50,337,628 | |||
Tobacco - 0.5% | ||||
Altria Group, Inc. 9.7% 11/10/18 | 22,622,000 | 29,941,506 | ||
Philip Morris International, Inc.: | ||||
4.875% 5/16/13 | 9,347,000 | 10,220,197 | ||
5.65% 5/16/18 | 7,161,000 | 8,341,240 | ||
Reynolds American, Inc.: | ||||
6.75% 6/15/17 | 2,994,000 | 3,358,337 | ||
7.25% 6/15/37 | 4,941,000 | 5,263,608 | ||
| 57,124,888 | |||
TOTAL CONSUMER STAPLES | 148,157,686 | |||
ENERGY - 3.1% | ||||
Energy Equipment & Services - 0.2% | ||||
DCP Midstream LLC 5.35% 3/15/20 (f) | 8,730,000 | 9,423,590 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
ENERGY - continued | ||||
Energy Equipment & Services - continued | ||||
Hercules Offshore, Inc. 10.5% 10/15/17 (f) | $ 1,860,000 | $ 1,692,600 | ||
Parker Drilling Co. 9.125% 4/1/18 (f) | 880,000 | 878,944 | ||
Weatherford International Ltd.: | ||||
4.95% 10/15/13 | 1,742,000 | 1,884,698 | ||
5.15% 3/15/13 | 2,277,000 | 2,438,039 | ||
7% 3/15/38 | 5,880,000 | 6,556,035 | ||
9.625% 3/1/19 | 1,500,000 | 1,969,280 | ||
| 24,843,186 | |||
Oil, Gas & Consumable Fuels - 2.9% | ||||
Adaro Indonesia PT 7.625% 10/22/19 (f) | 1,065,000 | 1,136,888 | ||
Anadarko Petroleum Corp.: | ||||
5.95% 9/15/16 | 895,000 | 886,830 | ||
6.375% 9/15/17 | 10,275,000 | 10,167,339 | ||
6.95% 6/15/19 | 895,000 | 902,466 | ||
Antero Resources Finance Corp. 9.375% 12/1/17 | 3,190,000 | 3,285,700 | ||
Apache Corp. 5.1% 9/1/40 | 8,822,000 | 9,125,706 | ||
Arch Coal, Inc.: | ||||
7.25% 10/1/20 | 450,000 | 453,375 | ||
8.75% 8/1/16 | 1,030,000 | 1,109,825 | ||
BW Group Ltd. 6.625% 6/28/17 (f) | 2,957,000 | 2,909,040 | ||
Canadian Natural Resources Ltd.: | ||||
5.15% 2/1/13 | 4,498,000 | 4,867,785 | ||
5.7% 5/15/17 | 16,009,000 | 18,483,831 | ||
Cenovus Energy, Inc. 6.75% 11/15/39 | 3,322,000 | 4,081,994 | ||
Chesapeake Energy Corp.: | ||||
6.625% 8/15/20 | 1,630,000 | 1,634,075 | ||
6.875% 8/15/18 | 1,630,000 | 1,662,600 | ||
7.625% 7/15/13 | 895,000 | 966,600 | ||
ConocoPhillips: | ||||
4.6% 1/15/15 | 10,000,000 | 11,219,800 | ||
5.75% 2/1/19 | 2,930,000 | 3,500,922 | ||
CONSOL Energy, Inc.: | ||||
8% 4/1/17 (f) | 2,320,000 | 2,436,000 | ||
8.25% 4/1/20 (f) | 1,545,000 | 1,641,563 | ||
Continental Resources, Inc. 7.375% 10/1/20 (f) | 1,055,000 | 1,070,825 | ||
Denbury Resources, Inc. 9.75% 3/1/16 | 1,060,000 | 1,171,300 | ||
Drummond Co., Inc.: | ||||
7.375% 2/15/16 | 5,485,000 | 5,539,850 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Drummond Co., Inc.: - continued | ||||
9% 10/15/14 (f) | $ 2,455,000 | $ 2,571,613 | ||
DTEK Finance BV 9.5% 4/28/15 (f) | 850,000 | 857,395 | ||
Duke Capital LLC 6.25% 2/15/13 | 1,000,000 | 1,089,851 | ||
Duke Energy Field Services: | ||||
5.375% 10/15/15 (f) | 1,222,000 | 1,356,469 | ||
6.45% 11/3/36 (f) | 1,801,000 | 2,003,103 | ||
6.875% 2/1/11 | 2,313,000 | 2,367,672 | ||
El Paso Natural Gas Co. 5.95% 4/15/17 | 935,000 | 1,032,938 | ||
EnCana Holdings Finance Corp. 5.8% 5/1/14 | 2,888,000 | 3,275,012 | ||
Enterprise Products Operating LP: | ||||
5.6% 10/15/14 | 1,955,000 | 2,184,128 | ||
5.65% 4/1/13 | 697,000 | 759,395 | ||
Forest Oil Corp. 8.5% 2/15/14 | 4,070,000 | 4,324,375 | ||
Frontier Oil Corp. 8.5% 9/15/16 | 1,950,000 | 1,998,750 | ||
Gulf South Pipeline Co. LP 5.75% 8/15/12 (f) | 3,863,000 | 4,125,487 | ||
KazMunaiGaz Finance Sub BV: | ||||
7% 5/5/20 (f) | 980,000 | 1,063,300 | ||
8.375% 7/2/13 (f) | 1,420,000 | 1,547,800 | ||
9.125% 7/2/18 (f) | 1,340,000 | 1,614,700 | ||
11.75% 1/23/15 (f) | 1,860,000 | 2,329,650 | ||
Kinder Morgan Energy Partners LP 6.55% 9/15/40 | 3,179,000 | 3,555,473 | ||
LINN Energy LLC 8.625% 4/15/20 (f) | 2,685,000 | 2,832,675 | ||
Lukoil International Finance BV 6.656% 6/7/22 (f) | 1,222,000 | 1,237,275 | ||
Massey Energy Co. 6.875% 12/15/13 | 1,515,000 | 1,533,938 | ||
Midcontinent Express Pipel LLC 5.45% 9/15/14 (f) | 10,000,000 | 10,653,830 | ||
Motiva Enterprises LLC: | ||||
5.75% 1/15/20 (f) | 3,578,000 | 4,116,915 | ||
6.85% 1/15/40 (f) | 13,582,000 | 16,888,117 | ||
Naftogaz of Ukraine NJSC 9.5% 9/30/14 | 1,550,000 | 1,697,250 | ||
Nakilat, Inc.: | ||||
6.067% 12/31/33 (f) | 4,384,000 | 4,822,663 | ||
6.267% 12/31/33 (Reg. S) | 835,000 | 910,150 | ||
Nexen, Inc.: | ||||
5.05% 11/20/13 | 3,845,000 | 4,169,764 | ||
5.2% 3/10/15 | 909,000 | 997,522 | ||
5.875% 3/10/35 | 240,000 | 250,544 | ||
6.4% 5/15/37 | 3,645,000 | 4,005,753 | ||
NGPL PipeCo LLC 6.514% 12/15/12 (f) | 8,163,000 | 8,574,799 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
OPTI Canada, Inc.: | ||||
8.25% 12/15/14 | $ 2,980,000 | $ 2,294,600 | ||
9% 12/15/12 (f) | 1,680,000 | 1,688,400 | ||
Overseas Shipholding Group, Inc.: | ||||
7.5% 2/15/24 | 500,000 | 430,625 | ||
8.125% 3/30/18 | 2,530,000 | 2,593,250 | ||
Pan American Energy LLC 7.875% 5/7/21 (f) | 4,020,000 | 4,140,600 | ||
Pemex Project Funding Master Trust 6.625% 6/15/35 | 625,000 | 673,438 | ||
Petro-Canada: | ||||
6.05% 5/15/18 | 3,850,000 | 4,489,316 | ||
6.8% 5/15/38 | 8,950,000 | 10,775,827 | ||
Petrobras International Finance Co. Ltd.: | ||||
5.75% 1/20/20 | 12,170,000 | 13,044,743 | ||
6.875% 1/20/40 | 17,027,000 | 18,687,133 | ||
7.875% 3/15/19 | 10,219,000 | 12,492,728 | ||
8.375% 12/10/18 | 160,000 | 197,954 | ||
Petrohawk Energy Corp.: | ||||
7.25% 8/15/18 (f) | 2,020,000 | 2,014,950 | ||
7.875% 6/1/15 | 1,485,000 | 1,540,688 | ||
10.5% 8/1/14 | 3,025,000 | 3,380,438 | ||
Petroleos de Venezuela SA: | ||||
5.25% 4/12/17 | 2,040,000 | 1,173,000 | ||
5.375% 4/12/27 | 8,535,000 | 3,840,750 | ||
5.5% 4/12/37 | 1,120,000 | 487,200 | ||
Petroleos Mexicanos: | ||||
5.5% 1/21/21 (f) | 500,000 | 520,000 | ||
6% 3/5/20 (f) | 465,000 | 506,850 | ||
6.625% 6/15/35 (f) | 320,000 | 344,800 | ||
Petroleum Co. of Trinidad & Tobago Ltd. (Reg. S) 6% 5/8/22 | 1,045,000 | 1,052,838 | ||
Pioneer Natural Resources Co.: | ||||
6.65% 3/15/17 | 4,605,000 | 4,754,663 | ||
7.5% 1/15/20 | 1,245,000 | 1,332,150 | ||
Plains All American Pipeline LP 7.75% 10/15/12 | 2,358,000 | 2,631,420 | ||
Plains All American Pipeline LP/PAA Finance Corp.: | ||||
3.95% 9/15/15 | 5,769,000 | 6,014,604 | ||
6.125% 1/15/17 | 6,185,000 | 6,897,481 | ||
Plains Exploration & Production Co.: | ||||
7% 3/15/17 | 3,165,000 | 3,117,525 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Plains Exploration & Production Co.: - continued | ||||
10% 3/1/16 | $ 2,415,000 | $ 2,644,425 | ||
Quicksilver Resources, Inc.: | ||||
7.125% 4/1/16 | 2,960,000 | 2,834,200 | ||
9.125% 8/15/19 | 2,040,000 | 2,198,100 | ||
11.75% 1/1/16 | 2,255,000 | 2,587,613 | ||
Range Resources Corp. 6.75% 8/1/20 | 2,455,000 | 2,485,688 | ||
Ras Laffan Liquefied Natural Gas Co. Ltd. 8.294% 3/15/14 (f) | 2,389,600 | 2,664,404 | ||
Ras Laffan Liquefied Natural Gas Co. Ltd. III: | ||||
4.5% 9/30/12 (f) | 4,773,000 | 5,025,559 | ||
5.5% 9/30/14 (f) | 6,670,000 | 7,370,757 | ||
5.832% 9/30/16 (f) | 1,343,000 | 1,482,981 | ||
6.332% 9/30/27 (f) | 1,840,000 | 2,142,422 | ||
6.75% 9/30/19 (f) | 4,366,000 | 5,208,201 | ||
Rockies Express Pipeline LLC 6.25% 7/15/13 (f) | 2,720,000 | 2,962,629 | ||
Ship Finance International Ltd. 8.5% 12/15/13 | 2,065,000 | 2,065,000 | ||
Suncor Energy, Inc. 6.1% 6/1/18 | 10,851,000 | 12,674,326 | ||
Targa Resources Partners LP/Targa Resources Partners Finance Corp. 7.875% 10/15/18 (f) | 2,205,000 | 2,260,125 | ||
Teekay Corp. 8.5% 1/15/20 | 1,350,000 | 1,447,875 | ||
TNK-BP Finance SA 7.5% 3/13/13 (Reg. S) | 780,000 | 838,500 | ||
TransCanada PipeLines Ltd.: | ||||
3.4% 6/1/15 | 2,664,000 | 2,815,105 | ||
6.35% 5/15/67 (l) | 2,371,000 | 2,164,327 | ||
XTO Energy, Inc.: | ||||
5% 1/31/15 | 1,749,000 | 1,996,309 | ||
5.65% 4/1/16 | 1,200,000 | 1,426,597 | ||
YPF SA 10% 11/2/28 | 1,630,000 | 1,752,250 | ||
| 369,167,984 | |||
TOTAL ENERGY | 394,011,170 | |||
FINANCIALS - 9.5% | ||||
Capital Markets - 1.6% | ||||
Bear Stearns Companies, Inc.: | ||||
4.5% 10/28/10 | 1,833,000 | 1,844,746 | ||
5.3% 10/30/15 | 1,170,000 | 1,289,875 | ||
BlackRock, Inc. 6.25% 9/15/17 | 8,408,000 | 9,892,332 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Capital Markets - continued | ||||
Equinox Holdings, Inc. 9.5% 2/1/16 (f) | $ 970,000 | $ 970,000 | ||
Goldman Sachs Group, Inc.: | ||||
3.7% 8/1/15 | 8,571,000 | 8,676,792 | ||
5.625% 1/15/17 | 3,200,000 | 3,354,909 | ||
5.95% 1/18/18 | 3,989,000 | 4,319,624 | ||
6.15% 4/1/18 | 4,275,000 | 4,670,609 | ||
6.75% 10/1/37 | 9,643,000 | 9,872,957 | ||
7.5% 2/15/19 | 1,757,000 | 2,050,271 | ||
Janus Capital Group, Inc.: | ||||
6.125% 9/15/11 (e) | 2,473,000 | 2,501,964 | ||
6.5% 6/15/12 | 4,266,000 | 4,480,392 | ||
JPMorgan Chase Capital XX 6.55% 9/29/36 | 17,904,000 | 17,848,068 | ||
JPMorgan Chase Capital XXV 6.8% 10/1/37 | 7,405,000 | 7,566,570 | ||
Lazard Group LLC: | ||||
6.85% 6/15/17 | 3,867,000 | 4,116,766 | ||
7.125% 5/15/15 | 1,377,000 | 1,483,927 | ||
Merrill Lynch & Co., Inc.: | ||||
5.45% 2/5/13 | 12,383,000 | 13,217,664 | ||
6.4% 8/28/17 | 7,407,000 | 7,986,946 | ||
6.875% 4/25/18 | 6,836,000 | 7,526,019 | ||
Morgan Stanley: | ||||
4% 7/24/15 | 15,887,000 | 15,960,684 | ||
4.75% 4/1/14 | 2,429,000 | 2,502,144 | ||
5.45% 1/9/17 | 2,238,000 | 2,350,632 | ||
5.625% 9/23/19 | 11,500,000 | 11,711,336 | ||
5.95% 12/28/17 | 5,050,000 | 5,370,887 | ||
6% 5/13/14 | 17,110,000 | 18,650,294 | ||
6.625% 4/1/18 | 15,268,000 | 16,784,143 | ||
7.3% 5/13/19 | 8,304,000 | 9,444,529 | ||
Nuveen Investments, Inc.: | ||||
5.5% 9/15/15 | 900,000 | 684,000 | ||
10.5% 11/15/15 | 900,000 | 846,000 | ||
The Bank of New York, Inc. 4.95% 11/1/12 | 3,864,000 | 4,183,020 | ||
UBS AG Stamford Branch 5.75% 4/25/18 | 4,505,000 | 5,061,165 | ||
| 207,219,265 | |||
Commercial Banks - 1.8% | ||||
African Export-Import Bank 8.75% 11/13/14 | 1,040,000 | 1,159,600 | ||
Akbank T. A. S. 5.125% 7/22/15 (f) | 855,000 | 844,313 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Commercial Banks - continued | ||||
Ally Financial, Inc. 7.5% 9/15/20 (f) | $ 2,645,000 | $ 2,618,550 | ||
Banco Bradesco SA 5.9% 1/16/21 (f) | 520,000 | 527,800 | ||
Banco Nacional de Desenvolvimento Economico e Social: | ||||
5.5% 7/12/20 (f) | 425,000 | 456,875 | ||
6.5% 6/10/19 (f) | 165,000 | 189,750 | ||
BanColombia SA 6.125% 7/26/20 | 515,000 | 526,588 | ||
Bank of America NA: | ||||
5.3% 3/15/17 | 3,315,000 | 3,396,493 | ||
6% 10/15/36 | 690,000 | 702,784 | ||
Barclays Bank PLC 5% 9/22/16 | 8,175,000 | 8,875,213 | ||
BB&T Capital Trust IV 6.82% 6/12/77 (l) | 2,330,000 | 2,260,100 | ||
BB&T Corp. 6.5% 8/1/11 | 1,243,000 | 1,304,832 | ||
CIT Group, Inc.: | ||||
7% 5/1/13 | 362,745 | 359,118 | ||
7% 5/1/14 | 2,039,117 | 1,983,041 | ||
7% 5/1/15 | 1,754,117 | 1,688,338 | ||
7% 5/1/16 | 2,651,861 | 2,529,212 | ||
7% 5/1/17 | 3,909,604 | 3,679,915 | ||
Credit Suisse New York Branch: | ||||
5% 5/15/13 | 9,569,000 | 10,353,706 | ||
6% 2/15/18 | 16,107,000 | 17,566,310 | ||
DBS Bank Ltd. (Singapore) 0.5963% 5/16/17 (f)(l) | 3,914,986 | 3,787,749 | ||
Development Bank of Philippines 8.375% (l) | 1,355,000 | 1,504,050 | ||
Discover Bank 8.7% 11/18/19 | 12,480,000 | 14,747,429 | ||
EXIM of Ukraine 7.65% 9/7/11 (Issued by Credit Suisse International for EXIM of Ukraine) | 5,750,000 | 5,785,938 | ||
Export-Import Bank of Korea: | ||||
5.125% 2/14/11 | 2,920,000 | 2,965,240 | ||
5.25% 2/10/14 (f) | 565,000 | 614,562 | ||
5.5% 10/17/12 | 2,256,000 | 2,404,097 | ||
Fifth Third Bancorp: | ||||
4.5% 6/1/18 | 145,000 | 143,367 | ||
8.25% 3/1/38 | 3,929,000 | 4,683,812 | ||
Fifth Third Capital Trust IV 6.5% 4/15/67 (l) | 3,725,000 | 3,212,813 | ||
HBOS PLC 6.75% 5/21/18 (f) | 6,067,000 | 5,933,162 | ||
HSBC Holdings PLC: | ||||
0.7336% 10/6/16 (l) | 1,143,000 | 1,092,989 | ||
6.5% 9/15/37 | 8,400,000 | 9,705,654 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Commercial Banks - continued | ||||
HSBK (Europe) B.V. 9.25% 10/16/13 (f) | $ 2,345,000 | $ 2,558,981 | ||
JPMorgan Chase Bank 6% 10/1/17 | 10,795,000 | 12,178,293 | ||
Kazkommerts International BV 8.5% 4/16/13 (f) | 1,245,000 | 1,220,100 | ||
KeyBank NA: | ||||
5.8% 7/1/14 | 8,672,000 | 9,468,107 | ||
6.95% 2/1/28 | 1,977,000 | 2,119,680 | ||
7% 2/1/11 | 1,124,000 | 1,149,478 | ||
KeyBank NA, Cleveland 5.45% 3/3/16 | 3,939,000 | 4,207,919 | ||
Korea Development Bank 4.625% 9/16/10 | 1,833,000 | 1,835,526 | ||
Manufacturers & Traders Trust Co. 2.033% 4/1/13 (f)(l) | 720,797 | 708,619 | ||
Marshall & Ilsley Bank: | ||||
4.85% 6/16/15 | 4,206,000 | 3,994,956 | ||
5% 1/17/17 | 5,275,000 | 5,003,374 | ||
5.25% 9/4/12 | 3,100,000 | 3,146,562 | ||
PNC Funding Corp.: | ||||
0.615% 1/31/12 (l) | 3,707,000 | 3,695,616 | ||
3.625% 2/8/15 | 2,779,000 | 2,920,715 | ||
Regions Bank 6.45% 6/26/37 | 7,653,000 | 6,762,635 | ||
Regions Financial Corp.: | ||||
5.75% 6/15/15 | 1,964,000 | 1,994,911 | ||
7.75% 11/10/14 | 6,185,000 | 6,670,615 | ||
RSHB Capital SA 9% 6/11/14 (f) | 405,000 | 460,688 | ||
Standard Chartered Bank 6.4% 9/26/17 (f) | 3,365,000 | 3,768,834 | ||
The State Export-Import Bank of Ukraine JSC 8.4% 2/9/16 (Issued by Credit Suisse First Boston International for The State Export-Import Bank of Ukraine JSC) (e) | 485,000 | 463,175 | ||
UniCredit Luxembourg Finance SA 5.584% 1/13/17 (f)(l) | 1,437,000 | 1,385,012 | ||
UnionBanCal Corp. 5.25% 12/16/13 | 662,000 | 716,818 | ||
Wachovia Bank NA: | ||||
4.875% 2/1/15 | 1,408,000 | 1,514,335 | ||
6.6% 1/15/38 | 9,000,000 | 10,227,663 | ||
Wachovia Corp.: | ||||
0.6363% 4/23/12 (l) | 543,000 | 539,622 | ||
5.625% 10/15/16 | 3,399,000 | 3,750,450 | ||
5.75% 6/15/17 | 2,933,000 | 3,292,844 | ||
Wells Fargo & Co.: | ||||
3.625% 4/15/15 | 10,194,000 | 10,668,072 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Commercial Banks - continued | ||||
Wells Fargo & Co.: - continued | ||||
3.75% 10/1/14 | $ 4,016,000 | $ 4,232,615 | ||
Zions Bancorp. 7.75% 9/23/14 | 3,590,000 | 3,771,467 | ||
| 232,031,082 | |||
Consumer Finance - 1.1% | ||||
Capital One Bank USA NA 8.8% 7/15/19 | 2,359,000 | 2,989,801 | ||
Capital One Financial Corp. 5.7% 9/15/11 | 5,251,000 | 5,466,758 | ||
Discover Financial Services: | ||||
6.45% 6/12/17 | 9,775,000 | 10,433,473 | ||
10.25% 7/15/19 | 11,089,000 | 13,964,965 | ||
Ford Motor Credit Co. LLC: | ||||
6.625% 8/15/17 | 2,655,000 | 2,694,825 | ||
7% 4/15/15 | 2,970,000 | 3,051,675 | ||
8% 6/1/14 | 1,065,000 | 1,126,238 | ||
8% 12/15/16 | 2,135,000 | 2,319,285 | ||
8.125% 1/15/20 | 1,780,000 | 1,948,173 | ||
12% 5/15/15 | 3,440,000 | 4,059,200 | ||
General Electric Capital Corp.: | ||||
5.625% 9/15/17 | 5,858,000 | 6,470,782 | ||
5.625% 5/1/18 | 25,000,000 | 27,576,100 | ||
5.875% 1/14/38 | 14,000,000 | 14,435,022 | ||
6.375% 11/15/67 (l) | 9,000,000 | 8,640,000 | ||
GMAC LLC: | ||||
6.75% 12/1/14 | 4,595,000 | 4,549,050 | ||
8% 12/31/18 | 975,000 | 938,438 | ||
8% 11/1/31 | 2,190,000 | 2,146,200 | ||
Household Finance Corp. 6.375% 10/15/11 | 1,860,000 | 1,964,744 | ||
HSBC Finance Corp.: | ||||
5.25% 1/14/11 | 1,308,000 | 1,328,279 | ||
5.25% 1/15/14 | 1,054,000 | 1,128,579 | ||
National Money Mart Co. 10.375% 12/15/16 | 2,975,000 | 3,101,438 | ||
ORIX Corp. 5.48% 11/22/11 | 385,000 | 401,187 | ||
SLM Corp.: | ||||
0.7278% 10/25/11 (l) | 12,343,000 | 11,739,205 | ||
0.7371% 3/15/11 (l) | 112,000 | 110,905 | ||
8% 3/25/20 | 5,103,000 | 4,465,227 | ||
| 137,049,549 | |||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Diversified Financial Services - 1.7% | ||||
Azovstal Capital BV 9.125% 2/28/11 | $ 375,000 | $ 375,938 | ||
Bank of America Corp.: | ||||
5.75% 12/1/17 | 4,590,000 | 4,859,249 | ||
8% (l) | 970,000 | 979,700 | ||
8.125% (l) | 1,290,000 | 1,309,350 | ||
Bank of Georgia JSC 9% 2/8/12 (Issued by BG Finance BV for Bank of Georgia JSC) | 540,000 | 534,600 | ||
Calpine Construction Finance Co. LP 8% 6/1/16 (f) | 2,835,000 | 2,962,575 | ||
CCO Holdings LLC/CCO Holdings Capital Corp. 7.875% 4/30/18 (f) | 865,000 | 890,950 | ||
Citigroup, Inc.: | ||||
4.75% 5/19/15 | 30,435,000 | 31,353,620 | ||
5.375% 8/9/20 | 10,933,000 | 11,042,264 | ||
5.5% 4/11/13 | 13,549,000 | 14,385,434 | ||
6.125% 5/15/18 | 15,634,000 | 16,878,920 | ||
6.5% 1/18/11 | 1,307,000 | 1,334,430 | ||
6.5% 8/19/13 | 10,774,000 | 11,783,222 | ||
City of Buenos Aires 12.5% 4/6/15 (f) | 2,335,000 | 2,440,075 | ||
GMAC, Inc. 8% 3/15/20 (f) | 4,700,000 | 4,805,750 | ||
Icahn Enterprises LP/Icahn Enterprises Finance Corp.: | ||||
7.75% 1/15/16 | 2,605,000 | 2,591,975 | ||
8% 1/15/18 | 4,655,000 | 4,631,725 | ||
ILFC E-Capital Trust II 6.25% 12/21/65 (f)(l) | 1,250,000 | 793,750 | ||
Ineos Finance PLC 9% 5/15/15 (f) | 1,715,000 | 1,766,450 | ||
International Lease Finance Corp.: | ||||
5.4% 2/15/12 | 2,864,000 | 2,803,140 | ||
5.625% 9/20/13 | 380,000 | 356,725 | ||
5.65% 6/1/14 | 11,820,000 | 10,963,050 | ||
6.375% 3/25/13 | 1,858,000 | 1,795,293 | ||
6.625% 11/15/13 | 4,281,000 | 4,120,463 | ||
JPMorgan Chase & Co.: | ||||
4.891% 9/1/15 (l) | 2,729,000 | 2,714,083 | ||
4.95% 3/25/20 | 17,148,000 | 18,130,049 | ||
LBI Escrow Corp. 8% 11/1/17 (f) | 3,820,000 | 4,106,500 | ||
Myriad International Holding BV 6.375% 7/28/17 (f) | 855,000 | 871,031 | ||
NSG Holdings II, LLC 7.75% 12/15/25 (f) | 9,115,000 | 8,066,775 | ||
Offshore Group Investment Ltd. 11.5% 8/1/15 (f) | 1,985,000 | 1,980,038 | ||
PHH Corp. 9.25% 3/1/16 (f) | 1,610,000 | 1,618,050 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Diversified Financial Services - continued | ||||
Prime Property Funding, Inc.: | ||||
5.125% 6/1/15 (f) | $ 1,090,000 | $ 1,064,073 | ||
5.5% 1/15/14 (f) | 695,000 | 702,683 | ||
5.7% 4/15/17 (f) | 1,696,000 | 1,557,593 | ||
Rearden G Holdings Eins GmbH 7.875% 3/30/20 (f) | 460,000 | 483,000 | ||
Sunwest Management, Inc. 7.9726% 2/10/15 | 364,436 | 278,648 | ||
Teachers Insurance & Annuity Association of America 6.85% 12/16/39 (f) | 6,200,000 | 7,784,298 | ||
TECO Finance, Inc.: | ||||
4% 3/15/16 | 2,562,000 | 2,680,254 | ||
5.15% 3/15/20 | 3,681,000 | 4,021,680 | ||
TMK Capital SA 10% 7/29/11 | 1,700,000 | 1,763,750 | ||
Trans Union LLC/Trans Union Financing Corp. 11.375% 6/15/18 (f) | 1,235,000 | 1,343,063 | ||
TransCapitalInvest Ltd. 5.67% 3/5/14 (f) | 3,238,000 | 3,427,786 | ||
UPC Germany GmbH 8.125% 12/1/17 (f) | 1,950,000 | 2,006,160 | ||
Volkswagen International Finance NV 4% 8/12/20 (f) | 5,602,000 | 5,800,109 | ||
Wind Acquisition Holdings Finance SA 12.25% 7/15/17 pay-in-kind (f)(l) | 5,121,570 | 5,293,996 | ||
ZFS Finance USA Trust II 6.45% 12/15/65 (f)(l) | 5,755,000 | 5,294,600 | ||
ZFS Finance USA Trust IV 5.875% 5/9/62 (f)(l) | 1,673,000 | 1,497,921 | ||
ZFS Finance USA Trust V 6.5% 5/9/67 (f)(l) | 3,125,000 | 2,828,125 | ||
| 221,072,913 | |||
Insurance - 1.2% | ||||
Allstate Corp.: | ||||
5.55% 5/9/35 | 7,505,000 | 7,927,922 | ||
6.2% 5/16/14 | 6,893,000 | 8,010,335 | ||
American International Group, Inc. 8.175% 5/15/68 (l) | 7,875,000 | 6,752,813 | ||
Assurant, Inc. 5.625% 2/15/14 | 1,912,000 | 2,040,376 | ||
Axis Capital Holdings Ltd. 5.75% 12/1/14 | 558,000 | 598,978 | ||
Great-West Life & Annuity Insurance Co. 7.153% 5/16/46 (f)(l) | 1,491,000 | 1,408,995 | ||
Jackson National Life Global Funding 5.375% 5/8/13 (f) | 753,000 | 816,864 | ||
Liberty Mutual Group, Inc. 6.5% 3/15/35 (f) | 594,000 | 541,239 | ||
Massachusetts Mutual Life Insurance Co. 8.875% 6/1/39 (f) | 7,475,000 | 10,643,271 | ||
MetLife, Inc.: | ||||
2.375% 2/6/14 | 5,900,000 | 5,924,951 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Insurance - continued | ||||
MetLife, Inc.: - continued | ||||
4.75% 2/8/21 | $ 4,032,000 | $ 4,219,359 | ||
5% 6/15/15 | 1,163,000 | 1,274,925 | ||
5.875% 2/6/41 | 3,113,000 | 3,405,298 | ||
6.125% 12/1/11 | 990,000 | 1,047,635 | ||
6.75% 6/1/16 | 7,610,000 | 8,966,307 | ||
Metropolitan Life Global Funding I: | ||||
5.125% 4/10/13 (f) | 559,000 | 608,912 | ||
5.125% 6/10/14 (f) | 6,751,000 | 7,479,784 | ||
Monumental Global Funding II 5.65% 7/14/11 (f) | 1,652,000 | 1,696,647 | ||
Monumental Global Funding III 5.5% 4/22/13 (f) | 2,202,000 | 2,383,696 | ||
New York Life Insurance Co. 6.75% 11/15/39 (f) | 4,378,000 | 5,595,539 | ||
Northwestern Mutual Life Insurance Co. 6.063% 3/30/40 (f) | 5,160,000 | 6,096,421 | ||
Pacific Life Global Funding 5.15% 4/15/13 (f) | 11,281,000 | 12,135,107 | ||
Pacific Life Insurance Co. 9.25% 6/15/39 (f) | 7,656,000 | 9,871,019 | ||
Pacific LifeCorp 6% 2/10/20 (f) | 5,766,000 | 6,234,764 | ||
Prudential Financial, Inc.: | ||||
3.625% 9/17/12 | 11,000,000 | 11,414,392 | ||
4.75% 9/17/15 | 11,000,000 | 11,799,700 | ||
5.15% 1/15/13 | 2,167,000 | 2,317,301 | ||
5.4% 6/13/35 | 452,000 | 445,282 | ||
5.5% 3/15/16 | 425,000 | 464,527 | ||
5.7% 12/14/36 | 384,000 | 393,492 | ||
6.2% 1/15/15 | 1,180,000 | 1,326,600 | ||
7.375% 6/15/19 | 3,230,000 | 3,931,550 | ||
8.875% 6/15/38 (l) | 1,915,000 | 2,087,350 | ||
Symetra Financial Corp. 6.125% 4/1/16 (f) | 5,181,000 | 5,343,942 | ||
The Chubb Corp. 5.75% 5/15/18 | 4,035,000 | 4,656,721 | ||
| 159,862,014 | |||
Real Estate Investment Trusts - 0.5% | ||||
AvalonBay Communities, Inc.: | ||||
4.95% 3/15/13 | 367,000 | 389,761 | ||
5.5% 1/15/12 | 1,759,000 | 1,855,372 | ||
Camden Property Trust: | ||||
5.375% 12/15/13 | 4,073,000 | 4,387,831 | ||
5.875% 11/30/12 | 670,000 | 718,816 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Real Estate Investment Trusts - continued | ||||
Developers Diversified Realty Corp.: | ||||
5.25% 4/15/11 | $ 3,363,000 | $ 3,373,002 | ||
5.375% 10/15/12 | 3,206,000 | 3,201,835 | ||
7.5% 4/1/17 | 4,686,000 | 4,717,912 | ||
7.875% 9/1/20 | 323,000 | 328,857 | ||
Duke Realty LP: | ||||
4.625% 5/15/13 | 949,000 | 985,287 | ||
5.875% 8/15/12 | 1,017,000 | 1,068,241 | ||
Equity One, Inc.: | ||||
6% 9/15/17 | 890,000 | 916,883 | ||
6.25% 12/15/14 | 5,251,000 | 5,624,493 | ||
6.25% 1/15/17 | 494,000 | 516,620 | ||
Federal Realty Investment Trust: | ||||
5.4% 12/1/13 | 441,000 | 478,941 | ||
5.9% 4/1/20 | 2,450,000 | 2,731,850 | ||
6% 7/15/12 | 2,933,000 | 3,146,308 | ||
6.2% 1/15/17 | 620,000 | 700,637 | ||
HMB Capital Trust V 4.1371% 12/15/36 (b)(f)(l) | 270,000 | 0 | ||
HRPT Properties Trust: | ||||
5.75% 11/1/15 | 890,000 | 942,313 | ||
6.25% 6/15/17 | 1,232,000 | 1,292,825 | ||
6.65% 1/15/18 | 656,000 | 703,528 | ||
Omega Healthcare Investors, Inc.: | ||||
7% 4/1/14 | 7,000,000 | 7,140,000 | ||
7% 1/15/16 | 3,060,000 | 3,128,850 | ||
Rouse Co.: | ||||
5.375% 11/26/13 (b) | 145,000 | 165,300 | ||
7.2% 9/15/12 (b) | 10,000 | 11,975 | ||
Senior Housing Properties Trust: | ||||
6.75% 4/15/20 | 2,325,000 | 2,383,125 | ||
8.625% 1/15/12 | 250,000 | 262,500 | ||
UDR, Inc. 5.5% 4/1/14 | 5,222,000 | 5,584,431 | ||
Washington (REIT) 5.95% 6/15/11 | 3,701,000 | 3,809,883 | ||
| 60,567,376 | |||
Real Estate Management & Development - 1.1% | ||||
AMB Property LP 5.9% 8/15/13 | 2,580,000 | 2,749,996 | ||
Arden Realty LP 5.2% 9/1/11 | 1,339,000 | 1,377,247 | ||
BioMed Realty LP 6.125% 4/15/20 (f) | 3,359,000 | 3,629,913 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Real Estate Management & Development - continued | ||||
Brandywine Operating Partnership LP: | ||||
5.625% 12/15/10 | $ 4,192,000 | $ 4,233,220 | ||
5.7% 5/1/17 | 5,943,000 | 6,021,263 | ||
5.75% 4/1/12 | 2,512,000 | 2,595,115 | ||
Colonial Properties Trust 6.875% 8/15/12 | 4,000,000 | 4,130,000 | ||
Colonial Realty LP 6.05% 9/1/16 | 2,000,000 | 1,934,624 | ||
Digital Realty Trust LP 4.5% 7/15/15 (f) | 4,981,000 | 5,044,035 | ||
Duke Realty LP: | ||||
5.4% 8/15/14 | 5,421,000 | 5,715,604 | ||
5.625% 8/15/11 | 3,706,000 | 3,787,358 | ||
5.95% 2/15/17 | 1,109,000 | 1,189,161 | ||
6.25% 5/15/13 | 14,424,000 | 15,589,312 | ||
6.5% 1/15/18 | 3,795,000 | 4,152,569 | ||
6.75% 3/15/20 | 10,000,000 | 11,177,250 | ||
ERP Operating LP: | ||||
4.75% 7/15/20 | 6,820,000 | 7,138,992 | ||
5.25% 9/15/14 | 1,310,000 | 1,446,619 | ||
5.375% 8/1/16 | 2,768,000 | 3,048,191 | ||
5.5% 10/1/12 | 3,655,000 | 3,944,001 | ||
5.75% 6/15/17 | 11,387,000 | 12,856,572 | ||
Forest City Enterprises, Inc. 7.625% 6/1/15 | 100,000 | 91,000 | ||
Highwoods/Forsyth LP 5.85% 3/15/17 | 615,000 | 632,677 | ||
Host Hotels & Resorts LP 9% 5/15/17 | 2,135,000 | 2,316,475 | ||
Liberty Property LP: | ||||
5.125% 3/2/15 | 1,190,000 | 1,257,632 | ||
5.5% 12/15/16 | 1,523,000 | 1,640,796 | ||
6.625% 10/1/17 | 4,264,000 | 4,879,837 | ||
Mack-Cali Realty LP 7.75% 2/15/11 | 976,000 | 999,534 | ||
Post Apartment Homes LP 6.3% 6/1/13 | 3,812,000 | 4,116,240 | ||
Reckson Operating Partnership LP 6% 3/31/16 | 3,651,000 | 3,553,931 | ||
Regency Centers LP: | ||||
4.95% 4/15/14 | 611,000 | 641,372 | ||
5.25% 8/1/15 | 2,133,000 | 2,283,037 | ||
5.875% 6/15/17 | 1,056,000 | 1,144,370 | ||
Simon Property Group LP: | ||||
4.2% 2/1/15 | 3,659,000 | 3,910,886 | ||
6.75% 2/1/40 | 6,410,000 | 7,656,207 | ||
Tanger Properties LP: | ||||
6.125% 6/1/20 | 4,395,000 | 4,836,482 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Real Estate Management & Development - continued | ||||
Tanger Properties LP: - continued | ||||
6.15% 11/15/15 | $ 824,000 | $ 910,852 | ||
Toys 'R' Us Property Co. II LLC 8.5% 12/1/17 (f) | 2,455,000 | 2,553,200 | ||
Ventas Realty LP: | ||||
6.5% 6/1/16 | 105,000 | 107,100 | ||
6.5% 6/1/16 | 450,000 | 459,000 | ||
6.625% 10/15/14 | 3,505,000 | 3,610,150 | ||
6.75% 4/1/17 | 250,000 | 257,500 | ||
| 149,619,320 | |||
Thrifts & Mortgage Finance - 0.5% | ||||
Bank of America Corp.: | ||||
3.7% 9/1/15 | 4,630,000 | 4,621,360 | ||
5.625% 7/1/20 | 18,255,000 | 18,820,814 | ||
5.65% 5/1/18 | 12,000,000 | 12,477,804 | ||
6.5% 8/1/16 | 9,000,000 | 10,059,381 | ||
First Niagara Financial Group, Inc. 6.75% 3/19/20 | 7,320,000 | 8,035,501 | ||
Independence Community Bank Corp.: | ||||
2.353% 4/1/14 (l) | 4,218,000 | 4,058,142 | ||
4.9% 9/23/10 | 1,696,000 | 1,698,948 | ||
Wrightwood Capital LLC 10.5% 6/1/14 (b)(f) | 100,000 | 38,000 | ||
| 59,809,950 | |||
TOTAL FINANCIALS | 1,227,231,469 | |||
HEALTH CARE - 0.6% | ||||
Health Care Equipment & Supplies - 0.1% | ||||
Biomet, Inc.: | ||||
10% 10/15/17 | 4,825,000 | 5,235,125 | ||
10.375% 10/15/17 pay-in-kind (l) | 3,155,000 | 3,423,175 | ||
| 8,658,300 | |||
Health Care Providers & Services - 0.4% | ||||
Coventry Health Care, Inc.: | ||||
5.95% 3/15/17 | 1,747,000 | 1,748,691 | ||
6.3% 8/15/14 | 3,618,000 | 3,858,420 | ||
DASA Finance Corp. 8.75% 5/29/18 (f) | 585,000 | 655,785 | ||
Express Scripts, Inc.: | ||||
5.25% 6/15/12 | 7,157,000 | 7,635,474 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
HEALTH CARE - continued | ||||
Health Care Providers & Services - continued | ||||
Express Scripts, Inc.: - continued | ||||
6.25% 6/15/14 | $ 2,629,000 | $ 3,031,048 | ||
HCA, Inc.: | ||||
8.5% 4/15/19 | 1,760,000 | 1,922,800 | ||
9.125% 11/15/14 | 3,905,000 | 4,110,013 | ||
9.25% 11/15/16 | 4,905,000 | 5,236,088 | ||
9.625% 11/15/16 pay-in-kind (l) | 11,255,066 | 12,014,783 | ||
Psychiatric Solutions, Inc. 7.75% 7/15/15 | 420,000 | 425,250 | ||
Rural/Metro Corp. 12.75% 3/15/16 | 995,000 | 1,047,337 | ||
Skilled Healthcare Group, Inc. 11% 1/15/14 | 64,000 | 55,680 | ||
Sun Healthcare Group, Inc. 9.125% 4/15/15 | 10,000 | 10,475 | ||
Vanguard Health Holding Co. II LLC/Vanguard Health Holding Co. II, Inc.: | ||||
8% 2/1/18 | 4,570,000 | 4,478,600 | ||
8% 2/1/18 (f) | 2,330,000 | 2,283,400 | ||
| 48,513,844 | |||
Health Care Technology - 0.0% | ||||
DJO Finance LLC / DJO Finance Corp. 10.875% 11/15/14 | 7,885,000 | 8,456,663 | ||
Pharmaceuticals - 0.1% | ||||
Mylan, Inc.: | ||||
7.625% 7/15/17 (f) | 1,115,000 | 1,156,813 | ||
7.875% 7/15/20 (f) | 995,000 | 1,042,263 | ||
Novartis Capital Corp. 4.125% 2/10/14 | 2,930,000 | 3,204,564 | ||
Roche Holdings, Inc. 5% 3/1/14 (f) | 5,943,000 | 6,633,553 | ||
Valeant Pharmaceuticals International 7.625% 3/15/20 (f) | 1,720,000 | 2,072,600 | ||
| 14,109,793 | |||
TOTAL HEALTH CARE | 79,738,600 | |||
INDUSTRIALS - 1.3% | ||||
Aerospace & Defense - 0.1% | ||||
BAE Systems Holdings, Inc.: | ||||
6.375% 6/1/19 (f) | 8,071,000 | 9,460,108 | ||
6.4% 12/15/11 (f) | 818,000 | 865,026 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
INDUSTRIALS - continued | ||||
Aerospace & Defense - continued | ||||
BE Aerospace, Inc. 8.5% 7/1/18 | $ 2,875,000 | $ 3,076,250 | ||
Esterline Technologies Corp. 7% 8/1/20 (f) | 1,105,000 | 1,124,338 | ||
| 14,525,722 | |||
Airlines - 0.4% | ||||
Air Canada 9.25% 8/1/15 (f) | 4,265,000 | 4,201,025 | ||
American Airlines, Inc. 10.5% 10/15/12 (f) | 3,200,000 | 3,400,000 | ||
American Airlines, Inc. pass-thru trust certificates: | ||||
6.977% 11/23/22 | 934,236 | 789,430 | ||
6.978% 10/1/12 | 178,326 | 179,663 | ||
8.608% 10/1/12 | 960,000 | 960,000 | ||
10.375% 7/2/19 | 1,878,805 | 2,151,232 | ||
AMR Corp. 9% 8/1/12 | 485,000 | 473,481 | ||
Continental Airlines, Inc.: | ||||
pass-thru trust certificates: | ||||
7.875% 7/2/18 | 792,960 | 745,382 | ||
9.798% 4/1/21 | 615,180 | 602,877 | ||
6.648% 3/15/19 | 2,820,535 | 2,858,613 | ||
6.75% 9/15/15 (f) | 3,405,000 | 3,379,463 | ||
6.82% 5/1/18 | 221,731 | 221,731 | ||
6.9% 7/2/19 | 817,032 | 839,501 | ||
Continental Airlines, Inc. 9.25% 5/10/17 | 3,060,000 | 3,182,400 | ||
Delta Air Lines, Inc. pass-thru trust certificates: | ||||
6.821% 8/10/22 | 338,024 | 347,320 | ||
7.57% 11/18/10 | 11,016,000 | 11,126,160 | ||
8.021% 8/10/22 | 1,640,643 | 1,613,573 | ||
8.954% 8/10/14 | 2,174,767 | 2,231,311 | ||
Northwest Airlines, Inc. pass-thru trust certificates 8.028% 11/1/17 | 910,740 | 919,847 | ||
U.S. Airways pass-thru trust certificates: | ||||
6.85% 7/30/19 | 1,918,309 | 1,815,679 | ||
8.36% 7/20/20 | 1,320,837 | 1,318,856 | ||
United Air Lines, Inc.: | ||||
9.875% 8/1/13 (f) | 785,000 | 834,063 | ||
12% 11/1/13 (f) | 995,000 | 1,064,650 | ||
United Air Lines, Inc. pass-thru trust certificates: | ||||
Class B, 7.336% 7/2/19 | 838,014 | 754,212 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
INDUSTRIALS - continued | ||||
Airlines - continued | ||||
United Air Lines, Inc. pass-thru trust certificates: - continued | ||||
9.75% 1/15/17 | $ 2,284,141 | $ 2,529,686 | ||
12% 1/15/16 (f) | 828,962 | 902,491 | ||
| 49,442,646 | |||
Building Products - 0.0% | ||||
Building Materials Corp. of America 6.875% 8/15/18 (f) | 2,550,000 | 2,499,000 | ||
Commercial Services & Supplies - 0.2% | ||||
ACCO Brands Corp. 10.625% 3/15/15 | 795,000 | 876,488 | ||
ARAMARK Corp.: | ||||
3.9656% 2/1/15 (l) | 5,440,000 | 4,977,600 | ||
8.5% 2/1/15 | 1,775,000 | 1,828,250 | ||
EnergySolutions, Inc. / EnergySolutions LLC 10.75% 8/15/18 (f) | 955,000 | 977,634 | ||
International Lease Finance Corp.: | ||||
6.5% 9/1/14 (f) | 1,620,000 | 1,656,450 | ||
6.75% 9/1/16 (f) | 1,620,000 | 1,652,400 | ||
8.625% 9/15/15 (f) | 2,745,000 | 2,765,588 | ||
8.75% 3/15/17 (f) | 3,990,000 | 4,019,925 | ||
8.875% 9/1/17 | 4,870,000 | 4,918,700 | ||
| 23,673,035 | |||
Construction & Engineering - 0.0% | ||||
Amsted Industries, Inc. 8.125% 3/15/18 (f) | 2,535,000 | 2,579,363 | ||
Odebrecht Finance Ltd. 7% 4/21/20 (f) | 460,000 | 487,600 | ||
Odebrecht Overseas Ltd. 9.625% | 250,000 | 253,125 | ||
| 3,320,088 | |||
Industrial Conglomerates - 0.2% | ||||
General Electric Co. 5.25% 12/6/17 | 17,730,000 | 19,892,812 | ||
Otter Tail Corp. 9% 12/15/16 | 2,410,000 | 2,578,700 | ||
Sequa Corp.: | ||||
11.75% 12/1/15 (f) | 1,415,000 | 1,464,525 | ||
13.5% 12/1/15 pay-in-kind (f) | 901,711 | 944,542 | ||
| 24,880,579 | |||
Machinery - 0.1% | ||||
Accuride Corp. 9.5% 8/1/18 (f) | 1,515,000 | 1,552,875 | ||
ArvinMeritor, Inc. 8.125% 9/15/15 | 3,250,000 | 3,258,125 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
INDUSTRIALS - continued | ||||
Machinery - continued | ||||
Navistar International Corp. 8.25% 11/1/21 | $ 2,655,000 | $ 2,761,200 | ||
RBS Global, Inc./Rexnord Corp.: | ||||
8.5% 5/1/18 | 2,960,000 | 2,989,600 | ||
11.75% 8/1/16 | 1,860,000 | 1,990,200 | ||
SPX Corp. 6.875% 9/1/17 (f) | 3,260,000 | 3,333,350 | ||
| 15,885,350 | |||
Marine - 0.1% | ||||
Navios Maritime Holdings, Inc.: | ||||
8.875% 11/1/17 (f) | 1,970,000 | 2,038,950 | ||
9.5% 12/15/14 | 3,070,000 | 3,062,325 | ||
| 5,101,275 | |||
Professional Services - 0.0% | ||||
FTI Consulting, Inc. 7.625% 6/15/13 | 1,395,000 | 1,412,438 | ||
Road & Rail - 0.2% | ||||
Avis Budget Car Rental LLC/Avis Budget Finance, Inc.: | ||||
7.625% 5/15/14 | 4,105,000 | 4,105,000 | ||
7.75% 5/15/16 | 3,025,000 | 2,934,250 | ||
Hertz Corp.: | ||||
8.875% 1/1/14 | 6,065,000 | 6,231,788 | ||
10.5% 1/1/16 | 2,240,000 | 2,374,400 | ||
Kansas City Southern de Mexico, SA de CV 12.5% 4/1/16 | 1,135,000 | 1,362,000 | ||
Swift Transportation Co., Inc. 12.5% 5/15/17 (f) | 2,780,000 | 2,766,100 | ||
| 19,773,538 | |||
Trading Companies & Distributors - 0.0% | ||||
Aircastle Ltd. 9.75% 8/1/18 (f) | 495,000 | 501,188 | ||
TOTAL INDUSTRIALS | 161,014,859 | |||
INFORMATION TECHNOLOGY - 0.5% | ||||
Communications Equipment - 0.1% | ||||
Avaya, Inc.: | ||||
9.75% 11/1/15 | 1,955,000 | 1,842,588 | ||
10.125% 11/1/15 pay-in-kind (l) | 6,052,385 | 5,719,504 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
INFORMATION TECHNOLOGY - continued | ||||
Communications Equipment - continued | ||||
Lucent Technologies, Inc.: | ||||
6.45% 3/15/29 | $ 5,400,000 | $ 3,645,000 | ||
6.5% 1/15/28 | 1,940,000 | 1,309,500 | ||
| 12,516,592 | |||
Computers & Peripherals - 0.0% | ||||
Seagate HDD Cayman 6.875% 5/1/20 (f) | 1,015,000 | 995,969 | ||
Seagate Technology HDD Holdings 6.8% 10/1/16 | 4,140,000 | 4,181,400 | ||
| 5,177,369 | |||
Electronic Equipment & Components - 0.1% | ||||
Intcomex, Inc. 13.25% 12/15/14 (f) | 1,510,000 | 1,593,050 | ||
Jabil Circuit, Inc.: | ||||
7.75% 7/15/16 | 2,915,000 | 3,140,913 | ||
8.25% 3/15/18 | 1,025,000 | 1,114,688 | ||
Tyco Electronics Group SA: | ||||
5.95% 1/15/14 | 2,950,000 | 3,300,271 | ||
6% 10/1/12 | 3,877,000 | 4,195,879 | ||
6.55% 10/1/17 | 1,383,000 | 1,617,597 | ||
| 14,962,398 | |||
Internet Software & Services - 0.1% | ||||
Equinix, Inc. 8.125% 3/1/18 | 2,530,000 | 2,656,500 | ||
Terremark Worldwide, Inc. 12% 6/15/17 | 3,465,000 | 3,898,125 | ||
| 6,554,625 | |||
IT Services - 0.0% | ||||
Fidelity National Information Services, Inc.: | ||||
7.625% 7/15/17 (f) | 800,000 | 832,000 | ||
7.875% 7/15/20 (f) | 1,070,000 | 1,123,500 | ||
SunGard Data Systems, Inc. 10.25% 8/15/15 | 3,795,000 | 3,956,288 | ||
| 5,911,788 | |||
Office Electronics - 0.1% | ||||
Xerox Capital Trust I 8% 2/1/27 | 8,230,000 | 8,401,439 | ||
Xerox Corp. 5.5% 5/15/12 | 1,602,000 | 1,709,654 | ||
| 10,111,093 | |||
Semiconductors & Semiconductor Equipment - 0.1% | ||||
Advanced Micro Devices, Inc. 7.75% 8/1/20 (f) | 2,085,000 | 2,069,363 | ||
Amkor Technology, Inc. 7.375% 5/1/18 (f) | 2,060,000 | 2,054,850 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
INFORMATION TECHNOLOGY - continued | ||||
Semiconductors & Semiconductor Equipment - continued | ||||
Freescale Semiconductor, Inc.: | ||||
9.125% 12/15/14 pay-in-kind (l) | $ 1,966,560 | $ 1,819,068 | ||
9.25% 4/15/18 (f) | 2,385,000 | 2,385,000 | ||
10.125% 12/15/16 | 3,320,000 | 2,739,000 | ||
Viasystems, Inc. 12% 1/15/15 (f) | 1,590,000 | 1,729,125 | ||
| 12,796,406 | |||
TOTAL INFORMATION TECHNOLOGY | 68,030,271 | |||
MATERIALS - 1.1% | ||||
Chemicals - 0.5% | ||||
Berry Plastics Corp.: | ||||
5.2759% 2/15/15 (l) | 1,975,000 | 1,856,500 | ||
8.25% 11/15/15 | 3,805,000 | 3,805,000 | ||
8.875% 9/15/14 | 2,455,000 | 2,332,250 | ||
9.5% 5/15/18 (f) | 3,800,000 | 3,524,500 | ||
Braskem Finance Ltd. 7% 5/7/20 (f) | 410,000 | 426,400 | ||
Dow Chemical Co.: | ||||
4.85% 8/15/12 | 9,460,000 | 9,983,904 | ||
7.6% 5/15/14 | 16,104,000 | 18,774,639 | ||
Huntsman International LLC: | ||||
5.5% 6/30/16 | 3,195,000 | 2,979,338 | ||
8.625% 3/15/20 (f) | 1,700,000 | 1,700,000 | ||
Lubrizol Corp. 8.875% 2/1/19 | 928,000 | 1,193,068 | ||
Lyondell Chemical Co. 11% 5/1/18 | 3,955,000 | 4,296,119 | ||
NOVA Chemicals Corp.: | ||||
3.7476% 11/15/13 (l) | 2,720,000 | 2,529,600 | ||
6.5% 1/15/12 | 2,290,000 | 2,341,525 | ||
8.375% 11/1/16 | 2,825,000 | 2,888,563 | ||
8.625% 11/1/19 | 1,935,000 | 2,012,400 | ||
| 60,643,806 | |||
Construction Materials - 0.0% | ||||
CRH America, Inc. 6% 9/30/16 | 1,833,000 | 2,014,920 | ||
Texas Industries, Inc. 9.25% 8/15/20 (f) | 3,100,000 | 3,084,500 | ||
| 5,099,420 | |||
Containers & Packaging - 0.1% | ||||
Crown Cork & Seal, Inc. 7.375% 12/15/26 | 4,250,000 | 4,016,250 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
MATERIALS - continued | ||||
Containers & Packaging - continued | ||||
Pactiv Corp.: | ||||
5.875% 7/15/12 | $ 1,713,000 | $ 1,816,948 | ||
6.4% 1/15/18 | 1,749,000 | 1,813,772 | ||
Vitro SAB de CV 8.625% 2/1/12 (b) | 6,915,000 | 3,388,350 | ||
| 11,035,320 | |||
Metals & Mining - 0.5% | ||||
Algoma Acquisition Corp. 9.875% 6/15/15 (f) | 1,200,000 | 1,050,000 | ||
Anglo American Capital PLC 9.375% 4/8/14 (f) | 5,953,000 | 7,240,830 | ||
BHP Billiton Financial (USA) Ltd. 5.125% 3/29/12 | 1,975,000 | 2,096,439 | ||
Corporacion Nacional del Cobre (Codelco) 6.375% 11/30/12 (f) | 2,002,000 | 2,208,290 | ||
CSN Islands XI Corp. 6.875% 9/21/19 (f) | 1,500,000 | 1,605,000 | ||
Edgen Murray Corp. 12.25% 1/15/15 (f) | 4,970,000 | 4,100,250 | ||
Essar Steel Algoma, Inc. 9.375% 3/15/15 (f) | 3,100,000 | 3,061,250 | ||
Evraz Group SA 8.875% 4/24/13 (f) | 2,055,000 | 2,142,338 | ||
FMG Finance Property Ltd.: | ||||
10% 9/1/13 (f) | 5,580,000 | 6,082,200 | ||
10.625% 9/1/16 (f) | 789,000 | 931,020 | ||
McJunkin Red Man Corp. 9.5% 12/15/16 (f) | 5,660,000 | 5,009,100 | ||
Metinvest BV 10.25% 5/20/15 (f) | 810,000 | 838,350 | ||
Rio Tinto Finance (USA) Ltd.: | ||||
5.875% 7/15/13 | 3,264,000 | 3,633,237 | ||
6.5% 7/15/18 | 1,458,000 | 1,726,266 | ||
Severstal Columbus LLC 10.25% 2/15/18 (f) | 2,940,000 | 3,057,600 | ||
Southern Copper Corp. 6.75% 4/16/40 | 1,025,000 | 1,101,875 | ||
Steel Dynamics, Inc.: | ||||
6.75% 4/1/15 | 2,240,000 | 2,268,000 | ||
7.375% 11/1/12 | 1,985,000 | 2,094,175 | ||
Tube City IMS Corp. 9.75% 2/1/15 | 1,700,000 | 1,738,250 | ||
United States Steel Corp. 6.65% 6/1/37 | 2,648,000 | 2,330,240 | ||
Vale Overseas Ltd. 6.25% 1/23/17 | 5,007,000 | 5,614,199 | ||
| 59,928,909 | |||
Paper & Forest Products - 0.0% | ||||
Boise Paper LLC/Boise Co-Issuer Co. 8% 4/1/20 | 1,165,000 | 1,188,300 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
MATERIALS - continued | ||||
Paper & Forest Products - continued | ||||
Verso Paper Holdings LLC/Verso Paper, Inc.: | ||||
9.125% 8/1/14 | $ 1,345,000 | $ 1,297,925 | ||
11.5% 7/1/14 | 3,795,000 | 4,041,675 | ||
| 6,527,900 | |||
TOTAL MATERIALS | 143,235,355 | |||
TELECOMMUNICATION SERVICES - 2.5% | ||||
Diversified Telecommunication Services - 1.5% | ||||
Alestra SA de RL de CV 11.75% 8/11/14 | 1,185,000 | 1,309,425 | ||
AT&T, Inc.: | ||||
2.5% 8/15/15 | 7,000,000 | 7,076,244 | ||
5.8% 2/15/19 | 5,216,000 | 6,152,126 | ||
6.3% 1/15/38 | 31,601,000 | 36,261,926 | ||
BellSouth Capital Funding Corp. 7.875% 2/15/30 | 899,000 | 1,136,310 | ||
British Telecommunications PLC 9.375% 12/15/10 (e) | 2,717,000 | 2,777,652 | ||
CenturyTel, Inc. 7.6% 9/15/39 | 7,184,000 | 6,999,350 | ||
Citizens Communications Co.: | ||||
7.875% 1/15/27 | 925,000 | 901,875 | ||
9% 8/15/31 | 2,260,000 | 2,299,550 | ||
Frontier Communications Corp.: | ||||
7.875% 4/15/15 | 1,545,000 | 1,626,113 | ||
8.125% 10/1/18 | 3,615,000 | 3,831,900 | ||
8.25% 5/1/14 | 2,245,000 | 2,421,682 | ||
8.25% 4/15/17 | 2,270,000 | 2,423,225 | ||
8.5% 4/15/20 | 775,000 | 817,625 | ||
Global Crossing Ltd. 12% 9/15/15 | 2,160,000 | 2,397,816 | ||
Indosat Palapa Co. BV 7.375% 7/29/20 (f) | 710,000 | 763,250 | ||
Intelsat Bermuda Ltd. 12% 2/4/17 pay-in-kind (l) | 7,164,320 | 7,376,016 | ||
Intelsat Ltd.: | ||||
6.5% 11/1/13 | 3,700,000 | 3,533,500 | ||
7.625% 4/15/12 | 3,665,000 | 3,710,813 | ||
11.25% 6/15/16 | 1,635,000 | 1,753,538 | ||
Qwest Communications International, Inc.: | ||||
7.125% 4/1/18 (f) | 2,450,000 | 2,529,625 | ||
7.5% 2/15/14 | 1,310,000 | 1,334,563 | ||
8% 10/1/15 (f) | 2,050,000 | 2,203,750 | ||
Sprint Capital Corp. 6.875% 11/15/28 | 15,285,000 | 12,762,975 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
TELECOMMUNICATION SERVICES - continued | ||||
Diversified Telecommunication Services - continued | ||||
Telecom Italia Capital SA: | ||||
4.95% 9/30/14 | $ 3,208,000 | $ 3,372,439 | ||
5.25% 10/1/15 | 1,177,000 | 1,253,090 | ||
6.999% 6/4/18 | 1,793,000 | 2,028,955 | ||
7.175% 6/18/19 | 14,000,000 | 16,139,102 | ||
7.2% 7/18/36 | 7,240,000 | 7,798,378 | ||
Telefonica Emisiones SAU: | ||||
5.134% 4/27/20 | 10,000,000 | 10,780,330 | ||
6.421% 6/20/16 | 1,162,000 | 1,339,544 | ||
U.S. West Communications 7.5% 6/15/23 | 3,760,000 | 3,797,600 | ||
Verizon Communications, Inc.: | ||||
6.1% 4/15/18 | 6,000,000 | 7,072,614 | ||
6.25% 4/1/37 | 2,348,000 | 2,684,142 | ||
6.4% 2/15/38 | 7,621,000 | 8,930,981 | ||
6.9% 4/15/38 | 6,295,000 | 7,794,664 | ||
Verizon New England, Inc. 6.5% 9/15/11 | 891,000 | 940,002 | ||
Verizon New York, Inc. 6.875% 4/1/12 | 2,653,000 | 2,866,620 | ||
Wind Acquisition Finance SA 11.75% 7/15/17 (f) | 4,535,000 | 4,988,500 | ||
| 196,187,810 | |||
Wireless Telecommunication Services - 1.0% | ||||
Cleveland Unlimited, Inc. 13.5% 12/15/10 (f)(l) | 1,260,000 | 1,260,000 | ||
Cricket Communications, Inc.: | ||||
7.75% 5/15/16 | 2,905,000 | 2,999,413 | ||
9.375% 11/1/14 | 1,185,000 | 1,199,813 | ||
Digicel Group Ltd.: | ||||
8.25% 9/1/17 (f) | 2,020,000 | 2,060,400 | ||
8.875% 1/15/15 (f) | 4,030,000 | 4,050,150 | ||
9.125% 1/15/15 pay-in-kind (f)(l) | 3,070,000 | 3,085,350 | ||
12% 4/1/14 (f) | 3,545,000 | 4,050,163 | ||
DIRECTV Holdings LLC/DIRECTV Financing, Inc.: | ||||
4.75% 10/1/14 | 9,282,000 | 10,028,291 | ||
5.875% 10/1/19 | 11,570,000 | 12,988,227 | ||
6.35% 3/15/40 | 3,541,000 | 3,908,616 | ||
Intelsat Jackson Holdings Ltd.: | ||||
9.5% 6/15/16 | 4,770,000 | 5,068,125 | ||
11.5% 6/15/16 | 7,175,000 | 7,713,125 | ||
Intelsat Subsidiary Holding Co. Ltd.: | ||||
8.875% 1/15/15 (f) | 550,000 | 565,125 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
TELECOMMUNICATION SERVICES - continued | ||||
Wireless Telecommunication Services - continued | ||||
Intelsat Subsidiary Holding Co. Ltd.: - continued | ||||
8.875% 1/15/15 | $ 6,110,000 | $ 6,308,575 | ||
MetroPCS Wireless, Inc.: | ||||
9.25% 11/1/14 | 4,060,000 | 4,222,400 | ||
9.25% 11/1/14 | 1,560,000 | 1,626,300 | ||
Millicom International Cellular SA 10% 12/1/13 | 3,755,000 | 3,877,038 | ||
Mobile Telesystems Finance SA 8% 1/28/12 (f) | 613,000 | 643,650 | ||
MTS International Funding Ltd. 8.625% 6/22/20 (f) | 1,055,000 | 1,201,434 | ||
Nextel Communications, Inc.: | ||||
5.95% 3/15/14 | 6,545,000 | 6,324,106 | ||
6.875% 10/31/13 | 9,105,000 | 9,082,238 | ||
7.375% 8/1/15 | 4,995,000 | 4,945,050 | ||
NII Capital Corp.: | ||||
8.875% 12/15/19 | 2,695,000 | 2,897,125 | ||
10% 8/15/16 | 3,560,000 | 3,991,650 | ||
Orascom Telecom Finance SCA 7.875% 2/8/14 (f) | 2,635,000 | 2,490,075 | ||
Pakistan Mobile Communications Ltd. 8.625% 11/13/13 (f) | 3,170,000 | 3,043,200 | ||
Sprint Nextel Corp. 6% 12/1/16 | 5,715,000 | 5,336,381 | ||
Telecom Personal SA 9.25% 12/22/10 (f) | 1,455,000 | 1,484,100 | ||
Vimpel Communications 8.375% 4/30/13 (Issued by VIP Finance Ireland Ltd. for Vimpel Communications) (f) | 1,545,000 | 1,641,563 | ||
Vodafone Group PLC: | ||||
5% 12/16/13 | 2,296,000 | 2,509,576 | ||
5.5% 6/15/11 | 2,760,000 | 2,860,370 | ||
| 123,461,629 | |||
TOTAL TELECOMMUNICATION SERVICES | 319,649,439 | |||
UTILITIES - 1.6% | ||||
Electric Utilities - 0.6% | ||||
AmerenUE 6.4% 6/15/17 | 1,753,000 | 2,054,719 | ||
Commonwealth Edison Co. 5.4% 12/15/11 | 2,948,000 | 3,107,838 | ||
EDP Finance BV: | ||||
4.9% 10/1/19 (f) | 6,700,000 | 6,201,058 | ||
6% 2/2/18 (f) | 9,619,000 | 9,633,198 | ||
Empresa Distribuidora y Comercializadora Norte SA 10.5% 10/9/17 | 295,000 | 306,800 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
UTILITIES - continued | ||||
Electric Utilities - continued | ||||
FirstEnergy Solutions Corp.: | ||||
4.8% 2/15/15 | $ 2,432,000 | $ 2,593,619 | ||
6.05% 8/15/21 | 3,544,000 | 3,755,304 | ||
Illinois Power Co. 6.125% 11/15/17 | 3,112,000 | 3,590,507 | ||
Intergen NV 9% 6/30/17 (f) | 5,270,000 | 5,414,925 | ||
IPALCO Enterprises, Inc. 7.25% 4/1/16 (f) | 4,440,000 | 4,639,800 | ||
Majapahit Holding BV: | ||||
7.75% 10/17/16 (Reg. S) | 1,440,000 | 1,684,800 | ||
7.75% 1/20/20 (f) | 850,000 | 1,015,750 | ||
8% 8/7/19 (f) | 635,000 | 768,350 | ||
Mirant Americas Generation LLC: | ||||
8.5% 10/1/21 | 3,570,000 | 3,248,700 | ||
9.125% 5/1/31 | 3,775,000 | 3,383,344 | ||
National Power Corp. 6.875% 11/2/16 (f) | 715,000 | 832,975 | ||
Nevada Power Co. 6.5% 5/15/18 | 790,000 | 947,291 | ||
Oncor Electric Delivery Co. 6.375% 5/1/12 | 2,731,000 | 2,944,742 | ||
Pennsylvania Electric Co. 6.05% 9/1/17 | 764,000 | 865,006 | ||
PPL Capital Funding, Inc. 6.7% 3/30/67 (l) | 8,250,000 | 7,734,375 | ||
Progress Energy, Inc.: | ||||
6% 12/1/39 | 10,303,000 | 11,798,099 | ||
7.1% 3/1/11 | 3,385,000 | 3,489,488 | ||
Sierra Pacific Power Co. 5.45% 9/1/13 | 1,560,000 | 1,710,568 | ||
| 81,721,256 | |||
Gas Utilities - 0.1% | ||||
Dynegy Holdings, Inc. 7.5% 6/1/15 (f) | 2,940,000 | 2,234,400 | ||
Intergas Finance BV 6.375% 5/14/17 (Reg. S) | 1,165,000 | 1,231,988 | ||
Southern Natural Gas Co. 5.9% 4/1/17 (f) | 442,000 | 486,806 | ||
Texas Eastern Transmission Corp. 7.3% 12/1/10 | 3,100,000 | 3,147,551 | ||
Transportadora de Gas del Sur SA 7.875% 5/14/17 (f) | 1,410,000 | 1,381,800 | ||
| 8,482,545 | |||
Independent Power Producers & Energy Traders - 0.3% | ||||
AES Corp.: | ||||
7.75% 3/1/14 | 5,400,000 | 5,616,000 | ||
7.75% 10/15/15 | 3,210,000 | 3,362,475 | ||
8% 10/15/17 | 2,575,000 | 2,723,063 | ||
9.75% 4/15/16 | 1,475,000 | 1,644,625 | ||
Duke Capital LLC 5.668% 8/15/14 | 2,055,000 | 2,288,684 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
UTILITIES - continued | ||||
Independent Power Producers & Energy Traders - continued | ||||
Energy Future Intermediate Holding Co. LLC / EFIH Finance, Inc. 10% 12/1/20 | $ 975,000 | $ 934,781 | ||
Exelon Generation Co. LLC 5.35% 1/15/14 | 1,528,000 | 1,681,442 | ||
NRG Energy, Inc.: | ||||
7.375% 2/1/16 | 2,840,000 | 2,854,200 | ||
7.375% 1/15/17 | 3,225,000 | 3,249,188 | ||
8.25% 9/1/20 (f) | 1,950,000 | 1,964,625 | ||
Power Sector Assets and Liabilities Management Corp.: | ||||
7.25% 5/27/19 (f) | 720,000 | 874,800 | ||
7.39% 12/2/24 (f) | 750,000 | 913,125 | ||
PPL Energy Supply LLC 6.5% 5/1/18 | 6,895,000 | 7,888,280 | ||
RRI Energy, Inc. 7.625% 6/15/14 | 8,000,000 | 7,860,000 | ||
| 43,855,288 | |||
Multi-Utilities - 0.6% | ||||
Consolidated Edison Co. of New York, Inc. 5.7% 6/15/40 | 3,771,000 | 4,308,873 | ||
Dominion Resources, Inc.: | ||||
4.75% 12/15/10 | 3,931,000 | 3,977,814 | ||
6.3% 9/30/66 (l) | 4,887,000 | 4,593,780 | ||
7.5% 6/30/66 (l) | 9,539,000 | 9,729,780 | ||
DTE Energy Co. 7.05% 6/1/11 | 984,000 | 1,027,409 | ||
KeySpan Corp. 7.625% 11/15/10 | 494,000 | 500,914 | ||
MidAmerican Energy Holdings, Co.: | ||||
5.75% 4/1/18 | 7,846,000 | 9,083,142 | ||
5.875% 10/1/12 | 2,921,000 | 3,179,479 | ||
6.5% 9/15/37 | 7,097,000 | 8,635,438 | ||
National Grid PLC 6.3% 8/1/16 | 1,314,000 | 1,540,556 | ||
NiSource Finance Corp.: | ||||
5.25% 9/15/17 | 843,000 | 912,221 | ||
5.4% 7/15/14 | 1,347,000 | 1,472,806 | ||
5.45% 9/15/20 | 854,000 | 915,076 | ||
6.4% 3/15/18 | 1,326,000 | 1,522,765 | ||
6.8% 1/15/19 | 6,774,000 | 7,986,946 | ||
7.875% 11/15/10 | 1,022,000 | 1,035,057 | ||
San Diego Gas & Electric Co. 4.5% 8/15/40 | 7,225,000 | 7,314,287 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
UTILITIES - continued | ||||
Multi-Utilities - continued | ||||
Wisconsin Energy Corp. 6.25% 5/15/67 (l) | $ 6,172,000 | $ 5,832,540 | ||
WPS Resources Corp. 6.11% 12/1/66 (l) | 882,000 | 798,210 | ||
| 74,367,093 | |||
TOTAL UTILITIES | 208,426,182 | |||
TOTAL NONCONVERTIBLE BONDS | 3,115,242,525 | |||
TOTAL CORPORATE BONDS (Cost $2,810,059,325) | 3,120,582,606 | |||
U.S. Government and Government Agency Obligations - 34.5% | ||||
| ||||
U.S. Government Agency Obligations - 1.7% | ||||
Fannie Mae: | ||||
0.625% 9/24/12 | 770,000 | 768,996 | ||
1% 4/4/12 | 1,230,000 | 1,238,956 | ||
1% 9/23/13 | 35,637,000 | 35,688,887 | ||
1.25% 6/22/12 | 3,553,000 | 3,593,881 | ||
1.25% 8/20/13 | 50,501,000 | 50,983,689 | ||
5% 2/16/12 | 1,090,000 | 1,160,580 | ||
Federal Home Loan Bank: | ||||
1.625% 11/21/12 | 39,650,000 | 40,431,819 | ||
1.625% 3/20/13 | 23,140,000 | 23,614,694 | ||
Freddie Mac: | ||||
1.125% 7/27/12 | 330,000 | 333,152 | ||
1.75% 6/15/12 | 885,000 | 903,032 | ||
2.125% 3/23/12 | 75,000 | 76,834 | ||
3% 7/28/14 | 50,000,000 | 53,389,650 | ||
5.25% 7/18/11 | 10,730,000 | 11,199,083 | ||
Tennessee Valley Authority 5.375% 4/1/56 | 385,000 | 479,789 | ||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | 223,863,042 | |||
U.S. Treasury Inflation Protected Obligations - 4.0% | ||||
U.S. Treasury Inflation-Indexed Bonds 2.5% 1/15/29 | 20,304,800 | 23,889,110 | ||
U.S. Government and Government Agency Obligations - continued | ||||
| Principal Amount (c) | Value | ||
U.S. Treasury Inflation Protected Obligations - continued | ||||
U.S. Treasury Inflation-Indexed Notes: | ||||
1.375% 1/15/20 | $ 255,139,898 | $ 266,773,999 | ||
2.125% 2/15/40 | 78,258,048 | 88,318,624 | ||
2.625% 7/15/17 (p) | 120,261,895 | 137,264,215 | ||
TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS | 516,245,948 | |||
U.S. Treasury Obligations - 28.5% | ||||
U.S. Treasury Bonds: | ||||
4.25% 5/15/39 | 36,203,000 | 40,971,623 | ||
4.375% 11/15/39 | 19,090,000 | 22,037,019 | ||
4.375% 5/15/40 | 249,658,000 | 288,549,723 | ||
U.S. Treasury Notes: | ||||
0.75% 11/30/11 | 171,564,000 | 172,368,292 | ||
0.875% 2/29/12 | 119,396,000 | 120,254,457 | ||
1% 3/31/12 | 278,585,000 | 281,164,697 | ||
1.125% 1/15/12 | 38,423,000 | 38,816,221 | ||
1.375% 10/15/12 | 163,445,000 | 166,420,189 | ||
1.75% 3/31/14 (p) | 125,000,000 | 128,779,250 | ||
1.875% 6/15/12 | 67,860,000 | 69,598,913 | ||
1.875% 4/30/14 (p) | 42,760,000 | 44,226,540 | ||
1.875% 6/30/15 | 50,250,000 | 51,631,875 | ||
2.375% 9/30/14 | 171,534,000 | 180,486,016 | ||
2.375% 2/28/15 | 667,385,000 | 702,008,884 | ||
2.5% 3/31/15 | 100,000,000 | 105,758,000 | ||
2.5% 4/30/15 | 100,000,000 | 105,757,800 | ||
2.625% 7/31/14 | 625,000,000 | 663,916,250 | ||
2.625% 12/31/14 | 329,010,000 | 349,470,474 | ||
2.75% 2/15/19 | 80,000,000 | 83,175,040 | ||
3.5% 5/15/20 | 21,386,000 | 23,312,451 | ||
3.625% 2/15/20 | 26,742,000 | 29,441,284 | ||
TOTAL U.S. TREASURY OBLIGATIONS | 3,668,144,998 | |||
Other Government Related - 0.3% | ||||
Citigroup Funding, Inc. 2.125% 7/12/12 (FDIC Guaranteed) (g) | 32,000,000 | 32,892,640 | ||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $4,234,890,345) | 4,441,146,628 | |||
U.S. Government Agency - Mortgage Securities - 12.6% | ||||
| Principal Amount (c) | Value | ||
Fannie Mae - 10.9% | ||||
1.975% 4/1/36 (l) | $ 1,290,441 | $ 1,335,770 | ||
2.593% 6/1/36 (l) | 196,375 | 205,753 | ||
2.604% 10/1/33 (l) | 1,187,621 | 1,229,262 | ||
3.5% 9/1/25 (h)(i) | 6,000,000 | 6,220,589 | ||
3.5% 9/1/25 (h)(i) | 6,000,000 | 6,220,589 | ||
3.5% 9/1/25 (h) | 25,000,000 | 25,919,120 | ||
3.5% 10/1/25 (h) | 6,000,000 | 6,195,745 | ||
3.5% 10/1/25 (h) | 6,000,000 | 6,195,745 | ||
4% 9/1/25 (h) | 19,000,000 | 19,952,968 | ||
4% 9/1/25 (h) | 31,000,000 | 32,554,842 | ||
4% 9/1/25 (h) | 9,000,000 | 9,451,406 | ||
4% 8/1/39 | 13,749,238 | 14,256,636 | ||
4.248% 7/1/37 (l) | 531,997 | 560,148 | ||
4.5% 5/1/25 to 8/1/40 (h) | 63,038,639 | 66,573,034 | ||
4.5% 9/1/25 (h) | 8,000,000 | 8,463,750 | ||
4.5% 9/1/40 (h) | 19,000,000 | 19,954,342 | ||
4.5% 9/1/40 (h) | 3,000,000 | 3,150,686 | ||
4.5% 9/1/40 (h) | 32,000,000 | 33,607,312 | ||
4.5% 9/1/40 (h) | 60,000,000 | 63,013,710 | ||
5% 5/1/19 to 6/1/40 | 57,426,781 | 61,420,346 | ||
5% 9/1/25 (h)(i) | 4,000,000 | 4,253,438 | ||
5% 9/1/25 (h) | 17,000,000 | 18,077,110 | ||
5% 8/1/40 (h)(i) | 40,000,000 | 42,546,876 | ||
5% 8/1/40 (h)(i) | 12,000,000 | 12,764,063 | ||
5% 8/1/40 (h)(i) | 670,000 | 712,032 | ||
5% 8/1/40 (h)(i) | 1,160,000 | 1,232,771 | ||
5% 9/1/40 (h)(i) | 54,000,000 | 57,345,467 | ||
5% 9/1/40 (h) | 16,000,000 | 16,991,250 | ||
5% 9/1/40 (h) | 1,000,000 | 1,061,953 | ||
5% 9/1/40 (h) | 96,000,000 | 101,947,498 | ||
5% 9/1/40 (h)(i) | 162,000,000 | 172,036,402 | ||
5% 9/1/40 | 4,180,000 | 4,442,228 | ||
5% 9/1/40 | 1,060,000 | 1,126,498 | ||
5.206% 12/1/35 (l) | 750,548 | 789,733 | ||
5.303% 2/1/36 (l) | 1,240,962 | 1,306,749 | ||
5.5% 3/1/18 to 3/1/40 | 154,342,361 | 166,395,937 | ||
5.5% 9/1/40 (h)(i) | 209,000,000 | 223,450,385 | ||
6% 1/1/21 to 9/1/39 | 89,748,936 | 97,704,702 | ||
6% 9/1/40 (h)(i) | 4,000,000 | 4,306,875 | ||
6% 9/1/40 (h) | 14,000,000 | 15,074,063 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal Amount (c) | Value | ||
Fannie Mae - continued | ||||
6.5% 5/1/31 to 9/1/38 | $ 43,539,765 | $ 48,189,529 | ||
6.5% 9/1/40 (h)(i) | 29,000,000 | 31,569,220 | ||
TOTAL FANNIE MAE | 1,409,806,532 | |||
Freddie Mac - 0.7% | ||||
4.498% 11/1/35 (l) | 5,136,002 | 5,372,762 | ||
4.5% 7/1/25 to 6/1/40 | 10,461,305 | 11,082,735 | ||
5% 4/1/38 to 6/1/40 | 15,138,369 | 16,222,127 | ||
5.416% 10/1/35 (l) | 258,469 | 273,654 | ||
5.5% 11/1/17 to 12/1/35 | 18,040,186 | 19,420,954 | ||
6% 7/1/37 | 172,885 | 187,695 | ||
6% 9/1/40 (h) | 24,000,000 | 25,796,251 | ||
6.5% 10/1/37 to 1/1/39 | 14,963,308 | 16,269,358 | ||
TOTAL FREDDIE MAC | 94,625,536 | |||
Ginnie Mae - 1.0% | ||||
4% 6/15/39 to 3/15/40 | 5,847,492 | 6,110,569 | ||
4% 9/1/40 (h) | 18,000,000 | 18,735,469 | ||
4% 9/1/40 (h) | 13,000,000 | 13,543,733 | ||
4.5% 5/15/39 to 4/15/40 | 17,658,928 | 18,811,998 | ||
4.5% 9/1/40 (h) | 26,000,000 | 27,576,250 | ||
4.5% 9/1/40 (h)(i) | 14,000,000 | 14,848,750 | ||
4.5% 9/1/40 (h) | 5,000,000 | 5,308,174 | ||
4.5% 9/1/40 (h) | 3,000,000 | 3,184,904 | ||
4.5% 10/1/40 (h) | 14,000,000 | 14,798,434 | ||
TOTAL GINNIE MAE | 122,918,281 | |||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $1,604,104,854) | 1,627,350,349 | |||
Asset-Backed Securities - 2.4% | ||||
| ||||
Accredited Mortgage Loan Trust Series 2005-1 Class M1, 0.7338% 4/25/35 (l) | 1,821,633 | 1,045,841 | ||
ACE Securities Corp. Home Equity Loan Trust: | ||||
Series 2004-HE1: | ||||
Class M1, 1.0138% 3/25/34 (l) | 129,064 | 123,864 | ||
Class M2, 1.9138% 3/25/34 (l) | 483,000 | 314,347 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (c) | Value | ||
ACE Securities Corp. Home Equity Loan Trust: - continued | ||||
Series 2005-HE2 Class M2, 0.7138% 4/25/35 (l) | $ 194,362 | $ 173,182 | ||
Series 2006-HE2 Class M3, 0.6038% 5/25/36 (l) | 20,708 | 807 | ||
Series 2006-OP1: | ||||
Class M4, 0.6338% 4/25/36 (l) | 170,200 | 6,179 | ||
Class M5, 0.6538% 4/25/36 (l) | 42,444 | 465 | ||
Advanta Business Card Master Trust: | ||||
Series 2005-A2 Class A2, 0.3963% 5/20/13 (l) | 380,602 | 378,369 | ||
Series 2006-A6 Class A6, 0.2963% 9/20/13 (l) | 752,069 | 747,656 | ||
Series 2006-A7 Class A7, 0.2863% 10/20/12 (l) | 414,095 | 411,665 | ||
Series 2006-C1 Class C1, 0.7463% 10/20/14 (l) | 111,256 | 20,582 | ||
Series 2007-A1 Class A, 0.3163% 1/20/15 (l) | 277,839 | 276,209 | ||
Series 2007-A4 Class A4, 0.2963% 4/22/13 (l) | 332,037 | 330,089 | ||
Series 2007-D1 Class D, 1.6663% 1/22/13 (f)(l) | 2,590,000 | 0 | ||
Airspeed Ltd. Series 2007-1A Class C1, 2.7759% 6/15/32 (f)(l) | 4,310,611 | 1,574,720 | ||
Ally Auto Receivables Trust Series 2009-A: | ||||
Class A3, 2.33% 6/17/13 (f) | 4,310,000 | 4,398,730 | ||
Class A4, 3% 10/15/15 (f) | 4,280,000 | 4,475,718 | ||
Ally Master Owner Trust: | ||||
Series 2010-2 Class A, 4.25% 4/15/17 (f) | 10,170,000 | 10,728,942 | ||
Series 2010-3 Class A, 2.88% 4/15/15 (f) | 9,160,000 | 9,408,537 | ||
AmeriCredit Automobile Receivables Trust Series 2005-DA Class A4, 5.02% 11/6/12 | 115,678 | 115,716 | ||
AmeriCredit Prime Automobile Receivables Trust: | ||||
Series 2007-1: | ||||
Class D, 5.62% 9/8/14 | 1,125,000 | 1,129,112 | ||
Class E, 6.96% 3/8/16 (f) | 2,052,284 | 1,966,591 | ||
Series 2007-2M Class A3, 5.22% 6/8/12 | 59,017 | 59,238 | ||
Ameriquest Mortgage Securities, Inc. pass-thru certificates: | ||||
Series 2003-10 Class M1, 0.9638% 12/25/33 (l) | 105,291 | 75,874 | ||
Series 2004-R2 Class M3, 0.8138% 4/25/34 (l) | 153,470 | 16,966 | ||
Series 2005-R2 Class M1, 0.7138% 4/25/35 (l) | 2,064,696 | 1,601,792 | ||
Anthracite CDO I Ltd. Series 2002-CIBA Class B, 6.633% 5/24/37 (f) | 123,000 | 108,701 | ||
Anthracite CDO II Ltd. Series 2002-2A: | ||||
Class F, 7.6% 12/24/37 (f) | 160,000 | 68,800 | ||
Class G, 9.75% 12/24/37 (f) | 210,000 | 79,800 | ||
Anthracite CDO III Ltd./Anthracite CDO III Corp. Series 2004-1A Class A, 0.6247% 3/23/19 (f)(l) | 243,479 | 182,610 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (c) | Value | ||
Argent Securities, Inc. pass-thru certificates: | ||||
Series 2003-W7 Class A2, 0.7188% 3/25/34 (l) | $ 47,932 | $ 32,565 | ||
Series 2004-W11 Class M2, 0.9638% 11/25/34 (l) | 561,149 | 331,023 | ||
Series 2004-W7 Class M1, 0.8138% 5/25/34 (l) | 1,542,998 | 699,266 | ||
Series 2006-W4 Class A2C, 0.4238% 5/25/36 (l) | 1,452,507 | 499,955 | ||
Asset Backed Securities Corp. Home Equity Loan Trust: | ||||
Series 2004-HE2 Class M1, 1.0888% 4/25/34 (l) | 2,668,736 | 1,603,399 | ||
Series 2006-HE2 Class M1, 0.6338% 3/25/36 (l) | 262,000 | 19,252 | ||
Axon Financial Funding Ltd. 1.1336% 4/4/17 (b)(f)(l) | 7,217,000 | 72 | ||
Bank of America Auto Trust Series 2009-1A: | ||||
Class A3, 2.67% 7/15/13 (f) | 9,500,000 | 9,648,576 | ||
Class A4, 3.52% 6/15/16 (f) | 8,300,000 | 8,705,287 | ||
Brascan Real Estate CDO Ltd./Brascan Real Estate CDO Corp. Series 2004-1A Class A, 0.8713% 1/20/40 (f)(l) | 255,840 | 244,966 | ||
Brazos Higher Education Authority, Inc. Student Loan Rev. Series 2006 A2R, 1.2883% 12/1/41 (l) | 1,050,048 | 1,048,231 | ||
Brazos Higher Education Authority, Inc. Series 2006-2 Class A9, 0.5483% 12/26/24 (l) | 2,194,165 | 2,084,456 | ||
C-BASS Trust Series 2006-CB7 Class A2, 0.3238% 10/25/36 (l) | 297,314 | 292,775 | ||
Capital Auto Receivables Asset Trust: | ||||
Series 2006-2: | ||||
Class B, 5.07% 12/15/11 | 1,772,225 | 1,783,624 | ||
Class C, 5.31% 6/15/12 | 1,634,000 | 1,659,499 | ||
Series 2007-1 Class C, 5.38% 11/15/12 | 582,000 | 607,963 | ||
Series 2007-SN2 Class A4, 1.3059% 5/16/11 (f)(l) | 1,768,579 | 1,768,992 | ||
Capital One Multi-Asset Execution Trust: | ||||
Series 2003-A5 Class A5, 0.5659% 7/15/13 (l) | 6,450,000 | 6,450,128 | ||
Series 2008-A3 Class A3, 5.05% 2/15/16 | 5,700,000 | 6,274,972 | ||
Series 2009-A2 Class A2, 3.2% 4/15/14 | 10,000,000 | 10,201,684 | ||
Capital Trust Ltd. Series 2004-1: | ||||
Class A2, 0.7163% 7/20/39 (f)(l) | 457,498 | 91,500 | ||
Class B, 1.0163% 7/20/39 (f)(l) | 263,810 | 13,191 | ||
Class C, 1.3663% 7/20/39 (f)(l) | 339,379 | 6,788 | ||
Capital Trust RE CDO Ltd./Capital Trust RE CDO Corp. Series 2005-3A Class A2, 5.16% 6/25/35 (f) | 859,000 | 843,968 | ||
CapitalSource Real Estate Loan Trust Series 2006-1A Class A2A, 0.7713% 1/20/37 (f)(l) | 197,776 | 128,554 | ||
Capmark VII Ltd. Series 2006-7A Class H, 1.8259% 8/15/36 (f)(l) | 514,280 | 0 | ||
CarMax Auto Owner Trust Series 2007-2 Class C, 5.61% 11/15/13 | 928,000 | 954,176 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (c) | Value | ||
Carrington Mortgage Loan Trust: | ||||
Series 2006-FRE1 Class M1, 0.5638% 7/25/36 (l) | $ 1,140,851 | $ 116,814 | ||
Series 2006-NC2 Class M7, 1.1138% 6/25/36 (l) | 425,500 | 17,463 | ||
Series 2006-NC3 Class M10, 2.2638% 8/25/36 (f)(l) | 290,000 | 13,711 | ||
Series 2006-NC4 Class M1, 0.5638% 10/25/36 (l) | 224,000 | 27,535 | ||
Series 2006-RFC1 Class M9, 2.1338% 5/25/36 (l) | 186,369 | 11,059 | ||
Series 2007-RFC1 Class A3, 0.4038% 12/25/36 (l) | 1,802,588 | 686,433 | ||
Cendant Timeshare Receivables Funding LLC: | ||||
Series 2005 1A Class 2A2, 0.4463% 5/20/17 (f)(l) | 144,580 | 129,657 | ||
Series 2005-1A Class A1, 4.67% 5/20/17 (f) | 455,437 | 460,219 | ||
Chase Issuance Trust Series 2007-A17 Class A, 5.12% 10/15/14 | 5,000,000 | 5,447,887 | ||
Chrysler Financial Lease Trust Series 2010-A Class A2, 1.78% 6/15/11 (f) | 18,750,000 | 18,816,868 | ||
Citibank Credit Card Issuance Trust Series 2009-A5 Class A5, 2.25% 12/23/14 | 35,600,000 | 36,594,347 | ||
Citigroup Mortgage Loan Trust Series 2007-AMC4 Class M1, 0.5338% 5/25/37 (l) | 765,389 | 34,601 | ||
Countrywide Asset-Backed Certificates Trust: | ||||
Series 2007-11 Class 2A1, 0.3238% 6/25/47 (l) | 101,838 | 97,989 | ||
Series 2007-4 Class A1A, 0.4488% 9/25/37 (l) | 635,585 | 591,481 | ||
Countrywide Home Loan Trust Series 2006-13 Class N, 7% 8/25/37 (f) | 811,000 | 0 | ||
Countrywide Home Loans, Inc.: | ||||
Series 2003-BC1 Class B1, 5.5972% 3/25/32 (l) | 11,800 | 5,044 | ||
Series 2004-3 Class M4, 1.2338% 4/25/34 (l) | 159,665 | 57,520 | ||
Series 2004-4 Class M2, 1.0588% 6/25/34 (l) | 587,945 | 308,400 | ||
Series 2005-3 Class MV1, 0.6838% 8/25/35 (l) | 1,217,697 | 1,146,399 | ||
Series 2005-AB1 Class A2, 0.4738% 8/25/35 (l) | 184,671 | 179,961 | ||
CPS Auto Receivables Trust: | ||||
Series 2006-D Class A4, 5.115% 8/15/13 (f) | 596,362 | 606,485 | ||
Series 2007-C Class A3, 5.43% 5/15/12 (f) | 62,959 | 63,316 | ||
Crest Clarendon Street Ltd./Crest Clarendon Corp. Series 2002-1A: | ||||
Class B1, 6.065% 12/28/35 (f) | 500,000 | 360,000 | ||
Class B2, 1.8872% 12/28/35 (f)(l) | 500,000 | 297,500 | ||
Crest Dartmouth Street Ltd./Crest Dartmouth Street Corp. Series 2003-1A Class D, 9% 6/28/38 (f) | 200,000 | 56,000 | ||
Crest G-Star LP/Crest G-Star Corp. Series 2001-1A Class A, 0.7694% 11/28/16 (f)(l) | 495,193 | 463,006 | ||
Crest Ltd. Series 2002-IGA Class A, 0.9375% 7/28/17 (f)(l) | 309,681 | 294,197 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (c) | Value | ||
DB Master Finance LLC Series 2006-1 Class M1, 8.285% 6/20/31 (f) | $ 235,000 | $ 218,806 | ||
Deutsche Financial Capital Securitization LLC Series 1997-I Class M, 7.275% 9/15/27 | 540,000 | 477,526 | ||
Fannie Mae subordinate REMIC pass-thru certificates Series 2004-T5 Class AB3, 0.7759% 5/28/35 (l) | 38,916 | 29,187 | ||
Fieldstone Mortgage Investment Corp.: | ||||
Series 2004-3 Class M5, 2.4388% 8/25/34 (l) | 290,872 | 132,620 | ||
Series 2006-3 Class 2A3, 0.4238% 11/25/36 (l) | 6,074,620 | 2,176,732 | ||
First Franklin Mortgage Loan Trust: | ||||
Series 2004-FF2 Class M3, 1.0888% 3/25/34 (l) | 25,145 | 6,979 | ||
Series 2005-FF9 Class A3, 0.5438% 10/25/35 (l) | 4,222,878 | 3,951,783 | ||
Ford Credit Auto Owner Trust: | ||||
Series 2006-B Class D, 7.26% 2/15/13 (f) | 1,175,000 | 1,208,395 | ||
Series 2006-C: | ||||
Class B, 5.3% 6/15/12 | 649,000 | 671,986 | ||
Class D, 6.89% 5/15/13 (f) | 915,000 | 950,910 | ||
Series 2007-A Class D, 7.05% 12/15/13 (f) | 970,000 | 1,026,409 | ||
Series 2009-D: | ||||
Class A3, 2.17% 10/15/13 | 5,400,000 | 5,481,620 | ||
Class A4, 2.98% 8/15/14 | 4,800,000 | 5,006,509 | ||
Series 2010-B Class A3, 0.98% 10/15/14 | 9,710,000 | 9,747,042 | ||
Ford Credit Floorplan Master Owner Trust Series 2006-4 Class B, 0.8259% 6/15/13 (l) | 772,000 | 760,117 | ||
Franklin Auto Trust: | ||||
Series 2006-1 Class B, 5.14% 7/21/14 | 72,000 | 72,682 | ||
Series 2007-1: | ||||
Class A4, 5.03% 2/16/15 | 487,090 | 487,690 | ||
Class C, 5.43% 2/16/15 | 614,000 | 605,638 | ||
Fremont Home Loan Trust: | ||||
Series 2005-A: | ||||
Class M3, 0.7538% 1/25/35 (l) | 948,695 | 329,746 | ||
Class M4, 0.9438% 1/25/35 (l) | 363,547 | 39,885 | ||
Series 2006-D Class M1, 0.4938% 11/25/36 (l) | 324,000 | 11,034 | ||
GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 0.6975% 2/25/47 (f)(l) | 2,892,000 | 1,973,790 | ||
GCO Slims Trust Series 2006-1A, 5.72% 3/1/22 (f) | 2,121,254 | 1,697,003 | ||
GE Business Loan Trust: | ||||
Series 2003-1 Class A, 0.7059% 4/15/31 (f)(l) | 274,592 | 241,641 | ||
Series 2006-2A: | ||||
Class A, 0.4559% 11/15/34 (f)(l) | 2,364,061 | 1,903,069 | ||
Class B, 0.5559% 11/15/34 (f)(l) | 853,970 | 512,382 | ||
Class C, 0.6559% 11/15/34 (f)(l) | 1,419,263 | 567,705 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (c) | Value | ||
GE Business Loan Trust: - continued | ||||
Series 2006-2A: | ||||
Class D, 1.0259% 11/15/34 (f)(l) | $ 538,940 | $ 129,346 | ||
GE Equipment Midticket LLC Series 2006-1 Class B, 0.4259% 9/15/17 (l) | 1,151,000 | 1,134,533 | ||
Goal Capital Funding Trust Series 2007-1 Class C1, 0.9383% 6/25/42 (l) | 739,000 | 596,958 | ||
GS Auto Loan Trust Series 2007-1: | ||||
Class B, 5.53% 12/15/14 | 54,741 | 56,087 | ||
Class C, 5.74% 12/15/14 | 116,272 | 117,776 | ||
GSAMP Trust: | ||||
Series 2004-AR1: | ||||
Class B4, 5% 6/25/34 (f)(l) | 245,471 | 58,931 | ||
Class M1, 0.9138% 6/25/34 (l) | 2,723,367 | 1,689,638 | ||
Series 2007-HE1 Class M1, 0.5138% 3/25/47 (l) | 1,096,059 | 65,981 | ||
GSR Mortgage Loan Trust Series 2006-FM1 Class M3, 0.6138% 4/25/36 (l) | 203,374 | 4,632 | ||
Guggenheim Structured Real Estate Funding Ltd.: | ||||
Series 2005-1 Class C, 1.3438% 5/25/30 (f)(l) | 653,491 | 169,908 | ||
Series 2006-3: | ||||
Class B, 0.6638% 9/25/46 (f)(l) | 654,930 | 130,986 | ||
Class C, 0.8138% 9/25/46 (f)(l) | 1,526,694 | 229,004 | ||
Class E, 1.9138% 9/25/46 (f)(l) | 253,381 | 30,406 | ||
Home Equity Asset Trust: | ||||
Series 2003-2 Class M1, 1.5838% 8/25/33 (l) | 457,719 | 291,593 | ||
Series 2003-3 Class M1, 1.5538% 8/25/33 (l) | 812,279 | 561,780 | ||
Series 2003-5 Class A2, 0.9638% 12/25/33 (l) | 32,929 | 18,533 | ||
Series 2005-5 Class 2A2, 0.5138% 11/25/35 (l) | 148,852 | 145,853 | ||
Series 2006-1 Class 2A3, 0.4888% 4/25/36 (l) | 1,770,250 | 1,704,449 | ||
Series 2006-3N Class B, 6.5% 8/27/36 (f) | 250,000 | 0 | ||
Series 2006-8 Class 2A1, 0.3138% 3/25/37 (l) | 9,923 | 9,732 | ||
HSBC Home Equity Loan Trust Series 2006-2 Class M2, 0.5563% 3/20/36 (l) | 803,943 | 615,198 | ||
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.4538% 1/25/37 (l) | 1,522,035 | 471,788 | ||
Hyundai Auto Receivable Trust Series 2009-A Class A3, 2.03% 8/15/13 | 5,450,000 | 5,533,771 | ||
JPMorgan Mortgage Acquisition Trust: | ||||
Series 2006-NC2 Class M2, 0.5638% 7/25/36 (l) | 204,000 | 8,991 | ||
Series 2007-CH1: | ||||
Class AV4, 0.3938% 11/25/36 (l) | 1,520,141 | 1,156,269 | ||
Class MV1, 0.4938% 11/25/36 (l) | 1,234,797 | 690,603 | ||
Series 2007-CH3 Class M1, 0.5638% 3/25/37 (l) | 573,000 | 30,829 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (c) | Value | ||
Kent Funding III Ltd. Series 2006-3A Class D, 3.575% 10/29/47 (l) | $ 291,820 | $ 29 | ||
Keycorp Student Loan Trust: | ||||
Series 1999-A Class A2, 0.8672% 12/27/29 (l) | 832,716 | 693,396 | ||
Series 2006-A Class 2C, 1.6872% 3/27/42 (l) | 3,243,000 | 500,140 | ||
Long Beach Auto Receivables Trust Series 2007-A Class A4, 5.025% 1/15/14 | 2,456,627 | 2,499,527 | ||
Long Beach Mortgage Loan Trust Series 2004-2 Class M2, 1.3438% 6/25/34 (l) | 157,259 | 107,025 | ||
Marathon Real Estate CDO Ltd. Series 2006-1A Class B, 0.6938% 5/25/46 (f)(l) | 250,000 | 55,000 | ||
Marriott Vacation Club Owner Trust Series 2006-2A: | ||||
Class B, 5.442% 10/20/28 (f) | 23,972 | 22,350 | ||
Class C, 5.691% 10/20/28 (f) | 10,654 | 8,994 | ||
Class D, 6.01% 10/20/28 (f) | 126,852 | 100,683 | ||
MASTR Asset Backed Securities Trust: | ||||
Series 2006-AM3 Class M1, 0.5238% 10/25/36 (l) | 545,328 | 32,815 | ||
Series 2007-HE1 Class M1, 0.5638% 5/25/37 (l) | 784,792 | 42,864 | ||
Meritage Mortgage Loan Trust Series 2004-1 Class M1, 1.0138% 7/25/34 (l) | 192,687 | 83,339 | ||
Merrill Auto Trust Securitization Series 2007-1 Class B, 5.79% 12/15/13 | 214,554 | 217,389 | ||
Merrill Lynch Mortgage Investors Trust: | ||||
Series 2003-OPT1 Class M1, 0.9138% 7/25/34 (l) | 677,418 | 521,264 | ||
Series 2005-FM1 Class A2D, 0.6438% 5/25/36 (l) | 12,012,304 | 11,073,703 | ||
Series 2006-FM1 Class A2B, 0.3738% 4/25/37 (l) | 2,248,986 | 1,950,527 | ||
Series 2006-MLN1 Class A2A, 0.3338% 7/25/37 (l) | 25,531 | 25,125 | ||
Series 2006-OPT1 Class A1A, 0.5238% 6/25/35 (l) | 3,288,519 | 2,320,767 | ||
Morgan Stanley ABS Capital I Trust: | ||||
Series 2004-HE6 Class A2, 0.6038% 8/25/34 (l) | 57,368 | 38,274 | ||
Series 2004-NC8 Class M6, 1.5138% 9/25/34 (l) | 32,622 | 15,943 | ||
Series 2005-NC1 Class M1, 0.7038% 1/25/35 (l) | 399,800 | 205,379 | ||
Series 2005-NC2 Class B1, 1.4338% 3/25/35 (l) | 416,362 | 48,880 | ||
Series 2007-HE2 Class M1, 0.5138% 1/25/37 (l) | 263,000 | 7,589 | ||
N-Star Real Estate CDO Ltd. Series 1A: | ||||
Class B1, 1.9744% 8/28/38 (f)(l) | 220,000 | 138,600 | ||
Class C1B, 7.696% 8/28/38 (f) | 63,000 | 38,058 | ||
National Collegiate Student Loan Trust: | ||||
Series 2004-2 Class AIO, 9.75% 10/25/14 (n) | 3,793,600 | 542,485 | ||
Series 2006-1 Class AIO, 5.5% 4/25/11 (n) | 413,402 | 10,609 | ||
Series 2006-2 Class AIO, 6% 8/25/11 (n) | 231,000 | 11,307 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (c) | Value | ||
National Collegiate Student Loan Trust: - continued | ||||
Series 2006-3 Class AIO, 7.1% 1/25/12 (n) | $ 372,000 | $ 28,830 | ||
Series 2006-4: | ||||
Class A1, 0.2938% 3/25/25 (l) | 440,939 | 434,882 | ||
Class AIO, 6.35% 2/27/12 (n) | 1,182,000 | 99,920 | ||
Class D, 1.3638% 5/25/32 (l) | 2,481,000 | 34,910 | ||
Series 2007-1 Class AIO, 7.27% 4/25/12 (n) | 1,589,000 | 170,818 | ||
Series 2007-2 Class AIO, 6.7% 7/25/12 (n) | 1,351,000 | 158,683 | ||
New Century Home Equity Loan Trust: | ||||
Series 2005-4 Class M2, 0.7738% 9/25/35 (l) | 1,426,957 | 587,076 | ||
Series 2005-D Class M2, 0.7338% 2/25/36 (l) | 827,339 | 106,920 | ||
Nissan Auto Lease Trust Series 2009-B Class A3, 2.07% 1/15/15 | 8,500,000 | 8,597,306 | ||
Nomura Home Equity Loan Trust Series 2006-HE2 Class A2, 0.3838% 3/25/36 (l) | 37,564 | 37,427 | ||
Ocala Funding LLC Series 2006-1A Class A, 1.6663% 3/20/11 (b)(f)(l) | 1,176,000 | 435,120 | ||
Option One Mortgage Loan Trust: | ||||
Series 2007-5 Class 2A1, 0.3538% 5/25/37 (l) | 107,092 | 103,457 | ||
Series 2007-6 Class 2A1, 0.3238% 7/25/37 (l) | 199,223 | 192,239 | ||
Park Place Securities, Inc.: | ||||
Series 2004-WCW1: | ||||
Class M3, 1.5138% 9/25/34 (l) | 532,896 | 229,878 | ||
Class M4, 1.7138% 9/25/34 (l) | 683,353 | 108,724 | ||
Series 2005-WCH1: | ||||
Class M2, 0.7838% 1/25/36 (l) | 2,548,346 | 2,155,766 | ||
Class M3, 0.8238% 1/25/36 (l) | 478,432 | 306,840 | ||
Class M4, 1.0938% 1/25/36 (l) | 1,475,804 | 464,403 | ||
Series 2005-WHQ2: | ||||
Class M7, 1.5138% 5/25/35 (l) | 1,883,145 | 27,924 | ||
Class M9, 2.1438% 5/25/35 (l) | 290,989 | 719 | ||
Prima Capital CDO Ltd./Prima Capital CDO Corp. Series 2005-1A: | ||||
Class A2, 4.646% 7/24/39 (f) | 397,651 | 373,792 | ||
Class B, 4.846% 7/24/39 (f) | 180,000 | 129,600 | ||
Class C, 5.08% 7/24/39 (f) | 185,000 | 118,400 | ||
Providian Master Note Trust Series 2006-C1A Class C1, 0.8259% 3/15/15 (f)(l) | 3,406,919 | 3,393,739 | ||
Residential Asset Mortgage Products, Inc. Series 2006-EFC2 Class M1, 0.4938% 12/25/36 (l) | 566,000 | 22,463 | ||
Residential Asset Securities Corp. Series 2007-KS2 Class AI1, 0.3338% 2/25/37 (l) | 599,271 | 585,071 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (c) | Value | ||
Resource Real Estate Funding CDO Series 2007-1A Class J, 3.2138% 9/25/46 (f)(l) | $ 250,000 | $ 11,250 | ||
Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 1.0638% 4/25/33 (l) | 5,108 | 4,268 | ||
Saxon Asset Securities Trust Series 2004-1 Class M1, 1.0588% 3/25/35 (l) | 1,673,086 | 1,097,076 | ||
Securitized Asset Backed Receivables LLC Trust: | ||||
Series 2005-FR4 Class B3, 1.9838% 1/25/36 (l) | 96,000 | 3,132 | ||
Series 2006-FR4 Class A2A, 0.3438% 8/25/36 (l) | 49,108 | 22,764 | ||
Series 2007-NC1 Class A2A, 0.3138% 12/25/36 (l) | 20,045 | 19,641 | ||
Sierra Receivables Funding Co. Series 2007-1A Class A2, 0.4881% 3/20/19 (f)(l) | 860,433 | 802,923 | ||
SLM Private Credit Student Loan Trust Series 2004-A Class C, 1.4871% 6/15/33 (l) | 1,272,000 | 76,768 | ||
Specialty Underwriting & Residential Finance Trust Series 2006-AB2 Class N1, 5.75% 6/25/37 (f) | 656,637 | 0 | ||
Structured Asset Investment Loan Trust Series 2004-8 Class M5, 1.4138% 9/25/34 (l) | 74,810 | 17,801 | ||
Structured Asset Securities Corp. Series 2007-BC4 Class A3, 0.5138% 11/25/37 (l) | 11,515,175 | 10,918,888 | ||
Structured Asset Securities Corp. Mortgage Loan Trust Series 2007-OSI Class A2, 0.3538% 6/25/37 (l) | 1,501,875 | 1,245,272 | ||
SVO VOI Mortgage Corp. Series 2006-AA Class A, 5.28% 2/20/24 (f) | 1,012,699 | 1,017,762 | ||
Swift Master Auto Receivables Trust Series 2007-2 Class A, 0.9259% 10/15/12 (l) | 2,867,000 | 2,863,984 | ||
Terwin Mortgage Trust Series 2003-4HE Class A1, 1.1238% 9/25/34 (l) | 28,819 | 18,087 | ||
TIAA Real Estate CDO Ltd./TIAA Real Estate CDO Corp.: | ||||
Series 2002-1A: | ||||
Class IIFX, 6.77% 5/22/37 (f) | 349,000 | 331,550 | ||
Class IV, 6.84% 5/22/37 (f) | 235,000 | 152,750 | ||
Series 2003-1A Class B2, 5.4802% 12/28/38 (f) | 111,000 | 77,700 | ||
Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 1.0936% 4/6/42 (f)(l) | 2,596,888 | 129,844 | ||
Triad Auto Receivables Owner Trust Series 2006-C Class A4, 5.31% 5/13/13 | 659,323 | 673,968 | ||
Wachovia Auto Loan Owner Trust: | ||||
Series 2006-1 Class A4, 5.08% 4/20/12 (f) | 97,361 | 97,624 | ||
Series 2006-2A: | ||||
Class B, 5.29% 6/20/12 (f) | 383,808 | 385,934 | ||
Class D, 5.54% 12/20/12 (f) | 583,000 | 592,580 | ||
Class E, 7.05% 5/20/14 (f) | 1,390,000 | 1,415,455 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (c) | Value | ||
Wachovia Ltd./Wachovia LLC: | ||||
Series 2006-1 Class 1ML, 5.7835% 9/25/26 (f)(l) | $ 400,000 | $ 108,000 | ||
Series 2006-1A: | ||||
Class A1A, 0.7983% 9/25/26 (f)(l) | 330,000 | 267,300 | ||
Class A1B, 0.8683% 9/25/26 (f)(l) | 330,000 | 249,150 | ||
Class A2A, 0.7583% 9/25/26 (f)(l) | 1,186,000 | 984,380 | ||
Class F, 1.6883% 9/25/26 (f)(l) | 250,000 | 140,000 | ||
Class G, 1.8883% 9/25/26 (f)(l) | 250,000 | 132,500 | ||
WaMu Asset Holdings Corp. Series 2006-8 Class N1, 6.048% 10/25/46 (f) | 887,552 | 0 | ||
WaMu Master Note Trust: | ||||
Series 2006-C2A Class C2, 0.7759% 8/15/15 (f)(l) | 8,530,177 | 8,453,875 | ||
Series 2007-A4A Class A4, 5.2% 10/15/14 (f) | 10,589,000 | 10,645,906 | ||
Series 2007-A5A Class A5, 1.0259% 10/15/14 (f)(l) | 1,500,000 | 1,500,552 | ||
Wells Fargo Home Equity Trust Series 2004-3 Class A, 4.5% 11/27/34 (a)(f) | 7,576 | 0 | ||
Whinstone Capital Management Ltd. Series 1A Class B3, 2.2978% 10/25/44 (f)(l) | 1,789,540 | 590,548 | ||
Wrightwood Capital Real Estate CDO Ltd. Series 2005-1A Class D, 1.1891% 11/21/40 (f)(l) | 305,000 | 18,300 | ||
TOTAL ASSET-BACKED SECURITIES (Cost $293,376,332) | 303,926,817 | |||
Collateralized Mortgage Obligations - 1.8% | ||||
| ||||
Private Sponsor - 1.8% | ||||
ABN AMRO Mortgage Corp.: | ||||
Series 2003-2 Class B4, 5.3276% 3/25/18 (l) | 116,633 | 48,986 | ||
Series 2003-9 Class B5, 4.5164% 8/25/18 (f) | 227,235 | 22,724 | ||
Arran Residential Mortgages Funding No. 1 PLC floater Series 2006-1A Class DB, 0.9575% 4/12/56 (f)(l) | 1,428,375 | 857,025 | ||
Banc of America Commercial Mortgage Trust Series 2007-2: | ||||
Class B, 5.6987% 4/10/49 (l) | 106,000 | 25,630 | ||
Class C, 5.6987% 4/10/49 (l) | 281,000 | 47,381 | ||
Class D, 5.6987% 4/10/49 (l) | 141,000 | 20,972 | ||
Banc of America Large Loan, Inc. Series 2005-MIB1 Class A2, 0.4859% 3/15/22 (f)(l) | 939,527 | 910,272 | ||
Banc of America Mortgage Securities, Inc.: | ||||
Series 2003-L Class 2A1, 3.6145% 1/25/34 (l) | 2,089,842 | 1,868,865 | ||
Series 2004-1 Class 2A2, 3.6636% 10/25/34 (l) | 2,207,654 | 1,964,031 | ||
Series 2004-A Class 2A2, 3.5151% 2/25/34 (l) | 1,272,784 | 1,121,285 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (c) | Value | ||
Private Sponsor - continued | ||||
Banc of America Mortgage Securities, Inc.: - continued | ||||
Series 2004-B: | ||||
Class 1A1, 2.9237% 3/25/34 (l) | $ 144,623 | $ 127,742 | ||
Class 2A2, 3.0586% 3/25/34 (l) | 5,993,017 | 5,472,618 | ||
Series 2004-D Class 2A2, 2.9566% 5/25/34 (l) | 2,041,492 | 1,899,047 | ||
Series 2004-G Class 2A7, 3.195% 8/25/34 (l) | 1,808,965 | 1,574,005 | ||
Series 2004-H Class 2A1, 3.7091% 9/25/34 (l) | 1,650,985 | 1,443,289 | ||
Bayview Commercial Asset Trust Series 2006-3A Class IO, 2.3908% 10/25/36 (f)(l)(n) | 12,079,732 | 942,219 | ||
Bear Stearns ALT-A Trust floater Series 2005-1 Class A1, 0.5438% 1/25/35 (l) | 2,310,889 | 1,816,889 | ||
Bear Stearns Commercial Mortgage Securities Trust: | ||||
Series 2006-BBA7 Class C, 0.5159% 3/15/19 (f)(l) | 350,000 | 298,481 | ||
Series 2006-T24 Class X2, 0.4276% 10/12/41 (f)(l)(n) | 4,530,945 | 50,187 | ||
Chase Mortgage Finance Trust: | ||||
Series 2007-A1 Class 1A5, 3.2363% 2/25/37 (l) | 1,603,363 | 1,535,565 | ||
Series 2007-A2 Class 2A1, 3.4095% 7/25/37 (l) | 380,330 | 363,066 | ||
Citigroup Commercial Mortgage Trust Series 2008-C7 Class A2B, 6.0914% 12/10/49 (l) | 1,902,000 | 2,031,218 | ||
Citigroup Mortgage Loan Trust Series 2004-UST1: | ||||
Class A3, 2.7498% 8/25/34 (l) | 1,635,284 | 1,522,264 | ||
Class A4, 2.489% 8/25/34 (l) | 1,442,421 | 1,368,454 | ||
Cobalt CMBS Commercial Mortgage Trust Series 2007-C2 Class B, 5.617% 4/15/47 (l) | 2,125,000 | 425,000 | ||
COMM pass-thru certificates floater Series 2001-J2A Class A2F, 0.7759% 7/16/34 (f)(l) | 1,902,000 | 1,854,248 | ||
Countrywide Alternative Loan Trust: | ||||
planned amortization class Series 2003-5T2 Class A2, 0.6638% 5/25/33 (l) | 13,960 | 13,831 | ||
Series 2006-OC5N Class N, 7.25% 7/25/37 (f) | 78,237 | 0 | ||
Countrywide Home Loans, Inc.: | ||||
Series 2003-28 Class B3, 5.5% 8/25/33 | 72,728 | 10,909 | ||
Series 2003-35 Class B, 4.6396% 9/25/18 (l) | 120,783 | 12,078 | ||
Credit Suisse First Boston Mortgage Securities Corp.: | ||||
floater Series 2007-AR7 Class 2A1, 2.8818% 11/25/34 (l) | 1,314,897 | 1,267,706 | ||
Series 2003-17 Class B4, 5.389% 6/25/33 (f)(l) | 316,588 | 56,986 | ||
Series 2004-3 Class DB4, 5.8304% 4/25/34 (l) | 75,154 | 1,879 | ||
CWALT, Inc.: | ||||
floater Series 2005-56: | ||||
Class 1A1, 0.9938% 11/25/35 (l) | 34,827,510 | 19,627,179 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (c) | Value | ||
Private Sponsor - continued | ||||
CWALT, Inc.: - continued | ||||
floater Series 2005-56: | ||||
Class 2A3, 1.9017% 11/25/35 (l) | $ 8,427,023 | $ 4,710,189 | ||
Series 2005-56: | ||||
Class 4A1, 0.5738% 11/25/35 (l) | 6,894,762 | 3,940,086 | ||
Class 5A1, 0.5838% 11/25/35 (l) | 10,062,865 | 5,315,946 | ||
DSLA Mortgage Loan Trust Series 2006-AR2 Class 2AB1, 0.3566% 11/19/37 (l) | 56,339 | 55,911 | ||
First Horizon Mortgage pass-thru Trust Series 2004-AR5 Class 2A1, 2.9962% 10/25/34 (l) | 1,938,626 | 1,838,735 | ||
Fosse Master Issuer PLC floater Series 2006-1A: | ||||
Class B2, 0.6847% 10/18/54 (f)(l) | 3,491,000 | 3,414,896 | ||
Class C2, 0.9947% 10/18/54 (f)(l) | 1,170,000 | 1,129,518 | ||
Class M2, 0.7747% 10/18/54 (f)(l) | 2,005,000 | 1,931,818 | ||
Freddie Mac Series 2010 K7 Class B, 5.4341% 4/25/20 (f)(l) | 300,000 | 265,140 | ||
FREMF Mortgage Trust Series 2010-K6 Class B, 5.3574% 12/26/46 (f)(l) | 550,000 | 479,241 | ||
GMAC Commercial Mortgage Securities, Inc. Series 1993-C3 Class L, 6.974% 8/15/36 (f) | 273,987 | 2,603 | ||
GMAC Mortgage Loan Trust Series 2003-J10 Class B2, 4.75% 1/25/19 (f) | 112,452 | 11,245 | ||
Gracechurch Mortgage Financing PLC floater Series 2006-1 Class D2, 0.8155% 11/20/56 (f)(l) | 2,852,000 | 2,694,284 | ||
Gracechurch Mortgage Funding PLC floater Series 1A Class DB, 0.9975% 10/11/41 (f)(l) | 3,114,000 | 3,067,290 | ||
Granite Master Issuer PLC floater: | ||||
Series 2005-4 Class C2, 0.8163% 12/20/54 (l) | 205,017 | 89,182 | ||
Series 2006-1A Class C2, 0.8663% 12/20/54 (f)(l) | 6,523,000 | 2,870,120 | ||
Series 2006-2 Class C1, 0.7363% 12/20/54 (l) | 5,398,000 | 2,402,110 | ||
Series 2006-3 Class C2, 0.7663% 12/20/54 (l) | 1,124,000 | 507,350 | ||
Series 2006-4: | ||||
Class B1, 0.3563% 12/20/54 (l) | 4,521,000 | 3,368,145 | ||
Class C1, 0.6463% 12/20/54 (l) | 2,767,000 | 1,217,480 | ||
Class M1, 0.4363% 12/20/54 (l) | 1,190,000 | 767,550 | ||
Series 2007-1: | ||||
Class 1C1, 0.5663% 12/20/54 (l) | 2,234,000 | 994,130 | ||
Class 1M1, 0.4163% 12/20/54 (l) | 1,493,000 | 955,520 | ||
Class 2C1, 0.6963% 12/20/54 (l) | 1,015,000 | 451,675 | ||
Class 2M1, 0.5163% 12/20/54 (l) | 1,917,000 | 1,226,880 | ||
Series 2007-2 Class 2C1, 0.7019% 12/17/54 (l) | 2,654,000 | 1,154,490 | ||
Granite Mortgages PLC floater Series 2003-3 Class 1C, 2.9713% 1/20/44 (l) | 430,241 | 236,583 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (c) | Value | ||
Private Sponsor - continued | ||||
GSR Mortgage Loan Trust: | ||||
floater Series 2007-AR1 Class 6A1, 4.7728% 3/25/37 (l) | $ 10,185,557 | $ 9,922,841 | ||
Series 2007-AR2 Class 2A1, 3.1041% 4/25/35 (l) | 782,747 | 672,839 | ||
Harborview Mortgage Loan Trust floater Series 2005-2 Class 2A1A, 0.4866% 5/19/35 (l) | 385,030 | 241,807 | ||
JPMorgan Chase Commercial Mortgage Securities Trust Series 2007-CB18: | ||||
Class A1, 5.32% 6/12/47 (l) | 123,497 | 126,115 | ||
Class A3, 5.447% 6/12/47 (l) | 3,606,000 | 3,847,577 | ||
JPMorgan Mortgage Trust: | ||||
sequential payer Series 2006-A5 Class 3A5, 5.9219% 8/25/36 (l) | 2,600,000 | 2,210,499 | ||
Series 2004-A3 Class 4A1, 4.2862% 7/25/34 (l) | 2,250,884 | 2,182,661 | ||
Series 2004-A5 Class 2A1, 2.8213% 12/25/34 (l) | 2,015,898 | 1,835,559 | ||
Series 2006-A2 Class 5A1, 3.3347% 11/25/33 (l) | 3,391,893 | 3,178,182 | ||
LB Commercial Conduit Mortgage Trust Series 1998-C4 Class F, 6% 10/15/35 (f) | 26,448 | 26,652 | ||
LB-UBS Commercial Mortgage Trust sequential payer Series 2006-C6 Class A4, 5.372% 9/15/39 | 857,000 | 924,089 | ||
Luminent Mortgage Trust: | ||||
floater Series 2006-1 Class A1, 0.5038% 4/25/36 (l) | 18,459,255 | 10,202,845 | ||
Series 2006-5 Class A1A, 0.4538% 7/25/36 (l) | 14,442,196 | 7,728,429 | ||
MASTR Adjustable Rate Mortgages Trust Series 2007-3 Class 22A2, 0.4738% 5/25/47 (l) | 3,687,327 | 2,311,229 | ||
MASTR Asset Backed Securities Trust Series 2006-NC3 Class M1, 0.4938% 10/25/36 (l) | 547,000 | 2,615 | ||
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.4338% 2/25/37 (l) | 8,493,813 | 5,668,401 | ||
Merrill Lynch Floating Trust floater Series 2006-1: | ||||
Class B, 0.446% 6/15/22 (f)(l) | 251,984 | 216,706 | ||
Class C, 0.466% 6/15/22 (f)(l) | 1,559,607 | 1,325,666 | ||
Class D, 0.476% 6/15/22 (f)(l) | 600,006 | 498,005 | ||
Class E, 0.486% 6/15/22 (f)(l) | 959,771 | 729,426 | ||
Class F, 0.516% 6/15/22 (f)(l) | 1,545,171 | 1,097,071 | ||
Class G, 0.586% 6/15/22 (f)(l) | 359,765 | 244,640 | ||
Class H, 0.606% 6/15/22 (f)(l) | 720,211 | 453,733 | ||
Class J, 0.646% 6/15/22 (f)(l) | 840,246 | 445,330 | ||
Class TM, 0.776% 6/15/22 (f)(l) | 1,549,424 | 1,340,251 | ||
Merrill Lynch Mortgage Investors Trust: | ||||
Series 1998-C3 Class F, 6% 12/15/30 (f) | 930,000 | 905,076 | ||
Series 2004-A4 Class A1, 2.8028% 8/25/34 (l) | 2,347,930 | 2,229,059 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (c) | Value | ||
Private Sponsor - continued | ||||
Merrill Lynch Mortgage Investors Trust: - continued | ||||
Series 2005-A2 Class A7, 2.8016% 2/25/35 (l) | $ 1,960,183 | $ 1,805,704 | ||
Series 2006-A6 Class A4, 3.5975% 10/25/33 (l) | 1,675,380 | 1,499,242 | ||
Merrill Lynch Mortgage Trust Series 2002-MW1 Class E, 6.219% 7/12/34 (f) | 101,000 | 102,811 | ||
Merrill Lynch-CFC Commercial Mortgage Trust Series 2006-3 Class ASB, 5.382% 7/12/46 (l) | 8,143,000 | 8,706,213 | ||
Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 0.5538% 7/25/35 (l) | 2,467,653 | 1,945,208 | ||
Option One Mortgage Loan Trust floater Series 2007-CP1 Class M1, 0.5638% 3/25/37 (l) | 2,994,072 | 206,765 | ||
Provident Funding Mortgage Loan Trust Series 2005-2 Class 3A, 2.9% 10/25/35 (l) | 3,497,088 | 2,955,046 | ||
RESI Finance LP/RESI Finance DE Corp. floater Series 2003-B: | ||||
Class B5, 2.6434% 7/10/35 (f)(l) | 1,985,779 | 1,105,682 | ||
Class B6, 3.1434% 7/10/35 (f)(l) | 442,756 | 216,331 | ||
Residential Accredit Loans, Inc. floater Series 2005-QO5 Class A1, 1.4017% 1/25/46 (l) | 15,143,171 | 8,252,080 | ||
Residential Asset Mortgage Products, Inc. sequential payer: | ||||
Series 2003-SL1 Class A31, 7.125% 4/25/31 | 1,126,716 | 1,140,318 | ||
Series 2004-SL3 Class A1, 7% 8/25/16 | 77,369 | 75,208 | ||
Residential Funding Securities Corp. floater Series 2003-RP2 Class A1, 0.7138% 6/25/33 (f)(l) | 484,454 | 384,008 | ||
RESIX Finance Ltd. floater Series 2007-A Class BB, 3.6259% 2/15/39 (f)(l) | 65,240 | 111 | ||
Salomon Brothers Mortgage Securities VII, Inc. Series 2006-C2 Class H, 6.308% 7/18/33 (f) | 268,000 | 267,342 | ||
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 1.1948% 7/20/34 (l) | 40,340 | 21,099 | ||
Structured Asset Mortgage Investments, Inc. floater Series 2006-AR6 Class 2A1, 0.4538% 7/25/46 (l) | 29,127,201 | 17,421,556 | ||
Structured Asset Securities Corp.: | ||||
Series 2003-15A Class 4A, 5.3532% 4/25/33 (l) | 693,273 | 671,677 | ||
Series 2003-20 Class 1A1, 5.5% 7/25/33 | 617,012 | 631,218 | ||
TBW Mortgage-Backed pass-thru certificates floater Series 2006-4 Class A3, 0.5288% 9/25/36 (l) | 3,273,627 | 1,868,245 | ||
WaMu Mortgage pass-thru certificates: | ||||
Series 2003-AR8 Class A, 2.8215% 8/25/33 (l) | 1,186,592 | 1,129,715 | ||
Series 2005-AR3 Class A2, 2.727% 3/25/35 (l) | 3,106,840 | 2,722,051 | ||
Wells Fargo Mortgage Backed Securities Trust: | ||||
Series 2003-12 Class B6, 4.75% 11/25/18 (f) | 221,447 | 33,217 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (c) | Value | ||
Private Sponsor - continued | ||||
Wells Fargo Mortgage Backed Securities Trust: - continued | ||||
Series 2004-EE Class 2A2, 2.902% 12/25/34 (l) | $ 1,055,397 | $ 982,610 | ||
Series 2004-H Class A1, 4.5346% 6/25/34 (l) | 2,154,220 | 2,068,322 | ||
Series 2004-W Class A9, 2.9891% 11/25/34 (l) | 3,483,000 | 3,326,041 | ||
Series 2005-AR10 Class 2A2, 2.9141% 6/25/35 (l) | 2,508,372 | 2,418,285 | ||
Series 2005-AR12: | ||||
Class 2A5, 2.9082% 7/25/35 (l) | 9,260,000 | 8,654,447 | ||
Class 2A6, 2.9082% 7/25/35 (l) | 1,091,974 | 1,016,322 | ||
Series 2005-AR2: | ||||
Class 1A2, 2.8803% 3/25/35 (l) | 3,776,637 | 2,146,068 | ||
Class 2A2, 2.8765% 3/25/35 (l) | 3,093,130 | 2,862,511 | ||
Series 2005-AR3 Class 2A1, 2.9468% 3/25/35 (l) | 1,837,041 | 1,656,675 | ||
TOTAL PRIVATE SPONSOR | 234,559,579 | |||
U.S. Government Agency - 0.0% | ||||
Fannie Mae subordinate REMIC pass-thru certificates planned amortization class Series 2002-9 Class PC, 6% 3/25/17 | 381,058 | 412,057 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $197,073,880) | 234,971,636 | |||
Commercial Mortgage Securities - 6.4% | ||||
| ||||
Asset Securitization Corp.: | ||||
Series 1996-D2 Class B1A, 8.6374% 2/14/29 (f)(l) | 800,000 | 776,880 | ||
Series 1997-D4: | ||||
Class B1, 7.525% 4/14/29 | 210,000 | 219,954 | ||
Class B2, 7.525% 4/14/29 | 1,498,104 | 1,550,837 | ||
Class B5, 7.525% 4/14/29 | 129,000 | 83,016 | ||
Series 1997-D5: | ||||
Class A2, 6.8128% 2/14/43 (l) | 1,399,000 | 1,521,095 | ||
Class A3, 6.8628% 2/14/43 (l) | 1,510,000 | 1,638,337 | ||
Class A5, 6.9328% 2/14/43 (l) | 256,000 | 275,727 | ||
Class A6, 7.1828% 2/14/43 (l) | 2,470,000 | 2,640,953 | ||
Class A7, 7.4228% 2/14/43 (l) | 820,000 | 873,384 | ||
Class PS1, 1.387% 2/14/43 (l)(n) | 5,849,348 | 172,395 | ||
Banc of America Commercial Mortgage Trust: | ||||
sequential payer: | ||||
Series 2006-2 Class AAB, 5.7202% 5/10/45 (l) | 2,221,000 | 2,389,961 | ||
Series 2006-4 Class A1, 5.363% 7/10/46 (l) | 342,144 | 344,519 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (c) | Value | ||
Banc of America Commercial Mortgage Trust: - continued | ||||
sequential payer: | ||||
Series 2006-5: | ||||
Class A1, 5.185% 9/10/47 | $ 814,862 | $ 820,947 | ||
Class A2, 5.317% 9/10/47 | 7,342,000 | 7,692,014 | ||
Class A3, 5.39% 9/10/47 | 2,653,000 | 2,861,396 | ||
Series 2006-6 Class A3, 5.369% 10/10/45 | 3,804,000 | 3,966,996 | ||
Series 2007-2 Class A1, 5.421% 4/10/49 | 444,304 | 456,800 | ||
Series 2007-4 Class A3, 5.811% 2/10/51 (l) | 1,897,000 | 2,044,458 | ||
Series 2006-6 Class E, 5.619% 10/10/45 (f) | 1,098,000 | 200,318 | ||
Series 2007-3: | ||||
Class A3, 5.6578% 6/10/49 (l) | 3,176,000 | 3,402,940 | ||
Class A4, 5.6578% 6/10/49 (l) | 3,965,000 | 3,990,256 | ||
Series 2008-1 Class D, 6.4159% 2/10/51 (f)(l) | 125,000 | 40,620 | ||
Banc of America Commercial Mortgage, Inc.: | ||||
sequential payer: | ||||
Series 2001-1 Class A4, 5.451% 1/15/49 | 4,166,000 | 4,339,834 | ||
Series 2002-2 Class F, 5.487% 7/11/43 | 415,000 | 399,457 | ||
Series 2004-2: | ||||
Class A3, 4.05% 11/10/38 | 2,097,672 | 2,125,097 | ||
Class A4, 4.153% 11/10/38 | 2,412,000 | 2,493,303 | ||
Series 2004-4 Class A3, 4.128% 7/10/42 | 118,932 | 118,851 | ||
Series 2005-1 Class A3, 4.877% 11/10/42 | 3,450,837 | 3,467,363 | ||
Series 2006-1 Class A1, 5.219% 9/10/45 (l) | 1,199,820 | 1,203,937 | ||
Series 2007-1 Class A2, 5.381% 1/15/49 | 4,040,000 | 4,169,308 | ||
Series 2001-3 Class H, 6.562% 4/11/37 (f) | 1,472,000 | 1,456,505 | ||
Series 2001-PB1: | ||||
Class J, 7.166% 5/11/35 (f) | 474,000 | 456,262 | ||
Class K, 6.15% 5/11/35 (f) | 885,000 | 797,352 | ||
Series 2003-1 Class G, 5.608% 9/11/36 (f) | 310,000 | 304,070 | ||
Series 2003-2 Class XP, 0.307% 3/11/41 (f)(l)(n) | 16,252,068 | 10,676 | ||
Series 2004-1 Class F, 5.279% 11/10/39 (f) | 185,000 | 142,586 | ||
Series 2004-4: | ||||
Class K, 4.637% 7/10/42 (f)(l) | 300,000 | 1,170 | ||
Class L, 4.637% 7/10/42 (f)(l) | 280,000 | 504 | ||
Series 2004-5 Class G, 5.3157% 11/10/41 (f)(l) | 195,000 | 115,537 | ||
Series 2005-1 Class CJ, 5.1705% 11/10/42 (l) | 550,000 | 534,378 | ||
Series 2005-3 Series A3B, 5.09% 7/10/43 (l) | 5,908,000 | 6,314,511 | ||
Series 2005-6: | ||||
Class A3, 5.1778% 9/10/47 (l) | 3,423,000 | 3,536,015 | ||
Class AJ, 5.1778% 9/10/47 (l) | 300,000 | 274,926 | ||
Series 2007-1 Class B, 5.543% 1/15/49 | 1,146,000 | 375,943 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (c) | Value | ||
Banc of America Large Loan, Inc. floater: | ||||
sequential payer: | ||||
Series 2005-MIB1: | ||||
Class B, 0.5359% 3/15/22 (f)(l) | $ 390,000 | $ 339,573 | ||
Class C, 0.5859% 3/15/22 (f)(l) | 817,000 | 669,940 | ||
Class D, 0.6359% 3/15/22 (f)(l) | 826,000 | 644,280 | ||
Class E, 0.6759% 3/15/22 (f)(l) | 684,000 | 513,479 | ||
Class F, 0.7459% 3/15/22 (f)(l) | 615,784 | 431,049 | ||
Class G, 0.8059% 3/15/22 (f)(l) | 399,119 | 259,427 | ||
Class J, 1.3259% 3/15/22 (f)(l) | 288,000 | 187,200 | ||
Series 2006-BIX1: | ||||
Class C, 0.4559% 10/15/19 (f)(l) | 1,222,000 | 1,014,260 | ||
Class D, 0.4859% 10/15/19 (f)(l) | 1,494,000 | 1,254,960 | ||
Class E, 0.5159% 10/15/19 (f)(l) | 1,385,000 | 1,147,057 | ||
Class F, 0.5859% 10/15/19 (f)(l) | 3,150,730 | 2,534,132 | ||
Class G, 0.6059% 10/15/19 (f)(l) | 1,245,579 | 867,670 | ||
Bayview Commercial Asset Trust: | ||||
floater: | ||||
Series 2003-2 Class M1, 1.1138% 12/25/33 (f)(l) | 81,882 | 48,310 | ||
Series 2004-1: | ||||
Class A, 0.6238% 4/25/34 (f)(l) | 1,447,099 | 1,143,208 | ||
Class B, 2.1638% 4/25/34 (f)(l) | 162,240 | 81,120 | ||
Class M1, 0.8238% 4/25/34 (f)(l) | 130,261 | 88,577 | ||
Class M2, 1.4638% 4/25/34 (f)(l) | 120,343 | 68,596 | ||
Series 2004-2: | ||||
Class A, 0.6938% 8/25/34 (f)(l) | 1,138,710 | 899,581 | ||
Class M1, 0.8438% 8/25/34 (f)(l) | 191,677 | 120,756 | ||
Series 2004-3: | ||||
Class A1, 0.6338% 1/25/35 (f)(l) | 2,568,342 | 2,003,306 | ||
Class A2, 0.6838% 1/25/35 (f)(l) | 368,554 | 239,560 | ||
Class M1, 0.7638% 1/25/35 (f)(l) | 443,356 | 285,964 | ||
Class M2, 1.2638% 1/25/35 (f)(l) | 205,441 | 127,374 | ||
Series 2005-2A: | ||||
Class A1, 0.5738% 8/25/35 (f)(l) | 1,981,934 | 1,478,523 | ||
Class M1, 0.6938% 8/25/35 (f)(l) | 98,703 | 56,764 | ||
Class M2, 0.7438% 8/25/35 (f)(l) | 162,793 | 89,927 | ||
Class M3, 0.7638% 8/25/35 (f)(l) | 90,069 | 45,863 | ||
Class M4, 0.8738% 8/25/35 (f)(l) | 82,680 | 39,306 | ||
Series 2005-3A: | ||||
Class A1, 0.5838% 11/25/35 (f)(l) | 724,981 | 539,603 | ||
Class A2, 0.6638% 11/25/35 (f)(l) | 718,453 | 463,402 | ||
Class M1, 0.7038% 11/25/35 (f)(l) | 85,747 | 43,619 | ||
Class M2, 0.7538% 11/25/35 (f)(l) | 108,865 | 51,286 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (c) | Value | ||
Bayview Commercial Asset Trust: - continued | ||||
floater: | ||||
Series 2005-3A: | ||||
Class M3, 0.7738% 11/25/35 (f)(l) | $ 97,432 | $ 44,195 | ||
Class M4, 0.8638% 11/25/35 (f)(l) | 121,391 | 52,113 | ||
Series 2005-4A: | ||||
Class A2, 0.6538% 1/25/36 (f)(l) | 1,683,218 | 1,077,260 | ||
Class B1, 1.6638% 1/25/36 (f)(l) | 145,459 | 48,001 | ||
Class M1, 0.7138% 1/25/36 (f)(l) | 542,974 | 282,346 | ||
Class M2, 0.7338% 1/25/36 (f)(l) | 162,892 | 79,817 | ||
Class M3, 0.7638% 1/25/36 (f)(l) | 237,891 | 109,430 | ||
Class M4, 0.8738% 1/25/36 (f)(l) | 131,567 | 52,627 | ||
Class M5, 0.9138% 1/25/36 (f)(l) | 131,567 | 50,653 | ||
Class M6, 0.9638% 1/25/36 (f)(l) | 139,739 | 50,306 | ||
Series 2006-1: | ||||
Class A2, 0.6238% 4/25/36 (f)(l) | 256,717 | 172,000 | ||
Class M1, 0.6438% 4/25/36 (f)(l) | 91,817 | 45,798 | ||
Class M2, 0.6638% 4/25/36 (f)(l) | 97,010 | 46,526 | ||
Class M3, 0.6838% 4/25/36 (f)(l) | 83,470 | 36,168 | ||
Class M4, 0.7838% 4/25/36 (f)(l) | 47,300 | 17,998 | ||
Class M5, 0.8238% 4/25/36 (f)(l) | 45,908 | 17,528 | ||
Class M6, 0.9038% 4/25/36 (f)(l) | 91,538 | 35,187 | ||
Series 2006-2A: | ||||
Class A1, 0.4938% 7/25/36 (f)(l) | 4,653,315 | 3,594,685 | ||
Class A2, 0.5438% 7/25/36 (f)(l) | 230,216 | 156,662 | ||
Class B1, 1.1338% 7/25/36 (f)(l) | 86,196 | 22,342 | ||
Class B3, 2.9638% 7/25/36 (f)(l) | 130,229 | 24,131 | ||
Class M1, 0.5738% 7/25/36 (f)(l) | 241,544 | 114,830 | ||
Class M2, 0.5938% 7/25/36 (f)(l) | 170,421 | 77,916 | ||
Class M3, 0.6138% 7/25/36 (f)(l) | 141,361 | 58,029 | ||
Class M4, 0.6838% 7/25/36 (f)(l) | 95,456 | 37,982 | ||
Class M5, 0.7338% 7/25/36 (f)(l) | 117,324 | 42,190 | ||
Class M6, 0.8038% 7/25/36 (f)(l) | 175,051 | 54,598 | ||
Series 2006-3A: | ||||
Class B1, 1.0638% 10/25/36 (f)(l) | 153,228 | 30,646 | ||
Class B2, 1.6138% 10/25/36 (f)(l) | 110,517 | 19,341 | ||
Class B3, 2.8638% 10/25/36 (f)(l) | 179,849 | 28,776 | ||
Class M4, 0.6938% 10/25/36 (f)(l) | 169,345 | 54,190 | ||
Class M5, 0.7438% 10/25/36 (f)(l) | 202,730 | 56,765 | ||
Class M6, 0.8238% 10/25/36 (f)(l) | 396,827 | 95,238 | ||
Series 2006-4A: | ||||
Class A1, 0.4938% 12/25/36 (f)(l) | 879,858 | 654,175 | ||
Class A2, 0.5338% 12/25/36 (f)(l) | 4,476,943 | 2,845,993 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (c) | Value | ||
Bayview Commercial Asset Trust: - continued | ||||
floater: | ||||
Series 2006-4A: | ||||
Class B1, 0.9638% 12/25/36 (f)(l) | $ 136,886 | $ 33,031 | ||
Class B2, 1.5138% 12/25/36 (f)(l) | 139,528 | 27,208 | ||
Class B3, 2.7138% 12/25/36 (f)(l) | 237,606 | 26,731 | ||
Class M1, 0.5538% 12/25/36 (f)(l) | 286,388 | 134,173 | ||
Class M2, 0.5738% 12/25/36 (f)(l) | 190,925 | 81,907 | ||
Class M3, 0.6038% 12/25/36 (f)(l) | 193,596 | 75,754 | ||
Class M4, 0.6638% 12/25/36 (f)(l) | 231,647 | 82,466 | ||
Class M5, 0.7038% 12/25/36 (f)(l) | 212,955 | 71,510 | ||
Class M6, 0.7838% 12/25/36 (f)(l) | 190,925 | 60,810 | ||
Series 2007-1: | ||||
Class A2, 0.5338% 3/25/37 (f)(l) | 976,666 | 615,300 | ||
Class B1, 0.9338% 3/25/37 (f)(l) | 310,738 | 68,362 | ||
Class B2, 1.4138% 3/25/37 (f)(l) | 225,301 | 41,681 | ||
Class B3, 3.6138% 3/25/37 (f)(l) | 616,916 | 92,537 | ||
Class M1, 0.5338% 3/25/37 (f)(l) | 273,413 | 123,036 | ||
Class M2, 0.5538% 3/25/37 (f)(l) | 204,208 | 79,641 | ||
Class M3, 0.5838% 3/25/37 (f)(l) | 181,105 | 63,387 | ||
Class M4, 0.6338% 3/25/37 (f)(l) | 145,550 | 46,576 | ||
Class M5, 0.6838% 3/25/37 (f)(l) | 227,206 | 65,890 | ||
Class M6, 0.7638% 3/25/37 (f)(l) | 318,104 | 77,936 | ||
Series 2007-2A: | ||||
Class A1, 0.5338% 7/25/37 (f)(l) | 869,083 | 608,358 | ||
Class A2, 0.5838% 7/25/37 (f)(l) | 812,041 | 422,261 | ||
Class B1, 1.8638% 7/25/37 (f)(l) | 250,086 | 37,513 | ||
Class B2, 2.5138% 7/25/37 (f)(l) | 216,518 | 32,478 | ||
Class B3, 3.6138% 7/25/37 (f)(l) | 243,430 | 31,646 | ||
Class M1, 0.6338% 7/25/37 (f)(l) | 285,143 | 108,354 | ||
Class M2, 0.6738% 7/25/37 (f)(l) | 155,814 | 46,744 | ||
Class M3, 0.7538% 7/25/37 (f)(l) | 157,987 | 36,337 | ||
Class M4, 0.9138% 7/25/37 (f)(l) | 311,919 | 62,384 | ||
Class M5, 1.0138% 7/25/37 (f)(l) | 274,963 | 46,744 | ||
Class M6, 1.2638% 7/25/37 (f)(l) | 348,635 | 54,038 | ||
Series 2007-3: | ||||
Class A2, 0.5538% 7/25/37 (f)(l) | 914,846 | 558,239 | ||
Class B1, 1.2138% 7/25/37 (f)(l) | 222,359 | 50,431 | ||
Class B2, 1.8638% 7/25/37 (f)(l) | 556,445 | 121,583 | ||
Class B3, 4.2638% 7/25/37 (f)(l) | 295,606 | 60,984 | ||
Class M1, 0.5738% 7/25/37 (f)(l) | 198,696 | 89,135 | ||
Class M2, 0.6038% 7/25/37 (f)(l) | 212,966 | 78,776 | ||
Class M3, 0.6338% 7/25/37 (f)(l) | 335,582 | 108,259 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (c) | Value | ||
Bayview Commercial Asset Trust: - continued | ||||
floater: | ||||
Series 2007-3: | ||||
Class M4, 0.7638% 7/25/37 (f)(l) | $ 526,914 | $ 158,232 | ||
Class M5, 0.8638% 7/25/37 (f)(l) | 273,310 | 77,292 | ||
Class M6, 1.0638% 7/25/37 (f)(l) | 208,406 | 49,955 | ||
Series 2007-4A: | ||||
Class B1, 2.8138% 9/25/37 (f)(l) | 331,217 | 33,122 | ||
Class B2, 3.7138% 9/25/37 (f)(l) | 1,205,075 | 108,457 | ||
Class M1, 1.2138% 9/25/37 (f)(l) | 318,490 | 85,992 | ||
Class M2, 1.3138% 9/25/37 (f)(l) | 318,490 | 73,253 | ||
Class M4, 1.8638% 9/25/37 (f)(l) | 814,589 | 146,626 | ||
Class M5, 2.0138% 9/25/37 (f)(l) | 814,589 | 122,188 | ||
Class M6, 2.2138% 9/25/37 (f)(l) | 816,170 | 97,940 | ||
Series 2004-1 Class IO, 1.25% 4/25/34 (f)(n) | 4,703,389 | 157,564 | ||
Series 2007-5A Class IO, 3.047% 10/25/37 (f)(l)(n) | 10,714,505 | 1,157,167 | ||
Bear Stearns Commercial Mortgage Securities, Inc. Series 2006-PW11 Class AJ, 5.6234% 3/11/39 (l) | 450,000 | 399,179 | ||
Bear Stearns Commercial Mortgage Securities Trust: | ||||
floater: | ||||
Series 2006-BBA7: | ||||
Class D, 0.5359% 3/15/19 (f)(l) | 200,000 | 169,173 | ||
Class E, 0.5959% 3/15/19 (f)(l) | 365,000 | 299,101 | ||
Class F, 0.6159% 3/15/19 (f)(l) | 160,000 | 125,770 | ||
Class G, 0.7159% 3/15/19 (f)(l) | 1,020,386 | 745,872 | ||
Class H, 0.9259% 3/15/19 (f)(l) | 541,917 | 304,341 | ||
Class J, 1.1259% 3/15/19 (f)(l) | 407,118 | 219,641 | ||
Series 2007-BBA8: | ||||
Class D, 0.5259% 3/15/22 (f)(l) | 655,330 | 380,091 | ||
Class E, 0.5759% 3/15/22 (f)(l) | 3,607,157 | 1,983,936 | ||
Class F, 0.6259% 3/15/22 (f)(l) | 2,235,922 | 1,140,320 | ||
Class G, 0.6759% 3/15/22 (f)(l) | 537,549 | 258,024 | ||
Class H, 0.8259% 3/15/22 (f)(l) | 655,330 | 262,132 | ||
Class J, 0.9759% 3/15/22 (f)(l) | 655,330 | 209,706 | ||
sequential payer: | ||||
Series 2003-PWR2 Class A3, 4.834% 5/11/39 | 670,528 | 682,081 | ||
Series 2004-PWR3 Class A3, 4.487% 2/11/41 | 1,902,925 | 1,933,895 | ||
Series 2006-PW14 Class AM, 5.243% 12/11/38 | 600,000 | 566,892 | ||
Series 2006-T24 Class A1, 4.905% 10/12/41 (l) | 1,532,220 | 1,559,889 | ||
Series 2007-PW16 Class A4, 5.7172% 6/11/40 (l) | 1,112,000 | 1,171,472 | ||
Series 2007-PW17 Class A1, 5.282% 6/11/50 | 892,295 | 910,745 | ||
Series 2007-T26 Class A1, 5.145% 1/12/45 (l) | 498,561 | 510,803 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (c) | Value | ||
Bear Stearns Commercial Mortgage Securities Trust: - continued | ||||
Series 1999-C1: | ||||
Class G, 5.64% 2/14/31 (f) | $ 70,000 | $ 64,139 | ||
Class I, 5.64% 2/14/31 (f) | 205,000 | 63,720 | ||
Series 2003-PWR2 Class X2, 0.4686% 5/11/39 (f)(l)(n) | 14,745,455 | 77,585 | ||
Series 2006-PW13 Class A3, 5.518% 9/11/41 | 6,714,000 | 7,116,337 | ||
Series 2006-PW14 Class X2, 0.6529% 12/11/38 (f)(l)(n) | 25,773,245 | 462,351 | ||
Series 2006-T22: | ||||
Class A4, 5.4623% 4/12/38 (l) | 237,000 | 262,020 | ||
Class B, 5.4623% 4/12/38 (f)(l) | 200,000 | 168,511 | ||
Series 2007-BBA8: | ||||
Class K, 1.4759% 3/15/22 (f)(l) | 120,000 | 32,400 | ||
Class L, 2.1759% 3/15/22 (f)(l) | 253,568 | 55,785 | ||
Series 2007-PW15 Class A1, 5.016% 2/11/44 | 417,961 | 427,490 | ||
Series 2007-PW16: | ||||
Class B, 5.7172% 6/11/40 (f)(l) | 304,000 | 109,502 | ||
Class C, 5.7172% 6/11/40 (f)(l) | 255,000 | 79,093 | ||
Class D, 5.7172% 6/11/40 (f)(l) | 255,000 | 67,292 | ||
Series 2007-PW18 Class X2, 0.3206% 6/11/50 (f)(l)(n) | 177,669,388 | 2,278,059 | ||
Series 2007-T28: | ||||
Class A1, 5.422% 9/11/42 | 279,634 | 289,179 | ||
Class X2, 0.1751% 9/11/42 (f)(l)(n) | 88,855,592 | 692,967 | ||
C-BASS Trust floater Series 2006-SC1 Class A, 0.5338% 5/25/36 (f)(l) | 925,172 | 546,311 | ||
CDC Commercial Mortgage Trust Series 2002-FX1: | ||||
Class G, 6.625% 5/15/35 (f) | 2,235,000 | 2,409,259 | ||
Class XCL, 2.1172% 5/15/35 (f)(l)(n) | 24,788,523 | 692,153 | ||
Chase Commercial Mortgage Securities Corp.: | ||||
Series 1998-1 Class H, 6.34% 5/18/30 (f) | 800,000 | 608,718 | ||
Series 1998-2 Class J, 6.39% 11/18/30 (f) | 489,107 | 104,082 | ||
Series 1999-2: | ||||
Class E, 7.734% 1/15/32 | 82,554 | 82,335 | ||
Class F, 7.734% 1/15/32 | 413,000 | 411,573 | ||
Series 2001-245 Class A2, 6.275% 2/12/16 (f)(l) | 1,888,017 | 1,919,168 | ||
Chase Manhattan Bank-First Union National Bank Commercial Mortgage Trust Series 1999-1 Class G, 6.4% 8/15/31 (f) | 290,000 | 301,293 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (c) | Value | ||
Citigroup Commercial Mortgage Trust: | ||||
floater: | ||||
Series 2006-FL2: | ||||
Class F, 0.5819% 8/15/21 (f)(l) | $ 678,000 | $ 593,853 | ||
Class G, 0.6019% 8/15/21 (f)(l) | 542,222 | 437,980 | ||
Class H, 0.6419% 8/15/21 (f)(l) | 433,548 | 324,472 | ||
Series 2007-FL3A: | ||||
Class MLA1, 1.0759% 4/15/22 (f)(l) | 291,000 | 243,812 | ||
Classs MLA2, 1.3259% 4/15/22 (f)(l) | 129,000 | 105,320 | ||
sequential payer Series 2006-C5 Class A4, 5.431% 10/15/49 | 9,955,000 | 10,704,243 | ||
Series 2006-C5 Class AMP2, 5.5005% 10/15/49 (f) | 3,198,044 | 2,956,826 | ||
Series 2007-C6: | ||||
Class A1, 5.622% 12/10/49 (l) | 10,665,557 | 10,857,275 | ||
Class A4, 5.6985% 12/10/49 (l) | 5,830,000 | 6,204,389 | ||
Series 2007-FL3A Class A2, 0.4159% 4/15/22 (f)(l) | 6,878,000 | 5,916,260 | ||
Citigroup/Deutsche Bank Commercial Mortgage Trust: | ||||
sequential payer Series 2007-CD4: | ||||
Class A1, 4.977% 12/11/49 | 321,603 | 324,829 | ||
Class A2A, 5.237% 12/11/49 | 11,693,000 | 12,023,889 | ||
Class A4, 5.322% 12/11/49 | 10,093,000 | 10,282,783 | ||
Series 2007-CD4: | ||||
Class A3, 5.293% 12/11/49 | 1,852,000 | 1,958,018 | ||
Class C, 5.476% 12/11/49 | 3,581,000 | 1,002,680 | ||
Claregold Trust Series 2007-2A: | ||||
Class F, 5.01% 5/15/44 (f)(l) | CAD | 138,000 | 71,343 | |
Class G, 5.01% 5/15/44 (f)(l) | CAD | 30,000 | 13,921 | |
Class H, 5.01% 5/15/44 (f)(l) | CAD | 20,000 | 7,834 | |
Class J, 5.01% 5/15/44 (f)(l) | CAD | 20,000 | 7,135 | |
Class K, 5.01% 5/15/44 (f)(l) | CAD | 10,000 | 2,986 | |
Class L, 5.01% 5/15/44 (f)(l) | CAD | 36,000 | 9,879 | |
Class M, 5.01% 5/15/44 (f)(l) | CAD | 165,000 | 41,732 | |
Cobalt CMBS Commercial Mortgage Trust: | ||||
sequential payer Series 2007-C3 Class A3, 5.8179% 5/15/46 (l) | 1,902,000 | 2,033,310 | ||
Series 2006-C1 Class B, 5.359% 8/15/48 | 5,706,000 | 798,840 | ||
COMM pass-thru certificates: | ||||
floater: | ||||
Series 2005-F10A: | ||||
Class B, 0.5059% 4/15/17 (f)(l) | 4,261,000 | 3,621,850 | ||
Class C, 0.5459% 4/15/17 (f)(l) | 1,531,000 | 1,255,420 | ||
Class D, 0.5859% 4/15/17 (f)(l) | 950,056 | 741,044 | ||
Class E, 0.6459% 4/15/17 (f)(l) | 802,445 | 601,834 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (c) | Value | ||
COMM pass-thru certificates: - continued | ||||
floater: | ||||
Series 2005-F10A: | ||||
Class F, 0.6859% 4/15/17 (f)(l) | $ 171,562 | $ 118,378 | ||
Class G, 0.8259% 4/15/17 (f)(l) | 171,562 | 108,084 | ||
Class H, 0.8959% 4/15/17 (f)(l) | 171,562 | 89,212 | ||
Class J, 1.1259% 4/15/17 (f)(l) | 131,565 | 52,626 | ||
Series 2005-FL11: | ||||
Class B, 0.5259% 11/15/17 (f)(l) | 232,354 | 220,736 | ||
Class C, 0.5759% 11/15/17 (f)(l) | 1,913,631 | 1,760,540 | ||
Class D, 0.6159% 11/15/17 (f)(l) | 99,518 | 89,566 | ||
Class E, 0.6659% 11/15/17 (f)(l) | 353,792 | 307,799 | ||
Class F, 0.7259% 11/15/17 (f)(l) | 245,114 | 200,994 | ||
Class G, 0.7759% 11/15/17 (f)(l) | 169,901 | 118,931 | ||
Series 2006-FL12 Class AJ, 0.4059% 12/15/20 (f)(l) | 2,710,000 | 2,249,300 | ||
sequential payer: | ||||
Series 2005-C6 Class A2, 4.999% 6/10/44 (l) | 28,687 | 28,668 | ||
Series 2006-C8 Class A3, 5.31% 12/10/46 | 5,420,000 | 5,647,875 | ||
Series 2006-CN2A Class A2FX, 5.449% 2/5/19 (f) | 3,216,000 | 3,226,318 | ||
Series 2007-C9 Class A4, 5.8157% 12/10/49 (l) | 4,209,000 | 4,555,588 | ||
Series 2001-J1A Class F, 6.958% 2/16/34 (f) | 600,000 | 605,247 | ||
Series 2001-J2A Class F, 7.0306% 7/16/34 (f)(l) | 199,000 | 167,245 | ||
Series 2004-LBN2 Class X2, 0.8492% 3/10/39 (f)(l)(n) | 3,747,116 | 13,653 | ||
Series 2006-C8: | ||||
Class B, 5.44% 12/10/46 | 3,294,000 | 1,026,809 | ||
Class XP, 0.4814% 12/10/46 (l)(n) | 20,651,829 | 303,433 | ||
Commercial Mortgage Acceptance Corp.: | ||||
Series 1998-C1: | ||||
Class F, 6.23% 7/15/31 (f) | 98,665 | 101,030 | ||
Class G, 6.21% 7/15/31 (f) | 554,000 | 566,045 | ||
weighted average coupon Series 1998-C2 Class F, 5.44% 9/15/30 (f)(l) | 204,930 | 212,347 | ||
Commercial Mortgage Asset Trust: | ||||
Series 1999-C1 Class F, 6.25% 1/17/32 (f) | 550,000 | 460,748 | ||
Series 1999-C2 Class G, 6% 11/17/32 | 302,000 | 293,628 | ||
Credit Suisse Commercial Mortgage Trust: | ||||
sequential payer: | ||||
Series 2006-C4 Class A3, 5.467% 9/15/39 | 17,590,000 | 18,250,274 | ||
Series 2006-C5: | ||||
Class A1, 5.297% 12/15/39 | 76,945 | 77,044 | ||
Class AJ, 5.373% 12/15/39 | 3,852,000 | 2,435,370 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (c) | Value | ||
Credit Suisse Commercial Mortgage Trust: - continued | ||||
sequential payer: | ||||
Series 2007-C2: | ||||
Class A1, 5.269% 1/15/49 | $ 37,660 | $ 37,819 | ||
Class A2, 5.448% 1/15/49 (l) | 10,150,000 | 10,406,568 | ||
Class A3, 5.542% 1/15/49 (l) | 3,804,000 | 3,782,204 | ||
Series 2007-C3: | ||||
Class A1, 5.664% 6/15/39 (l) | 13,235 | 13,221 | ||
Class A4, 5.7223% 6/15/39 (l) | 1,144,000 | 1,135,584 | ||
Series 2006-C4 Class AAB, 5.439% 9/15/39 | 10,824,000 | 11,561,991 | ||
Series 2006-C5 Class ASP, 0.6707% 12/15/39 (l)(n) | 13,910,240 | 206,146 | ||
Series 2007-C5 Class A4, 5.695% 9/15/40 (l) | 1,722,000 | 1,719,580 | ||
Credit Suisse First Boston Mortgage Capital Certificates floater Series 2007-TF2A Class B, 0.6259% 4/15/22 (f)(l) | 6,783,000 | 2,713,200 | ||
Credit Suisse First Boston Mortgage Securities Corp.: | ||||
floater Series 2006-TF2A Class KER, 0.8759% 9/15/21 (f)(l) | 270,312 | 195,543 | ||
sequential payer: | ||||
Series 2001-CK6 Class B, 6.582% 8/15/36 | 1,902,000 | 1,988,649 | ||
Series 2002-CP5 Class A1, 4.106% 12/15/35 | 137,212 | 140,474 | ||
Series 2004-C1: | ||||
Class A3, 4.321% 1/15/37 | 471,381 | 477,932 | ||
Class A4, 4.75% 1/15/37 | 884,000 | 921,198 | ||
Series 1997-C2 Class F, 7.46% 1/17/35 (l) | 929,000 | 1,027,438 | ||
Series 1998-C1: | ||||
Class D, 7.17% 5/17/40 | 106,971 | 107,711 | ||
Class F, 6% 5/17/40 (f) | 659,000 | 656,763 | ||
Class H, 6% 5/17/40 (f) | 130,000 | 11,597 | ||
Series 1998-C2 Class F, 6.75% 11/11/30 (f) | 470,000 | 478,738 | ||
Series 1999-C1 Class E, 7.8879% 9/15/41 (l) | 163,845 | 163,452 | ||
Series 2001-CK6 Class AX, 0.8793% 8/15/36 (l)(n) | 5,070,486 | 39,736 | ||
Series 2001-CKN5 Class AX, 1.9642% 9/15/34 (f)(l)(n) | 15,264,879 | 189,767 | ||
Series 2001-SPGA Class C, 6.809% 8/13/18 (f) | 230,000 | 219,747 | ||
Series 2003-C3: | ||||
Class D, 4.131% 5/15/38 | 120,000 | 118,671 | ||
Class J, 4.231% 5/15/38 (f) | 300,000 | 179,225 | ||
Series 2003-C4 Class ASP, 0.4351% 8/15/36 (f)(l)(n) | 12,258,479 | 196 | ||
Series 2006-C1 Class A3, 5.5486% 2/15/39 (l) | 10,043,000 | 10,870,985 | ||
Credit Suisse Mortgage Capital Certificates: | ||||
floater Series 2007-TFL1: | ||||
Class B, 0.4259% 2/15/22 (f)(l) | 721,000 | 483,070 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (c) | Value | ||
Credit Suisse Mortgage Capital Certificates: - continued | ||||
floater Series 2007-TFL1: | ||||
Class C: | ||||
0.4459% 2/15/22 (f)(l) | $ 1,864,711 | $ 1,062,885 | ||
0.5459% 2/15/22 (f)(l) | 665,993 | 306,357 | ||
Class F, 0.5959% 2/15/22 (f)(l) | 1,331,815 | 546,044 | ||
Class L, 2.1759% 2/15/22 (f)(l) | 100,000 | 2,000 | ||
sequential payer Series 2007-C1: | ||||
Class A1, 5.227% 2/15/40 | 109,867 | 111,289 | ||
Class A2, 5.268% 2/15/40 | 18,300,000 | 18,898,112 | ||
Series 2007-C1: | ||||
Class ASP, 0.4159% 2/15/40 (l)(n) | 35,608,965 | 408,656 | ||
Class B, 5.487% 2/15/40 (f)(l) | 2,907,000 | 348,840 | ||
Credit Suisse/Morgan Stanley Commercial Mortgage Trust: | ||||
floater Series 2006-HC1A: | ||||
Class A2, 0.5359% 5/15/23 (f)(l) | 450,000 | 427,452 | ||
Class D, 0.7459% 5/15/23 (f)(l) | 170,000 | 157,223 | ||
Class F, 0.8759% 5/15/23 (f)(l) | 140,000 | 127,340 | ||
Series 2006-HC1A Class C, 0.6759% 5/15/23 (f)(l) | 355,000 | 331,057 | ||
Crest Ltd. Series 2001-1A Class C, 9% 2/25/34 (f) | 500,000 | 220,000 | ||
Deutsche Mortgage & Asset Receiving Corp. Series 1998-C1 Class J, 6.22% 6/15/31 | 400,000 | 331,540 | ||
DLJ Commercial Mortgage Corp.: | ||||
Series 1998-CG1 Class B4, 7.2267% 6/10/31 (f)(l) | 891,000 | 975,248 | ||
Series 2000-CKP1 Class B3, 8.1791% 11/10/33 (l) | 230,000 | 229,552 | ||
First Union National Bank Commercial Mortgage Trust Series 2001-C4: | ||||
Class H, 7.036% 12/12/33 (f) | 770,000 | 777,846 | ||
Class K, 6% 12/12/33 (f) | 520,000 | 507,508 | ||
First Union National Bank-Bank of America Commercial Mortgage Trust Series 2001-C1: | ||||
Class D, 6.484% 3/15/33 | 679,000 | 687,075 | ||
Class G, 6.936% 3/15/33 (f) | 1,252,000 | 1,252,228 | ||
Class H, 7.039% 3/15/33 (f) | 63,000 | 62,908 | ||
First Union-Lehman Brothers-Bank of America Commercial Mortgage Trust sequential payer Series 1998-C2 Class G, 7% 11/18/35 (f)(l) | 443,000 | 463,727 | ||
Four Times Square Trust sequential payer Series 2006-4TS Class A, 5.401% 12/13/28 (f) | 200,000 | 221,078 | ||
G-Force LLC sequential payer Series 2005-RRA Class A2, 4.83% 8/22/36 (f) | 625,000 | 584,375 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (c) | Value | ||
GE Capital Commercial Mortgage Corp.: | ||||
sequential payer: | ||||
Series 2000-1 Class A2, 6.496% 1/15/33 | $ 242,872 | $ 244,511 | ||
Series 2007-C1 Class A4, 5.543% 12/10/49 | 11,404,000 | 11,419,597 | ||
Series 2001-1 Class X1, 1.0321% 5/15/33 (f)(l)(n) | 18,284,871 | 80,808 | ||
Series 2001-3 Class C, 6.51% 6/10/38 | 287,000 | 292,260 | ||
Series 2002-1A Class H, 7.1591% 12/10/35 (f)(l) | 65,000 | 62,940 | ||
Series 2004-C1 Class X2, 1.1164% 11/10/38 (f)(l)(n) | 9,952,835 | 38,869 | ||
Series 2005-C1 Class B, 4.846% 6/10/48 (l) | 543,000 | 385,731 | ||
Series 2007-C1 Class XP, 0.2009% 12/10/49 (l)(n) | 37,275,811 | 232,400 | ||
GMAC Commercial Mortgage Securities, Inc.: | ||||
Series 1997-C1 Class H, 6.6% 7/15/29 | 468,006 | 115,509 | ||
Series 1997-C2: | ||||
Class F, 6.75% 4/15/29 (l) | 1,068,773 | 1,122,726 | ||
Class G, 6.75% 4/15/29 (l) | 504,000 | 515,472 | ||
Series 1999-C1 Class F, 6.02% 5/15/33 (f) | 540,000 | 530,192 | ||
Series 1999-C2I Class K, 6.481% 9/15/33 (o) | 385,000 | 21,560 | ||
Series 1999-C3: | ||||
Class G, 6.974% 8/15/36 (f) | 133,630 | 134,180 | ||
Class J, 6.974% 8/15/36 (f) | 226,000 | 225,990 | ||
Class K, 6.974% 8/15/36 (f) | 427,000 | 248,604 | ||
Series 2000-C1: | ||||
Class H, 7% 3/15/33 (f) | 40,835 | 40,819 | ||
Class K, 7% 3/15/33 | 90,000 | 72,996 | ||
Series 2002-C3 Class B, 5.101% 7/10/39 | 285,000 | 299,214 | ||
Series 2003-C3 Class X2, 0.6149% 4/10/40 (f)(l)(n) | 10,107,146 | 19,306 | ||
Series 2005-C1 Class X2, 0.6565% 5/10/43 (l)(n) | 7,558,172 | 74,044 | ||
Greenwich Capital Commercial Funding Corp.: | ||||
floater Series 2006-FL4 Class B, 0.49% 11/5/21 (f)(l) | 715,000 | 529,721 | ||
sequential payer: | ||||
Series 2003-C1 Class D, 4.29% 7/5/35 (f) | 490,000 | 500,414 | ||
Series 2004-GG1 Class A4, 4.755% 6/10/36 | 524,933 | 528,245 | ||
Series 2007-GG11: | ||||
Class A1, 5.358% 12/10/49 | 1,848,848 | 1,918,544 | ||
Class A2, 5.597% 12/10/49 | 3,804,000 | 4,016,721 | ||
Series 2007-GG9 Class A4, 5.444% 3/10/39 | 5,530,000 | 5,792,039 | ||
Series 2002-C1: | ||||
Class H, 5.903% 1/11/35 (f) | 97,000 | 92,493 | ||
Class J, 6.306% 1/11/35 (f) | 760,000 | 703,589 | ||
Series 2003-C2: | ||||
Class J, 5.234% 1/5/36 (f)(l) | 250,000 | 197,754 | ||
Class XP, 0.8232% 1/5/36 (f)(l)(n) | 12,076,264 | 28,345 | ||
Series 2005-GG3 Class XP, 0.6925% 8/10/42 (f)(l)(n) | 35,232,048 | 314,435 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (c) | Value | ||
Greenwich Capital Commercial Funding Corp.: - continued | ||||
Series 2006-GG7: | ||||
Class A3, 5.8883% 7/10/38 (l) | $ 5,013,000 | $ 5,443,316 | ||
Class A4, 5.8883% 7/10/38 (l) | 9,540,000 | 10,386,007 | ||
Series 2007-GG11 Class A1, 0.4798% 12/10/49 (f)(n) | 45,214,389 | 470,614 | ||
GS Mortgage Securities Corp. II: | ||||
floater: | ||||
Series 2006-FL8A: | ||||
Class C, 0.5353% 6/6/20 (f)(l) | 96,000 | 87,408 | ||
Class D, 0.5753% 6/6/20 (f)(l) | 453,000 | 391,603 | ||
Class E, 0.6653% 6/6/20 (f)(l) | 526,000 | 441,928 | ||
Class F, 0.7353% 6/6/20 (f)(l) | 835,001 | 669,793 | ||
Class J, 2.0453% 6/6/20 (f)(l) | 250,000 | 127,349 | ||
Series 2007-EOP: | ||||
Class C, 0.6153% 3/6/20 (f)(l) | 1,994,000 | 1,774,660 | ||
Class D, 0.6653% 3/6/20 (f)(l) | 4,004,000 | 3,523,520 | ||
Class F, 0.7753% 3/6/20 (f)(l) | 164,000 | 141,860 | ||
Class G, 0.8153% 3/6/20 (f)(l) | 81,000 | 68,040 | ||
Class H, 0.9453% 3/6/20 (f)(l) | 60,000 | 50,700 | ||
Class J, 1.1453% 3/6/20 (f)(l) | 86,000 | 71,380 | ||
Class L, 1.5953% 3/1/20 (f)(l) | 400,000 | 328,000 | ||
sequential payer Series 2004-GG2 Class A4, 4.964% 8/10/38 | 590,000 | 613,109 | ||
Series 1997-GL Class G, 7.7695% 7/13/30 (l) | 828,627 | 918,118 | ||
Series 1998-GLII Class G, 7.742% 4/13/31 (f)(l) | 600,000 | 548,366 | ||
Series 2001-GL3A Class JGGP, 7.6436% 8/5/18 (f)(l) | 350,000 | 245,000 | ||
Series 2005-GG4 Class XP, 0.7044% 7/10/39 (f)(l)(n) | 35,965,436 | 428,057 | ||
Series 2006-GG6 Class A2, 5.506% 4/10/38 | 10,001,421 | 10,153,282 | ||
Series 2006-RR2: | ||||
Class M, 5.68% 6/1/46 (f)(l) | 100,000 | 0 | ||
Class N, 5.68% 6/1/46 (f)(l) | 100,000 | 0 | ||
GS Mortgage Securities Trust sequential payer: | ||||
Series 2006-GG8 Class A2, 5.479% 11/10/39 | 2,852,000 | 2,925,656 | ||
Series 2007-GG10: | ||||
Class A1, 5.69% 8/10/45 | 583,171 | 601,505 | ||
Class A2, 5.778% 8/10/45 | 13,561,000 | 14,095,596 | ||
Class A4, 5.8077% 8/10/45 (l) | 13,620,000 | 14,076,785 | ||
JPMorgan Chase Commercial Mortgage Securities Corp.: | ||||
Series 2002-C1 Class E, 6.135% 7/12/37 (f) | 201,000 | 190,073 | ||
Series 2003-C1: | ||||
Class CM1, 5.5061% 1/12/37 (f)(l) | 206,377 | 167,166 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (c) | Value | ||
JPMorgan Chase Commercial Mortgage Securities Corp.: - continued | ||||
Series 2003-C1: | ||||
Class D, 5.192% 1/12/37 | $ 230,000 | $ 227,929 | ||
Series 2004-C1 Class X2, 0.9177% 1/15/38 (f)(l)(n) | 2,942,268 | 12,487 | ||
Series 2004-CB8 Class X2, 1.0321% 1/12/39 (f)(l)(n) | 2,940,154 | 16,299 | ||
Series 2009-IWST Class D, 7.6935% 12/5/27 (f)(l) | 250,000 | 274,244 | ||
JPMorgan Chase Commercial Mortgage Securities Trust: | ||||
floater: | ||||
Series 2005-FL1A Class A2, 0.4559% 2/15/19 (f)(l) | 379,864 | 358,566 | ||
Series 2006-FL1A Class E, 0.6459% 2/15/20 (f)(l) | 155,269 | 122,711 | ||
Series 2006-FLA2: | ||||
Class A2, 0.4059% 11/15/18 (f)(l) | 10,000,000 | 8,400,000 | ||
Class B, 0.4459% 11/15/18 (f)(l) | 1,403,343 | 982,340 | ||
Class C, 0.4859% 11/15/18 (f)(l) | 997,036 | 658,044 | ||
Class D, 0.5059% 11/15/18 (f)(l) | 303,719 | 173,120 | ||
Class E, 0.5559% 11/15/18 (f)(l) | 438,130 | 245,353 | ||
Class F, 0.6059% 11/15/18 (f)(l) | 655,993 | 341,117 | ||
Class G, 0.6359% 11/15/18 (f)(l) | 570,003 | 285,001 | ||
Class H, 0.7759% 11/15/18 (f)(l) | 438,130 | 192,777 | ||
sequential payer: | ||||
Series 2006-CB14 Class A3B, 5.4835% 12/12/44 (l) | 5,657,000 | 6,036,181 | ||
Series 2006-CB15 Class A3, 5.819% 6/12/43 (l) | 2,864,000 | 3,045,727 | ||
Series 2006-LDP8 Class A4, 5.399% 5/15/45 | 1,210,000 | 1,298,084 | ||
Series 2006-LDP9: | ||||
Class A2, 5.134% 5/15/47 (l) | 903,000 | 963,161 | ||
Class A3, 5.336% 5/15/47 | 9,409,000 | 9,796,998 | ||
Series 2007-CB19 Class A4, 5.7461% 2/12/49 (l) | 6,670,000 | 6,995,309 | ||
Series 2007-LD11 Class A2, 5.8025% 6/15/49 (l) | 5,340,000 | 5,583,785 | ||
Series 2007-LDP10 Class A1, 5.122% 1/15/49 | 62,688 | 63,241 | ||
Series 2007-LDPX Class A3, 5.412% 1/15/49 | 5,234,000 | 5,353,212 | ||
Series 2004-CBX Class D, 5.097% 1/12/37 (l) | 170,000 | 141,950 | ||
Series 2004-LDP4 Class D, 5.1488% 10/15/42 (l) | 1,711,000 | 792,260 | ||
Series 2004-LN2 Class D, 5.2116% 7/15/41 (l) | 420,000 | 363,731 | ||
Series 2005-CB13 Class E, 5.3519% 1/12/43 (f)(l) | 963,000 | 89,115 | ||
Series 2005-LDP3 Class A3, 4.959% 8/15/42 | 10,527,952 | 10,913,494 | ||
Series 2006-CB17 Class A3, 5.45% 12/12/43 | 543,000 | 571,298 | ||
Series 2007-CB19: | ||||
Class B, 5.7461% 2/12/49 (l) | 165,000 | 51,177 | ||
Class C, 5.7461% 2/12/49 (l) | 424,000 | 131,510 | ||
Class D, 5.7461% 2/12/49 (l) | 447,000 | 132,346 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (c) | Value | ||
LB Commercial Conduit Mortgage Trust: | ||||
Series 2007-LDP10: | ||||
Class BS, 5.437% 1/15/49 (l) | $ 364,000 | $ 109,245 | ||
Class CS, 5.466% 1/15/49 (l) | 157,000 | 40,397 | ||
Class ES, 5.541% 1/15/49 (f)(l) | 983,000 | 69,293 | ||
JPMorgan Commercial Mortgage Finance Corp.: | ||||
Series 1997-C5 Class F, 7.5605% 9/15/29 | 1,295,956 | 1,375,357 | ||
Series 2000-C9 Class G, 6.25% 10/15/32 (f) | 783,000 | 790,261 | ||
sequential payer Series 2007-C3 Class A4, 5.9499% 7/15/44 (l) | 21,615,000 | 22,359,444 | ||
Series 1998-C1 Class D, 6.98% 2/18/30 | 709,466 | 713,953 | ||
Series 1998-C4 Class G, 5.6% 10/15/35 (f) | 583,000 | 594,718 | ||
LB-UBS Commercial Mortgage Trust: | ||||
sequential payer: | ||||
Series 2001-C2 Class A2, 6.653% 11/15/27 | 339,221 | 345,293 | ||
Series 2001-C3 Class A1, 6.058% 6/15/20 | 8,836 | 8,852 | ||
Series 2004-C2 Class E, 4.487% 3/15/36 | 150,000 | 141,356 | ||
Series 2005-C7: | ||||
Class AJ, 5.323% 11/15/40 | 500,000 | 450,521 | ||
Class AM, 5.263% 11/15/40 (l) | 67,000 | 67,504 | ||
Series 2006-C1 Class A2, 5.084% 2/15/31 | 828,357 | 835,803 | ||
Series 2006-C3 Class A1, 5.478% 3/15/32 | 41,567 | 41,759 | ||
Series 2006-C6: | ||||
Class A1, 5.23% 9/15/39 | 194,132 | 194,284 | ||
Class A2, 5.262% 9/15/39 (l) | 11,694,000 | 11,995,674 | ||
Series 2006-C7: | ||||
Class A1, 5.279% 11/15/38 | 496,918 | 505,978 | ||
Class A2, 5.3% 11/15/38 | 2,092,000 | 2,157,371 | ||
Class A3, 5.347% 11/15/38 | 1,417,000 | 1,502,438 | ||
Class AM, 5.378% 11/15/38 | 160,000 | 143,688 | ||
Series 2007-C1: | ||||
Class A1, 5.391% 2/15/40 (l) | 216,855 | 220,911 | ||
Class A3, 5.398% 2/15/40 | 10,000,000 | 10,601,803 | ||
Class A4, 5.424% 2/15/40 | 5,434,000 | 5,703,289 | ||
Series 2007-C2 Class A3, 5.43% 2/15/40 | 3,967,000 | 4,085,930 | ||
Series 2007-C6 Class A2, 5.845% 7/15/40 | 9,949,374 | 10,380,980 | ||
Series 2000-C5 Class E, 7.29% 12/15/32 | 134,000 | 134,730 | ||
Series 2001-C3 Class B, 6.512% 6/15/36 | 3,676,000 | 3,800,169 | ||
Series 2001-C7 Class D, 6.514% 11/15/33 | 2,092,000 | 2,113,340 | ||
Series 2002-C1 Class J, 6.95% 3/15/34 (f)(l) | 86,000 | 83,623 | ||
Series 2003-C7 Class L, 5.224% 7/15/37 (f)(l) | 284,000 | 179,475 | ||
Series 2004-C2: | ||||
Class G, 4.595% 3/15/36 (f)(l) | 225,000 | 179,886 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (c) | Value | ||
LB-UBS Commercial Mortgage Trust: - continued | ||||
Series 2004-C2: | ||||
Class K, 5.2578% 3/15/36 (f)(l) | $ 500,000 | $ 219,394 | ||
Class XCP, 1.0459% 3/15/36 (f)(l)(n) | 22,208,335 | 124,949 | ||
Series 2004-C4 Class A2, 4.567% 6/15/29 (l) | 228,524 | 230,909 | ||
Series 2005-C2 Class AJ, 5.205% 4/15/30 (l) | 740,000 | 677,857 | ||
Series 2005-C3 Class XCP, 0.7548% 7/15/40 (l)(n) | 5,887,328 | 68,922 | ||
Series 2005-C5 Class A2, 4.885% 9/15/30 | 475,370 | 488,258 | ||
Series 2005-C7 Class C, 5.35% 11/15/40 (l) | 686,000 | 472,616 | ||
Series 2006-C4: | ||||
Class AJ, 5.9022% 6/15/38 (l) | 480,000 | 387,554 | ||
Class AM, 5.9022% 6/15/38 (l) | 500,000 | 463,466 | ||
Series 2006-C6 Class XCP, 0.6666% 9/15/39 (l)(n) | 10,810,515 | 175,514 | ||
Series 2007-C1: | ||||
Class C, 5.533% 2/15/40 (l) | 4,185,000 | 927,292 | ||
Class D, 5.563% 2/15/40 (l) | 760,000 | 135,526 | ||
Class E, 5.582% 2/15/40 (l) | 381,000 | 58,273 | ||
Class XCP, 0.3203% 2/15/40 (l)(n) | 4,345,108 | 50,616 | ||
Series 2007-C6 Class A4, 5.858% 7/15/40 (l) | 2,376,000 | 2,450,526 | ||
Series 2007-C7: | ||||
Class A3, 5.866% 9/15/45 | 6,219,000 | 6,516,073 | ||
Class XCP, 0.2905% 9/15/45 (l)(n) | 149,280,090 | 1,635,005 | ||
LB-UBS Westfield Trust Series 2001-WM, 6.754% 7/14/16 (f) | 544,000 | 555,053 | ||
Lehman Brothers Floating Rate Commercial Mortgage Trust floater: | ||||
Series 2004-LLFA Class J, 1.4759% 10/15/17 (f)(l) | 160,000 | 141,457 | ||
Series 2006-LLFA: | ||||
Class D, 0.5059% 9/15/21 (f)(l) | 608,683 | 467,127 | ||
Class E, 0.5659% 9/15/21 (f)(l) | 2,196,145 | 1,664,618 | ||
Class F, 0.6159% 9/15/21 (f)(l) | 1,143,094 | 852,703 | ||
Class G, 0.6359% 9/15/21 (f)(l) | 2,258,211 | 1,563,720 | ||
Class H, 0.6759% 9/15/21 (f)(l) | 582,579 | 253,957 | ||
Lehman Large Loan Trust Series 1997-LLI Class E, 7.3% 10/12/34 | 3,377,000 | 3,574,741 | ||
LNR CFL Series 2004-1: | ||||
Class I10, 7.72% 2/26/28 (f) | 180,000 | 158,922 | ||
Class I11, 7.72% 2/26/28 (f) | 100,000 | 82,980 | ||
Class I12, 7.72% 2/26/28 (f) | 100,000 | 79,620 | ||
Class I9, 7.72% 2/26/28 (f) | 153,200 | 143,702 | ||
Merrill Lynch Mortgage Investors Trust: | ||||
Series 1997-C2 Class F, 6.25% 12/10/29 (l) | 620,000 | 643,638 | ||
Series 1998-C3 Class E, 6.8483% 12/15/30 (l) | 173,000 | 187,379 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (c) | Value | ||
Merrill Lynch Mortgage Trust: | ||||
sequential payer: | ||||
Series 2004-MKB1 Class A2, 4.353% 2/12/42 | $ 224,288 | $ 225,393 | ||
Series 2007-C1 Class A1, 4.533% 6/12/50 | 459,925 | 464,433 | ||
Series 2004-KEY2 Class K, 5.091% 8/12/39 (f)(l) | 100,000 | 4,000 | ||
Series 2004-MKB1 Class F, 5.509% 2/12/42 (f)(l) | 180,000 | 172,149 | ||
Series 2005-CKI1 Class A3, 5.2324% 11/12/37 (l) | 3,122,000 | 3,226,361 | ||
Series 2005-LC1 Class F, 5.3777% 1/12/44 (f)(l) | 1,655,000 | 613,493 | ||
Series 2006-C1: | ||||
Class A2, 5.6099% 5/12/39 (l) | 2,680,000 | 2,827,567 | ||
Class AJ, 5.6549% 5/12/39 (l) | 160,000 | 132,010 | ||
Class AM, 5.6549% 5/12/39 (l) | 100,000 | 91,480 | ||
Series 2006-KEY2 Class L, 5.091% 8/12/39 (f) | 300,000 | 10,950 | ||
Series 2007-C1 Class A4, 5.826% 6/12/50 (l) | 7,199,517 | 7,717,748 | ||
Series 2008-C1 Class A4, 5.69% 2/12/51 | 4,059,000 | 4,303,103 | ||
Merrill Lynch-CFC Commercial Mortgage Trust: | ||||
floater Series 2006-4 Class A2FL, 0.4625% 12/12/49 (l) | 887,000 | 861,816 | ||
sequential payer: | ||||
Series 2006-1 CLass A3, 5.4664% 2/12/39 (l) | 2,024,000 | 2,126,233 | ||
Series 2006-4: | ||||
Class A2, 5.112% 12/12/49 (l) | 1,075,000 | 1,105,640 | ||
Class ASB, 5.133% 12/12/49 (l) | 1,636,000 | 1,754,779 | ||
Series 2007-5: | ||||
Class A1, 4.275% 8/12/48 | 47,514 | 47,787 | ||
Class A3, 5.364% 8/12/48 | 11,417,000 | 11,695,063 | ||
Class A4, 5.378% 8/12/48 | 76,000 | 74,277 | ||
Class B, 5.479% 2/12/17 | 5,706,000 | 1,005,087 | ||
Series 2007-6: | ||||
Class A1, 5.175% 3/12/51 | 100,852 | 102,370 | ||
Class A4, 5.485% 3/12/51 (l) | 14,650,000 | 14,599,600 | ||
Series 2007-7 Class A4, 5.7485% 6/12/50 (l) | 6,656,000 | 6,689,878 | ||
Series 2007-8 Class A1, 4.622% 8/12/49 | 393,501 | 401,942 | ||
Series 2006-4 Class XP, 0.6254% 12/12/49 (l)(n) | 38,955,674 | 708,074 | ||
Series 2007-6 Class B, 5.635% 3/12/51 (l) | 1,902,000 | 567,896 | ||
Series 2007-7 Class B, 5.75% 6/12/50 | 166,000 | 27,656 | ||
Series 2007-8 Class A3, 5.9564% 8/12/49 (l) | 1,640,000 | 1,763,165 | ||
Morgan Stanley Capital I Trust: | ||||
floater: | ||||
Series 2006-XLF: | ||||
Class C, 1.472% 7/15/19 (f)(l) | 822,747 | 102,843 | ||
Class F, 0.592% 7/15/19 (f)(l) | 1,830,000 | 1,665,300 | ||
Class G, 0.632% 7/15/19 (f)(l) | 1,041,000 | 749,520 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (c) | Value | ||
Morgan Stanley Capital I Trust: - continued | ||||
floater: | ||||
Series 2006-XLF: | ||||
Class H, 0.652% 7/15/19 (f)(l) | $ 550,000 | $ 330,000 | ||
Class J, 0.702% 7/15/19 (f)(l) | 354,000 | 141,600 | ||
Series 2007-XCLA Class A1, 0.472% 7/17/17 (f)(l) | 2,532,688 | 1,392,979 | ||
Series 2007-XLCA Class B, 0.772% 7/17/17 (f)(l) | 2,408,057 | 168,564 | ||
Series 2007-XLFA: | ||||
Class C, 0.432% 10/15/20 (f)(l) | 1,092,000 | 464,100 | ||
Class D, 0.462% 10/15/20 (f)(l) | 667,354 | 150,155 | ||
Class E, 0.522% 10/15/20 (f)(l) | 834,661 | 104,333 | ||
Class F, 0.572% 10/15/20 (f)(l) | 500,899 | 50,090 | ||
Class G, 0.612% 10/15/20 (f)(l) | 619,188 | 46,439 | ||
Class H, 0.702% 10/15/20 (f)(l) | 389,758 | 9,744 | ||
Class J, 0.852% 10/15/20 (f)(l) | 444,903 | 11,123 | ||
Class MHRO, 0.962% 10/15/20 (f)(l) | 605,197 | 121,039 | ||
Class MJPM, 1.272% 10/15/20 (f)(l) | 183,182 | 137,386 | ||
Class MSTR, 0.972% 10/15/20 (f)(l) | 343,918 | 68,784 | ||
Class NHRO, 1.162% 10/15/20 (f)(l) | 918,469 | 128,586 | ||
Class NSTR, 1.122% 10/15/20 (f)(l) | 315,384 | 44,154 | ||
sequential payer: | ||||
Series 2003-IQ5 Class X2, 0.8727% 4/15/38 (f)(l)(n) | 5,855,645 | 48,440 | ||
Series 2004-RR2 Class A2, 5.45% 10/28/33 (f) | 439,415 | 441,613 | ||
Series 2005-IQ9 Class A3, 4.54% 7/15/56 | 2,826,000 | 2,927,893 | ||
Series 2006-HQ10: | ||||
Class A1, 5.131% 11/12/41 | 297,009 | 300,305 | ||
Class AM, 5.36% 11/12/41 | 620,000 | 574,096 | ||
Series 2006-T23 Class A1, 5.682% 8/12/41 | 557,007 | 564,857 | ||
Series 2007-HQ11: | ||||
Class A1, 5.246% 2/12/44 | 364,158 | 370,977 | ||
Class A31, 5.439% 2/12/44 (l) | 964,000 | 1,015,143 | ||
Series 2007-IQ13: | ||||
Class A1, 5.05% 3/15/44 | 371,125 | 376,536 | ||
Class A4, 5.364% 3/15/44 | 10,000,000 | 10,249,122 | ||
Series 2007-IQ14 Class A1, 5.38% 4/15/49 | 946,776 | 973,580 | ||
Series 2007-T25: | ||||
Class A1, 5.391% 11/12/49 | 263,354 | 270,564 | ||
Class A2, 5.507% 11/12/49 | 3,425,000 | 3,739,018 | ||
Series 1997-RR Class F, 7.4307% 4/30/39 (f)(l) | 258,141 | 237,490 | ||
Series 1998-CF1 Class G, 7.35% 7/15/32 (f) | 223,000 | 122,650 | ||
Series 2003-IQ6 Class X2, 0.5807% 12/15/41 (f)(l)(n) | 12,306,129 | 89,429 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (c) | Value | ||
Morgan Stanley Capital I Trust: - continued | ||||
Series 2004-IQ7 Class E, 5.4008% 6/15/38 (f)(l) | $ 120,000 | $ 60,000 | ||
Series 2004-RR2 Class C, 5.8799% 10/28/33 (f)(l) | 280,000 | 216,300 | ||
Series 2005-HQ7: | ||||
Class E, 5.2057% 11/14/42 (l) | 75,000 | 41,250 | ||
Class F, 5.2057% 11/14/42 (l) | 305,000 | 152,500 | ||
Series 2005-IQ9 Class X2, 1.0854% 7/15/56 (f)(l)(n) | 21,165,292 | 301,326 | ||
Series 2006-HQ10 Class X2, 0.4996% 11/12/41 (f)(l)(n) | 10,225,268 | 111,358 | ||
Series 2006-HQ8 Class A3, 5.4379% 3/12/44 (l) | 2,950,000 | 3,025,383 | ||
Series 2006-HQ9 Class B, 5.832% 7/12/44 (l) | 2,823,000 | 2,089,020 | ||
Series 2006-IQ11: | ||||
Class A3, 5.7325% 10/15/42 (l) | 3,157,000 | 3,368,217 | ||
Class A4, 5.7685% 10/15/42 (l) | 570,000 | 633,936 | ||
Series 2006-IQ12: | ||||
Class AMFX, 5.37% 12/15/43 | 719,000 | 596,770 | ||
Class B, 5.468% 12/15/43 | 1,902,000 | 475,500 | ||
Series 2006-T23 Class A3, 5.8072% 8/12/41 (l) | 972,000 | 1,047,864 | ||
Series 2007-HQ11 Class B, 5.538% 2/20/44 (l) | 3,448,000 | 1,241,280 | ||
Series 2007-HQ12 Class A2, 5.6333% 4/12/49 (l) | 12,865,871 | 13,152,826 | ||
Series 2007-IQ14: | ||||
Class A4, 5.692% 4/15/49 (l) | 2,852,000 | 2,895,149 | ||
Class B, 5.7249% 4/15/49 (l) | 469,000 | 112,560 | ||
Series 2007-XLC1: | ||||
Class C, 0.872% 7/17/17 (f)(l) | 3,245,642 | 81,141 | ||
Class D, 0.972% 7/17/17 (f)(l) | 1,526,121 | 38,153 | ||
Class E, 1.072% 7/17/17 (f)(l) | 1,239,655 | 30,991 | ||
Morgan Stanley Dean Witter Capital I Trust: | ||||
sequential payer Series 2001-PPM Class A2, 6.4% 2/15/31 | 18,894 | 19,306 | ||
Series 2000-PRIN Class C, 7.9522% 2/23/34 (l) | 466,000 | 521,852 | ||
Series 2001-IQA Class F, 6.79% 12/18/32 (f) | 194,900 | 197,494 | ||
Series 2001-TOP3 Class E, 7.2382% 7/15/33 (f)(l) | 150,000 | 148,878 | ||
Series 2003-TOP9 Class E, 5.7399% 11/13/36 (f)(l) | 78,000 | 70,414 | ||
Multi Security Asset Trust sequential payer Series 2005-RR4A Class A2, 4.83% 11/28/35 (f) | 386,997 | 361,480 | ||
NationsLink Funding Corp. Series 1998-2: | ||||
Class F, 7.105% 8/20/30 (f) | 593,935 | 641,673 | ||
Class G, 5% 8/20/30 (f) | 361,875 | 376,796 | ||
Class J, 5% 8/20/30 (f) | 195,000 | 173,843 | ||
Nomura Asset Securities Corp. Series 1998-D6 Class B1, 6% 3/15/30 (f) | 1,050,000 | 1,063,659 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (c) | Value | ||
Providence Place Group Ltd. Partnership Series 2000-C1 Class A2, 7.75% 7/20/28 (f) | $ 687,257 | $ 687,257 | ||
Prudential Securities Secured Financing Corp. Series 1999-NRF1 Class F, 6.074% 11/1/31 (f) | 198,840 | 200,968 | ||
RBSCF Trust Series 2010-MB1 Class D, 4.8204% 4/15/24 (f)(l) | 480,000 | 459,150 | ||
Real Estate Asset Liquidity Trust: | ||||
Series 2006-2: | ||||
Class F, 4.456% 9/12/38 | CAD | 107,000 | 66,372 | |
Class G, 4.456% 9/12/38 | CAD | 54,000 | 31,817 | |
Class H, 4.456% 9/12/38 | CAD | 36,000 | 20,160 | |
Class J, 4.456% 9/12/38 | CAD | 36,000 | 19,099 | |
Class K, 4.456% 9/12/38 | CAD | 18,000 | 8,510 | |
Class L, 4.456% 9/12/38 | CAD | 26,000 | 11,633 | |
Class M, 4.456% 9/12/38 | CAD | 128,859 | 28,520 | |
Series 2007-1: | ||||
Class F, 4.57% 4/12/23 | CAD | 126,000 | 78,768 | |
Class G, 4.57% 4/12/23 | CAD | 42,000 | 24,945 | |
Class H, 4.57% 4/12/23 | CAD | 42,000 | 23,713 | |
Class J, 4.57% 4/12/23 | CAD | 42,000 | 22,555 | |
Class K, 4.57% 4/12/23 | CAD | 21,000 | 10,733 | |
Class L, 4.57% 4/12/23 | CAD | 63,000 | 30,665 | |
Class M, 4.57% 4/12/23 | CAD | 185,000 | 38,844 | |
Salomon Brothers Mortgage Securities VII, Inc.: | ||||
sequential payer Series 2000-C3 Class A2, 6.592% 12/18/33 | 581,065 | 580,883 | ||
Series 2001-C1 Class E, 6.31% 12/18/35 | 135,000 | 133,898 | ||
Series 2001-MMA: | ||||
Class E6, 6.5% 2/18/34 (f)(l) | 192,000 | 167,040 | ||
Class F6, 6.5% 2/18/34 (f)(l) | 43,000 | 35,690 | ||
Structured Asset Securities Corp. Series 1997-LLI: | ||||
Class D, 7.15% 10/12/34 | 214,601 | 223,538 | ||
Class F, 7.3% 10/12/34 (f) | 473,000 | 479,662 | ||
TIAA Seasoned Commercial Mortgage Trust sequential payer Series 2007-C4 Class AJ, 6.071% 8/15/39 (l) | 170,000 | 168,163 | ||
TrizecHahn Office Properties Trust Series 2001-TZHA Class C4, 6.893% 5/15/16 (f) | 1,616,000 | 1,647,248 | ||
UBS Commercial Mortgage Trust Series 2007-FL1: | ||||
Class F, 0.8509% 7/15/24 (f)(l) | 110,000 | 27,536 | ||
Class G, 0.8509% 7/15/24 (f)(l) | 200,000 | 48,030 | ||
Vornado DP LLC Series 2010-VNO Class D, 6.3555% 9/13/20 (f) | 180,000 | 186,348 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (c) | Value | ||
Wachovia Bank Commercial Mortgage Trust: | ||||
floater: | ||||
Series 2005-WL5A Class K, 1.4759% 1/15/18 (f)(l) | $ 1,276,330 | $ 1,269,067 | ||
Series 2006-WL7A: | ||||
Class E, 0.5519% 9/15/21 (f)(l) | 1,770,598 | 1,050,626 | ||
Class F, 0.6119% 8/11/18 (f)(l) | 1,877,987 | 784,301 | ||
Class G, 0.6319% 8/11/18 (f)(l) | 1,779,101 | 722,349 | ||
Class J, 0.8719% 8/11/18 (f)(l) | 395,545 | 101,284 | ||
Series 2007-ESH Class A1, 0.7259% 6/15/19 (f)(l) | 170,937 | 169,667 | ||
Series 2007-WHL8: | ||||
Class AP1, 0.9759% 6/15/20 (f)(l) | 140,220 | 77,121 | ||
Class AP2, 1.0759% 6/15/20 (f)(l) | 235,007 | 117,503 | ||
Class F, 0.7559% 6/15/20 (f)(l) | 4,565,501 | 1,141,375 | ||
Class LXR1, 0.9759% 6/15/20 (f)(l) | 233,916 | 140,349 | ||
Class LXR2, 1.0759% 6/15/20 (f)(l) | 3,111,858 | 1,555,929 | ||
sequential payer: | ||||
Series 2003-C6 Class A2, 4.498% 8/15/35 | 111,210 | 111,135 | ||
Series 2003-C7 Class A1, 4.241% 10/15/35 (f) | 3,267,410 | 3,294,830 | ||
Series 2003-C8 Class A3, 4.445% 11/15/35 | 8,283,000 | 8,471,632 | ||
Series 2006-C27 Class A2, 5.624% 7/15/45 | 1,700,000 | 1,742,701 | ||
Series 2006-C29: | ||||
Class A1, 5.11% 11/15/48 | 634,788 | 643,188 | ||
Class A3, 5.313% 11/15/48 | 5,051,000 | 5,377,605 | ||
Series 2007-C30: | ||||
Class A1, 5.031% 12/15/43 | 129,435 | 130,720 | ||
Class A3, 5.246% 12/15/43 | 1,633,000 | 1,647,869 | ||
Class A4, 5.305% 12/15/43 | 8,604,000 | 8,585,876 | ||
Class A5, 5.342% 12/15/43 | 2,036,000 | 1,983,665 | ||
Series 2007-C31: | ||||
Class A1, 5.14% 4/15/47 | 172,035 | 173,916 | ||
Class A4, 5.509% 4/15/47 | 4,299,000 | 4,252,449 | ||
Series 2007-C32: | ||||
Class A2, 5.735% 6/15/49 (l) | 15,568,000 | 16,198,520 | ||
Class A3, 5.74% 6/15/49 (l) | 3,229,000 | 3,216,239 | ||
Series 2003-C6 Class G, 5.125% 8/15/35 (f)(l) | 903,000 | 851,653 | ||
Series 2003-C8 Class XP, 0.1813% 11/15/35 (f)(l)(n) | 3,807,072 | 3,966 | ||
Series 2003-C9 Class XP, 0.4499% 12/15/35 (f)(l)(n) | 5,330,128 | 7,115 | ||
Series 2004-C10 Class E, 4.931% 2/15/41 | 340,000 | 315,404 | ||
Series 2004-C11: | ||||
Class D, 5.4914% 1/15/41 (l) | 360,000 | 311,036 | ||
Class E, 5.5414% 1/15/41 (l) | 327,000 | 265,453 | ||
Series 2004-C12 Class D, 5.3053% 7/15/41 (l) | 280,000 | 250,824 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (c) | Value | ||
Wachovia Bank Commercial Mortgage Trust: - continued | ||||
Series 2004-C14: | ||||
Class B, 5.17% 8/15/41 | $ 258,500 | $ 252,320 | ||
Class C, 5.21% 8/15/41 | 170,000 | 159,571 | ||
Series 2004-C15: | ||||
Class 180A, 5.5782% 10/15/41 (f)(l) | 1,464,000 | 1,361,520 | ||
Class 180B, 5.3979% 10/15/41 (f)(l) | 666,000 | 599,400 | ||
Series 2005-C19 Class B, 4.892% 5/15/44 | 1,902,000 | 1,554,890 | ||
Series 2005-C22: | ||||
Class B, 5.3598% 12/15/44 (l) | 4,218,000 | 2,897,343 | ||
Class F, 5.3598% 12/15/44 (f)(l) | 3,171,000 | 1,267,188 | ||
Series 2006-C23 Class A5, 5.416% 1/15/45 (l) | 7,870,000 | 8,555,214 | ||
Series 2006-C29 Class E, 5.516% 11/15/48 (l) | 1,902,000 | 589,123 | ||
Series 2007-C30: | ||||
Class B, 5.463% 12/15/43 (l) | 10,505,000 | 2,312,185 | ||
Class C, 5.483% 12/15/43 (l) | 5,706,000 | 947,355 | ||
Class D, 5.513% 12/15/43 (l) | 3,044,000 | 261,099 | ||
Class XP, 0.4367% 12/15/43 (f)(l)(n) | 21,906,282 | 299,132 | ||
Series 2007-C31 Class C, 5.6935% 4/15/47 (l) | 522,000 | 110,654 | ||
Series 2007-C32: | ||||
Class D, 5.74% 6/15/49 (l) | 1,431,000 | 285,314 | ||
Class E, 5.74% 6/15/49 (l) | 2,252,000 | 385,210 | ||
Wachovia Bank Commercial Mortgage Trust pass-thru certificates: | ||||
sequential payer Series 2007-C33 Class A5, 5.902% 2/15/51 (l) | 1,259,000 | 1,275,178 | ||
Series 2007-C33 Class B, 5.902% 2/15/51 (l) | 3,198,000 | 1,043,464 | ||
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $708,540,160) | 824,798,436 | |||
Municipal Securities - 0.2% | ||||
| ||||
California Gen. Oblig.: | ||||
6.2% 3/1/19 | 5,000,000 | 5,427,750 | ||
7.5% 4/1/34 | 5,600,000 | 6,286,784 | ||
7.55% 4/1/39 | 8,400,000 | 9,541,728 | ||
Illinois Gen. Oblig. Series 2010, 4.421% 1/1/15 | 6,825,000 | 6,960,954 | ||
TOTAL MUNICIPAL SECURITIES (Cost $26,034,211) | 28,217,216 | |||
Foreign Government and Government Agency Obligations - 1.7% | ||||
| Principal Amount (c) | Value | ||
Arab Republic of Egypt: | ||||
5.75% 4/29/20 (f) | $ 1,450,000 | $ 1,587,750 | ||
6.875% 4/30/40 (f) | 1,485,000 | 1,663,200 | ||
Argentine Republic: | ||||
discount (with partial capitalization through 12/31/13) 8.28% 12/31/33 | 3,773,540 | 2,886,758 | ||
par 2.5% 12/31/38 (e) | 3,210,000 | 1,219,800 | ||
0.6586% 8/3/12 (l) | 2,938,750 | 2,666,859 | ||
7% 3/28/11 | 27,875,000 | 28,021,344 | ||
7% 9/12/13 | 20,265,000 | 19,193,770 | ||
7% 10/3/15 | 1,450,000 | 1,218,322 | ||
Bahamian Republic 6.95% 11/20/29 (f) | 805,000 | 837,200 | ||
Barbados Government 7.25% 12/15/21 (f) | 647,000 | 682,585 | ||
Bermuda Government 5.603% 7/20/20 (f) | 470,000 | 502,900 | ||
Brazilian Federative Republic: | ||||
4.875% 1/22/21 | 4,020,000 | 4,311,450 | ||
5.625% 1/7/41 | 795,000 | 858,600 | ||
6% 9/15/13 | 233,343 | 244,426 | ||
8.75% 2/4/25 | 545,000 | 776,625 | ||
11% 8/17/40 | 1,445,000 | 1,979,650 | ||
12.25% 3/6/30 | 470,000 | 883,600 | ||
Bulgarian Republic 8.25% 1/15/15 (Reg. S) | 1,040,000 | 1,211,600 | ||
Cayman Island Government 5.95% 11/24/19 (f) | 500,000 | 532,500 | ||
Chilean Republic: | ||||
3.875% 8/5/20 | 830,000 | 861,125 | ||
7.125% 1/11/12 | 3,045,000 | 3,276,725 | ||
Colombian Republic: | ||||
7.375% 9/18/37 | 2,130,000 | 2,758,350 | ||
10.375% 1/28/33 | 965,000 | 1,534,350 | ||
11.75% 2/25/20 | 950,000 | 1,477,250 | ||
Congo Republic 3% 6/30/29 (e) | 3,980,500 | 2,169,373 | ||
Croatia Republic: | ||||
6.625% 7/14/20 (f) | 855,000 | 939,431 | ||
6.75% 11/5/19 (f) | 1,455,000 | 1,601,882 | ||
Democratic Socialist Republic of Sri Lanka: | ||||
7.4% 1/22/15 (f) | 1,055,000 | 1,130,169 | ||
8.25% 10/24/12 (f) | 1,070,000 | 1,151,588 | ||
Dominican Republic: | ||||
1.5704% 8/30/24 (l) | 1,350,000 | 1,215,000 | ||
7.5% 5/6/21 (f) | 1,140,000 | 1,256,850 | ||
9.04% 1/23/18 (f) | 967,284 | 1,124,468 | ||
Ecuador Republic 5% 2/28/25 | 218,000 | 152,600 | ||
Foreign Government and Government Agency Obligations - continued | ||||
| Principal Amount (c) | Value | ||
El Salvador Republic: | ||||
7.375% 12/1/19 (f) | $ 745,000 | $ 826,950 | ||
7.65% 6/15/35 (Reg. S) | 1,265,000 | 1,375,688 | ||
7.75% 1/24/23 (Reg. S) | 870,000 | 974,400 | ||
8.25% 4/10/32 (Reg. S) | 375,000 | 427,500 | ||
Gabonese Republic 8.2% 12/12/17 (f) | 1,410,000 | 1,617,975 | ||
Georgia Republic 7.5% 4/15/13 | 2,470,000 | 2,432,950 | ||
Ghana Republic 8.5% 10/4/17 (f) | 1,625,000 | 1,844,375 | ||
Hungarian Republic: | ||||
4.75% 2/3/15 | 430,000 | 425,700 | ||
6.25% 1/29/20 | 2,250,000 | 2,289,375 | ||
Indonesian Republic: | ||||
5.875% 3/13/20 (f) | 1,560,000 | 1,758,900 | ||
6.625% 2/17/37 (f) | 1,225,000 | 1,488,375 | ||
6.875% 3/9/17 (f) | 850,000 | 1,005,125 | ||
6.875% 1/17/18 (f) | 1,395,000 | 1,656,563 | ||
7.5% 1/15/16 (f) | 485,000 | 583,213 | ||
7.75% 1/17/38 (f) | 1,390,000 | 1,890,400 | ||
8.5% 10/12/35 (Reg. S) | 1,360,000 | 1,985,600 | ||
11.625% 3/4/19 (f) | 1,070,000 | 1,631,750 | ||
Islamic Republic of Pakistan 7.125% 3/31/16 (f) | 3,860,000 | 3,541,550 | ||
Lebanese Republic 4% 12/31/17 | 2,257,500 | 2,189,775 | ||
Lithuanian Republic: | ||||
6.75% 1/15/15 (f) | 1,585,000 | 1,719,725 | ||
7.375% 2/11/20 (f) | 1,685,000 | 1,906,156 | ||
Perusahaan Penerbit SBSN Indonesia 8.8% 4/23/14 (f) | 560,000 | 672,000 | ||
Peruvian Republic: | ||||
3% 3/7/27 (e) | 435,000 | 378,450 | ||
7.35% 7/21/25 | 950,000 | 1,220,750 | ||
Philippine Republic: | ||||
6.5% 1/20/20 | 805,000 | 951,913 | ||
9.5% 2/2/30 | 565,000 | 868,688 | ||
10.625% 3/16/25 | 520,000 | 834,600 | ||
Polish Government 3.875% 7/16/15 | 1,515,000 | 1,562,874 | ||
Provincia de Cordoba 12.375% 8/17/17 (f) | 1,060,000 | 1,046,750 | ||
Republic of Iraq 5.8% 1/15/28 (Reg. S) | 3,725,000 | 3,203,500 | ||
Republic of Serbia 6.75% 11/1/24 (f) | 5,558,334 | 5,419,375 | ||
Russian Federation: | ||||
3.625% 4/29/15 (f) | 800,000 | 792,000 | ||
5% 4/29/20 (f) | 1,900,000 | 1,938,000 | ||
7.5% 3/31/30 (Reg. S) | 10,025,240 | 11,904,973 | ||
12.75% 6/24/28 (Reg. S) | 1,800,000 | 3,249,000 | ||
Foreign Government and Government Agency Obligations - continued | ||||
| Principal Amount (c) | Value | ||
Turkish Republic: | ||||
5.625% 3/30/21 | $ 815,000 | $ 854,772 | ||
6.75% 4/3/18 | 1,395,000 | 1,586,813 | ||
6.75% 5/30/40 | 805,000 | 885,500 | ||
6.875% 3/17/36 | 2,920,000 | 3,259,596 | ||
7% 9/26/16 | 1,360,000 | 1,564,000 | ||
7.25% 3/15/15 | 730,000 | 839,500 | ||
7.25% 3/5/38 | 1,400,000 | 1,632,820 | ||
7.375% 2/5/25 | 3,690,000 | 4,386,672 | ||
7.5% 7/14/17 | 1,285,000 | 1,519,513 | ||
11.875% 1/15/30 | 660,000 | 1,123,650 | ||
Ukraine Cabinet of Ministers 6.875% 3/4/11 (Reg. S) | 4,480,000 | 4,502,400 | ||
Ukraine Government: | ||||
6.385% 6/26/12 (f) | 785,000 | 794,813 | ||
6.75% 11/14/17 (f) | 2,295,000 | 2,272,050 | ||
United Mexican States: | ||||
5.125% 1/15/20 | 468,000 | 507,780 | ||
5.625% 1/15/17 | 860,000 | 963,200 | ||
6.05% 1/11/40 | 738,000 | 839,475 | ||
7.5% 4/8/33 | 425,000 | 568,438 | ||
8.3% 8/15/31 | 420,000 | 604,800 | ||
Uruguay Republic: | ||||
6.875% 9/28/25 | 585,000 | 710,775 | ||
8% 11/18/22 | 2,566,902 | 3,349,807 | ||
Venezuelan Republic: | ||||
1.5125% 4/20/11 (Reg. S) (l) | 9,330,000 | 8,886,825 | ||
6% 12/9/20 | 860,000 | 477,300 | ||
7% 3/31/38 | 815,000 | 440,100 | ||
8.5% 10/8/14 | 960,000 | 792,000 | ||
9% 5/7/23 (Reg. S) | 3,675,000 | 2,340,975 | ||
9.25% 9/15/27 | 2,480,000 | 1,767,000 | ||
9.375% 1/13/34 | 985,000 | 635,325 | ||
10.75% 9/19/13 | 3,075,000 | 2,905,875 | ||
13.625% 8/15/18 | 3,698,000 | 3,392,915 | ||
Vietnamese Socialist Republic: | ||||
1.2103% 3/12/16 (l) | 902,609 | 837,170 | ||
4% 3/12/28 (e) | 3,040,000 | 2,576,400 | ||
Foreign Government and Government Agency Obligations - continued | ||||
| Principal Amount (c) | Value | ||
Vietnamese Socialist Republic: - continued | ||||
6.75% 1/29/20 (f) | $ 1,405,000 | $ 1,520,913 | ||
6.875% 1/15/16 (f) | 780,000 | 850,200 | ||
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $195,034,277) | 219,732,390 | |||
Supranational Obligations - 0.0% |
|
|
|
|
Corporacion Andina de Fomento 5.2% 5/21/13 | 242,000 | 260,033 | ||
Eurasian Development Bank 7.375% 9/29/14 (f) | 1,100,000 | 1,168,750 | ||
TOTAL SUPRANATIONAL OBLIGATIONS (Cost $1,334,862) | 1,428,783 |
Common Stocks - 0.0% | |||
Shares |
| ||
FINANCIALS - 0.0% | |||
Thrifts & Mortgage Finance - 0.0% | |||
Wrightwood Capital LLC warrants 7/31/14 (a)(f) (Cost $15) | 1,517 | 15 | |
Preferred Stocks - 0.0% | |||
|
|
|
|
Convertible Preferred Stocks - 0.0% | |||
UTILITIES - 0.0% | |||
Electric Utilities - 0.0% | |||
AES Trust III 6.75% | 28,100 | 1,320,138 | |
Nonconvertible Preferred Stocks - 0.0% | |||
FINANCIALS - 0.0% | |||
Diversified Financial Services - 0.0% | |||
GMAC, Inc. 7.00% (f) | 2,055 | 1,685,100 | |
TOTAL PREFERRED STOCKS (Cost $3,047,336) | 3,005,238 |
Floating Rate Loans - 0.4% | ||||
| Principal Amount (c) | Value | ||
CONSUMER DISCRETIONARY - 0.2% | ||||
Auto Components - 0.1% | ||||
Federal-Mogul Corp.: | ||||
Tranche B, term loan 2.2333% 12/27/14 (l) | $ 3,404,031 | $ 2,978,527 | ||
Tranche C, term loan 2.2114% 12/27/15 (l) | 2,138,162 | 1,849,510 | ||
| 4,828,037 | |||
Automobiles - 0.0% | ||||
Ford Motor Co. term loan 3.03% 12/15/13 (l) | 3,294,779 | 3,179,461 | ||
Hotels, Restaurants & Leisure - 0.0% | ||||
Las Vegas Sands LLC: | ||||
Tranche B, term loan 3.01% 11/23/16 (l) | 2,453,694 | 2,229,794 | ||
Tranche I, term loan 3.01% 11/23/16 (l) | 504,132 | 458,130 | ||
| 2,687,924 | |||
Media - 0.1% | ||||
Charter Communications Operating LLC Tranche B 1LN, term loan 2.26% 3/6/14 (l) | 4,013,220 | 3,807,743 | ||
Newsday LLC term loan 10.5% 8/1/13 | 3,505,000 | 3,724,063 | ||
Univision Communications, Inc. Tranche 1LN, term loan 2.5103% 9/29/14 (l) | 3,796,486 | 3,264,978 | ||
| 10,796,784 | |||
TOTAL CONSUMER DISCRETIONARY | 21,492,206 | |||
FINANCIALS - 0.0% | ||||
Diversified Financial Services - 0.0% | ||||
Clear Channel Capital I LLC Tranche B, term loan 3.9103% 1/29/16 (h)(l) | 3,165,000 | 2,520,131 | ||
INDUSTRIALS - 0.1% | ||||
Air Freight & Logistics - 0.0% | ||||
AWAS Aviation Acquisitions Ltd. term loan 7.75% 6/10/16 (l) | 3,865,000 | 3,898,819 | ||
Airlines - 0.1% | ||||
Delta Air Lines, Inc. Tranche 2LN, term loan 3.5294% 4/30/14 (l) | 4,171,816 | 3,848,500 | ||
United Air Lines, Inc. Tranche B, term loan 2.3125% 2/1/14 (l) | 830,471 | 755,729 | ||
US Airways Group, Inc. term loan 2.7616% 3/23/14 (l) | 1,055,000 | 888,838 | ||
| 5,493,067 | |||
Floating Rate Loans - continued | ||||
| Principal Amount (c) | Value | ||
INDUSTRIALS - continued | ||||
Machinery - 0.0% | ||||
Dresser, Inc. Tranche 2LN, term loan 6.1119% 5/4/15 pay-in-kind (l) | $ 2,335,000 | $ 2,229,925 | ||
TOTAL INDUSTRIALS | 11,621,811 | |||
INFORMATION TECHNOLOGY - 0.0% | ||||
Communications Equipment - 0.0% | ||||
Avaya, Inc. term loan 3.0575% 10/24/14 (l) | 2,079,238 | 1,819,334 | ||
MATERIALS - 0.0% | ||||
Containers & Packaging - 0.0% | ||||
Anchor Glass Container Corp.: | ||||
Tranche 1LN, term loan 6% 3/2/16 (l) | 1,828,716 | 1,815,001 | ||
Tranche 2LN, term loan 10% 9/2/16 (l) | 2,065,000 | 2,023,700 | ||
| 3,838,701 | |||
TELECOMMUNICATION SERVICES - 0.1% | ||||
Wireless Telecommunication Services - 0.1% | ||||
Asurion Corp. Tranche 2LN, term loan 6.79% 7/3/15 (l) | 3,685,000 | 3,537,600 | ||
Intelsat Jackson Holdings Ltd. term loan 3.5333% 2/1/14 (l) | 2,425,000 | 2,267,375 | ||
| 5,804,975 | |||
UTILITIES - 0.0% | ||||
Multi-Utilities - 0.0% | ||||
Ashmore Energy International: | ||||
Revolving Credit-Linked Deposit 3.4334% 3/30/12 (l) | 789,624 | 730,402 | ||
term loan 3.5334% 3/30/14 (l) | 5,198,889 | 4,808,972 | ||
| 5,539,374 | |||
TOTAL FLOATING RATE LOANS (Cost $48,223,477) | 52,636,532 | |||
Sovereign Loan Participations - 0.0% | ||||
| ||||
Indonesian Republic loan participation - Citibank 1.4375% 12/14/19 (l) | 1,781,006 | 1,638,525 | ||
Bank Notes - 0.0% | ||||
| Principal Amount (c) | Value | ||
National City Bank, Cleveland 0.6384% 3/1/13 (l) | $ 978,000 | $ 948,961 |
Fixed-Income Funds - 16.0% | |||
Shares |
| ||
Fidelity Corporate Bond 1-10 Year Central Fund (m) | 1,615,765 | 176,393,059 | |
Fidelity Floating Rate Central Fund (m) | 4,116,916 | 392,753,749 | |
Fidelity Mortgage Backed Securities Central Fund (m) | 14,017,666 | 1,486,994,027 | |
TOTAL FIXED-INCOME FUNDS (Cost $1,905,752,730) | 2,056,140,835 | ||
Preferred Securities - 0.1% | |||
Principal Amount (c) |
| ||
CONSUMER DISCRETIONARY - 0.0% | |||
Media - 0.0% | |||
Net Servicos de Comunicacao SA 9.25% (f) | $ 3,658,000 | 3,716,548 | |
ENERGY - 0.1% | |||
Oil, Gas & Consumable Fuels - 0.1% | |||
Pemex Project Funding Master Trust 7.75% | 4,610,000 | 4,683,664 | |
FINANCIALS - 0.0% | |||
Diversified Financial Services - 0.0% | |||
ING Groep NV 5.775% (l) | 1,052,000 | 879,213 | |
MUFG Capital Finance 1 Ltd. 6.346% (l) | 3,261,000 | 3,272,092 | |
| 4,151,305 | ||
TOTAL PREFERRED SECURITIES (Cost $10,701,096) | 12,551,517 | ||
Cash Equivalents - 6.8% | |||
Maturity Amount | Value | ||
Investments in repurchase agreements in a joint trading account at: | |||
0.24%, dated 8/31/10 due 9/1/10 (Collateralized by U.S. Government Obligations) # | $ 2,581,017 | $ 2,581,000 | |
0.25%, dated 8/31/10 due 9/1/10 (Collateralized by U.S. Government Obligations) # | 876,918,051 | 876,912,000 | |
TOTAL CASH EQUIVALENTS (Cost $879,493,000) | 879,493,000 | ||
TOTAL INVESTMENT PORTFOLIO - 107.1% (Cost $12,919,838,959) | 13,808,569,484 | ||
NET OTHER ASSETS (LIABILITIES) - (7.1)% | (921,220,907) | ||
NET ASSETS - 100% | $ 12,887,348,577 |
Swap Agreements | |||||
| Expiration Date | Notional Amount |
| ||
Credit Default Swaps | |||||
Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to Credit Suisse First Boston upon each credit event of one of the issues of ABX AA 07-01 Index, par value of the proportional notional amount (Rating-C) (Upfront Payment $480,000) (k) | Sept. 2037 | $ 3,051,763 | (2,861,562) | ||
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) (k) | Sept. 2037 | 3,509,527 | (3,290,796) | ||
Swap Agreements - continued | |||||
| Expiration Date | Notional Amount | Value | ||
Credit Default Swaps - continued | |||||
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) (k) | Sept. 2037 | $ 2,136,234 | $ (2,003,093) | ||
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 $936,000) (k) | Sept. 2037 | 5,493,173 | (5,150,811) | ||
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 $347,750) (k) | Sept. 2037 | 1,983,646 | (1,860,015) | ||
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. Series 2004-NC6 Class M3, 5.6413% 7/25/34 (j) | August 2034 | 27,453 | (16,179) | ||
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) (j) | Feb. 2034 | 787 | (725) | ||
Swap Agreements - continued | |||||
| Expiration Date | Notional Amount | Value | ||
Credit Default Swaps - continued | |||||
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) (j) | Sept. 2034 | $ 26,646 | $ (21,294) | ||
TOTAL CREDIT DEFAULT SWAPS | $ 16,229,229 | $ (15,204,475) | |||
Interest Rate Swaps | |||||
Receive semi-annually a fixed rate equal to 1.2857% and pay quarterly a floating rate based on 3-month LIBOR with JPMorgan Chase, Inc. | June 2012 | 200,000,000 | 2,787,700 | ||
| $ 216,229,229 | $ (12,416,775) |
Currency Abbreviations |
CAD - Canadian dollar |
Legend |
(a) Non-income producing |
(b) Non-income producing - Security is in default. |
(c) Principal amount is stated in United States dollars unless otherwise noted. |
(d) 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. |
(e) Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end. |
(f) Security 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 $982,512,371 or 7.6% of net assets. |
(g) 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 $32,892,640 or 0.3% of net assets. |
(h) Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(i) A portion of the security is subject to a forward commitment to sell. |
(j) Represents a credit default swap contract in which the Fund has sold protection on the underlying reference entity. The value of each credit default swap and the credit rating can be measures of the current payment/performance risk. For the underlying reference entity, ratings disclosed are from Moody's Investors Service, Inc. Where Moody's ratings are not available, S&P ratings are disclosed and are indicated as such. All ratings are as of the report date and do not reflect subsequent changes. Where a credit rating is not disclosed, the value is used as the measure of the payment/performance risk. |
(k) Represents a credit default swap based on a tradable index of home equity asset-backed debt securities. The value of each credit default swap and the credit rating can be measures of the current payment/ performance risk. In addition, the swap represents a contract in which the Fund has sold protection on the index of underlying securities. Ratings represent a weighted average of the ratings of all securities included in the index. Ratings used in the weighted average are from Moody's Investors Service, Inc., or S&P where Moody's ratings are not available. All ratings are as of the report date and do not reflect subsequent changes. |
(l) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. |
(m) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. A complete unaudited schedule of portfolio holdings for each Fidelity Central Fund is filed with the SEC for the first and third quarters of each fiscal year on Form N-Q and is available upon request or at the SEC's web site at www.sec.gov. An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro rata share of securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com 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. |
(n) Security represents right to receive monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool held as of the end of the period. |
(o) 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 $21,560 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 - 12/4/09 | $ 173,625 |
(p) 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 $15,551,578. |
# Additional information on each counterparty to the repurchase agreement is as follows: |
Repurchase Agreement / Counterparty | Value |
$2,581,000 due 9/01/10 at 0.24% | |
BNP Paribas Securities Corp. | $ 1,127,902 |
Banc of America Securities LLC | 422,807 |
Barclays Capital, Inc. | 1,030,291 |
| $ 2,581,000 |
$876,912,000 due 9/01/10 at 0.25% | |
Banc of America Securities LLC | $ 68,271,436 |
Bank of America NA | 102,475,505 |
Barclays Capital, Inc. | 204,951,010 |
Goldman, Sachs & Co. | 34,158,502 |
Merrill Lynch Government Securities, Inc. | 61,485,303 |
Mizuho Securities USA, Inc. | 273,268,013 |
Morgan Stanley & Co., Inc. | 132,302,231 |
| $ 876,912,000 |
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 Corporate Bond 1-10 Year Central Fund | $ 27,280,334 |
Fidelity Floating Rate Central Fund | 20,956,866 |
Fidelity Mortgage Backed Securities Central Fund | 53,271,481 |
Total | $ 101,508,681 |
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 Corporate Bond 1-10 Year Central Fund | $ 808,744,111 | $ - | $ 670,840,313 | $ 176,393,059 | 8.5% |
Fidelity Floating Rate Central Fund | 578,953,113 | 20,956,660 | 250,173,437 | 392,753,749 | 14.8% |
Fidelity Mortgage Backed Securities Central Fund | 1,508,325,013 | 353,412,622 | 430,225,830 | 1,486,994,027 | 21.2% |
Total | $ 2,896,022,237 | $ 374,369,282 | $ 1,351,239,580 | $ 2,056,140,835 |
Other Information |
The following is a summary of the inputs used, as of August 31, 2010, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the tables below, please refer to the 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: | ||||
Financials | $ 1,685,115 | $ - | $ 1,685,100 | $ 15 |
Utilities | 1,320,138 | - | 1,320,138 | - |
Corporate Bonds | 3,120,582,606 | - | 3,120,265,958 | 316,648 |
U.S. Government and Government Agency Obligations | 4,441,146,628 | - | 4,441,146,628 | - |
U.S. Government Agency - Mortgage Securities | 1,627,350,349 | - | 1,627,350,349 | - |
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Asset-Backed Securities | $ 303,926,817 | $ - | $ 269,573,321 | $ 34,353,496 |
Collateralized Mortgage Obligations | 234,971,636 | - | 228,820,187 | 6,151,449 |
Commercial Mortgage Securities | 824,798,436 | - | 764,576,903 | 60,221,533 |
Municipal Securities | 28,217,216 | - | 28,217,216 | - |
Foreign Government and Government Agency Obligations | 219,732,390 | - | 219,335,364 | 397,026 |
Supranational Obligations | 1,428,783 | - | 1,428,783 | - |
Floating Rate Loans | 52,636,532 | - | 52,636,532 | - |
Sovereign Loan Participations | 1,638,525 | - | 1,638,525 | - |
Bank Notes | 948,961 | - | 948,961 | - |
Fixed-Income Funds | 2,056,140,835 | 2,056,140,835 | - | - |
Preferred Securities | 12,551,517 | - | 12,551,517 | - |
Cash Equivalents | 879,493,000 | - | 879,493,000 | - |
Total Investments in Securities: | $ 13,808,569,484 | $ 2,056,140,835 | $ 11,650,988,482 | $ 101,440,167 |
Derivative Instruments: | ||||
Assets | ||||
Swap Agreements | $ 2,787,700 | $ - | $ 2,787,700 | $ - |
Liabilities | ||||
Swap Agreements | $ (15,204,475) | $ - | $ (15,166,277) | $ (38,198) |
Total Derivative Instruments: | $ (12,416,775) | $ - | $ (12,378,577) | $ (38,198) |
Other Financial Instruments: | ||||
Forward Commitments | $ (120,538) | $ - | $ (120,538) | $ - |
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 | $ 98,697,672 |
Total Realized Gain (Loss) | 7,316,267 |
Total Unrealized Gain (Loss) | 16,728,361 |
Cost of Purchases | 2,703,957 |
Proceeds of Sales | (27,502,742) |
Amortization/Accretion | 2,961,937 |
Transfers in to Level 3 | 41,855,045 |
Transfers out of Level 3 | (41,320,330) |
Ending Balance | $ 101,440,167 |
The change in unrealized gain (loss) for the period attributable to Level 3 securities held at August 31, 2010 | $ 17,721,726 |
Derivative Instruments: | |
Swap Agreements | |
Beginning Balance | $ (45,410) |
Total Unrealized Gain (Loss) | 29,732 |
Transfers in to Level 3 | (22,520) |
Transfers out of Level 3 | - |
Ending Balance | $ (38,198) |
Realized gain (loss) on Swap Agreements for the period | $ (4,461) |
The change in unrealized gain (loss) for the period attributable to Level 3 Swap Agreements held at August 31, 2010 | $ 22,071 |
The information used in the above reconciliation represents fiscal year to date activity for any Investments in Securities and Derivative Instruments identified as using Level 3 inputs at either the beginning or the end of the current fiscal period. Transfers in or out of Level 3 represent the beginning value of any Security or Instrument where a change in the pricing level occurred from the beginning to the end of the period. The cost of purchases and the proceeds of sales may include securities received or delivered through corporate actions or exchanges. 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, 2010. 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) | $ - | $ (15,204,475) |
Interest Rate Risk | ||
Swap Agreements (a) | 2,787,700 | - |
Total Value of Derivatives | $ 2,787,700 | $ (15,204,475) |
(a) Value is disclosed on the Statement of Assets and Liabilities in the Unrealized Appreciation and Unrealized Depreciation on Swap Agreements line-items. |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Statements
Statement of Assets and Liabilities
| August 31, 2010 | |
Assets | ||
Investment in securities, at value (including repurchase agreements of $879,493,000) - See accompanying schedule: Unaffiliated issuers (cost $11,014,086,229) | $ 11,752,428,649 |
|
Fidelity Central Funds (cost $1,905,752,730) | 2,056,140,835 |
|
Total Investments (cost $12,919,838,959) |
| $ 13,808,569,484 |
Commitment to sell securities on a delayed delivery basis | (500,461,116) | |
Receivable for securities sold on a delayed delivery basis | 500,340,578 | (120,538) |
Cash | 2,793,790 | |
Receivable for investments sold |
| 155,744,374 |
Delayed delivery |
| 14,500,494 |
Receivable for swap agreements | 2,135 | |
Receivable for fund shares sold | 63,505,642 | |
Interest receivable | 81,510,849 | |
Distributions receivable from Fidelity Central Funds | 6,051,590 | |
Unrealized appreciation on swap agreements | 2,787,700 | |
Other receivables | 36,218 | |
Total assets | 14,135,381,738 | |
Liabilities | ||
Payable for investments purchased | $ 40,174,018 | |
Delayed delivery | 1,108,911,980 | |
Payable for swap agreements | 228,372 | |
Payable for fund shares redeemed | 76,477,417 | |
Distributions payable | 1,776,602 | |
Unrealized depreciation on swap agreements | 15,204,475 | |
Accrued management fee | 3,388,756 | |
Distribution and service plan fees payable | 272,037 | |
Other affiliated payables | 1,555,568 | |
Other payables and accrued expenses | 43,936 | |
Total liabilities | 1,248,033,161 | |
|
|
|
Net Assets | $ 12,887,348,577 | |
Net Assets consist of: |
| |
Paid in capital | $ 12,065,377,451 | |
Undistributed net investment income | 75,166,700 | |
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions | (130,766,682) | |
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies | 877,571,108 | |
Net Assets | $ 12,887,348,577 |
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, 2010 | |
|
|
|
Calculation of Maximum Offering Price Class A: | $ 11.05 | |
|
|
|
Maximum offering price per share (100/96.00 of $11.05) | $ 11.51 | |
Class T: | $ 11.04 | |
|
|
|
Maximum offering price per share (100/96.00 of $11.04) | $ 11.50 | |
Class B: | $ 11.06 | |
|
|
|
Class C: | $ 11.05 | |
|
|
|
Total Bond: | $ 11.05 | |
|
|
|
Class F: | $ 11.05 | |
|
|
|
Institutional Class: | $ 11.04 |
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, 2010 | |
|
|
|
Investment Income |
|
|
Dividends |
| $ 1,447,432 |
Interest |
| 499,148,426 |
Income from Fidelity Central Funds |
| 101,508,681 |
Total income |
| 602,104,539 |
|
|
|
Expenses | ||
Management fee | $ 39,479,275 | |
Transfer agent fees | 13,428,905 | |
Distribution and service plan fees | 1,837,844 | |
Fund wide operations fee | 4,144,111 | |
Independent trustees' compensation | 43,022 | |
Miscellaneous | 48,966 | |
Total expenses before reductions | 58,982,123 | |
Expense reductions | (25,008) | 58,957,115 |
Net investment income | 543,147,424 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: |
|
|
Unaffiliated issuers | 279,900,028 | |
Fidelity Central Funds | 48,993,088 |
|
Foreign currency transactions | (285) | |
Swap agreements | 80,891,641 |
|
Total net realized gain (loss) |
| 409,784,472 |
Change in net unrealized appreciation (depreciation) on: Investment securities | 569,937,448 | |
Assets and liabilities in foreign currencies | 2,249 | |
Swap agreements | (63,704,363) | |
Delayed delivery commitments | 1,541,434 |
|
Total change in net unrealized appreciation (depreciation) |
| 507,776,768 |
Net gain (loss) | 917,561,240 | |
Net increase (decrease) in net assets resulting from operations | $ 1,460,708,664 |
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 | $ 543,147,424 | $ 552,729,690 |
Net realized gain (loss) | 409,784,472 | (524,000,402) |
Change in net unrealized appreciation (depreciation) | 507,776,768 | 750,351,058 |
Net increase (decrease) in net assets resulting | 1,460,708,664 | 779,080,346 |
Distributions to shareholders from net investment income | (513,099,556) | (503,411,775) |
Distributions to shareholders from net realized gain | (40,443,047) | (71,517,925) |
Total distributions | (553,542,603) | (574,929,700) |
Share transactions - net increase (decrease) | 9,934,978 | 684,114,730 |
Total increase (decrease) in net assets | 917,101,039 | 888,265,376 |
|
|
|
Net Assets | ||
Beginning of period | 11,970,247,538 | 11,081,982,162 |
End of period (including undistributed net investment income of $75,166,700 and undistributed net investment income of $60,445,769, respectively) | $ 12,887,348,577 | $ 11,970,247,538 |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Class A
Years ended August 31, | 2010 | 2009 | 2008 | 2007 | 2006 I | 2006 K |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 10.28 | $ 10.07 | $ 10.27 | $ 10.39 | $ 10.28 | $ 10.57 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income E | .428 | .494 | .488 | .508 | .043 | .476 |
Net realized and unrealized gain (loss) | .778 | .231 | (.189) | (.141) | .105 | (.294) H |
Total from investment operations | 1.206 | .725 | .299 | .367 | .148 | .182 |
Distributions from net investment income | (.402) | (.447) | (.474) | (.470) | (.038) | (.432) |
Distributions from net realized gain | (.034) | (.068) | (.025) | (.017) | - | (.040) |
Total distributions | (.436) | (.515) | (.499) | (.487) | (.038) | (.472) |
Net asset value, end of period | $ 11.05 | $ 10.28 | $ 10.07 | $ 10.27 | $ 10.39 | $ 10.28 |
Total Return B, C, D | 11.97% | 7.79% | 2.93% | 3.57% | 1.44% | 1.78% |
Ratios to Average Net Assets F, J |
|
|
|
|
| |
Expenses before reductions | .82% | .80% | .80% | .77% | .73% A | .79% |
Expenses net of fee waivers, if any | .82% | .80% | .80% | .77% | .73% A | .79% |
Expenses net of all reductions | .82% | .80% | .80% | .77% | .73% A | .79% |
Net investment income | 4.00% | 5.17% | 4.77% | 4.93% | 4.98% A | 4.61% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 805,816 | $ 107,998 | $ 80,755 | $ 48,076 | $ 6,780 | $ 4,545 |
Portfolio turnover rate G | 130% | 104% L | 122% | 116% L | 53% A | 99% |
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 reductions from 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. 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, | 2010 | 2009 | 2008 | 2007 | 2006 I | 2006 K |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 10.27 | $ 10.06 | $ 10.26 | $ 10.38 | $ 10.27 | $ 10.56 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income E | .426 | .488 | .489 | .508 | .042 | .466 |
Net realized and unrealized gain (loss) | .778 | .233 | (.191) | (.143) | .105 | (.296) H |
Total from investment operations | 1.204 | .721 | .298 | .365 | .147 | .170 |
Distributions from net investment income | (.400) | (.443) | (.473) | (.468) | (.037) | (.420) |
Distributions from net realized gain | (.034) | (.068) | (.025) | (.017) | - | (.040) |
Total distributions | (.434) | (.511) | (.498) | (.485) | (.037) | (.460) |
Net asset value, end of period | $ 11.04 | $ 10.27 | $ 10.06 | $ 10.26 | $ 10.38 | $ 10.27 |
Total Return B, C, D | 11.97% | 7.74% | 2.92% | 3.55% | 1.43% | 1.66% |
Ratios to Average Net Assets F, J |
|
|
|
|
| |
Expenses before reductions | .82% | .85% | .81% | .78% | .87% A | .91% |
Expenses net of fee waivers, if any | .82% | .85% | .81% | .78% | .87% A | .90% |
Expenses net of all reductions | .82% | .85% | .80% | .78% | .87% A | .90% |
Net investment income | 4.01% | 5.12% | 4.76% | 4.92% | 4.84% A | 4.50% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 71,349 | $ 48,090 | $ 38,574 | $ 42,191 | $ 6,293 | $ 4,583 |
Portfolio turnover rate G | 130% | 104% L | 122% | 116% L | 53% A | 99% |
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 reductions from 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. 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, | 2010 | 2009 | 2008 | 2007 | 2006 I | 2006 K |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 10.28 | $ 10.07 | $ 10.27 | $ 10.39 | $ 10.28 | $ 10.57 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income E | .351 | .423 | .413 | .432 | .037 | .399 |
Net realized and unrealized gain (loss) | .787 | .233 | (.190) | (.145) | .104 | (.296) H |
Total from investment operations | 1.138 | .656 | .223 | .287 | .141 | .103 |
Distributions from net investment income | (.324) | (.378) | (.398) | (.390) | (.031) | (.353) |
Distributions from net realized gain | (.034) | (.068) | (.025) | (.017) | - | (.040) |
Total distributions | (.358) | (.446) | (.423) | (.407) | (.031) | (.393) |
Net asset value, end of period | $ 11.06 | $ 10.28 | $ 10.07 | $ 10.27 | $ 10.39 | $ 10.28 |
Total Return B, C, D | 11.26% | 7.01% | 2.17% | 2.77% | 1.38% | 1.01% |
Ratios to Average Net Assets F, J |
|
|
|
|
| |
Expenses before reductions | 1.53% | 1.53% | 1.54% | 1.53% | 1.51% A | 1.59% |
Expenses net of fee waivers, if any | 1.53% | 1.53% | 1.54% | 1.53% | 1.51% A | 1.55% |
Expenses net of all reductions | 1.53% | 1.53% | 1.54% | 1.53% | 1.51% A | 1.55% |
Net investment income | 3.29% | 4.44% | 4.03% | 4.17% | 4.22% A | 3.85% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 13,017 | $ 9,054 | $ 9,645 | $ 6,054 | $ 1,720 | $ 1,667 |
Portfolio turnover rate G | 130% | 104% L | 122% | 116% L | 53% A | 99% |
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 reductions from 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. 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, | 2010 | 2009 | 2008 | 2007 | 2006 I | 2006 K |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 10.28 | $ 10.07 | $ 10.27 | $ 10.39 | $ 10.28 | $ 10.57 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income E | .354 | .425 | .413 | .429 | .036 | .389 |
Net realized and unrealized gain (loss) | .778 | .232 | (.189) | (.145) | .105 | (.293) H |
Total from investment operations | 1.132 | .657 | .224 | .284 | .141 | .096 |
Distributions from net investment income | (.328) | (.379) | (.399) | (.387) | (.031) | (.346) |
Distributions from net realized gain | (.034) | (.068) | (.025) | (.017) | - | (.040) |
Total distributions | (.362) | (.447) | (.424) | (.404) | (.031) | (.386) |
Net asset value, end of period | $ 11.05 | $ 10.28 | $ 10.07 | $ 10.27 | $ 10.39 | $ 10.28 |
Total Return B, C, D | 11.20% | 7.02% | 2.18% | 2.75% | 1.37% | .94% |
Ratios to Average Net Assets F, J |
|
|
|
|
| |
Expenses before reductions | 1.50% | 1.52% | 1.53% | 1.55% | 1.60% A | 1.62% |
Expenses net of fee waivers, if any | 1.50% | 1.52% | 1.53% | 1.55% | 1.60% A | 1.62% |
Expenses net of all reductions | 1.50% | 1.52% | 1.53% | 1.55% | 1.60% A | 1.62% |
Net investment income | 3.32% | 4.45% | 4.03% | 4.15% | 4.13% A | 3.78% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 91,439 | $ 55,958 | $ 28,786 | $ 18,890 | $ 2,106 | $ 1,770 |
Portfolio turnover rate G | 130% | 104% L | 122% | 116% L | 53% A | 99% |
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 reductions from 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. 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, | 2010 | 2009 | 2008 | 2007 | 2006 H | 2006 J |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 10.28 | $ 10.07 | $ 10.27 | $ 10.39 | $ 10.28 | $ 10.57 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income D | .466 | .527 | .524 | .543 | .046 | .506 |
Net realized and unrealized gain (loss) | .778 | .232 | (.189) | (.143) | .105 | (.290) G |
Total from investment operations | 1.244 | .759 | .335 | .400 | .151 | .216 |
Distributions from net investment income | (.440) | (.481) | (.510) | (.503) | (.041) | (.466) |
Distributions from net realized gain | (.034) | (.068) | (.025) | (.017) | - | (.040) |
Total distributions | (.474) | (.549) | (.535) | (.520) | (.041) | (.506) |
Net asset value, end of period | $ 11.05 | $ 10.28 | $ 10.07 | $ 10.27 | $ 10.39 | $ 10.28 |
Total Return B, C | 12.37% | 8.17% | 3.29% | 3.89% | 1.46% | 2.11% |
Ratios to Average Net Assets E, I |
|
|
|
|
| |
Expenses before reductions | .45% | .45% | .45% | .45% | .45% A | .45% |
Expenses net of fee waivers, if any | .45% | .45% | .45% | .45% | .45% A | .45% |
Expenses net of all reductions | .45% | .45% | .45% | .45% | .45% A | .45% |
Net investment income | 4.37% | 5.52% | 5.12% | 5.25% | 5.26% A | 4.95% |
Supplemental Data |
|
|
|
|
| |
Net assets, end of period (000 omitted) | $ 11,342,385 | $ 10,863,828 | $ 9,976,432 | $ 6,450,177 | $ 2,421,077 | $ 2,306,817 |
Portfolio turnover rate F | 130% | 104% K | 122% | 116% K | 53% A | 99% |
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 reductions from 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. 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
Years ended August 31, | 2010 | 2009 G |
Selected Per-Share Data |
|
|
Net asset value, beginning of period | $ 10.27 | $ 9.89 |
Income from Investment Operations |
|
|
Net investment income D | .476 | .100 |
Net realized and unrealized gain (loss) | .788 | .359 |
Total from investment operations | 1.264 | .459 |
Distributions from net investment income | (.450) | (.079) |
Distributions from net realized gain | (.034) | - |
Total distributions | (.484) | (.079) |
Net asset value, end of period | $ 11.05 | $ 10.27 |
Total Return B, C | 12.59% | 4.64% |
Ratios to Average Net Assets E, H |
|
|
Expenses before reductions | .35% | .35% A |
Expenses net of fee waivers, if any | .35% | .35% A |
Expenses net of all reductions | .35% | .35% A |
Net investment income | 4.47% | 5.79% A |
Supplemental Data |
|
|
Net assets, end of period (000 omitted) | $ 53,956 | $ 329 |
Portfolio turnover rate F | 130% | 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 reductions from 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, | 2010 | 2009 | 2008 | 2007 | 2006 H | 2006 J |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 10.26 | $ 10.06 | $ 10.26 | $ 10.38 | $ 10.27 | $ 10.57 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income D | .458 | .518 | .516 | .527 | .045 | .493 |
Net realized and unrealized gain (loss) | .788 | .224 | (.186) | (.134) | .105 | (.294) G |
Total from investment operations | 1.246 | .742 | .330 | .393 | .150 | .199 |
Distributions from net investment income | (.432) | (.474) | (.505) | (.496) | (.040) | (.459) |
Distributions from net realized gain | (.034) | (.068) | (.025) | (.017) | - | (.040) |
Total distributions | (.466) | (.542) | (.530) | (.513) | (.040) | (.499) |
Net asset value, end of period | $ 11.04 | $ 10.26 | $ 10.06 | $ 10.26 | $ 10.38 | $ 10.27 |
Total Return B, C | 12.41% | 7.99% | 3.24% | 3.83% | 1.46% | 1.95% |
Ratios to Average Net Assets E, I |
|
|
|
|
| |
Expenses before reductions | .52% | .53% | .51% | .50% | .54% A | .56% |
Expenses net of fee waivers, if any | .52% | .53% | .51% | .50% | .54% A | .56% |
Expenses net of all reductions | .52% | .53% | .51% | .49% | .54% A | .56% |
Net investment income | 4.30% | 5.45% | 5.06% | 5.21% | 5.16% A | 4.84% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 509,388 | $ 884,991 | $ 947,791 | $ 348,636 | $ 1,058 | $ 933 |
Portfolio turnover rate F | 130% | 104% K | 122% | 116% K | 53% A | 99% |
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 reductions from 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. 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, 2010
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. The Fund offers Class A, Class T, Class C, Total Bond, Class F, and Institutional Class shares, each of which has equal rights as to assets and voting privileges. Effective after the close of business on September 1, 2010, Class B shares were closed to new accounts and additional purchases by existing shareholders. 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. Subsequent to period end, all Class F shares were redeemed and the Fund no longer offers Class F shares to investors.
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 Funds 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 | FMR Co., Inc. (FMRC) | Seeks a high level of income by normally investing in floating rate loans and other floating rate securities. | Loans & Direct Debt 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 each Fund, which presents direct holdings as well as the pro-rata share of any securities and other investments held indirectly through each fund's 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 Securities and Exchange Commission (the SEC) web site at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including security valuation policies) of those funds, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC 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 (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. 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. When current market prices or quotations are not readily available or reliable, valuations may be determined in good faith in accordance with procedures adopted by the Board of Trustees. Factors used in determining value may include market or security specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The value used for net asset value (NAV) calculation under these procedures may differ from published prices for the same securities.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below.
Level 1 - quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the fund's own assumptions based on the best information available)
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level, as of August 31, 2010, for the Fund's investments as well as a roll forward of Level 3 securities, is included at the end of the Fund's Schedule of Investments. Valuation techniques used to value the Fund's investments by major category are as follows.
Debt securities, including restricted securities, are valued based on evaluated prices received from independent pricing services or from dealers who make markets in such securities. For corporate bonds, bank notes, foreign government and government agency obligations, preferred securities, supranational obligations, and U.S. government and government agency obligations, pricing services utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices and are generally categorized as Level 2 in the hierarchy. For asset backed securities, collateralized mortgage obligations, commercial mortgage securities, and U.S. government agency mortgage securities, pricing services utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices and, accordingly, such securities are generally categorized as Level 2 in the hierarchy. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates fair value and are categorized as Level 2 in the hierarchy.
Annual Report
Notes to Financial Statements - continued
3. Significant Accounting Policies - continued
Security Valuation - continued
Swaps are marked-to-market daily based on valuations from independent pricing services or dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Pricing services utilize matrix pricing which considers comparisons to interest rate curves, credit spread curves, default possibilities and recovery rates and, as a result, swaps are generally categorized as Level 2 in the hierarchy.
When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing matrices which consider similar factors that would be used by independent pricing services. These are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by an independent pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when significant market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-traded funds (ETFs) and certain indexes as well as quoted prices for similar securities are used and are categorized as Level 2 in the hierarchy in these circumstances. Utilizing these techniques may result in transfers between Level 1 and Level 2. For restricted securities and private placements where observable inputs are limited, assumptions about market activity and risk are used and are categorized as Level 3 in the hierarchy.
Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day and are categorized as Level 1 in the hierarchy.
Foreign Currency. The Fund uses foreign currency contracts to facilitate transactions in foreign-denominated securities. Gains and 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.
Annual Report
3. Significant Accounting Policies - continued
Foreign Currency - continued
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 is accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt 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. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.
Expenses. Most expenses of the Trust can be directly attributed to a fund. Expenses which cannot be directly attributed are apportioned amongst 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 may elect to defer receipt of a 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.
Annual Report
Notes to Financial Statements - continued
3. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders. Each year the Fund intends to qualify as a regulated investment company, including 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. As of August 31, 2010, the Fund did not have any 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 GAAP. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.
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, market discount, 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 federal tax cost of investment securities and unrealized appreciation (depreciation) as of period end were as follows:
Gross unrealized appreciation | $ 744,249,147 |
Gross unrealized depreciation | (68,126,956) |
Net unrealized appreciation (depreciation) | $ 676,122,191 |
|
|
Tax Cost | $ 13,132,447,293 |
The tax-based components of distributable earnings as of period end were as follows:
Undistributed ordinary income | $ 157,504,730 |
|
|
Net unrealized appreciation (depreciation) | $ 664,502,979 |
The tax character of distributions paid was as follows:
| August 31, 2010 | August 31, 2009 |
Ordinary Income | $ 553,542,603 | $ 574,929,700 |
Annual Report
4. Operating Policies.
Repurchase Agreements. Fidelity Management & Research Company (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 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 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.
Annual Report
Notes to Financial Statements - continued
4. Operating Policies - continued
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. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund uses derivative instruments (derivatives), including swap agreements, in order to meet its investment objectives. The strategy is to use derivatives to increase returns, to gain exposure to certain types of assets and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.
The Fund's use of derivatives may increase or decrease its exposure to the following risks:
Credit Risk | Credit risk relates to the ability of the issuer to a financial instrument 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 relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates. |
The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to sell the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain over-the-counter derivatives, the Fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association (ISDA) Master Agreement on a bilateral basis with each of its counterparties. The ISDA Master Agreement gives each counterparty the right to terminate all transactions traded under such agreement if there is a certain deterioration in the credit quality of the other party. The ISDA Master Agreement gives the Fund the right, upon an event of default by the applicable counterparty or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk, the Fund offsets certain payables and/or receivables with collateral. Collateral, in the form of cash or securities, may be required
Annual Report
5. Derivative Instruments - continued
Risk Exposures and the Use of Derivative Instruments - continued
to be held in segregated accounts with the Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the swap counterparty and the Fund's custodian bank and, if required, is identified in the Schedule of Investments. The Fund could experience delays and costs in gaining access to the collateral even though it is held by the Fund's custodian bank. The Fund's maximum risk of loss from counterparty credit risk is generally the aggregate unrealized appreciation and unpaid counterparty fees in excess of any collateral pledged by the counterparty to the Fund. Risk of loss may exceed the amounts recognized in the Statement of Assets and Liabilities.
Net Realized Gain (Loss) and Change in Net Unrealized Appreciation (Depreciation) on Derivatives. The table below, which reflects the impacts of derivatives on the financial performance of the Fund, summarizes the net realized gain (loss) and change in net unrealized appreciation (depreciation) for derivatives during the period.
Risk Exposure / Derivative Type | Net Realized Gain | Change in Net |
Credit Risk |
|
|
Swap Agreements | $ (3,737,085) | $ 4,285,807 |
Interest Rate Risk |
|
|
Swap Agreements | 84,628,726 | (67,990,170) |
Totals (a) | $ 80,891,641 | $ (63,704,363) |
(a) A summary of the value of derivatives by risk exposure as of period end, if any, is included at the end of the Schedule of Investments and is representative of activity for the period.
Swap Agreements. A swap agreement (swap) is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount.
Details of swaps open at period end, if any, are included in the Schedule of Investments under the caption "Swap Agreements." Swaps are marked-to-market daily and changes in value are recorded as unrealized appreciation or (depreciation) and reflected in the Statement of Assets and Liabilities. Any upfront payments made or received upon entering a swap to compensate for differences between stated terms of the agreement and prevailing market conditions (e.g. credit spreads, interest rates or other factors) are recorded as realized gain or (loss) ratably over the term of the swap. Payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gain or (loss). Realized gain or (loss) is also recorded in the event of an early termination of a swap. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on swaps during the period is included in the Statement of Operations.
Annual Report
Notes to Financial Statements - continued
5. Derivative Instruments - continued
Swap Agreements - continued
Risks of loss may include credit risk and interest rate risk. 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.
Interest Rate Swaps. Interest rate swaps are agreements between counterparties to exchange cash flows, one based on a fixed rate, and the other on a floating rate. The Fund entered into interest rate swaps to manage its exposure to interest rate changes. Changes in interest rates can have an effect on both the value of 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.
Credit Default Swaps. Credit default swaps enable the Fund to buy or sell protection on a debt security or a basket of securities against a defined credit event. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller acts as a guarantor of the creditworthiness of a reference obligation. The Fund entered into credit default swaps as a seller to gain credit exposure to an issuer and/or as a buyer to provide a measure of protection against defaults of an issuer. The issuer may be either a single issuer or a "basket" of issuers. Periodic payments are made over the life of the contract provided that no credit event occurs.
For credit default swaps on most corporate and sovereign issuers, credit events include bankruptcy, failure to pay, obligation acceleration or repudiation/moratorium. For credit default swaps on corporate or sovereign issuers, the obligation that may be put to the seller is not limited to the specific reference obligation described in the 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 write-down. For credit default swaps on asset-backed securities, the reference obligation described represents the security that may be put to the seller.
As a seller, if an underlying credit event occurs, the Fund will either pay the buyer an amount equal to the notional amount of the swap and take delivery of the reference obligation or underlying securities comprising an index or pay a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index.
As a buyer, if an underlying credit event occurs, the Fund will either receive from the seller an amount equal to the notional amount of the swap and deliver the reference obligation or underlying securities comprising an index or receive a net settlement
Annual Report
5. Derivative Instruments - continued
Credit Default Swaps - continued
amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index.
Typically, the value of each credit default swap and credit rating disclosed for each reference obligation in the Schedule of Investments, where the Fund is the seller, can be used as measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. Any current or future declines in the value of the swap may be partially offset by upfront payments received by the Fund as the seller, if applicable. In addition to these measures, FMR monitors a variety of factors including cash flow assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/performance risk.
The notional amount of credit default swaps is included in the 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 and a credit event were to occur. The total notional amount of all credit default swaps open at period end where the Fund is the seller amounted to $16,229,229 representing .13% of net assets.
6. Purchases and Sales of Investments.
Purchases and sales of securities, including the Fixed-Income Central Funds, other than short-term securities and U.S. government securities, aggregated $2,490,412,485 and $3,992,359,170, 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.
Distribution and Service Plan Fees. 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,
Annual Report
Notes to Financial Statements - continued
7. Fees and Other Transactions with Affiliates - continued
Distribution and Service Plan Fees - continued
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 | .00% | .25% | $ 849,181 | $ - |
Class T | .00% | .25% | 137,799 | - |
Class B | .65% | .25% | 94,670 | 71,003 |
Class C | .75% | .25% | 756,194 | 193,353 |
|
|
| $ 1,837,844 | $ 264,356 |
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% 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 | $ 33,422 |
Class T | 7,769 |
Class B* | 18,755 |
Class C* | 10,604 |
| $ 70,550 |
* 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. FIIOC receives an asset-based fee of .10% of Total Bond's average net assets. FIIOC receives no fees for providing transfer agency services to Class F. FIIOC pays for typesetting, printing and
Annual Report
7. Fees and Other Transactions with Affiliates - continued
Transfer Agent Fees - continued
mailing of shareholder reports, except proxy statements. For the period, each class paid the following transfer agent fees:
| Amount | % of |
Class A | $ 757,037 | .22 |
Class T | 120,890 | .22 |
Class B | 29,768 | .28 |
Class C | 112,400 | .15 |
Total Bond | 11,262,275 | .10 |
Institutional Class | 1,146,535 | .17 |
| $ 13,428,905 |
|
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. Committed Line of Credit.
The Fund participates with other funds managed by FMR or an affiliate in a $3.75 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 $48,966 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, there were no borrowings on this line of credit.
9. 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
Annual Report
Notes to Financial Statements - continued
9. Security Lending - continued
delivered to the Fund on the next business day. If the borrower defaults on its obligation 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. At period end, there were no security loans outstanding. 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 $119,277.
10. Expense Reductions.
Through arrangements with the Fund's custodian, 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 expenses by $25,008.
11. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Years ended August 31, | 2010 | 2009 A |
From net investment income |
|
|
Class A | $ 12,047,548 | $ 3,847,702 |
Class T | 2,077,349 | 1,872,372 |
Class B | 318,564 | 334,350 |
Class C | 2,301,111 | 1,445,182 |
Total Bond | 466,064,893 | 454,620,480 |
Class F | 3,199,988 | 2,418 |
Institutional Class | 27,090,103 | 41,289,271 |
Total | $ 513,099,556 | $ 503,411,775 |
From net realized gain |
|
|
Class A | $ 414,764 | $ 551,756 |
Class T | 166,992 | 276,592 |
Class B | 32,729 | 67,464 |
Class C | 224,151 | 216,528 |
Total Bond | 37,012,590 | 64,472,390 |
Class F | 328,077 | - |
Institutional Class | 2,263,744 | 5,933,195 |
Total | $ 40,443,047 | $ 71,517,925 |
A Distributions for Class F are for the period June 26, 2009 (commencement of sale of shares) to August 31, 2010.
Annual Report
12. Share Transactions.
Transactions for each class of shares were as follows:
| Shares | Dollars | ||
Years ended August 31, | 2010 | 2009 A | 2010 | 2009 A |
Class A |
|
|
|
|
Shares sold | 81,938,740 | 5,984,791 | $ 881,456,370 | $ 57,444,987 |
Reinvestment of distributions | 1,085,950 | 406,888 | 11,735,735 | 3,861,183 |
Shares redeemed | (20,631,216) | (3,902,315) | (224,850,719) | (36,894,839) |
Net increase (decrease) | 62,393,474 | 2,489,364 | $ 668,341,386 | $ 24,411,331 |
Class T |
|
|
|
|
Shares sold | 5,482,327 | 2,362,273 | $ 59,090,633 | $ 22,525,326 |
Reinvestment of distributions | 193,214 | 212,303 | 2,057,888 | 2,007,899 |
Shares redeemed | (3,897,766) | (1,724,975) | (41,737,610) | (16,315,286) |
Net increase (decrease) | 1,777,775 | 849,601 | $ 19,410,911 | $ 8,217,939 |
Class B |
|
|
|
|
Shares sold | 634,184 | 554,201 | $ 6,787,446 | $ 5,314,152 |
Reinvestment of distributions | 24,969 | 28,612 | 266,359 | 270,597 |
Shares redeemed | (362,539) | (659,643) | (3,860,818) | (6,193,443) |
Net increase (decrease) | 296,614 | (76,830) | $ 3,192,987 | $ (608,694) |
Class C |
|
|
|
|
Shares sold | 5,045,673 | 4,153,350 | $ 53,748,889 | $ 39,736,399 |
Reinvestment of distributions | 208,443 | 152,104 | 2,222,830 | 1,446,118 |
Shares redeemed | (2,426,055) | (1,718,977) | (25,927,799) | (16,256,813) |
Net increase (decrease) | 2,828,061 | 2,586,477 | $ 30,043,920 | $ 24,925,704 |
Total Bond |
|
|
|
|
Shares sold | 422,908,452 | 373,151,213 | $ 4,503,077,533 | $ 3,605,197,725 |
Reinvestment of distributions | 45,440,114 | 53,605,881 | 483,982,145 | 507,857,810 |
Shares redeemed | (499,273,762) | (360,364,229) | (5,322,918,715) | (3,408,960,293) |
Net increase (decrease) | (30,925,196) | 66,392,865 | $ (335,859,037) | $ 704,095,242 |
Class F |
|
|
|
|
Shares sold | 22,658,279 | 33,569 | $ 240,489,270 | $ 332,941 |
Reinvestment of distributions | 330,686 | 236 | 3,528,064 | 2,418 |
Shares redeemed | (18,138,196) | (1,783) | (194,727,472) | (18,285) |
Net increase (decrease) | 4,850,769 | 32,022 | $ 49,289,862 | $ 317,074 |
Annual Report
Notes to Financial Statements - continued
12. Share Transactions - continued
| Shares | Dollars | ||
Years ended August 31, | 2010 | 2009 A | 2010 | 2009 A |
Institutional Class |
|
|
|
|
Shares sold | 7,672,038 | 13,719,215 | $ 81,533,429 | $ 128,522,571 |
Reinvestment of distributions | 2,731,098 | 4,940,454 | 29,005,332 | 46,673,580 |
Shares redeemed | (50,480,446) | (26,671,015) | (535,023,812) | (252,440,017) |
Net increase (decrease) | (40,077,310) | (8,011,346) | $ (424,485,051) | $ (77,243,866) |
A Share transactions for Class F are for the period June 26, 2009 (commencement of sale of shares) to August 31, 2010.
13. 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.
14. Credit Risk.
The Fund invests a portion of its assets 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, 2010, 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, 2010 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
PricewaterhouseCoopers LLP
Boston, Massachusetts
October 22, 2010
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, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance. Except for James C. Curvey, each of the Trustees oversees 189 funds advised by FMR or an affiliate. Mr. Curvey oversees 410 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 75th 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.
Experience, Skills, Attributes, and Qualifications of the Fund's Trustees. The Governance and Nominating Committee has adopted a statement of policy that describes the experience, qualifications, attributes, and skills that are necessary and desirable for potential Independent Trustee candidates (Statement of Policy). The Board believes that each Trustee satisfied at the time he or she was initially elected or appointed a Trustee, and continues to satisfy, the standards contemplated by the Statement of Policy. The Governance and Nominating Committee also engages professional search firms to help identify potential Independent Trustee candidates who have the experience, qualifications, attributes, and skills consistent with the Statement of Policy. From time to time, additional criteria based on the composition and skills of the current Independent Trustees, as well as experience or skills that may be appropriate in light of future changes to board composition, business conditions, and regulatory or other developments, have also been considered by the professional search firms and the Governance and Nominating Committee. In addition, the Board takes into account the Trustees' commitment and participation in Board and committee meetings, as well as their leadership of standing and ad hoc committees throughout their tenure.
In determining that a particular Trustee was and continues to be qualified to serve as a Trustee, the Board has considered a variety of criteria, none of which, in isolation, was controlling. The Board believes that, collectively, the Trustees have balanced and diverse experience, qualifications, attributes, and skills, which allow the Board to operate effectively in governing the fund and protecting the interests of shareholders. Information about the specific experience, skills, attributes, and qualifications of each Trustee, which in each case led to the Board's conclusion that the Trustee should serve (or continue to serve) as a trustee of the fund, is provided below.
Annual Report
Board Structure and Oversight Function. Abigail P. Johnson is an interested person (as defined in the 1940 Act) and currently serves as Chairman. The Trustees have determined that an interested Chairman is appropriate and benefits shareholders because an interested Chairman has a personal and professional stake in the quality and continuity of services provided to the fund. Independent Trustees exercise their informed business judgment to appoint an individual of their choosing to serve as Chairman, regardless of whether the Trustee happens to be independent or a member of management. The Independent Trustees have determined that they can act independently and effectively without having an Independent Trustee serve as Chairman and that a key structural component for assuring that they are in a position to do so is for the Independent Trustees to constitute a substantial majority for the Board. The Independent Trustees also regularly meet in executive session. Kenneth L. Wolfe serves as Chairman of the Independent Trustees and as such (i) acts as a liaison between the Independent Trustees and management with respect to matters important to the Independent Trustees and (ii) with management prepares agendas for Board meetings.
Fidelity funds are overseen by different Boards of Trustees. The fund's Board oversees Fidelity's investment-grade bond, money market, and asset allocation funds and another Board oversees Fidelity's equity and high income funds. The asset allocation funds may invest in Fidelity funds that are overseen by such other Board. The use of separate Boards, each with its own committee structure, allows the Trustees of each group of Fidelity funds to focus on the unique issues of the funds they oversee, including common research, investment, and operational issues. On occasion, the separate Boards establish joint committees to address issues of overlapping consequences for the Fidelity funds overseen by each Board.
The Trustees operate using a system of committees to facilitate the timely and efficient consideration of all matters of importance to the Trustees, the fund, and fund shareholders and to facilitate compliance with legal and regulatory requirements and oversight of the fund's activities and associated risks. The Board, acting through its committees, has charged FMR and its affiliates with (i) identifying events or circumstances the occurrence of which could have demonstrably adverse effects on the fund's business and/or reputation; (ii) implementing processes and controls to lessen the possibility that such events or circumstances occur or to mitigate the effects of such events or circumstances if they do occur; and (iii) creating and maintaining a system designed to evaluate continuously business and market conditions in order to facilitate the identification and implementation processes described in (i) and (ii) above. Because the day-to-day operations and activities of the fund are carried out by or through FMR, its affiliates and other service providers, the fund's exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees. While each of the Board's committees has responsibility for overseeing different aspects of the fund's activities, oversight is exercised primarily through the Operations and Audit Committees. Appropriate personnel, including but not limited to the fund's Chief Compliance Officer (CCO), FMR's internal auditor, the independent accountants, the fund's Treasurer and portfolio management personnel, make periodic reports to the Board's committees, as appropriate. The responsibilities of each committee, including their oversight responsibilities, are described further under "Standing Committees of the Fund's Trustees."
Annual Report
Trustees and Officers - continued
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 Occupations and Other Relevant Experience+ | |
Abigail P. Johnson (48) | |
| 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, Workplace and Institutional Services (2005-present). Ms. Johnson is the Vice Chairman and Director (2007-present) of FMR LLC. Previously, Ms. Johnson served as President and a Director of FMR (2001-2005), a Trustee of other investment companies advised by FMR, Fidelity Investments Money Management, Inc., and FMR Co., Inc. (2001-2005), Senior Vice President of the Fidelity funds (2001-2005), and managed a number of Fidelity funds. Ms. Abigail P. Johnson and Mr. Arthur E. Johnson are not related. |
James C. Curvey (75) | |
| 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 Fidelity Investments Money Management, Inc. (2009-present), Director of Fidelity Research & Analysis Co. (2009-present) and Director of FMR and FMR Co., Inc. (2007-present). Mr. Curvey is also Vice Chairman (2007-present) and Director of FMR LLC. In addition, Mr. Curvey serves as an Overseer for the Boston Symphony Orchestra and a member of the Trustees of Villanova University. Previously, Mr. Curvey was the Vice Chairman (2006-2007) and Director (2000-2007) of FMR Corp. |
Annual Report
* 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.
+ The information above includes each Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to each Trustee's qualifications to serve as a Trustee, which led to the conclusion that each Trustee should serve as a Trustee for the fund.
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 Occupations and Other Relevant Experience+ | |
Albert R. Gamper, Jr. (68) | |
| 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 (2002-2003). He also served as President and Chief Executive Officer of Tyco Capital Corporation (2001-2002). Mr. Gamper currently serves as a member of the Board of Directors of Public Service Enterprise Group (utilities, 2000-present), 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). |
Robert F. Gartland (58) | |
| Year of Election or Appointment: 2010 Mr. Gartland is a partner and investor of Vietnam Partners LLC (investments and consulting, 2008-present) and is Chairman and an investor in Gartland and Mellina Group Corp. (consulting, 2009-present). Prior to his retirement, Mr. Gartland held a variety of positions at Morgan Stanley (financial services, 1979-2007) including Managing Director (1987-2007). |
Arthur E. Johnson (63) | |
| 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). Prior to his retirement, Mr. Johnson served as Senior Vice President of Corporate Strategic Development of Lockheed Martin Corporation (defense contractor, 1999-2009). He previously served on the Board of Directors of IKON Office Solutions, Inc. (1999-2008) and Delta Airlines (2005-2007). Mr. Arthur E. Johnson and Ms. Abigail P. Johnson are not related. |
Michael E. Kenneally (56) | |
| Year of Election or Appointment: 2009 Previously, Mr. Kenneally served as a Member of the Advisory Board for certain Fidelity Fixed Income and Asset Allocation Funds (2008-2009). Prior to his retirement, 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 funds, 2004-2008) and certain other closed-end funds (2004-2005) and was awarded the Chartered Financial Analyst (CFA) designation in 1991. |
James H. Keyes (69) | |
| 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, since 2002) and Pitney Bowes, Inc. (integrated mail, messaging, and document management solutions, since 1998). Prior to his retirement, Mr. Keyes served as Chairman and Chief Executive Officer of Johnson Controls (automotive, building, and energy, 1998-2002) and as a member of the Board of LSI Logic Corporation (semiconductor technologies, 1984-2008). |
Marie L. Knowles (63) | |
| 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 and Chairman of the Audit Committee of McKesson Corporation (healthcare service, since 2002). 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 (71) | |
| Year of Election or Appointment: 2005 Mr. Wolfe is Chairman of the Independent Trustees of the Fixed Income and Asset Allocation Funds (2008-present). Prior to his retirement, Mr. Wolfe served as Chairman and a Director (2007-2009) and Chairman and Chief Executive Officer (1994-2001) of Hershey Foods Corporation. He also served as a member of the Boards of Adelphia Communications Corporation (telecommunications, 2003-2006), Bausch & Lomb, Inc. (medical/pharmaceutical, 1993-2007), and Revlon, Inc. (personal care products, 2004-2009). |
+ The information above includes each Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to each Trustee's qualifications to serve as a Trustee, which led to the conclusion that each Trustee should serve as a Trustee for the fund.
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 (52) | |
| Year of Election or Appointment: 2008 President and Treasurer of Fidelity's Fixed Income and Asset Allocation Funds. Mr. Hebble also serves as Treasurer and Chief Financial Officer of The North Carolina Capital Management Trust: Cash and Term Portfolio (2008-present), Assistant Treasurer of other Fidelity funds (2009-present) and is an employee of Fidelity Investments. |
Boyce I. Greer (54) | |
| Year of Election or Appointment: 2005 Vice President of Fidelity's Fixed Income Funds and Asset Allocation Funds (2005). Mr. Greer is also a Trustee of other investment companies advised by FMR. Mr. Greer is President of The North Carolina Capital Management Trust: Cash and Term Portfolio (2003-present), the Asset Allocation Division (2008-present), President and a Director of Strategic Advisers, Inc. (2008-present), President of FIMM 130/30 LLC (2008-present), Director of Ballyrock Investment Advisors LLC (2006-present), and an Executive Vice President of FMR (2005-present). Previously, Mr. Greer served as Executive Vice President of FMR Co., Inc. (2005-2009), President and Director of Fidelity Investments Money Management, Inc. (2007-2009) and as a Director and Managing Director of Strategic Advisers, Inc. (2002-2005). |
Christopher P. Sullivan (56) | |
| Year of Election or Appointment: 2009 Vice President of Fidelity's Bond Funds. Mr. Sullivan also serves as President of Fidelity's Bond Division (2009-present). Mr. Sullivan is Executive Vice President of Fidelity Investments Money Management, Inc. (2009- present), and a Director of Fidelity Management & Research (U.K.) Inc. (2010-present). Previously, Mr. Sullivan served as Managing Director, Co-Head of U.S. Fixed Income at Goldman Sachs Asset Management (2001-2009). |
Christine J. Thompson (52) | |
| Year of Election or Appointment: 2010 Vice President of Fidelity's Bond Funds. Ms. Thompson also serves as Chief Investment Officer of FMR's Bond Group (2010-present) and is an employee of Fidelity Investments. Previously, Ms. Thompson served as Director of Municipal Bond Portfolio Managers (2002-2010). |
Scott C. Goebel (42) | |
| Year of Election or Appointment: 2008 Secretary and Chief Legal Officer (CLO) of the Fidelity funds. Mr. Goebel also serves as Secretary and CLO of The North Carolina Capital Management Trust: Cash and Term Portfolio (2008-present); 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-present), Fidelity Management & Research (U.K.) Inc. (2008-present), and Fidelity Research and Analysis Company (2008- present). Previously, Mr. Goebel served as Assistant Secretary of the Funds (2007-2008) and as Vice President and Secretary of Fidelity Distributors Corporation (FDC) (2005-2007). |
David J. Carter (37) | |
| Year of Election or Appointment: 2010 Assistant Secretary of Fidelity's Fixed Income and Asset Allocation Funds. Mr. Carter also serves as Vice President, Associate General Counsel (2010-present) and is an employee of Fidelity Investments (2005-present). |
Holly C. Laurent (56) | |
| Year of Election or Appointment: 2008 Anti-Money Laundering (AML) Officer of the Fidelity funds. Ms. Laurent also serves as AML Officer of The North Carolina Capital Management Trust: Cash and Term Portfolio (2008-present) and 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 (51) | |
| 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 (43) | |
| Year of Election or Appointment: 2008 Chief Compliance Officer of Fidelity's Fixed Income and Asset Allocation Funds. Mr. Whitaker also serves as Chief Compliance Officer of The North Carolina Capital Management Trust: Cash and Term Portfolio (2008-present). Mr. Whitaker is an employee of Fidelity Investments (2007-present). Prior to joining Fidelity Investments, Mr. Whitaker worked at MFS Investment Management where he served as Senior Vice President and Chief Compliance Officer (2004-2006), and Assistant General Counsel. |
Jeffrey S. Christian (48) | |
| Year of Election or Appointment: 2009 Deputy Treasurer of the Fidelity funds. Mr. Christian is an employee of Fidelity Investments. Previously, Mr. Christian served as Chief Financial Officer (2008-2009) of certain Fidelity funds and Senior Vice President of Fidelity Pricing and Cash Management Services (FPCMS) (2004-2009). |
Bryan A. Mehrmann (49) | |
| Year of Election or Appointment: 2005 Deputy Treasurer of the Fidelity funds. Mr. Mehrmann is an employee of Fidelity Investments. |
Stephanie J. Dorsey (41) | |
| Year of Election or Appointment: 2008 Deputy Treasurer of Fidelity's Fixed Income and Asset Allocation Funds. Ms. Dorsey also serves as Assistant Treasurer of other Fidelity funds (2010-present) and 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. |
Adrien E. Deberghes (43) | |
| Year of Election or Appointment: 2010 Assistant Treasurer of Fidelity's Fixed Income and Asset Allocation Funds. Mr. Deberghes also serves as Deputy Treasurer of other Fidelity funds (2008-present) and is an employee of Fidelity Investments (2008-present). Previously, Mr. Deberghes served as Senior Vice President of Mutual Fund Administration at State Street Corporation (2007-2008), Senior Director of Mutual Fund Administration at Investors Bank & Trust (2005-2007), and Director of Finance for Dunkin' Brands (2000-2005). |
Kenneth B. Robins (41) | |
| 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 (2008-present; 2010-present) and is an employee of Fidelity Investments (2004-present). Previously, Mr. Robins served as Deputy Treasurer of the Fidelity funds (2005-2008) and Treasurer and Chief Financial Officer of The North Carolina Capital Management Trust: Cash and Term Portfolios (2006-2008). |
Gary W. Ryan (52) | |
| 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)
The Board of Trustees of Fidelity Total Bond Fund voted to pay on October 18, 2010, to shareholders of record at the opening of business on October 15, 2010, a distribution of $0.116 per share derived from capital gains realized from sales of portfolio securities.
A total of 11.50% 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 $309,587,770 of distributions paid during the period January 1, 2010 to August 31, 2010 as qualifying to be taxed as interest-related dividends for nonresident alien shareholders.
The fund will notify shareholders in January 2011 of amounts for use in preparing 2010 income tax returns.
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.
(phone_graphic)
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.
(computer_graphic)
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
To Visit Fidelity
For directions and hours,
please call 1-800-544-9797.
Arizona
7001 West Ray Road
Chandler, AZ
15445 N. Scottsdale Road
Scottsdale, AZ
17550 North 75th Avenue
Glendale, AZ
5330 E. Broadway Blvd
Tucson, AZ
California
815 East Birch Street
Brea, CA
1411 Chapin Avenue
Burlingame, CA
851 East Hamilton Avenue
Campbell, CA
601 Larkspur Landing Circle
Larkspur, CA
2000 Avenue of the Stars
Los Angeles, CA
27101 Puerta Real
Mission Viejo, CA
73575 El Paseo
Palm Desert, CA
251 University Avenue
Palo Alto, CA
123 South Lake Avenue
Pasadena, CA
16656 Bernardo Ctr. Drive
Rancho Bernardo, CA
1220 Roseville Parkway
Roseville, CA
1740 Arden Way
Sacramento, CA
7676 Hazard Center Drive
San Diego, CA
11943 El Camino Real
San Diego, CA
8 Montgomery Street
San Francisco, CA
3793 State Street
Santa Barbara, CA
1200 Wilshire Boulevard
Santa Monica, CA
398 West El Camino Real
Sunnyvale, CA
111 South Westlake Blvd
Thousand Oaks, CA
21701 Hawthorne Boulevard
Torrance, CA
2001 North Main Street
Walnut Creek, CA
6326 Canoga Avenue
Woodland Hills, CA
2211 Michelson Drive
Irvine, CA
Colorado
281 East Flatiron Circle
Broomfield, CO
1625 Broadway
Denver, CO
9185 Westview Road
Lone Tree, CO
Connecticut
48 West Putnam Avenue
Greenwich, CT
265 Church Street
New Haven, CT
300 Atlantic Street
Stamford, CT
29 South Main Street
West Hartford, CT
1261 Post Road
Fairfield, CT
Delaware
400 Delaware Avenue
Wilmington, DE
Florida
175 East Altamonte Drive
Altamonte Springs, FL
1400 Glades Road
Boca Raton, FL
121 Alhambra Plaza
Coral Gables, FL
2948 N. Federal Highway
Ft. Lauderdale, FL
4671 Town Center Parkway
Jacksonville, FL
8880 Tamiami Trail, North
Naples, FL
230 Royal Palm Way
Palm Beach, FL
3501 PGA Boulevard
Palm Beach Gardens, FL
3550 Tamiami Trail, South
Sarasota, FL
1502 N. Westshore Blvd.
Tampa, FL
2465 State Road 7
Wellington, FL
Georgia
3242 Peachtree Road
Atlanta, GA
1000 Abernathy Road
Atlanta, GA
Illinois
One North LaSalle Street
Chicago, IL
401 North Michigan Avenue
Chicago, IL
One Skokie Valley Road
Highland Park, IL
1415 West 22nd Street
Oak Brook, IL
15105 S LaGrange Road
Orland Park, IL
1572 East Golf Road
Schaumburg, IL
1823 Freedom Drive
Naperville, IL
Indiana
8480 Keystone Crossing
Indianapolis, IN
Kansas
5400 College Boulevard
Overland Park, KS
Maine
Three Canal Plaza
Portland, ME
Maryland
7315 Wisconsin Avenue
Bethesda, MD
610 York Road
Towson, MD
Massachusetts
801 Boylston Street
Boston, MA
155 Congress Street
Boston, MA
300 Granite Street
Braintree, MA
44 Mall Road
Burlington, MA
238 Main Street
Cambridge, MA
200 Endicott Street
Danvers, MA
Fidelity Brokerage Services, Inc., 100 Summer St., Boston, MA 02110 Member NYSE/SIPC
Annual Report
405 Cochituate Road
Framingham, MA
551 Boston Turnpike
Shrewsbury, MA
Michigan
500 E. Eisenhower Pkwy.
Ann Arbor, MI
280 N. Old Woodward Ave.
Birmingham, MI
30200 Northwestern Hwy.
Farmington Hills, MI
43420 Grand River Avenue
Novi, MI
3480 28th Street
Grand Rapids, MI
2425 S. Linden Road STE E
Flint, MI
Minnesota
7740 France Avenue South
Edina, MN
8342 3rd Street North
Oakdale, MN
Missouri
1524 South Lindbergh Blvd.
St. Louis, MO
Nevada
2225 Village Walk Drive
Henderson, NV
New Jersey
501 Route 73 South
Marlton, NJ
150 Essex Street
Millburn, NJ
35 Morris Street
Morristown, NJ
396 Route 17, North
Paramus, NJ
3518 Route 1 North
Princeton, NJ
530 Broad Street
Shrewsbury, NJ
New Mexico
2261 Q Street NE
Albuquerque, NM
New York
1130 Franklin Avenue
Garden City, NY
37 West Jericho Turnpike
Huntington Station, NY
1271 Avenue of the Americas
New York, NY
980 Madison Avenue
New York, NY
61 Broadway
New York, NY
350 Park Avenue
New York, NY
200 Fifth Avenue
New York, NY
733 Third Avenue
New York, NY
2070 Broadway
New York, NY
1075 Northern Blvd.
Roslyn, NY
799 Central Park Avenue
Scarsdale, NY
3349 Monroe Avenue
Rochester, NY
North Carolina
4611 Sharon Road
Charlotte, NC
7011 Fayetteville Road
Durham, NC
Ohio
3805 Edwards Road
Cincinnati, OH
1324 Polaris Parkway
Columbus, OH
1800 Crocker Road
Westlake, OH
28699 Chagrin Boulevard
Woodmere Village, OH
Oregon
7493 SW Bridgeport Road
Tigard, OR
Pennsylvania
600 West DeKalb Pike
King of Prussia, PA
1735 Market Street
Philadelphia, PA
12001 Perry Highway
Wexford, PA
Rhode Island
10 Memorial Boulevard
Providence, RI
Tennessee
3018 Peoples Street
Johnson City, TN
7628 West Farmington Blvd.
Germantown, TN
2035 Mallory Lane
Franklin, TN
Texas
10000 Research Boulevard
Austin, TX
4001 Northwest Parkway
Dallas, TX
12532 Memorial Drive
Houston, TX
2701 Drexel Drive
Houston, TX
6560 Fannin Street
Houston, TX
1701 Lake Robbins Drive
The Woodlands, TX
6500 N. MacArthur Blvd.
Irving, TX
6005 West Park Boulevard
Plano, TX
1576 East Southlake Blvd.
Southlake, TX
15600 Southwest Freeway
Sugar Land, TX
139 N. Loop 1604 East
San Antonio, TX
Utah
279 West South Temple
Salt Lake City, UT
Virginia
1861 International Drive
McLean, VA
11957 Democracy Drive
Reston, VA
Washington
10500 NE 8th Street
Bellevue, WA
1518 6th Avenue
Seattle, WA
304 Strander Blvd
Tukwila, WA
Washington, DC
1900 K Street, N.W.
Washington, DC
Wisconsin
16020 West Bluemound Road
Brookfield, WI
Annual Report
To Write Fidelity
We'll give your correspondence immediate attention and send you written confirmation upon completion of your request.
(letter_graphic)
Making Changes
To Your Account
(such as changing name, address, bank, etc.)
Fidelity Investments
P.O. Box 770001
Cincinnati, OH 45277-0002
(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.
FIL Investments (Japan) Limited
FIL Investment Advisors
FIL Investment Advisors
(UK) Limited
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
The Fidelity Telephone Connection
Mutual Fund 24-Hour Service
Exchanges/Redemptions
and Account Assistance 1-800-544-6666
Product Information 1-800-544-6666
Retirement Accounts 1-800-544-4774
(8 a.m. - 9 p.m.)
TDD Service 1-800-544-0118
for the deaf and hearing impaired
(9 a.m. - 9 p.m. Eastern time)
Fidelity Automated Service
Telephone (FAST®)
1-800-544-5555
Automated line for quickest service
TBD-UANN-1010 1.789712.107
Fidelity®
Total Bond
Fund -
Class F
Annual Report
August 31, 2010
(2_fidelity_logos) (Registered_Trademark)
Contents
Performance | How the fund has done over time. | |
Management's Discussion of Fund Performance | The Portfolio Manager's review of fund performance and strategy. | |
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, as well as financial highlights. | |
Notes | Notes to the financial statements. | |
Report of Independent Registered Public Accounting Firm |
| |
Trustees and Officers |
| |
Distributions |
|
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.
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
Performance: The Bottom Line
Average annual total return reflects the change in the value of an investment, assuming reinvestment of the class' distributions from 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, 2010 | Past 1 | Past 5 | Life of fund A |
Class F B | 12.59% | 5.99% | 6.04% |
A From October 15, 2002.
B The initial offering of Class F shares took place on June 26, 2009. Returns prior to June 26, 2009 are those of Fidelity® Total Bond Fund, the original class of the fund.
$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: U.S. taxable bonds generated strong results during the 12-month period ending August 31, 2010, as evidenced by the 9.18% advance of the Barclays Capital U.S. Aggregate Bond Index, a broad measure of the domestic investment-grade debt universe. Riskier segments of the market fared best overall, led by corporate bonds and asset-backed securities (ABS). These sectors were big beneficiaries of robust demand from investors seeking attractively priced, higher-yielding investments amid signs of economic stabilization during much of the period. The Barclays Capital U.S. Credit Bond Index rose 12.87% and the Barclays Capital U.S. Fixed-Rate ABS Index returned 10.53%. The Barclays Capital U.S. Treasury Bond Index advanced 8.13%, with most of the gain coming in the second half of the period. That's when investors began to return to the relative safety of U.S. government bonds, as the economic outlook became less certain and worries about inflation receded. Elsewhere, mortgage-backed securities (MBS), bolstered largely by government purchase programs, increased 6.97%, as measured by the Barclays Capital U.S. MBS Index. Government-backed agency securities lagged the broader MBS market, with the Barclays Capital U.S. Agency Bond Index gaining 5.82%. Agency securities initially were constrained by investors' diminished appetite for bonds with lower perceived credit risk, but later were helped by the Federal Reserve's purchases of agency debt.
Comments from Ford O'Neil, Lead Portfolio Manager of Fidelity® Total Bond Fund: For the year, the fund's Class F shares gained 12.59%, easily outpacing the Barclays Capital U.S. Aggregate Bond Index and the 10.04% advance of the Barclays Capital U.S. Universal Bond Index. Versus the Aggregate Bond index, sector and security selection within the investment-grade portion of the portfolio provided the biggest boost, particularly in the first half of the period. Specifically, overweighting riskier bond classes, such as corporate bonds, commercial mortgage-backed securities, ABS and non-index collateralized mortgage obligations, paid off. These sectors were driven by strong demand from investors seeking higher yields amid signs the economy and credit markets were stabilizing. Our positioning within corporates was especially beneficial. Timely moves in the Treasury sector worked to our advantage, as did out-of-index holdings in TIPS (Treasury Inflation-Protected Securities). I significantly reduced the fund's weighting in corporate bonds during the period, based on valuations, and redeployed most of the proceeds into Treasuries. Out-of-index allocations to high-yield, floating-rate and emerging-markets debt also bolstered performance. In another change to our sector allocation, we significantly reduced our position in interest rate swaps. These instruments, which were used in part to manage the fund's yield-curve positioning, performed well and, as a result, no longer traded at compelling valuations, in our view.
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 Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (March 1, 2010 to August 31, 2010).
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.
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.
Annual Report
| Annualized Expense Ratio | Beginning | Ending | Expenses Paid |
Class A | .83% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,059.20 | $ 4.31 |
HypotheticalA |
| $ 1,000.00 | $ 1,021.02 | $ 4.23 |
Class T | .80% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,059.30 | $ 4.15 |
HypotheticalA |
| $ 1,000.00 | $ 1,021.17 | $ 4.08 |
Class B | 1.52% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,055.40 | $ 7.87 |
HypotheticalA |
| $ 1,000.00 | $ 1,017.54 | $ 7.73 |
Class C | 1.49% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,055.60 | $ 7.72 |
HypotheticalA |
| $ 1,000.00 | $ 1,017.69 | $ 7.58 |
Total Bond | .45% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,061.10 | $ 2.34 |
HypotheticalA |
| $ 1,000.00 | $ 1,022.94 | $ 2.29 |
Class F | .35% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,061.70 | $ 1.82 |
HypotheticalA |
| $ 1,000.00 | $ 1,023.44 | $ 1.79 |
Institutional Class | .52% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,060.80 | $ 2.70 |
HypotheticalA |
| $ 1,000.00 | $ 1,022.58 | $ 2.65 |
A 5% return per year before expenses
* 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). 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.
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, 2010 | As of February 28, 2010 | ||||||
![]() | U.S. Government and U.S. Government Agency Obligations †† 63.5% |
| ![]() | U.S. Government and U.S. Government Agency |
| ||
![]() | AAA 7.5% |
| ![]() | AAA 7.9% |
| ||
![]() | AA 3.0% |
| ![]() | AA 3.9% |
| ||
![]() | A 7.6% |
| ![]() | A 8.5% |
| ||
![]() | BBB 10.1% |
| ![]() | BBB 12.4% |
| ||
![]() | BB and Below 11.6% |
| ![]() | BB and Below 13.9% |
| ||
![]() | Not Rated 1.5% |
| ![]() | Not Rated 0.9% |
| ||
![]() | Equities 0.0% |
| ![]() | Equities 0.0% |
| ||
![]() | Short-Term |
| ![]() | Short-Term |
|
We have used ratings from Moody's Investors Service, 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, 2010 | ||
|
| 6 months ago |
Years | 6.2 | 6.0 |
Weighted Average Maturity (WAM) is a weighted average of all the maturities of the securities held in a fund. 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 if it is probable that the issuer of the instrument will take advantage of such features. |
Duration as of August 31, 2010 | ||
|
| 6 months ago |
Years | 4.1 | 3.8 |
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, 2010* | As of February 28, 2010** | ||||||
![]() | Corporate Bonds 25.6% |
| ![]() | Corporate Bonds 30.1% |
| ||
![]() | U.S. Government and U.S. Government Agency Obligations †† 63.5% |
| ![]() | U.S. Government and U.S. Government Agency Obligations †† 51.9% |
| ||
![]() | Asset-Backed |
| ![]() | Asset-Backed |
| ||
![]() | CMOs and Other Mortgage Related Securities 8.2% |
| ![]() | CMOs and Other Mortgage Related Securities 8.4% |
| ||
![]() | Municipal Bonds 0.2% |
| ![]() | Municipal Bonds 0.2% |
| ||
![]() | Other Investments 4.9% |
| ![]() | Other Investments 6.2% |
| ||
![]() | Short-Term |
| ![]() | Short-Term |
| ||
* Foreign investments | 6.7% |
| ** Foreign investments | 8.4% |
| ||
* Futures and Swaps | 1.4% |
| ** Futures and Swaps | 8.2% |
|
† 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, 2010
Showing Percentage of Net Assets
Corporate Bonds - 24.2% | ||||
| Principal Amount (c) | Value | ||
Convertible Bonds - 0.0% | ||||
ENERGY - 0.0% | ||||
Oil, Gas & Consumable Fuels - 0.0% | ||||
Massey Energy Co. 3.25% 8/1/15 | $ 1,970,000 | $ 1,699,716 | ||
FINANCIALS - 0.0% | ||||
Real Estate Investment Trusts - 0.0% | ||||
Developers Diversified Realty Corp. 3% 3/15/12 | 270,000 | 261,900 | ||
Inland Real Estate Corp. 4.625% 11/15/26 | 233,000 | 229,505 | ||
| 491,405 | |||
INFORMATION TECHNOLOGY - 0.0% | ||||
Communications Equipment - 0.0% | ||||
Lucent Technologies, Inc. 2.875% 6/15/25 | 2,841,800 | 2,502,560 | ||
Semiconductors & Semiconductor Equipment - 0.0% | ||||
Energy Conversion Devices, Inc. 3% 6/15/13 | 1,010,000 | 646,400 | ||
TOTAL INFORMATION TECHNOLOGY | 3,148,960 | |||
TOTAL CONVERTIBLE BONDS | 5,340,081 | |||
Nonconvertible Bonds - 24.2% | ||||
CONSUMER DISCRETIONARY - 2.8% | ||||
Auto Components - 0.1% | ||||
DaimlerChrysler NA Holding Corp.: | ||||
5.75% 9/8/11 | 5,595,000 | 5,855,397 | ||
5.875% 3/15/11 | 2,077,000 | 2,132,956 | ||
Lear Corp. 7.875% 3/15/18 | 2,565,000 | 2,648,363 | ||
Tenneco, Inc. 7.75% 8/15/18 (f) | 1,400,000 | 1,410,500 | ||
The Goodyear Tire & Rubber Co. 8.25% 8/15/20 | 3,910,000 | 3,978,425 | ||
| 16,025,641 | |||
Automobiles - 0.0% | ||||
Ford Motor Co. 7.45% 7/16/31 | 1,945,000 | 1,896,375 | ||
Diversified Consumer Services - 0.0% | ||||
Affinion Group, Inc. 11.5% 10/15/15 | 1,990,000 | 2,094,475 | ||
ServiceMaster Co. 10.75% 7/15/15 pay-in-kind (f)(l) | 2,935,000 | 3,052,400 | ||
| 5,146,875 | |||
Hotels, Restaurants & Leisure - 0.3% | ||||
Chukchansi Economic Development Authority 8% 11/15/13 (f) | 765,000 | 443,700 | ||
GWR Operating Partnership LLP 10.875% 4/1/17 (f) | 1,635,000 | 1,647,263 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Hotels, Restaurants & Leisure - continued | ||||
Host Marriott LP 6.375% 3/15/15 | $ 250,000 | $ 250,000 | ||
ITT Corp. 7.375% 11/15/15 | 250,000 | 271,250 | ||
Las Vegas Sands Corp. 6.375% 2/15/15 | 1,170,000 | 1,164,150 | ||
MCE Finance Ltd. 10.25% 5/15/18 (f) | 3,040,000 | 3,260,400 | ||
MGM Mirage, Inc.: | ||||
6.625% 7/15/15 | 1,870,000 | 1,477,300 | ||
7.5% 6/1/16 | 1,160,000 | 913,500 | ||
NCL Corp. Ltd. 11.75% 11/15/16 | 1,375,000 | 1,526,250 | ||
Royal Caribbean Cruises Ltd.: | ||||
7.25% 3/15/18 | 465,000 | 454,538 | ||
11.875% 7/15/15 | 1,450,000 | 1,703,750 | ||
yankee: | ||||
7% 6/15/13 | 3,000,000 | 3,063,750 | ||
7.25% 6/15/16 | 5,365,000 | 5,351,588 | ||
7.5% 10/15/27 | 3,070,000 | 2,743,659 | ||
Scientific Games Corp.: | ||||
7.875% 6/15/16 (f) | 2,145,000 | 2,166,450 | ||
9.25% 6/15/19 | 3,645,000 | 3,863,700 | ||
Seneca Gaming Corp.: | ||||
Series B, 7.25% 5/1/12 | 2,250,000 | 2,188,125 | ||
7.25% 5/1/12 | 2,340,000 | 2,275,650 | ||
Snoqualmie Entertainment Authority: | ||||
4.4277% 2/1/14 (f)(l) | 115,000 | 94,875 | ||
9.125% 2/1/15 (f) | 785,000 | 690,800 | ||
Times Square Hotel Trust 8.528% 8/1/26 (f) | 350,732 | 357,309 | ||
Town Sports International Holdings, Inc. 11% 2/1/14 | 2,270,000 | 2,105,425 | ||
Universal City Development Partners Ltd./UCDP Finance, Inc.: | ||||
8.875% 11/15/15 (f) | 1,210,000 | 1,228,150 | ||
10.875% 11/15/16 (f) | 1,045,000 | 1,110,313 | ||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. 7.75% 8/15/20 (f) | 2,300,000 | 2,317,250 | ||
| 42,669,145 | |||
Household Durables - 0.3% | ||||
Controladora Mabe SA CV 7.875% 10/28/19 (f) | 775,000 | 840,875 | ||
Fortune Brands, Inc.: | ||||
5.875% 1/15/36 | 13,297,000 | 13,480,725 | ||
6.375% 6/15/14 | 9,424,000 | 10,668,731 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Household Durables - continued | ||||
Lennar Corp. 12.25% 6/1/17 | $ 1,610,000 | $ 1,835,400 | ||
Reliance Intermediate Holdings LP 9.5% 12/15/19 (f) | 3,055,000 | 3,177,200 | ||
Standard Pacific Corp.: | ||||
7% 8/15/15 | 1,050,000 | 981,750 | ||
8.375% 5/15/18 | 850,000 | 816,000 | ||
10.75% 9/15/16 | 2,370,000 | 2,509,238 | ||
| 34,309,919 | |||
Internet & Catalog Retail - 0.0% | ||||
Netflix, Inc. 8.5% 11/15/17 | 1,355,000 | 1,465,026 | ||
Media - 1.9% | ||||
Allbritton Communications Co. 8% 5/15/18 | 2,630,000 | 2,597,125 | ||
AOL Time Warner, Inc. 7.625% 4/15/31 | 500,000 | 623,922 | ||
Belo Corp. 8% 11/15/16 | 1,665,000 | 1,756,575 | ||
Cablemas SA de CV 9.375% 11/15/15 (Reg. S) | 1,320,000 | 1,395,900 | ||
Cablevision Systems Corp.: | ||||
7.75% 4/15/18 | 1,440,000 | 1,519,200 | ||
8% 4/15/20 | 1,440,000 | 1,530,000 | ||
8.625% 9/15/17 (f) | 2,915,000 | 3,148,200 | ||
Catalina Marketing Corp. 10.5% 10/1/15 pay-in-kind (f)(l) | 2,835,000 | 3,033,450 | ||
Cequel Communications Holdings I LLC/Cequel Capital Corp. 8.625% 11/15/17 (f) | 7,580,000 | 7,731,600 | ||
Charter Communications Holdings II LLC/Charter Communications Holdings II Capital Corp. 13.5% 11/30/16 | 1,694,103 | 2,003,277 | ||
Clear Channel Communications, Inc.: | ||||
5.5% 9/15/14 | 3,295,000 | 2,034,663 | ||
11% 8/1/16 pay-in-kind (l) | 2,106,912 | 1,559,115 | ||
Clear Channel Worldwide Holdings, Inc.: | ||||
9.25% 12/15/17 | 555,000 | 575,813 | ||
9.25% 12/15/17 | 2,580,000 | 2,705,775 | ||
Comcast Cable Communications, Inc. 6.75% 1/30/11 | 511,000 | 523,405 | ||
Comcast Corp.: | ||||
4.95% 6/15/16 | 1,879,000 | 2,076,755 | ||
5.5% 3/15/11 | 382,000 | 391,574 | ||
5.7% 5/15/18 | 14,168,000 | 16,138,216 | ||
6.4% 3/1/40 | 4,490,000 | 5,130,516 | ||
6.45% 3/15/37 | 2,196,000 | 2,503,820 | ||
6.55% 7/1/39 | 9,000,000 | 10,437,381 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Media - continued | ||||
COX Communications, Inc. 4.625% 6/1/13 | $ 4,467,000 | $ 4,802,641 | ||
CSC Holdings LLC: | ||||
8.5% 4/15/14 | 2,105,000 | 2,304,975 | ||
8.5% 6/15/15 | 2,340,000 | 2,538,900 | ||
8.625% 2/15/19 | 860,000 | 961,050 | ||
Discovery Communications LLC: | ||||
3.7% 6/1/15 | 6,861,000 | 7,217,573 | ||
6.35% 6/1/40 | 6,392,000 | 7,243,958 | ||
EchoStar Communications Corp.: | ||||
7.125% 2/1/16 | 2,525,000 | 2,581,813 | ||
7.75% 5/31/15 | 1,760,000 | 1,834,800 | ||
Entravision Communication Corp. 8.75% 8/1/17 (f) | 1,020,000 | 1,020,000 | ||
Globo Comunicacoes e Participacoes SA 6.25% (e)(f) | 2,560,000 | 2,598,400 | ||
Insight Communications, Inc. 9.375% 7/15/18 (f) | 3,750,000 | 3,956,250 | ||
Interpublic Group of Companies, Inc. 6.25% 11/15/14 | 1,310,000 | 1,355,850 | ||
Kabel Deutschland GmbH 10.625% 7/1/14 | 4,825,000 | 5,011,969 | ||
Liberty Media Corp. 8.25% 2/1/30 | 245,000 | 232,750 | ||
NBC Universal, Inc.: | ||||
3.65% 4/30/15 (f) | 2,800,000 | 2,936,920 | ||
5.15% 4/30/20 (f) | 11,614,000 | 12,510,624 | ||
6.4% 4/30/40 (f) | 8,278,000 | 9,295,027 | ||
Net Servicos de Comunicacao SA 7.5% 1/27/20 (f) | 1,500,000 | 1,695,000 | ||
News America Holdings, Inc. 7.75% 12/1/45 | 170,000 | 221,637 | ||
News America, Inc.: | ||||
5.3% 12/15/14 | 876,000 | 988,358 | ||
6.15% 3/1/37 | 2,970,000 | 3,264,110 | ||
6.2% 12/15/34 | 5,330,000 | 5,848,929 | ||
Nexstar Broadcasting, Inc./Mission, Inc. 8.875% 4/15/17 (f) | 2,140,000 | 2,161,400 | ||
Nielsen Finance LLC/Nielsen Finance Co.: | ||||
10% 8/1/14 | 3,975,000 | 4,143,938 | ||
11.5% 5/1/16 | 2,225,000 | 2,503,125 | ||
11.625% 2/1/14 | 2,325,000 | 2,615,625 | ||
12.5% 8/1/16 (d) | 7,805,000 | 7,668,413 | ||
Quebecor Media, Inc.: | ||||
7.75% 3/15/16 | 4,032,000 | 4,127,760 | ||
7.75% 3/15/16 | 2,485,000 | 2,544,019 | ||
QVC, Inc. 7.125% 4/15/17 (f) | 1,330,000 | 1,346,625 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Media - continued | ||||
Time Warner Cable, Inc.: | ||||
5.4% 7/2/12 | $ 2,444,000 | $ 2,622,282 | ||
5.85% 5/1/17 | 2,607,000 | 2,974,050 | ||
6.2% 7/1/13 | 2,324,000 | 2,617,867 | ||
6.75% 7/1/18 | 13,473,000 | 16,087,058 | ||
Time Warner, Inc.: | ||||
3.15% 7/15/15 | 2,850,000 | 2,929,586 | ||
6.2% 3/15/40 | 10,492,000 | 11,566,318 | ||
6.5% 11/15/36 | 9,243,000 | 10,454,101 | ||
Umbrella Acquisition, Inc. 10.5% 3/15/15 pay-in-kind (f)(l) | 6,804,412 | 5,786,585 | ||
Univision Communications, Inc. 12% 7/1/14 (f) | 1,955,000 | 2,106,513 | ||
Viacom, Inc.: | ||||
6.125% 10/5/17 | 2,051,000 | 2,405,444 | ||
6.25% 4/30/16 | 5,600,000 | 6,529,001 | ||
6.75% 10/5/37 | 1,460,000 | 1,735,192 | ||
Videotron Ltd. 9.125% 4/15/18 | 1,965,000 | 2,166,413 | ||
Visant Holding Corp. 8.75% 12/1/13 | 450,000 | 459,000 | ||
| 247,388,131 | |||
Multiline Retail - 0.1% | ||||
Target Corp. 3.875% 7/15/20 | 7,556,000 | 7,925,632 | ||
Specialty Retail - 0.1% | ||||
AutoNation, Inc. 6.75% 4/15/18 | 2,040,000 | 2,034,900 | ||
Toys 'R' US Property Co. I LLC 10.75% 7/15/17 | 5,060,000 | 5,679,850 | ||
Toys 'R' US, Inc. 7.375% 9/1/16 (f) | 1,200,000 | 1,206,000 | ||
| 8,920,750 | |||
TOTAL CONSUMER DISCRETIONARY | 365,747,494 | |||
CONSUMER STAPLES - 1.2% | ||||
Beverages - 0.1% | ||||
Anheuser-Busch InBev Worldwide, Inc. 7.75% 1/15/19 (f) | 4,750,000 | 6,087,581 | ||
Cerveceria Nacional Dominicana C por A 8% 3/27/14 (Reg. S) | 100,000 | 105,000 | ||
Diageo Capital PLC 5.2% 1/30/13 | 1,037,000 | 1,131,791 | ||
FBG Finance Ltd. 5.125% 6/15/15 (f) | 2,936,000 | 3,241,426 | ||
| 10,565,798 | |||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
CONSUMER STAPLES - continued | ||||
Food & Staples Retailing - 0.2% | ||||
Albertsons, Inc.: | ||||
7.45% 8/1/29 | $ 250,000 | $ 202,500 | ||
7.75% 6/15/26 | 600,000 | 510,750 | ||
8% 5/1/31 | 2,385,000 | 2,003,400 | ||
C&S Group Enterprises LLC 8.375% 5/1/17 (f) | 1,930,000 | 1,838,325 | ||
CVS Caremark Corp.: | ||||
6.036% 12/10/28 | 6,966,843 | 7,347,929 | ||
6.302% 6/1/37 (l) | 9,771,000 | 8,964,893 | ||
Rite Aid Corp. 8% 8/15/20 (f) | 3,450,000 | 3,432,750 | ||
SUPERVALU, Inc. 8% 5/1/16 | 2,260,000 | 2,265,650 | ||
The Great Atlantic & Pacific Tea Co. 11.375% 8/1/15 (f) | 2,330,000 | 1,683,425 | ||
Tops Markets LLC 10.125% 10/15/15 (f) | 1,825,000 | 1,879,750 | ||
| 30,129,372 | |||
Food Products - 0.4% | ||||
Cargill, Inc. 6% 11/27/17 (f) | 9,457,000 | 11,188,823 | ||
Kraft Foods, Inc.: | ||||
5.375% 2/10/20 | 10,631,000 | 11,823,245 | ||
5.625% 11/1/11 | 3,660,000 | 3,855,989 | ||
6.125% 2/1/18 | 10,623,000 | 12,431,438 | ||
6.5% 8/11/17 | 8,720,000 | 10,411,593 | ||
6.75% 2/19/14 | 540,000 | 626,540 | ||
| 50,337,628 | |||
Tobacco - 0.5% | ||||
Altria Group, Inc. 9.7% 11/10/18 | 22,622,000 | 29,941,506 | ||
Philip Morris International, Inc.: | ||||
4.875% 5/16/13 | 9,347,000 | 10,220,197 | ||
5.65% 5/16/18 | 7,161,000 | 8,341,240 | ||
Reynolds American, Inc.: | ||||
6.75% 6/15/17 | 2,994,000 | 3,358,337 | ||
7.25% 6/15/37 | 4,941,000 | 5,263,608 | ||
| 57,124,888 | |||
TOTAL CONSUMER STAPLES | 148,157,686 | |||
ENERGY - 3.1% | ||||
Energy Equipment & Services - 0.2% | ||||
DCP Midstream LLC 5.35% 3/15/20 (f) | 8,730,000 | 9,423,590 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
ENERGY - continued | ||||
Energy Equipment & Services - continued | ||||
Hercules Offshore, Inc. 10.5% 10/15/17 (f) | $ 1,860,000 | $ 1,692,600 | ||
Parker Drilling Co. 9.125% 4/1/18 (f) | 880,000 | 878,944 | ||
Weatherford International Ltd.: | ||||
4.95% 10/15/13 | 1,742,000 | 1,884,698 | ||
5.15% 3/15/13 | 2,277,000 | 2,438,039 | ||
7% 3/15/38 | 5,880,000 | 6,556,035 | ||
9.625% 3/1/19 | 1,500,000 | 1,969,280 | ||
| 24,843,186 | |||
Oil, Gas & Consumable Fuels - 2.9% | ||||
Adaro Indonesia PT 7.625% 10/22/19 (f) | 1,065,000 | 1,136,888 | ||
Anadarko Petroleum Corp.: | ||||
5.95% 9/15/16 | 895,000 | 886,830 | ||
6.375% 9/15/17 | 10,275,000 | 10,167,339 | ||
6.95% 6/15/19 | 895,000 | 902,466 | ||
Antero Resources Finance Corp. 9.375% 12/1/17 | 3,190,000 | 3,285,700 | ||
Apache Corp. 5.1% 9/1/40 | 8,822,000 | 9,125,706 | ||
Arch Coal, Inc.: | ||||
7.25% 10/1/20 | 450,000 | 453,375 | ||
8.75% 8/1/16 | 1,030,000 | 1,109,825 | ||
BW Group Ltd. 6.625% 6/28/17 (f) | 2,957,000 | 2,909,040 | ||
Canadian Natural Resources Ltd.: | ||||
5.15% 2/1/13 | 4,498,000 | 4,867,785 | ||
5.7% 5/15/17 | 16,009,000 | 18,483,831 | ||
Cenovus Energy, Inc. 6.75% 11/15/39 | 3,322,000 | 4,081,994 | ||
Chesapeake Energy Corp.: | ||||
6.625% 8/15/20 | 1,630,000 | 1,634,075 | ||
6.875% 8/15/18 | 1,630,000 | 1,662,600 | ||
7.625% 7/15/13 | 895,000 | 966,600 | ||
ConocoPhillips: | ||||
4.6% 1/15/15 | 10,000,000 | 11,219,800 | ||
5.75% 2/1/19 | 2,930,000 | 3,500,922 | ||
CONSOL Energy, Inc.: | ||||
8% 4/1/17 (f) | 2,320,000 | 2,436,000 | ||
8.25% 4/1/20 (f) | 1,545,000 | 1,641,563 | ||
Continental Resources, Inc. 7.375% 10/1/20 (f) | 1,055,000 | 1,070,825 | ||
Denbury Resources, Inc. 9.75% 3/1/16 | 1,060,000 | 1,171,300 | ||
Drummond Co., Inc.: | ||||
7.375% 2/15/16 | 5,485,000 | 5,539,850 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Drummond Co., Inc.: - continued | ||||
9% 10/15/14 (f) | $ 2,455,000 | $ 2,571,613 | ||
DTEK Finance BV 9.5% 4/28/15 (f) | 850,000 | 857,395 | ||
Duke Capital LLC 6.25% 2/15/13 | 1,000,000 | 1,089,851 | ||
Duke Energy Field Services: | ||||
5.375% 10/15/15 (f) | 1,222,000 | 1,356,469 | ||
6.45% 11/3/36 (f) | 1,801,000 | 2,003,103 | ||
6.875% 2/1/11 | 2,313,000 | 2,367,672 | ||
El Paso Natural Gas Co. 5.95% 4/15/17 | 935,000 | 1,032,938 | ||
EnCana Holdings Finance Corp. 5.8% 5/1/14 | 2,888,000 | 3,275,012 | ||
Enterprise Products Operating LP: | ||||
5.6% 10/15/14 | 1,955,000 | 2,184,128 | ||
5.65% 4/1/13 | 697,000 | 759,395 | ||
Forest Oil Corp. 8.5% 2/15/14 | 4,070,000 | 4,324,375 | ||
Frontier Oil Corp. 8.5% 9/15/16 | 1,950,000 | 1,998,750 | ||
Gulf South Pipeline Co. LP 5.75% 8/15/12 (f) | 3,863,000 | 4,125,487 | ||
KazMunaiGaz Finance Sub BV: | ||||
7% 5/5/20 (f) | 980,000 | 1,063,300 | ||
8.375% 7/2/13 (f) | 1,420,000 | 1,547,800 | ||
9.125% 7/2/18 (f) | 1,340,000 | 1,614,700 | ||
11.75% 1/23/15 (f) | 1,860,000 | 2,329,650 | ||
Kinder Morgan Energy Partners LP 6.55% 9/15/40 | 3,179,000 | 3,555,473 | ||
LINN Energy LLC 8.625% 4/15/20 (f) | 2,685,000 | 2,832,675 | ||
Lukoil International Finance BV 6.656% 6/7/22 (f) | 1,222,000 | 1,237,275 | ||
Massey Energy Co. 6.875% 12/15/13 | 1,515,000 | 1,533,938 | ||
Midcontinent Express Pipel LLC 5.45% 9/15/14 (f) | 10,000,000 | 10,653,830 | ||
Motiva Enterprises LLC: | ||||
5.75% 1/15/20 (f) | 3,578,000 | 4,116,915 | ||
6.85% 1/15/40 (f) | 13,582,000 | 16,888,117 | ||
Naftogaz of Ukraine NJSC 9.5% 9/30/14 | 1,550,000 | 1,697,250 | ||
Nakilat, Inc.: | ||||
6.067% 12/31/33 (f) | 4,384,000 | 4,822,663 | ||
6.267% 12/31/33 (Reg. S) | 835,000 | 910,150 | ||
Nexen, Inc.: | ||||
5.05% 11/20/13 | 3,845,000 | 4,169,764 | ||
5.2% 3/10/15 | 909,000 | 997,522 | ||
5.875% 3/10/35 | 240,000 | 250,544 | ||
6.4% 5/15/37 | 3,645,000 | 4,005,753 | ||
NGPL PipeCo LLC 6.514% 12/15/12 (f) | 8,163,000 | 8,574,799 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
OPTI Canada, Inc.: | ||||
8.25% 12/15/14 | $ 2,980,000 | $ 2,294,600 | ||
9% 12/15/12 (f) | 1,680,000 | 1,688,400 | ||
Overseas Shipholding Group, Inc.: | ||||
7.5% 2/15/24 | 500,000 | 430,625 | ||
8.125% 3/30/18 | 2,530,000 | 2,593,250 | ||
Pan American Energy LLC 7.875% 5/7/21 (f) | 4,020,000 | 4,140,600 | ||
Pemex Project Funding Master Trust 6.625% 6/15/35 | 625,000 | 673,438 | ||
Petro-Canada: | ||||
6.05% 5/15/18 | 3,850,000 | 4,489,316 | ||
6.8% 5/15/38 | 8,950,000 | 10,775,827 | ||
Petrobras International Finance Co. Ltd.: | ||||
5.75% 1/20/20 | 12,170,000 | 13,044,743 | ||
6.875% 1/20/40 | 17,027,000 | 18,687,133 | ||
7.875% 3/15/19 | 10,219,000 | 12,492,728 | ||
8.375% 12/10/18 | 160,000 | 197,954 | ||
Petrohawk Energy Corp.: | ||||
7.25% 8/15/18 (f) | 2,020,000 | 2,014,950 | ||
7.875% 6/1/15 | 1,485,000 | 1,540,688 | ||
10.5% 8/1/14 | 3,025,000 | 3,380,438 | ||
Petroleos de Venezuela SA: | ||||
5.25% 4/12/17 | 2,040,000 | 1,173,000 | ||
5.375% 4/12/27 | 8,535,000 | 3,840,750 | ||
5.5% 4/12/37 | 1,120,000 | 487,200 | ||
Petroleos Mexicanos: | ||||
5.5% 1/21/21 (f) | 500,000 | 520,000 | ||
6% 3/5/20 (f) | 465,000 | 506,850 | ||
6.625% 6/15/35 (f) | 320,000 | 344,800 | ||
Petroleum Co. of Trinidad & Tobago Ltd. (Reg. S) 6% 5/8/22 | 1,045,000 | 1,052,838 | ||
Pioneer Natural Resources Co.: | ||||
6.65% 3/15/17 | 4,605,000 | 4,754,663 | ||
7.5% 1/15/20 | 1,245,000 | 1,332,150 | ||
Plains All American Pipeline LP 7.75% 10/15/12 | 2,358,000 | 2,631,420 | ||
Plains All American Pipeline LP/PAA Finance Corp.: | ||||
3.95% 9/15/15 | 5,769,000 | 6,014,604 | ||
6.125% 1/15/17 | 6,185,000 | 6,897,481 | ||
Plains Exploration & Production Co.: | ||||
7% 3/15/17 | 3,165,000 | 3,117,525 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Plains Exploration & Production Co.: - continued | ||||
10% 3/1/16 | $ 2,415,000 | $ 2,644,425 | ||
Quicksilver Resources, Inc.: | ||||
7.125% 4/1/16 | 2,960,000 | 2,834,200 | ||
9.125% 8/15/19 | 2,040,000 | 2,198,100 | ||
11.75% 1/1/16 | 2,255,000 | 2,587,613 | ||
Range Resources Corp. 6.75% 8/1/20 | 2,455,000 | 2,485,688 | ||
Ras Laffan Liquefied Natural Gas Co. Ltd. 8.294% 3/15/14 (f) | 2,389,600 | 2,664,404 | ||
Ras Laffan Liquefied Natural Gas Co. Ltd. III: | ||||
4.5% 9/30/12 (f) | 4,773,000 | 5,025,559 | ||
5.5% 9/30/14 (f) | 6,670,000 | 7,370,757 | ||
5.832% 9/30/16 (f) | 1,343,000 | 1,482,981 | ||
6.332% 9/30/27 (f) | 1,840,000 | 2,142,422 | ||
6.75% 9/30/19 (f) | 4,366,000 | 5,208,201 | ||
Rockies Express Pipeline LLC 6.25% 7/15/13 (f) | 2,720,000 | 2,962,629 | ||
Ship Finance International Ltd. 8.5% 12/15/13 | 2,065,000 | 2,065,000 | ||
Suncor Energy, Inc. 6.1% 6/1/18 | 10,851,000 | 12,674,326 | ||
Targa Resources Partners LP/Targa Resources Partners Finance Corp. 7.875% 10/15/18 (f) | 2,205,000 | 2,260,125 | ||
Teekay Corp. 8.5% 1/15/20 | 1,350,000 | 1,447,875 | ||
TNK-BP Finance SA 7.5% 3/13/13 (Reg. S) | 780,000 | 838,500 | ||
TransCanada PipeLines Ltd.: | ||||
3.4% 6/1/15 | 2,664,000 | 2,815,105 | ||
6.35% 5/15/67 (l) | 2,371,000 | 2,164,327 | ||
XTO Energy, Inc.: | ||||
5% 1/31/15 | 1,749,000 | 1,996,309 | ||
5.65% 4/1/16 | 1,200,000 | 1,426,597 | ||
YPF SA 10% 11/2/28 | 1,630,000 | 1,752,250 | ||
| 369,167,984 | |||
TOTAL ENERGY | 394,011,170 | |||
FINANCIALS - 9.5% | ||||
Capital Markets - 1.6% | ||||
Bear Stearns Companies, Inc.: | ||||
4.5% 10/28/10 | 1,833,000 | 1,844,746 | ||
5.3% 10/30/15 | 1,170,000 | 1,289,875 | ||
BlackRock, Inc. 6.25% 9/15/17 | 8,408,000 | 9,892,332 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Capital Markets - continued | ||||
Equinox Holdings, Inc. 9.5% 2/1/16 (f) | $ 970,000 | $ 970,000 | ||
Goldman Sachs Group, Inc.: | ||||
3.7% 8/1/15 | 8,571,000 | 8,676,792 | ||
5.625% 1/15/17 | 3,200,000 | 3,354,909 | ||
5.95% 1/18/18 | 3,989,000 | 4,319,624 | ||
6.15% 4/1/18 | 4,275,000 | 4,670,609 | ||
6.75% 10/1/37 | 9,643,000 | 9,872,957 | ||
7.5% 2/15/19 | 1,757,000 | 2,050,271 | ||
Janus Capital Group, Inc.: | ||||
6.125% 9/15/11 (e) | 2,473,000 | 2,501,964 | ||
6.5% 6/15/12 | 4,266,000 | 4,480,392 | ||
JPMorgan Chase Capital XX 6.55% 9/29/36 | 17,904,000 | 17,848,068 | ||
JPMorgan Chase Capital XXV 6.8% 10/1/37 | 7,405,000 | 7,566,570 | ||
Lazard Group LLC: | ||||
6.85% 6/15/17 | 3,867,000 | 4,116,766 | ||
7.125% 5/15/15 | 1,377,000 | 1,483,927 | ||
Merrill Lynch & Co., Inc.: | ||||
5.45% 2/5/13 | 12,383,000 | 13,217,664 | ||
6.4% 8/28/17 | 7,407,000 | 7,986,946 | ||
6.875% 4/25/18 | 6,836,000 | 7,526,019 | ||
Morgan Stanley: | ||||
4% 7/24/15 | 15,887,000 | 15,960,684 | ||
4.75% 4/1/14 | 2,429,000 | 2,502,144 | ||
5.45% 1/9/17 | 2,238,000 | 2,350,632 | ||
5.625% 9/23/19 | 11,500,000 | 11,711,336 | ||
5.95% 12/28/17 | 5,050,000 | 5,370,887 | ||
6% 5/13/14 | 17,110,000 | 18,650,294 | ||
6.625% 4/1/18 | 15,268,000 | 16,784,143 | ||
7.3% 5/13/19 | 8,304,000 | 9,444,529 | ||
Nuveen Investments, Inc.: | ||||
5.5% 9/15/15 | 900,000 | 684,000 | ||
10.5% 11/15/15 | 900,000 | 846,000 | ||
The Bank of New York, Inc. 4.95% 11/1/12 | 3,864,000 | 4,183,020 | ||
UBS AG Stamford Branch 5.75% 4/25/18 | 4,505,000 | 5,061,165 | ||
| 207,219,265 | |||
Commercial Banks - 1.8% | ||||
African Export-Import Bank 8.75% 11/13/14 | 1,040,000 | 1,159,600 | ||
Akbank T. A. S. 5.125% 7/22/15 (f) | 855,000 | 844,313 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Commercial Banks - continued | ||||
Ally Financial, Inc. 7.5% 9/15/20 (f) | $ 2,645,000 | $ 2,618,550 | ||
Banco Bradesco SA 5.9% 1/16/21 (f) | 520,000 | 527,800 | ||
Banco Nacional de Desenvolvimento Economico e Social: | ||||
5.5% 7/12/20 (f) | 425,000 | 456,875 | ||
6.5% 6/10/19 (f) | 165,000 | 189,750 | ||
BanColombia SA 6.125% 7/26/20 | 515,000 | 526,588 | ||
Bank of America NA: | ||||
5.3% 3/15/17 | 3,315,000 | 3,396,493 | ||
6% 10/15/36 | 690,000 | 702,784 | ||
Barclays Bank PLC 5% 9/22/16 | 8,175,000 | 8,875,213 | ||
BB&T Capital Trust IV 6.82% 6/12/77 (l) | 2,330,000 | 2,260,100 | ||
BB&T Corp. 6.5% 8/1/11 | 1,243,000 | 1,304,832 | ||
CIT Group, Inc.: | ||||
7% 5/1/13 | 362,745 | 359,118 | ||
7% 5/1/14 | 2,039,117 | 1,983,041 | ||
7% 5/1/15 | 1,754,117 | 1,688,338 | ||
7% 5/1/16 | 2,651,861 | 2,529,212 | ||
7% 5/1/17 | 3,909,604 | 3,679,915 | ||
Credit Suisse New York Branch: | ||||
5% 5/15/13 | 9,569,000 | 10,353,706 | ||
6% 2/15/18 | 16,107,000 | 17,566,310 | ||
DBS Bank Ltd. (Singapore) 0.5963% 5/16/17 (f)(l) | 3,914,986 | 3,787,749 | ||
Development Bank of Philippines 8.375% (l) | 1,355,000 | 1,504,050 | ||
Discover Bank 8.7% 11/18/19 | 12,480,000 | 14,747,429 | ||
EXIM of Ukraine 7.65% 9/7/11 (Issued by Credit Suisse International for EXIM of Ukraine) | 5,750,000 | 5,785,938 | ||
Export-Import Bank of Korea: | ||||
5.125% 2/14/11 | 2,920,000 | 2,965,240 | ||
5.25% 2/10/14 (f) | 565,000 | 614,562 | ||
5.5% 10/17/12 | 2,256,000 | 2,404,097 | ||
Fifth Third Bancorp: | ||||
4.5% 6/1/18 | 145,000 | 143,367 | ||
8.25% 3/1/38 | 3,929,000 | 4,683,812 | ||
Fifth Third Capital Trust IV 6.5% 4/15/67 (l) | 3,725,000 | 3,212,813 | ||
HBOS PLC 6.75% 5/21/18 (f) | 6,067,000 | 5,933,162 | ||
HSBC Holdings PLC: | ||||
0.7336% 10/6/16 (l) | 1,143,000 | 1,092,989 | ||
6.5% 9/15/37 | 8,400,000 | 9,705,654 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Commercial Banks - continued | ||||
HSBK (Europe) B.V. 9.25% 10/16/13 (f) | $ 2,345,000 | $ 2,558,981 | ||
JPMorgan Chase Bank 6% 10/1/17 | 10,795,000 | 12,178,293 | ||
Kazkommerts International BV 8.5% 4/16/13 (f) | 1,245,000 | 1,220,100 | ||
KeyBank NA: | ||||
5.8% 7/1/14 | 8,672,000 | 9,468,107 | ||
6.95% 2/1/28 | 1,977,000 | 2,119,680 | ||
7% 2/1/11 | 1,124,000 | 1,149,478 | ||
KeyBank NA, Cleveland 5.45% 3/3/16 | 3,939,000 | 4,207,919 | ||
Korea Development Bank 4.625% 9/16/10 | 1,833,000 | 1,835,526 | ||
Manufacturers & Traders Trust Co. 2.033% 4/1/13 (f)(l) | 720,797 | 708,619 | ||
Marshall & Ilsley Bank: | ||||
4.85% 6/16/15 | 4,206,000 | 3,994,956 | ||
5% 1/17/17 | 5,275,000 | 5,003,374 | ||
5.25% 9/4/12 | 3,100,000 | 3,146,562 | ||
PNC Funding Corp.: | ||||
0.615% 1/31/12 (l) | 3,707,000 | 3,695,616 | ||
3.625% 2/8/15 | 2,779,000 | 2,920,715 | ||
Regions Bank 6.45% 6/26/37 | 7,653,000 | 6,762,635 | ||
Regions Financial Corp.: | ||||
5.75% 6/15/15 | 1,964,000 | 1,994,911 | ||
7.75% 11/10/14 | 6,185,000 | 6,670,615 | ||
RSHB Capital SA 9% 6/11/14 (f) | 405,000 | 460,688 | ||
Standard Chartered Bank 6.4% 9/26/17 (f) | 3,365,000 | 3,768,834 | ||
The State Export-Import Bank of Ukraine JSC 8.4% 2/9/16 (Issued by Credit Suisse First Boston International for The State Export-Import Bank of Ukraine JSC) (e) | 485,000 | 463,175 | ||
UniCredit Luxembourg Finance SA 5.584% 1/13/17 (f)(l) | 1,437,000 | 1,385,012 | ||
UnionBanCal Corp. 5.25% 12/16/13 | 662,000 | 716,818 | ||
Wachovia Bank NA: | ||||
4.875% 2/1/15 | 1,408,000 | 1,514,335 | ||
6.6% 1/15/38 | 9,000,000 | 10,227,663 | ||
Wachovia Corp.: | ||||
0.6363% 4/23/12 (l) | 543,000 | 539,622 | ||
5.625% 10/15/16 | 3,399,000 | 3,750,450 | ||
5.75% 6/15/17 | 2,933,000 | 3,292,844 | ||
Wells Fargo & Co.: | ||||
3.625% 4/15/15 | 10,194,000 | 10,668,072 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Commercial Banks - continued | ||||
Wells Fargo & Co.: - continued | ||||
3.75% 10/1/14 | $ 4,016,000 | $ 4,232,615 | ||
Zions Bancorp. 7.75% 9/23/14 | 3,590,000 | 3,771,467 | ||
| 232,031,082 | |||
Consumer Finance - 1.1% | ||||
Capital One Bank USA NA 8.8% 7/15/19 | 2,359,000 | 2,989,801 | ||
Capital One Financial Corp. 5.7% 9/15/11 | 5,251,000 | 5,466,758 | ||
Discover Financial Services: | ||||
6.45% 6/12/17 | 9,775,000 | 10,433,473 | ||
10.25% 7/15/19 | 11,089,000 | 13,964,965 | ||
Ford Motor Credit Co. LLC: | ||||
6.625% 8/15/17 | 2,655,000 | 2,694,825 | ||
7% 4/15/15 | 2,970,000 | 3,051,675 | ||
8% 6/1/14 | 1,065,000 | 1,126,238 | ||
8% 12/15/16 | 2,135,000 | 2,319,285 | ||
8.125% 1/15/20 | 1,780,000 | 1,948,173 | ||
12% 5/15/15 | 3,440,000 | 4,059,200 | ||
General Electric Capital Corp.: | ||||
5.625% 9/15/17 | 5,858,000 | 6,470,782 | ||
5.625% 5/1/18 | 25,000,000 | 27,576,100 | ||
5.875% 1/14/38 | 14,000,000 | 14,435,022 | ||
6.375% 11/15/67 (l) | 9,000,000 | 8,640,000 | ||
GMAC LLC: | ||||
6.75% 12/1/14 | 4,595,000 | 4,549,050 | ||
8% 12/31/18 | 975,000 | 938,438 | ||
8% 11/1/31 | 2,190,000 | 2,146,200 | ||
Household Finance Corp. 6.375% 10/15/11 | 1,860,000 | 1,964,744 | ||
HSBC Finance Corp.: | ||||
5.25% 1/14/11 | 1,308,000 | 1,328,279 | ||
5.25% 1/15/14 | 1,054,000 | 1,128,579 | ||
National Money Mart Co. 10.375% 12/15/16 | 2,975,000 | 3,101,438 | ||
ORIX Corp. 5.48% 11/22/11 | 385,000 | 401,187 | ||
SLM Corp.: | ||||
0.7278% 10/25/11 (l) | 12,343,000 | 11,739,205 | ||
0.7371% 3/15/11 (l) | 112,000 | 110,905 | ||
8% 3/25/20 | 5,103,000 | 4,465,227 | ||
| 137,049,549 | |||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Diversified Financial Services - 1.7% | ||||
Azovstal Capital BV 9.125% 2/28/11 | $ 375,000 | $ 375,938 | ||
Bank of America Corp.: | ||||
5.75% 12/1/17 | 4,590,000 | 4,859,249 | ||
8% (l) | 970,000 | 979,700 | ||
8.125% (l) | 1,290,000 | 1,309,350 | ||
Bank of Georgia JSC 9% 2/8/12 (Issued by BG Finance BV for Bank of Georgia JSC) | 540,000 | 534,600 | ||
Calpine Construction Finance Co. LP 8% 6/1/16 (f) | 2,835,000 | 2,962,575 | ||
CCO Holdings LLC/CCO Holdings Capital Corp. 7.875% 4/30/18 (f) | 865,000 | 890,950 | ||
Citigroup, Inc.: | ||||
4.75% 5/19/15 | 30,435,000 | 31,353,620 | ||
5.375% 8/9/20 | 10,933,000 | 11,042,264 | ||
5.5% 4/11/13 | 13,549,000 | 14,385,434 | ||
6.125% 5/15/18 | 15,634,000 | 16,878,920 | ||
6.5% 1/18/11 | 1,307,000 | 1,334,430 | ||
6.5% 8/19/13 | 10,774,000 | 11,783,222 | ||
City of Buenos Aires 12.5% 4/6/15 (f) | 2,335,000 | 2,440,075 | ||
GMAC, Inc. 8% 3/15/20 (f) | 4,700,000 | 4,805,750 | ||
Icahn Enterprises LP/Icahn Enterprises Finance Corp.: | ||||
7.75% 1/15/16 | 2,605,000 | 2,591,975 | ||
8% 1/15/18 | 4,655,000 | 4,631,725 | ||
ILFC E-Capital Trust II 6.25% 12/21/65 (f)(l) | 1,250,000 | 793,750 | ||
Ineos Finance PLC 9% 5/15/15 (f) | 1,715,000 | 1,766,450 | ||
International Lease Finance Corp.: | ||||
5.4% 2/15/12 | 2,864,000 | 2,803,140 | ||
5.625% 9/20/13 | 380,000 | 356,725 | ||
5.65% 6/1/14 | 11,820,000 | 10,963,050 | ||
6.375% 3/25/13 | 1,858,000 | 1,795,293 | ||
6.625% 11/15/13 | 4,281,000 | 4,120,463 | ||
JPMorgan Chase & Co.: | ||||
4.891% 9/1/15 (l) | 2,729,000 | 2,714,083 | ||
4.95% 3/25/20 | 17,148,000 | 18,130,049 | ||
LBI Escrow Corp. 8% 11/1/17 (f) | 3,820,000 | 4,106,500 | ||
Myriad International Holding BV 6.375% 7/28/17 (f) | 855,000 | 871,031 | ||
NSG Holdings II, LLC 7.75% 12/15/25 (f) | 9,115,000 | 8,066,775 | ||
Offshore Group Investment Ltd. 11.5% 8/1/15 (f) | 1,985,000 | 1,980,038 | ||
PHH Corp. 9.25% 3/1/16 (f) | 1,610,000 | 1,618,050 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Diversified Financial Services - continued | ||||
Prime Property Funding, Inc.: | ||||
5.125% 6/1/15 (f) | $ 1,090,000 | $ 1,064,073 | ||
5.5% 1/15/14 (f) | 695,000 | 702,683 | ||
5.7% 4/15/17 (f) | 1,696,000 | 1,557,593 | ||
Rearden G Holdings Eins GmbH 7.875% 3/30/20 (f) | 460,000 | 483,000 | ||
Sunwest Management, Inc. 7.9726% 2/10/15 | 364,436 | 278,648 | ||
Teachers Insurance & Annuity Association of America 6.85% 12/16/39 (f) | 6,200,000 | 7,784,298 | ||
TECO Finance, Inc.: | ||||
4% 3/15/16 | 2,562,000 | 2,680,254 | ||
5.15% 3/15/20 | 3,681,000 | 4,021,680 | ||
TMK Capital SA 10% 7/29/11 | 1,700,000 | 1,763,750 | ||
Trans Union LLC/Trans Union Financing Corp. 11.375% 6/15/18 (f) | 1,235,000 | 1,343,063 | ||
TransCapitalInvest Ltd. 5.67% 3/5/14 (f) | 3,238,000 | 3,427,786 | ||
UPC Germany GmbH 8.125% 12/1/17 (f) | 1,950,000 | 2,006,160 | ||
Volkswagen International Finance NV 4% 8/12/20 (f) | 5,602,000 | 5,800,109 | ||
Wind Acquisition Holdings Finance SA 12.25% 7/15/17 pay-in-kind (f)(l) | 5,121,570 | 5,293,996 | ||
ZFS Finance USA Trust II 6.45% 12/15/65 (f)(l) | 5,755,000 | 5,294,600 | ||
ZFS Finance USA Trust IV 5.875% 5/9/62 (f)(l) | 1,673,000 | 1,497,921 | ||
ZFS Finance USA Trust V 6.5% 5/9/67 (f)(l) | 3,125,000 | 2,828,125 | ||
| 221,072,913 | |||
Insurance - 1.2% | ||||
Allstate Corp.: | ||||
5.55% 5/9/35 | 7,505,000 | 7,927,922 | ||
6.2% 5/16/14 | 6,893,000 | 8,010,335 | ||
American International Group, Inc. 8.175% 5/15/68 (l) | 7,875,000 | 6,752,813 | ||
Assurant, Inc. 5.625% 2/15/14 | 1,912,000 | 2,040,376 | ||
Axis Capital Holdings Ltd. 5.75% 12/1/14 | 558,000 | 598,978 | ||
Great-West Life & Annuity Insurance Co. 7.153% 5/16/46 (f)(l) | 1,491,000 | 1,408,995 | ||
Jackson National Life Global Funding 5.375% 5/8/13 (f) | 753,000 | 816,864 | ||
Liberty Mutual Group, Inc. 6.5% 3/15/35 (f) | 594,000 | 541,239 | ||
Massachusetts Mutual Life Insurance Co. 8.875% 6/1/39 (f) | 7,475,000 | 10,643,271 | ||
MetLife, Inc.: | ||||
2.375% 2/6/14 | 5,900,000 | 5,924,951 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Insurance - continued | ||||
MetLife, Inc.: - continued | ||||
4.75% 2/8/21 | $ 4,032,000 | $ 4,219,359 | ||
5% 6/15/15 | 1,163,000 | 1,274,925 | ||
5.875% 2/6/41 | 3,113,000 | 3,405,298 | ||
6.125% 12/1/11 | 990,000 | 1,047,635 | ||
6.75% 6/1/16 | 7,610,000 | 8,966,307 | ||
Metropolitan Life Global Funding I: | ||||
5.125% 4/10/13 (f) | 559,000 | 608,912 | ||
5.125% 6/10/14 (f) | 6,751,000 | 7,479,784 | ||
Monumental Global Funding II 5.65% 7/14/11 (f) | 1,652,000 | 1,696,647 | ||
Monumental Global Funding III 5.5% 4/22/13 (f) | 2,202,000 | 2,383,696 | ||
New York Life Insurance Co. 6.75% 11/15/39 (f) | 4,378,000 | 5,595,539 | ||
Northwestern Mutual Life Insurance Co. 6.063% 3/30/40 (f) | 5,160,000 | 6,096,421 | ||
Pacific Life Global Funding 5.15% 4/15/13 (f) | 11,281,000 | 12,135,107 | ||
Pacific Life Insurance Co. 9.25% 6/15/39 (f) | 7,656,000 | 9,871,019 | ||
Pacific LifeCorp 6% 2/10/20 (f) | 5,766,000 | 6,234,764 | ||
Prudential Financial, Inc.: | ||||
3.625% 9/17/12 | 11,000,000 | 11,414,392 | ||
4.75% 9/17/15 | 11,000,000 | 11,799,700 | ||
5.15% 1/15/13 | 2,167,000 | 2,317,301 | ||
5.4% 6/13/35 | 452,000 | 445,282 | ||
5.5% 3/15/16 | 425,000 | 464,527 | ||
5.7% 12/14/36 | 384,000 | 393,492 | ||
6.2% 1/15/15 | 1,180,000 | 1,326,600 | ||
7.375% 6/15/19 | 3,230,000 | 3,931,550 | ||
8.875% 6/15/38 (l) | 1,915,000 | 2,087,350 | ||
Symetra Financial Corp. 6.125% 4/1/16 (f) | 5,181,000 | 5,343,942 | ||
The Chubb Corp. 5.75% 5/15/18 | 4,035,000 | 4,656,721 | ||
| 159,862,014 | |||
Real Estate Investment Trusts - 0.5% | ||||
AvalonBay Communities, Inc.: | ||||
4.95% 3/15/13 | 367,000 | 389,761 | ||
5.5% 1/15/12 | 1,759,000 | 1,855,372 | ||
Camden Property Trust: | ||||
5.375% 12/15/13 | 4,073,000 | 4,387,831 | ||
5.875% 11/30/12 | 670,000 | 718,816 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Real Estate Investment Trusts - continued | ||||
Developers Diversified Realty Corp.: | ||||
5.25% 4/15/11 | $ 3,363,000 | $ 3,373,002 | ||
5.375% 10/15/12 | 3,206,000 | 3,201,835 | ||
7.5% 4/1/17 | 4,686,000 | 4,717,912 | ||
7.875% 9/1/20 | 323,000 | 328,857 | ||
Duke Realty LP: | ||||
4.625% 5/15/13 | 949,000 | 985,287 | ||
5.875% 8/15/12 | 1,017,000 | 1,068,241 | ||
Equity One, Inc.: | ||||
6% 9/15/17 | 890,000 | 916,883 | ||
6.25% 12/15/14 | 5,251,000 | 5,624,493 | ||
6.25% 1/15/17 | 494,000 | 516,620 | ||
Federal Realty Investment Trust: | ||||
5.4% 12/1/13 | 441,000 | 478,941 | ||
5.9% 4/1/20 | 2,450,000 | 2,731,850 | ||
6% 7/15/12 | 2,933,000 | 3,146,308 | ||
6.2% 1/15/17 | 620,000 | 700,637 | ||
HMB Capital Trust V 4.1371% 12/15/36 (b)(f)(l) | 270,000 | 0 | ||
HRPT Properties Trust: | ||||
5.75% 11/1/15 | 890,000 | 942,313 | ||
6.25% 6/15/17 | 1,232,000 | 1,292,825 | ||
6.65% 1/15/18 | 656,000 | 703,528 | ||
Omega Healthcare Investors, Inc.: | ||||
7% 4/1/14 | 7,000,000 | 7,140,000 | ||
7% 1/15/16 | 3,060,000 | 3,128,850 | ||
Rouse Co.: | ||||
5.375% 11/26/13 (b) | 145,000 | 165,300 | ||
7.2% 9/15/12 (b) | 10,000 | 11,975 | ||
Senior Housing Properties Trust: | ||||
6.75% 4/15/20 | 2,325,000 | 2,383,125 | ||
8.625% 1/15/12 | 250,000 | 262,500 | ||
UDR, Inc. 5.5% 4/1/14 | 5,222,000 | 5,584,431 | ||
Washington (REIT) 5.95% 6/15/11 | 3,701,000 | 3,809,883 | ||
| 60,567,376 | |||
Real Estate Management & Development - 1.1% | ||||
AMB Property LP 5.9% 8/15/13 | 2,580,000 | 2,749,996 | ||
Arden Realty LP 5.2% 9/1/11 | 1,339,000 | 1,377,247 | ||
BioMed Realty LP 6.125% 4/15/20 (f) | 3,359,000 | 3,629,913 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Real Estate Management & Development - continued | ||||
Brandywine Operating Partnership LP: | ||||
5.625% 12/15/10 | $ 4,192,000 | $ 4,233,220 | ||
5.7% 5/1/17 | 5,943,000 | 6,021,263 | ||
5.75% 4/1/12 | 2,512,000 | 2,595,115 | ||
Colonial Properties Trust 6.875% 8/15/12 | 4,000,000 | 4,130,000 | ||
Colonial Realty LP 6.05% 9/1/16 | 2,000,000 | 1,934,624 | ||
Digital Realty Trust LP 4.5% 7/15/15 (f) | 4,981,000 | 5,044,035 | ||
Duke Realty LP: | ||||
5.4% 8/15/14 | 5,421,000 | 5,715,604 | ||
5.625% 8/15/11 | 3,706,000 | 3,787,358 | ||
5.95% 2/15/17 | 1,109,000 | 1,189,161 | ||
6.25% 5/15/13 | 14,424,000 | 15,589,312 | ||
6.5% 1/15/18 | 3,795,000 | 4,152,569 | ||
6.75% 3/15/20 | 10,000,000 | 11,177,250 | ||
ERP Operating LP: | ||||
4.75% 7/15/20 | 6,820,000 | 7,138,992 | ||
5.25% 9/15/14 | 1,310,000 | 1,446,619 | ||
5.375% 8/1/16 | 2,768,000 | 3,048,191 | ||
5.5% 10/1/12 | 3,655,000 | 3,944,001 | ||
5.75% 6/15/17 | 11,387,000 | 12,856,572 | ||
Forest City Enterprises, Inc. 7.625% 6/1/15 | 100,000 | 91,000 | ||
Highwoods/Forsyth LP 5.85% 3/15/17 | 615,000 | 632,677 | ||
Host Hotels & Resorts LP 9% 5/15/17 | 2,135,000 | 2,316,475 | ||
Liberty Property LP: | ||||
5.125% 3/2/15 | 1,190,000 | 1,257,632 | ||
5.5% 12/15/16 | 1,523,000 | 1,640,796 | ||
6.625% 10/1/17 | 4,264,000 | 4,879,837 | ||
Mack-Cali Realty LP 7.75% 2/15/11 | 976,000 | 999,534 | ||
Post Apartment Homes LP 6.3% 6/1/13 | 3,812,000 | 4,116,240 | ||
Reckson Operating Partnership LP 6% 3/31/16 | 3,651,000 | 3,553,931 | ||
Regency Centers LP: | ||||
4.95% 4/15/14 | 611,000 | 641,372 | ||
5.25% 8/1/15 | 2,133,000 | 2,283,037 | ||
5.875% 6/15/17 | 1,056,000 | 1,144,370 | ||
Simon Property Group LP: | ||||
4.2% 2/1/15 | 3,659,000 | 3,910,886 | ||
6.75% 2/1/40 | 6,410,000 | 7,656,207 | ||
Tanger Properties LP: | ||||
6.125% 6/1/20 | 4,395,000 | 4,836,482 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Real Estate Management & Development - continued | ||||
Tanger Properties LP: - continued | ||||
6.15% 11/15/15 | $ 824,000 | $ 910,852 | ||
Toys 'R' Us Property Co. II LLC 8.5% 12/1/17 (f) | 2,455,000 | 2,553,200 | ||
Ventas Realty LP: | ||||
6.5% 6/1/16 | 105,000 | 107,100 | ||
6.5% 6/1/16 | 450,000 | 459,000 | ||
6.625% 10/15/14 | 3,505,000 | 3,610,150 | ||
6.75% 4/1/17 | 250,000 | 257,500 | ||
| 149,619,320 | |||
Thrifts & Mortgage Finance - 0.5% | ||||
Bank of America Corp.: | ||||
3.7% 9/1/15 | 4,630,000 | 4,621,360 | ||
5.625% 7/1/20 | 18,255,000 | 18,820,814 | ||
5.65% 5/1/18 | 12,000,000 | 12,477,804 | ||
6.5% 8/1/16 | 9,000,000 | 10,059,381 | ||
First Niagara Financial Group, Inc. 6.75% 3/19/20 | 7,320,000 | 8,035,501 | ||
Independence Community Bank Corp.: | ||||
2.353% 4/1/14 (l) | 4,218,000 | 4,058,142 | ||
4.9% 9/23/10 | 1,696,000 | 1,698,948 | ||
Wrightwood Capital LLC 10.5% 6/1/14 (b)(f) | 100,000 | 38,000 | ||
| 59,809,950 | |||
TOTAL FINANCIALS | 1,227,231,469 | |||
HEALTH CARE - 0.6% | ||||
Health Care Equipment & Supplies - 0.1% | ||||
Biomet, Inc.: | ||||
10% 10/15/17 | 4,825,000 | 5,235,125 | ||
10.375% 10/15/17 pay-in-kind (l) | 3,155,000 | 3,423,175 | ||
| 8,658,300 | |||
Health Care Providers & Services - 0.4% | ||||
Coventry Health Care, Inc.: | ||||
5.95% 3/15/17 | 1,747,000 | 1,748,691 | ||
6.3% 8/15/14 | 3,618,000 | 3,858,420 | ||
DASA Finance Corp. 8.75% 5/29/18 (f) | 585,000 | 655,785 | ||
Express Scripts, Inc.: | ||||
5.25% 6/15/12 | 7,157,000 | 7,635,474 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
HEALTH CARE - continued | ||||
Health Care Providers & Services - continued | ||||
Express Scripts, Inc.: - continued | ||||
6.25% 6/15/14 | $ 2,629,000 | $ 3,031,048 | ||
HCA, Inc.: | ||||
8.5% 4/15/19 | 1,760,000 | 1,922,800 | ||
9.125% 11/15/14 | 3,905,000 | 4,110,013 | ||
9.25% 11/15/16 | 4,905,000 | 5,236,088 | ||
9.625% 11/15/16 pay-in-kind (l) | 11,255,066 | 12,014,783 | ||
Psychiatric Solutions, Inc. 7.75% 7/15/15 | 420,000 | 425,250 | ||
Rural/Metro Corp. 12.75% 3/15/16 | 995,000 | 1,047,337 | ||
Skilled Healthcare Group, Inc. 11% 1/15/14 | 64,000 | 55,680 | ||
Sun Healthcare Group, Inc. 9.125% 4/15/15 | 10,000 | 10,475 | ||
Vanguard Health Holding Co. II LLC/Vanguard Health Holding Co. II, Inc.: | ||||
8% 2/1/18 | 4,570,000 | 4,478,600 | ||
8% 2/1/18 (f) | 2,330,000 | 2,283,400 | ||
| 48,513,844 | |||
Health Care Technology - 0.0% | ||||
DJO Finance LLC / DJO Finance Corp. 10.875% 11/15/14 | 7,885,000 | 8,456,663 | ||
Pharmaceuticals - 0.1% | ||||
Mylan, Inc.: | ||||
7.625% 7/15/17 (f) | 1,115,000 | 1,156,813 | ||
7.875% 7/15/20 (f) | 995,000 | 1,042,263 | ||
Novartis Capital Corp. 4.125% 2/10/14 | 2,930,000 | 3,204,564 | ||
Roche Holdings, Inc. 5% 3/1/14 (f) | 5,943,000 | 6,633,553 | ||
Valeant Pharmaceuticals International 7.625% 3/15/20 (f) | 1,720,000 | 2,072,600 | ||
| 14,109,793 | |||
TOTAL HEALTH CARE | 79,738,600 | |||
INDUSTRIALS - 1.3% | ||||
Aerospace & Defense - 0.1% | ||||
BAE Systems Holdings, Inc.: | ||||
6.375% 6/1/19 (f) | 8,071,000 | 9,460,108 | ||
6.4% 12/15/11 (f) | 818,000 | 865,026 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
INDUSTRIALS - continued | ||||
Aerospace & Defense - continued | ||||
BE Aerospace, Inc. 8.5% 7/1/18 | $ 2,875,000 | $ 3,076,250 | ||
Esterline Technologies Corp. 7% 8/1/20 (f) | 1,105,000 | 1,124,338 | ||
| 14,525,722 | |||
Airlines - 0.4% | ||||
Air Canada 9.25% 8/1/15 (f) | 4,265,000 | 4,201,025 | ||
American Airlines, Inc. 10.5% 10/15/12 (f) | 3,200,000 | 3,400,000 | ||
American Airlines, Inc. pass-thru trust certificates: | ||||
6.977% 11/23/22 | 934,236 | 789,430 | ||
6.978% 10/1/12 | 178,326 | 179,663 | ||
8.608% 10/1/12 | 960,000 | 960,000 | ||
10.375% 7/2/19 | 1,878,805 | 2,151,232 | ||
AMR Corp. 9% 8/1/12 | 485,000 | 473,481 | ||
Continental Airlines, Inc.: | ||||
pass-thru trust certificates: | ||||
7.875% 7/2/18 | 792,960 | 745,382 | ||
9.798% 4/1/21 | 615,180 | 602,877 | ||
6.648% 3/15/19 | 2,820,535 | 2,858,613 | ||
6.75% 9/15/15 (f) | 3,405,000 | 3,379,463 | ||
6.82% 5/1/18 | 221,731 | 221,731 | ||
6.9% 7/2/19 | 817,032 | 839,501 | ||
Continental Airlines, Inc. 9.25% 5/10/17 | 3,060,000 | 3,182,400 | ||
Delta Air Lines, Inc. pass-thru trust certificates: | ||||
6.821% 8/10/22 | 338,024 | 347,320 | ||
7.57% 11/18/10 | 11,016,000 | 11,126,160 | ||
8.021% 8/10/22 | 1,640,643 | 1,613,573 | ||
8.954% 8/10/14 | 2,174,767 | 2,231,311 | ||
Northwest Airlines, Inc. pass-thru trust certificates 8.028% 11/1/17 | 910,740 | 919,847 | ||
U.S. Airways pass-thru trust certificates: | ||||
6.85% 7/30/19 | 1,918,309 | 1,815,679 | ||
8.36% 7/20/20 | 1,320,837 | 1,318,856 | ||
United Air Lines, Inc.: | ||||
9.875% 8/1/13 (f) | 785,000 | 834,063 | ||
12% 11/1/13 (f) | 995,000 | 1,064,650 | ||
United Air Lines, Inc. pass-thru trust certificates: | ||||
Class B, 7.336% 7/2/19 | 838,014 | 754,212 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
INDUSTRIALS - continued | ||||
Airlines - continued | ||||
United Air Lines, Inc. pass-thru trust certificates: - continued | ||||
9.75% 1/15/17 | $ 2,284,141 | $ 2,529,686 | ||
12% 1/15/16 (f) | 828,962 | 902,491 | ||
| 49,442,646 | |||
Building Products - 0.0% | ||||
Building Materials Corp. of America 6.875% 8/15/18 (f) | 2,550,000 | 2,499,000 | ||
Commercial Services & Supplies - 0.2% | ||||
ACCO Brands Corp. 10.625% 3/15/15 | 795,000 | 876,488 | ||
ARAMARK Corp.: | ||||
3.9656% 2/1/15 (l) | 5,440,000 | 4,977,600 | ||
8.5% 2/1/15 | 1,775,000 | 1,828,250 | ||
EnergySolutions, Inc. / EnergySolutions LLC 10.75% 8/15/18 (f) | 955,000 | 977,634 | ||
International Lease Finance Corp.: | ||||
6.5% 9/1/14 (f) | 1,620,000 | 1,656,450 | ||
6.75% 9/1/16 (f) | 1,620,000 | 1,652,400 | ||
8.625% 9/15/15 (f) | 2,745,000 | 2,765,588 | ||
8.75% 3/15/17 (f) | 3,990,000 | 4,019,925 | ||
8.875% 9/1/17 | 4,870,000 | 4,918,700 | ||
| 23,673,035 | |||
Construction & Engineering - 0.0% | ||||
Amsted Industries, Inc. 8.125% 3/15/18 (f) | 2,535,000 | 2,579,363 | ||
Odebrecht Finance Ltd. 7% 4/21/20 (f) | 460,000 | 487,600 | ||
Odebrecht Overseas Ltd. 9.625% | 250,000 | 253,125 | ||
| 3,320,088 | |||
Industrial Conglomerates - 0.2% | ||||
General Electric Co. 5.25% 12/6/17 | 17,730,000 | 19,892,812 | ||
Otter Tail Corp. 9% 12/15/16 | 2,410,000 | 2,578,700 | ||
Sequa Corp.: | ||||
11.75% 12/1/15 (f) | 1,415,000 | 1,464,525 | ||
13.5% 12/1/15 pay-in-kind (f) | 901,711 | 944,542 | ||
| 24,880,579 | |||
Machinery - 0.1% | ||||
Accuride Corp. 9.5% 8/1/18 (f) | 1,515,000 | 1,552,875 | ||
ArvinMeritor, Inc. 8.125% 9/15/15 | 3,250,000 | 3,258,125 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
INDUSTRIALS - continued | ||||
Machinery - continued | ||||
Navistar International Corp. 8.25% 11/1/21 | $ 2,655,000 | $ 2,761,200 | ||
RBS Global, Inc./Rexnord Corp.: | ||||
8.5% 5/1/18 | 2,960,000 | 2,989,600 | ||
11.75% 8/1/16 | 1,860,000 | 1,990,200 | ||
SPX Corp. 6.875% 9/1/17 (f) | 3,260,000 | 3,333,350 | ||
| 15,885,350 | |||
Marine - 0.1% | ||||
Navios Maritime Holdings, Inc.: | ||||
8.875% 11/1/17 (f) | 1,970,000 | 2,038,950 | ||
9.5% 12/15/14 | 3,070,000 | 3,062,325 | ||
| 5,101,275 | |||
Professional Services - 0.0% | ||||
FTI Consulting, Inc. 7.625% 6/15/13 | 1,395,000 | 1,412,438 | ||
Road & Rail - 0.2% | ||||
Avis Budget Car Rental LLC/Avis Budget Finance, Inc.: | ||||
7.625% 5/15/14 | 4,105,000 | 4,105,000 | ||
7.75% 5/15/16 | 3,025,000 | 2,934,250 | ||
Hertz Corp.: | ||||
8.875% 1/1/14 | 6,065,000 | 6,231,788 | ||
10.5% 1/1/16 | 2,240,000 | 2,374,400 | ||
Kansas City Southern de Mexico, SA de CV 12.5% 4/1/16 | 1,135,000 | 1,362,000 | ||
Swift Transportation Co., Inc. 12.5% 5/15/17 (f) | 2,780,000 | 2,766,100 | ||
| 19,773,538 | |||
Trading Companies & Distributors - 0.0% | ||||
Aircastle Ltd. 9.75% 8/1/18 (f) | 495,000 | 501,188 | ||
TOTAL INDUSTRIALS | 161,014,859 | |||
INFORMATION TECHNOLOGY - 0.5% | ||||
Communications Equipment - 0.1% | ||||
Avaya, Inc.: | ||||
9.75% 11/1/15 | 1,955,000 | 1,842,588 | ||
10.125% 11/1/15 pay-in-kind (l) | 6,052,385 | 5,719,504 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
INFORMATION TECHNOLOGY - continued | ||||
Communications Equipment - continued | ||||
Lucent Technologies, Inc.: | ||||
6.45% 3/15/29 | $ 5,400,000 | $ 3,645,000 | ||
6.5% 1/15/28 | 1,940,000 | 1,309,500 | ||
| 12,516,592 | |||
Computers & Peripherals - 0.0% | ||||
Seagate HDD Cayman 6.875% 5/1/20 (f) | 1,015,000 | 995,969 | ||
Seagate Technology HDD Holdings 6.8% 10/1/16 | 4,140,000 | 4,181,400 | ||
| 5,177,369 | |||
Electronic Equipment & Components - 0.1% | ||||
Intcomex, Inc. 13.25% 12/15/14 (f) | 1,510,000 | 1,593,050 | ||
Jabil Circuit, Inc.: | ||||
7.75% 7/15/16 | 2,915,000 | 3,140,913 | ||
8.25% 3/15/18 | 1,025,000 | 1,114,688 | ||
Tyco Electronics Group SA: | ||||
5.95% 1/15/14 | 2,950,000 | 3,300,271 | ||
6% 10/1/12 | 3,877,000 | 4,195,879 | ||
6.55% 10/1/17 | 1,383,000 | 1,617,597 | ||
| 14,962,398 | |||
Internet Software & Services - 0.1% | ||||
Equinix, Inc. 8.125% 3/1/18 | 2,530,000 | 2,656,500 | ||
Terremark Worldwide, Inc. 12% 6/15/17 | 3,465,000 | 3,898,125 | ||
| 6,554,625 | |||
IT Services - 0.0% | ||||
Fidelity National Information Services, Inc.: | ||||
7.625% 7/15/17 (f) | 800,000 | 832,000 | ||
7.875% 7/15/20 (f) | 1,070,000 | 1,123,500 | ||
SunGard Data Systems, Inc. 10.25% 8/15/15 | 3,795,000 | 3,956,288 | ||
| 5,911,788 | |||
Office Electronics - 0.1% | ||||
Xerox Capital Trust I 8% 2/1/27 | 8,230,000 | 8,401,439 | ||
Xerox Corp. 5.5% 5/15/12 | 1,602,000 | 1,709,654 | ||
| 10,111,093 | |||
Semiconductors & Semiconductor Equipment - 0.1% | ||||
Advanced Micro Devices, Inc. 7.75% 8/1/20 (f) | 2,085,000 | 2,069,363 | ||
Amkor Technology, Inc. 7.375% 5/1/18 (f) | 2,060,000 | 2,054,850 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
INFORMATION TECHNOLOGY - continued | ||||
Semiconductors & Semiconductor Equipment - continued | ||||
Freescale Semiconductor, Inc.: | ||||
9.125% 12/15/14 pay-in-kind (l) | $ 1,966,560 | $ 1,819,068 | ||
9.25% 4/15/18 (f) | 2,385,000 | 2,385,000 | ||
10.125% 12/15/16 | 3,320,000 | 2,739,000 | ||
Viasystems, Inc. 12% 1/15/15 (f) | 1,590,000 | 1,729,125 | ||
| 12,796,406 | |||
TOTAL INFORMATION TECHNOLOGY | 68,030,271 | |||
MATERIALS - 1.1% | ||||
Chemicals - 0.5% | ||||
Berry Plastics Corp.: | ||||
5.2759% 2/15/15 (l) | 1,975,000 | 1,856,500 | ||
8.25% 11/15/15 | 3,805,000 | 3,805,000 | ||
8.875% 9/15/14 | 2,455,000 | 2,332,250 | ||
9.5% 5/15/18 (f) | 3,800,000 | 3,524,500 | ||
Braskem Finance Ltd. 7% 5/7/20 (f) | 410,000 | 426,400 | ||
Dow Chemical Co.: | ||||
4.85% 8/15/12 | 9,460,000 | 9,983,904 | ||
7.6% 5/15/14 | 16,104,000 | 18,774,639 | ||
Huntsman International LLC: | ||||
5.5% 6/30/16 | 3,195,000 | 2,979,338 | ||
8.625% 3/15/20 (f) | 1,700,000 | 1,700,000 | ||
Lubrizol Corp. 8.875% 2/1/19 | 928,000 | 1,193,068 | ||
Lyondell Chemical Co. 11% 5/1/18 | 3,955,000 | 4,296,119 | ||
NOVA Chemicals Corp.: | ||||
3.7476% 11/15/13 (l) | 2,720,000 | 2,529,600 | ||
6.5% 1/15/12 | 2,290,000 | 2,341,525 | ||
8.375% 11/1/16 | 2,825,000 | 2,888,563 | ||
8.625% 11/1/19 | 1,935,000 | 2,012,400 | ||
| 60,643,806 | |||
Construction Materials - 0.0% | ||||
CRH America, Inc. 6% 9/30/16 | 1,833,000 | 2,014,920 | ||
Texas Industries, Inc. 9.25% 8/15/20 (f) | 3,100,000 | 3,084,500 | ||
| 5,099,420 | |||
Containers & Packaging - 0.1% | ||||
Crown Cork & Seal, Inc. 7.375% 12/15/26 | 4,250,000 | 4,016,250 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
MATERIALS - continued | ||||
Containers & Packaging - continued | ||||
Pactiv Corp.: | ||||
5.875% 7/15/12 | $ 1,713,000 | $ 1,816,948 | ||
6.4% 1/15/18 | 1,749,000 | 1,813,772 | ||
Vitro SAB de CV 8.625% 2/1/12 (b) | 6,915,000 | 3,388,350 | ||
| 11,035,320 | |||
Metals & Mining - 0.5% | ||||
Algoma Acquisition Corp. 9.875% 6/15/15 (f) | 1,200,000 | 1,050,000 | ||
Anglo American Capital PLC 9.375% 4/8/14 (f) | 5,953,000 | 7,240,830 | ||
BHP Billiton Financial (USA) Ltd. 5.125% 3/29/12 | 1,975,000 | 2,096,439 | ||
Corporacion Nacional del Cobre (Codelco) 6.375% 11/30/12 (f) | 2,002,000 | 2,208,290 | ||
CSN Islands XI Corp. 6.875% 9/21/19 (f) | 1,500,000 | 1,605,000 | ||
Edgen Murray Corp. 12.25% 1/15/15 (f) | 4,970,000 | 4,100,250 | ||
Essar Steel Algoma, Inc. 9.375% 3/15/15 (f) | 3,100,000 | 3,061,250 | ||
Evraz Group SA 8.875% 4/24/13 (f) | 2,055,000 | 2,142,338 | ||
FMG Finance Property Ltd.: | ||||
10% 9/1/13 (f) | 5,580,000 | 6,082,200 | ||
10.625% 9/1/16 (f) | 789,000 | 931,020 | ||
McJunkin Red Man Corp. 9.5% 12/15/16 (f) | 5,660,000 | 5,009,100 | ||
Metinvest BV 10.25% 5/20/15 (f) | 810,000 | 838,350 | ||
Rio Tinto Finance (USA) Ltd.: | ||||
5.875% 7/15/13 | 3,264,000 | 3,633,237 | ||
6.5% 7/15/18 | 1,458,000 | 1,726,266 | ||
Severstal Columbus LLC 10.25% 2/15/18 (f) | 2,940,000 | 3,057,600 | ||
Southern Copper Corp. 6.75% 4/16/40 | 1,025,000 | 1,101,875 | ||
Steel Dynamics, Inc.: | ||||
6.75% 4/1/15 | 2,240,000 | 2,268,000 | ||
7.375% 11/1/12 | 1,985,000 | 2,094,175 | ||
Tube City IMS Corp. 9.75% 2/1/15 | 1,700,000 | 1,738,250 | ||
United States Steel Corp. 6.65% 6/1/37 | 2,648,000 | 2,330,240 | ||
Vale Overseas Ltd. 6.25% 1/23/17 | 5,007,000 | 5,614,199 | ||
| 59,928,909 | |||
Paper & Forest Products - 0.0% | ||||
Boise Paper LLC/Boise Co-Issuer Co. 8% 4/1/20 | 1,165,000 | 1,188,300 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
MATERIALS - continued | ||||
Paper & Forest Products - continued | ||||
Verso Paper Holdings LLC/Verso Paper, Inc.: | ||||
9.125% 8/1/14 | $ 1,345,000 | $ 1,297,925 | ||
11.5% 7/1/14 | 3,795,000 | 4,041,675 | ||
| 6,527,900 | |||
TOTAL MATERIALS | 143,235,355 | |||
TELECOMMUNICATION SERVICES - 2.5% | ||||
Diversified Telecommunication Services - 1.5% | ||||
Alestra SA de RL de CV 11.75% 8/11/14 | 1,185,000 | 1,309,425 | ||
AT&T, Inc.: | ||||
2.5% 8/15/15 | 7,000,000 | 7,076,244 | ||
5.8% 2/15/19 | 5,216,000 | 6,152,126 | ||
6.3% 1/15/38 | 31,601,000 | 36,261,926 | ||
BellSouth Capital Funding Corp. 7.875% 2/15/30 | 899,000 | 1,136,310 | ||
British Telecommunications PLC 9.375% 12/15/10 (e) | 2,717,000 | 2,777,652 | ||
CenturyTel, Inc. 7.6% 9/15/39 | 7,184,000 | 6,999,350 | ||
Citizens Communications Co.: | ||||
7.875% 1/15/27 | 925,000 | 901,875 | ||
9% 8/15/31 | 2,260,000 | 2,299,550 | ||
Frontier Communications Corp.: | ||||
7.875% 4/15/15 | 1,545,000 | 1,626,113 | ||
8.125% 10/1/18 | 3,615,000 | 3,831,900 | ||
8.25% 5/1/14 | 2,245,000 | 2,421,682 | ||
8.25% 4/15/17 | 2,270,000 | 2,423,225 | ||
8.5% 4/15/20 | 775,000 | 817,625 | ||
Global Crossing Ltd. 12% 9/15/15 | 2,160,000 | 2,397,816 | ||
Indosat Palapa Co. BV 7.375% 7/29/20 (f) | 710,000 | 763,250 | ||
Intelsat Bermuda Ltd. 12% 2/4/17 pay-in-kind (l) | 7,164,320 | 7,376,016 | ||
Intelsat Ltd.: | ||||
6.5% 11/1/13 | 3,700,000 | 3,533,500 | ||
7.625% 4/15/12 | 3,665,000 | 3,710,813 | ||
11.25% 6/15/16 | 1,635,000 | 1,753,538 | ||
Qwest Communications International, Inc.: | ||||
7.125% 4/1/18 (f) | 2,450,000 | 2,529,625 | ||
7.5% 2/15/14 | 1,310,000 | 1,334,563 | ||
8% 10/1/15 (f) | 2,050,000 | 2,203,750 | ||
Sprint Capital Corp. 6.875% 11/15/28 | 15,285,000 | 12,762,975 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
TELECOMMUNICATION SERVICES - continued | ||||
Diversified Telecommunication Services - continued | ||||
Telecom Italia Capital SA: | ||||
4.95% 9/30/14 | $ 3,208,000 | $ 3,372,439 | ||
5.25% 10/1/15 | 1,177,000 | 1,253,090 | ||
6.999% 6/4/18 | 1,793,000 | 2,028,955 | ||
7.175% 6/18/19 | 14,000,000 | 16,139,102 | ||
7.2% 7/18/36 | 7,240,000 | 7,798,378 | ||
Telefonica Emisiones SAU: | ||||
5.134% 4/27/20 | 10,000,000 | 10,780,330 | ||
6.421% 6/20/16 | 1,162,000 | 1,339,544 | ||
U.S. West Communications 7.5% 6/15/23 | 3,760,000 | 3,797,600 | ||
Verizon Communications, Inc.: | ||||
6.1% 4/15/18 | 6,000,000 | 7,072,614 | ||
6.25% 4/1/37 | 2,348,000 | 2,684,142 | ||
6.4% 2/15/38 | 7,621,000 | 8,930,981 | ||
6.9% 4/15/38 | 6,295,000 | 7,794,664 | ||
Verizon New England, Inc. 6.5% 9/15/11 | 891,000 | 940,002 | ||
Verizon New York, Inc. 6.875% 4/1/12 | 2,653,000 | 2,866,620 | ||
Wind Acquisition Finance SA 11.75% 7/15/17 (f) | 4,535,000 | 4,988,500 | ||
| 196,187,810 | |||
Wireless Telecommunication Services - 1.0% | ||||
Cleveland Unlimited, Inc. 13.5% 12/15/10 (f)(l) | 1,260,000 | 1,260,000 | ||
Cricket Communications, Inc.: | ||||
7.75% 5/15/16 | 2,905,000 | 2,999,413 | ||
9.375% 11/1/14 | 1,185,000 | 1,199,813 | ||
Digicel Group Ltd.: | ||||
8.25% 9/1/17 (f) | 2,020,000 | 2,060,400 | ||
8.875% 1/15/15 (f) | 4,030,000 | 4,050,150 | ||
9.125% 1/15/15 pay-in-kind (f)(l) | 3,070,000 | 3,085,350 | ||
12% 4/1/14 (f) | 3,545,000 | 4,050,163 | ||
DIRECTV Holdings LLC/DIRECTV Financing, Inc.: | ||||
4.75% 10/1/14 | 9,282,000 | 10,028,291 | ||
5.875% 10/1/19 | 11,570,000 | 12,988,227 | ||
6.35% 3/15/40 | 3,541,000 | 3,908,616 | ||
Intelsat Jackson Holdings Ltd.: | ||||
9.5% 6/15/16 | 4,770,000 | 5,068,125 | ||
11.5% 6/15/16 | 7,175,000 | 7,713,125 | ||
Intelsat Subsidiary Holding Co. Ltd.: | ||||
8.875% 1/15/15 (f) | 550,000 | 565,125 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
TELECOMMUNICATION SERVICES - continued | ||||
Wireless Telecommunication Services - continued | ||||
Intelsat Subsidiary Holding Co. Ltd.: - continued | ||||
8.875% 1/15/15 | $ 6,110,000 | $ 6,308,575 | ||
MetroPCS Wireless, Inc.: | ||||
9.25% 11/1/14 | 4,060,000 | 4,222,400 | ||
9.25% 11/1/14 | 1,560,000 | 1,626,300 | ||
Millicom International Cellular SA 10% 12/1/13 | 3,755,000 | 3,877,038 | ||
Mobile Telesystems Finance SA 8% 1/28/12 (f) | 613,000 | 643,650 | ||
MTS International Funding Ltd. 8.625% 6/22/20 (f) | 1,055,000 | 1,201,434 | ||
Nextel Communications, Inc.: | ||||
5.95% 3/15/14 | 6,545,000 | 6,324,106 | ||
6.875% 10/31/13 | 9,105,000 | 9,082,238 | ||
7.375% 8/1/15 | 4,995,000 | 4,945,050 | ||
NII Capital Corp.: | ||||
8.875% 12/15/19 | 2,695,000 | 2,897,125 | ||
10% 8/15/16 | 3,560,000 | 3,991,650 | ||
Orascom Telecom Finance SCA 7.875% 2/8/14 (f) | 2,635,000 | 2,490,075 | ||
Pakistan Mobile Communications Ltd. 8.625% 11/13/13 (f) | 3,170,000 | 3,043,200 | ||
Sprint Nextel Corp. 6% 12/1/16 | 5,715,000 | 5,336,381 | ||
Telecom Personal SA 9.25% 12/22/10 (f) | 1,455,000 | 1,484,100 | ||
Vimpel Communications 8.375% 4/30/13 (Issued by VIP Finance Ireland Ltd. for Vimpel Communications) (f) | 1,545,000 | 1,641,563 | ||
Vodafone Group PLC: | ||||
5% 12/16/13 | 2,296,000 | 2,509,576 | ||
5.5% 6/15/11 | 2,760,000 | 2,860,370 | ||
| 123,461,629 | |||
TOTAL TELECOMMUNICATION SERVICES | 319,649,439 | |||
UTILITIES - 1.6% | ||||
Electric Utilities - 0.6% | ||||
AmerenUE 6.4% 6/15/17 | 1,753,000 | 2,054,719 | ||
Commonwealth Edison Co. 5.4% 12/15/11 | 2,948,000 | 3,107,838 | ||
EDP Finance BV: | ||||
4.9% 10/1/19 (f) | 6,700,000 | 6,201,058 | ||
6% 2/2/18 (f) | 9,619,000 | 9,633,198 | ||
Empresa Distribuidora y Comercializadora Norte SA 10.5% 10/9/17 | 295,000 | 306,800 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
UTILITIES - continued | ||||
Electric Utilities - continued | ||||
FirstEnergy Solutions Corp.: | ||||
4.8% 2/15/15 | $ 2,432,000 | $ 2,593,619 | ||
6.05% 8/15/21 | 3,544,000 | 3,755,304 | ||
Illinois Power Co. 6.125% 11/15/17 | 3,112,000 | 3,590,507 | ||
Intergen NV 9% 6/30/17 (f) | 5,270,000 | 5,414,925 | ||
IPALCO Enterprises, Inc. 7.25% 4/1/16 (f) | 4,440,000 | 4,639,800 | ||
Majapahit Holding BV: | ||||
7.75% 10/17/16 (Reg. S) | 1,440,000 | 1,684,800 | ||
7.75% 1/20/20 (f) | 850,000 | 1,015,750 | ||
8% 8/7/19 (f) | 635,000 | 768,350 | ||
Mirant Americas Generation LLC: | ||||
8.5% 10/1/21 | 3,570,000 | 3,248,700 | ||
9.125% 5/1/31 | 3,775,000 | 3,383,344 | ||
National Power Corp. 6.875% 11/2/16 (f) | 715,000 | 832,975 | ||
Nevada Power Co. 6.5% 5/15/18 | 790,000 | 947,291 | ||
Oncor Electric Delivery Co. 6.375% 5/1/12 | 2,731,000 | 2,944,742 | ||
Pennsylvania Electric Co. 6.05% 9/1/17 | 764,000 | 865,006 | ||
PPL Capital Funding, Inc. 6.7% 3/30/67 (l) | 8,250,000 | 7,734,375 | ||
Progress Energy, Inc.: | ||||
6% 12/1/39 | 10,303,000 | 11,798,099 | ||
7.1% 3/1/11 | 3,385,000 | 3,489,488 | ||
Sierra Pacific Power Co. 5.45% 9/1/13 | 1,560,000 | 1,710,568 | ||
| 81,721,256 | |||
Gas Utilities - 0.1% | ||||
Dynegy Holdings, Inc. 7.5% 6/1/15 (f) | 2,940,000 | 2,234,400 | ||
Intergas Finance BV 6.375% 5/14/17 (Reg. S) | 1,165,000 | 1,231,988 | ||
Southern Natural Gas Co. 5.9% 4/1/17 (f) | 442,000 | 486,806 | ||
Texas Eastern Transmission Corp. 7.3% 12/1/10 | 3,100,000 | 3,147,551 | ||
Transportadora de Gas del Sur SA 7.875% 5/14/17 (f) | 1,410,000 | 1,381,800 | ||
| 8,482,545 | |||
Independent Power Producers & Energy Traders - 0.3% | ||||
AES Corp.: | ||||
7.75% 3/1/14 | 5,400,000 | 5,616,000 | ||
7.75% 10/15/15 | 3,210,000 | 3,362,475 | ||
8% 10/15/17 | 2,575,000 | 2,723,063 | ||
9.75% 4/15/16 | 1,475,000 | 1,644,625 | ||
Duke Capital LLC 5.668% 8/15/14 | 2,055,000 | 2,288,684 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
UTILITIES - continued | ||||
Independent Power Producers & Energy Traders - continued | ||||
Energy Future Intermediate Holding Co. LLC / EFIH Finance, Inc. 10% 12/1/20 | $ 975,000 | $ 934,781 | ||
Exelon Generation Co. LLC 5.35% 1/15/14 | 1,528,000 | 1,681,442 | ||
NRG Energy, Inc.: | ||||
7.375% 2/1/16 | 2,840,000 | 2,854,200 | ||
7.375% 1/15/17 | 3,225,000 | 3,249,188 | ||
8.25% 9/1/20 (f) | 1,950,000 | 1,964,625 | ||
Power Sector Assets and Liabilities Management Corp.: | ||||
7.25% 5/27/19 (f) | 720,000 | 874,800 | ||
7.39% 12/2/24 (f) | 750,000 | 913,125 | ||
PPL Energy Supply LLC 6.5% 5/1/18 | 6,895,000 | 7,888,280 | ||
RRI Energy, Inc. 7.625% 6/15/14 | 8,000,000 | 7,860,000 | ||
| 43,855,288 | |||
Multi-Utilities - 0.6% | ||||
Consolidated Edison Co. of New York, Inc. 5.7% 6/15/40 | 3,771,000 | 4,308,873 | ||
Dominion Resources, Inc.: | ||||
4.75% 12/15/10 | 3,931,000 | 3,977,814 | ||
6.3% 9/30/66 (l) | 4,887,000 | 4,593,780 | ||
7.5% 6/30/66 (l) | 9,539,000 | 9,729,780 | ||
DTE Energy Co. 7.05% 6/1/11 | 984,000 | 1,027,409 | ||
KeySpan Corp. 7.625% 11/15/10 | 494,000 | 500,914 | ||
MidAmerican Energy Holdings, Co.: | ||||
5.75% 4/1/18 | 7,846,000 | 9,083,142 | ||
5.875% 10/1/12 | 2,921,000 | 3,179,479 | ||
6.5% 9/15/37 | 7,097,000 | 8,635,438 | ||
National Grid PLC 6.3% 8/1/16 | 1,314,000 | 1,540,556 | ||
NiSource Finance Corp.: | ||||
5.25% 9/15/17 | 843,000 | 912,221 | ||
5.4% 7/15/14 | 1,347,000 | 1,472,806 | ||
5.45% 9/15/20 | 854,000 | 915,076 | ||
6.4% 3/15/18 | 1,326,000 | 1,522,765 | ||
6.8% 1/15/19 | 6,774,000 | 7,986,946 | ||
7.875% 11/15/10 | 1,022,000 | 1,035,057 | ||
San Diego Gas & Electric Co. 4.5% 8/15/40 | 7,225,000 | 7,314,287 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
UTILITIES - continued | ||||
Multi-Utilities - continued | ||||
Wisconsin Energy Corp. 6.25% 5/15/67 (l) | $ 6,172,000 | $ 5,832,540 | ||
WPS Resources Corp. 6.11% 12/1/66 (l) | 882,000 | 798,210 | ||
| 74,367,093 | |||
TOTAL UTILITIES | 208,426,182 | |||
TOTAL NONCONVERTIBLE BONDS | 3,115,242,525 | |||
TOTAL CORPORATE BONDS (Cost $2,810,059,325) | 3,120,582,606 | |||
U.S. Government and Government Agency Obligations - 34.5% | ||||
| ||||
U.S. Government Agency Obligations - 1.7% | ||||
Fannie Mae: | ||||
0.625% 9/24/12 | 770,000 | 768,996 | ||
1% 4/4/12 | 1,230,000 | 1,238,956 | ||
1% 9/23/13 | 35,637,000 | 35,688,887 | ||
1.25% 6/22/12 | 3,553,000 | 3,593,881 | ||
1.25% 8/20/13 | 50,501,000 | 50,983,689 | ||
5% 2/16/12 | 1,090,000 | 1,160,580 | ||
Federal Home Loan Bank: | ||||
1.625% 11/21/12 | 39,650,000 | 40,431,819 | ||
1.625% 3/20/13 | 23,140,000 | 23,614,694 | ||
Freddie Mac: | ||||
1.125% 7/27/12 | 330,000 | 333,152 | ||
1.75% 6/15/12 | 885,000 | 903,032 | ||
2.125% 3/23/12 | 75,000 | 76,834 | ||
3% 7/28/14 | 50,000,000 | 53,389,650 | ||
5.25% 7/18/11 | 10,730,000 | 11,199,083 | ||
Tennessee Valley Authority 5.375% 4/1/56 | 385,000 | 479,789 | ||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | 223,863,042 | |||
U.S. Treasury Inflation Protected Obligations - 4.0% | ||||
U.S. Treasury Inflation-Indexed Bonds 2.5% 1/15/29 | 20,304,800 | 23,889,110 | ||
U.S. Government and Government Agency Obligations - continued | ||||
| Principal Amount (c) | Value | ||
U.S. Treasury Inflation Protected Obligations - continued | ||||
U.S. Treasury Inflation-Indexed Notes: | ||||
1.375% 1/15/20 | $ 255,139,898 | $ 266,773,999 | ||
2.125% 2/15/40 | 78,258,048 | 88,318,624 | ||
2.625% 7/15/17 (p) | 120,261,895 | 137,264,215 | ||
TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS | 516,245,948 | |||
U.S. Treasury Obligations - 28.5% | ||||
U.S. Treasury Bonds: | ||||
4.25% 5/15/39 | 36,203,000 | 40,971,623 | ||
4.375% 11/15/39 | 19,090,000 | 22,037,019 | ||
4.375% 5/15/40 | 249,658,000 | 288,549,723 | ||
U.S. Treasury Notes: | ||||
0.75% 11/30/11 | 171,564,000 | 172,368,292 | ||
0.875% 2/29/12 | 119,396,000 | 120,254,457 | ||
1% 3/31/12 | 278,585,000 | 281,164,697 | ||
1.125% 1/15/12 | 38,423,000 | 38,816,221 | ||
1.375% 10/15/12 | 163,445,000 | 166,420,189 | ||
1.75% 3/31/14 (p) | 125,000,000 | 128,779,250 | ||
1.875% 6/15/12 | 67,860,000 | 69,598,913 | ||
1.875% 4/30/14 (p) | 42,760,000 | 44,226,540 | ||
1.875% 6/30/15 | 50,250,000 | 51,631,875 | ||
2.375% 9/30/14 | 171,534,000 | 180,486,016 | ||
2.375% 2/28/15 | 667,385,000 | 702,008,884 | ||
2.5% 3/31/15 | 100,000,000 | 105,758,000 | ||
2.5% 4/30/15 | 100,000,000 | 105,757,800 | ||
2.625% 7/31/14 | 625,000,000 | 663,916,250 | ||
2.625% 12/31/14 | 329,010,000 | 349,470,474 | ||
2.75% 2/15/19 | 80,000,000 | 83,175,040 | ||
3.5% 5/15/20 | 21,386,000 | 23,312,451 | ||
3.625% 2/15/20 | 26,742,000 | 29,441,284 | ||
TOTAL U.S. TREASURY OBLIGATIONS | 3,668,144,998 | |||
Other Government Related - 0.3% | ||||
Citigroup Funding, Inc. 2.125% 7/12/12 (FDIC Guaranteed) (g) | 32,000,000 | 32,892,640 | ||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $4,234,890,345) | 4,441,146,628 | |||
U.S. Government Agency - Mortgage Securities - 12.6% | ||||
| Principal Amount (c) | Value | ||
Fannie Mae - 10.9% | ||||
1.975% 4/1/36 (l) | $ 1,290,441 | $ 1,335,770 | ||
2.593% 6/1/36 (l) | 196,375 | 205,753 | ||
2.604% 10/1/33 (l) | 1,187,621 | 1,229,262 | ||
3.5% 9/1/25 (h)(i) | 6,000,000 | 6,220,589 | ||
3.5% 9/1/25 (h)(i) | 6,000,000 | 6,220,589 | ||
3.5% 9/1/25 (h) | 25,000,000 | 25,919,120 | ||
3.5% 10/1/25 (h) | 6,000,000 | 6,195,745 | ||
3.5% 10/1/25 (h) | 6,000,000 | 6,195,745 | ||
4% 9/1/25 (h) | 19,000,000 | 19,952,968 | ||
4% 9/1/25 (h) | 31,000,000 | 32,554,842 | ||
4% 9/1/25 (h) | 9,000,000 | 9,451,406 | ||
4% 8/1/39 | 13,749,238 | 14,256,636 | ||
4.248% 7/1/37 (l) | 531,997 | 560,148 | ||
4.5% 5/1/25 to 8/1/40 (h) | 63,038,639 | 66,573,034 | ||
4.5% 9/1/25 (h) | 8,000,000 | 8,463,750 | ||
4.5% 9/1/40 (h) | 19,000,000 | 19,954,342 | ||
4.5% 9/1/40 (h) | 3,000,000 | 3,150,686 | ||
4.5% 9/1/40 (h) | 32,000,000 | 33,607,312 | ||
4.5% 9/1/40 (h) | 60,000,000 | 63,013,710 | ||
5% 5/1/19 to 6/1/40 | 57,426,781 | 61,420,346 | ||
5% 9/1/25 (h)(i) | 4,000,000 | 4,253,438 | ||
5% 9/1/25 (h) | 17,000,000 | 18,077,110 | ||
5% 8/1/40 (h)(i) | 40,000,000 | 42,546,876 | ||
5% 8/1/40 (h)(i) | 12,000,000 | 12,764,063 | ||
5% 8/1/40 (h)(i) | 670,000 | 712,032 | ||
5% 8/1/40 (h)(i) | 1,160,000 | 1,232,771 | ||
5% 9/1/40 (h)(i) | 54,000,000 | 57,345,467 | ||
5% 9/1/40 (h) | 16,000,000 | 16,991,250 | ||
5% 9/1/40 (h) | 1,000,000 | 1,061,953 | ||
5% 9/1/40 (h) | 96,000,000 | 101,947,498 | ||
5% 9/1/40 (h)(i) | 162,000,000 | 172,036,402 | ||
5% 9/1/40 | 4,180,000 | 4,442,228 | ||
5% 9/1/40 | 1,060,000 | 1,126,498 | ||
5.206% 12/1/35 (l) | 750,548 | 789,733 | ||
5.303% 2/1/36 (l) | 1,240,962 | 1,306,749 | ||
5.5% 3/1/18 to 3/1/40 | 154,342,361 | 166,395,937 | ||
5.5% 9/1/40 (h)(i) | 209,000,000 | 223,450,385 | ||
6% 1/1/21 to 9/1/39 | 89,748,936 | 97,704,702 | ||
6% 9/1/40 (h)(i) | 4,000,000 | 4,306,875 | ||
6% 9/1/40 (h) | 14,000,000 | 15,074,063 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal Amount (c) | Value | ||
Fannie Mae - continued | ||||
6.5% 5/1/31 to 9/1/38 | $ 43,539,765 | $ 48,189,529 | ||
6.5% 9/1/40 (h)(i) | 29,000,000 | 31,569,220 | ||
TOTAL FANNIE MAE | 1,409,806,532 | |||
Freddie Mac - 0.7% | ||||
4.498% 11/1/35 (l) | 5,136,002 | 5,372,762 | ||
4.5% 7/1/25 to 6/1/40 | 10,461,305 | 11,082,735 | ||
5% 4/1/38 to 6/1/40 | 15,138,369 | 16,222,127 | ||
5.416% 10/1/35 (l) | 258,469 | 273,654 | ||
5.5% 11/1/17 to 12/1/35 | 18,040,186 | 19,420,954 | ||
6% 7/1/37 | 172,885 | 187,695 | ||
6% 9/1/40 (h) | 24,000,000 | 25,796,251 | ||
6.5% 10/1/37 to 1/1/39 | 14,963,308 | 16,269,358 | ||
TOTAL FREDDIE MAC | 94,625,536 | |||
Ginnie Mae - 1.0% | ||||
4% 6/15/39 to 3/15/40 | 5,847,492 | 6,110,569 | ||
4% 9/1/40 (h) | 18,000,000 | 18,735,469 | ||
4% 9/1/40 (h) | 13,000,000 | 13,543,733 | ||
4.5% 5/15/39 to 4/15/40 | 17,658,928 | 18,811,998 | ||
4.5% 9/1/40 (h) | 26,000,000 | 27,576,250 | ||
4.5% 9/1/40 (h)(i) | 14,000,000 | 14,848,750 | ||
4.5% 9/1/40 (h) | 5,000,000 | 5,308,174 | ||
4.5% 9/1/40 (h) | 3,000,000 | 3,184,904 | ||
4.5% 10/1/40 (h) | 14,000,000 | 14,798,434 | ||
TOTAL GINNIE MAE | 122,918,281 | |||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $1,604,104,854) | 1,627,350,349 | |||
Asset-Backed Securities - 2.4% | ||||
| ||||
Accredited Mortgage Loan Trust Series 2005-1 Class M1, 0.7338% 4/25/35 (l) | 1,821,633 | 1,045,841 | ||
ACE Securities Corp. Home Equity Loan Trust: | ||||
Series 2004-HE1: | ||||
Class M1, 1.0138% 3/25/34 (l) | 129,064 | 123,864 | ||
Class M2, 1.9138% 3/25/34 (l) | 483,000 | 314,347 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (c) | Value | ||
ACE Securities Corp. Home Equity Loan Trust: - continued | ||||
Series 2005-HE2 Class M2, 0.7138% 4/25/35 (l) | $ 194,362 | $ 173,182 | ||
Series 2006-HE2 Class M3, 0.6038% 5/25/36 (l) | 20,708 | 807 | ||
Series 2006-OP1: | ||||
Class M4, 0.6338% 4/25/36 (l) | 170,200 | 6,179 | ||
Class M5, 0.6538% 4/25/36 (l) | 42,444 | 465 | ||
Advanta Business Card Master Trust: | ||||
Series 2005-A2 Class A2, 0.3963% 5/20/13 (l) | 380,602 | 378,369 | ||
Series 2006-A6 Class A6, 0.2963% 9/20/13 (l) | 752,069 | 747,656 | ||
Series 2006-A7 Class A7, 0.2863% 10/20/12 (l) | 414,095 | 411,665 | ||
Series 2006-C1 Class C1, 0.7463% 10/20/14 (l) | 111,256 | 20,582 | ||
Series 2007-A1 Class A, 0.3163% 1/20/15 (l) | 277,839 | 276,209 | ||
Series 2007-A4 Class A4, 0.2963% 4/22/13 (l) | 332,037 | 330,089 | ||
Series 2007-D1 Class D, 1.6663% 1/22/13 (f)(l) | 2,590,000 | 0 | ||
Airspeed Ltd. Series 2007-1A Class C1, 2.7759% 6/15/32 (f)(l) | 4,310,611 | 1,574,720 | ||
Ally Auto Receivables Trust Series 2009-A: | ||||
Class A3, 2.33% 6/17/13 (f) | 4,310,000 | 4,398,730 | ||
Class A4, 3% 10/15/15 (f) | 4,280,000 | 4,475,718 | ||
Ally Master Owner Trust: | ||||
Series 2010-2 Class A, 4.25% 4/15/17 (f) | 10,170,000 | 10,728,942 | ||
Series 2010-3 Class A, 2.88% 4/15/15 (f) | 9,160,000 | 9,408,537 | ||
AmeriCredit Automobile Receivables Trust Series 2005-DA Class A4, 5.02% 11/6/12 | 115,678 | 115,716 | ||
AmeriCredit Prime Automobile Receivables Trust: | ||||
Series 2007-1: | ||||
Class D, 5.62% 9/8/14 | 1,125,000 | 1,129,112 | ||
Class E, 6.96% 3/8/16 (f) | 2,052,284 | 1,966,591 | ||
Series 2007-2M Class A3, 5.22% 6/8/12 | 59,017 | 59,238 | ||
Ameriquest Mortgage Securities, Inc. pass-thru certificates: | ||||
Series 2003-10 Class M1, 0.9638% 12/25/33 (l) | 105,291 | 75,874 | ||
Series 2004-R2 Class M3, 0.8138% 4/25/34 (l) | 153,470 | 16,966 | ||
Series 2005-R2 Class M1, 0.7138% 4/25/35 (l) | 2,064,696 | 1,601,792 | ||
Anthracite CDO I Ltd. Series 2002-CIBA Class B, 6.633% 5/24/37 (f) | 123,000 | 108,701 | ||
Anthracite CDO II Ltd. Series 2002-2A: | ||||
Class F, 7.6% 12/24/37 (f) | 160,000 | 68,800 | ||
Class G, 9.75% 12/24/37 (f) | 210,000 | 79,800 | ||
Anthracite CDO III Ltd./Anthracite CDO III Corp. Series 2004-1A Class A, 0.6247% 3/23/19 (f)(l) | 243,479 | 182,610 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (c) | Value | ||
Argent Securities, Inc. pass-thru certificates: | ||||
Series 2003-W7 Class A2, 0.7188% 3/25/34 (l) | $ 47,932 | $ 32,565 | ||
Series 2004-W11 Class M2, 0.9638% 11/25/34 (l) | 561,149 | 331,023 | ||
Series 2004-W7 Class M1, 0.8138% 5/25/34 (l) | 1,542,998 | 699,266 | ||
Series 2006-W4 Class A2C, 0.4238% 5/25/36 (l) | 1,452,507 | 499,955 | ||
Asset Backed Securities Corp. Home Equity Loan Trust: | ||||
Series 2004-HE2 Class M1, 1.0888% 4/25/34 (l) | 2,668,736 | 1,603,399 | ||
Series 2006-HE2 Class M1, 0.6338% 3/25/36 (l) | 262,000 | 19,252 | ||
Axon Financial Funding Ltd. 1.1336% 4/4/17 (b)(f)(l) | 7,217,000 | 72 | ||
Bank of America Auto Trust Series 2009-1A: | ||||
Class A3, 2.67% 7/15/13 (f) | 9,500,000 | 9,648,576 | ||
Class A4, 3.52% 6/15/16 (f) | 8,300,000 | 8,705,287 | ||
Brascan Real Estate CDO Ltd./Brascan Real Estate CDO Corp. Series 2004-1A Class A, 0.8713% 1/20/40 (f)(l) | 255,840 | 244,966 | ||
Brazos Higher Education Authority, Inc. Student Loan Rev. Series 2006 A2R, 1.2883% 12/1/41 (l) | 1,050,048 | 1,048,231 | ||
Brazos Higher Education Authority, Inc. Series 2006-2 Class A9, 0.5483% 12/26/24 (l) | 2,194,165 | 2,084,456 | ||
C-BASS Trust Series 2006-CB7 Class A2, 0.3238% 10/25/36 (l) | 297,314 | 292,775 | ||
Capital Auto Receivables Asset Trust: | ||||
Series 2006-2: | ||||
Class B, 5.07% 12/15/11 | 1,772,225 | 1,783,624 | ||
Class C, 5.31% 6/15/12 | 1,634,000 | 1,659,499 | ||
Series 2007-1 Class C, 5.38% 11/15/12 | 582,000 | 607,963 | ||
Series 2007-SN2 Class A4, 1.3059% 5/16/11 (f)(l) | 1,768,579 | 1,768,992 | ||
Capital One Multi-Asset Execution Trust: | ||||
Series 2003-A5 Class A5, 0.5659% 7/15/13 (l) | 6,450,000 | 6,450,128 | ||
Series 2008-A3 Class A3, 5.05% 2/15/16 | 5,700,000 | 6,274,972 | ||
Series 2009-A2 Class A2, 3.2% 4/15/14 | 10,000,000 | 10,201,684 | ||
Capital Trust Ltd. Series 2004-1: | ||||
Class A2, 0.7163% 7/20/39 (f)(l) | 457,498 | 91,500 | ||
Class B, 1.0163% 7/20/39 (f)(l) | 263,810 | 13,191 | ||
Class C, 1.3663% 7/20/39 (f)(l) | 339,379 | 6,788 | ||
Capital Trust RE CDO Ltd./Capital Trust RE CDO Corp. Series 2005-3A Class A2, 5.16% 6/25/35 (f) | 859,000 | 843,968 | ||
CapitalSource Real Estate Loan Trust Series 2006-1A Class A2A, 0.7713% 1/20/37 (f)(l) | 197,776 | 128,554 | ||
Capmark VII Ltd. Series 2006-7A Class H, 1.8259% 8/15/36 (f)(l) | 514,280 | 0 | ||
CarMax Auto Owner Trust Series 2007-2 Class C, 5.61% 11/15/13 | 928,000 | 954,176 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (c) | Value | ||
Carrington Mortgage Loan Trust: | ||||
Series 2006-FRE1 Class M1, 0.5638% 7/25/36 (l) | $ 1,140,851 | $ 116,814 | ||
Series 2006-NC2 Class M7, 1.1138% 6/25/36 (l) | 425,500 | 17,463 | ||
Series 2006-NC3 Class M10, 2.2638% 8/25/36 (f)(l) | 290,000 | 13,711 | ||
Series 2006-NC4 Class M1, 0.5638% 10/25/36 (l) | 224,000 | 27,535 | ||
Series 2006-RFC1 Class M9, 2.1338% 5/25/36 (l) | 186,369 | 11,059 | ||
Series 2007-RFC1 Class A3, 0.4038% 12/25/36 (l) | 1,802,588 | 686,433 | ||
Cendant Timeshare Receivables Funding LLC: | ||||
Series 2005 1A Class 2A2, 0.4463% 5/20/17 (f)(l) | 144,580 | 129,657 | ||
Series 2005-1A Class A1, 4.67% 5/20/17 (f) | 455,437 | 460,219 | ||
Chase Issuance Trust Series 2007-A17 Class A, 5.12% 10/15/14 | 5,000,000 | 5,447,887 | ||
Chrysler Financial Lease Trust Series 2010-A Class A2, 1.78% 6/15/11 (f) | 18,750,000 | 18,816,868 | ||
Citibank Credit Card Issuance Trust Series 2009-A5 Class A5, 2.25% 12/23/14 | 35,600,000 | 36,594,347 | ||
Citigroup Mortgage Loan Trust Series 2007-AMC4 Class M1, 0.5338% 5/25/37 (l) | 765,389 | 34,601 | ||
Countrywide Asset-Backed Certificates Trust: | ||||
Series 2007-11 Class 2A1, 0.3238% 6/25/47 (l) | 101,838 | 97,989 | ||
Series 2007-4 Class A1A, 0.4488% 9/25/37 (l) | 635,585 | 591,481 | ||
Countrywide Home Loan Trust Series 2006-13 Class N, 7% 8/25/37 (f) | 811,000 | 0 | ||
Countrywide Home Loans, Inc.: | ||||
Series 2003-BC1 Class B1, 5.5972% 3/25/32 (l) | 11,800 | 5,044 | ||
Series 2004-3 Class M4, 1.2338% 4/25/34 (l) | 159,665 | 57,520 | ||
Series 2004-4 Class M2, 1.0588% 6/25/34 (l) | 587,945 | 308,400 | ||
Series 2005-3 Class MV1, 0.6838% 8/25/35 (l) | 1,217,697 | 1,146,399 | ||
Series 2005-AB1 Class A2, 0.4738% 8/25/35 (l) | 184,671 | 179,961 | ||
CPS Auto Receivables Trust: | ||||
Series 2006-D Class A4, 5.115% 8/15/13 (f) | 596,362 | 606,485 | ||
Series 2007-C Class A3, 5.43% 5/15/12 (f) | 62,959 | 63,316 | ||
Crest Clarendon Street Ltd./Crest Clarendon Corp. Series 2002-1A: | ||||
Class B1, 6.065% 12/28/35 (f) | 500,000 | 360,000 | ||
Class B2, 1.8872% 12/28/35 (f)(l) | 500,000 | 297,500 | ||
Crest Dartmouth Street Ltd./Crest Dartmouth Street Corp. Series 2003-1A Class D, 9% 6/28/38 (f) | 200,000 | 56,000 | ||
Crest G-Star LP/Crest G-Star Corp. Series 2001-1A Class A, 0.7694% 11/28/16 (f)(l) | 495,193 | 463,006 | ||
Crest Ltd. Series 2002-IGA Class A, 0.9375% 7/28/17 (f)(l) | 309,681 | 294,197 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (c) | Value | ||
DB Master Finance LLC Series 2006-1 Class M1, 8.285% 6/20/31 (f) | $ 235,000 | $ 218,806 | ||
Deutsche Financial Capital Securitization LLC Series 1997-I Class M, 7.275% 9/15/27 | 540,000 | 477,526 | ||
Fannie Mae subordinate REMIC pass-thru certificates Series 2004-T5 Class AB3, 0.7759% 5/28/35 (l) | 38,916 | 29,187 | ||
Fieldstone Mortgage Investment Corp.: | ||||
Series 2004-3 Class M5, 2.4388% 8/25/34 (l) | 290,872 | 132,620 | ||
Series 2006-3 Class 2A3, 0.4238% 11/25/36 (l) | 6,074,620 | 2,176,732 | ||
First Franklin Mortgage Loan Trust: | ||||
Series 2004-FF2 Class M3, 1.0888% 3/25/34 (l) | 25,145 | 6,979 | ||
Series 2005-FF9 Class A3, 0.5438% 10/25/35 (l) | 4,222,878 | 3,951,783 | ||
Ford Credit Auto Owner Trust: | ||||
Series 2006-B Class D, 7.26% 2/15/13 (f) | 1,175,000 | 1,208,395 | ||
Series 2006-C: | ||||
Class B, 5.3% 6/15/12 | 649,000 | 671,986 | ||
Class D, 6.89% 5/15/13 (f) | 915,000 | 950,910 | ||
Series 2007-A Class D, 7.05% 12/15/13 (f) | 970,000 | 1,026,409 | ||
Series 2009-D: | ||||
Class A3, 2.17% 10/15/13 | 5,400,000 | 5,481,620 | ||
Class A4, 2.98% 8/15/14 | 4,800,000 | 5,006,509 | ||
Series 2010-B Class A3, 0.98% 10/15/14 | 9,710,000 | 9,747,042 | ||
Ford Credit Floorplan Master Owner Trust Series 2006-4 Class B, 0.8259% 6/15/13 (l) | 772,000 | 760,117 | ||
Franklin Auto Trust: | ||||
Series 2006-1 Class B, 5.14% 7/21/14 | 72,000 | 72,682 | ||
Series 2007-1: | ||||
Class A4, 5.03% 2/16/15 | 487,090 | 487,690 | ||
Class C, 5.43% 2/16/15 | 614,000 | 605,638 | ||
Fremont Home Loan Trust: | ||||
Series 2005-A: | ||||
Class M3, 0.7538% 1/25/35 (l) | 948,695 | 329,746 | ||
Class M4, 0.9438% 1/25/35 (l) | 363,547 | 39,885 | ||
Series 2006-D Class M1, 0.4938% 11/25/36 (l) | 324,000 | 11,034 | ||
GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 0.6975% 2/25/47 (f)(l) | 2,892,000 | 1,973,790 | ||
GCO Slims Trust Series 2006-1A, 5.72% 3/1/22 (f) | 2,121,254 | 1,697,003 | ||
GE Business Loan Trust: | ||||
Series 2003-1 Class A, 0.7059% 4/15/31 (f)(l) | 274,592 | 241,641 | ||
Series 2006-2A: | ||||
Class A, 0.4559% 11/15/34 (f)(l) | 2,364,061 | 1,903,069 | ||
Class B, 0.5559% 11/15/34 (f)(l) | 853,970 | 512,382 | ||
Class C, 0.6559% 11/15/34 (f)(l) | 1,419,263 | 567,705 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (c) | Value | ||
GE Business Loan Trust: - continued | ||||
Series 2006-2A: | ||||
Class D, 1.0259% 11/15/34 (f)(l) | $ 538,940 | $ 129,346 | ||
GE Equipment Midticket LLC Series 2006-1 Class B, 0.4259% 9/15/17 (l) | 1,151,000 | 1,134,533 | ||
Goal Capital Funding Trust Series 2007-1 Class C1, 0.9383% 6/25/42 (l) | 739,000 | 596,958 | ||
GS Auto Loan Trust Series 2007-1: | ||||
Class B, 5.53% 12/15/14 | 54,741 | 56,087 | ||
Class C, 5.74% 12/15/14 | 116,272 | 117,776 | ||
GSAMP Trust: | ||||
Series 2004-AR1: | ||||
Class B4, 5% 6/25/34 (f)(l) | 245,471 | 58,931 | ||
Class M1, 0.9138% 6/25/34 (l) | 2,723,367 | 1,689,638 | ||
Series 2007-HE1 Class M1, 0.5138% 3/25/47 (l) | 1,096,059 | 65,981 | ||
GSR Mortgage Loan Trust Series 2006-FM1 Class M3, 0.6138% 4/25/36 (l) | 203,374 | 4,632 | ||
Guggenheim Structured Real Estate Funding Ltd.: | ||||
Series 2005-1 Class C, 1.3438% 5/25/30 (f)(l) | 653,491 | 169,908 | ||
Series 2006-3: | ||||
Class B, 0.6638% 9/25/46 (f)(l) | 654,930 | 130,986 | ||
Class C, 0.8138% 9/25/46 (f)(l) | 1,526,694 | 229,004 | ||
Class E, 1.9138% 9/25/46 (f)(l) | 253,381 | 30,406 | ||
Home Equity Asset Trust: | ||||
Series 2003-2 Class M1, 1.5838% 8/25/33 (l) | 457,719 | 291,593 | ||
Series 2003-3 Class M1, 1.5538% 8/25/33 (l) | 812,279 | 561,780 | ||
Series 2003-5 Class A2, 0.9638% 12/25/33 (l) | 32,929 | 18,533 | ||
Series 2005-5 Class 2A2, 0.5138% 11/25/35 (l) | 148,852 | 145,853 | ||
Series 2006-1 Class 2A3, 0.4888% 4/25/36 (l) | 1,770,250 | 1,704,449 | ||
Series 2006-3N Class B, 6.5% 8/27/36 (f) | 250,000 | 0 | ||
Series 2006-8 Class 2A1, 0.3138% 3/25/37 (l) | 9,923 | 9,732 | ||
HSBC Home Equity Loan Trust Series 2006-2 Class M2, 0.5563% 3/20/36 (l) | 803,943 | 615,198 | ||
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.4538% 1/25/37 (l) | 1,522,035 | 471,788 | ||
Hyundai Auto Receivable Trust Series 2009-A Class A3, 2.03% 8/15/13 | 5,450,000 | 5,533,771 | ||
JPMorgan Mortgage Acquisition Trust: | ||||
Series 2006-NC2 Class M2, 0.5638% 7/25/36 (l) | 204,000 | 8,991 | ||
Series 2007-CH1: | ||||
Class AV4, 0.3938% 11/25/36 (l) | 1,520,141 | 1,156,269 | ||
Class MV1, 0.4938% 11/25/36 (l) | 1,234,797 | 690,603 | ||
Series 2007-CH3 Class M1, 0.5638% 3/25/37 (l) | 573,000 | 30,829 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (c) | Value | ||
Kent Funding III Ltd. Series 2006-3A Class D, 3.575% 10/29/47 (l) | $ 291,820 | $ 29 | ||
Keycorp Student Loan Trust: | ||||
Series 1999-A Class A2, 0.8672% 12/27/29 (l) | 832,716 | 693,396 | ||
Series 2006-A Class 2C, 1.6872% 3/27/42 (l) | 3,243,000 | 500,140 | ||
Long Beach Auto Receivables Trust Series 2007-A Class A4, 5.025% 1/15/14 | 2,456,627 | 2,499,527 | ||
Long Beach Mortgage Loan Trust Series 2004-2 Class M2, 1.3438% 6/25/34 (l) | 157,259 | 107,025 | ||
Marathon Real Estate CDO Ltd. Series 2006-1A Class B, 0.6938% 5/25/46 (f)(l) | 250,000 | 55,000 | ||
Marriott Vacation Club Owner Trust Series 2006-2A: | ||||
Class B, 5.442% 10/20/28 (f) | 23,972 | 22,350 | ||
Class C, 5.691% 10/20/28 (f) | 10,654 | 8,994 | ||
Class D, 6.01% 10/20/28 (f) | 126,852 | 100,683 | ||
MASTR Asset Backed Securities Trust: | ||||
Series 2006-AM3 Class M1, 0.5238% 10/25/36 (l) | 545,328 | 32,815 | ||
Series 2007-HE1 Class M1, 0.5638% 5/25/37 (l) | 784,792 | 42,864 | ||
Meritage Mortgage Loan Trust Series 2004-1 Class M1, 1.0138% 7/25/34 (l) | 192,687 | 83,339 | ||
Merrill Auto Trust Securitization Series 2007-1 Class B, 5.79% 12/15/13 | 214,554 | 217,389 | ||
Merrill Lynch Mortgage Investors Trust: | ||||
Series 2003-OPT1 Class M1, 0.9138% 7/25/34 (l) | 677,418 | 521,264 | ||
Series 2005-FM1 Class A2D, 0.6438% 5/25/36 (l) | 12,012,304 | 11,073,703 | ||
Series 2006-FM1 Class A2B, 0.3738% 4/25/37 (l) | 2,248,986 | 1,950,527 | ||
Series 2006-MLN1 Class A2A, 0.3338% 7/25/37 (l) | 25,531 | 25,125 | ||
Series 2006-OPT1 Class A1A, 0.5238% 6/25/35 (l) | 3,288,519 | 2,320,767 | ||
Morgan Stanley ABS Capital I Trust: | ||||
Series 2004-HE6 Class A2, 0.6038% 8/25/34 (l) | 57,368 | 38,274 | ||
Series 2004-NC8 Class M6, 1.5138% 9/25/34 (l) | 32,622 | 15,943 | ||
Series 2005-NC1 Class M1, 0.7038% 1/25/35 (l) | 399,800 | 205,379 | ||
Series 2005-NC2 Class B1, 1.4338% 3/25/35 (l) | 416,362 | 48,880 | ||
Series 2007-HE2 Class M1, 0.5138% 1/25/37 (l) | 263,000 | 7,589 | ||
N-Star Real Estate CDO Ltd. Series 1A: | ||||
Class B1, 1.9744% 8/28/38 (f)(l) | 220,000 | 138,600 | ||
Class C1B, 7.696% 8/28/38 (f) | 63,000 | 38,058 | ||
National Collegiate Student Loan Trust: | ||||
Series 2004-2 Class AIO, 9.75% 10/25/14 (n) | 3,793,600 | 542,485 | ||
Series 2006-1 Class AIO, 5.5% 4/25/11 (n) | 413,402 | 10,609 | ||
Series 2006-2 Class AIO, 6% 8/25/11 (n) | 231,000 | 11,307 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (c) | Value | ||
National Collegiate Student Loan Trust: - continued | ||||
Series 2006-3 Class AIO, 7.1% 1/25/12 (n) | $ 372,000 | $ 28,830 | ||
Series 2006-4: | ||||
Class A1, 0.2938% 3/25/25 (l) | 440,939 | 434,882 | ||
Class AIO, 6.35% 2/27/12 (n) | 1,182,000 | 99,920 | ||
Class D, 1.3638% 5/25/32 (l) | 2,481,000 | 34,910 | ||
Series 2007-1 Class AIO, 7.27% 4/25/12 (n) | 1,589,000 | 170,818 | ||
Series 2007-2 Class AIO, 6.7% 7/25/12 (n) | 1,351,000 | 158,683 | ||
New Century Home Equity Loan Trust: | ||||
Series 2005-4 Class M2, 0.7738% 9/25/35 (l) | 1,426,957 | 587,076 | ||
Series 2005-D Class M2, 0.7338% 2/25/36 (l) | 827,339 | 106,920 | ||
Nissan Auto Lease Trust Series 2009-B Class A3, 2.07% 1/15/15 | 8,500,000 | 8,597,306 | ||
Nomura Home Equity Loan Trust Series 2006-HE2 Class A2, 0.3838% 3/25/36 (l) | 37,564 | 37,427 | ||
Ocala Funding LLC Series 2006-1A Class A, 1.6663% 3/20/11 (b)(f)(l) | 1,176,000 | 435,120 | ||
Option One Mortgage Loan Trust: | ||||
Series 2007-5 Class 2A1, 0.3538% 5/25/37 (l) | 107,092 | 103,457 | ||
Series 2007-6 Class 2A1, 0.3238% 7/25/37 (l) | 199,223 | 192,239 | ||
Park Place Securities, Inc.: | ||||
Series 2004-WCW1: | ||||
Class M3, 1.5138% 9/25/34 (l) | 532,896 | 229,878 | ||
Class M4, 1.7138% 9/25/34 (l) | 683,353 | 108,724 | ||
Series 2005-WCH1: | ||||
Class M2, 0.7838% 1/25/36 (l) | 2,548,346 | 2,155,766 | ||
Class M3, 0.8238% 1/25/36 (l) | 478,432 | 306,840 | ||
Class M4, 1.0938% 1/25/36 (l) | 1,475,804 | 464,403 | ||
Series 2005-WHQ2: | ||||
Class M7, 1.5138% 5/25/35 (l) | 1,883,145 | 27,924 | ||
Class M9, 2.1438% 5/25/35 (l) | 290,989 | 719 | ||
Prima Capital CDO Ltd./Prima Capital CDO Corp. Series 2005-1A: | ||||
Class A2, 4.646% 7/24/39 (f) | 397,651 | 373,792 | ||
Class B, 4.846% 7/24/39 (f) | 180,000 | 129,600 | ||
Class C, 5.08% 7/24/39 (f) | 185,000 | 118,400 | ||
Providian Master Note Trust Series 2006-C1A Class C1, 0.8259% 3/15/15 (f)(l) | 3,406,919 | 3,393,739 | ||
Residential Asset Mortgage Products, Inc. Series 2006-EFC2 Class M1, 0.4938% 12/25/36 (l) | 566,000 | 22,463 | ||
Residential Asset Securities Corp. Series 2007-KS2 Class AI1, 0.3338% 2/25/37 (l) | 599,271 | 585,071 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (c) | Value | ||
Resource Real Estate Funding CDO Series 2007-1A Class J, 3.2138% 9/25/46 (f)(l) | $ 250,000 | $ 11,250 | ||
Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 1.0638% 4/25/33 (l) | 5,108 | 4,268 | ||
Saxon Asset Securities Trust Series 2004-1 Class M1, 1.0588% 3/25/35 (l) | 1,673,086 | 1,097,076 | ||
Securitized Asset Backed Receivables LLC Trust: | ||||
Series 2005-FR4 Class B3, 1.9838% 1/25/36 (l) | 96,000 | 3,132 | ||
Series 2006-FR4 Class A2A, 0.3438% 8/25/36 (l) | 49,108 | 22,764 | ||
Series 2007-NC1 Class A2A, 0.3138% 12/25/36 (l) | 20,045 | 19,641 | ||
Sierra Receivables Funding Co. Series 2007-1A Class A2, 0.4881% 3/20/19 (f)(l) | 860,433 | 802,923 | ||
SLM Private Credit Student Loan Trust Series 2004-A Class C, 1.4871% 6/15/33 (l) | 1,272,000 | 76,768 | ||
Specialty Underwriting & Residential Finance Trust Series 2006-AB2 Class N1, 5.75% 6/25/37 (f) | 656,637 | 0 | ||
Structured Asset Investment Loan Trust Series 2004-8 Class M5, 1.4138% 9/25/34 (l) | 74,810 | 17,801 | ||
Structured Asset Securities Corp. Series 2007-BC4 Class A3, 0.5138% 11/25/37 (l) | 11,515,175 | 10,918,888 | ||
Structured Asset Securities Corp. Mortgage Loan Trust Series 2007-OSI Class A2, 0.3538% 6/25/37 (l) | 1,501,875 | 1,245,272 | ||
SVO VOI Mortgage Corp. Series 2006-AA Class A, 5.28% 2/20/24 (f) | 1,012,699 | 1,017,762 | ||
Swift Master Auto Receivables Trust Series 2007-2 Class A, 0.9259% 10/15/12 (l) | 2,867,000 | 2,863,984 | ||
Terwin Mortgage Trust Series 2003-4HE Class A1, 1.1238% 9/25/34 (l) | 28,819 | 18,087 | ||
TIAA Real Estate CDO Ltd./TIAA Real Estate CDO Corp.: | ||||
Series 2002-1A: | ||||
Class IIFX, 6.77% 5/22/37 (f) | 349,000 | 331,550 | ||
Class IV, 6.84% 5/22/37 (f) | 235,000 | 152,750 | ||
Series 2003-1A Class B2, 5.4802% 12/28/38 (f) | 111,000 | 77,700 | ||
Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 1.0936% 4/6/42 (f)(l) | 2,596,888 | 129,844 | ||
Triad Auto Receivables Owner Trust Series 2006-C Class A4, 5.31% 5/13/13 | 659,323 | 673,968 | ||
Wachovia Auto Loan Owner Trust: | ||||
Series 2006-1 Class A4, 5.08% 4/20/12 (f) | 97,361 | 97,624 | ||
Series 2006-2A: | ||||
Class B, 5.29% 6/20/12 (f) | 383,808 | 385,934 | ||
Class D, 5.54% 12/20/12 (f) | 583,000 | 592,580 | ||
Class E, 7.05% 5/20/14 (f) | 1,390,000 | 1,415,455 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (c) | Value | ||
Wachovia Ltd./Wachovia LLC: | ||||
Series 2006-1 Class 1ML, 5.7835% 9/25/26 (f)(l) | $ 400,000 | $ 108,000 | ||
Series 2006-1A: | ||||
Class A1A, 0.7983% 9/25/26 (f)(l) | 330,000 | 267,300 | ||
Class A1B, 0.8683% 9/25/26 (f)(l) | 330,000 | 249,150 | ||
Class A2A, 0.7583% 9/25/26 (f)(l) | 1,186,000 | 984,380 | ||
Class F, 1.6883% 9/25/26 (f)(l) | 250,000 | 140,000 | ||
Class G, 1.8883% 9/25/26 (f)(l) | 250,000 | 132,500 | ||
WaMu Asset Holdings Corp. Series 2006-8 Class N1, 6.048% 10/25/46 (f) | 887,552 | 0 | ||
WaMu Master Note Trust: | ||||
Series 2006-C2A Class C2, 0.7759% 8/15/15 (f)(l) | 8,530,177 | 8,453,875 | ||
Series 2007-A4A Class A4, 5.2% 10/15/14 (f) | 10,589,000 | 10,645,906 | ||
Series 2007-A5A Class A5, 1.0259% 10/15/14 (f)(l) | 1,500,000 | 1,500,552 | ||
Wells Fargo Home Equity Trust Series 2004-3 Class A, 4.5% 11/27/34 (a)(f) | 7,576 | 0 | ||
Whinstone Capital Management Ltd. Series 1A Class B3, 2.2978% 10/25/44 (f)(l) | 1,789,540 | 590,548 | ||
Wrightwood Capital Real Estate CDO Ltd. Series 2005-1A Class D, 1.1891% 11/21/40 (f)(l) | 305,000 | 18,300 | ||
TOTAL ASSET-BACKED SECURITIES (Cost $293,376,332) | 303,926,817 | |||
Collateralized Mortgage Obligations - 1.8% | ||||
| ||||
Private Sponsor - 1.8% | ||||
ABN AMRO Mortgage Corp.: | ||||
Series 2003-2 Class B4, 5.3276% 3/25/18 (l) | 116,633 | 48,986 | ||
Series 2003-9 Class B5, 4.5164% 8/25/18 (f) | 227,235 | 22,724 | ||
Arran Residential Mortgages Funding No. 1 PLC floater Series 2006-1A Class DB, 0.9575% 4/12/56 (f)(l) | 1,428,375 | 857,025 | ||
Banc of America Commercial Mortgage Trust Series 2007-2: | ||||
Class B, 5.6987% 4/10/49 (l) | 106,000 | 25,630 | ||
Class C, 5.6987% 4/10/49 (l) | 281,000 | 47,381 | ||
Class D, 5.6987% 4/10/49 (l) | 141,000 | 20,972 | ||
Banc of America Large Loan, Inc. Series 2005-MIB1 Class A2, 0.4859% 3/15/22 (f)(l) | 939,527 | 910,272 | ||
Banc of America Mortgage Securities, Inc.: | ||||
Series 2003-L Class 2A1, 3.6145% 1/25/34 (l) | 2,089,842 | 1,868,865 | ||
Series 2004-1 Class 2A2, 3.6636% 10/25/34 (l) | 2,207,654 | 1,964,031 | ||
Series 2004-A Class 2A2, 3.5151% 2/25/34 (l) | 1,272,784 | 1,121,285 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (c) | Value | ||
Private Sponsor - continued | ||||
Banc of America Mortgage Securities, Inc.: - continued | ||||
Series 2004-B: | ||||
Class 1A1, 2.9237% 3/25/34 (l) | $ 144,623 | $ 127,742 | ||
Class 2A2, 3.0586% 3/25/34 (l) | 5,993,017 | 5,472,618 | ||
Series 2004-D Class 2A2, 2.9566% 5/25/34 (l) | 2,041,492 | 1,899,047 | ||
Series 2004-G Class 2A7, 3.195% 8/25/34 (l) | 1,808,965 | 1,574,005 | ||
Series 2004-H Class 2A1, 3.7091% 9/25/34 (l) | 1,650,985 | 1,443,289 | ||
Bayview Commercial Asset Trust Series 2006-3A Class IO, 2.3908% 10/25/36 (f)(l)(n) | 12,079,732 | 942,219 | ||
Bear Stearns ALT-A Trust floater Series 2005-1 Class A1, 0.5438% 1/25/35 (l) | 2,310,889 | 1,816,889 | ||
Bear Stearns Commercial Mortgage Securities Trust: | ||||
Series 2006-BBA7 Class C, 0.5159% 3/15/19 (f)(l) | 350,000 | 298,481 | ||
Series 2006-T24 Class X2, 0.4276% 10/12/41 (f)(l)(n) | 4,530,945 | 50,187 | ||
Chase Mortgage Finance Trust: | ||||
Series 2007-A1 Class 1A5, 3.2363% 2/25/37 (l) | 1,603,363 | 1,535,565 | ||
Series 2007-A2 Class 2A1, 3.4095% 7/25/37 (l) | 380,330 | 363,066 | ||
Citigroup Commercial Mortgage Trust Series 2008-C7 Class A2B, 6.0914% 12/10/49 (l) | 1,902,000 | 2,031,218 | ||
Citigroup Mortgage Loan Trust Series 2004-UST1: | ||||
Class A3, 2.7498% 8/25/34 (l) | 1,635,284 | 1,522,264 | ||
Class A4, 2.489% 8/25/34 (l) | 1,442,421 | 1,368,454 | ||
Cobalt CMBS Commercial Mortgage Trust Series 2007-C2 Class B, 5.617% 4/15/47 (l) | 2,125,000 | 425,000 | ||
COMM pass-thru certificates floater Series 2001-J2A Class A2F, 0.7759% 7/16/34 (f)(l) | 1,902,000 | 1,854,248 | ||
Countrywide Alternative Loan Trust: | ||||
planned amortization class Series 2003-5T2 Class A2, 0.6638% 5/25/33 (l) | 13,960 | 13,831 | ||
Series 2006-OC5N Class N, 7.25% 7/25/37 (f) | 78,237 | 0 | ||
Countrywide Home Loans, Inc.: | ||||
Series 2003-28 Class B3, 5.5% 8/25/33 | 72,728 | 10,909 | ||
Series 2003-35 Class B, 4.6396% 9/25/18 (l) | 120,783 | 12,078 | ||
Credit Suisse First Boston Mortgage Securities Corp.: | ||||
floater Series 2007-AR7 Class 2A1, 2.8818% 11/25/34 (l) | 1,314,897 | 1,267,706 | ||
Series 2003-17 Class B4, 5.389% 6/25/33 (f)(l) | 316,588 | 56,986 | ||
Series 2004-3 Class DB4, 5.8304% 4/25/34 (l) | 75,154 | 1,879 | ||
CWALT, Inc.: | ||||
floater Series 2005-56: | ||||
Class 1A1, 0.9938% 11/25/35 (l) | 34,827,510 | 19,627,179 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (c) | Value | ||
Private Sponsor - continued | ||||
CWALT, Inc.: - continued | ||||
floater Series 2005-56: | ||||
Class 2A3, 1.9017% 11/25/35 (l) | $ 8,427,023 | $ 4,710,189 | ||
Series 2005-56: | ||||
Class 4A1, 0.5738% 11/25/35 (l) | 6,894,762 | 3,940,086 | ||
Class 5A1, 0.5838% 11/25/35 (l) | 10,062,865 | 5,315,946 | ||
DSLA Mortgage Loan Trust Series 2006-AR2 Class 2AB1, 0.3566% 11/19/37 (l) | 56,339 | 55,911 | ||
First Horizon Mortgage pass-thru Trust Series 2004-AR5 Class 2A1, 2.9962% 10/25/34 (l) | 1,938,626 | 1,838,735 | ||
Fosse Master Issuer PLC floater Series 2006-1A: | ||||
Class B2, 0.6847% 10/18/54 (f)(l) | 3,491,000 | 3,414,896 | ||
Class C2, 0.9947% 10/18/54 (f)(l) | 1,170,000 | 1,129,518 | ||
Class M2, 0.7747% 10/18/54 (f)(l) | 2,005,000 | 1,931,818 | ||
Freddie Mac Series 2010 K7 Class B, 5.4341% 4/25/20 (f)(l) | 300,000 | 265,140 | ||
FREMF Mortgage Trust Series 2010-K6 Class B, 5.3574% 12/26/46 (f)(l) | 550,000 | 479,241 | ||
GMAC Commercial Mortgage Securities, Inc. Series 1993-C3 Class L, 6.974% 8/15/36 (f) | 273,987 | 2,603 | ||
GMAC Mortgage Loan Trust Series 2003-J10 Class B2, 4.75% 1/25/19 (f) | 112,452 | 11,245 | ||
Gracechurch Mortgage Financing PLC floater Series 2006-1 Class D2, 0.8155% 11/20/56 (f)(l) | 2,852,000 | 2,694,284 | ||
Gracechurch Mortgage Funding PLC floater Series 1A Class DB, 0.9975% 10/11/41 (f)(l) | 3,114,000 | 3,067,290 | ||
Granite Master Issuer PLC floater: | ||||
Series 2005-4 Class C2, 0.8163% 12/20/54 (l) | 205,017 | 89,182 | ||
Series 2006-1A Class C2, 0.8663% 12/20/54 (f)(l) | 6,523,000 | 2,870,120 | ||
Series 2006-2 Class C1, 0.7363% 12/20/54 (l) | 5,398,000 | 2,402,110 | ||
Series 2006-3 Class C2, 0.7663% 12/20/54 (l) | 1,124,000 | 507,350 | ||
Series 2006-4: | ||||
Class B1, 0.3563% 12/20/54 (l) | 4,521,000 | 3,368,145 | ||
Class C1, 0.6463% 12/20/54 (l) | 2,767,000 | 1,217,480 | ||
Class M1, 0.4363% 12/20/54 (l) | 1,190,000 | 767,550 | ||
Series 2007-1: | ||||
Class 1C1, 0.5663% 12/20/54 (l) | 2,234,000 | 994,130 | ||
Class 1M1, 0.4163% 12/20/54 (l) | 1,493,000 | 955,520 | ||
Class 2C1, 0.6963% 12/20/54 (l) | 1,015,000 | 451,675 | ||
Class 2M1, 0.5163% 12/20/54 (l) | 1,917,000 | 1,226,880 | ||
Series 2007-2 Class 2C1, 0.7019% 12/17/54 (l) | 2,654,000 | 1,154,490 | ||
Granite Mortgages PLC floater Series 2003-3 Class 1C, 2.9713% 1/20/44 (l) | 430,241 | 236,583 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (c) | Value | ||
Private Sponsor - continued | ||||
GSR Mortgage Loan Trust: | ||||
floater Series 2007-AR1 Class 6A1, 4.7728% 3/25/37 (l) | $ 10,185,557 | $ 9,922,841 | ||
Series 2007-AR2 Class 2A1, 3.1041% 4/25/35 (l) | 782,747 | 672,839 | ||
Harborview Mortgage Loan Trust floater Series 2005-2 Class 2A1A, 0.4866% 5/19/35 (l) | 385,030 | 241,807 | ||
JPMorgan Chase Commercial Mortgage Securities Trust Series 2007-CB18: | ||||
Class A1, 5.32% 6/12/47 (l) | 123,497 | 126,115 | ||
Class A3, 5.447% 6/12/47 (l) | 3,606,000 | 3,847,577 | ||
JPMorgan Mortgage Trust: | ||||
sequential payer Series 2006-A5 Class 3A5, 5.9219% 8/25/36 (l) | 2,600,000 | 2,210,499 | ||
Series 2004-A3 Class 4A1, 4.2862% 7/25/34 (l) | 2,250,884 | 2,182,661 | ||
Series 2004-A5 Class 2A1, 2.8213% 12/25/34 (l) | 2,015,898 | 1,835,559 | ||
Series 2006-A2 Class 5A1, 3.3347% 11/25/33 (l) | 3,391,893 | 3,178,182 | ||
LB Commercial Conduit Mortgage Trust Series 1998-C4 Class F, 6% 10/15/35 (f) | 26,448 | 26,652 | ||
LB-UBS Commercial Mortgage Trust sequential payer Series 2006-C6 Class A4, 5.372% 9/15/39 | 857,000 | 924,089 | ||
Luminent Mortgage Trust: | ||||
floater Series 2006-1 Class A1, 0.5038% 4/25/36 (l) | 18,459,255 | 10,202,845 | ||
Series 2006-5 Class A1A, 0.4538% 7/25/36 (l) | 14,442,196 | 7,728,429 | ||
MASTR Adjustable Rate Mortgages Trust Series 2007-3 Class 22A2, 0.4738% 5/25/47 (l) | 3,687,327 | 2,311,229 | ||
MASTR Asset Backed Securities Trust Series 2006-NC3 Class M1, 0.4938% 10/25/36 (l) | 547,000 | 2,615 | ||
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.4338% 2/25/37 (l) | 8,493,813 | 5,668,401 | ||
Merrill Lynch Floating Trust floater Series 2006-1: | ||||
Class B, 0.446% 6/15/22 (f)(l) | 251,984 | 216,706 | ||
Class C, 0.466% 6/15/22 (f)(l) | 1,559,607 | 1,325,666 | ||
Class D, 0.476% 6/15/22 (f)(l) | 600,006 | 498,005 | ||
Class E, 0.486% 6/15/22 (f)(l) | 959,771 | 729,426 | ||
Class F, 0.516% 6/15/22 (f)(l) | 1,545,171 | 1,097,071 | ||
Class G, 0.586% 6/15/22 (f)(l) | 359,765 | 244,640 | ||
Class H, 0.606% 6/15/22 (f)(l) | 720,211 | 453,733 | ||
Class J, 0.646% 6/15/22 (f)(l) | 840,246 | 445,330 | ||
Class TM, 0.776% 6/15/22 (f)(l) | 1,549,424 | 1,340,251 | ||
Merrill Lynch Mortgage Investors Trust: | ||||
Series 1998-C3 Class F, 6% 12/15/30 (f) | 930,000 | 905,076 | ||
Series 2004-A4 Class A1, 2.8028% 8/25/34 (l) | 2,347,930 | 2,229,059 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (c) | Value | ||
Private Sponsor - continued | ||||
Merrill Lynch Mortgage Investors Trust: - continued | ||||
Series 2005-A2 Class A7, 2.8016% 2/25/35 (l) | $ 1,960,183 | $ 1,805,704 | ||
Series 2006-A6 Class A4, 3.5975% 10/25/33 (l) | 1,675,380 | 1,499,242 | ||
Merrill Lynch Mortgage Trust Series 2002-MW1 Class E, 6.219% 7/12/34 (f) | 101,000 | 102,811 | ||
Merrill Lynch-CFC Commercial Mortgage Trust Series 2006-3 Class ASB, 5.382% 7/12/46 (l) | 8,143,000 | 8,706,213 | ||
Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 0.5538% 7/25/35 (l) | 2,467,653 | 1,945,208 | ||
Option One Mortgage Loan Trust floater Series 2007-CP1 Class M1, 0.5638% 3/25/37 (l) | 2,994,072 | 206,765 | ||
Provident Funding Mortgage Loan Trust Series 2005-2 Class 3A, 2.9% 10/25/35 (l) | 3,497,088 | 2,955,046 | ||
RESI Finance LP/RESI Finance DE Corp. floater Series 2003-B: | ||||
Class B5, 2.6434% 7/10/35 (f)(l) | 1,985,779 | 1,105,682 | ||
Class B6, 3.1434% 7/10/35 (f)(l) | 442,756 | 216,331 | ||
Residential Accredit Loans, Inc. floater Series 2005-QO5 Class A1, 1.4017% 1/25/46 (l) | 15,143,171 | 8,252,080 | ||
Residential Asset Mortgage Products, Inc. sequential payer: | ||||
Series 2003-SL1 Class A31, 7.125% 4/25/31 | 1,126,716 | 1,140,318 | ||
Series 2004-SL3 Class A1, 7% 8/25/16 | 77,369 | 75,208 | ||
Residential Funding Securities Corp. floater Series 2003-RP2 Class A1, 0.7138% 6/25/33 (f)(l) | 484,454 | 384,008 | ||
RESIX Finance Ltd. floater Series 2007-A Class BB, 3.6259% 2/15/39 (f)(l) | 65,240 | 111 | ||
Salomon Brothers Mortgage Securities VII, Inc. Series 2006-C2 Class H, 6.308% 7/18/33 (f) | 268,000 | 267,342 | ||
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 1.1948% 7/20/34 (l) | 40,340 | 21,099 | ||
Structured Asset Mortgage Investments, Inc. floater Series 2006-AR6 Class 2A1, 0.4538% 7/25/46 (l) | 29,127,201 | 17,421,556 | ||
Structured Asset Securities Corp.: | ||||
Series 2003-15A Class 4A, 5.3532% 4/25/33 (l) | 693,273 | 671,677 | ||
Series 2003-20 Class 1A1, 5.5% 7/25/33 | 617,012 | 631,218 | ||
TBW Mortgage-Backed pass-thru certificates floater Series 2006-4 Class A3, 0.5288% 9/25/36 (l) | 3,273,627 | 1,868,245 | ||
WaMu Mortgage pass-thru certificates: | ||||
Series 2003-AR8 Class A, 2.8215% 8/25/33 (l) | 1,186,592 | 1,129,715 | ||
Series 2005-AR3 Class A2, 2.727% 3/25/35 (l) | 3,106,840 | 2,722,051 | ||
Wells Fargo Mortgage Backed Securities Trust: | ||||
Series 2003-12 Class B6, 4.75% 11/25/18 (f) | 221,447 | 33,217 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (c) | Value | ||
Private Sponsor - continued | ||||
Wells Fargo Mortgage Backed Securities Trust: - continued | ||||
Series 2004-EE Class 2A2, 2.902% 12/25/34 (l) | $ 1,055,397 | $ 982,610 | ||
Series 2004-H Class A1, 4.5346% 6/25/34 (l) | 2,154,220 | 2,068,322 | ||
Series 2004-W Class A9, 2.9891% 11/25/34 (l) | 3,483,000 | 3,326,041 | ||
Series 2005-AR10 Class 2A2, 2.9141% 6/25/35 (l) | 2,508,372 | 2,418,285 | ||
Series 2005-AR12: | ||||
Class 2A5, 2.9082% 7/25/35 (l) | 9,260,000 | 8,654,447 | ||
Class 2A6, 2.9082% 7/25/35 (l) | 1,091,974 | 1,016,322 | ||
Series 2005-AR2: | ||||
Class 1A2, 2.8803% 3/25/35 (l) | 3,776,637 | 2,146,068 | ||
Class 2A2, 2.8765% 3/25/35 (l) | 3,093,130 | 2,862,511 | ||
Series 2005-AR3 Class 2A1, 2.9468% 3/25/35 (l) | 1,837,041 | 1,656,675 | ||
TOTAL PRIVATE SPONSOR | 234,559,579 | |||
U.S. Government Agency - 0.0% | ||||
Fannie Mae subordinate REMIC pass-thru certificates planned amortization class Series 2002-9 Class PC, 6% 3/25/17 | 381,058 | 412,057 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $197,073,880) | 234,971,636 | |||
Commercial Mortgage Securities - 6.4% | ||||
| ||||
Asset Securitization Corp.: | ||||
Series 1996-D2 Class B1A, 8.6374% 2/14/29 (f)(l) | 800,000 | 776,880 | ||
Series 1997-D4: | ||||
Class B1, 7.525% 4/14/29 | 210,000 | 219,954 | ||
Class B2, 7.525% 4/14/29 | 1,498,104 | 1,550,837 | ||
Class B5, 7.525% 4/14/29 | 129,000 | 83,016 | ||
Series 1997-D5: | ||||
Class A2, 6.8128% 2/14/43 (l) | 1,399,000 | 1,521,095 | ||
Class A3, 6.8628% 2/14/43 (l) | 1,510,000 | 1,638,337 | ||
Class A5, 6.9328% 2/14/43 (l) | 256,000 | 275,727 | ||
Class A6, 7.1828% 2/14/43 (l) | 2,470,000 | 2,640,953 | ||
Class A7, 7.4228% 2/14/43 (l) | 820,000 | 873,384 | ||
Class PS1, 1.387% 2/14/43 (l)(n) | 5,849,348 | 172,395 | ||
Banc of America Commercial Mortgage Trust: | ||||
sequential payer: | ||||
Series 2006-2 Class AAB, 5.7202% 5/10/45 (l) | 2,221,000 | 2,389,961 | ||
Series 2006-4 Class A1, 5.363% 7/10/46 (l) | 342,144 | 344,519 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (c) | Value | ||
Banc of America Commercial Mortgage Trust: - continued | ||||
sequential payer: | ||||
Series 2006-5: | ||||
Class A1, 5.185% 9/10/47 | $ 814,862 | $ 820,947 | ||
Class A2, 5.317% 9/10/47 | 7,342,000 | 7,692,014 | ||
Class A3, 5.39% 9/10/47 | 2,653,000 | 2,861,396 | ||
Series 2006-6 Class A3, 5.369% 10/10/45 | 3,804,000 | 3,966,996 | ||
Series 2007-2 Class A1, 5.421% 4/10/49 | 444,304 | 456,800 | ||
Series 2007-4 Class A3, 5.811% 2/10/51 (l) | 1,897,000 | 2,044,458 | ||
Series 2006-6 Class E, 5.619% 10/10/45 (f) | 1,098,000 | 200,318 | ||
Series 2007-3: | ||||
Class A3, 5.6578% 6/10/49 (l) | 3,176,000 | 3,402,940 | ||
Class A4, 5.6578% 6/10/49 (l) | 3,965,000 | 3,990,256 | ||
Series 2008-1 Class D, 6.4159% 2/10/51 (f)(l) | 125,000 | 40,620 | ||
Banc of America Commercial Mortgage, Inc.: | ||||
sequential payer: | ||||
Series 2001-1 Class A4, 5.451% 1/15/49 | 4,166,000 | 4,339,834 | ||
Series 2002-2 Class F, 5.487% 7/11/43 | 415,000 | 399,457 | ||
Series 2004-2: | ||||
Class A3, 4.05% 11/10/38 | 2,097,672 | 2,125,097 | ||
Class A4, 4.153% 11/10/38 | 2,412,000 | 2,493,303 | ||
Series 2004-4 Class A3, 4.128% 7/10/42 | 118,932 | 118,851 | ||
Series 2005-1 Class A3, 4.877% 11/10/42 | 3,450,837 | 3,467,363 | ||
Series 2006-1 Class A1, 5.219% 9/10/45 (l) | 1,199,820 | 1,203,937 | ||
Series 2007-1 Class A2, 5.381% 1/15/49 | 4,040,000 | 4,169,308 | ||
Series 2001-3 Class H, 6.562% 4/11/37 (f) | 1,472,000 | 1,456,505 | ||
Series 2001-PB1: | ||||
Class J, 7.166% 5/11/35 (f) | 474,000 | 456,262 | ||
Class K, 6.15% 5/11/35 (f) | 885,000 | 797,352 | ||
Series 2003-1 Class G, 5.608% 9/11/36 (f) | 310,000 | 304,070 | ||
Series 2003-2 Class XP, 0.307% 3/11/41 (f)(l)(n) | 16,252,068 | 10,676 | ||
Series 2004-1 Class F, 5.279% 11/10/39 (f) | 185,000 | 142,586 | ||
Series 2004-4: | ||||
Class K, 4.637% 7/10/42 (f)(l) | 300,000 | 1,170 | ||
Class L, 4.637% 7/10/42 (f)(l) | 280,000 | 504 | ||
Series 2004-5 Class G, 5.3157% 11/10/41 (f)(l) | 195,000 | 115,537 | ||
Series 2005-1 Class CJ, 5.1705% 11/10/42 (l) | 550,000 | 534,378 | ||
Series 2005-3 Series A3B, 5.09% 7/10/43 (l) | 5,908,000 | 6,314,511 | ||
Series 2005-6: | ||||
Class A3, 5.1778% 9/10/47 (l) | 3,423,000 | 3,536,015 | ||
Class AJ, 5.1778% 9/10/47 (l) | 300,000 | 274,926 | ||
Series 2007-1 Class B, 5.543% 1/15/49 | 1,146,000 | 375,943 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (c) | Value | ||
Banc of America Large Loan, Inc. floater: | ||||
sequential payer: | ||||
Series 2005-MIB1: | ||||
Class B, 0.5359% 3/15/22 (f)(l) | $ 390,000 | $ 339,573 | ||
Class C, 0.5859% 3/15/22 (f)(l) | 817,000 | 669,940 | ||
Class D, 0.6359% 3/15/22 (f)(l) | 826,000 | 644,280 | ||
Class E, 0.6759% 3/15/22 (f)(l) | 684,000 | 513,479 | ||
Class F, 0.7459% 3/15/22 (f)(l) | 615,784 | 431,049 | ||
Class G, 0.8059% 3/15/22 (f)(l) | 399,119 | 259,427 | ||
Class J, 1.3259% 3/15/22 (f)(l) | 288,000 | 187,200 | ||
Series 2006-BIX1: | ||||
Class C, 0.4559% 10/15/19 (f)(l) | 1,222,000 | 1,014,260 | ||
Class D, 0.4859% 10/15/19 (f)(l) | 1,494,000 | 1,254,960 | ||
Class E, 0.5159% 10/15/19 (f)(l) | 1,385,000 | 1,147,057 | ||
Class F, 0.5859% 10/15/19 (f)(l) | 3,150,730 | 2,534,132 | ||
Class G, 0.6059% 10/15/19 (f)(l) | 1,245,579 | 867,670 | ||
Bayview Commercial Asset Trust: | ||||
floater: | ||||
Series 2003-2 Class M1, 1.1138% 12/25/33 (f)(l) | 81,882 | 48,310 | ||
Series 2004-1: | ||||
Class A, 0.6238% 4/25/34 (f)(l) | 1,447,099 | 1,143,208 | ||
Class B, 2.1638% 4/25/34 (f)(l) | 162,240 | 81,120 | ||
Class M1, 0.8238% 4/25/34 (f)(l) | 130,261 | 88,577 | ||
Class M2, 1.4638% 4/25/34 (f)(l) | 120,343 | 68,596 | ||
Series 2004-2: | ||||
Class A, 0.6938% 8/25/34 (f)(l) | 1,138,710 | 899,581 | ||
Class M1, 0.8438% 8/25/34 (f)(l) | 191,677 | 120,756 | ||
Series 2004-3: | ||||
Class A1, 0.6338% 1/25/35 (f)(l) | 2,568,342 | 2,003,306 | ||
Class A2, 0.6838% 1/25/35 (f)(l) | 368,554 | 239,560 | ||
Class M1, 0.7638% 1/25/35 (f)(l) | 443,356 | 285,964 | ||
Class M2, 1.2638% 1/25/35 (f)(l) | 205,441 | 127,374 | ||
Series 2005-2A: | ||||
Class A1, 0.5738% 8/25/35 (f)(l) | 1,981,934 | 1,478,523 | ||
Class M1, 0.6938% 8/25/35 (f)(l) | 98,703 | 56,764 | ||
Class M2, 0.7438% 8/25/35 (f)(l) | 162,793 | 89,927 | ||
Class M3, 0.7638% 8/25/35 (f)(l) | 90,069 | 45,863 | ||
Class M4, 0.8738% 8/25/35 (f)(l) | 82,680 | 39,306 | ||
Series 2005-3A: | ||||
Class A1, 0.5838% 11/25/35 (f)(l) | 724,981 | 539,603 | ||
Class A2, 0.6638% 11/25/35 (f)(l) | 718,453 | 463,402 | ||
Class M1, 0.7038% 11/25/35 (f)(l) | 85,747 | 43,619 | ||
Class M2, 0.7538% 11/25/35 (f)(l) | 108,865 | 51,286 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (c) | Value | ||
Bayview Commercial Asset Trust: - continued | ||||
floater: | ||||
Series 2005-3A: | ||||
Class M3, 0.7738% 11/25/35 (f)(l) | $ 97,432 | $ 44,195 | ||
Class M4, 0.8638% 11/25/35 (f)(l) | 121,391 | 52,113 | ||
Series 2005-4A: | ||||
Class A2, 0.6538% 1/25/36 (f)(l) | 1,683,218 | 1,077,260 | ||
Class B1, 1.6638% 1/25/36 (f)(l) | 145,459 | 48,001 | ||
Class M1, 0.7138% 1/25/36 (f)(l) | 542,974 | 282,346 | ||
Class M2, 0.7338% 1/25/36 (f)(l) | 162,892 | 79,817 | ||
Class M3, 0.7638% 1/25/36 (f)(l) | 237,891 | 109,430 | ||
Class M4, 0.8738% 1/25/36 (f)(l) | 131,567 | 52,627 | ||
Class M5, 0.9138% 1/25/36 (f)(l) | 131,567 | 50,653 | ||
Class M6, 0.9638% 1/25/36 (f)(l) | 139,739 | 50,306 | ||
Series 2006-1: | ||||
Class A2, 0.6238% 4/25/36 (f)(l) | 256,717 | 172,000 | ||
Class M1, 0.6438% 4/25/36 (f)(l) | 91,817 | 45,798 | ||
Class M2, 0.6638% 4/25/36 (f)(l) | 97,010 | 46,526 | ||
Class M3, 0.6838% 4/25/36 (f)(l) | 83,470 | 36,168 | ||
Class M4, 0.7838% 4/25/36 (f)(l) | 47,300 | 17,998 | ||
Class M5, 0.8238% 4/25/36 (f)(l) | 45,908 | 17,528 | ||
Class M6, 0.9038% 4/25/36 (f)(l) | 91,538 | 35,187 | ||
Series 2006-2A: | ||||
Class A1, 0.4938% 7/25/36 (f)(l) | 4,653,315 | 3,594,685 | ||
Class A2, 0.5438% 7/25/36 (f)(l) | 230,216 | 156,662 | ||
Class B1, 1.1338% 7/25/36 (f)(l) | 86,196 | 22,342 | ||
Class B3, 2.9638% 7/25/36 (f)(l) | 130,229 | 24,131 | ||
Class M1, 0.5738% 7/25/36 (f)(l) | 241,544 | 114,830 | ||
Class M2, 0.5938% 7/25/36 (f)(l) | 170,421 | 77,916 | ||
Class M3, 0.6138% 7/25/36 (f)(l) | 141,361 | 58,029 | ||
Class M4, 0.6838% 7/25/36 (f)(l) | 95,456 | 37,982 | ||
Class M5, 0.7338% 7/25/36 (f)(l) | 117,324 | 42,190 | ||
Class M6, 0.8038% 7/25/36 (f)(l) | 175,051 | 54,598 | ||
Series 2006-3A: | ||||
Class B1, 1.0638% 10/25/36 (f)(l) | 153,228 | 30,646 | ||
Class B2, 1.6138% 10/25/36 (f)(l) | 110,517 | 19,341 | ||
Class B3, 2.8638% 10/25/36 (f)(l) | 179,849 | 28,776 | ||
Class M4, 0.6938% 10/25/36 (f)(l) | 169,345 | 54,190 | ||
Class M5, 0.7438% 10/25/36 (f)(l) | 202,730 | 56,765 | ||
Class M6, 0.8238% 10/25/36 (f)(l) | 396,827 | 95,238 | ||
Series 2006-4A: | ||||
Class A1, 0.4938% 12/25/36 (f)(l) | 879,858 | 654,175 | ||
Class A2, 0.5338% 12/25/36 (f)(l) | 4,476,943 | 2,845,993 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (c) | Value | ||
Bayview Commercial Asset Trust: - continued | ||||
floater: | ||||
Series 2006-4A: | ||||
Class B1, 0.9638% 12/25/36 (f)(l) | $ 136,886 | $ 33,031 | ||
Class B2, 1.5138% 12/25/36 (f)(l) | 139,528 | 27,208 | ||
Class B3, 2.7138% 12/25/36 (f)(l) | 237,606 | 26,731 | ||
Class M1, 0.5538% 12/25/36 (f)(l) | 286,388 | 134,173 | ||
Class M2, 0.5738% 12/25/36 (f)(l) | 190,925 | 81,907 | ||
Class M3, 0.6038% 12/25/36 (f)(l) | 193,596 | 75,754 | ||
Class M4, 0.6638% 12/25/36 (f)(l) | 231,647 | 82,466 | ||
Class M5, 0.7038% 12/25/36 (f)(l) | 212,955 | 71,510 | ||
Class M6, 0.7838% 12/25/36 (f)(l) | 190,925 | 60,810 | ||
Series 2007-1: | ||||
Class A2, 0.5338% 3/25/37 (f)(l) | 976,666 | 615,300 | ||
Class B1, 0.9338% 3/25/37 (f)(l) | 310,738 | 68,362 | ||
Class B2, 1.4138% 3/25/37 (f)(l) | 225,301 | 41,681 | ||
Class B3, 3.6138% 3/25/37 (f)(l) | 616,916 | 92,537 | ||
Class M1, 0.5338% 3/25/37 (f)(l) | 273,413 | 123,036 | ||
Class M2, 0.5538% 3/25/37 (f)(l) | 204,208 | 79,641 | ||
Class M3, 0.5838% 3/25/37 (f)(l) | 181,105 | 63,387 | ||
Class M4, 0.6338% 3/25/37 (f)(l) | 145,550 | 46,576 | ||
Class M5, 0.6838% 3/25/37 (f)(l) | 227,206 | 65,890 | ||
Class M6, 0.7638% 3/25/37 (f)(l) | 318,104 | 77,936 | ||
Series 2007-2A: | ||||
Class A1, 0.5338% 7/25/37 (f)(l) | 869,083 | 608,358 | ||
Class A2, 0.5838% 7/25/37 (f)(l) | 812,041 | 422,261 | ||
Class B1, 1.8638% 7/25/37 (f)(l) | 250,086 | 37,513 | ||
Class B2, 2.5138% 7/25/37 (f)(l) | 216,518 | 32,478 | ||
Class B3, 3.6138% 7/25/37 (f)(l) | 243,430 | 31,646 | ||
Class M1, 0.6338% 7/25/37 (f)(l) | 285,143 | 108,354 | ||
Class M2, 0.6738% 7/25/37 (f)(l) | 155,814 | 46,744 | ||
Class M3, 0.7538% 7/25/37 (f)(l) | 157,987 | 36,337 | ||
Class M4, 0.9138% 7/25/37 (f)(l) | 311,919 | 62,384 | ||
Class M5, 1.0138% 7/25/37 (f)(l) | 274,963 | 46,744 | ||
Class M6, 1.2638% 7/25/37 (f)(l) | 348,635 | 54,038 | ||
Series 2007-3: | ||||
Class A2, 0.5538% 7/25/37 (f)(l) | 914,846 | 558,239 | ||
Class B1, 1.2138% 7/25/37 (f)(l) | 222,359 | 50,431 | ||
Class B2, 1.8638% 7/25/37 (f)(l) | 556,445 | 121,583 | ||
Class B3, 4.2638% 7/25/37 (f)(l) | 295,606 | 60,984 | ||
Class M1, 0.5738% 7/25/37 (f)(l) | 198,696 | 89,135 | ||
Class M2, 0.6038% 7/25/37 (f)(l) | 212,966 | 78,776 | ||
Class M3, 0.6338% 7/25/37 (f)(l) | 335,582 | 108,259 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (c) | Value | ||
Bayview Commercial Asset Trust: - continued | ||||
floater: | ||||
Series 2007-3: | ||||
Class M4, 0.7638% 7/25/37 (f)(l) | $ 526,914 | $ 158,232 | ||
Class M5, 0.8638% 7/25/37 (f)(l) | 273,310 | 77,292 | ||
Class M6, 1.0638% 7/25/37 (f)(l) | 208,406 | 49,955 | ||
Series 2007-4A: | ||||
Class B1, 2.8138% 9/25/37 (f)(l) | 331,217 | 33,122 | ||
Class B2, 3.7138% 9/25/37 (f)(l) | 1,205,075 | 108,457 | ||
Class M1, 1.2138% 9/25/37 (f)(l) | 318,490 | 85,992 | ||
Class M2, 1.3138% 9/25/37 (f)(l) | 318,490 | 73,253 | ||
Class M4, 1.8638% 9/25/37 (f)(l) | 814,589 | 146,626 | ||
Class M5, 2.0138% 9/25/37 (f)(l) | 814,589 | 122,188 | ||
Class M6, 2.2138% 9/25/37 (f)(l) | 816,170 | 97,940 | ||
Series 2004-1 Class IO, 1.25% 4/25/34 (f)(n) | 4,703,389 | 157,564 | ||
Series 2007-5A Class IO, 3.047% 10/25/37 (f)(l)(n) | 10,714,505 | 1,157,167 | ||
Bear Stearns Commercial Mortgage Securities, Inc. Series 2006-PW11 Class AJ, 5.6234% 3/11/39 (l) | 450,000 | 399,179 | ||
Bear Stearns Commercial Mortgage Securities Trust: | ||||
floater: | ||||
Series 2006-BBA7: | ||||
Class D, 0.5359% 3/15/19 (f)(l) | 200,000 | 169,173 | ||
Class E, 0.5959% 3/15/19 (f)(l) | 365,000 | 299,101 | ||
Class F, 0.6159% 3/15/19 (f)(l) | 160,000 | 125,770 | ||
Class G, 0.7159% 3/15/19 (f)(l) | 1,020,386 | 745,872 | ||
Class H, 0.9259% 3/15/19 (f)(l) | 541,917 | 304,341 | ||
Class J, 1.1259% 3/15/19 (f)(l) | 407,118 | 219,641 | ||
Series 2007-BBA8: | ||||
Class D, 0.5259% 3/15/22 (f)(l) | 655,330 | 380,091 | ||
Class E, 0.5759% 3/15/22 (f)(l) | 3,607,157 | 1,983,936 | ||
Class F, 0.6259% 3/15/22 (f)(l) | 2,235,922 | 1,140,320 | ||
Class G, 0.6759% 3/15/22 (f)(l) | 537,549 | 258,024 | ||
Class H, 0.8259% 3/15/22 (f)(l) | 655,330 | 262,132 | ||
Class J, 0.9759% 3/15/22 (f)(l) | 655,330 | 209,706 | ||
sequential payer: | ||||
Series 2003-PWR2 Class A3, 4.834% 5/11/39 | 670,528 | 682,081 | ||
Series 2004-PWR3 Class A3, 4.487% 2/11/41 | 1,902,925 | 1,933,895 | ||
Series 2006-PW14 Class AM, 5.243% 12/11/38 | 600,000 | 566,892 | ||
Series 2006-T24 Class A1, 4.905% 10/12/41 (l) | 1,532,220 | 1,559,889 | ||
Series 2007-PW16 Class A4, 5.7172% 6/11/40 (l) | 1,112,000 | 1,171,472 | ||
Series 2007-PW17 Class A1, 5.282% 6/11/50 | 892,295 | 910,745 | ||
Series 2007-T26 Class A1, 5.145% 1/12/45 (l) | 498,561 | 510,803 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (c) | Value | ||
Bear Stearns Commercial Mortgage Securities Trust: - continued | ||||
Series 1999-C1: | ||||
Class G, 5.64% 2/14/31 (f) | $ 70,000 | $ 64,139 | ||
Class I, 5.64% 2/14/31 (f) | 205,000 | 63,720 | ||
Series 2003-PWR2 Class X2, 0.4686% 5/11/39 (f)(l)(n) | 14,745,455 | 77,585 | ||
Series 2006-PW13 Class A3, 5.518% 9/11/41 | 6,714,000 | 7,116,337 | ||
Series 2006-PW14 Class X2, 0.6529% 12/11/38 (f)(l)(n) | 25,773,245 | 462,351 | ||
Series 2006-T22: | ||||
Class A4, 5.4623% 4/12/38 (l) | 237,000 | 262,020 | ||
Class B, 5.4623% 4/12/38 (f)(l) | 200,000 | 168,511 | ||
Series 2007-BBA8: | ||||
Class K, 1.4759% 3/15/22 (f)(l) | 120,000 | 32,400 | ||
Class L, 2.1759% 3/15/22 (f)(l) | 253,568 | 55,785 | ||
Series 2007-PW15 Class A1, 5.016% 2/11/44 | 417,961 | 427,490 | ||
Series 2007-PW16: | ||||
Class B, 5.7172% 6/11/40 (f)(l) | 304,000 | 109,502 | ||
Class C, 5.7172% 6/11/40 (f)(l) | 255,000 | 79,093 | ||
Class D, 5.7172% 6/11/40 (f)(l) | 255,000 | 67,292 | ||
Series 2007-PW18 Class X2, 0.3206% 6/11/50 (f)(l)(n) | 177,669,388 | 2,278,059 | ||
Series 2007-T28: | ||||
Class A1, 5.422% 9/11/42 | 279,634 | 289,179 | ||
Class X2, 0.1751% 9/11/42 (f)(l)(n) | 88,855,592 | 692,967 | ||
C-BASS Trust floater Series 2006-SC1 Class A, 0.5338% 5/25/36 (f)(l) | 925,172 | 546,311 | ||
CDC Commercial Mortgage Trust Series 2002-FX1: | ||||
Class G, 6.625% 5/15/35 (f) | 2,235,000 | 2,409,259 | ||
Class XCL, 2.1172% 5/15/35 (f)(l)(n) | 24,788,523 | 692,153 | ||
Chase Commercial Mortgage Securities Corp.: | ||||
Series 1998-1 Class H, 6.34% 5/18/30 (f) | 800,000 | 608,718 | ||
Series 1998-2 Class J, 6.39% 11/18/30 (f) | 489,107 | 104,082 | ||
Series 1999-2: | ||||
Class E, 7.734% 1/15/32 | 82,554 | 82,335 | ||
Class F, 7.734% 1/15/32 | 413,000 | 411,573 | ||
Series 2001-245 Class A2, 6.275% 2/12/16 (f)(l) | 1,888,017 | 1,919,168 | ||
Chase Manhattan Bank-First Union National Bank Commercial Mortgage Trust Series 1999-1 Class G, 6.4% 8/15/31 (f) | 290,000 | 301,293 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (c) | Value | ||
Citigroup Commercial Mortgage Trust: | ||||
floater: | ||||
Series 2006-FL2: | ||||
Class F, 0.5819% 8/15/21 (f)(l) | $ 678,000 | $ 593,853 | ||
Class G, 0.6019% 8/15/21 (f)(l) | 542,222 | 437,980 | ||
Class H, 0.6419% 8/15/21 (f)(l) | 433,548 | 324,472 | ||
Series 2007-FL3A: | ||||
Class MLA1, 1.0759% 4/15/22 (f)(l) | 291,000 | 243,812 | ||
Classs MLA2, 1.3259% 4/15/22 (f)(l) | 129,000 | 105,320 | ||
sequential payer Series 2006-C5 Class A4, 5.431% 10/15/49 | 9,955,000 | 10,704,243 | ||
Series 2006-C5 Class AMP2, 5.5005% 10/15/49 (f) | 3,198,044 | 2,956,826 | ||
Series 2007-C6: | ||||
Class A1, 5.622% 12/10/49 (l) | 10,665,557 | 10,857,275 | ||
Class A4, 5.6985% 12/10/49 (l) | 5,830,000 | 6,204,389 | ||
Series 2007-FL3A Class A2, 0.4159% 4/15/22 (f)(l) | 6,878,000 | 5,916,260 | ||
Citigroup/Deutsche Bank Commercial Mortgage Trust: | ||||
sequential payer Series 2007-CD4: | ||||
Class A1, 4.977% 12/11/49 | 321,603 | 324,829 | ||
Class A2A, 5.237% 12/11/49 | 11,693,000 | 12,023,889 | ||
Class A4, 5.322% 12/11/49 | 10,093,000 | 10,282,783 | ||
Series 2007-CD4: | ||||
Class A3, 5.293% 12/11/49 | 1,852,000 | 1,958,018 | ||
Class C, 5.476% 12/11/49 | 3,581,000 | 1,002,680 | ||
Claregold Trust Series 2007-2A: | ||||
Class F, 5.01% 5/15/44 (f)(l) | CAD | 138,000 | 71,343 | |
Class G, 5.01% 5/15/44 (f)(l) | CAD | 30,000 | 13,921 | |
Class H, 5.01% 5/15/44 (f)(l) | CAD | 20,000 | 7,834 | |
Class J, 5.01% 5/15/44 (f)(l) | CAD | 20,000 | 7,135 | |
Class K, 5.01% 5/15/44 (f)(l) | CAD | 10,000 | 2,986 | |
Class L, 5.01% 5/15/44 (f)(l) | CAD | 36,000 | 9,879 | |
Class M, 5.01% 5/15/44 (f)(l) | CAD | 165,000 | 41,732 | |
Cobalt CMBS Commercial Mortgage Trust: | ||||
sequential payer Series 2007-C3 Class A3, 5.8179% 5/15/46 (l) | 1,902,000 | 2,033,310 | ||
Series 2006-C1 Class B, 5.359% 8/15/48 | 5,706,000 | 798,840 | ||
COMM pass-thru certificates: | ||||
floater: | ||||
Series 2005-F10A: | ||||
Class B, 0.5059% 4/15/17 (f)(l) | 4,261,000 | 3,621,850 | ||
Class C, 0.5459% 4/15/17 (f)(l) | 1,531,000 | 1,255,420 | ||
Class D, 0.5859% 4/15/17 (f)(l) | 950,056 | 741,044 | ||
Class E, 0.6459% 4/15/17 (f)(l) | 802,445 | 601,834 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (c) | Value | ||
COMM pass-thru certificates: - continued | ||||
floater: | ||||
Series 2005-F10A: | ||||
Class F, 0.6859% 4/15/17 (f)(l) | $ 171,562 | $ 118,378 | ||
Class G, 0.8259% 4/15/17 (f)(l) | 171,562 | 108,084 | ||
Class H, 0.8959% 4/15/17 (f)(l) | 171,562 | 89,212 | ||
Class J, 1.1259% 4/15/17 (f)(l) | 131,565 | 52,626 | ||
Series 2005-FL11: | ||||
Class B, 0.5259% 11/15/17 (f)(l) | 232,354 | 220,736 | ||
Class C, 0.5759% 11/15/17 (f)(l) | 1,913,631 | 1,760,540 | ||
Class D, 0.6159% 11/15/17 (f)(l) | 99,518 | 89,566 | ||
Class E, 0.6659% 11/15/17 (f)(l) | 353,792 | 307,799 | ||
Class F, 0.7259% 11/15/17 (f)(l) | 245,114 | 200,994 | ||
Class G, 0.7759% 11/15/17 (f)(l) | 169,901 | 118,931 | ||
Series 2006-FL12 Class AJ, 0.4059% 12/15/20 (f)(l) | 2,710,000 | 2,249,300 | ||
sequential payer: | ||||
Series 2005-C6 Class A2, 4.999% 6/10/44 (l) | 28,687 | 28,668 | ||
Series 2006-C8 Class A3, 5.31% 12/10/46 | 5,420,000 | 5,647,875 | ||
Series 2006-CN2A Class A2FX, 5.449% 2/5/19 (f) | 3,216,000 | 3,226,318 | ||
Series 2007-C9 Class A4, 5.8157% 12/10/49 (l) | 4,209,000 | 4,555,588 | ||
Series 2001-J1A Class F, 6.958% 2/16/34 (f) | 600,000 | 605,247 | ||
Series 2001-J2A Class F, 7.0306% 7/16/34 (f)(l) | 199,000 | 167,245 | ||
Series 2004-LBN2 Class X2, 0.8492% 3/10/39 (f)(l)(n) | 3,747,116 | 13,653 | ||
Series 2006-C8: | ||||
Class B, 5.44% 12/10/46 | 3,294,000 | 1,026,809 | ||
Class XP, 0.4814% 12/10/46 (l)(n) | 20,651,829 | 303,433 | ||
Commercial Mortgage Acceptance Corp.: | ||||
Series 1998-C1: | ||||
Class F, 6.23% 7/15/31 (f) | 98,665 | 101,030 | ||
Class G, 6.21% 7/15/31 (f) | 554,000 | 566,045 | ||
weighted average coupon Series 1998-C2 Class F, 5.44% 9/15/30 (f)(l) | 204,930 | 212,347 | ||
Commercial Mortgage Asset Trust: | ||||
Series 1999-C1 Class F, 6.25% 1/17/32 (f) | 550,000 | 460,748 | ||
Series 1999-C2 Class G, 6% 11/17/32 | 302,000 | 293,628 | ||
Credit Suisse Commercial Mortgage Trust: | ||||
sequential payer: | ||||
Series 2006-C4 Class A3, 5.467% 9/15/39 | 17,590,000 | 18,250,274 | ||
Series 2006-C5: | ||||
Class A1, 5.297% 12/15/39 | 76,945 | 77,044 | ||
Class AJ, 5.373% 12/15/39 | 3,852,000 | 2,435,370 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (c) | Value | ||
Credit Suisse Commercial Mortgage Trust: - continued | ||||
sequential payer: | ||||
Series 2007-C2: | ||||
Class A1, 5.269% 1/15/49 | $ 37,660 | $ 37,819 | ||
Class A2, 5.448% 1/15/49 (l) | 10,150,000 | 10,406,568 | ||
Class A3, 5.542% 1/15/49 (l) | 3,804,000 | 3,782,204 | ||
Series 2007-C3: | ||||
Class A1, 5.664% 6/15/39 (l) | 13,235 | 13,221 | ||
Class A4, 5.7223% 6/15/39 (l) | 1,144,000 | 1,135,584 | ||
Series 2006-C4 Class AAB, 5.439% 9/15/39 | 10,824,000 | 11,561,991 | ||
Series 2006-C5 Class ASP, 0.6707% 12/15/39 (l)(n) | 13,910,240 | 206,146 | ||
Series 2007-C5 Class A4, 5.695% 9/15/40 (l) | 1,722,000 | 1,719,580 | ||
Credit Suisse First Boston Mortgage Capital Certificates floater Series 2007-TF2A Class B, 0.6259% 4/15/22 (f)(l) | 6,783,000 | 2,713,200 | ||
Credit Suisse First Boston Mortgage Securities Corp.: | ||||
floater Series 2006-TF2A Class KER, 0.8759% 9/15/21 (f)(l) | 270,312 | 195,543 | ||
sequential payer: | ||||
Series 2001-CK6 Class B, 6.582% 8/15/36 | 1,902,000 | 1,988,649 | ||
Series 2002-CP5 Class A1, 4.106% 12/15/35 | 137,212 | 140,474 | ||
Series 2004-C1: | ||||
Class A3, 4.321% 1/15/37 | 471,381 | 477,932 | ||
Class A4, 4.75% 1/15/37 | 884,000 | 921,198 | ||
Series 1997-C2 Class F, 7.46% 1/17/35 (l) | 929,000 | 1,027,438 | ||
Series 1998-C1: | ||||
Class D, 7.17% 5/17/40 | 106,971 | 107,711 | ||
Class F, 6% 5/17/40 (f) | 659,000 | 656,763 | ||
Class H, 6% 5/17/40 (f) | 130,000 | 11,597 | ||
Series 1998-C2 Class F, 6.75% 11/11/30 (f) | 470,000 | 478,738 | ||
Series 1999-C1 Class E, 7.8879% 9/15/41 (l) | 163,845 | 163,452 | ||
Series 2001-CK6 Class AX, 0.8793% 8/15/36 (l)(n) | 5,070,486 | 39,736 | ||
Series 2001-CKN5 Class AX, 1.9642% 9/15/34 (f)(l)(n) | 15,264,879 | 189,767 | ||
Series 2001-SPGA Class C, 6.809% 8/13/18 (f) | 230,000 | 219,747 | ||
Series 2003-C3: | ||||
Class D, 4.131% 5/15/38 | 120,000 | 118,671 | ||
Class J, 4.231% 5/15/38 (f) | 300,000 | 179,225 | ||
Series 2003-C4 Class ASP, 0.4351% 8/15/36 (f)(l)(n) | 12,258,479 | 196 | ||
Series 2006-C1 Class A3, 5.5486% 2/15/39 (l) | 10,043,000 | 10,870,985 | ||
Credit Suisse Mortgage Capital Certificates: | ||||
floater Series 2007-TFL1: | ||||
Class B, 0.4259% 2/15/22 (f)(l) | 721,000 | 483,070 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (c) | Value | ||
Credit Suisse Mortgage Capital Certificates: - continued | ||||
floater Series 2007-TFL1: | ||||
Class C: | ||||
0.4459% 2/15/22 (f)(l) | $ 1,864,711 | $ 1,062,885 | ||
0.5459% 2/15/22 (f)(l) | 665,993 | 306,357 | ||
Class F, 0.5959% 2/15/22 (f)(l) | 1,331,815 | 546,044 | ||
Class L, 2.1759% 2/15/22 (f)(l) | 100,000 | 2,000 | ||
sequential payer Series 2007-C1: | ||||
Class A1, 5.227% 2/15/40 | 109,867 | 111,289 | ||
Class A2, 5.268% 2/15/40 | 18,300,000 | 18,898,112 | ||
Series 2007-C1: | ||||
Class ASP, 0.4159% 2/15/40 (l)(n) | 35,608,965 | 408,656 | ||
Class B, 5.487% 2/15/40 (f)(l) | 2,907,000 | 348,840 | ||
Credit Suisse/Morgan Stanley Commercial Mortgage Trust: | ||||
floater Series 2006-HC1A: | ||||
Class A2, 0.5359% 5/15/23 (f)(l) | 450,000 | 427,452 | ||
Class D, 0.7459% 5/15/23 (f)(l) | 170,000 | 157,223 | ||
Class F, 0.8759% 5/15/23 (f)(l) | 140,000 | 127,340 | ||
Series 2006-HC1A Class C, 0.6759% 5/15/23 (f)(l) | 355,000 | 331,057 | ||
Crest Ltd. Series 2001-1A Class C, 9% 2/25/34 (f) | 500,000 | 220,000 | ||
Deutsche Mortgage & Asset Receiving Corp. Series 1998-C1 Class J, 6.22% 6/15/31 | 400,000 | 331,540 | ||
DLJ Commercial Mortgage Corp.: | ||||
Series 1998-CG1 Class B4, 7.2267% 6/10/31 (f)(l) | 891,000 | 975,248 | ||
Series 2000-CKP1 Class B3, 8.1791% 11/10/33 (l) | 230,000 | 229,552 | ||
First Union National Bank Commercial Mortgage Trust Series 2001-C4: | ||||
Class H, 7.036% 12/12/33 (f) | 770,000 | 777,846 | ||
Class K, 6% 12/12/33 (f) | 520,000 | 507,508 | ||
First Union National Bank-Bank of America Commercial Mortgage Trust Series 2001-C1: | ||||
Class D, 6.484% 3/15/33 | 679,000 | 687,075 | ||
Class G, 6.936% 3/15/33 (f) | 1,252,000 | 1,252,228 | ||
Class H, 7.039% 3/15/33 (f) | 63,000 | 62,908 | ||
First Union-Lehman Brothers-Bank of America Commercial Mortgage Trust sequential payer Series 1998-C2 Class G, 7% 11/18/35 (f)(l) | 443,000 | 463,727 | ||
Four Times Square Trust sequential payer Series 2006-4TS Class A, 5.401% 12/13/28 (f) | 200,000 | 221,078 | ||
G-Force LLC sequential payer Series 2005-RRA Class A2, 4.83% 8/22/36 (f) | 625,000 | 584,375 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (c) | Value | ||
GE Capital Commercial Mortgage Corp.: | ||||
sequential payer: | ||||
Series 2000-1 Class A2, 6.496% 1/15/33 | $ 242,872 | $ 244,511 | ||
Series 2007-C1 Class A4, 5.543% 12/10/49 | 11,404,000 | 11,419,597 | ||
Series 2001-1 Class X1, 1.0321% 5/15/33 (f)(l)(n) | 18,284,871 | 80,808 | ||
Series 2001-3 Class C, 6.51% 6/10/38 | 287,000 | 292,260 | ||
Series 2002-1A Class H, 7.1591% 12/10/35 (f)(l) | 65,000 | 62,940 | ||
Series 2004-C1 Class X2, 1.1164% 11/10/38 (f)(l)(n) | 9,952,835 | 38,869 | ||
Series 2005-C1 Class B, 4.846% 6/10/48 (l) | 543,000 | 385,731 | ||
Series 2007-C1 Class XP, 0.2009% 12/10/49 (l)(n) | 37,275,811 | 232,400 | ||
GMAC Commercial Mortgage Securities, Inc.: | ||||
Series 1997-C1 Class H, 6.6% 7/15/29 | 468,006 | 115,509 | ||
Series 1997-C2: | ||||
Class F, 6.75% 4/15/29 (l) | 1,068,773 | 1,122,726 | ||
Class G, 6.75% 4/15/29 (l) | 504,000 | 515,472 | ||
Series 1999-C1 Class F, 6.02% 5/15/33 (f) | 540,000 | 530,192 | ||
Series 1999-C2I Class K, 6.481% 9/15/33 (o) | 385,000 | 21,560 | ||
Series 1999-C3: | ||||
Class G, 6.974% 8/15/36 (f) | 133,630 | 134,180 | ||
Class J, 6.974% 8/15/36 (f) | 226,000 | 225,990 | ||
Class K, 6.974% 8/15/36 (f) | 427,000 | 248,604 | ||
Series 2000-C1: | ||||
Class H, 7% 3/15/33 (f) | 40,835 | 40,819 | ||
Class K, 7% 3/15/33 | 90,000 | 72,996 | ||
Series 2002-C3 Class B, 5.101% 7/10/39 | 285,000 | 299,214 | ||
Series 2003-C3 Class X2, 0.6149% 4/10/40 (f)(l)(n) | 10,107,146 | 19,306 | ||
Series 2005-C1 Class X2, 0.6565% 5/10/43 (l)(n) | 7,558,172 | 74,044 | ||
Greenwich Capital Commercial Funding Corp.: | ||||
floater Series 2006-FL4 Class B, 0.49% 11/5/21 (f)(l) | 715,000 | 529,721 | ||
sequential payer: | ||||
Series 2003-C1 Class D, 4.29% 7/5/35 (f) | 490,000 | 500,414 | ||
Series 2004-GG1 Class A4, 4.755% 6/10/36 | 524,933 | 528,245 | ||
Series 2007-GG11: | ||||
Class A1, 5.358% 12/10/49 | 1,848,848 | 1,918,544 | ||
Class A2, 5.597% 12/10/49 | 3,804,000 | 4,016,721 | ||
Series 2007-GG9 Class A4, 5.444% 3/10/39 | 5,530,000 | 5,792,039 | ||
Series 2002-C1: | ||||
Class H, 5.903% 1/11/35 (f) | 97,000 | 92,493 | ||
Class J, 6.306% 1/11/35 (f) | 760,000 | 703,589 | ||
Series 2003-C2: | ||||
Class J, 5.234% 1/5/36 (f)(l) | 250,000 | 197,754 | ||
Class XP, 0.8232% 1/5/36 (f)(l)(n) | 12,076,264 | 28,345 | ||
Series 2005-GG3 Class XP, 0.6925% 8/10/42 (f)(l)(n) | 35,232,048 | 314,435 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (c) | Value | ||
Greenwich Capital Commercial Funding Corp.: - continued | ||||
Series 2006-GG7: | ||||
Class A3, 5.8883% 7/10/38 (l) | $ 5,013,000 | $ 5,443,316 | ||
Class A4, 5.8883% 7/10/38 (l) | 9,540,000 | 10,386,007 | ||
Series 2007-GG11 Class A1, 0.4798% 12/10/49 (f)(n) | 45,214,389 | 470,614 | ||
GS Mortgage Securities Corp. II: | ||||
floater: | ||||
Series 2006-FL8A: | ||||
Class C, 0.5353% 6/6/20 (f)(l) | 96,000 | 87,408 | ||
Class D, 0.5753% 6/6/20 (f)(l) | 453,000 | 391,603 | ||
Class E, 0.6653% 6/6/20 (f)(l) | 526,000 | 441,928 | ||
Class F, 0.7353% 6/6/20 (f)(l) | 835,001 | 669,793 | ||
Class J, 2.0453% 6/6/20 (f)(l) | 250,000 | 127,349 | ||
Series 2007-EOP: | ||||
Class C, 0.6153% 3/6/20 (f)(l) | 1,994,000 | 1,774,660 | ||
Class D, 0.6653% 3/6/20 (f)(l) | 4,004,000 | 3,523,520 | ||
Class F, 0.7753% 3/6/20 (f)(l) | 164,000 | 141,860 | ||
Class G, 0.8153% 3/6/20 (f)(l) | 81,000 | 68,040 | ||
Class H, 0.9453% 3/6/20 (f)(l) | 60,000 | 50,700 | ||
Class J, 1.1453% 3/6/20 (f)(l) | 86,000 | 71,380 | ||
Class L, 1.5953% 3/1/20 (f)(l) | 400,000 | 328,000 | ||
sequential payer Series 2004-GG2 Class A4, 4.964% 8/10/38 | 590,000 | 613,109 | ||
Series 1997-GL Class G, 7.7695% 7/13/30 (l) | 828,627 | 918,118 | ||
Series 1998-GLII Class G, 7.742% 4/13/31 (f)(l) | 600,000 | 548,366 | ||
Series 2001-GL3A Class JGGP, 7.6436% 8/5/18 (f)(l) | 350,000 | 245,000 | ||
Series 2005-GG4 Class XP, 0.7044% 7/10/39 (f)(l)(n) | 35,965,436 | 428,057 | ||
Series 2006-GG6 Class A2, 5.506% 4/10/38 | 10,001,421 | 10,153,282 | ||
Series 2006-RR2: | ||||
Class M, 5.68% 6/1/46 (f)(l) | 100,000 | 0 | ||
Class N, 5.68% 6/1/46 (f)(l) | 100,000 | 0 | ||
GS Mortgage Securities Trust sequential payer: | ||||
Series 2006-GG8 Class A2, 5.479% 11/10/39 | 2,852,000 | 2,925,656 | ||
Series 2007-GG10: | ||||
Class A1, 5.69% 8/10/45 | 583,171 | 601,505 | ||
Class A2, 5.778% 8/10/45 | 13,561,000 | 14,095,596 | ||
Class A4, 5.8077% 8/10/45 (l) | 13,620,000 | 14,076,785 | ||
JPMorgan Chase Commercial Mortgage Securities Corp.: | ||||
Series 2002-C1 Class E, 6.135% 7/12/37 (f) | 201,000 | 190,073 | ||
Series 2003-C1: | ||||
Class CM1, 5.5061% 1/12/37 (f)(l) | 206,377 | 167,166 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (c) | Value | ||
JPMorgan Chase Commercial Mortgage Securities Corp.: - continued | ||||
Series 2003-C1: | ||||
Class D, 5.192% 1/12/37 | $ 230,000 | $ 227,929 | ||
Series 2004-C1 Class X2, 0.9177% 1/15/38 (f)(l)(n) | 2,942,268 | 12,487 | ||
Series 2004-CB8 Class X2, 1.0321% 1/12/39 (f)(l)(n) | 2,940,154 | 16,299 | ||
Series 2009-IWST Class D, 7.6935% 12/5/27 (f)(l) | 250,000 | 274,244 | ||
JPMorgan Chase Commercial Mortgage Securities Trust: | ||||
floater: | ||||
Series 2005-FL1A Class A2, 0.4559% 2/15/19 (f)(l) | 379,864 | 358,566 | ||
Series 2006-FL1A Class E, 0.6459% 2/15/20 (f)(l) | 155,269 | 122,711 | ||
Series 2006-FLA2: | ||||
Class A2, 0.4059% 11/15/18 (f)(l) | 10,000,000 | 8,400,000 | ||
Class B, 0.4459% 11/15/18 (f)(l) | 1,403,343 | 982,340 | ||
Class C, 0.4859% 11/15/18 (f)(l) | 997,036 | 658,044 | ||
Class D, 0.5059% 11/15/18 (f)(l) | 303,719 | 173,120 | ||
Class E, 0.5559% 11/15/18 (f)(l) | 438,130 | 245,353 | ||
Class F, 0.6059% 11/15/18 (f)(l) | 655,993 | 341,117 | ||
Class G, 0.6359% 11/15/18 (f)(l) | 570,003 | 285,001 | ||
Class H, 0.7759% 11/15/18 (f)(l) | 438,130 | 192,777 | ||
sequential payer: | ||||
Series 2006-CB14 Class A3B, 5.4835% 12/12/44 (l) | 5,657,000 | 6,036,181 | ||
Series 2006-CB15 Class A3, 5.819% 6/12/43 (l) | 2,864,000 | 3,045,727 | ||
Series 2006-LDP8 Class A4, 5.399% 5/15/45 | 1,210,000 | 1,298,084 | ||
Series 2006-LDP9: | ||||
Class A2, 5.134% 5/15/47 (l) | 903,000 | 963,161 | ||
Class A3, 5.336% 5/15/47 | 9,409,000 | 9,796,998 | ||
Series 2007-CB19 Class A4, 5.7461% 2/12/49 (l) | 6,670,000 | 6,995,309 | ||
Series 2007-LD11 Class A2, 5.8025% 6/15/49 (l) | 5,340,000 | 5,583,785 | ||
Series 2007-LDP10 Class A1, 5.122% 1/15/49 | 62,688 | 63,241 | ||
Series 2007-LDPX Class A3, 5.412% 1/15/49 | 5,234,000 | 5,353,212 | ||
Series 2004-CBX Class D, 5.097% 1/12/37 (l) | 170,000 | 141,950 | ||
Series 2004-LDP4 Class D, 5.1488% 10/15/42 (l) | 1,711,000 | 792,260 | ||
Series 2004-LN2 Class D, 5.2116% 7/15/41 (l) | 420,000 | 363,731 | ||
Series 2005-CB13 Class E, 5.3519% 1/12/43 (f)(l) | 963,000 | 89,115 | ||
Series 2005-LDP3 Class A3, 4.959% 8/15/42 | 10,527,952 | 10,913,494 | ||
Series 2006-CB17 Class A3, 5.45% 12/12/43 | 543,000 | 571,298 | ||
Series 2007-CB19: | ||||
Class B, 5.7461% 2/12/49 (l) | 165,000 | 51,177 | ||
Class C, 5.7461% 2/12/49 (l) | 424,000 | 131,510 | ||
Class D, 5.7461% 2/12/49 (l) | 447,000 | 132,346 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (c) | Value | ||
LB Commercial Conduit Mortgage Trust: | ||||
Series 2007-LDP10: | ||||
Class BS, 5.437% 1/15/49 (l) | $ 364,000 | $ 109,245 | ||
Class CS, 5.466% 1/15/49 (l) | 157,000 | 40,397 | ||
Class ES, 5.541% 1/15/49 (f)(l) | 983,000 | 69,293 | ||
JPMorgan Commercial Mortgage Finance Corp.: | ||||
Series 1997-C5 Class F, 7.5605% 9/15/29 | 1,295,956 | 1,375,357 | ||
Series 2000-C9 Class G, 6.25% 10/15/32 (f) | 783,000 | 790,261 | ||
sequential payer Series 2007-C3 Class A4, 5.9499% 7/15/44 (l) | 21,615,000 | 22,359,444 | ||
Series 1998-C1 Class D, 6.98% 2/18/30 | 709,466 | 713,953 | ||
Series 1998-C4 Class G, 5.6% 10/15/35 (f) | 583,000 | 594,718 | ||
LB-UBS Commercial Mortgage Trust: | ||||
sequential payer: | ||||
Series 2001-C2 Class A2, 6.653% 11/15/27 | 339,221 | 345,293 | ||
Series 2001-C3 Class A1, 6.058% 6/15/20 | 8,836 | 8,852 | ||
Series 2004-C2 Class E, 4.487% 3/15/36 | 150,000 | 141,356 | ||
Series 2005-C7: | ||||
Class AJ, 5.323% 11/15/40 | 500,000 | 450,521 | ||
Class AM, 5.263% 11/15/40 (l) | 67,000 | 67,504 | ||
Series 2006-C1 Class A2, 5.084% 2/15/31 | 828,357 | 835,803 | ||
Series 2006-C3 Class A1, 5.478% 3/15/32 | 41,567 | 41,759 | ||
Series 2006-C6: | ||||
Class A1, 5.23% 9/15/39 | 194,132 | 194,284 | ||
Class A2, 5.262% 9/15/39 (l) | 11,694,000 | 11,995,674 | ||
Series 2006-C7: | ||||
Class A1, 5.279% 11/15/38 | 496,918 | 505,978 | ||
Class A2, 5.3% 11/15/38 | 2,092,000 | 2,157,371 | ||
Class A3, 5.347% 11/15/38 | 1,417,000 | 1,502,438 | ||
Class AM, 5.378% 11/15/38 | 160,000 | 143,688 | ||
Series 2007-C1: | ||||
Class A1, 5.391% 2/15/40 (l) | 216,855 | 220,911 | ||
Class A3, 5.398% 2/15/40 | 10,000,000 | 10,601,803 | ||
Class A4, 5.424% 2/15/40 | 5,434,000 | 5,703,289 | ||
Series 2007-C2 Class A3, 5.43% 2/15/40 | 3,967,000 | 4,085,930 | ||
Series 2007-C6 Class A2, 5.845% 7/15/40 | 9,949,374 | 10,380,980 | ||
Series 2000-C5 Class E, 7.29% 12/15/32 | 134,000 | 134,730 | ||
Series 2001-C3 Class B, 6.512% 6/15/36 | 3,676,000 | 3,800,169 | ||
Series 2001-C7 Class D, 6.514% 11/15/33 | 2,092,000 | 2,113,340 | ||
Series 2002-C1 Class J, 6.95% 3/15/34 (f)(l) | 86,000 | 83,623 | ||
Series 2003-C7 Class L, 5.224% 7/15/37 (f)(l) | 284,000 | 179,475 | ||
Series 2004-C2: | ||||
Class G, 4.595% 3/15/36 (f)(l) | 225,000 | 179,886 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (c) | Value | ||
LB-UBS Commercial Mortgage Trust: - continued | ||||
Series 2004-C2: | ||||
Class K, 5.2578% 3/15/36 (f)(l) | $ 500,000 | $ 219,394 | ||
Class XCP, 1.0459% 3/15/36 (f)(l)(n) | 22,208,335 | 124,949 | ||
Series 2004-C4 Class A2, 4.567% 6/15/29 (l) | 228,524 | 230,909 | ||
Series 2005-C2 Class AJ, 5.205% 4/15/30 (l) | 740,000 | 677,857 | ||
Series 2005-C3 Class XCP, 0.7548% 7/15/40 (l)(n) | 5,887,328 | 68,922 | ||
Series 2005-C5 Class A2, 4.885% 9/15/30 | 475,370 | 488,258 | ||
Series 2005-C7 Class C, 5.35% 11/15/40 (l) | 686,000 | 472,616 | ||
Series 2006-C4: | ||||
Class AJ, 5.9022% 6/15/38 (l) | 480,000 | 387,554 | ||
Class AM, 5.9022% 6/15/38 (l) | 500,000 | 463,466 | ||
Series 2006-C6 Class XCP, 0.6666% 9/15/39 (l)(n) | 10,810,515 | 175,514 | ||
Series 2007-C1: | ||||
Class C, 5.533% 2/15/40 (l) | 4,185,000 | 927,292 | ||
Class D, 5.563% 2/15/40 (l) | 760,000 | 135,526 | ||
Class E, 5.582% 2/15/40 (l) | 381,000 | 58,273 | ||
Class XCP, 0.3203% 2/15/40 (l)(n) | 4,345,108 | 50,616 | ||
Series 2007-C6 Class A4, 5.858% 7/15/40 (l) | 2,376,000 | 2,450,526 | ||
Series 2007-C7: | ||||
Class A3, 5.866% 9/15/45 | 6,219,000 | 6,516,073 | ||
Class XCP, 0.2905% 9/15/45 (l)(n) | 149,280,090 | 1,635,005 | ||
LB-UBS Westfield Trust Series 2001-WM, 6.754% 7/14/16 (f) | 544,000 | 555,053 | ||
Lehman Brothers Floating Rate Commercial Mortgage Trust floater: | ||||
Series 2004-LLFA Class J, 1.4759% 10/15/17 (f)(l) | 160,000 | 141,457 | ||
Series 2006-LLFA: | ||||
Class D, 0.5059% 9/15/21 (f)(l) | 608,683 | 467,127 | ||
Class E, 0.5659% 9/15/21 (f)(l) | 2,196,145 | 1,664,618 | ||
Class F, 0.6159% 9/15/21 (f)(l) | 1,143,094 | 852,703 | ||
Class G, 0.6359% 9/15/21 (f)(l) | 2,258,211 | 1,563,720 | ||
Class H, 0.6759% 9/15/21 (f)(l) | 582,579 | 253,957 | ||
Lehman Large Loan Trust Series 1997-LLI Class E, 7.3% 10/12/34 | 3,377,000 | 3,574,741 | ||
LNR CFL Series 2004-1: | ||||
Class I10, 7.72% 2/26/28 (f) | 180,000 | 158,922 | ||
Class I11, 7.72% 2/26/28 (f) | 100,000 | 82,980 | ||
Class I12, 7.72% 2/26/28 (f) | 100,000 | 79,620 | ||
Class I9, 7.72% 2/26/28 (f) | 153,200 | 143,702 | ||
Merrill Lynch Mortgage Investors Trust: | ||||
Series 1997-C2 Class F, 6.25% 12/10/29 (l) | 620,000 | 643,638 | ||
Series 1998-C3 Class E, 6.8483% 12/15/30 (l) | 173,000 | 187,379 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (c) | Value | ||
Merrill Lynch Mortgage Trust: | ||||
sequential payer: | ||||
Series 2004-MKB1 Class A2, 4.353% 2/12/42 | $ 224,288 | $ 225,393 | ||
Series 2007-C1 Class A1, 4.533% 6/12/50 | 459,925 | 464,433 | ||
Series 2004-KEY2 Class K, 5.091% 8/12/39 (f)(l) | 100,000 | 4,000 | ||
Series 2004-MKB1 Class F, 5.509% 2/12/42 (f)(l) | 180,000 | 172,149 | ||
Series 2005-CKI1 Class A3, 5.2324% 11/12/37 (l) | 3,122,000 | 3,226,361 | ||
Series 2005-LC1 Class F, 5.3777% 1/12/44 (f)(l) | 1,655,000 | 613,493 | ||
Series 2006-C1: | ||||
Class A2, 5.6099% 5/12/39 (l) | 2,680,000 | 2,827,567 | ||
Class AJ, 5.6549% 5/12/39 (l) | 160,000 | 132,010 | ||
Class AM, 5.6549% 5/12/39 (l) | 100,000 | 91,480 | ||
Series 2006-KEY2 Class L, 5.091% 8/12/39 (f) | 300,000 | 10,950 | ||
Series 2007-C1 Class A4, 5.826% 6/12/50 (l) | 7,199,517 | 7,717,748 | ||
Series 2008-C1 Class A4, 5.69% 2/12/51 | 4,059,000 | 4,303,103 | ||
Merrill Lynch-CFC Commercial Mortgage Trust: | ||||
floater Series 2006-4 Class A2FL, 0.4625% 12/12/49 (l) | 887,000 | 861,816 | ||
sequential payer: | ||||
Series 2006-1 CLass A3, 5.4664% 2/12/39 (l) | 2,024,000 | 2,126,233 | ||
Series 2006-4: | ||||
Class A2, 5.112% 12/12/49 (l) | 1,075,000 | 1,105,640 | ||
Class ASB, 5.133% 12/12/49 (l) | 1,636,000 | 1,754,779 | ||
Series 2007-5: | ||||
Class A1, 4.275% 8/12/48 | 47,514 | 47,787 | ||
Class A3, 5.364% 8/12/48 | 11,417,000 | 11,695,063 | ||
Class A4, 5.378% 8/12/48 | 76,000 | 74,277 | ||
Class B, 5.479% 2/12/17 | 5,706,000 | 1,005,087 | ||
Series 2007-6: | ||||
Class A1, 5.175% 3/12/51 | 100,852 | 102,370 | ||
Class A4, 5.485% 3/12/51 (l) | 14,650,000 | 14,599,600 | ||
Series 2007-7 Class A4, 5.7485% 6/12/50 (l) | 6,656,000 | 6,689,878 | ||
Series 2007-8 Class A1, 4.622% 8/12/49 | 393,501 | 401,942 | ||
Series 2006-4 Class XP, 0.6254% 12/12/49 (l)(n) | 38,955,674 | 708,074 | ||
Series 2007-6 Class B, 5.635% 3/12/51 (l) | 1,902,000 | 567,896 | ||
Series 2007-7 Class B, 5.75% 6/12/50 | 166,000 | 27,656 | ||
Series 2007-8 Class A3, 5.9564% 8/12/49 (l) | 1,640,000 | 1,763,165 | ||
Morgan Stanley Capital I Trust: | ||||
floater: | ||||
Series 2006-XLF: | ||||
Class C, 1.472% 7/15/19 (f)(l) | 822,747 | 102,843 | ||
Class F, 0.592% 7/15/19 (f)(l) | 1,830,000 | 1,665,300 | ||
Class G, 0.632% 7/15/19 (f)(l) | 1,041,000 | 749,520 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (c) | Value | ||
Morgan Stanley Capital I Trust: - continued | ||||
floater: | ||||
Series 2006-XLF: | ||||
Class H, 0.652% 7/15/19 (f)(l) | $ 550,000 | $ 330,000 | ||
Class J, 0.702% 7/15/19 (f)(l) | 354,000 | 141,600 | ||
Series 2007-XCLA Class A1, 0.472% 7/17/17 (f)(l) | 2,532,688 | 1,392,979 | ||
Series 2007-XLCA Class B, 0.772% 7/17/17 (f)(l) | 2,408,057 | 168,564 | ||
Series 2007-XLFA: | ||||
Class C, 0.432% 10/15/20 (f)(l) | 1,092,000 | 464,100 | ||
Class D, 0.462% 10/15/20 (f)(l) | 667,354 | 150,155 | ||
Class E, 0.522% 10/15/20 (f)(l) | 834,661 | 104,333 | ||
Class F, 0.572% 10/15/20 (f)(l) | 500,899 | 50,090 | ||
Class G, 0.612% 10/15/20 (f)(l) | 619,188 | 46,439 | ||
Class H, 0.702% 10/15/20 (f)(l) | 389,758 | 9,744 | ||
Class J, 0.852% 10/15/20 (f)(l) | 444,903 | 11,123 | ||
Class MHRO, 0.962% 10/15/20 (f)(l) | 605,197 | 121,039 | ||
Class MJPM, 1.272% 10/15/20 (f)(l) | 183,182 | 137,386 | ||
Class MSTR, 0.972% 10/15/20 (f)(l) | 343,918 | 68,784 | ||
Class NHRO, 1.162% 10/15/20 (f)(l) | 918,469 | 128,586 | ||
Class NSTR, 1.122% 10/15/20 (f)(l) | 315,384 | 44,154 | ||
sequential payer: | ||||
Series 2003-IQ5 Class X2, 0.8727% 4/15/38 (f)(l)(n) | 5,855,645 | 48,440 | ||
Series 2004-RR2 Class A2, 5.45% 10/28/33 (f) | 439,415 | 441,613 | ||
Series 2005-IQ9 Class A3, 4.54% 7/15/56 | 2,826,000 | 2,927,893 | ||
Series 2006-HQ10: | ||||
Class A1, 5.131% 11/12/41 | 297,009 | 300,305 | ||
Class AM, 5.36% 11/12/41 | 620,000 | 574,096 | ||
Series 2006-T23 Class A1, 5.682% 8/12/41 | 557,007 | 564,857 | ||
Series 2007-HQ11: | ||||
Class A1, 5.246% 2/12/44 | 364,158 | 370,977 | ||
Class A31, 5.439% 2/12/44 (l) | 964,000 | 1,015,143 | ||
Series 2007-IQ13: | ||||
Class A1, 5.05% 3/15/44 | 371,125 | 376,536 | ||
Class A4, 5.364% 3/15/44 | 10,000,000 | 10,249,122 | ||
Series 2007-IQ14 Class A1, 5.38% 4/15/49 | 946,776 | 973,580 | ||
Series 2007-T25: | ||||
Class A1, 5.391% 11/12/49 | 263,354 | 270,564 | ||
Class A2, 5.507% 11/12/49 | 3,425,000 | 3,739,018 | ||
Series 1997-RR Class F, 7.4307% 4/30/39 (f)(l) | 258,141 | 237,490 | ||
Series 1998-CF1 Class G, 7.35% 7/15/32 (f) | 223,000 | 122,650 | ||
Series 2003-IQ6 Class X2, 0.5807% 12/15/41 (f)(l)(n) | 12,306,129 | 89,429 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (c) | Value | ||
Morgan Stanley Capital I Trust: - continued | ||||
Series 2004-IQ7 Class E, 5.4008% 6/15/38 (f)(l) | $ 120,000 | $ 60,000 | ||
Series 2004-RR2 Class C, 5.8799% 10/28/33 (f)(l) | 280,000 | 216,300 | ||
Series 2005-HQ7: | ||||
Class E, 5.2057% 11/14/42 (l) | 75,000 | 41,250 | ||
Class F, 5.2057% 11/14/42 (l) | 305,000 | 152,500 | ||
Series 2005-IQ9 Class X2, 1.0854% 7/15/56 (f)(l)(n) | 21,165,292 | 301,326 | ||
Series 2006-HQ10 Class X2, 0.4996% 11/12/41 (f)(l)(n) | 10,225,268 | 111,358 | ||
Series 2006-HQ8 Class A3, 5.4379% 3/12/44 (l) | 2,950,000 | 3,025,383 | ||
Series 2006-HQ9 Class B, 5.832% 7/12/44 (l) | 2,823,000 | 2,089,020 | ||
Series 2006-IQ11: | ||||
Class A3, 5.7325% 10/15/42 (l) | 3,157,000 | 3,368,217 | ||
Class A4, 5.7685% 10/15/42 (l) | 570,000 | 633,936 | ||
Series 2006-IQ12: | ||||
Class AMFX, 5.37% 12/15/43 | 719,000 | 596,770 | ||
Class B, 5.468% 12/15/43 | 1,902,000 | 475,500 | ||
Series 2006-T23 Class A3, 5.8072% 8/12/41 (l) | 972,000 | 1,047,864 | ||
Series 2007-HQ11 Class B, 5.538% 2/20/44 (l) | 3,448,000 | 1,241,280 | ||
Series 2007-HQ12 Class A2, 5.6333% 4/12/49 (l) | 12,865,871 | 13,152,826 | ||
Series 2007-IQ14: | ||||
Class A4, 5.692% 4/15/49 (l) | 2,852,000 | 2,895,149 | ||
Class B, 5.7249% 4/15/49 (l) | 469,000 | 112,560 | ||
Series 2007-XLC1: | ||||
Class C, 0.872% 7/17/17 (f)(l) | 3,245,642 | 81,141 | ||
Class D, 0.972% 7/17/17 (f)(l) | 1,526,121 | 38,153 | ||
Class E, 1.072% 7/17/17 (f)(l) | 1,239,655 | 30,991 | ||
Morgan Stanley Dean Witter Capital I Trust: | ||||
sequential payer Series 2001-PPM Class A2, 6.4% 2/15/31 | 18,894 | 19,306 | ||
Series 2000-PRIN Class C, 7.9522% 2/23/34 (l) | 466,000 | 521,852 | ||
Series 2001-IQA Class F, 6.79% 12/18/32 (f) | 194,900 | 197,494 | ||
Series 2001-TOP3 Class E, 7.2382% 7/15/33 (f)(l) | 150,000 | 148,878 | ||
Series 2003-TOP9 Class E, 5.7399% 11/13/36 (f)(l) | 78,000 | 70,414 | ||
Multi Security Asset Trust sequential payer Series 2005-RR4A Class A2, 4.83% 11/28/35 (f) | 386,997 | 361,480 | ||
NationsLink Funding Corp. Series 1998-2: | ||||
Class F, 7.105% 8/20/30 (f) | 593,935 | 641,673 | ||
Class G, 5% 8/20/30 (f) | 361,875 | 376,796 | ||
Class J, 5% 8/20/30 (f) | 195,000 | 173,843 | ||
Nomura Asset Securities Corp. Series 1998-D6 Class B1, 6% 3/15/30 (f) | 1,050,000 | 1,063,659 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (c) | Value | ||
Providence Place Group Ltd. Partnership Series 2000-C1 Class A2, 7.75% 7/20/28 (f) | $ 687,257 | $ 687,257 | ||
Prudential Securities Secured Financing Corp. Series 1999-NRF1 Class F, 6.074% 11/1/31 (f) | 198,840 | 200,968 | ||
RBSCF Trust Series 2010-MB1 Class D, 4.8204% 4/15/24 (f)(l) | 480,000 | 459,150 | ||
Real Estate Asset Liquidity Trust: | ||||
Series 2006-2: | ||||
Class F, 4.456% 9/12/38 | CAD | 107,000 | 66,372 | |
Class G, 4.456% 9/12/38 | CAD | 54,000 | 31,817 | |
Class H, 4.456% 9/12/38 | CAD | 36,000 | 20,160 | |
Class J, 4.456% 9/12/38 | CAD | 36,000 | 19,099 | |
Class K, 4.456% 9/12/38 | CAD | 18,000 | 8,510 | |
Class L, 4.456% 9/12/38 | CAD | 26,000 | 11,633 | |
Class M, 4.456% 9/12/38 | CAD | 128,859 | 28,520 | |
Series 2007-1: | ||||
Class F, 4.57% 4/12/23 | CAD | 126,000 | 78,768 | |
Class G, 4.57% 4/12/23 | CAD | 42,000 | 24,945 | |
Class H, 4.57% 4/12/23 | CAD | 42,000 | 23,713 | |
Class J, 4.57% 4/12/23 | CAD | 42,000 | 22,555 | |
Class K, 4.57% 4/12/23 | CAD | 21,000 | 10,733 | |
Class L, 4.57% 4/12/23 | CAD | 63,000 | 30,665 | |
Class M, 4.57% 4/12/23 | CAD | 185,000 | 38,844 | |
Salomon Brothers Mortgage Securities VII, Inc.: | ||||
sequential payer Series 2000-C3 Class A2, 6.592% 12/18/33 | 581,065 | 580,883 | ||
Series 2001-C1 Class E, 6.31% 12/18/35 | 135,000 | 133,898 | ||
Series 2001-MMA: | ||||
Class E6, 6.5% 2/18/34 (f)(l) | 192,000 | 167,040 | ||
Class F6, 6.5% 2/18/34 (f)(l) | 43,000 | 35,690 | ||
Structured Asset Securities Corp. Series 1997-LLI: | ||||
Class D, 7.15% 10/12/34 | 214,601 | 223,538 | ||
Class F, 7.3% 10/12/34 (f) | 473,000 | 479,662 | ||
TIAA Seasoned Commercial Mortgage Trust sequential payer Series 2007-C4 Class AJ, 6.071% 8/15/39 (l) | 170,000 | 168,163 | ||
TrizecHahn Office Properties Trust Series 2001-TZHA Class C4, 6.893% 5/15/16 (f) | 1,616,000 | 1,647,248 | ||
UBS Commercial Mortgage Trust Series 2007-FL1: | ||||
Class F, 0.8509% 7/15/24 (f)(l) | 110,000 | 27,536 | ||
Class G, 0.8509% 7/15/24 (f)(l) | 200,000 | 48,030 | ||
Vornado DP LLC Series 2010-VNO Class D, 6.3555% 9/13/20 (f) | 180,000 | 186,348 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (c) | Value | ||
Wachovia Bank Commercial Mortgage Trust: | ||||
floater: | ||||
Series 2005-WL5A Class K, 1.4759% 1/15/18 (f)(l) | $ 1,276,330 | $ 1,269,067 | ||
Series 2006-WL7A: | ||||
Class E, 0.5519% 9/15/21 (f)(l) | 1,770,598 | 1,050,626 | ||
Class F, 0.6119% 8/11/18 (f)(l) | 1,877,987 | 784,301 | ||
Class G, 0.6319% 8/11/18 (f)(l) | 1,779,101 | 722,349 | ||
Class J, 0.8719% 8/11/18 (f)(l) | 395,545 | 101,284 | ||
Series 2007-ESH Class A1, 0.7259% 6/15/19 (f)(l) | 170,937 | 169,667 | ||
Series 2007-WHL8: | ||||
Class AP1, 0.9759% 6/15/20 (f)(l) | 140,220 | 77,121 | ||
Class AP2, 1.0759% 6/15/20 (f)(l) | 235,007 | 117,503 | ||
Class F, 0.7559% 6/15/20 (f)(l) | 4,565,501 | 1,141,375 | ||
Class LXR1, 0.9759% 6/15/20 (f)(l) | 233,916 | 140,349 | ||
Class LXR2, 1.0759% 6/15/20 (f)(l) | 3,111,858 | 1,555,929 | ||
sequential payer: | ||||
Series 2003-C6 Class A2, 4.498% 8/15/35 | 111,210 | 111,135 | ||
Series 2003-C7 Class A1, 4.241% 10/15/35 (f) | 3,267,410 | 3,294,830 | ||
Series 2003-C8 Class A3, 4.445% 11/15/35 | 8,283,000 | 8,471,632 | ||
Series 2006-C27 Class A2, 5.624% 7/15/45 | 1,700,000 | 1,742,701 | ||
Series 2006-C29: | ||||
Class A1, 5.11% 11/15/48 | 634,788 | 643,188 | ||
Class A3, 5.313% 11/15/48 | 5,051,000 | 5,377,605 | ||
Series 2007-C30: | ||||
Class A1, 5.031% 12/15/43 | 129,435 | 130,720 | ||
Class A3, 5.246% 12/15/43 | 1,633,000 | 1,647,869 | ||
Class A4, 5.305% 12/15/43 | 8,604,000 | 8,585,876 | ||
Class A5, 5.342% 12/15/43 | 2,036,000 | 1,983,665 | ||
Series 2007-C31: | ||||
Class A1, 5.14% 4/15/47 | 172,035 | 173,916 | ||
Class A4, 5.509% 4/15/47 | 4,299,000 | 4,252,449 | ||
Series 2007-C32: | ||||
Class A2, 5.735% 6/15/49 (l) | 15,568,000 | 16,198,520 | ||
Class A3, 5.74% 6/15/49 (l) | 3,229,000 | 3,216,239 | ||
Series 2003-C6 Class G, 5.125% 8/15/35 (f)(l) | 903,000 | 851,653 | ||
Series 2003-C8 Class XP, 0.1813% 11/15/35 (f)(l)(n) | 3,807,072 | 3,966 | ||
Series 2003-C9 Class XP, 0.4499% 12/15/35 (f)(l)(n) | 5,330,128 | 7,115 | ||
Series 2004-C10 Class E, 4.931% 2/15/41 | 340,000 | 315,404 | ||
Series 2004-C11: | ||||
Class D, 5.4914% 1/15/41 (l) | 360,000 | 311,036 | ||
Class E, 5.5414% 1/15/41 (l) | 327,000 | 265,453 | ||
Series 2004-C12 Class D, 5.3053% 7/15/41 (l) | 280,000 | 250,824 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (c) | Value | ||
Wachovia Bank Commercial Mortgage Trust: - continued | ||||
Series 2004-C14: | ||||
Class B, 5.17% 8/15/41 | $ 258,500 | $ 252,320 | ||
Class C, 5.21% 8/15/41 | 170,000 | 159,571 | ||
Series 2004-C15: | ||||
Class 180A, 5.5782% 10/15/41 (f)(l) | 1,464,000 | 1,361,520 | ||
Class 180B, 5.3979% 10/15/41 (f)(l) | 666,000 | 599,400 | ||
Series 2005-C19 Class B, 4.892% 5/15/44 | 1,902,000 | 1,554,890 | ||
Series 2005-C22: | ||||
Class B, 5.3598% 12/15/44 (l) | 4,218,000 | 2,897,343 | ||
Class F, 5.3598% 12/15/44 (f)(l) | 3,171,000 | 1,267,188 | ||
Series 2006-C23 Class A5, 5.416% 1/15/45 (l) | 7,870,000 | 8,555,214 | ||
Series 2006-C29 Class E, 5.516% 11/15/48 (l) | 1,902,000 | 589,123 | ||
Series 2007-C30: | ||||
Class B, 5.463% 12/15/43 (l) | 10,505,000 | 2,312,185 | ||
Class C, 5.483% 12/15/43 (l) | 5,706,000 | 947,355 | ||
Class D, 5.513% 12/15/43 (l) | 3,044,000 | 261,099 | ||
Class XP, 0.4367% 12/15/43 (f)(l)(n) | 21,906,282 | 299,132 | ||
Series 2007-C31 Class C, 5.6935% 4/15/47 (l) | 522,000 | 110,654 | ||
Series 2007-C32: | ||||
Class D, 5.74% 6/15/49 (l) | 1,431,000 | 285,314 | ||
Class E, 5.74% 6/15/49 (l) | 2,252,000 | 385,210 | ||
Wachovia Bank Commercial Mortgage Trust pass-thru certificates: | ||||
sequential payer Series 2007-C33 Class A5, 5.902% 2/15/51 (l) | 1,259,000 | 1,275,178 | ||
Series 2007-C33 Class B, 5.902% 2/15/51 (l) | 3,198,000 | 1,043,464 | ||
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $708,540,160) | 824,798,436 | |||
Municipal Securities - 0.2% | ||||
| ||||
California Gen. Oblig.: | ||||
6.2% 3/1/19 | 5,000,000 | 5,427,750 | ||
7.5% 4/1/34 | 5,600,000 | 6,286,784 | ||
7.55% 4/1/39 | 8,400,000 | 9,541,728 | ||
Illinois Gen. Oblig. Series 2010, 4.421% 1/1/15 | 6,825,000 | 6,960,954 | ||
TOTAL MUNICIPAL SECURITIES (Cost $26,034,211) | 28,217,216 | |||
Foreign Government and Government Agency Obligations - 1.7% | ||||
| Principal Amount (c) | Value | ||
Arab Republic of Egypt: | ||||
5.75% 4/29/20 (f) | $ 1,450,000 | $ 1,587,750 | ||
6.875% 4/30/40 (f) | 1,485,000 | 1,663,200 | ||
Argentine Republic: | ||||
discount (with partial capitalization through 12/31/13) 8.28% 12/31/33 | 3,773,540 | 2,886,758 | ||
par 2.5% 12/31/38 (e) | 3,210,000 | 1,219,800 | ||
0.6586% 8/3/12 (l) | 2,938,750 | 2,666,859 | ||
7% 3/28/11 | 27,875,000 | 28,021,344 | ||
7% 9/12/13 | 20,265,000 | 19,193,770 | ||
7% 10/3/15 | 1,450,000 | 1,218,322 | ||
Bahamian Republic 6.95% 11/20/29 (f) | 805,000 | 837,200 | ||
Barbados Government 7.25% 12/15/21 (f) | 647,000 | 682,585 | ||
Bermuda Government 5.603% 7/20/20 (f) | 470,000 | 502,900 | ||
Brazilian Federative Republic: | ||||
4.875% 1/22/21 | 4,020,000 | 4,311,450 | ||
5.625% 1/7/41 | 795,000 | 858,600 | ||
6% 9/15/13 | 233,343 | 244,426 | ||
8.75% 2/4/25 | 545,000 | 776,625 | ||
11% 8/17/40 | 1,445,000 | 1,979,650 | ||
12.25% 3/6/30 | 470,000 | 883,600 | ||
Bulgarian Republic 8.25% 1/15/15 (Reg. S) | 1,040,000 | 1,211,600 | ||
Cayman Island Government 5.95% 11/24/19 (f) | 500,000 | 532,500 | ||
Chilean Republic: | ||||
3.875% 8/5/20 | 830,000 | 861,125 | ||
7.125% 1/11/12 | 3,045,000 | 3,276,725 | ||
Colombian Republic: | ||||
7.375% 9/18/37 | 2,130,000 | 2,758,350 | ||
10.375% 1/28/33 | 965,000 | 1,534,350 | ||
11.75% 2/25/20 | 950,000 | 1,477,250 | ||
Congo Republic 3% 6/30/29 (e) | 3,980,500 | 2,169,373 | ||
Croatia Republic: | ||||
6.625% 7/14/20 (f) | 855,000 | 939,431 | ||
6.75% 11/5/19 (f) | 1,455,000 | 1,601,882 | ||
Democratic Socialist Republic of Sri Lanka: | ||||
7.4% 1/22/15 (f) | 1,055,000 | 1,130,169 | ||
8.25% 10/24/12 (f) | 1,070,000 | 1,151,588 | ||
Dominican Republic: | ||||
1.5704% 8/30/24 (l) | 1,350,000 | 1,215,000 | ||
7.5% 5/6/21 (f) | 1,140,000 | 1,256,850 | ||
9.04% 1/23/18 (f) | 967,284 | 1,124,468 | ||
Ecuador Republic 5% 2/28/25 | 218,000 | 152,600 | ||
Foreign Government and Government Agency Obligations - continued | ||||
| Principal Amount (c) | Value | ||
El Salvador Republic: | ||||
7.375% 12/1/19 (f) | $ 745,000 | $ 826,950 | ||
7.65% 6/15/35 (Reg. S) | 1,265,000 | 1,375,688 | ||
7.75% 1/24/23 (Reg. S) | 870,000 | 974,400 | ||
8.25% 4/10/32 (Reg. S) | 375,000 | 427,500 | ||
Gabonese Republic 8.2% 12/12/17 (f) | 1,410,000 | 1,617,975 | ||
Georgia Republic 7.5% 4/15/13 | 2,470,000 | 2,432,950 | ||
Ghana Republic 8.5% 10/4/17 (f) | 1,625,000 | 1,844,375 | ||
Hungarian Republic: | ||||
4.75% 2/3/15 | 430,000 | 425,700 | ||
6.25% 1/29/20 | 2,250,000 | 2,289,375 | ||
Indonesian Republic: | ||||
5.875% 3/13/20 (f) | 1,560,000 | 1,758,900 | ||
6.625% 2/17/37 (f) | 1,225,000 | 1,488,375 | ||
6.875% 3/9/17 (f) | 850,000 | 1,005,125 | ||
6.875% 1/17/18 (f) | 1,395,000 | 1,656,563 | ||
7.5% 1/15/16 (f) | 485,000 | 583,213 | ||
7.75% 1/17/38 (f) | 1,390,000 | 1,890,400 | ||
8.5% 10/12/35 (Reg. S) | 1,360,000 | 1,985,600 | ||
11.625% 3/4/19 (f) | 1,070,000 | 1,631,750 | ||
Islamic Republic of Pakistan 7.125% 3/31/16 (f) | 3,860,000 | 3,541,550 | ||
Lebanese Republic 4% 12/31/17 | 2,257,500 | 2,189,775 | ||
Lithuanian Republic: | ||||
6.75% 1/15/15 (f) | 1,585,000 | 1,719,725 | ||
7.375% 2/11/20 (f) | 1,685,000 | 1,906,156 | ||
Perusahaan Penerbit SBSN Indonesia 8.8% 4/23/14 (f) | 560,000 | 672,000 | ||
Peruvian Republic: | ||||
3% 3/7/27 (e) | 435,000 | 378,450 | ||
7.35% 7/21/25 | 950,000 | 1,220,750 | ||
Philippine Republic: | ||||
6.5% 1/20/20 | 805,000 | 951,913 | ||
9.5% 2/2/30 | 565,000 | 868,688 | ||
10.625% 3/16/25 | 520,000 | 834,600 | ||
Polish Government 3.875% 7/16/15 | 1,515,000 | 1,562,874 | ||
Provincia de Cordoba 12.375% 8/17/17 (f) | 1,060,000 | 1,046,750 | ||
Republic of Iraq 5.8% 1/15/28 (Reg. S) | 3,725,000 | 3,203,500 | ||
Republic of Serbia 6.75% 11/1/24 (f) | 5,558,334 | 5,419,375 | ||
Russian Federation: | ||||
3.625% 4/29/15 (f) | 800,000 | 792,000 | ||
5% 4/29/20 (f) | 1,900,000 | 1,938,000 | ||
7.5% 3/31/30 (Reg. S) | 10,025,240 | 11,904,973 | ||
12.75% 6/24/28 (Reg. S) | 1,800,000 | 3,249,000 | ||
Foreign Government and Government Agency Obligations - continued | ||||
| Principal Amount (c) | Value | ||
Turkish Republic: | ||||
5.625% 3/30/21 | $ 815,000 | $ 854,772 | ||
6.75% 4/3/18 | 1,395,000 | 1,586,813 | ||
6.75% 5/30/40 | 805,000 | 885,500 | ||
6.875% 3/17/36 | 2,920,000 | 3,259,596 | ||
7% 9/26/16 | 1,360,000 | 1,564,000 | ||
7.25% 3/15/15 | 730,000 | 839,500 | ||
7.25% 3/5/38 | 1,400,000 | 1,632,820 | ||
7.375% 2/5/25 | 3,690,000 | 4,386,672 | ||
7.5% 7/14/17 | 1,285,000 | 1,519,513 | ||
11.875% 1/15/30 | 660,000 | 1,123,650 | ||
Ukraine Cabinet of Ministers 6.875% 3/4/11 (Reg. S) | 4,480,000 | 4,502,400 | ||
Ukraine Government: | ||||
6.385% 6/26/12 (f) | 785,000 | 794,813 | ||
6.75% 11/14/17 (f) | 2,295,000 | 2,272,050 | ||
United Mexican States: | ||||
5.125% 1/15/20 | 468,000 | 507,780 | ||
5.625% 1/15/17 | 860,000 | 963,200 | ||
6.05% 1/11/40 | 738,000 | 839,475 | ||
7.5% 4/8/33 | 425,000 | 568,438 | ||
8.3% 8/15/31 | 420,000 | 604,800 | ||
Uruguay Republic: | ||||
6.875% 9/28/25 | 585,000 | 710,775 | ||
8% 11/18/22 | 2,566,902 | 3,349,807 | ||
Venezuelan Republic: | ||||
1.5125% 4/20/11 (Reg. S) (l) | 9,330,000 | 8,886,825 | ||
6% 12/9/20 | 860,000 | 477,300 | ||
7% 3/31/38 | 815,000 | 440,100 | ||
8.5% 10/8/14 | 960,000 | 792,000 | ||
9% 5/7/23 (Reg. S) | 3,675,000 | 2,340,975 | ||
9.25% 9/15/27 | 2,480,000 | 1,767,000 | ||
9.375% 1/13/34 | 985,000 | 635,325 | ||
10.75% 9/19/13 | 3,075,000 | 2,905,875 | ||
13.625% 8/15/18 | 3,698,000 | 3,392,915 | ||
Vietnamese Socialist Republic: | ||||
1.2103% 3/12/16 (l) | 902,609 | 837,170 | ||
4% 3/12/28 (e) | 3,040,000 | 2,576,400 | ||
Foreign Government and Government Agency Obligations - continued | ||||
| Principal Amount (c) | Value | ||
Vietnamese Socialist Republic: - continued | ||||
6.75% 1/29/20 (f) | $ 1,405,000 | $ 1,520,913 | ||
6.875% 1/15/16 (f) | 780,000 | 850,200 | ||
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $195,034,277) | 219,732,390 | |||
Supranational Obligations - 0.0% |
|
|
|
|
Corporacion Andina de Fomento 5.2% 5/21/13 | 242,000 | 260,033 | ||
Eurasian Development Bank 7.375% 9/29/14 (f) | 1,100,000 | 1,168,750 | ||
TOTAL SUPRANATIONAL OBLIGATIONS (Cost $1,334,862) | 1,428,783 |
Common Stocks - 0.0% | |||
Shares |
| ||
FINANCIALS - 0.0% | |||
Thrifts & Mortgage Finance - 0.0% | |||
Wrightwood Capital LLC warrants 7/31/14 (a)(f) (Cost $15) | 1,517 | 15 | |
Preferred Stocks - 0.0% | |||
|
|
|
|
Convertible Preferred Stocks - 0.0% | |||
UTILITIES - 0.0% | |||
Electric Utilities - 0.0% | |||
AES Trust III 6.75% | 28,100 | 1,320,138 | |
Nonconvertible Preferred Stocks - 0.0% | |||
FINANCIALS - 0.0% | |||
Diversified Financial Services - 0.0% | |||
GMAC, Inc. 7.00% (f) | 2,055 | 1,685,100 | |
TOTAL PREFERRED STOCKS (Cost $3,047,336) | 3,005,238 |
Floating Rate Loans - 0.4% | ||||
| Principal Amount (c) | Value | ||
CONSUMER DISCRETIONARY - 0.2% | ||||
Auto Components - 0.1% | ||||
Federal-Mogul Corp.: | ||||
Tranche B, term loan 2.2333% 12/27/14 (l) | $ 3,404,031 | $ 2,978,527 | ||
Tranche C, term loan 2.2114% 12/27/15 (l) | 2,138,162 | 1,849,510 | ||
| 4,828,037 | |||
Automobiles - 0.0% | ||||
Ford Motor Co. term loan 3.03% 12/15/13 (l) | 3,294,779 | 3,179,461 | ||
Hotels, Restaurants & Leisure - 0.0% | ||||
Las Vegas Sands LLC: | ||||
Tranche B, term loan 3.01% 11/23/16 (l) | 2,453,694 | 2,229,794 | ||
Tranche I, term loan 3.01% 11/23/16 (l) | 504,132 | 458,130 | ||
| 2,687,924 | |||
Media - 0.1% | ||||
Charter Communications Operating LLC Tranche B 1LN, term loan 2.26% 3/6/14 (l) | 4,013,220 | 3,807,743 | ||
Newsday LLC term loan 10.5% 8/1/13 | 3,505,000 | 3,724,063 | ||
Univision Communications, Inc. Tranche 1LN, term loan 2.5103% 9/29/14 (l) | 3,796,486 | 3,264,978 | ||
| 10,796,784 | |||
TOTAL CONSUMER DISCRETIONARY | 21,492,206 | |||
FINANCIALS - 0.0% | ||||
Diversified Financial Services - 0.0% | ||||
Clear Channel Capital I LLC Tranche B, term loan 3.9103% 1/29/16 (h)(l) | 3,165,000 | 2,520,131 | ||
INDUSTRIALS - 0.1% | ||||
Air Freight & Logistics - 0.0% | ||||
AWAS Aviation Acquisitions Ltd. term loan 7.75% 6/10/16 (l) | 3,865,000 | 3,898,819 | ||
Airlines - 0.1% | ||||
Delta Air Lines, Inc. Tranche 2LN, term loan 3.5294% 4/30/14 (l) | 4,171,816 | 3,848,500 | ||
United Air Lines, Inc. Tranche B, term loan 2.3125% 2/1/14 (l) | 830,471 | 755,729 | ||
US Airways Group, Inc. term loan 2.7616% 3/23/14 (l) | 1,055,000 | 888,838 | ||
| 5,493,067 | |||
Floating Rate Loans - continued | ||||
| Principal Amount (c) | Value | ||
INDUSTRIALS - continued | ||||
Machinery - 0.0% | ||||
Dresser, Inc. Tranche 2LN, term loan 6.1119% 5/4/15 pay-in-kind (l) | $ 2,335,000 | $ 2,229,925 | ||
TOTAL INDUSTRIALS | 11,621,811 | |||
INFORMATION TECHNOLOGY - 0.0% | ||||
Communications Equipment - 0.0% | ||||
Avaya, Inc. term loan 3.0575% 10/24/14 (l) | 2,079,238 | 1,819,334 | ||
MATERIALS - 0.0% | ||||
Containers & Packaging - 0.0% | ||||
Anchor Glass Container Corp.: | ||||
Tranche 1LN, term loan 6% 3/2/16 (l) | 1,828,716 | 1,815,001 | ||
Tranche 2LN, term loan 10% 9/2/16 (l) | 2,065,000 | 2,023,700 | ||
| 3,838,701 | |||
TELECOMMUNICATION SERVICES - 0.1% | ||||
Wireless Telecommunication Services - 0.1% | ||||
Asurion Corp. Tranche 2LN, term loan 6.79% 7/3/15 (l) | 3,685,000 | 3,537,600 | ||
Intelsat Jackson Holdings Ltd. term loan 3.5333% 2/1/14 (l) | 2,425,000 | 2,267,375 | ||
| 5,804,975 | |||
UTILITIES - 0.0% | ||||
Multi-Utilities - 0.0% | ||||
Ashmore Energy International: | ||||
Revolving Credit-Linked Deposit 3.4334% 3/30/12 (l) | 789,624 | 730,402 | ||
term loan 3.5334% 3/30/14 (l) | 5,198,889 | 4,808,972 | ||
| 5,539,374 | |||
TOTAL FLOATING RATE LOANS (Cost $48,223,477) | 52,636,532 | |||
Sovereign Loan Participations - 0.0% | ||||
| ||||
Indonesian Republic loan participation - Citibank 1.4375% 12/14/19 (l) | 1,781,006 | 1,638,525 | ||
Bank Notes - 0.0% | ||||
| Principal Amount (c) | Value | ||
National City Bank, Cleveland 0.6384% 3/1/13 (l) | $ 978,000 | $ 948,961 |
Fixed-Income Funds - 16.0% | |||
Shares |
| ||
Fidelity Corporate Bond 1-10 Year Central Fund (m) | 1,615,765 | 176,393,059 | |
Fidelity Floating Rate Central Fund (m) | 4,116,916 | 392,753,749 | |
Fidelity Mortgage Backed Securities Central Fund (m) | 14,017,666 | 1,486,994,027 | |
TOTAL FIXED-INCOME FUNDS (Cost $1,905,752,730) | 2,056,140,835 | ||
Preferred Securities - 0.1% | |||
Principal Amount (c) |
| ||
CONSUMER DISCRETIONARY - 0.0% | |||
Media - 0.0% | |||
Net Servicos de Comunicacao SA 9.25% (f) | $ 3,658,000 | 3,716,548 | |
ENERGY - 0.1% | |||
Oil, Gas & Consumable Fuels - 0.1% | |||
Pemex Project Funding Master Trust 7.75% | 4,610,000 | 4,683,664 | |
FINANCIALS - 0.0% | |||
Diversified Financial Services - 0.0% | |||
ING Groep NV 5.775% (l) | 1,052,000 | 879,213 | |
MUFG Capital Finance 1 Ltd. 6.346% (l) | 3,261,000 | 3,272,092 | |
| 4,151,305 | ||
TOTAL PREFERRED SECURITIES (Cost $10,701,096) | 12,551,517 | ||
Cash Equivalents - 6.8% | |||
Maturity Amount | Value | ||
Investments in repurchase agreements in a joint trading account at: | |||
0.24%, dated 8/31/10 due 9/1/10 (Collateralized by U.S. Government Obligations) # | $ 2,581,017 | $ 2,581,000 | |
0.25%, dated 8/31/10 due 9/1/10 (Collateralized by U.S. Government Obligations) # | 876,918,051 | 876,912,000 | |
TOTAL CASH EQUIVALENTS (Cost $879,493,000) | 879,493,000 | ||
TOTAL INVESTMENT PORTFOLIO - 107.1% (Cost $12,919,838,959) | 13,808,569,484 | ||
NET OTHER ASSETS (LIABILITIES) - (7.1)% | (921,220,907) | ||
NET ASSETS - 100% | $ 12,887,348,577 |
Swap Agreements | |||||
| Expiration Date | Notional Amount |
| ||
Credit Default Swaps | |||||
Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to Credit Suisse First Boston upon each credit event of one of the issues of ABX AA 07-01 Index, par value of the proportional notional amount (Rating-C) (Upfront Payment $480,000) (k) | Sept. 2037 | $ 3,051,763 | (2,861,562) | ||
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) (k) | Sept. 2037 | 3,509,527 | (3,290,796) | ||
Swap Agreements - continued | |||||
| Expiration Date | Notional Amount | Value | ||
Credit Default Swaps - continued | |||||
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) (k) | Sept. 2037 | $ 2,136,234 | $ (2,003,093) | ||
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 $936,000) (k) | Sept. 2037 | 5,493,173 | (5,150,811) | ||
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 $347,750) (k) | Sept. 2037 | 1,983,646 | (1,860,015) | ||
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. Series 2004-NC6 Class M3, 5.6413% 7/25/34 (j) | August 2034 | 27,453 | (16,179) | ||
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) (j) | Feb. 2034 | 787 | (725) | ||
Swap Agreements - continued | |||||
| Expiration Date | Notional Amount | Value | ||
Credit Default Swaps - continued | |||||
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) (j) | Sept. 2034 | $ 26,646 | $ (21,294) | ||
TOTAL CREDIT DEFAULT SWAPS | $ 16,229,229 | $ (15,204,475) | |||
Interest Rate Swaps | |||||
Receive semi-annually a fixed rate equal to 1.2857% and pay quarterly a floating rate based on 3-month LIBOR with JPMorgan Chase, Inc. | June 2012 | 200,000,000 | 2,787,700 | ||
| $ 216,229,229 | $ (12,416,775) |
Currency Abbreviations |
CAD - Canadian dollar |
Legend |
(a) Non-income producing |
(b) Non-income producing - Security is in default. |
(c) Principal amount is stated in United States dollars unless otherwise noted. |
(d) 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. |
(e) Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end. |
(f) Security 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 $982,512,371 or 7.6% of net assets. |
(g) 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 $32,892,640 or 0.3% of net assets. |
(h) Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(i) A portion of the security is subject to a forward commitment to sell. |
(j) Represents a credit default swap contract in which the Fund has sold protection on the underlying reference entity. The value of each credit default swap and the credit rating can be measures of the current payment/performance risk. For the underlying reference entity, ratings disclosed are from Moody's Investors Service, Inc. Where Moody's ratings are not available, S&P ratings are disclosed and are indicated as such. All ratings are as of the report date and do not reflect subsequent changes. Where a credit rating is not disclosed, the value is used as the measure of the payment/performance risk. |
(k) Represents a credit default swap based on a tradable index of home equity asset-backed debt securities. The value of each credit default swap and the credit rating can be measures of the current payment/ performance risk. In addition, the swap represents a contract in which the Fund has sold protection on the index of underlying securities. Ratings represent a weighted average of the ratings of all securities included in the index. Ratings used in the weighted average are from Moody's Investors Service, Inc., or S&P where Moody's ratings are not available. All ratings are as of the report date and do not reflect subsequent changes. |
(l) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. |
(m) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. A complete unaudited schedule of portfolio holdings for each Fidelity Central Fund is filed with the SEC for the first and third quarters of each fiscal year on Form N-Q and is available upon request or at the SEC's web site at www.sec.gov. An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro rata share of securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com 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. |
(n) Security represents right to receive monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool held as of the end of the period. |
(o) 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 $21,560 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 - 12/4/09 | $ 173,625 |
(p) 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 $15,551,578. |
# Additional information on each counterparty to the repurchase agreement is as follows: |
Repurchase Agreement / Counterparty | Value |
$2,581,000 due 9/01/10 at 0.24% | |
BNP Paribas Securities Corp. | $ 1,127,902 |
Banc of America Securities LLC | 422,807 |
Barclays Capital, Inc. | 1,030,291 |
| $ 2,581,000 |
$876,912,000 due 9/01/10 at 0.25% | |
Banc of America Securities LLC | $ 68,271,436 |
Bank of America NA | 102,475,505 |
Barclays Capital, Inc. | 204,951,010 |
Goldman, Sachs & Co. | 34,158,502 |
Merrill Lynch Government Securities, Inc. | 61,485,303 |
Mizuho Securities USA, Inc. | 273,268,013 |
Morgan Stanley & Co., Inc. | 132,302,231 |
| $ 876,912,000 |
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 Corporate Bond 1-10 Year Central Fund | $ 27,280,334 |
Fidelity Floating Rate Central Fund | 20,956,866 |
Fidelity Mortgage Backed Securities Central Fund | 53,271,481 |
Total | $ 101,508,681 |
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 Corporate Bond 1-10 Year Central Fund | $ 808,744,111 | $ - | $ 670,840,313 | $ 176,393,059 | 8.5% |
Fidelity Floating Rate Central Fund | 578,953,113 | 20,956,660 | 250,173,437 | 392,753,749 | 14.8% |
Fidelity Mortgage Backed Securities Central Fund | 1,508,325,013 | 353,412,622 | 430,225,830 | 1,486,994,027 | 21.2% |
Total | $ 2,896,022,237 | $ 374,369,282 | $ 1,351,239,580 | $ 2,056,140,835 |
Other Information |
The following is a summary of the inputs used, as of August 31, 2010, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the tables below, please refer to the 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: | ||||
Financials | $ 1,685,115 | $ - | $ 1,685,100 | $ 15 |
Utilities | 1,320,138 | - | 1,320,138 | - |
Corporate Bonds | 3,120,582,606 | - | 3,120,265,958 | 316,648 |
U.S. Government and Government Agency Obligations | 4,441,146,628 | - | 4,441,146,628 | - |
U.S. Government Agency - Mortgage Securities | 1,627,350,349 | - | 1,627,350,349 | - |
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Asset-Backed Securities | $ 303,926,817 | $ - | $ 269,573,321 | $ 34,353,496 |
Collateralized Mortgage Obligations | 234,971,636 | - | 228,820,187 | 6,151,449 |
Commercial Mortgage Securities | 824,798,436 | - | 764,576,903 | 60,221,533 |
Municipal Securities | 28,217,216 | - | 28,217,216 | - |
Foreign Government and Government Agency Obligations | 219,732,390 | - | 219,335,364 | 397,026 |
Supranational Obligations | 1,428,783 | - | 1,428,783 | - |
Floating Rate Loans | 52,636,532 | - | 52,636,532 | - |
Sovereign Loan Participations | 1,638,525 | - | 1,638,525 | - |
Bank Notes | 948,961 | - | 948,961 | - |
Fixed-Income Funds | 2,056,140,835 | 2,056,140,835 | - | - |
Preferred Securities | 12,551,517 | - | 12,551,517 | - |
Cash Equivalents | 879,493,000 | - | 879,493,000 | - |
Total Investments in Securities: | $ 13,808,569,484 | $ 2,056,140,835 | $ 11,650,988,482 | $ 101,440,167 |
Derivative Instruments: | ||||
Assets | ||||
Swap Agreements | $ 2,787,700 | $ - | $ 2,787,700 | $ - |
Liabilities | ||||
Swap Agreements | $ (15,204,475) | $ - | $ (15,166,277) | $ (38,198) |
Total Derivative Instruments: | $ (12,416,775) | $ - | $ (12,378,577) | $ (38,198) |
Other Financial Instruments: | ||||
Forward Commitments | $ (120,538) | $ - | $ (120,538) | $ - |
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 | $ 98,697,672 |
Total Realized Gain (Loss) | 7,316,267 |
Total Unrealized Gain (Loss) | 16,728,361 |
Cost of Purchases | 2,703,957 |
Proceeds of Sales | (27,502,742) |
Amortization/Accretion | 2,961,937 |
Transfers in to Level 3 | 41,855,045 |
Transfers out of Level 3 | (41,320,330) |
Ending Balance | $ 101,440,167 |
The change in unrealized gain (loss) for the period attributable to Level 3 securities held at August 31, 2010 | $ 17,721,726 |
Derivative Instruments: | |
Swap Agreements | |
Beginning Balance | $ (45,410) |
Total Unrealized Gain (Loss) | 29,732 |
Transfers in to Level 3 | (22,520) |
Transfers out of Level 3 | - |
Ending Balance | $ (38,198) |
Realized gain (loss) on Swap Agreements for the period | $ (4,461) |
The change in unrealized gain (loss) for the period attributable to Level 3 Swap Agreements held at August 31, 2010 | $ 22,071 |
The information used in the above reconciliation represents fiscal year to date activity for any Investments in Securities and Derivative Instruments identified as using Level 3 inputs at either the beginning or the end of the current fiscal period. Transfers in or out of Level 3 represent the beginning value of any Security or Instrument where a change in the pricing level occurred from the beginning to the end of the period. The cost of purchases and the proceeds of sales may include securities received or delivered through corporate actions or exchanges. 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, 2010. 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) | $ - | $ (15,204,475) |
Interest Rate Risk | ||
Swap Agreements (a) | 2,787,700 | - |
Total Value of Derivatives | $ 2,787,700 | $ (15,204,475) |
(a) Value is disclosed on the Statement of Assets and Liabilities in the Unrealized Appreciation and Unrealized Depreciation on Swap Agreements line-items. |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Statements
Statement of Assets and Liabilities
| August 31, 2010 | |
Assets | ||
Investment in securities, at value (including repurchase agreements of $879,493,000) - See accompanying schedule: Unaffiliated issuers (cost $11,014,086,229) | $ 11,752,428,649 |
|
Fidelity Central Funds (cost $1,905,752,730) | 2,056,140,835 |
|
Total Investments (cost $12,919,838,959) |
| $ 13,808,569,484 |
Commitment to sell securities on a delayed delivery basis | (500,461,116) | |
Receivable for securities sold on a delayed delivery basis | 500,340,578 | (120,538) |
Cash | 2,793,790 | |
Receivable for investments sold |
| 155,744,374 |
Delayed delivery |
| 14,500,494 |
Receivable for swap agreements | 2,135 | |
Receivable for fund shares sold | 63,505,642 | |
Interest receivable | 81,510,849 | |
Distributions receivable from Fidelity Central Funds | 6,051,590 | |
Unrealized appreciation on swap agreements | 2,787,700 | |
Other receivables | 36,218 | |
Total assets | 14,135,381,738 | |
Liabilities | ||
Payable for investments purchased | $ 40,174,018 | |
Delayed delivery | 1,108,911,980 | |
Payable for swap agreements | 228,372 | |
Payable for fund shares redeemed | 76,477,417 | |
Distributions payable | 1,776,602 | |
Unrealized depreciation on swap agreements | 15,204,475 | |
Accrued management fee | 3,388,756 | |
Distribution and service plan fees payable | 272,037 | |
Other affiliated payables | 1,555,568 | |
Other payables and accrued expenses | 43,936 | |
Total liabilities | 1,248,033,161 | |
|
|
|
Net Assets | $ 12,887,348,577 | |
Net Assets consist of: |
| |
Paid in capital | $ 12,065,377,451 | |
Undistributed net investment income | 75,166,700 | |
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions | (130,766,682) | |
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies | 877,571,108 | |
Net Assets | $ 12,887,348,577 |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Statement of Assets and Liabilities - continued
| August 31, 2010 | |
|
|
|
Calculation of Maximum Offering Price Class A: | $ 11.05 | |
|
|
|
Maximum offering price per share (100/96.00 of $11.05) | $ 11.51 | |
Class T: | $ 11.04 | |
|
|
|
Maximum offering price per share (100/96.00 of $11.04) | $ 11.50 | |
Class B: | $ 11.06 | |
|
|
|
Class C: | $ 11.05 | |
|
|
|
Total Bond: | $ 11.05 | |
|
|
|
Class F: | $ 11.05 | |
|
|
|
Institutional Class: | $ 11.04 |
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
Financial Statements - continued
Statement of Operations
| Year ended August 31, 2010 | |
|
|
|
Investment Income |
|
|
Dividends |
| $ 1,447,432 |
Interest |
| 499,148,426 |
Income from Fidelity Central Funds |
| 101,508,681 |
Total income |
| 602,104,539 |
|
|
|
Expenses | ||
Management fee | $ 39,479,275 | |
Transfer agent fees | 13,428,905 | |
Distribution and service plan fees | 1,837,844 | |
Fund wide operations fee | 4,144,111 | |
Independent trustees' compensation | 43,022 | |
Miscellaneous | 48,966 | |
Total expenses before reductions | 58,982,123 | |
Expense reductions | (25,008) | 58,957,115 |
Net investment income | 543,147,424 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: |
|
|
Unaffiliated issuers | 279,900,028 | |
Fidelity Central Funds | 48,993,088 |
|
Foreign currency transactions | (285) | |
Swap agreements | 80,891,641 |
|
Total net realized gain (loss) |
| 409,784,472 |
Change in net unrealized appreciation (depreciation) on: Investment securities | 569,937,448 | |
Assets and liabilities in foreign currencies | 2,249 | |
Swap agreements | (63,704,363) | |
Delayed delivery commitments | 1,541,434 |
|
Total change in net unrealized appreciation (depreciation) |
| 507,776,768 |
Net gain (loss) | 917,561,240 | |
Net increase (decrease) in net assets resulting from operations | $ 1,460,708,664 |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Statement of Changes in Net Assets
| Year ended | Year ended |
Increase (Decrease) in Net Assets |
|
|
Operations |
|
|
Net investment income | $ 543,147,424 | $ 552,729,690 |
Net realized gain (loss) | 409,784,472 | (524,000,402) |
Change in net unrealized appreciation (depreciation) | 507,776,768 | 750,351,058 |
Net increase (decrease) in net assets resulting | 1,460,708,664 | 779,080,346 |
Distributions to shareholders from net investment income | (513,099,556) | (503,411,775) |
Distributions to shareholders from net realized gain | (40,443,047) | (71,517,925) |
Total distributions | (553,542,603) | (574,929,700) |
Share transactions - net increase (decrease) | 9,934,978 | 684,114,730 |
Total increase (decrease) in net assets | 917,101,039 | 888,265,376 |
|
|
|
Net Assets | ||
Beginning of period | 11,970,247,538 | 11,081,982,162 |
End of period (including undistributed net investment income of $75,166,700 and undistributed net investment income of $60,445,769, respectively) | $ 12,887,348,577 | $ 11,970,247,538 |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Class A
Years ended August 31, | 2010 | 2009 | 2008 | 2007 | 2006 I | 2006 K |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 10.28 | $ 10.07 | $ 10.27 | $ 10.39 | $ 10.28 | $ 10.57 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income E | .428 | .494 | .488 | .508 | .043 | .476 |
Net realized and unrealized gain (loss) | .778 | .231 | (.189) | (.141) | .105 | (.294) H |
Total from investment operations | 1.206 | .725 | .299 | .367 | .148 | .182 |
Distributions from net investment income | (.402) | (.447) | (.474) | (.470) | (.038) | (.432) |
Distributions from net realized gain | (.034) | (.068) | (.025) | (.017) | - | (.040) |
Total distributions | (.436) | (.515) | (.499) | (.487) | (.038) | (.472) |
Net asset value, end of period | $ 11.05 | $ 10.28 | $ 10.07 | $ 10.27 | $ 10.39 | $ 10.28 |
Total Return B, C, D | 11.97% | 7.79% | 2.93% | 3.57% | 1.44% | 1.78% |
Ratios to Average Net Assets F, J |
|
|
|
|
| |
Expenses before reductions | .82% | .80% | .80% | .77% | .73% A | .79% |
Expenses net of fee waivers, if any | .82% | .80% | .80% | .77% | .73% A | .79% |
Expenses net of all reductions | .82% | .80% | .80% | .77% | .73% A | .79% |
Net investment income | 4.00% | 5.17% | 4.77% | 4.93% | 4.98% A | 4.61% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 805,816 | $ 107,998 | $ 80,755 | $ 48,076 | $ 6,780 | $ 4,545 |
Portfolio turnover rate G | 130% | 104% L | 122% | 116% L | 53% A | 99% |
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 reductions from 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. 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, | 2010 | 2009 | 2008 | 2007 | 2006 I | 2006 K |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 10.27 | $ 10.06 | $ 10.26 | $ 10.38 | $ 10.27 | $ 10.56 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income E | .426 | .488 | .489 | .508 | .042 | .466 |
Net realized and unrealized gain (loss) | .778 | .233 | (.191) | (.143) | .105 | (.296) H |
Total from investment operations | 1.204 | .721 | .298 | .365 | .147 | .170 |
Distributions from net investment income | (.400) | (.443) | (.473) | (.468) | (.037) | (.420) |
Distributions from net realized gain | (.034) | (.068) | (.025) | (.017) | - | (.040) |
Total distributions | (.434) | (.511) | (.498) | (.485) | (.037) | (.460) |
Net asset value, end of period | $ 11.04 | $ 10.27 | $ 10.06 | $ 10.26 | $ 10.38 | $ 10.27 |
Total Return B, C, D | 11.97% | 7.74% | 2.92% | 3.55% | 1.43% | 1.66% |
Ratios to Average Net Assets F, J |
|
|
|
|
| |
Expenses before reductions | .82% | .85% | .81% | .78% | .87% A | .91% |
Expenses net of fee waivers, if any | .82% | .85% | .81% | .78% | .87% A | .90% |
Expenses net of all reductions | .82% | .85% | .80% | .78% | .87% A | .90% |
Net investment income | 4.01% | 5.12% | 4.76% | 4.92% | 4.84% A | 4.50% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 71,349 | $ 48,090 | $ 38,574 | $ 42,191 | $ 6,293 | $ 4,583 |
Portfolio turnover rate G | 130% | 104% L | 122% | 116% L | 53% A | 99% |
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 reductions from 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. 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, | 2010 | 2009 | 2008 | 2007 | 2006 I | 2006 K |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 10.28 | $ 10.07 | $ 10.27 | $ 10.39 | $ 10.28 | $ 10.57 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income E | .351 | .423 | .413 | .432 | .037 | .399 |
Net realized and unrealized gain (loss) | .787 | .233 | (.190) | (.145) | .104 | (.296) H |
Total from investment operations | 1.138 | .656 | .223 | .287 | .141 | .103 |
Distributions from net investment income | (.324) | (.378) | (.398) | (.390) | (.031) | (.353) |
Distributions from net realized gain | (.034) | (.068) | (.025) | (.017) | - | (.040) |
Total distributions | (.358) | (.446) | (.423) | (.407) | (.031) | (.393) |
Net asset value, end of period | $ 11.06 | $ 10.28 | $ 10.07 | $ 10.27 | $ 10.39 | $ 10.28 |
Total Return B, C, D | 11.26% | 7.01% | 2.17% | 2.77% | 1.38% | 1.01% |
Ratios to Average Net Assets F, J |
|
|
|
|
| |
Expenses before reductions | 1.53% | 1.53% | 1.54% | 1.53% | 1.51% A | 1.59% |
Expenses net of fee waivers, if any | 1.53% | 1.53% | 1.54% | 1.53% | 1.51% A | 1.55% |
Expenses net of all reductions | 1.53% | 1.53% | 1.54% | 1.53% | 1.51% A | 1.55% |
Net investment income | 3.29% | 4.44% | 4.03% | 4.17% | 4.22% A | 3.85% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 13,017 | $ 9,054 | $ 9,645 | $ 6,054 | $ 1,720 | $ 1,667 |
Portfolio turnover rate G | 130% | 104% L | 122% | 116% L | 53% A | 99% |
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 reductions from 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. 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, | 2010 | 2009 | 2008 | 2007 | 2006 I | 2006 K |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 10.28 | $ 10.07 | $ 10.27 | $ 10.39 | $ 10.28 | $ 10.57 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income E | .354 | .425 | .413 | .429 | .036 | .389 |
Net realized and unrealized gain (loss) | .778 | .232 | (.189) | (.145) | .105 | (.293) H |
Total from investment operations | 1.132 | .657 | .224 | .284 | .141 | .096 |
Distributions from net investment income | (.328) | (.379) | (.399) | (.387) | (.031) | (.346) |
Distributions from net realized gain | (.034) | (.068) | (.025) | (.017) | - | (.040) |
Total distributions | (.362) | (.447) | (.424) | (.404) | (.031) | (.386) |
Net asset value, end of period | $ 11.05 | $ 10.28 | $ 10.07 | $ 10.27 | $ 10.39 | $ 10.28 |
Total Return B, C, D | 11.20% | 7.02% | 2.18% | 2.75% | 1.37% | .94% |
Ratios to Average Net Assets F, J |
|
|
|
|
| |
Expenses before reductions | 1.50% | 1.52% | 1.53% | 1.55% | 1.60% A | 1.62% |
Expenses net of fee waivers, if any | 1.50% | 1.52% | 1.53% | 1.55% | 1.60% A | 1.62% |
Expenses net of all reductions | 1.50% | 1.52% | 1.53% | 1.55% | 1.60% A | 1.62% |
Net investment income | 3.32% | 4.45% | 4.03% | 4.15% | 4.13% A | 3.78% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 91,439 | $ 55,958 | $ 28,786 | $ 18,890 | $ 2,106 | $ 1,770 |
Portfolio turnover rate G | 130% | 104% L | 122% | 116% L | 53% A | 99% |
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 reductions from 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. 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, | 2010 | 2009 | 2008 | 2007 | 2006 H | 2006 J |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 10.28 | $ 10.07 | $ 10.27 | $ 10.39 | $ 10.28 | $ 10.57 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income D | .466 | .527 | .524 | .543 | .046 | .506 |
Net realized and unrealized gain (loss) | .778 | .232 | (.189) | (.143) | .105 | (.290) G |
Total from investment operations | 1.244 | .759 | .335 | .400 | .151 | .216 |
Distributions from net investment income | (.440) | (.481) | (.510) | (.503) | (.041) | (.466) |
Distributions from net realized gain | (.034) | (.068) | (.025) | (.017) | - | (.040) |
Total distributions | (.474) | (.549) | (.535) | (.520) | (.041) | (.506) |
Net asset value, end of period | $ 11.05 | $ 10.28 | $ 10.07 | $ 10.27 | $ 10.39 | $ 10.28 |
Total Return B, C | 12.37% | 8.17% | 3.29% | 3.89% | 1.46% | 2.11% |
Ratios to Average Net Assets E, I |
|
|
|
|
| |
Expenses before reductions | .45% | .45% | .45% | .45% | .45% A | .45% |
Expenses net of fee waivers, if any | .45% | .45% | .45% | .45% | .45% A | .45% |
Expenses net of all reductions | .45% | .45% | .45% | .45% | .45% A | .45% |
Net investment income | 4.37% | 5.52% | 5.12% | 5.25% | 5.26% A | 4.95% |
Supplemental Data |
|
|
|
|
| |
Net assets, end of period (000 omitted) | $ 11,342,385 | $ 10,863,828 | $ 9,976,432 | $ 6,450,177 | $ 2,421,077 | $ 2,306,817 |
Portfolio turnover rate F | 130% | 104% K | 122% | 116% K | 53% A | 99% |
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 reductions from 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. 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
Years ended August 31, | 2010 | 2009 G |
Selected Per-Share Data |
|
|
Net asset value, beginning of period | $ 10.27 | $ 9.89 |
Income from Investment Operations |
|
|
Net investment income D | .476 | .100 |
Net realized and unrealized gain (loss) | .788 | .359 |
Total from investment operations | 1.264 | .459 |
Distributions from net investment income | (.450) | (.079) |
Distributions from net realized gain | (.034) | - |
Total distributions | (.484) | (.079) |
Net asset value, end of period | $ 11.05 | $ 10.27 |
Total Return B, C | 12.59% | 4.64% |
Ratios to Average Net Assets E, H |
|
|
Expenses before reductions | .35% | .35% A |
Expenses net of fee waivers, if any | .35% | .35% A |
Expenses net of all reductions | .35% | .35% A |
Net investment income | 4.47% | 5.79% A |
Supplemental Data |
|
|
Net assets, end of period (000 omitted) | $ 53,956 | $ 329 |
Portfolio turnover rate F | 130% | 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 reductions from 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, | 2010 | 2009 | 2008 | 2007 | 2006 H | 2006 J |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 10.26 | $ 10.06 | $ 10.26 | $ 10.38 | $ 10.27 | $ 10.57 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income D | .458 | .518 | .516 | .527 | .045 | .493 |
Net realized and unrealized gain (loss) | .788 | .224 | (.186) | (.134) | .105 | (.294) G |
Total from investment operations | 1.246 | .742 | .330 | .393 | .150 | .199 |
Distributions from net investment income | (.432) | (.474) | (.505) | (.496) | (.040) | (.459) |
Distributions from net realized gain | (.034) | (.068) | (.025) | (.017) | - | (.040) |
Total distributions | (.466) | (.542) | (.530) | (.513) | (.040) | (.499) |
Net asset value, end of period | $ 11.04 | $ 10.26 | $ 10.06 | $ 10.26 | $ 10.38 | $ 10.27 |
Total Return B, C | 12.41% | 7.99% | 3.24% | 3.83% | 1.46% | 1.95% |
Ratios to Average Net Assets E, I |
|
|
|
|
| |
Expenses before reductions | .52% | .53% | .51% | .50% | .54% A | .56% |
Expenses net of fee waivers, if any | .52% | .53% | .51% | .50% | .54% A | .56% |
Expenses net of all reductions | .52% | .53% | .51% | .49% | .54% A | .56% |
Net investment income | 4.30% | 5.45% | 5.06% | 5.21% | 5.16% A | 4.84% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 509,388 | $ 884,991 | $ 947,791 | $ 348,636 | $ 1,058 | $ 933 |
Portfolio turnover rate F | 130% | 104% K | 122% | 116% K | 53% A | 99% |
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 reductions from 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. 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, 2010
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. The Fund offers Class A, Class T, Class C, Total Bond, Class F, and Institutional Class shares, each of which has equal rights as to assets and voting privileges. Effective after the close of business on September 1, 2010, Class B shares were closed to new accounts and additional purchases by existing shareholders. 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. Subsequent to period end, all Class F shares were redeemed and the Fund no longer offers Class F shares to investors.
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 Funds 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 | FMR Co., Inc. (FMRC) | Seeks a high level of income by normally investing in floating rate loans and other floating rate securities. | Loans & Direct Debt 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 each Fund, which presents direct holdings as well as the pro-rata share of any securities and other investments held indirectly through each fund's 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 Securities and Exchange Commission (the SEC) web site at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including security valuation policies) of those funds, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC 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 (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. 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. When current market prices or quotations are not readily available or reliable, valuations may be determined in good faith in accordance with procedures adopted by the Board of Trustees. Factors used in determining value may include market or security specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The value used for net asset value (NAV) calculation under these procedures may differ from published prices for the same securities.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below.
Level 1 - quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the fund's own assumptions based on the best information available)
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level, as of August 31, 2010, for the Fund's investments as well as a roll forward of Level 3 securities, is included at the end of the Fund's Schedule of Investments. Valuation techniques used to value the Fund's investments by major category are as follows.
Debt securities, including restricted securities, are valued based on evaluated prices received from independent pricing services or from dealers who make markets in such securities. For corporate bonds, bank notes, foreign government and government agency obligations, preferred securities, supranational obligations, and U.S. government and government agency obligations, pricing services utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices and are generally categorized as Level 2 in the hierarchy. For asset backed securities, collateralized mortgage obligations, commercial mortgage securities, and U.S. government agency mortgage securities, pricing services utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices and, accordingly, such securities are generally categorized as Level 2 in the hierarchy. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates fair value and are categorized as Level 2 in the hierarchy.
Annual Report
Notes to Financial Statements - continued
3. Significant Accounting Policies - continued
Security Valuation - continued
Swaps are marked-to-market daily based on valuations from independent pricing services or dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Pricing services utilize matrix pricing which considers comparisons to interest rate curves, credit spread curves, default possibilities and recovery rates and, as a result, swaps are generally categorized as Level 2 in the hierarchy.
When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing matrices which consider similar factors that would be used by independent pricing services. These are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by an independent pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when significant market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-traded funds (ETFs) and certain indexes as well as quoted prices for similar securities are used and are categorized as Level 2 in the hierarchy in these circumstances. Utilizing these techniques may result in transfers between Level 1 and Level 2. For restricted securities and private placements where observable inputs are limited, assumptions about market activity and risk are used and are categorized as Level 3 in the hierarchy.
Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day and are categorized as Level 1 in the hierarchy.
Foreign Currency. The Fund uses foreign currency contracts to facilitate transactions in foreign-denominated securities. Gains and 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.
Annual Report
3. Significant Accounting Policies - continued
Foreign Currency - continued
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 is accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt 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. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.
Expenses. Most expenses of the Trust can be directly attributed to a fund. Expenses which cannot be directly attributed are apportioned amongst 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 may elect to defer receipt of a 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.
Annual Report
Notes to Financial Statements - continued
3. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders. Each year the Fund intends to qualify as a regulated investment company, including 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. As of August 31, 2010, the Fund did not have any 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 GAAP. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.
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, market discount, 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 federal tax cost of investment securities and unrealized appreciation (depreciation) as of period end were as follows:
Gross unrealized appreciation | $ 744,249,147 |
Gross unrealized depreciation | (68,126,956) |
Net unrealized appreciation (depreciation) | $ 676,122,191 |
|
|
Tax Cost | $ 13,132,447,293 |
The tax-based components of distributable earnings as of period end were as follows:
Undistributed ordinary income | $ 157,504,730 |
|
|
Net unrealized appreciation (depreciation) | $ 664,502,979 |
The tax character of distributions paid was as follows:
| August 31, 2010 | August 31, 2009 |
Ordinary Income | $ 553,542,603 | $ 574,929,700 |
Annual Report
4. Operating Policies.
Repurchase Agreements. Fidelity Management & Research Company (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 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 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.
Annual Report
Notes to Financial Statements - continued
4. Operating Policies - continued
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. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund uses derivative instruments (derivatives), including swap agreements, in order to meet its investment objectives. The strategy is to use derivatives to increase returns, to gain exposure to certain types of assets and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.
The Fund's use of derivatives may increase or decrease its exposure to the following risks:
Credit Risk | Credit risk relates to the ability of the issuer to a financial instrument 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 relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates. |
The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to sell the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain over-the-counter derivatives, the Fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association (ISDA) Master Agreement on a bilateral basis with each of its counterparties. The ISDA Master Agreement gives each counterparty the right to terminate all transactions traded under such agreement if there is a certain deterioration in the credit quality of the other party. The ISDA Master Agreement gives the Fund the right, upon an event of default by the applicable counterparty or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk, the Fund offsets certain payables and/or receivables with collateral. Collateral, in the form of cash or securities, may be required
Annual Report
5. Derivative Instruments - continued
Risk Exposures and the Use of Derivative Instruments - continued
to be held in segregated accounts with the Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the swap counterparty and the Fund's custodian bank and, if required, is identified in the Schedule of Investments. The Fund could experience delays and costs in gaining access to the collateral even though it is held by the Fund's custodian bank. The Fund's maximum risk of loss from counterparty credit risk is generally the aggregate unrealized appreciation and unpaid counterparty fees in excess of any collateral pledged by the counterparty to the Fund. Risk of loss may exceed the amounts recognized in the Statement of Assets and Liabilities.
Net Realized Gain (Loss) and Change in Net Unrealized Appreciation (Depreciation) on Derivatives. The table below, which reflects the impacts of derivatives on the financial performance of the Fund, summarizes the net realized gain (loss) and change in net unrealized appreciation (depreciation) for derivatives during the period.
Risk Exposure / Derivative Type | Net Realized Gain | Change in Net |
Credit Risk |
|
|
Swap Agreements | $ (3,737,085) | $ 4,285,807 |
Interest Rate Risk |
|
|
Swap Agreements | 84,628,726 | (67,990,170) |
Totals (a) | $ 80,891,641 | $ (63,704,363) |
(a) A summary of the value of derivatives by risk exposure as of period end, if any, is included at the end of the Schedule of Investments and is representative of activity for the period.
Swap Agreements. A swap agreement (swap) is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount.
Details of swaps open at period end, if any, are included in the Schedule of Investments under the caption "Swap Agreements." Swaps are marked-to-market daily and changes in value are recorded as unrealized appreciation or (depreciation) and reflected in the Statement of Assets and Liabilities. Any upfront payments made or received upon entering a swap to compensate for differences between stated terms of the agreement and prevailing market conditions (e.g. credit spreads, interest rates or other factors) are recorded as realized gain or (loss) ratably over the term of the swap. Payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gain or (loss). Realized gain or (loss) is also recorded in the event of an early termination of a swap. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on swaps during the period is included in the Statement of Operations.
Annual Report
Notes to Financial Statements - continued
5. Derivative Instruments - continued
Swap Agreements - continued
Risks of loss may include credit risk and interest rate risk. 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.
Interest Rate Swaps. Interest rate swaps are agreements between counterparties to exchange cash flows, one based on a fixed rate, and the other on a floating rate. The Fund entered into interest rate swaps to manage its exposure to interest rate changes. Changes in interest rates can have an effect on both the value of 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.
Credit Default Swaps. Credit default swaps enable the Fund to buy or sell protection on a debt security or a basket of securities against a defined credit event. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller acts as a guarantor of the creditworthiness of a reference obligation. The Fund entered into credit default swaps as a seller to gain credit exposure to an issuer and/or as a buyer to provide a measure of protection against defaults of an issuer. The issuer may be either a single issuer or a "basket" of issuers. Periodic payments are made over the life of the contract provided that no credit event occurs.
For credit default swaps on most corporate and sovereign issuers, credit events include bankruptcy, failure to pay, obligation acceleration or repudiation/moratorium. For credit default swaps on corporate or sovereign issuers, the obligation that may be put to the seller is not limited to the specific reference obligation described in the 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 write-down. For credit default swaps on asset-backed securities, the reference obligation described represents the security that may be put to the seller.
As a seller, if an underlying credit event occurs, the Fund will either pay the buyer an amount equal to the notional amount of the swap and take delivery of the reference obligation or underlying securities comprising an index or pay a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index.
As a buyer, if an underlying credit event occurs, the Fund will either receive from the seller an amount equal to the notional amount of the swap and deliver the reference obligation or underlying securities comprising an index or receive a net settlement
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5. Derivative Instruments - continued
Credit Default Swaps - continued
amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index.
Typically, the value of each credit default swap and credit rating disclosed for each reference obligation in the Schedule of Investments, where the Fund is the seller, can be used as measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. Any current or future declines in the value of the swap may be partially offset by upfront payments received by the Fund as the seller, if applicable. In addition to these measures, FMR monitors a variety of factors including cash flow assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/performance risk.
The notional amount of credit default swaps is included in the 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 and a credit event were to occur. The total notional amount of all credit default swaps open at period end where the Fund is the seller amounted to $16,229,229 representing .13% of net assets.
6. Purchases and Sales of Investments.
Purchases and sales of securities, including the Fixed-Income Central Funds, other than short-term securities and U.S. government securities, aggregated $2,490,412,485 and $3,992,359,170, 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.
Distribution and Service Plan Fees. 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,
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Notes to Financial Statements - continued
7. Fees and Other Transactions with Affiliates - continued
Distribution and Service Plan Fees - continued
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 | .00% | .25% | $ 849,181 | $ - |
Class T | .00% | .25% | 137,799 | - |
Class B | .65% | .25% | 94,670 | 71,003 |
Class C | .75% | .25% | 756,194 | 193,353 |
|
|
| $ 1,837,844 | $ 264,356 |
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% 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 | $ 33,422 |
Class T | 7,769 |
Class B* | 18,755 |
Class C* | 10,604 |
| $ 70,550 |
* 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. FIIOC receives an asset-based fee of .10% of Total Bond's average net assets. FIIOC receives no fees for providing transfer agency services to Class F. FIIOC pays for typesetting, printing and
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7. Fees and Other Transactions with Affiliates - continued
Transfer Agent Fees - continued
mailing of shareholder reports, except proxy statements. For the period, each class paid the following transfer agent fees:
| Amount | % of |
Class A | $ 757,037 | .22 |
Class T | 120,890 | .22 |
Class B | 29,768 | .28 |
Class C | 112,400 | .15 |
Total Bond | 11,262,275 | .10 |
Institutional Class | 1,146,535 | .17 |
| $ 13,428,905 |
|
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. Committed Line of Credit.
The Fund participates with other funds managed by FMR or an affiliate in a $3.75 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 $48,966 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, there were no borrowings on this line of credit.
9. 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
Annual Report
Notes to Financial Statements - continued
9. Security Lending - continued
delivered to the Fund on the next business day. If the borrower defaults on its obligation 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. At period end, there were no security loans outstanding. 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 $119,277.
10. Expense Reductions.
Through arrangements with the Fund's custodian, 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 expenses by $25,008.
11. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Years ended August 31, | 2010 | 2009 A |
From net investment income |
|
|
Class A | $ 12,047,548 | $ 3,847,702 |
Class T | 2,077,349 | 1,872,372 |
Class B | 318,564 | 334,350 |
Class C | 2,301,111 | 1,445,182 |
Total Bond | 466,064,893 | 454,620,480 |
Class F | 3,199,988 | 2,418 |
Institutional Class | 27,090,103 | 41,289,271 |
Total | $ 513,099,556 | $ 503,411,775 |
From net realized gain |
|
|
Class A | $ 414,764 | $ 551,756 |
Class T | 166,992 | 276,592 |
Class B | 32,729 | 67,464 |
Class C | 224,151 | 216,528 |
Total Bond | 37,012,590 | 64,472,390 |
Class F | 328,077 | - |
Institutional Class | 2,263,744 | 5,933,195 |
Total | $ 40,443,047 | $ 71,517,925 |
A Distributions for Class F are for the period June 26, 2009 (commencement of sale of shares) to August 31, 2010.
Annual Report
12. Share Transactions.
Transactions for each class of shares were as follows:
| Shares | Dollars | ||
Years ended August 31, | 2010 | 2009 A | 2010 | 2009 A |
Class A |
|
|
|
|
Shares sold | 81,938,740 | 5,984,791 | $ 881,456,370 | $ 57,444,987 |
Reinvestment of distributions | 1,085,950 | 406,888 | 11,735,735 | 3,861,183 |
Shares redeemed | (20,631,216) | (3,902,315) | (224,850,719) | (36,894,839) |
Net increase (decrease) | 62,393,474 | 2,489,364 | $ 668,341,386 | $ 24,411,331 |
Class T |
|
|
|
|
Shares sold | 5,482,327 | 2,362,273 | $ 59,090,633 | $ 22,525,326 |
Reinvestment of distributions | 193,214 | 212,303 | 2,057,888 | 2,007,899 |
Shares redeemed | (3,897,766) | (1,724,975) | (41,737,610) | (16,315,286) |
Net increase (decrease) | 1,777,775 | 849,601 | $ 19,410,911 | $ 8,217,939 |
Class B |
|
|
|
|
Shares sold | 634,184 | 554,201 | $ 6,787,446 | $ 5,314,152 |
Reinvestment of distributions | 24,969 | 28,612 | 266,359 | 270,597 |
Shares redeemed | (362,539) | (659,643) | (3,860,818) | (6,193,443) |
Net increase (decrease) | 296,614 | (76,830) | $ 3,192,987 | $ (608,694) |
Class C |
|
|
|
|
Shares sold | 5,045,673 | 4,153,350 | $ 53,748,889 | $ 39,736,399 |
Reinvestment of distributions | 208,443 | 152,104 | 2,222,830 | 1,446,118 |
Shares redeemed | (2,426,055) | (1,718,977) | (25,927,799) | (16,256,813) |
Net increase (decrease) | 2,828,061 | 2,586,477 | $ 30,043,920 | $ 24,925,704 |
Total Bond |
|
|
|
|
Shares sold | 422,908,452 | 373,151,213 | $ 4,503,077,533 | $ 3,605,197,725 |
Reinvestment of distributions | 45,440,114 | 53,605,881 | 483,982,145 | 507,857,810 |
Shares redeemed | (499,273,762) | (360,364,229) | (5,322,918,715) | (3,408,960,293) |
Net increase (decrease) | (30,925,196) | 66,392,865 | $ (335,859,037) | $ 704,095,242 |
Class F |
|
|
|
|
Shares sold | 22,658,279 | 33,569 | $ 240,489,270 | $ 332,941 |
Reinvestment of distributions | 330,686 | 236 | 3,528,064 | 2,418 |
Shares redeemed | (18,138,196) | (1,783) | (194,727,472) | (18,285) |
Net increase (decrease) | 4,850,769 | 32,022 | $ 49,289,862 | $ 317,074 |
Annual Report
Notes to Financial Statements - continued
12. Share Transactions - continued
| Shares | Dollars | ||
Years ended August 31, | 2010 | 2009 A | 2010 | 2009 A |
Institutional Class |
|
|
|
|
Shares sold | 7,672,038 | 13,719,215 | $ 81,533,429 | $ 128,522,571 |
Reinvestment of distributions | 2,731,098 | 4,940,454 | 29,005,332 | 46,673,580 |
Shares redeemed | (50,480,446) | (26,671,015) | (535,023,812) | (252,440,017) |
Net increase (decrease) | (40,077,310) | (8,011,346) | $ (424,485,051) | $ (77,243,866) |
A Share transactions for Class F are for the period June 26, 2009 (commencement of sale of shares) to August 31, 2010.
13. 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.
14. Credit Risk.
The Fund invests a portion of its assets 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, 2010, 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, 2010 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
PricewaterhouseCoopers LLP
Boston, Massachusetts
October 22, 2010
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, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance. Except for James C. Curvey, each of the Trustees oversees 189 funds advised by FMR or an affiliate. Mr. Curvey oversees 410 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 75th 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.
Experience, Skills, Attributes, and Qualifications of the Fund's Trustees. The Governance and Nominating Committee has adopted a statement of policy that describes the experience, qualifications, attributes, and skills that are necessary and desirable for potential Independent Trustee candidates (Statement of Policy). The Board believes that each Trustee satisfied at the time he or she was initially elected or appointed a Trustee, and continues to satisfy, the standards contemplated by the Statement of Policy. The Governance and Nominating Committee also engages professional search firms to help identify potential Independent Trustee candidates who have the experience, qualifications, attributes, and skills consistent with the Statement of Policy. From time to time, additional criteria based on the composition and skills of the current Independent Trustees, as well as experience or skills that may be appropriate in light of future changes to board composition, business conditions, and regulatory or other developments, have also been considered by the professional search firms and the Governance and Nominating Committee. In addition, the Board takes into account the Trustees' commitment and participation in Board and committee meetings, as well as their leadership of standing and ad hoc committees throughout their tenure.
In determining that a particular Trustee was and continues to be qualified to serve as a Trustee, the Board has considered a variety of criteria, none of which, in isolation, was controlling. The Board believes that, collectively, the Trustees have balanced and diverse experience, qualifications, attributes, and skills, which allow the Board to operate effectively in governing the fund and protecting the interests of shareholders. Information about the specific experience, skills, attributes, and qualifications of each Trustee, which in each case led to the Board's conclusion that the Trustee should serve (or continue to serve) as a trustee of the fund, is provided below.
Annual Report
Board Structure and Oversight Function. Abigail P. Johnson is an interested person (as defined in the 1940 Act) and currently serves as Chairman. The Trustees have determined that an interested Chairman is appropriate and benefits shareholders because an interested Chairman has a personal and professional stake in the quality and continuity of services provided to the fund. Independent Trustees exercise their informed business judgment to appoint an individual of their choosing to serve as Chairman, regardless of whether the Trustee happens to be independent or a member of management. The Independent Trustees have determined that they can act independently and effectively without having an Independent Trustee serve as Chairman and that a key structural component for assuring that they are in a position to do so is for the Independent Trustees to constitute a substantial majority for the Board. The Independent Trustees also regularly meet in executive session. Kenneth L. Wolfe serves as Chairman of the Independent Trustees and as such (i) acts as a liaison between the Independent Trustees and management with respect to matters important to the Independent Trustees and (ii) with management prepares agendas for Board meetings.
Fidelity funds are overseen by different Boards of Trustees. The fund's Board oversees Fidelity's investment-grade bond, money market, and asset allocation funds and another Board oversees Fidelity's equity and high income funds. The asset allocation funds may invest in Fidelity funds that are overseen by such other Board. The use of separate Boards, each with its own committee structure, allows the Trustees of each group of Fidelity funds to focus on the unique issues of the funds they oversee, including common research, investment, and operational issues. On occasion, the separate Boards establish joint committees to address issues of overlapping consequences for the Fidelity funds overseen by each Board.
The Trustees operate using a system of committees to facilitate the timely and efficient consideration of all matters of importance to the Trustees, the fund, and fund shareholders and to facilitate compliance with legal and regulatory requirements and oversight of the fund's activities and associated risks. The Board, acting through its committees, has charged FMR and its affiliates with (i) identifying events or circumstances the occurrence of which could have demonstrably adverse effects on the fund's business and/or reputation; (ii) implementing processes and controls to lessen the possibility that such events or circumstances occur or to mitigate the effects of such events or circumstances if they do occur; and (iii) creating and maintaining a system designed to evaluate continuously business and market conditions in order to facilitate the identification and implementation processes described in (i) and (ii) above. Because the day-to-day operations and activities of the fund are carried out by or through FMR, its affiliates and other service providers, the fund's exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees. While each of the Board's committees has responsibility for overseeing different aspects of the fund's activities, oversight is exercised primarily through the Operations and Audit Committees. Appropriate personnel, including but not limited to the fund's Chief Compliance Officer (CCO), FMR's internal auditor, the independent accountants, the fund's Treasurer and portfolio management personnel, make periodic reports to the Board's committees, as appropriate. The responsibilities of each committee, including their oversight responsibilities, are described further under "Standing Committees of the Fund's Trustees."
Annual Report
Trustees and Officers - continued
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 Occupations and Other Relevant Experience+ | |
Abigail P. Johnson (48) | |
| 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, Workplace and Institutional Services (2005-present). Ms. Johnson is the Vice Chairman and Director (2007-present) of FMR LLC. Previously, Ms. Johnson served as President and a Director of FMR (2001-2005), a Trustee of other investment companies advised by FMR, Fidelity Investments Money Management, Inc., and FMR Co., Inc. (2001-2005), Senior Vice President of the Fidelity funds (2001-2005), and managed a number of Fidelity funds. Ms. Abigail P. Johnson and Mr. Arthur E. Johnson are not related. |
James C. Curvey (75) | |
| 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 Fidelity Investments Money Management, Inc. (2009-present), Director of Fidelity Research & Analysis Co. (2009-present) and Director of FMR and FMR Co., Inc. (2007-present). Mr. Curvey is also Vice Chairman (2007-present) and Director of FMR LLC. In addition, Mr. Curvey serves as an Overseer for the Boston Symphony Orchestra and a member of the Trustees of Villanova University. Previously, Mr. Curvey was the Vice Chairman (2006-2007) and Director (2000-2007) of FMR Corp. |
Annual Report
* 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.
+ The information above includes each Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to each Trustee's qualifications to serve as a Trustee, which led to the conclusion that each Trustee should serve as a Trustee for the fund.
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 Occupations and Other Relevant Experience+ | |
Albert R. Gamper, Jr. (68) | |
| 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 (2002-2003). He also served as President and Chief Executive Officer of Tyco Capital Corporation (2001-2002). Mr. Gamper currently serves as a member of the Board of Directors of Public Service Enterprise Group (utilities, 2000-present), 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). |
Robert F. Gartland (58) | |
| Year of Election or Appointment: 2010 Mr. Gartland is a partner and investor of Vietnam Partners LLC (investments and consulting, 2008-present) and is Chairman and an investor in Gartland and Mellina Group Corp. (consulting, 2009-present). Prior to his retirement, Mr. Gartland held a variety of positions at Morgan Stanley (financial services, 1979-2007) including Managing Director (1987-2007). |
Arthur E. Johnson (63) | |
| 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). Prior to his retirement, Mr. Johnson served as Senior Vice President of Corporate Strategic Development of Lockheed Martin Corporation (defense contractor, 1999-2009). He previously served on the Board of Directors of IKON Office Solutions, Inc. (1999-2008) and Delta Airlines (2005-2007). Mr. Arthur E. Johnson and Ms. Abigail P. Johnson are not related. |
Michael E. Kenneally (56) | |
| Year of Election or Appointment: 2009 Previously, Mr. Kenneally served as a Member of the Advisory Board for certain Fidelity Fixed Income and Asset Allocation Funds (2008-2009). Prior to his retirement, 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 funds, 2004-2008) and certain other closed-end funds (2004-2005) and was awarded the Chartered Financial Analyst (CFA) designation in 1991. |
James H. Keyes (69) | |
| 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, since 2002) and Pitney Bowes, Inc. (integrated mail, messaging, and document management solutions, since 1998). Prior to his retirement, Mr. Keyes served as Chairman and Chief Executive Officer of Johnson Controls (automotive, building, and energy, 1998-2002) and as a member of the Board of LSI Logic Corporation (semiconductor technologies, 1984-2008). |
Marie L. Knowles (63) | |
| 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 and Chairman of the Audit Committee of McKesson Corporation (healthcare service, since 2002). 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 (71) | |
| Year of Election or Appointment: 2005 Mr. Wolfe is Chairman of the Independent Trustees of the Fixed Income and Asset Allocation Funds (2008-present). Prior to his retirement, Mr. Wolfe served as Chairman and a Director (2007-2009) and Chairman and Chief Executive Officer (1994-2001) of Hershey Foods Corporation. He also served as a member of the Boards of Adelphia Communications Corporation (telecommunications, 2003-2006), Bausch & Lomb, Inc. (medical/pharmaceutical, 1993-2007), and Revlon, Inc. (personal care products, 2004-2009). |
+ The information above includes each Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to each Trustee's qualifications to serve as a Trustee, which led to the conclusion that each Trustee should serve as a Trustee for the fund.
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 (52) | |
| Year of Election or Appointment: 2008 President and Treasurer of Fidelity's Fixed Income and Asset Allocation Funds. Mr. Hebble also serves as Treasurer and Chief Financial Officer of The North Carolina Capital Management Trust: Cash and Term Portfolio (2008-present), Assistant Treasurer of other Fidelity funds (2009-present) and is an employee of Fidelity Investments. |
Boyce I. Greer (54) | |
| Year of Election or Appointment: 2005 Vice President of Fidelity's Fixed Income Funds and Asset Allocation Funds (2005). Mr. Greer is also a Trustee of other investment companies advised by FMR. Mr. Greer is President of The North Carolina Capital Management Trust: Cash and Term Portfolio (2003-present), the Asset Allocation Division (2008-present), President and a Director of Strategic Advisers, Inc. (2008-present), President of FIMM 130/30 LLC (2008-present), Director of Ballyrock Investment Advisors LLC (2006-present), and an Executive Vice President of FMR (2005-present). Previously, Mr. Greer served as Executive Vice President of FMR Co., Inc. (2005-2009), President and Director of Fidelity Investments Money Management, Inc. (2007-2009) and as a Director and Managing Director of Strategic Advisers, Inc. (2002-2005). |
Christopher P. Sullivan (56) | |
| Year of Election or Appointment: 2009 Vice President of Fidelity's Bond Funds. Mr. Sullivan also serves as President of Fidelity's Bond Division (2009-present). Mr. Sullivan is Executive Vice President of Fidelity Investments Money Management, Inc. (2009- present), and a Director of Fidelity Management & Research (U.K.) Inc. (2010-present). Previously, Mr. Sullivan served as Managing Director, Co-Head of U.S. Fixed Income at Goldman Sachs Asset Management (2001-2009). |
Christine J. Thompson (52) | |
| Year of Election or Appointment: 2010 Vice President of Fidelity's Bond Funds. Ms. Thompson also serves as Chief Investment Officer of FMR's Bond Group (2010-present) and is an employee of Fidelity Investments. Previously, Ms. Thompson served as Director of Municipal Bond Portfolio Managers (2002-2010). |
Scott C. Goebel (42) | |
| Year of Election or Appointment: 2008 Secretary and Chief Legal Officer (CLO) of the Fidelity funds. Mr. Goebel also serves as Secretary and CLO of The North Carolina Capital Management Trust: Cash and Term Portfolio (2008-present); 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-present), Fidelity Management & Research (U.K.) Inc. (2008-present), and Fidelity Research and Analysis Company (2008- present). Previously, Mr. Goebel served as Assistant Secretary of the Funds (2007-2008) and as Vice President and Secretary of Fidelity Distributors Corporation (FDC) (2005-2007). |
David J. Carter (37) | |
| Year of Election or Appointment: 2010 Assistant Secretary of Fidelity's Fixed Income and Asset Allocation Funds. Mr. Carter also serves as Vice President, Associate General Counsel (2010-present) and is an employee of Fidelity Investments (2005-present). |
Holly C. Laurent (56) | |
| Year of Election or Appointment: 2008 Anti-Money Laundering (AML) Officer of the Fidelity funds. Ms. Laurent also serves as AML Officer of The North Carolina Capital Management Trust: Cash and Term Portfolio (2008-present) and 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 (51) | |
| 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 (43) | |
| Year of Election or Appointment: 2008 Chief Compliance Officer of Fidelity's Fixed Income and Asset Allocation Funds. Mr. Whitaker also serves as Chief Compliance Officer of The North Carolina Capital Management Trust: Cash and Term Portfolio (2008-present). Mr. Whitaker is an employee of Fidelity Investments (2007-present). Prior to joining Fidelity Investments, Mr. Whitaker worked at MFS Investment Management where he served as Senior Vice President and Chief Compliance Officer (2004-2006), and Assistant General Counsel. |
Jeffrey S. Christian (48) | |
| Year of Election or Appointment: 2009 Deputy Treasurer of the Fidelity funds. Mr. Christian is an employee of Fidelity Investments. Previously, Mr. Christian served as Chief Financial Officer (2008-2009) of certain Fidelity funds and Senior Vice President of Fidelity Pricing and Cash Management Services (FPCMS) (2004-2009). |
Bryan A. Mehrmann (49) | |
| Year of Election or Appointment: 2005 Deputy Treasurer of the Fidelity funds. Mr. Mehrmann is an employee of Fidelity Investments. |
Stephanie J. Dorsey (41) | |
| Year of Election or Appointment: 2008 Deputy Treasurer of Fidelity's Fixed Income and Asset Allocation Funds. Ms. Dorsey also serves as Assistant Treasurer of other Fidelity funds (2010-present) and 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. |
Adrien E. Deberghes (43) | |
| Year of Election or Appointment: 2010 Assistant Treasurer of Fidelity's Fixed Income and Asset Allocation Funds. Mr. Deberghes also serves as Deputy Treasurer of other Fidelity funds (2008-present) and is an employee of Fidelity Investments (2008-present). Previously, Mr. Deberghes served as Senior Vice President of Mutual Fund Administration at State Street Corporation (2007-2008), Senior Director of Mutual Fund Administration at Investors Bank & Trust (2005-2007), and Director of Finance for Dunkin' Brands (2000-2005). |
Kenneth B. Robins (41) | |
| 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 (2008-present; 2010-present) and is an employee of Fidelity Investments (2004-present). Previously, Mr. Robins served as Deputy Treasurer of the Fidelity funds (2005-2008) and Treasurer and Chief Financial Officer of The North Carolina Capital Management Trust: Cash and Term Portfolios (2006-2008). |
Gary W. Ryan (52) | |
| 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 11.50% 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 $309,587,770 of distributions paid during the period January 1, 2010 to August 31, 2010 as qualifying to be taxed as interest-related dividends for nonresident alien shareholders.
The fund will notify shareholders in January 2011 of amounts for use in preparing 2010 income tax returns.
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
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.
FIL Investments (Japan) Limited
FIL Investment Advisors
FIL Investment Advisors
(UK) Limited
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-1010 1.891916.101
(Fidelity Investment logo)(registered trademark)
Fidelity AdvisorSM
Total Bond
Fund - Class A, Class T, Class B
and Class C
Annual Report
August 31, 2010
Class A, Class T, Class B,
and Class C are classes of
Fidelity® Total Bond Fund
(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 of Fund Performance | The Portfolio Manager's review of fund performance and strategy. | |
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, as well as financial highlights. | |
Notes | Notes to the financial statements. | |
Report of Independent Registered Public Accounting Firm |
| |
Trustees and Officers |
| |
Distributions |
|
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
(photo_of_Abigail_P_Johnson)
Dear Shareholder:
A yearlong uptrend in global equity markets reversed course in late April 2010 when investor sentiment turned bearish due in great measure to concern that Europe's debt crisis would expand and slow or derail economic recovery. However, a bounceback in July helped to recover some of the ground that was lost. Financial markets are always unpredictable, of course, but there also are several time-tested investment principles that can help put the 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,
(The chairman's signature appears here.)
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' distributions from 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, 2010 | Past 1 | Past 5 | Life of |
Class A (incl. 4.00% sales charge) B | 7.49% | 4.76% | 5.22% |
Class T (incl. 4.00% sales charge) C | 7.49% | 4.71% | 5.16% |
Class B (incl. contingent deferred sales charge) D | 6.26% | 4.52% | 5.16% |
Class C (incl. contingent deferred sales charge) E | 10.20% | 4.82% | 5.12% |
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 Fidelity® Total Bond Fund, the original class of the fund, which has no 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 Fidelity Total Bond Fund, the original class of the fund, which has no 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 Fidelity Total Bond Fund, the original class of the fund, which has no 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 Fidelity Total Bond Fund, the original class of the fund, which has no 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 AdvisorSM 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: U.S. taxable bonds generated strong results during the 12-month period ending August 31, 2010, as evidenced by the 9.18% advance of the Barclays Capital U.S. Aggregate Bond Index, a broad measure of the domestic investment-grade debt universe. Riskier segments of the market fared best overall, led by corporate bonds and asset-backed securities (ABS). These sectors were big beneficiaries of robust demand from investors seeking attractively priced, higher-yielding investments amid signs of economic stabilization during much of the period. The Barclays Capital U.S. Credit Bond Index rose 12.87% and the Barclays Capital U.S. Fixed-Rate ABS Index returned 10.53%. The Barclays Capital U.S. Treasury Bond Index advanced 8.13%, with most of the gain coming in the second half of the period. That's when investors began to return to the relative safety of U.S. government bonds, as the economic outlook became less certain and worries about inflation receded. Elsewhere, mortgage-backed securities (MBS), bolstered largely by government purchase programs, increased 6.97%, as measured by the Barclays Capital U.S. MBS Index. Government-backed agency securities lagged the broader MBS market, with the Barclays Capital U.S. Agency Bond Index gaining 5.82%. Agency securities initially were constrained by investors' diminished appetite for bonds with lower perceived credit risk, but later were helped by the Federal Reserve's purchases of agency debt.
Comments from Ford O'Neil, Lead Portfolio Manager of Fidelity AdvisorSM Total Bond Fund: For the year, the fund's Class A, Class T, Class B and Class C shares gained 11.97%, 11.97%, 11.26% and 11.20%, respectively (excluding sales charges), easily outpacing the Barclays Capital U.S. Aggregate Bond Index and the 10.04% advance of the Barclays Capital U.S. Universal Bond Index. Versus the Aggregate Bond index, sector and security selection within the investment-grade portion of the portfolio provided the biggest boost, particularly in the first half of the period. Specifically, overweighting riskier bond classes, such as corporate bonds, commercial mortgage-backed securities, ABS and non-index collateralized mortgage obligations, paid off. These sectors were driven by strong demand from investors seeking higher yields amid signs the economy and credit markets were stabilizing. Our positioning within corporates was especially beneficial. Timely moves in the Treasury sector worked to our advantage, as did out-of-index holdings in TIPS (Treasury Inflation-Protected Securities). I significantly reduced the fund's weighting in corporate bonds during the period, based on valuations, and redeployed most of the proceeds into Treasuries. Out-of-index allocations to high-yield, floating-rate and emerging-markets debt also bolstered performance. In another change to our sector allocation, we significantly reduced our position in interest rate swaps. These instruments, which were used in part to manage the fund's yield-curve positioning, performed well and, as a result, no longer traded at compelling valuations, in our view.
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 Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (March 1, 2010 to August 31, 2010).
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.
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.
Annual Report
| Annualized Expense Ratio | Beginning | Ending | Expenses Paid |
Class A | .83% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,059.20 | $ 4.31 |
HypotheticalA |
| $ 1,000.00 | $ 1,021.02 | $ 4.23 |
Class T | .80% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,059.30 | $ 4.15 |
HypotheticalA |
| $ 1,000.00 | $ 1,021.17 | $ 4.08 |
Class B | 1.52% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,055.40 | $ 7.87 |
HypotheticalA |
| $ 1,000.00 | $ 1,017.54 | $ 7.73 |
Class C | 1.49% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,055.60 | $ 7.72 |
HypotheticalA |
| $ 1,000.00 | $ 1,017.69 | $ 7.58 |
Total Bond | .45% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,061.10 | $ 2.34 |
HypotheticalA |
| $ 1,000.00 | $ 1,022.94 | $ 2.29 |
Class F | .35% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,061.70 | $ 1.82 |
HypotheticalA |
| $ 1,000.00 | $ 1,023.44 | $ 1.79 |
Institutional Class | .52% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,060.80 | $ 2.70 |
HypotheticalA |
| $ 1,000.00 | $ 1,022.58 | $ 2.65 |
A 5% return per year before expenses
* 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). 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.
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, 2010 | As of February 28, 2010 | ||||||
![]() | U.S. Government and U.S. Government Agency Obligations †† 63.5% |
| ![]() | U.S. Government and U.S. Government Agency |
| ||
![]() | AAA 7.5% |
| ![]() | AAA 7.9% |
| ||
![]() | AA 3.0% |
| ![]() | AA 3.9% |
| ||
![]() | A 7.6% |
| ![]() | A 8.5% |
| ||
![]() | BBB 10.1% |
| ![]() | BBB 12.4% |
| ||
![]() | BB and Below 11.6% |
| ![]() | BB and Below 13.9% |
| ||
![]() | Not Rated 1.5% |
| ![]() | Not Rated 0.9% |
| ||
![]() | Equities 0.0% |
| ![]() | Equities 0.0% |
| ||
![]() | Short-Term |
| ![]() | Short-Term |
|
We have used ratings from Moody's Investors Service, 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, 2010 | ||
|
| 6 months ago |
Years | 6.2 | 6.0 |
Weighted Average Maturity (WAM) is a weighted average of all the maturities of the securities held in a fund. 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 if it is probable that the issuer of the instrument will take advantage of such features. |
Duration as of August 31, 2010 | ||
|
| 6 months ago |
Years | 4.1 | 3.8 |
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, 2010* | As of February 28, 2010** | ||||||
![]() | Corporate Bonds 25.6% |
| ![]() | Corporate Bonds 30.1% |
| ||
![]() | U.S. Government and U.S. Government Agency Obligations †† 63.5% |
| ![]() | U.S. Government and U.S. Government Agency Obligations †† 51.9% |
| ||
![]() | Asset-Backed |
| ![]() | Asset-Backed |
| ||
![]() | CMOs and Other Mortgage Related Securities 8.2% |
| ![]() | CMOs and Other Mortgage Related Securities 8.4% |
| ||
![]() | Municipal Bonds 0.2% |
| ![]() | Municipal Bonds 0.2% |
| ||
![]() | Other Investments 4.9% |
| ![]() | Other Investments 6.2% |
| ||
![]() | Short-Term |
| ![]() | Short-Term |
| ||
* Foreign investments | 6.7% |
| ** Foreign investments | 8.4% |
| ||
* Futures and Swaps | 1.4% |
| ** Futures and Swaps | 8.2% |
|
† 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, 2010
Showing Percentage of Net Assets
Corporate Bonds - 24.2% | ||||
| Principal Amount (c) | Value | ||
Convertible Bonds - 0.0% | ||||
ENERGY - 0.0% | ||||
Oil, Gas & Consumable Fuels - 0.0% | ||||
Massey Energy Co. 3.25% 8/1/15 | $ 1,970,000 | $ 1,699,716 | ||
FINANCIALS - 0.0% | ||||
Real Estate Investment Trusts - 0.0% | ||||
Developers Diversified Realty Corp. 3% 3/15/12 | 270,000 | 261,900 | ||
Inland Real Estate Corp. 4.625% 11/15/26 | 233,000 | 229,505 | ||
| 491,405 | |||
INFORMATION TECHNOLOGY - 0.0% | ||||
Communications Equipment - 0.0% | ||||
Lucent Technologies, Inc. 2.875% 6/15/25 | 2,841,800 | 2,502,560 | ||
Semiconductors & Semiconductor Equipment - 0.0% | ||||
Energy Conversion Devices, Inc. 3% 6/15/13 | 1,010,000 | 646,400 | ||
TOTAL INFORMATION TECHNOLOGY | 3,148,960 | |||
TOTAL CONVERTIBLE BONDS | 5,340,081 | |||
Nonconvertible Bonds - 24.2% | ||||
CONSUMER DISCRETIONARY - 2.8% | ||||
Auto Components - 0.1% | ||||
DaimlerChrysler NA Holding Corp.: | ||||
5.75% 9/8/11 | 5,595,000 | 5,855,397 | ||
5.875% 3/15/11 | 2,077,000 | 2,132,956 | ||
Lear Corp. 7.875% 3/15/18 | 2,565,000 | 2,648,363 | ||
Tenneco, Inc. 7.75% 8/15/18 (f) | 1,400,000 | 1,410,500 | ||
The Goodyear Tire & Rubber Co. 8.25% 8/15/20 | 3,910,000 | 3,978,425 | ||
| 16,025,641 | |||
Automobiles - 0.0% | ||||
Ford Motor Co. 7.45% 7/16/31 | 1,945,000 | 1,896,375 | ||
Diversified Consumer Services - 0.0% | ||||
Affinion Group, Inc. 11.5% 10/15/15 | 1,990,000 | 2,094,475 | ||
ServiceMaster Co. 10.75% 7/15/15 pay-in-kind (f)(l) | 2,935,000 | 3,052,400 | ||
| 5,146,875 | |||
Hotels, Restaurants & Leisure - 0.3% | ||||
Chukchansi Economic Development Authority 8% 11/15/13 (f) | 765,000 | 443,700 | ||
GWR Operating Partnership LLP 10.875% 4/1/17 (f) | 1,635,000 | 1,647,263 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Hotels, Restaurants & Leisure - continued | ||||
Host Marriott LP 6.375% 3/15/15 | $ 250,000 | $ 250,000 | ||
ITT Corp. 7.375% 11/15/15 | 250,000 | 271,250 | ||
Las Vegas Sands Corp. 6.375% 2/15/15 | 1,170,000 | 1,164,150 | ||
MCE Finance Ltd. 10.25% 5/15/18 (f) | 3,040,000 | 3,260,400 | ||
MGM Mirage, Inc.: | ||||
6.625% 7/15/15 | 1,870,000 | 1,477,300 | ||
7.5% 6/1/16 | 1,160,000 | 913,500 | ||
NCL Corp. Ltd. 11.75% 11/15/16 | 1,375,000 | 1,526,250 | ||
Royal Caribbean Cruises Ltd.: | ||||
7.25% 3/15/18 | 465,000 | 454,538 | ||
11.875% 7/15/15 | 1,450,000 | 1,703,750 | ||
yankee: | ||||
7% 6/15/13 | 3,000,000 | 3,063,750 | ||
7.25% 6/15/16 | 5,365,000 | 5,351,588 | ||
7.5% 10/15/27 | 3,070,000 | 2,743,659 | ||
Scientific Games Corp.: | ||||
7.875% 6/15/16 (f) | 2,145,000 | 2,166,450 | ||
9.25% 6/15/19 | 3,645,000 | 3,863,700 | ||
Seneca Gaming Corp.: | ||||
Series B, 7.25% 5/1/12 | 2,250,000 | 2,188,125 | ||
7.25% 5/1/12 | 2,340,000 | 2,275,650 | ||
Snoqualmie Entertainment Authority: | ||||
4.4277% 2/1/14 (f)(l) | 115,000 | 94,875 | ||
9.125% 2/1/15 (f) | 785,000 | 690,800 | ||
Times Square Hotel Trust 8.528% 8/1/26 (f) | 350,732 | 357,309 | ||
Town Sports International Holdings, Inc. 11% 2/1/14 | 2,270,000 | 2,105,425 | ||
Universal City Development Partners Ltd./UCDP Finance, Inc.: | ||||
8.875% 11/15/15 (f) | 1,210,000 | 1,228,150 | ||
10.875% 11/15/16 (f) | 1,045,000 | 1,110,313 | ||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. 7.75% 8/15/20 (f) | 2,300,000 | 2,317,250 | ||
| 42,669,145 | |||
Household Durables - 0.3% | ||||
Controladora Mabe SA CV 7.875% 10/28/19 (f) | 775,000 | 840,875 | ||
Fortune Brands, Inc.: | ||||
5.875% 1/15/36 | 13,297,000 | 13,480,725 | ||
6.375% 6/15/14 | 9,424,000 | 10,668,731 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Household Durables - continued | ||||
Lennar Corp. 12.25% 6/1/17 | $ 1,610,000 | $ 1,835,400 | ||
Reliance Intermediate Holdings LP 9.5% 12/15/19 (f) | 3,055,000 | 3,177,200 | ||
Standard Pacific Corp.: | ||||
7% 8/15/15 | 1,050,000 | 981,750 | ||
8.375% 5/15/18 | 850,000 | 816,000 | ||
10.75% 9/15/16 | 2,370,000 | 2,509,238 | ||
| 34,309,919 | |||
Internet & Catalog Retail - 0.0% | ||||
Netflix, Inc. 8.5% 11/15/17 | 1,355,000 | 1,465,026 | ||
Media - 1.9% | ||||
Allbritton Communications Co. 8% 5/15/18 | 2,630,000 | 2,597,125 | ||
AOL Time Warner, Inc. 7.625% 4/15/31 | 500,000 | 623,922 | ||
Belo Corp. 8% 11/15/16 | 1,665,000 | 1,756,575 | ||
Cablemas SA de CV 9.375% 11/15/15 (Reg. S) | 1,320,000 | 1,395,900 | ||
Cablevision Systems Corp.: | ||||
7.75% 4/15/18 | 1,440,000 | 1,519,200 | ||
8% 4/15/20 | 1,440,000 | 1,530,000 | ||
8.625% 9/15/17 (f) | 2,915,000 | 3,148,200 | ||
Catalina Marketing Corp. 10.5% 10/1/15 pay-in-kind (f)(l) | 2,835,000 | 3,033,450 | ||
Cequel Communications Holdings I LLC/Cequel Capital Corp. 8.625% 11/15/17 (f) | 7,580,000 | 7,731,600 | ||
Charter Communications Holdings II LLC/Charter Communications Holdings II Capital Corp. 13.5% 11/30/16 | 1,694,103 | 2,003,277 | ||
Clear Channel Communications, Inc.: | ||||
5.5% 9/15/14 | 3,295,000 | 2,034,663 | ||
11% 8/1/16 pay-in-kind (l) | 2,106,912 | 1,559,115 | ||
Clear Channel Worldwide Holdings, Inc.: | ||||
9.25% 12/15/17 | 555,000 | 575,813 | ||
9.25% 12/15/17 | 2,580,000 | 2,705,775 | ||
Comcast Cable Communications, Inc. 6.75% 1/30/11 | 511,000 | 523,405 | ||
Comcast Corp.: | ||||
4.95% 6/15/16 | 1,879,000 | 2,076,755 | ||
5.5% 3/15/11 | 382,000 | 391,574 | ||
5.7% 5/15/18 | 14,168,000 | 16,138,216 | ||
6.4% 3/1/40 | 4,490,000 | 5,130,516 | ||
6.45% 3/15/37 | 2,196,000 | 2,503,820 | ||
6.55% 7/1/39 | 9,000,000 | 10,437,381 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Media - continued | ||||
COX Communications, Inc. 4.625% 6/1/13 | $ 4,467,000 | $ 4,802,641 | ||
CSC Holdings LLC: | ||||
8.5% 4/15/14 | 2,105,000 | 2,304,975 | ||
8.5% 6/15/15 | 2,340,000 | 2,538,900 | ||
8.625% 2/15/19 | 860,000 | 961,050 | ||
Discovery Communications LLC: | ||||
3.7% 6/1/15 | 6,861,000 | 7,217,573 | ||
6.35% 6/1/40 | 6,392,000 | 7,243,958 | ||
EchoStar Communications Corp.: | ||||
7.125% 2/1/16 | 2,525,000 | 2,581,813 | ||
7.75% 5/31/15 | 1,760,000 | 1,834,800 | ||
Entravision Communication Corp. 8.75% 8/1/17 (f) | 1,020,000 | 1,020,000 | ||
Globo Comunicacoes e Participacoes SA 6.25% (e)(f) | 2,560,000 | 2,598,400 | ||
Insight Communications, Inc. 9.375% 7/15/18 (f) | 3,750,000 | 3,956,250 | ||
Interpublic Group of Companies, Inc. 6.25% 11/15/14 | 1,310,000 | 1,355,850 | ||
Kabel Deutschland GmbH 10.625% 7/1/14 | 4,825,000 | 5,011,969 | ||
Liberty Media Corp. 8.25% 2/1/30 | 245,000 | 232,750 | ||
NBC Universal, Inc.: | ||||
3.65% 4/30/15 (f) | 2,800,000 | 2,936,920 | ||
5.15% 4/30/20 (f) | 11,614,000 | 12,510,624 | ||
6.4% 4/30/40 (f) | 8,278,000 | 9,295,027 | ||
Net Servicos de Comunicacao SA 7.5% 1/27/20 (f) | 1,500,000 | 1,695,000 | ||
News America Holdings, Inc. 7.75% 12/1/45 | 170,000 | 221,637 | ||
News America, Inc.: | ||||
5.3% 12/15/14 | 876,000 | 988,358 | ||
6.15% 3/1/37 | 2,970,000 | 3,264,110 | ||
6.2% 12/15/34 | 5,330,000 | 5,848,929 | ||
Nexstar Broadcasting, Inc./Mission, Inc. 8.875% 4/15/17 (f) | 2,140,000 | 2,161,400 | ||
Nielsen Finance LLC/Nielsen Finance Co.: | ||||
10% 8/1/14 | 3,975,000 | 4,143,938 | ||
11.5% 5/1/16 | 2,225,000 | 2,503,125 | ||
11.625% 2/1/14 | 2,325,000 | 2,615,625 | ||
12.5% 8/1/16 (d) | 7,805,000 | 7,668,413 | ||
Quebecor Media, Inc.: | ||||
7.75% 3/15/16 | 4,032,000 | 4,127,760 | ||
7.75% 3/15/16 | 2,485,000 | 2,544,019 | ||
QVC, Inc. 7.125% 4/15/17 (f) | 1,330,000 | 1,346,625 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Media - continued | ||||
Time Warner Cable, Inc.: | ||||
5.4% 7/2/12 | $ 2,444,000 | $ 2,622,282 | ||
5.85% 5/1/17 | 2,607,000 | 2,974,050 | ||
6.2% 7/1/13 | 2,324,000 | 2,617,867 | ||
6.75% 7/1/18 | 13,473,000 | 16,087,058 | ||
Time Warner, Inc.: | ||||
3.15% 7/15/15 | 2,850,000 | 2,929,586 | ||
6.2% 3/15/40 | 10,492,000 | 11,566,318 | ||
6.5% 11/15/36 | 9,243,000 | 10,454,101 | ||
Umbrella Acquisition, Inc. 10.5% 3/15/15 pay-in-kind (f)(l) | 6,804,412 | 5,786,585 | ||
Univision Communications, Inc. 12% 7/1/14 (f) | 1,955,000 | 2,106,513 | ||
Viacom, Inc.: | ||||
6.125% 10/5/17 | 2,051,000 | 2,405,444 | ||
6.25% 4/30/16 | 5,600,000 | 6,529,001 | ||
6.75% 10/5/37 | 1,460,000 | 1,735,192 | ||
Videotron Ltd. 9.125% 4/15/18 | 1,965,000 | 2,166,413 | ||
Visant Holding Corp. 8.75% 12/1/13 | 450,000 | 459,000 | ||
| 247,388,131 | |||
Multiline Retail - 0.1% | ||||
Target Corp. 3.875% 7/15/20 | 7,556,000 | 7,925,632 | ||
Specialty Retail - 0.1% | ||||
AutoNation, Inc. 6.75% 4/15/18 | 2,040,000 | 2,034,900 | ||
Toys 'R' US Property Co. I LLC 10.75% 7/15/17 | 5,060,000 | 5,679,850 | ||
Toys 'R' US, Inc. 7.375% 9/1/16 (f) | 1,200,000 | 1,206,000 | ||
| 8,920,750 | |||
TOTAL CONSUMER DISCRETIONARY | 365,747,494 | |||
CONSUMER STAPLES - 1.2% | ||||
Beverages - 0.1% | ||||
Anheuser-Busch InBev Worldwide, Inc. 7.75% 1/15/19 (f) | 4,750,000 | 6,087,581 | ||
Cerveceria Nacional Dominicana C por A 8% 3/27/14 (Reg. S) | 100,000 | 105,000 | ||
Diageo Capital PLC 5.2% 1/30/13 | 1,037,000 | 1,131,791 | ||
FBG Finance Ltd. 5.125% 6/15/15 (f) | 2,936,000 | 3,241,426 | ||
| 10,565,798 | |||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
CONSUMER STAPLES - continued | ||||
Food & Staples Retailing - 0.2% | ||||
Albertsons, Inc.: | ||||
7.45% 8/1/29 | $ 250,000 | $ 202,500 | ||
7.75% 6/15/26 | 600,000 | 510,750 | ||
8% 5/1/31 | 2,385,000 | 2,003,400 | ||
C&S Group Enterprises LLC 8.375% 5/1/17 (f) | 1,930,000 | 1,838,325 | ||
CVS Caremark Corp.: | ||||
6.036% 12/10/28 | 6,966,843 | 7,347,929 | ||
6.302% 6/1/37 (l) | 9,771,000 | 8,964,893 | ||
Rite Aid Corp. 8% 8/15/20 (f) | 3,450,000 | 3,432,750 | ||
SUPERVALU, Inc. 8% 5/1/16 | 2,260,000 | 2,265,650 | ||
The Great Atlantic & Pacific Tea Co. 11.375% 8/1/15 (f) | 2,330,000 | 1,683,425 | ||
Tops Markets LLC 10.125% 10/15/15 (f) | 1,825,000 | 1,879,750 | ||
| 30,129,372 | |||
Food Products - 0.4% | ||||
Cargill, Inc. 6% 11/27/17 (f) | 9,457,000 | 11,188,823 | ||
Kraft Foods, Inc.: | ||||
5.375% 2/10/20 | 10,631,000 | 11,823,245 | ||
5.625% 11/1/11 | 3,660,000 | 3,855,989 | ||
6.125% 2/1/18 | 10,623,000 | 12,431,438 | ||
6.5% 8/11/17 | 8,720,000 | 10,411,593 | ||
6.75% 2/19/14 | 540,000 | 626,540 | ||
| 50,337,628 | |||
Tobacco - 0.5% | ||||
Altria Group, Inc. 9.7% 11/10/18 | 22,622,000 | 29,941,506 | ||
Philip Morris International, Inc.: | ||||
4.875% 5/16/13 | 9,347,000 | 10,220,197 | ||
5.65% 5/16/18 | 7,161,000 | 8,341,240 | ||
Reynolds American, Inc.: | ||||
6.75% 6/15/17 | 2,994,000 | 3,358,337 | ||
7.25% 6/15/37 | 4,941,000 | 5,263,608 | ||
| 57,124,888 | |||
TOTAL CONSUMER STAPLES | 148,157,686 | |||
ENERGY - 3.1% | ||||
Energy Equipment & Services - 0.2% | ||||
DCP Midstream LLC 5.35% 3/15/20 (f) | 8,730,000 | 9,423,590 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
ENERGY - continued | ||||
Energy Equipment & Services - continued | ||||
Hercules Offshore, Inc. 10.5% 10/15/17 (f) | $ 1,860,000 | $ 1,692,600 | ||
Parker Drilling Co. 9.125% 4/1/18 (f) | 880,000 | 878,944 | ||
Weatherford International Ltd.: | ||||
4.95% 10/15/13 | 1,742,000 | 1,884,698 | ||
5.15% 3/15/13 | 2,277,000 | 2,438,039 | ||
7% 3/15/38 | 5,880,000 | 6,556,035 | ||
9.625% 3/1/19 | 1,500,000 | 1,969,280 | ||
| 24,843,186 | |||
Oil, Gas & Consumable Fuels - 2.9% | ||||
Adaro Indonesia PT 7.625% 10/22/19 (f) | 1,065,000 | 1,136,888 | ||
Anadarko Petroleum Corp.: | ||||
5.95% 9/15/16 | 895,000 | 886,830 | ||
6.375% 9/15/17 | 10,275,000 | 10,167,339 | ||
6.95% 6/15/19 | 895,000 | 902,466 | ||
Antero Resources Finance Corp. 9.375% 12/1/17 | 3,190,000 | 3,285,700 | ||
Apache Corp. 5.1% 9/1/40 | 8,822,000 | 9,125,706 | ||
Arch Coal, Inc.: | ||||
7.25% 10/1/20 | 450,000 | 453,375 | ||
8.75% 8/1/16 | 1,030,000 | 1,109,825 | ||
BW Group Ltd. 6.625% 6/28/17 (f) | 2,957,000 | 2,909,040 | ||
Canadian Natural Resources Ltd.: | ||||
5.15% 2/1/13 | 4,498,000 | 4,867,785 | ||
5.7% 5/15/17 | 16,009,000 | 18,483,831 | ||
Cenovus Energy, Inc. 6.75% 11/15/39 | 3,322,000 | 4,081,994 | ||
Chesapeake Energy Corp.: | ||||
6.625% 8/15/20 | 1,630,000 | 1,634,075 | ||
6.875% 8/15/18 | 1,630,000 | 1,662,600 | ||
7.625% 7/15/13 | 895,000 | 966,600 | ||
ConocoPhillips: | ||||
4.6% 1/15/15 | 10,000,000 | 11,219,800 | ||
5.75% 2/1/19 | 2,930,000 | 3,500,922 | ||
CONSOL Energy, Inc.: | ||||
8% 4/1/17 (f) | 2,320,000 | 2,436,000 | ||
8.25% 4/1/20 (f) | 1,545,000 | 1,641,563 | ||
Continental Resources, Inc. 7.375% 10/1/20 (f) | 1,055,000 | 1,070,825 | ||
Denbury Resources, Inc. 9.75% 3/1/16 | 1,060,000 | 1,171,300 | ||
Drummond Co., Inc.: | ||||
7.375% 2/15/16 | 5,485,000 | 5,539,850 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Drummond Co., Inc.: - continued | ||||
9% 10/15/14 (f) | $ 2,455,000 | $ 2,571,613 | ||
DTEK Finance BV 9.5% 4/28/15 (f) | 850,000 | 857,395 | ||
Duke Capital LLC 6.25% 2/15/13 | 1,000,000 | 1,089,851 | ||
Duke Energy Field Services: | ||||
5.375% 10/15/15 (f) | 1,222,000 | 1,356,469 | ||
6.45% 11/3/36 (f) | 1,801,000 | 2,003,103 | ||
6.875% 2/1/11 | 2,313,000 | 2,367,672 | ||
El Paso Natural Gas Co. 5.95% 4/15/17 | 935,000 | 1,032,938 | ||
EnCana Holdings Finance Corp. 5.8% 5/1/14 | 2,888,000 | 3,275,012 | ||
Enterprise Products Operating LP: | ||||
5.6% 10/15/14 | 1,955,000 | 2,184,128 | ||
5.65% 4/1/13 | 697,000 | 759,395 | ||
Forest Oil Corp. 8.5% 2/15/14 | 4,070,000 | 4,324,375 | ||
Frontier Oil Corp. 8.5% 9/15/16 | 1,950,000 | 1,998,750 | ||
Gulf South Pipeline Co. LP 5.75% 8/15/12 (f) | 3,863,000 | 4,125,487 | ||
KazMunaiGaz Finance Sub BV: | ||||
7% 5/5/20 (f) | 980,000 | 1,063,300 | ||
8.375% 7/2/13 (f) | 1,420,000 | 1,547,800 | ||
9.125% 7/2/18 (f) | 1,340,000 | 1,614,700 | ||
11.75% 1/23/15 (f) | 1,860,000 | 2,329,650 | ||
Kinder Morgan Energy Partners LP 6.55% 9/15/40 | 3,179,000 | 3,555,473 | ||
LINN Energy LLC 8.625% 4/15/20 (f) | 2,685,000 | 2,832,675 | ||
Lukoil International Finance BV 6.656% 6/7/22 (f) | 1,222,000 | 1,237,275 | ||
Massey Energy Co. 6.875% 12/15/13 | 1,515,000 | 1,533,938 | ||
Midcontinent Express Pipel LLC 5.45% 9/15/14 (f) | 10,000,000 | 10,653,830 | ||
Motiva Enterprises LLC: | ||||
5.75% 1/15/20 (f) | 3,578,000 | 4,116,915 | ||
6.85% 1/15/40 (f) | 13,582,000 | 16,888,117 | ||
Naftogaz of Ukraine NJSC 9.5% 9/30/14 | 1,550,000 | 1,697,250 | ||
Nakilat, Inc.: | ||||
6.067% 12/31/33 (f) | 4,384,000 | 4,822,663 | ||
6.267% 12/31/33 (Reg. S) | 835,000 | 910,150 | ||
Nexen, Inc.: | ||||
5.05% 11/20/13 | 3,845,000 | 4,169,764 | ||
5.2% 3/10/15 | 909,000 | 997,522 | ||
5.875% 3/10/35 | 240,000 | 250,544 | ||
6.4% 5/15/37 | 3,645,000 | 4,005,753 | ||
NGPL PipeCo LLC 6.514% 12/15/12 (f) | 8,163,000 | 8,574,799 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
OPTI Canada, Inc.: | ||||
8.25% 12/15/14 | $ 2,980,000 | $ 2,294,600 | ||
9% 12/15/12 (f) | 1,680,000 | 1,688,400 | ||
Overseas Shipholding Group, Inc.: | ||||
7.5% 2/15/24 | 500,000 | 430,625 | ||
8.125% 3/30/18 | 2,530,000 | 2,593,250 | ||
Pan American Energy LLC 7.875% 5/7/21 (f) | 4,020,000 | 4,140,600 | ||
Pemex Project Funding Master Trust 6.625% 6/15/35 | 625,000 | 673,438 | ||
Petro-Canada: | ||||
6.05% 5/15/18 | 3,850,000 | 4,489,316 | ||
6.8% 5/15/38 | 8,950,000 | 10,775,827 | ||
Petrobras International Finance Co. Ltd.: | ||||
5.75% 1/20/20 | 12,170,000 | 13,044,743 | ||
6.875% 1/20/40 | 17,027,000 | 18,687,133 | ||
7.875% 3/15/19 | 10,219,000 | 12,492,728 | ||
8.375% 12/10/18 | 160,000 | 197,954 | ||
Petrohawk Energy Corp.: | ||||
7.25% 8/15/18 (f) | 2,020,000 | 2,014,950 | ||
7.875% 6/1/15 | 1,485,000 | 1,540,688 | ||
10.5% 8/1/14 | 3,025,000 | 3,380,438 | ||
Petroleos de Venezuela SA: | ||||
5.25% 4/12/17 | 2,040,000 | 1,173,000 | ||
5.375% 4/12/27 | 8,535,000 | 3,840,750 | ||
5.5% 4/12/37 | 1,120,000 | 487,200 | ||
Petroleos Mexicanos: | ||||
5.5% 1/21/21 (f) | 500,000 | 520,000 | ||
6% 3/5/20 (f) | 465,000 | 506,850 | ||
6.625% 6/15/35 (f) | 320,000 | 344,800 | ||
Petroleum Co. of Trinidad & Tobago Ltd. (Reg. S) 6% 5/8/22 | 1,045,000 | 1,052,838 | ||
Pioneer Natural Resources Co.: | ||||
6.65% 3/15/17 | 4,605,000 | 4,754,663 | ||
7.5% 1/15/20 | 1,245,000 | 1,332,150 | ||
Plains All American Pipeline LP 7.75% 10/15/12 | 2,358,000 | 2,631,420 | ||
Plains All American Pipeline LP/PAA Finance Corp.: | ||||
3.95% 9/15/15 | 5,769,000 | 6,014,604 | ||
6.125% 1/15/17 | 6,185,000 | 6,897,481 | ||
Plains Exploration & Production Co.: | ||||
7% 3/15/17 | 3,165,000 | 3,117,525 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Plains Exploration & Production Co.: - continued | ||||
10% 3/1/16 | $ 2,415,000 | $ 2,644,425 | ||
Quicksilver Resources, Inc.: | ||||
7.125% 4/1/16 | 2,960,000 | 2,834,200 | ||
9.125% 8/15/19 | 2,040,000 | 2,198,100 | ||
11.75% 1/1/16 | 2,255,000 | 2,587,613 | ||
Range Resources Corp. 6.75% 8/1/20 | 2,455,000 | 2,485,688 | ||
Ras Laffan Liquefied Natural Gas Co. Ltd. 8.294% 3/15/14 (f) | 2,389,600 | 2,664,404 | ||
Ras Laffan Liquefied Natural Gas Co. Ltd. III: | ||||
4.5% 9/30/12 (f) | 4,773,000 | 5,025,559 | ||
5.5% 9/30/14 (f) | 6,670,000 | 7,370,757 | ||
5.832% 9/30/16 (f) | 1,343,000 | 1,482,981 | ||
6.332% 9/30/27 (f) | 1,840,000 | 2,142,422 | ||
6.75% 9/30/19 (f) | 4,366,000 | 5,208,201 | ||
Rockies Express Pipeline LLC 6.25% 7/15/13 (f) | 2,720,000 | 2,962,629 | ||
Ship Finance International Ltd. 8.5% 12/15/13 | 2,065,000 | 2,065,000 | ||
Suncor Energy, Inc. 6.1% 6/1/18 | 10,851,000 | 12,674,326 | ||
Targa Resources Partners LP/Targa Resources Partners Finance Corp. 7.875% 10/15/18 (f) | 2,205,000 | 2,260,125 | ||
Teekay Corp. 8.5% 1/15/20 | 1,350,000 | 1,447,875 | ||
TNK-BP Finance SA 7.5% 3/13/13 (Reg. S) | 780,000 | 838,500 | ||
TransCanada PipeLines Ltd.: | ||||
3.4% 6/1/15 | 2,664,000 | 2,815,105 | ||
6.35% 5/15/67 (l) | 2,371,000 | 2,164,327 | ||
XTO Energy, Inc.: | ||||
5% 1/31/15 | 1,749,000 | 1,996,309 | ||
5.65% 4/1/16 | 1,200,000 | 1,426,597 | ||
YPF SA 10% 11/2/28 | 1,630,000 | 1,752,250 | ||
| 369,167,984 | |||
TOTAL ENERGY | 394,011,170 | |||
FINANCIALS - 9.5% | ||||
Capital Markets - 1.6% | ||||
Bear Stearns Companies, Inc.: | ||||
4.5% 10/28/10 | 1,833,000 | 1,844,746 | ||
5.3% 10/30/15 | 1,170,000 | 1,289,875 | ||
BlackRock, Inc. 6.25% 9/15/17 | 8,408,000 | 9,892,332 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Capital Markets - continued | ||||
Equinox Holdings, Inc. 9.5% 2/1/16 (f) | $ 970,000 | $ 970,000 | ||
Goldman Sachs Group, Inc.: | ||||
3.7% 8/1/15 | 8,571,000 | 8,676,792 | ||
5.625% 1/15/17 | 3,200,000 | 3,354,909 | ||
5.95% 1/18/18 | 3,989,000 | 4,319,624 | ||
6.15% 4/1/18 | 4,275,000 | 4,670,609 | ||
6.75% 10/1/37 | 9,643,000 | 9,872,957 | ||
7.5% 2/15/19 | 1,757,000 | 2,050,271 | ||
Janus Capital Group, Inc.: | ||||
6.125% 9/15/11 (e) | 2,473,000 | 2,501,964 | ||
6.5% 6/15/12 | 4,266,000 | 4,480,392 | ||
JPMorgan Chase Capital XX 6.55% 9/29/36 | 17,904,000 | 17,848,068 | ||
JPMorgan Chase Capital XXV 6.8% 10/1/37 | 7,405,000 | 7,566,570 | ||
Lazard Group LLC: | ||||
6.85% 6/15/17 | 3,867,000 | 4,116,766 | ||
7.125% 5/15/15 | 1,377,000 | 1,483,927 | ||
Merrill Lynch & Co., Inc.: | ||||
5.45% 2/5/13 | 12,383,000 | 13,217,664 | ||
6.4% 8/28/17 | 7,407,000 | 7,986,946 | ||
6.875% 4/25/18 | 6,836,000 | 7,526,019 | ||
Morgan Stanley: | ||||
4% 7/24/15 | 15,887,000 | 15,960,684 | ||
4.75% 4/1/14 | 2,429,000 | 2,502,144 | ||
5.45% 1/9/17 | 2,238,000 | 2,350,632 | ||
5.625% 9/23/19 | 11,500,000 | 11,711,336 | ||
5.95% 12/28/17 | 5,050,000 | 5,370,887 | ||
6% 5/13/14 | 17,110,000 | 18,650,294 | ||
6.625% 4/1/18 | 15,268,000 | 16,784,143 | ||
7.3% 5/13/19 | 8,304,000 | 9,444,529 | ||
Nuveen Investments, Inc.: | ||||
5.5% 9/15/15 | 900,000 | 684,000 | ||
10.5% 11/15/15 | 900,000 | 846,000 | ||
The Bank of New York, Inc. 4.95% 11/1/12 | 3,864,000 | 4,183,020 | ||
UBS AG Stamford Branch 5.75% 4/25/18 | 4,505,000 | 5,061,165 | ||
| 207,219,265 | |||
Commercial Banks - 1.8% | ||||
African Export-Import Bank 8.75% 11/13/14 | 1,040,000 | 1,159,600 | ||
Akbank T. A. S. 5.125% 7/22/15 (f) | 855,000 | 844,313 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Commercial Banks - continued | ||||
Ally Financial, Inc. 7.5% 9/15/20 (f) | $ 2,645,000 | $ 2,618,550 | ||
Banco Bradesco SA 5.9% 1/16/21 (f) | 520,000 | 527,800 | ||
Banco Nacional de Desenvolvimento Economico e Social: | ||||
5.5% 7/12/20 (f) | 425,000 | 456,875 | ||
6.5% 6/10/19 (f) | 165,000 | 189,750 | ||
BanColombia SA 6.125% 7/26/20 | 515,000 | 526,588 | ||
Bank of America NA: | ||||
5.3% 3/15/17 | 3,315,000 | 3,396,493 | ||
6% 10/15/36 | 690,000 | 702,784 | ||
Barclays Bank PLC 5% 9/22/16 | 8,175,000 | 8,875,213 | ||
BB&T Capital Trust IV 6.82% 6/12/77 (l) | 2,330,000 | 2,260,100 | ||
BB&T Corp. 6.5% 8/1/11 | 1,243,000 | 1,304,832 | ||
CIT Group, Inc.: | ||||
7% 5/1/13 | 362,745 | 359,118 | ||
7% 5/1/14 | 2,039,117 | 1,983,041 | ||
7% 5/1/15 | 1,754,117 | 1,688,338 | ||
7% 5/1/16 | 2,651,861 | 2,529,212 | ||
7% 5/1/17 | 3,909,604 | 3,679,915 | ||
Credit Suisse New York Branch: | ||||
5% 5/15/13 | 9,569,000 | 10,353,706 | ||
6% 2/15/18 | 16,107,000 | 17,566,310 | ||
DBS Bank Ltd. (Singapore) 0.5963% 5/16/17 (f)(l) | 3,914,986 | 3,787,749 | ||
Development Bank of Philippines 8.375% (l) | 1,355,000 | 1,504,050 | ||
Discover Bank 8.7% 11/18/19 | 12,480,000 | 14,747,429 | ||
EXIM of Ukraine 7.65% 9/7/11 (Issued by Credit Suisse International for EXIM of Ukraine) | 5,750,000 | 5,785,938 | ||
Export-Import Bank of Korea: | ||||
5.125% 2/14/11 | 2,920,000 | 2,965,240 | ||
5.25% 2/10/14 (f) | 565,000 | 614,562 | ||
5.5% 10/17/12 | 2,256,000 | 2,404,097 | ||
Fifth Third Bancorp: | ||||
4.5% 6/1/18 | 145,000 | 143,367 | ||
8.25% 3/1/38 | 3,929,000 | 4,683,812 | ||
Fifth Third Capital Trust IV 6.5% 4/15/67 (l) | 3,725,000 | 3,212,813 | ||
HBOS PLC 6.75% 5/21/18 (f) | 6,067,000 | 5,933,162 | ||
HSBC Holdings PLC: | ||||
0.7336% 10/6/16 (l) | 1,143,000 | 1,092,989 | ||
6.5% 9/15/37 | 8,400,000 | 9,705,654 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Commercial Banks - continued | ||||
HSBK (Europe) B.V. 9.25% 10/16/13 (f) | $ 2,345,000 | $ 2,558,981 | ||
JPMorgan Chase Bank 6% 10/1/17 | 10,795,000 | 12,178,293 | ||
Kazkommerts International BV 8.5% 4/16/13 (f) | 1,245,000 | 1,220,100 | ||
KeyBank NA: | ||||
5.8% 7/1/14 | 8,672,000 | 9,468,107 | ||
6.95% 2/1/28 | 1,977,000 | 2,119,680 | ||
7% 2/1/11 | 1,124,000 | 1,149,478 | ||
KeyBank NA, Cleveland 5.45% 3/3/16 | 3,939,000 | 4,207,919 | ||
Korea Development Bank 4.625% 9/16/10 | 1,833,000 | 1,835,526 | ||
Manufacturers & Traders Trust Co. 2.033% 4/1/13 (f)(l) | 720,797 | 708,619 | ||
Marshall & Ilsley Bank: | ||||
4.85% 6/16/15 | 4,206,000 | 3,994,956 | ||
5% 1/17/17 | 5,275,000 | 5,003,374 | ||
5.25% 9/4/12 | 3,100,000 | 3,146,562 | ||
PNC Funding Corp.: | ||||
0.615% 1/31/12 (l) | 3,707,000 | 3,695,616 | ||
3.625% 2/8/15 | 2,779,000 | 2,920,715 | ||
Regions Bank 6.45% 6/26/37 | 7,653,000 | 6,762,635 | ||
Regions Financial Corp.: | ||||
5.75% 6/15/15 | 1,964,000 | 1,994,911 | ||
7.75% 11/10/14 | 6,185,000 | 6,670,615 | ||
RSHB Capital SA 9% 6/11/14 (f) | 405,000 | 460,688 | ||
Standard Chartered Bank 6.4% 9/26/17 (f) | 3,365,000 | 3,768,834 | ||
The State Export-Import Bank of Ukraine JSC 8.4% 2/9/16 (Issued by Credit Suisse First Boston International for The State Export-Import Bank of Ukraine JSC) (e) | 485,000 | 463,175 | ||
UniCredit Luxembourg Finance SA 5.584% 1/13/17 (f)(l) | 1,437,000 | 1,385,012 | ||
UnionBanCal Corp. 5.25% 12/16/13 | 662,000 | 716,818 | ||
Wachovia Bank NA: | ||||
4.875% 2/1/15 | 1,408,000 | 1,514,335 | ||
6.6% 1/15/38 | 9,000,000 | 10,227,663 | ||
Wachovia Corp.: | ||||
0.6363% 4/23/12 (l) | 543,000 | 539,622 | ||
5.625% 10/15/16 | 3,399,000 | 3,750,450 | ||
5.75% 6/15/17 | 2,933,000 | 3,292,844 | ||
Wells Fargo & Co.: | ||||
3.625% 4/15/15 | 10,194,000 | 10,668,072 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Commercial Banks - continued | ||||
Wells Fargo & Co.: - continued | ||||
3.75% 10/1/14 | $ 4,016,000 | $ 4,232,615 | ||
Zions Bancorp. 7.75% 9/23/14 | 3,590,000 | 3,771,467 | ||
| 232,031,082 | |||
Consumer Finance - 1.1% | ||||
Capital One Bank USA NA 8.8% 7/15/19 | 2,359,000 | 2,989,801 | ||
Capital One Financial Corp. 5.7% 9/15/11 | 5,251,000 | 5,466,758 | ||
Discover Financial Services: | ||||
6.45% 6/12/17 | 9,775,000 | 10,433,473 | ||
10.25% 7/15/19 | 11,089,000 | 13,964,965 | ||
Ford Motor Credit Co. LLC: | ||||
6.625% 8/15/17 | 2,655,000 | 2,694,825 | ||
7% 4/15/15 | 2,970,000 | 3,051,675 | ||
8% 6/1/14 | 1,065,000 | 1,126,238 | ||
8% 12/15/16 | 2,135,000 | 2,319,285 | ||
8.125% 1/15/20 | 1,780,000 | 1,948,173 | ||
12% 5/15/15 | 3,440,000 | 4,059,200 | ||
General Electric Capital Corp.: | ||||
5.625% 9/15/17 | 5,858,000 | 6,470,782 | ||
5.625% 5/1/18 | 25,000,000 | 27,576,100 | ||
5.875% 1/14/38 | 14,000,000 | 14,435,022 | ||
6.375% 11/15/67 (l) | 9,000,000 | 8,640,000 | ||
GMAC LLC: | ||||
6.75% 12/1/14 | 4,595,000 | 4,549,050 | ||
8% 12/31/18 | 975,000 | 938,438 | ||
8% 11/1/31 | 2,190,000 | 2,146,200 | ||
Household Finance Corp. 6.375% 10/15/11 | 1,860,000 | 1,964,744 | ||
HSBC Finance Corp.: | ||||
5.25% 1/14/11 | 1,308,000 | 1,328,279 | ||
5.25% 1/15/14 | 1,054,000 | 1,128,579 | ||
National Money Mart Co. 10.375% 12/15/16 | 2,975,000 | 3,101,438 | ||
ORIX Corp. 5.48% 11/22/11 | 385,000 | 401,187 | ||
SLM Corp.: | ||||
0.7278% 10/25/11 (l) | 12,343,000 | 11,739,205 | ||
0.7371% 3/15/11 (l) | 112,000 | 110,905 | ||
8% 3/25/20 | 5,103,000 | 4,465,227 | ||
| 137,049,549 | |||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Diversified Financial Services - 1.7% | ||||
Azovstal Capital BV 9.125% 2/28/11 | $ 375,000 | $ 375,938 | ||
Bank of America Corp.: | ||||
5.75% 12/1/17 | 4,590,000 | 4,859,249 | ||
8% (l) | 970,000 | 979,700 | ||
8.125% (l) | 1,290,000 | 1,309,350 | ||
Bank of Georgia JSC 9% 2/8/12 (Issued by BG Finance BV for Bank of Georgia JSC) | 540,000 | 534,600 | ||
Calpine Construction Finance Co. LP 8% 6/1/16 (f) | 2,835,000 | 2,962,575 | ||
CCO Holdings LLC/CCO Holdings Capital Corp. 7.875% 4/30/18 (f) | 865,000 | 890,950 | ||
Citigroup, Inc.: | ||||
4.75% 5/19/15 | 30,435,000 | 31,353,620 | ||
5.375% 8/9/20 | 10,933,000 | 11,042,264 | ||
5.5% 4/11/13 | 13,549,000 | 14,385,434 | ||
6.125% 5/15/18 | 15,634,000 | 16,878,920 | ||
6.5% 1/18/11 | 1,307,000 | 1,334,430 | ||
6.5% 8/19/13 | 10,774,000 | 11,783,222 | ||
City of Buenos Aires 12.5% 4/6/15 (f) | 2,335,000 | 2,440,075 | ||
GMAC, Inc. 8% 3/15/20 (f) | 4,700,000 | 4,805,750 | ||
Icahn Enterprises LP/Icahn Enterprises Finance Corp.: | ||||
7.75% 1/15/16 | 2,605,000 | 2,591,975 | ||
8% 1/15/18 | 4,655,000 | 4,631,725 | ||
ILFC E-Capital Trust II 6.25% 12/21/65 (f)(l) | 1,250,000 | 793,750 | ||
Ineos Finance PLC 9% 5/15/15 (f) | 1,715,000 | 1,766,450 | ||
International Lease Finance Corp.: | ||||
5.4% 2/15/12 | 2,864,000 | 2,803,140 | ||
5.625% 9/20/13 | 380,000 | 356,725 | ||
5.65% 6/1/14 | 11,820,000 | 10,963,050 | ||
6.375% 3/25/13 | 1,858,000 | 1,795,293 | ||
6.625% 11/15/13 | 4,281,000 | 4,120,463 | ||
JPMorgan Chase & Co.: | ||||
4.891% 9/1/15 (l) | 2,729,000 | 2,714,083 | ||
4.95% 3/25/20 | 17,148,000 | 18,130,049 | ||
LBI Escrow Corp. 8% 11/1/17 (f) | 3,820,000 | 4,106,500 | ||
Myriad International Holding BV 6.375% 7/28/17 (f) | 855,000 | 871,031 | ||
NSG Holdings II, LLC 7.75% 12/15/25 (f) | 9,115,000 | 8,066,775 | ||
Offshore Group Investment Ltd. 11.5% 8/1/15 (f) | 1,985,000 | 1,980,038 | ||
PHH Corp. 9.25% 3/1/16 (f) | 1,610,000 | 1,618,050 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Diversified Financial Services - continued | ||||
Prime Property Funding, Inc.: | ||||
5.125% 6/1/15 (f) | $ 1,090,000 | $ 1,064,073 | ||
5.5% 1/15/14 (f) | 695,000 | 702,683 | ||
5.7% 4/15/17 (f) | 1,696,000 | 1,557,593 | ||
Rearden G Holdings Eins GmbH 7.875% 3/30/20 (f) | 460,000 | 483,000 | ||
Sunwest Management, Inc. 7.9726% 2/10/15 | 364,436 | 278,648 | ||
Teachers Insurance & Annuity Association of America 6.85% 12/16/39 (f) | 6,200,000 | 7,784,298 | ||
TECO Finance, Inc.: | ||||
4% 3/15/16 | 2,562,000 | 2,680,254 | ||
5.15% 3/15/20 | 3,681,000 | 4,021,680 | ||
TMK Capital SA 10% 7/29/11 | 1,700,000 | 1,763,750 | ||
Trans Union LLC/Trans Union Financing Corp. 11.375% 6/15/18 (f) | 1,235,000 | 1,343,063 | ||
TransCapitalInvest Ltd. 5.67% 3/5/14 (f) | 3,238,000 | 3,427,786 | ||
UPC Germany GmbH 8.125% 12/1/17 (f) | 1,950,000 | 2,006,160 | ||
Volkswagen International Finance NV 4% 8/12/20 (f) | 5,602,000 | 5,800,109 | ||
Wind Acquisition Holdings Finance SA 12.25% 7/15/17 pay-in-kind (f)(l) | 5,121,570 | 5,293,996 | ||
ZFS Finance USA Trust II 6.45% 12/15/65 (f)(l) | 5,755,000 | 5,294,600 | ||
ZFS Finance USA Trust IV 5.875% 5/9/62 (f)(l) | 1,673,000 | 1,497,921 | ||
ZFS Finance USA Trust V 6.5% 5/9/67 (f)(l) | 3,125,000 | 2,828,125 | ||
| 221,072,913 | |||
Insurance - 1.2% | ||||
Allstate Corp.: | ||||
5.55% 5/9/35 | 7,505,000 | 7,927,922 | ||
6.2% 5/16/14 | 6,893,000 | 8,010,335 | ||
American International Group, Inc. 8.175% 5/15/68 (l) | 7,875,000 | 6,752,813 | ||
Assurant, Inc. 5.625% 2/15/14 | 1,912,000 | 2,040,376 | ||
Axis Capital Holdings Ltd. 5.75% 12/1/14 | 558,000 | 598,978 | ||
Great-West Life & Annuity Insurance Co. 7.153% 5/16/46 (f)(l) | 1,491,000 | 1,408,995 | ||
Jackson National Life Global Funding 5.375% 5/8/13 (f) | 753,000 | 816,864 | ||
Liberty Mutual Group, Inc. 6.5% 3/15/35 (f) | 594,000 | 541,239 | ||
Massachusetts Mutual Life Insurance Co. 8.875% 6/1/39 (f) | 7,475,000 | 10,643,271 | ||
MetLife, Inc.: | ||||
2.375% 2/6/14 | 5,900,000 | 5,924,951 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Insurance - continued | ||||
MetLife, Inc.: - continued | ||||
4.75% 2/8/21 | $ 4,032,000 | $ 4,219,359 | ||
5% 6/15/15 | 1,163,000 | 1,274,925 | ||
5.875% 2/6/41 | 3,113,000 | 3,405,298 | ||
6.125% 12/1/11 | 990,000 | 1,047,635 | ||
6.75% 6/1/16 | 7,610,000 | 8,966,307 | ||
Metropolitan Life Global Funding I: | ||||
5.125% 4/10/13 (f) | 559,000 | 608,912 | ||
5.125% 6/10/14 (f) | 6,751,000 | 7,479,784 | ||
Monumental Global Funding II 5.65% 7/14/11 (f) | 1,652,000 | 1,696,647 | ||
Monumental Global Funding III 5.5% 4/22/13 (f) | 2,202,000 | 2,383,696 | ||
New York Life Insurance Co. 6.75% 11/15/39 (f) | 4,378,000 | 5,595,539 | ||
Northwestern Mutual Life Insurance Co. 6.063% 3/30/40 (f) | 5,160,000 | 6,096,421 | ||
Pacific Life Global Funding 5.15% 4/15/13 (f) | 11,281,000 | 12,135,107 | ||
Pacific Life Insurance Co. 9.25% 6/15/39 (f) | 7,656,000 | 9,871,019 | ||
Pacific LifeCorp 6% 2/10/20 (f) | 5,766,000 | 6,234,764 | ||
Prudential Financial, Inc.: | ||||
3.625% 9/17/12 | 11,000,000 | 11,414,392 | ||
4.75% 9/17/15 | 11,000,000 | 11,799,700 | ||
5.15% 1/15/13 | 2,167,000 | 2,317,301 | ||
5.4% 6/13/35 | 452,000 | 445,282 | ||
5.5% 3/15/16 | 425,000 | 464,527 | ||
5.7% 12/14/36 | 384,000 | 393,492 | ||
6.2% 1/15/15 | 1,180,000 | 1,326,600 | ||
7.375% 6/15/19 | 3,230,000 | 3,931,550 | ||
8.875% 6/15/38 (l) | 1,915,000 | 2,087,350 | ||
Symetra Financial Corp. 6.125% 4/1/16 (f) | 5,181,000 | 5,343,942 | ||
The Chubb Corp. 5.75% 5/15/18 | 4,035,000 | 4,656,721 | ||
| 159,862,014 | |||
Real Estate Investment Trusts - 0.5% | ||||
AvalonBay Communities, Inc.: | ||||
4.95% 3/15/13 | 367,000 | 389,761 | ||
5.5% 1/15/12 | 1,759,000 | 1,855,372 | ||
Camden Property Trust: | ||||
5.375% 12/15/13 | 4,073,000 | 4,387,831 | ||
5.875% 11/30/12 | 670,000 | 718,816 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Real Estate Investment Trusts - continued | ||||
Developers Diversified Realty Corp.: | ||||
5.25% 4/15/11 | $ 3,363,000 | $ 3,373,002 | ||
5.375% 10/15/12 | 3,206,000 | 3,201,835 | ||
7.5% 4/1/17 | 4,686,000 | 4,717,912 | ||
7.875% 9/1/20 | 323,000 | 328,857 | ||
Duke Realty LP: | ||||
4.625% 5/15/13 | 949,000 | 985,287 | ||
5.875% 8/15/12 | 1,017,000 | 1,068,241 | ||
Equity One, Inc.: | ||||
6% 9/15/17 | 890,000 | 916,883 | ||
6.25% 12/15/14 | 5,251,000 | 5,624,493 | ||
6.25% 1/15/17 | 494,000 | 516,620 | ||
Federal Realty Investment Trust: | ||||
5.4% 12/1/13 | 441,000 | 478,941 | ||
5.9% 4/1/20 | 2,450,000 | 2,731,850 | ||
6% 7/15/12 | 2,933,000 | 3,146,308 | ||
6.2% 1/15/17 | 620,000 | 700,637 | ||
HMB Capital Trust V 4.1371% 12/15/36 (b)(f)(l) | 270,000 | 0 | ||
HRPT Properties Trust: | ||||
5.75% 11/1/15 | 890,000 | 942,313 | ||
6.25% 6/15/17 | 1,232,000 | 1,292,825 | ||
6.65% 1/15/18 | 656,000 | 703,528 | ||
Omega Healthcare Investors, Inc.: | ||||
7% 4/1/14 | 7,000,000 | 7,140,000 | ||
7% 1/15/16 | 3,060,000 | 3,128,850 | ||
Rouse Co.: | ||||
5.375% 11/26/13 (b) | 145,000 | 165,300 | ||
7.2% 9/15/12 (b) | 10,000 | 11,975 | ||
Senior Housing Properties Trust: | ||||
6.75% 4/15/20 | 2,325,000 | 2,383,125 | ||
8.625% 1/15/12 | 250,000 | 262,500 | ||
UDR, Inc. 5.5% 4/1/14 | 5,222,000 | 5,584,431 | ||
Washington (REIT) 5.95% 6/15/11 | 3,701,000 | 3,809,883 | ||
| 60,567,376 | |||
Real Estate Management & Development - 1.1% | ||||
AMB Property LP 5.9% 8/15/13 | 2,580,000 | 2,749,996 | ||
Arden Realty LP 5.2% 9/1/11 | 1,339,000 | 1,377,247 | ||
BioMed Realty LP 6.125% 4/15/20 (f) | 3,359,000 | 3,629,913 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Real Estate Management & Development - continued | ||||
Brandywine Operating Partnership LP: | ||||
5.625% 12/15/10 | $ 4,192,000 | $ 4,233,220 | ||
5.7% 5/1/17 | 5,943,000 | 6,021,263 | ||
5.75% 4/1/12 | 2,512,000 | 2,595,115 | ||
Colonial Properties Trust 6.875% 8/15/12 | 4,000,000 | 4,130,000 | ||
Colonial Realty LP 6.05% 9/1/16 | 2,000,000 | 1,934,624 | ||
Digital Realty Trust LP 4.5% 7/15/15 (f) | 4,981,000 | 5,044,035 | ||
Duke Realty LP: | ||||
5.4% 8/15/14 | 5,421,000 | 5,715,604 | ||
5.625% 8/15/11 | 3,706,000 | 3,787,358 | ||
5.95% 2/15/17 | 1,109,000 | 1,189,161 | ||
6.25% 5/15/13 | 14,424,000 | 15,589,312 | ||
6.5% 1/15/18 | 3,795,000 | 4,152,569 | ||
6.75% 3/15/20 | 10,000,000 | 11,177,250 | ||
ERP Operating LP: | ||||
4.75% 7/15/20 | 6,820,000 | 7,138,992 | ||
5.25% 9/15/14 | 1,310,000 | 1,446,619 | ||
5.375% 8/1/16 | 2,768,000 | 3,048,191 | ||
5.5% 10/1/12 | 3,655,000 | 3,944,001 | ||
5.75% 6/15/17 | 11,387,000 | 12,856,572 | ||
Forest City Enterprises, Inc. 7.625% 6/1/15 | 100,000 | 91,000 | ||
Highwoods/Forsyth LP 5.85% 3/15/17 | 615,000 | 632,677 | ||
Host Hotels & Resorts LP 9% 5/15/17 | 2,135,000 | 2,316,475 | ||
Liberty Property LP: | ||||
5.125% 3/2/15 | 1,190,000 | 1,257,632 | ||
5.5% 12/15/16 | 1,523,000 | 1,640,796 | ||
6.625% 10/1/17 | 4,264,000 | 4,879,837 | ||
Mack-Cali Realty LP 7.75% 2/15/11 | 976,000 | 999,534 | ||
Post Apartment Homes LP 6.3% 6/1/13 | 3,812,000 | 4,116,240 | ||
Reckson Operating Partnership LP 6% 3/31/16 | 3,651,000 | 3,553,931 | ||
Regency Centers LP: | ||||
4.95% 4/15/14 | 611,000 | 641,372 | ||
5.25% 8/1/15 | 2,133,000 | 2,283,037 | ||
5.875% 6/15/17 | 1,056,000 | 1,144,370 | ||
Simon Property Group LP: | ||||
4.2% 2/1/15 | 3,659,000 | 3,910,886 | ||
6.75% 2/1/40 | 6,410,000 | 7,656,207 | ||
Tanger Properties LP: | ||||
6.125% 6/1/20 | 4,395,000 | 4,836,482 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Real Estate Management & Development - continued | ||||
Tanger Properties LP: - continued | ||||
6.15% 11/15/15 | $ 824,000 | $ 910,852 | ||
Toys 'R' Us Property Co. II LLC 8.5% 12/1/17 (f) | 2,455,000 | 2,553,200 | ||
Ventas Realty LP: | ||||
6.5% 6/1/16 | 105,000 | 107,100 | ||
6.5% 6/1/16 | 450,000 | 459,000 | ||
6.625% 10/15/14 | 3,505,000 | 3,610,150 | ||
6.75% 4/1/17 | 250,000 | 257,500 | ||
| 149,619,320 | |||
Thrifts & Mortgage Finance - 0.5% | ||||
Bank of America Corp.: | ||||
3.7% 9/1/15 | 4,630,000 | 4,621,360 | ||
5.625% 7/1/20 | 18,255,000 | 18,820,814 | ||
5.65% 5/1/18 | 12,000,000 | 12,477,804 | ||
6.5% 8/1/16 | 9,000,000 | 10,059,381 | ||
First Niagara Financial Group, Inc. 6.75% 3/19/20 | 7,320,000 | 8,035,501 | ||
Independence Community Bank Corp.: | ||||
2.353% 4/1/14 (l) | 4,218,000 | 4,058,142 | ||
4.9% 9/23/10 | 1,696,000 | 1,698,948 | ||
Wrightwood Capital LLC 10.5% 6/1/14 (b)(f) | 100,000 | 38,000 | ||
| 59,809,950 | |||
TOTAL FINANCIALS | 1,227,231,469 | |||
HEALTH CARE - 0.6% | ||||
Health Care Equipment & Supplies - 0.1% | ||||
Biomet, Inc.: | ||||
10% 10/15/17 | 4,825,000 | 5,235,125 | ||
10.375% 10/15/17 pay-in-kind (l) | 3,155,000 | 3,423,175 | ||
| 8,658,300 | |||
Health Care Providers & Services - 0.4% | ||||
Coventry Health Care, Inc.: | ||||
5.95% 3/15/17 | 1,747,000 | 1,748,691 | ||
6.3% 8/15/14 | 3,618,000 | 3,858,420 | ||
DASA Finance Corp. 8.75% 5/29/18 (f) | 585,000 | 655,785 | ||
Express Scripts, Inc.: | ||||
5.25% 6/15/12 | 7,157,000 | 7,635,474 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
HEALTH CARE - continued | ||||
Health Care Providers & Services - continued | ||||
Express Scripts, Inc.: - continued | ||||
6.25% 6/15/14 | $ 2,629,000 | $ 3,031,048 | ||
HCA, Inc.: | ||||
8.5% 4/15/19 | 1,760,000 | 1,922,800 | ||
9.125% 11/15/14 | 3,905,000 | 4,110,013 | ||
9.25% 11/15/16 | 4,905,000 | 5,236,088 | ||
9.625% 11/15/16 pay-in-kind (l) | 11,255,066 | 12,014,783 | ||
Psychiatric Solutions, Inc. 7.75% 7/15/15 | 420,000 | 425,250 | ||
Rural/Metro Corp. 12.75% 3/15/16 | 995,000 | 1,047,337 | ||
Skilled Healthcare Group, Inc. 11% 1/15/14 | 64,000 | 55,680 | ||
Sun Healthcare Group, Inc. 9.125% 4/15/15 | 10,000 | 10,475 | ||
Vanguard Health Holding Co. II LLC/Vanguard Health Holding Co. II, Inc.: | ||||
8% 2/1/18 | 4,570,000 | 4,478,600 | ||
8% 2/1/18 (f) | 2,330,000 | 2,283,400 | ||
| 48,513,844 | |||
Health Care Technology - 0.0% | ||||
DJO Finance LLC / DJO Finance Corp. 10.875% 11/15/14 | 7,885,000 | 8,456,663 | ||
Pharmaceuticals - 0.1% | ||||
Mylan, Inc.: | ||||
7.625% 7/15/17 (f) | 1,115,000 | 1,156,813 | ||
7.875% 7/15/20 (f) | 995,000 | 1,042,263 | ||
Novartis Capital Corp. 4.125% 2/10/14 | 2,930,000 | 3,204,564 | ||
Roche Holdings, Inc. 5% 3/1/14 (f) | 5,943,000 | 6,633,553 | ||
Valeant Pharmaceuticals International 7.625% 3/15/20 (f) | 1,720,000 | 2,072,600 | ||
| 14,109,793 | |||
TOTAL HEALTH CARE | 79,738,600 | |||
INDUSTRIALS - 1.3% | ||||
Aerospace & Defense - 0.1% | ||||
BAE Systems Holdings, Inc.: | ||||
6.375% 6/1/19 (f) | 8,071,000 | 9,460,108 | ||
6.4% 12/15/11 (f) | 818,000 | 865,026 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
INDUSTRIALS - continued | ||||
Aerospace & Defense - continued | ||||
BE Aerospace, Inc. 8.5% 7/1/18 | $ 2,875,000 | $ 3,076,250 | ||
Esterline Technologies Corp. 7% 8/1/20 (f) | 1,105,000 | 1,124,338 | ||
| 14,525,722 | |||
Airlines - 0.4% | ||||
Air Canada 9.25% 8/1/15 (f) | 4,265,000 | 4,201,025 | ||
American Airlines, Inc. 10.5% 10/15/12 (f) | 3,200,000 | 3,400,000 | ||
American Airlines, Inc. pass-thru trust certificates: | ||||
6.977% 11/23/22 | 934,236 | 789,430 | ||
6.978% 10/1/12 | 178,326 | 179,663 | ||
8.608% 10/1/12 | 960,000 | 960,000 | ||
10.375% 7/2/19 | 1,878,805 | 2,151,232 | ||
AMR Corp. 9% 8/1/12 | 485,000 | 473,481 | ||
Continental Airlines, Inc.: | ||||
pass-thru trust certificates: | ||||
7.875% 7/2/18 | 792,960 | 745,382 | ||
9.798% 4/1/21 | 615,180 | 602,877 | ||
6.648% 3/15/19 | 2,820,535 | 2,858,613 | ||
6.75% 9/15/15 (f) | 3,405,000 | 3,379,463 | ||
6.82% 5/1/18 | 221,731 | 221,731 | ||
6.9% 7/2/19 | 817,032 | 839,501 | ||
Continental Airlines, Inc. 9.25% 5/10/17 | 3,060,000 | 3,182,400 | ||
Delta Air Lines, Inc. pass-thru trust certificates: | ||||
6.821% 8/10/22 | 338,024 | 347,320 | ||
7.57% 11/18/10 | 11,016,000 | 11,126,160 | ||
8.021% 8/10/22 | 1,640,643 | 1,613,573 | ||
8.954% 8/10/14 | 2,174,767 | 2,231,311 | ||
Northwest Airlines, Inc. pass-thru trust certificates 8.028% 11/1/17 | 910,740 | 919,847 | ||
U.S. Airways pass-thru trust certificates: | ||||
6.85% 7/30/19 | 1,918,309 | 1,815,679 | ||
8.36% 7/20/20 | 1,320,837 | 1,318,856 | ||
United Air Lines, Inc.: | ||||
9.875% 8/1/13 (f) | 785,000 | 834,063 | ||
12% 11/1/13 (f) | 995,000 | 1,064,650 | ||
United Air Lines, Inc. pass-thru trust certificates: | ||||
Class B, 7.336% 7/2/19 | 838,014 | 754,212 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
INDUSTRIALS - continued | ||||
Airlines - continued | ||||
United Air Lines, Inc. pass-thru trust certificates: - continued | ||||
9.75% 1/15/17 | $ 2,284,141 | $ 2,529,686 | ||
12% 1/15/16 (f) | 828,962 | 902,491 | ||
| 49,442,646 | |||
Building Products - 0.0% | ||||
Building Materials Corp. of America 6.875% 8/15/18 (f) | 2,550,000 | 2,499,000 | ||
Commercial Services & Supplies - 0.2% | ||||
ACCO Brands Corp. 10.625% 3/15/15 | 795,000 | 876,488 | ||
ARAMARK Corp.: | ||||
3.9656% 2/1/15 (l) | 5,440,000 | 4,977,600 | ||
8.5% 2/1/15 | 1,775,000 | 1,828,250 | ||
EnergySolutions, Inc. / EnergySolutions LLC 10.75% 8/15/18 (f) | 955,000 | 977,634 | ||
International Lease Finance Corp.: | ||||
6.5% 9/1/14 (f) | 1,620,000 | 1,656,450 | ||
6.75% 9/1/16 (f) | 1,620,000 | 1,652,400 | ||
8.625% 9/15/15 (f) | 2,745,000 | 2,765,588 | ||
8.75% 3/15/17 (f) | 3,990,000 | 4,019,925 | ||
8.875% 9/1/17 | 4,870,000 | 4,918,700 | ||
| 23,673,035 | |||
Construction & Engineering - 0.0% | ||||
Amsted Industries, Inc. 8.125% 3/15/18 (f) | 2,535,000 | 2,579,363 | ||
Odebrecht Finance Ltd. 7% 4/21/20 (f) | 460,000 | 487,600 | ||
Odebrecht Overseas Ltd. 9.625% | 250,000 | 253,125 | ||
| 3,320,088 | |||
Industrial Conglomerates - 0.2% | ||||
General Electric Co. 5.25% 12/6/17 | 17,730,000 | 19,892,812 | ||
Otter Tail Corp. 9% 12/15/16 | 2,410,000 | 2,578,700 | ||
Sequa Corp.: | ||||
11.75% 12/1/15 (f) | 1,415,000 | 1,464,525 | ||
13.5% 12/1/15 pay-in-kind (f) | 901,711 | 944,542 | ||
| 24,880,579 | |||
Machinery - 0.1% | ||||
Accuride Corp. 9.5% 8/1/18 (f) | 1,515,000 | 1,552,875 | ||
ArvinMeritor, Inc. 8.125% 9/15/15 | 3,250,000 | 3,258,125 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
INDUSTRIALS - continued | ||||
Machinery - continued | ||||
Navistar International Corp. 8.25% 11/1/21 | $ 2,655,000 | $ 2,761,200 | ||
RBS Global, Inc./Rexnord Corp.: | ||||
8.5% 5/1/18 | 2,960,000 | 2,989,600 | ||
11.75% 8/1/16 | 1,860,000 | 1,990,200 | ||
SPX Corp. 6.875% 9/1/17 (f) | 3,260,000 | 3,333,350 | ||
| 15,885,350 | |||
Marine - 0.1% | ||||
Navios Maritime Holdings, Inc.: | ||||
8.875% 11/1/17 (f) | 1,970,000 | 2,038,950 | ||
9.5% 12/15/14 | 3,070,000 | 3,062,325 | ||
| 5,101,275 | |||
Professional Services - 0.0% | ||||
FTI Consulting, Inc. 7.625% 6/15/13 | 1,395,000 | 1,412,438 | ||
Road & Rail - 0.2% | ||||
Avis Budget Car Rental LLC/Avis Budget Finance, Inc.: | ||||
7.625% 5/15/14 | 4,105,000 | 4,105,000 | ||
7.75% 5/15/16 | 3,025,000 | 2,934,250 | ||
Hertz Corp.: | ||||
8.875% 1/1/14 | 6,065,000 | 6,231,788 | ||
10.5% 1/1/16 | 2,240,000 | 2,374,400 | ||
Kansas City Southern de Mexico, SA de CV 12.5% 4/1/16 | 1,135,000 | 1,362,000 | ||
Swift Transportation Co., Inc. 12.5% 5/15/17 (f) | 2,780,000 | 2,766,100 | ||
| 19,773,538 | |||
Trading Companies & Distributors - 0.0% | ||||
Aircastle Ltd. 9.75% 8/1/18 (f) | 495,000 | 501,188 | ||
TOTAL INDUSTRIALS | 161,014,859 | |||
INFORMATION TECHNOLOGY - 0.5% | ||||
Communications Equipment - 0.1% | ||||
Avaya, Inc.: | ||||
9.75% 11/1/15 | 1,955,000 | 1,842,588 | ||
10.125% 11/1/15 pay-in-kind (l) | 6,052,385 | 5,719,504 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
INFORMATION TECHNOLOGY - continued | ||||
Communications Equipment - continued | ||||
Lucent Technologies, Inc.: | ||||
6.45% 3/15/29 | $ 5,400,000 | $ 3,645,000 | ||
6.5% 1/15/28 | 1,940,000 | 1,309,500 | ||
| 12,516,592 | |||
Computers & Peripherals - 0.0% | ||||
Seagate HDD Cayman 6.875% 5/1/20 (f) | 1,015,000 | 995,969 | ||
Seagate Technology HDD Holdings 6.8% 10/1/16 | 4,140,000 | 4,181,400 | ||
| 5,177,369 | |||
Electronic Equipment & Components - 0.1% | ||||
Intcomex, Inc. 13.25% 12/15/14 (f) | 1,510,000 | 1,593,050 | ||
Jabil Circuit, Inc.: | ||||
7.75% 7/15/16 | 2,915,000 | 3,140,913 | ||
8.25% 3/15/18 | 1,025,000 | 1,114,688 | ||
Tyco Electronics Group SA: | ||||
5.95% 1/15/14 | 2,950,000 | 3,300,271 | ||
6% 10/1/12 | 3,877,000 | 4,195,879 | ||
6.55% 10/1/17 | 1,383,000 | 1,617,597 | ||
| 14,962,398 | |||
Internet Software & Services - 0.1% | ||||
Equinix, Inc. 8.125% 3/1/18 | 2,530,000 | 2,656,500 | ||
Terremark Worldwide, Inc. 12% 6/15/17 | 3,465,000 | 3,898,125 | ||
| 6,554,625 | |||
IT Services - 0.0% | ||||
Fidelity National Information Services, Inc.: | ||||
7.625% 7/15/17 (f) | 800,000 | 832,000 | ||
7.875% 7/15/20 (f) | 1,070,000 | 1,123,500 | ||
SunGard Data Systems, Inc. 10.25% 8/15/15 | 3,795,000 | 3,956,288 | ||
| 5,911,788 | |||
Office Electronics - 0.1% | ||||
Xerox Capital Trust I 8% 2/1/27 | 8,230,000 | 8,401,439 | ||
Xerox Corp. 5.5% 5/15/12 | 1,602,000 | 1,709,654 | ||
| 10,111,093 | |||
Semiconductors & Semiconductor Equipment - 0.1% | ||||
Advanced Micro Devices, Inc. 7.75% 8/1/20 (f) | 2,085,000 | 2,069,363 | ||
Amkor Technology, Inc. 7.375% 5/1/18 (f) | 2,060,000 | 2,054,850 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
INFORMATION TECHNOLOGY - continued | ||||
Semiconductors & Semiconductor Equipment - continued | ||||
Freescale Semiconductor, Inc.: | ||||
9.125% 12/15/14 pay-in-kind (l) | $ 1,966,560 | $ 1,819,068 | ||
9.25% 4/15/18 (f) | 2,385,000 | 2,385,000 | ||
10.125% 12/15/16 | 3,320,000 | 2,739,000 | ||
Viasystems, Inc. 12% 1/15/15 (f) | 1,590,000 | 1,729,125 | ||
| 12,796,406 | |||
TOTAL INFORMATION TECHNOLOGY | 68,030,271 | |||
MATERIALS - 1.1% | ||||
Chemicals - 0.5% | ||||
Berry Plastics Corp.: | ||||
5.2759% 2/15/15 (l) | 1,975,000 | 1,856,500 | ||
8.25% 11/15/15 | 3,805,000 | 3,805,000 | ||
8.875% 9/15/14 | 2,455,000 | 2,332,250 | ||
9.5% 5/15/18 (f) | 3,800,000 | 3,524,500 | ||
Braskem Finance Ltd. 7% 5/7/20 (f) | 410,000 | 426,400 | ||
Dow Chemical Co.: | ||||
4.85% 8/15/12 | 9,460,000 | 9,983,904 | ||
7.6% 5/15/14 | 16,104,000 | 18,774,639 | ||
Huntsman International LLC: | ||||
5.5% 6/30/16 | 3,195,000 | 2,979,338 | ||
8.625% 3/15/20 (f) | 1,700,000 | 1,700,000 | ||
Lubrizol Corp. 8.875% 2/1/19 | 928,000 | 1,193,068 | ||
Lyondell Chemical Co. 11% 5/1/18 | 3,955,000 | 4,296,119 | ||
NOVA Chemicals Corp.: | ||||
3.7476% 11/15/13 (l) | 2,720,000 | 2,529,600 | ||
6.5% 1/15/12 | 2,290,000 | 2,341,525 | ||
8.375% 11/1/16 | 2,825,000 | 2,888,563 | ||
8.625% 11/1/19 | 1,935,000 | 2,012,400 | ||
| 60,643,806 | |||
Construction Materials - 0.0% | ||||
CRH America, Inc. 6% 9/30/16 | 1,833,000 | 2,014,920 | ||
Texas Industries, Inc. 9.25% 8/15/20 (f) | 3,100,000 | 3,084,500 | ||
| 5,099,420 | |||
Containers & Packaging - 0.1% | ||||
Crown Cork & Seal, Inc. 7.375% 12/15/26 | 4,250,000 | 4,016,250 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
MATERIALS - continued | ||||
Containers & Packaging - continued | ||||
Pactiv Corp.: | ||||
5.875% 7/15/12 | $ 1,713,000 | $ 1,816,948 | ||
6.4% 1/15/18 | 1,749,000 | 1,813,772 | ||
Vitro SAB de CV 8.625% 2/1/12 (b) | 6,915,000 | 3,388,350 | ||
| 11,035,320 | |||
Metals & Mining - 0.5% | ||||
Algoma Acquisition Corp. 9.875% 6/15/15 (f) | 1,200,000 | 1,050,000 | ||
Anglo American Capital PLC 9.375% 4/8/14 (f) | 5,953,000 | 7,240,830 | ||
BHP Billiton Financial (USA) Ltd. 5.125% 3/29/12 | 1,975,000 | 2,096,439 | ||
Corporacion Nacional del Cobre (Codelco) 6.375% 11/30/12 (f) | 2,002,000 | 2,208,290 | ||
CSN Islands XI Corp. 6.875% 9/21/19 (f) | 1,500,000 | 1,605,000 | ||
Edgen Murray Corp. 12.25% 1/15/15 (f) | 4,970,000 | 4,100,250 | ||
Essar Steel Algoma, Inc. 9.375% 3/15/15 (f) | 3,100,000 | 3,061,250 | ||
Evraz Group SA 8.875% 4/24/13 (f) | 2,055,000 | 2,142,338 | ||
FMG Finance Property Ltd.: | ||||
10% 9/1/13 (f) | 5,580,000 | 6,082,200 | ||
10.625% 9/1/16 (f) | 789,000 | 931,020 | ||
McJunkin Red Man Corp. 9.5% 12/15/16 (f) | 5,660,000 | 5,009,100 | ||
Metinvest BV 10.25% 5/20/15 (f) | 810,000 | 838,350 | ||
Rio Tinto Finance (USA) Ltd.: | ||||
5.875% 7/15/13 | 3,264,000 | 3,633,237 | ||
6.5% 7/15/18 | 1,458,000 | 1,726,266 | ||
Severstal Columbus LLC 10.25% 2/15/18 (f) | 2,940,000 | 3,057,600 | ||
Southern Copper Corp. 6.75% 4/16/40 | 1,025,000 | 1,101,875 | ||
Steel Dynamics, Inc.: | ||||
6.75% 4/1/15 | 2,240,000 | 2,268,000 | ||
7.375% 11/1/12 | 1,985,000 | 2,094,175 | ||
Tube City IMS Corp. 9.75% 2/1/15 | 1,700,000 | 1,738,250 | ||
United States Steel Corp. 6.65% 6/1/37 | 2,648,000 | 2,330,240 | ||
Vale Overseas Ltd. 6.25% 1/23/17 | 5,007,000 | 5,614,199 | ||
| 59,928,909 | |||
Paper & Forest Products - 0.0% | ||||
Boise Paper LLC/Boise Co-Issuer Co. 8% 4/1/20 | 1,165,000 | 1,188,300 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
MATERIALS - continued | ||||
Paper & Forest Products - continued | ||||
Verso Paper Holdings LLC/Verso Paper, Inc.: | ||||
9.125% 8/1/14 | $ 1,345,000 | $ 1,297,925 | ||
11.5% 7/1/14 | 3,795,000 | 4,041,675 | ||
| 6,527,900 | |||
TOTAL MATERIALS | 143,235,355 | |||
TELECOMMUNICATION SERVICES - 2.5% | ||||
Diversified Telecommunication Services - 1.5% | ||||
Alestra SA de RL de CV 11.75% 8/11/14 | 1,185,000 | 1,309,425 | ||
AT&T, Inc.: | ||||
2.5% 8/15/15 | 7,000,000 | 7,076,244 | ||
5.8% 2/15/19 | 5,216,000 | 6,152,126 | ||
6.3% 1/15/38 | 31,601,000 | 36,261,926 | ||
BellSouth Capital Funding Corp. 7.875% 2/15/30 | 899,000 | 1,136,310 | ||
British Telecommunications PLC 9.375% 12/15/10 (e) | 2,717,000 | 2,777,652 | ||
CenturyTel, Inc. 7.6% 9/15/39 | 7,184,000 | 6,999,350 | ||
Citizens Communications Co.: | ||||
7.875% 1/15/27 | 925,000 | 901,875 | ||
9% 8/15/31 | 2,260,000 | 2,299,550 | ||
Frontier Communications Corp.: | ||||
7.875% 4/15/15 | 1,545,000 | 1,626,113 | ||
8.125% 10/1/18 | 3,615,000 | 3,831,900 | ||
8.25% 5/1/14 | 2,245,000 | 2,421,682 | ||
8.25% 4/15/17 | 2,270,000 | 2,423,225 | ||
8.5% 4/15/20 | 775,000 | 817,625 | ||
Global Crossing Ltd. 12% 9/15/15 | 2,160,000 | 2,397,816 | ||
Indosat Palapa Co. BV 7.375% 7/29/20 (f) | 710,000 | 763,250 | ||
Intelsat Bermuda Ltd. 12% 2/4/17 pay-in-kind (l) | 7,164,320 | 7,376,016 | ||
Intelsat Ltd.: | ||||
6.5% 11/1/13 | 3,700,000 | 3,533,500 | ||
7.625% 4/15/12 | 3,665,000 | 3,710,813 | ||
11.25% 6/15/16 | 1,635,000 | 1,753,538 | ||
Qwest Communications International, Inc.: | ||||
7.125% 4/1/18 (f) | 2,450,000 | 2,529,625 | ||
7.5% 2/15/14 | 1,310,000 | 1,334,563 | ||
8% 10/1/15 (f) | 2,050,000 | 2,203,750 | ||
Sprint Capital Corp. 6.875% 11/15/28 | 15,285,000 | 12,762,975 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
TELECOMMUNICATION SERVICES - continued | ||||
Diversified Telecommunication Services - continued | ||||
Telecom Italia Capital SA: | ||||
4.95% 9/30/14 | $ 3,208,000 | $ 3,372,439 | ||
5.25% 10/1/15 | 1,177,000 | 1,253,090 | ||
6.999% 6/4/18 | 1,793,000 | 2,028,955 | ||
7.175% 6/18/19 | 14,000,000 | 16,139,102 | ||
7.2% 7/18/36 | 7,240,000 | 7,798,378 | ||
Telefonica Emisiones SAU: | ||||
5.134% 4/27/20 | 10,000,000 | 10,780,330 | ||
6.421% 6/20/16 | 1,162,000 | 1,339,544 | ||
U.S. West Communications 7.5% 6/15/23 | 3,760,000 | 3,797,600 | ||
Verizon Communications, Inc.: | ||||
6.1% 4/15/18 | 6,000,000 | 7,072,614 | ||
6.25% 4/1/37 | 2,348,000 | 2,684,142 | ||
6.4% 2/15/38 | 7,621,000 | 8,930,981 | ||
6.9% 4/15/38 | 6,295,000 | 7,794,664 | ||
Verizon New England, Inc. 6.5% 9/15/11 | 891,000 | 940,002 | ||
Verizon New York, Inc. 6.875% 4/1/12 | 2,653,000 | 2,866,620 | ||
Wind Acquisition Finance SA 11.75% 7/15/17 (f) | 4,535,000 | 4,988,500 | ||
| 196,187,810 | |||
Wireless Telecommunication Services - 1.0% | ||||
Cleveland Unlimited, Inc. 13.5% 12/15/10 (f)(l) | 1,260,000 | 1,260,000 | ||
Cricket Communications, Inc.: | ||||
7.75% 5/15/16 | 2,905,000 | 2,999,413 | ||
9.375% 11/1/14 | 1,185,000 | 1,199,813 | ||
Digicel Group Ltd.: | ||||
8.25% 9/1/17 (f) | 2,020,000 | 2,060,400 | ||
8.875% 1/15/15 (f) | 4,030,000 | 4,050,150 | ||
9.125% 1/15/15 pay-in-kind (f)(l) | 3,070,000 | 3,085,350 | ||
12% 4/1/14 (f) | 3,545,000 | 4,050,163 | ||
DIRECTV Holdings LLC/DIRECTV Financing, Inc.: | ||||
4.75% 10/1/14 | 9,282,000 | 10,028,291 | ||
5.875% 10/1/19 | 11,570,000 | 12,988,227 | ||
6.35% 3/15/40 | 3,541,000 | 3,908,616 | ||
Intelsat Jackson Holdings Ltd.: | ||||
9.5% 6/15/16 | 4,770,000 | 5,068,125 | ||
11.5% 6/15/16 | 7,175,000 | 7,713,125 | ||
Intelsat Subsidiary Holding Co. Ltd.: | ||||
8.875% 1/15/15 (f) | 550,000 | 565,125 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
TELECOMMUNICATION SERVICES - continued | ||||
Wireless Telecommunication Services - continued | ||||
Intelsat Subsidiary Holding Co. Ltd.: - continued | ||||
8.875% 1/15/15 | $ 6,110,000 | $ 6,308,575 | ||
MetroPCS Wireless, Inc.: | ||||
9.25% 11/1/14 | 4,060,000 | 4,222,400 | ||
9.25% 11/1/14 | 1,560,000 | 1,626,300 | ||
Millicom International Cellular SA 10% 12/1/13 | 3,755,000 | 3,877,038 | ||
Mobile Telesystems Finance SA 8% 1/28/12 (f) | 613,000 | 643,650 | ||
MTS International Funding Ltd. 8.625% 6/22/20 (f) | 1,055,000 | 1,201,434 | ||
Nextel Communications, Inc.: | ||||
5.95% 3/15/14 | 6,545,000 | 6,324,106 | ||
6.875% 10/31/13 | 9,105,000 | 9,082,238 | ||
7.375% 8/1/15 | 4,995,000 | 4,945,050 | ||
NII Capital Corp.: | ||||
8.875% 12/15/19 | 2,695,000 | 2,897,125 | ||
10% 8/15/16 | 3,560,000 | 3,991,650 | ||
Orascom Telecom Finance SCA 7.875% 2/8/14 (f) | 2,635,000 | 2,490,075 | ||
Pakistan Mobile Communications Ltd. 8.625% 11/13/13 (f) | 3,170,000 | 3,043,200 | ||
Sprint Nextel Corp. 6% 12/1/16 | 5,715,000 | 5,336,381 | ||
Telecom Personal SA 9.25% 12/22/10 (f) | 1,455,000 | 1,484,100 | ||
Vimpel Communications 8.375% 4/30/13 (Issued by VIP Finance Ireland Ltd. for Vimpel Communications) (f) | 1,545,000 | 1,641,563 | ||
Vodafone Group PLC: | ||||
5% 12/16/13 | 2,296,000 | 2,509,576 | ||
5.5% 6/15/11 | 2,760,000 | 2,860,370 | ||
| 123,461,629 | |||
TOTAL TELECOMMUNICATION SERVICES | 319,649,439 | |||
UTILITIES - 1.6% | ||||
Electric Utilities - 0.6% | ||||
AmerenUE 6.4% 6/15/17 | 1,753,000 | 2,054,719 | ||
Commonwealth Edison Co. 5.4% 12/15/11 | 2,948,000 | 3,107,838 | ||
EDP Finance BV: | ||||
4.9% 10/1/19 (f) | 6,700,000 | 6,201,058 | ||
6% 2/2/18 (f) | 9,619,000 | 9,633,198 | ||
Empresa Distribuidora y Comercializadora Norte SA 10.5% 10/9/17 | 295,000 | 306,800 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
UTILITIES - continued | ||||
Electric Utilities - continued | ||||
FirstEnergy Solutions Corp.: | ||||
4.8% 2/15/15 | $ 2,432,000 | $ 2,593,619 | ||
6.05% 8/15/21 | 3,544,000 | 3,755,304 | ||
Illinois Power Co. 6.125% 11/15/17 | 3,112,000 | 3,590,507 | ||
Intergen NV 9% 6/30/17 (f) | 5,270,000 | 5,414,925 | ||
IPALCO Enterprises, Inc. 7.25% 4/1/16 (f) | 4,440,000 | 4,639,800 | ||
Majapahit Holding BV: | ||||
7.75% 10/17/16 (Reg. S) | 1,440,000 | 1,684,800 | ||
7.75% 1/20/20 (f) | 850,000 | 1,015,750 | ||
8% 8/7/19 (f) | 635,000 | 768,350 | ||
Mirant Americas Generation LLC: | ||||
8.5% 10/1/21 | 3,570,000 | 3,248,700 | ||
9.125% 5/1/31 | 3,775,000 | 3,383,344 | ||
National Power Corp. 6.875% 11/2/16 (f) | 715,000 | 832,975 | ||
Nevada Power Co. 6.5% 5/15/18 | 790,000 | 947,291 | ||
Oncor Electric Delivery Co. 6.375% 5/1/12 | 2,731,000 | 2,944,742 | ||
Pennsylvania Electric Co. 6.05% 9/1/17 | 764,000 | 865,006 | ||
PPL Capital Funding, Inc. 6.7% 3/30/67 (l) | 8,250,000 | 7,734,375 | ||
Progress Energy, Inc.: | ||||
6% 12/1/39 | 10,303,000 | 11,798,099 | ||
7.1% 3/1/11 | 3,385,000 | 3,489,488 | ||
Sierra Pacific Power Co. 5.45% 9/1/13 | 1,560,000 | 1,710,568 | ||
| 81,721,256 | |||
Gas Utilities - 0.1% | ||||
Dynegy Holdings, Inc. 7.5% 6/1/15 (f) | 2,940,000 | 2,234,400 | ||
Intergas Finance BV 6.375% 5/14/17 (Reg. S) | 1,165,000 | 1,231,988 | ||
Southern Natural Gas Co. 5.9% 4/1/17 (f) | 442,000 | 486,806 | ||
Texas Eastern Transmission Corp. 7.3% 12/1/10 | 3,100,000 | 3,147,551 | ||
Transportadora de Gas del Sur SA 7.875% 5/14/17 (f) | 1,410,000 | 1,381,800 | ||
| 8,482,545 | |||
Independent Power Producers & Energy Traders - 0.3% | ||||
AES Corp.: | ||||
7.75% 3/1/14 | 5,400,000 | 5,616,000 | ||
7.75% 10/15/15 | 3,210,000 | 3,362,475 | ||
8% 10/15/17 | 2,575,000 | 2,723,063 | ||
9.75% 4/15/16 | 1,475,000 | 1,644,625 | ||
Duke Capital LLC 5.668% 8/15/14 | 2,055,000 | 2,288,684 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
UTILITIES - continued | ||||
Independent Power Producers & Energy Traders - continued | ||||
Energy Future Intermediate Holding Co. LLC / EFIH Finance, Inc. 10% 12/1/20 | $ 975,000 | $ 934,781 | ||
Exelon Generation Co. LLC 5.35% 1/15/14 | 1,528,000 | 1,681,442 | ||
NRG Energy, Inc.: | ||||
7.375% 2/1/16 | 2,840,000 | 2,854,200 | ||
7.375% 1/15/17 | 3,225,000 | 3,249,188 | ||
8.25% 9/1/20 (f) | 1,950,000 | 1,964,625 | ||
Power Sector Assets and Liabilities Management Corp.: | ||||
7.25% 5/27/19 (f) | 720,000 | 874,800 | ||
7.39% 12/2/24 (f) | 750,000 | 913,125 | ||
PPL Energy Supply LLC 6.5% 5/1/18 | 6,895,000 | 7,888,280 | ||
RRI Energy, Inc. 7.625% 6/15/14 | 8,000,000 | 7,860,000 | ||
| 43,855,288 | |||
Multi-Utilities - 0.6% | ||||
Consolidated Edison Co. of New York, Inc. 5.7% 6/15/40 | 3,771,000 | 4,308,873 | ||
Dominion Resources, Inc.: | ||||
4.75% 12/15/10 | 3,931,000 | 3,977,814 | ||
6.3% 9/30/66 (l) | 4,887,000 | 4,593,780 | ||
7.5% 6/30/66 (l) | 9,539,000 | 9,729,780 | ||
DTE Energy Co. 7.05% 6/1/11 | 984,000 | 1,027,409 | ||
KeySpan Corp. 7.625% 11/15/10 | 494,000 | 500,914 | ||
MidAmerican Energy Holdings, Co.: | ||||
5.75% 4/1/18 | 7,846,000 | 9,083,142 | ||
5.875% 10/1/12 | 2,921,000 | 3,179,479 | ||
6.5% 9/15/37 | 7,097,000 | 8,635,438 | ||
National Grid PLC 6.3% 8/1/16 | 1,314,000 | 1,540,556 | ||
NiSource Finance Corp.: | ||||
5.25% 9/15/17 | 843,000 | 912,221 | ||
5.4% 7/15/14 | 1,347,000 | 1,472,806 | ||
5.45% 9/15/20 | 854,000 | 915,076 | ||
6.4% 3/15/18 | 1,326,000 | 1,522,765 | ||
6.8% 1/15/19 | 6,774,000 | 7,986,946 | ||
7.875% 11/15/10 | 1,022,000 | 1,035,057 | ||
San Diego Gas & Electric Co. 4.5% 8/15/40 | 7,225,000 | 7,314,287 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
UTILITIES - continued | ||||
Multi-Utilities - continued | ||||
Wisconsin Energy Corp. 6.25% 5/15/67 (l) | $ 6,172,000 | $ 5,832,540 | ||
WPS Resources Corp. 6.11% 12/1/66 (l) | 882,000 | 798,210 | ||
| 74,367,093 | |||
TOTAL UTILITIES | 208,426,182 | |||
TOTAL NONCONVERTIBLE BONDS | 3,115,242,525 | |||
TOTAL CORPORATE BONDS (Cost $2,810,059,325) | 3,120,582,606 | |||
U.S. Government and Government Agency Obligations - 34.5% | ||||
| ||||
U.S. Government Agency Obligations - 1.7% | ||||
Fannie Mae: | ||||
0.625% 9/24/12 | 770,000 | 768,996 | ||
1% 4/4/12 | 1,230,000 | 1,238,956 | ||
1% 9/23/13 | 35,637,000 | 35,688,887 | ||
1.25% 6/22/12 | 3,553,000 | 3,593,881 | ||
1.25% 8/20/13 | 50,501,000 | 50,983,689 | ||
5% 2/16/12 | 1,090,000 | 1,160,580 | ||
Federal Home Loan Bank: | ||||
1.625% 11/21/12 | 39,650,000 | 40,431,819 | ||
1.625% 3/20/13 | 23,140,000 | 23,614,694 | ||
Freddie Mac: | ||||
1.125% 7/27/12 | 330,000 | 333,152 | ||
1.75% 6/15/12 | 885,000 | 903,032 | ||
2.125% 3/23/12 | 75,000 | 76,834 | ||
3% 7/28/14 | 50,000,000 | 53,389,650 | ||
5.25% 7/18/11 | 10,730,000 | 11,199,083 | ||
Tennessee Valley Authority 5.375% 4/1/56 | 385,000 | 479,789 | ||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | 223,863,042 | |||
U.S. Treasury Inflation Protected Obligations - 4.0% | ||||
U.S. Treasury Inflation-Indexed Bonds 2.5% 1/15/29 | 20,304,800 | 23,889,110 | ||
U.S. Government and Government Agency Obligations - continued | ||||
| Principal Amount (c) | Value | ||
U.S. Treasury Inflation Protected Obligations - continued | ||||
U.S. Treasury Inflation-Indexed Notes: | ||||
1.375% 1/15/20 | $ 255,139,898 | $ 266,773,999 | ||
2.125% 2/15/40 | 78,258,048 | 88,318,624 | ||
2.625% 7/15/17 (p) | 120,261,895 | 137,264,215 | ||
TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS | 516,245,948 | |||
U.S. Treasury Obligations - 28.5% | ||||
U.S. Treasury Bonds: | ||||
4.25% 5/15/39 | 36,203,000 | 40,971,623 | ||
4.375% 11/15/39 | 19,090,000 | 22,037,019 | ||
4.375% 5/15/40 | 249,658,000 | 288,549,723 | ||
U.S. Treasury Notes: | ||||
0.75% 11/30/11 | 171,564,000 | 172,368,292 | ||
0.875% 2/29/12 | 119,396,000 | 120,254,457 | ||
1% 3/31/12 | 278,585,000 | 281,164,697 | ||
1.125% 1/15/12 | 38,423,000 | 38,816,221 | ||
1.375% 10/15/12 | 163,445,000 | 166,420,189 | ||
1.75% 3/31/14 (p) | 125,000,000 | 128,779,250 | ||
1.875% 6/15/12 | 67,860,000 | 69,598,913 | ||
1.875% 4/30/14 (p) | 42,760,000 | 44,226,540 | ||
1.875% 6/30/15 | 50,250,000 | 51,631,875 | ||
2.375% 9/30/14 | 171,534,000 | 180,486,016 | ||
2.375% 2/28/15 | 667,385,000 | 702,008,884 | ||
2.5% 3/31/15 | 100,000,000 | 105,758,000 | ||
2.5% 4/30/15 | 100,000,000 | 105,757,800 | ||
2.625% 7/31/14 | 625,000,000 | 663,916,250 | ||
2.625% 12/31/14 | 329,010,000 | 349,470,474 | ||
2.75% 2/15/19 | 80,000,000 | 83,175,040 | ||
3.5% 5/15/20 | 21,386,000 | 23,312,451 | ||
3.625% 2/15/20 | 26,742,000 | 29,441,284 | ||
TOTAL U.S. TREASURY OBLIGATIONS | 3,668,144,998 | |||
Other Government Related - 0.3% | ||||
Citigroup Funding, Inc. 2.125% 7/12/12 (FDIC Guaranteed) (g) | 32,000,000 | 32,892,640 | ||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $4,234,890,345) | 4,441,146,628 | |||
U.S. Government Agency - Mortgage Securities - 12.6% | ||||
| Principal Amount (c) | Value | ||
Fannie Mae - 10.9% | ||||
1.975% 4/1/36 (l) | $ 1,290,441 | $ 1,335,770 | ||
2.593% 6/1/36 (l) | 196,375 | 205,753 | ||
2.604% 10/1/33 (l) | 1,187,621 | 1,229,262 | ||
3.5% 9/1/25 (h)(i) | 6,000,000 | 6,220,589 | ||
3.5% 9/1/25 (h)(i) | 6,000,000 | 6,220,589 | ||
3.5% 9/1/25 (h) | 25,000,000 | 25,919,120 | ||
3.5% 10/1/25 (h) | 6,000,000 | 6,195,745 | ||
3.5% 10/1/25 (h) | 6,000,000 | 6,195,745 | ||
4% 9/1/25 (h) | 19,000,000 | 19,952,968 | ||
4% 9/1/25 (h) | 31,000,000 | 32,554,842 | ||
4% 9/1/25 (h) | 9,000,000 | 9,451,406 | ||
4% 8/1/39 | 13,749,238 | 14,256,636 | ||
4.248% 7/1/37 (l) | 531,997 | 560,148 | ||
4.5% 5/1/25 to 8/1/40 (h) | 63,038,639 | 66,573,034 | ||
4.5% 9/1/25 (h) | 8,000,000 | 8,463,750 | ||
4.5% 9/1/40 (h) | 19,000,000 | 19,954,342 | ||
4.5% 9/1/40 (h) | 3,000,000 | 3,150,686 | ||
4.5% 9/1/40 (h) | 32,000,000 | 33,607,312 | ||
4.5% 9/1/40 (h) | 60,000,000 | 63,013,710 | ||
5% 5/1/19 to 6/1/40 | 57,426,781 | 61,420,346 | ||
5% 9/1/25 (h)(i) | 4,000,000 | 4,253,438 | ||
5% 9/1/25 (h) | 17,000,000 | 18,077,110 | ||
5% 8/1/40 (h)(i) | 40,000,000 | 42,546,876 | ||
5% 8/1/40 (h)(i) | 12,000,000 | 12,764,063 | ||
5% 8/1/40 (h)(i) | 670,000 | 712,032 | ||
5% 8/1/40 (h)(i) | 1,160,000 | 1,232,771 | ||
5% 9/1/40 (h)(i) | 54,000,000 | 57,345,467 | ||
5% 9/1/40 (h) | 16,000,000 | 16,991,250 | ||
5% 9/1/40 (h) | 1,000,000 | 1,061,953 | ||
5% 9/1/40 (h) | 96,000,000 | 101,947,498 | ||
5% 9/1/40 (h)(i) | 162,000,000 | 172,036,402 | ||
5% 9/1/40 | 4,180,000 | 4,442,228 | ||
5% 9/1/40 | 1,060,000 | 1,126,498 | ||
5.206% 12/1/35 (l) | 750,548 | 789,733 | ||
5.303% 2/1/36 (l) | 1,240,962 | 1,306,749 | ||
5.5% 3/1/18 to 3/1/40 | 154,342,361 | 166,395,937 | ||
5.5% 9/1/40 (h)(i) | 209,000,000 | 223,450,385 | ||
6% 1/1/21 to 9/1/39 | 89,748,936 | 97,704,702 | ||
6% 9/1/40 (h)(i) | 4,000,000 | 4,306,875 | ||
6% 9/1/40 (h) | 14,000,000 | 15,074,063 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal Amount (c) | Value | ||
Fannie Mae - continued | ||||
6.5% 5/1/31 to 9/1/38 | $ 43,539,765 | $ 48,189,529 | ||
6.5% 9/1/40 (h)(i) | 29,000,000 | 31,569,220 | ||
TOTAL FANNIE MAE | 1,409,806,532 | |||
Freddie Mac - 0.7% | ||||
4.498% 11/1/35 (l) | 5,136,002 | 5,372,762 | ||
4.5% 7/1/25 to 6/1/40 | 10,461,305 | 11,082,735 | ||
5% 4/1/38 to 6/1/40 | 15,138,369 | 16,222,127 | ||
5.416% 10/1/35 (l) | 258,469 | 273,654 | ||
5.5% 11/1/17 to 12/1/35 | 18,040,186 | 19,420,954 | ||
6% 7/1/37 | 172,885 | 187,695 | ||
6% 9/1/40 (h) | 24,000,000 | 25,796,251 | ||
6.5% 10/1/37 to 1/1/39 | 14,963,308 | 16,269,358 | ||
TOTAL FREDDIE MAC | 94,625,536 | |||
Ginnie Mae - 1.0% | ||||
4% 6/15/39 to 3/15/40 | 5,847,492 | 6,110,569 | ||
4% 9/1/40 (h) | 18,000,000 | 18,735,469 | ||
4% 9/1/40 (h) | 13,000,000 | 13,543,733 | ||
4.5% 5/15/39 to 4/15/40 | 17,658,928 | 18,811,998 | ||
4.5% 9/1/40 (h) | 26,000,000 | 27,576,250 | ||
4.5% 9/1/40 (h)(i) | 14,000,000 | 14,848,750 | ||
4.5% 9/1/40 (h) | 5,000,000 | 5,308,174 | ||
4.5% 9/1/40 (h) | 3,000,000 | 3,184,904 | ||
4.5% 10/1/40 (h) | 14,000,000 | 14,798,434 | ||
TOTAL GINNIE MAE | 122,918,281 | |||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $1,604,104,854) | 1,627,350,349 | |||
Asset-Backed Securities - 2.4% | ||||
| ||||
Accredited Mortgage Loan Trust Series 2005-1 Class M1, 0.7338% 4/25/35 (l) | 1,821,633 | 1,045,841 | ||
ACE Securities Corp. Home Equity Loan Trust: | ||||
Series 2004-HE1: | ||||
Class M1, 1.0138% 3/25/34 (l) | 129,064 | 123,864 | ||
Class M2, 1.9138% 3/25/34 (l) | 483,000 | 314,347 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (c) | Value | ||
ACE Securities Corp. Home Equity Loan Trust: - continued | ||||
Series 2005-HE2 Class M2, 0.7138% 4/25/35 (l) | $ 194,362 | $ 173,182 | ||
Series 2006-HE2 Class M3, 0.6038% 5/25/36 (l) | 20,708 | 807 | ||
Series 2006-OP1: | ||||
Class M4, 0.6338% 4/25/36 (l) | 170,200 | 6,179 | ||
Class M5, 0.6538% 4/25/36 (l) | 42,444 | 465 | ||
Advanta Business Card Master Trust: | ||||
Series 2005-A2 Class A2, 0.3963% 5/20/13 (l) | 380,602 | 378,369 | ||
Series 2006-A6 Class A6, 0.2963% 9/20/13 (l) | 752,069 | 747,656 | ||
Series 2006-A7 Class A7, 0.2863% 10/20/12 (l) | 414,095 | 411,665 | ||
Series 2006-C1 Class C1, 0.7463% 10/20/14 (l) | 111,256 | 20,582 | ||
Series 2007-A1 Class A, 0.3163% 1/20/15 (l) | 277,839 | 276,209 | ||
Series 2007-A4 Class A4, 0.2963% 4/22/13 (l) | 332,037 | 330,089 | ||
Series 2007-D1 Class D, 1.6663% 1/22/13 (f)(l) | 2,590,000 | 0 | ||
Airspeed Ltd. Series 2007-1A Class C1, 2.7759% 6/15/32 (f)(l) | 4,310,611 | 1,574,720 | ||
Ally Auto Receivables Trust Series 2009-A: | ||||
Class A3, 2.33% 6/17/13 (f) | 4,310,000 | 4,398,730 | ||
Class A4, 3% 10/15/15 (f) | 4,280,000 | 4,475,718 | ||
Ally Master Owner Trust: | ||||
Series 2010-2 Class A, 4.25% 4/15/17 (f) | 10,170,000 | 10,728,942 | ||
Series 2010-3 Class A, 2.88% 4/15/15 (f) | 9,160,000 | 9,408,537 | ||
AmeriCredit Automobile Receivables Trust Series 2005-DA Class A4, 5.02% 11/6/12 | 115,678 | 115,716 | ||
AmeriCredit Prime Automobile Receivables Trust: | ||||
Series 2007-1: | ||||
Class D, 5.62% 9/8/14 | 1,125,000 | 1,129,112 | ||
Class E, 6.96% 3/8/16 (f) | 2,052,284 | 1,966,591 | ||
Series 2007-2M Class A3, 5.22% 6/8/12 | 59,017 | 59,238 | ||
Ameriquest Mortgage Securities, Inc. pass-thru certificates: | ||||
Series 2003-10 Class M1, 0.9638% 12/25/33 (l) | 105,291 | 75,874 | ||
Series 2004-R2 Class M3, 0.8138% 4/25/34 (l) | 153,470 | 16,966 | ||
Series 2005-R2 Class M1, 0.7138% 4/25/35 (l) | 2,064,696 | 1,601,792 | ||
Anthracite CDO I Ltd. Series 2002-CIBA Class B, 6.633% 5/24/37 (f) | 123,000 | 108,701 | ||
Anthracite CDO II Ltd. Series 2002-2A: | ||||
Class F, 7.6% 12/24/37 (f) | 160,000 | 68,800 | ||
Class G, 9.75% 12/24/37 (f) | 210,000 | 79,800 | ||
Anthracite CDO III Ltd./Anthracite CDO III Corp. Series 2004-1A Class A, 0.6247% 3/23/19 (f)(l) | 243,479 | 182,610 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (c) | Value | ||
Argent Securities, Inc. pass-thru certificates: | ||||
Series 2003-W7 Class A2, 0.7188% 3/25/34 (l) | $ 47,932 | $ 32,565 | ||
Series 2004-W11 Class M2, 0.9638% 11/25/34 (l) | 561,149 | 331,023 | ||
Series 2004-W7 Class M1, 0.8138% 5/25/34 (l) | 1,542,998 | 699,266 | ||
Series 2006-W4 Class A2C, 0.4238% 5/25/36 (l) | 1,452,507 | 499,955 | ||
Asset Backed Securities Corp. Home Equity Loan Trust: | ||||
Series 2004-HE2 Class M1, 1.0888% 4/25/34 (l) | 2,668,736 | 1,603,399 | ||
Series 2006-HE2 Class M1, 0.6338% 3/25/36 (l) | 262,000 | 19,252 | ||
Axon Financial Funding Ltd. 1.1336% 4/4/17 (b)(f)(l) | 7,217,000 | 72 | ||
Bank of America Auto Trust Series 2009-1A: | ||||
Class A3, 2.67% 7/15/13 (f) | 9,500,000 | 9,648,576 | ||
Class A4, 3.52% 6/15/16 (f) | 8,300,000 | 8,705,287 | ||
Brascan Real Estate CDO Ltd./Brascan Real Estate CDO Corp. Series 2004-1A Class A, 0.8713% 1/20/40 (f)(l) | 255,840 | 244,966 | ||
Brazos Higher Education Authority, Inc. Student Loan Rev. Series 2006 A2R, 1.2883% 12/1/41 (l) | 1,050,048 | 1,048,231 | ||
Brazos Higher Education Authority, Inc. Series 2006-2 Class A9, 0.5483% 12/26/24 (l) | 2,194,165 | 2,084,456 | ||
C-BASS Trust Series 2006-CB7 Class A2, 0.3238% 10/25/36 (l) | 297,314 | 292,775 | ||
Capital Auto Receivables Asset Trust: | ||||
Series 2006-2: | ||||
Class B, 5.07% 12/15/11 | 1,772,225 | 1,783,624 | ||
Class C, 5.31% 6/15/12 | 1,634,000 | 1,659,499 | ||
Series 2007-1 Class C, 5.38% 11/15/12 | 582,000 | 607,963 | ||
Series 2007-SN2 Class A4, 1.3059% 5/16/11 (f)(l) | 1,768,579 | 1,768,992 | ||
Capital One Multi-Asset Execution Trust: | ||||
Series 2003-A5 Class A5, 0.5659% 7/15/13 (l) | 6,450,000 | 6,450,128 | ||
Series 2008-A3 Class A3, 5.05% 2/15/16 | 5,700,000 | 6,274,972 | ||
Series 2009-A2 Class A2, 3.2% 4/15/14 | 10,000,000 | 10,201,684 | ||
Capital Trust Ltd. Series 2004-1: | ||||
Class A2, 0.7163% 7/20/39 (f)(l) | 457,498 | 91,500 | ||
Class B, 1.0163% 7/20/39 (f)(l) | 263,810 | 13,191 | ||
Class C, 1.3663% 7/20/39 (f)(l) | 339,379 | 6,788 | ||
Capital Trust RE CDO Ltd./Capital Trust RE CDO Corp. Series 2005-3A Class A2, 5.16% 6/25/35 (f) | 859,000 | 843,968 | ||
CapitalSource Real Estate Loan Trust Series 2006-1A Class A2A, 0.7713% 1/20/37 (f)(l) | 197,776 | 128,554 | ||
Capmark VII Ltd. Series 2006-7A Class H, 1.8259% 8/15/36 (f)(l) | 514,280 | 0 | ||
CarMax Auto Owner Trust Series 2007-2 Class C, 5.61% 11/15/13 | 928,000 | 954,176 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (c) | Value | ||
Carrington Mortgage Loan Trust: | ||||
Series 2006-FRE1 Class M1, 0.5638% 7/25/36 (l) | $ 1,140,851 | $ 116,814 | ||
Series 2006-NC2 Class M7, 1.1138% 6/25/36 (l) | 425,500 | 17,463 | ||
Series 2006-NC3 Class M10, 2.2638% 8/25/36 (f)(l) | 290,000 | 13,711 | ||
Series 2006-NC4 Class M1, 0.5638% 10/25/36 (l) | 224,000 | 27,535 | ||
Series 2006-RFC1 Class M9, 2.1338% 5/25/36 (l) | 186,369 | 11,059 | ||
Series 2007-RFC1 Class A3, 0.4038% 12/25/36 (l) | 1,802,588 | 686,433 | ||
Cendant Timeshare Receivables Funding LLC: | ||||
Series 2005 1A Class 2A2, 0.4463% 5/20/17 (f)(l) | 144,580 | 129,657 | ||
Series 2005-1A Class A1, 4.67% 5/20/17 (f) | 455,437 | 460,219 | ||
Chase Issuance Trust Series 2007-A17 Class A, 5.12% 10/15/14 | 5,000,000 | 5,447,887 | ||
Chrysler Financial Lease Trust Series 2010-A Class A2, 1.78% 6/15/11 (f) | 18,750,000 | 18,816,868 | ||
Citibank Credit Card Issuance Trust Series 2009-A5 Class A5, 2.25% 12/23/14 | 35,600,000 | 36,594,347 | ||
Citigroup Mortgage Loan Trust Series 2007-AMC4 Class M1, 0.5338% 5/25/37 (l) | 765,389 | 34,601 | ||
Countrywide Asset-Backed Certificates Trust: | ||||
Series 2007-11 Class 2A1, 0.3238% 6/25/47 (l) | 101,838 | 97,989 | ||
Series 2007-4 Class A1A, 0.4488% 9/25/37 (l) | 635,585 | 591,481 | ||
Countrywide Home Loan Trust Series 2006-13 Class N, 7% 8/25/37 (f) | 811,000 | 0 | ||
Countrywide Home Loans, Inc.: | ||||
Series 2003-BC1 Class B1, 5.5972% 3/25/32 (l) | 11,800 | 5,044 | ||
Series 2004-3 Class M4, 1.2338% 4/25/34 (l) | 159,665 | 57,520 | ||
Series 2004-4 Class M2, 1.0588% 6/25/34 (l) | 587,945 | 308,400 | ||
Series 2005-3 Class MV1, 0.6838% 8/25/35 (l) | 1,217,697 | 1,146,399 | ||
Series 2005-AB1 Class A2, 0.4738% 8/25/35 (l) | 184,671 | 179,961 | ||
CPS Auto Receivables Trust: | ||||
Series 2006-D Class A4, 5.115% 8/15/13 (f) | 596,362 | 606,485 | ||
Series 2007-C Class A3, 5.43% 5/15/12 (f) | 62,959 | 63,316 | ||
Crest Clarendon Street Ltd./Crest Clarendon Corp. Series 2002-1A: | ||||
Class B1, 6.065% 12/28/35 (f) | 500,000 | 360,000 | ||
Class B2, 1.8872% 12/28/35 (f)(l) | 500,000 | 297,500 | ||
Crest Dartmouth Street Ltd./Crest Dartmouth Street Corp. Series 2003-1A Class D, 9% 6/28/38 (f) | 200,000 | 56,000 | ||
Crest G-Star LP/Crest G-Star Corp. Series 2001-1A Class A, 0.7694% 11/28/16 (f)(l) | 495,193 | 463,006 | ||
Crest Ltd. Series 2002-IGA Class A, 0.9375% 7/28/17 (f)(l) | 309,681 | 294,197 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (c) | Value | ||
DB Master Finance LLC Series 2006-1 Class M1, 8.285% 6/20/31 (f) | $ 235,000 | $ 218,806 | ||
Deutsche Financial Capital Securitization LLC Series 1997-I Class M, 7.275% 9/15/27 | 540,000 | 477,526 | ||
Fannie Mae subordinate REMIC pass-thru certificates Series 2004-T5 Class AB3, 0.7759% 5/28/35��(l) | 38,916 | 29,187 | ||
Fieldstone Mortgage Investment Corp.: | ||||
Series 2004-3 Class M5, 2.4388% 8/25/34 (l) | 290,872 | 132,620 | ||
Series 2006-3 Class 2A3, 0.4238% 11/25/36 (l) | 6,074,620 | 2,176,732 | ||
First Franklin Mortgage Loan Trust: | ||||
Series 2004-FF2 Class M3, 1.0888% 3/25/34 (l) | 25,145 | 6,979 | ||
Series 2005-FF9 Class A3, 0.5438% 10/25/35 (l) | 4,222,878 | 3,951,783 | ||
Ford Credit Auto Owner Trust: | ||||
Series 2006-B Class D, 7.26% 2/15/13 (f) | 1,175,000 | 1,208,395 | ||
Series 2006-C: | ||||
Class B, 5.3% 6/15/12 | 649,000 | 671,986 | ||
Class D, 6.89% 5/15/13 (f) | 915,000 | 950,910 | ||
Series 2007-A Class D, 7.05% 12/15/13 (f) | 970,000 | 1,026,409 | ||
Series 2009-D: | ||||
Class A3, 2.17% 10/15/13 | 5,400,000 | 5,481,620 | ||
Class A4, 2.98% 8/15/14 | 4,800,000 | 5,006,509 | ||
Series 2010-B Class A3, 0.98% 10/15/14 | 9,710,000 | 9,747,042 | ||
Ford Credit Floorplan Master Owner Trust Series 2006-4 Class B, 0.8259% 6/15/13 (l) | 772,000 | 760,117 | ||
Franklin Auto Trust: | ||||
Series 2006-1 Class B, 5.14% 7/21/14 | 72,000 | 72,682 | ||
Series 2007-1: | ||||
Class A4, 5.03% 2/16/15 | 487,090 | 487,690 | ||
Class C, 5.43% 2/16/15 | 614,000 | 605,638 | ||
Fremont Home Loan Trust: | ||||
Series 2005-A: | ||||
Class M3, 0.7538% 1/25/35 (l) | 948,695 | 329,746 | ||
Class M4, 0.9438% 1/25/35 (l) | 363,547 | 39,885 | ||
Series 2006-D Class M1, 0.4938% 11/25/36 (l) | 324,000 | 11,034 | ||
GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 0.6975% 2/25/47 (f)(l) | 2,892,000 | 1,973,790 | ||
GCO Slims Trust Series 2006-1A, 5.72% 3/1/22 (f) | 2,121,254 | 1,697,003 | ||
GE Business Loan Trust: | ||||
Series 2003-1 Class A, 0.7059% 4/15/31 (f)(l) | 274,592 | 241,641 | ||
Series 2006-2A: | ||||
Class A, 0.4559% 11/15/34 (f)(l) | 2,364,061 | 1,903,069 | ||
Class B, 0.5559% 11/15/34 (f)(l) | 853,970 | 512,382 | ||
Class C, 0.6559% 11/15/34 (f)(l) | 1,419,263 | 567,705 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (c) | Value | ||
GE Business Loan Trust: - continued | ||||
Series 2006-2A: | ||||
Class D, 1.0259% 11/15/34 (f)(l) | $ 538,940 | $ 129,346 | ||
GE Equipment Midticket LLC Series 2006-1 Class B, 0.4259% 9/15/17 (l) | 1,151,000 | 1,134,533 | ||
Goal Capital Funding Trust Series 2007-1 Class C1, 0.9383% 6/25/42 (l) | 739,000 | 596,958 | ||
GS Auto Loan Trust Series 2007-1: | ||||
Class B, 5.53% 12/15/14 | 54,741 | 56,087 | ||
Class C, 5.74% 12/15/14 | 116,272 | 117,776 | ||
GSAMP Trust: | ||||
Series 2004-AR1: | ||||
Class B4, 5% 6/25/34 (f)(l) | 245,471 | 58,931 | ||
Class M1, 0.9138% 6/25/34 (l) | 2,723,367 | 1,689,638 | ||
Series 2007-HE1 Class M1, 0.5138% 3/25/47 (l) | 1,096,059 | 65,981 | ||
GSR Mortgage Loan Trust Series 2006-FM1 Class M3, 0.6138% 4/25/36 (l) | 203,374 | 4,632 | ||
Guggenheim Structured Real Estate Funding Ltd.: | ||||
Series 2005-1 Class C, 1.3438% 5/25/30 (f)(l) | 653,491 | 169,908 | ||
Series 2006-3: | ||||
Class B, 0.6638% 9/25/46 (f)(l) | 654,930 | 130,986 | ||
Class C, 0.8138% 9/25/46 (f)(l) | 1,526,694 | 229,004 | ||
Class E, 1.9138% 9/25/46 (f)(l) | 253,381 | 30,406 | ||
Home Equity Asset Trust: | ||||
Series 2003-2 Class M1, 1.5838% 8/25/33 (l) | 457,719 | 291,593 | ||
Series 2003-3 Class M1, 1.5538% 8/25/33 (l) | 812,279 | 561,780 | ||
Series 2003-5 Class A2, 0.9638% 12/25/33 (l) | 32,929 | 18,533 | ||
Series 2005-5 Class 2A2, 0.5138% 11/25/35 (l) | 148,852 | 145,853 | ||
Series 2006-1 Class 2A3, 0.4888% 4/25/36 (l) | 1,770,250 | 1,704,449 | ||
Series 2006-3N Class B, 6.5% 8/27/36 (f) | 250,000 | 0 | ||
Series 2006-8 Class 2A1, 0.3138% 3/25/37 (l) | 9,923 | 9,732 | ||
HSBC Home Equity Loan Trust Series 2006-2 Class M2, 0.5563% 3/20/36 (l) | 803,943 | 615,198 | ||
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.4538% 1/25/37 (l) | 1,522,035 | 471,788 | ||
Hyundai Auto Receivable Trust Series 2009-A Class A3, 2.03% 8/15/13 | 5,450,000 | 5,533,771 | ||
JPMorgan Mortgage Acquisition Trust: | ||||
Series 2006-NC2 Class M2, 0.5638% 7/25/36 (l) | 204,000 | 8,991 | ||
Series 2007-CH1: | ||||
Class AV4, 0.3938% 11/25/36 (l) | 1,520,141 | 1,156,269 | ||
Class MV1, 0.4938% 11/25/36 (l) | 1,234,797 | 690,603 | ||
Series 2007-CH3 Class M1, 0.5638% 3/25/37 (l) | 573,000 | 30,829 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (c) | Value | ||
Kent Funding III Ltd. Series 2006-3A Class D, 3.575% 10/29/47 (l) | $ 291,820 | $ 29 | ||
Keycorp Student Loan Trust: | ||||
Series 1999-A Class A2, 0.8672% 12/27/29 (l) | 832,716 | 693,396 | ||
Series 2006-A Class 2C, 1.6872% 3/27/42 (l) | 3,243,000 | 500,140 | ||
Long Beach Auto Receivables Trust Series 2007-A Class A4, 5.025% 1/15/14 | 2,456,627 | 2,499,527 | ||
Long Beach Mortgage Loan Trust Series 2004-2 Class M2, 1.3438% 6/25/34 (l) | 157,259 | 107,025 | ||
Marathon Real Estate CDO Ltd. Series 2006-1A Class B, 0.6938% 5/25/46 (f)(l) | 250,000 | 55,000 | ||
Marriott Vacation Club Owner Trust Series 2006-2A: | ||||
Class B, 5.442% 10/20/28 (f) | 23,972 | 22,350 | ||
Class C, 5.691% 10/20/28 (f) | 10,654 | 8,994 | ||
Class D, 6.01% 10/20/28 (f) | 126,852 | 100,683 | ||
MASTR Asset Backed Securities Trust: | ||||
Series 2006-AM3 Class M1, 0.5238% 10/25/36 (l) | 545,328 | 32,815 | ||
Series 2007-HE1 Class M1, 0.5638% 5/25/37 (l) | 784,792 | 42,864 | ||
Meritage Mortgage Loan Trust Series 2004-1 Class M1, 1.0138% 7/25/34 (l) | 192,687 | 83,339 | ||
Merrill Auto Trust Securitization Series 2007-1 Class B, 5.79% 12/15/13 | 214,554 | 217,389 | ||
Merrill Lynch Mortgage Investors Trust: | ||||
Series 2003-OPT1 Class M1, 0.9138% 7/25/34 (l) | 677,418 | 521,264 | ||
Series 2005-FM1 Class A2D, 0.6438% 5/25/36 (l) | 12,012,304 | 11,073,703 | ||
Series 2006-FM1 Class A2B, 0.3738% 4/25/37 (l) | 2,248,986 | 1,950,527 | ||
Series 2006-MLN1 Class A2A, 0.3338% 7/25/37 (l) | 25,531 | 25,125 | ||
Series 2006-OPT1 Class A1A, 0.5238% 6/25/35 (l) | 3,288,519 | 2,320,767 | ||
Morgan Stanley ABS Capital I Trust: | ||||
Series 2004-HE6 Class A2, 0.6038% 8/25/34 (l) | 57,368 | 38,274 | ||
Series 2004-NC8 Class M6, 1.5138% 9/25/34 (l) | 32,622 | 15,943 | ||
Series 2005-NC1 Class M1, 0.7038% 1/25/35 (l) | 399,800 | 205,379 | ||
Series 2005-NC2 Class B1, 1.4338% 3/25/35 (l) | 416,362 | 48,880 | ||
Series 2007-HE2 Class M1, 0.5138% 1/25/37 (l) | 263,000 | 7,589 | ||
N-Star Real Estate CDO Ltd. Series 1A: | ||||
Class B1, 1.9744% 8/28/38 (f)(l) | 220,000 | 138,600 | ||
Class C1B, 7.696% 8/28/38 (f) | 63,000 | 38,058 | ||
National Collegiate Student Loan Trust: | ||||
Series 2004-2 Class AIO, 9.75% 10/25/14 (n) | 3,793,600 | 542,485 | ||
Series 2006-1 Class AIO, 5.5% 4/25/11 (n) | 413,402 | 10,609 | ||
Series 2006-2 Class AIO, 6% 8/25/11 (n) | 231,000 | 11,307 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (c) | Value | ||
National Collegiate Student Loan Trust: - continued | ||||
Series 2006-3 Class AIO, 7.1% 1/25/12 (n) | $ 372,000 | $ 28,830 | ||
Series 2006-4: | ||||
Class A1, 0.2938% 3/25/25 (l) | 440,939 | 434,882 | ||
Class AIO, 6.35% 2/27/12 (n) | 1,182,000 | 99,920 | ||
Class D, 1.3638% 5/25/32 (l) | 2,481,000 | 34,910 | ||
Series 2007-1 Class AIO, 7.27% 4/25/12 (n) | 1,589,000 | 170,818 | ||
Series 2007-2 Class AIO, 6.7% 7/25/12 (n) | 1,351,000 | 158,683 | ||
New Century Home Equity Loan Trust: | ||||
Series 2005-4 Class M2, 0.7738% 9/25/35 (l) | 1,426,957 | 587,076 | ||
Series 2005-D Class M2, 0.7338% 2/25/36 (l) | 827,339 | 106,920 | ||
Nissan Auto Lease Trust Series 2009-B Class A3, 2.07% 1/15/15 | 8,500,000 | 8,597,306 | ||
Nomura Home Equity Loan Trust Series 2006-HE2 Class A2, 0.3838% 3/25/36 (l) | 37,564 | 37,427 | ||
Ocala Funding LLC Series 2006-1A Class A, 1.6663% 3/20/11 (b)(f)(l) | 1,176,000 | 435,120 | ||
Option One Mortgage Loan Trust: | ||||
Series 2007-5 Class 2A1, 0.3538% 5/25/37 (l) | 107,092 | 103,457 | ||
Series 2007-6 Class 2A1, 0.3238% 7/25/37 (l) | 199,223 | 192,239 | ||
Park Place Securities, Inc.: | ||||
Series 2004-WCW1: | ||||
Class M3, 1.5138% 9/25/34 (l) | 532,896 | 229,878 | ||
Class M4, 1.7138% 9/25/34 (l) | 683,353 | 108,724 | ||
Series 2005-WCH1: | ||||
Class M2, 0.7838% 1/25/36 (l) | 2,548,346 | 2,155,766 | ||
Class M3, 0.8238% 1/25/36 (l) | 478,432 | 306,840 | ||
Class M4, 1.0938% 1/25/36 (l) | 1,475,804 | 464,403 | ||
Series 2005-WHQ2: | ||||
Class M7, 1.5138% 5/25/35 (l) | 1,883,145 | 27,924 | ||
Class M9, 2.1438% 5/25/35 (l) | 290,989 | 719 | ||
Prima Capital CDO Ltd./Prima Capital CDO Corp. Series 2005-1A: | ||||
Class A2, 4.646% 7/24/39 (f) | 397,651 | 373,792 | ||
Class B, 4.846% 7/24/39 (f) | 180,000 | 129,600 | ||
Class C, 5.08% 7/24/39 (f) | 185,000 | 118,400 | ||
Providian Master Note Trust Series 2006-C1A Class C1, 0.8259% 3/15/15 (f)(l) | 3,406,919 | 3,393,739 | ||
Residential Asset Mortgage Products, Inc. Series 2006-EFC2 Class M1, 0.4938% 12/25/36 (l) | 566,000 | 22,463 | ||
Residential Asset Securities Corp. Series 2007-KS2 Class AI1, 0.3338% 2/25/37 (l) | 599,271 | 585,071 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (c) | Value | ||
Resource Real Estate Funding CDO Series 2007-1A Class J, 3.2138% 9/25/46 (f)(l) | $ 250,000 | $ 11,250 | ||
Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 1.0638% 4/25/33 (l) | 5,108 | 4,268 | ||
Saxon Asset Securities Trust Series 2004-1 Class M1, 1.0588% 3/25/35 (l) | 1,673,086 | 1,097,076 | ||
Securitized Asset Backed Receivables LLC Trust: | ||||
Series 2005-FR4 Class B3, 1.9838% 1/25/36 (l) | 96,000 | 3,132 | ||
Series 2006-FR4 Class A2A, 0.3438% 8/25/36 (l) | 49,108 | 22,764 | ||
Series 2007-NC1 Class A2A, 0.3138% 12/25/36 (l) | 20,045 | 19,641 | ||
Sierra Receivables Funding Co. Series 2007-1A Class A2, 0.4881% 3/20/19 (f)(l) | 860,433 | 802,923 | ||
SLM Private Credit Student Loan Trust Series 2004-A Class C, 1.4871% 6/15/33 (l) | 1,272,000 | 76,768 | ||
Specialty Underwriting & Residential Finance Trust Series 2006-AB2 Class N1, 5.75% 6/25/37 (f) | 656,637 | 0 | ||
Structured Asset Investment Loan Trust Series 2004-8 Class M5, 1.4138% 9/25/34 (l) | 74,810 | 17,801 | ||
Structured Asset Securities Corp. Series 2007-BC4 Class A3, 0.5138% 11/25/37 (l) | 11,515,175 | 10,918,888 | ||
Structured Asset Securities Corp. Mortgage Loan Trust Series 2007-OSI Class A2, 0.3538% 6/25/37 (l) | 1,501,875 | 1,245,272 | ||
SVO VOI Mortgage Corp. Series 2006-AA Class A, 5.28% 2/20/24 (f) | 1,012,699 | 1,017,762 | ||
Swift Master Auto Receivables Trust Series 2007-2 Class A, 0.9259% 10/15/12 (l) | 2,867,000 | 2,863,984 | ||
Terwin Mortgage Trust Series 2003-4HE Class A1, 1.1238% 9/25/34 (l) | 28,819 | 18,087 | ||
TIAA Real Estate CDO Ltd./TIAA Real Estate CDO Corp.: | ||||
Series 2002-1A: | ||||
Class IIFX, 6.77% 5/22/37 (f) | 349,000 | 331,550 | ||
Class IV, 6.84% 5/22/37 (f) | 235,000 | 152,750 | ||
Series 2003-1A Class B2, 5.4802% 12/28/38 (f) | 111,000 | 77,700 | ||
Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 1.0936% 4/6/42 (f)(l) | 2,596,888 | 129,844 | ||
Triad Auto Receivables Owner Trust Series 2006-C Class A4, 5.31% 5/13/13 | 659,323 | 673,968 | ||
Wachovia Auto Loan Owner Trust: | ||||
Series 2006-1 Class A4, 5.08% 4/20/12 (f) | 97,361 | 97,624 | ||
Series 2006-2A: | ||||
Class B, 5.29% 6/20/12 (f) | 383,808 | 385,934 | ||
Class D, 5.54% 12/20/12 (f) | 583,000 | 592,580 | ||
Class E, 7.05% 5/20/14 (f) | 1,390,000 | 1,415,455 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (c) | Value | ||
Wachovia Ltd./Wachovia LLC: | ||||
Series 2006-1 Class 1ML, 5.7835% 9/25/26 (f)(l) | $ 400,000 | $ 108,000 | ||
Series 2006-1A: | ||||
Class A1A, 0.7983% 9/25/26 (f)(l) | 330,000 | 267,300 | ||
Class A1B, 0.8683% 9/25/26 (f)(l) | 330,000 | 249,150 | ||
Class A2A, 0.7583% 9/25/26 (f)(l) | 1,186,000 | 984,380 | ||
Class F, 1.6883% 9/25/26 (f)(l) | 250,000 | 140,000 | ||
Class G, 1.8883% 9/25/26 (f)(l) | 250,000 | 132,500 | ||
WaMu Asset Holdings Corp. Series 2006-8 Class N1, 6.048% 10/25/46 (f) | 887,552 | 0 | ||
WaMu Master Note Trust: | ||||
Series 2006-C2A Class C2, 0.7759% 8/15/15 (f)(l) | 8,530,177 | 8,453,875 | ||
Series 2007-A4A Class A4, 5.2% 10/15/14 (f) | 10,589,000 | 10,645,906 | ||
Series 2007-A5A Class A5, 1.0259% 10/15/14 (f)(l) | 1,500,000 | 1,500,552 | ||
Wells Fargo Home Equity Trust Series 2004-3 Class A, 4.5% 11/27/34 (a)(f) | 7,576 | 0 | ||
Whinstone Capital Management Ltd. Series 1A Class B3, 2.2978% 10/25/44 (f)(l) | 1,789,540 | 590,548 | ||
Wrightwood Capital Real Estate CDO Ltd. Series 2005-1A Class D, 1.1891% 11/21/40 (f)(l) | 305,000 | 18,300 | ||
TOTAL ASSET-BACKED SECURITIES (Cost $293,376,332) | 303,926,817 | |||
Collateralized Mortgage Obligations - 1.8% | ||||
| ||||
Private Sponsor - 1.8% | ||||
ABN AMRO Mortgage Corp.: | ||||
Series 2003-2 Class B4, 5.3276% 3/25/18 (l) | 116,633 | 48,986 | ||
Series 2003-9 Class B5, 4.5164% 8/25/18 (f) | 227,235 | 22,724 | ||
Arran Residential Mortgages Funding No. 1 PLC floater Series 2006-1A Class DB, 0.9575% 4/12/56 (f)(l) | 1,428,375 | 857,025 | ||
Banc of America Commercial Mortgage Trust Series 2007-2: | ||||
Class B, 5.6987% 4/10/49 (l) | 106,000 | 25,630 | ||
Class C, 5.6987% 4/10/49 (l) | 281,000 | 47,381 | ||
Class D, 5.6987% 4/10/49 (l) | 141,000 | 20,972 | ||
Banc of America Large Loan, Inc. Series 2005-MIB1 Class A2, 0.4859% 3/15/22 (f)(l) | 939,527 | 910,272 | ||
Banc of America Mortgage Securities, Inc.: | ||||
Series 2003-L Class 2A1, 3.6145% 1/25/34 (l) | 2,089,842 | 1,868,865 | ||
Series 2004-1 Class 2A2, 3.6636% 10/25/34 (l) | 2,207,654 | 1,964,031 | ||
Series 2004-A Class 2A2, 3.5151% 2/25/34 (l) | 1,272,784 | 1,121,285 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (c) | Value | ||
Private Sponsor - continued | ||||
Banc of America Mortgage Securities, Inc.: - continued | ||||
Series 2004-B: | ||||
Class 1A1, 2.9237% 3/25/34 (l) | $ 144,623 | $ 127,742 | ||
Class 2A2, 3.0586% 3/25/34 (l) | 5,993,017 | 5,472,618 | ||
Series 2004-D Class 2A2, 2.9566% 5/25/34 (l) | 2,041,492 | 1,899,047 | ||
Series 2004-G Class 2A7, 3.195% 8/25/34 (l) | 1,808,965 | 1,574,005 | ||
Series 2004-H Class 2A1, 3.7091% 9/25/34 (l) | 1,650,985 | 1,443,289 | ||
Bayview Commercial Asset Trust Series 2006-3A Class IO, 2.3908% 10/25/36 (f)(l)(n) | 12,079,732 | 942,219 | ||
Bear Stearns ALT-A Trust floater Series 2005-1 Class A1, 0.5438% 1/25/35 (l) | 2,310,889 | 1,816,889 | ||
Bear Stearns Commercial Mortgage Securities Trust: | ||||
Series 2006-BBA7 Class C, 0.5159% 3/15/19 (f)(l) | 350,000 | 298,481 | ||
Series 2006-T24 Class X2, 0.4276% 10/12/41 (f)(l)(n) | 4,530,945 | 50,187 | ||
Chase Mortgage Finance Trust: | ||||
Series 2007-A1 Class 1A5, 3.2363% 2/25/37 (l) | 1,603,363 | 1,535,565 | ||
Series 2007-A2 Class 2A1, 3.4095% 7/25/37 (l) | 380,330 | 363,066 | ||
Citigroup Commercial Mortgage Trust Series 2008-C7 Class A2B, 6.0914% 12/10/49 (l) | 1,902,000 | 2,031,218 | ||
Citigroup Mortgage Loan Trust Series 2004-UST1: | ||||
Class A3, 2.7498% 8/25/34 (l) | 1,635,284 | 1,522,264 | ||
Class A4, 2.489% 8/25/34 (l) | 1,442,421 | 1,368,454 | ||
Cobalt CMBS Commercial Mortgage Trust Series 2007-C2 Class B, 5.617% 4/15/47 (l) | 2,125,000 | 425,000 | ||
COMM pass-thru certificates floater Series 2001-J2A Class A2F, 0.7759% 7/16/34 (f)(l) | 1,902,000 | 1,854,248 | ||
Countrywide Alternative Loan Trust: | ||||
planned amortization class Series 2003-5T2 Class A2, 0.6638% 5/25/33 (l) | 13,960 | 13,831 | ||
Series 2006-OC5N Class N, 7.25% 7/25/37 (f) | 78,237 | 0 | ||
Countrywide Home Loans, Inc.: | ||||
Series 2003-28 Class B3, 5.5% 8/25/33 | 72,728 | 10,909 | ||
Series 2003-35 Class B, 4.6396% 9/25/18 (l) | 120,783 | 12,078 | ||
Credit Suisse First Boston Mortgage Securities Corp.: | ||||
floater Series 2007-AR7 Class 2A1, 2.8818% 11/25/34 (l) | 1,314,897 | 1,267,706 | ||
Series 2003-17 Class B4, 5.389% 6/25/33 (f)(l) | 316,588 | 56,986 | ||
Series 2004-3 Class DB4, 5.8304% 4/25/34 (l) | 75,154 | 1,879 | ||
CWALT, Inc.: | ||||
floater Series 2005-56: | ||||
Class 1A1, 0.9938% 11/25/35 (l) | 34,827,510 | 19,627,179 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (c) | Value | ||
Private Sponsor - continued | ||||
CWALT, Inc.: - continued | ||||
floater Series 2005-56: | ||||
Class 2A3, 1.9017% 11/25/35 (l) | $ 8,427,023 | $ 4,710,189 | ||
Series 2005-56: | ||||
Class 4A1, 0.5738% 11/25/35 (l) | 6,894,762 | 3,940,086 | ||
Class 5A1, 0.5838% 11/25/35 (l) | 10,062,865 | 5,315,946 | ||
DSLA Mortgage Loan Trust Series 2006-AR2 Class 2AB1, 0.3566% 11/19/37 (l) | 56,339 | 55,911 | ||
First Horizon Mortgage pass-thru Trust Series 2004-AR5 Class 2A1, 2.9962% 10/25/34 (l) | 1,938,626 | 1,838,735 | ||
Fosse Master Issuer PLC floater Series 2006-1A: | ||||
Class B2, 0.6847% 10/18/54 (f)(l) | 3,491,000 | 3,414,896 | ||
Class C2, 0.9947% 10/18/54 (f)(l) | 1,170,000 | 1,129,518 | ||
Class M2, 0.7747% 10/18/54 (f)(l) | 2,005,000 | 1,931,818 | ||
Freddie Mac Series 2010 K7 Class B, 5.4341% 4/25/20 (f)(l) | 300,000 | 265,140 | ||
FREMF Mortgage Trust Series 2010-K6 Class B, 5.3574% 12/26/46 (f)(l) | 550,000 | 479,241 | ||
GMAC Commercial Mortgage Securities, Inc. Series 1993-C3 Class L, 6.974% 8/15/36 (f) | 273,987 | 2,603 | ||
GMAC Mortgage Loan Trust Series 2003-J10 Class B2, 4.75% 1/25/19 (f) | 112,452 | 11,245 | ||
Gracechurch Mortgage Financing PLC floater Series 2006-1 Class D2, 0.8155% 11/20/56 (f)(l) | 2,852,000 | 2,694,284 | ||
Gracechurch Mortgage Funding PLC floater Series 1A Class DB, 0.9975% 10/11/41 (f)(l) | 3,114,000 | 3,067,290 | ||
Granite Master Issuer PLC floater: | ||||
Series 2005-4 Class C2, 0.8163% 12/20/54 (l) | 205,017 | 89,182 | ||
Series 2006-1A Class C2, 0.8663% 12/20/54 (f)(l) | 6,523,000 | 2,870,120 | ||
Series 2006-2 Class C1, 0.7363% 12/20/54 (l) | 5,398,000 | 2,402,110 | ||
Series 2006-3 Class C2, 0.7663% 12/20/54 (l) | 1,124,000 | 507,350 | ||
Series 2006-4: | ||||
Class B1, 0.3563% 12/20/54 (l) | 4,521,000 | 3,368,145 | ||
Class C1, 0.6463% 12/20/54 (l) | 2,767,000 | 1,217,480 | ||
Class M1, 0.4363% 12/20/54 (l) | 1,190,000 | 767,550 | ||
Series 2007-1: | ||||
Class 1C1, 0.5663% 12/20/54 (l) | 2,234,000 | 994,130 | ||
Class 1M1, 0.4163% 12/20/54 (l) | 1,493,000 | 955,520 | ||
Class 2C1, 0.6963% 12/20/54 (l) | 1,015,000 | 451,675 | ||
Class 2M1, 0.5163% 12/20/54 (l) | 1,917,000 | 1,226,880 | ||
Series 2007-2 Class 2C1, 0.7019% 12/17/54 (l) | 2,654,000 | 1,154,490 | ||
Granite Mortgages PLC floater Series 2003-3 Class 1C, 2.9713% 1/20/44 (l) | 430,241 | 236,583 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (c) | Value | ||
Private Sponsor - continued | ||||
GSR Mortgage Loan Trust: | ||||
floater Series 2007-AR1 Class 6A1, 4.7728% 3/25/37 (l) | $ 10,185,557 | $ 9,922,841 | ||
Series 2007-AR2 Class 2A1, 3.1041% 4/25/35 (l) | 782,747 | 672,839 | ||
Harborview Mortgage Loan Trust floater Series 2005-2 Class 2A1A, 0.4866% 5/19/35 (l) | 385,030 | 241,807 | ||
JPMorgan Chase Commercial Mortgage Securities Trust Series 2007-CB18: | ||||
Class A1, 5.32% 6/12/47 (l) | 123,497 | 126,115 | ||
Class A3, 5.447% 6/12/47 (l) | 3,606,000 | 3,847,577 | ||
JPMorgan Mortgage Trust: | ||||
sequential payer Series 2006-A5 Class 3A5, 5.9219% 8/25/36 (l) | 2,600,000 | 2,210,499 | ||
Series 2004-A3 Class 4A1, 4.2862% 7/25/34 (l) | 2,250,884 | 2,182,661 | ||
Series 2004-A5 Class 2A1, 2.8213% 12/25/34 (l) | 2,015,898 | 1,835,559 | ||
Series 2006-A2 Class 5A1, 3.3347% 11/25/33 (l) | 3,391,893 | 3,178,182 | ||
LB Commercial Conduit Mortgage Trust Series 1998-C4 Class F, 6% 10/15/35 (f) | 26,448 | 26,652 | ||
LB-UBS Commercial Mortgage Trust sequential payer Series 2006-C6 Class A4, 5.372% 9/15/39 | 857,000 | 924,089 | ||
Luminent Mortgage Trust: | ||||
floater Series 2006-1 Class A1, 0.5038% 4/25/36 (l) | 18,459,255 | 10,202,845 | ||
Series 2006-5 Class A1A, 0.4538% 7/25/36 (l) | 14,442,196 | 7,728,429 | ||
MASTR Adjustable Rate Mortgages Trust Series 2007-3 Class 22A2, 0.4738% 5/25/47 (l) | 3,687,327 | 2,311,229 | ||
MASTR Asset Backed Securities Trust Series 2006-NC3 Class M1, 0.4938% 10/25/36 (l) | 547,000 | 2,615 | ||
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.4338% 2/25/37 (l) | 8,493,813 | 5,668,401 | ||
Merrill Lynch Floating Trust floater Series 2006-1: | ||||
Class B, 0.446% 6/15/22 (f)(l) | 251,984 | 216,706 | ||
Class C, 0.466% 6/15/22 (f)(l) | 1,559,607 | 1,325,666 | ||
Class D, 0.476% 6/15/22 (f)(l) | 600,006 | 498,005 | ||
Class E, 0.486% 6/15/22 (f)(l) | 959,771 | 729,426 | ||
Class F, 0.516% 6/15/22 (f)(l) | 1,545,171 | 1,097,071 | ||
Class G, 0.586% 6/15/22 (f)(l) | 359,765 | 244,640 | ||
Class H, 0.606% 6/15/22 (f)(l) | 720,211 | 453,733 | ||
Class J, 0.646% 6/15/22 (f)(l) | 840,246 | 445,330 | ||
Class TM, 0.776% 6/15/22 (f)(l) | 1,549,424 | 1,340,251 | ||
Merrill Lynch Mortgage Investors Trust: | ||||
Series 1998-C3 Class F, 6% 12/15/30 (f) | 930,000 | 905,076 | ||
Series 2004-A4 Class A1, 2.8028% 8/25/34 (l) | 2,347,930 | 2,229,059 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (c) | Value | ||
Private Sponsor - continued | ||||
Merrill Lynch Mortgage Investors Trust: - continued | ||||
Series 2005-A2 Class A7, 2.8016% 2/25/35 (l) | $ 1,960,183 | $ 1,805,704 | ||
Series 2006-A6 Class A4, 3.5975% 10/25/33 (l) | 1,675,380 | 1,499,242 | ||
Merrill Lynch Mortgage Trust Series 2002-MW1 Class E, 6.219% 7/12/34 (f) | 101,000 | 102,811 | ||
Merrill Lynch-CFC Commercial Mortgage Trust Series 2006-3 Class ASB, 5.382% 7/12/46 (l) | 8,143,000 | 8,706,213 | ||
Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 0.5538% 7/25/35 (l) | 2,467,653 | 1,945,208 | ||
Option One Mortgage Loan Trust floater Series 2007-CP1 Class M1, 0.5638% 3/25/37 (l) | 2,994,072 | 206,765 | ||
Provident Funding Mortgage Loan Trust Series 2005-2 Class 3A, 2.9% 10/25/35 (l) | 3,497,088 | 2,955,046 | ||
RESI Finance LP/RESI Finance DE Corp. floater Series 2003-B: | ||||
Class B5, 2.6434% 7/10/35 (f)(l) | 1,985,779 | 1,105,682 | ||
Class B6, 3.1434% 7/10/35 (f)(l) | 442,756 | 216,331 | ||
Residential Accredit Loans, Inc. floater Series 2005-QO5 Class A1, 1.4017% 1/25/46 (l) | 15,143,171 | 8,252,080 | ||
Residential Asset Mortgage Products, Inc. sequential payer: | ||||
Series 2003-SL1 Class A31, 7.125% 4/25/31 | 1,126,716 | 1,140,318 | ||
Series 2004-SL3 Class A1, 7% 8/25/16 | 77,369 | 75,208 | ||
Residential Funding Securities Corp. floater Series 2003-RP2 Class A1, 0.7138% 6/25/33 (f)(l) | 484,454 | 384,008 | ||
RESIX Finance Ltd. floater Series 2007-A Class BB, 3.6259% 2/15/39 (f)(l) | 65,240 | 111 | ||
Salomon Brothers Mortgage Securities VII, Inc. Series 2006-C2 Class H, 6.308% 7/18/33 (f) | 268,000 | 267,342 | ||
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 1.1948% 7/20/34 (l) | 40,340 | 21,099 | ||
Structured Asset Mortgage Investments, Inc. floater Series 2006-AR6 Class 2A1, 0.4538% 7/25/46 (l) | 29,127,201 | 17,421,556 | ||
Structured Asset Securities Corp.: | ||||
Series 2003-15A Class 4A, 5.3532% 4/25/33 (l) | 693,273 | 671,677 | ||
Series 2003-20 Class 1A1, 5.5% 7/25/33 | 617,012 | 631,218 | ||
TBW Mortgage-Backed pass-thru certificates floater Series 2006-4 Class A3, 0.5288% 9/25/36 (l) | 3,273,627 | 1,868,245 | ||
WaMu Mortgage pass-thru certificates: | ||||
Series 2003-AR8 Class A, 2.8215% 8/25/33 (l) | 1,186,592 | 1,129,715 | ||
Series 2005-AR3 Class A2, 2.727% 3/25/35 (l) | 3,106,840 | 2,722,051 | ||
Wells Fargo Mortgage Backed Securities Trust: | ||||
Series 2003-12 Class B6, 4.75% 11/25/18 (f) | 221,447 | 33,217 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (c) | Value | ||
Private Sponsor - continued | ||||
Wells Fargo Mortgage Backed Securities Trust: - continued | ||||
Series 2004-EE Class 2A2, 2.902% 12/25/34 (l) | $ 1,055,397 | $ 982,610 | ||
Series 2004-H Class A1, 4.5346% 6/25/34 (l) | 2,154,220 | 2,068,322 | ||
Series 2004-W Class A9, 2.9891% 11/25/34 (l) | 3,483,000 | 3,326,041 | ||
Series 2005-AR10 Class 2A2, 2.9141% 6/25/35 (l) | 2,508,372 | 2,418,285 | ||
Series 2005-AR12: | ||||
Class 2A5, 2.9082% 7/25/35 (l) | 9,260,000 | 8,654,447 | ||
Class 2A6, 2.9082% 7/25/35 (l) | 1,091,974 | 1,016,322 | ||
Series 2005-AR2: | ||||
Class 1A2, 2.8803% 3/25/35 (l) | 3,776,637 | 2,146,068 | ||
Class 2A2, 2.8765% 3/25/35 (l) | 3,093,130 | 2,862,511 | ||
Series 2005-AR3 Class 2A1, 2.9468% 3/25/35 (l) | 1,837,041 | 1,656,675 | ||
TOTAL PRIVATE SPONSOR | 234,559,579 | |||
U.S. Government Agency - 0.0% | ||||
Fannie Mae subordinate REMIC pass-thru certificates planned amortization class Series 2002-9 Class PC, 6% 3/25/17 | 381,058 | 412,057 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $197,073,880) | 234,971,636 | |||
Commercial Mortgage Securities - 6.4% | ||||
| ||||
Asset Securitization Corp.: | ||||
Series 1996-D2 Class B1A, 8.6374% 2/14/29 (f)(l) | 800,000 | 776,880 | ||
Series 1997-D4: | ||||
Class B1, 7.525% 4/14/29 | 210,000 | 219,954 | ||
Class B2, 7.525% 4/14/29 | 1,498,104 | 1,550,837 | ||
Class B5, 7.525% 4/14/29 | 129,000 | 83,016 | ||
Series 1997-D5: | ||||
Class A2, 6.8128% 2/14/43 (l) | 1,399,000 | 1,521,095 | ||
Class A3, 6.8628% 2/14/43 (l) | 1,510,000 | 1,638,337 | ||
Class A5, 6.9328% 2/14/43 (l) | 256,000 | 275,727 | ||
Class A6, 7.1828% 2/14/43 (l) | 2,470,000 | 2,640,953 | ||
Class A7, 7.4228% 2/14/43 (l) | 820,000 | 873,384 | ||
Class PS1, 1.387% 2/14/43 (l)(n) | 5,849,348 | 172,395 | ||
Banc of America Commercial Mortgage Trust: | ||||
sequential payer: | ||||
Series 2006-2 Class AAB, 5.7202% 5/10/45 (l) | 2,221,000 | 2,389,961 | ||
Series 2006-4 Class A1, 5.363% 7/10/46 (l) | 342,144 | 344,519 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (c) | Value | ||
Banc of America Commercial Mortgage Trust: - continued | ||||
sequential payer: | ||||
Series 2006-5: | ||||
Class A1, 5.185% 9/10/47 | $ 814,862 | $ 820,947 | ||
Class A2, 5.317% 9/10/47 | 7,342,000 | 7,692,014 | ||
Class A3, 5.39% 9/10/47 | 2,653,000 | 2,861,396 | ||
Series 2006-6 Class A3, 5.369% 10/10/45 | 3,804,000 | 3,966,996 | ||
Series 2007-2 Class A1, 5.421% 4/10/49 | 444,304 | 456,800 | ||
Series 2007-4 Class A3, 5.811% 2/10/51 (l) | 1,897,000 | 2,044,458 | ||
Series 2006-6 Class E, 5.619% 10/10/45 (f) | 1,098,000 | 200,318 | ||
Series 2007-3: | ||||
Class A3, 5.6578% 6/10/49 (l) | 3,176,000 | 3,402,940 | ||
Class A4, 5.6578% 6/10/49 (l) | 3,965,000 | 3,990,256 | ||
Series 2008-1 Class D, 6.4159% 2/10/51 (f)(l) | 125,000 | 40,620 | ||
Banc of America Commercial Mortgage, Inc.: | ||||
sequential payer: | ||||
Series 2001-1 Class A4, 5.451% 1/15/49 | 4,166,000 | 4,339,834 | ||
Series 2002-2 Class F, 5.487% 7/11/43 | 415,000 | 399,457 | ||
Series 2004-2: | ||||
Class A3, 4.05% 11/10/38 | 2,097,672 | 2,125,097 | ||
Class A4, 4.153% 11/10/38 | 2,412,000 | 2,493,303 | ||
Series 2004-4 Class A3, 4.128% 7/10/42 | 118,932 | 118,851 | ||
Series 2005-1 Class A3, 4.877% 11/10/42 | 3,450,837 | 3,467,363 | ||
Series 2006-1 Class A1, 5.219% 9/10/45 (l) | 1,199,820 | 1,203,937 | ||
Series 2007-1 Class A2, 5.381% 1/15/49 | 4,040,000 | 4,169,308 | ||
Series 2001-3 Class H, 6.562% 4/11/37 (f) | 1,472,000 | 1,456,505 | ||
Series 2001-PB1: | ||||
Class J, 7.166% 5/11/35 (f) | 474,000 | 456,262 | ||
Class K, 6.15% 5/11/35 (f) | 885,000 | 797,352 | ||
Series 2003-1 Class G, 5.608% 9/11/36 (f) | 310,000 | 304,070 | ||
Series 2003-2 Class XP, 0.307% 3/11/41 (f)(l)(n) | 16,252,068 | 10,676 | ||
Series 2004-1 Class F, 5.279% 11/10/39 (f) | 185,000 | 142,586 | ||
Series 2004-4: | ||||
Class K, 4.637% 7/10/42 (f)(l) | 300,000 | 1,170 | ||
Class L, 4.637% 7/10/42 (f)(l) | 280,000 | 504 | ||
Series 2004-5 Class G, 5.3157% 11/10/41 (f)(l) | 195,000 | 115,537 | ||
Series 2005-1 Class CJ, 5.1705% 11/10/42 (l) | 550,000 | 534,378 | ||
Series 2005-3 Series A3B, 5.09% 7/10/43 (l) | 5,908,000 | 6,314,511 | ||
Series 2005-6: | ||||
Class A3, 5.1778% 9/10/47 (l) | 3,423,000 | 3,536,015 | ||
Class AJ, 5.1778% 9/10/47 (l) | 300,000 | 274,926 | ||
Series 2007-1 Class B, 5.543% 1/15/49 | 1,146,000 | 375,943 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (c) | Value | ||
Banc of America Large Loan, Inc. floater: | ||||
sequential payer: | ||||
Series 2005-MIB1: | ||||
Class B, 0.5359% 3/15/22 (f)(l) | $ 390,000 | $ 339,573 | ||
Class C, 0.5859% 3/15/22 (f)(l) | 817,000 | 669,940 | ||
Class D, 0.6359% 3/15/22 (f)(l) | 826,000 | 644,280 | ||
Class E, 0.6759% 3/15/22 (f)(l) | 684,000 | 513,479 | ||
Class F, 0.7459% 3/15/22 (f)(l) | 615,784 | 431,049 | ||
Class G, 0.8059% 3/15/22 (f)(l) | 399,119 | 259,427 | ||
Class J, 1.3259% 3/15/22 (f)(l) | 288,000 | 187,200 | ||
Series 2006-BIX1: | ||||
Class C, 0.4559% 10/15/19 (f)(l) | 1,222,000 | 1,014,260 | ||
Class D, 0.4859% 10/15/19 (f)(l) | 1,494,000 | 1,254,960 | ||
Class E, 0.5159% 10/15/19 (f)(l) | 1,385,000 | 1,147,057 | ||
Class F, 0.5859% 10/15/19 (f)(l) | 3,150,730 | 2,534,132 | ||
Class G, 0.6059% 10/15/19 (f)(l) | 1,245,579 | 867,670 | ||
Bayview Commercial Asset Trust: | ||||
floater: | ||||
Series 2003-2 Class M1, 1.1138% 12/25/33 (f)(l) | 81,882 | 48,310 | ||
Series 2004-1: | ||||
Class A, 0.6238% 4/25/34 (f)(l) | 1,447,099 | 1,143,208 | ||
Class B, 2.1638% 4/25/34 (f)(l) | 162,240 | 81,120 | ||
Class M1, 0.8238% 4/25/34 (f)(l) | 130,261 | 88,577 | ||
Class M2, 1.4638% 4/25/34 (f)(l) | 120,343 | 68,596 | ||
Series 2004-2: | ||||
Class A, 0.6938% 8/25/34 (f)(l) | 1,138,710 | 899,581 | ||
Class M1, 0.8438% 8/25/34 (f)(l) | 191,677 | 120,756 | ||
Series 2004-3: | ||||
Class A1, 0.6338% 1/25/35 (f)(l) | 2,568,342 | 2,003,306 | ||
Class A2, 0.6838% 1/25/35 (f)(l) | 368,554 | 239,560 | ||
Class M1, 0.7638% 1/25/35 (f)(l) | 443,356 | 285,964 | ||
Class M2, 1.2638% 1/25/35 (f)(l) | 205,441 | 127,374 | ||
Series 2005-2A: | ||||
Class A1, 0.5738% 8/25/35 (f)(l) | 1,981,934 | 1,478,523 | ||
Class M1, 0.6938% 8/25/35 (f)(l) | 98,703 | 56,764 | ||
Class M2, 0.7438% 8/25/35 (f)(l) | 162,793 | 89,927 | ||
Class M3, 0.7638% 8/25/35 (f)(l) | 90,069 | 45,863 | ||
Class M4, 0.8738% 8/25/35 (f)(l) | 82,680 | 39,306 | ||
Series 2005-3A: | ||||
Class A1, 0.5838% 11/25/35 (f)(l) | 724,981 | 539,603 | ||
Class A2, 0.6638% 11/25/35 (f)(l) | 718,453 | 463,402 | ||
Class M1, 0.7038% 11/25/35 (f)(l) | 85,747 | 43,619 | ||
Class M2, 0.7538% 11/25/35 (f)(l) | 108,865 | 51,286 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (c) | Value | ||
Bayview Commercial Asset Trust: - continued | ||||
floater: | ||||
Series 2005-3A: | ||||
Class M3, 0.7738% 11/25/35 (f)(l) | $ 97,432 | $ 44,195 | ||
Class M4, 0.8638% 11/25/35 (f)(l) | 121,391 | 52,113 | ||
Series 2005-4A: | ||||
Class A2, 0.6538% 1/25/36 (f)(l) | 1,683,218 | 1,077,260 | ||
Class B1, 1.6638% 1/25/36 (f)(l) | 145,459 | 48,001 | ||
Class M1, 0.7138% 1/25/36 (f)(l) | 542,974 | 282,346 | ||
Class M2, 0.7338% 1/25/36 (f)(l) | 162,892 | 79,817 | ||
Class M3, 0.7638% 1/25/36 (f)(l) | 237,891 | 109,430 | ||
Class M4, 0.8738% 1/25/36 (f)(l) | 131,567 | 52,627 | ||
Class M5, 0.9138% 1/25/36 (f)(l) | 131,567 | 50,653 | ||
Class M6, 0.9638% 1/25/36 (f)(l) | 139,739 | 50,306 | ||
Series 2006-1: | ||||
Class A2, 0.6238% 4/25/36 (f)(l) | 256,717 | 172,000 | ||
Class M1, 0.6438% 4/25/36 (f)(l) | 91,817 | 45,798 | ||
Class M2, 0.6638% 4/25/36 (f)(l) | 97,010 | 46,526 | ||
Class M3, 0.6838% 4/25/36 (f)(l) | 83,470 | 36,168 | ||
Class M4, 0.7838% 4/25/36 (f)(l) | 47,300 | 17,998 | ||
Class M5, 0.8238% 4/25/36 (f)(l) | 45,908 | 17,528 | ||
Class M6, 0.9038% 4/25/36 (f)(l) | 91,538 | 35,187 | ||
Series 2006-2A: | ||||
Class A1, 0.4938% 7/25/36 (f)(l) | 4,653,315 | 3,594,685 | ||
Class A2, 0.5438% 7/25/36 (f)(l) | 230,216 | 156,662 | ||
Class B1, 1.1338% 7/25/36 (f)(l) | 86,196 | 22,342 | ||
Class B3, 2.9638% 7/25/36 (f)(l) | 130,229 | 24,131 | ||
Class M1, 0.5738% 7/25/36 (f)(l) | 241,544 | 114,830 | ||
Class M2, 0.5938% 7/25/36 (f)(l) | 170,421 | 77,916 | ||
Class M3, 0.6138% 7/25/36 (f)(l) | 141,361 | 58,029 | ||
Class M4, 0.6838% 7/25/36 (f)(l) | 95,456 | 37,982 | ||
Class M5, 0.7338% 7/25/36 (f)(l) | 117,324 | 42,190 | ||
Class M6, 0.8038% 7/25/36 (f)(l) | 175,051 | 54,598 | ||
Series 2006-3A: | ||||
Class B1, 1.0638% 10/25/36 (f)(l) | 153,228 | 30,646 | ||
Class B2, 1.6138% 10/25/36 (f)(l) | 110,517 | 19,341 | ||
Class B3, 2.8638% 10/25/36 (f)(l) | 179,849 | 28,776 | ||
Class M4, 0.6938% 10/25/36 (f)(l) | 169,345 | 54,190 | ||
Class M5, 0.7438% 10/25/36 (f)(l) | 202,730 | 56,765 | ||
Class M6, 0.8238% 10/25/36 (f)(l) | 396,827 | 95,238 | ||
Series 2006-4A: | ||||
Class A1, 0.4938% 12/25/36 (f)(l) | 879,858 | 654,175 | ||
Class A2, 0.5338% 12/25/36 (f)(l) | 4,476,943 | 2,845,993 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (c) | Value | ||
Bayview Commercial Asset Trust: - continued | ||||
floater: | ||||
Series 2006-4A: | ||||
Class B1, 0.9638% 12/25/36 (f)(l) | $ 136,886 | $ 33,031 | ||
Class B2, 1.5138% 12/25/36 (f)(l) | 139,528 | 27,208 | ||
Class B3, 2.7138% 12/25/36 (f)(l) | 237,606 | 26,731 | ||
Class M1, 0.5538% 12/25/36 (f)(l) | 286,388 | 134,173 | ||
Class M2, 0.5738% 12/25/36 (f)(l) | 190,925 | 81,907 | ||
Class M3, 0.6038% 12/25/36 (f)(l) | 193,596 | 75,754 | ||
Class M4, 0.6638% 12/25/36 (f)(l) | 231,647 | 82,466 | ||
Class M5, 0.7038% 12/25/36 (f)(l) | 212,955 | 71,510 | ||
Class M6, 0.7838% 12/25/36 (f)(l) | 190,925 | 60,810 | ||
Series 2007-1: | ||||
Class A2, 0.5338% 3/25/37 (f)(l) | 976,666 | 615,300 | ||
Class B1, 0.9338% 3/25/37 (f)(l) | 310,738 | 68,362 | ||
Class B2, 1.4138% 3/25/37 (f)(l) | 225,301 | 41,681 | ||
Class B3, 3.6138% 3/25/37 (f)(l) | 616,916 | 92,537 | ||
Class M1, 0.5338% 3/25/37 (f)(l) | 273,413 | 123,036 | ||
Class M2, 0.5538% 3/25/37 (f)(l) | 204,208 | 79,641 | ||
Class M3, 0.5838% 3/25/37 (f)(l) | 181,105 | 63,387 | ||
Class M4, 0.6338% 3/25/37 (f)(l) | 145,550 | 46,576 | ||
Class M5, 0.6838% 3/25/37 (f)(l) | 227,206 | 65,890 | ||
Class M6, 0.7638% 3/25/37 (f)(l) | 318,104 | 77,936 | ||
Series 2007-2A: | ||||
Class A1, 0.5338% 7/25/37 (f)(l) | 869,083 | 608,358 | ||
Class A2, 0.5838% 7/25/37 (f)(l) | 812,041 | 422,261 | ||
Class B1, 1.8638% 7/25/37 (f)(l) | 250,086 | 37,513 | ||
Class B2, 2.5138% 7/25/37 (f)(l) | 216,518 | 32,478 | ||
Class B3, 3.6138% 7/25/37 (f)(l) | 243,430 | 31,646 | ||
Class M1, 0.6338% 7/25/37 (f)(l) | 285,143 | 108,354 | ||
Class M2, 0.6738% 7/25/37 (f)(l) | 155,814 | 46,744 | ||
Class M3, 0.7538% 7/25/37 (f)(l) | 157,987 | 36,337 | ||
Class M4, 0.9138% 7/25/37 (f)(l) | 311,919 | 62,384 | ||
Class M5, 1.0138% 7/25/37 (f)(l) | 274,963 | 46,744 | ||
Class M6, 1.2638% 7/25/37 (f)(l) | 348,635 | 54,038 | ||
Series 2007-3: | ||||
Class A2, 0.5538% 7/25/37 (f)(l) | 914,846 | 558,239 | ||
Class B1, 1.2138% 7/25/37 (f)(l) | 222,359 | 50,431 | ||
Class B2, 1.8638% 7/25/37 (f)(l) | 556,445 | 121,583 | ||
Class B3, 4.2638% 7/25/37 (f)(l) | 295,606 | 60,984 | ||
Class M1, 0.5738% 7/25/37 (f)(l) | 198,696 | 89,135 | ||
Class M2, 0.6038% 7/25/37 (f)(l) | 212,966 | 78,776 | ||
Class M3, 0.6338% 7/25/37 (f)(l) | 335,582 | 108,259 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (c) | Value | ||
Bayview Commercial Asset Trust: - continued | ||||
floater: | ||||
Series 2007-3: | ||||
Class M4, 0.7638% 7/25/37 (f)(l) | $ 526,914 | $ 158,232 | ||
Class M5, 0.8638% 7/25/37 (f)(l) | 273,310 | 77,292 | ||
Class M6, 1.0638% 7/25/37 (f)(l) | 208,406 | 49,955 | ||
Series 2007-4A: | ||||
Class B1, 2.8138% 9/25/37 (f)(l) | 331,217 | 33,122 | ||
Class B2, 3.7138% 9/25/37 (f)(l) | 1,205,075 | 108,457 | ||
Class M1, 1.2138% 9/25/37 (f)(l) | 318,490 | 85,992 | ||
Class M2, 1.3138% 9/25/37 (f)(l) | 318,490 | 73,253 | ||
Class M4, 1.8638% 9/25/37 (f)(l) | 814,589 | 146,626 | ||
Class M5, 2.0138% 9/25/37 (f)(l) | 814,589 | 122,188 | ||
Class M6, 2.2138% 9/25/37 (f)(l) | 816,170 | 97,940 | ||
Series 2004-1 Class IO, 1.25% 4/25/34 (f)(n) | 4,703,389 | 157,564 | ||
Series 2007-5A Class IO, 3.047% 10/25/37 (f)(l)(n) | 10,714,505 | 1,157,167 | ||
Bear Stearns Commercial Mortgage Securities, Inc. Series 2006-PW11 Class AJ, 5.6234% 3/11/39 (l) | 450,000 | 399,179 | ||
Bear Stearns Commercial Mortgage Securities Trust: | ||||
floater: | ||||
Series 2006-BBA7: | ||||
Class D, 0.5359% 3/15/19 (f)(l) | 200,000 | 169,173 | ||
Class E, 0.5959% 3/15/19 (f)(l) | 365,000 | 299,101 | ||
Class F, 0.6159% 3/15/19 (f)(l) | 160,000 | 125,770 | ||
Class G, 0.7159% 3/15/19 (f)(l) | 1,020,386 | 745,872 | ||
Class H, 0.9259% 3/15/19 (f)(l) | 541,917 | 304,341 | ||
Class J, 1.1259% 3/15/19 (f)(l) | 407,118 | 219,641 | ||
Series 2007-BBA8: | ||||
Class D, 0.5259% 3/15/22 (f)(l) | 655,330 | 380,091 | ||
Class E, 0.5759% 3/15/22 (f)(l) | 3,607,157 | 1,983,936 | ||
Class F, 0.6259% 3/15/22 (f)(l) | 2,235,922 | 1,140,320 | ||
Class G, 0.6759% 3/15/22 (f)(l) | 537,549 | 258,024 | ||
Class H, 0.8259% 3/15/22 (f)(l) | 655,330 | 262,132 | ||
Class J, 0.9759% 3/15/22 (f)(l) | 655,330 | 209,706 | ||
sequential payer: | ||||
Series 2003-PWR2 Class A3, 4.834% 5/11/39 | 670,528 | 682,081 | ||
Series 2004-PWR3 Class A3, 4.487% 2/11/41 | 1,902,925 | 1,933,895 | ||
Series 2006-PW14 Class AM, 5.243% 12/11/38 | 600,000 | 566,892 | ||
Series 2006-T24 Class A1, 4.905% 10/12/41 (l) | 1,532,220 | 1,559,889 | ||
Series 2007-PW16 Class A4, 5.7172% 6/11/40 (l) | 1,112,000 | 1,171,472 | ||
Series 2007-PW17 Class A1, 5.282% 6/11/50 | 892,295 | 910,745 | ||
Series 2007-T26 Class A1, 5.145% 1/12/45 (l) | 498,561 | 510,803 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (c) | Value | ||
Bear Stearns Commercial Mortgage Securities Trust: - continued | ||||
Series 1999-C1: | ||||
Class G, 5.64% 2/14/31 (f) | $ 70,000 | $ 64,139 | ||
Class I, 5.64% 2/14/31 (f) | 205,000 | 63,720 | ||
Series 2003-PWR2 Class X2, 0.4686% 5/11/39 (f)(l)(n) | 14,745,455 | 77,585 | ||
Series 2006-PW13 Class A3, 5.518% 9/11/41 | 6,714,000 | 7,116,337 | ||
Series 2006-PW14 Class X2, 0.6529% 12/11/38 (f)(l)(n) | 25,773,245 | 462,351 | ||
Series 2006-T22: | ||||
Class A4, 5.4623% 4/12/38 (l) | 237,000 | 262,020 | ||
Class B, 5.4623% 4/12/38 (f)(l) | 200,000 | 168,511 | ||
Series 2007-BBA8: | ||||
Class K, 1.4759% 3/15/22 (f)(l) | 120,000 | 32,400 | ||
Class L, 2.1759% 3/15/22 (f)(l) | 253,568 | 55,785 | ||
Series 2007-PW15 Class A1, 5.016% 2/11/44 | 417,961 | 427,490 | ||
Series 2007-PW16: | ||||
Class B, 5.7172% 6/11/40 (f)(l) | 304,000 | 109,502 | ||
Class C, 5.7172% 6/11/40 (f)(l) | 255,000 | 79,093 | ||
Class D, 5.7172% 6/11/40 (f)(l) | 255,000 | 67,292 | ||
Series 2007-PW18 Class X2, 0.3206% 6/11/50 (f)(l)(n) | 177,669,388 | 2,278,059 | ||
Series 2007-T28: | ||||
Class A1, 5.422% 9/11/42 | 279,634 | 289,179 | ||
Class X2, 0.1751% 9/11/42 (f)(l)(n) | 88,855,592 | 692,967 | ||
C-BASS Trust floater Series 2006-SC1 Class A, 0.5338% 5/25/36 (f)(l) | 925,172 | 546,311 | ||
CDC Commercial Mortgage Trust Series 2002-FX1: | ||||
Class G, 6.625% 5/15/35 (f) | 2,235,000 | 2,409,259 | ||
Class XCL, 2.1172% 5/15/35 (f)(l)(n) | 24,788,523 | 692,153 | ||
Chase Commercial Mortgage Securities Corp.: | ||||
Series 1998-1 Class H, 6.34% 5/18/30 (f) | 800,000 | 608,718 | ||
Series 1998-2 Class J, 6.39% 11/18/30 (f) | 489,107 | 104,082 | ||
Series 1999-2: | ||||
Class E, 7.734% 1/15/32 | 82,554 | 82,335 | ||
Class F, 7.734% 1/15/32 | 413,000 | 411,573 | ||
Series 2001-245 Class A2, 6.275% 2/12/16 (f)(l) | 1,888,017 | 1,919,168 | ||
Chase Manhattan Bank-First Union National Bank Commercial Mortgage Trust Series 1999-1 Class G, 6.4% 8/15/31 (f) | 290,000 | 301,293 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (c) | Value | ||
Citigroup Commercial Mortgage Trust: | ||||
floater: | ||||
Series 2006-FL2: | ||||
Class F, 0.5819% 8/15/21 (f)(l) | $ 678,000 | $ 593,853 | ||
Class G, 0.6019% 8/15/21 (f)(l) | 542,222 | 437,980 | ||
Class H, 0.6419% 8/15/21 (f)(l) | 433,548 | 324,472 | ||
Series 2007-FL3A: | ||||
Class MLA1, 1.0759% 4/15/22 (f)(l) | 291,000 | 243,812 | ||
Classs MLA2, 1.3259% 4/15/22 (f)(l) | 129,000 | 105,320 | ||
sequential payer Series 2006-C5 Class A4, 5.431% 10/15/49 | 9,955,000 | 10,704,243 | ||
Series 2006-C5 Class AMP2, 5.5005% 10/15/49 (f) | 3,198,044 | 2,956,826 | ||
Series 2007-C6: | ||||
Class A1, 5.622% 12/10/49 (l) | 10,665,557 | 10,857,275 | ||
Class A4, 5.6985% 12/10/49 (l) | 5,830,000 | 6,204,389 | ||
Series 2007-FL3A Class A2, 0.4159% 4/15/22 (f)(l) | 6,878,000 | 5,916,260 | ||
Citigroup/Deutsche Bank Commercial Mortgage Trust: | ||||
sequential payer Series 2007-CD4: | ||||
Class A1, 4.977% 12/11/49 | 321,603 | 324,829 | ||
Class A2A, 5.237% 12/11/49 | 11,693,000 | 12,023,889 | ||
Class A4, 5.322% 12/11/49 | 10,093,000 | 10,282,783 | ||
Series 2007-CD4: | ||||
Class A3, 5.293% 12/11/49 | 1,852,000 | 1,958,018 | ||
Class C, 5.476% 12/11/49 | 3,581,000 | 1,002,680 | ||
Claregold Trust Series 2007-2A: | ||||
Class F, 5.01% 5/15/44 (f)(l) | CAD | 138,000 | 71,343 | |
Class G, 5.01% 5/15/44 (f)(l) | CAD | 30,000 | 13,921 | |
Class H, 5.01% 5/15/44 (f)(l) | CAD | 20,000 | 7,834 | |
Class J, 5.01% 5/15/44 (f)(l) | CAD | 20,000 | 7,135 | |
Class K, 5.01% 5/15/44 (f)(l) | CAD | 10,000 | 2,986 | |
Class L, 5.01% 5/15/44 (f)(l) | CAD | 36,000 | 9,879 | |
Class M, 5.01% 5/15/44 (f)(l) | CAD | 165,000 | 41,732 | |
Cobalt CMBS Commercial Mortgage Trust: | ||||
sequential payer Series 2007-C3 Class A3, 5.8179% 5/15/46 (l) | 1,902,000 | 2,033,310 | ||
Series 2006-C1 Class B, 5.359% 8/15/48 | 5,706,000 | 798,840 | ||
COMM pass-thru certificates: | ||||
floater: | ||||
Series 2005-F10A: | ||||
Class B, 0.5059% 4/15/17 (f)(l) | 4,261,000 | 3,621,850 | ||
Class C, 0.5459% 4/15/17 (f)(l) | 1,531,000 | 1,255,420 | ||
Class D, 0.5859% 4/15/17 (f)(l) | 950,056 | 741,044 | ||
Class E, 0.6459% 4/15/17 (f)(l) | 802,445 | 601,834 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (c) | Value | ||
COMM pass-thru certificates: - continued | ||||
floater: | ||||
Series 2005-F10A: | ||||
Class F, 0.6859% 4/15/17 (f)(l) | $ 171,562 | $ 118,378 | ||
Class G, 0.8259% 4/15/17 (f)(l) | 171,562 | 108,084 | ||
Class H, 0.8959% 4/15/17 (f)(l) | 171,562 | 89,212 | ||
Class J, 1.1259% 4/15/17 (f)(l) | 131,565 | 52,626 | ||
Series 2005-FL11: | ||||
Class B, 0.5259% 11/15/17 (f)(l) | 232,354 | 220,736 | ||
Class C, 0.5759% 11/15/17 (f)(l) | 1,913,631 | 1,760,540 | ||
Class D, 0.6159% 11/15/17 (f)(l) | 99,518 | 89,566 | ||
Class E, 0.6659% 11/15/17 (f)(l) | 353,792 | 307,799 | ||
Class F, 0.7259% 11/15/17 (f)(l) | 245,114 | 200,994 | ||
Class G, 0.7759% 11/15/17 (f)(l) | 169,901 | 118,931 | ||
Series 2006-FL12 Class AJ, 0.4059% 12/15/20 (f)(l) | 2,710,000 | 2,249,300 | ||
sequential payer: | ||||
Series 2005-C6 Class A2, 4.999% 6/10/44 (l) | 28,687 | 28,668 | ||
Series 2006-C8 Class A3, 5.31% 12/10/46 | 5,420,000 | 5,647,875 | ||
Series 2006-CN2A Class A2FX, 5.449% 2/5/19 (f) | 3,216,000 | 3,226,318 | ||
Series 2007-C9 Class A4, 5.8157% 12/10/49 (l) | 4,209,000 | 4,555,588 | ||
Series 2001-J1A Class F, 6.958% 2/16/34 (f) | 600,000 | 605,247 | ||
Series 2001-J2A Class F, 7.0306% 7/16/34 (f)(l) | 199,000 | 167,245 | ||
Series 2004-LBN2 Class X2, 0.8492% 3/10/39 (f)(l)(n) | 3,747,116 | 13,653 | ||
Series 2006-C8: | ||||
Class B, 5.44% 12/10/46 | 3,294,000 | 1,026,809 | ||
Class XP, 0.4814% 12/10/46 (l)(n) | 20,651,829 | 303,433 | ||
Commercial Mortgage Acceptance Corp.: | ||||
Series 1998-C1: | ||||
Class F, 6.23% 7/15/31 (f) | 98,665 | 101,030 | ||
Class G, 6.21% 7/15/31 (f) | 554,000 | 566,045 | ||
weighted average coupon Series 1998-C2 Class F, 5.44% 9/15/30 (f)(l) | 204,930 | 212,347 | ||
Commercial Mortgage Asset Trust: | ||||
Series 1999-C1 Class F, 6.25% 1/17/32 (f) | 550,000 | 460,748 | ||
Series 1999-C2 Class G, 6% 11/17/32 | 302,000 | 293,628 | ||
Credit Suisse Commercial Mortgage Trust: | ||||
sequential payer: | ||||
Series 2006-C4 Class A3, 5.467% 9/15/39 | 17,590,000 | 18,250,274 | ||
Series 2006-C5: | ||||
Class A1, 5.297% 12/15/39 | 76,945 | 77,044 | ||
Class AJ, 5.373% 12/15/39 | 3,852,000 | 2,435,370 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (c) | Value | ||
Credit Suisse Commercial Mortgage Trust: - continued | ||||
sequential payer: | ||||
Series 2007-C2: | ||||
Class A1, 5.269% 1/15/49 | $ 37,660 | $ 37,819 | ||
Class A2, 5.448% 1/15/49 (l) | 10,150,000 | 10,406,568 | ||
Class A3, 5.542% 1/15/49 (l) | 3,804,000 | 3,782,204 | ||
Series 2007-C3: | ||||
Class A1, 5.664% 6/15/39 (l) | 13,235 | 13,221 | ||
Class A4, 5.7223% 6/15/39 (l) | 1,144,000 | 1,135,584 | ||
Series 2006-C4 Class AAB, 5.439% 9/15/39 | 10,824,000 | 11,561,991 | ||
Series 2006-C5 Class ASP, 0.6707% 12/15/39 (l)(n) | 13,910,240 | 206,146 | ||
Series 2007-C5 Class A4, 5.695% 9/15/40 (l) | 1,722,000 | 1,719,580 | ||
Credit Suisse First Boston Mortgage Capital Certificates floater Series 2007-TF2A Class B, 0.6259% 4/15/22 (f)(l) | 6,783,000 | 2,713,200 | ||
Credit Suisse First Boston Mortgage Securities Corp.: | ||||
floater Series 2006-TF2A Class KER, 0.8759% 9/15/21 (f)(l) | 270,312 | 195,543 | ||
sequential payer: | ||||
Series 2001-CK6 Class B, 6.582% 8/15/36 | 1,902,000 | 1,988,649 | ||
Series 2002-CP5 Class A1, 4.106% 12/15/35 | 137,212 | 140,474 | ||
Series 2004-C1: | ||||
Class A3, 4.321% 1/15/37 | 471,381 | 477,932 | ||
Class A4, 4.75% 1/15/37 | 884,000 | 921,198 | ||
Series 1997-C2 Class F, 7.46% 1/17/35 (l) | 929,000 | 1,027,438 | ||
Series 1998-C1: | ||||
Class D, 7.17% 5/17/40 | 106,971 | 107,711 | ||
Class F, 6% 5/17/40 (f) | 659,000 | 656,763 | ||
Class H, 6% 5/17/40 (f) | 130,000 | 11,597 | ||
Series 1998-C2 Class F, 6.75% 11/11/30 (f) | 470,000 | 478,738 | ||
Series 1999-C1 Class E, 7.8879% 9/15/41 (l) | 163,845 | 163,452 | ||
Series 2001-CK6 Class AX, 0.8793% 8/15/36 (l)(n) | 5,070,486 | 39,736 | ||
Series 2001-CKN5 Class AX, 1.9642% 9/15/34 (f)(l)(n) | 15,264,879 | 189,767 | ||
Series 2001-SPGA Class C, 6.809% 8/13/18 (f) | 230,000 | 219,747 | ||
Series 2003-C3: | ||||
Class D, 4.131% 5/15/38 | 120,000 | 118,671 | ||
Class J, 4.231% 5/15/38 (f) | 300,000 | 179,225 | ||
Series 2003-C4 Class ASP, 0.4351% 8/15/36 (f)(l)(n) | 12,258,479 | 196 | ||
Series 2006-C1 Class A3, 5.5486% 2/15/39 (l) | 10,043,000 | 10,870,985 | ||
Credit Suisse Mortgage Capital Certificates: | ||||
floater Series 2007-TFL1: | ||||
Class B, 0.4259% 2/15/22 (f)(l) | 721,000 | 483,070 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (c) | Value | ||
Credit Suisse Mortgage Capital Certificates: - continued | ||||
floater Series 2007-TFL1: | ||||
Class C: | ||||
0.4459% 2/15/22 (f)(l) | $ 1,864,711 | $ 1,062,885 | ||
0.5459% 2/15/22 (f)(l) | 665,993 | 306,357 | ||
Class F, 0.5959% 2/15/22 (f)(l) | 1,331,815 | 546,044 | ||
Class L, 2.1759% 2/15/22 (f)(l) | 100,000 | 2,000 | ||
sequential payer Series 2007-C1: | ||||
Class A1, 5.227% 2/15/40 | 109,867 | 111,289 | ||
Class A2, 5.268% 2/15/40 | 18,300,000 | 18,898,112 | ||
Series 2007-C1: | ||||
Class ASP, 0.4159% 2/15/40 (l)(n) | 35,608,965 | 408,656 | ||
Class B, 5.487% 2/15/40 (f)(l) | 2,907,000 | 348,840 | ||
Credit Suisse/Morgan Stanley Commercial Mortgage Trust: | ||||
floater Series 2006-HC1A: | ||||
Class A2, 0.5359% 5/15/23 (f)(l) | 450,000 | 427,452 | ||
Class D, 0.7459% 5/15/23 (f)(l) | 170,000 | 157,223 | ||
Class F, 0.8759% 5/15/23 (f)(l) | 140,000 | 127,340 | ||
Series 2006-HC1A Class C, 0.6759% 5/15/23 (f)(l) | 355,000 | 331,057 | ||
Crest Ltd. Series 2001-1A Class C, 9% 2/25/34 (f) | 500,000 | 220,000 | ||
Deutsche Mortgage & Asset Receiving Corp. Series 1998-C1 Class J, 6.22% 6/15/31 | 400,000 | 331,540 | ||
DLJ Commercial Mortgage Corp.: | ||||
Series 1998-CG1 Class B4, 7.2267% 6/10/31 (f)(l) | 891,000 | 975,248 | ||
Series 2000-CKP1 Class B3, 8.1791% 11/10/33 (l) | 230,000 | 229,552 | ||
First Union National Bank Commercial Mortgage Trust Series 2001-C4: | ||||
Class H, 7.036% 12/12/33 (f) | 770,000 | 777,846 | ||
Class K, 6% 12/12/33 (f) | 520,000 | 507,508 | ||
First Union National Bank-Bank of America Commercial Mortgage Trust Series 2001-C1: | ||||
Class D, 6.484% 3/15/33 | 679,000 | 687,075 | ||
Class G, 6.936% 3/15/33 (f) | 1,252,000 | 1,252,228 | ||
Class H, 7.039% 3/15/33 (f) | 63,000 | 62,908 | ||
First Union-Lehman Brothers-Bank of America Commercial Mortgage Trust sequential payer Series 1998-C2 Class G, 7% 11/18/35 (f)(l) | 443,000 | 463,727 | ||
Four Times Square Trust sequential payer Series 2006-4TS Class A, 5.401% 12/13/28 (f) | 200,000 | 221,078 | ||
G-Force LLC sequential payer Series 2005-RRA Class A2, 4.83% 8/22/36 (f) | 625,000 | 584,375 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (c) | Value | ||
GE Capital Commercial Mortgage Corp.: | ||||
sequential payer: | ||||
Series 2000-1 Class A2, 6.496% 1/15/33 | $ 242,872 | $ 244,511 | ||
Series 2007-C1 Class A4, 5.543% 12/10/49 | 11,404,000 | 11,419,597 | ||
Series 2001-1 Class X1, 1.0321% 5/15/33 (f)(l)(n) | 18,284,871 | 80,808 | ||
Series 2001-3 Class C, 6.51% 6/10/38 | 287,000 | 292,260 | ||
Series 2002-1A Class H, 7.1591% 12/10/35 (f)(l) | 65,000 | 62,940 | ||
Series 2004-C1 Class X2, 1.1164% 11/10/38 (f)(l)(n) | 9,952,835 | 38,869 | ||
Series 2005-C1 Class B, 4.846% 6/10/48 (l) | 543,000 | 385,731 | ||
Series 2007-C1 Class XP, 0.2009% 12/10/49 (l)(n) | 37,275,811 | 232,400 | ||
GMAC Commercial Mortgage Securities, Inc.: | ||||
Series 1997-C1 Class H, 6.6% 7/15/29 | 468,006 | 115,509 | ||
Series 1997-C2: | ||||
Class F, 6.75% 4/15/29 (l) | 1,068,773 | 1,122,726 | ||
Class G, 6.75% 4/15/29 (l) | 504,000 | 515,472 | ||
Series 1999-C1 Class F, 6.02% 5/15/33 (f) | 540,000 | 530,192 | ||
Series 1999-C2I Class K, 6.481% 9/15/33 (o) | 385,000 | 21,560 | ||
Series 1999-C3: | ||||
Class G, 6.974% 8/15/36 (f) | 133,630 | 134,180 | ||
Class J, 6.974% 8/15/36 (f) | 226,000 | 225,990 | ||
Class K, 6.974% 8/15/36 (f) | 427,000 | 248,604 | ||
Series 2000-C1: | ||||
Class H, 7% 3/15/33 (f) | 40,835 | 40,819 | ||
Class K, 7% 3/15/33 | 90,000 | 72,996 | ||
Series 2002-C3 Class B, 5.101% 7/10/39 | 285,000 | 299,214 | ||
Series 2003-C3 Class X2, 0.6149% 4/10/40 (f)(l)(n) | 10,107,146 | 19,306 | ||
Series 2005-C1 Class X2, 0.6565% 5/10/43 (l)(n) | 7,558,172 | 74,044 | ||
Greenwich Capital Commercial Funding Corp.: | ||||
floater Series 2006-FL4 Class B, 0.49% 11/5/21 (f)(l) | 715,000 | 529,721 | ||
sequential payer: | ||||
Series 2003-C1 Class D, 4.29% 7/5/35 (f) | 490,000 | 500,414 | ||
Series 2004-GG1 Class A4, 4.755% 6/10/36 | 524,933 | 528,245 | ||
Series 2007-GG11: | ||||
Class A1, 5.358% 12/10/49 | 1,848,848 | 1,918,544 | ||
Class A2, 5.597% 12/10/49 | 3,804,000 | 4,016,721 | ||
Series 2007-GG9 Class A4, 5.444% 3/10/39 | 5,530,000 | 5,792,039 | ||
Series 2002-C1: | ||||
Class H, 5.903% 1/11/35 (f) | 97,000 | 92,493 | ||
Class J, 6.306% 1/11/35 (f) | 760,000 | 703,589 | ||
Series 2003-C2: | ||||
Class J, 5.234% 1/5/36 (f)(l) | 250,000 | 197,754 | ||
Class XP, 0.8232% 1/5/36 (f)(l)(n) | 12,076,264 | 28,345 | ||
Series 2005-GG3 Class XP, 0.6925% 8/10/42 (f)(l)(n) | 35,232,048 | 314,435 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (c) | Value | ||
Greenwich Capital Commercial Funding Corp.: - continued | ||||
Series 2006-GG7: | ||||
Class A3, 5.8883% 7/10/38 (l) | $ 5,013,000 | $ 5,443,316 | ||
Class A4, 5.8883% 7/10/38 (l) | 9,540,000 | 10,386,007 | ||
Series 2007-GG11 Class A1, 0.4798% 12/10/49 (f)(n) | 45,214,389 | 470,614 | ||
GS Mortgage Securities Corp. II: | ||||
floater: | ||||
Series 2006-FL8A: | ||||
Class C, 0.5353% 6/6/20 (f)(l) | 96,000 | 87,408 | ||
Class D, 0.5753% 6/6/20 (f)(l) | 453,000 | 391,603 | ||
Class E, 0.6653% 6/6/20 (f)(l) | 526,000 | 441,928 | ||
Class F, 0.7353% 6/6/20 (f)(l) | 835,001 | 669,793 | ||
Class J, 2.0453% 6/6/20 (f)(l) | 250,000 | 127,349 | ||
Series 2007-EOP: | ||||
Class C, 0.6153% 3/6/20 (f)(l) | 1,994,000 | 1,774,660 | ||
Class D, 0.6653% 3/6/20 (f)(l) | 4,004,000 | 3,523,520 | ||
Class F, 0.7753% 3/6/20 (f)(l) | 164,000 | 141,860 | ||
Class G, 0.8153% 3/6/20 (f)(l) | 81,000 | 68,040 | ||
Class H, 0.9453% 3/6/20 (f)(l) | 60,000 | 50,700 | ||
Class J, 1.1453% 3/6/20 (f)(l) | 86,000 | 71,380 | ||
Class L, 1.5953% 3/1/20 (f)(l) | 400,000 | 328,000 | ||
sequential payer Series 2004-GG2 Class A4, 4.964% 8/10/38 | 590,000 | 613,109 | ||
Series 1997-GL Class G, 7.7695% 7/13/30 (l) | 828,627 | 918,118 | ||
Series 1998-GLII Class G, 7.742% 4/13/31 (f)(l) | 600,000 | 548,366 | ||
Series 2001-GL3A Class JGGP, 7.6436% 8/5/18 (f)(l) | 350,000 | 245,000 | ||
Series 2005-GG4 Class XP, 0.7044% 7/10/39 (f)(l)(n) | 35,965,436 | 428,057 | ||
Series 2006-GG6 Class A2, 5.506% 4/10/38 | 10,001,421 | 10,153,282 | ||
Series 2006-RR2: | ||||
Class M, 5.68% 6/1/46 (f)(l) | 100,000 | 0 | ||
Class N, 5.68% 6/1/46 (f)(l) | 100,000 | 0 | ||
GS Mortgage Securities Trust sequential payer: | ||||
Series 2006-GG8 Class A2, 5.479% 11/10/39 | 2,852,000 | 2,925,656 | ||
Series 2007-GG10: | ||||
Class A1, 5.69% 8/10/45 | 583,171 | 601,505 | ||
Class A2, 5.778% 8/10/45 | 13,561,000 | 14,095,596 | ||
Class A4, 5.8077% 8/10/45 (l) | 13,620,000 | 14,076,785 | ||
JPMorgan Chase Commercial Mortgage Securities Corp.: | ||||
Series 2002-C1 Class E, 6.135% 7/12/37 (f) | 201,000 | 190,073 | ||
Series 2003-C1: | ||||
Class CM1, 5.5061% 1/12/37 (f)(l) | 206,377 | 167,166 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (c) | Value | ||
JPMorgan Chase Commercial Mortgage Securities Corp.: - continued | ||||
Series 2003-C1: | ||||
Class D, 5.192% 1/12/37 | $ 230,000 | $ 227,929 | ||
Series 2004-C1 Class X2, 0.9177% 1/15/38 (f)(l)(n) | 2,942,268 | 12,487 | ||
Series 2004-CB8 Class X2, 1.0321% 1/12/39 (f)(l)(n) | 2,940,154 | 16,299 | ||
Series 2009-IWST Class D, 7.6935% 12/5/27 (f)(l) | 250,000 | 274,244 | ||
JPMorgan Chase Commercial Mortgage Securities Trust: | ||||
floater: | ||||
Series 2005-FL1A Class A2, 0.4559% 2/15/19 (f)(l) | 379,864 | 358,566 | ||
Series 2006-FL1A Class E, 0.6459% 2/15/20 (f)(l) | 155,269 | 122,711 | ||
Series 2006-FLA2: | ||||
Class A2, 0.4059% 11/15/18 (f)(l) | 10,000,000 | 8,400,000 | ||
Class B, 0.4459% 11/15/18 (f)(l) | 1,403,343 | 982,340 | ||
Class C, 0.4859% 11/15/18 (f)(l) | 997,036 | 658,044 | ||
Class D, 0.5059% 11/15/18 (f)(l) | 303,719 | 173,120 | ||
Class E, 0.5559% 11/15/18 (f)(l) | 438,130 | 245,353 | ||
Class F, 0.6059% 11/15/18 (f)(l) | 655,993 | 341,117 | ||
Class G, 0.6359% 11/15/18 (f)(l) | 570,003 | 285,001 | ||
Class H, 0.7759% 11/15/18 (f)(l) | 438,130 | 192,777 | ||
sequential payer: | ||||
Series 2006-CB14 Class A3B, 5.4835% 12/12/44 (l) | 5,657,000 | 6,036,181 | ||
Series 2006-CB15 Class A3, 5.819% 6/12/43 (l) | 2,864,000 | 3,045,727 | ||
Series 2006-LDP8 Class A4, 5.399% 5/15/45 | 1,210,000 | 1,298,084 | ||
Series 2006-LDP9: | ||||
Class A2, 5.134% 5/15/47 (l) | 903,000 | 963,161 | ||
Class A3, 5.336% 5/15/47 | 9,409,000 | 9,796,998 | ||
Series 2007-CB19 Class A4, 5.7461% 2/12/49 (l) | 6,670,000 | 6,995,309 | ||
Series 2007-LD11 Class A2, 5.8025% 6/15/49 (l) | 5,340,000 | 5,583,785 | ||
Series 2007-LDP10 Class A1, 5.122% 1/15/49 | 62,688 | 63,241 | ||
Series 2007-LDPX Class A3, 5.412% 1/15/49 | 5,234,000 | 5,353,212 | ||
Series 2004-CBX Class D, 5.097% 1/12/37 (l) | 170,000 | 141,950 | ||
Series 2004-LDP4 Class D, 5.1488% 10/15/42 (l) | 1,711,000 | 792,260 | ||
Series 2004-LN2 Class D, 5.2116% 7/15/41 (l) | 420,000 | 363,731 | ||
Series 2005-CB13 Class E, 5.3519% 1/12/43 (f)(l) | 963,000 | 89,115 | ||
Series 2005-LDP3 Class A3, 4.959% 8/15/42 | 10,527,952 | 10,913,494 | ||
Series 2006-CB17 Class A3, 5.45% 12/12/43 | 543,000 | 571,298 | ||
Series 2007-CB19: | ||||
Class B, 5.7461% 2/12/49 (l) | 165,000 | 51,177 | ||
Class C, 5.7461% 2/12/49 (l) | 424,000 | 131,510 | ||
Class D, 5.7461% 2/12/49 (l) | 447,000 | 132,346 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (c) | Value | ||
LB Commercial Conduit Mortgage Trust: | ||||
Series 2007-LDP10: | ||||
Class BS, 5.437% 1/15/49 (l) | $ 364,000 | $ 109,245 | ||
Class CS, 5.466% 1/15/49 (l) | 157,000 | 40,397 | ||
Class ES, 5.541% 1/15/49 (f)(l) | 983,000 | 69,293 | ||
JPMorgan Commercial Mortgage Finance Corp.: | ||||
Series 1997-C5 Class F, 7.5605% 9/15/29 | 1,295,956 | 1,375,357 | ||
Series 2000-C9 Class G, 6.25% 10/15/32 (f) | 783,000 | 790,261 | ||
sequential payer Series 2007-C3 Class A4, 5.9499% 7/15/44 (l) | 21,615,000 | 22,359,444 | ||
Series 1998-C1 Class D, 6.98% 2/18/30 | 709,466 | 713,953 | ||
Series 1998-C4 Class G, 5.6% 10/15/35 (f) | 583,000 | 594,718 | ||
LB-UBS Commercial Mortgage Trust: | ||||
sequential payer: | ||||
Series 2001-C2 Class A2, 6.653% 11/15/27 | 339,221 | 345,293 | ||
Series 2001-C3 Class A1, 6.058% 6/15/20 | 8,836 | 8,852 | ||
Series 2004-C2 Class E, 4.487% 3/15/36 | 150,000 | 141,356 | ||
Series 2005-C7: | ||||
Class AJ, 5.323% 11/15/40 | 500,000 | 450,521 | ||
Class AM, 5.263% 11/15/40 (l) | 67,000 | 67,504 | ||
Series 2006-C1 Class A2, 5.084% 2/15/31 | 828,357 | 835,803 | ||
Series 2006-C3 Class A1, 5.478% 3/15/32 | 41,567 | 41,759 | ||
Series 2006-C6: | ||||
Class A1, 5.23% 9/15/39 | 194,132 | 194,284 | ||
Class A2, 5.262% 9/15/39 (l) | 11,694,000 | 11,995,674 | ||
Series 2006-C7: | ||||
Class A1, 5.279% 11/15/38 | 496,918 | 505,978 | ||
Class A2, 5.3% 11/15/38 | 2,092,000 | 2,157,371 | ||
Class A3, 5.347% 11/15/38 | 1,417,000 | 1,502,438 | ||
Class AM, 5.378% 11/15/38 | 160,000 | 143,688 | ||
Series 2007-C1: | ||||
Class A1, 5.391% 2/15/40 (l) | 216,855 | 220,911 | ||
Class A3, 5.398% 2/15/40 | 10,000,000 | 10,601,803 | ||
Class A4, 5.424% 2/15/40 | 5,434,000 | 5,703,289 | ||
Series 2007-C2 Class A3, 5.43% 2/15/40 | 3,967,000 | 4,085,930 | ||
Series 2007-C6 Class A2, 5.845% 7/15/40 | 9,949,374 | 10,380,980 | ||
Series 2000-C5 Class E, 7.29% 12/15/32 | 134,000 | 134,730 | ||
Series 2001-C3 Class B, 6.512% 6/15/36 | 3,676,000 | 3,800,169 | ||
Series 2001-C7 Class D, 6.514% 11/15/33 | 2,092,000 | 2,113,340 | ||
Series 2002-C1 Class J, 6.95% 3/15/34 (f)(l) | 86,000 | 83,623 | ||
Series 2003-C7 Class L, 5.224% 7/15/37 (f)(l) | 284,000 | 179,475 | ||
Series 2004-C2: | ||||
Class G, 4.595% 3/15/36 (f)(l) | 225,000 | 179,886 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (c) | Value | ||
LB-UBS Commercial Mortgage Trust: - continued | ||||
Series 2004-C2: | ||||
Class K, 5.2578% 3/15/36 (f)(l) | $ 500,000 | $ 219,394 | ||
Class XCP, 1.0459% 3/15/36 (f)(l)(n) | 22,208,335 | 124,949 | ||
Series 2004-C4 Class A2, 4.567% 6/15/29 (l) | 228,524 | 230,909 | ||
Series 2005-C2 Class AJ, 5.205% 4/15/30 (l) | 740,000 | 677,857 | ||
Series 2005-C3 Class XCP, 0.7548% 7/15/40 (l)(n) | 5,887,328 | 68,922 | ||
Series 2005-C5 Class A2, 4.885% 9/15/30 | 475,370 | 488,258 | ||
Series 2005-C7 Class C, 5.35% 11/15/40 (l) | 686,000 | 472,616 | ||
Series 2006-C4: | ||||
Class AJ, 5.9022% 6/15/38 (l) | 480,000 | 387,554 | ||
Class AM, 5.9022% 6/15/38 (l) | 500,000 | 463,466 | ||
Series 2006-C6 Class XCP, 0.6666% 9/15/39 (l)(n) | 10,810,515 | 175,514 | ||
Series 2007-C1: | ||||
Class C, 5.533% 2/15/40 (l) | 4,185,000 | 927,292 | ||
Class D, 5.563% 2/15/40 (l) | 760,000 | 135,526 | ||
Class E, 5.582% 2/15/40 (l) | 381,000 | 58,273 | ||
Class XCP, 0.3203% 2/15/40 (l)(n) | 4,345,108 | 50,616 | ||
Series 2007-C6 Class A4, 5.858% 7/15/40 (l) | 2,376,000 | 2,450,526 | ||
Series 2007-C7: | ||||
Class A3, 5.866% 9/15/45 | 6,219,000 | 6,516,073 | ||
Class XCP, 0.2905% 9/15/45 (l)(n) | 149,280,090 | 1,635,005 | ||
LB-UBS Westfield Trust Series 2001-WM, 6.754% 7/14/16 (f) | 544,000 | 555,053 | ||
Lehman Brothers Floating Rate Commercial Mortgage Trust floater: | ||||
Series 2004-LLFA Class J, 1.4759% 10/15/17 (f)(l) | 160,000 | 141,457 | ||
Series 2006-LLFA: | ||||
Class D, 0.5059% 9/15/21 (f)(l) | 608,683 | 467,127 | ||
Class E, 0.5659% 9/15/21 (f)(l) | 2,196,145 | 1,664,618 | ||
Class F, 0.6159% 9/15/21 (f)(l) | 1,143,094 | 852,703 | ||
Class G, 0.6359% 9/15/21 (f)(l) | 2,258,211 | 1,563,720 | ||
Class H, 0.6759% 9/15/21 (f)(l) | 582,579 | 253,957 | ||
Lehman Large Loan Trust Series 1997-LLI Class E, 7.3% 10/12/34 | 3,377,000 | 3,574,741 | ||
LNR CFL Series 2004-1: | ||||
Class I10, 7.72% 2/26/28 (f) | 180,000 | 158,922 | ||
Class I11, 7.72% 2/26/28 (f) | 100,000 | 82,980 | ||
Class I12, 7.72% 2/26/28 (f) | 100,000 | 79,620 | ||
Class I9, 7.72% 2/26/28 (f) | 153,200 | 143,702 | ||
Merrill Lynch Mortgage Investors Trust: | ||||
Series 1997-C2 Class F, 6.25% 12/10/29 (l) | 620,000 | 643,638 | ||
Series 1998-C3 Class E, 6.8483% 12/15/30 (l) | 173,000 | 187,379 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (c) | Value | ||
Merrill Lynch Mortgage Trust: | ||||
sequential payer: | ||||
Series 2004-MKB1 Class A2, 4.353% 2/12/42 | $ 224,288 | $ 225,393 | ||
Series 2007-C1 Class A1, 4.533% 6/12/50 | 459,925 | 464,433 | ||
Series 2004-KEY2 Class K, 5.091% 8/12/39 (f)(l) | 100,000 | 4,000 | ||
Series 2004-MKB1 Class F, 5.509% 2/12/42 (f)(l) | 180,000 | 172,149 | ||
Series 2005-CKI1 Class A3, 5.2324% 11/12/37 (l) | 3,122,000 | 3,226,361 | ||
Series 2005-LC1 Class F, 5.3777% 1/12/44 (f)(l) | 1,655,000 | 613,493 | ||
Series 2006-C1: | ||||
Class A2, 5.6099% 5/12/39 (l) | 2,680,000 | 2,827,567 | ||
Class AJ, 5.6549% 5/12/39 (l) | 160,000 | 132,010 | ||
Class AM, 5.6549% 5/12/39 (l) | 100,000 | 91,480 | ||
Series 2006-KEY2 Class L, 5.091% 8/12/39 (f) | 300,000 | 10,950 | ||
Series 2007-C1 Class A4, 5.826% 6/12/50 (l) | 7,199,517 | 7,717,748 | ||
Series 2008-C1 Class A4, 5.69% 2/12/51 | 4,059,000 | 4,303,103 | ||
Merrill Lynch-CFC Commercial Mortgage Trust: | ||||
floater Series 2006-4 Class A2FL, 0.4625% 12/12/49 (l) | 887,000 | 861,816 | ||
sequential payer: | ||||
Series 2006-1 CLass A3, 5.4664% 2/12/39 (l) | 2,024,000 | 2,126,233 | ||
Series 2006-4: | ||||
Class A2, 5.112% 12/12/49 (l) | 1,075,000 | 1,105,640 | ||
Class ASB, 5.133% 12/12/49 (l) | 1,636,000 | 1,754,779 | ||
Series 2007-5: | ||||
Class A1, 4.275% 8/12/48 | 47,514 | 47,787 | ||
Class A3, 5.364% 8/12/48 | 11,417,000 | 11,695,063 | ||
Class A4, 5.378% 8/12/48 | 76,000 | 74,277 | ||
Class B, 5.479% 2/12/17 | 5,706,000 | 1,005,087 | ||
Series 2007-6: | ||||
Class A1, 5.175% 3/12/51 | 100,852 | 102,370 | ||
Class A4, 5.485% 3/12/51 (l) | 14,650,000 | 14,599,600 | ||
Series 2007-7 Class A4, 5.7485% 6/12/50 (l) | 6,656,000 | 6,689,878 | ||
Series 2007-8 Class A1, 4.622% 8/12/49 | 393,501 | 401,942 | ||
Series 2006-4 Class XP, 0.6254% 12/12/49 (l)(n) | 38,955,674 | 708,074 | ||
Series 2007-6 Class B, 5.635% 3/12/51 (l) | 1,902,000 | 567,896 | ||
Series 2007-7 Class B, 5.75% 6/12/50 | 166,000 | 27,656 | ||
Series 2007-8 Class A3, 5.9564% 8/12/49 (l) | 1,640,000 | 1,763,165 | ||
Morgan Stanley Capital I Trust: | ||||
floater: | ||||
Series 2006-XLF: | ||||
Class C, 1.472% 7/15/19 (f)(l) | 822,747 | 102,843 | ||
Class F, 0.592% 7/15/19 (f)(l) | 1,830,000 | 1,665,300 | ||
Class G, 0.632% 7/15/19 (f)(l) | 1,041,000 | 749,520 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (c) | Value | ||
Morgan Stanley Capital I Trust: - continued | ||||
floater: | ||||
Series 2006-XLF: | ||||
Class H, 0.652% 7/15/19 (f)(l) | $ 550,000 | $ 330,000 | ||
Class J, 0.702% 7/15/19 (f)(l) | 354,000 | 141,600 | ||
Series 2007-XCLA Class A1, 0.472% 7/17/17 (f)(l) | 2,532,688 | 1,392,979 | ||
Series 2007-XLCA Class B, 0.772% 7/17/17 (f)(l) | 2,408,057 | 168,564 | ||
Series 2007-XLFA: | ||||
Class C, 0.432% 10/15/20 (f)(l) | 1,092,000 | 464,100 | ||
Class D, 0.462% 10/15/20 (f)(l) | 667,354 | 150,155 | ||
Class E, 0.522% 10/15/20 (f)(l) | 834,661 | 104,333 | ||
Class F, 0.572% 10/15/20 (f)(l) | 500,899 | 50,090 | ||
Class G, 0.612% 10/15/20 (f)(l) | 619,188 | 46,439 | ||
Class H, 0.702% 10/15/20 (f)(l) | 389,758 | 9,744 | ||
Class J, 0.852% 10/15/20 (f)(l) | 444,903 | 11,123 | ||
Class MHRO, 0.962% 10/15/20 (f)(l) | 605,197 | 121,039 | ||
Class MJPM, 1.272% 10/15/20 (f)(l) | 183,182 | 137,386 | ||
Class MSTR, 0.972% 10/15/20 (f)(l) | 343,918 | 68,784 | ||
Class NHRO, 1.162% 10/15/20 (f)(l) | 918,469 | 128,586 | ||
Class NSTR, 1.122% 10/15/20 (f)(l) | 315,384 | 44,154 | ||
sequential payer: | ||||
Series 2003-IQ5 Class X2, 0.8727% 4/15/38 (f)(l)(n) | 5,855,645 | 48,440 | ||
Series 2004-RR2 Class A2, 5.45% 10/28/33 (f) | 439,415 | 441,613 | ||
Series 2005-IQ9 Class A3, 4.54% 7/15/56 | 2,826,000 | 2,927,893 | ||
Series 2006-HQ10: | ||||
Class A1, 5.131% 11/12/41 | 297,009 | 300,305 | ||
Class AM, 5.36% 11/12/41 | 620,000 | 574,096 | ||
Series 2006-T23 Class A1, 5.682% 8/12/41 | 557,007 | 564,857 | ||
Series 2007-HQ11: | ||||
Class A1, 5.246% 2/12/44 | 364,158 | 370,977 | ||
Class A31, 5.439% 2/12/44 (l) | 964,000 | 1,015,143 | ||
Series 2007-IQ13: | ||||
Class A1, 5.05% 3/15/44 | 371,125 | 376,536 | ||
Class A4, 5.364% 3/15/44 | 10,000,000 | 10,249,122 | ||
Series 2007-IQ14 Class A1, 5.38% 4/15/49 | 946,776 | 973,580 | ||
Series 2007-T25: | ||||
Class A1, 5.391% 11/12/49 | 263,354 | 270,564 | ||
Class A2, 5.507% 11/12/49 | 3,425,000 | 3,739,018 | ||
Series 1997-RR Class F, 7.4307% 4/30/39 (f)(l) | 258,141 | 237,490 | ||
Series 1998-CF1 Class G, 7.35% 7/15/32 (f) | 223,000 | 122,650 | ||
Series 2003-IQ6 Class X2, 0.5807% 12/15/41 (f)(l)(n) | 12,306,129 | 89,429 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (c) | Value | ||
Morgan Stanley Capital I Trust: - continued | ||||
Series 2004-IQ7 Class E, 5.4008% 6/15/38 (f)(l) | $ 120,000 | $ 60,000 | ||
Series 2004-RR2 Class C, 5.8799% 10/28/33 (f)(l) | 280,000 | 216,300 | ||
Series 2005-HQ7: | ||||
Class E, 5.2057% 11/14/42 (l) | 75,000 | 41,250 | ||
Class F, 5.2057% 11/14/42 (l) | 305,000 | 152,500 | ||
Series 2005-IQ9 Class X2, 1.0854% 7/15/56 (f)(l)(n) | 21,165,292 | 301,326 | ||
Series 2006-HQ10 Class X2, 0.4996% 11/12/41 (f)(l)(n) | 10,225,268 | 111,358 | ||
Series 2006-HQ8 Class A3, 5.4379% 3/12/44 (l) | 2,950,000 | 3,025,383 | ||
Series 2006-HQ9 Class B, 5.832% 7/12/44 (l) | 2,823,000 | 2,089,020 | ||
Series 2006-IQ11: | ||||
Class A3, 5.7325% 10/15/42 (l) | 3,157,000 | 3,368,217 | ||
Class A4, 5.7685% 10/15/42 (l) | 570,000 | 633,936 | ||
Series 2006-IQ12: | ||||
Class AMFX, 5.37% 12/15/43 | 719,000 | 596,770 | ||
Class B, 5.468% 12/15/43 | 1,902,000 | 475,500 | ||
Series 2006-T23 Class A3, 5.8072% 8/12/41 (l) | 972,000 | 1,047,864 | ||
Series 2007-HQ11 Class B, 5.538% 2/20/44 (l) | 3,448,000 | 1,241,280 | ||
Series 2007-HQ12 Class A2, 5.6333% 4/12/49 (l) | 12,865,871 | 13,152,826 | ||
Series 2007-IQ14: | ||||
Class A4, 5.692% 4/15/49 (l) | 2,852,000 | 2,895,149 | ||
Class B, 5.7249% 4/15/49 (l) | 469,000 | 112,560 | ||
Series 2007-XLC1: | ||||
Class C, 0.872% 7/17/17 (f)(l) | 3,245,642 | 81,141 | ||
Class D, 0.972% 7/17/17 (f)(l) | 1,526,121 | 38,153 | ||
Class E, 1.072% 7/17/17 (f)(l) | 1,239,655 | 30,991 | ||
Morgan Stanley Dean Witter Capital I Trust: | ||||
sequential payer Series 2001-PPM Class A2, 6.4% 2/15/31 | 18,894 | 19,306 | ||
Series 2000-PRIN Class C, 7.9522% 2/23/34 (l) | 466,000 | 521,852 | ||
Series 2001-IQA Class F, 6.79% 12/18/32 (f) | 194,900 | 197,494 | ||
Series 2001-TOP3 Class E, 7.2382% 7/15/33 (f)(l) | 150,000 | 148,878 | ||
Series 2003-TOP9 Class E, 5.7399% 11/13/36 (f)(l) | 78,000 | 70,414 | ||
Multi Security Asset Trust sequential payer Series 2005-RR4A Class A2, 4.83% 11/28/35 (f) | 386,997 | 361,480 | ||
NationsLink Funding Corp. Series 1998-2: | ||||
Class F, 7.105% 8/20/30 (f) | 593,935 | 641,673 | ||
Class G, 5% 8/20/30 (f) | 361,875 | 376,796 | ||
Class J, 5% 8/20/30 (f) | 195,000 | 173,843 | ||
Nomura Asset Securities Corp. Series 1998-D6 Class B1, 6% 3/15/30 (f) | 1,050,000 | 1,063,659 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (c) | Value | ||
Providence Place Group Ltd. Partnership Series 2000-C1 Class A2, 7.75% 7/20/28 (f) | $ 687,257 | $ 687,257 | ||
Prudential Securities Secured Financing Corp. Series 1999-NRF1 Class F, 6.074% 11/1/31 (f) | 198,840 | 200,968 | ||
RBSCF Trust Series 2010-MB1 Class D, 4.8204% 4/15/24 (f)(l) | 480,000 | 459,150 | ||
Real Estate Asset Liquidity Trust: | ||||
Series 2006-2: | ||||
Class F, 4.456% 9/12/38 | CAD | 107,000 | 66,372 | |
Class G, 4.456% 9/12/38 | CAD | 54,000 | 31,817 | |
Class H, 4.456% 9/12/38 | CAD | 36,000 | 20,160 | |
Class J, 4.456% 9/12/38 | CAD | 36,000 | 19,099 | |
Class K, 4.456% 9/12/38 | CAD | 18,000 | 8,510 | |
Class L, 4.456% 9/12/38 | CAD | 26,000 | 11,633 | |
Class M, 4.456% 9/12/38 | CAD | 128,859 | 28,520 | |
Series 2007-1: | ||||
Class F, 4.57% 4/12/23 | CAD | 126,000 | 78,768 | |
Class G, 4.57% 4/12/23 | CAD | 42,000 | 24,945 | |
Class H, 4.57% 4/12/23 | CAD | 42,000 | 23,713 | |
Class J, 4.57% 4/12/23 | CAD | 42,000 | 22,555 | |
Class K, 4.57% 4/12/23 | CAD | 21,000 | 10,733 | |
Class L, 4.57% 4/12/23 | CAD | 63,000 | 30,665 | |
Class M, 4.57% 4/12/23 | CAD | 185,000 | 38,844 | |
Salomon Brothers Mortgage Securities VII, Inc.: | ||||
sequential payer Series 2000-C3 Class A2, 6.592% 12/18/33 | 581,065 | 580,883 | ||
Series 2001-C1 Class E, 6.31% 12/18/35 | 135,000 | 133,898 | ||
Series 2001-MMA: | ||||
Class E6, 6.5% 2/18/34 (f)(l) | 192,000 | 167,040 | ||
Class F6, 6.5% 2/18/34 (f)(l) | 43,000 | 35,690 | ||
Structured Asset Securities Corp. Series 1997-LLI: | ||||
Class D, 7.15% 10/12/34 | 214,601 | 223,538 | ||
Class F, 7.3% 10/12/34 (f) | 473,000 | 479,662 | ||
TIAA Seasoned Commercial Mortgage Trust sequential payer Series 2007-C4 Class AJ, 6.071% 8/15/39 (l) | 170,000 | 168,163 | ||
TrizecHahn Office Properties Trust Series 2001-TZHA Class C4, 6.893% 5/15/16 (f) | 1,616,000 | 1,647,248 | ||
UBS Commercial Mortgage Trust Series 2007-FL1: | ||||
Class F, 0.8509% 7/15/24 (f)(l) | 110,000 | 27,536 | ||
Class G, 0.8509% 7/15/24 (f)(l) | 200,000 | 48,030 | ||
Vornado DP LLC Series 2010-VNO Class D, 6.3555% 9/13/20 (f) | 180,000 | 186,348 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (c) | Value | ||
Wachovia Bank Commercial Mortgage Trust: | ||||
floater: | ||||
Series 2005-WL5A Class K, 1.4759% 1/15/18 (f)(l) | $ 1,276,330 | $ 1,269,067 | ||
Series 2006-WL7A: | ||||
Class E, 0.5519% 9/15/21 (f)(l) | 1,770,598 | 1,050,626 | ||
Class F, 0.6119% 8/11/18 (f)(l) | 1,877,987 | 784,301 | ||
Class G, 0.6319% 8/11/18 (f)(l) | 1,779,101 | 722,349 | ||
Class J, 0.8719% 8/11/18 (f)(l) | 395,545 | 101,284 | ||
Series 2007-ESH Class A1, 0.7259% 6/15/19 (f)(l) | 170,937 | 169,667 | ||
Series 2007-WHL8: | ||||
Class AP1, 0.9759% 6/15/20 (f)(l) | 140,220 | 77,121 | ||
Class AP2, 1.0759% 6/15/20 (f)(l) | 235,007 | 117,503 | ||
Class F, 0.7559% 6/15/20 (f)(l) | 4,565,501 | 1,141,375 | ||
Class LXR1, 0.9759% 6/15/20 (f)(l) | 233,916 | 140,349 | ||
Class LXR2, 1.0759% 6/15/20 (f)(l) | 3,111,858 | 1,555,929 | ||
sequential payer: | ||||
Series 2003-C6 Class A2, 4.498% 8/15/35 | 111,210 | 111,135 | ||
Series 2003-C7 Class A1, 4.241% 10/15/35 (f) | 3,267,410 | 3,294,830 | ||
Series 2003-C8 Class A3, 4.445% 11/15/35 | 8,283,000 | 8,471,632 | ||
Series 2006-C27 Class A2, 5.624% 7/15/45 | 1,700,000 | 1,742,701 | ||
Series 2006-C29: | ||||
Class A1, 5.11% 11/15/48 | 634,788 | 643,188 | ||
Class A3, 5.313% 11/15/48 | 5,051,000 | 5,377,605 | ||
Series 2007-C30: | ||||
Class A1, 5.031% 12/15/43 | 129,435 | 130,720 | ||
Class A3, 5.246% 12/15/43 | 1,633,000 | 1,647,869 | ||
Class A4, 5.305% 12/15/43 | 8,604,000 | 8,585,876 | ||
Class A5, 5.342% 12/15/43 | 2,036,000 | 1,983,665 | ||
Series 2007-C31: | ||||
Class A1, 5.14% 4/15/47 | 172,035 | 173,916 | ||
Class A4, 5.509% 4/15/47 | 4,299,000 | 4,252,449 | ||
Series 2007-C32: | ||||
Class A2, 5.735% 6/15/49 (l) | 15,568,000 | 16,198,520 | ||
Class A3, 5.74% 6/15/49 (l) | 3,229,000 | 3,216,239 | ||
Series 2003-C6 Class G, 5.125% 8/15/35 (f)(l) | 903,000 | 851,653 | ||
Series 2003-C8 Class XP, 0.1813% 11/15/35 (f)(l)(n) | 3,807,072 | 3,966 | ||
Series 2003-C9 Class XP, 0.4499% 12/15/35 (f)(l)(n) | 5,330,128 | 7,115 | ||
Series 2004-C10 Class E, 4.931% 2/15/41 | 340,000 | 315,404 | ||
Series 2004-C11: | ||||
Class D, 5.4914% 1/15/41 (l) | 360,000 | 311,036 | ||
Class E, 5.5414% 1/15/41 (l) | 327,000 | 265,453 | ||
Series 2004-C12 Class D, 5.3053% 7/15/41 (l) | 280,000 | 250,824 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (c) | Value | ||
Wachovia Bank Commercial Mortgage Trust: - continued | ||||
Series 2004-C14: | ||||
Class B, 5.17% 8/15/41 | $ 258,500 | $ 252,320 | ||
Class C, 5.21% 8/15/41 | 170,000 | 159,571 | ||
Series 2004-C15: | ||||
Class 180A, 5.5782% 10/15/41 (f)(l) | 1,464,000 | 1,361,520 | ||
Class 180B, 5.3979% 10/15/41 (f)(l) | 666,000 | 599,400 | ||
Series 2005-C19 Class B, 4.892% 5/15/44 | 1,902,000 | 1,554,890 | ||
Series 2005-C22: | ||||
Class B, 5.3598% 12/15/44 (l) | 4,218,000 | 2,897,343 | ||
Class F, 5.3598% 12/15/44 (f)(l) | 3,171,000 | 1,267,188 | ||
Series 2006-C23 Class A5, 5.416% 1/15/45 (l) | 7,870,000 | 8,555,214 | ||
Series 2006-C29 Class E, 5.516% 11/15/48 (l) | 1,902,000 | 589,123 | ||
Series 2007-C30: | ||||
Class B, 5.463% 12/15/43 (l) | 10,505,000 | 2,312,185 | ||
Class C, 5.483% 12/15/43 (l) | 5,706,000 | 947,355 | ||
Class D, 5.513% 12/15/43 (l) | 3,044,000 | 261,099 | ||
Class XP, 0.4367% 12/15/43 (f)(l)(n) | 21,906,282 | 299,132 | ||
Series 2007-C31 Class C, 5.6935% 4/15/47 (l) | 522,000 | 110,654 | ||
Series 2007-C32: | ||||
Class D, 5.74% 6/15/49 (l) | 1,431,000 | 285,314 | ||
Class E, 5.74% 6/15/49 (l) | 2,252,000 | 385,210 | ||
Wachovia Bank Commercial Mortgage Trust pass-thru certificates: | ||||
sequential payer Series 2007-C33 Class A5, 5.902% 2/15/51 (l) | 1,259,000 | 1,275,178 | ||
Series 2007-C33 Class B, 5.902% 2/15/51 (l) | 3,198,000 | 1,043,464 | ||
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $708,540,160) | 824,798,436 | |||
Municipal Securities - 0.2% | ||||
| ||||
California Gen. Oblig.: | ||||
6.2% 3/1/19 | 5,000,000 | 5,427,750 | ||
7.5% 4/1/34 | 5,600,000 | 6,286,784 | ||
7.55% 4/1/39 | 8,400,000 | 9,541,728 | ||
Illinois Gen. Oblig. Series 2010, 4.421% 1/1/15 | 6,825,000 | 6,960,954 | ||
TOTAL MUNICIPAL SECURITIES (Cost $26,034,211) | 28,217,216 | |||
Foreign Government and Government Agency Obligations - 1.7% | ||||
| Principal Amount (c) | Value | ||
Arab Republic of Egypt: | ||||
5.75% 4/29/20 (f) | $ 1,450,000 | $ 1,587,750 | ||
6.875% 4/30/40 (f) | 1,485,000 | 1,663,200 | ||
Argentine Republic: | ||||
discount (with partial capitalization through 12/31/13) 8.28% 12/31/33 | 3,773,540 | 2,886,758 | ||
par 2.5% 12/31/38 (e) | 3,210,000 | 1,219,800 | ||
0.6586% 8/3/12 (l) | 2,938,750 | 2,666,859 | ||
7% 3/28/11 | 27,875,000 | 28,021,344 | ||
7% 9/12/13 | 20,265,000 | 19,193,770 | ||
7% 10/3/15 | 1,450,000 | 1,218,322 | ||
Bahamian Republic 6.95% 11/20/29 (f) | 805,000 | 837,200 | ||
Barbados Government 7.25% 12/15/21 (f) | 647,000 | 682,585 | ||
Bermuda Government 5.603% 7/20/20 (f) | 470,000 | 502,900 | ||
Brazilian Federative Republic: | ||||
4.875% 1/22/21 | 4,020,000 | 4,311,450 | ||
5.625% 1/7/41 | 795,000 | 858,600 | ||
6% 9/15/13 | 233,343 | 244,426 | ||
8.75% 2/4/25 | 545,000 | 776,625 | ||
11% 8/17/40 | 1,445,000 | 1,979,650 | ||
12.25% 3/6/30 | 470,000 | 883,600 | ||
Bulgarian Republic 8.25% 1/15/15 (Reg. S) | 1,040,000 | 1,211,600 | ||
Cayman Island Government 5.95% 11/24/19 (f) | 500,000 | 532,500 | ||
Chilean Republic: | ||||
3.875% 8/5/20 | 830,000 | 861,125 | ||
7.125% 1/11/12 | 3,045,000 | 3,276,725 | ||
Colombian Republic: | ||||
7.375% 9/18/37 | 2,130,000 | 2,758,350 | ||
10.375% 1/28/33 | 965,000 | 1,534,350 | ||
11.75% 2/25/20 | 950,000 | 1,477,250 | ||
Congo Republic 3% 6/30/29 (e) | 3,980,500 | 2,169,373 | ||
Croatia Republic: | ||||
6.625% 7/14/20 (f) | 855,000 | 939,431 | ||
6.75% 11/5/19 (f) | 1,455,000 | 1,601,882 | ||
Democratic Socialist Republic of Sri Lanka: | ||||
7.4% 1/22/15 (f) | 1,055,000 | 1,130,169 | ||
8.25% 10/24/12 (f) | 1,070,000 | 1,151,588 | ||
Dominican Republic: | ||||
1.5704% 8/30/24 (l) | 1,350,000 | 1,215,000 | ||
7.5% 5/6/21 (f) | 1,140,000 | 1,256,850 | ||
9.04% 1/23/18 (f) | 967,284 | 1,124,468 | ||
Ecuador Republic 5% 2/28/25 | 218,000 | 152,600 | ||
Foreign Government and Government Agency Obligations - continued | ||||
| Principal Amount (c) | Value | ||
El Salvador Republic: | ||||
7.375% 12/1/19 (f) | $ 745,000 | $ 826,950 | ||
7.65% 6/15/35 (Reg. S) | 1,265,000 | 1,375,688 | ||
7.75% 1/24/23 (Reg. S) | 870,000 | 974,400 | ||
8.25% 4/10/32 (Reg. S) | 375,000 | 427,500 | ||
Gabonese Republic 8.2% 12/12/17 (f) | 1,410,000 | 1,617,975 | ||
Georgia Republic 7.5% 4/15/13 | 2,470,000 | 2,432,950 | ||
Ghana Republic 8.5% 10/4/17 (f) | 1,625,000 | 1,844,375 | ||
Hungarian Republic: | ||||
4.75% 2/3/15 | 430,000 | 425,700 | ||
6.25% 1/29/20 | 2,250,000 | 2,289,375 | ||
Indonesian Republic: | ||||
5.875% 3/13/20 (f) | 1,560,000 | 1,758,900 | ||
6.625% 2/17/37 (f) | 1,225,000 | 1,488,375 | ||
6.875% 3/9/17 (f) | 850,000 | 1,005,125 | ||
6.875% 1/17/18 (f) | 1,395,000 | 1,656,563 | ||
7.5% 1/15/16 (f) | 485,000 | 583,213 | ||
7.75% 1/17/38 (f) | 1,390,000 | 1,890,400 | ||
8.5% 10/12/35 (Reg. S) | 1,360,000 | 1,985,600 | ||
11.625% 3/4/19 (f) | 1,070,000 | 1,631,750 | ||
Islamic Republic of Pakistan 7.125% 3/31/16 (f) | 3,860,000 | 3,541,550 | ||
Lebanese Republic 4% 12/31/17 | 2,257,500 | 2,189,775 | ||
Lithuanian Republic: | ||||
6.75% 1/15/15 (f) | 1,585,000 | 1,719,725 | ||
7.375% 2/11/20 (f) | 1,685,000 | 1,906,156 | ||
Perusahaan Penerbit SBSN Indonesia 8.8% 4/23/14 (f) | 560,000 | 672,000 | ||
Peruvian Republic: | ||||
3% 3/7/27 (e) | 435,000 | 378,450 | ||
7.35% 7/21/25 | 950,000 | 1,220,750 | ||
Philippine Republic: | ||||
6.5% 1/20/20 | 805,000 | 951,913 | ||
9.5% 2/2/30 | 565,000 | 868,688 | ||
10.625% 3/16/25 | 520,000 | 834,600 | ||
Polish Government 3.875% 7/16/15 | 1,515,000 | 1,562,874 | ||
Provincia de Cordoba 12.375% 8/17/17 (f) | 1,060,000 | 1,046,750 | ||
Republic of Iraq 5.8% 1/15/28 (Reg. S) | 3,725,000 | 3,203,500 | ||
Republic of Serbia 6.75% 11/1/24 (f) | 5,558,334 | 5,419,375 | ||
Russian Federation: | ||||
3.625% 4/29/15 (f) | 800,000 | 792,000 | ||
5% 4/29/20 (f) | 1,900,000 | 1,938,000 | ||
7.5% 3/31/30 (Reg. S) | 10,025,240 | 11,904,973 | ||
12.75% 6/24/28 (Reg. S) | 1,800,000 | 3,249,000 | ||
Foreign Government and Government Agency Obligations - continued | ||||
| Principal Amount (c) | Value | ||
Turkish Republic: | ||||
5.625% 3/30/21 | $ 815,000 | $ 854,772 | ||
6.75% 4/3/18 | 1,395,000 | 1,586,813 | ||
6.75% 5/30/40 | 805,000 | 885,500 | ||
6.875% 3/17/36 | 2,920,000 | 3,259,596 | ||
7% 9/26/16 | 1,360,000 | 1,564,000 | ||
7.25% 3/15/15 | 730,000 | 839,500 | ||
7.25% 3/5/38 | 1,400,000 | 1,632,820 | ||
7.375% 2/5/25 | 3,690,000 | 4,386,672 | ||
7.5% 7/14/17 | 1,285,000 | 1,519,513 | ||
11.875% 1/15/30 | 660,000 | 1,123,650 | ||
Ukraine Cabinet of Ministers 6.875% 3/4/11 (Reg. S) | 4,480,000 | 4,502,400 | ||
Ukraine Government: | ||||
6.385% 6/26/12 (f) | 785,000 | 794,813 | ||
6.75% 11/14/17 (f) | 2,295,000 | 2,272,050 | ||
United Mexican States: | ||||
5.125% 1/15/20 | 468,000 | 507,780 | ||
5.625% 1/15/17 | 860,000 | 963,200 | ||
6.05% 1/11/40 | 738,000 | 839,475 | ||
7.5% 4/8/33 | 425,000 | 568,438 | ||
8.3% 8/15/31 | 420,000 | 604,800 | ||
Uruguay Republic: | ||||
6.875% 9/28/25 | 585,000 | 710,775 | ||
8% 11/18/22 | 2,566,902 | 3,349,807 | ||
Venezuelan Republic: | ||||
1.5125% 4/20/11 (Reg. S) (l) | 9,330,000 | 8,886,825 | ||
6% 12/9/20 | 860,000 | 477,300 | ||
7% 3/31/38 | 815,000 | 440,100 | ||
8.5% 10/8/14 | 960,000 | 792,000 | ||
9% 5/7/23 (Reg. S) | 3,675,000 | 2,340,975 | ||
9.25% 9/15/27 | 2,480,000 | 1,767,000 | ||
9.375% 1/13/34 | 985,000 | 635,325 | ||
10.75% 9/19/13 | 3,075,000 | 2,905,875 | ||
13.625% 8/15/18 | 3,698,000 | 3,392,915 | ||
Vietnamese Socialist Republic: | ||||
1.2103% 3/12/16 (l) | 902,609 | 837,170 | ||
4% 3/12/28 (e) | 3,040,000 | 2,576,400 | ||
Foreign Government and Government Agency Obligations - continued | ||||
| Principal Amount (c) | Value | ||
Vietnamese Socialist Republic: - continued | ||||
6.75% 1/29/20 (f) | $ 1,405,000 | $ 1,520,913 | ||
6.875% 1/15/16 (f) | 780,000 | 850,200 | ||
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $195,034,277) | 219,732,390 | |||
Supranational Obligations - 0.0% |
|
|
|
|
Corporacion Andina de Fomento 5.2% 5/21/13 | 242,000 | 260,033 | ||
Eurasian Development Bank 7.375% 9/29/14 (f) | 1,100,000 | 1,168,750 | ||
TOTAL SUPRANATIONAL OBLIGATIONS (Cost $1,334,862) | 1,428,783 |
Common Stocks - 0.0% | |||
Shares |
| ||
FINANCIALS - 0.0% | |||
Thrifts & Mortgage Finance - 0.0% | |||
Wrightwood Capital LLC warrants 7/31/14 (a)(f) (Cost $15) | 1,517 | 15 | |
Preferred Stocks - 0.0% | |||
|
|
|
|
Convertible Preferred Stocks - 0.0% | |||
UTILITIES - 0.0% | |||
Electric Utilities - 0.0% | |||
AES Trust III 6.75% | 28,100 | 1,320,138 | |
Nonconvertible Preferred Stocks - 0.0% | |||
FINANCIALS - 0.0% | |||
Diversified Financial Services - 0.0% | |||
GMAC, Inc. 7.00% (f) | 2,055 | 1,685,100 | |
TOTAL PREFERRED STOCKS (Cost $3,047,336) | 3,005,238 |
Floating Rate Loans - 0.4% | ||||
| Principal Amount (c) | Value | ||
CONSUMER DISCRETIONARY - 0.2% | ||||
Auto Components - 0.1% | ||||
Federal-Mogul Corp.: | ||||
Tranche B, term loan 2.2333% 12/27/14 (l) | $ 3,404,031 | $ 2,978,527 | ||
Tranche C, term loan 2.2114% 12/27/15 (l) | 2,138,162 | 1,849,510 | ||
| 4,828,037 | |||
Automobiles - 0.0% | ||||
Ford Motor Co. term loan 3.03% 12/15/13 (l) | 3,294,779 | 3,179,461 | ||
Hotels, Restaurants & Leisure - 0.0% | ||||
Las Vegas Sands LLC: | ||||
Tranche B, term loan 3.01% 11/23/16 (l) | 2,453,694 | 2,229,794 | ||
Tranche I, term loan 3.01% 11/23/16 (l) | 504,132 | 458,130 | ||
| 2,687,924 | |||
Media - 0.1% | ||||
Charter Communications Operating LLC Tranche B 1LN, term loan 2.26% 3/6/14 (l) | 4,013,220 | 3,807,743 | ||
Newsday LLC term loan 10.5% 8/1/13 | 3,505,000 | 3,724,063 | ||
Univision Communications, Inc. Tranche 1LN, term loan 2.5103% 9/29/14 (l) | 3,796,486 | 3,264,978 | ||
| 10,796,784 | |||
TOTAL CONSUMER DISCRETIONARY | 21,492,206 | |||
FINANCIALS - 0.0% | ||||
Diversified Financial Services - 0.0% | ||||
Clear Channel Capital I LLC Tranche B, term loan 3.9103% 1/29/16 (h)(l) | 3,165,000 | 2,520,131 | ||
INDUSTRIALS - 0.1% | ||||
Air Freight & Logistics - 0.0% | ||||
AWAS Aviation Acquisitions Ltd. term loan 7.75% 6/10/16 (l) | 3,865,000 | 3,898,819 | ||
Airlines - 0.1% | ||||
Delta Air Lines, Inc. Tranche 2LN, term loan 3.5294% 4/30/14 (l) | 4,171,816 | 3,848,500 | ||
United Air Lines, Inc. Tranche B, term loan 2.3125% 2/1/14 (l) | 830,471 | 755,729 | ||
US Airways Group, Inc. term loan 2.7616% 3/23/14 (l) | 1,055,000 | 888,838 | ||
| 5,493,067 | |||
Floating Rate Loans - continued | ||||
| Principal Amount (c) | Value | ||
INDUSTRIALS - continued | ||||
Machinery - 0.0% | ||||
Dresser, Inc. Tranche 2LN, term loan 6.1119% 5/4/15 pay-in-kind (l) | $ 2,335,000 | $ 2,229,925 | ||
TOTAL INDUSTRIALS | 11,621,811 | |||
INFORMATION TECHNOLOGY - 0.0% | ||||
Communications Equipment - 0.0% | ||||
Avaya, Inc. term loan 3.0575% 10/24/14 (l) | 2,079,238 | 1,819,334 | ||
MATERIALS - 0.0% | ||||
Containers & Packaging - 0.0% | ||||
Anchor Glass Container Corp.: | ||||
Tranche 1LN, term loan 6% 3/2/16 (l) | 1,828,716 | 1,815,001 | ||
Tranche 2LN, term loan 10% 9/2/16 (l) | 2,065,000 | 2,023,700 | ||
| 3,838,701 | |||
TELECOMMUNICATION SERVICES - 0.1% | ||||
Wireless Telecommunication Services - 0.1% | ||||
Asurion Corp. Tranche 2LN, term loan 6.79% 7/3/15 (l) | 3,685,000 | 3,537,600 | ||
Intelsat Jackson Holdings Ltd. term loan 3.5333% 2/1/14 (l) | 2,425,000 | 2,267,375 | ||
| 5,804,975 | |||
UTILITIES - 0.0% | ||||
Multi-Utilities - 0.0% | ||||
Ashmore Energy International: | ||||
Revolving Credit-Linked Deposit 3.4334% 3/30/12 (l) | 789,624 | 730,402 | ||
term loan 3.5334% 3/30/14 (l) | 5,198,889 | 4,808,972 | ||
| 5,539,374 | |||
TOTAL FLOATING RATE LOANS (Cost $48,223,477) | 52,636,532 | |||
Sovereign Loan Participations - 0.0% | ||||
| ||||
Indonesian Republic loan participation - Citibank 1.4375% 12/14/19 (l) | 1,781,006 | 1,638,525 | ||
Bank Notes - 0.0% | ||||
| Principal Amount (c) | Value | ||
National City Bank, Cleveland 0.6384% 3/1/13 (l) | $ 978,000 | $ 948,961 |
Fixed-Income Funds - 16.0% | |||
Shares |
| ||
Fidelity Corporate Bond 1-10 Year Central Fund (m) | 1,615,765 | 176,393,059 | |
Fidelity Floating Rate Central Fund (m) | 4,116,916 | 392,753,749 | |
Fidelity Mortgage Backed Securities Central Fund (m) | 14,017,666 | 1,486,994,027 | |
TOTAL FIXED-INCOME FUNDS (Cost $1,905,752,730) | 2,056,140,835 | ||
Preferred Securities - 0.1% | |||
Principal Amount (c) |
| ||
CONSUMER DISCRETIONARY - 0.0% | |||
Media - 0.0% | |||
Net Servicos de Comunicacao SA 9.25% (f) | $ 3,658,000 | 3,716,548 | |
ENERGY - 0.1% | |||
Oil, Gas & Consumable Fuels - 0.1% | |||
Pemex Project Funding Master Trust 7.75% | 4,610,000 | 4,683,664 | |
FINANCIALS - 0.0% | |||
Diversified Financial Services - 0.0% | |||
ING Groep NV 5.775% (l) | 1,052,000 | 879,213 | |
MUFG Capital Finance 1 Ltd. 6.346% (l) | 3,261,000 | 3,272,092 | |
| 4,151,305 | ||
TOTAL PREFERRED SECURITIES (Cost $10,701,096) | 12,551,517 | ||
Cash Equivalents - 6.8% | |||
Maturity Amount | Value | ||
Investments in repurchase agreements in a joint trading account at: | |||
0.24%, dated 8/31/10 due 9/1/10 (Collateralized by U.S. Government Obligations) # | $ 2,581,017 | $ 2,581,000 | |
0.25%, dated 8/31/10 due 9/1/10 (Collateralized by U.S. Government Obligations) # | 876,918,051 | 876,912,000 | |
TOTAL CASH EQUIVALENTS (Cost $879,493,000) | 879,493,000 | ||
TOTAL INVESTMENT PORTFOLIO - 107.1% (Cost $12,919,838,959) | 13,808,569,484 | ||
NET OTHER ASSETS (LIABILITIES) - (7.1)% | (921,220,907) | ||
NET ASSETS - 100% | $ 12,887,348,577 |
Swap Agreements | |||||
| Expiration Date | Notional Amount |
| ||
Credit Default Swaps | |||||
Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to Credit Suisse First Boston upon each credit event of one of the issues of ABX AA 07-01 Index, par value of the proportional notional amount (Rating-C) (Upfront Payment $480,000) (k) | Sept. 2037 | $ 3,051,763 | (2,861,562) | ||
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) (k) | Sept. 2037 | 3,509,527 | (3,290,796) | ||
Swap Agreements - continued | |||||
| Expiration Date | Notional Amount | Value | ||
Credit Default Swaps - continued | |||||
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) (k) | Sept. 2037 | $ 2,136,234 | $ (2,003,093) | ||
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 $936,000) (k) | Sept. 2037 | 5,493,173 | (5,150,811) | ||
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 $347,750) (k) | Sept. 2037 | 1,983,646 | (1,860,015) | ||
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. Series 2004-NC6 Class M3, 5.6413% 7/25/34 (j) | August 2034 | 27,453 | (16,179) | ||
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) (j) | Feb. 2034 | 787 | (725) | ||
Swap Agreements - continued | |||||
| Expiration Date | Notional Amount | Value | ||
Credit Default Swaps - continued | |||||
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) (j) | Sept. 2034 | $ 26,646 | $ (21,294) | ||
TOTAL CREDIT DEFAULT SWAPS | $ 16,229,229 | $ (15,204,475) | |||
Interest Rate Swaps | |||||
Receive semi-annually a fixed rate equal to 1.2857% and pay quarterly a floating rate based on 3-month LIBOR with JPMorgan Chase, Inc. | June 2012 | 200,000,000 | 2,787,700 | ||
| $ 216,229,229 | $ (12,416,775) |
Currency Abbreviations |
CAD - Canadian dollar |
Legend |
(a) Non-income producing |
(b) Non-income producing - Security is in default. |
(c) Principal amount is stated in United States dollars unless otherwise noted. |
(d) 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. |
(e) Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end. |
(f) Security 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 $982,512,371 or 7.6% of net assets. |
(g) 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 $32,892,640 or 0.3% of net assets. |
(h) Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(i) A portion of the security is subject to a forward commitment to sell. |
(j) Represents a credit default swap contract in which the Fund has sold protection on the underlying reference entity. The value of each credit default swap and the credit rating can be measures of the current payment/performance risk. For the underlying reference entity, ratings disclosed are from Moody's Investors Service, Inc. Where Moody's ratings are not available, S&P ratings are disclosed and are indicated as such. All ratings are as of the report date and do not reflect subsequent changes. Where a credit rating is not disclosed, the value is used as the measure of the payment/performance risk. |
(k) Represents a credit default swap based on a tradable index of home equity asset-backed debt securities. The value of each credit default swap and the credit rating can be measures of the current payment/ performance risk. In addition, the swap represents a contract in which the Fund has sold protection on the index of underlying securities. Ratings represent a weighted average of the ratings of all securities included in the index. Ratings used in the weighted average are from Moody's Investors Service, Inc., or S&P where Moody's ratings are not available. All ratings are as of the report date and do not reflect subsequent changes. |
(l) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. |
(m) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. A complete unaudited schedule of portfolio holdings for each Fidelity Central Fund is filed with the SEC for the first and third quarters of each fiscal year on Form N-Q and is available upon request or at the SEC's web site at www.sec.gov. An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro rata share of securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com 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. |
(n) Security represents right to receive monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool held as of the end of the period. |
(o) 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 $21,560 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 - 12/4/09 | $ 173,625 |
(p) 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 $15,551,578. |
# Additional information on each counterparty to the repurchase agreement is as follows: |
Repurchase Agreement / Counterparty | Value |
$2,581,000 due 9/01/10 at 0.24% | |
BNP Paribas Securities Corp. | $ 1,127,902 |
Banc of America Securities LLC | 422,807 |
Barclays Capital, Inc. | 1,030,291 |
| $ 2,581,000 |
$876,912,000 due 9/01/10 at 0.25% | |
Banc of America Securities LLC | $ 68,271,436 |
Bank of America NA | 102,475,505 |
Barclays Capital, Inc. | 204,951,010 |
Goldman, Sachs & Co. | 34,158,502 |
Merrill Lynch Government Securities, Inc. | 61,485,303 |
Mizuho Securities USA, Inc. | 273,268,013 |
Morgan Stanley & Co., Inc. | 132,302,231 |
| $ 876,912,000 |
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 Corporate Bond 1-10 Year Central Fund | $ 27,280,334 |
Fidelity Floating Rate Central Fund | 20,956,866 |
Fidelity Mortgage Backed Securities Central Fund | 53,271,481 |
Total | $ 101,508,681 |
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 Corporate Bond 1-10 Year Central Fund | $ 808,744,111 | $ - | $ 670,840,313 | $ 176,393,059 | 8.5% |
Fidelity Floating Rate Central Fund | 578,953,113 | 20,956,660 | 250,173,437 | 392,753,749 | 14.8% |
Fidelity Mortgage Backed Securities Central Fund | 1,508,325,013 | 353,412,622 | 430,225,830 | 1,486,994,027 | 21.2% |
Total | $ 2,896,022,237 | $ 374,369,282 | $ 1,351,239,580 | $ 2,056,140,835 |
Other Information |
The following is a summary of the inputs used, as of August 31, 2010, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the tables below, please refer to the 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: | ||||
Financials | $ 1,685,115 | $ - | $ 1,685,100 | $ 15 |
Utilities | 1,320,138 | - | 1,320,138 | - |
Corporate Bonds | 3,120,582,606 | - | 3,120,265,958 | 316,648 |
U.S. Government and Government Agency Obligations | 4,441,146,628 | - | 4,441,146,628 | - |
U.S. Government Agency - Mortgage Securities | 1,627,350,349 | - | 1,627,350,349 | - |
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Asset-Backed Securities | $ 303,926,817 | $ - | $ 269,573,321 | $ 34,353,496 |
Collateralized Mortgage Obligations | 234,971,636 | - | 228,820,187 | 6,151,449 |
Commercial Mortgage Securities | 824,798,436 | - | 764,576,903 | 60,221,533 |
Municipal Securities | 28,217,216 | - | 28,217,216 | - |
Foreign Government and Government Agency Obligations | 219,732,390 | - | 219,335,364 | 397,026 |
Supranational Obligations | 1,428,783 | - | 1,428,783 | - |
Floating Rate Loans | 52,636,532 | - | 52,636,532 | - |
Sovereign Loan Participations | 1,638,525 | - | 1,638,525 | - |
Bank Notes | 948,961 | - | 948,961 | - |
Fixed-Income Funds | 2,056,140,835 | 2,056,140,835 | - | - |
Preferred Securities | 12,551,517 | - | 12,551,517 | - |
Cash Equivalents | 879,493,000 | - | 879,493,000 | - |
Total Investments in Securities: | $ 13,808,569,484 | $ 2,056,140,835 | $ 11,650,988,482 | $ 101,440,167 |
Derivative Instruments: | ||||
Assets | ||||
Swap Agreements | $ 2,787,700 | $ - | $ 2,787,700 | $ - |
Liabilities | ||||
Swap Agreements | $ (15,204,475) | $ - | $ (15,166,277) | $ (38,198) |
Total Derivative Instruments: | $ (12,416,775) | $ - | $ (12,378,577) | $ (38,198) |
Other Financial Instruments: | ||||
Forward Commitments | $ (120,538) | $ - | $ (120,538) | $ - |
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 | $ 98,697,672 |
Total Realized Gain (Loss) | 7,316,267 |
Total Unrealized Gain (Loss) | 16,728,361 |
Cost of Purchases | 2,703,957 |
Proceeds of Sales | (27,502,742) |
Amortization/Accretion | 2,961,937 |
Transfers in to Level 3 | 41,855,045 |
Transfers out of Level 3 | (41,320,330) |
Ending Balance | $ 101,440,167 |
The change in unrealized gain (loss) for the period attributable to Level 3 securities held at August 31, 2010 | $ 17,721,726 |
Derivative Instruments: | |
Swap Agreements | |
Beginning Balance | $ (45,410) |
Total Unrealized Gain (Loss) | 29,732 |
Transfers in to Level 3 | (22,520) |
Transfers out of Level 3 | - |
Ending Balance | $ (38,198) |
Realized gain (loss) on Swap Agreements for the period | $ (4,461) |
The change in unrealized gain (loss) for the period attributable to Level 3 Swap Agreements held at August 31, 2010 | $ 22,071 |
The information used in the above reconciliation represents fiscal year to date activity for any Investments in Securities and Derivative Instruments identified as using Level 3 inputs at either the beginning or the end of the current fiscal period. Transfers in or out of Level 3 represent the beginning value of any Security or Instrument where a change in the pricing level occurred from the beginning to the end of the period. The cost of purchases and the proceeds of sales may include securities received or delivered through corporate actions or exchanges. 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, 2010. 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) | $ - | $ (15,204,475) |
Interest Rate Risk | ||
Swap Agreements (a) | 2,787,700 | - |
Total Value of Derivatives | $ 2,787,700 | $ (15,204,475) |
(a) Value is disclosed on the Statement of Assets and Liabilities in the Unrealized Appreciation and Unrealized Depreciation on Swap Agreements line-items. |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Statements
Statement of Assets and Liabilities
| August 31, 2010 | |
Assets | ||
Investment in securities, at value (including repurchase agreements of $879,493,000) - See accompanying schedule: Unaffiliated issuers (cost $11,014,086,229) | $ 11,752,428,649 |
|
Fidelity Central Funds (cost $1,905,752,730) | 2,056,140,835 |
|
Total Investments (cost $12,919,838,959) |
| $ 13,808,569,484 |
Commitment to sell securities on a delayed delivery basis | (500,461,116) | |
Receivable for securities sold on a delayed delivery basis | 500,340,578 | (120,538) |
Cash | 2,793,790 | |
Receivable for investments sold |
| 155,744,374 |
Delayed delivery |
| 14,500,494 |
Receivable for swap agreements | 2,135 | |
Receivable for fund shares sold | 63,505,642 | |
Interest receivable | 81,510,849 | |
Distributions receivable from Fidelity Central Funds | 6,051,590 | |
Unrealized appreciation on swap agreements | 2,787,700 | |
Other receivables | 36,218 | |
Total assets | 14,135,381,738 | |
Liabilities | ||
Payable for investments purchased | $ 40,174,018 | |
Delayed delivery | 1,108,911,980 | |
Payable for swap agreements | 228,372 | |
Payable for fund shares redeemed | 76,477,417 | |
Distributions payable | 1,776,602 | |
Unrealized depreciation on swap agreements | 15,204,475 | |
Accrued management fee | 3,388,756 | |
Distribution and service plan fees payable | 272,037 | |
Other affiliated payables | 1,555,568 | |
Other payables and accrued expenses | 43,936 | |
Total liabilities | 1,248,033,161 | |
|
|
|
Net Assets | $ 12,887,348,577 | |
Net Assets consist of: |
| |
Paid in capital | $ 12,065,377,451 | |
Undistributed net investment income | 75,166,700 | |
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions | (130,766,682) | |
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies | 877,571,108 | |
Net Assets | $ 12,887,348,577 |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Statement of Assets and Liabilities - continued
| August 31, 2010 | |
|
|
|
Calculation of Maximum Offering Price Class A: | $ 11.05 | |
|
|
|
Maximum offering price per share (100/96.00 of $11.05) | $ 11.51 | |
Class T: | $ 11.04 | |
|
|
|
Maximum offering price per share (100/96.00 of $11.04) | $ 11.50 | |
Class B: | $ 11.06 | |
|
|
|
Class C: | $ 11.05 | |
|
|
|
Total Bond: | $ 11.05 | |
|
|
|
Class F: | $ 11.05 | |
|
|
|
Institutional Class: | $ 11.04 |
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
Financial Statements - continued
Statement of Operations
| Year ended August 31, 2010 | |
|
|
|
Investment Income |
|
|
Dividends |
| $ 1,447,432 |
Interest |
| 499,148,426 |
Income from Fidelity Central Funds |
| 101,508,681 |
Total income |
| 602,104,539 |
|
|
|
Expenses | ||
Management fee | $ 39,479,275 | |
Transfer agent fees | 13,428,905 | |
Distribution and service plan fees | 1,837,844 | |
Fund wide operations fee | 4,144,111 | |
Independent trustees' compensation | 43,022 | |
Miscellaneous | 48,966 | |
Total expenses before reductions | 58,982,123 | |
Expense reductions | (25,008) | 58,957,115 |
Net investment income | 543,147,424 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: |
|
|
Unaffiliated issuers | 279,900,028 | |
Fidelity Central Funds | 48,993,088 |
|
Foreign currency transactions | (285) | |
Swap agreements | 80,891,641 |
|
Total net realized gain (loss) |
| 409,784,472 |
Change in net unrealized appreciation (depreciation) on: Investment securities | 569,937,448 | |
Assets and liabilities in foreign currencies | 2,249 | |
Swap agreements | (63,704,363) | |
Delayed delivery commitments | 1,541,434 |
|
Total change in net unrealized appreciation (depreciation) |
| 507,776,768 |
Net gain (loss) | 917,561,240 | |
Net increase (decrease) in net assets resulting from operations | $ 1,460,708,664 |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Statement of Changes in Net Assets
| Year ended | Year ended |
Increase (Decrease) in Net Assets |
|
|
Operations |
|
|
Net investment income | $ 543,147,424 | $ 552,729,690 |
Net realized gain (loss) | 409,784,472 | (524,000,402) |
Change in net unrealized appreciation (depreciation) | 507,776,768 | 750,351,058 |
Net increase (decrease) in net assets resulting | 1,460,708,664 | 779,080,346 |
Distributions to shareholders from net investment income | (513,099,556) | (503,411,775) |
Distributions to shareholders from net realized gain | (40,443,047) | (71,517,925) |
Total distributions | (553,542,603) | (574,929,700) |
Share transactions - net increase (decrease) | 9,934,978 | 684,114,730 |
Total increase (decrease) in net assets | 917,101,039 | 888,265,376 |
|
|
|
Net Assets | ||
Beginning of period | 11,970,247,538 | 11,081,982,162 |
End of period (including undistributed net investment income of $75,166,700 and undistributed net investment income of $60,445,769, respectively) | $ 12,887,348,577 | $ 11,970,247,538 |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Class A
Years ended August 31, | 2010 | 2009 | 2008 | 2007 | 2006 I | 2006 K |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 10.28 | $ 10.07 | $ 10.27 | $ 10.39 | $ 10.28 | $ 10.57 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income E | .428 | .494 | .488 | .508 | .043 | .476 |
Net realized and unrealized gain (loss) | .778 | .231 | (.189) | (.141) | .105 | (.294) H |
Total from investment operations | 1.206 | .725 | .299 | .367 | .148 | .182 |
Distributions from net investment income | (.402) | (.447) | (.474) | (.470) | (.038) | (.432) |
Distributions from net realized gain | (.034) | (.068) | (.025) | (.017) | - | (.040) |
Total distributions | (.436) | (.515) | (.499) | (.487) | (.038) | (.472) |
Net asset value, end of period | $ 11.05 | $ 10.28 | $ 10.07 | $ 10.27 | $ 10.39 | $ 10.28 |
Total Return B, C, D | 11.97% | 7.79% | 2.93% | 3.57% | 1.44% | 1.78% |
Ratios to Average Net Assets F, J |
|
|
|
|
| |
Expenses before reductions | .82% | .80% | .80% | .77% | .73% A | .79% |
Expenses net of fee waivers, if any | .82% | .80% | .80% | .77% | .73% A | .79% |
Expenses net of all reductions | .82% | .80% | .80% | .77% | .73% A | .79% |
Net investment income | 4.00% | 5.17% | 4.77% | 4.93% | 4.98% A | 4.61% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 805,816 | $ 107,998 | $ 80,755 | $ 48,076 | $ 6,780 | $ 4,545 |
Portfolio turnover rate G | 130% | 104% L | 122% | 116% L | 53% A | 99% |
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 reductions from 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. 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, | 2010 | 2009 | 2008 | 2007 | 2006 I | 2006 K |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 10.27 | $ 10.06 | $ 10.26 | $ 10.38 | $ 10.27 | $ 10.56 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income E | .426 | .488 | .489 | .508 | .042 | .466 |
Net realized and unrealized gain (loss) | .778 | .233 | (.191) | (.143) | .105 | (.296) H |
Total from investment operations | 1.204 | .721 | .298 | .365 | .147 | .170 |
Distributions from net investment income | (.400) | (.443) | (.473) | (.468) | (.037) | (.420) |
Distributions from net realized gain | (.034) | (.068) | (.025) | (.017) | - | (.040) |
Total distributions | (.434) | (.511) | (.498) | (.485) | (.037) | (.460) |
Net asset value, end of period | $ 11.04 | $ 10.27 | $ 10.06 | $ 10.26 | $ 10.38 | $ 10.27 |
Total Return B, C, D | 11.97% | 7.74% | 2.92% | 3.55% | 1.43% | 1.66% |
Ratios to Average Net Assets F, J |
|
|
|
|
| |
Expenses before reductions | .82% | .85% | .81% | .78% | .87% A | .91% |
Expenses net of fee waivers, if any | .82% | .85% | .81% | .78% | .87% A | .90% |
Expenses net of all reductions | .82% | .85% | .80% | .78% | .87% A | .90% |
Net investment income | 4.01% | 5.12% | 4.76% | 4.92% | 4.84% A | 4.50% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 71,349 | $ 48,090 | $ 38,574 | $ 42,191 | $ 6,293 | $ 4,583 |
Portfolio turnover rate G | 130% | 104% L | 122% | 116% L | 53% A | 99% |
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 reductions from 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. 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, | 2010 | 2009 | 2008 | 2007 | 2006 I | 2006 K |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 10.28 | $ 10.07 | $ 10.27 | $ 10.39 | $ 10.28 | $ 10.57 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income E | .351 | .423 | .413 | .432 | .037 | .399 |
Net realized and unrealized gain (loss) | .787 | .233 | (.190) | (.145) | .104 | (.296) H |
Total from investment operations | 1.138 | .656 | .223 | .287 | .141 | .103 |
Distributions from net investment income | (.324) | (.378) | (.398) | (.390) | (.031) | (.353) |
Distributions from net realized gain | (.034) | (.068) | (.025) | (.017) | - | (.040) |
Total distributions | (.358) | (.446) | (.423) | (.407) | (.031) | (.393) |
Net asset value, end of period | $ 11.06 | $ 10.28 | $ 10.07 | $ 10.27 | $ 10.39 | $ 10.28 |
Total Return B, C, D | 11.26% | 7.01% | 2.17% | 2.77% | 1.38% | 1.01% |
Ratios to Average Net Assets F, J |
|
|
|
|
| |
Expenses before reductions | 1.53% | 1.53% | 1.54% | 1.53% | 1.51% A | 1.59% |
Expenses net of fee waivers, if any | 1.53% | 1.53% | 1.54% | 1.53% | 1.51% A | 1.55% |
Expenses net of all reductions | 1.53% | 1.53% | 1.54% | 1.53% | 1.51% A | 1.55% |
Net investment income | 3.29% | 4.44% | 4.03% | 4.17% | 4.22% A | 3.85% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 13,017 | $ 9,054 | $ 9,645 | $ 6,054 | $ 1,720 | $ 1,667 |
Portfolio turnover rate G | 130% | 104% L | 122% | 116% L | 53% A | 99% |
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 reductions from 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. 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, | 2010 | 2009 | 2008 | 2007 | 2006 I | 2006 K |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 10.28 | $ 10.07 | $ 10.27 | $ 10.39 | $ 10.28 | $ 10.57 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income E | .354 | .425 | .413 | .429 | .036 | .389 |
Net realized and unrealized gain (loss) | .778 | .232 | (.189) | (.145) | .105 | (.293) H |
Total from investment operations | 1.132 | .657 | .224 | .284 | .141 | .096 |
Distributions from net investment income | (.328) | (.379) | (.399) | (.387) | (.031) | (.346) |
Distributions from net realized gain | (.034) | (.068) | (.025) | (.017) | - | (.040) |
Total distributions | (.362) | (.447) | (.424) | (.404) | (.031) | (.386) |
Net asset value, end of period | $ 11.05 | $ 10.28 | $ 10.07 | $ 10.27 | $ 10.39 | $ 10.28 |
Total Return B, C, D | 11.20% | 7.02% | 2.18% | 2.75% | 1.37% | .94% |
Ratios to Average Net Assets F, J |
|
|
|
|
| |
Expenses before reductions | 1.50% | 1.52% | 1.53% | 1.55% | 1.60% A | 1.62% |
Expenses net of fee waivers, if any | 1.50% | 1.52% | 1.53% | 1.55% | 1.60% A | 1.62% |
Expenses net of all reductions | 1.50% | 1.52% | 1.53% | 1.55% | 1.60% A | 1.62% |
Net investment income | 3.32% | 4.45% | 4.03% | 4.15% | 4.13% A | 3.78% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 91,439 | $ 55,958 | $ 28,786 | $ 18,890 | $ 2,106 | $ 1,770 |
Portfolio turnover rate G | 130% | 104% L | 122% | 116% L | 53% A | 99% |
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 reductions from 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. 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, | 2010 | 2009 | 2008 | 2007 | 2006 H | 2006 J |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 10.28 | $ 10.07 | $ 10.27 | $ 10.39 | $ 10.28 | $ 10.57 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income D | .466 | .527 | .524 | .543 | .046 | .506 |
Net realized and unrealized gain (loss) | .778 | .232 | (.189) | (.143) | .105 | (.290) G |
Total from investment operations | 1.244 | .759 | .335 | .400 | .151 | .216 |
Distributions from net investment income | (.440) | (.481) | (.510) | (.503) | (.041) | (.466) |
Distributions from net realized gain | (.034) | (.068) | (.025) | (.017) | - | (.040) |
Total distributions | (.474) | (.549) | (.535) | (.520) | (.041) | (.506) |
Net asset value, end of period | $ 11.05 | $ 10.28 | $ 10.07 | $ 10.27 | $ 10.39 | $ 10.28 |
Total Return B, C | 12.37% | 8.17% | 3.29% | 3.89% | 1.46% | 2.11% |
Ratios to Average Net Assets E, I |
|
|
|
|
| |
Expenses before reductions | .45% | .45% | .45% | .45% | .45% A | .45% |
Expenses net of fee waivers, if any | .45% | .45% | .45% | .45% | .45% A | .45% |
Expenses net of all reductions | .45% | .45% | .45% | .45% | .45% A | .45% |
Net investment income | 4.37% | 5.52% | 5.12% | 5.25% | 5.26% A | 4.95% |
Supplemental Data |
|
|
|
|
| |
Net assets, end of period (000 omitted) | $ 11,342,385 | $ 10,863,828 | $ 9,976,432 | $ 6,450,177 | $ 2,421,077 | $ 2,306,817 |
Portfolio turnover rate F | 130% | 104% K | 122% | 116% K | 53% A | 99% |
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 reductions from 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. 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
Years ended August 31, | 2010 | 2009 G |
Selected Per-Share Data |
|
|
Net asset value, beginning of period | $ 10.27 | $ 9.89 |
Income from Investment Operations |
|
|
Net investment income D | .476 | .100 |
Net realized and unrealized gain (loss) | .788 | .359 |
Total from investment operations | 1.264 | .459 |
Distributions from net investment income | (.450) | (.079) |
Distributions from net realized gain | (.034) | - |
Total distributions | (.484) | (.079) |
Net asset value, end of period | $ 11.05 | $ 10.27 |
Total Return B, C | 12.59% | 4.64% |
Ratios to Average Net Assets E, H |
|
|
Expenses before reductions | .35% | .35% A |
Expenses net of fee waivers, if any | .35% | .35% A |
Expenses net of all reductions | .35% | .35% A |
Net investment income | 4.47% | 5.79% A |
Supplemental Data |
|
|
Net assets, end of period (000 omitted) | $ 53,956 | $ 329 |
Portfolio turnover rate F | 130% | 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 reductions from 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, | 2010 | 2009 | 2008 | 2007 | 2006 H | 2006 J |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 10.26 | $ 10.06 | $ 10.26 | $ 10.38 | $ 10.27 | $ 10.57 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income D | .458 | .518 | .516 | .527 | .045 | .493 |
Net realized and unrealized gain (loss) | .788 | .224 | (.186) | (.134) | .105 | (.294) G |
Total from investment operations | 1.246 | .742 | .330 | .393 | .150 | .199 |
Distributions from net investment income | (.432) | (.474) | (.505) | (.496) | (.040) | (.459) |
Distributions from net realized gain | (.034) | (.068) | (.025) | (.017) | - | (.040) |
Total distributions | (.466) | (.542) | (.530) | (.513) | (.040) | (.499) |
Net asset value, end of period | $ 11.04 | $ 10.26 | $ 10.06 | $ 10.26 | $ 10.38 | $ 10.27 |
Total Return B, C | 12.41% | 7.99% | 3.24% | 3.83% | 1.46% | 1.95% |
Ratios to Average Net Assets E, I |
|
|
|
|
| |
Expenses before reductions | .52% | .53% | .51% | .50% | .54% A | .56% |
Expenses net of fee waivers, if any | .52% | .53% | .51% | .50% | .54% A | .56% |
Expenses net of all reductions | .52% | .53% | .51% | .49% | .54% A | .56% |
Net investment income | 4.30% | 5.45% | 5.06% | 5.21% | 5.16% A | 4.84% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 509,388 | $ 884,991 | $ 947,791 | $ 348,636 | $ 1,058 | $ 933 |
Portfolio turnover rate F | 130% | 104% K | 122% | 116% K | 53% A | 99% |
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 reductions from 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. 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, 2010
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. The Fund offers Class A, Class T, Class C, Total Bond, Class F, and Institutional Class shares, each of which has equal rights as to assets and voting privileges. Effective after the close of business on September 1, 2010, Class B shares were closed to new accounts and additional purchases by existing shareholders. 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. Subsequent to period end, all Class F shares were redeemed and the Fund no longer offers Class F shares to investors.
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 Funds 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 | FMR Co., Inc. (FMRC) | Seeks a high level of income by normally investing in floating rate loans and other floating rate securities. | Loans & Direct Debt 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 each Fund, which presents direct holdings as well as the pro-rata share of any securities and other investments held indirectly through each fund's 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 Securities and Exchange Commission (the SEC) web site at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including security valuation policies) of those funds, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC 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 (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. 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. When current market prices or quotations are not readily available or reliable, valuations may be determined in good faith in accordance with procedures adopted by the Board of Trustees. Factors used in determining value may include market or security specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The value used for net asset value (NAV) calculation under these procedures may differ from published prices for the same securities.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below.
Level 1 - quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the fund's own assumptions based on the best information available)
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level, as of August 31, 2010, for the Fund's investments as well as a roll forward of Level 3 securities, is included at the end of the Fund's Schedule of Investments. Valuation techniques used to value the Fund's investments by major category are as follows.
Debt securities, including restricted securities, are valued based on evaluated prices received from independent pricing services or from dealers who make markets in such securities. For corporate bonds, bank notes, foreign government and government agency obligations, preferred securities, supranational obligations, and U.S. government and government agency obligations, pricing services utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices and are generally categorized as Level 2 in the hierarchy. For asset backed securities, collateralized mortgage obligations, commercial mortgage securities, and U.S. government agency mortgage securities, pricing services utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices and, accordingly, such securities are generally categorized as Level 2 in the hierarchy. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates fair value and are categorized as Level 2 in the hierarchy.
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Notes to Financial Statements - continued
3. Significant Accounting Policies - continued
Security Valuation - continued
Swaps are marked-to-market daily based on valuations from independent pricing services or dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Pricing services utilize matrix pricing which considers comparisons to interest rate curves, credit spread curves, default possibilities and recovery rates and, as a result, swaps are generally categorized as Level 2 in the hierarchy.
When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing matrices which consider similar factors that would be used by independent pricing services. These are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by an independent pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when significant market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-traded funds (ETFs) and certain indexes as well as quoted prices for similar securities are used and are categorized as Level 2 in the hierarchy in these circumstances. Utilizing these techniques may result in transfers between Level 1 and Level 2. For restricted securities and private placements where observable inputs are limited, assumptions about market activity and risk are used and are categorized as Level 3 in the hierarchy.
Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day and are categorized as Level 1 in the hierarchy.
Foreign Currency. The Fund uses foreign currency contracts to facilitate transactions in foreign-denominated securities. Gains and 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.
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3. Significant Accounting Policies - continued
Foreign Currency - continued
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 is accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt 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. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.
Expenses. Most expenses of the Trust can be directly attributed to a fund. Expenses which cannot be directly attributed are apportioned amongst 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 may elect to defer receipt of a 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.
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Notes to Financial Statements - continued
3. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders. Each year the Fund intends to qualify as a regulated investment company, including 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. As of August 31, 2010, the Fund did not have any 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 GAAP. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.
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, market discount, 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 federal tax cost of investment securities and unrealized appreciation (depreciation) as of period end were as follows:
Gross unrealized appreciation | $ 744,249,147 |
Gross unrealized depreciation | (68,126,956) |
Net unrealized appreciation (depreciation) | $ 676,122,191 |
|
|
Tax Cost | $ 13,132,447,293 |
The tax-based components of distributable earnings as of period end were as follows:
Undistributed ordinary income | $ 157,504,730 |
|
|
Net unrealized appreciation (depreciation) | $ 664,502,979 |
The tax character of distributions paid was as follows:
| August 31, 2010 | August 31, 2009 |
Ordinary Income | $ 553,542,603 | $ 574,929,700 |
Annual Report
4. Operating Policies.
Repurchase Agreements. Fidelity Management & Research Company (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 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 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.
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Notes to Financial Statements - continued
4. Operating Policies - continued
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. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund uses derivative instruments (derivatives), including swap agreements, in order to meet its investment objectives. The strategy is to use derivatives to increase returns, to gain exposure to certain types of assets and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.
The Fund's use of derivatives may increase or decrease its exposure to the following risks:
Credit Risk | Credit risk relates to the ability of the issuer to a financial instrument 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 relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates. |
The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to sell the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain over-the-counter derivatives, the Fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association (ISDA) Master Agreement on a bilateral basis with each of its counterparties. The ISDA Master Agreement gives each counterparty the right to terminate all transactions traded under such agreement if there is a certain deterioration in the credit quality of the other party. The ISDA Master Agreement gives the Fund the right, upon an event of default by the applicable counterparty or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk, the Fund offsets certain payables and/or receivables with collateral. Collateral, in the form of cash or securities, may be required
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5. Derivative Instruments - continued
Risk Exposures and the Use of Derivative Instruments - continued
to be held in segregated accounts with the Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the swap counterparty and the Fund's custodian bank and, if required, is identified in the Schedule of Investments. The Fund could experience delays and costs in gaining access to the collateral even though it is held by the Fund's custodian bank. The Fund's maximum risk of loss from counterparty credit risk is generally the aggregate unrealized appreciation and unpaid counterparty fees in excess of any collateral pledged by the counterparty to the Fund. Risk of loss may exceed the amounts recognized in the Statement of Assets and Liabilities.
Net Realized Gain (Loss) and Change in Net Unrealized Appreciation (Depreciation) on Derivatives. The table below, which reflects the impacts of derivatives on the financial performance of the Fund, summarizes the net realized gain (loss) and change in net unrealized appreciation (depreciation) for derivatives during the period.
Risk Exposure / Derivative Type | Net Realized Gain | Change in Net |
Credit Risk |
|
|
Swap Agreements | $ (3,737,085) | $ 4,285,807 |
Interest Rate Risk |
|
|
Swap Agreements | 84,628,726 | (67,990,170) |
Totals (a) | $ 80,891,641 | $ (63,704,363) |
(a) A summary of the value of derivatives by risk exposure as of period end, if any, is included at the end of the Schedule of Investments and is representative of activity for the period.
Swap Agreements. A swap agreement (swap) is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount.
Details of swaps open at period end, if any, are included in the Schedule of Investments under the caption "Swap Agreements." Swaps are marked-to-market daily and changes in value are recorded as unrealized appreciation or (depreciation) and reflected in the Statement of Assets and Liabilities. Any upfront payments made or received upon entering a swap to compensate for differences between stated terms of the agreement and prevailing market conditions (e.g. credit spreads, interest rates or other factors) are recorded as realized gain or (loss) ratably over the term of the swap. Payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gain or (loss). Realized gain or (loss) is also recorded in the event of an early termination of a swap. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on swaps during the period is included in the Statement of Operations.
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Notes to Financial Statements - continued
5. Derivative Instruments - continued
Swap Agreements - continued
Risks of loss may include credit risk and interest rate risk. 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.
Interest Rate Swaps. Interest rate swaps are agreements between counterparties to exchange cash flows, one based on a fixed rate, and the other on a floating rate. The Fund entered into interest rate swaps to manage its exposure to interest rate changes. Changes in interest rates can have an effect on both the value of 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.
Credit Default Swaps. Credit default swaps enable the Fund to buy or sell protection on a debt security or a basket of securities against a defined credit event. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller acts as a guarantor of the creditworthiness of a reference obligation. The Fund entered into credit default swaps as a seller to gain credit exposure to an issuer and/or as a buyer to provide a measure of protection against defaults of an issuer. The issuer may be either a single issuer or a "basket" of issuers. Periodic payments are made over the life of the contract provided that no credit event occurs.
For credit default swaps on most corporate and sovereign issuers, credit events include bankruptcy, failure to pay, obligation acceleration or repudiation/moratorium. For credit default swaps on corporate or sovereign issuers, the obligation that may be put to the seller is not limited to the specific reference obligation described in the 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 write-down. For credit default swaps on asset-backed securities, the reference obligation described represents the security that may be put to the seller.
As a seller, if an underlying credit event occurs, the Fund will either pay the buyer an amount equal to the notional amount of the swap and take delivery of the reference obligation or underlying securities comprising an index or pay a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index.
As a buyer, if an underlying credit event occurs, the Fund will either receive from the seller an amount equal to the notional amount of the swap and deliver the reference obligation or underlying securities comprising an index or receive a net settlement
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5. Derivative Instruments - continued
Credit Default Swaps - continued
amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index.
Typically, the value of each credit default swap and credit rating disclosed for each reference obligation in the Schedule of Investments, where the Fund is the seller, can be used as measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. Any current or future declines in the value of the swap may be partially offset by upfront payments received by the Fund as the seller, if applicable. In addition to these measures, FMR monitors a variety of factors including cash flow assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/performance risk.
The notional amount of credit default swaps is included in the 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 and a credit event were to occur. The total notional amount of all credit default swaps open at period end where the Fund is the seller amounted to $16,229,229 representing .13% of net assets.
6. Purchases and Sales of Investments.
Purchases and sales of securities, including the Fixed-Income Central Funds, other than short-term securities and U.S. government securities, aggregated $2,490,412,485 and $3,992,359,170, 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.
Distribution and Service Plan Fees. 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,
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Notes to Financial Statements - continued
7. Fees and Other Transactions with Affiliates - continued
Distribution and Service Plan Fees - continued
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 | .00% | .25% | $ 849,181 | $ - |
Class T | .00% | .25% | 137,799 | - |
Class B | .65% | .25% | 94,670 | 71,003 |
Class C | .75% | .25% | 756,194 | 193,353 |
|
|
| $ 1,837,844 | $ 264,356 |
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% 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 | $ 33,422 |
Class T | 7,769 |
Class B* | 18,755 |
Class C* | 10,604 |
| $ 70,550 |
* 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. FIIOC receives an asset-based fee of .10% of Total Bond's average net assets. FIIOC receives no fees for providing transfer agency services to Class F. FIIOC pays for typesetting, printing and
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7. Fees and Other Transactions with Affiliates - continued
Transfer Agent Fees - continued
mailing of shareholder reports, except proxy statements. For the period, each class paid the following transfer agent fees:
| Amount | % of |
Class A | $ 757,037 | .22 |
Class T | 120,890 | .22 |
Class B | 29,768 | .28 |
Class C | 112,400 | .15 |
Total Bond | 11,262,275 | .10 |
Institutional Class | 1,146,535 | .17 |
| $ 13,428,905 |
|
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. Committed Line of Credit.
The Fund participates with other funds managed by FMR or an affiliate in a $3.75 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 $48,966 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, there were no borrowings on this line of credit.
9. 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
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Notes to Financial Statements - continued
9. Security Lending - continued
delivered to the Fund on the next business day. If the borrower defaults on its obligation 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. At period end, there were no security loans outstanding. 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 $119,277.
10. Expense Reductions.
Through arrangements with the Fund's custodian, 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 expenses by $25,008.
11. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Years ended August 31, | 2010 | 2009 A |
From net investment income |
|
|
Class A | $ 12,047,548 | $ 3,847,702 |
Class T | 2,077,349 | 1,872,372 |
Class B | 318,564 | 334,350 |
Class C | 2,301,111 | 1,445,182 |
Total Bond | 466,064,893 | 454,620,480 |
Class F | 3,199,988 | 2,418 |
Institutional Class | 27,090,103 | 41,289,271 |
Total | $ 513,099,556 | $ 503,411,775 |
From net realized gain |
|
|
Class A | $ 414,764 | $ 551,756 |
Class T | 166,992 | 276,592 |
Class B | 32,729 | 67,464 |
Class C | 224,151 | 216,528 |
Total Bond | 37,012,590 | 64,472,390 |
Class F | 328,077 | - |
Institutional Class | 2,263,744 | 5,933,195 |
Total | $ 40,443,047 | $ 71,517,925 |
A Distributions for Class F are for the period June 26, 2009 (commencement of sale of shares) to August 31, 2010.
Annual Report
12. Share Transactions.
Transactions for each class of shares were as follows:
| Shares | Dollars | ||
Years ended August 31, | 2010 | 2009 A | 2010 | 2009 A |
Class A |
|
|
|
|
Shares sold | 81,938,740 | 5,984,791 | $ 881,456,370 | $ 57,444,987 |
Reinvestment of distributions | 1,085,950 | 406,888 | 11,735,735 | 3,861,183 |
Shares redeemed | (20,631,216) | (3,902,315) | (224,850,719) | (36,894,839) |
Net increase (decrease) | 62,393,474 | 2,489,364 | $ 668,341,386 | $ 24,411,331 |
Class T |
|
|
|
|
Shares sold | 5,482,327 | 2,362,273 | $ 59,090,633 | $ 22,525,326 |
Reinvestment of distributions | 193,214 | 212,303 | 2,057,888 | 2,007,899 |
Shares redeemed | (3,897,766) | (1,724,975) | (41,737,610) | (16,315,286) |
Net increase (decrease) | 1,777,775 | 849,601 | $ 19,410,911 | $ 8,217,939 |
Class B |
|
|
|
|
Shares sold | 634,184 | 554,201 | $ 6,787,446 | $ 5,314,152 |
Reinvestment of distributions | 24,969 | 28,612 | 266,359 | 270,597 |
Shares redeemed | (362,539) | (659,643) | (3,860,818) | (6,193,443) |
Net increase (decrease) | 296,614 | (76,830) | $ 3,192,987 | $ (608,694) |
Class C |
|
|
|
|
Shares sold | 5,045,673 | 4,153,350 | $ 53,748,889 | $ 39,736,399 |
Reinvestment of distributions | 208,443 | 152,104 | 2,222,830 | 1,446,118 |
Shares redeemed | (2,426,055) | (1,718,977) | (25,927,799) | (16,256,813) |
Net increase (decrease) | 2,828,061 | 2,586,477 | $ 30,043,920 | $ 24,925,704 |
Total Bond |
|
|
|
|
Shares sold | 422,908,452 | 373,151,213 | $ 4,503,077,533 | $ 3,605,197,725 |
Reinvestment of distributions | 45,440,114 | 53,605,881 | 483,982,145 | 507,857,810 |
Shares redeemed | (499,273,762) | (360,364,229) | (5,322,918,715) | (3,408,960,293) |
Net increase (decrease) | (30,925,196) | 66,392,865 | $ (335,859,037) | $ 704,095,242 |
Class F |
|
|
|
|
Shares sold | 22,658,279 | 33,569 | $ 240,489,270 | $ 332,941 |
Reinvestment of distributions | 330,686 | 236 | 3,528,064 | 2,418 |
Shares redeemed | (18,138,196) | (1,783) | (194,727,472) | (18,285) |
Net increase (decrease) | 4,850,769 | 32,022 | $ 49,289,862 | $ 317,074 |
Annual Report
Notes to Financial Statements - continued
12. Share Transactions - continued
| Shares | Dollars | ||
Years ended August 31, | 2010 | 2009 A | 2010 | 2009 A |
Institutional Class |
|
|
|
|
Shares sold | 7,672,038 | 13,719,215 | $ 81,533,429 | $ 128,522,571 |
Reinvestment of distributions | 2,731,098 | 4,940,454 | 29,005,332 | 46,673,580 |
Shares redeemed | (50,480,446) | (26,671,015) | (535,023,812) | (252,440,017) |
Net increase (decrease) | (40,077,310) | (8,011,346) | $ (424,485,051) | $ (77,243,866) |
A Share transactions for Class F are for the period June 26, 2009 (commencement of sale of shares) to August 31, 2010.
13. 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.
14. Credit Risk.
The Fund invests a portion of its assets 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, 2010, 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, 2010 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
PricewaterhouseCoopers LLP
Boston, Massachusetts
October 22, 2010
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, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance. Except for James C. Curvey, each of the Trustees oversees 189 funds advised by FMR or an affiliate. Mr. Curvey oversees 410 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 75th 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.
Experience, Skills, Attributes, and Qualifications of the Fund's Trustees. The Governance and Nominating Committee has adopted a statement of policy that describes the experience, qualifications, attributes, and skills that are necessary and desirable for potential Independent Trustee candidates (Statement of Policy). The Board believes that each Trustee satisfied at the time he or she was initially elected or appointed a Trustee, and continues to satisfy, the standards contemplated by the Statement of Policy. The Governance and Nominating Committee also engages professional search firms to help identify potential Independent Trustee candidates who have the experience, qualifications, attributes, and skills consistent with the Statement of Policy. From time to time, additional criteria based on the composition and skills of the current Independent Trustees, as well as experience or skills that may be appropriate in light of future changes to board composition, business conditions, and regulatory or other developments, have also been considered by the professional search firms and the Governance and Nominating Committee. In addition, the Board takes into account the Trustees' commitment and participation in Board and committee meetings, as well as their leadership of standing and ad hoc committees throughout their tenure.
In determining that a particular Trustee was and continues to be qualified to serve as a Trustee, the Board has considered a variety of criteria, none of which, in isolation, was controlling. The Board believes that, collectively, the Trustees have balanced and diverse experience, qualifications, attributes, and skills, which allow the Board to operate effectively in governing the fund and protecting the interests of shareholders. Information about the specific experience, skills, attributes, and qualifications of each Trustee, which in each case led to the Board's conclusion that the Trustee should serve (or continue to serve) as a trustee of the fund, is provided below.
Annual Report
Board Structure and Oversight Function. Abigail P. Johnson is an interested person (as defined in the 1940 Act) and currently serves as Chairman. The Trustees have determined that an interested Chairman is appropriate and benefits shareholders because an interested Chairman has a personal and professional stake in the quality and continuity of services provided to the fund. Independent Trustees exercise their informed business judgment to appoint an individual of their choosing to serve as Chairman, regardless of whether the Trustee happens to be independent or a member of management. The Independent Trustees have determined that they can act independently and effectively without having an Independent Trustee serve as Chairman and that a key structural component for assuring that they are in a position to do so is for the Independent Trustees to constitute a substantial majority for the Board. The Independent Trustees also regularly meet in executive session. Kenneth L. Wolfe serves as Chairman of the Independent Trustees and as such (i) acts as a liaison between the Independent Trustees and management with respect to matters important to the Independent Trustees and (ii) with management prepares agendas for Board meetings.
Fidelity funds are overseen by different Boards of Trustees. The fund's Board oversees Fidelity's investment-grade bond, money market, and asset allocation funds and another Board oversees Fidelity's equity and high income funds. The asset allocation funds may invest in Fidelity funds that are overseen by such other Board. The use of separate Boards, each with its own committee structure, allows the Trustees of each group of Fidelity funds to focus on the unique issues of the funds they oversee, including common research, investment, and operational issues. On occasion, the separate Boards establish joint committees to address issues of overlapping consequences for the Fidelity funds overseen by each Board.
The Trustees operate using a system of committees to facilitate the timely and efficient consideration of all matters of importance to the Trustees, the fund, and fund shareholders and to facilitate compliance with legal and regulatory requirements and oversight of the fund's activities and associated risks. The Board, acting through its committees, has charged FMR and its affiliates with (i) identifying events or circumstances the occurrence of which could have demonstrably adverse effects on the fund's business and/or reputation; (ii) implementing processes and controls to lessen the possibility that such events or circumstances occur or to mitigate the effects of such events or circumstances if they do occur; and (iii) creating and maintaining a system designed to evaluate continuously business and market conditions in order to facilitate the identification and implementation processes described in (i) and (ii) above. Because the day-to-day operations and activities of the fund are carried out by or through FMR, its affiliates and other service providers, the fund's exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees. While each of the Board's committees has responsibility for overseeing different aspects of the fund's activities, oversight is exercised primarily through the Operations and Audit Committees. Appropriate personnel, including but not limited to the fund's Chief Compliance Officer (CCO), FMR's internal auditor, the independent accountants, the fund's Treasurer and portfolio management personnel, make periodic reports to the Board's committees, as appropriate. The responsibilities of each committee, including their oversight responsibilities, are described further under "Standing Committees of the Fund's Trustees."
Annual Report
Trustees and Officers - continued
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 Occupations and Other Relevant Experience+ | |
Abigail P. Johnson (48) | |
| 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, Workplace and Institutional Services (2005-present). Ms. Johnson is the Vice Chairman and Director (2007-present) of FMR LLC. Previously, Ms. Johnson served as President and a Director of FMR (2001-2005), a Trustee of other investment companies advised by FMR, Fidelity Investments Money Management, Inc., and FMR Co., Inc. (2001-2005), Senior Vice President of the Fidelity funds (2001-2005), and managed a number of Fidelity funds. Ms. Abigail P. Johnson and Mr. Arthur E. Johnson are not related. |
James C. Curvey (75) | |
| 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 Fidelity Investments Money Management, Inc. (2009-present), Director of Fidelity Research & Analysis Co. (2009-present) and Director of FMR and FMR Co., Inc. (2007-present). Mr. Curvey is also Vice Chairman (2007-present) and Director of FMR LLC. In addition, Mr. Curvey serves as an Overseer for the Boston Symphony Orchestra and a member of the Trustees of Villanova University. Previously, Mr. Curvey was the Vice Chairman (2006-2007) and Director (2000-2007) of FMR Corp. |
Annual Report
* 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.
+ The information above includes each Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to each Trustee's qualifications to serve as a Trustee, which led to the conclusion that each Trustee should serve as a Trustee for the fund.
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 Occupations and Other Relevant Experience+ | |
Albert R. Gamper, Jr. (68) | |
| 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 (2002-2003). He also served as President and Chief Executive Officer of Tyco Capital Corporation (2001-2002). Mr. Gamper currently serves as a member of the Board of Directors of Public Service Enterprise Group (utilities, 2000-present), 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). |
Robert F. Gartland (58) | |
| Year of Election or Appointment: 2010 Mr. Gartland is a partner and investor of Vietnam Partners LLC (investments and consulting, 2008-present) and is Chairman and an investor in Gartland and Mellina Group Corp. (consulting, 2009-present). Prior to his retirement, Mr. Gartland held a variety of positions at Morgan Stanley (financial services, 1979-2007) including Managing Director (1987-2007). |
Arthur E. Johnson (63) | |
| 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). Prior to his retirement, Mr. Johnson served as Senior Vice President of Corporate Strategic Development of Lockheed Martin Corporation (defense contractor, 1999-2009). He previously served on the Board of Directors of IKON Office Solutions, Inc. (1999-2008) and Delta Airlines (2005-2007). Mr. Arthur E. Johnson and Ms. Abigail P. Johnson are not related. |
Michael E. Kenneally (56) | |
| Year of Election or Appointment: 2009 Previously, Mr. Kenneally served as a Member of the Advisory Board for certain Fidelity Fixed Income and Asset Allocation Funds (2008-2009). Prior to his retirement, 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 funds, 2004-2008) and certain other closed-end funds (2004-2005) and was awarded the Chartered Financial Analyst (CFA) designation in 1991. |
James H. Keyes (69) | |
| 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, since 2002) and Pitney Bowes, Inc. (integrated mail, messaging, and document management solutions, since 1998). Prior to his retirement, Mr. Keyes served as Chairman and Chief Executive Officer of Johnson Controls (automotive, building, and energy, 1998-2002) and as a member of the Board of LSI Logic Corporation (semiconductor technologies, 1984-2008). |
Marie L. Knowles (63) | |
| 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 and Chairman of the Audit Committee of McKesson Corporation (healthcare service, since 2002). 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 (71) | |
| Year of Election or Appointment: 2005 Mr. Wolfe is Chairman of the Independent Trustees of the Fixed Income and Asset Allocation Funds (2008-present). Prior to his retirement, Mr. Wolfe served as Chairman and a Director (2007-2009) and Chairman and Chief Executive Officer (1994-2001) of Hershey Foods Corporation. He also served as a member of the Boards of Adelphia Communications Corporation (telecommunications, 2003-2006), Bausch & Lomb, Inc. (medical/pharmaceutical, 1993-2007), and Revlon, Inc. (personal care products, 2004-2009). |
+ The information above includes each Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to each Trustee's qualifications to serve as a Trustee, which led to the conclusion that each Trustee should serve as a Trustee for the fund.
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 (52) | |
| Year of Election or Appointment: 2008 President and Treasurer of Fidelity's Fixed Income and Asset Allocation Funds. Mr. Hebble also serves as Treasurer and Chief Financial Officer of The North Carolina Capital Management Trust: Cash and Term Portfolio (2008-present), Assistant Treasurer of other Fidelity funds (2009-present) and is an employee of Fidelity Investments. |
Boyce I. Greer (54) | |
| Year of Election or Appointment: 2005 Vice President of Fidelity's Fixed Income Funds and Asset Allocation Funds (2005). Mr. Greer is also a Trustee of other investment companies advised by FMR. Mr. Greer is President of The North Carolina Capital Management Trust: Cash and Term Portfolio (2003-present), the Asset Allocation Division (2008-present), President and a Director of Strategic Advisers, Inc. (2008-present), President of FIMM 130/30 LLC (2008-present), Director of Ballyrock Investment Advisors LLC (2006-present), and an Executive Vice President of FMR (2005-present). Previously, Mr. Greer served as Executive Vice President of FMR Co., Inc. (2005-2009), President and Director of Fidelity Investments Money Management, Inc. (2007-2009) and as a Director and Managing Director of Strategic Advisers, Inc. (2002-2005). |
Christopher P. Sullivan (56) | |
| Year of Election or Appointment: 2009 Vice President of Fidelity's Bond Funds. Mr. Sullivan also serves as President of Fidelity's Bond Division (2009-present). Mr. Sullivan is Executive Vice President of Fidelity Investments Money Management, Inc. (2009-present), and a Director of Fidelity Management & Research (U.K.) Inc. (2010-present). Previously, Mr. Sullivan served as Managing Director, Co-Head of U.S. Fixed Income at Goldman Sachs Asset Management (2001-2009). |
Christine J. Thompson (52) | |
| Year of Election or Appointment: 2010 Vice President of Fidelity's Bond Funds. Ms. Thompson also serves as Chief Investment Officer of FMR's Bond Group (2010-present) and is an employee of Fidelity Investments. Previously, Ms. Thompson served as Director of Municipal Bond Portfolio Managers (2002-2010). |
Scott C. Goebel (42) | |
| Year of Election or Appointment: 2008 Secretary and Chief Legal Officer (CLO) of the Fidelity funds. Mr. Goebel also serves as Secretary and CLO of The North Carolina Capital Management Trust: Cash and Term Portfolio (2008-present); 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-present), Fidelity Management & Research (U.K.) Inc. (2008-present), and Fidelity Research and Analysis Company (2008-present). Previously, Mr. Goebel served as Assistant Secretary of the Funds (2007-2008) and as Vice President and Secretary of Fidelity Distributors Corporation (FDC) (2005-2007). |
David J. Carter (37) | |
| Year of Election or Appointment: 2010 Assistant Secretary of Fidelity's Fixed Income and Asset Allocation Funds. Mr. Carter also serves as Vice President, Associate General Counsel (2010-present) and is an employee of Fidelity Investments (2005-present). |
Holly C. Laurent (56) | |
| Year of Election or Appointment: 2008 Anti-Money Laundering (AML) Officer of the Fidelity funds. Ms. Laurent also serves as AML Officer of The North Carolina Capital Management Trust: Cash and Term Portfolio (2008-present) and 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 (51) | |
| 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 (43) | |
| Year of Election or Appointment: 2008 Chief Compliance Officer of Fidelity's Fixed Income and Asset Allocation Funds. Mr. Whitaker also serves as Chief Compliance Officer of The North Carolina Capital Management Trust: Cash and Term Portfolio (2008-present). Mr. Whitaker is an employee of Fidelity Investments (2007-present). Prior to joining Fidelity Investments, Mr. Whitaker worked at MFS Investment Management where he served as Senior Vice President and Chief Compliance Officer (2004-2006), and Assistant General Counsel. |
Jeffrey S. Christian (48) | |
| Year of Election or Appointment: 2009 Deputy Treasurer of the Fidelity funds. Mr. Christian is an employee of Fidelity Investments. Previously, Mr. Christian served as Chief Financial Officer (2008-2009) of certain Fidelity funds and Senior Vice President of Fidelity Pricing and Cash Management Services (FPCMS) (2004-2009). |
Bryan A. Mehrmann (49) | |
| Year of Election or Appointment: 2005 Deputy Treasurer of the Fidelity funds. Mr. Mehrmann is an employee of Fidelity Investments. |
Stephanie J. Dorsey (41) | |
| Year of Election or Appointment: 2008 Deputy Treasurer of Fidelity's Fixed Income and Asset Allocation Funds. Ms. Dorsey also serves as Assistant Treasurer of other Fidelity funds (2010-present) and 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. |
Adrien E. Deberghes (43) | |
| Year of Election or Appointment: 2010 Assistant Treasurer of Fidelity's Fixed Income and Asset Allocation Funds. Mr. Deberghes also serves as Deputy Treasurer of other Fidelity funds (2008-present) and is an employee of Fidelity Investments (2008-present). Previously, Mr. Deberghes served as Senior Vice President of Mutual Fund Administration at State Street Corporation (2007-2008), Senior Director of Mutual Fund Administration at Investors Bank & Trust (2005-2007), and Director of Finance for Dunkin' Brands (2000-2005). |
Kenneth B. Robins (41) | |
| 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 (2008-present; 2010-present) and is an employee of Fidelity Investments (2004-present). Previously, Mr. Robins served as Deputy Treasurer of the Fidelity funds (2005-2008) and Treasurer and Chief Financial Officer of The North Carolina Capital Management Trust: Cash and Term Portfolios (2006-2008). |
Gary W. Ryan (52) | |
| 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)
The Board of Trustees of Advisor Total Bond Fund voted to pay to shareholders of record at the opening of business on record date, the following distributions per share derived from capital gains realized from sales of portfolio securities:
| Pay Date | Record Date | Capital Gains |
Class A | 10/18/10 | 10/15/10 | $0.116 |
Class T | 10/18/10 | 10/15/10 | $0.116 |
Class B | 10/18/10 | 10/15/10 | $0.116 |
Class C | 10/18/10 | 10/15/10 | $0.116 |
A total of 11.50% 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 $309,587,770 of distributions paid during the period January 1, 2010 to August 31, 2010 as qualifying to be taxed as interest-related dividends for nonresident alien shareholders.
The fund will notify shareholders in January 2011 of amounts for use in preparing 2010 income tax returns.
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.
FIL Investments (Japan) Limited
FIL Investment Advisors
FIL Investment Advisors
(UK) Limited
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-1010 1.804574.106
(Fidelity Investment logo)(registered trademark)
Fidelity AdvisorSM
Total Bond
Fund - Institutional Class
Annual Report
August 31, 2010
Institutional Class is a class of Fidelity® Total Bond Fund
(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 of Fund Performance | The Portfolio Manager's review of fund performance and strategy. | |
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, as well as financial highlights. | |
Notes | Notes to the financial statements. | |
Report of Independent Registered Public Accounting Firm |
| |
Trustees and Officers |
| |
Distributions |
|
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
(photo_of_Abigail_P_Johnson)
Dear Shareholder:
A yearlong uptrend in global equity markets reversed course in late April 2010 when investor sentiment turned bearish due in great measure to concern that Europe's debt crisis would expand and slow or derail economic recovery. However, a bounceback in July helped to recover some of the ground that was lost. Financial markets are always unpredictable, of course, but there also are several time-tested investment principles that can help put the 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,
(The chairman's signature appears here.)
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' distributions from 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, 2010 | Past 1 | Past 5 | Life of |
Institutional Class B | 12.41% | 5.91% | 5.97% |
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 Fidelity® Total Bond Fund, the original retail class of the fund.
$10,000 Over Life of Fund
Let's say hypothetically that $10,000 was invested in Fidelity AdvisorSM 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: U.S. taxable bonds generated strong results during the 12-month period ending August 31, 2010, as evidenced by the 9.18% advance of the Barclays Capital U.S. Aggregate Bond Index, a broad measure of the domestic investment-grade debt universe. Riskier segments of the market fared best overall, led by corporate bonds and asset-backed securities (ABS). These sectors were big beneficiaries of robust demand from investors seeking attractively priced, higher-yielding investments amid signs of economic stabilization during much of the period. The Barclays Capital U.S. Credit Bond Index rose 12.87% and the Barclays Capital U.S. Fixed-Rate ABS Index returned 10.53%. The Barclays Capital U.S. Treasury Bond Index advanced 8.13%, with most of the gain coming in the second half of the period. That's when investors began to return to the relative safety of U.S. government bonds, as the economic outlook became less certain and worries about inflation receded. Elsewhere, mortgage-backed securities (MBS), bolstered largely by government purchase programs, increased 6.97%, as measured by the Barclays Capital U.S. MBS Index. Government-backed agency securities lagged the broader MBS market, with the Barclays Capital U.S. Agency Bond Index gaining 5.82%. Agency securities initially were constrained by investors' diminished appetite for bonds with lower perceived credit risk, but later were helped by the Federal Reserve's purchases of agency debt.
Comments from Ford O'Neil, Lead Portfolio Manager of Fidelity AdvisorSM Total Bond Fund: For the year, the fund's Institutional Class shares gained 12.41%, easily outpacing the Barclays Capital U.S. Aggregate Bond Index and the 10.04% advance of the Barclays Capital U.S. Universal Bond Index. Versus the Aggregate Bond index, sector and security selection within the investment-grade portion of the portfolio provided the biggest boost, particularly in the first half of the period. Specifically, overweighting riskier bond classes, such as corporate bonds, commercial mortgage-backed securities, ABS and collateralized mortgage obligations, paid off. These sectors were driven by strong demand from investors seeking higher yields amid signs the economy and credit markets were stabilizing. Our positioning within corporates was especially beneficial. Timely moves in the Treasury sector worked to our advantage, as did out-of-index holdings in TIPS (Treasury Inflation-Protected Securities). I significantly reduced the fund's weighting in corporate bonds during the period, based on valuations, and redeployed most of the proceeds into Treasuries. Out-of-index allocations to high-yield, floating-rate and emerging-markets debt also bolstered performance. In another change to our sector allocation, we significantly reduced our position in interest rate swaps. These instruments, which were used in part to manage the fund's yield-curve positioning, performed well and, as a result, no longer traded at compelling valuations, in our view.
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 Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (March 1, 2010 to August 31, 2010).
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.
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.
Annual Report
| Annualized Expense Ratio | Beginning | Ending | Expenses Paid |
Class A | .83% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,059.20 | $ 4.31 |
HypotheticalA |
| $ 1,000.00 | $ 1,021.02 | $ 4.23 |
Class T | .80% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,059.30 | $ 4.15 |
HypotheticalA |
| $ 1,000.00 | $ 1,021.17 | $ 4.08 |
Class B | 1.52% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,055.40 | $ 7.87 |
HypotheticalA |
| $ 1,000.00 | $ 1,017.54 | $ 7.73 |
Class C | 1.49% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,055.60 | $ 7.72 |
HypotheticalA |
| $ 1,000.00 | $ 1,017.69 | $ 7.58 |
Total Bond | .45% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,061.10 | $ 2.34 |
HypotheticalA |
| $ 1,000.00 | $ 1,022.94 | $ 2.29 |
Class F | .35% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,061.70 | $ 1.82 |
HypotheticalA |
| $ 1,000.00 | $ 1,023.44 | $ 1.79 |
Institutional Class | .52% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,060.80 | $ 2.70 |
HypotheticalA |
| $ 1,000.00 | $ 1,022.58 | $ 2.65 |
A 5% return per year before expenses
* 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). 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.
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, 2010 | As of February 28, 2010 | ||||||
![]() | U.S. Government and U.S. Government Agency Obligations †† 63.5% |
| ![]() | U.S. Government and U.S. Government Agency |
| ||
![]() | AAA 7.5% |
| ![]() | AAA 7.9% |
| ||
![]() | AA 3.0% |
| ![]() | AA 3.9% |
| ||
![]() | A 7.6% |
| ![]() | A 8.5% |
| ||
![]() | BBB 10.1% |
| ![]() | BBB 12.4% |
| ||
![]() | BB and Below 11.6% |
| ![]() | BB and Below 13.9% |
| ||
![]() | Not Rated 1.5% |
| ![]() | Not Rated 0.9% |
| ||
![]() | Equities 0.0% |
| ![]() | Equities 0.0% |
| ||
![]() | Short-Term |
| ![]() | Short-Term |
|
We have used ratings from Moody's Investors Service, 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, 2010 | ||
|
| 6 months ago |
Years | 6.2 | 6.0 |
Weighted Average Maturity (WAM) is a weighted average of all the maturities of the securities held in a fund. 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 if it is probable that the issuer of the instrument will take advantage of such features. |
Duration as of August 31, 2010 | ||
|
| 6 months ago |
Years | 4.1 | 3.8 |
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, 2010* | As of February 28, 2010** | ||||||
![]() | Corporate Bonds 25.6% |
| ![]() | Corporate Bonds 30.1% |
| ||
![]() | U.S. Government and U.S. Government Agency Obligations †† 63.5% |
| ![]() | U.S. Government and U.S. Government Agency Obligations †† 51.9% |
| ||
![]() | Asset-Backed |
| ![]() | Asset-Backed |
| ||
![]() | CMOs and Other Mortgage Related Securities 8.2% |
| ![]() | CMOs and Other Mortgage Related Securities 8.4% |
| ||
![]() | Municipal Bonds 0.2% |
| ![]() | Municipal Bonds 0.2% |
| ||
![]() | Other Investments 4.9% |
| ![]() | Other Investments 6.2% |
| ||
![]() | Short-Term |
| ![]() | Short-Term |
| ||
* Foreign investments | 6.7% |
| ** Foreign investments | 8.4% |
| ||
* Futures and Swaps | 1.4% |
| ** Futures and Swaps | 8.2% |
|
† 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, 2010
Showing Percentage of Net Assets
Corporate Bonds - 24.2% | ||||
| Principal Amount (c) | Value | ||
Convertible Bonds - 0.0% | ||||
ENERGY - 0.0% | ||||
Oil, Gas & Consumable Fuels - 0.0% | ||||
Massey Energy Co. 3.25% 8/1/15 | $ 1,970,000 | $ 1,699,716 | ||
FINANCIALS - 0.0% | ||||
Real Estate Investment Trusts - 0.0% | ||||
Developers Diversified Realty Corp. 3% 3/15/12 | 270,000 | 261,900 | ||
Inland Real Estate Corp. 4.625% 11/15/26 | 233,000 | 229,505 | ||
| 491,405 | |||
INFORMATION TECHNOLOGY - 0.0% | ||||
Communications Equipment - 0.0% | ||||
Lucent Technologies, Inc. 2.875% 6/15/25 | 2,841,800 | 2,502,560 | ||
Semiconductors & Semiconductor Equipment - 0.0% | ||||
Energy Conversion Devices, Inc. 3% 6/15/13 | 1,010,000 | 646,400 | ||
TOTAL INFORMATION TECHNOLOGY | 3,148,960 | |||
TOTAL CONVERTIBLE BONDS | 5,340,081 | |||
Nonconvertible Bonds - 24.2% | ||||
CONSUMER DISCRETIONARY - 2.8% | ||||
Auto Components - 0.1% | ||||
DaimlerChrysler NA Holding Corp.: | ||||
5.75% 9/8/11 | 5,595,000 | 5,855,397 | ||
5.875% 3/15/11 | 2,077,000 | 2,132,956 | ||
Lear Corp. 7.875% 3/15/18 | 2,565,000 | 2,648,363 | ||
Tenneco, Inc. 7.75% 8/15/18 (f) | 1,400,000 | 1,410,500 | ||
The Goodyear Tire & Rubber Co. 8.25% 8/15/20 | 3,910,000 | 3,978,425 | ||
| 16,025,641 | |||
Automobiles - 0.0% | ||||
Ford Motor Co. 7.45% 7/16/31 | 1,945,000 | 1,896,375 | ||
Diversified Consumer Services - 0.0% | ||||
Affinion Group, Inc. 11.5% 10/15/15 | 1,990,000 | 2,094,475 | ||
ServiceMaster Co. 10.75% 7/15/15 pay-in-kind (f)(l) | 2,935,000 | 3,052,400 | ||
| 5,146,875 | |||
Hotels, Restaurants & Leisure - 0.3% | ||||
Chukchansi Economic Development Authority 8% 11/15/13 (f) | 765,000 | 443,700 | ||
GWR Operating Partnership LLP 10.875% 4/1/17 (f) | 1,635,000 | 1,647,263 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Hotels, Restaurants & Leisure - continued | ||||
Host Marriott LP 6.375% 3/15/15 | $ 250,000 | $ 250,000 | ||
ITT Corp. 7.375% 11/15/15 | 250,000 | 271,250 | ||
Las Vegas Sands Corp. 6.375% 2/15/15 | 1,170,000 | 1,164,150 | ||
MCE Finance Ltd. 10.25% 5/15/18 (f) | 3,040,000 | 3,260,400 | ||
MGM Mirage, Inc.: | ||||
6.625% 7/15/15 | 1,870,000 | 1,477,300 | ||
7.5% 6/1/16 | 1,160,000 | 913,500 | ||
NCL Corp. Ltd. 11.75% 11/15/16 | 1,375,000 | 1,526,250 | ||
Royal Caribbean Cruises Ltd.: | ||||
7.25% 3/15/18 | 465,000 | 454,538 | ||
11.875% 7/15/15 | 1,450,000 | 1,703,750 | ||
yankee: | ||||
7% 6/15/13 | 3,000,000 | 3,063,750 | ||
7.25% 6/15/16 | 5,365,000 | 5,351,588 | ||
7.5% 10/15/27 | 3,070,000 | 2,743,659 | ||
Scientific Games Corp.: | ||||
7.875% 6/15/16 (f) | 2,145,000 | 2,166,450 | ||
9.25% 6/15/19 | 3,645,000 | 3,863,700 | ||
Seneca Gaming Corp.: | ||||
Series B, 7.25% 5/1/12 | 2,250,000 | 2,188,125 | ||
7.25% 5/1/12 | 2,340,000 | 2,275,650 | ||
Snoqualmie Entertainment Authority: | ||||
4.4277% 2/1/14 (f)(l) | 115,000 | 94,875 | ||
9.125% 2/1/15 (f) | 785,000 | 690,800 | ||
Times Square Hotel Trust 8.528% 8/1/26 (f) | 350,732 | 357,309 | ||
Town Sports International Holdings, Inc. 11% 2/1/14 | 2,270,000 | 2,105,425 | ||
Universal City Development Partners Ltd./UCDP Finance, Inc.: | ||||
8.875% 11/15/15 (f) | 1,210,000 | 1,228,150 | ||
10.875% 11/15/16 (f) | 1,045,000 | 1,110,313 | ||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. 7.75% 8/15/20 (f) | 2,300,000 | 2,317,250 | ||
| 42,669,145 | |||
Household Durables - 0.3% | ||||
Controladora Mabe SA CV 7.875% 10/28/19 (f) | 775,000 | 840,875 | ||
Fortune Brands, Inc.: | ||||
5.875% 1/15/36 | 13,297,000 | 13,480,725 | ||
6.375% 6/15/14 | 9,424,000 | 10,668,731 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Household Durables - continued | ||||
Lennar Corp. 12.25% 6/1/17 | $ 1,610,000 | $ 1,835,400 | ||
Reliance Intermediate Holdings LP 9.5% 12/15/19 (f) | 3,055,000 | 3,177,200 | ||
Standard Pacific Corp.: | ||||
7% 8/15/15 | 1,050,000 | 981,750 | ||
8.375% 5/15/18 | 850,000 | 816,000 | ||
10.75% 9/15/16 | 2,370,000 | 2,509,238 | ||
| 34,309,919 | |||
Internet & Catalog Retail - 0.0% | ||||
Netflix, Inc. 8.5% 11/15/17 | 1,355,000 | 1,465,026 | ||
Media - 1.9% | ||||
Allbritton Communications Co. 8% 5/15/18 | 2,630,000 | 2,597,125 | ||
AOL Time Warner, Inc. 7.625% 4/15/31 | 500,000 | 623,922 | ||
Belo Corp. 8% 11/15/16 | 1,665,000 | 1,756,575 | ||
Cablemas SA de CV 9.375% 11/15/15 (Reg. S) | 1,320,000 | 1,395,900 | ||
Cablevision Systems Corp.: | ||||
7.75% 4/15/18 | 1,440,000 | 1,519,200 | ||
8% 4/15/20 | 1,440,000 | 1,530,000 | ||
8.625% 9/15/17 (f) | 2,915,000 | 3,148,200 | ||
Catalina Marketing Corp. 10.5% 10/1/15 pay-in-kind (f)(l) | 2,835,000 | 3,033,450 | ||
Cequel Communications Holdings I LLC/Cequel Capital Corp. 8.625% 11/15/17 (f) | 7,580,000 | 7,731,600 | ||
Charter Communications Holdings II LLC/Charter Communications Holdings II Capital Corp. 13.5% 11/30/16 | 1,694,103 | 2,003,277 | ||
Clear Channel Communications, Inc.: | ||||
5.5% 9/15/14 | 3,295,000 | 2,034,663 | ||
11% 8/1/16 pay-in-kind (l) | 2,106,912 | 1,559,115 | ||
Clear Channel Worldwide Holdings, Inc.: | ||||
9.25% 12/15/17 | 555,000 | 575,813 | ||
9.25% 12/15/17 | 2,580,000 | 2,705,775 | ||
Comcast Cable Communications, Inc. 6.75% 1/30/11 | 511,000 | 523,405 | ||
Comcast Corp.: | ||||
4.95% 6/15/16 | 1,879,000 | 2,076,755 | ||
5.5% 3/15/11 | 382,000 | 391,574 | ||
5.7% 5/15/18 | 14,168,000 | 16,138,216 | ||
6.4% 3/1/40 | 4,490,000 | 5,130,516 | ||
6.45% 3/15/37 | 2,196,000 | 2,503,820 | ||
6.55% 7/1/39 | 9,000,000 | 10,437,381 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Media - continued | ||||
COX Communications, Inc. 4.625% 6/1/13 | $ 4,467,000 | $ 4,802,641 | ||
CSC Holdings LLC: | ||||
8.5% 4/15/14 | 2,105,000 | 2,304,975 | ||
8.5% 6/15/15 | 2,340,000 | 2,538,900 | ||
8.625% 2/15/19 | 860,000 | 961,050 | ||
Discovery Communications LLC: | ||||
3.7% 6/1/15 | 6,861,000 | 7,217,573 | ||
6.35% 6/1/40 | 6,392,000 | 7,243,958 | ||
EchoStar Communications Corp.: | ||||
7.125% 2/1/16 | 2,525,000 | 2,581,813 | ||
7.75% 5/31/15 | 1,760,000 | 1,834,800 | ||
Entravision Communication Corp. 8.75% 8/1/17 (f) | 1,020,000 | 1,020,000 | ||
Globo Comunicacoes e Participacoes SA 6.25% (e)(f) | 2,560,000 | 2,598,400 | ||
Insight Communications, Inc. 9.375% 7/15/18 (f) | 3,750,000 | 3,956,250 | ||
Interpublic Group of Companies, Inc. 6.25% 11/15/14 | 1,310,000 | 1,355,850 | ||
Kabel Deutschland GmbH 10.625% 7/1/14 | 4,825,000 | 5,011,969 | ||
Liberty Media Corp. 8.25% 2/1/30 | 245,000 | 232,750 | ||
NBC Universal, Inc.: | ||||
3.65% 4/30/15 (f) | 2,800,000 | 2,936,920 | ||
5.15% 4/30/20 (f) | 11,614,000 | 12,510,624 | ||
6.4% 4/30/40 (f) | 8,278,000 | 9,295,027 | ||
Net Servicos de Comunicacao SA 7.5% 1/27/20 (f) | 1,500,000 | 1,695,000 | ||
News America Holdings, Inc. 7.75% 12/1/45 | 170,000 | 221,637 | ||
News America, Inc.: | ||||
5.3% 12/15/14 | 876,000 | 988,358 | ||
6.15% 3/1/37 | 2,970,000 | 3,264,110 | ||
6.2% 12/15/34 | 5,330,000 | 5,848,929 | ||
Nexstar Broadcasting, Inc./Mission, Inc. 8.875% 4/15/17 (f) | 2,140,000 | 2,161,400 | ||
Nielsen Finance LLC/Nielsen Finance Co.: | ||||
10% 8/1/14 | 3,975,000 | 4,143,938 | ||
11.5% 5/1/16 | 2,225,000 | 2,503,125 | ||
11.625% 2/1/14 | 2,325,000 | 2,615,625 | ||
12.5% 8/1/16 (d) | 7,805,000 | 7,668,413 | ||
Quebecor Media, Inc.: | ||||
7.75% 3/15/16 | 4,032,000 | 4,127,760 | ||
7.75% 3/15/16 | 2,485,000 | 2,544,019 | ||
QVC, Inc. 7.125% 4/15/17 (f) | 1,330,000 | 1,346,625 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Media - continued | ||||
Time Warner Cable, Inc.: | ||||
5.4% 7/2/12 | $ 2,444,000 | $ 2,622,282 | ||
5.85% 5/1/17 | 2,607,000 | 2,974,050 | ||
6.2% 7/1/13 | 2,324,000 | 2,617,867 | ||
6.75% 7/1/18 | 13,473,000 | 16,087,058 | ||
Time Warner, Inc.: | ||||
3.15% 7/15/15 | 2,850,000 | 2,929,586 | ||
6.2% 3/15/40 | 10,492,000 | 11,566,318 | ||
6.5% 11/15/36 | 9,243,000 | 10,454,101 | ||
Umbrella Acquisition, Inc. 10.5% 3/15/15 pay-in-kind (f)(l) | 6,804,412 | 5,786,585 | ||
Univision Communications, Inc. 12% 7/1/14 (f) | 1,955,000 | 2,106,513 | ||
Viacom, Inc.: | ||||
6.125% 10/5/17 | 2,051,000 | 2,405,444 | ||
6.25% 4/30/16 | 5,600,000 | 6,529,001 | ||
6.75% 10/5/37 | 1,460,000 | 1,735,192 | ||
Videotron Ltd. 9.125% 4/15/18 | 1,965,000 | 2,166,413 | ||
Visant Holding Corp. 8.75% 12/1/13 | 450,000 | 459,000 | ||
| 247,388,131 | |||
Multiline Retail - 0.1% | ||||
Target Corp. 3.875% 7/15/20 | 7,556,000 | 7,925,632 | ||
Specialty Retail - 0.1% | ||||
AutoNation, Inc. 6.75% 4/15/18 | 2,040,000 | 2,034,900 | ||
Toys 'R' US Property Co. I LLC 10.75% 7/15/17 | 5,060,000 | 5,679,850 | ||
Toys 'R' US, Inc. 7.375% 9/1/16 (f) | 1,200,000 | 1,206,000 | ||
| 8,920,750 | |||
TOTAL CONSUMER DISCRETIONARY | 365,747,494 | |||
CONSUMER STAPLES - 1.2% | ||||
Beverages - 0.1% | ||||
Anheuser-Busch InBev Worldwide, Inc. 7.75% 1/15/19 (f) | 4,750,000 | 6,087,581 | ||
Cerveceria Nacional Dominicana C por A 8% 3/27/14 (Reg. S) | 100,000 | 105,000 | ||
Diageo Capital PLC 5.2% 1/30/13 | 1,037,000 | 1,131,791 | ||
FBG Finance Ltd. 5.125% 6/15/15 (f) | 2,936,000 | 3,241,426 | ||
| 10,565,798 | |||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
CONSUMER STAPLES - continued | ||||
Food & Staples Retailing - 0.2% | ||||
Albertsons, Inc.: | ||||
7.45% 8/1/29 | $ 250,000 | $ 202,500 | ||
7.75% 6/15/26 | 600,000 | 510,750 | ||
8% 5/1/31 | 2,385,000 | 2,003,400 | ||
C&S Group Enterprises LLC 8.375% 5/1/17 (f) | 1,930,000 | 1,838,325 | ||
CVS Caremark Corp.: | ||||
6.036% 12/10/28 | 6,966,843 | 7,347,929 | ||
6.302% 6/1/37 (l) | 9,771,000 | 8,964,893 | ||
Rite Aid Corp. 8% 8/15/20 (f) | 3,450,000 | 3,432,750 | ||
SUPERVALU, Inc. 8% 5/1/16 | 2,260,000 | 2,265,650 | ||
The Great Atlantic & Pacific Tea Co. 11.375% 8/1/15 (f) | 2,330,000 | 1,683,425 | ||
Tops Markets LLC 10.125% 10/15/15 (f) | 1,825,000 | 1,879,750 | ||
| 30,129,372 | |||
Food Products - 0.4% | ||||
Cargill, Inc. 6% 11/27/17 (f) | 9,457,000 | 11,188,823 | ||
Kraft Foods, Inc.: | ||||
5.375% 2/10/20 | 10,631,000 | 11,823,245 | ||
5.625% 11/1/11 | 3,660,000 | 3,855,989 | ||
6.125% 2/1/18 | 10,623,000 | 12,431,438 | ||
6.5% 8/11/17 | 8,720,000 | 10,411,593 | ||
6.75% 2/19/14 | 540,000 | 626,540 | ||
| 50,337,628 | |||
Tobacco - 0.5% | ||||
Altria Group, Inc. 9.7% 11/10/18 | 22,622,000 | 29,941,506 | ||
Philip Morris International, Inc.: | ||||
4.875% 5/16/13 | 9,347,000 | 10,220,197 | ||
5.65% 5/16/18 | 7,161,000 | 8,341,240 | ||
Reynolds American, Inc.: | ||||
6.75% 6/15/17 | 2,994,000 | 3,358,337 | ||
7.25% 6/15/37 | 4,941,000 | 5,263,608 | ||
| 57,124,888 | |||
TOTAL CONSUMER STAPLES | 148,157,686 | |||
ENERGY - 3.1% | ||||
Energy Equipment & Services - 0.2% | ||||
DCP Midstream LLC 5.35% 3/15/20 (f) | 8,730,000 | 9,423,590 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
ENERGY - continued | ||||
Energy Equipment & Services - continued | ||||
Hercules Offshore, Inc. 10.5% 10/15/17 (f) | $ 1,860,000 | $ 1,692,600 | ||
Parker Drilling Co. 9.125% 4/1/18 (f) | 880,000 | 878,944 | ||
Weatherford International Ltd.: | ||||
4.95% 10/15/13 | 1,742,000 | 1,884,698 | ||
5.15% 3/15/13 | 2,277,000 | 2,438,039 | ||
7% 3/15/38 | 5,880,000 | 6,556,035 | ||
9.625% 3/1/19 | 1,500,000 | 1,969,280 | ||
| 24,843,186 | |||
Oil, Gas & Consumable Fuels - 2.9% | ||||
Adaro Indonesia PT 7.625% 10/22/19 (f) | 1,065,000 | 1,136,888 | ||
Anadarko Petroleum Corp.: | ||||
5.95% 9/15/16 | 895,000 | 886,830 | ||
6.375% 9/15/17 | 10,275,000 | 10,167,339 | ||
6.95% 6/15/19 | 895,000 | 902,466 | ||
Antero Resources Finance Corp. 9.375% 12/1/17 | 3,190,000 | 3,285,700 | ||
Apache Corp. 5.1% 9/1/40 | 8,822,000 | 9,125,706 | ||
Arch Coal, Inc.: | ||||
7.25% 10/1/20 | 450,000 | 453,375 | ||
8.75% 8/1/16 | 1,030,000 | 1,109,825 | ||
BW Group Ltd. 6.625% 6/28/17 (f) | 2,957,000 | 2,909,040 | ||
Canadian Natural Resources Ltd.: | ||||
5.15% 2/1/13 | 4,498,000 | 4,867,785 | ||
5.7% 5/15/17 | 16,009,000 | 18,483,831 | ||
Cenovus Energy, Inc. 6.75% 11/15/39 | 3,322,000 | 4,081,994 | ||
Chesapeake Energy Corp.: | ||||
6.625% 8/15/20 | 1,630,000 | 1,634,075 | ||
6.875% 8/15/18 | 1,630,000 | 1,662,600 | ||
7.625% 7/15/13 | 895,000 | 966,600 | ||
ConocoPhillips: | ||||
4.6% 1/15/15 | 10,000,000 | 11,219,800 | ||
5.75% 2/1/19 | 2,930,000 | 3,500,922 | ||
CONSOL Energy, Inc.: | ||||
8% 4/1/17 (f) | 2,320,000 | 2,436,000 | ||
8.25% 4/1/20 (f) | 1,545,000 | 1,641,563 | ||
Continental Resources, Inc. 7.375% 10/1/20 (f) | 1,055,000 | 1,070,825 | ||
Denbury Resources, Inc. 9.75% 3/1/16 | 1,060,000 | 1,171,300 | ||
Drummond Co., Inc.: | ||||
7.375% 2/15/16 | 5,485,000 | 5,539,850 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Drummond Co., Inc.: - continued | ||||
9% 10/15/14 (f) | $ 2,455,000 | $ 2,571,613 | ||
DTEK Finance BV 9.5% 4/28/15 (f) | 850,000 | 857,395 | ||
Duke Capital LLC 6.25% 2/15/13 | 1,000,000 | 1,089,851 | ||
Duke Energy Field Services: | ||||
5.375% 10/15/15 (f) | 1,222,000 | 1,356,469 | ||
6.45% 11/3/36 (f) | 1,801,000 | 2,003,103 | ||
6.875% 2/1/11 | 2,313,000 | 2,367,672 | ||
El Paso Natural Gas Co. 5.95% 4/15/17 | 935,000 | 1,032,938 | ||
EnCana Holdings Finance Corp. 5.8% 5/1/14 | 2,888,000 | 3,275,012 | ||
Enterprise Products Operating LP: | ||||
5.6% 10/15/14 | 1,955,000 | 2,184,128 | ||
5.65% 4/1/13 | 697,000 | 759,395 | ||
Forest Oil Corp. 8.5% 2/15/14 | 4,070,000 | 4,324,375 | ||
Frontier Oil Corp. 8.5% 9/15/16 | 1,950,000 | 1,998,750 | ||
Gulf South Pipeline Co. LP 5.75% 8/15/12 (f) | 3,863,000 | 4,125,487 | ||
KazMunaiGaz Finance Sub BV: | ||||
7% 5/5/20 (f) | 980,000 | 1,063,300 | ||
8.375% 7/2/13 (f) | 1,420,000 | 1,547,800 | ||
9.125% 7/2/18 (f) | 1,340,000 | 1,614,700 | ||
11.75% 1/23/15 (f) | 1,860,000 | 2,329,650 | ||
Kinder Morgan Energy Partners LP 6.55% 9/15/40 | 3,179,000 | 3,555,473 | ||
LINN Energy LLC 8.625% 4/15/20 (f) | 2,685,000 | 2,832,675 | ||
Lukoil International Finance BV 6.656% 6/7/22 (f) | 1,222,000 | 1,237,275 | ||
Massey Energy Co. 6.875% 12/15/13 | 1,515,000 | 1,533,938 | ||
Midcontinent Express Pipel LLC 5.45% 9/15/14 (f) | 10,000,000 | 10,653,830 | ||
Motiva Enterprises LLC: | ||||
5.75% 1/15/20 (f) | 3,578,000 | 4,116,915 | ||
6.85% 1/15/40 (f) | 13,582,000 | 16,888,117 | ||
Naftogaz of Ukraine NJSC 9.5% 9/30/14 | 1,550,000 | 1,697,250 | ||
Nakilat, Inc.: | ||||
6.067% 12/31/33 (f) | 4,384,000 | 4,822,663 | ||
6.267% 12/31/33 (Reg. S) | 835,000 | 910,150 | ||
Nexen, Inc.: | ||||
5.05% 11/20/13 | 3,845,000 | 4,169,764 | ||
5.2% 3/10/15 | 909,000 | 997,522 | ||
5.875% 3/10/35 | 240,000 | 250,544 | ||
6.4% 5/15/37 | 3,645,000 | 4,005,753 | ||
NGPL PipeCo LLC 6.514% 12/15/12 (f) | 8,163,000 | 8,574,799 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
OPTI Canada, Inc.: | ||||
8.25% 12/15/14 | $ 2,980,000 | $ 2,294,600 | ||
9% 12/15/12 (f) | 1,680,000 | 1,688,400 | ||
Overseas Shipholding Group, Inc.: | ||||
7.5% 2/15/24 | 500,000 | 430,625 | ||
8.125% 3/30/18 | 2,530,000 | 2,593,250 | ||
Pan American Energy LLC 7.875% 5/7/21 (f) | 4,020,000 | 4,140,600 | ||
Pemex Project Funding Master Trust 6.625% 6/15/35 | 625,000 | 673,438 | ||
Petro-Canada: | ||||
6.05% 5/15/18 | 3,850,000 | 4,489,316 | ||
6.8% 5/15/38 | 8,950,000 | 10,775,827 | ||
Petrobras International Finance Co. Ltd.: | ||||
5.75% 1/20/20 | 12,170,000 | 13,044,743 | ||
6.875% 1/20/40 | 17,027,000 | 18,687,133 | ||
7.875% 3/15/19 | 10,219,000 | 12,492,728 | ||
8.375% 12/10/18 | 160,000 | 197,954 | ||
Petrohawk Energy Corp.: | ||||
7.25% 8/15/18 (f) | 2,020,000 | 2,014,950 | ||
7.875% 6/1/15 | 1,485,000 | 1,540,688 | ||
10.5% 8/1/14 | 3,025,000 | 3,380,438 | ||
Petroleos de Venezuela SA: | ||||
5.25% 4/12/17 | 2,040,000 | 1,173,000 | ||
5.375% 4/12/27 | 8,535,000 | 3,840,750 | ||
5.5% 4/12/37 | 1,120,000 | 487,200 | ||
Petroleos Mexicanos: | ||||
5.5% 1/21/21 (f) | 500,000 | 520,000 | ||
6% 3/5/20 (f) | 465,000 | 506,850 | ||
6.625% 6/15/35 (f) | 320,000 | 344,800 | ||
Petroleum Co. of Trinidad & Tobago Ltd. (Reg. S) 6% 5/8/22 | 1,045,000 | 1,052,838 | ||
Pioneer Natural Resources Co.: | ||||
6.65% 3/15/17 | 4,605,000 | 4,754,663 | ||
7.5% 1/15/20 | 1,245,000 | 1,332,150 | ||
Plains All American Pipeline LP 7.75% 10/15/12 | 2,358,000 | 2,631,420 | ||
Plains All American Pipeline LP/PAA Finance Corp.: | ||||
3.95% 9/15/15 | 5,769,000 | 6,014,604 | ||
6.125% 1/15/17 | 6,185,000 | 6,897,481 | ||
Plains Exploration & Production Co.: | ||||
7% 3/15/17 | 3,165,000 | 3,117,525 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Plains Exploration & Production Co.: - continued | ||||
10% 3/1/16 | $ 2,415,000 | $ 2,644,425 | ||
Quicksilver Resources, Inc.: | ||||
7.125% 4/1/16 | 2,960,000 | 2,834,200 | ||
9.125% 8/15/19 | 2,040,000 | 2,198,100 | ||
11.75% 1/1/16 | 2,255,000 | 2,587,613 | ||
Range Resources Corp. 6.75% 8/1/20 | 2,455,000 | 2,485,688 | ||
Ras Laffan Liquefied Natural Gas Co. Ltd. 8.294% 3/15/14 (f) | 2,389,600 | 2,664,404 | ||
Ras Laffan Liquefied Natural Gas Co. Ltd. III: | ||||
4.5% 9/30/12 (f) | 4,773,000 | 5,025,559 | ||
5.5% 9/30/14 (f) | 6,670,000 | 7,370,757 | ||
5.832% 9/30/16 (f) | 1,343,000 | 1,482,981 | ||
6.332% 9/30/27 (f) | 1,840,000 | 2,142,422 | ||
6.75% 9/30/19 (f) | 4,366,000 | 5,208,201 | ||
Rockies Express Pipeline LLC 6.25% 7/15/13 (f) | 2,720,000 | 2,962,629 | ||
Ship Finance International Ltd. 8.5% 12/15/13 | 2,065,000 | 2,065,000 | ||
Suncor Energy, Inc. 6.1% 6/1/18 | 10,851,000 | 12,674,326 | ||
Targa Resources Partners LP/Targa Resources Partners Finance Corp. 7.875% 10/15/18 (f) | 2,205,000 | 2,260,125 | ||
Teekay Corp. 8.5% 1/15/20 | 1,350,000 | 1,447,875 | ||
TNK-BP Finance SA 7.5% 3/13/13 (Reg. S) | 780,000 | 838,500 | ||
TransCanada PipeLines Ltd.: | ||||
3.4% 6/1/15 | 2,664,000 | 2,815,105 | ||
6.35% 5/15/67 (l) | 2,371,000 | 2,164,327 | ||
XTO Energy, Inc.: | ||||
5% 1/31/15 | 1,749,000 | 1,996,309 | ||
5.65% 4/1/16 | 1,200,000 | 1,426,597 | ||
YPF SA 10% 11/2/28 | 1,630,000 | 1,752,250 | ||
| 369,167,984 | |||
TOTAL ENERGY | 394,011,170 | |||
FINANCIALS - 9.5% | ||||
Capital Markets - 1.6% | ||||
Bear Stearns Companies, Inc.: | ||||
4.5% 10/28/10 | 1,833,000 | 1,844,746 | ||
5.3% 10/30/15 | 1,170,000 | 1,289,875 | ||
BlackRock, Inc. 6.25% 9/15/17 | 8,408,000 | 9,892,332 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Capital Markets - continued | ||||
Equinox Holdings, Inc. 9.5% 2/1/16 (f) | $ 970,000 | $ 970,000 | ||
Goldman Sachs Group, Inc.: | ||||
3.7% 8/1/15 | 8,571,000 | 8,676,792 | ||
5.625% 1/15/17 | 3,200,000 | 3,354,909 | ||
5.95% 1/18/18 | 3,989,000 | 4,319,624 | ||
6.15% 4/1/18 | 4,275,000 | 4,670,609 | ||
6.75% 10/1/37 | 9,643,000 | 9,872,957 | ||
7.5% 2/15/19 | 1,757,000 | 2,050,271 | ||
Janus Capital Group, Inc.: | ||||
6.125% 9/15/11 (e) | 2,473,000 | 2,501,964 | ||
6.5% 6/15/12 | 4,266,000 | 4,480,392 | ||
JPMorgan Chase Capital XX 6.55% 9/29/36 | 17,904,000 | 17,848,068 | ||
JPMorgan Chase Capital XXV 6.8% 10/1/37 | 7,405,000 | 7,566,570 | ||
Lazard Group LLC: | ||||
6.85% 6/15/17 | 3,867,000 | 4,116,766 | ||
7.125% 5/15/15 | 1,377,000 | 1,483,927 | ||
Merrill Lynch & Co., Inc.: | ||||
5.45% 2/5/13 | 12,383,000 | 13,217,664 | ||
6.4% 8/28/17 | 7,407,000 | 7,986,946 | ||
6.875% 4/25/18 | 6,836,000 | 7,526,019 | ||
Morgan Stanley: | ||||
4% 7/24/15 | 15,887,000 | 15,960,684 | ||
4.75% 4/1/14 | 2,429,000 | 2,502,144 | ||
5.45% 1/9/17 | 2,238,000 | 2,350,632 | ||
5.625% 9/23/19 | 11,500,000 | 11,711,336 | ||
5.95% 12/28/17 | 5,050,000 | 5,370,887 | ||
6% 5/13/14 | 17,110,000 | 18,650,294 | ||
6.625% 4/1/18 | 15,268,000 | 16,784,143 | ||
7.3% 5/13/19 | 8,304,000 | 9,444,529 | ||
Nuveen Investments, Inc.: | ||||
5.5% 9/15/15 | 900,000 | 684,000 | ||
10.5% 11/15/15 | 900,000 | 846,000 | ||
The Bank of New York, Inc. 4.95% 11/1/12 | 3,864,000 | 4,183,020 | ||
UBS AG Stamford Branch 5.75% 4/25/18 | 4,505,000 | 5,061,165 | ||
| 207,219,265 | |||
Commercial Banks - 1.8% | ||||
African Export-Import Bank 8.75% 11/13/14 | 1,040,000 | 1,159,600 | ||
Akbank T. A. S. 5.125% 7/22/15 (f) | 855,000 | 844,313 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Commercial Banks - continued | ||||
Ally Financial, Inc. 7.5% 9/15/20 (f) | $ 2,645,000 | $ 2,618,550 | ||
Banco Bradesco SA 5.9% 1/16/21 (f) | 520,000 | 527,800 | ||
Banco Nacional de Desenvolvimento Economico e Social: | ||||
5.5% 7/12/20 (f) | 425,000 | 456,875 | ||
6.5% 6/10/19 (f) | 165,000 | 189,750 | ||
BanColombia SA 6.125% 7/26/20 | 515,000 | 526,588 | ||
Bank of America NA: | ||||
5.3% 3/15/17 | 3,315,000 | 3,396,493 | ||
6% 10/15/36 | 690,000 | 702,784 | ||
Barclays Bank PLC 5% 9/22/16 | 8,175,000 | 8,875,213 | ||
BB&T Capital Trust IV 6.82% 6/12/77 (l) | 2,330,000 | 2,260,100 | ||
BB&T Corp. 6.5% 8/1/11 | 1,243,000 | 1,304,832 | ||
CIT Group, Inc.: | ||||
7% 5/1/13 | 362,745 | 359,118 | ||
7% 5/1/14 | 2,039,117 | 1,983,041 | ||
7% 5/1/15 | 1,754,117 | 1,688,338 | ||
7% 5/1/16 | 2,651,861 | 2,529,212 | ||
7% 5/1/17 | 3,909,604 | 3,679,915 | ||
Credit Suisse New York Branch: | ||||
5% 5/15/13 | 9,569,000 | 10,353,706 | ||
6% 2/15/18 | 16,107,000 | 17,566,310 | ||
DBS Bank Ltd. (Singapore) 0.5963% 5/16/17 (f)(l) | 3,914,986 | 3,787,749 | ||
Development Bank of Philippines 8.375% (l) | 1,355,000 | 1,504,050 | ||
Discover Bank 8.7% 11/18/19 | 12,480,000 | 14,747,429 | ||
EXIM of Ukraine 7.65% 9/7/11 (Issued by Credit Suisse International for EXIM of Ukraine) | 5,750,000 | 5,785,938 | ||
Export-Import Bank of Korea: | ||||
5.125% 2/14/11 | 2,920,000 | 2,965,240 | ||
5.25% 2/10/14 (f) | 565,000 | 614,562 | ||
5.5% 10/17/12 | 2,256,000 | 2,404,097 | ||
Fifth Third Bancorp: | ||||
4.5% 6/1/18 | 145,000 | 143,367 | ||
8.25% 3/1/38 | 3,929,000 | 4,683,812 | ||
Fifth Third Capital Trust IV 6.5% 4/15/67 (l) | 3,725,000 | 3,212,813 | ||
HBOS PLC 6.75% 5/21/18 (f) | 6,067,000 | 5,933,162 | ||
HSBC Holdings PLC: | ||||
0.7336% 10/6/16 (l) | 1,143,000 | 1,092,989 | ||
6.5% 9/15/37 | 8,400,000 | 9,705,654 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Commercial Banks - continued | ||||
HSBK (Europe) B.V. 9.25% 10/16/13 (f) | $ 2,345,000 | $ 2,558,981 | ||
JPMorgan Chase Bank 6% 10/1/17 | 10,795,000 | 12,178,293 | ||
Kazkommerts International BV 8.5% 4/16/13 (f) | 1,245,000 | 1,220,100 | ||
KeyBank NA: | ||||
5.8% 7/1/14 | 8,672,000 | 9,468,107 | ||
6.95% 2/1/28 | 1,977,000 | 2,119,680 | ||
7% 2/1/11 | 1,124,000 | 1,149,478 | ||
KeyBank NA, Cleveland 5.45% 3/3/16 | 3,939,000 | 4,207,919 | ||
Korea Development Bank 4.625% 9/16/10 | 1,833,000 | 1,835,526 | ||
Manufacturers & Traders Trust Co. 2.033% 4/1/13 (f)(l) | 720,797 | 708,619 | ||
Marshall & Ilsley Bank: | ||||
4.85% 6/16/15 | 4,206,000 | 3,994,956 | ||
5% 1/17/17 | 5,275,000 | 5,003,374 | ||
5.25% 9/4/12 | 3,100,000 | 3,146,562 | ||
PNC Funding Corp.: | ||||
0.615% 1/31/12 (l) | 3,707,000 | 3,695,616 | ||
3.625% 2/8/15 | 2,779,000 | 2,920,715 | ||
Regions Bank 6.45% 6/26/37 | 7,653,000 | 6,762,635 | ||
Regions Financial Corp.: | ||||
5.75% 6/15/15 | 1,964,000 | 1,994,911 | ||
7.75% 11/10/14 | 6,185,000 | 6,670,615 | ||
RSHB Capital SA 9% 6/11/14 (f) | 405,000 | 460,688 | ||
Standard Chartered Bank 6.4% 9/26/17 (f) | 3,365,000 | 3,768,834 | ||
The State Export-Import Bank of Ukraine JSC 8.4% 2/9/16 (Issued by Credit Suisse First Boston International for The State Export-Import Bank of Ukraine JSC) (e) | 485,000 | 463,175 | ||
UniCredit Luxembourg Finance SA 5.584% 1/13/17 (f)(l) | 1,437,000 | 1,385,012 | ||
UnionBanCal Corp. 5.25% 12/16/13 | 662,000 | 716,818 | ||
Wachovia Bank NA: | ||||
4.875% 2/1/15 | 1,408,000 | 1,514,335 | ||
6.6% 1/15/38 | 9,000,000 | 10,227,663 | ||
Wachovia Corp.: | ||||
0.6363% 4/23/12 (l) | 543,000 | 539,622 | ||
5.625% 10/15/16 | 3,399,000 | 3,750,450 | ||
5.75% 6/15/17 | 2,933,000 | 3,292,844 | ||
Wells Fargo & Co.: | ||||
3.625% 4/15/15 | 10,194,000 | 10,668,072 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Commercial Banks - continued | ||||
Wells Fargo & Co.: - continued | ||||
3.75% 10/1/14 | $ 4,016,000 | $ 4,232,615 | ||
Zions Bancorp. 7.75% 9/23/14 | 3,590,000 | 3,771,467 | ||
| 232,031,082 | |||
Consumer Finance - 1.1% | ||||
Capital One Bank USA NA 8.8% 7/15/19 | 2,359,000 | 2,989,801 | ||
Capital One Financial Corp. 5.7% 9/15/11 | 5,251,000 | 5,466,758 | ||
Discover Financial Services: | ||||
6.45% 6/12/17 | 9,775,000 | 10,433,473 | ||
10.25% 7/15/19 | 11,089,000 | 13,964,965 | ||
Ford Motor Credit Co. LLC: | ||||
6.625% 8/15/17 | 2,655,000 | 2,694,825 | ||
7% 4/15/15 | 2,970,000 | 3,051,675 | ||
8% 6/1/14 | 1,065,000 | 1,126,238 | ||
8% 12/15/16 | 2,135,000 | 2,319,285 | ||
8.125% 1/15/20 | 1,780,000 | 1,948,173 | ||
12% 5/15/15 | 3,440,000 | 4,059,200 | ||
General Electric Capital Corp.: | ||||
5.625% 9/15/17 | 5,858,000 | 6,470,782 | ||
5.625% 5/1/18 | 25,000,000 | 27,576,100 | ||
5.875% 1/14/38 | 14,000,000 | 14,435,022 | ||
6.375% 11/15/67 (l) | 9,000,000 | 8,640,000 | ||
GMAC LLC: | ||||
6.75% 12/1/14 | 4,595,000 | 4,549,050 | ||
8% 12/31/18 | 975,000 | 938,438 | ||
8% 11/1/31 | 2,190,000 | 2,146,200 | ||
Household Finance Corp. 6.375% 10/15/11 | 1,860,000 | 1,964,744 | ||
HSBC Finance Corp.: | ||||
5.25% 1/14/11 | 1,308,000 | 1,328,279 | ||
5.25% 1/15/14 | 1,054,000 | 1,128,579 | ||
National Money Mart Co. 10.375% 12/15/16 | 2,975,000 | 3,101,438 | ||
ORIX Corp. 5.48% 11/22/11 | 385,000 | 401,187 | ||
SLM Corp.: | ||||
0.7278% 10/25/11 (l) | 12,343,000 | 11,739,205 | ||
0.7371% 3/15/11 (l) | 112,000 | 110,905 | ||
8% 3/25/20 | 5,103,000 | 4,465,227 | ||
| 137,049,549 | |||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Diversified Financial Services - 1.7% | ||||
Azovstal Capital BV 9.125% 2/28/11 | $ 375,000 | $ 375,938 | ||
Bank of America Corp.: | ||||
5.75% 12/1/17 | 4,590,000 | 4,859,249 | ||
8% (l) | 970,000 | 979,700 | ||
8.125% (l) | 1,290,000 | 1,309,350 | ||
Bank of Georgia JSC 9% 2/8/12 (Issued by BG Finance BV for Bank of Georgia JSC) | 540,000 | 534,600 | ||
Calpine Construction Finance Co. LP 8% 6/1/16 (f) | 2,835,000 | 2,962,575 | ||
CCO Holdings LLC/CCO Holdings Capital Corp. 7.875% 4/30/18 (f) | 865,000 | 890,950 | ||
Citigroup, Inc.: | ||||
4.75% 5/19/15 | 30,435,000 | 31,353,620 | ||
5.375% 8/9/20 | 10,933,000 | 11,042,264 | ||
5.5% 4/11/13 | 13,549,000 | 14,385,434 | ||
6.125% 5/15/18 | 15,634,000 | 16,878,920 | ||
6.5% 1/18/11 | 1,307,000 | 1,334,430 | ||
6.5% 8/19/13 | 10,774,000 | 11,783,222 | ||
City of Buenos Aires 12.5% 4/6/15 (f) | 2,335,000 | 2,440,075 | ||
GMAC, Inc. 8% 3/15/20 (f) | 4,700,000 | 4,805,750 | ||
Icahn Enterprises LP/Icahn Enterprises Finance Corp.: | ||||
7.75% 1/15/16 | 2,605,000 | 2,591,975 | ||
8% 1/15/18 | 4,655,000 | 4,631,725 | ||
ILFC E-Capital Trust II 6.25% 12/21/65 (f)(l) | 1,250,000 | 793,750 | ||
Ineos Finance PLC 9% 5/15/15 (f) | 1,715,000 | 1,766,450 | ||
International Lease Finance Corp.: | ||||
5.4% 2/15/12 | 2,864,000 | 2,803,140 | ||
5.625% 9/20/13 | 380,000 | 356,725 | ||
5.65% 6/1/14 | 11,820,000 | 10,963,050 | ||
6.375% 3/25/13 | 1,858,000 | 1,795,293 | ||
6.625% 11/15/13 | 4,281,000 | 4,120,463 | ||
JPMorgan Chase & Co.: | ||||
4.891% 9/1/15 (l) | 2,729,000 | 2,714,083 | ||
4.95% 3/25/20 | 17,148,000 | 18,130,049 | ||
LBI Escrow Corp. 8% 11/1/17 (f) | 3,820,000 | 4,106,500 | ||
Myriad International Holding BV 6.375% 7/28/17 (f) | 855,000 | 871,031 | ||
NSG Holdings II, LLC 7.75% 12/15/25 (f) | 9,115,000 | 8,066,775 | ||
Offshore Group Investment Ltd. 11.5% 8/1/15 (f) | 1,985,000 | 1,980,038 | ||
PHH Corp. 9.25% 3/1/16 (f) | 1,610,000 | 1,618,050 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Diversified Financial Services - continued | ||||
Prime Property Funding, Inc.: | ||||
5.125% 6/1/15 (f) | $ 1,090,000 | $ 1,064,073 | ||
5.5% 1/15/14 (f) | 695,000 | 702,683 | ||
5.7% 4/15/17 (f) | 1,696,000 | 1,557,593 | ||
Rearden G Holdings Eins GmbH 7.875% 3/30/20 (f) | 460,000 | 483,000 | ||
Sunwest Management, Inc. 7.9726% 2/10/15 | 364,436 | 278,648 | ||
Teachers Insurance & Annuity Association of America 6.85% 12/16/39 (f) | 6,200,000 | 7,784,298 | ||
TECO Finance, Inc.: | ||||
4% 3/15/16 | 2,562,000 | 2,680,254 | ||
5.15% 3/15/20 | 3,681,000 | 4,021,680 | ||
TMK Capital SA 10% 7/29/11 | 1,700,000 | 1,763,750 | ||
Trans Union LLC/Trans Union Financing Corp. 11.375% 6/15/18 (f) | 1,235,000 | 1,343,063 | ||
TransCapitalInvest Ltd. 5.67% 3/5/14 (f) | 3,238,000 | 3,427,786 | ||
UPC Germany GmbH 8.125% 12/1/17 (f) | 1,950,000 | 2,006,160 | ||
Volkswagen International Finance NV 4% 8/12/20 (f) | 5,602,000 | 5,800,109 | ||
Wind Acquisition Holdings Finance SA 12.25% 7/15/17 pay-in-kind (f)(l) | 5,121,570 | 5,293,996 | ||
ZFS Finance USA Trust II 6.45% 12/15/65 (f)(l) | 5,755,000 | 5,294,600 | ||
ZFS Finance USA Trust IV 5.875% 5/9/62 (f)(l) | 1,673,000 | 1,497,921 | ||
ZFS Finance USA Trust V 6.5% 5/9/67 (f)(l) | 3,125,000 | 2,828,125 | ||
| 221,072,913 | |||
Insurance - 1.2% | ||||
Allstate Corp.: | ||||
5.55% 5/9/35 | 7,505,000 | 7,927,922 | ||
6.2% 5/16/14 | 6,893,000 | 8,010,335 | ||
American International Group, Inc. 8.175% 5/15/68 (l) | 7,875,000 | 6,752,813 | ||
Assurant, Inc. 5.625% 2/15/14 | 1,912,000 | 2,040,376 | ||
Axis Capital Holdings Ltd. 5.75% 12/1/14 | 558,000 | 598,978 | ||
Great-West Life & Annuity Insurance Co. 7.153% 5/16/46 (f)(l) | 1,491,000 | 1,408,995 | ||
Jackson National Life Global Funding 5.375% 5/8/13 (f) | 753,000 | 816,864 | ||
Liberty Mutual Group, Inc. 6.5% 3/15/35 (f) | 594,000 | 541,239 | ||
Massachusetts Mutual Life Insurance Co. 8.875% 6/1/39 (f) | 7,475,000 | 10,643,271 | ||
MetLife, Inc.: | ||||
2.375% 2/6/14 | 5,900,000 | 5,924,951 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Insurance - continued | ||||
MetLife, Inc.: - continued | ||||
4.75% 2/8/21 | $ 4,032,000 | $ 4,219,359 | ||
5% 6/15/15 | 1,163,000 | 1,274,925 | ||
5.875% 2/6/41 | 3,113,000 | 3,405,298 | ||
6.125% 12/1/11 | 990,000 | 1,047,635 | ||
6.75% 6/1/16 | 7,610,000 | 8,966,307 | ||
Metropolitan Life Global Funding I: | ||||
5.125% 4/10/13 (f) | 559,000 | 608,912 | ||
5.125% 6/10/14 (f) | 6,751,000 | 7,479,784 | ||
Monumental Global Funding II 5.65% 7/14/11 (f) | 1,652,000 | 1,696,647 | ||
Monumental Global Funding III 5.5% 4/22/13 (f) | 2,202,000 | 2,383,696 | ||
New York Life Insurance Co. 6.75% 11/15/39 (f) | 4,378,000 | 5,595,539 | ||
Northwestern Mutual Life Insurance Co. 6.063% 3/30/40 (f) | 5,160,000 | 6,096,421 | ||
Pacific Life Global Funding 5.15% 4/15/13 (f) | 11,281,000 | 12,135,107 | ||
Pacific Life Insurance Co. 9.25% 6/15/39 (f) | 7,656,000 | 9,871,019 | ||
Pacific LifeCorp 6% 2/10/20 (f) | 5,766,000 | 6,234,764 | ||
Prudential Financial, Inc.: | ||||
3.625% 9/17/12 | 11,000,000 | 11,414,392 | ||
4.75% 9/17/15 | 11,000,000 | 11,799,700 | ||
5.15% 1/15/13 | 2,167,000 | 2,317,301 | ||
5.4% 6/13/35 | 452,000 | 445,282 | ||
5.5% 3/15/16 | 425,000 | 464,527 | ||
5.7% 12/14/36 | 384,000 | 393,492 | ||
6.2% 1/15/15 | 1,180,000 | 1,326,600 | ||
7.375% 6/15/19 | 3,230,000 | 3,931,550 | ||
8.875% 6/15/38 (l) | 1,915,000 | 2,087,350 | ||
Symetra Financial Corp. 6.125% 4/1/16 (f) | 5,181,000 | 5,343,942 | ||
The Chubb Corp. 5.75% 5/15/18 | 4,035,000 | 4,656,721 | ||
| 159,862,014 | |||
Real Estate Investment Trusts - 0.5% | ||||
AvalonBay Communities, Inc.: | ||||
4.95% 3/15/13 | 367,000 | 389,761 | ||
5.5% 1/15/12 | 1,759,000 | 1,855,372 | ||
Camden Property Trust: | ||||
5.375% 12/15/13 | 4,073,000 | 4,387,831 | ||
5.875% 11/30/12 | 670,000 | 718,816 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Real Estate Investment Trusts - continued | ||||
Developers Diversified Realty Corp.: | ||||
5.25% 4/15/11 | $ 3,363,000 | $ 3,373,002 | ||
5.375% 10/15/12 | 3,206,000 | 3,201,835 | ||
7.5% 4/1/17 | 4,686,000 | 4,717,912 | ||
7.875% 9/1/20 | 323,000 | 328,857 | ||
Duke Realty LP: | ||||
4.625% 5/15/13 | 949,000 | 985,287 | ||
5.875% 8/15/12 | 1,017,000 | 1,068,241 | ||
Equity One, Inc.: | ||||
6% 9/15/17 | 890,000 | 916,883 | ||
6.25% 12/15/14 | 5,251,000 | 5,624,493 | ||
6.25% 1/15/17 | 494,000 | 516,620 | ||
Federal Realty Investment Trust: | ||||
5.4% 12/1/13 | 441,000 | 478,941 | ||
5.9% 4/1/20 | 2,450,000 | 2,731,850 | ||
6% 7/15/12 | 2,933,000 | 3,146,308 | ||
6.2% 1/15/17 | 620,000 | 700,637 | ||
HMB Capital Trust V 4.1371% 12/15/36 (b)(f)(l) | 270,000 | 0 | ||
HRPT Properties Trust: | ||||
5.75% 11/1/15 | 890,000 | 942,313 | ||
6.25% 6/15/17 | 1,232,000 | 1,292,825 | ||
6.65% 1/15/18 | 656,000 | 703,528 | ||
Omega Healthcare Investors, Inc.: | ||||
7% 4/1/14 | 7,000,000 | 7,140,000 | ||
7% 1/15/16 | 3,060,000 | 3,128,850 | ||
Rouse Co.: | ||||
5.375% 11/26/13 (b) | 145,000 | 165,300 | ||
7.2% 9/15/12 (b) | 10,000 | 11,975 | ||
Senior Housing Properties Trust: | ||||
6.75% 4/15/20 | 2,325,000 | 2,383,125 | ||
8.625% 1/15/12 | 250,000 | 262,500 | ||
UDR, Inc. 5.5% 4/1/14 | 5,222,000 | 5,584,431 | ||
Washington (REIT) 5.95% 6/15/11 | 3,701,000 | 3,809,883 | ||
| 60,567,376 | |||
Real Estate Management & Development - 1.1% | ||||
AMB Property LP 5.9% 8/15/13 | 2,580,000 | 2,749,996 | ||
Arden Realty LP 5.2% 9/1/11 | 1,339,000 | 1,377,247 | ||
BioMed Realty LP 6.125% 4/15/20 (f) | 3,359,000 | 3,629,913 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Real Estate Management & Development - continued | ||||
Brandywine Operating Partnership LP: | ||||
5.625% 12/15/10 | $ 4,192,000 | $ 4,233,220 | ||
5.7% 5/1/17 | 5,943,000 | 6,021,263 | ||
5.75% 4/1/12 | 2,512,000 | 2,595,115 | ||
Colonial Properties Trust 6.875% 8/15/12 | 4,000,000 | 4,130,000 | ||
Colonial Realty LP 6.05% 9/1/16 | 2,000,000 | 1,934,624 | ||
Digital Realty Trust LP 4.5% 7/15/15 (f) | 4,981,000 | 5,044,035 | ||
Duke Realty LP: | ||||
5.4% 8/15/14 | 5,421,000 | 5,715,604 | ||
5.625% 8/15/11 | 3,706,000 | 3,787,358 | ||
5.95% 2/15/17 | 1,109,000 | 1,189,161 | ||
6.25% 5/15/13 | 14,424,000 | 15,589,312 | ||
6.5% 1/15/18 | 3,795,000 | 4,152,569 | ||
6.75% 3/15/20 | 10,000,000 | 11,177,250 | ||
ERP Operating LP: | ||||
4.75% 7/15/20 | 6,820,000 | 7,138,992 | ||
5.25% 9/15/14 | 1,310,000 | 1,446,619 | ||
5.375% 8/1/16 | 2,768,000 | 3,048,191 | ||
5.5% 10/1/12 | 3,655,000 | 3,944,001 | ||
5.75% 6/15/17 | 11,387,000 | 12,856,572 | ||
Forest City Enterprises, Inc. 7.625% 6/1/15 | 100,000 | 91,000 | ||
Highwoods/Forsyth LP 5.85% 3/15/17 | 615,000 | 632,677 | ||
Host Hotels & Resorts LP 9% 5/15/17 | 2,135,000 | 2,316,475 | ||
Liberty Property LP: | ||||
5.125% 3/2/15 | 1,190,000 | 1,257,632 | ||
5.5% 12/15/16 | 1,523,000 | 1,640,796 | ||
6.625% 10/1/17 | 4,264,000 | 4,879,837 | ||
Mack-Cali Realty LP 7.75% 2/15/11 | 976,000 | 999,534 | ||
Post Apartment Homes LP 6.3% 6/1/13 | 3,812,000 | 4,116,240 | ||
Reckson Operating Partnership LP 6% 3/31/16 | 3,651,000 | 3,553,931 | ||
Regency Centers LP: | ||||
4.95% 4/15/14 | 611,000 | 641,372 | ||
5.25% 8/1/15 | 2,133,000 | 2,283,037 | ||
5.875% 6/15/17 | 1,056,000 | 1,144,370 | ||
Simon Property Group LP: | ||||
4.2% 2/1/15 | 3,659,000 | 3,910,886 | ||
6.75% 2/1/40 | 6,410,000 | 7,656,207 | ||
Tanger Properties LP: | ||||
6.125% 6/1/20 | 4,395,000 | 4,836,482 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Real Estate Management & Development - continued | ||||
Tanger Properties LP: - continued | ||||
6.15% 11/15/15 | $ 824,000 | $ 910,852 | ||
Toys 'R' Us Property Co. II LLC 8.5% 12/1/17 (f) | 2,455,000 | 2,553,200 | ||
Ventas Realty LP: | ||||
6.5% 6/1/16 | 105,000 | 107,100 | ||
6.5% 6/1/16 | 450,000 | 459,000 | ||
6.625% 10/15/14 | 3,505,000 | 3,610,150 | ||
6.75% 4/1/17 | 250,000 | 257,500 | ||
| 149,619,320 | |||
Thrifts & Mortgage Finance - 0.5% | ||||
Bank of America Corp.: | ||||
3.7% 9/1/15 | 4,630,000 | 4,621,360 | ||
5.625% 7/1/20 | 18,255,000 | 18,820,814 | ||
5.65% 5/1/18 | 12,000,000 | 12,477,804 | ||
6.5% 8/1/16 | 9,000,000 | 10,059,381 | ||
First Niagara Financial Group, Inc. 6.75% 3/19/20 | 7,320,000 | 8,035,501 | ||
Independence Community Bank Corp.: | ||||
2.353% 4/1/14 (l) | 4,218,000 | 4,058,142 | ||
4.9% 9/23/10 | 1,696,000 | 1,698,948 | ||
Wrightwood Capital LLC 10.5% 6/1/14 (b)(f) | 100,000 | 38,000 | ||
| 59,809,950 | |||
TOTAL FINANCIALS | 1,227,231,469 | |||
HEALTH CARE - 0.6% | ||||
Health Care Equipment & Supplies - 0.1% | ||||
Biomet, Inc.: | ||||
10% 10/15/17 | 4,825,000 | 5,235,125 | ||
10.375% 10/15/17 pay-in-kind (l) | 3,155,000 | 3,423,175 | ||
| 8,658,300 | |||
Health Care Providers & Services - 0.4% | ||||
Coventry Health Care, Inc.: | ||||
5.95% 3/15/17 | 1,747,000 | 1,748,691 | ||
6.3% 8/15/14 | 3,618,000 | 3,858,420 | ||
DASA Finance Corp. 8.75% 5/29/18 (f) | 585,000 | 655,785 | ||
Express Scripts, Inc.: | ||||
5.25% 6/15/12 | 7,157,000 | 7,635,474 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
HEALTH CARE - continued | ||||
Health Care Providers & Services - continued | ||||
Express Scripts, Inc.: - continued | ||||
6.25% 6/15/14 | $ 2,629,000 | $ 3,031,048 | ||
HCA, Inc.: | ||||
8.5% 4/15/19 | 1,760,000 | 1,922,800 | ||
9.125% 11/15/14 | 3,905,000 | 4,110,013 | ||
9.25% 11/15/16 | 4,905,000 | 5,236,088 | ||
9.625% 11/15/16 pay-in-kind (l) | 11,255,066 | 12,014,783 | ||
Psychiatric Solutions, Inc. 7.75% 7/15/15 | 420,000 | 425,250 | ||
Rural/Metro Corp. 12.75% 3/15/16 | 995,000 | 1,047,337 | ||
Skilled Healthcare Group, Inc. 11% 1/15/14 | 64,000 | 55,680 | ||
Sun Healthcare Group, Inc. 9.125% 4/15/15 | 10,000 | 10,475 | ||
Vanguard Health Holding Co. II LLC/Vanguard Health Holding Co. II, Inc.: | ||||
8% 2/1/18 | 4,570,000 | 4,478,600 | ||
8% 2/1/18 (f) | 2,330,000 | 2,283,400 | ||
| 48,513,844 | |||
Health Care Technology - 0.0% | ||||
DJO Finance LLC / DJO Finance Corp. 10.875% 11/15/14 | 7,885,000 | 8,456,663 | ||
Pharmaceuticals - 0.1% | ||||
Mylan, Inc.: | ||||
7.625% 7/15/17 (f) | 1,115,000 | 1,156,813 | ||
7.875% 7/15/20 (f) | 995,000 | 1,042,263 | ||
Novartis Capital Corp. 4.125% 2/10/14 | 2,930,000 | 3,204,564 | ||
Roche Holdings, Inc. 5% 3/1/14 (f) | 5,943,000 | 6,633,553 | ||
Valeant Pharmaceuticals International 7.625% 3/15/20 (f) | 1,720,000 | 2,072,600 | ||
| 14,109,793 | |||
TOTAL HEALTH CARE | 79,738,600 | |||
INDUSTRIALS - 1.3% | ||||
Aerospace & Defense - 0.1% | ||||
BAE Systems Holdings, Inc.: | ||||
6.375% 6/1/19 (f) | 8,071,000 | 9,460,108 | ||
6.4% 12/15/11 (f) | 818,000 | 865,026 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
INDUSTRIALS - continued | ||||
Aerospace & Defense - continued | ||||
BE Aerospace, Inc. 8.5% 7/1/18 | $ 2,875,000 | $ 3,076,250 | ||
Esterline Technologies Corp. 7% 8/1/20 (f) | 1,105,000 | 1,124,338 | ||
| 14,525,722 | |||
Airlines - 0.4% | ||||
Air Canada 9.25% 8/1/15 (f) | 4,265,000 | 4,201,025 | ||
American Airlines, Inc. 10.5% 10/15/12 (f) | 3,200,000 | 3,400,000 | ||
American Airlines, Inc. pass-thru trust certificates: | ||||
6.977% 11/23/22 | 934,236 | 789,430 | ||
6.978% 10/1/12 | 178,326 | 179,663 | ||
8.608% 10/1/12 | 960,000 | 960,000 | ||
10.375% 7/2/19 | 1,878,805 | 2,151,232 | ||
AMR Corp. 9% 8/1/12 | 485,000 | 473,481 | ||
Continental Airlines, Inc.: | ||||
pass-thru trust certificates: | ||||
7.875% 7/2/18 | 792,960 | 745,382 | ||
9.798% 4/1/21 | 615,180 | 602,877 | ||
6.648% 3/15/19 | 2,820,535 | 2,858,613 | ||
6.75% 9/15/15 (f) | 3,405,000 | 3,379,463 | ||
6.82% 5/1/18 | 221,731 | 221,731 | ||
6.9% 7/2/19 | 817,032 | 839,501 | ||
Continental Airlines, Inc. 9.25% 5/10/17 | 3,060,000 | 3,182,400 | ||
Delta Air Lines, Inc. pass-thru trust certificates: | ||||
6.821% 8/10/22 | 338,024 | 347,320 | ||
7.57% 11/18/10 | 11,016,000 | 11,126,160 | ||
8.021% 8/10/22 | 1,640,643 | 1,613,573 | ||
8.954% 8/10/14 | 2,174,767 | 2,231,311 | ||
Northwest Airlines, Inc. pass-thru trust certificates 8.028% 11/1/17 | 910,740 | 919,847 | ||
U.S. Airways pass-thru trust certificates: | ||||
6.85% 7/30/19 | 1,918,309 | 1,815,679 | ||
8.36% 7/20/20 | 1,320,837 | 1,318,856 | ||
United Air Lines, Inc.: | ||||
9.875% 8/1/13 (f) | 785,000 | 834,063 | ||
12% 11/1/13 (f) | 995,000 | 1,064,650 | ||
United Air Lines, Inc. pass-thru trust certificates: | ||||
Class B, 7.336% 7/2/19 | 838,014 | 754,212 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
INDUSTRIALS - continued | ||||
Airlines - continued | ||||
United Air Lines, Inc. pass-thru trust certificates: - continued | ||||
9.75% 1/15/17 | $ 2,284,141 | $ 2,529,686 | ||
12% 1/15/16 (f) | 828,962 | 902,491 | ||
| 49,442,646 | |||
Building Products - 0.0% | ||||
Building Materials Corp. of America 6.875% 8/15/18 (f) | 2,550,000 | 2,499,000 | ||
Commercial Services & Supplies - 0.2% | ||||
ACCO Brands Corp. 10.625% 3/15/15 | 795,000 | 876,488 | ||
ARAMARK Corp.: | ||||
3.9656% 2/1/15 (l) | 5,440,000 | 4,977,600 | ||
8.5% 2/1/15 | 1,775,000 | 1,828,250 | ||
EnergySolutions, Inc. / EnergySolutions LLC 10.75% 8/15/18 (f) | 955,000 | 977,634 | ||
International Lease Finance Corp.: | ||||
6.5% 9/1/14 (f) | 1,620,000 | 1,656,450 | ||
6.75% 9/1/16 (f) | 1,620,000 | 1,652,400 | ||
8.625% 9/15/15 (f) | 2,745,000 | 2,765,588 | ||
8.75% 3/15/17 (f) | 3,990,000 | 4,019,925 | ||
8.875% 9/1/17 | 4,870,000 | 4,918,700 | ||
| 23,673,035 | |||
Construction & Engineering - 0.0% | ||||
Amsted Industries, Inc. 8.125% 3/15/18 (f) | 2,535,000 | 2,579,363 | ||
Odebrecht Finance Ltd. 7% 4/21/20 (f) | 460,000 | 487,600 | ||
Odebrecht Overseas Ltd. 9.625% | 250,000 | 253,125 | ||
| 3,320,088 | |||
Industrial Conglomerates - 0.2% | ||||
General Electric Co. 5.25% 12/6/17 | 17,730,000 | 19,892,812 | ||
Otter Tail Corp. 9% 12/15/16 | 2,410,000 | 2,578,700 | ||
Sequa Corp.: | ||||
11.75% 12/1/15 (f) | 1,415,000 | 1,464,525 | ||
13.5% 12/1/15 pay-in-kind (f) | 901,711 | 944,542 | ||
| 24,880,579 | |||
Machinery - 0.1% | ||||
Accuride Corp. 9.5% 8/1/18 (f) | 1,515,000 | 1,552,875 | ||
ArvinMeritor, Inc. 8.125% 9/15/15 | 3,250,000 | 3,258,125 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
INDUSTRIALS - continued | ||||
Machinery - continued | ||||
Navistar International Corp. 8.25% 11/1/21 | $ 2,655,000 | $ 2,761,200 | ||
RBS Global, Inc./Rexnord Corp.: | ||||
8.5% 5/1/18 | 2,960,000 | 2,989,600 | ||
11.75% 8/1/16 | 1,860,000 | 1,990,200 | ||
SPX Corp. 6.875% 9/1/17 (f) | 3,260,000 | 3,333,350 | ||
| 15,885,350 | |||
Marine - 0.1% | ||||
Navios Maritime Holdings, Inc.: | ||||
8.875% 11/1/17 (f) | 1,970,000 | 2,038,950 | ||
9.5% 12/15/14 | 3,070,000 | 3,062,325 | ||
| 5,101,275 | |||
Professional Services - 0.0% | ||||
FTI Consulting, Inc. 7.625% 6/15/13 | 1,395,000 | 1,412,438 | ||
Road & Rail - 0.2% | ||||
Avis Budget Car Rental LLC/Avis Budget Finance, Inc.: | ||||
7.625% 5/15/14 | 4,105,000 | 4,105,000 | ||
7.75% 5/15/16 | 3,025,000 | 2,934,250 | ||
Hertz Corp.: | ||||
8.875% 1/1/14 | 6,065,000 | 6,231,788 | ||
10.5% 1/1/16 | 2,240,000 | 2,374,400 | ||
Kansas City Southern de Mexico, SA de CV 12.5% 4/1/16 | 1,135,000 | 1,362,000 | ||
Swift Transportation Co., Inc. 12.5% 5/15/17 (f) | 2,780,000 | 2,766,100 | ||
| 19,773,538 | |||
Trading Companies & Distributors - 0.0% | ||||
Aircastle Ltd. 9.75% 8/1/18 (f) | 495,000 | 501,188 | ||
TOTAL INDUSTRIALS | 161,014,859 | |||
INFORMATION TECHNOLOGY - 0.5% | ||||
Communications Equipment - 0.1% | ||||
Avaya, Inc.: | ||||
9.75% 11/1/15 | 1,955,000 | 1,842,588 | ||
10.125% 11/1/15 pay-in-kind (l) | 6,052,385 | 5,719,504 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
INFORMATION TECHNOLOGY - continued | ||||
Communications Equipment - continued | ||||
Lucent Technologies, Inc.: | ||||
6.45% 3/15/29 | $ 5,400,000 | $ 3,645,000 | ||
6.5% 1/15/28 | 1,940,000 | 1,309,500 | ||
| 12,516,592 | |||
Computers & Peripherals - 0.0% | ||||
Seagate HDD Cayman 6.875% 5/1/20 (f) | 1,015,000 | 995,969 | ||
Seagate Technology HDD Holdings 6.8% 10/1/16 | 4,140,000 | 4,181,400 | ||
| 5,177,369 | |||
Electronic Equipment & Components - 0.1% | ||||
Intcomex, Inc. 13.25% 12/15/14 (f) | 1,510,000 | 1,593,050 | ||
Jabil Circuit, Inc.: | ||||
7.75% 7/15/16 | 2,915,000 | 3,140,913 | ||
8.25% 3/15/18 | 1,025,000 | 1,114,688 | ||
Tyco Electronics Group SA: | ||||
5.95% 1/15/14 | 2,950,000 | 3,300,271 | ||
6% 10/1/12 | 3,877,000 | 4,195,879 | ||
6.55% 10/1/17 | 1,383,000 | 1,617,597 | ||
| 14,962,398 | |||
Internet Software & Services - 0.1% | ||||
Equinix, Inc. 8.125% 3/1/18 | 2,530,000 | 2,656,500 | ||
Terremark Worldwide, Inc. 12% 6/15/17 | 3,465,000 | 3,898,125 | ||
| 6,554,625 | |||
IT Services - 0.0% | ||||
Fidelity National Information Services, Inc.: | ||||
7.625% 7/15/17 (f) | 800,000 | 832,000 | ||
7.875% 7/15/20 (f) | 1,070,000 | 1,123,500 | ||
SunGard Data Systems, Inc. 10.25% 8/15/15 | 3,795,000 | 3,956,288 | ||
| 5,911,788 | |||
Office Electronics - 0.1% | ||||
Xerox Capital Trust I 8% 2/1/27 | 8,230,000 | 8,401,439 | ||
Xerox Corp. 5.5% 5/15/12 | 1,602,000 | 1,709,654 | ||
| 10,111,093 | |||
Semiconductors & Semiconductor Equipment - 0.1% | ||||
Advanced Micro Devices, Inc. 7.75% 8/1/20 (f) | 2,085,000 | 2,069,363 | ||
Amkor Technology, Inc. 7.375% 5/1/18 (f) | 2,060,000 | 2,054,850 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
INFORMATION TECHNOLOGY - continued | ||||
Semiconductors & Semiconductor Equipment - continued | ||||
Freescale Semiconductor, Inc.: | ||||
9.125% 12/15/14 pay-in-kind (l) | $ 1,966,560 | $ 1,819,068 | ||
9.25% 4/15/18 (f) | 2,385,000 | 2,385,000 | ||
10.125% 12/15/16 | 3,320,000 | 2,739,000 | ||
Viasystems, Inc. 12% 1/15/15 (f) | 1,590,000 | 1,729,125 | ||
| 12,796,406 | |||
TOTAL INFORMATION TECHNOLOGY | 68,030,271 | |||
MATERIALS - 1.1% | ||||
Chemicals - 0.5% | ||||
Berry Plastics Corp.: | ||||
5.2759% 2/15/15 (l) | 1,975,000 | 1,856,500 | ||
8.25% 11/15/15 | 3,805,000 | 3,805,000 | ||
8.875% 9/15/14 | 2,455,000 | 2,332,250 | ||
9.5% 5/15/18 (f) | 3,800,000 | 3,524,500 | ||
Braskem Finance Ltd. 7% 5/7/20 (f) | 410,000 | 426,400 | ||
Dow Chemical Co.: | ||||
4.85% 8/15/12 | 9,460,000 | 9,983,904 | ||
7.6% 5/15/14 | 16,104,000 | 18,774,639 | ||
Huntsman International LLC: | ||||
5.5% 6/30/16 | 3,195,000 | 2,979,338 | ||
8.625% 3/15/20 (f) | 1,700,000 | 1,700,000 | ||
Lubrizol Corp. 8.875% 2/1/19 | 928,000 | 1,193,068 | ||
Lyondell Chemical Co. 11% 5/1/18 | 3,955,000 | 4,296,119 | ||
NOVA Chemicals Corp.: | ||||
3.7476% 11/15/13 (l) | 2,720,000 | 2,529,600 | ||
6.5% 1/15/12 | 2,290,000 | 2,341,525 | ||
8.375% 11/1/16 | 2,825,000 | 2,888,563 | ||
8.625% 11/1/19 | 1,935,000 | 2,012,400 | ||
| 60,643,806 | |||
Construction Materials - 0.0% | ||||
CRH America, Inc. 6% 9/30/16 | 1,833,000 | 2,014,920 | ||
Texas Industries, Inc. 9.25% 8/15/20 (f) | 3,100,000 | 3,084,500 | ||
| 5,099,420 | |||
Containers & Packaging - 0.1% | ||||
Crown Cork & Seal, Inc. 7.375% 12/15/26 | 4,250,000 | 4,016,250 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
MATERIALS - continued | ||||
Containers & Packaging - continued | ||||
Pactiv Corp.: | ||||
5.875% 7/15/12 | $ 1,713,000 | $ 1,816,948 | ||
6.4% 1/15/18 | 1,749,000 | 1,813,772 | ||
Vitro SAB de CV 8.625% 2/1/12 (b) | 6,915,000 | 3,388,350 | ||
| 11,035,320 | |||
Metals & Mining - 0.5% | ||||
Algoma Acquisition Corp. 9.875% 6/15/15 (f) | 1,200,000 | 1,050,000 | ||
Anglo American Capital PLC 9.375% 4/8/14 (f) | 5,953,000 | 7,240,830 | ||
BHP Billiton Financial (USA) Ltd. 5.125% 3/29/12 | 1,975,000 | 2,096,439 | ||
Corporacion Nacional del Cobre (Codelco) 6.375% 11/30/12 (f) | 2,002,000 | 2,208,290 | ||
CSN Islands XI Corp. 6.875% 9/21/19 (f) | 1,500,000 | 1,605,000 | ||
Edgen Murray Corp. 12.25% 1/15/15 (f) | 4,970,000 | 4,100,250 | ||
Essar Steel Algoma, Inc. 9.375% 3/15/15 (f) | 3,100,000 | 3,061,250 | ||
Evraz Group SA 8.875% 4/24/13 (f) | 2,055,000 | 2,142,338 | ||
FMG Finance Property Ltd.: | ||||
10% 9/1/13 (f) | 5,580,000 | 6,082,200 | ||
10.625% 9/1/16 (f) | 789,000 | 931,020 | ||
McJunkin Red Man Corp. 9.5% 12/15/16 (f) | 5,660,000 | 5,009,100 | ||
Metinvest BV 10.25% 5/20/15 (f) | 810,000 | 838,350 | ||
Rio Tinto Finance (USA) Ltd.: | ||||
5.875% 7/15/13 | 3,264,000 | 3,633,237 | ||
6.5% 7/15/18 | 1,458,000 | 1,726,266 | ||
Severstal Columbus LLC 10.25% 2/15/18 (f) | 2,940,000 | 3,057,600 | ||
Southern Copper Corp. 6.75% 4/16/40 | 1,025,000 | 1,101,875 | ||
Steel Dynamics, Inc.: | ||||
6.75% 4/1/15 | 2,240,000 | 2,268,000 | ||
7.375% 11/1/12 | 1,985,000 | 2,094,175 | ||
Tube City IMS Corp. 9.75% 2/1/15 | 1,700,000 | 1,738,250 | ||
United States Steel Corp. 6.65% 6/1/37 | 2,648,000 | 2,330,240 | ||
Vale Overseas Ltd. 6.25% 1/23/17 | 5,007,000 | 5,614,199 | ||
| 59,928,909 | |||
Paper & Forest Products - 0.0% | ||||
Boise Paper LLC/Boise Co-Issuer Co. 8% 4/1/20 | 1,165,000 | 1,188,300 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
MATERIALS - continued | ||||
Paper & Forest Products - continued | ||||
Verso Paper Holdings LLC/Verso Paper, Inc.: | ||||
9.125% 8/1/14 | $ 1,345,000 | $ 1,297,925 | ||
11.5% 7/1/14 | 3,795,000 | 4,041,675 | ||
| 6,527,900 | |||
TOTAL MATERIALS | 143,235,355 | |||
TELECOMMUNICATION SERVICES - 2.5% | ||||
Diversified Telecommunication Services - 1.5% | ||||
Alestra SA de RL de CV 11.75% 8/11/14 | 1,185,000 | 1,309,425 | ||
AT&T, Inc.: | ||||
2.5% 8/15/15 | 7,000,000 | 7,076,244 | ||
5.8% 2/15/19 | 5,216,000 | 6,152,126 | ||
6.3% 1/15/38 | 31,601,000 | 36,261,926 | ||
BellSouth Capital Funding Corp. 7.875% 2/15/30 | 899,000 | 1,136,310 | ||
British Telecommunications PLC 9.375% 12/15/10 (e) | 2,717,000 | 2,777,652 | ||
CenturyTel, Inc. 7.6% 9/15/39 | 7,184,000 | 6,999,350 | ||
Citizens Communications Co.: | ||||
7.875% 1/15/27 | 925,000 | 901,875 | ||
9% 8/15/31 | 2,260,000 | 2,299,550 | ||
Frontier Communications Corp.: | ||||
7.875% 4/15/15 | 1,545,000 | 1,626,113 | ||
8.125% 10/1/18 | 3,615,000 | 3,831,900 | ||
8.25% 5/1/14 | 2,245,000 | 2,421,682 | ||
8.25% 4/15/17 | 2,270,000 | 2,423,225 | ||
8.5% 4/15/20 | 775,000 | 817,625 | ||
Global Crossing Ltd. 12% 9/15/15 | 2,160,000 | 2,397,816 | ||
Indosat Palapa Co. BV 7.375% 7/29/20 (f) | 710,000 | 763,250 | ||
Intelsat Bermuda Ltd. 12% 2/4/17 pay-in-kind (l) | 7,164,320 | 7,376,016 | ||
Intelsat Ltd.: | ||||
6.5% 11/1/13 | 3,700,000 | 3,533,500 | ||
7.625% 4/15/12 | 3,665,000 | 3,710,813 | ||
11.25% 6/15/16 | 1,635,000 | 1,753,538 | ||
Qwest Communications International, Inc.: | ||||
7.125% 4/1/18 (f) | 2,450,000 | 2,529,625 | ||
7.5% 2/15/14 | 1,310,000 | 1,334,563 | ||
8% 10/1/15 (f) | 2,050,000 | 2,203,750 | ||
Sprint Capital Corp. 6.875% 11/15/28 | 15,285,000 | 12,762,975 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
TELECOMMUNICATION SERVICES - continued | ||||
Diversified Telecommunication Services - continued | ||||
Telecom Italia Capital SA: | ||||
4.95% 9/30/14 | $ 3,208,000 | $ 3,372,439 | ||
5.25% 10/1/15 | 1,177,000 | 1,253,090 | ||
6.999% 6/4/18 | 1,793,000 | 2,028,955 | ||
7.175% 6/18/19 | 14,000,000 | 16,139,102 | ||
7.2% 7/18/36 | 7,240,000 | 7,798,378 | ||
Telefonica Emisiones SAU: | ||||
5.134% 4/27/20 | 10,000,000 | 10,780,330 | ||
6.421% 6/20/16 | 1,162,000 | 1,339,544 | ||
U.S. West Communications 7.5% 6/15/23 | 3,760,000 | 3,797,600 | ||
Verizon Communications, Inc.: | ||||
6.1% 4/15/18 | 6,000,000 | 7,072,614 | ||
6.25% 4/1/37 | 2,348,000 | 2,684,142 | ||
6.4% 2/15/38 | 7,621,000 | 8,930,981 | ||
6.9% 4/15/38 | 6,295,000 | 7,794,664 | ||
Verizon New England, Inc. 6.5% 9/15/11 | 891,000 | 940,002 | ||
Verizon New York, Inc. 6.875% 4/1/12 | 2,653,000 | 2,866,620 | ||
Wind Acquisition Finance SA 11.75% 7/15/17 (f) | 4,535,000 | 4,988,500 | ||
| 196,187,810 | |||
Wireless Telecommunication Services - 1.0% | ||||
Cleveland Unlimited, Inc. 13.5% 12/15/10 (f)(l) | 1,260,000 | 1,260,000 | ||
Cricket Communications, Inc.: | ||||
7.75% 5/15/16 | 2,905,000 | 2,999,413 | ||
9.375% 11/1/14 | 1,185,000 | 1,199,813 | ||
Digicel Group Ltd.: | ||||
8.25% 9/1/17 (f) | 2,020,000 | 2,060,400 | ||
8.875% 1/15/15 (f) | 4,030,000 | 4,050,150 | ||
9.125% 1/15/15 pay-in-kind (f)(l) | 3,070,000 | 3,085,350 | ||
12% 4/1/14 (f) | 3,545,000 | 4,050,163 | ||
DIRECTV Holdings LLC/DIRECTV Financing, Inc.: | ||||
4.75% 10/1/14 | 9,282,000 | 10,028,291 | ||
5.875% 10/1/19 | 11,570,000 | 12,988,227 | ||
6.35% 3/15/40 | 3,541,000 | 3,908,616 | ||
Intelsat Jackson Holdings Ltd.: | ||||
9.5% 6/15/16 | 4,770,000 | 5,068,125 | ||
11.5% 6/15/16 | 7,175,000 | 7,713,125 | ||
Intelsat Subsidiary Holding Co. Ltd.: | ||||
8.875% 1/15/15 (f) | 550,000 | 565,125 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
TELECOMMUNICATION SERVICES - continued | ||||
Wireless Telecommunication Services - continued | ||||
Intelsat Subsidiary Holding Co. Ltd.: - continued | ||||
8.875% 1/15/15 | $ 6,110,000 | $ 6,308,575 | ||
MetroPCS Wireless, Inc.: | ||||
9.25% 11/1/14 | 4,060,000 | 4,222,400 | ||
9.25% 11/1/14 | 1,560,000 | 1,626,300 | ||
Millicom International Cellular SA 10% 12/1/13 | 3,755,000 | 3,877,038 | ||
Mobile Telesystems Finance SA 8% 1/28/12 (f) | 613,000 | 643,650 | ||
MTS International Funding Ltd. 8.625% 6/22/20 (f) | 1,055,000 | 1,201,434 | ||
Nextel Communications, Inc.: | ||||
5.95% 3/15/14 | 6,545,000 | 6,324,106 | ||
6.875% 10/31/13 | 9,105,000 | 9,082,238 | ||
7.375% 8/1/15 | 4,995,000 | 4,945,050 | ||
NII Capital Corp.: | ||||
8.875% 12/15/19 | 2,695,000 | 2,897,125 | ||
10% 8/15/16 | 3,560,000 | 3,991,650 | ||
Orascom Telecom Finance SCA 7.875% 2/8/14 (f) | 2,635,000 | 2,490,075 | ||
Pakistan Mobile Communications Ltd. 8.625% 11/13/13 (f) | 3,170,000 | 3,043,200 | ||
Sprint Nextel Corp. 6% 12/1/16 | 5,715,000 | 5,336,381 | ||
Telecom Personal SA 9.25% 12/22/10 (f) | 1,455,000 | 1,484,100 | ||
Vimpel Communications 8.375% 4/30/13 (Issued by VIP Finance Ireland Ltd. for Vimpel Communications) (f) | 1,545,000 | 1,641,563 | ||
Vodafone Group PLC: | ||||
5% 12/16/13 | 2,296,000 | 2,509,576 | ||
5.5% 6/15/11 | 2,760,000 | 2,860,370 | ||
| 123,461,629 | |||
TOTAL TELECOMMUNICATION SERVICES | 319,649,439 | |||
UTILITIES - 1.6% | ||||
Electric Utilities - 0.6% | ||||
AmerenUE 6.4% 6/15/17 | 1,753,000 | 2,054,719 | ||
Commonwealth Edison Co. 5.4% 12/15/11 | 2,948,000 | 3,107,838 | ||
EDP Finance BV: | ||||
4.9% 10/1/19 (f) | 6,700,000 | 6,201,058 | ||
6% 2/2/18 (f) | 9,619,000 | 9,633,198 | ||
Empresa Distribuidora y Comercializadora Norte SA 10.5% 10/9/17 | 295,000 | 306,800 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
UTILITIES - continued | ||||
Electric Utilities - continued | ||||
FirstEnergy Solutions Corp.: | ||||
4.8% 2/15/15 | $ 2,432,000 | $ 2,593,619 | ||
6.05% 8/15/21 | 3,544,000 | 3,755,304 | ||
Illinois Power Co. 6.125% 11/15/17 | 3,112,000 | 3,590,507 | ||
Intergen NV 9% 6/30/17 (f) | 5,270,000 | 5,414,925 | ||
IPALCO Enterprises, Inc. 7.25% 4/1/16 (f) | 4,440,000 | 4,639,800 | ||
Majapahit Holding BV: | ||||
7.75% 10/17/16 (Reg. S) | 1,440,000 | 1,684,800 | ||
7.75% 1/20/20 (f) | 850,000 | 1,015,750 | ||
8% 8/7/19 (f) | 635,000 | 768,350 | ||
Mirant Americas Generation LLC: | ||||
8.5% 10/1/21 | 3,570,000 | 3,248,700 | ||
9.125% 5/1/31 | 3,775,000 | 3,383,344 | ||
National Power Corp. 6.875% 11/2/16 (f) | 715,000 | 832,975 | ||
Nevada Power Co. 6.5% 5/15/18 | 790,000 | 947,291 | ||
Oncor Electric Delivery Co. 6.375% 5/1/12 | 2,731,000 | 2,944,742 | ||
Pennsylvania Electric Co. 6.05% 9/1/17 | 764,000 | 865,006 | ||
PPL Capital Funding, Inc. 6.7% 3/30/67 (l) | 8,250,000 | 7,734,375 | ||
Progress Energy, Inc.: | ||||
6% 12/1/39 | 10,303,000 | 11,798,099 | ||
7.1% 3/1/11 | 3,385,000 | 3,489,488 | ||
Sierra Pacific Power Co. 5.45% 9/1/13 | 1,560,000 | 1,710,568 | ||
| 81,721,256 | |||
Gas Utilities - 0.1% | ||||
Dynegy Holdings, Inc. 7.5% 6/1/15 (f) | 2,940,000 | 2,234,400 | ||
Intergas Finance BV 6.375% 5/14/17 (Reg. S) | 1,165,000 | 1,231,988 | ||
Southern Natural Gas Co. 5.9% 4/1/17 (f) | 442,000 | 486,806 | ||
Texas Eastern Transmission Corp. 7.3% 12/1/10 | 3,100,000 | 3,147,551 | ||
Transportadora de Gas del Sur SA 7.875% 5/14/17 (f) | 1,410,000 | 1,381,800 | ||
| 8,482,545 | |||
Independent Power Producers & Energy Traders - 0.3% | ||||
AES Corp.: | ||||
7.75% 3/1/14 | 5,400,000 | 5,616,000 | ||
7.75% 10/15/15 | 3,210,000 | 3,362,475 | ||
8% 10/15/17 | 2,575,000 | 2,723,063 | ||
9.75% 4/15/16 | 1,475,000 | 1,644,625 | ||
Duke Capital LLC 5.668% 8/15/14 | 2,055,000 | 2,288,684 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
UTILITIES - continued | ||||
Independent Power Producers & Energy Traders - continued | ||||
Energy Future Intermediate Holding Co. LLC / EFIH Finance, Inc. 10% 12/1/20 | $ 975,000 | $ 934,781 | ||
Exelon Generation Co. LLC 5.35% 1/15/14 | 1,528,000 | 1,681,442 | ||
NRG Energy, Inc.: | ||||
7.375% 2/1/16 | 2,840,000 | 2,854,200 | ||
7.375% 1/15/17 | 3,225,000 | 3,249,188 | ||
8.25% 9/1/20 (f) | 1,950,000 | 1,964,625 | ||
Power Sector Assets and Liabilities Management Corp.: | ||||
7.25% 5/27/19 (f) | 720,000 | 874,800 | ||
7.39% 12/2/24 (f) | 750,000 | 913,125 | ||
PPL Energy Supply LLC 6.5% 5/1/18 | 6,895,000 | 7,888,280 | ||
RRI Energy, Inc. 7.625% 6/15/14 | 8,000,000 | 7,860,000 | ||
| 43,855,288 | |||
Multi-Utilities - 0.6% | ||||
Consolidated Edison Co. of New York, Inc. 5.7% 6/15/40 | 3,771,000 | 4,308,873 | ||
Dominion Resources, Inc.: | ||||
4.75% 12/15/10 | 3,931,000 | 3,977,814 | ||
6.3% 9/30/66 (l) | 4,887,000 | 4,593,780 | ||
7.5% 6/30/66 (l) | 9,539,000 | 9,729,780 | ||
DTE Energy Co. 7.05% 6/1/11 | 984,000 | 1,027,409 | ||
KeySpan Corp. 7.625% 11/15/10 | 494,000 | 500,914 | ||
MidAmerican Energy Holdings, Co.: | ||||
5.75% 4/1/18 | 7,846,000 | 9,083,142 | ||
5.875% 10/1/12 | 2,921,000 | 3,179,479 | ||
6.5% 9/15/37 | 7,097,000 | 8,635,438 | ||
National Grid PLC 6.3% 8/1/16 | 1,314,000 | 1,540,556 | ||
NiSource Finance Corp.: | ||||
5.25% 9/15/17 | 843,000 | 912,221 | ||
5.4% 7/15/14 | 1,347,000 | 1,472,806 | ||
5.45% 9/15/20 | 854,000 | 915,076 | ||
6.4% 3/15/18 | 1,326,000 | 1,522,765 | ||
6.8% 1/15/19 | 6,774,000 | 7,986,946 | ||
7.875% 11/15/10 | 1,022,000 | 1,035,057 | ||
San Diego Gas & Electric Co. 4.5% 8/15/40 | 7,225,000 | 7,314,287 | ||
Corporate Bonds - continued | ||||
| Principal Amount (c) | Value | ||
Nonconvertible Bonds - continued | ||||
UTILITIES - continued | ||||
Multi-Utilities - continued | ||||
Wisconsin Energy Corp. 6.25% 5/15/67 (l) | $ 6,172,000 | $ 5,832,540 | ||
WPS Resources Corp. 6.11% 12/1/66 (l) | 882,000 | 798,210 | ||
| 74,367,093 | |||
TOTAL UTILITIES | 208,426,182 | |||
TOTAL NONCONVERTIBLE BONDS | 3,115,242,525 | |||
TOTAL CORPORATE BONDS (Cost $2,810,059,325) | 3,120,582,606 | |||
U.S. Government and Government Agency Obligations - 34.5% | ||||
| ||||
U.S. Government Agency Obligations - 1.7% | ||||
Fannie Mae: | ||||
0.625% 9/24/12 | 770,000 | 768,996 | ||
1% 4/4/12 | 1,230,000 | 1,238,956 | ||
1% 9/23/13 | 35,637,000 | 35,688,887 | ||
1.25% 6/22/12 | 3,553,000 | 3,593,881 | ||
1.25% 8/20/13 | 50,501,000 | 50,983,689 | ||
5% 2/16/12 | 1,090,000 | 1,160,580 | ||
Federal Home Loan Bank: | ||||
1.625% 11/21/12 | 39,650,000 | 40,431,819 | ||
1.625% 3/20/13 | 23,140,000 | 23,614,694 | ||
Freddie Mac: | ||||
1.125% 7/27/12 | 330,000 | 333,152 | ||
1.75% 6/15/12 | 885,000 | 903,032 | ||
2.125% 3/23/12 | 75,000 | 76,834 | ||
3% 7/28/14 | 50,000,000 | 53,389,650 | ||
5.25% 7/18/11 | 10,730,000 | 11,199,083 | ||
Tennessee Valley Authority 5.375% 4/1/56 | 385,000 | 479,789 | ||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | 223,863,042 | |||
U.S. Treasury Inflation Protected Obligations - 4.0% | ||||
U.S. Treasury Inflation-Indexed Bonds 2.5% 1/15/29 | 20,304,800 | 23,889,110 | ||
U.S. Government and Government Agency Obligations - continued | ||||
| Principal Amount (c) | Value | ||
U.S. Treasury Inflation Protected Obligations - continued | ||||
U.S. Treasury Inflation-Indexed Notes: | ||||
1.375% 1/15/20 | $ 255,139,898 | $ 266,773,999 | ||
2.125% 2/15/40 | 78,258,048 | 88,318,624 | ||
2.625% 7/15/17 (p) | 120,261,895 | 137,264,215 | ||
TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS | 516,245,948 | |||
U.S. Treasury Obligations - 28.5% | ||||
U.S. Treasury Bonds: | ||||
4.25% 5/15/39 | 36,203,000 | 40,971,623 | ||
4.375% 11/15/39 | 19,090,000 | 22,037,019 | ||
4.375% 5/15/40 | 249,658,000 | 288,549,723 | ||
U.S. Treasury Notes: | ||||
0.75% 11/30/11 | 171,564,000 | 172,368,292 | ||
0.875% 2/29/12 | 119,396,000 | 120,254,457 | ||
1% 3/31/12 | 278,585,000 | 281,164,697 | ||
1.125% 1/15/12 | 38,423,000 | 38,816,221 | ||
1.375% 10/15/12 | 163,445,000 | 166,420,189 | ||
1.75% 3/31/14 (p) | 125,000,000 | 128,779,250 | ||
1.875% 6/15/12 | 67,860,000 | 69,598,913 | ||
1.875% 4/30/14 (p) | 42,760,000 | 44,226,540 | ||
1.875% 6/30/15 | 50,250,000 | 51,631,875 | ||
2.375% 9/30/14 | 171,534,000 | 180,486,016 | ||
2.375% 2/28/15 | 667,385,000 | 702,008,884 | ||
2.5% 3/31/15 | 100,000,000 | 105,758,000 | ||
2.5% 4/30/15 | 100,000,000 | 105,757,800 | ||
2.625% 7/31/14 | 625,000,000 | 663,916,250 | ||
2.625% 12/31/14 | 329,010,000 | 349,470,474 | ||
2.75% 2/15/19 | 80,000,000 | 83,175,040 | ||
3.5% 5/15/20 | 21,386,000 | 23,312,451 | ||
3.625% 2/15/20 | 26,742,000 | 29,441,284 | ||
TOTAL U.S. TREASURY OBLIGATIONS | 3,668,144,998 | |||
Other Government Related - 0.3% | ||||
Citigroup Funding, Inc. 2.125% 7/12/12 (FDIC Guaranteed) (g) | 32,000,000 | 32,892,640 | ||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $4,234,890,345) | 4,441,146,628 | |||
U.S. Government Agency - Mortgage Securities - 12.6% | ||||
| Principal Amount (c) | Value | ||
Fannie Mae - 10.9% | ||||
1.975% 4/1/36 (l) | $ 1,290,441 | $ 1,335,770 | ||
2.593% 6/1/36 (l) | 196,375 | 205,753 | ||
2.604% 10/1/33 (l) | 1,187,621 | 1,229,262 | ||
3.5% 9/1/25 (h)(i) | 6,000,000 | 6,220,589 | ||
3.5% 9/1/25 (h)(i) | 6,000,000 | 6,220,589 | ||
3.5% 9/1/25 (h) | 25,000,000 | 25,919,120 | ||
3.5% 10/1/25 (h) | 6,000,000 | 6,195,745 | ||
3.5% 10/1/25 (h) | 6,000,000 | 6,195,745 | ||
4% 9/1/25 (h) | 19,000,000 | 19,952,968 | ||
4% 9/1/25 (h) | 31,000,000 | 32,554,842 | ||
4% 9/1/25 (h) | 9,000,000 | 9,451,406 | ||
4% 8/1/39 | 13,749,238 | 14,256,636 | ||
4.248% 7/1/37 (l) | 531,997 | 560,148 | ||
4.5% 5/1/25 to 8/1/40 (h) | 63,038,639 | 66,573,034 | ||
4.5% 9/1/25 (h) | 8,000,000 | 8,463,750 | ||
4.5% 9/1/40 (h) | 19,000,000 | 19,954,342 | ||
4.5% 9/1/40 (h) | 3,000,000 | 3,150,686 | ||
4.5% 9/1/40 (h) | 32,000,000 | 33,607,312 | ||
4.5% 9/1/40 (h) | 60,000,000 | 63,013,710 | ||
5% 5/1/19 to 6/1/40 | 57,426,781 | 61,420,346 | ||
5% 9/1/25 (h)(i) | 4,000,000 | 4,253,438 | ||
5% 9/1/25 (h) | 17,000,000 | 18,077,110 | ||
5% 8/1/40 (h)(i) | 40,000,000 | 42,546,876 | ||
5% 8/1/40 (h)(i) | 12,000,000 | 12,764,063 | ||
5% 8/1/40 (h)(i) | 670,000 | 712,032 | ||
5% 8/1/40 (h)(i) | 1,160,000 | 1,232,771 | ||
5% 9/1/40 (h)(i) | 54,000,000 | 57,345,467 | ||
5% 9/1/40 (h) | 16,000,000 | 16,991,250 | ||
5% 9/1/40 (h) | 1,000,000 | 1,061,953 | ||
5% 9/1/40 (h) | 96,000,000 | 101,947,498 | ||
5% 9/1/40 (h)(i) | 162,000,000 | 172,036,402 | ||
5% 9/1/40 | 4,180,000 | 4,442,228 | ||
5% 9/1/40 | 1,060,000 | 1,126,498 | ||
5.206% 12/1/35 (l) | 750,548 | 789,733 | ||
5.303% 2/1/36 (l) | 1,240,962 | 1,306,749 | ||
5.5% 3/1/18 to 3/1/40 | 154,342,361 | 166,395,937 | ||
5.5% 9/1/40 (h)(i) | 209,000,000 | 223,450,385 | ||
6% 1/1/21 to 9/1/39 | 89,748,936 | 97,704,702 | ||
6% 9/1/40 (h)(i) | 4,000,000 | 4,306,875 | ||
6% 9/1/40 (h) | 14,000,000 | 15,074,063 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal Amount (c) | Value | ||
Fannie Mae - continued | ||||
6.5% 5/1/31 to 9/1/38 | $ 43,539,765 | $ 48,189,529 | ||
6.5% 9/1/40 (h)(i) | 29,000,000 | 31,569,220 | ||
TOTAL FANNIE MAE | 1,409,806,532 | |||
Freddie Mac - 0.7% | ||||
4.498% 11/1/35 (l) | 5,136,002 | 5,372,762 | ||
4.5% 7/1/25 to 6/1/40 | 10,461,305 | 11,082,735 | ||
5% 4/1/38 to 6/1/40 | 15,138,369 | 16,222,127 | ||
5.416% 10/1/35 (l) | 258,469 | 273,654 | ||
5.5% 11/1/17 to 12/1/35 | 18,040,186 | 19,420,954 | ||
6% 7/1/37 | 172,885 | 187,695 | ||
6% 9/1/40 (h) | 24,000,000 | 25,796,251 | ||
6.5% 10/1/37 to 1/1/39 | 14,963,308 | 16,269,358 | ||
TOTAL FREDDIE MAC | 94,625,536 | |||
Ginnie Mae - 1.0% | ||||
4% 6/15/39 to 3/15/40 | 5,847,492 | 6,110,569 | ||
4% 9/1/40 (h) | 18,000,000 | 18,735,469 | ||
4% 9/1/40 (h) | 13,000,000 | 13,543,733 | ||
4.5% 5/15/39 to 4/15/40 | 17,658,928 | 18,811,998 | ||
4.5% 9/1/40 (h) | 26,000,000 | 27,576,250 | ||
4.5% 9/1/40 (h)(i) | 14,000,000 | 14,848,750 | ||
4.5% 9/1/40 (h) | 5,000,000 | 5,308,174 | ||
4.5% 9/1/40 (h) | 3,000,000 | 3,184,904 | ||
4.5% 10/1/40 (h) | 14,000,000 | 14,798,434 | ||
TOTAL GINNIE MAE | 122,918,281 | |||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $1,604,104,854) | 1,627,350,349 | |||
Asset-Backed Securities - 2.4% | ||||
| ||||
Accredited Mortgage Loan Trust Series 2005-1 Class M1, 0.7338% 4/25/35 (l) | 1,821,633 | 1,045,841 | ||
ACE Securities Corp. Home Equity Loan Trust: | ||||
Series 2004-HE1: | ||||
Class M1, 1.0138% 3/25/34 (l) | 129,064 | 123,864 | ||
Class M2, 1.9138% 3/25/34 (l) | 483,000 | 314,347 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (c) | Value | ||
ACE Securities Corp. Home Equity Loan Trust: - continued | ||||
Series 2005-HE2 Class M2, 0.7138% 4/25/35 (l) | $ 194,362 | $ 173,182 | ||
Series 2006-HE2 Class M3, 0.6038% 5/25/36 (l) | 20,708 | 807 | ||
Series 2006-OP1: | ||||
Class M4, 0.6338% 4/25/36 (l) | 170,200 | 6,179 | ||
Class M5, 0.6538% 4/25/36 (l) | 42,444 | 465 | ||
Advanta Business Card Master Trust: | ||||
Series 2005-A2 Class A2, 0.3963% 5/20/13 (l) | 380,602 | 378,369 | ||
Series 2006-A6 Class A6, 0.2963% 9/20/13 (l) | 752,069 | 747,656 | ||
Series 2006-A7 Class A7, 0.2863% 10/20/12 (l) | 414,095 | 411,665 | ||
Series 2006-C1 Class C1, 0.7463% 10/20/14 (l) | 111,256 | 20,582 | ||
Series 2007-A1 Class A, 0.3163% 1/20/15 (l) | 277,839 | 276,209 | ||
Series 2007-A4 Class A4, 0.2963% 4/22/13 (l) | 332,037 | 330,089 | ||
Series 2007-D1 Class D, 1.6663% 1/22/13 (f)(l) | 2,590,000 | 0 | ||
Airspeed Ltd. Series 2007-1A Class C1, 2.7759% 6/15/32 (f)(l) | 4,310,611 | 1,574,720 | ||
Ally Auto Receivables Trust Series 2009-A: | ||||
Class A3, 2.33% 6/17/13 (f) | 4,310,000 | 4,398,730 | ||
Class A4, 3% 10/15/15 (f) | 4,280,000 | 4,475,718 | ||
Ally Master Owner Trust: | ||||
Series 2010-2 Class A, 4.25% 4/15/17 (f) | 10,170,000 | 10,728,942 | ||
Series 2010-3 Class A, 2.88% 4/15/15 (f) | 9,160,000 | 9,408,537 | ||
AmeriCredit Automobile Receivables Trust Series 2005-DA Class A4, 5.02% 11/6/12 | 115,678 | 115,716 | ||
AmeriCredit Prime Automobile Receivables Trust: | ||||
Series 2007-1: | ||||
Class D, 5.62% 9/8/14 | 1,125,000 | 1,129,112 | ||
Class E, 6.96% 3/8/16 (f) | 2,052,284 | 1,966,591 | ||
Series 2007-2M Class A3, 5.22% 6/8/12 | 59,017 | 59,238 | ||
Ameriquest Mortgage Securities, Inc. pass-thru certificates: | ||||
Series 2003-10 Class M1, 0.9638% 12/25/33 (l) | 105,291 | 75,874 | ||
Series 2004-R2 Class M3, 0.8138% 4/25/34 (l) | 153,470 | 16,966 | ||
Series 2005-R2 Class M1, 0.7138% 4/25/35 (l) | 2,064,696 | 1,601,792 | ||
Anthracite CDO I Ltd. Series 2002-CIBA Class B, 6.633% 5/24/37 (f) | 123,000 | 108,701 | ||
Anthracite CDO II Ltd. Series 2002-2A: | ||||
Class F, 7.6% 12/24/37 (f) | 160,000 | 68,800 | ||
Class G, 9.75% 12/24/37 (f) | 210,000 | 79,800 | ||
Anthracite CDO III Ltd./Anthracite CDO III Corp. Series 2004-1A Class A, 0.6247% 3/23/19 (f)(l) | 243,479 | 182,610 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (c) | Value | ||
Argent Securities, Inc. pass-thru certificates: | ||||
Series 2003-W7 Class A2, 0.7188% 3/25/34 (l) | $ 47,932 | $ 32,565 | ||
Series 2004-W11 Class M2, 0.9638% 11/25/34 (l) | 561,149 | 331,023 | ||
Series 2004-W7 Class M1, 0.8138% 5/25/34 (l) | 1,542,998 | 699,266 | ||
Series 2006-W4 Class A2C, 0.4238% 5/25/36 (l) | 1,452,507 | 499,955 | ||
Asset Backed Securities Corp. Home Equity Loan Trust: | ||||
Series 2004-HE2 Class M1, 1.0888% 4/25/34 (l) | 2,668,736 | 1,603,399 | ||
Series 2006-HE2 Class M1, 0.6338% 3/25/36 (l) | 262,000 | 19,252 | ||
Axon Financial Funding Ltd. 1.1336% 4/4/17 (b)(f)(l) | 7,217,000 | 72 | ||
Bank of America Auto Trust Series 2009-1A: | ||||
Class A3, 2.67% 7/15/13 (f) | 9,500,000 | 9,648,576 | ||
Class A4, 3.52% 6/15/16 (f) | 8,300,000 | 8,705,287 | ||
Brascan Real Estate CDO Ltd./Brascan Real Estate CDO Corp. Series 2004-1A Class A, 0.8713% 1/20/40 (f)(l) | 255,840 | 244,966 | ||
Brazos Higher Education Authority, Inc. Student Loan Rev. Series 2006 A2R, 1.2883% 12/1/41 (l) | 1,050,048 | 1,048,231 | ||
Brazos Higher Education Authority, Inc. Series 2006-2 Class A9, 0.5483% 12/26/24 (l) | 2,194,165 | 2,084,456 | ||
C-BASS Trust Series 2006-CB7 Class A2, 0.3238% 10/25/36 (l) | 297,314 | 292,775 | ||
Capital Auto Receivables Asset Trust: | ||||
Series 2006-2: | ||||
Class B, 5.07% 12/15/11 | 1,772,225 | 1,783,624 | ||
Class C, 5.31% 6/15/12 | 1,634,000 | 1,659,499 | ||
Series 2007-1 Class C, 5.38% 11/15/12 | 582,000 | 607,963 | ||
Series 2007-SN2 Class A4, 1.3059% 5/16/11 (f)(l) | 1,768,579 | 1,768,992 | ||
Capital One Multi-Asset Execution Trust: | ||||
Series 2003-A5 Class A5, 0.5659% 7/15/13 (l) | 6,450,000 | 6,450,128 | ||
Series 2008-A3 Class A3, 5.05% 2/15/16 | 5,700,000 | 6,274,972 | ||
Series 2009-A2 Class A2, 3.2% 4/15/14 | 10,000,000 | 10,201,684 | ||
Capital Trust Ltd. Series 2004-1: | ||||
Class A2, 0.7163% 7/20/39 (f)(l) | 457,498 | 91,500 | ||
Class B, 1.0163% 7/20/39 (f)(l) | 263,810 | 13,191 | ||
Class C, 1.3663% 7/20/39 (f)(l) | 339,379 | 6,788 | ||
Capital Trust RE CDO Ltd./Capital Trust RE CDO Corp. Series 2005-3A Class A2, 5.16% 6/25/35 (f) | 859,000 | 843,968 | ||
CapitalSource Real Estate Loan Trust Series 2006-1A Class A2A, 0.7713% 1/20/37 (f)(l) | 197,776 | 128,554 | ||
Capmark VII Ltd. Series 2006-7A Class H, 1.8259% 8/15/36 (f)(l) | 514,280 | 0 | ||
CarMax Auto Owner Trust Series 2007-2 Class C, 5.61% 11/15/13 | 928,000 | 954,176 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (c) | Value | ||
Carrington Mortgage Loan Trust: | ||||
Series 2006-FRE1 Class M1, 0.5638% 7/25/36 (l) | $ 1,140,851 | $ 116,814 | ||
Series 2006-NC2 Class M7, 1.1138% 6/25/36 (l) | 425,500 | 17,463 | ||
Series 2006-NC3 Class M10, 2.2638% 8/25/36 (f)(l) | 290,000 | 13,711 | ||
Series 2006-NC4 Class M1, 0.5638% 10/25/36 (l) | 224,000 | 27,535 | ||
Series 2006-RFC1 Class M9, 2.1338% 5/25/36 (l) | 186,369 | 11,059 | ||
Series 2007-RFC1 Class A3, 0.4038% 12/25/36 (l) | 1,802,588 | 686,433 | ||
Cendant Timeshare Receivables Funding LLC: | ||||
Series 2005 1A Class 2A2, 0.4463% 5/20/17 (f)(l) | 144,580 | 129,657 | ||
Series 2005-1A Class A1, 4.67% 5/20/17 (f) | 455,437 | 460,219 | ||
Chase Issuance Trust Series 2007-A17 Class A, 5.12% 10/15/14 | 5,000,000 | 5,447,887 | ||
Chrysler Financial Lease Trust Series 2010-A Class A2, 1.78% 6/15/11 (f) | 18,750,000 | 18,816,868 | ||
Citibank Credit Card Issuance Trust Series 2009-A5 Class A5, 2.25% 12/23/14 | 35,600,000 | 36,594,347 | ||
Citigroup Mortgage Loan Trust Series 2007-AMC4 Class M1, 0.5338% 5/25/37 (l) | 765,389 | 34,601 | ||
Countrywide Asset-Backed Certificates Trust: | ||||
Series 2007-11 Class 2A1, 0.3238% 6/25/47 (l) | 101,838 | 97,989 | ||
Series 2007-4 Class A1A, 0.4488% 9/25/37 (l) | 635,585 | 591,481 | ||
Countrywide Home Loan Trust Series 2006-13 Class N, 7% 8/25/37 (f) | 811,000 | 0 | ||
Countrywide Home Loans, Inc.: | ||||
Series 2003-BC1 Class B1, 5.5972% 3/25/32 (l) | 11,800 | 5,044 | ||
Series 2004-3 Class M4, 1.2338% 4/25/34 (l) | 159,665 | 57,520 | ||
Series 2004-4 Class M2, 1.0588% 6/25/34 (l) | 587,945 | 308,400 | ||
Series 2005-3 Class MV1, 0.6838% 8/25/35 (l) | 1,217,697 | 1,146,399 | ||
Series 2005-AB1 Class A2, 0.4738% 8/25/35 (l) | 184,671 | 179,961 | ||
CPS Auto Receivables Trust: | ||||
Series 2006-D Class A4, 5.115% 8/15/13 (f) | 596,362 | 606,485 | ||
Series 2007-C Class A3, 5.43% 5/15/12 (f) | 62,959 | 63,316 | ||
Crest Clarendon Street Ltd./Crest Clarendon Corp. Series 2002-1A: | ||||
Class B1, 6.065% 12/28/35 (f) | 500,000 | 360,000 | ||
Class B2, 1.8872% 12/28/35 (f)(l) | 500,000 | 297,500 | ||
Crest Dartmouth Street Ltd./Crest Dartmouth Street Corp. Series 2003-1A Class D, 9% 6/28/38 (f) | 200,000 | 56,000 | ||
Crest G-Star LP/Crest G-Star Corp. Series 2001-1A Class A, 0.7694% 11/28/16 (f)(l) | 495,193 | 463,006 | ||
Crest Ltd. Series 2002-IGA Class A, 0.9375% 7/28/17 (f)(l) | 309,681 | 294,197 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (c) | Value | ||
DB Master Finance LLC Series 2006-1 Class M1, 8.285% 6/20/31 (f) | $ 235,000 | $ 218,806 | ||
Deutsche Financial Capital Securitization LLC Series 1997-I Class M, 7.275% 9/15/27 | 540,000 | 477,526 | ||
Fannie Mae subordinate REMIC pass-thru certificates Series 2004-T5 Class AB3, 0.7759% 5/28/35 (l) | 38,916 | 29,187 | ||
Fieldstone Mortgage Investment Corp.: | ||||
Series 2004-3 Class M5, 2.4388% 8/25/34 (l) | 290,872 | 132,620 | ||
Series 2006-3 Class 2A3, 0.4238% 11/25/36 (l) | 6,074,620 | 2,176,732 | ||
First Franklin Mortgage Loan Trust: | ||||
Series 2004-FF2 Class M3, 1.0888% 3/25/34 (l) | 25,145 | 6,979 | ||
Series 2005-FF9 Class A3, 0.5438% 10/25/35 (l) | 4,222,878 | 3,951,783 | ||
Ford Credit Auto Owner Trust: | ||||
Series 2006-B Class D, 7.26% 2/15/13 (f) | 1,175,000 | 1,208,395 | ||
Series 2006-C: | ||||
Class B, 5.3% 6/15/12 | 649,000 | 671,986 | ||
Class D, 6.89% 5/15/13 (f) | 915,000 | 950,910 | ||
Series 2007-A Class D, 7.05% 12/15/13 (f) | 970,000 | 1,026,409 | ||
Series 2009-D: | ||||
Class A3, 2.17% 10/15/13 | 5,400,000 | 5,481,620 | ||
Class A4, 2.98% 8/15/14 | 4,800,000 | 5,006,509 | ||
Series 2010-B Class A3, 0.98% 10/15/14 | 9,710,000 | 9,747,042 | ||
Ford Credit Floorplan Master Owner Trust Series 2006-4 Class B, 0.8259% 6/15/13 (l) | 772,000 | 760,117 | ||
Franklin Auto Trust: | ||||
Series 2006-1 Class B, 5.14% 7/21/14 | 72,000 | 72,682 | ||
Series 2007-1: | ||||
Class A4, 5.03% 2/16/15 | 487,090 | 487,690 | ||
Class C, 5.43% 2/16/15 | 614,000 | 605,638 | ||
Fremont Home Loan Trust: | ||||
Series 2005-A: | ||||
Class M3, 0.7538% 1/25/35 (l) | 948,695 | 329,746 | ||
Class M4, 0.9438% 1/25/35 (l) | 363,547 | 39,885 | ||
Series 2006-D Class M1, 0.4938% 11/25/36 (l) | 324,000 | 11,034 | ||
GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 0.6975% 2/25/47 (f)(l) | 2,892,000 | 1,973,790 | ||
GCO Slims Trust Series 2006-1A, 5.72% 3/1/22 (f) | 2,121,254 | 1,697,003 | ||
GE Business Loan Trust: | ||||
Series 2003-1 Class A, 0.7059% 4/15/31 (f)(l) | 274,592 | 241,641 | ||
Series 2006-2A: | ||||
Class A, 0.4559% 11/15/34 (f)(l) | 2,364,061 | 1,903,069 | ||
Class B, 0.5559% 11/15/34 (f)(l) | 853,970 | 512,382 | ||
Class C, 0.6559% 11/15/34 (f)(l) | 1,419,263 | 567,705 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (c) | Value | ||
GE Business Loan Trust: - continued | ||||
Series 2006-2A: | ||||
Class D, 1.0259% 11/15/34 (f)(l) | $ 538,940 | $ 129,346 | ||
GE Equipment Midticket LLC Series 2006-1 Class B, 0.4259% 9/15/17 (l) | 1,151,000 | 1,134,533 | ||
Goal Capital Funding Trust Series 2007-1 Class C1, 0.9383% 6/25/42 (l) | 739,000 | 596,958 | ||
GS Auto Loan Trust Series 2007-1: | ||||
Class B, 5.53% 12/15/14 | 54,741 | 56,087 | ||
Class C, 5.74% 12/15/14 | 116,272 | 117,776 | ||
GSAMP Trust: | ||||
Series 2004-AR1: | ||||
Class B4, 5% 6/25/34 (f)(l) | 245,471 | 58,931 | ||
Class M1, 0.9138% 6/25/34 (l) | 2,723,367 | 1,689,638 | ||
Series 2007-HE1 Class M1, 0.5138% 3/25/47 (l) | 1,096,059 | 65,981 | ||
GSR Mortgage Loan Trust Series 2006-FM1 Class M3, 0.6138% 4/25/36 (l) | 203,374 | 4,632 | ||
Guggenheim Structured Real Estate Funding Ltd.: | ||||
Series 2005-1 Class C, 1.3438% 5/25/30 (f)(l) | 653,491 | 169,908 | ||
Series 2006-3: | ||||
Class B, 0.6638% 9/25/46 (f)(l) | 654,930 | 130,986 | ||
Class C, 0.8138% 9/25/46 (f)(l) | 1,526,694 | 229,004 | ||
Class E, 1.9138% 9/25/46 (f)(l) | 253,381 | 30,406 | ||
Home Equity Asset Trust: | ||||
Series 2003-2 Class M1, 1.5838% 8/25/33 (l) | 457,719 | 291,593 | ||
Series 2003-3 Class M1, 1.5538% 8/25/33 (l) | 812,279 | 561,780 | ||
Series 2003-5 Class A2, 0.9638% 12/25/33 (l) | 32,929 | 18,533 | ||
Series 2005-5 Class 2A2, 0.5138% 11/25/35 (l) | 148,852 | 145,853 | ||
Series 2006-1 Class 2A3, 0.4888% 4/25/36 (l) | 1,770,250 | 1,704,449 | ||
Series 2006-3N Class B, 6.5% 8/27/36 (f) | 250,000 | 0 | ||
Series 2006-8 Class 2A1, 0.3138% 3/25/37 (l) | 9,923 | 9,732 | ||
HSBC Home Equity Loan Trust Series 2006-2 Class M2, 0.5563% 3/20/36 (l) | 803,943 | 615,198 | ||
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.4538% 1/25/37 (l) | 1,522,035 | 471,788 | ||
Hyundai Auto Receivable Trust Series 2009-A Class A3, 2.03% 8/15/13 | 5,450,000 | 5,533,771 | ||
JPMorgan Mortgage Acquisition Trust: | ||||
Series 2006-NC2 Class M2, 0.5638% 7/25/36 (l) | 204,000 | 8,991 | ||
Series 2007-CH1: | ||||
Class AV4, 0.3938% 11/25/36 (l) | 1,520,141 | 1,156,269 | ||
Class MV1, 0.4938% 11/25/36 (l) | 1,234,797 | 690,603 | ||
Series 2007-CH3 Class M1, 0.5638% 3/25/37 (l) | 573,000 | 30,829 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (c) | Value | ||
Kent Funding III Ltd. Series 2006-3A Class D, 3.575% 10/29/47 (l) | $ 291,820 | $ 29 | ||
Keycorp Student Loan Trust: | ||||
Series 1999-A Class A2, 0.8672% 12/27/29 (l) | 832,716 | 693,396 | ||
Series 2006-A Class 2C, 1.6872% 3/27/42 (l) | 3,243,000 | 500,140 | ||
Long Beach Auto Receivables Trust Series 2007-A Class A4, 5.025% 1/15/14 | 2,456,627 | 2,499,527 | ||
Long Beach Mortgage Loan Trust Series 2004-2 Class M2, 1.3438% 6/25/34 (l) | 157,259 | 107,025 | ||
Marathon Real Estate CDO Ltd. Series 2006-1A Class B, 0.6938% 5/25/46 (f)(l) | 250,000 | 55,000 | ||
Marriott Vacation Club Owner Trust Series 2006-2A: | ||||
Class B, 5.442% 10/20/28 (f) | 23,972 | 22,350 | ||
Class C, 5.691% 10/20/28 (f) | 10,654 | 8,994 | ||
Class D, 6.01% 10/20/28 (f) | 126,852 | 100,683 | ||
MASTR Asset Backed Securities Trust: | ||||
Series 2006-AM3 Class M1, 0.5238% 10/25/36 (l) | 545,328 | 32,815 | ||
Series 2007-HE1 Class M1, 0.5638% 5/25/37 (l) | 784,792 | 42,864 | ||
Meritage Mortgage Loan Trust Series 2004-1 Class M1, 1.0138% 7/25/34 (l) | 192,687 | 83,339 | ||
Merrill Auto Trust Securitization Series 2007-1 Class B, 5.79% 12/15/13 | 214,554 | 217,389 | ||
Merrill Lynch Mortgage Investors Trust: | ||||
Series 2003-OPT1 Class M1, 0.9138% 7/25/34 (l) | 677,418 | 521,264 | ||
Series 2005-FM1 Class A2D, 0.6438% 5/25/36 (l) | 12,012,304 | 11,073,703 | ||
Series 2006-FM1 Class A2B, 0.3738% 4/25/37 (l) | 2,248,986 | 1,950,527 | ||
Series 2006-MLN1 Class A2A, 0.3338% 7/25/37 (l) | 25,531 | 25,125 | ||
Series 2006-OPT1 Class A1A, 0.5238% 6/25/35 (l) | 3,288,519 | 2,320,767 | ||
Morgan Stanley ABS Capital I Trust: | ||||
Series 2004-HE6 Class A2, 0.6038% 8/25/34 (l) | 57,368 | 38,274 | ||
Series 2004-NC8 Class M6, 1.5138% 9/25/34 (l) | 32,622 | 15,943 | ||
Series 2005-NC1 Class M1, 0.7038% 1/25/35 (l) | 399,800 | 205,379 | ||
Series 2005-NC2 Class B1, 1.4338% 3/25/35 (l) | 416,362 | 48,880 | ||
Series 2007-HE2 Class M1, 0.5138% 1/25/37 (l) | 263,000 | 7,589 | ||
N-Star Real Estate CDO Ltd. Series 1A: | ||||
Class B1, 1.9744% 8/28/38 (f)(l) | 220,000 | 138,600 | ||
Class C1B, 7.696% 8/28/38 (f) | 63,000 | 38,058 | ||
National Collegiate Student Loan Trust: | ||||
Series 2004-2 Class AIO, 9.75% 10/25/14 (n) | 3,793,600 | 542,485 | ||
Series 2006-1 Class AIO, 5.5% 4/25/11 (n) | 413,402 | 10,609 | ||
Series 2006-2 Class AIO, 6% 8/25/11 (n) | 231,000 | 11,307 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (c) | Value | ||
National Collegiate Student Loan Trust: - continued | ||||
Series 2006-3 Class AIO, 7.1% 1/25/12 (n) | $ 372,000 | $ 28,830 | ||
Series 2006-4: | ||||
Class A1, 0.2938% 3/25/25 (l) | 440,939 | 434,882 | ||
Class AIO, 6.35% 2/27/12 (n) | 1,182,000 | 99,920 | ||
Class D, 1.3638% 5/25/32 (l) | 2,481,000 | 34,910 | ||
Series 2007-1 Class AIO, 7.27% 4/25/12 (n) | 1,589,000 | 170,818 | ||
Series 2007-2 Class AIO, 6.7% 7/25/12 (n) | 1,351,000 | 158,683 | ||
New Century Home Equity Loan Trust: | ||||
Series 2005-4 Class M2, 0.7738% 9/25/35 (l) | 1,426,957 | 587,076 | ||
Series 2005-D Class M2, 0.7338% 2/25/36 (l) | 827,339 | 106,920 | ||
Nissan Auto Lease Trust Series 2009-B Class A3, 2.07% 1/15/15 | 8,500,000 | 8,597,306 | ||
Nomura Home Equity Loan Trust Series 2006-HE2 Class A2, 0.3838% 3/25/36 (l) | 37,564 | 37,427 | ||
Ocala Funding LLC Series 2006-1A Class A, 1.6663% 3/20/11 (b)(f)(l) | 1,176,000 | 435,120 | ||
Option One Mortgage Loan Trust: | ||||
Series 2007-5 Class 2A1, 0.3538% 5/25/37 (l) | 107,092 | 103,457 | ||
Series 2007-6 Class 2A1, 0.3238% 7/25/37 (l) | 199,223 | 192,239 | ||
Park Place Securities, Inc.: | ||||
Series 2004-WCW1: | ||||
Class M3, 1.5138% 9/25/34 (l) | 532,896 | 229,878 | ||
Class M4, 1.7138% 9/25/34 (l) | 683,353 | 108,724 | ||
Series 2005-WCH1: | ||||
Class M2, 0.7838% 1/25/36 (l) | 2,548,346 | 2,155,766 | ||
Class M3, 0.8238% 1/25/36 (l) | 478,432 | 306,840 | ||
Class M4, 1.0938% 1/25/36 (l) | 1,475,804 | 464,403 | ||
Series 2005-WHQ2: | ||||
Class M7, 1.5138% 5/25/35 (l) | 1,883,145 | 27,924 | ||
Class M9, 2.1438% 5/25/35 (l) | 290,989 | 719 | ||
Prima Capital CDO Ltd./Prima Capital CDO Corp. Series 2005-1A: | ||||
Class A2, 4.646% 7/24/39 (f) | 397,651 | 373,792 | ||
Class B, 4.846% 7/24/39 (f) | 180,000 | 129,600 | ||
Class C, 5.08% 7/24/39 (f) | 185,000 | 118,400 | ||
Providian Master Note Trust Series 2006-C1A Class C1, 0.8259% 3/15/15 (f)(l) | 3,406,919 | 3,393,739 | ||
Residential Asset Mortgage Products, Inc. Series 2006-EFC2 Class M1, 0.4938% 12/25/36 (l) | 566,000 | 22,463 | ||
Residential Asset Securities Corp. Series 2007-KS2 Class AI1, 0.3338% 2/25/37 (l) | 599,271 | 585,071 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (c) | Value | ||
Resource Real Estate Funding CDO Series 2007-1A Class J, 3.2138% 9/25/46 (f)(l) | $ 250,000 | $ 11,250 | ||
Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 1.0638% 4/25/33 (l) | 5,108 | 4,268 | ||
Saxon Asset Securities Trust Series 2004-1 Class M1, 1.0588% 3/25/35 (l) | 1,673,086 | 1,097,076 | ||
Securitized Asset Backed Receivables LLC Trust: | ||||
Series 2005-FR4 Class B3, 1.9838% 1/25/36 (l) | 96,000 | 3,132 | ||
Series 2006-FR4 Class A2A, 0.3438% 8/25/36 (l) | 49,108 | 22,764 | ||
Series 2007-NC1 Class A2A, 0.3138% 12/25/36 (l) | 20,045 | 19,641 | ||
Sierra Receivables Funding Co. Series 2007-1A Class A2, 0.4881% 3/20/19 (f)(l) | 860,433 | 802,923 | ||
SLM Private Credit Student Loan Trust Series 2004-A Class C, 1.4871% 6/15/33 (l) | 1,272,000 | 76,768 | ||
Specialty Underwriting & Residential Finance Trust Series 2006-AB2 Class N1, 5.75% 6/25/37 (f) | 656,637 | 0 | ||
Structured Asset Investment Loan Trust Series 2004-8 Class M5, 1.4138% 9/25/34 (l) | 74,810 | 17,801 | ||
Structured Asset Securities Corp. Series 2007-BC4 Class A3, 0.5138% 11/25/37 (l) | 11,515,175 | 10,918,888 | ||
Structured Asset Securities Corp. Mortgage Loan Trust Series 2007-OSI Class A2, 0.3538% 6/25/37 (l) | 1,501,875 | 1,245,272 | ||
SVO VOI Mortgage Corp. Series 2006-AA Class A, 5.28% 2/20/24 (f) | 1,012,699 | 1,017,762 | ||
Swift Master Auto Receivables Trust Series 2007-2 Class A, 0.9259% 10/15/12 (l) | 2,867,000 | 2,863,984 | ||
Terwin Mortgage Trust Series 2003-4HE Class A1, 1.1238% 9/25/34 (l) | 28,819 | 18,087 | ||
TIAA Real Estate CDO Ltd./TIAA Real Estate CDO Corp.: | ||||
Series 2002-1A: | ||||
Class IIFX, 6.77% 5/22/37 (f) | 349,000 | 331,550 | ||
Class IV, 6.84% 5/22/37 (f) | 235,000 | 152,750 | ||
Series 2003-1A Class B2, 5.4802% 12/28/38 (f) | 111,000 | 77,700 | ||
Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 1.0936% 4/6/42 (f)(l) | 2,596,888 | 129,844 | ||
Triad Auto Receivables Owner Trust Series 2006-C Class A4, 5.31% 5/13/13 | 659,323 | 673,968 | ||
Wachovia Auto Loan Owner Trust: | ||||
Series 2006-1 Class A4, 5.08% 4/20/12 (f) | 97,361 | 97,624 | ||
Series 2006-2A: | ||||
Class B, 5.29% 6/20/12 (f) | 383,808 | 385,934 | ||
Class D, 5.54% 12/20/12 (f) | 583,000 | 592,580 | ||
Class E, 7.05% 5/20/14 (f) | 1,390,000 | 1,415,455 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (c) | Value | ||
Wachovia Ltd./Wachovia LLC: | ||||
Series 2006-1 Class 1ML, 5.7835% 9/25/26 (f)(l) | $ 400,000 | $ 108,000 | ||
Series 2006-1A: | ||||
Class A1A, 0.7983% 9/25/26 (f)(l) | 330,000 | 267,300 | ||
Class A1B, 0.8683% 9/25/26 (f)(l) | 330,000 | 249,150 | ||
Class A2A, 0.7583% 9/25/26 (f)(l) | 1,186,000 | 984,380 | ||
Class F, 1.6883% 9/25/26 (f)(l) | 250,000 | 140,000 | ||
Class G, 1.8883% 9/25/26 (f)(l) | 250,000 | 132,500 | ||
WaMu Asset Holdings Corp. Series 2006-8 Class N1, 6.048% 10/25/46 (f) | 887,552 | 0 | ||
WaMu Master Note Trust: | ||||
Series 2006-C2A Class C2, 0.7759% 8/15/15 (f)(l) | 8,530,177 | 8,453,875 | ||
Series 2007-A4A Class A4, 5.2% 10/15/14 (f) | 10,589,000 | 10,645,906 | ||
Series 2007-A5A Class A5, 1.0259% 10/15/14 (f)(l) | 1,500,000 | 1,500,552 | ||
Wells Fargo Home Equity Trust Series 2004-3 Class A, 4.5% 11/27/34 (a)(f) | 7,576 | 0 | ||
Whinstone Capital Management Ltd. Series 1A Class B3, 2.2978% 10/25/44 (f)(l) | 1,789,540 | 590,548 | ||
Wrightwood Capital Real Estate CDO Ltd. Series 2005-1A Class D, 1.1891% 11/21/40 (f)(l) | 305,000 | 18,300 | ||
TOTAL ASSET-BACKED SECURITIES (Cost $293,376,332) | 303,926,817 | |||
Collateralized Mortgage Obligations - 1.8% | ||||
| ||||
Private Sponsor - 1.8% | ||||
ABN AMRO Mortgage Corp.: | ||||
Series 2003-2 Class B4, 5.3276% 3/25/18 (l) | 116,633 | 48,986 | ||
Series 2003-9 Class B5, 4.5164% 8/25/18 (f) | 227,235 | 22,724 | ||
Arran Residential Mortgages Funding No. 1 PLC floater Series 2006-1A Class DB, 0.9575% 4/12/56 (f)(l) | 1,428,375 | 857,025 | ||
Banc of America Commercial Mortgage Trust Series 2007-2: | ||||
Class B, 5.6987% 4/10/49 (l) | 106,000 | 25,630 | ||
Class C, 5.6987% 4/10/49 (l) | 281,000 | 47,381 | ||
Class D, 5.6987% 4/10/49 (l) | 141,000 | 20,972 | ||
Banc of America Large Loan, Inc. Series 2005-MIB1 Class A2, 0.4859% 3/15/22 (f)(l) | 939,527 | 910,272 | ||
Banc of America Mortgage Securities, Inc.: | ||||
Series 2003-L Class 2A1, 3.6145% 1/25/34 (l) | 2,089,842 | 1,868,865 | ||
Series 2004-1 Class 2A2, 3.6636% 10/25/34 (l) | 2,207,654 | 1,964,031 | ||
Series 2004-A Class 2A2, 3.5151% 2/25/34 (l) | 1,272,784 | 1,121,285 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (c) | Value | ||
Private Sponsor - continued | ||||
Banc of America Mortgage Securities, Inc.: - continued | ||||
Series 2004-B: | ||||
Class 1A1, 2.9237% 3/25/34 (l) | $ 144,623 | $ 127,742 | ||
Class 2A2, 3.0586% 3/25/34 (l) | 5,993,017 | 5,472,618 | ||
Series 2004-D Class 2A2, 2.9566% 5/25/34 (l) | 2,041,492 | 1,899,047 | ||
Series 2004-G Class 2A7, 3.195% 8/25/34 (l) | 1,808,965 | 1,574,005 | ||
Series 2004-H Class 2A1, 3.7091% 9/25/34 (l) | 1,650,985 | 1,443,289 | ||
Bayview Commercial Asset Trust Series 2006-3A Class IO, 2.3908% 10/25/36 (f)(l)(n) | 12,079,732 | 942,219 | ||
Bear Stearns ALT-A Trust floater Series 2005-1 Class A1, 0.5438% 1/25/35 (l) | 2,310,889 | 1,816,889 | ||
Bear Stearns Commercial Mortgage Securities Trust: | ||||
Series 2006-BBA7 Class C, 0.5159% 3/15/19 (f)(l) | 350,000 | 298,481 | ||
Series 2006-T24 Class X2, 0.4276% 10/12/41 (f)(l)(n) | 4,530,945 | 50,187 | ||
Chase Mortgage Finance Trust: | ||||
Series 2007-A1 Class 1A5, 3.2363% 2/25/37 (l) | 1,603,363 | 1,535,565 | ||
Series 2007-A2 Class 2A1, 3.4095% 7/25/37 (l) | 380,330 | 363,066 | ||
Citigroup Commercial Mortgage Trust Series 2008-C7 Class A2B, 6.0914% 12/10/49 (l) | 1,902,000 | 2,031,218 | ||
Citigroup Mortgage Loan Trust Series 2004-UST1: | ||||
Class A3, 2.7498% 8/25/34 (l) | 1,635,284 | 1,522,264 | ||
Class A4, 2.489% 8/25/34 (l) | 1,442,421 | 1,368,454 | ||
Cobalt CMBS Commercial Mortgage Trust Series 2007-C2 Class B, 5.617% 4/15/47 (l) | 2,125,000 | 425,000 | ||
COMM pass-thru certificates floater Series 2001-J2A Class A2F, 0.7759% 7/16/34 (f)(l) | 1,902,000 | 1,854,248 | ||
Countrywide Alternative Loan Trust: | ||||
planned amortization class Series 2003-5T2 Class A2, 0.6638% 5/25/33 (l) | 13,960 | 13,831 | ||
Series 2006-OC5N Class N, 7.25% 7/25/37 (f) | 78,237 | 0 | ||
Countrywide Home Loans, Inc.: | ||||
Series 2003-28 Class B3, 5.5% 8/25/33 | 72,728 | 10,909 | ||
Series 2003-35 Class B, 4.6396% 9/25/18 (l) | 120,783 | 12,078 | ||
Credit Suisse First Boston Mortgage Securities Corp.: | ||||
floater Series 2007-AR7 Class 2A1, 2.8818% 11/25/34 (l) | 1,314,897 | 1,267,706 | ||
Series 2003-17 Class B4, 5.389% 6/25/33 (f)(l) | 316,588 | 56,986 | ||
Series 2004-3 Class DB4, 5.8304% 4/25/34 (l) | 75,154 | 1,879 | ||
CWALT, Inc.: | ||||
floater Series 2005-56: | ||||
Class 1A1, 0.9938% 11/25/35 (l) | 34,827,510 | 19,627,179 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (c) | Value | ||
Private Sponsor - continued | ||||
CWALT, Inc.: - continued | ||||
floater Series 2005-56: | ||||
Class 2A3, 1.9017% 11/25/35 (l) | $ 8,427,023 | $ 4,710,189 | ||
Series 2005-56: | ||||
Class 4A1, 0.5738% 11/25/35 (l) | 6,894,762 | 3,940,086 | ||
Class 5A1, 0.5838% 11/25/35 (l) | 10,062,865 | 5,315,946 | ||
DSLA Mortgage Loan Trust Series 2006-AR2 Class 2AB1, 0.3566% 11/19/37 (l) | 56,339 | 55,911 | ||
First Horizon Mortgage pass-thru Trust Series 2004-AR5 Class 2A1, 2.9962% 10/25/34 (l) | 1,938,626 | 1,838,735 | ||
Fosse Master Issuer PLC floater Series 2006-1A: | ||||
Class B2, 0.6847% 10/18/54 (f)(l) | 3,491,000 | 3,414,896 | ||
Class C2, 0.9947% 10/18/54 (f)(l) | 1,170,000 | 1,129,518 | ||
Class M2, 0.7747% 10/18/54 (f)(l) | 2,005,000 | 1,931,818 | ||
Freddie Mac Series 2010 K7 Class B, 5.4341% 4/25/20 (f)(l) | 300,000 | 265,140 | ||
FREMF Mortgage Trust Series 2010-K6 Class B, 5.3574% 12/26/46 (f)(l) | 550,000 | 479,241 | ||
GMAC Commercial Mortgage Securities, Inc. Series 1993-C3 Class L, 6.974% 8/15/36 (f) | 273,987 | 2,603 | ||
GMAC Mortgage Loan Trust Series 2003-J10 Class B2, 4.75% 1/25/19 (f) | 112,452 | 11,245 | ||
Gracechurch Mortgage Financing PLC floater Series 2006-1 Class D2, 0.8155% 11/20/56 (f)(l) | 2,852,000 | 2,694,284 | ||
Gracechurch Mortgage Funding PLC floater Series 1A Class DB, 0.9975% 10/11/41 (f)(l) | 3,114,000 | 3,067,290 | ||
Granite Master Issuer PLC floater: | ||||
Series 2005-4 Class C2, 0.8163% 12/20/54 (l) | 205,017 | 89,182 | ||
Series 2006-1A Class C2, 0.8663% 12/20/54 (f)(l) | 6,523,000 | 2,870,120 | ||
Series 2006-2 Class C1, 0.7363% 12/20/54 (l) | 5,398,000 | 2,402,110 | ||
Series 2006-3 Class C2, 0.7663% 12/20/54 (l) | 1,124,000 | 507,350 | ||
Series 2006-4: | ||||
Class B1, 0.3563% 12/20/54 (l) | 4,521,000 | 3,368,145 | ||
Class C1, 0.6463% 12/20/54 (l) | 2,767,000 | 1,217,480 | ||
Class M1, 0.4363% 12/20/54 (l) | 1,190,000 | 767,550 | ||
Series 2007-1: | ||||
Class 1C1, 0.5663% 12/20/54 (l) | 2,234,000 | 994,130 | ||
Class 1M1, 0.4163% 12/20/54 (l) | 1,493,000 | 955,520 | ||
Class 2C1, 0.6963% 12/20/54 (l) | 1,015,000 | 451,675 | ||
Class 2M1, 0.5163% 12/20/54 (l) | 1,917,000 | 1,226,880 | ||
Series 2007-2 Class 2C1, 0.7019% 12/17/54 (l) | 2,654,000 | 1,154,490 | ||
Granite Mortgages PLC floater Series 2003-3 Class 1C, 2.9713% 1/20/44 (l) | 430,241 | 236,583 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (c) | Value | ||
Private Sponsor - continued | ||||
GSR Mortgage Loan Trust: | ||||
floater Series 2007-AR1 Class 6A1, 4.7728% 3/25/37 (l) | $ 10,185,557 | $ 9,922,841 | ||
Series 2007-AR2 Class 2A1, 3.1041% 4/25/35 (l) | 782,747 | 672,839 | ||
Harborview Mortgage Loan Trust floater Series 2005-2 Class 2A1A, 0.4866% 5/19/35 (l) | 385,030 | 241,807 | ||
JPMorgan Chase Commercial Mortgage Securities Trust Series 2007-CB18: | ||||
Class A1, 5.32% 6/12/47 (l) | 123,497 | 126,115 | ||
Class A3, 5.447% 6/12/47 (l) | 3,606,000 | 3,847,577 | ||
JPMorgan Mortgage Trust: | ||||
sequential payer Series 2006-A5 Class 3A5, 5.9219% 8/25/36 (l) | 2,600,000 | 2,210,499 | ||
Series 2004-A3 Class 4A1, 4.2862% 7/25/34 (l) | 2,250,884 | 2,182,661 | ||
Series 2004-A5 Class 2A1, 2.8213% 12/25/34 (l) | 2,015,898 | 1,835,559 | ||
Series 2006-A2 Class 5A1, 3.3347% 11/25/33 (l) | 3,391,893 | 3,178,182 | ||
LB Commercial Conduit Mortgage Trust Series 1998-C4 Class F, 6% 10/15/35 (f) | 26,448 | 26,652 | ||
LB-UBS Commercial Mortgage Trust sequential payer Series 2006-C6 Class A4, 5.372% 9/15/39 | 857,000 | 924,089 | ||
Luminent Mortgage Trust: | ||||
floater Series 2006-1 Class A1, 0.5038% 4/25/36 (l) | 18,459,255 | 10,202,845 | ||
Series 2006-5 Class A1A, 0.4538% 7/25/36 (l) | 14,442,196 | 7,728,429 | ||
MASTR Adjustable Rate Mortgages Trust Series 2007-3 Class 22A2, 0.4738% 5/25/47 (l) | 3,687,327 | 2,311,229 | ||
MASTR Asset Backed Securities Trust Series 2006-NC3 Class M1, 0.4938% 10/25/36 (l) | 547,000 | 2,615 | ||
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.4338% 2/25/37 (l) | 8,493,813 | 5,668,401 | ||
Merrill Lynch Floating Trust floater Series 2006-1: | ||||
Class B, 0.446% 6/15/22 (f)(l) | 251,984 | 216,706 | ||
Class C, 0.466% 6/15/22 (f)(l) | 1,559,607 | 1,325,666 | ||
Class D, 0.476% 6/15/22 (f)(l) | 600,006 | 498,005 | ||
Class E, 0.486% 6/15/22 (f)(l) | 959,771 | 729,426 | ||
Class F, 0.516% 6/15/22 (f)(l) | 1,545,171 | 1,097,071 | ||
Class G, 0.586% 6/15/22 (f)(l) | 359,765 | 244,640 | ||
Class H, 0.606% 6/15/22 (f)(l) | 720,211 | 453,733 | ||
Class J, 0.646% 6/15/22 (f)(l) | 840,246 | 445,330 | ||
Class TM, 0.776% 6/15/22 (f)(l) | 1,549,424 | 1,340,251 | ||
Merrill Lynch Mortgage Investors Trust: | ||||
Series 1998-C3 Class F, 6% 12/15/30 (f) | 930,000 | 905,076 | ||
Series 2004-A4 Class A1, 2.8028% 8/25/34 (l) | 2,347,930 | 2,229,059 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (c) | Value | ||
Private Sponsor - continued | ||||
Merrill Lynch Mortgage Investors Trust: - continued | ||||
Series 2005-A2 Class A7, 2.8016% 2/25/35 (l) | $ 1,960,183 | $ 1,805,704 | ||
Series 2006-A6 Class A4, 3.5975% 10/25/33 (l) | 1,675,380 | 1,499,242 | ||
Merrill Lynch Mortgage Trust Series 2002-MW1 Class E, 6.219% 7/12/34 (f) | 101,000 | 102,811 | ||
Merrill Lynch-CFC Commercial Mortgage Trust Series 2006-3 Class ASB, 5.382% 7/12/46 (l) | 8,143,000 | 8,706,213 | ||
Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 0.5538% 7/25/35 (l) | 2,467,653 | 1,945,208 | ||
Option One Mortgage Loan Trust floater Series 2007-CP1 Class M1, 0.5638% 3/25/37 (l) | 2,994,072 | 206,765 | ||
Provident Funding Mortgage Loan Trust Series 2005-2 Class 3A, 2.9% 10/25/35 (l) | 3,497,088 | 2,955,046 | ||
RESI Finance LP/RESI Finance DE Corp. floater Series 2003-B: | ||||
Class B5, 2.6434% 7/10/35 (f)(l) | 1,985,779 | 1,105,682 | ||
Class B6, 3.1434% 7/10/35 (f)(l) | 442,756 | 216,331 | ||
Residential Accredit Loans, Inc. floater Series 2005-QO5 Class A1, 1.4017% 1/25/46 (l) | 15,143,171 | 8,252,080 | ||
Residential Asset Mortgage Products, Inc. sequential payer: | ||||
Series 2003-SL1 Class A31, 7.125% 4/25/31 | 1,126,716 | 1,140,318 | ||
Series 2004-SL3 Class A1, 7% 8/25/16 | 77,369 | 75,208 | ||
Residential Funding Securities Corp. floater Series 2003-RP2 Class A1, 0.7138% 6/25/33 (f)(l) | 484,454 | 384,008 | ||
RESIX Finance Ltd. floater Series 2007-A Class BB, 3.6259% 2/15/39 (f)(l) | 65,240 | 111 | ||
Salomon Brothers Mortgage Securities VII, Inc. Series 2006-C2 Class H, 6.308% 7/18/33 (f) | 268,000 | 267,342 | ||
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 1.1948% 7/20/34 (l) | 40,340 | 21,099 | ||
Structured Asset Mortgage Investments, Inc. floater Series 2006-AR6 Class 2A1, 0.4538% 7/25/46 (l) | 29,127,201 | 17,421,556 | ||
Structured Asset Securities Corp.: | ||||
Series 2003-15A Class 4A, 5.3532% 4/25/33 (l) | 693,273 | 671,677 | ||
Series 2003-20 Class 1A1, 5.5% 7/25/33 | 617,012 | 631,218 | ||
TBW Mortgage-Backed pass-thru certificates floater Series 2006-4 Class A3, 0.5288% 9/25/36 (l) | 3,273,627 | 1,868,245 | ||
WaMu Mortgage pass-thru certificates: | ||||
Series 2003-AR8 Class A, 2.8215% 8/25/33 (l) | 1,186,592 | 1,129,715 | ||
Series 2005-AR3 Class A2, 2.727% 3/25/35 (l) | 3,106,840 | 2,722,051 | ||
Wells Fargo Mortgage Backed Securities Trust: | ||||
Series 2003-12 Class B6, 4.75% 11/25/18 (f) | 221,447 | 33,217 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (c) | Value | ||
Private Sponsor - continued | ||||
Wells Fargo Mortgage Backed Securities Trust: - continued | ||||
Series 2004-EE Class 2A2, 2.902% 12/25/34 (l) | $ 1,055,397 | $ 982,610 | ||
Series 2004-H Class A1, 4.5346% 6/25/34 (l) | 2,154,220 | 2,068,322 | ||
Series 2004-W Class A9, 2.9891% 11/25/34 (l) | 3,483,000 | 3,326,041 | ||
Series 2005-AR10 Class 2A2, 2.9141% 6/25/35 (l) | 2,508,372 | 2,418,285 | ||
Series 2005-AR12: | ||||
Class 2A5, 2.9082% 7/25/35 (l) | 9,260,000 | 8,654,447 | ||
Class 2A6, 2.9082% 7/25/35 (l) | 1,091,974 | 1,016,322 | ||
Series 2005-AR2: | ||||
Class 1A2, 2.8803% 3/25/35 (l) | 3,776,637 | 2,146,068 | ||
Class 2A2, 2.8765% 3/25/35 (l) | 3,093,130 | 2,862,511 | ||
Series 2005-AR3 Class 2A1, 2.9468% 3/25/35 (l) | 1,837,041 | 1,656,675 | ||
TOTAL PRIVATE SPONSOR | 234,559,579 | |||
U.S. Government Agency - 0.0% | ||||
Fannie Mae subordinate REMIC pass-thru certificates planned amortization class Series 2002-9 Class PC, 6% 3/25/17 | 381,058 | 412,057 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $197,073,880) | 234,971,636 | |||
Commercial Mortgage Securities - 6.4% | ||||
| ||||
Asset Securitization Corp.: | ||||
Series 1996-D2 Class B1A, 8.6374% 2/14/29 (f)(l) | 800,000 | 776,880 | ||
Series 1997-D4: | ||||
Class B1, 7.525% 4/14/29 | 210,000 | 219,954 | ||
Class B2, 7.525% 4/14/29 | 1,498,104 | 1,550,837 | ||
Class B5, 7.525% 4/14/29 | 129,000 | 83,016 | ||
Series 1997-D5: | ||||
Class A2, 6.8128% 2/14/43 (l) | 1,399,000 | 1,521,095 | ||
Class A3, 6.8628% 2/14/43 (l) | 1,510,000 | 1,638,337 | ||
Class A5, 6.9328% 2/14/43 (l) | 256,000 | 275,727 | ||
Class A6, 7.1828% 2/14/43 (l) | 2,470,000 | 2,640,953 | ||
Class A7, 7.4228% 2/14/43 (l) | 820,000 | 873,384 | ||
Class PS1, 1.387% 2/14/43 (l)(n) | 5,849,348 | 172,395 | ||
Banc of America Commercial Mortgage Trust: | ||||
sequential payer: | ||||
Series 2006-2 Class AAB, 5.7202% 5/10/45 (l) | 2,221,000 | 2,389,961 | ||
Series 2006-4 Class A1, 5.363% 7/10/46 (l) | 342,144 | 344,519 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (c) | Value | ||
Banc of America Commercial Mortgage Trust: - continued | ||||
sequential payer: | ||||
Series 2006-5: | ||||
Class A1, 5.185% 9/10/47 | $ 814,862 | $ 820,947 | ||
Class A2, 5.317% 9/10/47 | 7,342,000 | 7,692,014 | ||
Class A3, 5.39% 9/10/47 | 2,653,000 | 2,861,396 | ||
Series 2006-6 Class A3, 5.369% 10/10/45 | 3,804,000 | 3,966,996 | ||
Series 2007-2 Class A1, 5.421% 4/10/49 | 444,304 | 456,800 | ||
Series 2007-4 Class A3, 5.811% 2/10/51 (l) | 1,897,000 | 2,044,458 | ||
Series 2006-6 Class E, 5.619% 10/10/45 (f) | 1,098,000 | 200,318 | ||
Series 2007-3: | ||||
Class A3, 5.6578% 6/10/49 (l) | 3,176,000 | 3,402,940 | ||
Class A4, 5.6578% 6/10/49 (l) | 3,965,000 | 3,990,256 | ||
Series 2008-1 Class D, 6.4159% 2/10/51 (f)(l) | 125,000 | 40,620 | ||
Banc of America Commercial Mortgage, Inc.: | ||||
sequential payer: | ||||
Series 2001-1 Class A4, 5.451% 1/15/49 | 4,166,000 | 4,339,834 | ||
Series 2002-2 Class F, 5.487% 7/11/43 | 415,000 | 399,457 | ||
Series 2004-2: | ||||
Class A3, 4.05% 11/10/38 | 2,097,672 | 2,125,097 | ||
Class A4, 4.153% 11/10/38 | 2,412,000 | 2,493,303 | ||
Series 2004-4 Class A3, 4.128% 7/10/42 | 118,932 | 118,851 | ||
Series 2005-1 Class A3, 4.877% 11/10/42 | 3,450,837 | 3,467,363 | ||
Series 2006-1 Class A1, 5.219% 9/10/45 (l) | 1,199,820 | 1,203,937 | ||
Series 2007-1 Class A2, 5.381% 1/15/49 | 4,040,000 | 4,169,308 | ||
Series 2001-3 Class H, 6.562% 4/11/37 (f) | 1,472,000 | 1,456,505 | ||
Series 2001-PB1: | ||||
Class J, 7.166% 5/11/35 (f) | 474,000 | 456,262 | ||
Class K, 6.15% 5/11/35 (f) | 885,000 | 797,352 | ||
Series 2003-1 Class G, 5.608% 9/11/36 (f) | 310,000 | 304,070 | ||
Series 2003-2 Class XP, 0.307% 3/11/41 (f)(l)(n) | 16,252,068 | 10,676 | ||
Series 2004-1 Class F, 5.279% 11/10/39 (f) | 185,000 | 142,586 | ||
Series 2004-4: | ||||
Class K, 4.637% 7/10/42 (f)(l) | 300,000 | 1,170 | ||
Class L, 4.637% 7/10/42 (f)(l) | 280,000 | 504 | ||
Series 2004-5 Class G, 5.3157% 11/10/41 (f)(l) | 195,000 | 115,537 | ||
Series 2005-1 Class CJ, 5.1705% 11/10/42 (l) | 550,000 | 534,378 | ||
Series 2005-3 Series A3B, 5.09% 7/10/43 (l) | 5,908,000 | 6,314,511 | ||
Series 2005-6: | ||||
Class A3, 5.1778% 9/10/47 (l) | 3,423,000 | 3,536,015 | ||
Class AJ, 5.1778% 9/10/47 (l) | 300,000 | 274,926 | ||
Series 2007-1 Class B, 5.543% 1/15/49 | 1,146,000 | 375,943 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (c) | Value | ||
Banc of America Large Loan, Inc. floater: | ||||
sequential payer: | ||||
Series 2005-MIB1: | ||||
Class B, 0.5359% 3/15/22 (f)(l) | $ 390,000 | $ 339,573 | ||
Class C, 0.5859% 3/15/22 (f)(l) | 817,000 | 669,940 | ||
Class D, 0.6359% 3/15/22 (f)(l) | 826,000 | 644,280 | ||
Class E, 0.6759% 3/15/22 (f)(l) | 684,000 | 513,479 | ||
Class F, 0.7459% 3/15/22 (f)(l) | 615,784 | 431,049 | ||
Class G, 0.8059% 3/15/22 (f)(l) | 399,119 | 259,427 | ||
Class J, 1.3259% 3/15/22 (f)(l) | 288,000 | 187,200 | ||
Series 2006-BIX1: | ||||
Class C, 0.4559% 10/15/19 (f)(l) | 1,222,000 | 1,014,260 | ||
Class D, 0.4859% 10/15/19 (f)(l) | 1,494,000 | 1,254,960 | ||
Class E, 0.5159% 10/15/19 (f)(l) | 1,385,000 | 1,147,057 | ||
Class F, 0.5859% 10/15/19 (f)(l) | 3,150,730 | 2,534,132 | ||
Class G, 0.6059% 10/15/19 (f)(l) | 1,245,579 | 867,670 | ||
Bayview Commercial Asset Trust: | ||||
floater: | ||||
Series 2003-2 Class M1, 1.1138% 12/25/33 (f)(l) | 81,882 | 48,310 | ||
Series 2004-1: | ||||
Class A, 0.6238% 4/25/34 (f)(l) | 1,447,099 | 1,143,208 | ||
Class B, 2.1638% 4/25/34 (f)(l) | 162,240 | 81,120 | ||
Class M1, 0.8238% 4/25/34 (f)(l) | 130,261 | 88,577 | ||
Class M2, 1.4638% 4/25/34 (f)(l) | 120,343 | 68,596 | ||
Series 2004-2: | ||||
Class A, 0.6938% 8/25/34 (f)(l) | 1,138,710 | 899,581 | ||
Class M1, 0.8438% 8/25/34 (f)(l) | 191,677 | 120,756 | ||
Series 2004-3: | ||||
Class A1, 0.6338% 1/25/35 (f)(l) | 2,568,342 | 2,003,306 | ||
Class A2, 0.6838% 1/25/35 (f)(l) | 368,554 | 239,560 | ||
Class M1, 0.7638% 1/25/35 (f)(l) | 443,356 | 285,964 | ||
Class M2, 1.2638% 1/25/35 (f)(l) | 205,441 | 127,374 | ||
Series 2005-2A: | ||||
Class A1, 0.5738% 8/25/35 (f)(l) | 1,981,934 | 1,478,523 | ||
Class M1, 0.6938% 8/25/35 (f)(l) | 98,703 | 56,764 | ||
Class M2, 0.7438% 8/25/35 (f)(l) | 162,793 | 89,927 | ||
Class M3, 0.7638% 8/25/35 (f)(l) | 90,069 | 45,863 | ||
Class M4, 0.8738% 8/25/35 (f)(l) | 82,680 | 39,306 | ||
Series 2005-3A: | ||||
Class A1, 0.5838% 11/25/35 (f)(l) | 724,981 | 539,603 | ||
Class A2, 0.6638% 11/25/35 (f)(l) | 718,453 | 463,402 | ||
Class M1, 0.7038% 11/25/35 (f)(l) | 85,747 | 43,619 | ||
Class M2, 0.7538% 11/25/35 (f)(l) | 108,865 | 51,286 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (c) | Value | ||
Bayview Commercial Asset Trust: - continued | ||||
floater: | ||||
Series 2005-3A: | ||||
Class M3, 0.7738% 11/25/35 (f)(l) | $ 97,432 | $ 44,195 | ||
Class M4, 0.8638% 11/25/35 (f)(l) | 121,391 | 52,113 | ||
Series 2005-4A: | ||||
Class A2, 0.6538% 1/25/36 (f)(l) | 1,683,218 | 1,077,260 | ||
Class B1, 1.6638% 1/25/36 (f)(l) | 145,459 | 48,001 | ||
Class M1, 0.7138% 1/25/36 (f)(l) | 542,974 | 282,346 | ||
Class M2, 0.7338% 1/25/36 (f)(l) | 162,892 | 79,817 | ||
Class M3, 0.7638% 1/25/36 (f)(l) | 237,891 | 109,430 | ||
Class M4, 0.8738% 1/25/36 (f)(l) | 131,567 | 52,627 | ||
Class M5, 0.9138% 1/25/36 (f)(l) | 131,567 | 50,653 | ||
Class M6, 0.9638% 1/25/36 (f)(l) | 139,739 | 50,306 | ||
Series 2006-1: | ||||
Class A2, 0.6238% 4/25/36 (f)(l) | 256,717 | 172,000 | ||
Class M1, 0.6438% 4/25/36 (f)(l) | 91,817 | 45,798 | ||
Class M2, 0.6638% 4/25/36 (f)(l) | 97,010 | 46,526 | ||
Class M3, 0.6838% 4/25/36 (f)(l) | 83,470 | 36,168 | ||
Class M4, 0.7838% 4/25/36 (f)(l) | 47,300 | 17,998 | ||
Class M5, 0.8238% 4/25/36 (f)(l) | 45,908 | 17,528 | ||
Class M6, 0.9038% 4/25/36 (f)(l) | 91,538 | 35,187 | ||
Series 2006-2A: | ||||
Class A1, 0.4938% 7/25/36 (f)(l) | 4,653,315 | 3,594,685 | ||
Class A2, 0.5438% 7/25/36 (f)(l) | 230,216 | 156,662 | ||
Class B1, 1.1338% 7/25/36 (f)(l) | 86,196 | 22,342 | ||
Class B3, 2.9638% 7/25/36 (f)(l) | 130,229 | 24,131 | ||
Class M1, 0.5738% 7/25/36 (f)(l) | 241,544 | 114,830 | ||
Class M2, 0.5938% 7/25/36 (f)(l) | 170,421 | 77,916 | ||
Class M3, 0.6138% 7/25/36 (f)(l) | 141,361 | 58,029 | ||
Class M4, 0.6838% 7/25/36 (f)(l) | 95,456 | 37,982 | ||
Class M5, 0.7338% 7/25/36 (f)(l) | 117,324 | 42,190 | ||
Class M6, 0.8038% 7/25/36 (f)(l) | 175,051 | 54,598 | ||
Series 2006-3A: | ||||
Class B1, 1.0638% 10/25/36 (f)(l) | 153,228 | 30,646 | ||
Class B2, 1.6138% 10/25/36 (f)(l) | 110,517 | 19,341 | ||
Class B3, 2.8638% 10/25/36 (f)(l) | 179,849 | 28,776 | ||
Class M4, 0.6938% 10/25/36 (f)(l) | 169,345 | 54,190 | ||
Class M5, 0.7438% 10/25/36 (f)(l) | 202,730 | 56,765 | ||
Class M6, 0.8238% 10/25/36 (f)(l) | 396,827 | 95,238 | ||
Series 2006-4A: | ||||
Class A1, 0.4938% 12/25/36 (f)(l) | 879,858 | 654,175 | ||
Class A2, 0.5338% 12/25/36 (f)(l) | 4,476,943 | 2,845,993 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (c) | Value | ||
Bayview Commercial Asset Trust: - continued | ||||
floater: | ||||
Series 2006-4A: | ||||
Class B1, 0.9638% 12/25/36 (f)(l) | $ 136,886 | $ 33,031 | ||
Class B2, 1.5138% 12/25/36 (f)(l) | 139,528 | 27,208 | ||
Class B3, 2.7138% 12/25/36 (f)(l) | 237,606 | 26,731 | ||
Class M1, 0.5538% 12/25/36 (f)(l) | 286,388 | 134,173 | ||
Class M2, 0.5738% 12/25/36 (f)(l) | 190,925 | 81,907 | ||
Class M3, 0.6038% 12/25/36 (f)(l) | 193,596 | 75,754 | ||
Class M4, 0.6638% 12/25/36 (f)(l) | 231,647 | 82,466 | ||
Class M5, 0.7038% 12/25/36 (f)(l) | 212,955 | 71,510 | ||
Class M6, 0.7838% 12/25/36 (f)(l) | 190,925 | 60,810 | ||
Series 2007-1: | ||||
Class A2, 0.5338% 3/25/37 (f)(l) | 976,666 | 615,300 | ||
Class B1, 0.9338% 3/25/37 (f)(l) | 310,738 | 68,362 | ||
Class B2, 1.4138% 3/25/37 (f)(l) | 225,301 | 41,681 | ||
Class B3, 3.6138% 3/25/37 (f)(l) | 616,916 | 92,537 | ||
Class M1, 0.5338% 3/25/37 (f)(l) | 273,413 | 123,036 | ||
Class M2, 0.5538% 3/25/37 (f)(l) | 204,208 | 79,641 | ||
Class M3, 0.5838% 3/25/37 (f)(l) | 181,105 | 63,387 | ||
Class M4, 0.6338% 3/25/37 (f)(l) | 145,550 | 46,576 | ||
Class M5, 0.6838% 3/25/37 (f)(l) | 227,206 | 65,890 | ||
Class M6, 0.7638% 3/25/37 (f)(l) | 318,104 | 77,936 | ||
Series 2007-2A: | ||||
Class A1, 0.5338% 7/25/37 (f)(l) | 869,083 | 608,358 | ||
Class A2, 0.5838% 7/25/37 (f)(l) | 812,041 | 422,261 | ||
Class B1, 1.8638% 7/25/37 (f)(l) | 250,086 | 37,513 | ||
Class B2, 2.5138% 7/25/37 (f)(l) | 216,518 | 32,478 | ||
Class B3, 3.6138% 7/25/37 (f)(l) | 243,430 | 31,646 | ||
Class M1, 0.6338% 7/25/37 (f)(l) | 285,143 | 108,354 | ||
Class M2, 0.6738% 7/25/37 (f)(l) | 155,814 | 46,744 | ||
Class M3, 0.7538% 7/25/37 (f)(l) | 157,987 | 36,337 | ||
Class M4, 0.9138% 7/25/37 (f)(l) | 311,919 | 62,384 | ||
Class M5, 1.0138% 7/25/37 (f)(l) | 274,963 | 46,744 | ||
Class M6, 1.2638% 7/25/37 (f)(l) | 348,635 | 54,038 | ||
Series 2007-3: | ||||
Class A2, 0.5538% 7/25/37 (f)(l) | 914,846 | 558,239 | ||
Class B1, 1.2138% 7/25/37 (f)(l) | 222,359 | 50,431 | ||
Class B2, 1.8638% 7/25/37 (f)(l) | 556,445 | 121,583 | ||
Class B3, 4.2638% 7/25/37 (f)(l) | 295,606 | 60,984 | ||
Class M1, 0.5738% 7/25/37 (f)(l) | 198,696 | 89,135 | ||
Class M2, 0.6038% 7/25/37 (f)(l) | 212,966 | 78,776 | ||
Class M3, 0.6338% 7/25/37 (f)(l) | 335,582 | 108,259 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (c) | Value | ||
Bayview Commercial Asset Trust: - continued | ||||
floater: | ||||
Series 2007-3: | ||||
Class M4, 0.7638% 7/25/37 (f)(l) | $ 526,914 | $ 158,232 | ||
Class M5, 0.8638% 7/25/37 (f)(l) | 273,310 | 77,292 | ||
Class M6, 1.0638% 7/25/37 (f)(l) | 208,406 | 49,955 | ||
Series 2007-4A: | ||||
Class B1, 2.8138% 9/25/37 (f)(l) | 331,217 | 33,122 | ||
Class B2, 3.7138% 9/25/37 (f)(l) | 1,205,075 | 108,457 | ||
Class M1, 1.2138% 9/25/37 (f)(l) | 318,490 | 85,992 | ||
Class M2, 1.3138% 9/25/37 (f)(l) | 318,490 | 73,253 | ||
Class M4, 1.8638% 9/25/37 (f)(l) | 814,589 | 146,626 | ||
Class M5, 2.0138% 9/25/37 (f)(l) | 814,589 | 122,188 | ||
Class M6, 2.2138% 9/25/37 (f)(l) | 816,170 | 97,940 | ||
Series 2004-1 Class IO, 1.25% 4/25/34 (f)(n) | 4,703,389 | 157,564 | ||
Series 2007-5A Class IO, 3.047% 10/25/37 (f)(l)(n) | 10,714,505 | 1,157,167 | ||
Bear Stearns Commercial Mortgage Securities, Inc. Series 2006-PW11 Class AJ, 5.6234% 3/11/39 (l) | 450,000 | 399,179 | ||
Bear Stearns Commercial Mortgage Securities Trust: | ||||
floater: | ||||
Series 2006-BBA7: | ||||
Class D, 0.5359% 3/15/19 (f)(l) | 200,000 | 169,173 | ||
Class E, 0.5959% 3/15/19 (f)(l) | 365,000 | 299,101 | ||
Class F, 0.6159% 3/15/19 (f)(l) | 160,000 | 125,770 | ||
Class G, 0.7159% 3/15/19 (f)(l) | 1,020,386 | 745,872 | ||
Class H, 0.9259% 3/15/19 (f)(l) | 541,917 | 304,341 | ||
Class J, 1.1259% 3/15/19 (f)(l) | 407,118 | 219,641 | ||
Series 2007-BBA8: | ||||
Class D, 0.5259% 3/15/22 (f)(l) | 655,330 | 380,091 | ||
Class E, 0.5759% 3/15/22 (f)(l) | 3,607,157 | 1,983,936 | ||
Class F, 0.6259% 3/15/22 (f)(l) | 2,235,922 | 1,140,320 | ||
Class G, 0.6759% 3/15/22 (f)(l) | 537,549 | 258,024 | ||
Class H, 0.8259% 3/15/22 (f)(l) | 655,330 | 262,132 | ||
Class J, 0.9759% 3/15/22 (f)(l) | 655,330 | 209,706 | ||
sequential payer: | ||||
Series 2003-PWR2 Class A3, 4.834% 5/11/39 | 670,528 | 682,081 | ||
Series 2004-PWR3 Class A3, 4.487% 2/11/41 | 1,902,925 | 1,933,895 | ||
Series 2006-PW14 Class AM, 5.243% 12/11/38 | 600,000 | 566,892 | ||
Series 2006-T24 Class A1, 4.905% 10/12/41 (l) | 1,532,220 | 1,559,889 | ||
Series 2007-PW16 Class A4, 5.7172% 6/11/40 (l) | 1,112,000 | 1,171,472 | ||
Series 2007-PW17 Class A1, 5.282% 6/11/50 | 892,295 | 910,745 | ||
Series 2007-T26 Class A1, 5.145% 1/12/45 (l) | 498,561 | 510,803 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (c) | Value | ||
Bear Stearns Commercial Mortgage Securities Trust: - continued | ||||
Series 1999-C1: | ||||
Class G, 5.64% 2/14/31 (f) | $ 70,000 | $ 64,139 | ||
Class I, 5.64% 2/14/31 (f) | 205,000 | 63,720 | ||
Series 2003-PWR2 Class X2, 0.4686% 5/11/39 (f)(l)(n) | 14,745,455 | 77,585 | ||
Series 2006-PW13 Class A3, 5.518% 9/11/41 | 6,714,000 | 7,116,337 | ||
Series 2006-PW14 Class X2, 0.6529% 12/11/38 (f)(l)(n) | 25,773,245 | 462,351 | ||
Series 2006-T22: | ||||
Class A4, 5.4623% 4/12/38 (l) | 237,000 | 262,020 | ||
Class B, 5.4623% 4/12/38 (f)(l) | 200,000 | 168,511 | ||
Series 2007-BBA8: | ||||
Class K, 1.4759% 3/15/22 (f)(l) | 120,000 | 32,400 | ||
Class L, 2.1759% 3/15/22 (f)(l) | 253,568 | 55,785 | ||
Series 2007-PW15 Class A1, 5.016% 2/11/44 | 417,961 | 427,490 | ||
Series 2007-PW16: | ||||
Class B, 5.7172% 6/11/40 (f)(l) | 304,000 | 109,502 | ||
Class C, 5.7172% 6/11/40 (f)(l) | 255,000 | 79,093 | ||
Class D, 5.7172% 6/11/40 (f)(l) | 255,000 | 67,292 | ||
Series 2007-PW18 Class X2, 0.3206% 6/11/50 (f)(l)(n) | 177,669,388 | 2,278,059 | ||
Series 2007-T28: | ||||
Class A1, 5.422% 9/11/42 | 279,634 | 289,179 | ||
Class X2, 0.1751% 9/11/42 (f)(l)(n) | 88,855,592 | 692,967 | ||
C-BASS Trust floater Series 2006-SC1 Class A, 0.5338% 5/25/36 (f)(l) | 925,172 | 546,311 | ||
CDC Commercial Mortgage Trust Series 2002-FX1: | ||||
Class G, 6.625% 5/15/35 (f) | 2,235,000 | 2,409,259 | ||
Class XCL, 2.1172% 5/15/35 (f)(l)(n) | 24,788,523 | 692,153 | ||
Chase Commercial Mortgage Securities Corp.: | ||||
Series 1998-1 Class H, 6.34% 5/18/30 (f) | 800,000 | 608,718 | ||
Series 1998-2 Class J, 6.39% 11/18/30 (f) | 489,107 | 104,082 | ||
Series 1999-2: | ||||
Class E, 7.734% 1/15/32 | 82,554 | 82,335 | ||
Class F, 7.734% 1/15/32 | 413,000 | 411,573 | ||
Series 2001-245 Class A2, 6.275% 2/12/16 (f)(l) | 1,888,017 | 1,919,168 | ||
Chase Manhattan Bank-First Union National Bank Commercial Mortgage Trust Series 1999-1 Class G, 6.4% 8/15/31 (f) | 290,000 | 301,293 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (c) | Value | ||
Citigroup Commercial Mortgage Trust: | ||||
floater: | ||||
Series 2006-FL2: | ||||
Class F, 0.5819% 8/15/21 (f)(l) | $ 678,000 | $ 593,853 | ||
Class G, 0.6019% 8/15/21 (f)(l) | 542,222 | 437,980 | ||
Class H, 0.6419% 8/15/21 (f)(l) | 433,548 | 324,472 | ||
Series 2007-FL3A: | ||||
Class MLA1, 1.0759% 4/15/22 (f)(l) | 291,000 | 243,812 | ||
Classs MLA2, 1.3259% 4/15/22 (f)(l) | 129,000 | 105,320 | ||
sequential payer Series 2006-C5 Class A4, 5.431% 10/15/49 | 9,955,000 | 10,704,243 | ||
Series 2006-C5 Class AMP2, 5.5005% 10/15/49 (f) | 3,198,044 | 2,956,826 | ||
Series 2007-C6: | ||||
Class A1, 5.622% 12/10/49 (l) | 10,665,557 | 10,857,275 | ||
Class A4, 5.6985% 12/10/49 (l) | 5,830,000 | 6,204,389 | ||
Series 2007-FL3A Class A2, 0.4159% 4/15/22 (f)(l) | 6,878,000 | 5,916,260 | ||
Citigroup/Deutsche Bank Commercial Mortgage Trust: | ||||
sequential payer Series 2007-CD4: | ||||
Class A1, 4.977% 12/11/49 | 321,603 | 324,829 | ||
Class A2A, 5.237% 12/11/49 | 11,693,000 | 12,023,889 | ||
Class A4, 5.322% 12/11/49 | 10,093,000 | 10,282,783 | ||
Series 2007-CD4: | ||||
Class A3, 5.293% 12/11/49 | 1,852,000 | 1,958,018 | ||
Class C, 5.476% 12/11/49 | 3,581,000 | 1,002,680 | ||
Claregold Trust Series 2007-2A: | ||||
Class F, 5.01% 5/15/44 (f)(l) | CAD | 138,000 | 71,343 | |
Class G, 5.01% 5/15/44 (f)(l) | CAD | 30,000 | 13,921 | |
Class H, 5.01% 5/15/44 (f)(l) | CAD | 20,000 | 7,834 | |
Class J, 5.01% 5/15/44 (f)(l) | CAD | 20,000 | 7,135 | |
Class K, 5.01% 5/15/44 (f)(l) | CAD | 10,000 | 2,986 | |
Class L, 5.01% 5/15/44 (f)(l) | CAD | 36,000 | 9,879 | |
Class M, 5.01% 5/15/44 (f)(l) | CAD | 165,000 | 41,732 | |
Cobalt CMBS Commercial Mortgage Trust: | ||||
sequential payer Series 2007-C3 Class A3, 5.8179% 5/15/46 (l) | 1,902,000 | 2,033,310 | ||
Series 2006-C1 Class B, 5.359% 8/15/48 | 5,706,000 | 798,840 | ||
COMM pass-thru certificates: | ||||
floater: | ||||
Series 2005-F10A: | ||||
Class B, 0.5059% 4/15/17 (f)(l) | 4,261,000 | 3,621,850 | ||
Class C, 0.5459% 4/15/17 (f)(l) | 1,531,000 | 1,255,420 | ||
Class D, 0.5859% 4/15/17 (f)(l) | 950,056 | 741,044 | ||
Class E, 0.6459% 4/15/17 (f)(l) | 802,445 | 601,834 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (c) | Value | ||
COMM pass-thru certificates: - continued | ||||
floater: | ||||
Series 2005-F10A: | ||||
Class F, 0.6859% 4/15/17 (f)(l) | $ 171,562 | $ 118,378 | ||
Class G, 0.8259% 4/15/17 (f)(l) | 171,562 | 108,084 | ||
Class H, 0.8959% 4/15/17 (f)(l) | 171,562 | 89,212 | ||
Class J, 1.1259% 4/15/17 (f)(l) | 131,565 | 52,626 | ||
Series 2005-FL11: | ||||
Class B, 0.5259% 11/15/17 (f)(l) | 232,354 | 220,736 | ||
Class C, 0.5759% 11/15/17 (f)(l) | 1,913,631 | 1,760,540 | ||
Class D, 0.6159% 11/15/17 (f)(l) | 99,518 | 89,566 | ||
Class E, 0.6659% 11/15/17 (f)(l) | 353,792 | 307,799 | ||
Class F, 0.7259% 11/15/17 (f)(l) | 245,114 | 200,994 | ||
Class G, 0.7759% 11/15/17 (f)(l) | 169,901 | 118,931 | ||
Series 2006-FL12 Class AJ, 0.4059% 12/15/20 (f)(l) | 2,710,000 | 2,249,300 | ||
sequential payer: | ||||
Series 2005-C6 Class A2, 4.999% 6/10/44 (l) | 28,687 | 28,668 | ||
Series 2006-C8 Class A3, 5.31% 12/10/46 | 5,420,000 | 5,647,875 | ||
Series 2006-CN2A Class A2FX, 5.449% 2/5/19 (f) | 3,216,000 | 3,226,318 | ||
Series 2007-C9 Class A4, 5.8157% 12/10/49 (l) | 4,209,000 | 4,555,588 | ||
Series 2001-J1A Class F, 6.958% 2/16/34 (f) | 600,000 | 605,247 | ||
Series 2001-J2A Class F, 7.0306% 7/16/34 (f)(l) | 199,000 | 167,245 | ||
Series 2004-LBN2 Class X2, 0.8492% 3/10/39 (f)(l)(n) | 3,747,116 | 13,653 | ||
Series 2006-C8: | ||||
Class B, 5.44% 12/10/46 | 3,294,000 | 1,026,809 | ||
Class XP, 0.4814% 12/10/46 (l)(n) | 20,651,829 | 303,433 | ||
Commercial Mortgage Acceptance Corp.: | ||||
Series 1998-C1: | ||||
Class F, 6.23% 7/15/31 (f) | 98,665 | 101,030 | ||
Class G, 6.21% 7/15/31 (f) | 554,000 | 566,045 | ||
weighted average coupon Series 1998-C2 Class F, 5.44% 9/15/30 (f)(l) | 204,930 | 212,347 | ||
Commercial Mortgage Asset Trust: | ||||
Series 1999-C1 Class F, 6.25% 1/17/32 (f) | 550,000 | 460,748 | ||
Series 1999-C2 Class G, 6% 11/17/32 | 302,000 | 293,628 | ||
Credit Suisse Commercial Mortgage Trust: | ||||
sequential payer: | ||||
Series 2006-C4 Class A3, 5.467% 9/15/39 | 17,590,000 | 18,250,274 | ||
Series 2006-C5: | ||||
Class A1, 5.297% 12/15/39 | 76,945 | 77,044 | ||
Class AJ, 5.373% 12/15/39 | 3,852,000 | 2,435,370 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (c) | Value | ||
Credit Suisse Commercial Mortgage Trust: - continued | ||||
sequential payer: | ||||
Series 2007-C2: | ||||
Class A1, 5.269% 1/15/49 | $ 37,660 | $ 37,819 | ||
Class A2, 5.448% 1/15/49 (l) | 10,150,000 | 10,406,568 | ||
Class A3, 5.542% 1/15/49 (l) | 3,804,000 | 3,782,204 | ||
Series 2007-C3: | ||||
Class A1, 5.664% 6/15/39 (l) | 13,235 | 13,221 | ||
Class A4, 5.7223% 6/15/39 (l) | 1,144,000 | 1,135,584 | ||
Series 2006-C4 Class AAB, 5.439% 9/15/39 | 10,824,000 | 11,561,991 | ||
Series 2006-C5 Class ASP, 0.6707% 12/15/39 (l)(n) | 13,910,240 | 206,146 | ||
Series 2007-C5 Class A4, 5.695% 9/15/40 (l) | 1,722,000 | 1,719,580 | ||
Credit Suisse First Boston Mortgage Capital Certificates floater Series 2007-TF2A Class B, 0.6259% 4/15/22 (f)(l) | 6,783,000 | 2,713,200 | ||
Credit Suisse First Boston Mortgage Securities Corp.: | ||||
floater Series 2006-TF2A Class KER, 0.8759% 9/15/21 (f)(l) | 270,312 | 195,543 | ||
sequential payer: | ||||
Series 2001-CK6 Class B, 6.582% 8/15/36 | 1,902,000 | 1,988,649 | ||
Series 2002-CP5 Class A1, 4.106% 12/15/35 | 137,212 | 140,474 | ||
Series 2004-C1: | ||||
Class A3, 4.321% 1/15/37 | 471,381 | 477,932 | ||
Class A4, 4.75% 1/15/37 | 884,000 | 921,198 | ||
Series 1997-C2 Class F, 7.46% 1/17/35 (l) | 929,000 | 1,027,438 | ||
Series 1998-C1: | ||||
Class D, 7.17% 5/17/40 | 106,971 | 107,711 | ||
Class F, 6% 5/17/40 (f) | 659,000 | 656,763 | ||
Class H, 6% 5/17/40 (f) | 130,000 | 11,597 | ||
Series 1998-C2 Class F, 6.75% 11/11/30 (f) | 470,000 | 478,738 | ||
Series 1999-C1 Class E, 7.8879% 9/15/41 (l) | 163,845 | 163,452 | ||
Series 2001-CK6 Class AX, 0.8793% 8/15/36 (l)(n) | 5,070,486 | 39,736 | ||
Series 2001-CKN5 Class AX, 1.9642% 9/15/34 (f)(l)(n) | 15,264,879 | 189,767 | ||
Series 2001-SPGA Class C, 6.809% 8/13/18 (f) | 230,000 | 219,747 | ||
Series 2003-C3: | ||||
Class D, 4.131% 5/15/38 | 120,000 | 118,671 | ||
Class J, 4.231% 5/15/38 (f) | 300,000 | 179,225 | ||
Series 2003-C4 Class ASP, 0.4351% 8/15/36 (f)(l)(n) | 12,258,479 | 196 | ||
Series 2006-C1 Class A3, 5.5486% 2/15/39 (l) | 10,043,000 | 10,870,985 | ||
Credit Suisse Mortgage Capital Certificates: | ||||
floater Series 2007-TFL1: | ||||
Class B, 0.4259% 2/15/22 (f)(l) | 721,000 | 483,070 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (c) | Value | ||
Credit Suisse Mortgage Capital Certificates: - continued | ||||
floater Series 2007-TFL1: | ||||
Class C: | ||||
0.4459% 2/15/22 (f)(l) | $ 1,864,711 | $ 1,062,885 | ||
0.5459% 2/15/22 (f)(l) | 665,993 | 306,357 | ||
Class F, 0.5959% 2/15/22 (f)(l) | 1,331,815 | 546,044 | ||
Class L, 2.1759% 2/15/22 (f)(l) | 100,000 | 2,000 | ||
sequential payer Series 2007-C1: | ||||
Class A1, 5.227% 2/15/40 | 109,867 | 111,289 | ||
Class A2, 5.268% 2/15/40 | 18,300,000 | 18,898,112 | ||
Series 2007-C1: | ||||
Class ASP, 0.4159% 2/15/40 (l)(n) | 35,608,965 | 408,656 | ||
Class B, 5.487% 2/15/40 (f)(l) | 2,907,000 | 348,840 | ||
Credit Suisse/Morgan Stanley Commercial Mortgage Trust: | ||||
floater Series 2006-HC1A: | ||||
Class A2, 0.5359% 5/15/23 (f)(l) | 450,000 | 427,452 | ||
Class D, 0.7459% 5/15/23 (f)(l) | 170,000 | 157,223 | ||
Class F, 0.8759% 5/15/23 (f)(l) | 140,000 | 127,340 | ||
Series 2006-HC1A Class C, 0.6759% 5/15/23 (f)(l) | 355,000 | 331,057 | ||
Crest Ltd. Series 2001-1A Class C, 9% 2/25/34 (f) | 500,000 | 220,000 | ||
Deutsche Mortgage & Asset Receiving Corp. Series 1998-C1 Class J, 6.22% 6/15/31 | 400,000 | 331,540 | ||
DLJ Commercial Mortgage Corp.: | ||||
Series 1998-CG1 Class B4, 7.2267% 6/10/31 (f)(l) | 891,000 | 975,248 | ||
Series 2000-CKP1 Class B3, 8.1791% 11/10/33 (l) | 230,000 | 229,552 | ||
First Union National Bank Commercial Mortgage Trust Series 2001-C4: | ||||
Class H, 7.036% 12/12/33 (f) | 770,000 | 777,846 | ||
Class K, 6% 12/12/33 (f) | 520,000 | 507,508 | ||
First Union National Bank-Bank of America Commercial Mortgage Trust Series 2001-C1: | ||||
Class D, 6.484% 3/15/33 | 679,000 | 687,075 | ||
Class G, 6.936% 3/15/33 (f) | 1,252,000 | 1,252,228 | ||
Class H, 7.039% 3/15/33 (f) | 63,000 | 62,908 | ||
First Union-Lehman Brothers-Bank of America Commercial Mortgage Trust sequential payer Series 1998-C2 Class G, 7% 11/18/35 (f)(l) | 443,000 | 463,727 | ||
Four Times Square Trust sequential payer Series 2006-4TS Class A, 5.401% 12/13/28 (f) | 200,000 | 221,078 | ||
G-Force LLC sequential payer Series 2005-RRA Class A2, 4.83% 8/22/36 (f) | 625,000 | 584,375 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (c) | Value | ||
GE Capital Commercial Mortgage Corp.: | ||||
sequential payer: | ||||
Series 2000-1 Class A2, 6.496% 1/15/33 | $ 242,872 | $ 244,511 | ||
Series 2007-C1 Class A4, 5.543% 12/10/49 | 11,404,000 | 11,419,597 | ||
Series 2001-1 Class X1, 1.0321% 5/15/33 (f)(l)(n) | 18,284,871 | 80,808 | ||
Series 2001-3 Class C, 6.51% 6/10/38 | 287,000 | 292,260 | ||
Series 2002-1A Class H, 7.1591% 12/10/35 (f)(l) | 65,000 | 62,940 | ||
Series 2004-C1 Class X2, 1.1164% 11/10/38 (f)(l)(n) | 9,952,835 | 38,869 | ||
Series 2005-C1 Class B, 4.846% 6/10/48 (l) | 543,000 | 385,731 | ||
Series 2007-C1 Class XP, 0.2009% 12/10/49 (l)(n) | 37,275,811 | 232,400 | ||
GMAC Commercial Mortgage Securities, Inc.: | ||||
Series 1997-C1 Class H, 6.6% 7/15/29 | 468,006 | 115,509 | ||
Series 1997-C2: | ||||
Class F, 6.75% 4/15/29 (l) | 1,068,773 | 1,122,726 | ||
Class G, 6.75% 4/15/29 (l) | 504,000 | 515,472 | ||
Series 1999-C1 Class F, 6.02% 5/15/33 (f) | 540,000 | 530,192 | ||
Series 1999-C2I Class K, 6.481% 9/15/33 (o) | 385,000 | 21,560 | ||
Series 1999-C3: | ||||
Class G, 6.974% 8/15/36 (f) | 133,630 | 134,180 | ||
Class J, 6.974% 8/15/36 (f) | 226,000 | 225,990 | ||
Class K, 6.974% 8/15/36 (f) | 427,000 | 248,604 | ||
Series 2000-C1: | ||||
Class H, 7% 3/15/33 (f) | 40,835 | 40,819 | ||
Class K, 7% 3/15/33 | 90,000 | 72,996 | ||
Series 2002-C3 Class B, 5.101% 7/10/39 | 285,000 | 299,214 | ||
Series 2003-C3 Class X2, 0.6149% 4/10/40 (f)(l)(n) | 10,107,146 | 19,306 | ||
Series 2005-C1 Class X2, 0.6565% 5/10/43 (l)(n) | 7,558,172 | 74,044 | ||
Greenwich Capital Commercial Funding Corp.: | ||||
floater Series 2006-FL4 Class B, 0.49% 11/5/21 (f)(l) | 715,000 | 529,721 | ||
sequential payer: | ||||
Series 2003-C1 Class D, 4.29% 7/5/35 (f) | 490,000 | 500,414 | ||
Series 2004-GG1 Class A4, 4.755% 6/10/36 | 524,933 | 528,245 | ||
Series 2007-GG11: | ||||
Class A1, 5.358% 12/10/49 | 1,848,848 | 1,918,544 | ||
Class A2, 5.597% 12/10/49 | 3,804,000 | 4,016,721 | ||
Series 2007-GG9 Class A4, 5.444% 3/10/39 | 5,530,000 | 5,792,039 | ||
Series 2002-C1: | ||||
Class H, 5.903% 1/11/35 (f) | 97,000 | 92,493 | ||
Class J, 6.306% 1/11/35 (f) | 760,000 | 703,589 | ||
Series 2003-C2: | ||||
Class J, 5.234% 1/5/36 (f)(l) | 250,000 | 197,754 | ||
Class XP, 0.8232% 1/5/36 (f)(l)(n) | 12,076,264 | 28,345 | ||
Series 2005-GG3 Class XP, 0.6925% 8/10/42 (f)(l)(n) | 35,232,048 | 314,435 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (c) | Value | ||
Greenwich Capital Commercial Funding Corp.: - continued | ||||
Series 2006-GG7: | ||||
Class A3, 5.8883% 7/10/38 (l) | $ 5,013,000 | $ 5,443,316 | ||
Class A4, 5.8883% 7/10/38 (l) | 9,540,000 | 10,386,007 | ||
Series 2007-GG11 Class A1, 0.4798% 12/10/49 (f)(n) | 45,214,389 | 470,614 | ||
GS Mortgage Securities Corp. II: | ||||
floater: | ||||
Series 2006-FL8A: | ||||
Class C, 0.5353% 6/6/20 (f)(l) | 96,000 | 87,408 | ||
Class D, 0.5753% 6/6/20 (f)(l) | 453,000 | 391,603 | ||
Class E, 0.6653% 6/6/20 (f)(l) | 526,000 | 441,928 | ||
Class F, 0.7353% 6/6/20 (f)(l) | 835,001 | 669,793 | ||
Class J, 2.0453% 6/6/20 (f)(l) | 250,000 | 127,349 | ||
Series 2007-EOP: | ||||
Class C, 0.6153% 3/6/20 (f)(l) | 1,994,000 | 1,774,660 | ||
Class D, 0.6653% 3/6/20 (f)(l) | 4,004,000 | 3,523,520 | ||
Class F, 0.7753% 3/6/20 (f)(l) | 164,000 | 141,860 | ||
Class G, 0.8153% 3/6/20 (f)(l) | 81,000 | 68,040 | ||
Class H, 0.9453% 3/6/20 (f)(l) | 60,000 | 50,700 | ||
Class J, 1.1453% 3/6/20 (f)(l) | 86,000 | 71,380 | ||
Class L, 1.5953% 3/1/20 (f)(l) | 400,000 | 328,000 | ||
sequential payer Series 2004-GG2 Class A4, 4.964% 8/10/38 | 590,000 | 613,109 | ||
Series 1997-GL Class G, 7.7695% 7/13/30 (l) | 828,627 | 918,118 | ||
Series 1998-GLII Class G, 7.742% 4/13/31 (f)(l) | 600,000 | 548,366 | ||
Series 2001-GL3A Class JGGP, 7.6436% 8/5/18 (f)(l) | 350,000 | 245,000 | ||
Series 2005-GG4 Class XP, 0.7044% 7/10/39 (f)(l)(n) | 35,965,436 | 428,057 | ||
Series 2006-GG6 Class A2, 5.506% 4/10/38 | 10,001,421 | 10,153,282 | ||
Series 2006-RR2: | ||||
Class M, 5.68% 6/1/46 (f)(l) | 100,000 | 0 | ||
Class N, 5.68% 6/1/46 (f)(l) | 100,000 | 0 | ||
GS Mortgage Securities Trust sequential payer: | ||||
Series 2006-GG8 Class A2, 5.479% 11/10/39 | 2,852,000 | 2,925,656 | ||
Series 2007-GG10: | ||||
Class A1, 5.69% 8/10/45 | 583,171 | 601,505 | ||
Class A2, 5.778% 8/10/45 | 13,561,000 | 14,095,596 | ||
Class A4, 5.8077% 8/10/45 (l) | 13,620,000 | 14,076,785 | ||
JPMorgan Chase Commercial Mortgage Securities Corp.: | ||||
Series 2002-C1 Class E, 6.135% 7/12/37 (f) | 201,000 | 190,073 | ||
Series 2003-C1: | ||||
Class CM1, 5.5061% 1/12/37 (f)(l) | 206,377 | 167,166 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (c) | Value | ||
JPMorgan Chase Commercial Mortgage Securities Corp.: - continued | ||||
Series 2003-C1: | ||||
Class D, 5.192% 1/12/37 | $ 230,000 | $ 227,929 | ||
Series 2004-C1 Class X2, 0.9177% 1/15/38 (f)(l)(n) | 2,942,268 | 12,487 | ||
Series 2004-CB8 Class X2, 1.0321% 1/12/39 (f)(l)(n) | 2,940,154 | 16,299 | ||
Series 2009-IWST Class D, 7.6935% 12/5/27 (f)(l) | 250,000 | 274,244 | ||
JPMorgan Chase Commercial Mortgage Securities Trust: | ||||
floater: | ||||
Series 2005-FL1A Class A2, 0.4559% 2/15/19 (f)(l) | 379,864 | 358,566 | ||
Series 2006-FL1A Class E, 0.6459% 2/15/20 (f)(l) | 155,269 | 122,711 | ||
Series 2006-FLA2: | ||||
Class A2, 0.4059% 11/15/18 (f)(l) | 10,000,000 | 8,400,000 | ||
Class B, 0.4459% 11/15/18 (f)(l) | 1,403,343 | 982,340 | ||
Class C, 0.4859% 11/15/18 (f)(l) | 997,036 | 658,044 | ||
Class D, 0.5059% 11/15/18 (f)(l) | 303,719 | 173,120 | ||
Class E, 0.5559% 11/15/18 (f)(l) | 438,130 | 245,353 | ||
Class F, 0.6059% 11/15/18 (f)(l) | 655,993 | 341,117 | ||
Class G, 0.6359% 11/15/18 (f)(l) | 570,003 | 285,001 | ||
Class H, 0.7759% 11/15/18 (f)(l) | 438,130 | 192,777 | ||
sequential payer: | ||||
Series 2006-CB14 Class A3B, 5.4835% 12/12/44 (l) | 5,657,000 | 6,036,181 | ||
Series 2006-CB15 Class A3, 5.819% 6/12/43 (l) | 2,864,000 | 3,045,727 | ||
Series 2006-LDP8 Class A4, 5.399% 5/15/45 | 1,210,000 | 1,298,084 | ||
Series 2006-LDP9: | ||||
Class A2, 5.134% 5/15/47 (l) | 903,000 | 963,161 | ||
Class A3, 5.336% 5/15/47 | 9,409,000 | 9,796,998 | ||
Series 2007-CB19 Class A4, 5.7461% 2/12/49 (l) | 6,670,000 | 6,995,309 | ||
Series 2007-LD11 Class A2, 5.8025% 6/15/49 (l) | 5,340,000 | 5,583,785 | ||
Series 2007-LDP10 Class A1, 5.122% 1/15/49 | 62,688 | 63,241 | ||
Series 2007-LDPX Class A3, 5.412% 1/15/49 | 5,234,000 | 5,353,212 | ||
Series 2004-CBX Class D, 5.097% 1/12/37 (l) | 170,000 | 141,950 | ||
Series 2004-LDP4 Class D, 5.1488% 10/15/42 (l) | 1,711,000 | 792,260 | ||
Series 2004-LN2 Class D, 5.2116% 7/15/41 (l) | 420,000 | 363,731 | ||
Series 2005-CB13 Class E, 5.3519% 1/12/43 (f)(l) | 963,000 | 89,115 | ||
Series 2005-LDP3 Class A3, 4.959% 8/15/42 | 10,527,952 | 10,913,494 | ||
Series 2006-CB17 Class A3, 5.45% 12/12/43 | 543,000 | 571,298 | ||
Series 2007-CB19: | ||||
Class B, 5.7461% 2/12/49 (l) | 165,000 | 51,177 | ||
Class C, 5.7461% 2/12/49 (l) | 424,000 | 131,510 | ||
Class D, 5.7461% 2/12/49 (l) | 447,000 | 132,346 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (c) | Value | ||
LB Commercial Conduit Mortgage Trust: | ||||
Series 2007-LDP10: | ||||
Class BS, 5.437% 1/15/49 (l) | $ 364,000 | $ 109,245 | ||
Class CS, 5.466% 1/15/49 (l) | 157,000 | 40,397 | ||
Class ES, 5.541% 1/15/49 (f)(l) | 983,000 | 69,293 | ||
JPMorgan Commercial Mortgage Finance Corp.: | ||||
Series 1997-C5 Class F, 7.5605% 9/15/29 | 1,295,956 | 1,375,357 | ||
Series 2000-C9 Class G, 6.25% 10/15/32 (f) | 783,000 | 790,261 | ||
sequential payer Series 2007-C3 Class A4, 5.9499% 7/15/44 (l) | 21,615,000 | 22,359,444 | ||
Series 1998-C1 Class D, 6.98% 2/18/30 | 709,466 | 713,953 | ||
Series 1998-C4 Class G, 5.6% 10/15/35 (f) | 583,000 | 594,718 | ||
LB-UBS Commercial Mortgage Trust: | ||||
sequential payer: | ||||
Series 2001-C2 Class A2, 6.653% 11/15/27 | 339,221 | 345,293 | ||
Series 2001-C3 Class A1, 6.058% 6/15/20 | 8,836 | 8,852 | ||
Series 2004-C2 Class E, 4.487% 3/15/36 | 150,000 | 141,356 | ||
Series 2005-C7: | ||||
Class AJ, 5.323% 11/15/40 | 500,000 | 450,521 | ||
Class AM, 5.263% 11/15/40 (l) | 67,000 | 67,504 | ||
Series 2006-C1 Class A2, 5.084% 2/15/31 | 828,357 | 835,803 | ||
Series 2006-C3 Class A1, 5.478% 3/15/32 | 41,567 | 41,759 | ||
Series 2006-C6: | ||||
Class A1, 5.23% 9/15/39 | 194,132 | 194,284 | ||
Class A2, 5.262% 9/15/39 (l) | 11,694,000 | 11,995,674 | ||
Series 2006-C7: | ||||
Class A1, 5.279% 11/15/38 | 496,918 | 505,978 | ||
Class A2, 5.3% 11/15/38 | 2,092,000 | 2,157,371 | ||
Class A3, 5.347% 11/15/38 | 1,417,000 | 1,502,438 | ||
Class AM, 5.378% 11/15/38 | 160,000 | 143,688 | ||
Series 2007-C1: | ||||
Class A1, 5.391% 2/15/40 (l) | 216,855 | 220,911 | ||
Class A3, 5.398% 2/15/40 | 10,000,000 | 10,601,803 | ||
Class A4, 5.424% 2/15/40 | 5,434,000 | 5,703,289 | ||
Series 2007-C2 Class A3, 5.43% 2/15/40 | 3,967,000 | 4,085,930 | ||
Series 2007-C6 Class A2, 5.845% 7/15/40 | 9,949,374 | 10,380,980 | ||
Series 2000-C5 Class E, 7.29% 12/15/32 | 134,000 | 134,730 | ||
Series 2001-C3 Class B, 6.512% 6/15/36 | 3,676,000 | 3,800,169 | ||
Series 2001-C7 Class D, 6.514% 11/15/33 | 2,092,000 | 2,113,340 | ||
Series 2002-C1 Class J, 6.95% 3/15/34 (f)(l) | 86,000 | 83,623 | ||
Series 2003-C7 Class L, 5.224% 7/15/37 (f)(l) | 284,000 | 179,475 | ||
Series 2004-C2: | ||||
Class G, 4.595% 3/15/36 (f)(l) | 225,000 | 179,886 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (c) | Value | ||
LB-UBS Commercial Mortgage Trust: - continued | ||||
Series 2004-C2: | ||||
Class K, 5.2578% 3/15/36 (f)(l) | $ 500,000 | $ 219,394 | ||
Class XCP, 1.0459% 3/15/36 (f)(l)(n) | 22,208,335 | 124,949 | ||
Series 2004-C4 Class A2, 4.567% 6/15/29 (l) | 228,524 | 230,909 | ||
Series 2005-C2 Class AJ, 5.205% 4/15/30 (l) | 740,000 | 677,857 | ||
Series 2005-C3 Class XCP, 0.7548% 7/15/40 (l)(n) | 5,887,328 | 68,922 | ||
Series 2005-C5 Class A2, 4.885% 9/15/30 | 475,370 | 488,258 | ||
Series 2005-C7 Class C, 5.35% 11/15/40 (l) | 686,000 | 472,616 | ||
Series 2006-C4: | ||||
Class AJ, 5.9022% 6/15/38 (l) | 480,000 | 387,554 | ||
Class AM, 5.9022% 6/15/38 (l) | 500,000 | 463,466 | ||
Series 2006-C6 Class XCP, 0.6666% 9/15/39 (l)(n) | 10,810,515 | 175,514 | ||
Series 2007-C1: | ||||
Class C, 5.533% 2/15/40 (l) | 4,185,000 | 927,292 | ||
Class D, 5.563% 2/15/40 (l) | 760,000 | 135,526 | ||
Class E, 5.582% 2/15/40 (l) | 381,000 | 58,273 | ||
Class XCP, 0.3203% 2/15/40 (l)(n) | 4,345,108 | 50,616 | ||
Series 2007-C6 Class A4, 5.858% 7/15/40 (l) | 2,376,000 | 2,450,526 | ||
Series 2007-C7: | ||||
Class A3, 5.866% 9/15/45 | 6,219,000 | 6,516,073 | ||
Class XCP, 0.2905% 9/15/45 (l)(n) | 149,280,090 | 1,635,005 | ||
LB-UBS Westfield Trust Series 2001-WM, 6.754% 7/14/16 (f) | 544,000 | 555,053 | ||
Lehman Brothers Floating Rate Commercial Mortgage Trust floater: | ||||
Series 2004-LLFA Class J, 1.4759% 10/15/17 (f)(l) | 160,000 | 141,457 | ||
Series 2006-LLFA: | ||||
Class D, 0.5059% 9/15/21 (f)(l) | 608,683 | 467,127 | ||
Class E, 0.5659% 9/15/21 (f)(l) | 2,196,145 | 1,664,618 | ||
Class F, 0.6159% 9/15/21 (f)(l) | 1,143,094 | 852,703 | ||
Class G, 0.6359% 9/15/21 (f)(l) | 2,258,211 | 1,563,720 | ||
Class H, 0.6759% 9/15/21 (f)(l) | 582,579 | 253,957 | ||
Lehman Large Loan Trust Series 1997-LLI Class E, 7.3% 10/12/34 | 3,377,000 | 3,574,741 | ||
LNR CFL Series 2004-1: | ||||
Class I10, 7.72% 2/26/28 (f) | 180,000 | 158,922 | ||
Class I11, 7.72% 2/26/28 (f) | 100,000 | 82,980 | ||
Class I12, 7.72% 2/26/28 (f) | 100,000 | 79,620 | ||
Class I9, 7.72% 2/26/28 (f) | 153,200 | 143,702 | ||
Merrill Lynch Mortgage Investors Trust: | ||||
Series 1997-C2 Class F, 6.25% 12/10/29 (l) | 620,000 | 643,638 | ||
Series 1998-C3 Class E, 6.8483% 12/15/30 (l) | 173,000 | 187,379 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (c) | Value | ||
Merrill Lynch Mortgage Trust: | ||||
sequential payer: | ||||
Series 2004-MKB1 Class A2, 4.353% 2/12/42 | $ 224,288 | $ 225,393 | ||
Series 2007-C1 Class A1, 4.533% 6/12/50 | 459,925 | 464,433 | ||
Series 2004-KEY2 Class K, 5.091% 8/12/39 (f)(l) | 100,000 | 4,000 | ||
Series 2004-MKB1 Class F, 5.509% 2/12/42 (f)(l) | 180,000 | 172,149 | ||
Series 2005-CKI1 Class A3, 5.2324% 11/12/37 (l) | 3,122,000 | 3,226,361 | ||
Series 2005-LC1 Class F, 5.3777% 1/12/44 (f)(l) | 1,655,000 | 613,493 | ||
Series 2006-C1: | ||||
Class A2, 5.6099% 5/12/39 (l) | 2,680,000 | 2,827,567 | ||
Class AJ, 5.6549% 5/12/39 (l) | 160,000 | 132,010 | ||
Class AM, 5.6549% 5/12/39 (l) | 100,000 | 91,480 | ||
Series 2006-KEY2 Class L, 5.091% 8/12/39 (f) | 300,000 | 10,950 | ||
Series 2007-C1 Class A4, 5.826% 6/12/50 (l) | 7,199,517 | 7,717,748 | ||
Series 2008-C1 Class A4, 5.69% 2/12/51 | 4,059,000 | 4,303,103 | ||
Merrill Lynch-CFC Commercial Mortgage Trust: | ||||
floater Series 2006-4 Class A2FL, 0.4625% 12/12/49 (l) | 887,000 | 861,816 | ||
sequential payer: | ||||
Series 2006-1 CLass A3, 5.4664% 2/12/39 (l) | 2,024,000 | 2,126,233 | ||
Series 2006-4: | ||||
Class A2, 5.112% 12/12/49 (l) | 1,075,000 | 1,105,640 | ||
Class ASB, 5.133% 12/12/49 (l) | 1,636,000 | 1,754,779 | ||
Series 2007-5: | ||||
Class A1, 4.275% 8/12/48 | 47,514 | 47,787 | ||
Class A3, 5.364% 8/12/48 | 11,417,000 | 11,695,063 | ||
Class A4, 5.378% 8/12/48 | 76,000 | 74,277 | ||
Class B, 5.479% 2/12/17 | 5,706,000 | 1,005,087 | ||
Series 2007-6: | ||||
Class A1, 5.175% 3/12/51 | 100,852 | 102,370 | ||
Class A4, 5.485% 3/12/51 (l) | 14,650,000 | 14,599,600 | ||
Series 2007-7 Class A4, 5.7485% 6/12/50 (l) | 6,656,000 | 6,689,878 | ||
Series 2007-8 Class A1, 4.622% 8/12/49 | 393,501 | 401,942 | ||
Series 2006-4 Class XP, 0.6254% 12/12/49 (l)(n) | 38,955,674 | 708,074 | ||
Series 2007-6 Class B, 5.635% 3/12/51 (l) | 1,902,000 | 567,896 | ||
Series 2007-7 Class B, 5.75% 6/12/50 | 166,000 | 27,656 | ||
Series 2007-8 Class A3, 5.9564% 8/12/49 (l) | 1,640,000 | 1,763,165 | ||
Morgan Stanley Capital I Trust: | ||||
floater: | ||||
Series 2006-XLF: | ||||
Class C, 1.472% 7/15/19 (f)(l) | 822,747 | 102,843 | ||
Class F, 0.592% 7/15/19 (f)(l) | 1,830,000 | 1,665,300 | ||
Class G, 0.632% 7/15/19 (f)(l) | 1,041,000 | 749,520 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (c) | Value | ||
Morgan Stanley Capital I Trust: - continued | ||||
floater: | ||||
Series 2006-XLF: | ||||
Class H, 0.652% 7/15/19 (f)(l) | $ 550,000 | $ 330,000 | ||
Class J, 0.702% 7/15/19 (f)(l) | 354,000 | 141,600 | ||
Series 2007-XCLA Class A1, 0.472% 7/17/17 (f)(l) | 2,532,688 | 1,392,979 | ||
Series 2007-XLCA Class B, 0.772% 7/17/17 (f)(l) | 2,408,057 | 168,564 | ||
Series 2007-XLFA: | ||||
Class C, 0.432% 10/15/20 (f)(l) | 1,092,000 | 464,100 | ||
Class D, 0.462% 10/15/20 (f)(l) | 667,354 | 150,155 | ||
Class E, 0.522% 10/15/20 (f)(l) | 834,661 | 104,333 | ||
Class F, 0.572% 10/15/20 (f)(l) | 500,899 | 50,090 | ||
Class G, 0.612% 10/15/20 (f)(l) | 619,188 | 46,439 | ||
Class H, 0.702% 10/15/20 (f)(l) | 389,758 | 9,744 | ||
Class J, 0.852% 10/15/20 (f)(l) | 444,903 | 11,123 | ||
Class MHRO, 0.962% 10/15/20 (f)(l) | 605,197 | 121,039 | ||
Class MJPM, 1.272% 10/15/20 (f)(l) | 183,182 | 137,386 | ||
Class MSTR, 0.972% 10/15/20 (f)(l) | 343,918 | 68,784 | ||
Class NHRO, 1.162% 10/15/20 (f)(l) | 918,469 | 128,586 | ||
Class NSTR, 1.122% 10/15/20 (f)(l) | 315,384 | 44,154 | ||
sequential payer: | ||||
Series 2003-IQ5 Class X2, 0.8727% 4/15/38 (f)(l)(n) | 5,855,645 | 48,440 | ||
Series 2004-RR2 Class A2, 5.45% 10/28/33 (f) | 439,415 | 441,613 | ||
Series 2005-IQ9 Class A3, 4.54% 7/15/56 | 2,826,000 | 2,927,893 | ||
Series 2006-HQ10: | ||||
Class A1, 5.131% 11/12/41 | 297,009 | 300,305 | ||
Class AM, 5.36% 11/12/41 | 620,000 | 574,096 | ||
Series 2006-T23 Class A1, 5.682% 8/12/41 | 557,007 | 564,857 | ||
Series 2007-HQ11: | ||||
Class A1, 5.246% 2/12/44 | 364,158 | 370,977 | ||
Class A31, 5.439% 2/12/44 (l) | 964,000 | 1,015,143 | ||
Series 2007-IQ13: | ||||
Class A1, 5.05% 3/15/44 | 371,125 | 376,536 | ||
Class A4, 5.364% 3/15/44 | 10,000,000 | 10,249,122 | ||
Series 2007-IQ14 Class A1, 5.38% 4/15/49 | 946,776 | 973,580 | ||
Series 2007-T25: | ||||
Class A1, 5.391% 11/12/49 | 263,354 | 270,564 | ||
Class A2, 5.507% 11/12/49 | 3,425,000 | 3,739,018 | ||
Series 1997-RR Class F, 7.4307% 4/30/39 (f)(l) | 258,141 | 237,490 | ||
Series 1998-CF1 Class G, 7.35% 7/15/32 (f) | 223,000 | 122,650 | ||
Series 2003-IQ6 Class X2, 0.5807% 12/15/41 (f)(l)(n) | 12,306,129 | 89,429 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (c) | Value | ||
Morgan Stanley Capital I Trust: - continued | ||||
Series 2004-IQ7 Class E, 5.4008% 6/15/38 (f)(l) | $ 120,000 | $ 60,000 | ||
Series 2004-RR2 Class C, 5.8799% 10/28/33 (f)(l) | 280,000 | 216,300 | ||
Series 2005-HQ7: | ||||
Class E, 5.2057% 11/14/42 (l) | 75,000 | 41,250 | ||
Class F, 5.2057% 11/14/42 (l) | 305,000 | 152,500 | ||
Series 2005-IQ9 Class X2, 1.0854% 7/15/56 (f)(l)(n) | 21,165,292 | 301,326 | ||
Series 2006-HQ10 Class X2, 0.4996% 11/12/41 (f)(l)(n) | 10,225,268 | 111,358 | ||
Series 2006-HQ8 Class A3, 5.4379% 3/12/44 (l) | 2,950,000 | 3,025,383 | ||
Series 2006-HQ9 Class B, 5.832% 7/12/44 (l) | 2,823,000 | 2,089,020 | ||
Series 2006-IQ11: | ||||
Class A3, 5.7325% 10/15/42 (l) | 3,157,000 | 3,368,217 | ||
Class A4, 5.7685% 10/15/42 (l) | 570,000 | 633,936 | ||
Series 2006-IQ12: | ||||
Class AMFX, 5.37% 12/15/43 | 719,000 | 596,770 | ||
Class B, 5.468% 12/15/43 | 1,902,000 | 475,500 | ||
Series 2006-T23 Class A3, 5.8072% 8/12/41 (l) | 972,000 | 1,047,864 | ||
Series 2007-HQ11 Class B, 5.538% 2/20/44 (l) | 3,448,000 | 1,241,280 | ||
Series 2007-HQ12 Class A2, 5.6333% 4/12/49 (l) | 12,865,871 | 13,152,826 | ||
Series 2007-IQ14: | ||||
Class A4, 5.692% 4/15/49 (l) | 2,852,000 | 2,895,149 | ||
Class B, 5.7249% 4/15/49 (l) | 469,000 | 112,560 | ||
Series 2007-XLC1: | ||||
Class C, 0.872% 7/17/17 (f)(l) | 3,245,642 | 81,141 | ||
Class D, 0.972% 7/17/17 (f)(l) | 1,526,121 | 38,153 | ||
Class E, 1.072% 7/17/17 (f)(l) | 1,239,655 | 30,991 | ||
Morgan Stanley Dean Witter Capital I Trust: | ||||
sequential payer Series 2001-PPM Class A2, 6.4% 2/15/31 | 18,894 | 19,306 | ||
Series 2000-PRIN Class C, 7.9522% 2/23/34 (l) | 466,000 | 521,852 | ||
Series 2001-IQA Class F, 6.79% 12/18/32 (f) | 194,900 | 197,494 | ||
Series 2001-TOP3 Class E, 7.2382% 7/15/33 (f)(l) | 150,000 | 148,878 | ||
Series 2003-TOP9 Class E, 5.7399% 11/13/36 (f)(l) | 78,000 | 70,414 | ||
Multi Security Asset Trust sequential payer Series 2005-RR4A Class A2, 4.83% 11/28/35 (f) | 386,997 | 361,480 | ||
NationsLink Funding Corp. Series 1998-2: | ||||
Class F, 7.105% 8/20/30 (f) | 593,935 | 641,673 | ||
Class G, 5% 8/20/30 (f) | 361,875 | 376,796 | ||
Class J, 5% 8/20/30 (f) | 195,000 | 173,843 | ||
Nomura Asset Securities Corp. Series 1998-D6 Class B1, 6% 3/15/30 (f) | 1,050,000 | 1,063,659 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (c) | Value | ||
Providence Place Group Ltd. Partnership Series 2000-C1 Class A2, 7.75% 7/20/28 (f) | $ 687,257 | $ 687,257 | ||
Prudential Securities Secured Financing Corp. Series 1999-NRF1 Class F, 6.074% 11/1/31 (f) | 198,840 | 200,968 | ||
RBSCF Trust Series 2010-MB1 Class D, 4.8204% 4/15/24 (f)(l) | 480,000 | 459,150 | ||
Real Estate Asset Liquidity Trust: | ||||
Series 2006-2: | ||||
Class F, 4.456% 9/12/38 | CAD | 107,000 | 66,372 | |
Class G, 4.456% 9/12/38 | CAD | 54,000 | 31,817 | |
Class H, 4.456% 9/12/38 | CAD | 36,000 | 20,160 | |
Class J, 4.456% 9/12/38 | CAD | 36,000 | 19,099 | |
Class K, 4.456% 9/12/38 | CAD | 18,000 | 8,510 | |
Class L, 4.456% 9/12/38 | CAD | 26,000 | 11,633 | |
Class M, 4.456% 9/12/38 | CAD | 128,859 | 28,520 | |
Series 2007-1: | ||||
Class F, 4.57% 4/12/23 | CAD | 126,000 | 78,768 | |
Class G, 4.57% 4/12/23 | CAD | 42,000 | 24,945 | |
Class H, 4.57% 4/12/23 | CAD | 42,000 | 23,713 | |
Class J, 4.57% 4/12/23 | CAD | 42,000 | 22,555 | |
Class K, 4.57% 4/12/23 | CAD | 21,000 | 10,733 | |
Class L, 4.57% 4/12/23 | CAD | 63,000 | 30,665 | |
Class M, 4.57% 4/12/23 | CAD | 185,000 | 38,844 | |
Salomon Brothers Mortgage Securities VII, Inc.: | ||||
sequential payer Series 2000-C3 Class A2, 6.592% 12/18/33 | 581,065 | 580,883 | ||
Series 2001-C1 Class E, 6.31% 12/18/35 | 135,000 | 133,898 | ||
Series 2001-MMA: | ||||
Class E6, 6.5% 2/18/34 (f)(l) | 192,000 | 167,040 | ||
Class F6, 6.5% 2/18/34 (f)(l) | 43,000 | 35,690 | ||
Structured Asset Securities Corp. Series 1997-LLI: | ||||
Class D, 7.15% 10/12/34 | 214,601 | 223,538 | ||
Class F, 7.3% 10/12/34 (f) | 473,000 | 479,662 | ||
TIAA Seasoned Commercial Mortgage Trust sequential payer Series 2007-C4 Class AJ, 6.071% 8/15/39 (l) | 170,000 | 168,163 | ||
TrizecHahn Office Properties Trust Series 2001-TZHA Class C4, 6.893% 5/15/16 (f) | 1,616,000 | 1,647,248 | ||
UBS Commercial Mortgage Trust Series 2007-FL1: | ||||
Class F, 0.8509% 7/15/24 (f)(l) | 110,000 | 27,536 | ||
Class G, 0.8509% 7/15/24 (f)(l) | 200,000 | 48,030 | ||
Vornado DP LLC Series 2010-VNO Class D, 6.3555% 9/13/20 (f) | 180,000 | 186,348 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (c) | Value | ||
Wachovia Bank Commercial Mortgage Trust: | ||||
floater: | ||||
Series 2005-WL5A Class K, 1.4759% 1/15/18 (f)(l) | $ 1,276,330 | $ 1,269,067 | ||
Series 2006-WL7A: | ||||
Class E, 0.5519% 9/15/21 (f)(l) | 1,770,598 | 1,050,626 | ||
Class F, 0.6119% 8/11/18 (f)(l) | 1,877,987 | 784,301 | ||
Class G, 0.6319% 8/11/18 (f)(l) | 1,779,101 | 722,349 | ||
Class J, 0.8719% 8/11/18 (f)(l) | 395,545 | 101,284 | ||
Series 2007-ESH Class A1, 0.7259% 6/15/19 (f)(l) | 170,937 | 169,667 | ||
Series 2007-WHL8: | ||||
Class AP1, 0.9759% 6/15/20 (f)(l) | 140,220 | 77,121 | ||
Class AP2, 1.0759% 6/15/20 (f)(l) | 235,007 | 117,503 | ||
Class F, 0.7559% 6/15/20 (f)(l) | 4,565,501 | 1,141,375 | ||
Class LXR1, 0.9759% 6/15/20 (f)(l) | 233,916 | 140,349 | ||
Class LXR2, 1.0759% 6/15/20 (f)(l) | 3,111,858 | 1,555,929 | ||
sequential payer: | ||||
Series 2003-C6 Class A2, 4.498% 8/15/35 | 111,210 | 111,135 | ||
Series 2003-C7 Class A1, 4.241% 10/15/35 (f) | 3,267,410 | 3,294,830 | ||
Series 2003-C8 Class A3, 4.445% 11/15/35 | 8,283,000 | 8,471,632 | ||
Series 2006-C27 Class A2, 5.624% 7/15/45 | 1,700,000 | 1,742,701 | ||
Series 2006-C29: | ||||
Class A1, 5.11% 11/15/48 | 634,788 | 643,188 | ||
Class A3, 5.313% 11/15/48 | 5,051,000 | 5,377,605 | ||
Series 2007-C30: | ||||
Class A1, 5.031% 12/15/43 | 129,435 | 130,720 | ||
Class A3, 5.246% 12/15/43 | 1,633,000 | 1,647,869 | ||
Class A4, 5.305% 12/15/43 | 8,604,000 | 8,585,876 | ||
Class A5, 5.342% 12/15/43 | 2,036,000 | 1,983,665 | ||
Series 2007-C31: | ||||
Class A1, 5.14% 4/15/47 | 172,035 | 173,916 | ||
Class A4, 5.509% 4/15/47 | 4,299,000 | 4,252,449 | ||
Series 2007-C32: | ||||
Class A2, 5.735% 6/15/49 (l) | 15,568,000 | 16,198,520 | ||
Class A3, 5.74% 6/15/49 (l) | 3,229,000 | 3,216,239 | ||
Series 2003-C6 Class G, 5.125% 8/15/35 (f)(l) | 903,000 | 851,653 | ||
Series 2003-C8 Class XP, 0.1813% 11/15/35 (f)(l)(n) | 3,807,072 | 3,966 | ||
Series 2003-C9 Class XP, 0.4499% 12/15/35 (f)(l)(n) | 5,330,128 | 7,115 | ||
Series 2004-C10 Class E, 4.931% 2/15/41 | 340,000 | 315,404 | ||
Series 2004-C11: | ||||
Class D, 5.4914% 1/15/41 (l) | 360,000 | 311,036 | ||
Class E, 5.5414% 1/15/41 (l) | 327,000 | 265,453 | ||
Series 2004-C12 Class D, 5.3053% 7/15/41 (l) | 280,000 | 250,824 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (c) | Value | ||
Wachovia Bank Commercial Mortgage Trust: - continued | ||||
Series 2004-C14: | ||||
Class B, 5.17% 8/15/41 | $ 258,500 | $ 252,320 | ||
Class C, 5.21% 8/15/41 | 170,000 | 159,571 | ||
Series 2004-C15: | ||||
Class 180A, 5.5782% 10/15/41 (f)(l) | 1,464,000 | 1,361,520 | ||
Class 180B, 5.3979% 10/15/41 (f)(l) | 666,000 | 599,400 | ||
Series 2005-C19 Class B, 4.892% 5/15/44 | 1,902,000 | 1,554,890 | ||
Series 2005-C22: | ||||
Class B, 5.3598% 12/15/44 (l) | 4,218,000 | 2,897,343 | ||
Class F, 5.3598% 12/15/44 (f)(l) | 3,171,000 | 1,267,188 | ||
Series 2006-C23 Class A5, 5.416% 1/15/45 (l) | 7,870,000 | 8,555,214 | ||
Series 2006-C29 Class E, 5.516% 11/15/48 (l) | 1,902,000 | 589,123 | ||
Series 2007-C30: | ||||
Class B, 5.463% 12/15/43 (l) | 10,505,000 | 2,312,185 | ||
Class C, 5.483% 12/15/43 (l) | 5,706,000 | 947,355 | ||
Class D, 5.513% 12/15/43 (l) | 3,044,000 | 261,099 | ||
Class XP, 0.4367% 12/15/43 (f)(l)(n) | 21,906,282 | 299,132 | ||
Series 2007-C31 Class C, 5.6935% 4/15/47 (l) | 522,000 | 110,654 | ||
Series 2007-C32: | ||||
Class D, 5.74% 6/15/49 (l) | 1,431,000 | 285,314 | ||
Class E, 5.74% 6/15/49 (l) | 2,252,000 | 385,210 | ||
Wachovia Bank Commercial Mortgage Trust pass-thru certificates: | ||||
sequential payer Series 2007-C33 Class A5, 5.902% 2/15/51 (l) | 1,259,000 | 1,275,178 | ||
Series 2007-C33 Class B, 5.902% 2/15/51 (l) | 3,198,000 | 1,043,464 | ||
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $708,540,160) | 824,798,436 | |||
Municipal Securities - 0.2% | ||||
| ||||
California Gen. Oblig.: | ||||
6.2% 3/1/19 | 5,000,000 | 5,427,750 | ||
7.5% 4/1/34 | 5,600,000 | 6,286,784 | ||
7.55% 4/1/39 | 8,400,000 | 9,541,728 | ||
Illinois Gen. Oblig. Series 2010, 4.421% 1/1/15 | 6,825,000 | 6,960,954 | ||
TOTAL MUNICIPAL SECURITIES (Cost $26,034,211) | 28,217,216 | |||
Foreign Government and Government Agency Obligations - 1.7% | ||||
| Principal Amount (c) | Value | ||
Arab Republic of Egypt: | ||||
5.75% 4/29/20 (f) | $ 1,450,000 | $ 1,587,750 | ||
6.875% 4/30/40 (f) | 1,485,000 | 1,663,200 | ||
Argentine Republic: | ||||
discount (with partial capitalization through 12/31/13) 8.28% 12/31/33 | 3,773,540 | 2,886,758 | ||
par 2.5% 12/31/38 (e) | 3,210,000 | 1,219,800 | ||
0.6586% 8/3/12 (l) | 2,938,750 | 2,666,859 | ||
7% 3/28/11 | 27,875,000 | 28,021,344 | ||
7% 9/12/13 | 20,265,000 | 19,193,770 | ||
7% 10/3/15 | 1,450,000 | 1,218,322 | ||
Bahamian Republic 6.95% 11/20/29 (f) | 805,000 | 837,200 | ||
Barbados Government 7.25% 12/15/21 (f) | 647,000 | 682,585 | ||
Bermuda Government 5.603% 7/20/20 (f) | 470,000 | 502,900 | ||
Brazilian Federative Republic: | ||||
4.875% 1/22/21 | 4,020,000 | 4,311,450 | ||
5.625% 1/7/41 | 795,000 | 858,600 | ||
6% 9/15/13 | 233,343 | 244,426 | ||
8.75% 2/4/25 | 545,000 | 776,625 | ||
11% 8/17/40 | 1,445,000 | 1,979,650 | ||
12.25% 3/6/30 | 470,000 | 883,600 | ||
Bulgarian Republic 8.25% 1/15/15 (Reg. S) | 1,040,000 | 1,211,600 | ||
Cayman Island Government 5.95% 11/24/19 (f) | 500,000 | 532,500 | ||
Chilean Republic: | ||||
3.875% 8/5/20 | 830,000 | 861,125 | ||
7.125% 1/11/12 | 3,045,000 | 3,276,725 | ||
Colombian Republic: | ||||
7.375% 9/18/37 | 2,130,000 | 2,758,350 | ||
10.375% 1/28/33 | 965,000 | 1,534,350 | ||
11.75% 2/25/20 | 950,000 | 1,477,250 | ||
Congo Republic 3% 6/30/29 (e) | 3,980,500 | 2,169,373 | ||
Croatia Republic: | ||||
6.625% 7/14/20 (f) | 855,000 | 939,431 | ||
6.75% 11/5/19 (f) | 1,455,000 | 1,601,882 | ||
Democratic Socialist Republic of Sri Lanka: | ||||
7.4% 1/22/15 (f) | 1,055,000 | 1,130,169 | ||
8.25% 10/24/12 (f) | 1,070,000 | 1,151,588 | ||
Dominican Republic: | ||||
1.5704% 8/30/24 (l) | 1,350,000 | 1,215,000 | ||
7.5% 5/6/21 (f) | 1,140,000 | 1,256,850 | ||
9.04% 1/23/18 (f) | 967,284 | 1,124,468 | ||
Ecuador Republic 5% 2/28/25 | 218,000 | 152,600 | ||
Foreign Government and Government Agency Obligations - continued | ||||
| Principal Amount (c) | Value | ||
El Salvador Republic: | ||||
7.375% 12/1/19 (f) | $ 745,000 | $ 826,950 | ||
7.65% 6/15/35 (Reg. S) | 1,265,000 | 1,375,688 | ||
7.75% 1/24/23 (Reg. S) | 870,000 | 974,400 | ||
8.25% 4/10/32 (Reg. S) | 375,000 | 427,500 | ||
Gabonese Republic 8.2% 12/12/17 (f) | 1,410,000 | 1,617,975 | ||
Georgia Republic 7.5% 4/15/13 | 2,470,000 | 2,432,950 | ||
Ghana Republic 8.5% 10/4/17 (f) | 1,625,000 | 1,844,375 | ||
Hungarian Republic: | ||||
4.75% 2/3/15 | 430,000 | 425,700 | ||
6.25% 1/29/20 | 2,250,000 | 2,289,375 | ||
Indonesian Republic: | ||||
5.875% 3/13/20 (f) | 1,560,000 | 1,758,900 | ||
6.625% 2/17/37 (f) | 1,225,000 | 1,488,375 | ||
6.875% 3/9/17 (f) | 850,000 | 1,005,125 | ||
6.875% 1/17/18 (f) | 1,395,000 | 1,656,563 | ||
7.5% 1/15/16 (f) | 485,000 | 583,213 | ||
7.75% 1/17/38 (f) | 1,390,000 | 1,890,400 | ||
8.5% 10/12/35 (Reg. S) | 1,360,000 | 1,985,600 | ||
11.625% 3/4/19 (f) | 1,070,000 | 1,631,750 | ||
Islamic Republic of Pakistan 7.125% 3/31/16 (f) | 3,860,000 | 3,541,550 | ||
Lebanese Republic 4% 12/31/17 | 2,257,500 | 2,189,775 | ||
Lithuanian Republic: | ||||
6.75% 1/15/15 (f) | 1,585,000 | 1,719,725 | ||
7.375% 2/11/20 (f) | 1,685,000 | 1,906,156 | ||
Perusahaan Penerbit SBSN Indonesia 8.8% 4/23/14 (f) | 560,000 | 672,000 | ||
Peruvian Republic: | ||||
3% 3/7/27 (e) | 435,000 | 378,450 | ||
7.35% 7/21/25 | 950,000 | 1,220,750 | ||
Philippine Republic: | ||||
6.5% 1/20/20 | 805,000 | 951,913 | ||
9.5% 2/2/30 | 565,000 | 868,688 | ||
10.625% 3/16/25 | 520,000 | 834,600 | ||
Polish Government 3.875% 7/16/15 | 1,515,000 | 1,562,874 | ||
Provincia de Cordoba 12.375% 8/17/17 (f) | 1,060,000 | 1,046,750 | ||
Republic of Iraq 5.8% 1/15/28 (Reg. S) | 3,725,000 | 3,203,500 | ||
Republic of Serbia 6.75% 11/1/24 (f) | 5,558,334 | 5,419,375 | ||
Russian Federation: | ||||
3.625% 4/29/15 (f) | 800,000 | 792,000 | ||
5% 4/29/20 (f) | 1,900,000 | 1,938,000 | ||
7.5% 3/31/30 (Reg. S) | 10,025,240 | 11,904,973 | ||
12.75% 6/24/28 (Reg. S) | 1,800,000 | 3,249,000 | ||
Foreign Government and Government Agency Obligations - continued | ||||
| Principal Amount (c) | Value | ||
Turkish Republic: | ||||
5.625% 3/30/21 | $ 815,000 | $ 854,772 | ||
6.75% 4/3/18 | 1,395,000 | 1,586,813 | ||
6.75% 5/30/40 | 805,000 | 885,500 | ||
6.875% 3/17/36 | 2,920,000 | 3,259,596 | ||
7% 9/26/16 | 1,360,000 | 1,564,000 | ||
7.25% 3/15/15 | 730,000 | 839,500 | ||
7.25% 3/5/38 | 1,400,000 | 1,632,820 | ||
7.375% 2/5/25 | 3,690,000 | 4,386,672 | ||
7.5% 7/14/17 | 1,285,000 | 1,519,513 | ||
11.875% 1/15/30 | 660,000 | 1,123,650 | ||
Ukraine Cabinet of Ministers 6.875% 3/4/11 (Reg. S) | 4,480,000 | 4,502,400 | ||
Ukraine Government: | ||||
6.385% 6/26/12 (f) | 785,000 | 794,813 | ||
6.75% 11/14/17 (f) | 2,295,000 | 2,272,050 | ||
United Mexican States: | ||||
5.125% 1/15/20 | 468,000 | 507,780 | ||
5.625% 1/15/17 | 860,000 | 963,200 | ||
6.05% 1/11/40 | 738,000 | 839,475 | ||
7.5% 4/8/33 | 425,000 | 568,438 | ||
8.3% 8/15/31 | 420,000 | 604,800 | ||
Uruguay Republic: | ||||
6.875% 9/28/25 | 585,000 | 710,775 | ||
8% 11/18/22 | 2,566,902 | 3,349,807 | ||
Venezuelan Republic: | ||||
1.5125% 4/20/11 (Reg. S) (l) | 9,330,000 | 8,886,825 | ||
6% 12/9/20 | 860,000 | 477,300 | ||
7% 3/31/38 | 815,000 | 440,100 | ||
8.5% 10/8/14 | 960,000 | 792,000 | ||
9% 5/7/23 (Reg. S) | 3,675,000 | 2,340,975 | ||
9.25% 9/15/27 | 2,480,000 | 1,767,000 | ||
9.375% 1/13/34 | 985,000 | 635,325 | ||
10.75% 9/19/13 | 3,075,000 | 2,905,875 | ||
13.625% 8/15/18 | 3,698,000 | 3,392,915 | ||
Vietnamese Socialist Republic: | ||||
1.2103% 3/12/16 (l) | 902,609 | 837,170 | ||
4% 3/12/28 (e) | 3,040,000 | 2,576,400 | ||
Foreign Government and Government Agency Obligations - continued | ||||
| Principal Amount (c) | Value | ||
Vietnamese Socialist Republic: - continued | ||||
6.75% 1/29/20 (f) | $ 1,405,000 | $ 1,520,913 | ||
6.875% 1/15/16 (f) | 780,000 | 850,200 | ||
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $195,034,277) | 219,732,390 | |||
Supranational Obligations - 0.0% |
|
|
|
|
Corporacion Andina de Fomento 5.2% 5/21/13 | 242,000 | 260,033 | ||
Eurasian Development Bank 7.375% 9/29/14 (f) | 1,100,000 | 1,168,750 | ||
TOTAL SUPRANATIONAL OBLIGATIONS (Cost $1,334,862) | 1,428,783 |
Common Stocks - 0.0% | |||
Shares |
| ||
FINANCIALS - 0.0% | |||
Thrifts & Mortgage Finance - 0.0% | |||
Wrightwood Capital LLC warrants 7/31/14 (a)(f) (Cost $15) | 1,517 | 15 | |
Preferred Stocks - 0.0% | |||
|
|
|
|
Convertible Preferred Stocks - 0.0% | |||
UTILITIES - 0.0% | |||
Electric Utilities - 0.0% | |||
AES Trust III 6.75% | 28,100 | 1,320,138 | |
Nonconvertible Preferred Stocks - 0.0% | |||
FINANCIALS - 0.0% | |||
Diversified Financial Services - 0.0% | |||
GMAC, Inc. 7.00% (f) | 2,055 | 1,685,100 | |
TOTAL PREFERRED STOCKS (Cost $3,047,336) | 3,005,238 |
Floating Rate Loans - 0.4% | ||||
| Principal Amount (c) | Value | ||
CONSUMER DISCRETIONARY - 0.2% | ||||
Auto Components - 0.1% | ||||
Federal-Mogul Corp.: | ||||
Tranche B, term loan 2.2333% 12/27/14 (l) | $ 3,404,031 | $ 2,978,527 | ||
Tranche C, term loan 2.2114% 12/27/15 (l) | 2,138,162 | 1,849,510 | ||
| 4,828,037 | |||
Automobiles - 0.0% | ||||
Ford Motor Co. term loan 3.03% 12/15/13 (l) | 3,294,779 | 3,179,461 | ||
Hotels, Restaurants & Leisure - 0.0% | ||||
Las Vegas Sands LLC: | ||||
Tranche B, term loan 3.01% 11/23/16 (l) | 2,453,694 | 2,229,794 | ||
Tranche I, term loan 3.01% 11/23/16 (l) | 504,132 | 458,130 | ||
| 2,687,924 | |||
Media - 0.1% | ||||
Charter Communications Operating LLC Tranche B 1LN, term loan 2.26% 3/6/14 (l) | 4,013,220 | 3,807,743 | ||
Newsday LLC term loan 10.5% 8/1/13 | 3,505,000 | 3,724,063 | ||
Univision Communications, Inc. Tranche 1LN, term loan 2.5103% 9/29/14 (l) | 3,796,486 | 3,264,978 | ||
| 10,796,784 | |||
TOTAL CONSUMER DISCRETIONARY | 21,492,206 | |||
FINANCIALS - 0.0% | ||||
Diversified Financial Services - 0.0% | ||||
Clear Channel Capital I LLC Tranche B, term loan 3.9103% 1/29/16 (h)(l) | 3,165,000 | 2,520,131 | ||
INDUSTRIALS - 0.1% | ||||
Air Freight & Logistics - 0.0% | ||||
AWAS Aviation Acquisitions Ltd. term loan 7.75% 6/10/16 (l) | 3,865,000 | 3,898,819 | ||
Airlines - 0.1% | ||||
Delta Air Lines, Inc. Tranche 2LN, term loan 3.5294% 4/30/14 (l) | 4,171,816 | 3,848,500 | ||
United Air Lines, Inc. Tranche B, term loan 2.3125% 2/1/14 (l) | 830,471 | 755,729 | ||
US Airways Group, Inc. term loan 2.7616% 3/23/14 (l) | 1,055,000 | 888,838 | ||
| 5,493,067 | |||
Floating Rate Loans - continued | ||||
| Principal Amount (c) | Value | ||
INDUSTRIALS - continued | ||||
Machinery - 0.0% | ||||
Dresser, Inc. Tranche 2LN, term loan 6.1119% 5/4/15 pay-in-kind (l) | $ 2,335,000 | $ 2,229,925 | ||
TOTAL INDUSTRIALS | 11,621,811 | |||
INFORMATION TECHNOLOGY - 0.0% | ||||
Communications Equipment - 0.0% | ||||
Avaya, Inc. term loan 3.0575% 10/24/14 (l) | 2,079,238 | 1,819,334 | ||
MATERIALS - 0.0% | ||||
Containers & Packaging - 0.0% | ||||
Anchor Glass Container Corp.: | ||||
Tranche 1LN, term loan 6% 3/2/16 (l) | 1,828,716 | 1,815,001 | ||
Tranche 2LN, term loan 10% 9/2/16 (l) | 2,065,000 | 2,023,700 | ||
| 3,838,701 | |||
TELECOMMUNICATION SERVICES - 0.1% | ||||
Wireless Telecommunication Services - 0.1% | ||||
Asurion Corp. Tranche 2LN, term loan 6.79% 7/3/15 (l) | 3,685,000 | 3,537,600 | ||
Intelsat Jackson Holdings Ltd. term loan 3.5333% 2/1/14 (l) | 2,425,000 | 2,267,375 | ||
| 5,804,975 | |||
UTILITIES - 0.0% | ||||
Multi-Utilities - 0.0% | ||||
Ashmore Energy International: | ||||
Revolving Credit-Linked Deposit 3.4334% 3/30/12 (l) | 789,624 | 730,402 | ||
term loan 3.5334% 3/30/14 (l) | 5,198,889 | 4,808,972 | ||
| 5,539,374 | |||
TOTAL FLOATING RATE LOANS (Cost $48,223,477) | 52,636,532 | |||
Sovereign Loan Participations - 0.0% | ||||
| ||||
Indonesian Republic loan participation - Citibank 1.4375% 12/14/19 (l) | 1,781,006 | 1,638,525 | ||
Bank Notes - 0.0% | ||||
| Principal Amount (c) | Value | ||
National City Bank, Cleveland 0.6384% 3/1/13 (l) | $ 978,000 | $ 948,961 |
Fixed-Income Funds - 16.0% | |||
Shares |
| ||
Fidelity Corporate Bond 1-10 Year Central Fund (m) | 1,615,765 | 176,393,059 | |
Fidelity Floating Rate Central Fund (m) | 4,116,916 | 392,753,749 | |
Fidelity Mortgage Backed Securities Central Fund (m) | 14,017,666 | 1,486,994,027 | |
TOTAL FIXED-INCOME FUNDS (Cost $1,905,752,730) | 2,056,140,835 | ||
Preferred Securities - 0.1% | |||
Principal Amount (c) |
| ||
CONSUMER DISCRETIONARY - 0.0% | |||
Media - 0.0% | |||
Net Servicos de Comunicacao SA 9.25% (f) | $ 3,658,000 | 3,716,548 | |
ENERGY - 0.1% | |||
Oil, Gas & Consumable Fuels - 0.1% | |||
Pemex Project Funding Master Trust 7.75% | 4,610,000 | 4,683,664 | |
FINANCIALS - 0.0% | |||
Diversified Financial Services - 0.0% | |||
ING Groep NV 5.775% (l) | 1,052,000 | 879,213 | |
MUFG Capital Finance 1 Ltd. 6.346% (l) | 3,261,000 | 3,272,092 | |
| 4,151,305 | ||
TOTAL PREFERRED SECURITIES (Cost $10,701,096) | 12,551,517 | ||
Cash Equivalents - 6.8% | |||
Maturity Amount | Value | ||
Investments in repurchase agreements in a joint trading account at: | |||
0.24%, dated 8/31/10 due 9/1/10 (Collateralized by U.S. Government Obligations) # | $ 2,581,017 | $ 2,581,000 | |
0.25%, dated 8/31/10 due 9/1/10 (Collateralized by U.S. Government Obligations) # | 876,918,051 | 876,912,000 | |
TOTAL CASH EQUIVALENTS (Cost $879,493,000) | 879,493,000 | ||
TOTAL INVESTMENT PORTFOLIO - 107.1% (Cost $12,919,838,959) | 13,808,569,484 | ||
NET OTHER ASSETS (LIABILITIES) - (7.1)% | (921,220,907) | ||
NET ASSETS - 100% | $ 12,887,348,577 |
Swap Agreements | |||||
| Expiration Date | Notional Amount |
| ||
Credit Default Swaps | |||||
Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to Credit Suisse First Boston upon each credit event of one of the issues of ABX AA 07-01 Index, par value of the proportional notional amount (Rating-C) (Upfront Payment $480,000) (k) | Sept. 2037 | $ 3,051,763 | (2,861,562) | ||
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) (k) | Sept. 2037 | 3,509,527 | (3,290,796) | ||
Swap Agreements - continued | |||||
| Expiration Date | Notional Amount | Value | ||
Credit Default Swaps - continued | |||||
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) (k) | Sept. 2037 | $ 2,136,234 | $ (2,003,093) | ||
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 $936,000) (k) | Sept. 2037 | 5,493,173 | (5,150,811) | ||
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 $347,750) (k) | Sept. 2037 | 1,983,646 | (1,860,015) | ||
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. Series 2004-NC6 Class M3, 5.6413% 7/25/34 (j) | August 2034 | 27,453 | (16,179) | ||
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) (j) | Feb. 2034 | 787 | (725) | ||
Swap Agreements - continued | |||||
| Expiration Date | Notional Amount | Value | ||
Credit Default Swaps - continued | |||||
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) (j) | Sept. 2034 | $ 26,646 | $ (21,294) | ||
TOTAL CREDIT DEFAULT SWAPS | $ 16,229,229 | $ (15,204,475) | |||
Interest Rate Swaps | |||||
Receive semi-annually a fixed rate equal to 1.2857% and pay quarterly a floating rate based on 3-month LIBOR with JPMorgan Chase, Inc. | June 2012 | 200,000,000 | 2,787,700 | ||
| $ 216,229,229 | $ (12,416,775) |
Currency Abbreviations |
CAD - Canadian dollar |
Legend |
(a) Non-income producing |
(b) Non-income producing - Security is in default. |
(c) Principal amount is stated in United States dollars unless otherwise noted. |
(d) 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. |
(e) Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end. |
(f) Security 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 $982,512,371 or 7.6% of net assets. |
(g) 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 $32,892,640 or 0.3% of net assets. |
(h) Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(i) A portion of the security is subject to a forward commitment to sell. |
(j) Represents a credit default swap contract in which the Fund has sold protection on the underlying reference entity. The value of each credit default swap and the credit rating can be measures of the current payment/performance risk. For the underlying reference entity, ratings disclosed are from Moody's Investors Service, Inc. Where Moody's ratings are not available, S&P ratings are disclosed and are indicated as such. All ratings are as of the report date and do not reflect subsequent changes. Where a credit rating is not disclosed, the value is used as the measure of the payment/performance risk. |
(k) Represents a credit default swap based on a tradable index of home equity asset-backed debt securities. The value of each credit default swap and the credit rating can be measures of the current payment/ performance risk. In addition, the swap represents a contract in which the Fund has sold protection on the index of underlying securities. Ratings represent a weighted average of the ratings of all securities included in the index. Ratings used in the weighted average are from Moody's Investors Service, Inc., or S&P where Moody's ratings are not available. All ratings are as of the report date and do not reflect subsequent changes. |
(l) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. |
(m) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. A complete unaudited schedule of portfolio holdings for each Fidelity Central Fund is filed with the SEC for the first and third quarters of each fiscal year on Form N-Q and is available upon request or at the SEC's web site at www.sec.gov. An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro rata share of securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com 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. |
(n) Security represents right to receive monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool held as of the end of the period. |
(o) 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 $21,560 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 - 12/4/09 | $ 173,625 |
(p) 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 $15,551,578. |
# Additional information on each counterparty to the repurchase agreement is as follows: |
Repurchase Agreement / Counterparty | Value |
$2,581,000 due 9/01/10 at 0.24% | |
BNP Paribas Securities Corp. | $ 1,127,902 |
Banc of America Securities LLC | 422,807 |
Barclays Capital, Inc. | 1,030,291 |
| $ 2,581,000 |
$876,912,000 due 9/01/10 at 0.25% | |
Banc of America Securities LLC | $ 68,271,436 |
Bank of America NA | 102,475,505 |
Barclays Capital, Inc. | 204,951,010 |
Goldman, Sachs & Co. | 34,158,502 |
Merrill Lynch Government Securities, Inc. | 61,485,303 |
Mizuho Securities USA, Inc. | 273,268,013 |
Morgan Stanley & Co., Inc. | 132,302,231 |
| $ 876,912,000 |
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 Corporate Bond 1-10 Year Central Fund | $ 27,280,334 |
Fidelity Floating Rate Central Fund | 20,956,866 |
Fidelity Mortgage Backed Securities Central Fund | 53,271,481 |
Total | $ 101,508,681 |
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 Corporate Bond 1-10 Year Central Fund | $ 808,744,111 | $ - | $ 670,840,313 | $ 176,393,059 | 8.5% |
Fidelity Floating Rate Central Fund | 578,953,113 | 20,956,660 | 250,173,437 | 392,753,749 | 14.8% |
Fidelity Mortgage Backed Securities Central Fund | 1,508,325,013 | 353,412,622 | 430,225,830 | 1,486,994,027 | 21.2% |
Total | $ 2,896,022,237 | $ 374,369,282 | $ 1,351,239,580 | $ 2,056,140,835 |
Other Information |
The following is a summary of the inputs used, as of August 31, 2010, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the tables below, please refer to the 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: | ||||
Financials | $ 1,685,115 | $ - | $ 1,685,100 | $ 15 |
Utilities | 1,320,138 | - | 1,320,138 | - |
Corporate Bonds | 3,120,582,606 | - | 3,120,265,958 | 316,648 |
U.S. Government and Government Agency Obligations | 4,441,146,628 | - | 4,441,146,628 | - |
U.S. Government Agency - Mortgage Securities | 1,627,350,349 | - | 1,627,350,349 | - |
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Asset-Backed Securities | $ 303,926,817 | $ - | $ 269,573,321 | $ 34,353,496 |
Collateralized Mortgage Obligations | 234,971,636 | - | 228,820,187 | 6,151,449 |
Commercial Mortgage Securities | 824,798,436 | - | 764,576,903 | 60,221,533 |
Municipal Securities | 28,217,216 | - | 28,217,216 | - |
Foreign Government and Government Agency Obligations | 219,732,390 | - | 219,335,364 | 397,026 |
Supranational Obligations | 1,428,783 | - | 1,428,783 | - |
Floating Rate Loans | 52,636,532 | - | 52,636,532 | - |
Sovereign Loan Participations | 1,638,525 | - | 1,638,525 | - |
Bank Notes | 948,961 | - | 948,961 | - |
Fixed-Income Funds | 2,056,140,835 | 2,056,140,835 | - | - |
Preferred Securities | 12,551,517 | - | 12,551,517 | - |
Cash Equivalents | 879,493,000 | - | 879,493,000 | - |
Total Investments in Securities: | $ 13,808,569,484 | $ 2,056,140,835 | $ 11,650,988,482 | $ 101,440,167 |
Derivative Instruments: | ||||
Assets | ||||
Swap Agreements | $ 2,787,700 | $ - | $ 2,787,700 | $ - |
Liabilities | ||||
Swap Agreements | $ (15,204,475) | $ - | $ (15,166,277) | $ (38,198) |
Total Derivative Instruments: | $ (12,416,775) | $ - | $ (12,378,577) | $ (38,198) |
Other Financial Instruments: | ||||
Forward Commitments | $ (120,538) | $ - | $ (120,538) | $ - |
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 | $ 98,697,672 |
Total Realized Gain (Loss) | 7,316,267 |
Total Unrealized Gain (Loss) | 16,728,361 |
Cost of Purchases | 2,703,957 |
Proceeds of Sales | (27,502,742) |
Amortization/Accretion | 2,961,937 |
Transfers in to Level 3 | 41,855,045 |
Transfers out of Level 3 | (41,320,330) |
Ending Balance | $ 101,440,167 |
The change in unrealized gain (loss) for the period attributable to Level 3 securities held at August 31, 2010 | $ 17,721,726 |
Derivative Instruments: | |
Swap Agreements | |
Beginning Balance | $ (45,410) |
Total Unrealized Gain (Loss) | 29,732 |
Transfers in to Level 3 | (22,520) |
Transfers out of Level 3 | - |
Ending Balance | $ (38,198) |
Realized gain (loss) on Swap Agreements for the period | $ (4,461) |
The change in unrealized gain (loss) for the period attributable to Level 3 Swap Agreements held at August 31, 2010 | $ 22,071 |
The information used in the above reconciliation represents fiscal year to date activity for any Investments in Securities and Derivative Instruments identified as using Level 3 inputs at either the beginning or the end of the current fiscal period. Transfers in or out of Level 3 represent the beginning value of any Security or Instrument where a change in the pricing level occurred from the beginning to the end of the period. The cost of purchases and the proceeds of sales may include securities received or delivered through corporate actions or exchanges. 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, 2010. 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) | $ - | $ (15,204,475) |
Interest Rate Risk | ||
Swap Agreements (a) | 2,787,700 | - |
Total Value of Derivatives | $ 2,787,700 | $ (15,204,475) |
(a) Value is disclosed on the Statement of Assets and Liabilities in the Unrealized Appreciation and Unrealized Depreciation on Swap Agreements line-items. |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Statements
Statement of Assets and Liabilities
| August 31, 2010 | |
Assets | ||
Investment in securities, at value (including repurchase agreements of $879,493,000) - See accompanying schedule: Unaffiliated issuers (cost $11,014,086,229) | $ 11,752,428,649 |
|
Fidelity Central Funds (cost $1,905,752,730) | 2,056,140,835 |
|
Total Investments (cost $12,919,838,959) |
| $ 13,808,569,484 |
Commitment to sell securities on a delayed delivery basis | (500,461,116) | |
Receivable for securities sold on a delayed delivery basis | 500,340,578 | (120,538) |
Cash | 2,793,790 | |
Receivable for investments sold |
| 155,744,374 |
Delayed delivery |
| 14,500,494 |
Receivable for swap agreements | 2,135 | |
Receivable for fund shares sold | 63,505,642 | |
Interest receivable | 81,510,849 | |
Distributions receivable from Fidelity Central Funds | 6,051,590 | |
Unrealized appreciation on swap agreements | 2,787,700 | |
Other receivables | 36,218 | |
Total assets | 14,135,381,738 | |
Liabilities | ||
Payable for investments purchased | $ 40,174,018 | |
Delayed delivery | 1,108,911,980 | |
Payable for swap agreements | 228,372 | |
Payable for fund shares redeemed | 76,477,417 | |
Distributions payable | 1,776,602 | |
Unrealized depreciation on swap agreements | 15,204,475 | |
Accrued management fee | 3,388,756 | |
Distribution and service plan fees payable | 272,037 | |
Other affiliated payables | 1,555,568 | |
Other payables and accrued expenses | 43,936 | |
Total liabilities | 1,248,033,161 | |
|
|
|
Net Assets | $ 12,887,348,577 | |
Net Assets consist of: |
| |
Paid in capital | $ 12,065,377,451 | |
Undistributed net investment income | 75,166,700 | |
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions | (130,766,682) | |
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies | 877,571,108 | |
Net Assets | $ 12,887,348,577 |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Statement of Assets and Liabilities - continued
| August 31, 2010 | |
|
|
|
Calculation of Maximum Offering Price Class A: | $ 11.05 | |
|
|
|
Maximum offering price per share (100/96.00 of $11.05) | $ 11.51 | |
Class T: | $ 11.04 | |
|
|
|
Maximum offering price per share (100/96.00 of $11.04) | $ 11.50 | |
Class B: | $ 11.06 | |
|
|
|
Class C: | $ 11.05 | |
|
|
|
Total Bond: | $ 11.05 | |
|
|
|
Class F: | $ 11.05 | |
|
|
|
Institutional Class: | $ 11.04 |
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
Financial Statements - continued
Statement of Operations
| Year ended August 31, 2010 | |
|
|
|
Investment Income |
|
|
Dividends |
| $ 1,447,432 |
Interest |
| 499,148,426 |
Income from Fidelity Central Funds |
| 101,508,681 |
Total income |
| 602,104,539 |
|
|
|
Expenses | ||
Management fee | $ 39,479,275 | |
Transfer agent fees | 13,428,905 | |
Distribution and service plan fees | 1,837,844 | |
Fund wide operations fee | 4,144,111 | |
Independent trustees' compensation | 43,022 | |
Miscellaneous | 48,966 | |
Total expenses before reductions | 58,982,123 | |
Expense reductions | (25,008) | 58,957,115 |
Net investment income | 543,147,424 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: |
|
|
Unaffiliated issuers | 279,900,028 | |
Fidelity Central Funds | 48,993,088 |
|
Foreign currency transactions | (285) | |
Swap agreements | 80,891,641 |
|
Total net realized gain (loss) |
| 409,784,472 |
Change in net unrealized appreciation (depreciation) on: Investment securities | 569,937,448 | |
Assets and liabilities in foreign currencies | 2,249 | |
Swap agreements | (63,704,363) | |
Delayed delivery commitments | 1,541,434 |
|
Total change in net unrealized appreciation (depreciation) |
| 507,776,768 |
Net gain (loss) | 917,561,240 | |
Net increase (decrease) in net assets resulting from operations | $ 1,460,708,664 |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Statement of Changes in Net Assets
| Year ended | Year ended |
Increase (Decrease) in Net Assets |
|
|
Operations |
|
|
Net investment income | $ 543,147,424 | $ 552,729,690 |
Net realized gain (loss) | 409,784,472 | (524,000,402) |
Change in net unrealized appreciation (depreciation) | 507,776,768 | 750,351,058 |
Net increase (decrease) in net assets resulting | 1,460,708,664 | 779,080,346 |
Distributions to shareholders from net investment income | (513,099,556) | (503,411,775) |
Distributions to shareholders from net realized gain | (40,443,047) | (71,517,925) |
Total distributions | (553,542,603) | (574,929,700) |
Share transactions - net increase (decrease) | 9,934,978 | 684,114,730 |
Total increase (decrease) in net assets | 917,101,039 | 888,265,376 |
|
|
|
Net Assets | ||
Beginning of period | 11,970,247,538 | 11,081,982,162 |
End of period (including undistributed net investment income of $75,166,700 and undistributed net investment income of $60,445,769, respectively) | $ 12,887,348,577 | $ 11,970,247,538 |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Class A
Years ended August 31, | 2010 | 2009 | 2008 | 2007 | 2006 I | 2006 K |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 10.28 | $ 10.07 | $ 10.27 | $ 10.39 | $ 10.28 | $ 10.57 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income E | .428 | .494 | .488 | .508 | .043 | .476 |
Net realized and unrealized gain (loss) | .778 | .231 | (.189) | (.141) | .105 | (.294) H |
Total from investment operations | 1.206 | .725 | .299 | .367 | .148 | .182 |
Distributions from net investment income | (.402) | (.447) | (.474) | (.470) | (.038) | (.432) |
Distributions from net realized gain | (.034) | (.068) | (.025) | (.017) | - | (.040) |
Total distributions | (.436) | (.515) | (.499) | (.487) | (.038) | (.472) |
Net asset value, end of period | $ 11.05 | $ 10.28 | $ 10.07 | $ 10.27 | $ 10.39 | $ 10.28 |
Total Return B, C, D | 11.97% | 7.79% | 2.93% | 3.57% | 1.44% | 1.78% |
Ratios to Average Net Assets F, J |
|
|
|
|
| |
Expenses before reductions | .82% | .80% | .80% | .77% | .73% A | .79% |
Expenses net of fee waivers, if any | .82% | .80% | .80% | .77% | .73% A | .79% |
Expenses net of all reductions | .82% | .80% | .80% | .77% | .73% A | .79% |
Net investment income | 4.00% | 5.17% | 4.77% | 4.93% | 4.98% A | 4.61% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 805,816 | $ 107,998 | $ 80,755 | $ 48,076 | $ 6,780 | $ 4,545 |
Portfolio turnover rate G | 130% | 104% L | 122% | 116% L | 53% A | 99% |
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 reductions from 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. 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, | 2010 | 2009 | 2008 | 2007 | 2006 I | 2006 K |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 10.27 | $ 10.06 | $ 10.26 | $ 10.38 | $ 10.27 | $ 10.56 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income E | .426 | .488 | .489 | .508 | .042 | .466 |
Net realized and unrealized gain (loss) | .778 | .233 | (.191) | (.143) | .105 | (.296) H |
Total from investment operations | 1.204 | .721 | .298 | .365 | .147 | .170 |
Distributions from net investment income | (.400) | (.443) | (.473) | (.468) | (.037) | (.420) |
Distributions from net realized gain | (.034) | (.068) | (.025) | (.017) | - | (.040) |
Total distributions | (.434) | (.511) | (.498) | (.485) | (.037) | (.460) |
Net asset value, end of period | $ 11.04 | $ 10.27 | $ 10.06 | $ 10.26 | $ 10.38 | $ 10.27 |
Total Return B, C, D | 11.97% | 7.74% | 2.92% | 3.55% | 1.43% | 1.66% |
Ratios to Average Net Assets F, J |
|
|
|
|
| |
Expenses before reductions | .82% | .85% | .81% | .78% | .87% A | .91% |
Expenses net of fee waivers, if any | .82% | .85% | .81% | .78% | .87% A | .90% |
Expenses net of all reductions | .82% | .85% | .80% | .78% | .87% A | .90% |
Net investment income | 4.01% | 5.12% | 4.76% | 4.92% | 4.84% A | 4.50% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 71,349 | $ 48,090 | $ 38,574 | $ 42,191 | $ 6,293 | $ 4,583 |
Portfolio turnover rate G | 130% | 104% L | 122% | 116% L | 53% A | 99% |
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 reductions from 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. 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, | 2010 | 2009 | 2008 | 2007 | 2006 I | 2006 K |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 10.28 | $ 10.07 | $ 10.27 | $ 10.39 | $ 10.28 | $ 10.57 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income E | .351 | .423 | .413 | .432 | .037 | .399 |
Net realized and unrealized gain (loss) | .787 | .233 | (.190) | (.145) | .104 | (.296) H |
Total from investment operations | 1.138 | .656 | .223 | .287 | .141 | .103 |
Distributions from net investment income | (.324) | (.378) | (.398) | (.390) | (.031) | (.353) |
Distributions from net realized gain | (.034) | (.068) | (.025) | (.017) | - | (.040) |
Total distributions | (.358) | (.446) | (.423) | (.407) | (.031) | (.393) |
Net asset value, end of period | $ 11.06 | $ 10.28 | $ 10.07 | $ 10.27 | $ 10.39 | $ 10.28 |
Total Return B, C, D | 11.26% | 7.01% | 2.17% | 2.77% | 1.38% | 1.01% |
Ratios to Average Net Assets F, J |
|
|
|
|
| |
Expenses before reductions | 1.53% | 1.53% | 1.54% | 1.53% | 1.51% A | 1.59% |
Expenses net of fee waivers, if any | 1.53% | 1.53% | 1.54% | 1.53% | 1.51% A | 1.55% |
Expenses net of all reductions | 1.53% | 1.53% | 1.54% | 1.53% | 1.51% A | 1.55% |
Net investment income | 3.29% | 4.44% | 4.03% | 4.17% | 4.22% A | 3.85% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 13,017 | $ 9,054 | $ 9,645 | $ 6,054 | $ 1,720 | $ 1,667 |
Portfolio turnover rate G | 130% | 104% L | 122% | 116% L | 53% A | 99% |
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 reductions from 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. 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, | 2010 | 2009 | 2008 | 2007 | 2006 I | 2006 K |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 10.28 | $ 10.07 | $ 10.27 | $ 10.39 | $ 10.28 | $ 10.57 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income E | .354 | .425 | .413 | .429 | .036 | .389 |
Net realized and unrealized gain (loss) | .778 | .232 | (.189) | (.145) | .105 | (.293) H |
Total from investment operations | 1.132 | .657 | .224 | .284 | .141 | .096 |
Distributions from net investment income | (.328) | (.379) | (.399) | (.387) | (.031) | (.346) |
Distributions from net realized gain | (.034) | (.068) | (.025) | (.017) | - | (.040) |
Total distributions | (.362) | (.447) | (.424) | (.404) | (.031) | (.386) |
Net asset value, end of period | $ 11.05 | $ 10.28 | $ 10.07 | $ 10.27 | $ 10.39 | $ 10.28 |
Total Return B, C, D | 11.20% | 7.02% | 2.18% | 2.75% | 1.37% | .94% |
Ratios to Average Net Assets F, J |
|
|
|
|
| |
Expenses before reductions | 1.50% | 1.52% | 1.53% | 1.55% | 1.60% A | 1.62% |
Expenses net of fee waivers, if any | 1.50% | 1.52% | 1.53% | 1.55% | 1.60% A | 1.62% |
Expenses net of all reductions | 1.50% | 1.52% | 1.53% | 1.55% | 1.60% A | 1.62% |
Net investment income | 3.32% | 4.45% | 4.03% | 4.15% | 4.13% A | 3.78% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 91,439 | $ 55,958 | $ 28,786 | $ 18,890 | $ 2,106 | $ 1,770 |
Portfolio turnover rate G | 130% | 104% L | 122% | 116% L | 53% A | 99% |
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 reductions from 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. 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, | 2010 | 2009 | 2008 | 2007 | 2006 H | 2006 J |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 10.28 | $ 10.07 | $ 10.27 | $ 10.39 | $ 10.28 | $ 10.57 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income D | .466 | .527 | .524 | .543 | .046 | .506 |
Net realized and unrealized gain (loss) | .778 | .232 | (.189) | (.143) | .105 | (.290) G |
Total from investment operations | 1.244 | .759 | .335 | .400 | .151 | .216 |
Distributions from net investment income | (.440) | (.481) | (.510) | (.503) | (.041) | (.466) |
Distributions from net realized gain | (.034) | (.068) | (.025) | (.017) | - | (.040) |
Total distributions | (.474) | (.549) | (.535) | (.520) | (.041) | (.506) |
Net asset value, end of period | $ 11.05 | $ 10.28 | $ 10.07 | $ 10.27 | $ 10.39 | $ 10.28 |
Total Return B, C | 12.37% | 8.17% | 3.29% | 3.89% | 1.46% | 2.11% |
Ratios to Average Net Assets E, I |
|
|
|
|
| |
Expenses before reductions | .45% | .45% | .45% | .45% | .45% A | .45% |
Expenses net of fee waivers, if any | .45% | .45% | .45% | .45% | .45% A | .45% |
Expenses net of all reductions | .45% | .45% | .45% | .45% | .45% A | .45% |
Net investment income | 4.37% | 5.52% | 5.12% | 5.25% | 5.26% A | 4.95% |
Supplemental Data |
|
|
|
|
| |
Net assets, end of period (000 omitted) | $ 11,342,385 | $ 10,863,828 | $ 9,976,432 | $ 6,450,177 | $ 2,421,077 | $ 2,306,817 |
Portfolio turnover rate F | 130% | 104% K | 122% | 116% K | 53% A | 99% |
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 reductions from 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. 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
Years ended August 31, | 2010 | 2009 G |
Selected Per-Share Data |
|
|
Net asset value, beginning of period | $ 10.27 | $ 9.89 |
Income from Investment Operations |
|
|
Net investment income D | .476 | .100 |
Net realized and unrealized gain (loss) | .788 | .359 |
Total from investment operations | 1.264 | .459 |
Distributions from net investment income | (.450) | (.079) |
Distributions from net realized gain | (.034) | - |
Total distributions | (.484) | (.079) |
Net asset value, end of period | $ 11.05 | $ 10.27 |
Total Return B, C | 12.59% | 4.64% |
Ratios to Average Net Assets E, H |
|
|
Expenses before reductions | .35% | .35% A |
Expenses net of fee waivers, if any | .35% | .35% A |
Expenses net of all reductions | .35% | .35% A |
Net investment income | 4.47% | 5.79% A |
Supplemental Data |
|
|
Net assets, end of period (000 omitted) | $ 53,956 | $ 329 |
Portfolio turnover rate F | 130% | 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 reductions from 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, | 2010 | 2009 | 2008 | 2007 | 2006 H | 2006 J |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 10.26 | $ 10.06 | $ 10.26 | $ 10.38 | $ 10.27 | $ 10.57 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income D | .458 | .518 | .516 | .527 | .045 | .493 |
Net realized and unrealized gain (loss) | .788 | .224 | (.186) | (.134) | .105 | (.294) G |
Total from investment operations | 1.246 | .742 | .330 | .393 | .150 | .199 |
Distributions from net investment income | (.432) | (.474) | (.505) | (.496) | (.040) | (.459) |
Distributions from net realized gain | (.034) | (.068) | (.025) | (.017) | - | (.040) |
Total distributions | (.466) | (.542) | (.530) | (.513) | (.040) | (.499) |
Net asset value, end of period | $ 11.04 | $ 10.26 | $ 10.06 | $ 10.26 | $ 10.38 | $ 10.27 |
Total Return B, C | 12.41% | 7.99% | 3.24% | 3.83% | 1.46% | 1.95% |
Ratios to Average Net Assets E, I |
|
|
|
|
| |
Expenses before reductions | .52% | .53% | .51% | .50% | .54% A | .56% |
Expenses net of fee waivers, if any | .52% | .53% | .51% | .50% | .54% A | .56% |
Expenses net of all reductions | .52% | .53% | .51% | .49% | .54% A | .56% |
Net investment income | 4.30% | 5.45% | 5.06% | 5.21% | 5.16% A | 4.84% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 509,388 | $ 884,991 | $ 947,791 | $ 348,636 | $ 1,058 | $ 933 |
Portfolio turnover rate F | 130% | 104% K | 122% | 116% K | 53% A | 99% |
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 reductions from 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. 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, 2010
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. The Fund offers Class A, Class T, Class C, Total Bond, Class F, and Institutional Class shares, each of which has equal rights as to assets and voting privileges. Effective after the close of business on September 1, 2010, Class B shares were closed to new accounts and additional purchases by existing shareholders. 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. Subsequent to period end, all Class F shares were redeemed and the Fund no longer offers Class F shares to investors.
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 Funds 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 | FMR Co., Inc. (FMRC) | Seeks a high level of income by normally investing in floating rate loans and other floating rate securities. | Loans & Direct Debt 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 each Fund, which presents direct holdings as well as the pro-rata share of any securities and other investments held indirectly through each fund's 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 Securities and Exchange Commission (the SEC) web site at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including security valuation policies) of those funds, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC 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 (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. 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. When current market prices or quotations are not readily available or reliable, valuations may be determined in good faith in accordance with procedures adopted by the Board of Trustees. Factors used in determining value may include market or security specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The value used for net asset value (NAV) calculation under these procedures may differ from published prices for the same securities.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below.
Level 1 - quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the fund's own assumptions based on the best information available)
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level, as of August 31, 2010, for the Fund's investments as well as a roll forward of Level 3 securities, is included at the end of the Fund's Schedule of Investments. Valuation techniques used to value the Fund's investments by major category are as follows.
Debt securities, including restricted securities, are valued based on evaluated prices received from independent pricing services or from dealers who make markets in such securities. For corporate bonds, bank notes, foreign government and government agency obligations, preferred securities, supranational obligations, and U.S. government and government agency obligations, pricing services utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices and are generally categorized as Level 2 in the hierarchy. For asset backed securities, collateralized mortgage obligations, commercial mortgage securities, and U.S. government agency mortgage securities, pricing services utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices and, accordingly, such securities are generally categorized as Level 2 in the hierarchy. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates fair value and are categorized as Level 2 in the hierarchy.
Annual Report
Notes to Financial Statements - continued
3. Significant Accounting Policies - continued
Security Valuation - continued
Swaps are marked-to-market daily based on valuations from independent pricing services or dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Pricing services utilize matrix pricing which considers comparisons to interest rate curves, credit spread curves, default possibilities and recovery rates and, as a result, swaps are generally categorized as Level 2 in the hierarchy.
When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing matrices which consider similar factors that would be used by independent pricing services. These are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by an independent pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when significant market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-traded funds (ETFs) and certain indexes as well as quoted prices for similar securities are used and are categorized as Level 2 in the hierarchy in these circumstances. Utilizing these techniques may result in transfers between Level 1 and Level 2. For restricted securities and private placements where observable inputs are limited, assumptions about market activity and risk are used and are categorized as Level 3 in the hierarchy.
Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day and are categorized as Level 1 in the hierarchy.
Foreign Currency. The Fund uses foreign currency contracts to facilitate transactions in foreign-denominated securities. Gains and 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.
Annual Report
3. Significant Accounting Policies - continued
Foreign Currency - continued
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 is accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt 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. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.
Expenses. Most expenses of the Trust can be directly attributed to a fund. Expenses which cannot be directly attributed are apportioned amongst 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 may elect to defer receipt of a 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.
Annual Report
Notes to Financial Statements - continued
3. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders. Each year the Fund intends to qualify as a regulated investment company, including 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. As of August 31, 2010, the Fund did not have any 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 GAAP. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.
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, market discount, 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 federal tax cost of investment securities and unrealized appreciation (depreciation) as of period end were as follows:
Gross unrealized appreciation | $ 744,249,147 |
Gross unrealized depreciation | (68,126,956) |
Net unrealized appreciation (depreciation) | $ 676,122,191 |
|
|
Tax Cost | $ 13,132,447,293 |
The tax-based components of distributable earnings as of period end were as follows:
Undistributed ordinary income | $ 157,504,730 |
|
|
Net unrealized appreciation (depreciation) | $ 664,502,979 |
The tax character of distributions paid was as follows:
| August 31, 2010 | August 31, 2009 |
Ordinary Income | $ 553,542,603 | $ 574,929,700 |
Annual Report
4. Operating Policies.
Repurchase Agreements. Fidelity Management & Research Company (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 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 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.
Annual Report
Notes to Financial Statements - continued
4. Operating Policies - continued
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. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund uses derivative instruments (derivatives), including swap agreements, in order to meet its investment objectives. The strategy is to use derivatives to increase returns, to gain exposure to certain types of assets and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.
The Fund's use of derivatives may increase or decrease its exposure to the following risks:
Credit Risk | Credit risk relates to the ability of the issuer to a financial instrument 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 relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates. |
The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to sell the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain over-the-counter derivatives, the Fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association (ISDA) Master Agreement on a bilateral basis with each of its counterparties. The ISDA Master Agreement gives each counterparty the right to terminate all transactions traded under such agreement if there is a certain deterioration in the credit quality of the other party. The ISDA Master Agreement gives the Fund the right, upon an event of default by the applicable counterparty or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk, the Fund offsets certain payables and/or receivables with collateral. Collateral, in the form of cash or securities, may be required
Annual Report
5. Derivative Instruments - continued
Risk Exposures and the Use of Derivative Instruments - continued
to be held in segregated accounts with the Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the swap counterparty and the Fund's custodian bank and, if required, is identified in the Schedule of Investments. The Fund could experience delays and costs in gaining access to the collateral even though it is held by the Fund's custodian bank. The Fund's maximum risk of loss from counterparty credit risk is generally the aggregate unrealized appreciation and unpaid counterparty fees in excess of any collateral pledged by the counterparty to the Fund. Risk of loss may exceed the amounts recognized in the Statement of Assets and Liabilities.
Net Realized Gain (Loss) and Change in Net Unrealized Appreciation (Depreciation) on Derivatives. The table below, which reflects the impacts of derivatives on the financial performance of the Fund, summarizes the net realized gain (loss) and change in net unrealized appreciation (depreciation) for derivatives during the period.
Risk Exposure / Derivative Type | Net Realized Gain | Change in Net |
Credit Risk |
|
|
Swap Agreements | $ (3,737,085) | $ 4,285,807 |
Interest Rate Risk |
|
|
Swap Agreements | 84,628,726 | (67,990,170) |
Totals (a) | $ 80,891,641 | $ (63,704,363) |
(a) A summary of the value of derivatives by risk exposure as of period end, if any, is included at the end of the Schedule of Investments and is representative of activity for the period.
Swap Agreements. A swap agreement (swap) is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount.
Details of swaps open at period end, if any, are included in the Schedule of Investments under the caption "Swap Agreements." Swaps are marked-to-market daily and changes in value are recorded as unrealized appreciation or (depreciation) and reflected in the Statement of Assets and Liabilities. Any upfront payments made or received upon entering a swap to compensate for differences between stated terms of the agreement and prevailing market conditions (e.g. credit spreads, interest rates or other factors) are recorded as realized gain or (loss) ratably over the term of the swap. Payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gain or (loss). Realized gain or (loss) is also recorded in the event of an early termination of a swap. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on swaps during the period is included in the Statement of Operations.
Annual Report
Notes to Financial Statements - continued
5. Derivative Instruments - continued
Swap Agreements - continued
Risks of loss may include credit risk and interest rate risk. 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.
Interest Rate Swaps. Interest rate swaps are agreements between counterparties to exchange cash flows, one based on a fixed rate, and the other on a floating rate. The Fund entered into interest rate swaps to manage its exposure to interest rate changes. Changes in interest rates can have an effect on both the value of 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.
Credit Default Swaps. Credit default swaps enable the Fund to buy or sell protection on a debt security or a basket of securities against a defined credit event. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller acts as a guarantor of the creditworthiness of a reference obligation. The Fund entered into credit default swaps as a seller to gain credit exposure to an issuer and/or as a buyer to provide a measure of protection against defaults of an issuer. The issuer may be either a single issuer or a "basket" of issuers. Periodic payments are made over the life of the contract provided that no credit event occurs.
For credit default swaps on most corporate and sovereign issuers, credit events include bankruptcy, failure to pay, obligation acceleration or repudiation/moratorium. For credit default swaps on corporate or sovereign issuers, the obligation that may be put to the seller is not limited to the specific reference obligation described in the 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 write-down. For credit default swaps on asset-backed securities, the reference obligation described represents the security that may be put to the seller.
As a seller, if an underlying credit event occurs, the Fund will either pay the buyer an amount equal to the notional amount of the swap and take delivery of the reference obligation or underlying securities comprising an index or pay a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index.
As a buyer, if an underlying credit event occurs, the Fund will either receive from the seller an amount equal to the notional amount of the swap and deliver the reference obligation or underlying securities comprising an index or receive a net settlement
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5. Derivative Instruments - continued
Credit Default Swaps - continued
amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index.
Typically, the value of each credit default swap and credit rating disclosed for each reference obligation in the Schedule of Investments, where the Fund is the seller, can be used as measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. Any current or future declines in the value of the swap may be partially offset by upfront payments received by the Fund as the seller, if applicable. In addition to these measures, FMR monitors a variety of factors including cash flow assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/performance risk.
The notional amount of credit default swaps is included in the 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 and a credit event were to occur. The total notional amount of all credit default swaps open at period end where the Fund is the seller amounted to $16,229,229 representing .13% of net assets.
6. Purchases and Sales of Investments.
Purchases and sales of securities, including the Fixed-Income Central Funds, other than short-term securities and U.S. government securities, aggregated $2,490,412,485 and $3,992,359,170, 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.
Distribution and Service Plan Fees. 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,
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Notes to Financial Statements - continued
7. Fees and Other Transactions with Affiliates - continued
Distribution and Service Plan Fees - continued
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 | .00% | .25% | $ 849,181 | $ - |
Class T | .00% | .25% | 137,799 | - |
Class B | .65% | .25% | 94,670 | 71,003 |
Class C | .75% | .25% | 756,194 | 193,353 |
|
|
| $ 1,837,844 | $ 264,356 |
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% 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 | $ 33,422 |
Class T | 7,769 |
Class B* | 18,755 |
Class C* | 10,604 |
| $ 70,550 |
* 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. FIIOC receives an asset-based fee of .10% of Total Bond's average net assets. FIIOC receives no fees for providing transfer agency services to Class F. FIIOC pays for typesetting, printing and
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7. Fees and Other Transactions with Affiliates - continued
Transfer Agent Fees - continued
mailing of shareholder reports, except proxy statements. For the period, each class paid the following transfer agent fees:
| Amount | % of |
Class A | $ 757,037 | .22 |
Class T | 120,890 | .22 |
Class B | 29,768 | .28 |
Class C | 112,400 | .15 |
Total Bond | 11,262,275 | .10 |
Institutional Class | 1,146,535 | .17 |
| $ 13,428,905 |
|
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. Committed Line of Credit.
The Fund participates with other funds managed by FMR or an affiliate in a $3.75 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 $48,966 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, there were no borrowings on this line of credit.
9. 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
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Notes to Financial Statements - continued
9. Security Lending - continued
delivered to the Fund on the next business day. If the borrower defaults on its obligation 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. At period end, there were no security loans outstanding. 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 $119,277.
10. Expense Reductions.
Through arrangements with the Fund's custodian, 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 expenses by $25,008.
11. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Years ended August 31, | 2010 | 2009 A |
From net investment income |
|
|
Class A | $ 12,047,548 | $ 3,847,702 |
Class T | 2,077,349 | 1,872,372 |
Class B | 318,564 | 334,350 |
Class C | 2,301,111 | 1,445,182 |
Total Bond | 466,064,893 | 454,620,480 |
Class F | 3,199,988 | 2,418 |
Institutional Class | 27,090,103 | 41,289,271 |
Total | $ 513,099,556 | $ 503,411,775 |
From net realized gain |
|
|
Class A | $ 414,764 | $ 551,756 |
Class T | 166,992 | 276,592 |
Class B | 32,729 | 67,464 |
Class C | 224,151 | 216,528 |
Total Bond | 37,012,590 | 64,472,390 |
Class F | 328,077 | - |
Institutional Class | 2,263,744 | 5,933,195 |
Total | $ 40,443,047 | $ 71,517,925 |
A Distributions for Class F are for the period June 26, 2009 (commencement of sale of shares) to August 31, 2010.
Annual Report
12. Share Transactions.
Transactions for each class of shares were as follows:
| Shares | Dollars | ||
Years ended August 31, | 2010 | 2009 A | 2010 | 2009 A |
Class A |
|
|
|
|
Shares sold | 81,938,740 | 5,984,791 | $ 881,456,370 | $ 57,444,987 |
Reinvestment of distributions | 1,085,950 | 406,888 | 11,735,735 | 3,861,183 |
Shares redeemed | (20,631,216) | (3,902,315) | (224,850,719) | (36,894,839) |
Net increase (decrease) | 62,393,474 | 2,489,364 | $ 668,341,386 | $ 24,411,331 |
Class T |
|
|
|
|
Shares sold | 5,482,327 | 2,362,273 | $ 59,090,633 | $ 22,525,326 |
Reinvestment of distributions | 193,214 | 212,303 | 2,057,888 | 2,007,899 |
Shares redeemed | (3,897,766) | (1,724,975) | (41,737,610) | (16,315,286) |
Net increase (decrease) | 1,777,775 | 849,601 | $ 19,410,911 | $ 8,217,939 |
Class B |
|
|
|
|
Shares sold | 634,184 | 554,201 | $ 6,787,446 | $ 5,314,152 |
Reinvestment of distributions | 24,969 | 28,612 | 266,359 | 270,597 |
Shares redeemed | (362,539) | (659,643) | (3,860,818) | (6,193,443) |
Net increase (decrease) | 296,614 | (76,830) | $ 3,192,987 | $ (608,694) |
Class C |
|
|
|
|
Shares sold | 5,045,673 | 4,153,350 | $ 53,748,889 | $ 39,736,399 |
Reinvestment of distributions | 208,443 | 152,104 | 2,222,830 | 1,446,118 |
Shares redeemed | (2,426,055) | (1,718,977) | (25,927,799) | (16,256,813) |
Net increase (decrease) | 2,828,061 | 2,586,477 | $ 30,043,920 | $ 24,925,704 |
Total Bond |
|
|
|
|
Shares sold | 422,908,452 | 373,151,213 | $ 4,503,077,533 | $ 3,605,197,725 |
Reinvestment of distributions | 45,440,114 | 53,605,881 | 483,982,145 | 507,857,810 |
Shares redeemed | (499,273,762) | (360,364,229) | (5,322,918,715) | (3,408,960,293) |
Net increase (decrease) | (30,925,196) | 66,392,865 | $ (335,859,037) | $ 704,095,242 |
Class F |
|
|
|
|
Shares sold | 22,658,279 | 33,569 | $ 240,489,270 | $ 332,941 |
Reinvestment of distributions | 330,686 | 236 | 3,528,064 | 2,418 |
Shares redeemed | (18,138,196) | (1,783) | (194,727,472) | (18,285) |
Net increase (decrease) | 4,850,769 | 32,022 | $ 49,289,862 | $ 317,074 |
Annual Report
Notes to Financial Statements - continued
12. Share Transactions - continued
| Shares | Dollars | ||
Years ended August 31, | 2010 | 2009 A | 2010 | 2009 A |
Institutional Class |
|
|
|
|
Shares sold | 7,672,038 | 13,719,215 | $ 81,533,429 | $ 128,522,571 |
Reinvestment of distributions | 2,731,098 | 4,940,454 | 29,005,332 | 46,673,580 |
Shares redeemed | (50,480,446) | (26,671,015) | (535,023,812) | (252,440,017) |
Net increase (decrease) | (40,077,310) | (8,011,346) | $ (424,485,051) | $ (77,243,866) |
A Share transactions for Class F are for the period June 26, 2009 (commencement of sale of shares) to August 31, 2010.
13. 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.
14. Credit Risk.
The Fund invests a portion of its assets 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, 2010, 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, 2010 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
PricewaterhouseCoopers LLP
Boston, Massachusetts
October 22, 2010
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, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance. Except for James C. Curvey, each of the Trustees oversees 189 funds advised by FMR or an affiliate. Mr. Curvey oversees 410 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 75th 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.
Experience, Skills, Attributes, and Qualifications of the Fund's Trustees. The Governance and Nominating Committee has adopted a statement of policy that describes the experience, qualifications, attributes, and skills that are necessary and desirable for potential Independent Trustee candidates (Statement of Policy). The Board believes that each Trustee satisfied at the time he or she was initially elected or appointed a Trustee, and continues to satisfy, the standards contemplated by the Statement of Policy. The Governance and Nominating Committee also engages professional search firms to help identify potential Independent Trustee candidates who have the experience, qualifications, attributes, and skills consistent with the Statement of Policy. From time to time, additional criteria based on the composition and skills of the current Independent Trustees, as well as experience or skills that may be appropriate in light of future changes to board composition, business conditions, and regulatory or other developments, have also been considered by the professional search firms and the Governance and Nominating Committee. In addition, the Board takes into account the Trustees' commitment and participation in Board and committee meetings, as well as their leadership of standing and ad hoc committees throughout their tenure.
In determining that a particular Trustee was and continues to be qualified to serve as a Trustee, the Board has considered a variety of criteria, none of which, in isolation, was controlling. The Board believes that, collectively, the Trustees have balanced and diverse experience, qualifications, attributes, and skills, which allow the Board to operate effectively in governing the fund and protecting the interests of shareholders. Information about the specific experience, skills, attributes, and qualifications of each Trustee, which in each case led to the Board's conclusion that the Trustee should serve (or continue to serve) as a trustee of the fund, is provided below.
Annual Report
Board Structure and Oversight Function. Abigail P. Johnson is an interested person (as defined in the 1940 Act) and currently serves as Chairman. The Trustees have determined that an interested Chairman is appropriate and benefits shareholders because an interested Chairman has a personal and professional stake in the quality and continuity of services provided to the fund. Independent Trustees exercise their informed business judgment to appoint an individual of their choosing to serve as Chairman, regardless of whether the Trustee happens to be independent or a member of management. The Independent Trustees have determined that they can act independently and effectively without having an Independent Trustee serve as Chairman and that a key structural component for assuring that they are in a position to do so is for the Independent Trustees to constitute a substantial majority for the Board. The Independent Trustees also regularly meet in executive session. Kenneth L. Wolfe serves as Chairman of the Independent Trustees and as such (i) acts as a liaison between the Independent Trustees and management with respect to matters important to the Independent Trustees and (ii) with management prepares agendas for Board meetings.
Fidelity funds are overseen by different Boards of Trustees. The fund's Board oversees Fidelity's investment-grade bond, money market, and asset allocation funds and another Board oversees Fidelity's equity and high income funds. The asset allocation funds may invest in Fidelity funds that are overseen by such other Board. The use of separate Boards, each with its own committee structure, allows the Trustees of each group of Fidelity funds to focus on the unique issues of the funds they oversee, including common research, investment, and operational issues. On occasion, the separate Boards establish joint committees to address issues of overlapping consequences for the Fidelity funds overseen by each Board.
The Trustees operate using a system of committees to facilitate the timely and efficient consideration of all matters of importance to the Trustees, the fund, and fund shareholders and to facilitate compliance with legal and regulatory requirements and oversight of the fund's activities and associated risks. The Board, acting through its committees, has charged FMR and its affiliates with (i) identifying events or circumstances the occurrence of which could have demonstrably adverse effects on the fund's business and/or reputation; (ii) implementing processes and controls to lessen the possibility that such events or circumstances occur or to mitigate the effects of such events or circumstances if they do occur; and (iii) creating and maintaining a system designed to evaluate continuously business and market conditions in order to facilitate the identification and implementation processes described in (i) and (ii) above. Because the day-to-day operations and activities of the fund are carried out by or through FMR, its affiliates and other service providers, the fund's exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees. While each of the Board's committees has responsibility for overseeing different aspects of the fund's activities, oversight is exercised primarily through the Operations and Audit Committees. Appropriate personnel, including but not limited to the fund's Chief Compliance Officer (CCO), FMR's internal auditor, the independent accountants, the fund's Treasurer and portfolio management personnel, make periodic reports to the Board's committees, as appropriate. The responsibilities of each committee, including their oversight responsibilities, are described further under "Standing Committees of the Fund's Trustees."
Annual Report
Trustees and Officers - continued
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 Occupations and Other Relevant Experience+ | |
Abigail P. Johnson (48) | |
| 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, Workplace and Institutional Services (2005-present). Ms. Johnson is the Vice Chairman and Director (2007-present) of FMR LLC. Previously, Ms. Johnson served as President and a Director of FMR (2001-2005), a Trustee of other investment companies advised by FMR, Fidelity Investments Money Management, Inc., and FMR Co., Inc. (2001-2005), Senior Vice President of the Fidelity funds (2001-2005), and managed a number of Fidelity funds. Ms. Abigail P. Johnson and Mr. Arthur E. Johnson are not related. |
James C. Curvey (75) | |
| 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 Fidelity Investments Money Management, Inc. (2009-present), Director of Fidelity Research & Analysis Co. (2009-present) and Director of FMR and FMR Co., Inc. (2007-present). Mr. Curvey is also Vice Chairman (2007-present) and Director of FMR LLC. In addition, Mr. Curvey serves as an Overseer for the Boston Symphony Orchestra and a member of the Trustees of Villanova University. Previously, Mr. Curvey was the Vice Chairman (2006-2007) and Director (2000-2007) of FMR Corp. |
Annual Report
* 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.
+ The information above includes each Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to each Trustee's qualifications to serve as a Trustee, which led to the conclusion that each Trustee should serve as a Trustee for the fund.
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 Occupations and Other Relevant Experience+ | |
Albert R. Gamper, Jr. (68) | |
| 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 (2002-2003). He also served as President and Chief Executive Officer of Tyco Capital Corporation (2001-2002). Mr. Gamper currently serves as a member of the Board of Directors of Public Service Enterprise Group (utilities, 2000-present), 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). |
Robert F. Gartland (58) | |
| Year of Election or Appointment: 2010 Mr. Gartland is a partner and investor of Vietnam Partners LLC (investments and consulting, 2008-present) and is Chairman and an investor in Gartland and Mellina Group Corp. (consulting, 2009-present). Prior to his retirement, Mr. Gartland held a variety of positions at Morgan Stanley (financial services, 1979-2007) including Managing Director (1987-2007). |
Arthur E. Johnson (63) | |
| 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). Prior to his retirement, Mr. Johnson served as Senior Vice President of Corporate Strategic Development of Lockheed Martin Corporation (defense contractor, 1999-2009). He previously served on the Board of Directors of IKON Office Solutions, Inc. (1999-2008) and Delta Airlines (2005-2007). Mr. Arthur E. Johnson and Ms. Abigail P. Johnson are not related. |
Michael E. Kenneally (56) | |
| Year of Election or Appointment: 2009 Previously, Mr. Kenneally served as a Member of the Advisory Board for certain Fidelity Fixed Income and Asset Allocation Funds (2008-2009). Prior to his retirement, 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 funds, 2004-2008) and certain other closed-end funds (2004- 2005) and was awarded the Chartered Financial Analyst (CFA) designation in 1991. |
James H. Keyes (69) | |
| 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, since 2002) and Pitney Bowes, Inc. (integrated mail, messaging, and document management solutions, since 1998). Prior to his retirement, Mr. Keyes served as Chairman and Chief Executive Officer of Johnson Controls (automotive, building, and energy, 1998-2002) and as a member of the Board of LSI Logic Corporation (semiconductor technologies, 1984-2008). |
Marie L. Knowles (63) | |
| 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 and Chairman of the Audit Committee of McKesson Corporation (healthcare service, since 2002). 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 (71) | |
| Year of Election or Appointment: 2005 Mr. Wolfe is Chairman of the Independent Trustees of the Fixed Income and Asset Allocation Funds (2008-present). Prior to his retirement, Mr. Wolfe served as Chairman and a Director (2007-2009) and Chairman and Chief Executive Officer (1994-2001) of Hershey Foods Corporation. He also served as a member of the Boards of Adelphia Communications Corporation (telecommunications, 2003-2006), Bausch & Lomb, Inc. (medical/pharmaceutical, 1993-2007), and Revlon, Inc. (personal care products, 2004-2009). |
+ The information above includes each Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to each Trustee's qualifications to serve as a Trustee, which led to the conclusion that each Trustee should serve as a Trustee for the fund.
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 (52) | |
| Year of Election or Appointment: 2008 President and Treasurer of Fidelity's Fixed Income and Asset Allocation Funds. Mr. Hebble also serves as Treasurer and Chief Financial Officer of The North Carolina Capital Management Trust: Cash and Term Portfolio (2008-present), Assistant Treasurer of other Fidelity funds (2009-present) and is an employee of Fidelity Investments. |
Boyce I. Greer (54) | |
| Year of Election or Appointment: 2005 Vice President of Fidelity's Fixed Income Funds and Asset Allocation Funds (2005). Mr. Greer is also a Trustee of other investment companies advised by FMR. Mr. Greer is President of The North Carolina Capital Management Trust: Cash and Term Portfolio (2003-present), the Asset Allocation Division (2008-present), President and a Director of Strategic Advisers, Inc. (2008-present), President of FIMM 130/30 LLC (2008-present), Director of Ballyrock Investment Advisors LLC (2006-present), and an Executive Vice President of FMR (2005-present). Previously, Mr. Greer served as Executive Vice President of FMR Co., Inc. (2005-2009), President and Director of Fidelity Investments Money Management, Inc. (2007-2009) and as a Director and Managing Director of Strategic Advisers, Inc. (2002-2005). |
Christopher P. Sullivan (56) | |
| Year of Election or Appointment: 2009 Vice President of Fidelity's Bond Funds. Mr. Sullivan also serves as President of Fidelity's Bond Division (2009-present). Mr. Sullivan is Executive Vice President of Fidelity Investments Money Management, Inc. (2009-present), and a Director of Fidelity Management & Research (U.K.) Inc. (2010-present). Previously, Mr. Sullivan served as Managing Director, Co-Head of U.S. Fixed Income at Goldman Sachs Asset Management (2001-2009). |
Christine J. Thompson (52) | |
| Year of Election or Appointment: 2010 Vice President of Fidelity's Bond Funds. Ms. Thompson also serves as Chief Investment Officer of FMR's Bond Group (2010-present) and is an employee of Fidelity Investments. Previously, Ms. Thompson served as Director of Municipal Bond Portfolio Managers (2002-2010). |
Scott C. Goebel (42) | |
| Year of Election or Appointment: 2008 Secretary and Chief Legal Officer (CLO) of the Fidelity funds. Mr. Goebel also serves as Secretary and CLO of The North Carolina Capital Management Trust: Cash and Term Portfolio (2008-present); 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-present), Fidelity Management & Research (U.K.) Inc. (2008-present), and Fidelity Research and Analysis Company (2008- present). Previously, Mr. Goebel served as Assistant Secretary of the Funds (2007-2008) and as Vice President and Secretary of Fidelity Distributors Corporation (FDC) (2005-2007). |
David J. Carter (37) | |
| Year of Election or Appointment: 2010 Assistant Secretary of Fidelity's Fixed Income and Asset Allocation Funds. Mr. Carter also serves as Vice President, Associate General Counsel (2010-present) and is an employee of Fidelity Investments (2005-present). |
Holly C. Laurent (56) | |
| Year of Election or Appointment: 2008 Anti-Money Laundering (AML) Officer of the Fidelity funds. Ms. Laurent also serves as AML Officer of The North Carolina Capital Management Trust: Cash and Term Portfolio (2008-present) and 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 (51) | |
| 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 (43) | |
| Year of Election or Appointment: 2008 Chief Compliance Officer of Fidelity's Fixed Income and Asset Allocation Funds. Mr. Whitaker also serves as Chief Compliance Officer of The North Carolina Capital Management Trust: Cash and Term Portfolio (2008-present). Mr. Whitaker is an employee of Fidelity Investments (2007-present). Prior to joining Fidelity Investments, Mr. Whitaker worked at MFS Investment Management where he served as Senior Vice President and Chief Compliance Officer (2004-2006), and Assistant General Counsel. |
Jeffrey S. Christian (48) | |
| Year of Election or Appointment: 2009 Deputy Treasurer of the Fidelity funds. Mr. Christian is an employee of Fidelity Investments. Previously, Mr. Christian served as Chief Financial Officer (2008-2009) of certain Fidelity funds and Senior Vice President of Fidelity Pricing and Cash Management Services (FPCMS) (2004-2009). |
Bryan A. Mehrmann (49) | |
| Year of Election or Appointment: 2005 Deputy Treasurer of the Fidelity funds. Mr. Mehrmann is an employee of Fidelity Investments. |
Stephanie J. Dorsey (41) | |
| Year of Election or Appointment: 2008 Deputy Treasurer of Fidelity's Fixed Income and Asset Allocation Funds. Ms. Dorsey also serves as Assistant Treasurer of other Fidelity funds (2010-present) and 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. |
Adrien E. Deberghes (43) | |
| Year of Election or Appointment: 2010 Assistant Treasurer of Fidelity's Fixed Income and Asset Allocation Funds. Mr. Deberghes also serves as Deputy Treasurer of other Fidelity funds (2008-present) and is an employee of Fidelity Investments (2008-present). Previously, Mr. Deberghes served as Senior Vice President of Mutual Fund Administration at State Street Corporation (2007-2008), Senior Director of Mutual Fund Administration at Investors Bank & Trust (2005-2007), and Director of Finance for Dunkin' Brands (2000-2005). |
Kenneth B. Robins (41) | |
| 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 (2008-present; 2010-present) and is an employee of Fidelity Investments (2004-present). Previously, Mr. Robins served as Deputy Treasurer of the Fidelity funds (2005-2008) and Treasurer and Chief Financial Officer of The North Carolina Capital Management Trust: Cash and Term Portfolios (2006-2008). |
Gary W. Ryan (52) | |
| 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)
The Board of Trustees of Advisor Total Bond Fund voted to pay to shareholders of record at the opening of business on record date, the following distributions per share derived from capital gains realized from sales of portfolio securities:
| Pay Date | Record Date | Capital Gains |
Institutional Class | 10/18/2010 | 10/15/2010 | $0.116 |
A total of 11.50% 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 $309,587,770 of distributions paid during the period January 1, 2010 to August 31, 2010 as qualifying to be taxed as interest-related dividends for nonresident alien shareholders.
The fund will notify shareholders in January 2011 of amounts for use in preparing 2010 income tax returns.
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.
FIL Investments (Japan) Limited
FIL Investment Advisors
FIL Investment Advisors
(UK) Limited
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-1010 1.804580.106
Item 2. Code of Ethics
As of the end of the period, August 31, 2010, 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, 2010 FeesA
| Audit Fees | Audit-Related Fees | Tax Fees | All Other Fees |
Fidelity Total Bond Fund | $184,000 | $- | $4,300 | $7,200 |
August 31, 2009 FeesA
| Audit Fees | Audit-Related Fees | Tax Fees | All Other Fees |
Fidelity Total Bond Fund | $175,000 | $- | $5,400 | $9,300 |
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, 2010A | August 31, 2009A |
Audit-Related Fees | $2,130,000 | $3,015,000 |
Tax Fees | $- | $2,000 |
All Other Fees | $510,000 | $- |
A Amounts may reflect rounding.
"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, 2010 A | August 31, 2009 A |
PwC | $5,145,000 | $3,885,000 |
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 |
|
|
Date: | October 28, 2010 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/John R. Hebble |
| John R. Hebble |
| President and Treasurer |
|
|
Date: | October 28, 2010 |
By: | /s/Christine Reynolds |
| Christine Reynolds |
| Chief Financial Officer |
|
|
Date: | October 28, 2010 |